******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231215_204010 produced at 2023-12-15 21:37:01.614414 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.27 0.0 0.10 -0.10 -0.10 -0.10 -47.34 17.0 -17 -17 caleb_strategy_v3 CHF False False 0.05 -0.15 -0.08 0.0 0.66 -0.66 -0.15 -0.20 -1.63 13.0 -3 -4 caleb_strategy_v3 US2 False True 0.07 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -0.84 13.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -4.91 5.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.18 -0.18 -0.02 -0.02 -16.55 51.0 -6 -6 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.06 0.0 0.05 -0.05 -0.05 -0.05 -29.19 26.0 -25 -25 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.06 0.0 0.11 -0.11 -0.04 -0.04 -7.05 12.0 -5 -5 caleb_strategy_v3 LIVECOW False False 0.02 -0.02 -0.05 0.0 0.40 -0.40 -0.02 -0.02 -2.05 17.0 -1 -1 caleb_strategy_v3 DX False False 0.04 0.00 -0.05 0.0 999.00 -999.00 0.00 0.00 -1.28 999999999.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -0.99 24.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.14 -0.04 0.0 0.40 -0.40 -0.14 -0.13 -5.31 56.0 -20 -19 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.04 0.0 0.31 -0.31 -0.04 -0.04 -0.97 8.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.15 -0.15 -0.06 -0.06 -2.53 11.0 -4 -4 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.02 0.0 0.95 -0.95 -0.04 -0.04 -0.59 25.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -1.44 8.0 -3 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.19 2.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.05 -0.02 0.0 0.10 -0.10 -0.05 -0.05 -1.60 9.0 -4 -4 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -0.44 4.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.01 0.0 0.24 -0.24 0.00 -0.01 -1.64 68.0 0 -2 caleb_strategy_v3 EUR False False 0.05 0.00 -0.01 0.0 0.67 -0.67 0.00 0.00 -0.20 14.0 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 -0.65 0.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.12 -0.12 -0.01 -0.03 -0.64 9.0 -1 -2 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.11 -0.11 -0.03 -0.03 -0.58 10.0 -3 -3 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.01 0.0 0.19 -0.19 0.00 0.00 -0.08 2.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -2.54 3.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 -0.04 -0.01 0.0 0.11 -0.11 -0.04 -0.04 -0.39 3.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.01 0.0 0.15 -0.15 -0.01 -0.02 -1.74 18.0 -1 -2 caleb_strategy_v3 PALLAD False False 0.04 -0.04 0.00 0.0 0.08 -0.08 -0.04 0.00 0.07 2.0 -1 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.00 -0.00 0.0 0.16 -0.16 0.00 -0.02 -0.22 7.0 0 -1 caleb_strategy_v3 CAD False False 0.03 0.00 -0.00 0.0 0.76 -0.76 0.00 0.00 -0.05 29.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.00 0.00 0.0 0.14 -0.14 0.00 0.01 0.15 13.0 0 1 caleb_strategy_v3 US10 False False 0.04 -0.39 -0.00 0.0 0.67 -0.67 -0.39 -0.39 -0.12 17.0 -10 -10 caleb_strategy_v3 COFFEE False False 0.02 0.00 0.00 0.0 0.15 -0.15 0.00 0.00 0.07 6.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.05 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 -0.04 4.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.01 0.0 0.53 -0.53 0.00 0.00 0.20 13.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 0.01 0.0 0.40 -0.40 -0.01 0.00 1.05 48.0 -1 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.12 0.01 0.0 0.27 -0.27 0.12 0.13 1.10 23.0 10 11 caleb_strategy_v3 COPPER False False 0.03 0.00 0.01 0.0 0.20 -0.20 0.00 0.07 0.21 6.0 0 2 caleb_strategy_v3 BUXL False False 0.05 0.05 0.01 0.0 0.22 -0.22 0.05 0.11 0.18 4.0 1 2 caleb_strategy_v3 BOBL False False 0.05 0.00 0.01 0.0 0.87 -0.87 0.00 0.00 0.19 19.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.00 0.01 0.0 0.39 -0.39 0.00 0.00 0.21 9.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.23 0.01 0.0 0.28 -0.28 0.23 0.28 0.14 6.0 5 6 caleb_strategy_v3 JPY False False 0.03 0.03 0.01 0.0 0.53 -0.53 0.03 0.03 0.26 17.0 1 1 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.06 -0.06 0.00 0.00 0.78 3.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.04 0.02 0.0 0.23 -0.23 0.04 0.04 1.73 23.0 4 4 caleb_strategy_v3 AUD False False 0.02 0.12 0.02 0.0 0.45 -0.45 0.12 0.07 0.72 19.0 5 3 caleb_strategy_v3 PLAT False False 0.02 0.03 0.02 0.0 0.17 -0.17 0.03 0.03 1.10 10.0 2 2 caleb_strategy_v3 BUND False False 0.05 0.00 0.02 0.0 0.53 -0.53 0.00 0.00 0.45 10.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.14 0.02 0.0 0.29 -0.29 0.14 0.12 2.78 36.0 17 15 caleb_strategy_v3 CRUDE_W False False 0.02 0.07 0.03 0.0 0.12 -0.12 0.07 0.05 1.36 5.0 3 2 caleb_strategy_v3 GBP False False 0.03 0.00 0.03 0.0 0.61 -0.61 0.00 0.00 1.26 22.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.05 0.03 0.0 0.43 -0.43 0.05 0.02 4.57 66.0 8 3 caleb_strategy_v3 NZD False False 0.02 0.09 0.04 0.0 0.46 -0.46 0.09 0.09 1.80 21.0 4 4 caleb_strategy_v3 COCOA False False 0.01 0.07 0.05 0.0 0.38 -0.38 0.07 0.09 3.16 26.0 5 6 caleb_strategy_v3 SOFR False True 0.08 0.00 0.06 0.0 0.00 0.00 0.00 0.00 0.68 11.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 0.07 0.06 0.0 0.09 -0.09 0.07 0.07 37.49 59.0 49 49 caleb_strategy_v3 BTP False False 0.05 0.18 0.08 0.0 0.46 -0.46 0.18 0.14 1.76 10.0 4 3 caleb_strategy_v3 SMI False False 0.04 0.36 0.09 0.0 0.40 -0.40 0.36 0.40 1.96 9.0 8 9 caleb_strategy_v3 CAC False True 0.03 0.00 0.10 0.0 0.00 0.00 0.00 0.00 3.55 12.