******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240909_203901 produced at 2024-09-09 21:37:30.977335 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.12 -0.15 0.0 0.51 -0.51 -0.12 -0.12 -17.65 60.0 -14 -14 caleb_strategy_v3 DX False False 0.03 0.00 -0.09 0.0 999.00 -999.00 0.00 0.00 -2.67 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.08 -0.07 0.0 0.31 -0.31 -0.08 -0.08 -1.66 8.0 -2 -2 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -31.08 59.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -1.36 24.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.09 -0.06 0.0 0.09 -0.09 -0.09 -0.09 -1.76 3.0 -3 -3 caleb_strategy_v3 COPPER False False 0.04 0.00 -0.04 0.0 999.00 -999.00 0.00 0.00 -1.02 999999999.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.03 -0.04 0.0 0.08 -0.08 -0.03 -0.03 -5.09 12.0 -5 -5 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.04 0.0 0.09 -0.09 -0.02 -0.02 -1.84 4.0 -1 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.04 0.0 0.06 -0.06 -0.03 -0.03 -17.35 26.0 -13 -13 caleb_strategy_v3 CAC True False 0.03 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -1.13 12.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.03 0.0 0.13 -0.13 -0.05 -0.05 -2.58 11.0 -4 -4 caleb_strategy_v3 VIX False False 0.01 -0.02 -0.03 0.0 999.00 -999.00 -0.02 -0.02 -4.10 999999999.0 -3 -3 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.03 0.0 0.86 -0.86 0.00 0.00 -0.59 19.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.02 -0.02 0.0 0.45 -0.45 -0.02 -0.02 -1.95 48.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.02 0.0 0.15 -0.15 0.00 0.00 -6.60 51.0 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 -1.92 23.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.02 -0.02 0.0 0.31 -0.31 -0.02 -0.02 -1.88 36.0 -2 -2 caleb_strategy_v3 EUROSTX False True 0.02 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -1.03 20.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.02 0.0 0.08 -0.08 -0.01 -0.01 -1.88 8.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -1.77 9.0 -3 -3 caleb_strategy_v3 LUMBER-new False False 0.00 -0.01 -0.01 0.0 0.01 -0.01 -0.01 -0.01 -1.80 3.0 -2 -2 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.04 -0.04 0.00 0.00 -0.66 4.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.04 -0.01 0.0 0.25 -0.25 -0.04 -0.04 -1.55 68.0 -10 -10 caleb_strategy_v3 PLAT False False 0.02 -0.03 -0.01 0.0 0.16 -0.16 -0.03 -0.03 -0.75 10.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.07 -0.01 0.0 0.12 -0.12 -0.07 -0.07 -0.76 7.0 -4 -4 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.96 9.0 0 0 caleb_strategy_v3 SP400 False True 0.10 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.15 2.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.78 18.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.13 4.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.00 0.0 999.00 -999.00 0.00 0.00 -0.01 999999999.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.06 2.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.08 -0.08 0.00 0.00 -0.58 10.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.00 0.0 0.12 -0.12 0.05 0.05 0.15 5.0 2 2 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.19 -0.19 0.00 0.00 0.10 6.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.00 0.0 0.51 -0.51 0.00 0.00 -0.04 10.0 0 0 caleb_strategy_v3 BTP False False 0.05 -0.09 -0.00 0.0 0.46 -0.46 -0.09 -0.09 -0.08 10.0 -2 -2 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.00 0.0 999.00 -999.00 0.00 0.00 -0.04 999999999.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.38 2.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.01 0.0 0.39 -0.39 0.02 0.02 0.69 23.0 1 1 caleb_strategy_v3 US30 False False 0.05 0.14 0.01 0.0 0.28 -0.28 0.14 0.14 0.26 6.0 3 3 caleb_strategy_v3 AUD False False 0.02 0.09 0.01 0.0 0.44 -0.44 0.09 0.09 0.56 19.0 4 4 caleb_strategy_v3 LIVECOW False False 0.02 0.02 0.01 0.0 0.41 -0.41 0.02 0.02 0.41 17.0 1 1 caleb_strategy_v3 JPY False False 0.03 0.03 0.01 0.0 0.52 -0.52 0.03 0.03 0.34 17.0 1 1 caleb_strategy_v3 COCOA False False 0.02 0.00 0.01 0.0 0.55 -0.55 0.00 0.00 0.40 26.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.01 0.01 0.0 0.47 -0.47 0.01 0.01 1.55 66.0 1 1 caleb_strategy_v3 CAD False False 0.03 0.03 0.02 0.0 0.74 -0.74 0.03 0.03 0.78 29.0 1 1 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.55 9.0 0 0 caleb_strategy_v3 CHF False False 0.05 0.26 0.02 0.0 0.67 -0.67 0.26 0.26 0.45 13.0 5 5 caleb_strategy_v3 US10U False False 0.04 0.04 0.03 0.0 0.53 -0.53 0.04 0.04 0.79 13.0 1 1 caleb_strategy_v3 US10 False False 0.04 0.00 0.03 0.0 0.67 -0.67 0.00 0.00 0.82 17.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.02 0.03 0.0 0.41 -0.41 0.02 0.02 4.42 58.0 3 3 caleb_strategy_v3 OJ False False 0.03 0.03 0.03 0.0 0.08 -0.08 0.03 0.03 1.01 3.0 1 1 caleb_strategy_v3 OAT False False 0.05 0.00 0.03 0.0 0.48 -0.48 0.00 0.00 0.61 10.0 0 0 caleb_strategy_v3 MILK False False 0.02 0.00 0.03 0.0 0.08 -0.08 0.00 0.00 1.60 5.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 0.03 0.0 0.44 -0.44 0.00 0.00 1.27 21.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 0.04 0.0 0.00 0.00 0.00 0.00 0.81 9.0 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 4.92 56.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 0.04 0.0 0.00 0.00 0.00 0.00 0.60 13.