******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240829_203933 produced at 2024-08-29 21:37:45.208571 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 MXP False False 0.01 -0.06 -0.11 0.0 0.52 -0.52 -0.06 -0.06 -13.37 60.0 -7 -7 caleb_strategy_v3 DX False False 0.03 0.00 -0.11 0.0 999.00 -999.00 0.00 0.00 -3.26 999999999.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.10 0.0 0.00 0.00 0.00 0.00 -2.40 24.0 0 0 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 BITCOIN True False 0.00 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -23.44 59.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.05 0.0 0.86 -0.86 0.00 0.00 -1.15 19.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.03 -0.05 0.0 0.08 -0.08 -0.03 -0.03 -7.09 12.0 -5 -5 caleb_strategy_v3 HEATOIL False False 0.03 -0.07 -0.05 0.0 0.10 -0.10 -0.07 -0.07 -1.59 3.0 -2 -2 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.04 0.0 0.06 -0.06 -0.02 -0.02 -18.40 26.0 -11 -11 caleb_strategy_v3 BTP False True 0.05 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -0.96 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 -6.28 999999999.0 -4 -4 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.10 -0.10 -0.02 -0.02 -1.29 4.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.03 0.0 0.08 -0.08 -0.02 -0.02 -2.69 8.0 -2 -2 caleb_strategy_v3 COPPER False False 0.04 0.00 -0.03 0.0 999.00 -999.00 0.00 0.00 -0.71 999999999.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.03 0.0 0.13 -0.13 -0.06 -0.06 -2.31 11.0 -5 -5 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.02 0.0 0.31 -0.31 0.00 0.00 -1.50 23.0 0 0 caleb_strategy_v3 OAT False True 0.05 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.37 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 -2.49 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 -1.05 7.0 -6 -6 caleb_strategy_v3 CANOLA False False 0.00 -0.00 -0.02 0.0 0.16 -0.16 -0.00 -0.00 -7.58 51.0 -1 -1 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.04 -0.04 0.00 0.00 -1.14 4.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.01 -0.01 0.0 0.10 -0.10 0.01 0.01 -1.27 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 -0.77 10.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -0.82 10.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.05 2.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.41 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 -1.23 48.0 -1 -1 caleb_strategy_v3 CAC True False 0.03 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.43 12.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.01 -0.01 0.0 0.32 -0.32 -0.01 -0.01 -1.51 36.0 -1 -1 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.20 -0.20 0.00 0.00 -0.21 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 -0.75 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 -2.20 3.0 -2 -2 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.07 -0.07 0.00 0.00 -0.03 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 0.03 68.0 -14 -12 caleb_strategy_v3 LIVECOW False False 0.02 0.05 0.00 0.0 0.41 -0.41 0.05 0.05 0.09 17.0 2 2 caleb_strategy_v3 BUND False False 0.05 0.00 -0.00 0.0 0.51 -0.51 0.00 0.00 -0.09 10.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.00 -0.00 0.0 0.38 -0.38 0.00 0.00 -0.10 20.0 0 0 caleb_strategy_v3 JPY False False 0.03 0.03 0.01 0.0 0.50 -0.50 0.03 0.03 0.29 17.0 1 1 caleb_strategy_v3 COCOA False False 0.03 0.03 0.01 0.0 0.68 -0.68 0.03 0.03 0.45 26.0 1 1 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.01 0.0 0.19 -0.19 0.00 0.00 0.21 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 0.22 6.0 4 4 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.31 999999999.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.23 999999999.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.02 0.01 0.0 0.47 -0.47 0.02 0.02 1.98 66.0 3 3 caleb_strategy_v3 MILK False False 0.02 0.00 0.02 0.0 0.08 -0.08 0.00 0.00 1.45 5.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.02 0.0 0.38 -0.38 0.00 0.00 1.01 23.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.02 0.0 0.07 -0.07 0.02 0.02 0.80 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 0.48 9.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.36 13.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 0.03 0.0 0.66 -0.66 0.00 0.00 0.67 17.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.07 0.03 0.0 0.94 -0.94 0.07 0.07 0.81 25.0 2 2 caleb_strategy_v3 CHF False False 0.05 0.25 0.03 0.0 0.66 -0.66 0.25 0.25 0.60 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 0.65 13.0 1 1 caleb_strategy_v3 CAD False False 0.03 0.00 0.04 0.0 0.74 -0.74 0.00 0.00 1.74 29.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.06 0.04 0.0 0.42 -0.42 0.06 0.06 5.59 58.0 8 8 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.04 0.0 0.13 -0.13 0.08 0.08 1.63 5.0 3 3 caleb_strategy_v3 NZD False True 0.02 0.00 0.04 0.0 0.00 0.00 0.00 0.00 1.87 21.