******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241002_203909 produced at 2024-10-02 21:37:36.730504 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.09 0.0 999.00 -999.00 0.00 0.00 -2.56 999999999.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.08 -0.07 0.0 0.53 -0.53 -0.08 -0.08 -8.08 60.0 -9 -9 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -25.97 59.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.06 0.0 0.10 -0.10 -0.03 -0.03 -1.71 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 -8.56 999999999.0 -5 -5 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.05 0.0 0.10 -0.10 -0.04 -0.04 -5.89 12.0 -5 -5 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -1.14 4.0 -1 -1 caleb_strategy_v3 CHF False False 0.05 0.05 -0.03 0.0 0.68 -0.68 0.05 0.05 -0.50 13.0 1 1 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.42 24.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.02 0.0 0.04 -0.04 0.00 0.00 -1.64 4.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.17 -0.17 -0.01 -0.01 -6.14 51.0 -2 -2 caleb_strategy_v3 JPY False False 0.03 0.00 -0.02 0.0 0.51 -0.51 0.00 0.00 -0.53 17.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.02 0.0 0.14 -0.14 -0.05 -0.05 -1.37 11.0 -4 -4 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.01 0.0 0.08 -0.08 -0.02 -0.02 -2.97 26.0 -6 -6 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.01 0.0 0.11 -0.11 -0.02 -0.02 -0.67 9.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.01 -0.01 0.0 0.11 -0.11 -0.01 -0.01 -1.02 9.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.01 0.0 0.34 -0.34 -0.04 -0.04 -0.23 8.0 -1 -1 caleb_strategy_v3 CAC True False 0.03 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.24 12.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -1.32 8.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.08 -0.01 0.0 0.13 -0.13 -0.08 -0.08 -0.66 7.0 -4 -4 caleb_strategy_v3 LUMBER-new False False 0.01 -0.01 -0.01 0.0 0.02 -0.02 -0.01 -0.01 -1.36 3.0 -2 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.01 0.0 0.32 -0.32 -0.01 -0.01 -0.60 23.0 -1 -1 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.05 2.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 0.00 0.0 0.18 -0.18 0.00 0.00 0.18 10.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.33 10.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.21 -0.21 0.00 0.00 -0.07 4.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.00 0.0 0.52 -0.52 0.00 0.00 0.05 10.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.20 -0.20 0.00 0.00 0.13 6.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.23 0.00 0.0 0.28 -0.28 0.23 0.23 0.00 6.0 5 5 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.01 0.0 0.39 -0.39 0.00 0.00 0.29 20.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.23 999999999.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.01 0.0 0.39 -0.39 0.02 0.02 0.55 23.0 1 1 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.07 -0.07 0.02 0.02 0.58 3.0 1 1 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.01 0.0 0.26 -0.26 0.00 0.00 1.49 68.0 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 1.34 48.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.05 0.01 0.0 0.15 -0.15 0.05 0.05 1.62 18.0 6 6 caleb_strategy_v3 SP400 False False 0.11 0.22 0.01 0.0 0.22 -0.22 0.22 0.22 0.09 2.0 2 2 caleb_strategy_v3 US2 False True 0.07 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.13 13.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.23 9.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.01 0.0 0.54 -0.54 0.00 0.00 0.42 26.0 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 0.74 999999999.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 0.02 0.0 0.88 -0.88 0.00 0.00 0.33 19.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 0.02 0.0 0.75 -0.75 0.00 0.00 0.64 29.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 0.02 0.0 0.68 -0.68 0.00 0.00 0.43 17.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.01 0.02 0.0 0.07 -0.07 0.01 0.01 1.65 5.0 1 1 caleb_strategy_v3 EUR False False 0.05 0.10 0.02 0.0 0.68 -0.68 0.10 0.10 0.37 14.0 2 2 caleb_strategy_v3 US10U False False 0.04 0.00 0.02 0.0 0.54 -0.54 0.00 0.00 0.39 13.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.02 0.0 0.00 0.00 0.00 0.00 2.45 2.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.04 0.03 0.0 0.46 -0.46 0.04 0.04 1.47 21.0 2 2 caleb_strategy_v3 NIKKEI False False 0.01 0.00 0.03 0.0 0.34 -0.34 0.00 0.00 3.10 36.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.03 0.0 0.12 -0.12 0.02 0.02 1.06 5.0 1 1 caleb_strategy_v3 US5 False False 0.04 0.08 0.03 0.0 0.96 -0.96 0.08 0.08 0.66 25.0 2 2 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 OAT False False 0.05 0.05 0.04 0.0 0.49 -0.49 0.05 0.05 0.89 10.0 1 1 caleb_strategy_v3 DOW False False 0.01 0.00 0.05 0.0 0.49 -0.49 0.00 0.00 6.37 66.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.10 0.07 0.0 0.46 -0.46 0.10 0.10 2.81 19.0 4 4 caleb_strategy_v3 GBP False False 0.03 0.03 0.07 0.0 0.64 -0.64 0.03 0.03 2.53 22.0 1 1 caleb_strategy_v3 DAX False False 0.01 0.03 0.07 0.0 0.43 -0.43 0.03 0.03 8.71 58.0 4 4 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.08 0.0 0.14 -0.14 0.05 0.05 7.64 13.0 5 5 caleb_strategy_v3 GOLD_micro False False 0.01 0.02 0.09 0.0 0.52 -0.52 0.02 0.02 9.17 56.0 2 2 caleb_strategy_v3 COPPER False False 0.04 0.12 0.09 0.0 999.00 -999.00 0.12 0.12 2.11 999999999.0 3 3 caleb_strategy_v3 BTP False False 0.05 0.05 0.09 0.0 0.47 -0.47 0.05 0.05 1.82 10.0 1 1 caleb_strategy_v3 LIVECOW False False 0.03 0.11 0.09 0.0 0.45 -0.45 0.11 0.11 3.37 17.0 4 4 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.32 0.45 0.0 0.57 -0.57 0.32 0.32 12.86 16.0 9 9 caleb_strategy_v3 SOFR False True 0.08 0.00 0.85 0.0 0.00 0.00 0.00 0.00 9.99 11.