******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231121_204344 produced at 2023-11-21 21:39:29.639415 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.28 0.0 0.00 0.00 0.00 0.00 -3.14 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.10 -0.21 0.0 0.10 -0.10 -0.10 -0.10 -33.50 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.20 0.0 0.00 0.00 0.00 0.00 -4.61 24.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 -0.13 0.0 0.78 -0.78 0.00 0.00 -4.67 29.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.16 -0.11 0.0 0.68 -0.68 -0.16 -0.16 -2.11 13.0 -3 -3 caleb_strategy_v3 US2 False True 0.07 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -1.53 13.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 -0.08 -0.08 0.0 0.44 -0.44 -0.08 -0.08 -3.01 17.0 -3 -3 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.07 0.0 0.34 -0.34 -0.04 -0.04 -1.55 8.0 -1 -1 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -4.43 5.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.06 0.0 0.11 -0.11 -0.05 -0.05 -6.24 12.0 -5 -5 caleb_strategy_v3 JPY False False 0.03 -0.12 -0.06 0.0 0.53 -0.53 -0.12 -0.09 -2.04 17.0 -4 -3 caleb_strategy_v3 GOLD_micro False False 0.01 -0.04 -0.06 0.0 0.42 -0.42 -0.04 -0.04 -8.71 56.0 -5 -5 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.01 -0.05 0.0 0.00 -0.01 -0.01 -0.01 -17.92 26.0 -5 -5 caleb_strategy_v3 COTTON2 False False 0.01 -0.07 -0.05 0.0 0.16 -0.16 -0.07 -0.07 -3.14 11.0 -5 -5 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.04 0.0 0.19 -0.19 0.00 0.00 -0.42 2.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.04 0.0 0.20 -0.20 -0.02 -0.02 -10.05 51.0 -6 -6 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -5.28 2.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.16 -0.04 0.0 0.97 -0.97 -0.16 -0.12 -1.11 25.0 -4 -3 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -2.52 8.0 -2 -2 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.03 0.0 0.22 -0.22 -0.01 -0.01 -9.63 68.0 -4 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.11 -0.11 -0.04 -0.04 -2.87 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 -4.14 66.0 -4 -4 caleb_strategy_v3 COPPER False False 0.04 0.00 -0.03 0.0 0.21 -0.21 0.00 0.00 -0.92 6.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 -0.08 -0.02 0.0 0.08 -0.08 -0.08 -0.08 -0.54 2.0 -2 -2 caleb_strategy_v3 DX False False 0.04 0.00 -0.02 0.0 999.00 -999.00 0.00 0.00 -0.48 999999999.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.02 0.0 0.68 -0.68 0.00 0.00 -0.45 17.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.02 0.0 0.40 -0.40 -0.01 -0.01 -2.53 48.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.04 -0.01 0.0 0.12 -0.12 -0.04 -0.04 -0.49 10.0 -3 -3 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.26 0.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.14 -0.14 0.00 0.00 -0.23 6.0 0 0 caleb_strategy_v3 SMI False False 0.04 -0.04 -0.01 0.0 0.40 -0.40 -0.04 -0.04 -0.27 9.0 -1 -1 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 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -2.46 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 -0.61 23.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.00 0.0 0.53 -0.53 0.00 0.00 -0.05 10.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.00 0.00 0.0 0.17 -0.17 0.00 0.00 0.17 7.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.00 0.0 0.46 -0.46 0.00 0.00 -0.13 19.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.21 -0.21 0.00 0.00 -0.04 4.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 -0.04 -0.00 0.0 0.13 -0.13 -0.04 -0.04 -0.10 3.0 -1 -1 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 GASOLINE False False 0.03 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.00 4.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.00 -0.00 0.0 0.38 -0.38 0.00 0.00 -0.05 9.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.27 -0.27 0.00 0.00 -0.05 6.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.02 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.15 9.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.21 -0.21 0.01 0.01 0.85 23.0 1 1 caleb_strategy_v3 PLAT False False 0.02 0.00 0.01 0.0 0.17 -0.17 0.00 0.00 0.36 10.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.00 0.01 0.0 0.70 -0.70 0.00 0.00 0.23 14.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.02 0.01 0.0 0.47 -0.47 0.02 0.02 0.55 21.0 1 1 caleb_strategy_v3 CAC False False 0.03 0.26 0.02 0.0 0.35 -0.35 0.26 0.29 0.70 12.0 9 10 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.02 0.0 0.12 -0.12 0.00 0.00 0.53 4.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 0.02 0.0 0.63 -0.63 0.00 0.00 0.71 22.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 0.02 0.0 0.20 -0.20 0.01 0.01 1.86 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 0.75 10.0 2 2 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.03 0.0 0.14 -0.14 0.01 0.01 2.43 13.0 1 1 caleb_strategy_v3 RICE False False 0.01 0.00 0.03 0.0 0.05 -0.05 0.00 0.00 2.04 4.