******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231221_204011 produced at 2023-12-21 21:37:24.634538 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.26 0.0 0.10 -0.10 -0.10 -0.10 -43.78 17.0 -17 -17 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.08 0.0 0.11 -0.11 -0.05 -0.05 -9.34 12.0 -6 -6 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.18 -0.18 -0.02 -0.02 -18.11 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 -27.41 26.0 -25 -25 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -5.18 5.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 -0.06 0.0 999.00 -999.00 0.00 0.00 -1.62 999999999.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.21 -0.05 0.0 0.67 -0.67 -0.21 -0.21 -1.03 13.0 -4 -4 caleb_strategy_v3 US2 False True 0.07 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -0.76 13.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.05 0.0 0.15 -0.15 -0.06 -0.06 -3.39 11.0 -4 -4 caleb_strategy_v3 GOLD_micro False False 0.01 -0.15 -0.04 0.0 0.40 -0.40 -0.15 -0.15 -5.44 56.0 -21 -21 caleb_strategy_v3 LIVECOW False False 0.02 -0.02 -0.04 0.0 0.40 -0.40 -0.02 -0.02 -1.79 17.0 -1 -1 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 FEEDCOW False False 0.04 -0.04 -0.03 0.0 0.31 -0.31 -0.04 -0.04 -0.83 8.0 -1 -1 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 SUGAR11 False False 0.01 -0.02 -0.02 0.0 0.14 -0.14 -0.02 -0.02 -2.02 18.0 -2 -2 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.02 0.0 0.95 -0.95 -0.04 -0.04 -0.51 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 -1.54 8.0 -3 -3 caleb_strategy_v3 WHEAT False False 0.01 -0.05 -0.02 0.0 0.10 -0.10 -0.05 -0.05 -1.81 9.0 -4 -4 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.48 0.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.15 -0.15 -0.02 -0.02 -0.60 7.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 -0.03 -0.01 0.0 0.12 -0.12 -0.03 -0.03 -0.90 9.0 -2 -2 caleb_strategy_v3 HEATOIL False False 0.04 -0.04 -0.01 0.0 0.12 -0.12 -0.04 -0.04 -0.15 3.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.10 -0.10 -0.03 -0.03 -0.70 10.0 -3 -3 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.00 0.0 0.14 -0.14 0.01 0.01 0.25 13.0 1 1 caleb_strategy_v3 EUR False False 0.05 0.00 -0.00 0.0 0.68 -0.68 0.00 0.00 -0.09 14.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.00 0.00 0.0 0.24 -0.24 -0.00 -0.00 0.40 68.0 -1 -1 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.09 4.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.15 -0.15 0.00 0.00 0.07 6.0 0 0 caleb_strategy_v3 US10 False False 0.04 -0.39 -0.00 0.0 0.67 -0.67 -0.39 -0.39 -0.08 17.0 -10 -10 caleb_strategy_v3 JPY False False 0.03 0.06 0.00 0.0 0.53 -0.53 0.06 0.03 0.03 17.0 2 1 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.01 2.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.00 0.0 0.02 -0.02 0.00 0.00 -0.64 3.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.04 0.01 0.0 0.24 -0.24 0.04 0.03 1.40 23.0 4 3 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.01 0.0 0.09 -0.09 0.00 0.00 0.23 2.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.41 3.0 0 0 caleb_strategy_v3 BUXL False False 0.06 0.11 0.01 0.0 0.22 -0.22 0.11 0.11 0.21 4.0 2 2 caleb_strategy_v3 US10U False False 0.04 0.00 0.01 0.0 0.54 -0.54 0.00 0.00 0.27 13.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.01 0.0 0.11 -0.11 0.00 0.00 0.32 4.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 0.01 0.0 0.87 -0.87 0.00 0.00 0.32 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 0.23 9.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.28 0.01 0.0 0.28 -0.28 0.28 0.28 0.14 6.0 6 6 caleb_strategy_v3 RICE False False 0.01 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.83 4.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.14 0.02 0.0 0.27 -0.27 0.14 0.14 1.64 23.0 12 12 caleb_strategy_v3 GBP False False 0.03 0.00 0.02 0.0 0.61 -0.61 0.00 0.00 0.72 22.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.02 0.0 0.40 -0.40 0.00 0.00 1.84 48.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.03 0.0 0.53 -0.53 0.00 0.00 0.54 10.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.07 0.03 0.0 0.45 -0.45 0.07 0.07 1.10 19.0 3 3 caleb_strategy_v3 DOW False False 0.01 0.03 0.03 0.0 0.43 -0.43 0.03 0.03 5.19 66.0 5 5 caleb_strategy_v3 COPPER False False 0.03 0.10 0.03 0.0 0.21 -0.21 0.10 0.10 0.83 6.0 3 3 caleb_strategy_v3 PLAT False False 0.02 0.02 0.03 0.0 0.17 -0.17 0.02 0.02 1.49 10.0 1 1 caleb_strategy_v3 CAD False False 0.03 0.03 0.03 0.0 0.76 -0.76 0.03 0.05 1.05 29.0 1 2 caleb_strategy_v3 BITCOIN False False 0.00 0.07 0.05 0.0 0.09 -0.09 0.07 0.07 35.95 59.0 49 49 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.05 0.0 0.13 -0.13 0.05 0.05 2.16 5.0 2 2 caleb_strategy_v3 COCOA False False 0.01 0.09 0.05 0.0 0.39 -0.39 0.09 0.09 3.58 26.0 6 6 caleb_strategy_v3 NZD False False 0.02 0.09 0.05 0.0 0.46 -0.46 0.09 0.09 2.22 21.0 4 4 caleb_strategy_v3 NIKKEI False False 0.01 0.06 0.05 0.0 0.29 -0.29 0.06 0.07 5.64 36.0 8 9 caleb_strategy_v3 SMI False False 0.04 0.40 0.08 0.0 0.40 -0.40 0.40 0.40 1.79 9.0 9 9 caleb_strategy_v3 BTP False False 0.05 0.14 0.10 0.0 0.46 -0.46 0.14 0.14 2.13 10.0 3 3 caleb_strategy_v3 CAC False True 0.03 0.00 0.10 0.0 0.00 0.00 0.00 0.00 3.28 12.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.28 0.12 0.0 0.35 -0.35 0.28 0.28 6.78 20.0 16 16 caleb_strategy_v3 SOFR False True 0.08 0.00 0.14 0.0 0.00 0.00 0.00 0.00 1.65 11.