******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240924_203911 produced at 2024-09-24 21:38:12.506563 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.14 0.0 999.00 -999.00 0.00 0.00 -3.94 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 -25.38 59.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.07 -0.06 0.0 0.10 -0.10 -0.07 -0.03 -1.72 3.0 -2 -1 caleb_strategy_v3 VIX False False 0.01 -0.03 -0.06 0.0 999.00 -999.00 -0.03 -0.03 -8.92 999999999.0 -5 -5 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.05 0.0 0.09 -0.09 -0.04 -0.04 -6.11 12.0 -5 -5 caleb_strategy_v3 MXP False False 0.01 -0.05 -0.05 0.0 0.54 -0.54 -0.05 -0.06 -6.01 60.0 -6 -7 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.01 24.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.03 0.0 0.33 -0.33 -0.04 -0.04 -0.69 8.0 -1 -1 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -1.37 4.0 -1 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.02 0.0 0.07 -0.07 -0.03 -0.03 -7.67 26.0 -9 -9 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.01 -1.51 9.0 -2 -1 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.02 0.0 0.16 -0.16 0.00 -0.01 -7.20 51.0 0 -2 caleb_strategy_v3 CAC True False 0.03 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.74 12.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.02 0.0 0.08 -0.08 -0.01 0.00 -1.89 8.0 -1 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.01 0.0 0.10 -0.10 -0.02 -0.02 -1.15 9.0 -2 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.01 0.0 0.32 -0.32 0.00 -0.03 -0.65 23.0 0 -2 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.01 0.0 0.17 -0.17 0.00 0.00 -0.31 10.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 -0.02 -0.01 0.0 0.39 -0.39 -0.02 -0.02 -0.28 20.0 -1 -1 caleb_strategy_v3 LUMBER-new False True 0.01 -0.01 -0.01 0.0 0.00 -0.01 -0.01 -0.01 -1.58 3.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.08 -0.01 0.0 0.13 -0.13 -0.08 -0.08 -0.77 7.0 -4 -4 caleb_strategy_v3 BUXL False False 0.05 -0.05 -0.01 0.0 0.21 -0.21 -0.05 0.00 -0.17 4.0 -1 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.04 -0.01 0.0 0.14 -0.14 -0.04 -0.05 -1.07 11.0 -3 -4 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.00 0.0 0.89 -0.89 0.00 0.00 -0.10 19.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.00 0.0 0.04 -0.04 0.00 0.00 -0.01 4.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.00 0.0 0.52 -0.52 0.00 0.00 -0.07 10.0 0 0 caleb_strategy_v3 JPY False False 0.03 0.03 -0.00 0.0 0.52 -0.52 0.03 0.00 -0.04 17.0 1 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.46 10.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.00 0.00 0.0 0.33 -0.33 0.00 0.00 0.15 36.0 0 0 caleb_strategy_v3 CHF False False 0.05 0.10 -0.00 0.0 0.68 -0.68 0.10 0.05 -0.05 13.0 2 1 caleb_strategy_v3 CAD False False 0.03 0.00 0.00 0.0 0.76 -0.76 0.00 0.00 0.06 29.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.01 0.0 0.27 -0.27 0.00 0.00 2.65 68.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.01 0.0 0.41 -0.41 0.02 0.02 0.76 23.0 1 1 caleb_strategy_v3 US30 False False 0.05 0.23 0.01 0.0 0.28 -0.28 0.23 0.23 0.12 6.0 5 5 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.01 0.0 0.07 -0.07 0.00 0.00 0.17 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 0.81 2.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.03 0.01 0.0 0.15 -0.15 0.03 0.04 1.25 18.0 3 5 caleb_strategy_v3 COCOA False False 0.02 0.00 0.01 0.0 0.58 -0.58 0.00 0.00 0.51 26.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.11 0.01 0.0 0.22 -0.22 0.11 0.22 0.13 2.0 1 2 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.01 0.0 0.21 -0.21 0.00 0.00 0.17 6.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.01 0.01 0.0 0.49 -0.49 0.01 0.00 1.10 48.0 1 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.41 999999999.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.44 9.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.63 999999999.0 0 0 caleb_strategy_v3 OJ False False 0.03 0.03 0.02 0.0 0.08 -0.08 0.03 0.03 0.71 3.0 1 1 caleb_strategy_v3 MILK False False 0.01 0.01 0.02 0.0 0.07 -0.07 0.01 0.01 1.53 5.0 1 1 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.42 9.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.03 0.0 0.54 -0.54 0.00 0.00 0.68 13.0 0 0 caleb_strategy_v3 COPPER False False 0.04 0.04 0.03 0.0 999.00 -999.00 0.04 0.08 0.80 999999999.0 1 2 caleb_strategy_v3 OAT False False 0.05 0.05 0.03 0.0 0.49 -0.49 0.05 0.05 0.51 10.0 1 1 caleb_strategy_v3 US10 False False 0.04 0.00 0.03 0.0 0.68 -0.68 0.00 0.00 0.83 17.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.01 0.04 0.0 0.49 -0.49 0.01 0.00 5.43 66.0 1 0 caleb_strategy_v3 NZD False False 0.02 0.00 0.04 0.0 0.47 -0.47 0.00 0.02 1.84 21.0 0 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.04 0.0 0.12 -0.12 0.02 0.02 1.56 5.0 1 1 caleb_strategy_v3 AUD False False 0.02 0.10 0.05 0.0 0.46 -0.46 0.10 0.10 2.24 19.0 4 4 caleb_strategy_v3 EUR False False 0.05 0.05 0.05 0.0 0.69 -0.69 0.05 0.10 1.06 14.0 1 2 caleb_strategy_v3 DAX False False 0.01 0.02 0.05 0.0 0.43 -0.43 0.02 0.02 6.56 58.0 3 3 caleb_strategy_v3 BTP False False 0.05 0.05 0.06 0.0 0.47 -0.47 0.05 0.05 1.20 10.0 1 1 caleb_strategy_v3 US5 False False 0.04 0.12 0.06 0.0 0.96 -0.96 0.12 0.15 1.47 25.0 3 4 caleb_strategy_v3 LIVECOW False False 0.03 0.10 0.06 0.0 0.44 -0.44 0.10 0.10 2.36 17.0 4 4 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.08 0.0 0.14 -0.14 0.05 0.05 8.08 13.0 5 5 caleb_strategy_v3 GOLD_micro False False 0.01 0.02 0.08 0.0 0.53 -0.53 0.02 0.01 8.35 56.0 2 1 caleb_strategy_v3 US2 False True 0.07 0.00 0.08 0.0 0.00 0.00 0.00 0.00 1.06 13.