******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231120_204340 produced at 2023-11-20 21:39:31.423030 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.29 0.0 0.00 0.00 0.00 0.00 -3.33 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.20 0.0 0.11 -0.11 -0.11 -0.11 -32.24 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.18 0.0 0.00 0.00 0.00 0.00 -4.36 24.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 -0.13 0.0 0.77 -0.77 0.00 0.00 -4.78 29.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -1.51 13.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.16 -0.11 0.0 0.68 -0.68 -0.16 -0.16 -2.14 13.0 -3 -3 caleb_strategy_v3 LIVECOW False False 0.03 -0.08 -0.08 0.0 0.44 -0.44 -0.08 -0.08 -2.96 17.0 -3 -3 caleb_strategy_v3 GOLD_micro False False 0.01 -0.04 -0.07 0.0 0.41 -0.41 -0.04 -0.04 -9.83 56.0 -5 -5 caleb_strategy_v3 JPY False False 0.03 -0.16 -0.06 0.0 0.53 -0.53 -0.16 -0.12 -2.08 17.0 -5 -4 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.06 0.0 0.11 -0.11 -0.05 -0.05 -6.41 12.0 -5 -5 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.06 0.0 0.34 -0.34 -0.04 -0.04 -1.53 8.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.07 -0.05 0.0 0.16 -0.16 -0.07 -0.07 -3.06 11.0 -5 -5 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.06 -0.06 0.00 0.00 -4.33 5.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -5.70 2.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.04 0.0 0.21 -0.21 -0.03 0.00 -1.23 6.0 -1 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.04 0.0 0.20 -0.20 -0.02 -0.02 -10.51 51.0 -6 -6 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.04 0.0 0.19 -0.19 0.00 0.00 -0.43 2.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.16 -0.04 0.0 0.97 -0.97 -0.16 -0.16 -1.10 25.0 -4 -4 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.02 -0.04 0.0 0.00 -0.02 -0.02 -0.01 -15.93 26.0 -6 -5 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.03 0.0 0.23 -0.23 -0.03 -0.01 -9.61 68.0 -8 -4 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.09 -0.09 -0.03 -0.02 -2.52 8.0 -3 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.03 0.0 0.10 -0.10 -0.03 -0.03 -2.92 9.0 -3 -3 caleb_strategy_v3 DOW False False 0.01 -0.03 -0.03 0.0 0.43 -0.43 -0.03 -0.03 -4.19 66.0 -5 -4 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.02 0.0 0.40 -0.40 -0.01 -0.01 -2.73 48.0 -1 -1 caleb_strategy_v3 SMI False False 0.04 -0.04 -0.02 0.0 0.40 -0.40 -0.04 -0.04 -0.41 9.0 -1 -1 caleb_strategy_v3 US10 False True 0.04 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.44 17.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 -0.08 -0.02 0.0 0.08 -0.08 -0.08 -0.08 -0.59 2.0 -2 -2 caleb_strategy_v3 DX False False 0.04 0.00 -0.01 0.0 999.00 -999.00 0.00 0.00 -0.38 999999999.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 -0.04 -0.01 0.0 0.13 -0.13 -0.04 -0.04 -0.27 3.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.11 -0.11 -0.03 -0.03 -0.61 10.0 -3 -3 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -2.34 3.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.01 0.0 0.27 -0.27 0.00 0.00 -0.70 23.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.34 0.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 -0.01 0.0 0.54 -0.54 0.00 0.00 -0.18 13.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.01 0.0 0.46 -0.46 0.00 0.00 -0.21 19.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.00 0.0 0.89 -0.89 0.00 0.00 -0.09 19.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.04 9.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.04 4.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.02 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.20 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.00 0.00 0.0 0.17 -0.17 0.00 0.00 0.10 7.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.00 0.0 0.52 -0.52 0.00 0.00 -0.05 10.0 0 0 caleb_strategy_v3 US30 False True 0.04 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.05 6.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 0.00 0.0 0.17 -0.17 0.00 0.00 0.13 10.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.18 6.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.07 4.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.00 0.01 0.0 0.70 -0.70 0.00 0.00 0.24 14.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.0 0.21 -0.21 0.02 0.01 0.93 23.0 2 1 caleb_strategy_v3 NZD False False 0.02 0.02 0.01 0.0 0.46 -0.46 0.02 0.02 0.45 21.0 1 1 caleb_strategy_v3 RICE False False 0.01 0.00 0.02 0.0 0.05 -0.05 0.00 0.00 1.68 4.0 0 0 caleb_strategy_v3 CAC False False 0.03 0.20 0.02 0.0 0.35 -0.35 0.20 0.26 0.64 12.0 7 9 caleb_strategy_v3 GBP False False 0.03 0.00 0.02 0.0 0.63 -0.63 0.00 0.00 0.59 22.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.02 0.0 0.12 -0.12 0.03 0.00 0.52 4.0 1 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 0.02 0.0 0.19 -0.19 0.01 0.01 1.47 18.0 1 1 caleb_strategy_v3 BTP False False 0.05 0.09 0.03 0.0 0.46 -0.46 0.09 0.09 0.68 10.0 2 2 caleb_strategy_v3 COCOA False False 0.01 0.03 0.04 0.0 0.39 -0.39 0.03 0.04 2.80 26.0 2 3 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.07 -0.07 0.00 0.00 1.78 3.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.02 0.04 0.0 0.14 -0.14 0.02 0.01 3.71 13.0 2 1 caleb_strategy_v3 CRUDE_W False False 0.03 0.03 0.05 0.0 0.14 -0.14 0.03 0.05 1.86 5.0 1 2 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.06 0.0 0.35 -0.35 0.00 0.00 3.40 20.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.10 0.06 0.0 0.50 -0.50 0.10 0.10 1.09 10.0 2 2 caleb_strategy_v3 BITCOIN False False 0.00 0.05 0.07 0.0 0.08 -0.08 0.05 0.05 52.48 59.0 36 36 caleb_strategy_v3 DAX False False 0.01 0.00 0.07 0.0 0.37 -0.37 0.00 0.00 10.51 58.