******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240126_204008 produced at 2024-01-26 21:37:26.746213 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -51.16 17.0 -17 -17 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.26 0.0 0.00 0.00 0.00 0.00 -3.07 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.16 0.0 0.00 0.00 0.00 0.00 -4.10 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 -1.47 13.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.08 -0.09 0.0 0.10 -0.10 -0.08 -0.08 -10.82 12.0 -10 -10 caleb_strategy_v3 CHF False False 0.05 -0.25 -0.09 0.0 0.66 -0.66 -0.25 -0.25 -1.74 13.0 -5 -5 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.17 -0.17 -0.02 -0.02 -22.52 51.0 -6 -6 caleb_strategy_v3 JPY False False 0.03 -0.09 -0.06 0.0 0.50 -0.50 -0.09 -0.09 -1.90 17.0 -3 -3 caleb_strategy_v3 BOBL False False 0.04 -0.36 -0.06 0.0 0.84 -0.84 -0.36 -0.36 -1.29 19.0 -8 -8 caleb_strategy_v3 GOLD_micro False False 0.01 -0.09 -0.06 0.0 0.40 -0.40 -0.09 -0.09 -8.34 56.0 -13 -13 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -5.25 5.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 -0.05 0.0 0.75 -0.75 0.00 0.00 -1.95 29.0 0 0 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.04 0.0 0.44 -0.44 -0.02 -0.02 -1.63 19.0 -1 -1 caleb_strategy_v3 US5 False False 0.04 -0.11 -0.04 0.0 0.94 -0.94 -0.11 -0.15 -1.15 25.0 -3 -4 caleb_strategy_v3 US10 False False 0.04 -0.08 -0.03 0.0 0.66 -0.66 -0.08 -0.08 -0.66 17.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.14 -0.14 -0.04 -0.04 -1.60 7.0 -2 -2 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 -0.03 0.0 0.05 -0.05 -0.01 -0.01 -13.55 26.0 -4 -4 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.10 -0.10 -0.04 -0.04 -2.44 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 -3.35 2.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.14 -0.02 0.0 0.66 -0.66 -0.14 -0.14 -0.42 14.0 -3 -3 caleb_strategy_v3 NZD False False 0.02 0.00 -0.02 0.0 0.45 -0.45 0.00 0.00 -0.93 21.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -2.29 8.0 -3 -3 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.02 0.0 0.24 -0.24 -0.03 -0.03 -4.95 68.0 -9 -10 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -3.69 3.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.02 0.0 0.19 -0.19 0.00 0.00 -0.17 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 -1.66 10.0 -3 -3 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.02 0.0 0.11 -0.11 -0.02 -0.02 -1.76 9.0 -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 -0.98 0.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -0.68 4.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.01 0.0 0.20 -0.20 -0.03 -0.03 -0.36 6.0 -1 -1 caleb_strategy_v3 LIVECOW False False 0.03 -0.08 -0.01 0.0 0.43 -0.43 -0.08 -0.08 -0.33 17.0 -3 -3 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 COTTON2 False False 0.01 -0.04 -0.01 0.0 0.16 -0.16 -0.04 -0.04 -0.99 11.0 -3 -3 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.07 -0.07 0.00 0.00 -0.14 2.0 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 BUND False False 0.05 -0.05 -0.00 0.0 0.51 -0.51 -0.05 -0.05 -0.05 10.0 -1 -1 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 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 PLAT False False 0.02 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.20 10.0 0 0 caleb_strategy_v3 BITCOIN False True 0.00 0.01 -0.00 0.0 0.01 0.00 0.01 0.01 -3.32 59.0 6 6 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.09 4.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 -0.00 0.0 0.05 -0.05 0.00 0.00 -0.23 3.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.00 0.00 0.0 0.15 -0.15 0.00 0.00 0.13 4.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.15 -0.15 0.00 0.00 -0.11 6.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.09 0.01 0.0 0.35 -0.35 0.09 0.13 0.23 8.0 2 3 caleb_strategy_v3 DX False False 0.04 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.47 999999999.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.00 0.02 0.0 0.45 -0.45 0.00 0.00 0.55 10.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.02 0.0 0.25 -0.25 0.01 0.01 1.46 23.0 1 1 caleb_strategy_v3 CAC False True 0.03 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.89 12.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.03 0.0 0.12 -0.12 0.00 0.00 0.83 3.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.05 0.04 0.0 0.42 -0.42 0.05 0.05 2.45 26.0 3 3 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.04 0.0 0.11 -0.11 0.03 0.03 1.56 4.0 1 1 caleb_strategy_v3 OAT False False 0.05 0.00 0.04 0.0 0.49 -0.49 0.00 0.00 0.79 10.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.05 0.05 0.0 0.44 -0.44 0.05 0.05 7.96 66.0 7 7 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.21 0.05 0.0 0.28 -0.28 0.21 0.23 3.86 23.0 17 19 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.05 0.0 0.15 -0.15 0.05 0.05 4.09 13.0 4 4 caleb_strategy_v3 GBP False False 0.03 0.11 0.06 0.0 0.61 -0.61 0.11 0.11 2.25 22.0 4 4 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.06 0.0 0.41 -0.41 0.03 0.03 6.89 48.0 3 3 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.10 0.0 0.13 -0.13 0.05 0.05 3.68 5.0 2 2 caleb_strategy_v3 EUROSTX False False 0.02 0.25 0.10 0.0 0.35 -0.35 0.25 0.25 5.51 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 2.36 9.0 8 8 caleb_strategy_v3 DAX False False 0.01 0.00 0.11 0.0 0.37 -0.37 0.00 0.00 17.53 58.