******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241021_203921 produced at 2024-10-21 21:38:08.645857 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 0.08 0.00 -0.46 0.0 0.00 0.00 0.00 0.00 -5.37 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.03 -0.14 0.0 0.54 -0.54 -0.03 -0.03 -4.06 16.0 -1 -1 caleb_strategy_v3 CAD False False 0.03 -0.08 -0.13 0.0 0.74 -0.74 -0.08 -0.08 -5.01 29.0 -3 -3 caleb_strategy_v3 US2 False True 0.07 0.00 -0.10 0.0 0.00 0.00 0.00 0.00 -1.44 13.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.04 -0.09 0.0 0.52 -0.52 -0.04 -0.04 -10.31 60.0 -5 -5 caleb_strategy_v3 VIX False False 0.01 -0.04 -0.08 0.0 999.00 -999.00 -0.04 -0.04 -12.71 999999999.0 -7 -7 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.04 -0.08 0.0 0.00 -0.04 -0.04 -0.04 -31.12 26.0 -16 -16 caleb_strategy_v3 CHF False False 0.05 -0.10 -0.08 0.0 0.66 -0.66 -0.10 -0.10 -1.55 13.0 -2 -2 caleb_strategy_v3 EUR False False 0.05 -0.10 -0.07 0.0 0.67 -0.67 -0.10 -0.10 -1.54 14.0 -2 -2 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -1.81 24.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.07 0.0 0.09 -0.09 -0.05 -0.05 -9.47 12.0 -6 -6 caleb_strategy_v3 RICE False True 0.01 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -3.58 4.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.04 0.0 0.95 -0.95 -0.04 -0.04 -0.93 25.0 -1 -1 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.03 0.0 0.10 -0.10 -0.03 -0.03 -1.01 3.0 -1 -1 caleb_strategy_v3 CAC True False 0.03 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.95 12.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.03 0.0 0.14 -0.14 -0.05 -0.05 -2.65 11.0 -4 -4 caleb_strategy_v3 US10 False False 0.04 0.00 -0.03 0.0 0.67 -0.67 0.00 0.00 -0.66 17.0 0 0 caleb_strategy_v3 JPY False False 0.03 0.00 -0.03 0.0 0.50 -0.50 0.00 0.00 -1.10 17.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.03 0.0 0.13 -0.13 -0.05 -0.05 -1.40 7.0 -3 -3 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.02 0.0 0.09 -0.09 -0.02 -0.02 -0.82 4.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.02 0.0 0.08 -0.08 0.00 0.00 -1.56 8.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.10 -0.10 -0.03 -0.03 -1.65 9.0 -3 -3 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -1.41 9.0 -2 -2 caleb_strategy_v3 US10U False False 0.04 0.00 -0.02 0.0 0.52 -0.52 0.00 0.00 -0.57 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 -7.22 51.0 -2 -2 caleb_strategy_v3 US20 False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.29 9.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.20 -0.20 0.00 0.00 -0.13 4.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.51 -0.51 0.00 0.00 -0.28 10.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.04 -0.01 0.0 0.26 -0.26 -0.04 -0.04 -0.26 6.0 -1 -1 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -3.29 59.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.00 -0.01 0.0 0.38 -0.38 0.00 0.00 -0.27 20.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.01 0.0 0.45 -0.45 0.00 0.00 -0.61 21.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.53 10.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.02 0.00 0.0 0.14 -0.14 0.02 0.02 0.57 18.0 3 3 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.00 0.0 0.37 -0.37 0.00 0.00 0.20 23.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 0.00 0.0 0.18 -0.18 0.00 0.00 0.10 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 0.13 2.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 0.00 0.0 0.44 -0.44 0.00 0.00 0.10 19.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.00 0.0 0.33 -0.33 -0.01 -0.01 -0.32 23.0 -1 -1 caleb_strategy_v3 BOBL False False 0.05 0.00 0.00 0.0 0.86 -0.86 0.00 0.00 0.04 19.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.02 6.0 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 -0.68 3.0 -2 -2 caleb_strategy_v3 COPPER False False 0.04 0.04 0.00 0.0 999.00 -999.00 0.04 0.04 0.12 999999999.0 1 1 caleb_strategy_v3 GBP False False 0.03 0.00 -0.00 0.0 0.63 -0.63 0.00 0.00 -0.03 22.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.01 0.0 0.00 0.00 0.00 0.00 1.56 2.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.02 0.01 0.0 0.60 -0.60 0.02 0.02 0.62 26.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.00 0.01 0.0 0.12 -0.12 0.00 0.00 0.23 5.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.29 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.13 0.02 0.0 0.34 -0.34 0.13 0.13 0.56 8.0 3 3 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.27 -0.27 0.00 0.00 5.25 68.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.01 0.02 0.0 0.07 -0.07 0.01 0.01 1.42 5.0 1 1 caleb_strategy_v3 OJ False False 0.02 0.02 0.02 0.0 0.07 -0.07 0.02 0.02 0.68 3.0 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 0.90 999999999.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.03 0.0 0.50 -0.50 0.00 0.00 2.90 48.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.14 0.04 0.0 0.48 -0.48 0.14 0.14 0.92 10.0 3 3 caleb_strategy_v3 DX False False 0.04 0.00 0.04 0.0 999.00 -999.00 0.00 0.00 1.06 999999999.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.22 0.04 0.0 0.22 -0.22 0.22 0.22 0.34 2.0 2 2 caleb_strategy_v3 NIKKEI False False 0.01 0.06 0.05 0.0 0.33 -0.33 0.06 0.06 5.58 36.0 6 6 caleb_strategy_v3 DOW False False 0.01 0.00 0.05 0.0 0.50 -0.50 0.00 0.00 6.12 66.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.05 0.06 0.0 0.46 -0.46 0.05 0.05 1.25 10.0 1 1 caleb_strategy_v3 SMI False True 0.05 0.00 0.07 0.0 0.00 0.00 0.00 0.00 1.45 9.