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.03 0.04 0.0 0.13 -0.13 0.03 0.03 4.29 13.0 3 3 caleb_strategy_v3 AUD False False 0.02 0.14 0.05 0.0 0.44 -0.44 0.14 0.14 2.05 19.0 6 6 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.05 0.0 0.48 -0.48 0.00 0.00 5.49 56.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.14 0.08 0.0 0.66 -0.66 0.14 0.14 1.78 14.0 3 3 caleb_strategy_v3 GBP False False 0.03 0.03 0.09 0.0 0.62 -0.62 0.03 0.03 3.29 22.0 1 1 caleb_strategy_v3 SMI False True 0.05 0.00 0.09 0.0 0.00 0.00 0.00 0.00 1.83 9.0 0 0 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 0.56 0.0 0.93 -0.93 0.00 0.00 5.99 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.27 0.0 0.00 0.00 0.00 0.00 15.38 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.6 Shocked risk 15.1 Sum abs risk 35.8 Leverage 4.10 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2925489.27, 'annual_cash_vol_target': 731372.3175, 'daily_cash_vol_target': 45710.76984375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0040 0.6800 0.5937 9.4987 BITCOIN 1895.9513 59475.0000 3.1878 51.0050 BOBL 0.2289 119.0400 0.1923 3.0772 BTP 0.4800 119.0000 0.4034 6.4544 BUND 0.4698 133.4700 0.3520 5.6321 BUXL 1.1763 134.5800 0.8741 13.9851 CAC 59.7866 7638.5000 0.7827 12.5232 CAD 0.0026 0.7424 0.3447 5.5150 CANOLA 9.8501 627.2000 1.5705 25.1277 CHF 0.0060 1.1838 0.5082 8.1320 COCOA 198.2803 7686.0000 2.5798 41.2761 COFFEE 4.5564 248.8000 1.8313 29.3013 COPPER 0.0561 4.2110 1.3324 21.3184 CORN 5.3886 395.5000 1.3625 21.7996 COTTON2 1.0473 69.8900 1.4985 23.9758 CRUDE_W 1.2155 73.7900 1.6473 26.3566 DAX 143.1187 18872.0000 0.7584 12.1338 DOW 283.7413 41430.0000 0.6849 10.9579 DX 0.4264 100.9650 0.4223 6.7574 EUR 0.0048 1.1086 0.4363 6.9811 EURIBOR-ICE 0.0408 97.8450 0.0417 0.6677 EUROSTX 43.2029 4954.0000 0.8721 13.9533 FEEDCOW 2.0318 231.2000 0.8788 14.0607 GASOIL 11.3943 707.5000 1.6105 25.7680 GASOLINE 0.0369 2.0479 1.8007 28.8118 GAS_US_mini 0.0820 2.5350 3.2353 51.7645 GBP 0.0064 1.3173 0.4873 7.7962 GOLD_micro 19.8215 2532.8000 0.7826 12.5214 HEATOIL 0.0398 2.3408 1.7000 27.1997 JGB-SGX-mini 0.3284 144.6800 0.2270 3.6314 JPY 0.0001 0.0069 0.7541 12.0664 LEANHOG 1.1692 72.5500 1.6116 25.7858 LIVECOW 1.4045 176.5500 0.7955 12.7287 LUMBER-new 8.8965 514.0000 1.7308 27.6934 MILK 0.2960 22.2700 1.3290 21.2640 MXP 0.0006 0.0503 1.0947 17.5158 NASDAQ_micro 226.9999 19400.7500 1.1701 18.7209 NIKKEI 748.9933 38050.0000 1.9684 31.4951 NZD 0.0042 0.6262 0.6675 10.6794 OAT 0.4330 126.1100 0.3433 5.4935 OATIES 5.8521 331.5000 1.7653 28.2452 OJ 8.7528 463.9000 1.8868 30.1884 PALLAD 24.3162 974.5000 2.4953 39.9240 PLAT 16.1903 944.0000 1.7151 27.4412 REDWHEAT 9.0192 559.7500 1.6113 25.7807 RICE 0.1585 15.0150 1.0558 16.8929 ROBUSTA 71.7249 4881.0000 1.4695 23.5115 RUSSELL 28.8184 2212.5000 1.3025 20.8405 SHATZ 0.0782 106.7100 0.0733 1.1730 SILVER-mini 0.5155 29.9125 1.7235 27.5761 SMI 87.5009 12414.0000 0.7049 11.2777 SOFR 0.0598 96.9100 0.0617 0.9876 SOYBEAN 12.9981 991.7500 1.3106 20.9700 SOYMEAL 4.7699 310.5000 1.5362 24.5790 SOYOIL 0.7433 42.2300 1.7601 28.1623 SP400 30.6711 3080.4000 0.9957 15.9310 SP500_micro 45.3980 5606.7500 0.8097 12.9552 SUGAR11 0.3178 20.0600 1.5845 25.3515 US10 0.3896 113.8750 0.3421 5.4735 US10U 0.5396 117.8438 0.4579 7.3263 US2 0.1146 103.8438 0.1104 1.7661 US20 0.8002 123.7188 0.6468 10.3490 US30 1.1980 132.9062 0.9014 14.4222 US5 0.2574 109.5859 0.2349 3.7584 VIX 0.9732 17.6000 5.5298 88.4769 WHEAT 8.7992 548.0000 1.6057 25.6910 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 680.05 0.59 403.73 1.00 403.73 45710.77 113.22 6.97 78.95 BITCOIN 59.48 3.19 189.60 1.00 189.60 45710.77 241.10 -8.98 -216.50 BOBL 1190.40 0.19 228.94 1.11 255.09 45710.77 179.20 -6.32 -113.23 BTP 1190.00 0.40 480.05 1.11 534.87 45710.77 85.46 -3.30 -28.21 BUND 1334.70 0.35 469.82 1.11 523.47 45710.77 87.32 -1.03 -8.99 BUXL 1345.80 0.87 1176.32 1.11 1310.65 45710.77 34.88 -5.89 -20.55 CAC 763.85 0.78 597.87 1.11 666.14 45710.77 68.62 -1.84 -12.63 CAD 742.40 0.34 255.89 1.00 255.89 45710.77 178.63 3.75 66.96 CANOLA 125.44 1.57 197.00 0.74 146.30 45710.77 312.44 -9.97 -311.48 CHF 1479.75 0.51 752.08 1.00 752.08 45710.77 60.78 3.78 22.95 COCOA 768.60 2.58 1982.80 1.00 1982.80 45710.77 23.05 9.18 21.17 COFFEE 933.00 1.83 1708.63 1.00 1708.63 45710.77 26.75 6.65 17.79 COPPER 1052.75 1.33 1402.69 1.00 1402.69 45710.77 32.59 -2.01 -6.56 CORN 197.75 1.36 269.43 1.00 269.43 45710.77 169.66 -17.18 -291.49 COTTON2 349.45 1.50 523.65 1.00 523.65 45710.77 87.29 -12.33 -107.64 CRUDE_W 737.90 1.65 1215.54 1.00 1215.54 45710.77 37.61 4.01 15.07 DAX 188.72 0.76 143.12 1.11 159.46 45710.77 286.65 5.71 163.75 DOW 207.15 0.68 141.87 1.00 141.87 45710.77 322.20 2.65 85.41 DX 1009.65 0.42 426.41 1.00 426.41 45710.77 107.20 -11.73 -125.79 EUR 1385.69 0.44 604.61 1.00 604.61 45710.77 75.60 9.05 68.43 EURIBOR-ICE 2446.12 0.04 102.08 1.11 113.74 45710.77 401.89 4.37 175.50 EUROSTX 495.40 0.87 432.03 1.11 481.37 45710.77 94.96 -0.30 -2.81 FEEDCOW 1156.00 0.88 1015.89 1.00 1015.89 45710.77 45.00 -12.94 -58.25 GASOIL 707.50 1.61 1139.43 1.00 1139.43 45710.77 