******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240102_204000 produced at 2024-01-02 21:36:47.771909 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.09 -47.04 17.0 -16 -16 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.09 0.0 0.11 -0.11 -0.05 -0.05 -10.42 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 -2.15 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 -5.48 5.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.17 -0.17 -0.02 -0.02 -18.73 51.0 -6 -6 caleb_strategy_v3 LIVECOW False False 0.02 0.00 -0.05 0.0 0.42 -0.42 0.00 0.00 -2.15 17.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.07 24.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.04 0.0 0.33 -0.33 -0.04 -0.04 -0.90 8.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.15 -0.15 -0.06 -0.06 -2.88 11.0 -4 -4 caleb_strategy_v3 GOLD_micro False False 0.01 -0.12 -0.03 0.0 0.41 -0.41 -0.12 -0.12 -3.89 56.0 -17 -17 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.04 -0.03 0.0 0.05 -0.05 -0.04 -0.03 -14.70 26.0 -19 -15 caleb_strategy_v3 US5 False False 0.04 0.00 -0.03 0.0 0.95 -0.95 0.00 0.00 -0.67 25.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.76 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 -1.04 7.0 -2 -2 caleb_strategy_v3 LEANHOG False False 0.01 -0.01 -0.02 0.0 0.13 -0.13 -0.01 -0.01 -2.43 13.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -1.84 8.0 -3 -3 caleb_strategy_v3 WHEAT False False 0.01 -0.05 -0.02 0.0 0.10 -0.10 -0.05 -0.05 -1.89 9.0 -4 -4 caleb_strategy_v3 CHF False False 0.05 -0.21 -0.01 0.0 0.68 -0.68 -0.21 -0.21 -0.10 13.0 -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 -0.50 0.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.03 -0.01 0.0 0.12 -0.12 -0.03 -0.03 -1.12 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 -1.08 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 -0.27 4.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.10 -0.01 0.0 0.20 -0.20 0.10 0.10 -0.07 2.0 1 1 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.01 0.0 0.15 -0.15 -0.01 -0.01 -1.44 18.0 -1 -1 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -0.92 3.0 0 0 caleb_strategy_v3 US10 False False 0.04 -0.36 -0.01 0.0 0.67 -0.67 -0.36 -0.36 -0.20 17.0 -9 -9 caleb_strategy_v3 BUXL False False 0.05 0.11 0.00 0.0 0.22 -0.22 0.11 0.11 0.09 4.0 2 2 caleb_strategy_v3 RUSSELL False False 0.00 0.01 -0.00 0.0 0.24 -0.24 0.01 0.00 -0.23 68.0 2 1 caleb_strategy_v3 OJ False False 0.02 0.00 -0.00 0.0 0.05 -0.05 0.00 0.00 -0.05 3.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 -0.00 0.0 0.11 -0.11 0.00 0.00 -0.12 3.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.14 0.00 0.0 0.68 -0.68 0.14 0.14 0.09 14.0 3 3 caleb_strategy_v3 COFFEE False False 0.02 0.02 0.00 0.0 0.15 -0.15 0.02 0.02 0.00 6.0 1 1 caleb_strategy_v3 US30 False False 0.05 0.23 0.00 0.0 0.28 -0.28 0.23 0.23 0.10 6.0 5 5 caleb_strategy_v3 BOBL False False 0.05 0.00 0.00 0.0 0.88 -0.88 0.00 0.00 0.00 19.0 0 0 caleb_strategy_v3 JPY False False 0.03 0.03 0.01 0.0 0.53 -0.53 0.03 0.03 0.22 17.0 1 1 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.01 0.0 0.08 -0.08 0.00 0.00 0.14 2.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.00 0.01 0.0 0.39 -0.39 0.00 0.00 0.22 9.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.01 0.0 0.10 -0.10 0.00 0.00 0.39 4.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.17 0.01 0.0 0.20 -0.20 0.17 0.17 0.33 6.0 5 5 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.01 0.0 0.40 -0.40 0.00 0.00 1.61 48.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.03 0.01 0.0 0.61 -0.61 0.03 0.03 0.52 22.0 1 1 caleb_strategy_v3 RICE False False 0.01 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 1.13 4.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.01 0.0 0.54 -0.54 0.00 0.00 0.20 13.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.01 0.0 0.23 -0.23 0.00 0.00 0.78 23.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.09 0.02 0.0 0.27 -0.27 0.09 0.11 1.61 23.0 8 9 caleb_strategy_v3 BUND False False 0.05 0.00 0.02 0.0 0.53 -0.53 0.00 0.00 0.35 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 1.13 19.0 2 2 caleb_strategy_v3 CAD False False 0.03 0.05 0.03 0.0 0.77 -0.77 0.05 0.05 0.97 29.0 2 2 caleb_strategy_v3 DOW False False 0.01 0.00 0.04 0.0 0.44 -0.44 0.00 0.01 5.36 66.0 0 1 caleb_strategy_v3 PLAT False False 0.02 0.02 0.04 0.0 0.17 -0.17 0.02 0.02 2.31 10.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.04 0.0 0.12 -0.12 0.02 0.02 1.56 5.0 1 1 caleb_strategy_v3 NZD False False 0.02 0.07 0.05 0.0 0.46 -0.46 0.07 0.07 2.23 21.0 3 3 caleb_strategy_v3 COCOA False False 0.01 0.09 0.05 0.0 0.39 -0.39 0.09 0.09 3.30 26.0 6 6 caleb_strategy_v3 BITCOIN False False 0.00 0.08 0.06 0.0 0.09 -0.09 0.08 0.08 40.36 59.0 49 49 caleb_strategy_v3 BTP False False 0.05 0.09 0.06 0.0 0.46 -0.46 0.09 0.09 1.21 10.0 2 2 caleb_strategy_v3 CAC False True 0.03 0.00 0.07 0.0 0.00 0.00 0.00 0.00 2.39 12.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.41 0.07 0.0 0.41 -0.41 0.41 0.41 1.59 9.0 9 9 caleb_strategy_v3 OAT False False 0.05 0.00 0.10 0.0 0.51 -0.51 0.00 0.00 2.00 10.