******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240902_203930 produced at 2024-09-02 21:37:37.556711 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.07 -0.13 0.0 0.52 -0.52 -0.07 -0.07 -15.38 60.0 -8 -8 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -2.67 24.0 0 0 caleb_strategy_v3 DX False False 0.03 0.00 -0.11 0.0 999.00 -999.00 0.00 0.00 -3.10 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.08 -0.07 0.0 0.32 -0.32 -0.08 -0.08 -1.87 8.0 -2 -2 caleb_strategy_v3 HEATOIL False False 0.03 -0.07 -0.05 0.0 0.10 -0.10 -0.07 -0.07 -1.58 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 -24.86 59.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.03 -0.05 0.0 0.08 -0.08 -0.03 -0.03 -6.49 12.0 -5 -5 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.05 0.0 0.86 -0.86 0.00 0.00 -1.21 19.0 0 0 caleb_strategy_v3 BTP False False 0.05 -0.05 -0.04 0.0 0.45 -0.45 -0.05 -0.09 -0.89 10.0 -1 -2 caleb_strategy_v3 VIX False False 0.01 -0.02 -0.04 0.0 999.00 -999.00 -0.02 -0.02 -6.63 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 -20.03 26.0 -11 -11 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.10 -0.10 -0.02 -0.02 -1.41 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 -0.74 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 -2.30 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 -2.67 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 -0.34 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 -2.46 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 -1.02 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 -7.17 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 -1.50 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 -2.17 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 -0.17 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 -0.73 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 -1.08 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 -0.27 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 -0.70 18.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.02 -0.01 0.0 0.47 -0.47 -0.02 -0.02 -1.01 48.0 -2 -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 -1.27 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 -0.03 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 0.00 0.0 0.26 -0.26 -0.03 -0.02 0.41 68.0 -8 -6 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.07 -0.07 0.00 0.00 -0.02 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 0.18 999999999.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.05 0.00 0.0 0.42 -0.42 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 0.15 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 -0.02 17.0 1 1 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.01 0.0 0.38 -0.38 0.00 0.00 0.86 23.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.18 0.01 0.0 0.27 -0.27 0.18 0.18 0.18 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 0.22 999999999.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.01 0.0 0.38 -0.38 0.00 0.00 0.30 20.0 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 US10 False False 0.04 0.00 0.02 0.0 0.67 -0.67 0.00 0.00 0.61 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 1.57 5.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.04 0.02 0.0 0.53 -0.53 0.04 0.04 0.57 13.0 1 1 caleb_strategy_v3 DOW False False 0.01 0.02 0.02 0.0 0.47 -0.47 0.02 0.02 2.39 66.0 3 3 caleb_strategy_v3 CHF False False 0.05 0.25 0.02 0.0 0.66 -0.66 0.25 0.25 0.30 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 0.43 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 0.84 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 0.29 13.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.08 0.03 0.0 0.95 -0.95 0.08 0.08 0.76 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 1.28 5.0 3 3 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.04 0.0 0.49 -0.49 0.00 0.00 4.85 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 1.89 21.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.03 0.05 0.0 0.13 -0.13 0.03 0.03 4.64 13.0 3 3 caleb_strategy_v3 AUD False False 0.02 0.14 0.05 0.0 0.45 -0.45 0.14 0.14 2.07 19.0 6 6 caleb_strategy_v3 DAX False False 0.01 0.06 0.05 0.0 0.42 -0.42 0.06 0.07 7.32 58.0 8 9 caleb_strategy_v3 CAD False False 0.03 0.00 0.05 0.0 0.74 -0.74 0.00 0.00 1.91 29.