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.16 0.16 0.0 0.30 -0.30 0.16 0.16 19.13 36.0 20 20 caleb_strategy_v3 MXP False False 0.01 0.27 0.28 0.0 0.64 -0.64 0.27 0.29 26.00 60.0 25 27 caleb_strategy_v3 JGB-SGX-mini False True 0.04 -0.04 0.58 0.0 0.00 -0.04 -0.04 0.00 16.14 16.0 -1 0 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.10 0.87 0.0 0.97 -0.97 0.10 0.00 8.98 10.0 1 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 14.8 Shocked risk 34.8 Sum abs risk 50.5 Leverage 4.47 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2728473.87, 'annual_cash_vol_target': 682118.4675, 'daily_cash_vol_target': 42632.40421875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0048 0.6568 0.7346 11.7533 BITCOIN 962.1981 38345.0000 2.5093 40.1491 BOBL 0.2604 116.6500 0.2232 3.5719 BTP 0.6487 114.0600 0.5687 9.0999 BUND 0.5402 130.9200 0.4126 6.6016 BUXL 1.3411 127.8200 1.0492 16.7879 CAC 57.1414 7270.5000 0.7859 12.5750 CAD 0.0031 0.7290 0.4289 6.8624 CANOLA 8.6394 721.5000 1.1974 19.1586 CHF 0.0053 1.1340 0.4639 7.4225 COCOA 41.4578 4069.0000 1.0189 16.3019 COFFEE 3.1444 166.6500 1.8868 30.1895 COPPER 0.0374 3.8085 0.9811 15.6978 CORN 4.9889 512.2500 0.9739 15.5827 COTTON2 1.0656 81.3200 1.3104 20.9670 CRUDE_W 1.2980 74.9000 1.7330 27.7277 DAX 117.3144 15988.0000 0.7338 11.7402 DOW 228.8034 35258.0000 0.6489 10.3830 DX 0.4752 102.9900 0.4614 7.3817 EUR 0.0058 1.0958 0.5333 8.5333 EURIBOR-ICE 0.0498 97.3700 0.0511 0.8183 EUROSTX 36.7768 4363.0000 0.8429 13.4868 FEEDCOW 2.2780 231.9250 0.9822 15.7152 GASOIL 14.2497 800.5000 1.7801 28.4816 GASOLINE 0.0446 2.1997 2.0269 32.4304 GAS_US_mini 0.1028 3.0500 3.3708 53.9334 GBP 0.0079 1.2513 0.6299 10.0790 GOLD_micro 13.2026 1980.7000 0.6666 10.6650 HEATOIL 0.0486 2.7540 1.7632 28.2107 JGB-SGX-mini 0.2764 145.9500 0.1894 3.0300 JPY 0.0000 0.0068 0.6322 10.1144 LEANHOG 1.1343 74.9750 1.5129 24.2058 LIVECOW 1.6592 176.4250 0.9404 15.0469 LUMBER-new 7.7103 559.0000 1.3793 22.0690 MILK 0.2107 17.0800 1.2338 19.7411 MXP 0.0005 0.0582 0.7853 12.5645 NASDAQ_micro 141.7799 16104.2500 0.8804 14.0862 NIKKEI 310.2302 33415.0000 0.9284 14.8547 NZD 0.0047 0.6034 0.7811 12.4980 OAT 0.5654 125.9200 0.4490 7.1838 OATIES 6.5883 364.7500 1.8062 28.8998 OJ 5.8943 408.4000 1.4433 23.0924 PALLAD 21.7464 1085.5000 2.0033 32.0536 PLAT 14.8086 926.7000 1.5980 25.5679 REDWHEAT 8.9672 621.0000 1.4440 23.1038 RICE 0.1456 17.5750 0.8282 13.2507 ROBUSTA 37.6294 2507.0000 1.5010 24.0156 RUSSELL 24.2413 1811.8000 1.3380 21.4074 SHATZ 0.0775 105.0550 0.0738 1.1804 SILVER-mini 0.3394 23.9000 1.4200 22.7195 SMI 75.3697 10766.0000 0.7001 11.2011 SOFR 0.0875 96.2650 0.0909 1.4546 SOYBEAN 11.6835 1304.5000 0.8956 14.3301 SOYMEAL 6.1620 431.4000 1.4284 22.8541 SOYOIL 0.7783 51.9800 1.4973 23.9572 SP400 27.0285 2558.1000 1.0566 16.9053 SP500_micro 33.2999 4570.0000 0.7287 11.6586 SUGAR11 0.3240 26.2400 1.2349 19.7591 US10 0.5314 108.8906 0.4880 7.8081 US10U 0.7240 112.9062 0.6413 10.2602 US2 0.1264 101.4883 0.1246 1.9928 US20 1.0680 115.8750 0.9217 14.7465 US30 1.5660 120.8438 1.2959 20.7348 US5 0.3335 105.8750 0.3150 5.0403 VIX 0.5680 16.9000 3.3608 53.7729 WHEAT 7.7592 634.5000 1.2229 19.5661 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 656.80 0.73 482.47 1.00 482.47 42632.4 88.36 -0.92 -8.15 BITCOIN 38.34 2.51 96.22 1.00 96.22 42632.4 443.07 10.94 484.58 BOBL 1166.50 0.22 260.42 1.08 282.45 42632.4 150.94 -0.57 -8.61 BTP 1140.60 0.57 648.71 1.08 703.59 42632.4 60.59 3.27 19.82 BUND 1309.20 0.41 540.18 1.08 585.88 42632.4 72.77 -0.66 -4.81 BUXL 1278.20 1.05 1341.14 1.08 1454.60 42632.4 29.31 -1.24 -3.64 CAC 727.05 0.79 571.41 1.08 619.76 42632.4 68.79 2.74 18.83 CAD 728.95 0.43 312.65 1.00 312.65 42632.4 136.36 -13.50 -184.15 CANOLA 144.30 1.20 172.79 0.73 125.56 42632.4 339.53 -12.73 -432.16 CHF 1417.56 0.46 657.62 1.00 657.62 42632.4 64.83 -12.75 -82.67 COCOA 406.90 1.02 414.58 1.00 414.58 42632.4 102.83 12.71 130.69 COFFEE 624.94 1.89 1179.16 1.00 1179.16 42632.4 36.15 -4.17 -15.09 COPPER 952.12 0.98 934.14 1.00 934.14 42632.4 45.64 -2.48 -11.33 CORN 256.12 0.97 249.44 1.00 249.44 42632.4 170.91 -15.41 -263.43 COTTON2 406.60 1.31 532.82 1.00 532.82 42632.4 80.01 -17.84 -142.73 CRUDE_W 749.00 1.73 1298.00 1.00 1298.00 42632.4 32.84 5.22 17.14 DAX 159.88 0.73 117.31 1.08 127.24 42632.4 335.06 9.20 308.11 DOW 176.29 0.65 114.40 1.00 114.40 42632.4 372.66 -4.84 -180.50 DX 1029.90 0.46 475.15 1.00 475.15 42632.4 89.72 -1.61 -14.48 EUR 1369.75 0.53 730.53 1.00 730.53 42632.4 58.36 1.57 9.16 EURIBOR-ICE 2434.25 0.05 124.49 1.08 135.02 42632.4 315.74 8.34 263.37 EUROSTX 436.30 0.84 367.77 1.08 398.88 42632.4 106.88 9.33 99.67 FEEDCOW 1159.62 0.98 1138.99 1.00 1138.99 42632.4 37.43 -12.32 -46.11 GASOIL 800.50 1.78 1424.97 1.00 1424.97 42632.4 29.92 4.01 12.00 GASOLINE 923.87 2.03 1872.60 1.00 1872.60 42632.4 22.77 -0.70 -1.59 GAS_US_mini 76.25 3.37 257.03 1.00 257.03 42632.4 165.87 -8.87 -147.11 GBP 782.06 0.63 492.65 1.00 492.65 42632.4 86.54 2.61 22.62 GOLD_micro 198.07 0.67 132.03 1.00 132.03 42632.4 322.91 -8.93 -288.32 HEATOIL 1156.68 1.76 2039.42 1.00 2039.42 42632.4 20.90 -2.97 -6.20 JGB-SGX-mini 145950.00 0.19 27639.47 0.01 183.47 42632.4 232.37 6.41 149.02 JPY 846.50 0.63 535.12 1.00 535.12 42632.4 79.67 -10.08 -80.34 LEANHOG 299.90 1.51 453.71 1.00 453.71 42632.4 93.96 6.50 61.12 LIVECOW 705.70 0.94 663.66 1.00 663.66 42632.4 64.24 -13.89 -89.24 LUMBER-new 153.72 1.38 212.03 1.00 212.03 42632.4 201.06 -5.45 -109.65 MILK 341.60 1.23 421.47 1.00 421.47 42632.4 101.15 -20.00 -202.30 MXP 291.05 0.79 228.56 1.00 228.56 42632.4 186.53 9.50 177.11 NASDAQ_micro 322.08 0.88 283.56 