******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240830_203933 produced at 2024-08-30 21:37:32.142146 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.12 0.0 0.52 -0.52 -0.06 -0.07 -14.15 60.0 -7 -8 caleb_strategy_v3 DX False False 0.03 0.00 -0.11 0.0 999.00 -999.00 0.00 0.00 -3.15 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 -2.54 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 -1.88 8.0 -2 -2 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.05 0.0 0.86 -0.86 0.00 0.00 -1.18 19.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.00 -0.05 0.0 0.45 -0.45 0.00 -0.05 -1.07 10.0 0 -1 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 BITCOIN True False 0.00 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -23.81 59.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.02 -0.04 0.0 999.00 -999.00 -0.02 -0.02 -6.65 999999999.0 -4 -4 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.04 0.0 0.06 -0.06 -0.02 -0.02 -20.23 26.0 -11 -11 caleb_strategy_v3 CORN False False 0.01 -0.03 -0.04 0.0 0.08 -0.08 -0.03 -0.03 -6.51 12.0 -5 -5 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.10 -0.10 -0.02 -0.02 -1.34 4.0 -1 -1 caleb_strategy_v3 COPPER False False 0.04 0.00 -0.03 0.0 999.00 -999.00 0.00 0.00 -0.75 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 REDWHEAT False False 0.01 -0.02 -0.03 0.0 0.08 -0.08 -0.02 -0.02 -2.68 8.0 -2 -2 caleb_strategy_v3 OAT False False 0.05 0.00 -0.02 0.0 0.48 -0.48 0.00 0.00 -0.43 10.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.02 0.0 0.04 -0.04 0.00 0.00 -1.46 4.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -2.47 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 -1.03 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 -7.19 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 -1.54 23.0 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 -2.16 3.0 -2 -2 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.51 -0.51 0.00 0.00 -0.13 10.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.01 -0.01 0.0 0.33 -0.33 -0.01 -0.01 -1.23 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 -0.22 4.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.03 2.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.33 12.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.88 10.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.14 -0.14 0.00 0.00 -0.68 18.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.01 0.0 0.46 -0.46 -0.01 -0.02 -1.16 48.0 -1 -2 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -0.80 10.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.01 -0.01 0.0 0.10 -0.10 0.01 0.01 -1.28 9.0 1 1 caleb_strategy_v3 SP400 False False 0.11 0.00 -0.00 0.0 0.21 -0.21 0.00 0.00 -0.04 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.05 0.00 0.0 0.26 -0.26 -0.05 -0.03 0.25 68.0 -12 -8 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 SILVER-mini False False 0.03 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.19 999999999.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.05 0.00 0.0 0.41 -0.41 0.05 0.05 0.17 17.0 2 2 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.19 -0.19 0.00 0.00 0.14 6.0 0 0 caleb_strategy_v3 JPY False False 0.03 0.03 0.00 0.0 0.50 -0.50 0.03 0.03 0.14 17.0 1 1 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.00 0.0 0.38 -0.38 0.00 0.00 0.13 20.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.18 0.01 0.0 0.27 -0.27 0.18 0.18 0.19 6.0 4 4 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.20 999999999.0 0 0 caleb_strategy_v3 COCOA False False 0.03 0.03 0.01 0.0 0.69 -0.69 0.03 0.03 0.45 26.0 1 1 caleb_strategy_v3 DOW False False 0.01 0.02 0.01 0.0 0.47 -0.47 0.02 0.02 2.09 66.0 3 3 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.02 0.0 0.39 -0.39 0.00 0.00 1.06 23.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 0.02 0.0 0.66 -0.66 0.00 0.00 0.60 17.0 0 0 caleb_strategy_v3 MILK False False 0.02 0.00 0.02 0.0 0.08 -0.08 0.00 0.00 1.58 5.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.04 0.02 0.0 0.52 -0.52 0.04 0.04 0.58 13.0 1 1 caleb_strategy_v3 CHF False False 0.05 0.25 0.02 0.0 0.66 -0.66 0.25 0.25 0.41 13.0 5 5 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.44 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 0.85 3.0 1 1 caleb_strategy_v3 US2 False True 0.07 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.27 13.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.08 0.03 0.0 0.94 -0.94 0.08 0.08 0.71 25.0 2 2 caleb_strategy_v3 CRUDE_W False False 0.02 0.07 0.03 0.0 0.12 -0.12 0.07 0.07 1.24 5.0 3 3 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.04 0.0 0.48 -0.48 0.00 0.00 4.80 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 1.92 21.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.14 0.04 0.0 0.44 -0.44 0.14 0.14 1.92 19.0 6 6 caleb_strategy_v3 LEANHOG False False 0.01 0.03 0.05 0.0 0.13 -0.13 0.03 0.03 4.68 13.0 3 3 caleb_strategy_v3 DAX False False 0.01 0.06 0.05 0.0 0.42 -0.42 0.06 0.06 6.66 58.0 8 8 caleb_strategy_v3 CAD False False 0.03 0.00 0.05 0.0 0.74 -0.74 0.00 0.00 1.81 29.