******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240110_204010 produced at 2024-01-10 21:37:14.817169 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.26 0.0 0.09 -0.09 -0.09 -0.09 -48.55 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -2.64 24.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.09 0.0 0.00 0.00 0.00 0.00 -1.21 13.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.09 0.0 0.10 -0.10 -0.05 -0.05 -10.44 12.0 -6 -6 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -0.81 11.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -5.41 5.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 -0.06 0.0 999.00 -999.00 0.00 0.00 -1.74 999999999.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.17 -0.17 -0.02 -0.02 -19.40 51.0 -6 -6 caleb_strategy_v3 LIVECOW False False 0.02 0.00 -0.06 0.0 0.42 -0.42 0.00 0.00 -2.45 17.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.14 -0.05 0.0 0.40 -0.40 -0.14 -0.14 -6.36 56.0 -20 -20 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.04 0.0 0.33 -0.33 -0.04 -0.04 -1.04 8.0 -1 -1 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.04 0.0 0.20 -0.20 0.00 -0.03 -1.34 6.0 0 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.16 -0.16 -0.06 -0.06 -2.92 11.0 -4 -4 caleb_strategy_v3 BOBL False False 0.05 -0.23 -0.03 0.0 0.86 -0.86 -0.23 -0.23 -0.73 19.0 -5 -5 caleb_strategy_v3 US5 False False 0.04 0.00 -0.03 0.0 0.95 -0.95 0.00 0.00 -0.89 25.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.15 -0.15 -0.04 -0.04 -1.43 7.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.02 0.0 0.12 -0.12 -0.01 -0.01 -1.64 9.0 -1 -1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -0.92 0.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.02 0.0 0.19 -0.19 0.00 0.00 -0.22 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.02 0.0 0.24 -0.24 -0.01 -0.01 -4.50 68.0 -4 -3 caleb_strategy_v3 RICE False False 0.01 0.00 -0.02 0.0 0.05 -0.05 0.00 0.00 -1.22 4.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -2.06 8.0 -3 -3 caleb_strategy_v3 US10 False False 0.04 -0.32 -0.02 0.0 0.67 -0.67 -0.32 -0.16 -0.42 17.0 -8 -4 caleb_strategy_v3 JPY False False 0.03 -0.06 -0.02 0.0 0.52 -0.52 -0.06 -0.06 -0.67 17.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.05 -0.02 0.0 0.10 -0.10 -0.05 -0.05 -1.73 9.0 -4 -4 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.02 0.0 0.14 -0.14 0.00 0.00 -0.67 4.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.01 0.0 0.06 -0.06 -0.02 -0.01 -2.56 26.0 -8 -6 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -2.27 2.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.16 -0.01 0.0 0.68 -0.68 -0.16 -0.16 -0.11 13.0 -3 -3 caleb_strategy_v3 CAD False False 0.03 0.03 -0.01 0.0 0.77 -0.77 0.03 0.00 -0.19 29.0 1 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.10 -0.10 -0.03 -0.03 -1.23 10.0 -3 -3 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -2.56 3.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.15 -0.15 0.00 0.00 -1.02 18.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 -0.00 0.0 0.05 -0.05 0.00 0.00 -0.28 3.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.05 0.00 0.0 0.68 -0.68 0.05 0.05 0.06 14.0 1 1 caleb_strategy_v3 US10U False False 0.04 0.00 0.00 0.0 0.53 -0.53 0.00 0.00 0.03 13.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.10 6.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.00 0.00 0.0 0.39 -0.39 0.00 0.09 0.10 9.0 0 2 caleb_strategy_v3 US30 False False 0.05 0.27 -0.00 0.0 0.27 -0.27 0.27 0.09 -0.01 6.0 6 2 caleb_strategy_v3 BUXL False False 0.05 0.05 -0.00 0.0 0.21 -0.21 0.05 0.00 -0.01 4.0 1 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.00 0.0 0.07 -0.07 0.00 0.00 -0.01 2.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.01 0.0 0.52 -0.52 0.00 0.00 0.10 10.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.01 0.0 0.24 -0.24 0.00 0.00 0.95 23.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.05 0.01 0.0 0.45 -0.45 0.05 0.05 0.28 19.0 2 2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.10 0.01 0.0 0.28 -0.28 0.10 0.10 1.23 23.0 8 8 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.01 0.0 0.10 -0.10 0.03 0.00 0.57 4.0 1 0 caleb_strategy_v3 LEANHOG False False 0.01 0.00 0.01 0.0 0.14 -0.14 0.00 0.01 0.79 13.0 0 1 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.01 0.0 0.11 -0.11 0.00 0.00 0.16 3.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.06 0.02 0.0 0.38 -0.38 0.06 0.03 1.34 26.0 4 2 caleb_strategy_v3 CAC False True 0.03 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.53 12.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.03 0.02 0.0 0.16 -0.16 0.03 0.02 1.01 10.0 2 1 caleb_strategy_v3 SP500_micro False False 0.01 0.01 0.02 0.0 0.41 -0.41 0.01 0.01 2.15 48.0 1 1 caleb_strategy_v3 DOW False False 0.01 0.00 0.03 0.0 0.44 -0.44 0.00 0.00 5.13 66.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.03 0.0 0.12 -0.12 0.02 0.02 1.23 5.0 1 1 caleb_strategy_v3 BTP False False 0.05 0.00 0.03 0.0 0.45 -0.45 0.00 0.05 0.59 10.0 0 1 caleb_strategy_v3 NZD False False 0.02 0.04 0.04 0.0 0.46 -0.46 0.04 0.04 1.82 21.0 2 2 caleb_strategy_v3 GBP False False 0.03 0.11 0.04 0.0 0.62 -0.62 0.11 0.11 1.58 22.0 4 4 caleb_strategy_v3 OAT False False 0.05 0.00 0.06 0.0 0.50 -0.50 0.00 0.00 1.18 10.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 0.07 0.06 0.0 0.10 -0.10 0.07 0.07 35.33 59.0 43 43 caleb_strategy_v3 EUROSTX False False 0.02 0.33 0.08 0.0 0.35 -0.35 0.33 0.33 4.33 20.0 19 19 caleb_strategy_v3 DAX False False 0.01 0.00 0.11 0.0 0.38 -0.38 0.00 0.00 17.44 58.