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.25 0.13 0.0 0.35 -0.35 0.25 0.25 7.61 20.0 14 14 caleb_strategy_v3 OAT False False 0.05 0.00 0.13 0.0 0.50 -0.50 0.00 0.00 2.59 10.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.17 0.0 0.38 -0.38 0.00 0.00 26.05 58.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.37 0.26 0.0 0.60 -0.60 0.37 0.37 26.06 60.0 37 37 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.43 0.44 0.0 0.57 -0.57 0.43 0.36 12.32 16.0 12 10 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.75 1.07 0.0 0.94 -0.94 0.75 0.38 11.35 10.0 8 4 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 20.5 Shocked risk 55.9 Sum abs risk 48.3 Leverage 4.02 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2863109.76, 'annual_cash_vol_target': 715777.44, 'daily_cash_vol_target': 44736.09} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0047 0.6730 0.6950 11.1198 BITCOIN 1224.0306 42325.0000 2.8920 46.2717 BOBL 0.2762 118.9200 0.2323 3.7163 BTP 0.6493 118.9200 0.5460 8.7363 BUND 0.5595 137.2000 0.4078 6.5242 BUXL 1.4075 143.1600 0.9831 15.7301 CAC 48.0088 7610.5000 0.6308 10.0932 CAD 0.0030 0.7492 0.4036 6.4573 CANOLA 8.3497 658.4000 1.2682 20.2909 CHF 0.0047 1.1614 0.4060 6.4960 COCOA 44.2543 4211.0000 1.0509 16.8148 COFFEE 3.6088 187.5000 1.9247 30.7953 COPPER 0.0428 3.8790 1.1022 17.6353 CORN 4.4338 511.2500 0.8672 13.8759 COTTON2 1.1035 79.8500 1.3819 22.1107 CRUDE_W 1.2183 71.5400 1.7030 27.2476 DAX 102.7633 16904.0000 0.6079 9.7268 DOW 208.1852 37580.0000 0.5540 8.8637 DX 0.4947 102.1400 0.4844 7.7498 EUR 0.0058 1.0946 0.5326 8.5214 EURIBOR-ICE 0.0552 97.9000 0.0563 0.9015 EUROSTX 30.9027 4573.0000 0.6758 10.8122 FEEDCOW 2.6969 222.4500 1.2124 19.3979 GASOIL 13.5074 747.5000 1.8070 28.9123 GASOLINE 0.0438 2.1540 2.0332 32.5318 GAS_US_mini 0.0950 2.4150 3.9332 62.9313 GBP 0.0072 1.2699 0.5707 9.1313 GOLD_micro 17.9909 2031.9000 0.8854 14.1668 HEATOIL 0.0456 2.5569 1.7837 28.5391 JGB-SGX-mini 0.3564 145.6400 0.2447 3.9151 JPY 0.0001 0.0071 0.7294 11.6710 LEANHOG 1.3223 78.4500 1.6856 26.9695 LIVECOW 1.8121 169.6250 1.0683 17.0924 LUMBER-new 7.1040 560.5000 1.2674 20.2791 MILK 0.1951 16.1100 1.2111 19.3772 MXP 0.0004 0.0572 0.7468 11.9481 NASDAQ_micro 120.9473 16810.0000 0.7195 11.5119 NIKKEI 288.2681 32670.0000 0.8824 14.1178 NZD 0.0041 0.6214 0.6677 10.6829 OAT 0.5703 131.5100 0.4336 6.9381 OATIES 8.1505 374.5000 2.1764 34.8220 OJ 6.2157 365.3000 1.7015 27.2243 PALLAD 34.0332 1184.5000 2.8732 45.9714 PLAT 15.6271 947.6000 1.6491 26.3859 REDWHEAT 12.2988 647.7500 1.8987 30.3791 RICE 0.1551 17.4500 0.8886 14.2173 ROBUSTA 37.1956 2832.0000 1.3134 21.0145 RUSSELL 24.1580 2005.0000 1.2049 19.2782 SHATZ 0.0970 106.3250 0.0912 1.4598 SILVER-mini 0.4156 24.1125 1.7238 27.5807 SMI 65.8570 11127.0000 0.5919 9.4699 SOFR 0.0807 96.7550 0.0834 1.3344 SOYBEAN 10.7273 1278.0000 0.8394 13.4301 SOYMEAL 5.3227 393.4000 1.3530 21.6479 SOYOIL 0.7953 50.5600 1.5729 25.1662 SP400 27.8176 2772.9000 1.0032 16.0511 SP500_micro 27.9724 4763.7500 0.5872 9.3951 SUGAR11 0.4276 21.2600 2.0113 32.1815 US10 0.5206 112.4688 0.4629 7.4061 US10U 0.6929 117.4688 0.5898 9.4373 US2 0.1585 102.6719 0.1544 2.4703 US20 1.0271 123.9375 0.8287 13.2591 US30 1.5100 133.4688 1.1314 18.1016 US5 0.3508 108.3828 0.3237 5.1784 VIX 0.4665 16.2000 2.8797 46.0754 WHEAT 9.9704 662.7500 1.5044 24.0704 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 672.95 0.69 467.69 1.00 467.69 44736.09 95.65 2.91 27.80 BITCOIN 42.32 2.89 122.40 1.00 122.40 44736.09 365.48 9.47 346.21 BOBL 1189.20 0.23 276.21 1.09 300.66 44736.09 148.80 1.26 18.70 BTP 1189.20 0.55 649.32 1.09 706.79 44736.09 63.29 8.15 51.59 BUND 1372.00 0.41 559.45 1.09 608.96 44736.09 73.46 6.03 44.32 BUXL 1431.60 0.98 1407.45 1.09 1532.01 44736.09 29.20 6.24 18.22 CAC 761.05 0.63 480.09 1.09 522.58 44736.09 85.61 12.14 103.97 CAD 749.15 0.40 302.34 1.00 302.34 44736.09 147.97 -0.14 -2.05 CANOLA 131.68 1.27 166.99 0.74 123.91 44736.09 361.02 -18.85 -680.37 CHF 1451.69 0.41 589.39 1.00 589.39 44736.09 75.90 -8.28 -62.85 COCOA 421.10 1.05 442.54 1.00 442.54 44736.09 101.09 14.59 147.52 COFFEE 703.12 1.92 1353.31 1.00 1353.31 44736.09 33.06 1.88 6.20 COPPER 969.75 1.10 1068.86 1.00 1068.86 44736.09 41.85 0.47 1.97 CORN 255.62 0.87 221.69 1.00 221.69 44736.09 201.80 -14.36 -289.81 COTTON2 399.25 1.38 551.73 1.00 551.73 44736.09 81.08 -14.58 -118.21 CRUDE_W 715.40 1.70 1218.31 1.00 1218.31 44736.09 36.72 3.42 12.57 DAX 169.04 0.61 102.76 1.09 111.86 44736.09 399.94 19.09 763.58 DOW 187.90 0.55 104.09 1.00 104.09 44736.09 429.77 4.58 196.77 DX 1021.40 0.48 494.73 1.00 494.73 44736.09 90.43 -5.44 -49.17 EUR 1368.31 0.53 728.75 1.00 728.75 44736.09 61.39 -1.23 -7.52 EURIBOR-ICE 2447.50 0.06 137.90 1.09 148.70 44736.09 300.85 11.06 332.80 EUROSTX 457.30 0.68 309.03 1.09 336.38 44736.09 132.99 16.78 223.14 FEEDCOW 1112.25 1.21 1348.45 1.00 1348.45 44736.09 33.18 -8.79 -29.18 GASOIL 747.50 1.81 1350.74 1.00 1350.74 44736.09 33.12 -0.27 -0.88 GASOLINE 904.68 2.03 1839.43 1.00 1839.43 44736.09 24.32 -0.49 -1.19 GAS_US_mini 60.38 3.93 237.47 1.00 237.47 44736.09 188.39 -14.31 -269.57 GBP 793.69 0.57 452.96 1.00 452.96 44736.09 98.76 4.90 48.41 GOLD_micro 203.19 0.89 179.91 1.00 179.91 44736.09 248.66 -6.26 -155.55 HEATOIL 1073.90 1.78 1915.51 1.00 1915.51 44736.09 23.35 -3.81 -8.89 JGB-SGX-mini 145640.00 0.24 35636.93 0.01 250.72 44736.09 178.43 6.38 113.78 JPY 892.56 0.73 651.07 1.00 651.07 44736.09 68.71 1.46 10.04 LEANHOG 313.80 1.69 528.94 1.00 528.94 44736.09 84.58 0.30 2.51 LIVECOW 678.50 