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.00 1.05 0.0 0.95 -0.95 0.00 0.00 11.06 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.8 Shocked risk 19.9 Sum abs risk 32.0 Leverage 4.12 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2854222.21, 'annual_cash_vol_target': 713555.5525, 'daily_cash_vol_target': 44597.22203125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6888 0.6107 9.7713 BITCOIN 1648.7144 61220.0000 2.6931 43.0896 BOBL 0.2494 120.1500 0.2076 3.3215 BTP 0.5044 121.6600 0.4146 6.6337 BUND 0.4927 135.1900 0.3645 5.8316 BUXL 1.2607 137.2400 0.9186 14.6975 CAC 72.6247 7583.5000 0.9577 15.3227 CAD 0.0027 0.7419 0.3636 5.8170 CANOLA 9.4959 629.7000 1.5080 24.1281 CHF 0.0056 1.1864 0.4704 7.5265 COCOA 164.8704 5950.0000 2.7709 44.3349 COFFEE 4.9181 254.6500 1.9313 30.9011 COPPER 0.0599 4.6535 1.2877 20.6033 CORN 4.4465 458.0000 0.9708 15.5335 COTTON2 1.0516 73.4200 1.4323 22.9175 CRUDE_W 1.2412 69.9800 1.7737 28.3791 DAX 153.2683 19315.0000 0.7935 12.6963 DOW 241.8725 42520.0000 0.5688 9.1015 DX 0.3852 101.4100 0.3798 6.0773 EUR 0.0047 1.1072 0.4246 6.7931 EURIBOR-ICE 0.0443 98.1050 0.0452 0.7225 EUROSTX 48.0042 4986.0000 0.9628 15.4045 FEEDCOW 1.7371 241.8250 0.7183 11.4934 GASOIL 11.2118 665.7500 1.6841 26.9453 GASOLINE 0.0349 1.9566 1.7817 28.5078 GAS_US_mini 0.0853 3.3100 2.5760 41.2156 GBP 0.0065 1.3259 0.4932 7.8906 GOLD_micro 18.1306 2675.4000 0.6777 10.8429 HEATOIL 0.0350 2.2161 1.5808 25.2936 JGB-SGX-mini 0.2445 145.0000 0.1686 2.6984 JPY 0.0001 0.0069 0.8435 13.4955 LEANHOG 1.0440 76.7000 1.3611 21.7777 LIVECOW 1.1898 187.5000 0.6346 10.1532 LUMBER-new 8.7801 549.5000 1.5978 25.5654 MILK 0.2814 21.3400 1.3185 21.0955 MXP 0.0005 0.0508 0.8999 14.3989 NASDAQ_micro 184.0655 20024.2500 0.9192 14.7074 NIKKEI 663.7088 38670.0000 1.7163 27.4614 NZD 0.0043 0.6262 0.6926 11.0817 OAT 0.4807 127.2700 0.3777 6.0438 OATIES 5.6448 391.2500 1.4428 23.0841 OJ 8.4590 459.0000 1.8429 29.4869 PALLAD 26.3682 1015.5000 2.5966 41.5452 PLAT 16.0073 1017.3000 1.5735 25.1761 REDWHEAT 10.0529 632.7500 1.5888 25.4203 RICE 0.1485 15.3300 0.9687 15.4999 ROBUSTA 95.2444 4860.0000 1.9598 31.3562 RUSSELL 23.4449 2215.7000 1.0581 16.9300 SHATZ 0.0871 107.1950 0.0813 1.3001 SILVER-mini 0.5045 32.0750 1.5727 25.1639 SMI 82.9552 12153.0000 0.6826 10.9214 SOFR 0.0521 96.9350 0.0537 0.8592 SOYBEAN 11.0633 1094.5000 1.0108 16.1729 SOYMEAL 5.0390 339.1000 1.4860 23.7761 SOYOIL 0.7362 42.9000 1.7162 27.4584 SP400 25.1371 3122.6000 0.8050 12.8801 SP500_micro 37.4939 5761.7500 0.6507 10.4118 SUGAR11 0.3497 21.1200 1.6556 26.4895 US10 0.3462 114.4375 0.3025 4.8397 US10U 0.4706 118.4844 0.3972 6.3549 US2 0.1057 104.1328 0.1015 1.6241 US20 0.7092 124.3438 0.5704 9.1262 US30 1.0828 133.1562 0.8132 13.0111 US5 0.2316 109.9766 0.2106 3.3690 VIX 0.6868 18.8000 3.6533 58.4520 WHEAT 9.0934 674.0000 1.3492 21.5867 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 688.80 0.61 420.65 1.00 420.65 44597.22 106.02 10.22 108.33 BITCOIN 61.22 2.69 164.87 1.00 164.87 44597.22 270.50 -8.87 -239.85 BOBL 1201.50 0.21 249.43 1.11 277.70 44597.22 160.60 2.04 32.68 BTP 1216.60 0.41 504.41 1.11 561.58 44597.22 79.41 6.71 53.26 BUND 1351.90 0.36 492.73 1.11 548.58 44597.22 81.30 0.56 4.56 BUXL 1372.40 0.92 1260.68 1.11 1403.57 44597.22 31.77 -2.24 -7.13 CAC 758.35 0.96 726.25 1.11 808.57 44597.22 55.16 -1.30 -7.17 CAD 741.90 0.36 269.73 1.00 269.73 44597.22 165.34 1.49 24.62 CANOLA 125.94 1.51 189.92 0.74 140.41 44597.22 317.61 -7.94 -252.28 CHF 1483.06 0.47 697.64 1.00 697.64 44597.22 63.93 -3.02 -19.27 COCOA 595.00 2.77 1648.70 1.00 1648.70 44597.22 27.05 7.20 19.46 COFFEE 954.94 1.93 1844.29 1.00 1844.29 44597.22 24.18 4.59 11.09 COPPER 1163.38 1.29 1498.09 1.00 1498.09 44597.22 29.77 6.56 19.52 CORN 229.00 0.97 222.32 1.00 222.32 44597.22 200.60 -12.06 -241.99 COTTON2 367.10 1.43 525.81 1.00 525.81 44597.22 84.82 -7.56 -64.09 CRUDE_W 699.80 1.77 1241.23 1.00 1241.23 44597.22 35.93 2.73 9.80 DAX 193.15 0.79 153.27 1.11 170.64 44597.22 261.35 9.77 255.31 DOW 212.60 0.57 120.94 1.00 120.94 44597.22 368.77 7.43 273.90 DX 1014.10 0.38 385.19 1.00 385.19 44597.22 115.78 -8.54 -98.85 EUR 1384.00 0.42 587.60 1.00 587.60 44597.22 75.90 1.87 14.21 EURIBOR-ICE 2452.62 0.05 110.75 1.11 123.30 44597.22 361.70 8.97 324.34 EUROSTX 498.60 0.96 480.04 1.11 534.45 44597.22 83.44 1.01 8.41 FEEDCOW 1209.12 0.72 868.56 1.00 868.56 44597.22 51.35 -1.37 -7.05 GASOIL 665.75 1.68 1121.18 1.00 1121.18 44597.22 39.78 -6.58 -26.19 GASOLINE 821.77 1.78 1464.18 1.00 1464.18 44597.22 30.46 1.76 5.37 GAS_US_mini 82.75 2.58 213.16 1.00 213.16 44597.22 209.22 -1.31 -27.41 GBP 828.69 0.49 408.68 1.00 408.68 44597.22 109.13 8.92 97.33 GOLD_micro 267.54 0.68 181.31 1.00 181.31 44597.22 245.98 10.92 268.73 HEATOIL 930.76 1.58 1471.39 1.00 1471.39 44597.22 30.31 -13.00 -39.41 JGB-SGX-mini 145000.00 0.17 24454.04 0.01 169.47 44597.22 