******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231222_204018 produced at 2023-12-22 21:37:41.705877 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -43.96 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 -9.54 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 -18.53 51.0 -6 -6 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -5.28 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 -1.78 999999999.0 0 0 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 GAS_US_mini False False 0.00 -0.05 -0.05 0.0 0.05 -0.05 -0.05 -0.05 -26.64 26.0 -25 -25 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.05 0.0 0.15 -0.15 -0.06 -0.06 -3.36 11.0 -4 -4 caleb_strategy_v3 CHF False False 0.05 -0.21 -0.04 0.0 0.67 -0.67 -0.21 -0.21 -0.84 13.0 -4 -4 caleb_strategy_v3 LIVECOW False False 0.02 -0.02 -0.04 0.0 0.40 -0.40 -0.02 -0.02 -1.89 17.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.03 0.0 0.31 -0.31 -0.04 -0.04 -0.84 8.0 -1 -1 caleb_strategy_v3 GOLD_micro False False 0.01 -0.15 -0.03 0.0 0.40 -0.40 -0.15 -0.12 -4.77 56.0 -21 -16 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -1.62 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 -3.40 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 -2.01 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 -0.53 25.0 -1 -1 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.60 24.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.05 -0.02 0.0 0.10 -0.10 -0.05 -0.05 -1.82 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 -0.38 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 -0.65 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 -0.92 9.0 -2 -2 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.10 -0.10 -0.03 -0.03 -0.80 10.0 -3 -3 caleb_strategy_v3 HEATOIL False False 0.04 -0.04 -0.01 0.0 0.11 -0.11 -0.04 -0.04 -0.17 3.0 -1 -1 caleb_strategy_v3 OJ False False 0.02 0.00 0.00 0.0 0.05 -0.05 0.00 0.00 0.24 3.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.00 0.00 0.0 0.24 -0.24 -0.00 -0.00 1.37 68.0 -1 -1 caleb_strategy_v3 SP400 False False 0.10 0.00 0.00 0.0 0.20 -0.20 0.00 0.10 0.03 2.0 0 1 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.00 0.0 0.02 -0.02 0.00 0.00 -0.46 3.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.00 0.0 0.14 -0.14 0.01 0.01 0.21 13.0 1 1 caleb_strategy_v3 JPY False False 0.03 0.03 0.00 0.0 0.53 -0.53 0.03 0.03 0.02 17.0 1 1 caleb_strategy_v3 US10 False False 0.04 -0.39 -0.00 0.0 0.67 -0.67 -0.39 -0.39 -0.09 17.0 -10 -10 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 EUR False False 0.05 0.00 -0.00 0.0 0.68 -0.68 0.00 0.00 -0.01 14.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.02 4.0 0 0 caleb_strategy_v3 BUXL False False 0.06 0.11 0.01 0.0 0.22 -0.22 0.11 0.11 0.20 4.0 2 2 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.01 0.0 0.08 -0.08 0.00 0.00 0.25 2.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.28 0.01 0.0 0.28 -0.28 0.28 0.28 0.13 6.0 6 6 caleb_strategy_v3 US20 False False 0.04 0.00 0.01 0.0 0.39 -0.39 0.00 0.00 0.22 9.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.01 0.0 0.53 -0.53 0.00 0.00 0.26 13.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.23 -0.23 0.03 0.03 1.07 23.0 3 3 caleb_strategy_v3 RICE False False 0.01 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.92 4.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.01 0.0 0.11 -0.11 0.00 0.00 0.31 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 0.09 1.89 23.0 12 8 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.02 0.0 0.40 -0.40 0.00 0.00 2.34 48.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.10 0.02 0.0 0.20 -0.20 0.10 0.10 0.62 6.0 3 3 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 BOBL False False 0.05 0.00 0.02 0.0 0.87 -0.87 0.00 0.00 0.37 19.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.03 0.0 0.53 -0.53 0.00 0.00 0.58 10.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.07 0.03 0.0 0.45 -0.45 0.07 0.05 1.18 19.0 3 2 caleb_strategy_v3 PLAT False False 0.02 0.02 0.03 0.0 0.17 -0.17 0.02 0.03 1.64 10.0 1 2 caleb_strategy_v3 DOW False False 0.01 0.03 0.04 0.0 0.44 -0.44 0.03 0.02 5.79 66.0 5 3 caleb_strategy_v3 CAD False False 0.03 0.05 0.04 0.0 0.76 -0.76 0.05 0.05 1.37 29.0 2 2 caleb_strategy_v3 NZD False False 0.02 0.09 0.05 0.0 0.46 -0.46 0.09 0.09 2.35 21.0 4 4 caleb_strategy_v3 COCOA False False 0.01 0.09 0.05 0.0 0.39 -0.39 0.09 0.09 3.62 26.0 6 6 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.05 0.0 0.13 -0.13 0.05 0.03 2.16 5.0 2 1 caleb_strategy_v3 NIKKEI False False 0.01 0.07 0.06 0.0 0.29 -0.29 0.07 0.07 6.94 36.0 9 9 caleb_strategy_v3 BITCOIN False False 0.00 0.08 0.06 0.0 0.09 -0.09 0.08 0.08 39.15 59.0 49 49 caleb_strategy_v3 SMI False False 0.05 0.41 0.08 0.0 0.41 -0.41 0.41 0.41 1.70 9.0 9 9 caleb_strategy_v3 CAC False True 0.03 0.00 0.09 0.0 0.00 0.00 0.00 0.00 3.03 12.