******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240202_204018 produced at 2024-02-02 21:37:30.770532 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -53.07 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.15 0.0 0.00 0.00 0.00 0.00 -3.74 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 -1.53 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 -10.92 12.0 -10 -10 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.16 -0.16 -0.02 -0.02 -21.57 51.0 -6 -6 caleb_strategy_v3 CHF False False 0.05 -0.25 -0.07 0.0 0.64 -0.64 -0.25 -0.25 -1.48 13.0 -5 -5 caleb_strategy_v3 JPY False False 0.03 0.00 -0.06 0.0 0.49 -0.49 0.00 0.00 -1.95 17.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.05 0.0 0.42 -0.42 0.00 0.00 -2.30 19.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -0.60 11.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.39 -0.05 0.0 0.83 -0.83 -0.39 -0.39 -1.07 19.0 -9 -9 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.04 0.0 0.05 -0.05 -0.02 -0.02 -21.55 26.0 -10 -10 caleb_strategy_v3 GOLD_micro False False 0.01 -0.13 -0.04 0.0 0.39 -0.39 -0.13 -0.06 -5.44 56.0 -19 -9 caleb_strategy_v3 EUR False False 0.05 -0.14 -0.04 0.0 0.65 -0.65 -0.14 -0.14 -0.80 14.0 -3 -3 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -2.37 5.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.14 -0.14 -0.04 -0.04 -1.43 7.0 -2 -2 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.03 0.0 0.92 -0.92 -0.04 -0.22 -0.92 25.0 -1 -6 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.09 -0.09 -0.03 -0.03 -2.57 8.0 -3 -3 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.10 -0.10 -0.04 -0.04 -2.96 9.0 -4 -4 caleb_strategy_v3 CAD False False 0.03 0.00 -0.03 0.0 0.73 -0.73 0.00 0.00 -1.31 29.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.97 2.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.02 0.0 0.43 -0.43 0.00 0.00 -0.90 21.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.00 -0.02 0.0 0.23 -0.23 -0.00 -0.03 -6.86 68.0 -1 -8 caleb_strategy_v3 US10 False False 0.04 -0.04 -0.02 0.0 0.65 -0.65 -0.04 -0.04 -0.43 17.0 -1 -1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -0.82 0.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -3.68 3.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.02 0.0 0.19 -0.19 0.00 0.00 -0.23 2.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.11 -0.11 0.00 0.00 -1.52 9.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -1.94 10.0 -3 -3 caleb_strategy_v3 COPPER False False 0.03 0.03 -0.01 0.0 0.20 -0.20 0.03 0.00 -0.29 6.0 1 0 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.01 0.0 0.07 -0.07 -0.03 -0.03 -0.17 2.0 -1 -1 caleb_strategy_v3 GASOLINE False False 0.03 0.03 -0.01 0.0 0.14 -0.14 0.03 0.00 -0.38 4.0 1 0 caleb_strategy_v3 COTTON2 False False 0.02 -0.05 -0.01 0.0 0.17 -0.17 -0.05 -0.05 -0.48 11.0 -3 -3 caleb_strategy_v3 PLAT False False 0.02 0.00 0.00 0.0 0.15 -0.15 0.00 0.00 0.16 10.0 0 0 caleb_strategy_v3 BUND False False 0.05 -0.05 0.00 0.0 0.50 -0.50 -0.05 0.00 0.02 10.0 -1 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.04 6.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.00 0.0 0.16 -0.16 0.00 0.00 -0.13 18.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.06 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 -0.01 6.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 -0.00 0.0 999.00 -999.00 0.00 0.00 -0.13 999999999.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.04 0.01 0.0 0.52 -0.52 0.04 0.04 0.22 13.0 1 1 caleb_strategy_v3 RICE False False 0.01 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.85 4.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.12 0.01 0.0 0.37 -0.37 0.12 0.12 0.14 9.0 3 3 caleb_strategy_v3 BITCOIN False True 0.00 0.02 0.01 0.0 0.02 0.00 0.02 0.02 6.30 59.0 15 15 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.06 -0.06 0.00 0.00 0.46 3.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.02 0.0 0.11 -0.11 0.00 0.00 0.60 3.