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.14 0.07 0.0 0.67 -0.67 0.14 0.14 1.47 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 3.04 22.0 1 1 caleb_strategy_v3 SMI False True 0.05 0.00 0.10 0.0 0.00 0.00 0.00 0.00 1.93 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 9.77 16.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.58 0.0 0.93 -0.93 0.00 0.00 6.22 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.22 0.0 0.00 0.00 0.00 0.00 14.66 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.6 Shocked risk 15.3 Sum abs risk 35.5 Leverage 4.04 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2908932.75, 'annual_cash_vol_target': 727233.1875, 'daily_cash_vol_target': 45452.07421875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6768 0.5993 9.5884 BITCOIN 1854.8093 59585.0000 3.1129 49.8061 BOBL 0.2267 118.8700 0.1907 3.0513 BTP 0.4833 118.4200 0.4081 6.5301 BUND 0.4658 133.1300 0.3499 5.5981 BUXL 1.1658 133.8000 0.8713 13.9407 CAC 59.2893 7648.0000 0.7752 12.4036 CAD 0.0025 0.7416 0.3418 5.4686 CANOLA 9.8674 624.0000 1.5813 25.3010 CHF 0.0061 1.1778 0.5151 8.2422 COCOA 194.3984 7676.0000 2.5325 40.5208 COFFEE 4.6018 243.3000 1.8914 30.2627 COPPER 0.0549 4.2145 1.3038 20.8610 CORN 5.4420 401.5000 1.3554 21.6867 COTTON2 1.0310 69.9500 1.4739 23.5831 CRUDE_W 1.2559 71.7900 1.7494 27.9904 DAX 140.9729 18972.0000 0.7431 11.8889 DOW 279.5384 41417.0000 0.6749 10.7990 DX 0.4252 101.2850 0.4198 6.7170 EUR 0.0048 1.1058 0.4342 6.9476 EURIBOR-ICE 0.0403 97.8200 0.0412 0.6588 EUROSTX 42.9074 4970.0000 0.8633 13.8132 FEEDCOW 2.0038 232.1250 0.8632 13.8117 GASOIL 11.3696 696.2500 1.6330 26.1276 GASOLINE 0.0367 2.0191 1.8180 29.0884 GAS_US_mini 0.0809 2.5000 3.2346 51.7539 GBP 0.0064 1.3123 0.4903 7.8456 GOLD_micro 19.7565 2511.3000 0.7867 12.5872 HEATOIL 0.0400 2.3019 1.7362 27.7789 JGB-SGX-mini 0.3238 144.6000 0.2239 3.5824 JPY 0.0001 0.0069 0.7674 12.2789 LEANHOG 1.1478 72.6750 1.5794 25.2701 LIVECOW 1.3903 177.5250 0.7831 12.5303 LUMBER-new 8.8355 519.5000 1.7008 27.2123 MILK 0.2911 22.5100 1.2932 20.6909 MXP 0.0005 0.0507 1.0840 17.3440 NASDAQ_micro 222.5599 19523.7500 1.1399 18.2391 NIKKEI 735.7251 38720.0000 1.9001 30.4019 NZD 0.0041 0.6249 0.6603 10.5649 OAT 0.4297 125.8200 0.3416 5.4649 OATIES 5.8016 336.7500 1.7228 27.5652 OJ 8.3632 459.9500 1.8183 29.0926 PALLAD 24.0529 960.0000 2.5055 40.0882 PLAT 16.0349 930.9000 1.7225 27.5602 REDWHEAT 9.0021 566.7500 1.5884 25.4138 RICE 0.1555 14.9800 1.0382 16.6115 ROBUSTA 69.3979 4907.0000 1.4143 22.6282 RUSSELL 28.2384 2210.3000 1.2776 20.4413 SHATZ 0.0785 106.6100 0.0737 1.1787 SILVER-mini 0.5157 29.3250 1.7586 28.1370 SMI 86.0105 12458.0000 0.6904 11.0465 SOFR 0.0597 96.8650 0.0616 0.9861 SOYBEAN 12.8415 999.0000 1.2854 20.5669 SOYMEAL 4.7009 312.6000 1.5038 24.0611 SOYOIL 0.7315 41.8900 1.7463 27.9415 SP400 30.0359 3082.1000 0.9745 15.5924 SP500_micro 44.5048 5631.0000 0.7904 12.6456 SUGAR11 0.3245 19.7000 1.6473 26.3564 US10 0.3895 113.5469 0.3431 5.4889 US10U 0.5396 117.3906 0.4597 7.3545 US2 0.1137 103.7617 0.1095 1.7527 US20 0.8009 123.0625 0.6508 10.4124 US30 1.2027 131.8438 0.9122 14.5954 US5 0.2576 109.3594 0.2356 3.7688 VIX 0.9533 17.2500 5.5266 88.4261 WHEAT 8.6969 552.0000 1.5755 25.2083 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 676.85 0.60 405.62 1.00 405.62 45452.07 112.06 6.61 74.07 BITCOIN 59.58 3.11 185.48 1.00 185.48 45452.07 245.05 -8.97 -219.91 BOBL 1188.70 0.19 226.69 1.11 252.47 45452.07 180.03 -6.45 -116.20 BTP 1184.20 0.41 483.31 1.11 538.26 45452.07 84.44 -3.71 -31.29 BUND 1331.30 0.35 465.80 1.11 518.76 45452.07 87.62 -1.49 -13.07 BUXL 1338.00 0.87 1165.79 1.11 1298.34 45452.07 35.01 -6.22 -21.76 CAC 764.80 0.78 592.89 1.11 660.31 45452.07 68.83 -1.39 -9.54 CAD 741.65 0.34 253.49 1.00 253.49 45452.07 179.31 3.90 69.92 CANOLA 124.80 1.58 197.35 0.74 146.65 45452.07 309.95 -9.54 -295.72 CHF 1472.31 0.52 758.44 1.00 758.44 45452.07 59.93 2.66 15.95 COCOA 767.60 2.53 1943.98 1.00 1943.98 45452.07 23.38 9.05 21.17 COFFEE 912.38 1.89 1725.68 1.00 1725.68 45452.07 26.34 4.59 12.10 COPPER 1053.62 1.30 1373.73 1.00 1373.73 45452.07 33.09 -2.10 -6.95 CORN 200.75 1.36 272.10 1.00 272.10 45452.07 167.04 -16.03 -267.74 COTTON2 349.75 1.47 515.51 1.00 515.51 45452.07 88.17 -12.23 -107.84 CRUDE_W 717.90 1.75 1255.89 1.00 1255.89 45452.07 36.19 3.15 11.41 DAX 189.72 0.74 140.97 1.11 157.00 45452.07 289.50 6.75 195.28 DOW 207.08 0.67 139.77 1.00 139.77 45452.07 325.19 2.77 90.04 DX 1012.85 0.42 425.20 1.00 425.20 45452.07 106.89 -11.36 -121.48 EUR 1382.25 0.43 600.21 1.00 600.21 45452.07 75.73 7.48 56.61 EURIBOR-ICE 2445.50 0.04 100.69 1.11 112.14 45452.07 405.33 4.50 182.23 EUROSTX 497.00 0.86 429.07 1.11 477.86 45452.07 95.12 0.42 3.95 FEEDCOW 1160.62 0.86 1001.89 1.00 1001.89 45452.07 45.37 -12.51 -56.75 GASOIL 696.25 1.63 1136.96 1.00 1136.96 45452.07 39.98 -7.71 -30.81 GASOLINE 