******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231204_204334 produced at 2023-12-04 21:39:57.173559 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.25 0.0 0.10 -0.10 -0.10 -0.09 -41.81 17.0 -17 -16 caleb_strategy_v3 LIVECOW False False 0.02 -0.07 -0.07 0.0 0.41 -0.41 -0.07 -0.10 -2.97 17.0 -3 -4 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.07 0.0 0.06 -0.06 -0.05 -0.05 -29.50 26.0 -19 -21 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.06 0.0 0.11 -0.11 -0.05 -0.05 -6.46 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 -4.96 5.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 -0.06 0.0 0.77 -0.77 0.00 0.00 -2.11 29.0 0 0 caleb_strategy_v3 CHF False True 0.05 -0.10 -0.06 0.0 0.00 -0.10 -0.10 -0.10 -1.19 13.0 -2 -2 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -0.73 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -0.82 13.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.32 24.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.19 -0.19 -0.02 -0.02 -13.56 51.0 -6 -6 caleb_strategy_v3 COTTON2 False False 0.01 -0.07 -0.05 0.0 0.16 -0.16 -0.07 -0.07 -3.73 11.0 -5 -5 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.05 0.0 0.31 -0.31 0.00 0.00 -1.32 8.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 -0.04 0.0 999.00 -999.00 0.00 0.00 -1.05 999999999.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.06 -0.04 0.0 0.53 -0.53 -0.06 -0.06 -1.24 17.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 -0.04 -0.03 0.0 0.09 -0.09 -0.04 -0.04 -2.23 8.0 -3 -3 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.03 0.0 0.02 -0.02 0.00 0.00 -5.07 3.0 0 0 caleb_strategy_v3 SP400 False True 0.10 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.32 2.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.12 -0.03 0.0 0.97 -0.97 -0.12 -0.12 -0.77 25.0 -3 -3 caleb_strategy_v3 RUSSELL False True 0.00 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -7.65 68.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.11 -0.11 -0.04 -0.04 -2.43 9.0 -3 -3 caleb_strategy_v3 PALLAD False False 0.04 -0.07 -0.02 0.0 0.07 -0.07 -0.07 -0.07 -0.64 2.0 -2 -2 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.42 2.0 0 0 caleb_strategy_v3 SP500_micro False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -1.96 48.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.01 0.0 0.26 -0.26 0.00 -0.02 -0.79 23.0 0 -2 caleb_strategy_v3 US10 False False 0.04 0.00 -0.01 0.0 0.68 -0.68 0.00 -0.08 -0.27 17.0 0 -2 caleb_strategy_v3 HEATOIL False False 0.04 -0.04 -0.01 0.0 0.12 -0.12 -0.04 -0.04 -0.22 3.0 -1 -1 caleb_strategy_v3 COPPER False False 0.03 0.14 -0.01 0.0 0.21 -0.21 0.14 0.07 -0.20 6.0 4 2 caleb_strategy_v3 GOLD_micro False False 0.01 -0.08 -0.01 0.0 0.42 -0.42 -0.08 -0.08 -1.19 56.0 -10 -10 caleb_strategy_v3 US20 False False 0.04 0.00 0.00 0.0 0.38 -0.38 0.00 0.00 0.07 9.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.12 0.00 0.0 0.54 -0.54 -0.12 -0.04 0.01 13.0 -3 -1 caleb_strategy_v3 SOYBEAN False False 0.02 0.00 -0.00 0.0 0.16 -0.16 0.00 0.00 -0.07 7.0 0 0 caleb_strategy_v3 DOW False False 0.01 -0.01 0.00 0.0 0.43 -0.43 -0.01 0.11 0.71 66.0 -1 17 caleb_strategy_v3 BUXL False False 0.05 0.05 0.00 0.0 0.21 -0.21 0.05 0.05 0.06 4.0 1 1 caleb_strategy_v3 COFFEE False False 0.02 0.02 0.00 0.0 0.15 -0.15 0.02 0.02 0.01 6.0 1 1 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.00 0.0 0.18 -0.18 -0.01 -0.01 -0.28 18.0 -1 -1 caleb_strategy_v3 GASOLINE False False 0.03 0.03 0.00 0.0 0.13 -0.13 0.03 0.03 0.12 4.0 1 1 caleb_strategy_v3 US30 False False 0.04 0.13 0.00 0.0 0.27 -0.27 0.13 0.13 0.03 6.0 3 3 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.00 0.0 0.11 -0.11 -0.02 -0.02 -0.30 10.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 -0.06 -0.00 0.0 0.13 -0.13 -0.06 -0.07 -0.25 9.0 -4 -5 caleb_strategy_v3 EUR False False 0.05 0.10 -0.00 0.0 0.68 -0.68 0.10 0.05 -0.08 14.0 2 1 caleb_strategy_v3 LEANHOG False False 0.01 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.43 13.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.01 0.0 0.52 -0.52 0.00 0.00 0.19 10.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.02 0.01 0.0 0.17 -0.17 0.02 0.03 0.59 10.0 1 2 caleb_strategy_v3 BOBL False False 0.05 0.00 0.01 0.0 0.88 -0.88 0.00 0.00 0.22 19.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.0 0.21 -0.21 0.02 0.02 1.49 23.0 2 2 caleb_strategy_v3 AUD False True 0.02 0.14 0.01 0.0 0.14 0.00 0.14 0.12 0.43 19.0 6 5 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 0.01 0.0 0.05 -0.05 0.00 0.00 0.59 4.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.40 9.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.03 0.0 0.00 -0.00 0.00 0.00 1.13 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 1.62 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 1.35 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 1.35 12.