******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240923_203912 produced at 2024-09-23 21:37:42.427138 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 0.04 0.00 -0.13 0.0 999.00 -999.00 0.00 0.00 -3.76 999999999.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.05 -0.06 0.0 0.53 -0.53 -0.05 -0.05 -7.16 60.0 -6 -6 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -25.08 59.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.06 0.0 0.10 -0.10 -0.06 -0.06 -1.76 3.0 -2 -2 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.28 24.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.05 0.0 0.09 -0.09 -0.04 -0.04 -6.31 12.0 -5 -5 caleb_strategy_v3 VIX False False 0.01 -0.03 -0.05 0.0 999.00 -999.00 -0.03 -0.03 -8.53 999999999.0 -5 -5 caleb_strategy_v3 FEEDCOW False False 0.04 -0.08 -0.03 0.0 0.33 -0.33 -0.08 -0.04 -0.75 8.0 -2 -1 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -1.47 4.0 -1 -1 caleb_strategy_v3 CAC True False 0.03 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.98 12.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.02 0.0 0.07 -0.07 -0.03 -0.03 -7.05 26.0 -12 -9 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -1.48 9.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.02 0.0 0.16 -0.16 0.00 0.00 -7.83 51.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.02 0.0 0.08 -0.08 -0.01 -0.01 -1.85 8.0 -1 -1 caleb_strategy_v3 SOYBEAN False False 0.02 -0.08 -0.02 0.0 0.13 -0.13 -0.08 -0.08 -0.81 7.0 -4 -4 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.01 0.0 0.32 -0.32 0.00 0.00 -0.73 23.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.01 0.0 0.10 -0.10 -0.02 -0.02 -1.17 9.0 -2 -2 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.01 0.0 0.17 -0.17 0.00 0.00 -0.39 10.0 0 0 caleb_strategy_v3 LUMBER-new False True 0.01 -0.01 -0.01 0.0 0.00 -0.01 -0.01 -0.01 -2.21 3.0 -2 -2 caleb_strategy_v3 EUROSTX False False 0.02 -0.02 -0.01 0.0 0.38 -0.38 -0.02 -0.02 -0.49 20.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -0.62 10.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.01 0.0 0.89 -0.89 0.00 0.00 -0.24 19.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.01 0.0 0.14 -0.14 -0.03 -0.04 -1.15 11.0 -2 -3 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.53 -0.53 0.00 0.00 -0.11 10.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.05 -0.01 0.0 0.21 -0.21 -0.05 -0.05 -0.17 4.0 -1 -1 caleb_strategy_v3 CAD False False 0.03 0.00 -0.01 0.0 0.75 -0.75 0.00 0.00 -0.42 29.0 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 JPY False False 0.03 0.00 0.00 0.0 0.52 -0.52 0.00 0.03 0.06 17.0 0 1 caleb_strategy_v3 CHF False False 0.05 0.26 -0.00 0.0 0.68 -0.68 0.26 0.10 -0.07 13.0 5 2 caleb_strategy_v3 SP400 False False 0.11 0.11 0.01 0.0 0.22 -0.22 0.11 0.11 0.10 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 2.43 68.0 -1 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.01 0.0 0.42 -0.42 0.02 0.02 0.70 23.0 1 1 caleb_strategy_v3 RICE False False 0.01 0.00 0.01 0.0 0.04 -0.04 0.00 0.00 0.91 4.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.01 0.0 0.07 -0.07 0.00 0.00 0.19 2.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.89 2.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.23 0.01 0.0 0.28 -0.28 0.23 0.23 0.16 6.0 5 5 caleb_strategy_v3 COCOA False False 0.02 0.00 0.01 0.0 0.57 -0.57 0.00 0.00 0.48 26.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.01 0.0 0.21 -0.21 0.00 0.00 0.15 6.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.01 0.0 0.48 -0.48 0.00 0.01 0.85 48.0 0 1 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 0.01 0.0 0.15 -0.15 0.01 0.02 1.07 18.0 1 3 caleb_strategy_v3 COPPER False False 0.04 0.00 0.01 0.0 999.00 -999.00 0.00 0.04 0.16 999999999.0 0 1 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.37 999999999.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.47 9.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.41 9.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 0.02 0.0 0.49 -0.49 0.00 0.05 0.42 10.0 0 1 caleb_strategy_v3 OJ False True 0.03 0.03 0.02 0.0 0.03 0.00 0.03 0.03 0.70 3.0 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 0.57 999999999.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.03 0.0 0.54 -0.54 0.00 0.00 0.74 13.0 0 0 caleb_strategy_v3 MILK False False 0.02 0.00 0.03 0.0 0.08 -0.08 0.00 0.02 1.73 5.0 0 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.03 0.0 0.12 -0.12 0.02 0.02 1.28 5.0 1 1 caleb_strategy_v3 US10 False False 0.04 0.00 0.03 0.0 0.68 -0.68 0.00 0.00 0.87 17.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.00 0.04 0.0 0.47 -0.47 0.00 0.05 0.86 10.0 0 1 caleb_strategy_v3 NZD False False 0.02 0.00 0.04 0.0 0.46 -0.46 0.00 0.00 1.63 21.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.02 0.04 0.0 0.43 -0.43 0.02 0.02 5.80 58.0 3 3 caleb_strategy_v3 DOW False False 0.01 0.01 0.04 0.0 0.49 -0.49 0.01 0.01 5.09 66.0 1 1 caleb_strategy_v3 AUD False False 0.02 0.10 0.05 0.0 0.45 -0.45 0.10 0.10 1.93 19.0 4 4 caleb_strategy_v3 EUR False False 0.05 0.05 0.05 0.0 0.68 -0.68 0.05 0.05 0.98 14.0 1 1 caleb_strategy_v3 LIVECOW False False 0.03 0.08 0.05 0.0 0.44 -0.44 0.08 0.10 2.14 17.0 3 4 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 GOLD_micro False False 0.01 0.02 0.07 0.0 0.52 -0.52 0.02 0.02 7.83 56.0 2 2 caleb_strategy_v3 US2 False True 0.07 0.00 0.07 0.0 0.00 0.00 0.00 0.00 0.99 13.