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.14 0.06 0.0 0.67 -0.67 0.14 0.14 1.32 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 3.16 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 2.02 9.0 0 0 caleb_strategy_v3 JGB-SGX-mini False True 0.03 0.14 0.31 0.0 0.14 0.00 0.14 0.14 9.16 16.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.59 0.0 0.93 -0.93 0.00 0.00 6.31 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.26 0.0 0.00 0.00 0.00 0.00 15.10 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.7 Shocked risk 15.7 Sum abs risk 35.4 Leverage 4.08 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2895397.17, 'annual_cash_vol_target': 723849.2925, 'daily_cash_vol_target': 45240.58078125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0040 0.6798 0.5914 9.4627 BITCOIN 1816.2328 58700.0000 3.0941 49.5055 BOBL 0.2281 118.6800 0.1922 3.0750 BTP 0.4730 118.4800 0.3992 6.3872 BUND 0.4717 132.7800 0.3553 5.6841 BUXL 1.1839 133.0200 0.8900 14.2402 CAC 58.2125 7668.0000 0.7592 12.1466 CAD 0.0025 0.7435 0.3366 5.3855 CANOLA 9.8719 623.8000 1.5825 25.3207 CHF 0.0060 1.1764 0.5065 8.1040 COCOA 194.3707 7671.0000 2.5338 40.5414 COFFEE 4.5802 244.0500 1.8768 30.0282 COPPER 0.0550 4.2190 1.3030 20.8487 CORN 5.4420 401.5000 1.3554 21.6867 COTTON2 1.0311 69.9900 1.4732 23.5707 CRUDE_W 1.2457 71.9800 1.7306 27.6904 DAX 138.3019 18985.0000 0.7285 11.6557 DOW 279.1764 41640.0000 0.6705 10.7272 DX 0.4179 101.2300 0.4128 6.6050 EUR 0.0047 1.1078 0.4285 6.8561 EURIBOR-ICE 0.0400 97.8000 0.0409 0.6537 EUROSTX 42.1235 4987.0000 0.8447 13.5147 FEEDCOW 2.0038 232.1250 0.8632 13.8117 GASOIL 11.2071 698.7500 1.6039 25.6622 GASOLINE 0.0366 2.0246 1.8060 28.8962 GAS_US_mini 0.0808 2.5100 3.2183 51.4926 GBP 0.0063 1.3148 0.4798 7.6775 GOLD_micro 19.6987 2513.0000 0.7839 12.5420 HEATOIL 0.0398 2.3085 1.7221 27.5532 JGB-SGX-mini 0.3169 144.5400 0.2193 3.5083 JPY 0.0001 0.0068 0.7677 12.2831 LEANHOG 1.1478 72.6750 1.5794 25.2701 LIVECOW 1.3903 177.5250 0.7831 12.5303 LUMBER-new 8.8291 518.5000 1.7028 27.2452 MILK 0.2911 22.5100 1.2932 20.6909 MXP 0.0005 0.0504 1.0622 16.9951 NASDAQ_micro 223.5093 19594.0000 1.1407 18.2512 NIKKEI 713.3891 38660.0000 1.8453 29.5246 NZD 0.0041 0.6233 0.6556 10.4894 OAT 0.4286 125.7200 0.3409 5.4545 OATIES 5.8016 336.7500 1.7228 27.5652 OJ 8.3618 460.3000 1.8166 29.0657 PALLAD 24.0057 962.0000 2.4954 39.9264 PLAT 16.0272 931.2000 1.7211 27.5382 REDWHEAT 9.0021 566.7500 1.5884 25.4138 RICE 0.1555 14.9800 1.0382 16.6115 ROBUSTA 77.3639 4754.0000 1.6273 26.0375 RUSSELL 28.2128 2220.5000 1.2706 20.3289 SHATZ 0.0773 106.5750 0.0725 1.1600 SILVER-mini 0.5176 29.2875 1.7672 28.2757 SMI 84.3957 12452.0000 0.6778 10.8443 SOFR 0.0591 96.8850 0.0610 0.9757 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 30.0502 3092.7000 0.9716 15.5464 SP500_micro 44.8553 5656.5000 0.7930 12.6878 SUGAR11 0.3265 19.6600 1.6610 26.5755 US10 0.3873 113.6094 0.3409 5.4548 US10U 0.5379 117.4375 0.4580 7.3286 US2 0.1129 103.7930 0.1088 1.7403 US20 0.7983 123.1250 0.6484 10.3736 US30 1.2001 131.9062 0.9098 14.5571 US5 0.2546 109.4531 0.2326 3.7218 VIX 0.9540 17.1500 5.5630 89.0073 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 679.75 0.59 402.02 1.00 402.02 45240.58 112.53 7.08 79.68 BITCOIN 58.70 3.09 181.62 1.00 181.62 45240.58 249.09 -9.22 -229.62 BOBL 1186.80 0.19 228.09 1.11 252.67 45240.58 179.05 -6.68 -119.61 BTP 1184.80 0.40 472.97 1.11 523.96 45240.58 86.34 -3.03 -26.15 BUND 1327.80 0.36 471.71 1.11 522.56 45240.58 86.58 -1.92 -16.63 BUXL 1330.20 0.89 1183.90 1.11 1311.52 45240.58 34.49 -6.43 -22.17 CAC 766.80 0.76 582.12 1.11 644.88 45240.58 70.15 -1.11 -7.79 CAD 743.45 0.34 250.24 1.00 250.24 45240.58 180.79 4.08 73.71 CANOLA 124.76 1.58 197.44 0.74 146.71 45240.58 308.36 -9.56 -294.74 CHF 1470.56 0.51 744.84 1.00 744.84 45240.58 60.74 1.88 11.42 COCOA 767.10 2.53 1943.71 1.00 1943.71 45240.58 23.28 9.04 21.03 COFFEE 915.19 1.88 1717.59 1.00 1717.59 45240.58 26.34 4.74 12.48 COPPER 1054.75 1.30 1374.38 1.00 1374.38 45240.58 32.92 -2.08 -6.84 CORN 200.75 