******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240903_203930 produced at 2024-09-03 21:38:17.992652 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.14 0.0 0.52 -0.52 -0.07 -0.09 -16.22 60.0 -8 -10 caleb_strategy_v3 DX False False 0.04 0.00 -0.10 0.0 999.00 -999.00 0.00 0.00 -2.83 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 -2.58 24.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.08 -0.06 0.0 0.32 -0.32 -0.08 -0.08 -1.60 8.0 -2 -2 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -25.67 59.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.05 0.0 0.86 -0.86 0.00 0.00 -1.14 19.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.05 0.0 0.10 -0.10 -0.06 -0.06 -1.56 3.0 -2 -2 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.05 0.0 0.06 -0.06 -0.02 -0.03 -22.16 26.0 -11 -12 caleb_strategy_v3 BTP False False 0.05 -0.09 -0.04 0.0 0.45 -0.45 -0.09 -0.09 -0.83 10.0 -2 -2 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.04 0.0 0.08 -0.08 -0.04 -0.04 -5.66 12.0 -5 -5 caleb_strategy_v3 VIX False False 0.01 -0.03 -0.04 0.0 999.00 -999.00 -0.03 -0.03 -5.82 999999999.0 -4 -4 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.03 0.0 0.13 -0.13 -0.06 -0.06 -2.05 11.0 -5 -5 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -1.48 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 -0.97 999999999.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.02 0.0 0.30 -0.30 0.00 0.00 -1.58 23.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.08 -0.08 -0.02 -0.02 -2.39 8.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.10 -0.02 0.0 0.12 -0.12 -0.10 -0.10 -0.92 7.0 -6 -6 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.02 -2.23 9.0 -3 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.00 -0.02 0.0 0.16 -0.16 -0.00 -0.00 -6.61 51.0 -1 -1 caleb_strategy_v3 OAT False False 0.05 0.00 -0.01 0.0 0.48 -0.48 0.00 0.00 -0.24 10.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.04 -0.04 0.00 0.00 -1.27 4.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.01 -0.01 0.0 0.32 -0.32 -0.01 -0.01 -1.06 36.0 -1 -1 caleb_strategy_v3 CAC True False 0.03 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.39 12.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.51 -0.51 0.00 0.00 -0.18 10.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.95 10.0 -1 -1 caleb_strategy_v3 SP500_micro False False 0.01 -0.02 -0.01 0.0 0.46 -0.46 -0.02 -0.02 -1.14 48.0 -2 -2 caleb_strategy_v3 LUMBER-new False False 0.00 -0.01 -0.01 0.0 0.01 -0.01 -0.01 -0.01 -1.97 3.0 -2 -2 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.20 4.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -0.69 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 -1.18 9.0 1 1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.46 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.02 0.00 0.0 0.25 -0.25 -0.02 -0.01 0.40 68.0 -6 -3 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.05 999999999.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.00 0.0 0.21 -0.21 0.00 0.00 -0.03 2.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.19 -0.19 0.00 0.00 0.13 6.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.16 999999999.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.00 0.0 0.37 -0.37 0.00 0.04 0.03 20.0 0 2 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.49 18.0 0 0 caleb_strategy_v3 JPY False False 0.03 0.03 -0.00 0.0 0.50 -0.50 0.03 0.03 -0.04 17.0 1 1 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.01 2.0 0 0 caleb_strategy_v3 CHF False False 0.05 0.25 0.01 0.0 0.66 -0.66 0.25 0.25 0.21 13.0 5 5 caleb_strategy_v3 COCOA False False 0.03 0.03 0.01 0.0 0.66 -0.66 0.03 0.03 0.44 26.0 1 1 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.01 0.0 0.38 -0.38 0.00 0.00 0.75 23.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.18 0.01 0.0 0.28 -0.28 0.18 0.18 0.18 6.0 4 4 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 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 US10 False False 0.04 0.00 0.02 0.0 0.67 -0.67 0.00 0.00 0.60 17.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.26 13.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.05 0.02 0.0 0.42 -0.42 0.05 0.05 0.88 17.0 2 2 caleb_strategy_v3 CRUDE_W False False 0.02 0.07 0.02 0.0 0.12 -0.12 0.07 0.07 1.01 5.0 3 3 caleb_strategy_v3 DOW False False 0.01 0.02 0.02 0.0 0.47 -0.47 0.02 0.02 2.62 66.0 3 3 caleb_strategy_v3 OJ False False 0.02 0.02 0.02 0.0 0.07 -0.07 0.02 0.02 0.90 3.0 1 1 caleb_strategy_v3 AUD False False 0.02 0.14 0.03 0.0 0.44 -0.44 0.14 0.14 1.48 19.0 6 6 caleb_strategy_v3 US5 False False 0.04 0.08 0.03 0.0 0.95 -0.95 0.08 0.11 0.79 25.0 2 3 caleb_strategy_v3 MILK False False 0.02 0.00 0.03 0.0 0.08 -0.08 0.00 0.00 1.68 5.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 0.04 0.0 0.74 -0.74 0.00 0.00 1.63 29.0 0 0 caleb_strategy_v3 NZD False True 0.02 0.00 0.04 0.0 0.00 0.00 0.00 0.00 1.64 21.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.04 0.0 0.48 -0.48 0.00 0.00 4.26 56.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.14 0.05 0.0 0.67 -0.67 0.14 0.10 1.11 14.0 3 2 caleb_strategy_v3 DAX False False 0.01 0.06 0.05 0.0 0.41 -0.41 0.06 0.06 6.65 58.0 9 9 caleb_strategy_v3 LEANHOG False False 0.01 0.03 0.06 0.0 0.13 -0.13 0.03 0.04 5.59 13.0 3 4 caleb_strategy_v3 SMI False True 0.05 0.00 0.09 0.0 0.00 0.00 0.00 0.00 1.77 9.