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.08 0.0 0.14 -0.14 0.05 0.05 7.60 13.0 5 5 caleb_strategy_v3 GBP False False 0.03 0.03 0.09 0.0 0.64 -0.64 0.03 0.03 3.09 22.0 1 1 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.14 0.45 0.0 0.56 -0.56 0.14 0.21 12.91 16.0 4 6 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.00 0.75 0.0 0.96 -0.96 0.00 0.00 7.83 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.27 0.0 0.00 0.00 0.00 0.00 14.99 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.7 Shocked risk 16.8 Sum abs risk 31.7 Leverage 4.25 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2864379.69, 'annual_cash_vol_target': 716094.9225, 'daily_cash_vol_target': 44755.93265625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0040 0.6852 0.5877 9.4026 BITCOIN 1723.1373 64010.0000 2.6920 43.0717 BOBL 0.2589 119.9300 0.2159 3.4541 BTP 0.4823 121.0300 0.3985 6.3757 BUND 0.4813 134.7900 0.3571 5.7138 BUXL 1.1681 135.9800 0.8590 13.7443 CAC 64.6849 7532.5000 0.8587 13.7399 CAD 0.0026 0.7422 0.3465 5.5432 CANOLA 9.9457 600.2000 1.6571 26.5131 CHF 0.0053 1.1920 0.4462 7.1384 COCOA 155.9297 6312.0000 2.4704 39.5259 COFFEE 5.1342 261.1000 1.9664 31.4619 COPPER 0.0489 4.3520 1.1227 17.9635 CORN 4.8934 450.2500 1.0868 17.3891 COTTON2 1.1422 73.3400 1.5574 24.9188 CRUDE_W 1.1724 69.5700 1.6852 26.9628 DAX 151.3084 19041.0000 0.7946 12.7143 DOW 261.9603 42505.0000 0.6163 9.8609 DX 0.3538 100.5650 0.3518 5.6291 EUR 0.0045 1.1152 0.4027 6.4429 EURIBOR-ICE 0.0472 98.0500 0.0482 0.7707 EUROSTX 45.8060 4921.0000 0.9308 14.8932 FEEDCOW 1.8744 237.8250 0.7881 12.6100 GASOIL 11.4574 656.2500 1.7459 27.9343 GASOLINE 0.0352 1.9365 1.8169 29.0704 GAS_US_mini 0.0857 3.2850 2.6101 41.7620 GBP 0.0061 1.3344 0.4569 7.3110 GOLD_micro 18.3891 2652.1000 0.6934 11.0941 HEATOIL 0.0371 2.1736 1.7070 27.3124 JGB-SGX-mini 0.2621 144.8300 0.1810 2.8959 JPY 0.0000 0.0071 0.7086 11.3383 LEANHOG 1.0102 74.8500 1.3497 21.5950 LIVECOW 1.2825 183.8250 0.6977 11.1629 LUMBER-new 8.5168 523.5000 1.6269 26.0305 MILK 0.2917 21.8100 1.3377 21.4028 MXP 0.0005 0.0508 0.9560 15.2953 NASDAQ_micro 204.2288 20081.5000 1.0170 16.2720 NIKKEI 616.4572 38055.0000 1.6199 25.9186 NZD 0.0038 0.6279 0.6111 9.7782 OAT 0.4390 126.8300 0.3461 5.5382 OATIES 5.9104 367.0000 1.6105 25.7673 OJ 9.1012 477.8000 1.9048 30.4770 PALLAD 28.3378 1041.5000 2.7209 43.5338 PLAT 15.5673 972.1000 1.6014 25.6225 REDWHEAT 9.6096 590.0000 1.6288 26.0601 RICE 0.1389 15.6750 0.8862 14.1793 ROBUSTA 86.8943 5259.0000 1.6523 26.4367 RUSSELL 25.5217 2243.3000 1.1377 18.2030 SHATZ 0.0968 107.0950 0.0904 1.4460 SILVER-mini 0.4913 31.2500 1.5722 25.1557 SMI 86.2016 12010.0000 0.7177 11.4840 SOFR 0.0518 96.9450 0.0534 0.8552 SOYBEAN 11.8063 1080.0000 1.0932 17.4908 SOYMEAL 4.4014 329.5000 1.3358 21.3723 SOYOIL 0.7096 41.8900 1.6940 27.1037 SP400 26.8576 3147.5000 0.8533 13.6528 SP500_micro 41.4868 5773.5000 0.7186 11.4972 SUGAR11 0.3604 21.1300 1.7057 27.2915 US10 0.3420 114.7344 0.2981 4.7694 US10U 0.4745 118.8906 0.3991 6.3858 US2 0.1017 104.3359 0.0974 1.5588 US20 0.7169 125.0625 0.5732 9.1720 US30 1.1017 134.1562 0.8212 13.1391 US5 0.2242 110.2578 0.2033 3.2534 VIX 0.7513 17.7000 4.2445 67.9115 WHEAT 9.0994 642.7500 1.4157 22.6513 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 685.20 0.59 402.67 1.00 402.67 44755.93 111.15 6.68 74.30 BITCOIN 64.01 2.69 172.31 1.00 172.31 44755.93 259.74 -8.92 -231.64 BOBL 1199.30 0.22 258.90 1.12 289.16 44755.93 154.78 -1.53 -23.62 BTP 1210.30 0.40 482.28 1.12 538.63 44755.93 83.09 3.03 25.17 BUND 1347.90 0.36 481.35 1.12 537.60 44755.93 83.25 -1.29 -10.72 BUXL 1359.80 0.86 1168.09 1.12 1304.58 44755.93 34.31 -4.77 -16.35 CAC 753.25 0.86 646.85 1.12 722.43 44755.93 61.95 -4.65 -28.83 CAD 742.15 0.35 257.12 1.00 257.12 44755.93 174.07 -0.93 -16.11 CANOLA 120.04 1.66 198.91 0.74 146.70 44755.93 305.09 -10.55 -321.78 CHF 1490.00 0.45 664.77 1.00 664.77 44755.93 67.33 -0.41 -2.74 COCOA 631.20 2.47 1559.30 1.00 1559.30 44755.93 28.70 7.78 22.33 COFFEE 979.13 1.97 1925.32 1.00 1925.32 44755.93 23.25 5.65 13.14 COPPER 1088.00 1.12 1221.52 1.00 1221.52 44755.93 36.64 0.39 1.45 CORN 225.12 1.09 244.67 1.00 244.67 44755.93 182.92 -14.19 -259.49 COTTON2 366.70 1.56 571.11 1.00 571.11 44755.93 78.37 -6.87 -53.85 CRUDE_W 695.70 1.69 1172.38 1.00 1172.38 44755.93 38.18 3.09 11.81 DAX 190.41 0.79 151.31 1.12 168.99 44755.93 264.85 6.42 169.92 DOW 212.52 0.62 130.98 1.00 130.98 44755.93 341.70 6.41 219.09 DX 1005.65 0.35 353.81 1.00 353.81 44755.93 126.50 -11.45 -144.88 EUR 1393.94 0.40 561.32 1.00 561.32 44755.93 79.73 4.72 37.61 EURIBOR-ICE 2451.25 0.05 118.08 1.12 131.88 44755.93 339.37 6.77 229.66 EUROSTX 492.10 0.93 458.06 1.12 511.58 44755.93 87.48 -1.65 -14.43 FEEDCOW 1189.12 0.79 937.18 1.00 937.18 