******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231129_204333 produced at 2023-11-29 21:39:13.490740 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 VIX False False 0.01 -0.10 -0.24 0.0 0.10 -0.10 -0.10 -0.10 -39.36 17.0 -17 -16 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.15 0.0 0.00 0.00 0.00 0.00 -3.58 24.0 0 0 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -1.30 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.09 0.0 0.00 0.00 0.00 0.00 -1.18 13.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 -0.09 0.0 0.77 -0.77 0.00 0.00 -3.34 29.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.21 -0.08 0.0 0.68 -0.68 -0.21 -0.21 -1.54 13.0 -4 -4 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.07 0.0 0.11 -0.11 -0.05 -0.05 -7.71 12.0 -5 -5 caleb_strategy_v3 LIVECOW False False 0.03 -0.08 -0.07 0.0 0.43 -0.43 -0.08 -0.03 -2.72 17.0 -3 -1 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -4.75 5.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.04 -0.06 0.0 0.07 -0.07 -0.04 -0.05 -25.29 26.0 -14 -18 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.05 0.0 0.33 -0.33 -0.04 -0.04 -1.27 8.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.07 -0.05 0.0 0.16 -0.16 -0.07 -0.07 -3.41 11.0 -5 -5 caleb_strategy_v3 JPY False False 0.03 0.00 -0.05 0.0 0.52 -0.52 0.00 0.00 -1.62 17.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.04 0.0 0.19 -0.19 -0.02 -0.02 -11.62 51.0 -6 -6 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.04 0.0 0.19 -0.19 0.00 0.00 -0.46 2.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.04 0.0 0.97 -0.97 -0.04 -0.04 -0.94 25.0 -1 -1 caleb_strategy_v3 DX False False 0.04 0.00 -0.04 0.0 999.00 -999.00 0.00 0.00 -1.20 999999999.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -4.58 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 -10.23 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 -2.61 9.0 -3 -3 caleb_strategy_v3 PALLAD False False 0.04 -0.08 -0.02 0.0 0.08 -0.08 -0.08 -0.08 -0.54 2.0 -2 -2 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.02 0.0 0.21 -0.21 0.00 0.00 -0.62 6.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.05 -0.02 0.0 0.42 -0.42 -0.05 -0.05 -2.80 56.0 -7 -7 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -2.16 8.0 -3 -3 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -2.65 3.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.01 0.0 0.68 -0.68 0.00 0.00 -0.35 17.0 0 0 caleb_strategy_v3 DOW False False 0.01 -0.03 -0.01 0.0 0.43 -0.43 -0.03 -0.03 -2.25 66.0 -4 -4 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.01 0.0 0.40 -0.40 -0.01 -0.02 -1.46 48.0 -1 -2 caleb_strategy_v3 BUXL False True 0.05 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.01 4.0 0 0 caleb_strategy_v3 SMI False False 0.04 -0.04 -0.00 0.0 0.40 -0.40 -0.04 -0.04 -0.11 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 0.05 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 0.06 7.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 0.00 0.0 0.27 -0.27 -0.01 0.02 0.13 23.0 -1 2 caleb_strategy_v3 SOYMEAL False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 -0.02 -0.04 9.0 0 -1 caleb_strategy_v3 LEANHOG False False 0.01 -0.02 0.00 0.0 0.13 -0.13 -0.02 -0.01 0.07 13.0 -2 -1 caleb_strategy_v3 US20 False False 0.04 0.00 0.00 0.0 0.38 -0.38 0.00 0.00 0.02 9.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.00 0.00 0.0 0.27 -0.27 0.00 0.14 0.00 6.0 0 3 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.00 0.0 0.11 -0.11 -0.02 -0.02 -0.27 10.0 -2 -2 caleb_strategy_v3 HEATOIL False False 0.04 0.00 -0.00 0.0 0.12 -0.12 0.00 0.00 -0.00 3.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 -0.00 0.0 0.54 -0.54 0.00 -0.12 -0.06 13.0 0 -3 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.11 6.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.0 0.21 -0.21 0.02 0.02 1.39 23.0 2 2 caleb_strategy_v3 BOBL False True 0.05 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.11 19.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.10 0.01 0.0 0.46 -0.46 0.10 0.10 0.32 19.0 4 4 caleb_strategy_v3 PLAT False False 0.02 0.00 0.01 0.0 0.17 -0.17 0.00 0.02 0.58 10.0 0 1 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 0.14 -0.14 0.00 0.03 0.31 4.0 0 1 caleb_strategy_v3 EUR False False 0.05 0.00 0.02 0.0 0.70 -0.70 0.00 0.05 0.47 14.0 0 1 caleb_strategy_v3 CAC False False 0.03 0.32 0.02 0.0 0.35 -0.35 0.32 0.32 0.86 12.0 11 11 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.02 0.0 0.00 -0.00 0.00 0.00 0.67 0.0 0 0 caleb_strategy_v3 NZD False True 0.02 0.02 0.02 0.0 0.02 0.00 0.02 0.02 1.03 21.0 1 1 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.02 0.0 0.12 -0.12 0.00 0.00 0.81 4.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.02 0.0 0.19 -0.19 0.00 0.00 1.66 18.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.03 0.0 0.05 -0.05 0.00 0.00 2.02 4.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.06 -0.06 0.00 0.00 1.94 3.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 0.04 0.0 0.63 -0.63 0.00 0.00 1.43 22.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.06 0.05 0.0 0.40 -0.40 0.06 0.06 3.01 26.0 4 4 caleb_strategy_v3 BTP False True 0.05 0.09 0.05 0.0 0.09 0.00 0.09 0.09 1.16 10.0 2 2 caleb_strategy_v3 BITCOIN False False 0.00 0.05 0.06 0.0 0.08 -0.08 0.05 0.05 42.84 59.0 36 36 caleb_strategy_v3 EUROSTX False False 0.02 0.05 0.07 0.0 0.35 -0.35 0.05 0.05 4.12 20.0 3 3 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.07 0.0 0.14 -0.14 0.05 0.08 2.67 5.0 2 3 caleb_strategy_v3 OAT False True 0.05 0.10 0.08 0.0 0.10 0.00 0.10 0.05 1.47 10.0 2 1 caleb_strategy_v3 DAX False False 0.01 0.00 0.10 0.0 0.38 -0.38 0.00 0.00 16.15 58.