******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240129_204006 produced at 2024-01-29 21:37:05.206782 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.29 0.0 0.09 -0.09 -0.09 -0.09 -52.96 17.0 -17 -17 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.20 0.0 0.00 0.00 0.00 0.00 -2.38 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 -4.08 24.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -1.59 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 -11.15 12.0 -10 -10 caleb_strategy_v3 CHF False False 0.05 -0.25 -0.08 0.0 0.65 -0.65 -0.25 -0.25 -1.67 13.0 -5 -5 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.16 -0.16 -0.02 -0.02 -21.31 51.0 -6 -6 caleb_strategy_v3 GOLD_micro False False 0.01 -0.09 -0.06 0.0 0.39 -0.39 -0.09 -0.08 -8.06 56.0 -13 -12 caleb_strategy_v3 JPY False False 0.03 -0.09 -0.06 0.0 0.50 -0.50 -0.09 -0.03 -2.02 17.0 -3 -1 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -5.36 5.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.35 -0.05 0.0 0.83 -0.83 -0.35 -0.39 -1.20 19.0 -8 -9 caleb_strategy_v3 US5 False False 0.04 -0.15 -0.04 0.0 0.92 -0.92 -0.15 -0.15 -1.15 25.0 -4 -4 caleb_strategy_v3 CAD False False 0.03 0.00 -0.04 0.0 0.74 -0.74 0.00 0.00 -1.63 29.0 0 0 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.03 0.0 0.43 -0.43 -0.02 -0.02 -1.49 19.0 -1 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 -0.03 0.0 0.05 -0.05 -0.01 -0.01 -16.11 26.0 -4 -4 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.14 -0.14 -0.04 -0.04 -1.70 7.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.08 -0.08 -0.03 -0.03 -2.47 8.0 -3 -3 caleb_strategy_v3 EUR False False 0.05 -0.14 -0.03 0.0 0.65 -0.65 -0.14 -0.14 -0.66 14.0 -3 -3 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.10 -0.10 -0.04 -0.04 -2.71 9.0 -4 -4 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.02 0.0 0.11 -0.11 -0.02 -0.01 -1.81 9.0 -2 -1 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -3.00 3.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -1.10 0.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.04 -0.02 0.0 0.16 -0.16 -0.04 -0.04 -1.05 11.0 -3 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.60 2.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -1.66 10.0 -3 -3 caleb_strategy_v3 NZD False False 0.02 0.00 -0.02 0.0 0.44 -0.44 0.00 0.00 -0.82 21.0 0 0 caleb_strategy_v3 US10 False False 0.04 -0.08 -0.02 0.0 0.65 -0.65 -0.08 -0.08 -0.63 17.0 -2 -2 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.01 0.0 0.19 -0.19 0.00 0.00 -0.15 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.01 0.0 0.23 -0.23 -0.03 -0.01 -4.33 68.0 -10 -4 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.07 -0.07 0.00 0.00 -0.15 2.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.00 0.0 0.51 -0.51 0.00 0.00 0.02 13.0 0 0 caleb_strategy_v3 BUND False False 0.05 -0.05 -0.00 0.0 0.50 -0.50 -0.05 -0.05 -0.00 10.0 -1 -1 caleb_strategy_v3 US20 False False 0.04 0.12 0.00 0.0 0.37 -0.37 0.12 0.12 0.04 9.0 3 3 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.07 4.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.26 -0.26 0.00 0.00 -0.11 6.0 0 0 caleb_strategy_v3 BITCOIN False True 0.00 0.01 0.00 0.0 0.01 0.00 0.01 0.01 1.19 59.0 6 6 caleb_strategy_v3 RICE False False 0.01 0.00 -0.00 0.0 0.05 -0.05 0.00 0.00 -0.16 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 0.03 3.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.00 0.0 0.16 -0.16 -0.01 -0.01 -0.25 18.0 -1 -1 caleb_strategy_v3 LIVECOW False False 0.02 -0.07 -0.00 0.0 0.42 -0.42 -0.07 -0.07 -0.05 17.0 -3 -3 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.11 6.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.03 0.00 0.0 0.20 -0.20 -0.03 0.03 0.14 6.0 -1 1 caleb_strategy_v3 GASOLINE False False 0.04 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.10 4.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.13 0.01 0.0 0.34 -0.34 0.13 0.17 0.35 8.0 3 4 caleb_strategy_v3 PLAT False False 0.02 0.00 0.01 0.0 0.16 -0.16 0.00 0.00 0.41 10.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.65 999999999.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.02 0.0 0.24 -0.24 0.01 0.01 1.57 23.0 1 1 caleb_strategy_v3 BTP False False 0.04 0.00 0.03 0.0 0.44 -0.44 0.00 0.00 0.75 10.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.03 0.0 0.11 -0.11 0.00 0.00 0.90 3.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.05 0.04 0.0 0.41 -0.41 0.05 0.05 2.49 26.0 3 3 caleb_strategy_v3 CAC False True 0.03 0.00 0.04 0.0 0.00 0.00 0.00 0.00 1.38 12.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.23 0.05 0.0 0.28 -0.28 0.23 0.19 4.04 23.0 19 16 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.05 0.0 0.11 -0.11 0.03 0.03 1.62 4.0 1 1 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.05 0.0 0.15 -0.15 0.05 0.05 4.65 13.0 4 4 caleb_strategy_v3 OAT False False 0.05 0.00 0.05 0.0 0.48 -0.48 0.00 0.00 0.94 10.