******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231123_204338 produced at 2023-11-23 21:39:16.636837 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -3.27 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.22 0.0 0.00 0.00 0.00 0.00 -5.30 24.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.10 -0.21 0.0 0.10 -0.10 -0.10 -0.10 -34.67 17.0 -16 -16 caleb_strategy_v3 US2 False True 0.07 0.00 -0.12 0.0 0.00 0.00 0.00 0.00 -1.55 13.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.12 0.0 0.78 -0.78 -0.03 -0.03 -4.65 29.0 -1 -1 caleb_strategy_v3 CHF False False 0.05 -0.16 -0.11 0.0 0.68 -0.68 -0.16 -0.16 -2.05 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 -3.13 17.0 -3 -2 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.07 0.0 0.52 -0.52 -0.03 -0.03 -2.19 17.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.07 0.0 0.34 -0.34 -0.04 -0.04 -1.62 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 -4.52 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 -6.36 12.0 -5 -5 caleb_strategy_v3 GOLD_micro False False 0.01 -0.04 -0.06 0.0 0.41 -0.41 -0.04 -0.05 -8.66 56.0 -5 -7 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 -0.05 0.0 0.07 -0.07 -0.01 -0.03 -19.18 26.0 -5 -10 caleb_strategy_v3 COTTON2 False False 0.01 -0.07 -0.05 0.0 0.16 -0.16 -0.07 -0.07 -3.09 11.0 -5 -5 caleb_strategy_v3 US5 False False 0.04 -0.12 -0.05 0.0 0.97 -0.97 -0.12 -0.12 -1.16 25.0 -3 -3 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 -10.41 51.0 -6 -6 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.03 -2.57 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 -4.59 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.00 -0.03 0.0 0.22 -0.22 -0.00 -0.00 -9.45 68.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.11 -0.11 -0.04 -0.04 -2.92 9.0 -3 -3 caleb_strategy_v3 DX False False 0.04 0.00 -0.03 0.0 999.00 -999.00 0.00 0.00 -0.70 999999999.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.03 0.0 0.21 -0.21 0.00 0.00 -0.80 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 DOW False False 0.01 -0.03 -0.02 0.0 0.43 -0.43 -0.03 -0.03 -3.61 66.0 -5 -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 -2.09 48.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.12 -0.12 -0.03 -0.02 -0.48 10.0 -3 -2 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.25 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 -0.24 6.0 0 0 caleb_strategy_v3 BOBL False True 0.05 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.17 19.0 0 0 caleb_strategy_v3 SMI False False 0.05 -0.05 -0.01 0.0 0.41 -0.41 -0.05 -0.05 -0.14 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 -0.20 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 -2.39 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 -0.06 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 AUD False False 0.02 0.00 0.00 0.0 0.46 -0.46 0.00 0.02 0.01 19.0 0 1 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 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 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.09 3.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.02 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 NASDAQ_micro False False 0.01 0.00 -0.00 0.0 0.27 -0.27 0.00 0.00 -0.33 23.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.20 -0.20 0.01 0.01 0.92 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 0.21 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 0.61 21.0 1 1 caleb_strategy_v3 CAC False False 0.03 0.32 0.02 0.0 0.35 -0.35 0.32 0.32 0.59 12.0 11 11 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.02 0.0 0.12 -0.12 0.00 0.00 0.64 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 0.83 22.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 0.02 0.0 0.19 -0.19 0.01 0.00 1.59 18.0 1 0 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.02 0.0 0.14 -0.14 0.01 0.00 1.72 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 2.02 4.