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.06 0.09 0.0 0.54 -0.54 0.06 0.06 9.85 56.0 6 6 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.10 0.0 0.45 -0.45 0.03 0.03 3.85 17.0 1 1 caleb_strategy_v3 LEANHOG False False 0.01 0.08 0.11 0.0 0.15 -0.15 0.08 0.08 9.94 13.0 7 7 caleb_strategy_v3 DAX False False 0.01 0.07 0.11 0.0 0.43 -0.43 0.07 0.07 14.50 58.0 9 9 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.80 0.0 0.93 -0.93 0.00 0.00 8.58 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.7 Shocked risk 23.2 Sum abs risk 34.4 Leverage 3.59 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2846073.82, 'annual_cash_vol_target': 711518.455, 'daily_cash_vol_target': 44469.9034375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0040 0.6660 0.6019 9.6303 BITCOIN 1576.5880 67850.0000 2.3236 37.1782 BOBL 0.2613 119.0400 0.2195 3.5127 BTP 0.5856 120.8700 0.4845 7.7524 BUND 0.5097 133.1100 0.3829 6.1271 BUXL 1.2835 132.1800 0.9710 15.5363 CAC 65.5481 7559.5000 0.8671 13.8735 CAD 0.0025 0.7238 0.3519 5.6304 CANOLA 7.9541 629.0000 1.2646 20.2331 CHF 0.0051 1.1618 0.4392 7.0272 COCOA 153.8584 6614.0000 2.3263 37.2201 COFFEE 4.7506 250.9000 1.8934 30.2945 COPPER 0.0578 4.3540 1.3266 21.2259 CORN 4.2974 436.7500 0.9839 15.7432 COTTON2 0.9788 74.2900 1.3176 21.0816 CRUDE_W 1.1849 67.4400 1.7569 28.1107 DAX 136.9363 19609.0000 0.6983 11.1733 DOW 260.8482 43137.0000 0.6047 9.6752 DX 0.3571 103.8000 0.3440 5.5040 EUR 0.0043 1.0838 0.3973 6.3572 EURIBOR-ICE 0.0479 97.9300 0.0489 0.7819 EUROSTX 44.5013 4965.0000 0.8963 14.3408 FEEDCOW 1.6197 244.0500 0.6637 10.6187 GASOIL 12.4051 660.0000 1.8796 30.0730 GASOLINE 0.0405 1.9757 2.0514 32.8223 GAS_US_mini 0.0846 2.8250 2.9963 47.9408 GBP 0.0063 1.2977 0.4866 7.7850 GOLD_micro 16.5873 2729.8000 0.6076 9.7222 HEATOIL 0.0432 2.2090 1.9562 31.2986 JGB-SGX-mini 0.2266 143.7500 0.1577 2.5224 JPY 0.0001 0.0067 0.7532 12.0516 LEANHOG 0.9992 82.2250 1.2153 19.4441 LIVECOW 1.0414 186.8250 0.5574 8.9191 LUMBER-new 7.4493 550.5000 1.3532 21.6511 MILK 0.2718 21.0500 1.2913 20.6603 MXP 0.0004 0.0496 0.8452 13.5224 NASDAQ_micro 163.1799 20458.0000 0.7976 12.7621 NIKKEI 539.6899 38995.0000 1.3840 22.1440 NZD 0.0041 0.6034 0.6716 10.7460 OAT 0.5261 125.7000 0.4185 6.6966 OATIES 5.4637 375.7500 1.4541 23.2653 OJ 8.1694 466.4500 1.7514 28.0222 PALLAD 25.1929 1056.5000 2.3846 38.1530 PLAT 15.1801 1025.5000 1.4803 23.6843 REDWHEAT 9.6202 596.7500 1.6121 25.7937 RICE 0.1311 15.1100 0.8679 13.8867 ROBUSTA 86.8448 4519.0000 1.9218 30.7483 RUSSELL 22.4686 2255.1000 0.9963 15.9415 SHATZ 0.0901 106.8450 0.0843 1.3490 SILVER-mini 0.5354 34.1625 1.5673 25.0771 SMI 79.3940 12263.0000 0.6474 10.3588 SOFR 0.0585 96.5100 0.0606 0.9694 SOYBEAN 10.1492 1024.7500 0.9904 15.8466 SOYMEAL 4.3615 314.6000 1.3864 22.1819 SOYOIL 0.7222 42.3000 1.7074 27.3186 SP400 23.4477 3182.8000 0.7367 11.7872 SP500_micro 35.0714 5881.5000 0.5963 9.5408 SUGAR11 0.3230 20.2000 1.5989 25.5821 US10 0.3837 111.5312 0.3440 5.5042 US10U 0.5141 114.7500 0.4480 7.1686 US2 0.1147 103.2852 0.1111 1.7773 US20 0.7667 118.6875 0.6460 10.3361 US30 1.1682 125.5938 0.9301 14.8820 US5 0.2561 108.0469 0.2370 3.7917 VIX 0.5967 18.2500 3.2694 52.3110 WHEAT 8.7941 632.0000 1.3915 22.2635 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 666.00 0.60 400.86 1.00 400.86 44469.9 110.94 0.35 3.93 BITCOIN 67.85 2.32 157.66 1.00 157.66 44469.9 282.06 -1.08 -30.40 BOBL 1190.40 0.22 261.34 1.08 283.33 44469.9 156.95 0.26 4.10 BTP 1208.70 0.48 585.64 1.08 634.92 44469.9 70.04 5.25 36.76 BUND 1331.10 0.38 509.74 1.08 552.63 44469.9 80.47 -3.40 -27.36 BUXL 1321.80 0.97 1283.49 1.08 1391.50 44469.9 31.96 -3.93 -12.57 CAC 755.95 0.87 655.48 1.08 710.64 44469.9 62.58 -4.44 -27.80 CAD 723.80 0.35 254.71 1.00 254.71 44469.9 174.59 -11.06 -193.07 CANOLA 125.80 1.26 159.08 0.72 115.32 44469.9 385.61 -7.70 -296.97 CHF 1452.25 0.44 637.83 1.00 637.83 44469.9 69.72 -8.57 -59.77 COCOA 661.40 2.33 1538.58 1.00 1538.58 44469.9 28.90 10.01 28.92 COFFEE 940.88 1.89 1781.46 1.00 1781.46 44469.9 24.96 -0.55 -1.38 COPPER 1088.50 1.33 1444.03 1.00 1444.03 44469.9 30.80 0.37 1.13 CORN 218.38 0.98 214.87 1.00 214.87 44469.9 206.96 -18.81 -389.24 COTTON2 371.45 1.32 489.42 1.00 489.42 44469.9 90.86 -13.64 -123.96 CRUDE_W 674.40 1.76 1184.87 1.00 1184.87 44469.9 37.53 0.56 2.12 DAX 196.09 0.70 136.94 1.08 148.46 44469.9 299.54 14.19 425.13 DOW 215.68 0.60 130.42 1.00 130.42 44469.9 340.96 7.72 263.15 DX 1038.00 0.34 357.07 1.00 357.07 44469.9 124.54 3.29 41.02 EUR 1354.69 0.40 538.26 1.00 538.26 44469.9 82.62 -7.17 -59.26 EURIBOR-ICE 2448.25 0.05 119.64 1.08 129.71 44469.9 342.85 7.34 251.60 EUROSTX 496.50 0.90 445.01 1.08 482.46 44469.9 92.17 -0.87 -7.99 FEEDCOW 1220.25 0.66 809.84 1.00 809.84 44469.9 54.91 3.08 16.89 GASOIL 660.00 1.88 1240.51 1.00 1240.51 44469.9 35.85 -5.26 -18.84 GASOLINE 829.79 2.05 1702.24 1.00 1702.24 44469.9 26.12 2.54 6.63 GAS_US_mini 70.62 3.00 211.61 1.00 211.61 44469.9 210.15 -13.68 -287.43 GBP 811.06 0.49 394.63 1.00 394.63 44469.9 112.69 -0.11 -1.28 GOLD_micro 272.98 0.61 165.87 1.00 165.87 44469.9 268.10 10.77 288.70 HEATOIL 927.78 1.96 1814.89 1.00 1814.89 44469.9 24.50 -9.50 -23.28 JGB-SGX-mini 143750.00 0.16 22662.35 0.01 151.22 44469.9 294.08 -1.28 -37.53 JPY 835.00 0.75 628.94 1.00 628.94 44469.9 70.71 -6.01 -42.50 LEANHOG 328.90 1.22 399.70 1.00 399.70 44469.9 111.26 14.70 163.53 LIVECOW 747.30 