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.03 0.10 0.0 0.64 -0.64 0.03 0.03 3.30 22.0 1 1 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.21 0.51 0.0 0.56 -0.56 0.21 0.28 14.35 16.0 6 8 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.00 0.86 0.0 0.95 -0.95 0.00 0.00 9.04 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.17 0.0 0.00 0.00 0.00 0.00 13.84 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.4 Shocked risk 18.5 Sum abs risk 32.4 Leverage 4.37 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2859498.92, 'annual_cash_vol_target': 714874.73, 'daily_cash_vol_target': 44679.670625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0040 0.6889 0.5829 9.3262 BITCOIN 1685.3622 64195.0000 2.6254 42.0061 BOBL 0.2477 120.0500 0.2063 3.3010 BTP 0.4756 121.3400 0.3919 6.2709 BUND 0.4623 134.8900 0.3428 5.4841 BUXL 1.1364 136.0200 0.8354 13.3672 CAC 65.4507 7610.5000 0.8600 13.7601 CAD 0.0027 0.7452 0.3578 5.7244 CANOLA 10.0003 614.7000 1.6269 26.0297 CHF 0.0052 1.1952 0.4388 7.0205 COCOA 152.4927 6327.0000 2.4102 38.5630 COFFEE 5.0401 264.3000 1.9069 30.5112 COPPER 0.0566 4.5200 1.2530 20.0481 CORN 4.8111 449.5000 1.0703 17.1253 COTTON2 1.1240 74.1000 1.5168 24.2691 CRUDE_W 1.1545 70.8600 1.6293 26.0690 DAX 149.4753 19156.0000 0.7803 12.4849 DOW 256.7695 42499.0000 0.6042 9.6668 DX 0.3512 100.1800 0.3506 5.6095 EUR 0.0046 1.1201 0.4085 6.5361 EURIBOR-ICE 0.0456 98.0850 0.0465 0.7436 EUROSTX 45.7396 4963.0000 0.9216 14.7458 FEEDCOW 1.8334 238.0250 0.7703 12.3242 GASOIL 11.3661 667.2500 1.7034 27.2549 GASOLINE 0.0345 1.9682 1.7515 28.0234 GAS_US_mini 0.0864 3.2400 2.6659 42.6546 GBP 0.0061 1.3398 0.4518 7.2288 GOLD_micro 18.4247 2682.6000 0.6868 10.9892 HEATOIL 0.0367 2.2208 1.6510 26.4159 JGB-SGX-mini 0.2613 145.1700 0.1800 2.8805 JPY 0.0000 0.0070 0.6935 11.0967 LEANHOG 0.9927 74.9750 1.3240 21.1838 LIVECOW 1.2564 184.3250 0.6816 10.9064 LUMBER-new 8.6954 533.5000 1.6299 26.0780 MILK 0.2960 21.3400 1.3872 22.1953 MXP 0.0005 0.0511 0.9387 15.0188 NASDAQ_micro 199.3416 20147.5000 0.9894 15.8306 NIKKEI 594.5409 37640.0000 1.5795 25.2727 NZD 0.0039 0.6334 0.6206 9.9295 OAT 0.4314 127.0000 0.3397 5.4354 OATIES 5.8467 364.0000 1.6062 25.6996 OJ 9.3882 490.6000 1.9136 30.6178 PALLAD 27.9395 1062.0000 2.6308 42.0934 PLAT 16.0253 998.3000 1.6053 25.6842 REDWHEAT 9.4694 585.7500 1.6166 25.8661 RICE 0.1467 15.4150 0.9516 15.2258 ROBUSTA 85.5587 5038.0000 1.6983 27.1723 RUSSELL 24.9714 2246.5000 1.1116 17.7851 SHATZ 0.0928 107.1700 0.0866 1.3853 SILVER-mini 0.5350 32.6625 1.6379 26.2058 SMI 85.8598 12081.0000 0.7107 11.3712 SOFR 0.0511 96.9600 0.0527 0.8439 SOYBEAN 11.5956 1084.2500 1.0695 17.1113 SOYMEAL 4.3485 327.2000 1.3290 21.2641 SOYOIL 0.7394 43.3300 1.7064 27.3023 SP400 26.3409 3150.8000 0.8360 13.3761 SP500_micro 40.5427 5784.0000 0.7009 11.2151 SUGAR11 0.3585 21.6100 1.6588 26.5402 US10 0.3375 114.8125 0.2939 4.7029 US10U 0.4672 118.9062 0.3929 6.2865 US2 0.1001 104.3945 0.0958 1.5335 US20 0.7052 124.9375 0.5644 9.0309 US30 1.0836 133.9688 0.8089 12.9421 US5 0.2219 110.3750 0.2010 3.2166 VIX 0.7360 17.6500 4.1698 66.7172 WHEAT 8.9637 639.2500 1.4022 22.4357 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 688.95 0.58 401.58 1.00 401.58 44679.67 111.26 7.76 86.38 BITCOIN 64.20 2.63 168.54 1.00 168.54 44679.67 265.10 -8.84 -234.35 BOBL 1200.50 0.21 247.68 1.12 276.44 44679.67 161.63 -0.61 -9.84 BTP 1213.40 0.39 475.57 1.12 530.79 44679.67 84.18 4.19 35.26 BUND 1348.90 0.34 462.34 1.12 516.02 44679.67 86.59 -0.83 -7.22 BUXL 1360.20 0.84 1136.38 1.12 1268.31 44679.67 35.23 -4.72 -16.62 CAC 761.05 0.86 654.51 1.12 730.50 44679.67 61.16 -3.54 -21.66 CAD 745.20 0.36 266.61 1.00 266.61 44679.67 167.58 0.13 2.19 CANOLA 122.94 1.63 200.01 0.74 147.48 44679.67 302.95 -9.76 -295.75 CHF 1493.94 0.44 655.51 1.00 655.51 44679.67 68.16 -0.26 -1.76 COCOA 632.70 2.41 1524.93 1.00 1524.93 44679.67 29.30 8.12 23.79 COFFEE 991.12 1.91 1890.02 1.00 1890.02 44679.67 23.64 6.29 14.86 COPPER 1130.00 1.25 1415.90 1.00 1415.90 44679.67 31.56 2.35 7.42 CORN 224.75 1.07 240.56 1.00 240.56 44679.67 185.73 -13.52 -251.08 COTTON2 370.50 1.52 561.98 1.00 561.98 44679.67 79.50 -6.29 -50.02 CRUDE_W 708.60 1.63 1154.53 1.00 1154.53 44679.67 38.70 3.73 14.45 DAX 191.56 0.78 149.48 1.12 166.83 44679.67 267.82 7.18 192.22 DOW 212.50 0.60 128.38 1.00 128.38 44679.67 348.01 6.72 233.81 DX 1001.80 0.35 351.23 1.00 351.23 44679.67 127.21 -11.94 -151.86 EUR 1400.12 0.41 571.96 1.00 571.96 44679.67 78.12 5.24 40.93 EURIBOR-ICE 2452.12 0.05 113.97 1.12 127.20 44679.67 351.26 7.54 264.98 EUROSTX 496.30 0.92 457.40 1.12 510.50 44679.67 87.52 -0.92 -8.07 FEEDCOW 1190.12 0.77 916.71 1.00 916.71 