******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241016_203925 produced at 2024-10-16 21:38:06.068375 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 SOFR False True 0.09 0.00 -0.22 0.0 0.00 0.00 0.00 0.00 -2.59 11.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.10 0.0 0.75 -0.75 -0.03 -0.05 -3.94 29.0 -1 -2 caleb_strategy_v3 US2 False True 0.07 0.00 -0.09 0.0 0.00 0.00 0.00 0.00 -1.28 13.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.09 0.0 0.00 0.00 0.00 0.00 -2.10 24.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.05 -0.07 0.0 0.67 -0.67 -0.05 -0.05 -1.32 13.0 -1 -1 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.04 -0.07 0.0 0.00 -0.04 -0.04 -0.04 -27.93 26.0 -17 -17 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.07 0.0 0.09 -0.09 -0.05 -0.05 -8.60 12.0 -6 -6 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.06 0.0 0.68 -0.68 -0.05 -0.05 -1.16 14.0 -1 -1 caleb_strategy_v3 VIX False False 0.01 -0.03 -0.06 0.0 999.00 -999.00 -0.03 -0.03 -9.08 999999999.0 -5 -5 caleb_strategy_v3 MXP False False 0.01 -0.04 -0.05 0.0 0.53 -0.53 -0.04 -0.04 -6.24 60.0 -4 -4 caleb_strategy_v3 JPY False False 0.03 -0.06 -0.03 0.0 0.51 -0.51 -0.06 -0.06 -1.04 17.0 -2 -2 caleb_strategy_v3 HEATOIL False False 0.03 0.00 -0.03 0.0 0.10 -0.10 0.00 0.00 -0.92 3.0 0 0 caleb_strategy_v3 RICE False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -2.73 4.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.03 0.0 0.96 -0.96 -0.04 -0.04 -0.75 25.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.03 0.0 0.14 -0.14 -0.05 -0.05 -2.52 11.0 -4 -4 caleb_strategy_v3 CAC True False 0.03 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -1.00 12.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.02 0.0 0.13 -0.13 -0.05 -0.05 -1.19 7.0 -3 -3 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -1.50 8.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -0.73 4.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -1.49 9.0 -2 -2 caleb_strategy_v3 US10 False False 0.04 0.00 -0.02 0.0 0.68 -0.68 0.00 0.00 -0.48 17.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 -0.02 0.0 0.54 -0.54 0.00 0.00 -0.37 13.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.16 -0.16 -0.01 -0.01 -7.50 51.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -1.27 9.0 -1 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.01 0.0 0.33 -0.33 -0.01 -0.01 -0.45 23.0 -1 -1 caleb_strategy_v3 US20 False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.16 9.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -5.23 59.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.00 -0.01 0.0 0.28 -0.28 0.00 0.00 -0.18 6.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.01 0.0 0.45 -0.45 0.00 0.00 -0.36 21.0 0 0 caleb_strategy_v3 BUND False False 0.05 -0.05 -0.01 0.0 0.52 -0.52 -0.05 -0.05 -0.23 10.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.39 10.0 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 BOBL False False 0.05 0.00 -0.00 0.0 0.88 -0.88 0.00 0.00 -0.03 19.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.00 0.0 0.39 -0.39 0.00 0.00 0.28 23.0 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 COFFEE False False 0.03 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.01 6.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.00 -0.00 0.0 0.38 -0.38 0.00 0.00 -0.22 20.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 -0.01 -0.00 0.0 0.02 -0.02 -0.01 -0.01 -0.46 3.0 -2 -2 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.06 2.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.02 0.01 0.0 0.15 -0.15 0.02 0.02 1.10 18.0 3 3 caleb_strategy_v3 AUD False False 0.02 0.00 0.01 0.0 0.45 -0.45 0.00 0.00 0.39 19.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.00 0.01 0.0 0.12 -0.12 0.00 0.00 0.44 5.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.37 999999999.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 0.01 0.0 0.63 -0.63 0.00 0.00 0.18 22.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.37 999999999.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.01 0.0 0.00 0.00 0.00 0.00 1.69 2.0 0 0 caleb_strategy_v3 OJ False False 0.03 0.03 0.02 0.0 0.08 -0.08 0.03 0.03 0.80 3.0 1 1 caleb_strategy_v3 COCOA False False 0.02 0.02 0.02 0.0 0.64 -0.64 0.02 0.02 0.63 26.0 1 1 caleb_strategy_v3 COPPER False False 0.04 0.08 0.02 0.0 999.00 -999.00 0.08 0.08 0.64 999999999.0 2 2 caleb_strategy_v3 MILK False False 0.02 0.02 0.02 0.0 0.08 -0.08 0.02 0.02 1.22 5.0 1 1 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.27 0.02 0.0 0.55 -0.55 0.27 0.17 0.55 16.0 8 5 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.28 -0.28 0.00 0.00 5.70 68.0 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 0.60 999999999.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.02 0.0 0.50 -0.50 0.00 0.00 2.28 48.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.09 0.03 0.0 0.34 -0.34 0.09 0.09 0.67 8.0 2 2 caleb_strategy_v3 SP400 False False 0.11 0.23 0.04 0.0 0.23 -0.23 0.23 0.23 0.34 2.0 2 2 caleb_strategy_v3 DOW False False 0.01 0.00 0.05 0.0 0.51 -0.51 0.00 0.00 5.93 66.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.05 0.05 0.0 0.49 -0.49 0.05 0.05 0.94 10.0 1 1 caleb_strategy_v3 SMI False True 0.05 0.00 0.06 0.0 0.00 0.00 0.00 0.00 1.10 9.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.04 0.06 0.0 0.34 -0.34 0.04 0.04 6.67 36.0 4 4 caleb_strategy_v3 GOLD_micro False False 0.01 0.01 0.08 0.0 0.53 -0.53 0.01 0.03 8.46 56.0 1 3 caleb_strategy_v3 BTP False False 0.05 0.00 0.08 0.0 0.47 -0.47 0.00 0.00 1.67 10.