0.56 416.58 1.00 416.58 44469.9 106.75 10.88 116.19 LUMBER-new 151.39 1.35 204.86 1.00 204.86 44469.9 217.08 -1.47 -31.98 MILK 421.00 1.29 543.62 1.00 543.62 44469.9 81.80 8.08 66.10 MXP 247.85 0.85 209.47 1.00 209.47 44469.9 212.30 -3.31 -70.22 NASDAQ_micro 409.16 0.80 326.36 1.00 326.36 44469.9 136.26 -1.03 -13.97 NIKKEI 38995.00 1.38 53968.99 0.01 360.11 44469.9 123.49 4.17 51.54 NZD 603.35 0.67 405.22 1.00 405.22 44469.9 109.74 -2.14 -23.49 OAT 1257.00 0.42 526.10 1.08 570.38 44469.9 77.97 3.46 26.95 OATIES 187.88 1.45 273.18 1.00 273.18 44469.9 162.78 3.94 64.11 OJ 699.68 1.75 1225.40 1.00 1225.40 44469.9 36.29 8.70 31.58 PALLAD 1056.50 2.38 2519.29 1.00 2519.29 44469.9 17.65 2.22 3.92 PLAT 512.75 1.48 759.01 1.00 759.01 44469.9 58.59 0.48 2.81 REDWHEAT 298.38 1.61 481.01 1.00 481.01 44469.9 92.45 -12.72 -117.55 RICE 302.20 0.87 262.29 1.00 262.29 44469.9 169.55 -8.67 -147.08 ROBUSTA 451.90 1.92 868.45 1.00 868.45 44469.9 51.21 3.39 17.37 RUSSELL 112.76 1.00 112.34 1.00 112.34 44469.9 395.84 4.00 158.34 SHATZ 1068.45 0.08 90.08 1.08 97.66 44469.9 455.34 -3.91 -178.01 SILVER-mini 854.06 1.57 1338.59 1.00 1338.59 44469.9 33.22 7.92 26.32 SMI 1226.30 0.65 793.94 1.16 917.04 44469.9 48.49 8.76 42.50 SOFR 2412.75 0.06 146.18 1.00 146.18 44469.9 304.21 -2.90 -88.34 SOYBEAN 512.38 0.99 507.46 1.00 507.46 44469.9 87.63 -17.22 -150.92 SOYMEAL 314.60 1.39 436.15 1.00 436.15 44469.9 101.96 -14.84 -151.34 SOYOIL 253.80 1.71 433.34 1.00 433.34 44469.9 102.62 -5.55 -56.92 SP400 3182.80 0.74 2344.77 1.00 2344.77 44469.9 18.97 5.36 10.17 SP500_micro 294.08 0.60 175.36 1.00 175.36 44469.9 253.60 4.93 124.98 SUGAR11 226.24 1.60 361.73 1.00 361.73 44469.9 122.94 2.16 26.61 US10 1115.31 0.34 383.68 1.00 383.68 44469.9 115.90 -4.47 -51.80 US10U 1147.50 0.45 514.12 1.00 514.12 44469.9 86.50 -5.24 -45.33 US2 2065.70 0.11 229.46 1.00 229.46 44469.9 193.80 -5.88 -113.90 US20 1186.88 0.65 766.73 1.00 766.73 44469.9 58.00 -4.00 -23.23 US30 1255.94 0.93 1168.18 1.00 1168.18 44469.9 38.07 -5.45 -20.73 US5 1080.47 0.24 256.05 1.00 256.05 44469.9 173.67 -4.21 -73.06 VIX 182.50 3.27 596.67 1.00 596.67 44469.9 74.53 -6.91 -51.49 WHEAT 316.00 1.39 439.70 1.00 439.70 44469.9 101.14 -12.32 -124.59 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 3.927 0.010 2.5 0.102 BITCOIN -30.396 0.043 2.5 -3.291 BOBL 4.099 0.004 2.5 0.042 BTP 36.764 0.014 2.5 1.254 BUND -27.358 0.004 2.5 -0.277 BUXL -12.574 0.004 2.5 -0.128 CAC -27.797 0.014 2.5 -0.948 CAD -193.075 0.010 2.5 -5.009 CANOLA -296.966 0.010 2.5 -7.225 CHF -59.773 0.010 2.5 -1.551 COCOA 28.924 0.009 2.5 0.619 COFFEE -1.378 0.005 2.5 -0.016 COPPER 1.127 0.043 2.5 0.122 CORN -389.240 0.010 2.5 -9.470 COTTON2 -123.960 0.009 2.5 -2.655 CRUDE_W 2.117 0.043 2.5 0.229 DAX 425.133 0.014 2.5 14.500 DOW 263.148 0.009 2.5 6.116 DX 41.025 0.010 2.5 1.064 EUR -59.262 0.010 2.5 -1.538 EURIBOR-ICE 251.598 0.014 2.5 8.582 EUROSTX -7.993 0.014 2.5 -0.273 FEEDCOW 16.894 0.013 2.5 0.560 GASOIL -18.845 0.017 2.5 -0.817 GASOLINE 6.626 0.017 2.5 0.287 GAS_US_mini -287.431 0.043 2.5 -31.125 GBP -1.283 0.010 2.5 -0.033 GOLD_micro 288.700 0.014 2.5 9.847 HEATOIL -23.285 0.017 2.5 -1.009 JGB-SGX-mini -37.531 0.043 2.5 -4.064 JPY -42.502 0.010 2.5 -1.103 LEANHOG 163.527 0.024 2.5 9.938 LIVECOW 116.186 0.013 2.5 3.850 LUMBER-new -31.984 0.009 2.5 -0.685 MILK 66.098 0.009 2.5 1.416 MXP -70.217 0.059 2.5 -10.306 NASDAQ_micro -13.972 0.009 2.5 -0.325 NIKKEI 51.538 0.043 2.5 5.581 NZD -23.490 0.010 2.5 -0.609 OAT 26.947 0.014 2.5 0.919 OATIES 64.115 0.010 2.5 1.560 OJ 31.584 0.009 2.5 0.676 PALLAD 3.919 0.014 2.5 0.134 PLAT 2.805 0.014 2.5 0.096 REDWHEAT -117.554 0.005 2.5 -1.559 RICE -147.082 0.010 2.5 -3.578 ROBUSTA 17.368 0.005 2.5 0.203 RUSSELL 158.344 0.013 2.5 5.247 SHATZ -178.012 0.004 2.5 -1.805 SILVER-mini 26.319 0.014 2.5 0.898 SMI 42.497 0.014 2.5 1.449 SOFR -88.343 0.024 2.5 -5.369 SOYBEAN -150.924 0.004 2.5 -1.404 SOYMEAL -151.342 0.004 2.5 -1.408 SOYOIL -56.921 0.004 2.5 -0.530 SP400 10.172 0.013 2.5 0.337 SP500_micro 124.980 0.009 2.5 2.905 SUGAR11 26.614 0.009 2.5 0.566 US10 -51.805 0.005 2.5 -0.656 US10U -45.330 0.005 2.5 -0.574 US2 -113.900 0.005 2.5 -1.443 US20 -23.225 0.005 2.5 -0.294 US30 -20.732 0.005 2.5 -0.263 US5 -73.055 0.005 2.5 -0.926 VIX -51.494 0.099 2.5 -12.711 WHEAT -124.588 0.005 2.5 -1.653 ===================== Position diags ===================== AUD 2.88 BITCOIN 30.54 BOBL 1.59 BTP 2.39 BUND 0.82 BUXL 0.32 CAC 2.13 CAD 4.53 CANOLA 9.38 CHF 1.81 COCOA 0.62 COFFEE 0.29 COPPER 3.33 CORN 5.04 COTTON2 1.95 CRUDE_W 4.06 DAX 10.22 DOW 7.92 DX 3.23 EUR 2.14 EURIBOR-ICE 11.69 EUROSTX 3.14 FEEDCOW 1.82 GASOIL 1.55 GASOLINE 1.13 GAS_US_mini 22.76 GBP 2.92 GOLD_micro 9.14 HEATOIL 1.06 JGB-SGX-mini 31.85 JPY 1.83 LEANHOG 6.76 LIVECOW 3.54 LUMBER-new 4.65 MILK 1.75 MXP 31.16 NASDAQ_micro 3.17 NIKKEI 13.37 NZD 2.85 OAT 2.66 OATIES 3.96 OJ 0.78 PALLAD 0.60 PLAT 2.00 REDWHEAT 1.23 RICE 4.12 ROBUSTA 0.60 RUSSELL 13.12 SHATZ 4.62 SILVER-mini 1.13 SMI 1.65 SOFR 18.49 SOYBEAN 0.82 SOYMEAL 0.95 SOYOIL 0.96 SP400 0.63 SP500_micro 5.89 SUGAR11 2.61 US10 1.47 US10U 1.10 US2 2.46 US20 0.73 US30 0.48 US5 2.20 VIX 18.40 WHEAT 1.34 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.1 -0.2 0.4 0.0 0 BITCOIN -3.3 -6.3 -0.2 0.0 0 BOBL 0.0 -0.1 0.2 0.0 0 BTP 1.3 1.0 1.5 1.0 1 BUND -0.3 -0.4 -0.2 0.0 0 BUXL -0.1 -0.2 -0.1 0.0 0 CAC -0.9 -1.2 -0.7 0.0 0 CAD -5.0 -5.5 -4.6 -3.0 -3 CANOLA -7.2 -8.2 -6.3 -2.0 -2 CHF -1.6 -1.7 -1.4 -2.0 -2 COCOA 0.6 0.6 0.7 1.0 1 COFFEE -0.0 -0.0 0.0 0.0 0 COPPER 0.1 -0.2 0.5 1.0 1 CORN -9.5 -10.0 -9.0 -6.0 -6 COTTON2 -2.7 -2.8 -2.5 -4.0 -4 CRUDE_W 0.2 -0.2 0.6 0.0 0 DAX 14.5 13.5 15.5 9.0 9 DOW 6.1 5.3 6.9 0.0 0 DX 1.1 0.7 1.4 0.0 0 EUR -1.5 -1.8 -1.3 -2.0 -2 EURIBOR-ICE 8.6 7.4 9.8 0.0 0 EUROSTX -0.3 -0.6 0.0 0.0 0 FEEDCOW 0.6 0.4 0.7 3.0 3 GASOIL -0.8 -1.0 -0.7 -1.0 -1 GASOLINE 0.3 0.2 0.4 0.0 0 GAS_US_mini -31.1 -33.4 -28.8 -16.0 -16 GBP -0.0 -0.3 0.3 0.0 0 GOLD_micro 9.8 8.9 10.8 6.0 6 HEATOIL -1.0 -1.1 -0.9 -1.0 -1 JGB-SGX-mini -4.1 -7.2 -0.9 -1.0 -1 JPY -1.1 -1.3 -0.9 0.0 0 LEANHOG 9.9 9.3 10.6 7.0 7 LIVECOW 3.9 3.5 4.2 1.0 1 LUMBER-new -0.7 -1.1 -0.2 -2.0 -2 MILK 1.4 1.2 1.6 1.0 1 MXP -10.3 -13.4 -7.2 -5.0 -5 NASDAQ_micro -0.3 -0.6 -0.0 -1.0 -1 NIKKEI 5.6 4.2 6.9 6.0 6 NZD -0.6 -0.9 -0.3 0.0 0 OAT 0.9 0.7 1.2 3.0 3 OATIES 1.6 1.2 2.0 NaN 0 OJ 0.7 0.6 0.8 1.0 1 PALLAD 0.1 0.1 0.2 0.0 0 PLAT 0.1 -0.1 0.3 0.0 0 REDWHEAT -1.6 -1.7 -1.4 0.0 0 RICE -3.6 -4.0 -3.2 NaN 0 ROBUSTA 0.2 0.1 0.3 0.0 0 RUSSELL 5.2 3.9 6.6 0.0 0 SHATZ -1.8 -2.3 -1.3 NaN 0 SILVER-mini 0.9 0.8 1.0 0.0 0 SMI 1.4 1.3 1.6 0.0 0 SOFR -5.4 -7.2 -3.5 NaN 0 SOYBEAN -1.4 -1.5 -1.3 -3.0 -3 SOYMEAL -1.4 -1.5 -1.3 -2.0 -2 SOYOIL -0.5 -0.6 -0.4 0.0 0 SP400 0.3 0.3 0.4 2.0 2 SP500_micro 2.9 2.3 3.5 0.0 0 SUGAR11 0.6 0.3 0.8 3.0 3 US10 -0.7 -0.8 -0.5 0.0 0 US10U -0.6 -0.7 -0.5 0.0 0 US2 -1.4 -1.7 -1.2 NaN 0 US20 -0.3 -0.4 -0.2 0.0 0 US30 -0.3 -0.3 -0.2 -1.0 -1 US5 -0.9 -1.1 -0.7 -1.0 -1 VIX -12.7 -14.6 -10.9 -7.0 -7 WHEAT -1.7 -1.8 -1.5 -3.0 -3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.5 0.0 0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 0.2 -0.2 0.1 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.1 0.1 -0.1 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.0 -0.1 0.2 0.0 -0.0 0.3 -0.2 0.4 -0.0 BITCOIN 0.3 0.2 -0.3 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 -0.1 0.2 0.3 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 0.3 0.2 -2.7 0.0 0.1 0.0 0.1 0.3 0.1 -0.1 0.4 0.3 -0.5 -0.2 0.1 -0.1 0.0 0.1 BOBL -0.5 -0.0 0.6 -0.0 -0.0 0.0 -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 0.0 -0.0 0.0 -0.0 0.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 0.1 0.3 0.2 0.0 -0.7 -0.6 -0.0 -0.1 BTP -0.2 0.1 0.3 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.4 0.0 0.6 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.3 0.1 -2.7 0.1 -0.0 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 -0.1 0.5 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.2 -0.1 0.1 -0.1 0.1 -0.4 -0.1 -0.3 -0.2 0.0 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.3 0.0 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 -0.1 0.1 -0.1 0.0 -0.1 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.3 -0.0 -0.1 0.1 -0.0 0.1 -0.0 0.2 -0.1 0.4 0.0 -0.3 -0.7 -0.7 -0.2 -0.2 CAC -0.0 0.2 -0.4 0.1 -0.0 0.1 0.0 0.3 0.0 0.0 -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 -0.3 -0.2 -0.3 -0.6 0.2 0.2 -0.2 -0.0 CAD -0.6 -0.2 0.2 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.2 -0.1 -0.2 -0.5 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.2 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.5 -0.2 -0.4 -0.3 0.1 -0.3 -0.0 -0.1 CANOLA 0.4 0.3 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.0 -0.1 0.0 -0.3 0.1 -0.0 -0.3 -0.2 -0.3 -0.3 0.0 -0.0 0.0 -0.2 0.0 -2.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 0.1 0.3 0.3 0.1 -0.2 -0.4 0.1 -0.3 CHF -0.6 -0.3 0.6 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 0.2 -0.2 -0.0 -0.1 0.0 -0.3 -0.3 -0.3 -0.3 -0.0 0.1 -0.2 0.1 -0.2 0.6 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -1.1 -0.1 -0.2 -0.3 0.4 -0.3 -0.4 -0.6 -0.4 COCOA 0.2 0.2 0.3 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 0.1 0.1 0.0 0.3 0.1 -2.7 0.0 -0.0 0.1 0.0 0.3 0.0 1.1 0.4 0.2 0.2 0.3 0.7 0.5 0.7 0.7 COFFEE -0.4 -0.1 0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 0.4 -0.0 0.5 0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.2 -0.0 0.4 0.0 -2.7 0.0 -0.0 0.2 -0.0 0.3 0.0 0.3 0.3 -0.3 0.1 0.6 -0.2 -0.2 0.1 -0.0 COPPER -0.1 0.5 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 0.1 -0.0 -1.9 0.0 -0.0 0.0 -0.0 0.1 0.0 0.2 -0.5 0.1 0.2 -0.0 0.7 0.3 0.5 0.7 CORN -0.1 0.3 -0.4 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.2 -0.4 -0.2 -0.7 -0.0 -0.1 -0.2 -0.3 -0.3 -0.3 -0.1 -0.2 -0.2 -0.5 -0.1 -1.7 -0.1 -0.1 -0.2 -0.1 -0.4 -0.1 -1.1 -0.5 -0.6 -0.2 -0.6 0.1 -0.1 0.3 0.0 COTTON2 -0.1 0.6 0.1 0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.0 -0.4 -0.1 -0.5 0.1 0.0 -0.3 -0.1 -0.2 -0.2 0.0 -0.1 -0.0 -0.4 -0.0 -2.7 0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.8 -0.1 -0.3 0.1 0.2 -0.5 -0.4 -0.2 -0.2 CRUDE_W 0.3 -0.1 -0.5 -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 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.5 0.0 -0.3 0.1 0.1 -0.1 0.3 -0.1 0.5 DAX 0.3 0.4 -0.0 0.1 -0.0 0.2 0.0 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 0.2 0.2 0.4 0.2 1.4 0.1 0.0 0.1 0.1 0.2 0.1 -0.3 0.4 0.6 0.5 -0.0 0.6 0.2 0.1 0.1 DOW 0.1 0.4 0.3 0.1 -0.0 0.1 0.0 0.3 0.0 0.1 0.5 0.1 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -1.8 0.1 0.0 0.2 0.0 0.2 0.1 -0.4 0.5 0.3 0.6 0.6 0.4 0.1 -0.2 -0.2 DX 0.6 0.3 -0.5 -0.0 -0.1 0.0 -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 -0.1 0.2 -0.1 0.2 -2.7 0.0 0.1 -0.0 0.1 -0.0 0.1 0.7 0.5 0.6 0.6 -0.6 0.0 0.3 -0.0 0.4 EUR -0.6 -0.3 0.3 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 0.1 -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 0.0 -0.1 0.1 -0.1 -0.5 -0.3 -0.6 -0.6 0.2 -0.1 -0.7 -0.3 -0.7 EURIBOR-ICE -0.5 0.0 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 0.3 0.4 0.4 0.3 -0.4 -0.6 0.2 0.2 EUROSTX 0.1 0.1 -0.3 0.0 -0.0 0.1 0.0 0.2 0.0 -0.0 0.1 -0.1 0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.0 0.2 0.0 -0.3 0.0 -0.0 0.1 -0.0 0.2 0.0 0.2 -0.3 -0.0 -0.1 -0.5 0.2 0.1 -0.7 -0.3 FEEDCOW 0.6 0.6 -0.6 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.2 0.1 -0.5 0.2 -0.0 0.4 -0.2 0.3 0.1 0.1 -0.1 0.1 -0.4 0.2 -1.3 0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.3 0.0 0.6 0.6 -0.6 0.3 0.7 0.7 0.7 GASOIL 0.5 -0.0 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.3 -0.1 -0.1 -0.0 -0.1 0.0 0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.2 -0.3 -0.2 -0.1 -0.3 -0.0 -0.5 GASOLINE 0.5 0.1 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.0 0.0 0.0 -0.0 0.2 0.4 0.4 0.4 -0.0 -0.0 -0.0 -0.0 0.0 -2.6 0.0 -0.0 -0.0 -0.0 -0.0 0.0 1.1 0.0 -0.0 0.3 0.3 0.1 0.4 0.3 0.7 GAS_US_mini -0.3 0.2 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.2 -0.5 -0.2 2.7 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -1.1 -0.5 -0.6 -0.2 -0.1 -0.3 -0.7 -0.1 -0.6 GBP -0.6 -0.1 0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 0.4 -0.2 0.5 -0.2 0.1 0.0 -0.0 0.0 0.0 0.0 0.1 -0.2 0.3 -0.1 -0.3 0.0 -0.1 0.2 -0.1 0.2 -0.0 0.1 0.2 -0.1 0.1 0.5 0.2 -0.7 0.3 -0.7 GOLD_micro 0.0 0.6 0.6 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.2 0.5 0.2 -2.0 0.1 0.1 0.2 0.1 0.3 0.1 -0.7 0.5 0.6 0.6 0.6 0.7 -0.0 0.5 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 -0.1 -0.2 -0.0 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -2.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.5 -0.2 -0.1 0.1 -0.0 -0.2 0.1 -0.2 0.2 JGB-SGX-mini -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 -1.3 0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 -0.1 0.0 0.0 -0.0 -0.5 -0.2 -0.6 -0.0 JPY -0.6 -0.3 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 -0.2 -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 -0.2 -0.2 0.3 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.3 0.6 0.4 0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.2 -0.0 0.2 -0.2 0.2 0.2 0.1 0.4 0.4 0.4 0.2 0.1 0.2 -0.2 0.2 0.5 0.1 0.1 0.1 0.1 -0.0 0.1 1.1 0.5 0.6 0.6 0.6 -0.0 -0.2 0.2 0.0 LIVECOW 0.5 0.6 0.1 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 0.5 0.1 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 0.6 0.1 0.6 0.6 0.6 -0.1 0.7 0.2 0.7 LUMBER-new 0.3 0.3 0.2 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.3 0.1 -0.5 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.1 -0.0 0.0 -0.3 0.1 NaN 0.0 -0.0 -0.0 0.0 -0.2 0.1 -1.2 0.3 0.4 0.1 0.7 0.2 0.0 0.3 0.2 MILK -0.6 -0.0 0.6 0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.0 0.3 0.0 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 0.4 -0.4 0.1 0.6 -0.0 -0.7 0.2 -0.7 MXP 0.1 0.1 -0.6 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 -0.3 -0.1 -0.3 -0.0 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.1 -0.1 -0.2 -0.1 -2.7 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 1.1 -0.2 0.2 -0.2 -0.6 0.4 0.5 0.6 0.7 NASDAQ_micro 0.3 0.3 -0.3 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 0.4 0.2 -0.6 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.1 0.0 0.1 0.1 0.0 0.0 0.2 0.1 0.1 0.0 0.0 0.0 0.1 0.0 -0.8 -0.0 -0.0 -0.0 0.0 0.0 0.0 1.1 -0.1 0.1 -0.0 -0.4 0.5 0.1 0.5 0.1 NZD -0.6 -0.1 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 -0.0 -0.0 -0.0 -0.1 0.1 -0.3 0.1 -0.1 OAT -0.3 -0.0 0.4 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.1 -0.1 -0.0 -0.1 0.1 0.2 0.1 0.1 0.1 0.0 0.0 -0.0 -0.0 -0.0 0.5 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.8 0.1 0.4 0.1 -0.1 -0.4 -0.5 0.2 0.1 OATIES 0.0 0.6 0.5 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.0 0.0 0.0 -0.5 0.2 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.0 -0.1 0.1 -2.7 0.1 -0.0 0.1 -0.0 -0.0 0.0 0.1 -0.3 0.4 0.6 0.6 0.6 0.1 0.7 0.4 OJ -0.2 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.0 0.4 0.1 0.6 0.1 0.1 0.2 0.2 0.2 0.2 0.1 0.2 0.0 0.5 0.1 -2.7 0.0 -0.0 0.2 0.0 0.5 0.0 0.8 0.1 -0.1 0.2 0.6 0.5 0.5 0.7 0.7 PALLAD -0.1 0.5 0.5 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 0.1 0.0 0.0 -0.1 0.0 2.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.3 0.0 -0.2 0.0 0.2 -0.4 -0.7 -0.7 -0.7 PLAT 0.1 0.3 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.1 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 -0.0 0.1 0.7 0.0 0.1 0.0 0.0 -0.0 0.0 0.1 -0.0 -0.1 -0.2 -0.1 0.0 -0.3 -0.4 -0.0 REDWHEAT 0.3 0.6 -0.1 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.3 -0.1 -0.6 0.1 0.0 -0.2 -0.1 -0.2 -0.2 0.0 -0.1 -0.1 -0.4 0.0 -0.7 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -1.0 -0.4 0.2 0.4 -0.3 -0.7 -0.7 -0.7 -0.7 RICE -0.2 -0.0 -0.2 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.2 0.3 -0.2 0.5 -0.1 -0.0 -0.2 0.4 -0.0 0.3 -0.0 0.0 -0.1 0.2 -0.1 -2.