44679.67 48.74 -4.26 -20.75 GASOIL 667.25 1.70 1136.61 1.00 1136.61 44679.67 39.31 -8.05 -31.65 GASOLINE 826.64 1.75 1447.84 1.00 1447.84 44679.67 30.86 3.03 9.36 GAS_US_mini 81.00 2.67 215.94 1.00 215.94 44679.67 206.91 -3.42 -70.83 GBP 837.38 0.45 378.32 1.00 378.32 44679.67 118.10 10.77 127.21 GOLD_micro 268.26 0.69 184.25 1.00 184.25 44679.67 242.50 10.10 244.95 HEATOIL 932.74 1.65 1539.94 1.00 1539.94 44679.67 29.01 -13.67 -39.65 JGB-SGX-mini 145170.00 0.18 26134.93 0.01 181.35 44679.67 246.37 5.38 132.51 JPY 881.25 0.69 611.19 1.00 611.19 44679.67 73.10 -0.19 -1.36 LEANHOG 299.90 1.32 397.06 1.00 397.06 44679.67 112.53 11.81 132.90 LIVECOW 737.30 0.68 502.58 1.00 502.58 44679.67 88.90 8.01 71.17 LUMBER-new 146.71 1.63 239.12 1.00 239.12 44679.67 186.85 -3.96 -73.97 MILK 426.80 1.39 592.06 1.00 592.06 44679.67 75.46 9.44 71.22 MXP 255.45 0.94 239.78 1.00 239.78 44679.67 186.33 -2.20 -40.94 NASDAQ_micro 402.95 0.99 398.68 1.00 398.68 44679.67 112.07 -2.51 -28.13 NIKKEI 37640.00 1.58 59454.09 0.01 412.55 44679.67 108.30 0.13 1.41 NZD 633.40 0.62 393.08 1.00 393.08 44679.67 113.66 6.23 70.82 OAT 1270.00 0.34 431.44 1.12 481.53 44679.67 92.79 1.62 15.04 OATIES 182.00 1.61 292.33 1.00 292.33 44679.67 152.84 2.17 33.23 OJ 735.90 1.91 1408.23 1.00 1408.23 44679.67 31.73 10.43 33.10 PALLAD 1062.00 2.63 2793.95 1.00 2793.95 44679.67 15.99 3.20 5.12 PLAT 499.15 1.61 801.27 1.00 801.27 44679.67 55.76 -1.65 -9.22 REDWHEAT 292.88 1.62 473.47 1.00 473.47 44679.67 94.37 -15.07 -142.22 RICE 308.30 0.95 293.38 1.00 293.38 44679.67 152.29 -0.03 -0.46 ROBUSTA 503.80 1.70 855.59 1.00 855.59 44679.67 52.22 12.52 65.38 RUSSELL 112.32 1.11 124.86 1.00 124.86 44679.67 357.85 2.24 80.02 SHATZ 1071.70 0.09 92.79 1.12 103.56 44679.67 431.42 -2.32 -100.06 SILVER-mini 816.56 1.64 1337.42 1.00 1337.42 44679.67 33.41 5.52 18.44 SMI 1208.10 0.71 858.60 1.18 1008.98 44679.67 44.28 2.91 12.87 SOFR 2424.00 0.05 127.85 1.00 127.85 44679.67 349.48 6.52 227.74 SOYBEAN 542.12 1.07 579.78 1.00 579.78 44679.67 77.06 -10.68 -82.30 SOYMEAL 327.20 1.33 434.85 1.00 434.85 44679.67 102.75 -12.05 -123.78 SOYOIL 259.98 1.71 443.63 1.00 443.63 44679.67 100.71 -4.85 -48.90 SP400 3150.80 0.84 2634.09 1.00 2634.09 44679.67 16.96 2.35 3.98 SP500_micro 289.20 0.70 202.71 1.00 202.71 44679.67 220.41 2.14 47.16 SUGAR11 242.03 1.66 401.47 1.00 401.47 44679.67 111.29 5.28 58.82 US10 1148.12 0.29 337.47 1.00 337.47 44679.67 132.40 4.95 65.56 US10U 1189.06 0.39 467.19 1.00 467.19 44679.67 95.64 5.59 53.42 US2 2087.89 0.10 200.11 1.00 200.11 44679.67 223.27 3.75 83.69 US20 1249.38 0.56 705.19 1.00 705.19 44679.67 63.36 5.21 33.02 US30 1339.69 0.81 1083.65 1.00 1083.65 44679.67 41.23 2.28 9.39 US5 1103.75 0.20 221.89 1.00 221.89 44679.67 201.36 5.77 116.26 VIX 176.50 4.17 735.97 1.00 735.97 44679.67 60.71 -5.95 -36.15 WHEAT 319.62 1.40 448.19 1.00 448.19 44679.67 99.69 -11.44 -114.05 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 86.382 0.010 2.5 2.241 BITCOIN -234.352 0.043 2.5 -25.377 BOBL -9.842 0.004 2.5 -0.100 BTP 35.259 0.014 2.5 1.203 BUND -7.216 0.004 2.5 -0.073 BUXL -16.623 0.004 2.5 -0.169 CAC -21.664 0.014 2.5 -0.739 CAD 2.186 0.010 2.5 0.057 CANOLA -295.751 0.010 2.5 -7.195 CHF -1.761 0.010 2.5 -0.046 COCOA 23.792 0.009 2.5 0.510 COFFEE 14.862 0.005 2.5 0.174 COPPER 7.417 0.043 2.5 0.803 CORN -251.085 0.010 2.5 -6.109 COTTON2 -50.015 0.009 2.5 -1.071 CRUDE_W 14.452 0.043 2.5 1.565 DAX 192.221 0.014 2.5 6.556 DOW 233.812 0.009 2.5 5.434 DX -151.864 0.010 2.5 -3.940 EUR 40.933 0.010 2.5 1.062 EURIBOR-ICE 264.983 0.014 2.5 9.038 EUROSTX -8.074 0.014 2.5 -0.275 FEEDCOW -20.745 0.013 2.5 -0.687 GASOIL -31.653 0.017 2.5 -1.372 GASOLINE 9.361 0.017 2.5 0.406 GAS_US_mini -70.834 0.043 2.5 -7.670 GBP 127.211 0.010 2.5 3.301 GOLD_micro 244.952 0.014 2.5 8.355 HEATOIL -39.649 0.017 2.5 -1.719 JGB-SGX-mini 132.511 0.043 2.5 14.349 JPY -1.363 0.010 2.5 -0.035 LEANHOG 132.897 0.024 2.5 8.077 LIVECOW 71.166 0.013 2.5 2.358 LUMBER-new -73.975 0.009 2.5 -1.584 MILK 71.218 0.009 2.5 1.525 MXP -40.939 0.059 2.5 -6.009 NASDAQ_micro -28.132 0.009 2.5 -0.654 NIKKEI 1.406 0.043 2.5 0.152 NZD 70.816 0.010 2.5 1.837 OAT 15.044 0.014 2.5 0.513 OATIES 33.227 0.010 2.5 0.808 OJ 33.098 0.009 2.5 0.709 PALLAD 5.119 0.014 2.5 0.175 PLAT -9.217 0.014 2.5 -0.314 REDWHEAT -142.217 0.005 2.5 -1.887 RICE -0.458 0.010 2.5 -0.011 ROBUSTA 65.385 0.005 2.5 0.764 RUSSELL 80.017 0.013 2.5 2.652 SHATZ -100.055 0.004 2.5 -1.015 SILVER-mini 18.444 0.014 2.5 0.629 SMI 12.870 0.014 2.5 0.439 SOFR 227.739 0.024 2.5 13.841 SOYBEAN -82.304 0.004 2.5 -0.765 SOYMEAL -123.780 0.004 2.5 -1.151 SOYOIL -48.896 0.004 2.5 -0.455 SP400 3.982 0.013 2.5 0.132 SP500_micro 47.157 0.009 2.5 1.096 SUGAR11 58.816 0.009 2.5 1.251 US10 65.558 0.005 2.5 0.831 US10U 53.425 0.005 2.5 0.677 US2 83.691 0.005 2.5 1.061 US20 33.025 0.005 2.5 0.418 US30 9.392 0.005 2.5 0.119 US5 116.261 0.005 2.5 1.473 VIX -36.149 0.099 2.5 -8.923 WHEAT -114.048 0.005 2.5 -1.513 ===================== Position diags ===================== AUD 2.89 BITCOIN 28.71 BOBL 1.64 BTP 2.87 BUND 0.88 BUXL 0.36 CAC 2.09 CAD 4.35 CANOLA 7.37 CHF 1.77 COCOA 0.63 COFFEE 0.28 COPPER 3.42 CORN 4.52 