******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231122_204333 produced at 2023-11-22 21:39:05.423972 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -3.25 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.21 0.0 0.11 -0.11 -0.11 -0.10 -34.34 17.0 -17 -16 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.20 0.0 0.00 0.00 0.00 0.00 -4.81 24.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 -0.13 0.0 0.78 -0.78 0.00 -0.03 -4.66 29.0 0 -1 caleb_strategy_v3 US2 False True 0.07 0.00 -0.12 0.0 0.00 0.00 0.00 0.00 -1.54 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 -2.07 13.0 -3 -3 caleb_strategy_v3 LIVECOW False False 0.03 -0.08 -0.08 0.0 0.44 -0.44 -0.08 -0.05 -3.12 17.0 -3 -2 caleb_strategy_v3 JPY False False 0.03 -0.09 -0.07 0.0 0.52 -0.52 -0.09 -0.03 -2.11 17.0 -3 -1 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.07 0.0 0.34 -0.34 -0.04 -0.04 -1.61 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 -4.50 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 -6.33 12.0 -5 -5 caleb_strategy_v3 GOLD_micro False False 0.01 -0.04 -0.06 0.0 0.42 -0.42 -0.04 -0.04 -8.51 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 -18.94 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 -3.06 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 -0.41 2.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.04 0.0 0.19 -0.19 -0.02 -0.02 -10.17 51.0 -6 -6 caleb_strategy_v3 US5 False False 0.04 -0.12 -0.04 0.0 0.97 -0.97 -0.12 -0.12 -1.15 25.0 -3 -3 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.03 -2.56 8.0 -2 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -4.56 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.03 0.0 0.23 -0.23 -0.01 -0.00 -9.44 68.0 -2 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.11 -0.11 -0.04 -0.04 -2.91 9.0 -3 -3 caleb_strategy_v3 COPPER False False 0.04 0.00 -0.03 0.0 0.21 -0.21 0.00 0.00 -0.79 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 -0.55 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 -0.61 999999999.0 0 0 caleb_strategy_v3 DOW False False 0.01 -0.03 -0.02 0.0 0.43 -0.43 -0.03 -0.03 -3.64 66.0 -4 -5 caleb_strategy_v3 US10 False False 0.04 0.00 -0.02 0.0 0.68 -0.68 0.00 0.00 -0.47 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 -2.07 48.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.12 -0.12 -0.03 -0.03 -0.48 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 -0.28 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 0.05 -0.05 -0.01 0.0 0.41 -0.41 -0.05 -0.05 -0.19 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 -0.19 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 -2.49 3.0 0 0 caleb_strategy_v3 BUND False True 0.05 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.04 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 0.16 7.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.00 0.0 0.27 -0.27 0.00 0.00 -0.31 23.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.00 0.0 0.46 -0.46 0.00 0.00 -0.08 19.0 0 0 caleb_strategy_v3 BUXL False True 0.05 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.03 4.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 -0.04 -0.00 0.0 0.13 -0.13 -0.04 0.00 -0.07 3.0 -1 0 caleb_strategy_v3 BOBL False True 0.05 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.08 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 0.01 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 0.10 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 0.88 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 0.42 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 0.18 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 0.54 21.0 1 1 caleb_strategy_v3 CAC False False 0.03 0.29 0.02 0.0 0.35 -0.35 0.29 0.32 0.69 12.0 10 11 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.02 0.0 0.12 -0.12 0.00 0.00 0.62 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 0.19 -0.19 0.01 0.01 1.52 18.0 1 1 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.02 0.0 0.14 -0.14 0.01 0.00 1.71 13.0 1 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.03 0.0 0.05 -0.05 0.00 0.00 2.03 4.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.05 0.04 0.0 0.39 -0.39 0.05 0.05 2.66 26.0 3 3 caleb_strategy_v3 BTP False True 0.05 0.09 0.04 0.0 0.09 0.00 0.09 0.09 0.84 10.0 2 2 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.07 -0.07 0.00 0.00 1.69 3.0 0 0 caleb_strategy_v3 OAT False True 0.05 0.10 0.06 0.0 0.10 0.00 0.10 0.10 1.16 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 44.61 59.0 36 36 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.06 0.0 0.14 -0.14 0.05 0.05 2.18 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 3.52 20.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.08 0.0 0.37 -0.37 0.00 0.00 11.82 58.