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.42 0.14 0.0 0.42 -0.42 0.42 0.42 3.05 9.0 9 9 caleb_strategy_v3 NIKKEI False False 0.01 0.16 0.20 0.0 0.30 -0.30 0.16 0.25 23.32 36.0 19 29 caleb_strategy_v3 MXP False False 0.01 0.53 0.53 0.0 0.62 -0.62 0.53 0.53 51.34 60.0 52 52 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.28 0.69 0.0 0.94 -0.94 0.28 0.66 7.28 10.0 3 7 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.43 0.89 0.0 0.57 -0.57 0.43 0.46 24.88 16.0 12 13 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 20.9 Shocked risk 57.5 Sum abs risk 48.7 Leverage 4.48 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2836339.28, 'annual_cash_vol_target': 709084.82, 'daily_cash_vol_target': 44317.80125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6716 0.6175 9.8801 BITCOIN 1212.2572 46675.0000 2.5972 41.5557 BOBL 0.2776 117.9400 0.2354 3.7665 BTP 0.6362 117.8900 0.5397 8.6347 BUND 0.5705 134.9400 0.4227 6.7639 BUXL 1.3813 136.9800 1.0084 16.1349 CAC 49.1222 7451.0000 0.6593 10.5483 CAD 0.0028 0.7483 0.3701 5.9215 CANOLA 7.4268 627.2000 1.1841 18.9458 CHF 0.0050 1.1830 0.4263 6.8205 COCOA 47.3669 4156.0000 1.1397 18.2356 COFFEE 3.9974 178.8500 2.2350 35.7607 COPPER 0.0412 3.7900 1.0879 17.4063 CORN 4.1312 491.2500 0.8409 13.4552 COTTON2 0.9335 80.1700 1.1644 18.6310 CRUDE_W 1.1812 69.7800 1.6927 27.0836 DAX 107.4562 16868.0000 0.6370 10.1927 DOW 203.9644 37966.0000 0.5372 8.5957 DX 0.4068 102.0650 0.3986 6.3776 EUR 0.0051 1.1002 0.4607 7.3708 EURIBOR-ICE 0.0557 97.8050 0.0569 0.9106 EUROSTX 31.4526 4508.0000 0.6977 11.1633 FEEDCOW 2.0296 231.6750 0.8761 14.0172 GASOIL 13.1730 735.0000 1.7922 28.6760 GASOLINE 0.0399 2.2947 1.7370 27.7921 GAS_US_mini 0.0970 2.5500 3.8045 60.8717 GBP 0.0065 1.2749 0.5104 8.1663 GOLD_micro 14.4924 2029.5000 0.7141 11.4254 HEATOIL 0.0421 2.4962 1.6856 26.9703 JGB-SGX-mini 0.2816 147.1100 0.1914 3.0625 JPY 0.0000 0.0069 0.6985 11.1764 LEANHOG 1.2187 78.9000 1.5447 24.7148 LIVECOW 1.3473 173.9000 0.7748 12.3965 LUMBER-new 7.0879 566.0000 1.2523 20.0366 MILK 0.1754 16.6600 1.0529 16.8465 MXP 0.0004 0.0582 0.6411 10.2578 NASDAQ_micro 126.3878 16979.0000 0.7444 11.9100 NIKKEI 305.1836 34835.0000 0.8761 14.0173 NZD 0.0035 0.6228 0.5583 8.9328 OAT 0.5765 129.4500 0.4454 7.1257 OATIES 8.0374 374.0000 2.1490 34.3848 OJ 6.1720 296.3500 2.0827 33.3227 PALLAD 29.0101 1004.5000 2.8880 46.2082 PLAT 14.4778 930.0000 1.5568 24.9081 REDWHEAT 10.5003 629.2500 1.6687 26.6991 RICE 0.1898 17.7000 1.0726 17.1610 ROBUSTA 47.9518 2944.0000 1.6288 26.0607 RUSSELL 24.0870 1986.5000 1.2125 19.4005 SHATZ 0.0946 105.9850 0.0892 1.4280 SILVER-mini 0.3594 23.1875 1.5499 24.7980 SMI 59.8910 11204.0000 0.5346 8.5528 SOFR 0.0682 96.6700 0.0706 1.1292 SOYBEAN 9.7060 1204.2500 0.8060 12.8957 SOYMEAL 4.4232 364.0000 1.2152 19.4428 SOYOIL 0.6694 48.5600 1.3785 22.0563 SP400 26.4466 2760.3000 0.9581 15.3297 SP500_micro 29.5091 4827.2500 0.6113 9.7808 SUGAR11 0.4179 20.9000 1.9997 31.9956 US10 0.4364 111.9062 0.3900 6.2393 US10U 0.6027 116.3906 0.5178 8.2855 US2 0.1197 102.6797 0.1166 1.8652 US20 0.9164 122.1562 0.7502 12.0026 US30 1.3580 129.4375 1.0491 16.7860 US5 0.2838 108.1172 0.2625 4.1994 VIX 0.4507 15.3500 2.9359 46.9736 WHEAT 9.2617 656.5000 1.4108 22.5723 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 671.60 0.62 414.72 1.00 414.72 44317.8 106.86 1.00 10.68 BITCOIN 46.68 2.60 121.23 1.00 121.23 44317.8 365.58 8.92 326.25 BOBL 1179.40 0.24 277.64 1.09 304.00 44317.8 145.78 -4.93 -71.82 BTP 1178.90 0.54 636.21 1.09 696.62 44317.8 63.62 2.71 17.23 BUND 1349.40 0.42 570.45 1.09 624.62 44317.8 70.95 1.44 10.22 BUXL 1369.80 1.01 1381.35 1.09 1512.51 44317.8 29.30 -0.36 -1.05 CAC 745.10 0.66 491.22 1.09 537.86 44317.8 82.40 1.89 15.59 CAD 748.30 0.37 276.94 1.00 276.94 44317.8 160.02 -0.46 -7.37 CANOLA 125.44 1.18 148.54 0.75 111.16 44317.8 398.69 -20.00 -797.38 CHF 1478.69 0.43 630.33 1.00 630.33 44317.8 70.31 -0.63 -4.41 COCOA 415.60 1.14 473.67 1.00 473.67 44317.8 93.56 6.70 62.65 COFFEE 670.69 2.24 1499.01 1.00 1499.01 44317.8 29.56 -2.84 -8.41 COPPER 947.50 1.09 1030.78 1.00 1030.78 44317.8 42.99 -2.87 -12.34 CORN 245.62 0.84 206.56 1.00 206.56 44317.8 214.55 -20.00 -429.11 COTTON2 400.85 1.16 466.76 1.00 466.76 44317.8 94.95 -14.33 -136.11 CRUDE_W 697.80 1.69 1181.18 1.00 1181.18 44317.8 37.52 3.03 11.36 DAX 168.68 0.64 107.46 1.09 117.66 44317.8 376.66 13.57 511.30 DOW 189.83 0.54 101.98 1.00 101.98 44317.8 434.56 5.08 220.63 DX 1020.65 0.40 406.83 1.00 406.83 44317.8 108.93 -6.14 -66.91 EUR 1375.31 0.46 633.57 1.00 633.57 44317.8 69.95 0.32 2.21 EURIBOR-ICE 2445.13 0.06 139.16 1.09 152.38 44317.8 290.85 7.34 213.39 EUROSTX 450.80 0.70 314.53 1.09 344.39 44317.8 128.68 9.86 126.94 FEEDCOW 1158.38 0.88 1014.82 1.00 1014.82 44317.8 43.67 -7.20 -31.42 GASOIL 735.00 1.79 1317.30 1.00 1317.30 44317.8 33.64 3.92 13.18 GASOLINE 963.77 1.74 1674.08 1.00 1674.08 44317.8 26.47 -5.80 -15.36 GAS_US_mini 63.75 3.80 242.54 1.00 242.54 44317.8 182.73 -1.29 -23.62 GBP 796.81 0.51 406.69 1.00 406.69 44317.8 108.97 5.58 60.84 GOLD_micro 202.95 0.71 144.92 1.00 144.92 44317.8 305.80 -6.10 -186.51 HEATOIL 1048.40 1.69 1767.24 1.00 1767.24 44317.8 25.08 1.48 3.71 JGB-SGX-mini 147110.00 0.19 28157.76 0.01 195.50 44317.8 226.69 10.14 229.79 JPY 867.50 0.70 605.97 1.00 605.97 44317.8 73.14 -3.53 -25.79 LEANHOG 315.60 1.54 487.50 1.00 487.50 44317.8 90.91 1.43 12.96 LIVECOW 695.60 0.77 538.94 1.00 538.94 44317.8 82.23 -8.97 -73.78 LUMBER-new 155.65 1.25 194.92 1.00 194.92 44317.8 227.37 -5.27 -119.73 MILK 333.20 1.05 350.83 1.00 350.83 44317.8 126.32 -20.00 -252.65 MXP 291.05 0.64 186.60 1.00 186.60 44317.8 237.51 14.73 349.79 NASDAQ_micro 339.58 0.74 252.78 1.00 252.78 44317.8 175.32 3.01 52.85 NIKKEI 34835.00 0.88 30518.36 0.01 211.89 44317.8 209.15 10.30 215.35 NZD 622.85 0.56 347.74 1.00 347.74 44317.8 127.45 5.51 70.21 OAT 1294.50 0.45 576.51 1.09 631.25 44317.8 70.21 4.91 34.46 OATIES 187.00 2.15 401.87 1.00 401.87 44317.8 110.28 -8.46 -93.26 OJ 444.52 2.08 925.80 1.00 925.80 44317.8 47.87 -2.73 -13.09 PALLAD 1004.50 2.89 2901.01 1.00 2901.01 44317.8 15.28 -0.18 -0.28 PLAT 465.00 1.56 723.89 1.00 723.89 44317.8 61.22 4.85 29.70 REDWHEAT 314.62 1.67 525.01 1.00 525.01 44317.8 84.41 -18.41 -155.42 RICE 354.00 1.07 379.69 1.00 379.69 44317.8 116.72 -4.30 -50.23 ROBUSTA 294.40 1.63 479.52 1.00 479.52 44317.8 92.42 8.83 81.62 RUSSELL 99.32 1.21 120.43 1.00 120.43 44317.8 367.98 -3.69 -135.75 SHATZ 1059.85 0.09 94.59 1.09 103.57 44317.8 427.90 -6.07 -259.93 SILVER-mini 579.69 1.55 898.44 1.00 898.44 44317.8 49.33 -5.47 -26.98 SMI 1120.40 0.53 598.91 1.18 706.03 44317.8 62.77 14.25 89.42 SOFR 2416.75 0.07 170.56 1.00 170.56 44317.8 259.83 -0.51 -13.32 SOYBEAN 602.12 0.81 485.30 1.00 485.30 44317.8 91.32 -16.84 -153.83 SOYMEAL 364.00 1.22 442.32 1.00 442.32 44317.8 100.19 -17.61 -176.43 SOYOIL 291.36 1.38 401.64 1.00 401.64 44317.8 110.34 -11.96 -131.98 SP400 2760.30 0.96 2644.66 1.00 2644.66 44317.8 16.76 -3.89 -6.52 SP500_micro 241.36 0.61 147.55 1.00 147.55 44317.8 300.37 3.08 92.48 SUGAR11 234.08 2.00 468.10 1.00 468.10 44317.8 94.68 -5.07 -48.01 US10 1119.06 0.39 436.39 1.00 436.39 44317.8 101.56 -3.25 -33.03 US10U 1163.91 0.52 602.72 1.00 602.72 44317.8 73.53 0.31 2.31 US2 2053.59 0.12 239.40 1.00 239.40 44317.8 185.12 -5.16 -95.47 US20 1221.56 0.75 916.37 1.00 916.37 44317.8 48.36 1.59 7.67 US30 1294.38 1.05 1357.96 1.00 1357.96 44317.8 32.64 -0.25 -0.83 US5 1081.17 0.26 283.77 1.00 283.77 44317.8 156.18 -4.51 -70.47 VIX 153.50 2.94 450.65 1.00 450.65 44317.8 98.34 -20.00 -196.68 WHEAT 328.25 1.41 463.08 1.00 463.08 44317.8 95.70 -13.60 -130.19 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 10.685 0.010 2.5 0.277 BITCOIN 326.245 0.043 2.5 35.329 BOBL -71.818 0.004 2.5 -0.728 BTP 17.226 0.014 2.5 0.588 BUND 10.225 0.004 2.5 0.104 BUXL -1.054 0.004 2.5 -0.011 CAC 15.586 0.014 2.5 0.532 CAD -7.369 0.010 2.5 -0.191 CANOLA -797.383 0.010 2.5 -19.400 CHF -4.406 0.010 2.5 -0.114 COCOA 62.649 0.009 2.5 1.342 COFFEE -8.408 0.005 2.5 -0.098 COPPER -12.342 0.043 2.5 -1.336 CORN -429.108 0.010 2.5 -10.440 COTTON2 -136.106 0.009 2.5 -2.915 CRUDE_W 11.357 0.043 2.5 1.230 DAX 511.303 0.014 2.5 17.440 DOW 220.635 0.009 2.5 5.128 DX -66.909 0.010 2.5 -1.736 EUR 2.212 0.010 2.5 0.057 EURIBOR-ICE 213.387 0.014 2.5 7.278 EUROSTX 126.939 0.014 2.5 4.330 FEEDCOW -31.424 0.013 2.5 -1.041 GASOIL 13.180 0.017 2.5 0.571 GASOLINE -15.363 0.017 2.5 -0.666 GAS_US_mini -23.622 0.043 2.5 -2.558 GBP 60.837 0.010 2.5 1.579 GOLD_micro -186.512 0.014 2.5 -6.362 HEATOIL 3.708 0.017 2.5 0.161 JGB-SGX-mini 229.788 0.043 2.5 24.883 JPY -25.795 0.010 2.5 -0.669 LEANHOG 12.964 0.024 2.5 0.788 LIVECOW -73.785 0.013 2.5 -2.445 LUMBER-new -119.732 0.009 2.5 -2.558 MILK -252.647 0.009 2.5 -5.411 MXP 349.788 0.059 2.5 51.340 NASDAQ_micro 52.848 0.009 2.5 1.228 NIKKEI 215.346 0.043 2.5 23.320 NZD 70.205 0.010 2.5 1.822 OAT 34.457 0.014 2.5 1.175 OATIES -93.258 0.010 2.5 -2.269 OJ -13.090 0.009 2.5 -0.280 PALLAD -0.276 0.014 2.5 -0.009 PLAT 29.703 0.014 2.5 1.013 REDWHEAT -155.424 0.005 2.5 -2.062 RICE -50.227 0.010 2.5 -1.222 ROBUSTA 81.625 0.005 2.5 0.953 RUSSELL -135.753 0.013 2.5 -4.499 SHATZ -259.931 0.004 2.5 -2.636 SILVER-mini -26.980 0.014 2.5 -0.920 SMI 89.423 0.014 2.5 3.050 SOFR -13.324 0.024 2.5 -0.810 SOYBEAN -153.829 0.004 2.5 -1.431 SOYMEAL -176.434 0.004 2.5 -1.641 SOYOIL -131.977 0.004 2.5 -1.229 SP400 -6.519 0.013 2.5 -0.216 SP500_micro 92.476 0.009 2.5 2.149 SUGAR11 -48.011 0.009 2.5 -1.021 US10 -33.029 0.005 2.5 -0.419 US10U 2.308 0.005 2.5 0.029 US2 -95.474 0.005 2.5 -1.210 US20 7.673 0.005 2.5 0.097 US30 -0.829 0.005 2.5 -0.011 US5 -70.465 0.005 2.5 -0.893 VIX -196.683 0.099 2.5 -48.550 WHEAT -130.189 0.005 2.5 -1.727 ===================== Position diags ===================== AUD 2.77 BITCOIN 39.59 BOBL 1.48 BTP 2.17 BUND 0.72 BUXL 0.30 CAC 2.81 CAD 4.15 CANOLA 9.70 CHF 1.82 COCOA 2.00 COFFEE 0.35 COPPER 4.66 CORN 5.22 COTTON2 2.03 CRUDE_W 4.06 DAX 12.85 DOW 10.10 DX 2.83 EUR 1.81 EURIBOR-ICE 9.92 EUROSTX 4.39 FEEDCOW 1.45 GASOIL 1.46 GASOLINE 1.15 GAS_US_mini 19.79 GBP 2.83 GOLD_micro 10.43 HEATOIL 1.09 JGB-SGX-mini 24.55 JPY 1.90 LEANHOG 5.52 LIVECOW 2.72 LUMBER-new 4.86 MILK 2.71 MXP 34.86 NASDAQ_micro 4.07 NIKKEI 22.65 NZD 3.31 OAT 2.39 OATIES 2.68 OJ 1.03 PALLAD 0.52 PLAT 2.09 REDWHEAT 1.12 RICE 2.84 ROBUSTA 1.08 RUSSELL 12.19 SHATZ 4.34 SILVER-mini 1.68 SMI 2.14 SOFR 15.79 SOYBEAN 0.85 SOYMEAL 0.93 SOYOIL 1.03 SP400 0.56 SP500_micro 6.98 SUGAR11 2.01 US10 1.29 US10U 0.93 US2 2.35 US20 0.61 US30 0.41 US5 1.98 VIX 24.28 WHEAT 1.27 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.3 -0.0 0.6 2.0 2 BITCOIN 35.3 31.4 39.3 43.0 43 BOBL -0.7 -0.9 -0.6 -5.0 -5 BTP 0.6 0.4 0.8 0.0 0 BUND 0.1 0.0 0.2 0.0 0 BUXL -0.0 -0.0 0.0 1.0 1 CAC 0.5 0.3 0.8 0.0 0 CAD -0.2 -0.6 0.2 1.0 1 CANOLA -19.4 -20.4 -18.4 -6.0 -6 CHF -0.1 -0.3 0.1 -3.0 -3 COCOA 1.3 1.1 1.5 4.0 4 COFFEE -0.1 -0.1 -0.1 0.0 0 COPPER -1.3 -1.8 -0.9 0.0 0 CORN -10.4 -11.0 -9.9 -6.0 -6 COTTON2 -2.9 -3.1 -2.7 -4.0 -4 CRUDE_W 1.2 0.8 1.6 1.0 1 DAX 17.4 16.2 18.7 0.0 0 DOW 5.1 