1.00 283.56 42632.4 150.35 -2.01 -30.18 NIKKEI 33415.00 0.93 31023.02 0.01 205.93 42632.4 207.03 8.53 176.63 NZD 603.35 0.78 471.29 1.00 471.29 42632.4 90.46 1.92 17.37 OAT 1259.20 0.45 565.36 1.08 613.19 42632.4 69.53 4.61 32.04 OATIES 182.38 1.81 329.41 1.00 329.41 42632.4 129.42 -18.10 -234.23 OJ 612.60 1.44 884.15 1.00 884.15 42632.4 48.22 17.25 83.20 PALLAD 1085.50 2.00 2174.64 1.00 2174.64 42632.4 19.60 -8.86 -17.37 PLAT 463.35 1.60 740.43 1.00 740.43 42632.4 57.58 0.66 3.80 REDWHEAT 310.50 1.44 448.36 1.00 448.36 42632.4 95.09 -20.00 -190.17 RICE 351.50 0.83 291.10 1.00 291.10 42632.4 146.45 4.72 69.17 ROBUSTA 250.70 1.50 376.29 1.00 376.29 42632.4 113.30 7.01 79.47 RUSSELL 90.59 1.34 121.21 1.00 121.21 42632.4 351.73 -8.24 -289.86 SHATZ 1050.55 0.07 77.51 1.08 84.06 42632.4 507.15 -8.48 -430.01 SILVER-mini 597.50 1.42 848.43 1.00 848.43 42632.4 50.25 -1.96 -9.84 SMI 1076.60 0.70 753.70 1.13 848.10 42632.4 50.27 -2.40 -12.04 SOFR 2406.62 0.09 218.80 1.00 218.80 42632.4 194.85 -2.81 -54.76 SOYBEAN 652.25 0.90 584.18 1.00 584.18 42632.4 72.98 1.52 11.06 SOYMEAL 431.40 1.43 616.20 1.00 616.20 42632.4 69.19 3.09 21.37 SOYOIL 311.88 1.50 466.99 1.00 466.99 42632.4 91.29 -7.15 -65.26 SP400 2558.10 1.06 2702.85 1.00 2702.85 42632.4 15.77 -8.17 -12.89 SP500_micro 228.50 0.73 166.50 1.00 166.50 42632.4 256.05 -4.59 -117.48 SUGAR11 293.89 1.23 362.94 1.00 362.94 42632.4 117.47 5.87 68.99 US10 1088.91 0.49 531.39 1.00 531.39 42632.4 80.23 -4.30 -34.51 US10U 1129.06 0.64 724.03 1.00 724.03 42632.4 58.88 -2.43 -14.29 US2 2029.77 0.12 252.81 1.00 252.81 42632.4 168.63 -7.06 -119.03 US20 1158.75 0.92 1067.97 1.00 1067.97 42632.4 39.92 -0.85 -3.39 US30 1208.44 1.30 1566.04 1.00 1566.04 42632.4 27.22 -1.33 -3.62 US5 1058.75 0.32 333.53 1.00 333.53 42632.4 127.82 -6.76 -86.44 VIX 169.00 3.36 567.98 1.00 567.98 42632.4 75.06 -17.40 -130.62 WHEAT 317.25 1.22 387.96 1.00 387.96 42632.4 109.89 -20.00 -219.78 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -8.147 0.010 2.5 -0.211 BITCOIN 484.577 0.043 2.5 52.475 BOBL -8.608 0.004 2.5 -0.087 BTP 19.821 0.014 2.5 0.676 BUND -4.809 0.004 2.5 -0.049 BUXL -3.638 0.004 2.5 -0.037 CAC 18.830 0.014 2.5 0.642 CAD -184.151 0.010 2.5 -4.778 CANOLA -432.155 0.010 2.5 -10.514 CHF -82.668 0.010 2.5 -2.145 COCOA 130.694 0.009 2.5 2.799 COFFEE -15.093 0.005 2.5 -0.176 COPPER -11.333 0.043 2.5 -1.227 CORN -263.428 0.010 2.5 -6.409 COTTON2 -142.732 0.009 2.5 -3.057 CRUDE_W 17.145 0.043 2.5 1.857 DAX 308.107 0.014 2.5 10.509 DOW -180.496 0.009 2.5 -4.195 DX -14.476 0.010 2.5 -0.376 EUR 9.162 0.010 2.5 0.238 EURIBOR-ICE 263.367 0.014 2.5 8.983 EUROSTX 99.672 0.014 2.5 3.400 FEEDCOW -46.108 0.013 2.5 -1.528 GASOIL 11.997 0.017 2.5 0.520 GASOLINE -1.593 0.017 2.5 -0.069 GAS_US_mini -147.111 0.043 2.5 -15.931 GBP 22.621 0.010 2.5 0.587 GOLD_micro -288.319 0.014 2.5 -9.834 HEATOIL -6.203 0.017 2.5 -0.269 JGB-SGX-mini 149.015 0.043 2.5 16.137 JPY -80.344 0.010 2.5 -2.085 LEANHOG 61.120 0.024 2.5 3.715 LIVECOW -89.238 0.013 2.5 -2.957 LUMBER-new -109.648 0.009 2.5 -2.337 MILK -202.303 0.009 2.5 -4.333 MXP 177.114 0.059 2.5 25.996 NASDAQ_micro -30.178 0.009 2.5 -0.701 NIKKEI 176.628 0.043 2.5 19.127 NZD 17.370 0.010 2.5 0.451 OAT 32.043 0.014 2.5 1.093 OATIES -234.225 0.010 2.5 -5.699 OJ 83.195 0.009 2.5 1.782 PALLAD -17.371 0.014 2.5 -0.593 PLAT 3.797 0.014 2.5 0.130 REDWHEAT -190.171 0.005 2.5 -2.523 RICE 69.174 0.010 2.5 1.683 ROBUSTA 79.472 0.005 2.5 0.928 RUSSELL -289.858 0.013 2.5 -9.605 SHATZ -430.014 0.004 2.5 -4.361 SILVER-mini -9.837 0.014 2.5 -0.336 SMI -12.043 0.014 2.5 -0.411 SOFR -54.760 0.024 2.5 -3.328 SOYBEAN 11.060 0.004 2.5 0.103 SOYMEAL 21.372 0.004 2.5 0.199 SOYOIL -65.258 0.004 2.5 -0.608 SP400 -12.894 0.013 2.5 -0.427 SP500_micro -117.476 0.009 2.5 -2.730 SUGAR11 68.993 0.009 2.5 1.467 US10 -34.508 0.005 2.5 -0.437 US10U -14.287 0.005 2.5 -0.181 US2 -119.033 0.005 2.5 -1.508 US20 -3.390 0.005 2.5 -0.043 US30 -3.623 0.005 2.5 -0.046 US5 -86.437 0.005 2.5 -1.095 VIX -130.621 0.099 2.5 -32.244 WHEAT -219.777 0.005 2.5 -2.916 ===================== Position diags ===================== AUD 2.29 BITCOIN 47.98 BOBL 1.53 BTP 2.07 BUND 0.74 BUXL 0.30 CAC 2.35 CAD 3.54 CANOLA 8.26 CHF 1.68 COCOA 2.20 COFFEE 0.42 COPPER 4.94 CORN 4.16 COTTON2 1.71 CRUDE_W 3.56 DAX 11.43 DOW 8.66 DX 2.33 EUR 1.51 EURIBOR-ICE 10.77 EUROSTX 3.65 FEEDCOW 1.24 GASOIL 1.30 GASOLINE 0.99 GAS_US_mini 17.96 GBP 2.25 GOLD_micro 11.01 HEATOIL 0.91 JGB-SGX-mini 25.16 JPY 2.07 LEANHOG 5.71 LIVECOW 2.13 LUMBER-new 4.29 MILK 2.17 MXP 27.38 NASDAQ_micro 3.49 NIKKEI 22.42 NZD 2.35 OAT 2.37 OATIES 3.15 OJ 1.03 PALLAD 0.67 PLAT 1.96 REDWHEAT 1.26 RICE 3.56 ROBUSTA 1.32 RUSSELL 11.66 SHATZ 5.14 SILVER-mini 1.71 SMI 1.71 SOFR 11.84 SOYBEAN 0.68 SOYMEAL 0.64 SOYOIL 0.85 SP400 0.52 SP500_micro 5.95 SUGAR11 2.50 US10 1.02 US10U 0.75 US2 2.14 US20 0.51 US30 0.34 US5 1.62 VIX 18.53 WHEAT 1.46 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.2 -0.4 0.0 0.0 0 BITCOIN 52.5 47.7 57.3 36.0 36 BOBL -0.1 -0.2 0.1 0.0 0 BTP 0.7 0.5 0.9 2.0 2 BUND -0.0 -0.1 0.0 0.0 0 BUXL -0.0 -0.1 -0.0 0.0 0 CAC 0.6 0.4 0.9 7.0 7 CAD -4.8 -5.1 -4.4 0.0 0 CANOLA -10.5 -11.3 -9.7 -6.0 -6 CHF -2.1 -2.3 -2.0 -3.0 -3 COCOA 2.8 2.6 3.0 2.0 2 COFFEE -0.2 -0.2 -0.1 0.0 0 COPPER -1.2 -1.7 -0.7 -1.0 -1 CORN -6.4 -6.8 -6.0 -5.0 -5 COTTON2 -3.1 -3.2 -2.9 -5.0 -5 CRUDE_W 1.9 1.5 2.2 1.0 1 DAX 10.5 9.4 11.7 0.0 0 DOW -4.2 -5.1 -3.3 -5.0 -5 DX -0.4 -0.6 -0.1 NaN 0 EUR 0.2 0.1 0.4 0.0 0 EURIBOR-ICE 9.0 7.9 10.1 1.0 1 EUROSTX 3.4 3.0 3.8 0.0 0 FEEDCOW -1.5 -1.7 -1.4 -1.0 -1 GASOIL 0.5 0.4 0.6 1.0 1 GASOLINE -0.1 -0.2 0.0 0.0 0 GAS_US_mini -15.9 -17.7 -14.1 -6.0 -6 GBP 0.6 0.4 0.8 0.0 0 GOLD_micro -9.8 -10.9 -8.7 -5.0 -5 HEATOIL -0.3 -0.4 -0.2 -1.0 -1 JGB-SGX-mini 16.1 13.6 18.7 -1.0 -1 JPY -2.1 -2.3 -1.9 -5.0 -5 LEANHOG 3.7 3.1 4.3 2.0 2 LIVECOW -3.0 -3.2 -2.7 -3.0 -3 LUMBER-new -2.3 -2.8 -1.9 NaN 0 MILK -4.3 -4.5 -4.1 NaN 0 MXP 26.0 23.3 28.7 25.0 25 NASDAQ_micro -0.7 -1.1 -0.4 0.0 0 NIKKEI 19.1 16.9 21.4 20.0 20 NZD 0.5 0.2 0.7 1.0 1 OAT 1.1 0.9 1.3 2.0 2 OATIES -5.7 -6.0 -5.4 NaN 0 OJ 1.8 1.7 1.9 NaN 0 PALLAD -0.6 -0.7 -0.5 -2.0 -2 PLAT 0.1 -0.1 0.3 0.0 0 REDWHEAT -2.5 -2.6 -2.4 -3.0 -3 RICE 1.7 1.3 2.0 NaN 0 ROBUSTA 0.9 0.8 1.1 2.0 2 RUSSELL -9.6 -10.8 -8.4 -8.0 -8 SHATZ -4.4 -4.9 -3.8 NaN 0 SILVER-mini -0.3 -0.5 -0.2 NaN 0 SMI -0.4 -0.6 -0.2 -1.0 -1 SOFR -3.3 -4.5 -2.1 NaN 0 SOYBEAN 0.1 0.0 0.2 0.0 0 SOYMEAL 0.2 0.1 0.3 0.0 0 SOYOIL -0.6 -0.7 -0.5 -3.0 -3 SP400 -0.4 -0.5 -0.4 0.0 0 SP500_micro -2.7 -3.3 -2.1 -1.0 -1 SUGAR11 1.5 1.2 1.7 1.0 1 US10 -0.4 -0.5 -0.3 NaN 0 US10U -0.2 -0.3 -0.1 0.0 0 US2 -1.5 -1.7 -1.3 NaN 0 US20 -0.0 -0.1 0.0 0.0 0 US30 -0.0 -0.1 -0.0 0.0 0 US5 -1.1 -1.3 -0.9 -4.0 -4 VIX -32.2 -34.1 -30.4 -17.0 -17 WHEAT -2.9 -3.1 -2.8 -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 3.8 3.8 3.7 1.3 1.0 3.1 1.3 4.2 1.3 1.0 3.1 1.3 3.7 1.3 1.2 2.3 2.3 2.3 2.3 1.3 1.3 1.0 3.1 1.3 0.0 1.3 1.0 3.1 1.3 4.2 1.3 6.2 2.8 3.8 3.7 3.7 3.9 3.9 3.9 3.9 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 0.6 0.3 -0.1 0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.3 0.1 -0.3 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.1 -0.2 0.1 0.4 0.0 0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.2 0.1 0.0 -0.1 -0.3 -0.7 -0.1 0.2 BITCOIN 0.5 0.6 0.1 -0.0 0.2 -0.1 0.1 -0.0 0.0 0.1 0.5 0.2 0.5 0.2 0.2 -0.2 -0.1 -0.2 -0.1 0.2 0.2 0.2 0.2 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 -0.0 0.5 0.6 0.6 0.6 -0.1 0.7 -0.0 0.7 BOBL 0.5 0.3 0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.3 0.1 0.0 0.2 -0.0 0.1 -0.0 0.0 -0.0 0.0 -0.2 0.1 1.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 -0.2 0.2 0.2 -0.6 -0.7 -0.4 -0.6 BTP 0.6 0.3 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.0 0.1 0.0 0.2 0.2 0.1 0.1 0.0 -0.0 0.2 -0.1 0.2 -1.0 0.0 0.0 -0.0 0.1 -0.0 0.0 0.8 0.2 0.2 0.2 0.2 -0.4 -0.7 0.0 0.2 BUND 0.6 0.3 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 -0.0 -0.1 0.1 -0.0 0.0 0.0 -0.0 0.1 -0.2 0.1 0.8 0.0 0.0 -0.0 0.0 -0.1 0.0 0.4 -0.0 -0.1 0.1 0.2 -0.7 -0.7 -0.7 -0.1 BUXL 0.6 0.3 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.1 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.1 0.1 -0.3 0.1 0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 0.1 -0.1 0.0 -0.0 -0.6 -0.7 -0.4 0.5 CAC 0.6 -0.1 -0.6 -0.0 0.1 -0.1 0.1 -0.0 0.1 0.2 -0.2 0.2 0.5 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.2 0.1 0.1 -0.8 -0.0 0.1 -0.1 0.1 0.0 0.1 0.2 -0.1 -0.1 -0.2 0.2 0.2 0.1 0.4 0.3 CAD 0.3 -0.2 -0.3 0.0 0.1 -0.0 0.1 0.0 0.1 0.0 -0.4 0.1 -0.5 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.3 -0.0 0.3 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.0 -0.5 -0.6 -0.6 -0.5 -0.6 -0.7 -0.3 -0.6 CANOLA 0.5 -0.5 -0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.1 -0.0 -0.1 -0.3 0.1 -0.2 -0.1 -0.1 -0.1 0.0 -0.2 -0.0 -2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.3 -0.5 -0.5 -0.4 -0.2 0.1 0.2 CHF 0.3 0.2 -0.6 0.0 0.1 -0.0 0.1 0.0 0.1 0.1 -0.2 0.2 0.2 0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.0 -0.1 0.2 -0.0 0.1 -1.0 -0.0 0.1 -0.1 0.1 -0.0 0.0 -1.1 0.1 -0.5 0.0 -0.3 -0.7 -0.7 -0.7 -0.7 COCOA 0.6 0.6 0.2 -0.0 0.0 -0.2 0.1 -0.2 0.0 0.1 0.5 0.2 0.7 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 -0.2 0.5 0.6 0.6 0.6 0.3 -0.1 0.7 0.3 COFFEE 0.4 0.6 0.3 -0.0 0.0 -0.1 0.1 -0.2 0.0 -0.1 -0.2 0.1 -0.4 0.2 0.1 0.1 0.0 0.1 0.0 0.1 0.0 0.1 -0.2 0.2 -2.7 0.1 -0.0 0.0 0.0 -0.0 0.1 0.2 -0.1 0.6 0.6 0.5 -0.7 -0.7 -0.7 -0.4 COPPER 0.6 0.1 -0.2 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.2 -0.4 0.2 -0.2 0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.0 -0.1 0.2 -0.3 0.1 -0.9 0.0 0.2 -0.1 0.1 -0.1 0.1 0.0 0.3 0.6 0.1 0.1 -0.0 -0.7 0.2 -0.6 CORN 0.1 0.2 -0.5 -0.0 0.0 -0.1 0.1 -0.2 0.0 -0.0 -0.5 -0.0 -0.7 -0.0 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.5 -0.0 -2.6 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.1 -0.4 -0.5 0.2 -0.1 -0.2 -0.1 0.1 0.1 COTTON2 -0.6 -0.6 -0.1 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.1 -0.1 -0.0 -0.3 -0.1 -0.1 -0.2 0.0 -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 -0.1 0.0 -0.2 -0.6 -0.6 -0.0 -0.6 -0.4 -0.0 0.2 CRUDE_W -0.6 -0.4 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.1 0.1 0.3 -0.1 0.3 -0.1 0.0 0.1 0.2 0.2 0.2 -0.0 0.1 -0.0 0.3 -0.1 -0.7 -0.0 0.0 0.1 -0.0 0.2 -0.0 -1.1 0.2 0.3 0.3 0.1 0.7 0.4 0.7 0.3 DAX 0.6 -0.0 -0.6 -0.0 0.1 -0.1 0.1 -0.0 0.1 0.2 -0.2 0.2 0.4 0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 -0.1 0.2 -0.0 0.2 2.3 -0.0 0.1 -0.1 0.1 -0.0 0.1 -0.3 0.5 0.2 -0.0 -0.0 0.2 0.1 0.5 0.4 DOW 0.6 0.1 -0.5 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.2 0.2 0.1 -0.0 -0.2 -0.2 -0.2 -0.2 0.0 -0.0 0.2 -0.0 0.2 -1.2 0.0 0.1 -0.0 0.1 0.0 0.1 -0.3 0.1 0.1 -0.0 0.1 -0.6 -0.2 -0.7 -0.3 DX -0.6 -0.4 0.5 0.0 0.1 -0.0 0.1 0.0 0.0 -0.1 0.3 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.1 -0.2 0.2 -0.1 -2.7 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.8 -0.5 -0.6 -0.1 0.6 0.3 0.2 0.4 0.7 EUR 0.6 0.3 -0.4 0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.2 0.1 0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.2 -0.1 0.1 1.4 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.4 0.2 0.3 0.2 -0.1 -0.5 -0.5 -0.4 -0.2 EURIBOR-ICE 0.6 0.6 0.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.0 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 2.