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 0.15 0.0 0.51 -0.51 0.00 0.00 2.87 10.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.15 0.0 0.37 -0.37 0.00 0.00 23.32 58.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.37 0.32 0.0 0.61 -0.61 0.37 0.38 31.94 60.0 37 38 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.36 0.52 0.0 0.57 -0.57 0.36 0.36 14.48 16.0 10 10 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.28 1.24 0.0 0.94 -0.94 0.28 0.56 13.19 10.0 3 6 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.5 Shocked risk 59.2 Sum abs risk 49.8 Leverage 4.54 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2858924.21, 'annual_cash_vol_target': 714731.0525, 'daily_cash_vol_target': 44670.69078125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0047 0.6814 0.6833 10.9328 BITCOIN 1135.7651 43720.0000 2.5978 41.5651 BOBL 0.2691 119.3300 0.2255 3.6077 BTP 0.6345 120.2500 0.5276 8.4418 BUND 0.5539 137.7800 0.4020 6.4323 BUXL 1.3943 143.9000 0.9689 15.5027 CAC 46.1927 7587.0000 0.6088 9.7414 CAD 0.0031 0.7533 0.4055 6.4883 CANOLA 8.0118 656.2000 1.2209 19.5350 CHF 0.0049 1.1771 0.4146 6.6338 COCOA 41.3939 4250.0000 0.9740 15.5836 COFFEE 4.4230 190.9500 2.3163 37.0611 COPPER 0.0424 3.9210 1.0826 17.3217 CORN 4.3594 504.0000 0.8650 13.8395 COTTON2 1.0390 79.0700 1.3141 21.0251 CRUDE_W 1.1601 72.3100 1.6043 25.6687 DAX 102.9104 16864.0000 0.6102 9.7638 DOW 219.8045 37556.0000 0.5853 9.3643 DX 0.4761 101.5200 0.4690 7.5042 EUR 0.0057 1.1034 0.5174 8.2785 EURIBOR-ICE 0.0524 98.0500 0.0534 0.8549 EUROSTX 30.6616 4557.0000 0.6728 10.7655 FEEDCOW 2.5362 223.4500 1.1350 18.1602 GASOIL 13.5525 767.5000 1.7658 28.2528 GASOLINE 0.0414 2.3773 1.7432 27.8904 GAS_US_mini 0.0944 2.3100 4.0852 65.3629 GBP 0.0073 1.2688 0.5771 9.2343 GOLD_micro 16.7697 2056.1000 0.8156 13.0497 HEATOIL 0.0441 2.6280 1.6764 26.8230 JGB-SGX-mini 0.3659 146.5700 0.2496 3.9941 JPY 0.0001 0.0071 0.7186 11.4970 LEANHOG 1.2417 77.0000 1.6126 25.8011 LIVECOW 1.7008 168.7750 1.0078 16.1240 LUMBER-new 7.2998 589.0000 1.2394 19.8297 MILK 0.1845 16.3200 1.1306 18.0904 MXP 0.0004 0.0579 0.7013 11.2200 NASDAQ_micro 123.2914 16881.0000 0.7304 11.6857 NIKKEI 292.2558 33140.0000 0.8819 14.1101 NZD 0.0040 0.6284 0.6362 10.1794 OAT 0.5658 132.3500 0.4275 6.8402 OATIES 7.9545 363.0000 2.1913 35.0610 OJ 6.0928 341.9000 1.7820 28.5125 PALLAD 32.4235 1223.5000 2.6501 42.4010 PLAT 14.5651 970.2000 1.5012 24.0200 REDWHEAT 12.0027 630.0000 1.9052 30.4830 RICE 0.1571 17.8050 0.8825 14.1201 ROBUSTA 43.6666 2947.0000 1.4817 23.7077 RUSSELL 23.9578 2026.8000 1.1821 18.9128 SHATZ 0.0943 106.4500 0.0886 1.4175 SILVER-mini 0.3868 24.6500 1.5691 25.1060 SMI 62.7401 11077.0000 0.5664 9.0624 SOFR 0.0769 96.8100 0.0794 1.2704 SOYBEAN 10.7383 1252.0000 0.8577 13.7230 SOYMEAL 5.1688 383.1000 1.3492 21.5874 SOYOIL 0.7802 49.6500 1.5714 25.1419 SP400 27.2550 2791.3000 0.9764 15.6228 SP500_micro 29.7031 4775.2500 0.6220 9.9524 SUGAR11 0.4064 20.0800 2.0240 32.3841 US10 0.4928 112.7031 0.4372 6.9954 US10U 0.6638 117.7500 0.5637 9.0192 US2 0.1470 102.8789 0.1429 2.2866 US20 0.9879 124.0625 0.7963 12.7402 US30 1.4530 133.1562 1.0912 17.4593 US5 0.3303 108.5781 0.3042 4.8673 VIX 0.4849 17.3000 2.8030 44.8482 WHEAT 9.4904 656.2500 1.4462 23.1385 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 681.35 0.68 465.57 1.00 465.57 44670.69 95.95 4.40 42.22 BITCOIN 43.72 2.60 113.58 1.00 113.58 44670.69 393.31 8.44 331.95 BOBL 1193.30 0.23 269.07 1.10 294.79 44670.69 151.53 2.07 31.38 BTP 1202.50 0.53 634.45 1.10 695.11 44670.69 64.26 9.71 62.38 BUND 1377.80 0.40 553.90 1.10 606.86 44670.69 73.61 7.29 53.69 BUXL 1439.00 0.97 1394.27 1.10 1527.57 44670.69 29.24 6.93 20.27 CAC 758.70 0.61 461.93 1.10 506.09 44670.69 88.27 10.88 96.07 CAD 753.30 0.41 305.48 1.00 305.48 44670.69 146.23 2.77 40.49 CANOLA 131.24 1.22 160.24 0.75 120.04 44670.69 372.14 -20.00 -744.29 CHF 1471.38 0.41 610.05 1.00 610.05 44670.69 73.22 -5.41 -39.60 COCOA 425.00 0.97 413.94 1.00 413.94 44670.69 107.92 15.49 167.17 COFFEE 716.06 2.32 1658.63 1.00 1658.63 44670.69 26.93 2.16 5.81 COPPER 980.25 1.08 1061.23 1.00 1061.23 44670.69 42.09 1.82 7.65 CORN 252.00 0.86 217.97 1.00 217.97 44670.69 204.94 -18.73 -383.91 COTTON2 395.35 1.31 519.52 1.00 519.52 44670.69 85.99 -18.42 -158.39 CRUDE_W 723.10 1.60 1160.06 1.00 1160.06 44670.69 38.51 5.19 19.98 DAX 168.64 0.61 102.91 1.10 112.75 44670.69 396.20 17.25 683.64 DOW 187.78 0.59 109.90 1.00 109.90 44670.69 406.46 5.49 223.15 DX 1015.20 0.47 476.14 1.00 476.14 44670.69 93.82 -6.66 -62.50 EUR 1379.25 0.52 713.63 1.00 713.63 44670.69 62.60 -0.57 -3.56 EURIBOR-ICE 2451.25 0.05 130.98 1.10 143.50 44670.69 311.30 12.42 386.76 EUROSTX 455.70 0.67 306.62 1.10 335.93 44670.69 132.98 14.95 198.79 FEEDCOW 1117.25 1.14 1268.10 1.00 1268.10 44670.69 35.23 -7.12 -25.07 GASOIL 767.50 1.77 1355.25 1.00 1355.25 44670.69 32.96 2.23 7.35 GASOLINE 998.47 1.74 1740.48 1.00 1740.48 44670.69 25.67 0.77 1.99 GAS_US_mini 57.75 4.09 235.92 1.00 235.92 44670.69 189.35 -13.37 -253.16 GBP 793.00 0.58 457.67 1.00 457.67 44670.69 97.60 2.84 27.69 GOLD_micro 205.61 0.82 167.70 1.00 167.70 44670.69 266.38 -5.99 -159.47 HEATOIL 1103.76 1.68 1850.39 1.00 1850.39 44670.69 24.14 -1.46 -3.53 JGB-SGX-mini 146570.00 0.25 36588.53 0.01 254.77 44670.69 175.34 7.63 133.72 JPY 890.88 0.72 640.15 1.00 640.15 44670.69 69.78 0.16 1.13 LEANHOG 308.00 1.61 496.67 1.00 496.67 44670.69 89.94 0.45 4.06 LIVECOW 