******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240927_203906 produced at 2024-09-27 21:37:38.766710 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 DX False False 0.03 0.00 -0.14 0.0 999.00 -999.00 0.00 0.00 -4.09 999999999.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.06 -0.09 0.0 0.52 -0.52 -0.06 -0.06 -10.13 60.0 -7 -7 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.06 0.0 0.10 -0.10 -0.03 -0.03 -1.78 3.0 -1 -1 caleb_strategy_v3 VIX False False 0.01 -0.03 -0.06 0.0 999.00 -999.00 -0.03 -0.03 -9.92 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 -6.06 12.0 -5 -5 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -18.29 59.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.70 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 -1.38 4.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.02 0.0 0.08 -0.08 0.00 0.00 -1.97 8.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.16 -0.16 -0.01 -0.00 -6.23 51.0 -2 -1 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.02 0.0 0.33 -0.33 -0.04 -0.04 -0.40 8.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.02 0.0 0.14 -0.14 -0.05 -0.05 -1.24 11.0 -4 -4 caleb_strategy_v3 RICE False False 0.01 0.00 -0.02 0.0 0.04 -0.04 0.00 0.00 -1.56 4.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.01 -0.02 0.0 0.10 -0.10 -0.01 -0.01 -1.53 9.0 -1 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.03 -0.01 0.0 0.32 -0.32 -0.03 -0.01 -0.42 23.0 -2 -1 caleb_strategy_v3 LUMBER-new False False 0.01 -0.01 -0.01 0.0 0.02 -0.02 -0.01 -0.01 -1.16 3.0 -2 -2 caleb_strategy_v3 JPY False False 0.03 0.00 -0.01 0.0 0.53 -0.53 0.00 0.00 -0.23 17.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.08 -0.01 0.0 0.13 -0.13 -0.08 -0.08 -0.62 7.0 -4 -4 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.01 0.0 0.07 -0.07 -0.03 -0.02 -5.02 26.0 -9 -7 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.01 0.0 0.11 -0.11 -0.02 -0.02 -0.73 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 -0.16 4.0 0 0 caleb_strategy_v3 CHF False False 0.05 0.05 -0.01 0.0 0.68 -0.68 0.05 0.05 -0.10 13.0 1 1 caleb_strategy_v3 PLAT False False 0.02 0.00 0.00 0.0 0.18 -0.18 0.00 0.00 0.07 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 -0.02 10.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.09 12.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.23 0.00 0.0 0.28 -0.28 0.23 0.23 0.06 6.0 5 5 caleb_strategy_v3 BOBL False False 0.05 0.00 0.00 0.0 0.89 -0.89 0.00 0.00 0.11 19.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.13 999999999.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.34 10.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.09 2.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.04 0.01 0.0 0.15 -0.15 0.04 0.04 1.53 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 0.23 6.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.01 0.0 0.00 0.00 0.00 0.00 1.68 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 0.13 2.0 2 2 caleb_strategy_v3 CAD False False 0.03 0.00 0.01 0.0 0.75 -0.75 0.00 0.00 0.37 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 2.32 68.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.32 9.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.00 0.01 0.0 0.33 -0.33 0.00 0.00 1.29 36.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 -0.02 0.01 0.0 0.40 -0.40 -0.02 -0.02 0.50 20.0 -1 -1 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.01 0.0 0.12 -0.12 0.02 0.02 0.55 5.0 1 1 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.72 999999999.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.02 0.0 0.42 -0.42 0.02 0.02 0.88 23.0 1 1 caleb_strategy_v3 US10U False False 0.04 0.00 0.02 0.0 0.54 -0.54 0.00 0.00 0.52 13.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.05 0.02 0.0 0.49 -0.49 0.05 0.05 0.36 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 1.61 5.0 1 1 caleb_strategy_v3 COCOA False False 0.02 0.00 0.02 0.0 0.61 -0.61 0.00 0.00 0.69 26.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.02 0.0 0.49 -0.49 0.00 0.00 1.60 48.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.02 0.0 0.07 -0.07 0.02 0.02 0.69 3.0 1 1 caleb_strategy_v3 US10 False False 0.04 0.00 0.03 0.0 0.68 -0.68 0.00 0.00 0.65 17.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.02 0.04 0.0 0.46 -0.46 0.02 0.04 1.84 21.0 1 2 caleb_strategy_v3 US5 False False 0.04 0.15 0.04 0.0 0.96 -0.96 0.15 0.12 1.11 25.0 4 3 caleb_strategy_v3 SMI False True 0.05 0.00 0.04 0.0 0.00 0.00 0.00 0.00 0.75 9.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.04 0.0 0.49 -0.49 0.00 0.00 5.88 66.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 0.05 0.0 0.00 0.00 0.00 0.00 0.75 13.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.10 0.06 0.0 0.46 -0.46 0.10 0.10 2.47 19.0 4 4 caleb_strategy_v3 EUR False False 0.05 0.10 0.06 0.0 0.68 -0.68 0.10 0.10 1.28 14.0 2 2 caleb_strategy_v3 DAX False False 0.01 0.02 0.06 0.0 0.44 -0.44 0.02 0.02 8.52 58.0 3 2 caleb_strategy_v3 COPPER False False 0.04 0.08 0.07 0.0 999.00 -999.00 0.08 0.08 1.67 999999999.0 2 2 caleb_strategy_v3 BTP False False 0.05 0.05 0.07 0.0 0.47 -0.47 0.05 0.05 1.58 10.0 1 1 caleb_strategy_v3 LIVECOW False False 0.03 0.10 0.07 0.0 0.44 -0.44 0.10 0.10 2.88 17.0 4 4 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.08 0.0 0.13 -0.13 0.05 0.05 7.40 13.0 5 5 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 0.08 0.0 0.52 -0.52 -0.01 0.02 8.96 56.0 -1 2 caleb_strategy_v3 GBP False False 0.03 0.03 0.10 0.0 0.64 -0.64 0.03 0.03 3.29 22.0 1 1 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.28 0.47 0.0 0.55 -0.55 0.28 0.28 13.52 16.0 8 8 caleb_strategy_v3 SOFR False True 0.08 0.00 0.90 0.0 0.00 0.00 0.00 0.00 10.68 11.