COTTON2 1.70 CRUDE_W 4.19 DAX 9.13 DOW 8.09 DX 3.30 EUR 2.03 EURIBOR-ICE 11.98 EUROSTX 2.99 FEEDCOW 1.62 GASOIL 1.70 GASOLINE 1.34 GAS_US_mini 22.41 GBP 3.06 GOLD_micro 8.27 HEATOIL 1.26 JGB-SGX-mini 26.68 JPY 1.90 LEANHOG 6.84 LIVECOW 2.95 LUMBER-new 4.00 MILK 1.62 MXP 27.35 NASDAQ_micro 2.60 NIKKEI 11.73 NZD 2.95 OAT 3.16 OATIES 3.72 OJ 0.68 PALLAD 0.55 PLAT 1.90 REDWHEAT 1.25 RICE 3.71 ROBUSTA 0.61 RUSSELL 11.86 SHATZ 4.37 SILVER-mini 1.14 SMI 1.51 SOFR 21.24 SOYBEAN 0.72 SOYMEAL 0.96 SOYOIL 0.94 SP400 0.56 SP500_micro 5.12 SUGAR11 2.37 US10 1.68 US10U 1.21 US2 2.83 US20 0.80 US30 0.52 US5 2.55 VIX 14.99 WHEAT 1.32 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 2.2 2.0 2.5 4.0 4 BITCOIN -25.4 -28.2 -22.5 0.0 0 BOBL -0.1 -0.3 0.1 0.0 0 BTP 1.2 0.9 1.5 1.0 1 BUND -0.1 -0.2 0.0 0.0 0 BUXL -0.2 -0.2 -0.1 -1.0 -1 CAC -0.7 -0.9 -0.5 0.0 0 CAD 0.1 -0.4 0.5 0.0 0 CANOLA -7.2 -7.9 -6.5 0.0 0 CHF -0.0 -0.2 0.1 2.0 2 COCOA 0.5 0.4 0.6 0.0 0 COFFEE 0.2 0.1 0.2 0.0 0 COPPER 0.8 0.5 1.1 1.0 1 CORN -6.1 -6.6 -5.7 -5.0 -5 COTTON2 -1.1 -1.2 -0.9 -3.0 -3 CRUDE_W 1.6 1.1 2.0 1.0 1 DAX 6.6 5.6 7.5 3.0 3 DOW 5.4 4.6 6.2 1.0 1 DX -3.9 -4.3 -3.6 0.0 0 EUR 1.1 0.9 1.3 1.0 1 EURIBOR-ICE 9.0 7.8 10.2 0.0 0 EUROSTX -0.3 -0.6 0.0 -1.0 -1 FEEDCOW -0.7 -0.8 -0.5 -1.0 -1 GASOIL -1.4 -1.5 -1.2 -1.0 -1 GASOLINE 0.4 0.3 0.5 0.0 0 GAS_US_mini -7.7 -9.9 -5.4 -9.0 -9 GBP 3.3 3.0 3.6 1.0 1 GOLD_micro 8.4 7.5 9.2 2.0 2 HEATOIL -1.7 -1.8 -1.6 -2.0 -2 JGB-SGX-mini 14.3 11.7 17.0 6.0 6 JPY -0.0 -0.2 0.2 1.0 1 LEANHOG 8.1 7.4 8.8 5.0 5 LIVECOW 2.4 2.1 2.7 4.0 4 LUMBER-new -1.6 -2.0 -1.2 -2.0 -2 MILK 1.5 1.4 1.7 1.0 1 MXP -6.0 -8.7 -3.3 -6.0 -6 NASDAQ_micro -0.7 -0.9 -0.4 0.0 0 NIKKEI 0.2 -1.0 1.3 0.0 0 NZD 1.8 1.5 2.1 0.0 0 OAT 0.5 0.2 0.8 1.0 1 OATIES 0.8 0.4 1.2 NaN 0 OJ 0.7 0.6 0.8 1.0 1 PALLAD 0.2 0.1 0.2 0.0 0 PLAT -0.3 -0.5 -0.1 0.0 0 REDWHEAT -1.9 -2.0 -1.8 -1.0 -1 RICE -0.0 -0.4 0.4 NaN 0 ROBUSTA 0.8 0.7 0.8 1.0 1 RUSSELL 2.7 1.5 3.8 0.0 0 SHATZ -1.0 -1.5 -0.6 NaN 0 SILVER-mini 0.6 0.5 0.7 0.0 0 SMI 0.4 0.3 0.6 0.0 0 SOFR 13.8 11.7 16.0 NaN 0 SOYBEAN -0.8 -0.8 -0.7 -4.0 -4 SOYMEAL -1.2 -1.2 -1.1 -2.0 -2 SOYOIL -0.5 -0.5 -0.4 0.0 0 SP400 0.1 0.1 0.2 1.0 1 SP500_micro 1.1 0.6 1.6 1.0 1 SUGAR11 1.3 1.0 1.5 3.0 3 US10 0.8 0.7 1.0 0.0 0 US10U 0.7 0.6 0.8 0.0 0 US2 1.1 0.8 1.3 NaN 0 US20 0.4 0.3 0.5 0.0 0 US30 0.1 0.1 0.2 5.0 5 US5 1.5 1.2 1.7 3.0 3 VIX -8.9 -10.4 -7.4 -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 0.4 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 0.2 0.1 0.2 0.3 0.0 0.1 0.1 0.1 0.0 0.1 -0.0 0.3 -0.1 -0.0 -0.0 0.4 -0.2 0.6 -0.0 BITCOIN 0.1 -0.2 -0.6 0.0 0.1 -0.0 0.1 -0.1 0.1 0.2 -0.1 0.2 0.3 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 0.2 0.1 -2.7 -0.0 0.1 -0.0 0.1 0.2 0.0 -0.1 -0.4 -0.6 -0.6 -0.1 -0.1 -0.1 -0.1 0.0 BOBL 0.1 0.3 0.6 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 -0.2 -0.2 -0.2 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 0.3 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 0.1 0.2 0.1 0.2 0.1 0.6 0.5 0.4 -0.3 -0.5 -0.7 -0.5 -0.0 0.2 BUND 0.1 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 -0.4 -0.0 -0.2 -0.1 0.1 0.1 0.0 0.1 0.1 0.2 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.1 -0.0 -0.3 -0.3 -0.7 -0.6 -0.2 -0.1 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 0.0 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 0.1 -0.2 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 -1.1 -0.0 0.1 -0.1 0.0 0.0 0.0 0.3 -0.2 -0.3 -0.1 -0.6 0.4 0.2 -0.0 0.0 CAD -0.2 0.5 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.0 -0.0 -0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 0.1 0.1 -0.0 0.0 -0.2 -0.4 -0.6 0.0 -0.1 0.4 -0.2 0.2 -0.1 CANOLA 0.1 -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 -0.0 -0.2 -0.2 -0.2 -0.3 -0.0 -0.1 0.0 -0.2 -0.0 -1.8 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 -0.1 0.1 0.0 -0.1 -0.1 -0.4 0.2 -0.2 CHF -0.2 0.6 0.6 0.0 0.1 0.1 0.1 0.0 0.1 0.1 0.2 -0.0 -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 -0.4 0.4 0.6 -0.1 -0.4 -0.4 -0.4 COCOA -0.2 0.2 0.3 -0.0 0.0 -0.0 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 0.1 0.1 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 0.4 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 0.1 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 0.4 0.1 -0.5 0.0 0.1 -0.0 0.1 -0.0 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 0.2 0.1 0.1 -2.4 0.0 0.1 0.0 0.1 0.1 0.1 0.2 0.3 0.2 -0.0 -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 -0.4 0.2 -0.0 -0.5 -0.0 -0.2 0.1 -0.0 COTTON2 0.6 0.6 -0.2 -0.0 0.1 -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 0.3 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 0.3 0.3 0.3 0.3 -0.1 -0.1 0.1 -0.1 -0.1 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.6 0.3 0.5 0.4 0.1 0.1 0.4 0.1 0.6 DAX 0.0 0.3 -0.3 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.2 0.1 0.5 0.2 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 1.3 0.0 0.1 0.1 0.1 0.2 0.0 -0.4 0.1 0.1 0.2 -0.5 0.5 0.2 0.1 0.1 DOW 0.2 0.5 0.1 0.0 0.0 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 -1.6 0.1 0.0 0.1 0.1 0.2 0.1 -0.4 0.2 0.6 0.6 0.4 0.3 0.1 -0.2 -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 -0.1 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 0.2 0.3 0.1 -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 0.1 0.3 0.0 -0.6 -0.2 -0.7 EURIBOR-ICE 0.1 0.4 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 0.0 0.2 0.1 0.2 0.1 0.1 0.1 -0.1 0.0 -0.0 0.1 0.1 0.1 0.1 0.1 1.