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.04 0.04 0.0 0.39 -0.39 0.04 0.04 2.73 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 0.79 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 0.05 0.0 0.10 0.00 0.10 0.10 1.09 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 42.25 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 0.08 2.16 5.0 2 3 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 0.08 0.0 0.37 -0.37 0.00 0.00 12.33 58.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.25 0.18 0.0 0.30 -0.30 0.25 0.27 21.15 36.0 30 33 caleb_strategy_v3 MXP False False 0.01 0.35 0.31 0.0 0.64 -0.64 0.35 0.37 29.20 60.0 33 35 caleb_strategy_v3 JGB-SGX-mini False True 0.04 0.00 0.76 0.0 0.00 0.00 0.00 0.00 21.07 16.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.39 0.77 0.0 0.97 -0.97 0.39 0.58 7.90 10.0 4 6 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 15.8 Shocked risk 38.0 Sum abs risk 50.4 Leverage 4.62 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2729732.44, 'annual_cash_vol_target': 682433.11, 'daily_cash_vol_target': 42652.069375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0046 0.6564 0.6989 11.1824 BITCOIN 938.9571 37965.0000 2.4732 39.5715 BOBL 0.2621 116.4400 0.2251 3.6009 BTP 0.6363 113.5800 0.5602 8.9639 BUND 0.5387 130.5900 0.4125 6.6008 BUXL 1.3078 127.6200 1.0248 16.3965 CAC 54.2854 7285.5000 0.7451 11.9219 CAD 0.0030 0.7304 0.4096 6.5543 CANOLA 8.4659 702.7000 1.2048 19.2762 CHF 0.0050 1.1340 0.4408 7.0529 COCOA 42.7463 4084.0000 1.0467 16.7469 COFFEE 3.1055 169.0500 1.8370 29.3924 COPPER 0.0368 3.8125 0.9650 15.4396 CORN 4.8400 513.5000 0.9426 15.0809 COTTON2 1.0340 80.9000 1.2781 20.4501 CRUDE_W 1.2474 74.1300 1.6828 26.9240 DAX 111.3658 16028.0000 0.6948 11.1171 DOW 221.2881 35321.0000 0.6265 10.0241 DX 0.4570 103.3850 0.4420 7.0720 EUR 0.0056 1.0914 0.5164 8.2625 EURIBOR-ICE 0.0497 97.3050 0.0510 0.8167 EUROSTX 35.1745 4370.0000 0.8049 12.8785 FEEDCOW 2.1765 229.9750 0.9464 15.1426 GASOIL 13.9400 800.7500 1.7409 27.8539 GASOLINE 0.0431 2.2081 1.9499 31.1979 GAS_US_mini 0.1006 3.0400 3.3092 52.9466 GBP 0.0076 1.2536 0.6059 9.6938 GOLD_micro 13.2480 2012.2000 0.6584 10.5341 HEATOIL 0.0494 2.7528 1.7945 28.7112 JGB-SGX-mini 0.2668 146.0500 0.1827 2.9231 JPY 0.0000 0.0067 0.6281 10.0492 LEANHOG 1.1989 71.8250 1.6693 26.7082 LIVECOW 1.5862 175.3000 0.9049 14.4777 LUMBER-new 7.5532 554.5000 1.3622 21.7948 MILK 0.2020 17.0100 1.1877 19.0033 MXP 0.0004 0.0580 0.7596 12.1542 NASDAQ_micro 137.9287 16045.0000 0.8596 13.7542 NIKKEI 308.4433 33730.0000 0.9144 14.6312 NZD 0.0045 0.6046 0.7518 12.0281 OAT 0.5611 125.5000 0.4471 7.1540 OATIES 7.0900 387.7500 1.8285 29.2560 OJ 6.1051 405.1500 1.5069 24.1101 PALLAD 21.3404 1070.0000 1.9944 31.9108 PLAT 14.6897 931.1000 1.5777 25.2428 REDWHEAT 8.7905 625.2500 1.4059 22.4946 RICE 0.1470 17.4950 0.8402 13.4439 ROBUSTA 36.2104 2425.0000 1.4932 23.8914 RUSSELL 23.6827 1799.5000 1.3161 21.0571 SHATZ 0.0758 104.9900 0.0722 1.1555 SILVER-mini 0.3321 24.0500 1.3807 22.0917 SMI 72.4547 10880.0000 0.6659 10.6551 SOFR 0.0844 96.2650 0.0877 1.4031 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 26.1197 2556.8000 1.0216 16.3453 SP500_micro 31.9298 4565.7500 0.6993 11.1893 SUGAR11 0.3277 25.9400 1.2633 20.2129 US10 0.5122 109.2656 0.4688 7.5006 US10U 0.6950 112.9062 0.6156 9.8488 US2 0.1221 101.9297 0.1198 1.9172 US20 1.0242 116.0625 0.8825 14.1193 US30 1.5096 122.0000 1.2374 19.7979 US5 0.3226 105.8594 0.3048 4.8761 VIX 0.5517 16.8500 3.2744 52.3908 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 656.40 0.70 458.76 1.00 458.76 42652.07 92.97 0.05 0.46 BITCOIN 37.97 2.47 93.90 1.00 93.90 42652.07 454.25 8.59 390.17 BOBL 1164.40 0.23 262.06 1.09 285.72 42652.07 149.28 -1.13 -16.86 BTP 1135.80 0.56 636.33 1.09 693.79 42652.07 61.48 3.76 23.10 BUND 1305.90 0.41 538.75 1.09 587.39 42652.07 72.61 -0.80 -5.80 BUXL 1276.20 1.02 1307.83 1.09 1425.92 42652.07 29.91 -0.86 -2.57 CAC 728.55 0.75 542.85 1.09 591.87 42652.07 72.06 2.38 17.18 CAD 730.40 0.41 299.21 1.00 299.21 42652.07 142.55 -12.57 -179.16 CANOLA 140.54 1.20 169.32 0.73 123.44 42652.07 345.54 -12.38 -427.94 CHF 1417.44 0.44 624.81 1.00 624.81 