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.32 0.10 0.0 0.35 -0.35 0.32 0.33 5.65 20.0 18 19 caleb_strategy_v3 NIKKEI False False 0.01 0.12 0.12 0.0 0.30 -0.30 0.12 0.12 14.43 36.0 14 14 caleb_strategy_v3 DAX False False 0.01 0.00 0.15 0.0 0.38 -0.38 0.00 0.00 22.28 58.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 0.15 0.0 0.00 0.00 0.00 0.00 1.73 11.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.45 0.46 0.0 0.61 -0.61 0.45 0.45 45.68 60.0 44 44 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.33 0.59 0.0 0.58 -0.58 0.33 0.33 16.35 16.0 9 9 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.38 1.15 0.0 0.95 -0.95 0.38 0.19 12.16 10.0 4 2 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.8 Shocked risk 60.9 Sum abs risk 48.9 Leverage 4.61 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2846912.18, 'annual_cash_vol_target': 711728.045, 'daily_cash_vol_target': 44483.0028125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6776 0.6554 10.4870 BITCOIN 1108.6534 45555.0000 2.4337 38.9385 BOBL 0.2715 118.9900 0.2282 3.6512 BTP 0.6963 119.0600 0.5849 9.3577 BUND 0.5895 136.7100 0.4312 6.8999 BUXL 1.4987 140.1200 1.0696 17.1132 CAC 45.2140 7532.0000 0.6003 9.6047 CAD 0.0030 0.7510 0.3945 6.3125 CANOLA 7.6480 643.1000 1.1892 19.0278 CHF 0.0054 1.1865 0.4524 7.2380 COCOA 40.8153 4244.0000 0.9617 15.3875 COFFEE 4.4918 188.6000 2.3817 38.1066 COPPER 0.0422 3.8675 1.0908 17.4528 CORN 4.1526 498.5000 0.8330 13.3283 COTTON2 0.9871 79.9000 1.2354 19.7669 CRUDE_W 1.1287 69.6100 1.6215 25.9444 DAX 98.7509 16913.0000 0.5839 9.3420 DOW 207.1889 37858.0000 0.5473 8.7565 DX 0.4516 101.8850 0.4433 7.0926 EUR 0.0056 1.0981 0.5088 8.1405 EURIBOR-ICE 0.0520 98.0450 0.0530 0.8478 EUROSTX 29.6172 4527.0000 0.6542 10.4678 FEEDCOW 2.3238 232.0500 1.0014 16.0230 GASOIL 13.0430 731.5000 1.7831 28.5288 GASOLINE 0.0403 2.3140 1.7415 27.8637 GAS_US_mini 0.0908 2.3750 3.8228 61.1656 GBP 0.0071 1.2629 0.5625 8.9993 GOLD_micro 15.7363 2070.0000 0.7602 12.1634 HEATOIL 0.0428 2.4519 1.7449 27.9184 JGB-SGX-mini 0.3175 146.5400 0.2167 3.4665 JPY 0.0000 0.0071 0.6731 10.7692 LEANHOG 1.1648 72.7250 1.6016 25.6261 LIVECOW 1.5447 174.3250 0.8861 14.1777 LUMBER-new 7.0773 576.5000 1.2276 19.6420 MILK 0.1737 16.3100 1.0651 17.0421 MXP 0.0004 0.0580 0.6530 10.4478 NASDAQ_micro 117.4458 16636.0000 0.7060 11.2956 NIKKEI 263.8334 33450.0000 0.7887 12.6198 NZD 0.0038 0.6254 0.6024 9.6377 OAT 0.6078 131.1000 0.4636 7.4176 OATIES 7.8636 373.5000 2.1054 33.6861 OJ 5.9809 322.5500 1.8542 29.6679 PALLAD 31.6296 1077.0000 2.9368 46.9892 PLAT 14.4744 995.1000 1.4546 23.2731 REDWHEAT 11.1913 633.5000 1.7666 28.2654 RICE 0.1449 17.6850 0.8193 13.1083 ROBUSTA 52.4637 2812.0000 1.8657 29.8513 RUSSELL 23.7550 2025.9000 1.1726 18.7610 SHATZ 0.0900 106.4200 0.0846 1.3535 SILVER-mini 0.3612 24.2000 1.4926 23.8817 SMI 62.1454 11081.0000 0.5608 8.9733 SOFR 0.0731 96.7850 0.0755 1.2082 SOYBEAN 10.4009 1222.5000 0.8508 13.6127 SOYMEAL 4.9048 378.3000 1.2965 20.7444 SOYOIL 0.7325 48.5400 1.5091 24.1459 SP400 26.1582 2785.8000 0.9390 15.0238 SP500_micro 28.4441 4767.0000 0.5967 9.5470 SUGAR11 0.4675 20.5600 2.2736 36.3784 US10 0.4788 112.3125 0.4263 6.8205 US10U 0.6517 117.2188 0.5560 8.8952 US2 0.1358 102.7930 0.1321 2.1135 US20 0.9806 123.8438 0.7918 12.6689 US30 1.4540 132.1562 1.1002 17.6039 US5 0.3136 108.3438 0.2894 4.6311 VIX 0.4668 16.3500 2.8553 45.6840 WHEAT 9.2889 653.0000 1.4225 22.7600 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 677.55 0.66 444.09 1.00 444.09 44483.0 100.17 4.33 43.41 BITCOIN 45.56 2.43 110.87 1.00 110.87 44483.0 401.23 9.29 372.75 BOBL 1189.90 0.23 271.53 1.11 300.65 44483.0 147.95 0.02 0.33 BTP 1190.60 0.58 696.33 1.11 771.01 44483.0 57.69 6.13 35.39 BUND 1367.10 0.43 589.55 1.11 652.78 44483.0 68.14 5.08 34.61 BUXL 1401.20 1.07 1498.69 1.11 1659.42 44483.0 26.81 3.26 8.73 CAC 753.20 0.60 452.14 1.11 500.63 44483.0 88.85 7.89 70.12 CAD 751.00 0.39 296.29 1.00 296.29 44483.0 150.13 2.48 37.28 CANOLA 128.62 1.19 152.96 0.76 115.58 44483.0 384.86 -20.00 -769.73 CHF 1483.12 0.45 670.92 1.00 670.92 44483.0 66.30 -0.61 -4.03 COCOA 424.40 0.96 408.15 1.00 408.15 44483.0 108.99 14.15 154.23 COFFEE 707.25 2.38 1684.43 1.00 1684.43 44483.0 26.41 0.05 0.13 COPPER 966.88 1.09 1054.66 1.00 1054.66 44483.0 42.18 0.71 3.01 CORN 249.25 0.83 207.63 1.00 207.63 44483.0 214.24 -20.00 -428.48 COTTON2 399.50 1.24 493.55 1.00 493.55 44483.0 90.13 -14.94 -134.65 CRUDE_W 696.10 1.62 1128.75 1.00 1128.75 44483.0 39.41 3.66 14.43 DAX 169.13 0.58 98.75 1.11 109.79 44483.0 405.18 16.12 653.20 DOW 189.29 0.55 103.59 1.00 103.59 44483.0 429.40 5.37 230.68 DX 1018.85 0.44 451.64 1.00 451.64 44483.0 98.49 -8.41 -82.86 EUR 1372.62 0.51 698.36 1.00 698.36 44483.0 63.70 0.52 3.34 EURIBOR-ICE 2451.12 0.05 129.88 1.11 143.81 44483.0 309.32 11.52 356.41 EUROSTX 452.70 0.65 296.17 1.11 327.94 44483.0 135.65 12.21 165.66 FEEDCOW 1160.25 1.00 1161.92 1.00 1161.92 44483.0 38.28 -7.07 -27.05 GASOIL 731.50 1.78 1304.30 1.00 1304.30 44483.0 34.10 2.62 8.93 GASOLINE 971.88 1.74 1692.51 1.00 1692.51 44483.0 26.28 -2.37 -6.22 GAS_US_mini 59.38 3.82 226.98 1.00 226.98 44483.0 195.98 -6.93 -135.79 GBP 789.31 0.56 443.95 1.00 443.95 44483.0 100.20 2.00 20.03 GOLD_micro 207.00 0.76 157.36 1.00 157.36 44483.0 282.68 -4.04 -114.09 HEATOIL 1029.80 1.74 1796.89 1.00 1796.89 44483.0 24.76 -1.16 -2.88 JGB-SGX-mini 146540.00 0.22 31748.86 