1.07 724.82 1.00 724.82 44736.09 61.72 -10.01 -61.78 LUMBER-new 154.14 1.27 195.36 1.00 195.36 44736.09 228.99 -5.19 -118.87 MILK 322.20 1.21 390.21 1.00 390.21 44736.09 114.65 -20.00 -229.29 MXP 285.90 0.75 213.50 1.00 213.50 44736.09 209.54 8.47 177.57 NASDAQ_micro 336.20 0.72 241.89 1.00 241.89 44736.09 184.94 2.56 47.39 NIKKEI 32670.00 0.88 28826.81 0.01 202.81 44736.09 220.58 1.17 25.71 NZD 621.45 0.67 414.93 1.00 414.93 44736.09 107.82 6.43 69.33 OAT 1315.10 0.43 570.27 1.09 620.74 44736.09 72.07 10.55 76.00 OATIES 187.25 2.18 407.53 1.00 407.53 44736.09 109.77 -11.93 -130.95 OJ 547.95 1.70 932.35 1.00 932.35 44736.09 47.98 7.55 36.23 PALLAD 1184.50 2.87 3403.32 1.00 3403.32 44736.09 13.14 1.60 2.10 PLAT 473.80 1.65 781.35 1.00 781.35 44736.09 57.25 5.65 32.36 REDWHEAT 323.88 1.90 614.94 1.00 614.94 44736.09 72.75 -14.87 -108.18 RICE 349.00 0.89 310.11 1.00 310.11 44736.09 144.26 -1.25 -17.97 ROBUSTA 283.20 1.31 371.96 1.00 371.96 44736.09 120.27 12.35 148.52 RUSSELL 100.25 1.20 120.79 1.00 120.79 44736.09 370.36 -1.34 -49.50 SHATZ 1063.25 0.09 97.01 1.09 105.59 44736.09 423.66 -2.30 -97.24 SILVER-mini 602.81 1.72 1039.12 1.00 1039.12 44736.09 43.05 -4.46 -19.20 SMI 1112.70 0.59 658.57 1.15 755.61 44736.09 59.21 9.70 57.40 SOFR 2418.88 0.08 201.74 1.00 201.74 44736.09 221.75 0.51 11.20 SOYBEAN 639.00 0.84 536.36 1.00 536.36 44736.09 83.41 -2.86 -23.85 SOYMEAL 393.40 1.35 532.27 1.00 532.27 44736.09 84.05 -8.23 -69.17 SOYOIL 303.36 1.57 477.15 1.00 477.15 44736.09 93.76 -6.61 -62.02 SP400 2772.90 1.00 2781.76 1.00 2781.76 44736.09 16.08 -1.52 -2.44 SP500_micro 238.19 0.59 139.86 1.00 139.86 44736.09 319.86 1.42 45.27 SUGAR11 238.11 2.01 478.93 1.00 478.93 44736.09 93.41 -8.74 -81.65 US10 1124.69 0.46 520.59 1.00 520.59 44736.09 85.93 -1.08 -9.27 US10U 1174.69 0.59 692.87 1.00 692.87 44736.09 64.57 2.42 15.63 US2 2053.44 0.15 317.03 1.00 317.03 44736.09 141.11 -4.70 -66.28 US20 1239.38 0.83 1027.06 1.00 1027.06 44736.09 43.56 3.81 16.59 US30 1334.69 1.13 1510.00 1.00 1510.00 44736.09 29.63 3.64 10.79 US5 1083.83 0.32 350.78 1.00 350.78 44736.09 127.53 -3.68 -46.94 VIX 162.00 2.88 466.51 1.00 466.51 44736.09 95.89 -20.00 -191.79 WHEAT 331.38 1.50 498.52 1.00 498.52 44736.09 89.74 -13.45 -120.67 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 27.796 0.010 2.5 0.721 BITCOIN 346.206 0.043 2.5 37.491 BOBL 18.697 0.004 2.5 0.190 BTP 51.594 0.014 2.5 1.760 BUND 44.321 0.004 2.5 0.449 BUXL 18.218 0.004 2.5 0.185 CAC 103.968 0.014 2.5 3.546 CAD -2.052 0.010 2.5 -0.053 CANOLA -680.373 0.010 2.5 -16.553 CHF -62.852 0.010 2.5 -1.631 COCOA 147.518 0.009 2.5 3.159 COFFEE 6.203 0.005 2.5 0.072 COPPER 1.968 0.043 2.5 0.213 CORN -289.813 0.010 2.5 -7.051 COTTON2 -118.212 0.009 2.5 -2.532 CRUDE_W 12.572 0.043 2.5 1.361 DAX 763.583 0.014 2.5 26.045 DOW 196.767 0.009 2.5 4.573 DX -49.173 0.010 2.5 -1.276 EUR -7.524 0.010 2.5 -0.195 EURIBOR-ICE 332.803 0.014 2.5 11.352 EUROSTX 223.139 0.014 2.5 7.611 FEEDCOW -29.175 0.013 2.5 -0.967 GASOIL -0.881 0.017 2.5 -0.038 GASOLINE -1.186 0.017 2.5 -0.051 GAS_US_mini -269.574 0.043 2.5 -29.192 GBP 48.411 0.010 2.5 1.256 GOLD_micro -155.546 0.014 2.5 -5.306 HEATOIL -8.893 0.017 2.5 -0.385 JGB-SGX-mini 113.782 0.043 2.5 12.321 JPY 10.044 0.010 2.5 0.261 LEANHOG 2.513 0.024 2.5 0.153 LIVECOW -61.780 0.013 2.5 -2.047 LUMBER-new -118.873 0.009 2.5 -2.537 MILK -229.293 0.009 2.5 -4.911 MXP 177.566 0.059 2.5 26.063 NASDAQ_micro 47.395 0.009 2.5 1.101 NIKKEI 25.713 0.043 2.5 2.784 NZD 69.330 0.010 2.5 1.799 OAT 75.998 0.014 2.5 2.592 OATIES -130.946 0.010 2.5 -3.186 OJ 36.227 0.009 2.5 0.776 PALLAD 2.099 0.014 2.5 0.072 PLAT 32.364 0.014 2.5 1.104 REDWHEAT -108.176 0.005 2.5 -1.435 RICE -17.970 0.010 2.5 -0.437 ROBUSTA 148.524 0.005 2.5 1.734 RUSSELL -49.502 0.013 2.5 -1.640 SHATZ -97.236 0.004 2.5 -0.986 SILVER-mini -19.199 0.014 2.5 -0.655 SMI 57.402 0.014 2.5 1.958 SOFR 11.201 0.024 2.5 0.681 SOYBEAN -23.852 0.004 2.5 -0.222 SOYMEAL -69.168 0.004 2.5 -0.643 SOYOIL -62.019 0.004 2.5 -0.577 SP400 -2.440 0.013 2.5 -0.081 SP500_micro 45.268 0.009 2.5 1.052 SUGAR11 -81.653 0.009 2.5 -1.737 US10 -9.266 0.005 2.5 -0.117 US10U 15.629 0.005 2.5 0.198 US2 -66.276 0.005 2.5 -0.840 US20 16.593 0.005 2.5 0.210 US30 10.793 0.005 2.5 0.137 US5 -46.942 0.005 2.5 -0.595 VIX -191.789 0.099 2.5 -47.343 WHEAT -120.666 0.005 2.5 -1.601 ===================== Position diags ===================== AUD 2.48 BITCOIN 39.58 BOBL 1.51 BTP 2.16 BUND 0.74 BUXL 0.30 CAC 2.92 CAD 3.84 CANOLA 8.78 CHF 1.97 COCOA 2.17 COFFEE 0.39 COPPER 4.53 CORN 4.91 COTTON2 1.74 CRUDE_W 3.98 DAX 13.64 DOW 9.99 DX 2.35 EUR 1.59 EURIBOR-ICE 10.26 EUROSTX 4.54 FEEDCOW 1.10 GASOIL 1.44 GASOLINE 1.05 GAS_US_mini 20.40 GBP 2.56 GOLD_micro 8.48 HEATOIL 1.01 JGB-SGX-mini 19.32 JPY 1.78 LEANHOG 5.14 LIVECOW 2.05 LUMBER-new 4.89 MILK 2.46 MXP 30.76 NASDAQ_micro 4.30 NIKKEI 23.89 NZD 2.80 OAT 2.46 OATIES 2.67 OJ 1.03 PALLAD 0.45 PLAT 1.95 REDWHEAT 0.97 RICE 3.51 ROBUSTA 1.40 RUSSELL 12.27 SHATZ 4.30 SILVER-mini 1.47 SMI 2.02 SOFR 13.48 SOYBEAN 0.78 SOYMEAL 0.78 SOYOIL 0.87 SP400 0.53 SP500_micro 7.43 SUGAR11 1.99 US10 1.09 US10U 0.82 US2 1.79 US20 0.55 US30 0.38 US5 1.62 VIX 23.67 WHEAT 1.19 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.7 0.5 1.0 5.0 5 BITCOIN 37.5 33.5 41.4 49.0 49 BOBL 0.2 0.0 0.3 0.0 0 BTP 1.8 1.5 2.0 4.0 4 BUND 0.4 0.4 0.5 0.0 0 BUXL 0.2 0.2 0.2 1.0 1 CAC 3.5 3.3 3.8 0.0 0 CAD -0.1 -0.4 0.3 0.0 0 CANOLA -16.6 -17.4 -15.7 -6.0 -6 CHF -1.6 -1.8 -1.4 -3.0 -3 COCOA 3.2 2.9 3.4 5.0 5 COFFEE 