848.02 1.82 1541.73 1.00 1541.73 45452.07 29.48 1.58 4.66 GAS_US_mini 62.50 3.23 202.16 1.00 202.16 45452.07 224.83 -8.31 -186.83 GBP 820.19 0.49 402.18 1.00 402.18 45452.07 113.02 10.35 116.98 GOLD_micro 251.13 0.79 197.56 1.00 197.56 45452.07 230.06 6.12 140.72 HEATOIL 966.80 1.74 1678.53 1.00 1678.53 45452.07 27.08 -13.54 -36.66 JGB-SGX-mini 144600.00 0.22 32376.15 0.01 223.91 45452.07 202.99 4.45 90.26 JPY 857.50 0.77 658.07 1.00 658.07 45452.07 69.07 0.80 5.49 LEANHOG 290.70 1.58 459.13 1.00 459.13 45452.07 99.00 7.77 76.95 LIVECOW 710.10 0.78 556.11 1.00 556.11 45452.07 81.73 0.61 5.01 LUMBER-new 142.86 1.70 242.98 1.00 242.98 45452.07 187.06 -5.38 -100.66 MILK 450.20 1.29 582.19 1.00 582.19 45452.07 78.07 9.44 73.69 MXP 253.40 1.08 274.69 1.00 274.69 45452.07 165.47 -5.83 -96.40 NASDAQ_micro 390.48 1.14 445.12 1.00 445.12 45452.07 102.11 -6.50 -66.35 NIKKEI 38720.00 1.90 73572.51 0.01 508.81 45452.07 89.33 -1.27 -11.36 NZD 624.90 0.66 412.63 1.00 412.63 45452.07 110.15 6.72 74.07 OAT 1258.20 0.34 429.75 1.11 478.61 45452.07 94.97 -1.32 -12.57 OATIES 168.38 1.72 290.08 1.00 290.08 45452.07 156.69 -2.70 -42.24 OJ 689.92 1.82 1254.48 1.00 1254.48 45452.07 36.23 10.91 39.54 PALLAD 960.00 2.51 2405.29 1.00 2405.29 45452.07 18.90 -0.40 -0.75 PLAT 465.45 1.72 801.74 1.00 801.74 45452.07 56.69 -4.58 -25.94 REDWHEAT 283.38 1.59 450.10 1.00 450.10 45452.07 100.98 -20.00 -201.96 RICE 299.60 1.04 311.05 1.00 311.05 45452.07 146.12 -4.11 -60.10 ROBUSTA 490.70 1.41 693.98 1.00 693.98 45452.07 65.49 13.81 90.44 RUSSELL 110.52 1.28 141.19 1.00 141.19 45452.07 321.92 0.24 7.66 SHATZ 1066.10 0.07 78.54 1.11 87.47 45452.07 519.65 -4.83 -250.74 SILVER-mini 733.12 1.76 1289.24 1.00 1289.24 45452.07 35.25 1.59 5.59 SMI 1245.80 0.69 860.10 1.19 1023.44 45452.07 44.41 12.75 56.61 SOFR 2421.62 0.06 149.25 1.00 149.25 45452.07 304.54 7.92 241.15 SOYBEAN 499.50 1.29 642.07 1.00 642.07 45452.07 70.79 -15.62 -110.54 SOYMEAL 312.60 1.50 470.09 1.00 470.09 45452.07 96.69 -14.22 -137.50 SOYOIL 251.34 1.75 438.93 1.00 438.93 45452.07 103.55 -8.32 -86.19 SP400 3082.10 0.97 3003.59 1.00 3003.59 45452.07 15.13 -0.74 -1.11 SP500_micro 281.55 0.79 222.52 1.00 222.52 45452.07 204.26 -2.44 -49.93 SUGAR11 220.64 1.65 363.45 1.00 363.45 45452.07 125.06 -2.56 -32.00 US10 1135.47 0.34 389.53 1.00 389.53 45452.07 116.69 4.05 47.26 US10U 1173.91 0.46 539.59 1.00 539.59 45452.07 84.23 5.44 45.82 US2 2075.23 0.11 227.33 1.00 227.33 45452.07 199.94 1.06 21.17 US20 1230.62 0.65 800.86 1.00 800.86 45452.07 56.75 6.07 34.47 US30 1318.44 0.91 1202.69 1.00 1202.69 45452.07 37.79 3.87 14.64 US5 1093.59 0.24 257.60 1.00 257.60 45452.07 176.45 3.17 55.99 VIX 172.50 5.53 953.34 1.00 953.34 45452.07 47.68 -5.65 -26.93 WHEAT 276.00 1.58 434.84 1.00 434.84 45452.07 104.53 -17.83 -186.41 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 74.070 0.010 2.5 1.922 BITCOIN -219.911 0.043 2.5 -23.813 BOBL -116.205 0.004 2.5 -1.178 BTP -31.293 0.014 2.5 -1.067 BUND -13.067 0.004 2.5 -0.133 BUXL -21.758 0.004 2.5 -0.221 CAC -9.543 0.014 2.5 -0.326 CAD 69.919 0.010 2.5 1.814 CANOLA -295.716 0.010 2.5 -7.194 CHF 15.947 0.010 2.5 0.414 COCOA 21.170 0.009 2.5 0.453 COFFEE 12.097 0.005 2.5 0.141 COPPER -6.954 0.043 2.5 -0.753 CORN -267.744 0.010 2.5 -6.514 COTTON2 -107.838 0.009 2.5 -2.310 CRUDE_W 11.411 0.043 2.5 1.236 DAX 195.277 0.014 2.5 6.661 DOW 90.041 0.009 2.5 2.093 DX -121.479 0.010 2.5 -3.152 EUR 56.607 0.010 2.5 1.469 EURIBOR-ICE 182.230 0.014 2.5 6.216 EUROSTX 3.947 0.014 2.5 0.135 FEEDCOW -56.750 0.013 2.5 -1.881 GASOIL -30.807 0.017 2.5 -1.335 GASOLINE 4.655 0.017 2.5 0.202 GAS_US_mini -186.827 0.043 2.5 -20.231 GBP 116.977 0.010 2.5 3.035 GOLD_micro 140.719 0.014 2.5 4.800 HEATOIL -36.665 0.017 2.5 -1.589 JGB-SGX-mini 90.265 0.043 2.5 9.774 JPY 5.494 0.010 2.5 0.143 LEANHOG 76.950 0.024 2.5 4.677 LIVECOW 5.012 0.013 2.5 0.166 LUMBER-new -100.661 0.009 2.5 -2.155 MILK 73.695 0.009 2.5 1.578 MXP -96.398 0.059 2.5 -14.149 NASDAQ_micro -66.348 0.009 2.5 -1.542 NIKKEI -11.359 0.043 2.5 -1.230 NZD 74.066 0.010 2.5 1.922 OAT -12.575 0.014 2.5 -0.429 OATIES -42.243 0.010 2.5 -1.028 OJ 39.543 0.009 2.5 0.847 PALLAD -0.752 0.014 2.5 -0.026 PLAT -25.940 0.014 2.5 -0.885 REDWHEAT -201.963 0.005 2.5 -2.679 RICE -60.096 0.010 2.5 -1.462 ROBUSTA 90.445 0.005 2.5 1.056 RUSSELL 7.657 0.013 2.5 0.254 SHATZ -250.741 0.004 2.5 -2.543 SILVER-mini 5.588 0.014 2.5 0.191 SMI 56.610 0.014 2.5 1.931 SOFR 241.154 0.024 2.5 14.656 SOYBEAN -110.543 0.004 2.5 -1.028 SOYMEAL -137.499 0.004 2.5 -1.279 SOYOIL -86.189 0.004 2.5 -0.802 SP400 -1.113 0.013 2.5 -0.037 SP500_micro -49.927 0.009 2.5 -1.160 SUGAR11 -32.001 0.009 2.5 -0.681 US10 47.261 0.005 2.5 0.599 US10U 45.821 0.005 2.5 0.581 US2 21.174 0.005 2.5 0.268 US20 34.468 0.005 2.5 0.437 US30 14.637 0.005 2.5 0.185 US5 55.991 0.005 2.5 0.709 VIX -26.930 0.099 2.5 -6.647 WHEAT -186.410 0.005 2.5 -2.473 ===================== Position diags ===================== AUD 2.91 BITCOIN 26.54 BOBL 1.83 BTP 2.88 BUND 0.89 