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.18 0.16 0.0 0.30 -0.30 0.18 0.25 18.96 36.0 22 30 caleb_strategy_v3 MXP False False 0.01 0.29 0.29 0.0 0.64 -0.64 0.29 0.35 27.08 60.0 27 33 caleb_strategy_v3 JGB-SGX-mini False True 0.04 0.00 0.67 0.0 0.00 0.00 0.00 0.00 18.51 16.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.00 0.85 0.0 0.98 -0.98 0.00 0.39 8.73 10.0 0 4 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 15.5 Shocked risk 37.2 Sum abs risk 50.1 Leverage 4.57 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2716073.68, 'annual_cash_vol_target': 679018.42, 'daily_cash_vol_target': 42438.65125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0047 0.6546 0.7129 11.4057 BITCOIN 941.5289 38045.0000 2.4748 39.5964 BOBL 0.2592 116.7500 0.2220 3.5517 BTP 0.6273 114.1700 0.5494 8.7905 BUND 0.5332 131.2100 0.4063 6.5014 BUXL 1.3124 128.7400 1.0194 16.3112 CAC 55.3048 7270.0000 0.7607 12.1716 CAD 0.0030 0.7302 0.4158 6.6528 CANOLA 8.5377 712.1000 1.1990 19.1833 CHF 0.0051 1.1342 0.4481 7.1697 COCOA 43.1130 4075.0000 1.0580 16.9278 COFFEE 3.1068 169.3500 1.8346 29.3529 COPPER 0.0368 3.8115 0.9662 15.4597 CORN 4.8400 513.5000 0.9426 15.0809 COTTON2 1.0347 80.9500 1.2782 20.4513 CRUDE_W 1.2448 74.2700 1.6761 26.8173 DAX 113.3919 15997.0000 0.7088 11.3413 DOW 221.0009 35304.0000 0.6260 10.0159 DX 0.4649 103.4100 0.4496 7.1933 EUR 0.0057 1.0896 0.5269 8.4301 EURIBOR-ICE 0.0490 97.3650 0.0503 0.8047 EUROSTX 35.7574 4361.0000 0.8199 13.1190 FEEDCOW 2.1765 229.9750 0.9464 15.1426 GASOIL 14.1001 803.7500 1.7543 28.0686 GASOLINE 0.0431 2.2083 1.9496 31.1929 GAS_US_mini 0.1009 3.0500 3.3082 52.9313 GBP 0.0077 1.2492 0.6175 9.8795 GOLD_micro 13.2191 2013.4000 0.6566 10.5049 HEATOIL 0.0489 2.7651 1.7697 28.3147 JGB-SGX-mini 0.2736 146.0400 0.1873 2.9972 JPY 0.0000 0.0067 0.6410 10.2554 LEANHOG 1.1989 71.8250 1.6693 26.7082 LIVECOW 1.5862 175.3000 0.9049 14.4777 LUMBER-new 7.5621 552.5000 1.3687 21.8994 MILK 0.2020 16.9900 1.1888 19.0212 MXP 0.0004 0.0579 0.7733 12.3732 NASDAQ_micro 138.0091 16054.0000 0.8597 13.7545 NIKKEI 315.6356 33725.0000 0.9359 14.9746 NZD 0.0046 0.6020 0.7664 12.2627 OAT 0.5538 126.1600 0.4390 7.0235 OATIES 7.0900 387.7500 1.8285 29.2560 OJ 6.0816 403.9500 1.5055 24.0884 PALLAD 21.3404 1070.0000 1.9944 31.9108 PLAT 14.7123 930.4000 1.5813 25.3006 REDWHEAT 8.7905 625.2500 1.4059 22.4946 RICE 0.1465 17.5050 0.8367 13.3874 ROBUSTA 36.7986 2516.0000 1.4626 23.4013 RUSSELL 23.6725 1798.5000 1.3162 21.0598 SHATZ 0.0766 105.0450 0.0729 1.1661 SILVER-mini 0.3343 23.9625 1.3950 22.3194 SMI 73.2897 10835.0000 0.6764 10.8227 SOFR 0.0845 96.2600 0.0878 1.4048 SOYBEAN 11.4771 1302.7500 0.8810 14.0959 SOYMEAL 6.0251 424.1000 1.4207 22.7310 SOYOIL 0.7781 52.4000 1.4848 23.7574 SP400 26.0716 2553.6000 1.0210 16.3356 SP500_micro 31.9395 4566.7500 0.6994 11.1903 SUGAR11 0.3299 25.9000 1.2737 20.3798 US10 0.5136 109.1875 0.4704 7.5259 US10U 0.6951 112.8750 0.6158 9.8532 US2 0.1223 101.4883 0.1205 1.9283 US20 1.0260 115.8750 0.8854 14.1664 US30 1.5086 121.9062 1.2375 19.8007 US5 0.3231 105.8359 0.3053 4.8844 VIX 0.5526 16.9000 3.2701 52.3216 WHEAT 7.7406 644.7500 1.2006 19.2088 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 654.55 0.71 466.60 1.00 466.60 42438.65 90.95 -0.33 -2.97 BITCOIN 38.04 2.47 94.15 1.00 94.15 42438.65 450.74 9.14 411.99 BOBL 1167.50 0.22 259.17 1.10 283.97 42438.65 149.45 -0.52 -7.82 BTP 1141.70 0.55 627.26 1.10 687.28 42438.65 61.75 3.98 24.56 BUND 1312.10 0.41 533.16 1.10 584.18 42438.65 72.65 -0.53 -3.87 BUXL 1287.40 1.02 1312.44 1.10 1438.04 42438.65 29.51 -0.97 -2.85 CAC 727.00 0.76 553.05 1.10 605.97 42438.65 70.03 2.87 20.09 CAD 730.20 0.42 303.62 1.00 303.62 42438.65 139.78 -12.86 -179.71 CANOLA 142.42 1.20 170.75 0.73 124.42 42438.65 341.10 -12.25 -417.94 CHF 1417.81 0.45 635.33 1.00 635.33 42438.65 66.80 -11.97 -79.96 COCOA 407.50 1.06 431.13 1.00 431.13 42438.65 98.44 12.61 124.14 COFFEE 635.06 1.83 1165.06 1.00 1165.06 42438.65 36.43 -5.50 -20.04 COPPER 952.88 0.97 920.70 1.00 920.70 42438.65 46.09 -1.59 -7.34 CORN 256.75 0.94 242.00 1.00 242.00 42438.65 175.37 -14.83 -260.14 COTTON2 404.75 1.28 517.35 1.00 517.35 42438.65 82.03 -17.42 -142.89 CRUDE_W 742.70 1.68 1244.82 1.00 1244.82 42438.65 34.09 5.90 20.10 DAX 159.97 0.71 113.39 1.10 124.24 42438.65 341.58 10.15 346.54 DOW 176.52 0.63 110.50 1.00 110.50 42438.65 384.06 -4.08 -156.53 DX 1034.10 0.45 464.91 1.00 464.91 42438.65 91.28 -2.59 -23.65 EUR 1362.06 0.53 717.65 1.00 717.65 42438.65 59.14 1.15 6.81 EURIBOR-ICE 2434.12 0.05 122.42 1.10 134.14 42438.65 316.39 8.09 256.00 EUROSTX 436.10 0.82 357.57 1.10 391.79 42438.65 108.32 9.54 103.31 FEEDCOW 1149.88 0.95 1088.26 1.00 1088.26 42438.65 39.00 -12.48 -48.65 GASOIL 803.75 1.75 1410.01 1.00 1410.01 42438.65 30.10 4.77 14.35 GASOLINE 927.49 1.95 1808.19 1.00 1808.19 42438.65 23.47 0.13 0.31 GAS_US_mini 76.25 3.31 252.25 1.00 252.25 42438.65 168.24 -10.39 -174.88 GBP 780.75 