1.36 272.10 1.00 272.10 45240.58 166.26 -16.05 -266.82 COTTON2 349.95 1.47 515.53 1.00 515.53 45240.58 87.75 -12.22 -107.25 CRUDE_W 719.80 1.73 1245.72 1.00 1245.72 45240.58 36.32 3.25 11.81 DAX 189.85 0.73 138.30 1.11 153.21 45240.58 295.28 7.26 214.51 DOW 208.20 0.67 139.59 1.00 139.59 45240.58 324.10 3.18 103.01 DX 1012.30 0.41 417.89 1.00 417.89 45240.58 108.26 -11.04 -119.53 EUR 1384.75 0.43 593.38 1.00 593.38 45240.58 76.24 6.69 51.04 EURIBOR-ICE 2445.00 0.04 99.89 1.11 110.66 45240.58 408.84 4.52 184.87 EUROSTX 498.70 0.84 421.23 1.11 466.64 45240.58 96.95 0.91 8.78 FEEDCOW 1160.62 0.86 1001.89 1.00 1001.89 45240.58 45.16 -12.50 -56.43 GASOIL 698.75 1.60 1120.71 1.00 1120.71 45240.58 40.37 -8.03 -32.43 GASOLINE 850.33 1.81 1535.71 1.00 1535.71 45240.58 29.46 1.69 4.97 GAS_US_mini 62.75 3.22 201.95 1.00 201.95 45240.58 224.02 -8.26 -184.94 GBP 821.75 0.48 394.31 1.00 394.31 45240.58 114.73 10.63 121.95 GOLD_micro 251.30 0.78 196.99 1.00 196.99 45240.58 229.66 6.19 142.27 HEATOIL 969.57 1.72 1669.67 1.00 1669.67 45240.58 27.10 -13.44 -36.43 JGB-SGX-mini 144540.00 0.22 31692.72 0.01 218.67 45240.58 206.89 4.09 84.61 JPY 852.62 0.77 654.55 1.00 654.55 45240.58 69.12 -0.09 -0.65 LEANHOG 290.70 1.58 459.13 1.00 459.13 45240.58 98.54 7.75 76.38 LIVECOW 710.10 0.78 556.11 1.00 556.11 45240.58 81.35 0.62 5.08 LUMBER-new 142.59 1.70 242.80 1.00 242.80 45240.58 186.33 -5.43 -101.27 MILK 450.20 1.29 582.19 1.00 582.19 45240.58 77.71 9.43 73.29 MXP 252.05 1.06 267.73 1.00 267.73 45240.58 168.98 -6.20 -104.82 NASDAQ_micro 391.88 1.14 447.02 1.00 447.02 45240.58 101.21 -6.40 -64.74 NIKKEI 38660.00 1.85 71338.91 0.01 492.21 45240.58 91.91 -0.73 -6.74 NZD 623.30 0.66 408.63 1.00 408.63 45240.58 110.71 6.58 72.90 OAT 1257.20 0.34 428.59 1.11 474.79 45240.58 95.29 -1.06 -10.07 OATIES 168.38 1.72 290.08 1.00 290.08 45240.58 155.96 -2.86 -44.57 OJ 690.45 1.82 1254.27 1.00 1254.27 45240.58 36.07 10.93 39.43 PALLAD 962.00 2.50 2400.57 1.00 2400.57 45240.58 18.85 -0.36 -0.69 PLAT 465.60 1.72 801.36 1.00 801.36 45240.58 56.45 -4.58 -25.85 REDWHEAT 283.38 1.59 450.10 1.00 450.10 45240.58 100.51 -20.00 -201.02 RICE 299.60 1.04 311.05 1.00 311.05 45240.58 145.44 -4.14 -60.22 ROBUSTA 475.40 1.63 773.64 1.00 773.64 45240.58 58.48 12.53 73.30 RUSSELL 111.02 1.27 141.06 1.00 141.06 45240.58 320.71 0.39 12.51 SHATZ 1065.75 0.07 77.26 1.11 85.59 45240.58 528.55 -4.98 -263.31 SILVER-mini 732.19 1.77 1293.94 1.00 1293.94 45240.58 34.96 1.53 5.36 SMI 1245.20 0.68 843.96 1.18 994.98 45240.58 45.47 13.02 59.21 SOFR 2422.12 0.06 147.71 1.00 147.71 45240.58 306.28 8.11 248.51 SOYBEAN 499.50 1.29 642.07 1.00 642.07 45240.58 70.46 -15.63 -110.12 SOYMEAL 312.60 1.50 470.09 1.00 470.09 45240.58 96.24 -14.24 -137.00 SOYOIL 251.34 1.75 438.93 1.00 438.93 45240.58 103.07 -8.34 -85.92 SP400 3092.70 0.97 3005.02 1.00 3005.02 45240.58 15.05 -0.58 -0.87 SP500_micro 282.82 0.79 224.28 1.00 224.28 45240.58 201.72 -2.15 -43.45 SUGAR11 220.19 1.66 365.73 1.00 365.73 45240.58 123.70 -2.65 -32.82 US10 1136.09 0.34 387.32 1.00 387.32 45240.58 116.80 4.09 47.76 US10U 1174.38 0.46 537.91 1.00 537.91 45240.58 84.10 5.39 45.36 US2 2075.86 0.11 225.79 1.00 225.79 45240.58 200.37 1.14 22.87 US20 1231.25 0.65 798.28 1.00 798.28 45240.58 56.67 6.05 34.29 US30 1319.06 0.91 1200.11 1.00 1200.11 45240.58 37.70 3.80 14.32 US5 1094.53 0.23 254.60 1.00 254.60 45240.58 177.69 3.39 60.26 VIX 171.50 5.56 954.05 1.00 954.05 45240.58 47.42 -5.67 -26.88 WHEAT 276.00 1.58 434.84 1.00 434.84 45240.58 104.04 -17.86 -185.77 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 79.678 0.010 2.5 2.067 BITCOIN -229.615 0.043 2.5 -24.864 BOBL -119.614 0.004 2.5 -1.213 BTP -26.154 0.014 2.5 -0.892 BUND -16.627 0.004 2.5 -0.169 BUXL -22.172 0.004 2.5 -0.225 CAC -7.791 0.014 2.5 -0.266 CAD 73.710 0.010 2.5 1.912 CANOLA -294.737 0.010 2.5 -7.171 CHF 11.425 0.010 2.5 0.296 COCOA 21.031 0.009 2.5 0.450 COFFEE 12.481 0.005 2.5 0.146 COPPER -6.842 0.043 2.5 -0.741 CORN -266.820 0.010 2.5 -6.491 COTTON2 -107.246 0.009 2.5 -2.297 CRUDE_W 11.807 0.043 2.5 1.279 DAX 214.506 0.014 2.5 7.316 DOW 103.010 0.009 2.5 2.394 DX -119.530 0.010 2.5 -3.101 EUR 51.039 0.010 2.5 1.324 EURIBOR-ICE 184.866 0.014 2.5 