******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240111_204007 produced at 2024-01-11 21:37:09.513258 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -49.85 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 -2.79 24.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.09 0.0 0.10 -0.10 -0.05 -0.05 -10.71 12.0 -6 -6 caleb_strategy_v3 US2 False True 0.07 0.00 -0.08 0.0 0.00 0.00 0.00 0.00 -1.11 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 -19.86 51.0 -6 -6 caleb_strategy_v3 LIVECOW False False 0.02 0.00 -0.06 0.0 0.41 -0.41 0.00 0.00 -2.39 17.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -5.11 5.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 -0.06 0.0 999.00 -999.00 0.00 0.00 -1.78 999999999.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.05 0.0 0.20 -0.20 -0.03 -0.03 -1.41 6.0 -1 -1 caleb_strategy_v3 GOLD_micro False False 0.01 -0.14 -0.05 0.0 0.40 -0.40 -0.14 -0.14 -6.85 56.0 -20 -20 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.16 -0.16 -0.06 -0.06 -2.53 11.0 -4 -4 caleb_strategy_v3 BOBL False False 0.05 -0.23 -0.04 0.0 0.86 -0.86 -0.23 -0.23 -0.79 19.0 -5 -5 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.04 0.0 0.32 -0.32 -0.04 -0.04 -1.01 8.0 -1 -1 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.35 11.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.00 -0.03 0.0 0.94 -0.94 0.00 0.00 -0.86 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 -1.48 7.0 -2 -2 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -1.05 0.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.02 0.0 0.11 -0.11 -0.01 -0.01 -1.73 9.0 -1 -1 caleb_strategy_v3 JPY False False 0.03 -0.06 -0.02 0.0 0.51 -0.51 -0.06 -0.06 -0.81 17.0 -2 -2 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.02 0.0 0.19 -0.19 0.00 0.00 -0.26 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.02 0.0 0.23 -0.23 -0.01 -0.01 -5.59 68.0 -3 -3 caleb_strategy_v3 RICE False False 0.01 0.00 -0.02 0.0 0.05 -0.05 0.00 0.00 -1.40 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 -2.23 8.0 -3 -3 caleb_strategy_v3 US10 False False 0.04 -0.16 -0.02 0.0 0.66 -0.66 -0.16 -0.16 -0.42 17.0 -4 -4 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -3.46 3.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.05 -0.02 0.0 0.10 -0.10 -0.05 -0.05 -1.82 9.0 -4 -4 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.02 0.0 0.14 -0.14 0.00 0.00 -0.63 4.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 -0.02 0.0 0.75 -0.75 0.00 0.00 -0.61 29.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -2.22 2.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.15 -0.01 0.0 0.67 -0.67 -0.15 -0.15 -0.20 13.0 -3 -3 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 -0.01 0.0 0.06 -0.06 -0.01 -0.01 -3.68 26.0 -6 -6 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.10 -0.10 -0.03 -0.03 -1.19 10.0 -3 -3 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.15 -0.15 0.00 0.00 -0.99 18.0 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 PALLAD False False 0.03 0.00 -0.00 0.0 0.07 -0.07 0.00 0.00 -0.04 2.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 -0.00 0.0 0.05 -0.05 0.00 0.00 -0.26 3.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.05 0.00 0.0 0.44 -0.44 0.05 0.05 0.08 19.0 2 2 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.21 -0.21 0.00 0.00 -0.02 4.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.00 0.0 0.53 -0.53 0.00 0.00 0.02 13.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.05 0.00 0.0 0.67 -0.67 0.05 0.05 0.09 14.0 1 1 caleb_strategy_v3 US20 False False 0.04 0.09 0.00 0.0 0.38 -0.38 0.09 0.09 0.08 9.0 2 2 caleb_strategy_v3 US30 False False 0.05 0.09 -0.00 0.0 0.27 -0.27 0.09 0.09 -0.04 6.0 2 2 caleb_strategy_v3 CAC False True 0.03 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.43 12.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.01 0.0 0.11 -0.11 0.00 0.00 0.27 3.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.01 0.0 0.14 -0.14 0.01 0.01 1.15 13.0 1 1 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 PLAT False False 0.02 0.02 0.01 0.0 0.16 -0.16 0.02 0.02 0.73 10.0 1 1 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.01 0.0 0.23 -0.23 0.00 0.00 0.98 23.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.09 0.02 0.0 0.27 -0.27 0.09 0.11 1.72 23.0 8 9 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.02 0.0 0.10 -0.10 0.00 0.00 0.72 4.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.03 0.02 0.0 0.38 -0.38 0.03 0.03 1.55 26.0 2 2 caleb_strategy_v3 SP500_micro False False 0.01 0.01 0.02 0.0 0.40 -0.40 0.01 0.01 2.72 48.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.03 0.0 0.12 -0.12 0.02 0.02 1.29 5.0 1 1 caleb_strategy_v3 BTP False False 0.05 0.05 0.03 0.0 0.45 -0.45 0.05 0.05 0.57 10.0 1 1 caleb_strategy_v3 NZD False False 0.02 0.04 0.04 0.0 0.46 -0.46 0.04 0.04 1.80 21.0 2 2 caleb_strategy_v3 DOW False False 0.01 0.00 0.04 0.0 0.44 -0.44 0.00 0.00 5.66 66.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.11 0.05 0.0 0.61 -0.61 0.11 0.11 1.81 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 1.16 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 34.59 59.0 43 43 caleb_strategy_v3 EUROSTX False False 0.02 0.33 0.07 0.0 0.34 -0.34 0.33 0.33 4.22 20.0 19 19 caleb_strategy_v3 DAX False False 0.01 0.00 0.11 0.0 0.37 -0.37 0.00 0.00 16.61 58.