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.06 0.0 0.41 -0.41 0.03 0.03 7.37 48.0 3 3 caleb_strategy_v3 DOW False False 0.01 0.05 0.06 0.0 0.43 -0.43 0.05 0.07 8.53 66.0 7 10 caleb_strategy_v3 GBP False False 0.03 0.11 0.06 0.0 0.60 -0.60 0.11 0.11 2.30 22.0 4 4 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.09 0.0 0.13 -0.13 0.05 0.05 3.68 5.0 2 2 caleb_strategy_v3 EUROSTX False False 0.02 0.24 0.11 0.0 0.35 -0.35 0.24 0.29 6.27 20.0 14 17 caleb_strategy_v3 DAX False False 0.01 0.00 0.12 0.0 0.37 -0.37 0.00 0.00 18.74 58.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.36 0.12 0.0 0.41 -0.41 0.36 0.41 2.72 9.0 8 9 caleb_strategy_v3 NIKKEI False False 0.01 0.30 0.29 0.0 0.30 -0.30 0.30 0.29 34.99 36.0 36 35 caleb_strategy_v3 MXP False False 0.01 0.46 0.36 0.0 0.59 -0.59 0.46 0.46 36.36 60.0 47 47 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.41 0.51 0.0 0.54 -0.54 0.41 0.41 15.06 16.0 12 12 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.09 0.59 0.0 0.91 -0.91 0.09 0.00 6.49 10.0 1 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 22.2 Shocked risk 65.8 Sum abs risk 51.2 Leverage 4.48 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2927765.22, 'annual_cash_vol_target': 731941.305, 'daily_cash_vol_target': 45746.3315625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0039 0.6617 0.5822 9.3159 BITCOIN 1207.6414 43515.0000 2.7752 44.4037 BOBL 0.2679 118.1700 0.2267 3.6274 BTP 0.6060 118.8700 0.5098 8.1565 BUND 0.5349 135.1800 0.3957 6.3307 BUXL 1.2526 135.9600 0.9213 14.7405 CAC 59.1932 7664.0000 0.7724 12.3577 CAD 0.0028 0.7454 0.3696 5.9134 CANOLA 7.0371 613.2000 1.1476 18.3617 CHF 0.0051 1.1660 0.4410 7.0565 COCOA 59.2167 4601.0000 1.2870 20.5926 COFFEE 3.7648 186.8000 2.0154 32.2467 COPPER 0.0407 3.8850 1.0480 16.7685 CORN 3.9909 474.0000 0.8420 13.4714 COTTON2 0.9484 85.5300 1.1089 17.7423 CRUDE_W 1.0547 73.7500 1.4301 22.8815 DAX 113.3370 17067.0000 0.6641 10.6251 DOW 186.8403 38372.0000 0.4869 7.7907 DX 0.3808 103.3350 0.3685 5.8962 EUR 0.0045 1.0849 0.4189 6.7027 EURIBOR-ICE 0.0530 97.8900 0.0542 0.8670 EUROSTX 36.6460 4671.0000 0.7845 12.5527 FEEDCOW 1.8330 250.0000 0.7332 11.7311 GASOIL 13.4355 813.7500 1.6511 26.4170 GASOLINE 0.0393 2.4999 1.5726 25.1616 GAS_US_mini 0.0962 2.0900 4.6024 73.6385 GBP 0.0057 1.2708 0.4521 7.2343 GOLD_micro 13.5794 2048.1000 0.6630 10.6084 HEATOIL 0.0398 2.6577 1.4993 23.9894 JGB-SGX-mini 0.2880 146.4400 0.1967 3.1469 JPY 0.0000 0.0068 0.6264 10.0218 LEANHOG 1.1428 83.4250 1.3699 21.9186 LIVECOW 1.2035 181.1500 0.6644 10.6298 LUMBER-new 7.2680 590.0000 1.2319 19.7098 MILK 0.1829 16.8900 1.0826 17.3219 MXP 0.0004 0.0576 0.6764 10.8223 NASDAQ_micro 125.3704 17673.0000 0.7094 11.3502 NIKKEI 305.9246 36070.0000 0.8481 13.5703 NZD 0.0037 0.6129 0.6113 9.7811 OAT 0.5454 129.8900 0.4199 6.7184 OATIES 6.9205 357.7500 1.9345 30.9512 OJ 6.7864 333.5500 2.0346 32.5535 PALLAD 25.5710 987.5000 2.5895 41.4315 PLAT 14.6985 939.4000 1.5647 25.0348 REDWHEAT 9.7740 617.7500 1.5822 25.3151 RICE 0.1656 18.2700 0.9065 14.5046 ROBUSTA 44.5708 3115.0000 1.4308 22.8935 RUSSELL 21.7284 2014.5000 1.0786 17.2576 SHATZ 0.0937 106.0800 0.0883 1.4132 SILVER-mini 0.3349 23.1000 1.4496 23.1932 SMI 75.1486 11378.0000 0.6605 10.5676 SOFR 0.0635 96.6350 0.0658 1.0521 SOYBEAN 9.2964 1178.2500 0.7890 12.6241 SOYMEAL 4.5478 352.8000 1.2891 20.6248 SOYOIL 0.6793 46.1300 1.4725 23.5600 SP400 22.9917 2793.3000 0.8231 13.1696 SP500_micro 26.9944 4942.2500 0.5462 8.7391 SUGAR11 0.3764 22.7300 1.6558 26.4925 US10 0.3961 111.6406 0.3548 5.6767 US10U 0.5380 115.9062 0.4642 7.4267 US2 0.1189 102.6680 0.1158 1.8528 US20 0.8133 120.8438 0.6730 10.7677 US30 1.2056 127.2188 0.9477 15.1632 US5 0.2669 107.9922 0.2471 3.9536 VIX 0.4265 15.8500 2.6905 43.0487 WHEAT 8.3634 636.0000 1.3150 21.0399 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 661.70 0.58 385.27 1.00 385.27 45746.33 118.74 -4.85 -57.53 BITCOIN 43.52 2.78 120.76 1.00 120.76 45746.33 378.81 0.29 10.95 BOBL 1181.70 0.23 267.91 1.08 290.09 45746.33 157.70 -7.52 -118.54 BTP 1188.70 0.51 605.98 1.08 656.15 45746.33 69.72 3.15 21.96 BUND 1351.80 0.40 534.86 1.08 579.15 45746.33 78.99 -0.03 -0.25 BUXL 1359.60 0.92 1252.57 1.08 1356.28 45746.33 33.73 -2.06 -6.96 CAC 766.40 0.77 591.93 1.08 640.94 45746.33 71.37 5.68 40.52 CAD 745.40 0.37 275.49 1.00 275.49 45746.33 166.05 -3.77 -62.67 CANOLA 122.64 1.15 140.74 0.74 104.44 45746.33 438.00 -20.00 -876.01 CHF 1457.56 0.44 642.83 1.00 642.83 45746.33 71.16 -9.04 -64.35 COCOA 460.10 1.29 592.17 1.00 592.17 45746.33 77.25 15.06 116.38 COFFEE 700.50 2.02 1411.80 1.00 1411.80 45746.33 32.40 -2.81 -9.09 COPPER 971.25 1.05 1017.90 1.00 1017.90 45746.33 44.94 0.28 1.28 CORN 237.00 0.84 199.55 1.00 199.55 45746.33 229.25 -20.00 -458.51 COTTON2 427.65 1.11 474.22 1.00 474.22 45746.33 96.47 -5.10 -49.23 CRUDE_W 737.50 1.43 1054.70 1.00 1054.70 45746.33 43.37 7.83 33.95 DAX 170.67 0.66 113.34 1.08 122.72 45746.33 372.77 14.74 549.29 DOW 191.86 0.49 93.42 1.00 93.42 45746.33 489.68 7.50 367.09 DX 1033.35 0.37 380.80 1.00 380.80 45746.33 120.13 2.10 25.21 EUR 1356.06 0.42 568.08 1.00 568.08 45746.33 80.53 -3.17 -25.55 EURIBOR-ICE 2447.25 0.05 132.61 1.08 143.59 45746.33 318.59 5.98 190.42 EUROSTX 467.10 0.78 366.46 1.08 396.80 