0.62 482.09 1.00 482.09 42438.65 88.03 3.13 27.52 GOLD_micro 201.34 0.66 132.19 1.00 132.19 42438.65 321.04 -7.77 -249.43 HEATOIL 1161.34 1.77 2055.19 1.00 2055.19 42438.65 20.65 -0.83 -1.72 JGB-SGX-mini 146040.00 0.19 27356.56 0.01 185.36 42438.65 228.95 7.47 170.97 JPY 838.56 0.64 537.49 1.00 537.49 42438.65 78.96 -10.28 -81.19 LEANHOG 287.30 1.67 479.58 1.00 479.58 42438.65 88.49 3.19 28.20 LIVECOW 701.20 0.90 634.48 1.00 634.48 42438.65 66.89 -14.05 -94.01 LUMBER-new 151.94 1.37 207.96 1.00 207.96 42438.65 204.07 -5.72 -116.72 MILK 339.80 1.19 403.96 1.00 403.96 42438.65 105.06 -20.00 -210.11 MXP 289.70 0.77 224.03 1.00 224.03 42438.65 189.43 9.74 184.50 NASDAQ_micro 321.08 0.86 276.02 1.00 276.02 42438.65 153.75 -0.88 -13.51 NIKKEI 33725.00 0.94 31563.56 0.01 213.86 42438.65 198.44 8.82 175.06 NZD 602.05 0.77 461.42 1.00 461.42 42438.65 91.97 2.28 20.96 OAT 1261.60 0.44 553.80 1.10 606.80 42438.65 69.94 4.86 33.99 OATIES 193.88 1.83 354.50 1.00 354.50 42438.65 119.71 -15.67 -187.58 OJ 605.93 1.51 912.23 1.00 912.23 42438.65 46.52 16.96 78.91 PALLAD 1070.00 1.99 2134.04 1.00 2134.04 42438.65 19.89 -8.09 -16.09 PLAT 465.20 1.58 735.61 1.00 735.61 42438.65 57.69 2.13 12.29 REDWHEAT 312.62 1.41 439.52 1.00 439.52 42438.65 96.56 -20.00 -193.11 RICE 350.10 0.84 292.93 1.00 292.93 42438.65 144.87 5.76 83.49 ROBUSTA 251.60 1.46 367.99 1.00 367.99 42438.65 115.33 6.54 75.47 RUSSELL 89.92 1.32 118.36 1.00 118.36 42438.65 358.55 -7.95 -284.87 SHATZ 1050.45 0.07 76.56 1.10 83.88 42438.65 505.92 -9.38 -474.61 SILVER-mini 599.06 1.39 835.67 1.00 835.67 42438.65 50.78 -1.64 -8.32 SMI 1083.50 0.68 732.90 1.13 829.53 42438.65 51.16 -1.10 -5.62 SOFR 2406.50 0.09 211.29 1.00 211.29 42438.65 200.86 -2.66 -53.44 SOYBEAN 651.38 0.88 573.86 1.00 573.86 42438.65 73.95 2.29 16.97 SOYMEAL 424.10 1.42 602.51 1.00 602.51 42438.65 70.44 1.52 10.72 SOYOIL 314.40 1.48 466.83 1.00 466.83 42438.65 90.91 -5.63 -51.15 SP400 2553.60 1.02 2607.16 1.00 2607.16 42438.65 16.28 -7.60 -12.38 SP500_micro 228.34 0.70 159.70 1.00 159.70 42438.65 265.74 -3.36 -89.25 SUGAR11 290.08 1.27 369.49 1.00 369.49 42438.65 114.86 6.23 71.58 US10 1091.88 0.47 513.58 1.00 513.58 42438.65 82.63 -4.49 -37.10 US10U 1128.75 0.62 695.12 1.00 695.12 42438.65 61.05 -2.51 -15.30 US2 2029.77 0.12 244.63 1.00 244.63 42438.65 173.48 -7.02 -121.75 US20 1158.75 0.89 1025.96 1.00 1025.96 42438.65 41.36 -0.99 -4.09 US30 1219.06 1.24 1508.64 1.00 1508.64 42438.65 28.13 -1.38 -3.90 US5 1058.36 0.31 323.09 1.00 323.09 42438.65 131.35 -6.93 -91.04 VIX 169.00 3.27 552.65 1.00 552.65 42438.65 76.79 -18.12 -139.12 WHEAT 322.38 1.20 387.03 1.00 387.03 42438.65 109.65 -20.00 -219.31 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -2.966 0.010 2.5 -0.077 BITCOIN 411.992 0.043 2.5 44.615 BOBL -7.816 0.004 2.5 -0.079 BTP 24.560 0.014 2.5 0.838 BUND -3.871 0.004 2.5 -0.039 BUXL -2.851 0.004 2.5 -0.029 CAC 20.089 0.014 2.5 0.685 CAD -179.706 0.010 2.5 -4.663 CANOLA -417.944 0.010 2.5 -10.168 CHF -79.961 0.010 2.5 -2.075 COCOA 124.138 0.009 2.5 2.659 COFFEE -20.039 0.005 2.5 -0.234 COPPER -7.340 0.043 2.5 -0.795 CORN -260.139 0.010 2.5 -6.329 COTTON2 -142.886 0.009 2.5 -3.060 CRUDE_W 20.102 0.043 2.5 2.177 DAX 346.543 0.014 2.5 11.820 DOW -156.533 0.009 2.5 -3.638 DX -23.647 0.010 2.5 -0.614 EUR 6.813 0.010 2.5 0.177 EURIBOR-ICE 256.003 0.014 2.5 8.732 EUROSTX 103.308 0.014 2.5 3.524 FEEDCOW -48.650 0.013 2.5 -1.612 GASOIL 14.345 0.017 2.5 0.622 GASOLINE 0.305 0.017 2.5 0.013 GAS_US_mini -174.879 0.043 2.5 -18.938 GBP 27.523 0.010 2.5 0.714 GOLD_micro -249.429 0.014 2.5 -8.508 HEATOIL -1.717 0.017 2.5 -0.074 JGB-SGX-mini 170.971 0.043 2.5 18.515 JPY -81.192 0.010 2.5 -2.107 LEANHOG 28.200 0.024 2.5 1.714 LIVECOW -94.006 0.013 2.5 -3.115 LUMBER-new -116.718 0.009 2.5 -2.488 MILK -210.111 0.009 2.5 -4.500 MXP 184.501 0.059 2.5 27.081 NASDAQ_micro -13.506 0.009 2.5 -0.314 NIKKEI 175.063 0.043 2.5 18.958 NZD 20.958 0.010 2.5 0.544 OAT 33.987 0.014 2.5 1.159 OATIES -187.576 0.010 2.5 -4.564 OJ 78.907 0.009 2.5 1.690 PALLAD -16.092 0.014 2.5 -0.549 PLAT 12.294 0.014 2.5 0.419 REDWHEAT -193.112 0.005 2.5 -2.562 RICE 83.488 0.010 2.5 2.031 ROBUSTA 75.473 0.005 2.5 0.881 RUSSELL -284.869 0.013 2.5 -9.440 SHATZ -474.614 0.004 2.5 -4.813 SILVER-mini -8.319 0.014 2.5 -0.284 SMI -5.623 0.014 2.5 -0.192 SOFR -53.442 0.024 2.5 -3.248 SOYBEAN 16.970 0.004 2.5 0.158 SOYMEAL 10.719 0.004 2.5 0.100 SOYOIL -51.151 0.004 2.5 -0.476 SP400 -12.379 0.013 2.5 -0.410 SP500_micro -89.248 0.009 2.5 -2.074 SUGAR11 71.578 0.009 2.5 1.522 US10 -37.100 0.005 2.5 -0.470 US10U -15.297 0.005 2.5 -0.194 US2 -121.752 0.005 2.5 -1.543 US20 -4.085 0.005 2.5 -0.052 US30 -3.895 0.005 2.5 -0.049 US5 -91.041 0.005 2.5 -1.154 VIX -139.122 0.099 2.5 -34.342 WHEAT -219.305 0.005 2.5 -2.909 ===================== Position diags ===================== AUD 2.36 BITCOIN 48.81 BOBL 1.52 