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.41 0.13 0.0 0.41 -0.41 0.41 0.41 2.84 9.0 9 9 caleb_strategy_v3 NIKKEI False False 0.01 0.24 0.23 0.0 0.30 -0.30 0.24 0.25 27.45 36.0 29 30 caleb_strategy_v3 MXP False False 0.01 0.53 0.56 0.0 0.61 -0.61 0.53 0.54 54.69 60.0 52 53 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.66 0.68 0.0 0.94 -0.94 0.66 0.66 7.23 10.0 7 7 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.46 0.91 0.0 0.57 -0.57 0.46 0.46 25.88 16.0 13 13 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 20.9 Shocked risk 58.3 Sum abs risk 49.5 Leverage 4.54 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2870525.1, 'annual_cash_vol_target': 717631.275, 'daily_cash_vol_target': 44851.9546875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6696 0.6111 9.7776 BITCOIN 1220.3000 46325.0000 2.6342 42.1474 BOBL 0.2729 118.3400 0.2306 3.6894 BTP 0.6268 118.2800 0.5299 8.4790 BUND 0.5612 135.6400 0.4137 6.6197 BUXL 1.3563 137.8000 0.9843 15.7481 CAC 48.0108 7431.0000 0.6461 10.3374 CAD 0.0027 0.7469 0.3664 5.8626 CANOLA 7.3593 631.0000 1.1663 18.6607 CHF 0.0050 1.1805 0.4260 6.8153 COCOA 48.2398 4230.0000 1.1404 18.2467 COFFEE 3.9075 180.1500 2.1690 34.7042 COPPER 0.0403 3.7860 1.0644 17.0299 CORN 4.0763 489.0000 0.8336 13.3374 COTTON2 0.9561 81.4100 1.1744 18.7899 CRUDE_W 1.1645 70.4100 1.6539 26.4631 DAX 106.6863 16752.0000 0.6369 10.1897 DOW 199.1943 37909.0000 0.5255 8.4073 DX 0.3985 102.0950 0.3903 6.2444 EUR 0.0050 1.0998 0.4527 7.2438 EURIBOR-ICE 0.0552 97.9000 0.0564 0.9027 EUROSTX 30.7572 4488.0000 0.6853 10.9651 FEEDCOW 1.9829 232.3250 0.8535 13.6560 GASOIL 12.8289 749.2500 1.7122 27.3958 GASOLINE 0.0399 2.3381 1.7076 27.3213 GAS_US_mini 0.0952 2.5350 3.7571 60.1131 GBP 0.0064 1.2757 0.5005 8.0081 GOLD_micro 14.1653 2030.7000 0.6976 11.1609 HEATOIL 0.0423 2.5470 1.6600 26.5601 JGB-SGX-mini 0.2831 147.4300 0.1920 3.0724 JPY 0.0000 0.0069 0.6887 11.0193 LEANHOG 1.1925 79.1750 1.5062 24.0987 LIVECOW 1.3222 174.4500 0.7579 12.1266 LUMBER-new 7.0561 560.0000 1.2600 20.1603 MILK 0.1881 16.3000 1.1538 18.4605 MXP 0.0004 0.0585 0.6320 10.1119 NASDAQ_micro 122.9688 16943.2500 0.7258 11.6123 NIKKEI 273.6140 34450.0000 0.7942 12.7078 NZD 0.0034 0.6230 0.5490 8.7838 OAT 0.5721 130.1200 0.4397 7.0350 OATIES 7.9318 380.7500 2.0832 33.3312 OJ 6.3364 305.2500 2.0758 33.2128 PALLAD 28.4426 995.0000 2.8586 45.7368 PLAT 14.2077 924.2000 1.5373 24.5968 REDWHEAT 10.3911 621.0000 1.6733 26.7726 RICE 0.1846 17.7250 1.0413 16.6615 ROBUSTA 47.0852 2931.0000 1.6065 25.7033 RUSSELL 23.7980 1965.9000 1.2105 19.3686 SHATZ 0.0939 106.1450 0.0885 1.4158 SILVER-mini 0.3530 23.1000 1.5280 24.4479 SMI 62.2556 11127.0000 0.5595 8.9520 SOFR 0.0676 96.7450 0.0698 1.1175 SOYBEAN 9.5766 1206.7500 0.7936 12.6974 SOYMEAL 4.3314 362.2000 1.1959 19.1338 SOYOIL 0.6644 49.0800 1.3537 21.6584 SP400 25.9000 2743.7000 0.9440 15.1037 SP500_micro 28.7502 4812.0000 0.5975 9.5595 SUGAR11 0.4159 21.2900 1.9533 31.2524 US10 0.4330 112.2812 0.3857 6.1705 US10U 0.5953 116.7969 0.5097 8.1555 US2 0.1203 102.8789 0.1170 1.8713 US20 0.9005 122.6250 0.7343 11.7490 US30 1.3323 129.6562 1.0276 16.4416 US5 0.2825 108.4375 0.2605 4.1676 VIX 0.4442 15.2000 2.9224 46.7579 WHEAT 9.1657 650.2500 1.4096 22.5530 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 669.60 0.61 409.19 1.00 409.19 44851.95 109.61 0.28 3.11 BITCOIN 46.32 2.63 122.03 1.00 122.03 44851.95 367.55 8.69 319.41 BOBL 1183.40 0.23 272.88 1.09 298.18 44851.95 150.42 -5.17 -77.82 BTP 1182.80 0.53 626.81 1.09 684.91 44851.95 65.49 2.56 16.77 BUND 1356.40 0.41 561.18 1.09 613.20 44851.95 73.14 1.35 9.90 BUXL 1378.00 0.98 1356.31 1.09 1482.04 44851.95 30.26 -0.61 -1.86 CAC 743.10 0.65 480.11 1.09 524.61 44851.95 85.50 1.47 12.55 CAD 746.90 0.37 273.68 1.00 273.68 44851.95 163.89 -1.44 -23.65 CANOLA 126.20 1.17 147.19 0.75 109.91 44851.95 408.09 -20.00 -816.19 CHF 1475.62 0.43 628.55 1.00 628.55 44851.95 71.36 -1.08 -7.69 COCOA 423.00 1.14 482.40 1.00 482.40 44851.95 92.98 7.79 72.42 COFFEE 675.56 2.17 1465.31 1.00 1465.31 44851.95 30.61 -2.91 -8.91 COPPER 946.50 1.06 1007.43 1.00 1007.43 44851.95 44.52 -2.92 -13.02 CORN 244.50 0.83 203.81 1.00 203.81 44851.95 220.06 -20.00 -440.13 COTTON2 407.05 1.17 478.03 1.00 478.03 44851.95 93.83 -12.61 -118.27 CRUDE_W 704.10 1.65 1164.54 1.00 1164.54 44851.95 38.51 3.09 11.92 DAX 167.52 0.64 106.69 1.09 116.58 44851.95 384.74 12.65 486.86 DOW 189.54 0.53 99.60 1.00 99.60 44851.95 450.33 5.41 243.54 DX 1020.95 0.39 398.45 1.00 398.45 44851.95 112.56 -6.10 -68.64 EUR 1374.81 0.45 622.43 1.00 622.43 44851.95 72.06 0.47 3.40 EURIBOR-ICE 2447.50 0.06 138.08 1.09 150.88 44851.95 297.27 7.13 212.10 EUROSTX 448.80 0.69 307.57 1.09 336.08 44851.95 133.45 9.27 123.78 FEEDCOW 1161.62 0.85 991.44 1.00 991.44 44851.95 45.24 -6.76 -30.57 GASOIL 749.25 1.71 1282.89 1.00 1282.89 44851.95 34.96 4.73 16.52 GASOLINE 982.00 1.71 1676.85 1.00 1676.85 44851.95 26.75 -5.43 -14.52 GAS_US_mini 63.38 3.76 238.10 1.00 238.10 44851.95 188.37 -1.80 -33.96 GBP 797.31 0.50 