40.12 -7.40 -29.69 GASOLINE 860.12 1.80 1548.85 1.00 1548.85 45710.77 29.51 1.79 5.28 GAS_US_mini 63.38 3.24 205.04 1.00 205.04 45710.77 222.94 -7.62 -169.88 GBP 823.31 0.49 401.17 1.00 401.17 45710.77 113.94 11.12 126.70 GOLD_micro 253.28 0.78 198.21 1.00 198.21 45710.77 230.61 6.98 160.96 HEATOIL 983.14 1.70 1671.31 1.00 1671.31 45710.77 27.35 -13.39 -36.62 JGB-SGX-mini 144680.00 0.23 32836.69 0.01 227.26 45710.77 201.14 4.58 92.21 JPY 865.25 0.75 652.53 1.00 652.53 45710.77 70.05 1.61 11.31 LEANHOG 290.20 1.61 467.69 1.00 467.69 45710.77 97.74 7.22 70.55 LIVECOW 706.20 0.80 561.81 1.00 561.81 45710.77 81.36 0.32 2.60 LUMBER-new 141.35 1.73 244.65 1.00 244.65 45710.77 186.84 -5.50 -102.72 MILK 445.40 1.33 591.94 1.00 591.94 45710.77 77.22 8.77 67.71 MXP 251.60 1.09 275.44 1.00 275.44 45710.77 165.96 -5.49 -91.08 NASDAQ_micro 388.02 1.17 454.00 1.00 454.00 45710.77 100.68 -6.41 -64.56 NIKKEI 38050.00 1.97 74899.33 0.01 518.37 45710.77 88.18 -1.59 -13.99 NZD 626.25 0.67 418.00 1.00 418.00 45710.77 109.36 6.58 72.01 OAT 1261.10 0.34 432.99 1.11 482.44 45710.77 94.75 -1.14 -10.83 OATIES 165.75 1.77 292.60 1.00 292.60 45710.77 156.22 -3.72 -58.09 OJ 695.85 1.89 1312.91 1.00 1312.91 45710.77 34.82 10.71 37.30 PALLAD 974.50 2.50 2431.62 1.00 2431.62 45710.77 18.80 -0.52 -0.97 PLAT 472.00 1.72 809.52 1.00 809.52 45710.77 56.47 -4.02 -22.70 REDWHEAT 279.88 1.61 450.96 1.00 450.96 45710.77 101.36 -20.00 -202.73 RICE 300.30 1.06 317.06 1.00 317.06 45710.77 144.17 -3.25 -46.88 ROBUSTA 488.10 1.47 717.25 1.00 717.25 45710.77 63.73 13.55 86.35 RUSSELL 110.62 1.30 144.09 1.00 144.09 45710.77 317.23 0.03 0.92 SHATZ 1067.10 0.07 78.23 1.11 87.17 45710.77 524.41 -4.51 -236.31 SILVER-mini 747.81 1.72 1288.86 1.00 1288.86 45710.77 35.47 2.59 9.20 SMI 1241.40 0.70 875.01 1.18 1036.62 45710.77 44.10 12.18 53.72 SOFR 2422.75 0.06 149.54 1.00 149.54 45710.77 305.68 8.28 253.04 SOYBEAN 495.88 1.31 649.91 1.00 649.91 45710.77 70.33 -16.11 -113.33 SOYMEAL 310.50 1.54 476.99 1.00 476.99 45710.77 95.83 -14.26 -136.63 SOYOIL 253.38 1.76 445.98 1.00 445.98 45710.77 102.49 -8.62 -88.37 SP400 3080.40 1.00 3067.11 1.00 3067.11 45710.77 14.90 -0.97 -1.44 SP500_micro 280.34 0.81 226.99 1.00 226.99 45710.77 201.38 -2.62 -52.80 SUGAR11 224.67 1.58 355.99 1.00 355.99 45710.77 128.41 -2.74 -35.20 US10 1138.75 0.34 389.56 1.00 389.56 45710.77 117.34 4.51 52.96 US10U 1178.44 0.46 539.60 1.00 539.60 45710.77 84.71 6.04 51.17 US2 2076.88 0.11 229.25 1.00 229.25 45710.77 199.39 1.43 28.61 US20 1237.19 0.65 800.23 1.00 800.23 45710.77 57.12 6.57 37.53 US30 1329.06 0.90 1198.00 1.00 1198.00 45710.77 38.16 4.45 16.98 US5 1095.86 0.23 257.42 1.00 257.42 45710.77 177.57 3.61 64.05 VIX 176.00 5.53 973.25 1.00 973.25 45710.77 46.97 -5.42 -25.44 WHEAT 274.00 1.61 439.96 1.00 439.96 45710.77 103.90 -18.06 -187.68 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 78.946 0.010 2.5 2.048 BITCOIN -216.503 0.043 2.5 -23.444 BOBL -113.227 0.004 2.5 -1.148 BTP -28.211 0.014 2.5 -0.962 BUND -8.987 0.004 2.5 -0.091 BUXL -20.551 0.004 2.5 -0.208 CAC -12.626 0.014 2.5 -0.431 CAD 66.963 0.010 2.5 1.737 CANOLA -311.480 0.010 2.5 -7.578 CHF 22.946 0.010 2.5 0.595 COCOA 21.165 0.009 2.5 0.453 COFFEE 17.795 0.005 2.5 0.208 COPPER -6.558 0.043 2.5 -0.710 CORN -291.485 0.010 2.5 -7.091 COTTON2 -107.640 0.009 2.5 -2.305 CRUDE_W 15.072 0.043 2.5 1.632 DAX 163.749 0.014 2.5 5.585 DOW 85.410 0.009 2.5 1.985 DX -125.789 0.010 2.5 -3.264 EUR 68.426 0.010 2.5 1.775 EURIBOR-ICE 175.504 0.014 2.5 5.986 EUROSTX -2.806 0.014 2.5 -0.096 FEEDCOW -58.246 0.013 2.5 -1.930 GASOIL -29.692 0.017 2.5 -1.287 GASOLINE 5.277 0.017 2.5 0.229 GAS_US_mini -169.885 0.043 2.5 -18.396 GBP 126.704 0.010 2.5 3.287 GOLD_micro 160.959 0.014 2.5 5.490 HEATOIL -36.616 0.017 2.5 -1.587 JGB-SGX-mini 92.212 0.043 2.5 9.985 JPY 11.306 0.010 2.5 0.293 LEANHOG 70.549 0.024 2.5 4.288 LIVECOW 2.601 0.013 2.5 0.086 LUMBER-new -102.718 0.009 2.5 -2.200 MILK 67.710 0.009 2.5 1.450 MXP -91.076 0.059 2.5 -13.367 NASDAQ_micro -64.557 0.009 2.5 -1.500 NIKKEI -13.986 0.043 2.5 -1.514 NZD 72.007 0.010 2.5 1.868 OAT -10.829 0.014 2.5 -0.369 OATIES -58.093 0.010 2.5 -1.413 OJ 37.297 0.009 2.5 0.799 PALLAD -0.972 0.014 2.5 -0.033 PLAT -22.700 0.014 2.5 -0.774 REDWHEAT -202.726 0.005 2.5 -2.689 RICE -46.878 0.010 2.5 -1.140 ROBUSTA 86.347 0.005 2.5 1.008 RUSSELL 0.915 0.013 2.5 0.030 SHATZ -236.308 0.004 2.5 -2.396 SILVER-mini 9.198 0.014 2.5 0.314 SMI 53.724 0.014 2.5 1.832 SOFR 253.038 0.024 2.5 15.378 SOYBEAN -113.330 0.004 2.5 -1.054 SOYMEAL -136.632 0.004 2.5 -1.271 SOYOIL -88.368 0.004 2.5 -0.823 SP400 -1.438 0.013 2.5 -0.048 SP500_micro -52.801 0.009 2.5 -1.227 SUGAR11 -35.200 0.009 2.5 -0.749 US10 52.958 0.005 2.5 0.671 US10U 51.167 0.005 2.5 0.648 US2 28.610 0.005 2.5 0.363 US20 37.526 0.005 2.5 0.476 US30 16.980 0.005 2.5 0.215 US5 64.055 0.005 2.5 0.812 VIX -25.437 0.099 2.5 -6.279 WHEAT -187.679 0.005 2.5 -2.490 ===================== Position diags ===================== AUD 2.94 BITCOIN 26.11 BOBL 1.82 BTP 2.91 BUND 0.89 BUXL 