6.305 EUROSTX 8.776 0.014 2.5 0.299 FEEDCOW -56.432 0.013 2.5 -1.870 GASOIL -32.427 0.017 2.5 -1.406 GASOLINE 4.967 0.017 2.5 0.215 GAS_US_mini -184.942 0.043 2.5 -20.027 GBP 121.951 0.010 2.5 3.164 GOLD_micro 142.273 0.014 2.5 4.853 HEATOIL -36.425 0.017 2.5 -1.579 JGB-SGX-mini 84.608 0.043 2.5 9.162 JPY -0.655 0.010 2.5 -0.017 LEANHOG 76.380 0.024 2.5 4.642 LIVECOW 5.076 0.013 2.5 0.168 LUMBER-new -101.267 0.009 2.5 -2.168 MILK 73.295 0.009 2.5 1.570 MXP -104.821 0.059 2.5 -15.385 NASDAQ_micro -64.740 0.009 2.5 -1.505 NIKKEI -6.745 0.043 2.5 -0.730 NZD 72.900 0.010 2.5 1.891 OAT -10.073 0.014 2.5 -0.344 OATIES -44.565 0.010 2.5 -1.084 OJ 39.429 0.009 2.5 0.844 PALLAD -0.687 0.014 2.5 -0.023 PLAT -25.853 0.014 2.5 -0.882 REDWHEAT -201.023 0.005 2.5 -2.667 RICE -60.217 0.010 2.5 -1.465 ROBUSTA 73.302 0.005 2.5 0.856 RUSSELL 12.510 0.013 2.5 0.415 SHATZ -263.306 0.004 2.5 -2.670 SILVER-mini 5.363 0.014 2.5 0.183 SMI 59.207 0.014 2.5 2.019 SOFR 248.511 0.024 2.5 15.103 SOYBEAN -110.117 0.004 2.5 -1.024 SOYMEAL -137.005 0.004 2.5 -1.274 SOYOIL -85.924 0.004 2.5 -0.800 SP400 -0.869 0.013 2.5 -0.029 SP500_micro -43.449 0.009 2.5 -1.010 SUGAR11 -32.819 0.009 2.5 -0.698 US10 47.761 0.005 2.5 0.605 US10U 45.362 0.005 2.5 0.575 US2 22.865 0.005 2.5 0.290 US20 34.291 0.005 2.5 0.435 US30 14.318 0.005 2.5 0.181 US5 60.256 0.005 2.5 0.764 VIX -26.876 0.099 2.5 -6.634 WHEAT -185.772 0.005 2.5 -2.464 ===================== Position diags ===================== AUD 2.92 BITCOIN 26.97 BOBL 1.82 BTP 2.95 BUND 0.88 BUXL 0.35 CAC 2.39 CAD 4.69 CANOLA 7.50 CHF 1.58 COCOA 0.50 COFFEE 0.31 COPPER 3.56 CORN 4.04 COTTON2 1.88 CRUDE_W 3.93 DAX 10.07 DOW 7.53 DX 2.81 EUR 1.98 EURIBOR-ICE 13.94 EUROSTX 3.31 FEEDCOW 1.50 GASOIL 1.75 GASOLINE 1.28 GAS_US_mini 24.26 GBP 2.98 GOLD_micro 7.83 HEATOIL 1.17 JGB-SGX-mini 22.40 JPY 1.79 LEANHOG 5.99 LIVECOW 2.70 LUMBER-new 3.99 MILK 1.66 MXP 24.80 NASDAQ_micro 2.35 NIKKEI 9.95 NZD 2.87 OAT 3.25 OATIES 3.79 OJ 0.77 PALLAD 0.64 PLAT 1.93 REDWHEAT 1.33 RICE 3.54 ROBUSTA 0.68 RUSSELL 10.63 SHATZ 5.36 SILVER-mini 1.19 SMI 1.55 SOFR 18.61 SOYBEAN 0.66 SOYMEAL 0.90 SOYOIL 0.96 SP400 0.50 SP500_micro 4.69 SUGAR11 2.63 US10 1.48 US10U 1.07 US2 2.54 US20 0.72 US30 0.48 US5 2.25 VIX 11.71 WHEAT 1.38 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 2.1 1.8 2.4 6.0 6 BITCOIN -24.9 -27.6 -22.2 0.0 0 BOBL -1.2 -1.4 -1.0 0.0 0 BTP -0.9 -1.2 -0.6 -1.0 -1 BUND -0.2 -0.3 -0.1 0.0 0 BUXL -0.2 -0.3 -0.2 0.0 0 CAC -0.3 -0.5 -0.0 0.0 0 CAD 1.9 1.4 2.4 0.0 0 CANOLA -7.2 -7.9 -6.4 -1.0 -1 CHF 0.3 0.1 0.5 5.0 5 COCOA 0.5 0.4 0.5 1.0 1 COFFEE 0.1 0.1 0.2 0.0 0 COPPER -0.7 -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 1.3 0.9 1.7 3.0 3 DAX 7.3 6.3 8.3 8.0 8 DOW 2.4 1.6 3.1 3.0 3 DX -3.1 -3.4 -2.8 0.0 0 EUR 1.3 1.1 1.5 3.0 3 EURIBOR-ICE 6.3 4.9 7.7 0.0 0 EUROSTX 0.3 -0.0 0.6 0.0 0 FEEDCOW -1.9 -2.0 -1.7 -2.0 -2 GASOIL -1.4 -1.6 -1.2 -1.0 -1 GASOLINE 0.2 0.1 0.3 0.0 0 GAS_US_mini -20.0 -22.5 -17.6 -11.0 -11 GBP 3.2 2.9 3.5 1.0 1 GOLD_micro 4.9 4.1 5.6 0.0 0 HEATOIL -1.6 -1.7 -1.5 -2.0 -2 JGB-SGX-mini 9.2 6.9 11.4 4.0 4 JPY -0.0 -0.2 0.2 1.0 1 LEANHOG 4.6 4.0 5.2 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 -15.4 -17.9 -12.9 -8.0 -8 NASDAQ_micro -1.5 -1.7 -1.3 0.0 0 NIKKEI -0.7 -1.7 0.3 -1.0 -1 NZD 1.9 1.6 2.2 0.0 0 OAT -0.3 -0.7 -0.0 0.0 0 OATIES -1.1 -1.5 -0.7 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 0.9 0.8 0.9 0.0 0 RUSSELL 0.4 -0.6 1.5 -8.0 -8 SHATZ -2.7 -3.2 -2.1 NaN 0 SILVER-mini 0.2 0.1 0.3 0.0 0 SMI 2.0 1.9 2.2 0.0 0 SOFR 15.1 13.2 17.0 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 -1.0 -1.5 -0.5 -2.0 -2 SUGAR11 -0.7 -1.0 -0.4 0.0 0 US10 0.6 0.5 0.8 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 0.8 0.5 1.0 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 0.2 0.0 -0.0 0.0 0.1 0.0 0.1 0.1 0.2 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 0.6 -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 -0.1 0.2 -0.1 -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 -0.2 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 -0.0 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 -0.2 -0.3 BTP -0.1 0.4 0.1 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.2 