******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241003_203909 produced at 2024-10-03 21:37:36.757204 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.07 0.0 999.00 -999.00 0.00 0.00 -2.04 999999999.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -28.33 59.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.08 -0.05 0.0 0.54 -0.54 -0.08 -0.08 -5.10 60.0 -9 -9 caleb_strategy_v3 VIX False False 0.01 -0.03 -0.05 0.0 999.00 -999.00 -0.03 -0.03 -7.59 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 -5.86 12.0 -5 -5 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.04 0.0 0.10 -0.10 -0.03 -0.03 -1.27 3.0 -1 -1 caleb_strategy_v3 CHF False False 0.05 0.05 -0.03 0.0 0.68 -0.68 0.05 0.00 -0.59 13.0 1 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.67 24.0 0 0 caleb_strategy_v3 JPY False False 0.03 0.00 -0.02 0.0 0.51 -0.51 0.00 -0.03 -0.64 17.0 0 -1 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -0.70 4.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.02 0.0 0.14 -0.14 -0.05 -0.04 -1.53 11.0 -4 -3 caleb_strategy_v3 RICE False False 0.01 0.00 -0.02 0.0 0.04 -0.04 0.00 0.00 -2.00 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 -5.82 51.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.01 -0.01 0.0 0.11 -0.11 -0.01 -0.01 -0.95 9.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.01 0.0 0.10 -0.10 -0.02 -0.01 -0.72 9.0 -2 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.01 0.0 0.32 -0.32 -0.01 0.00 -0.70 23.0 -1 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.08 -0.01 0.0 0.13 -0.13 -0.08 -0.06 -0.69 7.0 -4 -3 caleb_strategy_v3 LUMBER-new False False 0.01 -0.01 -0.01 0.0 0.02 -0.02 -0.01 -0.01 -1.28 3.0 -2 -2 caleb_strategy_v3 CAC True False 0.03 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.46 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 -1.24 8.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.12 13.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.01 0.0 0.08 -0.08 -0.02 -0.01 -1.90 26.0 -6 -3 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 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.24 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 0.04 2.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.23 -0.00 0.0 0.28 -0.28 0.23 0.09 -0.04 6.0 5 2 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.20 -0.20 0.00 0.00 0.10 6.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.00 0.0 0.34 -0.34 -0.04 -0.04 -0.02 8.0 -1 -1 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.00 0.0 0.38 -0.38 0.00 0.00 0.13 20.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.00 0.0 0.26 -0.26 0.00 0.00 0.88 68.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 0.00 0.0 0.18 -0.18 0.00 0.00 0.15 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 -0.09 4.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.07 -0.07 0.02 0.02 0.55 3.0 1 1 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.01 0.0 0.38 -0.38 0.02 0.02 0.44 23.0 1 1 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.01 0.0 0.48 -0.48 0.00 0.00 1.05 48.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.01 0.0 0.54 -0.54 0.00 0.04 0.24 13.0 0 1 caleb_strategy_v3 SUGAR11 False False 0.01 0.05 0.01 0.0 0.15 -0.15 0.05 0.03 1.62 18.0 6 4 caleb_strategy_v3 BOBL False False 0.05 0.00 0.01 0.0 0.88 -0.88 0.00 0.00 0.23 19.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.08 0.01 0.0 0.96 -0.96 0.08 0.08 0.37 25.0 2 2 caleb_strategy_v3 CAD False False 0.03 0.00 0.01 0.0 0.76 -0.76 0.00 0.00 0.31 29.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.01 0.0 0.57 -0.57 0.00 0.00 0.42 26.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.15 9.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.10 0.01 0.0 0.68 -0.68 0.10 0.10 0.20 14.0 2 2 caleb_strategy_v3 SP400 False False 0.11 0.22 0.01 0.0 0.22 -0.22 0.22 0.22 0.08 2.0 2 2 caleb_strategy_v3 US10 False False 0.04 0.00 0.01 0.0 0.68 -0.68 0.00 0.00 0.24 17.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.44 999999999.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.01 0.02 0.0 0.07 -0.07 0.01 0.01 1.60 5.0 1 1 caleb_strategy_v3 OATIES False True 0.01 0.00 0.02 0.0 0.00 0.00 0.00 0.00 2.48 2.0 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 1.32 5.0 1 1 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.03 0.0 999.00 -999.00 0.00 0.00 0.89 999999999.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.62 9.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.05 0.03 0.0 0.49 -0.49 0.05 0.05 0.69 10.0 1 1 caleb_strategy_v3 NZD False False 0.02 0.04 0.03 0.0 0.46 -0.46 0.04 0.04 1.18 21.0 2 2 caleb_strategy_v3 NIKKEI False False 0.01 0.00 0.03 0.0 0.33 -0.33 0.00 0.01 3.13 36.0 0 1 caleb_strategy_v3 GBP False False 0.03 0.03 0.04 0.0 0.63 -0.63 0.03 0.00 1.54 22.0 1 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.04 0.0 0.49 -0.49 0.00 0.00 5.62 66.