******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240103_204008 produced at 2024-01-03 21:37:13.304347 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -47.37 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 -10.57 12.0 -6 -6 caleb_strategy_v3 DX False False 0.04 0.00 -0.07 0.0 999.00 -999.00 0.00 0.00 -2.04 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 -0.98 13.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.17 -0.17 -0.02 -0.02 -19.20 51.0 -6 -6 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -5.58 5.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.00 -0.05 0.0 0.42 -0.42 0.00 0.00 -2.13 17.0 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 0.16 -0.16 -0.06 -0.06 -2.66 11.0 -4 -4 caleb_strategy_v3 GOLD_micro False False 0.01 -0.12 -0.04 0.0 0.40 -0.40 -0.12 -0.12 -4.86 56.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -0.96 24.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.01 -0.03 0.0 0.13 -0.13 -0.01 -0.02 -3.24 13.0 -1 -2 caleb_strategy_v3 US5 False False 0.04 0.00 -0.03 0.0 0.96 -0.96 0.00 0.00 -0.68 25.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.03 0.0 0.06 -0.06 -0.03 -0.03 -14.00 26.0 -15 -13 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -1.98 8.0 -3 -3 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -0.75 0.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.02 0.0 0.15 -0.15 -0.04 -0.04 -1.07 7.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 -0.03 -0.02 0.0 0.12 -0.12 -0.03 -0.03 -1.17 9.0 -2 -2 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.77 2.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.05 -0.02 0.0 0.10 -0.10 -0.05 -0.05 -2.07 9.0 -4 -4 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -0.65 4.0 0 0 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 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.10 -0.10 -0.03 -0.03 -1.06 10.0 -3 -3 caleb_strategy_v3 US10 False False 0.04 -0.36 -0.01 0.0 0.67 -0.67 -0.36 -0.32 -0.21 17.0 -9 -8 caleb_strategy_v3 SP400 False False 0.10 0.10 -0.01 0.0 0.19 -0.19 0.10 0.00 -0.12 2.0 1 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.01 0.0 0.15 -0.15 -0.01 -0.01 -1.45 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 -1.06 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 0.01 14.0 3 3 caleb_strategy_v3 OJ False False 0.02 0.00 -0.00 0.0 0.05 -0.05 0.00 0.00 -0.01 3.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.00 0.0 0.24 -0.24 0.00 -0.01 -1.14 68.0 1 -2 caleb_strategy_v3 BUXL False False 0.05 0.11 0.00 0.0 0.22 -0.22 0.11 0.11 0.08 4.0 2 2 caleb_strategy_v3 COFFEE False False 0.02 0.02 -0.00 0.0 0.15 -0.15 0.02 0.00 -0.01 6.0 1 0 caleb_strategy_v3 JPY False False 0.03 0.03 0.00 0.0 0.53 -0.53 0.03 0.06 0.05 17.0 1 2 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.00 0.0 0.11 -0.11 0.00 0.00 0.06 3.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 0.00 0.0 0.88 -0.88 0.00 0.00 0.02 19.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.12 4.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.23 0.00 0.0 0.28 -0.28 0.23 0.19 0.10 6.0 5 4 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.01 0.0 0.22 -0.22 0.00 0.00 0.71 23.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.01 0.0 0.40 -0.40 0.00 0.00 1.69 48.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.01 0.0 0.54 -0.54 0.00 0.00 0.21 13.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.01 0.0 0.11 -0.11 0.00 0.00 0.51 4.0 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 COPPER False False 0.03 0.17 0.01 0.0 0.20 -0.20 0.17 0.17 0.43 6.0 5 5 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 BUND False False 0.05 0.00 0.02 0.0 0.53 -0.53 0.00 0.00 0.36 10.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.05 0.02 0.0 0.45 -0.45 0.05 0.05 0.94 19.0 2 2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.11 0.02 0.0 0.27 -0.27 0.11 0.11 1.38 23.0 9 9 caleb_strategy_v3 GBP False False 0.03 0.03 0.02 0.0 0.61 -0.61 0.03 0.03 0.68 22.0 1 1 caleb_strategy_v3 CAD False False 0.03 0.05 0.02 0.0 0.77 -0.77 0.05 0.05 0.69 29.0 2 2 caleb_strategy_v3 BITCOIN False False 0.00 0.07 0.03 0.0 0.09 -0.09 0.07 0.07 22.82 59.0 49 43 caleb_strategy_v3 COCOA False False 0.01 0.09 0.04 0.0 0.38 -0.38 0.09 0.09 2.95 26.0 6 6 caleb_strategy_v3 DOW False False 0.01 0.01 0.04 0.0 0.44 -0.44 0.01 0.00 5.42 66.0 1 0 caleb_strategy_v3 PLAT False False 0.02 0.02 0.04 0.0 0.17 -0.17 0.02 0.02 2.17 10.0 1 1 caleb_strategy_v3 CAC False True 0.03 0.00 0.04 0.0 0.00 0.00 0.00 0.00 1.36 12.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.09 0.05 0.0 0.46 -0.46 0.09 0.05 1.17 10.0 2 1 caleb_strategy_v3 NZD False False 0.02 0.07 0.05 0.0 0.46 -0.46 0.07 0.04 2.05 21.0 3 2 caleb_strategy_v3 CRUDE_W False False 0.03 0.03 0.05 0.0 0.13 -0.13 0.03 0.03 2.04 5.0 1 1 caleb_strategy_v3 SMI False False 0.05 0.41 0.07 0.0 0.41 -0.41 0.41 0.41 1.61 9.0 9 9 caleb_strategy_v3 EUROSTX False False 0.02 0.33 0.07 0.0 0.35 -0.35 0.33 0.35 4.09 20.0 19 20 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 DAX False False 0.01 0.00 0.10 0.0 0.37 -0.37 0.00 0.00 15.37 58.