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 1.1 -0.1 -0.6 -0.4 0.1 -0.7 -0.7 -0.7 -0.7 ROBUSTA -0.6 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.2 -0.1 0.3 -0.0 0.1 0.4 0.4 0.4 0.4 0.1 0.2 -0.1 0.5 -0.0 -2.7 0.0 -0.0 0.1 -0.0 0.2 -0.0 1.1 -0.1 -0.4 0.1 0.6 0.4 -0.0 0.7 0.2 RUSSELL 0.1 0.2 0.2 0.0 -0.0 0.1 0.0 0.2 0.0 0.0 0.3 0.1 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.3 0.1 -0.0 0.1 0.0 0.2 0.0 0.2 0.1 -0.0 0.2 -0.1 0.2 0.6 0.0 -0.4 -0.5 -0.7 SHATZ -0.5 0.1 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 -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 0.3 0.2 -0.7 -0.6 -0.2 -0.3 SILVER-mini 0.1 0.4 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.3 0.1 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.2 0.2 0.2 0.3 0.0 0.1 0.1 0.1 0.1 0.1 -0.1 0.4 0.4 0.2 0.2 0.2 -0.1 -0.1 0.3 SMI 0.2 -0.2 -0.3 0.1 -0.0 0.2 0.0 0.3 0.1 0.1 0.3 0.1 0.6 0.0 0.1 0.0 0.0 -0.0 -0.0 0.1 0.1 0.1 0.4 0.1 1.6 0.1 0.0 0.2 0.1 0.4 0.1 0.5 0.4 0.2 -0.5 0.1 -0.1 0.1 -0.7 -0.2 SOFR -0.6 -0.5 0.6 -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 -0.1 0.1 -0.2 0.2 -0.2 -0.8 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.4 -0.3 -0.6 -0.4 -0.2 0.2 -0.4 0.7 0.4 SOYBEAN -0.3 0.3 -0.6 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -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 -0.1 -0.3 -0.5 -0.6 -0.2 -0.6 0.1 -0.4 0.3 -0.2 SOYMEAL -0.3 0.3 -0.0 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 0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -2.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.2 -0.0 -0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.2 0.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.1 -0.1 -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 -0.3 0.1 0.2 0.1 0.0 -0.3 0.3 -0.1 SP400 0.3 0.3 0.1 0.1 -0.0 0.2 0.0 0.3 0.1 0.1 0.4 0.2 0.6 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.4 0.2 -1.8 0.1 0.0 0.2 0.1 0.2 0.1 0.0 0.3 0.2 0.5 0.6 0.2 -0.2 -0.3 -0.7 SP500_micro 0.3 0.4 -0.2 0.1 -0.0 0.2 0.0 0.3 0.1 0.1 0.5 0.2 0.7 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 0.5 0.3 0.6 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 -0.1 -0.2 0.1 0.1 0.4 0.3 0.4 0.3 0.2 0.1 -0.1 -0.0 0.1 -2.7 0.0 -0.0 0.1 -0.0 -0.0 0.0 1.0 -0.3 -0.1 0.6 0.6 -0.6 0.2 -0.5 0.4 US10 -0.6 -0.5 0.6 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.1 -0.2 0.2 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.3 -0.3 -0.5 -0.4 -0.2 0.0 -0.7 0.7 0.3 US10U -0.6 -0.4 0.5 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.2 0.2 -0.2 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 0.1 -0.2 -0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.0 -0.4 -0.6 -0.5 -0.3 0.0 -0.6 0.7 0.6 US2 -0.6 -0.3 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 -0.1 -0.4 -0.1 0.1 -0.0 -0.7 0.2 -0.4 US20 -0.6 -0.4 0.4 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.1 -0.2 -0.4 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.2 -0.4 -0.5 -0.5 -0.3 0.1 -0.4 0.7 0.7 US30 -0.6 -0.4 0.4 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 0.0 -0.2 -0.3 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.1 -0.4 -0.5 -0.5 -0.5 -0.0 -0.3 0.7 0.7 US5 -0.6 -0.5 0.6 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.0 -0.1 0.1 -0.1 0.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.6 -0.2 -0.5 -0.3 -0.1 0.1 -0.7 0.7 0.1 VIX 0.1 0.2 1.0 0.0 -0.1 0.1 -0.0 -0.1 -0.0 -0.2 -0.3 -0.1 -0.6 -0.0 -0.1 -0.0 -0.6 -0.2 -0.5 0.0 0.0 -0.1 -0.3 -0.0 NaN 0.0 -0.1 0.1 -0.1 -0.2 -0.0 NaN NaN NaN NaN NaN -0.9 -1.1 NaN NaN WHEAT 0.1 0.6 -0.1 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.2 -0.3 -0.1 -0.6 0.1 0.0 -0.2 -0.3 -0.3 -0.3 0.0 -0.1 -0.1 -0.4 -0.0 0.5 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -1.1 -0.5 -0.1 0.3 -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 -14.5 0.5 3.1 -0.5 -6.9 1.5 -7.6 1.5 -5.0 -13.4 8.6 -16.4 4.0 -10.2 4.5 -0.1 -1.9 -0.6 -1.2 0.4 4.8 -16.2 3.1 -9.6 2.4 0.4 -7.4 2.4 -7.6 1.8 -4.3 -0.0 -2.4 5.8 1.5 -1.5 8.1 -6.6 12.6 -1.2 BITCOIN 8.5 6.3 -9.3 4.6 6.6 1.2 5.6 -0.7 5.5 16.2 -3.1 18.2 9.5 18.6 6.7 -6.1 -6.8 -6.1 -6.4 7.8 2.5 20.0 9.3 18.2 -20.0 2.9 8.4 1.4 11.1 7.4 8.1 -2.1 18.2 9.2 -16.2 -7.0 2.4 -2.1 0.0 2.4 BOBL -15.2 -0.2 18.7 -0.0 -2.4 1.8 -2.3 1.4 -2.2 -1.4 5.1 -6.0 -0.9 -3.2 5.0 16.9 -7.7 4.9 -3.3 2.2 4.3 -2.4 1.3 -2.0 4.0 1.4 -1.5 2.6 -1.1 1.6 -0.8 -4.1 3.2 9.2 6.2 0.6 -20.0 -16.9 -0.9 -2.7 BTP -7.3 3.3 8.4 -0.0 -4.2 3.3 -4.1 2.5 -3.9 -0.3 16.0 2.4 17.2 10.3 15.9 7.3 4.8 5.8 4.7 11.8 12.9 6.5 11.9 8.5 -20.0 6.2 -0.5 6.6 3.6 6.0 4.6 14.4 19.1 20.0 20.0 7.7 -20.0 -12.4 3.4 9.7 BUND -13.4 -2.0 13.9 -0.0 -2.8 2.2 -2.7 1.7 -2.6 -5.0 6.1 -8.3 1.7 -5.0 5.6 -20.0 -5.0 -14.9 -9.5 1.4 4.3 -4.0 2.0 -3.1 1.3 1.2 -3.7 3.1 -2.2 2.4 -1.5 -5.3 0.7 11.0 4.5 -2.8 -20.0 -17.3 -1.5 -1.6 BUXL -8.8 -3.5 9.9 -0.0 -3.2 2.5 -3.1 1.9 -3.0 -8.0 4.3 -10.2 1.0 -8.7 4.3 0.2 -1.7 -0.4 -1.2 -1.2 1.4 -6.4 -0.5 -4.9 -2.2 -0.3 -7.9 2.0 -4.2 1.8 -2.9 3.9 -4.0 13.2 0.6 -9.1 -20.0 -20.0 -5.2 -6.0 CAC -0.9 6.5 -11.4 4.7 -0.4 5.4 3.0 7.1 4.5 1.4 -6.8 -9.1 0.3 -2.1 2.3 -5.2 -3.1 -5.5 -4.4 -1.6 -4.9 -0.4 -1.8 0.2 -6.8 -0.4 -0.8 -2.4 0.1 0.4 0.9 4.4 -11.9 -5.7 -9.3 -20.0 7.2 5.3 -4.8 -1.3 CAD -20.0 -6.7 4.8 -0.6 -9.0 2.0 -9.9 2.0 -6.5 -20.0 -4.3 -20.0 -14.0 -20.0 -7.1 -5.2 -3.8 -4.8 -4.4 -12.7 -4.5 -20.0 -5.6 -20.0 -0.9 -4.0 -10.0 -1.0 -12.0 -1.4 -9.7 -4.3 -20.0 -7.1 -13.8 -9.2 4.0 -8.2 -0.3 -4.5 CANOLA 12.1 8.8 -4.5 0.0 -1.6 -1.6 -1.0 -2.2 0.4 5.0 -2.7 1.6 -7.0 5.7 -0.2 -13.4 -11.3 -13.2 -13.0 1.3 -3.4 2.2 -7.2 3.4 -15.1 1.9 3.0 -0.5 2.9 -2.9 3.0 -20.0 6.2 9.2 8.9 3.2 -5.4 -12.1 1.7 -7.9 CHF -20.0 -8.7 20.0 -0.4 -5.9 1.3 -6.5 1.3 -4.3 -14.2 6.7 -15.9 -0.8 -13.2 4.5 -14.3 -16.0 -14.7 -15.3 -2.7 5.7 -18.5 3.7 -15.4 4.4 -0.7 -4.6 2.5 -6.5 2.0 -5.4 -20.0 -5.3 -6.3 -10.2 12.4 -8.5 -11.9 -18.2 -12.2 COCOA 4.7 4.7 9.3 0.0 -1.3 -1.3 -0.8 -1.8 0.3 0.4 1.8 2.9 3.6 4.1 3.2 20.0 20.0 20.0 20.0 4.8 6.0 4.0 10.9 5.9 -20.0 2.2 -1.1 3.5 1.4 7.0 2.3 20.0 15.9 6.4 5.0 8.3 20.0 16.2 20.0 20.0 COFFEE -13.3 -2.8 1.3 0.0 -3.0 -3.0 -1.8 -4.1 0.8 -2.1 13.5 -4.5 14.7 1.5 