******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240125_204008 produced at 2024-01-25 21:37:13.691075 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.28 0.0 0.09 -0.09 -0.09 -0.09 -50.54 17.0 -17 -17 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.24 0.0 0.00 0.00 0.00 0.00 -2.88 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.15 0.0 0.00 0.00 0.00 0.00 -3.67 24.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.10 0.0 0.00 0.00 0.00 0.00 -1.34 13.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.25 -0.09 0.0 0.66 -0.66 -0.25 -0.25 -1.72 13.0 -5 -5 caleb_strategy_v3 CORN False False 0.01 -0.08 -0.09 0.0 0.10 -0.10 -0.08 -0.08 -10.79 12.0 -10 -10 caleb_strategy_v3 CAD False False 0.03 0.00 -0.07 0.0 0.75 -0.75 0.00 0.00 -2.52 29.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.17 -0.17 -0.02 -0.02 -21.71 51.0 -6 -6 caleb_strategy_v3 MILK False True 0.01 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -5.47 5.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.36 -0.05 0.0 0.85 -0.85 -0.36 -0.36 -1.22 19.0 -8 -8 caleb_strategy_v3 JPY False False 0.03 -0.09 -0.05 0.0 0.51 -0.51 -0.09 -0.09 -1.70 17.0 -3 -3 caleb_strategy_v3 GOLD_micro False False 0.01 -0.13 -0.05 0.0 0.40 -0.40 -0.13 -0.09 -6.79 56.0 -18 -13 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.04 0.0 0.44 -0.44 -0.02 -0.02 -1.57 19.0 -1 -1 caleb_strategy_v3 US5 False False 0.04 0.00 -0.04 0.0 0.94 -0.94 0.00 -0.11 -1.10 25.0 0 -3 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.15 -0.15 -0.04 -0.04 -1.55 7.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.05 -0.03 0.0 0.10 -0.10 -0.05 -0.05 -2.34 9.0 -4 -4 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.17 2.0 0 0 caleb_strategy_v3 US10 False False 0.04 -0.08 -0.02 0.0 0.66 -0.66 -0.08 -0.08 -0.63 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 -0.21 2.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.02 0.0 0.10 -0.10 -0.03 -0.03 -1.58 10.0 -3 -3 caleb_strategy_v3 SOYMEAL False False 0.01 -0.04 -0.02 0.0 0.11 -0.11 -0.04 -0.03 -1.74 9.0 -3 -2 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -0.99 0.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.02 -0.02 0.0 0.24 -0.24 -0.02 -0.03 -5.79 68.0 -5 -9 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -2.24 8.0 -3 -3 caleb_strategy_v3 NZD False False 0.02 0.02 -0.02 0.0 0.45 -0.45 0.02 0.00 -0.72 21.0 1 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -4.13 3.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.00 -0.02 0.0 0.43 -0.43 0.00 -0.08 -0.79 17.0 0 -3 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.02 0.0 0.66 -0.66 -0.05 -0.14 -0.49 14.0 -1 -3 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 -0.02 0.0 0.05 -0.05 -0.01 -0.01 -10.98 26.0 -4 -4 caleb_strategy_v3 COTTON2 False False 0.02 -0.06 -0.01 0.0 0.17 -0.17 -0.06 -0.05 -0.92 11.0 -4 -3 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.07 -0.07 0.00 0.00 -0.16 2.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -0.32 3.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -0.76 4.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.07 -0.01 0.0 0.20 -0.20 -0.07 -0.03 -0.40 6.0 -2 -1 caleb_strategy_v3 US30 False False 0.04 0.00 -0.01 0.0 0.26 -0.26 0.00 0.00 -0.13 6.0 0 0 caleb_strategy_v3 BITCOIN False True 0.00 0.01 -0.01 0.0 0.01 0.00 0.01 0.01 -5.37 59.0 6 6 caleb_strategy_v3 US20 False False 0.04 0.13 0.00 0.0 0.38 -0.38 0.13 0.13 0.02 9.0 3 3 caleb_strategy_v3 US10U False False 0.04 0.00 -0.00 0.0 0.52 -0.52 0.00 0.00 -0.04 13.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.00 0.0 0.16 -0.16 -0.01 -0.01 -0.16 18.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 0.00 0.0 0.35 -0.35 -0.04 0.09 0.00 8.0 -1 2 caleb_strategy_v3 GASOLINE False False 0.04 0.00 0.00 0.0 0.15 -0.15 0.00 0.00 0.02 4.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.00 0.0 0.51 -0.51 0.00 -0.05 -0.05 10.0 0 -1 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.21 -0.21 0.00 0.00 -0.09 4.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.04 10.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.13 6.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.38 999999999.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.25 -0.25 0.01 0.01 1.32 23.0 1 1 caleb_strategy_v3 CAC False True 0.03 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.54 12.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.04 0.02 0.0 0.45 -0.45 0.04 0.00 0.38 10.0 1 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.03 0.0 0.12 -0.12 0.00 0.00 0.68 3.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.04 0.0 0.11 -0.11 0.03 0.03 1.30 4.0 1 1 caleb_strategy_v3 LEANHOG False False 0.01 0.03 0.04 0.0 0.15 -0.15 0.03 0.05 3.58 13.0 3 4 caleb_strategy_v3 OAT False False 0.05 0.00 0.04 0.0 0.49 -0.49 0.00 0.00 0.77 10.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.05 0.04 0.0 0.41 -0.41 0.05 0.05 2.31 26.0 3 3 caleb_strategy_v3 DOW False False 0.01 0.05 0.04 0.0 0.44 -0.44 0.05 0.05 6.41 66.0 7 7 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.05 0.0 0.41 -0.41 0.03 0.03 6.29 48.0 3 3 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.14 0.05 0.0 0.28 -0.28 0.14 0.21 3.67 23.0 11 17 caleb_strategy_v3 GBP False False 0.03 0.11 0.06 0.0 0.61 -0.61 0.11 0.11 2.10 22.0 4 4 caleb_strategy_v3 CRUDE_W False False 0.03 0.03 0.08 0.0 0.13 -0.13 0.03 0.05 3.22 5.0 1 2 caleb_strategy_v3 EUROSTX False False 0.02 0.25 0.09 0.0 0.35 -0.35 0.25 0.25 4.99 20.0 14 14 caleb_strategy_v3 SMI False False 0.05 0.36 0.11 0.0 0.41 -0.41 0.36 0.36 2.37 9.0 8 8 caleb_strategy_v3 DAX False False 0.01 0.00 0.11 0.0 0.38 -0.38 0.00 0.00 16.33 58.