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.31 0.30 0.0 0.31 -0.31 0.31 0.31 35.44 36.0 36 36 caleb_strategy_v3 MXP False False 0.01 0.47 0.37 0.0 0.60 -0.60 0.47 0.47 36.52 60.0 47 47 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.41 0.52 0.0 0.55 -0.55 0.41 0.41 14.94 16.0 12 12 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.09 0.56 0.0 0.92 -0.92 0.09 0.09 6.08 10.0 1 1 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.8 Shocked risk 63.9 Sum abs risk 51.0 Leverage 4.50 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2870506.2, 'annual_cash_vol_target': 717626.55, 'daily_cash_vol_target': 44851.659375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6590 0.5817 9.3065 BITCOIN 1218.0447 42435.0000 2.8704 45.9260 BOBL 0.2587 117.7200 0.2197 3.5160 BTP 0.5953 118.1100 0.5040 8.0643 BUND 0.5127 134.2600 0.3819 6.1098 BUXL 1.2192 134.1800 0.9086 14.5375 CAC 60.6475 7654.0000 0.7924 12.6778 CAD 0.0028 0.7441 0.3741 5.9859 CANOLA 6.5520 628.1000 1.0431 16.6904 CHF 0.0052 1.1631 0.4475 7.1596 COCOA 59.6704 4617.0000 1.2924 20.6785 COFFEE 3.7610 188.4000 1.9963 31.9407 COPPER 0.0411 3.8535 1.0671 17.0743 CORN 4.0349 476.5000 0.8468 13.5483 COTTON2 0.9566 85.7200 1.1160 17.8553 CRUDE_W 1.0488 74.4600 1.4086 22.5373 DAX 115.4359 17049.0000 0.6771 10.8333 DOW 190.3399 38274.0000 0.4973 7.9569 DX 0.3891 103.2400 0.3769 6.0304 EUR 0.0046 1.0880 0.4222 6.7546 EURIBOR-ICE 0.0522 97.8050 0.0534 0.8542 EUROSTX 37.4420 4657.0000 0.8040 12.8639 FEEDCOW 1.8384 251.2750 0.7316 11.7061 GASOIL 12.6322 817.2500 1.5457 24.7310 GASOLINE 0.0380 2.5358 1.5001 24.0013 GAS_US_mini 0.0944 2.2050 4.2827 68.5236 GBP 0.0058 1.2708 0.4591 7.3449 GOLD_micro 13.6867 2035.2000 0.6725 10.7600 HEATOIL 0.0393 2.6715 1.4711 23.5384 JGB-SGX-mini 0.2938 146.3400 0.2008 3.2120 JPY 0.0000 0.0068 0.6303 10.0853 LEANHOG 1.1662 83.2000 1.4017 22.4277 LIVECOW 1.2251 181.5000 0.6750 10.8001 LUMBER-new 7.3562 585.5000 1.2564 20.1024 MILK 0.1829 16.8900 1.0826 17.3219 MXP 0.0004 0.0578 0.6799 10.8776 NASDAQ_micro 124.6729 17553.0000 0.7103 11.3642 NIKKEI 309.0182 35970.0000 0.8591 13.7456 NZD 0.0037 0.6095 0.6114 9.7823 OAT 0.5224 128.9300 0.4052 6.4825 OATIES 7.0885 358.5000 1.9773 31.6363 OJ 5.9124 313.5500 1.8856 30.1701 PALLAD 25.5771 963.5000 2.6546 42.4736 PLAT 14.5944 922.7000 1.5817 25.3073 REDWHEAT 9.7918 626.2500 1.5636 25.0171 RICE 0.1703 18.1500 0.9385 15.0159 ROBUSTA 45.5971 3115.0000 1.4638 23.4207 RUSSELL 21.5792 1989.5000 1.0847 17.3545 SHATZ 0.0933 105.9550 0.0881 1.4089 SILVER-mini 0.3418 23.2000 1.4734 23.5748 SMI 76.2973 11315.0000 0.6743 10.7888 SOFR 0.0643 96.5500 0.0666 1.0651 SOYBEAN 9.4305 1184.5000 0.7962 12.7385 SOYMEAL 4.5593 350.3000 1.3015 20.8245 SOYOIL 0.6426 47.4700 1.3536 21.6582 SP400 23.3192 2778.1000 0.8394 13.4303 SP500_micro 27.1176 4921.0000 0.5511 8.8169 SUGAR11 0.3800 23.0600 1.6479 26.3660 US10 0.3984 111.0938 0.3586 5.7381 US10U 0.5349 115.1719 0.4644 7.4304 US2 0.1222 102.5859 0.1191 1.9054 US20 0.8063 119.6562 0.6739 10.7816 US30 1.1913 125.5938 0.9485 15.1762 US5 0.2715 107.6797 0.2521 4.0335 VIX 0.4328 15.8500 2.7306 43.6893 WHEAT 8.4348 641.7500 1.3143 21.0294 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 659.05 0.58 383.34 1.00 383.34 44851.66 117.00 -5.38 -62.97 BITCOIN 42.44 2.87 121.80 1.00 121.80 44851.66 368.23 -0.83 -30.68 BOBL 1177.20 0.22 258.69 1.09 281.62 44851.66 159.26 -7.99 -127.18 BTP 1181.10 0.50 595.30 1.09 648.07 44851.66 69.21 2.34 16.23 BUND 1342.60 0.38 512.68 1.09 558.13 44851.66 80.36 -0.65 -5.23 BUXL 1341.80 0.91 1219.15 1.09 1327.23 44851.66 33.79 -2.62 -8.86 CAC 765.40 0.79 606.48 1.09 660.24 44851.66 67.93 3.83 26.02 CAD 744.10 0.37 278.38 1.00 278.38 44851.66 161.12 -4.66 -75.06 CANOLA 125.62 1.04 131.04 0.74 96.92 44851.66 462.77 -20.00 -925.54 CHF 1453.88 0.45 650.57 1.00 650.57 44851.66 68.94 -9.70 -66.89 COCOA 461.70 1.29 596.70 1.00 596.70 44851.66 75.17 15.21 114.33 COFFEE 706.50 2.00 1410.38 1.00 1410.38 44851.66 31.80 -3.03 -9.63 COPPER 963.38 1.07 1028.06 1.00 1028.06 44851.66 43.63 -0.76 -3.33 CORN 238.25 0.85 201.74 1.00 201.74 44851.66 222.32 -20.00 -444.64 COTTON2 428.60 1.12 478.30 1.00 478.30 44851.66 93.77 -4.94 -46.36 CRUDE_W 744.60 1.41 1048.83 1.00 1048.83 44851.66 42.76 7.96 34.02 DAX 170.49 0.68 115.44 1.09 125.67 44851.66 356.90 14.40 513.86 DOW 191.37 0.50 95.17 1.00 95.17 44851.66 471.28 7.27 342.64 DX 1032.40 0.38 389.11 1.00 389.11 44851.66 115.27 1.56 17.94 EUR 1360.00 0.42 574.14 1.00 574.14 44851.66 78.12 -2.05 -15.99 EURIBOR-ICE 2445.13 0.05 130.54 1.09 142.12 44851.66 315.60 5.65 178.34 EUROSTX 465.70 0.80 374.42 1.09 407.61 44851.66 110.04 14.67 161.40 FEEDCOW 