0.3 -0.1 0.5 0.1 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 -0.0 -0.1 -0.3 -0.6 -0.7 -0.5 -0.1 0.2 BUND -0.2 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 0.0 0.0 0.1 0.0 0.1 0.1 -0.1 -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 -0.2 BUXL -0.2 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 -0.1 0.0 -0.0 0.1 -0.2 -0.4 -0.4 -0.5 -0.7 -0.7 -0.3 -0.3 CAC 0.6 -0.3 -0.6 0.0 0.1 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 0.1 -0.4 -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 0.2 0.0 0.2 -0.2 0.2 -0.2 0.1 0.0 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 0.3 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 -0.0 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 0.5 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 0.6 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 0.2 -1.3 0.0 0.0 0.1 0.1 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 0.0 0.0 0.1 0.1 -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 0.4 0.4 0.3 0.0 -0.0 0.0 0.1 0.0 0.1 -0.1 0.2 0.1 -0.2 0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.0 0.0 0.2 2.7 0.1 -0.0 0.1 0.0 0.1 0.1 -0.4 -0.4 0.1 0.6 0.4 0.1 -0.6 -0.1 -0.7 EURIBOR-ICE -0.1 0.6 0.5 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 0.1 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 -0.3 -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 -0.1 -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 0.0 0.2 -0.4 -0.6 0.2 0.0 -0.5 -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 -0.1 -0.5 -0.4 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 0.3 -0.2 -0.2 0.0 0.2 0.0 0.1 -0.2 -0.1 -0.1 -0.0 -0.2 0.5 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.2 -0.2 -0.2 -0.0 -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 -0.0 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 0.5 0.2 0.4 0.2 0.2 -0.0 -0.0 -0.0 -0.0 0.2 0.2 0.2 0.3 0.2 -0.2 0.1 0.0 0.1 0.1 0.1 0.1 0.2 0.4 0.4 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 -0.0 -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 0.2 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 0.1 0.0 -0.2 -0.2 -0.2 -0.2 0.3 JPY 0.1 0.6 0.6 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 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 -0.2 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 -0.5 -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 0.4 -0.6 -0.6 0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.1 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 -0.0 -0.4 -0.6 -0.4 0.3 -0.0 0.2 -0.1 NZD 0.6 0.1 0.1 0.0 -0.0 0.0 0.0 0.0 0.1 0.1 0.1 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 0.3 0.6 -0.1 0.1 0.2 -0.2 0.2 -0.0 OAT 0.0 0.5 0.1 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 -0.0 -0.1 -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 0.2 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 0.4 0.1 0.5 0.1 0.1 0.2 0.2 0.2 0.2 0.1 0.2 0.1 0.5 0.1 -2.7 0.0 0.0 0.2 0.0 0.3 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 -0.4 -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 0.1 -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 0.0 0.3 -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 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 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 0.1 0.1 0.1 0.3 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 0.1 0.1 -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 -0.2 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 -0.4 -0.4 -0.4 -0.4 0.1 0.0 -0.0 -0.1 0.1 1.0 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 0.6 -0.3 0.1 0.0 0.0 0.1 0.1 0.2 0.0 0.1 0.4 0.2 0.5 0.2 0.1 -0.1 0.0 -0.1 -0.0 0.1 0.1 0.1 0.4 0.1 1.5 0.1 0.0 0.2 0.1 0.2 0.1 0.5 -0.0 0.4 0.6 0.6 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 0.0 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 0.1 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 -0.0 -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 0.1 0.2 0.1 0.4 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 -2.1 0.0 0.0 0.1 0.0 0.2 0.0 -0.5 -0.1 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 -0.2 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 