4.1 6.1 0.0 0 DX -1.7 -2.0 -1.5 NaN 0 EUR 0.1 -0.1 0.2 1.0 1 EURIBOR-ICE 7.3 6.3 8.3 3.0 3 EUROSTX 4.3 3.9 4.8 19.0 19 FEEDCOW -1.0 -1.2 -0.9 -1.0 -1 GASOIL 0.6 0.4 0.7 1.0 1 GASOLINE -0.7 -0.8 -0.6 0.0 0 GAS_US_mini -2.6 -4.5 -0.6 -8.0 -8 GBP 1.6 1.3 1.9 4.0 4 GOLD_micro -6.4 -7.4 -5.3 -20.0 -20 HEATOIL 0.2 0.1 0.3 0.0 0 JGB-SGX-mini 24.9 22.4 27.3 12.0 12 JPY -0.7 -0.9 -0.5 -2.0 -2 LEANHOG 0.8 0.2 1.3 0.0 0 LIVECOW -2.4 -2.7 -2.2 0.0 0 LUMBER-new -2.6 -3.0 -2.1 NaN 0 MILK -5.4 -5.7 -5.1 NaN 0 MXP 51.3 47.9 54.8 52.0 52 NASDAQ_micro 1.2 0.8 1.6 8.0 8 NIKKEI 23.3 21.1 25.6 19.0 19 NZD 1.8 1.5 2.2 2.0 2 OAT 1.2 0.9 1.4 0.0 0 OATIES -2.3 -2.5 -2.0 NaN 0 OJ -0.3 -0.4 -0.2 NaN 0 PALLAD -0.0 -0.1 0.0 0.0 0 PLAT 1.0 0.8 1.2 2.0 2 REDWHEAT -2.1 -2.2 -1.9 -3.0 -3 RICE -1.2 -1.5 -0.9 NaN 0 ROBUSTA 1.0 0.8 1.1 0.0 0 RUSSELL -4.5 -5.7 -3.3 -4.0 -4 SHATZ -2.6 -3.1 -2.2 NaN 0 SILVER-mini -0.9 -1.1 -0.8 NaN 0 SMI 3.1 2.8 3.3 9.0 9 SOFR -0.8 -2.4 0.8 NaN 0 SOYBEAN -1.4 -1.5 -1.3 -2.0 -2 SOYMEAL -1.6 -1.7 -1.5 -1.0 -1 SOYOIL -1.2 -1.3 -1.1 -3.0 -3 SP400 -0.2 -0.3 -0.2 0.0 0 SP500_micro 2.1 1.5 2.8 1.0 1 SUGAR11 -1.0 -1.2 -0.8 0.0 0 US10 -0.4 -0.5 -0.3 -8.0 -8 US10U 0.0 -0.1 0.1 0.0 0 US2 -1.2 -1.4 -1.0 NaN 0 US20 0.1 0.0 0.2 0.0 0 US30 -0.0 -0.1 0.0 6.0 6 US5 -0.9 -1.1 -0.7 0.0 0 VIX -48.6 -51.0 -46.1 -17.0 -17 WHEAT -1.7 -1.9 -1.6 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.8 3.7 3.7 1.3 1.0 3.1 1.3 4.2 1.3 1.0 3.1 1.3 3.9 1.2 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 3.7 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 0.1 0.6 0.5 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.1 -0.1 -0.2 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.1 0.1 -0.0 -0.1 0.1 0.4 0.1 -0.0 0.1 -0.0 -0.0 0.0 -0.1 -0.2 -0.0 -0.1 0.1 -0.6 -0.4 -0.3 0.2 BITCOIN -0.1 0.2 0.6 -0.0 -0.2 -0.0 -0.1 0.0 -0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.1 -0.1 0.5 0.5 0.6 0.6 -0.2 0.4 0.1 0.6 BOBL -0.1 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.1 0.0 0.1 -0.4 -0.2 -0.4 -0.3 0.1 0.1 -0.1 -0.0 0.0 1.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -1.0 -0.3 -0.2 -0.0 0.2 -0.6 -0.7 -0.1 -0.6 BTP -0.1 0.6 0.6 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 0.2 -0.0 0.1 0.1 -1.2 0.0 -0.0 0.1 -0.0 0.0 0.0 0.7 -0.4 -0.2 0.0 0.2 -0.5 -0.7 0.3 0.1 BUND -0.2 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.1 0.1 -0.1 -0.0 0.0 0.7 0.0 -0.0 0.0 -0.0 0.0 0.0 0.4 -0.4 -0.3 -0.0 0.1 -0.6 -0.7 -0.1 -0.2 BUXL -0.2 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.2 0.0 0.1 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 -0.0 0.0 0.2 -0.4 -0.4 0.1 0.1 -0.7 -0.7 -0.1 0.3 CAC -0.4 0.6 0.1 0.1 0.0 0.1 -0.0 0.1 0.0 -0.1 0.4 -0.2 0.7 0.1 0.2 -0.2 -0.1 -0.2 -0.1 0.2 0.2 -0.1 0.4 0.0 -1.1 0.1 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.4 -0.6 -0.2 -0.2 0.2 0.3 0.5 0.5 CAD 0.3 0.6 0.2 0.1 -0.0 0.1 0.0 0.1 0.1 -0.2 0.0 -0.1 -0.2 0.1 0.2 -0.0 -0.0 -0.0 -0.0 0.2 0.1 -0.0 -0.1 0.1 0.3 0.1 -0.0 0.1 0.0 -0.0 0.1 0.0 -0.3 0.2 -0.0 -0.3 -0.7 -0.6 0.0 -0.5 CANOLA -0.5 -0.6 -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 -0.2 -0.1 -0.3 -0.2 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 -0.6 -0.6 -0.6 -0.5 -0.4 -0.2 -0.0 CHF 0.4 0.6 0.4 0.1 -0.0 0.1 0.0 0.1 0.0 -0.1 0.2 0.1 0.4 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.1 0.2 0.2 -1.1 0.1 -0.0 0.1 0.0 0.1 0.1 -1.1 0.4 0.6 0.6 0.2 -0.7 -0.7 -0.6 -0.7 COCOA -0.6 -0.1 0.5 -0.1 -0.0 -0.2 -0.1 -0.3 -0.1 -0.0 0.5 -0.1 0.7 0.1 0.2 0.2 0.0 0.2 0.1 0.2 0.2 -0.1 0.5 0.0 -2.7 0.1 -0.0 0.3 -0.1 0.4 -0.0 0.5 -0.5 -0.3 0.6 0.6 0.7 0.0 0.7 0.7 COFFEE -0.3 0.4 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.0 0.0 -2.1 0.0 -0.0 0.1 -0.0 0.1 0.0 0.7 -0.3 0.1 0.6 0.6 -0.6 -0.7 -0.4 -0.3 COPPER -0.1 0.4 0.2 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.1 -0.1 -0.0 -1.1 0.0 -0.1 0.1 -0.1 -0.0 -0.0 0.1 0.2 0.2 0.4 0.2 -0.3 -0.3 0.3 -0.2 CORN -0.3 -0.1 -0.2 -0.1 -0.0 -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 -0.2 -0.5 -0.2 -2.7 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.4 -0.6 -0.3 0.1 -0.3 -0.4 -0.0 0.1 COTTON2 0.2 -0.1 -0.5 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.1 -0.4 0.0 -0.3 -0.0 -0.2 -0.2 -0.0 -0.2 -0.1 -0.1 -0.1 0.0 -0.3 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.5 0.3 0.3 -0.4 -0.6 -0.5 -0.2 0.0 CRUDE_W -0.0 -0.4 -0.2 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.2 0.1 0.2 0.2 0.2 -0.1 -0.0 -0.1 0.2 -0.1 -0.6 -0.1 -0.0 -0.0 -0.1 0.2 -0.1 -0.1 -0.2 -0.2 0.2 0.4 0.7 0.5 0.7 0.5 DAX -0.4 0.6 0.3 0.1 0.0 0.1 -0.0 0.1 0.0 0.1 0.4 0.0 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.0 0.3 0.2 2.4 0.1 0.0 0.1 0.0 0.1 0.0 -0.4 0.1 -0.6 0.4 0.2 0.2 0.2 0.5 0.6 DOW -0.1 0.6 0.6 0.0 0.0 0.1 -0.0 0.1 0.0 0.0 0.5 0.1 0.6 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 0.0 -0.4 0.2 0.4 0.6 0.4 -0.3 -0.1 -0.2 -0.2 DX -0.1 -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 0.1 0.1 0.1 0.1 -0.1 -0.1 0.0 0.0 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 0.8 0.3 -0.6 -0.6 -0.6 0.5 0.1 0.7 0.4 EUR 0.1 0.3 0.3 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 -0.0 -0.0 0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.0 -0.0 0.0 1.5 0.0 0.0 0.1 0.0 0.0 0.0 -0.4 0.1 0.1 -0.3 -0.1 -0.7 -0.4 -0.5 -0.2 EURIBOR-ICE -0.1 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.2 -0.0 0.0 0.1 0.1 -0.0 -0.1 -0.0 -0.1 0.2 0.1 -0.0 0.1 0.1 2.1 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.4 -0.3 -0.1 0.2 0.5 -0.7 -0.7 0.2 0.7 EUROSTX -0.5 0.6 0.3 0.1 0.0 0.1 -0.0 0.1 0.0 -0.0 0.4 -0.1 0.7 0.1 0.2 0.2 -0.0 0.1 0.0 0.2 0.2 -0.1 0.4 0.1 0.4 0.1 -0.0 0.1 -0.0 0.1 0.0 0.5 -0.1 -0.6 -0.2 0.2 0.0 0.3 0.2 0.5 FEEDCOW 0.5 -0.4 -0.6 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 0.0 -0.2 0.1 -0.1 0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 0.0 -0.1 0.0 -0.3 -0.0 0.0 -0.1 -0.0 0.0 -0.0 -1.1 0.0 0.4 -0.1 -0.6 0.4 0.1 0.7 0.4 GASOIL 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 -0.0 -0.1 0.3 0.4 0.3 0.4 -0.1 -0.0 -0.0 0.2 -0.1 1.