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.30 0.32 0.0 0.31 -0.31 0.30 0.31 37.25 36.0 35 36 caleb_strategy_v3 MXP False False 0.01 0.49 0.34 0.0 0.60 -0.60 0.49 0.47 33.91 60.0 49 47 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.52 0.51 0.0 0.55 -0.55 0.52 0.42 14.67 16.0 15 12 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.09 0.56 0.0 0.93 -0.93 0.09 0.09 6.04 10.0 1 1 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.1 Shocked risk 60.8 Sum abs risk 49.4 Leverage 4.33 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2858227.36, 'annual_cash_vol_target': 714556.84, 'daily_cash_vol_target': 44659.8025} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0039 0.6592 0.5908 9.4529 BITCOIN 1145.4433 40250.0000 2.8458 45.5332 BOBL 0.2666 117.8900 0.2261 3.6180 BTP 0.6002 118.0300 0.5085 8.1362 BUND 0.5215 134.5400 0.3876 6.2018 BUXL 1.2268 134.6800 0.9109 14.5741 CAC 53.1025 7537.0000 0.7046 11.2729 CAD 0.0028 0.7422 0.3761 6.0169 CANOLA 6.7352 627.5000 1.0733 17.1733 CHF 0.0053 1.1586 0.4558 7.2928 COCOA 60.8524 4541.0000 1.3401 21.4411 COFFEE 3.7248 184.1000 2.0232 32.3716 COPPER 0.0418 3.8700 1.0812 17.2985 CORN 4.0296 480.2500 0.8391 13.4251 COTTON2 0.9073 87.0100 1.0427 16.6835 CRUDE_W 1.0755 73.9800 1.4538 23.2602 DAX 117.7656 17007.0000 0.6925 11.0793 DOW 193.2403 38070.0000 0.5076 8.1215 DX 0.3958 103.3850 0.3828 6.1255 EUR 0.0047 1.0856 0.4341 6.9452 EURIBOR-ICE 0.0541 97.8500 0.0553 0.8849 EUROSTX 37.1590 4614.0000 0.8054 12.8857 FEEDCOW 1.8617 249.1500 0.7472 11.9555 GASOIL 12.9574 805.7500 1.6081 25.7299 GASOLINE 0.0387 2.5063 1.5444 24.7102 GAS_US_mini 0.0962 2.2050 4.3640 69.8244 GBP 0.0059 1.2702 0.4682 7.4911 GOLD_micro 13.9272 2037.0000 0.6837 10.9394 HEATOIL 0.0401 2.6369 1.5195 24.3120 JGB-SGX-mini 0.2936 146.0800 0.2010 3.2163 JPY 0.0000 0.0068 0.6397 10.2359 LEANHOG 1.1903 82.4750 1.4432 23.0914 LIVECOW 1.2476 180.6000 0.6908 11.0526 LUMBER-new 7.4353 583.0000 1.2753 20.4056 MILK 0.1750 16.1700 1.0823 17.3167 MXP 0.0004 0.0576 0.6909 11.0542 NASDAQ_micro 125.9808 17610.5000 0.7154 11.4460 NIKKEI 311.0978 36070.0000 0.8625 13.7997 NZD 0.0038 0.6112 0.6183 9.8929 OAT 0.5338 129.2300 0.4131 6.6091 OATIES 7.2636 358.0000 2.0289 32.4630 OJ 5.7088 304.5000 1.8748 29.9969 PALLAD 25.5247 945.0000 2.7010 43.2164 PLAT 13.7894 898.0000 1.5356 24.5690 REDWHEAT 9.7186 636.0000 1.5281 24.4492 RICE 0.1729 18.1900 0.9503 15.2043 ROBUSTA 46.7682 3089.0000 1.5140 24.2244 RUSSELL 21.8587 1982.1000 1.1028 17.6449 SHATZ 0.0983 106.0450 0.0927 1.4831 SILVER-mini 0.3418 23.2000 1.4734 23.5748 SMI 69.0584 11174.0000 0.6180 9.8884 SOFR 0.0638 96.5800 0.0660 1.0562 SOYBEAN 9.3244 1196.5000 0.7793 12.4689 SOYMEAL 4.4924 357.6000 1.2563 20.1001 SOYOIL 0.6536 47.2000 1.3847 22.1558 SP400 23.6679 2768.2000 0.8550 13.6799 SP500_micro 27.6187 4908.0000 0.5627 9.0036 SUGAR11 0.3878 23.2400 1.6686 26.6969 US10 0.3969 111.3125 0.3565 5.7044 US10U 0.5369 115.3750 0.4654 7.4459 US2 0.1206 102.6797 0.1174 1.8792 US20 0.8171 119.8125 0.6819 10.9112 US30 1.2091 125.6562 0.9622 15.3956 US5 0.2686 107.8594 0.2490 3.9838 VIX 0.4362 15.8500 2.7523 44.0373 WHEAT 8.3229 651.0000 1.2785 20.4556 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 659.25 0.59 389.49 1.00 389.49 44659.8 114.66 -5.27 -60.43 BITCOIN 40.25 2.85 114.54 1.00 114.54 44659.8 389.89 -1.27 -49.56 BOBL 1178.90 0.23 266.58 1.09 289.68 44659.8 154.17 -7.82 -120.51 BTP 1180.30 0.51 600.20 1.09 652.21 44659.8 68.47 1.63 11.19 BUND 1345.40 0.39 521.50 1.09 566.69 44659.8 78.81 -0.62 -4.90 BUXL 1346.80 0.91 1226.77 1.09 1333.07 44659.8 33.50 -2.63 -8.81 CAC 753.70 0.70 531.03 1.09 577.04 44659.8 77.39 2.05 15.87 CAD 742.25 0.38 279.13 1.00 279.13 44659.8 160.00 -6.08 -97.24 CANOLA 125.50 1.07 134.70 0.74 100.08 44659.8 446.26 -20.00 -892.51 CHF 1448.31 0.46 660.14 1.00 660.14 44659.8 67.65 -9.82 -66.41 COCOA 454.10 1.34 608.52 1.00 608.52 44659.8 73.39 14.69 107.83 COFFEE 690.38 2.02 1396.78 1.00 1396.78 44659.8 31.97 -3.51 -11.23 COPPER 967.50 1.08 1046.02 1.00 1046.02 44659.8 42.69 -0.87 -3.70 CORN 240.12 0.84 201.48 1.00 201.48 44659.8 221.66 -20.00 -443.31 COTTON2 435.05 1.04 453.63 1.00 453.63 44659.8 98.45 -4.35 -42.83 CRUDE_W 739.80 1.45 1075.49 1.00 1075.49 44659.8 41.52 7.17 29.76 DAX 170.07 0.69 117.77 1.09 127.97 44659.8 348.99 13.72 478.91 DOW 190.35 0.51 96.62 1.00 96.62 44659.8 462.22 5.97 275.79 DX 1033.85 0.38 395.81 1.00 395.81 44659.8 112.83 1.29 14.60 EUR 1357.06 0.43 589.07 1.00 589.07 44659.8 75.81 -2.47 -18.75 EURIBOR-ICE 2446.25 0.06 135.29 1.09 147.01 44659.8 303.79 5.83 177.02 EUROSTX 461.40 0.81 371.59 1.09 403.79 44659.8 110.60 13.23 146.29 FEEDCOW 1245.75 0.75 930.85 1.00 930.85 44659.8 47.98 0.01 0.04 GASOIL 805.75 1.61 1295.74 1.00 1295.74 44659.8 34.47 8.68 29.91 GASOLINE 1052.65 1.54 1625.69 1.00 1625.69 44659.8 27.47 0.18 0.49 GAS_US_mini 55.12 4.36 240.57 1.00 240.57 44659.8 185.64 -5.46 -101.39 GBP 793.88 0.47 371.69 1.00 371.69 44659.8 120.15 6.74 80.97 GOLD_micro 203.70 0.68 139.27 1.00 139.27 44659.8 320.67 -6.21 -199.11 HEATOIL 1107.50 1.52 1682.84 1.00 1682.84 44659.8 26.54 5.94 15.76 JGB-SGX-mini 146080.00 0.20 29364.92 0.01 198.67 44659.8 224.79 6.03 135.46 JPY 852.44 0.64 545.34 1.00 545.34 44659.8 81.89 -8.00 -65.55 LEANHOG 329.90 1.44 476.12 1.00 476.12 44659.8 93.80 6.27 58.83 LIVECOW 722.40 0.69 499.03 1.00 499.03 44659.8 89.49 -2.65 -23.75 LUMBER-new 160.33 1.28 204.47 1.00 204.47 44659.8 218.42 -8.85 -193.40 MILK 323.40 1.08 350.01 1.00 350.01 44659.8 127.59 -20.00 -255.19 MXP 288.10 0.69 199.05 1.00 199.05 