******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231229_204001 produced at 2023-12-29 21:36:37.336309 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 VIX False False 0.01 -0.09 -0.27 0.0 0.10 -0.10 -0.09 -0.10 -47.19 17.0 -16 -17 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.09 0.0 0.11 -0.11 -0.05 -0.05 -10.46 12.0 -6 -6 caleb_strategy_v3 DX False False 0.04 0.00 -0.08 0.0 999.00 -999.00 0.00 0.00 -2.33 999999999.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -0.96 13.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -5.50 5.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.00 -0.06 0.0 0.41 -0.41 0.00 0.00 -2.29 17.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.18 -0.18 -0.02 -0.02 -18.67 51.0 -6 -6 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.04 0.0 0.32 -0.32 -0.04 -0.04 -0.97 8.0 -1 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.04 0.0 0.05 -0.05 -0.05 -0.04 -17.61 26.0 -23 -19 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.16 -0.16 -0.06 -0.06 -2.88 11.0 -4 -4 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.80 24.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.12 -0.03 0.0 0.41 -0.41 -0.12 -0.12 -3.94 56.0 -17 -17 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.82 2.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.02 0.0 0.15 -0.15 -0.04 -0.04 -0.92 7.0 -2 -2 caleb_strategy_v3 LEANHOG False False 0.01 0.00 -0.02 0.0 0.14 -0.14 0.00 -0.01 -1.76 13.0 0 -1 caleb_strategy_v3 US5 False False 0.04 0.00 -0.02 0.0 0.95 -0.95 0.00 0.00 -0.65 25.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -1.73 8.0 -3 -3 caleb_strategy_v3 WHEAT False False 0.01 -0.05 -0.02 0.0 0.11 -0.11 -0.05 -0.05 -1.73 9.0 -4 -4 caleb_strategy_v3 US10 False False 0.04 -0.36 -0.01 0.0 0.67 -0.67 -0.36 -0.36 -0.16 17.0 -9 -9 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.55 0.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.12 -0.12 -0.01 -0.03 -1.05 9.0 -1 -2 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.10 -0.10 -0.03 -0.03 -1.05 10.0 -3 -3 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.01 0.0 0.14 -0.14 0.00 0.00 -0.29 4.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.01 0.0 0.14 -0.14 -0.01 -0.02 -1.53 18.0 -1 -2 caleb_strategy_v3 CHF False False 0.05 -0.21 -0.01 0.0 0.68 -0.68 -0.21 -0.16 -0.19 13.0 -4 -3 caleb_strategy_v3 HEATOIL False False 0.04 0.00 -0.01 0.0 0.11 -0.11 0.00 0.00 -0.22 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 1.39 68.0 0 1 caleb_strategy_v3 SP400 False False 0.10 0.20 -0.00 0.0 0.20 -0.20 0.20 0.10 -0.00 2.0 2 1 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.00 0.0 0.02 -0.02 0.00 0.00 -0.64 3.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 -0.00 0.0 0.05 -0.05 0.00 0.00 -0.04 3.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.02 0.00 0.0 0.15 -0.15 0.02 0.02 0.04 6.0 1 1 caleb_strategy_v3 JPY False False 0.03 0.00 0.01 0.0 0.53 -0.53 0.00 0.03 0.17 17.0 0 1 caleb_strategy_v3 BUXL False False 0.05 0.11 0.01 0.0 0.22 -0.22 0.11 0.11 0.13 4.0 2 2 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.01 0.0 0.10 -0.10 0.00 0.00 0.44 4.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 0.01 0.0 0.88 -0.88 0.00 0.00 0.15 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 0.24 9.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.23 0.01 0.0 0.28 -0.28 0.23 0.23 0.12 6.0 5 5 caleb_strategy_v3 EUR False False 0.05 0.15 0.01 0.0 0.68 -0.68 0.15 0.15 0.20 14.0 3 3 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.01 0.0 0.08 -0.08 0.00 0.00 0.16 2.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.23 -0.23 0.01 0.00 0.90 23.0 1 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.01 0.0 0.54 -0.54 0.00 0.00 0.24 13.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 1.04 4.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.03 0.02 0.0 0.61 -0.61 0.03 0.03 0.76 22.0 1 1 caleb_strategy_v3 COPPER False False 0.03 0.14 0.02 0.0 0.20 -0.20 0.14 0.17 0.71 6.0 4 5 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.02 0.0 0.41 -0.41 0.00 0.01 2.69 48.0 0 1 caleb_strategy_v3 BUND False False 0.05 0.00 0.02 0.0 0.53 -0.53 0.00 0.00 0.43 10.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.05 0.03 0.0 0.45 -0.45 0.05 0.05 1.29 19.0 2 2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.06 0.03 0.0 0.27 -0.27 0.06 0.10 2.26 23.0 5 8 caleb_strategy_v3 CAD False False 0.03 0.05 0.03 0.0 0.77 -0.77 0.05 0.05 1.32 29.0 2 2 caleb_strategy_v3 DOW False False 0.01 0.00 0.04 0.0 0.44 -0.44 0.00 0.00 5.82 66.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.02 0.04 0.0 0.18 -0.18 0.02 0.02 2.39 10.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.04 0.0 0.12 -0.12 0.05 0.02 1.65 5.0 2 1 caleb_strategy_v3 BITCOIN False False 0.00 0.07 0.05 0.0 0.09 -0.09 0.07 0.07 33.66 59.0 49 49 caleb_strategy_v3 COCOA False False 0.01 0.09 0.05 0.0 0.38 -0.38 0.09 0.09 3.32 26.0 6 6 caleb_strategy_v3 NZD False False 0.02 0.07 0.06 0.0 0.47 -0.47 0.07 0.07 2.56 21.0 3 3 caleb_strategy_v3 BTP False False 0.05 0.14 0.07 0.0 0.46 -0.46 0.14 0.09 1.55 10.0 3 2 caleb_strategy_v3 CAC False True 0.03 0.00 0.08 0.0 0.00 0.00 0.00 0.00 2.68 12.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.42 0.08 0.0 0.42 -0.42 0.42 0.42 1.66 9.0 9 9 caleb_strategy_v3 NIKKEI False False 0.01 0.12 0.11 0.0 0.30 -0.30 0.12 0.12 13.07 36.0 14 14 caleb_strategy_v3 EUROSTX False False 0.02 0.28 0.11 0.0 0.35 -0.35 0.28 0.32 6.26 20.0 16 18 caleb_strategy_v3 OAT False False 0.05 0.00 0.12 0.0 0.51 -0.51 0.00 0.00 2.27 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 22.78 58.