263.16 4.51 118.74 JPY 862.50 0.84 727.49 1.00 727.49 44597.22 61.30 -3.32 -20.37 LEANHOG 306.80 1.36 417.59 1.00 417.59 44597.22 106.80 11.78 125.77 LIVECOW 750.00 0.63 475.93 1.00 475.93 44597.22 93.71 10.84 101.56 LUMBER-new 151.11 1.60 241.45 1.00 241.45 44597.22 184.70 -3.43 -63.42 MILK 426.80 1.32 562.72 1.00 562.72 44597.22 79.25 9.74 77.19 MXP 254.20 0.90 228.76 1.00 228.76 44597.22 194.95 -2.82 -55.04 NASDAQ_micro 400.48 0.92 368.13 1.00 368.13 44597.22 121.14 -2.12 -25.66 NIKKEI 38670.00 1.72 66370.88 0.01 459.96 44597.22 96.96 2.95 28.61 NZD 626.20 0.69 433.71 1.00 433.71 44597.22 102.83 5.50 56.58 OAT 1272.70 0.38 480.75 1.11 535.24 44597.22 83.32 3.14 26.19 OATIES 195.62 1.44 282.24 1.00 282.24 44597.22 158.01 6.36 100.52 OJ 688.50 1.84 1268.86 1.00 1268.86 44597.22 35.15 7.66 26.94 PALLAD 1015.50 2.60 2636.82 1.00 2636.82 44597.22 16.91 0.81 1.36 PLAT 508.65 1.57 800.36 1.00 800.36 44597.22 55.72 0.94 5.23 REDWHEAT 316.38 1.59 502.65 1.00 502.65 44597.22 88.72 -11.20 -99.40 RICE 306.60 0.97 297.02 1.00 297.02 44597.22 150.15 -4.50 -67.55 ROBUSTA 486.00 1.96 952.44 1.00 952.44 44597.22 46.82 10.04 47.02 RUSSELL 110.78 1.06 117.22 1.00 117.22 44597.22 380.44 1.18 44.96 SHATZ 1071.95 0.08 87.11 1.11 96.98 44597.22 459.87 -0.90 -41.37 SILVER-mini 801.88 1.57 1261.14 1.00 1261.14 44597.22 35.36 6.16 21.79 SMI 1215.30 0.68 829.55 1.18 980.16 44597.22 45.50 4.86 22.11 SOFR 2423.38 0.05 130.14 1.00 130.14 44597.22 342.69 4.80 164.45 SOYBEAN 547.25 1.01 553.16 1.00 553.16 44597.22 80.62 -8.84 -71.25 SOYMEAL 339.10 1.49 503.90 1.00 503.90 44597.22 88.50 -8.13 -71.96 SOYOIL 257.40 1.72 441.74 1.00 441.74 44597.22 100.96 -3.53 -35.63 SP400 3122.60 0.81 2513.71 1.00 2513.71 44597.22 17.74 1.56 2.78 SP500_micro 288.09 0.65 187.47 1.00 187.47 44597.22 237.89 2.43 57.85 SUGAR11 236.54 1.66 391.62 1.00 391.62 44597.22 113.88 6.67 75.98 US10 1144.38 0.30 346.15 1.00 346.15 44597.22 128.84 2.62 33.76 US10U 1184.84 0.40 470.59 1.00 470.59 44597.22 94.77 3.22 30.54 US2 2082.66 0.10 211.40 1.00 211.40 44597.22 210.96 0.49 10.28 US20 1243.44 0.57 709.24 1.00 709.24 44597.22 62.88 2.89 18.16 US30 1331.56 0.81 1082.82 1.00 1082.82 44597.22 41.19 0.02 0.08 US5 1099.77 0.21 231.57 1.00 231.57 44597.22 192.59 2.70 51.99 VIX 188.00 3.65 686.81 1.00 686.81 44597.22 64.93 -5.34 -34.69 WHEAT 337.00 1.35 454.67 1.00 454.67 44597.22 98.09 -7.83 -76.83 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 108.326 0.010 2.5 2.811 BITCOIN -239.853 0.043 2.5 -25.973 BOBL 32.684 0.004 2.5 0.331 BTP 53.264 0.014 2.5 1.817 BUND 4.558 0.004 2.5 0.046 BUXL -7.129 0.004 2.5 -0.072 CAC -7.171 0.014 2.5 -0.245 CAD 24.623 0.010 2.5 0.639 CANOLA -252.276 0.010 2.5 -6.138 CHF -19.275 0.010 2.5 -0.500 COCOA 19.463 0.009 2.5 0.417 COFFEE 11.088 0.005 2.5 0.129 COPPER 19.520 0.043 2.5 2.114 CORN -241.994 0.010 2.5 -5.887 COTTON2 -64.092 0.009 2.5 -1.373 CRUDE_W 9.804 0.043 2.5 1.062 DAX 255.305 0.014 2.5 8.708 DOW 273.897 0.009 2.5 6.365 DX -98.852 0.010 2.5 -2.565 EUR 14.210 0.010 2.5 0.369 EURIBOR-ICE 324.341 0.014 2.5 11.063 EUROSTX 8.412 0.014 2.5 0.287 FEEDCOW -7.051 0.013 2.5 -0.234 GASOIL -26.187 0.017 2.5 -1.135 GASOLINE 5.374 0.017 2.5 0.233 GAS_US_mini -27.407 0.043 2.5 -2.968 GBP 97.334 0.010 2.5 2.525 GOLD_micro 268.729 0.014 2.5 9.166 HEATOIL -39.409 0.017 2.5 -1.708 JGB-SGX-mini 118.744 0.043 2.5 12.858 JPY -20.367 0.010 2.5 -0.528 LEANHOG 125.765 0.024 2.5 7.643 LIVECOW 101.565 0.013 2.5 3.366 LUMBER-new -63.419 0.009 2.5 -1.358 MILK 77.190 0.009 2.5 1.653 MXP -55.036 0.059 2.5 -8.078 NASDAQ_micro -25.664 0.009 2.5 -0.596 NIKKEI 28.611 0.043 2.5 3.098 NZD 56.577 0.010 2.5 1.468 OAT 26.187 0.014 2.5 0.893 OATIES 100.519 0.010 2.5 2.445 OJ 26.936 0.009 2.5 0.577 PALLAD 1.365 0.014 2.5 0.047 PLAT 5.234 0.014 2.5 0.179 REDWHEAT -99.402 0.005 2.5 -1.319 RICE -67.550 0.010 2.5 -1.643 ROBUSTA 47.018 0.005 2.5 0.549 RUSSELL 44.957 0.013 2.5 1.490 SHATZ -41.374 0.004 2.5 -0.420 SILVER-mini 21.794 0.014 2.5 0.743 SMI 22.109 0.014 2.5 0.754 SOFR 164.453 0.024 2.5 9.994 SOYBEAN -71.250 0.004 2.5 -0.663 SOYMEAL -71.964 0.004 2.5 -0.669 SOYOIL -35.627 0.004 2.5 -0.332 SP400 2.776 0.013 2.5 0.092 SP500_micro 57.853 0.009 2.5 1.344 SUGAR11 75.978 0.009 2.5 1.616 US10 33.761 0.005 2.5 0.428 US10U 30.540 0.005 2.5 0.387 US2 10.284 0.005 2.5 0.130 US20 18.164 0.005 2.5 0.230 US30 0.075 0.005 2.5 0.001 US5 51.986 0.005 2.5 0.659 VIX -34.692 0.099 2.5 -8.563 WHEAT -76.833 0.005 2.5 -1.019 ===================== Position diags ===================== AUD 2.75 BITCOIN 29.29 BOBL 1.63 BTP 2.71 BUND 0.82 BUXL 0.32 CAC 1.88 CAD 4.29 CANOLA 7.73 CHF 1.66 COCOA 0.58 COFFEE 0.28 COPPER 3.22 CORN 4.88 COTTON2 1.82 CRUDE_W 3.89 DAX 8.91 DOW 8.57 DX 3.00 EUR 1.97 EURIBOR-ICE 12.34 EUROSTX 2.85 FEEDCOW 1.70 GASOIL 1.72 GASOLINE 1.32 GAS_US_mini 22.66 GBP 2.83 GOLD_micro 8.39 HEATOIL 1.31 JGB-SGX-mini 28.50 JPY 1.59 LEANHOG 6.49 LIVECOW 3.11 LUMBER-new 3.96 MILK 1.70 MXP 28.61 NASDAQ_micro 2.82 NIKKEI 10.50 NZD 2.67 OAT 2.84 OATIES 3.84 OJ 0.75 PALLAD 0.58 PLAT 1.90 REDWHEAT 1.18 RICE 3.65 ROBUSTA 0.55 RUSSELL 12.61 SHATZ 4.66 SILVER-mini 1.21 SMI 1.55 SOFR 20.83 SOYBEAN 0.75 SOYMEAL 0.82 SOYOIL 0.94 SP400 0.59 SP500_micro 5.53 SUGAR11 2.42 US10 1.63 US10U 1.20 US2 2.67 US20 0.80 US30 0.52 US5 2.44 VIX 16.03 WHEAT 1.30 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 2.8 2.5 3.1 4.0 4 BITCOIN -26.0 -28.9 -23.0 0.0 0 BOBL 0.3 0.2 0.5 0.0 0 BTP 1.8 1.5 2.1 1.0 1 BUND 0.0 -0.0 0.1 0.0 0 BUXL -0.1 -0.1 -0.0 0.0 0 CAC -0.2 -0.4 -0.1 0.0 0 CAD 0.6 0.2 1.1 0.0 0 CANOLA -6.1 -6.9 -5.4 -2.0 -2 CHF -0.5 -0.7 -0.3 1.0 1 COCOA 0.4 0.4 0.5 0.0 0 COFFEE 0.1 0.1 0.2 0.0 0 COPPER 2.1 1.8 2.4 3.0 3 CORN -5.9 -6.4 -5.4 -5.0 -5 COTTON2 -1.4 -1.6 -1.2 -4.0 -4 CRUDE_W 1.1 0.7 1.5 1.0 1 DAX 8.7 7.8 9.6 4.0 4 DOW 6.4 5.5 7.2 0.0 0 DX -2.6 -2.9 -2.3 0.0 0 EUR 0.4 0.2 0.6 2.0 2 EURIBOR-ICE 11.1 9.8 12.3 0.0 0 EUROSTX 0.3 0.0 0.6 0.0 0 FEEDCOW -0.2 -0.4 -0.1 -1.0 -1 GASOIL -1.1 -1.3 -1.0 -1.0 -1 GASOLINE 0.2 0.1 0.4 0.0 0 GAS_US_mini -3.0 -5.2 -0.7 -6.0 -6 GBP 2.5 2.2 2.8 1.0 1 GOLD_micro 9.2 8.3 10.0 2.0 2 HEATOIL -1.7 -1.8 -1.6 -1.0 -1 JGB-SGX-mini 12.9 10.0 15.7 9.0 9 JPY -0.5 -0.7 -0.4 0.0 0 LEANHOG 7.6 7.0 8.3 5.0 5 LIVECOW 3.4 3.1 3.7 4.0 4 LUMBER-new -1.4 -1.8 -1.0 -2.0 -2 MILK 1.7 1.5 1.8 1.0 1 MXP -8.1 -10.9 -5.2 -9.0 -9 NASDAQ_micro -0.6 -0.9 -0.3 -1.0 -1 NIKKEI 3.1 2.0 4.1 0.0 0 NZD 1.5 1.2 1.7 2.0 2 OAT 0.9 0.6 1.2 1.0 1 OATIES 2.4 2.1 2.8 NaN 0 OJ 0.6 0.5 0.7 1.0 1 PALLAD 0.0 -0.0 0.1 0.0 0 PLAT 0.2 -0.0 0.4 0.0 0 REDWHEAT -1.3 -1.4 -1.2 0.0 0 RICE -1.6 -2.0 -1.3 NaN 0 ROBUSTA 0.5 0.5 0.6 1.0 1 RUSSELL 1.5 0.2 2.8 0.0 0 SHATZ -0.4 -0.9 0.0 NaN 0 SILVER-mini 0.7 0.6 0.9 0.0 0 SMI 0.8 0.6 0.9 0.0 0 SOFR 10.0 7.9 12.1 NaN 0 SOYBEAN -0.7 -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 0.0 0.2 2.0 2 SP500_micro 1.3 0.8 1.9 0.0 0 SUGAR11 1.6 1.4 1.9 6.0 6 US10 0.4 0.3 0.6 0.0 0 US10U 0.4 0.3 0.5 0.0 0 US2 0.1 -0.1 0.4 NaN 0 US20 0.2 0.2 0.3 0.0 0 US30 0.0 -0.1 0.1 5.0 5 US5 0.7 0.4 0.9 2.0 2 VIX -8.6 -10.2 -7.0 -5.0 -5 WHEAT -1.0 -1.1 -0.9 -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 0.4 0.4 0.2 0.1 -0.0 0.1 0.0 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 0.1 0.1 0.2 0.3 0.1 0.0 0.1 0.1 0.1 0.1 -0.0 0.5 0.2 0.3 0.0 0.4 -0.2 0.7 0.0 BITCOIN 0.4 -0.0 -0.5 0.0 0.0 -0.0 0.0 -0.0 0.1 -0.1 -0.1 0.1 0.3 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 0.2 0.1 -2.7 -0.0 -0.1 -0.0 -0.0 0.3 0.0 -0.1 -0.2 -0.6 -0.6 -0.3 -0.0 -0.1 -0.1 0.1 BOBL 0.1 0.3 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.1 -0.0 0.1 0.1 0.3 -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 -0.6 0.4 0.3 0.0 0.0 -0.7 -0.6 -0.2 -0.2 BTP 0.2 0.3 0.4 0.1 0.0 0.2 0.0 0.1 0.0 0.1 0.5 0.2 0.6 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.0 0.2 0.1 0.2 0.1 0.7 0.5 0.6 0.2 -0.3 -0.7 -0.4 -0.0 0.3 BUND 0.0 0.2 0.5 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.1 0.1 0.1 0.1 -0.4 -0.1 -0.2 -0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.3 0.2 -0.1 -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 0.1 0.0 0.1 -0.0 0.0 -0.4 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.2 -0.1 -0.4 -0.4 -0.7 -0.7 -0.2 -0.2 CAC 0.4 0.3 -0.5 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 -0.2 0.0 0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.0 0.1 -0.9 -0.0 -0.0 -0.1 0.0 0.0 0.0 0.2 0.1 -0.1 -0.1 -0.6 0.3 0.2 -0.1 0.0 CAD -0.0 0.5 0.2 0.1 -0.0 0.1 0.0 0.1 0.1 0.0 0.1 0.0 -0.4 0.1 0.2 -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 0.0 -0.0 0.1 -0.2 0.4 -0.6 0.1 -0.1 0.4 -0.3 0.2 -0.1 CANOLA 0.4 0.1 0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.0 -0.0 -0.3 -0.2 -0.3 -0.3 -0.0 -0.0 0.1 -0.2 0.0 -1.8 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 0.1 -0.0 0.1 -0.0 -0.1 -0.4 0.1 -0.2 CHF -0.3 0.4 0.6 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.2 -0.1 -0.0 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.1 -0.0 0.1 0.0 0.5 0.0 -0.0 0.1 -0.0 0.1 0.0 -1.1 -0.3 -0.4 -0.2 0.6 -0.2 -0.4 -0.4 -0.4 COCOA 0.1 0.2 0.2 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 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 0.3 0.0 1.1 -0.2 -0.1 0.2 0.2 0.7 0.4 0.7 0.6 COFFEE 0.3 0.2 0.1 -0.0 0.0 -0.1 0.1 -0.1 0.0 -0.0 0.5 0.1 0.6 0.1 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.3 0.1 0.4 -0.5 0.3 0.6 0.6 -0.1 -0.3 0.2 -0.1 COPPER 0.6 0.4 -0.4 0.0 0.0 -0.0 0.0 -0.0 0.0 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 -2.1 0.0 0.0 0.0 0.1 0.0 0.1 0.2 0.5 0.6 0.3 -0.0 0.7 0.3 0.7 0.7 CORN 0.5 0.3 -0.5 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.2 -0.4 0.2 -0.7 0.2 -0.1 -0.2 -0.3 -0.4 -0.4 -0.0 -0.2 0.1 -0.5 0.1 -1.7 -0.0 0.1 -0.2 0.1 -0.4 0.0 -1.1 0.0 -0.2 0.0 -0.6 0.0 -0.2 0.1 -0.0 COTTON2 0.6 0.6 -0.1 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.0 -0.3 0.1 -0.5 0.1 0.0 -0.2 -0.1 -0.2 -0.2 0.0 -0.1 0.1 -0.3 0.1 -2.7 0.0 0.0 -0.0 0.0 -0.1 0.1 -0.6 -0.0 0.1 0.4 0.3 -0.4 -0.4 -0.2 -0.2 CRUDE_W 0.2 -0.4 -0.5 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 0.1 0.1 -0.1 -0.1 0.2 0.3 0.2 0.2 -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 0.2 0.3 0.1 0.0 0.4 0.1 0.6 DAX 0.4 0.4 -0.3 0.0 -0.0 0.1 0.0 0.2 0.0 0.0 0.3 0.1 0.5 0.2 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.2 1.3 0.0 0.0 0.1 0.1 0.2 0.1 -0.3 0.3 0.3 0.3 -0.4 0.5 0.2 0.1 0.1 DOW 0.5 0.5 0.2 0.0 -0.0 0.1 0.0 0.2 0.0 0.1 0.4 0.2 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -1.7 0.1 0.0 0.2 0.0 0.2 0.1 -0.4 0.0 0.5 0.6 0.5 0.4 0.1 -0.2 -0.2 DX 0.1 -0.5 -0.6 0.1 -0.0 0.1 0.0 0.1 0.1 0.1 -0.3 0.0 0.1 -0.1 -0.2 0.1 0.1 0.1 0.1 -0.2 -0.2 0.1 -0.2 -0.1 -2.7 -0.1 0.1 -0.1 0.0 -0.1 -0.0 0.8 0.3 -0.6 -0.6 -0.6 -0.1 0.2 -0.1 0.3 EUR -0.1 0.3 0.4 0.1 -0.0 0.1 0.0 0.1 0.1 -0.2 0.3 -0.0 -0.0 