44659.8 224.37 10.30 231.03 NASDAQ_micro 352.21 0.72 251.96 1.00 251.96 44659.8 177.25 8.90 157.79 NIKKEI 36070.00 0.86 31109.78 0.01 210.48 44659.8 212.18 16.21 343.97 NZD 611.15 0.62 377.88 1.00 377.88 44659.8 118.19 -2.34 -27.66 OAT 1292.30 0.41 533.81 1.09 580.06 44659.8 76.99 2.92 22.50 OATIES 179.00 2.03 363.18 1.00 363.18 44659.8 122.97 -10.59 -130.18 OJ 456.75 1.87 856.32 1.00 856.32 44659.8 52.15 -2.86 -14.90 PALLAD 945.00 2.70 2552.47 1.00 2552.47 44659.8 17.50 -2.60 -4.54 PLAT 449.00 1.54 689.47 1.00 689.47 44659.8 64.77 0.16 1.07 REDWHEAT 318.00 1.53 485.93 1.00 485.93 44659.8 91.91 -18.38 -168.94 RICE 363.80 0.95 345.71 1.00 345.71 44659.8 129.18 -2.40 -31.04 ROBUSTA 308.90 1.51 467.68 1.00 467.68 44659.8 95.49 11.85 113.18 RUSSELL 99.10 1.10 109.29 1.00 109.29 44659.8 408.62 -4.27 -174.66 SHATZ 1060.45 0.09 98.30 1.09 106.82 44659.8 418.10 -8.66 -362.17 SILVER-mini 580.00 1.47 854.59 1.00 854.59 44659.8 52.26 -5.56 -29.04 SMI 1117.40 0.62 690.58 1.15 794.41 44659.8 56.22 12.37 69.53 SOFR 2414.50 0.07 159.39 1.00 159.39 44659.8 280.18 -1.69 -47.38 SOYBEAN 598.25 0.78 466.22 1.00 466.22 44659.8 95.79 -17.40 -166.65 SOYMEAL 357.60 1.26 449.24 1.00 449.24 44659.8 99.41 -18.84 -187.26 SOYOIL 283.20 1.38 392.16 1.00 392.16 44659.8 113.88 -14.87 -169.34 SP400 2768.20 0.85 2366.79 1.00 2366.79 44659.8 18.87 -3.35 -6.31 SP500_micro 245.40 0.56 138.09 1.00 138.09 44659.8 323.40 8.37 270.60 SUGAR11 260.29 1.67 434.30 1.00 434.30 44659.8 102.83 -0.72 -7.38 US10 1113.12 0.36 396.86 1.00 396.86 44659.8 112.53 -4.39 -49.35 US10U 1153.75 0.47 536.92 1.00 536.92 44659.8 83.18 -0.39 -3.27 US2 2053.59 0.12 241.19 1.00 241.19 44659.8 185.16 -5.70 -105.61 US20 1198.12 0.68 817.06 1.00 817.06 44659.8 54.66 0.29 1.56 US30 1256.56 0.96 1209.10 1.00 1209.10 44659.8 36.94 -2.77 -10.24 US5 1078.59 0.25 268.56 1.00 268.56 44659.8 166.29 -5.20 -86.41 VIX 158.50 2.75 436.24 1.00 436.24 44659.8 102.37 -20.00 -204.75 WHEAT 325.50 1.28 416.14 1.00 416.14 44659.8 107.32 -16.43 -176.33 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -60.428 0.010 2.5 -1.568 BITCOIN -49.561 0.043 2.5 -5.367 BOBL -120.515 0.004 2.5 -1.222 BTP 11.189 0.014 2.5 0.382 BUND -4.898 0.004 2.5 -0.050 BUXL -8.805 0.004 2.5 -0.089 CAC 15.870 0.014 2.5 0.541 CAD -97.243 0.010 2.5 -2.523 CANOLA -892.511 0.010 2.5 -21.714 CHF -66.415 0.010 2.5 -1.723 COCOA 107.830 0.009 2.5 2.309 COFFEE -11.230 0.005 2.5 -0.131 COPPER -3.698 0.043 2.5 -0.400 CORN -443.313 0.010 2.5 -10.785 COTTON2 -42.828 0.009 2.5 -0.917 CRUDE_W 29.760 0.043 2.5 3.223 DAX 478.909 0.014 2.5 16.335 DOW 275.787 0.009 2.5 6.409 DX 14.601 0.010 2.5 0.379 EUR -18.748 0.010 2.5 -0.486 EURIBOR-ICE 177.017 0.014 2.5 6.038 EUROSTX 146.292 0.014 2.5 4.990 FEEDCOW 0.036 0.013 2.5 0.001 GASOIL 29.906 0.017 2.5 1.296 GASOLINE 0.493 0.017 2.5 0.021 GAS_US_mini -101.394 0.043 2.5 -10.980 GBP 80.972 0.010 2.5 2.101 GOLD_micro -199.111 0.014 2.5 -6.791 HEATOIL 15.761 0.017 2.5 0.683 JGB-SGX-mini 135.455 0.043 2.5 14.668 JPY -65.551 0.010 2.5 -1.701 LEANHOG 58.829 0.024 2.5 3.575 LIVECOW -23.749 0.013 2.5 -0.787 LUMBER-new -193.401 0.009 2.5 -4.133 MILK -255.188 0.009 2.5 -5.465 MXP 231.029 0.059 2.5 33.909 NASDAQ_micro 157.789 0.009 2.5 3.667 NIKKEI 343.968 0.043 2.5 37.248 NZD -27.656 0.010 2.5 -0.718 OAT 22.504 0.014 2.5 0.768 OATIES -130.178 0.010 2.5 -3.167 OJ -14.904 0.009 2.5 -0.319 PALLAD -4.545 0.014 2.5 -0.155 PLAT 1.067 0.014 2.5 0.036 REDWHEAT -168.936 0.005 2.5 -2.241 RICE -31.039 0.010 2.5 -0.755 ROBUSTA 113.184 0.005 2.5 1.322 RUSSELL -174.656 0.013 2.5 -5.788 SHATZ -362.171 0.004 2.5 -3.673 SILVER-mini -29.038 0.014 2.5 -0.990 SMI 69.534 0.014 2.5 2.372 SOFR -47.385 0.024 2.5 -2.880 SOYBEAN -166.649 0.004 2.5 -1.550 SOYMEAL -187.264 0.004 2.5 -1.742 SOYOIL -169.338 0.004 2.5 -1.576 SP400 -6.312 0.013 2.5 -0.209 SP500_micro 270.597 0.009 2.5 6.289 SUGAR11 -7.377 0.009 2.5 -0.157 US10 -49.347 0.005 2.5 -0.625 US10U -3.274 0.005 2.5 -0.041 US2 -105.613 0.005 2.5 -1.338 US20 1.561 0.005 2.5 0.020 US30 -10.236 0.005 2.5 -0.130 US5 -86.414 0.005 2.5 -1.095 VIX -204.747 0.099 2.5 -50.541 WHEAT -176.330 0.005 2.5 -2.339 ===================== Position diags ===================== AUD 2.98 BITCOIN 42.22 BOBL 1.56 BTP 2.34 BUND 0.80 BUXL 0.34 CAC 2.64 CAD 4.15 CANOLA 10.86 CHF 1.76 COCOA 1.57 COFFEE 0.37 COPPER 4.62 CORN 5.39 COTTON2 2.11 CRUDE_W 4.50 DAX 11.90 DOW 10.74 DX 2.93 EUR 1.97 EURIBOR-ICE 10.36 EUROSTX 3.77 FEEDCOW 1.59 GASOIL 1.49 GASOLINE 1.19 GAS_US_mini 20.10 GBP 3.12 GOLD_micro 10.94 HEATOIL 1.15 JGB-SGX-mini 24.34 JPY 2.12 LEANHOG 5.70 LIVECOW 2.97 LUMBER-new 4.67 MILK 2.73 MXP 32.93 NASDAQ_micro 4.12 NIKKEI 22.98 NZD 3.07 OAT 2.63 OATIES 2.99 OJ 1.12 PALLAD 0.60 PLAT 2.21 REDWHEAT 1.22 RICE 3.14 ROBUSTA 1.12 RUSSELL 13.54 SHATZ 4.24 SILVER-mini 1.78 SMI 1.92 SOFR 17.03 SOYBEAN 0.89 SOYMEAL 0.92 SOYOIL 1.06 SP400 0.63 SP500_micro 7.52 SUGAR11 2.19 US10 1.43 US10U 1.05 US2 2.35 US20 0.69 US30 0.47 US5 2.11 VIX 25.27 WHEAT 1.42 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.6 -1.9 -1.3 -1.0 -1 BITCOIN -5.4 -9.6 -1.1 6.0 6 BOBL -1.2 -1.4 -1.1 -8.0 -8 BTP 0.4 0.1 0.6 1.0 1 BUND -0.0 -0.1 0.0 0.0 0 BUXL -0.1 -0.1 -0.1 0.0 0 CAC 0.5 0.3 0.8 0.0 0 CAD -2.5 -2.9 -2.1 0.0 0 CANOLA -21.7 -22.8 -20.6 -6.0 -6 CHF -1.7 -1.9 -1.5 -5.0 -5 COCOA 2.3 2.2 2.5 3.0 3 COFFEE -0.1 -0.2 -0.1 0.0 0 COPPER -0.4 -0.9 0.1 -2.0 -2 CORN -10.8 -11.3 -10.2 -10.0 -10 COTTON2 -0.9 -1.1 -0.7 -4.0 -4 CRUDE_W 3.2 2.8 3.7 1.0 1 DAX 16.3 15.1 17.5 0.0 0 DOW 6.4 5.3 7.5 7.0 7 DX 0.4 0.1 0.7 NaN 0 EUR -0.5 -0.7 -0.3 -1.0 -1 EURIBOR-ICE 6.0 5.0 7.1 1.0 1 EUROSTX 5.0 4.6 5.4 14.0 14 FEEDCOW 