******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231211_204258 produced at 2023-12-12 11:05:52.807660 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.25 0.0 0.09 -0.09 -0.09 -0.09 -45.73 17.0 -17 -17 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -1.23 11.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.10 -0.09 0.0 0.65 -0.65 -0.10 -0.15 -1.82 13.0 -2 -3 caleb_strategy_v3 US2 False True 0.07 0.00 -0.08 0.0 0.00 0.00 0.00 0.00 -1.15 13.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 -0.07 0.0 0.76 -0.76 0.00 0.00 -2.77 29.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.07 0.0 0.05 -0.05 -0.05 -0.05 -32.40 26.0 -23 -25 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -4.76 5.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 -0.07 -0.05 0.0 0.40 -0.40 -0.07 -0.05 -2.21 17.0 -3 -2 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.05 0.0 0.11 -0.11 -0.05 -0.05 -6.05 12.0 -5 -5 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.18 -0.18 -0.02 -0.02 -13.71 51.0 -6 -6 caleb_strategy_v3 EUR False False 0.05 0.00 -0.04 0.0 0.67 -0.67 0.00 0.00 -0.74 14.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.04 0.0 0.31 -0.31 0.00 0.00 -1.05 8.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.11 -0.04 0.0 0.95 -0.95 -0.11 -0.04 -0.94 25.0 -3 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.03 0.0 0.16 -0.16 -0.06 -0.06 -2.13 11.0 -4 -4 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.75 24.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 -0.03 0.0 999.00 -999.00 0.00 0.00 -0.68 999999999.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.11 -0.03 0.0 0.40 -0.40 -0.11 -0.15 -4.68 56.0 -16 -21 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.49 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.02 0.0 0.23 -0.23 0.00 0.00 -5.30 68.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -4.57 3.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.02 0.0 0.19 -0.19 0.00 0.00 -0.24 2.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -1.70 8.0 -3 -3 caleb_strategy_v3 PALLAD False False 0.03 -0.07 -0.02 0.0 0.07 -0.07 -0.07 -0.07 -0.47 2.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.10 -0.10 -0.03 -0.05 -1.88 9.0 -3 -4 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.02 0.0 0.20 -0.20 0.00 0.00 -0.70 6.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -0.22 4.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.64 0.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.04 -0.01 0.0 0.13 -0.13 -0.04 -0.03 -0.45 9.0 -3 -2 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.01 0.0 0.40 -0.40 0.00 0.00 -1.28 48.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.01 -0.01 0.0 0.14 -0.14 -0.01 -0.01 -0.51 13.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.01 0.0 0.15 -0.15 -0.01 -0.01 -1.36 18.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 -0.31 -0.01 0.0 0.66 -0.66 -0.31 -0.31 -0.31 17.0 -8 -8 caleb_strategy_v3 HEATOIL False False 0.04 -0.04 -0.01 0.0 0.11 -0.11 -0.04 -0.04 -0.38 3.0 -1 -1 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.01 0.0 0.52 -0.52 -0.03 -0.03 -0.33 17.0 -1 -1 caleb_strategy_v3 US10U False False 0.04 0.00 0.00 0.0 0.53 -0.53 0.00 0.00 0.01 13.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.00 0.0 0.11 -0.11 -0.03 -0.03 -0.40 10.0 -3 -3 caleb_strategy_v3 US20 False False 0.04 0.00 0.00 0.0 0.38 -0.38 0.00 0.00 0.10 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.00 -0.00 0.0 0.16 -0.16 0.00 0.00 -0.15 7.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.22 0.00 0.0 0.27 -0.27 0.22 0.22 0.06 6.0 5 5 caleb_strategy_v3 RICE False True 0.01 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.39 4.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.00 0.0 0.10 -0.10 0.00 0.00 0.07 4.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.02 6.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.12 0.00 0.0 0.44 -0.44 0.12 0.12 0.09 19.0 5 5 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.00 0.0 0.27 -0.27 -0.01 0.00 -0.36 23.0 -1 0 caleb_strategy_v3 PLAT False False 0.02 0.05 0.01 0.0 0.16 -0.16 0.05 0.03 0.58 10.0 3 2 caleb_strategy_v3 BOBL False False 0.04 0.00 0.01 0.0 0.85 -0.85 0.00 0.00 0.24 19.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.0 0.21 -0.21 0.02 0.03 1.47 23.0 2 3 caleb_strategy_v3 DOW False False 0.01 0.07 0.01 0.0 0.43 -0.43 0.07 0.05 1.86 66.0 11 8 caleb_strategy_v3 BUXL False False 0.05 0.10 0.01 0.0 0.21 -0.21 0.10 0.10 0.13 4.0 2 2 caleb_strategy_v3 OJ False False 0.02 0.00 0.02 0.0 0.06 -0.06 0.00 0.00 0.98 3.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.02 0.0 0.51 -0.51 0.00 0.00 0.33 10.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.03 0.03 0.0 0.61 -0.61 0.03 0.00 0.90 22.0 1 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.03 0.0 0.13 -0.13 0.05 0.08 1.26 5.0 2 3 caleb_strategy_v3 NZD False False 0.02 0.02 0.03 0.0 0.46 -0.46 0.02 0.02 1.37 21.0 1 1 caleb_strategy_v3 COCOA False False 0.01 0.07 0.04 0.0 0.39 -0.39 0.07 0.07 2.57 26.0 5 5 caleb_strategy_v3 NIKKEI False False 0.01 0.22 0.05 0.0 0.29 -0.29 0.22 0.13 6.74 36.0 27 16 caleb_strategy_v3 BITCOIN False False 0.00 0.07 0.05 0.0 0.09 -0.09 0.07 0.07 35.19 59.0 49 49 caleb_strategy_v3 SMI False False 0.04 0.00 0.05 0.0 0.40 -0.40 0.00 0.22 1.17 9.0 0 5 caleb_strategy_v3 BTP False False 0.04 0.22 0.06 0.0 0.44 -0.44 0.22 0.18 1.38 10.0 5 4 caleb_strategy_v3 CAC False True 0.03 0.00 0.08 0.0 0.00 0.00 0.00 0.00 2.90 12.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 0.11 0.0 0.49 -0.49 0.00 0.00 2.23 10.