1256.38 0.73 919.21 1.00 919.21 44851.66 48.79 1.41 6.87 GASOIL 817.25 1.55 1263.22 1.00 1263.22 44851.66 35.51 10.11 35.91 GASOLINE 1065.04 1.50 1597.64 1.00 1597.64 44851.66 28.07 1.09 3.05 GAS_US_mini 55.12 4.28 236.09 1.00 236.09 44851.66 189.98 -6.59 -125.11 GBP 794.25 0.46 364.60 1.00 364.60 44851.66 123.01 7.06 86.89 GOLD_micro 203.52 0.67 136.87 1.00 136.87 44851.66 327.70 -7.47 -244.65 HEATOIL 1122.03 1.47 1650.67 1.00 1650.67 44851.66 27.17 7.09 19.26 JGB-SGX-mini 146340.00 0.20 29377.89 0.01 198.90 44851.66 225.50 6.12 137.95 JPY 850.62 0.63 536.18 1.00 536.18 44851.66 83.65 -8.74 -73.14 LEANHOG 332.80 1.40 466.50 1.00 466.50 44851.66 96.15 7.00 67.32 LIVECOW 726.00 0.68 490.06 1.00 490.06 44851.66 91.52 -1.07 -9.83 LUMBER-new 161.01 1.26 202.30 1.00 202.30 44851.66 221.71 -7.80 -172.85 MILK 337.80 1.08 365.71 1.00 365.71 44851.66 122.64 -20.00 -245.29 MXP 289.25 0.68 196.65 1.00 196.65 44851.66 228.08 10.91 248.79 NASDAQ_micro 351.06 0.71 249.35 1.00 249.35 44851.66 179.88 9.24 166.13 NIKKEI 35970.00 0.86 30901.82 0.01 209.21 44851.66 214.38 15.27 327.26 NZD 609.50 0.61 372.65 1.00 372.65 44851.66 120.36 -2.96 -35.68 OAT 1289.30 0.41 522.37 1.09 568.67 44851.66 78.87 2.93 23.07 OATIES 179.25 1.98 354.43 1.00 354.43 44851.66 126.55 -10.88 -137.71 OJ 470.32 1.89 886.86 1.00 886.86 44851.66 50.57 -2.15 -10.88 PALLAD 963.50 2.65 2557.71 1.00 2557.71 44851.66 17.54 -2.30 -4.04 PLAT 461.35 1.58 729.72 1.00 729.72 44851.66 61.46 0.95 5.87 REDWHEAT 313.12 1.56 489.59 1.00 489.59 44851.66 91.61 -18.85 -172.66 RICE 363.00 0.94 340.67 1.00 340.67 44851.66 131.66 -2.12 -27.85 ROBUSTA 311.50 1.46 455.97 1.00 455.97 44851.66 98.37 12.68 124.69 RUSSELL 99.48 1.08 107.90 1.00 107.90 44851.66 415.69 -3.59 -149.23 SHATZ 1059.55 0.09 93.30 1.09 101.57 44851.66 441.59 -9.15 -404.05 SILVER-mini 580.00 1.47 854.59 1.00 854.59 44851.66 52.48 -5.48 -28.76 SMI 1131.50 0.67 762.97 1.16 883.26 44851.66 50.78 13.65 69.33 SOFR 2413.75 0.07 160.68 1.00 160.68 44851.66 279.13 -1.81 -50.47 SOYBEAN 592.25 0.80 471.52 1.00 471.52 44851.66 95.12 -18.07 -171.86 SOYMEAL 350.30 1.30 455.93 1.00 455.93 44851.66 98.37 -19.24 -189.31 SOYOIL 284.82 1.35 385.54 1.00 385.54 44851.66 116.33 -15.31 -178.14 SP400 2778.10 0.84 2331.92 1.00 2331.92 44851.66 19.23 -2.60 -5.01 SP500_micro 246.05 0.55 135.59 1.00 135.59 44851.66 330.79 8.97 296.60 SUGAR11 258.27 1.65 425.60 1.00 425.60 44851.66 105.38 -0.72 -7.58 US10 1110.94 0.36 398.42 1.00 398.42 44851.66 112.57 -4.64 -52.22 US10U 1151.72 0.46 534.86 1.00 534.86 44851.66 83.86 -0.41 -3.45 US2 2051.72 0.12 244.33 1.00 244.33 44851.66 183.57 -6.30 -115.67 US20 1196.56 0.67 806.31 1.00 806.31 44851.66 55.63 0.22 1.23 US30 1255.94 0.95 1191.27 1.00 1191.27 44851.66 37.65 -2.70 -10.17 US5 1076.80 0.25 271.46 1.00 271.46 44851.66 165.23 -5.50 -90.84 VIX 158.50 2.73 432.80 1.00 432.80 44851.66 103.63 -20.00 -207.26 WHEAT 320.88 1.31 421.74 1.00 421.74 44851.66 106.35 -17.31 -184.05 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -62.967 0.010 2.5 -1.634 BITCOIN -30.679 0.043 2.5 -3.322 BOBL -127.175 0.004 2.5 -1.290 BTP 16.227 0.014 2.5 0.553 BUND -5.234 0.004 2.5 -0.053 BUXL -8.862 0.004 2.5 -0.090 CAC 26.023 0.014 2.5 0.888 CAD -75.062 0.010 2.5 -1.948 CANOLA -925.543 0.010 2.5 -22.517 CHF -66.893 0.010 2.5 -1.736 COCOA 114.334 0.009 2.5 2.449 COFFEE -9.634 0.005 2.5 -0.113 COPPER -3.327 0.043 2.5 -0.360 CORN -444.642 0.010 2.5 -10.818 COTTON2 -46.362 0.009 2.5 -0.993 CRUDE_W 34.023 0.043 2.5 3.684 DAX 513.860 0.014 2.5 17.527 DOW 342.642 0.009 2.5 7.963 DX 17.943 0.010 2.5 0.466 EUR -15.995 0.010 2.5 -0.415 EURIBOR-ICE 178.336 0.014 2.5 6.083 EUROSTX 161.401 0.014 2.5 5.505 FEEDCOW 6.866 0.013 2.5 0.228 GASOIL 35.913 0.017 2.5 1.557 GASOLINE 3.054 0.017 2.5 0.132 GAS_US_mini -125.107 0.043 2.5 -13.548 GBP 86.889 0.010 2.5 2.254 GOLD_micro -244.650 0.014 2.5 -8.345 HEATOIL 19.261 0.017 2.5 0.835 JGB-SGX-mini 137.946 0.043 2.5 14.938 JPY -73.136 0.010 2.5 -1.898 LEANHOG 67.325 0.024 2.5 4.092 LIVECOW -9.828 0.013 2.5 -0.326 LUMBER-new -172.853 0.009 2.5 -3.694 MILK -245.286 0.009 2.5 -5.253 MXP 248.786 0.059 2.5 36.515 NASDAQ_micro 166.133 0.009 2.5 3.861 NIKKEI 327.256 0.043 2.5 35.438 NZD -35.681 0.010 2.5 -0.926 OAT 23.074 0.014 2.5 0.787 OATIES -137.714 0.010 2.5 -3.350 OJ -10.880 0.009 2.5 -0.233 PALLAD -4.041 0.014 2.5 -0.138 PLAT 5.869 0.014 2.5 0.200 REDWHEAT -172.658 0.005 2.5 -2.290 RICE -27.849 0.010 2.5 -0.678 ROBUSTA 124.689 0.005 2.5 1.456 RUSSELL -149.229 0.013 2.5 -4.945 SHATZ -404.052 0.004 2.5 -4.097 SILVER-mini -28.757 0.014 2.5 -0.981 SMI 69.326 0.014 2.5 2.365 SOFR -50.466 0.024 2.5 -3.067 SOYBEAN -171.855 0.004 2.5 -1.598 SOYMEAL -189.315 0.004 2.5 -1.761 SOYOIL -178.142 0.004 2.5 -1.658 SP400 -5.006 0.013 2.5 -0.166 SP500_micro 296.595 0.009 2.5 6.893 SUGAR11 -7.581 0.009 2.5 -0.161 US10 -52.217 0.005 2.5 -0.662 US10U -3.449 0.005 2.5 -0.044 US2 -115.670 0.005 2.5 -1.466 US20 1.235 0.005 2.5 0.016 US30 -10.168 0.005 2.5 -0.129 US5 -90.840 0.005 2.5 -1.151 VIX -207.264 0.099 2.5 -51.162 WHEAT -184.047 0.005 2.5 -2.441 ===================== Position diags ===================== AUD 3.04 BITCOIN 39.87 BOBL 1.62 BTP 2.36 BUND 0.81 BUXL 0.34 CAC 2.32 CAD 4.18 CANOLA 11.26 CHF 1.79 COCOA 1.61 COFFEE 0.37 COPPER 4.72 CORN 5.41 COTTON2 2.01 CRUDE_W 4.63 DAX 12.17 DOW 10.95 DX 2.99 EUR 2.03 EURIBOR-ICE 10.76 EUROSTX 3.75 FEEDCOW 1.62 GASOIL 1.54 GASOLINE 1.22 GAS_US_mini 20.57 GBP 3.19 GOLD_micro 11.18 HEATOIL 1.18 JGB-SGX-mini 24.42 JPY 2.17 LEANHOG 5.84 LIVECOW 3.03 LUMBER-new 4.74 MILK 2.63 MXP 33.48 NASDAQ_micro 4.18 NIKKEI 23.22 NZD 3.12 OAT 2.69 OATIES 3.08 OJ 1.08 PALLAD 0.60 PLAT 2.10 REDWHEAT 1.22 RICE 3.20 ROBUSTA 1.15 RUSSELL 13.78 SHATZ 4.48 SILVER-mini 1.79 SMI 1.73 SOFR 16.96 SOYBEAN 0.88 SOYMEAL 0.91 SOYOIL 1.08 SP400 0.64 SP500_micro 7.69 SUGAR11 2.24 US10 1.43 US10U 1.06 US2 2.33 US20 0.70 US30 0.48 US5 2.09 VIX 25.58 WHEAT 1.41 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 -3.3 -7.3 0.7 6.0 6 BOBL -1.3 -1.5 -1.1 -8.0 -8 BTP 0.6 0.3 0.8 0.0 0 BUND -0.1 -0.1 0.0 -1.0 -1 BUXL -0.1 -0.1 -0.1 0.0 0 CAC 0.9 0.7 1.1 0.0 0 CAD -1.9 -2.4 -1.5 0.0 0 CANOLA -22.5 -23.6 -21.4 -6.0 -6 CHF -1.7 -1.9 -1.6 -5.0 -5 COCOA 2.4 2.3 2.6 3.0 3 COFFEE -0.1 -0.1 -0.1 0.0 0 COPPER -0.4 -0.8 0.1 -1.0 -1 CORN -10.8 -11.4 -10.3 -10.0 -10 COTTON2 -1.0 -1.2 -0.8 -3.0 -3 CRUDE_W 3.7 3.2 4.1 2.0 2 DAX 17.5 16.3 18.7 0.0 0 DOW 8.0 6.9 9.1 7.0 7 DX 0.5 0.2 0.8 NaN 0 EUR -0.4 -0.6 -0.2 -3.0 -3 EURIBOR-ICE 6.1 5.0 7.2 1.0 1 EUROSTX 5.5 5.1 5.9 14.0 14 FEEDCOW 0.2 0.1 0.4 2.0 2 GASOIL 1.6 1.4 1.7 1.0 1 GASOLINE 0.1 0.0 0.3 0.0 0 GAS_US_mini -13.5 -15.6 -11.5 -4.0 -4 GBP 2.3 1.9 2.6 4.0 4 GOLD_micro -8.3 -9.5 -7.2 -13.0 -13 HEATOIL 0.8 0.7 1.0 0.0 0 JGB-SGX-mini 14.9 12.5 17.4 12.0 12 JPY -1.9 -2.1 -1.7 -3.0 -3 LEANHOG 4.1 3.5 4.7 4.0 4 LIVECOW -0.3 -0.6 -0.0 -3.0 -3 LUMBER-new -3.7 -4.2 -3.2 NaN 0 MILK -5.3 -5.5 -5.0 NaN 0 MXP 36.5 33.2 39.9 47.0 47 NASDAQ_micro 3.9 3.4 4.3 17.0 17 NIKKEI 35.4 33.1 37.8 36.0 36 NZD -0.9 -1.2 -0.6 0.0 0 OAT 0.8 0.5 1.1 0.0 0 OATIES -3.4 -3.7 -3.0 NaN 0 OJ -0.2 -0.3 -0.1 NaN 0 PALLAD -0.1 -0.2 -0.1 0.0 0 PLAT 0.2 -0.0 0.4 0.0 0 REDWHEAT -2.3 -2.4 -2.2 -3.0 -3 RICE -0.7 -1.0 -0.4 NaN 0 ROBUSTA 1.5 1.3 1.6 1.0 1 RUSSELL -4.9 -6.3 -3.6 -9.0 -9 SHATZ -4.1 -4.5 -3.6 NaN 0 SILVER-mini -1.0 -1.2 -0.8 NaN 0 SMI 2.4 2.2 2.5 8.0 8 SOFR -3.1 -4.8 -1.4 NaN 0 SOYBEAN -1.6 -1.7 -1.5 -2.0 -2 SOYMEAL -1.8 -1.9 -1.7 -2.0 -2 SOYOIL -1.7 -1.8 -1.6 -3.0 -3 SP400 -0.2 -0.2 -0.1 0.0 0 SP500_micro 6.9 6.1 7.7 3.0 3 SUGAR11 -0.2 -0.4 0.1 -1.0 -1 US10 -0.7 -0.8 -0.5 -2.0 -2 US10U -0.0 -0.1 0.1 0.0 0 US2 -1.5 -1.7 -1.2 NaN 0 US20 0.0 -0.1 0.1 3.0 3 US30 -0.1 -0.2 -0.1 0.0 0 US5 -1.2 -1.4 -0.9 -3.0 -3 VIX -51.2 -53.7 -48.6 -17.0 -17 WHEAT -2.4 -2.6 -2.3 -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 -0.1 0.6 -0.0 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 0.4 -0.2 0.6 -0.1 0.1 -0.1 -0.1 -0.2 -0.1 0.1 0.2 -0.1 0.4 -0.1 -2.7 0.0 0.0 0.2 -0.0 0.2 -0.0 -0.1 -0.5 -0.0 0.6 0.6 -0.2 0.3 0.2 0.4 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 -0.0 -0.0 -0.0 1.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -1.1 0.0 -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 -0.1 -0.0 0.3 -0.6 -0.7 0.4 0.0 BUND -0.6 0.3 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.1 -0.0 0.0 0.1 0.1 0.1 0.1 0.0 0.1 -0.1 -0.0 -0.1 0.7 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.4 0.0 -0.3 -0.1 0.0 -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 -0.4 -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 0.1 0.7 0.0 0.2 -0.2 -0.1 -0.2 -0.1 0.1 0.1 0.1 0.3 0.1 -1.1 0.0 0.2 0.1 0.1 0.1 0.0 0.0 0.3 -0.3 -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 0.2 -0.0 0.0 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 -0.0 -0.0 -0.0 0.0 0.1 -0.3 0.1 -0.4 -0.7 -0.5 -0.1 -0.5 CANOLA -0.1 -0.6 -0.6 0.0 0.0 -0.0 0.1 -0.1 0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.2 -0.0 -0.2 -0.2 -0.2 -0.2 -0.1 -0.5 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.5 -0.6 -0.6 -0.6 -0.5 -0.5 -0.3 -0.1 CHF -0.6 0.3 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 -0.1 0.2 -0.1 -1.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 -1.1 -0.4 -0.2 0.4 0.5 -0.7 -0.6 -0.6 -0.7 COCOA -0.2 -0.2 0.2 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 0.5 0.2 0.7 0.2 0.2 0.3 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 0.3 0.6 0.6 0.7 0.1 0.7 0.7 COFFEE -0.3 0.1 0.6 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 0.2 0.1 0.0 -0.0 0.1 0.2 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.0 -2.4 0.0 0.0 0.1 0.0 0.1 0.0 0.9 -0.4 -0.6 0.2 0.6 -0.4 -0.7 -0.4 -0.4 COPPER -0.3 0.1 0.4 -0.0 0.0 -0.1 -0.0 -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 -1.2 0.0 0.1 0.0 0.0 -0.0 -0.0 0.1 0.3 0.4 0.4 0.3 -0.4 -0.2 0.4 -0.1 CORN -0.6 -0.4 -0.3 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 -0.2 -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 -0.6 -0.2 -0.6 -0.1 0.1 COTTON2 0.6 0.3 -0.3 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.3 0.2 -0.3 0.2 -0.0 -0.2 -0.0 -0.2 -0.1 0.1 -0.1 0.2 -0.2 0.2 -2.7 