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.5 -0.1 0.2 0.4 0.5 -0.7 -0.7 0.2 0.7 EUROSTX 0.6 0.1 -0.5 -0.0 0.1 -0.1 0.1 -0.0 0.1 0.2 -0.2 0.2 0.4 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.2 0.1 0.2 0.6 0.0 0.1 -0.0 0.1 0.0 0.1 0.2 0.2 0.2 0.3 0.3 0.1 0.2 0.3 0.5 FEEDCOW -0.4 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 -0.1 0.2 -0.1 -0.1 -0.2 -0.4 -0.3 -0.4 -0.2 -0.1 -0.1 0.1 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -1.1 -0.5 -0.6 -0.6 -0.2 0.5 -0.0 0.7 0.3 GASOIL -0.6 -0.6 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.2 -0.1 0.3 -0.1 -0.0 0.3 0.4 0.4 0.4 -0.0 0.1 -0.1 0.3 -0.1 1.1 -0.0 0.0 0.1 -0.0 0.2 -0.0 0.0 0.1 -0.0 0.0 0.3 -0.2 -0.0 -0.4 -0.2 GASOLINE -0.2 -0.6 -0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 -0.1 0.2 -0.1 -0.1 0.0 0.4 0.3 0.4 -0.1 0.0 -0.0 0.2 -0.1 -2.7 -0.0 0.0 0.0 -0.0 0.2 -0.0 0.6 0.3 0.3 -0.2 -0.6 0.7 0.3 0.7 0.2 GAS_US_mini -0.4 0.1 0.5 -0.0 -0.0 0.1 -0.0 0.1 -0.1 -0.2 -0.4 -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 -0.1 -0.1 -1.1 -0.5 0.3 0.6 -0.6 -0.4 0.2 -0.6 0.1 GBP 0.6 0.1 -0.6 0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.2 0.1 0.2 0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 0.1 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.2 -0.1 0.1 0.0 -0.2 -0.3 0.1 -0.1 0.7 GOLD_micro 0.0 0.6 -0.2 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 -0.1 -0.0 0.1 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.0 0.0 -0.0 0.1 -0.9 0.0 0.0 0.0 0.0 0.0 0.0 -0.9 -0.3 -0.3 0.2 0.2 -0.4 -0.7 -0.4 -0.7 HEATOIL -0.6 -0.6 0.1 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 -0.1 0.2 -0.1 -0.0 0.4 0.4 0.4 0.4 -0.1 0.1 -0.1 0.3 -0.1 -2.6 -0.0 0.0 0.1 -0.0 0.2 -0.1 0.1 -0.0 -0.1 -0.0 0.2 0.3 -0.1 0.1 -0.2 JGB-SGX-mini 0.6 0.1 -0.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.1 0.0 0.0 -0.0 0.4 0.4 0.3 0.3 -0.0 -0.0 0.1 -0.0 0.1 -0.2 -0.0 0.0 -0.0 0.0 -0.0 0.0 1.1 0.4 -0.3 -0.1 -0.1 0.1 -0.7 0.5 0.5 JPY 0.4 0.3 -0.3 0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.4 0.0 -0.5 -0.1 -0.1 -0.4 -0.3 -0.4 -0.4 -0.1 -0.2 0.0 -0.5 -0.0 2.7 -0.0 0.0 -0.2 0.0 -0.2 -0.0 -1.1 -0.3 -0.6 -0.4 -0.5 -0.2 -0.7 -0.0 -0.7 LEANHOG 0.5 -0.1 0.0 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.1 0.0 0.1 -0.3 0.0 -0.0 -0.4 0.4 0.1 0.4 -0.0 -0.1 0.0 -0.3 0.0 2.1 -0.0 -0.0 -0.1 0.0 -0.3 0.0 1.1 -0.2 0.4 -0.1 -0.1 -0.3 -0.1 0.3 0.6 LIVECOW -0.5 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.0 -0.1 0.3 -0.1 -0.1 -0.2 -0.1 -0.3 -0.2 -0.1 -0.0 -0.1 0.1 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.5 -0.5 -0.6 -0.6 -0.1 -0.2 -0.6 0.0 -0.3 LUMBER-new 0.8 0.4 -0.2 -0.0 0.1 -0.2 0.1 -0.2 0.0 0.2 -0.5 0.3 -0.7 0.3 0.0 -0.3 -0.3 -0.4 -0.4 0.1 -0.1 0.2 -0.5 0.3 NaN 0.0 0.1 -0.1 0.1 -0.1 0.1 -1.2 0.5 0.8 0.7 -0.0 -0.6 -0.8 -0.3 -0.7 MILK -0.3 -0.1 -0.1 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.1 -0.3 -0.1 -0.5 -0.1 -0.1 -0.3 -0.4 -0.4 -0.4 -0.1 -0.2 -0.2 -0.5 -0.1 0.7 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -1.1 -0.5 -0.6 -0.4 0.1 -0.7 -0.7 -0.7 -0.7 MXP 0.6 -0.1 -0.6 0.0 0.1 -0.0 0.1 0.0 0.0 0.1 0.2 0.1 0.4 0.1 0.0 0.3 0.3 0.3 0.3 0.1 0.0 0.2 0.3 0.2 -2.7 0.0 0.1 0.0 0.1 0.2 0.1 1.1 -0.0 0.5 -0.0 0.2 0.3 0.4 0.6 0.7 NASDAQ_micro 0.6 -0.0 -0.5 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 0.2 0.1 0.3 0.1 0.0 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.2 0.2 0.2 -2.7 0.0 0.1 0.0 0.1 0.1 0.1 -0.3 0.3 0.2 0.4 0.3 0.2 -0.4 0.2 -0.5 NIKKEI 0.6 -0.0 -0.3 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 0.3 0.2 0.5 0.1 0.1 0.1 0.2 0.1 0.2 0.1 0.1 0.2 0.4 0.2 -1.3 0.0 0.0 0.1 0.1 0.2 0.1 1.1 -0.2 0.0 0.1 0.5 -0.2 0.1 -0.1 0.3 NZD 0.5 0.3 -0.1 0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.2 0.1 -0.1 0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.1 0.1 0.1 0.0 0.1 -0.0 0.1 -0.1 0.0 0.2 -0.2 0.0 0.1 -0.0 -0.0 -0.5 0.2 0.3 OAT 0.6 0.3 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.0 0.1 0.2 0.1 0.1 0.0 -0.0 0.1 -0.2 0.1 1.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.8 0.1 -0.0 0.2 0.2 -0.7 -0.7 -0.3 0.4 OATIES -0.5 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.2 -0.1 -0.1 -0.0 -0.2 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.5 -0.6 -0.6 -0.4 0.3 0.4 0.7 0.7 OJ -0.6 -0.2 0.6 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.4 0.1 1.1 0.5 0.6 0.6 0.6 0.2 0.3 0.7 0.7 PALLAD -0.1 -0.2 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.0 0.1 -0.3 -0.0 -0.4 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -0.0 -0.5 -0.1 0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.5 -0.6 -0.6 -0.3 -0.2 -0.3 0.2 -0.1 PLAT 0.2 0.2 -0.1 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 -0.3 0.0 -0.2 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 1.6 -0.0 0.1 -0.0 0.0 -0.0 -0.0 0.2 -0.2 -0.1 -0.1 0.1 -0.1 -0.5 0.3 -0.4 REDWHEAT -0.1 -0.6 -0.6 -0.0 0.0 -0.1 0.1 -0.2 0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.2 -0.5 -0.2 -2.5 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.5 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.4 RICE 0.4 0.1 0.2 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.2 0.4 0.2 0.3 0.2 0.1 -0.3 0.1 -0.3 -0.1 0.2 0.1 0.2 0.2 0.2 -2.7 0.1 0.1 0.1 0.2 0.1 0.1 0.3 0.5 0.6 0.6 0.6 -0.1 -0.6 0.5 -0.2 ROBUSTA 0.2 -0.1 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.3 0.1 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 0.1 0.3 0.1 -2.3 0.0 0.0 0.1 0.1 0.2 0.1 1.1 0.4 0.2 0.4 0.4 -0.2 -0.4 0.4 0.0 RUSSELL 0.6 -0.0 -0.5 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.2 0.0 -0.1 -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 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.5 -0.5 -0.7 -0.7 SHATZ 0.3 0.3 