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 0.16 0.0 0.00 0.00 0.00 0.00 1.90 11.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.42 0.47 0.0 0.61 -0.61 0.42 0.45 46.51 60.0 41 44 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.33 0.57 0.0 0.58 -0.58 0.33 0.33 15.73 16.0 9 9 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.76 1.26 0.0 0.95 -0.95 0.76 0.38 13.23 10.0 8 4 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 23.0 Shocked risk 63.5 Sum abs risk 50.3 Leverage 4.83 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2855929.09, 'annual_cash_vol_target': 713982.2725, 'daily_cash_vol_target': 44623.89203125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6829 0.6494 10.3900 BITCOIN 1107.8437 42510.0000 2.6061 41.6972 BOBL 0.2709 119.2900 0.2271 3.6329 BTP 0.6867 119.2800 0.5757 9.2112 BUND 0.5879 137.2400 0.4283 6.8536 BUXL 1.5312 141.3200 1.0835 17.3358 CAC 45.4476 7574.5000 0.6000 9.6001 CAD 0.0030 0.7563 0.3901 6.2410 CANOLA 7.6743 652.3000 1.1765 18.8239 CHF 0.0054 1.1978 0.4487 7.1794 COCOA 40.5088 4167.0000 0.9721 15.5541 COFFEE 4.4834 186.3000 2.4065 38.5047 COPPER 0.0421 3.8940 1.0816 17.3061 CORN 4.1534 503.0000 0.8257 13.2115 COTTON2 0.9871 80.9500 1.2194 19.5109 CRUDE_W 1.1265 70.1700 1.6054 25.6866 DAX 99.1890 16936.0000 0.5857 9.3707 DOW 206.7283 37982.0000 0.5443 8.7085 DX 0.4512 101.0050 0.4467 7.1473 EUR 0.0056 1.1080 0.5025 8.0404 EURIBOR-ICE 0.0511 98.1050 0.0521 0.8328 EUROSTX 29.7177 4562.0000 0.6514 10.4227 FEEDCOW 2.3234 228.9250 1.0149 16.2388 GASOIL 13.0544 734.5000 1.7773 28.4370 GASOLINE 0.0403 2.3135 1.7405 27.8483 GAS_US_mini 0.0913 2.3150 3.9438 63.1001 GBP 0.0071 1.2758 0.5572 8.9151 GOLD_micro 15.6990 2076.5000 0.7560 12.0965 HEATOIL 0.0426 2.4584 1.7348 27.7566 JGB-SGX-mini 0.3303 146.5100 0.2254 3.6066 JPY 0.0000 0.0072 0.6689 10.7016 LEANHOG 1.1648 74.9500 1.5541 24.8657 LIVECOW 1.5445 172.1500 0.8972 14.3548 LUMBER-new 7.0110 576.5000 1.2161 19.4582 MILK 0.1737 16.3900 1.0600 16.9605 MXP 0.0004 0.0582 0.6495 10.3926 NASDAQ_micro 116.0747 17047.7500 0.6809 10.8941 NIKKEI 265.5413 33320.0000 0.7969 12.7511 NZD 0.0038 0.6324 0.5950 9.5199 OAT 0.6094 131.4900 0.4634 7.4148 OATIES 7.8626 384.5000 2.0449 32.7181 OJ 5.9848 311.5000 1.9213 30.7405 PALLAD 31.6064 1106.5000 2.8564 45.7029 PLAT 14.2632 1009.4000 1.4130 22.6086 REDWHEAT 11.1912 644.7500 1.7357 27.7719 RICE 0.1444 17.6300 0.8189 13.1028 ROBUSTA 52.3843 2842.0000 1.8432 29.4915 RUSSELL 23.1557 2055.8000 1.1264 18.0218 SHATZ 0.0895 106.5600 0.0840 1.3433 SILVER-mini 0.3612 24.3375 1.4841 23.7461 SMI 63.0979 11100.0000 0.5684 9.0952 SOFR 0.0730 96.8750 0.0754 1.2056 SOYBEAN 10.4015 1245.0000 0.8355 13.3674 SOYMEAL 4.9047 384.8000 1.2746 20.3936 SOYOIL 0.7325 48.5500 1.5087 24.1393 SP400 25.6510 2819.9000 0.9096 14.5543 SP500_micro 28.1539 4821.0000 0.5840 9.3437 SUGAR11 0.4718 20.3500 2.3186 37.0982 US10 0.4766 112.7656 0.4227 6.7627 US10U 0.6480 117.8438 0.5499 8.7987 US2 0.1358 102.9492 0.1319 2.1104 US20 0.9764 124.6250 0.7835 12.5355 US30 1.4449 133.2812 1.0841 17.3458 US5 0.3130 108.7031 0.2880 4.6072 VIX 0.4669 16.2000 2.8820 46.1115 WHEAT 9.2892 668.5000 1.3896 22.2329 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 682.90 0.65 443.46 1.00 443.46 44623.89 100.63 4.96 49.90 BITCOIN 42.51 2.61 110.78 1.00 110.78 44623.89 402.80 7.72 310.79 BOBL 1192.90 0.23 270.86 1.11 301.12 44623.89 148.19 1.01 15.03 BTP 1192.80 0.58 686.70 1.11 763.44 44623.89 58.45 7.77 45.39 BUND 1372.40 0.43 587.87 1.11 653.56 44623.89 68.28 6.22 42.45 BUXL 1413.20 1.08 1531.18 1.11 1702.29 44623.89 26.21 4.73 12.39 CAC 757.45 0.60 454.48 1.11 505.26 44623.89 88.32 8.90 78.61 CAD 756.30 0.39 295.00 1.00 295.00 44623.89 151.27 3.37 50.94 CANOLA 130.46 1.18 153.49 0.76 116.31 44623.89 383.67 -20.00 -767.34 CHF 1497.19 0.45 671.80 1.00 671.80 44623.89 66.42 -1.09 -7.24 COCOA 416.70 0.97 405.09 1.00 405.09 44623.89 110.16 14.08 155.06 COFFEE 698.62 2.41 1681.27 1.00 1681.27 44623.89 26.54 1.25 3.32 COPPER 973.50 1.08 1052.97 1.00 1052.97 44623.89 42.38 1.55 6.57 CORN 251.50 0.83 207.67 1.00 207.67 44623.89 214.88 -20.00 -429.76 COTTON2 404.75 1.22 493.56 1.00 493.56 44623.89 90.41 -14.89 -134.58 CRUDE_W 701.70 1.61 1126.52 1.00 1126.52 44623.89 39.61 3.85 15.26 DAX 169.36 0.59 99.19 1.11 110.27 44623.89 404.67 16.50 667.86 DOW 189.91 0.54 103.36 1.00 103.36 44623.89 431.72 5.80 250.42 DX 1010.05 0.45 451.20 1.00 451.20 44623.89 98.90 -9.07 -89.73 EUR 1384.94 0.50 695.96 1.00 695.96 44623.89 64.12 1.19 7.61 EURIBOR-ICE 2452.62 0.05 127.67 1.11 141.93 44623.89 314.40 12.34 387.85 EUROSTX 456.20 0.65 297.18 1.11 330.39 44623.89 135.07 13.59 183.51 FEEDCOW 1144.62 1.01 1161.71 1.00 1161.71 44623.89 38.41 -7.62 -29.27 GASOIL 734.50 1.78 1305.44 1.00 1305.44 44623.89 34.18 2.94 10.05 GASOLINE 971.67 1.74 1691.21 1.00 1691.21 44623.89 26.39 -2.51 -6.62 GAS_US_mini 57.88 3.94 228.24 1.00 228.24 44623.89 195.51 -8.32 -162.61 GBP 797.38 0.56 444.29 1.00 444.29 44623.89 100.44 2.92 29.28 GOLD_micro 207.65 0.76 156.99 1.00 156.99 44623.89 284.25 -4.06 -115.52 HEATOIL 1032.53 1.73 1791.21 1.00 1791.21 44623.89 24.91 -2.00 -4.97 JGB-SGX-mini 146510.00 0.23 33025.37 0.01 234.14 44623.89 190.59 7.62 145.26 JPY 897.38 0.67 600.21 1.00 600.21 44623.89 74.35 0.88 6.54 LEANHOG 299.80 1.55 465.92 1.00 465.92 44623.89 95.78 -3.03 -28.98 LIVECOW 688.60 0.90 617.79 1.00 617.79 44623.89 72.23 -9.57 -69.11 LUMBER-new 158.54 1.22 192.80 1.00 192.80 44623.89 231.45 -1.30 -30.04 MILK 327.80 1.06 347.48 1.00 347.48 44623.89 128.42 -20.00 -256.84 MXP 291.25 0.65 189.18 1.00 189.18 44623.89 235.88 13.43 316.86 NASDAQ_micro 340.96 0.68 232.15 1.00 232.15 44623.89 192.22 5.05 97.09 NIKKEI 33320.00 0.80 26554.13 0.01 188.26 44623.89 237.04 5.09 120.67 NZD 632.45 0.59 376.30 1.00 376.30 44623.89 118.58 8.33 98.73 OAT 1314.90 0.46 609.36 1.11 677.46 44623.89 65.87 10.12 66.67 OATIES 192.25 2.04 393.13 1.00 393.13 44623.89 113.51 -10.22 -116.04 OJ 467.25 1.92 897.72 1.00 897.72 44623.89 49.71 -0.37 -1.84 PALLAD 1106.50 2.86 3160.64 1.00 3160.64 44623.89 14.12 3.38 4.77 PLAT 504.70 1.41 713.16 1.00 713.16 44623.89 62.57 11.20 70.07 REDWHEAT 322.38 1.74 559.56 1.00 559.56 44623.89 79.75 -16.33 -130.23 RICE 352.60 0.82 288.75 1.00 288.75 44623.89 154.54 2.76 42.69 ROBUSTA 284.20 1.84 523.84 1.00 523.84 44623.89 85.19 9.00 76.68 RUSSELL 102.79 1.13 115.78 1.00 115.78 44623.89 385.42 1.09 41.82 SHATZ 1065.60 0.08 89.46 1.11 99.46 44623.89 448.65 -1.77 -79.23 SILVER-mini 608.44 1.48 903.00 1.00 903.00 44623.89 49.42 -3.28 -16.22 SMI 1110.00 0.57 630.98 1.19 751.12 44623.89 59.41 8.19 48.68 SOFR 2421.88 0.08 182.49 1.00 182.49 44623.89 244.52 1.28 31.30 SOYBEAN 622.50 0.84 520.08 1.00 520.08 44623.89 85.80 -11.48 -98.52 SOYMEAL 384.80 1.27 490.47 1.00 490.47 44623.89 90.98 -12.45 -113.27 SOYOIL 291.30 1.51 439.49 1.00 439.49 44623.89 101.54 -11.10 -112.67 SP400 2819.90 0.91 2565.10 1.00 2565.10 44623.89 17.40 -0.05 -0.08 SP500_micro 241.05 0.58 140.77 1.00 140.77 44623.89 317.00 3.65 115.82 SUGAR11 227.92 2.32 528.46 1.00 528.46 44623.89 84.44 -8.54 -72.13 US10 1127.66 0.42 476.63 1.00 476.63 44623.89 93.62 -1.35 -12.65 US10U 1178.44 0.55 648.04 1.00 648.04 44623.89 68.86 2.79 19.22 US2 2058.98 0.13 271.58 1.00 271.58 44623.89 164.31 -4.60 -75.58 US20 1246.25 0.78 976.40 1.00 976.40 44623.89 45.70 4.08 18.65 US30 1332.81 1.08 1444.92 1.00 1444.92 44623.89 30.88 3.14 9.70 US5 1087.03 0.29 313.01 1.00 313.01 44623.89 142.56 -3.60 -51.30 VIX 162.00 2.88 466.88 1.00 466.88 44623.89 95.58 -20.00 -191.16 WHEAT 334.25 1.39 464.46 1.00 464.46 44623.89 96.08 -13.54 -130.09 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 49.897 0.010 2.5 1.295 BITCOIN 310.792 0.043 2.5 33.655 BOBL 15.030 0.004 2.5 0.152 BTP 45.388 0.014 2.5 1.548 BUND 42.450 0.004 2.5 0.430 BUXL 12.393 0.004 2.5 0.126 CAC 78.611 0.014 2.5 2.681 CAD 50.937 0.010 2.5 1.322 CANOLA -767.342 0.010 2.5 -18.669 CHF -7.245 0.010 2.5 -0.188 COCOA 155.059 0.009 2.5 3.321 COFFEE 3.322 0.005 2.5 0.039 COPPER 6.572 0.043 2.5 0.712 CORN -429.763 0.010 2.5 -10.456 COTTON2 -134.582 0.009 2.5 -2.882 CRUDE_W 15.260 0.043 2.5 1.653 DAX 667.862 0.014 2.5 22.780 DOW 250.422 0.009 2.5 5.820 DX -89.729 0.010 2.5 -2.328 EUR 7.610 0.010 2.5 0.197 EURIBOR-ICE 387.851 0.014 2.5 13.229 EUROSTX 183.514 0.014 2.5 6.259 FEEDCOW -29.273 0.013 2.5 -0.970 GASOIL 10.052 0.017 2.5 0.436 GASOLINE -6.620 0.017 2.5 -0.287 GAS_US_mini -162.605 0.043 2.5 -17.608 GBP 29.284 0.010 2.5 0.760 GOLD_micro -115.523 0.014 2.5 -3.940 HEATOIL -4.972 0.017 2.5 -0.216 JGB-SGX-mini 145.260 0.043 2.5 15.730 JPY 6.536 0.010 2.5 0.170 LEANHOG -28.977 0.024 2.5 -1.761 LIVECOW -69.115 0.013 2.5 -2.290 LUMBER-new -30.038 0.009 2.5 -0.641 MILK -256.844 0.009 2.5 -5.501 MXP 316.860 0.059 2.5 46.507 NASDAQ_micro 97.094 0.009 2.5 2.257 NIKKEI 120.666 0.043 2.5 13.067 NZD 98.731 0.010 2.5 2.562 OAT 66.668 0.014 2.5 2.274 OATIES -116.044 0.010 2.5 -2.823 OJ -1.840 0.009 2.5 -0.039 PALLAD 4.774 0.014 2.5 0.163 PLAT 70.070 0.014 2.5 2.390 REDWHEAT -130.230 0.005 2.5 -1.728 RICE 42.690 0.010 2.5 1.039 ROBUSTA 76.676 0.005 2.5 0.895 RUSSELL 41.823 0.013 2.5 1.386 SHATZ -79.230 0.004 2.5 -0.803 SILVER-mini -16.222 0.014 2.5 -0.553 SMI 48.675 0.014 2.5 1.660 SOFR 31.297 0.024 2.5 1.902 SOYBEAN -98.517 0.004 2.5 -0.916 SOYMEAL -113.267 0.004 2.5 -1.053 SOYOIL -112.668 0.004 2.5 -1.049 SP400 -0.080 0.013 2.5 -0.003 SP500_micro 115.819 0.009 2.5 2.692 SUGAR11 -72.134 0.009 2.5 -1.534 US10 -12.651 0.005 2.5 -0.160 US10U 19.221 0.005 2.5 0.244 US2 -75.584 0.005 2.5 -0.958 US20 18.648 0.005 2.5 0.236 US30 9.703 0.005 2.5 0.123 US5 -51.300 0.005 2.5 -0.650 VIX -191.158 0.099 2.5 -47.187 WHEAT -130.095 0.005 2.5 -1.726 ===================== Position diags ===================== AUD 2.61 BITCOIN 43.62 BOBL 1.50 BTP 1.99 BUND 0.69 BUXL 0.27 CAC 3.01 CAD 3.92 CANOLA 9.33 CHF 1.72 COCOA 2.36 COFFEE 0.31 COPPER 4.59 CORN 5.23 COTTON2 1.94 CRUDE_W 4.29 DAX 13.80 DOW 10.03 DX 2.57 EUR 1.66 EURIBOR-ICE 10.72 EUROSTX 4.61 FEEDCOW 1.27 GASOIL 1.48 GASOLINE 1.14 GAS_US_mini 21.17 GBP 2.61 GOLD_micro 9.70 HEATOIL 1.08 JGB-SGX-mini 20.64 JPY 1.93 LEANHOG 5.82 LIVECOW 2.39 LUMBER-new 4.94 MILK 2.75 MXP 34.62 NASDAQ_micro 4.47 NIKKEI 25.67 NZD 3.08 OAT 2.25 OATIES 2.76 OJ 1.06 PALLAD 0.48 PLAT 2.13 REDWHEAT 1.06 RICE 3.76 ROBUSTA 0.99 RUSSELL 12.77 SHATZ 4.55 SILVER-mini 1.69 SMI 2.03 SOFR 14.86 SOYBEAN 0.80 SOYMEAL 0.85 SOYOIL 0.95 SP400 0.58 SP500_micro 7.37 SUGAR11 1.80 US10 1.19 US10U 0.87 US2 2.08 US20 0.58 US30 0.39 US5 1.81 VIX 23.59 WHEAT 1.27 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.3 1.0 1.6 2.0 2 BITCOIN 33.7 29.3 38.0 49.0 49 BOBL 0.2 0.0 0.3 0.0 0 BTP 1.5 1.3 1.7 3.0 3 BUND 0.4 0.4 0.5 0.0 0 BUXL 0.1 0.1 0.2 2.0 2 CAC 2.7 2.4 3.0 0.0 0 CAD 1.3 0.9 1.7 2.0 2 CANOLA -18.7 -19.6 -17.7 -6.0 -6 CHF -0.2 -0.4 -0.0 -4.0 -4 COCOA 3.3 3.1 3.6 6.0 6 COFFEE 0.0 0.0 0.1 1.0 1 COPPER 0.7 0.3 1.2 4.0 4 CORN -10.5 -11.0 -9.9 -6.0 -6 COTTON2 -2.9 -3.1 -2.7 -4.0 -4 CRUDE_W 1.7 1.2 2.1 2.0 2 DAX 22.8 21.4 24.2 0.0 0 DOW 5.8 4.8 6.8 0.0 0 DX -2.3 -2.6 -2.1 NaN 0 EUR 0.2 0.0 0.4 3.0 3 EURIBOR-ICE 13.2 12.2 14.3 8.0 8 EUROSTX 6.3 5.8 6.7 16.0 16 FEEDCOW -1.0 -1.1 -0.8 -1.0 -1 GASOIL 0.4 0.3 0.6 0.0 0 GASOLINE -0.3 -0.4 -0.2 0.0 0 GAS_US_mini -17.6 -19.7 -15.5 -23.0 -23 GBP 0.8 0.5 1.0 1.0 1 GOLD_micro -3.9 -4.9 -3.0 -17.0 -17 HEATOIL -0.2 -0.3 -0.1 0.0 0 JGB-SGX-mini 15.7 13.7 17.8 9.0 9 JPY 0.2 -0.0 0.4 0.0 0 LEANHOG -1.8 -2.3 -1.2 0.0 0 LIVECOW -2.3 -2.5 -2.1 0.0 0 LUMBER-new -0.6 -1.1 -0.1 NaN 0 MILK -5.5 -5.8 -5.2 NaN 0 MXP 46.5 43.0 50.0 41.0 41 NASDAQ_micro 2.3 1.8 2.7 5.0 5 NIKKEI 13.1 10.5 15.6 14.0 14 NZD 2.6 2.3 2.9 3.0 3 OAT 2.3 2.0 2.5 0.0 0 OATIES -2.8 -3.1 -2.5 NaN 0 OJ -0.0 -0.1 0.1 NaN 0 PALLAD 0.2 0.1 0.2 0.0 0 PLAT 2.4 2.2 2.6 1.0 1 REDWHEAT -1.7 -1.8 -1.6 -3.0 -3 RICE 1.0 0.7 1.4 NaN 0 ROBUSTA 0.9 0.8 1.0 1.0 1 RUSSELL 1.4 0.1 2.7 0.0 0 SHATZ -0.8 -1.3 -0.3 NaN 0 SILVER-mini -0.6 -0.7 -0.4 NaN 0 SMI 1.7 1.5 1.9 9.0 9 SOFR 1.9 0.4 3.4 NaN 0 SOYBEAN -0.9 -1.0 -0.8 -2.0 -2 SOYMEAL -1.1 -1.1 -1.0 -1.0 -1 SOYOIL -1.0 -1.1 -1.0 -3.0 -3 SP400 -0.0 -0.1 0.1 2.0 2 SP500_micro 2.7 2.0 3.4 0.0 0 SUGAR11 -1.5 -1.7 -1.4 -1.0 -1 US10 -0.2 -0.3 -0.0 -9.0 -9 US10U 0.2 0.2 0.3 0.0 0 US2 -1.0 -1.2 -0.7 NaN 0 US20 0.2 0.2 0.3 0.0 0 US30 0.1 0.1 0.2 5.0 5 US5 -0.7 -0.8 -0.5 0.0 0 VIX -47.2 -49.5 -44.8 -16.0 -16 WHEAT -1.7 -1.9 -1.6 -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 3.9 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 0.5 0.6 0.4 0.0 0.0 0.1 0.0 0.1 0.1 0.1 0.0 0.1 -0.2 0.2 0.1 -0.0 -0.1 -0.1 -0.1 0.2 0.1 0.2 -0.1 0.2 0.4 0.1 0.0 0.1 0.1 -0.0 0.1 -0.1 0.0 0.1 -0.0 0.1 -0.5 -0.4 -0.2 0.2 BITCOIN -0.2 0.4 0.6 0.0 -0.0 0.0 0.0 0.0 0.1 -0.1 0.5 -0.0 0.7 0.1 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.2 0.1 -0.1 0.0 0.6 0.6 0.6 -0.2 0.5 0.1 0.7 BOBL 0.6 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.1 0.1 -0.1 0.1 0.1 -0.4 -0.2 -0.3 -0.2 0.2 0.1 0.1 -0.1 0.2 1.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.7 -0.1 0.1 0.0 0.2 -0.6 -0.7 -0.1 -0.6 BTP 0.6 0.6 0.4 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.2 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.1 0.1 0.2 -1.1 0.0 -0.0 0.1 0.0 0.0 0.1 0.7 -0.2 0.1 0.3 0.3 -0.4 -0.7 0.3 0.1 BUND 0.6 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 0.1 -0.1 0.1 0.1 0.1 0.1 0.0 0.0 0.2 0.1 0.1 -0.1 0.2 0.8 0.0 -0.0 0.0 0.0 -0.0 0.0 0.4 -0.2 0.1 0.1 0.2 -0.6 -0.7 -0.2 -0.2 BUXL 0.6 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 0.1 -0.2 0.1 0.1 0.0 0.0 0.0 0.0 0.2 0.1 0.1 -0.1 0.2 0.1 0.0 -0.0 0.0 0.0 -0.0 0.0 0.2 -0.4 0.2 0.3 0.2 -0.7 -0.7 -0.2 0.3 CAC 0.5 0.6 0.0 0.1 0.0 0.1 0.0 0.1 0.1 -0.1 0.4 0.2 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.1 0.2 0.2 0.1 0.4 0.2 -1.1 0.1 -0.0 0.1 0.0 0.1 0.1 0.0 -0.5 0.0 -0.2 0.0 0.3 0.2 0.7 0.4 CAD 0.6 0.6 0.1 0.1 0.0 0.1 0.1 0.1 0.1 0.1 -0.0 0.2 -0.3 0.2 0.2 -0.0 -0.0 -0.0 -0.0 0.2 0.1 0.2 -0.1 0.2 0.3 0.1 0.0 0.0 0.1 -0.1 0.1 0.0 -0.0 0.5 -0.0 -0.2 -0.6 -0.6 -0.0 -0.5 CANOLA -0.3 -0.3 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -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 -0.4 -0.6 -0.5 -0.4 -0.2 0.0 CHF 0.6 0.6 0.1 0.1 0.0 0.1 0.0 0.1 0.1 0.2 0.1 0.2 0.3 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.2 0.2 0.2 -1.2 0.1 0.1 0.1 0.1 0.0 0.1 -1.1 0.5 0.6 0.5 -0.1 -0.7 -0.7 -0.7 -0.7 COCOA 0.0 0.5 0.6 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.2 0.5 0.1 0.7 0.2 0.2 0.2 0.0 0.1 0.1 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 -0.0 0.3 0.0 0.4 0.1 0.4 0.3 0.6 0.6 0.6 0.6 0.0 0.7 0.6 COFFEE 0.2 0.5 0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.1 0.1 -0.1 0.1 0.1 0.2 0.1 0.2 0.1 0.1 0.1 0.1 0.0 0.1 -2.3 0.0 -0.0 0.1 0.0 0.0 0.0 0.6 0.2 0.6 0.6 0.6 -0.7 -0.7 -0.6 -0.4 COPPER 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 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 -1.0 0.1 -0.0 0.1 0.0 -0.0 0.1 0.1 -0.0 0.2 0.5 0.1 -0.2 -0.4 0.2 -0.3 CORN -0.1 -0.0 -0.2 -0.1 -0.1 -0.2 -0.1 -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 -0.2 -0.3 -0.1 -0.2 -0.5 -0.3 -0.3 0.2 -0.2 -0.3 0.1 0.1 COTTON2 0.2 -0.2 -0.5 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 0.2 -0.3 -0.0 -0.3 -0.0 -0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.0 -2.7 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.3 0.4 -0.4 -0.4 -0.6 -0.5 -0.1 0.1 CRUDE_W 0.0 -0.5 -0.3 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 0.2 -0.0 0.3 -0.1 -0.1 0.1 0.2 0.2 0.2 -0.1 0.0 -0.1 0.2 -0.1 -0.6 -0.0 -0.1 0.0 -0.1 0.2 -0.1 -0.4 -0.1 0.1 0.3 0.5 0.7 0.4 0.7 0.5 DAX 0.4 0.6 0.2 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.4 0.1 0.7 0.2 0.2 -0.3 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.3 0.2 2.6 0.1 0.0 0.1 0.0 0.1 0.1 -0.4 -0.4 -0.1 0.5 0.2 0.2 0.2 0.6 0.5 DOW 0.6 0.6 0.4 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.4 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 -1.7 0.1 0.0 0.1 0.0 0.1 0.1 -0.4 -0.0 0.5 0.6 0.3 -0.3 -0.1 -0.4 -0.2 DX -0.4 -0.6 -0.3 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.0 -0.1 0.0 -0.2 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.8 -0.5 -0.6 -0.6 -0.3 0.4 0.1 0.6 0.4 EUR 0.3 0.5 0.1 0.0 0.0 0.1 0.0 0.1 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 -0.0 0.1 1.3 0.0 0.0 0.0 0.0 -0.0 0.1 -0.4 -0.0 -0.2 -0.1 -0.2 -0.6 -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 0.0 0.2 0.1 0.0 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.1 0.2 2.2 0.0 0.0 0.0 0.0 0.0 0.0 -0.4 0.0 0.3 0.3 0.5 -0.7 -0.7 0.2 0.7 EUROSTX 0.3 0.6 0.2 0.1 0.0 0.1 0.0 0.1 0.1 -0.0 0.4 0.1 0.7 0.2 0.2 0.1 -0.0 0.0 -0.0 0.2 0.2 0.1 0.4 0.2 0.4 0.1 -0.0 0.1 0.0 0.1 0.1 0.4 -0.5 -0.3 -0.0 0.3 0.1 0.2 0.3 0.5 FEEDCOW 0.6 -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 -0.4 -0.4 -0.3 -0.4 -0.1 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -0.1 0.0 0.0 -0.0 -1.1 0.2 0.2 -0.5 -0.5 0.4 0.1 0.7 0.3 GASOIL 0.0 -0.6 -0.5 -0.0 -0.1 -0.0 -0.0 0.0 -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 -0.1 0.0 -0.0 0.1 -0.0 0.5 0.2 0.2 0.2 0.2 -0.3 -0.1 -0.6 -0.2 GASOLINE 0.2 -0.3 -0.6 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.0 0.0 0.2 0.0 -0.1 -0.4 0.4 -0.3 0.1 -0.1 -0.0 -0.0 0.1 -0.0 -2.7 -0.0 -0.1 -0.0 -0.1 0.2 -0.0 0.1 0.1 0.3 0.6 -0.1 0.7 0.4 0.7 0.3 GAS_US_mini -0.0 -0.6 0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.3 -0.0 -0.5 -0.1 -0.1 0.4 -0.4 -0.3 -0.4 -0.2 -0.2 -0.0 -0.5 -0.1 2.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.1 0.4 -0.0 -0.4 -0.2 -0.6 0.2 -0.7 0.0 GBP 0.1 0.6 0.0 0.0 0.0 0.1 0.0 0.1 0.1 0.1 -0.0 0.1 0.3 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.2 -0.3 -0.4 -0.1 -0.3 -0.4 0.0 -0.3 0.5 GOLD_micro 0.0 0.4 0.3 0.0 -0.0 0.0 0.0 0.0 0.0 0.1 0.2 0.1 0.2 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.1 0.1 0.1 0.1 -0.7 0.0 0.0 0.1 0.0 0.1 0.0 -0.8 0.1 0.0 0.2 0.3 -0.6 -0.7 -0.5 -0.7 HEATOIL -0.0 -0.6 -0.5 -0.0 -0.1 -0.0 -0.0 0.0 -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 -0.1 0.2 -0.1 -2.6 -0.0 -0.1 -0.0 -0.1 0.2 -0.0 0.8 0.1 0.1 0.2 0.0 0.5 0.0 0.4 -0.2 JGB-SGX-mini 0.3 0.6 0.0 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 0.0 0.0 0.1 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 1.1 0.0 -0.4 -0.0 -0.1 0.1 -0.7 0.4 0.6 JPY 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 -0.3 -0.3 -0.3 -0.3 0.1 -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 -0.1 -0.2 -0.3 -0.7 -0.1 -0.7 LEANHOG 0.1 -0.3 -0.3 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.1 -0.4 0.1 -0.4 -0.1 -0.1 -0.1 -0.1 -0.4 -0.1 2.0 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 0.4 -0.0 0.2 -0.1 -0.0 -0.3 -0.2 0.3 0.4 LIVECOW 0.2 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.2 0.1 0.0 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.3 -0.0 -0.1 -0.6 -0.5 0.2 -0.2 0.3 -0.0 LUMBER-new 0.5 0.7 0.3 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 0.0 -0.1 0.2 -0.7 0.2 0.2 -0.2 -0.3 -0.3 -0.3 0.3 0.1 0.2 -0.2 0.3 NaN 0.1 0.1 0.1 0.1 -0.0 0.1 -1.2 0.6 0.8 0.7 0.7 -0.7 -0.8 -0.4 -0.7 MILK -0.6 -0.6 -0.6 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.5 -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 1.4 -0.1 -0.0 -0.2 -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 0.4 0.5 -0.1 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.4 0.2 0.6 0.2 0.2 0.3 0.3 0.3 0.3 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.1 0.1 0.3 0.1 1.1 0.0 -0.2 -0.2 -0.2 0.4 0.6 0.7 0.7 NASDAQ_micro 0.6 0.6 0.3 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.4 0.2 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 0.0 0.2 0.1 -0.3 0.1 0.2 0.2 0.3 0.4 -0.2 0.4 -0.3 NIKKEI -0.0 0.3 -0.2 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.5 0.2 0.6 0.1 0.2 0.3 0.2 0.3 0.2 0.1 0.2 0.1 0.5 0.1 -1.8 0.1 0.0 0.2 0.0 0.4 0.0 1.1 0.3 -0.6 -0.6 -0.2 -0.4 -0.0 -0.3 0.1 NZD 0.5 0.6 0.5 0.0 0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.2 0.1 0.2 0.2 0.0 0.0 0.0 0.0 0.2 0.1 0.2 -0.0 0.2 0.1 0.1 0.0 0.1 0.0 0.0 0.1 0.2 0.0 0.0 0.1 0.3 -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 -0.0 0.2 0.1 -0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.1 -0.0 0.2 1.1 0.0 -0.0 0.0 0.0 0.0 0.0 0.7 -0.2 0.2 0.2 0.3 -0.6 -0.7 0.0 0.2 OATIES 0.2 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.0 -0.2 -0.0 -0.1 0.0 -0.2 -0.1 -0.2 -0.1 -0.1 0.0 -0.1 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.7 0.1 -0.0 -0.4 -0.6 0.1 0.2 0.4 0.7 OJ -0.6 -0.6 -0.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.3 -0.2 0.5 -0.1 0.0 0.1 0.4 0.3 0.4 -0.0 0.2 -0.2 0.5 -0.2 -2.7 0.0 -0.1 0.2 -0.1 0.3 -0.1 1.1 -0.5 -0.6 -0.2 0.6 0.3 0.4 0.7 0.7 PALLAD 0.6 0.6 0.4 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 0.0 -0.3 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.2 0.1 0.8 -0.0 -0.0 -0.0 0.0 -0.1 0.0 0.3 -0.1 0.5 -0.1 -0.3 -0.1 -0.2 0.1 -0.1 PLAT 0.6 0.5 0.1 0.0 -0.0 0.0 0.0 0.0 0.0 0.1 -0.1 0.1 -0.2 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.1 0.2 1.9 0.0 0.0 0.0 0.1 -0.0 0.1 0.2 0.3 0.6 0.2 0.1 -0.2 -0.3 0.5 -0.1 REDWHEAT 0.2 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 0.0 -0.5 -0.0 -1.5 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 -0.0 -0.1 0.0 -0.2 -0.4 -0.7 -0.7 -0.7 -0.5 RICE -0.0 0.4 0.3 -0.0 -0.1 -0.2 -0.1 -0.3 -0.0 -0.1 0.5 0.1 0.5 0.2 0.2 -0.2 0.0 -0.3 -0.1 0.2 0.2 0.0 0.4 0.1 -2.7 0.1 -0.0 0.1 0.0 0.1 0.1 0.0 0.5 0.3 0.6 0.6 -0.1 -0.4 0.3 -0.1 ROBUSTA 0.4 0.5 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.3 0.1 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.1 0.1 0.3 0.2 -2.3 0.0 -0.0 0.1 0.0 0.1 0.0 1.1 0.2 0.6 0.6 0.6 -0.4 -0.5 -0.0 0.0 RUSSELL 0.6 0.6 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 -0.0 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.0 0.2 -0.3 0.0 0.