7.5 2.3 5.4 3.2 4.2 8.0 14.1 -2.0 16.5 1.4 -20.0 3.5 -2.6 6.7 -1.2 8.9 0.4 4.9 13.8 -8.1 4.5 20.0 -6.9 -7.4 2.8 -1.0 COPPER -2.0 14.1 -10.2 2.3 3.3 0.6 2.8 -0.3 2.7 -7.5 -2.1 -8.3 -0.0 1.9 2.4 -4.1 -3.1 -3.5 -3.0 3.2 2.5 -6.2 3.4 -0.1 -14.0 2.1 -1.6 1.7 -1.5 1.7 0.8 4.1 -20.0 1.6 4.9 -0.7 19.6 9.7 16.4 20.0 CORN -2.4 10.2 -12.9 0.0 -3.9 -3.8 -2.3 -5.3 1.0 -16.8 -15.4 -17.7 -20.0 -0.4 -9.5 -10.6 -15.0 -14.8 -16.4 -9.7 -20.0 -20.0 -20.0 -12.2 -12.5 -5.5 -9.7 -8.3 -11.4 -11.2 -7.3 -20.0 -20.0 -19.8 -7.6 -20.0 3.6 -3.7 7.8 0.3 COTTON2 -3.0 17.4 3.4 0.0 -3.2 -3.1 -1.9 -4.3 0.8 2.5 -14.1 -8.5 -14.6 5.0 3.7 -13.5 -5.3 -11.8 -8.9 0.9 -7.0 -3.4 -14.1 -0.6 -20.0 0.7 2.5 -1.8 -2.2 -3.1 -0.7 -15.7 -6.1 -10.1 2.1 5.3 -14.7 -12.3 -7.5 -7.3 CRUDE_W 10.8 -2.3 -16.7 -1.2 -3.5 -2.9 -1.9 -1.9 0.3 -11.0 -6.5 -3.2 0.3 0.6 -6.1 4.1 11.4 8.4 10.3 -5.0 -6.8 -6.6 -2.8 -2.6 -1.4 -1.2 -4.8 -3.3 -3.6 -2.0 -0.4 9.8 1.2 -8.8 4.5 3.1 -2.2 9.6 -1.6 14.4 DAX 10.2 12.2 -0.5 5.3 -0.4 6.1 3.4 8.0 5.0 10.9 15.0 15.8 17.2 17.7 17.9 -8.3 -10.0 -8.4 -9.0 19.5 15.0 17.8 15.5 20.0 10.2 6.2 2.8 4.9 6.1 6.1 7.2 -5.9 15.0 18.2 14.4 -0.6 16.7 7.2 3.8 1.8 DOW 3.8 11.9 8.7 4.7 -0.4 5.4 3.0 7.1 4.4 8.8 16.7 13.4 17.2 17.0 17.9 -9.9 -10.6 -9.7 -10.1 20.0 20.0 15.9 18.9 20.0 -13.7 6.5 1.3 6.3 4.4 6.3 5.9 -7.3 18.8 10.2 20.0 20.0 13.1 4.0 -7.0 -6.6 DX 20.0 9.8 -16.1 -0.6 -7.7 1.7 -8.5 1.7 -5.6 17.1 -6.5 20.0 3.7 18.7 -2.4 6.0 6.6 5.9 6.3 9.2 -4.8 20.0 -3.8 20.0 -20.0 2.5 7.4 -1.5 9.6 -1.2 8.1 13.9 20.0 20.0 20.0 -20.0 0.5 8.2 -0.1 11.4 EUR -20.0 -10.2 8.1 -0.6 -8.3 1.8 -9.1 1.8 -6.1 -18.7 3.9 -20.0 -2.5 -20.0 -3.2 -6.7 -7.0 -6.6 -6.8 -10.7 1.4 -20.0 2.5 -20.0 20.0 -3.5 -9.6 1.1 -11.4 1.9 -9.4 -9.1 -14.0 -19.9 -20.0 5.1 -3.5 -20.0 -10.2 -20.0 EURIBOR-ICE -15.7 0.1 20.0 -0.0 -2.0 1.6 -2.0 1.2 -1.9 2.6 6.5 -0.5 5.4 1.2 6.7 5.2 -1.4 3.3 1.0 5.9 7.9 2.6 5.9 2.3 11.3 2.4 0.7 3.1 0.9 2.4 0.9 6.0 11.3 12.2 11.6 8.0 -12.1 -18.5 6.3 4.6 EUROSTX 2.3 4.6 -10.4 4.5 -0.4 5.2 2.9 6.9 4.3 -5.5 5.1 -4.8 11.6 6.1 8.1 -3.6 -3.2 -4.0 -4.0 4.2 3.0 -0.6 7.3 3.8 -2.5 2.3 -2.0 2.2 -0.4 5.9 2.2 4.4 -12.5 -1.5 -4.6 -15.0 5.6 1.8 -20.0 -8.3 FEEDCOW 20.0 19.2 -18.1 0.0 -4.2 -4.1 -2.5 -5.7 1.1 -10.6 -8.4 9.7 -13.4 18.7 -0.1 20.0 -7.8 17.5 6.8 8.5 -12.0 8.5 -16.6 20.0 -10.0 1.9 -1.2 -3.1 1.9 -3.6 4.9 -5.7 0.2 20.0 20.0 -19.3 10.5 20.0 20.0 20.0 GASOIL 15.8 -0.8 -18.2 -1.1 -3.2 -2.7 -1.7 -1.7 0.3 -10.3 -10.7 -8.1 -2.1 -1.5 -9.2 1.1 7.7 1.9 3.2 -7.4 -9.9 -8.4 -5.5 -4.4 3.5 -3.4 -4.5 -4.6 -3.7 -2.8 -2.0 0.1 -3.5 -6.2 -8.8 -6.9 -2.6 -9.8 -0.4 -15.4 GASOLINE 15.6 2.6 -14.7 -1.1 -3.1 -2.7 -1.7 -1.7 0.3 -11.2 -6.3 -2.7 0.1 2.9 -3.0 7.5 20.0 19.8 20.0 -1.6 -4.1 -4.7 -1.2 0.4 -19.7 1.2 -4.4 -0.8 -1.6 -0.1 1.8 20.0 0.1 -1.1 10.6 8.8 3.5 12.6 8.7 20.0 GAS_US_mini -9.2 7.6 0.1 -1.6 -4.5 -3.8 -2.4 -2.4 0.4 -15.8 -17.8 -19.2 -20.0 -14.3 -17.4 -20.0 -20.0 -20.0 -20.0 -10.9 -12.8 -20.0 -20.0 -18.3 20.0 -4.3 -10.1 -4.0 -12.5 -6.2 -8.3 -20.0 -19.8 -20.0 -4.9 -1.8 -10.3 -20.0 -4.4 -18.0 GBP -20.0 -3.9 6.8 -0.6 -8.0 1.8 -8.7 1.8 -5.8 -14.7 13.4 -20.0 13.9 -14.9 5.8 0.6 -0.3 0.4 0.0 2.7 12.0 -17.0 12.6 -11.6 -2.1 1.7 -5.8 5.8 -7.0 6.1 -4.5 2.5 6.9 -2.5 3.8 15.8 5.3 -20.0 10.3 -20.0 GOLD_micro 0.5 18.4 20.0 4.2 6.1 1.1 5.2 -0.6 5.1 18.2 20.0 18.9 20.0 19.6 20.0 -13.9 -13.4 -13.2 -12.9 20.0 20.0 20.0 20.0 20.0 -14.7 7.6 8.3 7.4 7.4 7.3 7.0 -13.2 20.0 20.0 20.0 20.0 20.0 -0.4 13.6 5.3 HEATOIL 17.6 0.9 -14.5 -1.1 -3.1 -2.6 -1.7 -1.7 0.3 -10.6 -10.6 -9.2 -6.0 -2.9 -8.7 -4.6 3.3 -5.1 -3.1 -6.1 -9.1 -8.4 -6.5 -3.8 -17.6 -1.3 -4.5 -3.7 -3.1 -2.9 -0.3 -9.2 -8.6 -1.6 2.5 -0.6 -6.6 3.7 -5.8 4.7 JGB-SGX-mini -19.4 2.3 17.2 -0.0 -2.1 1.7 -2.1 1.3 -2.0 -8.0 4.6 -8.9 3.0 -7.0 4.6 9.7 16.0 12.2 14.0 0.9 3.9 -7.5 2.7 -5.4 -10.0 0.2 -2.6 1.2 -3.2 0.3 -2.4 20.0 -6.0 0.1 1.3 -1.4 -15.0 -7.3 -16.5 -0.9 JPY -20.0 -8.3 20.0 -0.2 -3.0 0.7 -3.3 0.7 -2.2 -6.6 2.2 -8.1 -3.1 -7.7 1.4 -10.1 -14.2 -11.2 -12.5 -3.1 0.8 -9.5 -2.3 -9.3 20.0 -0.7 -2.0 0.4 -2.7 -0.7 -2.6 -20.0 0.5 -7.6 -6.5 8.3 -20.0 -20.0 -20.0 -20.0 LEANHOG 8.4 20.0 11.4 0.0 -4.4 -4.3 -2.6 -6.0 1.1 20.0 -1.1 20.0 -4.7 20.0 20.0 6.4 20.0 20.0 20.0 20.0 7.5 20.0 -7.7 20.0 3.8 7.1 8.1 2.7 7.8 -1.4 8.4 20.0 20.0 20.0 20.0 20.0 -0.5 -5.2 4.9 1.3 LIVECOW 15.4 18.6 3.1 0.0 -4.6 -4.5 -2.8 -6.3 1.2 -8.0 17.8 11.2 13.5 20.0 19.1 2.1 8.6 5.1 8.5 20.0 19.6 9.1 15.5 20.0 -20.0 6.3 -0.2 4.5 2.4 4.7 6.4 12.0 5.9 20.0 20.0 18.7 -3.7 20.0 4.9 20.0 LUMBER-new 8.1 9.0 5.2 0.0 -3.2 -3.1 -1.9 -4.1 0.8 -5.0 -8.9 9.1 -11.0 13.3 13.0 -18.6 -18.0 -18.4 -18.1 5.1 -3.3 3.2 -10.5 7.2 NaN 4.0 -2.1 -0.9 1.8 -5.3 4.5 -20.0 9.5 9.4 3.1 18.2 4.0 0.4 9.1 4.4 MILK -17.1 -0.6 19.2 0.0 -2.6 -2.5 -1.5 -3.5 0.6 2.4 12.0 0.3 9.2 -0.8 7.3 20.0 -2.7 20.0 14.0 8.3 14.8 2.0 10.9 1.5 14.3 3.0 0.7 5.5 1.0 3.8 0.5 3.5 16.2 -11.4 4.4 20.0 -1.4 -20.0 5.7 -20.0 MXP 3.1 2.0 -20.0 -0.3 -4.7 1.1 -5.2 1.0 -3.5 -11.7 -10.2 -10.5 -7.4 -2.9 -8.4 11.1 13.4 10.8 11.5 -8.4 -12.1 -11.1 -8.0 -6.6 -20.0 -3.5 -6.4 -5.1 -5.1 -3.2 -3.0 20.0 -8.5 5.7 -5.7 -19.4 13.3 15.3 18.6 20.0 NASDAQ_micro 8.3 10.1 -9.5 3.7 -0.3 4.2 2.3 5.5 3.5 1.5 6.5 6.8 10.2 12.2 6.6 -8.4 -9.6 -8.2 -8.8 10.4 10.1 7.6 14.3 11.0 -20.0 4.3 1.5 4.7 2.6 6.9 3.9 -5.3 6.1 2.8 7.6 -3.6 5.6 3.7 -9.6 -2.4 NIKKEI 11.4 6.6 -20.0 2.1 -0.2 2.4 1.4 3.2 2.0 -6.1 2.9 3.2 3.8 5.9 3.5 1.4 7.7 3.6 5.6 3.5 1.8 1.7 3.4 4.5 -6.3 -0.0 -0.8 -0.7 0.4 1.3 1.1 20.0 -5.5 3.5 -0.7 -12.5 15.5 4.2 15.8 4.4 NZD -20.0 -2.4 4.3 -0.3 -4.8 1.1 -5.3 1.1 -3.5 -11.0 3.7 -12.5 2.1 -9.8 1.8 -0.4 -0.0 -0.2 -0.1 -2.2 1.9 -13.0 1.4 -9.9 0.5 -0.6 -4.3 1.0 -5.2 0.8 -3.7 