0.01 224.82 44483.0 197.86 7.63 150.96 JPY 891.31 0.67 599.92 1.00 599.92 44483.0 74.15 1.15 8.51 LEANHOG 290.90 1.60 465.91 1.00 465.91 44483.0 95.47 -4.18 -39.92 LIVECOW 697.30 0.89 617.88 1.00 617.88 44483.0 71.99 -9.02 -64.93 LUMBER-new 158.54 1.23 194.62 1.00 194.62 44483.0 228.56 -1.88 -42.93 MILK 326.20 1.07 347.45 1.00 347.45 44483.0 128.03 -20.00 -256.06 MXP 289.80 0.65 189.24 1.00 189.24 44483.0 235.07 13.24 311.20 NASDAQ_micro 332.72 0.71 234.89 1.00 234.89 44483.0 189.38 3.66 69.36 NIKKEI 33450.00 0.79 26383.34 0.01 187.05 44483.0 237.82 5.61 133.30 NZD 625.35 0.60 376.68 1.00 376.68 44483.0 118.09 7.28 85.94 OAT 1311.00 0.46 607.78 1.11 672.96 44483.0 66.10 8.88 58.70 OATIES 186.75 2.11 393.18 1.00 393.18 44483.0 113.14 -10.02 -113.40 OJ 483.82 1.85 897.13 1.00 897.13 44483.0 49.58 -0.45 -2.24 PALLAD 1077.00 2.94 3162.96 1.00 3162.96 44483.0 14.06 2.96 4.16 PLAT 497.55 1.45 723.72 1.00 723.72 44483.0 61.46 11.00 67.61 REDWHEAT 316.75 1.77 559.57 1.00 559.57 44483.0 79.50 -17.40 -138.33 RICE 353.70 0.82 289.77 1.00 289.77 44483.0 153.51 3.02 46.32 ROBUSTA 281.20 1.87 524.64 1.00 524.64 44483.0 84.79 7.92 67.17 RUSSELL 101.30 1.17 118.77 1.00 118.77 44483.0 374.52 -0.18 -6.84 SHATZ 1064.20 0.08 90.02 1.11 99.68 44483.0 446.26 -2.37 -105.82 SILVER-mini 605.00 1.49 903.03 1.00 903.03 44483.0 49.26 -3.00 -14.76 SMI 1108.10 0.56 621.45 1.19 739.78 44483.0 60.13 7.75 46.60 SOFR 2419.62 0.08 182.70 1.00 182.70 44483.0 243.47 1.17 28.51 SOYBEAN 611.25 0.85 520.05 1.00 520.05 44483.0 85.54 -13.13 -112.29 SOYMEAL 378.30 1.30 490.48 1.00 490.48 44483.0 90.69 -13.26 -120.30 SOYOIL 291.24 1.51 439.52 1.00 439.52 44483.0 101.21 -11.41 -115.48 SP400 2785.80 0.94 2615.82 1.00 2615.82 44483.0 17.01 -1.17 -1.98 SP500_micro 238.35 0.60 142.22 1.00 142.22 44483.0 312.77 2.21 69.19 SUGAR11 230.27 2.27 523.56 1.00 523.56 44483.0 84.96 -7.99 -67.93 US10 1123.12 0.43 478.77 1.00 478.77 44483.0 92.91 -1.69 -15.68 US10U 1172.19 0.56 651.68 1.00 651.68 44483.0 68.26 2.33 15.90 US2 2055.86 0.13 271.57 1.00 271.57 44483.0 163.80 -4.61 -75.58 US20 1238.44 0.79 980.60 1.00 980.60 44483.0 45.36 3.85 17.48 US30 1321.56 1.10 1454.04 1.00 1454.04 44483.0 30.59 2.54 7.77 US5 1083.44 0.29 313.59 1.00 313.59 44483.0 141.85 -3.74 -53.01 VIX 163.50 2.86 466.83 1.00 466.83 44483.0 95.29 -20.00 -190.57 WHEAT 326.50 1.42 464.45 1.00 464.45 44483.0 95.78 -14.84 -142.13 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 43.407 0.010 2.5 1.126 BITCOIN 372.746 0.043 2.5 40.364 BOBL 0.331 0.004 2.5 0.003 BTP 35.393 0.014 2.5 1.207 BUND 34.605 0.004 2.5 0.351 BUXL 8.732 0.004 2.5 0.089 CAC 70.117 0.014 2.5 2.392 CAD 37.283 0.010 2.5 0.967 CANOLA -769.728 0.010 2.5 -18.727 CHF -4.026 0.010 2.5 -0.104 COCOA 154.228 0.009 2.5 3.303 COFFEE 0.125 0.005 2.5 0.001 COPPER 3.009 0.043 2.5 0.326 CORN -428.484 0.010 2.5 -10.425 COTTON2 -134.648 0.009 2.5 -2.884 CRUDE_W 14.429 0.043 2.5 1.563 DAX 653.204 0.014 2.5 22.280 DOW 230.682 0.009 2.5 5.361 DX -82.859 0.010 2.5 -2.150 EUR 3.343 0.010 2.5 0.087 EURIBOR-ICE 356.406 0.014 2.5 12.157 EUROSTX 165.659 0.014 2.5 5.650 FEEDCOW -27.049 0.013 2.5 -0.896 GASOIL 8.929 0.017 2.5 0.387 GASOLINE -6.225 0.017 2.5 -0.270 GAS_US_mini -135.786 0.043 2.5 -14.704 GBP 20.025 0.010 2.5 0.520 GOLD_micro -114.086 0.014 2.5 -3.891 HEATOIL -2.883 0.017 2.5 -0.125 JGB-SGX-mini 150.962 0.043 2.5 16.348 JPY 8.512 0.010 2.5 0.221 LEANHOG -39.922 0.024 2.5 -2.426 LIVECOW -64.929 0.013 2.5 -2.152 LUMBER-new -42.927 0.009 2.5 -0.917 MILK -256.057 0.009 2.5 -5.484 MXP 311.199 0.059 2.5 45.676 NASDAQ_micro 69.365 0.009 2.5 1.612 NIKKEI 133.298 0.043 2.5 14.435 NZD 85.937 0.010 2.5 2.230 OAT 58.702 0.014 2.5 2.002 OATIES -113.403 0.010 2.5 -2.759 OJ -2.238 0.009 2.5 -0.048 PALLAD 4.157 0.014 2.5 0.142 PLAT 67.612 0.014 2.5 2.306 REDWHEAT -138.333 0.005 2.5 -1.835 RICE 46.318 0.010 2.5 1.127 ROBUSTA 67.171 0.005 2.5 0.784 RUSSELL -6.835 0.013 2.5 -0.227 SHATZ -105.816 0.004 2.5 -1.073 SILVER-mini -14.763 0.014 2.5 -0.504 SMI 46.597 0.014 2.5 1.589 SOFR 28.506 0.024 2.5 1.732 SOYBEAN -112.290 0.004 2.5 -1.044 SOYMEAL -120.301 0.004 2.5 -1.119 SOYOIL -115.481 0.004 2.5 -1.075 SP400 -1.985 0.013 2.5 -0.066 SP500_micro 69.191 0.009 2.5 1.608 SUGAR11 -67.927 0.009 2.5 -1.445 US10 -15.676 0.005 2.5 -0.199 US10U 15.901 0.005 2.5 0.201 US2 -75.579 0.005 2.5 -0.958 US20 17.477 0.005 2.5 0.221 US30 7.767 0.005 2.5 0.098 US5 -53.010 0.005 2.5 -0.672 VIX -190.573 0.099 2.5 -47.042 WHEAT -142.133 0.005 2.5 -1.885 ===================== Position diags ===================== AUD 2.60 BITCOIN 43.45 BOBL 1.50 BTP 1.97 BUND 0.69 BUXL 0.27 CAC 3.03 CAD 3.90 CANOLA 9.36 CHF 1.72 COCOA 2.33 COFFEE 0.31 COPPER 4.57 CORN 5.21 COTTON2 1.93 CRUDE_W 4.27 DAX 13.82 DOW 9.98 DX 2.56 EUR 1.65 EURIBOR-ICE 10.55 EUROSTX 4.63 FEEDCOW 1.27 GASOIL 1.48 GASOLINE 1.14 GAS_US_mini 21.22 GBP 2.60 GOLD_micro 9.64 HEATOIL 1.07 JGB-SGX-mini 21.43 JPY 1.92 LEANHOG 5.80 LIVECOW 2.39 LUMBER-new 4.88 MILK 2.74 MXP 34.50 NASDAQ_micro 4.40 NIKKEI 25.75 NZD 3.06 OAT 2.25 OATIES 2.75 OJ 1.06 PALLAD 0.48 PLAT 2.10 REDWHEAT 1.05 RICE 3.73 ROBUSTA 0.99 RUSSELL 12.41 SHATZ 4.53 SILVER-mini 1.68 SMI 2.05 SOFR 14.80 SOYBEAN 0.80 SOYMEAL 0.84 SOYOIL 0.94 SP400 0.56 SP500_micro 7.27 SUGAR11 1.81 US10 1.18 US10U 0.86 US2 2.08 US20 0.57 US30 