******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240925_203913 produced at 2024-09-25 21:38:22.864149 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -3.70 999999999.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.06 0.0 0.10 -0.10 -0.03 -0.03 -1.73 3.0 -1 -1 caleb_strategy_v3 MXP False False 0.01 -0.06 -0.06 0.0 0.53 -0.53 -0.06 -0.06 -7.10 60.0 -7 -7 caleb_strategy_v3 VIX False False 0.01 -0.03 -0.06 0.0 999.00 -999.00 -0.03 -0.03 -9.45 999999999.0 -5 -5 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -24.73 59.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.05 0.0 0.09 -0.09 -0.04 -0.04 -6.03 12.0 -5 -5 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -0.96 24.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -1.40 4.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.03 0.0 0.33 -0.33 -0.04 -0.04 -0.64 8.0 -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 -7.69 26.0 -9 -9 caleb_strategy_v3 WHEAT False False 0.01 -0.01 -0.02 0.0 0.10 -0.10 -0.01 -0.01 -1.42 9.0 -1 -1 caleb_strategy_v3 CAC True False 0.03 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.68 12.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.02 0.0 0.08 -0.08 0.00 0.00 -1.83 8.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.16 -0.16 -0.01 -0.01 -6.75 51.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.08 -0.01 0.0 0.13 -0.13 -0.08 -0.08 -0.72 7.0 -4 -4 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.03 -0.01 0.0 0.32 -0.32 -0.03 -0.03 -0.57 23.0 -2 -2 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.04 -0.04 0.00 0.00 -0.99 4.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 -0.01 -0.01 0.0 0.02 -0.02 -0.01 -0.01 -1.55 3.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.01 0.0 0.10 -0.10 -0.02 -0.02 -1.14 9.0 -2 -2 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.17 4.0 0 0 caleb_strategy_v3 CHF False False 0.05 0.05 -0.01 0.0 0.67 -0.67 0.05 0.05 -0.24 13.0 1 1 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.01 0.0 0.14 -0.14 -0.05 -0.05 -1.14 11.0 -4 -4 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.00 0.0 0.17 -0.17 0.00 0.00 -0.21 10.0 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 BOBL False False 0.05 0.00 -0.00 0.0 0.89 -0.89 0.00 0.00 -0.05 19.0 0 0 caleb_strategy_v3 JPY False False 0.03 0.00 -0.00 0.0 0.52 -0.52 0.00 0.00 -0.15 17.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.23 0.00 0.0 0.28 -0.28 0.23 0.23 0.09 6.0 5 5 caleb_strategy_v3 EUROSTX False False 0.02 -0.02 -0.00 0.0 0.39 -0.39 -0.02 -0.02 -0.24 20.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.35 10.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.04 0.01 0.0 0.15 -0.15 0.04 0.04 1.41 18.0 5 5 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.01 0.0 0.21 -0.21 0.00 0.00 0.20 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 0.00 1.24 48.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.01 0.0 0.00 0.00 0.00 0.00 1.03 2.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.22 0.01 0.0 0.22 -0.22 0.22 0.22 0.10 2.0 2 2 caleb_strategy_v3 COCOA False False 0.02 0.00 0.01 0.0 0.58 -0.58 0.00 0.00 0.56 26.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.01 0.0 0.26 -0.26 0.00 0.00 2.23 68.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 0.01 0.0 0.75 -0.75 0.00 0.00 0.41 29.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.01 0.0 0.41 -0.41 0.02 0.02 0.81 23.0 1 1 caleb_strategy_v3 NIKKEI False False 0.01 0.00 0.01 0.0 0.33 -0.33 0.00 0.00 0.74 36.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.35 999999999.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.01 0.0 0.07 -0.07 0.00 0.00 0.14 2.0 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 0.65 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 0.37 9.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.05 0.02 0.0 0.49 -0.49 0.05 0.05 0.32 10.0 1 1 caleb_strategy_v3 MILK False False 0.01 0.01 0.02 0.0 0.07 -0.07 0.01 0.01 1.60 5.0 1 1 caleb_strategy_v3 OJ False False 0.03 0.03 0.02 0.0 0.08 -0.08 0.03 0.03 0.78 3.0 1 1 caleb_strategy_v3 NZD False False 0.02 0.02 0.03 0.0 0.46 -0.46 0.02 0.02 1.55 21.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.03 0.0 0.12 -0.12 0.02 0.02 1.21 5.0 1 1 caleb_strategy_v3 SMI False True 0.05 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.56 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 0.62 13.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 0.03 0.0 0.68 -0.68 0.00 0.00 0.79 17.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.04 0.0 0.49 -0.49 0.00 0.00 5.26 66.0 0 0 caleb_strategy_v3 COPPER False False 0.04 0.08 0.04 0.0 999.00 -999.00 0.08 0.08 1.10 999999999.0 2 2 caleb_strategy_v3 US5 False False 0.04 0.15 0.05 0.0 0.96 -0.96 0.15 0.15 1.41 25.0 4 4 caleb_strategy_v3 AUD False False 0.02 0.10 0.05 0.0 0.45 -0.45 0.10 0.10 2.05 19.0 4 4 caleb_strategy_v3 EUR False False 0.05 0.10 0.05 0.0 0.68 -0.68 0.10 0.10 1.09 14.0 2 2 caleb_strategy_v3 DAX False False 0.01 0.02 0.05 0.0 0.43 -0.43 0.02 0.02 6.73 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 1.18 10.0 1 1 caleb_strategy_v3 LIVECOW False False 0.03 0.10 0.06 0.0 0.44 -0.44 0.10 0.10 2.52 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 8.10 13.0 5 5 caleb_strategy_v3 US2 False True 0.07 0.00 0.08 0.0 0.00 0.00 0.00 0.00 1.11 13.