******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231124_204349 produced at 2023-11-24 21:39:19.671555 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.25 0.0 0.00 0.00 0.00 0.00 -2.89 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.24 0.0 0.00 0.00 0.00 0.00 -5.77 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 -34.74 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 -1.58 13.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.11 0.0 0.78 -0.78 -0.03 -0.03 -4.10 29.0 -1 -1 caleb_strategy_v3 CHF False False 0.05 -0.16 -0.10 0.0 0.68 -0.68 -0.16 -0.16 -1.93 13.0 -3 -3 caleb_strategy_v3 LIVECOW False False 0.03 -0.05 -0.08 0.0 0.43 -0.43 -0.05 -0.05 -3.10 17.0 -2 -2 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.07 0.0 0.52 -0.52 -0.03 -0.03 -2.25 17.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.07 0.0 0.33 -0.33 -0.04 -0.04 -1.64 8.0 -1 -1 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.01 -0.06 0.0 0.00 -0.01 -0.01 -0.01 -20.50 26.0 -5 -5 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -4.53 5.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.06 0.0 0.11 -0.11 -0.05 -0.05 -6.24 12.0 -5 -5 caleb_strategy_v3 GOLD_micro False False 0.01 -0.05 -0.06 0.0 0.41 -0.41 -0.05 -0.05 -7.93 56.0 -7 -7 caleb_strategy_v3 COTTON2 False False 0.01 -0.07 -0.05 0.0 0.16 -0.16 -0.07 -0.07 -3.10 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 -0.39 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 -11.19 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 -1.11 25.0 -3 -3 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.09 -0.09 -0.03 -0.03 -2.58 8.0 -3 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -4.37 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 -9.12 68.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.03 0.0 0.10 -0.10 -0.03 -0.03 -2.93 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 -0.85 999999999.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 -0.08 -0.02 0.0 0.08 -0.08 -0.08 -0.08 -0.47 2.0 -2 -2 caleb_strategy_v3 DOW False False 0.01 -0.03 -0.02 0.0 0.43 -0.43 -0.03 -0.04 -3.01 66.0 -5 -6 caleb_strategy_v3 US10 False False 0.04 0.00 -0.02 0.0 0.68 -0.68 0.00 0.00 -0.43 17.0 0 0 caleb_strategy_v3 COPPER False False 0.04 0.00 -0.02 0.0 0.21 -0.21 0.00 0.00 -0.59 6.0 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 -2.30 3.0 0 0 caleb_strategy_v3 BOBL False True 0.05 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.25 19.0 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 US10U False False 0.04 0.00 -0.01 0.0 0.53 -0.53 0.00 0.00 -0.16 13.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.01 0.0 0.40 -0.40 -0.01 -0.01 -1.73 48.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.01 0.0 0.11 -0.11 -0.02 -0.02 -0.52 10.0 -2 -2 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.00 0.0 0.00 -0.00 0.00 0.00 -0.05 0.0 0 0 caleb_strategy_v3 SMI False False 0.05 -0.05 -0.00 0.0 0.41 -0.41 -0.05 -0.05 -0.02 9.0 -1 -1 caleb_strategy_v3 BUND False True 0.05 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.08 10.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.10 7.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.02 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.07 9.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.02 0.00 0.0 0.46 -0.46 0.02 0.02 0.12 19.0 1 1 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 0.12 -0.12 0.00 0.00 -0.08 3.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.00 4.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.00 -0.00 0.0 0.38 -0.38 0.00 0.00 -0.03 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 -0.03 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 -0.27 23.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.01 0.0 0.19 -0.19 0.00 0.00 1.41 18.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.21 -0.21 0.01 0.01 1.09 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 0.58 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 0.28 14.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.55 13.0 0 0 caleb_strategy_v3 CAC False False 0.03 0.32 0.02 0.0 0.35 -0.35 0.32 0.32 0.81 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 NZD False False 0.02 0.02 0.02 0.0 0.47 -0.47 0.02 0.02 0.71 21.0 1 1 caleb_strategy_v3 GBP False False 0.03 0.00 0.03 0.0 0.63 -0.63 0.00 0.00 0.98 22.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.03 0.0 0.05 -0.05 0.00 0.00 2.12 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 2.66 26.0 3 3 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.07 -0.07 0.00 0.00 1.79 3.0 0 0 caleb_strategy_v3 BTP False True 0.05 0.09 0.04 0.0 0.09 0.00 0.09 0.09 0.81 10.0 2 2 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.05 0.0 0.13 -0.13 0.08 0.08 1.90 5.0 3 3 caleb_strategy_v3 OAT False True 0.05 0.10 0.05 0.0 0.10 0.00 0.10 0.10 1.10 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 44.14 59.0 36 36 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.07 0.0 0.35 -0.35 0.00 0.00 3.80 20.