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.21 0.12 0.0 0.35 -0.35 0.21 0.21 7.12 20.0 12 12 caleb_strategy_v3 DAX False False 0.01 0.01 0.16 0.0 0.38 -0.38 0.01 0.01 25.21 58.0 2 1 caleb_strategy_v3 MXP False False 0.01 0.35 0.19 0.0 0.61 -0.61 0.35 0.35 18.98 60.0 34 34 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.42 0.55 0.0 0.56 -0.56 0.42 0.42 15.67 16.0 12 12 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.47 1.05 0.0 0.93 -0.93 0.47 0.19 11.30 10.0 5 2 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 18.1 Shocked risk 46.9 Sum abs risk 49.2 Leverage 4.12 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2827981.98, 'annual_cash_vol_target': 706995.495, 'daily_cash_vol_target': 44187.2184375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0046 0.6567 0.6941 11.1054 BITCOIN 1306.9945 40945.0000 3.1921 51.0732 BOBL 0.2859 117.9500 0.2424 3.8786 BTP 0.6491 115.8800 0.5601 8.9618 BUND 0.5696 134.8300 0.4224 6.7590 BUXL 1.3806 136.6000 1.0107 16.1715 CAC 50.5478 7588.5000 0.6661 10.6578 CAD 0.0028 0.7379 0.3849 6.1581 CANOLA 8.9998 679.8000 1.3239 21.1823 CHF 0.0048 1.1391 0.4213 6.7414 COCOA 47.4449 4216.0000 1.1254 18.0057 COFFEE 3.9086 181.7000 2.1511 34.4179 COPPER 0.0450 3.7840 1.1889 19.0228 CORN 4.6473 510.5000 0.9103 14.5655 COTTON2 1.1523 81.9000 1.4069 22.5111 CRUDE_W 1.1895 71.0100 1.6751 26.8020 DAX 105.5551 17025.0000 0.6200 9.9200 DOW 204.9740 36761.0000 0.5576 8.9214 DX 0.4577 103.7050 0.4414 7.0621 EUR 0.0051 1.0808 0.4729 7.5657 EURIBOR-ICE 0.0548 97.7400 0.0561 0.8971 EUROSTX 32.3026 4589.0000 0.7039 11.2626 FEEDCOW 2.8795 218.6250 1.3171 21.0736 GASOIL 13.1720 742.0000 1.7752 28.4033 GASOLINE 0.0422 2.0756 2.0341 32.5458 GAS_US_mini 0.0921 2.3450 3.9296 62.8741 GBP 0.0069 1.2564 0.5466 8.7452 GOLD_micro 16.7596 1997.6000 0.8390 13.4238 HEATOIL 0.0446 2.5391 1.7558 28.0922 JGB-SGX-mini 0.3474 145.1800 0.2393 3.8289 JPY 0.0001 0.0070 0.7206 11.5291 LEANHOG 1.2845 75.1750 1.7087 27.3389 LIVECOW 1.9408 168.1000 1.1545 18.4727 LUMBER-new 7.1592 553.0000 1.2946 20.7139 MILK 0.1987 16.7600 1.1856 18.9694 MXP 0.0005 0.0574 0.7853 12.5643 NASDAQ_micro 127.2691 16438.5000 0.7742 12.3874 NIKKEI 303.2168 33025.0000 0.9181 14.6903 NZD 0.0042 0.6128 0.6835 10.9355 OAT 0.5830 129.0000 0.4520 7.2312 OATIES 7.9537 345.0000 2.3054 36.8868 OJ 6.3923 372.9500 1.7140 27.4236 PALLAD 23.7236 967.5000 2.4520 39.2328 PLAT 15.0185 916.6000 1.6385 26.2161 REDWHEAT 11.8585 633.0000 1.8734 29.9741 RICE 0.1520 17.3350 0.8767 14.0276 ROBUSTA 36.2100 2616.0000 1.3842 22.1468 RUSSELL 21.8917 1906.3000 1.1484 18.3742 SHATZ 0.0974 106.0300 0.0918 1.4691 SILVER-mini 0.3835 23.1500 1.6565 26.5037 SMI 67.0671 11077.0000 0.6055 9.6874 SOFR 0.0803 96.4300 0.0833 1.3330 SOYBEAN 11.2518 1287.7500 0.8738 13.9801 SOYMEAL 5.6171 405.1000 1.3866 22.1855 SOYOIL 0.8496 51.1500 1.6611 26.5769 SP400 24.7586 2675.3000 0.9255 14.8072 SP500_micro 28.3564 4673.7500 0.6067 9.7075 SUGAR11 0.4535 21.7200 2.0882 33.4106 US10 0.4936 110.3281 0.4474 7.1583 US10U 0.6720 114.5312 0.5867 9.3873 US2 0.1308 102.1758 0.1281 2.0489 US20 0.9993 118.9688 0.8400 13.4397 US30 1.4663 126.6875 1.1574 18.5185 US5 0.3204 106.9766 0.2995 4.7927 VIX 0.4770 15.7000 3.0385 48.6157 WHEAT 9.4946 647.7500 1.4658 23.4525 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 656.75 0.69 455.84 1.00 455.84 44187.22 96.94 0.35 3.40 BITCOIN 40.94 3.19 130.70 1.00 130.70 44187.22 338.08 9.61 324.98 BOBL 1179.50 0.24 285.93 1.08 308.21 44187.22 143.37 1.66 23.78 BTP 1158.80 0.56 649.06 1.08 699.65 44187.22 63.16 6.42 40.56 BUND 1348.30 0.42 569.57 1.08 613.97 44187.22 71.97 4.55 32.73 BUXL 1366.00 1.01 1380.64 1.08 1488.26 44187.22 29.69 4.27 12.69 CAC 758.85 0.67 505.48 1.08 544.88 44187.22 81.10 10.49 85.09 CAD 737.90 0.38 284.00 1.00 284.00 44187.22 155.59 -6.85 -106.64 CANOLA 135.96 1.32 180.00 0.74 132.52 44187.22 333.44 -16.90 -563.45 CHF 1423.88 0.42 599.93 1.00 599.93 44187.22 73.65 -9.51 -70.03 COCOA 421.60 1.13 474.45 1.00 474.45 44187.22 93.13 12.88 119.95 COFFEE 681.38 2.15 1465.72 1.00 1465.72 44187.22 30.15 0.51 1.53 COPPER 946.00 1.19 1124.72 1.00 1124.72 44187.22 39.29 -1.65 -6.47 CORN 255.25 0.91 232.37 1.00 232.37 44187.22 190.16 -13.09 -248.87 COTTON2 409.50 1.41 576.14 1.00 576.14 44187.22 76.69 -12.98 -99.54 CRUDE_W 710.10 1.68 1189.51 1.00 1189.51 44187.22 37.15 3.13 11.64 DAX 170.25 0.62 105.56 1.08 113.78 44187.22 388.35 19.04 739.22 DOW 183.80 0.56 102.49 1.00 102.49 44187.22 431.15 1.85 79.96 DX 1037.05 0.44 457.73 1.00 457.73 44187.22 96.54 -2.73 -26.36 EUR 1351.06 0.47 638.86 1.00 638.86 44187.22 69.17 -4.15 -28.70 EURIBOR-ICE 2443.50 0.06 137.01 1.08 147.69 44187.22 299.19 11.07 331.17 EUROSTX 458.90 0.70 323.03 1.08 348.21 44187.22 126.90 16.45 208.78 FEEDCOW 1093.12 1.32 1439.76 1.00 1439.76 44187.22 30.69 -10.35 -31.78 GASOIL 742.00 1.78 1317.20 1.00 1317.20 44187.22 33.55 0.51 1.70 GASOLINE 871.75 2.03 1773.24 1.00 1773.24 44187.22 24.92 -2.00 -4.98 GAS_US_mini 58.63 3.93 230.37 1.00 230.37 44187.22 191.81 -15.60 -299.17 GBP 785.25 0.55 429.20 1.00 429.20 44187.22 102.95 3.38 34.83 GOLD_micro 199.76 0.84 167.60 1.00 167.60 44187.22 263.65 -5.20 -137.08 HEATOIL 1066.42 1.76 1872.38 1.00 1872.38 44187.22 23.60 -3.75 -8.85 JGB-SGX-mini 145180.00 0.24 34742.49 0.01 240.94 44187.22 183.39 7.89 144.69 JPY 868.81 0.72 626.04 1.00 626.04 44187.22 70.58 -1.79 -12.66 LEANHOG 300.70 1.71 513.80 1.00 513.80 44187.22 86.00 -0.98 -8.46 LIVECOW 672.40 1.15 776.32 1.00 776.32 44187.22 56.92 -11.69 -66.54 LUMBER-new 152.08 1.29 196.88 1.00 196.88 44187.22 224.44 -9.54 -214.05 MILK 335.20 1.19 397.41 1.00 397.41 44187.22 111.19 -20.00 -222.38 MXP 287.05 0.79 225.41 1.00 