******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231201_204357 produced at 2023-12-01 21:39:36.076028 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.09 -0.24 0.0 0.10 -0.10 -0.09 -0.10 -40.88 17.0 -16 -17 caleb_strategy_v3 LIVECOW False False 0.02 -0.02 -0.07 0.0 0.42 -0.42 -0.02 -0.07 -2.82 17.0 -1 -3 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.07 0.0 0.07 -0.07 -0.05 -0.05 -28.42 26.0 -18 -19 caleb_strategy_v3 US2 False True 0.07 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -0.88 13.0 0 0 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -0.76 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -1.78 24.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.06 0.0 0.11 -0.11 -0.05 -0.05 -6.74 12.0 -5 -5 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -4.90 5.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.21 -0.06 0.0 0.68 -0.68 -0.21 -0.10 -1.24 13.0 -4 -2 caleb_strategy_v3 CAD False False 0.03 0.00 -0.06 0.0 0.78 -0.78 0.00 0.00 -2.31 29.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.07 -0.05 0.0 0.16 -0.16 -0.07 -0.07 -3.55 11.0 -5 -5 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.05 0.0 0.32 -0.32 -0.04 0.00 -1.30 8.0 -1 0 caleb_strategy_v3 DX False False 0.04 0.00 -0.04 0.0 999.00 -999.00 0.00 0.00 -1.14 999999999.0 0 0 caleb_strategy_v3 SP400 False True 0.10 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -0.38 2.0 0 0 caleb_strategy_v3 JPY False False 0.03 0.00 -0.04 0.0 0.53 -0.53 0.00 -0.06 -1.29 17.0 0 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.04 0.0 0.19 -0.19 -0.02 -0.02 -11.82 51.0 -6 -6 caleb_strategy_v3 REDWHEAT False False 0.01 -0.04 -0.03 0.0 0.09 -0.09 -0.04 -0.04 -2.20 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 -3.59 2.0 0 0 caleb_strategy_v3 RUSSELL False True 0.00 -0.00 -0.03 0.0 0.00 -0.00 -0.00 0.00 -9.06 68.0 -1 0 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.03 0.0 0.98 -0.98 -0.04 -0.12 -0.79 25.0 -1 -3 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 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -4.49 3.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 -0.07 -0.02 0.0 0.07 -0.07 -0.07 -0.07 -0.63 2.0 -2 -2 caleb_strategy_v3 US10 False False 0.04 0.00 -0.01 0.0 0.69 -0.69 0.00 0.00 -0.28 17.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.05 -0.01 0.0 0.43 -0.43 -0.05 -0.08 -1.22 56.0 -7 -10 caleb_strategy_v3 HEATOIL False False 0.04 0.00 -0.01 0.0 0.12 -0.12 0.00 -0.04 -0.14 3.0 0 -1 caleb_strategy_v3 SP500_micro False True 0.01 -0.02 -0.01 0.0 0.00 -0.02 -0.02 0.00 -1.28 48.0 -2 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.04 7.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.00 0.0 0.13 -0.13 -0.01 -0.06 -0.16 9.0 -1 -4 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.00 0.0 0.11 -0.11 -0.02 -0.02 -0.26 10.0 -2 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.02 -0.00 0.0 0.27 -0.27 0.02 0.00 -0.13 23.0 2 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.00 0.0 0.18 -0.18 0.00 -0.01 -0.11 18.0 0 -1 caleb_strategy_v3 BUXL False False 0.05 0.00 0.00 0.0 0.21 -0.21 0.00 0.05 0.03 4.0 0 1 caleb_strategy_v3 US30 False False 0.05 0.14 0.00 0.0 0.27 -0.27 0.14 0.14 0.02 6.0 3 3 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.15 -0.15 0.00 0.03 0.01 6.0 0 1 caleb_strategy_v3 US10U False False 0.04 -0.13 -0.00 0.0 0.54 -0.54 -0.13 -0.13 -0.01 13.0 -3 -3 caleb_strategy_v3 US20 False False 0.04 0.00 0.00 0.0 0.39 -0.39 0.00 0.00 0.05 9.0 0 0 caleb_strategy_v3 DOW False True 0.01 -0.03 0.00 0.0 0.00 -0.03 -0.03 -0.01 0.23 66.0 -4 -1 caleb_strategy_v3 GASOLINE False False 0.03 0.03 0.00 0.0 0.13 -0.13 0.03 0.03 0.15 4.0 1 1 caleb_strategy_v3 EUR False False 0.05 0.05 0.00 0.0 0.69 -0.69 0.05 0.10 0.04 14.0 1 2 caleb_strategy_v3 LEANHOG False False 0.01 -0.01 0.00 0.0 0.13 -0.13 -0.01 0.00 0.20 13.0 -1 0 caleb_strategy_v3 SMI False True 0.05 -0.05 0.01 0.0 0.00 -0.05 -0.05 0.00 0.18 9.0 -1 0 caleb_strategy_v3 PLAT False False 0.02 0.02 0.01 0.0 0.17 -0.17 0.02 0.02 0.62 10.0 1 1 caleb_strategy_v3 BOBL False False 0.05 0.00 0.01 0.0 0.89 -0.89 0.00 0.00 0.21 19.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.01 0.0 0.53 -0.53 0.00 0.00 0.11 10.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.0 0.21 -0.21 0.02 0.02 1.48 23.0 2 2 caleb_strategy_v3 AUD False False 0.02 0.10 0.01 0.0 0.46 -0.46 0.10 0.15 0.53 19.0 4 6 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.01 0.0 0.11 -0.11 0.00 0.00 0.44 4.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.02 0.0 0.05 -0.05 0.00 0.00 1.29 4.0 0 0 caleb_strategy_v3 COPPER False False 0.04 0.00 0.02 0.0 0.21 -0.21 0.00 0.14 0.54 6.0 0 4 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.03 0.0 0.00 -0.00 0.00 0.00 1.11 0.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.03 0.0 0.06 -0.06 0.00 0.00 1.60 3.0 0 0 caleb_strategy_v3 NZD False True 0.02 0.02 0.03 0.0 0.02 0.00 0.02 0.02 1.38 21.0 1 1 caleb_strategy_v3 CAC False True 0.03 0.00 0.04 0.0 0.00 0.00 0.00 0.00 1.22 12.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.06 0.04 0.0 0.40 -0.40 0.06 0.08 2.82 26.0 4 5 caleb_strategy_v3 GBP False False 0.03 0.00 0.04 0.0 0.64 -0.64 0.00 0.00 1.40 22.