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.09 0.0 0.37 -0.37 0.00 0.00 13.79 58.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.27 0.18 0.0 0.30 -0.30 0.27 0.28 21.85 36.0 33 34 caleb_strategy_v3 MXP False False 0.01 0.37 0.32 0.0 0.64 -0.64 0.37 0.39 30.36 60.0 35 37 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.58 0.70 0.0 0.97 -0.97 0.58 0.58 7.23 10.0 6 6 caleb_strategy_v3 JGB-SGX-mini False True 0.04 0.00 0.73 0.0 0.00 0.00 0.00 0.00 20.40 16.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 16.2 Shocked risk 39.6 Sum abs risk 49.8 Leverage 4.50 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2735296.83, 'annual_cash_vol_target': 683824.2075, 'daily_cash_vol_target': 42739.01296875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6596 0.6879 11.0067 BITCOIN 920.8513 38295.0000 2.4046 38.4740 BOBL 0.2571 116.3600 0.2209 3.5349 BTP 0.6218 113.5700 0.5475 8.7605 BUND 0.5300 130.4300 0.4063 6.5010 BUXL 1.2933 126.9600 1.0186 16.2980 CAC 53.3040 7304.0000 0.7298 11.6767 CAD 0.0031 0.7347 0.4179 6.6868 CANOLA 8.3229 699.6000 1.1897 19.0346 CHF 0.0050 1.1375 0.4354 6.9667 COCOA 42.7481 4085.0000 1.0465 16.7434 COFFEE 3.1056 167.6000 1.8530 29.6475 COPPER 0.0368 3.8355 0.9592 15.3470 CORN 4.8399 510.2500 0.9485 15.1766 COTTON2 1.0340 81.0500 1.2757 20.4118 CRUDE_W 1.2475 73.2500 1.7030 27.2488 DAX 109.3034 16071.0000 0.6801 10.8821 DOW 221.2986 35435.0000 0.6245 9.9923 DX 0.4552 102.9500 0.4421 7.0738 EUR 0.0056 1.0953 0.5083 8.1327 EURIBOR-ICE 0.0490 97.2850 0.0504 0.8064 EUROSTX 34.5837 4381.0000 0.7894 12.6304 FEEDCOW 2.1768 222.7250 0.9773 15.6373 GASOIL 13.7450 791.5000 1.7366 27.7851 GASOLINE 0.0431 2.1567 1.9964 31.9422 GAS_US_mini 0.1006 2.9950 3.3587 53.7399 GBP 0.0076 1.2609 0.6002 9.6037 GOLD_micro 13.2487 2023.6000 0.6547 10.4753 HEATOIL 0.0494 2.6737 1.8477 29.5631 JGB-SGX-mini 0.2691 145.7100 0.1847 2.9553 JPY 0.0000 0.0067 0.6180 9.8872 LEANHOG 1.1990 69.0250 1.7370 27.7922 LIVECOW 1.5864 171.1750 0.9268 14.8280 LUMBER-new 7.5404 561.5000 1.3429 21.4865 MILK 0.2020 17.0100 1.1877 19.0033 MXP 0.0004 0.0582 0.7458 11.9325 NASDAQ_micro 137.9462 16010.7500 0.8616 13.7854 NIKKEI 302.5398 33745.0000 0.8965 14.3448 NZD 0.0045 0.6081 0.7401 11.8419 OAT 0.5495 125.4700 0.4380 7.0075 OATIES 7.0906 390.0000 1.8181 29.0896 OJ 6.1060 399.8000 1.5273 24.4362 PALLAD 21.3410 1085.0000 1.9669 31.4706 PLAT 14.6900 939.5000 1.5636 25.0175 REDWHEAT 8.7904 614.0000 1.4317 22.9065 RICE 0.1470 17.8500 0.8235 13.1767 ROBUSTA 36.1552 2471.0000 1.4632 23.4109 RUSSELL 23.6851 1810.0000 1.3086 20.9371 SHATZ 0.0747 104.9450 0.0712 1.1385 SILVER-mini 0.3321 24.7000 1.3444 21.5110 SMI 71.1694 10893.0000 0.6534 10.4536 SOFR 0.0844 96.2100 0.0878 1.4040 SOYBEAN 11.4773 1279.2500 0.8972 14.3550 SOYMEAL 6.0256 420.7000 1.4323 22.9164 SOYOIL 0.7781 50.4700 1.5417 24.6678 SP400 26.1225 2565.8000 1.0181 16.2896 SP500_micro 31.9325 4568.2500 0.6990 11.1841 SUGAR11 0.3277 25.6500 1.2776 20.4424 US10 0.5122 108.8594 0.4706 7.5290 US10U 0.6951 112.3750 0.6185 9.8964 US2 0.1221 101.8281 0.1200 1.9192 US20 1.0243 115.0625 0.8902 14.2428 US30 1.5096 120.8750 1.2489 19.9827 US5 0.3226 105.6406 0.3054 4.8864 VIX 0.5517 16.8500 3.2744 52.3908 WHEAT 7.7403 636.2500 1.2166 19.4649 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 659.55 0.69 453.72 1.00 453.72 42739.01 94.20 0.51 4.79 BITCOIN 38.30 2.40 92.09 1.00 92.09 42739.01 464.13 8.78 407.62 BOBL 1163.60 0.22 257.07 1.09 280.42 42739.01 152.41 -1.59 -24.16 BTP 1135.70 0.55 621.83 1.09 678.30 42739.01 63.01 3.75 23.66 BUND 1304.30 0.41 529.96 1.09 578.08 42739.01 73.93 -1.13 -8.35 BUXL 1269.60 1.02 1293.25 1.09 1410.68 42739.01 30.30 -1.09 -3.30 CAC 730.40 0.73 533.04 1.09 581.44 42739.01 73.51 3.24 23.85 CAD 734.70 0.42 307.05 1.00 307.05 42739.01 139.19 -11.35 -157.99 CANOLA 139.92 1.19 166.46 0.73 121.82 42739.01 350.85 -13.10 -459.78 CHF 1421.88 0.44 619.11 1.00 619.11 42739.01 69.03 -10.78 -74.38 COCOA 408.50 1.05 427.48 1.00 427.48 42739.01 99.98 12.40 124.00 COFFEE 628.50 1.85 1164.59 1.00 1164.59 42739.01 36.70 -5.31 -19.47 COPPER 958.88 0.96 919.74 1.00 919.74 42739.01 46.47 -1.18 -5.47 CORN 255.12 0.95 241.99 1.00 241.99 42739.01 176.61 -14.52 -256.45 COTTON2 405.25 1.28 516.99 1.00 516.99 42739.01 82.67 -17.48 -144.51 CRUDE_W 732.50 1.70 1247.48 1.00 1247.48 42739.01 34.26 5.12 17.54 DAX 160.71 0.68 109.30 1.09 119.23 42739.01 358.46 11.28 404.27 DOW 177.18 0.62 110.65 1.00 110.65 42739.01 386.26 -3.35 -129.49 DX 1029.50 0.44 455.15 1.00 455.15 42739.01 93.90 -3.47 -32.62 EUR 1369.12 0.51 695.91 1.00 695.91 42739.01 61.41 1.76 10.82 EURIBOR-ICE 2432.12 0.05 122.58 1.09 133.71 42739.01 319.64 6.63 211.95 EUROSTX 438.10 0.79 345.84 1.09 377.24 42739.01 113.29 9.83 111.39 FEEDCOW 1113.62 0.98 1088.38 1.00 1088.38 42739.01 39.27 -12.61 -49.51 GASOIL 791.50 1.74 1374.50 1.00 1374.50 42739.01 31.09 4.76 14.79 GASOLINE 905.81 2.00 1808.36 1.00 1808.36 42739.01 23.63 