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.01 0.09 0.0 0.52 -0.52 0.01 0.01 9.25 56.0 1 1 caleb_strategy_v3 GBP False False 0.03 0.03 0.09 0.0 0.64 -0.64 0.03 0.03 3.06 22.0 1 1 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.28 0.52 0.0 0.56 -0.56 0.28 0.28 14.90 16.0 8 8 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.00 0.88 0.0 0.96 -0.96 0.00 0.00 9.17 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.09 0.0 0.00 0.00 0.00 0.00 12.94 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.4 Shocked risk 18.4 Sum abs risk 32.7 Leverage 4.31 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2869148.4, 'annual_cash_vol_target': 717287.1, 'daily_cash_vol_target': 44830.44375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6834 0.6228 9.9655 BITCOIN 1664.1350 63740.0000 2.6108 41.7731 BOBL 0.2515 119.8400 0.2099 3.3576 BTP 0.4805 120.8500 0.3976 6.3620 BUND 0.4665 134.5100 0.3468 5.5491 BUXL 1.1269 135.3400 0.8326 13.3218 CAC 64.8060 7578.5000 0.8551 13.6821 CAD 0.0028 0.7435 0.3722 5.9553 CANOLA 9.8566 621.8000 1.5852 25.3628 CHF 0.0055 1.1873 0.4661 7.4569 COCOA 149.4281 6443.0000 2.3192 37.1077 COFFEE 4.9500 266.2000 1.8595 29.7523 COPPER 0.0570 4.4895 1.2702 20.3236 CORN 4.7352 450.7500 1.0505 16.8081 COTTON2 1.1248 73.1800 1.5370 24.5922 CRUDE_W 1.1807 69.1600 1.7072 27.3157 DAX 147.5133 19079.0000 0.7732 12.3707 DOW 258.1957 42315.0000 0.6102 9.7628 DX 0.3609 100.6150 0.3587 5.7384 EUR 0.0047 1.1170 0.4191 6.7054 EURIBOR-ICE 0.0459 98.0500 0.0468 0.7483 EUROSTX 45.1143 4943.0000 0.9127 14.6030 FEEDCOW 1.7944 238.4250 0.7526 12.0414 GASOIL 11.1179 659.5000 1.6858 26.9729 GASOLINE 0.0346 1.9390 1.7858 28.5726 GAS_US_mini 0.0847 3.2350 2.6192 41.9064 GBP 0.0064 1.3317 0.4804 7.6864 GOLD_micro 18.0210 2684.4000 0.6713 10.7411 HEATOIL 0.0364 2.2007 1.6551 26.4822 JGB-SGX-mini 0.2552 144.9200 0.1761 2.8175 JPY 0.0001 0.0070 0.7180 11.4883 LEANHOG 0.9784 74.8000 1.3080 20.9278 LIVECOW 1.2314 184.3000 0.6682 10.6907 LUMBER-new 8.8192 525.5000 1.6782 26.8519 MILK 0.2888 21.5000 1.3432 21.4914 MXP 0.0005 0.0503 0.9694 15.5103 NASDAQ_micro 195.0018 20190.0000 0.9658 15.4533 NIKKEI 580.9829 38010.0000 1.5285 24.4560 NZD 0.0042 0.6266 0.6775 10.8404 OAT 0.4448 126.3900 0.3519 5.6308 OATIES 5.8033 369.7500 1.5695 25.1124 OJ 9.0784 490.5000 1.8508 29.6135 PALLAD 27.9301 1041.5000 2.6817 42.9074 PLAT 15.8725 1000.1000 1.5871 25.3934 REDWHEAT 9.5461 596.0000 1.6017 25.6272 RICE 0.1501 15.1950 0.9876 15.8022 ROBUSTA 85.0588 5163.0000 1.6475 26.3595 RUSSELL 24.9857 2222.1000 1.1244 17.9907 SHATZ 0.0935 107.1000 0.0873 1.3973 SILVER-mini 0.5386 32.1000 1.6779 26.8463 SMI 86.6583 12183.0000 0.7113 11.3809 SOFR 0.0514 96.9250 0.0530 0.8482 SOYBEAN 11.4714 1093.0000 1.0495 16.7926 SOYMEAL 4.2800 329.0000 1.3009 20.8144 SOYOIL 0.7320 44.0800 1.6607 26.5709 SP400 26.5893 3119.5000 0.8524 13.6377 SP500_micro 39.8680 5780.7500 0.6897 11.0347 SUGAR11 0.3491 21.7900 1.6020 25.6324 US10 0.3417 114.5469 0.2983 4.7727 US10U 0.4730 118.5000 0.3991 6.3862 US2 0.1010 104.3281 0.0968 1.5493 US20 0.7117 124.2500 0.5728 9.1649 US30 1.0928 132.9688 0.8219 13.1496 US5 0.2249 110.1719 0.2042 3.2667 VIX 0.7212 17.7000 4.0744 65.1898 WHEAT 8.9923 648.7500 1.3861 22.1776 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 683.40 0.62 425.65 1.00 425.65 44830.44 105.32 7.50 78.99 BITCOIN 63.74 2.61 166.41 1.00 166.41 44830.44 269.39 -8.48 -228.39 BOBL 1198.40 0.21 251.49 1.11 279.49 44830.44 160.40 -0.30 -4.79 BTP 1208.50 0.40 480.53 1.11 534.04 44830.44 83.95 4.13 34.66 BUND 1345.10 0.35 466.51 1.11 518.45 44830.44 86.47 -0.83 -7.22 BUXL 1353.40 0.83 1126.86 1.11 1252.33 44830.44 35.80 -4.76 -17.04 CAC 757.85 0.86 648.06 1.11 720.22 44830.44 62.25 -3.21 -20.00 CAD 743.45 0.37 276.71 1.00 276.71 44830.44 162.01 0.98 15.86 CANOLA 124.36 1.59 197.13 0.74 145.81 44830.44 307.45 -9.02 -277.37 CHF 1484.19 0.47 691.72 1.00 691.72 44830.44 64.81 -1.44 -9.32 COCOA 644.30 2.32 1494.28 1.00 1494.28 44830.44 30.00 8.66 25.97 COFFEE 998.25 1.86 1856.27 1.00 1856.27 44830.44 24.15 7.04 17.01 COPPER 1122.37 1.27 1425.67 1.00 1425.67 44830.44 31.45 3.23 10.17 CORN 225.38 1.05 236.76 1.00 236.76 44830.44 189.35 -13.09 -247.85 COTTON2 365.90 1.54 562.39 1.00 562.39 44830.44 79.71 -6.70 -53.44 CRUDE_W 691.60 1.71 1180.72 1.00 1180.72 44830.44 37.97 2.93 11.14 DAX 190.79 0.77 147.51 1.11 163.94 44830.44 273.46 7.22 197.36 DOW 211.58 0.61 129.10 1.00 129.10 44830.44 347.26 6.51 226.19 DX 1006.15 0.36 360.86 1.00 360.86 44830.44 124.23 -11.47 -142.47 EUR 1396.25 0.42 585.15 1.00 585.15 44830.44 76.61 5.47 41.92 EURIBOR-ICE 2451.25 0.05 114.65 1.11 127.41 44830.44 351.85 7.64 268.76 EUROSTX 494.30 0.91 451.14 1.11 501.38 44830.44 89.41 -0.80 -7.13 FEEDCOW 1192.12 0.75 897.18 1.00 897.18 44830.44 