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.04 0.10 0.0 0.44 -0.44 0.04 0.04 12.63 58.0 5 5 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.10 0.0 0.15 -0.15 0.07 0.07 9.07 13.0 6 6 caleb_strategy_v3 LIVECOW False False 0.03 0.08 0.10 0.0 0.45 -0.45 0.08 0.08 3.88 17.0 3 3 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.72 0.0 0.94 -0.94 0.00 0.00 7.66 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.8 Shocked risk 20.8 Sum abs risk 31.7 Leverage 2.98 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2820862.87, 'annual_cash_vol_target': 705215.7175, 'daily_cash_vol_target': 44075.98234375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0040 0.6670 0.6014 9.6219 BITCOIN 1600.0973 68700.0000 2.3291 37.2657 BOBL 0.2491 119.4100 0.2086 3.3380 BTP 0.5018 121.8400 0.4118 6.5895 BUND 0.4759 134.1100 0.3549 5.6779 BUXL 1.1669 135.5800 0.8607 13.7711 CAC 65.3685 7532.5000 0.8678 13.8851 CAD 0.0026 0.7280 0.3557 5.6907 CANOLA 8.2500 609.5000 1.3536 21.6572 CHF 0.0054 1.1634 0.4610 7.3760 COCOA 156.9159 6894.0000 2.2761 36.4180 COFFEE 4.9409 255.9000 1.9308 30.8924 COPPER 0.0598 4.3715 1.3690 21.9033 CORN 4.4457 438.5000 1.0138 16.2214 COTTON2 0.9853 71.2600 1.3827 22.1237 CRUDE_W 1.2363 67.1200 1.8419 29.4703 DAX 137.7740 19600.0000 0.7029 11.2469 DOW 261.3406 43338.0000 0.6030 9.6485 DX 0.3498 103.3700 0.3384 5.4140 EUR 0.0043 1.0884 0.3907 6.2517 EURIBOR-ICE 0.0463 97.9750 0.0473 0.7561 EUROSTX 45.4359 4936.0000 0.9205 14.7280 FEEDCOW 1.6726 243.2750 0.6875 11.0004 GASOIL 12.8331 658.5000 1.9488 31.1814 GASOLINE 0.0420 1.9866 2.1161 33.8577 GAS_US_mini 0.0861 2.8500 3.0195 48.3126 GBP 0.0064 1.2983 0.4921 7.8736 GOLD_micro 16.7588 2692.0000 0.6225 9.9607 HEATOIL 0.0449 2.1981 2.0448 32.7163 JGB-SGX-mini 0.2343 144.0800 0.1626 2.6021 JPY 0.0001 0.0067 0.7678 12.2845 LEANHOG 1.0487 81.0250 1.2942 20.7077 LIVECOW 1.0777 186.6250 0.5774 9.2391 LUMBER-new 7.7619 554.0000 1.4011 22.4169 MILK 0.2722 21.2100 1.2835 20.5355 MXP 0.0004 0.0496 0.8988 14.3812 NASDAQ_micro 173.5945 20361.5000 0.8526 13.6410 NIKKEI 570.9414 39455.0000 1.4471 23.1531 NZD 0.0042 0.6060 0.6892 11.0276 OAT 0.4678 126.7200 0.3691 5.9060 OATIES 5.6088 380.7500 1.4731 23.5696 OJ 8.3540 485.6000 1.7203 27.5256 PALLAD 24.5588 1027.0000 2.3913 38.2611 PLAT 15.2420 1005.3000 1.5162 24.2587 REDWHEAT 9.5416 602.7500 1.5830 25.3283 RICE 0.1362 15.2750 0.8916 14.2658 ROBUSTA 88.6397 4758.0000 1.8630 29.8074 RUSSELL 22.1295 2301.4000 0.9616 15.3850 SHATZ 0.0884 106.8800 0.0828 1.3241 SILVER-mini 0.4800 31.9500 1.5023 24.0374 SMI 77.6532 12247.0000 0.6341 10.1449 SOFR 0.0573 96.6650 0.0593 0.9481 SOYBEAN 10.3822 1027.5000 1.0104 16.1670 SOYMEAL 4.5456 312.3000 1.4555 23.2885 SOYOIL 0.7371 41.8200 1.7625 28.2002 SP400 23.5965 3217.4000 0.7334 11.7344 SP500_micro 36.7363 5886.7500 0.6241 9.9848 SUGAR11 0.3381 20.3900 1.6583 26.5330 US10 0.3777 112.5469 0.3356 5.3691 US10U 0.4998 116.2188 0.4301 6.8812 US2 0.1179 103.4844 0.1139 1.8226 US20 0.7266 121.3125 0.5990 9.5832 US30 1.1094 129.4375 0.8571 13.7133 US5 0.2579 108.6016 0.2375 3.8000 VIX 0.6266 18.7500 3.3417 53.4668 WHEAT 8.7558 641.0000 1.3660 21.8553 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 666.95 0.60 401.08 1.00 401.08 44075.98 109.89 1.36 15.00 BITCOIN 68.70 2.33 160.01 1.00 160.01 44075.98 275.46 -1.75 -48.33 BOBL 1194.10 0.21 249.12 1.09 271.22 44075.98 162.51 -0.17 -2.79 BTP 1218.40 0.41 501.79 1.09 546.30 44075.98 80.68 6.08 49.02 BUND 1341.10 0.35 475.91 1.09 518.13 44075.98 85.07 -2.65 -22.53 BUXL 1355.80 0.86 1166.93 1.09 1270.43 44075.98 34.69 -2.47 -8.55 CAC 753.25 0.87 653.69 1.09 711.67 44075.98 61.93 -4.72 -29.26 CAD 727.95 0.36 258.91 1.00 258.91 44075.98 170.24 -8.92 -151.85 CANOLA 121.90 1.35 165.00 0.72 119.47 44075.98 368.93 -8.35 -308.22 CHF 1454.19 0.46 670.38 1.00 670.38 44075.98 65.75 -7.74 -50.89 COCOA 689.40 2.28 1569.16 1.00 1569.16 44075.98 28.09 10.52 29.55 COFFEE 959.62 1.93 1852.82 1.00 1852.82 44075.98 23.79 -0.23 -0.56 COPPER 1092.88 1.37 1496.10 1.00 1496.10 44075.98 29.46 2.01 5.91 CORN 219.25 1.01 222.28 1.00 222.28 44075.98 198.29 -17.83 -353.47 COTTON2 356.30 1.38 492.67 1.00 492.67 44075.98 89.46 -13.13 -117.48 CRUDE_W 671.20 1.84 1236.28 1.00 1236.28 44075.98 35.65 1.14 4.05 DAX 196.00 0.70 137.77 1.09 149.99 44075.98 293.85 12.60 370.36 DOW 216.69 0.60 130.67 1.00 130.67 44075.98 337.31 7.57 255.31 DX 1033.70 0.34 349.78 1.00 349.78 44075.98 126.01 1.12 14.13 EUR 1360.44 0.39 531.57 1.00 531.57 44075.98 82.92 -5.37 -44.55 EURIBOR-ICE 2449.38 0.05 115.75 1.09 126.01 44075.98 349.77 6.42 224.71 EUROSTX 493.60 0.92 454.36 1.09 494.66 44075.98 89.10 -0.72 -6.39 FEEDCOW 1216.38 0.69 836.29 1.00 836.29 44075.98 52.70 3.86 20.33 GASOIL 658.50 1.95 1283.31 1.00 1283.31 44075.98 34.35 -4.88 -16.76 GASOLINE 834.37 2.12 1765.62 1.00 1765.62 44075.98 24.96 3.47 8.65 GAS_US_mini 71.25 3.02 215.14 1.00 215.14 44075.98 204.87 -12.59 -257.89 GBP 811.44 0.49 399.31 1.00 399.31 44075.98 110.38 0.63 6.95 GOLD_micro 269.20 0.62 167.59 1.00 167.59 44075.98 263.00 9.44 248.18 HEATOIL 923.20 2.04 1887.74 1.00 1887.74 44075.98 23.35 -9.13 -21.33 JGB-SGX-mini 144080.00 0.16 23432.07 0.01 156.68 44075.98 281.32 0.18 5.07 JPY 841.25 0.77 645.89 1.00 645.89 44075.98 68.24 -5.87 -40.06 LEANHOG 324.10 1.29 419.46 1.00 419.46 44075.98 105.08 14.20 149.23 LIVECOW 746.50 0.58 431.06 1.00 431.06 44075.98 102.25 11.45 117.08 LUMBER-new 152.35 1.40 213.45 1.00 213.45 44075.98 206.49 -1.04 -21.48 MILK 424.20 1.28 544.45 1.00 544.45 44075.98 80.96 7.04 56.97 MXP 248.20 0.90 223.09 1.00 223.09 44075.98 197.57 -2.15 -42.50 NASDAQ_micro 407.23 0.85 347.19 1.00 347.19 44075.98 126.95 -1.52 -19.28 NIKKEI 39455.00 1.45 57094.14 0.01 381.76 44075.98 115.46 