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.04 0.05 0.0 0.13 -0.13 0.04 0.04 5.15 13.0 4 4 caleb_strategy_v3 US5 False False 0.04 0.15 0.05 0.0 0.95 -0.95 0.15 0.15 1.20 25.0 4 4 caleb_strategy_v3 EUR False False 0.05 0.05 0.05 0.0 0.67 -0.67 0.05 0.05 1.04 14.0 1 1 caleb_strategy_v3 GBP False False 0.03 0.03 0.08 0.0 0.62 -0.62 0.03 0.03 2.72 22.0 1 1 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.14 0.29 0.0 0.55 -0.55 0.14 0.14 8.26 16.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.95 0.0 0.93 -0.93 0.00 0.00 10.18 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.59 0.0 0.00 0.00 0.00 0.00 19.12 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.1 Shocked risk 17.6 Sum abs risk 32.9 Leverage 4.51 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2910571.41, 'annual_cash_vol_target': 727642.8525, 'daily_cash_vol_target': 45477.67828125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6672 0.6401 10.2411 BITCOIN 1876.0829 56810.0000 3.3024 52.8381 BOBL 0.2332 119.6700 0.1948 3.1175 BTP 0.4750 119.9300 0.3961 6.3368 BUND 0.4717 134.5100 0.3507 5.6114 BUXL 1.1794 137.0600 0.8605 13.7675 CAC 61.1413 7436.5000 0.8222 13.1548 CAD 0.0026 0.7396 0.3559 5.6936 CANOLA 10.3758 596.0000 1.7409 27.8544 CHF 0.0057 1.1921 0.4798 7.6772 COCOA 191.0760 6107.0000 3.1288 50.0608 COFFEE 4.6866 242.9000 1.9295 30.8713 COPPER 0.0548 4.1355 1.3243 21.1893 CORN 5.1964 407.2500 1.2760 20.4156 COTTON2 1.0195 67.7400 1.5050 24.0794 CRUDE_W 1.1832 67.2900 1.7583 28.1330 DAX 149.5247 18490.0000 0.8087 12.9389 DOW 296.4300 41218.0000 0.7192 11.5068 DX 0.4011 101.1400 0.3965 6.3445 EUR 0.0046 1.1092 0.4181 6.6896 EURIBOR-ICE 0.0399 97.9950 0.0407 0.6517 EUROSTX 45.9224 4789.0000 0.9589 15.3426 FEEDCOW 2.1346 228.2500 0.9352 14.9636 GASOIL 10.7644 652.0000 1.6510 26.4156 GASOLINE 0.0349 1.8785 1.8598 29.7572 GAS_US_mini 0.0820 2.5200 3.2545 52.0715 GBP 0.0061 1.3087 0.4697 7.5157 GOLD_micro 18.6298 2510.5000 0.7421 11.8732 HEATOIL 0.0383 2.1674 1.7684 28.2945 JGB-SGX-mini 0.2971 144.2800 0.2059 3.2951 JPY 0.0001 0.0071 0.7316 11.7056 LEANHOG 1.1112 71.1750 1.5612 24.9792 LIVECOW 1.4316 176.9250 0.8092 12.9469 LUMBER-new 9.0813 507.0000 1.7912 28.6589 MILK 0.3073 22.9700 1.3378 21.4049 MXP 0.0005 0.0495 1.0054 16.0858 NASDAQ_micro 227.1944 18827.7500 1.2067 19.3072 NIKKEI 686.7197 35945.0000 1.9105 30.5676 NZD 0.0041 0.6146 0.6644 10.6296 OAT 0.4360 127.2600 0.3426 5.4818 OATIES 5.8953 359.5000 1.6399 26.2379 OJ 8.6438 492.0000 1.7569 28.1100 PALLAD 24.3186 938.5000 2.5912 41.4595 PLAT 15.9380 946.8000 1.6834 26.9337 REDWHEAT 9.2503 589.2500 1.5698 25.1175 RICE 0.1594 15.0650 1.0579 16.9261 ROBUSTA 84.7311 4904.0000 1.7278 27.6447 RUSSELL 27.7285 2122.5000 1.3064 20.9025 SHATZ 0.0784 106.9600 0.0733 1.1729 SILVER-mini 0.5164 28.7625 1.7955 28.7280 SMI 93.8029 11983.0000 0.7828 12.5248 SOFR 0.0562 97.0600 0.0579 0.9259 SOYBEAN 12.8457 1018.7500 1.2609 20.1748 SOYMEAL 4.6107 326.8000 1.4109 22.5737 SOYOIL 0.7866 40.6400 1.9354 30.9667 SP400 29.8453 2962.2000 1.0075 16.1206 SP500_micro 46.7330 5465.0000 0.8551 13.6821 SUGAR11 0.3097 19.1000 1.6213 25.9404 US10 0.3741 115.0469 0.3251 5.2022 US10U 0.5157 119.3750 0.4320 6.9114 US2 0.1143 104.2734 0.1096 1.7535 US20 0.7661 126.1250 0.6074 9.7180 US30 1.1586 136.2188 0.8505 13.6081 US5 0.2477 110.3984 0.2244 3.5896 VIX 0.9205 19.4000 4.7449 75.9190 WHEAT 8.7521 568.0000 1.5409 24.6539 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 667.20 0.64 427.05 1.00 427.05 45477.68 106.49 2.03 21.60 BITCOIN 56.81 3.30 187.61 1.00 187.61 45477.68 242.41 -11.84 -287.04 BOBL 1196.70 0.19 233.17 1.11 259.16 45477.68 175.48 -3.30 -57.89 BTP 1199.30 0.40 474.99 1.11 527.92 45477.68 86.14 -0.27 -2.28 BUND 1345.10 0.35 471.74 1.11 524.32 45477.68 86.74 -0.43 -3.72 BUXL 1370.60 0.86 1179.36 1.11 1310.80 45477.68 34.69 -3.60 -12.51 CAC 743.65 0.82 611.41 1.11 679.55 45477.68 66.92 -4.97 -33.24 CAD 739.65 0.36 263.21 1.00 263.21 45477.68 172.78 1.74 30.14 CANOLA 119.20 1.74 207.52 0.74 153.72 45477.68 295.86 -9.17 -271.35 CHF 1490.12 0.48 715.00 1.00 715.00 45477.68 63.61 2.71 17.25 COCOA 610.70 3.13 1910.76 1.00 1910.76 45477.68 23.80 7.76 18.48 COFFEE 910.88 1.93 1757.49 1.00 1757.49 45477.68 25.88 3.30 8.53 COPPER 1033.88 1.32 1369.20 1.00 1369.20 45477.68 33.21 -2.83 -9.40 CORN 203.62 1.28 259.82 1.00 259.82 45477.68 175.04 -11.96 -209.34 COTTON2 338.70 1.50 509.73 1.00 509.73 45477.68 89.22 -13.52 -120.65 CRUDE_W 672.90 1.76 1183.17 1.00 1183.17 45477.68 38.44 0.35 1.35 DAX 184.90 0.81 149.52 1.11 166.19 45477.68 273.65 4.74 129.60 DOW 206.09 0.72 148.21 1.00 148.21 45477.68 306.84 2.17 66.70 DX 1011.40 0.40 401.05 1.00 401.05 45477.68 113.40 -9.07 -102.89 EUR 1386.50 0.42 579.69 1.00 579.69 45477.68 78.45 5.09 39.92 EURIBOR-ICE 2449.88 0.04 99.78 1.11 110.90 45477.68 410.08 7.28 298.36 EUROSTX 478.90 0.96 459.22 1.11 510.40 45477.68 89.10 -3.39 -30.22 FEEDCOW 1141.25 0.94 1067.32 1.00 1067.32 45477.68 42.61 -11.76 -50.13 GASOIL 652.00 1.65 1076.44 1.00 1076.44 45477.68 42.25 -10.04 -42.41 GASOLINE 788.97 1.86 1467.34 1.00 1467.34 45477.68 30.99 -0.32 -0.99 GAS_US_mini 63.00 3.25 205.03 1.00 205.03 45477.68 221.81 -7.22 -160.23 GBP 817.94 0.47 384.21 1.00 384.21 45477.68 118.37 8.86 104.82 GOLD_micro 251.05 0.74 186.30 1.00 186.30 45477.68 244.11 5.91 144.28 HEATOIL 910.31 1.77 1609.80 1.00 1609.80 45477.68 28.25 -14.41 -40.70 JGB-SGX-mini 144280.00 0.21 29713.79 0.01 208.34 45477.68 218.28 3.49 76.28 JPY 886.81 0.73 648.79 1.00 648.79 45477.68 70.10 1.89 13.26 LEANHOG 284.70 1.56 444.47 1.00 444.47 45477.68 102.32 8.27 84.66 LIVECOW 707.70 0.81 572.66 