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.3 0.1 0.1 -0.6 -0.7 0.0 0.1 EUROSTX -0.1 0.1 -0.6 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.1 0.1 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 0.1 0.0 0.0 0.2 0.0 0.2 0.0 -0.2 -0.1 -0.6 0.2 0.0 -0.5 -0.2 FEEDCOW 0.6 -0.6 -0.6 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.2 -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 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.8 0.4 0.3 -0.6 -0.6 0.2 0.7 0.5 0.7 GASOIL -0.3 -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 0.2 0.0 0.1 -0.2 -0.2 -0.0 -0.1 -0.1 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 -0.2 -0.5 -0.5 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.3 0.0 0.1 -0.1 -0.1 0.3 0.4 0.4 0.4 -0.1 -0.1 0.1 -0.0 -0.1 -2.7 -0.0 0.1 -0.1 0.1 -0.0 0.0 1.1 0.2 0.6 0.4 0.2 0.3 0.6 0.5 0.7 GAS_US_mini 0.4 0.2 -0.2 -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 0.1 2.7 -0.0 0.1 -0.2 0.1 -0.3 0.0 -1.1 0.1 0.6 0.6 0.3 -0.2 -0.6 -0.2 -0.7 GBP 0.1 0.5 0.4 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 -0.3 0.1 0.1 0.2 0.1 0.2 0.1 0.1 0.3 0.1 0.2 0.6 0.2 -0.7 0.3 -0.7 GOLD_micro 0.4 0.5 0.4 0.0 0.1 -0.0 0.1 -0.1 0.1 0.2 0.5 0.2 0.6 0.2 0.2 -0.2 -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 0.4 0.4 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 -0.1 -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 -0.0 -0.0 -0.2 0.2 -0.4 0.1 JGB-SGX-mini 0.2 0.5 0.4 0.0 -0.0 0.1 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.3 0.3 0.3 0.1 0.0 0.1 0.0 0.1 -1.1 0.0 0.0 0.0 0.0 0.0 0.0 1.1 0.3 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 -0.5 -0.1 0.4 0.3 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.5 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 -0.0 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 0.3 0.0 -0.2 0.2 0.1 LIVECOW 0.5 -0.3 0.0 -0.0 0.1 -0.2 0.1 -0.2 0.0 0.2 0.2 0.2 0.3 0.0 -0.0 -0.0 0.2 0.2 0.2 0.0 0.0 0.2 0.2 0.2 -2.1 -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 0.0 0.2 -0.1 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 -0.3 0.1 -0.4 -0.0 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.1 -0.3 0.0 NaN -0.0 0.1 -0.1 0.1 -0.2 0.0 -1.2 -0.0 0.1 0.3 0.3 0.1 -0.0 0.3 0.1 MILK 0.2 0.5 0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.3 0.0 0.3 0.1 0.1 0.4 -0.2 0.4 0.1 0.2 0.2 0.0 0.2 0.1 1.8 0.0 -0.0 0.1 0.0 0.1 0.0 -0.6 -0.5 0.3 0.6 0.6 -0.0 -0.7 0.2 -0.7 MXP 0.3 -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 0.0 -0.1 -0.6 -0.6 0.4 0.4 0.6 0.6 NASDAQ_micro 0.1 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 0.3 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 0.0 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 0.1 0.3 0.0 NZD 0.0 0.6 0.1 0.0 0.1 0.1 0.1 0.0 0.1 0.1 0.2 0.1 0.1 0.1 0.1 -0.0 0.0 -0.0 -0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.0 0.1 0.1 0.1 0.0 0.1 0.2 0.1 -0.0 0.3 -0.1 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 -0.0 0.1 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 -0.4 -0.6 -0.4 -0.5 0.1 0.1 OATIES 0.6 0.6 -0.1 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.0 -0.2 0.1 -0.5 0.1 0.0 0.0 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 -0.5 0.6 0.6 0.0 0.5 0.0 0.7 0.3 OJ 0.1 0.1 -0.1 -0.0 0.1 -0.1 0.1 -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 0.0 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.3 0.0 1.0 -0.5 0.3 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 0.0 -0.2 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 -0.1 0.1 1.9 0.0 0.0 0.0 0.0 -0.0 0.0 0.3 -0.1 0.1 0.1 0.3 -0.7 -0.7 -0.7 -0.7 PLAT 0.3 0.0 -0.2 0.0 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.1 -0.2 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.0 0.1 0.7 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.4 -0.2 -0.3 -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 -0.0 -0.4 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.0 0.3 0.2 0.5 0.1 0.0 -0.2 0.4 0.1 0.4 0.0 0.0 0.1 0.2 0.1 -1.7 0.0 -0.0 0.1 0.0 0.1 0.0 1.1 -0.1 0.1 0.3 0.6 -0.7 -0.7 -0.7 -0.7 ROBUSTA 0.3 0.3 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 0.4 0.4 0.4 0.4 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.1 0.0 0.2 0.0 1.1 0.3 0.6 0.6 0.6 0.3 -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 0.0 0.1 0.0 -0.0 0.2 0.3 0.2 0.3 0.1 -0.5 -0.3 -0.7 SHATZ 0.1 0.4 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.1 -0.1 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.1 -0.0 0.1 0.9 0.0 0.0 0.1 0.0 0.0 0.0 -1.1 0.2 0.3 0.1 0.1 -0.7 -0.6 -0.5 -0.3 SILVER-mini 0.4 0.1 -0.1 0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 0.2 0.1 0.2 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.2 0.2 0.1 0.3 0.0 0.1 0.0 0.1 0.1 0.1 -0.1 0.3 0.1 0.0 0.1 0.2 -0.1 0.1 0.3 SMI -0.6 -0.1 -0.2 0.0 0.0 0.1 