0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.1 0.1 0.0 2.7 0.1 -0.1 0.2 -0.0 0.1 0.0 -0.5 -0.5 -0.5 -0.2 0.2 0.0 -0.7 -0.2 -0.7 EURIBOR-ICE -0.0 0.4 0.6 0.0 0.0 0.1 0.0 0.1 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 0.3 0.3 0.2 0.2 -0.6 -0.7 0.1 0.1 EUROSTX 0.4 0.2 -0.5 0.0 -0.0 0.1 0.0 0.2 0.0 -0.0 0.1 0.1 0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 0.2 0.1 -0.3 0.0 0.0 0.0 0.1 0.2 0.0 0.2 0.2 0.0 0.0 -0.6 0.2 0.0 -0.6 -0.2 FEEDCOW 0.6 -0.2 -0.6 -0.0 0.1 -0.1 0.1 -0.2 0.1 0.2 -0.3 0.2 -0.5 0.1 -0.1 0.4 -0.2 0.3 0.1 -0.1 -0.2 0.2 -0.5 0.1 -1.1 -0.0 0.1 -0.2 0.1 -0.2 0.0 -0.5 0.5 0.3 -0.5 -0.6 0.2 0.7 0.6 0.7 GASOIL 0.2 -0.5 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.4 0.1 0.0 -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 -0.1 -0.6 GASOLINE 0.3 -0.4 -0.5 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.3 0.1 0.0 -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 0.0 -0.1 0.0 -0.0 0.0 1.1 -0.1 0.3 0.3 0.3 0.3 0.5 0.5 0.7 GAS_US_mini 0.6 0.2 -0.1 -0.1 0.0 -0.2 0.0 -0.1 -0.0 0.2 -0.5 0.2 -0.7 0.2 -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 0.4 0.4 0.1 -0.0 0.1 0.0 0.1 0.1 -0.1 0.5 0.1 0.6 0.2 0.2 0.0 -0.0 0.0 -0.0 0.2 0.2 0.1 0.4 0.2 -0.3 0.1 -0.0 0.2 0.0 0.2 0.1 0.1 0.1 0.1 0.4 0.6 0.2 -0.7 0.3 -0.7 GOLD_micro 0.6 0.6 0.5 0.0 0.0 -0.0 0.0 -0.0 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -0.3 -0.2 -0.3 0.2 0.2 0.2 0.5 0.2 -1.5 0.1 0.0 0.2 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 0.1 -0.5 -0.6 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.4 0.1 -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 -0.2 -0.0 -0.5 -0.0 0.0 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 -1.2 0.0 0.0 0.0 0.0 0.0 0.0 1.1 0.1 0.0 0.1 -0.1 -0.4 -0.2 -0.4 0.1 JPY -0.4 0.4 0.6 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.0 -0.1 0.0 0.1 -0.2 -0.3 -0.2 -0.3 0.1 0.0 -0.0 -0.0 0.0 2.7 0.0 -0.0 0.0 -0.0 -0.0 0.0 -1.1 -0.4 -0.2 -0.1 0.3 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.3 0.6 0.1 -0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.1 0.2 -0.3 0.2 0.2 0.4 0.4 0.4 0.4 0.1 -0.0 0.2 -0.3 0.2 0.6 0.0 0.1 -0.0 0.1 -0.1 0.1 1.1 0.1 -0.1 0.6 0.5 0.0 -0.2 0.2 0.1 LIVECOW 0.6 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.2 0.1 0.2 0.3 0.2 0.3 0.2 0.1 -0.1 0.2 0.1 0.2 0.2 0.1 0.2 0.2 0.2 -2.3 0.0 0.1 0.1 0.1 0.1 0.1 0.8 0.5 0.6 0.1 0.6 -0.0 0.7 0.3 0.7 LUMBER-new 0.2 0.2 0.1 -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 0.1 NaN 0.0 0.0 -0.1 0.1 -0.2 0.0 -1.2 0.0 -0.1 0.1 0.4 0.1 -0.0 0.3 0.1 MILK -0.1 0.4 0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.3 -0.0 0.3 0.1 0.1 0.4 -0.1 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 0.0 -0.4 -0.2 0.6 0.6 0.0 -0.7 0.3 -0.7 MXP 0.5 -0.2 -0.6 0.0 -0.0 0.1 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 -0.2 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 1.1 -0.2 -0.1 -0.6 -0.6 0.4 0.4 0.6 0.7 NASDAQ_micro 0.6 0.1 -0.6 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 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 -2.7 0.0 -0.0 0.1 0.0 0.2 0.0 -0.3 -0.0 0.3 0.3 0.1 0.1 0.1 -0.3 -0.0 NIKKEI 0.3 0.1 -0.6 0.0 -0.0 0.1 0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.1 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 0.2 0.1 -0.3 -0.4 0.4 0.1 0.4 0.1 NZD 0.1 0.5 0.2 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 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 -0.0 0.1 0.0 0.0 0.0 0.2 0.2 -0.0 0.3 -0.1 0.2 -0.2 0.1 -0.0 OAT -0.1 0.2 0.4 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.1 0.0 -0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.0 -0.0 0.0 0.5 0.0 0.0 0.1 0.0 0.0 0.0 0.7 0.1 -0.1 -0.2 -0.4 -0.4 -0.5 0.1 0.1 OATIES 0.6 0.6 0.1 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.1 -0.1 0.2 -0.5 0.2 0.1 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 -0.0 0.1 0.2 0.5 0.6 0.6 0.2 0.6 0.0 0.7 0.4 OJ -0.3 0.1 0.0 -0.0 0.0 -0.1 0.1 -0.1 0.0 -0.1 0.3 -0.1 0.5 0.1 0.1 0.2 0.2 0.2 0.2 0.1 0.2 -0.0 0.5 0.0 -2.7 0.0 -0.0 0.2 -0.0 0.3 0.0 0.9 -0.5 -0.2 0.6 0.6 0.4 0.5 0.7 0.7 PALLAD 0.4 0.5 0.4 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.2 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.1 0.0 1.9 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.3 -0.4 -0.2 0.0 0.3 -0.6 -0.7 -0.7 -0.7 PLAT 0.6 0.2 -0.2 0.0 0.0 -0.0 0.0 -0.0 0.0 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 0.0 -0.0 0.0 0.1 0.0 0.0 -0.2 -0.0 -0.1 -0.2 -0.3 0.0 REDWHEAT 0.4 0.5 -0.3 -0.0 0.1 -0.1 0.1 -0.2 0.1 0.2 -0.4 0.1 -0.7 0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.0 -0.1 0.2 -0.5 0.1 -0.7 -0.0 0.2 -0.1 0.1 -0.3 0.0 -0.8 0.4 -0.1 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 -0.0 0.3 0.0 0.5 0.1 0.0 -0.2 0.4 0.1 0.4 0.0 0.0 -0.0 0.2 0.0 -1.7 0.0 -0.0 0.0 -0.0 0.1 -0.0 1.1 -0.5 -0.3 -0.3 0.4 -0.7 -0.7 -0.7 -0.7 ROBUSTA 0.1 0.3 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.3 0.1 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 0.1 0.5 0.2 -2.7 0.0 -0.0 0.1 0.0 0.2 0.0 1.1 -0.4 0.4 0.6 0.6 0.3 -0.1 0.6 0.1 RUSSELL 0.3 0.2 0.1 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 0.0 0.2 0.1 -0.1 0.0 -0.0 0.1 0.0 0.2 0.0 -0.0 -0.4 0.1 0.1 0.4 0.0 -0.5 -0.3 -0.7 SHATZ 0.1 0.5 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.1 0.1 -0.0 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 