44755.93 47.76 -4.74 -22.65 GASOIL 656.25 1.75 1145.74 1.00 1145.74 44755.93 39.06 -8.67 -33.86 GASOLINE 813.33 1.82 1477.74 1.00 1477.74 44755.93 30.29 2.82 8.55 GAS_US_mini 82.12 2.61 214.36 1.00 214.36 44755.93 208.79 -3.12 -65.14 GBP 834.00 0.46 381.09 1.00 381.09 44755.93 117.44 10.15 119.18 GOLD_micro 265.21 0.69 183.89 1.00 183.89 44755.93 243.38 9.43 229.62 HEATOIL 912.91 1.71 1558.36 1.00 1558.36 44755.93 28.72 -14.16 -40.68 JGB-SGX-mini 144830.00 0.18 26213.75 0.01 184.38 44755.93 242.73 4.91 119.24 JPY 881.94 0.71 624.98 1.00 624.98 44755.93 71.61 0.32 2.27 LEANHOG 299.40 1.35 404.10 1.00 404.10 44755.93 110.76 11.29 125.02 LIVECOW 735.30 0.70 513.00 1.00 513.00 44755.93 87.24 7.40 64.54 LUMBER-new 143.96 1.63 234.21 1.00 234.21 44755.93 191.09 -5.39 -103.05 MILK 436.20 1.34 583.49 1.00 583.49 44755.93 76.70 10.52 80.72 MXP 254.25 0.96 243.05 1.00 243.05 44755.93 184.14 -2.65 -48.75 NASDAQ_micro 401.63 1.02 408.46 1.00 408.46 44755.93 109.57 -2.87 -31.49 NIKKEI 38055.00 1.62 61645.72 0.01 433.61 44755.93 103.22 0.18 1.89 NZD 627.90 0.61 383.73 1.00 383.73 44755.93 116.63 5.38 62.77 OAT 1268.30 0.35 439.01 1.12 490.31 44755.93 91.28 1.35 12.32 OATIES 183.50 1.61 295.52 1.00 295.52 44755.93 151.45 2.41 36.47 OJ 716.70 1.90 1365.18 1.00 1365.18 44755.93 32.78 9.98 32.73 PALLAD 1041.50 2.72 2833.78 1.00 2833.78 44755.93 15.79 3.53 5.57 PLAT 486.05 1.60 778.36 1.00 778.36 44755.93 57.50 -2.01 -11.55 REDWHEAT 295.00 1.63 480.48 1.00 480.48 44755.93 93.15 -14.94 -139.18 RICE 313.50 0.89 277.83 1.00 277.83 44755.93 161.09 2.33 37.49 ROBUSTA 525.90 1.65 868.94 1.00 868.94 44755.93 51.51 11.66 60.03 RUSSELL 112.16 1.14 127.61 1.00 127.61 44755.93 350.73 2.09 73.28 SHATZ 1070.95 0.09 96.79 1.12 108.09 44755.93 414.04 -3.04 -125.95 SILVER-mini 781.25 1.57 1228.31 1.00 1228.31 44755.93 36.44 4.56 16.61 SMI 1201.00 0.72 862.02 1.18 1018.77 44755.93 43.93 2.76 12.15 SOFR 2423.62 0.05 129.54 1.00 129.54 44755.93 345.50 7.14 246.61 SOYBEAN 540.00 1.09 590.31 1.00 590.31 44755.93 75.82 -11.51 -87.29 SOYMEAL 329.50 1.34 440.14 1.00 440.14 44755.93 101.69 -12.40 -126.14 SOYOIL 251.34 1.69 425.77 1.00 425.77 44755.93 105.12 -6.34 -66.70 SP400 3147.50 0.85 2685.76 1.00 2685.76 44755.93 16.66 1.80 3.00 SP500_micro 288.68 0.72 207.43 1.00 207.43 44755.93 215.76 1.69 36.42 SUGAR11 236.66 1.71 403.67 1.00 403.67 44755.93 110.87 4.54 50.30 US10 1147.34 0.30 342.01 1.00 342.01 44755.93 130.86 5.24 68.62 US10U 1188.91 0.40 474.51 1.00 474.51 44755.93 94.32 6.16 58.12 US2 2086.72 0.10 203.30 1.00 203.30 44755.93 220.14 3.56 78.29 US20 1250.62 0.57 716.92 1.00 716.92 44755.93 62.43 5.91 36.91 US30 1341.56 0.82 1101.69 1.00 1101.69 44755.93 40.62 3.11 12.63 US5 1102.58 0.20 224.20 1.00 224.20 44755.93 199.63 5.79 115.56 VIX 177.00 4.24 751.27 1.00 751.27 44755.93 59.57 -5.80 -34.54 WHEAT 321.38 1.42 454.97 1.00 454.97 44755.93 98.37 -11.36 -111.78 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 74.298 0.010 2.5 1.928 BITCOIN -231.639 0.043 2.5 -25.083 BOBL -23.620 0.004 2.5 -0.240 BTP 25.169 0.014 2.5 0.858 BUND -10.720 0.004 2.5 -0.109 BUXL -16.353 0.004 2.5 -0.166 CAC -28.831 0.014 2.5 -0.983 CAD -16.110 0.010 2.5 -0.418 CANOLA -321.779 0.010 2.5 -7.828 CHF -2.743 0.010 2.5 -0.071 COCOA 22.334 0.009 2.5 0.478 COFFEE 13.136 0.005 2.5 0.153 COPPER 1.445 0.043 2.5 0.157 CORN -259.493 0.010 2.5 -6.313 COTTON2 -53.855 0.009 2.5 -1.153 CRUDE_W 11.815 0.043 2.5 1.279 DAX 169.916 0.014 2.5 5.796 DOW 219.087 0.009 2.5 5.092 DX -144.880 0.010 2.5 -3.759 EUR 37.607 0.010 2.5 0.976 EURIBOR-ICE 229.656 0.014 2.5 7.833 EUROSTX -14.432 0.014 2.5 -0.492 FEEDCOW -22.653 0.013 2.5 -0.751 GASOIL -33.858 0.017 2.5 -1.468 GASOLINE 8.551 0.017 2.5 0.371 GAS_US_mini -65.140 0.043 2.5 -7.054 GBP 119.177 0.010 2.5 3.092 GOLD_micro 229.622 0.014 2.5 7.832 HEATOIL -40.677 0.017 2.5 -1.763 JGB-SGX-mini 119.242 0.043 2.5 12.912 JPY 2.274 0.010 2.5 0.059 LEANHOG 125.015 0.024 2.5 7.598 LIVECOW 64.537 0.013 2.5 2.139 LUMBER-new -103.054 0.009 2.5 -2.207 MILK 80.715 0.009 2.5 1.729 MXP -48.750 0.059 2.5 -7.155 NASDAQ_micro -31.493 0.009 2.5 -0.732 NIKKEI 1.890 0.043 2.5 0.205 NZD 62.774 0.010 2.5 1.629 OAT 12.321 0.014 2.5 0.420 OATIES 36.469 0.010 2.5 0.887 OJ 32.731 0.009 2.5 0.701 PALLAD 5.574 0.014 2.5 0.190 PLAT -11.550 0.014 2.5 -0.394 REDWHEAT -139.180 0.005 2.5 -1.846 RICE 37.495 0.010 2.5 0.912 ROBUSTA 60.033 0.005 2.5 0.701 RUSSELL 73.277 0.013 2.5 2.428 SHATZ -125.949 0.004 2.5 -1.277 SILVER-mini 16.611 0.014 2.5 0.567 SMI 12.146 0.014 2.5 0.414 SOFR 246.609 0.024 2.5 14.987 SOYBEAN -87.291 0.004 2.5 -0.812 SOYMEAL -126.139 0.004 2.5 -1.173 SOYOIL -66.697 0.004 2.5 -0.621 SP400 2.997 0.013 2.5 0.099 SP500_micro 36.417 0.009 2.5 0.846 SUGAR11 50.299 0.009 2.5 1.070 US10 68.624 0.005 2.5 0.870 US10U 58.124 0.005 2.5 0.737 US2 78.291 0.005 2.5 0.992 US20 36.914 0.005 2.5 0.468 US30 12.626 0.005 2.5 0.160 US5 115.565 0.005 2.5 1.464 VIX -34.544 0.099 2.5 -8.527 WHEAT -111.781 0.005 2.5 -1.483 ===================== Position diags ===================== AUD 2.88 BITCOIN 28.13 BOBL 1.57 BTP 2.83 BUND 0.84 BUXL 0.35 CAC 2.11 