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.26 0.16 0.0 0.29 -0.29 0.26 0.26 18.96 36.0 32 32 caleb_strategy_v3 MXP False False 0.01 0.39 0.31 0.0 0.63 -0.63 0.39 0.40 29.38 60.0 37 38 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.22 0.73 0.0 0.58 -0.58 0.22 0.29 20.41 16.0 6 8 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.19 0.75 0.0 0.97 -0.97 0.19 0.68 7.66 10.0 2 7 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 17.7 Shocked risk 43.2 Sum abs risk 51.7 Leverage 4.29 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2756065.49, 'annual_cash_vol_target': 689016.3725, 'daily_cash_vol_target': 43063.52328125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6626 0.6671 10.6736 BITCOIN 916.1538 38315.0000 2.3911 38.2578 BOBL 0.2782 117.6800 0.2364 3.7829 BTP 0.6217 115.6000 0.5378 8.6050 BUND 0.5520 132.6800 0.4160 6.6563 BUXL 1.2862 130.8400 0.9830 15.7282 CAC 51.2321 7285.0000 0.7033 11.2521 CAD 0.0030 0.7363 0.4025 6.4397 CANOLA 8.0198 705.4000 1.1369 18.1907 CHF 0.0048 1.1475 0.4214 6.7427 COCOA 43.2176 4281.0000 1.0095 16.1523 COFFEE 3.0014 172.9000 1.7359 27.7751 COPPER 0.0366 3.8380 0.9535 15.2556 CORN 4.7163 507.2500 0.9298 14.8764 COTTON2 1.0304 79.6200 1.2941 20.7055 CRUDE_W 1.2011 75.1400 1.5985 25.5758 DAX 109.4831 16217.0000 0.6751 10.8018 DOW 208.3005 35545.0000 0.5860 9.3763 DX 0.4488 102.2950 0.4387 7.0198 EUR 0.0053 1.0989 0.4860 7.7766 EURIBOR-ICE 0.0533 97.5500 0.0547 0.8750 EUROSTX 33.7002 4382.0000 0.7691 12.3049 FEEDCOW 2.6707 224.3500 1.1904 19.0469 GASOIL 13.2374 805.7500 1.6429 26.2859 GASOLINE 0.0421 2.2575 1.8634 29.8142 GAS_US_mini 0.0985 2.7650 3.5609 56.9737 GBP 0.0073 1.2707 0.5724 9.1578 GOLD_micro 13.2864 2066.7000 0.6429 10.2861 HEATOIL 0.0466 2.7272 1.7071 27.3140 JGB-SGX-mini 0.3037 146.0500 0.2079 3.3266 JPY 0.0000 0.0068 0.6105 9.7678 LEANHOG 1.2826 70.1250 1.8291 29.2654 LIVECOW 1.7001 173.4500 0.9802 15.6827 LUMBER-new 7.4812 549.0000 1.3627 21.8031 MILK 0.1941 16.7500 1.1586 18.5373 MXP 0.0004 0.0578 0.7365 11.7837 NASDAQ_micro 128.3659 16055.7500 0.7995 12.7920 NIKKEI 293.5929 33250.0000 0.8830 14.1278 NZD 0.0043 0.6153 0.7027 11.2426 OAT 0.5591 127.4900 0.4386 7.0169 OATIES 7.1857 364.2500 1.9727 31.5636 OJ 5.9166 396.0500 1.4939 23.9025 PALLAD 20.7203 1039.0000 1.9943 31.9080 PLAT 14.9090 941.5000 1.5835 25.3366 REDWHEAT 10.5691 633.7500 1.6677 26.6833 RICE 0.1550 17.6700 0.8769 14.0308 ROBUSTA 34.1000 2470.0000 1.3806 22.0890 RUSSELL 22.2280 1811.3000 1.2272 19.6350 SHATZ 0.0841 105.3850 0.0798 1.2771 SILVER-mini 0.3228 25.4500 1.2684 20.2936 SMI 69.7617 10818.0000 0.6449 10.3179 SOFR 0.0830 96.4700 0.0860 1.3767 SOYBEAN 11.0462 1291.0000 0.8556 13.6901 SOYMEAL 5.6835 416.9000 1.3633 21.8126 SOYOIL 0.8121 52.4800 1.5475 24.7599 SP400 24.6849 2556.5000 0.9656 15.4492 SP500_micro 29.9294 4565.0000 0.6556 10.4901 SUGAR11 0.3111 25.7000 1.2104 19.3668 US10 0.4954 110.2812 0.4492 7.1872 US10U 0.6705 114.2031 0.5871 9.3935 US2 0.1255 102.3672 0.1226 1.9616 US20 0.9760 117.4062 0.8313 13.3003 US30 1.4516 124.2812 1.1680 18.6885 US5 0.3185 107.1875 0.2971 4.7539 VIX 0.5340 16.5000 3.2363 51.7814 WHEAT 8.7711 643.2500 1.3636 21.8171 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 662.60 0.67 442.02 1.00 442.02 43063.52 97.42 1.28 12.45 BITCOIN 38.32 2.39 91.62 1.00 91.62 43063.52 470.05 8.42 395.58 BOBL 1176.80 0.24 278.23 1.09 304.57 43063.52 141.39 0.78 10.97 BTP 1156.00 0.54 621.71 1.09 680.55 43063.52 63.28 5.39 34.13 BUND 1326.80 0.42 551.98 1.09 604.22 43063.52 71.27 0.64 4.55 BUXL 1308.40 0.98 1286.18 1.09 1407.91 43063.52 30.59 0.42 1.29 CAC 728.50 0.70 512.32 1.09 560.81 43063.52 76.79 3.27 25.09 CAD 736.30 0.40 296.35 1.00 296.35 43063.52 145.31 -8.86 -128.72 CANOLA 141.08 1.14 160.40 0.74 117.96 43063.52 365.08 -13.09 -477.79 CHF 1434.38 0.42 604.47 1.00 604.47 43063.52 71.24 -8.31 -59.17 COCOA 428.10 1.01 432.18 1.00 432.18 43063.52 99.64 14.12 140.69 COFFEE 648.38 1.74 1125.54 1.00 1125.54 43063.52 38.26 -2.53 -9.66 COPPER 959.50 0.95 914.86 1.00 914.86 43063.52 47.07 -1.21 -5.70 CORN 253.62 0.93 235.81 1.00 235.81 43063.52 182.62 -17.35 -316.81 COTTON2 398.10 1.29 515.18 1.00 515.18 43063.52 83.59 -19.04 -159.16 CRUDE_W 751.40 1.60 1201.10 1.00 1201.10 43063.52 35.85 6.88 24.68 DAX 162.17 0.68 109.48 1.09 119.85 43063.52 359.32 13.18 473.47 DOW 177.72 0.59 104.15 1.00 104.15 43063.52 413.47 -2.34 -96.64 DX 1022.95 0.44 448.81 1.00 448.81 43063.52 95.95 -4.81 -46.19 EUR 1373.56 0.49 667.60 1.00 667.60 43063.52 64.50 2.79 18.01 EURIBOR-ICE 2438.75 0.05 133.37 1.09 146.00 43063.52 294.96 7.61 224.54 EUROSTX 438.20 0.77 337.00 1.09 368.90 43063.52 116.74 10.35 120.83 FEEDCOW 1121.75 1.19 1335.36 1.00 1335.36 43063.52 32.25 -11.86 -38.24 GASOIL 805.75 1.64 1323.74 1.00 1323.74 43063.52 32.53 5.72 18.60 GASOLINE 948.15 1.86 1766.77 1.00 1766.77 43063.52 24.37 2.97 7.25 GAS_US_mini 69.12 3.56 246.14 1.00 246.14 43063.52 174.95 -13.35 -233.54 GBP 794.19 0.57 454.56 1.00 454.56 43063.52 94.74 5.83 55.21 GOLD_micro 206.67 0.64 132.86 1.00 132.86 43063.52 324.12 -2.53 -82.16 HEATOIL 1145.42 1.71 1955.38 1.00 1955.38 43063.52 22.02 -0.05 -0.11 JGB-SGX-mini 146050.00 0.21 30366.05 0.01 204.76 43063.52 210.31 8.96 188.48 JPY 851.12 0.61 519.60 