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.07 0.04 0.0 0.39 -0.39 0.07 0.07 2.55 26.0 5 5 caleb_strategy_v3 GBP False False 0.03 0.00 0.04 0.0 0.63 -0.63 0.00 0.06 1.28 22.0 0 2 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.05 0.0 0.13 -0.13 0.05 0.05 1.96 5.0 2 2 caleb_strategy_v3 BTP False False 0.05 0.18 0.06 0.0 0.45 -0.45 0.18 0.27 1.27 10.0 4 6 caleb_strategy_v3 BITCOIN False False 0.00 0.06 0.07 0.0 0.09 -0.09 0.06 0.06 48.35 59.0 36 36 caleb_strategy_v3 EUROSTX False True 0.02 0.05 0.09 0.0 0.05 0.00 0.05 0.05 5.00 20.0 3 3 caleb_strategy_v3 OAT False False 0.05 0.00 0.09 0.0 0.50 -0.50 0.00 0.00 1.85 10.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.26 0.12 0.0 0.29 -0.29 0.26 0.24 14.90 36.0 32 29 caleb_strategy_v3 DAX False True 0.01 0.00 0.13 0.0 0.00 0.00 0.00 0.00 20.64 58.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.39 0.20 0.0 0.62 -0.62 0.39 0.39 19.71 60.0 38 38 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.47 0.78 0.0 0.57 -0.57 0.47 0.47 21.72 16.0 13 13 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.38 0.86 0.0 0.96 -0.96 0.38 0.19 8.99 10.0 4 2 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 18.0 Shocked risk 45.2 Sum abs risk 50.2 Leverage 4.10 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2770635.49, 'annual_cash_vol_target': 692658.8725, 'daily_cash_vol_target': 43291.17953125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0046 0.6620 0.6971 11.1542 BITCOIN 1039.1586 42370.0000 2.4526 39.2413 BOBL 0.2883 117.6800 0.2450 3.9201 BTP 0.6370 115.2500 0.5527 8.8438 BUND 0.5531 133.8300 0.4133 6.6125 BUXL 1.2651 133.0800 0.9506 15.2103 CAC 49.0827 7353.5000 0.6675 10.6796 CAD 0.0030 0.7396 0.4018 6.4288 CANOLA 8.0061 683.9000 1.1706 18.7303 CHF 0.0050 1.1470 0.4345 6.9527 COCOA 46.0060 4141.0000 1.1110 17.7758 COFFEE 3.6178 180.5000 2.0043 32.0694 COPPER 0.0411 3.8300 1.0742 17.1874 CORN 4.5618 513.5000 0.8884 14.2139 COTTON2 0.9942 78.6300 1.2644 20.2306 CRUDE_W 1.1638 72.4300 1.6068 25.7084 DAX 105.3170 16451.0000 0.6402 10.2430 DOW 214.1313 36231.0000 0.5910 9.4563 DX 0.4745 103.2850 0.4594 7.3501 EUR 0.0055 1.0836 0.5092 8.1478 EURIBOR-ICE 0.0556 97.6750 0.0569 0.9109 EUROSTX 32.4177 4430.0000 0.7318 11.7084 FEEDCOW 2.6956 216.7250 1.2438 19.9009 GASOIL 12.9230 760.0000 1.7004 27.2062 GASOLINE 0.0422 2.1580 1.9564 31.3031 GAS_US_mini 0.0940 2.6650 3.5272 56.4351 GBP 0.0076 1.2632 0.5991 9.5863 GOLD_micro 14.2717 2091.9000 0.6822 10.9158 HEATOIL 0.0456 2.5969 1.7568 28.1089 JGB-SGX-mini 0.3040 145.6000 0.2088 3.3407 JPY 0.0000 0.0069 0.6252 10.0033 LEANHOG 1.2763 70.7250 1.8046 28.8730 LIVECOW 1.6819 166.8500 1.0080 16.1286 LUMBER-new 7.4238 540.0000 1.3748 21.9964 MILK 0.1871 16.8100 1.1130 17.8079 MXP 0.0005 0.0570 0.8184 13.0945 NASDAQ_micro 129.0537 15816.7500 0.8159 13.0549 NIKKEI 291.4396 32950.0000 0.8845 14.1518 NZD 0.0044 0.6165 0.7091 11.3450 OAT 0.5625 127.8000 0.4402 7.0426 OATIES 7.4447 391.0000 1.9040 30.4644 OJ 6.0799 381.1000 1.5954 25.5259 PALLAD 20.3029 980.0000 2.0717 33.1477 PLAT 14.5884 924.2000 1.5785 25.2558 REDWHEAT 10.2972 655.7500 1.5703 25.1248 RICE 0.1602 17.1600 0.9337 14.9391 ROBUSTA 35.0071 2509.0000 1.3953 22.3241 RUSSELL 22.9310 1881.6000 1.2187 19.4991 SHATZ 0.0988 106.0600 0.0932 1.4906 SILVER-mini 0.3118 25.8750 1.2051 19.2815 SMI 68.6286 10971.0000 0.6255 10.0087 SOFR 0.0842 96.4650 0.0872 1.3959 SOYBEAN 10.7958 1273.5000 0.8477 13.5636 SOYMEAL 5.6402 399.6000 1.4115 22.5834 SOYOIL 0.7773 51.1500 1.5196 24.3131 SP400 25.3451 2645.9000 0.9579 15.3264 SP500_micro 29.4455 4569.0000 0.6445 10.3114 SUGAR11 0.3585 24.7400 1.4489 23.1824 US10 0.5192 110.2344 0.4710 7.5365 US10U 0.7002 114.1094 0.6136 9.8173 US2 0.1360 102.3516 0.1329 2.1256 US20 1.0002 117.6562 0.8501 13.6011 US30 1.4669 124.5938 1.1774 18.8377 US5 0.3389 107.1328 0.3164 5.0617 VIX 0.5112 16.4500 3.1075 49.7197 WHEAT 8.8188 668.2500 1.3197 21.1149 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 662.00 0.70 461.50 1.00 461.50 43291.18 93.80 1.78 16.67 BITCOIN 42.37 2.45 103.92 1.00 103.92 43291.18 416.60 10.72 446.45 BOBL 1176.80 0.25 288.33 1.09 314.52 43291.18 137.64 1.59 21.83 BTP 1152.50 0.55 637.03 1.09 694.90 43291.18 62.30 5.99 37.30 BUND 1338.30 0.41 553.10 1.09 603.35 43291.18 71.75 2.58 18.51 BUXL 1330.80 0.95 1265.12 1.09 1380.05 43291.18 31.37 1.95 6.10 CAC 735.35 0.67 490.83 1.09 535.42 43291.18 80.85 4.90 39.61 CAD 739.60 0.40 297.17 1.00 297.17 43291.18 145.68 -5.57 -81.19 CANOLA 136.78 1.17 160.12 0.74 118.23 43291.18 366.16 -15.22 -557.17 CHF 1433.75 0.43 623.03 1.00 623.03 43291.18 69.48 -6.61 -45.96 COCOA 414.10 1.11 460.06 1.00 460.06 43291.18 94.10 12.64 118.95 COFFEE 676.88 2.00 1356.69 1.00 1356.69 43291.18 31.91 0.17 0.53 COPPER 957.50 1.07 1028.56 1.00 1028.56 43291.18 42.09 -0.44 -1.84 CORN 256.75 0.89 228.09 1.00 228.09 43291.18 189.80 -13.99 -265.46 COTTON2 393.15 1.26 497.10 1.00 497.10 43291.18 87.09 -20.00 -174.17 CRUDE_W 724.30 1.61 1163.79 1.00 1163.79 43291.18 37.20 4.85 18.06 DAX 164.51 0.64 105.32 1.09 114.89 43291.18 376.82 16.06 605.05 DOW 181.16 0.59 107.07 1.00 107.07 43291.18 404.34 0.76 30.55 DX 1032.85 0.46 474.47 1.00 474.47 43291.18 91.24 -4.45 -40.63 EUR 1354.44 0.51 689.73 1.00 689.73 43291.18 62.77 -0.48 -2.99 EURIBOR-ICE 2441.88 0.06 139.02 