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.05 0.0 0.13 -0.13 0.08 0.05 2.00 5.0 3 2 caleb_strategy_v3 BTP False False 0.05 0.09 0.06 0.0 0.46 -0.46 0.09 0.18 1.20 10.0 2 4 caleb_strategy_v3 BITCOIN False False 0.00 0.05 0.07 0.0 0.08 -0.08 0.05 0.05 50.49 59.0 36 36 caleb_strategy_v3 EUROSTX False True 0.02 0.05 0.08 0.0 0.05 0.00 0.05 0.05 4.57 20.0 3 3 caleb_strategy_v3 OAT False False 0.05 0.05 0.08 0.0 0.51 -0.51 0.05 0.00 1.62 10.0 1 0 caleb_strategy_v3 DAX False True 0.01 0.00 0.12 0.0 0.00 0.00 0.00 0.00 18.59 58.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.26 0.15 0.0 0.30 -0.30 0.26 0.26 18.76 36.0 32 32 caleb_strategy_v3 MXP False False 0.01 0.40 0.27 0.0 0.63 -0.63 0.40 0.40 25.93 60.0 38 38 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.68 0.77 0.0 0.97 -0.97 0.68 0.39 7.93 10.0 7 4 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.29 0.87 0.0 0.58 -0.58 0.29 0.47 24.23 16.0 8 13 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 18.6 Shocked risk 46.3 Sum abs risk 51.1 Leverage 4.23 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2744691.59, 'annual_cash_vol_target': 686172.8975, 'daily_cash_vol_target': 42885.80609375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6676 0.6688 10.7012 BITCOIN 901.7574 39220.0000 2.2992 36.7877 BOBL 0.2938 117.6900 0.2497 3.9944 BTP 0.6545 115.6700 0.5658 9.0534 BUND 0.5702 133.7200 0.4264 6.8227 BUXL 1.2763 131.8400 0.9681 15.4896 CAC 50.3945 7367.5000 0.6840 10.9442 CAD 0.0030 0.7412 0.3994 6.3908 CANOLA 8.2295 687.5000 1.1970 19.1522 CHF 0.0049 1.1518 0.4219 6.7502 COCOA 44.8153 4202.0000 1.0665 17.0644 COFFEE 3.5884 183.9500 1.9508 31.2122 COPPER 0.0369 3.9145 0.9437 15.0997 CORN 4.6403 512.2500 0.9059 14.4940 COTTON2 1.0026 79.5600 1.2602 20.1629 CRUDE_W 1.1899 72.3300 1.6451 26.3214 DAX 109.1942 16456.0000 0.6636 10.6168 DOW 212.9761 36256.0000 0.5874 9.3988 DX 0.4608 102.8200 0.4482 7.1707 EUR 0.0055 1.0880 0.5060 8.0961 EURIBOR-ICE 0.0565 97.6550 0.0578 0.9255 EUROSTX 33.2639 4432.0000 0.7505 12.0086 FEEDCOW 2.6956 216.7250 1.2438 19.9009 GASOIL 13.2693 768.0000 1.7278 27.6443 GASOLINE 0.0430 2.1494 2.0008 32.0134 GAS_US_mini 0.0952 2.7450 3.4671 55.4738 GBP 0.0074 1.2702 0.5803 9.2852 GOLD_micro 14.0276 2088.6000 0.6716 10.7460 HEATOIL 0.0467 2.6049 1.7921 28.6737 JGB-SGX-mini 0.2854 146.1900 0.1952 3.1237 JPY 0.0000 0.0068 0.6339 10.1431 LEANHOG 1.2935 69.9250 1.8499 29.5978 LIVECOW 1.6963 169.0000 1.0037 16.0597 LUMBER-new 7.4656 541.5000 1.3787 22.0589 MILK 0.1874 16.6900 1.1231 17.9694 MXP 0.0004 0.0580 0.7478 11.9655 NASDAQ_micro 124.2886 16018.5000 0.7759 12.4145 NIKKEI 288.3017 33365.0000 0.8641 13.8253 NZD 0.0043 0.6202 0.6860 10.9763 OAT 0.5816 127.8300 0.4549 7.2791 OATIES 7.5816 386.7500 1.9603 31.3653 OJ 6.0837 381.0000 1.5968 25.5483 PALLAD 20.1540 1010.0000 1.9955 31.9272 PLAT 14.4370 939.1000 1.5373 24.5971 REDWHEAT 10.3240 645.2500 1.6000 25.5999 RICE 0.1520 17.4750 0.8696 13.9140 ROBUSTA 35.4165 2528.0000 1.4010 22.4155 RUSSELL 22.6683 1857.3000 1.2205 19.5279 SHATZ 0.0986 106.1100 0.0929 1.4872 SILVER-mini 0.3116 25.8625 1.2050 19.2794 SMI 68.5238 10911.0000 0.6280 10.0484 SOFR 0.0824 96.5200 0.0853 1.3653 SOYBEAN 10.8847 1281.2500 0.8495 13.5926 SOYMEAL 5.7076 404.7000 1.4103 22.5651 SOYOIL 0.7950 51.3200 1.5492 24.7872 SP400 25.2760 2619.6000 0.9649 15.4381 SP500_micro 28.8320 4598.5000 0.6270 10.0318 SUGAR11 0.3538 24.2200 1.4610 23.3753 US10 0.5017 110.6875 0.4533 7.2524 US10U 0.6795 114.6562 0.5926 9.4818 US2 0.1274 102.5430 0.1242 1.9873 US20 0.9848 118.1875 0.8332 13.3320 US30 1.4532 125.0312 1.1622 18.5957 US5 0.3228 107.5078 0.3003 4.8044 VIX 0.5179 16.2500 3.1869 50.9911 WHEAT 8.7184 656.5000 1.3280 21.2483 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 667.55 0.67 446.48 1.00 446.48 42885.81 96.05 2.14 20.53 BITCOIN 39.22 2.30 90.18 1.00 90.18 42885.81 475.58 9.80 466.28 BOBL 1176.90 0.25 293.82 1.10 322.52 42885.81 132.97 1.56 20.77 BTP 1156.70 0.57 654.51 1.10 718.45 42885.81 59.69 5.91 35.31 BUND 1337.20 0.43 570.21 1.10 625.92 42885.81 68.52 1.65 11.28 BUXL 1318.40 0.97 1276.35 1.10 1401.05 42885.81 30.61 1.07 3.26 CAC 736.75 0.68 503.94 1.10 553.18 42885.81 77.53 4.63 35.89 CAD 741.20 0.40 296.05 1.00 296.05 42885.81 144.86 -6.16 -89.19 CANOLA 137.50 1.20 164.59 0.74 121.25 42885.81 353.69 -13.73 -485.67 CHF 1439.81 0.42 607.44 1.00 607.44 42885.81 70.60 -6.76 -47.75 COCOA 420.20 1.07 448.15 1.00 448.15 42885.81 95.69 13.75 131.58 COFFEE 689.81 1.95 1345.66 1.00 1345.66 42885.81 31.87 0.18 0.57 COPPER 978.62 0.94 923.56 1.00 923.56 42885.81 46.44 1.08 5.00 CORN 256.12 0.91 232.02 1.00 232.02 42885.81 184.84 -14.98 -276.95 COTTON2 397.80 1.26 501.30 1.00 501.30 42885.81 85.55 -19.40 -165.94 CRUDE_W 723.30 1.65 1189.89 1.00 1189.89 42885.81 36.04 5.13 18.48 DAX 164.56 0.66 109.19 1.10 119.86 42885.81 357.79 15.24 545.15 DOW 181.28 0.59 106.49 1.00 106.49 42885.81 402.73 0.24 9.79 DX 1028.20 0.45 460.81 1.00 460.81 42885.81 93.07 -4.72 -43.89 EUR 1360.06 0.51 688.20 1.00 688.20 42885.81 62.32 0.25 1.58 EURIBOR-ICE 2441.38 0.06 141.21 1.10 155.01 42885.81 276.66 8.40 232.36 EUROSTX 443.20 0.75 332.64 1.10 365.14 42885.81 117.45 11.41 133.99 FEEDCOW 1083.62 1.24 1347.82 1.00 1347.82 42885.81 31.82 -12.38 -39.38 GASOIL 768.00 1.73 1326.93 1.00 1326.93 42885.81 32.32 3.18 10.26 GASOLINE 902.75 2.00 1806.25 1.00 1806.25 42885.81 23.74 1.45 3.45 GAS_US_mini 68.62 3.47 237.93 1.00 237.93 42885.81 180.25 -14.56 -262.46 GBP 793.88 0.58 460.71 1.00 460.71 42885.81 93.09 5.80 54.03 GOLD_micro 208.86 0.67 140.28 1.00 140.28 42885.81 305.73 -1.17 -35.75 HEATOIL 1094.06 1.79 1960.67 1.00 1960.67 42885.81 