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.14 0.11 0.0 0.46 -0.46 0.14 0.14 2.27 10.0 3 3 caleb_strategy_v3 EUROSTX False False 0.02 0.28 0.12 0.0 0.35 -0.35 0.28 0.28 6.69 20.0 16 16 caleb_strategy_v3 SOFR False True 0.08 0.00 0.15 0.0 0.00 0.00 0.00 0.00 1.74 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 2.99 10.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.15 0.0 0.38 -0.38 0.00 0.00 23.73 58.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.39 0.34 0.0 0.61 -0.61 0.39 0.39 33.50 60.0 38 38 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.36 0.51 0.0 0.58 -0.58 0.36 0.32 14.28 16.0 10 9 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.57 1.32 0.0 0.94 -0.94 0.57 0.28 14.03 10.0 6 3 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.7 Shocked risk 60.5 Sum abs risk 49.6 Leverage 4.66 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2863481.87, 'annual_cash_vol_target': 715870.4675, 'daily_cash_vol_target': 44741.90421875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0046 0.6822 0.6747 10.7954 BITCOIN 1113.8224 44505.0000 2.5027 40.0430 BOBL 0.2636 119.4800 0.2207 3.5305 BTP 0.6233 120.5200 0.5172 8.2749 BUND 0.5449 137.8600 0.3953 6.3245 BUXL 1.3853 143.4200 0.9659 15.4541 CAC 45.4446 7589.5000 0.5988 9.5805 CAD 0.0030 0.7552 0.4031 6.4502 CANOLA 7.8471 655.7000 1.1967 19.1480 CHF 0.0049 1.1788 0.4119 6.5907 COCOA 40.6311 4270.0000 0.9515 15.2248 COFFEE 4.3268 191.5000 2.2594 36.1511 COPPER 0.0424 3.8990 1.0872 17.3960 CORN 4.2941 504.2500 0.8516 13.6253 COTTON2 1.0352 79.8500 1.2964 20.7423 CRUDE_W 1.1402 71.9800 1.5840 25.3446 DAX 101.0325 16898.0000 0.5979 9.5663 DOW 217.7753 37759.0000 0.5768 9.2280 DX 0.4682 101.3400 0.4620 7.3922 EUR 0.0057 1.1054 0.5125 8.1999 EURIBOR-ICE 0.0512 98.0950 0.0522 0.8357 EUROSTX 30.1552 4559.0000 0.6614 10.5831 FEEDCOW 2.4820 224.4250 1.1060 17.6952 GASOIL 13.3615 759.5000 1.7592 28.1480 GASOLINE 0.0410 2.3558 1.7396 27.8344 GAS_US_mini 0.0926 2.3000 4.0257 64.4112 GBP 0.0072 1.2711 0.5677 9.0827 GOLD_micro 16.4765 2065.5000 0.7977 12.7632 HEATOIL 0.0439 2.5936 1.6908 27.0527 JGB-SGX-mini 0.3612 146.4800 0.2466 3.9451 JPY 0.0001 0.0071 0.7142 11.4270 LEANHOG 1.2215 77.5000 1.5762 25.2186 LIVECOW 1.6621 168.4750 0.9865 15.7845 LUMBER-new 7.1759 586.5000 1.2235 19.5763 MILK 0.1816 16.2700 1.1161 17.8576 MXP 0.0004 0.0580 0.6876 11.0018 NASDAQ_micro 122.2302 16975.2500 0.7200 11.5208 NIKKEI 286.4133 33265.0000 0.8610 13.7761 NZD 0.0039 0.6298 0.6248 9.9973 OAT 0.5579 132.3900 0.4214 6.7422 OATIES 7.7888 359.5000 2.1666 34.6652 OJ 6.3107 328.0000 1.9240 30.7837 PALLAD 31.9250 1215.0000 2.6276 42.0412 PLAT 14.3220 977.9000 1.4646 23.4331 REDWHEAT 11.7689 627.0000 1.8770 30.0322 RICE 0.1542 17.7850 0.8671 13.8733 ROBUSTA 50.5746 2832.0000 1.7858 28.5732 RUSSELL 23.7136 2057.2000 1.1527 18.4434 SHATZ 0.0922 106.5100 0.0865 1.3848 SILVER-mini 0.3784 24.8250 1.5243 24.3880 SMI 61.8646 11107.0000 0.5570 8.9118 SOFR 0.0753 96.8100 0.0778 1.2450 SOYBEAN 10.6258 1257.5000 0.8450 13.5200 SOYMEAL 5.1661 387.4000 1.3335 21.3367 SOYOIL 0.7649 49.3500 1.5500 24.8001 SP400 26.8952 2816.8000 0.9548 15.2770 SP500_micro 29.6493 4805.5000 0.6170 9.8718 SUGAR11 0.4114 20.2900 2.0276 32.4422 US10 0.4833 112.6719 0.4289 6.8626 US10U 0.6524 117.6719 0.5544 8.8704 US2 0.1436 102.9258 0.1395 2.2319 US20 0.9718 123.9062 0.7843 12.5491 US30 1.4378 132.6562 1.0839 17.3420 US5 0.3233 108.6094 0.2977 4.7630 VIX 0.4777 17.2000 2.7771 44.4330 WHEAT 9.3253 658.7500 1.4156 22.6498 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 682.20 0.67 460.29 1.00 460.29 44741.9 97.20 4.66 45.30 BITCOIN 44.50 2.50 111.38 1.00 111.38 44741.9 401.70 9.00 361.56 BOBL 1194.80 0.22 263.64 1.09 288.57 44741.9 155.05 2.38 36.87 BTP 1205.20 0.52 623.31 1.09 682.24 44741.9 65.58 10.16 66.66 BUND 1378.60 0.40 544.93 1.09 596.45 44741.9 75.01 7.65 57.40 BUXL 1434.20 0.97 1385.26 1.09 1516.24 44741.9 29.51 6.85 20.20 CAC 758.95 0.60 454.45 1.09 497.41 44741.9 89.95 9.87 88.78 CAD 755.15 0.40 304.43 1.00 304.43 44741.9 146.97 3.58 52.66 CANOLA 131.14 1.20 156.94 0.75 117.52 44741.9 380.73 -20.00 -761.47 CHF 1473.44 0.41 606.94 1.00 606.94 44741.9 73.72 -4.40 -32.46 COCOA 427.00 0.95 406.31 1.00 406.31 44741.9 110.12 15.34 168.97 COFFEE 718.12 2.26 1622.56 1.00 1622.56 44741.9 27.57 2.31 6.36 COPPER 974.75 1.09 1059.79 1.00 1059.79 44741.9 42.22 1.36 5.76 CORN 252.12 0.85 214.70 1.00 214.70 44741.9 208.39 -18.81 -391.92 COTTON2 399.25 1.30 517.58 1.00 517.58 44741.9 86.44 -18.15 -156.88 CRUDE_W 719.80 1.58 1140.19 1.00 1140.19 44741.9 39.24 5.07 19.90 DAX 168.98 0.60 101.03 1.09 110.59 44741.9 404.59 17.20 695.70 DOW 188.80 0.58 108.89 1.00 108.89 44741.9 410.90 6.07 249.27 DX 1013.40 0.46 468.20 