******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240920_203911 produced at 2024-09-20 21:37:54.181912 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 DX False False 0.03 0.00 -0.13 0.0 999.00 -999.00 0.00 0.00 -3.82 999999999.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -26.33 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 -1.50 24.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.06 0.0 0.10 -0.10 -0.06 -0.06 -1.73 3.0 -2 -2 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.06 0.0 0.09 -0.09 -0.04 -0.04 -7.28 12.0 -5 -5 caleb_strategy_v3 MXP False False 0.01 -0.05 -0.05 0.0 0.53 -0.53 -0.05 -0.05 -6.20 60.0 -6 -6 caleb_strategy_v3 VIX False False 0.01 -0.03 -0.05 0.0 999.00 -999.00 -0.03 -0.03 -8.22 999999999.0 -5 -5 caleb_strategy_v3 CAC True False 0.03 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.93 12.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.03 0.0 0.07 -0.07 -0.03 -0.03 -12.09 26.0 -12 -12 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -1.45 4.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.04 -0.08 -0.03 0.0 0.33 -0.33 -0.08 -0.08 -0.85 8.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -1.69 9.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.02 0.0 0.08 -0.08 -0.01 -0.01 -1.95 8.0 -1 -1 caleb_strategy_v3 SOYBEAN False False 0.02 -0.07 -0.02 0.0 0.13 -0.13 -0.07 -0.07 -0.91 7.0 -4 -4 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -1.39 9.0 -2 -2 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.02 0.0 0.14 -0.14 -0.03 -0.03 -1.19 11.0 -2 -2 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.02 0.0 0.88 -0.88 0.00 0.00 -0.33 19.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 -0.02 0.0 0.75 -0.75 0.00 0.00 -0.77 29.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.02 0.0 0.16 -0.16 0.00 0.00 -7.69 51.0 0 0 caleb_strategy_v3 LUMBER-new False True 0.00 -0.01 -0.01 0.0 0.00 -0.01 -0.01 -0.01 -2.89 3.0 -2 -2 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -0.65 10.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.52 -0.52 0.00 0.00 -0.15 10.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 -0.02 -0.01 0.0 0.38 -0.38 -0.02 -0.02 -0.52 20.0 -1 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.01 0.0 0.32 -0.32 0.00 0.00 -0.87 23.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.05 -0.01 0.0 0.21 -0.21 -0.05 -0.05 -0.18 4.0 -1 -1 caleb_strategy_v3 JPY False False 0.03 0.00 0.00 0.0 0.52 -0.52 0.00 0.00 0.11 17.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.00 -0.00 0.0 0.33 -0.33 0.00 0.00 -0.20 36.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.70 2.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.00 0.0 0.17 -0.17 0.00 0.00 -0.22 10.0 0 0 caleb_strategy_v3 COPPER False False 0.04 0.00 -0.00 0.0 999.00 -999.00 0.00 0.00 -0.06 999999999.0 0 0 caleb_strategy_v3 CHF False False 0.05 0.26 -0.00 0.0 0.67 -0.67 0.26 0.26 -0.08 13.0 5 5 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.01 0.0 0.07 -0.07 0.00 0.00 0.24 2.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.01 0.0 0.04 -0.04 0.00 0.00 0.65 4.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.11 0.01 0.0 0.22 -0.22 0.11 0.11 0.06 2.0 1 1 caleb_strategy_v3 RUSSELL False False 0.00 -0.00 0.01 0.0 0.27 -0.27 -0.00 -0.00 2.67 68.0 -1 -1 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.01 0.0 0.48 -0.48 0.00 0.00 0.57 48.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 0.01 0.0 0.15 -0.15 0.01 0.01 0.90 18.0 1 1 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.43 999999999.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.01 0.0 0.56 -0.56 0.00 0.00 0.47 26.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.01 0.0 0.20 -0.20 0.00 0.00 0.18 6.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.23 0.01 0.0 0.28 -0.28 0.23 0.23 0.19 6.0 5 5 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.01 0.0 0.40 -0.40 0.02 0.02 0.76 23.0 1 1 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.55 999999999.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 0.02 0.0 0.49 -0.49 0.00 0.00 0.39 10.0 0 0 caleb_strategy_v3 OJ False True 0.03 0.03 0.02 0.0 0.03 0.00 0.03 0.03 0.78 3.0 1 1 caleb_strategy_v3 SMI False True 0.05 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.46 9.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.49 9.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.03 0.0 0.12 -0.12 0.02 0.02 1.30 5.0 1 1 caleb_strategy_v3 MILK False False 0.02 0.00 0.03 0.0 0.08 -0.08 0.00 0.00 1.74 5.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 0.03 0.0 0.46 -0.46 0.00 0.00 1.42 21.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.03 0.0 0.54 -0.54 0.00 0.00 0.77 13.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.01 0.03 0.0 0.49 -0.49 0.01 0.01 4.67 66.0 1 1 caleb_strategy_v3 BTP False False 0.05 0.00 0.03 0.0 0.47 -0.47 0.00 0.00 0.73 10.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 0.04 0.0 0.68 -0.68 0.00 0.00 0.89 17.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.09 0.04 0.0 0.45 -0.45 0.09 0.09 1.67 19.0 4 4 caleb_strategy_v3 DAX False False 0.01 0.02 0.04 0.0 0.43 -0.43 0.02 0.02 5.48 58.0 3 3 caleb_strategy_v3 LIVECOW False False 0.03 0.08 0.05 0.0 0.43 -0.43 0.08 0.08 1.86 17.0 3 3 caleb_strategy_v3 GOLD_micro False False 0.01 0.02 0.06 0.0 0.52 -0.52 0.02 0.02 6.67 56.0 2 2 caleb_strategy_v3 EUR False False 0.05 0.05 0.06 0.0 0.68 -0.68 0.05 0.05 1.20 14.0 1 1 caleb_strategy_v3 US5 False False 0.04 0.12 0.06 0.0 0.96 -0.96 0.12 0.12 1.46 25.0 3 3 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.07 0.0 0.13 -0.13 0.05 0.05 6.99 13.0 5 5 caleb_strategy_v3 US2 False True 0.07 0.00 0.07 0.0 0.00 0.00 0.00 0.00 0.93 13.