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.11 0.11 0.0 0.30 -0.30 0.11 0.11 13.10 36.0 14 14 caleb_strategy_v3 SOFR False True 0.09 0.00 0.16 0.0 0.00 0.00 0.00 0.00 1.88 11.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.45 0.47 0.0 0.61 -0.61 0.45 0.45 45.78 60.0 44 44 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.33 0.60 0.0 0.58 -0.58 0.33 0.33 16.48 16.0 9 9 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.19 1.21 0.0 0.95 -0.95 0.19 0.09 12.73 10.0 2 1 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 20.7 Shocked risk 56.2 Sum abs risk 47.3 Leverage 4.54 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2839248.12, 'annual_cash_vol_target': 709812.03, 'daily_cash_vol_target': 44363.251875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6744 0.6582 10.5314 BITCOIN 1186.7065 43020.0000 2.7585 44.1360 BOBL 0.2687 119.4000 0.2250 3.6007 BTP 0.6800 119.3200 0.5699 9.1187 BUND 0.5847 137.5100 0.4252 6.8037 BUXL 1.4836 141.9000 1.0455 16.7282 CAC 51.0572 7439.0000 0.6863 10.9815 CAD 0.0030 0.7496 0.3937 6.2999 CANOLA 7.4516 641.1000 1.1623 18.5971 CHF 0.0053 1.1849 0.4449 7.1177 COCOA 40.7408 4201.0000 0.9698 15.5166 COFFEE 4.4240 184.3500 2.3998 38.3961 COPPER 0.0412 3.8720 1.0648 17.0362 CORN 4.0849 498.7500 0.8190 13.1045 COTTON2 0.9931 80.9300 1.2271 19.6336 CRUDE_W 1.1929 71.4500 1.6695 26.7121 DAX 112.7867 16678.0000 0.6763 10.8202 DOW 212.1184 37765.0000 0.5617 8.9869 DX 0.4480 102.1800 0.4384 7.0147 EUR 0.0055 1.0952 0.5020 8.0327 EURIBOR-ICE 0.0514 98.1350 0.0523 0.8374 EUROSTX 32.8642 4477.0000 0.7341 11.7451 FEEDCOW 2.2620 232.5750 0.9726 15.5611 GASOIL 13.6089 754.0000 1.8049 28.8784 GASOLINE 0.0420 2.3730 1.7701 28.3218 GAS_US_mini 0.0906 2.4450 3.7036 59.2573 GBP 0.0070 1.2668 0.5530 8.8483 GOLD_micro 15.9791 2046.5000 0.7808 12.4928 HEATOIL 0.0449 2.5278 1.7782 28.4507 JGB-SGX-mini 0.3123 146.4500 0.2132 3.4118 JPY 0.0000 0.0071 0.6972 11.1560 LEANHOG 1.1462 72.0500 1.5909 25.4540 LIVECOW 1.5103 174.8500 0.8638 13.8201 LUMBER-new 7.0512 575.0000 1.2263 19.6206 MILK 0.1702 16.2200 1.0494 16.7906 MXP 0.0004 0.0580 0.6397 10.2354 NASDAQ_micro 120.8885 16566.0000 0.7297 11.6758 NIKKEI 258.9868 33125.0000 0.7818 12.5096 NZD 0.0037 0.6244 0.5948 9.5160 OAT 0.5975 131.7600 0.4535 7.2554 OATIES 7.7353 367.7500 2.1034 33.6548 OJ 6.7479 339.1500 1.9896 31.8343 PALLAD 30.9051 1074.5000 2.8762 46.0197 PLAT 14.4906 984.5000 1.4719 23.5499 REDWHEAT 11.0656 624.2500 1.7726 28.3620 RICE 0.2018 17.5300 1.1514 18.4220 ROBUSTA 52.0629 2756.0000 1.8891 30.2252 RUSSELL 25.8544 1981.6000 1.3047 20.8756 SHATZ 0.0883 106.5400 0.0829 1.3262 SILVER-mini 0.3823 23.4750 1.6284 26.0548 SMI 62.1454 11081.0000 0.5608 8.9733 SOFR 0.0713 96.8150 0.0736 1.1782 SOYBEAN 10.2409 1225.7500 0.8355 13.3677 SOYMEAL 4.8085 379.2000 1.2681 20.2892 SOYOIL 0.7220 48.9700 1.4743 23.5885 SP400 28.8213 2736.9000 1.0531 16.8490 SP500_micro 29.0900 4753.2500 0.6120 9.7920 SUGAR11 0.4551 20.5700 2.2125 35.4004 US10 0.4671 112.5000 0.4152 6.6428 US10U 0.6365 117.5469 0.5415 8.6639 US2 0.1323 102.8086 0.1286 2.0582 US20 0.9571 124.1250 0.7711 12.3378 US30 1.4209 132.6875 1.0708 17.1335 US5 0.3057 108.4609 0.2819 4.5100 VIX 0.4624 16.3500 2.8279 45.2463 WHEAT 9.1311 648.5000 1.4080 22.5285 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 674.35 0.66 443.87 1.00 443.87 44363.25 99.95 3.61 36.10 BITCOIN 43.02 2.76 118.67 1.00 118.67 44363.25 373.84 5.64 210.69 BOBL 1194.00 0.23 268.70 1.10 296.30 44363.25 149.72 0.11 1.58 BTP 1193.20 0.57 680.02 1.10 749.86 44363.25 59.16 5.79 34.24 BUND 1375.10 0.43 584.73 1.10 644.79 44363.25 68.80 5.14 35.33 BUXL 1419.00 1.05 1483.58 1.10 1635.94 44363.25 27.12 2.95 8.00 CAC 743.90 0.69 510.57 1.10 563.01 44363.25 78.80 5.05 39.81 CAD 749.65 0.39 295.17 1.00 295.17 44363.25 150.30 1.77 26.59 CANOLA 128.22 1.16 149.03 0.75 112.45 44363.25 394.51 -20.00 -789.02 CHF 1481.12 0.44 658.89 1.00 658.89 44363.25 67.33 -0.56 -3.78 COCOA 420.10 0.97 407.41 1.00 407.41 44363.25 108.89 12.67 137.94 COFFEE 691.31 2.40 1658.98 1.00 1658.98 44363.25 26.74 -0.38 -1.02 COPPER 968.00 1.06 1030.69 1.00 1030.69 44363.25 43.04 0.92 3.98 CORN 249.38 0.82 204.25 1.00 204.25 44363.25 217.20 -20.00 -434.41 COTTON2 404.65 1.23 496.55 1.00 496.55 44363.25 89.34 -13.91 -124.30 CRUDE_W 714.50 1.67 1192.86 1.00 1192.86 44363.25 37.19 5.06 18.82 DAX 166.78 0.68 112.79 1.10 124.37 44363.25 356.70 12.63 450.68 DOW 188.82 0.56 106.06 1.00 106.06 44363.25 418.29 5.57 233.06 DX 1021.80 0.44 447.98 1.00 447.98 44363.25 99.03 -7.95 -78.71 EUR 1369.06 0.50 687.33 1.00 687.33 44363.25 64.54 0.04 0.29 EURIBOR-ICE 2453.38 0.05 128.41 1.10 141.59 44363.25 313.31 11.92 373.32 EUROSTX 447.70 0.73 328.64 1.10 362.39 44363.25 122.42 9.79 119.80 FEEDCOW 1162.88 0.97 1130.98 1.00 1130.98 44363.25 39.23 -6.92 -27.13 GASOIL 754.00 1.80 1360.89 1.00 1360.89 44363.25 32.60 3.61 11.76 GASOLINE 996.66 1.77 1764.20 1.00 1764.20 44363.25 25.15 -1.11 -2.80 GAS_US_mini 61.12 3.70 226.38 1.00 226.38 44363.25 195.97 -6.60 -129.29 GBP 791.75 0.55 437.85 1.00 437.85 44363.25 101.32 2.57 26.04 GOLD_micro 204.65 0.78 159.79 1.00 159.79 44363.25 277.63 -5.13 -142.43 HEATOIL 1061.68 1.78 1887.84 1.00 1887.84 44363.25 23.50 0.57 1.35 JGB-SGX-mini 146450.00 0.21 31228.52 0.01 220.62 44363.25 201.08 7.57 152.16 JPY 883.31 0.70 615.89 1.00 615.89 44363.25 72.03 0.28 2.03 LEANHOG 288.20 1.59 458.49 1.00 458.49 44363.25 96.76 -5.50 -53.24 LIVECOW 699.40 0.86 604.11 1.00 604.11 44363.25 73.44 -8.76 -64.30 LUMBER-new 158.12 1.23 193.91 1.00 193.91 44363.25 228.79 -2.17 -49.59 MILK 324.40 1.05 340.43 1.00 340.43 44363.25 130.32 -20.00 -260.63 MXP 289.90 0.64 185.45 1.00 185.45 44363.25 239.22 13.04 311.91 NASDAQ_micro 331.32 0.73 241.78 1.00 241.78 44363.25 183.49 3.24 59.44 NIKKEI 33125.00 0.78 25898.68 0.01 182.97 44363.25 242.47 4.99 121.00 NZD 624.45 0.59 371.39 1.00 371.39 44363.25 119.45 6.62 79.07 OAT 1317.60 0.45 597.48 1.10 658.84 44363.25 67.33 8.72 58.71 OATIES 183.88 2.10 386.77 1.00 386.77 44363.25 114.70 -9.92 -113.82 OJ 508.72 1.99 1012.18 1.00 1012.18 44363.25 43.83 -0.12 -0.54 PALLAD 1074.50 2.88 3090.51 1.00 3090.51 44363.25 14.35 2.82 4.05 PLAT 492.25 1.47 724.53 1.00 724.53 44363.25 61.23 10.39 63.64 REDWHEAT 312.12 1.77 553.28 1.00 553.28 44363.25 80.18 -18.61 -149.25 RICE 350.60 1.15 403.67 1.00 403.67 44363.25 109.90 -2.42 -26.58 ROBUSTA 275.60 1.89 520.63 1.00 520.63 44363.25 85.21 7.18 61.20 RUSSELL 99.08 1.30 129.27 1.00 129.27 44363.25 343.18 -1.00 -34.43 SHATZ 1065.40 0.08 88.31 1.10 97.37 44363.25 455.59 -2.09 -94.99 SILVER-mini 586.88 1.63 955.68 1.00 955.68 44363.25 46.42 -4.73 -21.95 SMI 1108.10 0.56 621.45 1.18 739.78 44363.25 59.97 7.86 47.13 SOFR 2420.38 0.07 178.22 1.00 178.22 44363.25 248.92 1.24 30.85 SOYBEAN 612.88 0.84 512.05 1.00 512.05 44363.25 86.64 -13.33 -115.45 SOYMEAL 379.20 1.27 480.85 1.00 480.85 44363.25 92.26 -13.59 -125.37 SOYOIL 293.82 1.47 433.17 1.00 433.17 44363.25 102.41 -11.17 -114.35 SP400 2736.90 1.05 2882.13 1.00 2882.13 44363.25 15.39 -2.29 -3.53 SP500_micro 237.66 0.61 145.45 1.00 145.45 44363.25 305.01 2.39 72.82 SUGAR11 230.38 2.21 509.73 1.00 509.73 44363.25 87.03 -7.81 -67.97 US10 1125.00 0.42 467.07 1.00 467.07 44363.25 94.98 -1.78 -16.90 US10U 1175.47 0.54 636.51 1.00 636.51 44363.25 69.70 2.35 16.39 US2 2056.17 0.13 264.50 1.00 264.50 44363.25 167.72 -4.62 -77.46 US20 1241.25 0.77 957.14 1.00 957.14 44363.25 46.35 3.81 17.65 US30 1326.88 1.07 1420.88 1.00 1420.88 44363.25 31.22 2.45 7.65 US5 1084.61 0.28 305.73 1.00 305.73 44363.25 145.11 -3.70 -53.68 VIX 163.50 2.83 462.36 1.00 462.36 44363.25 95.95 -20.00 -191.90 WHEAT 324.25 1.41 456.55 1.00 456.55 44363.25 97.17 -16.07 -156.19 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 36.103 0.010 2.5 0.937 BITCOIN 210.693 0.043 2.5 22.816 BOBL 1.584 0.004 2.5 0.016 BTP 34.242 0.014 2.5 1.168 BUND 35.335 0.004 2.5 0.358 BUXL 8.004 0.004 2.5 0.081 CAC 39.810 0.014 2.5 1.358 CAD 26.586 0.010 2.5 0.690 CANOLA -789.019 0.010 2.5 -19.196 CHF -3.776 0.010 2.5 -0.098 COCOA 137.937 0.009 2.5 2.954 COFFEE -1.019 0.005 2.5 -0.012 COPPER 3.981 0.043 2.5 0.431 CORN -434.410 0.010 2.5 -10.569 COTTON2 -124.300 0.009 2.5 -2.662 CRUDE_W 18.816 0.043 2.5 2.038 DAX 450.679 0.014 2.5 15.372 DOW 233.058 0.009 2.5 5.416 DX -78.707 0.010 2.5 -2.042 EUR 0.287 0.010 2.5 0.007 EURIBOR-ICE 373.323 0.014 2.5 12.734 EUROSTX 119.804 0.014 2.5 4.086 FEEDCOW -27.127 0.013 2.5 -0.899 GASOIL 11.756 0.017 2.5 0.510 GASOLINE -2.801 0.017 2.5 -0.121 GAS_US_mini -129.289 0.043 2.5 -14.001 GBP 26.042 0.010 2.5 0.676 GOLD_micro -142.428 0.014 2.5 -4.858 HEATOIL 1.350 0.017 2.5 0.059 JGB-SGX-mini 152.159 0.043 2.5 16.477 JPY 2.027 0.010 2.5 0.053 LEANHOG -53.236 0.024 2.5 -3.235 LIVECOW -64.300 0.013 2.5 -2.131 LUMBER-new -49.588 0.009 2.5 -1.059 MILK -260.632 0.009 2.5 -5.582 MXP 311.915 0.059 2.5 45.781 NASDAQ_micro 59.437 0.009 2.5 1.381 NIKKEI 120.999 0.043 2.5 13.103 NZD 79.066 0.010 2.5 2.051 OAT 58.711 0.014 2.5 2.003 OATIES -113.822 0.010 2.5 -2.769 OJ -0.538 0.009 2.5 -0.012 PALLAD 4.047 0.014 2.5 0.138 PLAT 63.645 0.014 2.5 2.171 REDWHEAT -149.249 0.005 2.5 -1.980 RICE -26.584 0.010 2.5 -0.647 ROBUSTA 61.205 0.005 2.5 0.715 RUSSELL -34.431 0.013 2.5 -1.141 SHATZ -94.995 0.004 2.5 -0.963 SILVER-mini -21.949 0.014 2.5 -0.749 SMI 47.129 0.014 2.5 1.608 SOFR 30.852 0.024 2.5 1.875 SOYBEAN -115.453 0.004 2.5 -1.074 SOYMEAL -125.366 0.004 2.5 -1.166 SOYOIL -114.348 0.004 2.5 -1.064 SP400 -3.531 0.013 2.5 -0.117 SP500_micro 72.817 0.009 2.5 1.692 SUGAR11 -67.966 0.009 2.5 -1.445 US10 -16.897 0.005 2.5 -0.214 US10U 16.393 0.005 2.5 0.208 US2 -77.465 0.005 2.5 -0.982 US20 17.655 0.005 2.5 0.224 US30 7.651 0.005 2.5 0.097 US5 -53.679 0.005 2.5 -0.680 VIX -191.899 0.099 2.5 -47.369 WHEAT -156.192 0.005 2.5 -2.072 ===================== Position diags ===================== AUD 2.59 BITCOIN 40.48 BOBL 1.52 BTP 2.02 BUND 0.70 BUXL 0.27 CAC 2.69 CAD 3.90 CANOLA 9.60 CHF 1.75 COCOA 2.33 COFFEE 0.31 COPPER 4.66 CORN 5.28 COTTON2 1.91 CRUDE_W 4.03 DAX 12.17 DOW 9.72 DX 2.57 EUR 1.67 EURIBOR-ICE 10.69 EUROSTX 4.18 FEEDCOW 1.30 GASOIL 1.41 GASOLINE 1.09 GAS_US_mini 21.22 GBP 2.63 GOLD_micro 9.47 HEATOIL 1.02 JGB-SGX-mini 21.78 JPY 1.87 LEANHOG 5.88 LIVECOW 2.43 LUMBER-new 4.89 MILK 2.79 MXP 35.11 NASDAQ_micro 4.26 