1.00 468.20 44741.9 95.56 -7.18 -68.60 EUR 1381.81 0.51 708.17 1.00 708.17 44741.9 63.18 -0.07 -0.44 EURIBOR-ICE 2452.38 0.05 128.08 1.09 140.20 44741.9 319.14 12.89 411.32 EUROSTX 455.90 0.66 301.55 1.09 330.06 44741.9 135.56 14.48 196.28 FEEDCOW 1122.12 1.11 1241.02 1.00 1241.02 44741.9 36.05 -7.00 -25.25 GASOIL 759.50 1.76 1336.15 1.00 1336.15 44741.9 33.49 2.16 7.24 GASOLINE 989.44 1.74 1721.27 1.00 1721.27 44741.9 25.99 0.19 0.50 GAS_US_mini 57.50 4.03 231.48 1.00 231.48 44741.9 193.29 -12.73 -246.00 GBP 794.44 0.57 450.98 1.00 450.98 44741.9 99.21 2.79 27.63 GOLD_micro 206.55 0.80 164.76 1.00 164.76 44741.9 271.55 -5.15 -139.82 HEATOIL 1089.31 1.69 1841.80 1.00 1841.80 44741.9 24.29 -1.60 -3.89 JGB-SGX-mini 146480.00 0.25 36117.64 0.01 252.45 44741.9 177.23 7.44 131.86 JPY 889.69 0.71 635.40 1.00 635.40 44741.9 70.41 0.10 0.68 LEANHOG 310.00 1.58 488.61 1.00 488.61 44741.9 91.57 0.38 3.52 LIVECOW 673.90 0.99 664.82 1.00 664.82 44741.9 67.30 -8.48 -57.05 LUMBER-new 161.29 1.22 197.34 1.00 197.34 44741.9 226.73 -0.95 -21.59 MILK 325.40 1.12 363.18 1.00 363.18 44741.9 123.20 -20.00 -246.39 MXP 290.15 0.69 199.51 1.00 199.51 44741.9 224.26 10.18 228.21 NASDAQ_micro 339.50 0.72 244.46 1.00 244.46 44741.9 183.02 4.44 81.35 NIKKEI 33265.00 0.86 28641.33 0.01 200.19 44741.9 223.49 2.87 64.05 NZD 629.80 0.62 393.52 1.00 393.52 44741.9 113.70 7.98 90.70 OAT 1323.90 0.42 557.88 1.09 610.63 44741.9 73.27 11.95 87.60 OATIES 179.75 2.17 389.44 1.00 389.44 44741.9 114.89 -12.16 -139.75 OJ 492.00 1.92 946.60 1.00 946.60 44741.9 47.27 2.40 11.33 PALLAD 1215.00 2.63 3192.50 1.00 3192.50 44741.9 14.01 5.24 7.35 PLAT 488.95 1.46 716.10 1.00 716.10 44741.9 62.48 7.70 48.09 REDWHEAT 313.50 1.88 588.44 1.00 588.44 44741.9 76.03 -16.09 -122.32 RICE 355.70 0.87 308.42 1.00 308.42 44741.9 145.07 2.62 37.97 ROBUSTA 283.20 1.79 505.75 1.00 505.75 44741.9 88.47 10.40 91.99 RUSSELL 102.86 1.15 118.57 1.00 118.57 44741.9 377.35 1.09 41.29 SHATZ 1065.10 0.09 92.18 1.09 100.90 44741.9 443.43 -1.34 -59.41 SILVER-mini 620.62 1.52 945.99 1.00 945.99 44741.9 47.30 -2.34 -11.09 SMI 1110.70 0.56 618.65 1.16 717.32 44741.9 62.37 8.01 49.97 SOFR 2420.25 0.08 188.32 1.00 188.32 44741.9 237.58 1.20 28.60 SOYBEAN 628.75 0.84 531.29 1.00 531.29 44741.9 84.21 -8.30 -69.93 SOYMEAL 387.40 1.33 516.61 1.00 516.61 44741.9 86.61 -11.38 -98.58 SOYOIL 296.10 1.55 458.96 1.00 458.96 44741.9 97.49 -8.81 -85.92 SP400 2816.80 0.95 2689.52 1.00 2689.52 44741.9 16.64 0.52 0.87 SP500_micro 240.28 0.62 148.25 1.00 148.25 44741.9 301.81 3.34 100.84 SUGAR11 227.25 2.03 460.78 1.00 460.78 44741.9 97.10 -9.76 -94.73 US10 1126.72 0.43 483.26 1.00 483.26 44741.9 92.58 -0.81 -7.48 US10U 1176.72 0.55 652.37 1.00 652.37 44741.9 68.58 2.94 20.13 US2 2058.52 0.14 287.15 1.00 287.15 44741.9 155.81 -3.84 -59.79 US20 1239.06 0.78 971.82 1.00 971.82 44741.9 46.04 3.80 17.48 US30 1326.56 1.08 1437.83 1.00 1437.83 44741.9 31.12 3.21 10.00 US5 1086.09 0.30 323.31 1.00 323.31 44741.9 138.39 -3.00 -41.48 VIX 172.00 2.78 477.66 1.00 477.66 44741.9 93.67 -19.01 -178.09 WHEAT 329.38 1.42 466.27 1.00 466.27 44741.9 95.96 -14.28 -137.03 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 45.299 0.010 2.5 1.175 BITCOIN 361.557 0.043 2.5 39.153 BOBL 36.867 0.004 2.5 0.374 BTP 66.656 0.014 2.5 2.274 BUND 57.402 0.004 2.5 0.582 BUXL 20.201 0.004 2.5 0.205 CAC 88.781 0.014 2.5 3.028 CAD 52.655 0.010 2.5 1.366 CANOLA -761.466 0.010 2.5 -18.526 CHF -32.460 0.010 2.5 -0.842 COCOA 168.972 0.009 2.5 3.619 COFFEE 6.364 0.005 2.5 0.074 COPPER 5.756 0.043 2.5 0.623 CORN -391.923 0.010 2.5 -9.535 COTTON2 -156.883 0.009 2.5 -3.360 CRUDE_W 19.904 0.043 2.5 2.155 DAX 695.701 0.014 2.5 23.730 DOW 249.270 0.009 2.5 5.793 DX -68.604 0.010 2.5 -1.780 EUR -0.442 0.010 2.5 -0.011 EURIBOR-ICE 411.323 0.014 2.5 14.030 EUROSTX 196.278 0.014 2.5 6.695 FEEDCOW -25.255 0.013 2.5 -0.837 GASOIL 7.239 0.017 2.5 0.314 GASOLINE 0.499 0.017 2.5 0.022 GAS_US_mini -245.997 0.043 2.5 -26.639 GBP 27.633 0.010 2.5 0.717 GOLD_micro -139.817 0.014 2.5 -4.769 HEATOIL -3.891 0.017 2.5 -0.169 JGB-SGX-mini 131.856 0.043 2.5 14.279 JPY 0.681 0.010 2.5 0.018 LEANHOG 3.525 0.024 2.5 0.214 LIVECOW -57.047 0.013 2.5 -1.890 LUMBER-new -21.594 0.009 2.5 -0.461 MILK -246.391 0.009 2.5 -5.277 MXP 228.214 0.059 2.5 33.496 NASDAQ_micro 81.346 0.009 2.5 1.891 NIKKEI 64.049 0.043 2.5 6.936 NZD 90.701 0.010 2.5 2.353 OAT 87.596 0.014 2.5 2.988 OATIES -139.752 0.010 2.5 -3.400 OJ 11.330 0.009 2.5 0.243 PALLAD 7.348 0.014 2.5 0.251 PLAT 48.092 0.014 2.5 1.640 REDWHEAT -122.319 0.005 2.5 -1.623 RICE 37.966 0.010 2.5 0.924 ROBUSTA 91.988 0.005 2.5 1.074 RUSSELL 41.290 0.013 2.5 1.368 SHATZ -59.412 0.004 2.5 -0.602 SILVER-mini -11.087 0.014 2.5 -0.378 SMI 49.968 0.014 2.5 1.704 SOFR 28.603 0.024 2.5 1.738 SOYBEAN -69.930 0.004 2.5 -0.650 SOYMEAL -98.578 0.004 2.5 -0.917 SOYOIL -85.919 0.004 2.5 -0.800 SP400 0.868 0.013 2.5 0.029 SP500_micro 100.840 0.009 2.5 2.344 SUGAR11 -94.733 0.009 2.5 -2.015 US10 -7.480 0.005 2.5 -0.095 US10U 20.131 0.005 2.5 0.255 US2 -59.787 0.005 2.5 -0.758 US20 17.481 0.005 2.5 0.222 US30 10.004 0.005 2.5 0.127 US5 -41.485 0.005 2.5 -0.526 VIX -178.088 0.099 2.5 -43.960 WHEAT -137.034 0.005 2.5 -1.818 ===================== Position diags ===================== AUD 2.52 BITCOIN 43.50 BOBL 1.57 BTP 2.24 BUND 0.76 BUXL 0.30 CAC 3.07 CAD 3.81 CANOLA 9.26 CHF 1.91 COCOA 2.36 COFFEE 0.32 COPPER 4.57 CORN 5.07 COTTON2 1.85 CRUDE_W 4.25 DAX 13.80 DOW 9.55 DX 2.48 EUR 1.64 EURIBOR-ICE 10.89 EUROSTX 4.62 FEEDCOW 1.19 GASOIL 1.45 GASOLINE 1.13 GAS_US_mini 20.93 GBP 2.57 GOLD_micro 9.26 HEATOIL 1.05 JGB-SGX-mini 19.19 JPY 1.83 LEANHOG 5.57 LIVECOW 2.23 LUMBER-new 4.84 MILK 2.64 MXP 32.92 NASDAQ_micro 4.25 NIKKEI 24.20 NZD 2.95 OAT 2.50 OATIES 2.80 OJ 1.01 PALLAD 0.48 PLAT 2.13 REDWHEAT 1.01 RICE 3.53 ROBUSTA 1.03 RUSSELL 12.50 SHATZ 4.50 SILVER-mini 1.61 SMI 2.13 SOFR 14.44 SOYBEAN 0.78 SOYMEAL 0.81 SOYOIL 0.91 SP400 0.55 SP500_micro 7.01 SUGAR11 2.07 US10 1.17 US10U 0.87 US2 1.97 US20 0.58 US30 0.39 US5 1.75 VIX 23.12 WHEAT 1.27 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.2 0.9 1.4 3.0 3 BITCOIN 39.2 34.8 43.5 49.0 49 BOBL 0.4 0.2 0.5 0.0 0 BTP 2.3 2.0 2.5 3.0 3 BUND 0.6 0.5 0.7 0.0 0 BUXL 0.2 0.2 0.2 2.0 2 CAC 3.0 2.7 3.3 0.0 0 CAD 1.4 1.0 1.7 2.0 2 CANOLA -18.5 -19.5 -17.6 -6.0 -6 CHF -0.8 -1.0 -0.7 -4.0 -4 COCOA 3.6 3.4 3.9 6.0 6 COFFEE 0.1 0.0 0.1 0.0 0 COPPER 0.6 0.2 1.1 3.0 3 CORN -9.5 -10.0 -9.0 -6.0 -6 COTTON2 -3.4 -3.5 -3.2 -4.0 -4 CRUDE_W 2.2 1.7 2.6 2.0 2 DAX 23.7 22.3 25.1 0.0 0 DOW 5.8 4.8 6.7 5.0 5 DX -1.8 -2.0 -1.5 NaN 0 EUR -0.0 -0.2 0.2 0.0 0 EURIBOR-ICE 14.0 12.9 15.1 6.0 6 EUROSTX 6.7 6.2 7.2 16.0 16 FEEDCOW -0.8 -1.0 -0.7 -1.0 -1 GASOIL 0.3 0.2 0.5 0.0 0 GASOLINE 0.0 -0.1 0.1 0.0 0 GAS_US_mini -26.6 -28.7 -24.5 -25.0 -25 GBP 0.7 0.5 1.0 0.0 0 GOLD_micro -4.8 -5.7 -3.8 -21.0 -21 HEATOIL -0.2 -0.3 -0.1 -1.0 -1 JGB-SGX-mini 14.3 12.4 16.2 10.0 10 JPY 0.0 -0.2 0.2 1.0 1 LEANHOG 0.2 -0.3 0.8 1.0 1 LIVECOW -1.9 -2.1 -1.7 -1.0 -1 LUMBER-new -0.5 -0.9 0.0 NaN 0 MILK -5.3 -5.5 -5.0 NaN 0 MXP 33.5 30.2 36.8 38.0 38 NASDAQ_micro 1.9 1.5 2.3 12.0 12 NIKKEI 6.9 4.5 9.4 9.0 9 NZD 2.4 2.1 2.6 4.0 4 OAT 3.0 2.7 3.2 0.0 0 OATIES -3.4 -3.7 -3.1 NaN 0 OJ 0.2 0.1 0.3 NaN 0 PALLAD 0.3 0.2 0.3 0.0 0 PLAT 1.6 1.4 1.9 1.0 1 REDWHEAT -1.6 -1.7 -1.5 -3.0 -3 RICE 0.9 0.6 1.3 NaN 0 ROBUSTA 1.1 1.0 1.2 3.0 3 RUSSELL 1.4 0.1 2.6 -1.0 -1 SHATZ -0.6 -1.1 -0.2 NaN 0 SILVER-mini -0.4 -0.5 -0.2 NaN 0 SMI 1.7 1.5 1.9 9.0 9 SOFR 1.7 0.3 3.2 NaN 0 SOYBEAN -0.7 -0.7 -0.6 -1.0 -1 SOYMEAL -0.9 -1.0 -0.8 -2.0 -2 SOYOIL -0.8 -0.9 -0.7 -3.0 -3 SP400 0.0 -0.0 0.1 0.0 0 SP500_micro 2.3 1.6 3.0 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 0.3 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 -0.4 -1.0 -1 VIX -44.0 -46.3 -41.6 -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 0.4 0.0 0.0 0.1 0.1 0.0 0.1 0.1 -0.0 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 0.1 0.1 0.1 0.1 -0.5 -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 0.1 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 -0.3 -0.2 0.2 0.1 0.2 -0.1 0.2 1.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.6 0.1 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 0.0 -0.1 0.1 0.1 0.2 0.2 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 0.4 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 0.1 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 0.0 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 -0.4 0.2 -0.1 0.0 0.3 0.2 0.6 0.4 CAD 0.6 0.6 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 0.2 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 -0.2 -0.2 -0.6 -0.7 -0.0 -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 -0.4 -0.2 0.0 CHF 0.4 0.6 -0.1 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 0.4 0.4 -0.1 -0.3 -0.7 -0.7 -0.7 -0.7 COCOA -0.1 0.6 0.6 -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 0.3 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 -2.4 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 0.0 0.0 0.1 -0.0 0.1 0.1 0.0 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 -0.1 -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 -0.1 -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 -0.3 -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 -0.0 -0.6 -0.3 -0.5 -0.5 -0.1 0.1 CRUDE_W -0.2 -0.5 -0.3 -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 0.3 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 0.1 0.1 -0.4 -0.5 0.3 0.5 0.2 0.2 0.2 0.5 0.5 DOW 0.6 0.6 0.2 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 -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 -0.4 -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 -0.1 0.4 0.2 0.5 0.5 EUR -0.1 0.6 0.0 0.0 0.0 0.1 0.1 0.0 0.1 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 0.1 -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 0.2 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 0.2 0.4 0.3 0.5 -0.7 -0.7 0.2 0.7 EUROSTX 0.6 0.6 0.1 0.1 0.0 0.1 0.1 0.0 0.1 -0.2 0.3 0.2 0.7 0.2 0.2 0.1 -0.0 -0.0 -0.0 0.2 0.2 0.1 0.4 0.2 0.5 0.1 -0.0 0.1 0.0 0.1 0.1 0.3 -0.5 -0.0 0.1 0.3 0.1 0.2 0.3 0.5 FEEDCOW 0.2 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 0.1 -0.0 -0.0 -0.1 -0.1 -0.4 -0.2 -0.3 -0.1 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.0 0.0 0.0 -0.0 -1.1 0.3 0.1 -0.5 -0.4 0.4 0.1 0.7 0.3 GASOIL -0.2 -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 0.0 0.2 -0.1 1.1 -0.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.1 0.0 0.1 0.1 -0.3 -0.1 -0.6 -0.2 GASOLINE -0.0 -0.3 -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 -0.4 0.4 -0.1 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 0.2 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 0.1 -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 -0.3 -0.5 -0.4 -0.4 -0.6 0.2 -0.7 0.0 GBP 0.1 0.6 -0.1 0.0 0.0 0.1 0.1 0.0 0.1 0.0 -0.0 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 -0.3 -0.3 -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 0.1 0.1 -0.2 -0.3 -0.3 -0.3 0.1 0.1 0.1 0.1 0.1 -0.6 0.0 0.0 0.1 0.0 0.0 0.0 -0.8 0.0 0.4 0.1 0.3 -0.5 -0.7 -0.5 -0.7 HEATOIL -0.2 -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 0.4 0.4 0.4 0.4 -0.1 -0.0 0.0 0.2 -0.1 -2.6 -0.0 0.0 0.0 0.0 0.2 -0.0 0.3 0.1 0.1 0.2 -0.1 0.5 -0.0 0.3 -0.2 JGB-SGX-mini 0.2 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 0.1 0.0 0.1 0.0 0.1 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 1.1 0.0 -0.3 -0.2 -0.0 0.1 -0.7 0.4 0.7 JPY 0.6 0.6 0.6 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 -0.2 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 1.9 -0.0 0.0 -0.1 0.0 -0.3 -0.0 0.7 0.1 0.2 0.0 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 -0.2 0.0 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -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 0.2 -0.1 -0.6 -0.3 0.1 -0.3 0.3 -0.1 LUMBER-new 0.3 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 -0.2 -0.3 -0.3 -0.3 0.3 0.1 0.2 -0.3 0.3 NaN 0.1 0.2 0.1 0.2 -0.0 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 0.1 0.5 -0.3 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.3 0.2 0.6 0.2 0.1 0.3 0.3 0.3 0.3 0.1 0.1 0.1 0.5 0.2 -2.7 0.0 0.1 0.1 0.1 0.2 0.1 1.1 -0.1 -0.5 0.0 -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 0.1 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 0.1 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 0.4 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 0.1 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 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 -0.1 0.1 0.1 0.1 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 -0.0 0.2 OATIES 0.3 -0.3 -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 -0.2 -0.4 -0.5 0.1 0.3 0.4 0.7 OJ -0.6 -0.4 -0.2 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.3 -0.2 0.6 -0.1 0.1 0.2 0.4 0.3 0.4 0.1 0.2 -0.2 0.5 -0.1 -2.7 0.0 -0.1 0.2 -0.1 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 0.1 -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 -0.0 0.0 -0.1 0.0 0.3 0.5 0.3 -0.2 -0.3 -0.1 -0.2 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 0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.1 -0.1 0.1 1.8 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 0.3 0.3 0.1 0.1 -0.2 -0.4 0.5 -0.2 REDWHEAT 0.5 0.3 -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 0.3 -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 0.1 0.0 0.4 -0.1 0.6 0.6 -0.0 -0.5 0.5 -0.1 ROBUSTA 0.5 0.6 -0.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.1 0.3 0.1 0.5 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.3 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 1.1 0.5 0.6 0.6 0.6 -0.4 -0.5 0.0 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 0.1 0.0 0.1 -0.1 0.5 0.5 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 0.2 1.2 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 -0.0 0.3 -0.1 0.1 -0.4 -0.7 -0.2 -0.7 SILVER-mini -0.3 0.4 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.0 -0.0 0.1 0.0 0.1 -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 -0.1 -0.1 0.2 0.1 0.2 0.2 0.2 0.1 0.1 0.1 0.2 0.0 0.1 -0.1 0.2 1.3 0.1 0.0 0.0 0.0 -0.0 0.1 0.9 -0.3 -0.2 -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 -0.1 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 -0.1 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 -0.5 -0.2 0.4 0.4 -0.7 -0.7 -0.7 -0.6 SOYMEAL -0.6 -0.2 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 0.2 