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.03 0.08 0.0 0.64 -0.64 0.03 0.03 2.82 22.0 1 1 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.14 0.41 0.0 0.57 -0.57 0.14 0.14 11.59 16.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.00 0.88 0.0 0.95 -0.95 0.00 0.00 9.29 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.37 0.0 0.00 0.00 0.00 0.00 16.23 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.6 Shocked risk 16.6 Sum abs risk 32.2 Leverage 4.43 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2875701.65, 'annual_cash_vol_target': 718925.4125, 'daily_cash_vol_target': 44932.83828125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0040 0.6816 0.5904 9.4469 BITCOIN 1758.9071 63390.0000 2.7747 44.3958 BOBL 0.2334 119.5600 0.1952 3.1228 BTP 0.4722 120.7800 0.3910 6.2554 BUND 0.4521 134.2700 0.3367 5.3877 BUXL 1.1532 135.2000 0.8530 13.6473 CAC 66.0399 7508.0000 0.8796 14.0735 CAD 0.0025 0.7390 0.3352 5.3635 CANOLA 10.1756 598.5000 1.7002 27.2028 CHF 0.0053 1.1873 0.4501 7.2010 COCOA 159.4194 6244.0000 2.5532 40.8506 COFFEE 4.6699 250.0500 1.8676 29.8814 COPPER 0.0499 4.3340 1.1504 18.4071 CORN 4.6546 442.2500 1.0525 16.8399 COTTON2 1.1623 73.5600 1.5800 25.2807 CRUDE_W 1.1858 70.2300 1.6884 27.0143 DAX 153.3414 18894.0000 0.8116 12.9854 DOW 268.1826 42407.0000 0.6324 10.1184 DX 0.3580 100.4400 0.3564 5.7031 EUR 0.0044 1.1200 0.3955 6.3280 EURIBOR-ICE 0.0418 97.9800 0.0427 0.6824 EUROSTX 46.6477 4900.0000 0.9520 15.2319 FEEDCOW 1.9053 236.6250 0.8052 12.8835 GASOIL 11.6608 659.7500 1.7675 28.2794 GASOLINE 0.0350 1.9704 1.7741 28.3860 GAS_US_mini 0.0848 3.1950 2.6532 42.4517 GBP 0.0062 1.3315 0.4645 7.4317 GOLD_micro 18.7938 2646.8000 0.7101 11.3609 HEATOIL 0.0376 2.1881 1.7196 27.5132 JGB-SGX-mini 0.2676 144.7600 0.1848 2.9574 JPY 0.0001 0.0070 0.7206 11.5299 LEANHOG 1.0245 74.2500 1.3798 22.0768 LIVECOW 1.3089 183.2750 0.7142 11.4270 LUMBER-new 8.3352 510.0000 1.6344 26.1497 MILK 0.2984 23.0600 1.2938 20.7010 MXP 0.0005 0.0509 0.9695 15.5118 NASDAQ_micro 209.5758 19998.0000 1.0480 16.7677 NIKKEI 645.7983 37980.0000 1.7004 27.2058 NZD 0.0038 0.6243 0.6132 9.8114 OAT 0.4276 126.5500 0.3379 5.4061 OATIES 5.9407 360.7500 1.6468 26.3484 OJ 9.0630 492.0000 1.8421 29.4731 PALLAD 27.9757 1078.0000 2.5952 41.5224 PLAT 15.3511 982.1000 1.5631 25.0095 REDWHEAT 9.5165 579.7500 1.6415 26.2637 RICE 0.1416 15.6900 0.9022 14.4353 ROBUSTA 83.1289 5063.0000 1.6419 26.2702 RUSSELL 25.7879 2258.2000 1.1420 18.2715 SHATZ 0.0848 106.9250 0.0793 1.2684 SILVER-mini 0.4966 31.7250 1.5654 25.0467 SMI 86.9549 11974.0000 0.7262 11.6192 SOFR 0.0524 96.9700 0.0540 0.8643 SOYBEAN 11.4493 1061.5000 1.0786 17.2576 SOYMEAL 4.1324 321.1000 1.2869 20.5911 SOYOIL 0.7187 41.3500 1.7382 27.8111 SP400 27.6593 3133.0000 0.8828 14.1254 SP500_micro 42.4785 5757.7500 0.7378 11.8042 SUGAR11 0.3671 21.0700 1.7424 27.8779 US10 0.3465 114.8594 0.3017 4.8274 US10U 0.4800 119.0469 0.4032 6.4511 US2 0.1035 104.3516 0.0992 1.5866 US20 0.7258 125.2812 0.5793 9.2695 US30 1.1109 134.5312 0.8258 13.2123 US5 0.2274 110.3359 0.2061 3.2980 VIX 0.7669 17.6000 4.3576 69.7223 WHEAT 8.9119 630.5000 1.4135 22.6155 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 681.65 0.59 402.47 1.00 402.47 44932.84 111.64 5.78 64.48 BITCOIN 63.39 2.77 175.89 1.00 175.89 44932.84 255.46 -9.52 -243.13 BOBL 1195.60 0.20 233.35 1.11 259.80 44932.84 172.95 -1.90 -32.88 BTP 1207.80 0.39 472.21 1.11 525.73 44932.84 85.47 2.52 21.55 BUND 1342.70 0.34 452.12 1.11 503.37 44932.84 89.26 -1.71 -15.24 BUXL 1352.00 0.85 1153.20 1.11 1283.92 44932.84 35.00 -5.14 -17.98 CAC 750.80 0.88 660.40 1.11 735.26 44932.84 61.11 -4.47 -27.32 CAD 739.00 0.34 247.72 1.00 247.72 44932.84 181.38 -1.64 -29.69 CANOLA 119.70 1.70 203.51 0.74 149.75 44932.84 300.06 -10.54 -316.27 CHF 1484.12 0.45 667.95 1.00 667.95 44932.84 67.27 -0.46 -3.07 COCOA 624.40 2.55 1594.19 1.00 1594.19 44932.84 28.19 7.74 21.82 COFFEE 937.69 1.87 1751.21 1.00 1751.21 44932.84 25.66 6.04 15.50 COPPER 1083.50 1.15 1246.50 1.00 1246.50 44932.84 36.05 -0.15 -0.53 CORN 221.12 1.05 232.73 1.00 232.73 44932.84 193.07 -15.50 -299.26 COTTON2 367.80 1.58 581.14 1.00 581.14 44932.84 77.32 -7.19 -55.60 CRUDE_W 702.30 1.69 1185.76 1.00 1185.76 44932.84 37.89 3.17 12.02 DAX 188.94 0.81 153.34 1.11 170.72 44932.84 263.19 6.10 160.63 DOW 212.04 0.63 134.09 1.00 134.09 44932.84 335.09 6.00 200.94 DX 1004.40 0.36 358.01 1.00 358.01 44932.84 125.51 -11.73 -147.24 EUR 1399.94 0.40 553.67 1.00 553.67 44932.84 81.15 5.68 46.07 EURIBOR-ICE 2449.50 0.04 104.47 1.11 116.31 44932.84 386.31 7.05 272.51 EUROSTX 490.00 0.95 466.48 1.11 519.35 44932.84 86.52 -1.76 -15.26 FEEDCOW 1183.12 0.81 952.67 1.00 952.67 44932.84 47.17 -5.43 -25.60 GASOIL 659.75 1.77 1166.08 1.00 1166.08 44932.84 38.53 -8.68 -33.43 GASOLINE 827.57 1.77 1468.21 1.00 1468.21 44932.84 30.60 3.22 9.85 GAS_US_mini 79.88 2.65 211.93 1.00 211.93 44932.84 212.02 -5.26 -111.61 GBP 832.19 0.46 386.53 1.00 386.53 44932.84 116.25 9.35 108.68 GOLD_micro 264.68 0.71 187.94 1.00 187.94 44932.84 239.08 8.18 195.59 HEATOIL 919.00 1.72 1580.30 1.00 1580.30 44932.84 28.43 -14.07 -40.00 JGB-SGX-mini 144760.00 0.18 26757.29 0.01 187.69 44932.84 239.39 4.47 107.02 JPY 878.44 0.72 633.02 1.00 633.02 44932.84 70.98 0.60 4.24 LEANHOG 297.00 1.38 409.80 1.00 409.80 44932.84 109.65 10.49 115.07 LIVECOW 733.10 0.71 523.57 1.00 523.57 44932.84 85.82 6.54 56.14 LUMBER-new 140.25 1.63 229.22 1.00 229.22 44932.84 196.03 -6.88 -134.93 MILK 461.20 1.29 596.71 1.00 596.71 44932.84 75.30 10.77 81.10 MXP 254.65 0.97 246.88 1.00 246.88 44932.84 182.00 -2.32 -42.28 NASDAQ_micro 399.96 1.05 419.15 1.00 419.15 44932.84 107.20 -3.48 -37.29 NIKKEI 37980.00 1.70 64579.83 0.01 453.01 44932.84 99.19 -0.19 -1.87 NZD 624.30 0.61 382.83 1.00 382.83 44932.84 117.37 4.66 54.65 OAT 1265.50 0.34 427.59 1.11 476.06 44932.84 94.39 1.20 11.32 OATIES 180.38 1.65 297.04 1.00 297.04 44932.84 151.27 1.91 28.96 OJ 738.00 1.84 1359.45 1.00 1359.45 44932.84 33.05 11.04 36.50 PALLAD 1078.00 2.60 2797.57 1.00 2797.57 44932.84 16.06 4.33 6.96 PLAT 491.05 1.56 767.56 1.00 767.56 44932.84 58.54 -1.09 -6.38 REDWHEAT 289.88 1.64 475.82 1.00 475.82 44932.84 94.43 -15.55 -146.82 RICE 313.80 0.90 283.11 1.00 283.11 44932.84 158.71 1.67 26.52 ROBUSTA 506.30 1.64 831.29 1.00 831.29 44932.84 54.05 12.02 64.98 RUSSELL 112.91 1.14 128.94 1.00 128.94 44932.84 348.48 2.31 80.47 SHATZ 1069.25 0.08 84.77 1.11 94.38 44932.84 476.11 -3.11 -148.13 SILVER-mini 793.12 1.57 1241.57 1.00 1241.57 44932.84 36.19 4.43 16.02 SMI 1197.40 0.73 869.55 1.18 1026.89 44932.84 43.76 3.10 13.55 SOFR 2424.25 0.05 130.95 1.00 130.95 44932.84 343.14 7.78 267.05 SOYBEAN 530.75 1.08 572.47 1.00 572.47 44932.84 78.49 -12.40 -97.37 SOYMEAL 321.10 1.29 413.24 1.00 413.24 44932.84 108.73 -13.72 -149.13 SOYOIL 248.10 1.74 431.25 1.00 431.25 44932.84 104.19 -6.68 -69.57 SP400 3133.00 0.88 2765.93 1.00 2765.93 44932.84 16.25 1.16 1.88 SP500_micro 287.89 0.74 212.39 1.00 212.39 44932.84 211.56 1.16 24.56 SUGAR11 235.98 1.74 411.17 1.00 411.17 44932.84 109.28 3.85 42.10 US10 1148.59 0.30 346.54 1.00 346.54 44932.84 129.66 5.42 70.28 US10U 1190.47 0.40 479.99 1.00 479.99 44932.84 93.61 6.50 60.82 US2 2087.03 0.10 206.95 1.00 206.95 44932.84 217.12 3.37 73.25 US20 1252.81 0.58 725.81 1.00 725.81 44932.84 61.91 6.27 38.83 US30 1345.31 0.83 1110.92 1.00 1110.92 44932.84 40.45 3.66 14.80 US5 1103.36 0.21 227.43 1.00 227.43 44932.84 197.57 5.84 115.36 VIX 176.00 4.36 766.95 1.00 766.95 44932.84 58.59 -5.68 -33.29 WHEAT 315.25 1.41 445.60 1.00 445.60 44932.84 100.84 -12.64 -127.45 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 64.483 0.010 2.5 1.673 BITCOIN -243.127 0.043 2.5 -26.327 BOBL -32.879 0.004 2.5 -0.333 BTP 21.547 0.014 2.5 0.735 BUND -15.240 0.004 2.5 -0.155 BUXL -17.976 0.004 2.5 -0.182 CAC -27.317 0.014 2.5 -0.932 CAD -29.694 0.010 2.5 -0.770 CANOLA -316.270 0.010 2.5 -7.694 CHF -3.073 0.010 2.5 -0.080 COCOA 21.820 0.009 2.5 0.467 COFFEE 15.496 0.005 2.5 0.181 COPPER -0.530 0.043 2.5 -0.057 CORN -299.258 0.010 2.5 -7.280 COTTON2 -55.603 0.009 2.5 -1.191 CRUDE_W 12.020 0.043 2.5 1.302 DAX 160.627 0.014 2.5 5.479 DOW 200.942 0.009 2.5 4.670 DX -147.245 0.010 2.5 -3.820 EUR 46.074 0.010 2.5 1.195 EURIBOR-ICE 272.509 0.014 2.5 9.295 EUROSTX -15.255 0.014 2.5 -0.520 FEEDCOW -25.599 0.013 2.5 -0.848 GASOIL -33.432 0.017 2.5 -1.449 GASOLINE 9.852 0.017 2.5 0.427 GAS_US_mini -111.613 0.043 2.5 -12.086 GBP 108.684 0.010 2.5 2.820 GOLD_micro 195.592 0.014 2.5 6.671 HEATOIL -40.001 0.017 2.5 -1.734 JGB-SGX-mini 107.018 0.043 2.5 11.589 JPY 4.241 0.010 2.5 0.110 LEANHOG 115.068 0.024 2.5 6.993 LIVECOW 56.144 0.013 2.5 1.860 LUMBER-new -134.932 0.009 2.5 -2.889 MILK 81.095 0.009 2.5 1.737 MXP -42.276 0.059 2.5 -6.205 NASDAQ_micro -37.293 0.009 2.5 -0.867 NIKKEI -1.871 0.043 2.5 -0.203 NZD 54.654 0.010 2.5 1.418 OAT 11.315 0.014 2.5 0.386 OATIES 28.955 0.010 2.5 0.704 OJ 36.500 0.009 2.5 0.782 PALLAD 6.958 0.014 2.5 0.237 PLAT -6.384 0.014 2.5 -0.218 REDWHEAT -146.823 0.005 2.5 -1.948 RICE 26.519 0.010 2.5 0.645 ROBUSTA 64.976 0.005 2.5 0.759 RUSSELL 80.474 0.013 2.5 2.667 SHATZ -148.134 0.004 2.5 -1.502 SILVER-mini 16.020 0.014 2.5 0.546 SMI 13.552 0.014 2.5 0.462 SOFR 267.047 0.024 2.5 16.229 SOYBEAN -97.366 0.004 2.5 -0.906 SOYMEAL -149.135 0.004 2.5 -1.387 SOYOIL -69.573 0.004 2.5 -0.648 SP400 1.882 0.013 2.5 0.062 SP500_micro 24.564 0.009 2.5 0.571 SUGAR11 42.104 0.009 2.5 0.895 US10 70.283 0.005 2.5 0.891 US10U 60.819 0.005 2.5 0.771 US2 73.249 0.005 2.5 0.928 US20 38.828 0.005 2.5 0.492 US30 14.800 0.005 2.5 0.188 US5 115.355 0.005 2.5 1.462 VIX -33.291 0.099 2.5 -8.218 WHEAT -127.451 0.005 2.5 -1.691 ===================== Position diags ===================== AUD 2.90 BITCOIN 27.66 BOBL 1.75 BTP 2.92 BUND 0.91 BUXL 0.35 CAC 2.08 CAD 4.71 CANOLA 7.30 CHF 1.75 COCOA 0.60 COFFEE 0.30 COPPER 3.90 CORN 4.70 COTTON2 1.66 CRUDE_W 4.10 DAX 8.98 DOW 7.79 DX 3.26 EUR 2.11 EURIBOR-ICE 13.18 EUROSTX 2.95 FEEDCOW 1.56 GASOIL 1.67 GASOLINE 1.33 GAS_US_mini 22.96 GBP 3.02 GOLD_micro 8.15 HEATOIL 1.23 JGB-SGX-mini 25.92 JPY 1.84 LEANHOG 6.66 LIVECOW 2.84 LUMBER-new 4.20 MILK 1.61 MXP 26.71 NASDAQ_micro 2.49 NIKKEI 10.74 NZD 3.05 OAT 3.22 OATIES 3.68 OJ 0.71 PALLAD 0.55 PLAT 2.00 REDWHEAT 1.25 RICE 3.86 ROBUSTA 0.63 RUSSELL 11.55 SHATZ 4.83 SILVER-mini 1.23 SMI 1.49 SOFR 20.85 SOYBEAN 0.73 SOYMEAL 1.01 SOYOIL 0.97 SP400 0.54 SP500_micro 4.92 SUGAR11 2.32 US10 1.64 US10U 1.19 US2 2.75 US20 0.78 US30 0.51 US5 2.50 VIX 14.46 WHEAT 1.34 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.7 1.4 2.0 4.0 4 BITCOIN -26.3 -29.1 -23.6 0.0 0 BOBL -0.3 -0.5 -0.2 0.0 0 BTP 0.7 0.4 1.0 0.0 0 BUND -0.2 -0.2 -0.1 0.0 0 BUXL -0.2 -0.2 -0.1 -1.0 -1 CAC -0.9 -1.1 -0.7 0.0 0 CAD -0.8 -1.2 -0.3 0.0 0 CANOLA -7.7 -8.4 -7.0 0.0 0 CHF -0.1 -0.3 0.1 5.0 5 COCOA 0.5 0.4 0.5 0.0 0 COFFEE 0.2 0.2 0.2 0.0 0 COPPER -0.1 -0.4 0.3 0.0 0 CORN -7.3 -7.8 -6.8 -5.0 -5 COTTON2 -1.2 -1.4 -1.0 -2.0 -2 CRUDE_W 1.3 0.9 1.7 1.0 1 DAX 5.5 4.6 6.4 3.0 3 DOW 4.7 3.9 5.4 1.0 1 DX -3.8 -4.1 -3.5 0.0 0 EUR 1.2 1.0 