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.05 0.04 0.0 0.40 -0.40 0.05 0.05 2.66 26.0 3 3 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.07 -0.07 0.00 0.00 1.68 3.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.10 0.05 0.0 0.51 -0.51 0.10 0.10 1.08 10.0 2 2 caleb_strategy_v3 BITCOIN False False 0.00 0.05 0.06 0.0 0.08 -0.08 0.05 0.05 46.67 59.0 36 36 caleb_strategy_v3 CRUDE_W False False 0.03 0.06 0.06 0.0 0.14 -0.14 0.06 0.06 2.16 5.0 2 2 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.06 0.0 0.35 -0.35 0.00 0.00 3.49 20.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.07 0.0 0.37 -0.37 0.00 0.00 11.14 58.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.17 0.15 0.0 0.30 -0.30 0.17 0.18 18.01 36.0 20 22 caleb_strategy_v3 MXP False False 0.01 0.29 0.27 0.0 0.64 -0.64 0.29 0.29 25.55 60.0 27 27 caleb_strategy_v3 JGB-SGX-mini False True 0.04 0.00 0.67 0.0 0.00 0.00 0.00 0.00 18.37 16.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.00 0.87 0.0 0.98 -0.98 0.00 0.00 8.86 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 15.1 Shocked risk 35.3 Sum abs risk 50.0 Leverage 4.52 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2721602.62, 'annual_cash_vol_target': 680400.655, 'daily_cash_vol_target': 42525.0409375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0047 0.6564 0.7199 11.5191 BITCOIN 946.3032 37675.0000 2.5118 40.1881 BOBL 0.2602 116.8200 0.2227 3.5638 BTP 0.6373 114.1500 0.5583 8.9329 BUND 0.5388 131.1100 0.4110 6.5758 BUXL 1.3216 127.8400 1.0338 16.5409 CAC 56.1173 7246.5000 0.7744 12.3905 CAD 0.0031 0.7302 0.4229 6.7661 CANOLA 8.4162 726.3000 1.1588 18.5405 CHF 0.0052 1.1348 0.4554 7.2870 COCOA 43.4515 4135.0000 1.0508 16.8132 COFFEE 3.1772 168.2500 1.8884 30.2145 COPPER 0.0367 3.8460 0.9544 15.2698 CORN 4.9224 514.5000 0.9567 15.3076 COTTON2 1.0532 80.5200 1.3080 20.9283 CRUDE_W 1.2655 74.9900 1.6876 27.0012 DAX 115.4620 15962.0000 0.7234 11.5737 DOW 224.4317 35156.0000 0.6384 10.2142 DX 0.4643 103.1700 0.4501 7.2010 EUR 0.0058 1.0928 0.5293 8.4681 EURIBOR-ICE 0.0498 97.4100 0.0511 0.8175 EUROSTX 36.2485 4347.0000 0.8339 13.3420 FEEDCOW 2.2249 231.2500 0.9621 15.3937 GASOIL 15.1284 816.0000 1.8540 29.6635 GASOLINE 0.0438 2.2290 1.9632 31.4116 GAS_US_mini 0.1012 3.0000 3.3739 53.9829 GBP 0.0077 1.2541 0.6179 9.8867 GOLD_micro 13.4622 2022.2000 0.6657 10.6515 HEATOIL 0.0488 2.8161 1.7337 27.7388 JGB-SGX-mini 0.2730 146.2100 0.1867 2.9878 JPY 0.0000 0.0068 0.6198 9.9162 LEANHOG 1.2220 72.2250 1.6920 27.0718 LIVECOW 1.6214 176.0750 0.9208 14.7333 LUMBER-new 7.6292 554.0000 1.3771 22.0337 MILK 0.2058 17.0500 1.2069 19.3109 MXP 0.0005 0.0579 0.7885 12.6160 NASDAQ_micro 140.3697 15987.0000 0.8780 14.0484 NIKKEI 308.4494 33195.0000 0.9292 14.8673 NZD 0.0046 0.6049 0.7673 12.2773 OAT 0.5610 126.0400 0.4451 7.1218 OATIES 6.7670 374.5000 1.8070 28.9113 OJ 6.0672 399.9000 1.5172 24.2747 PALLAD 21.4827 1091.5000 1.9682 31.4908 PLAT 14.8504 944.9000 1.5716 25.1462 REDWHEAT 8.9507 626.7500 1.4281 22.8499 RICE 0.1433 17.6900 0.8103 12.9652 ROBUSTA 37.1499 2484.0000 1.4956 23.9291 RUSSELL 24.0680 1792.0000 1.3431 21.4893 SHATZ 0.0767 105.0950 0.0730 1.1680 SILVER-mini 0.3347 24.1375 1.3867 22.1875 SMI 74.5647 10808.0000 0.6899 11.0384 SOFR 0.0857 96.2850 0.0890 1.4236 SOYBEAN 11.5173 1312.0000 0.8778 14.0455 SOYMEAL 6.0499 429.6000 1.4083 22.5322 SOYOIL 0.7850 53.0700 1.4792 23.6667 SP400 26.4983 2542.7000 1.0421 16.6741 SP500_micro 32.5023 4551.5000 0.7141 11.4256 SUGAR11 0.3188 26.4300 1.2061 19.2973 US10 0.5204 109.3438 0.4760 7.6153 US10U 0.7091 112.9531 0.6278 10.0449 US2 0.1242 101.5312 0.1223 1.9567 US20 1.0445 115.8750 0.9014 14.4228 US30 1.5349 121.5938 1.2623 20.1970 US5 0.3268 105.9453 0.3085 4.9358 VIX 0.5592 16.7500 3.3383 53.4133 WHEAT 7.8502 642.5000 1.2218 19.5491 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 656.40 0.72 472.57 1.00 472.57 42525.04 89.99 -0.56 -5.00 BITCOIN 37.68 2.51 94.63 1.00 94.63 42525.04 449.38 9.59 430.99 BOBL 1168.20 0.22 260.20 1.09 284.06 42525.04 149.70 -0.57 -8.52 BTP 1141.50 0.56 637.30 1.09 695.75 42525.04 61.12 3.60 22.02 BUND 1311.10 0.41 538.84 1.09 588.25 42525.04 72.29 -0.74 -5.37 BUXL 1278.40 1.03 1321.62 1.09 1442.81 42525.04 29.47 -1.42 -4.20 CAC 724.65 0.77 561.17 1.09 612.63 42525.04 69.41 2.97 20.60 CAD 730.25 0.42 308.81 1.00 308.81 42525.04 137.71 -13.08 -180.17 CANOLA 145.26 1.16 168.32 0.73 122.81 42525.04 346.27 -11.93 -413.20 CHF 1418.50 0.46 646.04 1.00 646.04 42525.04 65.82 -12.37 -81.42 COCOA 413.50 1.05 434.52 1.00 434.52 42525.04 97.87 12.68 124.13 COFFEE 630.94 1.89 1191.46 1.00 1191.46 42525.04 35.69 -5.53 -19.75 COPPER 961.50 0.95 917.62 1.00 917.62 42525.04 46.34 -1.84 -8.51 CORN 257.25 0.96 246.12 1.00 246.12 42525.04 172.78 -14.84 -256.47 COTTON2 402.60 1.31 526.61 1.00 526.61 42525.04 80.75 -18.17 -146.71 CRUDE_W 749.90 1.69 1265.51 1.00 1265.51 42525.04 33.60 5.92 19.90 DAX 159.62 0.72 115.46 1.09 126.05 42525.04 337.37 9.68 326.62 DOW 175.78 0.64 112.22 1.00 112.22 42525.04 378.96 -4.70 -178.16 DX 1031.70 0.45 464.33 1.00 