675.10 1.01 680.33 1.00 680.33 44670.69 65.66 -8.24 -54.12 LUMBER-new 161.98 1.24 200.74 1.00 200.74 44670.69 222.53 -1.35 -30.03 MILK 326.40 1.13 369.04 1.00 369.04 44670.69 121.04 -20.00 -242.09 MXP 289.35 0.70 202.91 1.00 202.91 44670.69 220.15 9.89 217.64 NASDAQ_micro 337.62 0.73 246.58 1.00 246.58 44670.69 181.16 3.90 70.69 NIKKEI 33140.00 0.88 29225.58 0.01 203.50 44670.69 219.51 2.37 52.12 NZD 628.40 0.64 399.80 1.00 399.80 44670.69 111.73 7.67 85.74 OAT 1323.50 0.43 565.81 1.10 619.90 44670.69 72.06 11.66 84.04 OATIES 181.50 2.19 397.72 1.00 397.72 44670.69 112.32 -11.66 -131.00 OJ 512.85 1.78 913.91 1.00 913.91 44670.69 48.88 3.93 19.19 PALLAD 1223.50 2.65 3242.35 1.00 3242.35 44670.69 13.78 4.92 6.77 PLAT 485.10 1.50 728.26 1.00 728.26 44670.69 61.34 7.12 43.70 REDWHEAT 315.00 1.91 600.13 1.00 600.13 44670.69 74.43 -15.60 -116.14 RICE 356.10 0.88 314.26 1.00 314.26 44670.69 142.15 2.39 34.01 ROBUSTA 294.70 1.48 436.67 1.00 436.67 44670.69 102.30 11.69 119.58 RUSSELL 101.34 1.18 119.79 1.00 119.79 44670.69 372.91 0.33 12.17 SHATZ 1064.50 0.09 94.31 1.10 103.32 44670.69 432.34 -1.70 -73.64 SILVER-mini 616.25 1.57 966.97 1.00 966.97 44670.69 46.20 -3.06 -14.13 SMI 1107.70 0.57 627.40 1.16 728.85 44670.69 61.29 8.58 52.60 SOFR 2420.25 0.08 192.16 1.00 192.16 44670.69 232.46 1.17 27.12 SOYBEAN 626.00 0.86 536.91 1.00 536.91 44670.69 83.20 -7.70 -64.07 SOYMEAL 383.10 1.35 516.88 1.00 516.88 44670.69 86.42 -11.25 -97.19 SOYOIL 297.90 1.57 468.11 1.00 468.11 44670.69 95.43 -7.93 -75.67 SP400 2791.30 0.98 2725.50 1.00 2725.50 44670.69 16.39 -0.16 -0.26 SP500_micro 238.76 0.62 148.52 1.00 148.52 44670.69 300.78 2.63 78.96 SUGAR11 224.90 2.02 455.19 1.00 455.19 44670.69 98.14 -9.67 -94.88 US10 1127.03 0.44 492.75 1.00 492.75 44670.69 90.66 -0.68 -6.17 US10U 1177.50 0.56 663.76 1.00 663.76 44670.69 67.30 3.15 21.20 US2 2057.58 0.14 294.05 1.00 294.05 44670.69 151.92 -3.95 -60.00 US20 1240.62 0.80 987.87 1.00 987.87 44670.69 45.22 4.07 18.40 US30 1331.56 1.09 1453.01 1.00 1453.01 44670.69 30.74 3.65 11.23 US5 1085.78 0.30 330.30 1.00 330.30 44670.69 135.24 -2.99 -40.44 VIX 173.00 2.80 484.92 1.00 484.92 44670.69 92.12 -19.25 -177.35 WHEAT 328.12 1.45 474.52 1.00 474.52 44670.69 94.14 -14.53 -136.74 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 42.224 0.010 2.5 1.096 BITCOIN 331.954 0.043 2.5 35.947 BOBL 31.380 0.004 2.5 0.318 BTP 62.376 0.014 2.5 2.128 BUND 53.686 0.004 2.5 0.544 BUXL 20.269 0.004 2.5 0.206 CAC 96.065 0.014 2.5 3.277 CAD 40.485 0.010 2.5 1.050 CANOLA -744.288 0.010 2.5 -18.108 CHF -39.602 0.010 2.5 -1.028 COCOA 167.169 0.009 2.5 3.580 COFFEE 5.813 0.005 2.5 0.068 COPPER 7.653 0.043 2.5 0.829 CORN -383.912 0.010 2.5 -9.340 COTTON2 -158.389 0.009 2.5 -3.392 CRUDE_W 19.979 0.043 2.5 2.164 DAX 683.638 0.014 2.5 23.318 DOW 223.152 0.009 2.5 5.186 DX -62.502 0.010 2.5 -1.622 EUR -3.558 0.010 2.5 -0.092 EURIBOR-ICE 386.764 0.014 2.5 13.192 EUROSTX 198.790 0.014 2.5 6.781 FEEDCOW -25.067 0.013 2.5 -0.831 GASOIL 7.354 0.017 2.5 0.319 GASOLINE 1.986 0.017 2.5 0.086 GAS_US_mini -253.157 0.043 2.5 -27.414 GBP 27.694 0.010 2.5 0.719 GOLD_micro -159.474 0.014 2.5 -5.440 HEATOIL -3.529 0.017 2.5 -0.153 JGB-SGX-mini 133.724 0.043 2.5 14.481 JPY 1.129 0.010 2.5 0.029 LEANHOG 4.057 0.024 2.5 0.247 LIVECOW -54.123 0.013 2.5 -1.794 LUMBER-new -30.033 0.009 2.5 -0.641 MILK -242.089 0.009 2.5 -5.185 MXP 217.641 0.059 2.5 31.944 NASDAQ_micro 70.689 0.009 2.5 1.643 NIKKEI 52.123 0.043 2.5 5.644 NZD 85.741 0.010 2.5 2.225 OAT 84.039 0.014 2.5 2.866 OATIES -131.003 0.010 2.5 -3.187 OJ 19.189 0.009 2.5 0.411 PALLAD 6.774 0.014 2.5 0.231 PLAT 43.696 0.014 2.5 1.490 REDWHEAT -116.137 0.005 2.5 -1.541 RICE 34.011 0.010 2.5 0.827 ROBUSTA 119.584 0.005 2.5 1.397 RUSSELL 12.173 0.013 2.5 0.403 SHATZ -73.644 0.004 2.5 -0.747 SILVER-mini -14.130 0.014 2.5 -0.482 SMI 52.604 0.014 2.5 1.794 SOFR 27.119 0.024 2.5 1.648 SOYBEAN -64.071 0.004 2.5 -0.596 SOYMEAL -97.194 0.004 2.5 -0.904 SOYOIL -75.670 0.004 2.5 -0.704 SP400 -0.265 0.013 2.5 -0.009 SP500_micro 78.963 0.009 2.5 1.835 SUGAR11 -94.876 0.009 2.5 -2.018 US10 -6.166 0.005 2.5 -0.078 US10U 21.199 0.005 2.5 0.269 US2 -60.000 0.005 2.5 -0.760 US20 18.404 0.005 2.5 0.233 US30 11.231 0.005 2.5 0.142 US5 -40.437 0.005 2.5 -0.512 VIX -177.352 0.099 2.5 -43.779 WHEAT -136.740 0.005 2.5 -1.814 ===================== Position diags ===================== AUD 2.49 BITCOIN 42.59 BOBL 1.54 BTP 2.19 BUND 0.75 BUXL 0.30 CAC 3.01 CAD 3.79 CANOLA 9.05 CHF 1.90 COCOA 2.31 COFFEE 0.31 COPPER 4.56 CORN 4.99 COTTON2 1.84 CRUDE_W 4.17 DAX 13.51 DOW 9.45 DX 2.43 EUR 1.62 EURIBOR-ICE 10.62 EUROSTX 4.54 FEEDCOW 1.17 GASOIL 1.43 GASOLINE 1.11 GAS_US_mini 20.50 GBP 2.53 GOLD_micro 9.09 HEATOIL 1.05 JGB-SGX-mini 18.99 JPY 1.81 LEANHOG 5.47 LIVECOW 2.18 LUMBER-new 4.75 MILK 2.59 MXP 32.31 NASDAQ_micro 4.21 NIKKEI 23.77 NZD 2.90 OAT 2.46 OATIES 2.73 OJ 1.05 PALLAD 0.47 PLAT 2.09 REDWHEAT 0.99 RICE 3.46 ROBUSTA 1.19 RUSSELL 12.36 SHATZ 4.38 SILVER-mini 1.58 SMI 2.09 SOFR 14.13 SOYBEAN 0.77 SOYMEAL 0.80 SOYOIL 0.89 SP400 0.54 SP500_micro 6.99 SUGAR11 2.09 US10 1.15 US10U 0.85 US2 1.93 US20 0.57 US30 0.39 US5 1.71 VIX 22.74 WHEAT 1.25 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.1 0.8 1.3 3.0 3 BITCOIN 35.9 31.7 40.2 49.0 49 BOBL 0.3 0.2 0.5 0.0 0 BTP 2.1 1.9 2.3 3.0 3 BUND 0.5 0.5 0.6 0.0 0 BUXL 0.2 0.2 0.2 2.0 2 CAC 3.3 3.0 3.6 0.0 0 CAD 1.1 0.7 1.4 1.0 1 CANOLA -18.1 -19.0 -17.2 -6.0 -6 CHF -1.0 -1.2 -0.8 -4.0 -4 