NIKKEI 26.26 NZD 3.10 OAT 2.30 OATIES 2.79 OJ 0.94 PALLAD 0.49 PLAT 2.09 REDWHEAT 1.06 RICE 2.67 ROBUSTA 1.00 RUSSELL 11.37 SHATZ 4.62 SILVER-mini 1.58 SMI 2.05 SOFR 15.13 SOYBEAN 0.81 SOYMEAL 0.86 SOYOIL 0.95 SP400 0.51 SP500_micro 7.09 SUGAR11 1.85 US10 1.20 US10U 0.88 US2 2.13 US20 0.59 US30 0.40 US5 1.84 VIX 23.68 WHEAT 1.29 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.9 0.7 1.2 2.0 2 BITCOIN 22.8 18.8 26.9 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 1.4 1.1 1.6 0.0 0 CAD 0.7 0.3 1.1 2.0 2 CANOLA -19.2 -20.2 -18.2 -6.0 -6 CHF -0.1 -0.3 0.1 -4.0 -4 COCOA 3.0 2.7 3.2 6.0 6 COFFEE -0.0 -0.0 0.0 1.0 1 COPPER 0.4 -0.0 0.9 5.0 5 CORN -10.6 -11.1 -10.0 -6.0 -6 COTTON2 -2.7 -2.9 -2.5 -4.0 -4 CRUDE_W 2.0 1.6 2.4 1.0 1 DAX 15.4 14.2 16.6 0.0 0 DOW 5.4 4.4 6.4 1.0 1 DX -2.0 -2.3 -1.8 NaN 0 EUR 0.0 -0.2 0.2 3.0 3 EURIBOR-ICE 12.7 11.7 13.8 2.0 2 EUROSTX 4.1 3.7 4.5 19.0 19 FEEDCOW -0.9 -1.0 -0.8 -1.0 -1 GASOIL 0.5 0.4 0.7 0.0 0 GASOLINE -0.1 -0.2 -0.0 0.0 0 GAS_US_mini -14.0 -16.1 -11.9 -15.0 -15 GBP 0.7 0.4 0.9 1.0 1 GOLD_micro -4.9 -5.8 -3.9 -17.0 -17 HEATOIL 0.1 -0.0 0.2 0.0 0 JGB-SGX-mini 16.5 14.3 18.7 9.0 9 JPY 0.1 -0.1 0.2 1.0 1 LEANHOG -3.2 -3.8 -2.6 -1.0 -1 LIVECOW -2.1 -2.4 -1.9 0.0 0 LUMBER-new -1.1 -1.5 -0.6 NaN 0 MILK -5.6 -5.9 -5.3 NaN 0 MXP 45.8 42.3 49.3 44.0 44 NASDAQ_micro 1.4 1.0 1.8 9.0 9 NIKKEI 13.1 10.5 15.7 14.0 14 NZD 2.1 1.7 2.4 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 -0.1 0.1 NaN 0 PALLAD 0.1 0.1 0.2 0.0 0 PLAT 2.2 2.0 2.4 1.0 1 REDWHEAT -2.0 -2.1 -1.9 -3.0 -3 RICE -0.6 -0.9 -0.4 NaN 0 ROBUSTA 0.7 0.6 0.8 0.0 0 RUSSELL -1.1 -2.3 -0.0 1.0 1 SHATZ -1.0 -1.4 -0.5 NaN 0 SILVER-mini -0.7 -0.9 -0.6 NaN 0 SMI 1.6 1.4 1.8 9.0 9 SOFR 1.9 0.4 3.4 NaN 0 SOYBEAN -1.1 -1.2 -1.0 -2.0 -2 SOYMEAL -1.2 -1.3 -1.1 -2.0 -2 SOYOIL -1.1 -1.2 -1.0 -3.0 -3 SP400 -0.1 -0.2 -0.1 1.0 1 SP500_micro 1.7 1.0 2.4 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 -47.4 -49.7 -45.0 -16.0 -16 WHEAT -2.1 -2.2 -1.9 -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 1.2 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 -0.1 0.0 0.1 -0.2 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.2 0.1 0.0 -0.1 0.2 0.4 0.1 -0.0 0.1 0.0 -0.0 0.1 -0.1 -0.1 0.1 -0.0 0.1 -0.5 -0.4 -0.2 0.2 BITCOIN -0.1 0.3 0.6 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.0 0.5 0.0 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.0 0.4 0.2 -2.7 0.1 -0.1 0.2 -0.0 0.2 0.0 -0.1 -0.1 -0.0 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 -0.0 0.1 0.1 -0.1 0.1 0.1 -0.4 -0.2 -0.4 -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 -0.1 -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 0.0 0.7 -0.5 -0.1 0.2 0.3 -0.4 -0.7 0.3 0.1 BUND 0.5 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 0.0 -0.1 0.1 0.1 0.1 0.1 0.0 0.0 0.2 0.1 0.1 -0.0 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 0.4 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 -0.1 0.2 0.2 -0.7 -0.7 -0.2 0.3 CAC 0.1 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 -0.1 0.3 0.2 -1.1 0.1 -0.1 0.1 -0.0 0.1 0.0 0.0 -0.5 -0.3 -0.1 -0.0 0.3 0.3 0.6 0.5 CAD 0.6 0.6 0.1 0.1 -0.0 0.1 0.0 0.1 0.1 -0.2 -0.0 0.1 -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 0.0 -0.1 0.1 0.0 -0.2 0.3 -0.0 -0.2 -0.7 -0.6 0.0 -0.5 CANOLA -0.4 -0.5 -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 -0.2 -0.1 -0.1 -0.3 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.4 -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 -0.0 0.1 0.1 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 0.0 0.1 0.1 0.0 0.1 -1.1 0.5 0.6 0.6 -0.0 -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 -0.0 0.5 0.1 0.7 0.2 0.2 0.2 0.0 0.2 0.1 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 -0.1 0.3 -0.0 0.4 0.0 0.4 -0.3 0.6 0.6 0.6 0.6 0.0 0.7 0.7 COFFEE 0.1 0.4 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 -0.1 0.4 0.6 0.6 -0.7 -0.7 -0.5 -0.4 COPPER 0.2 0.5 0.2 0.0 -0.1 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 -1.1 0.1 -0.0 0.1 0.0 -0.0 0.1 0.1 0.2 0.3 0.4 0.1 -0.3 -0.3 0.2 -0.2 CORN -0.2 -0.1 -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 -0.2 -2.7 -0.1 -0.1 -0.2 -0.2 -0.3 -0.1 -0.2 0.0 -0.6 -0.3 0.2 -0.2 -0.4 0.1 0.1 COTTON2 0.1 -0.1 -0.5 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 0.1 -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 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.0 0.5 0.5 -0.1 -0.4 -0.6 -0.5 -0.2 0.0 CRUDE_W 0.1 -0.4 -0.2 -0.1 0.0 -0.1 -0.0 0.0 -0.1 -0.0 0.1 -0.0 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 0.0 0.0 -0.0 0.2 -0.1 -0.2 -0.1 0.1 0.3 0.5 0.7 0.5 0.7 0.5 DAX -0.2 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 -0.3 -0.2 0.2 0.2 -0.0 0.3 0.2 2.6 0.1 -0.1 0.1 -0.0 0.1 0.0 -0.4 -0.3 -0.6 0.5 0.2 0.2 0.2 0.6 0.6 DOW 0.5 0.6 0.5 0.1 -0.0 0.1 0.0 0.0 0.0 -0.0 0.4 0.2 0.5 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.4 0.2 -1.8 0.1 -0.0 0.1 0.0 0.1 0.1 -0.4 0.2 0.5 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 -0.0 -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 0.4 0.2 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 -0.0 0.0 