2.6 -0.4 -0.9 -0.5 -3.9 3.2 -7.7 4.3 -1.6 OAT -9.0 -0.8 10.9 -0.0 -2.8 2.2 -2.8 1.7 -2.7 -2.5 2.6 -4.9 -0.7 -5.9 5.6 7.8 4.6 5.8 4.6 0.4 1.6 -1.1 -0.3 -1.8 3.6 0.6 -2.6 1.7 -0.3 1.1 -0.8 14.2 5.9 12.9 4.0 -4.2 -12.3 -13.9 6.5 4.2 OATIES 1.2 20.0 14.2 0.0 -3.6 -3.5 -2.1 -4.8 0.9 -4.1 0.2 1.8 -13.1 14.5 13.8 3.7 2.7 4.0 3.9 20.0 10.5 0.3 -4.3 13.4 -20.0 4.9 -1.7 2.7 -0.2 -0.3 3.1 2.1 -14.0 13.3 20.0 20.0 18.9 2.5 20.0 12.4 OJ -6.1 0.3 0.7 0.0 -3.0 -2.9 -1.8 -4.1 0.8 1.5 14.1 4.8 15.4 6.6 10.4 10.7 12.0 11.2 10.9 10.9 17.0 1.8 20.0 5.8 -20.0 4.6 -3.3 7.8 0.4 12.7 2.2 15.6 4.9 -3.0 5.4 20.0 14.1 13.8 20.0 20.0 PALLAD -2.8 15.1 15.2 2.0 2.8 0.5 2.4 -0.3 2.4 3.3 2.7 2.8 -5.2 3.3 4.6 -2.1 -2.0 -1.9 -1.9 4.7 2.4 3.8 -3.4 4.1 15.9 2.4 2.0 1.2 1.8 -1.1 2.1 5.9 1.8 -5.6 1.2 7.0 -12.3 -20.0 -20.0 -20.0 PLAT 2.1 8.7 -4.0 2.7 5.5 0.6 3.4 -0.5 3.2 12.5 -4.1 7.4 -3.3 8.9 1.9 -4.0 -4.4 -4.4 -4.5 3.1 0.9 8.0 -0.1 5.2 5.4 2.1 7.4 0.2 4.5 -0.4 3.2 1.6 -0.7 -1.6 -5.3 -4.3 0.8 -7.5 -10.8 -0.7 REDWHEAT 9.1 17.5 -2.4 0.0 -3.7 -3.6 -2.2 -5.0 0.9 -16.5 -12.8 -5.3 -17.6 7.8 3.8 -10.8 -7.1 -10.6 -9.5 1.7 -6.7 -8.2 -16.0 1.5 -5.2 0.6 -7.9 -3.2 -4.5 -6.6 0.6 -17.9 -15.0 7.2 10.9 -7.8 -20.0 -20.0 -20.0 -20.0 RICE -5.2 -0.4 -4.7 0.0 -4.0 -3.9 -2.4 -5.5 1.0 -18.9 11.3 -16.8 13.9 -8.0 -0.5 -11.0 20.0 -1.5 16.0 -3.2 0.9 -9.3 8.3 -6.5 -15.0 -3.2 -7.3 -0.1 -6.9 3.1 -5.5 20.0 -3.2 -20.0 -11.1 2.2 -20.0 -20.0 -20.0 -20.0 ROBUSTA -20.0 -3.6 -0.9 0.0 -1.7 -1.7 -1.0 -2.3 0.4 -8.1 8.1 -8.5 9.0 -2.1 5.0 20.0 20.0 20.0 20.0 6.9 14.3 -9.4 17.4 -3.1 -20.0 1.8 -3.2 4.5 -2.7 6.8 -1.1 20.0 -4.8 -13.8 4.3 20.0 12.3 -1.5 20.0 4.8 RUSSELL 3.3 4.9 5.5 4.3 -0.4 5.0 2.8 6.5 4.1 3.9 9.3 8.5 12.6 12.0 9.6 -6.1 -6.3 -5.8 -6.0 10.1 9.8 10.5 9.6 11.2 -0.3 5.5 0.2 6.1 4.2 6.1 5.0 -0.0 8.1 -2.6 7.5 18.8 0.4 -13.3 -14.0 -20.0 SHATZ -16.1 2.5 20.0 -0.0 -1.9 1.5 -1.8 1.1 -1.8 1.6 4.7 -3.5 -0.4 -0.9 5.0 -20.0 -20.0 -20.0 -20.0 4.1 5.4 -0.1 0.9 -0.0 6.2 1.8 0.3 2.4 -0.0 0.9 0.1 -20.0 5.3 9.0 8.9 5.3 -20.0 -16.9 -6.0 -8.0 SILVER-mini 3.0 11.3 -3.8 2.9 4.2 0.8 3.6 -0.4 3.5 13.2 10.4 10.9 9.5 12.4 11.5 -6.6 -6.5 -6.4 -6.3 11.4 9.5 20.0 9.2 14.4 1.9 4.1 10.6 3.0 7.1 2.8 5.1 -1.6 15.2 12.2 7.6 6.0 7.2 -2.0 -2.5 10.2 SMI 5.4 -6.6 -8.1 5.0 -0.4 5.8 3.2 7.6 4.8 9.9 11.8 13.1 15.7 2.2 7.6 0.9 0.2 -0.5 -0.8 4.8 8.1 12.9 13.7 8.8 11.8 4.7 4.3 8.0 7.2 11.2 5.3 10.0 17.9 7.6 -14.3 3.1 -2.9 1.9 -20.0 -5.4 SOFR -20.0 -16.1 17.5 -0.0 -3.4 2.6 -3.3 2.0 -3.2 -10.6 8.8 -13.9 8.3 -13.4 2.9 2.3 0.2 1.9 0.9 -4.9 7.2 -18.1 7.4 -17.3 -6.3 -2.3 -4.9 1.3 -5.4 2.2 -5.5 7.4 -12.6 -17.0 -13.2 -5.2 4.9 -12.5 20.0 13.2 SOYBEAN -9.2 8.9 -17.1 0.0 -2.7 -2.6 -1.6 -3.7 0.7 -12.0 -10.5 -13.7 -12.1 -6.0 -7.9 -2.2 0.7 -4.2 -3.4 -10.6 -16.5 -20.0 -20.0 -13.6 -20.0 -4.1 -6.6 -5.3 -7.8 -5.8 -5.4 -6.4 -20.0 -20.0 -5.8 -20.0 2.9 -11.7 10.0 -7.0 SOYMEAL -10.2 9.6 -0.9 0.0 -2.1 -2.0 -1.2 -2.8 0.5 -6.3 -6.7 -10.2 -9.2 -5.4 -2.7 -1.3 2.6 -1.8 -0.5 -3.6 -5.6 -8.8 -8.5 -6.7 -19.2 -1.7 -2.0 -2.2 -3.8 -2.7 -2.8 -2.1 -8.3 -7.1 -1.4 -6.4 -20.0 -20.0 -20.0 -20.0 SOYOIL 5.3 13.7 -1.1 0.0 -1.7 -1.6 -1.0 -2.3 0.4 -5.3 -4.4 -4.9 -8.0 2.3 -2.6 -1.3 1.0 0.4 0.5 0.8 -3.0 -3.5 -6.8 0.3 -18.6 0.8 -1.6 -0.8 -1.5 -2.3 0.4 -2.7 -11.1 2.8 7.4 1.8 0.7 -7.7 10.1 -2.4 SP400 8.6 10.1 4.4 4.9 -0.4 5.7 3.2 7.5 4.7 8.8 14.1 14.2 16.5 17.6 16.0 -7.1 -6.1 -6.5 -6.3 16.4 13.7 15.8 14.2 18.7 -13.6 6.6 1.0 6.5 5.1 6.6 6.4 0.0 13.4 4.9 14.7 18.2 7.1 -6.1 -9.4 -20.0 SP500_micro 8.1 12.8 -6.5 4.9 -0.4 5.7 3.1 7.4 4.7 9.8 17.7 14.1 18.4 18.0 18.3 -10.5 -11.6 -10.4 -11.0 20.0 20.0 16.7 20.0 20.0 -20.0 6.7 2.3 7.2 4.8 8.8 6.2 -8.9 18.9 10.1 19.2 10.0 10.3 3.5 -9.1 -4.2 SUGAR11 -5.8 20.0 16.5 0.0 -2.7 -2.7 -1.6 -3.7 0.7 -12.7 4.8 -10.9 -6.5 8.0 9.4 20.0 13.1 20.0 15.9 14.5 8.5 -5.7 -0.1 6.7 -20.0 3.4 -2.6 2.0 -1.5 -0.2 1.5 19.6 -11.0 -3.6 20.0 20.0 -16.9 7.3 -15.0 10.5 US10 -20.0 -14.1 18.1 -0.0 -2.5 1.9 -2.4 1.5 -2.3 -8.5 5.6 -10.4 4.0 -10.0 1.1 -5.9 -7.2 -6.5 -6.8 -4.8 3.6 -14.6 2.7 -14.0 1.7 -1.9 -3.5 0.7 -4.2 1.2 -4.2 -5.5 -10.7 -15.0 -11.1 -5.0 0.7 -20.0 20.0 8.2 US10U -20.0 -12.5 16.6 -0.0 -3.6 2.8 -3.5 2.2 -3.4 -13.0 7.5 -15.1 4.4 -14.5 1.1 -4.6 -3.5 -4.5 -4.2 -7.0 4.3 -20.0 2.8 -19.6 -1.4 -2.9 -5.7 0.8 -6.3 1.5 -6.3 -0.2 -17.4 -19.8 -16.3 -10.5 1.3 -18.6 20.0 19.2 US2 -20.0 -10.3 20.0 -0.0 -1.9 1.4 -1.8 1.1 -1.7 -4.4 3.7 -7.5 1.3 -6.7 1.6 -20.0 -20.0 -20.0 -20.0 -2.5 3.4 -10.0 1.1 -10.0 11.4 -0.7 -1.8 1.0 -2.6 0.8 -2.6 -20.0 -3.3 -13.1 -4.3 3.5 -1.4 -20.0 5.9 -11.1 US20 -20.0 -13.7 13.5 -0.0 -2.7 2.1 -2.6 1.6 -2.5 -10.8 5.0 -11.6 4.8 -11.2 -0.4 -2.6 -1.3 -2.1 -1.6 -6.1 2.6 -17.1 2.4 -15.5 -3.3 -2.4 -5.0 0.5 -5.1 1.3 -4.9 4.2 -16.4 -15.5 -13.9 -10.5 2.1 -11.3 20.0 20.0 US30 -20.0 -12.3 11.4 -0.0 -3.1 2.4 -3.0 1.8 -2.9 -11.4 4.3 -12.4 2.7 -12.3 -1.8 -2.5 -4.9 -4.1 -4.6 -6.9 1.3 -17.3 0.6 -15.9 -2.2 -2.9 -5.6 0.1 -5.6 1.0 -5.5 -1.6 -16.5 -13.9 -14.3 -14.2 -1.1 -10.0 20.0 20.0 US5 -20.0 -14.2 20.0 -0.0 -2.4 1.8 -2.3 1.4 -2.2 -7.7 5.2 -10.0 2.9 -9.4 1.3 -7.8 -10.5 -9.5 -10.1 -4.4 3.7 -13.4 2.5 -13.3 5.5 -1.5 -2.8 0.9 -3.7 1.2 -3.8 -11.1 -7.6 -15.5 -9.1 -1.9 3.0 -20.0 20.0 2.2 VIX 2.2 2.9 20.0 1.7 -3.8 1.4 -2.5 -2.4 -0.3 -12.6 -6.8 -6.7 -9.7 -0.0 -6.3 -0.9 -20.0 -6.5 -16.9 2.1 0.8 -5.0 -6.1 -0.5 NaN 1.8 -4.4 1.5 -2.9 -3.0 -0.4 NaN NaN NaN NaN NaN -17.6 -20.0 NaN NaN WHEAT 3.6 18.5 -4.1 0.0 -3.7 -3.6 -2.2 -4.9 0.9 -16.9 -11.0 -13.1 -15.4 7.0 3.6 -10.8 -14.4 -13.1 -14.2 1.2 -6.3 -14.1 -14.9 -1.8 4.0 -0.1 -10.8 -2.9 -7.7 -5.4 -1.6 -20.0 -20.0 -2.6 8.7 -8.7 -20.0 -18.0 -20.0 -15.7 End of report for caleb_strategy_v3