0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 0.2 0.6 0.6 -0.5 -0.5 -0.5 -0.2 -0.0 CRUDE_W 0.2 -0.1 -0.3 -0.0 0.1 -0.0 0.1 0.0 0.1 0.2 0.1 0.2 0.2 0.1 -0.1 0.1 0.2 0.1 0.2 -0.0 -0.0 0.2 0.2 0.1 -0.6 -0.0 0.1 0.0 0.1 0.2 0.1 -0.1 -0.2 -0.4 -0.1 0.3 0.7 0.5 0.7 0.6 DAX -0.4 0.2 0.6 0.1 0.0 0.1 0.0 0.1 0.0 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.2 0.4 0.1 2.3 0.1 0.1 0.1 0.1 0.1 0.0 -0.5 0.2 0.1 -0.0 0.2 0.0 0.2 0.4 0.7 DOW -0.3 0.6 0.6 0.1 0.0 0.1 0.0 0.1 0.0 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -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 0.4 0.5 0.6 0.6 -0.3 -0.1 -0.2 -0.3 DX 0.6 -0.2 -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 -0.3 -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 -0.0 0.1 -0.0 0.0 -0.0 -0.4 -0.1 0.1 -0.2 0.0 -0.7 -0.4 -0.6 -0.3 EURIBOR-ICE -0.6 0.3 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 -0.3 0.0 0.4 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 0.0 0.1 0.0 0.1 0.1 0.2 0.4 0.1 0.3 0.1 0.2 0.1 0.1 0.2 0.1 0.7 0.5 0.2 -0.1 0.0 -0.1 0.3 0.0 0.6 FEEDCOW 0.6 0.3 -0.6 0.0 0.1 -0.1 0.1 -0.1 0.1 0.2 -0.3 0.2 -0.1 0.2 -0.0 -0.4 -0.4 -0.4 -0.4 0.0 -0.1 0.2 -0.2 0.2 -0.5 0.0 0.1 -0.1 0.1 0.0 0.1 -1.1 0.5 0.6 0.5 -0.6 0.6 0.2 0.7 0.5 GASOIL 0.5 -0.0 -0.4 -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 1.1 0.0 0.2 0.0 0.1 0.1 0.1 1.1 0.0 -0.1 0.1 0.1 -0.4 -0.1 -0.7 -0.3 GASOLINE 0.4 0.2 -0.4 -0.0 0.1 -0.0 0.1 0.0 0.1 0.2 -0.0 0.2 0.2 0.2 0.0 -0.4 0.2 -0.4 -0.2 0.0 -0.0 0.2 0.1 0.2 -2.7 0.0 0.1 -0.0 0.1 0.2 0.1 -0.7 -0.0 -0.1 0.2 0.3 0.7 0.4 0.7 0.4 GAS_US_mini 0.3 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 -0.4 -0.2 -0.1 -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 0.1 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 0.2 0.2 -0.7 -0.0 -0.5 0.3 GOLD_micro -0.5 0.0 0.3 -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 0.4 0.4 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL 0.5 -0.0 -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 0.2 0.2 0.5 0.1 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 -0.0 0.1 -0.0 0.2 0.0 0.1 0.2 0.4 0.2 0.3 0.1 0.1 -0.0 0.1 0.0 -0.4 0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 -0.1 0.2 -0.1 -0.1 -0.0 -0.7 0.3 0.5 JPY -0.6 0.1 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 -0.1 -0.1 -0.1 -0.3 -0.1 2.7 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.1 -0.2 -0.4 -0.0 -0.3 -0.4 -0.7 -0.2 -0.7 LEANHOG 0.6 0.3 -0.0 0.0 0.1 -0.1 0.1 -0.1 0.1 0.2 -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 0.2 2.3 0.1 0.1 0.0 0.1 -0.1 0.1 -0.5 0.2 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 -0.2 -0.3 -0.2 -0.0 -0.2 0.2 -0.2 0.2 -0.2 -0.0 0.1 -0.1 0.1 0.0 0.0 -0.5 0.3 0.2 -0.1 -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 0.2 -0.3 -0.3 -0.3 -0.3 0.1 0.1 0.1 -0.1 0.0 NaN 0.1 0.1 0.1 0.1 0.0 0.0 -1.1 -0.4 -0.7 0.4 0.7 -0.4 -0.8 -0.3 -0.8 MILK 0.5 -0.5 -0.6 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 -0.5 -0.1 -0.7 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.0 -0.5 -0.2 1.9 -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 -0.0 0.4 -0.1 0.6 0.0 0.2 0.3 0.3 0.3 0.3 0.1 0.2 -0.0 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 0.2 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 0.0 0.2 0.1 -0.4 0.5 0.6 0.6 0.5 0.5 -0.1 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 0.0 0.2 0.1 1.1 0.1 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 -0.4 -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 -0.0 0.0 -0.0 1.0 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.7 0.1 -0.3 -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 0.0 -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 -0.3 -0.1 -0.1 -0.5 -0.1 0.1 0.2 0.6 OJ -0.5 -0.6 -0.6 0.0 0.1 -0.0 0.1 -0.1 0.0 0.1 0.1 -0.0 0.3 -0.1 -0.1 0.0 0.3 0.2 0.3 -0.1 0.0 -0.0 0.5 -0.1 -2.7 -0.0 0.0 0.1 0.0 0.3 -0.0 1.1 -0.2 -0.6 -0.6 0.3 0.3 0.4 0.6 0.7 PALLAD -0.6 0.3 0.4 -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 -0.0 -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 0.1 -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 0.3 0.1 -0.3 -0.2 0.6 0.0 REDWHEAT -0.0 -0.1 -0.2 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 -0.5 0.1 -0.7 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 0.0 -0.5 -0.1 -1.9 -0.1 0.1 -0.3 0.1 -0.4 0.0 0.1 -0.2 -0.3 -0.1 -0.6 -0.7 -0.7 -0.7 -0.5 RICE 0.1 0.1 0.3 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 0.5 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 -0.2 -0.6 -0.3 0.4 0.0 -0.3 0.3 0.0 ROBUSTA 0.5 0.6 0.4 0.0 0.0 -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 0.5 0.2 -2.7 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.4 0.6 0.6 0.6 -0.4 -0.5 -0.2 0.0 RUSSELL -0.5 0.6 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 -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 0.1 -0.2 0.2 -0.1 -0.7 -0.7 -0.7 -0.7 SHATZ -0.6 0.2 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 0.0 -0.2 -0.1 -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 -0.2 0.4 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 