0.0 -0.2 0.2 -1.0 -1 GASOIL 1.3 1.1 1.4 1.0 1 GASOLINE 0.0 -0.1 0.1 0.0 0 GAS_US_mini -11.0 -13.0 -9.0 -4.0 -4 GBP 2.1 1.8 2.4 4.0 4 GOLD_micro -6.8 -7.9 -5.7 -18.0 -18 HEATOIL 0.7 0.6 0.8 0.0 0 JGB-SGX-mini 14.7 12.2 17.1 15.0 15 JPY -1.7 -1.9 -1.5 -3.0 -3 LEANHOG 3.6 3.0 4.1 3.0 3 LIVECOW -0.8 -1.1 -0.5 0.0 0 LUMBER-new -4.1 -4.6 -3.7 NaN 0 MILK -5.5 -5.7 -5.2 NaN 0 MXP 33.9 30.6 37.2 49.0 49 NASDAQ_micro 3.7 3.3 4.1 11.0 11 NIKKEI 37.2 35.0 39.5 35.0 35 NZD -0.7 -1.0 -0.4 1.0 1 OAT 0.8 0.5 1.0 0.0 0 OATIES -3.2 -3.5 -2.9 NaN 0 OJ -0.3 -0.4 -0.2 NaN 0 PALLAD -0.2 -0.2 -0.1 0.0 0 PLAT 0.0 -0.2 0.3 0.0 0 REDWHEAT -2.2 -2.4 -2.1 -3.0 -3 RICE -0.8 -1.1 -0.4 NaN 0 ROBUSTA 1.3 1.2 1.4 1.0 1 RUSSELL -5.8 -7.1 -4.4 -5.0 -5 SHATZ -3.7 -4.1 -3.2 NaN 0 SILVER-mini -1.0 -1.2 -0.8 NaN 0 SMI 2.4 2.2 2.6 8.0 8 SOFR -2.9 -4.6 -1.2 NaN 0 SOYBEAN -1.5 -1.6 -1.5 -2.0 -2 SOYMEAL -1.7 -1.8 -1.6 -3.0 -3 SOYOIL -1.6 -1.7 -1.5 -3.0 -3 SP400 -0.2 -0.3 -0.1 0.0 0 SP500_micro 6.3 5.5 7.0 3.0 3 SUGAR11 -0.2 -0.4 0.1 -1.0 -1 US10 -0.6 -0.8 -0.5 -2.0 -2 US10U -0.0 -0.1 0.1 0.0 0 US2 -1.3 -1.6 -1.1 NaN 0 US20 0.0 -0.0 0.1 3.0 3 US30 -0.1 -0.2 -0.1 0.0 0 US5 -1.1 -1.3 -0.9 0.0 0 VIX -50.5 -53.1 -48.0 -17.0 -17 WHEAT -2.3 -2.5 -2.2 -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 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 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 1.2 1.0 3.1 1.2 4.2 1.2 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 -0.6 0.2 0.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.0 -0.2 -0.3 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 0.0 0.0 -0.1 -0.1 -0.1 0.4 0.0 -0.0 0.1 -0.1 -0.0 -0.0 -0.1 -0.2 -0.4 -0.2 -0.1 -0.6 -0.3 -0.2 0.1 BITCOIN -0.6 -0.0 0.6 -0.0 0.0 -0.1 -0.0 -0.0 -0.1 -0.1 0.4 -0.2 0.6 -0.1 0.1 -0.1 -0.1 -0.2 -0.1 0.1 0.2 -0.2 0.4 -0.1 -2.7 0.0 -0.0 0.2 -0.1 0.2 -0.0 -0.1 -0.5 -0.0 0.6 0.6 -0.2 0.3 0.2 0.5 BOBL -0.6 0.3 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.0 -0.0 0.0 -0.4 -0.3 -0.4 -0.4 0.0 0.1 -0.1 -0.0 -0.0 1.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -1.1 0.1 -0.3 -0.1 0.0 -0.7 -0.7 -0.0 -0.6 BTP -0.6 0.5 0.6 0.0 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.2 -0.1 0.3 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 -0.0 0.2 0.0 -1.5 0.0 0.0 0.1 -0.0 0.1 0.0 0.7 0.3 -0.2 -0.0 0.2 -0.6 -0.7 0.4 0.0 BUND -0.6 0.4 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.1 -0.0 0.0 0.1 0.1 0.1 0.1 0.0 0.1 -0.1 -0.0 -0.0 0.7 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.4 0.1 -0.4 -0.1 0.1 -0.7 -0.7 0.0 -0.3 BUXL -0.6 0.4 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 0.1 -0.0 -0.5 -0.1 0.1 -0.7 -0.7 0.0 0.3 CAC -0.5 0.1 0.2 0.1 0.0 0.1 0.0 0.1 0.0 0.2 0.4 0.0 0.7 -0.0 0.2 -0.2 -0.1 -0.2 -0.1 0.1 0.1 0.1 0.3 0.0 -1.1 0.0 0.1 0.1 0.0 0.1 0.0 0.0 0.1 -0.5 -0.3 -0.3 0.1 0.3 0.3 0.5 CAD -0.6 0.4 0.3 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.0 -0.2 -0.2 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.1 0.2 0.0 -0.0 0.1 -0.1 -0.0 -0.0 0.0 -0.1 -0.4 0.1 -0.4 -0.7 -0.5 -0.1 -0.5 CANOLA -0.1 -0.6 -0.6 0.0 0.1 -0.0 0.1 -0.1 0.0 -0.0 -0.3 -0.1 -0.3 -0.1 -0.1 -0.2 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.4 -0.1 -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 -0.5 -0.3 -0.1 CHF -0.6 0.4 0.4 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.2 0.4 -0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.1 -0.2 0.2 -0.1 -1.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 -1.1 -0.5 -0.1 0.5 0.5 -0.7 -0.6 -0.6 -0.7 COCOA -0.2 -0.2 0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 0.5 0.2 0.7 0.2 0.2 0.2 0.1 0.2 0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.3 0.1 0.4 0.1 0.7 0.5 0.1 0.6 0.6 0.7 0.1 0.7 0.7 COFFEE -0.3 0.2 0.6 0.0 0.1 -0.0 0.1 -0.1 0.0 0.1 0.2 0.0 0.0 -0.0 0.1 0.2 0.1 0.2 0.1 0.1 0.1 0.0 0.1 0.0 -2.3 0.0 0.0 0.1 0.0 0.1 -0.0 0.8 -0.5 -0.6 0.3 0.6 -0.5 -0.7 -0.4 -0.3 COPPER -0.4 0.1 0.3 -0.0 0.0 -0.1 -0.0 -0.0 -0.1 0.1 -0.0 0.0 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 -0.1 0.0 -1.2 0.0 0.1 0.0 0.0 -0.0 -0.0 0.1 0.4 0.5 0.5 0.3 -0.4 -0.2 0.4 -0.1 CORN -0.6 -0.4 -0.3 0.0 0.1 -0.1 0.2 -0.2 0.1 0.0 -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 -0.6 -0.6 -0.5 -0.2 -0.5 -0.1 0.1 COTTON2 0.6 0.2 -0.4 0.0 0.1 -0.1 0.1 -0.2 0.1 0.2 -0.3 0.2 -0.3 0.2 -0.1 -0.2 -0.0 -0.2 -0.1 0.1 -0.1 0.2 -0.3 0.2 -2.7 0.0 0.1 -0.0 0.1 -0.0 0.1 0.0 0.5 0.6 0.6 -0.5 -0.5 -0.5 -0.2 -0.0 CRUDE_W 0.2 -0.2 -0.3 -0.0 0.1 -0.0 0.1 0.0 0.1 0.2 0.1 0.2 0.2 0.0 -0.1 0.1 0.2 0.1 0.2 -0.0 -0.0 0.1 0.2 0.0 -0.6 -0.0 0.1 0.0 0.1 0.2 0.0 -0.1 -0.1 -0.4 -0.1 0.3 0.7 0.5 0.7 0.6 DAX -0.5 0.2 0.5 0.1 0.0 0.1 0.0 0.1 0.0 0.2 0.4 0.1 0.7 0.1 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.1 0.3 0.1 2.3 0.1 0.1 0.1 0.0 0.1 0.0 -0.4 0.2 0.0 0.0 0.2 0.0 0.2 0.4 0.7 DOW -0.3 0.6 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.5 0.1 0.6 0.2 0.2 -0.3 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.0 0.1 0.0 0.2 0.0 0.2 0.1 -0.4 0.1 0.4 0.6 0.6 -0.3 -0.1 -0.2 -0.3 DX 0.6 -0.3 -0.6 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 0.0 0.2 -0.2 0.1 -0.1 0.1 0.1 0.1 0.1 -0.0 -0.0 0.1 0.0 0.1 -2.7 -0.0 0.0 -0.1 0.0 0.0 0.0 0.8 0.5 0.6 -0.4 -0.6 0.6 0.1 0.7 0.3 EUR -0.4 0.2 0.3 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 -0.0 -0.2 0.3 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 0.0 -0.1 2.0 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.4 -0.2 0.1 -0.3 0.0 -0.7 -0.4 -0.6 -0.3 EURIBOR-ICE -0.6 0.4 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.1 0.1 0.0 0.1 0.1 -0.1 -0.0 -0.1 0.1 0.1 -0.0 0.1 -0.0 2.1 0.0 0.0 0.1 -0.0 0.0 -0.0 -0.3 0.1 -0.2 0.1 0.3 -0.7 -0.7 0.2 0.7 EUROSTX -0.4 0.1 0.3 0.1 0.0 0.1 0.0 0.1 0.0 0.2 0.4 0.1 0.7 0.1 0.2 0.2 0.0 0.1 0.0 0.1 0.1 0.2 0.3 0.1 0.3 0.0 0.1 0.1 0.1 0.2 0.0 0.7 0.5 0.0 -0.2 0.0 -0.1 0.3 0.1 0.6 FEEDCOW 0.6 0.2 -0.6 0.0 0.1 -0.1 0.1 -0.2 0.1 0.2 -0.3 0.2 -0.1 0.2 -0.1 -0.4 -0.4 -0.4 -0.4 0.0 -0.2 0.2 -0.2 0.2 -0.5 -0.0 0.1 -0.1 0.1 0.0 0.1 -1.1 0.4 0.4 0.4 -0.6 0.5 0.2 0.7 0.5 GASOIL 0.4 -0.1 -0.4 -0.0 0.1 -0.0 0.1 0.0 0.0 0.2 0.1 0.2 0.2 0.1 -0.1 0.4 0.4 0.4 0.4 -0.0 -0.0 0.2 0.2 0.1 1.1 0.0 0.1 0.0 0.1 0.1 0.1 1.0 -0.1 -0.1 0.1 0.1 -0.4 -0.1 -0.7 -0.3 GASOLINE 0.4 0.1 -0.5 -0.0 0.1 -0.0 0.1 0.0 0.1 0.2 -0.1 0.2 0.2 0.2 -0.0 -0.4 0.2 -0.4 -0.2 0.0 -0.0 0.2 0.1 0.1 -2.7 0.0 0.1 -0.0 0.1 0.2 0.1 -0.7 -0.0 -0.1 0.2 0.2 0.7 0.4 0.7 0.4 GAS_US_mini 0.5 0.1 -0.2 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.1 -0.3 -0.1 -0.4 -0.0 -0.1 0.4 -0.4 0.2 -0.2 -0.1 -0.2 -0.1 -0.5 -0.1 2.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.5 -0.2 -0.2 -0.0 -0.6 0.1 -0.7 -0.1 GBP -0.1 0.3 0.4 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 0.0 0.4 0.1 0.2 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.0 0.2 0.0 0.3 0.1 -0.0 0.1 0.0 0.1 0.0 0.2 0.2 0.6 0.1 0.2 -0.6 -0.0 -0.5 0.3 GOLD_micro -0.5 0.0 0.4 -0.0 0.0 -0.1 -0.0 -0.0 -0.1 -0.1 0.2 -0.1 0.3 -0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.0 0.1 -0.1 0.1 -0.1 -0.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.8 0.2 0.5 0.5 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL 0.4 -0.1 -0.5 -0.0 0.1 -0.0 0.1 0.0 0.1 0.2 0.1 0.2 0.2 0.1 -0.1 0.4 0.4 0.4 0.4 -0.0 -0.0 0.2 0.2 0.1 -2.7 0.0 0.1 0.0 0.1 0.2 0.1 1.1 -0.1 0.1 0.1 0.2 0.5 0.0 0.4 -0.1 JGB-SGX-mini -0.2 0.5 0.5 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.2 0.0 0.1 0.2 0.4 0.2 0.3 0.1 0.1 -0.1 0.1 0.0 -0.4 0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 -0.2 0.2 -0.1 -0.1 -0.0 -0.7 0.3 0.5 JPY -0.6 0.2 0.6 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.0 -0.3 -0.3 -0.3 -0.3 -0.0 -0.1 -0.1 -0.3 -0.1 2.7 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.1 -0.1 -0.3 -0.0 -0.3 -0.4 -0.7 -0.2 -0.7 LEANHOG 0.6 0.2 -0.0 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 -0.1 0.2 -0.4 0.2 -0.0 -0.4 -0.1 -0.4 -0.4 0.0 -0.1 0.2 -0.4 0.1 2.3 0.1 0.1 0.0 0.1 -0.2 0.1 -0.5 0.1 0.6 0.6 0.2 -0.4 -0.3 0.1 0.4 LIVECOW 0.6 -0.0 -0.6 0.0 0.1 -0.1 0.1 -0.2 0.1 0.2 -0.3 0.2 -0.1 0.2 -0.1 -0.4 -0.1 -0.3 -0.2 -0.1 -0.2 0.2 -0.2 0.2 -0.1 -0.0 0.1 -0.1 0.1 0.0 0.0 -0.4 0.1 0.1 -0.2 -0.6 0.4 -0.1 0.6 0.1 LUMBER-new -0.5 0.3 0.6 0.0 0.1 -0.1 0.2 -0.2 0.1 0.2 -0.0 -0.0 -0.6 -0.0 0.1 -0.4 -0.3 -0.3 -0.3 0.1 0.1 0.0 -0.1 -0.0 NaN 0.0 0.1 0.1 0.1 0.0 0.0 -1.1 -0.6 -0.7 0.4 0.7 -0.4 -0.8 -0.3 -0.8 MILK 0.3 -0.6 -0.6 0.0 0.1 -0.1 0.1 -0.1 0.1 -0.0 -0.5 -0.2 -0.7 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.1 -0.5 -0.2 1.9 -0.1 0.0 -0.2 -0.0 -0.3 -0.0 -1.1 -0.5 -0.4 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP -0.4 0.2 0.2 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.4 -0.1 0.6 0.0 0.2 0.3 0.3 0.3 0.3 0.1 0.2 -0.1 0.5 -0.0 -2.7 0.0 -0.0 0.2 -0.0 0.3 -0.0 1.1 -0.1 0.3 -0.0 -0.0 0.5 0.7 0.7 0.7 NASDAQ_micro 0.1 0.5 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.4 0.2 0.5 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.1 0.1 0.2 0.1 -0.3 0.5 0.6 0.6 0.5 0.5 -0.2 0.7 -0.2 NIKKEI 0.6 0.5 0.3 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.5 0.2 0.7 0.2 0.2 0.4 0.2 0.3 0.3 0.2 0.2 0.2 0.5 0.2 -1.9 0.1 0.0 0.1 0.1 0.2 0.1 1.1 0.4 0.6 0.6 0.4 -0.4 -0.1 -0.1 0.0 NZD -0.6 0.2 0.6 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.1 -0.2 0.1 -0.1 0.1 0.0 0.0 0.0 0.0 0.0 0.1 -0.1 0.0 -0.1 0.1 0.0 -0.0 0.1 -0.1 0.0 -0.0 0.2 -0.3 -0.3 -0.1 0.0 -0.3 -0.4 -0.2 0.2 OAT -0.6 0.4 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.0 -0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.0 -0.0 1.0 0.0 0.0 0.1 -0.0 0.0 -0.0 0.7 0.1 -0.4 -0.1 0.1 -0.7 -0.7 0.1 0.1 OATIES 0.1 0.0 -0.6 0.0 0.0 -0.0 0.1 -0.1 0.0 -0.0 -0.2 -0.0 -0.2 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -2.7 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.3 -0.4 -0.1 -0.0 -0.5 -0.1 0.2 0.2 0.6 OJ -0.6 -0.6 -0.6 0.0 0.1 -0.0 0.1 -0.1 0.0 0.1 0.1 -0.1 0.3 -0.1 -0.1 0.0 0.3 0.2 0.3 -0.2 0.0 -0.0 0.5 -0.2 -2.7 -0.0 0.0 0.1 -0.0 0.2 -0.0 1.1 -0.3 -0.6 -0.6 0.3 0.3 0.4 0.6 0.7 PALLAD -0.6 0.3 0.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 1.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.4 0.0 -0.0 0.2 -0.3 -0.3 -0.2 -0.1 -0.1 PLAT -0.6 0.0 0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 1.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.3 -0.0 -0.1 0.2 0.1 -0.3 -0.2 0.6 0.0 REDWHEAT -0.1 -0.1 -0.3 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 -0.5 0.0 -0.7 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 0.1 -0.5 -0.1 -1.9 -0.1 0.1 -0.3 0.1 -0.4 0.0 0.1 -0.1 -0.2 -0.0 -0.6 -0.7 -0.7 -0.7 -0.5 RICE 0.0 0.1 0.3 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 0.4 0.1 0.5 0.1 0.2 -0.3 -0.0 -0.3 -0.2 0.1 0.2 0.1 0.3 0.1 -2.7 0.0 0.1 0.1 0.1 0.1 0.0 -0.0 -0.1 -0.6 -0.3 0.4 0.0 -0.3 0.3 0.0 ROBUSTA 0.4 0.6 0.3 0.0 0.1 -0.0 0.1 -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 0.2 0.4 0.2 -2.6 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 -0.1 0.0 RUSSELL -0.5 0.6 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.1 -0.0 0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.1 0.0 -0.3 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -0.3 0.2 -0.1 -0.7 -0.7 -0.7 -0.7 SHATZ -0.6 0.3 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.2 -0.0 0.0 -0.4 -0.4 -0.4 -0.4 0.0 0.0 -0.0 -0.1 -0.0 1.1 0.0 0.0 0.0 -0.0 -0.0 -0.0 -1.1 0.1 -0.2 -0.0 0.0 -0.7 -0.7 -0.2 -0.7 SILVER-mini -0.5 -0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.7 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.2 0.2 -0.1 0.1 -0.7 -0.6 0.3 -0.3 SMI -0.1 0.5 0.3 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.1 0.2 0.2 0.2 0.2 0.1 0.2 0.1 0.1 0.1 0.0 0.0 0.1 1.5 0.1 0.0 0.1 0.0 0.0 0.0 1.1 -0.3 0.4 0.2 -0.4 0.1 -0.2 0.3 -0.2 SOFR -0.6 0.5 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.0 0.1 0.1 0.0 0.0 0.0 0.1 0.1 -0.1 -0.0 -0.0 -0.3 0.0 -0.0 0.1 -0.0 0.0 0.0 0.1 0.1 0.2 -0.0 0.0 -0.7 -0.7 -0.2 -0.1 SOYBEAN -0.6 -0.6 -0.3 0.0 0.1 -0.1 0.1 -0.2 0.1 0.0 -0.1 -0.2 0.1 -0.2 -0.2 0.2 0.3 0.3 0.3 -0.2 -0.2 -0.1 -0.2 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 1.1 -0.5 -0.6 -0.6 -0.1 -0.5 -0.7 -0.5 -0.7 SOYMEAL -0.6 -0.6 -0.2 0.0 0.1 -0.1 0.1 -0.1 0.1 -0.1 -0.3 -0.2 -0.1 -0.2 -0.2 0.1 0.3 0.2 0.2 -0.2 -0.1 -0.1 -0.1 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 1.1 -0.5 -0.6 -0.6 -0.1 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.0 -0.3 -0.6 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.1 -0.3 -0.1 -0.3 -0.1 -0.2 -0.1 0.1 -0.0 0.0 -0.2 -0.2 -0.1 -0.3 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.8 -0.5 -0.3 -0.3 -0.5 -0.3 -0.1 -0.1 0.2 SP400 -0.3 0.6 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 -0.0 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.1 0.1 -1.4 0.0 0.0 0.1 0.0 0.1 0.0 0.1 -0.0 -0.2 0.2 -0.0 -0.7 -0.3 -0.7 -0.7 SP500_micro -0.0 0.6 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.2 0.5 0.2 0.6 0.2 0.2 -0.3 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.2 0.1 -0.4 0.5 0.6 0.6 0.5 0.1 -0.1 0.4 -0.2 SUGAR11 0.6 -0.6 -0.6 0.0 0.1 -0.0 0.1 -0.1 0.0 0.1 -0.1 0.1 0.2 -0.0 -0.1 0.3 0.4 0.4 0.4 -0.1 -0.1 0.2 0.1 0.1 -2.7 -0.0 0.0 -0.1 0.0 0.0 0.0 1.1 0.0 0.3 -0.6 -0.5 0.2 -0.2 0.4 0.2 US10 -0.5 0.5 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.0 -0.0 -0.1 -0.0 0.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.7 0.1 0.2 0.0 -0.0 -0.7 -0.7 -0.6 0.2 US10U -0.6 0.5 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.2 -0.0 0.1 0.1 0.0 0.0 0.0 0.1 0.0 -0.1 -0.2 -0.0 -0.2 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.2 0.2 0.2 0.0 -0.1 -0.7 -0.7 0.2 0.6 US2 -0.3 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.2 0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.0 0.0 -0.0 -0.1 0.0 1.1 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 0.1 0.3 0.1 0.1 -0.6 -0.7 -0.4 -0.7 US20 -0.6 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 0.1 0.1 -0.0 -0.7 -0.7 0.7 0.7 US30 -0.6 0.5 0.5 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 0.0 -0.2 -0.1 -0.1 -0.1 0.0 0.0 -0.1 -0.2 -0.1 -0.2 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.4 0.1 -0.0 -0.0 -0.1 -0.5 -0.6 0.7 0.7 US5 -0.5 0.5 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 -0.2 -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 -0.9 0.1 0.3 0.1 0.0 -0.7 -0.7 -0.7 -0.3 VIX -0.1 -0.2 -1.0 -0.1 -0.1 -0.3 -0.1 -0.6 -0.1 -0.2 -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 -0.4 -0.1 -0.7 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.2 0.1 0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.5 -0.0 -0.7 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 0.0 -0.5 -0.1 -0.4 -0.0 0.1 -0.1 0.1 -0.3 0.0 -0.6 -0.5 -0.3 0.2 -0.0 -0.7 -0.7 -0.7 -0.7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -20.0 6.8 16.8 2.7 -0.9 4.0 -3.1 3.1 -1.2 -10.3 0.8 -15.6 -7.2 -12.7 4.5 -2.4 -2.8 -2.5 -2.7 1.3 3.9 -13.8 -3.0 -10.4 2.8 1.0 -2.5 2.0 -5.1 -0.5 -3.5 -1.1 -8.8 -13.7 -6.2 -2.0 -18.5 -10.1 -5.1 3.8 BITCOIN -18.9 -0.9 19.1 -4.4 1.0 -2.2 -3.8 -0.8 -6.1 -14.4 15.1 -18.0 16.4 -8.3 11.9 -6.5 -6.3 -7.7 -7.4 8.4 19.0 -20.0 16.3 -11.1 -20.0 3.1 -5.1 7.1 -6.7 6.2 -3.5 -1.6 -20.0 -1.1 20.0 20.0 -5.7 8.2 6.6 13.7 BOBL -20.0 9.1 20.0 1.5 -0.9 1.2 -1.5 -0.5 -0.2 -3.1 3.6 -7.3 -1.2 -3.1 3.5 -20.0 -12.9 -20.0 -19.6 3.3 5.5 -5.9 -0.6 -4.3 7.6 0.9 0.4 1.6 -1.6 0.1 -1.2 -20.0 3.3 -10.7 -3.9 1.2 -20.0 -20.0 -0.2 -19.4 BTP -20.0 15.3 20.0 2.4 -1.4 2.0 -2.4 -0.8 -0.4 -3.9 9.1 -9.6 7.9 0.9 9.2 4.4 6.8 5.2 5.8 12.8 14.6 -3.3 6.5 1.6 -11.3 3.3 0.5 3.8 -0.9 1.9 0.3 12.6 10.9 -7.2 -0.8 7.5 -16.7 -20.0 11.8 1.5 BUND -20.0 11.3 20.0 1.7 -1.0 1.4 -1.7 -0.5 -0.3 -4.8 4.2 -8.9 -1.5 -3.2 4.1 5.1 4.4 3.5 2.9 4.5 6.8 -7.2 -0.8 -4.6 5.3 1.0 -0.2 1.8 -1.9 0.2 -1.3 7.8 2.1 -12.8 -4.2 1.8 -20.0 -20.0 0.6 -8.7 BUXL -20.0 13.8 20.0 2.1 -1.2 1.7 -2.1 -0.7 -0.3 -8.2 4.7 -11.6 -5.1 -3.3 4.9 -0.2 0.5 0.0 0.3 5.4 6.9 -10.4 -3.9 -5.9 1.0 1.4 -1.5 1.8 -2.6 -0.3 -1.4 2.7 -0.2 -14.6 -3.1 2.3 -20.0 -20.0 0.0 7.8 CAC -16.5 4.1 7.3 5.2 5.0 4.8 3.5 3.0 3.2 18.3 13.3 0.5 19.3 -2.5 14.4 -9.2 -5.0 -8.6 -7.3 7.1 9.5 6.3 11.3 0.7 -8.6 2.9 10.1 4.0 3.0 4.0 0.4 0.1 3.4 -15.4 -10.5 -10.5 2.5 9.4 9.1 15.8 CAD -18.8 13.3 9.3 3.5 -1.2 5.2 -4.1 4.2 -1.6 -10.6 0.1 -20.0 -4.8 -7.7 7.1 -1.7 -2.2 -2.0 -2.1 4.6 4.4 -13.4 -3.4 -6.8 1.8 2.3 -3.9 1.9 -5.6 -1.3 -2.4 0.0 -3.4 -11.4 4.4 -13.3 -20.0 -16.2 -1.8 -14.3 CANOLA -4.3 -20.0 -20.0 0.7 6.4 -1.4 6.7 -2.5 3.9 -5.2 -10.4 -6.6 -8.8 -9.7 -11.1 -9.6 -1.5 -10.3 -7.7 -19.3 -20.0 -4.7 -16.4 -11.4 -20.0 -4.4 -1.8 -4.8 -0.9 -4.1 -2.4 -1.1 -17.0 -20.0 -20.0 -20.0 -16.3 -14.1 -9.1 -2.8 CHF -20.0 10.8 11.5 2.9 -1.0 4.3 -3.3 3.4 -1.3 -12.4 7.4 -16.6 11.3 -6.8 8.9 -15.2 -15.5 -16.0 -15.9 7.3 10.9 -17.9 8.0 -8.5 -7.5 3.9 -2.7 4.1 -4.1 2.5 -0.6 -20.0 -20.0 -2.6 14.3 15.1 -20.0 -18.8 -16.9 -20.0 COCOA -7.7 -7.3 4.0 1.3 12.1 -2.6 12.7 -4.8 7.3 10.6 20.0 18.9 20.0 20.0 20.0 12.5 2.5 9.5 5.7 20.0 20.0 20.0 20.0 20.0 -20.0 8.0 6.1 10.4 8.2 11.7 7.1 13.2 20.0 3.8 20.0 20.0 20.0 2.5 20.0 20.0 COFFEE -10.3 5.3 20.0 0.8 7.6 -1.6 7.9 -3.0 4.6 6.9 5.9 0.6 0.1 -0.9 6.9 8.9 4.8 8.1 6.3 6.8 7.9 3.6 2.9 2.7 -17.6 2.6 0.6 3.9 0.0 2.4 -0.1 15.9 -20.0 -20.0 8.6 20.0 -13.6 -20.0 -11.0 -10.4 COPPER -11.9 3.0 10.5 -4.1 0.9 -2.0 -3.5 -0.7 -5.6 15.6 -1.4 1.7 -3.7 -5.1 5.3 -6.4 -4.7 -6.2 -5.8 1.3 0.9 8.0 -2.8 0.5 -9.2 0.4 10.6 0.9 3.4 -0.8 -0.8 1.2 14.6 13.9 14.3 9.2 -11.0 -6.6 11.8 -3.4 CORN -19.2 -13.5 -8.3 1.4 13.3 -2.9 14.0 -5.2 8.1 3.0 -20.0 -18.6 -20.0 -20.0 -20.0 -11.8 -3.0 -10.0 -7.7 -20.0 -20.0 -17.0 -20.0 -20.0 -20.0 -8.6 2.8 -6.4 -2.8 -5.6 -8.0 -2.6 -20.0 -20.0 -20.0 -15.8 -6.3 -16.3 -2.0 2.1 COTTON2 20.0 6.7 -11.9 1.4 12.8 -2.8 13.5 -5.1 7.8 20.0 -10.6 20.0 -7.4 19.9 -4.7 -8.1 -1.6 -7.9 -5.6 6.5 -6.6 20.0 -9.9 20.0 -20.0 4.4 12.0 -0.4 12.9 -1.0 10.5 0.5 20.0 20.0 20.0 -14.7 -15.3 -16.0 -6.7 -0.0 CRUDE_W 5.1 -5.1 -10.7 -1.0 12.3 -1.8 10.0 1.0 4.8 19.3 4.0 14.5 6.1 2.7 -12.4 6.6 9.4 7.4 8.5 -3.6 -0.6 14.9 6.9 4.2 -4.7 -1.7 14.4 0.1 10.0 5.5 3.6 -1.1 -5.0 -11.4 -3.1 7.9 20.0 15.6 20.0 17.3 DAX -14.2 6.5 16.0 4.8 4.7 4.5 3.2 2.8 2.9 18.9 16.5 11.5 18.3 12.0 19.1 -15.2 -10.2 -13.9 -12.1 16.3 16.4 13.0 12.5 9.2 17.0 5.0 8.7 5.0 4.4 3.3 2.7 -8.3 9.6 0.7 0.3 4.8 1.4 7.0 11.2 20.0 DOW -9.7 20.0 20.0 4.6 4.4 4.2 3.1 2.7 2.8 13.1 19.4 12.9 18.0 19.0 20.0 -12.6 -9.8 -11.8 -11.0 20.0 20.0 11.7 20.0 20.0 -14.8 7.1 2.2 6.4 3.3 4.3 5.0 -7.3 6.1 13.1 20.0 19.3 -9.0 -3.8 -4.8 -7.7 DX 18.8 -8.1 -17.5 2.5 -0.8 3.7 -2.9 2.9 -1.2 13.4 1.0 15.6 -6.5 9.1 -5.7 5.4 6.0 5.8 6.1 -2.5 -3.9 12.2 0.8 7.4 -20.0 -2.3 3.9 -2.1 4.4 0.7 1.6 14.1 20.0 20.0 -12.9 -20.0 18.5 3.1 20.0 9.7 EUR -12.1 5.2 10.5 2.9 -0.9 4.3 -3.3 3.4 -1.3 -16.0 -1.1 -18.4 7.5 -7.9 6.9 -5.6 -6.6 -5.8 -6.1 1.7 3.2 -11.9 0.0 -6.6 14.9 2.7 -6.1 2.6 -4.9 0.5 -1.2 -7.2 -7.4 1.8 -8.3 0.4 -20.0 -12.0 -18.6 -8.3 EURIBOR-ICE -20.0 11.3 20.0 1.3 -0.8 1.1 -1.3 -0.4 -0.2 -0.9 5.7 -5.7 2.2 0.5 5.3 2.9 -4.7 -0.1 -2.7 7.9 10.8 -3.4 4.3 -0.6 15.5 1.9 0.6 2.6 -0.7 1.1 -0.0 -5.2 6.2 -6.3 2.9 10.6 -20.0 -20.0 7.3 20.0 EUROSTX -13.7 2.0 10.6 4.9 4.7 4.5 3.3 2.8 3.0 19.7 15.2 10.3 19.1 6.5 17.0 11.2 0.5 6.2 2.2 11.8 13.1 18.5 13.0 8.7 2.5 4.6 15.7 5.1 7.9 4.4 3.4 12.3 20.0 1.0 -6.8 1.0 -2.6 9.4 1.5 17.7 FEEDCOW 20.0 7.3 -20.0 1.1 10.7 -2.3 11.3 -4.2 6.5 18.2 -9.7 20.0 -3.1 18.8 -5.4 -20.0 -20.0 -20.0 -20.0 0.6 -14.7 20.0 -6.3 20.0 -3.8 -0.5 11.7 -3.2 9.1 1.2 5.6 -20.0 18.2 11.5 11.3 -20.0 16.3 5.6 20.0 14.7 GASOIL 12.3 -2.6 -13.1 -0.8 10.6 -1.6 8.6 0.9 4.2 16.8 4.3 16.4 6.2 9.2 -7.8 20.0 20.0 19.7 20.0 -0.8 -0.2 19.6 7.5 8.7 8.4 0.1 16.7 0.6 10.4 4.0 4.7 19.6 -2.1 -4.3 1.8 3.6 -12.2 -3.5 -20.0 -9.4 GASOLINE 11.1 4.1 -13.9 -1.0 12.3 -1.8 10.0 1.0 4.9 19.0 -2.1 19.5 4.9 15.4 -1.6 -20.0 7.7 -20.0 -10.2 2.4 -1.5 20.0 4.7 13.4 -20.0 0.8 13.6 -0.6 11.2 4.4 6.6 -13.7 -0.0 -2.8 6.1 7.4 20.0 12.6 20.0 10.8 GAS_US_mini 14.2 3.1 -5.3 -0.5 6.7 -1.0 5.5 0.6 2.6 -7.4 -9.5 -7.6 -12.2 -3.9 -8.6 20.0 -18.9 10.6 -9.4 -10.5 -14.7 -7.7 -19.2 -6.9 17.4 -2.6 -1.9 -3.7 -1.5 -3.2 -1.1 -20.0 -20.0 -7.5 -5.0 -1.1 -16.8 2.3 -20.0 -1.6 GBP -2.7 8.5 11.2 3.2 -1.0 4.7 -3.7 3.7 -1.5 2.4 2.2 1.9 12.0 6.9 17.6 -0.2 -0.6 -0.3 -0.4 10.7 9.8 0.1 5.6 4.5 2.3 6.5 -0.2 5.2 0.5 2.0 3.5 2.9 9.9 20.0 4.5 5.1 -19.0 -1.1 -15.2 9.4 GOLD_micro -14.7 1.3 10.9 -4.0 0.9 -2.0 -3.4 -0.7 -5.6 -10.0 9.2 -13.0 7.9 -7.0 10.3 -13.7 -14.0 -14.0 -14.3 2.3 6.2 -8.8 5.1 -6.0 -5.2 1.9 -2.2 3.1 -1.3 2.8 -0.5 -14.2 9.9 16.3 16.2 20.0 -20.0 -20.0 -19.8 -15.6 HEATOIL 12.9 -2.3 -16.2 -0.9 11.7 -1.7 9.6 1.0 4.6 17.7 2.7 19.0 4.5 9.3 -8.8 20.0 20.0 20.0 20.0 -2.1 -2.2 17.1 6.1 8.4 -20.0 1.0 12.5 1.0 9.6 5.6 6.0 20.0 -4.8 3.0 4.3 5.6 14.6 1.5 13.1 -2.9 JGB-SGX-mini -5.4 15.4 14.4 1.3 -0.8 1.1 -1.3 -0.4 -0.2 -6.6 4.3 -5.4 4.5 3.3 6.2 8.1 17.9 11.4 14.0 5.4 4.9 -6.7 2.7 0.5 -3.1 1.6 -3.9 1.3 -2.5 0.2 -0.0 20.0 -8.6 4.9 -3.1 -2.0 -0.6 -20.0 9.5 14.4 JPY -20.0 6.4 20.0 1.5 -0.5 2.2 -1.7 1.8 -0.7 -7.0 -6.4 -9.7 -9.0 -8.1 -2.5 -14.2 -15.9 -15.4 -16.1 -4.5 -5.1 -9.9 -11.0 -9.5 20.0 -0.9 -1.3 -1.6 -3.2 -3.9 -2.6 -20.0 -4.7 -10.3 -0.9 -9.2 -11.7 -20.0 -6.4 -20.0 LEANHOG 20.0 7.4 -1.2 1.1 10.2 -2.2 10.7 -4.0 6.2 16.3 -5.5 17.5 -12.0 14.4 -1.0 -20.0 -4.4 -20.0 -18.5 1.4 -8.5 20.0 -15.3 13.5 17.1 5.1 10.0 0.4 9.1 -4.2 8.1 -8.6 2.7 20.0 20.0 6.8 -11.2 -8.2 4.2 11.6 LIVECOW 20.0 -1.4 -20.0 1.2 11.7 -2.5 12.3 -4.6 7.1 19.7 -10.5 20.0 -2.9 17.9 -8.5 -20.0 -7.5 -15.4 -11.5 -7.0 -18.1 20.0 -6.7 15.5 -1.1 -3.8 11.4 -5.1 7.9 1.1 3.0 -8.4 5.3 2.6 -6.4 -20.0 11.4 -2.8 17.3 3.4 LUMBER-new -14.6 7.6 15.1 1.4 13.4 -2.8 14.1 -4.4 8.1 20.0 -1.5 -2.6 -15.9 -3.7 12.0 -15.3 -14.4 -14.3 -14.3 5.9 4.9 4.6 -3.9 -0.3 NaN 4.0 11.0 3.4 4.3 0.2 1.6 -18.0 -20.0 -20.0 9.9 20.0 -10.9 -20.0 -6.7 -20.0 MILK 10.8 -18.1 -20.0 1.1 10.4 -2.2 10.9 -4.1 6.3 -3.7 -19.8 -14.5 -19.3 -18.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -9.3 -20.0 -19.7 14.1 -7.1 0.6 -8.3 -1.4 -8.8 -4.0 -20.0 -20.0 -12.