0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.0 -0.4 -0.3 -0.4 -0.4 -0.0 -0.1 0.0 -0.3 0.0 1.4 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 -1.1 -0.3 -0.4 0.2 0.2 -0.5 -0.7 -0.2 -0.7 SILVER-mini 0.2 0.2 -0.2 -0.0 0.1 -0.0 0.1 -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 -0.1 0.1 0.9 0.0 0.1 -0.0 0.1 0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.5 -0.7 -0.1 -0.7 SMI 0.5 -0.3 -0.4 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 -0.2 0.1 -0.0 -0.0 -0.1 0.1 0.0 0.1 0.0 -0.1 -0.1 0.1 -0.2 0.0 0.8 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.7 -0.3 -0.5 -0.5 0.1 -0.3 -0.3 -0.1 -0.2 SOFR 0.6 0.4 -0.2 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.2 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.0 -0.0 0.0 0.0 -0.7 -0.7 -0.2 -0.3 SOYBEAN 0.4 0.1 0.1 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 0.2 0.1 0.2 0.1 -0.0 0.4 0.4 0.3 0.3 0.1 0.0 0.1 0.0 0.1 -2.7 0.0 0.0 0.1 0.1 0.1 0.1 1.1 -0.2 0.6 0.5 0.3 -0.7 -0.4 -0.7 -0.2 SOYMEAL 0.5 0.6 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.1 0.1 0.1 0.1 0.1 0.4 0.4 0.3 0.3 0.1 0.1 0.1 0.1 0.2 -2.7 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.1 0.6 0.6 0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.2 -0.6 -0.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.0 -0.1 -0.1 -0.1 0.1 0.2 0.2 0.2 -0.1 -0.1 0.0 -0.1 -0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 1.0 0.2 -0.2 -0.6 -0.4 -0.2 0.1 0.3 0.6 SP400 0.6 -0.1 -0.6 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 -0.2 0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.1 -1.1 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.5 -0.5 -0.7 SP500_micro 0.6 -0.0 -0.6 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 0.0 0.2 0.2 0.1 -0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.0 0.2 0.1 0.2 -2.2 0.0 0.1 0.0 0.1 0.1 0.1 -0.4 0.2 0.2 0.1 0.1 -0.0 -0.4 0.0 -0.5 SUGAR11 -0.2 -0.1 0.1 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 0.5 -0.0 0.7 0.1 0.2 0.4 0.4 0.4 0.4 0.1 0.2 0.0 0.5 0.1 -2.7 0.1 0.0 0.3 0.0 0.6 0.0 1.1 -0.4 -0.2 0.3 0.6 -0.5 -0.6 0.3 0.1 US10 0.6 0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.2 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.2 0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.5 -0.0 -0.1 -0.1 -0.1 -0.7 -0.7 -0.1 0.1 US10U 0.6 0.5 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.3 0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.0 -0.1 -0.2 -0.2 -0.7 -0.7 0.1 0.5 US2 0.6 0.6 0.5 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.0 -0.3 0.0 1.0 -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.1 -0.2 -0.3 0.1 0.1 -0.6 -0.7 -0.2 -0.7 US20 0.6 0.4 -0.2 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.2 0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.0 -0.0 -0.2 -0.2 -0.4 -0.7 0.4 0.7 US30 0.6 0.4 -0.1 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.2 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.2 0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.3 0.0 -0.1 -0.2 -0.2 -0.2 -0.7 0.7 0.7 US5 0.6 0.6 0.1 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.2 0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.1 0.1 -0.2 0.0 0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.9 -0.1 -0.1 0.0 0.0 -0.7 -0.7 -0.4 -0.6 VIX -1.0 0.3 0.7 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.2 -0.6 -0.2 -0.8 -0.2 -0.2 -0.6 -0.6 -0.6 -0.6 -0.2 -0.2 -0.2 -0.8 -0.3 NaN -0.1 -0.1 -0.2 -0.1 -0.4 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.0 -0.1 -0.6 -0.0 0.0 -0.1 0.1 -0.2 0.0 -0.2 -0.5 -0.2 -0.7 -0.1 -0.2 -0.3 -0.2 -0.3 -0.2 -0.2 -0.2 -0.2 -0.5 -0.2 -0.7 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -1.0 -0.5 -0.6 -0.2 -0.6 -0.7 -0.7 -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 18.4 9.3 -3.2 0.4 8.0 -0.4 7.1 0.3 3.8 11.0 -9.5 9.9 -9.4 7.1 -5.7 -2.7 -3.0 -3.1 -3.1 0.2 -5.3 11.4 -7.6 6.7 3.0 0.3 8.1 -2.5 6.8 -3.5 4.1 -1.2 -9.2 2.5 1.4 -3.0 -9.0 -20.0 -2.1 5.5 BITCOIN 14.0 20.0 4.1 -0.6 18.1 -2.3 10.0 -1.0 3.6 14.2 17.3 19.5 14.5 20.0 20.0 -8.9 -5.3 -7.6 -6.6 20.0 19.1 20.0 8.9 20.0 -20.0 7.6 3.5 4.4 5.2 2.0 8.0 -0.5 19.7 20.0 20.0 20.0 -3.8 20.0 -0.8 20.0 BOBL 16.4 10.0 5.8 -0.3 2.2 -2.1 2.9 -2.7 2.0 3.3 -4.4 6.3 -7.8 6.9 1.8 11.6 -2.4 5.1 -1.0 1.6 -3.0 4.9 -8.3 4.9 9.1 0.8 1.2 -1.2 2.7 -3.2 2.6 -1.4 -5.5 -5.1 5.4 7.5 -17.8 -20.0 -13.2 -18.8 BTP 20.0 8.1 -6.9 -0.4 3.2 -2.9 4.0 -3.8 2.8 9.9 -2.9 12.0 -0.5 10.4 0.9 7.9 7.7 7.2 6.9 4.3 -2.7 17.1 -5.2 14.3 -7.2 1.4 4.1 -0.7 5.5 -1.2 4.6 15.2 7.7 6.9 7.2 5.9 -13.3 -20.0 0.5 6.7 BUND 20.0 8.7 0.5 -0.3 2.3 -2.1 3.0 -2.8 2.1 5.9 -5.0 8.0 -8.3 7.2 -0.2 -3.4 4.4 -1.5 1.0 1.2 -4.1 7.4 -9.2 6.4 6.0 0.6 2.2 -1.5 3.4 -2.8 2.9 7.5 -0.7 -2.9 4.0 4.9 -20.0 -20.0 -20.0 -4.3 BUXL 20.0 8.4 -3.1 -0.3 2.4 -2.2 3.1 -2.9 2.2 8.8 -6.5 9.0 -9.2 6.9 -2.9 0.4 0.8 0.5 0.8 -0.9 -7.3 9.7 -12.1 6.9 1.3 -0.2 3.0 -2.3 3.7 -3.3 2.7 4.2 5.7 -2.7 1.3 -0.9 -17.9 -20.0 -12.9 15.2 CAC 20.0 -4.4 -17.7 -0.2 8.3 -2.2 9.2 -0.9 5.4 18.5 -6.4 19.5 13.2 9.6 -6.8 -5.9 -2.9 -5.7 -4.9 -2.7 -6.8 20.0 2.8 13.5 -5.9 -0.8 10.0 -2.5 10.1 0.4 5.5 3.6 -2.3 -4.2 -5.3 5.6 7.1 4.3 13.1 9.9 CAD 8.2 -4.7 -10.1 0.6 12.5 -0.7 11.1 0.4 6.0 5.5 -14.4 5.7 -14.5 -8.6 -15.2 -2.5 -2.2 -2.5 -2.4 -10.8 -12.0 3.2 -10.4 -3.6 2.4 -5.4 2.2 -5.9 1.9 -4.6 -1.6 0.0 -20.0 -20.0 -20.0 -15.2 -18.0 -20.0 -10.0 -18.2 CANOLA 16.8 -14.2 -12.8 -1.1 2.1 -2.5 3.0 -3.0 1.5 4.1 -2.4 5.4 -3.9 -1.4 -8.0 -12.6 2.6 -11.2 -5.0 -8.2 -7.9 3.9 -5.8 -1.8 -20.0 -3.0 0.7 -2.8 -0.0 -2.4 -1.5 -0.1 -3.3 -7.8 -15.0 -14.2 -11.0 -5.5 4.2 6.4 CHF 10.7 7.1 -18.5 0.6 11.1 -0.6 9.8 0.4 5.3 15.8 -8.1 14.7 4.5 11.9 -6.3 -15.7 -14.9 -16.4 -15.8 -1.6 -5.4 18.3 -1.3 9.2 -7.8 -0.9 8.6 -2.4 7.6 -0.8 3.7 -20.0 