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.00 0.96 0.0 0.95 -0.95 0.00 0.00 10.11 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 9.2 Shocked risk 20.6 Sum abs risk 32.2 Leverage 4.20 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2869816.46, 'annual_cash_vol_target': 717454.115, 'daily_cash_vol_target': 44840.8821875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6914 0.6297 10.0755 BITCOIN 1609.3429 66290.0000 2.4277 38.8437 BOBL 0.2469 120.0500 0.2057 3.2912 BTP 0.4870 121.5600 0.4006 6.4102 BUND 0.4616 134.9500 0.3420 5.4728 BUXL 1.1166 136.1800 0.8199 13.1191 CAC 69.2807 7782.0000 0.8903 14.2443 CAD 0.0028 0.7415 0.3745 5.9915 CANOLA 9.6993 615.1000 1.5769 25.2299 CHF 0.0056 1.1993 0.4672 7.4753 COCOA 146.5114 6780.0000 2.1609 34.5750 COFFEE 4.8811 267.1000 1.8274 29.2389 COPPER 0.0621 4.5900 1.3537 21.6594 CORN 4.6142 452.0000 1.0208 16.3333 COTTON2 1.0877 72.7700 1.4946 23.9143 CRUDE_W 1.2189 67.7900 1.7981 28.7690 DAX 152.1360 19566.0000 0.7776 12.4408 DOW 254.0897 42729.0000 0.5947 9.5145 DX 0.3558 100.1300 0.3554 5.6861 EUR 0.0046 1.1200 0.4127 6.6037 EURIBOR-ICE 0.0448 98.0850 0.0456 0.7302 EUROSTX 47.3444 5078.0000 0.9323 14.9175 FEEDCOW 1.7237 239.6500 0.7193 11.5081 GASOIL 11.0510 653.0000 1.6923 27.0774 GASOLINE 0.0348 1.8941 1.8389 29.4219 GAS_US_mini 0.0875 3.3050 2.6480 42.3680 GBP 0.0065 1.3383 0.4829 7.7268 GOLD_micro 18.2660 2670.5000 0.6840 10.9439 HEATOIL 0.0357 2.1759 1.6412 26.2599 JGB-SGX-mini 0.2531 144.6600 0.1750 2.7993 JPY 0.0001 0.0071 0.7612 12.1795 LEANHOG 0.9769 73.4000 1.3309 21.2941 LIVECOW 1.1874 184.6000 0.6432 10.2917 LUMBER-new 8.6604 550.0000 1.5746 25.1939 MILK 0.2809 21.2300 1.3229 21.1664 MXP 0.0005 0.0502 0.9414 15.0623 NASDAQ_micro 187.6752 20249.5000 0.9268 14.8290 NIKKEI 590.4590 38660.0000 1.5273 24.4370 NZD 0.0043 0.6354 0.6753 10.8055 OAT 0.4488 126.8600 0.3538 5.6603 OATIES 5.8149 382.7500 1.5193 24.3080 OJ 8.9242 463.2500 1.9264 30.8230 PALLAD 27.7449 1015.0000 2.7335 43.7358 PLAT 15.8570 1016.1000 1.5606 24.9692 REDWHEAT 9.2327 591.5000 1.5609 24.9744 RICE 0.1487 15.2350 0.9761 15.6169 ROBUSTA 81.9735 5201.0000 1.5761 25.2178 RUSSELL 24.1534 2248.1000 1.0744 17.1902 SHATZ 0.0905 107.1650 0.0845 1.3512 SILVER-mini 0.5207 32.0625 1.6241 25.9851 SMI 83.5928 12224.0000 0.6838 10.9415 SOFR 0.0519 96.9500 0.0535 0.8564 SOYBEAN 11.6286 1099.5000 1.0576 16.9220 SOYMEAL 5.1418 343.9000 1.4952 23.9224 SOYOIL 0.7487 42.5200 1.7609 28.1740 SP400 26.0708 3148.4000 0.8281 13.2490 SP500_micro 38.1932 5799.7500 0.6585 10.5365 SUGAR11 0.3560 21.1700 1.6818 26.9093 US10 0.3416 114.7031 0.2978 4.7656 US10U 0.4684 118.7656 0.3944 6.3104 US2 0.1038 104.3008 0.0995 1.5925 US20 0.7029 124.8125 0.5632 9.0105 US30 1.0749 133.8125 0.8033 12.8524 US5 0.2285 110.2266 0.2073 3.3163 VIX 0.6960 18.0500 3.8558 61.6927 WHEAT 8.7372 642.2500 1.3604 21.7666 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 691.45 0.63 435.42 1.00 435.42 44840.88 102.98 9.26 95.38 BITCOIN 66.29 2.43 160.93 1.00 160.93 44840.88 278.63 -6.06 -168.88 BOBL 1200.50 0.21 246.94 1.12 275.34 44840.88 162.85 0.64 10.47 BTP 1215.60 0.40 487.01 1.12 543.02 44840.88 82.58 5.62 46.39 BUND 1349.50 0.34 461.59 1.12 514.68 44840.88 87.12 -0.26 -2.26 BUXL 1361.80 0.82 1116.60 1.12 1245.01 44840.88 36.02 -4.32 -15.54 CAC 778.20 0.89 692.81 1.12 772.48 44840.88 58.05 0.43 2.52 CAD 741.45 0.37 277.65 1.00 277.65 44840.88 161.50 0.89 14.33 CANOLA 123.02 1.58 193.99 0.74 144.05 44840.88 311.28 -8.23 -256.28 CHF 1499.12 0.47 700.40 1.00 700.40 44840.88 64.02 -0.59 -3.81 COCOA 678.00 2.16 1465.11 1.00 1465.11 44840.88 30.61 10.59 32.42 COFFEE 1001.63 1.83 1830.40 1.00 1830.40 44840.88 24.50 7.92 19.41 COPPER 1147.50 1.35 1553.38 1.00 1553.38 44840.88 28.87 5.36 15.46 CORN 226.00 1.02 230.71 1.00 230.71 44840.88 194.36 -12.82 -249.20 COTTON2 363.85 1.49 543.83 1.00 543.83 44840.88 82.45 -7.03 -57.93 CRUDE_W 677.90 1.80 1218.91 1.00 1218.91 44840.88 36.79 1.38 5.06 DAX 195.66 0.78 152.14 1.12 169.63 44840.88 264.34 9.45 249.77 DOW 213.64 0.59 127.04 1.00 127.04 44840.88 352.95 7.17 253.20 DX 1001.30 0.36 355.84 1.00 355.84 44840.88 126.01 -12.50 -157.53 EUR 1399.94 0.41 577.80 1.00 577.80 44840.88 77.61 6.34 49.18 EURIBOR-ICE 2452.12 0.05 111.91 1.12 124.78 44840.88 359.37 8.25 296.42 EUROSTX 507.80 0.93 473.44 1.12 527.89 44840.88 84.94 1.73 14.68 FEEDCOW 1198.25 0.72 861.85 1.00 861.85 44840.88 52.03 -2.30 -11.98 GASOIL 653.00 1.69 1105.10 1.00 1105.10 44840.88 40.58 -7.84 -31.80 GASOLINE 795.52 1.84 1462.86 1.00 1462.86 44840.88 30.65 0.95 2.90 GAS_US_mini 82.62 2.65 218.79 1.00 218.79 44840.88 204.95 -2.26 -46.37 GBP 836.44 0.48 403.93 1.00 403.93 44840.88 111.01 11.43 126.84 GOLD_micro 267.05 0.68 182.66 1.00 182.66 44840.88 245.49 10.70 262.55 HEATOIL 913.88 1.64 1499.90 1.00 1499.90 44840.88 29.90 -13.75 -41.12 JGB-SGX-mini 144660.00 0.17 25309.05 0.01 174.98 44840.88 256.27 4.87 124.89 JPY 888.12 0.76 676.06 1.00 676.06 44840.88 66.33 -1.36 -9.05 LEANHOG 293.60 1.33 390.75 1.00 390.75 44840.88 114.76 10.61 121.70 LIVECOW 738.40 0.64 474.96 1.00 474.96 44840.88 94.41 9.20 86.85 LUMBER-new 151.25 1.57 238.16 1.00 238.16 44840.88 188.28 -2.88 -54.21 MILK 424.60 1.32 561.70 1.00 561.70 44840.88 79.83 9.43 75.25 MXP 251.00 0.94 236.29 1.00 236.29 44840.88 189.77 -3.64 -69.01 NASDAQ_micro 404.99 0.93 375.35 1.00 375.35 44840.88 119.46 -1.50 -17.91 NIKKEI 38660.00 1.53 59045.90 0.01 411.90 44840.88 108.86 1.10 11.93 NZD 635.45 0.68 429.15 1.00 429.15 44840.88 104.49 6.81 71.10 OAT 1268.60 0.35 448.79 1.12 500.41 44840.88 89.61 1.18 10.58 OATIES 191.38 1.52 290.75 1.00 290.75 44840.88 154.23 4.48 69.12 OJ 694.88 1.93 1338.63 1.00 1338.63 44840.88 33.50 9.61 32.19 PALLAD 1015.00 2.73 2774.49 1.00 2774.49 44840.88 16.16 1.63 2.63 PLAT 508.05 1.56 792.85 1.00 792.85 44840.88 56.56 0.38 2.17 REDWHEAT 295.75 1.56 461.64 1.00 461.64 44840.88 97.13 -15.28 -148.39 RICE 304.70 0.98 297.40 1.00 297.40 44840.88 150.77 -4.26 -64.31 ROBUSTA 520.10 1.58 819.73 1.00 819.73 44840.88 54.70 13.85 75.74 RUSSELL 112.40 1.07 120.77 1.00 120.77 44840.88 371.30 1.89 70.10 SHATZ 1071.65 0.08 90.50 1.12 100.91 44840.88 444.36 -1.56 -69.32 SILVER-mini 801.56 1.62 1301.79 1.00 1301.79 44840.88 34.45 6.13 21.11 SMI 1222.40 0.68 835.93 1.18 983.47 44840.88 45.59 4.82 21.99 SOFR 2423.75 0.05 129.74 1.00 129.74 44840.88 345.63 5.09 175.79 SOYBEAN 549.75 1.06 581.43 1.00 581.43 44840.88 77.12 -8.68 -66.91 SOYMEAL 343.90 1.50 514.18 1.00 514.18 44840.88 87.21 -8.95 -78.03 SOYOIL 255.12 1.76 449.24 1.00 449.24 44840.88 99.82 -3.67 -36.66 SP400 3148.40 0.83 2607.08 1.00 2607.08 44840.88 17.20 2.20 3.78 SP500_micro 289.99 0.66 190.97 1.00 190.97 44840.88 234.81 2.93 68.78 SUGAR11 237.10 1.68 398.77 1.00 398.77 44840.88 112.45 6.38 71.75 US10 1147.03 0.30 341.64 1.00 341.64 44840.88 131.25 3.92 51.39 US10U 1187.66 0.39 468.41 1.00 468.41 44840.88 95.73 4.29 41.04 US2 2086.02 0.10 207.62 1.00 207.62 44840.88 215.97 2.74 59.08 US20 1248.12 0.56 702.89 1.00 702.89 44840.88 63.79 3.98 25.42 US30 1338.12 0.80 1074.88 1.00 1074.88 44840.88 41.72 1.06 4.42 US5 1102.27 0.21 228.46 1.00 228.46 44840.88 196.27 4.46 87.55 VIX 180.50 3.86 695.97 1.00 695.97 44840.88 64.43 -6.24 -40.20 WHEAT 321.12 1.36 436.86 1.00 436.86 44840.88 102.64 -11.25 -115.45 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 95.384 0.010 2.5 2.475 BITCOIN -168.876 0.043 2.5 -18.287 BOBL 10.472 0.004 2.5 0.106 BTP 46.395 0.014 2.5 1.582 BUND -2.257 0.004 2.5 -0.023 BUXL -15.544 0.004 2.5 -0.158 CAC 2.517 0.014 2.5 0.086 CAD 14.328 0.010 2.5 0.372 CANOLA -256.281 0.010 2.5 -6.235 CHF -3.806 0.010 2.5 -0.099 COCOA 32.419 0.009 2.5 0.694 COFFEE 19.413 0.005 2.5 0.227 COPPER 15.465 0.043 2.5 1.675 CORN -249.200 0.010 2.5 -6.063 COTTON2 -57.932 0.009 2.5 -1.241 CRUDE_W 5.061 0.043 2.5 0.548 DAX 249.768 0.014 2.5 8.519 DOW 253.202 0.009 2.5 5.884 DX -157.528 0.010 2.5 -4.087 EUR 49.181 0.010 2.5 1.276 EURIBOR-ICE 296.422 0.014 2.5 10.110 EUROSTX 14.684 0.014 2.5 0.501 FEEDCOW -11.979 0.013 2.5 -0.397 GASOIL -31.798 0.017 2.5 -1.378 GASOLINE 2.899 0.017 2.5 0.126 GAS_US_mini -46.374 0.043 2.5 -5.022 GBP 126.844 0.010 2.5 3.291 GOLD_micro 262.552 0.014 2.5 8.955 HEATOIL -41.116 0.017 2.5 -1.782 JGB-SGX-mini 124.891 0.043 2.5 13.524 JPY -9.046 0.010 2.5 -0.235 LEANHOG 121.704 0.024 2.5 7.396 LIVECOW 86.847 0.013 2.5 2.878 LUMBER-new -54.206 0.009 2.5 -1.161 MILK 75.247 0.009 2.5 1.612 MXP -69.012 0.059 2.5 -10.129 NASDAQ_micro -17.909 0.009 2.5 -0.416 NIKKEI 11.929 0.043 2.5 1.292 NZD 71.105 0.010 2.5 1.845 OAT 10.585 0.014 2.5 0.361 OATIES 69.121 0.010 2.5 1.682 OJ 32.191 0.009 2.5 0.689 PALLAD 2.635 0.014 2.5 0.090 PLAT 2.168 0.014 2.5 0.074 REDWHEAT -148.385 0.005 2.5 -1.968 RICE -64.305 0.010 2.5 -1.564 ROBUSTA 75.736 0.005 2.5 0.884 RUSSELL 70.104 0.013 2.5 2.323 SHATZ -69.321 0.004 2.5 -0.703 SILVER-mini 21.112 0.014 2.5 0.720 SMI 21.990 0.014 2.5 0.750 SOFR 175.790 0.024 2.5 10.683 SOYBEAN -66.911 0.004 2.5 -0.622 SOYMEAL -78.027 0.004 2.5 -0.726 SOYOIL -36.655 0.004 2.5 -0.341 SP400 3.781 0.013 2.5 0.125 SP500_micro 68.777 0.009 2.5 1.598 SUGAR11 71.747 0.009 2.5 1.526 US10 51.393 0.005 2.5 0.651 US10U 41.039 0.005 2.5 0.520 US2 59.084 0.005 2.5 0.749 US20 25.419 0.005 2.5 0.322 US30 4.422 0.005 2.5 0.056 US5 87.549 0.005 2.5 1.109 VIX -40.204 0.099 2.5 -9.924 WHEAT -115.453 0.005 2.5 -1.532 ===================== Position diags ===================== AUD 2.67 BITCOIN 30.17 BOBL 1.65 BTP 2.82 BUND 0.88 BUXL 0.37 CAC 1.98 CAD 4.19 CANOLA 7.57 CHF 1.66 COCOA 0.66 COFFEE 0.29 COPPER 3.13 CORN 4.73 COTTON2 1.77 CRUDE_W 3.98 DAX 9.02 DOW 8.20 DX 3.27 EUR 2.01 EURIBOR-ICE 12.26 EUROSTX 2.90 FEEDCOW 1.72 GASOIL 1.76 GASOLINE 1.33 GAS_US_mini 22.19 GBP 2.88 GOLD_micro 8.37 HEATOIL 1.30 JGB-SGX-mini 27.75 JPY 1.72 LEANHOG 6.97 LIVECOW 3.13 LUMBER-new 4.03 MILK 1.71 MXP 27.85 NASDAQ_micro 2.78 NIKKEI 11.79 NZD 2.71 OAT 3.06 OATIES 3.75 OJ 0.72 PALLAD 0.55 PLAT 1.93 REDWHEAT 1.29 RICE 3.67 ROBUSTA 0.64 RUSSELL 12.30 SHATZ 4.51 SILVER-mini 1.17 SMI 1.56 SOFR 21.01 SOYBEAN 0.72 SOYMEAL 0.81 SOYOIL 0.93 SP400 0.57 SP500_micro 5.46 SUGAR11 2.39 US10 1.66 US10U 1.21 US2 2.74 US20 0.81 US30 0.53 US5 2.49 VIX 15.90 WHEAT 1.36 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 2.5 2.2 2.7 4.0 4 BITCOIN -18.3 -21.3 -15.3 0.0 0 BOBL 0.1 -0.1 0.3 0.0 0 BTP 1.6 1.3 1.9 