21.87 -1.45 -3.18 JGB-SGX-mini 146190.00 0.20 28540.55 0.01 194.24 42885.81 220.79 10.13 223.73 JPY 853.19 0.63 540.87 1.00 540.87 42885.81 79.29 -6.26 -49.65 LEANHOG 279.70 1.85 517.41 1.00 517.41 42885.81 82.89 0.40 3.31 LIVECOW 676.00 1.00 678.52 1.00 678.52 42885.81 63.20 -13.47 -85.15 LUMBER-new 148.91 1.38 205.30 1.00 205.30 42885.81 208.89 -10.07 -210.41 MILK 333.80 1.12 374.89 1.00 374.89 42885.81 114.40 -20.00 -228.79 MXP 289.90 0.75 216.80 1.00 216.80 42885.81 197.81 8.93 176.65 NASDAQ_micro 320.37 0.78 248.58 1.00 248.58 42885.81 172.53 -0.32 -5.60 NIKKEI 33365.00 0.86 28830.17 0.01 196.21 42885.81 218.57 7.92 173.20 NZD 620.20 0.69 425.47 1.00 425.47 42885.81 100.80 5.27 53.07 OAT 1278.30 0.45 581.55 1.10 638.37 42885.81 67.18 7.06 47.43 OATIES 193.38 1.96 379.08 1.00 379.08 42885.81 113.13 -13.04 -147.50 OJ 571.50 1.60 912.55 1.00 912.55 42885.81 47.00 15.88 74.62 PALLAD 1010.00 2.00 2015.40 1.00 2015.40 42885.81 21.28 -8.65 -18.40 PLAT 469.55 1.54 721.85 1.00 721.85 42885.81 59.41 3.06 18.19 REDWHEAT 322.62 1.60 516.20 1.00 516.20 42885.81 83.08 -20.00 -166.16 RICE 349.50 0.87 303.93 1.00 303.93 42885.81 141.10 3.76 53.09 ROBUSTA 252.80 1.40 354.17 1.00 354.17 42885.81 121.09 10.48 126.88 RUSSELL 92.86 1.22 113.34 1.00 113.34 42885.81 378.38 -7.22 -273.25 SHATZ 1061.10 0.09 98.63 1.10 108.26 42885.81 396.12 -4.43 -175.32 SILVER-mini 646.56 1.20 779.08 1.00 779.08 42885.81 55.05 5.91 32.51 SMI 1091.10 0.63 685.24 1.15 785.73 42885.81 54.58 0.95 5.16 SOFR 2413.00 0.09 205.90 1.00 205.90 42885.81 208.28 -0.60 -12.57 SOYBEAN 640.62 0.85 544.23 1.00 544.23 42885.81 78.80 0.52 4.10 SOYMEAL 404.70 1.41 570.76 1.00 570.76 42885.81 75.14 -2.34 -17.58 SOYOIL 307.92 1.55 477.03 1.00 477.03 42885.81 89.90 -3.14 -28.26 SP400 2619.60 0.96 2527.60 1.00 2527.60 42885.81 16.97 -6.79 -11.52 SP500_micro 229.92 0.63 144.16 1.00 144.16 42885.81 297.49 -1.85 -55.17 SUGAR11 271.26 1.46 396.30 1.00 396.30 42885.81 108.21 -0.49 -5.31 US10 1106.88 0.45 501.72 1.00 501.72 42885.81 85.48 -2.59 -22.10 US10U 1146.56 0.59 679.47 1.00 679.47 42885.81 63.12 -0.08 -0.51 US2 2050.86 0.12 254.73 1.00 254.73 42885.81 168.36 -4.13 -69.57 US20 1181.88 0.83 984.79 1.00 984.79 42885.81 43.55 0.94 4.09 US30 1250.31 1.16 1453.15 1.00 1453.15 42885.81 29.51 0.58 1.70 US5 1075.08 0.30 322.82 1.00 322.82 42885.81 132.85 -4.70 -62.39 VIX 162.50 3.19 517.88 1.00 517.88 42885.81 82.81 -20.00 -165.62 WHEAT 328.25 1.33 435.92 1.00 435.92 42885.81 98.38 -20.00 -196.76 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 20.534 0.010 2.5 0.533 BITCOIN 466.278 0.043 2.5 50.493 BOBL 20.768 0.004 2.5 0.211 BTP 35.307 0.014 2.5 1.204 BUND 11.282 0.004 2.5 0.114 BUXL 3.264 0.004 2.5 0.033 CAC 35.887 0.014 2.5 1.224 CAD -89.189 0.010 2.5 -2.314 CANOLA -485.673 0.010 2.5 -11.816 CHF -47.749 0.010 2.5 -1.239 COCOA 131.584 0.009 2.5 2.818 COFFEE 0.571 0.005 2.5 0.007 COPPER 5.000 0.043 2.5 0.541 CORN -276.950 0.010 2.5 -6.738 COTTON2 -165.943 0.009 2.5 -3.554 CRUDE_W 18.477 0.043 2.5 2.001 DAX 545.148 0.014 2.5 18.595 DOW 9.789 0.009 2.5 0.228 DX -43.886 0.010 2.5 -1.139 EUR 1.580 0.010 2.5 0.041 EURIBOR-ICE 232.359 0.014 2.5 7.926 EUROSTX 133.990 0.014 2.5 4.570 FEEDCOW -39.376 0.013 2.5 -1.305 GASOIL 10.262 0.017 2.5 0.445 GASOLINE 3.453 0.017 2.5 0.150 GAS_US_mini -262.463 0.043 2.5 -28.422 GBP 54.034 0.010 2.5 1.402 GOLD_micro -35.751 0.014 2.5 -1.219 HEATOIL -3.176 0.017 2.5 -0.138 JGB-SGX-mini 223.732 0.043 2.5 24.228 JPY -49.653 0.010 2.5 -1.288 LEANHOG 3.313 0.024 2.5 0.201 LIVECOW -85.148 0.013 2.5 -2.822 LUMBER-new -210.409 0.009 2.5 -4.488 MILK -228.793 0.009 2.5 -4.900 MXP 176.652 0.059 2.5 25.928 NASDAQ_micro -5.601 0.009 2.5 -0.130 NIKKEI 173.201 0.043 2.5 18.756 NZD 53.071 0.010 2.5 1.377 OAT 47.428 0.014 2.5 1.618 OATIES -147.501 0.010 2.5 -3.589 OJ 74.623 0.009 2.5 1.598 PALLAD -18.399 0.014 2.5 -0.628 PLAT 18.193 0.014 2.5 0.621 REDWHEAT -166.160 0.005 2.5 -2.204 RICE 53.093 0.010 2.5 1.292 ROBUSTA 126.885 0.005 2.5 1.482 RUSSELL -273.255 0.013 2.5 -9.055 SHATZ -175.323 0.004 2.5 -1.778 SILVER-mini 32.514 0.014 2.5 1.109 SMI 5.159 0.014 2.5 0.176 SOFR -12.566 0.024 2.5 -0.764 SOYBEAN 4.097 0.004 2.5 0.038 SOYMEAL -17.578 0.004 2.5 -0.163 SOYOIL -28.258 0.004 2.5 -0.263 SP400 -11.522 0.013 2.5 -0.382 SP500_micro -55.169 0.009 2.5 -1.282 SUGAR11 -5.305 0.009 2.5 -0.113 US10 -22.102 0.005 2.5 -0.280 US10U -0.507 0.005 2.5 -0.006 US2 -69.574 0.005 2.5 -0.882 US20 4.089 0.005 2.5 0.052 US30 1.698 0.005 2.5 0.022 US5 -62.391 0.005 2.5 -0.791 VIX -165.621 0.099 2.5 -40.883 WHEAT -196.759 0.005 2.5 -2.610 ===================== Position diags ===================== AUD 2.49 BITCOIN 51.50 BOBL 1.35 BTP 2.04 BUND 0.69 BUXL 0.31 CAC 2.64 CAD 3.76 CANOLA 8.60 CHF 1.83 COCOA 2.05 COFFEE 0.37 COPPER 5.03 CORN 4.50 COTTON2 1.83 CRUDE_W 3.90 DAX 12.20 DOW 9.36 DX 2.41 EUR 1.62 EURIBOR-ICE 9.44 EUROSTX 4.01 FEEDCOW 1.05 GASOIL 1.40 GASOLINE 1.03 GAS_US_mini 19.52 GBP 2.42 GOLD_micro 10.43 HEATOIL 0.95 JGB-SGX-mini 23.91 JPY 2.06 LEANHOG 5.04 LIVECOW 2.09 LUMBER-new 4.46 MILK 2.45 MXP 29.03 NASDAQ_micro 4.01 NIKKEI 23.67 NZD 2.62 OAT 2.29 OATIES 2.75 OJ 1.01 PALLAD 0.73 PLAT 2.03 REDWHEAT 1.10 RICE 3.43 ROBUSTA 1.41 RUSSELL 12.54 SHATZ 4.02 SILVER-mini 1.88 SMI 1.86 SOFR 12.66 SOYBEAN 0.73 SOYMEAL 0.70 SOYOIL 0.84 SP400 0.56 SP500_micro 6.91 SUGAR11 2.30 US10 1.08 US10U 0.80 US2 2.13 US20 0.55 US30 0.37 US5 1.68 VIX 20.44 WHEAT 1.31 