5.8 -15.0 1.4 -10.2 -20.0 -20.0 -20.0 -20.0 COCOA 19.6 18.5 5.6 -2.5 4.7 -5.7 6.8 -6.8 3.3 15.5 20.0 20.0 20.0 20.0 20.0 -4.6 -2.9 -4.3 -3.6 20.0 20.0 20.0 20.0 20.0 -20.0 8.6 5.1 8.4 7.5 8.9 9.1 -4.4 20.0 20.0 20.0 20.0 10.1 -3.6 20.0 9.8 COFFEE 13.2 20.0 8.8 -2.3 3.6 -4.6 5.5 -5.3 2.3 -11.1 -8.5 9.6 -12.2 15.1 12.6 6.6 2.1 2.5 1.7 12.5 1.2 6.8 -7.2 16.3 -20.0 4.8 -3.4 1.6 2.3 -0.5 5.8 4.2 -5.2 17.6 20.0 15.1 -20.0 -20.0 -20.0 -12.3 COPPER 17.7 2.6 -6.6 -0.5 15.2 -2.0 8.4 -0.9 3.1 18.3 -15.1 17.6 -6.6 9.2 -10.6 -9.4 -4.5 -8.0 -6.4 -1.5 -9.1 20.0 -10.3 10.5 -6.4 0.5 19.0 -3.1 12.4 -3.8 6.4 0.5 10.9 18.8 2.7 1.7 -1.4 -20.0 6.0 -18.6 CORN 2.4 6.1 -13.9 -2.1 4.0 -4.9 5.8 -5.9 2.9 -1.4 -19.8 -2.6 -19.2 -4.5 -16.0 -6.5 0.5 -6.1 -4.3 -6.3 -16.0 -1.8 -20.0 -1.8 -19.8 -1.8 -2.4 -4.7 -1.0 -8.2 -0.8 -2.2 -16.2 -14.3 7.6 -3.1 -7.2 -3.5 3.4 4.2 COTTON2 -17.5 -20.0 -3.2 -1.7 3.3 -4.0 4.8 -4.8 2.3 13.5 -2.3 -4.1 -9.1 -10.9 -10.3 -8.4 1.4 -5.9 -2.5 -16.5 -7.7 -4.6 -3.8 -16.6 -20.0 -4.6 1.5 -1.9 -1.5 -0.0 -4.9 0.1 -7.1 -20.0 -20.0 -0.8 -19.5 -12.9 -1.3 5.1 CRUDE_W -17.6 -11.6 8.6 -2.2 -1.5 1.8 -4.2 3.3 -4.9 9.0 10.1 -6.0 7.6 -9.4 1.2 7.3 11.0 11.3 11.4 -0.0 9.0 -5.6 10.8 -7.7 -4.9 -0.3 1.3 4.6 -3.1 6.4 -4.0 -20.0 6.6 8.6 9.8 4.3 19.7 10.7 20.0 10.5 DAX 20.0 -0.5 -19.4 -0.2 7.6 -2.0 8.4 -0.8 4.9 17.4 -8.9 18.6 9.9 10.1 -7.0 -9.6 -8.2 -9.7 -9.2 -0.6 -8.3 20.0 -1.4 20.0 16.9 -0.1 11.1 -2.6 11.3 -1.0 6.3 -4.8 20.0 7.6 -0.9 -0.7 6.9 3.2 14.3 11.7 DOW 20.0 2.8 -14.2 -0.1 5.9 -1.6 6.5 -0.6 3.8 13.1 -1.3 14.7 6.8 10.7 -0.7 -9.6 -9.0 -10.5 -10.3 3.7 -2.2 20.0 -0.6 17.5 -9.1 0.7 6.7 -0.6 7.5 0.4 4.8 -6.5 4.1 3.1 -0.4 4.1 -17.7 -6.7 -20.0 -7.9 DX -20.0 -11.2 14.9 0.5 8.9 -0.5 7.9 0.3 4.2 -12.4 10.1 -12.1 -2.5 -8.7 6.9 6.5 6.0 7.0 6.6 0.0 6.7 -19.5 6.6 -11.6 -20.0 -0.0 -8.1 2.7 -7.8 3.0 -4.8 14.8 -20.0 -20.0 -2.8 20.0 9.3 7.3 13.2 20.0 EUR 20.0 10.5 -12.7 0.5 8.7 -0.5 7.8 0.3 4.2 12.3 -7.7 12.6 3.3 11.0 -3.1 -5.8 -6.8 -6.4 -6.5 2.6 -3.6 19.3 -3.7 12.9 10.2 1.1 8.0 -1.5 8.0 -1.5 5.4 -7.4 8.5 7.9 6.5 -4.4 -14.7 -16.4 -12.3 -5.4 EURIBOR-ICE 20.0 20.0 14.5 -0.3 2.1 -1.9 2.6 -2.5 1.8 4.8 0.0 7.3 -5.8 7.6 6.7 -3.5 -7.0 -5.3 -6.7 7.9 2.3 8.6 -5.1 10.5 17.1 2.3 1.5 0.7 2.6 -1.1 3.1 -9.5 -3.3 5.8 13.8 14.7 -20.0 -20.0 4.5 20.0 EUROSTX 20.0 2.0 -14.4 -0.2 7.9 -2.1 8.7 -0.8 5.1 17.8 -5.6 19.3 12.3 13.4 -4.9 -5.6 -2.7 -5.5 -4.7 3.5 -3.3 20.0 3.5 20.0 4.2 1.6 10.4 -1.1 11.5 0.5 7.7 3.8 7.3 5.2 8.1 8.9 3.9 5.6 8.1 14.4 FEEDCOW -13.6 -20.0 -20.0 -1.2 2.3 -2.8 3.3 -3.4 1.6 0.8 -2.5 -6.8 5.4 -10.4 -9.9 -11.9 -20.0 -12.7 -20.0 -18.4 -6.4 -11.4 4.9 -20.0 -1.6 -3.3 -0.4 -0.7 -2.2 1.8 -3.8 -20.0 -20.0 -20.0 -20.0 -5.6 14.4 -0.6 20.0 8.1 GASOIL -20.0 -19.9 8.6 -1.9 -1.3 1.5 -3.6 2.8 -4.2 3.5 9.1 -8.7 7.3 -11.4 -1.2 14.2 20.0 20.0 20.0 -3.8 8.1 -8.8 12.4 -12.1 8.4 -1.0 0.3 3.5 -3.1 4.7 -4.1 0.0 2.4 -0.8 1.2 10.3 -7.3 -0.3 -11.9 -5.6 GASOLINE -7.7 -20.0 -11.0 -2.1 -1.5 1.8 -4.1 3.2 -4.8 7.0 4.9 -5.6 5.5 -11.9 -10.5 0.2 20.0 16.8 20.0 -7.7 0.5 -4.8 8.1 -9.3 -20.0 -3.6 0.7 0.4 -2.3 4.5 -4.2 11.7 10.8 8.8 -6.3 -18.2 20.0 10.4 20.0 6.4 GAS_US_mini -13.0 3.7 15.9 -2.3 -1.6 1.9 -4.4 3.4 -5.2 -16.8 -14.8 -17.6 -19.6 -16.3 -15.3 -20.0 -20.0 -20.0 -20.0 -12.4 -12.1 -20.0 -20.0 -19.9 20.0 -4.0 -11.7 -1.9 -10.8 -2.1 -7.9 -20.0 -20.0 9.4 19.1 -20.0 -11.5 6.5 -17.2 2.5 GBP 20.0 4.6 -17.1 0.4 8.3 -0.5 7.4 0.3 4.0 10.5 -7.0 9.8 5.1 7.0 -6.0 -0.7 -0.8 -0.6 -0.6 -0.5 -3.6 12.4 -1.8 7.4 0.6 -0.2 6.0 -1.9 6.1 -1.4 3.8 2.9 -3.1 2.3 1.5 -6.2 -9.1 4.3 -4.0 20.0 GOLD_micro 1.5 20.0 -4.7 -0.4 12.9 -1.7 7.1 -0.7 2.6 12.5 -3.1 -1.0 3.0 10.1 8.7 -15.2 -14.8 -16.4 -16.1 6.2 0.4 5.1 -0.7 6.9 -7.0 1.8 2.6 0.3 1.6 0.3 2.0 -17.0 -13.3 -8.3 6.0 4.9 -11.7 -20.0 -10.5 -20.0 HEATOIL -20.0 -20.0 3.9 -2.1 -1.4 1.7 -4.0 3.1 -4.6 6.7 8.4 -8.7 6.6 -11.6 -3.8 18.1 20.0 20.0 20.0 -5.2 6.4 -8.7 11.1 -12.8 -19.6 -2.1 0.6 2.9 -3.3 5.6 -4.8 2.1 -0.6 -1.8 -1.2 4.7 9.4 -2.0 3.9 -7.0 JGB-SGX-mini 19.4 3.2 -15.6 -0.3 2.0 -1.9 2.6 -2.4 1.8 7.3 -4.0 7.1 1.3 3.9 -2.7 17.9 19.5 16.9 16.9 -1.8 -3.8 12.3 -1.8 5.1 -1.7 -1.1 5.1 -1.8 4.2 -1.3 1.4 20.0 15.1 -8.5 -2.9 -2.7 3.2 -20.0 15.2 16.2 JPY 13.7 10.7 -8.5 0.4 7.9 -0.4 7.0 0.3 3.7 9.6 -13.1 1.8 -12.9 -5.5 -11.8 -17.9 -16.0 -18.5 -17.6 -10.8 -16.9 4.1 -20.0 -3.7 20.0 -4.6 5.5 -6.3 1.5 -6.9 -1.9 -20.0 -11.0 -19.1 -13.2 -15.6 -6.1 -20.0 -0.9 -20.0 LEANHOG 14.8 -4.5 0.7 -1.6 3.0 -3.6 4.3 -4.3 2.1 -11.4 0.4 8.3 -7.3 0.4 -4.4 -20.0 17.8 7.2 20.0 -2.8 -7.4 1.9 -12.3 2.0 15.5 -1.2 -1.6 -5.1 1.1 -9.5 1.5 20.0 -9.0 11.0 -3.8 -1.9 -9.3 -4.2 9.5 16.6 LIVECOW -16.0 -20.0 -20.0 -1.3 2.4 -2.9 3.4 -3.4 1.7 -3.1 1.4 -8.6 7.2 -10.3 -8.8 -7.7 -4.9 -13.5 -8.8 -12.8 -2.8 -11.8 5.4 -16.5 0.1 -3.2 -1.0 -0.2 -2.9 2.4 -4.2 -8.8 -20.0 -20.0 -20.0 -3.9 -4.8 -17.2 0.5 -8.5 LUMBER-new 20.0 9.6 -5.2 -2.7 5.0 -5.9 7.3 -6.0 3.6 20.0 -16.6 20.0 -20.0 20.0 0.5 -15.0 -14.8 -15.9 -15.3 7.1 -9.0 20.0 -15.0 20.0 NaN 3.8 10.9 -1.7 11.9 -3.3 10.2 -20.0 16.9 20.0 20.0 -0.7 -14.8 -20.0 -8.2 -17.6 MILK -9.8 -2.0 -2.2 -1.7 3.1 -3.8 4.5 -4.6 2.2 -13.3 -9.7 -13.3 -13.1 -13.4 -10.9 -16.2 -20.0 -17.7 -20.0 -12.4 -14.3 -16.8 -20.0 -13.8 5.2 -4.6 -11.1 -5.8 -6.9 -8.6 -5.2 -20.0 -20.0 -20.0 -12.8 2.8 -20.0 -20.0 -20.0 -20.0 MXP 20.0 -3.7 -20.0 0.5 9.0 -0.5 7.9 0.3 4.3 12.9 6.4 13.7 11.4 9.8 1.4 12.8 16.2 13.8 14.9 5.4 4.1 20.0 11.3 14.6 -20.0 1.9 6.9 1.5 7.0 4.3 5.1 20.0 -0.2 15.6 -0.9 4.9 9.2 12.6 17.1 20.0 NASDAQ_micro 20.0 -0.3 -15.9 -0.1 5.1 -1.3 5.6 -0.5 3.3 11.4 6.7 12.6 8.6 10.6 3.2 -9.4 -8.7 -9.7 -9.6 8.0 6.0 20.0 9.2 18.7 -20.0 2.0 6.2 1.8 6.9 3.5 5.0 -5.6 11.5 5.6 11.2 7.8 5.1 -11.5 4.8 -14.2 NIKKEI 20.0 -0.8 -10.7 -0.1 6.5 -1.7 7.2 -0.7 4.2 12.7 11.9 15.6 12.6 12.9 8.1 3.7 9.8 5.7 8.0 9.6 8.5 20.0 13.2 18.5 -9.5 2.8 5.1 3.1 7.4 5.4 6.0 20.0 -8.8 0.7 