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.10 0.06 0.0 0.46 -0.46 0.10 0.07 2.59 19.0 4 3 caleb_strategy_v3 DAX False False 0.01 0.03 0.06 0.0 0.43 -0.43 0.03 0.01 7.97 58.0 4 1 caleb_strategy_v3 COPPER False False 0.04 0.12 0.08 0.0 999.00 -999.00 0.12 0.12 1.91 999999999.0 3 3 caleb_strategy_v3 BTP False False 0.05 0.05 0.08 0.0 0.47 -0.47 0.05 0.05 1.65 10.0 1 1 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.09 0.0 0.14 -0.14 0.05 0.06 8.23 13.0 5 6 caleb_strategy_v3 GOLD_micro False False 0.01 0.02 0.09 0.0 0.53 -0.53 0.02 0.02 9.45 56.0 2 2 caleb_strategy_v3 LIVECOW False False 0.03 0.11 0.09 0.0 0.45 -0.45 0.11 0.11 3.38 17.0 4 4 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.31 0.42 0.0 0.56 -0.56 0.31 0.31 12.08 16.0 9 9 caleb_strategy_v3 SOFR False True 0.09 0.00 0.61 0.0 0.00 0.00 0.00 0.00 7.13 11.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.00 0.95 0.0 0.95 -0.95 0.00 0.00 10.01 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.1 Shocked risk 18.5 Sum abs risk 30.0 Leverage 3.58 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2840033.21, 'annual_cash_vol_target': 710008.3025, 'daily_cash_vol_target': 44375.51890625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6848 0.6210 9.9362 BITCOIN 1613.3473 60970.0000 2.6461 42.3381 BOBL 0.2539 119.8200 0.2119 3.3910 BTP 0.5080 121.2500 0.4189 6.7030 BUND 0.5003 134.5900 0.3717 5.9472 BUXL 1.2794 135.7600 0.9424 15.0786 CAC 73.8388 7479.0000 0.9873 15.7965 CAD 0.0027 0.7396 0.3670 5.8726 CANOLA 9.3024 635.1000 1.4647 23.4354 CHF 0.0055 1.1818 0.4693 7.5091 COCOA 165.2459 6215.0000 2.6588 42.5412 COFFEE 4.8166 252.7000 1.9060 30.4966 COPPER 0.0637 4.5485 1.3994 22.3909 CORN 4.4063 456.0000 0.9663 15.4608 COTTON2 1.0461 72.7000 1.4389 23.0217 CRUDE_W 1.2562 69.9300 1.7964 28.7417 DAX 153.7316 19145.0000 0.8030 12.8478 DOW 244.6807 42272.0000 0.5788 9.2612 DX 0.3828 101.7200 0.3763 6.0207 EUR 0.0046 1.1059 0.4182 6.6915 EURIBOR-ICE 0.0454 98.0000 0.0463 0.7406 EUROSTX 47.7053 4942.0000 0.9653 15.4448 FEEDCOW 1.7022 242.5000 0.7019 11.2310 GASOIL 12.8271 697.0000 1.8403 29.4452 GASOLINE 0.0375 2.0526 1.8261 29.2179 GAS_US_mini 0.0843 3.3650 2.5065 40.1039 GBP 0.0071 1.3113 0.5426 8.6809 GOLD_micro 17.6878 2677.6000 0.6606 10.5694 HEATOIL 0.0387 2.3182 1.6683 26.6930 JGB-SGX-mini 0.2424 144.7700 0.1675 2.6794 JPY 0.0001 0.0069 0.8363 13.3816 LEANHOG 1.0319 76.3750 1.3511 21.6178 LIVECOW 1.1951 186.4500 0.6410 10.2556 LUMBER-new 8.6691 548.0000 1.5820 25.3113 MILK 0.2765 21.2100 1.3038 20.8613 MXP 0.0005 0.0512 0.8868 14.1893 NASDAQ_micro 181.7661 19943.5000 0.9114 14.5825 NIKKEI 683.7502 38560.0000 1.7732 28.3714 NZD 0.0044 0.6214 0.7044 11.2698 OAT 0.4923 126.5800 0.3889 6.2231 OATIES 5.6127 384.5000 1.4597 23.3559 OJ 8.2881 459.5500 1.8035 28.8562 PALLAD 26.0842 1005.5000 2.5941 41.5064 PLAT 16.0352 1006.0000 1.5940 25.5032 REDWHEAT 9.9755 627.5000 1.5897 25.4356 RICE 0.1459 15.2850 0.9546 15.2738 ROBUSTA 96.0477 4711.0000 2.0388 32.6208 RUSSELL 23.4114 2193.9000 1.0671 17.0738 SHATZ 0.0882 107.0900 0.0824 1.3184 SILVER-mini 0.4972 32.5500 1.5275 24.4397 SMI 84.1291 12031.0000 0.6993 11.1883 SOFR 0.0533 96.8600 0.0550 0.8797 SOYBEAN 10.9663 1087.7500 1.0082 16.1306 SOYMEAL 5.1842 331.3000 1.5648 25.0368 SOYOIL 0.7277 44.4600 1.6367 26.1866 SP400 25.0216 3107.0000 0.8053 12.8853 SP500_micro 37.4054 5736.5000 0.6521 10.4330 SUGAR11 0.3452 21.5400 1.6027 25.6426 US10 0.3554 113.9219 0.3120 4.9914 US10U 0.4800 117.8594 0.4072 6.5158 US2 0.1069 103.9883 0.1028 1.6446 US20 0.7176 123.4688 0.5812 9.2988 US30 1.0872 132.0625 0.8232 13.1716 US5 0.2375 109.6250 0.2167 3.4667 VIX 0.6793 19.3500 3.5108 56.1728 WHEAT 9.0993 667.0000 1.3642 21.8275 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 684.80 0.62 425.27 1.00 425.27 44375.52 104.35 9.58 99.94 BITCOIN 60.97 2.65 161.33 1.00 161.33 44375.52 275.05 -9.51 -261.65 BOBL 1198.20 0.21 253.94 1.11 280.94 44375.52 157.96 1.43 22.61 BTP 1212.50 0.42 507.96 1.11 561.96 44375.52 78.97 6.12 48.32 BUND 1345.90 0.37 500.27 1.11 553.45 44375.52 80.18 -0.24 -1.90 BUXL 1357.60 0.94 1279.42 1.11 1415.42 44375.52 31.35 -2.73 -8.55 CAC 747.90 0.99 738.39 1.11 816.88 44375.52 54.32 -2.47 -13.42 CAD 739.55 0.37 271.44 1.00 271.44 44375.52 163.48 0.74 12.11 CANOLA 127.02 1.46 186.05 0.74 137.94 44375.52 321.70 -7.43 -239.15 CHF 1477.25 0.47 693.30 1.00 693.30 44375.52 64.01 -3.52 -22.56 COCOA 621.50 2.66 1652.46 1.00 1652.46 44375.52 26.85 7.31 19.62 COFFEE 947.62 1.91 1806.21 1.00 1806.21 44375.52 24.57 3.49 8.59 COPPER 1137.12 1.40 1591.33 1.00 1591.33 44375.52 27.89 6.33 17.65 CORN 228.00 0.97 220.32 1.00 220.32 44375.52 201.42 -11.96 -240.80 COTTON2 363.50 1.44 523.03 1.00 523.03 44375.52 84.84 -8.40 -71.26 CRUDE_W 699.30 1.80 1256.19 1.00 1256.19 44375.52 35.33 3.46 12.21 DAX 191.45 0.80 153.73 1.11 170.07 44375.52 260.92 8.95 233.54 DOW 211.36 0.58 122.34 1.00 122.34 44375.52 362.72 6.67 241.82 DX 1017.20 0.38 382.77 1.00 382.77 44375.52 115.93 -6.78 -78.59 EUR 1382.38 0.42 578.13 1.00 578.13 44375.52 76.76 0.99 7.60 EURIBOR-ICE 2450.00 0.05 113.41 1.11 125.46 44375.52 353.70 8.30 293.53 EUROSTX 494.20 0.97 477.05 1.11 527.76 44375.52 84.08 0.44 3.69 FEEDCOW 1212.50 0.70 851.10 1.00 851.10 44375.52 52.14 -0.12 -0.62 GASOIL 697.00 1.84 1282.71 1.00 1282.71 44375.52 34.60 -4.68 -16.19 GASOLINE 862.09 1.83 1574.28 1.00 1574.28 44375.52 28.19 3.63 10.24 GAS_US_mini 84.12 2.51 210.86 1.00 210.86 44375.52 210.45 -0.83 -17.50 GBP 819.56 0.54 444.66 1.00 444.66 44375.52 99.80 5.93 59.20 GOLD_micro 267.76 0.66 176.88 1.00 176.88 44375.52 250.88 11.04 277.03 