1.00 572.66 45477.68 79.42 1.55 12.34 LUMBER-new 139.43 1.79 249.74 1.00 249.74 45477.68 182.10 -4.62 -84.19 MILK 459.40 1.34 614.59 1.00 614.59 45477.68 74.00 10.08 74.57 MXP 247.65 1.01 248.98 1.00 248.98 45477.68 182.66 -6.58 -120.25 NASDAQ_micro 376.56 1.21 454.39 1.00 454.39 45477.68 100.09 -8.27 -82.76 NIKKEI 35945.00 1.91 68671.97 0.01 481.50 45477.68 94.45 -1.84 -17.39 NZD 614.65 0.66 408.34 1.00 408.34 45477.68 111.37 4.39 48.93 OAT 1272.60 0.34 436.01 1.11 484.61 45477.68 93.84 1.92 18.02 OATIES 179.75 1.64 294.77 1.00 294.77 45477.68 154.28 1.02 15.80 OJ 738.00 1.76 1296.58 1.00 1296.58 45477.68 35.08 13.50 47.36 PALLAD 938.50 2.59 2431.86 1.00 2431.86 45477.68 18.70 -0.97 -1.82 PLAT 473.40 1.68 796.90 1.00 796.90 45477.68 57.07 -3.84 -21.93 REDWHEAT 294.62 1.57 462.52 1.00 462.52 45477.68 98.33 -14.40 -141.64 RICE 301.30 1.06 318.74 1.00 318.74 45477.68 142.68 -1.90 -27.12 ROBUSTA 490.40 1.73 847.31 1.00 847.31 45477.68 53.67 11.01 59.12 RUSSELL 106.12 1.31 138.64 1.00 138.64 45477.68 328.02 -1.43 -46.78 SHATZ 1069.60 0.07 78.41 1.11 87.15 45477.68 521.86 -2.57 -134.33 SILVER-mini 719.06 1.80 1291.08 1.00 1291.08 45477.68 35.22 -0.09 -0.32 SMI 1198.30 0.78 938.03 1.19 1113.86 45477.68 40.83 5.81 23.72 SOFR 2426.50 0.06 140.42 1.00 140.42 45477.68 323.88 9.71 314.64 SOYBEAN 509.38 1.26 642.28 1.00 642.28 45477.68 70.81 -11.52 -81.55 SOYMEAL 326.80 1.41 461.07 1.00 461.07 45477.68 98.64 -10.43 -102.90 SOYOIL 243.84 1.94 471.93 1.00 471.93 45477.68 96.36 -6.42 -61.90 SP400 2962.20 1.01 2984.53 1.00 2984.53 45477.68 15.24 -2.90 -4.41 SP500_micro 273.25 0.86 233.66 1.00 233.66 45477.68 194.63 -4.32 -84.03 SUGAR11 213.92 1.62 346.82 1.00 346.82 45477.68 131.13 -2.80 -36.76 US10 1150.47 0.33 374.06 1.00 374.06 45477.68 121.58 5.35 65.01 US10U 1193.75 0.43 515.65 1.00 515.65 45477.68 88.19 7.09 62.51 US2 2085.47 0.11 228.56 1.00 228.56 45477.68 198.98 2.37 47.13 US20 1261.25 0.61 766.05 1.00 766.05 45477.68 59.37 7.28 43.19 US30 1362.19 0.85 1158.55 1.00 1158.55 45477.68 39.25 5.29 20.78 US5 1103.98 0.22 247.68 1.00 247.68 45477.68 183.61 5.14 94.43 VIX 194.00 4.74 920.52 1.00 920.52 45477.68 49.40 -3.36 -16.61 WHEAT 284.00 1.54 437.61 1.00 437.61 45477.68 103.92 -12.84 -133.47 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 21.604 0.010 2.5 0.561 BITCOIN -287.037 0.043 2.5 -31.082 BOBL -57.894 0.004 2.5 -0.587 BTP -2.283 0.014 2.5 -0.078 BUND -3.719 0.004 2.5 -0.038 BUXL -12.506 0.004 2.5 -0.127 CAC -33.239 0.014 2.5 -1.134 CAD 30.144 0.010 2.5 0.782 CANOLA -271.345 0.010 2.5 -6.601 CHF 17.249 0.010 2.5 0.448 COCOA 18.477 0.009 2.5 0.396 COFFEE 8.527 0.005 2.5 0.100 COPPER -9.404 0.043 2.5 -1.018 CORN -209.344 0.010 2.5 -5.093 COTTON2 -120.651 0.009 2.5 -2.584 CRUDE_W 1.348 0.043 2.5 0.146 DAX 129.598 0.014 2.5 4.420 DOW 66.698 0.009 2.5 1.550 DX -102.886 0.010 2.5 -2.669 EUR 39.917 0.010 2.5 1.036 EURIBOR-ICE 298.359 0.014 2.5 10.176 EUROSTX -30.219 0.014 2.5 -1.031 FEEDCOW -50.130 0.013 2.5 -1.661 GASOIL -42.413 0.017 2.5 -1.839 GASOLINE -0.987 0.017 2.5 -0.043 GAS_US_mini -160.227 0.043 2.5 -17.350 GBP 104.817 0.010 2.5 2.720 GOLD_micro 144.280 0.014 2.5 4.921 HEATOIL -40.696 0.017 2.5 -1.764 JGB-SGX-mini 76.278 0.043 2.5 8.260 JPY 13.255 0.010 2.5 0.344 LEANHOG 84.660 0.024 2.5 5.145 LIVECOW 12.342 0.013 2.5 0.409 LUMBER-new -84.185 0.009 2.5 -1.803 MILK 74.572 0.009 2.5 1.597 MXP -120.255 0.059 2.5 -17.650 NASDAQ_micro -82.761 0.009 2.5 -1.923 NIKKEI -17.387 0.043 2.5 -1.883 NZD 48.931 0.010 2.5 1.270 OAT 18.018 0.014 2.5 0.615 OATIES 15.796 0.010 2.5 0.384 OJ 47.357 0.009 2.5 1.014 PALLAD -1.817 0.014 2.5 -0.062 PLAT -21.932 0.014 2.5 -0.748 REDWHEAT -141.638 0.005 2.5 -1.879 RICE -27.117 0.010 2.5 -0.660 ROBUSTA 59.115 0.005 2.5 0.690 RUSSELL -46.777 0.013 2.5 -1.550 SHATZ -134.329 0.004 2.5 -1.362 SILVER-mini -0.319 0.014 2.5 -0.011 SMI 23.722 0.014 2.5 0.809 SOFR 314.643 0.024 2.5 19.122 SOYBEAN -81.550 0.004 2.5 -0.758 SOYMEAL -102.898 0.004 2.5 -0.957 SOYOIL -61.901 0.004 2.5 -0.576 SP400 -4.412 0.013 2.5 -0.146 SP500_micro -84.027 0.009 2.5 -1.953 SUGAR11 -36.759 0.009 2.5 -0.782 US10 65.014 0.005 2.5 0.824 US10U 62.505 0.005 2.5 0.792 US2 47.134 0.005 2.5 0.597 US20 43.191 0.005 2.5 0.547 US30 20.778 0.005 2.5 0.263 US5 94.435 0.005 2.5 1.197 VIX -16.610 0.099 2.5 -4.100 WHEAT -133.467 0.005 2.5 -1.770 ===================== Position diags ===================== AUD 2.76 BITCOIN 26.25 BOBL 1.78 BTP 2.94 BUND 0.88 BUXL 0.35 CAC 2.28 CAD 4.48 CANOLA 7.20 CHF 1.65 COCOA 0.51 COFFEE 0.30 COPPER 3.60 CORN 4.26 COTTON2 1.91 CRUDE_W 4.16 DAX 9.33 DOW 7.13 DX 2.94 EUR 2.04 EURIBOR-ICE 13.99 EUROSTX 3.04 FEEDCOW 1.41 GASOIL 1.83 GASOLINE 1.34 GAS_US_mini 24.02 GBP 3.07 GOLD_micro 8.33 HEATOIL 1.22 JGB-SGX-mini 23.64 JPY 1.82 LEANHOG 6.22 LIVECOW 2.63 LUMBER-new 3.90 MILK 1.58 MXP 26.81 NASDAQ_micro 2.33 NIKKEI 10.23 NZD 2.89 OAT 3.20 OATIES 3.75 OJ 0.75 PALLAD 0.64 PLAT 1.95 REDWHEAT 1.30 RICE 3.47 ROBUSTA 0.63 RUSSELL 10.87 SHATZ 5.29 SILVER-mini 1.20 SMI 1.39 SOFR 19.68 SOYBEAN 0.66 SOYMEAL 0.92 SOYOIL 0.90 SP400 0.50 SP500_micro 4.52 SUGAR11 2.79 US10 1.54 US10U 1.12 US2 2.52 US20 0.75 US30 0.50 US5 2.33 VIX 12.20 WHEAT 1.38 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.6 0.3 0.8 4.0 4 BITCOIN -31.1 -33.7 -28.5 0.0 0 BOBL -0.6 -0.8 -0.4 0.0 0 BTP -0.1 -0.4 0.2 -2.0 -2 BUND -0.0 -0.1 0.1 0.0 0 BUXL -0.1 -0.2 -0.1 0.0 0 CAC -1.1 -1.4 -0.9 0.0 0 CAD 0.8 0.3 1.2 1.0 1 CANOLA -6.6 -7.3 -5.9 0.0 0 CHF 0.4 0.3 0.6 5.0 5 COCOA 0.4 0.3 0.4 0.0 0 COFFEE 0.1 