3.5 16.7 -5.8 1.6 -4.4 9.2 NZD 16.4 7.8 -3.0 0.4 7.0 -0.4 6.2 0.2 3.3 8.6 -8.0 8.2 -2.4 4.0 -4.7 -0.2 0.2 -0.1 0.0 -0.2 -3.9 8.4 -5.2 4.8 0.8 0.4 5.6 -1.7 5.3 -2.3 3.3 4.2 -7.0 0.6 2.6 -0.7 -0.1 -14.7 5.6 8.1 OAT 20.0 8.9 0.1 -0.3 2.5 -2.3 3.2 -3.0 2.2 7.0 -4.8 8.9 -8.5 7.6 0.0 5.3 7.6 5.8 6.3 2.0 -3.9 10.0 -8.6 8.5 8.3 0.9 2.8 -1.2 4.1 -2.5 3.5 14.7 2.7 -0.2 4.9 5.6 -20.0 -20.0 -8.1 10.9 OATIES -14.2 -20.0 -20.0 -1.1 2.0 -2.4 2.9 -2.9 1.4 -1.9 -3.4 -7.0 -3.1 -8.8 -9.5 -18.7 -9.8 -18.6 -16.2 -18.7 -9.3 -12.6 -1.0 -18.8 -20.0 -3.2 -1.3 -1.6 -2.3 -0.2 -3.3 -20.0 -20.0 -20.0 -20.0 -11.2 8.6 11.0 20.0 20.0 OJ -20.0 -6.5 17.1 -2.0 3.8 -4.7 5.5 -5.6 2.7 18.1 19.5 16.4 20.0 15.1 17.4 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.1 10.4 8.7 8.0 9.8 6.1 20.0 20.0 20.0 20.0 20.0 5.7 9.3 19.7 20.0 PALLAD -3.5 -7.5 0.3 -0.3 7.9 -1.0 4.4 -0.5 1.6 6.9 -10.6 -0.6 -11.3 -6.8 -8.5 -1.8 -2.6 -2.4 -2.6 -13.4 -15.0 -1.8 -19.4 -10.7 4.0 -3.5 2.3 -3.1 -1.1 -2.9 -3.3 5.1 -20.0 -20.0 -20.0 -9.4 -5.6 -8.6 7.3 -3.2 PLAT 4.8 4.8 -3.3 -0.3 8.4 -1.1 4.7 -0.5 1.7 8.8 -9.3 2.5 -5.4 0.3 -4.9 -3.3 -2.8 -3.5 -3.3 -3.4 -5.6 4.4 -5.3 -0.8 11.8 -0.9 6.7 -1.3 2.2 -1.1 -0.3 4.4 -8.1 -4.6 -3.7 3.5 -1.7 -15.2 10.0 -10.9 REDWHEAT -2.8 -17.0 -20.0 -2.2 4.1 -5.0 5.9 -6.0 2.9 -19.2 -20.0 -19.1 -20.0 -20.0 -20.0 -7.0 -1.0 -5.8 -3.5 -20.0 -20.0 -20.0 -20.0 -20.0 -19.0 -8.0 -9.8 -7.6 -7.7 -5.5 -7.1 -2.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -13.2 RICE 13.0 3.8 6.3 -2.3 4.4 -5.3 6.3 -6.4 3.1 20.0 13.2 20.0 8.2 17.4 9.5 -17.3 4.5 -15.0 -3.6 16.1 10.0 20.0 7.0 20.0 -20.0 4.8 16.2 2.4 15.9 1.5 10.1 4.9 20.0 20.0 20.0 20.0 -3.3 -19.0 13.7 -6.6 ROBUSTA 6.8 -3.6 -10.4 -1.4 2.7 -3.3 3.9 -3.9 1.9 6.6 9.4 9.2 10.9 8.7 5.7 20.0 20.0 20.0 20.0 7.6 7.3 13.9 11.3 12.2 -16.9 3.2 2.6 3.0 5.3 4.3 4.9 20.0 15.1 5.6 12.5 11.2 -6.0 -12.0 11.7 0.5 RUSSELL 20.0 -0.1 -15.4 -0.1 4.2 -1.1 4.6 -0.4 2.7 9.1 -6.6 8.7 -5.7 4.3 -5.9 -5.9 -6.3 -6.9 -6.9 -3.7 -6.3 11.8 -4.9 4.8 -1.6 -1.1 4.2 -1.8 4.3 -1.0 1.8 -1.2 -3.9 -3.6 -6.6 -5.4 -15.3 -13.6 -20.0 -20.0 SHATZ 8.1 10.4 7.1 -0.3 2.2 -2.0 2.8 -2.6 1.9 0.8 -6.9 1.3 -8.5 2.6 -2.3 -20.0 -15.6 -20.0 -20.0 -1.4 -5.7 0.0 -12.4 0.5 10.4 -0.6 -1.0 -2.4 -0.0 -5.0 0.2 -20.0 -12.5 -11.8 4.7 7.2 -13.6 -20.0 -7.4 -20.0 SILVER-mini 7.7 6.1 -7.1 -0.4 11.5 -1.5 6.4 -0.7 2.3 10.9 -5.1 10.2 1.6 9.8 -1.3 -6.7 -6.5 -7.2 -7.0 -0.1 -3.7 11.9 -2.5 6.2 6.9 0.8 6.4 -0.1 6.2 0.3 3.3 -2.0 1.4 -3.5 -0.9 3.7 -16.5 -20.0 -2.9 -20.0 SMI 14.4 -9.7 -13.7 -0.1 6.5 -1.7 7.2 -0.7 4.2 14.2 -8.7 13.6 -0.3 -2.9 -8.9 5.0 2.3 3.6 2.2 -9.8 -11.3 10.6 -6.7 0.7 6.0 -3.0 4.6 -3.4 3.9 -2.6 0.4 13.8 -14.1 -16.3 -15.7 4.3 -8.7 -9.9 -4.2 -5.7 SOFR 20.0 13.6 -4.8 -0.3 1.9 -1.7 2.4 -2.2 1.7 6.4 -4.8 6.8 -4.8 5.5 -1.2 0.4 -0.6 -0.2 -0.6 -0.2 -4.1 7.2 -5.2 4.9 -1.3 -0.2 2.6 -1.8 2.9 -2.1 1.9 1.5 -0.7 -0.3 0.5 0.8 -20.0 -20.0 -5.6 -8.9 SOYBEAN 13.8 1.8 2.1 -2.0 3.8 -4.7 5.5 -5.6 2.7 1.9 8.6 9.8 5.6 11.7 -2.8 18.9 18.1 15.9 15.5 6.4 3.5 8.4 1.7 10.4 -20.0 4.3 2.2 2.4 5.0 1.4 6.4 20.0 -6.4 17.3 15.9 7.7 -20.0 -11.0 -20.0 -5.7 SOYMEAL 16.9 20.0 4.1 -1.2 2.3 -2.8 3.3 -3.3 1.6 -1.4 3.6 6.4 3.4 9.9 8.6 20.0 17.9 16.4 16.5 11.8 5.8 7.9 3.3 14.0 -20.0 3.5 0.1 2.2 2.3 1.8 4.0 20.0 3.9 20.0 20.0 14.7 -20.0 -20.0 -20.0 -20.0 SOYOIL 6.4 -20.0 -16.2 -1.1 2.2 -2.6 3.1 -3.1 1.5 7.3 -2.0 4.6 -3.2 -7.0 -9.3 4.4 10.6 8.3 9.6 -12.5 -9.4 3.5 -4.2 -5.8 -20.0 -3.0 2.0 -2.4 0.9 -1.1 -1.4 18.2 7.7 -7.3 -20.0 -13.2 -6.8 2.7 9.0 16.5 SP400 20.0 -2.1 -19.3 -0.1 4.5 -1.2 5.0 -0.5 2.9 9.7 -5.7 9.6 -1.5 5.6 -5.0 -5.0 -5.1 -5.3 -5.3 -3.1 -5.9 14.5 -3.6 6.6 -8.2 -0.8 4.9 -1.6 5.0 -0.6 2.4 1.2 -1.7 -4.0 -5.3 -3.6 -9.4 -13.7 -15.1 -20.0 SP500_micro 20.0 -0.8 -19.0 -0.1 5.8 -1.5 6.4 -0.6 3.8 13.1 1.6 14.5 6.7 10.6 -0.1 -10.0 -9.9 -10.8 -10.8 4.6 0.4 20.0 3.3 18.9 -16.7 1.1 7.1 0.3 7.7 1.7 5.0 -7.7 9.8 5.3 3.9 2.3 -0.3 -10.9 1.0 -15.2 SUGAR11 -6.0 -2.1 2.0 -2.0 3.8 -4.7 5.6 -5.6 2.7 0.1 18.7 -0.2 19.1 9.9 16.9 20.0 19.4 20.0 20.0 12.6 20.0 0.9 20.0 4.8 -20.0 5.6 3.2 10.1 0.5 16.6 2.1 20.0 -18.0 -5.1 8.0 20.0 -14.9 -16.9 9.7 4.3 US10 20.0 16.7 -0.7 -0.2 1.8 -1.6 2.3 -2.1 1.6 6.2 -5.7 6.4 -6.5 4.3 -2.7 -4.9 -6.9 -6.3 -7.2 -1.8 -6.2 6.2 -8.0 3.6 1.1 -0.8 2.1 -2.4 2.4 -2.9 1.3 -9.8 -0.2 -2.3 -2.6 -2.3 -20.0 -20.0 -3.2 1.5 US10U 20.0 14.5 -3.5 -0.3 2.1 -2.0 2.7 -2.6 1.9 7.6 -6.9 7.8 -7.8 4.5 -3.8 -1.3 -0.6 -0.4 -0.7 -2.8 -8.1 7.6 -9.9 4.2 -1.7 -1.2 2.4 -3.0 2.7 -3.3 1.4 1.4 0.5 -3.2 -4.7 -5.0 -20.0 -20.0 4.0 15.2 US2 17.0 20.0 16.6 -0.3 1.9 -1.8 2.5 -2.3 1.7 2.9 -7.2 4.0 -7.6 3.7 -2.8 -20.0 -20.0 -20.0 -20.0 -1.6 -6.9 3.0 -11.6 2.1 7.7 -0.3 1.1 -2.7 2.0 -5.0 1.6 -20.0 -6.3 -7.9 3.4 4.0 -17.3 -20.0 -7.4 -20.0 US20 20.0 13.6 -6.1 -0.2 1.7 -1.6 2.2 -2.0 1.5 6.0 -5.3 6.2 -5.8 3.2 -3.1 -0.1 -1.5 -0.9 -1.4 -2.5 -7.1 6.7 -8.2 3.9 -1.7 -1.0 1.7 -2.4 1.9 -2.5 1.0 0.0 1.6 -1.1 -5.4 -6.8 -11.4 -20.0 12.9 20.0 US30 20.0 10.8 -3.8 -0.2 1.7 -1.6 2.2 -2.1 1.5 6.1 -5.6 6.2 -6.2 2.8 -3.6 -3.7 -4.0 -4.7 -4.8 -2.9 -7.1 6.2 -8.5 3.2 -1.2 -1.2 1.9 -2.6 2.0 -2.7 0.9 -4.9 1.5 -3.0 -5.5 -6.3 -6.8 -20.0 20.0 20.0 US5 20.0 18.0 3.3 -0.3 1.9 -1.7 2.4 -2.2 1.7 5.2 -6.2 6.1 -6.8 4.6 -2.5 -9.2 -10.4 -10.8 -11.4 -1.2 -5.7 5.6 -8.3 3.6 3.0 -0.5 2.1 -2.4 2.7 -3.3 1.7 -16.4 -2.2 -3.2 0.5 0.8 -20.0 -20.0 -12.9 -17.7 VIX -20.0 5.6 14.4 -2.7 -4.0 -3.3 -5.2 -5.4 -4.4 -12.6 -12.8 -13.9 -13.7 -12.8 -9.3 -20.0 -20.0 -20.0 -20.0 -10.6 -11.5 -16.8 -17.4 -15.7 NaN -3.1 -4.5 -3.7 -5.9 -6.4 -5.1 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -1.2 -3.3 -20.0 -2.2 4.2 -5.1 6.1 -6.1 3.0 -19.8 -20.0 -18.9 -20.0 -12.5 -20.0 -13.5 -10.7 -12.5 -11.8 -19.1 -20.0 -20.0 -20.0 -15.7 -5.2 -6.9 -15.6 -8.3 -12.0 -9.2 -7.7 -18.3 -20.0 -20.0 -5.8 -19.7 -20.0 -20.0 -20.0 -16.2 End of report for caleb_strategy_v3