BUXL 0.35 CAC 2.35 CAD 4.65 CANOLA 7.54 CHF 1.55 COCOA 0.50 COFFEE 0.31 COPPER 3.58 CORN 4.06 COTTON2 1.89 CRUDE_W 3.92 DAX 9.87 DOW 7.56 DX 2.77 EUR 1.96 EURIBOR-ICE 13.83 EUROSTX 3.24 FEEDCOW 1.50 GASOIL 1.73 GASOLINE 1.28 GAS_US_mini 24.35 GBP 2.93 GOLD_micro 7.85 HEATOIL 1.17 JGB-SGX-mini 21.98 JPY 1.79 LEANHOG 6.02 LIVECOW 2.71 LUMBER-new 4.01 MILK 1.67 MXP 24.29 NASDAQ_micro 2.37 NIKKEI 9.67 NZD 2.86 OAT 3.24 OATIES 3.81 OJ 0.78 PALLAD 0.64 PLAT 1.93 REDWHEAT 1.34 RICE 3.55 ROBUSTA 0.76 RUSSELL 10.67 SHATZ 5.27 SILVER-mini 1.20 SMI 1.51 SOFR 18.51 SOYBEAN 0.66 SOYMEAL 0.90 SOYOIL 0.96 SP400 0.50 SP500_micro 4.75 SUGAR11 2.66 US10 1.48 US10U 1.07 US2 2.53 US20 0.72 US30 0.48 US5 2.24 VIX 11.77 WHEAT 1.39 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 -23.8 -26.5 -21.2 0.0 0 BOBL -1.2 -1.4 -1.0 0.0 0 BTP -1.1 -1.4 -0.8 0.0 0 BUND -0.1 -0.2 -0.0 0.0 0 BUXL -0.2 -0.3 -0.2 0.0 0 CAC -0.3 -0.6 -0.1 0.0 0 CAD 1.8 1.3 2.3 0.0 0 CANOLA -7.2 -7.9 -6.4 -1.0 -1 CHF 0.4 0.3 0.6 5.0 5 COCOA 0.5 0.4 0.5 1.0 1 COFFEE 0.1 0.1 0.2 0.0 0 COPPER -0.8 -1.1 -0.4 0.0 0 CORN -6.5 -6.9 -6.1 -5.0 -5 COTTON2 -2.3 -2.5 -2.1 -5.0 -5 CRUDE_W 1.2 0.8 1.6 3.0 3 DAX 6.7 5.7 7.6 8.0 8 DOW 2.1 1.3 2.8 3.0 3 DX -3.2 -3.4 -2.9 0.0 0 EUR 1.5 1.3 1.7 3.0 3 EURIBOR-ICE 6.2 4.8 7.6 0.0 0 EUROSTX 0.1 -0.2 0.5 0.0 0 FEEDCOW -1.9 -2.0 -1.7 -2.0 -2 GASOIL -1.3 -1.5 -1.2 -1.0 -1 GASOLINE 0.2 0.1 0.3 0.0 0 GAS_US_mini -20.2 -22.7 -17.8 -11.0 -11 GBP 3.0 2.7 3.3 1.0 1 GOLD_micro 4.8 4.0 5.6 0.0 0 HEATOIL -1.6 -1.7 -1.5 -2.0 -2 JGB-SGX-mini 9.8 7.6 12.0 4.0 4 JPY 0.1 -0.0 0.3 1.0 1 LEANHOG 4.7 4.1 5.3 3.0 3 LIVECOW 0.2 -0.1 0.4 2.0 2 LUMBER-new -2.2 -2.6 -1.8 -2.0 -2 MILK 1.6 1.4 1.7 NaN 0 MXP -14.1 -16.6 -11.7 -7.0 -7 NASDAQ_micro -1.5 -1.8 -1.3 0.0 0 NIKKEI -1.2 -2.2 -0.3 -1.0 -1 NZD 1.9 1.6 2.2 0.0 0 OAT -0.4 -0.8 -0.1 0.0 0 OATIES -1.0 -1.4 -0.6 NaN 0 OJ 0.8 0.8 0.9 1.0 1 PALLAD -0.0 -0.1 0.0 0.0 0 PLAT -0.9 -1.1 -0.7 -1.0 -1 REDWHEAT -2.7 -2.8 -2.5 -2.0 -2 RICE -1.5 -1.8 -1.1 NaN 0 ROBUSTA 1.1 1.0 1.1 0.0 0 RUSSELL 0.3 -0.8 1.3 -12.0 -12 SHATZ -2.5 -3.1 -2.0 NaN 0 SILVER-mini 0.2 0.1 0.3 0.0 0 SMI 1.9 1.8 2.1 0.0 0 SOFR 14.7 12.8 16.5 NaN 0 SOYBEAN -1.0 -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 -1.6 -0.7 -1.0 -1 SUGAR11 -0.7 -0.9 -0.4 0.0 0 US10 0.6 0.5 0.7 0.0 0 US10U 0.6 0.5 0.7 1.0 1 US2 0.3 0.0 0.5 NaN 0 US20 0.4 0.4 0.5 0.0 0 US30 0.2 0.1 0.2 4.0 4 US5 0.7 0.5 0.9 2.0 2 VIX -6.6 -7.8 -5.5 -4.0 -4 WHEAT -2.5 -2.6 -2.3 -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 0.1 0.1 0.2 -0.0 0.2 0.1 -0.0 -0.1 -0.0 -0.0 0.1 0.0 0.2 0.0 0.2 0.3 0.0 0.0 0.0 0.1 0.0 0.1 -0.0 0.1 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 0.0 -0.6 0.3 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 -0.1 -0.1 0.1 0.1 -0.4 -0.3 -0.4 -0.4 0.1 0.1 -0.0 -0.1 0.0 0.6 0.0 -0.0 0.1 -0.0 0.0 0.0 -1.1 -0.0 -0.2 -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 -0.2 0.3 -0.1 0.5 0.2 0.2 0.0 0.1 0.0 0.0 0.1 0.1 -0.1 0.3 0.1 -2.7 0.1 -0.1 0.1 -0.0 0.2 0.0 0.6 -0.1 -0.3 -0.3 -0.6 -0.7 -0.5 -0.1 0.2 BUND -0.1 0.5 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 0.0 0.2 0.0 -0.0 0.1 -0.0 0.0 0.0 0.4 -0.1 -0.3 -0.2 -0.3 -0.7 -0.7 -0.2 -0.3 BUXL -0.1 0.4 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 -0.1 -0.1 0.0 -0.4 0.0 -0.1 0.1 -0.0 0.0 0.0 0.1 -0.3 -0.4 -0.4 -0.5 -0.7 -0.7 -0.3 -0.3 CAC 0.6 -0.3 -0.6 0.0 0.0 0.1 0.1 0.2 0.0 0.1 -0.2 0.2 0.1 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 0.1 0.1 0.0 0.0 0.1 0.0 0.1 0.1 -0.2 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 0.1 0.1 0.0 0.1 -0.1 0.1 -0.1 0.5 0.6 -0.1 -0.1 0.3 -0.2 0.1 -0.1 CANOLA -0.1 -0.1 -0.1 -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 0.1 -0.2 -0.0 -1.9 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 0.2 0.1 -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 0.0 0.0 0.0 0.0 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 0.1 0.1 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 0.0 0.1 0.0 -0.0 0.4 0.4 0.4 0.4 0.0 0.1 0.0 0.3 0.1 -2.7 0.0 -0.0 0.1 0.0 0.3 0.0 1.1 0.0 0.3 0.3 0.2 0.7 0.3 0.7 0.4 COFFEE 0.2 -0.1 0.2 -0.0 0.1 -0.1 0.1 -0.1 -0.0 -0.1 0.4 0.1 0.5 0.1 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 -0.0 0.2 0.0 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 -0.1 0.0 -0.0 -0.1 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -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 0.1 0.0 -0.3 0.0 0.5 0.2 0.7 0.6 CORN 0.2 -0.3 -0.6 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.1 -0.3 -0.0 -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 -0.2 -0.2 -0.4 -0.4 -0.1 -0.2 -0.1 -0.0 COTTON2 0.6 0.1 -0.6 -0.0 0.1 -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 -0.1 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 -0.