1.4 1.0 1 EURIBOR-ICE 9.3 8.0 10.6 0.0 0 EUROSTX -0.5 -0.8 -0.2 -1.0 -1 FEEDCOW -0.8 -1.0 -0.7 -2.0 -2 GASOIL -1.4 -1.6 -1.3 -1.0 -1 GASOLINE 0.4 0.3 0.6 0.0 0 GAS_US_mini -12.1 -14.4 -9.8 -12.0 -12 GBP 2.8 2.5 3.1 1.0 1 GOLD_micro 6.7 5.9 7.5 2.0 2 HEATOIL -1.7 -1.9 -1.6 -2.0 -2 JGB-SGX-mini 11.6 9.0 14.2 4.0 4 JPY 0.1 -0.1 0.3 0.0 0 LEANHOG 7.0 6.3 7.7 5.0 5 LIVECOW 1.9 1.6 2.1 3.0 3 LUMBER-new -2.9 -3.3 -2.5 -2.0 -2 MILK 1.7 1.6 1.9 NaN 0 MXP -6.2 -8.9 -3.5 -6.0 -6 NASDAQ_micro -0.9 -1.1 -0.6 0.0 0 NIKKEI -0.2 -1.3 0.9 0.0 0 NZD 1.4 1.1 1.7 0.0 0 OAT 0.4 0.1 0.7 0.0 0 OATIES 0.7 0.3 1.1 NaN 0 OJ 0.8 0.7 0.9 1.0 1 PALLAD 0.2 0.2 0.3 0.0 0 PLAT -0.2 -0.4 -0.0 0.0 0 REDWHEAT -1.9 -2.1 -1.8 -1.0 -1 RICE 0.6 0.3 1.0 NaN 0 ROBUSTA 0.8 0.7 0.8 1.0 1 RUSSELL 2.7 1.5 3.8 -1.0 -1 SHATZ -1.5 -2.0 -1.0 NaN 0 SILVER-mini 0.5 0.4 0.7 0.0 0 SMI 0.5 0.3 0.6 0.0 0 SOFR 16.2 14.1 18.3 NaN 0 SOYBEAN -0.9 -1.0 -0.8 -4.0 -4 SOYMEAL -1.4 -1.5 -1.3 -2.0 -2 SOYOIL -0.6 -0.7 -0.6 0.0 0 SP400 0.1 0.0 0.1 1.0 1 SP500_micro 0.6 0.1 1.1 0.0 0 SUGAR11 0.9 0.7 1.1 1.0 1 US10 0.9 0.7 1.1 0.0 0 US10U 0.8 0.7 0.9 0.0 0 US2 0.9 0.7 1.2 NaN 0 US20 0.5 0.4 0.6 0.0 0 US30 0.2 0.1 0.2 5.0 5 US5 1.5 1.2 1.7 3.0 3 VIX -8.2 -9.7 -6.8 -5.0 -5 WHEAT -1.7 -1.8 -1.6 -2.0 -2 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.0 0.3 0.1 0.1 0.1 0.1 0.1 0.0 0.1 0.1 0.3 0.1 0.0 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 0.0 0.1 0.3 0.0 0.1 0.1 0.1 0.0 0.0 -0.0 0.1 -0.2 -0.1 -0.1 0.4 -0.2 0.6 -0.0 BITCOIN 0.0 -0.2 -0.6 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 -0.1 0.1 0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 0.2 0.0 -2.7 -0.0 0.1 -0.0 0.1 0.2 0.0 -0.1 -0.1 -0.6 -0.6 0.0 -0.1 -0.1 -0.2 0.0 BOBL 0.1 0.4 0.5 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.1 0.0 -0.1 0.1 0.1 0.2 -0.3 -0.2 -0.3 0.1 0.1 0.0 0.0 0.1 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.9 -0.0 0.0 -0.1 -0.1 -0.7 -0.7 -0.2 -0.2 BTP 0.2 0.3 0.3 0.1 -0.0 0.1 0.0 0.1 0.0 0.0 0.5 0.2 0.6 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.4 0.2 -2.7 0.1 0.0 0.2 0.1 0.2 0.1 0.6 0.4 0.2 -0.4 -0.6 -0.7 -0.5 -0.0 0.2 BUND 0.0 0.3 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 -0.3 -0.0 -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 0.0 -0.1 -0.1 -0.3 -0.3 -0.7 -0.6 -0.2 -0.2 BUXL -0.0 0.2 0.3 0.1 -0.0 0.1 0.0 0.1 0.0 -0.1 0.1 0.0 0.0 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.0 -0.0 0.0 -0.4 0.0 -0.1 0.1 -0.0 0.1 0.0 0.1 -0.3 -0.4 -0.5 -0.5 -0.7 -0.7 -0.2 -0.2 CAC 0.1 0.1 -0.6 0.0 0.1 0.1 0.1 0.3 0.0 0.0 -0.3 -0.0 0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 -1.2 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.3 -0.2 -0.3 -0.1 -0.6 0.4 0.2 0.0 0.1 CAD -0.1 0.5 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.0 -0.2 -0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.0 -0.1 0.0 -0.2 0.0 0.0 0.0 -0.0 -0.1 0.0 -0.2 -0.5 -0.5 -0.0 -0.2 0.4 -0.2 0.2 -0.1 CANOLA 0.1 -0.3 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -0.2 -0.2 -0.2 -0.3 -0.1 -0.1 0.0 -0.2 -0.0 -1.7 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 -0.1 0.2 -0.0 -0.1 -0.1 -0.4 0.2 -0.2 CHF -0.2 0.6 0.6 0.0 0.0 0.1 0.1 0.0 0.1 -0.1 0.2 -0.1 -0.1 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.1 -0.0 0.1 0.1 0.5 0.1 -0.0 0.1 -0.0 0.1 0.0 -1.1 -0.5 -0.3 0.6 0.6 -0.1 -0.4 -0.4 -0.4 COCOA -0.2 0.2 0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 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 0.4 0.0 1.1 -0.1 0.0 0.3 0.3 0.7 0.3 0.7 0.5 COFFEE 0.0 0.1 0.2 -0.0 0.0 -0.1 0.0 -0.2 -0.0 0.0 0.5 0.1 0.6 0.1 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 0.1 0.3 0.1 0.4 0.2 0.5 0.6 0.6 -0.1 -0.3 0.2 -0.1 COPPER 0.3 -0.1 -0.4 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 -0.1 0.1 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 0.1 0.1 -2.4 0.0 0.1 -0.0 0.1 0.1 0.0 0.2 -0.1 0.1 -0.1 -0.2 0.7 0.3 0.7 0.7 CORN 0.6 0.1 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.4 0.1 -0.7 0.1 -0.1 -0.4 -0.3 -0.4 -0.4 -0.1 -0.2 0.0 -0.5 0.0 -1.5 -0.1 -0.0 -0.2 -0.0 -0.4 -0.0 -1.1 -0.5 0.1 -0.0 -0.5 -0.0 -0.2 0.1 -0.0 COTTON2 0.5 0.6 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.3 0.1 -0.4 0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.0 -0.1 0.1 -0.3 0.1 -2.7 0.0 0.1 -0.1 0.1 -0.1 0.0 -0.6 0.3 0.3 0.4 0.2 -0.4 -0.4 -0.1 -0.2 CRUDE_W -0.4 -0.4 -0.4 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 -0.0 0.2 -0.1 -0.1 0.2 0.3 0.3 0.3 -0.2 -0.1 0.0 -0.1 -0.1 -0.2 -0.1 0.1 -0.1 0.0 -0.1 -0.0 0.6 0.3 0.5 0.3 0.0 0.1 0.5 0.1 0.6 DAX 0.1 0.2 -0.4 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.2 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 1.4 0.0 0.0 0.1 0.0 0.2 0.0 -0.4 -0.1 0.2 0.2 -0.6 0.5 0.2 0.1 0.1 DOW 0.1 0.3 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 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.2 0.3 0.2 -1.5 0.1 0.1 0.1 0.1 0.2 0.1 -0.4 0.4 0.6 0.6 0.3 0.3 0.1 -0.1 -0.2 DX 0.0 -0.6 -0.6 0.0 0.1 0.1 0.1 0.0 0.1 -0.1 -0.3 -0.1 0.1 -0.2 -0.2 0.1 0.1 0.1 0.1 -0.2 -0.2 -0.1 -0.1 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.8 -0.5 -0.6 -0.6 -0.6 -0.1 0.2 -0.1 0.3 EUR -0.2 0.4 0.4 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.3 0.1 -0.1 0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.1 0.1 2.7 0.1 0.1 0.1 0.1 0.1 0.1 -0.4 -0.2 -0.5 0.2 0.3 0.0 -0.6 -0.2 -0.7 EURIBOR-ICE 0.1 0.6 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.2 0.0 0.2 0.1 0.1 0.1 -0.1 0.0 -0.0 0.1 0.1 0.0 0.2 0.1 1.7 0.0 -0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.2 0.1 0.1 -0.6 -0.7 0.0 0.1 EUROSTX -0.0 -0.0 -0.5 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.0 0.0 0.4 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 0.2 0.0 -0.3 -0.0 0.0 -0.0 0.0 0.2 -0.0 0.2 -0.1 -0.2 -0.1 -0.6 0.2 0.0 -0.5 -0.2 FEEDCOW 0.4 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.3 0.2 -0.4 -0.1 -0.1 0.4 -0.3 0.2 -0.0 -0.2 -0.2 0.1 -0.4 -0.0 -0.9 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.9 0.5 0.3 -0.6 -0.6 0.2 0.7 0.5 0.7 GASOIL -0.4 -0.6 -0.5 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.3 -0.1 0.1 -0.1 -0.2 0.1 0.2 0.0 0.1 -0.2 -0.1 -0.0 -0.1 -0.2 0.5 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.3 -0.3 -0.1 -0.1 -0.4 -0.2 -0.7 GASOLINE -0.3 -0.5 -0.4 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.0 0.1 -0.1 -0.1 0.3 0.4 0.4 0.4 -0.2 -0.1 0.1 -0.0 -0.1 -2.7 -0.0 0.1 -0.1 0.1 -0.0 -0.0 1.1 0.4 0.6 0.4 0.2 0.4 0.6 0.6 0.7 GAS_US_mini 0.2 0.1 -0.3 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.5 0.1 -0.7 -0.0 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 0.1 -0.5 -0.0 2.7 -0.1 0.1 -0.2 0.0 -0.4 -0.0 -1.1 0.1 0.5 0.6 0.3 -0.2 -0.6 -0.2 -0.7 GBP 0.0 0.4 0.3 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.5 0.2 0.5 0.2 0.2 0.0 -0.0 -0.0 -0.0 0.2 0.2 0.2 0.4 0.2 -0.2 0.1 0.1 0.2 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.6 0.3 -0.7 0.3 -0.7 GOLD_micro 0.2 0.4 0.3 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 0.5 0.2 0.6 0.2 0.2 -0.3 -0.3 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -1.2 0.1 0.1 0.1 0.1 0.2 0.1 -0.7 0.1 0.2 0.6 0.6 0.5 -0.1 0.4 0.1 HEATOIL -0.4 -0.5 -0.5 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.4 -0.1 -0.1 -0.1 -0.2 -0.1 0.1 -0.1 -0.0 -0.2 -0.2 -0.0 -0.2 -0.2 -2.7 -0.1 0.0 -0.2 -0.0 -0.1 -0.0 -0.5 -0.1 0.2 -0.1 -0.1 -0.2 0.2 -0.5 0.1 JGB-SGX-mini 0.1 0.5 0.4 0.0 -0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.3 0.3 0.3 0.1 0.0 0.0 0.0 0.1 -1.1 0.0 0.0 0.0 0.0 0.0 0.0 1.1 0.1 0.0 0.1 -0.1 -0.3 -0.2 -0.3 0.1 JPY 0.0 0.6 0.6 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.1 0.0 -0.1 0.1 0.1 -0.2 -0.3 -0.2 -0.3 0.1 0.1 0.0 -0.1 0.1 2.7 0.0 -0.0 0.0 -0.0 -0.0 0.0 -1.1 -0.3 -0.0 0.5 0.3 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.4 0.5 -0.2 -0.0 0.0 -0.1 0.0 -0.2 -0.0 0.2 -0.2 0.2 -0.3 0.2 0.1 0.4 0.4 0.4 0.4 0.1 -0.1 0.2 -0.3 0.2 0.6 0.0 0.1 -0.1 0.1 -0.1 0.1 1.1 -0.0 0.5 0.6 0.2 0.0 -0.2 0.2 0.1 LIVECOW 0.3 -0.4 0.0 -0.0 0.0 -0.2 0.0 -0.2 -0.0 0.2 0.1 0.2 0.2 -0.0 -0.1 0.0 0.2 0.2 0.2 -0.0 0.0 0.2 0.1 0.1 -2.0 -0.0 0.1 -0.0 0.1 0.1 0.0 1.0 0.5 0.6 -0.5 0.6 -0.0 0.7 0.2 0.7 LUMBER-new -0.1 0.3 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 -0.0 -0.4 -0.1 -0.0 -0.5 -0.4 -0.4 -0.4 -0.0 -0.1 -0.0 -0.3 -0.0 NaN -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.2 -0.5 -0.2 0.3 0.3 0.1 -0.1 0.3 0.1 MILK 0.3 0.5 0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.3 0.1 0.3 0.1 0.1 0.4 -0.3 0.3 0.0 0.2 0.2 0.1 0.2 0.2 1.9 0.1 0.0 0.1 0.0 0.1 0.0 -0.8 0.0 0.6 0.6 0.6 -0.0 -0.7 0.2 -0.7 MXP 0.2 -0.2 -0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.2 0.1 -0.2 -0.0 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.1 0.0 -0.1 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 1.1 0.1 -0.2 -0.6 -0.6 0.5 0.4 0.6 0.6 NASDAQ_micro -0.0 -0.1 -0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.3 0.1 0.0 -0.1 -0.2 -0.2 -0.2 0.0 0.0 0.1 0.2 0.0 -2.4 0.0 0.0 0.1 0.0 0.2 0.0 -0.3 0.3 0.2 0.1 0.1 0.1 0.1 -0.3 0.0 NIKKEI -0.1 -0.2 -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 -0.8 -0.0 0.0 -0.0 0.0 0.0 -0.0 1.1 -0.1 -0.1 -0.5 -0.4 0.4 0.0 0.3 0.0 NZD 0.0 0.5 0.1 0.0 0.0 0.1 0.1 0.0 0.1 0.1 0.2 0.1 0.0 0.1 0.1 -0.0 0.0 -0.0 -0.0 0.1 0.1 0.1 0.0 0.1 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.2 -0.1 -0.1 0.2 -0.0 0.2 -0.2 0.1 -0.0 OAT 0.1 0.4 0.3 0.0 -0.0 0.1 0.0 0.1 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 0.5 0.0 -0.1 0.1 -0.0 0.0 0.0 0.5 -0.2 -0.2 -0.3 -0.6 -0.4 -0.5 0.1 0.1 OATIES 0.6 0.6 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.2 0.1 -0.5 0.1 -0.0 0.1 0.1 0.1 0.1 0.1 -0.0 0.1 -0.3 0.2 -2.7 0.0 0.0 -0.0 0.0 -0.1 0.0 0.2 -0.2 0.6 0.6 0.0 0.5 0.0 0.7 0.3 OJ 0.2 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 0.4 0.1 0.5 0.1 0.1 0.3 0.2 0.2 0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.3 0.0 0.9 -0.3 0.2 0.6 0.6 0.4 0.5 0.7 0.7 PALLAD 0.5 0.5 0.5 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.2 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 -0.1 0.1 2.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.3 0.2 0.3 0.2 0.3 -0.7 -0.7 -0.7 -0.7 PLAT 0.3 -0.0 -0.2 0.0 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.2 0.1 -0.2 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.0 0.1 0.7 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.2 -0.2 -0.2 -0.0 -0.1 -0.2 -0.2 0.0 REDWHEAT 0.6 0.2 -0.5 -0.0 0.0 -0.2 0.0 -0.2 -0.0 -0.2 -0.4 0.0 -0.7 0.1 -0.2 -0.2 -0.1 -0.2 -0.2 -0.1 -0.2 -0.0 -0.5 0.0 -0.7 -0.0 -0.1 -0.2 -0.0 -0.3 -0.0 -0.8 -0.5 0.3 0.2 -0.6 -0.7 -0.7 -0.7 -0.7 RICE 0.3 -0.1 -0.4 -0.0 0.0 -0.1 0.0 -0.2 -0.0 0.2 0.3 0.2 0.5 0.1 0.0 -0.2 0.4 0.2 0.4 0.0 0.0 0.2 0.2 0.1 -1.7 0.0 0.1 0.1 0.1 0.1 0.1 1.1 -0.0 0.3 0.5 0.6 -0.7 -0.7 -0.7 -0.7 ROBUSTA 0.1 0.3 0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 0.4 0.1 0.5 0.1 0.1 0.4 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 0.2 -0.1 0.5 0.1 RUSSELL -0.0 0.0 0.1 0.0 0.0 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 0.1 0.1 0.1 0.1 0.1 -0.1 0.0 0.0 0.1 0.1 0.1 0.0 -0.0 0.3 0.4 0.2 0.3 0.1 -0.5 -0.3 -0.7 SHATZ 0.1 0.5 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.1 0.0 -0.1 