5.34 61.62 NZD 606.05 0.69 417.71 1.00 417.71 44075.98 105.52 -1.30 -13.74 OAT 1267.20 0.37 467.76 1.09 509.25 44075.98 86.55 3.20 27.69 OATIES 190.38 1.47 280.44 1.00 280.44 44075.98 157.17 4.42 69.41 OJ 728.40 1.72 1253.10 1.00 1253.10 44075.98 35.17 10.59 37.26 PALLAD 1027.00 2.39 2455.88 1.00 2455.88 44075.98 17.95 1.01 1.81 PLAT 502.65 1.52 762.10 1.00 762.10 44075.98 57.83 -0.76 -4.40 REDWHEAT 301.38 1.58 477.08 1.00 477.08 44075.98 92.39 -12.25 -113.20 RICE 305.50 0.89 272.39 1.00 272.39 44075.98 161.81 -6.93 -112.18 ROBUSTA 475.80 1.86 886.40 1.00 886.40 44075.98 49.72 4.88 24.26 RUSSELL 115.07 0.96 110.65 1.00 110.65 44075.98 398.35 4.32 171.97 SHATZ 1068.80 0.08 88.45 1.09 96.29 44075.98 457.73 -4.52 -206.96 SILVER-mini 798.75 1.50 1199.99 1.00 1199.99 44075.98 36.73 4.82 17.70 SMI 1224.70 0.63 776.53 1.16 900.08 44075.98 48.97 6.59 32.27 SOFR 2416.63 0.06 143.20 1.00 143.20 44075.98 307.79 -1.38 -42.55 SOYBEAN 513.75 1.01 519.11 1.00 519.11 44075.98 84.91 -15.08 -128.07 SOYMEAL 312.30 1.46 454.56 1.00 454.56 44075.98 96.96 -14.13 -136.99 SOYOIL 250.92 1.76 442.25 1.00 442.25 44075.98 99.66 -4.23 -42.17 SP400 3217.40 0.73 2359.65 1.00 2359.65 44075.98 18.68 5.46 10.20 SP500_micro 294.34 0.62 183.68 1.00 183.68 44075.98 239.96 4.10 98.30 SUGAR11 228.37 1.66 378.71 1.00 378.71 44075.98 116.39 4.46 51.90 US10 1125.47 0.34 377.67 1.00 377.67 44075.98 116.70 -3.26 -38.06 US10U 1162.19 0.43 499.83 1.00 499.83 44075.98 88.18 -3.29 -29.03 US2 2069.69 0.11 235.76 1.00 235.76 44075.98 186.95 -5.39 -100.85 US20 1213.12 0.60 726.60 1.00 726.60 44075.98 60.66 -2.09 -12.66 US30 1294.38 0.86 1109.38 1.00 1109.38 44075.98 39.73 -3.50 -13.91 US5 1086.02 0.24 257.93 1.00 257.93 44075.98 170.88 -3.47 -59.35 VIX 187.50 3.34 626.56 1.00 626.56 44075.98 70.35 -5.23 -36.80 WHEAT 320.50 1.37 437.79 1.00 437.79 44075.98 100.68 -11.16 -112.39 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 15.000 0.010 2.5 0.389 BITCOIN -48.326 0.043 2.5 -5.233 BOBL -2.794 0.004 2.5 -0.028 BTP 49.017 0.014 2.5 1.672 BUND -22.534 0.004 2.5 -0.229 BUXL -8.552 0.004 2.5 -0.087 CAC -29.256 0.014 2.5 -0.998 CAD -151.854 0.010 2.5 -3.940 CANOLA -308.224 0.010 2.5 -7.499 CHF -50.888 0.010 2.5 -1.320 COCOA 29.550 0.009 2.5 0.633 COFFEE -0.558 0.005 2.5 -0.007 COPPER 5.907 0.043 2.5 0.640 CORN -353.470 0.010 2.5 -8.599 COTTON2 -117.477 0.009 2.5 -2.516 CRUDE_W 4.048 0.043 2.5 0.438 DAX 370.363 0.014 2.5 12.632 DOW 255.311 0.009 2.5 5.933 DX 14.128 0.010 2.5 0.367 EUR -44.552 0.010 2.5 -1.156 EURIBOR-ICE 224.714 0.014 2.5 7.665 EUROSTX -6.387 0.014 2.5 -0.218 FEEDCOW 20.327 0.013 2.5 0.674 GASOIL -16.764 0.017 2.5 -0.727 GASOLINE 8.651 0.017 2.5 0.375 GAS_US_mini -257.892 0.043 2.5 -27.926 GBP 6.947 0.010 2.5 0.180 GOLD_micro 248.178 0.014 2.5 8.465 HEATOIL -21.325 0.017 2.5 -0.924 JGB-SGX-mini 5.071 0.043 2.5 0.549 JPY -40.061 0.010 2.5 -1.039 LEANHOG 149.228 0.024 2.5 9.069 LIVECOW 117.081 0.013 2.5 3.880 LUMBER-new -21.482 0.009 2.5 -0.460 MILK 56.970 0.009 2.5 1.220 MXP -42.502 0.059 2.5 -6.238 NASDAQ_micro -19.281 0.009 2.5 -0.448 NIKKEI 61.615 0.043 2.5 6.672 NZD -13.739 0.010 2.5 -0.356 OAT 27.688 0.014 2.5 0.944 OATIES 69.410 0.010 2.5 1.689 OJ 37.258 0.009 2.5 0.798 PALLAD 1.809 0.014 2.5 0.062 PLAT -4.403 0.014 2.5 -0.150 REDWHEAT -113.202 0.005 2.5 -1.502 RICE -112.180 0.010 2.5 -2.729 ROBUSTA 24.255 0.005 2.5 0.283 RUSSELL 171.968 0.013 2.5 5.699 SHATZ -206.963 0.004 2.5 -2.099 SILVER-mini 17.704 0.014 2.5 0.604 SMI 32.266 0.014 2.5 1.101 SOFR -42.545 0.024 2.5 -2.586 SOYBEAN -128.074 0.004 2.5 -1.191 SOYMEAL -136.993 0.004 2.5 -1.274 SOYOIL -42.173 0.004 2.5 -0.393 SP400 10.200 0.013 2.5 0.338 SP500_micro 98.296 0.009 2.5 2.284 SUGAR11 51.900 0.009 2.5 1.104 US10 -38.062 0.005 2.5 -0.482 US10U -29.031 0.005 2.5 -0.368 US2 -100.847 0.005 2.5 -1.278 US20 -12.657 0.005 2.5 -0.160 US30 -13.911 0.005 2.5 -0.176 US5 -59.351 0.005 2.5 -0.752 VIX -36.799 0.099 2.5 -9.083 WHEAT -112.388 0.005 2.5 -1.491 ===================== Position diags ===================== AUD 2.85 BITCOIN 29.83 BOBL 1.65 BTP 2.75 BUND 0.86 BUXL 0.35 CAC 2.11 CAD 4.42 CANOLA 8.98 CHF 1.71 COCOA 0.60 COFFEE 0.28 COPPER 3.19 CORN 4.82 COTTON2 1.92 CRUDE_W 3.86 DAX 10.02 DOW 7.84 DX 3.27 EUR 2.15 EURIBOR-ICE 11.93 EUROSTX 3.04 FEEDCOW 1.75 GASOIL 1.49 GASOLINE 1.08 GAS_US_mini 22.18 GBP 2.86 GOLD_micro 8.97 HEATOIL 1.01 JGB-SGX-mini 30.46 JPY 1.77 LEANHOG 6.39 LIVECOW 3.39 LUMBER-new 4.42 MILK 1.73 MXP 29.00 NASDAQ_micro 2.95 NIKKEI 12.50 NZD 2.74 OAT 2.95 OATIES 3.82 OJ 0.75 PALLAD 0.61 PLAT 1.97 REDWHEAT 1.23 RICE 3.94 ROBUSTA 0.58 RUSSELL 13.20 SHATZ 4.64 SILVER-mini 1.25 SMI 1.67 SOFR 18.71 SOYBEAN 0.79 SOYMEAL 0.90 SOYOIL 0.93 SP400 0.62 SP500_micro 5.58 SUGAR11 2.48 US10 1.48 US10U 1.12 US2 2.37 US20 0.77 US30 0.50 US5 2.17 VIX 17.36 WHEAT 1.34 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.4 0.1 0.7 0.0 0 BITCOIN -5.2 -8.2 -2.3 0.0 0 BOBL -0.0 -0.2 0.1 0.0 0 BTP 1.7 1.4 1.9 0.0 0 BUND -0.2 -0.3 -0.1 -1.0 -1 BUXL -0.1 -0.1 -0.1 0.0 0 CAC -1.0 -1.2 -0.8 0.0 0 CAD -3.9 -4.4 -3.5 -1.0 -1 CANOLA -7.5 -8.4 -6.6 -2.0 -2 CHF -1.3 -1.5 -1.1 -1.0 -1 COCOA 0.6 0.6 0.7 1.0 1 COFFEE -0.0 -0.0 0.0 0.0 0 COPPER 0.6 0.3 1.0 2.0 2 CORN -8.6 -9.1 -8.1 -6.0 -6 COTTON2 -2.5 -2.7 -2.3 -4.0 -4 CRUDE_W 0.4 0.1 0.8 0.0 0 DAX 12.6 11.6 13.6 5.0 5 DOW 5.9 5.1 6.7 0.0 0 DX 0.4 0.0 0.7 0.0 0 EUR -1.2 -1.4 -0.9 -1.0 -1 EURIBOR-ICE 7.7 6.5 8.9 0.0 0 EUROSTX -0.2 -0.5 0.1 0.0 0 FEEDCOW 0.7 0.5 0.8 2.0 2 GASOIL -0.7 -0.9 -0.6 0.0 0 GASOLINE 0.4 0.3 0.5 0.0 0 GAS_US_mini -27.9 -30.1 -25.7 -17.0 -17 GBP 0.2 -0.1 0.5 0.0 0 GOLD_micro 8.5 7.6 9.4 1.0 1 HEATOIL -0.9 -1.0 -0.8 0.0 0 JGB-SGX-mini 0.5 -2.5 3.6 8.0 8 