1.0 1 BUND -0.0 -0.1 0.1 0.0 0 BUXL -0.2 -0.2 -0.1 0.0 0 CAC 0.1 -0.1 0.3 0.0 0 CAD 0.4 -0.0 0.8 0.0 0 CANOLA -6.2 -7.0 -5.5 -2.0 -2 CHF -0.1 -0.3 0.1 1.0 1 COCOA 0.7 0.6 0.8 0.0 0 COFFEE 0.2 0.2 0.3 0.0 0 COPPER 1.7 1.4 2.0 2.0 2 CORN -6.1 -6.5 -5.6 -5.0 -5 COTTON2 -1.2 -1.4 -1.1 -4.0 -4 CRUDE_W 0.5 0.1 0.9 1.0 1 DAX 8.5 7.6 9.4 3.0 3 DOW 5.9 5.1 6.7 0.0 0 DX -4.1 -4.4 -3.8 0.0 0 EUR 1.3 1.1 1.5 2.0 2 EURIBOR-ICE 10.1 8.9 11.3 0.0 0 EUROSTX 0.5 0.2 0.8 -1.0 -1 FEEDCOW -0.4 -0.6 -0.2 -1.0 -1 GASOIL -1.4 -1.6 -1.2 -1.0 -1 GASOLINE 0.1 -0.0 0.3 0.0 0 GAS_US_mini -5.0 -7.2 -2.8 -9.0 -9 GBP 3.3 3.0 3.6 1.0 1 GOLD_micro 9.0 8.1 9.8 -1.0 -1 HEATOIL -1.8 -1.9 -1.7 -1.0 -1 JGB-SGX-mini 13.5 10.7 16.3 8.0 8 JPY -0.2 -0.4 -0.1 0.0 0 LEANHOG 7.4 6.7 8.1 5.0 5 LIVECOW 2.9 2.6 3.2 4.0 4 LUMBER-new -1.2 -1.6 -0.8 -2.0 -2 MILK 1.6 1.4 1.8 1.0 1 MXP -10.1 -12.9 -7.3 -7.0 -7 NASDAQ_micro -0.4 -0.7 -0.1 -2.0 -2 NIKKEI 1.3 0.1 2.5 0.0 0 NZD 1.8 1.6 2.1 1.0 1 OAT 0.4 0.1 0.7 1.0 1 OATIES 1.7 1.3 2.1 NaN 0 OJ 0.7 0.6 0.8 1.0 1 PALLAD 0.1 0.0 0.1 0.0 0 PLAT 0.1 -0.1 0.3 0.0 0 REDWHEAT -2.0 -2.1 -1.8 0.0 0 RICE -1.6 -1.9 -1.2 NaN 0 ROBUSTA 0.9 0.8 0.9 1.0 1 RUSSELL 2.3 1.1 3.6 0.0 0 SHATZ -0.7 -1.2 -0.3 NaN 0 SILVER-mini 0.7 0.6 0.8 0.0 0 SMI 0.8 0.6 0.9 0.0 0 SOFR 10.7 8.6 12.8 NaN 0 SOYBEAN -0.6 -0.7 -0.6 -4.0 -4 SOYMEAL -0.7 -0.8 -0.6 -2.0 -2 SOYOIL -0.3 -0.4 -0.2 0.0 0 SP400 0.1 0.1 0.2 2.0 2 SP500_micro 1.6 1.1 2.1 0.0 0 SUGAR11 1.5 1.3 1.8 5.0 5 US10 0.7 0.5 0.8 0.0 0 US10U 0.5 0.4 0.6 0.0 0 US2 0.7 0.5 1.0 NaN 0 US20 0.3 0.2 0.4 0.0 0 US30 0.1 0.0 0.1 5.0 5 US5 1.1 0.9 1.4 4.0 4 VIX -9.9 -11.5 -8.3 -5.0 -5 WHEAT -1.5 -1.7 -1.4 -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 0.2 0.4 0.2 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.3 0.2 0.1 0.2 0.2 0.0 -0.0 -0.0 -0.0 0.1 0.1 0.2 0.1 0.2 0.3 0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.5 0.0 0.2 0.0 0.4 -0.2 0.6 -0.0 BITCOIN 0.4 -0.1 -0.5 0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 -0.1 0.2 0.3 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.2 0.2 0.1 -2.7 -0.0 0.1 -0.0 0.1 0.3 0.1 -0.1 0.2 -0.6 -0.6 -0.2 -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 0.1 0.1 0.1 -0.1 0.1 0.1 0.2 -0.2 -0.1 -0.2 0.1 0.1 0.1 0.0 0.1 0.6 0.0 0.0 0.1 0.0 0.0 0.0 -0.7 0.2 0.2 -0.1 -0.0 -0.7 -0.7 -0.2 -0.2 BTP 0.3 0.3 0.3 0.1 0.0 0.2 0.0 0.1 0.0 0.2 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 0.7 0.5 0.5 -0.1 -0.4 -0.7 -0.5 -0.0 0.3 BUND 0.1 0.2 0.4 0.0 0.0 0.1 0.0 0.1 0.0 0.1 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 0.2 0.0 -0.2 -0.2 -0.7 -0.6 -0.1 -0.1 BUXL -0.1 0.1 0.3 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 0.2 -0.0 0.0 0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.0 -0.0 -0.0 -0.4 0.0 0.0 0.1 -0.0 0.1 -0.0 0.2 -0.0 -0.3 -0.5 -0.5 -0.7 -0.7 -0.2 -0.2 CAC 0.2 0.3 -0.5 0.0 0.1 0.1 0.1 0.2 0.1 0.1 -0.2 0.1 0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.2 -0.0 0.1 -1.0 -0.0 0.1 -0.1 0.1 0.0 0.1 0.2 0.3 -0.1 0.0 -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 0.0 0.1 0.1 -0.4 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 0.0 0.1 0.1 -0.0 0.1 -0.2 -0.1 -0.6 0.2 -0.1 0.4 -0.2 0.2 -0.1 CANOLA 0.3 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.3 -0.2 -0.3 -0.3 -0.0 -0.1 0.1 -0.2 0.0 -1.8 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 0.3 0.1 0.1 -0.0 -0.1 -0.4 0.1 -0.2 CHF -0.3 0.5 0.6 0.0 0.0 0.1 0.0 0.0 0.1 0.1 0.2 0.0 -0.0 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.1 0.0 0.1 0.1 0.6 0.1 0.0 0.1 0.0 0.1 0.0 -1.1 -0.2 -0.4 0.1 0.6 -0.1 -0.4 -0.4 -0.4 COCOA 0.2 0.3 0.4 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 -0.0 0.4 0.4 0.4 0.4 0.0 0.1 0.1 0.3 0.1 -2.7 0.0 0.0 0.1 0.0 0.3 0.0 1.1 0.2 0.2 0.3 0.3 0.7 0.4 0.7 0.6 COFFEE 0.2 0.2 0.1 -0.0 0.0 -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 0.0 0.2 0.1 0.3 0.1 0.4 0.2 0.6 0.6 0.6 -0.1 -0.3 0.2 -0.1 COPPER 0.6 0.3 -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 0.1 0.0 0.2 0.1 0.2 -2.2 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.5 0.5 0.2 -0.1 0.7 0.3 0.7 0.7 CORN 0.4 0.2 -0.6 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.1 -0.4 0.2 -0.7 0.1 -0.1 -0.3 -0.3 -0.4 -0.4 -0.1 -0.2 0.1 -0.5 0.1 -1.6 -0.0 0.0 -0.3 0.0 -0.4 0.0 -1.1 -0.2 0.3 -0.0 -0.5 -0.0 -0.2 0.1 -0.0 COTTON2 0.6 0.6 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.3 0.1 -0.4 0.1 0.0 -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 0.0 -0.1 0.1 -0.6 0.2 0.4 0.4 0.2 -0.4 -0.4 -0.1 -0.2 CRUDE_W -0.0 -0.4 -0.5 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 0.1 -0.1 -0.1 0.2 0.3 0.2 0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.6 -0.1 0.3 0.3 0.1 0.1 0.4 0.1 0.6 DAX 0.2 0.4 -0.3 0.0 0.1 0.1 0.1 0.2 0.1 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 0.3 0.2 1.3 0.0 0.1 0.1 0.1 0.2 0.1 -0.3 0.3 0.1 0.3 -0.5 0.5 0.2 0.1 0.1 DOW 0.3 0.5 0.1 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.4 0.2 0.5 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 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 0.5 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 -0.1 -0.3 -0.2 0.1 -0.2 -0.2 0.1 0.1 0.1 0.1 -0.2 -0.2 -0.1 -0.2 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.8 -0.5 -0.6 -0.6 -0.6 -0.1 0.2 -0.1 0.3 EUR -0.1 0.4 0.4 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.3 0.2 -0.1 0.2 