0.4 0.3 0.1 0.2 -0.7 -0.6 -0.4 -0.3 SILVER-mini 0.6 0.3 -0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 0.2 0.1 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.1 0.3 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.0 0.2 0.1 0.1 0.2 -0.1 0.0 0.3 SMI -0.1 -0.1 -0.2 0.0 -0.0 0.1 0.0 0.2 0.0 0.0 0.3 0.0 0.5 0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 0.1 0.0 0.3 0.0 1.5 0.0 0.0 0.2 0.0 0.3 0.0 0.5 -0.1 -0.6 -0.1 0.1 -0.0 0.0 -0.5 -0.1 SOFR -0.5 0.4 0.6 0.1 0.0 0.1 0.0 0.1 0.0 0.0 0.4 -0.1 0.4 0.0 0.2 0.1 -0.0 0.0 0.0 0.2 0.2 -0.0 0.4 0.0 -1.0 0.1 -0.0 0.2 -0.0 0.2 -0.0 0.4 -0.3 -0.5 -0.2 0.1 0.3 -0.4 0.7 0.3 SOYBEAN 0.6 0.3 -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 0.0 -0.1 -0.5 0.1 -0.5 0.3 -0.3 SOYMEAL 0.5 0.5 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.1 -0.0 -0.1 0.1 -0.1 -0.0 0.0 -0.0 0.1 -0.2 0.1 -2.7 0.0 0.0 -0.0 0.1 -0.1 0.0 -0.0 0.3 0.2 0.1 -0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.5 0.3 -0.1 -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 -2.5 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.3 0.1 0.2 0.1 -0.1 -0.3 0.2 -0.1 SP400 0.5 0.2 -0.1 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.2 0.1 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.3 0.1 -1.6 0.1 -0.0 0.1 0.0 0.2 0.1 0.0 -0.2 0.3 0.2 0.3 0.2 -0.2 -0.2 -0.7 SP500_micro 0.5 0.4 -0.6 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.4 0.2 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.3 0.1 -0.5 -0.0 0.5 0.6 0.4 0.2 0.1 -0.3 -0.1 SUGAR11 0.6 0.6 0.4 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.0 0.0 0.1 -0.3 0.1 0.1 0.4 0.2 0.2 0.1 0.2 0.1 0.2 -0.1 0.2 -2.7 0.0 0.0 0.0 0.0 -0.0 0.1 0.6 0.4 0.6 0.6 0.6 -0.5 0.3 -0.4 0.4 US10 -0.3 0.3 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 -0.1 -0.1 -0.1 -0.1 0.1 0.2 -0.0 0.2 0.0 0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.3 -0.2 -0.3 -0.2 -0.0 0.1 -0.7 0.7 0.2 US10U -0.3 0.3 0.6 0.1 0.0 0.1 0.0 0.1 0.0 -0.1 0.4 -0.1 0.2 0.0 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 -0.0 0.2 0.0 -0.2 0.0 -0.0 0.2 -0.0 0.2 -0.0 -0.0 -0.3 -0.4 -0.3 -0.2 0.2 -0.6 0.7 0.6 US2 -0.2 0.5 0.6 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.2 -0.0 0.1 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 0.1 0.0 -1.1 -0.1 -0.0 0.1 0.2 0.0 -0.7 0.2 -0.4 US20 -0.4 0.3 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 -0.0 0.1 0.0 -0.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.2 -0.3 -0.4 -0.3 -0.2 0.2 -0.3 0.7 0.7 US30 -0.4 0.2 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 -0.0 0.1 -0.0 -0.2 -0.4 -0.5 -0.4 -0.4 0.1 -0.3 0.7 0.7 US5 -0.3 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 -0.2 -0.2 -0.2 -0.2 0.1 0.2 -0.0 0.2 0.0 0.9 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.7 -0.2 -0.3 -0.1 0.1 0.2 -0.7 0.7 0.0 VIX -0.1 0.1 1.0 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.2 -0.0 -0.4 -0.1 -0.1 0.2 -0.6 -0.3 -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 0.5 -0.4 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.2 -0.3 0.2 -0.6 0.2 -0.1 -0.2 -0.3 -0.3 -0.3 0.0 -0.1 0.2 -0.4 0.2 0.5 0.0 0.1 -0.1 0.1 -0.2 0.1 -1.1 0.4 0.2 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 11.2 12.6 6.0 5.0 -1.0 3.1 2.3 1.7 4.8 8.8 12.4 15.5 2.8 16.6 15.1 0.2 -2.1 -0.8 -1.5 12.9 8.2 15.1 3.4 16.6 2.3 5.2 2.5 3.3 5.9 1.6 6.6 -0.0 18.9 5.6 9.2 1.3 13.1 -5.5 19.5 0.1 BITCOIN 12.5 -1.1 -15.9 3.4 0.9 -0.2 3.9 -1.2 5.9 -14.6 -3.1 9.7 8.0 8.6 -3.2 -6.4 -6.8 -6.1 -6.4 -0.7 -1.5 0.2 7.6 4.9 -20.0 -1.2 -8.2 -0.3 -0.5 7.4 1.8 -2.2 -8.4 -20.0 -20.0 -9.3 -1.3 -3.0 -2.8 1.6 BOBL 1.5 9.0 19.5 3.2 0.4 3.3 0.6 1.7 1.6 6.4 5.9 7.8 -1.3 8.3 10.1 14.0 -10.9 -2.9 -9.0 9.9 7.4 8.5 1.5 9.0 4.3 3.9 2.8 3.1 3.3 1.3 3.5 -11.6 15.1 7.8 0.2 0.0 -20.0 -19.2 -5.2 -5.0 BTP 7.4 8.0 11.6 5.7 0.7 5.9 1.1 3.0 2.9 11.0 18.3 17.0 17.9 18.5 20.0 7.0 4.4 4.8 4.0 19.3 16.6 17.2 13.7 19.2 -20.0 7.3 5.0 6.2 6.7 5.1 7.4 13.3 20.0 19.5 7.3 -8.4 -20.0 -13.3 -0.2 8.1 BUND 0.1 5.5 15.0 3.9 0.5 4.0 0.7 2.0 2.0 6.3 7.8 7.4 1.7 8.5 11.7 -20.0 -3.0 -10.8 -6.3 9.1 7.7 8.1 2.5 7.8 1.4 4.4 4.5 4.0 4.2 2.3 3.9 -1.3 13.3 4.7 -3.9 -4.9 -20.0 -17.9 -4.3 -3.4 BUXL -3.3 1.8 10.0 4.5 0.6 4.6 0.9 2.4 2.3 4.2 6.6 3.5 1.3 4.5 10.5 -0.1 -1.9 -0.7 -1.6 4.8 4.4 5.9 -0.0 3.5 -2.6 3.2 7.5 3.6 4.6 2.2 2.4 3.1 7.5 -3.0 -11.8 -13.9 -20.0 -20.0 -6.3 -5.7 CAC 11.5 10.2 -14.9 3.6 -0.5 4.5 3.3 6.3 4.2 -5.7 -6.5 3.5 0.9 7.9 -2.1 -6.0 -2.8 -5.8 -4.2 -0.5 -5.0 4.6 -1.3 5.6 -7.0 -0.1 -1.6 -2.2 3.4 0.4 3.5 4.6 6.2 -3.5 -2.6 -20.0 10.4 5.4 -2.0 0.4 CAD -1.4 14.2 7.1 6.6 -1.3 4.1 3.1 2.2 6.4 0.1 4.6 3.5 -11.9 13.5 14.1 -4.1 -3.6 -4.4 -4.1 9.3 4.2 6.1 -3.0 9.0 -1.4 5.7 1.8 2.8 4.0 -0.7 5.6 -3.5 16.6 -17.1 1.7 -1.7 10.7 -7.7 5.2 -3.4 CANOLA 12.9 4.2 0.3 -0.2 2.1 -1.5 2.5 -1.6 1.7 6.8 -4.0 6.6 -6.5 3.9 -2.5 -13.0 -11.0 -12.7 -12.8 -1.3 -4.4 8.3 -6.0 4.2 -13.5 0.4 3.0 -1.6 3.5 -3.2 2.5 -20.0 4.2 -1.1 3.7 -0.9 -4.3 -11.3 3.6 -6.8 CHF -10.7 12.6 20.0 4.2 -0.8 2.7 2.0 1.4 4.1 -10.4 8.9 -6.2 -0.5 7.9 12.2 -13.7 -16.1 -14.7 -15.4 11.7 11.3 -2.0 4.5 4.3 4.0 4.5 -2.7 4.6 -0.8 2.3 1.5 -20.0 -12.2 -13.4 -7.4 18.8 -4.7 -10.9 -13.1 -11.7 COCOA 2.2 4.9 7.0 -0.2 1.9 -1.4 2.4 -1.5 1.6 -5.5 1.9 -1.2 3.3 1.4 -1.3 20.0 20.0 20.0 20.0 1.9 4.7 -2.6 9.9 0.9 -20.0 1.9 -4.7 4.2 -1.2 9.0 1.0 20.0 -8.8 -2.4 7.0 7.4 20.0 12.3 20.0 17.6 COFFEE 8.6 5.4 3.8 -0.6 5.0 -3.7 6.1 -3.8 4.1 -3.4 16.8 9.2 16.5 13.1 14.9 3.5 5.8 3.9 4.8 17.0 18.3 4.2 17.9 14.1 -20.0 6.0 -5.4 6.6 1.2 7.4 4.9 7.5 -20.0 8.7 20.0 20.0 -3.8 -8.5 6.3 -2.1 COPPER 20.0 11.6 -11.6 2.2 0.6 -0.1 2.5 -0.7 3.8 10.5 -2.3 11.6 -0.4 11.5 2.1 -3.4 -3.0 -3.2 -2.8 7.9 2.1 20.0 3.2 18.2 -15.8 3.1 4.6 1.2 6.0 1.3 5.6 4.4 20.0 18.6 10.3 -0.6 20.0 9.1 20.0 20.0 CORN 14.6 8.8 -16.8 -0.7 5.6 -4.2 6.8 -4.3 4.6 18.5 -14.7 19.0 -19.5 17.3 -11.0 -12.2 -15.5 -17.5 -18.0 -4.1 -20.0 14.9 -20.0 10.0 -12.5 -2.7 9.2 -9.0 7.3 -12.0 3.7 -20.0 1.1 -5.7 0.6 -18.2 0.6 -4.6 4.5 -0.1 COTTON2 20.0 20.0 -3.1 -0.5 4.1 -3.0 5.0 -3.2 3.4 1.8 -12.6 11.3 -12.7 11.6 2.3 -11.0 -4.2 -10.2 -7.5 3.7 -7.2 7.8 -12.5 10.0 -20.0 2.2 1.6 -1.5 3.6 -2.3 4.6 -11.7 -0.4 2.9 12.7 8.6 -13.4 -12.0 -4.9 -6.1 CRUDE_W 7.6 -11.6 -16.8 -4.5 3.5 -4.3 1.3 -1.9 -1.9 7.4 -8.7 6.6 2.5 -5.5 -10.1 10.7 12.5 12.0 12.5 -10.9 -9.3 2.1 -2.8 -5.2 -1.6 -3.9 4.6 -5.0 1.8 -2.2 -0.6 11.0 -3.4 5.9 10.4 4.5 1.1 12.5 1.6 17.7 DAX 12.3 12.7 -8.4 3.7 -0.5 4.6 3.4 6.5 4.3 3.3 10.3 11.2 14.0 14.7 13.3 -7.8 -10.1 -8.3 -9.2 11.9 8.3 16.2 10.5 17.2 9.6 4.1 2.3 3.3 6.4 5.3 6.5 -6.4 11.6 8.4 10.6 -12.1 14.3 5.8 3.1 1.5 DOW 15.0 16.9 4.9 3.7 -0.5 4.5 3.3 6.4 4.3 7.9 14.5 16.1 16.1 17.3 16.4 -8.8 -10.6 -9.3 -10.0 19.8 17.8 12.8 17.6 19.0 -13.0 6.2 1.0 5.7 3.5 5.9 5.6 -7.5 1.5 16.0 19.7 16.5 10.9 2.6 -5.2 -5.3 DX 4.5 -14.5 -20.0 5.2 -1.0 3.3 2.5 1.7 5.0 14.0 -12.9 0.9 2.5 -12.8 -16.9 4.8 6.6 5.7 6.2 -16.3 -14.8 6.5 -5.9 -7.1 -20.0 -5.9 8.3 -5.4 2.5 -2.2 -2.4 14.2 12.7 -17.8 -20.0 -20.0 -1.5 6.6 -2.7 9.4 EUR -3.5 7.9 13.1 5.8 -1.1 3.6 2.7 1.9 5.6 -17.5 11.9 -2.7 -1.3 7.3 14.2 -5.6 -7.0 -6.3 -6.7 10.3 10.2 -8.2 4.7 3.2 20.0 5.7 -10.8 5.9 -4.0 3.6 1.9 -8.6 -20.0 -14.7 -6.2 7.0 0.1 -20.0 -5.7 -20.0 EURIBOR-ICE -0.7 13.5 20.0 2.7 0.3 2.8 0.5 1.4 1.4 6.3 7.0 7.6 4.9 8.2 9.4 5.2 -2.1 2.2 -0.1 12.7 10.8 8.7 6.4 10.7 12.0 3.4 1.9 2.9 2.4 1.8 2.9 4.2 14.3 10.4 7.1 5.4 -18.6 -20.0 1.8 3.2 EUROSTX 11.4 6.5 -16.1 3.4 -0.5 4.2 3.1 6.0 4.0 -0.5 3.5 7.8 10.5 10.0 4.9 -3.8 -3.1 -4.3 -4.1 3.5 1.4 9.3 6.2 9.1 -2.2 1.5 0.8 1.1 4.9 4.5 4.5 4.1 8.2 0.1 0.3 -20.0 6.2 1.3 -18.9 -6.1 FEEDCOW 20.0 -5.9 -20.0 -0.7 5.8 -4.3 7.1 -4.5 4.8 17.2 -12.9 20.0 -13.5 10.8 -9.2 20.0 -11.0 16.8 3.8 -10.4 -20.0 20.0 -18.3 13.2 -8.5 -3.0 6.2 -5.9 6.0 -4.2 2.9 -9.5 20.0 9.3 -16.4 -20.0 7.3 20.0 17.3 20.0 GASOIL 4.6 -15.3 -19.8 -4.4 3.5 -4.2 1.3 -1.9 -1.8 8.1 -13.4 6.9 0.6 -8.4 -13.5 4.5 8.5 3.0 4.0 -16.7 -15.5 1.7 -6.4 -8.5 3.7 -5.5 2.4 -5.1 0.5 -2.4 -2.8 0.1 -1.1 -6.1 -8.8 -3.5 -3.4 -10.8 -4.2 -18.4 GASOLINE 8.8 -12.6 -16.4 -4.7 3.8 -4.5 1.3 -2.1 -2.0 7.0 -10.1 8.2 0.9 -6.5 -10.7 10.4 20.0 20.0 20.0 -11.7 -10.5 2.5 -2.3 -4.9 -20.0 -3.0 4.8 -4.1 2.4 -0.9 0.3 20.0 -4.8 9.2 9.7 8.3 8.0 16.0 14.0 20.0 GAS_US_mini 17.8 7.4 -4.3 -6.0 4.7 -5.7 1.7 -2.6 -2.5 18.3 -17.5 19.8 -20.0 16.0 -14.7 -20.0 -20.0 -20.0 -20.0 -0.3 -12.0 16.1 -20.0 12.0 20.0 1.1 6.8 -4.1 9.7 -8.7 7.1 -20.0 20.0 20.0 20.0 5.4 -6.8 -18.5 -4.7 -20.0 GBP 3.2 13.8 11.6 6.1 -1.2 3.8 2.9 2.0 5.9 -13.6 19.3 10.7 15.5 18.3 19.1 1.2 -0.4 0.4 -0.1 20.0 19.4 6.4 14.0 18.3 -2.0 7.7 -3.5 7.0 2.3 5.3 6.3 2.6 5.4 3.3 12.9 18.0 7.0 -20.0 9.4 -19.7 GOLD_micro 18.7 18.4 14.1 3.2 0.8 -0.2 3.7 -1.1 5.6 10.4 19.8 16.0 18.9 18.5 19.2 -12.6 -13.2 -12.5 -12.5 20.0 20.0 20.0 20.0 20.0 -11.4 6.8 2.1 5.7 5.3 5.6 7.2 -12.8 20.0 16.9 20.0 20.0 16.4 -1.9 12.8 3.6 HEATOIL 2.6 -15.7 -18.5 -4.9 3.9 -4.7 1.4 -2.1 -2.1 10.0 -16.0 8.0 -5.6 -10.8 -15.5 -5.8 4.2 -5.6 -2.8 -19.4 -19.1 1.6 -10.6 -9.7 -20.0 -5.9 3.4 -7.2 1.5 -4.3 -2.0 -9.5 -0.7 0.4 0.8 -0.0 -6.9 5.1 -11.0 4.0 JGB-SGX-mini 6.8 12.8 15.8 2.5 0.3 2.5 0.5 1.3 1.3 3.8 5.0 6.2 2.6 6.2 6.9 9.0 16.2 12.6 14.4 7.6 5.7 3.2 2.5 5.7 -8.9 2.6 1.1 1.8 1.0 0.3 1.9 20.0 2.6 1.1 2.2 -2.7 -10.7 -5.9 -11.4 2.3 JPY -13.5 12.7 20.0 2.4 -0.5 1.5 1.1 0.8 2.3 -5.7 4.7 -4.6 -3.1 1.4 6.4 -10.2 -14.6 -11.7 -13.0 5.5 4.6 -4.9 -1.4 0.4 20.0 2.0 -2.9 1.6 -1.5 -0.5 0.2 -20.0 -16.1 -6.5 -4.6 8.5 -20.0 -20.0 -20.0 -20.0 LEANHOG 10.7 20.0 1.7 -0.7 6.2 -4.6 7.5 -4.8 5.1 14.2 -5.2 15.7 -7.3 20.0 16.1 20.0 20.0 20.0 20.0 13.6 -1.0 17.3 -11.8 18.7 4.8 4.6 12.2 -0.3 7.5 -3.4 7.0 20.0 5.2 -3.6 20.0 15.1 0.5 -5.2 6.0 2.8 LIVECOW 20.0 0.4 0.4 -0.8 6.5 -4.8 7.9 -5.0 5.3 20.0 9.8 20.0 9.4 18.3 6.5 -3.0 9.1 5.6 9.6 14.9 8.7 20.0 9.0 20.0 -17.6 3.5 12.5 2.0 11.9 3.6 8.5 15.2 20.0 20.0 3.8 20.0 -0.2 20.0 9.0 20.0 LUMBER-new 6.6 6.2 2.2 -0.4 3.7 -2.7 4.4 -2.7 3.0 7.4 -8.2 8.0 -9.4 3.5 3.7 -18.2 -18.0 -18.4 -18.1 0.3 -5.0 5.7 -8.3 4.1 NaN 1.4 3.7 -2.6 4.2 -5.3 3.6 -20.0 1.3 -1.4 3.7 10.7 2.0 -0.8 6.6 2.3 MILK -4.3 13.6 20.0 -0.4 3.7 -2.7 4.5 -2.9 3.0 -5.1 12.5 -2.0 8.2 8.6 10.4 20.0 -5.7 20.0 11.8 15.6 17.3 -0.6 10.0 7.4 13.9 4.4 -1.1 5.0 -0.3 2.7 2.0 0.1 -15.9 -6.0 20.0 20.0 0.7 -20.0 8.4 -20.0 MXP 16.1 -6.6 -19.9 3.0 -0.6 1.9 1.4 1.0 2.9 1.2 -8.7 1.7 -5.4 -2.7 -7.5 9.7 13.6 10.3 11.4 -8.1 -10.9 -0.0 -5.9 -2.5 -20.0 -3.0 1.2 -4.1 0.0 -2.1 -0.8 20.0 -9.8 -1.8 -19.7 -20.0 12.8 13.0 17.0 20.0 NASDAQ_micro 17.6 4.5 -20.0 2.6 -0.4 3.2 2.4 4.5 3.0 -4.4 3.7 9.2 8.5 10.0 2.8 -7.0 -9.6 -7.7 -8.7 5.5 6.0 5.6 10.7 8.1 -20.0 3.1 -1.1 3.5 1.9 5.8 3.5 -5.6 -0.1 10.7 8.0 2.9 2.8 3.8 -9.6 -0.6 NIKKEI 10.0 1.6 -20.0 1.5 -0.2 1.9 1.4 2.7 1.8 1.8 1.5 3.6 3.1 4.6 1.5 1.8 8.4 4.9 6.7 0.6 -0.1 5.2 2.2 3.5 -6.1 -1.0 1.0 -0.9 1.5 0.9 0.7 20.0 7.8 1.7 -8.7 -12.2 12.0 2.3 11.5 1.7 NZD 4.3 16.5 5.2 3.8 -0.8 2.4 1.8 1.3 3.7 -3.4 8.7 7.4 2.6 11.6 11.6 -0.4 0.0 -0.2 -0.1 