0.02 0.05 GAS_US_mini 74.88 3.36 251.49 1.00 251.49 42739.01 169.95 -11.14 -189.27 GBP 788.06 0.60 473.02 1.00 473.02 42739.01 90.35 4.18 37.74 GOLD_micro 202.36 0.65 132.49 1.00 132.49 42739.01 322.59 -7.21 -232.51 HEATOIL 1122.95 1.85 2074.87 1.00 2074.87 42739.01 20.60 -0.87 -1.79 JGB-SGX-mini 145710.00 0.18 26913.26 0.01 180.50 42739.01 236.79 7.96 188.38 JPY 839.06 0.62 518.50 1.00 518.50 42739.01 82.43 -10.51 -86.61 LEANHOG 276.10 1.74 479.59 1.00 479.59 42739.01 89.12 1.02 9.08 LIVECOW 684.70 0.93 634.55 1.00 634.55 42739.01 67.35 -13.91 -93.67 LUMBER-new 154.41 1.34 207.36 1.00 207.36 42739.01 206.11 -5.22 -107.65 MILK 340.20 1.19 404.06 1.00 404.06 42739.01 105.77 -20.00 -211.55 MXP 291.20 0.75 217.17 1.00 217.17 42739.01 196.80 10.51 206.82 NASDAQ_micro 320.22 0.86 275.89 1.00 275.89 42739.01 154.91 -0.74 -11.44 NIKKEI 33745.00 0.90 30253.98 0.01 202.90 42739.01 210.64 9.58 201.75 NZD 608.10 0.74 450.06 1.00 450.06 42739.01 94.96 2.89 27.49 OAT 1254.70 0.44 549.52 1.09 599.42 42739.01 71.30 4.51 32.12 OATIES 195.00 1.82 354.53 1.00 354.53 42739.01 120.55 -14.91 -179.70 OJ 599.70 1.53 915.90 1.00 915.90 42739.01 46.66 17.90 83.52 PALLAD 1085.00 1.97 2134.10 1.00 2134.10 42739.01 20.03 -6.85 -13.71 PLAT 469.75 1.56 734.50 1.00 734.50 42739.01 58.19 2.92 16.97 REDWHEAT 307.00 1.43 439.52 1.00 439.52 42739.01 97.24 -20.00 -194.48 RICE 357.00 0.82 294.00 1.00 294.00 42739.01 145.37 5.99 87.05 ROBUSTA 247.10 1.46 361.55 1.00 361.55 42739.01 118.21 7.91 93.48 RUSSELL 90.50 1.31 118.43 1.00 118.43 42739.01 360.89 -7.62 -275.14 SHATZ 1049.45 0.07 74.67 1.09 81.45 42739.01 524.71 -10.85 -569.23 SILVER-mini 617.50 1.34 830.19 1.00 830.19 42739.01 51.48 -0.29 -1.49 SMI 1089.30 0.65 711.69 1.13 806.06 42739.01 53.02 -0.10 -0.55 SOFR 2405.25 0.09 211.06 1.00 211.06 42739.01 202.49 -2.35 -47.53 SOYBEAN 639.62 0.90 573.87 1.00 573.87 42739.01 74.48 1.51 11.23 SOYMEAL 420.70 1.43 602.56 1.00 602.56 42739.01 70.93 1.04 7.40 SOYOIL 302.82 1.54 466.87 1.00 466.87 42739.01 91.54 -6.09 -55.72 SP400 2565.80 1.02 2612.25 1.00 2612.25 42739.01 16.36 -7.27 -11.90 SP500_micro 228.41 0.70 159.66 1.00 159.66 42739.01 267.68 -2.77 -74.23 SUGAR11 287.28 1.28 367.04 1.00 367.04 42739.01 116.44 5.70 66.41 US10 1088.59 0.47 512.25 1.00 512.25 42739.01 83.43 -4.08 -34.02 US10U 1123.75 0.62 695.07 1.00 695.07 42739.01 61.49 -2.09 -12.83 US2 2036.56 0.12 244.29 1.00 244.29 42739.01 174.95 -7.13 -124.66 US20 1150.62 0.89 1024.26 1.00 1024.26 42739.01 41.73 -0.56 -2.33 US30 1208.75 1.25 1509.63 1.00 1509.63 42739.01 28.31 -0.96 -2.71 US5 1056.41 0.31 322.63 1.00 322.63 42739.01 132.47 -6.63 -87.80 VIX 168.50 3.27 551.74 1.00 551.74 42739.01 77.46 -18.17 -140.73 WHEAT 318.12 1.22 387.02 1.00 387.02 42739.01 110.43 -20.00 -220.86 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 4.793 0.010 2.5 0.124 BITCOIN 407.620 0.043 2.5 44.141 BOBL -24.161 0.004 2.5 -0.245 BTP 23.656 0.014 2.5 0.807 BUND -8.349 0.004 2.5 -0.085 BUXL -3.297 0.004 2.5 -0.033 CAC 23.851 0.014 2.5 0.814 CAD -157.994 0.010 2.5 -4.099 CANOLA -459.779 0.010 2.5 -11.186 CHF -74.384 0.010 2.5 -1.930 COCOA 124.002 0.009 2.5 2.656 COFFEE -19.472 0.005 2.5 -0.227 COPPER -5.470 0.043 2.5 -0.592 CORN -256.454 0.010 2.5 -6.239 COTTON2 -144.508 0.009 2.5 -3.095 CRUDE_W 17.544 0.043 2.5 1.900 DAX 404.269 0.014 2.5 13.789 DOW -129.485 0.009 2.5 -3.009 DX -32.621 0.010 2.5 -0.846 EUR 10.825 0.010 2.5 0.281 EURIBOR-ICE 211.949 0.014 2.5 7.229 EUROSTX 111.386 0.014 2.5 3.799 FEEDCOW -49.514 0.013 2.5 -1.641 GASOIL 14.794 0.017 2.5 0.641 GASOLINE 0.052 0.017 2.5 0.002 GAS_US_mini -189.271 0.043 2.5 -20.496 GBP 37.744 0.010 2.5 0.979 GOLD_micro -232.506 0.014 2.5 -7.931 HEATOIL -1.790 0.017 2.5 -0.078 JGB-SGX-mini 188.383 0.043 2.5 20.400 JPY -86.611 0.010 2.5 -2.247 LEANHOG 9.081 0.024 2.5 0.552 LIVECOW -93.666 0.013 2.5 -3.104 LUMBER-new -107.650 0.009 2.5 -2.295 MILK -211.549 0.009 2.5 -4.531 MXP 206.822 0.059 2.5 30.357 NASDAQ_micro -11.437 0.009 2.5 -0.266 NIKKEI 201.746 0.043 2.5 21.847 NZD 27.490 0.010 2.5 0.713 OAT 32.123 0.014 2.5 1.096 OATIES -179.697 0.010 2.5 -4.372 OJ 83.518 0.009 2.5 1.789 PALLAD -13.712 0.014 2.5 -0.468 PLAT 16.974 0.014 2.5 0.579 REDWHEAT -194.481 0.005 2.5 -2.580 RICE 87.054 0.010 2.5 2.118 ROBUSTA 93.480 0.005 2.5 1.092 RUSSELL -275.142 0.013 2.5 -9.118 SHATZ -569.227 0.004 2.5 -5.772 SILVER-mini -1.495 0.014 2.5 -0.051 SMI -0.549 0.014 2.5 -0.019 SOFR -47.528 0.024 2.5 -2.889 SOYBEAN 11.232 0.004 2.5 0.104 SOYMEAL 7.401 0.004 2.5 0.069 SOYOIL -55.720 0.004 2.5 -0.519 SP400 -11.897 0.013 2.5 -0.394 SP500_micro -74.231 0.009 2.5 -1.725 SUGAR11 66.408 0.009 2.5 1.412 US10 -34.023 0.005 2.5 -0.431 US10U -12.835 0.005 2.5 -0.163 US2 -124.661 0.005 2.5 -1.580 US20 -2.334 0.005 2.5 -0.030 US30 -2.710 0.005 2.5 -0.034 US5 -87.799 0.005 2.5 -1.113 VIX -140.734 0.099 2.5 -34.740 WHEAT -220.864 0.005 2.5 -2.930 ===================== Position diags ===================== AUD 2.44 BITCOIN 50.26 BOBL 1.55 BTP 2.15 BUND 0.75 BUXL 