399.06 1.00 399.06 44851.95 112.39 6.22 69.91 GOLD_micro 203.07 0.70 141.65 1.00 141.65 44851.95 316.63 -6.35 -200.92 HEATOIL 1069.74 1.66 1775.77 1.00 1775.77 44851.95 25.26 2.47 6.25 JGB-SGX-mini 147430.00 0.19 28310.48 0.01 195.20 44851.95 229.77 10.40 239.03 JPY 867.94 0.69 597.75 1.00 597.75 44851.95 75.03 -4.17 -31.28 LEANHOG 316.70 1.51 477.00 1.00 477.00 44851.95 94.03 2.01 18.91 LIVECOW 697.80 0.76 528.87 1.00 528.87 44851.95 84.81 -8.49 -72.04 LUMBER-new 154.00 1.26 194.04 1.00 194.04 44851.95 231.14 -7.00 -161.91 MILK 326.00 1.15 376.13 1.00 376.13 44851.95 119.24 -20.00 -238.49 MXP 292.45 0.63 184.83 1.00 184.83 44851.95 242.67 15.35 372.59 NASDAQ_micro 338.86 0.73 245.94 1.00 245.94 44851.95 182.37 4.06 74.12 NIKKEI 34450.00 0.79 27361.40 0.01 189.97 44851.95 236.10 10.74 253.47 NZD 622.95 0.55 341.99 1.00 341.99 44851.95 131.15 5.29 69.38 OAT 1301.20 0.44 572.12 1.09 625.15 44851.95 71.75 4.75 34.07 OATIES 190.38 2.08 396.59 1.00 396.59 44851.95 113.09 -8.06 -91.19 OJ 457.88 2.08 950.46 1.00 950.46 44851.95 47.19 -2.61 -12.32 PALLAD 995.00 2.86 2844.26 1.00 2844.26 44851.95 15.77 -0.77 -1.22 PLAT 462.10 1.54 710.39 1.00 710.39 44851.95 63.14 3.40 21.50 REDWHEAT 310.50 1.67 519.56 1.00 519.56 44851.95 86.33 -19.46 -168.01 RICE 354.50 1.04 369.16 1.00 369.16 44851.95 121.50 -4.73 -57.41 ROBUSTA 293.10 1.61 470.85 1.00 470.85 44851.95 95.26 8.82 83.97 RUSSELL 98.30 1.21 118.99 1.00 118.99 44851.95 376.94 -4.48 -168.80 SHATZ 1061.45 0.09 93.92 1.09 102.63 44851.95 437.03 -6.29 -274.93 SILVER-mini 577.50 1.53 882.42 1.00 882.42 44851.95 50.83 -6.05 -30.77 SMI 1112.70 0.56 622.56 1.17 729.73 44851.95 61.46 13.53 83.15 SOFR 2418.62 0.07 168.93 1.00 168.93 44851.95 265.51 -0.21 -5.69 SOYBEAN 603.38 0.79 478.83 1.00 478.83 44851.95 93.67 -17.00 -159.27 SOYMEAL 362.20 1.20 433.14 1.00 433.14 44851.95 103.55 -17.99 -186.31 SOYOIL 294.48 1.35 398.62 1.00 398.62 44851.95 112.52 -11.33 -127.50 SP400 2743.70 0.94 2590.00 1.00 2590.00 44851.95 17.32 -4.52 -7.83 SP500_micro 240.60 0.60 143.75 1.00 143.75 44851.95 312.01 3.75 116.93 SUGAR11 238.45 1.95 465.75 1.00 465.75 44851.95 96.30 -4.83 -46.48 US10 1122.81 0.39 433.02 1.00 433.02 44851.95 103.58 -3.21 -33.27 US10U 1167.97 0.51 595.33 1.00 595.33 44851.95 75.34 0.25 1.86 US2 2057.58 0.12 240.65 1.00 240.65 44851.95 186.38 -4.69 -87.39 US20 1226.25 0.73 900.45 1.00 900.45 44851.95 49.81 1.31 6.52 US30 1296.56 1.03 1332.34 1.00 1332.34 44851.95 33.66 -0.82 -2.78 US5 1084.38 0.26 282.45 1.00 282.45 44851.95 158.79 -4.25 -67.51 VIX 152.00 2.92 444.20 1.00 444.20 44851.95 100.97 -20.00 -201.95 WHEAT 325.12 1.41 458.28 1.00 458.28 44851.95 97.87 -14.05 -137.52 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 3.105 0.010 2.5 0.081 BITCOIN 319.408 0.043 2.5 34.588 BOBL -77.824 0.004 2.5 -0.789 BTP 16.765 0.014 2.5 0.572 BUND 9.900 0.004 2.5 0.100 BUXL -1.859 0.004 2.5 -0.019 CAC 12.546 0.014 2.5 0.428 CAD -23.645 0.010 2.5 -0.614 CANOLA -816.187 0.010 2.5 -19.857 CHF -7.688 0.010 2.5 -0.199 COCOA 72.425 0.009 2.5 1.551 COFFEE -8.914 0.005 2.5 -0.104 COPPER -13.016 0.043 2.5 -1.409 CORN -440.129 0.010 2.5 -10.708 COTTON2 -118.271 0.009 2.5 -2.533 CRUDE_W 11.917 0.043 2.5 1.290 DAX 486.862 0.014 2.5 16.606 DOW 243.536 0.009 2.5 5.660 DX -68.636 0.010 2.5 -1.781 EUR 3.400 0.010 2.5 0.088 EURIBOR-ICE 212.097 0.014 2.5 7.234 EUROSTX 123.776 0.014 2.5 4.222 FEEDCOW -30.574 0.013 2.5 -1.013 GASOIL 16.519 0.017 2.5 0.716 GASOLINE -14.515 0.017 2.5 -0.629 GAS_US_mini -33.961 0.043 2.5 -3.678 GBP 69.909 0.010 2.5 1.814 GOLD_micro -200.923 0.014 2.5 -6.853 HEATOIL 6.245 0.017 2.5 0.271 JGB-SGX-mini 239.030 0.043 2.5 25.884 JPY -31.276 0.010 2.5 -0.812 LEANHOG 18.908 0.024 2.5 1.149 LIVECOW -72.037 0.013 2.5 -2.387 LUMBER-new -161.907 0.009 2.5 -3.459 MILK -238.490 0.009 2.5 -5.108 MXP 372.594 0.059 2.5 54.687 NASDAQ_micro 74.121 0.009 2.5 1.723 NIKKEI 253.467 0.043 2.5 27.448 NZD 69.384 0.010 2.5 1.800 OAT 34.072 0.014 2.5 1.162 OATIES -91.189 0.010 2.5 -2.219 OJ -12.321 0.009 2.5 -0.264 PALLAD -1.222 0.014 2.5 -0.042 PLAT 21.496 0.014 2.5 0.733 REDWHEAT -168.012 0.005 2.5 -2.229 RICE -57.411 0.010 2.5 -1.397 ROBUSTA 83.970 0.005 2.5 0.981 RUSSELL -168.805 0.013 2.5 -5.594 SHATZ -274.928 0.004 2.5 -2.788 SILVER-mini -30.767 0.014 2.5 -1.049 SMI 83.151 0.014 2.5 2.836 SOFR -5.695 0.024 2.5 -0.346 SOYBEAN -159.269 0.004 2.5 -1.481 SOYMEAL -186.313 0.004 2.5 -1.733 SOYOIL -127.497 0.004 2.5 -1.187 SP400 -7.831 0.013 2.5 -0.259 SP500_micro 116.930 0.009 2.5 2.718 SUGAR11 -46.484 0.009 2.5 -0.989 US10 -33.266 0.005 2.5 -0.422 US10U 1.860 0.005 2.5 0.024 US2 -87.390 0.005 2.5 -1.107 US20 6.516 0.005 2.5 0.083 US30 -2.776 0.005 2.5 -0.035 US5 -67.513 0.005 2.5 -0.856 VIX -201.945 0.099 2.5 -49.849 WHEAT -137.515 0.005 2.5 -1.824 ===================== Position diags ===================== AUD 2.84 BITCOIN 39.80 BOBL 1.53 BTP 2.23 BUND 0.74 BUXL 0.31 CAC 2.92 CAD 4.25 CANOLA 9.93 CHF 1.85 COCOA 1.99 COFFEE 0.36 COPPER 4.82 CORN 5.35 COTTON2 2.01 CRUDE_W 4.17 DAX 13.12 DOW 10.47 DX 2.92 EUR 1.87 EURIBOR-ICE 10.14 EUROSTX 4.55 FEEDCOW 1.50 GASOIL 1.52 GASOLINE 1.16 GAS_US_mini 20.40 GBP 2.92 GOLD_micro 10.80 HEATOIL 1.09 JGB-SGX-mini 24.88 JPY 1.95 LEANHOG 5.71 LIVECOW 