0.1 0.0 0.1 1.5 0.1 0.1 0.1 0.0 0.0 0.0 1.1 0.0 0.5 0.2 -0.4 0.1 -0.2 0.3 -0.2 SOFR -0.6 0.4 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.0 -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 -0.5 -0.6 -0.3 0.0 0.1 -0.1 0.1 -0.2 0.1 -0.1 -0.1 -0.2 0.1 -0.2 -0.2 0.2 0.3 0.2 0.3 -0.2 -0.2 -0.1 -0.2 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 1.1 -0.5 -0.6 -0.6 -0.2 -0.5 -0.7 -0.5 -0.7 SOYMEAL -0.6 -0.6 -0.2 0.0 0.1 -0.0 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 -0.4 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.8 -0.5 -0.4 -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 0.1 -0.1 0.2 -0.0 -0.7 -0.3 -0.7 -0.7 SP500_micro 0.1 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 0.5 -0.2 SUGAR11 0.6 -0.5 -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 0.4 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 0.2 -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 0.4 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 0.0 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 0.4 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 0.5 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 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 0.4 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 0.0 -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 0.2 -0.0 -0.0 -0.1 -0.5 -0.6 0.7 0.7 US5 -0.5 0.4 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 0.0 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 0.2 0.1 0.0 -0.7 -0.7 -0.7 -0.3 VIX -0.1 -0.2 -1.0 -0.1 -0.0 -0.3 -0.1 -0.6 -0.1 -0.2 -0.9 -0.2 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.1 -0.9 -0.3 NaN -0.1 -0.0 -0.4 -0.1 -0.7 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.2 0.1 0.2 0.0 0.1 -0.1 0.1 -0.1 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 0.0 -0.1 0.0 -0.3 0.0 -0.6 -0.5 -0.4 0.1 -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 -20.0 5.7 16.5 2.6 -0.8 4.1 -2.8 3.3 -1.3 -9.3 0.6 -15.3 -7.4 -13.5 4.1 -2.4 -2.8 -2.5 -2.7 0.7 3.7 -12.6 -3.2 -10.5 2.8 0.8 -2.1 1.9 -4.7 -0.6 -3.6 -1.1 -8.4 -13.6 -6.6 -2.2 -18.7 -10.1 -4.7 3.8 BITCOIN -19.6 -3.0 17.2 -4.3 4.0 -2.2 -1.8 -0.8 -5.3 -1.8 14.8 -14.3 16.3 -8.1 11.7 -6.5 -6.3 -7.6 -7.4 7.6 17.5 -13.2 15.3 -8.5 -20.0 3.1 1.0 7.2 -4.2 6.3 -3.0 -1.5 -20.0 -0.1 20.0 20.0 -5.7 7.9 6.8 13.3 BOBL -20.0 7.8 20.0 1.4 -0.7 1.2 -1.3 -0.5 -0.3 -2.6 3.6 -7.2 -1.2 -3.9 3.4 -20.0 -13.1 -20.0 -19.9 3.0 5.5 -5.2 -0.6 -4.3 7.6 0.8 0.2 1.6 -1.4 0.1 -1.2 -20.0 1.6 -9.5 -4.4 0.8 -20.0 -20.0 -0.1 -19.4 BTP -18.9 14.2 20.0 2.3 -1.2 2.0 -2.1 -0.8 -0.4 2.4 9.2 -6.6 8.0 0.7 9.3 4.5 6.8 5.2 5.7 12.7 14.7 -0.9 6.8 2.3 -11.5 3.4 1.3 4.0 -0.2 2.0 0.6 12.6 11.8 -2.7 -0.2 7.7 -16.8 -20.0 12.2 1.3 BUND -20.0 9.6 20.0 1.7 -0.9 1.4 -1.5 -0.5 -0.3 -4.7 4.2 -8.8 -1.5 -4.3 4.0 5.1 4.4 3.5 2.9 4.2 6.7 -6.6 -0.8 -4.7 5.3 1.0 -0.4 1.8 -1.7 0.2 -1.3 7.8 1.9 -10.7 -4.4 1.4 -20.0 -20.0 0.9 -8.8 BUXL -20.0 11.6 20.0 2.0 -1.0 1.7 -1.9 -0.7 -0.4 -9.0 4.7 -11.6 -5.1 -4.6 4.6 -0.2 0.5 0.0 0.3 4.8 6.7 -9.8 -3.9 -6.1 0.9 1.2 -1.6 1.8 -2.5 -0.3 -1.5 2.7 1.2 -12.1 -3.0 2.0 -20.0 -20.0 0.3 7.7 CAC -14.4 2.0 6.4 5.3 5.3 4.9 4.1 3.1 3.6 19.8 13.6 5.8 19.1 1.2 15.0 -8.9 -5.0 -8.5 -7.3 7.5 8.6 15.3 9.9 5.0 -8.5 3.5 18.4 4.0 7.7 3.9 2.5 0.1 10.5 -8.8 -8.3 -10.0 2.2 9.5 8.5 15.8 CAD -18.5 12.3 9.5 3.4 -1.0 5.3 -3.6 4.3 -1.7 4.7 0.1 -15.5 -4.6 -7.7 7.0 -1.7 -2.2 -2.0 -2.1 4.5 4.3 -8.3 -3.4 -5.5 1.8 2.3 0.9 1.9 -3.4 -1.3 -1.9 0.0 5.3 -8.2 4.6 -12.7 -20.0 -16.1 -1.8 -14.3 CANOLA -3.1 -20.0 -20.0 1.0 5.3 -1.2 6.4 -2.4 4.1 -9.1 -10.7 -7.3 -9.1 -10.1 -11.4 -9.5 -1.6 -10.3 -7.7 -19.9 -20.0 -6.4 -17.3 -12.1 -20.0 -4.4 -2.1 -4.9 -1.4 -4.3 -2.6 -1.1 -20.0 -20.0 -20.0 -20.0 -16.5 -14.3 -9.4 -3.0 CHF -20.0 9.9 11.9 2.7 -0.8 4.3 -2.9 3.5 -1.4 -7.3 7.3 -14.5 11.2 -7.0 8.4 -15.3 -15.5 -16.0 -16.0 6.7 10.7 -13.8 8.0 -7.9 -7.3 3.8 -0.7 4.2 -3.1 2.6 -0.5 -20.0 -17.8 -5.8 13.5 15.2 -20.0 -18.6 -17.0 -20.0 COCOA -5.5 -7.0 4.7 1.8 9.7 -2.1 11.6 -4.3 7.5 10.7 20.0 18.1 20.0 19.3 20.0 12.5 2.6 9.7 5.9 20.0 20.0 20.0 20.0 20.0 -20.0 7.9 6.0 10.1 7.7 11.3 7.1 13.5 20.0 8.4 20.0 20.0 20.0 2.6 20.0 20.0 COFFEE -9.0 4.4 20.0 1.2 6.3 -1.4 7.6 -2.8 4.9 10.9 6.2 5.2 0.3 -0.4 7.2 9.2 4.9 8.3 6.4 7.2 8.1 5.6 3.0 3.8 -17.9 2.8 2.7 4.1 1.0 2.5 0.3 16.2 -15.7 -20.0 6.0 20.0 -13.3 -20.0 -11.0 -10.5 COPPER -10.4 2.9 10.8 -4.0 3.7 -2.0 -1.6 -0.7 -4.9 13.1 -1.2 5.7 -3.8 -3.8 5.7 -6.6 -4.8 -6.3 -5.9 1.8 1.1 8.4 -2.7 1.7 -9.4 0.7 7.4 1.0 3.7 -0.8 -0.1 1.1 12.6 12.9 13.5 9.4 -11.1 -6.4 12.1 -3.2 CORN -18.5 -13.8 -8.0 2.0 10.9 -2.4 13.1 -4.9 8.4 -6.6 -20.0 -19.6 -20.0 -20.0 -20.0 -11.9 -3.1 -10.1 -7.8 -20.0 -20.0 -17.9 -20.0 -20.0 -20.0 -8.6 -1.1 -6.6 -3.4 -5.7 -7.8 -2.6 -20.0 -20.0 -20.0 -17.7 -6.0 -16.5 -1.9 2.0 COTTON2 20.0 8.1 -10.7 2.0 10.5 -2.3 12.6 -4.7 8.1 14.0 -10.0 20.0 -7.2 19.3 -3.6 -8.0 -1.6 -7.8 -5.6 7.1 -5.5 20.0 -9.1 20.0 -20.0 4.6 5.0 -0.1 10.1 -0.9 9.8 0.5 8.5 20.0 20.0 -14.8 -15.3 -16.0 -7.0 -0.1 CRUDE_W 7.4 -3.8 -10.3 -0.1 13.8 -1.4 11.4 1.1 6.0 19.8 4.3 17.2 6.3 6.6 -11.3 6.8 9.4 7.4 8.5 -2.1 -0.1 19.4 7.3 7.4 -4.7 -0.6 