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.5 0.2 -0.1 -0.6 -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 0.1 -0.1 0.1 -0.4 -0.7 -0.2 -0.7 SILVER-mini -0.2 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 0.8 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.4 -0.0 -0.1 -0.7 -0.7 0.1 -0.5 SMI 0.5 0.6 -0.1 0.1 0.0 0.1 0.0 0.0 0.1 0.0 -0.0 0.1 0.1 0.2 0.2 0.2 0.1 0.2 0.1 0.2 0.0 0.1 -0.1 0.2 1.4 0.1 0.0 0.0 0.0 -0.0 0.1 0.9 -0.4 -0.1 -0.5 -0.3 0.0 -0.2 0.1 -0.2 SOFR 0.5 0.6 0.5 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 0.1 0.1 -0.1 0.2 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.0 -0.2 0.0 0.1 -0.7 -0.7 -0.2 -0.2 SOYBEAN -0.3 -0.2 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.0 -0.1 0.2 -0.2 0.2 -0.2 -0.1 0.3 0.3 0.3 0.3 -0.1 -0.0 -0.1 0.0 -0.1 -2.7 -0.0 -0.1 0.1 -0.1 0.1 -0.1 1.1 -0.5 -0.5 0.1 0.3 -0.7 -0.7 -0.7 -0.6 SOYMEAL -0.6 -0.4 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 -0.1 0.1 -0.1 1.1 -0.2 -0.6 -0.3 0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.1 -0.0 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 0.2 0.0 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 0.8 -0.2 -0.3 0.1 -0.4 -0.4 -0.0 -0.0 0.3 SP400 0.6 0.6 0.1 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 -0.1 0.2 0.1 0.2 0.1 0.2 -1.3 0.0 0.0 0.1 0.0 0.0 0.1 0.1 -0.0 0.4 0.2 -0.1 -0.5 -0.3 -0.7 -0.7 SP500_micro 0.6 0.6 0.2 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.4 0.2 0.5 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.0 0.1 0.0 0.1 0.1 -0.4 0.0 0.2 0.3 0.1 0.2 -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 -0.0 -0.1 -0.1 0.2 -0.1 -0.1 0.3 0.4 0.4 0.4 -0.1 -0.1 -0.1 0.1 -0.2 -2.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.0 -0.6 -0.6 -0.2 0.0 -0.3 0.4 0.2 US10 0.6 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 -0.2 -0.1 -0.2 -0.2 0.1 0.0 0.1 -0.1 0.1 0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.6 -0.1 -0.1 -0.0 -0.0 -0.7 -0.7 -0.4 0.2 US10U 0.6 0.6 0.6 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 0.0 0.0 0.0 0.1 0.0 0.1 -0.2 0.2 -0.2 0.0 0.0 0.0 0.0 -0.1 0.0 0.2 -0.1 -0.1 0.0 -0.1 -0.7 -0.7 0.1 0.5 US2 0.4 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.1 -0.2 0.1 1.1 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 -0.0 -0.2 -0.1 0.1 -0.5 -0.7 -0.4 -0.7 US20 0.6 0.6 0.5 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 -0.1 0.1 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.1 -0.1 -0.6 -0.7 0.6 0.7 US30 0.6 0.6 0.5 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 0.1 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.3 -0.2 -0.1 0.1 -0.1 -0.3 -0.6 0.7 0.7 US5 0.5 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 -0.2 -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 -0.8 -0.1 -0.2 -0.0 0.0 -0.7 -0.7 -0.7 -0.4 VIX 0.1 -0.8 0.1 -0.1 -0.0 -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 -0.1 -0.9 -0.3 NaN -0.1 -0.0 -0.3 -0.0 -0.6 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.2 0.4 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 0.1 -0.4 0.1 -0.6 0.1 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.1 0.1 -0.5 0.1 -0.4 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.8 0.0 0.3 0.0 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 15.1 20.0 12.5 4.3 1.3 2.6 3.5 1.5 4.8 8.5 0.8 13.8 -6.9 15.1 13.6 -2.2 -2.9 -2.6 -2.8 16.5 6.1 17.1 -3.3 20.0 2.9 4.9 1.6 1.9 4.9 -0.7 6.2 -1.0 1.4 2.2 -0.2 3.2 -15.0 -12.1 -5.9 5.5 BITCOIN -6.3 11.5 20.0 3.5 -1.8 1.3 3.9 0.5 4.9 -16.4 20.0 -0.5 18.2 13.8 20.0 -9.7 -6.3 -9.1 -7.9 20.0 20.0 0.3 17.2 16.8 -20.0 8.2 -0.2 7.2 2.5 4.5 5.8 -2.2 0.2 20.0 20.0 20.0 -5.5 14.1 2.2 20.0 BOBL 20.0 20.0 20.0 2.4 0.9 0.7 2.1 -0.7 2.9 2.3 3.8 7.3 -3.1 8.8 8.6 -20.0 -7.8 -16.4 -11.3 16.5 8.0 12.8 -1.9 19.0 8.4 3.0 0.0 1.5 2.0 -0.1 3.4 -13.9 -4.7 1.8 0.9 6.8 -16.9 -20.0 -3.8 -17.9 BTP 17.1 20.0 13.7 3.7 1.4 1.1 3.3 -1.1 4.5 -2.4 9.1 9.4 6.4 13.1 13.3 5.0 7.2 6.0 6.3 20.0 13.6 15.8 2.9 20.0 -8.6 4.6 -0.7 2.5 2.5 0.7 5.0 13.8 -7.9 3.4 10.0 9.8 -13.2 -20.0 7.5 4.3 BUND 20.0 20.0 18.6 2.6 1.0 0.8 2.3 -0.8 3.2 -0.9 4.6 7.4 -3.5 9.5 9.3 4.5 4.2 1.8 2.0 17.8 8.3 12.0 -2.3 20.0 5.7 3.2 -0.8 1.5 1.5 -0.1 3.5 7.4 -10.3 3.0 4.1 7.3 -18.7 -20.0 -6.0 -6.1 BUXL 20.0 20.0 19.7 3.0 1.1 0.9 2.7 -0.9 3.7 -5.5 4.5 7.9 -6.3 10.8 10.1 0.2 0.7 0.3 0.5 19.1 7.4 10.9 -4.8 20.0 1.0 3.5 -1.7 1.4 1.0 -0.5 3.7 3.4 -17.5 5.9 8.9 5.9 -20.0 -20.0 -5.8 10.2 CAC 16.5 20.0 0.2 6.7 0.9 3.5 3.9 1.5 6.9 -8.2 13.6 16.8 20.0 20.0 20.0 -9.6 -4.2 -7.8 -6.4 20.0 17.3 11.0 14.1 20.0 -8.5 7.5 -0.4 3.8 2.5 2.5 7.4 0.9 -19.7 0.7 -5.2 0.5 10.3 7.2 20.0 13.1 CAD 20.0 20.0 2.2 6.4 1.9 3.9 5.2 2.3 7.1 12.9 -1.8 20.0 -8.2 20.0 17.1 -1.9 -2.2 -2.3 -2.3 20.0 5.4 20.0 -5.3 20.0 2.5 6.1 2.1 1.2 7.6 -1.5 9.7 0.0 -1.5 13.9 -1.5 -5.3 -19.1 -18.9 -0.0 -14.6 CANOLA -9.9 -9.5 -20.0 -1.9 -3.7 -2.7 -2.6 -3.4 -1.8 -6.1 -5.9 -8.1 -5.4 -8.9 -9.6 -12.2 -0.1 -11.0 -6.9 -12.6 -11.5 -6.7 -8.9 -10.4 -20.0 -3.7 -2.8 -3.3 -3.7 -2.8 -3.8 -2.3 -7.0 -16.8 -13.5 -20.0 -15.3 -11.4 -5.3 0.5 CHF 17.0 20.0 3.1 5.7 1.7 3.5 4.6 2.0 6.3 18.0 4.5 20.0 9.4 20.0 18.2 -16.1 -15.4 -16.6 -16.2 20.0 12.3 20.0 5.8 20.0 -9.1 6.4 7.8 2.8 10.8 1.1 9.9 -20.0 20.0 20.0 14.1 -4.4 -20.0 -20.0 -20.0 -20.0 COCOA 1.1 14.6 20.0 -4.9 -9.5 -6.9 -6.7 -8.9 -4.7 -16.7 20.0 13.0 20.0 20.0 20.0 11.8 1.1 7.4 3.6 20.0 20.0 2.5 20.0 20.0 -20.0 9.4 -2.6 11.0 1.2 11.2 5.7 6.8 11.9 20.0 20.0 20.0 18.2 0.1 20.0 19.2 COFFEE 6.7 14.8 20.0 -2.5 -4.9 -3.5 -3.4 -4.6 -2.4 -6.6 5.3 5.4 -3.4 8.9 11.0 