1.00 519.60 43063.52 82.88 -7.55 -62.58 LEANHOG 280.50 1.83 513.06 1.00 513.06 43063.52 83.93 0.14 1.15 LIVECOW 693.80 0.98 680.04 1.00 680.04 43063.52 63.33 -12.98 -82.19 LUMBER-new 150.98 1.36 205.73 1.00 205.73 43063.52 209.32 -5.94 -124.34 MILK 335.00 1.16 388.12 1.00 388.12 43063.52 110.95 -20.00 -221.91 MXP 288.75 0.74 212.66 1.00 212.66 43063.52 202.50 9.89 200.20 NASDAQ_micro 321.12 0.80 256.73 1.00 256.73 43063.52 167.74 0.33 5.56 NIKKEI 33250.00 0.88 29359.29 0.01 197.97 43063.52 217.53 8.05 175.10 NZD 615.35 0.70 432.38 1.00 432.38 43063.52 99.60 3.97 39.58 OAT 1274.90 0.44 559.11 1.09 612.03 43063.52 70.36 6.14 43.23 OATIES 182.12 1.97 359.28 1.00 359.28 43063.52 119.86 -15.69 -188.11 OJ 594.08 1.49 887.49 1.00 887.49 43063.52 48.52 18.66 90.54 PALLAD 1039.00 1.99 2072.03 1.00 2072.03 43063.52 20.78 -7.67 -15.94 PLAT 470.75 1.58 745.45 1.00 745.45 43063.52 57.77 2.96 17.11 REDWHEAT 316.88 1.67 528.46 1.00 528.46 43063.52 81.49 -20.00 -162.98 RICE 353.40 0.88 309.90 1.00 309.90 43063.52 138.96 5.97 82.95 ROBUSTA 247.00 1.38 341.00 1.00 341.00 43063.52 126.29 9.44 119.16 RUSSELL 90.56 1.23 111.14 1.00 111.14 43063.52 387.47 -7.96 -308.58 SHATZ 1053.85 0.08 84.12 1.09 92.08 43063.52 467.68 -7.56 -353.38 SILVER-mini 636.25 1.27 806.99 1.00 806.99 43063.52 53.36 3.69 19.71 SMI 1081.80 0.64 697.62 1.14 792.46 43063.52 54.34 -0.58 -3.13 SOFR 2411.75 0.09 207.51 1.00 207.51 43063.52 207.52 -1.03 -21.45 SOYBEAN 645.50 0.86 552.31 1.00 552.31 43063.52 77.97 0.88 6.83 SOYMEAL 416.90 1.36 568.35 1.00 568.35 43063.52 75.77 -0.50 -3.82 SOYOIL 314.88 1.55 487.27 1.00 487.27 43063.52 88.38 -3.31 -29.27 SP400 2556.50 0.97 2468.49 1.00 2468.49 43063.52 17.45 -7.94 -13.85 SP500_micro 228.25 0.66 149.65 1.00 149.65 43063.52 287.77 -2.18 -62.73 SUGAR11 287.84 1.21 348.41 1.00 348.41 43063.52 123.60 6.30 77.86 US10 1102.81 0.45 495.39 1.00 495.39 43063.52 86.93 -3.17 -27.52 US10U 1142.03 0.59 670.48 1.00 670.48 43063.52 64.23 -0.69 -4.41 US2 2047.34 0.12 251.01 1.00 251.01 43063.52 171.56 -5.41 -92.85 US20 1174.06 0.83 975.96 1.00 975.96 43063.52 44.12 0.32 1.40 US30 1242.81 1.17 1451.65 1.00 1451.65 43063.52 29.67 0.02 0.06 US5 1071.88 0.30 318.47 1.00 318.47 43063.52 135.22 -5.50 -74.40 VIX 165.00 3.24 534.00 1.00 534.00 43063.52 80.64 -19.77 -159.46 WHEAT 321.62 1.36 438.56 1.00 438.56 43063.52 98.19 -20.00 -196.39 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 12.447 0.010 2.5 0.323 BITCOIN 395.583 0.043 2.5 42.838 BOBL 10.967 0.004 2.5 0.111 BTP 34.126 0.014 2.5 1.164 BUND 4.553 0.004 2.5 0.046 BUXL 1.294 0.004 2.5 0.013 CAC 25.090 0.014 2.5 0.856 CAD -128.721 0.010 2.5 -3.340 CANOLA -477.789 0.010 2.5 -11.624 CHF -59.171 0.010 2.5 -1.535 COCOA 140.687 0.009 2.5 3.013 COFFEE -9.664 0.005 2.5 -0.113 COPPER -5.700 0.043 2.5 -0.617 CORN -316.814 0.010 2.5 -7.708 COTTON2 -159.156 0.009 2.5 -3.409 CRUDE_W 24.680 0.043 2.5 2.673 DAX 473.473 0.014 2.5 16.150 DOW -96.640 0.009 2.5 -2.246 DX -46.192 0.010 2.5 -1.199 EUR 18.006 0.010 2.5 0.467 EURIBOR-ICE 224.542 0.014 2.5 7.659 EUROSTX 120.832 0.014 2.5 4.121 FEEDCOW -38.244 0.013 2.5 -1.267 GASOIL 18.597 0.017 2.5 0.806 GASOLINE 7.246 0.017 2.5 0.314 GAS_US_mini -233.540 0.043 2.5 -25.290 GBP 55.215 0.010 2.5 1.433 GOLD_micro -82.159 0.014 2.5 -2.802 HEATOIL -0.112 0.017 2.5 -0.005 JGB-SGX-mini 188.479 0.043 2.5 20.410 JPY -62.582 0.010 2.5 -1.624 LEANHOG 1.147 0.024 2.5 0.070 LIVECOW -82.188 0.013 2.5 -2.724 LUMBER-new -124.338 0.009 2.5 -2.652 MILK -221.905 0.009 2.5 -4.753 MXP 200.197 0.059 2.5 29.384 NASDAQ_micro 5.558 0.009 2.5 0.129 NIKKEI 175.103 0.043 2.5 18.962 NZD 39.576 0.010 2.5 1.027 OAT 43.234 0.014 2.5 1.475 OATIES -188.109 0.010 2.5 -4.577 OJ 90.542 0.009 2.5 1.939 PALLAD -15.942 0.014 2.5 -0.544 PLAT 17.113 0.014 2.5 0.584 REDWHEAT -162.979 0.005 2.5 -2.162 RICE 82.947 0.010 2.5 2.018 ROBUSTA 119.160 0.005 2.5 1.392 RUSSELL -308.585 0.013 2.5 -10.226 SHATZ -353.382 0.004 2.5 -3.584 SILVER-mini 19.711 0.014 2.5 0.672 SMI -3.125 0.014 2.5 -0.107 SOFR -21.449 0.024 2.5 -1.304 SOYBEAN 6.829 0.004 2.5 0.064 SOYMEAL -3.819 0.004 2.5 -0.036 SOYOIL -29.269 0.004 2.5 -0.272 SP400 -13.847 0.013 2.5 -0.459 SP500_micro -62.732 0.009 2.5 -1.458 SUGAR11 77.859 0.009 2.5 1.656 US10 -27.518 0.005 2.5 -0.349 US10U -4.413 0.005 2.5 -0.056 US2 -92.850 0.005 2.5 -1.177 US20 1.397 0.005 2.5 0.018 US30 0.059 0.005 2.5 0.001 US5 -74.399 0.005 2.5 -0.943 VIX -159.457 0.099 2.5 -39.362 WHEAT -196.387 0.005 2.5 -2.605 ===================== Position diags ===================== AUD 2.53 BITCOIN 50.90 BOBL 1.43 BTP 2.16 BUND 0.72 BUXL 0.31 CAC 2.62 CAD 3.77 CANOLA 8.88 CHF 1.85 COCOA 2.13 COFFEE 0.45 COPPER 5.10 CORN 4.44 COTTON2 1.79 CRUDE_W 3.88 DAX 12.26 DOW 9.61 DX 2.49 EUR 1.67 EURIBOR-ICE 10.06 EUROSTX 3.98 FEEDCOW 1.07 GASOIL 1.41 GASOLINE 1.06 GAS_US_mini 18.95 GBP 2.46 GOLD_micro 11.06 HEATOIL 0.95 JGB-SGX-mini 22.78 JPY 2.15 LEANHOG 5.10 LIVECOW 2.10 LUMBER-new 4.46 MILK 2.38 MXP 29.72 NASDAQ_micro 3.90 NIKKEI 23.56 NZD 2.58 OAT 2.40 OATIES 2.92 OJ 1.04 PALLAD 0.71 PLAT 1.97 REDWHEAT 1.08 RICE 3.38 ROBUSTA 1.47 RUSSELL 12.84 SHATZ 4.74 SILVER-mini 1.82 SMI 1.85 SOFR 12.61 SOYBEAN 0.73 SOYMEAL 0.70 SOYOIL 0.82 SP400 0.58 SP500_micro 6.69 SUGAR11 2.63 US10 1.10 US10U 0.81 US2 2.17 US20 0.56 US30 0.38 US5 1.71 VIX 19.91 WHEAT 1.30 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.3 0.1 0.6 4.0 4 BITCOIN 42.8 37.7 47.9 36.0 36 BOBL 0.1 -0.0 0.3 0.0 0 BTP 1.2 0.9 1.4 2.0 2 BUND 0.0 -0.0 0.1 0.0 0 BUXL 0.0 -0.0 