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.04 0.02 0.0 0.44 -0.44 0.04 0.04 0.56 10.0 1 1 caleb_strategy_v3 LIVECOW False False 0.03 -0.03 0.02 0.0 0.43 -0.43 -0.03 0.00 0.84 17.0 -1 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.02 0.0 0.24 -0.24 0.02 0.02 1.67 23.0 2 2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.19 0.03 0.0 0.28 -0.28 0.19 0.23 2.46 23.0 16 19 caleb_strategy_v3 FEEDCOW False False 0.04 0.22 0.03 0.0 0.35 -0.35 0.22 0.22 0.68 8.0 5 5 caleb_strategy_v3 GASOIL False False 0.03 0.05 0.04 0.0 0.11 -0.11 0.05 0.03 1.46 4.0 2 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.04 0.0 0.12 -0.12 0.05 0.02 1.51 5.0 2 1 caleb_strategy_v3 GBP False False 0.03 0.11 0.04 0.0 0.59 -0.59 0.11 0.13 1.50 22.0 4 5 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.04 0.0 0.41 -0.41 0.03 0.03 5.03 48.0 3 3 caleb_strategy_v3 OAT False False 0.05 0.00 0.04 0.0 0.48 -0.48 0.00 0.00 0.84 10.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.06 0.05 0.0 0.44 -0.44 0.06 0.06 8.04 66.0 9 9 caleb_strategy_v3 COCOA False False 0.02 0.07 0.05 0.0 0.44 -0.44 0.07 0.08 3.24 26.0 4 5 caleb_strategy_v3 CAC False True 0.03 0.00 0.05 0.0 0.00 0.00 0.00 0.00 1.72 12.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.06 0.0 0.15 -0.15 0.05 0.05 5.52 13.0 4 4 caleb_strategy_v3 SMI False False 0.04 0.40 0.08 0.0 0.40 -0.40 0.40 0.40 1.75 9.0 9 9 caleb_strategy_v3 DAX False False 0.01 0.00 0.11 0.0 0.37 -0.37 0.00 0.00 17.84 58.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.31 0.13 0.0 0.35 -0.35 0.31 0.23 7.28 20.0 18 13 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.30 0.0 0.30 -0.30 0.28 0.29 35.08 36.0 33 34 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.41 0.42 0.0 0.55 -0.55 0.41 0.38 12.27 16.0 12 11 caleb_strategy_v3 MXP False False 0.01 0.46 0.46 0.0 0.59 -0.59 0.46 0.46 46.91 60.0 47 47 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.27 0.51 0.0 0.91 -0.91 0.27 0.18 5.66 10.0 3 2 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.8 Shocked risk 64.8 Sum abs risk 51.1 Leverage 4.10 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2933834.25, 'annual_cash_vol_target': 733458.5625, 'daily_cash_vol_target': 45841.16015625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0039 0.6526 0.5918 9.4686 BITCOIN 1130.5031 43320.0000 2.6097 41.7545 BOBL 0.3089 117.9200 0.2620 4.1913 BTP 0.6331 118.1500 0.5359 8.5739 BUND 0.6017 135.0800 0.4454 7.1270 BUXL 1.4003 136.5200 1.0257 16.4108 CAC 57.4039 7623.5000 0.7530 12.0478 CAD 0.0029 0.7432 0.3856 6.1697 CANOLA 6.9543 597.0000 1.1649 18.6381 CHF 0.0055 1.1595 0.4717 7.5475 COCOA 56.9008 4942.0000 1.1514 18.4219 COFFEE 3.5774 188.1500 1.9014 30.4219 COPPER 0.0396 3.8225 1.0357 16.5719 CORN 4.0853 477.2500 0.8560 13.6961 COTTON2 0.9159 88.1800 1.0386 16.6180 CRUDE_W 1.1049 70.0100 1.5782 25.2511 DAX 110.1170 17032.0000 0.6465 10.3445 DOW 202.2703 38857.0000 0.5206 8.3288 DX 0.3655 102.8750 0.3553 5.6845 EUR 0.0047 1.0814 0.4386 7.0169 EURIBOR-ICE 0.0571 97.8450 0.0583 0.9331 EUROSTX 35.2896 4684.0000 0.7534 12.0545 FEEDCOW 1.7773 255.5500 0.6955 11.1275 GASOIL 14.3449 780.2500 1.8385 29.4161 GASOLINE 0.0400 2.3727 1.6860 26.9755 GAS_US_mini 0.0926 2.0850 4.4395 71.0315 GBP 0.0060 1.2643 0.4776 7.6423 GOLD_micro 13.4316 2054.5000 0.6538 10.4603 HEATOIL 0.0407 2.5421 1.6009 25.6138 JGB-SGX-mini 0.2858 146.6700 0.1949 3.1177 JPY 0.0000 0.0068 0.6531 10.4495 LEANHOG 1.1064 83.7750 1.3207 21.1310 LIVECOW 1.1822 183.9250 0.6428 10.2846 LUMBER-new 7.0891 578.0000 1.2265 19.6237 MILK 0.2398 17.6400 1.3595 21.7515 MXP 0.0004 0.0579 0.6465 10.3441 NASDAQ_micro 146.7499 17766.5000 0.8260 13.2159 NIKKEI 305.5124 36410.0000 0.8391 13.4254 NZD 0.0037 0.6073 0.6170 9.8724 OAT 0.5892 129.5900 0.4547 7.2751 OATIES 7.1468 365.5000 1.9553 31.2855 OJ 6.6364 359.2500 1.8473 29.5565 PALLAD 24.1330 953.5000 2.5310 40.4958 PLAT 14.3230 902.9000 1.5863 25.3813 REDWHEAT 9.4644 624.7500 1.5149 24.2385 RICE 0.1788 18.6550 0.9584 15.3349 ROBUSTA 43.0865 3110.0000 1.3854 22.1667 RUSSELL 22.6658 1978.5000 1.1456 18.3297 SHATZ 0.1086 105.9000 0.1026 1.6409 SILVER-mini 0.3357 23.0000 1.4595 23.3524 SMI 