0.1 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 -0.1 -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 0.2 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 -0.2 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.2 -0.1 -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 -3.6 4.7 3.8 -0.7 1.1 5.0 0.5 6.4 13.9 6.3 18.2 -1.0 15.4 11.0 -1.8 -2.6 -2.1 -2.3 9.5 4.6 17.1 0.9 16.9 2.6 3.6 3.3 1.6 6.8 0.6 6.7 -0.0 4.3 19.7 -8.6 2.2 10.5 -4.8 12.5 -0.6 BITCOIN -1.3 -6.9 -20.0 -2.9 -2.7 -3.5 -0.2 -2.0 -0.3 -13.6 1.4 -1.6 7.1 -4.4 -6.7 -5.0 -6.9 -5.8 -6.5 -5.8 -1.2 -6.5 7.2 -5.3 -20.0 -3.2 -4.2 0.2 -3.0 6.0 -3.0 -2.3 0.4 -17.5 8.1 8.1 -7.6 -5.0 -3.2 0.3 BOBL -6.4 19.8 13.6 3.1 -2.8 2.3 -0.8 0.7 1.7 -10.3 -0.9 -9.2 -4.2 6.1 7.9 -20.0 -17.2 -20.0 -20.0 7.8 4.6 -4.4 -1.8 3.1 4.6 2.8 -3.4 2.0 -1.7 0.3 1.0 -20.0 -0.4 -6.7 -3.4 -6.4 -20.0 -20.0 -7.4 -8.4 BTP -1.6 11.0 3.4 5.2 -4.7 4.0 -1.4 1.2 2.9 -17.8 12.6 -8.3 15.0 13.5 16.5 1.9 3.7 1.7 2.3 11.1 11.1 -6.0 10.6 4.7 -20.0 5.3 -6.9 5.5 -3.4 5.4 2.1 10.4 -1.3 -2.0 -10.4 -17.5 -20.0 -15.5 -1.8 5.3 BUND -5.6 15.8 11.1 3.4 -3.0 2.6 -0.9 0.8 1.9 -11.5 0.7 -10.3 -0.8 6.4 8.6 2.0 1.4 3.2 1.6 7.2 5.2 -6.3 -0.2 1.9 1.2 3.0 -4.9 2.6 -2.8 1.0 0.7 7.3 -3.9 -8.1 -6.4 -8.6 -20.0 -20.0 -6.1 -7.4 BUXL -4.7 12.6 7.9 3.9 -3.5 3.0 -1.0 0.9 2.2 -13.0 -0.5 -11.8 -0.5 5.0 7.4 -0.8 -2.2 -1.4 -2.3 5.2 3.4 -9.4 -2.0 -0.3 -3.1 2.6 -7.4 2.5 -4.8 1.0 -0.3 1.2 -9.5 -11.3 -12.0 -14.9 -20.0 -20.0 -8.9 -7.6 CAC 20.0 -7.8 -20.0 3.1 5.7 4.5 6.4 6.3 4.5 17.7 -8.0 19.6 3.1 8.0 -8.6 -4.6 -2.0 -4.9 -3.1 -6.9 -10.9 19.6 -0.6 10.0 -9.2 -2.3 5.4 -3.0 6.3 0.9 3.1 6.4 2.7 3.4 -13.1 -20.0 11.5 5.3 2.7 3.8 CAD 20.0 7.1 2.0 4.9 -0.8 1.4 6.5 0.7 8.3 10.6 -7.5 20.0 -15.8 20.0 13.1 -5.0 -3.5 -4.7 -4.2 13.9 0.3 20.0 -7.3 20.0 -1.5 5.2 4.4 0.4 10.5 -1.9 10.4 -2.4 20.0 20.0 -2.3 -3.2 10.4 -6.0 2.7 -3.0 CANOLA -1.8 -3.7 -2.8 -1.7 3.5 -1.9 2.1 -1.3 -0.1 5.7 -4.9 3.6 -6.5 -3.5 -4.9 -11.2 -10.4 -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 8.3 2.1 -0.9 -3.4 0.4 -11.0 9.8 -4.8 CHF 10.2 20.0 19.7 2.5 -0.4 0.7 3.3 0.4 4.2 -5.2 1.2 7.1 -3.8 10.3 10.3 -14.2 -16.4 -15.6 -16.0 15.1 7.7 7.9 0.6 15.4 3.5 4.1 -0.9 2.3 1.8 0.5 3.9 -20.0 6.1 -3.1 20.0 17.6 0.3 -10.7 -8.1 -11.9 COCOA 16.7 1.3 7.6 -1.6 3.2 -1.7 1.9 -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 4.3 9.3 5.1 -20.0 1.8 -0.0 4.5 1.6 9.3 2.0 20.0 0.9 9.2 8.2 5.1 19.8 7.9 20.0 12.1 COFFEE 6.2 -2.6 7.6 -4.1 8.5 -4.4 5.0 -3.2 -0.3 -8.4 15.5 10.8 15.3 11.9 15.0 4.5 6.2 4.3 5.4 14.1 16.8 8.0 16.9 13.0 -20.0 5.4 -3.4 7.2 3.4 9.0 5.4 6.3 -12.2 20.0 20.0 20.0 -2.8 -10.0 4.4 -3.5 COPPER 13.0 -20.0 -12.8 -2.1 -1.2 -2.5 0.6 -1.4 0.0 -3.7 -3.2 7.1 -0.2 -4.1 -8.0 -4.5 -2.9 -2.6 -2.3 -6.1 -3.1 2.6 2.8 -0.8 -13.4 -2.1 -0.3 -1.1 0.8 1.0 -0.3 4.9 2.8 0.8 -8.7 0.5 13.9 5.1 20.0 16.5 CORN 4.8 -9.3 -17.2 -2.9 5.9 -3.1 3.5 -2.3 -0.2 7.9 -12.2 -2.1 -12.9 -8.8 -12.3 -20.0 -15.7 -20.0 -19.8 -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 -8.0 -6.1 -12.1 -13.9 -3.8 -7.3 -1.5 -0.8 COTTON2 18.4 3.2 -18.5 -3.6 7.3 -3.9 4.3 -2.8 -0.2 3.6 -15.6 6.6 -14.2 -2.7 -11.8 -10.8 -2.8 -9.2 -5.9 -9.3 -17.1 4.4 -16.6 0.4 -20.0 -3.2 2.1 -5.5 2.8 -3.7 1.0 -11.0 3.2 6.1 1.9 -5.3 -10.2 -10.3 0.4 -3.4 CRUDE_W 1.4 -15.3 -9.6 -5.1 -2.9 -3.3 -3.4 -0.5 -4.7 -3.6 -3.3 -4.3 9.6 -10.8 -9.7 12.9 12.8 13.3 13.2 -7.6 -3.7 -4.9 2.2 -7.1 -2.0 -5.2 -3.4 -4.3 -2.1 -0.7 -3.6 10.8 3.1 6.6 0.0 -5.9 8.1 17.2 9.0 20.0 DAX 20.0 -5.5 -17.1 2.7 5.0 4.0 5.7 5.6 4.0 16.3 7.3 17.9 12.9 13.8 4.6 -7.9 -10.4 -8.6 -9.6 6.4 4.5 20.0 10.7 18.7 10.5 1.7 7.0 2.1 8.5 5.2 5.6 -7.0 11.1 11.9 -1.8 -18.3 11.5 4.5 0.6 2.7 DOW 17.1 1.7 0.3 1.9 3.8 3.0 4.2 4.3 2.8 12.2 7.5 13.5 11.3 10.4 8.3 -8.9 -10.9 -9.8 -10.5 10.4 8.7 16.3 10.0 14.4 -9.7 3.7 4.6 3.8 5.1 4.7 4.5 -8.0 1.7 4.1 16.3 1.4 9.8 0.4 -1.3 -4.2 DX -14.1 -20.0 -13.5 2.9 -0.5 0.9 3.9 0.4 5.0 8.5 -3.6 -5.7 6.1 -11.8 -12.9 6.0 6.9 6.7 6.9 -16.3 -8.3 -6.4 -0.6 -16.8 -20.0 -4.8 1.6 -2.5 -2.0 -0.3 -4.9 16.1 -20.0 -20.0 -20.0 -20.0 -4.2 5.5 -5.5 8.2 EUR 13.4 13.4 8.0 4.0 -0.7 1.2 5.4 0.6 6.9 -13.6 6.6 5.6 -5.0 13.8 16.3 -6.8 -7.2 -7.2 -7.2 16.5 9.0 3.2 1.8 16.1 20.0 6.3 -3.6 3.9 1.5 1.6 6.2 -8.1 -14.8 2.9 17.2 12.4 2.0 -17.7 -2.7 -19.7 EURIBOR-ICE -2.0 20.0 