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.9 -0.0 0.3 0.2 0.2 -0.3 -0.1 -0.7 -0.3 GASOLINE 0.1 -0.2 -0.5 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 0.1 -0.0 -0.1 -0.4 0.2 -0.4 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 -2.7 -0.1 -0.0 -0.1 -0.0 0.1 -0.0 -0.4 -0.1 0.1 0.4 -0.0 0.7 0.4 0.7 0.3 GAS_US_mini 0.6 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.3 0.1 -0.5 -0.0 -0.1 0.4 -0.4 0.1 -0.3 -0.1 -0.2 0.1 -0.5 0.0 2.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 0.5 0.6 -0.2 0.1 -0.6 0.1 -0.7 -0.0 GBP 0.0 0.5 0.2 0.1 -0.0 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.3 0.1 0.2 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.0 0.1 0.1 0.3 0.1 0.0 0.1 0.0 0.0 0.1 0.2 0.4 0.0 -0.1 -0.2 -0.5 0.0 -0.4 0.4 GOLD_micro -0.0 0.3 0.5 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 0.2 -0.1 0.3 0.0 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.1 -0.1 0.1 0.0 -0.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.8 0.2 0.2 0.3 0.3 -0.7 -0.7 -0.6 -0.6 HEATOIL 0.1 -0.5 -0.5 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 -0.0 -0.0 0.2 -0.1 -2.7 -0.0 -0.0 -0.0 -0.0 0.2 -0.0 1.1 0.2 0.2 0.3 0.1 0.5 0.0 0.4 -0.1 JGB-SGX-mini 0.4 0.6 0.3 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.4 0.2 0.3 0.1 0.1 0.1 0.1 0.1 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 1.1 0.3 0.0 0.0 -0.1 0.0 -0.7 0.3 0.5 JPY -0.1 0.6 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.3 0.0 0.0 -0.3 -0.3 -0.3 -0.3 0.0 -0.0 -0.1 -0.2 -0.0 2.7 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -1.1 -0.2 -0.2 -0.0 -0.2 -0.3 -0.7 -0.1 -0.7 LEANHOG 0.1 -0.1 -0.2 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 0.1 -0.1 0.1 -0.4 -0.0 -0.1 -0.4 0.0 -0.4 -0.2 -0.1 -0.1 0.1 -0.4 -0.0 2.0 0.0 0.1 -0.1 0.1 -0.3 0.1 0.1 0.5 0.6 0.2 0.0 -0.4 -0.3 0.2 0.4 LIVECOW 0.3 -0.6 -0.6 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 0.0 -0.3 0.1 -0.0 -0.0 -0.1 -0.3 -0.1 -0.2 -0.2 -0.2 -0.2 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 -0.4 0.1 0.1 -0.4 -0.6 0.2 -0.2 0.4 0.0 LUMBER-new 0.2 0.5 0.4 -0.1 -0.0 -0.2 -0.1 -0.3 -0.1 -0.2 -0.0 -0.0 -0.7 0.1 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.1 -0.0 -0.2 0.1 NaN 0.1 -0.1 0.1 -0.0 -0.0 0.1 -1.2 -0.3 0.7 0.7 0.7 -0.6 -0.8 -0.3 -0.8 MILK -0.2 -0.6 -0.5 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 0.1 -0.5 -0.1 -0.7 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.0 -0.5 -0.2 1.7 -0.1 0.0 -0.2 0.0 -0.3 -0.0 -1.1 0.5 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.3 0.4 0.1 0.1 -0.0 0.1 0.0 0.1 0.0 -0.0 0.5 0.1 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 0.2 0.0 0.3 0.1 1.1 0.4 0.1 -0.2 -0.2 0.4 0.6 0.7 0.7 NASDAQ_micro -0.3 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 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.0 0.5 0.1 -2.7 0.1 0.0 0.1 0.0 0.2 0.0 -0.3 0.3 0.4 0.1 0.3 0.5 -0.2 0.5 -0.2 NIKKEI 0.2 0.0 0.1 0.1 0.0 0.1 -0.0 0.1 0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.4 0.2 0.3 0.2 0.2 0.2 0.2 0.5 0.2 -1.9 0.1 0.2 0.2 0.1 0.3 0.1 1.1 0.5 0.6 -0.5 -0.2 -0.4 -0.0 -0.2 0.1 NZD 0.1 0.6 0.5 0.1 -0.0 0.1 0.0 0.1 0.0 -0.1 0.1 -0.1 0.1 0.1 0.2 0.0 0.0 0.0 0.0 0.2 0.1 -0.0 0.0 0.1 0.1 0.1 -0.0 0.1 0.0 0.0 0.0 0.2 -0.0 -0.1 0.1 0.3 -0.3 -0.4 -0.2 0.2 OAT -0.2 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.2 -0.1 -0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 -0.1 0.0 0.1 1.0 0.0 -0.0 0.1 -0.0 0.0 0.0 0.7 -0.4 -0.3 0.0 0.2 -0.6 -0.7 0.1 0.2 OATIES 0.2 -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 0.1 -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 -0.1 -0.0 -0.5 0.3 0.2 0.0 -0.5 -0.0 0.2 0.3 0.6 OJ -0.6 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 0.4 -0.1 -0.1 0.1 0.4 0.2 0.3 -0.1 0.1 -0.2 0.5 -0.2 -2.7 -0.0 -0.0 0.1 -0.1 0.2 -0.1 1.1 -0.5 -0.6 -0.4 0.6 0.3 0.4 0.7 0.7 PALLAD -0.1 0.5 0.3 -0.0 -0.1 -0.0 -0.0 0.0 -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 -0.1 -0.3 -0.1 0.8 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.1 0.4 0.0 -0.3 -0.2 -0.2 0.0 -0.1 PLAT 0.1 0.4 0.2 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 -0.1 -0.0 1.8 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.2 -0.1 0.2 0.3 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 -0.1 -0.0 -0.4 -0.1 -0.6 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.5 -0.1 -1.7 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 0.0 0.2 -0.3 -0.1 -0.5 -0.7 -0.7 -0.7 -0.5 RICE -0.1 0.1 0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 0.4 -0.0 0.4 0.1 0.1 -0.2 0.0 -0.3 -0.1 0.1 0.1 0.0 0.2 0.1 -2.7 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.0 -0.5 0.0 0.4 0.5 -0.1 -0.4 0.3 -0.0 ROBUSTA -0.0 0.6 -0.1 -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 0.1 -2.2 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.4 0.6 0.6 0.6 -0.4 -0.5 -0.0 0.0 RUSSELL 0.0 0.6 0.4 0.0 0.0 0.1 -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 0.1 0.1 -0.0 0.0 0.1 -0.2 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.3 0.1 0.2 -0.1 -0.7 -0.6 -0.7 -0.6 SHATZ -0.1 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.2 0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 -0.1 -0.1 0.0 1.