0.3 0.3 0.3 -0.1 0.0 -0.1 0.1 -0.1 -2.7 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.1 -0.4 -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 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.0 0.2 0.1 0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.8 -0.2 0.1 0.0 -0.4 -0.4 -0.0 0.0 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 0.1 0.0 0.1 0.1 0.5 0.4 0.1 -0.0 -0.5 -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 0.5 0.2 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 0.1 -0.2 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.5 -0.6 -0.6 -0.1 -0.0 -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 0.0 -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 0.0 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 0.0 -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 -0.1 0.0 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 -0.4 VIX -0.0 -1.0 0.4 -0.1 0.1 -0.3 0.0 -0.5 -0.0 0.2 -0.9 0.1 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 0.1 -0.9 -0.2 NaN -0.1 0.1 -0.3 0.0 -0.6 -0.0 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.4 0.3 -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 -0.2 0.0 -0.5 0.0 -0.4 -0.0 0.0 -0.1 0.0 -0.3 0.0 -0.8 -0.4 0.5 -0.1 -0.0 -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 9.6 20.0 11.5 3.8 4.8 2.1 5.1 1.2 4.9 13.1 -1.7 13.7 -7.5 13.8 11.4 -2.2 -2.9 -2.7 -2.9 12.2 3.3 18.9 -4.2 17.2 2.9 4.3 6.1 1.4 6.4 -1.0 5.9 -1.0 5.9 2.4 2.0 2.5 -13.7 -12.9 -4.5 6.0 BITCOIN 3.0 14.1 19.6 2.3 8.1 0.5 6.7 0.2 4.1 15.7 20.0 13.8 17.7 17.4 20.0 -9.6 -6.2 -8.9 -7.8 20.0 20.0 15.6 16.0 20.0 -20.0 7.9 2.0 6.6 3.2 4.0 5.9 -1.9 -20.0 20.0 20.0 20.0 -5.6 16.0 1.0 20.0 BOBL 20.0 20.0 20.0 2.1 1.7 0.4 2.7 -1.0 3.0 7.9 2.7 8.6 -3.8 8.8 8.0 -20.0 -6.8 -13.2 -9.4 14.7 6.3 17.4 -2.8 18.8 8.2 2.8 2.5 1.3 3.3 -0.2 3.6 -11.6 3.4 9.2 2.1 6.9 -17.2 -20.0 -5.9 -17.8 BTP 20.0 20.0 10.1 3.4 2.7 0.6 4.3 -1.6 4.8 12.8 8.3 14.1 5.8 14.6 13.3 5.3 7.3 6.2 6.4 20.0 12.7 20.0 1.8 20.0 -8.2 4.5 4.3 2.3 5.5 0.6 5.8 14.0 13.8 10.7 13.7 9.6 -13.7 -20.0 6.1 5.0 BUND 20.0 20.0 19.0 2.4 1.9 0.4 3.0 -1.1 3.4 8.6 3.6 9.7 -4.3 10.0 9.0 4.0 4.2 1.4 1.8 17.4 7.1 19.9 -3.5 20.0 5.7 3.1 2.3 1.4 3.6 -0.2 4.0 7.3 4.7 11.1 5.8 7.7 -20.0 -20.0 -9.2 -5.9 BUXL 20.0 20.0 17.5 2.8 2.2 0.5 3.6 -1.3 4.0 8.6 3.3 11.1 -7.0 11.9 9.9 0.2 0.7 0.3 0.6 20.0 6.4 20.0 -6.6 20.0 1.1 3.6 2.1 1.3 4.0 -0.6 4.7 3.5 4.1 14.3 10.8 6.4 -20.0 -20.0 -7.9 10.5 CAC 20.0 20.0 -2.4 6.3 3.5 2.7 6.1 1.0 7.9 2.3 11.5 20.0 19.7 20.0 20.0 -8.6 -4.0 -7.3 -6.1 20.0 15.3 20.0 12.8 20.0 -8.2 7.3 1.2 3.4 5.6 2.2 8.9 1.2 -18.4 6.0 -2.1 0.9 9.4 6.6 18.4 12.2 CAD 20.0 17.1 0.4 6.0 7.4 3.3 7.9 1.9 7.7 20.0 -5.9 20.0 -10.7 20.0 13.5 -2.1 -2.2 -2.4 -2.4 15.2 0.6 20.0 -7.1 20.0 2.5 5.2 11.9 0.3 12.5 -2.0 10.3 0.0 20.0 19.1 -5.9 -7.4 -17.9 -19.7 -1.3 -14.5 CANOLA -15.5 -6.4 -20.0 -1.4 -1.5 -2.4 -0.5 -3.2 -0.6 -8.2 -5.3 -9.0 -4.9 -8.6 -9.1 -12.4 0.2 -10.8 -6.7 -12.0 -10.5 -8.9 -8.0 -11.2 -20.0 -3.4 -1.4 -3.1 -2.3 -2.7 -3.0 -2.5 -9.1 -15.4 -14.0 -19.6 -15.0 -10.6 -4.6 1.5 CHF 13.8 20.0 -3.4 5.8 7.2 3.2 7.6 1.9 7.4 19.8 0.7 20.0 8.8 20.0 17.3 -16.7 -15.4 -16.8 -16.2 20.0 9.0 20.0 4.4 20.0 -9.8 6.1 10.1 2.4 9.9 1.0 8.8 -20.0 18.5 13.2 -1.9 -10.2 -20.0 -20.0 -20.0 -20.0 COCOA -2.1 18.1 18.7 -3.8 -3.9 -6.4 -1.2 -8.5 -1.7 20.0 20.0 20.0 20.0 20.0 20.0 12.8 0.8 7.1 3.1 20.0 20.0 20.0 20.0 20.0 -20.0 9.2 3.3 10.2 4.5 10.2 6.8 5.5 13.8 20.0 20.0 20.0 16.2 -0.6 20.0 17.7 COFFEE 8.9 17.9 20.0 -2.1 -2.2 -3.6 -0.7 -4.8 -0.9 2.1 4.4 8.7 -4.8 11.4 12.3 10.3 4.2 8.3 5.7 13.7 7.6 12.5 0.6 15.2 -18.2 4.8 2.1 3.1 3.8 1.1 4.9 10.8 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -11.9 COPPER 3.7 18.2 3.0 1.8 6.4 0.4 5.3 0.2 3.2 11.5 -2.8 12.7 -3.5 13.7 10.7 -5.0 -4.4 -6.1 -5.6 9.0 1.7 11.8 -3.8 12.2 -7.1 4.5 4.3 1.4 5.5 -1.0 5.7 1.3 0.7 8.6 16.2 2.8 -6.2 -11.9 5.5 -9.6 CORN -1.2 1.7 -6.3 -3.7 -3.8 -6.3 -1.2 -8.3 -1.6 -13.2 -20.0 -15.9 -20.0 -16.4 -15.5 -9.0 -1.2 -7.6 -5.7 -9.9 -18.4 -12.2 -20.0 -9.8 -20.0 -5.0 -10.3 -6.7 -12.2 -11.8 -8.1 -3.4 -20.0 -3.7 -6.3 8.6 -4.6 -8.6 6.9 3.3 COTTON2 6.8 -10.2 -12.9 -2.7 -2.8 -4.7 -0.9 -6.2 -1.2 -10.4 -10.0 -9.5 -8.8 -9.4 -13.0 -7.1 -0.0 -6.3 -3.8 -12.5 -11.1 -5.8 -7.6 -8.1 -20.0 -4.9 -0.8 -4.1 -2.0 -1.6 -3.0 -0.7 -19.1 -1.2 -20.0 -8.3 -16.0 -13.6 -2.9 2.3 CRUDE_W -6.0 -15.7 -8.3 -4.2 -0.4 -1.3 -0.2 1.8 -3.1 7.9 6.2 2.5 7.2 -7.2 -10.2 5.8 9.8 8.1 9.3 -6.3 2.2 3.0 9.1 -4.4 -4.4 -2.6 0.6 1.9 1.6 6.3 -1.7 -16.6 3.8 7.3 10.8 15.6 20.0 12.8 20.0 13.5 DAX 20.0 20.0 1.0 6.0 3.3 2.5 5.7 1.0 7.5 -6.9 11.2 17.8 17.3 20.0 20.0 -14.2 -9.0 -12.0 -10.6 20.0 19.9 17.1 10.9 20.0 19.4 6.8 -0.1 3.3 2.9 1.4 6.9 -6.9 -20.0 9.8 15.7 7.6 6.5 4.7 16.0 15.5 DOW 20.0 20.0 5.2 4.7 2.6 2.0 4.5 0.8 5.9 12.0 12.8 16.4 13.6 19.1 17.7 -10.9 -9.1 -10.6 -10.2 20.0 20.0 20.0 9.8 20.0 -12.3 5.9 2.5 3.3 5.1 1.9 6.9 -7.0 