0.0 0.0 0 CAC 0.9 0.6 1.1 11.0 11 CAD -3.3 -3.7 -3.0 0.0 0 CANOLA -11.6 -12.5 -10.7 -6.0 -6 CHF -1.5 -1.7 -1.4 -4.0 -4 COCOA 3.0 2.8 3.2 4.0 4 COFFEE -0.1 -0.2 -0.1 0.0 0 COPPER -0.6 -1.1 -0.1 0.0 0 CORN -7.7 -8.2 -7.3 -5.0 -5 COTTON2 -3.4 -3.6 -3.2 -5.0 -5 CRUDE_W 2.7 2.3 3.1 2.0 2 DAX 16.1 14.9 17.4 0.0 0 DOW -2.2 -3.2 -1.3 -4.0 -4 DX -1.2 -1.4 -0.9 NaN 0 EUR 0.5 0.3 0.6 0.0 0 EURIBOR-ICE 7.7 6.7 8.7 2.0 2 EUROSTX 4.1 3.7 4.5 3.0 3 FEEDCOW -1.3 -1.4 -1.2 -1.0 -1 GASOIL 0.8 0.7 0.9 0.0 0 GASOLINE 0.3 0.2 0.4 0.0 0 GAS_US_mini -25.3 -27.2 -23.4 -14.0 -14 GBP 1.4 1.2 1.7 0.0 0 GOLD_micro -2.8 -3.9 -1.7 -7.0 -7 HEATOIL -0.0 -0.1 0.1 0.0 0 JGB-SGX-mini 20.4 18.1 22.7 6.0 6 JPY -1.6 -1.8 -1.4 0.0 0 LEANHOG 0.1 -0.4 0.6 -2.0 -2 LIVECOW -2.7 -2.9 -2.5 -3.0 -3 LUMBER-new -2.7 -3.1 -2.2 NaN 0 MILK -4.8 -5.0 -4.5 NaN 0 MXP 29.4 26.4 32.4 37.0 37 NASDAQ_micro 0.1 -0.3 0.5 -1.0 -1 NIKKEI 19.0 16.6 21.3 32.0 32 NZD 1.0 0.8 1.3 1.0 1 OAT 1.5 1.2 1.7 2.0 2 OATIES -4.6 -4.9 -4.3 NaN 0 OJ 1.9 1.8 2.0 NaN 0 PALLAD -0.5 -0.6 -0.5 -2.0 -2 PLAT 0.6 0.4 0.8 0.0 0 REDWHEAT -2.2 -2.3 -2.1 -3.0 -3 RICE 2.0 1.7 2.4 NaN 0 ROBUSTA 1.4 1.2 1.5 2.0 2 RUSSELL -10.2 -11.5 -8.9 -1.0 -1 SHATZ -3.6 -4.1 -3.1 NaN 0 SILVER-mini 0.7 0.5 0.9 NaN 0 SMI -0.1 -0.3 0.1 -1.0 -1 SOFR -1.3 -2.6 -0.0 NaN 0 SOYBEAN 0.1 -0.0 0.1 0.0 0 SOYMEAL -0.0 -0.1 0.0 0.0 0 SOYOIL -0.3 -0.4 -0.2 -2.0 -2 SP400 -0.5 -0.5 -0.4 0.0 0 SP500_micro -1.5 -2.1 -0.8 -1.0 -1 SUGAR11 1.7 1.4 1.9 0.0 0 US10 -0.3 -0.5 -0.2 NaN 0 US10U -0.1 -0.1 0.0 0.0 0 US2 -1.2 -1.4 -1.0 NaN 0 US20 0.0 -0.0 0.1 0.0 0 US30 0.0 -0.0 0.0 0.0 0 US5 -0.9 -1.1 -0.8 -1.0 -1 VIX -39.4 -41.4 -37.4 -17.0 -17 WHEAT -2.6 -2.7 -2.5 -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 0.5 -0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.1 -0.2 0.1 -0.3 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.1 -0.2 0.2 0.4 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.1 0.0 -0.0 -0.3 -0.6 -0.1 0.2 BITCOIN 0.0 0.6 0.3 0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 0.5 0.2 0.6 0.2 0.2 -0.2 -0.1 -0.2 -0.1 0.2 0.2 0.1 0.3 0.2 -2.7 0.1 0.0 0.1 0.0 0.1 0.1 -0.0 -0.5 0.5 0.6 0.6 -0.1 0.7 -0.0 0.7 BOBL 0.3 0.4 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.0 0.2 -0.0 0.1 0.0 0.0 -0.0 0.1 -0.2 0.1 1.2 0.0 0.1 -0.0 0.0 -0.1 0.0 -0.0 0.1 -0.1 0.1 0.2 -0.6 -0.7 -0.4 -0.6 BTP 0.6 0.6 -0.2 0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.0 0.1 0.0 0.1 0.1 0.1 0.2 0.1 0.1 0.1 0.0 0.2 -0.1 0.2 -1.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.8 0.1 0.3 0.4 0.3 -0.4 -0.7 0.1 0.2 BUND 0.6 0.4 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.0 0.1 -0.2 0.1 0.8 0.0 0.1 -0.0 0.0 -0.1 0.0 0.3 0.1 0.0 0.1 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 -0.1 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 -0.0 0.0 -0.1 0.0 0.2 0.1 0.2 0.2 0.0 -0.6 -0.7 -0.5 0.4 CAC 0.6 0.1 -0.5 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 -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 -0.9 0.0 0.0 -0.0 0.1 0.0 0.1 0.2 -0.1 -0.4 -0.3 0.2 0.2 0.2 0.4 0.3 CAD 0.4 -0.0 -0.3 0.0 0.1 0.0 0.1 0.0 0.1 0.2 -0.4 0.2 -0.5 0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 0.2 -0.3 0.1 0.4 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.0 -0.2 -0.4 -0.6 -0.5 -0.6 -0.7 -0.2 -0.6 CANOLA 0.5 -0.3 -0.6 -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 -0.2 -0.1 -0.4 -0.4 -0.4 -0.2 0.1 0.2 CHF 0.6 0.4 -0.5 0.0 0.1 0.0 0.1 0.0 0.1 0.2 -0.2 0.2 0.2 0.2 0.0 -0.3 -0.3 -0.3 -0.3 0.1 -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 0.0 0.4 -0.4 -0.7 -0.7 -0.7 -0.7 COCOA 0.4 0.6 0.2 -0.0 0.0 -0.1 0.0 -0.3 0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.1 -0.0 0.0 -0.0 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 -0.1 0.5 0.6 0.6 0.6 0.4 -0.1 0.7 0.4 COFFEE 0.2 0.6 0.4 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.1 -0.2 0.1 -0.4 0.2 0.1 0.3 0.1 0.1 0.1 0.1 0.0 0.1 -0.2 0.1 -2.7 0.1 0.0 0.1 0.0 -0.0 0.1 0.4 0.0 0.4 0.6 0.5 -0.7 -0.7 -0.7 -0.4 COPPER 0.6 0.4 -0.1 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 -0.3 0.2 -0.2 0.2 0.0 -0.2 -0.1 -0.2 -0.1 0.1 -0.1 0.2 -0.2 0.2 -0.9 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 0.0 0.5 0.1 -0.0 -0.1 -0.6 0.2 -0.5 CORN -0.0 0.1 -0.4 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.1 -0.5 -0.2 -0.7 -0.1 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.5 -0.1 -2.7 -0.0 -0.0 -0.1 -0.1 -0.3 -0.0 -0.1 -0.1 -0.4 -0.0 -0.0 -0.3 -0.2 0.1 0.1 COTTON2 -0.2 -0.6 -0.2 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.1 -0.1 -0.0 -0.4 -0.1 -0.1 -0.2 0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.2 -0.6 -0.6 -0.2 -0.6 -0.4 -0.0 0.1 CRUDE_W -0.3 -0.3 0.2 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 0.3 -0.0 0.3 -0.1 -0.0 0.1 0.2 0.2 0.2 -0.0 0.1 -0.0 0.3 -0.1 -0.7 -0.0 0.0 0.1 0.0 0.3 -0.0 -1.1 0.3 0.2 0.3 0.2 0.7 0.4 0.7 0.4 DAX 0.6 0.3 -0.5 0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 -0.1 0.2 0.4 0.2 0.1 -0.2 -0.2 -0.2 -0.2 0.1 -0.0 0.2 0.0 0.2 2.4 0.0 0.1 -0.0 0.1 -0.0 0.1 -0.3 0.5 0.5 0.2 0.1 0.2 0.1 0.5 0.4 DOW 0.6 0.4 -0.3 0.0 0.0 -0.0 0.0 -0.0 0.1 0.1 0.1 0.2 0.3 0.2 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.0 0.2 0.0 0.2 -1.4 0.0 0.0 0.0 0.1 0.0 0.1 -0.4 0.1 0.2 0.2 0.1 -0.6 -0.2 -0.7 -0.2 DX -0.6 -0.6 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 -0.2 0.1 -0.2 -2.7 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.8 -0.5 -0.6 -0.6 0.6 0.3 0.2 0.5 0.6 EUR 0.6 0.6 -0.3 0.0 0.0 0.0 0.1 0.0 0.1 0.1 -0.1 0.2 0.2 0.2 0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.1 -0.1 0.2 1.4 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.4 -0.1 0.2 0.3 -0.1 -0.5 -0.5 -0.4 -0.2 EURIBOR-ICE 0.3 0.6 0.5 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.0 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 2.