0.31 CAC 2.51 CAD 3.61 CANOLA 8.54 CHF 1.79 COCOA 2.14 COFFEE 0.43 COPPER 5.03 CORN 4.30 COTTON2 1.77 CRUDE_W 3.71 DAX 12.23 DOW 8.98 DX 2.44 EUR 1.59 EURIBOR-ICE 10.90 EUROSTX 3.86 FEEDCOW 1.30 GASOIL 1.35 GASOLINE 1.02 GAS_US_mini 18.40 GBP 2.34 GOLD_micro 11.00 HEATOIL 0.89 JGB-SGX-mini 25.64 JPY 2.14 LEANHOG 5.42 LIVECOW 2.23 LUMBER-new 4.39 MILK 2.27 MXP 28.89 NASDAQ_micro 3.60 NIKKEI 22.81 NZD 2.46 OAT 2.43 OATIES 2.93 OJ 1.00 PALLAD 0.68 PLAT 1.98 REDWHEAT 1.29 RICE 3.54 ROBUSTA 1.38 RUSSELL 11.96 SHATZ 5.32 SILVER-mini 1.76 SMI 1.81 SOFR 12.31 SOYBEAN 0.69 SOYMEAL 0.66 SOYOIL 0.85 SP400 0.54 SP500_micro 6.22 SUGAR11 2.48 US10 1.06 US10U 0.78 US2 2.22 US20 0.53 US30 0.36 US5 1.68 VIX 19.12 WHEAT 1.46 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.1 -0.1 0.4 1.0 1 BITCOIN 44.1 39.1 49.2 36.0 36 BOBL -0.2 -0.4 -0.1 0.0 0 BTP 0.8 0.6 1.0 2.0 2 BUND -0.1 -0.2 -0.0 0.0 0 BUXL -0.0 -0.1 -0.0 0.0 0 CAC 0.8 0.6 1.1 11.0 11 CAD -4.1 -4.5 -3.7 -1.0 -1 CANOLA -11.2 -12.0 -10.3 -6.0 -6 CHF -1.9 -2.1 -1.8 -3.0 -3 COCOA 2.7 2.4 2.9 3.0 3 COFFEE -0.2 -0.3 -0.2 0.0 0 COPPER -0.6 -1.1 -0.1 0.0 0 CORN -6.2 -6.7 -5.8 -5.0 -5 COTTON2 -3.1 -3.3 -2.9 -5.0 -5 CRUDE_W 1.9 1.5 2.3 3.0 3 DAX 13.8 12.6 15.0 0.0 0 DOW -3.0 -3.9 -2.1 -5.0 -5 DX -0.8 -1.1 -0.6 NaN 0 EUR 0.3 0.1 0.4 0.0 0 EURIBOR-ICE 7.2 6.1 8.3 6.0 6 EUROSTX 3.8 3.4 4.2 0.0 0 FEEDCOW -1.6 -1.8 -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 -20.5 -22.3 -18.7 -5.0 -5 GBP 1.0 0.7 1.2 0.0 0 GOLD_micro -7.9 -9.0 -6.8 -7.0 -7 HEATOIL -0.1 -0.2 0.0 0.0 0 JGB-SGX-mini 20.4 17.8 23.0 0.0 0 JPY -2.2 -2.5 -2.0 -1.0 -1 LEANHOG 0.6 0.0 1.1 0.0 0 LIVECOW -3.1 -3.3 -2.9 -2.0 -2 LUMBER-new -2.3 -2.7 -1.9 NaN 0 MILK -4.5 -4.8 -4.3 NaN 0 MXP 30.4 27.5 33.2 35.0 35 NASDAQ_micro -0.3 -0.6 0.1 0.0 0 NIKKEI 21.8 19.6 24.1 33.0 33 NZD 0.7 0.5 1.0 1.0 1 OAT 1.1 0.9 1.3 2.0 2 OATIES -4.4 -4.7 -4.1 NaN 0 OJ 1.8 1.7 1.9 NaN 0 PALLAD -0.5 -0.5 -0.4 -2.0 -2 PLAT 0.6 0.4 0.8 0.0 0 REDWHEAT -2.6 -2.7 -2.5 -3.0 -3 RICE 2.1 1.8 2.5 NaN 0 ROBUSTA 1.1 1.0 1.2 1.0 1 RUSSELL -9.1 -10.3 -7.9 -1.0 -1 SHATZ -5.8 -6.3 -5.2 NaN 0 SILVER-mini -0.1 -0.2 0.1 NaN 0 SMI -0.0 -0.2 0.2 -1.0 -1 SOFR -2.9 -4.1 -1.7 NaN 0 SOYBEAN 0.1 0.0 0.2 0.0 0 SOYMEAL 0.1 0.0 0.1 0.0 0 SOYOIL -0.5 -0.6 -0.4 -2.0 -2 SP400 -0.4 -0.4 -0.3 0.0 0 SP500_micro -1.7 -2.3 -1.1 -1.0 -1 SUGAR11 1.4 1.2 1.7 0.0 0 US10 -0.4 -0.5 -0.3 NaN 0 US10U -0.2 -0.2 -0.1 0.0 0 US2 -1.6 -1.8 -1.4 NaN 0 US20 -0.0 -0.1 0.0 0.0 0 US30 -0.0 -0.1 0.0 0.0 0 US5 -1.1 -1.3 -0.9 -3.0 -3 VIX -34.7 -36.7 -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 -0.0 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 0.3 0.0 0.1 -0.0 0.1 -0.0 0.1 0.2 0.5 0.2 0.6 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 0.3 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 0.1 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 0.0 -0.0 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 -0.0 -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 0.0 -0.2 0.1 -0.3 0.1 -0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.3 0.1 0.2 0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 0.0 0.1 0.1 0.0 -0.6 -0.7 -0.5 0.5 CAC 0.6 -0.0 -0.5 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 -0.0 0.1 0.0 0.1 0.2 -0.1 -0.4 -0.2 0.2 0.2 0.2 0.4 0.3 CAD 0.4 -0.1 -0.3 0.0 0.1 0.0 0.1 0.0 0.1 0.2 -0.4 0.2 -0.5 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 -0.3 0.0 0.4 -0.0 0.1 -0.2 0.1 -0.2 0.0 0.0 -0.4 -0.6 -0.6 -0.5 -0.6 -0.7 -0.3 -0.6 CANOLA 0.6 -0.3 -0.5 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -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 -0.3 -0.2 -0.4 -0.4 -0.4 -0.2 0.1 0.2 CHF 0.6 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 -0.0 -0.3 -0.3 -0.3 -0.3 0.0 -0.0 0.2 -0.0 0.2 -1.1 0.0 0.1 -0.0 0.1 -0.0 0.1 -1.1 0.1 -0.4 0.3 -0.4 -0.7 -0.7 -0.7 -0.7 COCOA 0.4 0.6 0.1 -0.0 -0.0 -0.1 0.0 -0.3 0.0 0.1 0.5 0.2 0.7 0.2 0.2 0.0 -0.0 -0.0 -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 0.4 0.6 0.6 0.6 0.4 -0.1 0.7 0.4 COFFEE 0.3 0.6 0.4 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.1 -0.2 0.1 -0.4 0.1 0.1 0.2 0.1 0.1 0.1 0.1 0.0 -0.0 -0.2 0.1 -2.7 0.0 -0.0 0.0 0.0 -0.0 0.0 0.3 -0.3 0.3 0.6 0.4 -0.7 -0.7 -0.7 -0.4 COPPER 0.6 0.2 -0.2 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 -0.4 0.2 -0.2 0.2 -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 -0.6 0.2 -0.6 CORN 0.1 0.2 -0.4 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.1 -0.5 -0.0 -0.7 -0.1 -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 0.1 -0.2 0.1 -0.0 -0.2 -0.1 0.1 0.1 COTTON2 -0.4 -0.6 -0.2 -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 -0.1 0.0 0.2 -0.6 -0.6 -0.1 -0.6 -0.4 -0.0 0.1 CRUDE_W -0.5 -0.3 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.3 -0.0 0.3 -0.1 -0.0 0.1 0.2 0.2 0.2 -0.0 0.1 -0.1 0.3 -0.1 -0.6 -0.0 0.0 0.1 -0.0 0.2 -0.0 -1.1 0.1 0.2 0.2 0.2 0.7 0.4 0.7 0.4 DAX 0.6 0.1 -0.5 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 2.4 0.0 0.1 -0.0 0.1 -0.0 