0.1 0.2 0.0 0.0 0.3 -0.1 0.5 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.3 -0.1 1.4 0.0 0.0 0.2 -0.0 0.3 -0.0 0.5 -0.5 -0.6 0.2 0.2 -0.0 0.0 -0.5 -0.1 SOFR 0.0 0.6 0.6 0.1 -0.0 0.1 0.0 0.1 0.0 -0.1 0.4 -0.0 0.4 0.1 0.2 0.1 -0.0 0.0 0.0 0.2 0.2 -0.1 0.4 0.1 -0.9 0.1 -0.0 0.2 -0.0 0.2 0.0 0.3 -0.5 -0.3 -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 -0.4 0.0 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 0.1 -0.4 0.0 -2.6 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.3 -0.1 0.2 -0.2 -0.5 0.0 -0.6 0.2 -0.4 SOYMEAL 0.6 0.2 -0.3 -0.0 0.1 -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 0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.0 -0.2 0.1 0.1 -0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.3 -0.0 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 0.1 -0.2 0.0 -2.4 -0.0 0.1 -0.1 0.0 -0.1 0.0 -0.0 0.1 0.3 -0.0 0.0 -0.1 -0.3 0.2 -0.1 SP400 0.1 0.2 -0.2 0.0 0.0 0.1 0.1 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 -1.5 0.0 0.0 0.1 0.1 0.2 0.1 0.0 0.4 0.5 0.3 0.2 0.2 -0.2 -0.2 -0.7 SP500_micro 0.1 0.3 -0.5 0.0 0.0 0.1 0.1 0.2 0.0 0.1 0.3 0.2 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.2 0.4 0.1 -2.5 0.0 0.0 0.1 0.1 0.3 0.1 -0.5 0.3 0.5 0.5 0.4 0.2 0.1 -0.3 -0.1 SUGAR11 0.6 0.6 0.3 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.1 0.2 0.1 0.1 0.0 0.1 0.0 0.2 -0.1 0.2 -2.7 0.0 0.1 0.0 0.1 -0.0 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 0.0 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.2 -0.0 0.2 0.1 0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.4 -0.2 -0.2 0.0 0.1 0.1 -0.7 0.7 0.2 US10U 0.1 0.5 0.6 0.1 -0.0 0.1 0.0 0.1 0.0 -0.1 0.4 0.0 0.1 0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 -0.0 0.2 0.1 -0.1 0.1 -0.0 0.2 -0.0 0.1 0.0 -0.0 -0.3 -0.3 -0.1 -0.0 0.2 -0.6 0.7 0.6 US2 0.4 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 0.1 0.1 1.7 0.0 0.0 0.1 0.0 0.0 0.0 -1.1 0.0 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 0.1 0.1 -0.0 0.1 0.1 -0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 0.2 -0.3 -0.3 -0.1 -0.1 0.2 -0.3 0.7 0.7 US30 0.0 0.4 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 -0.1 0.1 0.1 -0.3 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.2 -0.4 -0.4 -0.3 -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 0.2 0.1 0.9 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.7 -0.1 -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 0.1 -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 0.3 -0.5 -0.0 0.1 -0.1 0.1 -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 -0.4 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 0.5 10.8 5.1 5.0 7.9 2.7 7.2 1.4 6.4 17.4 10.7 16.3 1.1 15.8 13.3 -0.1 -2.2 -1.1 -1.7 9.7 6.2 20.0 2.3 14.1 2.4 4.3 11.9 2.7 9.1 1.3 6.3 -0.0 12.7 -3.3 -0.4 -1.1 11.9 -5.6 17.8 -0.4 BITCOIN 4.2 -5.5 -18.5 2.1 7.9 -1.3 8.4 -1.5 6.6 17.2 -2.2 14.6 7.3 2.1 -6.9 -5.5 -6.7 -5.7 -6.3 -3.7 -2.7 15.8 6.9 5.3 -20.0 -2.5 8.4 -0.7 7.2 6.5 2.0 -1.9 -15.4 -20.0 -20.0 -1.8 -3.4 -3.5 -4.3 1.1 BOBL 3.4 10.2 17.3 3.3 -0.1 3.0 0.4 1.4 2.0 4.0 4.1 5.5 -2.1 6.7 9.5 10.1 -12.4 -7.8 -12.0 9.2 6.7 5.5 0.7 7.3 4.5 3.6 3.3 2.9 2.1 1.1 2.8 -16.2 4.9 4.4 -3.5 -2.9 -20.0 -19.8 -5.6 -6.0 BTP 8.5 9.2 9.7 6.0 -0.2 5.4 0.7 2.5 3.7 14.2 17.6 16.3 17.7 17.5 20.0 6.4 4.2 4.1 3.5 18.6 16.1 15.2 13.7 18.0 -20.0 7.2 6.5 6.2 6.2 5.3 7.2 11.8 20.0 12.1 -10.5 -15.4 -20.0 -14.0 -1.2 7.1 BUND 2.7 8.2 13.5 4.0 -0.1 3.6 0.5 1.6 2.4 1.0 6.1 5.4 1.0 7.2 11.3 -18.2 -1.9 -8.1 -4.5 9.2 7.6 3.1 1.9 6.2 1.4 4.1 2.4 3.8 1.4 2.0 2.7 0.1 2.3 -0.4 -8.7 -7.8 -20.0 -18.6 -4.5 -4.4 BUXL -0.1 5.5 8.6 4.6 -0.2 4.2 0.5 1.9 2.8 -7.1 5.1 0.1 0.9 3.6 10.4 -0.4 -2.0 -0.9 -1.8 5.4 4.9 -4.6 -0.5 0.9 -2.8 3.0 -2.5 3.5 -2.9 2.0 0.2 1.9 -8.2 -9.2 -16.4 -16.2 -20.0 -20.0 -6.5 -5.8 CAC 1.0 4.3 -18.6 2.9 6.9 4.8 6.3 7.4 3.9 10.5 -8.9 2.3 0.9 7.5 -7.8 -6.6 -2.7 -5.8 -4.1 -6.1 -9.0 7.2 -2.2 1.0 -8.4 -3.1 7.6 -3.9 4.3 0.2 0.6 4.9 -7.9 -8.6 -2.5 -20.0 12.5 5.8 -0.0 1.4 CAD -5.4 15.1 6.4 6.5 10.3 3.5 9.4 1.8 8.4 20.0 0.6 -0.4 -13.4 12.1 11.5 -4.3 -3.6 -4.5 -4.2 8.3 2.8 11.7 -4.3 8.1 -1.5 4.7 14.5 1.9 6.3 -1.3 4.6 -3.2 -14.7 -18.9 1.1 -4.2 13.2 -7.1 6.9 -2.7 CANOLA 3.1 -5.0 -0.9 -1.2 3.1 -1.9 2.3 -1.6 0.6 6.5 -4.8 1.6 -6.4 -1.4 -4.3 -12.4 -10.8 -12.5 -12.7 -3.9 -5.2 4.4 -5.9 -0.4 -13.1 -0.5 4.0 -2.1 2.6 -3.4 1.2 -20.0 -2.2 4.5 0.5 -2.1 -3.6 -11.1 4.6 -6.3 CHF -5.3 17.2 20.0 4.3 6.8 2.3 6.2 1.2 5.5 7.1 8.1 -4.3 -1.4 10.7 13.2 -14.1 -16.2 -15.0 -15.6 16.0 13.2 2.3 4.3 8.3 4.3 5.0 1.4 4.4 0.6 1.9 2.4 -20.0 -20.0 -12.7 13.9 20.0 -3.5 -11.0 -11.7 -12.0 COCOA -4.9 6.9 9.4 -1.1 2.9 -1.8 2.2 -1.5 0.6 5.8 1.9 1.5 3.2 1.4 -1.5 20.0 20.0 20.0 20.0 1.9 5.0 2.6 10.8 1.8 -20.0 2.1 1.9 4.8 1.8 10.2 1.9 20.0 -2.9 -0.0 8.3 9.7 20.0 10.8 20.0 15.7 COFFEE 1.3 2.1 4.2 -3.0 7.7 -4.7 5.8 -4.0 1.5 14.2 16.5 14.4 16.2 14.7 15.3 3.7 5.9 4.1 5.0 15.2 16.6 15.5 16.6 15.4 -20.0 6.0 5.9 6.7 6.1 7.7 6.3 7.8 9.3 11.8 20.0 20.0 -2.9 -9.0 6.4 -2.6 COPPER 13.6 2.2 -14.0 1.7 6.3 -1.0 6.7 -1.2 5.3 13.6 -4.4 13.7 -1.3 11.3 -5.1 -4.2 -3.1 -3.3 -2.8 0.3 -2.0 20.0 2.5 11.0 -17.9 1.8 11.3 0.3 8.6 1.5 5.7 4.4 12.0 5.8 -0.1 -4.8 20.0 8.6 20.0 20.0 CORN 18.6 6.2 -18.6 -3.1 7.9 -4.9 6.0 -4.1 1.5 11.7 -14.8 