BTP 2.11 BUND 0.74 BUXL 0.30 CAC 2.39 CAD 3.63 CANOLA 8.30 CHF 1.73 COCOA 2.11 COFFEE 0.43 COPPER 4.99 CORN 4.27 COTTON2 1.76 CRUDE_W 3.69 DAX 11.65 DOW 8.93 DX 2.37 EUR 1.53 EURIBOR-ICE 10.79 EUROSTX 3.69 FEEDCOW 1.29 GASOIL 1.30 GASOLINE 1.02 GAS_US_mini 18.22 GBP 2.28 GOLD_micro 10.95 HEATOIL 0.90 JGB-SGX-mini 24.79 JPY 2.05 LEANHOG 5.38 LIVECOW 2.22 LUMBER-new 4.35 MILK 2.25 MXP 27.80 NASDAQ_micro 3.57 NIKKEI 21.49 NZD 2.39 OAT 2.39 OATIES 2.91 OJ 1.00 PALLAD 0.68 PLAT 1.97 REDWHEAT 1.28 RICE 3.52 ROBUSTA 1.35 RUSSELL 11.88 SHATZ 5.13 SILVER-mini 1.73 SMI 1.75 SOFR 12.21 SOYBEAN 0.69 SOYMEAL 0.66 SOYOIL 0.85 SP400 0.54 SP500_micro 6.18 SUGAR11 2.44 US10 1.05 US10U 0.77 US2 2.20 US20 0.52 US30 0.36 US5 1.66 VIX 18.96 WHEAT 1.45 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.1 -0.3 0.2 0.0 0 BITCOIN 44.6 39.7 49.5 36.0 36 BOBL -0.1 -0.2 0.1 0.0 0 BTP 0.8 0.6 1.0 2.0 2 BUND -0.0 -0.1 0.0 0.0 0 BUXL -0.0 -0.1 0.0 0.0 0 CAC 0.7 0.4 0.9 10.0 10 CAD -4.7 -5.0 -4.3 0.0 0 CANOLA -10.2 -11.0 -9.3 -6.0 -6 CHF -2.1 -2.2 -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 -0.8 -1.3 -0.3 0.0 0 CORN -6.3 -6.8 -5.9 -5.0 -5 COTTON2 -3.1 -3.2 -2.9 -5.0 -5 CRUDE_W 2.2 1.8 2.5 2.0 2 DAX 11.8 10.7 13.0 0.0 0 DOW -3.6 -4.5 -2.7 -4.0 -4 DX -0.6 -0.9 -0.4 NaN 0 EUR 0.2 0.0 0.3 0.0 0 EURIBOR-ICE 8.7 7.7 9.8 0.0 0 EUROSTX 3.5 3.2 3.9 0.0 0 FEEDCOW -1.6 -1.7 -1.5 -1.0 -1 GASOIL 0.6 0.5 0.8 0.0 0 GASOLINE 0.0 -0.1 0.1 0.0 0 GAS_US_mini -18.9 -20.8 -17.1 -5.0 -5 GBP 0.7 0.5 0.9 0.0 0 GOLD_micro -8.5 -9.6 -7.4 -5.0 -5 HEATOIL -0.1 -0.2 0.0 -1.0 -1 JGB-SGX-mini 18.5 16.0 21.0 0.0 0 JPY -2.1 -2.3 -1.9 -3.0 -3 LEANHOG 1.7 1.2 2.3 1.0 1 LIVECOW -3.1 -3.3 -2.9 -3.0 -3 LUMBER-new -2.5 -2.9 -2.1 NaN 0 MILK -4.5 -4.7 -4.3 NaN 0 MXP 27.1 24.3 29.9 27.0 27 NASDAQ_micro -0.3 -0.7 0.0 0.0 0 NIKKEI 19.0 16.8 21.1 22.0 22 NZD 0.5 0.3 0.8 1.0 1 OAT 1.2 0.9 1.4 2.0 2 OATIES -4.6 -4.9 -4.3 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 -2.6 -2.7 -2.4 -2.0 -2 RICE 2.0 1.7 2.4 NaN 0 ROBUSTA 0.9 0.7 1.0 1.0 1 RUSSELL -9.4 -10.6 -8.3 -2.0 -2 SHATZ -4.8 -5.3 -4.3 NaN 0 SILVER-mini -0.3 -0.5 -0.1 NaN 0 SMI -0.2 -0.4 -0.0 -1.0 -1 SOFR -3.2 -4.5 -2.0 NaN 0 SOYBEAN 0.2 0.1 0.2 0.0 0 SOYMEAL 0.1 0.0 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 -2.1 -2.7 -1.5 -1.0 -1 SUGAR11 1.5 1.3 1.8 1.0 1 US10 -0.5 -0.6 -0.4 NaN 0 US10U -0.2 -0.3 -0.1 0.0 0 US2 -1.5 -1.8 -1.3 NaN 0 US20 -0.1 -0.1 0.0 0.0 0 US30 -0.0 -0.1 -0.0 0.0 0 US5 -1.2 -1.3 -1.0 -3.0 -3 VIX -34.3 -36.2 -32.4 -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 0.0 -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 0.0 -0.1 0.1 -0.1 0.0 -0.1 -0.1 0.0 0.0 -0.1 -0.3 -0.6 -0.1 0.2 BITCOIN 0.3 0.6 0.2 0.0 0.1 -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 -0.3 0.6 0.6 0.6 -0.1 0.7 -0.0 0.7 BOBL 0.5 0.3 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 -0.0 -0.1 -0.2 0.2 0.2 -0.6 -0.7 -0.4 -0.6 BTP 0.6 0.4 -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 0.3 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 -0.2 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 -0.0 0.1 -0.0 -0.6 -0.7 -0.4 0.5 CAC 0.6 -0.1 -0.6 0.0 0.1 -0.0 0.1 -0.0 0.1 0.2 -0.2 0.2 0.5 0.1 -0.0 -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 -0.1 -0.3 -0.2 0.2 0.2 0.1 0.4 0.3 CAD 0.4 -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 -0.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.1 0.0 -0.1 -0.2 0.0 -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 -0.2 -0.2 -0.4 -0.4 -0.4 -0.2 0.1 0.2 CHF 0.5 0.3 -0.6 0.0 0.1 -0.0 0.1 0.0 0.1 0.1 -0.2 0.2 0.2 0.2 -0.1 -0.3 -0.3 -0.3 -0.3 0.0 -0.0 0.2 -0.0 0.1 -1.1 -0.0 0.1 -0.1 0.1 -0.0 0.1 -1.1 0.1 -0.5 0.2 -0.3 -0.7 -0.7 -0.7 -0.7 COCOA 0.5 0.6 0.1 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.1 0.5 0.2 0.7 0.2 0.2 -0.0 -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 0.4 -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 0.0 0.3 -0.4 0.1 0.6 0.4 -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 0.1 0.1 -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 0.1 -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 -0.4 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.5 0.0 -0.7 -0.0 -0.1 -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 0.0 -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 -0.0 0.0 0.2 -0.6 -0.6 -0.1 -0.6 -0.4 -0.0 0.2 CRUDE_W -0.5 -0.3 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 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 0.2 0.2 0.2 0.7 0.4 0.7 0.4 DAX 0.6 0.1 -0.6 0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 -0.2 0.2 0.4 0.1 -0.0 -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 0.4 0.2 0.1 0.0 0.2 0.1 0.5 0.4 DOW 0.6 0.2 -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 -1.3 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 -0.5 0.5 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 