14.1 2.6 -2.3 2.0 -0.7 0.6 1.4 -6.0 2.3 -1.6 2.7 8.2 8.8 1.0 -3.6 -1.2 -2.5 11.2 8.1 0.6 3.6 7.3 12.8 3.0 -1.1 2.2 0.1 1.2 1.9 -0.1 5.9 1.0 3.1 -2.1 -20.0 -20.0 -2.2 1.7 EUROSTX 20.0 -10.8 -20.0 2.7 4.9 3.9 5.5 5.5 3.9 15.6 5.7 17.4 11.6 6.5 0.1 -4.2 -2.9 -4.6 -4.1 0.1 0.1 18.5 9.0 11.2 -2.3 -0.2 6.0 0.8 6.7 5.1 3.7 4.5 1.5 6.1 -11.7 -20.0 4.5 0.9 -13.5 -2.7 FEEDCOW -12.8 -20.0 -16.1 -3.8 7.8 -4.1 4.6 -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 -4.5 -15.2 -12.1 -4.9 -2.1 -3.3 -3.1 -0.6 -4.4 -9.8 -10.7 -13.2 7.0 -16.2 -15.1 2.1 9.3 1.4 3.8 -14.2 -9.3 -10.5 -0.6 -13.9 4.0 -6.0 -3.2 -4.1 -4.3 -0.8 -5.8 0.1 -7.2 -6.2 -6.9 -1.5 -5.9 -12.5 -12.1 -20.0 GASOLINE -4.4 -12.5 -10.0 -4.9 -2.8 -3.2 -3.3 -0.5 -4.5 0.4 -2.5 -8.6 7.7 -12.2 -11.5 20.0 20.0 20.0 20.0 -9.3 -4.5 -6.5 2.8 -9.8 -20.0 -5.5 -1.6 -3.8 -3.2 0.4 -5.0 20.0 4.2 -1.5 3.9 -3.4 17.2 20.0 20.0 20.0 GAS_US_mini 5.2 -10.4 -3.9 -4.1 -2.4 -2.7 -2.8 -0.4 -3.8 -13.5 -14.0 -10.2 -15.2 -12.1 -13.8 -20.0 -20.0 -20.0 -20.0 -12.4 -14.1 -10.5 -20.0 -10.5 20.0 -4.0 -4.6 -4.3 -5.2 -6.0 -4.3 -20.0 -2.4 7.4 5.8 11.0 -5.5 -14.2 -7.7 -19.0 GBP 18.8 5.3 7.5 4.3 -0.8 1.3 5.8 0.6 7.4 0.7 16.7 15.6 11.2 16.4 17.4 -0.5 -0.7 -0.6 -0.7 20.0 14.4 19.7 9.9 20.0 -1.2 6.9 1.1 5.2 6.7 3.9 8.5 3.0 15.1 12.6 17.1 20.0 8.8 -20.0 9.7 -15.6 GOLD_micro 12.9 5.0 2.2 -2.6 -1.5 -3.2 0.7 -1.8 0.1 1.1 13.3 11.8 12.9 12.6 11.8 -11.8 -13.2 -11.9 -12.3 13.8 14.9 8.0 15.9 13.0 -6.4 4.1 -0.2 4.7 3.1 6.3 4.7 -12.6 2.8 11.5 20.0 19.9 11.3 -3.2 16.4 2.6 HEATOIL -3.3 -12.7 -9.9 -4.9 -2.8 -3.2 -3.3 -0.5 -4.5 -5.4 -12.7 -9.9 1.5 -15.0 -14.3 -5.3 6.3 -5.1 -1.3 -13.3 -10.0 -8.2 -3.5 -12.6 -20.0 -6.2 -2.1 -5.4 -3.2 -2.2 -5.1 -6.9 1.3 -5.0 -6.7 -9.0 -5.4 5.2 -15.4 2.4 JGB-SGX-mini 4.7 20.0 7.1 1.9 -1.7 1.4 -0.5 0.4 1.0 -5.5 0.4 -4.0 0.3 2.7 2.9 12.0 17.1 14.6 15.8 4.4 2.1 -0.7 0.3 3.0 -7.2 1.6 -0.6 0.6 0.0 -0.3 1.3 20.0 0.4 4.3 0.5 -6.5 -6.8 -5.0 -6.0 8.2 JPY 4.3 20.0 20.0 1.6 -0.3 0.5 2.1 0.2 2.7 -6.1 0.3 1.6 -5.2 6.4 5.8 -11.5 -15.4 -13.1 -14.2 8.6 2.8 0.7 -4.4 7.5 20.0 2.1 -1.3 0.7 0.2 -1.0 1.8 -20.0 -5.8 -7.2 19.9 4.4 -20.0 -17.8 -20.0 -18.0 LEANHOG 16.2 14.3 -18.3 -3.2 6.5 -3.4 3.8 -2.5 -0.2 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 12.5 11.0 15.6 -10.3 0.0 -5.7 4.2 3.3 LIVECOW -15.9 -18.6 4.6 -4.3 8.9 -4.7 5.2 -3.4 -0.3 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 -15.2 20.0 -1.3 20.0 4.6 20.0 LUMBER-new 4.9 14.4 -5.7 -2.5 5.2 -2.7 3.1 -1.9 -0.2 -3.7 -7.1 -5.3 -8.2 3.5 -1.4 -17.7 -17.5 -17.5 -17.5 -1.8 -6.2 -3.3 -7.9 -1.1 NaN -0.6 -0.3 -3.3 -1.8 -4.3 -0.4 -20.0 -20.0 -0.2 11.8 0.5 3.6 -2.7 8.3 -0.1 MILK 15.2 6.6 20.0 -3.1 6.5 -3.4 3.8 -2.5 -0.2 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 7.2 20.0 20.0 20.0 -2.9 -20.0 2.2 -20.0 MXP -3.3 -14.4 -20.0 1.8 -0.3 0.5 2.4 0.3 3.0 -7.3 -6.7 -7.7 -2.2 -7.8 -7.9 9.4 14.2 10.6 12.1 -10.7 -8.3 -10.4 -2.6 -11.0 -20.0 -3.2 -1.9 -2.6 -2.7 -0.7 -3.0 20.0 -20.0 -20.0 -20.0 -20.0 16.0 12.3 20.0 18.9 NASDAQ_micro 13.1 -20.0 -14.2 1.4 2.8 2.2 3.0 3.1 2.0 -2.1 3.3 6.3 7.3 0.8 0.9 -7.0 -10.1 -8.6 -9.6 1.1 3.9 2.2 7.8 2.1 -16.6 0.3 0.1 2.0 0.5 4.2 0.3 -6.6 -12.0 0.5 -14.9 3.6 1.5 4.8 -7.6 2.1 NIKKEI 11.2 -20.0 -20.0 1.1 2.0 1.6 2.2 2.2 1.6 6.3 1.9 6.7 3.8 1.8 1.0 5.8 9.7 8.6 9.0 -0.8 -0.0 4.0 2.6 1.7 -6.6 -1.6 0.6 -0.5 0.1 1.0 -1.2 20.0 -1.3 -11.1 -19.3 -11.3 9.1 -0.3 6.3 -2.2 NZD 20.0 2.5 3.2 2.8 -0.5 0.8 3.7 0.4 4.7 8.8 2.3 13.4 -1.0 12.7 7.9 -0.2 0.0 -0.2 -0.1 8.7 2.6 17.0 -0.1 16.7 0.0 2.8 2.4 0.8 5.7 0.1 5.6 4.1 14.0 17.0 -3.5 3.4 7.2 -4.8 5.0 -0.0 OAT 0.1 14.9 1.6 3.7 -3.4 2.8 -1.0 0.8 2.1 -11.9 -3.2 -9.7 -2.4 8.8 9.8 0.9 3.4 0.8 1.7 5.8 1.7 -4.8 -2.9 2.9 3.0 2.8 -5.1 1.6 -2.7 0.1 1.2 9.7 -1.3 -2.5 -8.4 -17.6 -15.0 -18.0 -1.0 -0.0 OATIES 11.4 1.9 -18.9 -2.9 6.0 -3.1 3.5 -2.3 -0.2 11.1 -11.1 8.3 -11.9 -0.3 -11.1 10.5 3.1 7.5 5.5 -6.2 -11.6 14.2 -12.1 3.6 -20.0 -2.0 9.4 -3.4 5.9 -3.2 1.6 3.1 15.3 6.9 3.8 -5.4 10.6 -0.7 20.0 8.8 OJ 7.8 -2.7 -1.7 -3.8 7.7 -4.1 4.5 -2.9 -0.3 -2.5 13.0 5.6 14.4 6.1 10.5 10.3 11.7 9.6 9.7 13.1 16.0 8.9 20.0 12.5 -20.0 4.6 1.7 5.8 3.7 9.6 4.8 14.2 -3.5 20.0 20.0 20.0 13.5 11.7 20.0 20.0 PALLAD 12.7 0.1 5.6 -1.7 -1.0 -2.1 0.4 -1.1 0.0 5.4 -4.9 8.1 -8.2 0.9 -1.4 -1.7 -2.0 -1.8 -1.9 -0.3 -3.2 4.7 -7.4 3.0 14.8 -0.6 