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.3 -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 0.1 0.2 -0.0 -0.2 0.3 0.6 0.3 0.7 DAX 0.6 -0.2 -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 0.1 0.0 0.2 0.3 0.2 1.4 0.0 0.1 0.1 0.1 0.2 0.1 -0.4 0.3 0.4 -0.1 -0.6 0.4 0.1 0.0 0.1 DOW 0.5 0.0 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 0.1 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 -0.1 -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 -0.1 0.2 -0.2 0.3 EUR 0.5 0.4 0.3 0.0 0.0 0.0 0.1 0.0 0.1 -0.1 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 0.0 0.1 0.1 -0.4 -0.4 0.3 0.6 0.4 0.1 -0.6 -0.1 -0.7 EURIBOR-ICE 0.0 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 0.1 -0.0 0.1 -0.1 -0.7 -0.7 -0.1 0.1 EUROSTX 0.6 -0.4 -0.6 0.0 0.0 0.1 0.1 0.2 0.0 0.1 0.1 0.2 0.4 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.2 0.2 0.1 -0.3 -0.0 0.1 0.0 0.1 0.2 0.0 0.2 0.1 0.2 -0.4 -0.6 0.1 0.0 -0.4 -0.1 FEEDCOW -0.4 -0.6 -0.5 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.1 -0.3 -0.1 -0.3 -0.1 -0.1 0.2 -0.4 0.1 -0.1 -0.2 -0.2 -0.1 -0.3 -0.2 -0.9 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -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 -0.1 -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 -0.1 0.5 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.0 -0.2 -0.2 -0.1 -0.2 -0.4 -0.4 -0.7 GASOLINE -0.1 -0.4 -0.3 -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 -0.3 -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 -0.2 -0.1 -0.5 -0.1 2.7 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -1.1 -0.1 0.2 0.2 0.4 -0.2 -0.5 -0.3 -0.6 GBP 0.6 0.2 0.2 0.0 0.0 0.0 0.1 0.0 0.1 0.0 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 0.3 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 0.0 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 0.1 -0.9 0.0 -0.0 0.1 0.0 0.2 0.1 -0.7 0.1 0.4 0.6 0.6 0.4 -0.1 0.5 0.1 HEATOIL -0.1 -0.4 -0.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -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 0.2 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 -1.0 0.0 -0.0 0.0 0.0 -0.0 0.0 1.1 -0.0 0.2 -0.0 -0.2 -0.2 -0.2 -0.2 0.3 JPY 0.2 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 -0.2 -0.3 -0.3 -0.3 0.1 0.0 0.0 -0.1 0.1 2.7 0.0 -0.0 0.0 0.0 -0.0 0.0 -1.1 -0.1 -0.0 0.6 0.1 -0.7 -0.6 -0.7 -0.6 LEANHOG 0.5 0.5 -0.6 -0.0 0.1 -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 -0.5 -0.6 0.1 -0.0 0.1 -0.1 0.1 -0.1 -0.0 0.1 0.2 -0.1 0.2 -0.1 -0.0 0.4 0.2 0.4 0.3 -0.1 0.0 -0.0 0.1 -0.1 -1.6 -0.0 0.0 0.0 -0.0 0.1 -0.1 1.1 -0.5 -0.6 -0.5 0.6 -0.0 0.7 0.2 0.7 LUMBER-new 0.2 0.5 -0.2 -0.0 0.1 -0.1 0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.3 0.0 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 -0.0 -0.2 -0.0 NaN -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -1.2 -0.6 0.0 0.4 0.0 0.1 -0.1 0.3 -0.0 MILK 0.5 0.2 0.6 -0.0 0.1 -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 0.2 0.1 0.2 2.0 0.1 0.0 0.1 0.1 0.0 0.1 -1.1 0.2 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 -0.5 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 0.2 0.0 -0.4 -0.3 0.0 -0.5 0.1 0.0 0.2 -0.3 0.1 NIKKEI 0.3 -0.6 -0.6 0.0 0.0 0.0 0.0 0.1 0.0 0.1 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 -0.0 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 0.0 0.0 0.1 0.0 0.1 0.2 0.4 0.5 -0.1 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 -0.1 -0.1 0.1 0.1 0.0 0.1 0.0 0.0 0.1 0.0 -0.0 -0.1 0.0 0.4 0.0 -0.0 0.0 -0.0 0.0 0.0 0.5 -0.1 -0.2 -0.3 -0.6 -0.5 -0.6 -0.0 -0.0 OATIES 0.4 0.1 -0.6 -0.0 0.1 -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 0.1 -0.1 0.0 0.2 0.4 0.2 0.1 -0.2 0.4 -0.0 0.7 0.3 OJ 0.3 -0.1 -0.1 -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 0.4 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 0.1 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 -0.2 -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 0.1 -0.2 -0.3 -0.2 0.1 REDWHEAT 0.0 -0.5 -0.6 -0.0 0.1 -0.1 0.1 -0.1 -0.0 0.1 -0.5 -0.0 -0.7 -0.1 -0.2 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 0.0 -0.5 -0.1 -0.8 -0.1 0.1 -0.2 0.0 -0.2 -0.0 -0.9 -0.3 -0.4 -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 -0.1 0.2 -0.1 0.4 -0.0 -0.0 -0.2 0.4 0.4 0.4 -0.0 0.0 -0.1 0.2 -0.1 -1.4 -0.0 -0.1 0.0 -0.0 0.1 -0.0 1.1 -0.4 -0.5 0.3 0.6 -0.7 -0.5 -0.7 -0.5 ROBUSTA 0.6 0.2 0.5 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.1 0.4 0.1 0.5 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 0.4 0.6 0.6 0.6 0.1 -0.2 0.4 0.1 RUSSELL 0.2 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 -0.5 -0.2 -0.7 SHATZ -0.1 0.6 0.6 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.0 -0.1 0.1 0.9 0.0 -0.0 0.0 0.0 -0.0 0.0 -1.1 0.1 -0.1 0.0 -0.0 -0.7 -0.6 -0.5 -0.4 SILVER-mini 0.4 -0.5 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 0.1 0.1 0.2 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 0.2 0.0 0.3 -0.0 -0.0 -0.0 0.0 0.1 0.0 -0.1 0.1 0.0 0.0 0.3 0.2 -0.1 0.3 0.2 SMI 0.5 -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 0.4 0.1 1.4 0.1 0.0 0.2 0.1 0.2 0.1 0.5 0.1 0.5 0.6 0.5 0.1 0.0 -0.3 -0.1 SOFR 0.1 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 0.0 -0.0 -0.0 -0.0 0.2 0.1 0.0 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 -0.4 -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 -0.1 -0.1 0.0 -0.3 -0.1 -2.2 -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 -0.0 -0.5 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 -0.0 -0.3 -0.0 -0.1 -0.1 0.1 -0.0 0.0 -0.1 -0.1 0.0 -0.2 -0.0 -2.