0.2 -0.1 -2.7 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.8 -0.5 -0.6 -0.4 0.6 0.3 0.2 0.4 0.7 EUR 0.6 0.4 -0.4 0.0 0.0 -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 0.1 -0.1 0.1 1.3 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.4 0.0 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 0.0 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 0.0 0.1 0.4 0.5 -0.7 -0.7 0.1 0.7 EUROSTX 0.6 0.2 -0.4 0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 -0.1 0.2 0.5 0.2 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.2 0.1 0.2 0.6 0.0 0.1 -0.0 0.1 0.0 0.1 0.2 0.1 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 0.1 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 -0.1 -0.6 0.7 0.4 0.7 0.2 GAS_US_mini -0.6 -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 -0.2 -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 -0.0 0.5 -0.6 -0.4 0.2 -0.6 0.1 GBP 0.6 0.2 -0.5 0.0 0.0 -0.0 0.1 0.0 0.0 0.1 -0.2 0.1 0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 0.0 0.0 -0.0 0.1 -0.0 0.0 0.2 -0.1 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 -1.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.9 -0.2 -0.3 0.3 0.2 -0.4 -0.7 -0.4 -0.7 HEATOIL -0.5 -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 0.2 -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 -0.0 0.1 -0.7 0.5 0.6 JPY 0.3 0.4 -0.3 0.0 0.0 -0.0 0.1 0.0 0.0 0.0 -0.3 0.0 -0.5 -0.0 -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 -0.3 -0.0 -1.1 -0.3 -0.6 -0.4 -0.5 -0.2 -0.7 -0.0 -0.7 LEANHOG 0.3 -0.1 0.1 -0.0 0.0 -0.1 0.0 -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 -0.1 -0.3 -0.0 2.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.0 1.1 -0.5 0.1 -0.2 -0.1 -0.3 -0.1 0.3 0.5 LIVECOW -0.6 -0.6 -0.6 -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 -0.3 -0.2 -0.2 -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 -0.5 0.0 -0.3 LUMBER-new 0.8 0.4 -0.2 -0.0 0.0 -0.2 0.1 -0.3 0.1 0.1 -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 0.0 -0.0 0.1 -0.1 0.1 -1.2 0.1 0.8 0.7 0.1 -0.6 -0.8 -0.3 -0.7 MILK -0.4 -0.1 -0.1 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.1 -0.3 -0.2 -0.5 -0.2 -0.1 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.2 -0.5 -0.2 0.7 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -1.1 -0.5 -0.6 -0.4 0.0 -0.7 -0.7 -0.7 -0.7 MXP 0.6 0.0 -0.6 0.0 0.0 -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 0.1 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 -0.2 0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 0.2 0.1 0.3 0.1 0.1 -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 0.3 0.4 0.3 0.2 -0.4 0.2 -0.5 NIKKEI 0.6 0.1 -0.4 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 0.3 0.2 0.5 0.2 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 -0.1 -0.0 0.1 0.5 -0.2 0.0 -0.1 0.3 NZD 0.6 0.3 -0.1 0.0 0.0 -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 0.0 -0.0 0.1 -0.1 0.0 0.2 -0.1 0.0 0.0 -0.0 -0.0 -0.5 0.1 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 -0.3 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.2 -0.1 -0.0 -0.0 -0.1 -2.7 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.1 0.2 -0.6 -0.6 -0.4 0.3 0.4 0.7 0.7 OJ -0.5 -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 0.3 0.1 1.1 0.5 0.6 0.6 0.6 0.2 0.3 0.7 0.7 PALLAD -0.0 -0.2 -0.1 0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 -0.3 0.0 -0.4 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 0.0 -0.5 -0.1 0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.4 -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 0.0 -0.1 -0.1 0.1 -0.1 -0.5 0.3 -0.3 REDWHEAT -0.1 -0.6 -0.6 -0.0 0.0 -0.1 0.1 -0.2 0.0 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.1 -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 0.0 -0.1 0.1 -0.2 0.0 0.1 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 0.1 0.1 0.1 0.2 0.5 0.6 0.6 0.6 -0.1 -0.6 0.5 -0.2 ROBUSTA 0.3 -0.0 -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 0.3 0.0 RUSSELL 0.6 0.1 -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 -0.0 -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 -0.2 -0.5 0.1 0.2 -0.4 -0.7 -0.2 -0.7 SILVER-mini 0.3 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 0.0 0.0 0.1 0.0 0.0 -0.1 -0.0 -0.1 -0.1 0.1 -0.6 -0.7 -0.1 -0.7 SMI 0.6 -0.3 -0.4 0.0 0.0 -0.0 0.1 -0.0 0.1 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 0.1 -0.1 0.1 -0.1 0.0 0.7 -0.3 -0.5 -0.6 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 0.5 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 0.0 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 0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.1 0.0 0.1 0.1 0.1 0.4 0.4 0.3 0.3 0.1 0.1 0.0 0.1 0.1 -2.7 0.0 -0.0 0.1 0.0 0.1 0.0 1.1 -0.2 0.4 0.6 0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.4 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.1 -0.1 -0.1 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 0.4 -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 0.1 -0.4 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 0.3 0.2 0.1 -0.0 -0.3 0.1 -0.5 SUGAR11 -0.1 -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 -0.3 -0.3 0.3 0.6 -0.5 -0.6 0.3 0.1 US10 0.6 0.4 -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 -0.1 -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 -0.5 0.0 -0.0 -0.1 -0.1 -0.7 -0.7 -0.1 0.1 US10U 0.6 0.4 -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 0.4 -0.3 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -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 -0.1 -0.2 -0.4 -0.7 0.4 0.7 US30 0.6 0.3 -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 -0.1 -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 -0.1 -0.2 -0.2 -0.7 0.7 0.7 US5 0.6 0.5 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 0.0 -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 -0.5 -0.6 VIX -1.0 0.2 0.7 -0.1 -0.0 -0.2 -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 -0.0 -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 -0.1 -0.5 -0.2 -0.7 -0.1 -0.2 -0.3 -0.2 -0.3 -0.2 -0.2 -0.2 -0.1 -0.5 -0.2 -0.7 -0.1 -0.0 -0.2 -0.1 -0.3 -0.1 -1.0 -0.5 -0.6 -0.3 -0.6 -0.7 -0.7 -0.7 -0.6 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 19.5 10.6 -3.1 1.0 4.4 -0.1 6.1 0.3 4.2 10.3 -8.9 11.0 -9.3 9.0 -3.1 -2.7 -3.0 -3.0 -3.1 1.5 -4.8 11.3 -7.6 8.3 3.0 1.0 4.7 -2.1 6.1 -3.3 4.6 -1.2 -3.1 0.8 1.2 -2.4 -9.3 -19.5 -2.3 5.6 BITCOIN 9.2 20.0 6.0 1.0 12.0 -1.5 11.4 -0.8 6.1 11.5 17.8 17.4 14.9 20.0 20.0 -9.2 -5.4 -7.8 -6.8 20.0 20.0 19.1 9.8 20.0 -20.0 7.6 2.4 4.7 4.4 2.2 7.5 -0.5 -11.6 20.0 20.0 20.0 -4.0 20.0 -0.7 20.0 BOBL 15.2 9.7 3.8 -0.0 1.4 -1.9 2.5 -2.7 2.1 4.3 -4.2 6.2 -7.7 7.2 2.3 11.6 -2.2 5.5 -0.5 2.0 -2.6 4.4 -8.2 5.0 9.1 1.0 1.2 -1.0 2.4 -3.1 2.6 -0.8 -2.3 -6.1 4.9 7.1 -17.5 -20.0 -12.8 -18.6 BTP 20.0 11.5 -6.7 -0.0 2.1 -2.7 3.7 -3.8 3.1 11.2 -2.2 12.7 -0.1 11.6 2.5 7.7 7.7 7.2 6.9 6.0 -1.8 16.1 -5.1 15.6 -7.4 1.9 3.0 -0.4 4.9 -1.1 4.7 15.2 8.1 7.8 9.2 6.2 -13.3 -20.0 0.8 6.7 BUND 20.0 9.4 -1.0 -0.0 1.5 -2.0 2.6 -2.8 2.2 7.7 -4.6 8.6 -8.3 7.9 0.7 -3.6 4.3 -1.7 0.8 2.0 -3.7 7.4 -9.1 6.9 6.0 0.9 2.4 -1.2 3.3 -2.7 3.1 7.2 0.3 -2.9 4.2 4.9 -20.0 -20.0 -20.0 -4.5 BUXL 20.0 10.0 -4.3 -0.0 1.6 -2.1 2.8 -3.0 2.4 9.0 -6.2 9.7 -9.3 8.2 -1.9 0.3 0.8 0.5 0.7 0.4 -6.9 10.7 -12.4 8.3 1.3 0.3 3.3 -2.1 3.9 -3.2 3.1 4.2 2.9 -0.8 2.8 -0.3 -18.1 -20.0 -13.2 14.7 CAC 20.0 -1.8 -17.5 0.7 5.8 -1.8 8.2 -0.8 6.0 18.6 -5.7 20.0 13.5 13.8 -4.4 -6.1 -3.0 -5.8 -5.0 -0.1 -5.9 20.0 3.1 16.1 -6.1 0.2 7.1 -2.1 9.3 0.5 6.2 3.4 -2.8 -8.8 -5.6 5.7 6.8 4.5 13.0 10.0 CAD 11.2 -4.5 -9.9 1.6 6.8 -0.2 9.5 0.5 6.6 12.0 -14.5 9.0 -14.7 -6.9 -14.2 -2.5 -2.2 -2.5 -2.4 -9.9 -12.1 5.1 -10.9 -1.7 2.5 -5.1 3.2 -6.0 2.8 -4.9 -0.7 0.0 -19.0 -20.0 -20.0 -16.2 -17.8 -20.0 -9.2 -17.7 CANOLA 20.0 -12.3 -14.0 -0.7 1.4 -2.3 2.7 -2.9 1.8 3.1 -2.4 6.1 -3.8 0.2 -7.3 -11.2 2.5 -10.8 -5.0 -7.0 -7.4 3.5 -5.7 -0.7 -20.0 -2.8 -0.1 -2.8 0.1 -2.5 -1.2 -0.1 -8.4 -5.1 -13.5 -13.2 -11.1 -6.0 3.7 6.0 CHF 14.7 9.0 -17.4 1.4 6.1 -0.2 8.5 0.5 5.9 15.9 -7.7 16.7 4.7 14.3 -4.7 -15.6 -14.9 -16.3 -15.8 0.5 -4.6 18.5 -1.1 12.0 -7.9 -0.1 6.1 -2.1 7.4 -0.8 4.7 -20.0 2.8 -16.7 6.1 -10.6 -20.0 -20.0 -20.0 -20.0 COCOA 15.0 19.1 3.3 -1.6 3.1 -5.3 6.3 -6.8 4.1 12.3 20.0 20.0 20.0 20.0 20.0 -1.3 -2.6 -3.1 -3.0 20.0 20.0 20.0 20.0 20.0 -20.0 8.6 3.5 8.4 6.6 8.8 8.7 -3.5 20.0 20.0 20.0 20.0 10.8 -3.4 20.0 10.4 COFFEE 11.0 20.0 10.3 -1.2 2.4 -4.1 4.9 -5.2 3.1 -6.5 -7.6 7.1 -11.6 13.5 12.3 9.1 2.4 3.9 2.5 11.7 2.0 3.2 -6.5 12.4 -20.0 4.7 -1.3 1.8 1.2 -0.4 4.6 5.3 -17.4 4.5 20.0 13.8 -20.0 -20.0 -20.0 -12.3 COPPER 19.6 4.5 -6.1 0.8 10.2 -1.2 9.7 -0.6 5.2 15.1 -14.1 17.5 -6.4 12.5 -7.2 -9.2 -4.6 -8.0 -6.4 1.8 -7.6 20.0 -9.9 15.3 -6.5 2.0 11.2 -2.0 12.2 -3.1 7.8 0.5 8.4 20.0 4.6 1.2 -1.9 -19.6 5.7 -17.7 CORN 3.1 5.8 -13.8 -1.4 2.8 -4.7 5.6 -6.0 3.6 2.8 -20.0 1.2 -19.6 -4.5 -13.8 -6.6 0.4 -6.2 -4.3 -6.1 -16.3 -0.3 -20.0 -1.3 -20.0 -1.6 0.5 -4.7 0.1 -8.5 -0.4 -2.1 -11.9 -11.0 5.4 -2.2 -7.4 -3.9 3.3 4.1 COTTON2 -15.3 -20.0 -4.3 -1.2 2.3 -3.9 4.6 -4.9 3.0 9.0 -3.2 -4.5 -9.4 -10.8 -10.7 -8.2 1.3 -6.0 -2.7 -17.0 -8.7 -5.0 -4.4 -15.8 -20.0 -4.8 0.1 -2.2 -1.6 -0.2 -4.6 0.1 7.4 -20.0 -20.0 -2.2 -19.1 -12.9 -1.5 4.7 CRUDE_W -15.5 -8.6 8.7 -2.4 -0.9 1.6 -3.2 3.2 -4.6 11.2 9.9 -3.0 7.7 -8.5 0.5 7.2 10.9 11.0 11.2 -0.1 8.9 -2.5 11.1 -6.2 -4.9 -0.4 0.9 4.5 -1.7 6.6 -3.4 -20.0 10.4 7.1 7.5 5.3 20.0 10.8 20.0 10.8 DAX 20.0 2.9 -18.4 0.6 5.4 -1.6 7.6 -0.7 5.5 17.7 -7.8 19.4 10.3 13.7 -3.4 -9.7 -8.2 -9.7 -9.2 3.3 -6.8 20.0 -1.0 20.0 17.3 1.0 7.4 -2.0 10.0 -0.9 7.1 -4.9 17.8 7.7 2.0 0.3 6.5 3.3 14.0 11.9 DOW 20.0 6.1 -12.1 0.5 4.2 -1.3 5.9 -0.6 4.3 13.5 -0.4 15.2 7.3 12.6 1.3 -9.7 -9.1 -10.5 -10.3 6.4 -0.9 20.0 -0.2 20.0 -9.4 1.4 5.2 -0.2 6.9 0.5 