1.09 151.65 43291.18 285.47 9.24 263.66 EUROSTX 443.00 0.73 324.18 1.09 353.63 43291.18 122.42 11.98 146.69 FEEDCOW 1083.62 1.24 1347.82 1.00 1347.82 43291.18 32.12 -12.38 -39.76 GASOIL 760.00 1.70 1292.30 1.00 1292.30 43291.18 33.50 3.02 10.11 GASOLINE 906.36 1.96 1773.24 1.00 1773.24 43291.18 24.41 1.14 2.80 GAS_US_mini 66.62 3.53 235.00 1.00 235.00 43291.18 184.22 -14.79 -272.44 GBP 789.50 0.60 473.03 1.00 473.03 43291.18 91.52 5.39 49.35 GOLD_micro 209.19 0.68 142.72 1.00 142.72 43291.18 303.34 -1.15 -34.85 HEATOIL 1090.70 1.76 1916.15 1.00 1916.15 43291.18 22.59 -2.20 -4.96 JGB-SGX-mini 145600.00 0.21 30400.11 0.01 205.21 43291.18 210.96 9.51 200.60 JPY 863.12 0.63 539.63 1.00 539.63 43291.18 80.22 -5.95 -47.77 LEANHOG 282.90 1.80 510.51 1.00 510.51 43291.18 84.80 0.84 7.11 LIVECOW 667.40 1.01 672.77 1.00 672.77 43291.18 64.35 -13.91 -89.51 LUMBER-new 148.50 1.37 204.15 1.00 204.15 43291.18 212.05 -11.20 -237.48 MILK 336.20 1.11 374.19 1.00 374.19 43291.18 115.69 -20.00 -231.39 MXP 285.25 0.82 233.45 1.00 233.45 43291.18 185.44 7.24 134.30 NASDAQ_micro 316.33 0.82 258.11 1.00 258.11 43291.18 167.73 -2.02 -33.83 NIKKEI 32950.00 0.88 29143.96 0.01 196.73 43291.18 220.05 6.25 137.59 NZD 616.50 0.71 437.14 1.00 437.14 43291.18 99.03 5.26 52.13 OAT 1278.00 0.44 562.53 1.09 613.64 43291.18 70.55 7.70 54.36 OATIES 195.50 1.90 372.24 1.00 372.24 43291.18 116.30 -12.08 -140.45 OJ 571.65 1.60 911.99 1.00 911.99 43291.18 47.47 15.92 75.59 PALLAD 980.00 2.07 2030.29 1.00 2030.29 43291.18 21.32 -8.77 -18.71 PLAT 462.10 1.58 729.42 1.00 729.42 43291.18 59.35 2.93 17.41 REDWHEAT 327.88 1.57 514.86 1.00 514.86 43291.18 84.08 -20.00 -168.17 RICE 343.20 0.93 320.44 1.00 320.44 43291.18 135.10 1.81 24.40 ROBUSTA 250.90 1.40 350.07 1.00 350.07 43291.18 123.66 10.30 127.32 RUSSELL 94.08 1.22 114.65 1.00 114.65 43291.18 377.58 -6.12 -230.92 SHATZ 1060.60 0.09 98.81 1.09 107.79 43291.18 401.64 -3.23 -129.72 SILVER-mini 646.88 1.21 779.55 1.00 779.55 43291.18 55.53 5.94 33.01 SMI 1097.10 0.63 686.29 1.14 785.04 43291.18 55.14 2.15 11.87 SOFR 2411.62 0.09 210.41 1.00 210.41 43291.18 205.75 -0.58 -12.00 SOYBEAN 636.75 0.85 539.79 1.00 539.79 43291.18 80.20 -0.98 -7.87 SOYMEAL 399.60 1.41 564.02 1.00 564.02 43291.18 76.75 -3.56 -27.29 SOYOIL 306.90 1.52 466.36 1.00 466.36 43291.18 92.83 -3.44 -31.94 SP400 2645.90 0.96 2534.51 1.00 2534.51 43291.18 17.08 -5.64 -9.63 SP500_micro 228.45 0.64 147.23 1.00 147.23 43291.18 294.04 -2.86 -84.19 SUGAR11 277.09 1.45 401.47 1.00 401.47 43291.18 107.83 -1.21 -13.09 US10 1102.34 0.47 519.24 1.00 519.24 43291.18 83.37 -2.56 -21.31 US10U 1141.09 0.61 700.16 1.00 700.16 43291.18 61.83 0.09 0.58 US2 2047.03 0.13 271.95 1.00 271.95 43291.18 159.19 -4.07 -64.76 US20 1176.56 0.85 1000.16 1.00 1000.16 43291.18 43.28 1.21 5.26 US30 1245.94 1.18 1466.91 1.00 1466.91 43291.18 29.51 0.83 2.44 US5 1071.33 0.32 338.92 1.00 338.92 43291.18 127.73 -4.73 -60.38 VIX 164.50 3.11 511.18 1.00 511.18 43291.18 84.69 -20.00 -169.38 WHEAT 334.12 1.32 440.94 1.00 440.94 43291.18 98.18 -18.69 -183.46 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 16.668 0.010 2.5 0.432 BITCOIN 446.450 0.043 2.5 48.346 BOBL 21.833 0.004 2.5 0.221 BTP 37.302 0.014 2.5 1.272 BUND 18.508 0.004 2.5 0.188 BUXL 6.103 0.004 2.5 0.062 CAC 39.614 0.014 2.5 1.351 CAD -81.189 0.010 2.5 -2.107 CANOLA -557.174 0.010 2.5 -13.556 CHF -45.960 0.010 2.5 -1.193 COCOA 118.954 0.009 2.5 2.548 COFFEE 0.535 0.005 2.5 0.006 COPPER -1.840 0.043 2.5 -0.199 CORN -265.462 0.010 2.5 -6.459 COTTON2 -174.173 0.009 2.5 -3.730 CRUDE_W 18.057 0.043 2.5 1.955 DAX 605.054 0.014 2.5 20.638 DOW 30.549 0.009 2.5 0.710 DX -40.633 0.010 2.5 -1.054 EUR -2.992 0.010 2.5 -0.078 EURIBOR-ICE 263.658 0.014 2.5 8.993 EUROSTX 146.689 0.014 2.5 5.003 FEEDCOW -39.764 0.013 2.5 -1.318 GASOIL 10.107 0.017 2.5 0.438 GASOLINE 2.795 0.017 2.5 0.121 GAS_US_mini -272.438 0.043 2.5 -29.502 GBP 49.352 0.010 2.5 1.281 GOLD_micro -34.849 0.014 2.5 -1.189 HEATOIL -4.961 0.017 2.5 -0.215 JGB-SGX-mini 200.602 0.043 2.5 21.723 JPY -47.770 0.010 2.5 -1.239 LEANHOG 7.109 0.024 2.5 0.432 LIVECOW -89.506 0.013 2.5 -2.966 LUMBER-new -237.484 0.009 2.5 -5.066 MILK -231.387 0.009 2.5 -4.956 MXP 134.304 0.059 2.5 19.713 NASDAQ_micro -33.829 0.009 2.5 -0.786 NIKKEI 137.588 0.043 2.5 14.899 NZD 52.128 0.010 2.5 1.353 OAT 54.357 0.014 2.5 1.854 OATIES -140.452 0.010 2.5 -3.417 OJ 75.589 0.009 2.5 1.619 PALLAD -18.707 0.014 2.5 -0.638 PLAT 17.410 0.014 2.5 0.594 REDWHEAT -168.166 0.005 2.5 -2.231 RICE 24.402 0.010 2.5 0.594 ROBUSTA 127.323 0.005 2.5 1.487 RUSSELL -230.919 0.013 2.5 -7.652 SHATZ -129.718 0.004 2.5 -1.315 SILVER-mini 33.013 0.014 2.5 1.126 SMI 11.866 0.014 2.5 0.405 SOFR -12.005 0.024 2.5 -0.730 SOYBEAN -7.868 0.004 2.5 -0.073 SOYMEAL -27.291 0.004 2.5 -0.254 SOYOIL -31.938 0.004 2.5 -0.297 SP400 -9.626 0.013 2.5 -0.319 SP500_micro -84.187 0.009 2.5 -1.957 SUGAR11 -13.093 0.009 2.5 -0.278 US10 -21.308 0.005 2.5 -0.270 US10U 0.579 0.005 2.5 0.007 US2 -64.756 0.005 2.5 -0.821 US20 5.255 0.005 2.5 0.067 US30 2.435 0.005 2.5 0.031 US5 -60.384 0.005 2.5 -0.765 VIX -169.377 0.099 2.5 -41.810 WHEAT -183.465 0.005 2.5 -2.434 ===================== Position diags ===================== AUD 2.43 BITCOIN 45.11 BOBL 1.40 BTP 2.12 BUND 0.73 BUXL 0.32 CAC 2.76 CAD 3.78 CANOLA 8.91 CHF 1.80 COCOA 2.02 COFFEE 0.37 COPPER 4.56 CORN 4.62 COTTON2 1.87 CRUDE_W 4.03 DAX 12.85 DOW 9.40 DX 2.37 EUR 1.63 EURIBOR-ICE 9.74 EUROSTX 4.18 FEEDCOW 1.06 GASOIL 1.45 GASOLINE 1.06 GAS_US_mini 19.95 GBP 2.37 GOLD_micro 10.35 HEATOIL 0.98 JGB-SGX-mini 22.85 JPY 2.08 LEANHOG 5.15 LIVECOW 2.13 LUMBER-new 4.52 MILK 2.48 MXP 27.22 NASDAQ_micro 3.90 NIKKEI 23.83 NZD 2.57 OAT 2.41 OATIES 2.83 OJ 1.02 PALLAD 0.73 PLAT 2.02 REDWHEAT 1.12 RICE 3.29 ROBUSTA 1.44 RUSSELL 12.51 SHATZ 4.07 SILVER-mini 1.89 SMI 1.88 SOFR 12.50 SOYBEAN 0.75 SOYMEAL 0.71 SOYOIL 0.86 SP400 0.57 SP500_micro 6.83 SUGAR11 2.29 US10 1.06 US10U 0.78 US2 2.02 US20 0.55 US30 0.37 US5 1.62 VIX 20.91 WHEAT 1.30 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.4 0.2 0.7 6.0 6 BITCOIN 48.3 43.8 52.9 36.0 36 BOBL 0.2 0.1 0.4 0.0 0 BTP 1.3 1.1 1.5 4.0 4 BUND 0.2 0.1 0.3 0.0 0 BUXL 0.1 0.0 0.1 1.0 1 CAC 1.4 1.1 1.6 0.0 0 CAD -2.1 -2.5 -1.7 0.0 0 CANOLA -13.6 -14.4 -12.7 -6.0 -6 CHF -1.2 -1.4 -1.0 -2.0 -2 COCOA 2.5 2.3 2.7 5.0 5 COFFEE 0.0 -0.0 0.0 1.0 1 COPPER -0.2 -0.7 0.3 4.0 4 CORN -6.5 -6.9 -6.0 -5.0 -5 COTTON2 -3.7 -3.9 -3.5 -5.0 -5 CRUDE_W 2.0 1.6 2.4 2.0 2 DAX 20.6 19.4 21.9 0.0 0 DOW 0.7 -0.2 1.6 -1.0 -1 DX -1.1 -1.3 -0.8 NaN 0 EUR -0.1 -0.2 0.1 2.0 2 EURIBOR-ICE 9.0 8.0 10.0 4.0 4 EUROSTX 5.0 4.6 5.4 3.0 3 FEEDCOW -1.3 -1.4 -1.2 0.0 0 GASOIL 0.4 0.3 0.6 0.0 0 GASOLINE 0.1 0.0 0.2 1.0 1 GAS_US_mini -29.5 -31.5 -27.5 -19.0 -19 GBP 1.3 1.0 1.5 0.0 0 GOLD_micro -1.2 -2.2 -0.2 -10.0 -10 HEATOIL -0.2 -0.3 -0.1 -1.0 -1 JGB-SGX-mini 21.7 19.4 24.0 13.0 13 JPY -1.2 -1.4 -1.0 -2.0 -2 LEANHOG 0.4 -0.1 0.9 0.0 0 LIVECOW -3.0 -3.2 -2.8 -3.0 -3 LUMBER-new -5.1 -5.5 -4.6 NaN 0 MILK -5.0 -5.2 -4.7 NaN 0 MXP 19.7 17.0 22.4 38.0 38 NASDAQ_micro -0.8 -1.2 -0.4 0.0 0 NIKKEI 14.9 12.5 17.3 32.0 32 NZD 1.4 1.1 1.6 1.0 1 OAT 1.9 1.6 2.1 0.0 0 OATIES -3.4 -3.7 -3.1 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 0.6 0.3 0.9 NaN 0 ROBUSTA 1.5 1.3 1.6 2.0 2 RUSSELL -7.7 -8.9 -6.4 0.0 0 SHATZ -1.3 -1.7 -0.9 NaN 0 SILVER-mini 1.1 0.9 1.3 NaN 0 SMI 0.4 0.2 0.6 0.0 0 SOFR -0.7 -2.0 0.5 NaN 0 SOYBEAN -0.1 -0.1 0.0 0.0 0 SOYMEAL -0.3 -0.3 -0.2 -4.0 -4 SOYOIL -0.3 -0.4 -0.2 -2.0 -2 SP400 -0.3 -0.4 -0.3 0.0 0 SP500_micro -2.0 -2.6 -1.3 0.0 0 SUGAR11 -0.3 -0.5 -0.0 -1.0 -1 US10 -0.3 -0.4 -0.2 NaN 0 US10U 0.0 -0.1 0.1 -3.0 -3 US2 -0.8 -1.0 -0.6 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 -0.9 -0.6 -3.0 -3 VIX -41.8 -43.9 -39.7 -17.0 -17 WHEAT -2.4 -2.6 -2.3 -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 0.6 0.1 0.0 0.0 0.0 0.0 0.0 0.1 0.0 -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 0.1 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 -0.2 0.6 0.4 0.0 -0.0 0.0 0.1 -0.0 0.1 0.2 0.5 0.2 0.6 0.2 0.2 -0.2 -0.1 -0.2 -0.1 0.2 0.2 0.2 0.3 0.2 -2.7 0.1 0.1 0.2 0.1 0.1 0.1 -0.1 0.5 0.6 0.6 0.6 -0.2 0.7 -0.0 0.7 BOBL 0.5 0.6 0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.0 0.1 -0.2 0.1 1.1 0.0 0.1 0.0 0.1 -0.1 0.0 -0.1 0.3 0.0 0.1 0.2 -0.6 -0.7 -0.4 -0.6 BTP 0.6 0.6 -0.1 0.0 0.0 -0.1 0.1 -0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.1 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 0.2 -0.5 -0.7 0.1 0.2 BUND 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 0.0 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.1 -0.2 0.1 0.8 0.0 0.0 -0.0 0.1 -0.1 0.0 0.4 0.2 0.1 0.1 0.2 -0.7 -0.7 -0.7 -0.2 BUXL 0.6 0.6 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.0 0.0 0.0 0.0 0.0 0.1 -0.0 0.1 -0.3 0.1 0.2 0.0 0.1 -0.0 0.1 -0.1 0.0 0.2 0.2 0.3 0.2 0.1 -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 0.6 0.2 0.1 -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 -0.1 -0.2 -0.3 0.1 0.2 0.2 0.5 0.3 CAD 0.6 0.1 -0.2 0.0 0.0 0.0 0.1 0.0 0.1 0.1 -0.3 0.2 -0.5 0.2 -0.0 -0.0 -0.0 -0.0 -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 0.4 -0.4 -0.6 -0.5 -0.6 -0.7 -0.2 -0.5 CANOLA 0.3 -0.2 -0.6 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.2 -0.4 -0.4 -0.4 -0.3 0.0 0.1 CHF 0.6 0.5 -0.4 0.0 0.0 0.0 0.1 0.0 0.1 0.1 -0.1 0.2 0.2 0.2 0.1 -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 0.4 0.4 -0.4 -0.7 -0.7 -0.7 -0.7 COCOA 0.2 0.6 0.2 -0.0 -0.1 -0.2 -0.1 -0.3 -0.0 -0.0 0.5 0.2 0.7 0.2 0.2 0.2 -0.0 0.1 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 -0.1 -0.1 -0.0 -0.2 -0.0 0.1 -0.1 0.1 -0.3 0.2 0.1 0.3 0.1 0.2 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 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.3 0.2 -0.2 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.1 -0.2 0.2 -0.9 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 0.1 0.4 0.1 0.0 -0.1 -0.5 0.2 -0.5 CORN 0.1 0.1 -0.4 -0.0 -0.1 -0.1 -0.1 -0.3 -0.0 0.1 -0.5 -0.0 -0.7 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.5 -0.0 -2.7 -0.0 0.1 -0.1 0.0 -0.3 0.0 -0.2 0.5 -0.1 -0.0 0.1 -0.3 -0.2 0.1 0.1 COTTON2 -0.1 -0.6 -0.3 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.2 -0.1 -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 -0.3 -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 0.3 0.3 0.3 0.7 0.4 0.7 0.4 DAX 0.6 0.5 -0.4 0.0 0.1 -0.0 0.1 -0.0 0.1 0.2 -0.1 0.2 0.5 0.2 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.0 0.2 0.1 0.2 2.5 0.0 0.1 0.0 0.1 -0.0 0.1 -0.3 0.5 0.6 0.3 0.2 0.2 0.1 0.4 0.4 DOW 0.6 0.6 -0.2 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 0.1 0.2 -1.4 0.0 0.1 0.0 0.1 0.0 0.1 -0.4 0.4 0.5 0.3 0.1 -0.5 -0.2 -0.7 -0.2 DX -0.6 -0.6 0.3 0.0 0.0 0.0 0.0 0.0 0.0 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 -0.1 -2.7 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.8 -0.4 -0.6 -0.6 0.5 0.3 0.2 0.5 0.6 EUR 0.6 0.6 -0.2 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 0.0 -0.1 0.1 1.4 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.4 -0.5 -0.1 0.2 -0.2 -0.5 -0.5 -0.5 -0.2 EURIBOR-ICE 0.4 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 0.3 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 0.1 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 0.3 -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 -0.3 -0.6 -0.3 -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 0.0 -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 0.0 -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 0.1 0.1 0.1 0.0 0.4 -0.0 0.2 -0.2 JGB-SGX-mini 0.6 0.4 -0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.0 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 0.0 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 -0.0 -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 -0.3 -0.1 0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 -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 -0.0 -0.3 -0.2 -0.1 -0.4 -0.2 0.2 0.5 LIVECOW -0.5 -0.6 -0.6 -0.0 -0.1 -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 -0.2 0.1 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.4 -0.1 -0.6 -0.6 -0.3 -0.0 -0.4 0.1 -0.2 LUMBER-new 0.4 0.6 -0.1 -0.0 -0.2 -0.2 -0.1 -0.3 -0.0 -0.2 -0.4 -0.1 -0.7 0.2 0.1 -0.3 -0.3 -0.3 -0.3 0.1 -0.1 -0.0 -0.4 0.1 NaN 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -1.2 -0.4 0.3 0.7 0.4 -0.6 -0.8 -0.4 -0.7 MILK -0.5 -0.5 -0.3 -0.0 -0.1 -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 -0.2 -0.1 -0.3 -0.1 -1.1 -0.1 -0.6 -0.6 -0.3 -0.7 -0.7 -0.7 -0.7 MXP 0.5 0.3 -0.6 0.0 0.0 0.0 0.1 0.0 0.1 -0.1 0.3 0.1 0.5 0.1 0.1 0.3 0.3 0.3 0.3 0.1 0.1 0.0 0.4 0.1 -2.7 0.0 -0.0 0.1 0.0 0.2 0.0 1.1 -0.5 -0.4 0.1 0.1 0.3 0.5 0.6 0.7 NASDAQ_micro 0.6 0.3 -0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 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 0.0 -0.3 -0.5 0.1 0.1 0.3 0.2 -0.3 0.2 -0.4 NIKKEI 0.5 0.3 -0.3 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.1 0.4 0.1 0.6 0.2 0.1 0.2 0.2 0.1 0.2 0.2 0.1 0.0 0.5 0.2 -1.6 0.0 -0.0 0.1 0.0 0.2 0.0 1.1 -0.5 -0.6 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 0.0 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 0.1 -0.1 0.2 0.1 0.0 0.0 0.0 0.1 -0.0 0.1 0.2 0.3 0.1 -0.0 0.1 -0.1 -0.4 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 -0.0 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 0.2 0.2 0.2 0.2 -0.7 -0.7 -0.2 0.3 OATIES 0.4 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.2 -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 0.5 -0.3 -0.6 -0.3 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 -0.1 -0.1 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 -0.3 -0.0 -0.4 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -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 0.4 0.4 -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 0.0 -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 -0.4 0.4 -0.3 REDWHEAT 0.2 -0.1 -0.6 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 0.2 -0.5 0.1 -0.7 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 0.1 -0.5 -0.1 -2.1 -0.1 0.1 -0.2 0.0 -0.2 -0.0 -0.1 0.5 -0.2 -0.6 -0.6 -0.7 -0.7 -0.7 -0.5 RICE 0.6 0.3 0.2 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.2 0.4 0.1 0.4 0.2 0.2 -0.3 0.1 -0.3 -0.1 0.2 0.2 0.0 0.2 0.2 -2.7 0.1 -0.1 0.1 -0.0 0.1 0.1 0.1 -0.5 0.6 0.6 0.6 -0.0 -0.5 0.5 -0.2 ROBUSTA 0.6 0.3 -0.3 -0.0 -0.1 -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 -2.6 0.0 0.0 0.1 0.1 0.2 0.1 1.1 0.5 0.6 0.6 0.5 -0.3 -0.4 0.2 0.0 RUSSELL 0.6 0.3 -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 0.0 -0.1 -0.2 -0.2 -0.5 -0.5 -0.7 -0.7 SHATZ 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 -0.3 -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 0.4 -0.0 -0.1 0.1 -0.4 -0.7 -0.2 -0.7 SILVER-mini 0.6 0.5 -0.2 0.0 0.1 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 -0.0 -0.7 SMI 0.6 -0.1 -0.4 0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 -0.2 0.2 -0.0 0.1 -0.0 0.1 0.1 0.1 0.1 -0.0 -0.1 0.2 -0.2 0.1 1.0 0.0 0.1 -0.1 0.1 -0.1 0.1 0.8 0.1 -0.4 -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 0.0 -0.1 0.1 -0.1 0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 -0.1 0.1 -0.2 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 0.0 0.2 0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 0.2 -0.1 0.2 0.1 -0.0 0.4 0.4 0.3 0.3 0.0 0.0 -0.1 0.1 0.0 -2.7 0.1 -0.0 0.1 0.0 0.1 0.1 1.1 0.3 0.3 0.6 0.5 -0.7 -0.5 -0.7 -0.3 SOYMEAL -0.3 0.6 0.1 -0.0 -0.1 -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 -0.4 -0.1 0.6 0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 -0.4 -0.6 -0.0 -0.1 -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 -0.2 -0.3 -0.3 0.1 0.2 0.5 SP400 0.6 0.3 -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 0.2 -0.1 0.2 -1.2 0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 0.1 0.0 -0.1 -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 0.0 0.2 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 0.0 0.1 0.1 -0.4 -0.2 0.2 0.2 0.1 0.0 -0.3 0.1 -0.4 SUGAR11 -0.5 -0.4 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 0.4 -0.2 0.7 -0.1 0.1 0.4 0.4 0.4 0.4 0.0 0.1 -0.2 0.5 -0.1 -2.7 0.0 -0.1 0.2 -0.1 0.5 -0.1 1.1 -0.5 -0.6 0.0 0.6 -0.3 -0.5 0.4 0.2 US10 0.6 0.6 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 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 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.3 0.1 0.0 0.1 -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 0.6 0.6 0.6 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.3 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.0 -0.0 0.1 -0.3 0.1 1.0 0.0 0.0 -0.0 0.0 -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 0.6 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 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 0.6 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.1 -0.2 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 0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 0.0 -0.2 -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 0.1 -0.7 -0.7 -0.5 -0.5 VIX -1.0 -0.6 0.5 -0.1 -0.0 -0.2 -0.0 -0.4 -0.1 -0.1 -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 0.0 0.1 -0.5 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 0.2 -0.5 0.1 -0.7 -0.0 -0.2 -0.3 -0.2 -0.3 -0.2 -0.1 -0.2 0.1 -0.5 -0.0 -0.6 -0.0 0.1 -0.2 0.1 -0.3 0.0 -1.0 0.5 -0.0 -0.2 -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 17.5 1.7 2.8 2.2 1.0 4.6 0.7 5.0 4.5 -6.6 11.8 -9.4 12.6 5.9 -2.7 -3.0 -3.0 -3.0 7.3 -1.6 12.4 -6.9 13.7 3.3 3.1 2.3 -0.3 5.1 -2.2 5.7 -1.1 2.2 -4.6 1.1 -0.5 -10.5 -16.5 -2.8 6.0 BITCOIN -5.9 20.0 10.8 3.6 -0.2 0.2 5.4 -0.2 6.7 20.0 20.0 20.0 17.3 20.0 20.0 -10.2 -5.8 -8.7 -7.4 20.0 20.0 20.0 11.9 20.0 -20.0 8.1 10.3 5.8 7.0 3.1 7.6 -1.0 20.0 20.0 20.0 20.0 -4.9 20.0 -0.7 20.0 BOBL 14.8 17.7 9.6 0.8 2.7 -1.2 3.0 -2.3 2.5 7.5 -2.4 7.5 -6.5 7.7 4.9 -3.4 -2.8 1.2 -2.0 5.0 -0.2 13.3 -5.8 9.6 8.3 1.9 5.8 0.1 5.2 -1.5 3.7 -2.4 10.6 0.9 2.4 6.4 -17.3 -20.0 -11.7 -18.1 BTP 20.0 20.0 -3.0 1.3 4.4 -1.9 4.8 -3.6 4.0 10.3 1.3 12.4 1.8 13.2 8.1 7.1 7.6 7.1 6.9 11.2 2.1 17.5 -3.4 18.3 -8.0 3.2 4.1 0.7 5.0 -0.5 5.1 15.0 3.2 8.4 11.6 7.6 -13.6 -20.0 2.1 6.3 BUND 19.2 18.3 4.1 0.9 3.1 -1.3 3.4 -2.5 2.8 8.3 -2.6 8.8 -7.4 9.0 4.6 -1.6 3.9 -1.4 0.6 5.8 -1.0 14.3 -7.5 11.4 5.9 2.1 5.4 -0.1 5.0 -1.7 4.0 6.6 9.3 3.5 4.2 5.7 -20.0 -20.0 -19.5 -5.2 BUXL 20.0 18.9 -0.7 1.1 3.6 -1.5 4.0 -3.0 3.3 9.9 -4.4 10.8 -9.5 10.8 2.5 0.0 0.7 0.3 0.6 5.4 -4.4 15.9 -12.6 13.4 1.4 1.8 5.6 -1.0 5.1 -2.7 4.3 3.9 8.4 7.8 5.0 1.6 -19.3 -20.0 -12.9 12.8 CAC 20.0 7.5 -15.2 3.3 6.1 -0.2 7.2 -0.3 7.1 20.0 -1.9 20.0 15.5 20.0 5.3 -7.2 -3.4 -6.4 -5.4 9.7 -1.2 20.0 5.3 20.0 -7.0 3.4 7.2 -0.2 8.4 1.1 8.1 2.7 -2.5 -7.4 -8.7 3.1 6.8 5.1 14.0 10.4 CAD 18.4 2.4 -6.3 4.2 3.3 1.5 6.9 1.0 7.5 13.7 -12.7 18.9 -14.7 14.0 -3.1 -2.4 -2.3 -2.5 -2.4 -0.3 -8.7 20.0 -10.7 13.4 3.0 -0.1 8.3 -4.2 10.3 -4.7 6.7 0.0 17.3 -11.2 -19.2 -15.8 -16.7 -20.0 -6.0 -16.0 CANOLA 10.3 -6.9 -19.7 -1.1 -5.9 -2.4 -2.6 -3.2 -0.6 -8.7 -3.0 -5.6 -3.9 -3.2 -7.7 -8.5 1.9 -9.7 -5.1 -7.8 -7.9 -8.3 -6.3 -5.8 -20.0 -3.1 -4.3 -3.1 -2.9 -2.9 -2.4 -0.7 -9.5 -5.8 -11.5 -13.7 -13.4 -7.9 0.4 4.4 CHF 20.0 14.2 -13.5 4.0 3.1 1.4 6.5 1.0 7.0 11.0 -5.2 18.5 6.2 19.4 5.1 -15.9 -15.1 -16.4 -15.9 10.8 0.4 20.0 0.5 20.0 -8.7 3.4 6.2 -0.1 8.8 -0.1 7.9 -20.0 14.6 10.8 13.2 -12.7 -20.0 -20.0 -20.0 -20.0 COCOA 5.1 20.0 5.1 -2.6 -14.0 -5.6 -6.2 -7.5 -1.5 -2.0 20.0 15.8 20.0 20.0 20.0 11.9 -1.0 2.9 0.2 20.0 20.0 20.0 20.0 20.0 -20.0 8.9 -1.0 8.4 4.7 8.3 8.4 0.5 20.0 20.0 20.0 20.0 12.9 -2.3 20.0 13.1 COFFEE 4.2 20.0 16.7 -1.9 -10.3 -4.1 -4.5 -5.5 -1.1 10.2 -3.4 12.3 -9.6 14.9 13.7 14.9 3.5 7.6 4.6 13.2 4.5 19.1 -3.5 17.2 -20.0 5.3 5.8 2.5 6.9 0.2 6.7 8.1 20.0 20.0 20.0 18.9 -20.0 -20.0 -20.0 -12.4 COPPER 20.0 16.5 -2.0 2.9 -0.1 0.2 4.4 -0.1 5.5 -0.2 -9.3 15.6 -5.3 16.6 5.1 -7.2 -4.6 -7.5 -6.3 8.4 -2.3 15.5 -7.0 17.4 -6.9 4.2 1.6 -0.1 6.5 -2.0 7.7 1.0 3.0 13.2 2.8 0.6 -3.7 -16.3 4.8 -14.4 CORN 1.6 3.5 -12.4 -2.4 -13.0 -5.2 -5.8 -7.0 -1.4 13.3 -20.0 -1.4 -20.0 -10.0 -11.9 -7.8 -0.1 -6.8 -4.9 -7.6 -17.4 0.9 -20.0 -3.4 -20.0 -1.5 9.4 -5.1 4.5 -9.5 0.8 -2.9 20.0 -1.7 -1.5 2.0 -8.1 -5.6 3.3 3.5 COTTON2 -1.9 -20.0 -9.1 -2.0 -10.9 -4.4 -4.8 -5.8 -1.2 -15.3 -7.0 -4.7 -10.3 -13.2 -13.3 -7.4 0.8 -6.2 -3.2 -19.5 -12.0 -11.9 -6.6 -17.5 -20.0 -5.7 -3.3 -3.1 -3.7 -0.7 -5.5 -0.5 -7.6 -18.5 -20.0 -8.5 -16.1 -12.8 -0.7 3.7 CRUDE_W -8.2 -13.5 5.8 -3.3 -4.6 