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.5 0.3 0.8 4.0 4 BITCOIN 50.5 45.3 55.6 36.0 36 BOBL 0.2 0.1 0.3 0.0 0 BTP 1.2 1.0 1.4 2.0 2 BUND 0.1 0.0 0.2 0.0 0 BUXL 0.0 0.0 0.1 0.0 0 CAC 1.2 1.0 1.5 0.0 0 CAD -2.3 -2.7 -1.9 0.0 0 CANOLA -11.8 -12.7 -11.0 -6.0 -6 CHF -1.2 -1.4 -1.1 -4.0 -4 COCOA 2.8 2.6 3.0 4.0 4 COFFEE 0.0 -0.0 0.0 0.0 0 COPPER 0.5 0.0 1.0 0.0 0 CORN -6.7 -7.2 -6.3 -5.0 -5 COTTON2 -3.6 -3.7 -3.4 -5.0 -5 CRUDE_W 2.0 1.6 2.4 3.0 3 DAX 18.6 17.4 19.8 0.0 0 DOW 0.2 -0.7 1.2 -4.0 -4 DX -1.1 -1.4 -0.9 NaN 0 EUR 0.0 -0.1 0.2 1.0 1 EURIBOR-ICE 7.9 7.0 8.9 7.0 7 EUROSTX 4.6 4.2 5.0 3.0 3 FEEDCOW -1.3 -1.4 -1.2 -1.0 -1 GASOIL 0.4 0.3 0.6 0.0 0 GASOLINE 0.1 0.0 0.3 1.0 1 GAS_US_mini -28.4 -30.4 -26.5 -18.0 -18 GBP 1.4 1.2 1.6 0.0 0 GOLD_micro -1.2 -2.3 -0.2 -7.0 -7 HEATOIL -0.1 -0.2 -0.0 0.0 0 JGB-SGX-mini 24.2 21.8 26.6 8.0 8 JPY -1.3 -1.5 -1.1 0.0 0 LEANHOG 0.2 -0.3 0.7 -1.0 -1 LIVECOW -2.8 -3.0 -2.6 -1.0 -1 LUMBER-new -4.5 -4.9 -4.0 NaN 0 MILK -4.9 -5.1 -4.7 NaN 0 MXP 25.9 23.0 28.8 38.0 38 NASDAQ_micro -0.1 -0.5 0.3 2.0 2 NIKKEI 18.8 16.4 21.1 32.0 32 NZD 1.4 1.1 1.6 1.0 1 OAT 1.6 1.4 1.8 1.0 1 OATIES -3.6 -3.9 -3.3 NaN 0 OJ 1.6 1.5 1.7 NaN 0 PALLAD -0.6 -0.7 -0.6 -2.0 -2 PLAT 0.6 0.4 0.8 1.0 1 REDWHEAT -2.2 -2.3 -2.1 -3.0 -3 RICE 1.3 0.9 1.6 NaN 0 ROBUSTA 1.5 1.3 1.6 2.0 2 RUSSELL -9.1 -10.3 -7.8 -1.0 -1 SHATZ -1.8 -2.2 -1.4 NaN 0 SILVER-mini 1.1 0.9 1.3 NaN 0 SMI 0.2 -0.0 0.4 -1.0 -1 SOFR -0.8 -2.0 0.5 NaN 0 SOYBEAN 0.0 -0.0 0.1 0.0 0 SOYMEAL -0.2 -0.2 -0.1 -1.0 -1 SOYOIL -0.3 -0.3 -0.2 -2.0 -2 SP400 -0.4 -0.4 -0.3 0.0 0 SP500_micro -1.3 -2.0 -0.6 -2.0 -2 SUGAR11 -0.1 -0.3 0.1 0.0 0 US10 -0.3 -0.4 -0.2 NaN 0 US10U -0.0 -0.1 0.1 -3.0 -3 US2 -0.9 -1.1 -0.7 NaN 0 US20 0.1 -0.0 0.1 0.0 0 US30 0.0 -0.0 0.1 3.0 3 US5 -0.8 -1.0 -0.6 -1.0 -1 VIX -40.9 -42.9 -38.8 -16.0 -16 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 0.1 -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 0.1 -0.1 0.0 -0.0 -0.3 -0.6 -0.1 0.2 BITCOIN -0.0 0.6 0.4 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 0.4 0.2 -2.7 0.1 0.0 0.2 0.0 0.1 0.1 -0.0 -0.0 0.6 0.6 0.6 -0.2 0.7 -0.0 0.7 BOBL 0.4 0.5 0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 0.0 0.1 -0.0 0.1 -0.0 0.0 -0.0 0.1 -0.2 0.1 1.1 0.0 0.1 -0.0 0.1 -0.1 0.0 -0.0 0.1 -0.0 0.1 0.2 -0.6 -0.7 -0.4 -0.6 BTP 0.6 0.6 -0.1 0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.1 0.1 0.0 0.2 -0.1 0.2 -1.1 0.0 0.0 0.0 0.1 -0.0 0.1 0.8 0.1 0.3 0.4 0.3 -0.5 -0.7 0.1 0.2 BUND 0.6 0.5 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.0 -0.1 0.1 -0.0 0.0 0.1 -0.0 0.1 -0.2 0.1 0.8 0.0 0.1 -0.0 0.1 -0.1 0.0 0.3 0.1 0.1 0.1 0.2 -0.7 -0.7 -0.7 -0.2 BUXL 0.6 0.5 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 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 0.1 0.0 -0.6 -0.7 -0.4 0.4 CAC 0.6 0.2 -0.5 0.0 0.1 -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 -0.9 0.0 0.1 -0.0 0.1 0.0 0.1 0.1 0.0 -0.3 -0.3 0.1 0.2 0.2 0.5 0.3 CAD 0.5 0.0 -0.2 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 0.1 0.0 0.3 -0.4 -0.6 -0.5 -0.6 -0.7 -0.2 -0.5 CANOLA 0.5 -0.2 -0.6 -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 -0.1 -0.1 -0.4 -0.4 -0.4 -0.3 0.0 0.2 CHF 0.6 0.5 -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 -1.2 0.0 0.1 -0.0 0.1 -0.0 0.1 -1.1 0.3 0.3 0.4 -0.4 -0.7 -0.7 -0.7 -0.7 COCOA 0.3 0.6 0.2 -0.0 -0.1 -0.2 -0.0 -0.3 0.0 0.1 0.5 0.2 0.7 0.2 0.2 0.2 -0.0 0.0 -0.0 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 0.0 0.5 0.6 0.6 0.6 0.4 -0.1 0.7 0.4 COFFEE 0.1 0.6 0.5 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.1 -0.1 0.1 -0.4 0.2 0.1 0.3 0.1 0.1 0.1 0.1 0.0 0.2 -0.1 0.2 -2.7 0.1 0.1 0.1 0.1 0.0 0.1 0.4 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.4 COPPER 0.6 0.5 -0.1 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 -0.3 0.2 -0.2 0.2 0.1 -0.2 -0.1 -0.2 -0.1 0.1 -0.0 0.2 -0.2 0.2 -0.9 0.0 0.1 -0.0 0.1 -0.1 0.1 0.0 0.3 0.6 0.1 0.0 -0.1 -0.6 0.2 -0.5 CORN 0.0 0.1 -0.4 -0.0 -0.1 -0.1 -0.0 -0.3 0.0 0.1 -0.5 -0.1 -0.7 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.5 -0.1 -2.7 -0.0 0.1 -0.1 0.0 -0.3 -0.0 -0.1 0.3 -0.2 -0.1 0.0 -0.3 -0.2 0.1 0.1 COTTON2 -0.1 -0.6 -0.3 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.2 -0.0 -0.4 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -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 -0.5 -0.4 -0.0 0.1 CRUDE_W -0.3 -0.4 0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.3 -0.1 -0.0 0.1 0.2 0.2 0.2 -0.0 0.1 -0.1 0.3 -0.1 -0.7 -0.0 -0.0 0.1 -0.0 0.3 -0.0 -1.1 0.1 0.2 0.3 0.3 0.7 0.4 0.7 0.4 DAX 0.6 0.4 -0.5 0.0 0.1 -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 0.2 0.0 0.2 0.0 0.2 2.5 0.0 0.1 -0.0 0.1 -0.0 0.1 -0.3 0.5 0.6 0.3 0.1 0.2 0.1 0.4 0.4 DOW 0.6 0.5 -0.3 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 0.1 0.2 0.3 0.2 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.0 0.2 0.0 0.2 -1.4 0.0 0.1 0.0 0.1 0.0 0.1 -0.4 0.5 0.4 0.3 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 -0.0 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 -2.7 -0.0 -0.0 0.0 -0.0 0.1 -0.1 0.8 -0.5 -0.6 -0.6 0.5 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 0.1 0.2 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.1 -0.1 0.1 1.4 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.4 -0.5 -0.0 0.2 -0.2 -0.5 -0.5 -0.4 -0.2 EURIBOR-ICE 0.3 0.6 0.6 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 -0.1 -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 