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP -11.4 6.7 6.1 2.7 -0.9 4.0 -3.2 3.2 -1.3 -8.6 15.2 -11.0 17.9 4.1 14.5 15.4 16.4 15.2 15.3 9.4 14.0 -7.1 19.8 -0.1 -20.0 4.0 -2.5 6.0 -3.7 8.7 -0.3 20.0 -4.8 8.5 -1.2 -1.2 15.5 20.0 20.0 20.0 NASDAQ_micro 2.1 16.5 19.6 3.4 3.2 3.1 2.2 1.9 2.0 13.5 14.6 14.6 14.3 14.4 15.2 -11.8 -9.5 -11.3 -10.6 20.0 20.0 20.0 20.0 20.0 -20.0 5.7 4.1 4.9 5.2 4.5 5.7 -6.6 20.0 20.0 18.2 15.9 16.2 -4.6 20.0 -6.6 NIKKEI 20.0 15.4 10.2 4.4 4.2 4.0 2.9 2.5 2.7 4.5 19.0 16.7 18.9 18.4 19.4 18.2 12.4 15.6 13.4 20.0 20.0 20.0 20.0 20.0 -14.2 6.7 1.2 4.8 5.4 4.2 7.6 20.0 18.3 20.0 20.0 11.9 -12.9 -2.6 -2.7 0.9 NZD -20.0 6.7 17.4 2.4 -0.8 3.6 -2.8 2.8 -1.1 -10.4 3.8 -14.4 1.7 -9.9 7.1 0.2 0.2 0.2 0.2 2.9 6.1 -13.6 0.3 -8.9 0.5 1.5 -2.3 2.7 -5.1 0.7 -3.0 4.1 -14.0 -9.9 -2.8 0.5 -10.1 -10.7 -5.8 4.8 OAT -20.0 12.8 20.0 1.8 -1.1 1.5 -1.8 -0.6 -0.3 -3.7 5.1 -8.8 -0.8 -2.1 5.0 4.8 6.7 5.0 5.5 6.3 8.5 -6.1 0.7 -3.3 7.2 1.5 0.2 2.2 -1.5 0.5 -0.9 12.4 4.5 -12.0 -2.6 3.8 -20.0 -20.0 4.1 3.8 OATIES 2.1 1.1 -20.0 0.5 4.5 -1.0 4.7 -1.8 2.7 -4.4 -6.9 -3.4 -5.3 -2.6 -6.5 3.3 -6.0 -2.0 -6.3 -5.7 -7.2 -2.7 -4.6 -2.9 -20.0 -1.6 -1.5 -2.8 0.1 -2.0 0.3 -5.3 -16.2 -1.6 -0.4 -15.1 -2.2 4.6 5.3 16.8 OJ -20.0 -20.0 -20.0 0.7 7.0 -1.5 7.4 -2.8 4.2 8.5 3.7 -5.5 9.2 -10.7 -9.6 1.4 17.4 8.5 14.1 -14.9 3.0 -5.0 20.0 -16.4 -20.0 -2.3 0.5 2.2 -0.5 6.8 -2.8 20.0 -12.3 -20.0 -20.0 9.9 8.9 12.1 17.6 20.0 PALLAD -20.0 9.6 10.2 -1.7 0.4 -0.8 -1.5 -0.3 -2.4 -0.3 -6.5 -5.9 -7.9 -6.5 -5.6 -1.6 -2.2 -1.8 -2.0 -7.8 -8.3 -5.6 -11.5 -8.4 7.2 -1.6 -0.1 -2.5 -0.6 -3.2 -1.1 6.6 1.5 -0.7 6.2 -9.0 -7.6 -7.2 -3.0 -2.5 PLAT -20.0 1.2 6.4 -2.9 0.7 -1.4 -2.5 -0.5 -4.0 -3.7 -4.6 -10.9 -6.4 -10.0 -2.2 -4.0 -3.0 -3.7 -3.5 -5.5 -2.8 -11.1 -3.8 -11.5 12.1 -1.6 -2.3 -0.3 -3.6 -0.4 -3.7 4.7 -1.7 -4.2 7.5 3.1 -8.7 -6.1 16.7 0.4 REDWHEAT -2.0 -3.2 -8.9 1.1 10.5 -2.3 11.0 -4.1 6.3 16.3 -18.3 2.3 -18.8 -7.6 -12.8 -2.9 -1.6 -3.6 -3.2 -14.7 -20.0 5.8 -20.0 -5.9 -14.0 -5.1 12.6 -9.4 7.2 -9.9 0.8 2.6 -6.0 -6.3 -0.2 -18.4 -20.0 -20.0 -20.0 -15.8 RICE 0.7 1.8 8.8 1.1 10.6 -2.3 11.1 -4.2 6.4 14.9 16.2 6.7 14.1 8.8 14.3 -14.9 -1.2 -14.1 -8.9 12.6 14.0 10.9 11.4 9.8 -20.0 1.3 10.3 3.3 5.2 3.5 1.3 -0.5 -4.8 -20.0 -9.5 13.1 0.3 -8.9 8.0 0.1 ROBUSTA 13.9 20.0 10.0 0.7 6.3 -1.4 6.6 -2.5 3.8 10.5 11.3 11.2 11.3 11.5 11.6 20.0 20.0 20.0 20.0 20.0 19.8 19.5 15.6 20.0 -19.5 4.4 2.6 3.9 2.9 3.1 3.7 20.0 12.0 17.3 20.0 20.0 -13.1 -14.8 -4.4 1.1 RUSSELL -16.0 19.0 18.7 2.8 2.7 2.6 1.9 1.6 1.7 6.4 5.5 -3.9 2.0 1.5 6.9 -6.2 -6.1 -6.3 -6.4 8.4 7.7 1.1 2.2 2.5 -2.1 2.9 1.5 2.3 1.2 1.0 1.6 -0.1 0.3 -9.5 5.8 -2.8 -20.0 -19.8 -20.0 -20.0 SHATZ -20.0 8.1 20.0 1.3 -0.8 1.1 -1.3 -0.4 -0.2 -2.1 1.2 -6.1 -4.4 -2.9 1.9 -20.0 -20.0 -20.0 -20.0 1.2 2.2 -4.4 -3.1 -3.9 8.4 0.9 0.9 1.2 -1.1 -0.5 -0.8 -20.0 5.8 -6.6 -1.1 0.0 -19.7 -20.0 -7.4 -20.0 SILVER-mini -15.5 -7.7 1.4 -3.5 0.8 -1.7 -2.9 -0.6 -4.8 2.7 -2.7 -9.2 0.7 -13.4 -3.9 -6.7 -6.5 -6.9 -6.8 -8.0 -3.9 -6.3 -1.8 -10.9 5.4 -3.8 2.8 -1.8 -1.6 -0.3 -4.2 -1.2 7.5 5.9 -2.8 1.7 -20.0 -17.9 8.3 -9.7 SMI -4.6 15.2 8.2 4.9 4.7 4.5 3.2 2.8 3.0 5.7 6.0 6.5 4.4 16.8 20.0 12.4 5.1 10.1 7.1 12.7 7.6 2.5 0.7 7.5 11.1 6.1 2.0 4.3 0.8 0.7 3.4 20.0 -10.8 13.7 5.3 -11.6 2.4 -6.3 10.2 -6.4 SOFR -20.0 14.4 20.0 1.9 -1.1 1.5 -1.9 -0.6 -0.3 -6.8 5.0 -9.4 -0.3 -1.7 7.5 2.5 0.1 1.5 0.7 6.0 6.1 -6.7 -0.9 -2.4 -2.2 3.0 -0.2 2.4 -0.5 0.1 1.0 2.3 5.3 6.4 -0.0 1.3 -20.0 -20.0 -6.8 -4.1 SOYBEAN -18.3 -20.0 -8.4 1.3 12.3 -2.7 12.9 -4.8 7.4 3.9 -4.1 -16.0 3.1 -20.0 -20.0 9.3 16.3 12.6 13.7 -20.0 -17.0 -11.2 -7.0 -20.0 -20.0 -6.4 -0.4 -2.6 -2.6 -0.1 -6.7 20.0 -20.0 -20.0 -20.0 -3.9 -15.5 -20.0 -15.6 -20.0 SOYMEAL -19.6 -20.0 -6.3 0.9 9.0 -1.9 9.4 -3.5 5.4 -7.2 -10.8 -13.9 -2.0 -16.3 -15.2 3.2 14.7 8.2 11.5 -20.0 -13.0 -12.3 -2.8 -20.0 -20.0 -5.2 -1.0 -2.1 -3.4 0.6 -5.8 20.0 -20.0 -20.0 -20.0 -2.5 -20.0 -20.0 -20.0 -19.0 SOYOIL -1.3 -9.5 -19.1 0.9 8.4 -1.8 8.8 -3.3 5.1 -10.6 -11.0 -8.2 -8.6 -13.4 -15.2 -6.3 6.1 -1.8 2.3 -14.9 -16.6 -7.6 -12.7 -10.1 -20.0 -2.7 -4.1 -3.9 -0.9 -3.4 -1.0 14.2 -20.0 -9.2 -7.9 -14.9 -8.4 -2.6 -2.7 7.2 SP400 -10.0 19.8 17.1 3.2 3.1 3.0 2.1 1.8 1.9 5.8 8.8 -1.1 6.0 5.7 10.6 -5.4 -5.1 -5.3 -5.3 12.5 11.0 3.3 5.1 6.2 -10.7 3.7 1.2 3.2 1.5 1.8 2.3 1.7 -0.2 -5.7 6.3 -0.9 -20.0 -8.7 -20.0 -20.0 SP500_micro -0.6 20.0 20.0 4.4 4.2 4.1 2.9 2.5 2.7 18.3 18.3 18.7 17.0 19.2 20.0 -12.9 -10.6 -12.2 -11.6 20.0 20.0 20.0 20.0 20.0 -20.0 7.2 5.0 6.1 5.8 4.7 6.5 -8.3 20.0 20.0 18.6 14.6 4.1 -4.3 13.4 -6.8 SUGAR11 20.0 -18.6 -20.0 0.7 6.8 -1.5 7.2 -2.7 4.1 9.4 -4.3 11.8 6.4 -0.5 -5.1 17.2 19.3 20.0 20.0 -5.7 -7.0 18.7 2.6 8.4 -20.0 -2.4 2.9 -2.1 2.9 1.1 0.5 20.0 0.8 7.9 -20.0 -15.7 6.0 -5.2 13.3 6.8 US10 -16.6 16.8 20.0 1.5 -0.9 1.2 -1.5 -0.5 -0.2 -6.0 1.4 -7.5 -3.0 -0.4 5.8 -10.0 -7.7 -9.0 -8.4 4.4 2.6 -5.0 -5.1 -1.4 1.7 2.4 -0.2 1.4 -0.2 -1.0 1.0 -12.2 5.8 6.0 1.0 -0.7 -20.0 -20.0 -16.9 7.1 US10U -19.6 16.3 18.6 2.1 -1.3 1.7 -2.1 -0.7 -0.3 -8.8 1.4 -11.3 -4.2 -2.2 7.3 2.7 0.7 2.3 1.4 4.9 2.7 -8.6 -7.9 -3.7 -1.6 3.1 -0.6 1.6 -0.7 -1.6 1.0 3.5 8.0 5.5 0.3 -2.5 -20.0 -20.0 5.0 17.0 US2 -10.6 17.4 20.0 1.3 -0.8 1.0 -1.3 -0.4 -0.2 -4.8 0.2 -6.0 -4.7 1.7 5.0 -20.0 -20.0 -20.0 -20.0 4.2 2.0 -2.6 -5.3 0.4 8.6 2.5 0.2 1.6 0.2 -0.8 1.4 -20.0 5.9 9.2 3.3 3.1 -18.2 -20.0 -13.0 -20.0 US20 -20.0 18.8 18.9 1.5 -0.9 1.2 -1.5 -0.5 -0.2 -6.6 1.6 -8.1 -2.3 -1.3 5.0 -0.0 -1.1 -0.4 -0.8 3.8 2.4 -7.9 -5.1 -3.5 -1.7 2.0 -0.9 1.0 -0.8 -1.1 0.5 -0.4 3.6 1.9 1.9 -1.0 -20.0 -20.0 20.0 20.0 US30 -20.0 14.1 16.7 1.7 -1.0 1.4 -1.7 -0.5 -0.3 -7.6 1.0 -9.5 -3.7 -4.3 4.6 -9.2 -5.0 -7.1 -6.1 1.8 1.1 -9.8 -6.9 -6.1 -1.2 1.7 -1.2 0.8 -1.4 -1.6 -0.2 -7.7 3.3 -0.6 -1.5 -3.7 -15.6 -17.4 20.0 20.0 US5 -14.8 16.3 20.0 1.5 -0.9 1.2 -1.5 -0.5 -0.2 -5.6 1.9 -7.1 -3.3 0.5 6.0 -10.7 -10.3 -10.2 -10.5 4.7 3.2 -4.1 -4.3 -0.7 4.0 2.6 0.0 1.7 -0.0 -0.6 1.3 -16.4 5.8 8.0 1.8 1.4 -20.0 -20.0 -20.0 -8.4 VIX -1.3 -3.9 -20.0 -6.7 -4.6 -7.7 -6.4 -10.0 -6.5 -11.9 -20.0 -15.0 -20.0 -17.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -11.9 -20.0 -16.2 NaN -8.0 -4.0 -9.0 -6.1 -11.5 -7.0 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -6.0 2.1 3.9 1.2 11.0 -2.4 11.6 -4.3 6.7 15.7 -17.8 -4.4 -19.9 -5.8 -2.6 -11.1 -10.5 -11.1 -11.0 -8.6 -15.7 2.1 -20.0 -5.8 -3.2 -1.8 12.3 -5.5 6.6 -9.2 1.4 -12.0 -19.3 -10.3 5.1 -1.0 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3