464.33 42525.04 91.58 -2.04 -18.69 EUR 1366.00 0.53 722.96 1.00 722.96 42525.04 58.82 1.49 8.74 EURIBOR-ICE 2435.25 0.05 124.42 1.09 135.83 42525.04 313.08 8.30 259.81 EUROSTX 434.70 0.83 362.48 1.09 395.72 42525.04 107.46 9.53 102.37 FEEDCOW 1156.25 0.96 1112.44 1.00 1112.44 42525.04 38.23 -12.26 -46.88 GASOIL 816.00 1.85 1512.84 1.00 1512.84 42525.04 28.11 4.32 12.14 GASOLINE 936.18 1.96 1837.93 1.00 1837.93 42525.04 23.14 -0.00 -0.00 GAS_US_mini 75.00 3.37 253.04 1.00 253.04 42525.04 168.05 -9.85 -165.47 GBP 783.81 0.62 484.33 1.00 484.33 42525.04 87.80 3.11 27.31 GOLD_micro 202.22 0.67 134.62 1.00 134.62 42525.04 315.88 -8.08 -255.24 HEATOIL 1182.76 1.73 2050.52 1.00 2050.52 42525.04 20.74 -1.16 -2.40 JGB-SGX-mini 146210.00 0.19 27302.71 0.01 183.03 42525.04 232.35 7.30 169.60 JPY 845.94 0.62 524.28 1.00 524.28 42525.04 81.11 -9.72 -78.80 LEANHOG 288.90 1.69 488.81 1.00 488.81 42525.04 87.00 4.59 39.93 LIVECOW 704.30 0.92 648.54 1.00 648.54 42525.04 65.57 -13.86 -90.86 LUMBER-new 152.35 1.38 209.80 1.00 209.80 42525.04 202.69 -5.69 -115.28 MILK 341.00 1.21 411.56 1.00 411.56 42525.04 103.33 -20.00 -206.65 MXP 289.35 0.79 228.15 1.00 228.15 42525.04 186.39 9.34 174.09 NASDAQ_micro 319.74 0.88 280.74 1.00 280.74 42525.04 151.48 -1.74 -26.37 NIKKEI 33195.00 0.93 30844.94 0.01 206.77 42525.04 205.66 8.09 166.30 NZD 604.90 0.77 464.16 1.00 464.16 42525.04 91.62 2.32 21.23 OAT 1260.40 0.45 561.02 1.09 612.46 42525.04 69.43 4.55 31.60 OATIES 187.25 1.81 338.35 1.00 338.35 42525.04 125.68 -17.26 -216.97 OJ 599.85 1.52 910.07 1.00 910.07 42525.04 46.73 16.82 78.61 PALLAD 1091.50 1.97 2148.27 1.00 2148.27 42525.04 19.80 -8.03 -15.90 PLAT 472.45 1.57 742.52 1.00 742.52 42525.04 57.27 1.84 10.52 REDWHEAT 313.38 1.43 447.54 1.00 447.54 42525.04 95.02 -20.00 -190.04 RICE 353.80 0.81 286.69 1.00 286.69 42525.04 148.33 5.66 83.93 ROBUSTA 248.40 1.50 371.50 1.00 371.50 42525.04 114.47 6.34 72.56 RUSSELL 89.60 1.34 120.34 1.00 120.34 42525.04 353.37 -8.22 -290.50 SHATZ 1050.95 0.07 76.72 1.09 83.76 42525.04 507.73 -8.96 -454.68 SILVER-mini 603.44 1.39 836.80 1.00 836.80 42525.04 50.82 -1.48 -7.51 SMI 1080.80 0.69 745.65 1.13 843.14 42525.04 50.44 -1.57 -7.90 SOFR 2407.12 0.09 214.18 1.00 214.18 42525.04 198.55 -2.60 -51.67 SOYBEAN 656.00 0.88 575.87 1.00 575.87 42525.04 73.85 2.41 17.82 SOYMEAL 429.60 1.41 604.99 1.00 604.99 42525.04 70.29 2.27 15.99 SOYOIL 318.42 1.48 471.00 1.00 471.00 42525.04 90.29 -5.84 -52.75 SP400 2542.70 1.04 2649.83 1.00 2649.83 42525.04 16.05 -7.99 -12.82 SP500_micro 227.58 0.71 162.51 1.00 162.51 42525.04 261.67 -4.15 -108.68 SUGAR11 296.02 1.21 357.02 1.00 357.02 42525.04 119.11 7.35 87.51 US10 1093.44 0.48 520.43 1.00 520.43 42525.04 81.71 -4.30 -35.14 US10U 1129.53 0.63 709.12 1.00 709.12 42525.04 59.97 -2.40 -14.41 US2 2030.62 0.12 248.33 1.00 248.33 42525.04 171.24 -7.06 -120.98 US20 1158.75 0.90 1044.53 1.00 1044.53 42525.04 40.71 -0.93 -3.77 US30 1215.94 1.26 1534.89 1.00 1534.89 42525.04 27.71 -1.36 -3.76 US5 1059.45 0.31 326.83 1.00 326.83 42525.04 130.11 -6.72 -87.46 VIX 167.50 3.34 559.17 1.00 559.17 42525.04 76.05 -17.84 -135.69 WHEAT 321.25 1.22 392.51 1.00 392.51 42525.04 108.34 -20.00 -216.68 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -5.000 0.010 2.5 -0.130 BITCOIN 430.987 0.043 2.5 46.672 BOBL -8.521 0.004 2.5 -0.086 BTP 22.016 0.014 2.5 0.751 BUND -5.371 0.004 2.5 -0.054 BUXL -4.196 0.004 2.5 -0.043 CAC 20.597 0.014 2.5 0.703 CAD -180.165 0.010 2.5 -4.675 CANOLA -413.196 0.010 2.5 -10.053 CHF -81.423 0.010 2.5 -2.113 COCOA 124.133 0.009 2.5 2.659 COFFEE -19.751 0.005 2.5 -0.231 COPPER -8.515 0.043 2.5 -0.922 CORN -256.468 0.010 2.5 -6.240 COTTON2 -146.708 0.009 2.5 -3.142 CRUDE_W 19.902 0.043 2.5 2.155 DAX 326.624 0.014 2.5 11.141 DOW -178.164 0.009 2.5 -4.141 DX -18.688 0.010 2.5 -0.485 EUR 8.743 0.010 2.5 0.227 EURIBOR-ICE 259.809 0.014 2.5 8.862 EUROSTX 102.367 0.014 2.5 3.492 FEEDCOW -46.882 0.013 2.5 -1.554 GASOIL 12.139 0.017 2.5 0.526 GASOLINE -0.001 0.017 2.5 -0.000 GAS_US_mini -165.468 0.043 2.5 -17.919 GBP 27.313 0.010 2.5 0.709 GOLD_micro -255.242 0.014 2.5 -8.706 HEATOIL -2.399 0.017 2.5 -0.104 JGB-SGX-mini 169.600 0.043 2.5 18.366 JPY -78.802 0.010 2.5 -2.045 LEANHOG 39.934 0.024 2.5 2.427 LIVECOW -90.865 0.013 2.5 -3.011 LUMBER-new -115.284 0.009 2.5 -2.458 MILK -206.652 0.009 2.5 -4.426 MXP 174.088 0.059 2.5 25.552 NASDAQ_micro -26.374 0.009 2.5 -0.613 NIKKEI 166.298 0.043 2.5 18.009 NZD 21.228 0.010 2.5 0.551 OAT 31.599 0.014 2.5 1.078 OATIES -216.972 0.010 2.5 -5.279 OJ 78.612 0.009 2.5 1.684 PALLAD -15.896 0.014 2.5 -0.542 PLAT 10.519 0.014 2.5 0.359 REDWHEAT -190.040 0.005 2.5 -2.521 RICE 83.934 0.010 2.5 2.042 ROBUSTA 72.560 0.005 2.5 0.847 RUSSELL -290.499 0.013 2.5 -9.627 SHATZ -454.678 0.004 2.5 -4.611 SILVER-mini -7.505 0.014 2.5 -0.256 SMI -7.899 0.014 2.5 -0.269 SOFR -51.674 0.024 2.5 -3.141 SOYBEAN 17.821 0.004 2.5 0.166 SOYMEAL 15.988 0.004 2.5 0.149 SOYOIL -52.748 0.004 2.5 -0.491 SP400 -12.816 0.013 2.5 -0.425 SP500_micro -108.678 0.009 2.5 -2.526 SUGAR11 87.508 