42652.07 68.26 -11.56 -78.89 COCOA 408.40 1.05 427.46 1.00 427.46 42652.07 99.78 12.76 127.33 COFFEE 633.94 1.84 1164.56 1.00 1164.56 42652.07 36.63 -5.60 -20.50 COPPER 953.12 0.96 919.74 1.00 919.74 42652.07 46.37 -1.59 -7.38 CORN 256.75 0.94 242.00 1.00 242.00 42652.07 176.25 -14.84 -261.56 COTTON2 404.50 1.28 517.00 1.00 517.00 42652.07 82.50 -17.46 -144.04 CRUDE_W 741.30 1.68 1247.42 1.00 1247.42 42652.07 34.19 5.84 19.98 DAX 160.28 0.69 111.37 1.09 121.42 42652.07 351.27 10.29 361.59 DOW 176.60 0.63 110.64 1.00 110.64 42652.07 385.49 -4.03 -155.41 DX 1033.85 0.44 456.96 1.00 456.96 42652.07 93.34 -2.88 -26.87 EUR 1364.31 0.52 704.54 1.00 704.54 42652.07 60.54 1.35 8.18 EURIBOR-ICE 2432.63 0.05 124.17 1.09 135.39 42652.07 315.04 7.35 231.57 EUROSTX 437.00 0.80 351.75 1.09 383.51 42652.07 111.22 9.19 102.25 FEEDCOW 1149.88 0.95 1088.26 1.00 1088.26 42652.07 39.19 -12.47 -48.88 GASOIL 800.75 1.74 1394.00 1.00 1394.00 42652.07 30.60 4.83 14.77 GASOLINE 927.40 1.95 1808.31 1.00 1808.31 42652.07 23.59 0.20 0.47 GAS_US_mini 76.00 3.31 251.50 1.00 251.50 42652.07 169.59 -10.44 -177.14 GBP 783.50 0.61 474.69 1.00 474.69 42652.07 89.85 3.55 31.86 GOLD_micro 201.22 0.66 132.48 1.00 132.48 42652.07 321.95 -7.88 -253.74 HEATOIL 1156.18 1.79 2074.70 1.00 2074.70 42652.07 20.56 -0.99 -2.05 JGB-SGX-mini 146050.00 0.18 26682.85 0.01 179.20 42652.07 238.01 8.18 194.58 JPY 838.75 0.63 526.80 1.00 526.80 42652.07 80.96 -10.43 -84.42 LEANHOG 287.30 1.67 479.58 1.00 479.58 42652.07 88.94 3.19 28.35 LIVECOW 701.20 0.90 634.48 1.00 634.48 42652.07 67.22 -14.05 -94.46 LUMBER-new 152.49 1.36 207.71 1.00 207.71 42652.07 205.34 -5.45 -111.88 MILK 340.20 1.19 404.06 1.00 404.06 42652.07 105.56 -20.00 -211.12 MXP 289.80 0.76 220.14 1.00 220.14 42652.07 193.75 10.27 198.97 NASDAQ_micro 320.90 0.86 275.86 1.00 275.86 42652.07 154.62 -0.90 -13.99 NIKKEI 33730.00 0.91 30844.33 0.01 207.15 42652.07 205.90 9.49 195.34 NZD 604.55 0.75 454.47 1.00 454.47 42652.07 93.85 2.49 23.35 OAT 1255.00 0.45 561.14 1.09 611.82 42652.07 69.71 4.60 32.06 OATIES 193.88 1.83 354.50 1.00 354.50 42652.07 120.32 -15.67 -188.54 OJ 607.72 1.51 915.77 1.00 915.77 42652.07 46.58 16.96 78.97 PALLAD 1070.00 1.99 2134.04 1.00 2134.04 42652.07 19.99 -8.07 -16.14 PLAT 465.55 1.58 734.49 1.00 734.49 42652.07 58.07 2.14 12.45 REDWHEAT 312.62 1.41 439.52 1.00 439.52 42652.07 97.04 -20.00 -194.08 RICE 349.90 0.84 294.00 1.00 294.00 42652.07 145.07 5.73 83.09 ROBUSTA 242.50 1.49 362.10 1.00 362.10 42652.07 117.79 6.69 78.77 RUSSELL 89.98 1.32 118.41 1.00 118.41 42652.07 360.20 -7.92 -285.28 SHATZ 1049.90 0.07 75.82 1.09 82.67 42652.07 515.95 -10.12 -522.27 SILVER-mini 601.25 1.38 830.16 1.00 830.16 42652.07 51.38 -1.41 -7.24 SMI 1088.00 0.67 724.55 1.13 819.43 42652.07 52.05 -0.79 -4.12 SOFR 2406.62 0.09 211.05 1.00 211.05 42652.07 202.09 -2.66 -53.83 SOYBEAN 651.38 0.88 573.86 1.00 573.86 42652.07 74.33 2.29 17.01 SOYMEAL 424.10 1.42 602.51 1.00 602.51 42652.07 70.79 1.52 10.75 SOYOIL 314.40 1.48 466.83 1.00 466.83 42652.07 91.36 -5.63 -51.44 SP400 2556.80 1.02 2611.97 1.00 2611.97 42652.07 16.33 -7.54 -12.32 SP500_micro 228.29 0.70 159.65 1.00 159.65 42652.07 267.16 -3.37 -89.99 SUGAR11 290.53 1.26 367.03 1.00 367.03 42652.07 116.21 6.43 74.77 US10 1092.66 0.47 512.22 1.00 512.22 42652.07 83.27 -4.49 -37.37 US10U 1129.06 0.62 695.00 1.00 695.00 42652.07 61.37 -2.54 -15.56 US2 2038.59 0.12 244.27 1.00 244.27 42652.07 174.61 -7.00 -122.26 US20 1160.62 0.88 1024.20 1.00 1024.20 42652.07 41.64 -0.95 -3.96 US30 1220.00 1.24 1509.59 1.00 1509.59 42652.07 28.25 -1.40 -3.95 US5 1058.59 0.30 322.61 1.00 322.61 42652.07 132.21 -6.93 -91.62 VIX 168.50 3.27 551.74 1.00 551.74 42652.07 77.30 -18.17 -140.45 WHEAT 322.38 1.20 387.03 1.00 387.03 42652.07 110.20 -20.00 -220.41 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 0.458 0.010 2.5 0.012 BITCOIN 390.174 0.043 2.5 42.252 BOBL -16.862 0.004 2.5 -0.171 BTP 23.104 0.014 2.5 0.788 BUND -5.798 0.004 2.5 -0.059 BUXL -2.571 0.004 2.5 -0.026 CAC 17.176 0.014 2.5 0.586 CAD -179.163 0.010 2.5 -4.649 CANOLA -427.940 