COCOA 3.6 3.3 3.8 6.0 6 COFFEE 0.1 0.0 0.1 0.0 0 COPPER 0.8 0.4 1.3 3.0 3 CORN -9.3 -9.8 -8.8 -6.0 -6 COTTON2 -3.4 -3.6 -3.2 -4.0 -4 CRUDE_W 2.2 1.7 2.6 2.0 2 DAX 23.3 22.0 24.7 0.0 0 DOW 5.2 4.2 6.1 5.0 5 DX -1.6 -1.9 -1.4 NaN 0 EUR -0.1 -0.3 0.1 0.0 0 EURIBOR-ICE 13.2 12.1 14.3 3.0 3 EUROSTX 6.8 6.3 7.2 16.0 16 FEEDCOW -0.8 -0.9 -0.7 -1.0 -1 GASOIL 0.3 0.2 0.5 0.0 0 GASOLINE 0.1 -0.0 0.2 0.0 0 GAS_US_mini -27.4 -29.5 -25.4 -25.0 -25 GBP 0.7 0.5 1.0 0.0 0 GOLD_micro -5.4 -6.3 -4.5 -21.0 -21 HEATOIL -0.2 -0.3 -0.0 -1.0 -1 JGB-SGX-mini 14.5 12.6 16.4 10.0 10 JPY 0.0 -0.2 0.2 2.0 2 LEANHOG 0.2 -0.3 0.8 1.0 1 LIVECOW -1.8 -2.0 -1.6 -1.0 -1 LUMBER-new -0.6 -1.1 -0.2 NaN 0 MILK -5.2 -5.4 -4.9 NaN 0 MXP 31.9 28.7 35.2 37.0 37 NASDAQ_micro 1.6 1.2 2.1 12.0 12 NIKKEI 5.6 3.3 8.0 8.0 8 NZD 2.2 1.9 2.5 4.0 4 OAT 2.9 2.6 3.1 0.0 0 OATIES -3.2 -3.5 -2.9 NaN 0 OJ 0.4 0.3 0.5 NaN 0 PALLAD 0.2 0.2 0.3 0.0 0 PLAT 1.5 1.3 1.7 1.0 1 REDWHEAT -1.5 -1.6 -1.4 -3.0 -3 RICE 0.8 0.5 1.2 NaN 0 ROBUSTA 1.4 1.3 1.5 4.0 4 RUSSELL 0.4 -0.8 1.6 -1.0 -1 SHATZ -0.7 -1.2 -0.3 NaN 0 SILVER-mini -0.5 -0.6 -0.3 NaN 0 SMI 1.8 1.6 2.0 9.0 9 SOFR 1.6 0.2 3.1 NaN 0 SOYBEAN -0.6 -0.7 -0.5 -1.0 -1 SOYMEAL -0.9 -1.0 -0.8 -2.0 -2 SOYOIL -0.7 -0.8 -0.6 -3.0 -3 SP400 -0.0 -0.1 0.0 0.0 0 SP500_micro 1.8 1.1 2.5 0.0 0 SUGAR11 -2.0 -2.2 -1.8 -2.0 -2 US10 -0.1 -0.2 0.0 -10.0 -10 US10U 0.3 0.2 0.4 0.0 0 US2 -0.8 -1.0 -0.6 NaN 0 US20 0.2 0.2 0.3 0.0 0 US30 0.1 0.1 0.2 6.0 6 US5 -0.5 -0.7 -0.3 -1.0 -1 VIX -43.8 -46.1 -41.5 -17.0 -17 WHEAT -1.8 -1.9 -1.7 -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 0.1 0.1 0.0 0.1 0.1 -0.1 0.1 -0.3 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.1 0.2 0.4 0.0 0.1 0.0 0.1 -0.0 0.1 -0.1 0.2 0.1 0.1 0.1 -0.4 -0.4 -0.1 0.2 BITCOIN 0.1 0.5 0.6 0.0 0.1 0.0 0.1 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 0.4 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 0.5 0.0 0.7 BOBL 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 -0.4 -0.1 -0.2 -0.2 0.1 0.1 0.1 -0.1 0.2 1.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.6 0.0 0.3 0.1 0.2 -0.6 -0.7 -0.2 -0.6 BTP 0.6 0.6 0.3 0.0 0.0 0.0 0.1 -0.1 0.1 0.1 0.2 0.1 0.2 0.2 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.2 0.0 0.2 -1.1 0.0 0.0 0.1 0.1 0.0 0.1 0.7 0.3 0.3 0.4 0.3 -0.5 -0.7 0.2 0.2 BUND 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 0.1 0.1 0.0 0.0 0.2 0.1 0.2 -0.1 0.2 0.8 0.0 0.0 0.0 0.0 -0.0 0.0 0.4 0.1 0.3 0.2 0.2 -0.7 -0.7 -0.3 -0.2 BUXL 0.6 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 -0.3 0.1 0.1 0.0 0.0 0.0 0.0 0.2 0.1 0.2 -0.2 0.2 0.1 0.0 0.0 0.0 0.0 -0.0 0.1 0.2 0.2 0.5 0.3 0.2 -0.7 -0.7 -0.3 0.4 CAC 0.6 0.6 -0.1 0.1 0.0 0.1 0.1 0.0 0.1 0.1 0.3 0.2 0.7 0.2 0.2 -0.2 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.3 0.2 -1.1 0.1 0.0 0.1 0.1 0.1 0.1 0.1 -0.0 0.3 -0.0 0.0 0.3 0.2 0.6 0.4 CAD 0.6 0.5 -0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 -0.2 0.2 -0.4 0.2 0.1 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.2 -0.2 0.2 0.3 0.1 0.1 -0.0 0.1 -0.1 0.1 0.0 0.5 0.6 -0.3 -0.3 -0.6 -0.7 -0.1 -0.5 CANOLA -0.5 -0.2 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -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 -0.2 -0.5 -0.5 -0.6 -0.5 -0.3 -0.1 0.1 CHF 0.4 0.6 -0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 -0.0 0.2 0.3 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.2 0.1 0.2 -1.3 0.1 0.1 0.1 0.1 0.0 0.1 -1.1 0.3 0.4 -0.1 -0.4 -0.7 -0.7 -0.7 -0.7 COCOA -0.0 0.6 0.5 -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 0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.3 0.0 0.4 0.1 0.3 0.5 0.6 0.6 0.6 0.5 -0.0 0.7 0.6 COFFEE 0.3 0.6 0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 0.1 0.1 -0.2 0.1 0.1 0.2 0.1 0.2 0.1 0.1 0.1 0.1 0.0 0.2 -2.5 0.1 0.0 0.1 0.0 0.0 0.1 0.6 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.4 COPPER 0.1 0.6 0.1 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 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 -0.9 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 0.2 0.3 0.5 0.1 -0.2 -0.4 0.2 -0.3 CORN -0.0 0.1 -0.2 -0.0 -0.0 -0.2 -0.0 -0.3 -0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.2 -0.0 -0.2 -0.1 -0.1 -0.2 -0.1 -0.5 -0.1 -2.7 -0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.2 -0.5 -0.1 -0.2 0.3 -0.2 -0.3 0.2 0.1 COTTON2 0.2 -0.4 -0.4 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -2.7 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.5 -0.1 -0.6 -0.2 -0.5 -0.4 -0.1 0.1 CRUDE_W -0.2 -0.5 -0.2 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 0.2 0.0 0.3 -0.1 -0.1 0.1 0.2 0.2 0.2 -0.1 0.0 0.0 0.2 -0.0 -0.6 -0.0 0.0 0.1 0.0 0.2 -0.0 -0.9 0.1 0.2 0.4 0.5 0.7 0.4 0.7 0.4 DAX 0.6 0.6 -0.0 0.1 0.0 0.1 0.1 0.0 0.1 -0.1 0.3 0.2 0.6 0.2 0.2 -0.3 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.3 0.2 2.6 0.1 -0.0 0.1 0.0 0.0 0.1 -0.4 -0.5 0.4 0.6 0.3 0.2 0.2 0.5 0.5 DOW 0.6 0.6 0.1 0.1 0.0 0.1 0.0 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 0.0 0.1 0.1 0.1 0.1 -0.4 0.5 0.6 0.6 0.3 -0.4 -0.1 -0.5 -0.2 DX -0.2 -0.6 -0.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 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 0.0 -0.0 0.8 -0.5 -0.6 -0.6 -0.0 0.4 0.2 0.5 0.5 EUR -0.1 0.6 -0.0 0.0 0.0 0.1 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 -0.0 0.1 1.