45746.33 115.29 15.95 183.86 FEEDCOW 1250.00 0.73 916.50 1.00 916.50 45746.33 49.91 2.09 10.42 GASOIL 813.75 1.65 1343.55 1.00 1343.55 45746.33 34.05 10.99 37.41 GASOLINE 1049.96 1.57 1651.17 1.00 1651.17 45746.33 27.71 0.83 2.29 GAS_US_mini 52.25 4.60 240.48 1.00 240.48 45746.33 190.23 -7.82 -148.75 GBP 794.25 0.45 359.11 1.00 359.11 45746.33 127.39 6.95 88.50 GOLD_micro 204.81 0.66 135.79 1.00 135.79 45746.33 336.88 -7.02 -236.43 HEATOIL 1116.23 1.50 1673.61 1.00 1673.61 45746.33 27.33 7.63 20.85 JGB-SGX-mini 146440.00 0.20 28802.36 0.01 194.91 45746.33 234.71 5.93 139.07 JPY 854.00 0.63 534.91 1.00 534.91 45746.33 85.52 -9.10 -77.83 LEANHOG 333.70 1.37 457.14 1.00 457.14 45746.33 100.07 7.65 76.55 LIVECOW 724.60 0.66 481.40 1.00 481.40 45746.33 95.03 -0.15 -1.45 LUMBER-new 162.25 1.23 199.87 1.00 199.87 45746.33 228.88 -6.12 -140.16 MILK 337.80 1.08 365.71 1.00 365.71 45746.33 125.09 -20.00 -250.18 MXP 288.15 0.68 194.90 1.00 194.90 45746.33 234.71 10.55 247.71 NASDAQ_micro 353.46 0.71 250.74 1.00 250.74 45746.33 182.44 9.53 173.94 NIKKEI 36070.00 0.85 30592.46 0.01 207.02 45746.33 220.97 14.62 323.14 NZD 612.90 0.61 374.68 1.00 374.68 45746.33 122.10 -2.60 -31.73 OAT 1298.90 0.42 545.40 1.08 590.56 45746.33 77.46 3.56 27.60 OATIES 178.88 1.93 346.02 1.00 346.02 45746.33 132.21 -11.18 -147.86 OJ 500.32 2.03 1017.96 1.00 1017.96 45746.33 44.94 0.34 1.51 PALLAD 987.50 2.59 2557.10 1.00 2557.10 45746.33 17.89 -2.51 -4.49 PLAT 469.70 1.56 734.93 1.00 734.93 45746.33 62.25 1.92 11.92 REDWHEAT 308.88 1.58 488.70 1.00 488.70 45746.33 93.61 -19.93 -186.57 RICE 365.40 0.91 331.25 1.00 331.25 45746.33 138.10 -0.49 -6.74 ROBUSTA 311.50 1.43 445.71 1.00 445.71 45746.33 102.64 13.13 134.80 RUSSELL 100.72 1.08 108.64 1.00 108.64 45746.33 421.07 -3.11 -130.78 SHATZ 1060.80 0.09 93.69 1.08 101.45 45746.33 450.92 -8.92 -402.16 SILVER-mini 577.50 1.45 837.13 1.00 837.13 45746.33 54.65 -5.88 -32.13 SMI 1137.80 0.66 751.49 1.15 865.94 45746.33 52.83 15.09 79.74 SOFR 2415.88 0.07 158.86 1.00 158.86 45746.33 287.97 -1.36 -39.14 SOYBEAN 589.12 0.79 464.82 1.00 464.82 45746.33 98.42 -18.62 -183.29 SOYMEAL 352.80 1.29 454.78 1.00 454.78 45746.33 100.59 -19.33 -194.42 SOYOIL 276.78 1.47 407.56 1.00 407.56 45746.33 112.24 -15.93 -178.77 SP400 2793.30 0.82 2299.17 1.00 2299.17 45746.33 19.90 -2.32 -4.62 SP500_micro 247.11 0.55 134.97 1.00 134.97 45746.33 338.93 9.35 316.99 SUGAR11 254.58 1.66 421.52 1.00 421.52 45746.33 108.53 -1.07 -11.56 US10 1116.41 0.35 396.09 1.00 396.09 45746.33 115.49 -4.28 -49.45 US10U 1159.06 0.46 538.00 1.00 538.00 45746.33 85.03 0.23 1.93 US2 2053.36 0.12 237.77 1.00 237.77 45746.33 192.39 -6.52 -125.50 US20 1208.44 0.67 813.26 1.00 813.26 45746.33 56.25 0.52 2.93 US30 1272.19 0.95 1205.65 1.00 1205.65 45746.33 37.94 -2.25 -8.55 US5 1079.92 0.25 266.85 1.00 266.85 45746.33 171.43 -5.30 -90.89 VIX 158.50 2.69 426.45 1.00 426.45 45746.33 107.27 -20.00 -214.54 WHEAT 318.00 1.31 418.17 1.00 418.17 45746.33 109.40 -18.70 -204.53 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -57.533 0.010 2.5 -1.493 BITCOIN 10.946 0.043 2.5 1.185 BOBL -118.540 0.004 2.5 -1.202 BTP 21.959 0.014 2.5 0.749 BUND -0.255 0.004 2.5 -0.003 BUXL -6.956 0.004 2.5 -0.071 CAC 40.519 0.014 2.5 1.382 CAD -62.669 0.010 2.5 -1.626 CANOLA -876.005 0.010 2.5 -21.312 CHF -64.349 0.010 2.5 -1.670 COCOA 116.377 0.009 2.5 2.493 COFFEE -9.094 0.005 2.5 -0.106 COPPER 1.280 0.043 2.5 0.139 CORN -458.506 0.010 2.5 -11.155 COTTON2 -49.226 0.009 2.5 -1.054 CRUDE_W 33.950 0.043 2.5 3.676 DAX 549.290 0.014 2.5 18.736 DOW 367.088 0.009 2.5 8.531 DX 25.206 0.010 2.5 0.654 EUR -25.555 0.010 2.5 -0.663 EURIBOR-ICE 190.416 0.014 2.5 6.495 EUROSTX 183.857 0.014 2.5 6.271 FEEDCOW 10.417 0.013 2.5 0.345 GASOIL 37.413 0.017 2.5 1.622 GASOLINE 2.291 0.017 2.5 0.099 GAS_US_mini -148.753 0.043 2.5 -16.108 GBP 88.503 0.010 2.5 2.296 GOLD_micro -236.429 0.014 2.5 -8.064 HEATOIL 20.853 0.017 2.5 0.904 JGB-SGX-mini 139.067 0.043 2.5 15.059 JPY -77.826 0.010 2.5 -2.019 LEANHOG 76.546 0.024 2.5 4.652 LIVECOW -1.447 0.013 2.5 -0.048 LUMBER-new -140.155 0.009 2.5 -2.995 MILK -250.179 0.009 2.5 -5.358 MXP 247.709 0.059 2.5 36.357 NASDAQ_micro 173.936 0.009 2.5 4.042 NIKKEI 323.142 0.043 2.5 34.992 NZD -31.729 0.010 2.5 -0.823 OAT 27.599 0.014 2.5 0.941 OATIES -147.855 0.010 2.5 -3.597 OJ 1.512 0.009 2.5 0.032 PALLAD -4.492 0.014 2.5 -0.153 PLAT 11.924 0.014 2.5 0.407 REDWHEAT -186.571 0.005 2.5 -2.475 RICE -6.736 0.010 2.5 -0.164 ROBUSTA 134.801 0.005 2.5 1.574 RUSSELL -130.777 0.013 2.5 -4.334 SHATZ -402.155 0.004 2.5 -4.078 SILVER-mini -32.130 0.014 2.5 -1.096 SMI 79.742 0.014 2.5 2.720 SOFR -39.144 0.024 2.5 -2.379 SOYBEAN -183.291 0.004 2.5 -1.705 SOYMEAL -194.419 0.004 2.5 -1.808 SOYOIL -178.774 0.004 2.5 -1.664 SP400 -4.619 0.013 2.5 -0.153 SP500_micro 316.994 0.009 2.5 7.367 SUGAR11 -11.561 0.009 2.5 -0.246 US10 -49.446 0.005 2.5 -0.627 US10U 1.931 0.005 2.5 0.024 US2 -125.498 0.005 2.5 -1.590 US20 2.928 0.005 2.5 0.037 US30 -8.553 0.005 2.5 -0.108 US5 -90.887 0.005 2.5 -1.152 VIX -214.544 0.099 2.5 -52.959 WHEAT -204.527 0.005 2.5 -2.713 ===================== Position diags ===================== AUD 3.08 BITCOIN 41.02 BOBL 1.60 BTP 2.38 BUND 0.80 BUXL 0.34 CAC 2.43 CAD 4.31 CANOLA 10.66 CHF 1.85 COCOA 1.65 COFFEE 0.38 COPPER 4.87 CORN 5.58 COTTON2 2.07 CRUDE_W 4.70 DAX 12.71 DOW 11.38 DX 3.12 EUR 2.09 EURIBOR-ICE 10.87 EUROSTX 3.93 FEEDCOW 1.65 GASOIL 1.48 GASOLINE 1.20 GAS_US_mini 20.60 GBP 3.31 GOLD_micro 11.49 HEATOIL 1.18 JGB-SGX-mini 25.42 JPY 2.22 LEANHOG 6.08 LIVECOW 3.15 LUMBER-new 4.89 MILK 2.68 MXP 34.45 NASDAQ_micro 4.24 NIKKEI 23.93 NZD 3.17 OAT 2.64 OATIES 3.22 OJ 0.96 PALLAD 0.61 PLAT 2.12 REDWHEAT 1.24 RICE 3.36 ROBUSTA 1.20 RUSSELL 13.95 SHATZ 4.57 SILVER-mini 1.86 SMI 1.80 SOFR 17.50 SOYBEAN 0.92 SOYMEAL 0.94 SOYOIL 1.04 SP400 0.66 SP500_micro 7.88 SUGAR11 2.31 US10 1.46 US10U 1.08 US2 2.44 US20 0.71 US30 0.48 US5 2.17 VIX 26.48 WHEAT 1.45 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.5 -1.8 -1.2 -1.0 -1 BITCOIN 1.2 -2.9 5.3 6.0 6 BOBL -1.2 -1.4 -1.0 -8.0 -8 BTP 0.7 0.5 1.0 0.0 0 BUND -0.0 -0.1 0.1 -1.0 -1 BUXL -0.1 -0.1 -0.0 0.0 0 CAC 1.4 1.1 1.6 0.0 0 CAD -1.6 -2.1 -1.2 0.0 0 CANOLA -21.3 -22.4 -20.2 -6.0 -6 CHF -1.7 -1.9 -1.5 -5.0 -5 COCOA 2.5 2.3 2.7 3.0 3 COFFEE -0.1 -0.1 -0.1 0.0 0 COPPER 0.1 -0.3 0.6 -1.0 -1 CORN -11.2 -11.7 -10.6 -10.0 -10 COTTON2 -1.1 -1.3 -0.8 -3.0 -3 CRUDE_W 3.7 3.2 4.1 2.0 2 DAX 18.7 17.5 20.0 0.0 0 DOW 8.5 7.4 9.7 7.0 7 DX 0.7 0.3 1.0 NaN 0 EUR -0.7 -0.9 -0.5 -3.0 -3 EURIBOR-ICE 6.5 5.4 7.6 1.0 1 EUROSTX 6.3 5.9 6.7 14.0 14 FEEDCOW 0.3 0.2 0.5 3.0 3 GASOIL 1.6 1.5 1.8 1.0 1 GASOLINE 0.1 -0.0 0.2 0.0 0 GAS_US_mini -16.1 -18.2 -14.0 -4.0 -4 GBP 2.3 2.0 2.6 4.0 4 GOLD_micro -8.1 -9.2 -6.9 -13.0 -13 HEATOIL 0.9 0.8 1.0 0.0 0 JGB-SGX-mini 15.1 12.5 17.6 12.0 12 JPY -2.0 -2.2 -1.8 -3.0 -3 LEANHOG 4.7 4.0 5.3 4.0 4 LIVECOW -0.0 -0.4 0.3 -3.0 -3 LUMBER-new -3.0 -3.5 -2.5 NaN 0 MILK -5.4 -5.6 -5.1 NaN 0 MXP 36.4 32.9 39.8 47.0 47 NASDAQ_micro 4.0 3.6 4.5 19.0 19 NIKKEI 35.0 32.6 37.4 36.0 36 NZD -0.8 -1.1 -0.5 0.0 0 OAT 0.9 0.7 1.2 0.0 0 OATIES -3.6 -3.9 -3.3 NaN 0 OJ 0.0 -0.1 0.1 NaN 0 PALLAD -0.2 -0.2 -0.1 0.0 0 PLAT 0.4 0.2 0.6 0.0 0 REDWHEAT -2.5 -2.6 -2.4 -3.0 -3 RICE -0.2 -0.5 0.2 NaN 0 ROBUSTA 1.6 1.5 1.7 1.0 1 RUSSELL -4.3 -5.7 -2.9 -10.0 -10 SHATZ -4.1 -4.5 -3.6 NaN 0 SILVER-mini -1.1 -1.3 -0.9 NaN 0 SMI 2.7 2.5 2.9 8.0 8 SOFR -2.4 -4.1 -0.6 NaN 0 SOYBEAN -1.7 -1.8 -1.6 -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 7.4 6.6 8.2 3.0 3 SUGAR11 -0.2 -0.5 -0.0 -1.0 -1 US10 -0.6 -0.8 -0.5 -2.0 -2 US10U 0.0 -0.1 0.1 0.0 0 US2 -1.6 -1.8 -1.3 NaN 0 US20 0.0 -0.0 0.1 3.0 3 US30 -0.1 -0.2 -0.1 0.0 0 US5 -1.2 -1.4 -0.9 -4.0 -4 VIX -53.0 -55.6 -50.3 -17.0 -17 WHEAT -2.7 -2.9 -2.6 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 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 0.1 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 -0.0 -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 0.5 -0.0 0.1 -0.1 -0.0 -0.0 -0.1 0.1 0.4 -0.1 0.6 -0.1 0.1 -0.1 -0.1 -0.2 -0.1 0.1 0.2 -0.0 0.4 -0.1 -2.7 0.0 0.0 0.2 -0.0 0.2 -0.0 -0.1 -0.4 0.1 0.6 0.6 -0.2 0.3 0.2 0.4 BOBL -0.6 0.2 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 0.1 -0.2 -0.2 0.0 -0.7 -0.7 0.0 -0.7 BTP -0.6 0.4 0.6 0.0 0.0 0.1 -0.0 -0.0 -0.0 0.1 0.3 -0.0 0.3 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.0 0.2 0.0 -1.6 0.0 0.0 0.1 0.0 0.1 0.0 0.7 0.3 0.0 0.0 0.3 -0.6 -0.7 0.4 0.0 BUND -0.6 0.2 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 0.1 0.1 0.1 0.1 0.0 0.1 -0.0 -0.0 -0.0 0.7 0.0 0.0 0.0 -0.0 0.0 -0.0 0.4 0.1 -0.3 -0.2 0.0 -0.7 -0.7 0.0 -0.3 BUXL -0.6 0.3 0.6 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.1 -0.2 -0.1 0.0 -0.0 0.0 0.0 0.0 0.0 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 -0.3 -0.1 0.1 -0.7 -0.7 0.0 0.2 CAC -0.3 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.0 0.2 0.4 0.1 0.7 0.1 0.2 -0.2 -0.1 -0.2 -0.1 0.1 0.1 0.2 0.3 0.1 -1.1 0.0 0.2 0.1 0.1 0.1 0.0 0.0 0.4 -0.1 -0.2 -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 0.1 0.0 -0.1 -0.2 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.1 -0.0 0.2 0.0 0.0 0.1 -0.0 -0.0 -0.0 0.0 0.2 -0.2 0.1 -0.4 -0.7 -0.5 -0.1 -0.5 CANOLA 0.0 -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 -0.4 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.5 -0.6 -0.6 -0.6 -0.6 -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 0.0 0.2 -0.1 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 -0.3 -0.3 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 0.0 0.3 0.1 0.4 0.1 0.7 0.4 0.2 0.6 0.6 0.7 0.1 0.7 0.7 COFFEE -0.2 0.1 0.6 0.0 0.0 -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 -0.3 -0.6 0.1 0.6 -0.4 -0.7 -0.4 -0.4 COPPER -0.2 0.1 0.4 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.1 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 -0.1 0.0 -1.3 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 0.4 0.4 0.4 0.3 -0.4 -0.2 0.4 -0.1 CORN -0.6 -0.5 -0.3 0.0 0.1 -0.1 0.1 -0.2 0.1 -0.2 -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 0.1 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 0.3 -0.1 -0.3 0.0 0.1 -0.0 0.1 0.0 0.1 0.1 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 -0.2 0.2 0.7 0.5 0.7 0.6 DAX -0.3 0.2 0.6 0.1 0.1 0.1 0.1 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 0.2 2.3 0.1 0.1 0.1 0.1 0.1 0.0 -0.5 0.1 0.1 -0.0 0.2 0.0 0.2 0.4 0.7 DOW -0.2 0.6 0.6 0.1 0.1 0.1 0.1 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 0.2 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 -0.1 -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 0.1 0.3 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.2 -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 2.1 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.4 -0.3 -0.0 -0.2 0.0 -0.7 -0.4 -0.7 -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 -0.0 0.1 -0.0 0.1 0.1 -0.1 0.0 -0.0 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 -0.1 0.1 0.3 -0.7 -0.7 0.2 0.7 EUROSTX -0.2 0.0 0.4 0.1 0.1 0.1 0.1 0.1 0.0 0.2 0.4 0.2 0.7 0.1 0.2 0.2 0.0 0.1 0.0 0.2 0.2 0.2 0.4 0.2 0.3 0.1 0.1 0.1 0.1 0.1 0.1 0.7 0.5 0.4 -0.1 0.1 -0.1 0.3 0.0 0.6 FEEDCOW 0.6 0.4 -0.6 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 -0.2 0.2 -0.1 0.2 -0.0 -0.4 -0.4 -0.4 -0.4 0.1 -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 0.6 -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 0.1 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 0.2 1.1 0.0 0.1 0.0 0.1 0.1 0.1 1.1 0.2 0.1 0.1 0.1 -0.4 -0.1 -0.7 -0.3 GASOLINE 0.5 0.2 -0.4 0.0 0.1 -0.0 0.1 0.0 0.1 0.1 -0.0 0.2 0.2 0.2 0.0 -0.4 0.2 -0.4 -0.2 0.1 0.0 0.2 0.1 0.2 -2.7 0.0 0.1 0.0 0.1 0.2 0.1 -0.7 -0.1 -0.2 0.2 0.3 0.7 0.4 0.7 0.4 GAS_US_mini 0.2 0.1 -0.4 0.0 0.0 -0.0 0.1 0.0 0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.4 -0.4 0.2 -0.2 -0.1 -0.2 -0.1 -0.5 -0.1 2.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.5 -0.6 -0.2 -0.2 -0.5 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 0.2 0.0 0.1 0.0 0.2 0.1 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 -0.0 0.1 0.3 -0.1 0.3 -0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.0 0.1 -0.0 0.1 -0.1 -0.7 0.0 0.0 0.1 0.0 0.1 -0.0 -0.8 -0.2 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 0.1 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 0.2 -2.7 0.0 0.1 0.0 0.1 0.2 0.1 1.1 -0.0 0.1 0.2 0.2 0.5 0.1 0.4 -0.1 JGB-SGX-mini -0.3 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 -0.2 0.1 -0.1 -0.1 -0.0 -0.7 0.3 0.5 JPY -0.6 0.0 0.5 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.0 -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 -0.2 -0.0 -1.1 -0.2 -0.4 -0.1 -0.3 -0.4 -0.7 -0.2 -0.7 LEANHOG 0.6 0.3 -0.0 0.0 0.1 -0.0 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 0.1 -0.1 0.2 -0.4 0.2 2.3 0.1 0.1 0.0 0.1 -0.1 0.1 -0.6 0.4 0.6 0.6 0.3 -0.4 -0.3 0.1 0.4 LIVECOW 0.6 0.1 -0.6 0.0 0.1 -0.0 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 0.1 -0.5 0.5 0.3 -0.0 -0.6 0.4 -0.1 0.6 0.1 LUMBER-new -0.5 0.3 0.6 0.0 0.1 -0.1 0.1 -0.2 0.1 0.2 -0.0 0.1 -0.6 0.0 0.2 -0.3 -0.3 -0.3 -0.3 0.1 0.1 0.1 -0.1 0.1 NaN 0.1 0.1 0.1 0.1 0.0 0.1 -1.1 -0.1 -0.7 0.5 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 0.7 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 -0.3 0.3 0.1 0.0 0.5 0.7 0.7 0.7 NASDAQ_micro 0.3 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 0.4 0.1 0.1 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 -0.3 0.6 0.6 0.4 -0.5 -0.1 -0.1 0.0 NZD -0.6 0.1 0.6 0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 -0.1 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 -0.0 0.0 -0.0 0.2 -0.5 -0.3 -0.2 -0.0 -0.3 -0.3 -0.2 0.2 OAT -0.6 0.3 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 0.1 0.1 0.1 0.1 0.1 -0.0 0.0 -0.0 0.9 0.0 0.0 0.1 -0.0 0.0 -0.0 0.7 0.1 -0.2 -0.1 0.1 -0.7 -0.7 0.2 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 -0.2 -0.3 -0.2 -0.1 -0.5 -0.1 0.1 0.2 0.5 OJ -0.3 -0.6 -0.6 0.0 0.0 -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 0.1 0.5 -0.1 -2.7 -0.0 0.1 0.1 0.0 0.3 -0.0 1.1 0.2 -0.4 -0.6 0.2 0.3 0.4 0.5 0.7 PALLAD -0.6 -0.1 0.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 -0.0 -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 0.1 0.0 0.3 -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 -0.0 -0.0 -0.0 -0.1 -0.1 1.6 -0.0 0.1 -0.0 0.0 -0.0 -0.0 0.3 0.2 -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 -0.0 0.1 -0.1 0.1 0.0 -0.5 0.0 -0.7 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.2 0.0 -0.5 -0.1 -1.9 -0.0 0.0 -0.3 0.0 -0.4 0.0 0.2 -0.3 -0.4 -0.2 -0.6 -0.7 -0.7 -0.7 -0.5 RICE 0.1 0.1 0.3 0.0 0.1 -0.0 0.1 -0.1 0.1 0.2 0.5 0.2 0.5 0.1 0.2 -0.3 -0.0 -0.3 -0.2 0.2 0.2 0.2 0.3 0.2 -2.7 0.0 0.1 0.1 0.1 0.1 0.0 -0.0 -0.1 -0.6 -0.2 0.4 0.0 -0.3 0.3 0.0 ROBUSTA 0.6 0.6 0.5 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 0.1 0.0 0.1 0.0 0.1 0.0 1.1 0.4 0.6 0.6 0.6 -0.5 -0.5 -0.2 0.0 RUSSELL -0.4 0.5 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 0.1 0.1 0.1 -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 -0.0 -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 -0.1 -0.0 -0.7 -0.7 -0.3 -0.7 SILVER-mini -0.4 -0.3 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 0.7 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 0.2 -0.1 0.1 -0.7 -0.6 