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 -1.1 -0.2 -0.2 -0.0 0.1 -0.5 -0.7 -0.2 -0.7 SILVER-mini -0.3 0.1 0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.7 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 0.1 0.0 -0.1 -0.1 -0.7 -0.7 0.2 -0.4 SMI 0.1 0.6 0.0 0.1 0.0 0.1 -0.0 0.1 0.0 0.2 0.1 0.2 0.1 0.2 0.2 0.2 0.1 0.2 0.1 0.2 0.1 0.1 -0.0 0.2 1.5 0.1 0.0 0.1 0.1 -0.0 0.1 1.0 0.5 0.3 0.1 -0.2 0.0 -0.2 0.2 -0.2 SOFR 0.0 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.0 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 -0.6 -0.5 -0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.2 0.1 -0.2 0.2 -0.2 -0.2 0.3 0.3 0.3 0.3 -0.2 -0.1 -0.2 -0.1 -0.2 -2.7 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 1.1 -0.5 -0.6 -0.3 0.2 -0.7 -0.7 -0.7 -0.7 SOYMEAL -0.6 -0.6 0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 0.1 -0.2 -0.1 0.1 0.3 0.2 0.3 -0.2 -0.1 -0.2 0.0 -0.2 -2.7 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 1.1 -0.5 -0.6 -0.6 0.3 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.3 -0.2 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.8 0.1 -0.1 0.2 -0.5 -0.3 -0.0 -0.0 0.3 SP400 -0.0 0.6 0.3 0.0 0.0 0.1 -0.0 0.0 0.0 -0.1 0.2 -0.0 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 -0.0 0.1 0.1 -1.3 0.0 -0.0 0.1 -0.0 0.0 0.0 0.1 -0.2 0.1 0.1 -0.1 -0.6 -0.3 -0.7 -0.7 SP500_micro -0.2 0.6 0.4 0.0 0.0 0.1 -0.0 0.1 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 0.1 0.4 0.2 -2.7 0.1 0.0 0.1 0.0 0.1 0.0 -0.4 0.4 0.4 0.3 0.2 0.2 -0.2 0.3 -0.3 SUGAR11 -0.1 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.0 0.2 -0.1 -0.1 0.3 0.4 0.4 0.4 -0.1 -0.1 -0.0 0.1 -0.1 -2.5 -0.0 0.0 -0.0 -0.0 0.0 -0.0 1.1 0.3 -0.1 -0.6 -0.3 0.1 -0.3 0.4 0.2 US10 0.1 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 0.0 0.2 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.6 0.0 -0.1 -0.0 -0.1 -0.7 -0.7 -0.4 0.2 US10U 0.0 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 0.0 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 -0.0 -0.1 -0.0 -0.1 -0.7 -0.7 0.2 0.5 US2 0.2 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 -0.4 -0.4 -0.4 -0.4 0.1 0.0 -0.0 -0.2 0.0 1.1 0.0 -0.0 0.0 0.0 -0.0 0.0 -1.1 0.1 0.0 -0.0 0.1 -0.6 -0.7 -0.4 -0.7 US20 0.1 0.6 0.5 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 -0.0 -0.1 0.1 -0.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.7 -0.7 0.7 0.7 US30 -0.1 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 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.0 -0.2 0.0 -0.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.3 -0.1 -0.2 -0.0 -0.2 -0.4 -0.6 0.7 0.7 US5 0.1 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 -0.2 -0.2 -0.2 0.1 0.0 -0.0 -0.1 0.0 0.5 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.8 0.1 -0.0 -0.0 0.0 -0.7 -0.7 -0.7 -0.4 VIX 0.2 -0.7 -0.3 -0.1 -0.1 -0.3 -0.1 -0.6 -0.1 -0.3 -0.9 -0.3 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.2 -0.9 -0.3 NaN -0.1 -0.1 -0.3 -0.1 -0.6 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.1 0.5 0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.0 -0.4 -0.1 -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 0.3 0.1 0.2 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 3.1 19.1 13.9 4.6 -0.7 3.6 0.7 2.2 3.3 -13.2 2.4 -6.7 -6.6 7.7 11.8 -2.2 -2.8 -2.5 -2.7 13.4 7.4 -5.1 -2.5 6.6 3.0 5.1 -1.6 2.7 -0.3 -0.4 3.3 -1.0 -9.5 -1.2 -1.7 2.0 -16.8 -11.0 -7.6 4.7 BITCOIN -3.2 7.1 20.0 -1.3 -16.7 -0.2 -13.3 0.1 -6.2 16.2 20.0 16.0 19.0 19.0 20.0 -8.3 -6.4 -8.7 -7.8 20.0 20.0 19.4 17.6 20.0 -20.0 8.0 2.9 8.1 2.7 5.4 4.7 -2.1 20.0 15.9 20.0 20.0 -5.5 11.4 4.1 18.2 BOBL -4.4 20.0 20.0 2.1 -0.8 1.0 -0.1 -0.5 1.5 -7.9 4.2 -5.1 -1.9 4.2 6.5 -20.0 -9.9 -20.0 -15.0 10.5 7.5 -7.2 -0.8 3.7 7.7 2.3 -2.7 1.7 -1.5 0.0 0.8 -18.7 -14.1 -7.3 -0.9 4.9 -18.6 -20.0 -2.1 -18.4 BTP -2.2 20.0 20.0 3.4 -1.2 1.6 -0.1 -0.8 2.4 -12.2 8.9 -6.8 6.9 6.2 10.6 4.3 7.0 5.5 6.0 19.2 14.6 -5.1 4.6 9.3 -9.1 3.9 -1.5 2.9 -1.0 1.1 1.8 13.3 -18.5 -7.0 1.1 6.7 -14.9 -20.0 8.5 3.1 BUND -5.7 20.0 20.0 2.4 -0.9 1.1 -0.1 -0.6 1.7 -8.7 4.8 -6.2 -2.2 4.3 7.0 4.8 4.3 2.6 2.4 12.0 8.3 -7.2 -1.1 4.5 5.3 2.5 -2.5 1.8 -1.5 0.1 0.8 7.6 -15.5 -9.6 -0.3 4.6 -18.0 -20.0 -2.7 -7.0 BUXL -6.1 20.0 20.0 2.7 -1.0 1.3 -0.1 -0.7 1.9 -10.1 5.0 -8.2 -5.1 4.6 7.7 0.1 0.6 0.2 0.5 13.5 8.1 -7.8 -3.7 5.1 1.0 2.8 -2.1 1.7 -1.4 -0.3 1.1 3.2 -15.3 -12.3 1.9 3.4 -20.0 -20.0 -2.7 9.3 CAC -13.7 19.9 3.3 5.7 0.2 4.1 -0.3 2.1 3.1 -15.0 14.1 -17.9 20.0 9.8 18.3 -9.4 -4.6 -8.2 -6.8 17.0 14.0 -10.9 13.1 3.4 -8.5 4.9 -1.6 4.1 -3.1 3.1 0.7 0.5 -17.3 -20.0 -7.6 -4.8 6.6 8.3 15.1 14.5 CAD 8.8 20.0 5.4 6.5 -1.0 5.0 0.9 3.1 4.7 -19.3 0.9 -5.0 -5.9 12.1 14.8 -1.7 -2.2 -2.1 -2.2 18.9 7.7 -4.4 -3.9 13.5 2.4 6.3 -2.3 2.2 0.3 -1.1 5.4 0.0 -12.2 5.6 -0.1 -9.5 -20.0 -17.7 0.6 -14.3 CANOLA -15.2 -20.0 -20.0 -2.7 -1.7 -2.7 -3.3 -3.1 -3.2 -7.6 -7.6 -8.9 -6.4 -9.9 -10.2 -11.1 -0.7 -10.8 -7.3 -17.8 -14.8 -15.1 -11.0 -17.8 -20.0 -4.0 -1.5 -3.3 -2.8 -2.6 -3.9 -2.5 -17.5 -17.6 -20.0 -20.0 -15.1 -12.5 -6.1 -1.1 CHF 13.9 20.0 10.9 5.5 -0.9 4.3 0.8 2.6 4.0 -15.4 8.2 7.4 11.0 14.3 17.1 -15.5 -15.5 -16.3 -16.1 20.0 16.6 6.9 8.5 20.0 -8.6 7.0 -0.1 3.8 3.6 1.7 7.3 -20.0 15.7 20.0 20.0 6.6 -20.0 -20.0 -18.2 -20.0 COCOA -20.0 -1.6 15.2 -6.6 -4.0 -6.6 -7.9 -7.5 -7.9 -1.3 20.0 -5.9 20.0 10.0 20.0 10.4 1.6 7.9 4.3 20.0 20.0 -10.5 20.0 4.5 -20.0 6.1 -3.5 10.9 -5.5 12.5 -1.3 8.6 -20.0 -8.1 20.0 20.0 20.0 1.1 20.0 20.0 COFFEE -9.2 12.6 20.0 -3.3 -2.0 -3.3 -4.0 -3.8 -3.9 -10.3 4.9 -9.7 -1.7 1.3 7.2 6.8 4.4 7.4 5.6 7.9 7.3 -6.5 1.8 0.9 -15.6 3.2 -2.1 3.2 -2.0 1.5 0.4 12.4 -14.0 3.4 17.4 20.0 -17.2 -20.0 -13.2 -10.4 COPPER -4.2 11.0 7.6 -1.1 -13.7 -0.1 -10.9 0.1 -5.1 -12.5 -0.6 -11.9 -3.0 0.6 8.9 -5.2 -4.5 -5.8 -5.6 4.7 2.4 -12.1 -2.8 -2.5 -8.3 3.1 -6.4 2.0 -5.4 -0.7 -0.5 1.4 8.2 6.2 12.1 4.8 -8.9 -8.7 8.4 -6.1 CORN -10.8 -4.2 -5.6 -6.9 -4.2 -6.9 -8.2 -7.8 -8.1 -16.6 -20.0 -20.0 -20.0 -20.0 -20.0 -10.9 -2.2 -9.0 -6.8 -18.9 -20.0 -20.0 -20.0 -20.0 -20.0 -8.4 -7.7 -5.9 -11.2 -6.4 -11.6 -3.6 -18.3 -20.0 -10.7 4.4 -7.6 -12.7 -0.7 2.8 COTTON2 4.7 -2.8 -16.0 -5.9 -3.6 -5.9 -7.0 -6.7 -7.0 -5.7 -13.2 3.4 -9.0 -2.4 -14.3 -10.2 -1.1 -8.0 -5.2 -10.4 -13.0 0.2 -10.6 -2.5 -20.0 -3.5 0.2 -5.2 2.5 -2.8 1.4 -1.2 20.0 8.6 10.0 -12.0 -18.0 -15.0 -5.6 0.6 CRUDE_W -1.4 -13.1 -6.6 -4.9 -1.1 -2.6 -1.8 0.9 -3.8 -11.8 4.1 -11.4 5.9 -11.0 -14.3 6.2 9.6 7.6 8.8 -8.2 -0.9 -7.6 6.6 -8.8 -4.3 -5.1 -3.8 -0.4 -4.7 4.6 -5.9 -1.1 -8.1 -5.2 5.4 12.7 20.0 14.3 20.0 15.0 DAX -12.5 20.0 10.4 5.3 0.1 3.8 -0.3 2.0 2.9 9.7 15.2 0.6 18.3 17.4 20.0 -15.1 -9.6 -13.1 -11.4 20.0 20.0 2.2 12.9 14.8 18.4 5.9 1.4 4.3 0.1 2.3 2.9 -7.7 5.7 -19.7 12.1 5.6 4.5 5.7 14.7 17.7 DOW -2.0 20.0 20.0 4.6 0.1 3.3 -0.3 1.7 2.5 3.6 16.8 11.0 16.1 18.9 20.0 -11.8 -9.5 -11.2 -10.6 20.0 20.0 9.4 16.5 20.0 -13.6 6.3 1.1 4.8 1.2 3.0 4.3 -7.1 8.9 12.2 20.0 11.7 -8.1 -3.8 -7.4 -6.8 DX -3.9 -19.1 -11.9 3.9 -0.6 3.0 0.6 1.9 2.8 10.2 0.2 5.9 -5.5 -5.1 -9.5 5.2 6.0 5.9 6.1 -10.9 -5.7 2.7 0.8 -5.9 -20.0 -4.2 -0.2 -1.9 -1.1 0.7 -3.5 14.3 12.4 -20.0 -20.0 -20.0 15.6 3.9 20.0 11.3 EUR 2.9 9.9 7.9 4.4 -0.7 3.4 0.6 2.1 3.2 -7.7 -0.4 -4.2 6.3 3.9 9.8 -5.4 -6.6 -5.9 -6.2 7.7 4.3 -1.3 -0.0 4.1 11.6 4.5 1.5 2.2 2.0 0.1 4.1 -7.2 2.2 3.1 -8.4 -3.9 -19.9 -12.0 -15.7 -6.8 EURIBOR-ICE -4.2 20.0 20.0 2.0 -0.7 0.9 -0.1 -0.5 1.4 -7.2 6.2 -2.7 1.3 5.0 7.1 -0.1 -5.6 -2.2 -4.2 14.8 12.4 -5.0 3.4 7.0 16.0 2.6 -1.8 2.2 -0.7 0.6 1.3 -6.8 -10.9 -1.6 5.1 14.2 -20.0 -20.0 6.8 20.0 EUROSTX -14.3 19.9 8.7 5.5 0.1 3.9 -0.3 2.0 3.0 -3.8 15.0 -12.0 19.8 11.0 19.0 10.3 -0.6 3.5 0.2 20.0 18.3 -5.7 15.7 6.3 3.0 5.5 -0.2 4.9 -1.8 3.5 1.3 9.2 -5.4 -20.0 -5.7 4.8 0.3 8.1 5.6 15.9 FEEDCOW 16.1 -11.1 -20.0 -3.9 -2.4 -3.9 -4.7 -4.5 -4.7 2.9 -8.7 9.3 -1.8 3.4 -8.9 -20.0 -20.0 -20.0 -20.0 -12.4 -16.0 4.0 -4.9 0.4 -2.1 -3.6 0.4 -3.3 -0.3 0.8 -1.1 -20.0 0.9 12.1 -2.0 -20.0 13.1 3.7 20.0 11.6 GASOIL 3.9 -14.7 -12.5 -4.0 -0.9 -2.1 -1.5 0.7 -3.1 1.1 3.9 -1.1 5.3 -3.9 -10.8 13.4 19.9 15.5 18.3 -7.8 -1.8 -2.0 6.8 -5.2 7.5 -3.4 -1.6 -0.3 -1.0 3.3 -2.4 17.3 -1.7 8.2 5.8 6.1 -10.0 -2.7 -20.0 -8.5 GASOLINE 2.2 -6.1 -16.3 -5.0 -1.1 -2.6 -1.8 0.9 -3.8 -9.4 -2.2 -6.3 4.1 -2.3 -12.6 -20.0 11.0 -20.0 -6.9 -7.6 -4.8 -6.6 3.9 -5.9 -20.0 -4.9 -3.6 -2.2 -4.2 4.0 -4.5 -7.9 -4.4 1.9 13.3 -1.0 20.0 12.2 20.0 10.2 GAS_US_mini 20.0 -13.1 -0.2 -3.6 -0.8 -1.8 -1.3 0.6 -2.7 5.8 -11.4 10.5 -14.6 -3.6 -9.4 20.0 -20.0 6.0 -15.7 -12.7 -18.2 8.8 -20.0 0.0 19.5 -3.0 1.0 -3.8 2.4 -2.9 0.4 -20.0 20.0 17.0 -5.3 1.8 -17.6 3.6 -20.0 -0.4 GBP 1.1 14.1 5.6 4.9 -0.8 3.8 0.7 2.3 3.5 10.9 0.5 5.0 9.5 12.7 14.1 -0.0 -0.6 -0.3 -0.4 11.2 7.3 4.8 3.2 8.7 2.0 5.6 2.6 3.0 3.9 0.7 5.7 2.9 16.8 1.3 -2.3 -5.8 -15.0 0.1 -11.7 12.0 GOLD_micro -0.2 9.3 15.8 -1.0 -12.5 -0.1 -10.0 0.1 -4.6 -15.2 8.2 -8.6 7.1 3.3 12.1 -13.2 -13.9 -13.9 -14.3 8.7 8.2 -8.6 4.8 1.1 -5.3 2.8 -5.4 3.2 -4.3 2.3 -0.8 -14.4 7.1 5.1 9.4 10.5 -20.0 -20.0 -16.6 -17.9 HEATOIL 2.4 -14.2 -14.5 -4.6 -1.0 -2.4 -1.7 0.8 -3.5 4.4 2.5 -2.6 4.0 -7.5 -13.0 20.0 20.0 20.0 20.0 -10.2 -4.1 -1.6 5.6 -6.4 -20.0 -3.9 -0.8 -0.6 -0.3 4.9 -2.2 20.0 7.9 7.5 9.9 4.2 14.6 0.7 12.6 -4.2 JGB-SGX-mini 13.1 20.0 8.3 1.9 -0.7 0.9 -0.1 -0.4 1.3 6.7 3.0 7.4 3.6 7.5 7.2 8.5 18.3 12.3 14.6 8.0 4.7 5.9 2.0 7.8 -2.5 2.1 1.5 1.0 1.6 -0.0 2.2 20.0 10.8 1.3 0.7 -2.0 0.9 -20.0 10.4 16.5 JPY -1.8 20.0 20.0 2.6 -0.4 2.0 0.4 1.2 1.9 -8.4 -4.6 -7.0 -7.9 3.2 4.1 -13.8 -16.0 -15.8 -16.5 2.9 -2.1 -6.7 -8.9 -0.0 20.0 1.6 -2.6 -0.7 -1.3 -3.2 1.0 -20.0 -7.8 -7.6 -0.0 -6.7 -9.5 -20.0 -4.2 -20.0 LEANHOG 3.4 -4.2 -7.2 -4.3 -2.6 -4.3 -5.1 -4.9 -5.1 14.1 -5.4 9.4 -10.0 -3.2 -9.4 -20.0 1.1 -20.0 -9.5 -7.6 -11.1 11.1 -13.8 -0.1 14.7 1.5 11.1 -2.8 9.8 -7.1 6.2 0.9 20.0 20.0 6.3 0.8 -11.9 -8.3 6.7 11.1 LIVECOW 9.3 -17.3 -20.0 -4.6 -2.8 -4.6 -5.5 -5.3 -5.5 3.3 -9.4 7.3 -1.0 -1.7 -10.8 -15.3 -6.0 -11.9 -9.2 -17.8 -18.2 2.2 -4.8 -4.5 -0.1 -5.5 -0.4 -4.0 -1.5 1.0 -3.3 -7.7 2.2 2.7 -11.6 -20.0 7.4 -5.4 12.8 0.7 LUMBER-new 4.2 14.5 11.8 -7.2 -4.3 -7.0 -8.5 -6.9 -8.5 -17.9 -0.9 -1.9 -17.4 10.2 19.3 -11.1 -14.0 -12.6 -13.5 18.0 8.6 -3.7 -4.8 11.4 NaN 7.1 -6.0 3.8 -1.7 -0.1 4.6 -19.6 -9.8 20.0 20.0 20.0 -14.3 -20.0 -7.7 -20.0 MILK -5.5 -20.0 -15.2 -5.5 -3.4 -5.5 -6.6 -6.3 -6.6 16.4 -19.7 -8.4 -19.5 -18.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -1.0 -20.0 -20.0 13.0 -7.2 4.0 -7.3 0.3 -7.5 -4.5 -20.0 20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 8.6 11.5 4.5 5.6 -0.9 4.4 0.8 2.7 4.1 -4.5 18.1 11.7 19.6 17.6 19.4 15.7 16.4 15.0 15.2 20.0 18.7 9.0 20.0 17.5 -20.0 7.0 0.1 6.0 4.0 7.7 6.8 20.0 14.9 4.6 -7.3 -6.0 12.5 18.6 20.0 20.0 NASDAQ_micro -9.4 18.6 9.6 3.5 0.1 2.5 -0.2 1.3 1.9 6.0 13.4 1.6 13.6 8.3 13.3 -11.5 -9.3 -10.9 -10.3 19.4 20.0 5.4 19.0 11.1 -20.0 5.0 4.5 4.7 2.8 4.7 3.8 -6.5 14.1 11.4 4.4 8.7 14.3 -5.5 16.5 -7.5 NIKKEI 5.7 0.9 1.6 4.9 0.1 3.5 -0.3 1.8 2.7 18.9 18.6 19.1 19.3 15.9 18.3 19.1 11.8 14.5 12.4 14.0 14.9 20.0 18.9 17.1 -14.4 6.3 19.7 5.7 13.5 7.4 9.3 20.0 20.0 20.0 -16.6 -5.8 -11.0 -1.4 -6.2 2.6 NZD 4.5 20.0 14.4 5.1 -0.8 4.0 0.7 2.5 3.7 -15.9 5.5 -4.9 2.7 12.1 15.3 0.3 0.2 0.2 0.1 19.5 12.4 -2.8 0.2 11.1 0.8 