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.03 0.09 0.0 0.62 -0.62 0.03 0.03 3.04 22.0 1 1 caleb_strategy_v3 JGB-SGX-mini False True 0.03 0.14 0.31 0.0 0.14 0.00 0.14 0.14 8.95 16.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.62 0.0 0.93 -0.93 0.00 0.00 6.65 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.31 0.0 0.00 0.00 0.00 0.00 15.71 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.4 Shocked risk 15.3 Sum abs risk 34.4 Leverage 4.06 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2896069.95, 'annual_cash_vol_target': 724017.4875, 'daily_cash_vol_target': 45251.09296875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6716 0.6383 10.2126 BITCOIN 1781.6609 58205.0000 3.0610 48.9762 BOBL 0.2324 118.9800 0.1954 3.1256 BTP 0.4702 118.8000 0.3958 6.3326 BUND 0.4812 133.4200 0.3607 5.7710 BUXL 1.2290 134.9600 0.9107 14.5706 CAC 59.7383 7575.0000 0.7886 12.6180 CAD 0.0026 0.7402 0.3499 5.5988 CANOLA 9.8733 601.4000 1.6417 26.2675 CHF 0.0058 1.1772 0.4968 7.9484 COCOA 194.4296 7308.0000 2.6605 42.5681 COFFEE 4.5809 242.2500 1.8910 30.2557 COPPER 0.0550 4.0900 1.3443 21.5082 CORN 5.4418 409.0000 1.3305 21.2884 COTTON2 1.0310 70.5000 1.4624 23.3983 CRUDE_W 1.2458 68.9400 1.8070 28.9127 DAX 144.3502 18723.0000 0.7710 12.3356 DOW 279.2063 41034.0000 0.6804 10.8868 DX 0.4115 101.4400 0.4057 6.4911 EUR 0.0047 1.1044 0.4293 6.8693 EURIBOR-ICE 0.0411 97.8600 0.0420 0.6719 EUROSTX 44.1685 4904.0000 0.9007 14.4106 FEEDCOW 2.0040 233.1000 0.8597 13.7556 GASOIL 11.3781 676.7500 1.6813 26.9005 GASOLINE 0.0366 1.9305 1.8940 30.3033 GAS_US_mini 0.0808 2.5600 3.1548 50.4773 GBP 0.0063 1.3102 0.4824 7.7191 GOLD_micro 19.7015 2496.7000 0.7891 12.6256 HEATOIL 0.0398 2.2296 1.7830 28.5287 JGB-SGX-mini 0.3104 144.5900 0.2147 3.4347 JPY 0.0001 0.0069 0.7584 12.1352 LEANHOG 1.1478 73.7750 1.5558 24.8928 LIVECOW 1.3904 179.0000 0.7768 12.4283 LUMBER-new 8.8282 513.5000 1.7192 27.5076 MILK 0.2911 22.7200 1.2814 20.5021 MXP 0.0005 0.0503 1.0442 16.7074 NASDAQ_micro 223.5639 19045.2500 1.1739 18.7817 NIKKEI 710.4895 37610.0000 1.8891 30.2256 NZD 0.0041 0.6188 0.6698 10.7166 OAT 0.4298 126.1200 0.3408 5.4531 OATIES 5.8017 347.0000 1.6720 26.7515 OJ 8.3640 460.9000 1.8147 29.0355 PALLAD 24.0050 940.5000 2.5524 40.8379 PLAT 16.0275 910.8000 1.7597 28.1554 REDWHEAT 9.0013 577.7500 1.5580 24.9278 RICE 0.1555 15.1100 1.0293 16.4689 ROBUSTA 80.3020 4753.0000 1.6895 27.0320 RUSSELL 28.2172 2155.5000 1.3091 20.9452 SHATZ 0.0773 106.6600 0.0725 1.1594 SILVER-mini 0.5176 28.4375 1.8203 29.1248 SMI 89.2956 12305.0000 0.7257 11.6110 SOFR 0.0591 96.9400 0.0609 0.9752 SOYBEAN 12.8420 1012.5000 1.2683 20.2935 SOYMEAL 4.7010 321.1000 1.4640 23.4243 SOYOIL 0.7316 41.1200 1.7792 28.4665 SP400 30.0546 3021.7000 0.9946 15.9140 SP500_micro 44.8633 5549.2500 0.8085 12.9353 SUGAR11 0.3266 19.7100 1.6569 26.5097 US10 0.3873 114.0469 0.3396 5.4337 US10U 0.5379 118.0938 0.4555 7.2873 US2 0.1129 103.8555 0.1087 1.7394 US20 0.7983 124.2500 0.6425 10.2794 US30 1.2000 133.4375 0.8993 14.3886 US5 0.2546 109.6641 0.2322 3.7146 VIX 0.9542 18.7000 5.1027 81.6431 WHEAT 8.6964 566.5000 1.5351 24.5617 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 671.55 0.64 428.64 1.00 428.64 45251.09 105.57 5.39 56.92 BITCOIN 58.20 3.06 178.17 1.00 178.17 45251.09 253.98 -9.33 -237.02 BOBL 1189.80 0.20 232.43 1.11 257.00 45251.09 176.08 -6.39 -112.58 BTP 1188.00 0.40 470.20 1.11 519.90 45251.09 87.04 -2.81 -24.44 BUND 1334.20 0.36 481.23 1.11 532.09 45251.09 85.04 -2.07 -17.64 BUXL 1349.60 0.91 1229.03 1.11 1358.94 45251.09 33.30 -5.93 -19.74 CAC 757.50 0.79 597.38 1.11 660.53 45251.09 68.51 -1.66 -11.35 CAD 740.20 0.35 259.01 1.00 259.01 45251.09 174.71 3.59 62.76 CANOLA 120.28 1.64 197.47 0.74 146.32 45251.09 309.26 -8.79 -271.79 CHF 1471.50 0.50 731.01 1.00 731.01 45251.09 61.90 1.29 7.97 COCOA 730.80 2.66 1944.30 1.00 1944.30 45251.09 23.27 8.78 20.43 COFFEE 908.44 1.89 1717.84 1.00 1717.84 45251.09 26.34 4.30 11.32 COPPER 1022.50 1.34 1374.51 1.00 1374.51 45251.09 32.92 -2.71 -8.93 CORN 204.50 1.33 272.09 1.00 272.09 45251.09 166.31 -13.98 -232.49 COTTON2 352.50 1.46 515.49 1.00 515.49 45251.09 87.78 -10.93 -95.92 CRUDE_W 689.40 1.81 1245.77 1.00 1245.77 45251.09 36.32 2.57 9.34 DAX 187.23 0.77 144.35 1.11 159.61 45251.09 283.51 6.88 195.06 DOW 205.17 0.68 139.60 1.00 139.60 45251.09 324.14 3.47 112.61 DX 1014.40 0.41 411.54 1.00 411.54 45251.09 109.96 -9.91 -108.99 EUR 1380.44 0.43 592.67 1.00 592.67 45251.09 76.35 5.59 42.71 EURIBOR-ICE 2446.50 0.04 102.74 1.11 113.60 45251.09 398.32 4.89 194.89 EUROSTX 490.40 0.90 441.69 1.11 488.37 45251.09 92.66 0.10 0.94 FEEDCOW 1165.50 0.86 1002.01 1.00 1002.01 45251.09 45.16 -10.72 -48.40 GASOIL 676.75 1.68 1137.81 1.00 1137.81 45251.09 39.77 -8.57 -34.08 GASOLINE 810.81 1.89 1535.64 1.00 1535.64 45251.09 29.47 1.26 3.72 GAS_US_mini 64.00 3.15 201.91 1.00 201.91 45251.09 224.12 -9.13 -204.60 GBP 818.88 0.48 395.06 1.00 395.06 45251.09 114.54 10.23 117.18 GOLD_micro 249.67 0.79 197.01 1.00 197.01 45251.09 229.68 5.43 124.77 HEATOIL 936.43 1.78 1669.70 1.00 1669.70 45251.09 27.10 -13.28 -35.99 JGB-SGX-mini 