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 -0.2 -0.2 -0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.1 -0.4 -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 0.1 -0.2 -0.0 -2.5 -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 0.2 -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 0.2 0.0 0.0 -0.1 -0.1 0.4 -0.0 0.2 -0.2 -0.1 -0.7 SP500_micro 0.6 -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 0.4 0.1 -2.1 0.0 0.0 0.1 0.0 0.2 0.0 -0.5 -0.2 0.1 -0.2 0.2 0.2 0.1 -0.2 -0.0 SUGAR11 0.4 -0.0 0.0 -0.0 0.1 -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 0.4 0.4 -0.1 0.2 -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 -0.1 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 0.0 0.0 0.2 0.1 -0.7 0.7 0.2 US10U 0.1 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 0.1 0.1 -0.0 0.0 0.1 -0.1 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 -0.0 0.0 -0.1 0.1 0.2 -0.6 0.7 0.5 US2 0.0 0.6 0.6 0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 0.1 0.0 -0.1 0.1 0.1 -0.4 -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 0.2 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 0.4 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 -0.2 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 -0.5 1.0 1.0 0.0 -0.0 0.0 0.0 -0.1 0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.1 -0.1 -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 0.1 -0.5 -0.6 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.1 -0.3 -0.0 -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 -0.3 -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 -4.3 4.6 3.7 1.2 1.0 6.7 0.5 6.9 9.1 5.5 17.6 -1.3 14.2 10.0 -1.8 -2.6 -2.1 -2.3 8.8 4.1 17.5 0.7 16.6 2.6 3.3 2.4 1.5 7.1 0.5 6.7 -0.0 4.5 16.3 -9.0 2.1 10.6 -4.8 12.4 -0.6 BITCOIN -0.6 -6.3 -19.5 -2.8 -1.7 -3.4 0.7 -1.9 0.0 -12.3 1.6 0.6 7.2 -3.4 -6.2 -4.8 -6.9 -5.8 -6.5 -5.2 -0.9 -4.1 7.2 -4.0 -20.0 -3.0 -3.3 0.3 -2.1 6.0 -2.6 -2.3 0.2 -20.0 8.3 8.1 -8.0 -5.1 -3.3 0.2 BOBL -3.7 20.0 13.3 3.1 -1.9 2.3 -0.1 0.7 2.1 -9.5 -1.0 -7.9 -4.2 6.6 8.1 -20.0 -17.5 -20.0 -20.0 8.5 4.7 -2.4 -1.9 4.4 4.5 2.9 -1.9 2.0 -0.9 0.3 1.5 -20.0 -1.2 -7.4 -3.7 -6.5 -20.0 -20.0 -7.5 -8.6 BTP -0.9 11.6 3.1 5.4 -3.3 3.9 -0.2 1.1 3.6 -16.9 12.4 -6.8 14.8 14.0 16.6 1.2 3.7 1.4 2.2 11.3 10.9 -5.8 10.2 5.5 -20.0 5.4 -7.8 5.4 -3.2 5.2 2.5 10.4 -6.2 -10.6 -10.1 -17.7 -20.0 -15.5 -1.9 5.2 BUND -3.2 16.7 11.0 3.5 -2.1 2.5 -0.1 0.7 2.3 -11.3 0.7 -9.0 -0.8 7.1 8.9 4.2 1.6 4.0 2.0 8.0 5.4 -4.5 -0.3 3.4 1.1 3.2 -3.5 2.5 -1.9 1.0 1.2 7.9 -5.0 -9.5 -6.6 -8.6 -20.0 -20.0 -6.3 -7.6 BUXL -2.5 13.3 7.7 4.0 -2.5 2.9 -0.2 0.8 2.7 -13.1 -0.5 -10.6 -0.5 6.1 7.9 -0.8 -2.3 -1.5 -2.3 6.0 3.6 -7.8 -2.0 1.2 -3.2 3.0 -6.1 2.6 -3.9 1.0 0.4 1.3 -10.8 -13.0 -12.2 -14.9 -20.0 -20.0 -9.1 -7.7 CAC 17.8 -8.8 -20.0 2.7 4.9 4.4 5.8 6.2 3.9 15.9 -8.1 18.8 3.1 6.6 -9.0 -4.6 -2.0 -4.9 -3.1 -8.0 -11.1 18.7 -0.7 8.3 -9.1 -2.7 5.2 -3.1 6.0 0.9 2.5 6.5 4.5 5.8 -14.0 -20.0 11.2 5.3 2.6 3.9 CAD 20.0 6.2 1.6 4.8 1.6 1.3 8.7 0.6 9.0 12.6 -8.4 20.0 -16.1 20.0 12.3 -5.0 -3.5 -4.8 -4.2 12.9 -0.4 20.0 -7.5 20.0 -1.5 4.9 6.2 0.2 12.1 -2.1 10.8 -2.4 20.0 20.0 -3.4 -3.8 10.4 -6.0 2.4 -3.1 CANOLA -1.8 -3.7 -2.8 -1.7 3.4 -1.9 2.0 -1.3 -0.1 5.8 -4.9 3.6 -6.5 -3.5 -4.9 -11.3 -10.5 -12.1 -12.6 -5.0 -5.3 6.0 -5.8 -1.1 -14.4 -1.5 4.0 -2.3 2.7 -3.0 0.3 -20.0 8.6 2.2 -0.9 -3.4 0.4 -11.0 9.8 -4.8 CHF 10.9 20.0 19.9 2.4 0.8 0.7 4.4 0.3 4.5 2.9 0.8 8.5 -3.9 10.7 10.3 -14.2 -16.4 -15.6 -16.1 15.0 7.3 11.0 0.4 16.5 3.5 4.1 -0.2 2.2 2.5 0.5 4.2 -20.0 5.6 4.6 20.0 17.3 0.6 -10.7 -8.0 -11.9 COCOA 16.7 1.3 7.6 -1.6 3.1 -1.7 1.8 -1.2 -0.1 0.6 2.3 4.3 3.3 4.3 -0.4 20.0 20.0 20.0 20.0 3.2 5.0 4.4 9.3 5.1 -20.0 1.8 -0.0 4.5 1.6 9.3 2.0 20.0 1.1 9.3 8.3 5.1 19.8 7.9 20.0 12.1 COFFEE 6.0 -2.8 7.5 -4.1 8.0 -4.5 4.8 -3.2 -0.4 -9.5 15.5 10.5 15.2 11.7 14.9 4.5 6.2 4.3 5.4 14.0 16.6 7.5 16.8 12.7 -20.0 5.4 -3.9 7.2 3.2 8.9 5.3 6.3 -12.5 20.0 20.0 20.0 -2.8 -10.0 4.4 -3.5 COPPER 13.0 -20.0 -12.8 -2.1 -1.3 -2.5 0.5 -1.4 0.0 -4.2 -3.2 7.0 -0.2 -4.1 -8.0 -4.4 -2.8 -2.6 -2.3 -6.1 -3.1 2.4 2.8 -0.9 -13.4 -2.1 -0.4 -1.1 0.7 1.0 -0.3 4.9 2.7 0.8 -8.7 0.5 13.9 5.1 20.0 16.5 CORN 4.8 -9.3 -17.2 -2.9 5.7 -3.1 3.4 -2.3 -0.2 7.9 -12.2 -2.1 -12.9 -8.8 -12.3 -20.0 -15.7 -20.0 -19.9 -15.0 -17.7 -0.5 -17.4 -8.0 -8.4 -4.2 2.7 -4.9 -0.0 -4.7 -2.3 -20.0 -7.6 -6.0 -12.1 -13.9 -3.8 -7.3 -1.5 -0.8 COTTON2 18.4 3.2 -18.5 -3.6 7.0 -3.9 4.2 -2.8 -0.3 3.3 -15.6 6.5 -14.2 -2.7 -11.8 -10.8 -2.8 -9.2 -5.9 -9.3 -17.1 4.3 -16.6 0.3 -20.0 -3.2 2.0 -5.5 2.7 -3.7 1.0 -11.0 3.5 6.2 1.9 -5.3 -10.2 -10.3 0.4 -3.4 CRUDE_W 1.4 -15.3 -9.7 -5.0 -3.2 -3.3 -3.5 -0.5 -4.7 -4.6 -3.3 -4.7 9.6 -11.0 -9.7 12.9 12.8 13.3 13.2 -7.6 -3.7 -5.3 2.1 -7.2 -2.0 -5.2 -3.9 -4.3 -2.3 -0.7 -3.7 10.8 2.7 6.4 -0.0 -5.9 8.1 17.2 9.0 20.0 DAX 20.0 -6.7 -18.9 2.4 4.3 3.8 5.1 5.5 3.4 15.9 6.7 17.2 12.4 12.3 3.4 -7.8 -10.4 -8.6 -9.6 4.9 3.8 20.0 10.1 16.9 10.2 1.3 8.0 1.9 8.6 5.1 5.2 -7.0 13.7 11.0 -2.1 -17.7 11.4 4.4 0.3 2.8 DOW 16.5 1.5 0.2 1.9 3.4 3.0 4.0 4.3 2.7 10.5 7.4 13.3 11.2 10.1 8.1 -8.8 -10.9 -9.8 -10.5 10.0 8.6 14.2 9.9 13.5 -9.7 3.7 3.0 3.8 4.5 4.8 4.3 -8.0 -0.6 3.3 16.0 1.3 9.8 0.4 -1.3 -4.2 DX -15.2 -20.0 -13.6 2.9 1.0 0.8 5.2 0.4 5.4 0.8 -3.3 -7.8 6.4 -12.8 -13.3 6.0 6.9 6.7 6.9 -16.5 -8.0 -9.6 -0.4 -18.5 -20.0 -4.9 1.5 -2.4 -2.8 -0.2 -5.4 16.1 -20.0 -20.0 -20.0 -20.0 -4.4 5.5 -5.8 8.2 EUR 14.3 13.6 7.9 4.0 1.3 1.1 7.3 0.5 7.5 -14.0 6.4 7.9 -5.2 15.2 17.0 -6.8 -7.2 -7.2 -7.2 17.0 8.8 5.7 1.7 18.2 20.0 6.5 -4.9 3.8 2.4 1.5 6.9 -8.1 -15.5 9.4 18.3 12.8 2.1 -17.6 -2.6 -19.5 EURIBOR-ICE 0.1 20.0 13.7 2.7 -1.6 1.9 -0.1 0.6 1.8 -1.2 2.1 0.3 2.6 8.3 8.7 0.8 -3.6 -1.3 -2.6 11.4 8.0 1.9 3.4 8.1 12.7 3.0 -0.4 2.1 0.4 1.1 2.1 -0.1 4.5 -1.4 2.8 -2.3 -20.0 -20.0 -2.5 1.7 EUROSTX 17.4 -11.9 -20.0 2.3 4.2 3.7 5.0 5.3 3.4 14.5 5.3 16.7 11.3 5.3 -0.8 -4.1 -2.9 -4.6 -4.1 -1.0 -0.3 17.2 8.5 9.5 -2.2 -0.6 5.7 0.7 6.2 5.0 3.1 4.6 2.4 6.9 -11.9 -20.0 4.3 0.9 -13.5 -2.6 FEEDCOW -12.8 -20.0 -16.1 -3.8 7.4 -4.1 4.4 -3.0 -0.3 5.7 -10.4 -7.6 -8.6 -13.7 -13.6 11.5 -18.9 3.2 -7.5 -20.0 -19.9 -9.2 -10.2 -20.0 -6.5 -5.2 0.1 -3.8 -1.7 -1.7 -4.4 -20.0 -20.0 -20.0 -20.0 -15.2 3.5 20.0 10.9 20.0 GASOIL -4.6 -14.9 -13.4 -4.9 -3.1 -3.2 -3.4 -0.5 -4.5 -9.8 -10.2 -12.0 7.1 -15.7 -14.7 2.1 9.4 1.4 3.8 -13.7 -8.9 -10.5 -0.4 -13.7 4.0 -5.9 -3.8 -4.0 -4.3 -0.7 -5.7 0.1 -1.3 -5.8 -5.7 -1.6 -6.2 -12.6 -12.8 -20.0 GASOLINE -4.5 -12.5 -10.0 -4.9 -3.1 -3.2 -3.4 -0.5 -4.5 -1.0 -2.5 -9.0 7.7 -12.4 -11.5 20.0 20.0 20.0 20.0 -9.3 -4.5 -6.9 2.8 -10.0 -20.0 -5.5 -2.2 -3.8 -3.4 0.4 -5.1 20.0 3.9 -1.6 3.8 -3.4 17.2 20.0 20.0 20.0 GAS_US_mini 5.1 -10.4 -3.9 -4.1 -2.6 -2.7 -2.9 -0.4 -3.8 -13.8 -14.0 -10.5 -15.1 -12.2 -13.8 -20.0 -20.0 -20.0 -20.0 -12.4 -14.1 -10.9 -20.0 -10.6 20.0 -4.0 -5.0 -4.3 -5.4 -5.9 -4.4 -20.0 -2.6 7.3 5.7 11.0 -5.5 -14.2 -7.8 -19.0 GBP 17.5 4.7 7.3 4.3 1.4 1.2 7.8 0.6 8.0 2.9 16.5 16.3 10.9 16.8 17.5 -0.5 -0.7 -0.6 -0.7 19.9 13.8 20.0 9.5 20.0 -1.2 6.8 1.0 5.1 7.8 3.8 8.8 3.0 11.8 10.5 17.4 20.0 8.9 -20.0 9.7 -15.4 GOLD_micro 12.7 4.9 2.1 -2.6 -1.6 -3.2 0.6 -1.8 0.0 0.3 13.3 11.6 12.9 12.5 11.8 -11.8 -13.2 -11.9 -12.3 13.7 14.8 7.7 15.8 12.9 -6.4 4.1 -0.4 4.7 3.0 6.2 4.6 -12.6 2.6 11.4 20.0 19.9 11.3 -3.2 16.4 2.6 HEATOIL -3.3 -12.7 -9.9 -4.9 -3.1 -3.2 -3.4 -0.5 -4.6 -6.8 -12.7 -10.4 1.5 -15.2 -14.3 -5.3 6.3 -5.0 -1.3 -13.3 -9.9 -8.7 -3.5 -12.7 -20.0 -6.2 -2.6 -5.4 -3.4 -2.2 -5.2 -6.9 0.9 -5.1 -6.8 -9.0 -5.4 5.2 -15.4 2.4 JGB-SGX-mini 7.1 20.0 7.2 1.9 -1.2 1.4 -0.1 0.4 1.3 -3.7 0.3 -2.4 0.3 2.9 2.9 12.1 17.2 14.8 16.0 4.5 2.0 -0.2 0.2 3.4 -7.1 1.6 -0.4 0.5 0.2 -0.3 1.4 20.0 -1.4 7.1 -0.2 -6.8 -6.7 -5.0 -5.8 8.5 JPY 7.4 20.0 20.0 1.5 0.5 0.4 2.8 0.2 2.9 -2.9 0.1 3.5 -5.2 6.8 5.9 -11.5 -15.4 -13.1 -14.2 9.1 2.8 3.4 -4.5 8.9 20.0 2.2 -0.6 0.7 0.7 -1.0 2.1 -20.0 -4.4 -1.0 20.0 4.3 -20.0 -17.6 -20.0 -17.8 LEANHOG 16.2 14.3 -18.3 -3.2 6.2 -3.5 3.7 -2.5 -0.3 12.6 -6.9 13.3 -6.8 12.4 -3.0 20.0 15.1 20.0 20.0 -0.2 -8.8 16.6 -10.5 11.0 3.9 0.2 5.9 -2.7 6.3 -3.0 4.2 20.0 12.9 11.1 15.7 -10.3 0.0 -5.7 4.2 3.3 LIVECOW -15.9 -18.6 4.6 -4.4 8.5 -4.7 5.0 -3.4 -0.4 8.0 6.3 -5.3 6.4 -11.9 -2.4 20.0 11.9 17.7 16.2 -7.4 1.7 -5.3 5.6 -12.5 -12.0 -2.9 1.2 0.7 -2.0 3.2 -4.7 20.0 -20.0 -20.0 -15.1 20.0 -1.3 20.0 4.6 20.0 LUMBER-new 5.0 14.4 -5.6 -2.6 5.0 -2.8 3.0 -1.9 -0.2 -3.2 -7.1 -5.1 -8.2 3.6 -1.4 -17.6 -17.5 -17.4 -17.5 -1.8 -6.2 -3.1 -7.9 -1.1 NaN -0.6 0.0 -3.3 -1.6 -4.3 -0.4 -20.0 -20.0 0.1 11.9 0.6 3.6 -2.7 8.3 -0.1 MILK 15.2 6.6 20.0 -3.2 6.2 -3.4 3.7 -2.5 -0.3 11.9 12.2 12.9 4.7 12.5 12.8 20.0 -19.3 -0.4 -11.0 16.1 13.4 18.5 5.3 18.1 15.1 4.7 4.9 3.9 5.5 1.3 5.4 -20.0 7.7 20.0 20.0 20.0 -2.9 -20.0 2.2 -20.0 MXP -1.6 -12.8 -20.0 1.7 0.6 0.5 3.2 0.2 3.3 -6.8 -6.5 -7.1 -2.0 -7.4 -7.6 9.5 14.3 10.7 12.1 -10.2 -7.9 -10.3 -2.4 -10.4 -20.0 -3.2 -1.9 -2.5 -2.7 -0.7 -2.9 20.0 -20.0 -20.0 -19.7 -20.0 16.2 12.4 20.0 18.9 NASDAQ_micro 12.9 -20.0 -14.1 1.4 2.4 2.2 2.9 3.1 2.0 -3.5 3.3 6.1 7.3 0.7 0.9 -7.0 -10.1 -8.6 -9.6 1.0 3.9 1.7 7.8 1.9 -16.6 0.3 -0.3 2.0 0.3 4.2 0.2 -6.6 -12.3 0.4 -14.9 3.5 1.5 4.8 -7.6 2.1 NIKKEI 9.2 -20.0 -20.0 1.0 1.7 1.5 2.0 2.2 1.4 6.2 1.8 6.5 3.8 1.6 0.8 6.2 9.8 8.8 9.1 -1.0 -0.1 4.0 2.5 1.4 -6.7 -1.6 0.6 -0.5 -0.0 1.0 -1.3 20.0 -3.2 -16.0 -18.6 -11.4 9.1 -0.4 6.1 -2.4 NZD 20.0 1.2 3.2 2.7 0.9 0.7 4.9 0.4 5.1 11.8 1.7 13.9 -1.2 12.5 7.2 -0.2 0.0 -0.2 -0.1 8.1 2.2 19.7 -0.3 17.0 0.0 2.6 4.1 0.6 6.7 0.0 5.8 4.2 17.2 16.8 -4.2 3.2 7.5 -4.8 5.3 -0.0 OAT 1.8 15.4 1.4 3.8 -2.3 2.8 -0.2 0.8 2.5 -12.0 -3.3 -8.4 -2.4 9.3 9.9 0.0 3.3 0.5 1.5 6.1 1.7 -4.1 -2.9 3.8 2.9 3.0 -4.8 1.5 -2.3 0.1 1.6 9.6 -4.4 -6.9 -8.1 -17.6 -15.2 -18.1 -1.3 -0.2 OATIES 11.4 1.9 -18.9 -2.9 5.7 -3.1 3.4 -2.3 -0.3 11.1 -11.1 8.3 -11.9 -0.3 -11.1 12.6 3.2 8.1 5.8 -6.2 -11.6 14.2 -12.1 3.6 -20.0 -2.0 9.4 -3.4 5.9 -3.2 1.6 3.4 15.7 7.0 3.9 -5.4 10.6 -0.7 20.0 8.8 OJ 7.8 -2.7 -1.7 -3.8 7.4 -4.1 4.4 -2.9 -0.3 -2.7 13.0 5.5 14.4 6.0 10.5 10.3 11.7 9.6 9.7 13.1 16.0 8.8 20.0 12.5 -20.0 4.6 1.6 5.8 3.7 9.6 4.8 14.2 -3.2 20.0 20.0 20.0 13.5 11.7 20.0 20.0 PALLAD 12.7 0.1 5.7 -1.7 -1.0 -2.1 0.4 -1.1 0.0 5.0 -4.9 8.0 -8.2 0.9 -1.4 -1.7 -2.0 -1.8 -1.9 -0.3 -3.2 4.6 -7.4 2.9 14.8 -0.6 2.3 -2.5 2.9 -4.0 1.7 6.0 2.8 4.4 2.9 4.4 -20.0 -20.0 -20.0 -20.0 PLAT 3.8 -12.8 -6.0 -2.1 -1.3 -2.6 0.5 -1.4 0.0 -9.3 -5.0 -1.7 -4.2 -6.2 -8.2 -4.5 -4.4 -4.8 -4.8 -4.2 -2.4 -4.9 -0.8 -3.7 5.3 -3.1 -4.2 -2.4 -2.4 -0.9 -2.2 1.4 -9.0 -10.8 -6.3 4.3 -6.6 -8.1 -5.0 1.6 REDWHEAT 1.2 -14.8 -20.0 -4.6 8.9 -4.9 5.3 -3.5 -0.4 15.7 -18.1 -1.7 -18.4 -13.0 -19.4 -10.5 -5.9 -10.5 -8.6 -20.0 -20.0 2.2 -20.0 -12.1 -5.9 -6.0 5.9 -5.7 0.9 -5.2 -3.4 -16.2 -11.5 -11.1 -17.1 -12.4 -20.0 -20.0 -18.0 -20.0 RICE -7.3 -6.5 -9.3 -4.0 7.7 -4.3 4.6 -3.1 -0.3 -10.8 8.5 -8.0 11.8 -1.2 -3.3 -9.0 20.0 20.0 20.0 -3.8 0.8 -6.4 7.2 -4.9 -10.4 -0.6 -7.3 1.5 -4.1 3.0 -2.4 20.0 -16.7 -13.9 8.0 17.4 -20.0 -16.3 -20.0 -15.7 ROBUSTA 20.0 5.1 15.3 -3.1 6.0 -3.3 3.6 -2.4 -0.3 11.2 13.0 13.0 13.0 12.7 12.8 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 5.1 3.2 6.2 5.6 8.1 5.6 20.0 15.8 20.0 20.0 20.0 3.6 -5.4 10.7 1.9 RUSSELL 4.8 2.4 -1.0 1.4 2.6 2.3 3.0 3.3 2.1 5.1 3.9 7.2 7.1 2.9 2.5 -5.0 -6.5 -5.8 -6.3 4.4 4.4 6.5 4.2 5.4 -0.7 2.4 1.3 2.8 2.0 2.7 2.0 -0.5 -1.0 -5.7 16.3 3.3 3.2 -16.4 -5.7 -20.0 SHATZ -3.3 20.0 20.0 2.5 -1.5 1.8 -0.1 0.5 1.6 -1.4 -1.0 -3.3 -4.2 5.6 6.7 -20.0 -20.0 -20.0 -20.0 9.0 4.5 0.7 -3.7 5.9 7.1 2.5 -0.6 1.5 0.2 -0.4 1.6 -20.0 3.2 -2.5 0.8 -1.4 -20.0 -17.6 -16.2 -10.9 SILVER-mini 11.5 -15.2 -3.9 -2.2 -1.3 -2.6 0.5 -1.4 0.0 -6.2 4.0 7.2 5.3 -0.1 -2.6 -6.5 -6.4 -6.1 -6.1 0.1 2.9 2.3 6.0 2.4 2.4 -1.1 -2.5 -0.2 0.8 1.9 0.6 -1.4 3.1 1.0 0.0 8.9 4.8 -4.2 7.9 7.3 SMI 15.7 -10.9 3.9 2.1 3.8 3.4 4.5 4.8 3.0 13.6 12.5 15.0 13.4 12.8 12.1 -2.9 0.1 -2.9 -1.8 9.3 11.6 15.8 13.1 12.5 10.6 5.6 4.2 6.0 5.1 5.9 5.7 9.3 2.6 14.5 20.0 16.9 1.7 1.2 -9.6 -2.4 SOFR 4.2 20.0 20.0 3.6 -2.2 2.6 -0.2 0.7 2.4 -2.7 9.0 6.7 4.1 11.4 12.5 1.3 -0.8 -0.0 -0.7 16.9 13.1 4.1 4.8 12.5 -4.7 4.5 -1.2 3.8 1.0 2.1 3.2 4.0 6.9 3.3 2.4 9.2 9.4 -13.3 20.0 6.7 SOYBEAN -2.1 -13.0 -20.0 -2.1 4.2 -2.3 2.5 -1.7 -0.2 8.0 -8.8 -2.3 -7.8 -6.7 -8.6 -13.0 2.0 -8.2 -4.1 -13.5 -13.8 0.7 -10.9 -7.7 -16.1 -3.1 1.6 -3.2 0.2 -2.4 -1.7 -5.6 2.1 -9.5 -18.4 -13.7 -2.7 -20.0 2.5 -17.1 SOYMEAL -2.7 -1.1 -14.0 -2.2 4.3 -2.4 2.6 -1.7 -0.2 7.4 -8.3 -3.0 -8.5 -4.2 -8.0 -3.8 4.7 -0.2 1.6 -8.0 -9.4 0.6 -8.6 -4.0 -18.2 -2.5 1.5 -2.7 0.4 -2.1 -1.3 1.2 -2.2 -5.7 -6.5 -3.3 -20.0 -20.0 -20.0 -20.0 SOYOIL 1.7 -13.6 -3.4 -2.0 4.0 -2.2 2.3 -1.6 -0.2 6.8 -7.2 4.6 -8.4 -5.5 -6.6 6.4 1.9 4.7 2.3 -6.9 -7.9 6.2 -8.2 -2.0 -18.9 -2.2 3.7 -2.6 2.2 -2.4 -0.5 -1.2 9.6 -1.2 -10.7 -2.4 -2.8 -9.4 5.9 -2.3 SP400 10.0 0.2 -8.8 1.7 3.0 2.7 3.6 3.8 2.4 4.1 6.0 8.9 9.2 5.3 3.4 -5.8 -5.8 -5.8 -5.8 4.5 4.4 7.9 6.2 7.1 -9.1 2.8 1.6 3.4 2.9 4.3 2.9 0.5 -2.4 -3.6 13.4 -1.0 6.2 -7.3 -3.4 -20.0 SP500_micro 17.5 -20.0 -8.5 1.7 3.1 2.8 3.7 4.0 2.5 2.7 9.0 11.3 11.4 7.4 6.8 -9.0 -12.1 -11.0 -11.8 6.8 9.2 8.6 13.1 8.7 -15.5 2.1 1.1 4.0 2.4 6.4 2.2 -10.2 -7.3 4.0 -5.2 6.9 7.2 3.0 -5.7 -0.0 SUGAR11 11.4 -0.8 1.4 -3.4 6.7 -3.7 4.0 -2.7 -0.3 10.0 -11.8 9.9 -11.5 -0.3 -5.5 -4.1 6.1 -3.2 0.3 -2.4 -8.7 18.6 -9.3 7.6 -20.0 -0.6 7.4 -3.4 8.1 -3.9 3.6 1.9 18.1 12.7 -1.6 4.8 -6.8 15.5 -3.4 18.6 US10 3.1 19.7 20.0 2.8 -1.7 2.0 -0.1 0.6 1.8 -6.7 5.9 -0.5 -0.4 7.1 8.7 -6.5 -7.4 -7.1 -7.2 11.2 8.2 0.3 1.1 7.5 2.0 3.3 -1.7 2.8 0.1 1.2 2.2 -7.2 1.2 1.0 0.8 5.2 4.4 -20.0 20.0 5.0 US10U 3.8 17.8 20.0 3.8 -2.4 2.8 -0.2 0.8 2.5 -11.2 7.7 0.6 -1.1 10.2 12.2 -3.8 -3.0 -4.0 -3.8 13.7 9.7 -0.3 0.6 9.3 -0.4 4.5 -2.8 3.8 -0.1 1.6 2.9 -0.4 -0.0 0.7 -2.2 4.5 4.8 -17.7 20.0 14.5 US2 1.3 20.0 20.0 2.3 -1.4 1.6 -0.1 0.5 1.5 0.2 1.9 0.5 -3.4 5.6 6.5 -20.0 -20.0 -20.0 -20.0 9.8 6.0 2.1 -1.4 7.3 11.4 2.5 -0.5 1.8 0.6 0.4 1.9 -20.0 4.5 4.7 7.7 4.8 1.3 -20.0 5.6 -11.0 US20 5.7 15.9 19.6 2.8 -1.7 2.0 -0.1 0.6 1.8 -8.4 5.7 0.4 1.3 7.0 8.4 -1.3 -0.9 -1.1 -0.9 9.5 7.0 -0.8 1.2 6.4 -2.1 3.2 -2.5 3.0 -0.3 1.6 2.0 3.9 -1.5 0.3 -3.2 3.8 5.1 -10.2 20.0 20.0 US30 5.7 13.5 17.4 3.3 -2.0 2.4 -0.1 0.7 2.2 -10.2 5.5 0.0 -0.3 7.8 9.3 -5.0 -5.0 -4.6 -4.7 9.2 6.3 -0.9 -0.3 6.4 -1.5 3.8 -3.2 3.4 -0.4 1.6 2.4 -3.0 -1.5 -0.1 -7.4 1.0 2.1 -9.4 19.4 20.0 US5 2.0 20.0 20.0 2.8 -1.7 2.0 -0.1 0.6 1.8 -4.3 5.2 -0.9 -1.7 7.0 8.5 -13.1 -11.1 -12.3 -11.5 11.7 8.3 1.4 0.7 8.1 5.5 3.2 -1.2 2.6 0.4 1.0 2.2 -13.9 3.2 2.0 3.6 5.9 5.0 -20.0 17.4 -1.6 VIX -8.9 20.0 20.0 1.3 -0.3 0.3 0.1 -1.0 1.1 -5.7 -4.6 -6.8 -6.6 -4.7 -4.3 -4.2 -20.0 -20.0 -20.0 0.1 -0.7 -2.2 -3.2 -1.1 NaN 1.4 -0.4 0.3 0.1 -1.2 1.2 NaN NaN NaN NaN NaN -11.7 -20.0 NaN NaN WHEAT 1.8 -16.3 -20.0 -3.2 6.3 -3.5 3.7 -2.5 -0.3 6.6 -12.4 -2.0 -12.3 -10.0 -13.6 -18.6 -15.3 -17.5 -16.6 -16.3 -16.1 -1.4 -14.8 -9.9 2.6 -4.2 2.8 -3.8 -0.4 -3.1 -2.8 -20.0 -15.7 -7.2 -14.5 -8.4 -19.1 -20.0 -17.1 -20.0 End of report for caleb_strategy_v3