8.8 4.3 8.0 5.7 12.7 7.8 5.7 1.3 11.8 -16.9 4.5 -1.4 3.1 1.6 1.2 3.9 11.5 8.7 20.0 20.0 20.0 -20.0 -20.0 -18.0 -11.5 COPPER 7.4 18.4 4.5 2.8 -1.4 1.0 3.1 0.4 4.0 1.0 -0.8 12.3 -3.0 14.9 13.0 -4.5 -4.4 -5.7 -5.5 10.7 3.3 8.3 -3.1 12.6 -7.7 5.2 -0.2 2.0 4.0 -0.7 6.0 1.4 -1.6 7.4 15.7 2.9 -7.0 -10.6 6.6 -8.2 CORN -3.5 -0.8 -6.6 -4.8 -9.3 -6.7 -6.5 -8.7 -4.5 -12.8 -20.0 -14.1 -20.0 -15.8 -16.8 -9.5 -1.5 -8.0 -6.0 -10.4 -19.0 -8.2 -20.0 -8.8 -20.0 -6.9 -14.3 -6.3 -16.0 -9.4 -11.8 -3.3 -20.0 -9.2 -9.1 7.1 -6.1 -10.1 3.7 3.1 COTTON2 4.7 -6.2 -14.6 -3.8 -7.3 -5.3 -5.2 -6.9 -3.6 16.8 -11.2 -0.4 -9.0 -1.3 -13.3 -8.1 -0.4 -6.8 -4.3 -11.4 -12.0 4.6 -8.9 -3.2 -20.0 -4.8 3.0 -4.7 1.8 -2.1 -1.3 -0.7 11.4 12.1 -13.9 -11.0 -17.4 -14.1 -4.3 1.6 CRUDE_W 0.7 -14.7 -8.4 -4.9 -7.5 -1.9 -5.2 1.4 -4.8 -16.6 5.8 -1.8 7.1 -8.2 -11.7 6.3 9.8 8.0 9.2 -6.9 1.4 -8.0 8.7 -7.1 -4.5 -4.2 -11.0 0.9 -8.9 5.6 -6.4 -7.6 -3.0 3.2 9.0 15.9 20.0 13.4 20.0 14.0 DAX 10.8 20.0 5.4 6.3 0.8 3.3 3.7 1.4 6.5 12.3 13.3 13.3 18.2 20.0 20.0 -14.9 -9.2 -12.5 -10.9 20.0 20.0 12.3 12.6 20.0 19.6 7.0 0.3 3.7 1.9 1.7 6.1 -7.2 -16.7 -4.3 14.1 6.6 7.3 4.9 17.9 16.1 DOW 20.0 20.0 11.8 5.0 0.7 2.6 3.0 1.1 5.2 15.6 14.6 18.8 14.6 20.0 19.1 -11.1 -9.2 -10.8 -10.4 20.0 20.0 20.0 12.9 20.0 -12.8 6.3 1.1 3.8 3.7 2.2 6.4 -7.0 -1.0 15.3 19.8 10.1 -9.3 -4.1 -10.9 -6.5 DX -13.8 -20.0 -8.1 3.2 1.0 2.0 2.6 1.1 3.6 -6.6 0.9 -10.1 -4.1 -10.9 -9.3 4.9 6.0 6.0 6.2 -11.5 -4.0 -13.2 1.2 -15.2 -20.0 -3.3 -1.5 -1.0 -3.5 0.8 -4.3 14.5 -20.0 -20.0 -20.0 -10.5 13.3 4.4 17.7 12.7 EUR 8.1 16.4 4.3 3.9 1.2 2.4 3.2 1.4 4.4 5.5 -0.9 11.1 5.3 12.0 10.6 -5.4 -6.7 -5.9 -6.3 9.5 3.5 12.0 -0.5 12.9 10.0 3.6 1.4 1.3 4.2 -0.3 4.8 -7.2 -1.1 -6.0 -4.0 -5.9 -17.3 -12.4 -14.8 -5.9 EURIBOR-ICE 20.0 20.0 20.0 2.1 0.8 0.7 1.9 -0.7 2.6 5.1 6.2 7.6 0.2 8.4 8.5 -1.0 -6.0 -3.0 -4.8 20.0 13.4 16.9 2.3 20.0 16.8 3.0 0.8 1.9 2.3 0.4 3.2 -7.6 1.7 8.2 8.0 15.9 -20.0 -20.0 7.3 20.0 EUROSTX 10.0 20.0 5.3 6.4 0.8 3.3 3.8 1.4 6.6 -4.9 14.5 13.3 19.9 20.0 20.0 7.2 -1.6 0.5 -1.7 20.0 20.0 8.5 16.4 20.0 3.3 7.4 -0.5 4.5 1.5 2.8 6.2 6.7 -20.0 -8.0 -1.1 7.8 3.7 7.3 9.9 15.2 FEEDCOW 17.2 -19.0 -20.0 -2.1 -4.1 -3.0 -2.9 -3.8 -2.0 -4.2 -6.9 8.6 -0.6 -2.6 -7.8 -20.0 -20.0 -14.7 -17.9 -12.6 -12.2 3.4 -2.9 -2.4 -1.5 -2.7 -0.2 -2.2 0.6 0.7 -0.5 -20.0 7.7 7.7 -14.6 -16.6 12.1 2.7 20.0 10.3 GASOIL 1.1 -18.3 -14.4 -4.0 -6.1 -1.5 -4.3 1.2 -3.9 -12.8 5.1 0.7 6.1 -5.6 -10.8 11.4 20.0 15.6 18.7 -8.7 -0.7 -6.7 8.4 -7.0 8.2 -3.4 -5.9 0.2 -3.4 3.4 -3.3 9.8 9.8 5.9 4.8 6.9 -8.5 -1.9 -18.1 -7.5 GASOLINE 6.0 -8.1 -20.0 -4.6 -7.0 -1.8 -4.9 1.3 -4.5 -15.4 -0.3 4.1 4.4 0.4 -11.8 -20.0 18.1 -15.5 5.7 -6.8 -3.9 -2.9 4.8 -2.7 -20.0 -4.0 -7.8 -1.4 -5.8 4.4 -3.6 1.1 2.2 8.2 17.2 -2.8 20.0 11.8 20.0 9.5 GAS_US_mini -1.3 -20.0 3.7 -3.0 -4.6 -1.1 -3.2 0.9 -2.9 5.3 -11.4 -1.9 -13.1 -9.7 -11.0 20.0 -20.0 -13.0 -20.0 -19.9 -19.3 -2.4 -20.0 -13.1 16.7 -3.9 0.8 -3.1 0.1 -2.1 -2.5 -20.0 18.3 -0.2 -13.3 -6.4 -17.2 4.5 -20.0 0.3 GBP 3.3 18.0 0.7 4.3 1.3 2.6 3.5 1.5 4.8 5.8 -0.7 9.5 7.9 13.3 11.7 -0.0 -0.7 -0.4 -0.5 10.4 5.1 8.2 1.9 11.3 1.5 4.1 1.1 1.8 2.8 0.1 4.4 3.0 -11.0 -11.3 -3.1 -9.3 -12.9 1.0 -9.6 14.3 GOLD_micro 1.1 13.4 10.6 2.3 -1.2 0.8 2.6 0.3 3.3 7.4 6.0 10.5 5.9 10.1 12.0 -12.5 -13.9 -13.8 -14.3 11.7 7.4 11.8 3.6 12.6 -5.1 4.1 1.1 2.8 3.0 1.7 3.9 -14.5 3.7 1.2 4.9 8.8 -17.7 -20.0 -15.0 -20.0 HEATOIL -0.2 -17.6 -16.9 -4.2 -6.5 -1.6 -4.5 1.2 -4.2 -14.7 3.4 -4.0 4.5 -9.0 -12.7 18.9 20.0 20.0 20.0 -11.2 -2.9 -10.0 6.6 -10.2 -19.7 -4.1 -6.5 -0.2 -5.3 4.4 -4.5 14.6 5.7 2.3 4.7 1.3 14.2 0.0 11.0 -5.4 JGB-SGX-mini 8.1 20.0 1.5 1.8 0.7 0.6 1.7 -0.6 2.3 3.2 1.5 5.7 2.8 6.4 5.8 7.0 18.6 12.9 15.0 6.0 2.7 4.8 0.9 7.0 -2.0 1.8 0.3 0.6 1.4 -0.2 2.1 20.0 1.1 -11.3 -1.5 -2.4 1.9 -20.0 11.8 18.4 JPY 20.0 20.0 20.0 2.6 0.8 1.6 2.1 0.9 2.9 8.3 -5.3 8.9 -8.2 8.8 5.9 -13.9 -16.1 -16.3 -16.8 6.5 -2.3 9.0 -9.6 10.6 20.0 2.1 1.9 -0.8 3.1 -3.0 3.7 -20.0 -5.5 8.6 -2.9 -7.1 -8.8 -20.0 -3.1 -20.0 LEANHOG 2.2 -7.8 -9.5 -3.1 -5.9 -4.3 -4.1 -5.5 -2.9 -14.0 -4.1 -7.4 -9.6 -8.7 -10.9 -20.0 4.7 -20.0 -3.4 -10.6 -12.1 -8.4 -14.4 -8.2 15.0 -2.5 -2.8 -5.2 -1.2 -9.1 -1.0 8.3 -1.0 6.2 -2.8 -0.6 -10.2 -7.4 8.2 11.3 LIVECOW 6.8 -20.0 -20.0 -2.4 -4.7 -3.4 -3.3 -4.4 -2.3 -8.1 -6.9 6.0 0.4 -6.1 -9.1 -9.1 -5.0 -9.2 -7.7 -16.2 -12.9 -1.2 -2.3 -8.2 0.1 -3.8 -1.2 -2.4 -1.3 1.0 -2.3 -6.4 -1.0 -4.4 -20.0 -14.5 5.2 -7.4 10.2 -1.2 LUMBER-new 13.4 18.7 8.8 -5.4 -10.5 -7.4 -7.4 -8.2 -5.1 1.4 -3.5 14.9 -19.0 19.5 20.0 -9.0 -14.0 -12.5 -13.6 20.0 6.9 18.0 -7.1 20.0 NaN 7.7 5.3 2.9 10.2 -0.6 10.9 -20.0 20.0 20.0 20.0 20.0 -17.4 -20.0 -10.4 -18.9 MILK -20.0 -20.0 -17.5 -3.6 -7.0 -5.1 -4.9 -6.5 -3.4 -7.6 -17.7 -16.7 -17.6 -18.6 -19.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 10.8 -6.9 -2.5 -6.0 -5.6 -6.2 -7.