0.1 0.0 0.1 0.0 0 COPPER 0.2 -0.2 0.7 0.0 0 CORN -7.1 -7.5 -6.6 -5.0 -5 COTTON2 -2.5 -2.7 -2.4 -4.0 -4 CRUDE_W 1.4 1.0 1.8 3.0 3 DAX 26.0 24.7 27.4 0.0 0 DOW 4.6 3.6 5.6 8.0 8 DX -1.3 -1.5 -1.0 NaN 0 EUR -0.2 -0.4 -0.0 0.0 0 EURIBOR-ICE 11.4 10.3 12.4 8.0 8 EUROSTX 7.6 7.2 8.1 14.0 14 FEEDCOW -1.0 -1.1 -0.9 -1.0 -1 GASOIL -0.0 -0.2 0.1 0.0 0 GASOLINE -0.1 -0.2 0.1 0.0 0 GAS_US_mini -29.2 -31.2 -27.2 -25.0 -25 GBP 1.3 1.0 1.5 0.0 0 GOLD_micro -5.3 -6.2 -4.5 -20.0 -20 HEATOIL -0.4 -0.5 -0.3 -1.0 -1 JGB-SGX-mini 12.3 10.4 14.3 12.0 12 JPY 0.3 0.1 0.4 1.0 1 LEANHOG 0.2 -0.4 0.7 0.0 0 LIVECOW -2.0 -2.3 -1.8 -1.0 -1 LUMBER-new -2.5 -3.0 -2.0 NaN 0 MILK -4.9 -5.2 -4.7 NaN 0 MXP 26.1 23.0 29.1 37.0 37 NASDAQ_micro 1.1 0.7 1.5 10.0 10 NIKKEI 2.8 0.4 5.2 17.0 17 NZD 1.8 1.5 2.1 4.0 4 OAT 2.6 2.3 2.8 0.0 0 OATIES -3.2 -3.5 -2.9 NaN 0 OJ 0.8 0.7 0.9 NaN 0 PALLAD 0.1 0.0 0.1 -1.0 -1 PLAT 1.1 0.9 1.3 2.0 2 REDWHEAT -1.4 -1.5 -1.3 -3.0 -3 RICE -0.4 -0.8 -0.1 NaN 0 ROBUSTA 1.7 1.6 1.9 4.0 4 RUSSELL -1.6 -2.9 -0.4 0.0 0 SHATZ -1.0 -1.4 -0.6 NaN 0 SILVER-mini -0.7 -0.8 -0.5 NaN 0 SMI 2.0 1.8 2.2 8.0 8 SOFR 0.7 -0.7 2.0 NaN 0 SOYBEAN -0.2 -0.3 -0.1 0.0 0 SOYMEAL -0.6 -0.7 -0.6 -1.0 -1 SOYOIL -0.6 -0.7 -0.5 -3.0 -3 SP400 -0.1 -0.1 -0.0 0.0 0 SP500_micro 1.1 0.3 1.8 -1.0 -1 SUGAR11 -1.7 -1.9 -1.5 -1.0 -1 US10 -0.1 -0.2 -0.0 -10.0 -10 US10U 0.2 0.1 0.3 0.0 0 US2 -0.8 -1.0 -0.7 NaN 0 US20 0.2 0.2 0.3 0.0 0 US30 0.1 0.1 0.2 5.0 5 US5 -0.6 -0.8 -0.4 -1.0 -1 VIX -47.3 -49.7 -45.0 -17.0 -17 WHEAT -1.6 -1.7 -1.5 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 3.7 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 0.3 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 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 0.4 0.0 0.1 0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 0.1 0.1 -0.4 -0.5 -0.1 0.2 BITCOIN 0.0 0.5 0.5 0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.5 0.1 0.6 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.1 0.3 0.2 -2.7 0.1 0.0 0.2 0.0 0.1 0.1 -0.1 0.5 0.6 0.6 0.6 -0.2 0.6 -0.0 0.7 BOBL 0.6 0.6 0.5 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 0.0 0.1 -0.2 0.1 0.1 -0.4 -0.1 -0.2 -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 -0.5 0.0 0.1 0.0 0.2 -0.6 -0.7 -0.3 -0.6 BTP 0.6 0.6 0.1 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 0.2 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.2 -0.0 0.2 -1.1 0.0 0.1 0.0 0.1 0.0 0.1 0.8 0.2 0.2 0.3 0.3 -0.5 -0.7 0.2 0.2 BUND 0.6 0.6 0.4 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 0.0 0.0 0.1 0.0 0.2 -0.1 0.2 0.8 0.0 0.0 0.0 0.0 -0.0 0.0 0.4 0.2 0.3 0.1 0.2 -0.7 -0.7 -0.4 -0.2 BUXL 0.6 0.6 0.4 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 0.2 0.0 0.2 -0.2 0.2 0.2 0.0 0.0 0.0 0.1 -0.0 0.1 0.2 0.5 0.5 0.2 0.2 -0.7 -0.7 -0.3 0.4 CAC 0.6 0.6 -0.2 0.1 0.1 0.0 0.1 0.0 0.1 0.2 0.2 0.2 0.7 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.3 0.2 -1.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.5 0.4 0.1 0.1 0.3 0.2 0.6 0.4 CAD 0.6 0.4 -0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 -0.3 0.2 -0.5 0.2 0.1 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.2 -0.3 0.2 0.3 0.0 0.2 -0.1 0.1 -0.1 0.1 0.0 0.5 0.3 -0.5 -0.4 -0.6 -0.7 -0.1 -0.5 CANOLA -0.4 -0.1 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 0.0 -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 -0.4 -0.4 -0.5 -0.5 -0.5 -0.3 -0.1 0.1 CHF 0.5 0.6 -0.3 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.2 0.3 0.2 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.2 0.1 0.2 -1.3 0.1 0.1 0.0 0.1 0.0 0.1 -1.1 -0.1 0.2 -0.0 -0.4 -0.7 -0.7 -0.7 -0.7 COCOA 0.1 0.6 0.4 -0.0 0.0 -0.2 -0.0 -0.3 -0.0 0.2 0.5 0.2 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 0.2 0.3 0.6 0.6 0.6 0.5 -0.0 0.7 0.5 COFFEE 0.3 0.6 0.6 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.1 0.1 0.2 -0.2 0.2 0.1 0.2 0.1 0.2 0.1 0.2 0.1 0.2 -0.0 0.2 -2.7 0.1 0.0 0.1 0.1 0.0 0.1 0.5 0.3 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.4 COPPER 0.2 0.6 0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.1 -0.1 0.1 -0.9 0.0 0.1 0.0 0.0 -0.1 0.0 0.1 0.2 0.4 0.4 0.1 -0.2 -0.4 0.1 -0.4 CORN -0.0 0.1 -0.3 -0.0 0.0 -0.2 -0.0 -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 -0.0 -0.1 -0.0 -0.4 -0.0 -0.2 -0.0 0.3 -0.1 0.3 -0.2 -0.2 0.2 0.1 COTTON2 0.3 -0.5 -0.3 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -0.2 0.0 -0.3 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.2 0.2 -0.6 -0.2 -0.5 -0.4 -0.1 0.1 CRUDE_W -0.4 -0.6 -0.2 -0.0 0.0 -0.0 -0.0 0.1 -0.1 0.1 0.2 -0.1 0.2 -0.1 -0.1 0.1 0.2 0.2 0.2 -0.1 0.0 -0.0 0.2 -0.1 -0.5 -0.0 0.0 0.0 -0.0 0.2 -0.1 -1.0 0.1 0.3 0.4 0.5 0.7 0.4 0.7 0.4 DAX 0.6 0.6 -0.1 0.1 0.1 0.0 0.1 0.0 0.1 0.1 0.2 0.2 0.6 0.2 0.2 -0.3 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.2 0.2 2.6 0.1 0.0 0.1 0.1 0.0 0.1 -0.3 0.1 0.6 0.6 0.3 0.2 0.2 0.5 0.5 DOW 0.6 0.6 0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.1 0.3 0.2 0.5 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.2 0.2 -1.6 0.1 0.1 0.1 0.1 0.1 0.1 -0.4 0.4 0.6 0.5 0.2 -0.4 -0.2 -0.5 -0.2 DX -0.3 -0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 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 -0.3 -0.6 -0.6 0.1 0.4 0.2 0.5 0.5 EUR -0.0 0.6 -0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.0 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 -0.1 0.1 1.5 0.0 0.1 0.0 0.0 -0.0 0.0 -0.4 -0.0 -0.5 -0.0 -0.2 -0.5 -0.4 -0.5 -0.2 EURIBOR-ICE 0.6 0.6 0.6 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 