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 -0.0 -0.2 0.1 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 0.1 0.2 0.1 0.2 0.1 0.1 0.1 -0.0 0.0 -0.0 0.1 0.1 0.1 0.2 0.1 1.6 0.0 0.0 0.1 0.0 0.1 0.0 0.2 0.2 0.3 0.1 0.1 -0.6 -0.7 0.0 0.1 EUROSTX 0.2 0.2 -0.5 0.0 0.1 0.1 0.1 0.2 0.1 0.1 0.1 0.1 0.4 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.2 0.2 0.1 -0.3 0.0 0.1 0.0 0.1 0.2 0.1 0.2 0.3 -0.1 0.0 -0.6 0.2 0.0 -0.6 -0.2 FEEDCOW 0.6 -0.4 -0.6 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.2 -0.4 0.2 -0.5 0.0 -0.1 0.4 -0.2 0.3 0.0 -0.2 -0.2 0.2 -0.5 0.1 -1.1 -0.0 0.0 -0.2 0.1 -0.1 0.0 -0.6 0.5 0.6 -0.6 -0.6 0.2 0.7 0.5 0.7 GASOIL -0.1 -0.5 -0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.4 -0.0 0.1 -0.1 -0.1 0.1 0.2 0.1 0.1 -0.2 -0.2 -0.0 -0.2 -0.1 0.5 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.0 -0.2 -0.3 -0.1 -0.1 -0.4 -0.2 -0.6 GASOLINE 0.0 -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 0.2 0.4 0.4 0.4 -0.1 -0.1 -0.0 -0.1 -0.1 -2.7 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 1.1 -0.0 0.5 0.3 0.2 0.3 0.5 0.5 0.7 GAS_US_mini 0.5 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 -0.0 -0.1 0.1 -0.5 0.1 2.7 -0.0 0.1 -0.1 0.1 -0.3 0.1 -1.1 0.5 0.6 0.6 0.2 -0.2 -0.6 -0.2 -0.7 GBP 0.1 0.5 0.4 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.5 0.2 0.6 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 0.5 0.3 0.3 0.6 0.2 -0.7 0.3 -0.7 GOLD_micro 0.5 0.6 0.4 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -0.3 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -1.4 0.1 0.0 0.1 0.1 0.2 0.1 -0.7 0.4 0.5 0.6 0.6 0.5 -0.1 0.4 0.1 HEATOIL -0.1 -0.5 -0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.4 -0.0 -0.2 -0.1 -0.2 -0.1 0.1 -0.1 -0.1 -0.2 -0.2 -0.0 -0.3 -0.1 -2.7 -0.1 -0.0 -0.2 -0.0 -0.1 -0.0 -0.5 0.0 0.2 0.0 -0.0 -0.2 0.2 -0.4 0.1 JGB-SGX-mini 0.2 0.4 0.5 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 0.2 0.0 0.2 -0.1 -0.3 -0.2 -0.4 0.1 JPY -0.2 0.5 0.6 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.1 -0.0 -0.1 0.0 0.1 -0.2 -0.3 -0.2 -0.3 0.1 0.1 -0.0 -0.0 0.0 2.7 0.0 0.0 0.0 -0.0 -0.0 0.0 -1.1 -0.4 -0.1 0.1 0.3 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.3 0.6 -0.1 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.2 0.1 -0.3 0.2 0.1 0.4 0.4 0.4 0.4 0.1 -0.0 0.1 -0.4 0.2 0.6 0.0 -0.0 -0.0 0.0 -0.1 0.1 1.1 0.0 0.2 0.6 0.4 0.0 -0.2 0.2 0.1 LIVECOW 0.6 -0.2 0.0 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.2 0.2 0.2 0.3 0.1 0.0 -0.0 0.2 0.1 0.2 0.1 0.1 0.2 0.2 0.2 -2.2 0.0 0.1 0.0 0.1 0.1 0.1 0.9 0.5 0.6 -0.3 0.6 -0.0 0.7 0.3 0.7 LUMBER-new 0.1 0.2 0.0 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.1 -0.3 0.1 -0.4 0.0 0.0 -0.4 -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 0.2 0.3 0.3 0.4 0.1 -0.0 0.3 0.1 MILK -0.0 0.5 0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.3 -0.0 0.3 0.1 0.1 0.4 -0.2 0.4 0.2 0.2 0.2 -0.0 0.3 0.1 1.8 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.2 -0.5 0.2 0.6 0.6 0.0 -0.7 0.3 -0.7 MXP 0.4 -0.2 -0.6 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -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 -0.4 -0.1 -0.6 -0.6 0.4 0.4 0.6 0.7 NASDAQ_micro 0.4 0.2 -0.6 0.0 0.0 0.1 0.1 0.2 0.0 0.1 0.1 0.1 0.3 0.1 0.0 -0.1 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 -2.6 0.0 0.0 0.1 0.0 0.2 0.0 -0.3 -0.0 0.5 0.3 0.1 0.1 0.1 -0.3 -0.0 NIKKEI -0.0 -0.1 -0.6 0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.0 0.0 0.2 0.1 0.1 -0.0 -0.0 0.1 0.1 0.0 -0.8 -0.0 0.0 -0.0 0.0 0.0 -0.0 1.1 0.0 -0.0 -0.5 -0.4 0.4 0.1 0.4 0.0 NZD 0.1 0.5 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 0.1 0.1 0.0 0.0 0.1 0.1 0.1 0.0 0.1 0.2 0.4 -0.0 0.3 -0.0 0.2 -0.2 0.1 -0.0 OAT -0.0 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 0.7 -0.2 -0.2 -0.3 -0.5 -0.4 -0.5 0.1 0.1 OATIES 0.6 0.6 0.0 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.2 -0.5 0.2 0.0 0.1 0.1 0.1 0.1 0.2 0.0 0.2 -0.2 0.2 -2.7 0.0 0.1 0.0 0.1 -0.1 0.1 0.2 -0.0 0.6 0.6 0.1 0.5 0.0 0.7 0.4 OJ -0.0 0.1 -0.1 -0.0 0.0 -0.1 0.1 -0.1 0.0 -0.1 0.3 -0.0 0.5 0.1 0.1 0.3 0.2 0.2 0.2 0.1 0.2 -0.0 0.5 0.1 -2.7 0.1 -0.0 0.2 -0.0 0.3 0.0 1.0 -0.4 0.3 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 -0.4 -0.1 0.1 0.3 -0.7 -0.7 -0.7 -0.7 PLAT 0.5 0.1 -0.2 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 -0.1 0.1 -0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.0 0.1 0.7 0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 -0.2 -0.0 -0.3 -0.0 -0.1 -0.2 -0.3 0.0 REDWHEAT 0.4 0.3 -0.5 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.4 -0.0 -0.7 0.1 -0.1 -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 0.0 -0.6 -0.7 -0.7 -0.7 -0.7 RICE 0.2 -0.0 -0.4 -0.0 0.0 -0.1 0.1 -0.2 0.0 -0.1 0.3 -0.0 0.5 0.0 0.0 -0.2 0.4 0.1 0.4 0.0 0.0 -0.1 0.2 0.0 -1.7 0.0 -0.1 0.0 -0.1 0.1 -0.0 1.1 -0.5 0.0 -0.1 0.5 -0.7 -0.7 -0.7 -0.7 ROBUSTA 0.4 0.6 0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.3 0.1 0.5 0.1 0.1 0.4 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 0.2 0.6 0.6 0.6 0.3 -0.1 0.6 0.1 RUSSELL 0.1 0.2 0.1 0.0 0.1 0.1 0.1 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 0.1 0.1 0.1 -0.1 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.1 0.0 0.1 0.9 0.0 0.0 0.1 0.0 0.0 0.0 -1.1 0.3 0.3 0.1 0.2 -0.7 -0.6 -0.4 -0.3 SILVER-mini 0.6 0.2 -0.1 0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 0.2 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.2 0.3 0.0 0.0 0.0 0.1 0.1 0.1 -0.1 0.1 0.1 0.1 0.1 0.2 -0.1 0.0 0.3 SMI -0.4 -0.1 -0.2 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.3 -0.0 0.5 0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.1 0.1 0.3 -0.0 1.4 0.0 0.1 0.2 0.0 0.3 0.0 0.5 -0.2 -0.6 0.0 0.1 -0.0 0.0 -0.5 -0.1 SOFR -0.2 0.4 0.6 0.1 0.0 0.1 0.0 0.1 0.0 -0.1 0.4 -0.1 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 -0.5 -0.1 0.1 0.3 -0.4 0.7 0.3 SOYBEAN 0.6 0.2 -0.