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.5 0.1 0.0 0.3 0.4 -0.7 -0.7 0.1 0.7 EUROSTX 0.6 0.3 -0.4 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 -0.0 0.2 0.5 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 0.2 0.2 0.6 0.0 0.0 0.0 0.1 0.0 0.1 0.2 0.0 -0.0 0.2 0.3 0.1 0.2 0.3 0.5 FEEDCOW -0.3 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.1 0.1 -0.1 -0.1 -0.2 -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 0.0 -0.0 -1.1 -0.1 -0.6 -0.6 -0.3 0.5 0.0 0.7 0.3 GASOIL -0.4 -0.6 0.2 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 -0.0 0.3 -0.1 -0.1 0.2 0.4 0.4 0.4 -0.0 0.1 0.0 0.4 -0.1 1.1 -0.0 0.0 0.1 0.0 0.2 -0.0 0.0 0.2 0.1 0.0 0.3 -0.2 -0.0 -0.4 -0.2 GASOLINE -0.0 -0.4 -0.4 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 0.1 0.2 -0.1 -0.1 -0.1 0.4 0.2 0.4 -0.1 -0.0 0.0 0.2 -0.0 -2.7 -0.0 0.1 0.0 0.0 0.2 -0.0 0.5 0.4 0.5 0.3 -0.4 0.7 0.4 0.7 0.3 GAS_US_mini -0.6 -0.3 0.4 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.4 -0.2 -0.6 -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 -0.1 -0.1 -0.1 -0.1 -1.1 -0.5 -0.6 0.2 -0.5 -0.5 0.2 -0.7 0.1 GBP 0.6 0.4 -0.4 0.0 0.0 0.0 0.1 0.0 0.1 0.1 -0.1 0.2 0.2 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.2 -0.0 0.2 0.1 0.0 0.1 -0.0 0.1 -0.0 0.1 0.2 0.1 0.2 0.2 -0.2 -0.3 0.1 -0.2 0.7 GOLD_micro 0.2 0.6 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 -0.0 0.2 0.2 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.0 0.2 0.0 0.2 -1.0 0.0 0.1 0.0 0.1 0.0 0.1 -0.9 0.5 0.0 0.6 0.2 -0.4 -0.7 -0.4 -0.7 HEATOIL -0.4 -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 0.2 0.3 0.1 0.1 0.0 0.4 -0.1 0.2 -0.2 JGB-SGX-mini 0.6 0.3 -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 0.3 0.4 0.3 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 0.2 0.3 -0.0 0.0 0.1 -0.7 0.5 0.6 JPY 0.4 0.5 -0.2 0.0 0.0 0.0 0.1 0.0 0.0 0.1 -0.3 0.1 -0.4 0.0 -0.1 -0.3 -0.3 -0.4 -0.4 -0.1 -0.2 0.1 -0.5 0.0 2.7 -0.0 0.1 -0.2 0.0 -0.3 0.0 -1.1 0.1 -0.5 -0.5 -0.5 -0.2 -0.7 0.0 -0.7 LEANHOG -0.2 -0.2 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.1 -0.4 0.3 0.1 0.4 -0.1 -0.1 -0.1 -0.3 -0.1 1.7 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 1.1 -0.3 -0.3 -0.2 -0.2 -0.4 -0.2 0.2 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 -0.2 -0.2 -0.2 -0.1 -0.1 0.1 -0.2 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -0.4 -0.0 -0.6 -0.6 -0.3 -0.1 -0.5 0.1 -0.2 LUMBER-new 0.7 0.5 -0.1 -0.0 0.0 -0.2 0.0 -0.3 0.0 -0.2 -0.4 0.2 -0.7 0.3 0.1 -0.3 -0.3 -0.3 -0.3 0.2 -0.1 0.1 -0.4 0.3 NaN 0.1 -0.1 -0.0 0.0 -0.1 0.1 -1.2 0.1 0.8 0.7 0.3 -0.6 -0.8 -0.3 -0.7 MILK -0.4 -0.2 -0.2 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.1 -0.3 -0.2 -0.5 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.2 -0.5 -0.2 0.8 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -1.1 -0.5 -0.6 -0.5 -0.2 -0.7 -0.7 -0.7 -0.7 MXP 0.6 0.3 -0.5 0.0 0.0 0.0 0.1 0.0 0.1 -0.0 0.3 0.1 0.5 0.2 0.1 0.3 0.3 0.3 0.3 0.1 0.1 0.1 0.4 0.2 -2.7 0.0 -0.0 0.1 0.0 0.2 0.1 1.1 -0.3 0.0 0.0 0.2 0.3 0.4 0.6 0.7 NASDAQ_micro 0.6 0.2 -0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 0.2 0.1 0.4 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.1 0.2 0.3 0.2 -2.7 0.0 0.0 0.1 0.0 0.1 0.1 -0.3 0.1 0.3 0.3 0.3 0.2 -0.3 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 0.1 0.5 0.2 0.1 0.1 0.2 0.1 0.2 0.2 0.1 0.1 0.4 0.2 -1.5 0.0 -0.0 0.1 0.0 0.2 0.1 1.1 -0.3 -0.4 0.1 0.6 -0.2 0.0 -0.2 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 0.1 -0.0 0.1 -0.1 0.1 0.1 0.0 0.1 -0.0 0.1 -0.1 0.1 0.2 0.0 0.1 -0.0 0.0 -0.1 -0.5 0.1 0.2 OAT 0.6 0.5 0.0 0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.0 0.1 0.1 0.1 0.1 0.1 -0.0 0.1 -0.2 0.1 1.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.7 0.1 0.1 0.2 0.2 -0.7 -0.7 -0.3 0.3 OATIES 0.0 -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 -0.3 -0.2 -0.4 -0.3 -0.1 -0.1 -0.1 -0.0 -0.1 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.0 -0.6 -0.6 -0.4 0.2 0.4 0.7 0.7 OJ 0.5 -0.5 0.6 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.0 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 0.0 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 -0.0 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 0.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.3 -0.6 -0.6 -0.4 -0.1 -0.3 0.3 -0.1 PLAT 0.2 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 -0.0 0.1 -0.1 0.1 1.6 0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 0.0 -0.2 -0.1 0.1 -0.1 -0.5 0.3 -0.3 REDWHEAT 0.1 -0.2 -0.6 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.1 -0.5 -0.1 -0.7 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.1 -0.5 -0.2 -2.2 -0.1 0.0 -0.2 -0.0 -0.2 -0.1 -0.1 -0.2 -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 0.1 0.4 0.2 0.4 0.2 0.2 -0.3 0.1 -0.3 -0.1 0.2 0.2 0.2 0.2 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 0.2 0.5 0.6 0.6 0.6 -0.0 -0.6 0.5 -0.2 ROBUSTA 0.5 0.2 -0.2 -0.0 0.0 -0.1 0.0 -0.2 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 0.4 0.2 -2.5 0.0 0.0 0.1 0.0 0.2 0.1 1.1 0.2 0.6 0.6 0.4 -0.3 -0.4 0.3 0.0 RUSSELL 0.6 0.2 -0.5 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 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 -0.2 -0.1 -0.2 -0.3 -0.5 -0.5 -0.7 -0.7 SHATZ 0.1 0.3 0.2 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 -0.0 0.1 -0.3 0.0 1.3 -0.0 0.1 -0.1 0.0 -0.2 0.0 -1.1 0.1 -0.4 -0.1 0.1 -0.4 -0.7 -0.2 -0.7 SILVER-mini 0.6 0.4 -0.2 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 -0.1 0.2 0.1 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.0 0.2 1.0 0.0 0.1 0.0 0.1 0.0 0.1 -0.1 0.1 0.3 0.2 0.2 -0.6 -0.7 -0.1 -0.7 SMI 0.6 -0.2 -0.4 0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.2 0.1 -0.0 0.0 -0.0 0.1 0.1 0.1 0.1 -0.0 -0.1 0.1 -0.2 0.1 1.