10.0 6.3 6.0 2.4 10.5 0.2 4.0 -1.3 2.5 2.5 1.1 4.3 3.0 7.8 -0.5 8.1 -1.5 4.5 -6.2 3.2 -0.6 OAT -4.2 6.9 11.8 3.9 0.5 4.0 0.7 2.1 2.0 4.7 3.1 1.7 -0.7 2.9 10.0 6.7 4.2 4.5 3.6 5.6 4.0 4.2 -0.1 3.6 3.6 3.2 4.9 2.7 2.5 1.2 2.0 12.8 4.2 -1.9 -5.0 -13.7 -13.0 -14.6 3.0 2.5 OATIES 20.0 20.0 3.1 -1.0 4.7 -3.8 5.8 -3.8 3.7 16.0 -4.6 17.2 -13.7 16.9 7.5 2.7 2.6 3.9 3.9 20.0 3.9 20.0 -8.5 20.0 -20.0 4.4 8.1 1.0 7.6 -1.2 6.8 3.7 20.0 20.0 20.0 5.5 17.0 1.2 20.0 10.9 OJ -9.0 2.9 1.5 -0.5 4.1 -3.0 5.0 -3.2 3.4 -8.4 12.5 -8.1 13.6 6.5 9.1 12.2 12.2 11.8 11.1 11.5 16.2 -5.1 20.0 3.4 -20.0 4.2 -2.5 6.2 -2.0 9.5 1.1 17.8 -20.0 -7.3 20.0 20.0 12.9 14.4 20.0 20.0 PALLAD 13.1 16.5 12.6 1.5 0.4 -0.1 1.7 -0.5 2.6 -5.9 0.7 0.4 -5.7 2.9 3.4 -1.8 -2.0 -1.8 -1.8 4.3 1.3 -2.1 -4.0 3.1 14.2 1.9 -1.4 0.5 -0.6 -1.2 1.5 6.0 -15.3 -5.2 0.7 8.2 -18.0 -20.0 -20.0 -20.0 PLAT 17.3 5.0 -4.7 2.2 0.6 -0.1 2.5 -0.8 3.9 6.9 -4.4 9.8 -3.8 9.4 0.0 -4.0 -4.4 -4.5 -4.6 3.0 0.1 7.3 -0.5 7.0 5.1 1.9 3.0 -0.3 3.6 -0.6 4.0 1.5 1.0 0.3 -7.4 -0.6 -1.8 -7.0 -10.2 0.7 REDWHEAT 13.3 14.8 -9.5 -0.7 5.7 -4.2 7.0 -4.4 4.7 18.4 -15.2 11.3 -18.7 12.5 -10.3 -10.1 -6.6 -10.1 -9.0 -1.1 -11.3 20.0 -18.2 10.2 -5.3 -1.1 19.6 -5.2 10.7 -7.2 4.5 -15.1 15.8 -2.5 1.5 -20.0 -20.0 -20.0 -20.0 -20.0 RICE 5.9 0.7 -13.3 -0.7 5.5 -4.1 6.7 -4.2 4.5 -1.2 11.1 0.3 13.7 4.9 0.5 -11.0 20.0 3.8 20.0 1.6 2.7 -0.7 7.9 1.5 -12.9 0.3 -1.0 1.7 -1.7 3.6 -0.8 20.0 -20.0 -10.1 -8.3 13.5 -20.0 -20.0 -20.0 -20.0 ROBUSTA 3.8 8.6 -3.0 -0.4 3.3 -2.5 4.0 -2.6 2.7 -2.1 12.4 7.1 12.2 10.8 11.8 20.0 20.0 20.0 20.0 20.0 20.0 5.6 20.0 16.2 -20.0 4.5 -2.9 5.4 0.9 6.6 3.3 20.0 -16.7 13.5 20.0 20.0 9.2 -3.2 19.4 3.7 RUSSELL 9.7 5.1 4.3 2.9 -0.4 3.6 2.7 5.1 3.4 -11.5 5.7 5.9 9.9 7.3 4.9 -5.1 -6.3 -5.4 -5.9 6.5 6.9 1.5 7.1 5.6 -0.7 4.4 -1.9 4.8 0.7 4.7 3.1 -0.2 -14.9 4.1 1.6 11.6 1.4 -13.6 -10.0 -20.0 SHATZ 1.9 14.2 20.0 2.4 0.3 2.5 0.5 1.3 1.2 6.1 4.7 7.2 -1.1 7.3 8.1 -20.0 -20.0 -20.0 -20.0 10.7 7.6 8.6 0.5 9.9 6.4 3.1 1.6 2.3 2.3 0.6 2.8 -20.0 15.6 10.0 4.5 6.2 -20.0 -18.1 -12.6 -9.6 SILVER-mini 20.0 8.9 -2.5 2.3 0.6 -0.1 2.6 -0.8 4.0 0.3 7.5 9.7 7.3 11.0 6.9 -5.9 -6.4 -6.1 -6.2 9.4 7.1 9.4 7.8 12.8 2.1 3.3 1.2 2.0 3.2 2.2 4.6 -1.5 1.2 5.2 4.2 3.9 6.9 -2.5 0.7 9.9 SMI -3.5 -3.4 -6.8 3.5 -0.5 4.4 3.2 6.2 4.1 3.2 10.5 1.4 13.8 2.4 4.6 0.2 0.1 -1.3 -1.2 0.9 7.0 3.3 12.3 0.7 11.0 2.9 0.1 7.0 1.6 9.4 1.1 9.4 -2.3 -18.1 -4.4 2.5 -0.5 1.3 -15.1 -4.3 SOFR -14.4 11.5 20.0 5.3 0.7 5.5 1.0 2.8 2.7 0.6 16.0 -9.6 11.2 4.4 15.4 3.6 -0.0 2.0 0.7 18.3 20.0 -4.5 13.8 3.5 -7.6 4.7 -0.8 7.1 -2.1 5.4 -0.2 6.7 -10.7 -16.5 -6.0 2.0 9.7 -12.5 20.0 10.3 SOYBEAN 19.5 9.8 -16.3 -0.4 3.7 -2.7 4.5 -2.8 3.0 9.0 -8.9 11.1 -10.6 10.1 -5.2 -2.7 1.0 -5.5 -3.9 -2.5 -13.7 11.1 -16.6 8.8 -20.0 -1.3 2.6 -4.9 4.0 -5.4 2.7 -4.6 7.2 1.5 -2.1 -15.2 1.7 -15.1 8.9 -9.7 SOYMEAL 15.8 14.9 -2.3 -0.4 3.4 -2.5 4.1 -2.6 2.8 7.6 -6.3 9.6 -9.7 9.7 -0.5 -3.4 2.9 -2.8 -0.6 3.5 -4.1 12.8 -7.9 10.2 -20.0 1.1 5.5 -1.6 6.7 -2.4 4.5 -0.1 14.1 4.9 2.9 -3.3 -20.0 -20.0 -20.0 -20.0 SOYOIL 15.6 9.9 -2.0 -0.5 2.4 -1.9 2.9 -2.0 1.9 3.5 -5.9 5.3 -8.3 4.3 -4.0 -0.2 1.3 1.5 1.1 -0.2 -5.1 8.2 -7.7 5.9 -18.6 0.6 1.8 -1.5 3.4 -2.5 2.9 -0.3 11.5 3.3 4.8 2.6 -2.1 -8.8 7.3 -3.3 SP400 14.2 7.5 -3.0 3.3 -0.5 4.1 3.1 5.8 3.9 -6.3 8.9 11.9 12.8 12.6 9.0 -6.0 -5.9 -6.0 -5.9 8.9 7.9 6.6 9.8 10.5 -11.7 5.1 -0.8 5.1 2.4 5.5 4.7 0.2 -7.8 10.1 7.4 8.5 5.6 -6.0 -7.5 -20.0 SP500_micro 16.9 11.4 -17.3 3.5 -0.5 4.3 3.2 6.1 4.0 -6.0 13.9 14.1 15.6 15.6 14.0 -8.9 -11.6 -9.9 -10.9 14.6 15.9 9.4 20.0 15.0 -20.0 5.4 -0.6 6.0 2.8 7.9 5.1 -9.2 -0.7 15.1 17.4 11.9 7.1 3.2 -8.7 -2.4 SUGAR11 20.0 20.0 12.0 -0.5 4.0 -2.9 4.8 -3.1 3.3 0.7 0.0 11.7 -8.2 12.6 9.3 20.0 8.5 10.7 6.8 18.9 5.3 20.0 -2.8 20.0 -20.0 3.8 0.9 1.0 4.0 -0.7 5.3 10.5 15.3 20.0 20.0 20.0 -13.8 10.1 -11.2 13.5 US10 -9.6 10.8 20.0 4.1 0.5 4.2 0.8 2.1 2.1 -6.0 11.7 -6.7 5.5 4.2 11.9 -6.9 -7.4 -7.1 -7.1 12.9 14.9 -3.6 6.4 3.2 2.3 3.8 -1.8 5.4 -1.9 3.5 0.1 -6.2 -9.4 -9.3 -4.8 -0.0 4.1 -20.0 20.0 7.3 US10U -9.1 10.1 20.0 5.3 0.7 5.5 1.0 2.8 2.7 -7.6 14.9 -9.5 5.2 4.6 15.0 -4.4 -3.3 -4.3 -4.0 15.1 17.4 -5.1 6.6 3.1 -1.3 4.5 -2.4 6.8 -2.9 4.5 -0.4 -0.2 -13.4 -13.7 -8.2 -4.7 4.7 -17.7 20.0 18.6 US2 -5.9 16.6 20.0 2.7 0.4 2.8 0.5 1.4 1.4 -7.5 7.0 -2.7 1.6 5.4 8.7 -20.0 -20.0 -20.0 -20.0 11.5 10.9 -2.6 2.7 4.7 12.8 3.0 -1.7 3.2 -0.9 1.5 0.9 -20.0 -5.2 -1.5 2.8 7.5 0.1 -20.0 5.7 -13.3 US20 -11.1 8.6 20.0 4.1 0.5 4.2 0.8 2.1 2.1 -7.3 10.8 -9.2 5.9 1.5 10.2 -2.4 -1.1 -1.7 -1.3 9.6 12.2 -5.2 5.5 0.4 -3.5 2.8 -2.2 5.2 -2.9 4.0 -1.2 4.4 -13.1 -12.7 -8.3 -6.0 5.7 -10.5 20.0 20.0 US30 -11.1 7.2 16.5 4.5 0.6 4.6 0.9 2.4 2.3 -8.2 10.9 -10.5 3.5 -0.0 10.2 -6.8 -5.4 -6.1 -5.6 8.0 10.3 -6.4 3.2 -0.9 -2.3 2.3 -2.9 5.0 -3.9 3.6 -2.1 -3.1 -15.9 -15.8 -10.9 -10.8 2.1 -9.5 20.0 20.0 US5 -9.8 12.4 20.0 3.9 0.5 4.0 0.7 2.0 2.0 -8.8 11.1 -6.4 4.4 4.5 11.8 -9.7 -10.8 -10.7 -10.8 13.7 15.1 -4.1 6.1 3.8 7.0 3.9 -2.1 5.0 -1.8 3.1 0.5 -12.3 -9.1 -7.9 -2.3 3.6 5.7 -20.0 20.0 0.3 VIX -2.2 1.1 20.0 1.2 2.3 0.7 1.1 -1.7 0.5 7.4 -5.6 -1.7 -7.8 -5.2 -5.2 5.3 -20.0 -9.4 -20.0 1.2 -0.2 3.1 -4.7 1.2 NaN 1.3 2.6 0.7 1.3 -2.1 0.5 NaN NaN NaN NaN NaN -13.4 -20.0 NaN NaN WHEAT 18.6 15.9 -11.9 -0.6 5.5 -4.0 6.6 -4.2 4.5 17.0 -12.6 13.9 -16.2 15.4 -7.0 -12.4 -14.9 -14.6 -15.2 2.2 -9.6 20.0 -16.5 14.0 4.1 0.3 15.2 -4.0 9.8 -5.6 5.6 -20.0 15.3 6.4 6.5 -18.0 -20.0 -19.9 -20.0 -16.8 End of report for caleb_strategy_v3