5.3 -6.5 3.6 3.5 1.4 3.5 -17.8 -6.5 -20.0 -7.7 DX -20.0 -14.2 13.9 1.1 4.6 -0.1 6.5 0.4 4.5 -10.0 9.2 -11.9 -2.6 -9.9 5.1 7.0 6.0 7.1 6.7 -1.6 5.7 -16.3 6.2 -12.3 -20.0 -0.7 -4.1 2.2 -6.2 2.7 -4.8 14.9 -20.0 -20.0 -11.6 20.0 9.6 7.1 13.5 19.6 EUR 20.0 12.8 -11.7 1.1 4.6 -0.1 6.5 0.4 4.5 8.4 -6.9 11.4 3.4 11.1 -1.4 -5.8 -6.8 -6.3 -6.5 3.9 -2.8 15.0 -3.5 13.1 10.0 1.6 3.1 -1.1 6.0 -1.3 5.3 -7.3 1.5 5.6 7.5 -4.1 -14.8 -16.0 -12.7 -5.4 EURIBOR-ICE 20.0 20.0 12.3 -0.0 1.3 -1.8 2.4 -2.5 2.0 4.5 0.4 6.9 -5.6 7.7 7.0 -3.7 -7.0 -5.3 -6.6 8.3 2.8 7.1 -4.8 10.1 17.1 2.4 0.8 0.9 2.1 -1.0 2.9 -9.4 0.1 3.3 12.8 14.3 -20.0 -20.0 4.4 20.0 EUROSTX 20.0 4.8 -13.5 0.7 5.6 -1.7 7.8 -0.7 5.7 17.9 -4.6 19.9 12.7 16.1 -1.7 -5.7 -2.8 -5.6 -4.8 6.4 -2.0 20.0 4.0 20.0 4.2 2.5 6.8 -0.6 9.8 0.7 8.0 3.7 4.4 1.8 8.3 9.5 3.5 5.8 7.9 14.5 FEEDCOW -11.5 -20.0 -20.0 -0.8 1.6 -2.7 3.2 -3.4 2.1 0.0 -3.4 -7.0 5.1 -10.4 -10.2 -12.1 -20.0 -12.7 -20.0 -19.5 -7.5 -10.9 4.6 -19.8 -1.6 -3.4 -0.8 -0.9 -2.0 1.7 -3.6 -20.0 -20.0 -20.0 -20.0 -7.6 14.4 -0.3 20.0 8.3 GASOIL -18.7 -18.8 6.5 -2.0 -0.8 1.3 -2.7 2.7 -3.9 10.1 8.9 -5.6 7.3 -10.9 -3.0 13.5 20.0 20.0 20.0 -4.0 7.5 -3.7 12.2 -10.1 8.3 -1.1 2.6 3.4 -1.2 4.7 -3.5 0.0 5.6 2.7 2.0 9.4 -7.2 -0.4 -11.9 -5.7 GASOLINE -5.5 -17.0 -12.2 -2.3 -0.9 1.5 -3.1 3.1 -4.4 11.1 4.7 -1.3 5.5 -9.6 -10.3 -1.3 20.0 15.2 20.0 -7.2 0.3 -0.7 8.1 -7.0 -20.0 -3.5 1.3 0.2 -0.8 4.6 -3.4 10.7 11.3 9.9 -4.1 -17.2 20.0 10.6 20.0 6.7 GAS_US_mini -18.0 -0.1 15.2 -2.4 -0.9 1.6 -3.3 3.3 -4.7 -13.6 -14.8 -17.0 -19.1 -16.5 -15.5 -20.0 -20.0 -20.0 -20.0 -14.7 -13.1 -20.0 -20.0 -20.0 20.0 -4.4 -7.5 -2.1 -9.5 -2.0 -7.9 -20.0 -20.0 -1.0 16.5 -19.6 -12.2 6.5 -18.0 2.5 GBP 20.0 6.7 -15.7 1.1 4.4 -0.1 6.2 0.4 4.3 9.3 -6.6 10.7 5.1 8.7 -4.3 -0.7 -0.8 -0.6 -0.6 0.9 -2.9 12.0 -1.6 8.8 0.6 0.5 3.7 -1.5 5.5 -1.2 4.2 2.9 -2.1 2.4 3.0 -6.0 -9.4 4.0 -4.5 20.0 GOLD_micro 0.2 20.0 -3.4 0.7 8.9 -1.1 8.4 -0.6 4.5 13.3 -2.6 4.1 3.3 11.9 10.1 -15.2 -14.8 -16.3 -16.1 7.6 1.3 10.7 -0.4 10.0 -7.1 2.3 4.4 0.6 3.5 0.4 3.1 -16.9 -6.7 -9.2 8.9 5.0 -11.9 -20.0 -10.9 -20.0 HEATOIL -16.3 -19.9 1.8 -2.2 -0.8 1.5 -3.0 3.0 -4.2 7.9 8.1 -2.4 6.5 -9.2 -4.3 17.8 20.0 20.0 20.0 -4.1 6.0 -0.4 10.7 -8.1 -19.3 -1.8 2.7 2.8 -0.5 5.7 -3.4 2.3 14.1 3.5 0.7 3.7 9.8 -1.9 4.6 -7.0 JGB-SGX-mini 20.0 6.1 -14.5 -0.0 1.3 -1.7 2.3 -2.4 1.9 6.2 -3.5 7.3 1.4 5.2 -0.8 17.9 19.5 17.0 16.9 0.0 -3.0 13.6 -1.6 7.6 -1.8 -0.5 4.0 -1.5 4.3 -1.2 2.2 20.0 15.2 -5.2 -2.1 -1.5 3.5 -20.0 15.5 16.6 JPY 9.0 10.8 -8.3 1.0 4.1 -0.1 5.8 0.3 4.0 4.5 -12.7 4.1 -12.5 -2.9 -11.0 -17.7 -16.1 -18.4 -17.6 -9.3 -15.8 3.9 -19.4 -1.9 20.0 -4.2 1.7 -6.2 1.5 -7.0 -1.2 -20.0 -11.7 -19.9 -13.3 -15.3 -5.7 -20.0 -0.1 -20.0 LEANHOG 9.8 -4.5 2.1 -1.0 1.9 -3.2 3.8 -4.1 2.5 -13.1 0.2 -3.0 -7.1 -2.4 -5.2 -20.0 16.9 4.6 20.0 -4.3 -7.1 -9.8 -11.2 -3.6 14.7 -2.1 -11.7 -5.0 -5.7 -8.8 -1.8 20.0 -20.0 3.0 -6.6 -3.8 -10.1 -4.5 8.7 16.0 LIVECOW -17.1 -20.0 -20.0 -0.8 1.6 -2.7 3.3 -3.5 2.1 -5.5 0.6 -9.5 6.9 -10.8 -9.5 -7.4 -5.0 -13.0 -8.7 -14.0 -3.8 -11.7 5.1 -16.9 0.1 -3.4 -1.4 -0.4 -2.7 2.3 -4.1 -8.5 -20.0 -20.0 -20.0 -5.7 -3.9 -16.3 1.3 -7.9 LUMBER-new 20.0 11.6 -4.5 -1.7 3.4 -5.6 6.9 -6.0 4.4 11.1 -15.5 20.0 -20.0 20.0 3.8 -14.1 -14.7 -15.6 -15.2 9.0 -7.6 20.0 -14.7 20.0 NaN 4.5 4.3 -1.1 9.2 -3.1 9.7 -20.0 4.2 20.0 20.0 2.6 -14.8 -20.0 -8.4 -17.5 MILK -11.3 -3.8 -4.3 -1.1 2.1 -3.6 4.2 -4.5 2.7 -14.5 -10.2 -15.0 -13.2 -14.6 -12.1 -20.0 -20.0 -19.9 -20.0 -14.8 -15.7 -20.0 -20.0 -17.9 5.4 -4.8 -9.0 -5.5 -7.9 -7.8 -6.1 -20.0 -20.0 -20.0 -13.9 0.2 -20.0 -20.0 -20.0 -20.0 MXP 20.0 0.3 -20.0 1.2 5.0 -0.1 6.9 0.4 4.8 10.7 7.2 13.4 12.0 11.2 3.2 12.9 16.2 13.8 14.8 7.2 5.1 18.0 12.1 16.0 -20.0 2.4 3.8 1.8 6.0 4.4 5.3 20.0 -4.7 15.3 0.3 4.7 9.1 12.8 17.3 20.0 NASDAQ_micro 20.0 2.8 -6.1 0.4 3.5 -1.1 5.0 -0.5 3.6 10.4 7.4 12.5 9.0 11.4 5.1 -9.5 -8.8 -9.7 -9.6 10.2 7.3 20.0 9.9 20.0 -20.0 2.4 3.9 2.0 5.9 3.5 5.1 -5.7 4.3 7.9 12.2 8.2 5.5 -11.1 5.4 -13.8 NIKKEI 20.0 1.8 -11.2 0.5 4.6 -1.4 6.5 -0.6 4.7 13.2 12.8 15.9 13.3 14.3 9.9 3.8 9.7 5.6 7.9 11.2 9.5 20.0 13.7 19.1 -10.0 3.4 5.2 3.4 6.8 5.5 6.2 20.0 -3.7 -1.3 2.2 16.8 -6.3 1.4 -4.4 8.7 NZD 19.1 7.9 -2.4 0.9 3.7 -0.1 5.2 0.3 3.6 7.6 -7.4 8.9 -2.3 6.0 -2.6 -0.1 0.2 -0.1 0.0 0.8 -3.4 8.4 -5.0 6.0 0.8 0.9 3.4 -1.3 4.9 -2.1 3.7 4.2 -4.1 0.9 1.1 -0.5 -0.9 -14.5 4.4 7.9 OAT 20.0 10.3 -1.2 -0.0 1.6 -2.1 2.8 -3.0 2.4 8.5 -4.2 9.4 -8.3 8.5 1.1 5.3 7.5 5.7 6.3 3.0 -3.4 9.5 -8.5 9.0 8.3 1.3 2.6 -0.9 3.8 -2.4 3.6 14.6 3.0 0.0 5.4 5.7 -20.0 -20.0 -8.2 10.6 OATIES -9.9 -20.0 -20.0 -0.7 1.3 -2.3 2.7 -2.9 1.7 7.7 -3.7 -4.1 -3.3 -7.6 -9.1 -18.4 -9.9 -18.5 -16.2 -15.9 -8.7 -2.1 -1.2 -13.0 -20.0 -3.0 2.1 -1.6 -0.5 -0.3 -2.6 -20.0 6.8 -20.0 -20.0 -11.8 7.9 11.0 20.0 20.0 OJ -16.6 -10.0 13.9 -1.3 2.6 -4.4 5.2 -5.6 3.3 14.9 19.5 16.4 20.0 16.0 17.8 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.2 6.0 8.6 7.1 9.6 6.4 20.0 20.0 20.0 20.0 20.0 6.4 9.4 20.0 20.0 PALLAD -1.4 -5.9 -2.1 0.4 5.2 -0.6 5.0 -0.3 2.6 6.9 -10.3 1.1 -11.2 -5.6 -7.7 -2.1 -2.6 -2.5 -2.7 -12.4 -15.0 0.5 -19.6 -8.0 4.3 -3.4 1.1 -3.2 -0.4 -3.0 -2.6 5.2 -15.2 -20.0 -20.0 -10.1 -4.7 -8.4 7.7 -2.9 PLAT 2.9 6.5 -2.6 0.5 5.7 -0.7 5.4 -0.4 2.9 8.7 -9.0 6.6 -5.4 3.6 -3.5 -3.2 -2.8 -3.5 -3.3 -1.9 -5.0 8.9 -5.2 2.7 12.0 -0.1 6.5 -1.0 4.5 -1.0 1.5 4.6 1.2 -2.6 -3.2 3.7 -2.1 -14.7 10.1 -10.3 REDWHEAT -2.6 -17.7 -20.0 -1.4 2.8 -4.8 5.7 -6.1 3.6 -15.5 -20.0 -18.2 -20.0 -20.0 -20.0 -7.1 -1.1 -5.9 -3.7 -20.0 -20.0 -20.0 -20.0 -20.0 -19.0 -8.1 -5.6 -7.7 -7.0 -5.6 -7.4 -2.