2.81 LUMBER-new 4.94 MILK 2.55 MXP 35.62 NASDAQ_micro 4.24 NIKKEI 25.57 NZD 3.40 OAT 2.45 OATIES 2.75 OJ 1.01 PALLAD 0.54 PLAT 2.15 REDWHEAT 1.15 RICE 2.96 ROBUSTA 1.11 RUSSELL 12.49 SHATZ 4.43 SILVER-mini 1.73 SMI 2.10 SOFR 16.14 SOYBEAN 0.87 SOYMEAL 0.96 SOYOIL 1.05 SP400 0.57 SP500_micro 7.25 SUGAR11 2.05 US10 1.31 US10U 0.95 US2 2.36 US20 0.63 US30 0.43 US5 2.01 VIX 24.92 WHEAT 1.30 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.1 -0.2 0.4 2.0 2 BITCOIN 34.6 30.6 38.6 43.0 43 BOBL -0.8 -0.9 -0.6 -5.0 -5 BTP 0.6 0.3 0.8 1.0 1 BUND 0.1 0.0 0.2 0.0 0 BUXL -0.0 -0.0 0.0 0.0 0 CAC 0.4 0.1 0.7 0.0 0 CAD -0.6 -1.0 -0.2 0.0 0 CANOLA -19.9 -20.8 -18.9 -6.0 -6 CHF -0.2 -0.4 -0.0 -3.0 -3 COCOA 1.6 1.4 1.8 2.0 2 COFFEE -0.1 -0.1 -0.1 0.0 0 COPPER -1.4 -1.9 -0.9 -1.0 -1 CORN -10.7 -11.2 -10.2 -6.0 -6 COTTON2 -2.5 -2.7 -2.3 -4.0 -4 CRUDE_W 1.3 0.9 1.7 1.0 1 DAX 16.6 15.3 17.9 0.0 0 DOW 5.7 4.6 6.7 0.0 0 DX -1.8 -2.1 -1.5 NaN 0 EUR 0.1 -0.1 0.3 1.0 1 EURIBOR-ICE 7.2 6.2 8.2 7.0 7 EUROSTX 4.2 3.8 4.7 19.0 19 FEEDCOW -1.0 -1.2 -0.9 -1.0 -1 GASOIL 0.7 0.6 0.9 0.0 0 GASOLINE -0.6 -0.7 -0.5 0.0 0 GAS_US_mini -3.7 -5.7 -1.6 -6.0 -6 GBP 1.8 1.5 2.1 4.0 4 GOLD_micro -6.9 -7.9 -5.8 -20.0 -20 HEATOIL 0.3 0.2 0.4 0.0 0 JGB-SGX-mini 25.9 23.4 28.4 13.0 13 JPY -0.8 -1.0 -0.6 -2.0 -2 LEANHOG 1.1 0.6 1.7 1.0 1 LIVECOW -2.4 -2.7 -2.1 0.0 0 LUMBER-new -3.5 -4.0 -3.0 NaN 0 MILK -5.1 -5.4 -4.9 NaN 0 MXP 54.7 51.1 58.2 52.0 52 NASDAQ_micro 1.7 1.3 2.1 8.0 8 NIKKEI 27.4 24.9 30.0 29.0 29 NZD 1.8 1.5 2.1 2.0 2 OAT 1.2 0.9 1.4 0.0 0 OATIES -2.2 -2.5 -1.9 NaN 0 OJ -0.3 -0.4 -0.2 NaN 0 PALLAD -0.0 -0.1 0.0 0.0 0 PLAT 0.7 0.5 0.9 1.0 1 REDWHEAT -2.2 -2.3 -2.1 -3.0 -3 RICE -1.4 -1.7 -1.1 NaN 0 ROBUSTA 1.0 0.9 1.1 0.0 0 RUSSELL -5.6 -6.8 -4.3 -3.0 -3 SHATZ -2.8 -3.2 -2.3 NaN 0 SILVER-mini -1.0 -1.2 -0.9 NaN 0 SMI 2.8 2.6 3.0 9.0 9 SOFR -0.3 -2.0 1.3 NaN 0 SOYBEAN -1.5 -1.6 -1.4 -2.0 -2 SOYMEAL -1.7 -1.8 -1.6 -1.0 -1 SOYOIL -1.2 -1.3 -1.1 -3.0 -3 SP400 -0.3 -0.3 -0.2 0.0 0 SP500_micro 2.7 2.0 3.4 1.0 1 SUGAR11 -1.0 -1.2 -0.8 0.0 0 US10 -0.4 -0.6 -0.3 -4.0 -4 US10U 0.0 -0.1 0.1 0.0 0 US2 -1.1 -1.3 -0.9 NaN 0 US20 0.1 0.0 0.1 2.0 2 US30 -0.0 -0.1 0.0 2.0 2 US5 -0.9 -1.1 -0.7 0.0 0 VIX -49.8 -52.3 -47.4 -17.0 -17 WHEAT -1.8 -2.0 -1.7 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.8 3.7 3.7 1.3 1.0 3.1 1.3 4.2 1.3 1.0 3.1 1.3 3.9 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 0.0 0.6 0.5 0.1 -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 -0.0 -0.1 0.1 0.1 -0.1 -0.1 0.1 0.4 0.1 -0.0 0.1 -0.0 -0.0 0.0 -0.1 -0.3 -0.1 -0.1 0.1 -0.6 -0.4 -0.3 0.2 BITCOIN -0.1 0.2 0.6 -0.0 -0.1 -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 0.0 -0.1 0.5 0.5 0.6 0.6 -0.2 0.4 0.1 0.6 BOBL -0.3 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 -0.1 -0.1 0.0 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 0.1 -0.6 -0.7 -0.1 -0.6 BTP -0.2 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.2 -0.1 0.3 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 -0.3 0.0 0.2 -0.5 -0.7 0.3 0.1 BUND -0.3 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 -0.3 -0.3 -0.0 0.1 -0.6 -0.7 -0.1 -0.2 BUXL -0.3 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 0.0 0.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.2 -0.3 -0.4 0.0 0.1 -0.7 -0.7 -0.1 0.3 CAC -0.5 0.6 0.1 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.2 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 0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.3 -0.6 -0.2 -0.2 0.2 0.3 0.5 0.5 CAD 0.2 0.6 0.2 0.1 -0.0 0.1 0.0 0.1 0.0 -0.2 0.0 -0.1 -0.2 0.1 0.2 -0.0 -0.0 -0.0 -0.0 0.2 0.1 -0.1 -0.1 0.1 0.3 0.1 -0.0 0.1 -0.0 -0.0 0.0 0.0 -0.3 0.0 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 -0.3 -0.5 -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 -0.2 0.2 0.1 0.4 0.1 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.0 0.2 0.2 -1.1 0.1 -0.0 0.1 0.0 0.1 0.1 -1.1 0.2 0.6 0.6 0.3 -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 0.1 0.5 0.0 0.7 0.1 0.2 0.2 0.0 0.2 0.1 0.2 0.2 -0.0 0.5 0.1 -2.7 0.1 0.0 0.3 -0.0 0.5 -0.0 0.5 -0.5 -0.2 0.6 0.6 0.7 0.0 0.7 0.7 COFFEE -0.2 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 0.1 0.0 -2.1 0.0 -0.0 0.1 -0.0 0.1 0.0 0.7 -0.4 0.0 0.6 0.6 -0.6 -0.7 -0.4 -0.3 COPPER -0.2 0.3 0.3 -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 0.0 0.0 -0.1 -0.1 -0.0 -1.1 0.0 -0.0 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 -0.4 -0.2 -0.2 -0.1 -0.0 -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 -0.2 -0.2 -0.2 -0.5 -0.2 -2.7 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.5 -0.6 -0.4 0.1 -0.3 -0.4 -0.0 0.1 COTTON2 0.2 -0.0 -0.5 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 0.1 -0.4 0.1 -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 0.1 -0.1 0.1 -0.1 0.0 -0.1 0.5 0.4 0.4 -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 -0.0 -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 -0.0 0.2 -0.1 -0.1 -0.2 -0.2 0.2 0.4 0.7 0.5 0.7 0.5 DAX -0.5 0.6 0.4 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.4 -0.0 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 -0.0 0.4 0.1 2.4 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.4 0.1 -0.6 0.3 0.2 0.1 