144590.00 0.21 31038.82 0.01 212.37 45251.09 213.07 3.88 82.65 JPY 858.81 0.76 651.36 1.00 651.36 45251.09 69.47 -0.23 -1.60 LEANHOG 295.10 1.56 459.12 1.00 459.12 45251.09 98.56 9.33 91.94 LIVECOW 716.00 0.78 556.17 1.00 556.17 45251.09 81.36 3.27 26.60 LUMBER-new 141.21 1.72 242.78 1.00 242.78 45251.09 186.39 -4.93 -91.98 MILK 454.40 1.28 582.26 1.00 582.26 45251.09 77.72 10.12 78.67 MXP 251.40 1.04 262.52 1.00 262.52 45251.09 172.37 -6.41 -110.51 NASDAQ_micro 380.90 1.17 447.13 1.00 447.13 45251.09 101.20 -6.73 -68.09 NIKKEI 37610.00 1.89 71048.95 0.01 486.13 45251.09 93.08 -1.05 -9.75 NZD 618.75 0.67 414.43 1.00 414.43 45251.09 109.19 5.80 63.38 OAT 1261.20 0.34 429.84 1.11 475.28 45251.09 95.21 -0.74 -7.07 OATIES 173.50 1.67 290.09 1.00 290.09 45251.09 155.99 -1.22 -18.97 OJ 691.35 1.81 1254.60 1.00 1254.60 45251.09 36.07 11.67 42.11 PALLAD 940.50 2.55 2400.50 1.00 2400.50 45251.09 18.85 -0.15 -0.29 PLAT 455.40 1.76 801.37 1.00 801.37 45251.09 56.47 -4.91 -27.71 REDWHEAT 288.88 1.56 450.06 1.00 450.06 45251.09 100.54 -17.95 -180.45 RICE 302.20 1.03 311.06 1.00 311.06 45251.09 145.48 -3.59 -52.17 ROBUSTA 475.30 1.69 803.02 1.00 803.02 45251.09 56.35 11.33 63.82 RUSSELL 107.78 1.31 141.09 1.00 141.09 45251.09 320.73 0.38 12.03 SHATZ 1066.60 0.07 77.29 1.11 85.46 45251.09 529.53 -4.80 -254.14 SILVER-mini 710.94 1.82 1294.12 1.00 1294.12 45251.09 34.97 0.43 1.51 SMI 1230.50 0.73 892.96 1.18 1051.32 45251.09 43.04 12.02 51.76 SOFR 2423.50 0.06 147.71 1.00 147.71 45251.09 306.36 8.44 258.49 SOYBEAN 506.25 1.27 642.10 1.00 642.10 45251.09 70.47 -14.06 -99.09 SOYMEAL 321.10 1.46 470.10 1.00 470.10 45251.09 96.26 -13.13 -126.43 SOYOIL 246.72 1.78 438.95 1.00 438.95 45251.09 103.09 -7.21 -74.34 SP400 3021.70 0.99 3005.46 1.00 3005.46 45251.09 15.06 -0.58 -0.87 SP500_micro 277.46 0.81 224.32 1.00 224.32 45251.09 201.73 -2.43 -49.06 SUGAR11 220.75 1.66 365.75 1.00 365.75 45251.09 123.72 -1.84 -22.81 US10 1140.47 0.34 387.31 1.00 387.31 45251.09 116.83 4.07 47.59 US10U 1180.94 0.46 537.87 1.00 537.87 45251.09 84.13 5.39 45.32 US2 2077.11 0.11 225.81 1.00 225.81 45251.09 200.40 1.01 20.31 US20 1242.50 0.64 798.26 1.00 798.26 45251.09 56.69 5.94 33.68 US30 1334.38 0.90 1199.99 1.00 1199.99 45251.09 37.71 3.79 14.31 US5 1096.64 0.23 254.60 1.00 254.60 45251.09 177.73 3.51 62.38 VIX 187.00 5.10 954.20 1.00 954.20 45251.09 47.42 -4.97 -23.57 WHEAT 283.25 1.54 434.82 1.00 434.82 45251.09 104.07 -16.18 -168.35 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 56.920 0.010 2.5 1.477 BITCOIN -237.017 0.043 2.5 -25.666 BOBL -112.580 0.004 2.5 -1.142 BTP -24.440 0.014 2.5 -0.834 BUND -17.643 0.004 2.5 -0.179 BUXL -19.735 0.004 2.5 -0.200 CAC -11.348 0.014 2.5 -0.387 CAD 62.764 0.010 2.5 1.628 CANOLA -271.788 0.010 2.5 -6.612 CHF 7.974 0.010 2.5 0.207 COCOA 20.434 0.009 2.5 0.438 COFFEE 11.320 0.005 2.5 0.132 COPPER -8.932 0.043 2.5 -0.967 CORN -232.485 0.010 2.5 -5.656 COTTON2 -95.920 0.009 2.5 -2.054 CRUDE_W 9.342 0.043 2.5 1.012 DAX 195.062 0.014 2.5 6.653 DOW 112.605 0.009 2.5 2.617 DX -108.989 0.010 2.5 -2.828 EUR 42.709 0.010 2.5 1.108 EURIBOR-ICE 194.885 0.014 2.5 6.647 EUROSTX 0.943 0.014 2.5 0.032 FEEDCOW -48.400 0.013 2.5 -1.604 GASOIL -34.075 0.017 2.5 -1.477 GASOLINE 3.721 0.017 2.5 0.161 GAS_US_mini -204.599 0.043 2.5 -22.155 GBP 117.179 0.010 2.5 3.040 GOLD_micro 124.773 0.014 2.5 4.256 HEATOIL -35.986 0.017 2.5 -1.560 JGB-SGX-mini 82.653 0.043 2.5 8.950 JPY -1.598 0.010 2.5 -0.041 LEANHOG 91.944 0.024 2.5 5.588 LIVECOW 26.603 0.013 2.5 0.882 LUMBER-new -91.982 0.009 2.5 -1.970 MILK 78.670 0.009 2.5 1.685 MXP -110.508 0.059 2.5 -16.219 NASDAQ_micro -68.094 0.009 2.5 -1.582 NIKKEI -9.749 0.043 2.5 -1.056 NZD 63.382 0.010 2.5 1.645 OAT -7.067 0.014 2.5 -0.241 OATIES -18.970 0.010 2.5 -0.462 OJ 42.107 0.009 2.5 0.902 PALLAD -0.292 0.014 2.5 -0.010 PLAT -27.714 0.014 2.5 -0.945 REDWHEAT -180.455 0.005 2.5 -2.394 RICE -52.173 0.010 2.5 -1.269 ROBUSTA 63.823 0.005 2.5 0.745 RUSSELL 12.034 0.013 2.5 0.399 SHATZ -254.137 0.004 2.5 -2.577 SILVER-mini 1.515 0.014 2.5 0.052 SMI 51.758 0.014 2.5 1.765 SOFR 258.487 0.024 2.5 15.709 SOYBEAN -99.088 0.004 2.5 -0.922 SOYMEAL -126.428 0.004 2.5 -1.176 SOYOIL -74.344 0.004 2.5 -0.692 SP400 -0.868 0.013 2.5 -0.029 SP500_micro -49.056 0.009 2.5 -1.140 SUGAR11 -22.813 0.009 2.5 -0.485 US10 47.587 0.005 2.5 0.603 US10U 45.319 0.005 2.5 0.574 US2 20.315 0.005 2.5 0.257 US20 33.680 0.005 2.5 0.427 US30 14.309 0.005 2.5 0.181 US5 62.378 0.005 2.5 0.790 VIX -23.565 0.099 2.5 -5.817 WHEAT -168.352 0.005 2.5 -2.233 ===================== Position diags ===================== AUD 2.74 BITCOIN 27.50 BOBL 1.79 BTP 2.97 BUND 0.86 BUXL 0.34 CAC 2.34 CAD 4.53 CANOLA 7.52 CHF 1.61 COCOA 0.50 COFFEE 0.31 COPPER 3.56 CORN 4.05 COTTON2 1.88 CRUDE_W 3.93 DAX 9.67 DOW 7.53 DX 2.85 EUR 1.98 EURIBOR-ICE 13.59 EUROSTX 3.16 FEEDCOW 1.50 GASOIL 1.72 GASOLINE 1.28 GAS_US_mini 24.27 GBP 2.97 GOLD_micro 7.83 HEATOIL 1.17 JGB-SGX-mini 23.07 JPY 1.80 LEANHOG 5.99 LIVECOW 2.70 LUMBER-new 3.99 MILK 1.66 MXP 25.30 NASDAQ_micro 2.35 NIKKEI 10.08 NZD 2.83 OAT 3.25 OATIES 3.80 OJ 0.77 PALLAD 0.64 PLAT 1.93 REDWHEAT 1.33 RICE 3.54 ROBUSTA 0.66 RUSSELL 10.63 SHATZ 5.37 SILVER-mini 1.19 SMI 1.47 SOFR 18.62 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 