20.0 20.0 19.4 9.0 -10.8 -4.4 -13.1 -6.5 DX -7.2 -20.0 -3.5 2.9 3.6 1.6 3.8 0.9 3.7 -9.7 2.4 -9.1 -3.5 -9.8 -7.6 5.2 6.0 6.2 6.3 -8.3 -2.0 -11.9 2.0 -11.6 -19.9 -2.8 -3.5 -0.6 -3.7 1.0 -3.8 14.7 -20.0 -20.0 -20.0 -2.5 12.4 4.8 16.4 13.7 EUR -1.6 18.5 0.6 3.7 4.6 2.1 4.9 1.2 4.8 12.4 -2.5 10.7 4.8 10.7 8.7 -5.5 -6.7 -6.0 -6.3 6.7 1.8 11.4 -1.3 9.5 10.0 3.0 5.1 0.8 4.9 -0.5 4.2 -7.2 3.9 -13.2 -3.4 -6.8 -16.4 -12.9 -14.7 -5.6 EURIBOR-ICE 20.0 20.0 20.0 1.9 1.5 0.3 2.5 -0.9 2.8 7.3 5.6 8.1 -0.5 8.3 8.3 -1.4 -6.1 -3.3 -5.1 19.2 11.5 19.6 1.2 20.0 16.8 2.8 2.2 1.7 2.9 0.3 3.2 -7.9 7.5 13.9 10.3 15.7 -20.0 -20.0 6.1 20.0 EUROSTX 19.8 20.0 2.0 6.0 3.3 2.6 5.8 1.0 7.6 -17.1 12.6 18.5 19.1 20.0 20.0 5.6 -1.8 -0.5 -2.3 20.0 19.5 16.1 14.9 20.0 3.5 7.3 -0.3 4.1 3.4 2.5 7.4 5.9 -20.0 -1.5 3.8 8.7 3.6 7.1 9.6 15.3 FEEDCOW 6.0 -20.0 -20.0 -1.5 -1.5 -2.5 -0.5 -3.3 -0.6 5.6 -6.1 5.8 -0.1 -3.7 -7.4 -6.6 -20.0 -9.4 -15.5 -12.7 -10.5 4.6 -2.0 -4.3 -1.2 -2.5 1.1 -1.8 1.1 0.7 -0.6 -20.0 12.3 2.2 -15.7 -13.1 11.9 2.1 20.0 9.7 GASOIL -6.7 -20.0 -10.6 -3.4 -0.3 -1.0 -0.2 1.4 -2.6 7.5 5.4 1.4 6.1 -6.1 -10.7 10.8 20.0 16.0 19.1 -8.6 -0.0 3.8 8.6 -5.5 8.2 -3.0 1.4 0.5 1.4 3.4 -2.0 1.2 6.1 1.0 2.9 4.2 -8.1 -1.8 -16.6 -7.3 GASOLINE -0.2 -10.2 -20.0 -3.8 -0.4 -1.1 -0.2 1.6 -2.8 9.2 0.5 6.5 4.3 -0.7 -11.3 -20.0 20.0 -3.2 13.0 -6.7 -3.5 6.8 4.9 -0.4 -20.0 -2.6 1.4 -0.8 3.4 4.4 0.5 1.1 10.2 14.3 16.4 -5.1 20.0 11.7 20.0 9.1 GAS_US_mini -14.4 -20.0 6.2 -2.6 -0.3 -0.8 -0.1 1.1 -2.0 7.7 -11.6 -6.5 -13.1 -10.7 -11.6 11.3 -20.0 -20.0 -20.0 -20.0 -18.9 -7.5 -20.0 -18.2 16.5 -4.1 0.2 -2.9 -1.5 -1.8 -3.6 -20.0 -11.2 -15.6 -12.6 -10.9 -16.8 5.2 -20.0 0.9 GBP 3.0 19.6 -3.9 4.0 4.9 2.2 5.2 1.3 5.1 4.7 -1.8 5.1 7.5 11.8 9.6 -0.3 -0.7 -0.5 -0.5 8.9 3.8 6.5 1.2 9.9 1.3 3.6 1.9 1.4 2.7 -0.1 4.1 2.9 -12.3 -8.8 -0.4 -8.8 -11.9 1.6 -8.6 16.0 GOLD_micro -4.4 10.4 6.1 1.4 5.0 0.3 4.1 0.1 2.5 12.4 3.5 3.1 4.8 5.1 9.4 -12.4 -13.9 -14.0 -14.4 8.2 5.2 7.7 2.4 7.6 -4.8 3.3 3.9 2.2 3.0 1.4 3.0 -14.6 0.4 11.1 4.2 8.9 -16.1 -20.0 -14.5 -20.0 HEATOIL -7.1 -19.8 -12.3 -3.8 -0.4 -1.1 -0.2 1.6 -2.8 8.3 4.1 2.0 4.9 -7.0 -12.0 17.5 20.0 20.0 20.0 -10.0 -1.7 3.8 7.4 -6.0 -19.6 -3.2 1.2 0.3 1.7 4.8 -1.7 5.5 6.0 3.8 5.6 -1.7 13.9 -0.5 9.9 -6.1 JGB-SGX-mini 7.1 20.0 -2.6 1.7 1.3 0.3 2.2 -0.8 2.4 4.3 0.5 5.0 2.3 5.8 5.0 6.9 18.8 13.5 15.3 4.7 1.7 6.2 0.4 6.5 -1.9 1.5 1.3 0.3 2.0 -0.4 2.2 20.0 1.5 -8.3 -5.9 -1.0 2.8 -20.0 13.2 19.9 JPY 20.0 20.0 17.9 2.4 3.0 1.3 3.2 0.8 3.1 5.1 -6.3 6.7 -8.3 7.4 3.6 -14.4 -16.2 -16.7 -17.0 4.5 -3.4 8.1 -9.6 9.3 20.0 1.6 1.7 -1.3 3.0 -3.2 3.4 -20.0 -6.5 8.5 -5.4 -7.5 -8.3 -20.0 -2.1 -20.0 LEANHOG 0.7 -4.5 -6.3 -2.2 -2.3 -3.8 -0.7 -5.0 -1.0 5.3 -3.2 6.1 -8.6 -5.2 -9.0 -20.0 6.9 -20.0 0.5 -8.5 -10.3 1.6 -12.5 -3.8 14.0 -2.4 1.5 -4.9 1.6 -8.4 -0.2 12.6 4.1 6.5 1.4 0.1 -10.7 -6.9 7.1 11.7 LIVECOW -1.7 -20.0 -20.0 -1.6 -1.7 -2.8 -0.5 -3.7 -0.7 -0.4 -5.6 1.1 1.0 -6.0 -8.2 -1.6 -4.4 -7.0 -6.5 -14.6 -10.3 -1.2 -1.3 -8.9 0.2 -3.2 -0.1 -1.8 -0.1 1.0 -1.7 -5.6 6.3 -3.2 -19.8 -10.6 3.9 -8.8 8.6 -2.3 LUMBER-new 9.2 20.0 6.8 -4.2 -4.3 -6.9 -1.3 -7.8 -1.8 20.0 -5.8 20.0 -20.0 20.0 20.0 -10.7 -14.3 -13.5 -14.2 20.0 4.2 20.0 -8.7 20.0 NaN 6.8 17.3 2.1 15.5 -1.2 11.0 -20.0 20.0 20.0 20.0 20.0 -18.0 -20.0 -11.3 -18.2 MILK -14.9 -20.0 -16.5 -2.6 -2.7 -4.5 -0.8 -5.9 -1.2 -15.7 -15.9 -17.4 -16.0 -17.9 -17.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 9.2 -6.2 -6.5 -5.4 -7.3 -5.8 -7.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 1.9 15.0 -9.9 4.5 5.6 2.5 5.9 1.4 5.8 15.4 12.8 15.8 15.4 16.7 13.4 13.8 16.3 14.1 14.9 12.9 11.5 14.8 17.0 14.5 -20.0 4.5 5.9 4.2 5.6 6.5 5.2 20.0 -5.5 -15.5 1.0 -6.2 10.2 16.0 20.0 20.0 NASDAQ_micro 16.0 20.0 4.5 3.8 2.1 1.6 3.7 0.6 4.8 11.1 13.6 13.4 13.1 15.4 14.7 -11.2 -8.9 -10.4 -9.9 20.0 19.8 20.0 17.8 20.0 -20.0 4.9 3.0 3.8 4.7 3.9 5.6 -6.4 17.7 2.0 6.6 8.2 11.0 -7.0 11.1 -9.1 NIKKEI -8.4 10.3 -8.1 4.8 2.7 2.1 4.6 0.8 6.0 10.3 15.6 4.6 16.5 12.4 12.7 15.6 10.8 11.3 10.5 9.2 12.6 6.5 17.6 6.3 -12.6 3.5 5.0 5.5 3.4 8.7 2.6 20.0 -7.3 -20.0 -20.0 -0.6 -10.3 -0.2 -8.7 4.5 NZD 13.7 20.0 12.7 3.9 4.8 2.2 5.1 1.3 5.0 13.7 0.2 14.9 0.3 14.9 12.8 0.2 0.2 0.1 0.1 15.4 5.8 18.3 -2.4 19.4 0.8 4.6 4.7 2.0 5.4 -0.2 5.7 4.2 -0.1 6.4 5.4 6.8 -6.1 -12.4 -2.7 6.5 OAT 20.0 20.0 17.9 2.5 2.0 0.4 3.2 -1.2 3.6 9.1 4.8 10.3 -3.9 10.7 9.6 4.7 7.1 5.3 5.8 19.7 8.5 20.0 -2.5 20.0 8.2 3.4 2.5 1.5 3.8 -0.1 4.3 13.4 6.9 12.8 9.2 9.2 -20.0 -20.0 -1.4 7.1 OATIES 8.2 -9.8 -20.0 -1.2 -1.3 -2.1 -0.4 -2.8 -0.5 -1.0 -5.3 -1.4 -4.0 -4.2 -7.0 -0.7 -7.8 -8.1 -10.6 -8.2 -7.3 -2.9 -3.1 -4.6 -20.0 -2.4 -1.7 -2.2 -0.8 -1.0 -1.4 -14.3 -4.4 -5.5 -13.3 -16.8 2.4 8.3 13.2 20.0 OJ -20.0 -12.5 -7.6 -2.5 -2.6 -4.2 -0.8 -5.6 -1.1 -14.5 12.9 -14.9 15.5 -6.6 5.8 9.8 20.0 17.3 20.0 7.0 20.0 -20.0 20.0 -13.3 -20.0 3.1 -9.4 8.2 -6.2 11.4 -2.3 20.0 -20.0 -20.0 -2.3 20.0 9.1 10.9 