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 0.5 0.2 -1.8 0.1 0.0 0.1 0.0 0.1 0.0 -0.4 0.2 0.3 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 -0.0 -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 -0.0 -0.0 -0.1 0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.0 0.0 0.0 1.6 0.1 0.0 0.1 0.0 0.0 0.0 -0.4 0.1 0.0 -0.3 -0.1 -0.7 -0.4 -0.5 -0.2 EURIBOR-ICE -0.3 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 0.0 -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 -0.1 0.4 -0.2 0.7 0.1 0.2 0.2 -0.0 0.1 0.0 0.2 0.2 -0.1 0.4 0.0 0.4 0.1 -0.0 0.1 -0.0 0.1 0.0 0.5 -0.1 -0.6 -0.2 0.1 -0.0 0.3 0.2 0.5 FEEDCOW 0.5 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 0.1 -0.2 0.1 -0.1 0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 0.1 -0.1 0.0 -0.3 -0.0 0.0 -0.1 0.0 0.0 -0.0 -1.1 0.1 0.4 -0.0 -0.6 0.4 0.1 0.7 0.4 GASOIL 0.1 -0.5 -0.3 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.1 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 -0.0 1.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.9 -0.1 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 0.0 -0.1 -0.0 0.1 -0.0 -0.1 -0.4 0.2 -0.4 -0.2 -0.1 -0.1 -0.0 0.1 -0.0 -2.7 -0.1 0.0 -0.1 -0.0 0.1 -0.0 -0.5 -0.1 0.0 0.4 -0.0 0.7 0.4 0.7 0.3 GAS_US_mini 0.6 -0.4 -0.1 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.3 0.1 -0.5 -0.0 -0.1 0.4 -0.4 0.2 -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 0.2 0.5 -0.2 0.1 -0.6 0.1 -0.7 -0.0 GBP 0.1 0.4 0.2 0.1 -0.0 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.4 0.1 0.2 0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 0.1 0.1 0.3 0.1 0.0 0.1 0.0 0.0 0.1 0.2 0.5 0.0 -0.0 -0.2 -0.5 0.0 -0.4 0.4 GOLD_micro -0.0 0.3 0.4 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -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 0.4 -0.7 -0.7 -0.6 -0.6 HEATOIL 0.1 -0.4 -0.4 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.1 0.1 -0.0 0.1 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 -0.0 0.0 0.1 -0.1 -2.7 -0.0 0.0 -0.0 0.0 0.2 -0.0 1.1 0.2 0.3 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 0.1 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 -0.3 -0.3 0.0 -0.2 -0.3 -0.7 -0.1 -0.7 LEANHOG 0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -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 -0.2 0.1 0.0 0.5 0.6 0.3 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 0.1 -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 -0.3 -0.6 0.3 -0.2 0.4 0.0 LUMBER-new 0.0 0.5 0.4 -0.1 -0.0 -0.2 -0.1 -0.3 -0.1 -0.2 -0.0 -0.2 -0.7 0.1 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.1 -0.1 -0.1 0.1 NaN 0.1 -0.1 0.1 -0.1 -0.0 0.0 -1.2 -0.6 0.7 0.7 0.7 -0.5 -0.8 -0.3 -0.8 MILK 0.0 -0.6 -0.4 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.0 -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 0.4 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.3 0.4 0.2 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 0.3 -0.2 -0.2 0.4 0.6 0.7 0.7 NASDAQ_micro -0.2 0.6 0.4 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 0.1 0.5 0.1 -2.7 0.1 0.0 0.1 0.0 0.2 0.0 -0.3 0.4 0.4 0.2 0.3 0.5 -0.2 0.6 -0.2 NIKKEI 0.2 0.1 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 -2.0 0.1 0.1 0.2 0.1 0.3 0.1 1.1 0.5 0.6 -0.6 -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 -0.2 0.2 -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 -0.0 0.1 0.3 -0.3 -0.4 -0.2 0.2 OAT -0.3 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.2 -0.1 -0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.0 0.1 1.0 0.0 -0.0 0.1 -0.0 0.0 0.0 0.7 -0.3 -0.3 0.0 0.2 -0.6 -0.7 0.1 0.2 OATIES 0.3 0.0 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 0.0 -0.2 -0.0 -0.1 0.1 -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 0.2 0.3 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 -0.0 0.2 -0.1 1.1 -0.3 -0.6 -0.5 0.6 0.3 0.4 0.7 0.7 PALLAD -0.3 0.5 0.3 -0.0 -0.0 -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 0.9 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.0 0.3 0.0 -0.3 -0.2 -0.2 -0.0 -0.1 PLAT -0.1 0.3 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 0.3 -0.2 0.1 0.3 0.1 -0.2 -0.3 0.5 -0.1 REDWHEAT -0.1 0.3 -0.4 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.4 -0.1 -0.6 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.5 -0.1 -1.7 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 0.0 0.0 -0.2 -0.0 -0.5 -0.7 -0.7 -0.7 -0.5 RICE -0.2 0.0 0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 0.4 -0.0 0.4 0.0 0.1 -0.2 0.0 -0.3 -0.2 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 0.3 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 0.2 0.1 0.3 0.2 -2.3 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.3 0.6 0.6 0.6 -0.4 -0.5 -0.0 0.0 RUSSELL -0.1 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 0.0 0.1 -0.1 -0.7 -0.6 -0.7 -0.6 SHATZ -0.2 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 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 -0.3 -0.2 -0.0 0.1 -0.5 -0.7 -0.2 -0.7 SILVER-mini -0.3 -0.0 0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -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 -0.1 -0.1 0.1 0.0 -0.1 -0.1 -0.7 -0.6 0.2 -0.4 SMI 0.1 0.6 0.0 