0.35 CAC 2.34 CAD 4.63 CANOLA 7.60 CHF 1.58 COCOA 0.49 COFFEE 0.31 COPPER 3.53 CORN 4.13 COTTON2 1.87 CRUDE_W 4.07 DAX 9.78 DOW 7.49 DX 2.78 EUR 1.96 EURIBOR-ICE 13.71 EUROSTX 3.24 FEEDCOW 1.49 GASOIL 1.74 GASOLINE 1.28 GAS_US_mini 24.14 GBP 2.96 GOLD_micro 7.87 HEATOIL 1.19 JGB-SGX-mini 21.78 JPY 1.82 LEANHOG 5.94 LIVECOW 2.70 LUMBER-new 4.00 MILK 1.65 MXP 24.36 NASDAQ_micro 2.34 NIKKEI 9.55 NZD 2.84 OAT 3.23 OATIES 3.80 OJ 0.75 PALLAD 0.64 PLAT 1.93 REDWHEAT 1.34 RICE 3.51 ROBUSTA 0.74 RUSSELL 10.51 SHATZ 5.32 SILVER-mini 1.21 SMI 1.50 SOFR 18.58 SOYBEAN 0.65 SOYMEAL 0.89 SOYOIL 0.95 SP400 0.49 SP500_micro 4.68 SUGAR11 2.73 US10 1.49 US10U 1.07 US2 2.53 US20 0.72 US30 0.48 US5 2.25 VIX 11.59 WHEAT 1.38 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 2.0 1.8 2.3 6.0 6 BITCOIN -23.4 -26.1 -20.8 0.0 0 BOBL -1.1 -1.3 -1.0 0.0 0 BTP -1.0 -1.3 -0.7 0.0 0 BUND -0.1 -0.2 -0.0 0.0 0 BUXL -0.2 -0.2 -0.2 0.0 0 CAC -0.4 -0.7 -0.2 0.0 0 CAD 1.7 1.3 2.2 0.0 0 CANOLA -7.6 -8.3 -6.8 -1.0 -1 CHF 0.6 0.4 0.8 5.0 5 COCOA 0.5 0.4 0.5 1.0 1 COFFEE 0.2 0.2 0.2 0.0 0 COPPER -0.7 -1.1 -0.4 0.0 0 CORN -7.1 -7.5 -6.7 -5.0 -5 COTTON2 -2.3 -2.5 -2.1 -5.0 -5 CRUDE_W 1.6 1.2 2.0 3.0 3 DAX 5.6 4.6 6.6 8.0 8 DOW 2.0 1.2 2.7 3.0 3 DX -3.3 -3.5 -3.0 0.0 0 EUR 1.8 1.6 2.0 3.0 3 EURIBOR-ICE 6.0 4.6 7.4 0.0 0 EUROSTX -0.1 -0.4 0.2 0.0 0 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 0.4 0.0 0 GAS_US_mini -18.4 -20.8 -16.0 -11.0 -11 GBP 3.3 3.0 3.6 1.0 1 GOLD_micro 5.5 4.7 6.3 0.0 0 HEATOIL -1.6 -1.7 -1.5 -2.0 -2 JGB-SGX-mini 10.0 7.8 12.2 4.0 4 JPY 0.3 0.1 0.5 1.0 1 LEANHOG 4.3 3.7 4.9 3.0 3 LIVECOW 0.1 -0.2 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 -13.4 -15.8 -10.9 -7.0 -7 NASDAQ_micro -1.5 -1.7 -1.3 0.0 0 NIKKEI -1.5 -2.5 -0.6 -1.0 -1 NZD 1.9 1.6 2.2 0.0 0 OAT -0.4 -0.7 -0.0 0.0 0 OATIES -1.4 -1.8 -1.0 NaN 0 OJ 0.8 0.7 0.9 1.0 1 PALLAD -0.0 -0.1 0.0 0.0 0 PLAT -0.8 -1.0 -0.6 -1.0 -1 REDWHEAT -2.7 -2.8 -2.6 -2.0 -2 RICE -1.1 -1.5 -0.8 NaN 0 ROBUSTA 1.0 0.9 1.1 0.0 0 RUSSELL 0.0 -1.0 1.1 -14.0 -14 SHATZ -2.4 -2.9 -1.9 NaN 0 SILVER-mini 0.3 0.2 0.4 0.0 0 SMI 1.8 1.7 2.0 0.0 0 SOFR 15.4 13.5 17.2 NaN 0 SOYBEAN -1.1 -1.1 -1.0 -6.0 -6 SOYMEAL -1.3 -1.4 -1.2 1.0 1 SOYOIL -0.8 -0.9 -0.7 0.0 0 SP400 -0.0 -0.1 0.0 0.0 0 SP500_micro -1.2 -1.7 -0.8 -1.0 -1 SUGAR11 -0.7 -1.0 -0.5 0.0 0 US10 0.7 0.5 0.8 0.0 0 US10U 0.6 0.5 0.8 1.0 1 US2 0.4 0.1 0.6 NaN 0 US20 0.5 0.4 0.5 0.0 0 US30 0.2 0.2 0.3 4.0 4 US5 0.8 0.6 1.0 2.0 2 VIX -6.3 -7.4 -5.1 -4.0 -4 WHEAT -2.5 -2.6 -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 -0.1 0.1 0.0 0.0 0.0 0.1 0.0 0.1 0.2 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 0.5 -0.3 0.1 0.4 -0.2 0.4 -0.0 BITCOIN -0.0 -0.2 -0.6 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 0.0 0.0 0.3 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.2 -0.0 -2.7 -0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.1 -0.1 -0.6 0.2 0.2 -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 -0.1 -0.1 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 -0.0 -0.1 0.1 0.6 0.0 -0.0 0.1 -0.0 0.0 0.0 -1.1 -0.1 -0.3 -0.1 -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 -0.0 0.6 0.4 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.1 0.1 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 -0.1 -0.4 -0.2 -0.3 -0.7 -0.7 -0.2 -0.3 BUXL -0.0 0.5 0.3 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 0.5 -0.3 -0.6 0.0 0.0 0.1 0.1 0.2 0.0 0.2 -0.2 0.2 0.1 0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.2 -0.0 0.1 -1.2 -0.0 0.0 -0.1 0.1 0.0 0.0 0.3 0.1 0.2 -0.5 -0.6 0.4 0.2 0.1 0.1 CAD 0.6 0.2 0.0 0.1 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 0.4 0.6 -0.2 -0.1 0.3 -0.2 0.1 -0.1 CANOLA -0.2 -0.1 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.1 -0.2 -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 0.0 -0.0 -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 -0.1 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.1 0.0 0.2 0.5 0.0 0.0 0.1 0.0 0.0 0.0 -1.1 0.2 0.5 0.6 0.6 0.0 -0.4 -0.3 -0.4 COCOA 0.5 0.0 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 0.1 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 0.3 -0.1 0.1 -0.1 0.0 -0.1 -0.0 0.0 0.4 0.2 0.6 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 0.3 0.3 0.6 0.6 0.6 -0.1 -0.3 0.1 -0.1 COPPER 0.4 -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 -1.8 -0.0 -0.0 -0.0 0.0 0.0 -0.0 0.3 -0.0 0.0 -0.2 0.0 0.5 0.2 0.7 0.5 CORN 0.1 -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 -0.0 -0.5 -0.1 -1.