HEATOIL 973.64 1.67 1624.35 1.00 1624.35 44375.52 27.32 -10.72 -29.29 JGB-SGX-mini 144770.00 0.17 24243.97 0.01 168.71 44375.52 263.03 4.24 111.56 JPY 859.25 0.84 718.63 1.00 718.63 44375.52 61.75 -3.98 -24.57 LEANHOG 305.50 1.35 412.77 1.00 412.77 44375.52 107.51 12.60 135.48 LIVECOW 745.80 0.64 478.04 1.00 478.04 44375.52 92.83 10.98 101.89 LUMBER-new 150.70 1.58 238.40 1.00 238.40 44375.52 186.14 -3.21 -59.74 MILK 424.20 1.30 553.09 1.00 553.09 44375.52 80.23 9.30 74.61 MXP 255.75 0.89 226.81 1.00 226.81 44375.52 195.65 -1.78 -34.74 NASDAQ_micro 398.87 0.91 363.53 1.00 363.53 44375.52 122.07 -2.46 -30.02 NIKKEI 38560.00 1.77 68375.02 0.01 475.81 44375.52 93.26 3.10 28.95 NZD 621.45 0.70 437.73 1.00 437.73 44375.52 101.38 4.49 45.55 OAT 1265.80 0.39 492.32 1.11 544.66 44375.52 81.47 2.48 20.18 OATIES 192.25 1.46 280.64 1.00 280.64 44375.52 158.13 6.46 102.14 OJ 689.32 1.80 1243.21 1.00 1243.21 44375.52 35.69 7.14 25.49 PALLAD 1005.50 2.59 2608.42 1.00 2608.42 44375.52 17.01 0.62 1.05 PLAT 503.00 1.59 801.76 1.00 801.76 44375.52 55.35 0.82 4.54 REDWHEAT 313.75 1.59 498.78 1.00 498.78 44375.52 88.97 -10.51 -93.48 RICE 305.70 0.95 291.83 1.00 291.83 44375.52 152.06 -5.41 -82.22 ROBUSTA 471.10 2.04 960.48 1.00 960.48 44375.52 46.20 8.19 37.86 RUSSELL 109.70 1.07 117.06 1.00 117.06 44375.52 379.09 0.70 26.68 SHATZ 1070.90 0.08 88.24 1.11 97.62 44375.52 454.56 -1.45 -66.01 SILVER-mini 813.75 1.53 1242.99 1.00 1242.99 44375.52 35.70 7.34 26.21 SMI 1203.10 0.70 841.29 1.18 994.49 44375.52 44.62 4.07 18.16 SOFR 2421.50 0.05 133.14 1.00 133.14 44375.52 333.30 3.52 117.38 SOYBEAN 543.88 1.01 548.31 1.00 548.31 44375.52 80.93 -9.14 -73.93 SOYMEAL 331.30 1.56 518.42 1.00 518.42 44375.52 85.60 -8.99 -76.99 SOYOIL 266.76 1.64 436.60 1.00 436.60 44375.52 101.64 -2.53 -25.76 SP400 3107.00 0.81 2502.16 1.00 2502.16 44375.52 17.73 1.35 2.40 SP500_micro 286.82 0.65 187.03 1.00 187.03 44375.52 237.27 1.90 45.16 SUGAR11 241.25 1.60 386.64 1.00 386.64 44375.52 114.77 6.66 76.40 US10 1139.22 0.31 355.40 1.00 355.40 44375.52 124.86 1.50 18.74 US10U 1178.59 0.41 479.97 1.00 479.97 44375.52 92.45 2.03 18.76 US2 2079.77 0.10 213.78 1.00 213.78 44375.52 207.58 -0.46 -9.46 US20 1234.69 0.58 717.57 1.00 717.57 44375.52 61.84 1.94 11.99 US30 1320.62 0.82 1087.17 1.00 1087.17 44375.52 40.82 -0.71 -2.89 US5 1096.25 0.22 237.52 1.00 237.52 44375.52 186.83 1.54 28.84 VIX 193.50 3.51 679.34 1.00 679.34 44375.52 65.32 -4.71 -30.75 WHEAT 333.50 1.36 454.97 1.00 454.97 44375.52 97.54 -7.38 -71.98 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 99.937 0.010 2.5 2.593 BITCOIN -261.645 0.043 2.5 -28.333 BOBL 22.613 0.004 2.5 0.229 BTP 48.324 0.014 2.5 1.648 BUND -1.896 0.004 2.5 -0.019 BUXL -8.551 0.004 2.5 -0.087 CAC -13.420 0.014 2.5 -0.458 CAD 12.106 0.010 2.5 0.314 CANOLA -239.151 0.010 2.5 -5.818 CHF -22.560 0.010 2.5 -0.585 COCOA 19.621 0.009 2.5 0.420 COFFEE 8.586 0.005 2.5 0.100 COPPER 17.654 0.043 2.5 1.912 CORN -240.805 0.010 2.5 -5.858 COTTON2 -71.263 0.009 2.5 -1.526 CRUDE_W 12.208 0.043 2.5 1.322 DAX 233.539 0.014 2.5 7.966 DOW 241.818 0.009 2.5 5.620 DX -78.590 0.010 2.5 -2.039 EUR 7.602 0.010 2.5 0.197 EURIBOR-ICE 293.533 0.014 2.5 10.012 EUROSTX 3.686 0.014 2.5 0.126 FEEDCOW -0.622 0.013 2.5 -0.021 GASOIL -16.192 0.017 2.5 -0.702 GASOLINE 10.244 0.017 2.5 0.444 GAS_US_mini -17.501 0.043 2.5 -1.895 GBP 59.203 0.010 2.5 1.536 GOLD_micro 277.035 0.014 2.5 9.449 HEATOIL -29.290 0.017 2.5 -1.270 JGB-SGX-mini 111.563 0.043 2.5 12.081 JPY -24.573 0.010 2.5 -0.638 LEANHOG 135.479 0.024 2.5 8.234 LIVECOW 101.889 0.013 2.5 3.376 LUMBER-new -59.742 0.009 2.5 -1.279 MILK 74.614 0.009 2.5 1.598 MXP -34.737 0.059 2.5 -5.098 NASDAQ_micro -30.018 0.009 2.5 -0.698 NIKKEI 28.950 0.043 2.5 3.135 NZD 45.552 0.010 2.5 1.182 OAT 20.184 0.014 2.5 0.688 OATIES 102.141 0.010 2.5 2.485 OJ 25.494 0.009 2.5 0.546 PALLAD 1.050 0.014 2.5 0.036 PLAT 4.537 0.014 2.5 0.155 REDWHEAT -93.483 0.005 2.5 -1.240 RICE -82.220 0.010 2.5 -2.000 ROBUSTA 37.861 0.005 2.5 0.442 RUSSELL 26.682 0.013 2.5 0.884 SHATZ -66.007 0.004 2.5 -0.669 SILVER-mini 26.211 0.014 2.5 0.894 SMI 18.157 0.014 2.5 0.619 SOFR 117.377 0.024 2.5 7.133 SOYBEAN -73.931 0.004 2.5 -0.688 SOYMEAL -76.991 0.004 2.5 -0.716 SOYOIL -25.757 0.004 2.5 -0.240 SP400 2.400 0.013 2.5 0.080 SP500_micro 45.163 0.009 2.5 1.050 SUGAR11 76.404 0.009 2.5 1.625 US10 18.741 0.005 2.5 0.237 US10U 18.765 0.005 2.5 0.238 US2 -9.456 0.005 2.5 -0.120 US20 11.989 0.005 2.5 0.152 US30 -2.893 0.005 2.5 -0.037 US5 28.842 0.005 2.5 0.365 VIX -30.748 0.099 2.5 -7.590 WHEAT -71.978 0.005 2.5 -0.955 ===================== Position diags ===================== AUD 2.71 BITCOIN 29.78 BOBL 1.60 BTP 2.69 BUND 0.81 BUXL 0.32 CAC 1.85 CAD 4.24 CANOLA 7.83 CHF 1.66 COCOA 0.58 COFFEE 0.29 COPPER 3.02 CORN 4.90 COTTON2 1.82 CRUDE_W 3.83 DAX 8.90 DOW 8.43 DX 3.01 EUR 1.99 EURIBOR-ICE 12.06 EUROSTX 2.87 FEEDCOW 1.73 GASOIL 1.50 GASOLINE 1.22 GAS_US_mini 22.79 GBP 2.59 GOLD_micro 8.56 HEATOIL 1.18 JGB-SGX-mini 28.48 JPY 1.60 LEANHOG 6.53 LIVECOW 3.08 LUMBER-new 3.99 MILK 1.72 MXP 28.72 NASDAQ_micro 2.84 NIKKEI 10.10 NZD 2.63 OAT 2.78 OATIES 3.85 OJ 0.76 PALLAD 0.58 PLAT 1.89 REDWHEAT 1.18 RICE 3.70 ROBUSTA 0.54 RUSSELL 12.56 SHATZ 4.61 SILVER-mini 1.22 SMI 1.52 SOFR 20.26 