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.4 0.1 -0.1 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 0.1 -0.4 0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.2 0.2 0.4 -0.1 -0.5 0.0 -0.5 0.3 -0.4 SOYMEAL 0.5 0.4 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.4 0.1 -0.0 -0.1 0.1 -0.1 -0.0 0.0 -0.1 0.1 -0.2 0.1 -2.7 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.0 0.2 0.4 0.1 -0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.4 0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.3 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.0 -0.1 0.1 -0.2 0.1 -2.4 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 0.3 0.3 0.1 0.1 -0.1 -0.3 0.2 -0.1 SP400 0.2 0.2 -0.1 0.0 0.1 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 0.1 0.2 0.1 -1.5 0.1 0.0 0.1 0.1 0.2 0.1 0.0 0.1 0.4 0.3 0.2 0.2 -0.2 -0.2 -0.7 SP500_micro 0.4 0.4 -0.5 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.3 0.2 0.5 0.2 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.2 0.2 0.5 0.2 -2.6 0.1 0.0 0.1 0.1 0.3 0.1 -0.5 -0.0 0.6 0.5 0.4 0.2 0.1 -0.3 -0.1 SUGAR11 0.6 0.6 0.3 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.1 0.4 0.1 0.1 0.1 0.2 0.0 0.2 -0.1 0.2 -2.7 0.0 0.0 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 0.4 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 -0.3 -0.2 -0.2 -0.1 0.0 0.1 -0.7 0.7 0.2 US10U -0.1 0.4 0.6 0.1 0.0 0.1 0.0 0.1 0.0 -0.1 0.4 -0.0 0.2 0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 -0.1 0.2 0.1 -0.2 0.1 -0.0 0.2 -0.0 0.1 0.0 -0.0 -0.2 -0.4 -0.2 -0.1 0.2 -0.6 0.7 0.6 US2 0.1 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 0.1 0.1 0.0 0.1 0.1 1.7 0.0 -0.0 0.1 0.0 0.0 0.0 -1.1 0.0 0.1 0.2 0.3 0.0 -0.7 0.2 -0.4 US20 -0.1 0.4 0.6 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.3 -0.1 0.2 0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.1 0.1 0.0 -0.5 0.0 -0.0 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 -0.1 0.3 0.5 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.3 -0.1 0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.1 0.1 0.0 -0.3 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.2 -0.3 -0.5 -0.3 -0.3 0.1 -0.3 0.7 0.7 US5 -0.0 0.5 0.6 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.3 0.0 0.1 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 -0.1 0.0 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 -0.0 -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 0.4 -0.5 -0.0 0.0 -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 -0.5 0.1 0.5 -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.1 -0.5 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 4.7 12.0 5.6 4.9 2.7 2.8 4.8 1.5 5.7 15.8 11.3 16.2 1.9 16.2 14.0 0.1 -2.1 -0.9 -1.6 11.0 6.8 20.0 2.7 16.0 2.3 4.8 8.4 2.9 8.4 1.4 6.9 -0.0 20.0 0.3 5.8 0.3 12.5 -5.5 18.8 -0.1 BITCOIN 11.8 -2.6 -16.0 3.2 3.7 -0.6 7.2 -1.3 7.2 18.6 -2.3 19.2 8.1 10.4 -4.2 -5.9 -6.7 -5.9 -6.3 -0.1 -1.5 20.0 8.0 11.7 -20.0 -0.8 10.1 -0.2 9.5 7.1 4.8 -2.0 8.9 -20.0 -20.0 -5.6 -2.3 -3.2 -3.5 1.4 BOBL 4.0 8.1 17.6 3.2 0.2 3.1 0.1 1.5 1.6 6.9 4.9 7.1 -1.7 7.2 9.7 12.4 -11.6 -5.3 -10.4 9.2 6.9 6.1 1.0 7.5 4.4 3.7 2.5 3.0 2.4 1.2 3.0 -13.4 10.0 5.8 -1.8 -1.3 -20.0 -19.6 -5.4 -5.6 BTP 8.9 8.0 10.6 5.8 0.4 5.6 0.2 2.7 2.9 16.9 18.0 18.3 17.7 18.3 20.0 6.8 4.3 4.5 3.8 18.6 16.2 15.8 13.7 18.0 -20.0 7.3 6.3 6.2 6.3 5.3 7.1 13.0 20.0 16.9 -1.8 -12.2 -20.0 -13.7 -0.8 7.6 BUND 2.5 6.0 13.8 3.9 0.3 3.8 0.2 1.9 1.9 7.1 7.0 6.5 1.3 7.1 11.4 -18.9 -2.4 -9.4 -5.3 9.0 7.8 3.8 2.3 5.9 1.4 4.2 2.7 4.0 1.8 2.3 2.8 -0.1 7.6 1.2 -7.1 -6.5 -20.0 -18.3 -4.4 -3.9 BUXL -1.7 3.0 8.7 4.6 0.3 4.5 0.2 2.2 2.3 -4.8 5.6 -0.7 1.0 1.3 9.9 -0.1 -1.9 -0.8 -1.6 4.4 4.7 -3.1 -0.4 -0.3 -2.8 2.5 0.5 3.6 -2.1 2.1 -0.5 3.0 -0.9 -8.7 -15.7 -16.0 -20.0 -20.0 -6.3 -5.7 CAC 7.5 9.4 -16.2 3.7 8.0 4.7 7.5 6.8 5.2 16.5 -7.5 12.5 1.1 12.1 -4.4 -6.5 -2.8 -5.9 -4.2 -1.2 -6.4 20.0 -1.6 9.5 -7.9 -0.6 14.8 -2.6 10.4 0.3 4.7 4.7 13.9 -2.1 0.3 -20.0 11.4 5.6 -1.1 0.9 CAD -4.6 15.3 7.4 6.6 3.6 3.8 6.5 2.0 7.7 4.7 3.0 4.7 -12.4 14.5 13.3 -4.1 -3.6 -4.4 -4.1 9.2 3.6 10.1 -3.4 10.1 -1.5 5.4 3.8 2.4 6.1 -0.9 5.9 -3.4 -3.2 -18.5 4.8 -2.8 11.8 -7.5 5.9 -3.0 CANOLA 8.2 -0.4 -0.3 -0.7 1.7 -1.7 2.4 -1.6 1.3 4.5 -4.4 4.5 -6.4 1.6 -3.3 -12.7 -10.9 -12.6 -12.7 -2.5 -4.8 5.9 -6.0 2.0 -13.3 0.1 2.4 -1.7 3.0 -3.3 2.0 -20.0 10.7 4.0 2.7 -1.3 -3.9 -11.2 4.1 -6.6 CHF -9.3 13.9 20.0 4.4 2.4 2.5 4.3 1.3 5.1 9.2 8.7 1.5 -0.9 10.0 13.0 -13.9 -16.1 -14.9 -15.5 13.7 12.0 4.5 4.3 7.4 4.1 4.8 3.0 4.5 1.4 2.1 2.4 -20.0 -6.4 -11.3 4.0 20.0 -4.1 -11.0 -12.3 -11.9 COCOA 5.5 9.3 12.6 -0.7 1.6 -1.7 2.3 -1.6 1.2 6.5 2.1 5.5 3.4 3.5 -1.0 20.0 20.0 20.0 20.0 3.4 5.8 8.3 11.7 5.0 -20.0 2.4 5.1 4.3 3.8 8.8 2.8 20.0 6.4 6.5 10.1 9.7 20.0 11.5 20.0 16.6 COFFEE 7.0 6.9 4.4 -1.7 4.1 -4.3 6.0 -4.0 3.1 12.1 17.1 15.8 16.6 16.2 16.3 3.6 5.8 4.0 4.9 18.3 18.6 