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 0.0 -0.4 -0.0 -0.0 -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 0.2 0.1 0.1 0.2 2.2 0.0 0.0 0.1 0.0 0.0 0.0 -0.4 0.0 0.1 0.3 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 -0.1 0.7 0.2 0.2 0.2 -0.0 0.0 -0.0 0.2 0.2 -0.1 0.4 0.2 0.4 0.1 -0.1 0.1 -0.0 0.1 0.0 0.4 -0.5 -0.6 -0.1 0.2 0.1 0.2 0.3 0.5 FEEDCOW 0.6 -0.5 -0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -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 0.1 0.4 -0.4 -0.6 0.4 0.1 0.7 0.4 GASOIL 0.2 -0.5 -0.4 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.2 -0.1 -0.1 0.2 0.4 0.3 0.4 -0.1 -0.0 -0.1 0.2 -0.1 1.1 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.7 -0.0 0.2 0.1 0.2 -0.3 -0.1 -0.6 -0.3 GASOLINE 0.3 -0.2 -0.6 -0.1 0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.0 0.1 0.2 0.0 -0.1 -0.4 0.3 -0.4 0.0 -0.1 -0.0 0.0 0.1 -0.0 -2.7 -0.0 0.0 -0.0 -0.0 0.2 -0.0 0.1 0.0 0.3 0.6 -0.1 0.7 0.4 0.7 0.3 GAS_US_mini 0.3 -0.6 -0.1 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.3 0.1 -0.5 -0.1 -0.1 0.4 -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 0.1 0.0 0.0 0.0 0.2 0.0 -0.3 -0.1 -0.3 -0.5 0.0 -0.3 0.4 GOLD_micro 0.2 0.4 0.4 0.0 -0.1 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 0.0 0.1 0.1 -0.7 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.8 0.1 -0.1 0.2 0.3 -0.6 -0.7 -0.5 -0.6 HEATOIL 0.1 -0.5 -0.4 -0.0 0.0 -0.1 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.2 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 -0.0 -0.0 0.2 -0.1 -2.6 -0.0 0.0 -0.0 -0.0 0.2 -0.0 1.0 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 0.1 0.1 0.1 0.1 0.1 0.2 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 -0.2 -0.3 -0.0 -0.1 0.0 -0.7 0.4 0.6 JPY 0.5 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 0.0 -0.2 0.1 2.7 0.0 -0.0 -0.0 0.0 -0.1 0.0 -1.1 0.0 0.2 -0.0 -0.2 -0.3 -0.7 -0.1 -0.7 LEANHOG -0.0 -0.3 -0.3 -0.0 -0.1 -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 -0.2 2.0 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 0.3 0.0 0.1 -0.1 -0.1 -0.4 -0.3 0.3 0.4 LIVECOW 0.3 -0.6 -0.6 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 0.1 -0.2 0.1 0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 0.0 -0.1 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.4 -0.0 0.0 -0.6 -0.6 0.2 -0.2 0.4 -0.0 LUMBER-new 0.5 0.6 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 0.1 -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 -0.8 MILK -0.6 -0.6 -0.6 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -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 1.6 -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 -0.1 0.4 0.2 0.7 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 0.4 0.6 0.3 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.4 0.0 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 0.0 -0.3 0.0 0.4 0.2 0.2 0.4 -0.2 0.5 -0.3 NIKKEI 0.0 0.2 0.1 0.1 -0.0 0.1 0.0 0.1 0.0 -0.2 0.5 0.1 0.7 0.1 0.2 0.4 0.2 0.3 0.2 0.1 0.2 0.0 0.5 0.1 -1.9 0.1 0.0 0.2 0.0 0.4 0.1 1.1 0.4 -0.5 -0.6 -0.2 -0.4 -0.0 -0.3 0.1 NZD 0.4 0.6 0.5 0.1 -0.0 0.1 0.0 0.1 0.0 -0.1 0.1 0.1 0.1 0.2 0.2 0.0 0.0 0.0 0.0 0.2 0.1 0.0 -0.0 0.2 0.1 0.1 0.0 0.1 0.0 0.0 0.1 0.2 -0.1 -0.0 0.1 0.3 -0.3 -0.4 -0.2 0.2 OAT 0.5 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.2 0.0 -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 -0.3 -0.1 0.2 0.3 -0.6 -0.7 0.0 0.2 OATIES 0.4 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 -0.6 0.1 -0.1 -0.2 -0.6 0.0 0.2 0.4 0.7 OJ -0.6 -0.6 -0.6 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 0.0 0.2 -0.1 0.4 -0.1 -0.0 0.1 0.4 0.3 0.4 -0.0 0.2 -0.1 0.5 -0.2 -2.7 0.0 0.0 0.2 -0.0 0.3 -0.0 1.1 -0.5 -0.6 -0.1 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 0.5 0.5 0.2 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.1 -0.1 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 1.9 0.0 -0.0 0.0 0.0 -0.0 0.1 0.3 0.3 0.6 0.3 0.2 -0.2 -0.3 0.5 -0.1 REDWHEAT -0.0 0.4 -0.4 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.4 -0.1 -0.5 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.5 -0.1 -1.6 -0.1 -0.0 -0.2 -0.1 -0.2 -0.0 -0.0 0.0 -0.4 -0.2 -0.5 -0.7 -0.7 -0.7 -0.5 RICE -0.1 0.1 0.2 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.5 0.1 0.5 0.2 0.2 -0.2 0.0 -0.3 -0.1 0.1 0.1 0.0 0.3 0.1 -2.7 0.0 -0.2 0.1 -0.1 0.1 -0.0 0.0 -0.5 0.2 0.6 0.6 -0.1 -0.4 0.3 -0.1 ROBUSTA 0.3 0.5 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.3 0.0 0.3 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.1 0.0 0.3 0.1 -2.1 0.0 -0.0 0.1 0.0 0.1 0.0 1.1 -0.1 0.6 0.6 0.6 -0.4 -0.5 -0.0 0.0 RUSSELL 0.6 0.6 0.3 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 0.1 0.1 -0.0 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.0 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 -0.1 0.0 -0.0 0.0 0.0 -0.1 0.0 -0.0 0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 0.0 -0.0 0.8 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.1 -0.4 -0.1 -0.1 -0.7 -0.7 0.2 -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 0.2 -0.2 SOFR 0.5 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 0.1 -0.1 0.1 0.1 0.0 -0.0 0.0 0.0 0.1 0.1 0.0 -0.0 0.1 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.0 -0.1 -0.0 0.0 -0.7 -0.7 -0.2 -0.2 SOYBEAN -0.4 -0.3 -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 -0.3 -0.5 -0.1 0.3 -0.7 -0.7 -0.7 -0.7 SOYMEAL -0.6 -0.5 0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.1 0.1 -0.2 -0.1 0.2 0.3 0.3 0.3 -0.1 -0.0 -0.2 0.1 -0.2 -2.7 -0.0 -0.0 0.0 -0.1 0.1 -0.1 1.1 0.0 -0.6 -0.5 0.3 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.2 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 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 -0.1 -0.2 0.2 -0.4 -0.4 -0.0 -0.0 0.3 SP400 0.5 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 0.0 0.1 0.2 -1.3 0.0 -0.0 0.1 -0.0 0.0 0.0 0.1 -0.2 0.2 0.2 -0.1 -0.5 -0.3 -0.7 -0.7 SP500_micro 0.4 0.6 0.3 0.1 -0.0 0.1 0.0 0.0 0.0 -0.1 0.4 0.1 0.5 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.0 0.4 0.2 -2.7 0.1 -0.0 0.1 0.0 0.1 0.1 -0.4 0.1 0.4 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 -0.1 -2.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.1 0.1 -0.6 -0.6 -0.2 0.1 -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 -0.0 -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 -0.1 -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 -0.2 -0.1 -0.0 -0.1 -0.7 -0.7 0.1 0.5 US2 0.5 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.1 0.1 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.0 -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 0.6 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 0.0 0.0 -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 0.5 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 -0.1 -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 -0.0 -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 -0.1 -0.1 -0.0 0.0 -0.7 -0.7 -0.7 -0.4 VIX 0.3 -0.7 -0.2 -0.1 0.0 -0.3 -0.0 -0.6 -0.0 -0.2 -0.9 -0.1 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.1 -0.9 -0.3 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 0.1 0.5 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -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 -0.0 -0.5 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.8 0.1 -0.2 -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 14.0 20.0 13.4 4.4 -0.0 2.9 2.1 1.7 4.2 -12.0 1.5 7.4 -6.7 13.0 13.2 -2.1 -2.9 -2.6 -2.8 15.7 6.5 3.4 -2.9 15.4 2.9 5.0 -1.5 2.1 2.5 -0.6 5.6 -1.0 -2.8 3.7 -0.8 3.2 -15.8 -11.7 -6.8 5.2 BITCOIN -3.8 9.0 20.0 2.6 -10.4 1.2 -3.1 0.6 1.8 -5.0 20.0 1.1 18.4 14.5 20.0 -9.4 -6.4 -9.0 -7.9 20.0 20.0 4.6 16.5 15.7 -20.0 7.8 -6.1 7.3 -1.8 4.6 4.0 -2.2 -4.0 -1.1 20.0 20.0 -5.5 13.0 2.9 20.0 BOBL 19.8 20.0 20.0 2.4 0.7 0.9 1.6 -0.6 2.6 -2.4 4.3 5.5 -2.6 8.1 8.4 -20.0 -8.4 -18.4 -12.4 16.3 8.6 7.5 -1.4 16.1 8.2 3.1 0.6 1.5 1.9 -0.1 3.3 -15.4 -5.3 -2.0 1.0 6.4 -17.3 -20.0 -3.1 -18.1 BTP 14.6 20.0 16.6 3.6 1.0 1.3 2.4 -0.9 3.9 -10.2 9.0 5.4 6.5 11.0 12.4 4.9 7.2 5.9 6.2 20.0 13.8 7.0 3.4 20.0 -8.5 4.4 -0.9 2.5 1.3 0.7 4.2 13.7 -19.1 -3.7 6.0 8.5 -13.5 -20.0 7.9 3.8 BUND 16.1 20.0 20.0 2.6 0.7 0.9 1.7 -0.6 2.8 -4.0 4.9 4.3 -2.9 8.3 8.8 4.7 4.2 2.1 2.1 16.8 8.6 5.9 -1.7 15.9 5.5 3.2 0.0 1.6 1.3 -0.1 3.1 7.5 -12.3 -3.0 2.6 6.4 -18.0 -20.0 -4.6 -6.3 BUXL 13.8 20.0 20.0 3.0 0.9 1.1 2.0 -0.7 3.2 -5.9 4.8 2.9 -5.7 9.0 9.5 0.2 0.7 0.3 0.5 17.9 7.9 3.9 -4.2 16.4 0.9 3.4 -0.3 1.5 0.9 -0.4 3.3 3.3 -19.8 -3.6 5.7 4.8 -20.0 -20.0 -4.5 9.9 CAC 2.1 20.0 0.0 6.4 -5.2 3.8 0.3 1.7 5.2 -20.0 14.1 -5.5 20.0 19.3 20.0 -9.9 -4.4 -8.1 -6.6 20.0 15.2 -8.6 12.7 16.6 -8.5 6.7 -9.1 3.9 -4.3 2.6 4.1 0.7 -20.0 -8.0 -4.6 -0.9 9.2 7.7 18.9 13.7 CAD 20.0 20.0 4.1 6.5 -0.0 4.3 3.1 2.5 6.2 -17.5 -0.8 10.4 -7.4 18.1 16.5 -1.8 -2.2 -2.2 -2.3 20.0 6.2 7.9 -4.7 20.0 2.5 6.2 -2.0 1.4 4.1 -1.4 8.5 0.0 -6.4 9.6 -0.8 -5.8 -20.0 -18.6 0.5 -14.7 CANOLA -12.0 -14.8 -20.0 -2.4 -3.8 -2.9 -3.6 -3.5 -2.8 -9.0 -6.5 -9.6 -5.7 -9.7 -10.0 -11.4 -0.2 -10.7 -6.9 -14.3 -12.7 -12.0 -9.7 -13.4 -20.0 -3.9 -2.2 -3.3 -3.6 -2.8 -4.0 -2.1 -6.7 -12.7 -16.3 -20.0 -15.1 -11.8 -5.5 -0.1 CHF 19.2 20.0 6.4 5.5 -0.0 3.7 2.7 2.2 5.3 -2.8 5.5 13.0 9.6 17.6 17.2 -15.6 -15.4 -16.4 -16.1 20.0 13.4 20.0 6.4 20.0 -8.7 6.5 4.9 2.8 9.1 1.2 9.5 -20.0 20.0 20.0 19.5 -0.2 -20.0 -20.0 -20.0 -20.0 COCOA -1.0 12.8 20.0 -6.2 -9.7 -7.3 -9.3 -9.0 -7.1 -2.7 20.0 8.6 20.0 20.0 20.0 11.3 1.2 7.6 3.8 20.0 20.0 3.3 20.0 20.0 -20.0 9.0 -6.1 11.2 -2.5 11.6 3.9 7.4 -10.8 19.8 20.0 20.0 19.3 0.5 20.0 20.0 COFFEE 2.7 13.8 20.0 -2.9 -4.6 -3.5 -4.4 -4.3 -3.3 -10.0 5.1 0.6 -2.6 6.1 9.5 8.1 4.3 7.8 5.7 10.8 7.3 -0.9 1.4 7.5 -15.6 4.0 -3.2 3.0 -0.7 1.2 2.6 11.8 -3.3 12.2 20.0 20.0 -19.9 -20.0 -15.8 -11.1 COPPER 6.6 16.0 6.3 2.1 -8.4 0.9 -2.5 0.4 1.4 -16.0 -0.3 5.6 -2.9 12.9 12.7 -4.9 -4.4 -5.8 -5.6 10.0 3.5 0.7 -2.9 8.9 -8.0 5.2 -1.3 2.1 2.1 -0.7 5.3 1.4 8.7 10.4 13.9 3.0 -7.7 -9.8 7.2 -7.4 CORN -6.4 -1.8 -6.5 -6.1 -9.6 -7.2 -9.2 -8.9 -6.9 -20.0 -20.0 -20.0 -20.0 -20.0 -19.1 -9.9 -1.7 -8.3 -6.2 -13.0 -20.0 -18.3 -20.0 -14.5 -20.0 -7.5 -9.8 -6.4 -14.8 -8.9 -12.5 -3.3 1.7 -20.0 -9.8 6.4 -6.8 -11.0 1.9 3.0 COTTON2 2.9 -4.3 -15.0 -4.9 -7.7 -5.8 -7.4 -7.2 -5.6 12.4 -11.9 -2.5 -9.0 -0.4 -13.6 -8.9 -0.6 -7.2 -4.5 -10.8 -12.1 