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.4 0.1 -0.4 -0.1 -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 -0.0 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.0 0.2 2.2 0.0 0.0 0.0 0.0 0.0 0.0 -0.4 0.1 0.4 0.3 0.5 -0.7 -0.7 0.2 0.7 EUROSTX 0.6 0.6 0.0 0.1 0.0 0.1 0.1 0.0 0.1 -0.1 0.3 0.2 0.7 0.2 0.2 0.1 -0.0 -0.0 -0.1 0.2 0.2 0.2 0.4 0.2 0.5 0.1 -0.0 0.1 0.0 0.1 0.1 0.3 -0.4 0.1 0.2 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 -0.0 -0.1 -0.1 -0.4 -0.2 -0.3 -0.1 -0.1 0.0 -0.0 -0.1 -0.2 -0.0 0.0 -0.0 0.0 0.0 -0.0 -1.1 0.4 0.0 -0.6 -0.4 0.4 0.1 0.7 0.3 GASOIL -0.3 -0.6 -0.3 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 0.1 0.0 0.2 -0.1 -0.1 0.2 0.4 0.3 0.4 -0.1 0.0 0.1 0.2 -0.1 1.1 -0.0 0.0 0.0 0.0 0.1 -0.0 0.0 0.1 0.0 0.1 0.1 -0.3 -0.1 -0.5 -0.2 GASOLINE -0.0 -0.4 -0.6 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 0.0 0.1 0.2 -0.0 -0.1 -0.3 0.4 0.0 0.3 -0.1 -0.0 0.1 0.1 -0.0 -2.7 -0.0 0.0 -0.0 0.0 0.2 0.0 0.1 0.3 0.5 0.5 -0.2 0.7 0.4 0.7 0.3 GAS_US_mini -0.5 -0.6 0.2 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.3 -0.1 -0.5 -0.1 -0.1 0.2 -0.4 -0.4 -0.4 -0.2 -0.2 -0.1 -0.5 -0.2 2.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.4 -0.5 -0.4 -0.4 -0.6 0.2 -0.7 0.0 GBP 0.1 0.6 -0.2 0.0 0.0 0.1 0.1 0.0 0.1 0.0 -0.1 0.0 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 -0.3 -0.2 0.0 -0.3 -0.4 0.1 -0.3 0.5 GOLD_micro -0.1 0.3 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.0 0.2 0.0 0.1 -0.2 -0.3 -0.3 -0.3 0.1 0.1 0.0 0.1 0.1 -0.6 0.0 0.0 0.1 0.0 0.0 0.0 -0.8 -0.2 0.3 0.2 0.3 -0.5 -0.7 -0.5 -0.7 HEATOIL -0.3 -0.6 -0.4 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 0.1 0.0 0.2 -0.1 -0.1 0.3 0.4 0.4 0.4 -0.1 -0.0 0.1 0.2 -0.1 -2.6 -0.0 0.0 0.0 0.0 0.2 -0.0 0.2 0.2 0.1 0.2 -0.1 0.5 -0.0 0.3 -0.2 JGB-SGX-mini 0.3 0.6 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.4 0.3 0.3 0.0 0.0 0.1 0.0 0.1 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 1.1 0.0 -0.2 -0.2 -0.0 0.1 -0.7 0.5 0.7 JPY 0.6 0.6 0.5 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.2 0.1 -0.3 0.1 0.0 -0.3 -0.3 -0.3 -0.3 0.0 -0.0 0.1 -0.3 0.1 2.7 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 -0.1 0.3 -0.2 -0.2 -0.3 -0.7 -0.1 -0.7 LEANHOG 0.0 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.1 0.1 -0.3 -0.1 -0.1 -0.4 0.1 -0.4 0.0 -0.1 -0.1 0.0 -0.3 -0.0 1.8 -0.0 0.0 -0.1 0.0 -0.3 -0.0 0.7 0.2 0.1 0.1 0.0 -0.4 -0.2 0.2 0.4 LIVECOW -0.1 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.0 0.0 -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 -0.3 0.3 -0.1 -0.6 -0.3 0.1 -0.3 0.3 -0.1 LUMBER-new 0.2 0.7 0.3 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 0.2 -0.2 0.3 -0.8 0.3 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.0 0.2 -0.3 0.3 NaN 0.1 0.2 0.1 0.2 -0.1 0.1 -1.2 0.6 0.8 0.7 0.7 -0.7 -0.8 -0.4 -0.7 MILK -0.5 -0.6 -0.5 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.4 -0.2 -0.6 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.2 -0.5 -0.2 1.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -1.1 -0.5 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP -0.0 0.5 -0.4 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.3 0.2 0.5 0.2 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 0.1 0.2 0.1 1.1 0.0 -0.5 0.1 -0.2 0.3 0.5 0.7 0.7 NASDAQ_micro 0.5 0.6 0.1 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.4 0.1 0.5 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 -0.3 0.4 0.0 0.2 0.3 0.4 -0.2 0.4 -0.3 NIKKEI -0.3 0.3 -0.3 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.4 0.0 0.6 0.1 0.1 0.3 0.2 0.2 0.2 0.1 0.1 0.0 0.5 0.1 -1.7 0.0 0.0 0.1 0.0 0.3 0.0 1.1 -0.2 -0.6 -0.6 0.0 -0.3 -0.0 -0.3 0.2 NZD 0.5 0.6 0.4 0.0 0.0 0.1 0.1 0.0 0.1 0.1 -0.0 0.2 0.0 0.2 0.1 0.0 0.0 0.0 0.0 0.2 0.1 0.2 -0.1 0.2 0.1 0.0 0.0 0.0 0.1 -0.0 0.1 0.2 -0.0 0.2 0.2 0.2 -0.2 -0.4 -0.1 0.2 OAT 0.6 0.6 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 -0.2 0.1 0.1 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 0.2 0.4 0.3 0.3 -0.7 -0.7 -0.1 0.2 OATIES 0.3 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.2 -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 -0.8 -0.1 -0.1 -0.4 -0.5 0.1 0.3 0.5 0.7 OJ -0.6 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.4 -0.2 0.6 -0.0 0.1 0.2 0.4 0.4 0.4 0.1 0.2 -0.2 0.5 -0.1 -2.7 0.0 -0.1 0.2 -0.0 0.4 -0.0 1.1 -0.5 -0.6 0.1 0.6 0.3 0.4 0.7 0.7 PALLAD 0.6 0.5 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.2 0.1 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.3 0.1 0.7 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.3 0.5 0.3 -0.3 -0.3 -0.1 -0.3 0.2 -0.0 PLAT 0.3 0.3 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.2 0.1 -0.2 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.1 -0.1 0.1 1.7 0.0 0.1 0.0 0.1 -0.0 0.0 0.3 0.3 0.3 0.1 0.1 -0.2 -0.4 0.4 -0.2 REDWHEAT 0.5 0.4 -0.4 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.3 0.0 -0.5 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.4 -0.1 -1.4 -0.0 -0.0 -0.2 -0.0 -0.2 -0.0 -0.1 -0.5 0.3 -0.3 -0.4 -0.7 -0.7 -0.7 -0.5 RICE -0.2 0.5 0.2 -0.0 0.0 -0.2 0.0 -0.3 -0.0 0.2 0.5 0.1 0.5 0.2 0.2 -0.2 0.0 -0.3 -0.1 0.2 0.2 0.1 0.3 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.0 0.0 0.4 -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 0.1 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 -0.4 -0.5 0.1 0.0 RUSSELL 0.6 0.6 -0.0 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 0.2 0.0 0.2 -0.0 0.2 -0.2 0.0 0.0 0.0 0.0 0.0 0.1 -0.1 0.4 0.4 0.1 -0.1 -0.5 -0.5 -0.7 -0.6 SHATZ 0.6 0.6 0.6 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 -0.4 -0.4 -0.4 0.1 0.0 