0.1 -0.0 0.1 -0.0 0.1 0.0 0.0 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 0.0 -0.0 0.1 1.0 0.5 0.2 0.1 -0.3 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 -0.0 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 -0.1 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 -0.0 -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 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 0.0 -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 -0.3 -0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 -0.1 -0.0 -0.3 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.8 0.2 -0.1 0.2 -0.5 -0.3 -0.1 -0.0 0.3 SP400 -0.1 0.6 0.3 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.2 -0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.1 0.1 -1.3 0.0 -0.0 0.1 -0.0 0.0 0.0 0.1 -0.2 -0.0 0.1 -0.1 -0.6 -0.3 -0.7 -0.7 SP500_micro -0.0 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 0.5 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 0.1 -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 0.1 -0.0 -0.6 -0.3 0.1 -0.2 0.4 0.2 US10 -0.0 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 -0.1 0.6 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.2 0.1 0.1 0.0 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 -0.2 -0.0 -0.1 -0.7 -0.7 0.2 0.5 US2 0.1 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.2 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 0.2 0.0 0.0 0.1 -0.6 -0.7 -0.4 -0.7 US20 -0.0 0.6 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 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 -0.1 -0.1 0.0 -0.1 -0.7 -0.7 0.7 0.7 US30 -0.2 0.6 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 0.0 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 0.0 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 0.1 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 -0.9 0.1 -0.0 -0.0 0.0 -0.7 -0.7 -0.7 -0.4 VIX -0.0 -0.7 -0.7 -0.1 -0.1 -0.3 -0.1 -0.5 -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 -0.3 -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 0.4 0.1 -0.1 -0.0 -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 -0.0 -0.5 -0.0 -0.5 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.7 0.2 0.1 0.3 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 1.0 17.9 14.6 4.7 -0.6 3.7 0.5 2.3 3.2 -15.1 2.6 -10.6 -6.6 6.2 11.5 -2.1 -2.8 -2.5 -2.7 12.9 7.5 -6.6 -2.5 5.1 3.1 5.0 -2.5 2.9 -0.9 -0.4 2.8 -1.0 -12.2 -2.9 -1.7 1.8 -17.0 -10.9 -7.6 4.7 BITCOIN -3.6 6.8 20.0 -1.3 -16.1 -0.1 -13.1 0.1 -6.1 14.1 20.0 14.8 19.0 18.7 20.0 -8.3 -6.4 -8.7 -7.8 20.0 20.0 18.0 17.4 20.0 -20.0 8.0 2.4 8.1 2.4 5.4 4.6 -2.1 20.0 14.9 20.0 20.0 -5.5 11.4 4.0 18.2 BOBL -7.9 20.0 20.0 2.2 0.1 1.1 0.2 -0.5 1.5 -5.5 4.3 -5.4 -1.8 4.0 6.4 -20.0 -10.2 -20.0 -15.5 10.2 7.6 -5.8 -0.7 3.3 7.7 2.3 -1.3 1.7 -1.2 0.1 0.8 -19.4 -13.0 -7.4 -1.2 4.6 -18.9 -20.0 -1.9 -18.5 BTP -5.9 20.0 20.0 3.4 0.2 1.7 0.3 -0.8 2.4 -7.3 9.0 -8.0 7.1 5.9 10.5 4.2 7.0 5.5 6.0 19.0 14.9 -3.6 4.9 8.9 -9.3 3.9 -0.5 3.0 -0.7 1.1 1.7 13.2 -14.7 -8.2 0.2 6.4 -15.1 -20.0 8.7 3.0 BUND -9.6 20.0 20.0 2.4 0.1 1.2 0.2 -0.5 1.7 -6.0 4.9 -6.5 -2.0 4.0 6.8 4.9 4.3 2.7 2.4 11.6 8.4 -5.8 -1.0 4.0 5.3 2.5 -1.2 1.8 -1.2 0.1 0.8 7.6 -14.1 -9.6 -0.7 4.2 -18.1 -20.0 -2.4 -7.1 BUXL -10.5 20.0 20.0 2.8 0.1 1.4 0.3 -0.6 2.0 -8.3 5.0 -8.8 -5.1 4.1 7.5 0.1 0.6 0.2 0.5 13.1 8.2 -7.1 -3.7 4.3 1.0 2.8 -1.3 1.8 -1.2 -0.3 0.9 3.2 -14.3 -12.5 1.4 3.0 -20.0 -20.0 -2.4 9.2 CAC -16.1 19.2 4.4 5.6 -1.0 4.2 -0.8 2.2 2.8 -20.0 14.1 -20.0 20.0 7.3 17.8 -9.7 -4.6 -8.4 -6.9 15.8 14.0 -12.2 13.4 1.4 -8.5 4.6 -2.4 4.1 -3.5 3.2 0.1 0.5 -11.8 -20.0 -7.6 -5.8 6.2 8.4 14.4 14.6 CAD 6.2 20.0 5.7 6.5 -0.8 5.1 0.7 3.2 4.4 -20.0 1.0 -11.9 -5.7 10.6 14.3 -1.8 -2.2 -2.1 -2.2 17.9 7.8 -7.1 -3.8 10.8 2.4 6.1 -3.5 2.3 -0.8 -1.1 4.6 0.0 -14.2 0.9 1.0 -10.5 -20.0 -17.5 0.3 -14.2 CANOLA -15.5 -20.0 -20.0 -2.8 -0.9 -2.8 -2.8 -3.1 -3.2 -6.4 -7.8 -8.5 -6.5 -9.8 -10.2 -11.2 -0.8 -10.8 -7.4 -18.1 -15.3 -13.1 -11.3 -17.4 -20.0 -4.0 -0.8 -3.3 -2.4 -2.6 -3.7 -2.3 -14.1 -16.5 -20.0 -20.0 -15.1 -12.6 -6.2 -1.2 CHF 11.6 20.0 11.5 5.5 -0.7 4.4 0.6 2.8 3.8 -17.3 8.6 5.7 11.2 13.2 16.9 -15.4 -15.5 -16.2 -16.0 20.0 16.8 3.8 8.9 20.0 -8.6 7.0 -0.9 3.9 2.7 1.8 6.8 -20.0 8.8 20.0 20.0 7.9 -20.0 -20.0 -17.7 -20.0 COCOA -20.0 -3.2 13.9 -6.6 -2.0 -6.6 -6.7 -7.4 -7.5 13.2 20.0 1.8 20.0 11.7 20.0 10.3 1.6 7.9 4.4 20.0 20.0 -0.6 20.0 6.9 -20.0 6.1 1.9 11.0 -2.8 12.7 -0.5 9.2 -20.0 -5.8 20.0 20.0 20.0 1.3 20.0 20.0 COFFEE -7.2 12.0 20.0 -3.4 -1.1 -3.4 -3.4 -3.8 -3.9 -8.9 5.0 -10.3 -1.5 0.8 7.1 6.9 4.4 7.4 5.7 7.7 7.4 -6.2 1.9 0.3 -15.9 3.2 -1.5 3.3 -1.8 1.6 0.3 12.8 -16.7 1.5 17.6 20.0 -16.7 -20.0 -12.8 -10.4 COPPER -5.8 9.7 8.0 -1.6 -12.2 -0.4 -11.0 0.0 -5.8 -11.4 -0.7 -12.9 -3.1 -1.5 8.3 -5.8 -4.6 -6.0 -5.6 3.9 2.2 -12.0 -2.9 -3.6 -8.4 2.7 -5.2 1.9 -5.3 -0.7 -1.1 1.3 10.4 7.3 12.9 5.7 -9.0 -8.5 8.7 -5.8 CORN -11.1 -4.6 -6.0 -7.0 -2.1 -6.9 -7.0 -7.8 -7.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -10.9 -2.2 -9.1 -6.