0.1 0.1 0.0 0 COPPER -1.0 -1.4 -0.7 0.0 0 CORN -5.1 -5.5 -4.7 -5.0 -5 COTTON2 -2.6 -2.8 -2.4 -4.0 -4 CRUDE_W 0.1 -0.3 0.6 2.0 2 DAX 4.4 3.5 5.4 3.0 3 DOW 1.6 0.8 2.3 1.0 1 DX -2.7 -3.0 -2.4 0.0 0 EUR 1.0 0.8 1.2 1.0 1 EURIBOR-ICE 10.2 8.8 11.6 0.0 0 EUROSTX -1.0 -1.3 -0.7 0.0 0 FEEDCOW -1.7 -1.8 -1.5 -2.0 -2 GASOIL -1.8 -2.0 -1.7 -1.0 -1 GASOLINE -0.0 -0.2 0.1 0.0 0 GAS_US_mini -17.4 -19.8 -14.9 -13.0 -13 GBP 2.7 2.4 3.0 1.0 1 GOLD_micro 4.9 4.1 5.8 0.0 0 HEATOIL -1.8 -1.9 -1.6 -3.0 -3 JGB-SGX-mini 8.3 5.9 10.6 4.0 4 JPY 0.3 0.2 0.5 1.0 1 LEANHOG 5.1 4.5 5.8 4.0 4 LIVECOW 0.4 0.1 0.7 1.0 1 LUMBER-new -1.8 -2.2 -1.4 -2.0 -2 MILK 1.6 1.4 1.8 NaN 0 MXP -17.7 -20.3 -15.0 -14.0 -14 NASDAQ_micro -1.9 -2.2 -1.7 0.0 0 NIKKEI -1.9 -2.9 -0.9 -2.0 -2 NZD 1.3 1.0 1.6 0.0 0 OAT 0.6 0.3 0.9 0.0 0 OATIES 0.4 0.0 0.8 NaN 0 OJ 1.0 0.9 1.1 1.0 1 PALLAD -0.1 -0.1 0.0 0.0 0 PLAT -0.7 -0.9 -0.6 -2.0 -2 REDWHEAT -1.9 -2.0 -1.7 -1.0 -1 RICE -0.7 -1.0 -0.3 NaN 0 ROBUSTA 0.7 0.6 0.8 1.0 1 RUSSELL -1.6 -2.6 -0.5 -10.0 -10 SHATZ -1.4 -1.9 -0.8 NaN 0 SILVER-mini -0.0 -0.1 0.1 0.0 0 SMI 0.8 0.7 0.9 0.0 0 SOFR 19.1 17.2 21.1 NaN 0 SOYBEAN -0.8 -0.8 -0.7 -4.0 -4 SOYMEAL -1.0 -1.0 -0.9 0.0 0 SOYOIL -0.6 -0.7 -0.5 0.0 0 SP400 -0.1 -0.2 -0.1 0.0 0 SP500_micro -2.0 -2.4 -1.5 -2.0 -2 SUGAR11 -0.8 -1.1 -0.5 0.0 0 US10 0.8 0.7 1.0 0.0 0 US10U 0.8 0.7 0.9 1.0 1 US2 0.6 0.3 0.8 NaN 0 US20 0.5 0.5 0.6 0.0 0 US30 0.3 0.2 0.3 3.0 3 US5 1.2 1.0 1.4 4.0 4 VIX -4.1 -5.3 -2.9 -3.0 -3 WHEAT -1.8 -1.9 -1.6 -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 0.4 -0.0 0.1 0.0 -0.0 0.0 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 0.0 -0.1 0.0 0.0 0.3 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.0 -0.3 0.0 -0.4 -0.0 0.3 -0.2 0.4 -0.0 BITCOIN -0.1 -0.4 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -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 -0.1 0.2 -0.1 -0.1 -0.5 -0.6 0.0 0.3 -0.2 -0.1 -0.1 0.0 BOBL -0.1 0.6 0.5 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.0 0.1 -0.1 0.1 0.1 -0.2 -0.3 -0.4 -0.4 0.1 0.1 0.1 -0.0 0.1 0.6 0.0 0.0 0.1 0.0 0.0 0.0 -1.1 0.1 -0.1 -0.1 -0.2 -0.7 -0.7 -0.2 -0.3 BTP -0.1 0.3 0.2 0.1 0.0 0.1 0.0 0.1 0.0 0.2 0.4 0.2 0.6 0.2 0.2 0.1 0.1 0.0 0.1 0.1 0.1 0.1 0.3 0.1 -2.7 0.1 0.1 0.2 0.1 0.2 0.1 0.5 -0.1 -0.0 -0.4 -0.6 -0.7 -0.5 -0.0 0.2 BUND -0.2 0.5 0.4 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.1 0.1 -0.0 0.1 0.1 -0.2 0.0 -0.0 -0.0 0.1 0.1 0.1 0.0 0.1 0.2 0.0 0.0 0.1 0.0 0.0 0.0 0.2 -0.0 -0.2 -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 -0.0 0.0 -0.4 0.0 0.0 0.1 0.0 0.0 0.0 0.0 -0.1 -0.3 -0.4 -0.5 -0.7 -0.7 -0.3 -0.2 CAC 0.5 -0.2 -0.6 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 -0.2 -0.0 0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -1.2 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 0.3 -0.1 -0.1 -0.1 -0.6 0.4 0.2 0.1 0.1 CAD 0.6 0.4 0.1 0.1 -0.0 0.1 0.0 0.0 0.1 -0.2 -0.1 0.1 -0.5 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.2 0.2 -0.2 0.1 -0.0 0.0 0.0 -0.1 0.1 -0.1 -0.1 0.3 0.0 -0.1 0.4 -0.2 0.1 -0.1 CANOLA 0.3 -0.3 -0.1 -0.0 -0.0 -0.0 -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 -0.1 -0.0 -1.8 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 0.3 0.2 0.2 -0.1 -0.0 -0.4 0.3 -0.2 CHF 0.4 0.6 0.6 0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.1 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 0.1 -0.0 0.1 0.0 0.0 0.0 -1.1 0.2 -0.1 0.6 0.6 -0.0 -0.4 -0.3 -0.4 COCOA 0.2 0.0 0.1 -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 0.0 -0.0 0.2 0.0 -2.7 0.0 0.0 0.1 0.0 0.4 0.0 1.1 0.0 0.3 0.3 0.3 0.7 0.3 0.7 0.4 COFFEE 0.1 -0.2 0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.4 0.0 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 -0.0 0.4 0.0 -2.7 0.1 -0.0 0.2 -0.0 0.3 0.0 0.4 0.1 0.6 0.6 0.6 -0.1 -0.3 0.2 -0.1 COPPER 0.2 -0.5 -0.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 -1.9 -0.0 0.0 -0.0 0.0 0.0 0.0 0.2 0.1 0.2 -0.3 -0.1 0.5 0.2 0.7 0.6 CORN 0.5 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 0.1 -0.5 -0.0 -0.1 -0.4 -0.3 -0.4 -0.4 -0.1 -0.2 0.1 -0.5 0.0 -1.2 -0.0 0.0 -0.2 0.0 -0.2 -0.0 -1.1 0.5 0.3 0.1 -0.4 -0.1 -0.2 -0.0 -0.0 COTTON2 0.5 0.2 -0.5 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.4 -0.0 -0.5 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 -0.1 -0.4 -0.0 -2.7 -0.0 -0.1 -0.2 -0.1 -0.1 -0.0 -0.6 -0.2 0.3 0.1 0.0 -0.3 -0.4 0.0 -0.1 CRUDE_W -0.4 -0.6 -0.3 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 0.3 -0.2 -0.1 0.2 0.3 0.3 0.3 -0.2 -0.1 -0.2 0.0 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.6 0.2 0.3 0.1 -0.1 0.2 0.5 0.2 0.7 DAX 0.6 -0.1 -0.6 0.0 -0.1 0.1 -0.0 0.2 -0.0 -0.1 0.2 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.0 -0.0 0.3 0.1 1.4 0.0 -0.1 0.1 -0.0 0.2 0.0 -0.4 0.2 0.3 0.1 -0.6 0.4 0.2 0.1 0.1 DOW 0.3 0.0 -0.1 0.0 -0.1 0.1 -0.0 0.2 -0.0 -0.1 0.2 0.0 0.4 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 -0.0 0.3 0.1 -1.4 0.0 -0.0 0.1 0.0 0.2 0.0 -0.4 0.4 0.4 0.6 0.1 0.3 0.0 -0.1 -0.1 DX -0.3 -0.6 -0.5 0.0 -0.0 0.0 0.0 0.0 0.0 0.1 -0.1 -0.1 0.2 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.2 -0.1 -0.0 -0.0 -0.1 -2.7 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.8 0.5 -0.6 -0.6 -0.6 -0.1 0.2 -0.1 0.3 EUR 0.2 0.4 0.3 0.0 -0.0 0.0 0.0 0.0 0.1 -0.1 0.2 -0.0 -0.1 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 0.0 -0.4 -0.3 -0.1 0.4 0.3 0.0 -0.6 -0.1 -0.7 EURIBOR-ICE 0.1 0.6 0.6 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 0.1 0.1 0.1 0.1 1.7 