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.8 -0.0 -0.6 -0.6 0.0 -0.2 -0.3 -0.1 -0.2 SOFR 0.6 0.5 -0.1 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 0.2 0.1 0.0 0.1 -0.7 -0.7 -0.2 -0.3 SOYBEAN 0.1 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 0.0 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 1.1 0.1 0.6 0.5 0.4 -0.7 -0.5 -0.7 -0.3 SOYMEAL 0.1 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 0.4 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 -0.3 0.3 0.6 0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 -0.5 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.1 -0.0 -0.1 0.1 0.2 0.1 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 0.4 0.3 -0.4 -0.3 -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 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.1 0.1 -1.2 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 -0.1 -0.2 -0.2 -0.4 -0.4 -0.5 -0.7 SP500_micro 0.6 0.3 -0.3 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 0.1 0.2 0.3 0.2 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.2 0.2 0.2 -2.5 0.0 0.0 0.0 0.1 0.1 0.1 -0.4 0.0 0.4 0.3 0.1 0.0 -0.3 0.1 -0.4 SUGAR11 -0.3 -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 0.7 0.0 1.1 0.1 -0.2 0.3 0.6 -0.4 -0.5 0.4 0.1 US10 0.6 0.5 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.1 -0.2 0.1 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.6 0.1 0.1 -0.0 -0.0 -0.7 -0.7 -0.1 0.1 US10U 0.6 0.4 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 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 0.1 0.2 -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 0.1 -0.2 0.1 -0.3 0.1 -0.0 -0.4 -0.4 -0.4 -0.4 0.0 -0.1 0.1 -0.3 0.1 1.0 0.0 0.1 -0.0 0.1 -0.1 0.0 -1.1 0.1 -0.0 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 0.1 -0.1 0.1 -0.2 0.1 -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 0.1 0.2 -0.1 -0.1 -0.4 -0.7 0.4 0.7 US30 0.6 0.4 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.3 0.1 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.3 0.1 0.1 -0.1 -0.1 -0.2 -0.7 0.7 0.7 US5 0.6 0.6 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.2 0.1 -0.0 -0.2 -0.2 -0.2 -0.2 0.0 -0.0 0.1 -0.2 0.1 0.4 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.9 0.1 0.1 0.0 0.0 -0.7 -0.7 -0.5 -0.5 VIX -1.0 -0.4 0.6 -0.1 -0.0 -0.2 -0.1 -0.3 -0.1 -0.2 -0.6 -0.3 -0.9 -0.3 -0.2 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.2 -0.9 -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 -0.1 -0.7 -0.1 -0.2 -0.3 -0.2 -0.3 -0.2 -0.2 -0.2 -0.1 -0.5 -0.2 -0.6 -0.1 0.0 -0.2 -0.0 -0.3 -0.1 -1.0 -0.1 -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 17.7 13.9 -0.4 2.3 4.8 0.6 5.9 0.6 5.1 10.3 -7.7 13.3 -9.6 12.8 3.5 -2.7 -3.0 -3.0 -3.0 5.9 -3.0 15.9 -7.7 14.0 3.3 2.6 4.9 -0.9 6.6 -2.5 5.9 -1.1 0.2 -1.7 1.1 -1.1 -10.0 -17.6 -2.5 5.8 BITCOIN 1.3 20.0 10.2 2.9 6.6 -0.3 8.4 -0.4 7.2 16.3 19.8 19.9 16.4 20.0 20.0 -10.4 -5.7 -8.6 -7.3 20.0 20.0 15.5 12.1 20.0 -20.0 7.9 1.7 5.4 3.4 2.8 6.7 -0.8 -20.0 15.3 20.0 20.0 -4.5 20.0 -0.6 20.0 BOBL 10.5 12.7 6.8 0.3 3.5 -1.6 2.7 -2.6 2.1 7.4 -3.4 6.2 -7.2 7.2 3.7 11.6 -1.6 6.5 0.5 3.0 -1.5 8.9 -6.9 6.2 8.7 1.5 7.3 -0.5 4.5 -2.4 3.1 -0.0 3.6 -4.4 3.2 6.4 -17.3 -20.0 -12.2 -18.3 BTP 20.0 17.2 -4.9 0.5 5.5 -2.5 4.1 -4.1 3.3 12.0 -0.2 13.0 1.0 13.0 6.0 7.3 7.6 7.1 6.9 9.2 0.5 17.0 -4.3 17.0 -7.9 2.7 5.3 0.3 5.0 -0.8 4.9 14.6 5.5 10.0 11.1 7.9 -13.4 -20.0 1.6 6.5 BUND 17.3 13.3 2.2 0.4 3.8 -1.8 2.9 -2.8 2.3 8.3 -3.6 8.4 -7.9 8.5 2.8 -3.9 3.9 -2.2 0.4 3.6 -2.3 10.3 -8.1 8.2 6.0 1.6 6.1 -0.6 4.4 -2.3 3.5 6.1 3.5 0.7 4.6 5.4 -20.0 -20.0 -20.0 -5.0 BUXL 20.0 13.5 -1.7 0.4 4.3 -2.0 3.2 -3.2 2.6 9.4 -5.2 10.1 -9.4 9.8 0.3 0.1 0.7 0.4 0.7 2.9 -5.6 11.5 -12.5 10.0 1.4 1.1 4.5 -1.6 4.1 -3.1 3.6 3.6 2.9 6.3 4.7 1.2 -18.9 -20.0 -13.7 13.5 CAC 20.0 2.7 -15.8 2.3 2.6 -0.8 5.9 -0.5 6.4 12.7 -3.5 20.0 14.7 19.3 1.0 -7.0 -3.3 -6.3 -5.3 5.6 -3.3 18.5 4.3 19.5 -6.6 2.2 2.8 -1.0 6.6 0.8 7.0 2.9 -2.4 -12.5 -7.9 4.8 6.6 4.9 13.3 10.3 CAD 12.6 -1.3 -7.9 3.5 7.1 0.9 8.8 0.8 7.6 17.3 -13.7 18.6 -15.0 8.3 -8.3 -2.5 -2.3 -2.5 -2.4 -4.4 -10.4 17.3 -11.0 8.1 2.8 -2.3 9.2 -5.3 9.1 -5.1 4.3 0.0 -7.9 -12.5 -20.0 -16.3 -17.3 -20.0 -7.2 -16.6 CANOLA 16.2 -8.3 -18.1 -0.7 1.3 -2.3 0.9 -3.1 0.9 -4.1 -2.7 2.0 -3.8 -0.5 -7.2 -8.7 2.2 -9.9 -5.0 -6.9 -7.6 -1.4 -6.1 -2.7 -20.0 -2.9 -0.6 -3.1 -0.9 -2.8 -1.6 -0.0 -8.0 -2.5 -11.4 -13.5 -12.8 -7.1 1.5 5.0 CHF 20.0 12.6 -15.3 3.3 6.7 0.9 8.3 0.8 7.1 18.1 -6.6 19.9 5.6 19.1 0.7 -15.9 -15.0 -16.4 -15.8 7.0 -1.9 20.0 -0.3 20.0 -8.6 2.2 9.7 -0.9 9.3 -0.4 7.2 -20.0 6.1 0.2 12.0 -12.5 -20.0 -20.0 -20.0 -20.0 COCOA 13.2 20.0 7.0 -1.7 3.2 -5.5 2.2 -7.4 2.1 20.0 20.0 20.0 20.0 20.0 20.0 7.0 -1.7 0.3 -1.2 20.0 20.0 20.0 20.0 20.0 -20.0 9.0 8.5 8.3 9.5 8.3 9.9 -1.0 20.0 20.0 20.0 20.0 12.3 -2.6 20.0 12.1 COFFEE 5.8 20.0 13.4 -1.3 2.4 -4.3 1.7 -5.8 1.6 12.0 -6.5 9.6 -11.2 14.2 13.3 13.7 3.1 