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.4 -8.3 -5.9 -10.8 -6.2 -11.4 -3.4 -20.0 -20.0 -11.8 3.3 -7.7 -13.1 -1.1 2.8 COTTON2 6.7 -1.2 -15.6 -6.0 -1.8 -6.0 -6.0 -6.7 -6.8 11.3 -13.2 9.8 -8.9 -0.2 -14.0 -10.4 -1.1 -8.2 -5.3 -9.2 -12.4 4.4 -10.4 -0.6 -20.0 -2.9 6.1 -5.0 4.7 -2.8 2.5 -1.0 20.0 12.9 12.0 -12.0 -17.7 -15.1 -5.6 0.5 CRUDE_W -2.2 -13.1 -6.5 -4.8 1.3 -2.6 -0.6 0.8 -3.2 -5.7 4.0 -11.1 5.9 -11.0 -14.6 6.6 9.6 7.7 8.9 -8.3 -1.1 -5.9 6.5 -8.3 -4.3 -5.2 -1.3 -0.5 -3.7 4.5 -5.6 -1.1 -8.7 -6.9 4.7 12.2 20.0 14.4 20.0 15.2 DAX -14.5 20.0 11.2 5.2 -0.9 3.9 -0.7 2.1 2.6 -2.6 15.4 -4.2 18.4 15.6 20.0 -15.2 -9.7 -13.3 -11.5 20.0 20.0 -1.8 13.2 12.2 18.3 5.7 -1.1 4.4 -0.8 2.4 2.3 -7.8 3.6 -18.0 10.2 5.1 4.2 5.8 14.2 18.0 DOW 3.0 20.0 20.0 4.6 -0.8 3.4 -0.6 1.8 2.3 5.2 17.2 10.8 16.4 19.1 20.0 -11.9 -9.5 -11.2 -10.6 20.0 20.0 9.2 17.5 20.0 -13.8 6.4 0.9 5.0 1.2 3.1 4.2 -7.1 8.8 10.2 20.0 12.2 -8.1 -3.8 -7.1 -6.8 DX -2.7 -17.8 -12.7 4.0 -0.5 3.2 0.5 2.0 2.7 10.0 0.1 8.1 -5.8 -4.4 -9.7 5.3 6.0 5.9 6.1 -11.1 -6.1 2.4 0.7 -5.6 -20.0 -4.4 -0.3 -2.0 -1.1 0.7 -3.5 14.3 10.5 -20.0 -20.0 -20.0 15.9 3.8 20.0 11.2 EUR 2.4 9.1 8.6 4.5 -0.6 3.6 0.5 2.2 3.1 -5.2 -0.2 -5.2 6.5 3.7 10.1 -5.5 -6.6 -5.9 -6.2 7.9 4.6 -0.4 0.1 4.2 12.0 4.7 1.6 2.4 2.2 0.2 4.2 -7.2 4.2 1.0 -8.5 -3.7 -20.0 -12.0 -15.9 -6.9 EURIBOR-ICE -8.3 20.0 20.0 2.0 0.1 1.0 0.2 -0.5 1.4 -4.7 6.2 -3.3 1.4 4.9 7.0 0.2 -5.5 -2.0 -4.1 14.4 12.5 -3.3 3.6 6.5 16.0 2.6 -0.7 2.2 -0.4 0.7 1.2 -6.7 -10.7 -2.1 4.7 13.9 -20.0 -20.0 6.8 20.0 EUROSTX -16.0 19.2 9.7 5.4 -1.0 4.0 -0.7 2.1 2.7 -11.4 15.1 -15.4 19.8 8.6 18.5 10.6 -0.5 3.8 0.4 19.2 18.4 -8.1 16.1 4.3 3.0 5.2 -1.8 5.0 -2.5 3.7 0.7 9.6 -4.2 -20.0 -6.5 4.0 -0.0 8.2 5.0 16.0 FEEDCOW 15.1 -12.4 -20.0 -4.2 -1.3 -4.1 -4.2 -4.6 -4.7 8.8 -9.0 11.0 -2.0 4.5 -9.0 -20.0 -20.0 -20.0 -20.0 -12.3 -16.6 5.7 -5.3 1.3 -2.3 -3.7 1.3 -3.5 0.3 0.8 -0.9 -20.0 4.9 12.9 -0.2 -20.0 13.3 3.8 20.0 11.9 GASOIL 3.3 -14.3 -10.7 -4.0 1.1 -2.2 -0.5 0.7 -2.7 12.2 4.0 1.3 5.4 -2.7 -10.7 14.2 19.9 15.7 18.4 -7.4 -1.8 1.0 7.0 -3.8 7.7 -3.2 1.4 -0.2 0.4 3.5 -1.7 17.3 -2.3 9.1 5.9 5.8 -10.0 -2.8 -20.0 -8.6 GASOLINE 1.7 -5.9 -14.7 -4.9 1.3 -2.7 -0.6 0.9 -3.3 2.2 -2.4 -4.3 4.1 -1.3 -12.3 -20.0 10.0 -20.0 -8.6 -7.2 -4.7 -2.5 3.9 -4.5 -20.0 -4.7 1.4 -2.2 -2.0 4.0 -3.6 -10.1 -3.4 0.3 13.4 -0.6 20.0 12.2 20.0 10.3 GAS_US_mini 20.0 -12.3 -1.6 -3.5 0.9 -1.9 -0.4 0.6 -2.3 3.0 -11.2 8.7 -14.5 -2.9 -9.2 20.0 -20.0 10.0 -13.3 -12.3 -18.1 6.6 -20.0 -0.0 19.5 -3.0 -0.0 -3.8 1.8 -3.0 0.3 -20.0 8.2 16.7 -6.0 2.3 -17.6 3.4 -20.0 -0.6 GBP 2.1 13.5 6.3 5.0 -0.6 4.0 0.6 2.5 3.4 15.0 0.8 6.4 9.8 13.3 14.9 0.1 -0.6 -0.2 -0.4 11.9 7.8 5.7 3.6 9.3 2.1 5.9 2.7 3.3 3.9 0.8 5.8 3.0 20.0 0.8 -1.3 -4.9 -15.3 0.0 -11.9 11.8 GOLD_micro -1.4 8.1 13.6 -1.5 -11.4 -0.4 -10.2 0.0 -5.4 -15.3 8.5 -11.6 7.3 1.8 12.1 -13.3 -13.9 -13.9 -14.3 8.2 8.3 -9.2 5.0 -0.2 -5.4 2.5 -4.6 3.2 -4.5 2.4 -1.3 -14.3 9.7 5.8 9.9 11.0 -20.0 -20.0 -16.9 -17.6 HEATOIL 2.6 -13.8 -12.7 -4.6 1.2 -2.5 -0.6 0.8 -3.1 12.8 2.5 -0.2 4.0 -6.6 -12.7 20.0 20.0 20.0 20.0 -9.5 -4.0 1.6 5.5 -4.7 -20.0 -3.6 3.0 -0.6 1.2 4.9 -1.4 20.0 9.8 8.9 10.0 4.4 14.7 0.7 12.7 -4.1 JGB-SGX-mini 11.9 20.0 8.8 1.9 0.1 0.9 0.2 -0.4 1.3 6.6 3.3 7.4 3.8 7.6 7.3 8.5 18.3 12.3 14.6 8.2 4.9 7.1 2.2 8.3 -2.5 2.2 2.3 1.1 2.0 0.0 2.3 20.0 11.4 3.7 0.7 -1.8 0.8 -20.0 10.4 16.3 JPY -4.1 20.0 20.0 2.6 -0.3 2.0 0.3 1.3 1.7 -8.2 -4.6 -7.7 -8.0 2.0 3.6 -13.8 -16.0 -15.7 -16.4 2.3 -2.2 -7.5 -9.0 -1.1 20.0 1.5 -2.6 -0.8 -1.7 -3.3 0.7 -20.0 -10.9 -9.8 0.2 -7.0 -9.6 -20.0 -4.3 -20.0 LEANHOG 5.0 -3.6 -7.1 -4.5 -1.4 -4.5 -4.5 -5.0 -5.1 14.7 -5.5 12.0 -10.3 -1.3 -8.7 -20.0 0.5 -20.0 -10.4 -6.7 -11.1 13.7 -14.4 2.2 15.1 2.2 9.5 -2.3 9.5 -6.6 6.7 0.2 20.0 20.0 8.7 1.4 -12.0 -8.4 6.5 11.2 LIVECOW 8.9 -17.5 -20.0 -4.9 -1.5 -4.8 -4.9 -5.5 -5.5 8.6 -9.8 9.3 -1.3 -0.8 -11.1 -16.0 -6.1 -12.2 -9.4 -17.9 -19.0 3.7 -5.2 -3.6 -0.2 -5.7 0.7 -4.2 -0.9 1.0 -3.1 -7.6 4.9 3.9 -9.9 -20.0 7.7 -5.1 13.2 0.9 LUMBER-new 0.2 13.3 12.0 -7.2 -2.2 -7.0 -7.2 -6.9 -8.2 -20.0 -1.1 -12.2 -17.3 6.3 17.9 -11.7 -14.0 -12.8 -13.6 15.7 8.1 -10.9 -4.8 6.4 NaN 6.3 -9.0 3.7 -4.7 -0.1 2.5 -19.3 -20.0 20.0 20.0 20.0 -13.4 -20.0 -7.0 -20.0 MILK 0.3 -19.1 -11.2 -5.5 -1.7 -5.4 -5.5 -6.1 -6.2 -2.0 -19.3 -10.2 -19.0 -17.8 -19.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -4.7 -20.0 -20.0 12.8 -7.0 -0.2 -7.3 -0.8 -7.4 -4.4 -20.0 17.2 -18.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 8.1 11.1 5.0 5.6 -0.7 4.5 0.6 2.8 3.8 1.6 18.3 12.2 19.8 17.5 19.6 15.8 16.4 15.0 15.2 20.0 19.2 9.6 20.0 17.5 -20.0 7.1 1.8 6.2 4.0 7.8 6.7 20.0 17.1 7.8 -6.9 -6.0 12.5 18.8 20.0 20.0 NASDAQ_micro -6.0 18.4 11.4 3.5 -0.6 2.6 -0.5 1.4 1.7 9.1 13.5 3.2 13.7 8.7 13.4 -11.6 -9.3 -11.0 -10.3 19.9 20.0 7.3 19.7 12.0 -20.0 5.1 3.8 4.8 3.0 4.8 3.9 -6.5 17.2 13.3 5.2 9.6 14.5 -5.4 16.8 -7.4 NIKKEI 6.6 2.7 4.2 5.0 -0.4 3.6 -0.5 1.9 2.7 19.3 19.0 19.5 19.7 16.2 18.7 19.3 11.8 14.6 12.4 15.0 16.6 20.0 20.0 17.1 -14.6 6.6 16.6 6.2 12.6 8.1 9.2 20.0 20.0 20.0 -18.0 -6.3 -10.6 -1.4 -5.9 2.6 NZD 2.3 20.0 14.8 5.2 -0.6 4.1 0.6 2.6 3.5 -16.9 5.9 -7.9 2.9 11.5 15.3 0.3 0.2 0.2 0.1 19.3 12.8 -3.4 0.4 10.0 0.8 6.3 -1.1 4.0 0.6 0.7 4.3 4.2 -1.8 -0.7 4.0 8.7 -9.4 -11.9 -6.3 4.9 OAT -9.7 20.0 20.0 2.5 0.1 1.3 0.3 -0.6 1.8 -5.8 5.8 -6.8 -1.6 4.4 7.4 4.6 6.9 5.0 5.6 13.5 10.0 -5.5 0.2 5.1 7.6 2.8 -1.0 2.1 -1.0 0.3 1.0 12.8 -14.4 -9.4 0.8 5.7 -18.4 -20.0 2.3 5.5 OATIES 7.9 0.1 -20.0 -2.3 -0.7 -2.3 -2.3 -2.6 -2.6 4.2 -6.1 1.8 -4.7 -0.5 -6.3 