20.0 18.0 19.9 -20.0 6.3 5.0 6.5 6.8 7.2 6.9 7.9 8.9 20.0 20.0 20.0 -2.9 -8.7 6.8 -2.3 COPPER 20.0 8.2 -13.3 2.1 2.4 -0.4 4.8 -0.9 4.8 9.8 -3.2 12.3 -0.8 11.6 -0.8 -3.5 -3.0 -3.1 -2.7 4.9 0.4 20.0 2.7 16.4 -16.4 2.7 7.8 0.9 8.1 1.3 6.0 4.5 20.0 15.0 6.2 -2.4 20.0 8.9 20.0 20.0 CORN 13.6 7.2 -18.4 -1.8 4.4 -4.5 6.3 -4.3 3.3 16.3 -14.8 14.1 -18.8 13.1 -11.9 -14.1 -15.8 -18.6 -18.6 -6.9 -20.0 7.5 -20.0 5.2 -12.0 -4.2 4.0 -9.3 3.2 -11.5 1.0 -20.0 -8.9 9.0 -0.2 -16.6 -0.2 -4.9 3.3 -0.2 COTTON2 17.3 20.0 -4.6 -1.3 3.2 -3.3 4.6 -3.1 2.4 3.0 -12.4 10.3 -12.3 10.4 0.2 -10.5 -4.0 -10.0 -7.2 2.4 -7.8 8.7 -12.1 9.7 -20.0 1.6 0.7 -1.9 4.2 -2.4 4.7 -11.0 7.1 12.0 11.5 7.5 -13.2 -12.0 -4.3 -5.9 CRUDE_W -1.4 -12.9 -15.6 -4.9 -2.4 -4.2 -1.5 -1.8 -3.2 -9.2 -8.9 -2.3 3.4 -7.2 -11.0 11.7 12.6 12.5 12.7 -13.0 -9.9 -6.4 -2.6 -9.2 -1.6 -4.5 -6.3 -5.0 -2.3 -2.0 -2.0 11.2 -4.5 10.0 10.5 4.1 1.9 12.9 2.5 18.1 DAX 5.0 11.8 -10.3 3.5 7.6 4.5 7.1 6.4 5.0 16.0 9.7 15.5 14.1 16.1 13.1 -7.9 -10.2 -8.4 -9.2 10.1 7.2 20.0 10.3 16.8 10.0 3.6 13.2 3.1 9.9 5.6 6.6 -6.5 12.2 4.4 8.4 -14.9 14.2 5.6 3.4 1.6 DOW 8.8 16.4 3.4 3.2 7.0 4.1 6.5 5.9 4.6 14.5 13.1 15.9 15.1 16.3 15.1 -8.6 -10.6 -9.3 -10.0 17.8 15.5 18.2 15.5 19.5 -12.3 5.9 4.1 5.2 5.2 5.4 6.1 -7.6 2.9 19.9 18.8 14.1 10.4 2.2 -5.0 -5.2 DX -0.6 -18.9 -20.0 5.3 2.9 3.0 5.2 1.6 6.1 -15.1 -12.8 -15.1 3.1 -17.5 -18.0 4.8 6.6 5.8 6.3 -20.0 -16.9 -10.5 -6.1 -15.9 -20.0 -6.6 -2.8 -5.3 -3.1 -2.0 -4.9 14.5 -20.0 -20.0 -20.0 -20.0 -1.6 6.4 -2.8 9.2 EUR -2.6 11.0 13.1 5.9 3.2 3.4 5.8 1.7 6.8 12.5 12.2 15.0 -1.6 14.3 15.9 -5.5 -7.0 -6.4 -6.7 13.8 11.3 9.3 4.8 11.3 20.0 6.8 3.3 6.0 4.3 3.4 5.5 -8.5 -2.1 -7.4 3.4 7.4 0.4 -19.9 -5.3 -20.0 EURIBOR-ICE 3.1 11.8 20.0 2.7 0.2 2.6 0.1 1.3 1.3 6.8 6.4 7.3 4.6 7.7 9.1 4.6 -2.3 1.7 -0.5 12.1 10.2 7.3 5.8 9.8 12.0 3.4 1.8 2.8 2.0 1.7 2.8 3.7 10.1 10.1 4.5 4.0 -18.9 -20.0 1.3 3.0 EUROSTX 4.7 6.1 -16.8 3.3 7.1 4.2 6.6 6.0 4.7 14.9 3.0 12.2 10.7 11.6 3.2 -4.0 -3.1 -4.4 -4.1 2.3 0.7 19.5 6.4 10.2 -2.3 0.8 13.2 0.7 9.5 4.6 4.7 4.1 11.2 -1.8 1.1 -20.0 6.7 1.3 -17.6 -5.5 FEEDCOW 20.0 -12.7 -20.0 -1.9 4.5 -4.7 6.6 -4.4 3.4 18.3 -13.1 19.9 -12.8 2.6 -10.6 20.0 -12.3 14.4 1.9 -15.0 -20.0 20.0 -18.0 9.0 -8.0 -3.8 5.1 -5.8 5.4 -3.8 1.6 -11.9 20.0 18.0 -20.0 -18.7 6.7 20.0 16.4 20.0 GASOIL -3.5 -16.8 -19.3 -4.7 -2.3 -4.0 -1.4 -1.7 -3.0 1.6 -13.2 -3.8 1.4 -9.7 -13.9 4.0 8.6 2.7 3.9 -18.5 -15.6 -3.7 -6.0 -12.2 3.6 -5.6 -1.2 -4.8 -1.2 -2.1 -3.7 0.1 1.7 -5.7 -8.7 -3.3 -3.5 -10.8 -4.9 -18.9 GASOLINE 1.0 -14.1 -15.2 -5.1 -2.5 -4.3 -1.6 -1.8 -3.3 -12.0 -9.8 0.1 1.6 -7.8 -11.3 12.4 20.0 20.0 20.0 -13.4 -10.7 -4.7 -2.0 -8.1 -20.0 -3.8 -6.2 -4.4 -1.3 -0.9 -1.0 20.0 -0.9 16.3 10.5 7.5 9.1 16.4 15.1 20.0 GAS_US_mini 15.3 7.1 -5.6 -6.3 -3.1 -5.3 -1.9 -2.3 -4.0 15.9 -18.3 15.9 -20.0 10.5 -16.6 -20.0 -20.0 -20.0 -20.0 -3.4 -13.3 15.6 -20.0 8.6 20.0 -0.8 10.3 -5.3 10.1 -9.3 5.4 -20.0 20.0 20.0 20.0 6.7 -6.7 -17.8 -5.3 -20.0 GBP 2.8 14.7 11.3 6.2 3.4 3.6 6.1 1.8 7.2 16.7 19.9 19.6 15.5 20.0 20.0 1.1 -0.5 0.2 -0.2 20.0 19.9 20.0 14.1 20.0 -2.0 8.1 5.6 6.8 7.9 5.1 8.4 2.7 20.0 9.1 10.6 19.5 7.2 -20.0 9.3 -19.6 GOLD_micro 16.8 17.3 12.8 2.9 3.4 -0.5 6.7 -1.2 6.6 12.3 19.4 17.3 18.4 18.9 19.0 -12.6 -13.2 -12.4 -12.5 20.0 20.0 20.0 20.0 20.0 -10.8 6.6 4.6 5.5 7.7 5.5 8.0 -12.7 17.3 15.1 20.0 20.0 15.5 -2.1 13.0 3.3 HEATOIL -4.6 -16.9 -17.1 -5.1 -2.5 -4.3 -1.6 -1.8 -3.3 -1.4 -15.4 -4.2 -4.5 -12.0 -15.4 -5.8 4.4 -5.6 -2.7 -20.0 -18.4 -4.2 -9.6 -13.2 -20.0 -6.1 -1.6 -6.6 -0.8 -3.7 -3.0 -9.1 1.8 7.0 0.4 -0.3 -7.0 4.9 -12.4 3.7 JGB-SGX-mini 7.1 13.6 14.1 2.4 0.2 2.3 0.1 1.1 1.2 -2.9 4.3 6.3 2.2 5.9 6.5 9.8 16.3 13.0 14.7 7.4 5.2 3.2 2.2 6.2 -8.6 2.5 -0.8 1.6 0.9 0.2 2.0 20.0 7.1 1.3 5.4 -2.8 -10.0 -5.7 -10.6 3.1 JPY -5.5 16.8 20.0 2.5 1.4 1.4 2.4 0.7 2.9 -1.9 4.9 -0.3 -3.5 3.8 7.5 -10.4 -14.7 -11.9 -13.2 7.9 5.6 -1.0 -1.8 3.3 20.0 2.4 0.5 1.7 -0.4 -0.6 0.9 -20.0 -18.3 -3.0 3.4 9.5 -20.0 -20.0 -20.0 -20.0 LEANHOG 10.4 20.0 -2.3 -2.1 4.9 -5.1 7.1 -4.8 3.7 2.0 -5.8 12.6 -7.7 19.5 13.5 20.0 20.0 20.0 20.0 12.7 -2.9 9.4 -13.3 18.0 4.9 4.0 -2.8 -0.9 3.2 -3.8 6.0 20.0 2.0 7.1 20.0 11.3 0.6 -5.0 5.8 3.5 LIVECOW 19.2 -5.0 0.5 -2.1 5.1 -5.3 7.4 -5.0 3.9 19.4 7.6 20.0 8.3 12.3 2.0 -2.0 9.5 6.9 10.4 9.5 6.0 20.0 7.7 20.0 -16.6 1.8 8.5 1.3 10.9 3.5 6.9 16.5 20.0 20.0 -9.1 20.0 -0.3 20.0 8.6 20.0 LUMBER-new 3.4 6.3 0.4 -1.2 3.0 -3.1 4.3 -2.8 2.3 8.3 -8.4 7.5 -9.5 1.9 2.0 -18.9 -18.0 -18.6 -18.2 -0.5 -5.7 7.5 -8.7 3.7 NaN 0.9 6.0 -3.0 5.5 -5.5 3.4 -20.0 9.0 8.1 7.1 10.4 2.0 -1.0 6.6 1.9 MILK -1.0 14.0 20.0 -1.3 3.0 -3.1 4.3 -2.9 2.3 -11.0 12.4 -2.2 7.8 9.2 10.6 20.0 -8.0 20.0 8.0 16.8 17.4 -1.8 9.6 8.9 13.9 4.5 -2.3 4.7 -0.7 2.4 2.2 -4.7 -20.0 5.0 20.0 20.0 0.3 -20.0 7.6 -20.0 MXP 13.0 -6.6 -19.7 2.9 1.6 1.6 2.8 0.8 3.3 -9.1 -8.2 1.0 -4.9 -2.7 -7.3 9.6 13.7 10.3 11.5 -8.1 -10.3 -2.4 -5.3 -2.8 -20.0 -2.9 -2.1 -3.7 -0.8 -1.8 -0.9 20.0 -17.4 -4.1 -20.0 -20.0 13.1 12.7 17.3 19.6 NASDAQ_micro 12.3 4.9 -20.0 2.3 5.0 2.9 4.7 4.2 3.3 8.9 3.3 11.2 8.1 10.1 2.2 -6.7 -9.7 -7.7 -8.8 5.0 5.4 13.3 10.1 10.0 -19.5 2.9 3.2 3.2 4.6 5.3 4.2 -5.7 -1.6 14.1 8.6 4.3 2.4 3.9 -9.5 -0.3 NIKKEI -1.0 -1.6 -20.0 1.3 2.9 1.8 2.7 2.7 1.8 6.5 1.1 3.8 3.1 4.7 0.7 2.1 8.7 5.4 7.1 -1.2 -0.8 5.8 2.3 1.7 -6.3 -1.5 2.2 -1.1 1.5 0.9 -0.0 20.0 1.0 -1.1 -14.6 -12.7 11.5 1.9 10.7 1.2 NZD 2.1 16.9 4.6 4.0 2.2 2.3 3.9 1.2 4.6 12.3 8.5 11.8 2.1 13.3 12.1 -0.1 0.1 -0.1 -0.0 10.5 6.2 