0.009 2.5 1.861 US10 -35.139 0.005 2.5 -0.445 US10U -14.413 0.005 2.5 -0.183 US2 -120.979 0.005 2.5 -1.533 US20 -3.767 0.005 2.5 -0.048 US30 -3.759 0.005 2.5 -0.048 US5 -87.460 0.005 2.5 -1.108 VIX -135.695 0.099 2.5 -33.496 WHEAT -216.683 0.005 2.5 -2.874 ===================== Position diags ===================== AUD 2.33 BITCOIN 48.66 BOBL 1.52 BTP 2.08 BUND 0.73 BUXL 0.30 CAC 2.37 CAD 3.57 CANOLA 8.42 CHF 1.71 COCOA 2.10 COFFEE 0.42 COPPER 5.02 CORN 4.20 COTTON2 1.73 CRUDE_W 3.64 DAX 11.51 DOW 8.81 DX 2.38 EUR 1.53 EURIBOR-ICE 10.68 EUROSTX 3.67 FEEDCOW 1.27 GASOIL 1.22 GASOLINE 1.00 GAS_US_mini 18.20 GBP 2.28 GOLD_micro 10.77 HEATOIL 0.90 JGB-SGX-mini 25.16 JPY 2.10 LEANHOG 5.29 LIVECOW 2.17 LUMBER-new 4.32 MILK 2.21 MXP 27.36 NASDAQ_micro 3.52 NIKKEI 22.27 NZD 2.38 OAT 2.37 OATIES 3.06 OJ 1.00 PALLAD 0.68 PLAT 1.95 REDWHEAT 1.26 RICE 3.61 ROBUSTA 1.34 RUSSELL 11.71 SHATZ 5.15 SILVER-mini 1.73 SMI 1.72 SOFR 12.07 SOYBEAN 0.69 SOYMEAL 0.65 SOYOIL 0.84 SP400 0.53 SP500_micro 6.08 SUGAR11 2.53 US10 1.04 US10U 0.76 US2 2.17 US20 0.52 US30 0.35 US5 1.65 VIX 18.77 WHEAT 1.44 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.1 -0.4 0.1 0.0 0 BITCOIN 46.7 41.8 51.5 36.0 36 BOBL -0.1 -0.2 0.1 0.0 0 BTP 0.8 0.5 1.0 2.0 2 BUND -0.1 -0.1 0.0 0.0 0 BUXL -0.0 -0.1 -0.0 0.0 0 CAC 0.7 0.5 0.9 9.0 9 CAD -4.7 -5.0 -4.3 0.0 0 CANOLA -10.1 -10.9 -9.2 -6.0 -6 CHF -2.1 -2.3 -1.9 -3.0 -3 COCOA 2.7 2.4 2.9 3.0 3 COFFEE -0.2 -0.3 -0.2 0.0 0 COPPER -0.9 -1.4 -0.4 0.0 0 CORN -6.2 -6.7 -5.8 -5.0 -5 COTTON2 -3.1 -3.3 -3.0 -5.0 -5 CRUDE_W 2.2 1.8 2.5 2.0 2 DAX 11.1 10.0 12.3 0.0 0 DOW -4.1 -5.0 -3.3 -4.0 -4 DX -0.5 -0.7 -0.2 NaN 0 EUR 0.2 0.1 0.4 0.0 0 EURIBOR-ICE 8.9 7.8 9.9 0.0 0 EUROSTX 3.5 3.1 3.9 0.0 0 FEEDCOW -1.6 -1.7 -1.4 -1.0 -1 GASOIL 0.5 0.4 0.6 0.0 0 GASOLINE -0.0 -0.1 0.1 0.0 0 GAS_US_mini -17.9 -19.7 -16.1 -5.0 -5 GBP 0.7 0.5 0.9 0.0 0 GOLD_micro -8.7 -9.8 -7.6 -5.0 -5 HEATOIL -0.1 -0.2 -0.0 -1.0 -1 JGB-SGX-mini 18.4 15.8 20.9 0.0 0 JPY -2.0 -2.3 -1.8 -4.0 -4 LEANHOG 2.4 1.9 3.0 1.0 1 LIVECOW -3.0 -3.2 -2.8 -3.0 -3 LUMBER-new -2.5 -2.9 -2.0 NaN 0 MILK -4.4 -4.6 -4.2 NaN 0 MXP 25.6 22.8 28.3 27.0 27 NASDAQ_micro -0.6 -1.0 -0.3 0.0 0 NIKKEI 18.0 15.8 20.2 20.0 20 NZD 0.6 0.3 0.8 1.0 1 OAT 1.1 0.8 1.3 2.0 2 OATIES -5.3 -5.6 -5.0 NaN 0 OJ 1.7 1.6 1.8 NaN 0 PALLAD -0.5 -0.6 -0.5 -2.0 -2 PLAT 0.4 0.2 0.6 0.0 0 REDWHEAT -2.5 -2.6 -2.4 -2.0 -2 RICE 2.0 1.7 2.4 NaN 0 ROBUSTA 0.8 0.7 1.0 1.0 1 RUSSELL -9.6 -10.8 -8.5 -4.0 -4 SHATZ -4.6 -5.1 -4.1 NaN 0 SILVER-mini -0.3 -0.4 -0.1 NaN 0 SMI -0.3 -0.4 -0.1 -1.0 -1 SOFR -3.1 -4.3 -1.9 NaN 0 SOYBEAN 0.2 0.1 0.2 0.0 0 SOYMEAL 0.1 0.1 0.2 0.0 0 SOYOIL -0.5 -0.6 -0.4 -3.0 -3 SP400 -0.4 -0.5 -0.4 0.0 0 SP500_micro -2.5 -3.1 -1.9 -1.0 -1 SUGAR11 1.9 1.6 2.1 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 -1.8 -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 -33.5 -35.4 -31.6 -17.0 -17 WHEAT -2.9 -3.0 -2.7 -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 -0.2 0.1 -0.3 0.1 -0.0 -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 -0.1 0.0 0.0 -0.1 -0.3 -0.7 -0.1 0.2 BITCOIN 0.4 0.6 0.2 0.0 0.2 -0.0 0.1 -0.0 0.1 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 0.3 0.2 -2.7 0.1 0.0 0.1 0.0 0.1 0.1 -0.0 -0.1 0.6 0.6 0.6 -0.1 0.7 -0.0 0.7 BOBL 0.5 0.4 0.1 -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 0.1 -0.0 0.1 -0.1 0.2 -1.0 0.0 0.0 -0.0 0.1 -0.0 0.1 0.8 0.2 0.2 0.3 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 -0.2 -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 0.0 -0.1 0.1 -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 0.2 -0.8 -0.0 0.1 -0.1 0.1 0.0 0.1 0.2 0.0 -0.2 -0.2 0.2 0.2 0.1 0.4 0.3 CAD 0.3 -0.1 -0.3 0.0 0.1 -0.0 0.1 0.0 0.1 0.1 -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 0.6 -0.4 -0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.2 0.1 -0.2 -0.1 -0.1 -0.1 0.1 -0.2 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 -0.2 -0.4 -0.4 -0.4 -0.2 0.1 0.2 CHF 0.4 0.3 -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 0.1 -0.3 -0.7 -0.7 -0.7 -0.7 COCOA 0.5 0.6 0.1 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.2 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 0.1 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 0.1 0.1 0.2 0.0 0.1 0.0 0.1 0.0 0.0 -0.2 0.1 -2.7 0.1 -0.0 0.0 0.0 -0.0 0.1 0.3 -0.4 0.1 0.6 0.5 -0.7 -0.7 -0.7 -0.4 COPPER 0.6 0.1 -0.2 0.0 0.1 -0.0 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 0.2 -0.9 0.0 0.2 -0.1 0.1 -0.1 0.1 0.0 0.2 0.6 0.1 0.0 -0.1 -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 -2.7 -0.0 0.0 -0.1 0.0 -0.3 -0.0 -0.1 -0.3 -0.4 0.2 -0.1 -0.2 -0.1 0.1 0.1 COTTON2 -0.5 -0.6 -0.1 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.1 -0.1 -0.1 -0.3 -0.1 -0.1 -0.2 0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -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 -0.1 -0.6 -0.4 -0.1 0.2 CRUDE_W -0.5 -0.4 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.1 0.1 0.3 -0.0 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 0.2 0.7 0.4 0.7 0.4 DAX 0.6 0.0 -0.6 0.0 0.0 -0.0 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 0.3 0.0 -0.0 0.2 0.1 0.5 0.4 DOW 0.6 0.1 -0.4 0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.2 0.3 0.1 0.0 -0.2 -0.2 -0.2 -0.2 0.1 -0.0 0.2 -0.0 0.2 -1.2 0.0 0.0 -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 -0.2 0.6 0.3 0.2 0.4 0.7 EUR 0.6 0.4 -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 1.3 0.0 0.1 -0.0 0.1 -0.0 0.1 -0.4 0.1 0.2 0.2 -0.1 -0.5 -0.5 -0.4 -0.2 EURIBOR-ICE 0.6 0.6 0.4 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.0 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -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 -0.0 0.2 0.4 0.5 -0.7 -0.7 0.1 0.7 EUROSTX 0.6 0.1 -0.5 0.0 0.1 -0.1 0.1 -0.0 0.1 0.2 -0.1 0.2 0.4 0.2 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -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 0.1 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 0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 -0.1 0.3 -0.1 -0.0 0.3 0.4 0.4 0.4 -0.0 0.1 -0.0 0.3 -0.1 1.1 -0.0 0.0 0.1 -0.0 0.2 -0.0 0.0 0.1 0.0 0.1 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 -0.0 0.1 0.1 -0.0 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 0.4 0.7 0.2 GAS_US_mini -0.5 0.0 0.5 -0.0 -0.0 0.0 -0.0 0.1 -0.1 -0.1 -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 0.1 0.6 -0.6 -0.4 0.2 -0.6 0.1 GBP 0.6 0.2 -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 -0.0 0.1 -0.0 0.0 0.2 -0.0 0.1 0.1 -0.2 -0.3 0.1 -0.1 0.7 GOLD_micro 0.0 0.6 -0.1 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 0.1 -0.0 0.1 -0.9 0.0 0.1 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 -0.0 0.2 -0.1 -0.0 0.4 0.4 0.4 0.4 -0.0 0.1 -0.0 0.3 -0.1 -2.6 -0.0 0.0 0.1 -0.0 0.2 -0.0 0.1 0.3 0.1 0.0 0.1 0.3 -0.1 0.1 -0.2 JGB-SGX-mini 0.6 0.2 -0.5 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 0.0 0.1 -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 -0.2 -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 -0.3 0.1 -0.5 -0.0 -0.1 -0.4 -0.3 -0.4 -0.4 -0.1 -0.2 0.1 -0.5 -0.0 2.7 -0.0 0.0 -0.2 0.0 -0.3 -0.0 -1.1 -0.2 -0.6 -0.4 -0.5 -0.2 -0.7 -0.0 -0.7 LEANHOG 0.4 -0.1 0.1 -0.0 0.0 -0.1 0.1 -0.1 0.0 -0.1 0.0 0.0 -0.3 -0.0 -0.1 -0.4 0.3 0.1 0.4 -0.0 -0.1 -0.0 -0.3 -0.0 2.0 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 1.1 -0.5 0.2 -0.2 -0.1 -0.3 -0.1 0.3 0.5 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 -0.2 -0.1 -0.6 0.0 -0.3 LUMBER-new 0.8 0.4 -0.2 -0.0 0.1 -0.2 0.1 -0.2 0.1 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 0.1 0.1 -0.0 0.1 -0.1 0.1 -1.2 0.2 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 0.1 -0.2 0.0 -0.1 -0.3 -0.2 -0.5 -0.2 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.2 -0.5 -0.2 0.7 -0.1 -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 0.1 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 0.0 0.0 0.1 0.2 0.1 1.1 -0.1 0.5 -0.0 0.2 0.3 0.4 0.6 0.7 NASDAQ_micro 0.6 0.1 -0.4 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 0.3 0.2 -2.7 0.0 0.0 0.1 0.1 0.1 0.1 -0.3 0.1 0.2 0.4 0.3 0.2 -0.4 0.2 -0.5 NIKKEI 0.6 0.0 -0.4 0.0 0.0 -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 -0.3 -0.0 0.1 0.5 -0.2 0.1 -0.1 0.3 NZD 0.6 0.3 -0.1 0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.2 0.1 -0.1 0.1 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 0.0 0.1 -0.0 0.1 -0.1 0.0 0.2 -0.1 0.0 0.1 -0.0 -0.0 -0.5 0.2 0.3 OAT 0.6 0.3 -0.1 -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 0.0 -0.0 0.2 0.2 -0.7 -0.7 -0.3 0.4 OATIES -0.4 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 -0.1 -0.1 -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 -0.3 -0.6 -0.6 -0.4 0.3 0.4 0.7 0.7 OJ -0.6 -0.3 0.5 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.1 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 0.1 -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 -0.3 -0.6 -0.6 -0.3 -0.2 -0.3 0.3 -0.1 PLAT 0.1 0.2 -0.1 0.0 0.1 -0.0 0.1 -0.0 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 -0.1 0.0 1.6 -0.0 0.1 -0.0 0.0 -0.0 0.0 0.2 -0.1 -0.1 -0.1 0.1 -0.1 -0.5 0.3 -0.4 REDWHEAT -0.1 -0.5 -0.6 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.1 -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 0.6 0.2 0.2 -0.0 0.1 -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 0.3 -0.1 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.3 0.1 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 0.1 0.3 0.1 -2.3 0.0 0.0 0.1 0.0 0.2 0.0 1.1 0.3 -0.0 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 0.1 -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 0.2 0.3 0.1 -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 0.1 0.2 -0.4 -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 0.1 -0.1 -0.1 0.1 -0.6 -0.7 -0.1 -0.7 SMI 0.5 -0.3 -0.4 0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 -0.2 0.2 -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 0.1 -0.1 0.0 0.7 -0.2 -0.5 -0.6 0.1 -0.3 -0.3 -0.1 -0.2 SOFR 0.6 0.5 -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 0.5 0.1 0.1 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.1 0.2 0.1 0.2 0.1 -0.0 0.4 0.4 0.3 0.3 0.1 0.0 0.1 0.1 0.1 -2.7 0.0 0.1 0.1 0.1 0.1 0.1 1.1 -0.1 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 0.1 -2.7 0.0 -0.0 0.1 0.0 0.1 0.0 1.1 -0.2 0.5 0.6 0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.3 -0.6 -0.