0.39 US5 1.80 VIX 23.52 WHEAT 1.27 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.1 0.9 1.4 2.0 2 BITCOIN 40.4 36.0 44.7 49.0 49 BOBL 0.0 -0.1 0.2 0.0 0 BTP 1.2 1.0 1.4 2.0 2 BUND 0.4 0.3 0.4 0.0 0 BUXL 0.1 0.1 0.1 2.0 2 CAC 2.4 2.1 2.7 0.0 0 CAD 1.0 0.6 1.4 2.0 2 CANOLA -18.7 -19.7 -17.8 -6.0 -6 CHF -0.1 -0.3 0.1 -4.0 -4 COCOA 3.3 3.1 3.5 6.0 6 COFFEE 0.0 -0.0 0.0 1.0 1 COPPER 0.3 -0.1 0.8 5.0 5 CORN -10.4 -10.9 -9.9 -6.0 -6 COTTON2 -2.9 -3.1 -2.7 -4.0 -4 CRUDE_W 1.6 1.1 2.0 1.0 1 DAX 22.3 20.9 23.7 0.0 0 DOW 5.4 4.4 6.4 0.0 0 DX -2.1 -2.4 -1.9 NaN 0 EUR 0.1 -0.1 0.3 3.0 3 EURIBOR-ICE 12.2 11.1 13.2 4.0 4 EUROSTX 5.7 5.2 6.1 18.0 18 FEEDCOW -0.9 -1.0 -0.8 -1.0 -1 GASOIL 0.4 0.2 0.5 0.0 0 GASOLINE -0.3 -0.4 -0.2 0.0 0 GAS_US_mini -14.7 -16.8 -12.6 -19.0 -19 GBP 0.5 0.3 0.8 1.0 1 GOLD_micro -3.9 -4.9 -2.9 -17.0 -17 HEATOIL -0.1 -0.2 -0.0 0.0 0 JGB-SGX-mini 16.3 14.2 18.5 9.0 9 JPY 0.2 0.0 0.4 1.0 1 LEANHOG -2.4 -3.0 -1.8 -1.0 -1 LIVECOW -2.2 -2.4 -1.9 0.0 0 LUMBER-new -0.9 -1.4 -0.4 NaN 0 MILK -5.5 -5.8 -5.2 NaN 0 MXP 45.7 42.2 49.1 44.0 44 NASDAQ_micro 1.6 1.2 2.1 8.0 8 NIKKEI 14.4 11.9 17.0 14.0 14 NZD 2.2 1.9 2.5 3.0 3 OAT 2.0 1.8 2.2 0.0 0 OATIES -2.8 -3.0 -2.5 NaN 0 OJ -0.0 -0.2 0.1 NaN 0 PALLAD 0.1 0.1 0.2 0.0 0 PLAT 2.3 2.1 2.5 1.0 1 REDWHEAT -1.8 -1.9 -1.7 -3.0 -3 RICE 1.1 0.8 1.5 NaN 0 ROBUSTA 0.8 0.7 0.9 0.0 0 RUSSELL -0.2 -1.5 1.0 2.0 2 SHATZ -1.1 -1.5 -0.6 NaN 0 SILVER-mini -0.5 -0.7 -0.3 NaN 0 SMI 1.6 1.4 1.8 9.0 9 SOFR 1.7 0.3 3.2 NaN 0 SOYBEAN -1.0 -1.1 -1.0 -2.0 -2 SOYMEAL -1.1 -1.2 -1.0 -2.0 -2 SOYOIL -1.1 -1.2 -1.0 -3.0 -3 SP400 -0.1 -0.1 -0.0 1.0 1 SP500_micro 1.6 0.9 2.3 0.0 0 SUGAR11 -1.4 -1.6 -1.3 -1.0 -1 US10 -0.2 -0.3 -0.1 -9.0 -9 US10U 0.2 0.1 0.3 0.0 0 US2 -1.0 -1.2 -0.8 NaN 0 US20 0.2 0.2 0.3 0.0 0 US30 0.1 0.1 0.1 5.0 5 US5 -0.7 -0.9 -0.5 0.0 0 VIX -47.0 -49.4 -44.7 -16.0 -16 WHEAT -1.9 -2.0 -1.8 -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 0.0 -0.0 0.0 0.1 -0.2 0.2 0.1 -0.0 -0.1 -0.1 -0.1 0.2 0.1 0.1 -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 -0.0 0.4 0.6 0.0 -0.0 0.0 0.0 0.0 0.0 0.1 0.5 0.1 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.2 0.1 -0.1 0.2 0.4 0.6 0.6 -0.2 0.4 0.1 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 -0.2 -0.3 -0.2 0.2 0.1 0.1 -0.0 0.2 1.1 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.8 -0.2 -0.1 0.0 0.2 -0.6 -0.7 -0.1 -0.6 BTP 0.5 0.6 0.5 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 0.2 0.1 0.1 0.1 0.2 -1.1 0.0 -0.0 0.1 0.0 0.0 0.1 0.7 -0.4 -0.1 0.2 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 -0.1 0.1 0.0 -0.1 0.1 0.1 0.1 0.1 0.0 0.0 0.2 0.1 0.0 -0.1 0.2 0.7 0.0 -0.0 0.0 0.0 -0.0 0.0 0.4 -0.3 -0.1 0.1 0.2 -0.6 -0.7 -0.2 -0.2 BUXL 0.5 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 0.0 -0.2 0.1 0.1 0.0 0.0 0.0 0.0 0.2 0.1 0.0 -0.1 0.2 0.1 0.0 -0.0 0.0 0.0 -0.0 0.0 0.2 -0.5 -0.0 0.2 0.2 -0.7 -0.7 -0.2 0.3 CAC 0.3 0.6 0.0 0.1 0.0 0.1 0.0 0.1 0.1 -0.2 0.4 0.1 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.1 0.2 0.2 0.0 0.4 0.2 -1.1 0.1 -0.0 0.1 0.0 0.1 0.1 0.0 -0.3 -0.1 -0.1 -0.0 0.3 0.3 0.7 0.5 CAD 0.6 0.6 0.1 0.1 0.0 0.1 0.0 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 0.1 -0.1 0.2 0.3 0.1 0.0 0.0 0.1 -0.1 0.1 0.0 -0.1 0.4 -0.0 -0.2 -0.7 -0.6 0.0 -0.5 CANOLA -0.3 -0.4 -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 -0.1 -0.5 -0.5 -0.6 -0.5 -0.4 -0.2 0.0 CHF 0.6 0.6 0.2 0.1 0.0 0.1 0.0 0.1 0.1 0.1 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 0.6 -0.1 -0.7 -0.7 -0.7 -0.7 COCOA 0.0 0.4 0.6 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 0.1 0.5 0.2 0.7 0.2 0.2 0.2 0.0 0.2 0.1 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.3 0.0 0.4 0.1 0.4 0.1 0.6 0.6 0.6 0.6 0.0 0.7 0.7 COFFEE 0.2 0.5 0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.1 0.0 -0.1 0.1 0.1 0.2 0.1 0.2 0.1 0.1 0.1 0.0 0.0 0.1 -2.1 0.0 -0.0 0.1 0.0 0.0 0.0 0.6 -0.2 0.4 0.6 0.6 -0.7 -0.7 -0.5 -0.4 COPPER 0.2 0.6 0.2 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.0 0.1 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.1 0.1 -1.0 0.1 -0.0 0.1 0.0 -0.0 0.1 0.1 0.0 0.2 0.4 0.1 -0.2 -0.3 0.2 -0.3 CORN -0.2 -0.0 -0.2 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.2 -0.0 -0.2 -0.1 -0.1 -0.2 -0.2 -0.5 -0.1 -2.7 -0.1 -0.1 -0.2 -0.2 -0.3 -0.1 -0.2 -0.1 -0.6 -0.3 0.2 -0.2 -0.4 0.1 0.1 COTTON2 0.1 -0.2 -0.5 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.0 -0.3 -0.1 -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 0.5 0.5 -0.2 -0.4 -0.6 -0.5 -0.2 0.0 CRUDE_W 0.0 -0.4 -0.2 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.2 0.1 -0.1 0.2 -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 -0.3 -0.1 0.0 0.3 0.5 0.7 0.5 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 -0.5 -0.2 0.4 0.2 0.2 0.2 0.6 0.5 DOW 0.6 0.6 0.5 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 -1.7 0.1 0.0 0.1 0.0 0.1 0.1 -0.4 -0.1 0.4 0.6 0.3 -0.3 -0.1 -0.3 -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 -0.2 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.0 -0.0 0.0 -0.1 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.8 -0.3 -0.6 -0.6 -0.4 0.5 0.1 0.6 0.4 EUR 0.3 0.5 0.2 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 -0.0 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.0 0.1 1.3 0.0 0.0 0.0 0.0 -0.0 0.1 -0.4 -0.1 -0.1 -0.2 -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 0.1 0.1 0.2 2.2 0.0 0.0 0.0 0.0 0.0 0.0 -0.4 -0.0 0.1 0.2 0.5 -0.7 -0.7 0.2 0.7 EUROSTX 0.1 0.6 0.2 0.1 0.0 0.1 0.0 0.1 0.1 -0.2 0.4 -0.0 0.7 0.2 0.2 0.2 -0.0 0.0 -0.0 0.2 0.2 -0.0 0.5 0.2 0.4 0.1 -0.0 0.1 0.0 0.1 0.1 0.4 -0.4 -0.5 -0.1 0.2 0.1 0.2 0.3 0.5 FEEDCOW 0.5 -0.5 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.1 -0.0 -0.0 -0.1 -0.4 -0.4 -0.3 -0.4 -0.1 -0.1 0.1 -0.1 -0.0 -0.2 -0.0 -0.0 -0.1 0.0 0.0 -0.0 -1.1 0.2 0.3 -0.4 -0.6 0.4 0.1 0.7 0.4 GASOIL 0.1 -0.5 -0.4 -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 0.4 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 0.6 0.1 0.1 0.1 0.2 -0.3 -0.1 -0.6 -0.3 GASOLINE 0.2 -0.2 -0.6 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.2 -0.0 0.0 0.2 0.0 -0.1 -0.4 0.3 -0.4 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 0.1 -0.6 0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.3 0.0 -0.5 -0.1 -0.1 0.4 -0.4 -0.2 -0.4 -0.2 -0.2 -0.0 -0.5 -0.1 2.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.1 0.5 0.1 -0.4 -0.1 -0.6 0.1 -0.7 0.0 GBP 0.1 0.5 0.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 -0.0 0.0 0.3 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.0 0.1 0.1 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.2 -0.2 -0.4 -0.1 -0.3 -0.4 0.0 -0.3 0.5 GOLD_micro 0.2 0.4 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 -0.3 -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 -0.5 -0.5 -0.0 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 0.1 -0.1 0.2 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 -0.0 -0.1 0.2 -0.1 -2.6 -0.0 -0.0 -0.0 -0.1 0.2 -0.0 0.9 0.1 0.2 0.2 0.1 0.5 0.0 0.4 -0.2 JGB-SGX-mini 0.4 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 0.0 0.0 0.1 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 1.1 -0.1 -0.3 -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 0.0 -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 -0.0 -0.2 -0.3 -0.7 -0.1 -0.7 LEANHOG 0.0 -0.3 -0.3 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.4 -0.1 -0.1 -0.4 0.1 -0.4 -0.1 -0.1 -0.1 -0.2 -0.4 -0.1 2.0 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 0.4 0.0 0.1 -0.1 -0.0 -0.3 -0.3 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 -0.4 0.0 -0.1 -0.6 -0.5 0.2 -0.2 0.4 -0.0 LUMBER-new 0.5 0.7 0.4 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -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 0.0 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 -0.5 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.2 -0.5 -0.2 1.5 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -1.1 -0.0 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.4 0.5 -0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.0 0.4 0.2 0.6 0.2 0.2 0.3 0.3 0.3 0.3 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.1 0.1 0.3 0.1 1.1 0.0 -0.1 -0.3 -0.2 0.4 0.6 0.7 0.7 NASDAQ_micro 0.6 0.6 0.4 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 0.4 0.1 0.5 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 0.0 0.1 0.0 0.2 0.1 -0.3 -0.2 0.3 0.2 0.2 0.4 -0.2 0.5 -0.3 NIKKEI 0.0 0.3 -0.2 0.1 0.0 0.1 0.0 0.0 0.1 0.2 0.5 0.2 0.7 0.2 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 0.1 0.4 0.1 1.1 0.4 -0.6 -0.6 -0.2 -0.4 -0.0 -0.3 0.1 NZD 0.5 0.6 0.5 0.1 0.0 0.1 0.0 0.1 0.1 -0.1 0.1 0.1 0.1 0.2 0.2 0.0 0.0 0.0 0.0 0.2 0.1 0.1 -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 -0.3 -0.4 -0.2 0.2 OAT 0.6 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.2 0.0 -0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.0 -0.0 0.2 1.1 0.0 -0.0 0.0 0.0 0.0 0.0 0.7 -0.3 -0.0 0.2 0.3 -0.6 -0.7 0.0 0.2 OATIES 0.3 -0.0 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 0.0 -0.2 0.0 -0.1 0.0 -0.1 -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 -0.1 -0.2 -0.6 0.0 0.2 0.4 0.7 OJ -0.6 -0.6 -0.4 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -0.1 0.2 -0.1 0.5 -0.1 -0.0 0.1 0.4 0.3 0.4 -0.1 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 0.0 0.8 -0.0 -0.0 -0.0 0.0 -0.1 0.0 0.3 -0.2 0.5 -0.1 -0.3 -0.2 -0.2 0.1 -0.1 PLAT 0.6 0.5 0.2 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 0.1 0.0 0.1 -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 0.1 0.4 -0.4 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -0.0 -0.4 -0.1 -0.5 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.5 -0.0 -1.6 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 -0.0 0.0 -0.2 -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 -0.1 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 -2.2 0.0 -0.0 0.1 0.0 0.1 0.0 1.1 -0.0 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 -0.1 0.1 0.1 -0.0 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.0 0.2 -0.3 0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.1 0.3 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 -0.0 0.0 0.1 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.1 -0.1 0.1 1.2 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 0.0 -0.1 -0.0 0.1 -0.5 -0.7 -0.2 -0.7 SILVER-mini -0.1 0.3 0.1 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 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 0.0 -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 0.0 -0.1 0.2 1.4 0.1 0.0 0.0 0.0 -0.0 0.1 0.9 -0.5 -0.1 -0.5 -0.3 0.0 -0.2 0.1 -0.2 SOFR 0.5 0.6 0.6 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 0.1 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 -0.2 SOYBEAN -0.4 -0.2 -0.1 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.2 0.2 -0.2 0.2 -0.2 -0.1 0.3 0.3 0.3 0.3 -0.1 -0.0 -0.2 0.0 -0.2 -2.7 -0.0 -0.1 0.1 -0.1 0.1 -0.1 1.1 -0.5 -0.6 -0.0 0.3 -0.7 -0.7 -0.7 -0.7 SOYMEAL -0.6 -0.4 0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.2 0.3 0.3 0.3 -0.1 -0.0 -0.1 0.1 -0.2 -2.7 -0.0 -0.0 0.0 -0.1 0.1 -0.1 1.1 -0.1 -0.6 -0.4 0.3 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.2 -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 -0.2 0.1 -0.4 -0.4 -0.0 -0.0 0.3 SP400 0.6 0.6 0.2 0.0 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 -0.1 0.2 0.1 0.1 0.1 0.2 -1.3 0.0 -0.0 0.1 0.0 0.0 0.1 0.1 -0.2 0.2 0.2 -0.1 -0.5 -0.3 -0.7 -0.7 SP500_micro 0.5 0.6 0.3 0.1 0.0 0.1 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 0.1 0.4 0.2 -2.7 0.1 0.0 0.1 0.0 0.1 0.1 -0.4 -0.2 0.3 0.3 0.1 0.2 -0.2 0.3 -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 -2.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.1 0.1 -0.6 -0.6 -0.2 0.0 -0.3 0.4 0.2 US10 0.5 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.1 0.1 0.1 -0.2 -0.1 -0.2 -0.2 0.1 0.0 0.0 -0.1 0.1 0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.6 -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 -0.1 -0.0 0.1 -0.2 0.1 0.1 0.1 0.0 0.0 0.0 0.1 0.0 0.0 -0.2 0.1 -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 0.0 -0.2 0.1 1.1 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 0.0 -0.1 -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 -0.1 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 -0.3 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 -0.1 0.0 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.2 0.1 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.3 -0.2 -0.1 0.0 -0.1 -0.4 -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 -0.1 -0.0 0.1 -0.1 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.0 0.0 -0.1 0.1 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 -0.8 -0.0 -0.1 -0.0 0.0 -0.7 -0.7 -0.7 -0.4 VIX 0.2 -0.7 -0.2 -0.1 -0.0 -0.3 -0.0 -0.6 -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 -0.2 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 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.4 -0.0 -0.6 0.1 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.1 -0.0 -0.5 0.0 -0.5 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.8 0.1 -0.0 0.0 0.1 -0.7 -0.7 -0.7 -0.7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 14.9 20.0 13.2 4.4 0.6 2.9 2.6 1.7 4.5 -5.5 1.2 10.6 -6.9 14.2 13.5 -2.2 -2.9 -2.6 -2.8 16.4 6.4 9.3 -3.1 18.5 2.9 5.0 1.5 1.9 4.9 -0.7 6.3 -1.0 -0.8 3.6 -0.7 3.3 -15.5 -11.8 -6.5 5.3 BITCOIN -0.4 12.2 20.0 3.3 -3.4 1.3 0.9 0.6 3.6 15.9 20.0 9.5 18.6 16.3 20.0 -9.6 -6.4 -9.1 -7.9 20.0 20.0 13.7 17.7 20.0 -20.0 8.3 -0.2 7.3 2.5 4.5 5.8 -2.2 7.9 13.1 20.0 20.0 -5.5 13.4 2.7 20.0 BOBL 20.0 20.0 20.0 2.4 0.3 0.8 1.6 -0.6 2.6 -6.7 4.0 4.7 -2.9 8.1 8.4 -20.0 -8.1 -17.4 -11.8 15.9 8.1 6.5 -1.7 16.2 8.2 3.0 -0.0 1.5 2.0 -0.1 3.4 -14.6 -6.4 -1.6 0.8 6.4 -17.1 -20.0 -3.3 -18.0 BTP 15.2 20.0 15.4 3.6 0.5 1.2 2.4 -1.0 4.0 -11.1 8.9 6.0 6.4 11.5 12.6 4.9 7.2 6.0 6.3 20.0 13.2 8.1 3.0 20.0 -8.4 4.5 -0.9 2.4 2.3 0.7 4.8 13.8 -17.2 -1.7 7.3 8.8 -13.3 -20.0 7.9 4.0 BUND 17.4 20.0 20.0 2.6 0.4 0.9 1.7 -0.7 2.8 -7.8 4.7 4.0 -3.2 8.4 8.8 4.6 4.2 2.0 2.0 16.7 8.2 5.1 -2.0 16.5 5.5 3.2 -0.8 1.5 1.5 -0.1 3.4 7.4 -13.5 -1.8 2.9 6.6 -18.2 -20.0 -5.0 -6.2 BUXL 16.0 20.0 20.0 3.0 0.4 1.0 2.0 -0.8 3.3 -9.4 4.5 3.1 -5.9 9.3 9.6 0.2 0.7 0.3 0.5 18.2 7.5 3.4 -4.5 17.6 1.0 3.4 -1.4 1.4 1.1 -0.5 3.6 3.4 -20.0 -0.9 6.8 5.1 -20.0 -20.0 -5.0 10.0 CAC 10.3 20.0 1.4 6.7 0.5 3.7 3.1 1.7 6.4 -20.0 14.1 7.0 20.0 20.0 20.0 -10.1 -4.3 -8.1 -6.6 20.0 17.6 3.0 14.4 20.0 -8.6 7.4 -1.5 3.8 1.8 2.5 7.2 0.8 -12.8 -3.6 -4.2 -0.6 9.8 7.5 19.8 13.5 CAD 20.0 20.0 3.5 6.5 0.9 4.2 3.9 2.4 6.6 -9.4 -1.2 14.2 -7.8 19.9 16.8 -1.8 -2.2 -2.2 -2.3 20.0 5.8 16.3 -5.0 20.0 2.5 6.1 1.5 1.2 7.4 -1.5 9.6 0.0 -4.3 10.9 -1.0 -5.5 -19.9 -18.7 0.3 -14.7 CANOLA -10.6 -11.0 -20.0 -2.2 -3.3 -2.8 -3.3 -3.5 -2.4 -8.6 -6.2 -9.1 -5.6 -9.4 -9.9 -12.0 -0.1 -10.9 -6.9 -13.4 -11.9 -10.7 -9.2 -12.1 -20.0 -3.7 -2.7 -3.3 -3.6 -2.8 -3.8 -2.3 -4.3 -14.5 -15.5 -20.0 -15.1 -11.7 -5.4 0.1 CHF 18.9 20.0 5.2 5.6 0.7 3.6 3.3 2.1 5.6 5.8 5.0 15.8 9.4 19.0 17.6 -15.7 -15.4 -16.5 -16.1 20.0 12.7 20.0 6.0 20.0 -8.8 6.3 7.5 2.7 10.4 1.1 9.6 -20.0 20.0 20.0 18.3 -1.6 -20.0 -20.0 -20.0 -20.0 COCOA 1.3 12.4 20.0 -5.8 -8.6 -7.2 -8.4 -9.1 -6.3 8.5 20.0 15.8 20.0 20.0 20.0 11.6 1.1 7.5 3.7 20.0 20.0 8.1 20.0 20.0 -20.0 9.4 -2.9 11.0 1.0 11.2 5.6 7.0 2.9 20.0 20.0 20.0 18.9 0.4 20.0 19.8 COFFEE 5.2 14.3 20.0 -2.8 -4.2 -3.5 -4.1 -4.4 -3.1 -5.7 5.2 3.7 -2.9 7.6 10.2 8.4 4.3 7.9 5.7 11.6 7.4 2.9 1.4 9.8 -16.0 4.3 -1.3 2.9 1.5 1.1 3.6 11.6 -6.7 13.7 20.0 20.0 -20.0 -20.0 -16.4 -11.2 COPPER 6.6 17.5 5.6 2.6 -2.7 1.1 0.7 0.5 2.9 -14.4 -0.5 8.6 -3.0 13.6 12.8 -4.5 -4.4 -5.7 -5.5 10.1 3.3 2.2 -2.9 10.1 -7.8 5.2 -0.4 2.0 3.9 -0.7 5.9 1.4 0.4 6.5 13.4 2.7 -7.4 -10.1 7.0 -7.7 CORN -5.2 -1.3 -5.8 -5.7 -8.4 -7.1 -8.3 -8.9 -6.2 -20.0 -20.0 -19.2 -20.0 -18.3 -18.0 -9.7 -1.6 -8.1 -6.1 -11.8 -19.5 -16.8 -20.0 -12.4 -20.0 -6.9 -14.4 -6.4 -16.1 -9.4 -11.9 -3.4 -3.4 -18.6 -9.8 6.4 -6.6 -10.7 2.5 3.0 COTTON2 2.4 -5.2 -15.0 -4.6 -6.8 -5.7 -6.6 -7.1 -5.0 -0.3 -11.7 -5.1 -9.1 -1.4 -13.8 -8.5 -0.4 -7.0 -4.4 -11.6 -12.4 -0.0 -9.2 -4.0 -20.0 -4.9 3.3 -4.8 2.0 -2.1 -1.3 -0.8 20.0 14.2 -7.0 -12.1 -18.0 -14.3 -4.9 1.4 CRUDE_W 0.6 -12.3 -4.8 -5.2 -5.1 -2.1 -5.4 1.2 -5.3 -18.1 5.5 -7.9 6.9 -10.4 -12.7 6.1 9.7 7.9 9.1 -8.0 0.8 -13.8 8.4 -10.1 -4.5 -4.2 -11.4 0.9 -9.1 5.5 -6.4 -5.4 -5.4 1.4 8.2 15.7 20.0 13.6 20.0 14.1 DAX 10.8 20.0 5.4 6.3 1.1 3.3 3.8 1.4 6.6 5.8 13.3 12.2 18.2 20.0 20.0 -14.9 -9.2 -12.5 -10.9 20.0 20.0 11.1 12.7 20.0 19.6 6.9 -0.1 3.7 1.6 1.7 6.0 -7.1 -19.1 -5.2 13.7 6.5 7.0 5.1 17.8 16.5 DOW 17.9 20.0 14.1 5.1 0.4 2.8 2.3 1.3 4.9 8.0 15.1 17.4 15.0 19.9 19.4 -11.2 -9.3 -10.8 -10.4 20.0 20.0 20.0 13.5 20.0 -13.1 6.3 1.0 3.8 3.7 2.2 6.5 -6.9 -5.4 13.4 19.4 10.2 -8.9 -4.1 -10.0 -6.6 DX -13.7 -20.0 -9.2 3.4 0.4 2.2 2.0 1.3 3.4 6.4 0.8 -6.9 -4.3 -10.1 -9.4 4.9 6.0 6.0 6.2 -11.4 -4.2 -5.5 1.1 -12.9 -20.0 -3.4 -1.5 -1.0 -3.6 0.8 -4.4 14.4 -13.4 -20.0 -20.0 -12.8 13.8 4.3 18.3 12.3 EUR 9.2 14.5 5.6 4.0 0.5 2.6 2.4 1.5 4.0 -10.5 -0.8 6.2 5.3 9.9 10.2 -5.4 -6.7 -5.9 -6.2 8.8 3.5 3.0 -0.4 9.8 10.0 3.6 1.0 1.3 4.0 -0.3 4.8 -7.2 -2.2 -2.9 -5.0 -5.7 -17.8 -12.3 -14.9 -6.1 EURIBOR-ICE 20.0 20.0 20.0 2.2 0.3 0.8 1.4 -0.6 2.4 -5.3 6.2 5.9 0.4 7.9 8.4 -0.7 -5.9 -2.8 -4.7 20.0 13.4 10.8 2.6 20.0 16.7 3.0 0.6 1.8 2.3 0.4 3.2 -7.4 -0.8 4.5 7.4 15.7 -20.0 -20.0 7.3 20.0 EUROSTX 3.6 20.0 6.5 6.5 0.4 3.6 2.9 1.6 6.1 -20.0 14.8 -2.1 20.0 20.0 20.0 8.5 -1.3 1.4 -1.2 20.0 20.0 -0.4 16.7 20.0 3.3 7.3 -2.0 4.5 0.5 2.8 5.8 7.4 -14.6 -14.1 -1.8 7.0 3.0 7.4 9.1 15.3 FEEDCOW 16.7 -16.1 -20.0 -2.6 -3.9 -3.3 -3.8 -4.1 -2.9 8.4 -7.2 10.2 -0.7 -1.1 -7.9 -20.0 -20.0 -16.0 -18.4 -12.1 -12.5 6.4 -3.1 -1.0 -1.6 -2.8 -0.2 -2.3 0.6 0.8 -0.5 -20.0 6.8 10.6 -12.2 -19.0 12.3 2.9 20.0 10.6 GASOIL 2.5 -16.5 -12.5 -4.2 -4.1 -1.7 -4.3 1.0 -4.3 -14.6 4.8 -3.4 5.9 -6.9 -11.2 11.5 20.0 15.5 18.6 -9.4 -1.2 -11.6 8.1 -9.4 8.1 -3.4 -5.8 0.2 -3.3 3.4 -3.3 11.9 5.2 4.6 4.3 6.8 -9.1 -2.0 -18.9 -7.7 GASOLINE 7.1 -6.6 -17.4 -4.9 -4.9 -2.0 -5.1 1.1 -5.1 -17.2 -0.6 3.0 4.4 0.1 -12.1 -20.0 17.1 -18.5 3.8 -7.0 -4.1 -4.7 4.7 -3.6 -20.0 -4.0 -7.2 -1.5 -5.5 4.5 -3.5 1.1 2.5 8.7 17.8 -2.1 20.0 12.0 20.0 9.7 GAS_US_mini 4.0 -20.0 2.8 -3.2 -3.2 -1.3 -3.3 0.7 -3.3 10.9 -11.6 4.1 -13.3 -9.2 -11.0 20.0 -20.0 -11.1 -20.0 -19.6 -19.7 -0.1 -20.0 -11.5 17.2 -4.0 1.1 -3.2 0.2 -2.1 -2.5 -20.0 20.0 3.2 -11.5 -4.4 -17.3 4.3 -20.0 0.1 GBP 2.6 16.8 2.0 4.4 0.6 2.8 2.6 1.6 4.4 -11.8 -0.6 1.9 8.0 11.7 11.4 -0.1 -0.7 -0.4 -0.5 9.6 5.1 -0.0 1.9 8.2 1.6 4.1 0.5 1.8 2.5 0.1 4.3 2.9 -7.9 -11.1 -4.4 -9.2 -13.4 0.8 -10.1 13.7 GOLD_micro 4.7 12.7 12.7 2.2 -2.3 0.9 0.6 0.4 2.4 2.5 6.6 9.9 6.2 10.3 12.4 -12.6 -13.9 -13.8 -14.3 11.8 7.7 8.4 3.8 11.9 -5.1 4.2 0.4 2.9 2.7 1.8 3.8 -14.5 3.4 -0.2 5.5 9.0 -18.5 -20.0 -15.2 -19.6 HEATOIL 1.4 -15.5 -14.2 -4.5 -4.5 -1.9 -4.7 1.0 -4.6 -15.6 3.2 -5.8 4.4 -9.7 -13.0 19.3 20.0 20.0 20.0 -11.6 -3.3 -11.9 6.4 -11.3 -19.9 -4.1 -5.4 -0.2 -4.8 4.5 -4.3 17.0 3.1 5.5 6.0 2.1 14.3 0.2 11.4 -5.2 JGB-SGX-mini 11.8 20.0 3.4 1.9 0.3 0.7 1.3 -0.5 2.1 -1.9 1.8 5.6 3.0 6.4 6.0 7.0 18.6 12.9 15.0 6.3 3.1 3.6 1.2 6.6 -2.1 1.8 0.0 0.6 1.0 -0.2 2.0 20.0 -4.5 -10.3 -0.9 -2.4 1.7 -20.0 11.3 17.9 JPY 18.1 20.0 20.0 2.7 0.4 1.8 1.6 1.0 2.7 2.4 -5.1 8.0 -8.3 8.9 6.3 -14.0 -16.1 -16.2 -16.7 6.7 -2.0 6.5 -9.7 10.1 20.0 2.1 1.9 -0.9 3.1 -3.0 3.8 -20.0 4.3 8.2 -1.2 -6.8 -8.9 -20.0 -3.4 -20.0 LEANHOG 0.7 -8.8 -8.9 -3.6 -5.4 -4.5 -5.3 -5.7 -3.9 -14.4 -4.6 -11.3 -9.9 -10.6 -11.7 -20.0 4.1 -20.0 -4.4 -12.0 -12.7 -16.9 -14.7 -12.1 15.1 -2.6 -2.8 -5.3 -1.2 -9.3 -1.0 7.0 2.0 4.0 -4.1 -1.5 -10.4 -7.6 8.2 11.3 LIVECOW 6.8 -20.0 -20.0 -3.0 -4.5 -3.8 -4.4 -4.7 -3.3 9.2 -7.3 9.6 0.3 -5.0 -9.4 -10.0 -5.2 -9.5 -7.8 -16.1 -13.5 2.9 -2.6 -6.6 0.1 -4.0 -1.3 -2.5 -1.3 1.1 -2.5 -6.6 2.0 -2.3 -20.0 -16.9 5.7 -6.9 10.8 -0.7 LUMBER-new 12.2 17.5 9.7 -6.1 -9.0 -7.4 -8.8 -8.0 -6.6 -10.5 -3.0 12.8 -18.8 17.7 20.0 -9.2 -14.0 -12.5 -13.6 20.0 7.3 14.9 -6.7 20.0 NaN 7.7 3.3 2.9 9.2 -0.6 10.6 -20.0 20.0 20.0 20.0 20.0 -17.3 -20.0 -10.3 -19.4 MILK -20.0 -20.0 -16.7 -4.4 -6.5 -5.4 -6.3 -6.8 -4.8 -10.7 -18.4 -17.8 -18.2 -19.3 -19.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 11.4 -7.1 -2.5 -6.2 -5.8 -6.3 -7.5 -20.0 -1.2 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 11.4 14.7 -0.7 5.5 0.7 3.5 3.3 2.0 5.5 1.7 16.1 16.1 18.0 18.9 17.5 14.6 16.3 14.4 15.0 18.4 15.8 11.7 20.0 19.0 -20.0 5.8 2.7 5.1 5.7 7.3 6.7 20.0 0.2 -1.6 -8.7 -5.1 11.6 17.3 20.0 20.0 NASDAQ_micro 17.1 20.0 11.2 4.2 0.3 2.3 1.9 1.0 3.9 -11.5 14.5 8.7 13.9 13.8 15.3 -11.6 -9.1 -10.8 -10.1 20.0 20.0 2.4 20.0 20.0 -20.0 5.3 0.1 4.3 2.9 4.2 5.2 -6.4 -7.5 8.2 5.4 7.3 13.1 -6.1 14.0 -8.1 NIKKEI 0.1 8.8 -5.7 5.4 0.9 2.8 3.3 1.2 5.6 18.2 17.3 17.6 18.1 14.3 15.7 17.2 11.2 12.7 11.3 12.2 15.3 10.2 20.0 10.7 -13.6 4.9 4.2 6.4 5.2 9.7 4.9 20.0 16.2 -20.0 -20.0 -5.7 -10.8 -0.7 -9.7 3.8 NZD 14.1 20.0 15.1 4.8 0.6 3.1 2.9 1.8 4.8 -11.5 3.4 10.7 1.7 16.1 15.6 0.3 0.2 0.1 0.1 20.0 9.9 8.9 -1.0 20.0 0.8 5.6 1.4 2.7 4.4 0.1 6.3 4.2 -0.8 0.2 3.7 8.3 -7.8 -12.1 -4.6 5.6 OAT 17.3 20.0 20.0 2.7 0.4 0.9 1.8 -0.7 3.0 -8.3 5.7 4.2 -2.8 8.8 9.4 4.3 7.0 5.0 5.7 18.5 9.5 5.5 -1.0 18.0 7.9 3.4 -0.9 1.7 1.5 0.0 