15.5 0.5 11.6 5.4 5.2 -1.1 -8.5 -11.4 -4.0 7.8 20.0 15.8 20.0 17.5 DAX -11.5 5.8 17.2 5.0 4.9 4.6 3.8 2.9 3.4 19.8 16.9 15.2 18.5 14.2 19.6 -15.2 -10.2 -14.0 -12.2 17.4 17.1 16.8 13.0 11.9 16.9 5.3 8.7 5.1 5.6 3.4 3.6 -8.4 7.7 2.1 -0.3 5.0 1.2 7.1 11.1 20.0 DOW -8.8 20.0 20.0 4.8 4.7 4.4 3.7 2.8 3.2 18.3 19.9 17.1 18.4 20.0 20.0 -12.8 -9.8 -11.9 -11.1 20.0 20.0 15.9 20.0 20.0 -15.1 7.3 3.9 6.6 4.1 4.5 5.3 -7.4 18.2 15.0 20.0 20.0 -9.1 -3.8 -4.5 -7.8 DX 18.9 -6.9 -18.0 2.4 -0.7 3.8 -2.6 3.1 -1.2 12.2 1.1 15.2 -6.5 9.9 -5.4 5.4 6.0 5.8 6.1 -1.9 -3.8 11.2 0.9 7.7 -20.0 -2.1 2.7 -2.1 4.0 0.7 1.8 14.1 20.0 20.0 -10.2 -20.0 18.9 3.1 20.0 9.6 EUR -12.1 4.6 10.4 2.8 -0.8 4.4 -3.0 3.5 -1.4 -15.2 -1.2 -18.2 7.6 -8.6 6.6 -5.6 -6.6 -5.8 -6.1 1.3 3.1 -10.9 -0.0 -6.9 15.2 2.5 -3.9 2.6 -4.3 0.5 -1.4 -7.2 -3.9 2.5 -6.4 0.4 -20.0 -12.0 -19.1 -8.5 EURIBOR-ICE -20.0 10.5 20.0 1.3 -0.7 1.1 -1.2 -0.4 -0.2 -1.0 5.6 -5.5 2.3 -0.3 5.2 3.1 -4.7 0.1 -2.6 7.8 11.0 -3.0 4.5 -0.6 15.5 1.9 0.3 2.6 -0.6 1.1 -0.0 -5.0 3.6 -5.7 2.4 10.2 -20.0 -20.0 7.3 20.0 EUROSTX -10.2 1.4 11.3 5.0 5.0 4.6 3.8 2.9 3.4 20.0 15.5 14.4 19.1 9.6 17.6 11.1 0.6 6.4 2.3 13.4 13.5 20.0 13.0 13.2 2.4 5.0 17.2 5.0 10.3 4.2 5.0 12.5 20.0 7.2 -4.5 1.5 -2.8 9.5 1.3 17.8 FEEDCOW 20.0 10.2 -20.0 1.7 8.9 -2.0 10.7 -4.0 6.9 18.5 -9.3 20.0 -3.1 19.6 -4.2 -20.0 -20.0 -20.0 -20.0 3.8 -13.5 20.0 -6.0 20.0 -4.0 0.5 13.3 -2.5 10.6 1.2 6.7 -20.0 20.0 17.4 15.6 -20.0 16.7 5.8 20.0 15.0 GASOIL 15.2 -0.5 -13.0 -0.1 12.0 -1.2 9.9 0.9 5.2 17.2 4.7 17.6 6.5 11.4 -6.7 20.0 20.0 20.0 20.0 1.0 0.5 20.0 8.0 12.5 8.6 1.0 18.8 1.0 12.5 3.9 6.1 20.0 1.9 -2.2 2.3 3.4 -12.3 -3.6 -20.0 -9.4 GASOLINE 13.5 5.6 -12.7 -0.1 13.8 -1.4 11.5 1.1 6.0 19.7 -1.7 20.0 5.2 17.0 0.6 -20.0 7.7 -20.0 -10.0 4.5 -0.6 20.0 5.1 17.0 -20.0 1.8 15.6 -0.1 12.7 4.4 7.9 -13.7 -0.5 -4.1 5.7 8.2 20.0 12.6 20.0 10.8 GAS_US_mini 9.4 2.9 -6.6 -0.0 7.3 -0.8 6.0 0.6 3.2 -7.3 -9.4 -8.2 -12.0 -4.3 -8.7 20.0 -18.8 10.0 -9.3 -10.7 -14.7 -7.6 -19.3 -7.2 17.2 -2.7 -1.8 -3.7 -1.6 -3.3 -1.2 -20.0 -20.0 -13.0 -6.6 -3.1 -16.7 2.2 -20.0 -1.7 GBP -2.6 8.3 11.7 3.1 -0.9 4.8 -3.3 3.9 -1.6 7.9 2.4 3.4 12.2 7.0 18.0 -0.1 -0.6 -0.3 -0.4 10.8 10.1 0.4 5.9 4.6 2.3 6.6 -0.0 5.4 0.6 2.1 3.5 2.9 10.2 20.0 5.1 5.6 -19.5 -1.2 -15.7 9.2 GOLD_micro -14.9 1.5 10.5 -4.0 3.7 -2.1 -1.7 -0.8 -4.9 -7.6 9.2 -13.3 8.0 -7.7 10.0 -13.9 -14.0 -14.1 -14.3 1.8 6.1 -8.7 5.2 -6.4 -5.2 1.8 -2.3 3.1 -1.5 2.9 -0.7 -14.2 -7.8 13.4 13.6 20.0 -20.0 -20.0 -20.0 -15.4 HEATOIL 15.4 -0.5 -15.7 -0.1 13.2 -1.4 10.9 1.0 5.7 18.6 3.0 19.9 4.7 11.9 -7.5 20.0 20.0 20.0 20.0 -0.1 -1.5 20.0 6.5 12.4 -20.0 2.0 15.3 1.3 11.6 5.4 7.4 20.0 -3.7 2.7 4.8 6.1 14.6 1.6 13.0 -2.8 JGB-SGX-mini -6.6 14.4 14.5 1.2 -0.6 1.1 -1.1 -0.4 -0.2 -4.2 4.3 -4.5 4.5 3.1 6.0 8.1 17.9 11.4 14.0 5.1 4.8 -5.0 2.8 0.4 -3.2 1.6 -2.1 1.3 -2.0 0.3 -0.1 20.0 -6.0 5.4 -3.3 -2.0 -0.8 -20.0 9.3 14.3 JPY -20.0 2.9 20.0 1.5 -0.4 2.3 -1.6 1.9 -0.7 -8.0 -6.7 -10.0 -9.2 -8.7 -3.0 -14.3 -15.9 -15.4 -16.1 -5.1 -5.5 -9.7 -11.4 -9.8 20.0 -1.1 -1.7 -1.7 -3.1 -4.1 -2.7 -20.0 -7.2 -12.0 -1.2 -9.4 -12.0 -20.0 -6.7 -20.0 LEANHOG 20.0 9.2 -1.0 1.6 8.5 -1.9 10.2 -3.8 6.6 17.3 -5.1 18.5 -12.1 15.8 1.0 -20.0 -5.1 -20.0 -19.5 3.5 -7.8 20.0 -15.5 17.0 17.3 5.4 9.5 0.7 9.2 -3.8 8.3 -9.9 9.4 20.0 20.0 7.5 -11.0 -8.2 3.8 11.6 LIVECOW 20.0 0.8 -20.0 1.8 9.7 -2.1 11.6 -4.4 7.5 20.0 -10.2 20.0 -2.9 19.2 -7.6 -20.0 -7.6 -15.8 -11.8 -4.4 -17.3 20.0 -6.6 19.9 -1.2 -2.7 13.3 -4.6 9.8 1.1 4.5 -8.6 13.7 7.3 -3.6 -20.0 11.8 -2.5 17.7 3.7 LUMBER-new -13.9 7.6 15.6 2.0 11.0 -2.3 13.2 -4.1 8.5 20.0 -1.2 2.8 -15.7 -1.4 12.6 -14.9 -14.4 -14.2 -14.3 6.9 5.3 9.1 -3.7 2.6 NaN 4.5 11.5 3.6 6.3 0.3 3.0 -17.8 -15.5 -20.0 10.8 20.0 -10.8 -20.0 -6.8 -20.0 MILK 14.0 -14.4 -20.0 1.6 8.6 -1.9 10.3 -3.9 6.7 9.0 -20.0 -8.9 -19.6 -17.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -2.3 -20.0 -15.9 14.3 -6.9 4.5 -8.6 0.5 -9.2 -3.2 -20.0 -20.0 -11.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP -11.8 6.2 6.4 2.6 -0.8 4.1 -2.8 3.3 -1.3 -4.3 15.2 -8.6 18.0 4.4 14.5 15.3 16.4 15.2 15.3 9.3 14.1 -4.0 20.0 0.5 -20.0 4.1 0.6 6.2 -2.3 9.0 -0.0 20.0 -5.3 9.6 0.3 -0.0 15.9 20.0 20.0 20.0 NASDAQ_micro 6.0 16.1 20.0 3.5 3.4 3.2 2.7 2.0 2.4 11.7 14.7 14.1 14.5 14.4 15.3 -11.9 -9.5 -11.3 -10.6 20.0 20.0 20.0 20.0 20.0 -20.0 5.7 2.6 5.0 4.5 4.6 5.5 -6.6 20.0 20.0 19.4 15.8 16.3 -4.5 20.0 -6.5 NIKKEI 20.0 15.8 10.8 4.5 4.4 4.1 3.4 2.6 3.0 0.1 18.8 15.1 18.9 17.4 19.1 18.1 12.4 15.7 13.4 20.0 20.0 20.0 20.0 20.0 -14.2 6.6 0.1 4.9 4.2 4.3 7.1 20.0 2.2 20.0 20.0 12.6 -13.4 -2.7 -2.5 0.7 NZD -20.0 5.4 17.4 2.3 -0.7 3.6 -2.5 2.9 -1.2 -12.2 3.6 -14.5 1.6 -11.1 6.6 0.2 0.2 0.2 0.2 2.2 5.8 -13.2 0.2 -9.5 0.5 1.2 -2.8 2.6 -4.9 0.7 -3.2 4.1 -18.2 -10.6 -4.0 -0.3 -10.1 -10.5 -5.7 4.9 OAT -20.0 11.2 20.0 1.7 -0.9 1.5 -1.6 -0.6 -0.3 -3.4 5.1 -8.6 -0.8 -3.1 4.9 4.8 6.7 5.0 5.5 6.0 8.5 -5.5 0.7 -3.3 7.2 1.5 -0.0 2.2 -1.3 0.5 -0.9 12.3 4.1 -9.6 -2.7 3.5 -20.0 -20.0 4.3 3.6 OATIES 2.4 0.5 -20.0 0.7 3.8 -0.8 4.5 -1.7 2.9 -4.6 -7.1 -4.0 -5.4 -3.1 -6.6 3.6 -5.9 -1.7 -6.0 -6.0 -7.6 -3.2 -4.9 -3.2 -20.0 -1.6 -1.5 -2.9 -0.2 -2.1 0.1 -4.9 -13.8 -4.2 -1.8 -15.5 -2.3 4.5 5.0 16.5 OJ -16.9 -20.0 -20.0 1.1 5.8 -1.3 7.0 -2.6 4.5 10.7 3.6 -3.9 9.3 -10.0 -9.7 1.5 17.4 8.5 14.1 -13.9 2.7 -1.1 19.8 -13.6 -20.0 -2.2 2.1 2.3 0.3 7.0 -2.4 20.0 -8.1 -18.5 -20.0 8.4 8.7 12.0 17.0 20.0 PALLAD -20.0 9.7 10.9 -1.7 1.6 -0.9 -0.7 -0.3 -2.1 3.7 -6.6 -5.3 -8.0 -6.5 -5.7 -1.6 -2.2 -1.8 -2.0 -7.7 -8.4 -4.3 -11.6 -7.7 7.3 -1.6 0.5 -2.6 -0.3 -3.3 -1.0 6.6 0.6 -0.2 7.3 -9.0 -7.8 -7.2 -3.3 -2.5 PLAT -20.0 0.9 5.5 -2.8 2.6 -1.4 -1.2 -0.5 -3.4 6.9 -4.5 -9.0 -6.5 -9.4 -2.3 -4.0 -3.0 -3.8 -3.5 -5.0 -2.7 -6.0 -3.6 -9.2 12.0 -1.5 2.4 -0.4 -1.5 -0.4 -3.0 4.7 1.9 -4.4 8.0 3.1 -9.1 -6.0 16.7 0.6 REDWHEAT -0.4 -3.5 -7.7 1.6 8.6 -1.9 10.4 -3.9 6.7 11.4 -18.5 4.9 -19.0 -7.1 -12.6 -2.5 -1.6 -3.4 -3.1 -14.0 -20.0 5.0 -20.0 -4.9 -14.1 -4.7 6.9 -9.5 6.3 -10.2 1.3 2.8 -10.2 -8.2 -2.5 -18.3 -20.0 -20.0 -20.0 -16.0 RICE 2.2 2.4 9.3 1.6 8.7 -1.9 10.5 -3.9 6.8 13.9 16.7 10.0 14.4 10.7 15.1 -14.8 -1.3 -14.1 -9.0 13.5 14.6 12.6 11.8 11.3 -20.0 1.8 8.9 3.5 6.2 3.6 2.3 -0.5 -10.0 -20.0 -9.2 12.6 0.5 -8.7 7.9 0.2 ROBUSTA 16.7 20.0 13.2 1.0 5.3 -1.2 6.4 -2.4 4.1 11.0 11.8 11.8 11.7 12.1 12.1 20.0 20.0 20.0 20.0 20.0 20.0 20.0 16.9 20.0 -20.0 4.6 2.7 4.1 3.1 3.3 3.9 20.0 15.3 20.0 20.0 20.0 -13.4 -14.9 -4.7 1.1 RUSSELL -14.3 17.6 19.8 3.0 2.9 2.7 2.2 1.7 2.0 9.3 5.7 -1.4 2.2 1.6 7.1 -6.2 -6.1 -6.3 -6.4 8.8 8.0 2.8 2.4 3.4 -2.2 3.0 1.9 2.5 1.6 1.1 1.9 -0.1 3.9 -7.4 5.5 -2.7 -20.0 -20.0 -20.0 -20.0 SHATZ -20.0 7.1 20.0 1.3 -0.6 1.1 -1.2 -0.4 -0.2 -1.7 1.1 -6.0 -4.4 -3.6 1.7 -20.0 -20.0 -20.0 -20.0 1.0 2.2 -4.1 -3.3 -4.0 8.4 0.8 0.4 1.2 -1.0 -0.5 -0.8 -20.0 1.6 -6.8 -2.3 -0.6 -20.0 -20.0 -7.4 -20.0 SILVER-mini -15.5 -7.7 1.4 -3.5 0.5 -1.7 -3.1 -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 -1.1 7.9 6.1 -2.7 1.7 -20.0 -17.8 8.4 -9.5 SMI -5.9 13.5 8.9 4.9 4.8 4.5 3.7 2.8 3.3 12.2 6.5 8.4 4.5 16.8 19.9 12.2 5.1 10.1 7.1 12.0 7.1 9.8 0.9 9.2 10.9 6.1 9.6 4.2 4.2 0.8 4.3 20.0 0.8 15.2 6.8 -11.2 2.4 -6.3 10.4 -6.5 SOFR -19.6 12.7 20.0 1.8 -0.9 1.5 -1.7 -0.6 -0.3 -5.9 5.0 -8.9 -0.2 -2.4 7.4 2.5 0.1 1.6 0.7 5.5 5.8 -6.0 -0.8 -2.5 -2.3 3.0 -0.4 2.4 -0.4 0.1 1.0 2.4 5.6 5.6 -0.1 1.3 -20.0 -20.0 -7.0 -4.0 SOYBEAN -16.1 -20.0 -8.8 1.9 10.0 -2.2 12.0 -4.5 7.8 -12.6 -5.2 -18.5 2.8 -20.0 -20.0 8.8 16.2 12.3 13.6 -20.0 -17.5 -16.4 -7.3 -20.0 -20.0 -6.6 -5.9 -2.8 -4.7 -0.2 -7.1 20.0 -20.0 -20.0 -20.0 -5.2 -14.7 -20.0 -14.7 -20.0 SOYMEAL -18.1 -20.0 -7.0 1.3 7.2 -1.6 8.7 -3.2 5.6 -12.4 -11.0 -14.7 -2.4 -16.3 -15.2 2.7 14.5 7.9 11.3 -20.0 -13.3 -16.1 -3.1 -20.0 -20.0 -5.2 -3.6 -2.2 -4.1 0.5 -5.8 20.0 -20.0 -20.0 -20.0 -3.4 -20.0 -20.0 -20.0 -19.0 SOYOIL -1.0 -9.6 -19.1 1.3 6.9 -1.5 8.2 -3.1 5.3 -9.7 -11.3 -9.3 -8.8 -13.7 -15.3 -6.6 6.0 -2.1 2.1 -15.3 -17.0 -8.1 -13.1 -10.5 -20.0 -2.8 -3.2 -4.0 -1.4 -3.5 -1.3 14.1 -20.0 -11.0 -9.7 -14.8 -8.4 -2.7 -3.0 7.1 SP400 -8.2 18.8 18.2 3.4 3.3 3.1 2.6 1.9 2.3 9.1 9.1 2.5 6.3 6.1 11.0 -5.4 -5.1 -5.3 -5.3 12.9 11.4 5.0 5.5 7.1 -10.9 3.9 1.9 3.4 1.9 1.9 2.5 1.7 3.1 -4.0 5.7 -0.7 -20.0 -8.7 -20.0 -20.0 SP500_micro 3.0 20.0 20.0 4.6 4.5 4.2 3.5 2.6 3.1 18.6 18.8 19.6 17.4 19.9 20.0 -13.0 -10.6 -12.3 -11.6 20.0 20.0 20.0 20.0 20.0 -20.0 7.3 5.0 6.2 6.0 4.8 6.7 -8.4 20.0 20.0 20.0 15.2 4.1 -4.2 13.8 -6.7 SUGAR11 20.0 -16.0 -20.0 1.1 5.7 -1.3 6.9 -2.6 4.4 6.7 -4.3 11.0 6.5 0.4 -4.8 17.6 19.3 20.0 20.0 -5.0 -6.8 16.8 2.7 9.1 -20.0 -2.4 1.7 -2.1 2.6 1.1 0.6 20.0 -1.4 7.3 -20.0 -16.4 6.3 -5.0 13.4 6.9 US10 -15.9 14.2 20.0 1.5 -0.8 1.2 -1.4 -0.5 -0.3 -6.1 1.5 -7.6 -3.0 -1.1 5.7 -10.0 -7.8 -9.0 -8.4 4.0 2.5 -4.8 -5.1 -1.7 1.8 2.4 -0.6 1.4 -0.3 -1.0 0.9 -12.3 5.1 5.8 0.9 -0.5 -20.0 -20.0 -17.3 7.2 US10U -18.5 13.8 19.4 2.1 -1.1 1.8 -1.9 -0.7 -0.4 -7.9 1.5 -11.2 -4.2 -3.3 7.2 2.6 0.7 2.3 1.5 4.4 2.5 -8.1 -8.0 -4.0 -1.6 3.0 -0.9 1.6 -0.7 -1.6 0.9 3.4 8.6 5.5 0.3 -2.3 -20.0 -20.0 5.0 17.1 US2 -10.4 13.7 20.0 1.2 -0.6 1.0 -1.1 -0.4 -0.2 -5.3 0.4 -6.1 -4.7 1.3 4.8 -20.0 -20.0 -20.0 -20.0 3.8 2.0 -2.6 -5.2 0.1 8.6 2.5 -0.3 1.6 0.1 -0.8 1.3 -20.0 2.1 8.4 2.7 2.9 -18.4 -20.0 -13.2 -20.0 US20 -20.0 16.2 19.8 1.4 -0.7 1.2 -1.3 -0.5 -0.3 -5.4 1.6 -8.0 -2.3 -2.0 4.9 0.1 -1.1 -0.4 -0.8 3.3 2.3 -7.4 -5.2 -3.8 -1.7 1.9 -0.9 1.1 -0.8 -1.1 0.4 -0.4 4.6 1.6 1.8 -0.6 -20.0 -20.0 20.0 20.0 US30 -20.0 11.7 17.4 1.7 -0.9 1.4 -1.5 -0.5 -0.3 -5.5 0.9 -9.3 -3.7 -5.3 4.4 -9.1 -5.0 -7.1 -6.1 1.3 0.9 -8.9 -7.1 -6.3 -1.2 1.6 -0.9 0.8 -1.3 -1.6 -0.2 -7.7 6.4 -0.5 -1.5 -3.5 -15.8 -17.5 20.0 20.0 US5 -14.2 13.7 20.0 1.4 -0.7 1.2 -1.3 -0.5 -0.3 -5.8 2.0 -7.1 -3.3 0.0 5.9 -10.6 -10.2 -10.1 -10.5 4.3 3.0 -4.0 -4.2 -0.9 4.0 2.6 -0.5 1.8 -0.1 -0.6 1.2 -16.4 3.9 7.5 1.6 1.3 -20.0 -20.0 -20.0 -8.2 VIX -1.2 -2.9 -20.0 -6.8 -3.3 -7.8 -5.6 -10.1 -6.3 -10.5 -20.0 -13.8 -20.0 -16.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -10.2 -20.0 -15.6 NaN -8.0 -2.8 -9.2 -5.2 -11.7 -6.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -5.6 1.7 5.0 1.7 9.1 -2.0 10.9 -4.1 7.0 7.2 -18.0 -3.9 -20.0 -6.6 -2.9 -11.2 -10.5 -11.1 -11.0 -8.5 -15.6 -0.2 -20.0 -5.7 -3.2 -1.7 3.4 -5.5 4.3 -9.4 1.2 -11.9 -20.0 -13.2 2.1 -1.7 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3