0.2 0.1 0.3 0.5 -0.7 -0.7 0.1 0.7 EUROSTX 0.6 0.4 -0.3 0.0 0.1 -0.0 0.1 -0.0 0.1 0.2 -0.0 0.2 0.5 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.0 0.2 0.2 0.2 0.6 0.1 0.1 0.0 0.1 0.0 0.1 0.2 0.0 0.1 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 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 -0.2 -0.4 -0.3 -0.4 -0.2 -0.1 -0.1 0.0 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -1.1 -0.2 -0.6 -0.6 -0.3 0.5 0.0 0.7 0.3 GASOIL -0.3 -0.6 0.1 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.3 -0.1 -0.1 0.2 0.4 0.4 0.4 -0.1 0.1 -0.1 0.3 -0.1 1.1 -0.0 -0.1 0.1 -0.0 0.2 -0.0 0.0 0.0 0.0 0.0 0.2 -0.3 -0.0 -0.4 -0.2 GASOLINE 0.0 -0.4 -0.5 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.1 0.0 0.2 -0.1 -0.1 -0.1 0.4 0.2 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 0.4 0.3 0.5 0.3 -0.4 0.7 0.4 0.7 0.3 GAS_US_mini -0.6 -0.4 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 -0.0 -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 0.5 -0.4 0.0 0.0 0.0 0.1 0.0 0.1 0.1 -0.1 0.1 0.2 0.1 0.0 -0.0 -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 -0.0 0.1 0.2 0.1 0.1 0.2 -0.2 -0.3 0.1 -0.2 0.7 GOLD_micro 0.3 0.6 0.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.1 0.0 0.2 0.2 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.2 0.0 0.2 -1.0 0.0 0.1 0.0 0.1 0.0 0.1 -0.9 0.5 0.2 0.6 0.3 -0.4 -0.7 -0.4 -0.7 HEATOIL -0.2 -0.6 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.2 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 0.0 -0.1 0.3 -0.1 -2.5 -0.0 -0.0 0.1 -0.0 0.2 -0.0 0.2 0.2 0.1 0.1 0.0 0.4 -0.0 0.2 -0.2 JGB-SGX-mini 0.6 0.4 -0.4 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 0.1 0.1 0.0 0.3 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 0.4 -0.0 0.0 0.1 -0.7 0.5 0.6 JPY 0.6 0.6 -0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.3 0.1 -0.4 0.1 -0.1 -0.3 -0.3 -0.4 -0.4 -0.1 -0.1 0.1 -0.5 0.0 2.7 -0.0 0.0 -0.2 0.0 -0.3 0.0 -1.1 0.0 -0.4 -0.5 -0.5 -0.2 -0.7 0.1 -0.7 LEANHOG -0.2 -0.1 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 0.0 0.3 -0.1 -0.1 -0.1 -0.2 -0.1 1.6 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 1.1 -0.2 -0.3 -0.2 -0.1 -0.4 -0.2 0.2 0.5 LIVECOW -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 -0.1 -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 -0.1 -0.6 -0.6 -0.3 -0.0 -0.5 0.1 -0.2 LUMBER-new 0.5 0.6 -0.1 -0.0 -0.1 -0.2 -0.0 -0.3 0.0 -0.2 -0.4 -0.0 -0.7 0.2 0.1 -0.3 -0.3 -0.3 -0.3 0.1 -0.1 -0.0 -0.4 0.2 NaN 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -1.2 -0.5 0.5 0.6 0.4 -0.6 -0.8 -0.3 -0.7 MILK -0.5 -0.4 -0.3 -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 0.9 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -1.1 -0.5 -0.6 -0.6 -0.2 -0.7 -0.7 -0.7 -0.7 MXP 0.6 0.3 -0.6 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 -0.4 -0.3 0.1 0.1 0.3 0.4 0.6 0.7 NASDAQ_micro 0.6 0.3 -0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.3 0.1 0.4 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.1 0.1 0.3 0.2 -2.7 0.0 0.0 0.1 0.0 0.1 0.1 -0.3 -0.2 0.2 0.2 0.3 0.2 -0.3 0.2 -0.4 NIKKEI 0.6 0.3 -0.2 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.4 0.1 0.6 0.2 0.2 0.2 0.2 0.1 0.2 0.2 0.2 0.1 0.5 0.2 -1.6 0.0 0.0 0.1 0.0 0.2 0.1 1.1 -0.5 -0.4 0.1 0.5 -0.3 0.0 -0.2 0.2 NZD 0.6 0.4 0.1 0.0 0.0 0.0 0.1 0.0 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 0.0 0.0 0.0 0.0 0.1 -0.0 0.2 -0.1 0.2 0.1 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 0.3 0.1 -0.0 0.0 -0.1 -0.5 0.0 0.2 OAT 0.6 0.6 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.1 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 0.1 -0.1 0.0 0.8 0.1 0.1 0.2 0.2 -0.7 -0.7 -0.3 0.3 OATIES 0.4 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.3 -0.2 -0.3 -0.3 -0.1 -0.1 0.0 -0.1 -0.1 -2.7 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.1 0.3 -0.5 -0.6 -0.4 0.2 0.4 0.7 0.7 OJ 0.4 -0.6 0.5 -0.0 -0.1 -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 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.4 0.1 1.1 0.1 0.6 0.6 0.6 0.3 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 -0.1 -0.5 -0.1 0.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.5 -0.6 -0.6 -0.5 -0.1 -0.3 0.3 -0.1 PLAT 0.3 0.3 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.2 0.1 -0.2 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.1 0.1 1.6 0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 -0.0 -0.3 -0.1 0.1 -0.1 -0.4 0.4 -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 0.0 -0.7 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 0.0 -0.5 -0.1 -2.2 -0.1 0.1 -0.2 0.0 -0.2 -0.0 -0.1 0.5 -0.4 -0.6 -0.6 -0.7 -0.7 -0.7 -0.5 RICE 0.6 0.4 0.2 -0.0 -0.1 -0.1 -0.0 -0.3 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 0.3 0.2 -2.7 0.1 -0.0 0.1 0.0 0.1 0.1 0.2 -0.2 0.6 0.6 0.6 -0.0 -0.6 0.5 -0.2 ROBUSTA 0.6 0.3 -0.3 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.1 0.3 0.1 0.5 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 0.1 0.2 0.1 1.1 0.5 0.6 0.6 0.4 -0.3 -0.4 0.2 0.0 RUSSELL 0.6 0.2 -0.4 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 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.2 -0.3 -0.3 -0.5 -0.5 -0.7 -0.7 SHATZ 0.3 0.5 0.4 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 -0.3 -0.4 -0.4 0.0 -0.0 0.1 -0.2 0.1 1.3 0.0 0.1 -0.0 0.1 -0.1 0.0 -1.1 0.3 -0.1 -0.1 0.1 -0.4 -0.7 -0.2 -0.7 SILVER-mini 0.6 0.5 -0.2 0.0 0.0 0.0 0.1 -0.0 0.1 