3.0 -9.2 -2.5 -20.0 -4.3 7.8 -4.8 5.7 -2.2 0.6 -0.8 20.0 14.3 -1.6 -11.8 -18.2 -14.4 -5.2 1.2 CRUDE_W 2.5 -12.3 -5.5 -5.0 0.5 -2.2 -3.1 1.2 -4.7 -4.5 5.3 -4.2 6.8 -9.0 -12.7 6.1 9.7 7.8 9.0 -7.3 0.5 -7.1 7.7 -8.2 -4.4 -4.3 0.4 0.7 -4.5 5.5 -5.8 -3.3 -4.9 1.6 8.1 15.6 20.0 13.7 20.0 14.1 DAX -5.7 20.0 6.0 6.0 -4.9 3.5 0.2 1.6 4.9 -12.0 14.0 -6.8 18.3 20.0 20.0 -15.3 -9.4 -12.8 -11.1 20.0 19.8 -2.8 11.6 20.0 19.2 6.4 -6.0 3.8 -2.6 1.8 3.9 -7.4 -12.5 -17.6 14.0 6.0 6.5 5.1 17.2 16.6 DOW 13.9 20.0 14.9 4.9 -4.0 2.9 0.2 1.3 4.0 -3.6 15.4 16.6 15.1 19.7 19.5 -11.3 -9.3 -10.9 -10.4 20.0 20.0 16.5 13.6 20.0 -13.1 6.3 -1.6 4.0 1.8 2.3 5.7 -6.9 7.2 16.4 20.0 10.4 -8.7 -4.0 -9.5 -6.6 DX -12.6 -20.0 -9.5 3.4 -0.0 2.3 1.7 1.3 3.3 9.9 0.7 -4.0 -4.5 -9.1 -9.3 5.0 6.0 6.0 6.2 -11.0 -4.4 -0.7 1.1 -10.5 -20.0 -3.5 0.6 -1.1 -2.1 0.8 -4.1 14.4 -11.8 -20.0 -20.0 -13.8 14.1 4.2 18.7 12.2 EUR 8.6 13.5 6.0 4.0 -0.0 2.7 1.9 1.6 3.8 -12.4 -0.8 2.8 5.4 8.0 9.7 -5.4 -6.7 -5.9 -6.2 8.1 3.5 -1.9 -0.4 7.1 10.1 3.7 -1.1 1.4 2.1 -0.2 4.3 -7.2 -2.1 -1.2 -5.8 -5.6 -18.2 -12.3 -15.0 -6.2 EURIBOR-ICE 20.0 20.0 20.0 2.2 0.6 0.8 1.5 -0.6 2.4 2.3 6.4 6.9 0.6 8.1 8.5 -0.6 -5.9 -2.7 -4.6 20.0 14.1 11.8 2.9 20.0 16.7 3.1 0.9 1.9 2.2 0.4 3.2 -7.3 0.4 4.5 7.8 15.9 -20.0 -20.0 7.0 20.0 EUROSTX -3.8 20.0 5.1 6.1 -5.0 3.6 0.3 1.7 5.0 -20.0 14.7 -9.3 19.9 18.2 20.0 8.9 -1.2 1.8 -1.0 20.0 18.9 -8.9 15.0 14.8 3.2 6.6 -8.1 4.5 -4.5 2.9 3.2 7.7 -19.6 -18.4 -2.4 6.6 2.4 7.4 8.4 15.3 FEEDCOW 17.9 -15.1 -20.0 -2.9 -4.6 -3.4 -4.4 -4.2 -3.3 10.3 -7.3 11.2 -0.8 0.4 -7.9 -20.0 -20.0 -17.3 -19.1 -11.8 -12.9 7.9 -3.3 0.3 -1.6 -2.8 0.1 -2.4 0.6 0.8 -0.5 -20.0 3.9 12.7 -10.9 -20.0 12.4 3.0 20.0 10.7 GASOIL 5.2 -15.9 -11.0 -4.1 0.4 -1.8 -2.5 0.9 -3.8 -3.3 4.7 -0.5 5.8 -5.7 -11.1 11.6 20.0 15.4 18.5 -8.6 -1.2 -5.7 7.5 -7.6 8.0 -3.3 0.4 0.1 -1.4 3.4 -2.9 14.0 -0.2 5.1 4.1 6.6 -9.1 -2.1 -19.0 -7.8 GASOLINE 9.6 -6.0 -17.6 -4.9 0.5 -2.1 -3.0 1.1 -4.5 3.8 -0.7 6.4 4.4 1.6 -11.9 -20.0 16.1 -20.0 2.1 -6.1 -3.8 0.6 4.5 -1.9 -20.0 -3.7 3.8 -1.5 -0.4 4.5 -2.3 1.1 1.7 9.2 17.8 -1.8 20.0 12.0 20.0 9.8 GAS_US_mini 8.2 -20.0 -3.7 -3.2 0.3 -1.4 -2.0 0.7 -3.0 11.5 -11.7 8.0 -13.6 -8.5 -10.9 20.0 -20.0 -9.0 -20.0 -19.0 -20.0 2.8 -20.0 -9.5 17.6 -3.9 1.8 -3.3 1.0 -2.2 -2.0 -20.0 20.0 2.2 -11.7 -3.6 -17.3 4.2 -20.0 0.0 GBP 2.2 16.3 2.7 4.4 -0.0 2.9 2.1 1.7 4.2 -8.5 -0.5 0.3 8.1 11.1 11.4 -0.1 -0.7 -0.4 -0.5 9.3 5.3 -0.9 2.1 7.1 1.6 4.3 2.3 2.0 3.2 0.2 4.6 2.9 0.2 -8.9 -4.4 -8.9 -13.6 0.6 -10.3 13.4 GOLD_micro 4.7 12.0 13.6 1.8 -7.1 0.8 -2.1 0.4 1.2 -9.9 6.8 6.3 6.2 9.1 12.2 -12.6 -13.9 -13.8 -14.3 10.8 7.5 1.5 3.8 8.7 -5.1 3.9 -5.1 2.9 -1.2 1.8 2.4 -14.4 3.9 -2.4 5.8 9.1 -19.0 -20.0 -15.4 -19.3 HEATOIL 4.0 -14.7 -13.4 -4.4 0.5 -1.9 -2.7 1.0 -4.1 -2.9 3.1 -1.9 4.3 -8.6 -12.8 19.6 20.0 20.0 20.0 -10.5 -3.2 -4.9 5.9 -8.9 -19.8 -3.9 3.5 -0.3 -0.4 4.5 -3.2 19.2 3.4 5.7 6.9 2.3 14.3 0.3 11.6 -5.0 JGB-SGX-mini 11.7 20.0 4.4 1.9 0.6 0.7 1.3 -0.5 2.1 -4.0 2.0 5.4 3.0 6.4 6.1 8.4 18.5 12.7 14.8 6.3 3.3 2.8 1.3 6.3 -2.2 1.8 -0.3 0.7 0.8 -0.2 1.9 20.0 -6.3 -9.6 -1.2 -2.5 1.5 -20.0 11.1 17.6 JPY 15.5 20.0 20.0 2.7 -0.0 1.8 1.3 1.0 2.6 -5.8 -4.9 4.8 -8.2 8.0 6.2 -13.9 -16.1 -16.1 -16.7 6.1 -1.8 2.1 -9.2 7.9 20.0 2.2 -0.6 -0.8 1.7 -3.0 3.3 -20.0 1.3 6.8 -0.8 -6.6 -9.0 -20.0 -3.5 -20.0 LEANHOG -1.2 -10.0 -10.4 -3.9 -6.1 -4.6 -5.8 -5.6 -4.4 -14.5 -5.1 -13.3 -10.0 -12.0 -12.3 -20.0 3.5 -20.0 -5.4 -13.6 -13.4 -20.0 -15.2 -15.2 15.1 -2.9 -5.3 -5.4 -3.7 -9.4 -2.2 5.9 1.8 2.0 -4.5 -2.0 -10.6 -7.7 8.1 11.2 LIVECOW 8.2 -20.0 -20.0 -3.4 -5.3 -4.0 -5.1 -4.9 -3.8 11.7 -7.6 11.6 0.1 -3.8 -9.4 -11.1 -5.3 -9.9 -8.1 -16.0 -14.0 5.4 -2.8 -5.0 0.1 -4.2 -0.4 -2.7 -1.1 1.1 -2.5 -6.7 -0.3 1.5 -19.7 -17.9 6.0 -6.6 11.1 -0.5 LUMBER-new 12.0 17.1 9.8 -6.4 -10.0 -7.4 -9.6 -7.8 -7.3 -13.1 -2.5 12.2 -18.5 17.1 20.0 -9.0 -14.0 -12.3 -13.5 20.0 7.8 13.2 -6.3 20.0 NaN 7.8 -1.1 3.1 5.6 -0.5 9.5 -20.0 20.0 20.0 20.0 20.0 -17.3 -20.0 -10.3 -19.6 MILK -20.0 -20.0 -17.7 -4.7 -7.4 -5.6 -7.1 -6.9 -5.4 -17.3 -18.8 -19.0 -18.5 -19.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 11.8 -7.3 -2.1 -6.4 -5.2 -6.4 -7.4 -20.0 0.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 11.5 14.3 0.6 5.5 -0.0 3.7 2.7 2.2 5.3 -6.3 16.5 15.2 18.4 18.7 17.9 15.0 16.3 14.6 15.1 18.8 16.6 9.2 20.0 18.2 -20.0 6.1 1.6 5.3 4.8 7.5 6.7 20.0 1.2 -3.0 -9.6 -5.3 11.8 17.5 20.0 20.0 NASDAQ_micro 11.5 20.0 10.2 4.0 -3.2 2.3 0.2 1.1 3.2 -13.6 14.2 4.4 13.9 12.3 14.8 -11.6 -9.1 -10.8 -10.1 20.0 20.0 -4.0 20.0 17.6 -20.0 5.1 -3.2 4.4 0.3 4.4 4.2 -6.5 0.3 12.1 4.8 7.1 13.3 -6.0 14.5 -8.0 NIKKEI 1.0 5.9 2.3 5.4 -4.3 3.1 0.2 1.5 4.3 -17.2 17.7 12.1 18.8 11.1 16.1 18.0 11.3 13.3 11.6 11.7 15.7 1.0 20.0 7.6 -14.1 5.2 1.2 6.8 4.0 10.2 5.0 20.0 16.2 -15.0 -20.0 -6.7 -11.1 -1.0 -8.8 3.4 NZD 13.1 20.0 14.8 4.8 -0.0 3.2 2.3 1.9 4.6 -14.7 3.8 7.4 1.9 15.2 15.5 0.3 0.2 0.1 0.1 20.0 10.3 3.6 -0.8 18.8 0.8 5.7 0.0 2.9 3.1 0.2 5.9 4.2 -4.4 -0.3 3.6 8.4 -8.1 -12.1 -4.9 5.5 OAT 16.2 20.0 20.0 2.7 0.8 1.0 1.8 -0.7 2.9 -5.5 5.9 4.3 -2.5 8.6 9.3 4.2 6.9 5.0 5.7 18.7 10.0 5.8 -0.7 17.2 7.9 3.4 -0.2 1.8 1.2 0.1 3.2 13.0 -14.4 -2.2 5.1 7.9 -18.1 -20.0 1.3 6.3 OATIES 11.9 0.5 -20.0 -2.0 -3.2 -2.4 -3.1 -3.0 -2.3 -1.9 -5.8 1.8 -4.4 -0.2 -6.7 0.3 -7.4 -6.3 -9.4 -6.4 -7.0 -0.6 -3.5 -1.9 -20.0 -2.3 -0.1 -2.4 0.1 -1.2 -0.8 -12.0 3.4 -2.5 -5.1 -19.3 1.2 7.0 11.6 20.0 OJ -20.0 -20.0 -18.1 -3.4 -5.4 -4.1 -5.2 -5.0 -3.9 5.5 8.9 -7.9 12.4 -10.4 -0.9 5.1 19.7 14.0 18.2 -4.4 14.2 -12.4 20.0 -18.4 -20.0 0.5 0.7 5.6 -3.9 9.0 -4.1 20.0 -19.2 -20.0 -3.8 20.0 10.3 12.1 20.0 20.0 PALLAD 20.0 18.1 13.4 0.9 -3.6 0.4 -1.1 0.2 0.6 -7.3 -5.2 0.4 -7.7 2.0 -0.1 -1.7 -2.3 -1.9 -2.2 -0.0 -4.5 -4.2 -8.9 1.3 6.0 -0.2 -1.4 -1.7 0.3 -2.2 1.2 6.2 -7.2 15.7 -3.0 -8.4 -4.9 -7.3 1.7 -1.7 PLAT 16.5 16.4 6.4 1.7 -6.7 0.8 -2.0 0.4 1.1 -10.0 -3.9 8.0 -5.7 12.2 9.3 -3.5 -2.9 -3.5 -3.3 10.0 2.2 6.3 -2.9 13.0 14.1 4.0 -1.9 1.5 3.4 -0.0 5.7 4.7 12.2 19.9 8.3 4.9 -4.9 -9.1 15.2 -2.9 REDWHEAT -0.2 12.8 -13.1 -3.7 -5.8 -4.4 -5.6 -5.4 -4.2 -10.8 -13.6 -10.2 -14.6 -0.1 -9.0 -2.9 -1.4 -3.8 -3.1 -10.3 -16.9 -6.4 -18.6 -5.5 -11.8 -5.1 -4.4 -6.7 -5.0 -6.2 -4.4 -0.2 0.2 -11.2 -6.6 -14.0 -20.0 -20.0 -20.0 -14.0 RICE -2.9 4.1 5.8 -5.3 -8.4 -6.3 -8.1 -7.8 -6.1 -9.9 18.1 5.6 14.2 14.3 16.2 -12.0 0.7 -13.3 -7.0 13.5 13.0 4.9 9.5 10.1 -20.0 3.7 -20.0 4.5 -12.3 3.3 -1.4 0.2 -19.3 6.9 20.0 20.0 -3.3 -12.4 8.8 -2.4 ROBUSTA 9.3 15.1 -9.1 -2.6 -4.0 -3.0 -3.9 -3.8 -2.9 -9.3 9.3 3.2 9.7 7.2 9.0 20.0 20.0 20.0 20.0 14.9 11.6 1.2 9.7 12.4 -16.1 3.7 -1.2 2.7 1.0 2.2 3.5 20.0 -2.7 20.0 20.0 20.0 -12.0 -14.7 -0.6 0.5 RUSSELL 19.0 20.0 8.4 3.1 -2.5 1.8 0.1 0.8 2.5 -9.0 4.3 4.7 -0.1 10.2 9.6 -6.1 -6.1 -6.3 -6.4 16.0 7.2 2.1 0.5 16.0 -1.9 3.4 -3.9 1.5 -0.3 0.3 3.3 -0.7 -4.6 10.1 5.6 -3.5 -18.1 -16.3 -20.0 -18.9 SHATZ 20.0 20.0 20.0 2.1 0.6 0.8 1.4 -0.5 2.3 -1.1 1.0 6.2 -5.1 7.6 7.0 -20.0 -20.0 -20.0 -20.0 12.6 5.1 7.7 -4.3 13.8 8.8 2.6 1.1 1.1 2.4 -0.5 3.3 -20.0 0.8 -1.9 -0.4 4.4 -14.2 -20.0 -6.6 -20.0 SILVER-mini -2.0 8.1 2.9 1.8 -7.1 0.8 -2.1 0.4 1.2 -13.9 0.8 -3.3 3.1 -1.7 4.4 -7.0 -6.4 -7.0 -6.8 1.9 1.3 -10.6 0.1 -2.4 5.8 0.0 -11.5 0.5 -6.3 0.7 -1.8 -1.4 -5.2 -12.4 -1.9 -3.0 -20.0 -20.0 4.7 -15.0 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 17.1 -20.0 -4.1 -16.6 -8.3 0.9 -6.6 5.4 -5.6 SOFR 16.1 20.0 17.8 2.5 0.7 0.9 1.7 -0.6 2.7 -5.6 2.1 6.2 -1.5 8.7 8.8 1.2 -0.2 0.7 0.1 13.0 5.6 5.2 -1.8 12.6 -1.6 3.0 1.0 1.2 2.3 -0.4 3.4 1.9 -0.8 -3.3 -0.1 1.5 -20.0 -20.0 -6.4 -6.8 SOYBEAN -13.7 -7.9 -1.9 -5.1 -8.1 -6.1 -7.7 -7.5 -5.9 -17.0 6.9 -18.6 6.5 -17.7 -11.7 14.3 17.2 15.2 15.1 -10.8 -2.7 -20.0 0.1 -20.0 -20.0 -1.3 -9.1 2.2 -12.4 2.4 -8.1 20.0 -11.4 -16.8 -2.6 8.0 -20.0 -20.0 -20.0 -20.0 SOYMEAL -18.3 -15.4 3.8 -3.7 -5.8 -4.4 -5.6 -5.4 -4.2 -12.3 -2.1 -13.2 2.8 -14.2 -5.4 7.8 16.4 12.7 14.4 -9.5 -1.5 -16.9 2.7 -16.7 -20.0 -2.0 -3.0 1.1 -5.1 2.8 -5.1 20.0 0.7 -17.1 -14.8 9.9 -20.0 -20.0 -20.0 -19.6 SOYOIL -5.7 -2.4 -20.0 -2.9 -4.5 -3.4 -4.3 -4.2 -3.3 -3.2 -4.7 -9.2 -5.2 -9.7 -11.3 -3.1 7.8 1.7 5.0 -10.7 -10.6 -7.6 -7.2 -9.2 -20.0 -2.4 -0.7 -2.8 -2.7 -2.2 -2.4 14.8 -5.9 -5.1 5.4 -13.3 -10.8 -0.9 -0.8 9.4 SP400 15.2 20.0 5.2 3.4 -2.7 2.0 0.1 0.9 2.7 -9.3 6.2 5.7 3.6 11.6 11.1 -5.0 -5.0 -5.2 -5.2 16.9 8.4 1.5 2.3 16.0 -9.6 3.7 -4.4 1.9 -0.7 0.8 3.3 1.3 -6.6 7.1 5.1 -2.0 -16.5 -8.9 -20.0 -20.0 SP500_micro 11.5 20.0 8.2 4.9 -4.0 2.9 0.2 1.3 4.0 -13.0 15.0 10.6 14.6 17.7 18.9 -12.1 -10.2 -11.6 -11.1 20.0 20.0 4.7 15.3 20.0 -20.0 6.1 -3.3 4.3 0.8 3.4 5.3 -8.2 3.6 12.7 8.2 2.9 5.4 -5.7 8.6 -8.4 SUGAR11 -19.2 -20.0 -20.0 -2.1 -3.4 -2.5 -3.2 -3.1 -2.4 -1.1 -2.4 -5.2 5.4 -7.7 -6.7 14.1 19.6 20.0 20.0 -13.3 -5.3 -6.4 2.8 -13.7 -18.1 -2.6 -0.5 -0.9 -1.4 0.9 -2.8 20.0 5.7 -20.0 -20.0 -7.1 1.6 -9.0 12.9 5.9 US10 15.9 20.0 20.0 2.1 0.6 0.8 1.4 -0.5 2.3 -5.4 -0.7 4.3 -3.7 6.9 6.9 -8.8 -7.3 -7.8 -7.7 9.1 2.2 3.1 -5.1 9.1 1.4 2.3 0.3 0.5 1.5 -1.0 2.7 -11.0 -4.1 -3.2 -0.7 -1.7 -20.0 -20.0 -11.2 5.0 US10U 17.0 20.0 18.8 2.9 0.8 1.1 1.9 -0.7 3.1 -6.9 -0.6 5.9 -4.9 9.4 9.1 3.0 0.4 2.1 1.1 12.7 2.7 4.6 -7.2 13.1 -1.8 3.1 0.4 0.6 2.1 -1.4 3.7 3.2 -6.5 -3.7 -0.6 -3.4 -20.0 -20.0 3.8 15.1 US2 14.7 20.0 20.0 2.0 0.6 0.7 1.3 -0.5 2.1 -6.1 -2.8 5.2 -5.3 6.6 6.2 -20.0 -20.0 -20.0 -20.0 7.1 1.3 2.9 -6.2 7.4 8.0 2.4 0.7 0.8 1.9 -1.2 2.7 -20.0 -0.5 -2.8 -1.9 2.7 -16.3 -20.0 -10.8 -20.0 US20 20.0 20.0 17.6 2.1 0.6 0.8 1.4 -0.5 2.3 -6.1 0.3 4.9 -3.1 7.1 6.9 -0.6 -1.3 -0.7 -1.1 10.9 2.6 5.1 -5.2 11.8 -1.9 2.3 0.2 0.4 1.5 -1.0 2.7 -0.4 -4.2 -0.0 2.4 -2.5 -19.0 -20.0 18.7 20.0 US30 16.3 20.0 17.4 2.5 0.7 0.9 1.7 -0.6 2.7 -6.6 0.4 4.9 -4.2 8.1 7.8 -5.3 -4.3 -5.0 -4.9 11.2 2.4 4.0 -6.3 11.5 -1.5 2.6 0.1 0.5 1.4 -1.3 3.0 -5.8 -7.4 -3.1 0.8 -3.7 -11.1 -17.7 20.0 20.0 US5 15.1 20.0 20.0 2.1 0.6 0.8 1.4 -0.5 2.3 -5.2 -0.9 4.7 -3.9 6.9 6.9 -8.4 -10.1 -9.4 -10.4 8.8 2.5 3.1 -4.6 8.7 3.4 2.4 0.6 0.8 1.8 -0.9 2.8 -15.9 -2.1 -3.1 -1.3 0.5 -20.0 -20.0 -20.0 -11.8 VIX 5.2 -13.9 -4.5 -5.1 0.2 -7.1 -1.0 -10.0 -2.7 -13.8 -20.0 -7.8 -20.0 -15.6 -18.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.3 -20.0 -14.5 NaN -6.0 1.0 -7.9 -0.4 -10.9 -3.2 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 3.6 14.1 -1.8 -4.5 -7.1 -5.4 -6.8 -6.6 -5.2 -15.8 -15.3 -7.5 -18.0 7.8 1.9 -9.6 -10.3 -10.7 -10.9 -3.4 -13.1 -5.9 -20.0 -0.2 -3.4 -2.3 -4.8 -5.5 -4.5 -8.5 -2.3 -14.8 6.2 -5.4 -0.4 2.1 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3