12.2 -18.3 8.6 -12.3 -16.3 -16.0 -19.8 -19.1 -8.4 -20.0 5.2 -20.0 3.2 -11.7 -4.7 2.6 -8.9 1.5 -10.4 -0.1 -20.0 -16.2 7.1 -0.8 -15.5 -1.1 -5.2 2.2 -0.3 COTTON2 17.2 20.0 -5.3 -2.3 5.9 -3.6 4.4 -3.1 1.2 12.4 -12.5 12.6 -12.2 10.3 -2.1 -10.3 -3.8 -9.8 -7.0 1.2 -8.5 14.9 -11.9 10.3 -20.0 1.1 7.1 -2.4 7.3 -2.5 5.1 -10.8 17.3 9.3 11.6 6.7 -12.7 -12.0 -3.2 -5.6 CRUDE_W -9.1 -12.7 -14.3 -5.0 3.2 -4.1 0.8 -1.6 -3.0 16.0 -8.6 1.0 4.5 -5.4 -10.9 12.6 12.7 12.8 12.9 -13.8 -10.2 7.0 -2.2 -6.8 -1.7 -4.2 7.2 -4.9 5.1 -1.8 0.1 11.4 11.4 14.8 11.6 3.1 2.5 13.4 3.1 18.7 DAX 0.4 8.1 -10.4 2.7 6.3 4.4 5.7 6.8 3.5 12.9 8.3 10.7 13.7 14.0 11.0 -8.1 -10.2 -8.5 -9.3 6.8 5.7 12.9 10.0 10.4 10.1 2.4 7.2 2.9 6.1 6.3 4.3 -6.6 3.9 3.5 5.5 -16.7 13.8 5.3 3.3 1.7 DOW 5.5 14.2 3.2 2.4 5.6 3.9 5.1 6.0 3.1 14.6 11.9 15.5 14.2 15.2 13.7 -8.6 -10.7 -9.4 -10.1 15.7 13.8 19.4 14.2 18.1 -11.8 5.5 4.5 4.9 5.9 5.2 6.1 -7.7 8.9 20.0 20.0 12.2 10.0 1.8 -4.6 -5.0 DX -1.3 -20.0 -19.8 5.0 7.9 2.7 7.2 1.4 6.4 -15.5 -11.4 -12.6 3.8 -16.2 -17.0 4.8 6.7 5.9 6.4 -20.0 -16.3 -11.8 -5.3 -16.8 -20.0 -6.4 -3.0 -4.9 -3.4 -1.7 -4.9 14.7 -20.0 -14.7 -20.0 -20.0 -1.8 6.2 -3.0 9.0 EUR -4.0 12.2 12.0 5.8 9.1 3.1 8.3 1.6 7.4 16.8 11.2 9.9 -2.3 13.4 15.1 -5.6 -7.0 -6.5 -6.8 13.8 11.1 9.7 4.4 11.1 20.0 6.7 4.2 5.7 4.4 3.2 5.2 -8.5 -10.9 -18.2 4.4 7.8 0.6 -19.5 -5.0 -20.0 EURIBOR-ICE 3.0 13.7 20.0 2.8 -0.1 2.5 0.3 1.2 1.7 5.1 6.0 5.6 4.3 7.2 9.1 3.8 -2.6 1.1 -0.9 12.0 9.8 6.8 5.4 9.6 12.3 3.4 2.5 2.7 2.0 1.6 2.8 2.2 6.3 9.3 2.6 2.6 -19.2 -20.0 0.9 2.8 EUROSTX -2.0 2.1 -17.0 2.5 5.9 4.1 5.4 6.4 3.3 11.8 2.0 4.8 10.5 7.8 0.3 -4.1 -3.1 -4.5 -4.2 -1.3 -0.7 8.6 6.4 3.3 -2.3 -1.1 7.0 0.2 4.6 5.1 1.4 4.1 0.3 -5.5 -1.7 -20.0 7.0 1.3 -16.2 -4.9 FEEDCOW 17.1 -17.4 -20.0 -3.1 7.9 -4.9 6.0 -4.2 1.6 17.0 -12.9 17.4 -12.0 -6.5 -11.8 20.0 -13.5 12.0 0.1 -18.6 -20.0 20.0 -16.1 1.7 -7.4 -4.6 5.4 -5.5 4.4 -3.3 -0.0 -14.7 18.2 9.1 -20.0 -19.2 5.9 20.0 15.2 20.0 GASOIL -9.0 -16.6 -17.7 -4.5 2.9 -3.6 0.7 -1.4 -2.7 13.9 -12.7 -3.8 2.2 -10.0 -13.8 3.4 8.6 2.3 3.8 -18.5 -14.5 -0.5 -5.1 -13.1 3.5 -5.5 2.4 -4.4 -0.2 -1.8 -3.8 0.1 -3.3 -7.8 -10.7 -3.6 -3.6 -11.0 -5.7 -19.6 GASOLINE -6.3 -13.9 -14.2 -5.0 3.2 -4.1 0.8 -1.6 -3.0 14.3 -9.3 3.2 2.6 -6.9 -11.4 14.6 20.0 20.0 20.0 -13.8 -10.6 6.6 -1.5 -6.1 -20.0 -3.7 6.2 -4.3 5.7 -0.7 0.9 20.0 9.2 20.0 11.7 7.1 10.1 17.0 16.3 20.0 GAS_US_mini 12.3 5.2 -7.1 -6.0 3.8 -4.8 0.9 -1.9 -3.6 13.5 -18.6 12.9 -20.0 4.5 -17.5 -20.0 -20.0 -20.0 -20.0 -6.4 -14.7 16.1 -20.0 5.3 20.0 -2.7 14.1 -6.0 10.2 -9.4 3.1 -20.0 6.2 20.0 20.0 7.9 -6.6 -17.2 -5.7 -19.9 GBP 3.2 14.1 11.2 6.2 9.7 3.3 8.8 1.7 7.9 20.0 19.7 20.0 15.2 20.0 19.8 0.8 -0.5 0.1 -0.3 20.0 20.0 20.0 14.3 20.0 -1.9 8.0 11.3 6.9 9.9 5.2 8.6 2.7 12.6 4.0 5.7 19.4 7.4 -20.0 9.2 -19.7 GOLD_micro 10.9 14.8 11.3 2.0 7.6 -1.2 8.1 -1.5 6.4 16.7 18.4 17.5 17.5 18.1 17.8 -12.5 -13.2 -12.3 -12.4 20.0 20.0 20.0 20.0 20.0 -9.9 6.2 10.5 5.4 9.2 5.7 7.9 -12.7 16.2 12.4 20.0 20.0 14.5 -2.4 13.1 3.0 HEATOIL -11.2 -16.2 -15.6 -4.9 3.1 -4.0 0.8 -1.6 -2.9 15.2 -14.8 -5.8 -3.4 -12.0 -15.1 -6.0 4.7 -5.6 -2.5 -20.0 -17.1 -0.1 -8.5 -13.9 -20.0 -5.9 3.8 -6.1 1.2 -3.2 -2.9 -8.7 -3.9 5.5 -1.2 -1.5 -6.8 4.9 -13.3 3.5 JGB-SGX-mini 6.5 15.2 12.0 2.4 -0.1 2.1 0.3 1.0 1.5 6.8 3.7 7.1 1.9 6.4 5.8 9.8 16.3 13.0 14.7 7.1 4.6 6.5 1.8 6.9 -8.3 2.4 2.2 1.4 2.1 0.1 2.3 20.0 12.2 2.5 3.1 -3.4 -9.4 -5.6 -9.8 3.8 JPY 1.3 20.0 20.0 2.5 3.9 1.3 3.5 0.7 3.2 -6.7 4.8 1.0 -3.8 6.0 8.1 -10.6 -14.8 -12.1 -13.3 10.4 6.6 -1.4 -2.3 5.9 20.0 2.7 -1.2 1.7 -0.4 -0.6 1.4 -20.0 -20.0 -3.2 12.0 10.3 -20.0 -20.0 -20.0 -20.0 LEANHOG 14.4 19.2 -5.0 -3.4 8.8 -5.4 6.6 -4.6 1.7 18.7 -6.2 19.7 -7.7 19.3 10.4 20.0 20.0 20.0 20.0 11.5 -4.1 20.0 -13.3 20.0 4.8 3.5 7.5 -1.3 7.9 -3.7 7.0 20.0 6.0 14.2 20.0 8.1 0.5 -4.9 5.4 3.8 LIVECOW 14.2 -9.0 0.7 -3.6 9.2 -5.6 6.9 -4.8 1.8 19.6 5.8 20.0 7.4 2.8 -2.0 -0.1 10.0 8.5 11.4 3.7 3.2 20.0 6.3 16.0 -15.4 -0.1 14.1 0.5 11.5 3.3 4.6 17.3 20.0 20.0 -14.5 20.0 -0.7 20.0 7.8 20.0 LUMBER-new 0.6 6.3 -1.7 -2.0 5.2 -3.2 4.0 -2.6 1.0 10.3 -8.2 5.6 -9.1 -1.1 -0.1 -19.1 -18.0 -18.6 -18.2 -1.8 -6.0 7.2 -8.4 1.7 NaN -0.0 10.2 -3.4 5.5 -5.5 2.2 -20.0 -1.1 3.6 8.8 9.2 2.2 -1.3 6.8 1.6 MILK 4.8 14.6 20.0 -2.2 5.5 -3.4 4.2 -2.9 1.1 -9.9 12.4 3.7 7.4 10.2 11.3 20.0 -10.6 20.0 3.5 17.7 16.6 2.6 8.7 12.5 13.8 4.6 -1.9 4.4 0.5 2.1 3.1 -10.7 -20.0 10.3 20.0 20.0 -0.1 -20.0 7.0 -20.0 MXP 10.4 -7.3 -19.8 2.7 4.2 1.4 3.9 0.7 3.4 4.1 -7.9 5.0 -4.5 -1.7 -7.2 9.7 13.8 10.3 11.6 -7.8 -10.0 3.8 -4.9 -0.6 -20.0 -2.6 0.8 -3.4 1.3 -1.6 -0.1 20.0 0.6 -3.6 -20.0 -20.0 13.4 12.6 17.7 19.4 NASDAQ_micro 2.6 1.4 -19.6 1.6 3.8 2.7 3.5 4.1 2.1 10.1 2.5 9.8 7.5 7.8 0.8 -6.5 -9.7 -7.7 -8.8 2.4 3.9 11.1 8.7 6.3 -18.3 2.2 4.2 2.9 4.5 5.2 3.5 -5.8 7.6 8.9 7.4 4.5 2.1 3.9 -9.3 0.0 NIKKEI -4.3 -3.2 -20.0 1.1 2.5 1.7 2.3 2.7 1.4 6.5 0.9 1.0 3.0 3.3 0.4 2.2 8.8 5.7 7.3 -2.1 -1.1 3.1 2.2 -0.3 -6.2 -1.7 1.3 -1.1 0.8 0.8 -0.6 20.0 -2.1 -2.6 -15.1 -12.7 10.9 1.5 9.9 0.6 NZD 1.2 17.6 3.8 4.2 6.6 2.2 6.0 1.1 5.3 14.5 8.1 11.7 1.4 13.8 12.2 -0.3 0.0 -0.1 -0.1 10.4 6.0 16.2 1.9 12.7 0.2 4.0 9.4 2.2 6.4 0.8 5.0 3.4 3.5 -0.9 9.9 -1.6 4.7 -5.8 2.7 -0.5 OAT 2.9 11.5 9.1 4.2 -0.2 3.8 0.5 1.7 2.6 -5.4 2.0 0.1 -1.0 4.8 11.2 6.0 4.0 3.6 3.1 7.6 