0.010 2.5 -10.412 CHF -78.891 0.010 2.5 -2.047 COCOA 127.327 0.009 2.5 2.727 COFFEE -20.500 0.005 2.5 -0.239 COPPER -7.375 0.043 2.5 -0.799 CORN -261.555 0.010 2.5 -6.363 COTTON2 -144.045 0.009 2.5 -3.085 CRUDE_W 19.979 0.043 2.5 2.164 DAX 361.591 0.014 2.5 12.334 DOW -155.412 0.009 2.5 -3.612 DX -26.868 0.010 2.5 -0.697 EUR 8.177 0.010 2.5 0.212 EURIBOR-ICE 231.569 0.014 2.5 7.899 EUROSTX 102.255 0.014 2.5 3.488 FEEDCOW -48.883 0.013 2.5 -1.620 GASOIL 14.771 0.017 2.5 0.640 GASOLINE 0.466 0.017 2.5 0.020 GAS_US_mini -177.136 0.043 2.5 -19.182 GBP 31.858 0.010 2.5 0.827 GOLD_micro -253.744 0.014 2.5 -8.655 HEATOIL -2.045 0.017 2.5 -0.089 JGB-SGX-mini 194.583 0.043 2.5 21.072 JPY -84.418 0.010 2.5 -2.190 LEANHOG 28.351 0.024 2.5 1.723 LIVECOW -94.463 0.013 2.5 -3.130 LUMBER-new -111.883 0.009 2.5 -2.385 MILK -211.119 0.009 2.5 -4.522 MXP 198.973 0.059 2.5 29.205 NASDAQ_micro -13.993 0.009 2.5 -0.325 NIKKEI 195.341 0.043 2.5 21.154 NZD 23.354 0.010 2.5 0.606 OAT 32.056 0.014 2.5 1.093 OATIES -188.541 0.010 2.5 -4.587 OJ 78.972 0.009 2.5 1.691 PALLAD -16.138 0.014 2.5 -0.550 PLAT 12.446 0.014 2.5 0.425 REDWHEAT -194.083 0.005 2.5 -2.575 RICE 83.087 0.010 2.5 2.021 ROBUSTA 78.775 0.005 2.5 0.920 RUSSELL -285.280 0.013 2.5 -9.454 SHATZ -522.267 0.004 2.5 -5.296 SILVER-mini -7.243 0.014 2.5 -0.247 SMI -4.118 0.014 2.5 -0.140 SOFR -53.826 0.024 2.5 -3.271 SOYBEAN 17.013 0.004 2.5 0.158 SOYMEAL 10.755 0.004 2.5 0.100 SOYOIL -51.439 0.004 2.5 -0.479 SP400 -12.318 0.013 2.5 -0.408 SP500_micro -89.985 0.009 2.5 -2.091 SUGAR11 74.773 0.009 2.5 1.590 US10 -37.366 0.005 2.5 -0.474 US10U -15.564 0.005 2.5 -0.197 US2 -122.260 0.005 2.5 -1.549 US20 -3.958 0.005 2.5 -0.050 US30 -3.949 0.005 2.5 -0.050 US5 -91.624 0.005 2.5 -1.161 VIX -140.448 0.099 2.5 -34.670 WHEAT -220.408 0.005 2.5 -2.924 ===================== Position diags ===================== AUD 2.41 BITCOIN 49.19 BOBL 1.51 BTP 2.10 BUND 0.74 BUXL 0.30 CAC 2.46 CAD 3.70 CANOLA 8.41 CHF 1.77 COCOA 2.14 COFFEE 0.43 COPPER 5.02 CORN 4.29 COTTON2 1.77 CRUDE_W 3.70 DAX 11.98 DOW 8.96 DX 2.42 EUR 1.57 EURIBOR-ICE 10.75 EUROSTX 3.79 FEEDCOW 1.30 GASOIL 1.33 GASOLINE 1.02 GAS_US_mini 18.37 GBP 2.33 GOLD_micro 10.98 HEATOIL 0.89 JGB-SGX-mini 25.77 JPY 2.10 LEANHOG 5.41 LIVECOW 2.23 LUMBER-new 4.38 MILK 2.26 MXP 28.44 NASDAQ_micro 3.59 NIKKEI 22.30 NZD 2.44 OAT 2.38 OATIES 2.93 OJ 1.00 PALLAD 0.68 PLAT 1.98 REDWHEAT 1.29 RICE 3.53 ROBUSTA 1.38 RUSSELL 11.94 SHATZ 5.23 SILVER-mini 1.75 SMI 1.78 SOFR 12.28 SOYBEAN 0.69 SOYMEAL 0.66 SOYOIL 0.85 SP400 0.54 SP500_micro 6.21 SUGAR11 2.47 US10 1.06 US10U 0.78 US2 2.21 US20 0.53 US30 0.36 US5 1.68 VIX 19.08 WHEAT 1.46 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.0 -0.2 0.3 0.0 0 BITCOIN 42.3 37.3 47.2 36.0 36 BOBL -0.2 -0.3 -0.0 0.0 0 BTP 0.8 0.6 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 0.6 0.3 0.8 11.0 11 CAD -4.6 -5.0 -4.3 -1.0 -1 CANOLA -10.4 -11.3 -9.6 -6.0 -6 CHF -2.0 -2.2 -1.9 -3.0 -3 COCOA 2.7 2.5 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 -6.4 -6.8 -5.9 -5.0 -5 COTTON2 -3.1 -3.3 -2.9 -5.0 -5 CRUDE_W 2.2 1.8 2.5 2.0 2 DAX 12.3 11.1 13.5 0.0 0 DOW -3.6 -4.5 -2.7 -5.0 -5 DX -0.7 -0.9 -0.5 NaN 0 EUR 0.2 0.1 0.4 0.0 0 EURIBOR-ICE 7.9 6.8 9.0 4.0 4 EUROSTX 3.5 3.1 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 -19.2 -21.0 -17.3 -5.0 -5 GBP 0.8 0.6 1.1 0.0 0 GOLD_micro -8.7 -9.8 -7.6 -5.0 -5 HEATOIL -0.1 -0.2 0.0 0.0 0 JGB-SGX-mini 21.1 18.5 23.6 0.0 0 JPY -2.2 -2.4 -2.0 -1.0 -1 LEANHOG 1.7 1.2 2.3 1.0 1 LIVECOW -3.1 -3.4 -2.9 -3.0 -3 LUMBER-new -2.4 -2.8 -1.9 NaN 0 MILK -4.5 -4.7 -4.3 NaN 0 MXP 29.2 26.4 32.0 33.0 33 NASDAQ_micro -0.3 -0.7 0.0 0.0 0 NIKKEI 21.2 18.9 23.4 30.0 30 NZD 0.6 0.4 0.8 1.0 1 OAT 1.1 0.9 1.3 2.0 2 OATIES -4.6 -4.9 -4.3 NaN 0 OJ 1.7 1.6 1.8 NaN 0 PALLAD -0.6 -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 0.8 1.1 1.0 1 RUSSELL -9.5 -10.6 -8.3 -1.0 -1 SHATZ -5.3 -5.8 -4.8 NaN 0 SILVER-mini -0.2 -0.4 -0.1 NaN 0 SMI -0.1 -0.3 0.0 -1.0 -1 SOFR -3.3 -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 1.6 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 -0.1 -0.1 -0.0 0.0 0 US5 -1.2 -1.3 -1.0 -3.0 -3 VIX -34.7 -36.6 -32.8 -16.0 -16 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 0.4 -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 -0.0 0.1 -0.2 0.1 0.4 0.0 0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.0 0.0 0.0 -0.1 -0.3 -0.6 -0.1 0.2 BITCOIN 0.2 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 -0.5 0.6 0.6 0.6 -0.1 0.7 -0.0 0.7 BOBL 0.4 0.3 0.1 0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.0 -0.3 0.1 0.0 0.2 -0.0 0.1 -0.0 0.0 -0.0 0.0 -0.2 0.0 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 0.0 -0.0 0.0 0.8 0.1 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 0.0 -0.1 0.1 -0.3 0.1 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.0 0.0 -0.2 0.1 0.8 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.4 -0.1 -0.1 0.2 0.2 -0.7 -0.7 -0.7 -0.2 BUXL 0.6 0.4 -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 0.0 -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 0.0 -0.1 0.2 0.1 0.2 -0.8 0.0 0.1 -0.1 0.1 0.0 0.1 0.2 -0.3 -0.4 -0.2 0.2 0.2 0.2 0.4 0.3 CAD 0.4 -0.1 -0.3 0.0 0.0 0.0 0.1 0.0 0.1 0.1 -0.4 0.1 -0.5 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 -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 0.0 -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 -0.1 -0.1 -0.4 -0.4 -0.4 -0.2 0.1 0.2 CHF 0.5 0.3 -0.6 0.0 0.0 0.0 0.1 0.0 0.1 0.1 -0.2 0.2 0.2 0.2 -0.0 -0.3 -0.3 -0.3 -0.3 0.0 -0.0 0.2 -0.0 0.1 -1.1 0.0 0.0 -0.1 0.1 -0.0 0.1 -1.1 0.1 -0.5 0.3 -0.4 -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 0.1 -0.2 0.0 0.1 -0.1 -0.0 -0.3 -0.1 -0.1 -0.2 0.0 -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 -0.2 -2.7 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.2 -0.6 -0.6 -0.1 -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 -0.1 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 0.3 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 0.2 -0.0 -0.2 -0.2 -0.2 -0.2 0.1 -0.1 0.2 -0.0 0.2 2.3 0.0 0.1 -0.0 0.1 -0.0 0.1 -0.3 0.2 0.3 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 0.4 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 0.1 -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 -0.5 0.6 0.3 0.2 0.5 0.6 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 0.1 -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 0.3 -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 0.0 -0.1 0.1 2.3 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.5 -0.1 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 -0.0 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 0.2 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 -0.0 0.1 0.1 -0.2 -0.3 0.1 -0.2 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 0.0 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 0.1 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 -0.1 -0.0 -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 -0.4 -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 0.2 -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 0.1 -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 0.1 -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 0.1 0.1 0.2 0.1 1.1 -0.0 0.4 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 -0.3 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 0.4 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 -1.4 0.0 0.0 0.1 0.1 0.2 0.1 1.1 -0.1 0.0 0.1 0.6 -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 0.4 -0.0 0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.3 0.1 0.0 0.1 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 0.3 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 0.4 -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 -0.0 -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 0.4 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 0.1 0.2 0.1 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 -0.3 -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 0.2 -0.2 0.1 0.9 -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 0.3 -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 