1.5 1.2 1.8 6.0 6 BITCOIN -25.7 -28.4 -22.9 0.0 0 BOBL -1.1 -1.3 -1.0 0.0 0 BTP -0.8 -1.1 -0.5 -2.0 -2 BUND -0.2 -0.3 -0.1 0.0 0 BUXL -0.2 -0.2 -0.2 0.0 0 CAC -0.4 -0.6 -0.2 0.0 0 CAD 1.6 1.2 2.1 0.0 0 CANOLA -6.6 -7.4 -5.9 -1.0 -1 CHF 0.2 0.0 0.4 5.0 5 COCOA 0.4 0.4 0.5 1.0 1 COFFEE 0.1 0.1 0.2 0.0 0 COPPER -1.0 -1.3 -0.6 0.0 0 CORN -5.7 -6.1 -5.3 -5.0 -5 COTTON2 -2.1 -2.2 -1.9 -5.0 -5 CRUDE_W 1.0 0.6 1.4 3.0 3 DAX 6.7 5.7 7.6 9.0 9 DOW 2.6 1.9 3.4 3.0 3 DX -2.8 -3.1 -2.5 0.0 0 EUR 1.1 0.9 1.3 3.0 3 EURIBOR-ICE 6.6 5.3 8.0 0.0 0 EUROSTX 0.0 -0.3 0.3 0.0 0 FEEDCOW -1.6 -1.8 -1.5 -2.0 -2 GASOIL -1.5 -1.6 -1.3 -1.0 -1 GASOLINE 0.2 0.0 0.3 0.0 0 GAS_US_mini -22.2 -24.6 -19.7 -11.0 -11 GBP 3.0 2.7 3.3 1.0 1 GOLD_micro 4.3 3.5 5.0 0.0 0 HEATOIL -1.6 -1.7 -1.4 -2.0 -2 JGB-SGX-mini 9.0 6.6 11.3 4.0 4 JPY -0.0 -0.2 0.1 1.0 1 LEANHOG 5.6 5.0 6.2 3.0 3 LIVECOW 0.9 0.6 1.2 2.0 2 LUMBER-new -2.0 -2.4 -1.6 -2.0 -2 MILK 1.7 1.5 1.9 NaN 0 MXP -16.2 -18.7 -13.7 -8.0 -8 NASDAQ_micro -1.6 -1.8 -1.3 0.0 0 NIKKEI -1.1 -2.1 -0.0 -1.0 -1 NZD 1.6 1.4 1.9 0.0 0 OAT -0.2 -0.6 0.1 0.0 0 OATIES -0.5 -0.8 -0.1 NaN 0 OJ 0.9 0.8 1.0 1.0 1 PALLAD -0.0 -0.1 0.1 0.0 0 PLAT -0.9 -1.1 -0.8 -1.0 -1 REDWHEAT -2.4 -2.5 -2.3 -2.0 -2 RICE -1.3 -1.6 -0.9 NaN 0 ROBUSTA 0.7 0.7 0.8 0.0 0 RUSSELL 0.4 -0.7 1.5 -6.0 -6 SHATZ -2.6 -3.1 -2.0 NaN 0 SILVER-mini 0.1 -0.1 0.2 0.0 0 SMI 1.8 1.6 1.9 0.0 0 SOFR 15.7 13.8 17.6 NaN 0 SOYBEAN -0.9 -1.0 -0.9 -6.0 -6 SOYMEAL -1.2 -1.3 -1.1 1.0 1 SOYOIL -0.7 -0.8 -0.6 0.0 0 SP400 -0.0 -0.1 0.0 0.0 0 SP500_micro -1.1 -1.6 -0.7 -2.0 -2 SUGAR11 -0.5 -0.7 -0.2 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 0.6 1.0 2.0 2 VIX -5.8 -7.0 -4.6 -4.0 -4 WHEAT -2.2 -2.4 -2.1 -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 0.0 0.0 0.1 -0.1 0.2 0.2 -0.0 0.1 0.1 -0.0 -0.1 -0.0 -0.0 0.1 0.0 0.1 0.0 0.1 0.3 0.0 -0.0 0.0 0.0 0.0 0.1 -0.0 -0.1 0.5 -0.3 0.1 0.3 -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 -0.1 -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 -0.5 0.2 0.3 -0.2 -0.2 -0.1 0.0 BOBL -0.3 0.6 0.5 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.0 -0.0 -0.1 -0.1 0.1 0.1 -0.4 -0.3 -0.4 -0.4 0.1 0.0 -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 0.3 0.1 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.3 -0.1 0.5 0.1 0.2 0.0 0.1 0.0 0.0 0.1 0.1 -0.0 0.3 0.0 -2.7 0.1 -0.0 0.2 -0.0 0.2 0.0 0.6 -0.1 -0.0 -0.4 -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 -0.0 0.0 -0.1 -0.0 0.1 0.1 -0.1 0.0 0.0 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 0.3 -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 -0.0 -0.0 -0.1 -0.0 0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 -0.1 -0.0 -0.0 -0.4 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.1 -0.2 -0.4 -0.4 -0.5 -0.7 -0.7 -0.3 -0.2 CAC 0.6 -0.2 -0.6 0.0 -0.0 0.1 0.0 0.2 0.0 -0.0 -0.2 0.2 0.1 0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.1 -1.2 -0.0 -0.0 -0.1 0.0 0.0 0.0 0.3 0.1 0.1 -0.3 -0.6 0.4 0.2 0.1 0.1 CAD 0.6 0.3 0.1 0.1 -0.0 0.0 0.0 0.0 0.1 -0.0 -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 -0.0 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 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.1 -0.2 -0.2 -0.2 -0.3 -0.1 -0.1 0.0 -0.2 -0.0 -1.9 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 0.5 0.2 0.1 -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 -0.1 0.0 0.1 -0.1 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.1 0.0 0.2 0.5 0.0 -0.0 0.1 0.0 0.0 0.0 -1.1 0.1 -0.3 0.6 0.6 0.0 -0.4 -0.3 -0.4 COCOA 0.4 0.1 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 0.0 -2.7 0.0 -0.0 0.1 0.0 0.3 0.0 1.1 0.1 0.4 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 -0.0 -0.1 -0.0 -0.1 0.4 0.1 0.5 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.2 0.0 0.5 0.1 -2.7 0.1 -0.0 0.2 0.0 0.3 0.1 0.3 0.0 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 -0.1 -0.1 0.0 -0.0 -0.1 -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 -0.2 -0.5 -0.0 -0.0 -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 -0.1 -0.2 0.1 -0.5 -0.0 -1.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.2 0.0 -0.2 -0.5 -0.1 -0.2 -0.0 -0.0 COTTON2 0.5 0.1 -0.6 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.1 -0.4 0.1 -0.5 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 0.1 -0.4 0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.6 0.3 0.5 0.2 -0.1 -0.3 -0.4 0.0 -0.1 CRUDE_W -0.1 -0.5 -0.3 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.3 -0.1 -0.1 0.3 0.3 0.3 0.3 -0.1 -0.0 -0.2 0.0 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.6 0.3 0.3 0.0 -0.2 0.2 0.6 0.3 0.7 DAX 0.6 -0.1 -0.6 0.0 -0.0 0.1 0.0 0.2 0.0 0.0 0.2 0.2 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.0 0.2 0.3 0.2 1.4 0.0 0.0 0.1 0.1 0.2 0.1 -0.4 0.3 0.4 -0.0 -0.6 0.4 0.2 0.0 0.1 DOW 0.6 0.1 0.0 0.0 -0.0 0.1 0.0 0.2 0.0 -0.0 0.2 0.1 0.4 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 -1.3 0.0 0.0 0.1 0.1 0.2 0.1 -0.4 0.2 0.2 0.6 0.1 0.3 0.0 -0.1 -0.1 DX -0.4 -0.6 -0.4 0.0 -0.0 0.0 0.0 0.0 0.0 0.1 -0.1 -0.0 0.2 -0.1 -0.1 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 -0.0 -0.0 0.9 -0.1 -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 0.0 0.0 0.1 -0.2 0.2 0.0 -0.2 0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 -0.0 0.1 0.1 2.7 0.1 -0.0 0.1 0.0 0.1 0.1 -0.4 -0.4 -0.0 0.5 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 0.0 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 0.1 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 0.0 0.2 0.0 -0.0 0.1 0.2 0.4 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 0.2 0.1 -0.3 -0.0 -0.0 0.0 0.0 0.2 0.0 0.2 0.0 0.2 -0.3 -0.6 0.2 0.0 -0.5 -0.1 FEEDCOW -0.3 -0.6 -0.5 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 -0.0 -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 0.4 -0.6 -0.6 -0.5 0.1 0.7 0.4 0.7 GASOIL -0.2 -0.5 -0.4 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.3 -0.2 0.2 -0.2 -0.2 0.0 0.2 0.0 0.1 -0.2 -0.1 -0.2 -0.0 -0.2 0.5 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.0 -0.2 -0.2 -0.0 -0.2 -0.4 -0.4 -0.7 GASOLINE -0.3 -0.4 -0.3 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.3 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 -0.1 -0.2 0.1 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 1.1 0.4 0.1 0.1 -0.1 0.5 0.7 0.7 0.7 GAS_US_mini 0.1 -0.3 -0.2 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.4 -0.1 -0.6 -0.1 -0.2 -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 -0.3 0.2 0.2 0.3 -0.2 -0.5 -0.3 -0.6 GBP 0.6 0.2 0.2 0.0 -0.0 0.0 0.0 0.0 0.1 -0.1 0.4 0.1 0.4 0.2 0.2 -0.0 -0.0 -0.0 -0.0 0.2 0.2 0.1 0.3 0.2 -0.2 0.1 -0.0 0.1 0.1 0.1 0.1 0.2 0.4 0.5 0.5 0.6 0.3 -0.7 0.3 -0.5 GOLD_micro 0.3 0.2 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.4 0.1 0.5 0.1 0.1 -0.2 -0.3 -0.2 -0.2 0.1 0.2 0.0 0.4 0.1 -0.9 0.0 -0.0 0.1 0.0 0.2 0.1 -0.7 0.0 0.3 0.6 0.6 0.4 -0.1 0.5 0.1 HEATOIL -0.2 -0.4 -0.3 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.3 -0.1 0.0 -0.2 -0.2 -0.1 0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.4 0.3 -0.0 -0.2 -0.3 -0.2 0.2 -0.5 0.1 JGB-SGX-mini 0.1 0.6 0.2 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 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 -0.0 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 -0.3 0.6 0.2 -0.7 -0.6 -0.7 -0.6 LEANHOG 0.6 0.5 -0.5 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.2 -0.3 0.1 -0.0 0.4 0.3 0.4 0.4 0.0 -0.1 0.2 -0.3 0.2 0.5 0.0 0.1 -0.1 0.1 -0.1 0.0 1.1 0.5 0.6 0.6 -0.2 0.0 -0.2 0.1 0.1 LIVECOW -0.4 -0.6 0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 0.1 0.2 -0.0 0.2 -0.1 -0.0 0.4 0.2 0.3 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 0.4 -0.3 -0.4 0.6 -0.0 0.7 0.2 0.7 LUMBER-new 0.0 0.5 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 0.0 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 -0.0 -0.2 -0.0 NaN -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.2 0.0 0.1 0.5 0.1 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 0.2 0.2 0.2 0.2 2.0 0.1 0.0 0.1 0.1 0.0 0.1 -1.1 0.5 0.6 0.6 0.6 -0.1 -0.7 0.1 -0.7 MXP -0.1 -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 -0.4 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.1 0.0 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 -0.3 -0.2 -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 -0.0 0.0 0.1 0.1 0.0 0.0 0.1 0.2 0.2 0.2 -0.0 -0.0 0.0 0.1 0.0 -0.9 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.1 -0.3 -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 0.0 0.0 0.1 0.1 -0.0 0.1 0.1 -0.0 0.0 -0.0 -0.0 0.1 0.0 0.1 -0.0 0.2 0.0 0.0 -0.0 0.0 0.0 0.0 0.1 0.2 0.2 0.5 -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 0.5 0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 0.1 -0.4 0.0 -0.1 0.2 0.1 0.2 0.1 -0.0 -0.1 0.2 -0.3 0.1 -2.7 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.2 0.5 0.5 0.3 -0.2 0.4 -0.0 0.7 0.3 OJ 0.4 -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 0.5 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 0.2 0.2 0.1 0.2 -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 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.7 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.1 -0.3 -0.2 0.1 -0.2 -0.3 -0.2 0.1 REDWHEAT 0.1 -0.4 -0.6 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 0.2 -0.5 0.1 -0.7 -0.1 -0.2 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 0.1 -0.5 -0.1 -0.8 -0.1 0.1 -0.2 0.0 -0.2 -0.0 -0.9 0.4 -0.1 -0.3 -0.4 -0.7 -0.7 -0.6 -0.7 RICE -0.1 -0.1 -0.3 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 0.2 -0.1 0.4 -0.0 -0.0 -0.2 0.4 0.4 0.4 -0.0 0.0 -0.0 0.2 -0.1 -1.4 -0.0 -0.1 0.0 -0.0 0.1 -0.0 1.1 -0.1 -0.4 0.3 0.6 -0.7 -0.6 -0.7 -0.6 ROBUSTA 0.6 -0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.3 0.1 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.3 0.0 1.1 0.2 0.6 0.6 0.6 0.1 -0.2 0.4 0.1 RUSSELL 0.2 0.0 -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 0.0 0.1 0.0 -0.