6.3 3.8 12.2 3.2 7.9 -5.9 12.1 -20.0 5.1 3.3 2.3 3.6 -0.1 5.2 7.3 1.0 13.9 20.0 15.3 -20.0 -20.0 -20.0 -12.3 COPPER 18.5 11.5 -4.3 2.5 5.6 -0.3 7.1 -0.3 6.1 16.0 -11.9 18.5 -5.9 16.8 0.8 -8.3 -4.6 -7.8 -6.4 6.6 -4.8 19.9 -8.9 18.7 -6.8 3.3 4.3 -1.1 8.1 -2.7 8.0 0.8 0.2 15.8 1.8 -0.2 -3.1 -17.5 5.0 -15.6 CORN -0.7 4.3 -12.5 -1.5 2.8 -4.9 1.9 -6.6 1.8 -12.7 -20.0 -14.0 -20.0 -13.5 -14.7 -7.4 0.1 -6.6 -4.7 -8.5 -17.2 -10.5 -20.0 -7.5 -20.0 -3.0 -3.0 -5.4 -5.0 -9.2 -3.6 -2.3 -5.0 -11.5 -1.3 -0.4 -7.8 -5.0 3.1 3.6 COTTON2 -5.9 -20.0 -6.9 -1.2 2.3 -4.1 1.6 -5.5 1.5 -11.1 -5.3 -3.9 -9.8 -11.8 -12.0 -7.6 1.0 -6.1 -3.0 -18.0 -10.3 -10.5 -5.5 -16.6 -20.0 -5.3 -2.1 -2.6 -3.7 -0.4 -5.4 0.0 -7.8 -20.0 -20.0 -5.4 -17.1 -12.8 -1.1 4.0 CRUDE_W -10.7 -10.1 7.0 -2.7 1.8 1.1 -1.1 3.2 -3.7 12.6 9.5 -0.5 7.9 -7.1 -1.1 7.2 10.8 10.5 11.0 -0.9 8.2 -0.2 11.2 -5.2 -5.0 -0.2 5.2 4.7 1.7 7.2 -1.8 -20.0 12.1 7.4 9.3 7.6 20.0 11.2 20.0 11.6 DAX 20.0 8.8 -15.7 2.2 2.4 -0.8 5.5 -0.5 5.9 17.2 -4.8 20.0 11.6 19.1 5.3 -10.1 -8.4 -9.9 -9.4 12.1 -2.4 20.0 0.5 20.0 18.3 3.1 6.5 -0.7 8.3 -0.4 7.9 -5.1 20.0 14.1 5.7 3.1 5.7 3.7 13.5 12.8 DOW 20.0 12.4 -9.6 1.7 1.9 -0.6 4.3 -0.4 4.6 14.8 2.0 16.6 8.5 15.8 6.2 -10.1 -9.1 -10.5 -10.3 12.8 2.2 20.0 1.0 20.0 -10.3 2.6 3.4 0.3 6.2 0.7 6.2 -6.6 4.4 6.6 6.3 1.9 -17.6 -5.9 -20.0 -7.4 DX -20.0 -19.9 10.8 2.3 4.6 0.6 5.7 0.5 4.9 -12.1 7.3 -13.3 -3.0 -12.4 0.1 6.5 6.0 6.9 6.6 -6.2 3.1 -18.8 5.4 -16.4 -20.0 -2.0 -5.0 1.1 -5.9 2.1 -5.3 14.9 -20.0 -20.0 -20.0 19.7 10.2 6.5 13.9 18.0 EUR 20.0 17.6 -9.0 2.4 5.0 0.6 6.1 0.6 5.3 11.7 -5.2 14.1 4.2 14.0 3.6 -5.8 -6.7 -6.2 -6.4 8.3 -0.5 16.3 -3.0 16.9 10.6 2.8 3.5 -0.2 5.4 -1.0 5.7 -7.2 -2.5 5.5 9.4 -4.4 -14.9 -15.1 -13.3 -5.5 EURIBOR-ICE 8.7 20.0 15.6 0.3 3.3 -1.5 2.5 -2.5 2.0 7.0 1.5 6.6 -4.9 7.6 7.2 -4.1 -6.9 -5.2 -6.5 8.2 3.5 10.0 -3.6 9.6 16.7 2.4 4.3 1.1 3.0 -0.7 2.9 -9.7 4.0 0.1 10.5 13.8 -20.0 -20.0 3.9 20.0 EUROSTX 20.0 9.2 -11.3 2.2 2.5 -0.8 5.6 -0.5 6.1 15.3 -1.8 20.0 14.1 20.0 5.6 -6.1 -2.9 -5.7 -4.9 12.8 1.7 20.0 5.8 20.0 4.2 4.1 3.4 0.6 6.8 1.1 7.9 3.5 2.1 -1.2 6.5 10.4 2.9 6.1 7.8 14.8 FEEDCOW -9.6 -20.0 -20.0 -0.7 1.4 -2.4 1.0 -3.3 0.9 -1.0 -4.3 -6.6 3.5 -8.9 -9.3 -12.1 -20.0 -12.7 -19.6 -16.7 -7.5 -14.1 1.9 -18.3 -1.5 -3.1 0.3 -1.0 -1.4 1.4 -3.0 -20.0 -3.5 -20.0 -20.0 -10.0 14.1 0.3 20.0 8.5 GASOIL -12.6 -17.6 5.4 -2.4 1.6 1.0 -1.0 2.8 -3.2 11.8 8.9 -0.4 7.6 -9.3 -5.9 12.1 20.0 20.0 20.0 -4.0 7.1 1.2 13.0 -6.4 8.6 -1.1 2.7 3.4 0.6 5.3 -2.2 0.0 7.7 3.2 1.4 8.4 -7.3 -0.8 -12.4 -6.2 GASOLINE -1.3 -12.7 -13.8 -2.6 1.7 1.1 -1.0 3.0 -3.5 13.6 4.2 7.0 5.4 -5.4 -10.4 -3.4 20.0 12.3 20.0 -6.5 -0.2 3.6 7.7 -4.1 -20.0 -2.7 6.7 0.3 4.2 4.9 -0.5 9.0 18.2 14.9 8.1 -13.8 20.0 11.0 20.0 7.5 GAS_US_mini -20.0 -8.1 12.4 -2.5 1.6 1.0 -1.0 2.9 -3.4 -14.6 -14.5 -16.5 -17.6 -16.6 -15.6 -20.0 -20.0 -20.0 -20.0 -18.9 -15.0 -20.0 -20.0 -20.0 20.0 -4.8 -5.7 -2.3 -8.3 -1.8 -7.9 -20.0 -20.0 -20.0 5.5 -16.5 -13.7 6.5 -19.9 2.4 GBP 20.0 11.6 -13.4 2.4 4.9 0.6 6.0 0.6 5.2 13.2 -5.4 14.3 6.1 13.2 1.1 -0.7 -0.8 -0.6 -0.6 6.2 -0.7 19.8 -1.0 16.2 0.8 2.2 6.0 -0.4 6.9 -0.8 5.8 2.9 5.6 5.8 6.2 -6.0 -9.8 3.4 -5.6 20.0 GOLD_micro 5.4 20.0 -0.8 2.2 5.1 -0.2 6.5 -0.3 5.5 17.2 -0.8 17.0 4.2 16.7 13.9 -15.2 -14.8 -16.2 -16.1 14.0 4.4 20.0 0.9 20.0 -7.3 3.8 8.6 1.3 8.5 0.7 6.4 -16.5 20.0 0.4 20.0 6.5 -12.6 -20.0 -11.9 -20.0 HEATOIL -10.8 -17.6 1.7 -2.4 1.6 1.0 -1.0 2.8 -3.2 4.4 7.3 -2.7 6.1 -7.9 -6.4 17.9 20.0 20.0 20.0 -4.4 4.9 -0.6 10.2 -6.6 -18.8 -1.6 2.9 2.7 1.3 5.8 -1.9 3.1 11.4 4.1 2.4 1.4 10.8 -1.6 5.8 -7.0 JGB-SGX-mini 20.0 9.4 -12.1 0.3 3.2 -1.5 2.4 -2.4 1.9 5.2 -2.6 6.3 1.6 5.9 2.0 16.5 19.4 16.7 16.8 2.2 -1.5 10.0 -1.1 7.6 -2.0 0.4 4.4 -1.0 3.5 -1.0 2.6 20.0 8.9 8.3 -1.5 0.9 4.1 -20.0 15.8 17.5 JPY 13.0 15.0 -6.0 2.0 4.1 0.5 5.1 0.5 4.4 10.6 -12.2 9.2 -12.4 3.3 -8.9 -17.4 -16.1 -18.3 -17.6 -6.4 -14.8 8.9 -19.6 2.4 20.0 -3.2 5.8 -6.3 4.0 -7.7 0.8 -20.0 5.0 -17.0 -15.4 -16.3 -5.1 -20.0 1.2 -20.0 LEANHOG -6.1 -4.9 1.9 -0.8 1.6 -2.8 1.1 -3.8 1.0 -4.4 -1.0 -7.2 -6.4 -6.3 -6.7 -19.6 16.3 3.5 18.5 -8.0 -7.3 -16.0 -9.5 -12.2 12.5 -2.7 -1.1 -4.1 -4.7 -6.7 -3.7 20.0 -13.4 -10.4 -7.2 -5.0 -11.3 -5.0 7.2 14.6 LIVECOW -18.4 -20.0 -20.0 -0.8 1.5 -2.7 1.1 -3.6 1.0 -0.2 -1.6 -8.1 5.5 -10.0 -9.6 -6.5 -5.0 -11.9 -8.5 -15.2 -5.6 -12.9 3.3 -17.8 0.0 -3.3 1.1 -0.7 -1.1 2.0 -3.3 -8.0 -0.5 -20.0 -20.0 -8.5 -1.8 -14.3 3.1 -6.5 LUMBER-new 18.8 14.1 -2.3 -1.8 3.4 -5.7 2.3 -6.6 2.2 -14.7 -13.1 17.3 -20.0 20.0 9.9 -12.9 -14.6 -15.0 -14.9 12.0 -4.7 11.3 -13.4 20.0 NaN 4.6 -5.1 -0.6 1.3 -3.0 6.8 -20.0 3.4 20.0 19.3 9.2 -15.1 -20.0 -8.8 -17.4 MILK -12.3 -5.1 -7.2 -1.1 2.1 -3.7 1.4 -5.0 1.4 -14.8 -11.3 -16.4 -13.6 -16.2 -13.9 -20.0 -20.0 -20.0 -20.0 -19.2 -18.1 -20.0 -20.0 -20.0 6.3 -5.4 -5.9 -5.4 -8.5 -7.2 -7.4 -20.0 -20.0 -20.0 -16.7 -4.9 -20.0 -20.0 -20.0 -20.0 MXP 20.0 7.8 -16.6 2.7 5.5 0.7 6.9 0.7 5.9 -3.3 9.6 13.7 13.8 14.6 7.6 13.3 16.1 13.8 14.8 11.3 8.1 12.1 14.8 17.3 -20.0 3.5 -0.3 2.6 3.7 5.0 5.4 20.0 -11.9 1.3 1.1 4.9 9.0 13.3 17.8 20.0 NASDAQ_micro 20.0 7.4 -3.9 1.4 1.6 -0.5 3.5 -0.3 3.8 8.1 8.9 12.8 9.9 12.9 8.3 -9.9 -8.9 -9.9 -9.7 14.2 10.1 16.8 11.9 20.0 -20.0 3.2 2.0 2.4 4.6 3.6 5.2 -5.8 2.2 10.4 10.0 9.1 6.7 -10.1 6.9 -12.7 NIKKEI 20.0 7.6 -6.5 1.9 2.1 -0.7 4.8 -0.4 5.2 -7.2 14.9 12.6 15.0 15.7 13.1 6.3 9.7 6.3 8.1 14.9 12.9 9.8 16.6 18.3 -11.2 4.3 -1.4 4.2 2.9 6.1 5.5 20.0 -12.2 -11.9 4.1 17.6 -7.4 1.1 -4.6 7.7 NZD 19.2 9.3 0.1 2.0 4.0 0.5 5.0 0.5 4.3 10.9 -6.2 11.9 -2.0 10.5 3.0 0.2 0.2 0.0 0.1 4.9 -1.7 15.4 -5.0 12.0 1.0 2.3 6.0 -0.3 6.3 -1.5 5.1 4.3 1.7 3.2 -1.0 0.4 -2.4 -13.9 2.1 7.3 OAT 20.0 14.6 1.2 0.4 4.1 -1.9 3.1 -3.0 2.5 8.9 -2.9 9.4 -7.9 9.3 3.4 5.2 7.4 5.6 6.2 4.9 -1.8 11.6 -7.7 10.1 8.3 1.9 5.3 -0.3 4.3 -2.0 3.8 14.0 3.0 3.7 6.0 6.5 -20.0 -20.0 -8.2 9.5 OATIES 0.7 -20.0 -20.0 -0.6 1.2 -2.2 0.8 -2.9 0.8 -5.6 -4.0 -3.7 -3.3 -6.7 -8.4 -16.3 -10.0 -17.8 -16.0 -13.6 -8.4 -5.6 -1.8 -10.1 -20.0 -2.9 -1.2 -1.7 -1.4 -0.4 -2.4 -20.0 -1.8 -20.0 -20.0 -11.3 6.2 11.0 20.0 20.0 OJ 15.7 -14.4 17.1 -1.4 2.6 -4.5 1.8 -6.1 1.7 -0.2 19.6 14.7 20.0 15.6 18.1 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.6 2.4 8.7 5.3 9.7 6.7 20.0 20.0 20.0 20.0 20.0 7.4 9.7 20.0 20.0 PALLAD -0.1 -5.2 -1.1 1.3 2.9 -0.1 3.7 -0.2 3.1 -5.8 -10.0 1.1 -11.1 -3.1 -6.8 -2.1 -2.6 -2.4 -2.6 -11.6 -15.1 -3.1 -20.0 -6.7 5.1 -3.6 -2.2 -3.4 -1.9 -3.2 -2.9 5.7 -11.7 -20.0 -20.0 -12.9 -2.9 -7.9 8.6 -2.2 PLAT 5.5 9.9 -2.6 1.4 3.1 -0.1 4.0 -0.2 3.4 8.0 -8.4 9.8 -5.4 7.9 -1.1 -3.2 -2.8 -3.5 -3.3 0.7 -3.8 9.2 -4.8 6.2 12.2 0.7 3.2 -0.7 4.2 -0.9 2.7 4.9 1.0 -6.9 -3.0 4.2 -3.3 -13.6 10.5 -8.9 REDWHEAT 3.5 -7.4 -20.0 -1.3 2.6 -4.5 1.8 -6.0 1.7 8.1 -20.0 -8.3 -20.0 -15.3 -19.5 -6.0 -1.2 -5.7 -3.7 -20.0 -20.0 -12.3 -20.0 -20.0 -16.9 -7.4 3.6 -7.1 -2.4 -5.2 -5.9 -2.2 -9.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -14.0 RICE 20.0 9.5 6.2 -1.5 2.9 -5.1 2.0 -6.9 1.9 9.9 15.6 19.5 10.2 19.4 14.8 -15.2 3.6 -14.6 -4.5 20.0 14.4 20.0 8.9 20.0 -20.0 5.8 1.5 3.3 5.5 1.8 8.0 3.8 20.0 20.0 20.0 20.0 -1.0 -17.0 15.5 -5.5 ROBUSTA 16.8 7.3 -7.4 -1.0 1.9 -3.3 1.3 -4.5 1.2 8.6 11.2 12.3 12.1 12.2 9.6 20.0 20.0 20.0 20.0 11.2 10.2 12.0 13.7 14.0 -18.5 4.1 2.3 3.7 4.0 4.7 4.9 20.0 7.6 18.2 17.3 12.4 -7.7 -12.7 8.1 0.7 RUSSELL 20.0 4.8 -14.5 1.1 1.2 -0.4 2.8 -0.2 3.0 6.9 -5.5 9.8 -5.4 8.7 -3.3 -5.8 -6.3 -6.7 -6.8 -0.7 -5.1 7.5 -5.0 6.6 -1.6 -0.3 1.0 -1.5 2.4 -1.0 2.2 -1.1 -6.5 -4.0 -7.7 -7.8 -15.4 -13.5 -20.0 -20.0 SHATZ 3.2 10.7 6.7 0.3 3.5 -1.6 2.6 -2.6 2.1 7.0 -6.5 3.7 -8.3 3.3 -1.4 -20.0 -16.7 -20.0 -20.0 -0.3 -4.4 6.7 -10.7 2.5 10.0 -0.1 9.6 -2.0 4.3 -4.6 1.6 -20.0 2.4 -12.5 -1.6 4.3 -11.6 -20.0 -5.3 -20.0 SILVER-mini 18.7 12.9 -6.0 2.1 4.8 -0.2 6.2 -0.3 5.3 16.4 -3.2 17.8 2.7 16.9 5.7 -7.0 -6.5 -7.3 -7.1 9.7 0.1 20.0 -1.5 20.0 7.7 3.4 8.2 1.0 10.0 0.7 7.6 -1.6 6.1 10.7 6.9 5.8 -18.0 -20.0 -2.2 -20.0 SMI 20.0 -6.5 -12.8 2.0 2.2 -0.7 4.9 -0.4 5.3 5.3 -8.8 12.9 -0.2 4.1 -4.3 5.2 2.5 4.0 2.6 -4.1 -10.5 10.6 -7.6 8.1 7.3 -1.0 0.7 -3.2 4.0 -3.0 3.2 14.3 -1.1 -20.0 -20.0 0.8 -7.0 -8.8 -1.7 -5.4 SOFR 20.0 16.2 -2.3 0.3 3.1 -1.4 2.3 -2.3 1.9 6.9 -4.0 7.5 -4.4 7.3 1.6 0.6 -0.6 -0.0 -0.5 2.6 -2.7 9.6 -5.0 8.0 -1.4 1.0 3.5 -1.0 4.1 -1.7 3.3 1.2 6.4 4.3 1.1 1.8 -20.0 -20.0 -6.0 -8.8 SOYBEAN 4.4 6.0 0.6 -1.3 2.5 -4.3 1.7 -5.8 1.6 -5.8 8.7 -2.8 6.0 8.3 -1.9 18.4 18.1 16.4 15.7 5.3 3.9 -1.5 2.1 4.1 -20.0 5.2 4.2 3.0 6.1 1.7 6.9 20.0 3.2 18.3 16.7 13.8 -20.0 -14.4 -20.0 -8.6 SOYMEAL 2.3 20.0 4.6 -0.8 1.5 -2.6 1.0 -3.5 1.0 -10.4 4.2 -2.9 3.8 6.5 7.2 20.0 18.2 17.7 17.2 9.4 6.4 -4.2 4.0 5.2 -20.0 3.3 -1.6 2.5 -0.3 2.1 2.3 20.0 -13.1 8.2 20.0 16.1 -20.0 -20.0 -20.0 -20.0 SOYOIL 19.4 -14.6 -19.5 -0.8 1.4 -2.5 1.0 -3.4 0.9 4.6 -2.1 5.6 -3.3 -2.4 -8.2 4.0 10.3 7.4 9.0 -8.1 -8.0 4.9 -4.2 -0.9 -20.0 -1.6 4.3 -2.1 4.5 -1.2 1.7 18.1 18.1 10.4 -11.3 -10.5 -7.4 2.1 7.9 15.2 SP400 20.0 3.8 -17.3 1.2 1.4 -0.4 3.1 -0.3 3.4 4.6 -4.5 10.7 -1.4 10.2 -2.0 -5.5 -5.2 -5.4 -5.4 0.9 -4.5 9.8 -3.5 9.6 -8.7 0.3 1.0 -1.2 3.1 -0.6 3.1 1.1 -5.9 -3.3 -5.5 -5.4 -10.7 -12.1 -16.1 -20.0 SP500_micro 20.0 8.2 -10.4 1.7 1.9 -0.6 4.2 -0.4 4.6 12.6 4.2 16.1 8.4 15.6 7.6 -10.5 -10.0 -10.9 -10.9 12.9 4.9 20.0 5.6 20.0 -18.7 2.8 2.0 1.2 5.2 2.0 5.8 -7.8 1.7 11.2 7.9 2.9 0.7 -9.5 2.9 -13.4 SUGAR11 -9.2 -2.5 4.9 -1.4 2.7 -4.6 1.8 -6.3 1.7 -16.4 18.7 -13.4 19.6 6.4 16.4 20.0 20.0 20.0 20.0 10.0 19.9 -5.5 20.0 0.5 -20.0 5.5 -3.5 11.0 -1.3 18.6 1.5 20.0 5.6 -7.2 10.4 20.0 -11.9 -16.5 10.6 4.4 US10 20.0 16.0 -0.1 0.3 3.0 -1.4 2.2 -2.2 1.8 6.5 -5.2 7.1 -6.2 6.6 -0.7 -6.6 -7.0 -6.7 -7.3 0.6 -5.2 7.7 -8.2 6.1 1.1 0.2 3.1 -1.8 3.6 -2.6 2.7 -10.5 4.0 3.8 -1.1 -1.2 -20.0 -20.0 -4.4 2.3 US10U 20.0 13.6 -3.4 0.4 3.8 -1.8 2.9 -2.9 2.3 8.5 -6.6 9.3 -8.0 8.5 -1.5 1.9 -0.3 0.7 -0.1 0.1 -7.5 9.9 -11.0 7.6 -1.9 0.0 3.8 -2.6 4.4 -3.4 3.2 1.7 5.3 4.8 -2.3 -3.3 -20.0 -20.0 3.3 14.8 US2 12.6 20.0 16.3 0.3 3.1 -1.4 2.3 -2.3 1.9 6.3 -6.8 5.9 -7.4 5.6 -0.5 -20.0 -20.0 -20.0 -20.0 0.3 -5.6 7.8 -11.0 4.7 7.7 1.0 5.9 -1.8 5.2 -4.1 3.5 -20.0 5.1 -1.3 0.8 4.0 -15.4 -20.0 -6.9 -20.0 US20 20.0 12.1 -5.9 0.3 2.9 -1.3 2.1 -2.1 1.7 6.3 -4.7 6.9 -5.7 6.2 -1.2 -0.6 -1.5 -1.0 -1.4 -0.1 -6.3 7.0 -8.8 5.9 -1.7 -0.1 2.3 -2.0 2.9 -2.6 2.1 -0.5 3.6 5.0 -1.9 -4.6 -11.5 -20.0 12.7 20.0 US30 20.0 11.0 -4.0 0.3 3.0 -1.4 2.3 -2.3 1.8 6.8 -5.2 7.4 -6.3 6.5 -1.6 -4.2 -4.1 -4.8 -4.8 -0.4 -6.5 7.7 -9.3 6.0 -1.3 -0.2 2.8 -2.3 3.3 -2.8 2.3 -5.5 4.1 4.0 -2.8 -4.0 -6.5 -20.0 19.7 20.0 US5 18.9 17.4 4.5 0.3 3.1 -1.4 2.3 -2.3 1.8 6.6 -5.6 7.1 -6.5 6.7 -0.3 -9.6 -10.4 -10.7 -11.3 1.1 -4.5 8.2 -8.2 6.1 3.1 0.7 4.0 -1.5 4.2 -2.7 3.1 -16.9 4.4 2.2 0.2 1.3 -20.0 -20.0 -15.2 -16.4 VIX -20.0 -7.2 11.5 -3.6 -0.7 -3.9 -3.0 -5.8 -4.2 -10.5 -14.6 -14.6 -15.1 -15.1 -12.7 -20.0 -20.0 -20.0 -20.0 -15.8 -15.3 -16.0 -20.0 -19.7 NaN -4.1 -1.3 -4.3 -4.4 -6.7 -5.6 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -1.3 2.0 -18.5 -1.4 2.7 -4.7 1.8 -6.3 1.7 9.1 -20.0 -10.6 -20.0 -11.9 -19.6 -13.8 -10.9 -12.9 -12.0 -17.9 -20.0 -11.0 -20.0 -15.0 -4.4 -6.9 4.2 -7.7 -3.4 -8.3 -6.4 -18.1 -3.9 -20.0 -10.3 -18.7 -20.0 -20.0 -20.0 -17.6 End of report for caleb_strategy_v3