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 0.2 0.1 0.1 -0.0 -0.7 -0.7 -0.0 0.1 EUROSTX 0.4 -0.3 -0.6 0.0 -0.1 0.1 -0.0 0.2 -0.0 -0.1 0.1 -0.0 0.4 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 -0.1 0.0 -0.1 0.2 -0.0 0.2 -0.1 -0.1 -0.2 -0.6 0.2 0.0 -0.5 -0.1 FEEDCOW -0.2 -0.6 -0.6 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.3 -0.1 -0.3 -0.2 -0.2 0.3 -0.3 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 -0.1 -1.1 -0.1 -0.4 -0.6 -0.6 0.1 0.7 0.4 0.7 GASOIL -0.5 -0.6 -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 0.1 0.2 0.0 0.1 -0.2 -0.1 -0.2 -0.1 -0.2 0.5 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.3 -0.0 -0.2 -0.4 -0.3 -0.7 GASOLINE -0.5 -0.5 -0.3 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 0.2 -0.2 -0.2 0.4 0.4 0.4 0.4 -0.2 -0.1 -0.2 0.0 -0.2 -2.7 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 1.1 0.4 0.2 0.2 0.0 0.5 0.7 0.7 0.7 GAS_US_mini 0.0 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.4 -0.1 -0.6 -0.1 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.0 -0.5 -0.1 2.7 -0.1 -0.0 -0.1 -0.0 -0.3 -0.1 -1.1 0.5 0.5 0.4 0.3 -0.2 -0.5 -0.2 -0.6 GBP 0.5 0.2 0.3 0.0 -0.0 0.1 0.0 0.0 0.1 -0.2 0.5 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 0.2 0.0 0.2 0.1 0.2 -0.1 0.6 0.4 0.6 0.3 -0.7 0.3 -0.6 GOLD_micro 0.2 0.2 0.3 -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 0.2 0.2 0.0 0.5 0.1 -1.0 0.1 0.0 0.1 0.0 0.3 0.0 -0.7 0.1 0.3 0.6 0.6 0.4 -0.1 0.5 0.1 HEATOIL -0.4 -0.5 -0.3 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.4 -0.2 -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 -0.1 -0.1 -0.1 -0.4 0.2 0.2 -0.1 -0.2 -0.2 0.2 -0.6 0.1 JGB-SGX-mini -0.0 0.6 0.3 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 -0.1 -0.2 0.0 -0.2 -0.3 -0.2 -0.2 0.2 JPY 0.2 0.6 0.6 0.0 -0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 -0.2 0.1 0.1 -0.2 -0.3 -0.3 -0.3 0.1 0.0 0.1 -0.1 0.1 2.7 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 0.2 -0.1 0.6 0.2 -0.7 -0.6 -0.7 -0.6 LEANHOG 0.6 0.5 -0.4 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 0.1 -0.3 0.1 -0.0 0.4 0.4 0.4 0.4 0.0 -0.1 0.1 -0.3 0.1 0.6 0.0 -0.0 -0.1 0.0 -0.1 0.0 1.1 0.2 0.6 0.6 -0.1 0.0 -0.2 0.1 0.1 LIVECOW -0.3 -0.6 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.1 0.2 -0.1 -0.1 0.3 0.2 0.3 0.3 -0.1 0.0 -0.1 0.1 -0.1 -1.7 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 1.1 0.2 -0.3 -0.3 0.6 -0.0 0.7 0.2 0.7 LUMBER-new -0.2 0.5 -0.1 -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 0.3 0.1 0.6 0.2 0.1 -0.1 0.3 0.0 MILK 0.4 0.2 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.3 0.1 0.2 0.1 0.1 0.4 -0.3 0.1 -0.1 0.2 0.2 0.1 0.2 0.2 2.0 0.1 0.0 0.1 0.0 0.1 0.1 -1.1 0.5 0.6 0.6 0.6 -0.1 -0.7 0.1 -0.7 MXP -0.3 -0.6 -0.6 0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 -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 -0.1 -0.6 -0.6 -0.6 0.5 0.4 0.7 0.6 NASDAQ_micro -0.0 -0.6 -0.6 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.1 -0.1 0.3 -0.0 -0.0 -0.1 -0.2 -0.2 -0.2 -0.0 0.0 -0.1 0.2 -0.1 -2.2 -0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.3 0.0 -0.0 -0.4 0.1 0.0 0.1 -0.3 0.0 NIKKEI 0.2 -0.6 -0.6 0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.0 -0.0 0.1 0.0 0.0 0.1 0.2 0.1 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 -0.2 -0.6 -0.4 0.3 0.0 0.2 -0.0 NZD 0.6 0.3 0.1 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 0.1 0.1 -0.0 0.1 0.1 0.0 0.0 -0.0 -0.0 0.1 0.0 0.0 0.0 0.1 0.0 0.0 -0.0 0.0 0.0 0.0 0.0 0.2 -0.0 0.2 -0.0 0.1 0.2 -0.2 0.1 -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 0.1 0.1 0.0 0.0 0.1 0.0 0.1 -0.1 0.1 0.4 0.0 0.1 0.1 0.1 0.0 0.0 0.5 0.0 -0.0 -0.3 -0.6 -0.5 -0.6 0.0 0.0 OATIES 0.6 0.3 -0.5 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 0.1 -0.3 0.1 -0.5 0.1 -0.1 0.1 0.1 0.1 0.1 0.0 -0.1 0.2 -0.3 0.2 -2.7 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 0.5 0.6 0.6 -0.1 0.4 -0.0 0.7 0.3 OJ 0.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 0.1 0.4 0.1 0.5 0.1 0.1 0.3 0.2 0.2 0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 0.8 0.5 0.6 0.6 0.6 0.4 0.4 0.7 0.7 PALLAD 0.2 0.1 0.3 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -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 -0.2 0.0 0.3 0.1 0.1 0.0 0.2 -0.7 -0.7 -0.7 -0.7 PLAT -0.0 -0.3 -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 0.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 0.1 -0.1 -0.2 0.0 -0.2 -0.3 -0.2 0.0 REDWHEAT 0.5 -0.2 -0.6 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.5 0.1 -0.7 0.0 -0.2 -0.2 -0.1 -0.2 -0.2 -0.1 -0.2 0.1 -0.5 0.0 -0.8 -0.1 0.0 -0.2 0.0 -0.2 -0.0 -0.8 0.5 0.3 0.1 -0.4 -0.7 -0.7 -0.7 -0.7 RICE 0.0 -0.1 -0.4 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.2 0.0 0.4 0.0 -0.0 -0.2 0.4 0.3 0.4 -0.0 0.0 -0.0 0.2 -0.0 -1.4 -0.0 -0.1 0.0 -0.0 0.1 -0.0 1.1 0.1 0.1 0.4 0.6 -0.7 -0.6 -0.7 -0.6 ROBUSTA 0.5 -0.1 0.1 -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 0.0 0.0 0.2 0.0 0.3 0.0 1.1 0.2 0.6 0.6 0.6 0.2 -0.2 0.4 0.1 RUSSELL 0.0 -0.2 -0.0 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 -0.1 -0.1 -0.1 0.0 0.0 -0.1 0.1 -0.0 -0.1 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.1 0.0 0.5 0.2 0.1 -0.5 -0.2 -0.7 SHATZ -0.0 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.0 0.1 -0.1 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.1 -0.1 0.1 1.0 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 0.2 0.0 0.1 0.0 -0.7 -0.6 -0.5 -0.4 SILVER-mini 0.2 -0.4 -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 0.1 -0.0 0.3 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.1 -0.1 0.1 -0.1 0.2 0.2 -0.1 0.2 0.3 SMI 0.2 -0.4 -0.0 0.0 -0.1 0.1 -0.0 0.2 -0.0 -0.1 0.3 -0.1 0.5 0.1 0.1 -0.1 -0.0 -0.1 -0.0 0.0 0.1 -0.1 0.3 -0.0 1.3 0.0 -0.1 0.2 -0.1 0.2 0.0 0.5 -0.3 -0.2 0.6 0.5 0.0 0.0 -0.4 -0.1 SOFR 0.2 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.3 0.2 0.2 0.2 0.2 0.0 -0.0 0.0 -0.0 0.2 0.2 0.1 0.2 0.2 -0.7 0.1 0.0 0.1 0.0 0.1 0.0 0.2 0.0 0.1 0.1 0.3 0.3 -0.4 0.7 0.2 SOYBEAN 0.6 -0.3 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.1 -0.3 -0.0 -0.1 -0.3 0.0 -0.2 -0.1 -0.1 -0.1 0.1 -0.3 -0.0 -2.