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.0 -0.0 0.1 0.9 0.0 -0.0 0.1 0.0 0.0 0.0 -1.1 0.0 0.2 0.1 0.1 -0.7 -0.6 -0.5 -0.3 SILVER-mini 0.3 0.0 -0.1 0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 0.1 0.1 0.2 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 0.2 0.1 0.3 0.0 0.0 0.0 0.1 0.1 0.1 -0.1 0.1 0.1 -0.0 0.1 0.2 -0.1 0.1 0.3 SMI -0.5 -0.1 -0.1 0.0 0.1 0.1 0.0 0.2 0.0 -0.1 0.3 -0.1 0.5 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.3 -0.1 1.4 0.0 -0.0 0.2 -0.0 0.3 -0.0 0.5 -0.5 -0.6 0.3 0.3 -0.0 0.0 -0.4 -0.1 SOFR 0.1 0.6 0.6 0.1 -0.0 0.1 0.0 0.1 0.0 -0.1 0.4 0.0 0.3 0.1 0.2 0.1 -0.0 0.0 0.0 0.2 0.2 -0.0 0.3 0.2 -0.9 0.1 -0.0 0.2 -0.0 0.1 0.0 0.2 -0.2 -0.1 0.0 0.2 0.3 -0.4 0.7 0.3 SOYBEAN 0.6 -0.1 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.2 0.1 -0.3 0.0 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.4 0.0 -2.5 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.3 -0.3 0.2 -0.2 -0.5 0.0 -0.6 0.2 -0.4 SOYMEAL 0.6 0.1 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.2 0.1 -0.4 0.1 -0.1 -0.1 0.1 -0.1 -0.0 -0.0 -0.1 0.0 -0.3 0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.5 0.1 0.1 -0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.2 -0.1 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 0.0 -0.3 -0.0 -0.1 0.0 0.0 0.0 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 -0.1 0.2 -0.1 0.0 -0.1 -0.3 0.2 -0.1 SP400 -0.0 0.1 -0.2 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.2 0.1 0.4 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 0.1 0.2 0.1 -1.4 0.0 0.1 0.1 0.1 0.2 0.1 0.0 0.3 0.4 0.4 0.1 0.2 -0.2 -0.2 -0.7 SP500_micro 0.0 0.1 -0.5 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.3 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.4 0.1 -2.4 0.0 0.1 0.1 0.1 0.3 0.1 -0.5 0.4 0.5 0.4 0.4 0.2 0.1 -0.3 -0.1 SUGAR11 0.6 0.5 0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 0.1 -0.4 0.1 0.0 0.1 0.1 -0.0 0.0 0.1 -0.0 0.2 -0.2 0.2 -2.7 0.0 0.1 -0.0 0.1 -0.1 0.1 0.2 0.5 0.6 0.6 0.6 -0.4 0.4 -0.3 0.5 US10 0.1 0.6 0.6 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.3 0.1 0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.0 0.1 0.1 0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.4 -0.0 -0.1 0.0 0.1 0.1 -0.7 0.7 0.2 US10U 0.1 0.6 0.6 0.1 -0.0 0.1 0.0 0.1 0.0 -0.1 0.4 0.1 0.1 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.0 0.1 0.2 -0.1 0.1 -0.0 0.2 -0.0 0.1 0.0 -0.1 -0.1 -0.2 -0.1 0.0 0.2 -0.6 0.7 0.6 US2 0.3 0.6 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.2 0.1 0.0 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.2 0.1 0.1 0.0 0.1 1.7 0.0 0.0 0.1 0.0 0.0 0.0 -1.1 0.1 0.2 0.3 0.2 0.0 -0.7 0.2 -0.4 US20 0.1 0.6 0.6 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.3 0.0 0.2 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.2 0.1 -0.0 0.1 0.1 -0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 0.2 -0.1 -0.2 -0.1 -0.0 0.2 -0.3 0.7 0.7 US30 0.1 0.5 0.6 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.3 0.0 0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 -0.0 0.1 0.1 -0.3 0.1 -0.1 0.1 -0.0 0.1 0.0 -0.2 -0.2 -0.3 -0.2 -0.2 0.1 -0.3 0.7 0.7 US5 0.2 0.6 0.6 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.3 0.1 0.1 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.0 0.1 0.1 0.9 0.0 -0.0 0.1 0.0 0.1 0.0 -0.8 -0.0 0.0 0.1 0.2 0.2 -0.7 0.7 -0.0 VIX 0.1 0.0 1.0 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.4 -0.1 -0.1 0.2 -0.6 -0.4 -0.6 0.0 -0.0 -0.0 -0.2 -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 0.6 0.2 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.3 0.1 -0.5 0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.0 -0.1 0.0 -0.4 0.1 0.5 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 -1.1 -0.4 0.4 0.2 -0.6 -0.7 -0.7 -0.7 -0.6 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -1.1 9.3 4.6 4.6 5.9 2.4 6.0 1.3 5.7 16.6 9.3 12.2 0.5 13.2 11.3 -0.2 -2.2 -1.2 -1.7 7.2 5.1 13.2 1.8 9.2 2.4 3.5 8.3 2.4 6.3 1.2 4.5 -0.0 6.2 -6.5 -3.6 -1.7 11.4 -5.5 17.0 -0.4 BITCOIN 0.1 -7.2 -20.0 1.3 6.8 -1.7 8.1 -1.7 5.9 15.1 -2.0 8.0 6.8 -2.4 -7.9 -5.0 -6.7 -5.6 -6.2 -5.5 -3.1 11.8 6.2 1.2 -20.0 -3.3 8.9 -1.0 5.4 6.0 0.1 -1.8 -5.8 -20.0 -20.0 0.8 -4.3 -3.6 -4.7 1.0 BOBL 1.8 12.4 16.6 3.5 -1.4 3.0 0.6 1.3 2.4 -7.3 3.5 3.5 -2.4 6.7 9.6 9.1 -12.7 -8.8 -12.5 9.8 7.0 2.1 0.4 7.3 4.6 3.6 -1.0 2.8 0.8 1.0 2.7 -17.7 -0.4 0.5 -3.9 -3.8 -20.0 -20.0 -5.7 -6.3 BTP 6.2 9.3 9.2 6.2 -2.5 5.3 1.0 2.3 4.3 4.8 17.3 14.4 17.4 17.3 19.9 6.1 4.2 3.9 3.4 18.2 15.6 12.6 13.4 17.7 -20.0 7.1 2.0 6.1 5.1 5.3 7.1 10.8 15.9 5.5 -12.9 -17.1 -20.0 -14.3 -1.3 6.8 BUND 0.8 9.9 13.3 4.1 -1.7 3.5 0.7 1.5 2.8 -11.6 5.5 4.4 0.8 7.7 11.3 -17.0 -1.5 -7.1 -3.8 9.7 7.7 0.8 1.8 6.6 1.4 4.1 -2.3 3.6 0.3 1.9 2.7 0.1 -2.2 -4.0 -8.8 -8.4 -20.0 -18.9 -4.6 -4.7 BUXL -1.3 7.0 8.5 4.7 -1.9 4.0 0.8 1.7 3.3 -13.5 4.8 2.0 0.8 6.4 10.9 -0.5 -2.0 -1.0 -1.8 6.4 5.1 -4.6 -0.5 2.7 -2.9 3.5 -7.7 3.5 -2.9 1.9 1.2 1.0 -10.9 -11.8 -15.3 -16.3 -20.0 -20.0 -6.6 -5.9 CAC 2.4 1.8 -19.0 2.4 7.9 4.8 5.6 7.6 2.7 3.0 -9.4 -2.0 1.1 5.5 -8.8 -7.3 -2.7 -6.0 -4.1 -7.6 -9.8 3.2 -2.3 -1.7 -8.7 -3.8 4.4 -4.2 2.1 0.2 -0.9 4.9 -9.8 -8.7 -3.7 -20.0 13.0 5.9 0.6 1.8 CAD -4.1 14.8 5.7 6.2 7.9 3.3 8.1 1.7 7.7 10.0 -1.1 -15.4 -13.8 9.0 10.0 -4.2 -3.6 -4.5 -4.1 7.4 2.2 -1.6 -5.1 3.5 -1.5 4.0 1.6 1.6 -0.6 -1.6 2.1 -3.1 -20.0 -14.9 -0.5 -4.8 13.0 -6.9 6.7 -2.6 CANOLA 1.8 -8.0 -0.5 -1.6 1.6 -2.0 1.3 -1.6 -0.1 6.1 -5.0 -0.5 -6.4 -3.5 -4.9 -12.4 -10.8 -12.5 -12.7 -4.7 -5.3 1.3 -5.8 -2.4 -13.1 -0.9 2.3 -2.2 1.3 -3.5 0.4 -20.0 -5.4 5.2 -0.7 -2.7 -3.4 -11.1 5.0 -6.2 CHF -5.2 18.1 20.0 3.9 5.0 