CAD 4.52 CANOLA 7.42 CHF 1.75 COCOA 0.61 COFFEE 0.27 COPPER 3.97 CORN 4.45 COTTON2 1.68 CRUDE_W 4.13 DAX 9.03 DOW 7.94 DX 3.28 EUR 2.07 EURIBOR-ICE 11.58 EUROSTX 2.98 FEEDCOW 1.58 GASOIL 1.69 GASOLINE 1.31 GAS_US_mini 22.61 GBP 3.05 GOLD_micro 8.30 HEATOIL 1.24 JGB-SGX-mini 26.28 JPY 1.86 LEANHOG 6.73 LIVECOW 2.89 LUMBER-new 4.09 MILK 1.64 MXP 27.03 NASDAQ_micro 2.55 NIKKEI 11.18 NZD 3.03 OAT 3.11 OATIES 3.68 OJ 0.70 PALLAD 0.54 PLAT 1.96 REDWHEAT 1.24 RICE 3.92 ROBUSTA 0.60 RUSSELL 11.62 SHATZ 4.20 SILVER-mini 1.24 SMI 1.50 SOFR 21.00 SOYBEAN 0.71 SOYMEAL 0.95 SOYOIL 0.98 SP400 0.55 SP500_micro 5.01 SUGAR11 2.36 US10 1.66 US10U 1.20 US2 2.79 US20 0.79 US30 0.51 US5 2.53 VIX 14.71 WHEAT 1.30 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.9 1.6 2.2 4.0 4 BITCOIN -25.1 -27.9 -22.3 0.0 0 BOBL -0.2 -0.4 -0.1 0.0 0 BTP 0.9 0.6 1.1 0.0 0 BUND -0.1 -0.2 -0.0 0.0 0 BUXL -0.2 -0.2 -0.1 -1.0 -1 CAC -1.0 -1.2 -0.8 0.0 0 CAD -0.4 -0.9 0.0 0.0 0 CANOLA -7.8 -8.6 -7.1 0.0 0 CHF -0.1 -0.2 0.1 5.0 5 COCOA 0.5 0.4 0.5 0.0 0 COFFEE 0.2 0.1 0.2 0.0 0 COPPER 0.2 -0.2 0.6 0.0 0 CORN -6.3 -6.8 -5.9 -5.0 -5 COTTON2 -1.2 -1.3 -1.0 -2.0 -2 CRUDE_W 1.3 0.9 1.7 1.0 1 DAX 5.8 4.9 6.7 3.0 3 DOW 5.1 4.3 5.9 1.0 1 DX -3.8 -4.1 -3.4 0.0 0 EUR 1.0 0.8 1.2 1.0 1 EURIBOR-ICE 7.8 6.7 9.0 0.0 0 EUROSTX -0.5 -0.8 -0.2 -1.0 -1 FEEDCOW -0.8 -0.9 -0.6 -2.0 -2 GASOIL -1.5 -1.6 -1.3 -1.0 -1 GASOLINE 0.4 0.2 0.5 0.0 0 GAS_US_mini -7.1 -9.3 -4.8 -12.0 -12 GBP 3.1 2.8 3.4 1.0 1 GOLD_micro 7.8 7.0 8.7 2.0 2 HEATOIL -1.8 -1.9 -1.6 -2.0 -2 JGB-SGX-mini 12.9 10.3 15.5 4.0 4 JPY 0.1 -0.1 0.2 0.0 0 LEANHOG 7.6 6.9 8.3 5.0 5 LIVECOW 2.1 1.8 2.4 3.0 3 LUMBER-new -2.2 -2.6 -1.8 -2.0 -2 MILK 1.7 1.6 1.9 NaN 0 MXP -7.2 -9.9 -4.5 -6.0 -6 NASDAQ_micro -0.7 -1.0 -0.5 0.0 0 NIKKEI 0.2 -0.9 1.3 0.0 0 NZD 1.6 1.3 1.9 0.0 0 OAT 0.4 0.1 0.7 0.0 0 OATIES 0.9 0.5 1.3 NaN 0 OJ 0.7 0.6 0.8 1.0 1 PALLAD 0.2 0.1 0.2 0.0 0 PLAT -0.4 -0.6 -0.2 0.0 0 REDWHEAT -1.8 -2.0 -1.7 -1.0 -1 RICE 0.9 0.5 1.3 NaN 0 ROBUSTA 0.7 0.6 0.8 1.0 1 RUSSELL 2.4 1.3 3.6 -1.0 -1 SHATZ -1.3 -1.7 -0.9 NaN 0 SILVER-mini 0.6 0.4 0.7 0.0 0 SMI 0.4 0.3 0.6 0.0 0 SOFR 15.0 12.9 17.1 NaN 0 SOYBEAN -0.8 -0.9 -0.7 -4.0 -4 SOYMEAL -1.2 -1.3 -1.1 -2.0 -2 SOYOIL -0.6 -0.7 -0.5 0.0 0 SP400 0.1 0.0 0.2 1.0 1 SP500_micro 0.8 0.3 1.3 0.0 0 SUGAR11 1.1 0.8 1.3 1.0 1 US10 0.9 0.7 1.0 0.0 0 US10U 0.7 0.6 0.9 0.0 0 US2 1.0 0.7 1.3 NaN 0 US20 0.5 0.4 0.5 0.0 0 US30 0.2 0.1 0.2 5.0 5 US5 1.5 1.2 1.7 3.0 3 VIX -8.5 -10.0 -7.1 -5.0 -5 WHEAT -1.5 -1.6 -1.4 -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 0.2 0.1 0.1 0.1 0.1 0.0 0.1 0.2 0.3 0.2 0.0 0.2 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 0.1 0.1 0.3 0.0 0.1 0.1 0.1 0.0 0.1 -0.0 0.2 -0.2 -0.1 -0.0 0.4 -0.2 0.6 -0.0 BITCOIN 0.1 -0.2 -0.6 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 -0.1 0.1 0.3 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -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 -0.1 0.0 BOBL 0.0 0.3 0.5 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.1 0.0 -0.1 0.1 0.1 0.2 -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 0.1 0.1 -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 0.1 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 0.5 0.3 -0.4 -0.5 -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 -0.0 0.2 0.1 0.0 0.1 0.1 -0.3 -0.0 -0.2 -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 0.0 -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 -0.0 0.1 -0.0 0.1 0.0 0.1 -0.2 -0.3 -0.5 -0.5 -0.7 -0.7 -0.2 -0.2 CAC 0.0 0.1 -0.6 0.0 0.1 0.1 0.1 0.3 0.0 0.0 -0.2 -0.0 0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 -1.1 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.3 -0.3 -0.3 -0.1 -0.6 0.4 0.2 0.0 0.1 CAD -0.2 0.5 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 -0.0 -0.1 -0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.1 0.1 -0.2 0.0 0.1 0.0 0.0 -0.1 0.0 -0.2 -0.5 -0.5 0.0 -0.1 0.4 -0.2 0.2 -0.1 CANOLA 0.0 -0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.1 -0.2 -0.2 -0.2 -0.3 -0.0 -0.1 0.0 -0.2 -0.0 -1.7 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 -0.2 0.1 -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 -0.0 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 0.6 0.1 -0.0 0.1 -0.0 0.1 0.0 -1.1 -0.5 -0.3 0.5 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 0.4 0.7 0.5 COFFEE -0.0 -0.0 0.1 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 0.4 0.1 0.6 0.1 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 0.3 0.1 0.4 0.2 0.4 0.6 0.6 -0.1 -0.3 0.2 -0.1 COPPER 0.3 -0.0 -0.4 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 -0.1 0.1 -0.1 0.1 -0.1 -0.1 -0.1 -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 0.1 0.2 -0.0 0.1 -0.1 -0.2 0.7 0.3 0.7 0.7 CORN 0.6 0.2 -0.6 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.4 0.1 -0.7 0.1 -0.1 -0.3 -0.3 -0.4 -0.4 -0.1 -0.2 0.0 -0.5 0.0 -1.6 -0.1 0.0 -0.2 0.0 -0.4 -0.0 -1.1 -0.5 0.2 -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 -0.0 -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 0.1 -0.6 0.4 0.2 0.4 0.2 -0.4 -0.4 -0.1 -0.2 CRUDE_W -0.3 -0.4 -0.5 -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 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.6 0.2 0.5 0.3 0.1 0.1 0.5 0.1 0.6 DAX 0.0 0.2 -0.3 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 0.1 0.2 0.0 -0.4 -0.1 0.1 0.2 -0.6 0.5 0.2 0.1 0.1 DOW 0.1 0.4 0.1 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.3 0.2 0.5 0.2 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.1 0.2 0.4 0.2 -1.5 0.1 0.0 0.1 0.1 0.2 0.1 -0.4 0.3 0.6 0.6 0.4 0.3 0.1 -0.1 -0.2 DX -0.0 -0.6 -0.6 0.1 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 -0.0 0.8 -0.5 -0.5 -0.6 -0.6 -0.1 0.2 -0.1 0.3 EUR -0.1 0.4 0.4 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.3 0.0 -0.1 0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.1 0.1 2.7 0.1 0.0 0.2 0.0 0.1 0.1 -0.5 -0.3 -0.6 0.2 0.3 0.0 -0.6 -0.2 -0.7 EURIBOR-ICE 0.0 0.4 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 0.1 0.1 1.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.3 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 0.1 0.0 0.4 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 0.2 0.0 -0.3 -0.0 0.0 0.0 0.0 0.2 0.0 0.2 -0.1 -0.2 -0.1 -0.6 0.2 0.0 -0.5 -0.2 FEEDCOW 0.5 -0.6 -0.6 -0.0 0.1 -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 0.2 -0.4 -0.0 -1.0 -0.1 0.1 -0.1 0.0 -0.1 -0.0 -0.8 0.5 0.3 -0.6 -0.6 0.2 0.7 0.5 0.7 GASOIL -0.4 -0.6 -0.6 -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 -0.2 -0.0 -0.1 -0.2 0.5 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.2 -0.4 -0.1 -0.1 -0.4 -0.2 -0.7 GASOLINE -0.2 -0.5 -0.5 -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 0.0 -0.0 -0.1 -2.7 -0.0 0.0 -0.1 0.1 -0.0 -0.0 1.1 0.3 0.6 0.4 0.2 0.3 0.6 0.6 0.7 GAS_US_mini 0.3 0.1 -0.2 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.2 -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 -0.0 0.2 -0.2 0.1 -0.3 0.0 -1.1 0.5 0.6 0.6 0.3 -0.2 -0.6 -0.2 -0.7 GBP 0.1 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 0.2 0.2 0.2 0.6 0.2 -0.7 0.3 -0.7 GOLD_micro 0.3 0.5 0.4 0.0 0.0 -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 -1.3 0.1 0.1 0.1 0.1 0.2 0.1 -0.7 0.3 0.3 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 -0.1 -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 0.2 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 0.2 0.1 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 -0.4 -0.0 0.5 0.3 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.4 0.6 -0.2 -0.0 0.1 -0.1 0.1 -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 -0.4 0.2 0.6 0.0 0.1 -0.0 0.1 -0.1 0.1 1.1 0.1 0.5 0.6 0.2 0.0 -0.2 0.2 0.1 LIVECOW 0.4 -0.4 0.0 -0.0 0.1 -0.2 0.1 -0.2 0.0 0.2 0.1 0.2 0.3 -0.0 -0.0 0.0 0.2 0.2 0.2 0.0 0.0 0.2 0.2 0.1 -2.0 -0.0 0.1 0.0 0.1 0.1 0.0 0.9 0.5 0.6 -0.5 0.6 -0.0 0.7 0.3 0.7 LUMBER-new -0.1 0.3 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.3 0.0 -0.4 -0.0 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.0 -0.3 -0.0 NaN -0.0 0.1 -0.1 0.0 -0.2 0.0 -1.2 -0.3 -0.1 0.3 0.3 0.1 -0.1 0.3 0.1 MILK 0.2 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 -0.2 0.4 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 -0.7 -0.2 0.5 0.6 0.6 -0.0 -0.7 0.2 -0.7 MXP 0.3 -0.3 -0.6 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 0.3 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 -0.0 -0.2 -0.6 -0.6 0.4 0.4 0.6 0.6 NASDAQ_micro 0.0 0.0 -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 0.1 -2.4 0.0 0.0 0.1 0.0 0.2 0.0 -0.3 0.2 0.2 0.2 0.1 0.1 0.1 -0.3 0.0 NIKKEI -0.1 -0.1 -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 0.1 -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 -0.0 -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 0.1 0.1 0.1 0.0 0.0 0.2 -0.0 -0.0 0.3 -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 0.0 0.5 0.0 -0.0 0.1 -0.0 0.0 0.0 0.6 -0.2 -0.1 -0.3 -0.6 -0.4 -0.5 0.1 0.1 OATIES 0.6 0.6 -0.1 -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 0.0 -0.0 -0.0 0.1 -0.1 0.0 -0.1 0.0 -0.1 0.4 0.1 0.5 0.1 0.1 0.3 0.2 0.2 0.2 0.2 0.2 0.0 0.5 0.1 -2.7 0.1 -0.0 0.2 0.0 0.3 0.0 1.0 -0.5 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 0.1 0.2 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 0.0 -0.0 0.0 0.7 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.1 -0.4 -0.2 -0.2 -0.0 -0.1 -0.2 -0.3 0.0 REDWHEAT 0.6 0.2 -0.5 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.1 -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 -0.0 -0.2 -0.0 -0.3 -0.0 -0.8 -0.5 0.4 0.1 -0.6 -0.7 -0.7 -0.7 -0.7 RICE 0.4 -0.1 -0.4 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.2 0.3 0.2 0.5 0.2 0.0 -0.2 0.4 0.2 0.4 0.1 0.0 0.2 0.2 0.1 -1.7 0.0 0.1 0.1 0.1 0.1 0.1 1.1 0.2 0.3 0.4 0.6 -0.7 -0.7 -0.7 -0.7 ROBUSTA -0.0 0.2 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.3 0.1 0.5 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 0.1 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 0.6 0.1 RUSSELL -0.0 0.1 0.1 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.1 0.1 0.3 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.1 -0.1 0.0 0.0 0.1 0.1 0.1 0.0 -0.0 0.2 0.4 0.2 0.3 0.1 -0.5 -0.3 -0.7 SHATZ -0.0 0.4 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 0.1 0.2 0.1 0.1 -0.7 -0.6 -0.5 -0.3 SILVER-mini 0.3 0.1 -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 0.1 0.1 0.2 0.1 0.3 0.0 0.0 0.0 0.1 0.1 0.1 -0.1 0.1 0.0 0.0 0.1 0.2 -0.1 0.1 0.3 SMI -0.6 -0.1 -0.1 0.0 0.1 0.1 0.1 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 0.2 -0.0 0.0 -0.5 -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 0.1 -0.9 0.1 -0.0 0.2 -0.0 0.2 0.0 0.2 -0.3 -0.2 0.0 0.2 0.3 -0.4 0.7 0.3 SOYBEAN 0.6 -0.0 -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 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 0.1 -0.4 0.0 -2.5 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.3 -0.2 0.2 -0.2 -0.5 0.0 -0.6 0.2 -0.4 SOYMEAL 0.6 0.1 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.4 0.1 -0.1 -0.1 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 -0.4 0.2 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 -0.0 -0.1 0.0 -0.2 0.0 -2.4 -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 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.2 0.2 0.1 -1.4 0.0 0.1 0.1 0.1 0.2 0.1 0.0 0.4 0.4 0.3 0.2 0.2 -0.2 -0.2 -0.7 SP500_micro 0.1 0.2 -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 0.0 0.1 0.1 0.3 0.1 -0.5 0.3 0.5 0.4 0.4 0.2 0.1 -0.3 -0.1 SUGAR11 0.6 0.6 0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.1 0.0 0.2 0.1 0.0 0.0 0.1 -0.0 0.2 -0.1 0.2 -2.7 0.0 0.1 -0.0 0.1 -0.1 0.1 0.3 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 -0.1 -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 0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 -0.0 0.1 0.1 -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 0.0 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 0.3 0.0 -0.7 0.2 -0.4 US20 0.1 0.5 0.6 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.3 0.0 0.2 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 -0.3 -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 0.1 0.1 -0.0 0.1 0.1 -0.3 0.0 -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 -0.7 -0.0 0.0 0.2 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 -0.1 -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 -0.7 -1.1 NaN NaN WHEAT 0.6 0.2 -0.5 -0.0 0.1 -0.1 0.0 -0.1 0.0 -0.0 -0.3 0.1 -0.5 0.1 -0.1 -0.3 -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 -0.3 0.5 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 -0.3 9.8 4.8 4.8 6.2 2.6 6.3 1.3 6.0 16.9 10.0 14.4 0.7 14.5 12.3 -0.1 -2.2 -1.1 -1.7 8.3 5.6 16.5 2.0 11.3 2.4 3.9 9.9 2.6 7.6 1.2 5.4 -0.0 8.8 -4.7 -2.1 -1.5 11.6 -5.5 17.4 -0.4 BITCOIN 2.3 -6.2 -18.7 1.6 4.8 -1.6 7.4 -1.7 6.0 16.4 -2.1 11.8 7.0 -0.4 -7.4 -5.4 -6.7 -5.7 -6.3 -4.6 -2.9 14.3 6.5 3.4 -20.0 -2.9 9.1 -0.8 6.5 6.3 1.1 -1.9 -5.5 -20.0 -20.0 0.0 -3.9 -3.5 -4.5 1.1 BOBL 0.2 10.2 16.9 3.3 -1.5 2.9 0.0 1.3 2.0 -0.0 3.7 4.1 -2.2 6.4 9.4 9.1 -12.7 -8.8 -12.5 8.6 6.2 3.4 0.5 6.5 4.5 3.5 1.7 2.8 1.4 1.0 2.7 -17.3 4.2 3.0 -3.5 -3.2 -20.0 -19.9 -5.7 -6.2 BTP 6.3 8.7 9.0 6.0 -2.8 5.3 0.1 2.4 3.7 7.9 17.3 14.5 17.5 16.8 19.8 6.3 4.2 4.0 3.5 17.7 15.4 12.1 13.2 16.7 -20.0 7.1 3.7 6.1 5.1 5.3 6.9 11.3 20.0 8.1 -11.8 -16.2 -20.0 -14.2 -1.2 7.0 BUND 0.1 8.4 13.3 3.9 -1.8 3.5 0.0 1.6 2.4 -2.1 5.7 4.7 0.9 7.2 11.1 -17.5 -1.7 -7.6 -4.2 8.8 7.2 1.8 1.7 5.8 1.3 4.0 0.7 3.6 0.8 1.9 2.6 0.1 2.7 -1.7 -8.5 -7.9 -20.0 -18.7 -4.6 -4.6 BUXL -1.5 6.2 8.6 4.6 -2.1 4.1 0.1 1.8 2.8 -7.9 5.0 1.0 0.9 4.9 10.6 -0.4 -2.0 -1.0 -1.8 5.8 4.9 -4.5 -0.5 1.7 -2.8 3.2 -4.3 3.5 -2.9 1.9 0.7 1.4 -6.6 -10.1 -15.5 -16.0 -20.0 -20.0 -6.5 -5.8 CAC 1.3 2.8 -18.9 2.7 7.5 4.8 6.1 7.5 3.4 2.3 -9.2 -1.2 1.0 6.1 -8.4 -6.8 -2.7 -5.9 -4.1 -7.2 -9.7 3.4 -2.3 -1.0 -8.5 -3.6 3.7 -4.1 2.4 0.2 -0.4 4.9 -13.7 -10.6 -3.4 -20.0 12.7 5.8 0.3 1.6 CAD -5.0 14.8 6.2 6.4 8.2 3.4 8.4 1.7 7.9 16.8 -0.4 -9.7 -13.6 10.3 10.6 -4.3 -3.6 -4.5 -4.1 7.7 2.5 4.8 -4.7 5.6 -1.5 4.3 8.2 1.7 2.7 -1.5 3.2 -3.2 -20.0 -16.7 0.4 -4.5 13.2 -7.0 6.9 -2.6 CANOLA 0.9 -7.0 -0.8 -1.4 2.5 -1.9 1.8 -1.6 0.2 6.4 -5.0 0.2 -6.4 -2.7 -4.7 -12.3 -10.8 -12.4 -12.7 -4.5 -5.4 2.2 -5.9 -1.7 -13.1 -0.8 2.3 -2.2 1.6 -3.4 0.6 -20.0 -6.8 4.4 -0.5 -2.5 -3.5 -11.1 4.8 -6.2 CHF -5.6 17.5 20.0 4.1 5.3 2.2 5.4 1.1 5.1 -1.6 7.6 -6.5 -1.6 10.4 12.8 -14.0 -16.2 -15.0 -15.6 15.6 12.7 0.1 4.0 7.8 4.2 4.9 -0.3 4.3 -0.0 1.8 2.3 -20.0 -20.0 -9.7 15.7 20.0 -3.2 -11.0 -11.4 -12.0 COCOA -5.7 5.6 9.2 -1.3 2.4 -1.9 1.7 -1.5 0.2 6.0 1.9 0.3 3.2 1.1 -1.5 20.0 20.0 20.0 20.0 1.6 4.8 1.9 10.5 1.3 -20.0 2.1 1.8 4.8 1.6 10.2 1.7 20.0 -4.4 -0.5 8.6 10.0 20.0 10.6 20.0 15.4 COFFEE -0.2 -0.4 3.6 -3.6 6.5 -5.0 4.6 -4.1 0.5 9.5 16.6 12.5 16.4 13.9 15.0 3.8 5.9 4.1 5.0 14.3 16.2 12.4 16.4 13.9 -20.0 6.0 3.2 6.9 5.2 8.1 6.1 7.8 8.9 12.7 20.0 20.0 -2.8 -9.0 6.3 -2.6 COPPER 9.9 -1.0 -13.5 1.4 4.0 -1.3 6.2 -1.4 5.0 13.7 -4.8 13.2 -1.4 10.4 -6.6 -4.1 -3.0 -3.2 -2.7 -2.0 -3.3 16.1 2.7 8.3 -18.2 1.3 5.9 -0.0 6.7 1.6 5.0 4.6 -1.0 2.9 -2.3 -5.5 20.0 8.4 20.0 20.0 CORN 17.9 4.9 -18.6 -3.6 6.6 -5.0 4.6 -4.1 0.5 7.6 -14.8 11.3 -18.1 7.1 -12.5 -17.2 -16.0 -20.0 -19.3 -8.8 -20.0 4.1 -20.0 2.6 -11.6 -4.8 1.8 -8.7 0.8 -10.0 -0.5 -20.0 -19.4 6.2 -0.8 -15.5 -1.4 -5.3 1.8 -0.3 COTTON2 