79.6315 11206.0000 0.7106 11.3698 SOFR 0.0746 96.6300 0.0772 1.2358 SOYBEAN 10.5037 1170.5000 0.8974 14.3579 SOYMEAL 4.8748 353.0000 1.3809 22.0952 SOYOIL 0.6566 45.1600 1.4539 23.2621 SP400 24.5309 2785.8000 0.8806 14.0891 SP500_micro 32.9279 4995.2500 0.6592 10.5470 SUGAR11 0.3644 23.0600 1.5803 25.2854 US10 0.4576 111.7031 0.4096 6.5542 US10U 0.6230 116.2812 0.5358 8.5722 US2 0.1315 102.5430 0.1282 2.0512 US20 0.9050 121.9688 0.7420 11.8717 US30 1.3147 129.0312 1.0189 16.3028 US5 0.3105 107.8672 0.2878 4.6054 VIX 0.4265 16.3000 2.6163 41.8604 WHEAT 8.1553 640.0000 1.2743 20.3883 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 652.55 0.59 386.17 1.00 386.17 45841.16 118.71 -7.48 -88.80 BITCOIN 43.32 2.61 113.05 1.00 113.05 45841.16 405.49 1.43 58.17 BOBL 1179.20 0.26 308.90 1.08 333.47 45841.16 137.47 -7.66 -105.30 BTP 1181.50 0.54 633.13 1.08 683.49 45841.16 67.07 2.45 16.43 BUND 1350.80 0.45 601.70 1.08 649.57 45841.16 70.57 0.24 1.70 BUXL 1365.20 1.03 1400.25 1.08 1511.64 45841.16 30.33 -1.86 -5.65 CAC 762.35 0.75 574.04 1.08 619.70 45841.16 73.97 6.82 50.44 CAD 743.25 0.39 286.60 1.00 286.60 45841.16 159.95 -3.15 -50.32 CANOLA 119.40 1.16 139.09 0.74 103.39 45841.16 443.38 -20.00 -886.75 CHF 1449.31 0.47 683.67 1.00 683.67 45841.16 67.05 -8.52 -57.12 COCOA 494.20 1.15 569.01 1.00 569.01 45841.16 80.56 18.76 151.16 COFFEE 705.56 1.90 1341.54 1.00 1341.54 45841.16 34.17 -1.12 -3.82 COPPER 955.62 1.04 989.78 1.00 989.78 45841.16 46.31 -0.59 -2.72 CORN 238.62 0.86 204.26 1.00 204.26 45841.16 224.42 -20.00 -448.84 COTTON2 440.90 1.04 457.93 1.00 457.93 45841.16 100.11 -2.24 -22.42 CRUDE_W 700.10 1.58 1104.89 1.00 1104.89 45841.16 41.49 3.36 13.96 DAX 170.32 0.65 110.12 1.08 118.88 45841.16 385.62 13.56 523.05 DOW 194.28 0.52 101.14 1.00 101.14 45841.16 453.27 7.64 346.14 DX 1028.75 0.36 365.49 1.00 365.49 45841.16 125.42 -0.41 -5.14 EUR 1351.69 0.44 592.79 1.00 592.79 45841.16 77.33 -3.98 -30.77 EURIBOR-ICE 2446.12 0.06 142.66 1.08 154.01 45841.16 297.65 5.58 165.94 EUROSTX 468.40 0.75 352.90 1.08 380.97 45841.16 120.33 17.73 213.38 FEEDCOW 1277.75 0.70 888.63 1.00 888.63 45841.16 51.59 3.97 20.49 GASOIL 780.25 1.84 1434.49 1.00 1434.49 45841.16 31.96 10.56 33.73 GASOLINE 996.53 1.69 1680.13 1.00 1680.13 45841.16 27.28 -3.22 -8.80 GAS_US_mini 52.12 4.44 231.41 1.00 231.41 45841.16 198.10 -10.04 -198.97 GBP 790.19 0.48 377.43 1.00 377.43 45841.16 121.46 4.77 57.98 GOLD_micro 205.45 0.65 134.32 1.00 134.32 45841.16 341.29 -4.68 -159.63 HEATOIL 1067.68 1.60 1709.21 1.00 1709.21 45841.16 26.82 5.15 13.80 JGB-SGX-mini 146670.00 0.19 28579.51 0.01 193.27 45841.16 237.19 4.78 113.27 JPY 848.81 0.65 554.35 1.00 554.35 45841.16 82.69 -9.09 -75.14 LEANHOG 335.10 1.32 442.56 1.00 442.56 45841.16 103.58 8.77 90.85 LIVECOW 735.70 0.64 472.90 1.00 472.90 45841.16 96.94 2.60 25.25 LUMBER-new 158.95 1.23 194.95 1.00 194.95 45841.16 235.14 -7.33 -172.39 MILK 352.80 1.36 479.62 1.00 479.62 45841.16 95.58 -11.56 -110.47 MXP 289.65 0.65 187.26 1.00 187.26 45841.16 244.80 13.06 319.62 NASDAQ_micro 355.33 0.83 293.50 1.00 293.50 45841.16 156.19 6.77 105.69 NIKKEI 36410.00 0.84 30551.24 0.01 208.17 45841.16 220.21 14.71 323.97 NZD 607.35 0.62 374.75 1.00 374.75 45841.16 122.32 -2.82 -34.50 OAT 1295.90 0.45 589.24 1.08 636.11 45841.16 72.06 3.40 24.53 OATIES 182.75 1.96 357.34 1.00 357.34 45841.16 128.28 -9.52 -122.14 OJ 538.88 1.85 995.45 1.00 995.45 45841.16 46.05 4.69 21.58 PALLAD 953.50 2.53 2413.30 1.00 2413.30 45841.16 19.00 -2.68 -5.09 PLAT 451.45 1.59 716.15 1.00 716.15 45841.16 64.01 0.71 4.58 REDWHEAT 312.38 1.51 473.22 1.00 473.22 45841.16 96.87 -20.00 -193.74 RICE 373.10 0.96 357.59 1.00 357.59 45841.16 128.19 2.72 34.88 ROBUSTA 311.00 1.39 430.87 1.00 430.87 45841.16 106.39 13.47 143.35 RUSSELL 98.92 1.15 113.33 1.00 113.33 45841.16 404.50 -5.12 -207.09 SHATZ 1059.00 0.10 108.61 1.08 117.25 45841.16 390.97 -9.45 -369.29 SILVER-mini 575.00 1.46 839.23 1.00 839.23 45841.16 54.62 -4.41 -24.06 SMI 1120.60 0.71 796.32 1.16 921.58 45841.16 49.74 10.29 51.18 SOFR 2415.75 0.08 186.59 1.00 186.59 