15.7 2.2 13.5 0.2 4.1 6.5 2.3 6.2 0.9 5.3 3.3 16.0 -0.6 10.0 -1.4 4.6 -6.0 3.0 -0.6 OAT -1.0 8.0 10.6 4.0 0.3 3.9 0.2 1.9 2.0 -6.3 2.3 -2.7 -0.9 0.6 9.9 6.4 4.1 4.0 3.3 5.5 4.1 -3.7 -0.5 1.0 3.6 2.9 -0.8 2.6 -2.2 1.1 0.4 12.4 -7.9 -5.0 -9.1 -16.4 -12.6 -15.0 2.6 2.2 OATIES 20.0 20.0 0.3 -1.6 3.8 -3.9 5.4 -3.6 2.8 14.6 -5.6 15.3 -13.2 15.0 4.6 2.6 2.6 4.0 3.9 16.7 1.5 20.0 -8.7 20.0 -20.0 3.8 7.3 0.5 6.1 -1.5 5.7 4.0 -1.2 20.0 20.0 2.7 16.0 0.9 20.0 10.5 OJ -1.1 4.2 -1.7 -1.4 3.3 -3.5 4.8 -3.3 2.5 -10.9 12.9 -0.5 13.7 8.7 10.3 13.3 12.3 12.1 11.2 13.3 16.2 -0.6 19.2 7.6 -20.0 4.7 -2.6 6.0 -0.5 8.9 2.5 18.2 -17.0 9.9 20.0 20.0 12.8 14.2 20.0 20.0 PALLAD 15.7 17.3 14.0 1.4 1.6 -0.3 3.2 -0.6 3.1 -7.5 0.5 2.4 -5.9 4.9 4.1 -1.7 -2.0 -1.7 -1.8 5.2 1.2 1.0 -4.0 5.9 14.3 2.1 -1.8 0.5 0.5 -1.2 2.4 6.1 -15.3 -2.2 2.6 9.0 -19.9 -20.0 -20.0 -20.0 PLAT 16.9 4.2 -4.9 2.1 2.4 -0.4 4.8 -0.9 4.7 9.3 -4.9 11.0 -4.1 9.4 -1.4 -4.1 -4.4 -4.5 -4.6 2.5 -0.4 10.8 -0.7 7.9 5.2 1.6 5.1 -0.6 5.3 -0.7 4.4 1.5 -9.9 -1.3 -8.8 -0.9 -1.9 -7.1 -9.2 0.7 REDWHEAT 11.5 9.3 -13.9 -1.9 4.6 -4.8 6.7 -4.5 3.5 5.0 -15.8 -1.7 -18.5 7.0 -13.4 -9.9 -6.4 -10.0 -8.9 -5.6 -14.2 1.9 -20.0 1.7 -5.2 -3.6 1.0 -6.7 0.4 -8.1 -0.3 -14.7 -20.0 7.8 0.0 -20.0 -20.0 -20.0 -20.0 -20.0 RICE 4.9 -1.0 -12.8 -1.9 4.5 -4.7 6.5 -4.4 3.4 -11.6 11.0 -2.9 13.7 3.9 0.1 -10.4 20.0 5.6 20.0 1.3 2.6 -8.3 8.0 0.2 -12.8 0.1 -12.1 1.7 -7.4 3.6 -1.9 20.0 -20.0 1.0 -3.0 15.8 -20.0 -20.0 -20.0 -20.0 ROBUSTA 12.7 18.4 5.7 -1.2 2.8 -2.9 4.0 -2.7 2.1 9.8 12.8 11.3 12.5 12.2 12.5 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 4.7 3.1 5.4 3.7 6.6 4.3 20.0 7.1 20.0 20.0 20.0 8.2 -3.6 17.9 3.3 RUSSELL 4.5 5.0 3.9 2.6 5.6 3.3 5.2 4.8 3.7 0.6 5.2 7.7 9.3 7.3 4.4 -4.9 -6.3 -5.4 -5.9 6.4 6.4 7.1 6.5 7.6 -0.7 4.3 1.5 4.4 2.8 4.1 3.9 -0.2 -6.1 7.9 2.6 10.3 1.5 -13.9 -9.6 -20.0 SHATZ 3.9 12.0 20.0 2.4 0.2 2.4 0.1 1.1 1.2 6.0 4.0 6.5 -1.5 6.6 7.7 -20.0 -20.0 -20.0 -20.0 9.6 6.7 7.8 0.0 8.7 6.4 3.0 2.0 2.2 2.2 0.5 2.6 -20.0 12.2 9.1 3.8 5.2 -20.0 -18.3 -13.2 -9.9 SILVER-mini 18.7 7.4 -3.7 2.1 2.4 -0.4 4.8 -0.9 4.7 4.5 6.8 11.5 6.8 11.6 5.6 -6.5 -6.5 -6.3 -6.3 8.6 6.3 15.6 7.2 14.6 2.2 3.1 2.8 1.7 5.2 2.0 5.3 -1.5 4.1 4.4 2.4 4.2 6.7 -2.6 1.3 9.8 SMI -11.0 -1.9 -5.5 3.2 6.9 4.0 6.4 5.8 4.5 13.8 10.3 -3.5 13.4 3.6 4.2 -0.0 0.1 -1.5 -1.4 0.3 6.9 7.4 12.0 -0.1 10.8 2.6 7.0 6.5 3.5 8.6 0.8 9.3 -9.6 -20.0 1.2 3.6 -0.2 1.1 -14.4 -4.1 SOFR -6.6 13.8 20.0 5.3 0.4 5.2 0.2 2.5 2.6 -10.3 15.9 -8.3 10.7 6.2 16.0 3.5 -0.1 1.8 0.5 20.0 20.0 -8.2 13.4 4.8 -7.4 5.0 -2.5 6.8 -3.6 4.9 0.0 6.5 -15.9 -15.2 -4.5 3.6 9.7 -12.5 20.0 9.8 SOYBEAN 20.0 6.3 -16.3 -1.2 2.8 -2.9 4.1 -2.8 2.2 10.1 -9.0 10.9 -10.2 7.6 -6.1 -4.2 1.0 -6.2 -4.2 -4.4 -13.8 12.2 -15.4 6.8 -20.0 -2.0 5.1 -4.9 4.3 -5.0 2.0 -4.5 7.5 12.2 -2.4 -15.0 1.2 -16.1 8.1 -10.5 SOYMEAL 14.6 12.1 -4.3 -1.3 3.0 -3.2 4.4 -3.0 2.3 10.8 -7.9 11.1 -11.0 9.0 -3.2 -6.2 2.9 -3.6 -0.9 1.2 -5.9 12.2 -9.2 7.7 -20.0 -0.3 13.3 -3.0 7.3 -3.5 3.4 -0.0 9.0 12.6 3.2 -4.2 -20.0 -20.0 -20.0 -20.0 SOYOIL 13.8 5.7 -0.6 -0.8 2.0 -2.1 2.9 -2.0 1.5 3.8 -6.1 4.9 -8.2 3.4 -4.6 -0.3 1.3 1.6 1.1 -1.1 -5.5 9.0 -7.7 5.1 -18.3 0.2 2.3 -1.8 3.9 -2.5 2.7 0.0 11.8 8.8 2.7 2.3 -2.3 -8.9 6.8 -3.3 SP400 7.5 7.1 -3.8 3.0 6.4 3.8 6.0 5.5 4.2 10.4 8.0 12.8 12.1 11.9 7.6 -5.7 -5.9 -5.9 -5.9 8.1 7.0 13.0 8.9 12.0 -11.2 4.9 2.8 4.6 4.7 5.0 5.4 0.2 2.4 13.0 7.9 6.8 5.4 -6.1 -7.2 -20.0 SP500_micro 11.1 12.0 -16.9 3.1 6.7 3.9 6.2 5.7 4.4 13.7 12.8 15.6 14.8 15.5 12.8 -8.7 -11.7 -9.9 -11.0 13.7 14.6 17.7 19.1 17.1 -19.8 5.1 3.5 5.5 5.4 7.3 5.8 -9.3 -1.0 19.4 16.3 12.3 6.8 3.2 -8.5 -2.1 SUGAR11 20.0 20.0 10.4 -1.4 3.2 -3.3 4.7 -3.1 2.5 10.1 -2.1 12.9 -8.8 12.7 8.0 20.0 7.5 7.0 4.8 17.0 3.2 20.0 -3.8 20.0 -20.0 3.6 3.0 0.6 6.3 -0.9 6.1 8.4 20.0 20.0 20.0 20.0 -13.1 10.8 -10.4 14.2 US10 -1.9 13.5 20.0 4.0 0.3 3.9 0.2 1.9 2.0 -7.8 11.7 -0.4 4.9 6.4 12.5 -6.7 -7.4 -7.0 -7.1 15.1 15.7 -3.5 6.2 5.5 2.3 4.1 -1.6 5.2 -1.9 3.2 0.7 -6.1 -6.4 -7.4 -2.3 1.2 4.1 -20.0 20.0 7.0 US10U -2.2 12.8 20.0 5.2 0.4 5.1 0.2 2.5 2.6 -11.6 14.7 -3.1 4.5 7.1 15.6 -4.6 -3.3 -4.3 -4.1 17.2 17.9 -6.4 6.2 5.2 -1.2 4.9 -2.9 6.5 -3.5 4.0 0.2 -0.2 -10.1 -12.3 -6.0 -3.1 4.7 -17.6 20.0 18.0 US2 4.6 18.8 20.0 2.7 0.2 2.7 0.1 1.3 1.4 -2.7 6.9 4.9 1.1 7.5 9.2 -20.0 -20.0 -20.0 -20.0 13.8 11.7 1.5 2.5 8.4 13.0 3.2 -0.5 3.1 0.1 1.4 1.7 -20.0 1.1 3.1 7.7 8.1 0.2 -20.0 5.5 -12.9 US20 -4.0 11.9 19.9 4.0 0.3 3.9 0.2 1.9 2.0 -9.4 10.8 -5.2 5.4 3.6 10.8 -2.2 -1.0 -1.6 -1.2 11.3 12.7 -6.8 5.3 1.9 -3.4 3.2 -2.6 5.0 -3.5 3.7 -0.7 4.4 -10.0 -12.1 -6.7 -4.4 5.7 -10.3 20.0 20.0 US30 -4.5 10.1 16.4 4.4 0.3 4.3 0.2 2.1 2.2 -10.5 10.9 -7.2 3.1 2.5 11.1 -7.4 -5.4 -6.2 -5.6 9.7 10.9 -8.4 3.1 0.4 -2.3 3.0 -3.6 5.0 -4.8 3.4 -1.6 -3.1 -11.4 -15.0 -9.7 -9.0 2.1 -9.3 20.0 20.0 US5 -1.0 14.7 20.0 3.9 0.3 3.8 0.2 1.9 1.9 -6.5 11.2 1.3 3.9 7.3 12.6 -10.2 -10.9 -11.0 -10.9 16.4 16.1 -2.2 5.9 7.1 7.1 4.3 -1.4 4.9 -1.2 2.8 1.3 -12.4 -4.8 -4.2 1.3 4.8 5.5 -20.0 20.0 0.1 VIX -1.9 -0.2 20.0 0.9 0.3 0.5 -0.6 -1.6 -0.3 -1.4 -5.2 -4.6 -7.2 -6.8 -5.0 4.2 -20.0 -11.3 -20.0 0.4 -0.4 -1.2 -4.4 -0.8 NaN 0.9 0.3 0.5 -0.7 -1.9 -0.3 NaN NaN NaN NaN NaN -12.9 -20.0 NaN NaN WHEAT 18.0 10.9 -15.0 -1.8 4.3 -4.4 6.2 -4.1 3.2 4.3 -12.9 6.5 -15.7 11.6 -9.7 -12.9 -14.9 -15.0 -15.4 -1.6 -11.7 7.5 -17.2 7.7 4.0 -1.7 1.9 -5.1 3.1 -6.1 2.4 -20.0 -20.0 16.6 5.9 -19.4 -20.0 -20.0 -20.0 -17.3 End of report for caleb_strategy_v3