15.4 20.0 -5.7 -2.7 4.9 -3.7 3.4 -3.1 0.4 11.7 -12.6 11.6 -12.2 9.1 -3.5 -10.2 -3.7 -9.8 -7.0 0.2 -8.9 13.4 -11.8 8.8 -20.0 0.6 6.9 -2.7 7.1 -2.7 4.7 -10.8 16.7 7.3 11.4 6.0 -12.5 -12.0 -2.8 -5.5 CRUDE_W -10.6 -13.1 -13.9 -5.1 1.4 -3.9 -0.4 -1.5 -3.6 12.9 -8.7 -1.8 4.6 -6.9 -11.4 12.5 12.7 12.8 12.9 -14.5 -10.1 3.1 -2.1 -9.3 -1.6 -4.6 4.3 -4.9 3.4 -1.8 -1.0 11.3 10.3 15.1 10.4 2.3 2.8 13.5 3.4 18.9 DAX 1.2 6.8 -10.6 2.4 6.7 4.3 5.5 6.7 3.0 9.3 8.0 8.2 13.6 13.1 10.2 -8.1 -10.2 -8.5 -9.4 6.0 5.3 10.7 9.8 9.0 10.1 2.1 5.1 2.8 5.1 6.3 3.7 -6.7 -3.5 3.9 5.5 -17.0 13.7 5.3 3.2 1.7 DOW 4.1 12.9 2.8 2.1 5.8 3.7 4.8 5.9 2.6 14.2 11.4 14.8 13.9 14.5 13.0 -8.7 -10.7 -9.4 -10.1 14.5 12.9 19.5 13.5 16.9 -11.5 5.4 5.5 4.8 6.2 5.1 6.0 -7.7 11.1 20.0 20.0 11.7 9.9 1.7 -4.4 -4.9 DX -0.4 -20.0 -19.2 4.8 6.2 2.6 6.3 1.3 5.9 -9.5 -10.6 -8.2 4.0 -15.0 -16.2 4.9 6.7 5.9 6.4 -20.0 -15.5 -9.1 -4.9 -15.6 -20.0 -6.2 -0.8 -4.7 -2.6 -1.6 -4.6 14.8 -20.0 -15.0 -20.0 -20.0 -1.8 6.2 -3.1 8.9 EUR -4.4 12.5 11.6 5.6 7.2 3.0 7.4 1.5 7.0 11.0 10.8 4.0 -2.5 12.5 14.7 -5.7 -7.1 -6.5 -6.8 13.8 11.1 8.1 4.3 10.6 20.0 6.5 1.4 5.6 3.6 3.1 4.9 -8.5 -13.9 -17.4 5.1 8.2 0.6 -19.4 -4.9 -20.0 EURIBOR-ICE 0.2 13.4 19.3 2.8 -1.3 2.5 0.0 1.1 1.7 0.5 5.8 4.1 4.3 6.9 9.0 3.5 -2.7 0.9 -1.0 11.4 9.4 4.5 5.1 8.8 12.4 3.3 1.2 2.7 1.4 1.6 2.7 1.6 5.4 8.0 2.5 2.2 -19.5 -20.0 0.6 2.7 EUROSTX -1.5 0.9 -16.8 2.3 6.3 4.1 5.2 6.4 2.9 7.5 1.9 2.5 10.5 6.6 -0.3 -4.2 -3.1 -4.5 -4.2 -2.0 -1.0 6.1 6.4 1.7 -2.3 -1.5 4.5 0.0 3.3 5.1 0.5 4.1 -4.9 -6.7 -2.2 -20.0 6.9 1.3 -15.9 -4.7 FEEDCOW 15.0 -18.5 -20.0 -3.6 6.5 -5.0 4.6 -4.1 0.5 16.6 -12.8 16.2 -11.7 -7.5 -12.2 20.0 -13.9 11.4 -0.4 -19.7 -20.0 18.7 -15.4 -1.0 -7.2 -4.8 5.7 -5.4 3.9 -3.2 -0.6 -15.5 19.8 8.6 -20.0 -19.1 5.6 20.0 14.9 20.0 GASOIL -11.1 -17.1 -17.3 -4.6 1.3 -3.5 -0.3 -1.3 -3.3 9.8 -12.5 -6.0 2.3 -11.1 -14.0 3.3 8.7 2.3 3.7 -19.0 -14.3 -4.2 -4.9 -15.2 3.5 -5.5 0.9 -4.2 -1.2 -1.7 -4.4 0.1 -5.0 -7.4 -11.3 -3.4 -3.7 -11.1 -5.9 -19.9 GASOLINE -7.4 -14.1 -13.9 -5.1 1.4 -4.0 -0.4 -1.5 -3.7 11.0 -9.2 0.8 2.8 -8.0 -11.9 15.5 20.0 20.0 20.0 -14.4 -10.4 4.3 -1.4 -8.0 -20.0 -4.1 4.4 -4.4 4.7 -0.7 -0.0 20.0 12.4 20.0 11.4 6.8 10.4 17.1 16.6 20.0 GAS_US_mini 10.6 4.2 -7.4 -6.1 1.7 -4.7 -0.4 -1.8 -4.3 17.8 -18.7 12.0 -20.0 2.0 -17.9 -20.0 -20.0 -20.0 -20.0 -7.7 -15.2 14.6 -20.0 3.1 20.0 -3.5 17.7 -6.3 9.2 -9.5 1.7 -20.0 20.0 20.0 20.0 8.7 -6.6 -17.0 -5.8 -19.7 GBP 2.1 12.8 10.3 6.0 7.7 3.2 7.8 1.6 7.4 20.0 19.2 19.0 14.8 19.7 19.0 0.7 -0.5 0.0 -0.3 20.0 19.1 20.0 13.7 20.0 -1.8 7.9 10.1 6.9 8.7 5.3 7.9 2.7 9.9 4.8 4.6 19.1 7.4 -20.0 9.2 -19.6 GOLD_micro 8.4 14.1 10.8 1.6 4.7 -1.6 7.3 -1.6 5.9 16.2 18.0 16.7 17.1 17.5 17.3 -12.5 -13.2 -12.3 -12.4 20.0 20.0 20.0 20.0 20.0 -9.6 6.2 9.0 5.5 8.3 6.0 7.5 -12.7 14.2 9.7 20.0 20.0 14.1 -2.4 13.2 3.0 HEATOIL -12.4 -16.7 -15.1 -4.9 1.4 -3.8 -0.4 -1.5 -3.5 10.5 -14.5 -8.2 -3.1 -12.8 -15.2 -6.0 4.8 -5.6 -2.5 -20.0 -16.7 -4.0 -8.1 -16.0 -20.0 -6.0 1.6 -5.9 -0.1 -3.0 -3.6 -8.6 -4.5 5.3 -1.7 -1.9 -6.9 4.8 -13.8 3.4 JGB-SGX-mini 4.9 15.5 11.5 2.3 -1.1 2.1 0.0 0.9 1.4 4.8 3.3 6.2 1.7 5.8 5.4 10.6 16.5 13.5 14.9 6.7 4.4 4.8 1.6 6.1 -8.2 2.3 0.9 1.3 1.5 0.1 2.1 20.0 9.2 1.7 2.6 -3.8 -9.2 -5.5 -9.5 4.1 JPY 0.8 20.0 20.0 2.4 3.1 1.3 3.1 0.6 3.0 -6.3 4.7 1.9 -3.9 6.9 8.2 -10.6 -14.9 -12.1 -13.4 10.6 6.4 -0.5 -2.4 6.8 20.0 2.7 -1.4 1.6 -0.2 -0.6 1.7 -20.0 -15.3 -1.3 14.3 10.6 -20.0 -20.0 -20.0 -20.0 LEANHOG 13.0 18.0 -5.1 -3.9 7.1 -5.4 5.0 -4.5 0.6 17.9 -6.3 18.6 -7.7 18.2 8.8 20.0 20.0 20.0 20.0 10.1 -4.7 19.3 -13.1 18.8 4.7 3.1 8.0 -1.6 7.7 -3.8 6.5 20.0 5.4 15.1 20.0 6.9 0.4 -4.9 5.3 3.9 LIVECOW 11.7 -11.8 0.9 -4.1 7.5 -5.8 5.3 -4.7 0.6 19.3 5.1 20.0 7.1 -0.2 -3.4 0.8 10.1 9.1 11.7 1.5 2.4 20.0 5.8 12.1 -15.1 -1.0 14.8 0.2 10.5 3.2 3.3 17.7 20.0 20.0 -14.1 20.0 -0.8 20.0 7.6 20.0 LUMBER-new -1.6 8.5 -3.2 -2.4 4.4 -3.3 3.1 -2.6 0.4 8.4 -8.3 1.6 -9.1 -3.9 -1.4 -19.2 -17.9 -18.6 -18.2 -2.8 -6.5 2.4 -8.7 -0.8 NaN -0.8 5.7 -3.9 2.4 -5.9 0.5 -20.0 -9.1 -1.8 8.8 8.2 2.3 -1.3 6.9 1.5 MILK 7.0 15.8 20.0 -2.6 4.7 -3.6 3.3 -2.9 0.4 -3.9 12.6 6.9 7.4 11.0 11.8 20.0 -11.5 18.6 2.0 19.0 17.2 7.5 8.8 15.2 13.9 4.8 0.5 4.4 1.7 2.0 3.7 -12.7 -7.7 14.4 20.0 20.0 -0.2 -20.0 6.8 -20.0 MXP 8.2 -7.9 -19.9 2.6 3.3 1.4 3.4 0.7 3.2 3.9 -7.8 4.5 -4.3 -2.2 -7.3 9.7 13.8 10.4 11.6 -8.0 -9.8 3.6 -4.7 -1.0 -20.0 -2.6 0.2 -3.3 1.2 -1.5 -0.3 20.0 -0.2 -6.5 -20.0 -20.0 13.5 12.5 17.9 19.3 NASDAQ_micro 1.1 0.0 -19.1 1.4 4.0 2.6 3.3 4.0 1.8 9.7 2.3 8.8 7.3 6.8 0.4 -6.5 -9.7 -7.8 -8.9 1.7 3.5 10.2 8.3 5.1 -17.9 2.0 4.4 2.8 4.4 5.2 3.2 -5.8 10.1 7.5 5.3 4.4 2.0 3.9 -9.2 0.2 NIKKEI -3.8 -3.9 -20.0 0.9 2.6 1.7 2.2 2.7 1.2 6.3 0.9 0.9 3.0 3.1 0.3 2.5 8.8 5.9 7.4 -2.2 -1.0 3.4 2.2 -0.5 -6.2 -1.7 1.9 -1.0 0.9 0.8 -0.6 20.0 -0.4 -2.4 -15.3 -12.3 10.8 1.4 9.7 0.5 NZD 0.8 16.9 3.4 4.0 5.2 2.1 5.3 1.1 5.0 14.1 7.5 9.3 1.1 12.9 11.5 -0.1 0.1 -0.1 -0.0 9.4 5.6 11.4 1.6 10.5 0.1 3.7 6.4 2.1 4.7 0.8 4.2 3.5 -1.0 -1.4 8.8 -1.5 4.7 -5.7 2.6 -0.4 OAT 2.1 12.2 8.9 4.2 -2.0 3.7 0.0 1.7 2.6 -7.9 1.8 0.3 -1.1 6.0 11.4 5.9 3.9 3.5 3.1 7.8 4.7 -3.5 -0.7 4.5 3.5 3.7 -4.1 2.7 -1.8 1.0 2.0 10.7 -6.6 -4.5 -10.6 -17.1 -12.5 -15.4 