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.3 -0.2 -0.4 -0.4 -0.1 -0.2 -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 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 0.0 -0.4 -0.0 -2.7 -0.0 0.0 -0.2 0.0 -0.1 0.0 -0.6 0.1 0.2 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 0.0 -0.1 -0.0 0.4 -0.1 -0.1 0.3 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 0.6 -0.3 -0.6 0.0 0.0 0.1 0.1 0.2 0.0 0.1 0.2 0.2 0.4 0.1 0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.0 0.2 0.3 0.2 1.3 0.0 0.1 0.0 0.1 0.2 0.0 -0.4 0.3 0.3 -0.1 -0.6 0.4 0.1 -0.0 0.1 DOW 0.5 0.1 -0.0 0.0 0.0 0.1 0.0 0.2 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 -1.3 0.0 0.0 0.1 0.0 0.2 0.0 -0.4 0.0 0.2 0.5 0.0 0.3 0.0 -0.0 -0.1 DX -0.5 -0.6 -0.4 0.0 0.0 0.0 0.1 0.0 0.1 -0.0 -0.1 -0.1 0.2 -0.2 -0.1 0.1 0.1 0.1 0.1 -0.2 -0.1 -0.1 -0.0 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -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 -0.0 0.2 0.1 -0.2 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.0 0.2 2.7 0.1 -0.0 0.1 0.1 0.1 0.1 -0.4 -0.4 0.6 0.6 0.4 0.1 -0.6 -0.1 -0.6 EURIBOR-ICE 0.1 0.6 0.4 0.0 -0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.1 0.1 0.0 -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 0.0 -0.1 0.1 -0.1 -0.7 -0.7 -0.1 0.1 EUROSTX 0.5 -0.4 -0.6 0.0 0.0 0.1 0.1 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 0.1 0.2 -0.4 -0.6 0.1 0.0 -0.5 -0.1 FEEDCOW -0.6 -0.6 -0.5 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.0 -0.3 -0.1 -0.3 -0.1 -0.1 0.2 -0.4 0.1 -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 0.4 0.7 GASOIL -0.2 -0.5 -0.4 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -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 -0.1 0.5 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.2 -0.2 -0.1 -0.2 -0.4 -0.5 -0.7 GASOLINE -0.1 -0.4 -0.4 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 -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 -0.1 0.6 0.7 0.7 0.7 GAS_US_mini 0.2 -0.4 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.4 -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 -0.1 -0.2 -0.0 -1.1 -0.1 0.3 0.2 0.4 -0.2 -0.5 -0.3 -0.6 GBP 0.5 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 0.3 0.2 -0.2 0.1 0.0 0.1 0.1 0.1 0.1 0.2 0.4 0.3 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 0.4 0.1 0.5 0.1 0.1 -0.2 -0.3 -0.2 -0.2 0.1 0.2 0.1 0.4 0.2 -0.8 0.0 0.0 0.1 0.0 0.2 0.1 -0.7 0.3 0.4 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 -0.0 -0.0 -0.3 -0.1 0.1 -0.2 -0.2 -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 -0.0 -0.2 -0.2 -0.3 -0.2 0.2 -0.5 0.1 JGB-SGX-mini 0.3 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 0.3 -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 0.0 -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 -0.1 0.1 0.6 0.1 -0.7 -0.6 -0.7 -0.6 LEANHOG 0.4 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 0.3 0.4 0.5 -0.3 -0.0 -0.2 0.1 0.1 LIVECOW -0.6 -0.6 0.2 -0.1 0.1 -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 -0.1 -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 0.6 -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 -0.0 -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 0.2 0.1 0.1 0.4 -0.4 -0.0 -0.2 0.2 0.1 0.1 0.1 0.2 2.0 0.1 0.0 0.1 0.1 0.0 0.1 -1.1 0.1 0.6 0.6 0.6 -0.1 -0.7 0.1 -0.7 MXP 0.1 -0.4 -0.6 0.0 0.0 0.0 0.0 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 0.5 0.4 0.7 0.6 NASDAQ_micro 0.4 -0.6 -0.4 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.1 0.1 0.3 0.0 0.0 -0.1 -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 -0.3 0.1 -0.5 0.1 0.1 0.2 -0.2 0.1 NIKKEI 0.2 -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 -0.6 -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 0.2 -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 0.4 0.5 -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 -0.1 -0.4 -0.3 -0.6 -0.5 -0.6 -0.1 -0.0 OATIES 0.3 0.1 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.3 0.1 -0.4 -0.0 -0.1 0.3 0.1 0.2 0.1 -0.1 -0.1 0.1 -0.3 0.0 -2.7 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.2 0.3 0.2 0.1 -0.2 0.3 -0.0 0.7 0.3 OJ 0.3 -0.2 -0.2 -0.0 0.1 -0.1 0.0 -0.1 -0.0 -0.0 0.3 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 0.3 0.1 0.8 0.1 0.6 0.6 0.6 0.5 0.4 0.7 0.7 PALLAD 0.5 -0.0 0.2 -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 0.0 0.1 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 -0.1 0.0 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.7 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.2 -0.3 -0.2 0.2 -0.2 -0.3 -0.2 0.1 REDWHEAT -0.0 -0.5 -0.6 -0.1 0.1 -0.1 0.0 -0.1 -0.0 0.1 -0.5 -0.1 -0.7 -0.2 -0.2 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 -0.5 -0.2 -0.8 -0.1 0.0 -0.2 -0.0 -0.2 -0.0 -0.9 -0.3 -0.3 -0.6 -0.4 -0.7 -0.7 -0.6 -0.7 RICE -0.2 -0.2 -0.3 -0.0 0.1 -0.1 0.0 -0.1 -0.0 -0.0 0.2 -0.1 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 -0.4 -0.3 0.3 0.6 -0.7 -0.5 -0.7 -0.5 ROBUSTA 0.6 0.1 0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.3 0.1 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 1.1 0.5 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 0.3 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 0.4 -0.4 0.1 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.3 0.2 0.5 0.1 0.1 -0.1 0.0 -0.1 -0.0 0.1 0.1 0.1 0.3 0.1 1.4 0.1 0.0 0.2 0.1 0.2 0.1 0.5 -0.0 0.6 0.6 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 0.1 -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 -0.1 -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 -0.3 0.0 -0.2 -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 -0.6 -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 -0.1 -0.1 -0.2 -0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.0 -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 -0.0 -2.5 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.3 -0.1 -0.3 -0.1 -0.1 -0.3 0.2 -0.1 SP400 0.3 0.0 -0.3 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.2 0.1 0.3 0.1 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 -0.1 -0.1 0.4 -0.0 0.2 -0.2 -0.1 -0.7 SP500_micro 0.5 -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 -0.5 -0.2 0.2 -0.2 0.2 0.2 0.1 -0.2 0.0 SUGAR11 0.3 -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 -0.0 -0.1 0.2 -0.3 0.1 -2.7 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 0.5 0.4 -0.0 0.1 -0.2 0.5 -0.1 0.6 US10 0.1 0.6 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.2 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 0.0 0.1 0.0 0.2 0.1 -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 -0.1 0.2 0.0 -0.0 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 0.0 0.1 -0.1 0.1 0.2 -0.6 0.7 0.5 US2 0.1 0.6 0.6 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 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 0.2 0.2 0.2 0.0 -0.7 0.2 -0.4 US20 0.2 0.5 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.1 0.0 0.0 0.1 0.1 -0.0 -0.0 -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 -0.0 0.0 -0.1 0.1 0.2 -0.3 0.7 0.7 US30 0.2 0.5 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.1 0.0 -0.0 0.1 0.1 -0.1 -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 -0.2 0.0 -0.0 -0.3 0.0 0.1 -0.3 0.6 0.7 US5 0.1 0.6 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.0 -0.1 0.1 0.1 -0.3 -0.2 -0.2 -0.2 0.1 0.1 0.0 0.0 0.1 0.7 0.0 -0.0 0.1 0.0 0.0 0.0 -0.7 0.1 0.1 0.1 0.2 0.2 -0.7 0.6 -0.1 VIX -0.4 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 -0.4 -0.3 -0.2 -0.2 -0.0 -0.4 -0.1 0.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.4 -0.2 -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 -4.5 4.6 3.6 5.2 0.9 9.0 0.4 7.5 17.1 4.9 18.6 -1.5 13.8 9.3 -1.8 -2.6 -2.1 -2.3 8.4 3.8 20.0 0.5 17.6 2.6 3.1 5.9 1.3 8.8 0.5 7.0 -0.0 6.9 14.3 -8.6 2.2 10.8 -4.8 12.5 -0.6 BITCOIN -0.3 -5.7 -19.2 -2.7 -0.0 -3.3 1.7 -1.8 0.3 -9.3 1.7 0.8 7.2 -2.9 -5.9 -4.9 -6.9 -5.8 -6.5 -4.9 -0.7 -2.9 7.1 -3.3 -20.0 -2.9 -3.7 0.4 -1.7 5.9 -2.3 -2.4 -2.3 -20.0 7.2 7.6 -8.3 -5.2 -3.4 0.1 BOBL -1.7 20.0 13.4 3.2 -0.8 2.2 0.6 0.6 2.4 -5.8 -1.1 -5.3 -4.2 7.1 8.2 -20.0 -17.8 -20.0 -20.0 8.9 4.7 -0.6 -1.9 5.5 4.5 3.0 -0.8 1.9 -0.2 0.2 1.8 -20.0 -3.2 -8.7 -4.1 -6.5 -20.0 -20.0 -7.7 -8.8 BTP 0.6 12.8 3.1 5.5 -1.5 3.8 1.0 1.1 4.2 -12.5 12.6 0.7 14.8 16.0 17.3 1.2 3.7 1.4 2.2 12.6 11.3 -1.1 10.4 8.3 -20.0 5.8 -3.8 5.4 -0.7 5.1 3.8 10.6 -6.1 -18.7 -9.3 -17.5 -20.0 -15.6 -2.0 5.1 BUND -1.3 17.4 11.0 3.5 -0.9 2.4 0.6 0.7 2.7 -8.9 0.6 -6.3 -0.8 7.9 9.2 6.8 1.8 4.9 2.4 8.6 5.4 -2.2 -0.3 4.9 1.1 3.3 -2.1 2.5 -0.9 1.0 1.8 8.5 -5.8 -11.4 -6.9 -8.5 -20.0 -20.0 -6.4 -7.8 BUXL -0.8 14.0 7.8 4.1 -1.1 2.9 0.7 0.8 3.1 -11.0 -0.5 -7.9 -0.5 7.5 8.4 -0.9 -2.3 -1.5 -2.3 6.9 3.8 -5.1 -2.0 3.1 -3.2 3.3 -4.5 2.6 -2.6 1.0 1.3 1.4 -10.4 -15.9 -12.4 -14.8 -20.0 -20.0 -9.3 -7.9 CAC 14.7 -10.0 -20.0 2.4 4.5 4.2 5.4 6.1 3.4 16.8 -8.2 18.2 3.0 5.1 -9.6 -4.6 -2.0 -4.9 -3.1 -9.3 -11.4 17.3 -0.7 6.4 -8.9 -3.1 4.9 -3.1 5.4 0.9 1.9 6.5 4.0 7.3 -14.6 -20.0 10.8 5.3 2.5 4.1 CAD 20.0 5.3 1.3 4.7 6.7 1.1 11.6 0.6 9.7 16.9 -9.5 20.0 -16.4 20.0 11.4 -5.0 -3.5 -4.7 -4.1 11.7 -1.2 20.0 -7.8 20.0 -1.5 4.6 9.7 -0.1 14.2 -2.2 11.1 -2.3 17.8 20.0 -5.0 -4.3 10.5 -6.0 2.2 -3.1 CANOLA -6.0 -4.1 0.7 -2.0 2.6 -1.9 1.2 -1.3 -0.6 6.5 -5.0 2.3 -6.5 -4.2 -5.2 -11.3 -10.4 -12.2 -12.6 -5.6 -5.5 4.8 -5.8 -2.5 -14.4 -1.8 4.4 -2.4 2.3 -3.0 -0.2 -20.0 6.0 0.9 -1.1 -3.3 0.8 -11.0 10.1 -4.7 CHF 11.9 20.0 20.0 2.4 3.4 0.6 5.9 0.3 4.9 8.2 0.4 10.9 -4.1 11.4 10.6 -14.2 -16.4 -15.6 -16.1 15.6 7.3 16.4 0.2 18.6 3.5 4.2 1.8 2.2 3.7 0.4 4.6 -20.0 6.3 13.9 20.0 17.5 0.9 -10.7 -7.8 -11.9 COCOA 16.1 0.7 7.6 -1.8 2.4 -1.7 1.1 -1.2 -0.6 2.4 2.3 4.9 3.3 4.5 -0.5 20.0 20.0 20.0 20.0 3.1 4.8 5.6 9.2 5.4 -20.0 1.8 0.4 4.4 2.1 9.1 2.2 20.0 4.6 10.1 8.4 5.1 19.4 7.8 20.0 12.0 COFFEE 8.1 -1.3 8.2 -4.7 6.4 -4.6 3.0 -3.2 -1.6 4.0 15.8 14.7 15.4 14.0 15.6 4.3 6.2 4.2 5.3 15.1 17.2 15.7 17.2 15.9 -20.0 5.6 2.7 7.2 6.8 8.8 6.6 6.2 10.5 20.0 20.0 20.0 -2.9 -10.0 4.3 -3.5 COPPER 12.0 -20.0 -12.4 -2.0 -0.0 -2.4 1.3 -1.3 0.2 -3.3 -3.1 7.6 -0.1 -4.2 -7.9 -3.9 -2.8 -2.4 -2.2 -6.1 -3.0 3.3 2.8 -0.7 -13.2 -2.1 -0.3 -1.1 1.0 1.0 -0.3 5.0 -0.3 0.6 -7.6 0.8 13.5 4.9 20.0 16.3 CORN 2.2 -10.9 -17.8 -3.2 4.4 -3.2 2.1 -2.2 -1.1 0.9 -12.2 -6.1 -12.8 -10.3 -12.5 -20.0 -15.6 -20.0 -19.7 -15.8 -18.0 -4.7 -17.4 -9.9 -8.4 -4.3 0.4 -4.8 -1.3 -4.5 -2.8 -20.0 -13.7 -6.1 -13.2 -13.1 -4.0 -7.5 -1.8 -0.8 COTTON2 17.0 3.1 -18.6 -4.1 5.5 -4.0 2.6 -2.8 -1.4 4.4 -15.8 5.8 -14.3 -3.7 -12.2 -10.7 -2.7 -9.2 -5.8 -9.8 -17.3 3.8 -16.6 -0.2 -20.0 -3.4 1.0 -5.6 2.4 -3.7 0.7 -10.9 5.8 7.5 1.7 -5.8 -10.1 -10.2 0.6 -3.3 CRUDE_W 1.4 -15.3 -11.8 -5.1 -1.1 -3.3 -2.9 -0.4 -4.6 4.7 -2.8 -1.0 9.9 -10.1 -9.2 12.9 12.8 13.3 13.2 -7.5 -3.6 -1.1 2.4 -6.2 -2.1 -5.2 1.4 -4.3 -0.4 -0.6 -3.2 10.7 7.2 7.4 0.8 -6.1 8.5 17.5 9.5 20.0 DAX 17.0 -7.9 -19.5 2.1 4.0 3.7 4.7 5.3 3.0 15.4 6.0 16.5 12.0 10.4 2.0 -7.7 -10.4 -8.6 -9.6 3.1 2.9 20.0 9.5 13.9 10.0 0.7 7.3 1.7 7.8 5.1 4.3 -7.0 13.8 7.9 -3.2 -17.4 11.3 4.4 -0.0 2.8 DOW 14.3 2.5 -0.3 1.6 3.1 2.9 3.7 4.2 2.4 11.5 6.9 13.0 10.9 9.1 7.3 -8.8 -10.9 -9.8 -10.5 9.2 8.0 14.3 9.5 12.8 -9.5 3.5 3.5 3.7 4.6 4.7 4.2 -8.1 0.7 4.7 15.1 1.3 9.9 0.4 -1.0 -4.1 DX -16.9 -20.0 -13.2 2.8 4.1 0.7 7.0 0.3 5.9 -4.1 -3.0 -11.0 6.6 -14.1 -13.9 6.0 6.9 6.8 6.9 -17.1 -7.9 -15.3 -0.3 -20.0 -20.0 -5.0 -0.3 -2.4 -4.3 -0.2 -6.0 16.2 -20.0 -20.0 -20.0 -20.0 -4.7 5.4 -6.0 8.1 EUR 15.6 14.4 8.1 3.9 5.7 1.0 9.8 0.5 8.2 -3.0 6.3 12.9 -5.4 17.6 18.0 -6.8 -7.2 -7.3 -7.2 17.9 8.8 13.0 1.5 20.0 20.0 6.7 -2.4 3.7 4.8 1.4 8.0 -8.1 -15.2 17.4 20.0 13.5 2.2 -17.5 -2.5 -19.4 EURIBOR-ICE 1.8 20.0 13.3 2.7 -0.7 1.9 0.5 0.5 2.0 2.4 2.0 2.4 2.5 8.5 8.7 0.7 -3.7 -1.5 -2.7 11.5 7.8 3.2 3.3 8.9 12.6 3.0 0.3 2.1 0.8 1.0 2.3 -0.1 2.0 -4.1 2.5 -2.5 -20.0 -20.0 -2.7 1.6 EUROSTX 14.3 -13.3 -20.0 2.0 3.9 3.6 4.6 5.2 2.9 15.0 4.9 16.2 11.0 3.9 -1.8 -4.0 -2.9 -4.6 -4.1 -2.3 -0.8 15.2 8.2 7.5 -2.1 -1.1 4.9 0.5 5.3 4.8 2.3 4.6 2.4 5.6 -12.5 -20.0 4.1 0.9 -13.5 -2.5 FEEDCOW -17.3 -20.0 -15.5 -4.3 5.8 -4.2 2.7 -2.9 -1.4 2.4 -10.1 -9.9 -8.4 -13.9 -13.4 11.1 -19.2 2.8 -7.9 -20.0 -19.2 -10.6 -9.7 -20.0 -6.5 -5.2 -0.1 -3.7 -2.0 -1.6 -4.6 -20.0 -20.0 -20.0 -20.0 -14.8 3.4 20.0 10.7 20.0 GASOIL -4.7 -14.7 -13.3 -4.8 -1.1 -3.1 -2.7 -0.4 -4.3 -1.3 -9.7 -9.4 7.3 -15.0 -14.1 2.1 9.4 1.3 3.8 -13.3 -8.6 -8.6 -0.1 -13.0 4.1 -5.8 -1.7 -3.9 -3.6 -0.6 -5.6 0.1 -4.3 -5.6 -5.3 -1.6 -6.6 -12.8 -13.6 -20.0 GASOLINE -4.2 -12.3 -11.4 -4.8 -1.1 -3.1 -2.7 -0.4 -4.4 2.7 -2.0 -8.1 7.9 -12.2 -11.3 20.0 20.0 20.0 20.0 -9.2 -4.2 -6.2 3.0 -9.9 -20.0 -5.5 -0.2 -3.7 -3.0 0.5 -5.1 20.0 3.2 -1.8 4.1 -3.8 17.8 20.0 20.0 20.0 GAS_US_mini 7.2 -10.9 -1.6 -3.9 -0.9 -2.5 -2.2 -0.3 -3.5 -11.6 -13.3 -8.2 -14.5 -11.0 -13.0 -20.0 -20.0 -20.0 -20.0 -11.5 -13.2 -9.9 -19.8 -9.4 20.0 -3.7 -4.6 -4.1 -5.0 -5.7 -3.9 -20.0 -4.1 9.1 4.7 11.3 -5.3 -14.0 -7.8 -18.9 GBP 16.7 5.4 7.2 4.2 6.1 1.0 10.4 0.5 8.7 11.1 16.7 18.9 10.8 18.0 18.0 -0.5 -0.7 -0.6 -0.7 20.0 13.6 20.0 9.4 20.0 -1.1 6.8 5.1 5.0 10.3 3.7 9.6 3.0 16.4 10.4 18.5 20.0 9.0 -20.0 9.6 -15.2 GOLD_micro 12.8 6.0 1.9 -2.5 -0.0 -3.1 1.6 -1.7 0.3 9.3 13.0 12.7 12.7 12.9 11.6 -11.7 -13.2 -11.8 -12.3 13.7 14.6 11.1 15.5 14.1 -6.3 4.1 2.3 4.5 4.3 6.0 5.0 -12.7 10.9 12.8 20.0 19.6 11.1 -3.2 16.4 2.6 HEATOIL -3.7 -12.5 -10.9 -4.9 -1.1 -3.2 -2.8 -0.4 -4.5 -1.6 -12.6 -9.2 1.7 -15.0 -14.2 -5.4 6.4 -5.1 -1.3 -13.4 -9.9 -7.6 -3.3 -12.7 -20.0 -6.2 -0.8 -5.4 -3.0 -2.1 -5.2 -6.9 -0.1 -5.8 -6.3 -9.3 -5.1 5.2 -15.1 2.4 JGB-SGX-mini 9.5 20.0 6.4 2.0 -0.5 1.4 0.4 0.4 1.5 -3.1 0.1 -0.5 0.2 3.0 2.9 12.1 17.3 14.9 16.1 4.5 1.9 0.1 0.2 3.7 -7.1 1.6 -0.3 0.5 0.3 -0.3 1.5 20.0 -5.3 8.6 -0.5 -7.1 -6.6 -5.0 -5.6 8.8 JPY 10.0 20.0 20.0 1.5 2.2 0.4 3.7 0.2 3.1 4.3 -0.1 5.4 -5.3 7.0 5.9 -11.5 -15.4 -13.2 -14.3 9.5 2.7 6.3 -4.7 10.3 20.0 2.2 0.4 0.6 1.3 -1.0 2.3 -20.0 -4.0 4.2 19.9 4.2 -20.0 -17.4 -20.0 -17.5 LEANHOG 13.7 13.6 -18.7 -3.5 4.7 -3.4 2.2 -2.4 -1.1 12.1 -6.9 12.3 -6.6 11.4 -3.5 20.0 14.5 20.0 20.0 -1.1 -8.8 15.4 -10.1 9.4 3.8 -0.2 6.4 -2.8 6.1 -3.0 3.7 20.0 13.1 11.9 14.1 -10.6 -0.0 -5.8 4.1 3.3 LIVECOW -18.9 -17.6 4.9 -4.9 6.6 -4.8 3.1 -3.3 -1.6 3.0 6.6 -7.6 6.4 -12.3 -2.0 20.0 12.0 18.1 16.3 -7.4 1.9 -7.5 5.6 -13.7 -11.9 -2.9 0.0 0.8 -2.8 3.1 -5.1 20.0 -20.0 -20.0 -13.7 20.0 -1.3 20.0 4.4 20.0 LUMBER-new 5.2 15.1 -5.4 -2.8 3.8 -2.8 1.8 -1.8 -0.9 -7.0 -7.1 -6.9 -8.1 3.3 -1.5 -17.6 -17.5 -17.4 -17.5 -1.9 -6.2 -5.5 -7.7 -1.6 NaN -0.6 -2.5 -3.2 -2.9 -4.2 -0.6 -20.0 -20.0 1.6 12.1 0.5 3.6 -2.8 8.3 -0.2 MILK 13.4 5.5 20.0 -3.6 4.8 -3.5 2.3 -2.4 -1.2 10.6 12.0 12.2 4.4 11.9 12.5 20.0 -19.7 -1.2 -11.6 15.0 12.7 16.3 4.9 16.6 15.0 4.7 4.1 3.9 5.2 1.3 5.3 -20.0 6.2 20.0 20.0 20.0 -3.0 -20.0 2.0 -20.0 MXP 1.9 -11.9 -20.0 1.7 2.5 0.4 4.2 0.2 3.5 -8.0 -6.4 -7.2 -1.8 -7.2 -7.5 9.6 14.3 10.7 12.2 -10.0 -7.8 -11.4 -2.3 -10.4 -20.0 -3.1 -3.0 -2.5 -3.0 -0.7 -3.0 20.0 -20.0 -20.0 -19.5 -20.0 16.4 12.4 20.0 18.9 NASDAQ_micro 12.8 -20.0 -13.8 1.2 2.3 2.1 2.7 3.0 1.7 -5.9 3.3 5.8 7.3 0.6 0.8 -7.0 -10.1 -8.7 -9.6 0.9 3.7 1.2 7.6 1.7 -16.4 0.2 -1.3 1.9 0.1 4.1 0.1 -6.7 -13.0 2.5 -14.0 3.5 1.6 4.9 -7.5 2.3 NIKKEI 6.3 -20.0 -20.0 0.9 1.6 1.5 1.9 2.2 1.2 5.2 1.8 6.1 3.9 1.3 0.5 6.7 9.9 9.1 9.3 -1.3 -0.2 3.1 2.5 0.8 -6.7 -1.6 0.2 -0.4 -0.3 1.0 -1.4 20.0 -2.5 -17.2 -18.0 -11.5 9.0 -0.5 5.9 -2.6 NZD 20.0 0.1 3.2 2.6 3.8 0.6 6.5 0.3 5.4 12.8 1.0 13.9 -1.5 12.0 6.4 -0.2 0.1 -0.2 -0.1 7.2 1.7 20.0 -0.5 16.6 0.1 2.4 5.8 0.5 7.5 -0.0 5.8 4.2 16.1 16.5 -4.9 3.0 7.8 -4.8 5.6 -0.0 OAT 3.5 16.0 1.3 3.9 -1.0 2.7 0.7 0.7 3.0 -8.3 -3.3 -4.4 -2.4 10.4 10.2 -0.0 3.3 0.4 1.5 6.8 1.8 -1.4 -2.9 5.5 2.9 3.2 -2.9 1.6 -0.9 0.1 2.4 9.7 -5.3 -11.7 -7.7 -17.5 -15.4 -18.3 -1.6 -0.3 OATIES 8.6 1.6 -18.7 -3.2 4.4 -3.2 2.1 -2.2 -1.1 10.1 -11.1 5.8 -11.7 -3.3 -11.3 12.5 3.2 8.1 5.8 -7.4 -11.8 9.5 -11.9 0.7 -20.0 -2.5 7.9 -3.6 4.1 -3.2 0.5 3.4 12.7 5.0 1.9 -4.7 10.2 -0.7 20.0 8.8 OJ 7.9 -6.1 -5.2 -4.3 5.8 -4.2 2.7 -2.9 -1.4 -2.4 13.0 5.9 14.4 6.4 10.7 10.2 11.7 9.5 9.6 12.6 15.3 9.4 20.0 12.6 -20.0 4.6 1.7 5.8 4.1 9.5 5.0 14.1 3.7 20.0 20.0 20.0 13.6 11.6 20.0 20.0 PALLAD 13.9 -0.5 5.4 -1.7 -0.0 -2.0 1.0 -1.1 0.2 6.3 -5.0 8.1 -8.2 0.3 -1.7 -1.7 -2.1 -1.8 -1.9 -0.6 -3.3 5.0 -7.4 2.8 14.8 -0.8 3.5 -2.5 3.1 -4.0 1.6 5.9 0.1 2.9 3.9 4.1 -20.0 -20.0 -20.0 -20.0 PLAT 4.6 -12.3 -5.6 -2.1 -0.0 -2.6 1.3 -1.4 0.3 -6.3 -4.8 0.9 -4.2 -5.5 -7.9 -4.5 -4.4 -4.8 -4.8 -3.8 -2.2 -2.6 -0.7 -2.6 5.3 -3.0 -3.0 -2.3 -1.3 -0.9 -1.7 1.4 -9.5 -10.2 -5.0 5.0 -6.8 -8.2 -5.0 1.7 REDWHEAT -0.8 -15.6 -20.0 -5.1 6.9 -5.0 3.2 -3.5 -1.7 11.0 -18.0 -6.6 -18.2 -15.5 -19.6 -10.7 -5.9 -10.5 -8.6 -20.0 -20.0 -3.6 -20.0 -15.3 -5.9 -6.1 3.7 -5.6 -1.0 -5.0 -4.4 -16.2 -13.0 -9.0 -18.0 -11.1 -20.0 -20.0 -17.7 -20.0 RICE -6.4 -7.1 -9.2 -4.4 6.0 -4.4 2.8 -3.0 -1.5 -1.3 8.6 -5.0 11.9 -0.1 -2.6 -8.9 20.0 20.0 20.0 -3.1 1.1 -3.1 7.2 -3.5 -10.4 -0.2 -5.0 1.6 -2.1 3.1 -1.5 20.0 -15.0 -10.7 8.4 18.6 -20.0 -15.9 -20.0 -15.3 ROBUSTA 19.2 3.9 13.3 -3.3 4.5 -3.3 2.1 -2.3 -1.1 10.2 12.5 12.3 12.5 12.0 12.2 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 4.8 4.0 6.1 6.1 8.1 5.5 20.0 20.0 20.0 20.0 20.0 3.5 -5.4 10.5 1.9 RUSSELL 2.3 3.4 -1.3 1.3 2.4 2.2 2.9 3.2 1.8 4.9 3.8 6.3 7.0 2.5 2.2 -5.0 -6.5 -5.9 -6.3 4.0 4.1 6.7 4.0 5.1 -0.7 2.3 1.5 2.7 2.1 2.6 1.9 -0.5 -0.3 -5.5 15.8 3.1 3.4 -16.6 -5.4 -20.0 SHATZ -0.5 20.0 20.0 2.5 -0.7 1.7 0.5 0.5 1.9 5.3 -1.1 -1.0 -4.3 5.9 6.8 -20.0 -20.0 -20.0 -20.0 9.4 4.5 2.6 -3.8 6.9 7.0 2.6 0.7 1.4 0.7 -0.4 1.9 -20.0 2.1 -2.9 0.2 -1.7 -20.0 -17.5 -16.3 -10.9 SILVER-mini 8.6 -15.8 -2.8 -2.2 0.1 -2.5 1.6 -1.3 0.3 4.7 4.0 9.6 5.2 0.2 -2.6 -5.7 -6.3 -5.8 -6.0 0.1 3.0 7.7 6.0 3.8 2.4 -1.1 1.0 -0.1 2.9 1.8 1.1 -1.4 10.3 2.2 2.5 9.3 4.7 -4.3 7.9 7.1 SMI 12.7 -11.2 4.0 1.8 3.5 3.2 4.1 4.6 2.6 12.5 11.9 14.2 12.9 11.7 11.2 -2.8 0.2 -2.9 -1.8 8.1 10.7 13.6 12.3 10.8 10.3 5.4 3.4 5.9 4.7 5.8 5.4 9.3 -0.4 20.0 18.4 16.2 1.8 1.2 -9.4 -2.3 SOFR 5.0 20.0 20.0 3.6 -1.0 2.5 0.7 0.7 2.7 6.2 8.7 8.8 3.8 11.7 12.4 1.2 -0.9 -0.1 -0.8 17.2 12.9 7.2 4.6 13.8 -4.6 4.5 0.3 3.7 1.9 2.0 3.5 4.0 7.2 3.6 1.9 9.0 9.5 -13.4 20.0 6.6 SOYBEAN -4.6 -14.7 -20.0 -2.4 3.2 -2.3 1.5 -1.6 -0.8 7.0 -8.9 -3.5 -7.7 -7.3 -8.7 -12.7 2.2 -7.9 -3.8 -13.9 -13.7 -1.5 -10.6 -9.0 -16.1 -3.2 0.9 -3.1 -0.3 -2.3 -2.0 -5.3 -1.0 -9.1 -18.2 -13.3 -2.9 -20.0 2.2 -17.5 SOYMEAL -3.9 -2.3 -13.7 -2.4 3.3 -2.4 1.6 -1.7 -0.8 4.8 -8.2 -3.6 -8.3 -4.7 -8.0 -3.5 4.8 0.0 1.7 -8.1 -9.2 -0.6 -8.3 -4.7 -17.9 -2.6 0.8 -2.6 -0.1 -2.0 -1.5 1.3 -3.7 -3.2 -6.8 -2.7 -20.0 -20.0 -20.0 -20.0 SOYOIL -1.0 -14.2 -2.2 -2.3 3.1 -2.2 1.5 -1.6 -0.8 7.6 -7.4 3.2 -8.4 -6.1 -6.9 6.3 1.9 4.6 2.2 -7.4 -7.9 5.0 -8.1 -3.3 -18.8 -2.4 4.1 -2.6 1.8 -2.3 -0.9 -1.3 10.7 -2.6 -10.0 -2.6 -2.9 -9.5 5.8 -2.2 SP400 8.3 0.4 -9.4 1.5 2.8 2.6 3.3 3.7 2.1 3.3 5.7 8.2 8.9 4.7 2.9 -5.7 -5.8 -5.7 -5.8 4.0 4.1 8.1 5.9 6.7 -8.9 2.6 1.6 3.3 3.0 4.1 2.8 0.5 -2.3 -3.0 12.8 -1.0 6.3 -7.4 -3.1 -20.0 SP500_micro 16.1 -20.0 -8.3 1.5 2.9 2.7 3.5 3.9 2.2 -1.8 8.7 10.6 11.1 6.7 6.4 -9.0 -12.1 -11.0 -11.9 6.1 8.7 8.0 12.5 8.2 -15.2 1.9 0.2 3.9 2.1 6.2 2.0 -10.3 -7.7 5.6 -4.8 6.7 7.4 3.0 -5.5 0.1 SUGAR11 10.2 -1.9 1.4 -3.9 5.3 -3.8 2.5 -2.7 -1.3 13.3 -12.1 10.2 -11.6 -1.8 -6.5 -4.3 6.2 -3.2 0.4 -3.5 -9.4 20.0 -9.7 6.7 -20.0 -1.0 12.2 -3.7 9.2 -4.0 3.2 2.0 20.0 11.4 -1.4 4.2 -6.4 15.7 -3.0 18.8 US10 4.6 20.0 20.0 2.8 -0.7 2.0 0.5 0.5 2.1 -1.7 5.7 2.3 -0.6 7.6 8.8 -6.6 -7.4 -7.2 -7.2 11.6 8.2 2.9 1.0 8.8 2.0 3.3 -0.6 2.7 0.8 1.2 2.5 -7.1 1.6 2.3 0.6 5.1 4.5 -20.0 20.0 4.9 US10U 5.2 18.6 20.0 3.9 -1.0 2.7 0.7 0.7 2.9 -7.8 7.4 4.5 -1.3 11.0 12.3 -3.7 -3.0 -4.0 -3.8 14.3 9.7 3.2 0.5 11.1 -0.4 4.5 -1.1 3.6 1.0 1.5 3.4 -0.3 1.3 1.7 -2.6 4.6 4.9 -17.6 20.0 14.5 US2 2.4 20.0 20.0 2.3 -0.6 1.6 0.4 0.4 1.7 4.0 1.7 2.1 -3.6 5.9 6.5 -20.0 -20.0 -20.0 -20.0 10.0 5.9 4.0 -1.5 8.1 11.3 2.6 0.2 1.7 1.0 0.3 2.1 -20.0 4.2 7.7 7.4 4.7 1.4 -20.0 5.7 -10.9 US20 7.1 16.7 20.0 2.8 -0.7 1.9 0.5 0.5 2.1 -6.3 5.5 2.9 1.2 7.5 8.5 -1.2 -0.9 -1.1 -0.9 9.9 7.0 1.8 1.1 7.8 -2.0 3.3 -1.3 2.9 0.5 1.5 2.4 4.1 -0.3 0.7 -3.5 3.9 5.2 -10.2 20.0 20.0 US30 7.1 14.1 18.8 3.3 -0.9 2.3 0.6 0.6 2.5 -8.0 5.4 3.2 -0.4 8.5 9.4 -4.8 -4.9 -4.5 -4.7 9.7 6.3 2.1 -0.3 8.0 -1.4 3.8 -1.4 3.3 0.7 1.5 2.9 -2.8 0.1 -0.2 -7.7 1.1 2.1 -9.4 19.1 20.0 US5 3.2 20.0 20.0 2.8 -0.7 1.9 0.5 0.5 2.1 3.3 5.0 2.0 -1.9 7.4 8.5 -13.5 -11.1 -12.4 -11.5 12.0 8.2 3.9 0.6 9.3 5.4 3.2 -0.1 2.5 1.0 1.0 2.5 -13.8 3.4 3.8 3.3 5.8 5.0 -20.0 17.2 -1.7 VIX -7.5 20.0 20.0 1.3 -0.1 0.2 0.3 -1.0 1.2 -2.4 -4.6 -6.4 -6.6 -4.5 -4.2 -5.1 -20.0 -20.0 -20.0 0.3 -0.6 -1.8 -3.2 -0.8 NaN 1.5 -0.1 0.3 0.3 -1.2 1.3 NaN NaN NaN NaN NaN -11.8 -20.0 NaN NaN WHEAT 0.8 -17.0 -20.0 -3.6 4.8 -3.5 2.3 -2.4 -1.2 2.9 -12.3 -4.9 -12.1 -11.3 -13.6 -18.9 -15.3 -17.6 -16.6 -16.7 -15.9 -5.0 -14.4 -11.6 2.5 -4.3 1.6 -3.7 -1.5 -3.0 -3.2 -20.0 -15.4 -5.3 -14.6 -7.0 -18.9 -20.0 -16.9 -20.0 End of report for caleb_strategy_v3