SOYBEAN 0.75 SOYMEAL 0.80 SOYOIL 0.95 SP400 0.59 SP500_micro 5.51 SUGAR11 2.44 US10 1.58 US10U 1.17 US2 2.63 US20 0.78 US30 0.52 US5 2.37 VIX 16.12 WHEAT 1.29 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 2.6 2.3 2.9 4.0 4 BITCOIN -28.3 -31.3 -25.4 0.0 0 BOBL 0.2 0.1 0.4 0.0 0 BTP 1.6 1.4 1.9 1.0 1 BUND -0.0 -0.1 0.1 0.0 0 BUXL -0.1 -0.1 -0.1 0.0 0 CAC -0.5 -0.6 -0.3 0.0 0 CAD 0.3 -0.1 0.7 0.0 0 CANOLA -5.8 -6.6 -5.0 -2.0 -2 CHF -0.6 -0.8 -0.4 1.0 1 COCOA 0.4 0.4 0.5 0.0 0 COFFEE 0.1 0.1 0.1 0.0 0 COPPER 1.9 1.6 2.2 3.0 3 CORN -5.9 -6.3 -5.4 -5.0 -5 COTTON2 -1.5 -1.7 -1.3 -4.0 -4 CRUDE_W 1.3 0.9 1.7 1.0 1 DAX 8.0 7.1 8.9 4.0 4 DOW 5.6 4.8 6.5 0.0 0 DX -2.0 -2.3 -1.7 0.0 0 EUR 0.2 -0.0 0.4 2.0 2 EURIBOR-ICE 10.0 8.8 11.2 0.0 0 EUROSTX 0.1 -0.2 0.4 0.0 0 FEEDCOW -0.0 -0.2 0.2 -1.0 -1 GASOIL -0.7 -0.9 -0.6 -1.0 -1 GASOLINE 0.4 0.3 0.6 0.0 0 GAS_US_mini -1.9 -4.2 0.4 -6.0 -6 GBP 1.5 1.3 1.8 1.0 1 GOLD_micro 9.4 8.6 10.3 2.0 2 HEATOIL -1.3 -1.4 -1.2 -1.0 -1 JGB-SGX-mini 12.1 9.2 14.9 9.0 9 JPY -0.6 -0.8 -0.5 0.0 0 LEANHOG 8.2 7.6 8.9 5.0 5 LIVECOW 3.4 3.1 3.7 4.0 4 LUMBER-new -1.3 -1.7 -0.9 -2.0 -2 MILK 1.6 1.4 1.8 1.0 1 MXP -5.1 -8.0 -2.2 -9.0 -9 NASDAQ_micro -0.7 -1.0 -0.4 -1.0 -1 NIKKEI 3.1 2.1 4.1 0.0 0 NZD 1.2 0.9 1.4 2.0 2 OAT 0.7 0.4 1.0 1.0 1 OATIES 2.5 2.1 2.9 NaN 0 OJ 0.5 0.5 0.6 1.0 1 PALLAD 0.0 -0.0 0.1 0.0 0 PLAT 0.2 -0.0 0.3 0.0 0 REDWHEAT -1.2 -1.4 -1.1 0.0 0 RICE -2.0 -2.4 -1.6 NaN 0 ROBUSTA 0.4 0.4 0.5 1.0 1 RUSSELL 0.9 -0.4 2.1 0.0 0 SHATZ -0.7 -1.1 -0.2 NaN 0 SILVER-mini 0.9 0.8 1.0 0.0 0 SMI 0.6 0.5 0.8 0.0 0 SOFR 7.1 5.1 9.2 NaN 0 SOYBEAN -0.7 -0.8 -0.6 -4.0 -4 SOYMEAL -0.7 -0.8 -0.6 -2.0 -2 SOYOIL -0.2 -0.3 -0.1 0.0 0 SP400 0.1 0.0 0.1 2.0 2 SP500_micro 1.0 0.5 1.6 0.0 0 SUGAR11 1.6 1.4 1.9 6.0 6 US10 0.2 0.1 0.4 0.0 0 US10U 0.2 0.1 0.4 0.0 0 US2 -0.1 -0.4 0.1 NaN 0 US20 0.2 0.1 0.2 0.0 0 US30 -0.0 -0.1 0.0 5.0 5 US5 0.4 0.1 0.6 2.0 2 VIX -7.6 -9.2 -6.0 -5.0 -5 WHEAT -1.0 -1.1 -0.8 -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 0.0 -0.0 0.3 0.1 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 0.0 0.1 0.1 -0.0 0.4 0.2 0.3 0.1 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 -0.2 -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 0.0 -2.7 -0.0 -0.1 -0.0 -0.0 0.3 0.0 -0.1 -0.4 -0.6 -0.6 -0.3 -0.0 -0.1 -0.1 0.1 BOBL -0.0 0.3 0.6 0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 0.2 0.0 -0.0 0.1 0.1 0.3 -0.2 -0.0 -0.2 0.1 0.1 0.0 0.0 0.1 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.6 0.3 0.3 0.0 0.0 -0.7 -0.6 -0.2 -0.2 BTP 0.2 0.2 0.4 0.1 -0.0 0.2 -0.0 0.1 0.0 0.0 0.5 0.1 0.6 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.4 0.2 -2.7 0.1 0.0 0.2 0.1 0.2 0.1 0.7 0.5 0.6 0.3 -0.2 -0.7 -0.4 0.0 0.3 BUND -0.1 0.2 0.5 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.2 0.0 0.1 0.1 0.1 -0.4 -0.1 -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 -0.1 0.3 0.2 -0.1 -0.1 -0.7 -0.6 -0.1 -0.1 BUXL -0.2 0.0 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 0.0 0.0 -0.0 0.0 -0.3 0.0 -0.0 0.1 0.0 0.1 0.0 0.2 0.3 -0.1 -0.3 -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 0.0 -0.9 -0.0 -0.1 -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 -0.1 0.4 0.2 0.1 -0.0 0.1 0.0 0.1 0.1 -0.1 0.1 -0.0 -0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 -0.0 0.1 0.0 -0.0 0.1 -0.2 0.4 -0.5 0.0 -0.0 0.3 -0.3 0.2 -0.1 CANOLA 0.5 0.2 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 -0.0 -0.3 -0.2 -0.3 -0.3 -0.0 -0.0 0.1 -0.2 0.1 -1.8 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 0.2 -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 -0.1 0.1 0.0 0.5 0.0 -0.0 0.1 -0.0 0.1 0.0 -1.1 -0.2 -0.5 -0.3 0.6 -0.2 -0.4 -0.4 -0.4 COCOA 0.1 0.1 0.2 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 -0.0 0.1 0.0 -0.0 0.4 0.4 0.4 0.4 0.0 0.0 -0.0 0.3 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.3 0.0 1.1 -0.1 -0.1 0.2 0.2 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 0.4 0.1 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 -0.0 0.5 0.1 -2.7 0.1 -0.1 0.2 -0.0 0.3 0.0 0.4 -0.5 0.1 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 0.1 0.1 0.2 -2.0 0.0 0.0 0.0 0.1 0.0 0.1 0.2 0.5 0.5 0.4 -0.0 0.7 0.3 0.7 0.7 CORN 0.5 0.3 -0.5 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.1 -0.4 0.2 -0.7 0.2 -0.1 -0.2 -0.3 -0.3 -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 0.1 -0.2 0.1 -0.6 0.0 -0.2 0.2 -0.0 COTTON2 0.6 0.6 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.3 0.1 -0.5 0.1 0.0 -0.2 -0.1 -0.2 -0.2 0.0 -0.1 0.0 -0.3 0.1 -2.7 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.7 -0.2 0.1 0.4 0.3 -0.4 -0.4 -0.2 -0.2 CRUDE_W 0.4 -0.3 -0.5 -0.0 0.1 -0.1 0.1 -0.1 -0.0 0.1 -0.2 0.1 0.1 -0.0 -0.1 0.2 0.2 0.2 0.2 -0.1 -0.1 0.1 -0.1 -0.0 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.6 -0.2 0.1 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 0.1 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 0.0 0.2 0.1 -0.3 0.2 0.2 0.3 -0.4 0.5 0.2 0.1 0.0 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 -1.8 0.1 -0.0 0.2 0.0 0.2 0.1 -0.4 0.0 0.5 0.6 0.6 0.4 0.1 -0.2 -0.2 DX 0.2 -0.4 -0.6 0.1 -0.0 0.1 0.0 0.1 0.0 0.1 -0.3 0.1 0.1 -0.1 -0.2 0.1 0.1 0.1 0.1 -0.2 -0.2 0.1 -0.2 -0.0 -2.7 -0.1 0.1 -0.1 0.1 -0.1 -0.0 0.8 0.5 -0.2 -0.6 -0.6 -0.1 0.2 -0.1 0.3 EUR -0.1 0.2 0.4 0.1 -0.0 0.1 0.0 0.1 0.1 -0.2 0.3 -0.1 -0.0 0.0 0.1 -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 -0.1 0.1 0.0 -0.5 -0.5 -0.5 -0.2 0.2 0.0 -0.7 -0.2 -0.7 EURIBOR-ICE -0.1 0.4 0.6 0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 0.2 0.1 0.2 0.1 0.1 0.1 -0.0 0.0 0.0 0.1 0.1 0.0 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 -0.1 0.1 0.1 0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 0.2 0.1 -0.3 0.0 -0.0 0.0 0.0 0.2 0.0 0.2 0.1 0.0 -0.0 -0.6 0.2 0.0 -0.6 -0.2 FEEDCOW 0.6 -0.1 -0.6 -0.0 0.0 -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 0.2 -1.2 -0.0 0.1 -0.2 0.1 -0.2 0.0 -0.5 0.5 0.6 -0.3 -0.6 0.2 0.7 0.6 0.7 GASOIL 0.4 -0.4 -0.6 -0.0 0.1 -0.1 0.1 -0.1 -0.0 0.1 -0.3 0.1 0.0 -0.1 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.1 0.1 -0.1 -0.0 0.5 -0.1 0.1 -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 0.5 -0.3 -0.5 -0.0 0.1 -0.1 0.1 -0.1 -0.0 0.1 -0.3 0.1 0.0 -0.0 -0.1 0.2 0.4 0.4 0.4 -0.1 -0.1 0.1 -0.1 0.0 -2.7 -0.0 0.1 -0.1 0.1 -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 0.3 -0.1 -0.1 0.1 -0.1 0.1 -0.1 -0.0 0.2 -0.5 0.2 -0.7 0.2 -0.1 -0.4 -0.4 -0.4 -0.4 0.0 -0.1 0.2 -0.5 0.1 2.7 0.0 0.1 -0.1 0.1 -0.3 0.1 -1.1 0.3 0.6 0.6 0.2 -0.2 -0.6 -0.1 -0.7 GBP 0.0 0.3 0.3 0.1 -0.0 0.1 0.0 0.1 0.1 -0.2 0.5 0.0 0.5 0.2 0.2 0.0 -0.0 0.0 -0.0 0.2 0.2 -0.0 0.3 0.1 -0.3 0.1 -0.1 0.2 -0.0 0.2 0.0 0.1 -0.2 -0.0 0.4 0.5 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 -1.6 0.1 0.0 0.2 0.1 0.2 0.1 -0.7 0.5 0.5 0.6 0.6 0.6 -0.1 0.4 0.1 HEATOIL 0.3 -0.4 -0.6 -0.0 0.1 -0.1 0.1 -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 0.1 -0.3 -0.0 -2.7 -0.1 0.1 -0.2 0.1 -0.1 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 0.1 0.0 0.0 0.0 1.1 0.1 0.1 0.0 -0.1 -0.4 -0.2 -0.4 0.1 JPY -0.5 0.4 0.6 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.1 -0.1 -0.0 0.1 -0.2 -0.3 -0.2 -0.3 0.0 0.0 -0.1 -0.0 -0.0 2.7 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.3 -0.3 -0.2 0.3 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.4 0.6 0.1 -0.0 0.0 -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 0.2 -0.0 0.2 -0.3 0.2 0.6 0.1 0.1 0.0 0.1 -0.1 0.1 1.1 0.2 0.0 0.6 0.6 0.0 -0.2 0.2 0.1 LIVECOW 0.6 0.1 0.0 -0.0 0.0 -0.1 0.1 -0.2 0.1 0.1 0.3 0.2 0.3 0.2 0.1 -0.1 0.2 0.1 0.2 0.2 0.1 0.2 0.3 0.2 -2.4 0.0 0.1 0.1 0.1 0.1 0.1 0.8 0.5 0.6 0.3 0.6 -0.0 0.7 0.3 0.7 LUMBER-new 0.3 0.2 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.3 0.1 -0.4 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.0 -0.1 0.1 -0.3 0.1 NaN 0.0 0.0 -0.1 0.1 -0.2 0.0 -1.2 0.2 -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 -0.1 0.3 -0.0 0.3 0.1 0.1 0.4 -0.1 0.4 0.3 0.2 0.2 -0.0 0.3 0.1 1.9 0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.5 -0.3 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 0.1 -0.2 0.0 -0.2 -0.0 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.1 0.0 -0.2 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 1.1 0.0 0.1 -0.6 -0.6 0.4 0.4 0.6 0.7 NASDAQ_micro 0.5 0.1 -0.6 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.1 0.1 0.3 0.1 0.0 -0.1 -0.2 -0.2 -0.2 0.1 0.1 0.0 0.3 0.1 -2.7 0.0 -0.0 0.1 0.0 0.2 0.0 -0.3 0.0 0.3 0.2 0.1 0.1 0.1 -0.3 -0.0 NIKKEI 0.4 0.0 -0.6 0.0 -0.0 0.1 0.0 0.1 0.0 -0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.2 0.1 0.1 0.0 -0.0 0.0 0.1 0.0 -0.8 -0.0 0.0 -0.0 0.0 0.0 0.0 1.1 0.2 0.1 -0.2 -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 -0.1 0.2 0.0 0.1 0.1 0.1 -0.0 0.0 -0.0 -0.0 0.1 0.1 0.0 0.1 0.1 0.0 0.0 -0.0 0.1 0.0 0.0 0.0 0.2 0.1 -0.0 0.2 -0.1 0.1 -0.2 0.1 -0.0 OAT -0.2 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 -0.0 -0.1 -0.4 -0.4 -0.5 0.1 0.1 OATIES 0.6 0.6 0.2 -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 0.1 0.2 -0.2 0.2 -2.7 0.1 0.0 0.0 0.1 -0.0 0.1 0.2 0.5 0.6 0.6 0.3 0.6 0.0 0.7 0.4 OJ -0.3 0.1 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.3 -0.1 0.5 0.1 0.1 0.2 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 0.4 0.0 0.9 -0.4 -0.5 0.6 0.6 0.4 0.5 0.7 0.7 PALLAD 0.3 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 -0.3 -0.2 -0.0 0.3 -0.6 -0.7 -0.7 -0.7 PLAT 0.5 0.2 -0.2 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -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 0.0 -0.1 0.1 -0.2 0.0 0.1 -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 0.1 -0.1 0.1 -0.2 0.1 -0.8 0.5 -0.1 0.1 -0.6 -0.7 -0.7 -0.7 -0.7 RICE 0.1 0.0 -0.4 -0.0 0.0 -0.1 0.1 -0.2 0.0 -0.0 0.3 -0.0 0.5 0.0 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 -0.5 -0.3 0.4 -0.7 -0.7 -0.7 -0.7 ROBUSTA -0.0 0.2 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.3 0.0 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 -0.0 0.5 0.1 -2.7 0.0 -0.0 0.1 -0.0 0.2 0.0 1.1 -0.5 0.2 0.6 0.6 0.3 -0.1 0.7 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 0.0 0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.2 0.0 -0.1 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.0 -0.4 0.1 0.0 0.4 0.0 -0.5 -0.3 -0.7 SHATZ -0.0 0.4 0.6 0.0 -0.0 0.1 -0.0 0.0 0.0 0.0 0.1 0.1 -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 0.3 0.3 0.2 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 0.1 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 0.2 0.3 0.0 0.0 0.1 0.0 0.1 