0.1 -0.1 0.1 1.2 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 -0.1 0.3 -0.1 0.1 -0.4 -0.7 -0.2 -0.7 SILVER-mini -0.2 0.3 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -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 -0.1 -0.1 -0.1 -0.0 -0.6 -0.7 0.1 -0.6 SMI 0.6 0.6 -0.2 0.1 0.0 0.1 0.1 0.0 0.1 -0.0 -0.1 0.2 0.1 0.2 0.1 0.2 0.1 0.1 0.1 0.2 0.0 0.2 -0.1 0.2 1.3 0.1 -0.0 0.0 0.1 -0.0 0.1 0.9 -0.2 -0.1 -0.5 -0.2 -0.0 -0.2 0.1 -0.2 SOFR 0.6 0.6 0.4 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 -0.1 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 -0.0 -0.0 0.0 0.1 -0.7 -0.7 -0.2 -0.3 SOYBEAN -0.3 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.2 0.2 -0.2 0.2 -0.1 -0.1 0.3 0.3 0.3 0.3 -0.0 0.0 -0.1 0.0 -0.1 -2.7 0.0 -0.1 0.1 -0.1 0.1 -0.0 1.1 -0.4 -0.1 0.5 0.4 -0.7 -0.7 -0.7 -0.5 SOYMEAL -0.6 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -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 0.0 -0.1 0.1 -0.0 1.1 -0.5 -0.6 0.0 0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.0 0.0 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -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 -0.2 0.1 0.1 -0.4 -0.4 0.0 0.1 0.4 SP400 0.6 0.6 -0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.0 0.2 -1.2 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.4 0.4 0.1 -0.1 -0.4 -0.3 -0.6 -0.7 SP500_micro 0.6 0.6 -0.0 0.1 0.0 0.1 0.0 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 0.3 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 -0.4 0.4 0.1 0.3 0.1 0.1 -0.2 0.2 -0.3 SUGAR11 -0.6 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.3 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.2 -0.0 -0.2 0.2 -0.2 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.5 -0.6 -0.6 -0.0 -0.1 -0.4 0.4 0.2 US10 0.6 0.6 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.2 -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 -0.0 0.0 -0.6 0.0 -0.0 -0.0 -0.0 -0.7 -0.7 -0.3 0.1 US10U 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 0.0 0.0 0.0 0.1 -0.0 0.1 -0.2 0.2 -0.3 0.0 0.0 0.0 0.0 -0.1 0.0 0.2 0.0 0.0 0.0 -0.0 -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 0.1 -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 1.0 0.0 0.0 0.0 0.0 -0.1 0.0 -1.1 -0.0 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 -0.0 0.1 -0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.2 0.2 -0.3 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 0.1 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 -0.0 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.1 -0.2 0.2 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.3 0.0 0.1 0.0 -0.1 -0.3 -0.6 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 -0.1 0.1 0.4 0.0 0.0 0.0 0.0 -0.0 0.0 -0.9 0.0 -0.0 -0.0 0.1 -0.7 -0.7 -0.7 -0.5 VIX -0.1 -1.0 0.4 -0.1 0.1 -0.3 0.0 -0.5 -0.1 0.2 -0.9 0.1 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 0.0 -0.9 -0.2 NaN -0.1 0.1 -0.3 0.0 -0.5 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.4 0.4 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -0.4 0.1 -0.6 0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.0 -0.5 -0.0 -0.4 -0.0 -0.0 -0.1 -0.0 -0.3 0.0 -0.9 -0.4 0.5 -0.1 -0.1 -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 8.7 20.0 10.7 3.7 4.5 2.1 4.7 1.2 4.7 12.3 -2.3 13.0 -7.7 13.3 10.9 -2.2 -2.9 -2.7 -2.9 11.1 2.6 17.4 -4.4 15.6 2.9 4.1 6.4 1.2 6.3 -1.1 5.7 -1.0 7.6 2.7 2.3 2.4 -13.5 -13.1 -4.3 6.1 BITCOIN 2.5 14.4 18.6 1.9 8.9 0.3 6.1 0.1 3.3 4.4 19.5 12.2 17.3 16.8 20.0 -9.8 -6.2 -9.0 -7.7 20.0 20.0 14.5 15.1 20.0 -20.0 7.7 1.8 6.4 3.0 3.8 5.9 -1.9 -20.0 20.0 20.0 20.0 -5.6 16.4 0.7 20.0 BOBL 20.0 20.0 20.0 2.0 2.0 0.3 2.8 -1.0 3.0 7.7 2.3 8.4 -4.0 8.5 7.7 -20.0 -6.4 -12.1 -8.8 13.5 5.6 16.5 -3.0 17.6 8.1 2.7 2.6 1.2 3.3 -0.3 3.5 -10.9 1.3 7.9 1.8 6.6 -17.4 -20.0 -6.4 -17.8 BTP 20.0 20.0 8.7 3.3 3.3 0.5 4.6 -1.7 4.9 12.6 7.9 13.8 5.5 14.3 13.0 5.3 7.3 6.3 6.5 20.0 11.5 20.0 1.3 20.0 -8.1 4.4 4.7 2.2 5.7 0.5 5.8 14.0 11.8 9.9 12.7 9.1 -13.8 -20.0 5.8 5.2 BUND 20.0 20.0 17.9 2.3 2.3 0.3 3.2 -1.2 3.4 8.6 3.2 9.6 -4.5 9.9 8.7 3.8 4.2 1.3 1.7 16.3 6.3 20.0 -3.7 20.0 5.7 3.1 2.7 1.3 3.8 -0.3 4.1 7.2 4.7 10.6 5.3 7.4 -20.0 -20.0 -9.9 -5.9 BUXL 20.0 20.0 17.7 2.7 2.7 0.4 3.9 -1.4 4.1 9.4 2.8 11.3 -7.2 11.8 9.6 0.2 0.7 0.3 0.6 19.2 5.6 20.0 -6.9 20.0 1.1 3.5 3.0 1.2 4.4 -0.6 4.9 3.5 7.9 15.0 9.9 6.1 -20.0 -20.0 -8.3 10.6 CAC 20.0 20.0 -3.4 6.2 2.3 2.5 5.9 1.0 7.9 6.0 10.7 20.0 19.4 20.0 20.0 -8.4 -3.9 -7.2 -6.0 20.0 14.3 20.0 12.2 20.0 -8.1 7.3 1.8 3.2 6.4 2.1 9.3 1.4 -1.5 8.9 -0.7 1.0 9.1 6.5 18.0 12.0 CAD 19.6 15.3 -0.2 5.8 7.0 3.3 7.4 1.9 7.4 19.6 -6.9 20.0 -11.4 20.0 12.4 -2.2 -2.3 -2.4 -2.4 13.1 -0.5 20.0 -7.6 20.0 2.5 4.9 11.8 -0.1 12.4 -2.4 10.1 0.0 20.0 19.3 -8.7 -8.3 -17.6 -19.9 -1.5 -14.6 CANOLA -14.6 -5.8 -20.0 -1.4 -1.4 -2.4 -0.1 -3.2 -0.5 -7.5 -5.1 -8.6 -4.8 -8.2 -8.9 -12.0 0.3 -10.6 -6.5 -11.5 -10.0 -8.9 -7.6 -10.9 -20.0 -3.3 -1.5 -3.1 -2.3 -2.6 -3.0 -2.4 -9.7 -16.3 -13.9 -19.0 -14.9 -10.5 -4.3 1.7 CHF 13.3 20.0 -4.9 5.6 6.8 3.1 7.1 1.8 7.1 19.1 -0.1 19.9 8.5 20.0 16.6 -16.9 -15.4 -16.8 -16.3 19.6 7.9 20.0 3.9 20.0 -9.8 5.9 10.5 2.2 9.5 0.9 8.5 -20.0 11.2 12.0 -3.4 -11.0 -20.0 -20.0 -20.0 -20.0 COCOA -0.1 18.1 15.9 -3.7 -3.7 -6.4 -0.1 -8.4 -1.3 18.7 20.0 20.0 20.0 20.0 20.0 13.0 0.7 6.9 3.0 20.0 20.0 20.0 20.0 20.0 -20.0 9.1 3.0 10.0 4.4 10.0 6.7 5.1 20.0 20.0 20.0 20.0 15.8 -0.7 20.0 17.3 COFFEE 7.7 18.1 20.0 -2.2 -2.2 -3.7 -0.1 -4.9 -0.8 4.1 4.2 9.6 -5.2 12.1 