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.1 -0.1 -0.1 0.1 0.2 0.2 0.2 -0.1 -0.1 0.1 -0.1 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 1.0 0.3 -0.1 -0.6 -0.4 -0.2 0.1 0.3 0.5 SP400 0.6 -0.0 -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 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.1 -1.1 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.4 -0.5 -0.7 SP500_micro 0.6 0.0 -0.5 0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 0.1 0.2 0.3 0.1 0.0 -0.2 -0.2 -0.2 -0.2 0.1 0.0 0.2 0.1 0.2 -2.3 0.0 0.0 0.0 0.1 0.1 0.1 -0.4 0.2 0.2 0.2 0.1 -0.0 -0.4 0.0 -0.5 SUGAR11 -0.1 -0.0 0.1 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.1 0.5 0.1 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 0.1 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 0.6 -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 -0.1 -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 -0.2 -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 0.1 -0.0 -0.1 -0.1 -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 -0.1 -0.2 0.1 0.1 -0.6 -0.7 -0.2 -0.7 US20 0.6 0.5 -0.3 -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 -0.2 -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 0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.2 0.1 -0.0 -0.2 -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 -0.0 -0.1 0.0 0.0 -0.7 -0.7 -0.4 -0.6 VIX -1.0 0.2 0.7 -0.1 -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 0.1 -0.1 0.1 -0.2 0.0 -0.1 -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 -0.3 -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 18.8 10.1 -3.3 0.8 6.6 -0.3 6.9 0.3 4.1 11.5 -9.2 10.9 -9.4 8.3 -4.3 -2.7 -3.0 -3.1 -3.1 0.9 -5.0 12.2 -7.6 7.9 3.0 0.7 7.0 -2.3 6.8 -3.3 4.5 -1.2 -5.7 1.1 1.1 -2.8 -9.1 -19.9 -2.2 5.6 BITCOIN 11.7 20.0 5.1 0.4 18.5 -1.8 12.3 -0.9 5.4 8.8 17.6 17.4 14.7 20.0 20.0 -9.3 -5.4 -7.8 -6.7 20.0 19.8 19.8 9.4 20.0 -20.0 7.6 2.2 4.5 4.6 2.1 7.7 -0.6 -4.8 20.0 20.0 20.0 -3.9 20.0 -0.8 20.0 BOBL 15.9 10.9 3.2 -0.2 2.1 -2.0 2.8 -2.7 2.1 4.3 -4.3 6.3 -7.7 7.0 2.1 11.6 -2.3 5.3 -0.7 1.8 -2.8 4.7 -8.2 4.9 9.1 0.9 1.7 -1.1 2.6 -3.1 2.6 -1.1 -4.3 -5.7 5.1 7.3 -17.7 -20.0 -13.0 -18.7 BTP 20.0 10.2 -7.0 -0.2 3.0 -2.8 4.0 -3.8 3.0 10.5 -2.6 12.3 -0.3 11.0 1.7 7.8 7.7 7.2 6.9 5.2 -2.3 16.6 -5.2 15.0 -7.3 1.6 3.5 -0.6 5.2 -1.1 4.7 15.2 7.3 7.2 8.1 6.0 -13.3 -20.0 0.7 6.7 BUND 20.0 10.2 -1.5 -0.2 2.2 -2.0 2.9 -2.8 2.2 6.4 -4.8 8.0 -8.3 7.4 0.2 -3.5 4.3 -1.6 0.9 1.5 -3.9 7.0 -9.1 6.5 6.0 0.7 2.2 -1.4 3.2 -2.8 3.0 7.4 -1.4 -3.3 4.0 4.8 -20.0 -20.0 -20.0 -4.4 BUXL 20.0 10.2 -5.1 -0.2 2.3 -2.2 3.1 -2.9 2.3 8.6 -6.4 9.3 -9.2 7.5 -2.5 0.4 0.8 0.5 0.7 -0.4 -7.2 9.2 -12.3 7.1 1.3 -0.0 2.5 -2.3 3.5 -3.3 2.8 4.2 2.0 -2.7 1.8 -0.7 -18.0 -20.0 -13.2 14.9 CAC 20.0 -3.3 -17.7 0.2 6.0 -2.0 8.5 -0.8 5.6 17.6 -6.1 19.9 13.3 11.8 -5.6 -6.1 -2.9 -5.8 -4.9 -1.5 -6.4 20.0 2.9 14.6 -5.9 -0.4 7.2 -2.4 9.4 0.5 5.8 3.5 2.1 -5.9 -5.5 5.7 6.9 4.4 13.1 9.9 CAD 9.4 -4.2 -10.0 1.2 10.3 -0.4 10.7 0.5 6.5 10.5 -14.4 7.7 -14.6 -7.6 -14.6 -2.5 -2.2 -2.5 -2.4 -10.3 -12.0 4.6 -10.6 -2.5 2.5 -5.2 3.4 -5.9 2.5 -4.7 -1.1 0.0 -20.0 -20.0 -20.0 -15.8 -17.9 -20.0 -9.6 -17.9 CANOLA 19.4 -12.7 -13.6 -0.8 2.8 -2.4 3.3 -3.0 1.8 7.7 -2.4 7.1 -3.8 -0.2 -7.5 -11.8 2.5 -11.0 -5.0 -7.5 -7.7 6.1 -5.8 -0.4 -20.0 -2.8 1.9 -2.8 0.7 -2.5 -1.1 -0.1 -5.5 -5.0 -13.6 -13.6 -11.0 -5.7 4.0 6.2 CHF 12.6 8.2 -18.4 1.1 9.1 -0.4 9.5 0.4 5.7 16.1 -7.9 15.9 4.6 13.2 -5.4 -15.7 -14.9 -16.4 -15.8 -0.5 -5.0 18.9 -1.2 10.8 -7.8 -0.5 7.6 -2.2 7.7 -0.8 4.3 -20.0 4.7 -16.7 3.5 -10.4 -20.0 -20.0 -20.0 -20.0 COCOA 16.6 18.1 3.3 -1.9 6.3 -5.4 7.5 -6.7 4.1 19.0 20.0 20.0 20.0 20.0 20.0 -3.4 -2.8 -3.8 -3.4 20.0 20.0 20.0 20.0 20.0 -20.0 8.6 6.6 8.3 7.8 8.7 9.1 -4.0 20.0 20.0 20.0 20.0 10.4 -3.5 20.0 10.1 COFFEE 12.1 20.0 9.7 -1.4 4.9 -4.2 5.8 -5.2 3.1 -8.0 -7.8 7.5 -11.7 13.8 12.3 8.0 2.3 3.3 2.1 11.7 1.7 3.7 -6.6 13.2 -20.0 4.7 -2.1 1.8 1.3 -0.4 4.9 4.8 -16.3 4.0 20.0 14.3 -20.0 -20.0 -20.0 -12.3 COPPER 19.1 3.3 -6.6 0.3 15.7 -1.5 10.4 -0.7 4.6 18.7 -14.6 18.8 -6.5 11.6 -8.6 -9.4 -4.5 -8.0 -6.4 0.6 -8.4 20.0 -10.2 14.4 -6.4 1.5 18.0 -2.4 13.7 -3.3 7.6 0.6 7.5 18.1 4.2 1.4 -1.7 -20.0 5.8 -18.1 CORN 3.0 6.0 -14.0 -1.6 5.5 -4.7 6.5 -5.8 3.5 3.4 -19.9 0.4 -19.4 -4.3 -14.7 -6.5 0.5 -6.1 -4.3 -6.1 -16.1 -0.3 -20.0 -1.4 -19.9 -1.7 1.1 -4.7 0.2 -8.4 -0.5 -2.1 -12.6 -13.3 6.6 -2.7 -7.3 -3.7 3.4 4.1 COTTON2 -16.9 -20.0 -3.7 -1.3 4.5 -3.9 5.4 -4.8 2.9 9.5 -2.8 -4.8 -9.2 -10.9 -10.6 -8.3 1.4 -6.0 -2.6 -16.8 -8.2 -6.1 -4.1 -16.5 -20.0 -4.7 -0.4 -2.0 -1.9 -0.1 -4.8 0.1 -7.6 -20.0 -20.0 -1.8 -19.5 -12.9 -1.5 4.9 CRUDE_W -16.3 -10.9 8.8 -2.3 -0.3 1.7 -3.4 3.2 -4.7 13.2 10.0 -3.7 7.6 -8.9 0.9 7.2 11.0 11.1 11.3 0.1 9.0 -2.6 11.0 -6.5 -4.9 -0.3 2.6 4.6 -1.8 6.5 -3.6 -20.0 10.0 8.6 9.3 4.8 19.9 10.7 20.0 