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.3 0.4 0.1 -0.2 -0.4 -0.0 -0.7 0.1 -0.5 SOYMEAL 0.5 0.0 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.1 -0.3 0.0 -0.1 -0.1 0.1 -0.0 0.0 -0.0 -0.1 0.1 -0.3 0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.4 0.3 0.2 -0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.5 -0.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 0.0 -0.3 -0.0 -0.1 0.1 0.0 0.1 0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -2.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.3 0.2 -0.2 0.0 -0.1 -0.3 0.2 -0.1 SP400 0.1 -0.1 -0.3 0.0 -0.1 0.1 -0.0 0.2 -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 0.2 -0.0 -1.2 0.0 -0.0 0.1 -0.0 0.2 0.0 0.0 0.1 0.0 0.5 0.0 0.2 -0.2 -0.2 -0.7 SP500_micro 0.2 -0.5 -0.5 0.0 -0.1 0.1 -0.0 0.2 -0.0 -0.1 0.2 -0.0 0.4 0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.1 0.3 -0.0 -2.1 0.0 -0.0 0.1 -0.0 0.3 0.0 -0.5 0.2 0.2 -0.1 0.3 0.2 0.1 -0.2 -0.0 SUGAR11 0.6 0.1 0.1 -0.0 -0.0 -0.1 -0.1 -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 0.0 -0.2 0.1 -2.7 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.1 0.3 0.6 0.1 0.4 -0.3 0.5 -0.2 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 0.1 0.0 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.1 0.1 0.3 0.0 0.0 0.1 0.0 0.1 0.0 -0.4 -0.1 -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 0.3 0.1 0.0 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.1 0.2 -0.1 0.1 0.0 0.1 0.0 0.1 0.0 -0.1 -0.1 -0.0 -0.1 0.1 0.1 -0.6 0.7 0.5 US2 0.2 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.1 0.1 -0.1 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.1 -0.0 0.1 1.5 0.0 0.0 0.1 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 0.2 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.2 0.1 0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 0.1 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 0.5 0.5 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.2 0.1 0.0 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.0 0.1 -0.2 0.0 0.0 0.1 0.0 0.1 0.0 -0.2 -0.1 -0.1 -0.2 -0.0 0.1 -0.3 0.7 0.7 US5 0.2 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.2 0.1 -0.0 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.1 0.1 0.1 0.1 0.8 0.0 0.0 0.1 0.0 0.0 0.0 -0.8 0.0 0.0 0.1 0.2 0.2 -0.7 0.6 -0.0 VIX 0.0 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 0.2 -0.6 -0.6 -0.6 0.0 -0.0 0.1 -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 0.4 -0.2 -0.6 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 0.1 -0.3 0.1 -0.5 0.0 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.2 0.1 -0.4 0.0 0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.1 0.5 0.1 -0.0 -0.4 -0.7 -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 13.1 -0.5 4.3 3.6 -2.8 1.5 1.1 0.8 4.1 -15.5 6.5 0.9 -0.6 8.6 8.5 -1.2 -2.5 -1.8 -2.1 5.5 3.8 -6.5 1.0 3.7 2.3 2.6 -7.7 1.6 -2.7 0.7 2.0 -0.0 -12.8 0.5 -13.0 -0.5 10.3 -5.1 13.4 -0.6 BITCOIN -3.3 -11.5 -20.0 -3.0 0.7 -3.8 -0.2 -2.3 -0.7 -6.5 -0.2 -9.2 6.5 -9.0 -9.2 -5.0 -6.8 -5.7 -6.4 -8.4 -2.8 -13.4 5.9 -10.8 -20.0 -4.1 -4.6 -0.6 -5.7 4.9 -5.0 -2.1 -20.0 -18.3 0.6 7.9 -6.2 -4.4 -3.6 0.6 BOBL -3.6 19.3 16.1 3.3 3.1 2.6 2.4 0.9 2.6 10.6 0.2 6.9 -3.6 8.8 9.2 -8.6 -15.6 -20.0 -18.6 8.9 5.4 9.5 -1.0 7.9 4.6 3.3 5.2 2.3 3.5 0.5 2.9 -20.0 4.7 -3.8 -1.6 -5.5 -20.0 -20.0 -6.7 -7.6 BTP -1.8 10.1 5.6 5.6 5.4 4.4 4.2 1.6 4.5 17.9 14.5 14.6 15.7 17.3 18.2 3.7 3.8 2.4 2.6 12.5 11.9 11.8 11.1 10.6 -20.0 6.1 8.5 5.9 6.2 5.6 5.3 10.2 -4.2 -0.4 -13.8 -17.9 -20.0 -15.2 -1.4 5.7 BUND -4.8 15.4 13.0 3.6 3.4 2.9 2.7 1.0 2.9 11.3 2.0 6.4 -0.3 8.6 9.8 -8.2 0.2 -1.3 -0.6 8.0 5.8 7.3 0.4 6.2 1.2 3.4 5.0 2.9 3.1 1.3 2.6 4.1 -1.0 -5.9 -5.5 -8.4 -20.0 -20.0 -5.5 -6.4 BUXL -5.2 12.9 9.4 4.2 4.0 3.3 3.1 1.2 3.3 12.8 0.9 5.6 -0.0 7.1 8.7 -0.4 -2.2 -1.2 -2.1 6.0 3.9 6.1 -1.4 4.6 -3.0 3.2 5.6 2.9 3.0 1.3 2.2 0.8 -4.8 -9.2 -10.9 -14.7 -20.0 -20.0 -7.9 -6.8 CAC 15.1 -5.3 -20.0 1.8 -9.1 4.4 -5.0 6.8 -0.5 -12.3 -8.6 -1.0 2.3 3.1 -9.2 -4.8 -2.2 -4.9 -3.3 -9.1 -10.8 -13.0 -1.4 -4.4 -9.1 -3.6 -8.8 -3.5 -5.6 0.7 -2.2 6.1 -5.4 -4.6 -4.6 -20.0 12.5 5.6 2.4 3.1 CAD 18.9 11.6 4.1 5.0 -3.9 2.1 1.5 1.0 5.7 -17.7 -4.3 8.3 -14.6 15.9 13.4 -4.4 -3.6 -4.6 -4.1 12.4 2.0 3.4 -5.7 15.5 -1.5 5.3 -4.4 1.2 1.7 -1.6 6.7 -2.6 -2.2 9.2 0.5 -2.1 10.9 -6.2 4.1 -2.7 CANOLA 9.3 -10.2 -2.5 -2.1 -2.1 -1.8 -2.4 -1.3 -2.0 -3.5 -5.0 -2.1 -6.4 -4.6 -5.1 -11.6 -10.5 -12.2 -12.6 -4.8 -5.1 -2.5 -5.5 -3.2 -13.8 -1.1 0.5 -2.3 1.2 -3.2 0.6 -20.0 11.8 7.4 6.1 -2.1 -1.2 -11.1 8.0 -5.4 CHF 11.7 20.0 20.0 2.9 -2.2 1.2 0.9 0.6 3.3 -2.5 3.7 8.9 -3.1 11.6 12.0 -13.8 -16.3 -15.3 -15.9 17.3 10.2 7.3 1.8 15.0 3.8 4.7 -0.0 3.0 1.7 0.9 3.8 -20.0 6.6 -1.8 20.0 20.0 -0.9 -10.8 -8.9 -12.0 COCOA 7.5 0.8 2.1 -1.9 -2.0 -1.7 -2.2 -1.2 -1.9 -1.5 2.1 -2.1 3.2 0.7 -0.9 20.0 20.0 20.0 20.0 1.5 4.4 -2.5 9.1 0.1 -20.0 1.8 0.9 4.7 0.7 9.9 1.3 20.0 1.1 9.4 8.3 8.8 20.0 