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 0.1 -0.1 0.6 0.1 0.1 -0.5 -0.2 -0.7 SHATZ -0.2 0.6 0.6 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.0 -0.1 0.1 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -1.1 0.1 -0.1 0.1 -0.0 -0.7 -0.6 -0.5 -0.4 SILVER-mini 0.3 -0.5 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 0.0 0.2 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.2 -0.0 0.3 -0.0 -0.0 -0.0 0.0 0.1 0.0 -0.1 -0.1 0.0 -0.1 0.3 0.2 -0.1 0.2 0.3 SMI 0.5 -0.3 0.1 0.0 -0.0 0.1 0.0 0.2 0.0 -0.0 0.4 0.1 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 0.0 0.2 0.1 0.5 -0.0 0.4 0.6 0.6 0.0 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 0.1 0.3 0.1 0.2 0.1 0.1 0.0 -0.0 0.0 -0.0 0.2 0.2 0.1 0.1 0.1 -0.7 0.1 -0.0 0.1 0.0 0.1 0.0 0.2 0.1 0.2 0.1 0.3 0.3 -0.4 0.7 0.2 SOYBEAN 0.1 -0.3 -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 0.3 -0.2 -0.5 -0.4 -0.1 -0.7 0.1 -0.5 SOYMEAL 0.1 0.1 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.0 -0.3 -0.0 -0.1 -0.1 0.1 -0.0 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 -0.2 -0.1 -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 0.0 -0.2 0.0 -0.3 -0.1 -0.1 0.1 0.0 0.1 0.0 -0.1 -0.1 0.0 -0.2 -0.0 -2.5 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.5 0.2 -0.3 -0.0 -0.1 -0.3 0.2 -0.1 SP400 0.4 -0.0 -0.2 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.2 0.1 0.3 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 0.2 0.1 -1.2 0.0 0.0 0.1 0.0 0.2 0.0 0.0 0.1 -0.1 0.5 -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 0.2 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 0.0 0.4 0.1 -2.1 0.0 0.0 0.1 0.0 0.2 0.0 -0.5 -0.0 0.2 -0.2 0.2 0.2 0.1 -0.2 -0.0 SUGAR11 0.4 0.0 0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 0.1 -0.4 0.0 -0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.1 0.1 -0.2 0.1 -2.7 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 0.5 0.6 0.0 0.3 -0.2 0.5 -0.1 0.6 US10 0.0 0.6 0.6 0.0 -0.0 0.1 -0.0 0.0 0.0 0.0 0.2 0.0 -0.0 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.0 0.1 0.3 0.0 -0.0 0.1 0.0 0.0 0.0 -0.4 -0.0 0.0 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 -0.0 0.2 0.0 -0.0 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.0 0.0 0.1 -0.1 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 -0.1 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 0.1 0.3 0.2 0.0 -0.7 0.2 -0.4 US20 0.1 0.5 0.6 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.2 0.0 0.1 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 0.1 0.4 0.6 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.2 0.0 -0.0 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 -0.0 0.1 -0.2 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 0.7 0.7 US5 0.0 0.6 0.6 0.0 -0.0 0.1 -0.0 0.0 0.0 0.0 0.2 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 0.8 0.0 -0.0 0.1 0.0 0.0 0.0 -0.7 0.1 0.0 0.1 0.2 0.2 -0.7 0.6 -0.0 VIX -0.4 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 -0.4 -0.6 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 0.1 -0.5 -0.1 -0.1 -0.4 -0.3 -0.3 -0.3 -0.2 -0.2 0.1 -0.4 -0.1 0.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.1 -0.1 -0.3 -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 -3.8 4.6 3.6 -3.3 1.2 2.9 0.6 5.5 -5.9 6.4 14.2 -0.9 13.7 10.5 -1.8 -2.6 -2.1 -2.3 8.2 4.2 7.7 0.9 12.6 2.5 3.4 -3.2 1.6 3.5 0.6 5.5 -0.0 -2.9 16.4 -9.4 1.8 10.4 -4.9 12.6 -0.5 BITCOIN -1.3 -7.7 -20.0 -3.0 -3.3 -3.6 -0.9 -2.1 -0.6 -14.3 1.2 -3.0 7.2 -5.2 -7.2 -5.0 -6.9 -5.8 -6.5 -6.3 -1.5 -7.7 7.3 -6.2 -20.0 -3.4 -4.5 0.0 -3.5 6.0 -3.3 -2.2 -0.5 -15.3 7.5 8.7 -7.2 -4.9 -3.3 0.4 BOBL -7.9 19.1 14.2 3.0 -1.0 2.4 -0.5 0.7 1.6 -3.8 -0.8 -7.4 -4.1 5.9 7.9 -20.0 -16.9 -20.0 -20.0 7.4 4.6 -2.9 -1.7 2.9 4.6 2.8 -1.1 2.1 -1.2 0.3 1.0 -20.0 0.5 -6.7 -3.0 -6.2 -20.0 -20.0 -7.2 -8.3 BTP -2.7 10.5 3.5 5.2 -1.8 4.1 -0.9 1.3 2.8 -12.0 12.8 -8.4 15.1 12.5 16.3 2.3 3.8 1.8 2.4 10.7 11.1 -4.9 10.7 4.1 -20.0 5.2 -3.5 5.6 -2.8 5.6 1.8 10.4 -2.1 -0.6 -10.9 -17.5 -20.0 -15.4 -1.6 5.4 BUND -7.0 15.1 11.4 3.3 -1.1 2.6 -0.6 0.8 1.8 -5.1 0.9 -8.2 -0.7 6.0 8.5 -2.8 0.9 1.3 0.7 6.8 5.0 -4.4 -0.2 1.8 1.2 2.9 -1.8 2.6 -2.0 1.1 0.6 6.2 -3.1 -8.0 -6.1 -8.5 -20.0 -20.0 -6.0 -7.2 BUXL -5.9 12.1 8.1 3.8 -1.3 3.0 -0.6 0.9 2.1 -5.3 -0.4 -8.8 -0.4 4.6 7.2 -0.8 -2.2 -1.4 -2.3 4.7 3.2 -6.1 -1.8 -0.1 -3.1 2.5 -2.2 2.5 -3.4 1.1 -0.3 1.1 -7.5 -11.4 -11.4 -14.5 -20.0 -20.0 -8.7 -7.4 CAC 20.0 -6.5 -20.0 3.1 -1.1 4.7 3.7 6.5 3.8 -0.5 -8.0 16.9 3.1 7.8 -8.4 -4.5 -2.1 -4.9 -3.2 -6.5 -10.4 12.5 -0.7 8.3 -9.3 -2.3 -0.3 -3.0 4.1 1.0 2.6 6.4 4.3 3.2 -10.7 -20.0 11.8 5.4 2.7 3.7 CAD 20.0 7.8 2.6 4.8 -4.3 1.5 3.9 0.8 7.3 -1.1 -6.8 15.9 -15.6 18.8 13.1 -4.9 -3.6 -4.7 -4.2 13.2 0.7 17.6 -6.8 20.0 -1.5 5.2 -1.6 0.6 7.1 -1.9 9.4 -2.4 20.0 20.0 -2.3 -3.0 10.5 -6.1 3.0 -2.9 CANOLA 2.5 -5.4 -2.3 -1.9 -3.1 -1.9 -1.2 -1.3 -1.1 0.3 -4.8 1.9 -6.4 -3.6 -4.8 -11.3 -10.5 -12.1 -12.6 -4.9 -5.2 2.1 -5.8 -1.6 -14.2 -1.5 4.0 -2.3 2.7 -3.0 0.3 -20.0 19.9 7.3 1.8 -2.9 -0.1 -11.1 9.2 -5.1 CHF 9.6 20.0 19.7 2.5 -2.2 0.8 2.0 0.4 3.7 -8.8 1.6 6.2 -3.6 10.1 10.4 -14.3 -16.4 -15.6 -16.0 15.3 8.1 6.0 0.8 14.5 3.5 4.2 -0.8 2.4 1.4 0.6 3.7 -20.0 4.2 -8.3 20.0 18.0 0.1 -10.7 -8.3 -11.9 COCOA 13.4 1.6 5.6 -1.7 -2.9 -1.7 -1.1 -1.2 -1.0 -5.2 2.3 2.2 3.3 3.4 -0.5 20.0 20.0 20.0 20.0 2.9 4.9 0.3 9.3 3.6 -20.0 1.8 -0.0 4.5 1.6 9.3 2.0 20.0 4.7 11.3 9.1 6.7 20.0 8.2 20.0 12.5 COFFEE 6.5 -3.9 6.7 -4.5 -7.4 -4.4 -2.9 -3.1 -2.7 -15.1 15.3 5.8 15.1 9.7 14.4 4.7 6.2 4.4 5.4 13.2 16.4 1.2 16.7 10.0 -20.0 5.4 -3.3 7.2 3.4 8.9 5.4 6.5 1.8 20.0 20.0 20.0 -2.9 -9.9 4.4 -3.4 COPPER 11.9 -20.0 -12.8 -2.2 -2.5 -2.7 -0.7 -1.5 -0.5 -9.8 -3.5 2.7 -0.3 -5.0 -8.3 -4.5 -2.9 -2.7 -2.4 -6.8 -3.4 -5.2 2.7 -3.4 -13.7 -2.2 -0.3 -1.1 0.8 1.0 -0.3 4.9 5.0 1.0 -10.2 -0.8 14.6 5.4 20.0 17.1 CORN 7.2 -6.2 -16.0 -3.2 -5.4 -3.2 -2.1 -2.3 -2.0 11.2 -12.2 4.3 -13.1 -6.1 -12.0 -20.0 -15.8 -20.0 -20.0 -13.8 -17.6 7.2 -17.6 -4.6 -8.5 -4.3 2.7 -5.0 -0.0 -4.8 -2.3 -20.0 8.4 0.2 -5.6 -13.9 -3.3 -7.0 -1.0 -0.7 COTTON2 17.0 3.9 -17.0 -3.9 -6.5 -3.8 -2.6 -2.7 -2.4 8.4 -15.4 9.1 -14.0 -1.1 -11.2 -10.8 -2.8 -9.3 -6.0 -8.4 -16.5 6.6 -16.4 1.6 -20.0 -3.1 2.1 -5.5 2.7 -3.7 1.0 -11.0 13.6 15.2 4.8 -2.4 -10.0 -10.5 0.4 -3.6 CRUDE_W -3.0 -14.9 -9.0 -5.1 -7.8 -3.3 -5.7 -0.6 -5.3 -15.1 -4.1 -10.5 8.9 -12.4 -10.5 12.5 12.8 13.2 13.1 -9.1 -4.3 -19.1 1.7 -12.0 -1.9 -5.0 -3.3 -4.1 -2.0 -0.7 -3.5 10.9 12.4 9.0 0.6 -5.0 7.2 16.7 8.1 20.0 DAX 20.0 -4.6 -17.3 2.7 -0.9 4.1 3.3 5.8 3.4 4.7 7.5 15.7 13.0 13.7 5.0 -8.0 -10.4 -8.6 -9.6 6.4 4.6 17.7 10.3 16.2 10.5 1.8 0.6 2.2 5.9 5.4 5.1 -6.9 11.9 12.6 -0.2 -18.3 11.6 4.5 0.8 2.6 DOW 18.2 2.7 0.1 2.1 -0.7 3.2 2.6 4.5 2.7 -3.9 7.8 11.5 11.6 10.3 8.6 -8.9 -10.9 -9.8 -10.5 10.5 9.1 9.1 10.4 12.8 -10.0 3.8 4.7 3.9 5.3 4.9 4.7 -8.0 9.1 7.0 19.2 2.0 9.7 0.6 -1.7 -4.2 DX -12.6 -20.0 -13.7 2.9 -2.6 0.9 2.3 0.5 4.4 12.5 -3.8 -3.4 6.0 -10.7 -12.4 6.0 6.9 6.7 6.9 -15.9 -8.5 -2.7 -0.8 -14.7 -20.0 -4.8 2.3 -2.6 -1.1 -0.3 -4.4 16.1 -2.2 -20.0 -20.0 -20.0 -3.9 5.6 -5.3 8.2 EUR 11.8 13.0 8.1 4.0 -3.6 1.3 3.2 0.6 6.0 -17.3 6.7 2.5 -4.8 12.0 15.4 -6.7 -7.2 -7.2 -7.2 15.5 8.9 -1.0 1.9 13.2 20.0 6.2 -5.0 3.9 0.0 1.7 5.3 -8.1 -17.2 -1.3 16.4 11.8 1.9 -17.8 -2.9 -20.0 EURIBOR-ICE -4.0 20.0 14.3 2.6 -0.9 2.0 -0.4 0.6 1.4 2.5 2.5 0.3 2.7 8.3 8.9 1.1 -3.5 -1.1 -2.4 10.8 8.0 2.2 3.6 7.3 12.8 3.0 0.7 2.3 0.6 1.2 2.0 -0.1 6.0 2.4 3.6 -1.8 -20.0 -20.0 -2.0 1.8 EUROSTX 20.0 -9.7 -20.0 2.6 -0.9 4.0 3.2 5.6 3.3 -4.6 5.6 14.4 11.6 6.2 0.3 -4.2 -2.9 -4.6 -4.1 0.1 0.2 11.0 8.5 8.9 -2.3 -0.2 -0.7 0.9 4.0 5.2 3.1 4.5 1.7 5.5 -10.1 -20.0 4.7 0.9 -13.6 -2.8 FEEDCOW -7.8 -20.0 -16.3 -4.3 -7.0 -4.2 -2.8 -3.0 -2.6 11.5 -10.7 -4.3 -8.9 -13.3 -13.7 12.1 -18.6 3.7 -7.0 -20.0 -20.0 -5.7 -10.7 -20.0 -6.6 -5.3 0.1 -3.8 -1.7 -1.7 -4.5 -20.0 16.5 -19.9 -20.0 -14.8 3.8 20.0 11.4 20.0 GASOIL -6.2 -15.3 -12.2 -5.0 -7.7 -3.3 -5.6 -0.6 -5.2 -16.1 -11.1 -15.8 6.6 -17.0 -15.6 2.2 9.3 1.5 3.8 -15.0 -9.7 -16.8 -0.9 -16.4 4.0 -6.1 -8.1 -4.1 -6.5 -0.9 -6.4 0.1 -1.5 -6.2 -6.8 -1.4 -5.6 -12.3 -11.5 -20.0 GASOLINE -8.0 -12.7 -9.5 -5.0 -7.6 -3.3 -5.6 -0.6 -5.2 -14.3 -3.4 -12.9 7.3 -13.6 -12.2 20.0 20.0 20.0 20.0 -10.7 -5.1 -18.5 2.5 -13.9 -20.0 -5.4 -1.5 -3.7 -3.1 0.4 -4.9 20.0 14.7 1.9 4.6 -2.1 16.1 20.0 20.0 20.0 GAS_US_mini 3.2 -8.5 -5.6 -4.6 -7.1 -3.0 -5.2 -0.6 -4.8 -9.3 -15.0 -10.8 -16.3 -12.5 -15.0 -20.0 -20.0 -20.0 -20.0 -13.2 -15.2 -8.1 -20.0 -10.6 20.0 -4.3 -5.0 -4.6 -5.6 -6.4 -4.6 -20.0 -10.5 6.8 7.2 10.6 -5.9 -14.6 -7.7 -19.1 GBP 18.8 5.1 7.4 4.3 -3.9 1.4 3.5 0.7 6.5 -11.9 16.6 13.7 11.4 15.3 16.9 -0.5 -0.7 -0.6 -0.7 20.0 14.6 13.8 10.1 20.0 -1.2 6.9 -1.3 5.3 4.9 4.0 7.8 3.0 14.7 16.6 16.9 20.0 8.7 -20.0 9.7 -15.9 GOLD_micro 10.3 5.5 2.5 -2.8 -3.1 -3.4 -0.9 -1.9 -0.6 -11.4 13.6 9.5 13.2 11.6 11.8 -11.8 -13.2 -11.9 -12.3 13.4 15.1 2.5 16.2 11.0 -6.7 4.2 -0.2 4.8 3.1 6.4 4.8 -12.6 0.8 10.7 20.0 20.0 11.6 -3.1 15.9 2.7 HEATOIL -5.7 -12.7 -9.2 -5.0 -7.7 -3.3 -5.6 -0.6 -5.2 -15.2 -12.8 -13.6 1.2 -15.7 -14.6 -5.2 6.2 -5.0 -1.4 -14.3 -10.3 -17.9 -3.7 -15.7 -20.0 -6.0 -2.1 -5.3 -3.1 -2.1 -5.0 -7.0 13.2 -0.1 -5.0 -7.8 -5.9 5.1 -15.8 2.5 JGB-SGX-mini 2.6 20.0 7.5 1.9 -0.6 1.5 -0.3 0.5 1.0 -5.1 0.5 -4.8 0.4 2.5 2.8 12.1 17.0 14.5 15.7 4.3 2.1 -0.8 0.3 2.7 -7.3 1.6 -0.5 0.6 -0.0 -0.3 1.2 20.0 1.2 2.6 0.5 -6.3 -7.0 -5.0 -6.3 7.9 JPY 2.8 20.0 20.0 1.6 -1.4 0.5 1.3 0.2 2.4 -3.6 0.5 1.6 -5.1 6.4 5.9 -11.5 -15.3 -13.0 -14.1 8.5 2.9 0.7 -4.4 6.9 20.0 2.1 -0.6 0.7 0.2 -1.0 1.7 -20.0 -3.5 -10.0 20.0 4.8 -20.0 -18.1 -20.0 -18.3 LEANHOG 19.9 16.1 -16.6 -3.8 -6.2 -3.7 -2.5 -2.6 -2.3 13.5 -7.1 14.6 -7.1 13.8 -2.4 20.0 15.7 20.0 20.0 1.3 -8.7 20.0 -11.0 14.1 4.1 0.2 6.3 -2.9 6.8 -3.2 4.5 20.0 20.0 19.0 20.0 -7.7 0.2 -5.5 4.3 3.4 LIVECOW -12.4 -17.3 4.2 -4.8 -8.0 -4.7 -3.2 -3.4 -2.9 16.0 6.1 -0.1 6.4 -10.6 -2.7 19.4 11.9 17.3 16.0 -6.7 1.7 1.8 5.5 -9.4 -12.3 -2.9 1.2 0.7 -2.0 3.2 -4.7 20.0 17.2 -10.1 -11.5 20.0 -1.3 20.0 4.8 20.0 LUMBER-new 0.2 13.2 -4.2 -2.8 -4.7 -2.8 -1.9 -1.9 -1.7 -4.9 -7.3 -6.2 -8.3 3.1 -1.6 -18.0 -17.6 -17.6 -17.6 -2.1 -6.3 -3.8 -8.0 -1.6 NaN -0.6 -0.3 -3.4 -1.8 -4.4 -0.4 -20.0 0.1 1.9 13.7 1.7 3.5 -2.5 8.2 0.1 MILK 15.8 7.4 20.0 -3.5 -5.8 -3.4 -2.3 -2.5 -2.1 12.6 12.5 13.5 5.1 13.1 13.2 20.0 -18.9 0.7 -10.2 17.3 14.1 20.0 5.7 20.0 15.3 4.8 5.0 4.0 5.6 1.3 5.5 -20.0 20.0 20.0 20.0 20.0 -2.5 -20.0 2.9 -20.0 MXP -4.3 -15.3 -20.0 1.8 -1.6 0.6 1.4 0.3 2.7 -8.1 -6.9 -8.4 -2.4 -8.2 -8.1 9.4 14.2 10.6 12.1 -11.2 -8.7 -10.4 -2.9 -11.4 -20.0 -3.2 -1.8 -2.6 -2.6 -0.8 -3.0 20.0 -20.0 -18.5 -20.0 -20.0 15.8 12.3 20.0 18.8 NASDAQ_micro 13.0 -20.0 -12.5 1.5 -0.5 2.3 1.8 3.2 1.9 -8.1 3.1 4.3 7.4 0.2 0.6 -7.0 -10.1 -8.6 -9.5 0.5 3.7 -3.6 7.8 -0.0 -16.7 0.3 0.1 2.0 0.5 4.3 0.3 -6.5 -8.2 -0.6 -16.0 3.6 1.3 4.6 -7.9 1.8 NIKKEI 11.0 -20.0 -20.0 1.1 -0.4 1.6 1.3 2.2 1.3 -2.2 1.8 5.7 3.8 1.6 1.0 5.2 9.7 8.3 8.9 -0.8 -0.0 2.0 2.6 1.1 -6.6 -1.6 -0.3 -0.5 -0.3 1.0 -1.2 20.0 -2.2 -9.8 -20.0 -11.2 9.2 -0.2 6.5 -2.1 NZD 20.0 3.5 3.1 2.7 -2.5 0.9 2.2 0.4 4.1 0.9 2.6 11.2 -0.9 12.1 8.1 -0.3 0.0 -0.2 -0.1 8.5 2.8 11.4 -0.0 14.6 0.0 2.8 -0.7 0.9 4.0 0.1 5.1 4.1 9.1 15.2 -3.3 3.3 7.0 -4.9 4.7 -0.0 OAT -1.1 14.5 1.8 3.7 -1.2 2.9 -0.6 0.9 2.0 -6.9 -3.1 -8.3 -2.4 8.3 