4.7 -2.8 -0.6 3.9 3.6 3.6 -1.6 2.7 -1.5 1.0 1.7 11.2 -6.9 -3.4 -11.0 -17.2 -12.5 -15.3 2.1 1.8 OATIES 20.0 20.0 -3.3 -2.6 6.7 -4.1 5.0 -3.5 1.3 4.6 -6.8 11.4 -12.9 12.2 0.2 2.5 2.5 4.1 4.0 12.8 -0.9 12.1 -9.4 18.8 -20.0 3.0 1.8 -0.1 2.8 -1.8 4.4 3.8 -19.4 20.0 20.0 0.7 15.1 0.7 20.0 10.3 OJ 4.0 3.3 -2.8 -2.6 6.6 -4.0 5.0 -3.4 1.3 1.6 13.5 6.5 14.3 10.1 11.3 14.5 12.3 12.4 11.3 14.8 16.4 5.2 19.0 11.1 -20.0 5.1 0.9 6.0 1.5 8.7 3.7 18.0 -20.0 9.9 20.0 20.0 12.5 13.9 20.0 20.0 PALLAD 16.3 16.7 14.5 1.0 3.8 -0.6 4.1 -0.7 3.2 -0.5 -0.0 4.5 -6.3 6.2 4.3 -1.6 -2.0 -1.7 -1.8 5.7 1.0 6.3 -4.3 8.7 14.6 2.2 0.2 0.3 2.3 -1.2 3.3 6.1 -4.2 4.6 4.4 9.9 -20.0 -20.0 -20.0 -20.0 PLAT 9.7 1.2 -5.6 1.5 5.6 -0.9 6.0 -1.1 4.7 2.9 -5.5 7.5 -4.5 6.3 -4.0 -4.2 -4.4 -4.6 -4.7 0.4 -1.4 5.4 -1.0 4.7 5.2 0.6 1.8 -1.2 3.1 -0.9 3.3 1.5 -16.4 -6.7 -8.4 -1.0 -2.3 -7.1 -8.3 0.8 REDWHEAT 19.7 6.5 -14.6 -3.3 8.5 -5.2 6.5 -4.5 1.7 -10.6 -15.8 0.5 -18.3 5.7 -14.4 -9.6 -6.3 -9.9 -8.7 -6.7 -14.6 -3.0 -19.8 0.1 -5.2 -3.9 -2.5 -6.4 -2.2 -7.4 -1.2 -14.7 -20.0 11.0 3.0 -20.0 -20.0 -20.0 -20.0 -20.0 RICE 10.8 -1.4 -12.3 -3.4 8.7 -5.3 6.6 -4.5 1.7 -1.7 11.6 15.0 14.2 12.9 2.1 -10.3 20.0 7.4 20.0 4.3 3.6 9.2 8.7 9.4 -13.0 2.4 -2.9 2.5 4.5 3.9 4.3 20.0 -5.7 4.1 8.1 20.0 -20.0 -20.0 -20.0 -20.0 ROBUSTA 8.4 7.9 4.7 -2.0 5.2 -3.2 4.0 -2.7 1.0 8.2 12.5 9.6 12.3 11.6 12.2 20.0 20.0 20.0 20.0 20.0 20.0 14.5 20.0 20.0 -20.0 4.7 1.8 5.5 2.7 6.8 3.9 20.0 10.6 18.2 20.0 20.0 7.6 -3.9 16.9 3.0 RUSSELL 0.4 2.8 2.8 1.9 4.4 3.1 4.0 4.8 2.5 7.2 4.6 8.4 8.8 5.6 3.5 -4.8 -6.3 -5.4 -5.9 5.7 5.7 10.8 5.9 8.1 -0.8 4.0 2.4 4.0 4.2 3.7 4.2 -0.2 7.1 10.6 5.1 9.3 1.7 -14.2 -9.0 -20.0 SHATZ 2.1 13.2 20.0 2.5 -0.1 2.3 0.3 1.0 1.5 5.2 3.2 4.9 -1.9 6.1 7.5 -20.0 -20.0 -20.0 -20.0 9.0 6.1 7.0 -0.5 7.8 6.6 2.9 3.0 2.1 2.1 0.4 2.5 -20.0 6.5 8.2 2.3 3.6 -20.0 -18.4 -13.7 -10.1 SILVER-mini 11.4 3.2 -4.1 1.5 5.6 -0.9 6.0 -1.1 4.7 11.6 5.8 12.3 6.3 10.9 3.0 -6.8 -6.5 -6.4 -6.3 6.2 4.9 17.9 6.5 12.7 2.3 2.6 7.2 1.3 6.6 1.9 5.3 -1.5 10.7 2.6 1.1 4.3 6.7 -2.8 2.3 9.7 SMI -19.1 -3.0 -4.7 2.3 5.5 3.8 5.0 5.9 3.1 3.8 10.0 -10.6 12.9 0.9 3.1 -0.5 0.1 -1.9 -1.5 -1.6 6.3 -4.6 11.4 -6.2 10.5 1.8 0.7 6.0 -2.0 7.9 -1.8 9.2 -20.0 -20.0 6.6 6.2 -0.2 1.0 -13.8 -3.8 SOFR 1.1 19.2 20.0 5.3 -0.2 4.8 0.6 2.2 3.2 -14.1 15.6 -1.8 10.0 11.3 16.8 3.3 -0.3 1.5 0.3 20.0 20.0 -5.7 13.0 10.5 -7.1 5.7 -3.9 6.6 -2.7 4.4 1.5 5.2 -20.0 -9.8 -0.7 5.7 9.7 -12.5 20.0 9.2 SOYBEAN 20.0 0.5 -19.3 -2.0 5.1 -3.1 3.8 -2.6 1.0 10.1 -9.1 9.7 -9.8 3.4 -7.1 -5.7 1.0 -6.9 -4.4 -6.9 -14.5 8.3 -15.0 3.1 -19.3 -2.8 4.1 -5.0 2.6 -4.7 0.5 -4.9 -2.3 7.5 -4.7 -15.1 0.6 -17.2 7.2 -11.3 SOYMEAL 19.0 5.4 -10.4 -2.3 5.8 -3.6 4.4 -3.0 1.1 5.8 -8.8 8.5 -11.3 6.9 -5.3 -6.9 3.0 -3.5 -0.8 -1.1 -8.5 5.4 -11.5 4.9 -20.0 -1.9 3.6 -4.1 2.2 -4.3 0.8 0.1 -10.3 4.5 3.1 -4.4 -20.0 -20.0 -20.0 -20.0 SOYOIL 10.3 -0.1 0.9 -1.4 3.7 -2.3 2.8 -1.9 0.7 7.8 -6.6 4.5 -8.2 1.1 -5.6 0.2 1.4 2.0 1.3 -3.2 -6.5 9.1 -8.0 2.3 -18.0 -0.7 7.0 -2.4 4.4 -2.9 1.8 -0.1 4.5 8.6 -0.2 1.3 -2.7 -8.9 6.2 -3.2 SP400 1.8 4.9 -4.7 2.2 5.1 3.6 4.7 5.5 2.9 12.7 7.1 12.3 11.4 10.0 5.7 -5.9 -5.9 -6.0 -5.9 6.6 6.0 17.8 8.3 11.7 -10.9 4.6 5.4 4.3 6.7 4.7 5.8 0.2 16.4 14.5 10.5 5.4 5.4 -6.3 -6.8 -20.0 SP500_micro 3.7 8.4 -16.6 2.2 5.2 3.6 4.7 5.5 2.9 13.5 11.3 14.1 13.6 13.5 10.5 -8.5 -11.7 -10.0 -11.0 10.3 12.0 17.1 16.5 13.5 -18.5 4.6 5.0 5.1 6.0 7.1 5.5 -9.4 11.0 16.2 15.9 11.8 6.6 3.1 -8.2 -1.8 SUGAR11 20.0 20.0 9.4 -2.3 5.9 -3.6 4.5 -3.1 1.2 12.7 -4.7 13.4 -9.4 11.6 5.6 11.3 6.4 2.5 2.4 12.3 0.4 20.0 -4.9 20.0 -20.0 3.0 9.1 0.1 8.9 -1.3 6.3 5.6 20.0 20.0 20.0 20.0 -12.3 11.6 -9.4 15.1 US10 3.8 18.1 20.0 4.0 -0.2 3.6 0.5 1.7 2.5 -9.9 11.3 4.1 4.2 10.0 12.9 -6.7 -7.4 -7.0 -7.1 17.2 16.0 -0.6 5.8 9.4 2.3 4.5 -1.8 4.9 -0.9 2.8 1.8 -7.1 -7.8 -5.5 0.7 2.4 4.1 -20.0 20.0 6.6 US10U 3.6 16.9 20.0 5.3 -0.2 4.7 0.6 2.2 3.2 -14.9 14.4 4.0 3.8 12.3 16.5 -4.5 -3.2 -4.3 -4.0 20.0 18.4 -2.5 5.8 10.5 -1.1 5.6 -3.6 6.3 -2.1 3.6 1.9 -0.9 -11.5 -9.8 -2.7 -1.1 4.8 -17.7 20.0 17.2 US2 10.8 20.0 20.0 2.8 -0.1 2.5 0.3 1.1 1.7 1.1 6.5 6.9 0.5 8.7 9.3 -20.0 -20.0 -20.0 -20.0 15.5 12.0 5.9 2.1 11.6 12.8 3.3 0.7 2.9 1.0 1.2 2.2 -20.0 1.6 5.4 10.5 8.0 0.3 -20.0 5.3 -12.4 US20 1.8 16.0 20.0 4.0 -0.1 3.6 0.5 1.6 2.4 -12.2 10.7 0.8 4.9 8.0 11.7 -2.1 -1.0 -1.4 -1.1 13.7 13.1 -4.3 5.0 6.1 -3.2 3.9 -4.1 5.0 -2.6 3.4 0.8 3.6 -11.8 -10.4 -4.0 -2.3 5.8 -10.1 20.0 20.0 US30 1.2 13.6 17.4 4.5 -0.2 4.0 0.5 1.8 2.7 -14.0 11.1 -1.0 2.8 8.1 12.5 -7.2 -5.3 -5.9 -5.4 12.4 11.5 -6.4 2.9 4.8 -2.2 4.0 -5.9 5.2 -4.0 3.2 0.3 -3.9 -14.8 -12.9 -8.1 -6.8 2.3 -9.1 20.0 20.0 US5 5.6 19.8 20.0 4.0 -0.1 3.6 0.5 1.6 2.4 -7.4 10.9 5.7 3.1 10.8 12.9 -10.2 -10.9 -11.1 -10.9 18.9 16.8 2.0 5.6 11.4 7.0 4.6 -0.5 4.6 -0.0 2.5 2.3 -13.4 -5.2 -1.0 4.7 5.7 5.4 -20.0 20.0 -0.2 VIX 1.5 -0.1 20.0 0.9 -0.9 0.5 -1.0 -1.4 -0.2 -7.3 -4.7 -3.3 -6.6 -5.6 -4.5 4.5 -20.0 -12.9 -20.0 0.6 -0.3 -2.3 -3.9 -0.7 NaN 1.0 -1.0 0.5 -1.2 -1.7 -0.3 NaN NaN NaN NaN NaN -12.4 -20.0 NaN NaN WHEAT 20.0 8.1 -15.5 -3.0 7.6 -4.7 5.8 -4.0 1.5 -4.8 -12.9 7.9 -15.2 9.4 -10.9 -13.3 -15.0 -15.3 -15.6 -3.3 -12.2 5.3 -16.5 6.0 3.8 -2.4 1.6 -5.1 1.7 -5.7 1.3 -20.0 -16.1 16.2 7.5 -18.7 -20.0 -20.0 -20.0 -17.8 End of report for caleb_strategy_v3