0.3 -0.3 SMI -0.1 0.4 0.3 0.1 0.1 0.1 0.1 0.1 0.0 0.2 0.2 0.1 0.2 0.2 0.2 0.2 0.1 0.2 0.1 0.1 0.1 0.2 0.0 0.1 1.4 0.1 0.1 0.1 0.1 0.0 0.1 1.1 0.1 0.6 0.2 -0.3 0.1 -0.2 0.4 -0.2 SOFR -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 0.0 0.0 0.0 0.1 0.1 -0.0 -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 -0.2 -0.2 -0.2 0.1 -0.2 -0.2 0.2 0.3 0.2 0.3 -0.2 -0.2 -0.2 -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 -0.5 -0.6 -0.3 0.0 0.0 -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 0.0 -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 -0.1 -0.1 -0.0 -0.1 -0.0 0.7 -0.5 -0.5 -0.4 -0.5 -0.3 -0.1 -0.1 0.2 SP400 -0.2 0.6 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.3 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.1 -1.5 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.0 -0.1 0.1 -0.0 -0.7 -0.3 -0.7 -0.7 SP500_micro 0.2 0.6 0.6 0.1 0.1 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 -0.5 0.5 0.6 0.6 0.5 0.1 -0.1 0.5 -0.2 SUGAR11 0.6 -0.4 -0.6 0.0 0.0 -0.0 0.1 -0.1 0.0 0.0 -0.1 0.1 0.2 0.0 -0.0 0.4 0.4 0.4 0.4 -0.0 -0.1 0.1 0.1 0.1 -2.7 -0.0 -0.0 -0.1 0.0 0.0 0.0 1.1 -0.1 0.2 -0.6 -0.6 0.2 -0.2 0.5 0.2 US10 -0.5 0.4 0.6 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.0 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 0.1 -0.0 -0.0 -0.0 0.0 0.0 -0.1 -0.2 -0.0 0.1 0.1 0.0 0.0 0.0 0.0 0.0 -0.0 -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 1.2 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 -0.1 0.2 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 -0.0 -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 0.3 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 -0.0 -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 -0.4 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 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.0 -0.0 -0.1 -0.0 0.5 0.0 0.0 0.1 0.0 -0.0 0.0 -0.9 0.0 0.2 0.1 0.0 -0.7 -0.7 -0.7 -0.3 VIX -0.1 -0.1 -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 -0.0 0.1 -0.1 0.1 -0.0 -0.5 -0.1 -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 -0.2 0.0 -0.3 0.0 -0.6 -0.5 -0.5 -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 4.5 16.6 2.7 1.5 4.2 -1.6 3.4 -1.0 8.1 0.5 -13.9 -7.5 -13.8 3.9 -2.5 -2.8 -2.5 -2.7 0.4 3.5 -9.2 -3.2 -9.6 2.8 0.7 0.8 1.9 -3.4 -0.6 -3.3 -1.1 -6.5 -13.7 -6.9 -2.4 -19.2 -10.0 -4.9 3.7 BITCOIN -19.5 -4.0 16.8 -4.3 5.6 -2.3 -0.4 -0.9 -4.6 11.0 14.9 -9.8 16.5 -6.8 11.9 -6.5 -6.3 -7.6 -7.4 8.0 17.7 -4.6 15.6 -5.7 -20.0 3.3 5.0 7.4 -1.5 6.6 -2.1 -1.5 -18.1 2.6 20.0 20.0 -5.7 7.7 7.1 13.0 BOBL -20.0 5.9 20.0 1.5 0.9 1.3 -0.5 -0.5 -0.0 4.7 3.6 -5.3 -1.1 -3.8 3.4 -20.0 -13.4 -20.0 -20.0 3.1 5.3 -1.4 -0.5 -2.7 7.6 0.9 2.3 1.6 -0.2 0.2 -0.7 -20.0 3.5 -7.6 -4.7 0.4 -20.0 -20.0 0.1 -19.5 BTP -17.8 12.8 20.0 2.4 1.5 2.0 -0.8 -0.7 -0.1 9.6 9.3 -1.4 8.1 0.9 9.5 4.6 6.8 5.2 5.7 12.7 14.6 3.3 6.8 3.8 -11.7 3.5 3.7 4.1 1.2 2.1 1.1 12.5 11.3 0.7 0.0 8.1 -16.8 -20.0 12.5 1.1 BUND -20.0 7.1 20.0 1.7 1.1 1.4 -0.6 -0.5 -0.0 4.9 4.2 -6.6 -1.4 -4.4 4.0 5.2 4.4 3.6 3.0 4.1 6.4 -2.2 -0.7 -3.0 5.3 1.1 2.1 1.8 -0.4 0.2 -0.9 7.8 3.8 -8.1 -4.7 1.2 -20.0 -20.0 1.2 -9.0 BUXL -20.0 9.2 20.0 2.1 1.3 1.8 -0.7 -0.6 -0.1 4.4 4.7 -9.6 -5.1 -5.4 4.6 -0.1 0.5 0.1 0.3 4.6 6.4 -5.7 -3.7 -4.9 0.9 1.3 0.8 1.8 -1.4 -0.3 -1.2 2.7 2.0 -9.8 -3.7 1.8 -20.0 -20.0 0.7 7.5 CAC -10.5 1.6 7.5 5.5 6.9 4.9 5.2 3.1 4.2 20.0 14.1 11.8 19.1 5.5 16.0 -8.8 -5.1 -8.5 -7.3 9.4 9.4 20.0 10.4 9.7 -8.5 4.1 18.6 4.1 10.5 3.8 4.4 0.1 14.8 -4.1 -6.2 -9.2 1.8 9.5 8.1 15.9 CAD -17.8 10.8 10.1 3.4 1.9 5.3 -2.0 4.4 -1.2 16.0 0.2 -11.0 -4.5 -7.3 7.0 -1.7 -2.1 -2.0 -2.1 4.6 4.4 -3.7 -3.3 -3.9 1.7 2.4 4.3 2.0 -1.2 -1.3 -1.1 0.0 7.2 -6.8 4.2 -12.5 -20.0 -16.1 -1.9 -14.4 CANOLA 1.0 -19.3 -20.0 1.2 3.4 -1.0 5.5 -2.2 4.0 -9.9 -10.6 -8.5 -9.0 -10.3 -11.2 -9.3 -1.7 -10.2 -7.7 -18.6 -19.6 -10.7 -15.9 -12.7 -20.0 -4.4 -4.5 -4.8 -2.6 -4.1 -2.9 -1.0 -20.0 -20.0 -20.0 -20.0 -16.7 -14.5 -9.7 -3.2 CHF -20.0 8.9 12.3 2.8 1.5 4.3 -1.6 3.6 -1.0 5.5 7.3 -12.0 11.1 -6.8 8.0 -15.2 -15.5 -15.9 -15.9 6.4 10.5 -9.0 8.1 -6.6 -7.2 3.8 1.2 4.2 -1.9 2.7 -0.2 -20.0 -12.7 -8.2 12.8 15.2 -20.0 -18.5 -17.0 -20.0 COCOA -5.4 -6.8 4.9 1.9 10.9 -2.1 12.1 -4.3 7.6 9.3 20.0 17.8 20.0 19.1 20.0 12.5 2.6 9.7 5.9 20.0 20.0 20.0 20.0 20.0 -20.0 7.9 5.4 10.1 7.5 11.4 7.0 13.6 17.7 7.2 20.0 20.0 20.0 2.6 20.0 20.0 COFFEE -7.4 3.4 20.0 1.5 4.1 -1.2 6.8 -2.7 5.0 9.1 6.4 6.5 0.6 -0.1 7.5 9.3 4.9 8.4 6.5 7.4 8.3 5.8 3.2 4.3 -18.1 2.9 2.1 4.3 1.2 2.7 0.6 16.5 -11.6 -20.0 4.3 20.0 -13.1 -20.0 -10.9 -10.6 COPPER -7.3 2.8 11.3 -3.9 5.1 -2.1 -0.4 -0.8 -4.2 16.0 -0.8 10.3 -3.8 -1.7 6.5 -6.6 -4.8 -6.3 -5.9 2.7 1.4 10.9 -2.6 3.7 -9.6 1.2 9.2 1.1 5.3 -0.8 1.1 1.1 15.4 13.9 13.9 9.8 -11.5 -6.3 12.3 -3.0 CORN -18.1 -14.5 -8.4 2.5 7.1 -2.0 11.5 -4.6 8.5 -17.3 -20.0 -20.0 -20.0 -20.0 -20.0 -12.2 -3.2 -10.3 -7.