8.8 20.0 13.2 COFFEE 2.7 -4.9 4.9 -5.0 -5.2 -4.4 -5.7 -3.1 -4.8 -6.9 14.7 0.2 15.0 5.1 12.3 4.3 6.1 4.3 5.3 10.4 15.1 -2.8 16.1 4.2 -20.0 4.7 -1.6 7.5 -1.3 9.6 2.2 6.9 4.6 18.3 18.8 20.0 -3.0 -9.6 4.8 -3.2 COPPER 7.4 -16.3 -12.7 -2.3 0.6 -2.9 -0.2 -1.8 -0.6 -6.3 -4.1 -5.2 -0.8 -6.1 -9.1 -4.9 -3.0 -3.1 -2.6 -7.8 -4.2 -5.7 2.1 -6.1 -14.2 -2.0 1.0 -1.2 1.0 1.1 0.0 4.6 5.3 5.6 -10.2 -3.0 16.2 6.1 20.0 18.4 CORN 14.5 -4.2 -17.8 -3.9 -4.0 -3.4 -4.4 -2.4 -3.8 6.6 -12.2 8.4 -13.8 -0.2 -11.2 -20.0 -16.3 -20.0 -20.0 -11.0 -17.8 8.2 -19.3 1.0 -9.0 -4.0 0.3 -5.6 1.0 -5.7 -0.9 -20.0 20.0 7.9 1.8 -12.9 -2.6 -6.5 -0.1 -0.6 COTTON2 16.6 6.7 -14.9 -4.3 -4.4 -3.8 -4.9 -2.6 -4.2 -12.4 -15.1 -2.8 -13.8 -4.7 -11.4 -11.2 -3.1 -9.7 -6.4 -8.5 -15.8 -6.2 -16.2 -3.1 -20.0 -3.9 -7.5 -5.6 -4.8 -3.9 -2.5 -11.1 -7.8 8.4 3.3 0.9 -10.3 -11.1 0.0 -4.1 CRUDE_W -13.8 -17.1 -9.2 -5.2 -6.3 -3.3 -7.0 -0.9 -6.2 -15.0 -6.9 -16.1 7.2 -15.7 -13.2 11.2 12.6 12.6 12.8 -15.3 -7.3 -20.0 0.3 -20.0 -1.7 -5.7 -5.0 -4.3 -6.1 -1.0 -5.9 10.8 9.3 10.3 1.7 -3.3 5.6 15.6 6.4 20.0 DAX 18.1 -3.9 -18.8 1.5 -8.0 3.9 -4.4 6.0 -0.4 -9.9 7.1 5.5 13.1 10.5 5.8 -8.1 -10.4 -8.6 -9.5 4.3 4.3 -3.9 9.8 5.8 10.4 1.1 -7.1 2.2 -2.6 5.7 1.3 -6.8 7.3 9.4 4.1 -17.4 12.0 4.7 1.7 2.3 DOW 9.4 0.0 -2.0 1.2 -6.4 3.1 -3.5 4.7 -0.3 -6.0 7.8 2.8 11.9 7.5 7.9 -9.4 -10.9 -9.9 -10.5 7.8 8.3 -3.1 9.9 4.7 -10.2 4.1 -0.2 4.2 1.8 5.2 3.8 -8.0 17.2 12.6 20.0 3.1 9.6 0.8 -2.5 -4.4 DX -8.9 -20.0 -13.9 3.1 -2.4 1.3 1.0 0.7 3.6 5.6 -5.5 -4.9 5.3 -10.4 -12.6 5.9 6.9 6.6 6.8 -16.3 -9.9 -4.7 -1.7 -13.4 -20.0 -5.0 0.4 -3.1 -1.5 -0.6 -4.1 15.8 19.5 -20.0 -20.0 -20.0 -3.1 5.7 -4.4 8.4 EUR 6.2 13.1 8.6 4.2 -3.3 1.8 1.3 0.9 4.8 -15.6 7.9 -0.7 -4.1 10.1 14.4 -6.3 -7.2 -7.0 -7.1 14.4 9.6 -1.2 2.6 9.7 20.0 6.1 -3.3 4.4 -0.2 2.0 4.1 -8.2 -13.2 -2.5 13.7 10.6 1.5 -18.3 -3.4 -20.0 EURIBOR-ICE 2.6 20.0 17.6 2.8 2.7 2.2 2.1 0.8 2.2 9.2 3.8 8.3 3.2 9.7 9.7 1.9 -3.3 -0.5 -2.0 13.0 9.5 12.9 4.5 12.2 13.0 3.3 4.6 2.4 3.6 1.3 3.2 -0.1 9.9 4.4 4.4 -0.8 -20.0 -20.0 -1.1 2.0 EUROSTX 12.5 -8.6 -20.0 1.5 -7.6 3.7 -4.2 5.7 -0.4 -11.1 3.7 -2.0 11.0 2.2 -0.9 -4.3 -3.0 -4.6 -4.2 -3.0 -0.8 -12.2 7.3 -2.9 -2.3 -1.7 -9.9 0.3 -6.0 4.8 -2.0 4.4 -4.7 -3.3 -7.0 -20.0 5.3 1.0 -14.1 -3.3 FEEDCOW -5.0 -20.0 -17.1 -4.7 -4.8 -4.1 -5.4 -2.9 -4.5 -6.3 -11.7 -10.2 -9.6 -14.3 -14.4 14.0 -17.4 5.6 -5.3 -20.0 -20.0 -15.8 -11.1 -20.0 -6.5 -5.5 -2.2 -4.1 -3.7 -2.0 -5.1 -20.0 -3.7 -12.3 -20.0 -17.0 4.1 20.0 12.1 20.0 GASOIL -14.6 -17.9 -12.4 -5.3 -6.5 -3.3 -7.2 -0.9 -6.4 -16.7 -12.7 -18.0 5.4 -18.3 -16.9 2.6 9.1 1.7 3.8 -20.0 -12.9 -20.0 -2.5 -20.0 3.9 -6.3 -8.1 -4.1 -8.4 -1.2 -7.5 0.1 -5.8 -4.8 -8.6 -1.3 -4.7 -11.8 -9.3 -20.0 GASOLINE -16.4 -15.9 -10.6 -5.2 -6.3 -3.3 -7.0 -0.9 -6.2 -14.6 -6.4 -16.6 5.5 -16.3 -14.4 20.0 20.0 20.0 20.0 -16.7 -8.2 -20.0 1.0 -20.0 -20.0 -6.0 -4.6 -4.0 -6.2 -0.1 -6.5 20.0 15.3 5.9 5.8 0.1 14.2 19.5 20.0 20.0 GAS_US_mini 0.7 -5.7 -7.1 -5.3 -6.5 -3.3 -7.2 -0.9 -6.4 -4.0 -16.5 -11.8 -17.6 -12.0 -16.6 -20.0 -20.0 -20.0 -20.0 -13.2 -16.0 -4.3 -20.0 -8.9 20.0 -5.2 -2.7 -5.4 -3.8 -7.1 -5.0 -20.0 20.0 14.9 13.7 10.0 -6.6 -15.3 -7.4 -19.3 GBP 16.4 5.8 8.1 4.6 -3.6 1.9 1.4 1.0 5.3 -18.6 17.3 10.3 12.5 14.4 16.7 -0.1 -0.7 -0.4 -0.6 20.0 16.3 5.7 11.4 18.4 -1.5 7.1 -3.2 6.0 2.1 4.5 6.3 2.9 -2.9 19.9 11.2 20.0 8.3 -20.0 9.7 -16.9 GOLD_micro 6.6 7.1 8.5 -3.0 0.7 -3.8 -0.2 -2.3 -0.7 -7.5 14.7 5.9 14.3 11.6 12.8 -12.2 -13.2 -12.0 -12.3 13.9 16.9 2.0 18.5 9.2 -7.4 4.7 0.1 5.5 2.0 7.2 4.3 -12.6 5.9 8.8 20.0 20.0 12.0 -2.9 14.9 2.8 HEATOIL -13.2 -15.5 -10.2 -5.1 -6.3 -3.2 -6.9 -0.9 -6.2 -14.7 -13.6 -16.4 -0.1 -16.9 -15.7 -5.8 5.8 -5.3 -1.8 -19.1 -12.9 -20.0 -5.1 -20.0 -20.0 -6.3 -4.1 -5.3 -5.5 -2.3 -6.2 -7.5 10.4 5.9 -2.2 -5.7 -6.8 4.9 -16.5 2.6 JGB-SGX-mini -0.9 20.0 9.2 2.1 2.0 1.6 1.5 0.6 1.7 4.7 1.2 -0.6 0.7 3.1 3.3 12.2 16.9 14.4 15.5 4.6 2.6 2.0 0.6 3.5 -7.5 1.7 0.6 0.8 0.7 -0.2 1.4 20.0 -2.5 -5.0 0.2 -5.7 -7.5 -5.1 -7.1 6.7 JPY 6.5 20.0 20.0 1.7 -1.3 0.7 0.5 0.4 1.9 6.3 1.9 6.9 -4.7 7.9 7.2 -10.9 -15.2 -12.7 -13.9 9.9 4.1 7.8 -3.7 9.6 20.0 2.4 1.6 1.0 1.7 -0.9 2.2 -20.0 9.8 -3.2 20.0 7.1 -20.0 -19.1 -20.0 -19.3 LEANHOG 20.0 16.0 -12.9 -4.5 -4.6 -3.9 -5.1 -2.7 -4.3 -11.4 -6.8 9.2 -7.1 11.9 -0.5 20.0 17.9 20.0 20.0 2.8 -7.7 5.9 -11.4 11.0 4.2 0.4 -2.9 -2.8 0.5 -3.6 2.9 20.0 9.9 20.0 20.0 -4.1 0.2 -5.3 4.4 3.5 LIVECOW -9.6 -20.0 2.9 -5.4 -5.6 -4.7 -6.2 -3.3 -5.2 -3.3 4.5 -4.9 6.1 -11.6 -6.1 13.9 11.6 15.5 15.2 -7.2 0.4 -6.5 4.7 -9.7 -12.6 -3.8 -2.9 -0.0 -4.8 2.8 -5.7 20.0 10.1 -8.1 -9.9 20.0 -1.4 20.0 5.4 20.0 LUMBER-new -4.9 13.6 -3.9 -3.2 -3.3 -2.8 -3.6 -1.8 -3.1 -6.0 -7.2 -6.8 -8.2 2.2 -1.8 -19.0 -17.7 -18.1 -17.8 -2.3 -5.9 -3.1 -7.6 -1.8 NaN -0.6 -1.9 -3.4 -0.7 -4.7 -0.1 -20.0 10.7 1.6 15.8 4.3 3.2 -2.1 7.8 0.5 MILK 12.9 6.4 20.0 -3.9 -4.1 -3.4 -4.5 -2.4 -3.8 8.6 12.9 11.5 6.0 12.7 13.1 20.0 -17.1 4.9 -7.3 17.6 14.5 15.0 6.4 18.2 15.1 5.0 3.3 4.1 4.0 1.6 5.1 -20.0 20.0 20.0 20.0 20.0 -2.0 -20.0 3.9 -20.0 MXP -10.7 -17.4 -20.0 1.9 -1.5 0.8 0.6 0.4 2.1 -4.6 -7.6 -8.7 -3.2 -9.0 -8.9 9.7 14.1 10.6 12.0 -12.6 -10.2 -8.4 -3.8 -11.7 -20.0 -3.4 -0.8 -2.8 -2.0 -1.0 -2.9 20.0 -6.2 -20.0 -20.0 -20.0 15.1 12.3 20.0 18.9 NASDAQ_micro -0.2 -20.0 -18.1 0.9 -4.5 2.2 -2.5 3.3 -0.2 -6.9 2.0 -5.4 7.0 -2.5 -1.4 -6.8 -10.0 -8.3 -9.4 -2.5 2.3 -11.5 7.1 -6.6 -16.6 -0.1 -2.5 2.0 -1.7 4.6 -0.9 -6.3 2.0 -0.6 -12.0 3.6 1.3 4.3 -8.3 1.3 NIKKEI 5.2 -20.0 -20.0 0.6 -3.1 1.5 -1.7 2.3 -0.2 -6.2 1.4 -2.5 3.5 0.9 0.6 4.0 9.4 7.4 8.4 -1.9 -0.5 -5.1 2.4 -2.3 -6.4 -1.8 -1.7 -0.7 -1.4 0.9 -1.6 20.0 -0.7 -7.2 -20.0 -10.9 9.5 0.3 7.4 -1.3 NZD 20.0 8.9 2.8 2.9 -2.2 1.2 0.9 0.6 3.3 -11.8 4.0 6.9 -0.3 10.5 8.6 0.1 0.1 -0.1 -0.0 8.1 3.5 1.1 0.4 9.5 0.0 2.9 -3.7 1.2 0.4 0.3 3.5 4.0 -0.9 5.4 -0.7 2.1 6.0 -5.0 3.7 -0.1 OAT 0.1 16.0 3.8 4.0 3.8 3.1 2.9 1.1 3.2 11.5 -1.9 8.5 -2.0 11.5 11.5 3.2 3.5 1.7 2.1 7.4 2.9 10.2 -2.1 8.2 3.1 3.6 7.1 2.0 5.1 0.4 3.9 9.5 0.4 -1.2 -8.1 -17.2 -14.3 -17.1 0.2 0.6 OATIES 20.0 9.5 -15.4 -4.1 -4.2 -3.6 -4.7 -2.5 -4.0 12.4 -10.5 13.4 -13.1 9.7 -7.6 3.8 2.6 5.3 4.5 3.6 -8.3 20.0 -12.0 20.0 -20.0 0.7 5.8 -2.2 8.0 -2.7 5.6 2.8 20.0 20.0 20.0 -3.5 12.3 -0.2 20.0 9.3 OJ 12.7 -1.1 0.0 -4.7 -4.8 -4.1 -5.4 -2.9 -4.5 13.0 14.0 13.4 14.9 11.7 12.5 12.8 11.9 10.7 10.2 17.3 17.6 20.0 20.0 20.0 -20.0 5.4 5.4 5.7 6.7 8.6 6.5 15.5 20.0 20.0 20.0 20.0 12.2 12.5 20.0 20.0 PALLAD 6.4 3.4 8.6 -1.8 0.4 -2.2 -0.1 -1.4 -0.4 -2.5 -4.6 -1.5 -7.9 1.8 -1.4 -1.6 -2.0 -1.8 -1.9 -0.8 -3.0 -1.3 -7.0 0.0 14.7 -0.4 0.6 -2.4 0.8 -4.3 1.2 6.0 4.5 2.0 1.5 6.7 -20.0 -20.0 -20.0 -20.0 PLAT -0.5 -10.0 -6.8 -2.2 0.6 -2.9 -0.1 -1.7 -0.6 0.5 -6.1 -3.7 -4.7 -7.6 -9.2 -4.5 -4.4 -4.8 -4.7 -5.6 -3.3 -3.0 -1.4 -5.6 5.0 -3.0 3.2 -2.6 0.7 -1.2 -1.3 1.4 3.6 -3.3 -6.5 1.5 -5.0 -7.7 -6.2 1.4 REDWHEAT 14.8 -5.6 -20.0 -5.8 -6.0 -5.1 -6.7 -3.6 -5.6 7.1 -17.5 11.1 -18.8 3.5 -17.3 -8.9 -5.9 -9.9 -8.5 -13.0 -19.5 13.4 -20.0 3.4 -5.8 -4.7 0.1 -6.0 2.9 -5.9 -0.1 -15.4 20.0 10.7 2.6 -13.3 -20.0 -20.0 -20.0 -20.0 RICE 0.7 -2.4 -11.7 -4.9 -5.1 -4.3 -5.6 -3.0 -4.8 -4.5 8.5 1.4 11.8 1.4 -3.3 -9.6 20.0 15.7 20.0 -2.5 0.8 -0.7 6.7 -1.5 -10.7 -1.0 -6.9 1.2 -3.6 3.0 -2.5 20.0 4.1 2.3 12.0 17.8 -20.0 -18.9 -20.0 -18.5 ROBUSTA 15.6 -2.3 4.0 -3.3 -3.4 -2.9 -3.8 -2.0 -3.2 4.3 11.4 9.0 11.4 9.9 11.1 20.0 20.0 20.0 20.0 17.8 18.8 10.4 20.0 16.2 -20.0 4.4 0.9 5.7 1.9 7.4 3.4 20.0 10.2 20.0 20.0 20.0 5.0 -4.9 12.9 2.2 RUSSELL 1.1 -4.7 -0.7 0.9 -4.8 2.3 -2.7 3.6 -0.3 -8.4 3.0 -4.5 7.1 -1.6 0.3 -5.1 -6.5 -5.8 -6.2 1.4 3.6 -9.1 4.2 -2.9 -0.7 2.3 -2.3 3.1 -0.7 3.1 1.0 -0.4 2.9 0.5 15.6 4.7 2.3 -15.6 -7.1 -20.0 SHATZ -0.2 20.0 20.0 2.6 2.5 2.1 1.9 0.7 2.1 8.5 0.2 6.6 -3.6 7.6 7.8 -20.0 -20.0 -20.0 -20.0 10.2 5.7 11.1 -2.7 9.7 7.3 2.9 4.4 1.8 3.2 -0.1 2.7 -20.0 9.9 0.3 3.7 0.6 -20.0 -18.4 -16.0 -10.8 SILVER-mini 6.0 -13.3 -2.8 -2.2 0.5 -2.7 -0.1 -1.7 -0.5 -7.3 3.2 -4.0 4.6 -3.4 -4.0 -6.3 -6.4 -6.1 -6.2 -2.1 1.7 -6.1 5.1 -3.8 2.2 -1.2 -1.3 -0.2 -0.6 1.8 -0.3 -1.4 -4.0 3.6 -4.4 6.5 5.1 -3.7 5.6 8.3 SMI 4.8 -12.7 -1.0 1.3 -6.5 3.2 -3.6 4.9 -0.3 -10.9 11.3 -5.2 12.7 5.9 8.2 -2.9 -0.0 -2.9 -1.9 3.8 8.7 -14.3 11.1 -2.6 10.0 3.8 -8.2 5.7 -5.0 6.1 0.4 9.0 -12.2 -5.3 18.2 14.0 0.8 1.0 -11.0 -2.9 SOFR 7.1 20.0 20.0 4.1 3.9 3.2 3.0 1.1 3.3 13.5 11.5 14.5 6.0 14.8 14.9 2.1 -0.7 0.5 -0.4 20.0 17.3 16.5 7.2 19.3 -5.4 5.3 2.7 4.6 3.1 2.6 4.3 3.7 0.9 3.9 3.1 9.2 9.2 -13.1 20.0 7.5 SOYBEAN 18.8 -10.0 -19.4 -2.7 -2.8 -2.4 -3.1 -1.7 -2.7 5.8 -8.5 6.7 -8.1 -2.4 -7.6 -13.0 1.4 -9.0 -4.8 -9.8 -13.1 5.9 -11.3 -0.8 -16.5 -2.9 0.7 -3.5 0.8 -2.8 -0.8 -6.1 16.1 3.9 -6.6 -12.8 -1.5 -20.0 4.1 -14.9 SOYMEAL 15.3 1.5 -12.5 -3.1 -3.2 -2.7 -3.5 -1.9 -3.0 6.7 -8.3 7.9 -9.3 3.1 -7.0 -5.3 4.1 -1.4 0.8 -4.0 -8.8 10.5 -9.4 4.6 -20.0 -2.0 1.4 -3.0 2.3 -2.6 0.5 0.9 18.7 8.2 6.1 -2.5 -20.0 -20.0 -20.0 -20.0 SOYOIL 14.2 -10.3 -0.3 -2.3 -2.4 -2.1 -2.7 -1.4 -2.3 -3.3 -6.6 0.8 -7.8 -4.2 -5.9 2.6 1.7 3.5 1.8 -5.3 -6.7 -0.5 -7.2 -2.2 -17.6 -1.7 0.5 -2.5 1.1 -2.5 0.0 -0.9 10.9 7.1 -5.1 0.0 -2.8 -9.2 5.8 -2.8 SP400 2.7 -3.8 -8.8 1.1 -5.6 2.7 -3.1 4.2 -0.3 -9.0 4.9 -5.6 9.3 -0.5 0.8 -6.3 -5.9 -6.0 -5.9 0.7 3.4 -11.5 6.0 -3.8 -9.3 2.6 -3.1 3.8 -1.3 4.8 1.2 0.4 2.5 1.1 14.7 0.1 5.5 -7.1 -4.9 -20.0 SP500_micro 5.1 -16.9 -14.4 1.1 -5.8 2.8 -3.2 4.3 -0.3 -8.0 8.4 -2.9 11.5 3.2 4.7 -9.0 -12.0 -10.7 -11.6 2.8 7.6 -10.2 12.2 -2.3 -15.9 2.1 -2.5 4.4 -0.7 7.1 1.0 -9.9 6.4 6.9 -2.2 7.8 6.3 2.8 -6.7 -0.7 SUGAR11 17.2 3.4 3.8 -4.2 -4.3 -3.7 -4.8 -2.6 -4.1 -11.6 -10.7 4.7 -11.3 3.4 -3.0 -4.1 5.7 -3.3 -0.0 -0.6 -7.5 2.1 -9.1 4.9 -20.0 -0.3 -3.5 -3.3 0.5 -4.1 1.9 1.9 11.2 17.8 3.4 13.0 -8.7 14.3 -5.4 17.5 US10 3.8 20.0 20.0 3.1 3.0 2.5 2.3 0.9 2.5 10.2 7.7 10.1 0.8 10.2 10.5 -7.0 -7.4 -7.2 -7.2 13.8 10.4 10.8 2.3 12.1 2.1 3.8 1.7 3.3 1.9 1.6 2.8 -7.9 -2.2 -0.6 1.2 4.6 3.9 -20.0 20.0 5.5 US10U 3.8 20.0 20.0 4.3 4.1 3.4 3.2 1.2 3.4 13.9 10.2 13.6 0.2 14.3 14.6 -3.8 -3.0 -4.0 -3.8 17.1 12.5 13.7 2.0 15.2 -0.6 5.1 2.3 4.5 2.4 2.1 3.7 -1.2 -5.8 -1.3 -1.8 3.3 4.4 -17.9 20.0 15.2 US2 5.2 20.0 20.0 2.4 2.3 1.9 1.8 0.7 1.9 6.9 3.5 7.4 -2.2 7.7 7.7 -20.0 -20.0 -20.0 -20.0 11.6 7.4 11.2 -0.4 11.4 11.6 2.8 1.7 2.0 2.1 0.6 2.6 -20.0 5.7 2.4 8.4 5.7 0.8 -20.0 5.2 -11.3 US20 4.6 18.9 19.2 3.1 3.0 2.5 2.3 0.9 2.5 10.2 7.6 10.0 2.3 10.1 10.3 -0.6 -0.8 -0.9 -0.8 11.9 9.0 9.5 2.2 10.6 -2.4 3.7 1.7 3.6 1.6 2.0 2.5 3.3 -5.5 -1.2 -3.1 2.4 5.0 -10.2 20.0 20.0 US30 4.9 16.8 16.9 3.7 3.5 2.9 2.7 1.0 3.0 12.1 7.9 11.8 0.5 11.8 11.7 -5.6 -5.0 -4.9 -4.9 11.9 8.3 10.8 0.7 11.3 -1.7 4.3 2.2 4.0 2.1 2.1 3.1 -3.9 -5.9 -1.7 -7.0 -0.7 2.0 -9.4 20.0 20.0 US5 4.7 20.0 20.0 3.1 2.9 2.4 2.3 0.9 2.4 9.9 7.1 9.9 -0.3 10.1 10.3 -10.8 -11.0 -11.6 -11.2 14.6 10.6 12.1 1.9 13.3 5.8 3.8 1.9 3.1 2.3 1.3 3.0 -14.3 1.7 0.9 4.3 6.0 4.7 -20.0 19.1 -1.1 VIX 0.0 19.5 20.0 1.3 0.2 0.4 0.2 -1.0 0.9 4.3 -4.2 3.0 -6.3 -3.1 -3.5 4.7 -20.0 -20.0 -20.0 1.5 -0.2 3.9 -3.1 2.4 NaN 1.5 0.1 0.4 0.2 -1.2 1.1 NaN NaN NaN NaN NaN -11.5 -20.0 NaN NaN WHEAT 13.1 -6.9 -20.0 -4.2 -4.4 -3.7 -4.9 -2.6 -4.1 6.9 -12.4 9.1 -13.0 2.5 -12.4 -16.1 -15.2 -16.7 -16.2 -10.3 -14.8 10.8 -15.3 2.2 3.0 -3.8 0.5 -4.3 1.5 -3.7 -0.8 -20.0 20.0 4.3 -0.6 -11.3 -20.0 -20.0 -17.8 -20.0 End of report for caleb_strategy_v3