3.2 -6.7 -3.9 -7.8 -5.6 -6.6 2.1 -3.7 -1.5 -20.0 -2.1 2.8 -2.6 1.3 -1.5 -0.2 -9.3 7.6 8.0 1.5 -15.8 -0.8 6.1 9.0 19.2 OJ -20.0 -20.0 -20.0 -3.5 -1.1 -3.5 -3.5 -3.9 -4.0 -8.1 6.0 -10.9 10.2 -11.5 -6.1 3.2 18.8 11.5 16.5 -10.7 8.2 -20.0 20.0 -20.0 -20.0 -1.7 -2.7 3.1 -4.3 6.6 -4.7 20.0 -14.2 -20.0 -14.9 20.0 10.4 12.3 20.0 20.0 PALLAD -7.9 14.0 10.3 -0.7 -5.1 -0.2 -4.6 0.0 -2.4 -5.7 -5.4 -6.2 -7.6 -3.0 -2.5 -1.7 -2.2 -1.9 -2.1 -3.7 -5.7 -9.1 -9.6 -5.8 6.4 -1.0 -1.5 -1.9 -1.6 -2.5 -0.8 6.3 -0.7 8.7 1.2 -8.6 -5.9 -7.2 -0.3 -2.0 PLAT -2.1 10.5 7.3 -1.2 -9.1 -0.3 -8.2 0.0 -4.3 -12.7 -3.3 -10.8 -5.6 -0.4 5.0 -3.5 -2.9 -3.5 -3.3 3.2 1.0 -15.6 -2.8 -3.6 13.2 1.3 -8.9 1.0 -6.3 -0.0 -1.6 4.8 -10.2 4.4 9.2 3.8 -5.7 -7.8 15.9 -1.6 REDWHEAT -1.7 8.7 -12.2 -4.7 -1.4 -4.7 -4.7 -5.3 -5.4 -11.6 -15.3 -11.7 -16.2 -3.5 -10.6 -3.3 -1.5 -3.7 -3.2 -12.4 -19.7 -6.6 -20.0 -7.7 -13.0 -6.2 -2.5 -8.1 -3.1 -7.6 -4.4 0.6 1.1 -7.5 -1.5 -15.9 -20.0 -20.0 -20.0 -14.3 RICE -4.8 1.3 7.3 -5.0 -1.5 -5.0 -5.0 -5.6 -5.7 -7.0 14.5 -3.9 12.0 4.0 11.8 -12.2 0.0 -13.2 -7.6 10.5 11.5 1.4 8.9 5.8 -20.0 -0.0 -2.5 2.6 -4.9 2.6 -4.1 -0.2 -20.0 -1.2 8.0 16.6 -1.9 -10.9 8.3 -1.3 ROBUSTA -0.5 17.4 -1.8 -3.0 -0.9 -3.0 -3.0 -3.4 -3.4 8.3 9.7 6.6 10.1 8.6 9.5 20.0 20.0 20.0 20.0 17.1 14.6 9.9 12.0 14.1 -17.2 3.9 1.4 3.2 1.9 2.6 3.2 20.0 10.7 20.0 20.0 20.0 -11.6 -14.5 -1.1 0.9 RUSSELL -1.9 20.0 11.9 2.7 -0.5 2.0 -0.4 1.0 1.3 -9.7 4.7 -7.4 0.9 4.9 7.7 -5.9 -6.1 -6.2 -6.4 11.7 7.4 -4.6 1.3 5.6 -1.8 2.7 -1.5 1.7 -1.0 0.5 1.2 -0.5 -14.4 0.1 4.2 -3.0 -20.0 -17.5 -20.0 -19.2 SHATZ -5.6 20.0 20.0 2.0 0.1 1.0 0.2 -0.5 1.4 -5.0 1.6 -4.5 -4.7 3.5 5.0 -20.0 -20.0 -20.0 -20.0 7.1 4.3 -6.0 -3.5 1.7 8.7 2.1 -1.2 1.3 -1.0 -0.5 0.8 -20.0 -10.8 -5.7 -0.7 3.9 -15.9 -20.0 -6.7 -20.0 SILVER-mini -10.7 -0.2 3.1 -1.3 -10.0 -0.3 -9.0 0.0 -4.8 -13.8 -0.4 -13.1 2.4 -10.5 0.8 -6.9 -6.4 -7.0 -6.8 -3.3 -0.8 -13.9 -0.5 -9.8 5.6 -2.4 -5.8 -0.6 -5.9 0.3 -4.7 -1.3 2.9 1.1 -3.6 -2.3 -20.0 -19.3 6.4 -12.8 SMI 1.8 20.0 0.9 5.4 -1.0 4.0 -0.7 2.1 2.7 3.7 2.7 15.2 4.1 20.0 20.0 12.4 4.4 8.9 6.0 20.0 7.5 9.4 -1.4 19.8 11.2 7.2 -0.9 3.2 3.1 -0.1 7.1 18.7 20.0 6.6 4.6 -8.5 1.1 -6.4 6.8 -6.0 SOFR -1.2 20.0 18.2 2.5 0.1 1.2 0.2 -0.6 1.8 -3.2 3.4 -3.8 -0.9 5.8 8.4 1.5 -0.1 0.9 0.3 10.8 6.4 -1.0 -1.3 5.5 -1.8 3.0 0.7 1.6 0.5 -0.2 2.0 2.0 1.5 -2.0 -0.1 1.0 -20.0 -20.0 -5.8 -5.8 SOYBEAN -20.0 -16.6 -4.3 -6.1 -1.9 -6.0 -6.1 -6.8 -6.9 -16.3 3.9 -20.0 5.2 -20.0 -17.4 13.5 17.0 14.7 14.9 -20.0 -9.5 -20.0 -2.7 -20.0 -20.0 -5.0 -4.1 -0.6 -8.3 1.0 -9.2 20.0 -20.0 -20.0 -10.5 6.6 -20.0 -20.0 -20.0 -20.0 SOYMEAL -20.0 -20.0 1.7 -4.7 -1.4 -4.7 -4.7 -5.3 -5.3 -15.4 -6.5 -17.0 1.2 -17.4 -11.6 3.9 15.5 10.2 12.9 -19.9 -7.3 -20.0 0.8 -20.0 -20.0 -4.2 -5.5 -0.5 -6.4 1.9 -6.8 20.0 -20.0 -20.0 -20.0 8.1 -20.0 -20.0 -20.0 -19.2 SOYOIL -7.7 -8.1 -20.0 -3.8 -1.2 -3.8 -3.8 -4.3 -4.3 8.8 -6.7 -7.8 -6.7 -11.2 -13.3 -4.2 7.2 0.3 4.0 -13.3 -13.9 -3.1 -9.9 -9.0 -20.0 -3.2 2.0 -3.6 -0.8 -2.8 -2.4 14.3 9.0 -2.3 6.8 -14.8 -9.7 -1.5 -1.4 8.4 SP400 -1.7 20.0 9.7 3.0 -0.5 2.2 -0.4 1.2 1.5 -7.9 6.9 -6.4 4.4 7.0 9.9 -5.0 -5.1 -5.2 -5.2 13.8 9.2 -2.6 3.3 7.3 -9.5 3.2 -0.8 2.2 -0.7 1.1 1.5 1.5 -9.6 -1.0 4.0 -1.9 -18.6 -8.7 -20.0 -20.0 SP500_micro -1.0 20.0 12.2 4.4 -0.8 3.3 -0.6 1.7 2.2 12.6 15.8 8.4 15.2 15.5 18.4 -12.3 -10.3 -11.8 -11.3 20.0 20.0 9.8 16.7 18.8 -20.0 6.1 3.1 5.1 2.7 4.0 4.6 -8.2 15.4 12.8 8.6 5.6 5.2 -5.1 10.5 -7.7 SUGAR11 1.8 -20.0 -20.0 -2.6 -0.8 -2.6 -2.6 -2.9 -2.9 6.2 -3.8 4.3 5.1 -7.0 -7.0 12.8 19.2 20.0 20.0 -12.8 -7.0 0.5 2.1 -8.3 -19.1 -2.7 0.6 -1.4 -0.1 0.8 -1.8 20.0 4.7 -1.1 -20.0 -10.1 3.3 -7.5 12.9 6.1 US10 -0.5 20.0 18.4 2.1 0.1 1.0 0.2 -0.5 1.5 -0.7 0.2 -2.7 -3.3 4.8 6.5 -9.6 -7.5 -8.4 -8.0 7.7 2.7 -0.2 -4.9 4.5 1.5 2.3 0.6 0.9 0.4 -1.0 1.7 -11.5 1.4 -2.5 -0.5 -2.1 -20.0 -20.0 -13.0 5.8 US10U -2.0 20.0 15.8 2.8 0.1 1.4 0.3 -0.6 2.0 -4.7 0.4 -5.7 -4.4 5.9 8.5 2.5 0.5 2.1 1.2 10.1 3.3 -2.1 -7.1 5.3 -1.7 3.0 0.1 1.0 0.0 -1.5 1.9 3.3 -1.7 -5.0 -1.1 -4.5 -20.0 -20.0 4.7 15.6 US2 4.1 20.0 20.0 1.9 0.1 0.9 0.2 -0.4 1.3 0.9 -1.8 -0.4 -5.1 5.4 6.1 -20.0 -20.0 -20.0 -20.0 6.5 1.9 1.4 -6.3 4.5 8.3 2.5 1.2 1.1 1.0 -1.1 2.0 -20.0 6.3 0.9 0.2 3.1 -17.0 -20.0 -11.8 -20.0 US20 -1.1 20.0 14.7 2.0 0.1 1.0 0.2 -0.5 1.4 -4.6 1.1 -4.2 -2.6 4.5 6.3 -0.5 -1.2 -0.7 -1.0 8.7 3.1 -1.7 -4.8 4.9 -1.8 2.1 -0.2 0.7 -0.1 -1.0 1.4 -0.4 -3.0 -3.2 1.5 -3.3 -20.0 -20.0 20.0 20.0 US30 -5.3 20.0 14.3 2.4 0.1 1.2 0.2 -0.5 1.7 -7.6 1.1 -6.7 -3.7 4.4 6.8 -6.4 -4.5 -5.5 -5.2 8.1 2.6 -4.0 -6.1 3.3 -1.4 2.2 -0.8 0.7 -0.6 -1.3 1.1 -6.2 -5.7 -7.4 -0.7 -5.0 -13.1 -17.4 20.0 20.0 US5 1.0 20.0 20.0 2.1 0.1 1.0 0.2 -0.5 1.5 0.2 0.1 -1.7 -3.6 5.2 6.7 -9.3 -10.1 -9.6 -10.4 7.7 3.2 0.5 -4.5 4.7 3.6 2.5 0.9 1.2 0.7 -0.8 1.9 -16.0 4.0 -0.9 -0.4 0.5 -20.0 -20.0 -20.0 -10.6 VIX -0.9 -12.6 -14.3 -5.5 -7.4 -7.0 -6.3 -9.5 -5.0 -17.9 -20.0 -17.9 -20.0 -18.2 -19.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -17.7 -20.0 -19.0 NaN -6.6 -6.8 -8.0 -5.9 -10.7 -5.7 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 1.7 12.5 2.1 -5.2 -1.6 -5.2 -5.2 -5.8 -5.9 -6.1 -15.3 -8.8 -17.9 4.7 2.8 -10.0 -10.4 -10.7 -10.8 -4.2 -12.4 -3.9 -20.0 -2.5 -3.4 -2.3 -1.5 -5.4 -1.4 -8.5 -1.5 -13.9 6.8 3.9 8.3 4.3 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3