JPY -1.0 -1.2 -0.9 -2.0 -2 LEANHOG 9.1 8.4 9.7 6.0 6 LIVECOW 3.9 3.5 4.2 3.0 3 LUMBER-new -0.5 -0.9 -0.0 -2.0 -2 MILK 1.2 1.0 1.4 1.0 1 MXP -6.2 -9.1 -3.3 -4.0 -4 NASDAQ_micro -0.4 -0.7 -0.2 -1.0 -1 NIKKEI 6.7 5.4 7.9 4.0 4 NZD -0.4 -0.6 -0.1 0.0 0 OAT 0.9 0.6 1.2 1.0 1 OATIES 1.7 1.3 2.1 NaN 0 OJ 0.8 0.7 0.9 1.0 1 PALLAD 0.1 0.0 0.1 0.0 0 PLAT -0.2 -0.3 0.0 0.0 0 REDWHEAT -1.5 -1.6 -1.4 0.0 0 RICE -2.7 -3.1 -2.3 NaN 0 ROBUSTA 0.3 0.2 0.3 0.0 0 RUSSELL 5.7 4.4 7.0 0.0 0 SHATZ -2.1 -2.6 -1.6 NaN 0 SILVER-mini 0.6 0.5 0.7 0.0 0 SMI 1.1 0.9 1.3 0.0 0 SOFR -2.6 -4.5 -0.7 NaN 0 SOYBEAN -1.2 -1.3 -1.1 -3.0 -3 SOYMEAL -1.3 -1.4 -1.2 -1.0 -1 SOYOIL -0.4 -0.5 -0.3 0.0 0 SP400 0.3 0.3 0.4 2.0 2 SP500_micro 2.3 1.7 2.8 0.0 0 SUGAR11 1.1 0.9 1.4 3.0 3 US10 -0.5 -0.6 -0.3 0.0 0 US10U -0.4 -0.5 -0.3 0.0 0 US2 -1.3 -1.5 -1.0 NaN 0 US20 -0.2 -0.2 -0.1 0.0 0 US30 -0.2 -0.2 -0.1 0.0 0 US5 -0.8 -1.0 -0.5 -1.0 -1 VIX -9.1 -10.8 -7.3 -5.0 -5 WHEAT -1.5 -1.6 -1.4 -2.0 -2 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.8 3.8 3.8 3.8 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -0.3 0.1 0.1 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.3 -0.2 0.1 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.2 0.1 -0.1 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.0 -0.2 0.3 0.1 -0.0 0.3 -0.2 0.5 -0.0 BITCOIN 0.3 0.1 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.2 -0.1 0.2 0.3 0.2 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.2 0.2 0.1 -2.7 0.0 0.2 0.0 0.1 0.3 0.1 -0.1 0.5 0.5 -0.5 -0.3 0.1 -0.1 -0.0 0.1 BOBL -0.4 0.0 0.6 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.0 0.1 -0.1 -0.0 -0.0 0.1 0.3 -0.2 0.1 -0.1 0.0 0.1 -0.0 0.0 -0.0 0.5 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.3 0.0 0.3 0.1 0.0 -0.7 -0.6 -0.1 -0.1 BTP -0.2 0.2 0.4 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.4 -0.0 0.6 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.4 0.1 -2.7 0.1 0.1 0.2 0.0 0.2 0.0 0.8 0.5 0.6 0.6 0.2 -0.7 -0.4 0.1 0.3 BUND -0.4 -0.0 0.5 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.0 0.2 -0.1 0.1 -0.0 0.1 -0.4 -0.1 -0.3 -0.2 0.0 0.1 -0.0 0.1 -0.0 0.2 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.2 0.1 0.4 0.1 -0.1 -0.7 -0.6 -0.1 -0.1 BUXL -0.3 -0.1 0.3 0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 -0.1 0.0 -0.1 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 0.4 -0.0 -0.3 -0.7 -0.7 -0.2 -0.2 CAC 0.2 0.2 -0.4 0.0 0.0 0.1 0.0 0.2 0.1 -0.1 -0.2 -0.1 0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.9 -0.0 -0.0 -0.1 -0.0 0.0 0.0 0.2 -0.5 -0.3 -0.3 -0.6 0.3 0.2 -0.1 -0.0 CAD -0.5 -0.1 0.2 0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.2 -0.0 -0.2 -0.5 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.4 -0.2 -0.3 -0.2 0.2 -0.3 0.0 -0.1 CANOLA 0.5 0.2 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 0.0 -0.2 0.1 -0.0 -0.3 -0.2 -0.3 -0.3 0.0 -0.0 -0.0 -0.2 0.0 -1.9 0.0 -0.0 -0.0 0.0 -0.1 0.0 -1.1 0.1 0.2 0.2 0.1 -0.2 -0.4 0.1 -0.3 CHF -0.6 -0.1 0.6 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 0.2 -0.2 -0.0 -0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.0 0.1 -0.2 0.1 -0.1 0.5 0.0 -0.1 0.1 -0.1 0.1 -0.0 -1.1 -0.1 -0.3 -0.3 0.4 -0.3 -0.4 -0.6 -0.4 COCOA 0.3 0.0 0.3 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.0 0.1 0.1 0.1 0.0 0.0 0.4 0.4 0.4 0.4 0.0 0.1 0.1 0.3 0.1 -2.7 0.0 0.0 0.1 0.0 0.3 0.0 1.1 0.5 0.2 0.2 0.2 0.7 0.5 0.7 0.7 COFFEE -0.3 -0.1 0.1 0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.1 0.4 -0.0 0.5 0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.4 0.0 -2.7 0.0 0.0 0.2 0.0 0.3 0.0 0.3 0.1 -0.4 0.2 0.6 -0.2 -0.3 0.1 -0.0 COPPER 0.3 0.4 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.0 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 0.1 0.0 -1.8 0.0 -0.0 0.0 -0.0 0.1 0.0 0.2 -0.5 0.3 0.3 0.0 0.7 0.3 0.6 0.7 CORN 0.1 0.4 -0.4 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.2 -0.4 -0.1 -0.7 0.1 -0.1 -0.2 -0.3 -0.3 -0.3 -0.1 -0.2 -0.2 -0.5 -0.1 -1.7 -0.0 -0.2 -0.2 -0.1 -0.4 -0.1 -1.1 -0.5 -0.6 -0.2 -0.6 0.1 -0.1 0.2 0.0 COTTON2 0.0 0.6 0.1 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.4 -0.1 -0.5 0.1 0.0 -0.3 -0.1 -0.2 -0.2 0.0 -0.1 -0.1 -0.4 0.0 -2.7 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.8 -0.2 -0.2 0.2 0.2 -0.5 -0.4 -0.2 -0.2 CRUDE_W 0.4 -0.2 -0.6 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.2 0.0 0.0 0.0 -0.1 0.1 0.2 0.2 0.2 -0.0 -0.1 -0.0 -0.1 0.0 -0.2 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.5 -0.2 -0.2 0.2 0.1 -0.1 0.3 -0.0 0.5 DAX 0.4 0.4 -0.1 0.1 0.0 0.2 0.1 0.3 0.1 0.1 0.4 0.2 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.1 0.2 0.4 0.2 1.3 0.1 0.1 0.1 0.1 0.2 0.1 -0.3 0.1 0.4 0.4 -0.1 0.5 0.2 0.1 0.1 DOW 0.1 0.4 0.3 0.0 0.0 0.1 0.1 0.2 0.1 0.1 0.4 0.2 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -1.8 0.1 0.0 0.2 0.1 0.2 0.1 -0.4 0.3 0.3 0.6 0.6 0.4 0.1 -0.2 -0.2 DX 0.6 0.1 -0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 -0.2 0.2 0.1 0.2 -0.1 0.1 0.1 0.1 0.1 0.0 -0.1 0.2 -0.1 0.2 -2.7 0.0 0.1 -0.1 0.1 -0.1 0.1 0.7 0.5 0.6 0.1 -0.6 -0.0 0.3 -0.0 0.4 EUR -0.6 -0.2 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.2 0.2 -0.2 -0.1 -0.2 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 0.1 -0.2 2.7 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.5 -0.1 -0.6 -0.6 0.2 -0.1 -0.7 -0.3 -0.7 EURIBOR-ICE -0.5 0.1 0.6 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.2 -0.0 0.2 -0.0 0.1 0.1 -0.0 0.1 0.0 0.1 0.1 0.0 0.2 0.0 1.5 0.0 0.0 0.1 0.0 0.1 0.0 0.3 0.1 0.4 0.3 0.2 -0.5 -0.6 0.2 0.1 EUROSTX 0.3 0.1 -0.4 0.0 0.0 0.1 0.0 0.2 0.0 -0.1 0.1 -0.0 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 -0.1 0.1 -0.0 0.2 0.0 0.2 -0.4 -0.1 -0.1 -0.5 0.2 0.1 -0.7 -0.3 FEEDCOW 0.6 0.5 -0.6 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.1 -0.2 0.2 -0.5 0.2 -0.0 0.4 -0.2 0.4 0.1 0.1 -0.1 0.1 -0.5 0.2 -1.3 0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.4 0.5 0.6 0.6 -0.6 0.3 0.7 0.7 0.7 GASOIL 0.6 -0.1 -0.6 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.3 -0.0 -0.0 0.0 -0.1 0.0 0.2 0.0 0.1 -0.1 -0.1 -0.0 -0.1 -0.0 0.5 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.2 -0.3 -0.2 -0.1 -0.3 -0.1 -0.5 GASOLINE 0.6 -0.0 -0.5 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.2 0.0 0.0 0.1 -0.0 0.2 0.4 0.4 0.4 -0.0 -0.0 0.0 -0.0 0.0 -2.7 0.0 -0.0 -0.0 0.0 -0.0 0.0 1.1 0.1 0.0 0.3 0.3 0.1 0.4 0.3 0.7 GAS_US_mini -0.0 0.3 0.0 -0.0 -0.1 -0.1 0.0 -0.1 0.0 -0.2 -0.5 -0.2 -0.7 -0.1 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.2 -0.5 -0.1 2.7 -0.0 -0.2 -0.1 -0.2 -0.3 -0.1 -1.1 -0.5 -0.6 -0.2 -0.1 -0.3 -0.7 -0.1 -0.6 GBP -0.6 -0.0 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.4 -0.2 0.5 -0.1 0.1 0.0 -0.0 0.0 0.0 0.1 0.1 -0.2 0.3 -0.1 -0.3 0.0 -0.1 0.2 -0.1 0.2 -0.0 0.1 -0.1 0.1 0.2 0.5 0.2 -0.7 0.3 -0.7 GOLD_micro 0.1 0.5 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.2 0.5 0.1 0.7 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.1 0.5 0.2 -1.8 0.1 0.0 0.2 0.0 0.3 0.1 -0.7 0.1 0.6 0.6 0.6 0.7 -0.0 0.4 0.2 HEATOIL 0.6 -0.0 -0.5 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.3 -0.0 -0.2 0.0 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 0.0 -2.5 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.5 -0.0 -0.0 0.1 -0.0 -0.3 0.1 -0.2 0.1 JGB-SGX-mini -0.5 0.1 0.5 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.0 0.1 0.2 0.3 0.2 0.3 0.0 0.0 -0.1 0.1 -0.0 -1.3 0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 -0.0 0.1 0.0 -0.1 -0.5 -0.2 -0.5 -0.0 JPY -0.6 -0.1 0.6 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.3 -0.2 -0.3 -0.0 0.0 -0.1 -0.1 -0.1 2.7 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 0.0 -0.4 -0.2 0.2 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.2 0.6 0.3 0.0 -0.1 -0.1 -0.0 -0.2 0.0 0.1 -0.1 0.2 -0.2 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.1 0.1 -0.2 0.2 0.6 0.1 0.0 0.1 0.1 -0.1 0.1 1.1 0.5 0.6 0.6 0.6 -0.0 -0.2 0.2 0.1 LIVECOW 0.6 0.5 0.1 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.1 0.4 0.2 0.5 0.2 0.2 0.0 0.2 0.1 0.2 0.2 0.2 0.1 0.4 0.2 -2.7 0.1 -0.0 0.1 0.0 0.2 0.1 0.7 0.3 0.6 0.6 0.6 -0.1 0.7 0.2 0.7 LUMBER-new 0.4 0.3 0.2 0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.1 -0.3 0.2 -0.4 0.2 0.1 -0.4 -0.4 -0.4 -0.4 0.1 -0.0 0.1 -0.3 0.1 NaN 0.0 0.0 -0.0 0.0 -0.2 0.1 -1.2 0.4 0.3 0.0 0.6 0.1 0.0 0.3 0.1 MILK -0.6 0.1 0.6 0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.1 0.3 -0.1 0.3 -0.0 0.1 0.4 -0.1 0.4 0.3 0.1 0.2 -0.0 0.3 -0.0 1.9 0.0 0.0 0.1 -0.0 0.1 -0.0 0.2 0.0 -0.6 0.2 0.6 -0.0 -0.7 0.2 -0.7 MXP 0.2 0.0 -0.6 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 -0.3 -0.1 -0.2 -0.0 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.1 -0.1 -0.2 -0.0 -2.7 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 1.1 0.3 0.1 -0.3 -0.6 0.4 0.5 0.6 0.7 NASDAQ_micro 0.4 0.2 -0.4 0.0 0.0 0.1 0.0 0.2 0.0 0.0 0.2 0.1 0.4 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.4 0.1 -2.7 0.0 0.0 0.1 0.0 0.2 0.0 -0.3 0.1 0.1 0.2 -0.1 0.2 0.1 -0.3 -0.1 NIKKEI 0.6 0.2 -0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.1 0.1 0.0 0.0 0.2 0.1 0.1 0.0 0.0 0.1 0.1 0.1 -0.8 -0.0 0.0 -0.0 0.0 0.0 0.0 1.1 0.1 0.2 -0.0 -0.4 0.5 0.1 0.5 0.1 NZD -0.5 0.0 0.1 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.1 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.1 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 -0.0 OAT -0.4 0.0 0.3 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 -0.1 -0.0 -0.1 0.1 0.2 0.1 0.1 0.1 0.0 0.0 -0.0 -0.0 -0.0 0.5 0.0 0.1 0.0 0.0 0.0 -0.0 0.7 0.3 0.3 0.1 -0.2 -0.4 -0.5 0.2 0.1 OATIES 0.2 0.6 0.4 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.0 -0.0 0.1 -0.5 0.2 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.0 -0.1 0.2 -2.7 0.1 -0.0 0.1 -0.0 -0.0 0.0 0.1 -0.2 0.4 0.6 0.6 0.6 0.1 0.7 0.4 OJ -0.2 0.1 0.1 0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.1 0.4 0.1 0.5 0.1 0.1 0.2 0.2 0.2 0.2 0.1 0.2 0.1 0.5 0.1 -2.7 0.1 0.1 0.2 0.1 0.4 0.0 0.8 0.5 -0.2 0.4 0.6 0.5 0.5 0.7 0.7 PALLAD -0.2 0.5 0.4 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 -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 2.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.3 0.1 -0.3 0.0 0.3 -0.4 -0.7 -0.7 -0.7 PLAT 0.1 0.2 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 0.0 -0.1 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 -0.0 0.0 0.7 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.2 -0.4 -0.0 REDWHEAT 0.4 0.6 -0.1 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.1 -0.4 0.0 -0.6 0.1 0.0 -0.2 -0.1 -0.2 -0.2 0.0 -0.1 -0.0 -0.4 0.1 -0.7 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.9 -0.3 0.0 0.3 -0.3 -0.7 -0.7 -0.7 -0.7 RICE -0.2 0.0 -0.2 0.0 -0.1 -0.1 -0.0 -0.2 0.0 0.0 0.3 -0.1 0.5 -0.0 -0.0 -0.2 0.4 -0.0 0.3 -0.0 0.0 -0.0 0.2 -0.0 -1.9 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.1 0.1 -0.6 -0.3 0.1 -0.7 -0.7 -0.7 -0.7 ROBUSTA -0.6 0.0 0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 0.2 -0.1 0.3 0.0 0.1 0.4 0.4 0.4 0.4 0.1 0.2 -0.0 0.5 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.2 -0.0 1.1 -0.1 -0.4 0.3 0.6 0.4 -0.1 0.7 0.2 RUSSELL 0.1 0.1 0.2 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.2 0.1 0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.1 -0.1 0.1 0.1 0.2 0.1 0.2 0.1 -0.0 0.3 -0.1 0.2 0.6 0.0 -0.4 -0.4 -0.7 SHATZ -0.4 0.1 0.6 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.1 -0.0 -0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.0 0.1 -0.0 0.0 -0.0 0.8 0.0 0.0 0.1 -0.0 0.0 -0.0 -1.1 -0.1 0.3 0.2 0.2 -0.7 -0.6 -0.2 -0.3 SILVER-mini 0.1 0.3 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.3 0.0 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.3 0.1 0.3 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 -0.0 0.1 0.2 0.1 0.3 -0.1 -0.0 0.3 SMI 0.2 -0.3 -0.3 0.1 0.0 0.1 0.1 0.3 0.1 0.1 0.3 0.1 0.5 -0.0 0.1 0.0 0.0 -0.0 -0.0 0.0 0.1 0.1 0.4 0.1 1.6 0.0 0.1 0.2 0.1 0.4 0.0 0.5 0.0 -0.2 -0.5 0.0 -0.1 0.1 -0.6 -0.2 SOFR -0.6 -0.3 0.6 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.1 0.3 -0.1 0.3 -0.1 0.1 0.0 0.0 0.0 0.0 -0.0 0.1 -0.1 0.2 -0.2 -0.8 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.4 -0.3 -0.5 -0.3 -0.1 0.2 -0.4 0.7 0.4 SOYBEAN 0.1 0.4 -0.5 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.3 -0.1 -0.4 0.0 -0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.5 -0.1 -2.7 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.3 -0.5 -0.5 -0.1 -0.6 0.1 -0.4 0.4 -0.3 SOYMEAL -0.1 0.5 0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.2 -0.1 -0.3 -0.0 -0.0 -0.0 0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -2.4 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.5 -0.3 -0.0 -0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.4 0.5 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.3 0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 -0.2 0.0 -2.5 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 0.2 0.3 0.1 0.0 -0.3 0.3 -0.1 SP400 0.3 0.2 0.1 0.0 0.0 0.1 0.1 0.3 0.1 0.1 0.3 0.2 0.6 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.4 0.2 -1.8 0.1 0.1 0.2 0.1 0.2 0.1 0.0 0.4 0.2 0.4 0.5 0.2 -0.2 -0.3 -0.7 SP500_micro 0.3 0.3 -0.3 0.0 0.0 0.1 0.1 0.3 0.1 0.1 0.5 0.2 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 -0.5 0.4 0.3 0.5 0.3 0.3 0.1 -0.3 -0.1 SUGAR11 0.2 0.6 0.5 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.2 0.1 0.1 0.4 0.2 0.4 0.3 0.2 0.1 -0.0 -0.0 0.1 -2.7 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.9 -0.2 0.5 0.6 0.6 -0.5 0.3 -0.5 0.4 US10 -0.6 -0.3 0.6 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.1 0.1 -0.1 0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.3 -0.3 -0.4 -0.3 -0.1 0.0 -0.7 0.7 0.3 US10U -0.6 -0.2 0.6 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.2 0.1 -0.2 -0.2 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.0 -0.3 -0.5 -0.4 -0.3 0.1 -0.6 0.7 0.7 US2 -0.6 -0.2 0.6 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.1 0.0 -0.1 0.0 -0.4 -0.4 -0.4 -0.4 -0.0 0.0 -0.1 0.0 -0.1 1.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -1.1 -0.3 -0.3 -0.1 0.1 -0.0 -0.7 0.2 -0.4 US20 -0.6 -0.3 0.5 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.0 0.2 -0.1 0.2 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.2 -0.5 -0.0 -0.0 0.0 -0.0 0.1 -0.1 0.2 -0.2 -0.4 -0.4 -0.3 0.1 -0.4 0.7 0.7 US30 -0.6 -0.2 0.4 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.0 0.2 -0.1 0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.0 -0.2 -0.3 -0.0 0.0 0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.4 -0.4 -0.4 -0.0 -0.3 0.7 0.7 US5 -0.6 -0.3 0.6 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.1 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.6 -0.3 -0.4 -0.2 -0.0 0.1 -0.7 0.7 0.1 VIX 0.2 0.2 1.0 0.0 -0.0 0.1 -0.0 -0.1 0.0 -0.1 -0.3 -0.0 -0.5 0.0 -0.1 0.1 -0.6 -0.2 -0.6 0.1 0.0 -0.0 -0.2 0.0 NaN 0.0 -0.0 0.1 -0.0 -0.2 0.0 NaN NaN NaN NaN NaN -0.9 -1.1 NaN NaN WHEAT 0.3 0.6 -0.2 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.1 -0.3 -0.0 -0.6 0.1 0.0 -0.2 -0.3 -0.3 -0.3 0.0 -0.1 -0.1 -0.4 0.1 0.5 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -1.1 -0.4 -0.1 0.2 -0.3 -0.7 -0.6 -0.7 -0.5 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -8.5 2.2 3.4 0.8 -7.8 2.1 -7.7 1.7 -3.9 -16.7 9.7 -15.9 3.9 -5.3 7.0 -0.1 -1.9 -0.6 -1.3 3.1 5.9 -17.6 3.4 -6.8 2.3 1.6 -10.0 2.8 -8.0 1.9 -2.9 -0.0 -10.1 8.8 1.8 -0.1 9.3 -6.5 14.3 -0.9 BITCOIN 8.9 2.6 -10.6 3.8 2.6 0.7 1.9 -0.9 3.8 20.0 -4.0 15.9 8.8 15.2 2.7 -6.5 -6.8 -6.2 -6.4 3.8 0.5 20.0 8.4 12.9 -20.0 1.2 18.9 0.6 12.3 7.6 6.2 -2.2 20.0 15.2 -15.8 -8.4 1.6 -2.3 -0.5 2.3 BOBL -13.8 1.4 19.2 0.3 1.2 2.0 -2.0 1.4 -2.2 -2.4 5.0 -7.1 -1.0 -3.4 5.3 16.4 -8.3 3.4 -4.4 2.7 4.8 -4.1 1.4 -3.1 4.1 1.4 1.6 2.6 -1.6 1.4 -1.2 -5.7 0.0 9.4 4.4 0.4 -20.0 -17.5 -1.9 -3.2 BTP -5.4 5.6 11.2 0.6 2.2 3.7 -3.7 2.6 -4.0 12.8 16.1 -2.3 17.6 8.3 15.9 7.3 4.7 5.6 4.5 13.3 15.1 8.4 13.9 8.0 -20.0 6.2 9.5 6.8 4.1 6.2 3.9 14.1 20.0 20.0 20.0 4.7 -20.0 -12.5 2.5 9.3 BUND -12.5 -0.2 14.5 0.4 1.4 2.4 -2.4 1.7 -2.6 -1.0 6.3 -8.3 1.7 -4.5 6.2 -20.0 -4.5 -14.1 -8.8 2.2 5.1 -3.7 2.2 -3.5 1.3 1.4 3.0 3.2 -1.6 2.4 -1.5 -4.5 4.7 11.5 2.9 -3.1 -20.0 -17.4 -2.3 -2.0 BUXL -9.2 -2.0 10.0 0.4 1.7 2.8 -2.8 2.0 -3.1 3.3 5.0 -9.0 1.1 -7.6 5.5 0.2 -1.7 -0.4 -1.3 -0.4 2.2 -2.5 -0.4 -4.4 -2.3 0.3 5.5 2.4 -0.8 2.0 -2.1 3.7 12.6 12.4 -0.9 -9.9 -20.0 -20.0 -5.6 -6.0 CAC 4.8 6.6 -12.3 4.4 3.3 5.1 4.6 6.8 4.6 -6.0 -6.7 -9.6 0.4 -2.1 1.3 -5.4 -3.1 -5.6 -4.4 -1.9 -5.1 -3.6 -1.7 -0.7 -6.7 -0.6 -4.3 -2.4 -1.7 0.3 0.4 4.3 -19.3 -8.1 -8.1 -20.0 7.9 5.2 -4.0 -0.9 CAD -16.4 -2.4 5.3 1.0 -10.2 2.8 -10.1 2.2 -5.1 -17.5 -1.2 -20.0 -13.1 -16.4 -1.6 -4.8 -3.8 -4.6 -4.3 -7.9 -2.0 -20.0 -4.6 -20.0 -1.0 -2.4 -8.7 -0.1 -12.9 -1.2 -8.9 -4.1 -17.8 -6.5 -9.3 -6.7 5.3 -8.1 0.9 -4.3 CANOLA 15.4 7.1 -2.0 0.1 -2.4 -1.4 -0.6 -1.9 0.9 -7.5 -2.9 0.2 -6.8 4.8 -0.7 -13.8 -11.3 -13.3 -13.1 0.7 -3.6 -2.9 -6.9 2.3 -14.6 1.3 -0.5 -0.9 0.6 -3.2 2.0 -20.0 2.5 5.4 7.3 2.3 -5.4 -11.9 2.2 -7.7 CHF -20.0 -4.0 