12.8 10.7 4.2 8.4 5.7 13.6 7.3 13.6 0.4 15.5 -18.7 4.9 2.5 3.1 4.2 1.1 5.1 10.6 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -11.9 COPPER 4.6 18.1 2.3 1.5 7.1 0.3 4.9 0.1 2.7 14.5 -3.3 12.4 -3.6 13.2 10.0 -4.9 -4.4 -6.1 -5.6 8.6 1.3 12.6 -4.0 11.9 -7.0 4.4 6.6 1.3 5.9 -1.1 5.6 1.3 9.3 8.8 16.2 2.9 -6.0 -12.1 5.3 -9.9 CORN -0.3 2.2 -6.3 -3.6 -3.6 -6.3 -0.1 -8.3 -1.3 -16.7 -20.0 -15.7 -20.0 -15.8 -14.8 -8.9 -1.1 -7.6 -5.6 -9.4 -18.0 -13.1 -20.0 -9.3 -20.0 -4.4 -14.7 -6.4 -13.2 -11.5 -7.4 -3.4 -20.0 -3.5 -6.5 8.5 -4.9 -8.3 6.7 3.3 COTTON2 6.5 -11.7 -12.6 -2.7 -2.7 -4.6 -0.1 -6.1 -1.0 -15.5 -9.6 -10.6 -8.7 -9.6 -12.8 -6.9 0.1 -6.2 -3.8 -12.6 -10.9 -8.2 -7.4 -8.7 -20.0 -4.8 -3.7 -3.9 -3.0 -1.5 -3.2 -0.7 -20.0 -2.2 -20.0 -7.4 -15.9 -13.4 -2.8 2.5 CRUDE_W -6.9 -16.5 -7.6 -4.2 1.7 -1.2 0.5 1.8 -3.1 10.2 6.2 2.8 7.2 -7.7 -9.9 5.7 9.9 8.2 9.4 -6.3 2.2 4.5 8.9 -4.6 -4.3 -2.6 3.0 1.9 2.4 6.2 -1.8 -17.8 5.6 7.4 11.1 15.7 20.0 12.7 20.0 13.4 DAX 20.0 20.0 -0.4 5.8 2.2 2.4 5.5 0.9 7.4 -8.9 10.5 17.9 17.0 20.0 20.0 -13.9 -9.0 -11.8 -10.4 20.0 18.8 18.9 10.2 20.0 19.3 6.8 -0.5 3.1 3.2 1.3 7.2 -6.8 -20.0 12.8 17.6 7.8 6.4 4.6 15.7 15.4 DOW 20.0 20.0 4.1 4.7 1.7 1.9 4.4 0.7 5.9 8.4 12.4 15.5 13.5 19.0 17.4 -10.8 -9.1 -10.6 -10.2 20.0 19.5 20.0 9.2 20.0 -12.3 5.9 1.7 3.2 5.1 1.8 7.0 -6.9 19.0 20.0 17.9 8.5 -11.2 -4.4 -13.6 -6.5 DX -5.5 -20.0 -2.5 2.8 3.4 1.6 3.6 0.9 3.6 -8.8 2.7 -8.0 -3.4 -9.3 -7.0 5.4 6.1 6.4 6.4 -7.5 -1.5 -10.6 2.2 -10.6 -19.9 -2.7 -3.3 -0.4 -3.5 1.1 -3.7 14.7 -20.0 -20.0 -20.0 -0.9 12.2 4.8 16.2 13.9 EUR -3.8 18.1 -0.2 3.6 4.4 2.0 4.6 1.2 4.6 10.9 -2.9 8.5 4.7 9.7 7.9 -5.5 -6.7 -6.1 -6.3 6.0 1.4 9.8 -1.4 8.2 10.1 2.8 4.8 0.7 4.4 -0.6 3.8 -7.2 4.1 -13.1 -3.0 -7.1 -16.3 -13.0 -14.6 -5.6 EURIBOR-ICE 20.0 20.0 20.0 1.9 1.9 0.3 2.7 -1.0 2.8 7.3 5.4 8.0 -0.7 8.2 8.2 -1.6 -6.2 -3.4 -5.2 18.0 10.7 18.6 0.9 20.0 16.8 2.8 2.2 1.7 2.9 0.3 3.2 -8.0 4.9 12.2 10.2 15.5 -20.0 -20.0 5.8 20.0 EUROSTX 20.0 20.0 0.9 5.9 2.2 2.4 5.6 0.9 7.5 -10.6 12.0 19.1 18.9 20.0 20.0 4.9 -2.0 -0.9 -2.5 20.0 18.6 18.9 14.3 20.0 3.5 7.3 -0.1 3.9 4.0 2.4 7.8 5.6 -16.4 1.9 6.2 8.9 3.4 7.1 9.4 15.3 FEEDCOW 3.7 -20.0 -20.0 -1.4 -1.4 -2.4 -0.1 -3.2 -0.5 5.6 -5.9 4.6 0.0 -4.0 -7.4 -6.6 -20.0 -9.5 -15.7 -12.8 -10.2 4.5 -1.8 -5.0 -1.2 -2.5 1.1 -1.7 1.1 0.7 -0.7 -20.0 16.3 1.4 -17.2 -12.8 11.9 2.0 20.0 9.6 GASOIL -7.8 -20.0 -9.6 -3.4 1.4 -0.9 0.4 1.4 -2.5 10.6 5.4 1.7 6.1 -6.7 -10.8 10.6 20.0 16.1 19.2 -8.8 0.1 5.6 8.6 -6.0 8.2 -3.0 4.2 0.5 2.1 3.3 -2.1 0.6 5.9 1.1 2.3 3.8 -8.0 -1.8 -16.1 -7.3 GASOLINE -0.5 -11.1 -20.0 -3.7 1.5 -1.0 0.4 1.6 -2.8 11.7 0.7 6.8 4.2 -1.9 -11.2 -17.1 20.0 0.1 15.0 -6.8 -3.4 9.0 4.8 -0.5 -20.0 -2.6 4.6 -0.8 4.4 4.2 0.4 1.1 12.7 14.5 16.4 -5.5 20.0 11.7 20.0 9.1 GAS_US_mini -16.1 -20.0 7.0 -2.7 1.1 -0.7 0.3 1.1 -2.0 4.4 -11.8 -7.2 -13.2 -11.0 -11.8 8.6 -20.0 -20.0 -20.0 -20.0 -18.6 -9.0 -20.0 -19.2 16.6 -4.1 0.0 -2.8 -1.8 -1.8 -3.8 -20.0 -16.8 -16.5 -12.3 -11.4 -16.7 5.4 -20.0 1.1 GBP 3.1 19.2 -4.7 3.9 4.7 2.2 4.9 1.3 4.9 2.1 -2.1 3.9 7.4 11.5 9.1 -0.4 -0.7 -0.5 -0.5 8.6 3.5 5.7 1.0 9.5 1.3 3.5 1.1 1.3 2.5 -0.1 4.0 2.9 -11.1 -6.4 0.6 -8.6 -11.8 1.7 -8.5 16.4 GOLD_micro -3.9 9.7 5.5 1.2 5.5 0.2 3.7 0.1 2.1 11.4 3.1 1.3 4.6 4.1 9.0 -12.4 -13.9 -14.0 -14.5 7.5 4.8 5.5 2.2 6.3 -4.8 3.1 2.7 2.1 2.2 1.3 2.6 -14.6 -8.0 9.9 5.0 8.8 -15.8 -20.0 -14.4 -20.0 HEATOIL -8.0 -20.0 -11.5 -3.7 1.5 -1.0 0.4 1.6 -2.8 11.8 4.2 2.3 4.9 -7.3 -12.0 17.3 20.0 20.0 20.0 -10.2 -1.5 6.0 7.4 -6.3 -19.3 -3.2 4.4 0.4 2.7 4.7 -1.7 4.3 6.9 4.5 5.3 -2.2 13.8 -0.6 9.6 -6.3 JGB-SGX-mini 9.7 20.0 -3.2 1.7 1.7 0.2 2.3 -0.8 2.5 5.3 0.3 5.2 2.3 5.8 4.9 6.9 18.8 13.5 15.3 4.6 1.5 7.2 0.3 6.6 -1.9 1.5 2.1 0.2 2.3 -0.4 2.2 20.0 0.4 -7.7 -6.4 -0.8 3.0 -20.0 13.6 20.0 JPY 20.0 20.0 16.8 2.4 2.8 1.3 3.0 0.8 3.0 4.6 -6.5 6.5 -8.4 7.2 3.0 -14.5 -16.2 -16.8 -17.1 4.2 -3.8 8.2 -9.7 9.2 20.0 1.5 1.8 -1.4 3.1 -3.3 3.5 -20.0 -2.5 8.3 -4.8 -7.6 -8.1 -20.0 -1.8 -20.0 LEANHOG 0.5 -4.3 -6.3 -2.1 -2.1 -3.7 -0.1 -4.8 -0.8 3.4 -3.1 4.7 -8.3 -5.3 -8.8 -20.0 7.4 -19.5 1.5 -8.6 -9.9 1.0 -12.0 -4.3 13.6 -2.5 0.4 -4.8 1.4 -8.2 -0.4 13.6 6.3 4.3 1.6 0.1 -10.7 -6.8 7.1 11.8 LIVECOW -2.7 -20.0 -20.0 -1.6 -1.6 -2.7 -0.1 -3.6 -0.6 5.0 -5.4 1.1 1.2 -6.0 -8.1 -2.7 -4.5 -7.6 -6.8 -14.3 -9.8 -0.4 -1.0 -8.8 0.2 -3.1 0.4 -1.7 0.1 1.0 -1.7 -6.0 11.9 -3.2 -20.0 -10.4 3.6 -9.0 8.3 -2.6 LUMBER-new 6.1 19.5 7.5 -4.0 -4.0 -6.7 -0.1 -7.6 -1.5 20.0 -6.6 20.0 -20.0 20.0 20.0 -11.4 -14.4 -13.9 -14.4 17.9 3.0 20.0 -9.1 20.0 NaN 6.5 20.0 1.8 16.0 -1.4 10.6 -20.0 20.0 20.0 20.0 19.4 -18.0 -20.0 -11.3 -18.1 MILK -14.9 -19.1 -15.8 -2.6 -2.6 -4.4 -0.1 -5.8 -0.9 -15.4 -15.5 -17.1 -15.6 -17.5 -17.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 8.9 -6.1 -7.2 -5.4 -7.4 -5.9 -6.9 -20.0 -20.0 -20.0 -20.0 -18.7 -20.0 -20.0 -20.0 -20.0 MXP -0.2 14.7 -12.7 4.3 5.1 2.4 5.4 1.4 5.4 14.6 12.2 14.6 15.0 15.9 12.5 13.7 16.3 14.0 14.9 11.8 10.7 12.8 16.2 13.0 -20.0 4.2 5.2 4.0 4.9 6.4 4.7 20.0 1.4 -14.4 2.3 -5.9 9.9 15.8 20.0 20.0 NASDAQ_micro 14.8 20.0 3.6 3.7 1.4 1.5 3.6 0.6 4.8 8.4 13.3 12.4 12.9 15.2 14.4 -11.2 -8.9 -10.4 -9.8 20.0 19.0 20.0 17.3 20.0 -20.0 4.9 2.3 3.8 4.7 3.9 5.6 -6.3 18.3 0.7 5.8 8.2 10.7 -7.1 10.8 -9.3 NIKKEI -8.6 10.1 -8.5 4.7 1.7 1.9 4.4 0.7 6.0 7.3 15.3 0.8 16.3 11.6 12.3 15.3 10.7 11.1 10.3 8.6 12.2 4.7 17.0 5.2 -12.5 3.2 4.2 5.3 2.5 8.5 2.0 20.0 -9.7 -20.0 -20.0 0.3 -10.2 -0.1 -8.3 4.7 NZD 13.9 20.0 12.0 3.7 4.5 2.1 4.7 1.2 4.7 13.3 -0.4 14.4 0.1 14.3 12.1 0.2 0.2 0.0 0.1 14.2 5.0 17.0 -2.6 18.0 0.8 4.4 4.8 1.8 5.2 -0.3 5.5 4.3 -0.7 7.1 5.2 6.6 -5.9 -12.5 -2.5 6.6 OAT 20.0 20.0 16.6 2.4 2.4 0.3 3.4 -1.2 3.6 9.3 4.4 10.2 -4.2 10.6 9.4 4.8 7.1 5.3 5.9 18.6 7.7 20.0 -2.8 20.0 8.2 3.3 3.1 1.5 4.1 -0.1 4.3 13.4 6.9 12.5 8.5 8.9 -20.0 -20.0 -1.8 7.1 OATIES 10.3 -10.9 -20.0 -1.2 -1.2 -2.1 -0.0 -2.8 -0.4 1.3 -5.2 -0.1 -4.0 -3.8 -7.0 -1.0 -7.9 -8.5 -10.8 -7.9 -7.1 -0.8 -3.0 -3.9 -20.0 -2.4 -0.9 -2.1 -0.3 -0.9 -1.2 -14.7 -4.5 -3.2 -12.5 -16.4 2.6 8.4 13.6 20.0 OJ -20.0 -10.0 -3.6 -2.6 -2.6 -4.4 -0.1 -5.8 -0.9 -14.0 13.8 -14.6 16.2 -4.3 7.2 10.9 20.0 17.9 20.0 10.5 20.0 -20.0 20.0 -8.9 -20.0 3.9 -6.5 8.9 -4.2 12.0 -1.2 20.0 -20.0 -20.0 2.9 20.0 9.0 10.8 20.0 20.0 PALLAD 20.0 14.3 19.5 0.7 3.3 0.1 2.3 0.0 1.3 6.8 -6.6 6.8 -8.4 4.0 -1.4 -1.6 -2.3 -2.0 -2.2 -0.4 -5.8 16.0 -9.6 8.1 5.5 -0.8 4.2 -1.9 4.4 -2.2 1.9 6.0 20.0 9.2 -8.0 -10.3 -3.0 -7.5 5.7 -1.3 PLAT 7.8 9.8 1.7 1.1 5.1 0.2 3.5 0.1 1.9 11.5 -6.7 11.4 -5.8 11.1 4.1 -3.6 -2.8 -3.5 -3.3 4.7 -1.0 11.5 -3.9 9.1 12.8 2.5 5.8 0.5 6.0 -0.5 4.5 4.7 13.6 8.0 3.0 2.8 -5.6 -11.1 13.3 -5.0 REDWHEAT 16.4 11.1 -13.6 -2.0 -2.0 -3.5 -0.1 -4.6 -0.7 -11.7 -12.2 0.3 -13.0 0.1 -8.1 -3.2 -1.3 -4.1 -3.2 -9.3 -14.6 -5.7 -15.2 -4.7 -10.7 -3.7 -3.8 -5.6 -2.7 -5.2 -1.9 -1.2 -20.0 9.3 -9.3 -12.4 -20.0 -20.0 -20.0 -14.0 RICE -5.1 14.3 7.6 -3.2 2.9 -5.7 2.7 -7.6 -0.5 16.7 17.0 8.3 12.7 15.4 14.4 -12.3 1.6 -13.7 -6.3 17.1 15.5 14.4 10.9 14.4 -20.0 5.0 7.7 4.5 5.3 3.0 4.2 0.7 14.9 -4.4 19.0 20.0 -0.6 -14.3 14.8 -3.9 ROBUSTA 20.0 20.0 -6.5 -2.2 -2.2 -3.8 -0.1 -5.0 -0.8 12.4 13.6 13.8 13.3 14.6 14.1 17.8 20.0 20.0 20.0 20.0 16.6 20.0 14.3 20.0 -20.0 4.9 5.7 3.4 6.9 2.9 6.5 20.0 20.0 20.0 20.0 20.0 -11.2 -14.9 1.6 0.3 RUSSELL 20.0 20.0 -1.2 2.9 1.1 1.2 2.8 0.5 3.8 8.3 1.0 10.7 -2.3 11.9 7.7 -5.9 -6.1 -6.3 -6.4 13.9 3.7 20.0 -1.6 20.0 -1.8 3.1 2.9 0.9 4.6 0.0 4.9 -1.0 17.7 12.6 3.1 -4.2 -16.3 -15.0 -20.0 -19.3 SHATZ 20.0 20.0 20.0 1.9 1.9 0.3 2.6 -0.9 2.8 6.9 -1.7 7.5 -6.0 7.4 5.8 -20.0 -20.0 -20.0 -20.0 9.4 2.5 12.6 -5.4 13.2 9.0 2.3 2.1 0.8 2.9 -0.8 3.1 -20.0 -3.8 8.3 -2.3 4.1 -12.3 -20.0 -5.6 -20.0 SILVER-mini -6.8 10.5 -1.3 1.2 5.5 0.2 3.8 0.1 2.1 12.3 -0.4 -0.8 2.6 0.8 4.4 -6.5 -6.3 -6.8 -6.7 3.3 1.2 4.3 -0.1 2.9 5.4 0.3 4.3 0.5 1.5 0.5 -0.0 -1.3 -5.8 -3.8 -2.6 -0.9 -18.2 -20.0 2.7 -18.7 SMI 20.0 20.0 -6.0 5.6 2.1 2.3 5.3 0.9 7.1 -0.5 -2.8 16.5 2.4 20.0 13.6 9.7 3.4 6.6 4.4 17.9 1.0 17.1 -4.8 20.0 9.6 5.3 -0.8 1.1 4.7 -1.1 7.8 16.0 -7.6 -1.7 -14.4 -6.2 -1.2 -6.9 3.0 -5.3 SOFR 20.0 20.0 11.4 2.0 2.0 0.3 2.8 -1.0 3.0 6.8 -0.5 7.9 -2.5 8.4 7.2 1.0 -0.3 0.5 -0.1 9.9 2.7 11.2 -2.9 12.9 -1.3 2.4 1.9 0.6 2.6 -0.6 3.1 1.7 -1.1 -0.9 1.0 2.8 -20.0 -20.0 -6.4 -8.2 SOYBEAN -9.6 0.1 -0.9 -3.1 -3.1 -5.3 -0.1 -7.0 -1.1 -16.7 8.4 -14.4 6.9 -9.8 -6.4 15.2 17.4 15.5 15.3 -2.2 1.2 -13.7 1.5 -7.5 -20.0 3.2 -14.5 4.0 -7.6 3.0 -1.2 20.0 -18.6 -3.8 13.9 13.0 -20.0 -20.0 -20.0 -16.3 SOYMEAL -20.0 -2.8 3.3 -2.0 -2.0 -3.4 -0.1 -4.5 -0.7 -11.8 0.4 -13.0 3.3 -11.3 -1.6 12.9 17.1 15.2 15.8 -4.3 1.4 -15.9 3.3 -12.9 -20.0 -0.4 -5.3 1.8 -5.0 2.7 -3.5 20.0 -18.8 -20.0 0.6 11.7 -20.0 -20.0 -20.0 -20.0 SOYOIL 1.3 0.5 -20.0 -1.7 -1.7 -2.9 -0.1 -3.8 -0.6 -4.1 -3.4 -4.5 -4.3 -3.5 -9.2 -0.5 8.6 3.7 6.4 -7.3 -8.2 -2.7 -5.5 -3.6 -20.0 -1.2 -2.6 -2.3 -0.6 -1.8 0.0 15.5 -6.7 4.1 1.7 -11.0 -11.9 0.0 1.6 11.2 SP400 20.0 20.0 -3.8 3.2 1.2 1.3 3.0 0.5 4.1 8.4 3.0 11.0 1.7 12.6 8.9 -4.7 -5.0 -5.1 -5.2 15.4 5.1 20.0 0.3 20.0 -9.2 3.6 2.7 1.3 4.6 0.4 5.1 1.0 16.2 11.2 3.4 -1.7 -13.5 -9.6 -18.8 -20.0 SP500_micro 18.1 20.0 -0.5 4.7 1.8 1.9 4.5 0.7 6.0 8.5 12.5 14.3 13.2 19.1 17.9 -11.9 -10.0 -11.3 -10.9 20.0 17.6 20.0 12.1 20.0 -20.0 5.8 2.2 3.6 5.5 2.9 7.0 -8.2 18.5 3.5 8.6 3.8 3.6 -6.7 5.8 -9.8 SUGAR11 -20.0 -20.0 -20.0 -1.5 -1.5 -2.7 -0.1 -3.5 -0.6 -9.2 0.1 -10.2 7.6 -10.1 -6.2 20.0 20.0 20.0 20.0 -16.1 -3.6 -20.0 6.0 -20.0 -20.0 -2.9 -2.9 -0.7 -3.9 1.3 -4.2 20.0 -20.0 -20.0 -20.0 -0.2 -1.8 -11.6 13.2 5.7 US10 20.0 20.0 16.3 1.8 1.8 0.3 2.6 -0.9 2.7 6.0 -2.5 7.1 -4.5 7.6 5.9 -7.7 -7.1 -7.2 -7.4 7.6 0.1 10.5 -5.9 11.4 1.3 2.0 1.7 0.1 2.5 -1.3 2.9 -10.5 0.9 -0.0 -0.0 -0.2 -20.0 -20.0 -8.4 3.9 US10U 20.0 20.0 12.3 2.5 2.5 0.3 3.5 -1.2 3.7 7.9 -3.0 9.7 -6.0 10.3 7.5 3.3 0.3 2.0 0.9 10.5 -0.2 15.1 -8.4 16.4 -1.9 2.6 2.4 0.0 3.6 -1.7 4.0 2.9 1.9 1.0 0.1 -1.5 -20.0 -20.0 3.1 14.7 US2 17.6 20.0 20.0 1.7 1.7 0.2 2.4 -0.9 2.6 6.0 -4.3 6.3 -5.8 6.3 5.0 -19.1 -20.0 -20.0 -20.0 5.4 -0.4 8.3 -6.6 8.2 7.8 2.1 2.0 0.4 2.5 -1.5 2.7 -20.0 -0.3 0.5 -3.0 4.0 -15.9 -20.0 -9.6 -20.0 US20 20.0 20.0 9.1 1.8 1.8 0.3 2.6 -0.9 2.7 5.9 -1.7 7.2 -4.0 7.7 5.6 -0.5 -1.3 -0.7 -1.1 8.9 -0.0 12.8 -6.3 14.0 -1.9 1.9 1.7 -0.0 2.6 -1.3 3.0 -0.4 3.2 3.4 2.6 -1.7 -15.1 -20.0 15.5 20.0 US30 20.0 20.0 10.1 2.1 2.1 0.3 3.0 -1.1 3.1 6.6 -1.8 8.2 -5.1 8.8 6.3 -4.5 -4.1 -4.7 -4.7 9.8 -0.1 13.3 -7.5 15.2 -1.5 2.2 1.6 -0.0 2.9 -1.5 3.4 -5.4 1.0 3.1 1.2 -1.7 -8.8 -19.3 20.0 20.0 US5 20.0 20.0 20.0 1.8 1.8 0.2 2.5 -0.9 2.6 6.0 -2.8 6.9 -4.6 7.3 5.9 -7.9 -10.1 -9.6 -10.5 7.0 0.6 9.4 -5.2 10.2 3.3 2.1 1.7 0.3 2.5 -1.1 2.8 -16.0 0.2 -0.4 -0.9 1.9 -20.0 -20.0 -20.0 -13.6 VIX -2.3 -19.7 8.7 -5.1 6.1 -6.1 1.8 -8.2 -3.0 13.8 -20.0 5.9 -20.0 -16.7 -18.2 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 3.1 -20.0 -13.5 NaN -5.9 6.8 -7.0 2.1 -9.5 -3.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 13.7 12.2 -3.3 -2.6 -2.6 -4.5 -0.1 -6.0 -0.9 -3.3 -15.0 6.8 -17.2 6.3 -4.5 -9.7 -10.4 -11.0 -11.0 -5.0 -13.8 -0.3 -20.0 -0.1 -3.3 -1.2 -1.0 -5.0 -0.2 -7.7 0.7 -16.0 -18.5 15.7 -2.5 -1.7 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3