0.1 -0.3 0.4 0.3 0.1 0.0 0.2 0.1 0.5 0.4 DOW 0.6 0.3 -0.4 0.0 0.0 -0.0 0.1 -0.0 0.1 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 0.2 0.1 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 0.0 -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 0.5 -0.3 0.0 0.0 0.0 0.1 0.0 0.1 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 0.2 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 0.5 0.6 0.4 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 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 0.0 0.4 0.4 -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 0.0 -0.0 0.3 0.3 0.1 0.2 0.3 0.5 FEEDCOW -0.5 -0.6 -0.6 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.1 -0.1 0.2 -0.1 -0.1 -0.2 -0.4 -0.3 -0.4 -0.2 -0.1 -0.2 0.1 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -1.1 -0.0 -0.6 -0.6 -0.3 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 0.0 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 0.3 0.1 0.1 0.3 -0.2 -0.0 -0.4 -0.2 GASOLINE -0.2 -0.5 -0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.0 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 0.2 0.3 0.0 -0.5 0.7 0.4 0.7 0.2 GAS_US_mini -0.6 -0.1 0.5 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -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 -0.4 -0.2 0.5 -0.6 -0.4 0.2 -0.6 0.1 GBP 0.6 0.3 -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 0.1 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 0.0 -0.0 0.1 -0.0 0.1 0.1 -0.1 0.1 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 -0.4 0.5 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 -0.0 0.2 -0.0 0.2 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.0 0.1 -0.0 0.3 -0.1 -2.5 -0.0 0.0 0.1 -0.0 0.2 -0.0 0.1 0.4 0.2 0.0 0.1 0.3 -0.1 0.2 -0.2 JGB-SGX-mini 0.6 0.2 -0.4 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 0.1 0.1 0.0 0.4 0.4 0.4 0.3 0.0 -0.0 0.1 -0.0 0.1 -0.3 -0.0 0.0 -0.0 0.0 -0.0 0.0 1.1 0.3 -0.0 -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 -0.4 -0.6 -0.4 -0.5 -0.2 -0.7 0.0 -0.7 LEANHOG 0.1 -0.2 0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.4 0.3 0.1 0.4 -0.1 -0.1 -0.2 -0.3 -0.1 1.9 -0.0 -0.1 -0.1 -0.1 -0.3 -0.0 1.1 -0.5 -0.1 -0.3 -0.1 -0.4 -0.2 0.3 0.5 LIVECOW -0.6 -0.6 -0.6 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.2 -0.1 -0.1 -0.1 -0.1 -0.3 -0.2 -0.2 -0.0 -0.2 0.1 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.4 -0.1 -0.6 -0.6 -0.2 -0.1 -0.5 0.1 -0.2 LUMBER-new 0.8 0.5 -0.1 -0.0 -0.0 -0.2 0.0 -0.3 0.0 0.2 -0.5 0.3 -0.7 0.3 0.1 -0.3 -0.3 -0.4 -0.4 0.1 -0.1 0.2 -0.4 0.3 NaN 0.1 0.1 -0.0 0.1 -0.1 0.1 -1.2 0.2 0.8 0.7 0.2 -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 0.2 0.5 0.1 0.1 0.3 0.3 0.3 0.3 0.1 0.1 0.2 0.4 0.2 -2.7 0.0 0.0 0.1 0.1 0.2 0.1 1.1 -0.1 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 -0.4 NIKKEI 0.6 0.2 -0.2 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 0.2 0.1 0.2 0.4 0.2 -1.4 0.0 0.0 0.1 0.1 0.2 0.1 1.1 -0.2 -0.0 0.1 0.6 -0.2 0.0 -0.1 0.3 NZD 0.6 0.3 -0.0 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 0.1 0.0 -0.0 -0.1 -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 0.1 0.1 0.1 0.0 -0.0 0.0 -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 -0.2 -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 0.3 -0.6 -0.6 -0.4 0.2 0.4 0.7 0.7 OJ 0.1 -0.4 0.4 -0.0 -0.0 -0.1 0.0 -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 0.0 -0.0 0.0 0.1 -0.3 0.0 -0.4 -0.0 -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 -0.0 -0.6 -0.6 -0.4 -0.1 -0.3 0.3 -0.1 PLAT 0.1 0.3 -0.1 0.0 0.0 -0.0 0.0 -0.0 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 -0.1 0.0 1.6 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.3 0.2 -0.0 -0.1 0.1 -0.1 -0.5 0.3 -0.3 REDWHEAT -0.1 -0.5 -0.6 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.2 -0.5 -0.2 -2.5 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.5 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.5 RICE 0.6 0.3 0.2 -0.0 -0.0 -0.1 0.0 -0.2 0.0 0.2 0.4 0.2 0.3 0.2 0.1 -0.3 0.1 -0.3 -0.1 0.2 0.1 0.2 0.2 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.5 0.6 0.6 0.6 -0.1 -0.6 0.5 -0.2 ROBUSTA 0.5 0.1 -0.3 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.1 0.3 0.1 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 0.1 0.3 0.1 -2.3 0.0 0.0 0.1 0.0 0.2 0.0 1.1 0.4 0.2 0.5 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 -0.0 -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 -0.3 -0.2 -0.5 -0.5 -0.7 -0.7 SHATZ 0.0 0.2 0.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -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 0.0 0.2 -0.4 -0.7 -0.2 -0.7 SILVER-mini 0.4 0.3 -0.2 0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 -0.1 0.2 0.1 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.2 -0.1 0.1 1.0 0.0 0.0 0.0 0.1 0.0 0.0 -0.1 -0.0 0.0 0.0 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 -0.1 -0.5 -0.6 0.1 -0.3 -0.3 -0.1 -0.2 SOFR 0.6 0.4 -0.