20.0 0.6 -6.4 1.7 -6.3 1.4 -3.2 -13.7 7.2 -14.4 -0.5 -9.7 6.2 -14.1 -16.0 -14.7 -15.3 0.6 6.8 -17.6 3.8 -11.6 4.1 0.4 -6.6 3.1 -6.7 2.1 -4.4 -20.0 -3.3 -10.8 -8.4 12.3 -7.6 -11.5 -16.8 -11.9 COCOA 8.6 1.2 7.8 0.1 -2.1 -1.2 -0.5 -1.7 0.7 4.8 1.9 5.1 3.5 4.4 2.6 20.0 20.0 20.0 20.0 4.5 5.7 10.2 10.6 7.0 -20.0 2.2 3.5 3.4 3.8 7.0 2.8 20.0 20.0 7.3 6.6 7.2 20.0 15.2 20.0 20.0 COFFEE -8.0 -2.2 1.8 0.3 -4.6 -2.8 -1.2 -3.7 1.7 6.6 13.4 -2.8 14.4 2.4 7.9 2.5 5.5 3.3 4.4 8.5 13.8 1.1 15.5 2.5 -20.0 3.6 1.8 6.3 0.3 8.1 0.9 5.0 4.0 -11.1 6.6 20.0 -6.2 -7.5 4.0 -1.2 COPPER 9.4 13.1 -10.7 1.9 1.3 0.3 1.0 -0.5 1.9 -8.5 -1.8 -4.5 0.0 3.5 2.9 -3.3 -3.1 -3.2 -2.8 4.5 2.7 -6.0 3.3 2.4 -13.7 2.4 -2.7 1.6 -1.3 1.5 1.5 4.3 -20.0 8.9 8.1 0.3 20.0 9.6 17.8 20.0 CORN 4.1 13.8 -12.4 0.3 -6.1 -3.7 -1.6 -4.9 2.2 -17.4 -14.8 -12.5 -20.0 7.0 -9.4 -10.5 -15.1 -15.2 -16.6 -6.2 -18.9 -19.5 -20.0 -6.0 -12.7 -4.2 -17.3 -8.7 -12.1 -12.4 -4.9 -20.0 -20.0 -19.2 -6.3 -20.0 3.0 -3.9 7.3 0.2 COTTON2 0.5 18.1 2.3 0.3 -4.7 -2.8 -1.2 -3.8 1.7 -10.6 -13.5 -9.1 -13.9 6.0 3.3 -13.1 -5.1 -11.5 -8.6 1.8 -6.8 -7.8 -13.6 0.1 -20.0 1.2 -5.9 -1.6 -4.8 -2.8 -0.3 -15.2 -9.2 -6.5 5.5 6.2 -14.2 -12.2 -6.7 -7.0 CRUDE_W 13.2 -5.0 -17.6 -0.8 -5.1 -2.7 0.0 -1.7 1.8 -13.8 -6.1 1.3 1.0 2.4 -5.4 5.8 11.8 9.5 11.0 -3.8 -6.2 -3.3 -2.4 0.8 -1.4 -0.5 -8.1 -3.0 -1.6 -1.7 1.6 10.3 -7.8 -7.1 5.3 3.3 -1.6 10.1 -0.6 15.2 DAX 12.7 11.0 -3.1 4.9 3.7 5.6 5.1 7.5 5.1 15.3 13.5 15.6 16.2 15.9 16.2 -8.1 -10.0 -8.3 -9.0 17.0 13.0 18.5 14.2 19.5 10.0 5.6 5.6 4.6 6.7 6.0 6.8 -6.0 5.6 11.5 12.9 -3.0 15.7 6.8 3.4 1.6 DOW 4.0 11.1 8.3 4.5 3.4 5.2 4.6 6.9 4.7 12.2 16.3 14.5 17.0 17.0 17.7 -9.6 -10.6 -9.6 -10.1 20.0 18.9 19.1 18.2 19.9 -13.6 6.4 5.1 6.3 5.6 6.3 5.9 -7.4 13.2 9.2 20.0 20.0 12.5 3.6 -6.5 -6.3 DX 20.0 4.1 -17.8 0.8 -8.6 2.3 -8.5 1.9 -4.3 18.7 -8.5 20.0 3.1 16.1 -6.5 5.6 6.6 5.8 6.2 3.6 -7.9 20.0 -4.8 20.0 -20.0 0.9 8.6 -2.5 10.0 -1.6 7.2 13.9 20.0 20.0 2.5 -20.0 -0.0 7.9 -0.8 10.9 EUR -20.0 -6.3 9.7 0.9 -9.4 2.6 -9.3 2.0 -4.7 -20.0 6.5 -20.0 -2.0 -19.1 2.3 -6.4 -7.0 -6.5 -6.7 -5.7 4.2 -20.0 3.5 -20.0 20.0 -1.8 -11.7 2.4 -12.2 2.5 -8.6 -9.0 -5.9 -17.9 -19.5 7.1 -2.7 -20.0 -9.5 -20.0 EURIBOR-ICE -14.9 1.9 20.0 0.3 1.0 1.7 -1.7 1.2 -1.9 2.4 6.3 -3.2 5.1 -0.2 6.5 5.1 -1.5 3.0 0.7 5.9 8.1 0.4 5.9 0.5 11.4 2.2 2.6 2.9 0.1 2.2 0.3 5.5 3.6 10.9 9.6 7.1 -14.1 -19.3 5.4 4.2 EUROSTX 8.5 4.2 -12.2 4.4 3.3 5.0 4.5 6.7 4.6 -10.4 4.9 -0.7 11.5 7.0 7.9 -3.7 -3.2 -4.1 -4.0 4.6 2.9 -0.3 7.1 5.3 -2.4 2.4 -6.0 2.0 -0.1 5.5 3.0 4.3 -15.8 -1.8 -3.2 -15.6 5.5 1.6 -20.0 -7.9 FEEDCOW 20.0 16.3 -18.9 0.4 -6.5 -3.9 -1.7 -5.3 2.3 -8.2 -9.2 14.8 -13.5 19.7 -0.9 20.0 -8.4 17.8 6.4 7.9 -13.4 15.5 -16.8 20.0 -9.8 1.7 -3.4 -3.3 3.6 -3.5 6.1 -6.7 20.0 20.0 20.0 -19.3 9.5 20.0 20.0 20.0 GASOIL 19.1 -2.6 -18.4 -0.8 -5.1 -2.7 0.0 -1.7 1.8 -12.1 -11.0 -0.3 -1.3 1.6 -8.9 1.8 7.9 2.3 3.4 -6.3 -9.9 -4.5 -5.3 -0.3 3.7 -3.0 -8.1 -4.6 -2.0 -2.7 -0.2 0.1 -6.5 -4.7 -8.9 -6.3 -3.9 -10.4 -1.9 -16.4 GASOLINE 17.7 -0.5 -15.5 -0.8 -4.8 -2.6 0.0 -1.6 1.7 -11.6 -6.3 2.4 0.5 5.4 -2.5 9.0 20.0 20.0 20.0 -0.7 -4.0 0.7 -1.0 4.4 -20.0 1.7 -4.3 -0.8 1.3 -0.1 3.8 20.0 3.6 1.1 10.8 9.0 4.3 13.3 10.1 20.0 GAS_US_mini -0.1 9.9 0.7 -1.1 -6.8 -3.6 0.1 -2.2 2.4 -19.8 -17.4 -18.0 -20.0 -8.9 -16.1 -20.0 -20.0 -20.0 -20.0 -6.5 -11.4 -20.0 -20.0 -11.7 20.0 -2.8 -18.3 -4.0 -14.2 -7.3 -6.4 -20.0 -20.0 -20.0 -4.7 -2.4 -9.2 -20.0 -3.5 -18.2 GBP -19.3 -0.3 8.0 0.9 -8.9 2.4 -8.8 1.9 -4.4 -18.9 14.4 -20.0 14.0 -10.2 8.2 0.8 -0.3 0.5 0.0 5.7 13.3 -19.0 12.7 -9.4 -2.1 2.8 -7.7 6.1 -7.4 5.9 -3.4 2.5 -3.3 2.7 6.8 15.9 5.7 -20.0 9.8 -20.0 GOLD_micro 3.2 16.9 18.2 3.5 2.4 0.6 1.8 -0.9 3.5 17.6 20.0 13.9 20.0 16.6 19.7 -13.4 -13.3 -12.9 -12.8 20.0 20.0 14.8 20.0 20.0 -13.8 7.0 4.8 7.2 3.6 7.2 5.2 -13.1 6.1 20.0 17.1 20.0 20.0 -0.8 13.2 4.9 HEATOIL 20.0 -1.2 -14.4 -0.8 -4.9 -2.6 0.0 -1.6 1.7 -13.3 -10.9 -3.9 -5.7 0.2 -8.3 -5.0 3.5 -5.3 -3.1 -5.0 -9.0 -5.3 -6.3 0.0 -18.6 -0.8 -7.5 -3.6 -1.3 -2.9 1.7 -9.4 -2.1 -0.9 3.3 -0.1 -7.6 3.8 -7.3 4.4 JGB-SGX-mini -15.6 4.6 16.7 0.3 1.0 1.7 -1.8 1.2 -1.9 -5.5 4.8 -7.3 2.9 -4.6 5.1 9.7 16.0 12.2 14.0 2.2 4.3 -6.9 2.7 -4.0 -9.6 0.7 -1.1 1.4 -2.9 0.4 -1.8 20.0 -1.0 4.2 1.0 -2.0 -13.9 -6.9 -15.1 -0.1 JPY -20.0 -3.7 20.0 0.3 -3.4 0.9 -3.3 0.7 -1.7 -6.9 2.7 -7.8 -2.9 -6.8 2.3 -10.0 -14.3 -11.2 -12.5 -1.6 1.6 -9.7 -2.0 -8.3 20.0 -0.2 -1.7 0.7 -2.8 -0.6 -2.3 -20.0 0.4 -12.4 -6.8 7.7 -20.0 -20.0 -20.0 -20.0 LEANHOG 5.9 20.0 9.6 0.4 -6.8 -4.1 -1.8 -5.5 2.4 10.7 -2.2 16.6 -5.4 20.0 20.0 20.0 20.0 20.0 20.0 18.9 5.1 12.3 -8.6 19.9 4.2 6.5 3.9 2.0 4.9 -1.9 7.3 20.0 20.0 17.5 20.0 20.0 -0.2 -5.3 5.7 1.6 LIVECOW 20.0 16.5 2.7 0.4 -7.1 -4.3 -1.9 -5.8 2.6 -14.6 16.6 18.4 12.7 20.0 17.9 1.7 8.8 5.3 8.8 20.0 17.9 14.5 14.2 20.0 -20.0 6.2 -1.8 4.1 3.8 4.3 7.5 12.3 11.8 20.0 20.0 20.0 -3.0 20.0 6.3 20.0 LUMBER-new 10.4 9.0 4.2 0.3 -4.7 -2.8 -1.2 -3.6 1.7 5.8 -8.7 13.0 -10.6 12.5 11.4 -17.3 -17.9 -17.9 -17.9 4.5 -3.6 6.7 -9.9 8.2 NaN 3.7 1.1 -1.1 3.9 -5.1 5.2 -20.0 13.4 9.2 0.9 16.9 3.3 0.1 8.4 3.8 MILK -20.0 2.5 19.8 0.2 -3.9 -2.4 -1.0 -3.2 1.4 8.3 11.8 -5.2 8.9 -0.4 6.9 20.0 -2.6 20.0 15.0 8.0 14.8 -1.4 10.6 -1.3 14.2 2.6 3.3 5.2 -0.4 3.4 -0.6 4.2 0.2 -17.6 4.9 20.0 -0.9 -20.0 6.9 -20.0 MXP 6.2 1.3 -20.0 0.5 -5.4 1.5 -5.3 1.2 -2.7 -9.7 -9.7 -4.8 -6.9 -0.3 -7.3 10.7 13.5 10.6 11.5 -6.5 -11.0 -6.9 -7.1 -2.6 -20.0 -2.9 -8.3 -4.9 -3.4 -3.0 -1.2 20.0 11.4 3.6 -10.7 -19.4 13.0 14.6 17.9 20.0 NASDAQ_micro 11.4 6.6 -11.5 3.4 2.6 4.0 3.6 5.3 3.6 3.2 5.8 7.8 9.8 12.1 5.8 -8.0 -9.6 -8.0 -8.7 9.3 8.8 8.0 13.0 10.8 -20.0 4.1 0.4 4.4 2.7 6.5 4.0 -5.4 3.1 3.3 5.7 -2.5 4.7 3.6 -9.7 -2.0 NIKKEI 18.0 5.2 -20.0 2.0 1.5 2.3 2.0 3.0 2.1 3.9 2.6 6.3 3.6 6.4 3.2 1.4 7.9 3.8 5.8 3.4 