0.2 -0.1 0.2 0.1 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.0 0.2 -0.0 0.2 1.1 0.0 0.1 0.0 0.1 0.0 0.1 -0.1 0.2 0.5 0.4 0.2 -0.6 -0.7 -0.1 -0.7 SMI 0.6 -0.1 -0.4 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 -0.2 0.2 -0.0 0.1 -0.0 0.1 0.1 0.1 0.1 -0.0 -0.1 0.1 -0.2 0.1 1.0 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.8 -0.0 -0.5 -0.6 -0.0 -0.2 -0.3 -0.0 -0.2 SOFR 0.6 0.6 -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 0.0 -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 0.1 0.1 0.0 0.1 -0.7 -0.7 -0.2 -0.3 SOYBEAN 0.1 0.2 0.0 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.1 0.2 -0.1 0.2 0.1 -0.0 0.4 0.4 0.3 0.3 0.1 0.0 -0.0 0.1 0.0 -2.7 0.1 -0.0 0.1 0.0 0.1 0.1 1.1 0.5 0.4 0.6 0.5 -0.7 -0.5 -0.7 -0.3 SOYMEAL -0.2 0.6 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.1 0.0 0.1 0.4 0.4 0.4 0.3 0.1 0.1 -0.1 0.1 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.1 0.0 1.1 -0.3 0.0 0.6 0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 -0.4 -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 0.1 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 0.9 0.5 0.5 -0.3 -0.3 -0.3 0.1 0.3 0.5 SP400 0.6 0.2 -0.5 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.0 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 0.0 -0.1 -0.2 -0.2 -0.4 -0.4 -0.5 -0.7 SP500_micro 0.6 0.4 -0.3 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 0.1 0.2 0.3 0.2 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.1 0.2 0.2 0.2 -2.6 0.0 0.0 0.0 0.1 0.1 0.1 -0.4 -0.0 0.3 0.2 0.1 0.0 -0.3 0.1 -0.4 SUGAR11 -0.5 -0.3 0.0 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.2 0.5 -0.2 0.7 -0.0 0.1 0.4 0.4 0.4 0.4 0.0 0.2 -0.2 0.5 -0.1 -2.7 0.0 -0.2 0.2 -0.1 0.5 -0.1 1.1 -0.5 -0.6 0.1 0.6 -0.4 -0.5 0.4 0.2 US10 0.6 0.6 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 -0.0 0.1 -0.2 0.1 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.5 0.1 0.1 -0.0 -0.0 -0.7 -0.7 -0.2 0.1 US10U 0.6 0.6 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.1 0.1 -0.3 0.1 -0.3 0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.1 0.1 -0.1 -0.1 -0.7 -0.7 0.1 0.5 US2 0.5 0.6 0.6 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 0.0 -0.0 0.1 -0.1 0.0 -1.1 0.2 0.0 0.0 0.1 -0.5 -0.7 -0.2 -0.7 US20 0.6 0.5 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.2 0.1 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.1 0.1 -0.0 -0.1 -0.4 -0.7 0.4 0.7 US30 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 -0.1 -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 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 0.0 -0.2 -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 -0.5 0.6 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 -0.2 -0.7 -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 -0.1 0.1 -0.6 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 0.2 -0.5 -0.0 -0.7 -0.1 -0.2 -0.3 -0.2 -0.3 -0.2 -0.2 -0.2 0.0 -0.5 -0.1 -0.6 -0.1 0.1 -0.2 0.0 -0.3 -0.0 -1.0 0.5 -0.3 -0.3 -0.5 -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 20.0 16.2 1.2 2.7 4.5 0.9 5.5 0.7 5.2 11.0 -7.1 13.2 -9.6 13.3 5.4 -2.7 -3.0 -3.0 -3.0 7.3 -2.0 15.7 -7.4 14.9 3.4 3.0 5.4 -0.5 6.3 -2.3 6.0 -1.1 4.3 -3.7 1.1 -0.7 -10.3 -16.8 -2.7 5.9 BITCOIN -1.5 20.0 11.8 3.6 7.1 0.1 8.2 -0.2 7.5 18.8 20.0 20.0 17.0 20.0 20.0 -10.2 -5.8 -8.6 -7.3 20.0 20.0 17.2 13.1 20.0 -20.0 8.0 3.2 5.8 3.8 3.1 6.6 -0.9 -0.4 17.1 20.0 20.0 -4.7 20.0 -0.6 20.0 BOBL 12.1 15.7 8.9 0.7 3.6 -1.3 3.1 -2.4 2.5 7.2 -2.8 7.0 -6.7 7.5 4.5 6.0 -2.0 4.6 -0.4 4.2 -0.6 12.1 -6.0 8.3 8.4 1.8 6.9 -0.1 5.3 -1.8 3.6 -0.6 6.1 -1.1 2.6 6.3 -17.3 -20.0 -12.0 -18.1 BTP 20.0 20.0 -3.5 1.1 5.8 -2.1 4.9 -3.7 3.9 10.6 0.8 12.5 1.5 13.1 7.4 7.2 7.6 7.1 6.9 10.3 1.5 17.9 -3.6 17.6 -7.9 3.0 5.4 0.6 5.3 -0.6 5.1 15.0 4.1 8.6 11.2 7.7 -13.6 -20.0 1.8 6.4 BUND 17.3 16.4 3.7 0.7 4.0 -1.4 3.4 -2.6 2.7 7.8 -2.9 8.4 -7.6 8.7 4.0 -2.6 3.9 -1.8 0.5 4.8 -1.4 12.8 -7.4 10.0 5.9 1.9 5.8 -0.2 5.0 -1.9 3.9 6.5 5.3 2.0 4.2 5.5 -20.0 -20.0 -20.0 -5.1 BUXL 20.0 16.8 -1.3 0.9 4.7 -1.7 4.0 -3.0 3.1 9.2 -4.7 10.4 -9.4 10.4 1.7 0.1 0.7 0.3 0.6 4.4 -4.8 13.5 -12.5 11.8 1.4 1.6 4.6 -1.2 4.6 -2.9 4.0 4.0 3.5 6.1 4.6 1.4 -19.3 -20.0 -13.4 13.0 CAC 20.0 5.7 -15.5 3.0 6.3 -0.4 7.0 -0.3 6.9 19.9 -2.4 20.0 15.2 20.0 4.0 -7.2 -3.3 -6.4 -5.4 8.4 -1.8 20.0 4.9 20.0 -6.9 3.1 8.6 -0.5 8.6 1.0 7.9 2.8 0.3 -8.9 -8.7 3.7 6.7 5.1 13.7 10.4 CAD 16.9 1.1 -6.9 4.0 6.7 1.3 8.2 1.0 7.7 19.4 -13.0 20.0 -14.9 13.2 -4.6 -2.5 -2.3 -2.5 -2.4 -1.3 -9.2 20.0 -10.8 12.8 2.9 -0.7 13.2 -4.4 11.4 -4.7 6.4 0.0 10.9 -11.9 -19.6 -16.0 -16.9 -20.0 -6.3 -16.2 CANOLA 14.6 -6.5 -18.6 -0.8 -2.9 -2.3 -0.6 -3.2 0.3 -7.6 -2.9 -3.2 -3.8 -1.9 -7.5 -8.4 2.0 -9.7 -5.0 -7.1 -7.5 -5.5 -6.1 -4.2 -20.0 -3.0 -3.6 -3.1 -2.1 -2.9 -2.1 -0.4 -4.1 -2.8 -11.3 -13.5 -13.2 -7.6 0.7 4.6 CHF 20.0 14.8 -14.3 3.8 6.3 1.2 7.8 0.9 7.3 17.3 -5.7 20.0 6.1 20.0 3.8 -16.0 -15.1 -16.4 -15.9 10.1 -0.3 20.0 0.3 20.0 -8.8 3.1 9.8 -0.3 9.9 -0.2 8.0 -20.0 11.0 9.3 13.0 -12.9 -20.0 -20.0 -20.0 -20.0 COCOA 9.7 20.0 6.3 -1.9 -7.0 -5.6 -1.5 -7.7 0.7 12.3 20.0 20.0 20.0 20.0 20.0 11.5 -1.1 2.4 -0.1 20.0 20.0 20.0 20.0 20.0 -20.0 9.1 2.8 8.3 7.1 8.2 9.4 0.3 20.0 20.0 20.0 20.0 12.8 -2.4 20.0 12.8 COFFEE 3.8 20.0 16.1 -1.4 -5.2 -4.2 -1.1 -5.7 0.5 14.7 -4.2 13.8 -10.1 15.3 13.9 14.2 3.3 6.8 4.1 13.0 4.1 20.0 -3.9 17.2 -20.0 5.3 9.7 2.4 7.9 0.2 6.9 7.6 20.0 20.0 20.0 17.6 -20.0 -20.0 -20.0 -12.4 COPPER 20.0 15.0 -3.3 3.0 6.0 0.1 6.9 -0.2 6.3 18.7 -10.2 20.0 -5.6 18.8 4.6 -7.5 -4.7 -7.6 -6.4 9.4 -3.1 20.0 -8.2 20.0 -7.0 4.2 9.5 -0.3 9.6 -2.2 8.8 0.9 13.6 17.8 3.1 0.5 -3.5 -16.7 4.8 -14.8 CORN 0.3 4.5 -12.2 -1.7 -6.3 -5.1 -1.4 -7.0 0.7 7.7 -20.0 -5.3 -20.0 -11.3 -12.9 -7.6 -0.1 -6.7 -4.8 -7.9 -17.2 -2.0 -20.0 -4.8 -20.0 -2.1 7.8 -5.2 2.2 -9.4 -0.6 -2.6 11.9 -6.1 -2.5 1.0 -8.0 -5.4 3.2 3.5 COTTON2 -2.5 -20.0 -8.3 -1.5 -5.3 -4.3 -1.2 -5.9 0.6 -10.2 -6.3 -1.6 -10.1 -12.3 -12.7 -7.4 0.9 -6.1 -3.1 -18.7 -11.4 -8.8 -6.2 -16.2 -20.0 -5.5 -1.3 -3.0 -2.8 -0.6 -5.2 -0.3 -8.4 -20.0 -20.0 -7.5 -16.3 -12.8 -0.8 3.8 CRUDE_W -8.4 -12.5 6.4 -3.1 -4.2 0.8 -3.4 3.0 -4.3 -13.4 9.1 -5.7 7.9 -9.2 -2.4 7.5 10.8 10.4 10.9 -2.3 7.4 -7.3 11.0 -7.7 -5.1 -0.8 -4.0 4.4 -2.3 7.3 -3.1 -20.0 5.6 7.3 10.5 8.7 20.0 11.3 20.0 11.8 DAX 20.0 13.2 -14.3 2.8 5.8 -0.4 6.5 -0.3 6.4 19.4 -3.0 20.0 12.3 20.0 8.6 -10.3 -8.4 -10.0 -9.5 16.8 0.1 20.0 1.4 20.0 18.6 3.9 10.1 -0.1 9.9 -0.2 8.7 -5.1 20.0 20.0 8.5 4.6 5.5 3.8 13.4 13.0 DOW 20.0 16.2 -8.4 2.2 4.6 -0.3 5.1 -0.3 5.0 15.3 3.6 17.1 9.2 16.8 8.7 -10.2 -9.2 -10.6 -10.3 17.0 4.5 20.0 1.8 20.0 -10.6 3.5 7.7 0.9 8.0 0.9 7.2 -6.7 19.2 12.6 9.4 2.3 -16.6 -5.7 -20.0 -7.2 DX -20.0 -20.0 9.1 2.5 4.1 0.8 5.1 0.6 4.8 -1.3 6.6 -10.3 -3.1 -11.3 -1.5 6.9 6.1 7.1 6.7 -6.5 2.2 -11.7 4.8 -14.0 -20.0 -2.2 -1.1 0.8 -3.8 2.0 -4.7 15.0 -20.0 -20.0 -20.0 16.2 10.4 6.3 14.0 17.4 EUR 20.0 18.9 -7.8 2.7 4.5 0.9 5.6 0.7 5.2 -10.7 -4.8 8.3 4.3 11.8 4.4 -5.7 -6.7 -6.2 -6.4 7.5 -0.1 5.6 -2.6 12.3 10.5 2.7 -2.3 -0.0 2.0 -0.9 4.5 -7.2 -19.0 -0.8 6.4 -5.5 -14.9 -14.8 -13.5 -5.5 EURIBOR-ICE 8.1 20.0 17.9 0.6 3.5 -1.3 3.0 -2.3 2.3 6.9 2.1 7.1 -4.5 7.7 7.4 -3.7 -6.8 -5.0 -6.3 9.0 4.0 13.4 -2.9 11.4 16.4 2.5 4.7 1.2 3.8 -0.5 3.2 -9.1 7.2 2.1 9.7 13.9 -20.0 -20.0 3.8 20.0 EUROSTX 20.0 12.0 -10.6 2.9 6.0 -0.4 6.6 -0.3 6.6 19.5 -0.4 20.0 14.7 20.0 9.1 -6.3 -3.0 -5.8 -5.0 15.7 3.5 20.0 6.6 20.0 4.2 4.8 7.2 1.1 7.9 1.2 8.3 3.4 1.2 1.6 5.5 10.0 2.8 6.3 7.7 14.9 FEEDCOW -9.7 -20.0 -20.0 -0.8 -2.9 -2.3 -0.6 -3.2 0.3 -6.1 -4.6 -7.1 2.7 -8.5 -8.8 -11.7 -20.0 -12.5 -19.3 -16.3 -7.8 -14.7 1.2 -17.7 -1.4 -3.0 -1.5 -1.1 -1.7 1.2 -2.8 -20.0 -6.8 -20.0 -20.0 -10.5 13.7 0.5 20.0 8.6 GASOIL -9.7 -18.8 3.4 -2.7 -3.7 0.7 -2.9 2.6 -3.7 -11.2 8.4 -8.3 7.4 -11.6 -7.9 11.5 20.0 20.0 20.0 -5.5 5.9 -9.1 12.4 -9.8 8.5 -1.7 -5.9 3.0 -3.4 5.1 -3.6 0.0 0.2 1.0 0.4 7.3 -7.5 -1.0 -12.7 -6.4 GASOLINE 1.0 -13.2 -14.5 -2.9 -3.9 0.7 -3.1 2.8 -4.0 -10.6 3.7 1.0 5.2 -6.7 -10.9 -3.9 20.0 11.1 20.0 -6.8 -0.7 -3.9 7.0 -5.9 -20.0 -2.8 -2.5 0.2 0.2 4.8 -1.4 8.2 13.2 15.8 9.8 -12.6 20.0 11.1 20.0 7.9 GAS_US_mini -20.0 -11.0 10.8 -2.8 -3.8 0.7 -3.0 2.7 -3.8 -14.6 -14.6 -16.4 -17.3 -16.6 -15.8 -20.0 -20.0 -20.0 -20.0 -20.0 -16.4 -20.0 -20.0 -20.0 20.0 -5.0 -3.4 -2.5 -6.5 -1.8 -7.2 -20.0 -20.0 -20.0 -5.0 -15.7 -14.3 6.5 -20.0 2.4 GBP 20.0 14.2 -12.2 2.8 4.6 0.9 5.6 0.7 5.3 11.7 -4.9 13.9 6.4 13.7 3.0 -0.7 -0.8 -0.7 -0.6 7.5 0.2 16.5 -0.6 16.2 0.9 2.6 3.7 -0.1 5.7 -0.7 5.7 2.9 3.7 3.6 5.5 -6.2 -9.9 3.2 -6.1 20.0 GOLD_micro 10.7 20.0 0.3 2.7 5.4 0.1 6.2 -0.2 5.7 16.2 0.4 17.5 4.7 17.6 15.1 -15.1 -14.9 -16.1 -16.0 16.3 5.9 20.0 1.6 20.0 -7.3 4.4 8.5 1.7 8.5 0.8 7.1 -16.5 20.0 6.8 20.0 8.2 -13.0 -20.0 -12.5 -20.0 HEATOIL -7.0 -20.0 0.1 -2.7 -3.6 0.7 -2.9 2.6 -3.7 -11.0 6.9 -7.8 6.0 -9.9 -8.0 17.7 20.0 20.0 20.0 -5.6 4.0 -8.2 9.7 -9.0 -18.8 -2.0 -4.2 2.4 -2.1 5.7 -2.9 3.3 8.0 3.4 3.8 0.7 11.0 -1.4 6.2 -6.9 JGB-SGX-mini 20.0 12.1 -11.2 0.6 3.4 -1.2 2.9 -2.2 2.3 6.8 -2.0 7.2 1.7 6.6 3.2 16.5 19.4 16.7 16.8 3.9 -0.7 13.7 -0.8 10.4 -2.1 0.9 4.2 -0.6 4.1 -0.8 3.0 20.0 8.7 12.8 -0.4 1.4 4.1 -20.0 15.8 17.9 JPY 17.2 19.0 -2.4 2.3 3.7 0.7 4.6 0.5 4.3 8.6 -11.8 9.4 -12.1 5.4 -7.6 -17.2 -16.2 -18.1 -17.5 -4.8 -13.2 8.6 -18.3 3.7 20.0 -2.6 4.7 -6.1 4.2 -7.7 1.5 -20.0 1.0 -13.2 -15.3 -15.8 -5.0 -20.0 1.5 -20.0 LEANHOG -7.6 -3.7 2.1 -0.9 -3.4 -2.8 -0.7 -3.8 0.4 -2.1 -1.1 -5.0 -6.2 -5.2 -6.5 -19.0 15.7 2.2 17.3 -7.8 -7.2 -9.3 -9.1 -10.1 11.9 -2.6 0.3 -4.0 -2.0 -6.7 -2.7 20.0 -8.9 -10.2 -7.3 -4.1 -11.5 -5.2 7.1 14.2 LIVECOW -16.6 -20.0 -20.0 -0.9 -3.3 -2.7 -0.7 -3.7 0.3 -7.5 -2.6 -9.1 4.8 -10.1 -9.7 -6.1 -4.9 -11.4 -8.3 -15.7 -6.4 -14.6 2.6 -18.1 0.0 -3.3 -1.7 -0.8 -1.8 1.9 -3.2 -8.1 -3.4 -20.0 -20.0 -9.3 -1.0 -13.6 3.8 -6.0 LUMBER-new 13.0 14.8 -1.7 -2.1 -7.5 -5.8 -1.6 -6.8 0.8 -20.0 -12.7 -2.9 -20.0 17.8 9.5 -13.1 -14.6 -15.0 -14.9 9.7 -4.5 -2.6 -13.1 12.6 NaN 3.5 -8.7 -0.8 -4.1 -3.1 3.0 -20.0 -16.6 12.1 17.1 9.7 -15.5 -20.0 -9.0 -17.3 MILK -15.1 -13.4 -9.4 -1.3 -4.8 -3.9 -1.1 -5.3 0.5 -13.6 -12.3 -16.6 -14.2 -16.9 -15.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 6.8 -5.8 -3.8 -5.4 -7.0 -6.9 -7.5 -20.0 -20.0 -20.0 -19.2 -7.1 -20.0 -20.0 -20.0 -20.0 MXP 18.9 9.7 -17.6 3.1 5.2 1.0 6.4 0.8 6.0 0.2 10.1 11.7 14.2 14.3 8.3 13.3 16.1 13.8 14.7 11.0 8.4 7.5 14.8 14.5 -20.0 3.6 -0.0 2.9 2.3 5.2 4.7 20.0 -16.8 -8.3 3.1 3.5 8.9 13.5 18.0 20.0 NASDAQ_micro 20.0 9.6 -3.3 1.8 3.7 -0.2 4.2 -0.2 4.1 -0.5 9.6 11.9 10.4 13.2 9.5 -10.1 -8.9 -10.0 -9.7 15.3 11.3 12.4 12.8 19.9 -20.0 3.4 0.8 2.7 3.2 3.8 4.8 -5.9 -6.6 6.6 6.5 9.4 7.1 -9.7 7.3 -12.3 NIKKEI 19.4 8.5 -6.8 2.5 5.1 -0.3 5.7 -0.3 5.6 -1.3 15.7 12.0 15.6 16.1 14.1 8.2 9.8 7.0 8.4 15.7 13.9 9.2 17.6 17.5 -11.7 4.6 0.5 4.5 2.8 6.4 5.3 20.0 -19.5 -13.0 3.8 16.5 -7.8 1.0 -4.9 7.2 NZD 20.0 12.2 1.7 2.4 3.9 0.8 4.8 0.6 4.5 11.5 -5.5 12.8 -1.8 11.9 5.1 0.1 0.2 0.0 0.1 7.1 -0.8 18.3 -4.9 15.1 1.0 2.8 6.1 0.1 6.6 -1.2 5.6 4.3 10.7 2.9 -1.2 1.3 -2.9 -13.6 1.4 7.3 OAT 19.8 17.8 2.7 0.8 