225.41 44187.22 196.03 6.59 129.28 NASDAQ_micro 328.77 0.77 254.54 1.00 254.54 44187.22 173.60 -0.89 -15.44 NIKKEI 33025.00 0.92 30321.68 0.01 210.28 44187.22 210.13 2.96 62.20 NZD 612.75 0.68 418.80 1.00 418.80 44187.22 105.51 5.00 52.75 OAT 1290.00 0.45 583.02 1.08 628.46 44187.22 70.31 9.29 65.33 OATIES 172.50 2.31 397.69 1.00 397.69 44187.22 111.11 -12.92 -143.59 OJ 559.43 1.71 958.84 1.00 958.84 44187.22 46.08 9.90 45.64 PALLAD 967.50 2.45 2372.36 1.00 2372.36 44187.22 18.63 -7.45 -13.88 PLAT 458.30 1.64 750.93 1.00 750.93 44187.22 58.84 2.89 16.99 REDWHEAT 316.50 1.87 592.93 1.00 592.93 44187.22 74.52 -17.15 -127.84 RICE 346.70 0.88 303.96 1.00 303.96 44187.22 145.37 1.09 15.83 ROBUSTA 261.60 1.38 362.10 1.00 362.10 44187.22 122.03 10.34 126.15 RUSSELL 95.32 1.15 109.46 1.00 109.46 44187.22 403.69 -3.96 -159.86 SHATZ 1060.30 0.09 97.35 1.08 104.94 44187.22 421.07 -1.76 -74.13 SILVER-mini 578.75 1.66 958.69 1.00 958.69 44187.22 46.09 -4.09 -18.87 SMI 1107.70 0.61 670.67 1.14 765.81 44187.22 57.70 5.93 34.24 SOFR 2410.75 0.08 200.85 1.00 200.85 44187.22 220.00 -0.92 -20.30 SOYBEAN 643.88 0.87 562.59 1.00 562.59 44187.22 78.54 -2.00 -15.73 SOYMEAL 405.10 1.39 561.71 1.00 561.71 44187.22 78.67 -6.10 -47.96 SOYOIL 306.90 1.66 509.78 1.00 509.78 44187.22 86.68 -5.01 -43.40 SP400 2675.30 0.93 2475.86 1.00 2475.86 44187.22 17.85 -4.12 -7.36 SP500_micro 233.69 0.61 141.78 1.00 141.78 44187.22 311.66 -1.77 -55.08 SUGAR11 243.26 2.09 507.97 1.00 507.97 44187.22 86.99 -7.37 -64.10 US10 1103.28 0.45 493.60 1.00 493.60 44187.22 89.52 -2.75 -24.65 US10U 1145.31 0.59 671.96 1.00 671.96 44187.22 65.76 0.12 0.80 US2 2043.52 0.13 261.69 1.00 261.69 44187.22 168.85 -5.35 -90.39 US20 1189.69 0.84 999.32 1.00 999.32 44187.22 44.22 1.82 8.05 US30 1266.88 1.16 1466.29 1.00 1466.29 44187.22 30.14 1.67 5.04 US5 1069.77 0.30 320.44 1.00 320.44 44187.22 137.90 -5.36 -73.93 VIX 157.00 3.04 477.04 1.00 477.04 44187.22 92.63 -20.00 -185.26 WHEAT 323.88 1.47 474.73 1.00 474.73 44187.22 93.08 -15.24 -141.82 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 3.403 0.010 2.5 0.088 BITCOIN 324.978 0.043 2.5 35.192 BOBL 23.780 0.004 2.5 0.241 BTP 40.556 0.014 2.5 1.383 BUND 32.729 0.004 2.5 0.332 BUXL 12.689 0.004 2.5 0.129 CAC 85.087 0.014 2.5 2.902 CAD -106.644 0.010 2.5 -2.767 CANOLA -563.450 0.010 2.5 -13.708 CHF -70.026 0.010 2.5 -1.817 COCOA 119.948 0.009 2.5 2.569 COFFEE 1.532 0.005 2.5 0.018 COPPER -6.471 0.043 2.5 -0.701 CORN -248.872 0.010 2.5 -6.055 COTTON2 -99.542 0.009 2.5 -2.132 CRUDE_W 11.637 0.043 2.5 1.260 DAX 739.218 0.014 2.5 25.214 DOW 79.962 0.009 2.5 1.858 DX -26.357 0.010 2.5 -0.684 EUR -28.702 0.010 2.5 -0.745 EURIBOR-ICE 331.173 0.014 2.5 11.296 EUROSTX 208.783 0.014 2.5 7.121 FEEDCOW -31.776 0.013 2.5 -1.053 GASOIL 1.695 0.017 2.5 0.073 GASOLINE -4.981 0.017 2.5 -0.216 GAS_US_mini -299.169 0.043 2.5 -32.397 GBP 34.825 0.010 2.5 0.904 GOLD_micro -137.078 0.014 2.5 -4.676 HEATOIL -8.854 0.017 2.5 -0.384 JGB-SGX-mini 144.690 0.043 2.5 15.668 JPY -12.659 0.010 2.5 -0.328 LEANHOG -8.461 0.024 2.5 -0.514 LIVECOW -66.540 0.013 2.5 -2.205 LUMBER-new -214.055 0.009 2.5 -4.568 MILK -222.377 0.009 2.5 -4.763 MXP 129.278 0.059 2.5 18.975 NASDAQ_micro -15.440 0.009 2.5 -0.359 NIKKEI 62.203 0.043 2.5 6.736 NZD 52.751 0.010 2.5 1.369 OAT 65.332 0.014 2.5 2.228 OATIES -143.587 0.010 2.5 -3.493 OJ 45.637 0.009 2.5 0.977 PALLAD -13.877 0.014 2.5 -0.473 PLAT 16.987 0.014 2.5 0.579 REDWHEAT -127.838 0.005 2.5 -1.696 RICE 15.833 0.010 2.5 0.385 ROBUSTA 126.153 0.005 2.5 1.473 RUSSELL -159.857 0.013 2.5 -5.297 SHATZ -74.134 0.004 2.5 -0.752 SILVER-mini -18.867 0.014 2.5 -0.644 SMI 34.238 0.014 2.5 1.168 SOFR -20.304 0.024 2.5 -1.234 SOYBEAN -15.726 0.004 2.5 -0.146 SOYMEAL -47.964 0.004 2.5 -0.446 SOYOIL -43.404 0.004 2.5 -0.404 SP400 -7.360 0.013 2.5 -0.244 SP500_micro -55.078 0.009 2.5 -1.280 SUGAR11 -64.096 0.009 2.5 -1.363 US10 -24.653 0.005 2.5 -0.312 US10U 0.798 0.005 2.5 0.010 US2 -90.393 0.005 2.5 -1.145 US20 8.045 0.005 2.5 0.102 US30 5.044 0.005 2.5 0.064 US5 -73.933 0.005 2.5 -0.937 VIX -185.255 0.099 2.5 -45.730 WHEAT -141.820 0.005 2.5 -1.881 ===================== Position diags ===================== AUD 2.52 BITCOIN 36.61 BOBL 1.45 BTP 2.15 BUND 0.73 BUXL 0.30 CAC 2.77 CAD 4.04 CANOLA 8.11 CHF 1.91 COCOA 1.99 COFFEE 0.35 COPPER 4.25 CORN 4.63 COTTON2 1.64 CRUDE_W 4.02 DAX 13.25 DOW 10.02 DX 2.50 EUR 1.79 EURIBOR-ICE 10.20 EUROSTX 4.33 FEEDCOW 1.02 GASOIL 1.45 GASOLINE 1.08 GAS_US_mini 20.77 GBP 2.67 GOLD_micro 8.99 HEATOIL 1.02 JGB-SGX-mini 19.86 JPY 1.83 LEANHOG 5.23 LIVECOW 1.89 LUMBER-new 4.79 MILK 2.38 MXP 28.77 NASDAQ_micro 4.03 NIKKEI 22.76 NZD 2.74 OAT 2.40 OATIES 2.70 OJ 0.99 PALLAD 0.64 PLAT 2.01 REDWHEAT 0.99 RICE 3.54 ROBUSTA 1.43 RUSSELL 13.38 SHATZ 4.27 SILVER-mini 1.57 SMI 1.97 SOFR 13.37 SOYBEAN 0.73 SOYMEAL 0.73 SOYOIL 0.81 SP400 0.59 SP500_micro 7.24 SUGAR11 1.85 US10 1.13 US10U 0.83 US2 2.14 US20 0.56 US30 0.38 US5 1.75 VIX 22.86 WHEAT 1.23 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.1 -0.2 0.3 5.0 5 BITCOIN 35.2 31.5 38.9 49.0 49 BOBL 0.2 0.1 0.4 0.0 0 BTP 1.4 1.2 1.6 5.0 4 BUND 0.3 0.3 0.4 0.0 0 BUXL 0.1 0.1 0.2 2.0 2 CAC 2.9 2.6 3.2 0.0 0 CAD -2.8 -3.2 -2.4 0.0 0 CANOLA -13.7 -14.5 -12.9 -6.0 -6 CHF -1.8 -2.0 -1.6 -2.0 -2 COCOA 2.6 2.4 2.8 5.0 5 COFFEE 0.0 -0.0 0.1 0.0 0 COPPER -0.7 -1.1 -0.3 0.0 0 CORN -6.1 -6.5 -5.6 -5.0 -5 COTTON2 -2.1 -2.3 -2.0 -4.0 -4 CRUDE_W 1.3 0.9 1.7 2.0 2 DAX 25.2 23.9 26.5 2.0 1 DOW 1.9 0.9 2.9 11.0 11 DX -0.7 -0.9 -0.4 NaN 0 EUR -0.7 -0.9 -0.6 0.0 0 EURIBOR-ICE 11.3 10.3 12.3 5.0 2 EUROSTX 7.1 6.7 7.6 12.0 12 FEEDCOW -1.1 -1.2 -1.0 0.0 0 GASOIL 0.1 -0.1 0.2 