10.6 DAX 20.0 0.8 -19.0 0.2 5.5 -1.8 7.8 -0.8 5.2 17.3 -8.4 18.9 10.1 12.0 -5.2 -9.6 -8.2 -9.7 -9.2 1.3 -7.6 20.0 -1.2 20.0 17.1 0.5 8.5 -2.3 10.6 -0.9 6.7 -4.8 20.0 8.4 0.5 -0.2 6.7 3.3 14.1 11.8 DOW 20.0 4.3 -13.6 0.2 4.3 -1.4 6.0 -0.6 4.0 12.6 -0.9 14.8 7.1 11.6 0.3 -9.7 -9.0 -10.5 -10.3 5.0 -1.6 20.0 -0.4 18.7 -9.3 1.0 5.1 -0.4 7.0 0.5 5.0 -6.5 2.4 2.7 0.4 3.8 -17.8 -6.6 -20.0 -7.8 DX -20.0 -12.5 14.7 0.8 7.2 -0.3 7.5 0.3 4.5 -12.4 9.7 -12.6 -2.5 -9.7 6.0 7.0 6.0 7.1 6.7 -0.7 6.3 -18.0 6.5 -12.0 -20.0 -0.4 -6.1 2.5 -7.0 2.9 -4.8 14.9 -20.0 -20.0 -7.1 20.0 9.5 7.2 13.3 20.0 EUR 20.0 11.6 -12.3 0.8 7.1 -0.3 7.4 0.3 4.4 10.9 -7.2 12.4 3.3 11.3 -2.1 -5.8 -6.8 -6.3 -6.5 3.4 -3.2 17.9 -3.6 13.4 10.1 1.4 5.6 -1.2 7.2 -1.4 5.4 -7.4 5.7 7.0 6.8 -4.2 -14.7 -16.2 -12.5 -5.4 EURIBOR-ICE 20.0 20.0 11.8 -0.1 1.9 -1.8 2.6 -2.5 1.9 6.4 0.3 7.5 -5.7 7.7 6.9 -3.6 -7.0 -5.3 -6.6 8.2 2.5 8.7 -4.9 10.6 17.0 2.3 1.9 0.8 2.6 -1.0 3.1 -9.4 -1.0 5.1 13.4 14.6 -20.0 -20.0 4.4 20.0 EUROSTX 20.0 3.2 -14.1 0.2 5.7 -1.9 8.0 -0.8 5.4 17.2 -5.1 19.5 12.5 14.8 -3.3 -5.7 -2.7 -5.5 -4.7 4.9 -2.7 20.0 3.7 20.0 4.2 2.1 7.4 -0.9 10.3 0.6 7.8 3.8 9.1 4.0 8.2 9.3 3.7 5.7 8.0 14.5 FEEDCOW -12.3 -20.0 -20.0 -0.9 3.1 -2.7 3.7 -3.3 2.0 1.3 -2.9 -6.5 5.3 -10.3 -10.0 -12.0 -20.0 -12.7 -20.0 -18.8 -6.9 -10.4 4.7 -19.6 -1.6 -3.3 -0.4 -0.8 -2.0 1.8 -3.6 -20.0 -20.0 -20.0 -20.0 -6.6 14.4 -0.5 20.0 8.2 GASOIL -19.4 -19.4 6.1 -1.9 -0.2 1.4 -2.9 2.7 -3.9 6.3 8.9 -6.4 7.2 -10.9 -2.1 13.7 20.0 20.0 20.0 -3.6 7.3 -4.6 11.4 -10.1 8.3 -1.0 3.4 3.4 -1.7 4.6 -3.6 0.0 4.4 1.1 1.7 9.7 -7.3 -0.4 -12.0 -5.7 GASOLINE -6.5 -18.8 -11.5 -2.2 -0.3 1.7 -3.3 3.1 -4.5 12.5 4.8 -2.3 5.5 -10.6 -10.3 -0.7 20.0 16.0 20.0 -7.3 0.5 -1.3 8.1 -7.7 -20.0 -3.5 2.4 0.3 -1.1 4.6 -3.6 11.2 12.2 9.6 -5.1 -17.7 20.0 10.5 20.0 6.6 GAS_US_mini -14.7 1.4 15.3 -2.3 -0.3 1.8 -3.5 3.3 -4.8 -16.5 -14.8 -17.7 -19.3 -16.6 -15.4 -20.0 -20.0 -20.0 -20.0 -13.8 -12.7 -20.0 -20.0 -20.0 20.0 -4.2 -10.9 -2.0 -10.7 -2.0 -8.0 -20.0 -20.0 2.7 17.1 -20.0 -11.8 6.5 -17.6 2.5 GBP 20.0 5.6 -17.1 0.8 6.8 -0.3 7.1 0.3 4.3 11.5 -6.8 11.0 5.1 8.3 -5.0 -0.7 -0.8 -0.6 -0.6 0.3 -3.3 13.5 -1.7 8.6 0.6 0.2 5.9 -1.6 6.2 -1.3 4.1 2.9 -0.9 2.5 2.5 -6.0 -9.3 4.1 -4.2 20.0 GOLD_micro 0.5 20.0 -3.8 0.3 13.5 -1.3 8.9 -0.6 3.9 14.9 -2.9 3.0 3.2 11.2 9.5 -15.2 -14.8 -16.3 -16.1 7.0 0.9 10.3 -0.5 9.1 -7.0 2.1 5.8 0.5 3.3 0.4 2.8 -16.9 -10.5 -8.4 6.8 5.0 -11.8 -20.0 -10.7 -20.0 HEATOIL -17.9 -20.0 3.0 -2.1 -0.3 1.6 -3.2 3.0 -4.4 12.3 8.3 -3.6 6.6 -9.9 -3.9 17.9 20.0 20.0 20.0 -4.4 6.3 -1.3 11.0 -9.5 -19.5 -1.9 4.6 2.9 -0.9 5.7 -3.9 2.2 11.4 1.8 0.1 4.4 9.7 -1.9 4.3 -7.0 JGB-SGX-mini 20.0 5.4 -15.0 -0.1 1.9 -1.8 2.5 -2.4 1.9 7.4 -3.7 7.4 1.3 4.8 -1.7 18.0 19.5 17.1 16.9 -0.8 -3.4 14.1 -1.7 6.7 -1.8 -0.7 5.4 -1.7 4.6 -1.3 1.9 20.0 17.4 -6.2 -2.3 -2.1 3.4 -20.0 15.4 16.4 JPY 13.4 10.6 -9.7 0.8 6.4 -0.3 6.7 0.3 4.0 10.6 -13.0 5.4 -12.8 -3.3 -11.3 -17.8 -16.1 -18.5 -17.6 -10.1 -16.8 6.3 -20.0 -2.1 20.0 -4.3 5.4 -6.3 2.4 -7.0 -1.2 -20.0 -9.5 -18.7 -13.1 -15.4 -5.9 -20.0 -0.5 -20.0 LEANHOG 12.4 -4.0 2.4 -1.2 3.9 -3.4 4.6 -4.1 2.5 -12.7 0.3 2.6 -7.1 -1.1 -4.7 -20.0 17.4 5.8 20.0 -3.4 -6.9 -5.4 -11.2 -1.1 15.0 -1.7 -10.4 -5.1 -3.3 -9.2 -0.4 20.0 -20.0 6.8 -5.3 -3.0 -9.6 -4.3 9.1 16.3 LIVECOW -16.3 -20.0 -20.0 -1.0 3.2 -2.8 3.8 -3.4 2.1 -3.4 1.0 -8.8 7.0 -10.4 -9.1 -7.6 -5.0 -13.2 -8.8 -13.3 -3.3 -11.3 5.3 -16.5 0.1 -3.3 -1.0 -0.3 -2.7 2.3 -4.1 -8.7 -20.0 -20.0 -20.0 -4.9 -4.4 -16.7 0.9 -8.2 LUMBER-new 20.0 10.5 -4.9 -2.0 6.8 -5.6 8.1 -5.9 4.4 17.2 -16.0 20.0 -20.0 20.0 2.3 -14.5 -14.7 -15.8 -15.3 8.2 -8.3 20.0 -14.9 20.0 NaN 4.2 7.1 -1.4 10.6 -3.2 10.0 -20.0 6.2 20.0 20.0 1.0 -14.8 -20.0 -8.3 -17.6 MILK -10.6 -2.8 -2.7 -1.3 4.2 -3.6 5.0 -4.5 2.7 -14.2 -9.9 -14.3 -13.1 -14.0 -11.5 -19.4 -20.0 -18.8 -20.0 -13.6 -14.9 -19.7 -20.0 -15.9 5.3 -4.7 -10.1 -5.7 -7.7 -8.2 -5.7 -20.0 -20.0 -20.0 -13.6 1.6 -20.0 -20.0 -20.0 -20.0 MXP 20.0 -1.8 -20.0 0.9 7.4 -0.3 7.7 0.3 4.7 10.7 6.8 13.4 11.7 10.5 2.3 12.9 16.2 13.8 14.9 6.2 4.5 18.7 11.6 15.2 -20.0 2.1 4.7 1.7 6.4 4.3 5.2 20.0 -5.5 15.0 -0.7 4.7 9.1 12.7 17.2 20.0 NASDAQ_micro 20.0 1.6 -11.5 0.2 3.7 -1.2 5.2 -0.5 3.4 9.7 7.0 12.3 8.8 11.0 4.1 -9.4 -8.8 -9.7 -9.6 9.0 6.6 20.0 9.5 19.4 -20.0 2.2 4.3 1.9 6.2 3.5 5.0 -5.7 6.2 5.0 11.8 7.9 5.2 -11.3 5.1 -14.0 NIKKEI 20.0 0.5 -10.9 0.2 4.8 -1.6 6.7 -0.7 4.5 9.1 12.3 15.1 13.0 13.4 8.9 3.8 9.7 5.7 8.0 10.3 9.1 18.5 13.7 18.2 -9.8 3.1 2.2 3.3 6.2 5.5 5.9 20.0 -11.4 -1.0 2.5 16.6 -6.1 1.5 -4.4 8.9 NZD 17.8 8.0 -2.7 0.7 5.7 -0.2 5.9 0.3 3.6 9.6 -7.7 9.2 -2.4 5.4 -3.4 -0.2 0.2 -0.1 0.0 0.4 -3.6 9.6 -5.1 5.8 0.8 0.7 5.6 -1.4 5.6 -2.1 3.7 4.2 -4.5 0.8 1.9 -0.6 -0.5 -14.6 4.9 8.0 OAT 20.0 10.5 -1.7 -0.2 2.3 -2.2 3.1 -3.0 2.3 7.0 -4.5 8.8 -8.4 7.9 0.5 5.3 7.5 5.7 6.3 2.4 -3.7 9.2 -8.5 8.5 8.3 1.1 2.5 -1.1 3.8 -2.5 3.5 14.7 1.6 -0.6 5.0 5.6 -20.0 -20.0 -8.2 10.7 OATIES -13.0 -20.0 -20.0 -0.8 2.7 -2.3 3.2 -2.9 1.7 4.5 -3.6 -6.1 -3.2 -8.4 -9.4 -18.6 -9.8 -18.6 -16.2 -17.8 -9.2 -8.4 -1.2 -16.6 -20.0 -3.1 0.2 -1.6 -1.6 -0.3 -3.1 -20.0 -11.8 -20.0 -20.0 -11.7 8.3 11.0 20.0 20.0 OJ -20.0 -10.0 14.4 -1.5 5.2 -4.5 6.2 -5.5 3.4 15.0 19.5 16.2 20.0 15.5 17.6 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.2 7.3 8.7 7.5 9.7 6.3 20.0 20.0 20.0 20.0 20.0 6.1 9.3 20.0 20.0 PALLAD -2.2 -6.7 -0.4 0.2 8.1 -0.8 5.4 -0.4 2.4 8.7 -10.5 1.0 -11.2 -5.9 -8.0 -1.8 -2.6 -2.4 -2.6 -12.7 -15.0 1.2 -19.5 -8.7 4.1 -3.4 2.5 -3.1 -0.3 -2.9 -2.8 5.2 -14.3 -20.0 -20.0 -9.7 -5.1 -8.5 7.5 -3.1 PLAT 3.7 5.7 -2.9 0.2 8.8 -0.8 5.8 -0.4 2.6 10.0 -9.1 5.5 -5.4 2.4 -4.0 -3.2 -2.8 -3.5 -3.3 -2.4 -5.2 9.0 -5.2 1.7 11.9 -0.4 9.5 -1.1 4.5 -1.0 1.0 4.5 -2.9 -2.1 -3.5 3.7 -1.9 -15.0 10.0 -10.6 REDWHEAT -2.3 -16.7 -20.0 -1.7 5.6 -4.8 6.7 -5.9 3.6 -15.9 -20.0 -18.2 -20.0 -20.0 -20.0 -7.0 -1.1 -5.8 -3.6 -20.0 -20.0 -20.0 -20.0 -20.0 -18.9 -8.0 -7.0 -7.6 -7.3 -5.5 -7.3 -2.