2.0 1.7 OATIES 20.0 20.0 -4.5 -3.0 5.5 -4.2 3.9 -3.5 0.5 5.3 -7.1 11.4 -12.9 11.9 -0.9 2.6 2.5 4.2 4.0 12.3 -1.4 12.7 -9.5 19.0 -20.0 2.9 2.5 -0.3 2.9 -1.8 4.5 3.7 -9.8 20.0 20.0 0.9 14.9 0.7 20.0 10.2 OJ 4.9 1.5 -1.4 -3.1 5.6 -4.3 4.0 -3.5 0.5 -7.1 13.8 5.8 14.6 10.2 11.5 14.6 12.3 12.3 11.2 15.7 17.3 4.2 20.0 11.9 -20.0 5.2 -1.4 6.1 1.1 8.8 3.8 17.9 -20.0 5.1 20.0 20.0 12.3 13.8 20.0 20.0 PALLAD 15.7 15.9 13.9 0.8 2.4 -0.8 3.7 -0.8 3.0 1.0 -0.3 4.8 -6.5 6.4 4.2 -1.6 -2.0 -1.7 -1.8 5.5 0.7 7.1 -4.4 9.0 14.7 2.2 -0.2 0.3 2.6 -1.3 3.5 6.2 2.4 6.6 4.9 10.1 -20.0 -20.0 -20.0 -20.0 PLAT 8.7 -0.0 -5.8 1.2 3.5 -1.2 5.4 -1.2 4.4 -1.6 -5.7 6.2 -4.6 5.3 -4.7 -4.3 -4.4 -4.6 -4.7 -0.1 -1.6 3.8 -1.1 4.2 5.2 0.4 -2.1 -1.4 2.3 -1.0 3.1 1.6 -15.5 -6.3 -7.1 -0.7 -2.4 -7.2 -7.9 0.9 REDWHEAT 19.8 6.1 -14.9 -3.9 7.1 -5.4 5.1 -4.5 0.6 -9.9 -15.8 3.7 -18.3 6.3 -14.5 -9.5 -6.3 -9.9 -8.7 -6.6 -14.6 -2.8 -19.6 0.7 -5.2 -3.7 -2.5 -6.3 -2.2 -7.2 -1.0 -14.7 -20.0 11.8 4.1 -19.7 -20.0 -20.0 -20.0 -20.0 RICE 11.5 -1.6 -11.1 -4.0 7.2 -5.5 5.1 -4.6 0.6 18.3 11.6 20.0 14.2 14.3 2.1 -10.3 20.0 8.0 20.0 4.8 3.8 17.5 9.3 12.1 -13.0 2.7 9.9 2.5 9.6 3.9 5.8 20.0 8.5 9.2 12.7 20.0 -20.0 -20.0 -20.0 -20.0 ROBUSTA -0.8 5.8 4.2 -2.5 4.5 -3.5 3.2 -2.8 0.4 5.5 12.9 8.8 12.7 11.7 12.5 20.0 20.0 20.0 20.0 20.0 20.0 13.6 20.0 20.0 -20.0 4.8 0.9 5.7 2.6 7.1 4.1 20.0 9.5 18.6 20.0 20.0 7.5 -4.0 16.6 2.9 RUSSELL -0.5 1.8 2.4 1.7 4.6 3.0 3.8 4.7 2.1 7.5 4.3 8.3 8.5 5.0 3.0 -4.7 -6.3 -5.4 -5.9 5.1 5.3 11.6 5.6 7.6 -0.8 3.8 3.1 3.8 4.6 3.6 4.2 -0.2 8.1 11.0 5.8 8.9 1.8 -14.3 -8.8 -20.0 SHATZ -1.1 13.1 20.0 2.5 -1.2 2.2 0.0 1.0 1.6 1.8 2.9 3.6 -2.1 5.7 7.4 -20.0 -20.0 -20.0 -20.0 8.4 5.7 4.5 -0.6 6.7 6.6 2.9 1.8 2.1 1.5 0.3 2.3 -20.0 4.4 6.8 2.1 3.3 -20.0 -18.4 -14.1 -10.2 SILVER-mini 9.7 2.1 -3.1 1.2 3.5 -1.2 5.4 -1.2 4.4 10.1 5.4 11.5 6.1 10.1 1.7 -7.1 -6.5 -6.5 -6.3 5.3 4.7 14.3 6.9 11.2 2.3 2.2 3.1 1.2 5.4 2.0 4.9 -1.6 4.4 1.2 0.3 4.0 6.6 -2.8 2.7 9.6 SMI -17.8 -3.2 -4.4 2.1 5.8 3.7 4.8 5.9 2.6 -5.8 10.0 -11.5 12.9 0.8 3.2 -0.7 0.0 -2.0 -1.6 -1.5 6.5 -7.4 11.4 -7.1 10.5 1.8 -2.1 5.9 -3.1 7.7 -2.1 9.1 -20.0 -20.0 7.7 7.2 -0.2 1.0 -13.6 -3.8 SOFR 2.3 19.9 20.0 5.2 -2.4 4.6 0.1 2.1 3.2 -16.2 15.4 -0.3 9.7 12.6 16.8 3.1 -0.3 1.4 0.3 20.0 20.0 -5.0 12.5 12.0 -7.0 5.8 -5.1 6.4 -2.5 4.2 2.0 4.7 -13.5 -6.0 0.2 6.6 9.8 -12.6 20.0 9.0 SOYBEAN 20.0 -1.2 -19.7 -2.3 4.1 -3.2 2.9 -2.6 0.3 8.5 -9.1 8.3 -9.6 1.7 -7.4 -6.4 1.0 -7.2 -4.5 -7.5 -14.4 5.9 -14.5 1.7 -18.9 -3.0 3.1 -4.9 1.7 -4.5 -0.1 -5.0 -9.3 6.6 -5.7 -15.2 0.4 -17.6 6.9 -11.6 SOYMEAL 18.2 4.6 -10.6 -2.6 4.8 -3.7 3.4 -3.0 0.4 6.1 -8.9 7.7 -11.3 6.3 -5.6 -6.9 3.1 -3.4 -0.7 -1.5 -8.6 4.9 -11.4 4.5 -20.0 -2.1 4.1 -4.1 1.6 -4.2 0.4 0.2 -15.1 5.3 3.5 -4.3 -20.0 -20.0 -20.0 -20.0 SOYOIL 6.8 -3.0 -0.0 -1.7 3.0 -2.3 2.1 -1.9 0.2 7.5 -6.8 2.2 -8.1 -0.7 -6.0 0.1 1.4 2.0 1.3 -4.4 -7.0 5.3 -8.3 0.1 -17.7 -1.2 4.5 -2.7 2.9 -3.1 1.0 -0.2 -3.6 6.0 -1.6 0.8 -2.8 -9.0 6.0 -3.2 SP400 0.0 3.6 -5.1 1.9 5.4 3.4 4.4 5.4 2.4 11.9 6.5 10.8 11.1 8.6 4.7 -6.0 -5.9 -6.0 -5.9 5.5 5.4 17.3 7.8 10.1 -10.7 4.4 6.4 4.2 7.0 4.8 5.6 0.2 15.6 13.5 10.8 4.7 5.3 -6.4 -6.6 -20.0 SP500_micro 2.0 7.0 -16.3 1.9 5.4 3.5 4.4 5.4 2.4 12.8 10.8 13.2 13.3 12.7 9.6 -8.5 -11.7 -10.0 -11.1 9.1 11.2 16.2 15.7 12.0 -18.1 4.3 5.4 5.1 6.0 7.1 5.3 -9.4 13.8 15.2 13.6 11.5 6.5 3.1 -8.0 -1.6 SUGAR11 20.0 17.7 8.3 -2.7 4.9 -3.8 3.5 -3.1 0.4 12.6 -5.7 12.9 -9.6 10.8 4.6 7.9 6.1 1.1 1.7 10.0 -0.7 20.0 -5.3 20.0 -20.0 2.7 10.0 -0.2 9.3 -1.5 6.1 4.7 20.0 20.0 20.0 20.0 -12.0 11.8 -9.0 15.3 US10 4.6 18.7 20.0 3.9 -1.8 3.5 0.0 1.6 2.4 -12.1 11.1 4.7 3.9 10.6 12.8 -6.9 -7.4 -7.1 -7.1 17.3 15.5 -0.1 5.5 10.2 2.3 4.5 -2.6 4.7 -0.8 2.7 2.0 -7.6 -2.6 -3.7 1.2 3.0 4.1 -20.0 20.0 6.5 US10U 4.5 17.5 20.0 5.2 -2.4 4.6 0.1 2.0 3.2 -15.9 14.2 5.3 3.5 13.6 16.6 -4.5 -3.2 -4.3 -4.0 20.0 18.0 -1.1 5.5 12.0 -1.0 5.7 -4.2 6.1 -1.7 3.4 2.3 -1.3 -4.3 -7.5 -1.9 -0.2 4.8 -17.7 20.0 17.0 US2 10.5 20.0 20.0 2.7 -1.3 2.4 0.0 1.1 1.7 -2.6 6.2 6.3 0.2 8.4 9.0 -20.0 -20.0 -20.0 -20.0 15.1 11.5 5.3 1.8 11.5 12.6 3.2 0.1 2.8 0.8 1.1 2.2 -20.0 3.7 6.2 10.0 7.8 0.3 -20.0 5.2 -12.3 US20 3.0 16.6 20.0 3.9 -1.8 3.5 0.0 1.5 2.4 -12.0 10.6 2.4 4.7 9.5 12.0 -2.0 -1.0 -1.4 -1.1 14.1 12.9 -2.6 4.8 7.6 -3.2 4.1 -4.2 4.9 -2.0 3.2 1.3 3.2 -5.5 -8.1 -3.2 -1.4 5.8 -10.0 20.0 20.0 US30 2.4 14.2 17.9 4.4 -2.1 3.9 0.1 1.8 2.7 -13.5 11.1 1.1 2.6 9.9 12.9 -7.0 -5.3 -5.8 -5.4 13.0 11.4 -4.6 2.8 6.5 -2.2 4.3 -6.2 5.2 -3.3 3.1 1.0 -4.2 -8.6 -10.2 -7.3 -5.9 2.4 -9.1 20.0 20.0 US5 6.2 20.0 20.0 3.9 -1.8 3.4 0.0 1.5 2.4 -11.5 10.6 5.5 2.8 10.9 12.7 -10.1 -10.9 -11.0 -10.9 18.8 16.2 1.6 5.3 11.8 6.8 4.5 -1.6 4.4 -0.2 2.4 2.4 -13.8 -1.3 0.6 4.8 5.9 5.3 -20.0 20.0 -0.3 VIX 1.9 0.2 20.0 0.9 -1.0 0.5 -1.0 -1.3 -0.2 -7.0 -4.6 -2.9 -6.5 -5.3 -4.3 4.8 -20.0 -13.4 -20.0 0.8 -0.2 -2.2 -3.7 -0.5 NaN 1.0 -1.1 0.5 -1.1 -1.6 -0.2 NaN NaN NaN NaN NaN -12.2 -20.0 NaN NaN WHEAT 20.0 7.6 -16.1 -3.5 6.3 -4.8 4.5 -4.0 0.5 -4.6 -12.8 8.4 -15.0 9.2 -11.2 -13.4 -15.0 -15.4 -15.6 -3.6 -12.2 5.0 -16.2 5.8 3.7 -2.5 1.8 -5.0 1.5 -5.4 1.2 -20.0 -10.9 15.4 7.6 -18.0 -20.0 -20.0 -19.8 -18.0 End of report for caleb_strategy_v3