1.5 5.6 3.1 6.0 -6.2 -0.0 0.8 -0.6 1.7 1.2 1.6 20.0 3.6 5.8 -0.8 -11.2 14.5 3.7 14.6 3.7 NZD -16.3 1.1 4.1 0.5 -5.2 1.4 -5.2 1.1 -2.6 -10.5 4.6 -10.9 2.2 -6.3 3.5 -0.2 0.0 -0.1 -0.1 -0.1 2.8 -12.8 1.6 -7.7 0.4 0.3 -4.5 1.3 -5.1 0.9 -2.9 2.8 -5.8 0.6 0.8 -3.3 3.4 -7.3 3.9 -1.4 OAT -12.5 0.6 10.7 0.4 1.5 2.5 -2.5 1.8 -2.7 6.6 2.4 -6.1 -0.8 -7.2 5.9 7.7 4.5 5.5 4.3 0.3 1.9 -0.7 -0.4 -3.3 3.7 0.5 6.2 1.7 0.1 1.1 -1.5 13.8 11.7 8.8 2.3 -6.0 -13.2 -14.0 5.6 3.7 OATIES 7.5 20.0 13.0 0.3 -5.5 -3.3 -1.4 -4.5 2.0 -4.9 -0.5 4.8 -13.2 14.8 13.1 3.9 2.7 4.1 4.0 20.0 9.6 0.6 -4.9 15.7 -20.0 4.9 -0.4 2.4 -0.2 -0.5 3.5 2.1 -6.9 12.4 20.0 18.7 18.6 2.2 20.0 12.0 OJ -6.5 1.6 2.3 0.3 -4.6 -2.8 -1.2 -3.8 1.7 14.4 13.9 9.1 15.1 7.8 10.3 10.5 12.0 11.2 10.8 11.4 16.9 12.1 20.0 8.2 -20.0 4.7 7.7 7.4 4.9 11.8 3.3 15.6 20.0 -6.6 13.2 20.0 14.0 14.1 20.0 20.0 PALLAD -4.8 14.4 13.3 1.6 1.1 0.3 0.8 -0.4 1.6 -3.7 2.0 -3.6 -5.4 2.1 3.9 -2.1 -2.0 -1.9 -1.9 4.2 2.0 -0.3 -3.8 2.6 15.6 2.1 -1.2 1.0 -0.0 -1.2 1.4 5.9 2.9 -8.5 1.2 8.0 -13.3 -20.0 -20.0 -20.0 PLAT 2.9 6.2 -4.7 2.3 1.6 0.4 1.2 -0.6 2.3 9.5 -4.3 2.3 -3.4 6.6 0.7 -4.0 -4.4 -4.4 -4.5 2.0 0.5 3.4 -0.3 2.8 5.2 1.5 3.7 -0.0 2.0 -0.5 2.0 1.5 -2.9 -4.0 -5.5 -3.5 -0.2 -7.3 -11.6 -0.3 REDWHEAT 12.7 20.0 -4.3 0.3 -5.9 -3.5 -1.5 -4.8 2.1 -15.5 -13.0 2.3 -17.9 11.4 3.5 -11.0 -7.0 -10.6 -9.4 3.5 -7.0 -3.4 -16.6 6.7 -5.2 1.4 -7.6 -3.0 -1.6 -6.3 3.1 -17.8 -10.8 1.1 8.2 -8.2 -20.0 -20.0 -20.0 -20.0 RICE -6.9 0.8 -7.0 0.3 -6.2 -3.7 -1.6 -5.0 2.2 4.2 11.6 -10.4 14.0 -3.3 -0.0 -11.5 20.0 -0.7 17.4 -1.4 1.7 -4.0 8.3 -3.4 -14.6 -2.0 -0.1 0.5 -3.1 3.3 -3.5 20.0 2.3 -20.0 -8.4 3.7 -20.0 -20.0 -20.0 -20.0 ROBUSTA -20.0 0.5 2.0 0.2 -2.7 -1.6 -0.7 -2.2 1.0 -0.2 8.7 -6.1 9.3 1.6 6.2 20.0 20.0 20.0 20.0 9.5 15.5 -3.5 17.7 0.8 -20.0 2.4 -0.4 4.7 -1.1 6.6 -0.0 20.0 -6.1 -12.6 10.1 20.0 11.9 -1.8 20.0 4.7 RUSSELL 2.4 3.4 6.7 4.1 3.1 4.7 4.2 6.3 4.3 14.5 8.0 10.2 11.9 10.9 7.7 -5.8 -6.3 -5.7 -5.9 8.7 8.9 15.7 9.1 10.2 -0.4 5.2 9.6 6.0 6.4 6.0 4.7 -0.1 14.2 -3.8 6.4 17.3 0.5 -13.2 -12.9 -20.0 SHATZ -13.5 4.3 20.0 0.2 0.9 1.6 -1.6 1.1 -1.7 -3.1 4.5 -5.8 -0.6 -1.7 5.0 -20.0 -20.0 -20.0 -20.0 4.2 5.6 -3.7 0.7 -1.6 6.2 1.7 0.6 2.2 -1.2 0.8 -0.5 -20.0 -2.5 8.7 7.1 5.2 -20.0 -17.2 -7.4 -8.4 SILVER-mini 3.6 9.2 -2.6 2.5 1.7 0.4 1.3 -0.6 2.5 3.1 9.3 2.0 8.8 9.5 9.7 -6.2 -6.4 -6.2 -6.2 9.1 8.9 3.1 9.5 7.0 2.0 3.5 1.3 2.9 1.0 3.0 2.7 -1.5 -1.5 1.6 4.6 4.3 7.7 -2.1 -1.5 10.5 SMI 5.9 -10.5 -8.2 4.7 3.6 5.5 4.9 7.3 5.0 12.3 11.0 11.3 15.2 -1.6 5.7 0.8 0.2 -0.6 -0.9 2.4 7.4 11.7 13.7 5.3 11.8 3.7 7.5 7.9 6.7 11.5 3.6 9.8 1.2 -5.7 -15.2 1.5 -2.3 2.0 -19.3 -5.0 SOFR -20.0 -10.4 19.6 0.4 1.7 2.9 -2.9 2.0 -3.1 -7.5 9.7 -12.1 8.6 -11.7 4.8 2.4 0.1 1.9 0.9 -2.1 9.3 -16.1 8.2 -16.3 -6.3 -1.6 -0.8 2.0 -5.0 2.5 -5.4 7.2 -13.4 -15.8 -10.5 -3.5 5.9 -12.4 20.0 12.8 SOYBEAN 2.1 12.3 -14.4 0.2 -4.2 -2.5 -1.1 -3.4 1.5 -13.3 -9.8 -12.5 -11.7 0.7 -6.3 -2.0 0.8 -4.3 -3.5 -7.3 -15.1 -19.3 -18.9 -8.4 -20.0 -3.3 -11.0 -5.5 -8.2 -6.2 -4.0 -6.4 -20.0 -14.3 -2.6 -18.7 2.9 -12.3 10.6 -7.5 SOYMEAL -3.3 14.4 1.5 0.2 -3.0 -1.8 -0.8 -2.5 1.1 -9.7 -6.0 -10.2 -8.6 -2.8 -1.9 -1.7 2.7 -2.0 -0.5 -2.3 -4.7 -11.4 -7.6 -5.6 -18.4 -1.1 -5.3 -1.9 -5.0 -2.4 -2.4 -2.1 -20.0 -8.1 -1.0 -5.7 -20.0 -20.0 -20.0 -20.0 SOYOIL 13.5 15.1 -1.5 0.1 -2.6 -1.6 -0.7 -2.1 0.9 -7.9 -4.4 -0.6 -8.0 3.7 -2.3 -1.1 1.1 0.6 0.7 1.5 -3.0 -3.5 -6.8 2.0 -18.7 1.1 -3.7 -0.7 -1.5 -2.1 1.1 -2.6 -4.6 6.3 9.1 2.8 0.0 -8.0 10.0 -2.7 SP400 8.4 7.6 4.4 4.6 3.5 5.3 4.8 7.1 4.8 15.8 12.8 16.4 15.6 16.9 14.4 -6.6 -6.0 -6.3 -6.1 14.2 12.0 20.0 13.0 17.4 -13.2 6.3 8.4 6.2 7.2 6.4 6.3 0.1 17.9 6.2 13.2 15.4 6.5 -5.9 -8.9 -20.0 SP500_micro 9.3 9.8 -10.2 4.6 3.4 5.3 4.7 7.1 4.8 10.7 16.8 14.2 17.7 17.4 17.4 -10.1 -11.6 -10.2 -10.9 19.4 20.0 18.6 20.0 20.0 -20.0 6.3 4.5 6.8 5.6 8.5 6.2 -9.0 14.6 9.4 16.7 9.5 9.3 3.3 -9.1 -3.8 SUGAR11 5.2 20.0 14.6 0.2 -4.2 -2.5 -1.1 -3.4 1.5 -10.2 4.3 -2.6 -6.7 10.0 10.0 20.0 12.0 20.0 13.8 16.2 8.3 -1.2 -0.5 11.1 -20.0 3.7 -1.8 1.8 -0.3 -0.2 2.5 17.0 -6.8 16.5 20.0 20.0 -16.2 7.9 -14.0 11.1 US10 -20.0 -9.1 19.7 0.3 1.3 2.2 -2.2 1.5 -2.3 -5.7 6.5 -9.3 4.2 -8.8 2.8 -6.1 -7.3 -6.7 -6.9 -2.7 5.2 -13.6 3.3 -13.3 1.7 -1.4 -0.9 1.2 -4.1 1.4 -4.2 -5.7 -12.0 -12.8 -9.3 -3.8 1.4 -20.0 20.0 8.2 US10U -20.0 -7.5 18.0 0.5 1.9 3.1 -3.2 2.2 -3.4 -7.3 9.0 -13.2 4.6 -12.9 3.7 -4.4 -3.4 -4.4 -4.1 -4.0 6.7 -18.6 3.7 -18.4 -1.3 -2.3 -1.0 1.5 -5.9 1.9 -6.3 -0.2 -13.4 -16.6 -13.9 -9.0 2.0 -18.2 20.0 19.5 US2 -20.0 -5.7 20.0 0.2 0.9 1.6 -1.6 1.1 -1.7 -4.6 4.2 -6.7 1.4 -5.6 2.6 -20.0 -20.0 -20.0 -20.0 -0.9 4.3 -10.3 1.3 -9.4 11.2 -0.3 -0.9 1.3 -2.8 0.9 -2.6 -20.0 -10.9 -9.6 -3.1 4.3 -1.0 -20.0 6.0 -11.7 US20 -20.0 -8.5 15.1 0.4 1.4 2.4 -2.5 1.7 -2.6 -4.7 6.5 -10.0 5.3 -10.3 1.8 -2.6 -1.2 -2.0 -1.5 -3.9 4.7 -14.2 3.3 -14.7 -3.4 -2.0 -0.5 1.1 -4.4 1.7 -4.9 4.2 -7.4 -13.4 -12.0 -9.7 2.8 -11.3 20.0 20.0 US30 -20.0 -7.7 12.5 0.4 1.6 2.8 -2.8 2.0 -3.0 -3.2 6.1 -10.5 3.0 -11.5 0.7 -2.8 -5.0 -4.4 -4.7 -4.9 3.3 -13.8 1.3 -15.1 -2.3 -2.5 0.0 0.8 -4.8 1.4 -5.6 -1.9 -3.6 -12.6 -12.7 -13.9 -0.5 -10.0 20.0 20.0 US5 -20.0 -9.3 20.0 0.3 1.2 2.0 -2.0 1.4 -2.2 -6.3 5.9 -9.1 3.0 -8.1 2.8 -8.1 -10.6 -9.8 -10.3 -2.4 5.0 -13.1 2.9 -12.6 5.4 -1.1 -1.0 1.3 -3.7 1.3 -3.8 -11.5 -13.0 -13.1 -7.5 -0.7 3.6 -20.0 20.0 1.9 VIX 4.0 4.5 20.0 2.1 -2.0 1.4 -0.5 -2.2 1.0 -9.7 -6.2 -1.1 -9.2 2.5 -5.5 2.4 -20.0 -6.0 -17.2 3.1 1.0 -0.9 -5.6 2.2 NaN 2.3 -2.3 1.5 -0.6 -2.7 1.1 NaN NaN NaN NaN NaN -16.3 -20.0 NaN NaN WHEAT 9.7 20.0 -5.9 0.3 -5.8 -3.5 -1.5 -4.7 2.1 -15.6 -11.1 -3.6 -15.9 11.6 4.0 -11.0 -14.5 -13.4 -14.4 4.1 -6.1 -7.6 -15.4 5.2 4.1 1.3 -10.3 -2.6 -4.1 -5.3 1.8 -20.0 -18.5 -2.0 6.8 -8.3 -20.0 -18.3 -20.0 -15.9 End of report for caleb_strategy_v3