6.2 -1.1 3.8 1.0 0.6 4.6 4.1 -0.2 -1.6 3.3 8.9 -9.2 -12.0 -6.1 4.9 OAT -5.3 20.0 20.0 2.5 -0.9 1.2 -0.1 -0.6 1.8 -9.3 5.8 -6.5 -1.7 4.6 7.6 4.6 6.9 5.0 5.6 14.0 9.9 -6.9 0.0 5.7 7.6 2.8 -2.2 2.0 -1.4 0.2 1.0 12.9 -16.6 -9.1 1.3 6.1 -18.3 -20.0 2.1 5.6 OATIES 7.2 -0.4 -20.0 -2.3 -1.4 -2.3 -2.7 -2.6 -2.7 1.0 -6.1 -0.1 -4.6 -1.5 -6.5 2.8 -6.8 -4.3 -8.1 -6.0 -6.7 -0.2 -3.7 -2.6 -20.0 -2.3 1.9 -2.6 0.6 -1.4 -0.7 -10.0 11.0 7.6 0.2 -16.6 -0.5 6.2 9.5 19.4 OJ -20.0 -20.0 -20.0 -3.5 -2.1 -3.5 -4.2 -4.0 -4.2 -11.3 6.3 -11.6 10.4 -11.7 -5.5 3.3 18.9 11.8 16.7 -10.4 9.4 -20.0 20.0 -20.0 -20.0 -1.5 -4.7 3.3 -5.1 6.8 -4.9 20.0 -19.9 -20.0 -12.1 20.0 10.5 12.3 20.0 20.0 PALLAD -3.3 14.7 10.7 -0.4 -5.7 -0.1 -4.6 0.0 -2.1 -5.8 -5.3 -5.7 -7.5 -2.4 -2.2 -1.8 -2.3 -1.9 -2.1 -3.2 -5.5 -9.4 -9.4 -5.3 6.3 -0.9 -1.7 -1.9 -1.7 -2.5 -0.7 6.2 -2.6 12.1 0.6 -8.6 -5.8 -7.2 0.0 -1.9 PLAT 1.6 12.3 7.5 -0.8 -10.3 -0.1 -8.2 0.1 -3.8 -12.7 -3.2 -9.1 -5.5 1.9 6.0 -3.4 -2.9 -3.5 -3.3 4.5 1.4 -13.1 -2.6 -1.0 13.3 2.0 -9.0 1.2 -5.4 0.0 -0.4 4.7 -2.5 7.4 9.6 4.1 -5.5 -8.0 15.8 -1.8 REDWHEAT -1.6 13.1 -12.5 -4.6 -2.8 -4.6 -5.5 -5.2 -5.4 -5.1 -15.0 -9.0 -15.9 -2.6 -10.3 -3.1 -1.5 -3.7 -3.2 -11.9 -19.2 -5.0 -20.0 -6.9 -12.8 -6.0 -0.0 -7.9 -2.3 -7.4 -4.2 0.3 8.5 -7.9 -2.7 -15.5 -20.0 -20.0 -20.0 -14.2 RICE -4.0 1.8 7.0 -5.0 -3.0 -5.0 -5.9 -5.7 -5.9 -7.2 14.6 -2.3 12.0 4.8 12.0 -11.8 0.2 -13.1 -7.5 10.5 11.3 1.6 8.7 6.1 -20.0 0.3 -3.2 2.7 -5.6 2.6 -4.1 -0.3 -20.0 0.3 11.5 16.9 -2.1 -11.2 8.4 -1.5 ROBUSTA -1.0 17.1 -3.5 -2.9 -1.8 -2.9 -3.5 -3.3 -3.5 8.7 9.4 5.8 9.9 8.0 9.1 20.0 20.0 20.0 20.0 16.3 13.8 9.5 11.4 13.4 -16.8 3.8 1.9 3.1 1.9 2.5 3.2 20.0 16.0 20.0 20.0 20.0 -11.7 -14.6 -1.0 0.9 RUSSELL 0.3 20.0 11.1 2.7 0.1 1.9 -0.2 1.0 1.5 -7.5 4.7 -5.0 0.8 5.8 8.0 -5.9 -6.1 -6.2 -6.4 12.4 7.4 -3.0 1.2 7.1 -1.8 2.8 -0.7 1.7 -0.6 0.5 1.5 -0.5 -13.1 4.5 4.7 -3.0 -19.6 -17.3 -20.0 -19.1 SHATZ -2.2 20.0 20.0 2.0 -0.7 0.9 -0.1 -0.5 1.4 -7.2 1.5 -4.4 -4.7 3.7 5.2 -20.0 -20.0 -20.0 -20.0 7.5 4.3 -7.6 -3.6 2.0 8.7 2.1 -2.7 1.3 -1.4 -0.5 0.9 -20.0 -10.2 -5.4 -0.6 4.1 -15.5 -20.0 -6.6 -20.0 SILVER-mini -8.9 1.9 3.6 -0.9 -11.2 -0.1 -8.9 0.1 -4.1 -13.4 -0.1 -11.7 2.5 -9.2 1.4 -6.5 -6.4 -6.8 -6.8 -2.5 -0.4 -13.4 -0.4 -8.8 5.6 -2.0 -5.8 -0.4 -5.8 0.3 -4.4 -1.4 3.4 1.2 -2.9 -2.2 -20.0 -19.6 6.1 -13.1 SMI 4.1 20.0 0.4 5.5 0.1 4.0 -0.3 2.0 3.0 20.0 2.3 20.0 4.0 20.0 20.0 12.1 4.2 8.5 5.7 20.0 7.5 16.0 -1.7 20.0 11.1 7.3 3.4 3.0 5.1 -0.2 8.0 18.2 20.0 7.8 2.8 -7.6 1.2 -6.4 6.7 -5.9 SOFR 0.6 20.0 17.5 2.5 -0.9 1.2 -0.1 -0.6 1.7 -7.6 3.1 -4.4 -1.0 5.7 8.2 1.4 -0.2 0.9 0.2 10.7 6.1 -3.2 -1.4 5.2 -1.8 2.9 -0.6 1.5 -0.1 -0.3 1.9 2.0 1.1 -2.5 -0.1 0.8 -20.0 -20.0 -6.0 -5.9 SOYBEAN -20.0 -15.4 -3.8 -6.0 -3.6 -5.9 -7.1 -6.7 -7.0 -17.8 4.5 -20.0 5.4 -20.0 -16.7 13.7 17.1 14.8 14.9 -20.0 -8.5 -20.0 -2.3 -20.0 -20.0 -4.7 -6.2 -0.3 -9.7 1.1 -9.5 20.0 -20.0 -20.0 -10.4 6.9 -20.0 -20.0 -20.0 -20.0 SOYMEAL -20.0 -20.0 2.3 -4.6 -2.8 -4.5 -5.4 -5.2 -5.4 -15.1 -5.6 -16.6 1.5 -16.9 -10.6 4.2 15.7 10.5 13.1 -17.9 -6.1 -20.0 1.2 -20.0 -20.0 -3.9 -5.4 -0.2 -6.3 2.1 -6.6 20.0 -20.0 -20.0 -20.0 8.8 -20.0 -20.0 -20.0 -19.3 SOYOIL -8.0 -5.8 -20.0 -3.7 -2.2 -3.7 -4.3 -4.1 -4.3 1.3 -6.2 -9.4 -6.4 -11.5 -13.0 -4.1 7.3 0.5 4.1 -13.2 -13.4 -5.7 -9.4 -10.0 -20.0 -3.3 0.0 -3.5 -1.9 -2.7 -2.9 14.2 2.9 -4.4 5.6 -14.7 -9.9 -1.4 -1.3 8.5 SP400 -0.5 20.0 8.8 3.0 0.1 2.2 -0.2 1.1 1.6 -6.3 6.8 -3.9 4.2 7.7 10.0 -5.0 -5.1 -5.2 -5.2 14.1 9.0 -1.5 3.1 8.4 -9.4 3.2 -0.1 2.2 -0.5 1.0 1.7 1.4 -8.3 3.5 4.3 -2.0 -18.2 -8.7 -20.0 -20.0 SP500_micro -5.6 20.0 11.1 4.5 0.1 3.2 -0.3 1.6 2.4 10.6 15.5 8.0 15.0 15.2 18.2 -12.2 -10.3 -11.7 -11.2 20.0 20.0 9.4 16.0 18.6 -20.0 6.0 4.2 4.9 2.7 3.9 4.5 -8.2 14.9 13.0 8.4 4.6 5.3 -5.2 10.2 -7.8 SUGAR11 -2.5 -20.0 -20.0 -2.5 -1.5 -2.5 -3.0 -2.9 -3.0 1.4 -3.6 2.2 5.1 -7.1 -6.9 12.9 19.3 20.0 20.0 -13.1 -6.8 -0.9 2.2 -9.4 -18.7 -2.7 0.2 -1.3 -0.3 0.8 -2.0 20.0 10.9 -3.5 -20.0 -9.5 3.0 -7.7 12.9 6.1 US10 1.6 20.0 18.1 2.0 -0.8 1.0 -0.1 -0.5 1.4 -4.9 -0.0 -2.9 -3.3 4.7 6.5 -9.6 -7.5 -8.3 -8.0 7.7 2.6 -1.6 -5.0 4.4 1.5 2.3 -0.3 0.8 0.1 -1.0 1.6 -11.4 1.2 -2.2 -0.5 -2.2 -20.0 -20.0 -12.7 5.6 US10U 0.5 20.0 15.8 2.8 -1.0 1.3 -0.1 -0.7 2.0 -8.6 0.1 -5.3 -4.4 6.0 8.4 2.4 0.5 2.0 1.1 10.2 3.1 -3.5 -7.1 5.4 -1.7 2.9 -0.8 0.9 -0.3 -1.5 1.9 3.2 -1.2 -4.1 -1.0 -4.5 -20.0 -20.0 4.5 15.5 US2 5.4 20.0 20.0 1.9 -0.7 0.9 -0.1 -0.5 1.3 -6.0 -2.1 -2.5 -5.2 5.0 5.9 -20.0 -20.0 -20.0 -20.0 6.3 1.7 -1.0 -6.4 3.9 8.3 2.4 -0.1 1.1 0.5 -1.1 1.9 -20.0 4.1 0.5 -0.3 2.9 -16.9 -20.0 -11.6 -20.0 US20 1.8 20.0 14.8 2.0 -0.7 1.0 -0.1 -0.5 1.4 -6.3 1.0 -3.5 -2.7 4.6 6.3 -0.6 -1.3 -0.7 -1.1 8.8 3.0 -2.3 -4.8 5.2 -1.8 2.1 -0.7 0.6 -0.2 -1.0 1.4 -0.4 -1.7 -1.9 1.5 -3.3 -20.0 -20.0 20.0 20.0 US30 -2.2 20.0 14.6 2.3 -0.9 1.1 -0.1 -0.6 1.7 -8.3 1.0 -5.7 -3.8 4.8 6.9 -6.1 -4.4 -5.4 -5.1 8.4 2.6 -4.2 -6.1 3.9 -1.4 2.2 -1.1 0.6 -0.7 -1.3 1.3 -6.1 -3.4 -5.5 -0.4 -4.9 -12.8 -17.4 20.0 20.0 US5 2.7 20.0 20.0 2.0 -0.8 1.0 -0.1 -0.5 1.4 -4.7 -0.1 -2.5 -3.7 4.9 6.5 -9.2 -10.1 -9.6 -10.4 7.6 3.0 -1.3 -4.6 4.4 3.6 2.5 -0.1 1.1 0.3 -0.8 1.8 -15.9 3.0 -1.0 -0.5 0.4 -20.0 -20.0 -20.0 -10.8 VIX 3.4 -12.9 -6.5 -5.4 -7.4 -7.1 -5.5 -9.8 -4.5 -17.8 -20.0 -16.9 -20.0 -17.7 -19.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -16.0 -20.0 -17.6 NaN -6.5 -6.8 -8.1 -5.3 -11.0 -5.2 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 1.9 14.2 1.6 -5.2 -3.1 -5.1 -6.1 -5.8 -6.1 -2.1 -15.3 -7.5 -17.9 5.4 3.0 -10.0 -10.4 -10.7 -10.8 -3.9 -12.3 -2.7 -20.0 -1.9 -3.4 -2.2 1.9 -5.4 -0.4 -8.5 -1.1 -14.2 13.5 3.0 6.3 4.3 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3