2.1 5.1 1.1 4.9 -9.1 7.1 -6.8 -1.7 10.3 12.6 -14.0 -16.2 -15.0 -15.6 15.6 12.4 -1.0 3.7 7.8 4.1 4.8 -1.9 4.1 -0.4 1.7 2.2 -20.0 -20.0 -8.3 17.1 20.0 -3.0 -11.0 -11.1 -12.0 COCOA -5.6 4.8 9.1 -1.5 1.6 -1.9 1.2 -1.5 -0.1 6.0 1.9 -0.6 3.2 0.9 -1.5 20.0 20.0 20.0 20.0 1.5 4.7 1.3 10.3 1.0 -20.0 2.0 1.3 4.8 1.4 10.3 1.6 20.0 -3.1 0.8 8.6 10.2 20.0 10.4 20.0 15.1 COFFEE 0.6 2.0 5.5 -4.2 4.4 -5.3 3.5 -4.2 -0.3 1.5 17.0 11.2 16.9 13.6 15.2 3.9 6.0 4.1 5.1 15.8 18.2 11.9 18.5 15.1 -20.0 6.2 -1.7 7.2 4.9 8.4 6.3 7.8 9.6 14.5 20.0 20.0 -2.7 -9.1 6.3 -2.7 COPPER 8.5 -2.7 -13.6 1.1 5.7 -1.5 6.8 -1.4 4.9 12.4 -4.8 11.6 -1.4 8.8 -7.2 -4.2 -3.0 -3.2 -2.7 -3.0 -3.6 14.7 2.5 6.6 -17.6 0.9 6.2 -0.2 6.5 1.5 4.6 4.5 -3.8 1.6 -3.4 -5.5 20.0 8.2 20.0 20.0 CORN 18.0 1.9 -20.0 -4.0 4.2 -5.1 3.3 -4.1 -0.3 -10.5 -14.9 9.4 -18.1 5.0 -12.7 -18.1 -16.1 -20.0 -19.5 -10.1 -20.0 1.0 -20.0 1.7 -11.6 -5.0 -4.0 -8.6 -0.9 -9.7 -1.1 -20.0 -20.0 2.2 -0.1 -15.9 -1.5 -5.4 1.6 -0.3 COTTON2 14.6 20.0 -5.2 -3.0 3.2 -3.8 2.5 -3.0 -0.2 11.8 -12.7 10.9 -12.3 8.1 -4.7 -10.3 -3.7 -9.7 -6.9 -0.6 -9.2 13.3 -11.8 7.8 -20.0 0.2 8.7 -3.1 7.5 -2.8 4.4 -10.7 13.5 7.8 11.2 5.2 -12.3 -12.0 -2.4 -5.4 CRUDE_W -11.6 -13.4 -13.5 -5.1 2.6 -3.8 -0.5 -1.4 -3.9 15.5 -8.6 -2.9 4.7 -7.6 -11.7 12.3 12.7 12.7 12.8 -14.8 -9.9 3.2 -1.9 -10.4 -1.6 -4.8 7.1 -4.8 3.6 -1.7 -1.4 11.3 10.9 16.5 9.3 1.5 3.0 13.7 3.7 19.1 DAX 2.5 5.5 -11.4 2.1 7.0 4.2 5.0 6.8 2.4 7.4 7.7 6.5 13.5 12.5 9.6 -8.2 -10.3 -8.6 -9.4 5.4 5.0 9.6 9.6 8.1 10.2 1.8 4.1 2.7 4.6 6.3 3.2 -6.7 -4.7 4.8 5.6 -17.2 13.5 5.2 3.2 1.8 DOW 4.0 10.4 1.1 1.8 5.9 3.6 4.2 5.7 2.0 13.1 10.8 13.7 13.5 13.7 12.3 -8.7 -10.7 -9.5 -10.2 13.1 11.9 17.9 12.8 15.0 -11.3 5.2 5.9 4.7 6.1 5.1 5.9 -7.7 15.2 20.0 20.0 10.7 9.8 1.6 -4.3 -4.9 DX 0.4 -20.0 -18.7 4.6 5.8 2.4 5.9 1.2 5.6 -13.1 -10.0 -9.3 4.1 -14.6 -15.7 5.0 6.7 6.0 6.5 -20.0 -14.9 -11.3 -4.5 -16.0 -20.0 -6.1 -2.3 -4.5 -3.2 -1.4 -4.7 14.9 -20.0 -19.2 -20.0 -20.0 -1.9 6.1 -3.2 8.9 EUR -4.7 12.9 11.3 5.5 7.0 2.9 7.1 1.5 6.7 19.6 10.5 5.9 -2.7 12.6 14.6 -5.7 -7.1 -6.6 -6.8 14.2 11.2 12.4 4.2 11.7 20.0 6.5 6.7 5.5 5.4 3.0 5.3 -8.4 -6.4 -15.2 6.3 8.8 0.7 -19.3 -4.8 -20.0 EURIBOR-ICE 4.1 17.6 20.0 2.9 -1.2 2.5 0.5 1.1 2.1 -5.5 5.8 3.7 4.2 7.2 9.2 3.4 -2.7 0.8 -1.1 13.3 10.7 4.0 5.8 10.3 12.7 3.4 -0.4 2.7 1.1 1.6 2.8 1.1 2.6 6.4 2.2 1.9 -19.5 -20.0 0.5 2.6 EUROSTX -0.5 -0.1 -16.8 2.0 6.6 4.0 4.7 6.4 2.3 7.3 1.8 1.4 10.6 5.9 -0.6 -4.4 -3.1 -4.6 -4.2 -2.5 -1.1 5.5 6.4 0.9 -2.3 -1.7 4.8 -0.0 2.9 5.0 -0.0 4.1 -4.5 -6.5 -2.5 -20.0 6.9 1.3 -15.5 -4.5 FEEDCOW 12.7 -20.0 -20.0 -3.9 4.1 -4.9 3.2 -4.0 -0.3 16.1 -12.8 14.7 -11.4 -8.8 -12.7 20.0 -14.3 10.9 -0.9 -20.0 -20.0 14.8 -14.9 -4.2 -7.0 -5.0 5.1 -5.3 3.0 -3.0 -1.3 -16.3 20.0 8.0 -20.0 -19.4 5.3 20.0 14.4 20.0 GASOIL -11.8 -17.1 -16.8 -4.6 2.3 -3.4 -0.4 -1.3 -3.5 11.3 -12.4 -6.4 2.5 -11.5 -14.1 3.2 8.7 2.2 3.7 -18.9 -13.8 -4.7 -4.6 -16.1 3.4 -5.5 1.7 -4.1 -1.4 -1.6 -4.6 0.1 -6.0 -8.4 -10.5 -2.8 -3.8 -11.2 -6.2 -20.0 GASOLINE -8.6 -14.4 -13.6 -5.2 2.7 -3.9 -0.5 -1.4 -3.9 15.7 -9.1 0.3 3.0 -8.5 -12.2 16.5 20.0 20.0 20.0 -15.0 -10.5 6.2 -1.2 -9.0 -20.0 -4.3 9.6 -4.3 5.9 -0.7 -0.3 20.0 17.0 20.0 11.2 6.3 10.7 17.3 17.0 20.0 GAS_US_mini 7.6 3.1 -7.9 -6.0 3.1 -4.5 -0.5 -1.7 -4.6 13.9 -18.7 6.9 -20.0 -2.9 -18.3 -20.0 -20.0 -20.0 -20.0 -9.5 -15.7 7.1 -20.0 -0.8 20.0 -4.8 10.6 -6.9 4.3 -9.7 -0.9 -20.0 3.5 15.6 20.0 9.0 -6.7 -16.8 -6.1 -19.7 GBP 0.7 11.4 9.8 5.8 7.3 3.0 7.5 1.6 7.1 20.0 18.7 16.4 14.4 18.4 18.2 0.6 -0.6 -0.1 -0.4 20.0 18.1 20.0 13.1 20.0 -1.8 7.7 9.8 6.8 7.8 5.3 7.3 2.7 5.0 4.0 4.1 18.8 7.5 -20.0 9.2 -19.5 GOLD_micro 5.6 11.4 10.0 1.3 6.8 -1.7 8.1 -1.7 5.8 15.4 17.7 15.6 16.8 16.9 16.8 -12.5 -13.2 -12.3 -12.4 20.0 20.0 20.0 20.0 20.0 -9.4 6.0 9.0 5.5 7.8 6.2 7.2 -12.6 2.4 5.6 19.0 20.0 13.9 -2.5 13.4 2.9 HEATOIL -13.1 -16.8 -14.6 -4.9 2.5 -3.7 -0.5 -1.4 -3.7 13.0 -14.3 -8.9 -2.8 -13.2 -15.2 -6.0 4.9 -5.6 -2.4 -20.0 -16.2 -4.6 -7.7 -17.0 -20.0 -6.0 2.9 -5.7 -0.2 -2.9 -3.9 -8.5 -4.0 6.1 -2.1 -2.5 -6.9 4.8 -14.2 3.3 JGB-SGX-mini 3.9 15.8 11.0 2.4 -1.0 2.0 0.4 0.9 1.7 4.3 3.1 5.9 1.6 5.5 5.2 10.6 16.5 13.5 14.9 6.4 4.1 4.7 1.5 5.9 -8.1 2.3 0.8 1.3 1.5 0.0 2.0 20.0 4.3 0.6 2.1 -4.4 -9.0 -5.5 -9.3 4.3 JPY 0.4 20.0 20.0 2.3 2.9 1.2 3.0 0.6 2.9 -7.4 4.6 2.7 -4.0 7.4 8.3 -10.7 -14.9 -12.2 -13.4 10.9 6.3 0.3 -2.5 7.7 20.0 2.8 -1.9 1.6 -0.0 -0.7 1.9 -20.0 -12.9 -0.1 16.2 10.6 -20.0 -20.0 -20.0 -20.0 LEANHOG 13.5 16.8 -6.4 -4.3 4.5 -5.4 3.5 -4.3 -0.4 16.8 -6.5 17.1 -7.7 17.0 7.2 20.0 20.0 20.0 20.0 8.7 -5.2 17.2 -12.9 16.9 4.6 2.6 7.3 -1.9 6.9 -4.0 5.9 20.0 -0.3 15.8 20.0 6.0 0.3 -4.8 5.1 4.0 LIVECOW 9.3 -13.8 1.1 -4.6 4.8 -5.8 3.8 -4.6 -0.4 18.9 4.6 19.2 6.8 -3.1 -4.8 1.4 10.2 9.6 12.0 -0.6 1.6 20.0 5.4 7.9 -14.7 -1.9 14.1 -0.0 8.6 3.2 1.6 17.9 20.0 17.2 -14.2 20.0 -1.0 20.0 7.3 20.0 LUMBER-new -3.2 8.7 -4.7 -2.6 2.8 -3.3 2.2 -2.6 -0.2 1.1 -8.3 -3.7 -9.0 -5.3 -2.2 -19.5 -18.0 -18.7 -18.2 -3.5 -6.8 -1.4 -8.8 -2.5 NaN -1.2 -0.2 -4.1 -0.3 -5.9 -0.6 -20.0 -18.8 -5.8 8.8 7.2 2.3 -1.4 6.9 1.4 MILK 8.5 15.1 20.0 -2.9 3.1 -3.7 2.4 -3.0 -0.2 -3.6 12.7 7.2 7.3 11.2 12.0 20.0 -12.5 15.7 0.2 19.1 17.0 7.9 8.6 15.8 14.2 4.9 0.3 4.4 1.8 2.0 3.9 -15.0 0.4 19.0 20.0 20.0 -0.4 -20.0 6.5 -20.0 MXP 6.8 -6.6 -19.8 2.5 3.1 1.3 3.2 0.7 3.0 4.8 -7.8 4.9 -4.2 -2.4 -7.4 9.7 13.8 10.4 11.6 -8.0 -9.6 5.0 -4.5 -0.9 -20.0 -2.6 0.8 -3.3 1.6 -1.4 -0.2 20.0 6.0 -7.6 -20.0 -20.0 13.6 12.5 18.1 19.3 NASDAQ_micro -0.1 -2.7 -19.4 1.2 4.1 2.5 2.9 4.0 1.4 8.9 2.2 7.5 7.2 5.7 0.0 -6.5 -9.7 -7.8 -8.9 1.0 3.2 8.9 7.9 3.8 -17.7 1.8 4.5 2.7 4.2 5.2 2.9 -5.8 10.7 5.4 4.0 4.1 1.9 3.9 -9.1 0.3 NIKKEI -3.7 -4.9 -20.0 0.8 2.7 1.6 1.9 2.6 0.9 5.8 0.9 -0.4 3.0 2.5 0.2 2.6 8.9 6.0 7.5 -2.4 -1.1 2.0 2.1 -1.3 -6.2 -1.8 1.8 -1.0 0.7 0.8 -0.9 20.0 -2.4 -3.2 -15.8 -12.1 10.6 1.3 9.4 0.3 NZD 1.4 16.4 3.1 3.9 4.9 2.0 5.0 1.0 4.8 13.4 6.9 6.2 0.8 11.9 10.7 -0.1 0.1 -0.1 -0.0 8.7 5.1 8.3 1.4 8.9 0.1 3.4 4.5 1.9 3.4 0.7 3.6 3.5 -5.0 -2.4 7.2 -1.3 4.8 -5.6 2.6 -0.4 OAT 3.1 13.1 8.6 4.3 -1.8 3.7 0.7 1.6 3.0 -12.6 1.7 1.6 -1.1 7.7 11.9 5.9 3.9 3.4 3.0 8.7 4.9 -3.0 -0.7 6.0 3.5 3.9 -6.3 2.7 -1.5 1.0 2.6 10.3 -9.8 -5.3 -10.6 -17.4 -12.4 -15.6 1.8 1.6 OATIES 20.0 20.0 -5.8 -3.4 3.6 -4.3 2.8 -3.4 -0.3 -1.2 -7.4 10.2 -13.0 11.2 -1.9 2.6 2.5 4.2 4.1 11.5 -2.0 10.2 -9.7 18.4 -20.0 2.7 0.3 -0.4 2.1 -1.9 4.3 3.7 -9.0 20.0 20.0 1.1 14.6 0.6 20.0 10.1 OJ 6.8 2.4 -0.8 -3.5 3.7 -4.5 2.9 -3.6 -0.3 0.7 14.1 7.8 14.9 11.0 12.1 14.8 12.3 12.3 11.2 16.7 17.8 8.4 20.0 14.1 -20.0 5.4 1.4 6.1 2.3 8.7 4.4 17.8 -13.0 7.6 20.0 20.0 12.3 13.7 20.0 20.0 PALLAD 16.9 16.7 14.2 0.7 3.6 -0.9 4.3 -0.9 3.1 4.6 -0.6 6.4 -6.7 7.2 4.3 -1.6 -2.0 -1.7 -1.8 5.8 0.6 11.1 -4.7 10.5 14.9 2.2 1.8 0.2 3.8 -1.3 3.9 6.2 6.3 8.3 5.7 10.3 -20.0 -20.0 -20.0 -20.0 PLAT 8.2 -0.5 -5.8 1.0 5.1 -1.3 6.1 -1.3 4.4 5.1 -5.6 8.4 -4.6 6.1 -4.8 -4.4 -4.5 -4.7 -4.7 0.1 -1.7 8.3 -1.1 5.6 5.2 0.5 2.0 -1.4 4.4 -0.9 3.7 1.5 -9.1 -4.7 -5.6 -0.3 -2.6 -7.2 -7.4 1.0 REDWHEAT 20.0 4.9 -16.0 -4.4 4.7 -5.6 3.7 -4.5 -0.4 -17.0 -16.0 4.0 -18.4 6.4 -14.8 -9.4 -6.2 -9.9 -8.7 -7.0 -15.1 -5.3 -20.0 0.6 -5.3 -3.8 -7.8 -6.2 -3.4 -7.0 -1.1 -14.7 -20.0 9.7 4.9 -19.1 -20.0 -20.0 -20.0 -20.0 RICE 9.4 -2.3 -11.2 -4.4 4.6 -5.5 3.6 -4.4 -0.4 18.1 11.1 19.3 13.8 12.4 1.2 -10.4 20.0 8.6 20.0 3.7 3.2 17.3 8.8 10.7 -12.6 2.1 11.8 2.2 9.3 3.7 4.9 20.0 -0.4 9.2 15.5 20.0 -20.0 -20.0 -20.0 -20.0 ROBUSTA 4.6 8.0 4.5 -2.8 3.0 -3.6 2.4 -2.9 -0.2 1.4 13.1 8.5 12.9 11.9 12.7 20.0 20.0 20.0 20.0 20.0 20.0 13.9 20.0 20.0 -20.0 4.9 -0.9 5.8 2.5 7.2 4.2 20.0 8.1 20.0 20.0 20.0 7.4 -4.1 16.4 2.8 RUSSELL -0.4 0.4 2.0 1.4 4.7 2.9 3.4 4.6 1.6 9.5 4.0 8.6 8.4 4.4 2.6 -4.7 -6.3 -5.4 -5.9 4.7 5.0 13.4 5.4 7.2 -0.8 3.7 5.4 3.7 5.4 3.6 4.2 -0.2 11.0 13.1 6.9 8.6 1.8 -14.4 -8.6 -20.0 SHATZ 1.6 16.3 20.0 2.6 -1.1 2.3 0.4 1.0 1.8 -3.4 2.7 2.6 -2.3 5.7 7.5 -20.0 -20.0 -20.0 -20.0 9.7 6.5 3.2 -0.9 7.5 6.8 2.9 -0.0 2.1 1.0 0.3 2.3 -20.0 1.0 4.7 1.7 2.9 -20.0 -18.4 -14.2 -10.2 SILVER-mini 8.2 0.3 -3.0 0.9 5.0 -1.3 6.0 -1.3 4.3 11.6 5.1 11.6 5.8 9.4 1.1 -7.0 -6.5 -6.4 -6.3 4.7 4.3 16.7 6.6 11.0 2.3 2.0 5.5 1.0 6.4 1.9 4.9 -1.5 4.0 2.3 -0.2 4.0 6.4 -2.9 3.0 9.6 SMI -15.6 -3.3 -4.4 1.8 6.0 3.7 4.3 5.9 2.1 -5.6 10.2 -11.0 13.0 1.1 3.6 -0.9 0.0 -2.1 -1.6 -1.1 6.7 -7.5 11.4 -6.9 10.5 2.0 -2.6 6.0 -3.1 7.6 -1.9 9.1 -20.0 -20.0 9.3 8.2 -0.1 0.9 -13.3 -3.7 SOFR 3.5 20.0 20.0 5.2 -2.1 4.4 0.9 1.9 3.6 -15.4 15.2 3.2 9.4 13.8 17.1 2.9 -0.3 1.3 0.2 20.0 20.0 -1.2 12.1 14.8 -6.8 6.0 -4.4 6.2 -1.4 4.0 2.7 4.2 -10.0 -4.0 0.7 7.3 9.8 -12.6 20.0 8.8 SOYBEAN 19.4 -4.3 -20.0 -2.5 2.6 -3.2 2.1 -2.5 -0.2 4.2 -9.1 6.4 -9.5 0.0 -7.6 -6.9 1.0 -7.4 -4.6 -8.5 -15.0 2.9 -14.8 0.2 -18.7 -3.2 0.4 -4.8 0.5 -4.3 -0.6 -5.0 -12.1 6.0 -6.2 -15.4 0.2 -18.0 6.5 -11.9 SOYMEAL 17.4 2.2 -12.7 -2.9 3.1 -3.7 2.4 -3.0 -0.2 -6.2 -9.0 5.0 -11.2 5.2 -6.2 -7.2 3.2 -3.4 -0.6 -2.3 -9.5 1.3 -12.2 3.5 -20.0 -2.4 -2.7 -4.2 -1.0 -4.1 -0.5 0.2 -20.0 4.3 4.2 -4.4 -20.0 -20.0 -20.0 -20.0 SOYOIL 6.6 -4.4 0.3 -1.8 1.9 -2.3 1.5 -1.8 -0.1 6.7 -6.7 0.1 -7.9 -2.3 -6.1 0.1 1.4 2.1 1.3 -4.8 -7.0 3.1 -8.0 -1.2 -17.2 -1.4 3.5 -2.8 2.0 -3.1 0.4 -0.2 -4.6 6.4 -2.6 0.5 -3.0 -9.0 5.7 -3.2 SP400 -0.9 1.7 -6.3 1.6 5.5 3.3 3.9 5.3 1.9 10.7 6.0 9.0 10.7 7.0 3.7 -6.1 -5.9 -6.0 -6.0 4.3 4.7 15.6 7.3 8.0 -10.5 4.2 7.1 4.2 7.0 4.8 5.3 0.2 14.2 13.3 11.1 4.1 5.3 -6.5 -6.5 -20.0 SP500_micro 1.5 3.3 -16.0 1.7 5.5 3.3 3.9 5.3 1.9 11.7 10.3 12.2 12.9 11.9 8.8 -8.5 -11.7 -10.0 -11.1 8.0 10.4 14.9 15.0 10.3 -17.7 4.1 5.8 5.0 6.0 7.2 5.0 -9.5 16.3 13.9 12.3 11.0 6.5 3.0 -7.9 -1.5 SUGAR11 20.0 16.1 7.6 -3.0 3.2 -3.9 2.5 -3.1 -0.3 12.6 -6.7 12.3 -9.9 10.0 3.4 4.0 5.7 -0.5 0.9 7.8 -1.7 20.0 -5.6 19.5 -20.0 2.4 12.8 -0.6 9.9 -1.8 5.9 3.8 20.0 20.0 20.0 20.0 -11.7 12.1 -8.6 15.6 US10 4.5 19.1 20.0 3.9 -1.6 3.4 0.6 1.5 2.8 -11.1 10.8 6.4 3.6 11.3 12.8 -6.8 -7.4 -7.1 -7.1 17.6 15.2 2.4 5.2 11.8 2.3 4.5 -2.0 4.6 -0.1 2.5 2.4 -8.0 -2.1 -3.4 1.3 3.4 4.2 -20.0 20.0 6.4 US10U 4.4 17.9 20.0 5.2 -2.1 4.5 0.9 1.9 3.6 -14.8 14.0 7.9 3.2 14.7 16.9 -4.5 -3.2 -4.3 -4.0 20.0 17.8 2.2 5.2 14.2 -1.0 5.9 -3.5 6.0 -0.6 3.3 3.0 -1.7 -3.4 -6.8 -1.8 0.4 4.8 -17.7 20.0 16.7 US2 10.1 20.0 20.0 2.7 -1.1 2.3 0.4 1.0 1.9 -0.9 5.9 6.6 0.0 8.5 8.9 -20.0 -20.0 -20.0 -20.0 14.9 11.0 6.2 1.6 11.9 12.4 3.2 0.3 2.7 1.0 1.0 2.3 -20.0 2.8 5.7 9.3 7.6 0.4 -20.0 5.2 -12.2 US20 2.8 17.0 20.0 3.9 -1.6 3.4 0.6 1.5 2.7 -11.3 10.5 4.6 4.5 10.5 12.2 -1.7 -1.0 -1.3 -1.0 14.7 12.8 -0.0 4.6 9.4 -3.1 4.3 -3.8 4.8 -1.1 3.1 1.9 2.9 -4.2 -7.4 -3.0 -0.8 5.8 -10.0 20.0 20.0 US30 2.6 14.8 18.0 4.5 -1.9 3.8 0.7 1.7 3.1 -13.1 11.1 4.2 2.5 11.5 13.5 -6.7 -5.3 -5.7 -5.3 13.9 11.6 -1.3 2.7 8.8 -2.1 4.7 -5.6 5.2 -1.9 3.1 1.9 -4.5 -7.0 -9.4 -7.0 -5.2 2.5 -9.0 20.0 20.0 US5 6.3 20.0 20.0 3.9 -1.6 3.3 0.6 1.4 2.7 -10.5 10.3 6.9 2.5 11.3 12.6 -9.9 -10.9 -11.0 -10.9 18.9 15.8 3.8 4.9 13.1 6.7 4.5 -1.2 4.3 0.4 2.2 2.7 -14.2 -0.9 0.8 4.6 6.1 5.3 -20.0 20.0 -0.4 VIX 1.7 1.0 20.0 1.0 -1.2 0.5 -1.0 -1.3 -0.1 -7.2 -4.5 -2.5 -6.4 -5.0 -4.2 5.1 -20.0 -14.0 -20.0 0.9 -0.2 -2.1 -3.6 -0.2 NaN 1.1 -1.4 0.5 -1.1 -1.5 -0.1 NaN NaN NaN NaN NaN -12.1 -20.0 NaN NaN WHEAT 20.0 5.9 -17.6 -3.8 4.0 -4.8 3.2 -3.9 -0.3 -12.8 -12.8 7.5 -14.8 8.5 -11.5 -13.6 -15.1 -15.6 -15.7 -4.3 -12.7 2.2 -16.4 5.1 3.6 -2.7 -3.3 -5.0 -0.0 -5.3 0.7 -20.0 -18.1 10.9 7.4 -17.4 -20.0 -20.0 -19.5 -18.2 End of report for caleb_strategy_v3