0.1 -0.1 0.3 0.2 0.2 0.1 0.2 -0.1 0.0 0.3 SMI -0.1 -0.2 -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 -0.0 -0.5 -0.2 0.1 -0.0 0.0 -0.5 -0.1 SOFR -0.6 0.3 0.6 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.4 -0.1 0.4 0.0 0.2 0.1 -0.0 0.0 0.0 0.2 0.2 -0.1 0.4 0.0 -1.0 0.0 -0.1 0.2 -0.0 0.2 -0.0 0.4 -0.3 -0.5 -0.2 0.0 0.3 -0.4 0.7 0.4 SOYBEAN 0.6 0.4 -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 -0.0 0.0 -0.1 -0.1 -0.0 -0.1 0.1 -0.5 0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.3 0.2 -0.0 -0.1 -0.5 0.1 -0.5 0.3 -0.3 SOYMEAL 0.5 0.5 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.3 0.1 -0.0 -0.1 0.1 -0.0 -0.0 0.0 -0.0 0.1 -0.2 0.1 -2.7 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.2 0.0 0.1 -0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 0.4 -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 0.0 0.0 0.0 0.0 0.0 -0.0 0.1 -0.2 0.1 -2.6 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.4 0.1 0.2 0.1 -0.1 -0.3 0.3 -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 0.0 0.3 0.1 -1.6 0.1 -0.0 0.1 0.0 0.2 0.0 0.0 -0.2 0.3 0.2 0.3 0.2 -0.2 -0.3 -0.7 SP500_micro 0.5 0.3 -0.6 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.4 0.1 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 -0.0 0.2 0.0 0.3 0.1 -0.5 0.0 0.4 0.5 0.4 0.2 0.1 -0.3 -0.1 SUGAR11 0.6 0.6 0.4 -0.0 0.0 -0.1 0.0 -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 0.2 0.6 0.6 0.6 -0.5 0.3 -0.4 0.4 US10 -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 -0.1 -0.1 -0.1 -0.1 0.1 0.2 -0.1 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 -0.4 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 0.1 0.2 -0.1 0.2 0.0 -0.2 0.0 -0.1 0.2 -0.1 0.2 -0.0 -0.0 -0.3 -0.4 -0.3 -0.2 0.2 -0.6 0.7 0.6 US2 -0.3 0.5 0.6 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.2 -0.1 0.1 0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 -0.0 0.1 0.0 1.7 0.0 -0.0 0.1 -0.0 0.1 0.0 -1.1 -0.2 -0.1 0.1 0.2 -0.0 -0.7 0.2 -0.5 US20 -0.5 0.2 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 -0.1 0.1 -0.0 0.1 -0.0 0.2 -0.3 -0.4 -0.3 -0.2 0.2 -0.4 0.7 0.7 US30 -0.5 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 -0.1 0.1 -0.1 0.1 -0.0 -0.2 -0.3 -0.5 -0.3 -0.4 0.1 -0.3 0.7 0.7 US5 -0.5 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 -0.2 -0.2 -0.2 -0.2 0.1 0.2 -0.1 0.2 0.0 0.9 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.7 -0.3 -0.3 -0.1 0.1 0.2 -0.7 0.7 0.0 VIX -0.0 0.1 1.0 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.2 0.0 -0.5 -0.1 -0.1 0.2 -0.6 -0.3 -0.6 0.0 0.0 0.1 -0.2 0.0 NaN 0.0 0.1 0.0 0.0 -0.1 0.0 NaN NaN NaN NaN NaN -0.7 -1.1 NaN NaN WHEAT 0.6 0.6 -0.4 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.1 -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 0.5 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 11.4 11.8 5.9 4.8 -4.0 3.2 0.5 1.7 4.0 -0.4 12.4 13.2 3.1 15.7 14.9 0.3 -2.1 -0.7 -1.4 12.5 8.2 9.9 3.5 14.7 2.2 5.2 -1.0 3.4 4.0 1.7 6.0 -0.0 15.7 7.4 8.6 1.6 13.3 -5.6 19.7 0.1 BITCOIN 12.2 -1.0 -15.4 3.6 0.8 -0.1 3.6 -1.1 5.8 -17.7 -3.4 7.6 8.0 7.7 -3.2 -6.3 -6.8 -6.1 -6.4 -1.2 -1.6 -3.2 7.7 3.0 -20.0 -1.5 -8.1 -0.3 -2.2 7.5 0.8 -2.2 -15.4 -20.0 -20.0 -10.6 -1.0 -2.9 -2.6 1.6 BOBL -1.3 8.2 19.5 3.0 -2.1 3.3 -0.5 1.7 1.2 1.2 6.0 4.6 -1.2 7.4 9.8 14.5 -10.6 -2.2 -8.5 9.3 7.2 4.6 1.6 7.5 4.3 3.8 -0.5 3.1 1.9 1.4 3.1 -11.1 11.9 8.1 0.5 0.4 -20.0 -19.1 -5.1 -4.8 BTP 5.6 7.4 11.7 5.4 -3.7 5.9 -0.9 3.1 2.1 2.6 18.0 12.1 17.7 16.8 19.6 7.1 4.4 4.9 4.0 18.6 16.3 11.7 13.6 17.1 -20.0 7.2 0.7 6.2 4.7 5.2 6.8 13.4 20.0 20.0 9.1 -6.8 -20.0 -13.1 0.0 8.3 BUND -2.3 4.7 15.0 3.6 -2.5 3.9 -0.6 2.0 1.4 -0.7 7.7 3.2 1.7 7.2 11.2 -20.0 -3.1 -11.2 -6.5 8.4 7.4 3.8 2.5 6.2 1.3 4.2 -0.4 4.0 2.3 2.3 3.3 -1.6 12.0 5.4 -3.1 -4.4 -20.0 -17.9 -4.3 -3.3 BUXL -5.3 0.9 10.1 4.2 -2.8 4.5 -0.7 2.4 1.6 -4.0 6.4 -1.0 1.3 3.0 9.8 -0.0 -1.9 -0.7 -1.6 4.1 4.1 1.4 -0.0 2.1 -2.5 2.9 -0.0 3.5 1.9 2.2 1.7 3.1 11.1 -1.8 -10.3 -12.8 -20.0 -20.0 -6.3 -5.7 CAC 11.6 10.2 -14.9 3.4 -3.5 4.4 1.3 6.3 3.4 -12.0 -6.5 -0.8 0.8 5.4 -1.9 -6.3 -2.9 -5.9 -4.3 -1.1 -4.9 -1.9 -1.3 2.8 -6.8 -0.4 -6.6 -2.2 0.2 0.3 2.2 4.5 -2.3 -3.1 -3.3 -20.0 10.0 5.3 -2.2 0.3 CAD -1.6 13.5 7.1 6.4 -5.4 4.2 0.6 2.3 5.3 -10.2 4.9 -0.6 -11.7 11.9 13.8 -4.1 -3.7 -4.4 -4.1 8.7 4.1 1.5 -2.9 7.0 -1.4 5.5 -3.3 2.9 1.6 -0.7 4.7 -3.6 16.4 -15.4 0.6 -1.3 10.3 -7.8 4.9 -3.5 CANOLA 16.2 6.3 -0.1 -0.2 1.0 -1.5 2.1 -1.6 1.7 6.9 -3.8 7.1 -6.5 4.7 -2.0 -13.2 -11.0 -12.9 -12.9 -0.6 -4.2 9.4 -6.1 5.4 -13.6 0.7 2.9 -1.4 3.7 -3.1 2.8 -20.0 6.3 -0.9 3.9 -0.6 -4.4 -11.3 3.5 -6.8 CHF -10.4 11.4 20.0 4.1 -3.4 2.7 0.4 1.5 3.4 -13.0 8.9 -9.3 -0.4 6.3 11.7 -13.6 -16.1 -14.7 -15.4 10.7 11.0 -6.0 4.5 2.1 4.0 4.2 -4.9 4.6 -2.2 2.3 0.8 -20.0 -7.0 -14.9 -8.2 18.0 -4.9 -10.9 -13.5 -11.6 COCOA 1.9 4.1 7.0 -0.2 0.9 -1.4 2.0 -1.5 1.6 -3.6 1.8 -1.4 3.3 1.2 -1.2 20.0 20.0 20.0 20.0 1.8 4.6 -1.7 9.8 0.8 -20.0 1.9 -2.0 4.3 -0.8 9.2 0.9 20.0 -5.5 -2.7 6.7 6.7 20.0 12.6 20.0 17.9 COFFEE 7.2 4.8 4.2 -0.4 2.3 -3.5 5.0 -3.8 4.0 -8.1 16.4 6.0 16.2 11.1 13.9 3.4 5.8 3.9 4.8 15.9 18.1 -1.8 18.0 10.9 -20.0 5.6 -7.2 6.6 -1.0 7.5 3.8 6.8 -20.0 4.0 20.0 20.0 -4.2 -8.4 6.0 -2.0 COPPER 20.0 12.2 -11.9 2.2 0.5 -0.0 2.2 -0.7 3.5 5.7 -2.1 10.1 -0.3 10.7 2.6 -3.6 -3.0 -3.2 -2.8 7.5 2.2 15.8 3.1 15.8 -15.2 3.0 1.9 1.3 4.7 1.3 5.1 4.3 20.0 16.9 11.0 -0.4 20.0 9.1 20.0 20.0 CORN 15.0 10.0 -16.3 -0.4 2.6 -4.1 5.8 -4.4 4.6 15.6 -14.7 18.1 -19.7 17.9 -10.7 -11.7 -15.5 -17.2 -17.8 -3.3 -20.0 14.0 -20.0 10.6 -12.7 -2.4 6.1 -9.0 6.9 -12.3 4.1 -20.0 5.7 -7.3 1.5 -19.1 0.9 -4.5 4.8 -0.1 COTTON2 19.6 20.0 -2.6 -0.3 1.9 -3.0 4.2 -3.2 3.3 -8.6 -12.6 10.5 -12.8 11.3 2.7 -11.2 -4.3 -10.3 -7.6 3.8 -7.0 5.5 -12.6 9.1 -20.0 2.2 -0.6 -1.5 2.5 -2.3 4.3 -12.4 -7.6 2.4 12.7 8.8 -13.5 -12.0 -5.1 -6.2 CRUDE_W 11.4 -10.1 -16.9 -3.7 9.8 -4.0 4.8 -1.9 -0.1 13.5 -8.2 10.7 2.4 -3.3 -9.1 9.6 12.4 11.6 12.2 -9.1 -8.6 9.1 -2.6 -1.5 -1.5 -3.0 10.8 -4.6 5.5 -2.1 1.2 10.7 -9.7 3.2 9.8 4.4 0.8 12.2 1.6 17.3 DAX 12.6 12.5 -8.7 3.6 -3.7 4.6 1.4 6.6 3.6 -2.8 10.2 8.2 14.0 13.3 12.9 -7.8 -10.1 -8.3 -9.1 11.4 8.3 9.4 10.5 14.7 9.5 4.1 -1.9 3.4 4.0 5.3 5.7 -6.4 8.5 7.2 10.5 -11.1 14.3 5.8 3.0 1.5 DOW 14.1 15.9 4.8 3.6 -3.7 4.7 1.4 6.6 3.6 -7.0 14.7 14.8 16.3 16.9 16.5 -8.9 -10.6 -9.4 -10.0 19.2 17.7 8.2 17.7 16.9 -13.2 6.2 -1.3 5.9 2.2 6.1 5.1 -7.5 1.9 14.4 19.3 17.3 11.0 2.7 -5.3 -5.4 DX 6.3 -13.1 -20.0 5.0 -4.2 3.3 0.5 1.8 4.2 16.2 -12.6 7.1 2.4 -9.4 -15.9 4.8 6.6 5.7 6.2 -14.3 -14.1 13.5 -5.8 -2.8 -20.0 -5.2 10.5 -5.2 5.0 -2.2 -0.9 14.2 20.0 -7.2 -20.0 -20.0 -1.5 6.7 -2.7 9.5 EUR -3.8 6.4 13.0 5.6 -4.7 3.7 0.6 2.0 4.7 -18.9 11.6 -8.7 -1.3 4.5 13.4 -5.7 -7.0 -6.3 -6.7 9.1 9.9 -12.2 4.7 0.4 20.0 5.1 -11.5 5.8 -6.0 3.7 0.5 -8.7 -20.0 -15.8 -7.5 7.1 0.0 -20.0 -6.0 -20.0 EURIBOR-ICE -4.0 12.3 20.0 2.6 -1.7 2.8 -0.4 1.5 1.0 2.5 7.0 5.3 5.0 7.6 9.2 5.4 -2.0 2.4 0.0 12.0 10.5 5.5 6.3 9.4 11.9 3.4 -0.1 3.0 1.6 1.9 2.7 4.4 11.3 10.3 7.5 5.9 -18.5 -20.0 2.0 3.3 EUROSTX 12.2 6.3 -16.3 3.3 -3.4 4.3 1.3 6.1 3.3 -6.0 3.5 5.4 10.4 8.7 4.9 -3.8 -3.1 -4.3 -4.1 3.2 1.4 4.6 6.2 7.4 -2.2 1.4 -2.6 1.1 2.7 4.6 3.8 4.1 5.7 1.0 -0.0 -19.4 6.0 1.3 -19.2 -6.3 FEEDCOW 20.0 -3.7 -20.0 -0.5 2.7 -4.3 6.0 -4.6 4.8 18.8 -12.7 20.0 -13.6 13.1 -8.4 20.0 -10.6 17.4 4.3 -8.5 -20.0 20.0 -18.7 16.3 -8.6 -2.5 7.4 -5.8 7.0 -4.2 3.7 -9.3 20.0 17.6 -10.5 -20.0 7.4 20.0 17.5 20.0 GASOIL 12.9 -11.0 -18.5 -3.6 9.7 -3.9 4.7 -1.8 -0.1 11.9 -12.8 9.7 0.5 -6.0 -12.4 4.4 8.5 3.0 4.0 -12.6 -12.7 9.2 -5.5 -3.5 3.6 -4.8 8.1 -4.9 3.4 -2.4 -1.4 0.1 -1.3 -5.8 -8.4 -3.9 -4.0 -10.8 -4.4 -18.2 GASOLINE 14.1 -9.8 -16.1 -3.9 10.6 -4.3 5.1 -2.0 -0.1 15.1 -9.7 12.7 0.9 -3.5 -9.2 10.0 20.0 20.0 20.0 -8.7 -9.1 12.9 -2.0 0.4 -20.0 -1.8 16.6 -3.7 8.7 -0.8 3.1 20.0 -6.1 9.1 9.9 8.8 7.6 15.7 13.7 20.0 GAS_US_mini 18.9 8.1 -4.1 -5.0 13.5 -5.5 6.5 -2.6 -0.2 20.0 -17.2 20.0 -20.0 18.1 -13.7 -20.0 -20.0 -20.0 -20.0 1.1 -11.5 18.5 -20.0 13.8 20.0 1.8 9.2 -3.6 10.6 -8.3 7.9 -20.0 12.6 20.0 20.0 4.7 -6.7 -18.7 -4.1 -20.0 GBP 0.1 10.5 10.0 5.7 -4.8 3.7 0.6 2.0 4.7 -17.5 18.2 2.2 14.8 14.7 17.1 1.2 -0.4 0.4 -0.1 17.6 16.6 -5.4 12.3 10.9 -1.9 6.9 -10.1 6.7 -1.8 5.2 4.3 2.6 -8.4 -1.5 11.4 16.5 7.2 -20.0 9.8 -19.6 GOLD_micro 19.9 18.8 15.3 3.3 0.7 -0.0 3.4 -1.0 5.5 7.2 20.0 16.4 19.2 18.7 19.5 -12.6 -13.2 -12.5 -12.5 20.0 20.0 20.0 20.0 20.0 -11.7 6.9 1.8 5.9 4.9 5.7 7.1 -12.9 20.0 16.8 20.0 20.0 16.7 -1.8 12.8 3.7 HEATOIL 9.5 -11.3 -17.2 -4.1 11.0 -4.5 5.3 -2.1 -0.1 16.2 -15.5 12.5 -5.7 -7.8 -14.4 -5.8 4.1 -5.6 -2.9 -15.2 -16.6 12.0 -9.5 -3.6 -20.0 -4.8 13.3 -6.7 6.5 -4.1 0.4 -9.5 1.2 -0.4 1.3 -0.1 -7.3 4.9 -10.7 4.2 JGB-SGX-mini 5.6 12.5 16.1 2.4 -1.6 2.6 -0.4 1.4 0.9 -0.6 5.1 5.3 2.7 6.0 7.1 9.0 16.2 12.6 14.4 7.5 5.8 1.9 2.6 5.2 -9.0 2.6 -0.1 1.9 0.6 0.3 1.8 20.0 3.6 2.3 1.4 -2.4 -10.9 -6.0 -11.7 2.1 JPY -16.7 10.9 20.0 2.2 -1.9 1.5 0.2 0.8 1.9 -7.0 4.4 -5.9 -3.0 -0.0 5.9 -10.1 -14.6 -11.6 -13.0 4.6 4.2 -7.2 -1.4 -1.1 20.0 1.7 -3.6 1.5 -2.3 -0.5 -0.3 -20.0 -13.1 -8.2 -5.7 8.1 -20.0 -20.0 -20.0 -20.0 LEANHOG 11.4 20.0 2.7 -0.5 2.8 -4.4 6.3 -4.8 5.0 15.7 -4.8 17.2 -7.1 20.0 16.8 20.0 20.0 20.0 20.0 14.8 -0.2 20.0 -11.5 20.0 4.7 4.9 11.3 0.1 8.7 -3.1 7.6 20.0 7.6 1.2 20.0 17.0 0.5 -5.3 6.1 2.6 LIVECOW 20.0 3.0 0.1 -0.5 3.0 -4.7 6.6 -5.1 5.3 14.4 10.5 20.0 9.7 18.9 7.9 -2.9 9.0 5.4 9.4 16.3 9.6 20.0 9.3 20.0 -17.8 4.0 9.0 2.3 11.1 3.6 8.7 14.3 20.0 20.0 7.7 20.0 -0.5 20.0 8.9 20.0 LUMBER-new 7.5 5.4 2.6 -0.3 1.7 -2.7 3.8 -2.8 3.0 7.7 -8.3 9.0 -9.6 4.3 4.5 -17.6 -17.9 -18.1 -18.0 0.7 -4.9 5.9 -8.4 4.5 NaN 1.7 3.3 -2.5 4.3 -5.3 3.8 -20.0 6.1 -4.0 3.8 11.6 2.0 -0.7 6.7 2.5 MILK -3.8 12.5 20.0 -0.3 1.7 -2.7 3.8 -2.9 3.0 -9.9 12.5 -3.9 8.3 8.0 10.1 20.0 -5.2 20.0 12.6 15.1 17.5 -2.6 10.3 6.1 13.9 4.3 -2.1 5.1 -0.9 2.8 1.6 0.6 -19.4 -8.1 20.0 20.0 0.8 -20.0 8.6 -20.0 MXP 16.3 -6.5 -19.8 3.0 -2.5 2.0 0.3 1.1 2.5 7.7 -8.8 3.8 -5.6 -1.9 -7.3 9.9 13.6 10.3 11.5 -7.6 -10.9 2.9 -6.1 -1.2 -20.0 -2.8 3.0 -4.2 1.2 -2.2 -0.4 20.0 1.1 2.2 -19.1 -20.0 12.8 13.1 16.9 20.0 NASDAQ_micro 16.6 4.2 -20.0 2.5 -2.6 3.3 1.0 4.7 2.5 -8.6 3.8 8.7 8.6 9.6 2.9 -7.0 -9.6 -7.7 -8.7 5.5 6.1 3.6 11.0 7.3 -20.0 3.1 -1.8 3.6 1.2 5.9 3.1 -5.6 1.4 9.6 7.6 2.3 2.8 3.7 -9.6 -0.8 NIKKEI 11.3 1.5 -20.0 1.5 -1.5 1.9 0.6 2.7 1.5 -0.8 1.5 2.6 3.0 4.0 1.5 1.6 8.4 4.7 6.6 0.5 -0.0 3.5 2.1 2.8 -6.0 -1.0 0.5 -1.0 1.1 0.9 0.6 20.0 10.0 2.3 -7.6 -11.9 12.2 2.4 11.7 1.9 NZD 3.7 15.3 5.1 3.6 -3.1 2.4 0.4 1.3 3.0 -9.4 8.4 3.5 2.6 10.0 10.9 -0.4 0.0 -0.2 -0.1 9.0 6.0 0.8 2.4 7.9 0.3 3.8 -4.1 2.4 0.6 1.1 3.4 3.0 5.0 -1.2 6.7 -1.8 4.5 -6.2 3.2 -0.7 OAT -6.9 5.9 11.6 3.7 -2.5 4.0 -0.6 2.1 1.4 -3.7 3.1 -2.0 -0.7 1.6 9.6 6.8 4.2 4.6 3.7 4.9 3.7 0.4 -0.1 2.3 3.6 3.0 -1.1 2.7 0.5 1.2 1.4 12.9 5.0 -1.5 -4.2 -12.5 -13.3 -14.5 3.1 2.7 OATIES 19.6 20.0 4.8 -0.4 2.3 -3.7 5.1 -3.9 4.1 10.8 -3.7 15.5 -13.9 17.4 9.6 2.8 2.6 3.9 3.9 20.0 5.7 20.0 -7.9 20.0 -20.0 4.9 3.2 1.3 6.0 -1.0 6.7 3.1 20.0 19.5 20.0 8.1 17.2 1.3 20.0 11.0 OJ -8.1 2.2 2.0 -0.3 1.9 -3.0 4.2 -3.2 3.3 -8.4 12.6 -9.4 13.8 6.1 8.8 12.2 12.2 11.8 11.1 11.2 16.5 -5.3 20.0 2.6 -20.0 4.1 -2.0 6.4 -2.0 9.9 0.8 17.1 -18.5 -13.9 18.4 20.0 13.0 14.4 20.0 20.0 PALLAD 10.2 16.5 12.2 1.5 0.3 -0.0 1.6 -0.5 2.5 -6.4 0.7 0.1 -5.6 2.3 3.3 -1.8 -2.0 -1.8 -1.8 4.1 1.3 -2.4 -4.0 2.5 14.3 1.9 -1.5 0.6 -0.7 -1.2 1.3 6.0 -13.6 -5.0 -0.2 8.0 -17.5 -20.0 -20.0 -20.0 PLAT 16.5 5.4 -4.8 2.3 0.5 -0.0 2.4 -0.7 3.8 5.1 -4.2 9.4 -3.7 9.5 0.5 -4.0 -4.4 -4.4 -4.6 3.2 0.3 6.2 -0.4 6.8 5.1 2.0 1.3 -0.2 3.1 -0.6 3.9 1.5 1.2 -0.5 -7.2 -0.6 -1.7 -7.0 -10.5 0.6 REDWHEAT 13.6 15.8 -9.0 -0.4 2.6 -4.1 5.8 -4.4 4.6 16.2 -14.8 13.2 -18.5 13.7 -8.6 -10.2 -6.6 -10.2 -9.0 0.6 -10.5 20.0 -18.0 13.0 -5.3 -0.2 16.1 -4.6 11.6 -6.7 5.7 -15.8 20.0 -1.7 3.4 -18.7 -20.0 -20.0 -20.0 -20.0 RICE 4.5 0.8 -12.6 -0.4 2.5 -4.0 5.6 -4.3 4.5 -4.5 11.1 -1.7 13.6 3.9 0.3 -10.9 20.0 3.3 20.0 1.3 2.6 -2.6 8.0 0.5 -13.0 -0.0 -4.1 1.6 -2.9 3.5 -1.4 20.0 -20.0 -15.6 -9.5 12.4 -20.0 -20.0 -20.0 -20.0 ROBUSTA -1.0 7.1 -4.8 -0.2 1.4 -2.3 3.2 -2.4 2.5 -7.6 11.5 2.9 11.5 8.8 10.6 20.0 20.0 20.0 20.0 18.1 19.8 -2.7 19.8 11.3 -20.0 4.0 -5.0 5.1 -0.9 6.4 2.3 20.0 -20.0 5.8 20.0 20.0 9.6 -3.1 19.9 3.8 RUSSELL 9.7 4.7 4.5 2.9 -2.9 3.7 1.1 5.3 2.9 -12.3 5.7 4.2 10.0 6.4 4.7 -5.1 -6.3 -5.4 -5.9 5.9 6.8 -2.0 7.2 3.9 -0.7 4.2 -3.9 4.9 -0.6 4.8 2.5 -0.2 -15.0 2.0 1.2 11.9 1.4 -13.5 -10.2 -20.0 SHATZ -0.9 13.6 20.0 2.3 -1.6 2.5 -0.4 1.3 0.9 3.1 4.9 5.4 -1.0 6.9 8.0 -20.0 -20.0 -20.0 -20.0 10.3 7.5 5.8 0.6 8.9 6.4 3.1 0.0 2.4 1.6 0.6 2.5 -20.0 12.4 10.3 4.6 6.5 -20.0 -18.1 -12.4 -9.6 SILVER-mini 20.0 9.4 -2.3 2.4 0.5 -0.0 2.5 -0.8 3.9 7.9 8.0 11.4 7.7 12.0 7.9 -5.9 -6.4 -6.1 -6.1 10.4 7.8 12.1 8.3 14.1 2.1 3.6 3.1 2.1 3.9 2.2 4.9 -1.5 11.2 6.6 5.5 4.2 7.1 -2.5 0.5 9.9 SMI -2.7 -4.6 -7.4 3.4 -3.5 4.4 1.3 6.3 3.4 -5.1 10.2 -2.0 13.7 -0.1 4.2 0.1 0.1 -1.3 -1.2 0.2 6.5 -1.9 11.9 -1.1 10.9 2.6 -5.1 6.9 -1.1 9.5 0.1 9.4 -0.5 -16.1 -6.3 2.1 -0.8 1.3 -15.5 -4.4 SOFR -18.6 9.2 20.0 5.1 -3.5 5.5 -0.8 2.9 2.0 -11.7 15.7 -13.0 11.2 1.8 14.7 3.6 -0.0 2.1 0.8 16.2 20.0 -9.4 13.3 0.8 -7.5 4.2 -5.7 7.0 -4.2 5.4 -1.1 6.8 -11.1 -16.2 -6.1 1.4 9.6 -12.6 20.0 10.5 SOYBEAN 19.7 11.4 -16.2 -0.3 1.7 -2.7 3.8 -2.9 3.0 6.2 -8.9 10.1 -10.8 10.4 -5.0 -2.3 1.0 -5.2 -3.8 -2.2 -13.7 8.9 -16.9 8.4 -20.0 -1.2 0.7 -5.0 3.2 -5.6 2.7 -5.1 6.4 -1.4 -1.7 -15.6 1.9 -14.8 9.2 -9.5 SOYMEAL 14.7 16.0 -1.3 -0.3 1.5 -2.3 3.3 -2.5 2.6 1.5 -5.9 5.9 -9.3 8.5 -0.2 -2.6 2.9 -2.5 -0.5 3.1 -3.6 7.1 -7.3 8.1 -20.0 1.1 0.2 -1.5 4.2 -2.4 3.9 -0.6 9.3 1.1 2.5 -3.5 -20.0 -20.0 -20.0 -20.0 SOYOIL 20.0 13.5 -2.1 -0.2 1.2 -1.9 2.6 -2.0 2.1 7.4 -5.6 7.3 -8.5 6.0 -3.3 0.1 1.3 1.5 1.1 1.2 -4.6 10.9 -7.8 7.9 -19.3 1.1 4.1 -1.2 4.1 -2.3 3.4 -0.9 14.6 4.1 6.5 3.2 -2.0 -8.7 7.6 -3.2 SP400 14.9 7.4 -2.5 3.3 -3.4 4.3 1.3 6.0 3.3 -11.2 9.1 10.9 13.0 12.1 9.1 -6.0 -5.9 -6.0 -5.9 8.7 8.1 3.6 10.0 9.2 -11.8 5.1 -2.3 5.2 1.3 5.7 4.3 0.2 -6.6 9.4 7.0 9.1 5.6 -5.9 -7.6 -20.0 SP500_micro 16.1 10.6 -17.7 3.4 -3.5 4.4 1.3 6.3 3.4 -11.1 14.1 13.1 15.9 15.1 14.2 -9.0 -11.6 -9.9 -10.9 14.4 16.1 5.8 20.0 13.5 -20.0 5.4 -2.2 6.2 1.7 8.2 4.6 -9.2 0.2 13.8 17.0 11.5 7.2 3.2 -8.7 -2.5 SUGAR11 20.0 20.0 12.3 -0.3 1.8 -2.9 4.1 -3.1 3.3 4.5 0.8 12.5 -8.0 13.1 9.9 20.0 8.8 11.9 7.5 20.0 6.1 20.0 -2.5 20.0 -20.0 4.0 1.8 1.2 4.0 -0.6 5.3 10.7 9.3 20.0 20.0 20.0 -14.0 9.8 -11.4 13.2 US10 -13.4 8.6 20.0 3.8 -2.6 4.2 -0.6 2.2 1.5 -10.7 11.4 -9.2 5.5 1.7 11.3 -7.0 -7.4 -7.1 -7.1 11.2 13.9 -7.7 6.1 0.9 2.2 3.3 -5.5 5.2 -3.6 3.5 -0.7 -6.1 -10.4 -9.6 -5.1 -0.5 4.1 -20.0 20.0 7.3 US10U -12.8 8.2 20.0 5.1 -3.5 5.5 -0.8 2.9 2.0 -13.9 14.6 -12.7 5.3 1.4 14.2 -4.4 -3.3 -4.3 -4.1 13.2 16.4 -9.9 6.4 0.3 -1.3 3.8 -7.5 6.5 -5.2 4.4 -1.6 -0.2 -13.8 -13.8 -8.3 -5.2 4.7 -17.8 20.0 18.8 US2 -9.4 14.9 20.0 2.6 -1.7 2.8 -0.4 1.5 1.0 -8.3 6.9 -5.1 1.7 4.2 8.3 -20.0 -20.0 -20.0 -20.0 10.4 10.5 -5.5 2.7 2.8 12.8 2.8 -3.1 3.1 -1.7 1.5 0.5 -20.0 -8.4 -2.3 1.8 7.3 -0.0 -20.0 5.7 -13.5 US20 -14.7 6.7 19.6 3.9 -2.6 4.2 -0.6 2.2 1.5 -11.4 10.6 -11.1 5.9 -1.1 9.6 -2.5 -1.1 -1.7 -1.3 8.3 11.5 -8.8 5.4 -1.5 -3.5 2.2 -5.9 4.9 -4.6 3.9 -2.1 4.3 -12.0 -12.9 -8.2 -6.4 5.7 -10.6 20.0 20.0 US30 -14.1 5.6 16.3 4.3 -2.9 4.7 -0.7 2.4 1.7 -12.6 10.6 -12.4 3.5 -3.0 9.5 -6.2 -5.4 -5.9 -5.5 6.8 9.8 -9.7 3.1 -2.8 -2.3 1.7 -6.8 4.7 -5.6 3.5 -2.9 -3.0 -12.7 -15.7 -10.7 -11.2 2.0 -9.6 20.0 20.0 US5 -13.9 10.2 20.0 3.7 -2.5 4.0 -0.6 2.1 1.4 -11.2 10.9 -8.9 4.4 2.4 11.2 -9.6 -10.8 -10.7 -10.8 12.0 14.1 -8.0 5.8 1.4 6.9 3.4 -5.2 4.9 -3.3 3.1 -0.3 -12.2 -11.3 -8.4 -3.0 3.2 5.7 -20.0 20.0 0.4 VIX -0.8 1.6 20.0 1.4 3.4 0.8 1.9 -1.8 1.0 9.2 -5.7 0.9 -8.1 -3.1 -5.2 6.1 -20.0 -8.6 -20.0 1.7 0.0 5.2 -4.9 2.4 NaN 1.5 4.0 0.8 2.2 -2.2 1.1 NaN NaN NaN NaN NaN -13.6 -20.0 NaN NaN WHEAT 18.2 17.0 -11.2 -0.4 2.5 -3.9 5.5 -4.2 4.4 13.9 -12.3 14.0 -16.1 15.8 -5.7 -12.1 -14.8 -14.5 -15.1 3.4 -8.9 20.0 -16.2 15.5 4.1 0.8 11.4 -3.5 9.9 -5.3 6.3 -20.0 20.0 6.1 7.3 -17.1 -20.0 -19.7 -20.0 -16.7 End of report for caleb_strategy_v3