2.5 -2.5 3.0 -4.0 1.8 6.0 2.9 4.5 2.9 4.4 -20.0 -20.0 -20.0 -20.0 PLAT 3.8 -12.8 -6.0 -2.1 -1.2 -2.6 0.6 -1.4 0.0 -9.3 -5.0 -1.6 -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 -2.3 -0.9 -2.2 1.4 -9.1 -10.8 -6.3 4.3 -6.6 -8.1 -5.0 1.6 REDWHEAT 1.2 -14.8 -20.0 -4.5 9.3 -4.9 5.5 -3.5 -0.3 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 -12.1 -11.3 -17.2 -12.4 -20.0 -20.0 -18.0 -20.0 RICE -7.3 -6.5 -9.3 -3.9 8.1 -4.3 4.7 -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 -17.2 -14.1 7.9 17.4 -20.0 -16.3 -20.0 -15.7 ROBUSTA 18.9 0.3 8.8 -3.2 -3.1 -3.3 0.2 -2.4 -1.1 3.6 12.8 10.8 12.8 11.7 12.5 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 5.0 -0.2 6.1 3.8 8.0 5.0 20.0 16.9 20.0 20.0 20.0 3.8 -5.4 10.9 1.9 RUSSELL 5.0 2.5 -0.9 1.4 2.9 2.3 3.2 3.3 2.1 6.8 4.0 7.5 7.1 3.0 2.6 -5.0 -6.5 -5.8 -6.3 4.5 4.4 7.2 4.3 5.7 -0.7 2.4 1.8 2.8 2.3 2.7 2.1 -0.5 -0.5 -5.6 16.4 3.3 3.2 -16.4 -5.7 -20.0 SHATZ -5.4 20.0 20.0 2.4 -2.2 1.8 -0.6 0.5 1.4 -5.1 -0.9 -4.8 -4.2 5.5 6.7 -20.0 -20.0 -20.0 -20.0 8.8 4.6 -0.5 -3.7 5.3 7.2 2.5 -1.3 1.5 -0.2 -0.4 1.5 -20.0 4.7 -2.5 1.5 -1.1 -20.0 -17.8 -16.2 -10.9 SILVER-mini 11.5 -15.2 -4.0 -2.1 -1.2 -2.6 0.6 -1.4 0.0 -6.2 4.0 7.1 5.2 -0.1 -2.6 -6.4 -6.4 -6.1 -6.1 0.1 2.9 2.1 6.0 2.4 2.4 -1.1 -2.7 -0.2 0.7 1.9 0.6 -1.4 2.6 0.9 -0.0 8.8 4.8 -4.2 7.9 7.3 SMI 17.6 -10.0 3.6 2.4 4.5 3.6 5.0 5.0 3.5 14.3 13.2 15.7 14.0 13.9 12.9 -2.9 0.1 -3.0 -1.8 10.4 12.5 16.1 13.9 13.6 10.9 5.9 3.6 6.2 5.0 6.1 5.8 9.2 -0.7 12.3 20.0 17.5 1.6 1.1 -9.8 -2.5 SOFR 4.8 20.0 20.0 3.6 -1.7 2.6 0.1 0.8 2.5 0.4 9.1 7.7 4.1 11.7 12.7 1.4 -0.8 -0.0 -0.7 17.3 13.4 5.0 4.9 13.0 -4.7 4.5 -0.7 3.8 1.3 2.1 3.3 4.0 6.8 3.3 2.4 9.2 9.5 -13.3 20.0 6.7 SOYBEAN -2.1 -13.0 -20.0 -2.1 4.4 -2.3 2.6 -1.7 -0.1 8.0 -8.8 -2.3 -7.8 -6.7 -8.6 -12.9 2.0 -8.2 -4.0 -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 1.8 -9.6 -18.4 -13.7 -2.7 -20.0 2.5 -17.1 SOYMEAL -2.7 -1.1 -14.0 -2.2 4.5 -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 -2.5 -5.8 -6.6 -3.3 -20.0 -20.0 -20.0 -20.0 SOYOIL 1.7 -13.6 -3.4 -2.0 4.1 -2.2 2.4 -1.6 -0.1 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 9.3 -1.3 -10.8 -2.4 -2.8 -9.4 5.9 -2.3 SP400 10.2 0.3 -8.8 1.7 3.4 2.7 3.7 3.8 2.5 6.0 6.0 9.3 9.2 5.5 3.5 -5.9 -5.8 -5.8 -5.8 4.6 4.5 8.7 6.2 7.4 -9.1 2.8 2.3 3.4 3.2 4.2 3.0 0.5 -2.0 -3.4 13.5 -1.0 6.3 -7.3 -3.4 -20.0 SP500_micro 17.8 -20.0 -8.7 1.8 3.5 2.8 3.9 4.0 2.6 7.9 9.1 11.7 11.4 7.6 7.0 -9.0 -12.1 -11.0 -11.8 6.9 9.2 9.8 13.0 9.2 -15.5 2.1 2.2 4.0 2.8 6.4 2.4 -10.2 -6.0 4.5 -5.0 6.9 7.2 3.0 -5.7 -0.0 SUGAR11 11.4 -0.7 1.5 -3.4 7.0 -3.7 4.1 -2.7 -0.2 9.7 -11.7 9.7 -11.5 -0.4 -5.5 -4.1 6.1 -3.2 0.3 -2.5 -8.6 18.1 -9.2 7.4 -20.0 -0.6 7.0 -3.4 7.9 -3.9 3.5 1.9 17.0 12.3 -1.8 4.8 -6.8 15.5 -3.4 18.6 US10 3.4 19.8 20.0 2.8 -1.3 2.0 0.1 0.6 1.9 -6.7 5.9 -0.1 -0.4 7.2 8.8 -6.3 -7.4 -7.0 -7.1 11.3 8.3 0.6 1.1 7.7 2.0 3.3 -1.5 2.8 0.2 1.2 2.2 -7.1 0.5 0.8 0.7 5.1 4.4 -20.0 20.0 5.0 US10U 4.0 17.9 20.0 3.9 -1.8 2.8 0.1 0.8 2.6 -11.2 7.7 0.9 -1.1 10.2 12.3 -3.8 -3.0 -4.0 -3.8 13.8 9.8 -0.1 0.6 9.4 -0.4 4.5 -2.6 3.8 -0.0 1.6 3.0 -0.4 -1.2 0.3 -2.4 4.5 4.8 -17.7 20.0 14.5 US2 1.7 20.0 20.0 2.3 -1.0 1.6 0.1 0.5 1.5 1.4 1.9 1.0 -3.4 5.7 6.6 -20.0 -20.0 -20.0 -20.0 10.0 6.1 2.6 -1.4 7.5 11.4 2.6 -0.3 1.8 0.7 0.4 1.9 -20.0 4.3 4.7 7.6 4.8 1.3 -20.0 5.6 -11.0 US20 5.9 16.0 19.6 2.8 -1.3 2.0 0.1 0.6 1.9 -8.4 5.7 0.5 1.3 7.0 8.4 -1.2 -0.9 -1.1 -0.9 9.5 7.1 -0.6 1.2 6.5 -2.1 3.3 -2.4 3.0 -0.3 1.6 2.0 3.9 -2.4 -0.1 -3.4 3.8 5.1 -10.2 20.0 20.0 US30 5.8 13.5 17.4 3.3 -1.5 2.4 0.1 0.7 2.3 -10.2 5.6 0.2 -0.3 7.8 9.3 -5.2 -5.0 -4.7 -4.8 9.2 6.3 -0.8 -0.3 6.5 -1.5 3.8 -3.1 3.4 -0.4 1.6 2.4 -3.0 -2.7 -0.5 -7.6 1.0 2.1 -9.4 19.4 20.0 US5 2.5 20.0 20.0 2.8 -1.3 2.0 0.1 0.6 1.9 -1.6 5.3 -0.0 -1.7 7.2 8.6 -12.5 -11.1 -12.2 -11.4 12.0 8.4 2.1 0.7 8.5 5.5 3.3 -0.8 2.6 0.6 1.0 2.3 -13.8 3.2 2.0 3.6 5.9 5.0 -20.0 17.4 -1.6 VIX -9.0 20.0 20.0 1.3 -0.4 0.3 0.1 -1.0 1.1 -5.7 -4.6 -6.8 -6.6 -4.7 -4.3 -4.1 -20.0 -20.0 -20.0 0.1 -0.7 -2.3 -3.2 -1.2 NaN 1.4 -0.5 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 6.6 -3.5 3.9 -2.5 -0.2 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 -16.1 -7.4 -14.6 -8.5 -19.1 -20.0 -17.1 -20.0 End of report for caleb_strategy_v3