0.1 -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 0.1 -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 0.2 -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 0.1 -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 0.1 -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 19.2 11.1 -2.5 1.3 3.3 0.0 5.5 0.4 4.3 11.4 -8.7 11.9 -9.4 10.0 -1.8 -2.7 -3.0 -3.0 -3.1 2.1 -4.5 11.5 -7.7 9.1 3.0 1.3 4.5 -1.9 6.0 -3.2 4.8 -1.2 -0.9 0.9 1.0 -2.1 -9.5 -19.1 -2.3 5.7 BITCOIN 6.7 20.0 6.8 1.4 6.6 -1.3 9.6 -0.7 6.2 14.0 18.3 18.9 15.2 20.0 20.0 -9.7 -5.5 -8.0 -6.9 20.0 20.0 19.0 10.2 20.0 -20.0 7.7 2.1 4.8 4.3 2.3 7.4 -0.6 -19.6 20.0 20.0 20.0 -4.1 20.0 -0.7 20.0 BOBL 12.9 9.9 4.1 0.0 -0.3 -1.9 1.8 -2.7 1.9 0.1 -4.1 3.6 -7.7 6.6 2.3 11.7 -2.0 5.7 -0.3 1.8 -2.5 1.9 -8.0 4.0 9.1 1.0 -1.7 -1.0 1.1 -3.1 2.2 -0.6 -5.0 -6.4 5.0 6.7 -17.4 -20.0 -12.6 -18.6 BTP 20.0 12.3 -6.2 0.0 -0.4 -2.7 2.5 -3.9 2.8 6.7 -1.9 11.7 0.1 11.6 3.0 7.7 7.7 7.2 6.9 6.3 -1.5 12.6 -4.9 14.6 -7.5 2.0 0.8 -0.3 3.9 -1.1 4.5 15.2 4.4 8.9 10.4 6.4 -13.2 -20.0 1.0 6.7 BUND 20.0 10.2 -0.2 0.0 -0.3 -2.0 1.8 -2.8 2.0 3.6 -4.5 7.3 -8.2 7.7 0.9 -3.7 4.2 -1.8 0.7 2.0 -3.5 5.0 -8.9 6.1 6.0 1.0 -0.1 -1.2 2.3 -2.8 2.8 7.1 -2.2 -2.4 4.8 4.9 -20.0 -20.0 -20.0 -4.6 BUXL 20.0 11.3 -3.7 0.0 -0.3 -2.1 2.0 -3.0 2.2 6.3 -6.0 9.2 -9.3 8.4 -1.6 0.3 0.8 0.5 0.7 0.7 -6.7 8.9 -12.4 8.1 1.3 0.4 1.6 -2.0 3.3 -3.2 3.0 4.1 2.2 1.3 3.7 -0.0 -18.2 -20.0 -13.4 14.4 CAC 20.0 -1.6 -17.3 1.1 5.5 -1.6 8.0 -0.7 6.2 19.4 -5.2 20.0 13.8 15.6 -3.1 -6.2 -3.0 -5.9 -5.0 1.3 -5.3 20.0 3.4 17.8 -6.2 0.7 7.1 -1.9 9.3 0.6 6.7 3.3 -13.8 -11.5 -5.5 5.8 6.7 4.6 13.0 10.0 CAD 12.9 -4.3 -9.6 2.0 5.2 0.0 8.6 0.6 6.7 14.3 -14.5 10.8 -14.9 -4.9 -13.7 -2.5 -2.2 -2.5 -2.4 -9.4 -12.1 5.9 -11.1 -0.7 2.6 -4.9 3.2 -6.1 3.2 -5.1 -0.2 0.0 -20.0 -20.0 -20.0 -16.5 -17.7 -20.0 -8.8 -17.5 CANOLA 20.0 -10.9 -14.8 -0.8 -2.4 -2.3 0.9 -3.0 1.2 -4.5 -2.4 4.2 -3.7 -0.1 -7.2 -10.7 2.4 -10.7 -5.0 -7.0 -7.4 0.3 -5.7 -1.6 -20.0 -2.8 -1.8 -2.9 -0.7 -2.6 -1.4 -0.1 -5.1 -3.4 -12.8 -13.0 -11.3 -6.2 3.4 5.7 CHF 16.9 9.9 -17.2 1.8 4.6 0.0 7.7 0.5 6.0 15.8 -7.6 17.3 4.8 15.4 -4.0 -15.7 -14.9 -16.3 -15.8 1.5 -4.3 17.6 -1.1 12.9 -8.0 0.3 4.7 -1.9 7.0 -0.7 5.0 -20.0 2.4 -15.7 7.9 -11.1 -20.0 -20.0 -20.0 -20.0 COCOA 15.6 19.5 3.7 -1.6 3.3 -5.3 6.4 -6.8 4.1 14.2 20.0 20.0 20.0 20.0 20.0 -1.4 -2.6 -3.1 -3.0 20.0 20.0 20.0 20.0 20.0 -20.0 8.6 3.9 8.4 6.7 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 2.5 -4.1 4.9 -5.2 3.2 -7.3 -7.6 6.9 -11.6 13.4 12.3 9.1 2.4 3.9 2.5 11.7 1.9 2.9 -6.5 12.3 -20.0 4.6 -1.5 1.8 1.1 -0.4 4.5 5.3 -18.0 4.2 20.0 13.8 -20.0 -20.0 -20.0 -12.3 COPPER 19.6 4.5 -6.1 0.9 10.6 -1.2 9.8 -0.6 5.2 15.3 -14.1 17.6 -6.4 12.6 -7.2 -9.2 -4.6 -8.0 -6.4 1.8 -7.6 20.0 -9.9 15.4 -6.5 2.0 11.3 -2.0 12.2 -3.1 7.9 0.5 8.0 20.0 4.6 1.1 -1.9 -19.6 5.7 -17.7 CORN 3.1 5.8 -13.8 -1.4 2.9 -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 -12.0 -11.0 5.3 -2.2 -7.4 -3.9 3.3 4.1 COTTON2 -15.4 -20.0 -4.3 -1.2 2.4 -3.9 4.7 -4.9 3.0 8.6 -3.2 -4.5 -9.4 -10.8 -10.7 -8.2 1.3 -6.0 -2.7 -17.1 -8.7 -5.2 -4.4 -15.9 -20.0 -4.8 0.0 -2.2 -1.6 -0.2 -4.6 0.1 7.1 -20.0 -20.0 -2.2 -19.1 -12.9 -1.5 4.7 CRUDE_W -15.6 -8.7 8.6 -2.4 -1.3 1.6 -3.4 3.2 -4.6 10.3 9.9 -3.3 7.7 -8.6 0.5 7.2 10.9 11.0 11.2 -0.1 8.8 -2.8 11.0 -6.3 -4.9 -0.4 0.6 4.5 -1.9 6.6 -3.5 -20.0 10.8 7.2 7.5 5.3 19.9 10.8 20.0 10.8 DAX 20.0 2.9 -18.0 1.0 5.0 -1.5 7.4 -0.7 5.7 18.1 -7.2 19.9 10.6 15.3 -1.5 -9.8 -8.3 -9.7 -9.3 5.3 -6.0 20.0 -0.7 20.0 17.5 1.5 6.7 -1.7 9.6 -0.8 7.4 -4.9 10.0 8.6 3.3 0.8 6.3 3.4 13.9 12.1 DOW 20.0 6.1 -12.1 0.5 4.1 -1.3 5.9 -0.6 4.3 13.5 -0.4 15.2 7.3 12.6 1.3 -9.8 -9.1 -10.5 -10.3 6.5 -0.9 20.0 -0.2 20.0 -9.4 1.4 5.3 -0.2 7.0 0.5 5.3 -6.5 4.0 3.7 1.5 3.5 -17.8 -6.5 -20.0 -7.7 DX -20.0 -14.5 13.4 1.3 3.5 0.0 5.8 0.4 4.5 -9.2 8.9 -11.6 -2.6 -10.2 4.4 6.9 6.0 7.1 6.7 -2.3 5.4 -14.7 6.2 -12.5 -20.0 -0.9 -3.0 2.1 -5.5 2.6 -4.8 14.9 -20.0 -20.0 -14.0 20.0 9.8 7.0 13.6 19.3 EUR 20.0 13.6 -11.2 1.3 3.5 0.0 5.8 0.4 4.5 8.7 -6.5 11.4 3.5 11.4 -0.6 -5.7 -6.8 -6.3 -6.5 4.6 -2.4 14.0 -3.4 13.4 10.0 1.8 