49.97 -3.85 -19.26 GASOIL 659.50 1.69 1111.79 1.00 1111.79 44830.44 40.32 -8.00 -32.28 GASOLINE 814.38 1.79 1454.31 1.00 1454.31 44830.44 30.83 2.60 8.02 GAS_US_mini 80.88 2.62 211.82 1.00 211.82 44830.44 211.64 -3.36 -71.05 GBP 832.31 0.48 399.84 1.00 399.84 44830.44 112.12 10.51 117.80 GOLD_micro 268.44 0.67 180.21 1.00 180.21 44830.44 248.77 10.90 271.12 HEATOIL 924.29 1.66 1529.83 1.00 1529.83 44830.44 29.30 -13.62 -39.90 JGB-SGX-mini 144920.00 0.18 25519.84 0.01 177.03 44830.44 253.24 5.43 137.57 JPY 873.31 0.72 627.06 1.00 627.06 44830.44 71.49 -0.80 -5.70 LEANHOG 299.20 1.31 391.35 1.00 391.35 44830.44 114.55 11.64 133.29 LIVECOW 737.20 0.67 492.57 1.00 492.57 44830.44 91.01 8.36 76.07 LUMBER-new 144.51 1.68 242.53 1.00 242.53 44830.44 184.85 -3.90 -72.18 MILK 430.00 1.34 577.58 1.00 577.58 44830.44 77.62 9.64 74.79 MXP 251.70 0.97 244.00 1.00 244.00 44830.44 183.73 -2.63 -48.38 NASDAQ_micro 403.80 0.97 390.00 1.00 390.00 44830.44 114.95 -2.13 -24.49 NIKKEI 38010.00 1.53 58098.29 0.01 403.02 44830.44 111.24 0.61 6.79 NZD 626.55 0.68 424.50 1.00 424.50 44830.44 105.61 5.67 59.83 OAT 1263.90 0.35 444.79 1.11 494.32 44830.44 90.69 1.04 9.40 OATIES 184.88 1.57 290.17 1.00 290.17 44830.44 154.50 2.74 42.36 OJ 735.75 1.85 1361.76 1.00 1361.76 44830.44 32.92 11.01 36.23 PALLAD 1041.50 2.68 2793.01 1.00 2793.01 44830.44 16.05 2.62 4.20 PLAT 500.05 1.59 793.62 1.00 793.62 44830.44 56.49 -1.11 -6.24 REDWHEAT 298.00 1.60 477.31 1.00 477.31 44830.44 93.92 -14.71 -138.19 RICE 303.90 0.99 300.14 1.00 300.14 44830.44 149.36 -2.73 -40.72 ROBUSTA 516.30 1.65 850.59 1.00 850.59 44830.44 52.71 13.09 69.01 RUSSELL 111.10 1.12 124.93 1.00 124.93 44830.44 358.85 1.88 67.43 SHATZ 1071.00 0.09 93.53 1.11 103.94 44830.44 431.30 -2.18 -94.21 SILVER-mini 802.50 1.68 1346.51 1.00 1346.51 44830.44 33.29 5.74 19.10 SMI 1218.30 0.71 866.58 1.18 1022.13 44830.44 43.86 3.77 16.53 SOFR 2423.12 0.05 128.46 1.00 128.46 44830.44 348.98 6.10 212.90 SOYBEAN 546.50 1.05 573.57 1.00 573.57 44830.44 78.16 -9.85 -77.01 SOYMEAL 329.00 1.30 428.00 1.00 428.00 44830.44 104.74 -11.70 -122.54 SOYOIL 264.48 1.66 439.22 1.00 439.22 44830.44 102.07 -3.72 -37.93 SP400 3119.50 0.85 2658.93 1.00 2658.93 44830.44 16.86 1.87 3.15 SP500_micro 289.04 0.69 199.34 1.00 199.34 44830.44 224.89 2.38 53.51 SUGAR11 244.05 1.60 390.97 1.00 390.97 44830.44 114.66 5.78 66.31 US10 1145.47 0.30 341.69 1.00 341.69 44830.44 131.20 4.73 62.03 US10U 1185.00 0.40 472.98 1.00 472.98 44830.44 94.78 5.14 48.72 US2 2086.56 0.10 202.04 1.00 202.04 44830.44 221.88 3.95 87.59 US20 1242.50 0.57 711.71 1.00 711.71 44830.44 62.99 4.63 29.18 US30 1329.69 0.82 1092.80 1.00 1092.80 44830.44 41.02 1.67 6.85 US5 1101.72 0.20 224.93 1.00 224.93 44830.44 199.30 5.57 111.07 VIX 177.00 4.07 721.16 1.00 721.16 44830.44 62.16 -6.16 -38.26 WHEAT 324.38 1.39 449.62 1.00 449.62 44830.44 99.71 -10.73 -106.95 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 78.988 0.010 2.5 2.049 BITCOIN -228.390 0.043 2.5 -24.732 BOBL -4.787 0.004 2.5 -0.049 BTP 34.658 0.014 2.5 1.182 BUND -7.217 0.004 2.5 -0.073 BUXL -17.038 0.004 2.5 -0.173 CAC -19.998 0.014 2.5 -0.682 CAD 15.863 0.010 2.5 0.412 CANOLA -277.375 0.010 2.5 -6.748 CHF -9.322 0.010 2.5 -0.242 COCOA 25.966 0.009 2.5 0.556 COFFEE 17.007 0.005 2.5 0.199 COPPER 10.171 0.043 2.5 1.101 CORN -247.847 0.010 2.5 -6.030 COTTON2 -53.442 0.009 2.5 -1.145 CRUDE_W 11.141 0.043 2.5 1.206 DAX 197.361 0.014 2.5 6.732 DOW 226.187 0.009 2.5 5.257 DX -142.470 0.010 2.5 -3.696 EUR 41.918 0.010 2.5 1.088 EURIBOR-ICE 268.763 0.014 2.5 9.167 EUROSTX -7.127 0.014 2.5 -0.243 FEEDCOW -19.256 0.013 2.5 -0.638 GASOIL -32.277 0.017 2.5 -1.399 GASOLINE 8.018 0.017 2.5 0.348 GAS_US_mini -71.050 0.043 2.5 -7.694 GBP 117.798 0.010 2.5 3.056 GOLD_micro 271.120 0.014 2.5 9.247 HEATOIL -39.898 0.017 2.5 -1.730 JGB-SGX-mini 137.575 0.043 2.5 14.897 JPY -5.697 0.010 2.5 -0.148 LEANHOG 133.289 0.024 2.5 8.100 LIVECOW 76.069 0.013 2.5 2.521 LUMBER-new -72.179 0.009 2.5 -1.546 MILK 74.786 0.009 2.5 1.602 MXP -48.379 0.059 2.5 -7.101 NASDAQ_micro -24.490 0.009 2.5 -0.569 NIKKEI 6.794 0.043 2.5 0.736 NZD 59.831 0.010 2.5 1.552 OAT 9.396 0.014 2.5 0.320 OATIES 42.363 0.010 2.5 1.031 OJ 36.233 0.009 2.5 0.776 PALLAD 4.198 0.014 2.5 0.143 PLAT -6.244 0.014 2.5 -0.213 REDWHEAT -138.192 0.005 2.5 -1.833 RICE -40.725 0.010 2.5 -0.991 ROBUSTA 69.012 0.005 2.5 0.806 RUSSELL 67.429 0.013 2.5 2.234 SHATZ -94.211 0.004 2.5 -0.955 SILVER-mini 19.098 0.014 2.5 0.651 SMI 16.527 0.014 2.5 0.564 SOFR 212.900 0.024 2.5 12.939 SOYBEAN -77.012 0.004 2.5 -0.716 SOYMEAL -122.539 0.004 2.5 -1.140 SOYOIL -37.930 0.004 2.5 -0.353 SP400 3.145 0.013 2.5 0.104 SP500_micro 53.507 0.009 2.5 1.244 SUGAR11 66.305 0.009 2.5 1.410 US10 62.029 0.005 2.5 0.786 US10U 48.716 0.005 2.5 0.617 US2 87.590 0.005 2.5 1.110 US20 29.181 0.005 2.5 0.370 US30 6.846 0.005 2.5 0.087 US5 111.068 0.005 2.5 1.407 VIX -38.264 0.099 2.5 -9.445 WHEAT -106.955 0.005 2.5 -1.419 ===================== Position diags ===================== AUD 2.73 BITCOIN 29.17 BOBL 1.63 BTP 2.86 BUND 