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.6 -4.1 -6.7 -4.5 -5.7 -7.9 -2.7 -20.0 -20.0 -20.0 -19.6 -5.8 -16.8 -1.8 1.9 COTTON2 20.0 8.9 -10.2 2.4 6.8 -2.0 11.1 -4.5 8.2 10.1 -9.6 17.9 -7.0 18.3 -2.5 -8.0 -1.7 -7.8 -5.6 7.8 -4.9 20.0 -8.9 20.0 -20.0 4.8 1.8 0.1 7.9 -0.8 9.2 0.6 8.0 20.0 20.0 -15.0 -15.3 -16.0 -7.2 -0.1 CRUDE_W 8.2 -2.9 -10.5 0.5 9.7 -1.1 10.8 1.1 6.5 14.7 4.5 16.6 6.4 8.4 -10.3 6.7 9.3 7.4 8.5 -0.9 0.3 18.6 7.4 8.8 -4.8 0.1 10.4 0.8 10.8 5.5 5.8 -1.1 -9.9 -11.4 -4.8 7.3 20.0 16.0 20.0 17.7 DAX -9.3 5.0 18.4 5.2 6.6 4.7 4.9 3.0 4.0 20.0 17.3 17.7 18.7 16.0 20.0 -15.2 -10.3 -14.0 -12.3 18.6 17.9 18.9 13.5 14.1 16.9 5.6 7.9 5.3 6.2 3.5 4.3 -8.5 3.5 1.9 -1.3 5.5 0.9 7.3 10.8 20.0 DOW -7.4 20.0 20.0 5.1 6.4 4.5 4.8 2.9 3.9 19.3 20.0 18.9 18.8 20.0 20.0 -13.0 -9.9 -12.0 -11.2 20.0 20.0 18.6 20.0 20.0 -15.3 7.5 4.6 6.8 4.5 4.6 5.6 -7.4 16.4 15.2 20.0 20.0 -9.2 -3.8 -4.3 -7.9 DX 19.3 -5.3 -17.7 2.5 1.4 3.9 -1.5 3.2 -0.9 12.2 1.3 16.6 -6.5 11.1 -5.0 5.5 6.0 5.8 6.1 -1.2 -3.5 11.7 1.0 8.6 -20.0 -1.9 2.9 -2.1 4.3 0.8 2.2 14.1 20.0 20.0 -9.2 -20.0 19.4 3.0 20.0 9.5 EUR -12.8 3.2 10.5 2.9 1.6 4.5 -1.7 3.7 -1.0 -18.0 -1.5 -19.6 7.5 -10.3 5.9 -5.7 -6.6 -5.9 -6.1 0.3 2.7 -13.0 -0.1 -8.4 15.5 2.0 -6.1 2.4 -5.4 0.5 -2.2 -7.2 -14.0 -0.5 -6.2 0.3 -20.0 -12.1 -19.6 -8.7 EURIBOR-ICE -20.0 9.3 20.0 1.3 0.8 1.1 -0.5 -0.4 -0.0 4.7 5.7 -3.9 2.4 -0.4 5.3 3.3 -4.6 0.3 -2.5 7.8 10.8 0.1 4.5 0.5 15.4 2.0 1.7 2.7 0.2 1.2 0.3 -4.9 3.6 -4.5 1.8 9.8 -20.0 -20.0 7.3 20.0 EUROSTX -6.4 1.3 12.5 5.2 6.6 4.7 4.9 3.0 4.0 20.0 15.9 17.1 19.1 12.1 18.2 11.0 0.7 6.5 2.5 15.5 14.5 20.0 13.6 17.5 2.3 5.4 15.9 5.0 11.4 4.1 6.2 12.7 20.0 11.0 -2.7 2.3 -3.0 9.6 1.0 17.9 FEEDCOW 20.0 12.5 -20.0 2.1 5.8 -1.7 9.5 -3.8 7.0 16.2 -9.0 19.8 -3.0 19.9 -3.2 -20.0 -20.0 -20.0 -20.0 6.1 -12.3 20.0 -5.7 20.0 -4.1 1.1 9.9 -2.1 10.1 1.3 7.1 -20.0 20.0 20.0 19.4 -20.0 17.1 6.0 20.0 15.3 GASOIL 16.7 1.2 -13.5 0.5 8.2 -0.9 9.2 0.9 5.5 13.4 4.9 16.3 6.6 12.0 -5.1 20.0 20.0 20.0 20.0 3.0 1.3 20.0 7.6 14.9 8.4 1.8 15.0 1.2 12.5 3.5 6.9 20.0 8.8 2.1 3.8 4.0 -12.7 -3.7 -20.0 -9.5 GASOLINE 14.8 6.2 -12.7 0.5 9.6 -1.1 10.7 1.1 6.5 13.6 -1.4 18.7 5.4 17.0 2.4 -20.0 7.6 -20.0 -9.9 5.6 0.1 20.0 5.2 17.5 -20.0 2.3 9.6 0.3 11.3 4.3 8.1 -13.6 -2.4 -5.4 4.8 8.6 20.0 12.6 20.0 10.9 GAS_US_mini 6.8 3.7 -11.9 0.3 4.9 -0.6 5.5 0.6 3.3 -9.0 -9.3 -9.0 -11.7 -5.4 -8.8 20.0 -18.7 9.4 -9.3 -10.5 -14.1 -9.1 -18.4 -7.9 16.8 -2.8 -3.6 -3.7 -2.4 -3.2 -1.7 -20.0 -20.0 -17.0 -7.7 -4.8 -16.3 2.1 -20.0 -1.8 GBP -3.1 7.7 12.2 3.2 1.8 5.0 -1.9 4.1 -1.1 9.6 2.5 3.4 12.4 6.7 18.2 -0.1 -0.6 -0.2 -0.4 10.8 10.4 0.1 6.1 4.3 2.4 6.7 -0.2 5.6 0.4 2.3 3.4 2.9 5.8 20.0 5.0 6.0 -20.0 -1.3 -16.2 9.0 GOLD_micro -14.6 0.9 10.3 -4.0 5.2 -2.2 -0.4 -0.8 -4.3 6.2 9.4 -11.0 8.1 -7.4 9.9 -14.0 -14.0 -14.1 -14.3 1.8 6.1 -5.3 5.3 -5.4 -5.2 2.0 1.8 3.2 0.0 3.0 -0.1 -14.2 -9.8 13.3 13.0 20.0 -20.0 -20.0 -20.0 -15.3 HEATOIL 17.0 1.1 -15.9 0.5 9.2 -1.1 10.3 1.0 6.2 15.2 3.3 19.0 4.8 13.1 -6.3 20.0 20.0 20.0 20.0 1.7 -0.7 20.0 6.6 14.7 -20.0 2.7 11.9 1.6 11.4 5.2 7.9 20.0 -0.9 3.6 5.7 6.6 14.4 1.7 12.7 -2.7 JGB-SGX-mini -8.0 14.0 15.3 1.3 0.8 1.1 -0.4 -0.4 -0.0 -2.3 4.3 -4.0 4.6 3.0 5.9 8.1 17.9 11.4 14.0 4.9 4.9 -4.0 2.8 0.4 -3.2 1.5 -1.2 1.3 -1.7 0.3 -0.1 20.0 -8.6 4.6 -3.4 -2.2 -1.0 -20.0 9.0 14.2 JPY -20.0 1.2 16.7 1.5 0.8 2.4 -0.9 2.0 -0.5 -2.2 -6.9 -9.8 -9.4 -9.0 -3.4 -14.4 -15.9 -15.4 -16.1 -5.3 -5.8 -8.0 -11.7 -9.4 20.0 -1.2 -0.5 -1.8 -2.6 -4.2 -2.7 -20.0 -6.6 -13.4 -1.7 -9.7 -12.2 -20.0 -7.0 -20.0 LEANHOG 20.0 9.1 -0.5 2.0 5.6 -1.6 9.2 -3.7 6.8 18.0 -4.6 19.4 -12.3 17.2 2.9 -20.0 -5.7 -20.0 -20.0 5.5 -7.2 20.0 -15.8 20.0 17.6 5.6 8.2 1.0 9.0 -3.6 8.5 -11.1 17.5 20.0 20.0 8.3 -10.8 -8.1 3.8 11.6 LIVECOW 20.0 2.8 -20.0 2.3 6.3 -1.8 10.4 -4.2 7.6 18.9 -9.9 20.0 -2.9 20.0 -6.8 -20.0 -7.8 -16.4 -12.2 -2.2 -16.6 20.0 -6.6 20.0 -1.3 -1.9 10.9 -4.3 10.0 1.2 5.4 -8.9 19.7 10.1 -0.9 -20.0 12.2 -2.3 18.3 4.0 LUMBER-new -12.6 7.7 16.0 2.5 7.1 -2.0 11.6 -3.9 8.6 20.0 -0.8 9.4 -15.6 1.6 13.5 -14.5 -14.4 -14.1 -14.2 8.2 5.9 14.3 -3.5 6.0 NaN 5.1 12.7 3.9 8.4 0.4 4.6 -17.6 -3.3 -20.0 12.4 20.0 -10.7 -20.0 -6.8 -20.0 MILK 14.0 -14.4 -20.0 1.7 9.7 -1.9 10.7 -3.8 6.8 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 -12.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP -12.8 5.5 6.5 2.7 1.5 4.2 -1.6 3.4 -1.0 0.6 15.2 -8.8 18.1 4.0 14.4 15.0 16.3 15.1 15.2 8.9 14.1 -4.1 20.0 0.2 -20.0 3.9 -0.9 6.3 -2.3 9.3 -0.2 20.0 -14.5 7.9 1.6 1.0 16.4 20.0 20.0 20.0 NASDAQ_micro 8.6 15.1 20.0 3.7 4.6 3.3 3.4 2.1 2.8 12.9 14.9 14.4 14.6 14.7 15.5 -11.9 -9.6 -11.4 -10.6 20.0 20.0 20.0 20.0 20.0 -20.0 5.8 3.1 5.1 4.4 4.6 5.4 -6.6 20.0 20.0 20.0 15.7 16.5 -4.4 20.0 -6.4 NIKKEI 20.0 16.9 12.7 4.7 5.9 4.2 4.4 2.7 3.6 0.6 18.8 14.5 19.0 16.9 18.9 18.2 12.5 15.8 13.5 20.0 20.0 19.3 20.0 20.0 -14.3 6.7 0.4 5.0 3.6 4.4 6.7 20.0 -14.4 20.0 20.0 13.3 -14.1 -2.8 -2.7 0.6 NZD -20.0 4.2 17.7 2.4 1.3 3.7 -1.4 3.0 -0.8 3.1 3.6 -12.3 1.5 -11.2 6.4 0.2 0.2 0.2 0.2 1.9 5.5 -9.4 0.2 -8.4 0.5 1.2 0.0 2.6 -3.6 0.8 -2.9 4.1 -19.9 -10.5 -4.6 -1.0 -10.3 -10.4 -5.6 4.9 OAT -20.0 8.7 20.0 1.8 1.1 1.5 -0.6 -0.6 -0.0 5.6 5.1 -5.9 -0.6 -3.3 4.9 4.8 6.7 5.0 5.5 5.9 8.1 -0.9 0.8 -1.6 7.1 1.6 2.5 2.3 -0.0 0.6 -0.4 12.3 6.0 -6.7 -2.8 3.4 -20.0 -20.0 4.6 3.4 OATIES 3.1 -0.9 -20.0 0.9 2.5 -0.7 4.1 -1.6 3.0 -5.2 -7.3 -4.6 -5.6 -3.5 -6.9 4.4 -5.7 -1.3 -5.7 -6.4 -7.9 -3.5 -5.2 -3.6 -20.0 -1.7 -1.4 -3.1 -0.5 -2.2 -0.0 -4.4 -11.5 -6.1 -3.4 -15.9 -2.5 4.3 4.7 16.3 OJ -8.4 -20.0 -20.0 1.3 3.7 -1.1 6.1 -2.4 4.5 11.5 3.6 1.2 9.1 -7.9 -9.0 1.8 17.2 8.1 13.7 -10.2 2.6 8.0 16.9 -7.1 -20.0 -1.7 6.4 2.3 2.5 7.1 -1.3 20.0 10.2 -11.3 -20.0 7.5 8.4 12.0 16.4 20.0 PALLAD -19.2 -1.7 11.6 -1.7 2.2 -0.9 -0.2 -0.3 -1.8 6.1 -6.7 -4.1 -8.1 -6.3 -5.7 -1.6 -2.2 -1.8 -2.0 -7.5 -8.4 -2.0 -11.7 -6.6 7.5 -1.5 1.9 -2.6 0.4 -3.4 -0.7 6.7 2.3 1.0 8.3 -8.7 -7.9 -7.3 -3.5 -2.6 PLAT -20.0 0.1 5.6 -2.8 3.6 -1.5 -0.2 -0.6 -3.0 10.4 -4.3 -6.4 -6.5 -8.4 -2.1 -3.9 -3.0 -3.7 -3.5 -4.3 -2.6 -0.7 -3.5 -6.7 12.0 -1.2 6.4 -0.3 1.0 -0.4 -1.9 4.7 6.9 -3.0 8.6 3.3 -9.3 -5.8 16.9 0.8 REDWHEAT -0.2 -3.0 -7.5 2.0 5.6 -1.6 9.2 -3.7 6.8 4.5 -18.6 3.6 -19.1 -7.6 -12.6 -2.4 -1.6 -3.3 -3.1 -13.9 -20.0 1.2 -20.0 -5.4 -14.1 -4.6 0.2 -9.4 3.6 -10.2 0.8 3.0 -12.5 -11.2 -6.3 -18.9 -20.0 -20.0 -20.0 -16.3 RICE 4.2 3.5 10.2 2.1 5.8 -1.7 9.4 -3.8 6.9 18.2 17.4 14.9 14.9 13.5 16.3 -15.1 -1.5 -14.3 -9.2 15.3 15.8 16.8 12.7 14.1 -20.0 2.6 10.4 3.7 8.1 3.7 3.8 -0.6 -2.1 -20.0 -7.1 12.8 0.8 -8.6 8.1 0.3 ROBUSTA 18.7 20.0 15.4 1.3 3.6 -1.0 5.8 -2.3 4.3 11.4 12.2 12.4 12.2 12.6 12.6 20.0 20.0 20.0 20.0 20.0 20.0 20.0 18.1 20.0 -20.0 4.7 2.4 4.3 3.1 3.4 4.0 20.0 15.6 20.0 20.0 20.0 -13.7 -15.0 -5.0 1.1 RUSSELL -12.4 15.8 20.0 3.1 3.9 2.8 2.9 1.8 2.4 10.9 6.0 1.7 2.4 2.0 7.4 -6.2 -6.1 -6.3 -6.4 9.1 8.2 5.6 2.5 4.7 -2.2 3.2 3.5 2.6 2.4 1.2 2.3 -0.1 4.0 -5.8 4.8 -2.6 -20.0 -20.0 -20.0 -20.0 SHATZ -20.0 5.7 20.0 1.3 0.8 1.1 -0.5 -0.4 -0.0 3.8 1.2 -4.6 -4.3 -3.4 1.8 -20.0 -20.0 -20.0 -20.0 1.2 2.2 -1.3 -3.2 -2.8 8.3 0.9 1.9 1.2 -0.1 -0.5 -0.4 -20.0 2.3 -6.1 -3.1 -1.1 -20.0 -20.0 -7.6 -20.0 SILVER-mini -13.7 -8.0 1.1 -3.5 1.4 -1.8 -2.2 -0.7 -4.5 4.6 -3.0 -7.9 0.4 -12.8 -4.7 -6.7 -6.5 -6.9 -6.8 -8.2 -4.3 -5.1 -2.0 -10.4 5.5 -3.8 1.9 -1.9 -1.1 -0.4 -3.9 -1.1 -2.4 5.9 -3.7 2.0 -20.0 -17.7 8.5 -9.2 SMI -4.2 13.1 10.1 5.0 6.3 4.5 4.7 2.8 3.9 17.0 7.3 12.8 4.7 17.7 20.0 12.2 5.1 10.1 7.1 13.4 7.8 17.5 1.3 12.8 10.8 6.3 12.8 4.2 7.0 0.9 5.4 20.0 4.2 17.4 7.7 -10.6 2.6 -6.3 10.7 -6.5 SOFR -17.8 11.4 20.0 1.9 1.2 1.6 -0.7 -0.6 -0.0 1.8 5.3 -6.3 -0.1 -2.2 7.5 2.6 0.2 1.6 0.8 5.7 6.0 -2.7 -0.7 -1.5 -2.3 3.2 1.7 2.5 0.5 0.2 1.3 2.4 3.6 5.8 0.1 1.2 -20.0 -20.0 -7.1 -3.8 SOYBEAN -14.8 -20.0 -9.5 2.3 6.5 -1.9 10.6 -4.3 7.8 -18.1 -6.3 -20.0 2.5 -20.0 -20.0 8.5 16.2 12.1 13.4 -20.0 -18.5 -20.0 -7.9 -20.0 -20.0 -6.7 -8.4 -3.0 -6.4 -0.4 -7.6 20.0 -20.0 -20.0 -20.0 -6.5 -14.1 -20.0 -14.2 -20.0 SOYMEAL -16.2 -20.0 -7.9 1.6 4.6 -1.3 7.5 -3.0 5.6 -11.1 -11.2 -14.3 -2.7 -16.0 -15.3 2.6 14.4 7.7 11.1 -20.0 -13.7 -15.8 -3.5 -20.0 -20.0 -5.2 -2.8 -2.3 -3.9 0.4 -5.6 20.0 -20.0 -20.0 -20.0 -4.3 -20.0 -20.0 -20.0 -19.1 SOYOIL 0.1 -8.2 -17.7 1.5 4.3 -1.2 7.0 -2.8 5.2 -12.3 -11.2 -11.1 -8.6 -13.7 -14.9 -6.9 5.8 -2.3 1.9 -14.8 -15.9 -12.5 -12.2 -11.8 -20.0 -3.2 -9.1 -4.1 -4.4 -3.5 -2.6 14.0 -20.0 -15.1 -12.2 -14.4 -8.4 -2.8 -3.1 7.0 SP400 -6.7 17.5 19.1 3.6 4.5 3.2 3.4 2.0 2.7 12.1 9.5 5.9 6.6 6.6 11.4 -5.5 -5.1 -5.4 -5.3 13.5 11.9 6.8 5.8 8.1 -11.1 4.1 3.0 3.5 2.4 2.0 2.8 1.7 0.8 -3.4 4.6 -0.8 -20.0 -8.8 -20.0 -20.0 SP500_micro 5.1 20.0 20.0 4.9 6.1 4.3 4.6 2.7 3.7 18.4 19.2 19.9 17.7 20.0 20.0 -13.2 -10.7 -12.4 -11.7 20.0 20.0 20.0 20.0 20.0 -20.0 7.5 5.4 6.3 6.1 4.9 6.9 -8.5 20.0 20.0 20.0 15.6 4.1 -4.2 14.2 -6.6 SUGAR11 20.0 -13.8 -20.0 1.3 3.8 -1.1 6.1 -2.5 4.5 2.7 -4.2 9.3 6.6 1.2 -4.6 18.0 19.4 20.0 20.0 -4.6 -6.7 12.5 2.8 8.4 -20.0 -2.4 -0.2 -2.2 1.7 1.1 0.5 20.0 -3.1 5.5 -20.0 -17.5 6.5 -4.8 13.5 6.9 US10 -14.4 12.9 20.0 1.5 1.0 1.3 -0.5 -0.5 -0.0 1.0 1.7 -5.5 -3.0 -1.1 5.8 -10.1 -7.8 -9.1 -8.5 4.1 2.5 -2.3 -5.0 -0.9 1.8 2.5 1.2 1.5 0.5 -1.0 1.2 -12.3 3.4 6.3 1.1 -0.5 -20.0 -20.0 -17.6 7.3 US10U -17.0 12.2 20.0 2.2 1.4 1.9 -0.8 -0.7 -0.1 3.6 1.7 -8.4 -4.2 -3.6 7.3 2.6 0.8 2.3 1.5 4.4 2.5 -4.2 -8.0 -2.9 -1.6 3.2 1.8 1.8 0.4 -1.6 1.3 3.5 6.4 6.3 0.5 -2.1 -20.0 -20.0 5.1 17.3 US2 -9.9 12.8 20.0 1.3 0.8 1.1 -0.4 -0.4 -0.0 -3.6 0.6 -5.5 -4.7 1.3 4.8 -20.0 -20.0 -20.0 -20.0 3.8 2.0 -1.8 -5.3 0.3 8.6 2.5 0.3 1.7 0.3 -0.8 1.3 -20.0 -2.3 7.6 2.5 2.6 -18.5 -20.0 -13.4 -20.0 US20 -20.0 14.1 20.0 1.5 0.9 1.3 -0.5 -0.5 -0.0 2.3 1.7 -6.2 -2.3 -2.4 4.9 0.1 -1.1 -0.4 -0.8 3.3 2.2 -4.3 -5.1 -2.9 -1.7 2.0 1.1 1.1 -0.0 -1.1 0.7 -0.4 3.7 2.1 2.0 -0.3 -20.0 -20.0 20.0 20.0 US30 -20.0 9.5 18.7 1.7 1.1 1.5 -0.6 -0.5 -0.0 4.7 1.0 -7.5 -3.7 -5.4 4.5 -9.2 -5.1 -7.2 -6.1 1.3 0.8 -5.3 -7.0 -5.1 -1.2 1.8 1.4 0.9 -0.2 -1.7 0.1 -7.8 5.7 0.2 -1.4 -3.2 -15.9 -17.5 20.0 20.0 US5 -12.9 12.6 20.0 1.5 0.9 1.3 -0.5 -0.5 -0.0 -1.1 2.3 -5.5 -3.2 0.2 6.0 -10.6 -10.3 -10.2 -10.5 4.4 3.1 -2.0 -4.2 -0.4 4.1 2.7 0.9 1.9 0.5 -0.6 1.4 -16.4 1.0 7.5 1.7 1.2 -20.0 -20.0 -20.0 -8.0 VIX -1.5 -2.2 -20.0 -6.9 -2.8 -7.9 -5.2 -10.2 -6.3 -11.1 -20.0 -14.0 -20.0 -17.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -9.7 -20.0 -15.5 NaN -8.1 -2.5 -9.4 -4.8 -11.9 -6.6 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -6.2 1.6 5.1 2.1 5.9 -1.7 9.7 -3.9 7.1 -2.0 -18.2 -6.2 -20.0 -8.2 -3.6 -11.2 -10.6 -11.1 -11.0 -9.0 -15.9 -4.0 -20.0 -6.7 -3.1 -2.0 -3.9 -5.6 0.9 -9.5 0.2 -11.7 -20.0 -16.5 -2.5 -2.8 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3