0.0 0 GASOLINE -0.2 -0.3 -0.1 0.0 0 GAS_US_mini -32.4 -34.5 -30.3 -23.0 -23 GBP 0.9 0.6 1.2 1.0 1 GOLD_micro -4.7 -5.6 -3.8 -16.0 -16 HEATOIL -0.4 -0.5 -0.3 -1.0 -1 JGB-SGX-mini 15.7 13.7 17.7 12.0 12 JPY -0.3 -0.5 -0.1 -1.0 -1 LEANHOG -0.5 -1.0 0.0 -1.0 -1 LIVECOW -2.2 -2.4 -2.0 -3.0 -3 LUMBER-new -4.6 -5.0 -4.1 NaN 0 MILK -4.8 -5.0 -4.5 NaN 0 MXP 19.0 16.1 21.9 34.0 34 NASDAQ_micro -0.4 -0.8 0.0 -1.0 -1 NIKKEI 6.7 4.5 9.0 27.0 25 NZD 1.4 1.1 1.6 1.0 1 OAT 2.2 2.0 2.5 0.0 0 OATIES -3.5 -3.8 -3.2 NaN 0 OJ 1.0 0.9 1.1 NaN 0 PALLAD -0.5 -0.5 -0.4 -2.0 -2 PLAT 0.6 0.4 0.8 3.0 3 REDWHEAT -1.7 -1.8 -1.6 -3.0 -3 RICE 0.4 0.0 0.7 NaN 0 ROBUSTA 1.5 1.3 1.6 2.0 3 RUSSELL -5.3 -6.6 -4.0 0.0 0 SHATZ -0.8 -1.2 -0.3 NaN 0 SILVER-mini -0.6 -0.8 -0.5 NaN 0 SMI 1.2 1.0 1.4 0.0 5 SOFR -1.2 -2.6 0.1 NaN 0 SOYBEAN -0.1 -0.2 -0.1 0.0 0 SOYMEAL -0.4 -0.5 -0.4 -3.0 -3 SOYOIL -0.4 -0.5 -0.3 -3.0 -3 SP400 -0.2 -0.3 -0.2 0.0 0 SP500_micro -1.3 -2.0 -0.6 0.0 0 SUGAR11 -1.4 -1.5 -1.2 -1.0 -1 US10 -0.3 -0.4 -0.2 -8.0 -8 US10U 0.0 -0.1 0.1 0.0 0 US2 -1.1 -1.4 -0.9 NaN 0 US20 0.1 0.0 0.2 0.0 0 US30 0.1 0.0 0.1 5.0 5 US5 -0.9 -1.1 -0.8 -3.0 -3 VIX -45.7 -48.0 -43.4 -17.0 -17 WHEAT -1.9 -2.0 -1.8 -3.0 -3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.8 3.8 3.7 1.3 1.0 3.1 1.3 4.2 1.3 1.0 3.1 1.3 3.8 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 0.4 0.6 0.1 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.2 0.0 -0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.0 -0.2 0.1 0.4 0.0 -0.0 0.0 0.0 -0.1 0.0 -0.1 -0.1 -0.1 0.1 0.0 -0.4 -0.5 -0.1 0.2 BITCOIN 0.0 0.6 0.4 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.0 0.5 0.2 0.6 0.2 0.2 -0.2 -0.1 -0.2 -0.1 0.2 0.2 0.2 0.3 0.2 -2.7 0.1 0.0 0.2 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 0.6 0.6 0.5 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.1 -0.2 0.1 0.1 -0.3 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 1.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.3 0.2 0.2 0.1 0.2 -0.6 -0.7 -0.3 -0.6 BTP 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 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.1 -0.0 0.2 -1.0 0.0 0.0 0.0 0.0 -0.0 0.1 0.8 0.0 0.2 0.4 0.3 -0.5 -0.7 0.1 0.2 BUND 0.6 0.6 0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.1 -0.2 0.1 0.1 0.0 0.1 -0.0 0.0 0.1 0.0 0.1 -0.2 0.2 0.8 0.0 0.0 0.0 0.0 -0.0 0.0 0.4 0.2 0.2 0.2 0.2 -0.7 -0.7 -0.5 -0.2 BUXL 0.6 0.6 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.0 0.1 -0.3 0.1 0.1 0.0 0.0 0.0 0.0 0.1 -0.0 0.2 -0.3 0.2 0.2 0.0 0.0 0.0 0.1 -0.1 0.1 0.2 0.3 0.3 0.2 0.1 -0.7 -0.7 -0.4 0.4 CAC 0.6 0.6 -0.4 0.1 0.1 0.0 0.1 0.0 0.1 0.2 0.1 0.2 0.6 0.2 0.1 -0.2 -0.1 -0.1 -0.1 0.2 0.0 0.2 0.2 0.2 -1.0 0.1 0.1 0.0 0.1 0.1 0.1 0.1 0.5 0.3 0.0 0.1 0.3 0.2 0.5 0.4 CAD 0.5 0.2 -0.2 0.1 -0.0 0.1 0.0 0.1 0.1 -0.1 -0.3 0.1 -0.5 0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.1 -0.3 0.1 0.3 0.0 0.0 -0.1 0.0 -0.2 0.1 0.0 0.2 -0.3 -0.6 -0.5 -0.6 -0.7 -0.1 -0.5 CANOLA -0.0 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 0.0 -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 -0.1 -0.3 -0.4 -0.5 -0.5 -0.5 -0.3 -0.1 0.1 CHF 0.6 0.5 -0.4 0.0 -0.0 0.1 0.0 0.0 0.1 -0.1 -0.1 0.1 0.2 0.2 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.0 0.0 0.0 0.2 -1.3 0.0 -0.0 0.0 0.0 0.0 0.1 -1.1 0.1 0.2 0.3 -0.4 -0.7 -0.7 -0.7 -0.7 COCOA -0.0 0.6 0.1 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 0.1 0.5 0.1 0.7 0.2 0.2 0.3 -0.0 0.1 0.0 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.3 0.1 0.1 0.5 0.6 0.6 0.6 0.5 -0.1 0.7 0.5 COFFEE 0.1 0.6 0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.1 -0.0 0.1 -0.3 0.1 0.1 0.3 0.1 0.2 0.1 0.1 0.1 0.1 -0.0 0.1 -2.5 0.1 0.0 0.1 0.0 0.0 0.1 0.5 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.4 COPPER 0.4 0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.2 0.0 -0.2 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.0 -0.1 0.1 -0.8 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.1 0.3 0.3 0.3 0.0 -0.2 -0.5 0.1 -0.4 CORN 0.0 0.1 -0.3 -0.0 -0.0 -0.2 -0.1 -0.2 -0.1 0.0 -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 -0.0 -0.1 0.0 -0.4 0.0 -0.2 0.4 0.3 -0.0 0.2 -0.3 -0.2 0.1 0.1 COTTON2 0.2 -0.6 -0.3 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 0.1 -0.2 0.1 -0.3 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.2 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 0.5 0.4 -0.6 -0.2 -0.5 -0.4 -0.0 0.1 CRUDE_W -0.3 -0.6 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 0.2 -0.1 0.3 -0.2 -0.1 0.1 0.2 0.2 0.2 -0.1 0.0 -0.1 0.3 -0.2 -0.6 -0.0 -0.0 0.1 -0.1 0.2 -0.1 -1.0 0.2 0.3 0.3 0.4 0.7 0.4 0.7 0.4 DAX 0.6 0.6 -0.3 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.1 0.2 0.5 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.1 0.2 0.1 0.2 2.5 0.1 0.1 0.0 0.1 0.0 0.1 -0.3 0.5 0.6 0.6 0.3 0.2 0.1 0.5 0.5 DOW 0.6 0.6 -0.1 0.0 0.0 0.0 0.1 0.0 0.1 0.1 0.2 0.2 0.4 0.2 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.1 0.2 0.1 0.2 -1.5 0.1 0.0 0.1 0.1 0.0 0.1 -0.3 0.3 0.4 0.4 0.1 -0.5 -0.2 -0.6 -0.2 DX -0.4 -0.6 0.2 0.0 -0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.0 -0.1 -0.1 -0.0 0.1 0.1 0.1 0.1 -0.1 0.0 0.0 0.1 -0.1 -2.7 -0.0 0.0 0.0 0.0 0.1 -0.0 0.8 0.2 -0.6 -0.6 0.3 0.4 0.2 0.5 0.5 EUR 0.1 0.6 -0.2 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.1 0.2 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 -0.1 -0.1 0.0 1.5 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.4 -0.5 -0.5 0.1 -0.3 -0.5 -0.5 -0.5 -0.2 EURIBOR-ICE 0.6 0.6 0.6 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 0.1 0.1 -0.1 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.1 0.1 0.1 -0.0 0.2 2.