0.88 BUXL 0.36 CAC 2.12 CAD 4.20 CANOLA 7.48 CHF 1.68 COCOA 0.64 COFFEE 0.28 COPPER 3.41 CORN 4.61 COTTON2 1.71 CRUDE_W 4.11 DAX 9.33 DOW 8.07 DX 3.22 EUR 1.99 EURIBOR-ICE 12.00 EUROSTX 3.05 FEEDCOW 1.66 GASOIL 1.75 GASOLINE 1.34 GAS_US_mini 22.92 GBP 2.91 GOLD_micro 8.49 HEATOIL 1.27 JGB-SGX-mini 27.42 JPY 1.85 LEANHOG 6.96 LIVECOW 3.02 LUMBER-new 3.96 MILK 1.66 MXP 26.97 NASDAQ_micro 2.67 NIKKEI 12.05 NZD 2.74 OAT 3.09 OATIES 3.76 OJ 0.71 PALLAD 0.55 PLAT 1.93 REDWHEAT 1.25 RICE 3.63 ROBUSTA 0.62 RUSSELL 11.89 SHATZ 4.37 SILVER-mini 1.14 SMI 1.50 SOFR 21.21 SOYBEAN 0.73 SOYMEAL 0.97 SOYOIL 0.95 SP400 0.56 SP500_micro 5.23 SUGAR11 2.44 US10 1.66 US10U 1.20 US2 2.81 US20 0.80 US30 0.52 US5 2.53 VIX 15.34 WHEAT 1.32 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 2.0 1.8 2.3 4.0 4 BITCOIN -24.7 -27.6 -21.8 0.0 0 BOBL -0.0 -0.2 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 0.0 0 CAC -0.7 -0.9 -0.5 0.0 0 CAD 0.4 -0.0 0.8 0.0 0 CANOLA -6.7 -7.5 -6.0 -2.0 -2 CHF -0.2 -0.4 -0.1 1.0 1 COCOA 0.6 0.5 0.6 0.0 0 COFFEE 0.2 0.2 0.2 0.0 0 COPPER 1.1 0.8 1.4 2.0 2 CORN -6.0 -6.5 -5.6 -5.0 -5 COTTON2 -1.1 -1.3 -1.0 -4.0 -4 CRUDE_W 1.2 0.8 1.6 1.0 1 DAX 6.7 5.8 7.7 3.0 3 DOW 5.3 4.4 6.1 0.0 0 DX -3.7 -4.0 -3.4 0.0 0 EUR 1.1 0.9 1.3 2.0 2 EURIBOR-ICE 9.2 8.0 10.4 0.0 0 EUROSTX -0.2 -0.5 0.1 -1.0 -1 FEEDCOW -0.6 -0.8 -0.5 -1.0 -1 GASOIL -1.4 -1.6 -1.2 -1.0 -1 GASOLINE 0.3 0.2 0.5 0.0 0 GAS_US_mini -7.7 -10.0 -5.4 -9.0 -9 GBP 3.1 2.8 3.3 1.0 1 GOLD_micro 9.2 8.4 10.1 1.0 1 HEATOIL -1.7 -1.9 -1.6 -1.0 -1 JGB-SGX-mini 14.9 12.2 17.6 8.0 8 JPY -0.1 -0.3 0.0 0.0 0 LEANHOG 8.1 7.4 8.8 5.0 5 LIVECOW 2.5 2.2 2.8 4.0 4 LUMBER-new -1.5 -1.9 -1.1 -2.0 -2 MILK 1.6 1.4 1.8 1.0 1 MXP -7.1 -9.8 -4.4 -7.0 -7 NASDAQ_micro -0.6 -0.8 -0.3 -2.0 -2 NIKKEI 0.7 -0.5 1.9 0.0 0 NZD 1.6 1.3 1.8 1.0 1 OAT 0.3 0.0 0.6 1.0 1 OATIES 1.0 0.7 1.4 NaN 0 OJ 0.8 0.7 0.8 1.0 1 PALLAD 0.1 0.1 0.2 0.0 0 PLAT -0.2 -0.4 -0.0 0.0 0 REDWHEAT -1.8 -2.0 -1.7 0.0 0 RICE -1.0 -1.4 -0.6 NaN 0 ROBUSTA 0.8 0.7 0.9 1.0 1 RUSSELL 2.2 1.0 3.4 0.0 0 SHATZ -1.0 -1.4 -0.5 NaN 0 SILVER-mini 0.7 0.5 0.8 0.0 0 SMI 0.6 0.4 0.7 0.0 0 SOFR 12.9 10.8 15.1 NaN 0 SOYBEAN -0.7 -0.8 -0.6 -4.0 -4 SOYMEAL -1.1 -1.2 -1.0 -2.0 -2 SOYOIL -0.4 -0.4 -0.3 0.0 0 SP400 0.1 0.0 0.2 2.0 2 SP500_micro 1.2 0.7 1.8 0.0 0 SUGAR11 1.4 1.2 1.7 5.0 5 US10 0.8 0.6 1.0 0.0 0 US10U 0.6 0.5 0.7 0.0 0 US2 1.1 0.8 1.4 NaN 0 US20 0.4 0.3 0.4 0.0 0 US30 0.1 0.0 0.1 5.0 5 US5 1.4 1.2 1.7 4.0 4 VIX -9.4 -11.0 -7.9 -5.0 -5 WHEAT -1.4 -1.6 -1.3 -1.0 -1 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 0.1 0.4 0.2 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.3 0.1 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 0.3 -0.1 0.0 -0.0 0.4 -0.2 0.6 -0.0 BITCOIN 0.2 -0.1 -0.6 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 -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 -0.3 -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 0.1 0.0 0.0 0.1 0.1 -0.1 0.1 0.1 0.2 -0.2 -0.1 -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 -0.8 0.1 0.2 -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 0.0 0.5 0.2 0.6 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.4 0.2 -2.7 0.1 0.0 0.2 0.1 0.2 0.1 0.7 0.5 0.4 -0.3 -0.5 -0.7 -0.5 -0.0 0.2 BUND 0.1 0.2 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 0.0 0.0 -0.3 -0.2 -0.7 -0.6 -0.1 -0.1 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 0.0 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 0.2 -0.6 0.0 0.0 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 -0.1 -0.3 -0.1 -0.6 0.4 0.2 -0.0 0.0 CAD -0.1 0.5 0.2 0.1 0.0 0.1 0.1 0.1 0.1 0.1 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 0.1 -0.2 -0.2 -0.5 0.1 -0.1 0.4 -0.2 0.2 -0.1 CANOLA 0.2 -0.1 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.0 -0.2 0.0 -0.0 -0.2 -0.2 -0.3 -0.3 -0.0 -0.1 0.1 -0.2 0.0 -1.8 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 0.0 0.2 0.0 -0.1 -0.1 -0.4 0.1 -0.2 CHF -0.2 0.5 0.6 0.0 0.0 0.1 0.1 0.0 0.1 -0.1 0.2 -0.1 -0.0 0.1 0.1 -0.3 -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 -0.5 0.4 0.6 -0.1 -0.4 -0.4 -0.4 COCOA -0.1 0.3 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 0.1 0.1 0.1 -0.0 0.1 -0.1 0.1 -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 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 0.4 0.3 0.4 0.6 0.6 -0.1 -0.3 0.2 -0.1 COPPER 0.6 0.1 -0.4 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 -0.1 0.1 -0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.2 0.1 0.1 -2.3 0.0 0.1 0.0 0.1 0.1 0.1 0.2 0.3 0.3 0.0 -0.1 0.7 0.3 0.7 0.7 CORN 0.5 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 0.1 -0.5 0.0 -1.6 -0.0 0.0 -0.2 0.0 -0.4 0.0 -1.1 -0.3 0.3 -0.0 -0.5 -0.0 -0.2 0.1 -0.0 COTTON2 0.5 0.6 -0.1 -0.0 0.1 -0.1 0.1 -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 0.0 -0.1 0.1 -0.1 0.1 -0.6 0.2 0.3 0.4 0.2 -0.4 -0.4 -0.1 -0.2 CRUDE_W -0.2 -0.4 -0.5 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.2 0.0 0.2 -0.1 -0.1 0.2 0.3 0.3 0.3 -0.1 -0.1 0.0 -0.1 -0.1 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.6 