3.6 13.1 -14.4 -0.4 5.7 8.1 -18.2 -20.0 1.1 6.4 OATIES 10.0 -0.1 -20.0 -1.9 -2.8 -2.4 -2.8 -3.0 -2.1 1.0 -5.7 2.7 -4.3 0.1 -6.7 0.2 -7.4 -6.6 -9.6 -6.3 -6.9 1.7 -3.4 -1.2 -20.0 -2.3 1.2 -2.4 0.6 -1.2 -0.8 -12.5 4.3 -2.8 -7.3 -19.3 1.4 7.1 11.9 20.0 OJ -20.0 -20.0 -12.1 -3.3 -4.8 -4.1 -4.7 -5.1 -3.6 -7.4 9.2 -12.3 12.7 -11.6 -0.6 5.7 19.9 14.5 18.5 -5.3 16.9 -20.0 20.0 -20.0 -20.0 0.7 -5.6 5.8 -7.2 9.1 -4.7 20.0 -20.0 -20.0 -5.6 20.0 10.3 12.0 20.0 20.0 PALLAD 20.0 19.2 13.4 1.1 -1.2 0.5 0.3 0.2 1.2 -7.2 -5.3 1.3 -7.8 2.7 0.1 -1.7 -2.3 -2.0 -2.2 0.4 -4.4 -3.0 -8.8 2.6 6.0 -0.2 -0.9 -1.6 1.3 -2.1 1.6 6.1 -9.8 15.1 -3.7 -8.4 -4.7 -7.3 2.1 -1.6 PLAT 17.8 16.8 5.5 2.1 -2.1 0.8 0.6 0.4 2.3 -2.3 -4.4 10.9 -5.8 13.2 9.4 -3.4 -2.9 -3.5 -3.3 10.4 2.0 11.4 -3.0 15.3 14.2 4.0 3.3 1.3 7.1 -0.1 6.6 4.7 13.0 18.6 6.7 4.5 -4.9 -9.3 15.1 -3.1 REDWHEAT 2.6 12.2 -12.0 -3.4 -5.1 -4.3 -5.0 -5.4 -3.8 -2.6 -13.4 -6.6 -14.4 1.3 -8.6 -2.9 -1.4 -3.8 -3.1 -9.7 -16.6 -2.7 -18.2 -3.8 -11.8 -4.8 -2.0 -6.6 -3.8 -6.2 -3.7 -0.4 0.5 -7.3 -6.0 -13.6 -20.0 -20.0 -20.0 -13.9 RICE -0.5 13.6 9.6 -4.6 -9.8 -6.3 -6.6 -8.2 -4.5 -8.3 19.1 11.4 14.7 18.2 17.4 -11.8 1.0 -13.3 -6.8 19.0 18.5 4.3 13.5 13.1 -20.0 6.1 1.2 5.5 3.2 3.8 5.0 0.4 20.0 9.8 20.0 20.0 -3.5 -12.7 8.8 -2.6 ROBUSTA 12.5 15.6 -9.3 -2.5 -3.7 -3.1 -3.6 -3.9 -2.7 -8.8 9.8 5.4 10.0 8.6 9.7 20.0 20.0 20.0 20.0 16.1 11.9 6.1 9.8 15.7 -16.5 3.8 -0.1 2.7 2.5 2.2 4.2 20.0 -0.3 20.0 20.0 20.0 -12.0 -14.7 -0.4 0.5 RUSSELL 20.0 20.0 7.4 3.3 0.2 1.8 1.5 0.8 3.2 -5.9 4.3 8.2 -0.3 11.7 10.2 -6.1 -6.1 -6.3 -6.4 18.9 7.9 10.3 0.4 20.0 -2.0 3.7 -0.2 1.4 2.8 0.3 4.6 -0.8 -4.4 10.4 5.5 -3.6 -17.9 -16.2 -20.0 -18.9 SHATZ 20.0 20.0 20.0 2.1 0.3 0.7 1.4 -0.6 2.3 -5.6 0.5 5.5 -5.3 7.4 6.8 -20.0 -20.0 -20.0 -20.0 12.1 4.7 7.1 -4.5 13.7 8.8 2.5 1.0 1.0 2.5 -0.6 3.2 -20.0 0.1 -1.6 -1.2 4.2 -14.0 -20.0 -6.5 -20.0 SILVER-mini -1.6 9.4 2.4 2.3 -2.3 0.9 0.6 0.4 2.5 -13.4 1.0 2.1 3.2 0.5 5.3 -7.0 -6.4 -7.0 -6.8 3.6 1.9 -3.5 0.3 1.4 6.0 0.9 -1.2 0.8 1.0 0.7 1.0 -1.4 0.8 -12.1 -0.9 -2.8 -20.0 -20.0 4.5 -15.3 SMI 15.1 20.0 -3.6 6.1 1.0 3.2 3.7 1.4 6.4 -4.8 -1.5 7.4 3.0 18.1 15.6 11.1 3.8 7.5 5.0 17.6 3.0 4.4 -3.8 19.4 10.4 5.8 1.2 1.6 3.1 -0.9 6.8 17.0 -20.0 -4.1 -16.6 -8.3 0.5 -6.7 4.4 -5.5 SOFR 16.1 20.0 17.0 2.4 0.3 0.8 1.6 -0.7 2.7 -6.5 1.7 6.5 -1.6 8.7 8.6 1.2 -0.3 0.7 0.1 12.7 5.2 6.0 -1.9 13.0 -1.6 2.9 1.1 1.1 2.5 -0.4 3.4 1.9 0.6 -3.5 0.0 1.7 -20.0 -20.0 -6.5 -6.9 SOYBEAN -11.3 -6.4 -1.6 -4.8 -7.1 -6.0 -7.0 -7.5 -5.2 -18.8 7.3 -18.0 6.6 -16.8 -10.5 14.4 17.3 15.2 15.1 -8.6 -1.8 -20.0 0.4 -18.4 -20.0 -0.2 -13.4 2.7 -12.4 2.6 -6.8 20.0 -18.9 -18.0 -1.5 8.2 -20.0 -20.0 -20.0 -20.0 SOYMEAL -17.5 -13.7 3.8 -3.4 -5.1 -4.3 -5.0 -5.3 -3.7 -12.7 -1.6 -12.2 2.9 -13.6 -4.7 8.6 16.5 13.1 14.6 -8.3 -0.9 -16.2 2.8 -15.3 -20.0 -1.6 -4.0 1.3 -5.1 2.9 -4.8 20.0 -4.7 -17.6 -12.8 9.8 -20.0 -20.0 -20.0 -19.6 SOYOIL -5.5 -1.2 -20.0 -2.7 -3.9 -3.3 -3.9 -4.1 -2.9 -9.4 -4.5 -10.5 -5.1 -9.6 -11.0 -2.8 7.9 2.0 5.2 -10.4 -10.2 -9.8 -6.9 -9.5 -20.0 -2.2 -3.7 -2.7 -4.0 -2.1 -2.4 14.8 -6.8 -7.0 4.4 -13.1 -10.9 -0.8 -0.6 9.5 SP400 20.0 20.0 4.7 3.6 0.2 2.0 1.6 0.9 3.4 -6.7 6.2 9.6 3.6 13.0 11.6 -5.0 -5.1 -5.2 -5.2 20.0 9.4 9.7 2.4 20.0 -9.9 4.0 -0.2 1.9 2.6 0.7 4.7 1.2 -6.4 7.2 5.2 -2.0 -16.2 -9.0 -20.0 -20.0 SP500_micro 15.5 20.0 8.0 5.1 0.4 2.9 2.3 1.3 4.9 -8.7 14.9 13.6 14.6 18.6 19.2 -12.1 -10.1 -11.5 -11.1 20.0 20.0 10.4 15.4 20.0 -20.0 6.2 0.3 4.2 3.7 3.2 6.5 -8.2 -9.5 8.1 8.4 3.0 5.3 -5.8 8.2 -8.5 SUGAR11 -20.0 -20.0 -20.0 -2.0 -3.0 -2.5 -2.9 -3.2 -2.2 -1.1 -2.1 -5.8 5.6 -7.9 -6.6 14.9 19.7 20.0 20.0 -13.2 -5.0 -7.2 3.0 -14.3 -18.3 -2.6 -0.2 -0.9 -1.4 1.0 -2.9 20.0 3.4 -20.0 -20.0 -6.7 1.2 -9.3 12.9 5.9 US10 16.1 20.0 20.0 2.1 0.3 0.7 1.4 -0.6 2.3 -6.3 -0.9 4.6 -3.8 7.1 6.9 -8.7 -7.3 -7.7 -7.7 8.9 1.9 3.6 -5.1 9.6 1.4 2.3 0.4 0.5 1.8 -1.1 2.8 -10.9 -3.2 -3.2 -0.5 -1.4 -20.0 -20.0 -11.1 4.8 US10U 17.3 20.0 17.7 2.8 0.4 1.0 1.9 -0.8 3.1 -8.6 -0.9 6.2 -5.0 9.6 9.0 2.8 0.4 2.0 1.0 12.4 2.3 5.1 -7.2 13.6 -1.8 3.0 0.4 0.5 2.4 -1.5 3.8 3.2 -5.2 -3.4 -0.1 -3.1 -20.0 -20.0 3.5 15.0 US2 13.8 20.0 20.0 1.9 0.3 0.7 1.3 -0.5 2.2 -5.1 -3.0 5.6 -5.4 6.8 6.2 -20.0 -20.0 -20.0 -20.0 7.0 1.1 3.8 -6.2 7.9 7.9 2.3 1.0 0.7 2.1 -1.3 2.8 -20.0 1.5 -3.6 -2.2 2.9 -16.3 -20.0 -10.7 -20.0 US20 20.0 20.0 16.1 2.1 0.3 0.7 1.4 -0.6 2.3 -6.1 0.1 5.2 -3.2 7.3 6.8 -0.8 -1.3 -0.8 -1.1 10.7 2.2 5.9 -5.2 12.2 -1.9 2.2 0.5 0.3 1.9 -1.0 2.9 -0.4 -2.9 0.9 2.9 -2.3 -18.7 -20.0 18.1 20.0 US30 17.0 20.0 16.0 2.4 0.3 0.9 1.6 -0.7 2.7 -7.7 0.1 5.3 -4.3 8.3 7.7 -5.4 -4.3 -5.0 -4.9 11.0 2.1 4.5 -6.4 12.0 -1.5 2.5 0.1 0.4 1.8 -1.3 3.1 -5.7 -7.1 -1.9 1.4 -3.3 -11.0 -17.9 20.0 20.0 US5 14.9 20.0 20.0 2.0 0.3 0.7 1.4 -0.6 2.3 -5.8 -1.2 5.0 -4.0 7.1 6.9 -8.4 -10.1 -9.5 -10.4 8.6 2.3 3.6 -4.6 9.1 3.4 2.4 0.7 0.7 2.0 -0.9 2.8 -15.9 -1.2 -3.5 -1.3 0.7 -20.0 -20.0 -20.0 -12.0 VIX 4.2 -14.4 -4.3 -5.1 -1.8 -7.0 -1.7 -9.7 -3.0 -16.9 -20.0 -6.0 -20.0 -15.3 -18.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.2 -20.0 -14.2 NaN -6.1 -1.7 -7.7 -1.6 -10.5 -3.6 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 5.7 13.7 -0.2 -4.2 -6.3 -5.3 -6.2 -6.6 -4.6 -12.8 -15.2 -0.5 -17.9 9.8 2.1 -9.5 -10.3 -10.7 -10.9 -2.6 -12.8 -1.0 -20.0 2.4 -3.4 -1.9 -2.1 -5.4 -2.9 -8.4 -1.3 -15.0 6.1 -1.1 0.7 1.8 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3