45841.16 245.68 -0.40 -9.88 SOYBEAN 585.25 0.90 525.18 1.00 525.18 45841.16 87.29 -17.56 -153.29 SOYMEAL 353.00 1.38 487.48 1.00 487.48 45841.16 94.04 -17.41 -163.75 SOYOIL 270.96 1.45 393.94 1.00 393.94 45841.16 116.36 -17.88 -208.10 SP400 2785.80 0.88 2453.09 1.00 2453.09 45841.16 18.69 -3.78 -7.07 SP500_micro 249.76 0.66 164.64 1.00 164.64 45841.16 278.43 7.78 216.63 SUGAR11 258.27 1.58 408.16 1.00 408.16 45841.16 112.31 -0.53 -6.01 US10 1117.03 0.41 457.58 1.00 457.58 45841.16 100.18 -3.38 -33.88 US10U 1162.81 0.54 622.99 1.00 622.99 45841.16 73.58 2.36 17.35 US2 2050.86 0.13 262.92 1.00 262.92 45841.16 174.36 -6.93 -120.88 US20 1219.69 0.74 904.98 1.00 904.98 45841.16 50.65 2.24 11.33 US30 1290.31 1.02 1314.73 1.00 1314.73 45841.16 34.87 -0.27 -0.95 US5 1078.67 0.29 310.48 1.00 310.48 45841.16 147.65 -4.91 -72.45 VIX 163.00 2.62 426.45 1.00 426.45 45841.16 107.49 -20.00 -214.99 WHEAT 320.00 1.27 407.77 1.00 407.77 45841.16 112.42 -19.86 -223.27 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -88.803 0.010 2.5 -2.304 BITCOIN 58.173 0.043 2.5 6.299 BOBL -105.301 0.004 2.5 -1.068 BTP 16.434 0.014 2.5 0.561 BUND 1.700 0.004 2.5 0.017 BUXL -5.649 0.004 2.5 -0.057 CAC 50.444 0.014 2.5 1.721 CAD -50.323 0.010 2.5 -1.306 CANOLA -886.754 0.010 2.5 -21.574 CHF -57.115 0.010 2.5 -1.482 COCOA 151.163 0.009 2.5 3.238 COFFEE -3.819 0.005 2.5 -0.045 COPPER -2.718 0.043 2.5 -0.294 CORN -448.842 0.010 2.5 -10.920 COTTON2 -22.416 0.009 2.5 -0.480 CRUDE_W 13.956 0.043 2.5 1.511 DAX 523.054 0.014 2.5 17.841 DOW 346.140 0.009 2.5 8.044 DX -5.140 0.010 2.5 -0.133 EUR -30.765 0.010 2.5 -0.798 EURIBOR-ICE 165.943 0.014 2.5 5.660 EUROSTX 213.384 0.014 2.5 7.278 FEEDCOW 20.490 0.013 2.5 0.679 GASOIL 33.733 0.017 2.5 1.462 GASOLINE -8.798 0.017 2.5 -0.381 GAS_US_mini -198.968 0.043 2.5 -21.546 GBP 57.984 0.010 2.5 1.504 GOLD_micro -159.629 0.014 2.5 -5.445 HEATOIL 13.804 0.017 2.5 0.598 JGB-SGX-mini 113.275 0.043 2.5 12.266 JPY -75.142 0.010 2.5 -1.950 LEANHOG 90.855 0.024 2.5 5.522 LIVECOW 25.249 0.013 2.5 0.837 LUMBER-new -172.394 0.009 2.5 -3.685 MILK -110.465 0.009 2.5 -2.366 MXP 319.618 0.059 2.5 46.912 NASDAQ_micro 105.688 0.009 2.5 2.456 NIKKEI 323.972 0.043 2.5 35.082 NZD -34.502 0.010 2.5 -0.895 OAT 24.529 0.014 2.5 0.837 OATIES -122.141 0.010 2.5 -2.972 OJ 21.576 0.009 2.5 0.462 PALLAD -5.094 0.014 2.5 -0.174 PLAT 4.575 0.014 2.5 0.156 REDWHEAT -193.742 0.005 2.5 -2.570 RICE 34.877 0.010 2.5 0.849 ROBUSTA 143.347 0.005 2.5 1.674 RUSSELL -207.086 0.013 2.5 -6.862 SHATZ -369.293 0.004 2.5 -3.745 SILVER-mini -24.063 0.014 2.5 -0.821 SMI 51.175 0.014 2.5 1.746 SOFR -9.885 0.024 2.5 -0.601 SOYBEAN -153.292 0.004 2.5 -1.426 SOYMEAL -163.751 0.004 2.5 -1.523 SOYOIL -208.101 0.004 2.5 -1.937 SP400 -7.070 0.013 2.5 -0.234 SP500_micro 216.626 0.009 2.5 5.034 SUGAR11 -6.006 0.009 2.5 -0.128 US10 -33.879 0.005 2.5 -0.429 US10U 17.345 0.005 2.5 0.220 US2 -120.877 0.005 2.5 -1.532 US20 11.334 0.005 2.5 0.144 US30 -0.946 0.005 2.5 -0.012 US5 -72.453 0.005 2.5 -0.918 VIX -214.988 0.099 2.5 -53.069 WHEAT -223.273 0.005 2.5 -2.962 ===================== Position diags ===================== AUD 3.08 BITCOIN 43.91 BOBL 1.39 BTP 2.29 BUND 0.72 BUXL 0.31 CAC 2.52 CAD 4.15 CANOLA 10.79 CHF 1.74 COCOA 1.73 COFFEE 0.40 COPPER 5.02 CORN 5.46 COTTON2 2.14 CRUDE_W 4.49 DAX 13.15 DOW 10.53 DX 3.25 EUR 2.01 EURIBOR-ICE 10.15 EUROSTX 4.10 FEEDCOW 1.71 GASOIL 1.39 GASOLINE 1.18 GAS_US_mini 21.45 GBP 3.15 GOLD_micro 11.64 HEATOIL 1.16 JGB-SGX-mini 25.68 JPY 2.15 LEANHOG 6.30 LIVECOW 3.21 LUMBER-new 5.03 MILK 2.05 MXP 35.93 NASDAQ_micro 3.63 NIKKEI 23.85 NZD 3.17 OAT 2.46 OATIES 3.12 OJ 0.99 PALLAD 0.65 PLAT 2.18 REDWHEAT 1.29 RICE 3.12 ROBUSTA 1.24 RUSSELL 13.40 SHATZ 3.96 SILVER-mini 1.86 SMI 1.70 SOFR 14.93 SOYBEAN 0.81 SOYMEAL 0.87 SOYOIL 1.08 SP400 0.62 SP500_micro 6.47 SUGAR11 2.39 US10 1.27 US10U 0.93 US2 2.21 US20 0.64 US30 0.44 US5 1.87 VIX 26.53 WHEAT 1.49 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.3 -2.6 -2.0 0.0 0 BITCOIN 6.3 1.9 10.7 15.0 15 BOBL -1.1 -1.2 -0.9 -9.0 -9 BTP 0.6 0.3 0.8 1.0 1 BUND 