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 -0.0 0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.1 0.1 0.0 0.0 -0.7 -0.7 -0.2 -0.3 SOYBEAN 0.4 0.2 0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.1 0.2 0.0 0.2 0.1 -0.0 0.4 0.4 0.3 0.3 0.1 0.0 -0.0 0.1 0.1 -2.7 0.0 0.0 0.1 0.1 0.1 0.1 1.1 0.3 0.6 0.5 0.3 -0.7 -0.4 -0.7 -0.2 SOYMEAL 0.4 0.6 0.1 -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 -0.0 0.4 0.6 0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.5 -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 0.1 0.2 0.2 0.2 -0.1 -0.1 0.0 -0.1 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 1.0 0.3 0.0 -0.5 -0.4 -0.2 0.1 0.3 0.5 SP400 0.6 0.1 -0.6 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.1 0.1 -0.0 -0.1 -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 0.1 -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 -2.4 0.0 0.0 0.0 0.1 0.1 0.1 -0.4 0.1 0.4 0.3 0.1 0.0 -0.3 0.1 -0.5 SUGAR11 -0.2 -0.1 0.2 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.1 0.5 -0.1 0.7 0.1 0.2 0.4 0.4 0.4 0.4 0.1 0.2 -0.0 0.5 0.0 -2.7 0.1 -0.0 0.3 0.0 0.6 0.0 1.1 -0.2 -0.2 0.3 0.6 -0.4 -0.6 0.3 0.1 US10 0.6 0.5 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 0.0 0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.5 0.1 0.0 -0.1 -0.1 -0.7 -0.7 -0.1 0.1 US10U 0.6 0.4 -0.1 0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.3 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.3 0.1 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.1 0.0 -0.1 -0.1 -0.7 -0.7 0.1 0.5 US2 0.4 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 0.0 0.1 -0.5 -0.7 -0.2 -0.7 US20 0.6 0.4 -0.2 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.1 0.1 -0.1 -0.2 -0.4 -0.7 0.4 0.7 US30 0.6 0.3 -0.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.3 0.1 0.0 -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 0.1 -0.0 -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 0.0 -0.2 0.0 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.3 -0.2 -0.3 -0.2 -0.2 -0.2 -0.2 -0.5 -0.2 -0.7 -0.1 -0.0 -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 19.0 11.9 -2.0 1.5 4.1 0.2 5.5 0.4 4.5 12.0 -8.5 12.6 -9.4 10.9 -0.4 -2.7 -3.0 -3.0 -3.1 3.0 -4.2 12.8 -7.7 10.2 3.1 1.6 5.5 -1.6 6.3 -3.0 5.1 -1.2 0.6 0.6 0.8 -1.8 -9.6 -18.7 -2.4 5.7 BITCOIN 6.2 20.0 7.8 1.8 6.1 -1.0 9.1 -0.6 6.5 18.0 18.8 20.0 15.5 20.0 20.0 -10.2 -5.6 -8.3 -7.1 20.0 20.0 19.3 10.9 20.0 -20.0 7.8 2.3 5.0 4.2 2.5 7.3 -0.7 -20.0 20.0 20.0 20.0 -4.2 20.0 -0.7 20.0 BOBL 10.6 9.8 4.3 0.0 -1.0 -1.9 1.1 -2.8 1.7 -2.3 -4.1 1.1 -7.7 6.0 2.3 11.7 -1.9 5.9 -0.1 1.6 -2.6 -0.0 -8.1 3.1 9.1 0.9 -3.1 -1.1 -0.1 -3.2 1.7 -0.3 -4.5 -6.8 4.1 6.6 -17.3 -20.0 -12.5 -18.5 BTP 20.0 12.8 -6.0 0.0 -1.5 -2.8 1.6 -4.0 2.5 5.3 -1.6 10.9 0.3 11.6 3.5 7.6 7.7 7.2 6.9 6.7 -1.2 10.5 -4.9 14.1 -7.6 2.1 -0.0 -0.2 3.2 -1.0 4.3 15.2 4.4 9.9 10.6 6.8 -13.3 -20.0 1.2 6.7 BUND 18.8 10.1 0.1 0.0 -1.1 -2.0 1.2 -2.9 1.8 1.0 -4.4 6.0 -8.2 7.4 1.0 -3.7 4.1 -1.9 0.6 2.0 -3.4 3.0 -9.0 5.4 6.0 1.0 -1.3 -1.2 1.4 -2.8 2.5 7.0 -1.9 -2.0 4.3 5.0 -20.0 -20.0 -20.0 -4.7 BUXL 20.0 10.2 -3.2 0.0 -1.1 -2.1 1.3 -3.1 1.9 3.4 -5.9 8.2 -9.3 8.2 -1.4 0.3 0.8 0.4 0.7 0.9 -6.6 6.7 -12.6 7.5 1.4 0.5 0.1 -2.0 2.5 -3.3 2.9 4.1 1.2 3.1 3.6 0.3 -18.4 -20.0 -13.6 14.2 CAC 20.0 -0.6 -16.1 1.5 5.5 -1.3 7.9 -0.6 6.5 19.9 -4.7 20.0 14.0 17.1 -1.8 -6.4 -3.1 -6.0 -5.1 2.9 -4.7 20.0 3.7 19.5 -6.3 1.2 7.2 -1.6 9.4 0.6 7.2 3.2 -4.8 -11.4 -5.8 5.5 6.6 4.6 13.0 10.1 CAD 11.7 -3.1 -8.6 2.4 6.3 0.2 8.6 0.7 6.9 17.2 -14.3 14.1 -14.9 -1.2 -12.5 -2.5 -2.2 -2.5 -2.4 -7.9 -11.4 10.6 -10.8 1.9 2.6 -4.2 8.8 -6.0 5.8 -5.1 1.1 0.0 -17.1 -18.0 -20.0 -16.2 -17.7 -20.0 -8.5 -17.2 CANOLA 20.0 -9.7 -15.8 -0.8 -1.4 -2.3 0.6 -3.0 1.0 -7.8 -2.5 2.1 -3.7 -0.8 -7.3 -10.1 2.3 -10.5 -5.0 -7.2 -7.5 -2.4 -5.8 -2.7 -20.0 -2.9 -2.5 -2.9 -1.4 -2.6 -1.7 -0.1 -11.6 -4.8 -12.7 -13.2 -11.5 -6.4 3.1 5.5 CHF 19.0 10.6 -17.0 2.2 5.7 0.2 7.8 0.6 6.3 16.6 -7.4 18.0 5.0 16.4 -3.1 -15.7 -15.0 -16.3 -15.8 2.6 -3.8 18.7 -0.9 14.3 -8.1 0.7 5.8 -1.7 7.3 -0.7 5.4 -20.0 2.5 -13.0 9.6 -11.5 -20.0 -20.0 -20.0 -20.0 COCOA 13.7 20.0 2.9 -1.8 -3.4 -5.5 1.4 -7.1 2.3 11.6 20.0 19.9 20.0 20.0 20.0 0.9 -2.4 -2.2 -2.6 20.0 20.0 20.0 20.0 20.0 -20.0 8.6 3.8 8.3 6.7 8.8 8.7 -2.8 16.9 20.0 20.0 20.0 11.4 -3.1 20.0 11.1 COFFEE 9.9 20.0 11.6 -1.4 -2.6 -4.2 1.0 -5.4 1.8 -12.2 -7.4 4.7 -11.4 12.5 11.9 10.5 2.6 4.5 2.8 11.0 2.0 -0.3 -6.3 10.2 -20.0 4.6 -1.5 1.8 1.0 -0.4 4.5 5.8 -12.2 8.6 20.0 13.7 -20.0 -20.0 -20.0 -12.3 COPPER 18.9 6.7 -5.4 1.5 5.2 -0.9 7.7 -0.5 5.5 16.5 -13.5 18.4 -6.2 14.3 -4.9 -8.9 -4.6 -8.0 -6.5 3.5 -6.8 20.0 -9.7 17.6 -6.6 2.0 11.3 -2.0 12.2 -3.1 7.9 0.7 9.2 20.0 3.9 0.7 -2.4 -18.7 5.4 -16.8 CORN 3.4 6.0 -13.2 -1.6 -3.0 -4.9 1.2 -6.3 2.1 -16.4 -20.0 -3.4 -19.8 -6.8 -13.5 -6.6 0.3 -6.2 -4.4 -6.4 -16.4 -4.0 -20.0 -2.6 -20.0 -1.7 0.5 -4.9 0.1 -8.8 -0.4 -2.1 5.0 -5.7 4.6 -1.0 -7.5 -4.3 3.2 3.9 COTTON2 -10.9 -20.0 -5.0 -1.4 -2.5 -4.1 1.0 -5.3 1.8 9.0 -3.7 -3.2 -9.7 -10.6 -11.0 -8.0 1.2 -6.0 -2.8 -17.1 -9.1 -4.0 -4.7 -14.9 -20.0 -4.9 0.0 -2.2 -1.6 -0.2 -4.8 0.1 6.8 -20.0 -20.0 -3.0 -18.3 -12.8 -1.4 4.4 CRUDE_W -14.8 -9.5 7.9 -2.6 -1.9 1.3 -3.1 3.1 -4.5 2.4 9.6 -4.4 7.6 -8.7 -0.2 7.0 10.9 10.8 11.1 -0.7 8.4 -5.9 10.8 -7.0 -4.9 -0.4 0.6 4.5 -1.9 6.6 -3.5 -20.0 4.8 6.5 7.4 6.0 20.0 11.0 20.0 11.1 DAX 20.0 4.3 -17.0 1.4 5.1 -1.2 7.3 -0.6 6.0 18.5 -6.6 20.0 10.9 16.6 0.3 -9.9 -8.3 -9.8 -9.3 7.4 -5.2 20.0 -0.4 20.0 17.8 2.0 6.3 -1.4 9.3 -0.7 7.6 -4.9 18.5 8.0 3.9 1.2 6.1 3.5 13.8 12.3 DOW 20.0 8.1 -11.1 1.1 3.9 -1.0 5.7 -0.5 4.6 14.2 0.2 15.7 7.6 13.7 2.5 -9.8 -9.1 -10.5 -10.3 8.2 -0.1 20.0 0.1 20.0 -9.7 1.4 5.4 -0.2 7.2 0.5 5.4 -6.6 2.8 6.6 3.6 3.0 -17.9 -6.2 -20.0 -7.6 DX -20.0 -15.9 12.6 1.6 4.2 0.2 5.7 0.4 4.6 -11.2 8.5 -12.2 -2.7 -10.9 3.5 6.7 6.0 7.0 6.6 -3.2 4.8 -15.5 6.0 -13.2 -20.0 -1.2 -4.0 1.8 -5.6 2.5 -4.9 14.9 -20.0 -20.0 -16.9 20.0 9.9 6.8 13.6 19.0 EUR 20.0 14.7 -10.7 1.6 4.2 0.2 5.8 0.4 4.7 11.4 -6.2 12.4 3.6 12.1 0.3 -5.7 -6.7 -6.3 -6.4 5.5 -2.0 14.6 -3.3 14.1 10.1 2.0 3.5 -0.7 5.4 -1.2 5.3 -7.3 0.2 5.8 8.6 -4.0 -14.9 -15.7 -12.9 -5.4 EURIBOR-ICE 13.9 20.0 13.0 0.0 -0.9 -1.7 1.0 -2.6 1.6 -1.6 0.7 3.3 -5.4 6.8 6.7 -4.0 -7.0 -5.3 -6.6 7.7 2.9 1.8 -4.6 7.6 17.0 2.3 -1.6 1.0 0.5 -1.0 2.3 -9.4 -3.6 0.4 11.7 13.8 -20.0 -20.0 4.2 20.0 EUROSTX 20.0 6.0 -12.0 1.5 5.2 -1.3 7.5 -0.6 6.2 18.9 -3.4 20.0 13.3 18.4 1.7 -5.9 -2.8 -5.6 -4.8 9.7 -0.4 20.0 4.8 20.0 4.2 3.3 6.2 -0.0 9.2 0.8 8.3 3.6 0.5 -1.4 8.4 9.9 3.3 5.9 7.9 14.6 FEEDCOW -15.2 -20.0 -20.0 -0.9 -1.7 -2.8 0.7 -3.6 1.2 -9.6 -3.9 -9.4 4.8 -11.0 -10.6 -12.5 -20.0 -12.8 -20.0 -20.0 -8.4 -20.0 4.1 -20.0 -1.6 -3.4 -0.8 -0.9 -2.0 1.7 -3.6 -20.0 -0.9 -20.0 -20.0 -9.7 14.4 -0.0 20.0 8.4 GASOIL -17.2 -19.1 5.4 -2.2 -1.6 1.1 -2.7 2.7 -3.8 4.7 8.7 -5.1 7.3 -10.7 -4.5 12.8 20.0 20.0 20.0 -4.3 7.1 -3.7 12.3 -9.3 8.3 -1.2 0.2 3.3 -1.2 4.8 -3.2 0.0 10.7 4.1 1.6 8.5 -7.3 -0.6 -12.0 -5.9 GASOLINE -5.0 -15.5 -11.8 -2.5 -1.8 1.3 -3.0 3.0 -4.3 0.1 4.4 -2.8 5.4 -9.6 -10.6 -2.0 20.0 14.4 20.0 -7.5 0.0 -5.4 7.8 -8.0 -20.0 -3.4 1.3 0.2 -0.8 4.5 -3.4 10.4 7.0 9.9 1.0 -15.5 20.0 10.8 20.0 7.0 GAS_US_mini -20.0 -2.7 15.1 -2.6 -1.9 1.3 -3.1 3.1 -4.5 -15.8 -14.8 -17.3 -18.7 -16.8 -15.7 -20.0 -20.0 -20.0 -20.0 -15.7 -13.5 -20.0 -20.0 -20.0 20.0 -4.3 -7.6 -2.1 -9.4 -1.9 -7.8 -20.0 -17.4 -6.8 14.9 -17.3 -12.8 6.5 -18.8 2.5 GBP 20.0 8.4 -15.0 1.6 4.1 0.2 5.6 0.4 4.5 11.8 -6.2 12.4 5.4 10.7 -2.5 -0.7 -0.8 -0.6 -0.6 2.6 -2.2 14.3 -1.4 11.0 0.7 1.1 5.3 -1.1 5.9 -1.1 4.8 2.9 1.7 3.9 4.6 -5.8 -9.5 3.7 -4.9 20.0 GOLD_micro -0.7 20.0 -2.6 1.4 4.6 -0.8 6.8 -0.5 4.9 16.3 -2.4 9.7 3.5 13.1 11.0 -15.2 -14.8 -16.2 -16.1 8.6 1.8 14.4 -0.2 12.0 -7.2 2.3 4.2 0.6 3.4 0.4 3.1 -16.7 -7.8 -12.5 16.4 5.0 -12.1 -20.0 -11.3 -20.0 HEATOIL -16.0 -19.8 2.6 -2.3 -1.7 1.2 -2.8 2.7 -4.0 -1.4 7.6 -4.5 6.1 -9.1 -5.0 17.7 20.0 20.0 20.0 -4.4 5.3 -4.3 9.9 -8.4 -18.6 -1.8 2.0 2.7 -0.7 5.4 -3.4 2.7 14.9 4.7 1.4 2.4 10.2 -1.8 5.1 -7.0 JGB-SGX-mini 20.0 6.6 -13.7 0.0 -0.9 -1.7 1.0 -2.5 1.5 3.9 -3.2 6.4 1.4 5.5 0.5 19.0 19.7 17.8 17.3 1.0 -2.5 9.7 -1.5 7.7 -1.9 -0.1 1.0 -1.3 3.1 -1.2 2.2 20.0 14.3 -0.1 -1.4 -0.3 3.8 -20.0 15.7 17.0 JPY 9.8 11.2 -8.1 1.4 3.7 0.1 5.1 0.4 4.1 2.5 -12.5 3.2 -12.4 -2.3 -10.6 -17.5 -16.1 -18.4 -17.6 -8.9 -15.9 2.1 -19.9 -1.7 20.0 -4.1 0.3 -6.4 0.8 -7.3 -1.1 -20.0 -15.5 -20.0 -13.5 -16.0 -5.4 -20.0 0.5 -20.0 LEANHOG 3.1 -4.8 1.8 -1.1 -1.9 -3.2 0.8 -4.1 1.4 -12.7 -0.2 -7.7 -6.8 -5.0 -6.0 -20.0 16.7 4.0 19.5 -5.9 -7.4 -20.0 -10.9 -8.6 14.1 -2.0 -11.1 -4.7 -5.5 -8.4 -1.7 20.0 -20.0 -3.0 -8.6 -4.3 -10.9 -4.6 7.8 15.4 LIVECOW -20.0 -20.0 -20.0 -1.0 -1.7 -2.8 0.7 -3.7 1.2 -10.5 -0.1 -10.9 6.6 -11.4 -10.0 -7.0 -5.0 -12.7 -8.6 -15.4 -4.6 -19.8 4.8 -19.7 0.1 -3.4 -1.4 -0.4 -2.7 2.3 -4.1 -8.4 -2.9 -20.0 -20.0 -7.5 -3.0 -15.5 2.0 -7.3 LUMBER-new 20.0 12.0 -3.9 -2.0 -3.7 -5.7 1.5 -6.3 2.6 20.0 -14.7 20.0 -20.0 20.0 6.3 -14.1 -14.7 -15.6 -15.2 10.9 -6.5 20.0 -14.3 20.0 NaN 4.5 5.5 -1.1 9.6 -3.1 9.9 -20.0 5.6 20.0 20.0 6.2 -14.9 -20.0 -8.5 -17.4 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 3.9 -20.0 1.8 4.7 0.2 6.5 0.5 5.2 12.9 8.2 14.5 12.7 13.1 5.2 13.0 16.1 13.8 14.8 9.3 6.4 18.0 13.4 17.8 -20.0 2.9 3.9 2.2 5.7 4.6 5.6 20.0 -3.8 11.9 1.3 5.5 9.0 13.0 17.5 20.0 NASDAQ_micro 20.0 3.1 -6.0 0.9 3.3 -0.8 4.8 -0.4 3.9 8.7 7.8 12.4 9.3 11.8 6.0 -9.6 -8.8 -9.7 -9.6 11.2 7.9 20.0 10.2 20.0 -20.0 2.5 3.8 2.0 5.9 3.5 5.1 -5.7 -2.4 10.4 12.4 8.4 6.0 -10.7 6.0 -13.3 NIKKEI 20.0 5.2 -6.6 1.2 4.4 -1.1 6.4 -0.5 5.2 14.9 13.9 17.1 14.1 16.1 11.9 4.0 9.6 5.6 7.8 14.0 11.4 20.0 15.2 20.0 -10.6 4.0 4.7 3.7 6.8 5.5 6.6 20.0 -10.2 -1.3 3.8 17.8 -6.8 1.3 -4.3 8.3 NZD 20.0 7.9 -1.1 1.3 3.4 0.1 4.7 0.4 3.8 9.9 -6.9 10.4 -2.2 8.0 -0.5 0.2 0.2 0.0 0.1 2.1 -2.8 10.2 -5.0 7.6 0.9 1.4 4.7 -0.9 5.2 -1.9 4.2 4.3 -2.6 2.0 0.1 -0.2 -1.6 -14.3 3.3 7.6 OAT 20.0 11.1 -0.2 0.0 -1.1 -2.1 1.2 -3.1 1.9 2.6 -3.9 7.4 -8.2 8.2 1.5 5.2 7.5 5.7 6.2 3.1 -3.0 5.0 -8.4 7.5 8.3 1.3 -0.6 -0.8 2.0 -2.4 3.0 14.6 0.4 1.5 5.7 5.9 -20.0 -20.0 -8.2 10.2 OATIES -5.2 -20.0 -20.0 -0.8 -1.4 -2.3 0.6 -3.0 1.0 9.0 -3.7 -2.1 -3.3 -6.5 -8.8 -18.2 -10.0 -18.5 -16.2 -14.8 -8.5 3.0 -1.3 -9.9 -20.0 -3.0 2.1 -1.6 -0.5 -0.3 -2.6 -20.0 12.3 -20.0 -20.0 -11.5 7.1 11.0 20.0 20.0 OJ 3.6 -12.2 12.9 -1.5 -2.8 -4.5 1.1 -5.8 1.9 12.2 19.5 16.3 20.0 16.2 17.9 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 7.1 9.6 6.5 20.0 20.0 20.0 20.0 20.0 6.9 9.5 20.0 20.0 PALLAD 0.8 -5.8 -1.8 0.8 2.7 -0.4 3.9 -0.3 2.8 8.1 -10.2 2.2 -11.1 -4.5 -7.3 -1.9 -2.6 -2.4 -2.6 -11.8 -14.8 2.0 -19.5 -6.6 4.6 -3.4 1.1 -3.2 -0.4 -3.0 -2.6 5.5 -1.3 -20.0 -20.0 -11.0 -3.9 -8.2 8.1 -2.6 PLAT 2.4 8.1 -2.9 0.9 2.9 -0.5 4.3 -0.3 3.1 9.7 -8.9 8.5 -5.4 5.4 -2.8 -3.2 -2.8 -3.5 -3.3 -1.0 -4.7 10.7 -5.2 4.4 12.1 -0.1 6.7 -1.0 4.6 -1.0 1.5 4.8 6.6 -1.5 -2.7 4.0 -2.5 -14.3 10.3 -9.7 REDWHEAT -3.4 -16.7 -20.0 -1.7 -3.0 -4.9 1.2 -6.4 2.1 -19.2 -20.0 -19.9 -20.0 -20.0 -20.0 -7.1 -1.2 -5.9 -3.7 -20.0 -20.0 -20.0 -20.0 -20.0 -18.9 -8.2 -5.7 -7.8 -7.1 -5.6 -7.4 -2.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -13.7 RICE 20.0 8.2 7.0 -1.8 -3.2 -5.3 1.3 -6.8 2.3 20.0 15.0 20.0 9.5 20.0 13.4 -16.0 4.1 -14.7 -4.0 20.0 13.5 20.0 8.5 20.0 -20.0 5.5 8.1 2.8 12.8 1.6 10.2 4.4 20.0 20.0 20.0 20.0 -1.9 -17.9 14.5 -5.9 ROBUSTA 14.1 2.6 -9.3 -1.1 -2.0 -3.2 0.8 -4.1 1.4 6.1 10.0 9.3 11.3 9.7 7.3 20.0 20.0 20.0 20.0 8.9 8.4 10.7 12.0 11.8 -17.3 3.6 3.2 3.3 3.9 4.5 4.6 20.0 16.7 6.4 14.1 11.6 -7.1 -12.4 9.4 0.6 RUSSELL 20.0 3.6 -14.2 0.7 2.6 -0.6 3.8 -0.3 3.1 8.8 -5.9 9.3 -5.5 6.8 -4.6 -5.8 -6.3 -6.8 -6.9 -2.0 -5.5 9.6 -4.8 6.0 -1.6 -0.7 2.1 -1.7 3.4 -1.0 2.0 -1.2 1.7 -4.6 -7.7 -6.9 -15.4 -13.5 -20.0 -20.0 SHATZ 0.3 6.8 2.1 0.0 -1.0 -1.8 1.1 -2.7 1.7 -6.5 -7.0 -4.4 -8.5 0.5 -2.8 -20.0 -16.2 -20.0 -20.0 -2.1 -5.9 -4.6 -12.7 -1.8 10.4 -1.1 -4.9 -2.4 -2.8 -5.0 -1.1 -20.0 -9.6 -15.5 0.7 5.0 -12.3 -20.0 -6.1 -20.0 SILVER-mini 10.9 9.8 -6.8 1.2 4.2 -0.7 6.1 -0.4 4.4 14.8 -4.6 14.7 2.0 13.6 1.1 -6.8 -6.5 -7.2 -7.0 3.0 -2.5 19.8 -2.3 12.0 7.3 1.6 5.2 0.2 6.6 0.4 4.5 -1.7 -1.6 0.1 0.4 3.7 -17.2 -20.0 -2.6 -20.0 SMI 19.9 -8.0 -12.9 1.3 4.5 -1.1 6.5 -0.5 5.3 16.4 -8.7 17.6 -0.2 2.8 -5.7 5.1 2.4 3.9 2.4 -5.6 -10.9 19.0 -7.3 8.6 6.7 -1.5 7.1 -3.2 7.0 -2.8 3.3 14.0 -5.1 -16.3 -18.1 2.6 -7.7 -9.3 -2.6 -5.5 SOFR 20.0 12.9 -3.6 0.0 -0.9 -1.6 0.9 -2.3 1.5 3.4 -4.5 6.2 -4.7 6.3 -0.2 0.5 -0.6 -0.1 -0.6 0.8 -3.6 5.0 -5.2 5.3 -1.3 0.1 1.8 -1.6 2.8 -2.1 2.2 1.6 5.9 2.1 0.2 1.2 -20.0 -20.0 -5.9 -8.9 SOYBEAN 11.5 4.9 1.2 -1.5 -2.7 -4.3 1.1 -5.6 1.9 -13.9 8.6 3.2 5.8 10.3 -1.8 18.7 18.1 16.2 15.6 6.2 3.8 -1.9 1.9 6.9 -20.0 4.5 2.8 2.5 5.2 1.5 6.3 20.0 12.0 17.5 15.8 10.6 -20.0 -12.9 -20.0 -7.3 SOYMEAL 11.1 20.0 4.1 -0.9 -1.6 -2.6 0.6 -3.3 1.1 -9.7 3.9 1.9 3.5 7.9 7.8 20.0 18.0 17.1 16.8 10.4 6.0 -0.6 3.5 9.0 -20.0 3.4 -1.1 2.2 1.2 1.9 3.3 20.0 -1.6 11.1 20.0 15.1 -20.0 -20.0 -20.0 -20.0 SOYOIL 14.0 -19.4 -18.3 -0.9 -1.6 -2.6 0.6 -3.3 1.1 -7.8 -2.1 2.8 -3.3 -5.4 -8.9 4.2 10.5 7.9 9.3 -10.6 -9.0 0.3 -4.3 -3.7 -20.0 -2.7 2.8 -2.4 2.2 -1.2 -0.5 18.2 11.5 1.4 -16.1 -12.4 -7.0 2.4 8.3 15.8 SP400 20.0 2.0 -17.4 0.8 2.9 -0.7 4.2 -0.3 3.4 10.5 -5.1 11.1 -1.4 8.7 -3.5 -5.2 -5.1 -5.4 -5.4 -0.8 -5.1 14.0 -3.5 9.1 -8.4 -0.3 3.4 -1.4 4.6 -0.6 2.8 1.2 3.1 -2.7 -5.5 -4.5 -10.3 -12.8 -15.8 -20.0 SP500_micro 20.0 4.0 -11.9 1.1 3.9 -0.9 5.6 -0.5 4.6 14.1 2.9 15.6 7.6 13.6 3.9 -10.2 -9.9 -10.8 -10.8 9.1 2.6 20.0 4.4 20.0 -17.8 1.8 5.0 0.7 7.1 1.8 5.5 -7.7 2.8 12.2 7.9 2.8 0.3 -10.1 2.1 -14.2 SUGAR11 -6.1 -2.1 5.0 -1.5 -2.8 -4.6 1.1 -5.9 2.0 -16.2 18.7 -4.9 19.3 8.8 16.7 20.0 19.9 20.0 20.0 11.1 19.6 -5.3 20.0 2.4 -20.0 5.7 -0.3 10.3 1.1 17.0 2.5 20.0 -8.4 -7.2 8.3 20.0 -13.2 -16.6 9.8 4.3 US10 20.0 14.5 -0.6 0.0 -0.8 -1.5 0.9 -2.2 1.4 2.6 -5.5 5.8 -6.4 5.3 -1.9 -5.6 -6.9 -6.5 -7.2 -1.0 -5.8 3.9 -8.2 3.9 1.1 -0.6 1.5 -2.3 2.3 -2.9 1.6 -9.9 4.9 1.0 -2.1 -1.8 -20.0 -20.0 -4.0 1.9 US10U 20.0 12.5 -3.8 0.0 -1.0 -1.9 1.1 -2.8 1.7 4.4 -6.9 8.0 -7.9 6.6 -3.0 -0.2 -0.5 -0.1 -0.5 -1.8 -8.0 5.2 -10.6 4.7 -1.8 -1.0 1.8 -3.1 2.6 -3.6 1.7 1.6 5.2 0.9 -3.8 -4.2 -20.0 -20.0 3.5 15.0 US2 13.2 18.3 16.3 0.0 -0.9 -1.6 1.0 -2.4 1.5 -1.0 -7.1 2.1 -7.6 3.8 -2.4 -20.0 -20.0 -20.0 -20.0 -1.3 -6.7 0.4 -11.7 1.5 7.7 -0.1 0.7 -2.6 1.7 -5.1 1.6 -20.0 2.9 -5.9 1.5 3.7 -16.0 -20.0 -7.0 -20.0 US20 20.0 11.6 -6.6 0.0 -0.8 -1.4 0.9 -2.1 1.3 2.4 -5.0 6.0 -5.8 4.8 -2.2 -0.4 -1.5 -1.0 -1.4 -1.5 -6.7 4.6 -8.5 4.3 -1.7 -0.8 1.4 -2.4 1.9 -2.6 1.3 0.0 3.8 2.5 -3.4 -5.6 -11.5 -20.0 12.6 20.0 US30 20.0 10.1 -4.6 0.0 -0.8 -1.5 0.9 -2.2 1.4 3.4 -5.5 6.4 -6.3 4.8 -2.7 -4.0 -4.0 -4.8 -4.8 -1.9 -6.9 4.9 -8.9 3.9 -1.3 -1.0 1.6 -2.6 2.0 -2.9 1.2 -5.0 3.6 0.9 -3.9 -5.1 -6.6 -20.0 19.7 20.0 US5 20.0 14.9 3.8 0.0 -0.8 -1.6 0.9 -2.3 1.4 2.3 -5.9 5.5 -6.7 5.4 -1.8 -9.5 -10.4 -10.8 -11.4 -0.5 -5.3 3.1 -8.4 3.6 3.1 -0.2 1.4 -2.2 2.4 -3.3 1.9 -16.4 4.6 -0.7 -0.1 0.9 -20.0 -20.0 -14.3 -17.0 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 -0.8 -2.3 -20.0 -1.7 -3.1 -5.1 1.3 -6.5 2.2 -16.3 -20.0 -17.5 -20.0 -14.6 -20.0 -13.9 -10.8 -12.8 -12.0 -20.0 -20.0 -18.4 -20.0 -17.1 -5.0 -7.3 -3.7 -8.5 -8.2 -9.4 -7.6 -18.2 -20.0 -20.0 -8.5 -19.7 -20.0 -20.0 -20.0 -17.0 End of report for caleb_strategy_v3