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.5 0.3 0.3 0.4 0.5 -0.7 -0.7 0.1 0.7 EUROSTX 0.6 0.6 -0.2 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.1 0.2 0.6 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.3 0.2 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.5 0.5 0.4 0.3 0.1 0.2 0.3 0.5 FEEDCOW -0.2 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 -0.2 -0.4 -0.2 -0.3 -0.2 -0.1 -0.1 -0.0 -0.2 -0.1 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -1.1 0.0 -0.2 -0.6 -0.4 0.4 0.0 0.7 0.3 GASOIL -0.3 -0.6 -0.1 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 0.2 -0.1 0.2 -0.2 -0.1 0.2 0.4 0.4 0.4 -0.1 0.0 -0.2 0.3 -0.2 1.1 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.0 -0.1 0.1 0.0 0.2 -0.3 -0.1 -0.4 -0.2 GASOLINE -0.1 -0.5 -0.6 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.4 0.2 0.4 -0.1 -0.0 -0.1 0.1 -0.1 -2.7 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.4 0.1 0.3 0.4 -0.3 0.7 0.4 0.7 0.3 GAS_US_mini -0.6 -0.6 0.3 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.1 -0.4 -0.2 -0.5 -0.2 -0.2 -0.2 -0.4 -0.4 -0.4 -0.2 -0.2 -0.2 -0.5 -0.2 2.5 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -1.1 -0.4 -0.6 -0.4 -0.4 -0.5 0.2 -0.7 0.1 GBP 0.5 0.6 -0.3 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 0.1 0.3 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.0 -0.0 0.1 0.2 0.0 -0.0 0.0 0.0 -0.0 0.0 0.2 -0.1 -0.1 0.2 -0.3 -0.4 0.1 -0.2 0.6 GOLD_micro 0.2 0.5 0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.0 0.2 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.0 -0.1 0.0 0.1 -0.7 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.8 0.2 0.3 0.6 0.3 -0.5 -0.7 -0.4 -0.7 HEATOIL -0.3 -0.6 -0.2 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 0.1 -0.1 0.2 -0.2 -0.1 0.3 0.4 0.4 0.4 -0.1 0.0 -0.2 0.2 -0.2 -2.4 -0.0 -0.0 0.0 -0.1 0.2 -0.1 0.2 -0.0 0.3 0.1 -0.0 0.4 -0.0 0.2 -0.2 JGB-SGX-mini 0.6 0.6 -0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.1 0.0 0.0 0.3 0.4 0.3 0.3 0.0 0.0 -0.0 -0.0 0.0 -0.2 0.0 -0.0 -0.0 0.0 -0.0 0.0 1.1 -0.2 0.1 -0.2 -0.0 0.1 -0.7 0.5 0.6 JPY 0.6 0.6 0.2 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 -0.3 0.1 -0.4 0.1 -0.0 -0.3 -0.3 -0.4 -0.4 -0.0 -0.1 0.1 -0.4 0.1 2.7 -0.0 0.0 -0.1 0.1 -0.2 0.0 -1.1 0.4 0.1 -0.3 -0.4 -0.2 -0.7 0.0 -0.7 LEANHOG -0.5 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.3 -0.1 -0.1 -0.4 0.2 -0.2 0.2 -0.1 -0.1 -0.1 -0.3 -0.1 1.7 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 1.1 0.2 -0.4 -0.2 -0.1 -0.4 -0.2 0.2 0.4 LIVECOW -0.4 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 0.0 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.4 -0.1 -0.3 -0.6 -0.3 0.0 -0.4 0.2 -0.1 LUMBER-new 0.1 0.7 0.0 -0.1 -0.0 -0.2 -0.1 -0.3 -0.1 0.2 -0.3 -0.0 -0.8 0.2 0.1 -0.3 -0.3 -0.4 -0.3 0.1 -0.0 0.1 -0.4 0.1 NaN 0.0 0.1 -0.0 0.0 -0.1 0.0 -1.2 -0.1 0.1 0.6 0.3 -0.7 -0.8 -0.4 -0.7 MILK -0.4 -0.5 -0.3 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -0.1 -0.4 -0.1 -0.5 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.1 -0.5 -0.2 1.0 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 -1.1 -0.0 -0.5 -0.6 -0.3 -0.7 -0.7 -0.7 -0.7 MXP 0.2 0.4 -0.4 0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.2 0.0 0.5 0.1 0.1 0.3 0.3 0.3 0.3 0.1 0.1 -0.0 0.3 0.1 -2.7 0.0 -0.0 0.1 -0.0 0.2 0.0 1.1 -0.3 -0.4 0.1 -0.0 0.3 0.5 0.6 0.7 NASDAQ_micro 0.5 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 -0.2 -0.2 -0.2 -0.2 0.2 0.1 0.1 0.4 0.2 -2.7 0.0 0.0 0.1 0.0 0.2 0.0 -0.3 -0.3 -0.3 -0.0 0.2 0.3 -0.3 0.3 -0.4 NIKKEI 0.0 0.3 -0.3 0.0 0.0 0.0 0.1 0.0 0.1 -0.0 0.4 -0.1 0.6 0.1 0.1 0.2 0.2 0.2 0.2 0.1 0.1 -0.0 0.4 0.0 -1.6 0.0 -0.0 0.1 -0.0 0.3 0.0 1.1 -0.5 -0.6 -0.3 0.3 -0.3 0.0 -0.2 0.2 NZD 0.6 0.6 0.2 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 0.1 -0.0 0.1 0.1 -0.0 0.0 -0.0 0.0 0.1 0.0 0.1 -0.1 0.1 0.1 0.0 -0.0 0.0 0.0 -0.0 0.0 0.2 0.1 0.1 0.0 0.1 -0.1 -0.4 -0.0 0.2 OAT 0.6 0.6 0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.0 0.1 -0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.1 -0.1 0.2 1.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.7 0.2 0.3 0.2 0.3 -0.7 -0.7 -0.2 0.3 OATIES 0.5 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.9 -0.3 -0.1 -0.5 -0.4 0.1 0.3 0.6 0.7 OJ -0.5 -0.6 0.2 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -0.0 0.4 -0.1 0.6 0.0 0.1 0.3 0.4 0.4 0.4 0.2 0.2 -0.1 0.5 0.0 -2.7 0.1 -0.0 0.2 -0.0 0.4 0.0 1.1 -0.5 0.6 0.6 0.6 0.3 0.3 0.7 0.7 PALLAD -0.1 -0.1 0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.4 -0.1 0.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.3 -0.4 -0.6 -0.5 -0.0 -0.2 0.3 -0.0 PLAT 0.3 0.3 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 0.0 -0.2 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 0.0 1.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.3 0.1 0.1 -0.1 0.1 -0.2 -0.4 0.4 -0.2 REDWHEAT 0.5 0.1 -0.5 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 0.0 -0.5 0.1 -0.6 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.5 -0.0 -2.0 -0.0 -0.0 -0.2 0.0 -0.2 0.0 -0.1 0.5 0.2 -0.4 -0.6 -0.7 -0.7 -0.7 -0.5 RICE 0.2 0.3 0.2 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.0 0.4 -0.0 0.4 0.1 0.1 -0.3 0.0 -0.3 -0.1 0.2 0.2 0.0 0.3 0.1 -2.7 0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.2 0.6 0.6 0.6 -0.0 -0.5 0.5 -0.2 ROBUSTA 0.4 0.3 -0.