9.8 2.3 3.5 1.3 1.9 5.5 1.7 -3.5 -2.8 2.6 3.0 2.8 -2.0 1.6 -2.0 0.2 1.1 9.8 -1.5 -2.6 -8.2 -17.5 -14.9 -17.8 -0.7 0.1 OATIES 16.6 3.9 -18.9 -3.3 -5.5 -3.3 -2.2 -2.3 -2.0 12.0 -11.3 10.7 -12.4 2.7 -10.7 10.5 3.1 7.5 5.5 -4.3 -11.3 20.0 -12.4 8.7 -20.0 -2.0 9.9 -3.5 6.2 -3.3 1.7 3.3 20.0 16.7 10.6 -6.7 11.3 -0.5 20.0 9.0 OJ 10.9 -3.3 -2.2 -4.1 -6.8 -4.0 -2.7 -2.9 -2.5 -2.2 12.9 5.7 14.3 6.1 10.2 10.4 11.7 9.6 9.7 13.1 15.9 9.2 20.0 12.4 -20.0 4.6 1.6 5.8 3.7 9.5 4.8 14.3 20.0 20.0 20.0 20.0 12.9 12.0 20.0 20.0 PALLAD 12.1 1.2 6.1 -1.8 -2.0 -2.1 -0.5 -1.2 -0.4 -0.5 -4.8 6.0 -8.1 1.2 -1.3 -1.6 -2.0 -1.8 -1.9 -0.3 -3.1 2.2 -7.3 2.4 14.8 -0.6 2.5 -2.5 3.0 -4.0 1.8 6.1 9.9 5.6 1.9 5.3 -20.0 -20.0 -20.0 -20.0 PLAT 2.5 -12.1 -6.4 -2.2 -2.5 -2.7 -0.7 -1.5 -0.5 -10.5 -5.3 -6.0 -4.3 -7.4 -8.6 -4.5 -4.4 -4.8 -4.8 -5.0 -2.7 -10.1 -1.0 -6.0 5.1 -3.0 -4.1 -2.4 -2.3 -0.9 -2.1 1.5 -5.7 -8.7 -7.1 3.0 -6.1 -8.0 -5.5 1.5 REDWHEAT 4.0 -12.8 -20.0 -5.1 -8.4 -5.0 -3.3 -3.6 -3.1 18.0 -18.2 7.8 -18.7 -9.1 -19.2 -10.3 -5.9 -10.4 -8.6 -20.0 -20.0 12.9 -20.0 -6.9 -5.9 -6.1 6.0 -5.9 0.9 -5.3 -3.5 -16.1 14.8 -2.9 -9.9 -13.8 -20.0 -20.0 -18.7 -20.0 RICE -4.6 -4.1 -9.5 -4.4 -7.2 -4.3 -2.9 -3.1 -2.6 -5.0 8.5 -7.6 11.8 -1.3 -3.7 -9.3 20.0 19.6 20.0 -3.9 0.7 -5.0 7.1 -4.9 -10.5 -0.6 -7.4 1.5 -4.1 3.1 -2.5 20.0 -2.6 -13.0 8.8 17.2 -20.0 -17.1 -20.0 -16.6 ROBUSTA 17.5 -2.5 6.6 -3.2 -5.3 -3.1 -2.1 -2.2 -1.9 0.1 12.2 8.6 12.2 10.3 11.8 20.0 20.0 20.0 20.0 19.7 20.0 13.9 20.0 20.0 -20.0 4.7 -1.4 6.0 2.2 7.9 4.2 20.0 8.9 20.0 20.0 20.0 4.1 -5.2 11.4 2.0 RUSSELL 6.8 0.8 -0.4 1.6 -0.5 2.4 1.9 3.4 2.0 -7.3 3.9 5.5 7.2 2.3 2.4 -5.1 -6.5 -5.8 -6.2 4.1 4.4 0.9 4.3 3.9 -0.7 2.4 1.8 2.8 2.3 2.7 2.2 -0.5 6.1 -4.4 17.4 3.7 2.9 -16.1 -6.2 -20.0 SHATZ -6.5 20.0 20.0 2.4 -0.8 1.9 -0.4 0.6 1.3 -0.5 -0.8 -4.1 -4.1 5.5 6.8 -20.0 -20.0 -20.0 -20.0 8.7 4.7 0.3 -3.5 5.1 7.2 2.5 -0.2 1.6 0.0 -0.3 1.5 -20.0 5.2 -2.8 2.0 -0.9 -20.0 -17.9 -16.1 -10.8 SILVER-mini 10.6 -15.0 -4.3 -2.2 -2.4 -2.6 -0.7 -1.5 -0.5 -10.0 3.7 2.5 5.0 -1.5 -3.0 -6.8 -6.4 -6.2 -6.2 -0.7 2.5 -6.1 5.7 -0.8 2.3 -1.1 -2.6 -0.2 0.7 1.8 0.6 -1.5 -3.5 1.4 -2.2 8.3 4.9 -4.1 7.0 7.5 SMI 16.9 -10.4 2.3 2.4 -0.8 3.6 2.9 5.1 3.0 -0.5 13.2 13.3 14.0 13.4 12.8 -2.9 0.1 -3.0 -1.9 9.6 11.7 9.8 13.1 11.3 10.9 5.8 -0.5 6.3 3.3 6.2 5.2 9.2 -1.1 12.2 20.0 17.6 1.5 1.1 -10.0 -2.6 SOFR 3.1 20.0 20.0 3.6 -1.2 2.8 -0.6 0.9 1.9 8.2 9.6 9.9 4.5 12.3 13.2 1.4 -0.8 0.0 -0.7 17.7 13.9 6.2 5.3 13.2 -4.9 4.6 -0.7 3.9 1.3 2.2 3.4 3.8 6.1 5.0 3.4 9.5 9.3 -13.3 20.0 7.0 SOYBEAN 3.6 -9.2 -20.0 -2.4 -3.9 -2.3 -1.6 -1.7 -1.4 8.5 -8.8 1.8 -7.9 -5.5 -8.4 -13.0 1.9 -8.4 -4.2 -12.7 -13.8 4.8 -11.0 -5.4 -16.2 -3.2 1.6 -3.2 0.2 -2.4 -1.8 -5.7 11.5 -5.6 -14.5 -13.5 -2.3 -20.0 3.0 -16.3 SOYMEAL 2.1 2.4 -13.4 -2.5 -4.2 -2.5 -1.7 -1.8 -1.5 8.9 -8.5 2.5 -8.8 -2.7 -8.0 -4.1 4.6 -0.4 1.4 -7.3 -9.5 6.2 -8.9 -1.7 -18.8 -2.6 1.6 -2.8 0.4 -2.2 -1.3 1.1 7.8 -5.1 -2.5 -3.4 -20.0 -20.0 -20.0 -20.0 SOYOIL 4.5 -12.5 -2.4 -2.2 -3.7 -2.2 -1.5 -1.6 -1.3 3.1 -7.1 4.1 -8.3 -5.0 -6.4 5.4 1.9 4.4 2.2 -6.5 -7.7 4.2 -8.2 -1.7 -18.8 -2.2 3.7 -2.6 2.2 -2.4 -0.5 -1.1 19.8 6.7 -9.0 -1.2 -2.7 -9.4 5.9 -2.5 SP400 11.2 -0.5 -7.5 1.9 -0.6 2.9 2.3 4.0 2.4 -8.9 6.0 6.8 9.4 4.6 3.3 -6.2 -5.9 -5.9 -5.9 4.2 4.5 1.1 6.3 5.2 -9.3 2.9 2.3 3.5 3.3 4.3 3.1 0.5 6.2 -2.1 15.3 -0.9 6.0 -7.2 -3.9 -20.0 SP500_micro 18.0 -20.0 -8.7 2.0 -0.7 3.0 2.4 4.2 2.4 -9.0 9.2 9.8 11.7 7.2 6.9 -9.0 -12.1 -10.9 -11.8 6.6 9.3 2.6 13.2 7.0 -15.9 2.2 2.2 4.1 2.9 6.5 2.4 -10.1 -0.6 6.3 -5.0 7.5 6.9 2.9 -6.1 -0.2 SUGAR11 13.4 0.7 2.6 -3.7 -6.1 -3.6 -2.4 -2.6 -2.2 8.5 -11.3 9.6 -11.3 1.6 -4.5 -4.1 6.0 -3.2 0.3 -1.5 -8.0 15.6 -8.9 8.1 -20.0 -0.6 7.0 -3.4 7.8 -3.8 3.5 1.9 20.0 20.0 1.0 8.0 -7.4 15.1 -4.1 18.2 US10 1.3 19.2 20.0 2.7 -0.9 2.1 -0.5 0.7 1.5 0.8 6.2 2.1 -0.3 7.3 9.0 -6.3 -7.4 -7.0 -7.1 11.4 8.6 1.8 1.3 7.6 2.0 3.4 -1.5 2.8 0.2 1.3 2.3 -7.3 -0.7 0.4 1.1 5.1 4.2 -20.0 20.0 5.1 US10U 2.0 17.5 20.0 3.8 -1.3 3.0 -0.6 0.9 2.0 -1.6 8.1 2.3 -0.9 10.5 12.6 -3.8 -3.0 -4.0 -3.8 13.9 10.1 1.9 0.8 9.3 -0.5 4.6 -2.7 3.8 -0.0 1.7 3.0 -0.7 -3.5 0.2 -1.9 4.3 4.6 -17.8 20.0 14.7 US2 -0.6 20.0 20.0 2.2 -0.7 1.7 -0.4 0.5 1.2 1.5 2.1 2.2 -3.3 5.8 6.7 -20.0 -20.0 -20.0 -20.0 9.9 6.2 2.6 -1.3 7.3 11.6 2.6 -0.3 1.8 0.7 0.4 2.0 -20.0 5.0 2.3 8.4 5.1 1.1 -20.0 5.5 -11.1 US20 4.0 15.8 19.3 2.7 -0.9 2.1 -0.4 0.7 1.5 -0.2 6.0 2.0 1.4 7.2 8.6 -1.1 -0.9 -1.0 -0.9 9.6 7.3 1.0 1.3 6.4 -2.2 3.3 -2.5 3.1 -0.3 1.7 2.1 3.7 -5.0 -0.5 -3.2 3.5 5.0 -10.2 20.0 20.0 US30 4.2 13.4 17.2 3.2 -1.1 2.5 -0.5 0.8 1.7 -0.1 5.9 1.7 -0.2 8.1 9.5 -5.2 -5.0 -4.7 -4.8 9.3 6.5 0.9 -0.1 6.4 -1.6 3.8 -3.2 3.4 -0.4 1.6 2.5 -3.2 -5.7 -0.6 -7.3 0.6 2.0 -9.4 20.0 20.0 US5 0.3 20.0 20.0 2.7 -0.9 2.1 -0.4 0.7 1.5 2.4 5.6 2.3 -1.5 7.4 8.8 -12.5 -11.1 -12.2 -11.4 12.1 8.7 2.8 0.9 8.4 5.6 3.4 -0.8 2.7 0.6 1.1 2.4 -14.0 3.4 1.5 4.2 6.0 4.9 -20.0 18.0 -1.4 VIX -7.5 20.0 20.0 1.3 -0.3 0.3 -0.0 -1.0 0.9 4.8 -4.6 -5.1 -6.5 -4.4 -4.2 -2.1 -20.0 -20.0 -20.0 0.3 -0.6 0.5 -3.2 -0.3 NaN 1.4 -0.4 0.3 0.1 -1.2 1.2 NaN NaN NaN NaN NaN -11.6 -20.0 NaN NaN WHEAT 3.6 -13.7 -20.0 -3.7 -6.0 -3.6 -2.4 -2.6 -2.2 12.3 -12.7 5.1 -12.7 -7.5 -13.6 -18.0 -15.3 -17.4 -16.5 -15.4 -16.3 7.6 -15.3 -6.2 2.8 -4.4 2.9 -4.0 -0.4 -3.2 -2.9 -20.0 2.8 -2.7 -10.3 -10.3 -19.4 -20.0 -17.3 -20.0 End of report for caleb_strategy_v3