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -13.4 RICE 19.4 6.8 6.9 -1.5 3.0 -5.1 6.0 -6.4 3.9 15.8 14.3 20.0 9.0 18.9 11.9 -16.2 4.2 -14.8 -3.8 20.0 12.1 20.0 7.9 20.0 -20.0 5.5 8.3 2.8 12.8 1.6 10.2 4.6 20.0 20.0 20.0 20.0 -2.5 -18.4 14.2 -6.2 ROBUSTA 10.3 -0.4 -10.0 -0.9 1.8 -3.1 3.7 -3.9 2.4 3.2 9.6 8.0 11.1 8.8 6.3 20.0 20.0 20.0 20.0 8.1 7.8 10.0 11.7 11.4 -17.2 3.4 1.5 3.2 3.8 4.5 4.5 20.0 11.9 -1.4 13.2 11.1 -6.6 -12.2 10.5 0.6 RUSSELL 20.0 2.3 -14.9 0.3 2.8 -0.9 4.0 -0.4 2.9 7.1 -6.2 8.5 -5.6 5.7 -5.1 -5.8 -6.3 -6.8 -6.9 -2.7 -5.8 9.2 -4.8 5.2 -1.6 -0.8 2.0 -1.7 3.4 -1.0 2.0 -1.2 -2.1 -3.0 -7.0 -6.1 -15.4 -13.6 -20.0 -20.0 SHATZ 5.2 8.3 2.9 -0.0 1.4 -1.9 2.5 -2.6 2.1 -0.6 -6.9 -0.4 -8.4 2.2 -2.3 -20.0 -15.9 -20.0 -20.0 -1.4 -5.7 -1.1 -12.4 -0.0 10.3 -0.7 -1.8 -2.3 -0.7 -4.9 -0.1 -20.0 -8.7 -14.1 2.8 6.1 -12.9 -20.0 -6.7 -20.0 SILVER-mini 7.9 7.5 -6.8 0.7 7.9 -1.0 7.5 -0.5 4.0 11.2 -4.8 12.0 1.8 11.9 -0.1 -6.7 -6.5 -7.2 -7.0 1.3 -3.1 11.6 -2.4 8.0 7.0 1.5 4.2 0.2 6.0 0.4 4.2 -1.8 -1.3 -2.7 -2.1 3.4 -16.8 -20.0 -2.7 -20.0 SMI 19.7 -7.8 -13.4 0.6 4.7 -1.4 6.6 -0.6 4.8 15.5 -8.8 16.0 -0.3 -0.3 -7.5 5.1 2.4 3.8 2.3 -8.0 -11.2 14.4 -7.0 4.2 6.3 -2.4 6.2 -3.4 5.4 -2.7 1.7 13.9 -11.4 -14.4 -17.6 3.3 -8.3 -9.6 -3.4 -5.6 SOFR 20.0 11.9 -4.7 -0.0 1.2 -1.6 2.1 -2.2 1.8 5.7 -4.6 6.9 -4.7 6.2 -0.4 0.4 -0.6 -0.1 -0.6 0.6 -3.8 6.9 -5.2 5.7 -1.3 0.1 1.7 -1.6 2.7 -2.1 2.2 1.5 0.8 0.7 0.7 0.9 -20.0 -20.0 -5.7 -8.9 SOYBEAN 14.5 3.8 2.0 -1.3 2.5 -4.3 5.1 -5.5 3.3 6.9 8.8 12.0 5.9 13.1 -1.3 18.9 18.1 16.1 15.6 7.4 4.1 9.8 2.0 11.1 -20.0 4.6 2.8 2.6 5.3 1.5 6.4 20.0 -2.7 17.5 15.4 9.4 -20.0 -11.9 -20.0 -6.5 SOYMEAL 14.8 20.0 4.6 -0.8 1.5 -2.6 3.0 -3.2 2.0 -6.1 3.9 4.1 3.5 8.9 8.3 20.0 18.0 16.9 16.7 11.3 6.1 3.4 3.6 11.4 -20.0 3.4 -1.2 2.3 1.2 1.9 3.4 20.0 -10.1 13.5 20.0 15.1 -20.0 -20.0 -20.0 -20.0 SOYOIL 12.9 -20.0 -17.0 -0.8 1.5 -2.5 3.0 -3.2 1.9 7.4 -2.0 7.2 -3.2 -5.0 -8.8 4.4 10.5 8.1 9.4 -10.6 -9.0 7.8 -4.2 -2.2 -20.0 -2.7 2.9 -2.4 2.2 -1.2 -0.5 18.2 14.6 -1.9 -19.8 -12.9 -6.8 2.6 8.6 16.1 SP400 20.0 0.5 -18.2 0.4 3.1 -1.0 4.4 -0.4 3.2 9.8 -5.3 10.4 -1.5 7.6 -4.1 -5.2 -5.1 -5.4 -5.4 -1.8 -5.5 13.0 -3.6 7.9 -8.3 -0.3 3.2 -1.4 4.4 -0.6 2.8 1.2 0.7 -2.0 -5.1 -4.0 -9.9 -13.2 -15.5 -20.0 SP500_micro 20.0 2.6 -12.4 0.5 4.1 -1.3 5.8 -0.5 4.2 13.3 2.4 15.0 7.2 12.5 2.5 -10.1 -9.9 -10.8 -10.8 7.5 1.8 20.0 4.0 20.0 -17.3 1.8 5.0 0.6 6.9 1.8 5.4 -7.7 6.5 8.4 6.2 2.5 -0.0 -10.5 1.6 -14.7 SUGAR11 -4.3 -2.4 3.2 -1.3 2.6 -4.5 5.3 -5.7 3.4 -4.8 18.9 1.6 19.3 10.7 17.2 20.0 19.8 20.0 20.0 12.1 19.9 1.4 20.0 4.9 -20.0 5.7 -0.9 10.3 0.8 17.1 2.4 20.0 -11.1 -10.5 9.4 20.0 -13.9 -16.8 9.8 4.3 US10 20.0 13.4 -2.1 -0.0 1.1 -1.5 2.0 -2.1 1.7 5.3 -5.6 6.5 -6.4 5.2 -2.1 -5.3 -6.9 -6.4 -7.2 -1.2 -6.0 5.8 -8.2 4.2 1.1 -0.6 1.3 -2.3 2.2 -2.9 1.5 -9.9 0.0 -1.3 -2.0 -2.2 -20.0 -20.0 -3.6 1.7 US10U 20.0 12.0 -5.4 -0.0 1.4 -1.9 2.5 -2.6 2.1 8.0 -6.8 8.5 -7.8 6.2 -3.2 -0.0 -0.5 -0.0 -0.4 -2.1 -8.1 7.3 -10.4 5.0 -1.8 -1.0 1.7 -3.0 2.5 -3.5 1.7 1.7 -0.4 -2.2 -4.0 -4.8 -20.0 -20.0 3.7 15.1 US2 17.7 17.9 14.8 -0.0 1.2 -1.6 2.2 -2.3 1.8 2.7 -7.1 3.8 -7.6 4.2 -2.4 -20.0 -20.0 -20.0 -20.0 -1.3 -6.7 2.4 -11.8 2.1 7.7 -0.1 0.5 -2.6 1.6 -5.0 1.6 -20.0 -2.3 -7.4 2.9 3.8 -16.6 -20.0 -7.2 -20.0 US20 20.0 12.0 -8.2 -0.0 1.1 -1.4 1.9 -2.0 1.6 5.6 -5.1 6.5 -5.8 4.5 -2.4 -0.2 -1.5 -0.9 -1.4 -1.8 -6.9 6.5 -8.5 4.6 -1.7 -0.8 1.2 -2.3 1.9 -2.6 1.2 0.0 -0.2 -0.4 -4.2 -6.4 -11.4 -20.0 12.7 20.0 US30 20.0 10.6 -6.2 -0.0 1.1 -1.5 2.0 -2.1 1.7 6.3 -5.5 6.8 -6.2 4.4 -3.0 -3.9 -4.0 -4.7 -4.8 -2.2 -7.0 6.2 -8.9 3.9 -1.3 -1.0 1.5 -2.5 2.0 -2.8 1.2 -5.0 -0.2 -2.4 -4.5 -6.0 -6.7 -20.0 20.0 20.0 US5 20.0 13.9 2.2 -0.0 1.2 -1.6 2.1 -2.2 1.8 5.2 -6.0 6.4 -6.7 5.5 -1.9 -9.4 -10.4 -10.8 -11.4 -0.6 -5.5 5.1 -8.4 4.0 3.1 -0.2 1.3 -2.2 2.4 -3.3 1.9 -16.4 -0.5 -2.3 0.6 0.8 -20.0 -20.0 -13.6 -17.4 VIX -20.0 3.1 13.0 -3.1 -2.9 -3.5 -4.8 -5.5 -4.6 -11.4 -13.5 -14.3 -14.3 -13.8 -10.6 -20.0 -20.0 -20.0 -20.0 -12.4 -12.9 -16.0 -18.8 -16.9 NaN -3.5 -3.3 -4.0 -5.4 -6.4 -5.3 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -0.7 -2.7 -20.0 -1.5 2.9 -4.9 5.8 -6.2 3.7 -9.6 -20.0 -15.1 -20.0 -12.6 -20.0 -13.7 -10.8 -12.7 -11.9 -19.5 -20.0 -15.4 -20.0 -15.4 -5.1 -7.2 -3.6 -8.5 -8.1 -9.3 -7.5 -18.3 -20.0 -20.0 -9.4 -20.0 -20.0 -20.0 -20.0 -16.6 End of report for caleb_strategy_v3