0.0 -0.1 0.1 -1.0 -1 BUXL -0.1 -0.1 -0.0 0.0 0 CAC 1.7 1.5 2.0 0.0 0 CAD -1.3 -1.7 -0.9 0.0 0 CANOLA -21.6 -22.7 -20.5 -6.0 -6 CHF -1.5 -1.7 -1.3 -5.0 -5 COCOA 3.2 3.1 3.4 4.0 4 COFFEE -0.0 -0.1 -0.0 0.0 0 COPPER -0.3 -0.8 0.2 1.0 1 CORN -10.9 -11.5 -10.4 -10.0 -10 COTTON2 -0.5 -0.7 -0.3 -3.0 -3 CRUDE_W 1.5 1.1 2.0 2.0 2 DAX 17.8 16.5 19.2 0.0 0 DOW 8.0 7.0 9.1 9.0 9 DX -0.1 -0.5 0.2 NaN 0 EUR -0.8 -1.0 -0.6 -3.0 -3 EURIBOR-ICE 5.7 4.6 6.7 3.0 3 EUROSTX 7.3 6.9 7.7 18.0 18 FEEDCOW 0.7 0.5 0.8 5.0 5 GASOIL 1.5 1.3 1.6 2.0 2 GASOLINE -0.4 -0.5 -0.3 1.0 1 GAS_US_mini -21.5 -23.7 -19.4 -10.0 -10 GBP 1.5 1.2 1.8 4.0 4 GOLD_micro -5.4 -6.6 -4.3 -19.0 -19 HEATOIL 0.6 0.5 0.7 0.0 0 JGB-SGX-mini 12.3 9.7 14.8 12.0 12 JPY -1.9 -2.2 -1.7 0.0 0 LEANHOG 5.5 4.9 6.2 4.0 4 LIVECOW 0.8 0.5 1.2 -1.0 -1 LUMBER-new -3.7 -4.2 -3.2 NaN 0 MILK -2.4 -2.6 -2.2 NaN 0 MXP 46.9 43.3 50.5 47.0 47 NASDAQ_micro 2.5 2.1 2.8 16.0 16 NIKKEI 35.1 32.7 37.5 33.0 33 NZD -0.9 -1.2 -0.6 0.0 0 OAT 0.8 0.6 1.1 0.0 0 OATIES -3.0 -3.3 -2.7 NaN 0 OJ 0.5 0.4 0.6 NaN 0 PALLAD -0.2 -0.2 -0.1 -1.0 -1 PLAT 0.2 -0.1 0.4 0.0 0 REDWHEAT -2.6 -2.7 -2.4 -3.0 -3 RICE 0.8 0.5 1.2 NaN 0 ROBUSTA 1.7 1.5 1.8 2.0 2 RUSSELL -6.9 -8.2 -5.5 -1.0 -1 SHATZ -3.7 -4.1 -3.3 NaN 0 SILVER-mini -0.8 -1.0 -0.6 NaN 0 SMI 1.7 1.6 1.9 9.0 9 SOFR -0.6 -2.1 0.9 NaN 0 SOYBEAN -1.4 -1.5 -1.3 -2.0 -2 SOYMEAL -1.5 -1.6 -1.4 0.0 0 SOYOIL -1.9 -2.0 -1.8 -3.0 -3 SP400 -0.2 -0.3 -0.2 0.0 0 SP500_micro 5.0 4.4 5.7 3.0 3 SUGAR11 -0.1 -0.4 0.1 0.0 0 US10 -0.4 -0.6 -0.3 -1.0 -1 US10U 0.2 0.1 0.3 1.0 1 US2 -1.5 -1.8 -1.3 NaN 0 US20 0.1 0.1 0.2 3.0 3 US30 -0.0 -0.1 0.0 0.0 0 US5 -0.9 -1.1 -0.7 -1.0 -1 VIX -53.1 -55.7 -50.4 -17.0 -17 WHEAT -3.0 -3.1 -2.8 -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 4.0 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 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 -0.0 0.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 -0.0 -0.2 -0.3 -0.2 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 -0.1 -0.1 0.4 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.3 -0.5 -0.3 -0.1 -0.7 -0.3 -0.2 0.1 BITCOIN -0.6 -0.2 0.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 0.4 -0.0 0.6 -0.0 0.1 -0.1 -0.1 -0.2 -0.1 0.1 0.2 0.0 0.5 -0.0 -2.7 0.0 0.0 0.2 0.0 0.3 -0.0 -0.1 0.1 0.2 0.2 0.6 -0.2 0.2 0.3 0.4 BOBL -0.6 -0.1 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.1 0.0 -0.0 -0.0 0.0 -0.4 -0.3 -0.4 -0.4 0.0 0.0 0.0 -0.0 0.0 0.9 0.0 0.0 0.0 0.0 0.0 0.0 -1.1 0.1 -0.1 -0.2 -0.0 -0.7 -0.7 0.0 -0.7 BTP -0.5 0.2 0.6 0.0 0.0 0.1 0.0 -0.0 0.0 0.0 0.3 0.1 0.3 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.2 0.1 -1.6 0.0 0.0 0.1 0.0 0.1 0.0 0.7 0.0 0.1 -0.0 0.3 -0.6 -0.7 0.5 0.0 BUND -0.6 -0.0 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.1 0.0 -0.0 -0.0 0.0 0.1 0.1 0.1 0.1 0.0 0.1 0.0 -0.0 0.0 0.7 0.0 0.0 0.1 0.0 0.0 0.0 0.4 0.2 -0.1 -0.2 0.0 -0.7 -0.7 0.1 -0.3 BUXL -0.6 0.0 0.6 0.0 0.0 0.1 0.0 -0.0 0.0 0.0 0.1 0.0 -0.2 -0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.0 -0.1 -0.0 0.1 0.0 0.0 0.1 0.0 -0.0 0.0 0.1 0.1 -0.2 -0.2 0.0 -0.7 -0.7 0.1 0.2 CAC -0.0 -0.0 0.3 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.2 0.7 0.1 0.2 -0.2 -0.1 -0.2 -0.1 0.1 0.1 0.2 0.3 0.2 -1.1 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.4 0.0 -0.3 -0.2 0.0 0.3 0.2 0.5 CAD -0.5 0.2 0.3 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.0 0.0 -0.0 -0.1 -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 0.1 0.0 0.2 -0.4 -0.7 -0.5 -0.1 -0.5 CANOLA 0.1 -0.6 -0.6 0.0 0.0 -0.0 0.0 -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 -0.2 -0.4 -0.2 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.5 -0.6 -0.6 -0.6 -0.6 -0.5 -0.4 -0.1 CHF -0.6 0.1 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 -0.0 0.2 -0.0 -0.9 0.0 -0.0 0.1 -0.0 0.1 0.0 -1.1 0.2 -0.4 0.4 0.5 -0.7 -0.6 -0.6 -0.7 COCOA 0.6 -0.2 0.2 0.0 0.0 -0.0 0.1 -0.1 0.1 0.2 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 0.2 0.1 0.3 0.1 0.8 0.5 0.6 0.6 0.6 0.7 0.1 0.7 0.7 COFFEE -0.0 0.1 0.6 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 