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.1 0.4 0.1 0.5 0.2 0.1 0.4 0.4 0.4 0.4 0.2 0.1 0.1 0.4 0.2 -2.7 0.1 0.1 0.1 0.1 0.2 0.1 1.1 0.5 0.6 0.6 0.6 -0.3 -0.5 0.2 0.0 RUSSELL 0.6 0.6 -0.3 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 0.1 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 0.1 -0.1 -0.2 -0.5 -0.5 -0.7 -0.7 SHATZ 0.6 0.6 0.6 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.1 -0.0 0.1 -0.2 0.1 1.3 0.0 0.0 0.0 0.0 -0.1 0.0 -1.1 0.3 0.2 -0.0 0.1 -0.4 -0.7 -0.2 -0.7 SILVER-mini 0.3 0.4 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 -0.0 0.0 0.8 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.4 -0.1 0.1 0.1 -0.6 -0.7 0.0 -0.7 SMI 0.6 0.3 -0.3 0.0 0.1 0.0 0.1 0.0 0.1 0.2 -0.2 0.2 0.0 0.2 0.0 0.1 0.1 0.1 0.1 0.1 -0.1 0.2 -0.2 0.2 1.1 0.0 0.1 -0.0 0.1 -0.1 0.1 0.8 0.2 -0.1 -0.6 -0.1 -0.1 -0.3 0.0 -0.2 SOFR 0.6 0.6 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 0.1 -0.1 0.1 0.1 0.0 -0.0 0.0 -0.0 0.1 -0.0 0.0 -0.1 0.1 -0.2 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 0.0 0.1 -0.7 -0.7 -0.2 -0.3 SOYBEAN -0.2 0.2 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 0.0 0.2 -0.1 0.2 -0.0 -0.1 0.3 0.4 0.3 0.3 0.0 0.0 -0.0 0.0 -0.0 -2.7 0.1 0.0 0.1 0.0 0.1 0.0 1.1 0.2 0.3 0.6 0.5 -0.7 -0.6 -0.7 -0.4 SOYMEAL -0.6 0.3 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.1 -0.0 0.0 0.4 0.4 0.3 0.3 0.0 0.0 -0.1 0.1 -0.1 -2.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 1.1 -0.3 -0.4 0.6 0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.4 -0.2 -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 0.0 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 0.1 0.4 -0.1 -0.3 -0.3 0.0 0.2 0.4 SP400 0.6 0.6 -0.4 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.1 -0.1 0.2 -1.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.1 -0.1 -0.2 -0.4 -0.4 -0.6 -0.7 SP500_micro 0.6 0.6 -0.2 0.0 0.0 0.0 0.1 0.0 0.1 0.1 0.2 0.2 0.4 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.1 0.2 0.2 0.2 -2.7 0.0 0.0 0.1 0.0 0.1 0.1 -0.4 -0.2 -0.1 0.0 0.1 0.1 -0.3 0.1 -0.4 SUGAR11 -0.6 -0.6 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 0.4 -0.1 -0.0 0.4 0.4 0.4 0.4 -0.1 0.0 -0.2 0.3 -0.2 -2.7 -0.0 -0.1 0.0 -0.1 0.1 -0.1 1.1 -0.5 -0.6 -0.5 0.4 -0.2 -0.5 0.5 0.2 US10 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 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.2 0.1 0.2 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.6 -0.1 0.0 -0.1 -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 -0.0 -0.1 0.1 -0.3 0.1 0.0 0.1 0.0 0.0 0.0 0.0 -0.0 0.1 -0.3 0.1 -0.2 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.0 -0.1 -0.1 -0.7 -0.7 0.1 0.5 US2 0.5 0.6 0.6 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.2 0.0 -0.2 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.0 -0.0 0.0 -0.2 0.1 1.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 -1.1 -0.1 0.0 -0.0 0.1 -0.5 -0.7 -0.2 -0.7 US20 0.6 0.6 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 -0.0 0.1 -0.2 0.1 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 0.0 -0.1 -0.4 -0.7 0.5 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 -0.0 0.1 -0.2 0.1 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.3 -0.0 0.1 -0.0 -0.1 -0.2 -0.7 0.7 0.7 US5 0.6 0.6 0.4 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.2 0.1 0.0 -0.2 -0.2 -0.2 -0.2 0.0 -0.0 0.0 -0.2 0.1 0.4 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.9 -0.1 0.0 -0.0 0.0 -0.7 -0.7 -0.6 -0.5 VIX -0.7 -1.0 0.5 -0.1 -0.1 -0.2 -0.1 -0.4 -0.1 -0.2 -0.8 -0.3 -1.0 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.2 -0.9 -0.3 NaN -0.1 -0.1 -0.2 -0.1 -0.5 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.3 0.3 -0.3 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 0.0 -0.5 0.1 -0.7 0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 0.0 -0.5 0.0 -0.5 -0.0 -0.1 -0.2 0.0 -0.3 0.0 -0.9 0.5 0.3 0.0 -0.3 -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 12.6 20.0 4.6 2.9 -1.0 1.4 1.2 0.9 3.4 -8.7 -5.6 3.6 -8.9 8.5 6.1 -2.7 -3.0 -3.0 -3.0 6.3 -0.8 1.4 -6.3 7.5 2.9 3.0 -1.5 0.0 0.7 -2.1 3.4 -1.1 -4.1 -2.8 1.8 0.8 -11.7 -15.0 -3.3 6.2 BITCOIN 0.7 18.5 12.3 0.7 -11.4 -0.2 -7.8 -0.1 -1.4 4.1 20.0 15.7 17.3 20.0 20.0 -9.7 -5.9 -8.7 -7.4 20.0 20.0 20.0 11.4 20.0 -20.0 8.1 0.4 5.7 6.1 3.1 8.2 -1.3 20.0 20.0 20.0 20.0 -5.7 20.0 -1.4 20.0 BOBL 20.0 20.0 14.0 1.4 0.4 -0.5 2.2 -1.7 2.6 4.1 -0.6 6.7 -5.5 7.6 6.1 -16.9 -4.3 -4.8 -4.9 8.2 1.9 11.9 -4.6 12.7 8.2 2.3 1.3 0.6 3.3 -0.8 3.5 -6.1 8.9 5.1 2.7 6.6 -17.4 -20.0 -10.2 -17.8 BTP 20.0 20.0 1.0 2.2 0.6 -0.8 3.6 -2.8 4.3 4.1 4.1 10.3 3.3 13.0 10.2 6.4 7.5 6.8 6.7 15.0 5.2 15.6 -1.8 20.0 -7.8 3.7 0.9 1.3 3.9 -0.1 5.1 14.5 0.3 6.0 11.1 8.2 -13.9 -20.0 3.3 6.2 BUND 20.0 20.0 9.6 1.5 0.4 -0.6 2.5 -1.9 3.0 5.5 -0.2 8.0 -6.3 9.0 6.5 1.6 4.0 -0.1 1.1 9.8 1.7 15.1 -5.9 15.7 5.8 2.6 2.0 0.6 3.9 -0.9 4.1 6.8 10.1 6.8 4.7 6.7 -20.0 -20.0 -16.4 -5.5 BUXL 20.0 20.0 7.5 1.8 0.5 -0.7 2.9 -2.3 3.5 7.1 -1.6 9.6 -8.5 10.7 5.9 0.3 0.7 0.4 0.6 10.8 -0.4 20.0 -9.7 19.6 1.2 2.7 3.0 0.2 4.9 -1.5 4.8 3.6 14.0 10.8 6.8 3.9 -20.0 -20.0 -12.2 11.7 CAC 20.0 17.9 -12.0 4.7 6.5 1.0 7.4 0.2 7.7 20.0 2.8 20.0 16.9 20.0 13.4 -7.7 -3.5 -6.6 -5.5 19.7 4.6 20.0 7.3 20.0 -7.4 5.6 14.0 1.4 13.0 1.4 10.5 2.2 20.0 8.8 0.9 2.5 7.5 5.6 15.2 10.8 CAD 15.7 6.9 -4.9 4.7 -1.6 2.2 2.0 1.5 5.6 -10.2 -12.3 10.2 -14.7 13.2 0.7 -2.6 -2.3 -2.6 -2.5 1.5 -7.6 8.0 -11.1 10.4 2.4 0.8 1.3 -3.9 4.2 -5.1 5.5 0.0 8.1 -8.7 -18.7 -14.2 -16.9 -20.0 -4.2 -15.3 CANOLA -1.4 -2.1 -19.6 -1.7 -1.0 -2.3 -2.8 -2.8 -2.1 -3.1 -3.7 -5.7 -4.0 -5.5 -7.8 -8.5 1.4 -9.3 -5.3 -8.6 -7.6 -8.9 -5.8 -8.8 -20.0 -3.1 -1.1 -2.8 -2.8 -2.5 -3.0 -1.4 -11.6 -12.3 -14.2 -15.0 -14.2 -9.0 -1.7 3.3 CHF 18.2 15.2 -11.4 4.3 -1.5 2.0 1.8 1.4 5.1 -14.3 -4.0 6.7 6.8 15.0 8.8 -16.1 -15.2 -16.5 -16.0 11.8 2.4 4.6 1.4 16.2 -9.4 3.9 -3.4 0.6 1.6 0.1 5.6 -20.0 3.2 6.2 8.3 -13.3 -20.0 -20.0 -20.0 -20.0 COCOA -0.7 17.5 2.1 -4.5 -2.6 -5.8 -7.1 -7.0 -5.3 8.4 20.0 13.7 20.0 20.0 20.0 14.5 -0.1 5.4 1.7 20.0 20.0 18.8 20.0 20.0 -20.0 8.6 2.4 8.8 3.6 8.8 6.7 2.4 20.0 20.0 20.0 20.0 13.6 -1.7 20.0 14.5 COFFEE 2.4 20.0 18.5 -2.8 -1.7 -3.6 -4.5 -4.4 -3.4 8.0 -0.4 7.7 -7.3 11.4 11.7 14.2 3.9 8.5 5.3 11.0 4.9 8.9 -1.8 11.7 -18.9 4.7 2.7 2.6 3.3 0.6 4.7 9.0 20.0 19.3 20.0 20.0 -20.0 -20.0 -20.0 -12.3 COPPER 11.6 17.1 -0.9 0.6 -8.5 -0.2 -5.8 -0.1 -1.1 -5.1 -6.9 1.2 -4.3 7.9 4.4 -5.8 -4.4 -6.6 -5.9 4.9 -1.3 0.3 -5.0 6.1 -6.2 3.0 -2.0 0.1 -0.0 -1.8 3.2 1.2 13.2 9.0 8.0 1.5 -4.6 -14.6 4.1 -12.6 CORN 0.5 4.3 -9.1 -4.4 -2.6 -5.6 -6.9 -6.9 -5.2 4.5 -20.0 0.7 -20.0 -8.2 -9.7 -7.6 -0.5 -6.8 -5.0 -6.1 -16.4 0.2 -20.0 -1.5 -20.0 -0.5 -1.7 -4.9 2.0 -10.2 1.9 -3.3 17.5 9.8 -0.8 6.2 -8.2 -6.5 3.6 3.5 COTTON2 6.5 -17.0 -9.2 -3.3 -2.0 -4.3 -5.2 -5.2 -3.9 9.4 -7.4 7.2 -9.3 -7.4 -11.4 -6.4 0.6 -5.9 -3.2 -11.9 -9.3 6.5 -5.7 -4.6 -20.0 -4.4 5.3 -3.2 2.8 -0.9 -1.7 -0.8 20.0 13.0 -20.0 -5.7 -15.4 -12.8 -1.2 3.2 CRUDE_W -10.4 -18.1 0.1 -4.2 -3.4 -0.4 -5.6 2.1 -5.9 -8.1 7.2 -11.5 7.4 -14.3 -7.9 5.8 10.1 9.0 9.9 -7.8 3.8 -14.2 9.6 -15.0 -4.2 -3.1 -2.1 2.4 -5.5 5.8 -6.0 -18.6 6.3 8.7 10.2 11.6 20.0 11.8 20.0 12.9 DAX 20.0 20.0 -8.7 4.4 6.2 0.9 6.9 0.2 7.2 20.0 3.7 20.0 14.5 20.0 16.2 -11.4 -8.4 -10.3 -9.5 20.0 9.7 20.0 5.3 20.0 18.8 5.9 8.3 1.7 10.1 0.5 9.8 -5.5 20.0 20.0 20.0 8.5 5.7 4.3 14.2 14.2 DOW 20.0 20.0 -3.9 3.5 4.9 0.7 5.5 0.2 5.7 15.5 7.9 17.2 11.2 18.1 13.6 -10.1 -8.9 -10.2 -10.0 20.0 10.9 20.0 4.7 20.0 -11.2 4.8 3.6 2.0 5.4 1.3 6.8 -6.5 12.4 11.1 11.1 2.4 -14.2 -5.0 -18.3 -6.8 DX -12.4 -20.0 5.0 2.6 -0.9 1.2 1.1 0.8 3.1 10.0 5.5 0.7 -3.2 -6.9 -3.5 6.3 6.1 6.8 6.6 -5.0 1.1 1.5 4.0 -5.8 -20.0 -1.9 2.2 0.5 0.4 1.9 -2.3 15.1 7.5 -20.0 -20.0 9.3 11.0 5.6 14.7 15.7 EUR 3.8 17.6 -5.7 3.2 -1.1 1.5 1.4 1.0 3.8 -14.1 -5.1 -8.6 4.6 4.2 3.7 -5.8 -6.8 -6.3 -6.5 3.9 -0.6 -9.9 -2.9 0.6 11.3 1.6 -4.7 -0.2 -3.7 -1.1 0.4 -7.3 -20.0 -15.6 2.0 -8.6 -15.4 -13.9 -14.1 -5.7 EURIBOR-ICE 17.9 20.0 20.0 1.3 0.4 -0.5 2.1 -1.6 2.5 4.6 3.7 6.8 -2.8 7.8 7.7 -2.1 -6.5 -4.1 -5.7 13.1 6.7 14.0 -1.4 16.1 17.0 2.6 1.3 1.4 2.8 -0.1 3.2 -8.7 12.5 8.5 10.8 14.9 -20.0 -20.0 4.1 20.0 EUROSTX 20.0 20.0 -6.8 4.4 6.2 0.9 7.0 0.2 7.3 20.0 5.3 20.0 16.5 20.0 16.4 -3.7 -3.0 -5.0 -4.7 20.0 10.4 20.0 9.7 20.0 3.8 6.4 10.2 2.5 10.5 1.7 9.7 3.3 20.0 14.4 13.4 10.2 2.9 6.8 8.3 15.2 FEEDCOW -6.2 -20.0 -20.0 -1.7 -1.0 -2.1 -2.6 -2.6 -2.0 -0.5 -5.3 -5.5 1.1 -7.7 -8.1 -8.8 -20.0 -11.0 -17.3 -15.0 -8.6 -8.0 -0.5 -14.3 -1.1 -2.8 0.4 -1.3 -1.0 0.7 -2.3 -20.0 1.8 -7.1 -20.0 -11.0 12.7 1.2 20.0 8.9 GASOIL -10.7 -20.0 -1.9 -3.5 -2.9 -0.3 -4.7 1.8 -5.0 -10.5 6.7 -12.6 6.6 -14.2 -11.5 10.2 20.0 17.7 20.0 -10.4 2.2 -17.1 10.5 -17.0 8.4 -3.2 -3.9 1.2 -5.8 3.7 -5.6 0.6 -5.0 3.4 0.3 4.7 -7.8 -1.8 -13.4 -7.2 GASOLINE -4.6 -16.1 -20.0 -3.5 -2.9 -0.3 -4.8 1.8 -5.0 -9.1 1.8 -9.9 4.2 -11.3 -12.5 -5.7 20.0 7.5 20.0 -10.2 -3.1 -13.3 5.2 -12.7 -20.0 -3.8 -3.6 -0.7 -4.6 3.8 -4.3 6.8 3.7 10.5 12.8 -9.5 20.0 11.4 20.0 8.8 GAS_US_mini -20.0 -19.8 7.9 -3.2 -2.6 -0.3 -4.3 1.6 -4.5 -12.9 -13.6 -14.5 -15.3 -14.9 -14.6 -7.5 -20.0 -20.0 -20.0 -20.0 -18.7 -20.0 -20.0 -20.0 18.7 -4.7 -5.2 -2.7 -5.7 -1.7 -6.0 -20.0 -17.5 -20.0 -13.6 -13.3 -16.5 6.2 -20.0 2.1 GBP 15.6 18.6 -9.9 3.2 -1.1 1.5 1.4 1.0 3.8 -12.7 -4.1 4.7 7.1 10.6 5.4 -0.5 -0.8 -0.6 -0.6 7.9 1.7 1.5 -0.0 9.9 1.1 2.9 -2.0 0.4 0.6 -0.6 3.6 3.0 -6.0 -1.7 5.1 -8.7 -10.6 2.6 -7.0 19.1 GOLD_micro 6.3 14.7 2.6 0.5 -7.6 -0.2 -5.1 -0.1 -0.9 -13.2 1.4 -1.9 4.4 5.6 10.4 -13.3 -14.0 -14.7 -14.9 8.9 4.6 -5.7 1.7 6.1 -5.5 3.2 -7.1 1.8 -2.0 1.0 2.3 -14.9 6.9 8.2 19.9 9.6 -13.8 -20.0 -13.4 -20.0 HEATOIL -10.1 -20.0 -6.4 -3.6 -3.0 -0.3 -4.9 1.9 -5.2 -10.4 5.3 -13.5 5.3 -14.3 -12.3 16.5 20.0 20.0 20.0 -11.6 0.4 -16.9 8.5 -17.7 -17.9 -3.6 -2.8 0.9 -4.9 4.6 -5.3 3.5 -1.7 8.2 3.6 -0.9 11.6 -1.3 7.0 -6.9 JGB-SGX-mini 19.1 18.7 -8.1 1.2 0.3 -0.5 1.9 -1.5 2.3 -3.3 -1.2 0.8 1.8 4.3 3.4 16.8 19.7 17.0 17.0 3.0 0.2 -0.9 -0.3 3.9 -1.7 1.0 -1.8 -0.3 0.0 -0.7 1.6 20.0 -8.4 2.3 -6.2 -0.0 4.0 -20.0 15.2 19.1 JPY 20.0 20.0 7.2 2.2 -0.8 1.1 1.0 0.7 2.7 1.8 -9.8 7.4 -10.8 7.3 -3.0 -16.5 -16.4 -18.0 -17.6 -0.3 -8.3 8.7 -13.6 6.6 20.0 -0.3 3.4 -4.0 5.0 -6.1 3.5 -20.0 18.0 2.1 -8.1 -12.1 -6.3 -20.0 1.0 -20.0 LEANHOG -15.3 -2.0 -0.9 -2.4 -1.4 -3.1 -3.8 -3.8 -2.9 -5.3 -2.3 -7.6 -7.1 -7.3 -8.4 -20.0 11.9 -7.9 10.0 -10.0 -8.9 -9.0 -10.3 -10.9 12.5 -3.5 -2.7 -4.7 -3.3 -7.4 -3.5 20.0 8.9 -11.5 -6.0 -2.5 -10.9 -5.9 7.3 12.9 LIVECOW -12.4 -20.0 -20.0 -1.9 -1.1 -2.5 -3.0 -3.0 -2.3 -1.6 -4.3 -6.6 2.6 -8.9 -9.0 -3.8 -4.6 -9.3 -7.4 -14.9 -7.5 -11.0 0.4 -16.0 0.3 -3.2 -0.1 -1.3 -2.0 1.1 -3.1 -7.5 -4.0 -9.1 -20.0 -9.8 1.2 -11.5 5.9 -4.5 LUMBER-new 3.4 18.1 1.0 -5.0 -2.9 -6.2 -7.9 -6.5 -5.9 14.9 -11.2 -3.4 -20.0 16.3 11.9 -14.2 -14.7 -15.1 -15.0 8.9 -3.0 6.2 -12.4 9.7 NaN 3.2 6.8 -0.6 2.1 -3.3 2.8 -20.0 -3.9 3.7 16.8 9.1 -17.1 -20.0 -10.3 -17.5 MILK -13.5 -14.1 -10.1 -3.1 -1.9 -4.0 -5.0 -4.9 -3.7 -8.1 -13.3 -12.9 -14.5 -15.1 -15.3 -20.0 -20.0 -20.0 -20.0 -19.9 -20.0 -9.6 -20.0 -17.2 7.4 -5.7 -1.9 -5.9 -2.7 -7.3 -5.0 -20.0 -0.9 -15.5 -17.5 -8.9 -20.0 -20.0 -20.0 -20.0 MXP 4.8 13.1 -13.7 3.1 -1.1 1.5 1.3 1.0 3.7 -4.4 9.2 0.2 12.9 10.5 7.6 13.2 16.4 14.0 15.0 7.3 7.2 -0.6 12.8 5.6 -20.0 2.8 -1.1 2.9 -0.6 5.4 2.0 20.0 -13.4 -13.6 3.5 -0.3 9.0 14.2 19.4 20.0 NASDAQ_micro 14.2 18.5 -3.0 2.8 3.9 0.6 4.4 0.1 4.6 11.9 11.0 12.1 11.3 13.6 11.7 -10.2 -8.7 -9.8 -9.5 15.1 12.7 11.8 13.5 15.8 -20.0 3.8 4.3 3.3 3.3 4.2 4.2 -5.8 -10.5 -8.0 -0.4 7.5 8.2 -8.4 8.4 -10.9 NIKKEI 0.2 10.4 -9.0 3.6 5.0 0.7 5.7 0.2 5.9 -2.6 15.0 -5.3 15.5 10.8 11.9 12.5 10.2 9.0 9.2 9.8 12.0 -4.7 16.2 4.3 -11.8 3.2 -1.2 4.7 -2.5 7.2 1.0 20.0 -20.0 -20.0 -8.9 8.6 -9.0 0.6 -6.3 6.0 NZD 18.9 