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 11.1 16.3 -2.0 5.3 1.6 3.2 4.2 1.9 5.8 14.8 15.5 18.4 17.4 19.2 16.8 14.5 16.3 14.3 15.0 18.0 15.2 17.4 20.0 20.0 -20.0 5.7 2.7 4.9 5.6 7.1 6.5 20.0 0.8 -5.4 -6.3 -4.8 11.3 16.9 20.0 20.0 NASDAQ_micro 20.0 20.0 9.5 4.1 0.5 2.1 2.4 0.9 4.3 8.9 14.6 14.7 13.9 16.0 15.8 -11.5 -9.1 -10.7 -10.0 20.0 20.0 20.0 20.0 20.0 -20.0 5.3 0.6 4.2 3.2 4.2 5.3 -6.5 2.6 4.6 7.6 7.8 12.6 -6.3 13.1 -8.4 NIKKEI -0.4 8.5 -5.9 5.4 0.7 2.8 3.2 1.2 5.6 13.6 17.2 15.8 18.0 13.6 15.5 17.2 11.2 12.7 11.3 11.8 15.0 8.3 20.0 9.8 -13.6 4.8 2.0 6.5 4.2 9.8 4.5 20.0 13.7 -20.0 -20.0 -5.8 -10.9 -0.7 -9.7 3.8 NZD 15.0 20.0 14.4 4.6 1.4 2.8 3.7 1.6 5.1 13.0 3.0 16.0 1.5 17.0 15.5 0.3 0.2 0.1 0.1 20.0 9.5 19.6 -1.2 20.0 0.8 5.4 1.5 2.6 4.3 0.1 6.1 4.2 0.8 1.0 4.6 8.0 -7.3 -12.2 -4.1 5.9 OAT 20.0 20.0 18.4 2.7 1.0 0.8 2.5 -0.8 3.3 -1.9 5.6 7.5 -3.0 9.9 9.8 4.5 7.0 5.1 5.7 19.4 9.4 12.0 -1.2 20.0 8.1 3.4 -0.9 1.7 1.5 0.0 3.6 13.2 -10.3 4.7 7.1 8.8 -18.7 -20.0 0.6 6.6 OATIES 6.6 -2.8 -20.0 -1.6 -3.1 -2.3 -2.2 -2.9 -1.5 5.9 -5.6 2.7 -4.3 -0.1 -6.7 0.2 -7.5 -6.9 -9.8 -6.4 -6.9 4.1 -3.3 -1.0 -20.0 -2.3 1.2 -2.3 0.6 -1.1 -0.7 -12.7 5.9 -0.6 -10.9 -19.0 1.8 7.4 12.3 20.0 OJ -20.0 -20.0 -9.6 -2.8 -5.4 -3.9 -3.8 -5.0 -2.6 -13.1 9.6 -14.4 12.8 -11.4 0.3 6.3 20.0 15.0 18.8 -4.0 17.9 -20.0 20.0 -20.0 -20.0 0.7 -5.7 5.8 -7.3 9.0 -4.7 20.0 -20.0 -20.0 -7.2 20.0 9.9 11.7 20.0 20.0 PALLAD 20.0 18.7 12.8 1.2 -0.6 0.4 1.4 0.2 1.8 -6.7 -5.4 3.2 -7.9 3.7 0.3 -1.7 -2.3 -2.0 -2.2 0.9 -4.5 1.3 -9.0 4.9 5.9 -0.2 -0.9 -1.7 1.3 -2.2 1.6 6.1 -3.3 14.0 -4.5 -8.4 -4.4 -7.4 2.9 -1.6 PLAT 18.1 16.3 4.1 2.2 -1.1 0.8 2.5 0.3 3.2 9.2 -4.9 13.6 -5.9 14.2 9.2 -3.5 -2.9 -3.5 -3.3 10.5 1.8 18.5 -3.3 17.4 14.3 4.0 4.0 1.3 7.4 -0.1 6.7 4.7 13.5 18.4 4.8 4.0 -5.0 -9.8 14.8 -3.6 REDWHEAT 6.3 11.2 -13.3 -2.8 -5.5 -4.0 -3.9 -5.1 -2.7 9.7 -13.0 -3.1 -14.0 1.9 -8.2 -2.8 -1.3 -3.8 -3.1 -9.2 -16.1 0.7 -17.6 -2.9 -11.4 -4.6 -1.9 -6.4 -3.6 -6.0 -3.5 -0.4 -6.0 0.4 -7.1 -13.2 -20.0 -20.0 -20.0 -13.9 RICE -0.7 13.6 9.6 -4.5 -8.7 -6.3 -6.1 -8.2 -4.3 -15.1 19.0 9.9 14.7 17.9 17.2 -11.7 1.0 -13.2 -6.8 18.8 18.5 2.7 13.5 12.4 -20.0 6.0 -0.3 5.5 2.4 3.8 4.7 0.4 20.0 8.6 20.0 20.0 -3.0 -13.1 10.2 -2.9 ROBUSTA 13.8 16.8 -10.4 -2.2 -4.3 -3.1 -3.0 -4.0 -2.1 -1.7 10.5 7.5 10.6 10.0 10.6 20.0 20.0 20.0 20.0 17.5 12.5 12.0 10.2 19.2 -17.3 4.0 -0.1 2.8 2.6 2.4 4.4 20.0 10.2 20.0 20.0 20.0 -11.9 -14.8 -0.0 0.3 RUSSELL 20.0 20.0 5.6 3.4 0.4 1.7 2.0 0.8 3.5 4.9 4.1 11.3 -0.5 12.8 10.4 -6.1 -6.1 -6.3 -6.4 20.0 8.0 19.9 0.2 20.0 -2.0 3.7 0.3 1.5 3.1 0.3 4.8 -0.9 2.8 15.8 6.5 -3.5 -17.5 -15.8 -20.0 -19.0 SHATZ 20.0 20.0 20.0 2.1 0.8 0.6 1.9 -0.6 2.5 5.6 0.2 7.6 -5.4 7.9 6.9 -20.0 -20.0 -20.0 -20.0 12.3 4.5 12.5 -4.7 15.7 8.9 2.5 1.1 1.0 2.6 -0.6 3.2 -20.0 -0.6 1.6 -2.2 4.1 -13.4 -20.0 -6.2 -20.0 SILVER-mini -6.4 10.9 1.2 2.4 -1.2 0.9 2.6 0.4 3.4 -5.7 0.9 1.1 3.2 1.4 5.5 -6.9 -6.4 -6.9 -6.8 4.1 1.9 0.3 0.3 3.1 5.9 0.9 -1.2 0.8 1.0 0.7 1.0 -1.4 -2.2 -13.6 -1.0 -2.5 -19.7 -20.0 4.1 -16.1 SMI 15.1 20.0 -3.5 6.1 0.8 3.2 3.6 1.4 6.3 0.3 -1.4 8.7 3.0 18.4 15.7 11.1 3.8 7.5 5.0 17.5 3.0 5.8 -3.8 19.7 10.4 5.8 2.0 1.7 3.7 -0.9 7.0 17.0 -17.5 -3.0 -16.1 -8.1 0.5 -6.7 4.4 -5.5 SOFR 16.2 20.0 16.4 2.4 0.9 0.7 2.1 -0.7 2.9 5.0 1.4 8.1 -1.7 9.1 8.5 1.2 -0.3 0.7 0.1 12.7 4.9 10.0 -2.1 14.3 -1.5 2.8 1.1 1.0 2.5 -0.4 3.3 1.9 -1.6 -4.9 0.3 1.8 -20.0 -20.0 -6.6 -7.3 SOYBEAN -8.4 -5.1 -1.3 -4.1 -7.9 -5.7 -5.6 -7.4 -3.9 -16.1 7.8 -15.2 6.9 -15.2 -8.9 14.5 17.3 15.2 15.1 -5.9 -0.7 -15.2 0.8 -11.9 -20.0 -0.2 -13.5 2.7 -12.5 2.6 -6.8 20.0 -20.0 -15.7 3.9 9.6 -20.0 -20.0 -20.0 -19.4 SOYMEAL -18.0 -11.6 3.5 -2.9 -5.5 -4.0 -3.9 -5.2 -2.7 -6.8 -1.0 -9.4 3.1 -12.6 -3.7 9.4 16.6 13.5 14.8 -6.9 -0.2 -9.8 3.0 -12.6 -20.0 -1.5 -4.0 1.3 -5.0 2.8 -4.7 20.0 -9.9 -18.9 -7.8 10.8 -20.0 -20.0 -20.0 -19.8 SOYOIL -4.3 -0.6 -20.0 -2.2 -4.3 -3.1 -3.0 -4.0 -2.1 -9.4 -4.3 -10.3 -4.9 -8.9 -10.7 -2.5 8.1 2.3 5.4 -9.9 -9.9 -10.2 -6.7 -8.9 -20.0 -2.2 -3.6 -2.7 -3.9 -2.0 -2.3 15.1 -6.4 -7.8 3.4 -12.9 -11.3 -0.6 -0.3 9.9 SP400 20.0 20.0 3.0 3.6 0.5 1.8 2.1 0.8 3.7 6.9 5.9 12.6 3.3 13.8 11.6 -5.0 -5.0 -5.2 -5.2 20.0 9.3 18.5 2.2 20.0 -9.8 4.1 0.3 1.9 2.9 0.7 4.8 1.1 -0.5 11.8 5.8 -1.8 -15.4 -9.1 -20.0 -20.0 SP500_micro 20.0 20.0 6.1 5.1 0.7 2.6 3.0 1.1 5.3 13.5 14.7 18.4 14.4 20.0 19.4 -12.1 -10.1 -11.5 -11.1 20.0 20.0 20.0 15.3 20.0 -20.0 6.2 0.8 4.2 3.9 3.2 6.5 -8.3 1.4 6.0 10.6 3.5 5.0 -6.0 7.4 -8.8 SUGAR11 -20.0 -20.0 -20.0 -1.8 -3.5 -2.5 -2.5 -3.3 -1.7 -1.0 -1.9 -7.1 6.1 -8.4 -6.7 16.0 19.8 20.0 20.0 -13.7 -4.8 -8.5 3.4 -15.7 -19.2 -2.7 -0.3 -0.9 -1.5 1.0 -3.1 20.0 -1.7 -20.0 -20.0 -5.7 0.6 -9.8 13.0 5.8 US10 17.4 20.0 20.0 2.1 0.8 0.6 1.9 -0.6 2.5 0.1 -1.1 6.2 -3.9 7.6 6.9 -8.7 -7.2 -7.7 -7.7 9.2 1.8 7.0 -5.2 11.1 1.4 2.3 0.5 0.5 1.9 -1.1 2.8 -10.9 -4.0 -3.9 -0.1 -1.1 -20.0 -20.0 -10.5 4.6 US10U 19.2 20.0 17.5 2.8 1.0 0.9 2.5 -0.9 3.4 0.0 -1.2 8.6 -5.2 10.3 9.0 3.2 0.4 2.1 1.0 12.8 2.1 10.1 -7.5 15.8 -1.9 3.0 0.5 0.5 2.5 -1.5 3.8 3.2 -5.9 -4.2 0.4 -2.6 -20.0 -20.0 3.2 14.9 US2 12.8 20.0 20.0 1.9 0.7 0.6 1.7 -0.6 2.3 4.9 -3.2 6.7 -5.4 7.1 6.2 -20.0 -20.0 -20.0 -20.0 7.1 0.9 6.5 -6.3 8.9 7.9 2.3 1.1 0.7 2.2 -1.2 2.8 -20.0 -0.4 -5.1 -2.7 3.0 -16.2 -20.0 -10.5 -20.0 US20 20.0 20.0 15.5 2.1 0.8 0.6 1.9 -0.6 2.5 1.3 -0.2 6.7 -3.4 7.7 6.8 -0.7 -1.3 -0.7 -1.1 10.9 2.0 9.3 -5.4 13.7 -1.9 2.2 0.5 0.3 2.0 -1.0 2.9 -0.4 -3.7 0.8 3.3 -2.1 -17.8 -20.0 17.3 20.0 US30 20.0 20.0 16.4 2.4 0.9 0.7 2.2 -0.7 3.0 -1.9 -0.1 7.4 -4.4 8.8 7.7 -5.1 -4.2 -4.9 -4.8 11.4 1.9 8.3 -6.6 13.9 -1.5 2.5 0.3 0.4 1.9 -1.3 3.2 -5.7 -8.0 -1.6 1.8 -2.9 -10.5 -18.1 20.0 20.0 US5 15.2 20.0 20.0 2.0 0.7 0.6 1.8 -0.6 2.5 2.4 -1.4 6.5 -4.1 7.5 6.9 -8.1 -10.1 -9.4 -10.4 8.8 2.1 7.0 -4.7 10.4 3.3 2.4 0.8 0.7 2.0 -0.9 2.8 -15.8 -2.9 -4.8 -1.2 1.0 -20.0 -20.0 -20.0 -12.4 VIX 2.2 -16.4 1.8 -5.0 -3.2 -6.7 -1.8 -9.3 -2.9 -16.8 -20.0 -5.7 -20.0 -15.6 -18.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -9.5 -20.0 -14.6 NaN -6.0 -2.4 -7.6 -2.0 -10.4 -3.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 7.7 12.7 -1.7 -3.6 -6.9 -5.0 -4.9 -6.5 -3.4 5.9 -15.1 8.7 -17.8 11.6 1.9 -9.5 -10.3 -10.7 -10.9 -2.1 -12.8 7.6 -20.0 5.0 -3.4 -1.9 -2.1 -5.3 -2.8 -8.2 -1.2 -15.0 0.1 9.4 0.4 0.9 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3