0.6 -4.0 2.9 -4.6 -15.2 8.9 -6.2 7.9 -10.2 -3.0 7.3 10.8 10.3 10.8 -2.9 7.2 -8.5 11.2 -8.6 -5.1 -1.1 -4.0 4.3 -3.0 7.3 -3.4 -19.9 5.0 7.9 10.5 9.3 20.0 11.4 20.0 12.0 DAX 20.0 15.7 -13.6 3.1 5.7 -0.1 6.7 -0.2 6.6 19.8 -2.1 20.0 12.7 20.0 10.2 -10.4 -8.4 -10.1 -9.5 19.7 1.5 20.0 2.0 20.0 18.8 4.3 9.1 0.2 9.9 -0.1 8.9 -5.2 20.0 20.0 10.6 5.2 5.5 3.9 13.5 13.2 DOW 20.0 18.4 -7.6 2.4 4.4 -0.1 5.2 -0.2 5.2 13.8 4.4 16.8 9.5 17.0 9.6 -10.3 -9.2 -10.6 -10.4 18.9 5.7 20.0 2.3 20.0 -10.7 3.8 6.5 1.1 7.8 0.9 7.3 -6.7 18.2 14.0 10.1 2.4 -16.1 -5.6 -20.0 -7.2 DX -20.0 -20.0 8.1 2.5 2.0 0.9 4.2 0.6 4.5 4.7 6.3 -8.7 -3.1 -10.5 -2.1 6.7 6.1 7.0 6.7 -6.2 1.8 -7.8 4.4 -12.1 -20.0 -2.2 0.8 0.7 -2.7 1.9 -4.3 15.0 -15.2 -20.0 -20.0 14.5 10.5 6.1 14.1 17.1 EUR 20.0 18.9 -7.2 2.8 2.2 1.0 4.7 0.7 5.0 -12.4 -4.7 5.5 4.3 10.5 4.5 -5.7 -6.7 -6.2 -6.4 7.0 -0.1 1.2 -2.6 9.9 10.5 2.6 -4.1 -0.0 0.5 -0.9 3.7 -7.2 -20.0 -3.9 5.7 -5.9 -15.0 -14.6 -13.6 -5.6 EURIBOR-ICE 10.9 20.0 18.9 0.8 2.6 -1.1 2.9 -2.2 2.4 7.2 2.5 7.5 -4.2 7.9 7.5 -3.3 -6.8 -4.8 -6.2 9.9 4.5 15.2 -2.7 12.9 16.3 2.5 4.4 1.2 4.0 -0.4 3.3 -9.0 11.6 3.7 9.7 14.1 -20.0 -20.0 3.8 20.0 EUROSTX 20.0 13.9 -10.0 3.2 5.8 -0.2 6.9 -0.3 6.8 20.0 0.3 20.0 15.0 20.0 10.6 -6.4 -3.1 -5.9 -5.0 17.4 4.4 20.0 7.1 20.0 4.2 5.1 6.7 1.3 8.0 1.3 8.5 3.3 1.0 3.2 6.1 10.0 2.8 6.3 7.8 14.9 FEEDCOW -9.7 -20.0 -20.0 -0.8 -3.3 -2.3 -0.8 -3.1 0.2 -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 -6.5 -20.0 -20.0 -10.5 13.6 0.7 20.0 8.7 GASOIL -8.6 -19.8 3.5 -2.8 -4.0 0.5 -3.5 2.5 -4.0 -13.4 8.2 -10.7 7.4 -12.5 -8.8 11.3 20.0 20.0 20.0 -6.3 5.6 -11.4 12.5 -11.2 8.5 -1.9 -6.1 2.8 -4.2 5.0 -4.0 0.0 4.5 1.0 0.7 6.9 -7.7 -1.1 -12.9 -6.5 GASOLINE 0.9 -13.8 -14.8 -3.0 -4.2 0.6 -3.7 2.7 -4.2 -11.8 3.5 -0.7 5.1 -7.3 -11.2 -4.2 20.0 10.5 20.0 -7.1 -0.9 -5.2 7.0 -6.6 -20.0 -2.9 -2.4 0.1 -0.5 4.9 -1.6 7.8 12.3 16.1 10.6 -12.1 20.0 11.2 20.0 8.1 GAS_US_mini -20.0 -13.3 9.8 -2.9 -4.0 0.6 -3.5 2.6 -4.0 -14.6 -14.7 -16.2 -17.2 -16.5 -15.8 -20.0 -20.0 -20.0 -20.0 -20.0 -17.1 -20.0 -20.0 -20.0 20.0 -5.0 -4.2 -2.6 -6.3 -1.8 -7.1 -20.0 -13.3 -20.0 -8.6 -15.6 -14.7 6.5 -20.0 2.3 GBP 20.0 15.4 -11.6 2.8 2.2 1.0 4.7 0.7 5.0 5.5 -4.6 12.4 6.4 13.1 3.7 -0.6 -0.8 -0.6 -0.6 7.5 0.6 12.6 -0.5 14.8 0.9 2.7 1.2 0.0 4.5 -0.7 5.4 2.9 3.0 2.0 5.4 -6.3 -10.0 3.1 -6.2 20.0 GOLD_micro 10.5 20.0 0.2 2.7 5.5 0.1 6.2 -0.2 5.7 16.1 0.5 17.4 4.7 17.5 15.0 -15.1 -14.9 -16.1 -16.0 16.1 5.8 20.0 1.6 20.0 -7.2 4.4 9.0 1.7 8.6 0.8 7.2 -16.5 20.0 7.2 20.0 8.2 -13.1 -20.0 -12.5 -20.0 HEATOIL -6.4 -20.0 -0.5 -2.8 -3.9 0.5 -3.4 2.5 -3.9 -13.2 6.7 -10.6 5.9 -11.3 -9.0 17.5 20.0 20.0 20.0 -6.5 3.6 -11.1 9.7 -10.7 -18.8 -2.2 -4.9 2.2 -3.1 5.6 -3.4 3.4 2.6 2.8 4.1 0.5 11.1 -1.3 6.4 -6.9 JGB-SGX-mini 20.0 13.4 -10.7 0.7 2.5 -1.1 2.8 -2.1 2.3 2.9 -1.8 6.1 1.8 6.3 3.4 16.5 19.4 16.7 16.8 3.9 -0.4 9.8 -0.7 9.1 -2.1 0.9 1.5 -0.6 3.2 -0.8 2.8 20.0 1.1 11.5 -0.7 1.3 4.1 -20.0 15.7 18.1 JPY 19.3 20.0 -2.5 2.3 1.8 0.8 3.9 0.6 4.1 7.1 -11.6 9.4 -12.1 6.2 -7.0 -17.1 -16.2 -18.1 -17.5 -4.2 -12.9 8.2 -18.2 4.2 20.0 -2.3 3.5 -6.0 4.1 -7.7 1.8 -20.0 -0.6 -11.1 -14.9 -15.6 -5.0 -20.0 1.7 -20.0 LEANHOG -8.7 -3.3 1.5 -1.3 -6.9 -2.7 -3.0 -3.7 -0.7 2.4 -1.2 -4.3 -6.2 -4.8 -6.4 -19.1 15.4 1.4 16.6 -7.8 -7.3 -7.2 -9.1 -9.3 11.7 -2.6 1.1 -4.1 -1.3 -6.8 -2.4 20.0 -1.6 -8.1 -6.8 -3.5 -11.2 -5.3 7.3 14.0 LIVECOW -16.0 -20.0 -20.0 -1.2 -6.6 -2.7 -2.9 -3.5 -0.7 -9.3 -3.0 -9.8 4.4 -10.3 -9.8 -5.5 -4.9 -11.0 -8.2 -16.5 -7.0 -17.7 2.2 -19.5 0.0 -3.3 -3.0 -0.9 -2.5 1.7 -3.4 -8.1 -5.7 -20.0 -20.0 -9.7 -0.6 -13.2 4.2 -5.7 LUMBER-new 10.3 15.3 -1.4 -2.8 -15.3 -5.9 -6.8 -6.7 -1.6 -20.0 -12.5 -7.8 -20.0 16.4 9.6 -13.3 -14.6 -15.0 -14.9 9.0 -4.3 -4.6 -13.0 10.3 NaN 3.2 -8.0 -0.8 -4.7 -3.2 2.1 -20.0 -16.0 7.6 17.4 10.1 -15.8 -20.0 -9.2 -17.3 MILK -14.4 -14.5 -10.3 -1.8 -10.0 -4.0 -4.4 -5.3 -1.1 -6.4 -12.8 -15.7 -14.5 -16.9 -15.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -19.9 -20.0 -20.0 7.1 -6.0 -1.6 -5.6 -5.6 -7.0 -7.1 -20.0 -4.2 -20.0 -20.0 -7.8 -20.0 -20.0 -20.0 -20.0 MXP 15.7 9.4 -17.3 3.2 2.5 1.1 5.2 0.8 5.6 -9.8 9.7 7.7 13.8 12.8 7.9 13.2 16.0 13.8 14.7 9.2 7.5 1.0 13.3 10.3 -20.0 3.3 -4.5 2.8 0.1 5.2 3.6 20.0 -20.0 -11.8 3.7 2.4 8.9 13.6 18.1 20.0 NASDAQ_micro 20.0 9.9 -4.1 2.0 3.6 -0.1 4.3 -0.2 4.2 -8.1 9.7 9.6 10.5 12.7 9.7 -10.2 -8.9 -10.0 -9.8 14.2 11.0 6.9 12.4 16.7 -20.0 3.4 -1.7 2.8 1.9 3.9 4.2 -5.9 -19.1 1.7 3.9 8.9 7.3 -9.5 7.5 -12.0 NIKKEI 16.0 9.0 -7.8 2.7 4.9 -0.1 5.8 -0.2 5.8 -13.2 15.7 7.4 15.7 15.0 13.8 9.0 9.9 7.3 8.5 14.6 13.7 2.5 17.4 14.1 -11.8 4.4 -4.0 4.6 0.5 6.6 4.3 20.0 -20.0 -19.1 2.5 15.7 -8.1 0.9 -5.3 7.0 NZD 20.0 13.8 2.6 2.5 1.9 0.9 4.1 0.6 4.4 7.8 -5.1 11.7 -1.7 11.7 5.7 0.1 0.2 0.0 0.1 7.6 -0.3 16.2 -4.5 14.9 1.0 3.0 3.8 0.3 5.8 -1.1 5.5 4.3 10.6 2.8 -1.4 1.8 -3.1 -13.5 1.0 7.2 OAT 20.0 19.8 3.1 1.0 3.3 -1.4 3.6 -2.7 3.0 8.9 -1.6 9.6 -7.4 9.8 5.3 5.5 7.4 5.7 6.2 7.1 -0.4 14.9 -7.0 13.0 8.3 2.3 4.8 0.1 4.9 -1.5 4.2 14.3 8.1 5.5 6.0 6.8 -20.0 -20.0 -7.5 8.9 OATIES 11.2 -20.0 -20.0 -1.0 -5.4 -2.2 -2.4 -2.9 -0.6 6.7 -4.0 4.0 -3.4 -4.6 -7.8 -12.4 -9.8 -16.3 -15.3 -10.8 -7.7 3.2 -2.0 -5.0 -20.0 -2.6 2.2 -1.8 0.6 -0.5 -1.4 -20.0 19.6 -8.1 -20.0 -10.8 5.3 10.9 19.5 20.0 OJ 13.7 -20.0 14.6 -1.6 -6.4 -4.5 -1.6 -6.2 0.4 -15.6 19.1 10.2 20.0 12.8 17.1 20.0 20.0 20.0 20.0 20.0 20.0 7.4 20.0 20.0 -20.0 7.4 -1.8 8.8 2.3 9.8 5.4 20.0 3.9 20.0 20.0 20.0 7.8 9.8 20.0 20.0 PALLAD 1.5 -4.6 -2.0 1.5 -0.1 0.1 2.3 -0.1 2.8 -9.4 -9.9 -4.6 -10.9 -5.4 -7.4 -2.3 -2.6 -2.5 -2.6 -13.1 -15.7 -12.4 -20.0 -11.2 5.5 -3.7 -4.1 -3.3 -3.5 -3.0 -3.6 5.7 -20.0 -20.0 -20.0 -16.4 -2.2 -7.8 9.0 -1.9 PLAT 13.2 11.2 -2.3 1.7 -0.1 0.1 2.6 -0.1 3.2 -5.9 -8.0 8.5 -5.5 8.2 -0.3 -3.2 -2.8 -3.5 -3.3 1.3 -3.4 4.1 -4.7 5.2 12.4 0.9 -1.4 -0.5 1.5 -0.9 2.1 5.0 -0.9 -7.4 -3.8 3.7 -4.1 -13.1 10.8 -8.1 REDWHEAT 5.5 -4.6 -20.0 -2.0 -11.1 -4.4 -4.9 -5.9 -1.2 16.9 -18.7 6.3 -19.1 -6.5 -15.9 -4.6 -1.2 -5.1 -3.5 -20.0 -20.0 8.2 -20.0 -9.4 -16.1 -6.0 8.1 -7.0 3.8 -5.5 -1.9 -2.3 20.0 -4.8 -20.0 -20.0 -20.0 -20.0 -20.0 -14.2 RICE 20.0 9.8 5.6 -2.4 -12.9 -5.2 -5.7 -6.9 -1.4 -17.4 15.8 12.8 10.6 16.1 14.3 -15.6 3.1 -14.8 -5.1 20.0 14.4 4.8 9.0 20.0 -20.0 5.3 -8.0 3.5 -0.8 2.0 4.8 2.5 -20.0 20.0 20.0 20.0 -0.5 -16.3 16.1 -5.0 ROBUSTA 17.4 9.5 -8.5 -1.6 -8.8 -3.5 -3.9 -4.7 -0.9 8.0 12.0 12.7 12.7 13.3 11.1 20.0 20.0 20.0 20.0 13.2 11.3 14.8 14.1 16.3 -19.3 4.5 3.1 3.8 4.9 4.6 5.4 20.0 20.0 20.0 20.0 14.7 -8.4 -13.2 7.0 0.8 RUSSELL 20.0 9.2 -13.0 1.6 2.9 -0.1 3.4 -0.1 3.3 9.7 -4.7 10.7 -5.1 10.1 -1.2 -5.8 -6.3 -6.6 -6.8 2.0 -3.8 14.1 -4.5 10.2 -1.6 0.6 5.1 -1.1 4.4 -0.9 3.4 -1.0 1.7 -2.9 -6.9 -7.7 -15.4 -13.6 -20.0 -20.0 SHATZ 12.3 17.7 14.2 0.8 2.7 -1.2 3.0 -2.2 2.5 6.7 -5.6 6.5 -7.7 5.4 1.1 -20.0 -16.5 -20.0 -20.0 2.5 -2.4 14.3 -8.2 7.8 9.6 1.2 8.4 -0.6 6.4 -2.4 3.5 -20.0 17.1 -1.3 -2.0 4.5 -11.4 -20.0 -5.2 -20.0 SILVER-mini 20.0 15.6 -5.0 2.8 5.6 0.1 6.3 -0.2 5.8 17.5 -2.0 19.3 3.4 18.9 9.0 -7.3 -6.6 -7.4 -7.1 14.9 2.3 20.0 -0.8 20.0 8.2 4.5 8.7 1.6 10.2 0.8 8.6 -1.6 9.9 16.3 11.5 7.6 -18.5 -20.0 -1.3 -20.0 SMI 20.0 -3.1 -11.9 2.8 5.2 -0.1 6.1 -0.2 6.0 17.2 -8.4 17.8 -0.1 7.8 -1.9 5.3 2.6 4.2 2.8 -0.8 -9.4 18.1 -7.7 12.6 7.8 0.3 8.4 -2.7 7.3 -3.0 5.0 14.5 4.9 -13.3 -20.0 -1.0 -6.0 -8.4 -0.9 -5.3 SOFR 20.0 20.0 -0.2 0.7 2.5 -1.1 2.8 -2.1 2.3 4.5 -3.4 6.7 -4.1 7.4 3.2 0.9 -0.5 0.2 -0.4 4.1 -1.7 8.9 -4.5 8.9 -1.4 1.4 1.7 -0.6 3.1 -1.4 3.2 1.7 3.6 3.3 0.8 2.1 -20.0 -20.0 -6.1 -8.7 SOYBEAN 0.8 5.6 0.2 -2.1 -11.4 -4.6 -5.0 -6.1 -1.2 -15.8 8.8 -12.3 6.3 5.5 -2.7 18.1 18.1 16.5 15.8 3.8 3.7 -7.6 2.1 0.1 -20.0 5.2 -4.4 3.4 1.3 1.9 5.2 20.0 13.6 9.6 18.9 15.6 -20.0 -16.1 -20.0 -10.0 SOYMEAL -9.2 19.0 4.4 -1.2 -6.8 -2.7 -3.0 -3.6 -0.7 -10.5 3.7 -9.3 3.7 3.2 5.3 20.0 18.2 17.6 17.2 5.9 5.5 -13.3 3.9 -1.9 -20.0 2.6 -4.9 2.5 -3.0 2.3 0.3 20.0 -15.0 -2.6 20.0 15.6 -20.0 -20.0 -20.0 -20.0 SOYOIL 19.7 -12.3 -20.0 -1.2 -6.4 -2.6 -2.8 -3.4 -0.7 -3.6 -2.3 3.0 -3.5 -1.8 -8.1 3.3 10.1 6.9 8.6 -7.7 -8.1 0.1 -4.5 -1.7 -20.0 -1.1 -0.2 -2.0 2.2 -1.3 1.6 17.5 18.8 15.9 -6.2 -9.8 -8.2 1.7 7.5 14.5 SP400 20.0 7.8 -15.8 1.8 3.2 -0.1 3.8 -0.1 3.8 11.0 -3.4 12.1 -1.0 11.7 0.5 -6.0 -5.2 -5.7 -5.5 4.2 -2.8 18.1 -3.0 14.1 -9.0 1.4 6.1 -0.6 5.5 -0.4 4.4 1.0 5.7 0.0 -4.4 -5.3 -11.0 -11.5 -16.3 -20.0 SP500_micro 20.0 12.5 -9.6 2.4 4.4 -0.1 5.2 -0.2 5.2 2.6 5.7 15.5 9.3 16.6 10.6 -10.9 -10.0 -11.0 -10.9 15.8 7.0 17.6 6.7 20.0 -19.6 3.5 1.2 1.7 4.3 2.2 5.8 -7.8 -10.2 5.0 4.8 2.9 1.3 -8.9 3.4 -12.6 SUGAR11 -15.7 -11.0 -1.1 -2.1 -11.2 -4.5 -5.0 -6.0 -1.2 -12.3 16.0 -14.6 18.1 -4.8 11.8 20.0 20.0 20.0 20.0 2.4 13.7 -20.0 20.0 -10.7 -20.0 0.7 -14.0 6.6 -11.7 12.9 -5.8 20.0 -20.0 -20.0 0.9 20.0 -10.5 -16.3 12.2 4.8 US10 20.0 20.0 3.1 0.7 2.4 -1.0 2.6 -2.0 2.2 3.6 -4.8 6.1 -5.9 6.6 1.0 -6.6 -7.0 -6.8 -7.3 1.9 -4.1 7.3 -7.5 6.8 1.1 0.8 1.6 -1.4 2.9 -2.4 2.8 -10.1 2.5 2.6 -0.9 -1.0 -20.0 -20.0 -4.9 2.6 US10U 20.0 20.0 -0.7 0.9 3.1 -1.3 3.4 -2.6 2.9 4.7 -6.2 7.9 -7.7 8.7 0.3 2.5 -0.2 1.0 0.1 1.8 -6.1 9.2 -10.2 8.6 -1.9 0.8 1.9 -2.1 3.6 -3.2 3.5 2.3 2.4 3.3 -1.7 -2.9 -20.0 -20.0 3.3 14.7 US2 18.3 20.0 20.0 0.7 2.5 -1.1 2.7 -2.1 2.3 4.0 -6.3 5.7 -7.2 6.0 1.5 -20.0 -20.0 -20.0 -20.0 2.1 -4.1 8.8 -9.6 6.7 7.6 1.6 2.7 -0.9 4.0 -3.0 3.6 -20.0 8.2 1.2 -0.1 4.3 -15.1 -20.0 -7.1 -20.0 US20 20.0 19.5 -3.5 0.7 2.3 -1.0 2.6 -1.9 2.1 4.1 -4.4 6.1 -5.5 6.5 0.1 -0.3 -1.4 -0.8 -1.3 1.2 -5.3 7.1 -8.3 6.8 -1.7 0.4 1.6 -1.7 2.5 -2.4 2.4 -0.4 2.4 3.6 -0.5 -4.2 -11.7 -20.0 13.1 20.0 US30 20.0 17.2 -2.4 0.7 2.5 -1.1 2.8 -2.1 2.3 4.9 -4.9 6.9 -6.2 7.1 -0.3 -4.1 -4.1 -4.7 -4.8 1.1 -5.6 7.9 -9.1 7.2 -1.3 0.4 1.8 -1.9 2.9 -2.7 2.7 -5.1 2.3 3.4 -1.6 -3.6 -6.4 -20.0 20.0 20.0 US5 20.0 20.0 8.3 0.7 2.5 -1.0 2.7 -2.0 2.3 3.7 -5.1 6.1 -6.2 6.7 1.7 -9.1 -10.3 -10.5 -11.2 2.5 -3.3 7.9 -7.2 7.1 3.0 1.2 1.9 -1.0 3.3 -2.3 3.2 -16.3 3.9 2.0 -0.3 1.5 -20.0 -20.0 -16.1 -15.7 VIX -18.4 -12.2 10.2 -4.0 -0.6 -4.4 -2.4 -6.3 -4.1 -8.7 -15.7 -14.8 -16.1 -16.2 -14.4 -20.0 -20.0 -20.0 -20.0 -18.1 -17.8 -12.3 -20.0 -19.4 NaN -4.7 -0.7 -4.9 -3.1 -7.3 -5.2 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 0.9 4.5 -16.6 -2.2 -11.7 -4.7 -5.2 -6.3 -1.2 17.9 -19.1 5.1 -20.0 -0.9 -15.2 -13.3 -10.9 -12.8 -12.1 -13.0 -20.0 11.1 -20.0 -3.1 -4.1 -4.3 15.7 -6.9 8.2 -8.2 0.6 -18.3 20.0 -1.2 -6.0 -14.9 -20.0 -20.0 -20.0 -18.1 End of report for caleb_strategy_v3