19.8 6.3 2.7 -0.9 1.3 1.1 0.9 3.2 -8.8 -3.7 7.1 -1.2 10.1 7.3 -0.0 0.2 -0.0 0.0 8.9 1.2 6.2 -4.1 11.9 0.8 3.4 -0.6 0.8 2.2 -0.9 4.3 4.3 5.6 3.7 0.5 4.1 -4.3 -13.0 -0.5 6.9 OAT 20.0 20.0 8.8 1.7 0.5 -0.6 2.7 -2.1 3.2 5.6 1.1 8.5 -6.2 9.7 7.2 5.5 7.3 5.6 6.1 11.3 2.5 16.6 -5.3 17.6 8.2 2.8 2.0 0.8 4.1 -0.8 4.3 13.9 10.4 8.6 7.0 8.0 -20.0 -20.0 -5.8 8.1 OATIES 14.1 -18.0 -20.0 -1.6 -0.9 -2.1 -2.5 -2.5 -1.9 -7.4 -4.3 -5.0 -3.5 -5.6 -7.5 -2.8 -8.5 -11.4 -12.5 -9.7 -7.1 -9.0 -2.3 -7.7 -20.0 -2.6 -3.5 -1.9 -2.1 -0.7 -2.0 -17.5 -13.0 -2.0 -15.1 -11.7 4.1 9.9 16.9 20.0 OJ -14.6 -20.0 5.6 -3.3 -1.9 -4.2 -5.2 -5.2 -3.9 -5.5 15.7 -7.3 17.3 1.9 11.3 15.7 20.0 20.0 20.0 20.0 20.0 -10.8 20.0 2.0 -20.0 5.5 -0.2 8.5 -1.3 10.3 1.4 20.0 -20.0 20.0 20.0 20.0 8.2 10.1 20.0 20.0 PALLAD -2.5 -3.9 0.5 0.3 -4.5 -0.1 -3.0 -0.0 -0.6 -5.3 -9.0 -6.5 -9.6 -6.8 -7.5 -2.2 -2.4 -2.3 -2.4 -11.9 -12.8 -9.9 -15.8 -11.4 5.2 -3.4 -1.2 -2.9 -2.6 -2.6 -3.3 5.9 -14.1 -13.4 -20.0 -15.3 -0.8 -7.5 9.6 -1.3 PLAT 8.9 10.0 -1.0 0.4 -5.7 -0.1 -3.9 -0.0 -0.7 -1.7 -7.8 2.0 -5.7 5.1 -0.8 -3.2 -2.7 -3.3 -3.2 -0.0 -3.2 -1.2 -4.5 0.7 11.9 -0.0 -0.4 -0.7 -1.1 -0.9 -0.2 4.9 6.0 3.4 -1.9 3.4 -5.0 -12.3 10.6 -7.0 REDWHEAT 16.7 4.5 -16.8 -3.4 -2.0 -4.4 -5.5 -5.4 -4.1 0.6 -16.9 9.9 -17.8 1.3 -11.7 -3.2 -1.1 -4.4 -3.2 -13.4 -20.0 3.6 -20.0 -1.4 -14.8 -4.2 -3.7 -6.7 1.9 -5.8 0.4 -2.0 20.0 6.4 -10.9 -20.0 -20.0 -20.0 -20.0 -14.5 RICE 5.9 10.2 7.1 -4.2 -2.5 -5.4 -6.6 -6.6 -5.0 -3.8 15.9 -0.7 11.4 12.2 12.6 -15.9 2.2 -15.0 -6.0 18.0 15.1 0.2 10.1 12.0 -20.0 4.4 -0.5 3.8 -1.3 2.4 2.1 0.8 -8.9 20.0 20.0 20.0 -0.5 -15.5 15.8 -4.7 ROBUSTA 12.0 8.8 -8.6 -2.9 -1.7 -3.7 -4.6 -4.5 -3.5 11.4 13.0 13.2 13.3 14.4 12.9 20.0 20.0 20.0 20.0 15.2 12.7 16.7 14.5 17.6 -20.0 4.9 5.9 4.1 5.3 4.6 5.6 20.0 20.0 20.0 20.0 20.0 -9.2 -14.1 5.2 0.8 RUSSELL 20.0 19.8 -10.3 2.2 3.2 0.5 3.6 0.1 3.7 10.0 -3.4 10.9 -4.6 11.1 2.0 -5.7 -6.0 -6.3 -6.5 5.6 -1.9 13.2 -4.2 13.1 -1.6 1.7 2.8 -0.4 3.8 -0.7 3.9 -0.9 2.8 2.5 -3.9 -7.5 -15.6 -13.9 -20.0 -20.0 SHATZ 20.0 20.0 18.3 1.3 0.4 -0.5 2.1 -1.6 2.5 3.0 -4.0 5.9 -6.9 6.2 3.5 -20.0 -18.4 -20.0 -20.0 5.7 -0.4 9.9 -7.0 10.5 9.4 1.8 0.6 0.2 3.1 -1.4 3.3 -20.0 12.8 5.3 -0.4 4.5 -11.3 -20.0 -5.1 -20.0 SILVER-mini 8.4 12.1 -3.2 0.5 -7.7 -0.2 -5.3 -0.1 -1.0 -14.4 -1.7 -6.0 2.9 1.8 5.2 -6.6 -6.3 -6.9 -6.8 4.6 1.1 -15.7 -0.4 0.6 6.3 0.8 -14.0 0.7 -8.6 0.6 -2.0 -1.2 -18.1 -2.4 2.0 4.4 -17.5 -20.0 0.2 -20.0 SMI 20.0 8.7 -9.5 4.1 5.7 0.8 6.5 0.2 6.7 18.7 -6.8 20.0 0.6 16.3 3.7 5.3 2.7 4.3 2.9 6.6 -6.0 20.0 -7.0 20.0 8.3 2.9 11.0 -1.1 10.4 -2.3 8.0 14.4 6.9 -3.1 -20.0 -3.1 -3.9 -7.6 0.7 -5.2 SOFR 20.0 20.0 4.1 1.3 0.4 -0.5 2.1 -1.7 2.5 -3.2 -2.5 4.9 -3.6 7.2 5.0 1.0 -0.4 0.3 -0.2 5.9 -0.3 4.7 -4.1 8.7 -1.2 1.8 -0.8 -0.1 1.4 -1.1 2.7 1.6 -5.7 1.7 0.0 2.4 -20.0 -20.0 -6.6 -8.7 SOYBEAN -6.5 4.7 -0.9 -3.7 -2.2 -4.8 -5.9 -5.9 -4.5 5.4 8.6 -9.4 6.5 -1.7 -4.7 16.6 17.6 15.9 15.4 0.8 2.5 -3.9 1.8 -3.1 -20.0 4.7 4.3 3.8 0.9 2.4 3.0 20.0 7.9 9.9 20.0 15.7 -20.0 -18.8 -20.0 -12.4 SOYMEAL -20.0 10.5 3.7 -2.3 -1.4 -3.0 -3.6 -3.6 -2.7 -6.0 2.7 -10.4 3.7 -2.0 2.7 19.2 17.7 17.4 16.9 1.7 4.0 -10.5 3.7 -6.5 -20.0 1.6 -0.6 2.4 -2.7 2.6 -1.2 20.0 -14.4 -12.3 18.9 15.7 -20.0 -20.0 -20.0 -20.0 SOYOIL 12.2 -5.3 -20.0 -1.9 -1.1 -2.5 -3.0 -3.0 -2.3 -1.2 -2.6 -2.7 -3.5 -3.6 -8.0 2.3 9.4 5.7 7.7 -6.8 -7.0 -2.3 -4.2 -3.5 -20.0 -1.1 0.6 -1.9 0.4 -1.3 0.5 16.2 5.2 13.1 -2.4 -10.0 -10.1 0.9 5.7 13.1 SP400 20.0 18.4 -12.7 2.5 3.5 0.5 3.9 0.1 4.1 10.1 -1.7 11.3 -0.4 12.1 3.8 -5.9 -5.1 -5.6 -5.4 7.8 -0.5 14.6 -2.3 15.6 -9.1 2.4 3.2 0.1 4.1 -0.1 4.5 0.9 1.4 3.1 -2.7 -4.8 -11.6 -10.6 -16.7 -20.0 SP500_micro 20.0 20.0 -7.5 3.5 4.9 0.7 5.5 0.2 5.7 14.4 7.9 16.5 10.6 17.8 14.1 -11.1 -9.8 -10.8 -10.6 19.0 10.3 17.4 8.5 20.0 -20.0 4.3 4.0 2.5 4.3 2.7 5.6 -7.7 -9.7 -3.6 1.1 2.2 1.9 -8.0 4.1 -11.4 SUGAR11 -20.0 -20.0 -13.0 -2.6 -1.5 -3.3 -4.1 -4.0 -3.1 -12.0 7.2 -13.0 11.9 -10.2 -0.1 20.0 20.0 20.0 20.0 -8.4 3.1 -20.0 10.5 -20.0 -20.0 -2.6 -8.7 0.7 -8.9 3.5 -6.3 20.0 -20.0 -20.0 -15.5 12.4 -6.2 -14.5 13.7 5.4 US10 20.0 20.0 7.9 1.2 0.3 -0.5 2.0 -1.6 2.4 -1.1 -4.1 4.7 -5.5 6.6 3.3 -6.9 -7.0 -6.9 -7.3 3.7 -2.9 4.6 -7.3 7.2 1.3 1.3 -0.4 -0.8 1.5 -2.0 2.5 -10.3 -4.9 0.9 -1.6 -0.8 -20.0 -20.0 -6.0 3.0 US10U 20.0 20.0 4.2 1.7 0.5 -0.6 2.6 -2.1 3.2 -0.1 -5.3 6.6 -7.3 8.9 3.2 2.8 0.0 1.4 0.4 4.6 -4.4 7.2 -10.1 10.1 -1.9 1.6 -0.1 -1.3 2.3 -2.8 3.4 2.4 -5.4 1.2 -2.1 -2.5 -20.0 -20.0 3.0 14.5 US2 15.6 20.0 20.0 1.2 0.3 -0.5 2.0 -1.6 2.4 -4.5 -5.8 2.5 -6.8 4.9 2.8 -20.0 -20.0 -20.0 -20.0 3.0 -3.0 1.9 -9.1 5.3 8.2 1.7 -1.6 -0.4 0.9 -2.5 2.5 -20.0 -4.4 0.0 -1.5 3.6 -14.9 -20.0 -7.4 -20.0 US20 20.0 20.0 2.3 1.2 0.3 -0.5 1.9 -1.5 2.3 1.8 -3.6 5.2 -5.0 6.7 2.4 -0.2 -1.3 -0.7 -1.2 3.8 -3.5 7.2 -7.7 8.7 -1.8 1.1 0.5 -1.0 2.0 -2.0 2.6 -0.4 -1.4 2.3 0.3 -3.0 -12.6 -20.0 13.6 20.0 US30 20.0 20.0 3.6 1.4 0.4 -0.5 2.2 -1.7 2.6 2.3 -4.0 6.0 -5.9 7.4 2.5 -4.3 -4.1 -4.7 -4.7 4.2 -3.8 8.6 -8.7 9.9 -1.4 1.3 0.7 -1.1 2.5 -2.2 3.0 -5.3 -1.0 2.7 -0.6 -2.6 -6.9 -20.0 20.0 20.0 US5 18.0 20.0 12.5 1.3 0.3 -0.5 2.0 -1.6 2.4 -3.5 -4.5 4.2 -5.7 6.4 3.7 -9.3 -10.3 -10.3 -11.0 3.9 -2.2 3.4 -7.0 6.6 3.3 1.6 -1.0 -0.5 1.2 -1.9 2.5 -16.5 -5.3 0.3 -1.5 1.3 -20.0 -20.0 -17.7 -14.8 VIX -13.7 -19.7 9.4 -4.6 -4.1 -5.1 -3.7 -7.0 -4.5 -15.5 -17.5 -17.2 -17.7 -18.0 -16.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -13.7 -20.0 -20.0 NaN -5.4 -4.3 -5.7 -4.1 -8.0 -5.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 10.2 8.5 -10.0 -3.7 -2.2 -4.8 -5.9 -5.9 -4.5 1.4 -17.8 10.2 -19.8 7.5 -10.1 -11.2 -10.5 -11.8 -11.4 -7.2 -17.7 4.1 -20.0 2.2 -3.9 -1.6 -5.9 -5.7 3.0 -7.8 3.0 -17.4 20.0 7.8 0.8 -7.9 -20.0 -20.0 -20.0 -19.1 End of report for caleb_strategy_v3