0.1 0.1 -0.1 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.2 0.1 0.1 -0.0 0.2 2.3 0.0 0.0 0.0 0.0 0.0 0.0 -0.4 0.1 0.2 0.3 0.5 -0.7 -0.7 0.2 0.7 EUROSTX 0.6 0.6 -0.1 0.1 0.1 0.0 0.1 0.0 0.1 0.2 0.2 0.2 0.6 0.2 0.2 0.0 -0.0 -0.1 -0.1 0.2 0.2 0.2 0.3 0.2 0.5 0.1 0.0 0.1 0.1 0.1 0.1 0.2 0.2 0.3 0.4 0.3 0.1 0.2 0.3 0.5 FEEDCOW -0.1 -0.6 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 -0.0 0.0 -0.1 -0.1 -0.1 -0.4 -0.2 -0.3 -0.2 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 0.0 -0.0 0.0 0.0 -0.0 -1.1 0.1 -0.1 -0.6 -0.4 0.4 0.1 0.7 0.3 GASOIL -0.4 -0.6 -0.3 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.0 0.2 -0.1 0.2 -0.1 -0.1 0.2 0.4 0.3 0.4 -0.1 0.0 -0.1 0.2 -0.2 1.1 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.0 0.1 -0.3 -0.1 -0.5 -0.2 GASOLINE -0.2 -0.5 -0.6 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.1 -0.1 -0.1 -0.1 0.4 0.1 0.4 -0.1 -0.0 -0.0 0.1 -0.1 -2.7 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.3 0.2 0.4 0.4 -0.2 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 0.0 -0.0 -0.0 -0.3 -0.1 -0.5 -0.1 -0.1 -0.0 -0.4 -0.4 -0.4 -0.2 -0.2 -0.2 -0.5 -0.2 2.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -1.1 -0.3 -0.6 -0.3 -0.4 -0.6 0.2 -0.7 0.1 GBP 0.3 0.6 -0.2 0.0 0.0 0.1 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 0.1 0.0 0.1 0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.2 -0.1 0.0 0.2 -0.3 -0.4 0.1 -0.3 0.6 GOLD_micro 0.1 0.3 0.1 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.0 0.2 0.0 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.0 0.0 0.0 0.0 -0.6 0.0 0.0 0.0 0.0 0.0 0.0 -0.8 -0.1 0.3 0.3 0.3 -0.5 -0.7 -0.5 -0.7 HEATOIL -0.4 -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 -0.1 0.3 0.4 0.4 0.4 -0.1 -0.0 -0.1 0.2 -0.2 -2.4 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.2 -0.0 0.2 0.1 -0.1 0.4 -0.0 0.3 -0.2 JGB-SGX-mini 0.3 0.6 -0.2 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.0 0.2 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 -0.5 -0.1 -0.3 -0.0 0.1 -0.7 0.5 0.7 JPY 0.6 0.6 0.4 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.2 0.1 -0.3 0.1 0.0 -0.3 -0.3 -0.3 -0.3 0.0 -0.1 0.1 -0.3 0.1 2.7 0.0 0.0 -0.1 0.1 -0.1 0.0 -1.1 0.5 0.4 -0.1 -0.3 -0.2 -0.7 -0.0 -0.7 LEANHOG -0.3 -0.1 -0.0 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.1 -0.1 -0.0 -0.3 -0.1 -0.1 -0.4 0.2 -0.3 0.1 -0.1 -0.1 0.0 -0.3 -0.1 1.7 -0.0 0.1 -0.1 0.0 -0.3 -0.0 1.0 0.1 -0.2 -0.0 -0.0 -0.4 -0.2 0.2 0.4 LIVECOW -0.3 -0.6 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.4 -0.1 -0.2 -0.6 -0.3 0.1 -0.3 0.2 -0.1 LUMBER-new 0.1 0.7 0.1 -0.1 0.1 -0.2 -0.0 -0.3 -0.0 0.2 -0.3 0.2 -0.8 0.3 0.2 -0.3 -0.3 -0.3 -0.3 0.1 -0.0 0.1 -0.4 0.2 NaN 0.1 0.1 0.0 0.1 -0.1 0.1 -1.2 0.6 0.4 0.7 0.4 -0.7 -0.8 -0.4 -0.7 MILK -0.4 -0.5 -0.4 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.4 -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 1.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -1.1 -0.4 -0.6 -0.6 -0.4 -0.7 -0.7 -0.7 -0.7 MXP 0.0 0.5 -0.4 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.3 0.1 0.5 0.1 0.1 0.3 0.3 0.3 0.3 0.1 0.1 0.1 0.4 0.1 -2.7 0.0 0.0 0.1 0.0 0.2 0.0 1.1 -0.1 -0.4 0.1 -0.1 0.3 0.5 0.7 0.7 NASDAQ_micro 0.5 0.6 0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.1 0.3 0.2 0.4 0.2 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.4 0.2 -2.7 0.0 0.1 0.1 0.1 0.1 0.1 -0.3 0.2 -0.0 0.1 0.2 0.3 -0.3 0.3 -0.3 NIKKEI -0.2 0.4 -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 0.3 0.2 0.2 0.2 0.1 0.1 -0.1 0.5 0.0 -1.6 0.0 -0.0 0.1 -0.0 0.3 -0.0 1.1 -0.5 -0.6 -0.6 0.1 -0.3 0.0 -0.2 0.2 NZD 0.5 0.6 0.3 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.1 0.1 -0.0 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 0.1 0.2 -0.0 0.2 0.1 0.2 -0.2 -0.4 -0.1 0.2 OAT 0.6 0.6 0.4 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.1 0.1 -0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.2 -0.1 0.2 1.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.7 0.3 0.3 0.2 0.3 -0.7 -0.7 -0.1 0.3 OATIES 0.3 -0.5 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.9 -0.1 0.0 -0.4 -0.4 0.1 0.3 0.5 0.7 OJ -0.6 -0.6 0.1 -0.0 0.0 -0.1 -0.0 -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 -0.1 0.6 0.6 0.3 0.3 0.7 0.7 PALLAD 0.4 0.4 0.6 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 0.0 -0.3 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.1 -0.3 0.0 0.7 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.3 0.5 0.0 -0.5 -0.4 -0.1 -0.3 0.3 -0.0 PLAT 0.3 0.3 0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 0.1 -0.2 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.1 0.1 1.6 0.0 0.1 -0.0 0.0 -0.0 0.0 0.3 0.4 0.3 0.0 0.1 -0.2 -0.4 0.4 -0.2 REDWHEAT 0.6 0.3 -0.5 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.4 0.1 -0.5 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.4 -0.0 -1.6 -0.0 -0.0 -0.2 -0.0 -0.2 -0.0 -0.1 0.0 0.3 -0.3 -0.5 -0.7 -0.7 -0.7 -0.5 RICE -0.1 0.3 0.2 -0.0 0.0 -0.2 -0.0 -0.3 -0.0 0.1 0.4 -0.1 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 -0.3 -0.1 0.6 0.6 -0.0 -0.5 0.5 -0.1 ROBUSTA 0.6 0.6 -0.2 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.1 0.4 0.2 0.5 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 1.1 0.5 0.6 0.6 0.6 -0.3 -0.5 0.1 0.0 RUSSELL 0.6 0.6 -0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.1 0.2 -0.2 0.0 0.1 0.0 0.1 -0.0 0.1 -0.1 0.4 0.2 -0.0 -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 -0.0 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.1 -0.2 0.1 1.2 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 -0.1 0.1 -0.1 0.1 -0.4 -0.7 -0.2 -0.7 SILVER-mini 0.1 0.3 -0.1 0.0 0.0 -0.0 -0.0 -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 0.7 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.4 -0.2 -0.1 0.0 -0.6 -0.7 0.0 -0.7 SMI 0.6 0.5 -0.2 0.1 0.0 0.0 0.1 0.0 0.1 0.1 -0.1 0.2 0.1 0.2 0.1 0.2 0.1 0.1 0.1 0.2 -0.0 0.2 -0.2 0.2 1.2 0.0 0.1 0.0 0.1 -0.1 0.1 0.8 0.3 0.2 -0.5 -0.1 -0.1 -0.2 0.1 -0.2 SOFR 0.6 0.6 0.3 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 0.0 -0.0 0.0 -0.0 0.1 0.0 0.1 -0.1 0.1 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 0.0 0.0 0.1 -0.7 -0.7 -0.2 -0.3 SOYBEAN -0.3 0.1 -0.0 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.1 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 -0.1 0.3 0.6 0.5 -0.7 -0.7 -0.7 -0.5 SOYMEAL -0.6 0.2 0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.0 0.3 0.3 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 -0.6 0.3 0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.1 -0.1 -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 0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.8 -0.1 0.3 -0.0 -0.3 -0.4 0.0 0.2 0.4 SP400 0.6 0.6 -0.3 0.0 0.0 0.0 0.0 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 0.0 0.2 -0.0 0.2 -1.2 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.3 0.2 -0.0 -0.1 -0.4 -0.3 -0.6 -0.7 SP500_micro 0.6 0.6 -0.1 0.0 0.0 0.0 0.1 0.0 0.1 0.1 0.3 0.2 0.4 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.3 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 -0.4 0.2 0.1 0.1 0.1 0.1 -0.2 0.2 -0.4 SUGAR11 -0.6 -0.6 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.3 -0.1 -0.0 0.4 0.4 0.4 0.4 -0.1 -0.0 -0.2 0.2 -0.2 -2.7 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 1.1 -0.5 -0.6 -0.6 0.2 -0.1 -0.4 0.4 0.2 US10 0.6 0.6 0.4 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.1 -0.2 0.1 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.5 -0.0 0.1 -0.0 -0.0 -0.7 -0.7 -0.2 0.1 US10U 0.6 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 0.0 0.0 0.0 0.1 -0.0 0.1 -0.2 0.1 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.0 0.1 -0.0 -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 -0.0 0.0 0.0 -0.1 0.1 -0.2 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.0 -0.0 0.1 -0.2 0.1 1.1 0.0 0.0 0.0 0.0 -0.1 0.0 -1.1 -0.2 0.0 -0.1 0.1 -0.5 -0.7 -0.3 -0.7 US20 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 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.2 0.1 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.1 0.2 0.1 -0.1 -0.5 -0.7 0.5 0.7 US30 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 -0.2 0.1 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.3 0.1 0.2 0.0 -0.1 -0.3 -0.7 0.7 0.7 US5 0.6 0.6 0.6 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 -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 0.0 -0.0 0.1 -0.7 -0.7 -0.7 -0.5 VIX -0.7 -1.0 0.4 -0.1 -0.0 -0.2 -0.1 -0.4 -0.1 -0.2 -0.8 -0.3 -1.1 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.3 -0.9 -0.3 NaN -0.1 -0.1 -0.3 -0.1 -0.5 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.4 0.4 -0.2 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -0.4 0.1 -0.6 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 0.0 -0.1 0.0 -0.3 0.0 -0.9 0.1 0.5 -0.0 -0.2 -0.7 -0.7 -0.7 -0.7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 9.9 20.0 7.9 3.2 4.1 1.7 3.8 1.1 4.0 11.8 -4.2 10.2 -8.3 10.9 8.4 -2.4 -2.9 -2.8 -2.9 7.9 0.7 12.1 -5.3 10.9 2.8 3.5 6.8 0.6 5.1 -1.7 4.7 -1.0 1.8 1.7 2.2 1.8 -12.7 -13.9 -3.9 6.4 BITCOIN 0.7 15.8 15.4 0.6 3.4 -0.2 -0.2 -0.1 -0.3 -3.5 19.2 10.2 16.7 17.9 20.0 -9.4 -6.0 -8.7 -7.5 20.0 20.0 14.1 12.7 20.0 -20.0 7.6 0.2 5.9 3.3 3.3 6.5 -1.6 20.0 20.0 20.0 20.0 -5.7 18.2 -0.5 20.0 BOBL 20.0 20.0 15.5 1.7 3.3 -0.1 3.2 -1.3 3.0 7.3 0.8 7.7 -4.8 8.0 6.9 -20.0 -5.5 -9.2 -7.2 10.5 3.5 14.7 -4.0 14.7 8.1 2.5 3.5 0.9 3.5 -0.6 3.5 -8.8 1.3 4.6 1.5 6.2 -17.6 -20.0 -8.4 -17.8 BTP 20.0 20.0 4.1 2.8 5.4 -0.1 5.3 -2.2 4.8 12.2 6.1 12.9 4.4 13.8 11.8 5.6 7.4 6.5 6.6 18.6 7.9 20.0 -0.4 20.0 -7.9 4.1 6.0 1.8 5.5 0.2 5.5 14.3 7.1 6.0 10.4 8.1 -13.9 -20.0 4.6 6.0 BUND 20.0 20.0 12.1 2.0 3.8 -0.1 3.7 -1.5 3.4 8.6 1.6 9.3 -5.5 9.6 7.8 3.0 4.1 0.6 1.4 13.0 3.9 19.6 -5.0 19.0 5.8 2.9 4.4 1.0 4.3 -0.6 4.1 7.0 8.9 8.1 4.2 6.8 -20.0 -20.0 -13.2 -5.7 BUXL 20.0 20.0 11.2 2.4 4.5 -0.1 4.4 -1.8 4.0 10.4 0.7 11.3 -8.0 11.7 8.2 0.3 0.7 0.4 0.6 15.1 2.5 20.0 -8.4 20.0 1.2 3.2 5.3 0.7 5.3 -1.0 5.0 3.6 20.0 14.4 7.3 4.9 -20.0 -20.0 -10.4 11.0 CAC 20.0 20.0 -7.1 5.6 6.0 1.8 7.9 0.6 8.3 20.0 7.1 20.0 18.2 20.0 18.0 -7.4 -3.6 -6.7 -5.7 20.0 9.8 20.0 9.8 20.0 -7.7 6.7 7.3 2.4 10.2 1.7 10.4 1.9 19.7 11.7 3.9 1.7 8.1 6.0 16.5 11.2 CAD 18.8 13.5 -2.4 5.3 6.7 2.8 6.2 1.7 6.6 19.0 -10.1 18.5 -13.4 17.8 6.7 -2.4 -2.3 -2.5 -2.4 6.7 -4.4 20.0 -9.4 18.9 2.5 3.1 18.6 -1.9 13.1 -3.7 8.8 0.0 19.0 10.2 -14.4 -11.1 -17.0 -20.0 -2.6 -14.8 CANOLA -11.9 -2.2 -20.0 -1.7 1.8 -2.4 -0.3 -3.0 -1.3 -7.3 -4.3 -7.6 -4.3 -6.9 -8.2 -9.5 1.0 -9.6 -5.7 -10.2 -8.8 -10.3 -6.7 -10.5 -20.0 -3.2 -2.4 -2.9 -2.8 -2.5 -3.0 -1.7 -15.4 -13.2 -15.0 -16.9 -14.6 -9.8 -3.1 2.5 CHF 15.1 18.6 -8.8 5.0 6.4 2.6 5.8 1.6 6.2 13.5 -2.5 14.3 7.6 18.0 13.0 -17.1 -15.4 -16.8 -16.2 14.9 4.8 16.7 2.5 20.0 -9.7 4.8 5.6 1.4 5.8 0.5 6.7 -20.0 -5.3 5.3 -0.9 -12.7 -20.0 -20.0 -20.0 -20.0 COCOA 2.1 17.3 12.6 -4.4 4.6 -6.2 -0.7 -7.7 -3.3 19.7 20.0 19.9 20.0 20.0 20.0 13.8 0.3 6.3 2.4 20.0 20.0 20.0 20.0 20.0 -20.0 8.7 2.9 9.3 3.9 9.3 6.5 3.8 13.1 20.0 20.0 20.0 14.5 -1.2 20.0 15.9 COFFEE 9.0 20.0 19.4 -2.9 3.0 -4.1 -0.5 -5.1 -2.1 14.1 2.4 14.3 -6.7 14.4 13.9 12.4 4.1 8.5 5.5 15.2 7.5 17.6 -0.9 17.6 -20.0 5.2 4.2 3.1 4.7 0.9 5.4 9.8 12.7 20.0 20.0 20.0 -20.0 -20.0 -20.0 -12.0 COPPER 7.2 17.9 0.1 0.4 2.7 -0.2 -0.1 -0.1 -0.2 12.3 -5.2 5.6 -3.9 9.7 6.6 -5.0 -4.4 -6.3 -5.7 6.4 -0.2 9.2 -4.6 8.9 -6.4 3.6 6.4 0.6 4.3 -1.5 4.4 1.3 8.6 12.3 13.0 2.2 -5.2 -13.3 4.5 -11.2 CORN -0.2 4.6 -7.7 -4.4 4.7 -6.2 -0.7 -7.7 -3.3 -8.1 -20.0 -0.2 -20.0 -8.9 -10.6 -8.2 -0.8 -7.1 -5.3 -6.7 -17.1 -2.6 -20.0 -3.1 -20.0 -1.1 -0.3 -5.1 -1.4 -10.6 -0.3 -3.4 -0.1 8.3 -3.3 8.1 -6.8 -7.3 5.1 3.4 COTTON2 7.8 -14.4 -10.6 -3.2 3.4 -4.5 -0.5 -5.6 -2.4 -3.3 -8.0 0.5 -8.8 -6.4 -11.2 -6.3 0.4 -5.9 -3.4 -10.8 -9.4 -1.2 -6.2 -4.6 -20.0 -4.2 -2.5 -3.4 -0.1 -1.2 -1.6 -0.7 8.9 5.5 -20.0 -5.6 -15.4 -13.1 -1.9 2.8 CRUDE_W -11.2 -19.8 -5.1 -4.3 1.7 -0.9 -2.6 1.7 -5.0 6.6 6.1 -7.0 6.9 -12.8 -10.0 5.2 9.9 8.4 9.5 -8.3 2.1 -4.8 8.4 -11.5 -4.1 -3.4 2.7 1.6 -1.8 5.4 -4.7 -18.1 3.6 8.8 11.4 14.2 20.0 12.2 20.0 13.1 DAX 20.0 20.0 -4.1 5.3 5.7 1.7 7.5 0.6 7.9 11.7 7.5 20.0 16.0 20.0 19.2 -12.6 -8.6 -10.9 -9.9 20.0 15.4 20.0 8.1 20.0 19.3 6.6 1.5 2.5 6.2 0.9 8.8 -6.0 3.3 20.0 20.0 8.8 5.7 4.5 14.6 15.0 DOW 20.0 20.0 0.3 4.2 4.5 1.4 6.0 0.5 6.3 16.5 10.6 18.8 12.6 19.5 16.4 -10.3 -9.0 -10.3 -10.1 20.0 16.3 20.0 7.3 20.0 -11.9 5.6 7.0 2.7 7.7 1.5 7.7 -6.7 15.3 20.0 15.4 5.9 -12.7 -4.7 -15.8 -6.6 DX -8.9 -20.0 1.0 2.7 3.4 1.4 3.1 0.9 3.3 -6.3 4.0 -5.3 -3.2 -8.4 -5.6 5.7 6.1 6.5 6.5 -6.1 -0.3 -10.1 2.9 -9.0 -20.0 -2.3 -4.5 -0.0 -3.6 1.5 -3.4 14.9 -10.8 -20.0 -20.0 3.4 11.6 5.2 15.5 14.8 EUR -1.2 19.4 -2.8 3.5 4.5 1.8 4.1 1.1 4.4 5.4 -4.2 1.4 4.7 6.7 5.7 -5.8 -6.8 -6.2 -6.4 4.5 0.3 6.5 -2.1 5.2 10.9 2.2 5.6 0.2 3.3 -0.9 2.6 -7.3 -0.4 -14.1 -0.0 -7.5 -15.9 -13.5 -14.5 -5.6 EURIBOR-ICE 18.5 20.0 20.0 1.6 3.3 -0.2 2.9 -1.4 2.7 6.5 4.4 7.1 -2.0 7.8 7.8 -2.0 -6.4 -3.9 -5.5 14.0 7.7 14.2 -0.7 16.2 16.9 2.7 2.5 1.5 2.7 0.0 3.1 -8.4 5.2 7.2 10.3 14.6 -20.0 -20.0 4.7 20.0 EUROSTX 20.0 20.0 -2.4 5.3 5.7 1.7 7.5 0.6 7.9 18.1 9.1 20.0 17.8 20.0 19.5 1.5 -2.4 -2.8 -3.5 20.0 15.4 20.0 12.3 20.0 3.6 7.0 3.5 3.2 7.3 2.0 9.2 4.5 7.3 8.7 12.8 9.5 2.9 7.0 8.6 15.5 FEEDCOW -1.7 -20.0 -20.0 -1.6 1.7 -2.3 -0.3 -2.9 -1.2 7.3 -5.6 -1.8 0.5 -5.9 -7.7 -6.9 -20.0 -10.0 -16.4 -14.1 -9.4 -0.2 -1.2 -9.6 -1.1 -2.6 1.4 -1.5 0.2 0.6 -1.5 -20.0 4.9 -2.4 -20.0 -11.4 12.1 1.6 20.0 9.2 GASOIL -12.8 -20.0 -7.8 -3.6 1.4 -0.8 -2.2 1.4 -4.2 1.7 5.6 -8.7 6.0 -13.0 -12.1 9.6 20.0 16.6 19.6 -11.7 0.1 -9.5 8.9 -15.5 8.1 -3.6 0.9 0.5 -3.2 3.1 -5.1 0.6 -3.4 -0.4 0.3 2.9 -7.9 -1.9 -14.6 -7.3 GASOLINE -4.6 -14.8 -20.0 -3.6 1.4 -0.8 -2.2 1.4 -4.2 10.4 0.8 -3.7 3.7 -8.9 -12.1 -6.3 20.0 5.6 18.7 -9.3 -3.6 -0.9 4.2 -8.2 -20.0 -3.7 4.9 -1.0 0.1 3.5 -2.8 5.2 7.2 13.2 13.4 -7.3 20.0 11.5 20.0 8.9 GAS_US_mini -20.0 -20.0 8.0 -3.1 1.2 -0.6 -1.8 1.2 -3.5 -3.2 -12.5 -9.7 -13.9 -12.5 -13.0 -0.7 -20.0 -20.0 -20.0 -20.0 -18.5 -17.2 -20.0 -20.0 17.2 -4.4 -0.8 -2.7 -3.4 -1.6 -4.9 -20.0 -13.5 -20.0 -9.7 -11.8 -16.7 5.9 -20.0 1.7 GBP 10.7 20.0 -7.4 3.7 4.7 1.9 4.3 1.2 4.6 5.7 -3.1 7.9 7.7 12.2 8.1 -0.5 -0.7 -0.6 -0.6 8.9 2.9 9.9 0.6 11.5 1.3 3.4 4.7 0.9 4.0 -0.4 4.5 2.9 -2.7 0.2 4.7 -8.5 -11.2 2.2 -7.8 17.8 GOLD_micro 2.0 10.4 3.8 0.3 2.1 -0.2 -0.1 -0.1 -0.2 2.6 1.9 -2.0 4.2 2.9 8.6 -12.7 -13.9 -14.3 -14.6 6.6 3.9 1.2 1.7 4.4 -4.8 2.8 1.0 1.8 0.5 1.1 1.9 -14.8 -6.2 8.9 9.0 9.2 -14.7 -20.0 -14.1 -20.0 HEATOIL -13.6 -20.0 -9.6 -3.8 1.5 -0.8 -2.3 1.5 -4.4 3.8 4.1 -9.8 4.7 -13.1 -12.9 16.5 20.0 20.0 20.0 -12.6 -1.5 -8.9 7.2 -15.5 -17.9 -3.9 1.1 0.3 -2.6 4.1 -4.7 3.9 -1.6 5.4 3.0 -2.5 12.9 -1.0 8.4 -6.7 JGB-SGX-mini 9.8 20.0 -6.1 1.5 2.8 -0.1 2.8 -1.1 2.5 1.7 -0.6 2.2 2.0 4.7 3.9 10.2 19.2 14.8 16.0 3.4 0.7 2.8 -0.0 4.4 -1.8 1.2 0.5 -0.1 1.1 -0.6 1.7 20.0 -18.8 -4.3 -8.1 -0.7 3.7 -20.0 14.8 20.0 JPY 20.0 20.0 13.8 2.2 2.8 1.2 2.6 0.7 2.8 7.9 -7.7 8.6 -9.2 8.1 1.1 -15.2 -16.3 -17.3 -17.3 3.0 -5.2 14.3 -10.8 10.4 20.0 1.1 5.5 -2.1 5.7 -3.9 4.2 -20.0 20.0 12.4 -4.2 -8.8 -7.4 -20.0 -0.5 -20.0 LEANHOG -10.4 -2.0 -0.5 -2.5 2.6 -3.5 -0.4 -4.3 -1.8 8.9 -2.8 -3.5 -7.7 -6.6 -8.8 -20.0 9.6 -14.2 5.5 -9.2 -9.2 0.7 -10.6 -6.9 12.9 -3.2 7.4 -4.9 1.6 -7.9 -1.8 18.2 5.7 -5.8 -1.4 -0.8 -10.9 -6.4 7.0 12.2 LIVECOW -8.8 -20.0 -20.0 -1.8 1.9 -2.6 -0.3 -3.2 -1.4 7.3 -4.7 -2.4 1.8 -7.0 -8.2 -3.7 -4.6 -8.6 -7.2 -14.4 -8.5 -3.0 -0.3 -11.7 0.2 -3.0 1.1 -1.5 -0.4 1.0 -2.3 -6.9 -2.7 -5.2 -20.0 -9.7 2.5 -10.2 7.1 -3.5 LUMBER-new 1.9 20.0 3.3 -4.9 5.2 -6.7 -0.8 -7.1 -3.6 20.0 -9.6 12.7 -20.0 20.0 16.2 -13.8 -14.7 -14.9 -14.9 11.2 -0.9 14.1 -11.3 14.1 NaN 4.6 10.0 0.3 7.1 -2.9 5.8 -20.0 20.0 10.6 20.0 11.5 -17.9 -20.0 -11.1 -17.7 MILK -12.0 -15.1 -11.9 -3.0 3.2 -4.2 -0.5 -5.3 -2.2 -14.6 -14.1 -15.7 -14.7 -16.2 -16.