0.1 0.4 0.4 0.1 0.1 0.4 0.1 0.6 DAX 0.0 0.3 -0.3 0.0 0.0 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 0.0 0.1 0.1 0.2 0.0 -0.4 0.1 0.0 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 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.4 0.2 -1.6 0.1 0.0 0.1 0.1 0.2 0.1 -0.4 0.1 0.6 0.6 0.4 0.3 0.1 -0.2 -0.2 DX -0.0 -0.6 -0.6 0.1 0.0 0.1 0.1 0.1 0.1 -0.0 -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 -0.4 -0.6 -0.6 -0.1 0.2 -0.1 0.3 EUR -0.1 0.4 0.4 0.1 0.0 0.1 0.1 0.1 0.1 0.1 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 -0.1 -0.5 0.2 0.2 0.0 -0.7 -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 0.1 0.3 0.1 0.1 -0.6 -0.7 0.0 0.1 EUROSTX -0.1 0.1 -0.6 0.0 0.0 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 0.0 0.0 0.1 0.2 0.0 0.2 0.0 -0.2 -0.0 -0.6 0.2 0.0 -0.6 -0.2 FEEDCOW 0.6 -0.5 -0.6 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.2 -0.4 0.2 -0.4 -0.0 -0.1 0.4 -0.3 0.3 0.0 -0.2 -0.2 0.2 -0.5 0.0 -1.0 -0.0 0.0 -0.2 0.1 -0.1 0.0 -0.7 0.4 0.3 -0.6 -0.6 0.2 0.7 0.5 0.7 GASOIL -0.3 -0.6 -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 0.0 -0.3 -0.3 -0.1 -0.1 -0.4 -0.2 -0.6 GASOLINE -0.1 -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 0.0 -0.0 -0.1 -2.7 -0.0 0.0 -0.1 0.0 -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 0.2 -0.7 0.1 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 0.1 -0.5 0.1 2.7 -0.0 0.1 -0.2 0.1 -0.3 0.0 -1.1 0.1 0.6 0.6 0.2 -0.2 -0.6 -0.2 -0.7 GBP 0.1 0.4 0.3 0.1 0.0 0.1 0.1 0.1 0.1 0.1 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 0.4 0.2 0.2 0.6 0.2 -0.7 0.3 -0.7 GOLD_micro 0.5 0.5 0.4 0.0 0.1 -0.0 0.1 -0.0 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 -1.4 0.1 0.1 0.1 0.1 0.2 0.1 -0.7 0.5 0.5 0.6 0.6 0.5 -0.1 0.4 0.1 HEATOIL -0.3 -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 -0.1 -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 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.3 0.3 0.3 0.1 0.1 0.0 0.1 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 0.0 2.7 0.0 -0.0 0.0 -0.0 -0.0 0.0 -1.1 -0.5 -0.1 0.3 0.3 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.4 0.6 -0.1 -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 -0.0 0.4 0.6 0.3 0.0 -0.2 0.2 0.1 LIVECOW 0.5 -0.2 0.0 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.2 0.2 0.2 0.3 0.1 -0.0 -0.0 0.2 0.2 0.2 0.1 0.0 0.2 0.2 0.2 -2.1 0.0 0.1 0.0 0.1 0.1 0.1 0.9 0.5 0.6 -0.5 0.6 -0.0 0.7 0.3 0.7 LUMBER-new 0.1 0.2 -0.0 -0.0 0.1 -0.1 0.1 -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 -0.1 0.2 0.3 0.4 0.1 -0.0 0.3 0.1 MILK 0.1 0.5 0.6 -0.0 0.1 -0.1 0.1 -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 -0.5 -0.5 0.3 0.6 0.6 0.0 -0.7 0.2 -0.7 MXP 0.4 -0.2 -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 -0.1 -0.1 -0.6 -0.6 0.4 0.4 0.6 0.6 NASDAQ_micro 0.2 0.1 -0.6 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 -0.2 -0.2 -0.2 0.0 0.0 0.1 0.2 0.1 -2.5 0.0 0.0 0.1 0.1 0.2 0.0 -0.3 0.1 0.4 0.3 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 0.0 0.1 0.0 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 0.0 0.1 0.0 0.0 0.0 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 0.3 0.3 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.1 -0.0 -0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.0 -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 -0.5 -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 0.1 -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 0.1 0.2 -0.4 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 0.1 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.3 0.0 1.0 -0.5 0.4 0.6 0.6 0.4 0.5 0.7 0.7 PALLAD 0.5 0.6 0.5 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.2 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.0 -0.1 0.1 1.9 0.0 -0.0 0.0 0.0 -0.0 0.0 0.3 -0.2 0.1 0.1 0.3 -0.7 -0.7 -0.7 -0.7 PLAT 0.4 0.1 -0.2 0.0 0.0 -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 0.1 -0.0 0.1 0.7 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.3 -0.2 -0.3 -0.0 -0.1 -0.2 -0.3 0.0 REDWHEAT 0.6 0.3 -0.5 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.0 -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 0.3 0.1 -0.6 -0.7 -0.7 -0.7 -0.7 RICE 0.3 -0.0 -0.4 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.1 0.3 0.1 0.5 0.1 0.0 -0.2 0.4 0.1 0.4 0.0 0.0 -0.0 0.2 0.1 -1.7 0.0 -0.1 0.1 -0.0 0.1 0.0 1.1 -0.5 -0.1 0.1 0.6 -0.7 -0.7 -0.7 -0.7 ROBUSTA 0.3 0.4 0.1 -0.0 0.1 -0.1 0.1 -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 0.2 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 0.0 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 0.1 0.3 0.1 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 0.1 0.3 0.1 0.1 -0.7 -0.6 -0.5 -0.3 SILVER-mini 0.5 0.1 -0.1 0.0 0.0 -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 0.1 0.2 0.1 0.3 0.0 0.0 0.0 0.1 0.1 0.1 -0.1 0.3 0.1 0.1 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 0.1 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 -0.0 1.4 0.0 0.0 0.2 0.0 0.3 -0.0 0.5 -0.3 -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 -1.0 0.1 -0.0 0.2 -0.0 0.2 0.0 0.3 -0.4 -0.4 -0.1 0.2 0.3 -0.4 0.7 0.3 SOYBEAN 0.6 0.1 -0.6 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.1 -0.4 0.1 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 0.1 -0.4 0.1 -2.6 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.3 0.0 0.3 -0.1 -0.5 0.0 -0.6 0.2 -0.4 SOYMEAL 0.6 0.2 -0.3 -0.0 0.1 -0.1 0.1 -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 0.1 -0.3 0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.2 0.2 0.1 -0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.4 0.1 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.0 -0.1 0.0 0.0 0.0 0.0 -0.0 -0.1 0.1 -0.2 0.1 -2.5 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.0 0.3 0.3 0.0 0.1 -0.1 -0.3 0.2 -0.1 SP400 0.1 0.2 -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 0.1 0.2 0.1 -1.5 0.1 0.0 0.1 0.1 0.2 0.1 0.0 0.3 0.4 0.3 0.2 0.2 -0.2 -0.2 -0.7 SP500_micro 0.2 0.3 -0.6 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.3 0.2 0.5 0.2 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.2 0.5 0.2 -2.5 0.1 0.0 0.1 0.1 0.3 0.1 -0.5 0.1 0.6 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 0.1 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.1 0.3 0.1 0.1 0.1 0.2 0.0 0.2 -0.1 0.2 -2.7 0.0 0.1 0.0 0.1 -0.0 0.1 0.4 0.5 0.6 0.6 0.6 -0.4 0.4 -0.3 0.5 US10 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 -0.1 -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 -0.1 -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 -0.2 -0.4 -0.1 -0.1 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 0.1 0.1 1.7 0.0 0.0 0.1 0.0 0.0 0.0 -1.1 0.2 0.2 0.3 0.3 0.0 -0.7 0.2 -0.4 US20 0.0 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 -0.1 0.1 0.0 -0.4 0.0 -0.1 0.1 -0.0 0.1 0.0 0.2 -0.2 -0.4 -0.2 -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 0.0 -0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 -0.3 -0.5 -0.3 -0.2 0.1 -0.3 0.7 0.7 US5 0.1 0.6 0.6 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.3 0.0 0.1 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 -0.0 -0.1 0.1 0.2 0.2 -0.7 0.7 -0.0 VIX 0.0 -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 -0.6 0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.0 -0.1 0.1 -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 1.9 11.0 5.1 5.0 2.9 2.7 5.6 1.4 6.0 9.2 10.7 13.6 1.3 15.1 13.1 -0.0 -2.2 -1.0 -1.6 9.5 6.1 16.6 2.3 13.4 2.4 4.5 6.1 2.8 7.7 1.3 6.3 -0.0 11.1 -2.3 1.4 -0.8 12.1 -5.6 18.2 -0.3 BITCOIN 6.3 -4.6 -18.5 2.5 6.1 -1.0 8.1 -1.5 6.8 14.2 -2.3 15.5 7.5 4.2 -6.3 -5.6 -6.7 -5.8 -6.3 -2.8 -2.4 15.7 7.2 6.8 -20.0 -2.1 6.2 -0.6 7.1 6.8 2.6 -1.9 -12.7 -20.0 -20.0 -3.3 -3.0 -3.4 -4.0 1.2 BOBL 4.1 9.4 17.7 3.2 -1.0 3.0 0.0 1.4 1.8 3.8 4.3 5.9 -2.0 6.8 9.5 11.0 -12.1 -6.9 -11.5 9.0 6.6 5.4 0.8 7.2 4.4 3.6 2.1 2.9 2.1 1.1 2.9 -15.2 4.1 5.5 -2.9 -2.4 -20.0 -19.7 -5.5 -5.9 BTP 8.7 8.6 9.9 5.9 -1.8 5.5 0.0 2.6 3.3 5.5 17.7 15.7 17.7 17.1 20.0 6.6 4.3 4.3 3.6 18.2 16.0 12.3 13.7 16.9 -20.0 7.2 2.8 6.3 5.1 5.4 6.9 12.3 20.0 13.6 -9.2 -14.6 -20.0 -13.9 -1.1 7.3 BUND 3.1 7.5 13.8 3.9 -1.2 3.7 0.0 1.7 2.2 1.0 6.4 5.4 1.1 6.9 11.2 -18.5 -2.1 -8.6 -4.8 8.9 7.6 2.5 2.0 5.8 1.4 4.1 0.7 3.8 1.1 2.1 2.6 0.1 2.1 0.5 -8.3 -7.4 -20.0 -18.5 -4.5 -4.2 BUXL -0.1 4.8 8.7 4.6 -1.4 4.3 0.0 2.0 2.5 -8.5 5.3 -0.9 0.9 2.5 10.1 -0.4 -2.0 -0.9 -1.8 5.0 4.8 -5.1 -0.4 0.1 -2.8 2.8 -3.5 3.5 -3.3 2.0 -0.2 2.3 -6.5 -8.8 -16.5 -16.1 -20.0 -20.0 -6.4 -5.7 CAC 1.1 5.6 -18.1 3.2 4.9 4.9 5.9 7.4 4.1 8.9 -8.7 3.7 0.9 8.3 -7.3 -6.6 -2.7 -5.8 -4.1 -5.4 -8.7 7.6 -2.2 2.0 -8.2 -2.8 5.9 -3.8 4.5 0.2 1.2 4.8 -4.6 -8.4 -2.0 -20.0 12.2 5.8 -0.3 1.3 CAD -4.2 15.4 7.0 6.5 3.8 3.6 7.4 1.8 7.9 13.8 1.5 3.6 -13.0 13.7 12.5 -4.2 -3.6 -4.4 -4.1 8.8 3.2 13.8 -3.8 9.8 -1.5 5.0 11.9 2.1 7.7 -1.2 5.6 -3.3 -7.9 -15.1 2.9 -3.4 12.6 -7.3 6.4 -2.8 CANOLA 5.0 -3.1 -0.6 -1.0 3.5 -1.8 2.8 -1.6 1.0 6.6 -4.7 3.1 -6.4 0.0 -3.9 -12.4 -10.8 -12.5 -12.7 -3.3 -5.0 6.5 -5.9 1.0 -13.2 -0.2 4.9 -1.9 3.5 -3.4 1.7 -20.0 1.6 5.2 1.3 -1.7 -3.7 -11.2 4.4 -6.4 CHF -7.6 15.2 20.0 4.3 2.5 2.4 4.9 1.2 5.2 -6.9 8.2 -7.0 -1.3 9.6 12.9 -13.9 -16.1 -14.9 -15.5 14.3 12.3 -0.4 4.1 6.6 4.2 4.9 -1.3 4.5 -0.2 2.0 2.1 -20.0 -20.0 -14.6 11.6 20.0 -3.7 -11.0 -11.9 -12.0 COCOA -2.5 7.9 10.7 -0.9 3.3 -1.7 2.7 -1.5 0.9 6.2 2.0 3.2 3.2 1.9 -1.4 20.0 20.0 20.0 20.0 2.2 5.2 3.7 11.0 2.4 -20.0 2.3 2.8 4.9 2.3 10.3 2.1 20.0 -3.0 0.7 8.1 9.6 20.0 11.1 20.0 16.0 COFFEE 3.9 3.8 4.5 -2.4 8.7 -4.5 6.9 -3.9 2.5 15.7 16.7 15.7 16.3 15.5 15.7 3.7 5.9 4.0 5.0 16.3 17.3 18.3 17.1 17.2 -20.0 6.1 6.6 6.6 6.7 7.5 6.6 7.8 13.3 10.9 20.0 20.0 -2.9 -8.9 6.5 -2.5 COPPER 17.5 3.8 -13.8 1.9 4.6 -0.8 6.1 -1.1 5.2 11.3 -4.1 13.2 -1.2 11.5 -3.8 -4.3 -3.1 -3.4 -2.8 1.8 -1.3 20.0 2.6 12.9 -17.5 2.2 9.3 0.5 8.4 1.4 5.9 4.4 14.1 8.2 1.5 -4.2 20.0 8.8 20.0 20.0 CORN 16.7 5.8 -18.1 -2.5 9.0 -4.6 7.2 -4.1 2.6 15.4 -14.7 13.4 -18.4 10.3 -12.1 -15.5 -15.9 -19.4 -18.9 -7.9 -20.0 6.5 -20.0 4.0 -11.8 -4.5 3.6 -9.0 2.4 -10.7 0.3 -20.0 -13.9 8.1 -0.4 -15.6 -0.8 -5.1 2.6 -0.2 COTTON2 16.8 20.0 -4.6 -1.8 6.7 -3.4 5.3 -3.0 1.9 9.0 -12.4 11.8 -12.2 10.4 -1.2 -10.4 -3.8 -9.9 -7.1 1.7 -8.1 12.6 -11.8 10.2 -20.0 1.3 3.8 -2.2 6.2 -2.4 5.0 -10.9 8.7 10.7 11.2 6.9 -12.9 -12.0 -3.6 -5.7 CRUDE_W -5.9 -12.8 -14.8 -5.0 1.6 -4.2 0.6 -1.7 -2.8 4.9 -8.7 0.1 4.3 -5.4 -10.8 12.3 12.7 12.7 12.8 -13.2 -10.1 3.1 -2.3 -6.7 -1.7 -4.2 1.0 -5.0 3.1 -1.9 -0.1 11.4 5.2 12.6 11.3 3.6 2.3 13.2 2.8 18.4 DAX 0.6 9.3 -10.3 2.9 4.5 4.5 5.4 6.8 3.8 10.8 8.6 11.6 13.8 14.5 11.6 -8.0 -10.2 -8.5 -9.3 7.3 6.0 12.3 10.2 10.9 10.1 2.6 5.1 3.0 5.7 6.4 4.6 -6.6 4.7 1.2 5.4 -16.4 13.9 5.4 3.3 1.7 DOW 6.2 14.8 3.0 2.6 4.0 4.0 4.9 6.1 3.4 10.2 12.3 14.6 14.5 15.3 14.0 -8.6 -10.6 -9.4 -10.1 16.1 14.1 16.5 14.5 17.8 -12.0 5.6 2.2 5.0 5.0 5.3 5.9 -7.6 5.8 20.0 20.0 12.9 10.1 2.0 -4.8 -5.1 DX -0.4 -19.8 -20.0 5.1 2.9 2.8 5.7 1.4 6.2 -4.2 -11.7 -10.3 3.6 -16.2 -17.1 4.8 6.7 5.8 6.4 -20.0 -16.0 -7.7 -5.4 -15.0 -20.0 -6.4 -0.0 -5.1 -2.3 -1.8 -4.6 14.6 -20.0 -12.5 -20.0 -20.0 -1.7 6.3 -2.9 9.0 EUR -3.4 11.7 12.2 5.7 3.3 3.2 6.5 1.6 7.0 6.7 11.4 9.8 -2.0 13.6 15.2 -5.6 -7.0 -6.5 -6.8 13.3 10.8 7.9 4.4 10.5 20.0 6.7 1.9 5.8 3.8 3.2 5.1 -8.5 -3.7 -14.0 5.0 7.6 0.5 -19.6 -5.1 -20.0 EURIBOR-ICE 3.6 12.8 20.0 2.7 -0.8 2.6 0.0 1.2 1.5 4.6 6.1 6.1 4.4 7.3 9.0 4.1 -2.5 1.3 -0.7 11.8 9.8 6.8 5.5 9.5 12.2 3.4 1.8 2.7 2.0 1.6 2.8 2.7 5.0 10.2 3.2 3.0 -19.1 -20.0 1.0 2.8 EUROSTX -1.6 3.2 -17.0 2.7 4.2 4.2 5.1 6.4 3.6 10.2 2.1 5.8 10.6 8.6 0.7 -4.2 -3.1 -4.5 -4.2 -0.8 -0.5 8.6 6.5 4.1 -2.3 -0.8 5.4 0.3 4.7 5.2 1.8 4.1 1.2 -5.9 -1.4 -20.0 7.0 1.3 -16.6 -5.0 FEEDCOW 18.0 -15.2 -20.0 -2.5 9.2 -4.7 7.4 -4.2 2.6 17.4 -13.0 18.4 -12.3 -4.6 -11.4 20.0 -13.2 12.7 0.6 -17.4 -20.0 20.0 -16.7 4.2 -7.6 -4.4 5.1 -5.7 4.7 -3.5 0.5 -13.8 17.1 8.3 -20.0 -19.3 6.1 20.0 15.6 20.0 GASOIL -8.0 -17.0 -18.3 -4.5 1.4 -3.8 0.5 -1.5 -2.5 11.0 -12.9 -4.0 2.0 -9.9 -13.9 3.5 8.6 2.4 3.8 -18.8 -15.1 -1.4 -5.5 -12.9 3.6 -5.5 0.9 -4.5 -0.5 -1.9 -3.8 0.1 1.2 -8.6 -10.0 -3.6 -3.6 -10.9 -5.4 -19.4 GASOLINE -3.4 -14.0 -14.7 -5.0 1.6 -4.2 0.6 -1.7 -2.8 7.8 -9.4 2.9 2.3 -6.6 -11.1 13.8 20.0 20.0 20.0 -13.3 -10.6 4.3 -1.6 -5.8 -20.0 -3.5 2.0 -4.3 4.3 -0.8 0.9 20.0 6.4 19.2 11.4 7.3 9.7 16.8 15.9 20.0 GAS_US_mini 13.4 5.6 -7.2 -6.0 1.9 -5.0 0.7 -2.0 -3.4 12.2 -18.6 13.9 -20.0 6.8 -17.3 -20.0 -20.0 -20.0 -20.0 -5.5 -14.6 16.3 -20.0 6.9 20.0 -2.0 10.7 -5.8 10.2 -9.4 4.1 -20.0 5.7 20.0 20.0 7.2 -6.6 -17.4 -5.5 -19.9 GBP 2.3 13.5 10.7 6.1 3.6 3.4 6.9 1.7 7.5 12.0 19.6 17.7 15.2 20.0 19.6 0.9 -0.5 0.1 -0.3 20.0 19.3 20.0 13.7 20.0 -1.9 8.0 5.7 6.9 8.2 5.2 8.3 2.7 17.7 5.3 6.7 19.3 7.4 -20.0 9.3 -19.7 GOLD_micro 14.7 16.9 13.1 2.4 5.8 -1.0 7.7 -1.4 6.5 17.0 18.8 18.3 17.9 18.7 18.4 -12.5 -13.2 -12.4 -12.5 20.0 20.0 20.0 20.0 20.0 -10.2 6.4 9.3 5.3 9.2 5.5 8.1 -12.7 20.0 14.7 20.0 20.0 14.8 -2.3 13.1 3.1 HEATOIL -8.7 -16.6 -16.1 -4.9 1.5 -4.1 0.6 -1.6 -2.8 10.3 -14.9 -5.4 -3.8 -11.5 -15.1 -5.9 4.6 -5.6 -2.6 -20.0 -17.4 -0.1 -8.8 -12.9 -20.0 -5.9 2.1 -6.3 1.1 -3.4 -2.7 -8.8 -3.2 6.2 -0.7 -1.1 -6.8 4.9 -12.9 3.6 JGB-SGX-mini 7.6 14.9 12.6 2.4 -0.7 2.2 0.0 1.0 1.3 5.1 3.9 7.1 2.0 6.5 6.0 9.8 16.3 13.0 14.7 7.3 4.9 5.4 1.9 6.8 -8.4 2.5 1.1 1.5 1.7 0.1 2.2 20.0 11.5 2.8 4.6 -3.1 -9.6 -5.6 -10.0 3.6 JPY -0.6 20.0 20.0 2.5 1.4 1.4 2.8 0.7 3.0 -7.8 4.9 -0.7 -3.7 4.8 7.9 -10.6 -14.8 -12.0 -13.3 9.4 6.2 -3.5 -2.2 4.3 20.0 2.6 -2.2 1.7 -1.0 -0.6 1.1 -20.0 -20.0 -4.0 9.2 10.0 -20.0 -20.0 -20.0 -20.0 LEANHOG 12.8 20.0 -3.9 -2.8 10.2 -5.2 8.1 -4.6 2.9 18.0 -6.0 20.0 -7.7 20.0 11.8 20.0 20.0 20.0 20.0 12.6 -3.6 19.7 -13.5 20.0 4.8 3.8 5.7 -1.1 7.5 -3.7 7.2 20.0 -0.1 11.5 20.0 9.4 0.5 -4.9 5.5 3.7 LIVECOW 15.4 -7.5 0.5 -2.9 10.5 -5.4 8.4 -4.8 3.0 19.8 6.4 20.0 7.7 6.6 -0.7 -1.1 9.8 7.8 11.0 5.7 4.1 20.0 6.7 18.9 -15.8 0.6 11.8 0.8 11.6 3.3 5.6 16.9 20.0 20.0 -14.8 20.0 -0.6 20.0 8.0 20.0 LUMBER-new 2.0 6.5 -1.0 -1.6 5.9 -3.0 4.7 -2.6 1.7 6.8 -8.1 5.6 -9.0 -0.1 0.6 -19.1 -18.0 -18.6 -18.2 -1.3 -5.7 6.7 -8.2 2.3 NaN 0.3 6.2 -3.2 5.2 -5.3 2.6 -20.0 -4.4 4.6 7.9 9.6 2.1 -1.2 6.7 1.7 MILK 2.7 15.1 20.0 -1.7 6.3 -3.2 5.0 -2.9 1.8 -8.1 12.4 2.1 7.5 10.0 11.1 20.0 -9.8 20.0 5.0 17.7 17.1 1.8 9.1 11.7 13.8 4.6 -1.3 4.5 0.3 2.2 2.9 -8.7 -20.0 8.6 20.0 20.0 0.1 -20.0 7.2 -20.0 MXP 11.7 -6.3 -19.4 2.7 1.6 1.5 3.1 0.8 3.3 -5.0 -8.0 3.3 -4.6 -2.0 -7.2 9.7 13.7 10.3 11.6 -7.7 -9.8 0.7 -4.9 -1.4 -20.0 -2.7 -1.4 -3.5 0.2 -1.7 -0.4 20.0 -4.1 -2.9 -20.0 -20.0 13.3 12.6 17.6 19.4 NASDAQ_micro 6.0 2.7 -20.0 1.8 2.8 2.8 3.4 4.2 2.4 10.3 2.8 10.5 7.7 8.7 1.2 -6.6 -9.7 -7.7 -8.8 3.2 4.4 12.1 9.1 7.6 -18.6 2.5 4.0 3.0 4.6 5.2 3.8 -5.7 2.9 12.0 8.2 4.4 2.2 3.9 -9.4 -0.1 NIKKEI -3.6 -2.7 -20.0 1.2 1.8 1.8 2.2 2.7 1.5 6.7 1.0 2.5 3.0 4.0 0.5 2.2 8.7 5.6 7.2 -1.7 -1.0 4.5 2.3 0.8 -6.3 -1.6 1.5 -1.1 1.1 0.8 -0.3 20.0 1.9 -1.8 -14.8 -12.6 11.1 1.7 10.2 0.8 NZD 0.6 17.1 3.8 4.1 2.4 2.2 4.6 1.1 4.9 6.4 8.0 8.9 1.6 12.8 11.8 -0.1 0.1 -0.1 -0.0 9.6 5.6 12.2 1.8 11.4 0.2 4.0 4.6 2.2 5.3 0.9 4.9 3.4 5.0 -1.1 9.8 -1.8 4.6 -5.9 2.7 -0.5 OAT 1.8 10.3 9.6 4.1 -1.2 3.8 0.0 1.8 2.3 -10.0 2.1 -2.0 -1.0 2.8 10.6 6.1 4.0 3.8 3.2 6.6 4.4 -5.0 -0.6 2.2 3.6 3.3 -4.5 2.7 -2.7 1.1 1.0 11.7 -10.0 -3.8 -11.1 -16.9 -12.5 -15.2 2.3 2.0 OATIES 20.0 20.0 -2.6 -2.1 7.7 -3.9 6.1 -3.5 2.2 10.0 -6.5 12.8 -13.0 13.1 1.4 2.5 2.5 4.0 4.0 13.7 -0.3 14.3 -9.3 19.7 -20.0 3.2 3.3 0.0 3.5 -1.7 4.7 3.8 -17.9 20.0 20.0 1.1 15.4 0.8 20.0 10.4 OJ 4.0 4.4 -2.6 -2.0 7.4 -3.8 5.9 -3.4 2.1 4.6 13.6 6.5 14.3 10.4 11.5 14.5 12.3 12.4 11.3 15.2 17.0 6.2 19.7 11.4 -20.0 5.1 1.5 6.1 1.7 8.8 3.7 18.1 -19.2 12.5 20.0 20.0 12.7 14.0 20.0 20.0 PALLAD 16.1 17.2 15.3 1.2 2.9 -0.5 3.8 -0.7 3.2 -5.6 0.2 3.8 -6.1 5.8 4.3 -1.6 -2.0 -1.7 -1.8 5.6 1.1 4.4 -4.2 7.7 14.4 2.2 -0.5 0.4 1.7 -1.2 3.0 6.1 -10.3 2.8 3.8 9.6 -20.0 -20.0 -20.0 -20.0 PLAT 12.4 1.9 -5.4 1.7 4.2 -0.7 5.6 -1.0 4.7 4.9 -5.4 8.7 -4.4 7.2 -3.3 -4.1 -4.4 -4.6 -4.6 0.9 -1.1 6.6 -1.0 5.3 5.2 0.9 2.9 -1.1 3.6 -0.9 3.6 1.6 -14.6 -5.3 -8.9 -1.1 -2.2 -7.1 -8.6 0.7 REDWHEAT 17.8 7.7 -14.1 -2.7 9.7 -5.0 7.7 -4.4 2.7 -3.4 -15.7 1.4 -18.3 6.5 -14.0 -9.6 -6.4 -9.9 -8.8 -6.1 -14.2 0.9 -19.5 1.2 -5.2 -3.7 2.3 -6.4 -0.2 -7.6 -0.6 -14.7 -20.0 8.8 2.6 -20.0 -20.0 -20.0 -20.0 -20.0 RICE 9.6 -0.9 -13.1 -2.7 9.7 -5.0 7.8 -4.4 2.8 -12.8 11.4 7.2 14.0 9.4 1.4 -10.4 20.0 6.7 20.0 3.1 3.2 -0.7 8.3 5.4 -12.9 1.5 -14.4 2.2 -2.3 3.8 1.7 20.0 -20.0 -2.9 2.8 18.5 -20.0 -20.0 -20.0 -20.0 ROBUSTA 9.4 12.1 4.4 -1.6 5.9 -3.0 4.7 -2.7 1.7 10.1 12.5 10.5 12.3 11.8 12.2 20.0 20.0 20.0 20.0 20.0 20.0 17.4 20.0 20.0 -20.0 4.7 3.2 5.4 3.2 6.7 4.0 20.0 11.7 18.0 20.0 20.0 7.8 -3.8 17.2 3.1 RUSSELL 1.4 3.4 3.1 2.1 3.2 3.2 3.9 4.8 2.7 3.3 4.7 7.2 8.9 5.9 3.7 -4.8 -6.3 -5.4 -5.9 5.7 5.8 7.4 6.0 7.3 -0.7 4.0 0.1 4.1 3.0 3.9 3.9 -0.2 3.5 9.6 4.1 9.5 1.6 -14.1 -9.2 -20.0 SHATZ 3.0 12.7 20.0 2.5 -0.7 2.3 0.0 1.1 1.4 4.4 3.5 5.4 -1.8 6.1 7.6 -20.0 -20.0 -20.0 -20.0 9.1 6.2 7.2 -0.3 8.0 6.5 2.9 2.3 2.1 2.2 0.4 2.5 -20.0 5.8 9.2 3.0 4.1 -20.0 -18.3 -13.5 -10.0 SILVER-mini 14.4 4.4 -4.2 1.7 4.2 -0.7 5.5 -1.0 4.7 8.8 6.1 11.5 6.4 10.9 3.8 -6.8 -6.5 -6.4 -6.3 6.8 5.2 16.7 6.6 13.1 2.2 2.7 5.1 1.4 6.1 1.9 5.3 -1.6 11.2 2.6 1.7 4.4 6.7 -2.8 1.9 9.7 SMI -17.6 -2.9 -5.5 2.5 3.9 3.9 4.8 6.0 3.3 10.1 10.0 -8.1 13.0 1.7 3.3 -0.4 0.1 -1.8 -1.5 -1.1 6.3 0.4 11.3 -4.2 10.5 2.0 5.1 6.1 0.3 8.1 -0.9 9.2 -11.7 -20.0 6.6 5.5 -0.3 1.0 -14.0 -3.9 SOFR -0.8 17.6 20.0 5.3 -1.6 4.9 0.0 2.3 2.9 -15.6 15.8 -3.9 10.3 9.4 16.6 3.4 -0.2 1.6 0.4 20.0 20.0 -7.6 13.2 8.3 -7.2 5.5 -4.7 6.7 -3.3 4.6 1.0 5.7 -15.6 -11.7 -2.0 5.0 9.7 -12.5 20.0 9.4 SOYBEAN 20.0 2.6 -18.5 -1.6 5.9 -3.0 4.7 -2.7 1.7 10.9 -9.1 10.8 -10.0 5.2 -6.8 -5.2 1.0 -6.7 -4.3 -6.0 -14.5 11.0 -15.4 4.9 -19.7 -2.5 5.3 -5.0 3.6 -4.8 1.1 -4.8 1.9 9.7 -3.8 -15.1 0.8 -16.8 7.5 -11.1 SOYMEAL 17.4 6.6 -9.9 -1.8 6.6 -3.4 5.3 -3.0 1.9 9.4 -8.8 10.0 -11.5 7.7 -4.8 -6.7 3.0 -3.6 -0.8 -0.6 -8.4 6.6 -11.7 5.6 -20.0 -1.6 4.5 -4.1 3.0 -4.4 1.3 -0.0 -8.5 5.3 2.9 -4.7 -20.0 -20.0 -20.0 -20.0 SOYOIL 12.4 2.0 1.8 -1.2 4.3 -2.2 3.4 -1.9 1.2 8.1 -6.5 6.1 -8.3 2.7 -5.2 0.3 1.4 2.0 1.3 -2.2 -6.2 12.8 -8.1 4.6 -18.4 -0.2 7.7 -2.0 5.4 -2.7 2.6 0.0 11.5 10.6 1.1 1.9 -2.5 -8.9 6.4 -3.3 SP400 3.0 5.5 -4.8 2.4 3.7 3.7 4.5 5.6 3.1 8.5 7.3 11.3 11.6 10.3 6.2 -5.9 -5.9 -6.0 -5.9 6.8 6.2 13.3 8.4 11.0 -11.0 4.7 1.8 4.4 5.2 4.9 5.5 0.2 11.0 13.9 9.4 5.8 5.3 -6.3 -6.9 -20.0 SP500_micro 6.2 9.7 -17.1 2.4 3.7 3.7 4.6 5.7 3.2 12.2 11.8 14.4 14.0 14.1 11.2 -8.5 -11.7 -9.9 -11.0 11.4 12.8 17.1 17.3 14.7 -18.9 4.7 4.0 5.3 5.7 7.2 5.6 -9.4 6.2 18.8 16.5 12.0 6.6 3.1 -8.3 -1.9 SUGAR11 20.0 20.0 8.7 -1.9 6.8 -3.5 5.5 -3.1 1.9 12.9 -3.8 13.9 -9.2 12.4 6.7 14.9 6.8 4.1 3.3 14.9 1.5 20.0 -4.6 20.0 -20.0 3.3 7.9 0.3 8.5 -1.1 6.4 6.6 20.0 20.0 20.0 20.0 -12.5 11.3 -9.7 14.8 US10 2.3 16.5 20.0 4.0 -1.2 3.7 0.0 1.7 2.2 -11.4 11.5 2.8 4.5 8.7 12.8 -6.7 -7.4 -7.0 -7.1 16.4 15.8 -2.3 5.9 7.9 2.3 4.4 -2.8 5.0 -1.5 3.0 1.4 -6.7 -3.1 -6.1 -0.2 2.0 4.1 -20.0 20.0 6.7 US10U 1.9 15.3 20.0 5.2 -1.5 4.9 0.0 2.3 2.9 -15.6 14.5 1.6 4.0 10.2 16.1 -4.5 -3.2 -4.3 -4.0 18.9 18.0 -5.4 5.9 8.2 -1.1 5.3 -5.4 6.3 -3.1 3.7 1.2 -0.5 -7.3 -10.9 -3.9 -1.9 4.8 -17.7 20.0 17.4 US2 10.1 20.0 20.0 2.8 -0.8 2.6 0.0 1.2 1.5 -1.1 6.7 6.9 0.7 8.6 9.4 -20.0 -20.0 -20.0 -20.0 15.3 12.1 5.0 2.3 11.0 13.0 3.3 0.2 3.0 0.9 1.2 2.1 -20.0 7.2 5.4 10.5 8.1 0.3 -20.0 5.4 -12.6 US20 0.0 14.4 20.0 3.9 -1.2 3.7 0.0 1.7 2.2 -12.3 10.7 -1.5 5.1 6.1 11.3 -2.1 -1.0 -1.5 -1.1 12.6 12.8 -7.0 5.1 4.0 -3.3 3.6 -5.7 5.0 -3.7 3.4 0.0 3.9 -9.7 -11.6 -5.2 -3.1 5.7 -10.2 20.0 20.0 US30 -0.6 12.3 17.3 4.4 -1.3 4.1 0.0 1.9 2.4 -13.9 11.0 -3.8 2.9 5.6 11.9 -7.2 -5.4 -6.0 -5.5 11.1 11.1 -9.1 2.9 2.5 -2.2 3.6 -7.6 5.1 -5.2 3.3 -0.7 -3.5 -12.0 -14.3 -9.1 -7.6 2.3 -9.2 20.0 20.0 US5 4.1 18.2 20.0 3.9 -1.2 3.7 0.0 1.7 2.2 -10.6 11.1 4.6 3.4 9.7 12.9 -10.0 -10.9 -11.0 -10.9 18.2 16.6 0.1 5.8 10.0 7.1 4.5 -1.7 4.7 -0.5 2.6 2.0 -13.0 -0.6 -1.8 4.0 5.4 5.4 -20.0 20.0 -0.1 VIX 0.2 -0.4 20.0 0.9 -0.7 0.5 -1.0 -1.4 -0.3 -6.9 -4.9 -3.6 -6.8 -6.1 -4.7 4.4 -20.0 -12.4 -20.0 0.5 -0.3 -2.2 -4.0 -0.9 NaN 0.9 -0.8 0.5 -1.1 -1.7 -0.4 NaN NaN NaN NaN NaN -12.5 -20.0 NaN NaN WHEAT 20.0 9.4 -15.4 -2.4 8.8 -4.5 7.0 -4.0 2.5 3.1 -12.9 9.6 -15.3 10.6 -10.5 -13.1 -15.0 -15.2 -15.5 -2.4 -11.8 8.6 -16.5 7.3 3.8 -2.0 5.3 -5.0 3.5 -5.8 2.1 -20.0 -14.9 16.6 7.7 -19.1 -20.0 -20.0 -20.0 -17.7 End of report for caleb_strategy_v3