4.3 -1.6 3.7 -2.8 2.9 8.3 -2.0 9.2 -7.5 9.5 4.7 5.1 7.4 5.6 6.2 6.1 -0.8 13.9 -7.0 11.7 8.3 2.2 5.5 -0.0 4.9 -1.7 4.1 14.3 5.0 4.4 5.9 6.6 -20.0 -20.0 -7.9 9.1 OATIES 12.4 -20.0 -20.0 -0.7 -2.7 -2.1 -0.6 -2.9 0.3 3.3 -4.0 1.1 -3.4 -5.5 -8.0 -14.5 -9.9 -17.1 -15.7 -11.5 -7.7 0.2 -1.9 -6.8 -20.0 -2.7 1.5 -1.8 -0.0 -0.5 -1.8 -20.0 13.0 -14.1 -20.0 -10.9 5.6 11.0 20.0 20.0 OJ 13.6 -20.0 14.5 -1.5 -5.6 -4.5 -1.2 -6.2 0.6 -15.6 19.0 10.2 20.0 12.7 17.1 20.0 20.0 20.0 20.0 20.0 20.0 7.3 20.0 20.0 -20.0 7.4 -1.9 8.8 2.3 9.8 5.4 20.0 3.3 20.0 20.0 20.0 7.6 9.8 20.0 20.0 PALLAD -0.6 -5.2 -2.0 1.5 3.0 0.1 3.5 -0.1 3.2 -9.2 -10.0 -2.4 -11.0 -4.3 -7.1 -2.2 -2.6 -2.4 -2.6 -12.6 -15.7 -9.2 -20.0 -9.5 5.4 -3.7 -3.2 -3.4 -3.0 -3.1 -3.4 5.7 -20.0 -20.0 -20.0 -15.4 -2.4 -7.8 8.8 -2.0 PLAT 10.7 10.8 -2.6 1.7 3.4 0.1 3.9 -0.1 3.6 2.8 -8.1 9.5 -5.5 8.5 -0.4 -3.2 -2.8 -3.4 -3.3 1.3 -3.5 6.9 -4.8 6.1 12.4 0.9 1.3 -0.5 2.9 -0.9 2.6 5.0 -0.7 -8.9 -3.7 3.8 -3.8 -13.2 10.6 -8.4 REDWHEAT 3.1 -5.7 -20.0 -1.5 -5.5 -4.4 -1.2 -6.0 0.6 16.3 -19.0 1.7 -19.2 -9.6 -17.0 -4.9 -1.2 -5.3 -3.6 -20.0 -20.0 2.2 -20.0 -13.5 -16.2 -6.5 6.5 -7.0 1.9 -5.3 -3.2 -2.2 20.0 -12.6 -20.0 -20.0 -20.0 -20.0 -20.0 -14.2 RICE 20.0 10.9 6.7 -1.8 -6.4 -5.2 -1.4 -7.1 0.7 -9.6 16.2 17.8 10.7 18.7 15.4 -15.4 3.3 -14.7 -4.9 20.0 15.6 18.2 9.6 20.0 -20.0 5.9 -2.0 3.6 2.9 2.0 6.7 3.0 -10.0 20.0 20.0 20.0 -0.6 -16.5 16.0 -5.1 ROBUSTA 17.3 8.4 -9.0 -1.2 -4.3 -3.5 -0.9 -4.8 0.5 10.7 11.8 13.3 12.5 13.2 10.8 20.0 20.0 20.0 20.0 12.6 10.8 16.5 13.7 16.3 -19.1 4.4 5.2 3.7 5.5 4.6 5.5 20.0 19.5 20.0 20.0 13.7 -8.1 -13.1 7.4 0.8 RUSSELL 20.0 6.8 -13.7 1.4 2.9 -0.2 3.3 -0.2 3.2 9.1 -5.1 10.4 -5.3 9.7 -2.2 -5.8 -6.3 -6.6 -6.8 0.7 -4.4 10.4 -4.8 8.1 -1.6 0.2 3.7 -1.3 3.4 -1.0 2.8 -1.1 -3.4 -5.2 -7.7 -8.0 -15.4 -13.6 -20.0 -20.0 SHATZ 8.6 15.5 12.9 0.7 3.6 -1.3 3.1 -2.4 2.4 7.4 -5.9 6.2 -7.9 5.0 0.3 -20.0 -16.6 -20.0 -20.0 1.6 -2.9 12.9 -8.5 6.2 9.8 0.9 10.8 -0.9 6.6 -2.9 3.1 -20.0 11.5 -4.6 -2.0 4.3 -11.4 -20.0 -5.1 -20.0 SILVER-mini 20.0 15.6 -5.0 2.8 5.5 0.1 6.3 -0.2 5.8 17.5 -2.1 19.3 3.4 18.9 9.0 -7.3 -6.6 -7.4 -7.1 14.8 2.3 20.0 -0.8 20.0 8.2 4.5 8.6 1.6 10.2 0.8 8.6 -1.6 9.8 16.3 11.5 7.6 -18.4 -20.0 -1.7 -20.0 SMI 20.0 -4.4 -12.5 2.5 5.3 -0.3 5.9 -0.3 5.8 15.3 -8.6 16.3 -0.2 6.2 -2.8 5.3 2.6 4.1 2.7 -2.2 -9.9 14.7 -7.8 10.6 7.6 -0.2 5.7 -2.9 5.8 -3.0 4.3 14.4 -0.6 -16.3 -20.0 -0.5 -6.3 -8.5 -1.2 -5.3 SOFR 20.0 18.7 -1.2 0.6 3.3 -1.2 2.9 -2.2 2.2 6.4 -3.6 7.3 -4.2 7.5 2.8 0.8 -0.5 0.1 -0.4 3.8 -2.1 9.9 -4.8 9.0 -1.4 1.3 2.6 -0.7 3.6 -1.5 3.3 1.7 4.7 3.9 1.1 2.0 -20.0 -20.0 -6.0 -8.7 SOYBEAN 2.1 6.0 0.5 -1.5 -5.6 -4.5 -1.2 -6.1 0.6 -11.8 8.9 -8.5 6.3 7.3 -2.1 18.4 18.1 16.5 15.8 4.7 3.9 -3.6 2.1 2.4 -20.0 5.4 -0.7 3.3 3.7 1.9 6.2 20.0 20.0 12.9 18.1 15.4 -20.0 -15.5 -20.0 -9.5 SOYMEAL -6.1 20.0 4.5 -0.9 -3.3 -2.7 -0.7 -3.7 0.4 -10.6 4.0 -8.0 3.8 4.6 6.1 20.0 18.2 17.7 17.2 7.3 5.9 -9.9 4.0 0.8 -20.0 2.9 -3.9 2.5 -2.0 2.2 1.1 20.0 -12.2 0.8 20.0 16.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 20.0 -12.9 -20.0 -0.9 -3.2 -2.5 -0.7 -3.5 0.3 -1.2 -2.2 4.2 -3.4 -1.6 -8.0 3.5 10.2 7.0 8.7 -7.6 -7.9 1.9 -4.3 -1.1 -20.0 -1.2 0.7 -2.0 3.0 -1.2 1.8 17.7 20.0 14.8 -8.1 -9.8 -7.9 1.8 7.6 14.8 SP400 20.0 5.5 -16.6 1.6 3.3 -0.2 3.7 -0.2 3.7 10.4 -3.9 11.8 -1.2 11.3 -0.6 -5.8 -5.2 -5.6 -5.5 2.7 -3.5 13.9 -3.3 11.7 -8.9 0.9 4.8 -0.9 4.5 -0.5 3.8 1.1 0.1 -2.8 -5.2 -5.6 -10.9 -11.7 -16.2 -20.0 SP500_micro 20.0 11.1 -9.7 2.2 4.6 -0.3 5.1 -0.3 5.0 15.0 5.3 17.0 9.1 16.8 9.9 -10.8 -10.0 -11.0 -10.9 15.6 6.6 20.0 6.5 20.0 -19.4 3.3 3.2 1.6 5.1 2.2 6.0 -7.8 -1.5 8.5 6.6 3.3 1.1 -9.1 3.2 -12.9 SUGAR11 -14.9 -9.3 0.2 -1.5 -5.6 -4.5 -1.2 -6.2 0.6 -17.6 16.8 -16.9 18.6 -3.2 13.0 20.0 20.0 20.0 20.0 4.0 14.9 -20.0 20.0 -9.2 -20.0 1.6 -20.0 7.4 -12.7 13.8 -4.9 20.0 -20.0 -20.0 3.9 20.0 -11.0 -16.4 11.7 4.6 US10 20.0 19.0 1.5 0.6 3.2 -1.1 2.7 -2.1 2.1 5.9 -4.9 6.8 -6.1 6.8 0.5 -6.6 -7.0 -6.7 -7.3 1.6 -4.5 8.3 -7.9 7.0 1.2 0.7 2.6 -1.5 3.3 -2.4 2.9 -10.1 3.6 3.2 -0.8 -1.0 -20.0 -20.0 -4.6 2.5 US10U 20.0 17.3 -2.3 0.8 4.1 -1.5 3.5 -2.7 2.8 7.6 -6.4 8.9 -7.9 8.9 -0.3 2.2 -0.2 0.9 0.1 1.4 -6.7 10.5 -10.7 8.8 -1.9 0.6 3.2 -2.2 4.1 -3.3 3.5 2.2 4.1 4.0 -1.8 -3.0 -20.0 -20.0 3.4 14.7 US2 16.6 20.0 18.9 0.6 3.3 -1.2 2.8 -2.1 2.2 6.6 -6.5 6.7 -7.3 6.3 1.1 -20.0 -20.0 -20.0 -20.0 1.8 -4.7 10.6 -10.5 7.0 7.6 1.4 4.9 -1.1 4.9 -3.2 3.7 -20.0 8.7 1.2 0.4 4.3 -15.2 -20.0 -7.0 -20.0 US20 20.0 16.7 -4.8 0.6 3.1 -1.1 2.6 -2.0 2.1 5.6 -4.5 6.6 -5.6 6.5 -0.3 -0.4 -1.5 -0.9 -1.4 0.8 -5.7 7.5 -8.6 6.7 -1.7 0.2 2.1 -1.8 2.7 -2.5 2.4 -0.4 3.1 4.1 -0.9 -4.3 -11.5 -20.0 13.0 20.0 US30 20.0 15.2 -3.4 0.6 3.3 -1.2 2.8 -2.2 2.2 6.1 -5.0 7.2 -6.3 7.0 -0.7 -4.2 -4.1 -4.7 -4.8 0.6 -6.0 8.1 -9.3 6.9 -1.3 0.2 2.3 -2.0 3.1 -2.8 2.6 -5.1 2.9 3.6 -2.1 -3.7 -6.3 -20.0 19.9 20.0 US5 20.0 20.0 6.4 0.6 3.3 -1.2 2.8 -2.1 2.2 6.2 -5.3 7.0 -6.3 7.0 1.2 -9.4 -10.4 -10.6 -11.2 2.2 -3.8 9.4 -7.8 7.5 3.1 1.1 3.4 -1.1 3.9 -2.4 3.3 -16.4 5.0 2.5 0.1 1.5 -20.0 -20.0 -15.8 -15.9 VIX -19.7 -10.0 10.8 -3.8 -1.4 -4.2 -2.8 -6.1 -4.2 -12.7 -15.3 -15.0 -15.7 -15.8 -13.8 -20.0 -20.0 -20.0 -20.0 -17.4 -16.9 -14.1 -20.0 -19.8 NaN -4.5 -1.7 -4.6 -3.7 -7.0 -5.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -1.6 3.5 -17.6 -1.6 -5.8 -4.7 -1.3 -6.4 0.6 17.3 -19.5 -0.5 -20.0 -5.1 -16.9 -13.5 -10.9 -12.9 -12.1 -15.1 -20.0 3.7 -20.0 -7.6 -4.2 -5.5 11.6 -7.5 4.5 -8.4 -2.0 -18.2 20.0 -8.7 -8.3 -16.6 -20.0 -20.0 -20.0 -18.0 End of report for caleb_strategy_v3