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 7.9 -5.8 -7.2 -5.6 -5.9 -6.6 -5.8 -20.0 -16.3 -20.0 -20.0 -11.8 -20.0 -20.0 -20.0 -20.0 MXP 0.2 15.3 -13.8 3.5 4.5 1.9 4.1 1.2 4.4 11.4 10.1 7.9 13.5 12.9 9.3 13.2 16.3 13.9 14.9 8.7 8.4 6.6 13.9 8.4 -20.0 3.3 2.7 3.4 2.4 5.9 3.1 20.0 -2.6 -12.5 3.9 -3.5 9.2 15.0 20.0 20.0 NASDAQ_micro 16.7 20.0 0.4 3.4 3.6 1.1 4.7 0.4 5.0 13.4 12.4 14.5 12.2 15.0 13.5 -10.8 -8.8 -10.1 -9.7 20.0 16.4 20.0 16.0 20.0 -20.0 4.5 5.8 3.5 5.9 4.0 5.6 -6.1 7.8 -1.5 2.3 7.6 9.3 -7.7 9.5 -10.0 NIKKEI -7.3 12.2 -8.5 4.2 4.5 1.4 6.0 0.5 6.3 -4.3 14.9 -8.4 15.8 9.6 11.3 14.1 10.4 10.1 9.8 8.3 12.1 -5.8 17.0 1.7 -12.1 2.6 -3.9 4.9 -3.1 7.9 -0.1 20.0 -20.0 -20.0 -19.9 2.8 -9.7 0.3 -7.1 5.3 NZD 16.4 20.0 9.3 3.1 4.0 1.7 3.7 1.0 3.9 11.2 -2.3 11.5 -0.6 12.1 9.5 0.0 0.2 0.0 0.1 10.7 2.8 11.4 -3.4 13.6 0.8 3.8 3.7 1.3 3.9 -0.6 4.7 4.3 -1.2 6.3 3.2 5.4 -5.2 -12.7 -1.5 6.9 OAT 20.0 20.0 11.0 2.1 4.1 -0.1 4.0 -1.6 3.6 9.2 2.9 9.8 -5.3 10.3 8.5 5.0 7.2 5.4 6.0 14.9 5.0 20.0 -4.2 20.0 8.3 3.1 4.5 1.2 4.5 -0.4 4.4 13.7 11.1 9.4 6.8 8.2 -20.0 -20.0 -3.9 7.6 OATIES 9.5 -16.4 -20.0 -1.5 1.6 -2.1 -0.2 -2.6 -1.1 0.0 -4.8 -2.1 -3.7 -5.0 -7.2 -2.9 -8.3 -10.2 -11.8 -8.9 -7.0 -2.4 -2.6 -6.2 -20.0 -2.5 1.0 -1.9 -0.6 -0.8 -1.7 -16.3 -6.1 0.7 -11.7 -13.8 3.3 9.1 15.1 20.0 OJ -20.0 -19.8 3.2 -3.1 3.3 -4.4 -0.5 -5.5 -2.3 0.6 14.6 -10.5 16.6 -0.6 9.2 13.4 20.0 19.6 20.0 16.0 20.0 -8.9 20.0 -1.9 -20.0 4.9 -0.4 8.8 -1.3 11.1 0.6 20.0 -20.0 -1.7 17.8 20.0 8.7 10.5 20.0 20.0 PALLAD 11.7 11.4 17.5 0.2 1.3 -0.1 -0.1 -0.0 -0.1 7.3 -8.0 3.0 -9.0 -1.2 -5.3 -1.7 -2.3 -2.1 -2.2 -5.1 -7.6 10.0 -10.2 0.1 5.3 -2.3 7.5 -2.7 3.1 -2.5 -0.5 6.0 20.0 0.0 -15.4 -13.6 -1.6 -7.5 8.2 -1.1 PLAT 8.1 9.1 0.9 0.3 1.9 -0.1 -0.1 -0.0 -0.1 7.1 -7.3 7.1 -5.8 8.2 1.2 -3.3 -2.8 -3.3 -3.2 2.0 -2.1 7.9 -4.0 5.2 12.2 1.2 5.7 -0.2 4.6 -0.8 2.6 4.8 14.7 8.8 0.9 3.7 -5.5 -11.7 11.8 -6.0 REDWHEAT 20.0 8.8 -14.6 -2.8 2.9 -3.9 -0.4 -4.9 -2.1 -6.2 -13.5 5.1 -14.4 1.2 -8.8 -3.1 -1.2 -4.1 -3.2 -9.7 -16.0 -1.1 -16.3 -2.3 -12.0 -3.5 -1.5 -5.8 -0.5 -5.3 -0.6 -1.6 0.6 10.2 -9.0 -15.5 -20.0 -20.0 -20.0 -14.3 RICE -4.6 10.8 7.1 -4.1 4.3 -5.8 -0.7 -7.2 -3.1 7.3 15.9 -7.4 11.8 10.9 11.7 -13.1 1.9 -14.1 -6.1 15.0 14.4 0.2 10.2 7.9 -20.0 3.9 0.6 4.0 -0.9 2.8 1.2 0.7 -11.0 -4.1 18.7 20.0 -0.7 -15.0 15.0 -4.5 ROBUSTA 20.0 17.6 -5.5 -2.9 3.0 -4.0 -0.5 -5.0 -2.1 14.0 13.9 15.2 13.8 15.5 14.3 19.5 20.0 20.0 20.0 20.0 16.4 20.0 15.9 20.0 -20.0 5.0 8.9 3.6 8.7 3.4 7.0 20.0 20.0 20.0 20.0 20.0 -10.2 -14.6 3.4 0.6 RUSSELL 20.0 20.0 -5.9 2.7 2.9 0.9 3.8 0.3 4.0 9.5 -1.3 11.4 -3.6 11.9 5.3 -5.8 -6.0 -6.3 -6.4 9.9 0.9 20.0 -2.8 19.1 -1.7 2.6 6.4 0.4 6.0 -0.3 4.9 -1.0 15.0 6.4 -0.7 -6.0 -15.9 -14.4 -20.0 -19.7 SHATZ 20.0 20.0 20.0 1.6 3.1 -0.1 3.1 -1.2 2.8 6.6 -3.0 6.8 -6.5 6.7 4.7 -20.0 -19.7 -20.0 -20.0 7.1 0.9 11.2 -6.2 11.1 9.2 2.1 2.8 0.5 3.1 -1.1 3.1 -20.0 -4.1 4.6 -1.9 3.8 -11.8 -20.0 -5.4 -20.0 SILVER-mini 2.5 10.5 -2.0 0.3 2.1 -0.2 -0.1 -0.1 -0.2 0.4 -1.4 -4.2 2.5 -0.5 3.8 -6.5 -6.3 -6.8 -6.7 2.5 0.8 -2.1 -0.3 0.2 5.4 0.0 1.3 0.4 -2.0 0.5 -1.6 -1.3 -18.2 -7.2 -2.8 1.2 -17.6 -20.0 1.3 -20.0 SMI 20.0 16.4 -7.5 5.0 5.3 1.6 7.0 0.5 7.4 15.1 -4.6 20.0 1.6 20.0 9.7 8.2 3.1 5.6 3.7 14.3 -2.0 20.0 -5.7 20.0 8.9 4.6 6.2 0.3 9.9 -1.5 9.1 15.3 13.5 7.4 -14.5 -4.3 -2.5 -7.1 2.0 -5.2 SOFR 20.0 20.0 8.3 1.7 3.2 -0.1 3.1 -1.3 2.8 7.0 -1.5 7.1 -3.0 7.8 6.1 1.0 -0.4 0.4 -0.2 7.6 1.1 10.8 -3.4 10.9 -1.2 2.1 3.0 0.3 2.8 -0.9 3.0 1.7 -4.6 1.1 1.0 3.0 -20.0 -20.0 -6.5 -8.7 SOYBEAN -8.9 4.0 -0.9 -3.8 4.0 -5.3 -0.6 -6.6 -2.8 5.7 8.7 -7.0 6.9 -3.7 -5.2 15.9 17.5 15.8 15.4 0.3 2.3 -2.1 1.8 -2.4 -20.0 4.8 0.5 4.3 0.9 2.9 2.9 20.0 -2.4 10.6 18.3 15.2 -20.0 -20.0 -20.0 -14.3 SOYMEAL -20.0 4.9 3.7 -2.4 2.5 -3.3 -0.4 -4.1 -1.8 -10.9 1.8 -12.1 3.6 -8.1 0.7 15.8 17.5 16.4 16.4 -1.0 3.0 -11.8 3.6 -9.2 -20.0 0.8 -2.7 2.3 -3.4 2.8 -2.2 20.0 -11.8 -17.3 10.0 13.9 -20.0 -20.0 -20.0 -20.0 SOYOIL 4.6 -2.4 -20.0 -1.9 2.0 -2.7 -0.3 -3.3 -1.4 0.9 -2.9 -4.6 -3.8 -3.9 -8.4 0.9 9.1 4.8 7.1 -7.3 -7.6 -2.8 -4.8 -4.1 -20.0 -1.2 -0.2 -2.1 -0.2 -1.5 0.1 15.8 -5.5 9.9 -1.3 -10.3 -10.9 0.5 4.5 12.1 SP400 20.0 20.0 -8.4 2.9 3.1 0.9 4.1 0.3 4.4 9.3 0.6 11.7 0.5 12.7 6.9 -5.2 -5.1 -5.4 -5.3 11.7 2.3 20.0 -0.9 20.0 -9.2 3.1 6.6 0.8 6.3 0.2 5.4 1.0 13.6 7.5 -0.2 -3.1 -12.5 -10.0 -17.7 -20.0 SP500_micro 20.0 20.0 -4.3 4.3 4.6 1.4 6.1 0.5 6.4 16.6 10.7 18.6 12.2 19.6 16.9 -11.6 -9.9 -11.1 -10.8 20.0 15.0 20.0 10.9 20.0 -20.0 5.3 7.2 3.1 7.6 2.8 7.3 -7.9 8.0 2.8 4.3 3.1 2.4 -7.3 4.8 -10.6 SUGAR11 -20.0 -20.0 -18.2 -2.1 2.2 -2.9 -0.3 -3.6 -1.5 -9.7 3.0 -11.0 9.1 -10.2 -4.1 20.0 20.0 20.0 20.0 -12.6 -0.6 -20.0 7.8 -20.0 -20.0 -2.8 -3.3 -0.2 -5.1 2.0 -4.9 20.0 -20.0 -20.0 -20.0 5.8 -3.8 -13.0 13.5 5.6 US10 20.0 20.0 13.9 1.6 3.0 -0.1 2.9 -1.2 2.7 6.3 -3.3 6.6 -5.0 7.1 4.8 -7.0 -7.0 -6.9 -7.3 5.5 -1.3 10.8 -6.2 9.7 1.3 1.7 3.3 -0.3 3.1 -1.6 2.9 -10.3 -1.9 1.6 -0.5 -0.2 -20.0 -20.0 -7.2 3.3 US10U 20.0 20.0 9.8 2.1 4.0 -0.1 3.9 -1.6 3.6 8.9 -4.2 9.1 -6.6 9.7 5.6 3.0 0.1 1.6 0.6 7.4 -2.2 15.5 -8.9 13.8 -1.9 2.2 4.6 -0.5 4.2 -2.1 3.9 2.7 -0.4 2.9 -0.8 -1.6 -20.0 -20.0 3.0 14.5 US2 17.1 20.0 20.0 1.5 2.9 -0.1 2.8 -1.2 2.6 4.2 -5.0 4.9 -6.2 5.5 3.9 -20.0 -20.0 -20.0 -20.0 3.7 -1.4 7.1 -6.7 6.4 7.9 1.9 2.7 0.0 2.7 -1.9 2.7 -20.0 -8.6 0.2 -2.5 4.0 -15.6 -20.0 -8.7 -20.0 US20 20.0 20.0 7.9 1.5 3.0 -0.1 2.9 -1.2 2.6 6.7 -2.7 6.9 -4.5 7.3 4.2 -0.6 -1.3 -0.8 -1.2 6.3 -1.7 13.8 -6.8 12.0 -1.8 1.6 3.6 -0.4 3.3 -1.5 3.0 -0.4 4.8 4.9 1.7 -2.0 -13.8 -20.0 14.4 20.0 US30 20.0 20.0 9.3 1.8 3.4 -0.1 3.3 -1.3 3.0 7.5 -3.0 7.8 -5.5 8.2 4.6 -4.5 -4.1 -4.7 -4.8 7.0 -1.9 15.1 -7.8 13.3 -1.5 1.8 4.1 -0.5 3.7 -1.8 3.4 -5.4 5.2 5.5 0.5 -1.8 -7.9 -20.0 20.0 20.0 US5 19.7 20.0 19.2 1.5 3.0 -0.1 2.9 -1.2 2.6 5.9 -3.6 6.2 -5.1 6.9 5.0 -9.1 -10.3 -10.1 -10.9 5.2 -0.7 9.6 -5.6 8.7 3.3 1.9 3.2 0.0 3.0 -1.4 2.9 -16.3 -4.5 0.7 -0.9 2.0 -20.0 -20.0 -19.8 -14.3 VIX -13.1 -20.0 8.2 -5.3 -3.4 -5.4 -5.2 -7.0 -5.7 -11.0 -19.3 -16.5 -19.3 -19.3 -18.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -18.1 -20.0 -20.0 NaN -6.2 -3.5 -6.2 -5.5 -8.1 -6.5 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 13.5 12.1 -5.1 -3.3 3.5 -4.6 -0.5 -5.8 -2.5 -0.9 -15.6 8.0 -17.6 6.9 -7.0 -10.2 -10.4 -11.3 -11.2 -5.3 -14.1 1.6 -20.0 0.8 -3.4 -1.3 1.3 -5.2 1.1 -7.5 1.6 -16.7 5.5 16.7 -0.7 -4.9 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3