20.0 20.0 PALLAD 20.0 16.5 18.8 0.9 3.0 0.2 2.5 0.1 1.5 6.5 -6.3 7.0 -8.3 4.7 -0.7 -1.4 -2.3 -1.9 -2.2 0.4 -5.4 14.9 -9.5 8.8 5.5 -0.5 3.1 -1.8 4.0 -2.2 2.0 6.1 20.0 9.8 -6.9 -9.8 -3.2 -7.5 5.2 -1.3 PLAT 8.8 10.8 1.9 1.4 4.7 0.3 3.9 0.1 2.4 12.0 -6.4 12.3 -5.9 11.9 5.3 -3.8 -2.9 -3.5 -3.3 5.6 -0.6 13.0 -3.9 10.5 13.1 2.8 6.3 0.7 6.4 -0.4 4.9 4.7 12.0 9.0 3.8 2.8 -5.5 -10.9 13.6 -4.8 REDWHEAT 13.9 8.4 -13.7 -2.1 -2.1 -3.5 -0.7 -4.6 -0.9 -12.1 -12.1 -0.9 -13.0 -0.6 -8.2 -3.2 -1.3 -4.1 -3.2 -9.6 -14.9 -6.8 -15.5 -5.5 -10.7 -3.8 -4.0 -5.7 -3.1 -5.3 -2.3 -1.1 -20.0 8.7 -8.8 -12.0 -20.0 -20.0 -20.0 -14.0 RICE -5.9 15.4 8.1 -3.3 -3.0 -5.8 0.1 -7.7 -1.1 17.3 17.4 10.6 13.0 16.4 15.1 -12.2 1.5 -13.6 -6.4 17.9 16.2 15.1 11.4 15.5 -20.0 5.2 6.5 4.7 5.5 3.2 4.7 0.7 15.0 -4.2 19.9 20.0 -0.6 -14.1 14.7 -3.8 ROBUSTA 16.9 17.0 -9.7 -2.1 -2.1 -3.6 -0.7 -4.7 -0.9 5.8 12.7 10.8 12.6 13.0 13.0 20.0 20.0 20.0 20.0 20.0 13.9 20.0 11.9 20.0 -20.0 4.6 2.4 3.2 5.3 2.7 5.8 20.0 20.0 20.0 20.0 20.0 -11.2 -14.9 1.4 0.3 RUSSELL 20.0 20.0 0.1 3.0 1.7 1.3 2.9 0.5 3.8 10.6 1.7 11.6 -2.0 12.3 8.3 -5.9 -6.1 -6.3 -6.4 15.4 4.5 20.0 -1.2 20.0 -1.8 3.3 3.7 1.1 4.8 0.1 5.0 -1.0 20.0 15.1 4.1 -3.9 -16.4 -15.1 -20.0 -19.2 SHATZ 20.0 20.0 20.0 1.9 1.5 0.3 2.4 -0.9 2.7 7.2 -1.4 7.7 -5.9 7.6 6.1 -20.0 -20.0 -20.0 -20.0 10.2 2.9 13.2 -5.3 14.0 9.0 2.4 2.1 0.8 2.8 -0.7 3.1 -20.0 -0.4 9.4 -2.3 4.1 -12.4 -20.0 -5.7 -20.0 SILVER-mini -9.1 11.0 -1.0 1.5 5.1 0.3 4.2 0.1 2.6 12.9 -0.1 -0.0 2.8 1.3 4.8 -6.6 -6.3 -6.8 -6.7 3.7 1.4 5.2 0.0 3.7 5.5 0.5 4.1 0.5 2.0 0.6 0.4 -1.3 4.3 -3.5 -2.4 -1.2 -18.3 -20.0 3.0 -18.2 SMI 20.0 20.0 -5.6 5.8 3.2 2.5 5.5 1.0 7.2 -6.0 -2.4 16.4 2.6 20.0 14.3 9.8 3.4 6.6 4.4 18.5 1.7 15.8 -4.6 20.0 9.8 5.5 0.3 1.3 4.3 -1.0 7.5 16.0 -14.5 -4.7 -16.0 -6.8 -0.9 -6.9 3.1 -5.4 SOFR 20.0 20.0 12.4 2.1 1.6 0.4 2.6 -1.0 2.9 6.7 -0.2 7.9 -2.3 8.5 7.5 1.1 -0.3 0.5 -0.0 10.5 3.1 10.8 -2.8 13.2 -1.4 2.5 1.5 0.7 2.4 -0.6 3.1 1.8 -1.0 -2.2 0.9 2.7 -20.0 -20.0 -6.4 -8.1 SOYBEAN -10.7 -0.9 -1.0 -3.1 -3.2 -5.3 -1.0 -7.1 -1.4 -14.3 8.2 -14.8 6.9 -11.3 -7.0 15.0 17.4 15.5 15.2 -3.1 0.8 -14.4 1.3 -8.8 -20.0 2.6 -11.2 3.9 -8.2 3.0 -2.2 20.0 -18.9 -5.2 12.2 12.6 -20.0 -20.0 -20.0 -16.8 SOYMEAL -20.0 -4.9 3.2 -2.0 -2.1 -3.5 -0.6 -4.6 -0.9 -8.8 0.1 -12.3 3.2 -11.6 -2.1 12.3 17.0 14.9 15.6 -4.9 1.0 -14.2 3.1 -13.0 -20.0 -0.6 -3.1 1.7 -4.5 2.7 -3.6 20.0 -16.0 -20.0 -1.1 11.7 -20.0 -20.0 -20.0 -20.0 SOYOIL -0.5 0.9 -20.0 -1.7 -1.7 -2.9 -0.5 -3.8 -0.8 -8.2 -3.6 -6.8 -4.4 -4.6 -9.5 -0.9 8.5 3.5 6.2 -7.8 -8.6 -5.2 -5.7 -4.7 -20.0 -1.4 -4.1 -2.3 -1.8 -1.8 -0.5 15.4 -8.4 2.1 1.5 -11.4 -12.0 -0.1 1.1 10.9 SP400 20.0 20.0 -2.6 3.3 1.8 1.4 3.1 0.5 4.1 11.3 3.6 12.2 2.0 13.1 9.6 -4.7 -5.0 -5.1 -5.2 16.7 5.9 20.0 0.7 20.0 -9.3 3.7 3.2 1.5 4.7 0.5 5.2 1.0 19.1 12.9 4.4 -1.5 -13.7 -9.5 -19.0 -20.0 SP500_micro 18.1 20.0 0.4 4.8 2.7 2.0 4.6 0.8 6.0 13.4 12.9 16.1 13.3 19.3 18.1 -11.9 -10.0 -11.3 -10.9 20.0 18.4 20.0 12.5 20.0 -20.0 5.9 3.5 3.7 5.7 2.9 7.0 -8.2 19.2 5.3 10.2 4.0 3.9 -6.6 6.0 -9.6 SUGAR11 -20.0 -20.0 -20.0 -1.5 -1.6 -2.6 -0.5 -3.5 -0.7 -6.8 -0.4 -9.7 7.2 -9.9 -6.4 20.0 20.0 20.0 20.0 -16.3 -4.1 -20.0 5.4 -20.0 -20.0 -2.9 -2.1 -0.7 -3.5 1.2 -4.1 20.0 -20.0 -20.0 -20.0 -1.6 -1.4 -11.3 13.1 5.7 US10 20.0 20.0 16.6 1.9 1.5 0.3 2.4 -0.9 2.7 5.7 -2.3 7.0 -4.4 7.6 6.2 -8.0 -7.1 -7.3 -7.5 8.0 0.5 9.7 -5.8 11.6 1.3 2.0 1.2 0.2 2.3 -1.2 2.8 -10.6 0.1 -1.4 0.1 -0.2 -20.0 -20.0 -8.7 4.0 US10U 20.0 20.0 12.3 2.5 2.0 0.4 3.2 -1.2 3.6 7.3 -2.7 9.4 -5.8 10.3 7.8 3.3 0.3 2.0 0.9 11.1 0.2 13.8 -8.3 16.5 -1.9 2.7 1.6 0.1 3.2 -1.7 3.9 3.0 -0.0 -1.0 0.2 -1.5 -20.0 -20.0 3.1 14.7 US2 17.3 20.0 20.0 1.8 1.4 0.3 2.3 -0.8 2.5 6.4 -4.2 6.7 -5.7 6.6 5.3 -19.3 -20.0 -20.0 -20.0 5.9 -0.1 8.5 -6.5 8.6 7.8 2.1 1.8 0.4 2.4 -1.5 2.7 -20.0 1.9 -0.2 -3.1 3.9 -15.9 -20.0 -9.7 -20.0 US20 20.0 20.0 8.2 1.9 1.5 0.3 2.4 -0.9 2.7 5.4 -1.4 7.0 -3.9 7.7 5.9 -0.6 -1.3 -0.7 -1.1 9.4 0.4 11.6 -6.3 14.0 -1.9 2.0 1.1 0.1 2.3 -1.2 2.9 -0.4 1.0 1.9 2.9 -1.6 -15.5 -20.0 15.7 20.0 US30 20.0 20.0 9.4 2.2 1.7 0.4 2.8 -1.0 3.1 5.5 -1.5 7.8 -5.0 8.8 6.6 -4.6 -4.1 -4.7 -4.7 10.2 0.3 11.4 -7.4 14.9 -1.5 2.3 0.9 0.1 2.5 -1.4 3.3 -5.5 -2.5 0.8 1.4 -1.7 -9.1 -19.1 20.0 20.0 US5 19.9 20.0 20.0 1.8 1.4 0.3 2.3 -0.8 2.6 6.1 -2.6 7.0 -4.5 7.4 6.2 -8.0 -10.1 -9.6 -10.5 7.5 0.9 9.0 -5.2 10.4 3.3 2.1 1.4 0.4 2.3 -1.1 2.8 -16.0 0.6 -1.5 -0.9 1.9 -20.0 -20.0 -20.0 -13.4 VIX -0.4 -19.0 8.6 -5.0 4.5 -6.3 2.1 -8.5 -2.5 12.6 -20.0 8.4 -20.0 -16.0 -17.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 3.9 -20.0 -12.0 NaN -5.8 5.0 -7.2 2.4 -9.9 -2.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 12.2 10.0 -3.7 -2.7 -2.8 -4.6 -0.9 -6.1 -1.2 3.2 -15.1 7.5 -17.3 6.8 -4.0 -9.7 -10.4 -11.0 -11.0 -4.8 -13.9 0.8 -20.0 0.3 -3.3 -1.1 0.9 -5.0 0.5 -7.8 0.9 -15.8 -15.1 16.5 -2.0 -0.8 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3