2.7 -0.9 5.4 -1.2 5.2 -7.3 1.4 5.7 8.1 -4.0 -14.8 -15.8 -12.8 -5.4 EURIBOR-ICE 17.7 20.0 12.4 0.0 -0.2 -1.7 1.6 -2.5 1.8 0.9 0.6 5.3 -5.5 7.3 6.9 -3.9 -7.0 -5.3 -6.6 8.0 2.8 4.2 -4.6 8.8 17.0 2.3 -0.8 0.9 1.3 -1.0 2.6 -9.4 -2.8 2.0 12.7 14.0 -20.0 -20.0 4.3 20.0 EUROSTX 20.0 4.9 -13.1 1.1 5.2 -1.5 7.6 -0.7 5.9 18.6 -4.0 20.0 13.0 17.3 -0.0 -5.8 -2.8 -5.6 -4.8 8.0 -1.2 20.0 4.4 20.0 4.2 2.9 6.4 -0.3 9.4 0.7 8.2 3.7 -5.8 -0.0 8.6 9.9 3.4 5.8 7.9 14.6 FEEDCOW -11.5 -20.0 -20.0 -0.8 1.7 -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 -17.7 -19.0 6.4 -2.1 -0.5 1.2 -2.4 2.7 -3.8 8.5 8.7 -5.0 7.3 -10.7 -3.7 13.2 20.0 20.0 20.0 -4.1 7.3 -3.2 12.2 -9.5 8.3 -1.1 1.9 3.3 -1.0 4.8 -3.3 0.0 7.6 3.1 1.7 8.9 -7.3 -0.5 -11.9 -5.8 GASOLINE -5.5 -17.0 -12.2 -2.3 -1.3 1.5 -3.3 3.1 -4.5 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 -0.9 4.6 -3.4 10.7 12.2 10.2 -4.0 -17.1 20.0 10.6 20.0 6.7 GAS_US_mini -18.2 -0.2 15.1 -2.5 -1.4 1.6 -3.4 3.2 -4.7 -14.1 -14.8 -17.1 -19.1 -16.6 -15.6 -20.0 -20.0 -20.0 -20.0 -14.8 -13.2 -20.0 -20.0 -20.0 20.0 -4.4 -7.7 -2.1 -9.6 -2.0 -7.9 -20.0 -20.0 -0.8 16.6 -19.6 -12.2 6.5 -18.0 2.5 GBP 20.0 7.4 -15.4 1.3 3.4 0.0 5.6 0.4 4.4 11.0 -6.4 11.7 5.2 9.8 -3.5 -0.7 -0.8 -0.6 -0.6 1.6 -2.6 12.4 -1.5 9.6 0.7 0.8 3.8 -1.3 5.5 -1.2 4.4 2.9 -0.2 3.0 3.7 -5.9 -9.4 3.9 -4.7 20.0 GOLD_micro 0.1 20.0 -3.4 0.8 9.2 -1.1 8.5 -0.6 4.5 12.8 -2.6 3.9 3.3 11.8 10.1 -15.2 -14.8 -16.3 -16.1 7.6 1.2 10.3 -0.4 9.8 -7.1 2.3 4.2 0.6 3.4 0.4 3.0 -16.8 -7.7 -9.5 8.8 4.9 -11.9 -20.0 -10.9 -20.0 HEATOIL -16.4 -20.0 1.6 -2.2 -1.2 1.4 -3.1 2.9 -4.3 6.5 8.1 -2.9 6.4 -9.3 -4.4 17.8 20.0 20.0 20.0 -4.2 5.9 -1.1 10.5 -8.3 -19.3 -1.9 2.1 2.8 -0.8 5.6 -3.5 2.3 13.7 3.3 0.7 3.7 9.8 -1.9 4.6 -7.0 JGB-SGX-mini 20.0 7.5 -14.1 0.0 -0.2 -1.7 1.6 -2.4 1.7 6.1 -3.3 7.3 1.4 5.7 0.0 18.5 19.6 17.4 17.1 0.8 -2.7 13.3 -1.5 8.5 -1.9 -0.2 3.1 -1.4 4.1 -1.2 2.4 20.0 17.7 -1.8 -1.5 -0.8 3.7 -20.0 15.6 16.8 JPY 9.5 11.0 -8.4 1.2 3.1 0.0 5.1 0.4 4.0 2.9 -12.5 3.5 -12.4 -2.6 -10.8 -17.6 -16.1 -18.4 -17.6 -9.1 -15.8 2.7 -19.6 -1.8 20.0 -4.1 0.6 -6.3 1.1 -7.1 -1.1 -20.0 -13.6 -20.0 -13.3 -15.6 -5.5 -20.0 0.2 -20.0 LEANHOG 9.8 -4.5 2.1 -1.0 2.0 -3.2 3.9 -4.1 2.5 -13.1 0.2 -3.0 -7.1 -2.4 -5.2 -20.0 17.0 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 1.7 -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 11.7 -4.5 -1.7 3.6 -5.6 7.0 -6.0 4.5 15.1 -15.4 20.0 -20.0 20.0 4.0 -14.1 -14.7 -15.6 -15.2 9.2 -7.6 20.0 -14.7 20.0 NaN 4.5 5.5 -1.1 9.6 -3.1 9.8 -20.0 6.1 20.0 20.0 2.6 -14.8 -20.0 -8.4 -17.5 MILK -11.2 -3.8 -4.2 -1.1 2.2 -3.6 4.3 -4.5 2.7 -14.6 -10.2 -15.0 -13.2 -14.6 -12.1 -20.0 -20.0 -19.9 -20.0 -14.8 -15.6 -20.0 -20.0 -17.8 5.4 -4.8 -8.7 -5.5 -7.9 -7.9 -6.0 -20.0 -20.0 -20.0 -13.8 0.2 -20.0 -20.0 -20.0 -20.0 MXP 20.0 2.3 -20.0 1.5 3.8 0.0 6.4 0.4 4.9 10.5 7.7 13.6 12.3 12.0 4.1 12.9 16.2 13.8 14.8 8.2 5.7 17.2 12.7 16.6 -20.0 2.7 3.1 2.0 5.6 4.5 5.4 20.0 -0.3 13.4 1.4 5.3 9.0 12.9 17.4 20.0 NASDAQ_micro 20.0 2.7 -6.1 0.4 3.5 -1.1 5.0 -0.5 3.6 10.2 7.4 12.4 9.0 11.4 5.0 -9.5 -8.8 -9.7 -9.6 10.2 7.3 20.0 9.9 20.0 -20.0 2.4 3.8 2.0 5.8 3.5 5.0 -5.7 4.1 7.8 12.2 8.2 5.5 -11.1 5.4 -13.8 NIKKEI 20.0 4.1 -8.6 0.9 4.4 -1.3 6.4 -0.6 5.0 14.9 13.4 16.6 13.7 15.3 10.9 3.9 9.6 5.6 7.8 12.6 10.4 20.0 14.5 20.0 -10.3 3.7 5.3 3.5 6.9 5.5 6.4 20.0 -5.1 0.0 3.1 17.2 -6.6 1.4 -4.3 8.5 NZD 20.0 7.7 -1.8 1.1 2.8 0.0 4.7 0.3 3.6 8.9 -7.2 9.6 -2.2 7.0 -1.6 -0.1 0.2 -0.1 0.0 1.3 -3.1 8.7 -5.0 6.6 0.9 1.2 3.5 -1.1 4.8 -2.0 3.9 4.2 -3.7 1.2 0.7 -0.4 -1.3 -14.4 3.8 7.7 OAT 20.0 11.2 -0.4 0.0 -0.3 -2.1 2.0 -3.0 2.1 4.2 -4.0 8.2 -8.3 8.3 1.3 5.2 7.5 5.7 6.3 3.0 -3.1 6.7 -8.3 8.1 8.3 1.3 0.1 -0.9 2.7 -2.4 3.3 14.6 -0.2 0.8 6.0 5.8 -20.0 -20.0 -8.2 10.4 OATIES -9.9 -20.0 -20.0 -0.7 1.4 -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 6.7 -20.0 -20.0 -11.9 7.9 11.0 20.0 20.0 OJ -16.6 -10.2 13.7 -1.3 2.7 -4.4 5.2 -5.5 3.4 15.4 19.5 16.6 20.0 16.1 17.8 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.2 6.2 8.6 7.2 9.6 6.5 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 5.4 -0.6 5.0 -0.3 2.7 6.9 -10.3 1.1 -11.2 -5.6 -7.7 -1.9 -2.6 -2.4 -2.6 -12.4 -15.0 0.5 -19.6 -8.0 4.3 -3.4 1.1 -3.2 -0.4 -3.0 -2.6 5.3 -15.5 -20.0 -20.0 -10.1 -4.7 -8.4 7.7 -2.9 PLAT 2.9 6.5 -2.7 0.5 5.9 -0.7 5.5 -0.4 2.9 8.8 -9.0 6.6 -5.4 3.7 -3.5 -3.2 -2.8 -3.5 -3.3 -1.8 -5.0 9.0 -5.2 2.7 12.0 -0.1 6.6 -1.0 4.6 -1.0 1.5 4.6 1.1 -2.6 -3.2 3.7 -2.1 -14.7 10.1 -10.3 REDWHEAT -2.6 -17.7 -20.0 -1.4 3.0 -4.8 5.7 -6.1 3.7 -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 19.3 6.7 6.9 -1.5 3.1 -5.1 6.1 -6.4 3.9 15.5 14.3 20.0 9.0 18.8 11.9 -16.3 4.2 -14.8 -3.9 20.0 12.0 20.0 7.9 20.0 -20.0 5.5 8.1 2.8 12.7 1.6 10.2 4.6 20.0 20.0 20.0 20.0 -2.5 -18.4 14.2 -6.2 ROBUSTA 12.2 1.0 -9.5 -1.1 -3.3 -3.1 1.2 -4.0 1.6 2.2 9.6 7.7 11.1 8.8 6.6 20.0 20.0 20.0 20.0 8.3 8.0 8.6 11.8 11.0 -17.1 3.4 0.9 3.2 3.2 4.5 4.3 20.0 11.3 1.0 13.6 11.1 -6.9 -12.3 9.9 0.6 RUSSELL 20.0 2.3 -14.8 0.3 2.8 -0.9 4.0 -0.4 2.9 7.2 -6.2 8.5 -5.6 5.8 -5.1 -5.8 -6.3 -6.8 -6.9 -2.7 -5.8 9.2 -4.8 5.2 -1.6 -0.8 2.1 -1.7 3.4 -1.0 2.0 -1.2 -1.9 -2.9 -7.0 -6.0 -15.4 -13.6 -20.0 -20.0 SHATZ 2.7 7.5 2.2 0.0 -0.2 -1.8 1.7 -2.6 1.9 -3.7 -6.9 -2.2 -8.5 1.5 -2.5 -20.0 -16.1 -20.0 -20.0 -1.7 -5.7 -2.7 -12.5 -0.8 10.4 -0.8 -3.5 -2.4 -1.7 -4.9 -0.5 -20.0 -9.8 -14.6 2.2 5.4 -12.6 -20.0 -6.4 -20.0 SILVER-mini 8.1 7.6 -6.8 0.7 8.2 -1.0 7.6 -0.5 4.0 12.3 -4.8 12.7 1.8 12.1 -0.1 -6.7 -6.5 -7.2 -7.0 1.4 -3.1 12.5 -2.4 8.4 7.1 1.5 5.1 0.2 6.4 0.4 4.3 -1.8 -0.4 -2.4 -2.0 3.4 -16.8 -20.0 -2.7 -20.0 SMI 19.3 -8.4 -13.1 0.9 4.4 -1.3 6.5 -0.6 5.0 15.9 -8.7 16.8 -0.3 1.4 -6.5 5.0 2.4 3.8 2.4 -6.7 -11.0 17.6 -7.1 6.7 6.5 -1.9 7.4 -3.3 6.6 -2.7 2.6 14.0 -13.5 -14.8 -17.4 3.0 -8.0 -9.4 -3.0 -5.5 SOFR 20.0 11.9 -4.7 -0.0 1.3 -1.6 2.2 -2.2 1.8 5.8 -4.6 7.0 -4.7 6.2 -0.4 0.4 -0.6 -0.1 -0.6 0.6 -3.8 7.0 -5.2 5.7 -1.3 0.1 1.8 -1.6 2.7 -2.1 2.2 1.5 0.6 0.7 0.7 0.9 -20.0 -20.0 -5.7 -8.9 SOYBEAN 14.5 3.8 2.0 -1.3 2.7 -4.3 5.2 -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 -2.8 17.5 15.4 9.4 -20.0 -11.9 -20.0 -6.5 SOYMEAL 14.8 20.0 4.6 -0.8 1.6 -2.6 3.1 -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 -10.2 13.5 20.0 15.1 -20.0 -20.0 -20.0 -20.0 SOYOIL 12.9 -20.0 -17.0 -0.8 1.6 -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 -4.0 -5.2 -5.1 -5.4 -5.4 -1.7 -5.5 13.3 -3.6 8.0 -8.3 -0.3 3.4 -1.4 4.5 -0.6 2.8 1.2 1.2 -1.8 -5.1 -3.9 -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 4.9 0.6 6.9 1.8 5.4 -7.7 6.4 8.3 6.2 2.5 -0.0 -10.5 1.6 -14.7 SUGAR11 -4.1 -2.2 3.4 -1.3 2.8 -4.5 5.3 -5.7 3.4 -3.2 18.9 2.1 19.4 10.8 17.2 20.0 19.8 20.0 20.0 12.3 20.0 1.9 20.0 5.2 -20.0 5.7 -0.3 10.3 1.1 17.1 2.6 20.0 -10.4 -10.3 9.5 20.0 -13.9 -16.8 9.8 4.3 US10 20.0 13.4 -2.2 -0.0 1.3 -1.5 2.1 -2.1 1.7 5.7 -5.6 6.6 -6.4 5.3 -2.1 -5.6 -6.9 -6.5 -7.2 -1.1 -6.0 6.0 -8.2 4.3 1.1 -0.6 1.5 -2.3 2.3 -2.9 1.6 -9.9 0.1 -1.3 -2.0 -2.2 -20.0 -20.0 -3.6 1.7 US10U 20.0 12.0 -5.4 -0.0 1.6 -1.9 2.6 -2.6 2.1 8.0 -6.8 8.6 -7.8 6.2 -3.2 -0.2 -0.5 -0.1 -0.5 -2.1 -8.1 7.4 -10.4 5.0 -1.8 -1.0 1.8 -3.0 2.6 -3.5 1.7 1.6 -0.6 -2.3 -4.0 -4.8 -20.0 -20.0 3.7 15.1 US2 17.8 17.9 14.7 -0.0 1.4 -1.6 2.2 -2.3 1.8 3.0 -7.1 3.9 -7.6 4.2 -2.4 -20.0 -20.0 -20.0 -20.0 -1.3 -6.7 2.5 -11.8 2.2 7.7 -0.1 0.7 -2.6 1.7 -5.0 1.6 -20.0 -2.4 -7.4 2.9 3.8 -16.6 -20.0 -7.2 -20.0 US20 20.0 12.0 -8.3 -0.0 1.2 -1.4 2.0 -2.0 1.6 6.1 -5.1 6.7 -5.8 4.5 -2.4 -0.3 -1.5 -0.9 -1.4 -1.7 -6.9 6.8 -8.5 4.7 -1.7 -0.8 1.4 -2.3 1.9 -2.6 1.2 0.0 -0.1 -0.4 -4.2 -6.4 -11.4 -20.0 12.7 20.0 US30 20.0 10.7 -6.2 -0.0 1.3 -1.5 2.1 -2.1 1.7 6.3 -5.5 6.8 -6.2 4.4 -3.0 -4.0 -4.0 -4.8 -4.8 -2.2 -7.0 6.3 -8.9 4.0 -1.3 -1.0 1.6 -2.5 2.0 -2.8 1.2 -5.0 -0.3 -2.5 -4.5 -6.0 -6.7 -20.0 20.0 20.0 US5 20.0 13.9 2.2 -0.0 1.3 -1.6 2.2 -2.2 1.8 5.3 -6.0 6.5 -6.7 5.5 -1.9 -9.4 -10.4 -10.8 -11.4 -0.6 -5.5 5.2 -8.4 4.1 3.1 -0.2 1.3 -2.2 2.4 -3.3 1.9 -16.4 -0.7 -2.3 0.6 0.8 -20.0 -20.0 -13.6 -17.4 VIX -20.0 3.1 12.9 -3.1 -3.0 -3.5 -4.8 -5.4 -4.6 -11.9 -13.5 -14.3 -14.3 -13.8 -10.7 -20.0 -20.0 -20.0 -20.0 -12.4 -12.9 -16.3 -18.8 -17.0 NaN -3.5 -3.5 -3.9 -5.5 -6.4 -5.3 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -0.7 -2.7 -20.0 -1.5 3.0 -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