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -13.3 RICE 17.0 6.0 6.8 -1.8 6.0 -5.1 7.1 -6.4 3.9 20.0 13.9 20.0 8.7 18.8 11.1 -16.8 4.4 -14.9 -3.7 19.2 11.5 20.0 7.7 20.0 -20.0 5.2 14.4 2.6 15.2 1.5 10.5 4.7 20.0 20.0 20.0 20.0 -2.9 -18.7 14.0 -6.4 ROBUSTA 9.0 -2.4 -10.0 -1.1 3.6 -3.1 4.3 -3.9 2.3 1.9 9.4 7.7 11.0 8.4 5.9 20.0 20.0 20.0 20.0 7.7 7.5 10.2 11.5 11.3 -17.0 3.3 0.4 3.1 3.9 4.4 4.5 20.0 11.5 -0.6 12.4 11.1 -6.3 -12.1 11.1 0.5 RUSSELL 20.0 1.0 -15.2 0.1 3.0 -1.0 4.2 -0.4 2.8 7.2 -6.4 8.4 -5.6 5.0 -5.5 -5.9 -6.3 -6.8 -6.9 -3.2 -6.0 10.1 -4.8 4.9 -1.6 -0.9 2.5 -1.7 3.7 -1.0 1.9 -1.2 -4.1 -3.7 -6.6 -5.7 -15.4 -13.6 -20.0 -20.0 SHATZ 6.8 10.5 2.3 -0.1 2.1 -1.9 2.7 -2.6 2.0 1.2 -6.9 0.7 -8.5 2.5 -2.3 -20.0 -15.7 -20.0 -20.0 -1.4 -5.7 -0.1 -12.4 0.3 10.4 -0.6 -0.6 -2.3 -0.1 -5.0 0.2 -20.0 -11.2 -12.7 3.8 6.7 -13.2 -20.0 -7.0 -20.0 SILVER-mini 7.5 6.5 -6.8 0.3 12.0 -1.2 8.0 -0.6 3.5 13.0 -5.0 12.1 1.7 11.2 -0.7 -6.6 -6.5 -7.2 -7.0 0.7 -3.4 13.0 -2.5 7.6 7.0 1.2 6.8 0.1 6.7 0.3 4.0 -1.9 3.2 -3.9 -1.8 3.4 -16.6 -20.0 -2.8 -20.0 SMI 16.8 -8.7 -13.5 0.2 4.8 -1.6 6.7 -0.7 4.5 15.0 -8.7 14.9 -0.3 -1.6 -8.2 5.0 2.3 3.7 2.3 -8.9 -11.2 12.6 -6.8 2.4 6.1 -2.7 5.6 -3.4 4.7 -2.6 1.0 13.8 -9.9 -14.4 -17.0 4.0 -8.5 -9.8 -3.8 -5.6 SOFR 20.0 15.0 -5.3 -0.1 1.8 -1.6 2.3 -2.2 1.7 6.7 -4.7 7.1 -4.7 6.0 -0.8 0.4 -0.6 -0.2 -0.6 0.3 -4.0 7.4 -5.2 5.4 -1.3 -0.0 2.4 -1.7 2.9 -2.1 2.1 1.6 -0.3 0.1 0.5 0.8 -20.0 -20.0 -5.7 -8.9 SOYBEAN 14.6 2.9 2.1 -1.5 5.1 -4.4 6.1 -5.5 3.3 10.5 8.8 12.5 5.8 13.0 -1.9 18.9 18.1 16.1 15.5 7.2 3.9 11.6 1.9 11.6 -20.0 4.5 5.9 2.5 6.3 1.4 6.7 20.0 -4.6 17.4 16.0 8.6 -20.0 -11.5 -20.0 -6.1 SOYMEAL 16.8 20.0 4.5 -0.9 3.1 -2.6 3.6 -3.2 2.0 -2.0 3.8 5.7 3.5 9.5 8.6 20.0 17.9 16.6 16.6 11.8 6.1 6.5 3.5 13.1 -20.0 3.5 -0.1 2.2 1.9 1.9 3.7 20.0 -6.9 16.0 20.0 14.9 -20.0 -20.0 -20.0 -20.0 SOYOIL 10.2 -20.0 -16.5 -0.9 3.0 -2.5 3.5 -3.1 1.9 9.3 -2.0 6.9 -3.2 -5.8 -9.0 4.4 10.6 8.2 9.5 -11.3 -9.1 7.6 -4.2 -3.3 -20.0 -2.8 3.9 -2.4 2.1 -1.2 -0.8 18.2 13.8 -2.8 -20.0 -13.0 -6.8 2.7 8.8 16.3 SP400 20.0 -0.8 -18.7 0.1 3.2 -1.1 4.5 -0.4 3.0 9.1 -5.5 9.9 -1.5 6.6 -4.5 -5.1 -5.1 -5.3 -5.3 -2.5 -5.7 13.3 -3.6 7.1 -8.2 -0.6 3.4 -1.5 4.6 -0.6 2.5 1.2 -0.8 -3.5 -5.0 -3.7 -9.6 -13.4 -15.3 -20.0 SP500_micro 20.0 1.0 -15.7 0.2 4.2 -1.4 6.0 -0.6 4.0 12.6 2.0 14.6 7.0 11.6 1.2 -10.1 -9.9 -10.8 -10.8 6.0 1.1 20.0 3.7 20.0 -17.0 1.4 5.3 0.5 7.2 1.7 5.2 -7.7 7.2 5.6 5.1 2.3 -0.2 -10.7 1.3 -14.9 SUGAR11 -3.5 -0.8 3.9 -1.6 5.3 -4.5 6.3 -5.6 3.4 12.2 19.0 4.7 19.4 11.5 17.4 20.0 19.6 20.0 20.0 13.2 20.0 5.3 20.0 6.4 -20.0 5.9 7.4 10.2 3.1 16.7 3.1 20.0 -14.8 -6.6 9.5 20.0 -14.3 -16.9 9.8 4.3 US10 20.0 17.9 -2.7 -0.1 1.7 -1.6 2.2 -2.1 1.7 6.3 -5.7 6.6 -6.4 4.9 -2.4 -5.3 -6.9 -6.4 -7.2 -1.5 -6.1 6.3 -8.1 4.0 1.1 -0.7 1.9 -2.4 2.4 -2.9 1.5 -9.8 -0.3 -2.1 -2.4 -2.3 -20.0 -20.0 -3.4 1.7 US10U 20.0 15.8 -5.7 -0.1 2.0 -1.9 2.7 -2.6 2.0 7.8 -6.8 8.2 -7.8 5.4 -3.5 -1.0 -0.6 -0.3 -0.6 -2.4 -8.0 7.6 -10.1 4.7 -1.8 -1.1 2.2 -3.0 2.7 -3.4 1.5 1.5 -0.1 -3.1 -4.4 -4.9 -20.0 -20.0 3.9 15.1 US2 17.2 20.0 14.3 -0.1 1.8 -1.7 2.4 -2.3 1.8 3.3 -7.1 4.1 -7.6 4.0 -2.6 -20.0 -20.0 -20.0 -20.0 -1.4 -6.8 2.9 -11.7 2.2 7.7 -0.2 1.2 -2.7 1.9 -5.0 1.6 -20.0 -5.0 -7.4 3.0 3.9 -17.0 -20.0 -7.3 -20.0 US20 20.0 15.2 -8.6 -0.1 1.6 -1.5 2.1 -2.0 1.6 6.2 -5.2 6.5 -5.8 3.9 -2.8 -0.4 -1.5 -1.0 -1.5 -2.2 -7.0 6.6 -8.4 4.2 -1.7 -0.9 1.5 -2.4 1.9 -2.6 1.1 0.0 0.3 -1.3 -4.9 -6.7 -11.4 -20.0 12.8 20.0 US30 20.0 12.6 -6.6 -0.1 1.6 -1.5 2.2 -2.1 1.6 6.3 -5.6 6.6 -6.2 3.7 -3.3 -3.7 -4.0 -4.7 -4.8 -2.5 -7.1 6.2 -8.7 3.6 -1.2 -1.1 1.6 -2.6 2.0 -2.8 1.0 -4.9 0.6 -3.2 -5.0 -6.2 -6.8 -20.0 20.0 20.0 US5 20.0 18.8 1.5 -0.1 1.8 -1.6 2.3 -2.2 1.7 5.8 -6.1 6.4 -6.8 5.1 -2.2 -9.3 -10.4 -10.8 -11.4 -0.9 -5.6 5.6 -8.4 3.9 3.0 -0.3 2.0 -2.3 2.6 -3.3 1.9 -16.4 -1.8 -2.8 0.4 0.8 -20.0 -20.0 -13.3 -17.5 VIX -20.0 4.0 13.8 -2.9 -3.9 -3.4 -5.1 -5.4 -4.6 -12.8 -13.1 -14.2 -13.9 -13.3 -10.0 -20.0 -20.0 -20.0 -20.0 -11.6 -12.2 -17.0 -18.1 -16.5 NaN -3.3 -4.4 -3.8 -5.9 -6.4 -5.3 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -1.0 -2.6 -20.0 -1.7 5.7 -4.9 6.8 -6.1 3.7 -14.5 -20.0 -17.1 -20.0 -12.8 -20.0 -13.6 -10.7 -12.6 -11.8 -19.1 -20.0 -18.8 -20.0 -15.7 -5.1 -7.1 -8.2 -8.3 -10.1 -9.2 -7.7 -18.3 -20.0 -20.0 -8.3 -20.0 -20.0 -20.0 -20.0 -16.4 End of report for caleb_strategy_v3