0.2 0.1 0.1 0.0 0.1 0.2 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.1 -2.6 0.0 0.0 0.1 0.0 0.1 0.0 0.9 0.1 -0.6 -0.0 0.6 -0.4 -0.7 -0.3 -0.4 COPPER 0.0 0.1 0.4 -0.0 -0.0 -0.1 -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 0.0 0.0 0.0 -0.1 0.1 -1.4 0.0 -0.0 0.0 0.0 -0.0 0.0 0.1 0.2 0.4 0.4 0.4 -0.4 -0.2 0.4 -0.1 CORN -0.3 -0.4 -0.3 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.5 -0.2 -0.7 -0.2 -0.2 -0.3 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.5 -0.2 -2.7 -0.1 -0.0 -0.2 -0.0 -0.2 -0.1 -0.1 -0.3 -0.6 -0.6 -0.6 -0.2 -0.6 -0.1 0.0 COTTON2 0.6 0.5 -0.2 0.0 0.0 -0.0 0.1 -0.1 0.1 0.2 -0.2 0.2 -0.2 0.2 0.0 -0.2 -0.0 -0.2 -0.1 0.1 -0.0 0.2 -0.2 0.2 -2.7 0.1 0.1 0.0 0.1 -0.0 0.1 0.0 0.5 0.6 0.6 -0.4 -0.5 -0.5 -0.3 -0.0 CRUDE_W 0.3 -0.1 -0.4 0.0 -0.0 -0.0 0.0 0.0 0.1 -0.1 0.1 -0.0 0.2 0.0 -0.1 0.2 0.2 0.2 0.2 -0.0 0.0 -0.1 0.2 0.0 -0.6 -0.0 -0.1 0.0 -0.0 0.2 0.0 -0.1 -0.4 -0.6 -0.3 0.1 0.7 0.6 0.7 0.6 DAX -0.1 0.1 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.3 0.2 0.2 0.1 0.4 0.2 2.3 0.1 0.0 0.2 0.0 0.1 0.0 -0.5 0.1 -0.1 -0.4 0.2 -0.0 0.3 0.3 0.7 DOW -0.2 0.6 0.6 0.1 0.1 0.1 0.1 0.1 0.1 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 -2.1 0.1 0.1 0.2 0.1 0.2 0.1 -0.4 0.3 0.6 0.6 0.6 -0.3 -0.1 -0.1 -0.3 DX 0.6 -0.1 -0.5 0.0 0.0 0.1 0.0 0.1 -0.0 -0.1 0.0 0.1 -0.2 0.1 -0.1 0.1 0.1 0.1 0.1 -0.0 -0.0 0.0 0.0 0.1 -2.7 -0.0 -0.0 -0.1 0.0 0.0 0.0 0.8 -0.4 0.6 -0.4 -0.6 0.7 0.1 0.7 0.3 EUR -0.5 -0.0 0.3 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 -0.1 -0.2 0.2 -0.2 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 -0.0 -0.1 2.2 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.4 -0.4 -0.1 -0.1 0.0 -0.7 -0.4 -0.7 -0.3 EURIBOR-ICE -0.6 -0.0 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 2.0 0.0 0.0 0.1 0.0 0.0 0.0 -0.2 0.1 -0.1 0.0 0.3 -0.7 -0.7 0.3 0.7 EUROSTX 0.1 0.0 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.2 0.0 0.1 0.1 0.2 0.2 0.2 0.4 0.2 0.3 0.1 0.1 0.1 0.1 0.2 0.1 0.7 0.5 0.4 -0.1 0.1 -0.1 0.3 -0.0 0.6 FEEDCOW 0.6 0.6 -0.6 0.0 0.0 -0.0 0.1 -0.1 0.1 0.2 -0.2 0.2 -0.1 0.2 0.0 -0.4 -0.4 -0.4 -0.4 0.2 -0.1 0.2 -0.1 0.2 -0.6 0.0 0.1 -0.0 0.1 0.1 0.1 -1.1 0.5 0.6 0.6 -0.6 0.6 0.2 0.7 0.6 GASOIL 0.6 0.1 -0.5 0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 0.2 0.1 0.2 0.1 -0.0 0.4 0.4 0.4 0.4 0.1 0.0 0.1 0.2 0.1 1.1 0.0 -0.0 0.0 0.1 0.1 0.1 1.1 0.4 0.2 0.2 0.2 -0.5 -0.1 -0.7 -0.3 GASOLINE 0.5 0.2 -0.4 0.0 -0.0 -0.0 0.0 0.0 0.1 -0.1 -0.0 0.0 0.2 0.1 0.0 -0.4 0.1 -0.4 -0.2 0.1 0.0 -0.0 0.1 0.1 -2.7 0.0 -0.1 0.0 -0.0 0.2 0.0 -0.7 -0.3 -0.4 0.0 0.3 0.7 0.4 0.7 0.4 GAS_US_mini -0.1 0.2 -0.5 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.1 0.2 -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 -0.4 -0.6 -0.3 -0.3 -0.5 0.1 -0.7 -0.1 GBP -0.2 0.2 0.4 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.1 0.1 -0.0 0.4 0.0 0.2 0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.0 0.2 0.0 0.3 0.1 -0.1 0.2 -0.0 0.1 0.0 0.2 -0.1 0.5 0.2 0.2 -0.7 -0.1 -0.6 0.3 GOLD_micro -0.3 -0.0 0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 0.3 0.1 0.3 -0.0 0.1 -0.3 -0.3 -0.3 -0.3 0.0 0.1 0.0 0.2 0.0 -0.7 0.0 0.0 0.1 0.0 0.1 0.0 -0.8 0.0 0.6 0.4 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL 0.5 0.1 -0.5 0.0 -0.0 -0.0 0.0 0.0 0.1 -0.1 0.1 0.1 0.2 0.1 -0.0 0.4 0.4 0.4 0.4 0.0 0.0 0.0 0.2 0.1 -2.7 0.0 -0.1 0.1 0.0 0.2 0.1 1.1 -0.1 -0.1 0.2 0.2 0.4 0.1 0.4 -0.1 JGB-SGX-mini -0.4 0.4 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 0.0 0.0 -0.0 0.1 -0.0 -0.4 0.0 0.0 0.0 -0.0 0.0 -0.0 1.1 -0.3 0.0 -0.1 -0.1 -0.1 -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 -0.0 -0.2 -0.1 -0.4 -0.1 -0.0 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.0 -0.3 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.0 -0.3 -0.2 -0.3 -0.4 -0.7 -0.3 -0.7 LEANHOG 0.6 0.4 0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 -0.1 0.2 -0.5 0.2 0.1 -0.4 -0.2 -0.4 -0.4 0.1 -0.0 0.2 -0.4 0.2 2.5 0.1 0.0 0.1 0.1 -0.1 0.1 -0.9 0.5 0.6 0.6 0.4 -0.3 -0.3 0.1 0.4 LIVECOW 0.6 0.3 -0.6 0.0 0.0 -0.0 0.1 -0.1 0.1 0.2 -0.2 0.2 -0.1 0.2 -0.0 -0.4 -0.2 -0.4 -0.3 0.1 -0.1 0.2 -0.2 0.2 -0.2 0.0 0.1 -0.1 0.1 0.1 0.1 -0.5 0.5 0.5 0.3 -0.6 0.5 -0.0 0.7 0.2 LUMBER-new -0.3 0.2 0.6 0.1 0.1 -0.0 0.1 -0.1 0.1 0.0 -0.0 0.1 -0.6 -0.0 0.2 -0.3 -0.3 -0.3 -0.3 0.1 0.1 0.0 -0.1 0.1 NaN 0.1 -0.0 0.1 0.0 0.0 0.0 -1.1 0.1 -0.7 0.2 0.7 -0.4 -0.8 -0.3 -0.8 MILK 0.6 0.3 -0.1 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 -0.4 0.1 -0.6 -0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 0.2 -0.5 0.1 1.6 -0.0 0.1 -0.2 0.1 -0.3 0.0 -1.1 0.5 0.2 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP -0.4 0.1 0.3 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 0.4 -0.0 0.7 0.1 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 0.4 0.0 1.1 0.1 0.2 0.2 0.1 0.6 0.7 0.7 0.7 NASDAQ_micro 0.1 0.2 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.4 0.1 0.5 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.1 0.0 0.2 0.0 -0.4 -0.1 0.6 0.6 0.5 0.6 -0.1 0.7 -0.2 NIKKEI 0.6 0.6 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.5 0.2 0.7 0.2 0.2 0.4 0.3 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 -0.5 0.6 0.6 0.4 -0.5 -0.1 -0.1 -0.0 NZD -0.6 -0.0 0.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.1 -0.1 0.0 -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 -0.0 -0.3 -0.2 -0.1 -0.4 -0.3 -0.2 0.2 OAT -0.6 0.0 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.1 0.0 -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 0.6 0.1 -0.1 -0.1 0.1 -0.7 -0.7 0.2 0.1 OATIES 0.1 0.1 -0.6 0.0 0.0 -0.0 0.0 -0.0 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 -0.1 -0.2 -0.1 -0.1 -0.5 -0.1 0.1 0.1 0.5 OJ 0.4 -0.6 -0.6 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 0.1 0.1 0.3 -0.0 -0.1 0.1 0.3 0.2 0.3 -0.0 0.0 0.2 0.5 0.1 -2.7 -0.0 0.1 0.1 0.1 0.3 0.0 1.1 0.5 0.0 -0.6 0.2 0.2 0.4 0.5 0.7 PALLAD -0.3 -0.3 0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -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 1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.4 -0.0 0.1 0.3 -0.3 -0.3 -0.2 -0.1 -0.1 PLAT -0.4 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 1.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.3 -0.1 -0.1 0.3 0.1 -0.3 -0.2 0.6 0.1 REDWHEAT 0.1 -0.1 -0.2 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.5 0.1 -0.7 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.5 -0.0 -1.9 -0.0 0.0 -0.2 0.0 -0.4 0.0 0.2 -0.1 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.6 RICE 0.2 0.1 0.4 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 0.5 0.2 0.6 0.2 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 0.1 -0.0 0.4 -0.1 -0.2 0.4 0.1 -0.3 0.3 0.0 ROBUSTA 0.6 0.6 0.6 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 0.4 0.1 0.5 0.1 0.2 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 0.3 0.6 0.6 0.6 -0.5 -0.5 -0.2 0.0 RUSSELL -0.3 0.3 0.6 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 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 0.1 0.0 -0.0 -0.2 -0.3 0.1 -0.1 -0.7 -0.7 -0.7 -0.7 SHATZ -0.6 -0.0 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -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 -0.2 -0.1 -0.7 -0.7 -0.3 -0.7 SILVER-mini -0.1 -0.3 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 0.8 -0.0 -0.0 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 0.2 -0.0 0.1 -0.7 -0.6 0.3 -0.3 SMI -0.2 0.3 0.4 0.1 0.0 0.1 0.1 0.1 0.0 -0.0 0.2 0.0 0.2 0.1 0.2 0.2 0.1 0.2 0.1 0.1 0.1 0.0 0.0 0.1 1.4 0.1 -0.0 0.1 0.0 0.0 0.0 1.1 -0.3 -0.2 0.1 -0.4 0.1 -0.2 0.4 -0.2 SOFR -0.5 0.2 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.2 0.0 0.0 0.0 0.1 0.0 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 0.3 0.1 0.1 -0.7 -0.7 -0.2 -0.1 SOYBEAN -0.1 -0.6 -0.3 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.2 -0.1 0.1 -0.2 -0.2 0.1 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 -0.3 -0.4 -0.7 -0.4 -0.7 SOYMEAL -0.0 -0.6 -0.3 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.3 -0.1 -0.1 -0.1 -0.1 0.1 0.3 0.2 0.2 -0.2 -0.1 -0.1 -0.1 -0.2 -2.7 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 1.1 -0.4 -0.6 -0.6 -0.2 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.1 -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 -0.1 0.0 -0.2 -0.2 -0.2 -0.3 -0.2 -2.7 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.7 -0.5 -0.6 -0.6 -0.5 -0.3 -0.1 -0.1 0.2 SP400 -0.2 0.3 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.3 0.1 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.2 0.1 -1.5 0.0 0.0 0.1 0.0 0.1 0.0 0.1 -0.3 -0.1 0.1 -0.0 -0.7 -0.3 -0.7 -0.7 SP500_micro 0.0 0.4 0.6 0.1 0.0 0.1 0.1 0.1 0.0 0.1 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 0.1 0.2 0.1 0.2 0.1 -0.5 0.3 0.6 0.6 0.5 0.1 -0.1 0.5 -0.2 SUGAR11 0.6 -0.1 -0.6 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.1 0.3 0.1 -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 -0.0 -0.6 -0.6 0.3 -0.1 0.5 0.2 US10 -0.4 0.3 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.1 0.0 -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 0.3 0.1 0.0 -0.7 -0.7 -0.6 0.3 US10U -0.4 0.2 0.6 0.0 0.0 0.1 0.0 -0.0 0.0 0.0 0.1 0.0 -0.1 -0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.0 0.1 -0.2 0.0 -0.2 0.0 0.0 0.1 0.0 -0.0 0.0 0.2 0.2 0.4 0.1 -0.0 -0.7 -0.7 0.2 0.6 US2 -0.4 0.3 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.2 0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.0 0.0 -0.0 -0.1 0.0 1.2 0.0 -0.0 0.1 0.0 -0.0 0.0 -1.1 -0.1 0.2 0.1 0.1 -0.6 -0.7 -0.5 -0.7 US20 -0.5 0.3 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.1 0.0 -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 0.2 0.3 0.1 0.0 -0.7 -0.7 0.7 0.7 US30 -0.5 0.2 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.0 0.1 -0.2 -0.1 -0.1 -0.1 0.0 0.0 0.0 -0.2 0.0 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.4 0.2 0.2 0.0 -0.1 -0.5 -0.6 0.7 0.7 US5 -0.4 0.2 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.1 -0.0 -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 0.3 0.1 0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.3 -0.2 -1.0 -0.1 0.0 -0.4 -0.0 -0.7 -0.1 0.2 -0.9 -0.1 -1.2 -0.2 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 0.0 -0.9 -0.2 NaN -0.1 0.0 -0.4 -0.0 -0.8 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.2 0.0 0.2 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.5 -0.1 -0.7 -0.1 -0.1 -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 -0.4 -0.0 -0.6 -0.3 -0.6 -0.5 -0.2 -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 -1.0 14.2 2.4 -4.2 4.4 -2.4 3.9 -1.1 -16.4 -0.5 -16.7 -8.0 -16.8 1.9 -2.5 -2.8 -2.6 -2.7 -2.3 2.1 -14.0 -3.6 -11.6 2.8 -0.5 -8.5 1.4 -6.3 -0.8 -4.6 -1.1 -10.8 -14.8 -8.1 -3.1 -20.0 -10.0 -6.1 3.4 BITCOIN -20.0 -6.3 15.8 -4.1 -2.3 -2.7 -0.6 -1.1 -3.2 14.2 15.2 -3.5 17.1 -4.2 12.4 -6.6 -6.4 -7.5 -7.4 9.1 18.9 3.8 17.4 -0.1 -20.0 3.8 2.9 8.2 1.2 7.7 -0.3 -1.5 5.8 6.7 7.4 20.0 -5.8 6.7 8.1 11.6 BOBL -20.0 -2.5 20.0 1.5 0.0 1.3 0.4 -0.4 0.5 1.4 3.5 0.8 -0.7 -3.3 3.4 -20.0 -14.3 -20.0 -20.0 2.9 4.3 2.0 -0.2 0.3 7.0 1.2 0.8 1.7 1.2 0.3 0.4 -20.0 6.0 -3.8 -5.2 -0.3 -20.0 -20.0 0.5 -20.0 BTP -14.8 4.9 20.0 2.6 0.1 2.2 0.7 -0.6 0.9 3.4 9.4 4.9 8.3 0.6 9.7 4.6 6.7 5.1 5.7 11.7 13.7 3.6 7.0 4.9 -12.1 3.7 0.2 4.4 1.4 2.5 1.7 12.3 2.0 4.1 -1.1 7.7 -16.8 -20.0 13.6 0.9 BUND -20.0 -1.3 20.0 1.8 0.0 1.5 0.5 -0.4 0.6 2.8 4.2 1.2 -0.9 -4.0 4.0 5.1 4.4 3.8 3.1 4.0 5.4 3.2 -0.3 0.8 4.9 1.4 1.8 1.9 1.6 0.3 0.5 7.8 7.3 -3.2 -5.7 0.4 -20.0 -20.0 2.1 -9.2 BUXL -20.0 0.4 20.0 2.2 0.0 1.9 0.6 -0.5 0.7 3.6 4.6 0.3 -4.6 -5.9 4.4 0.1 0.5 0.1 0.3 4.2 5.3 2.9 -2.9 -0.2 0.8 1.5 2.4 1.9 1.4 -0.2 0.2 2.5 3.7 -4.8 -7.1 0.9 -20.0 -20.0 1.5 6.8 CAC -0.7 -1.1 9.8 6.0 6.5 5.2 5.9 3.3 5.4 11.0 15.6 14.8 19.3 11.9 17.9 -8.6 -5.2 -8.5 -7.3 13.3 11.3 18.4 11.3 15.3 -8.5 5.4 4.2 4.6 7.8 3.9 6.4 0.0 15.6 0.3 -8.2 -7.5 0.6 9.9 6.2 16.4 CAD -14.1 6.4 9.8 2.9 -5.2 5.4 -2.9 4.8 -1.4 4.5 0.6 -1.1 -3.8 -6.2 7.1 -1.6 -2.1 -1.9 -2.1 4.6 4.2 -0.1 -2.8 -0.4 1.4 2.9 -1.7 2.3 0.3 -1.1 0.4 0.0 4.4 0.8 6.1 -10.9 -20.0 -15.9 -2.0 -14.9 CANOLA 3.0 -18.8 -20.0 1.9 2.4 -0.2 4.4 -1.5 4.1 -9.9 -10.5 -10.0 -8.9 -10.6 -11.1 -9.6 -2.0 -10.2 -7.9 -19.2 -19.7 -17.2 -16.0 -16.1 -20.0 -4.2 -5.2 -4.4 -4.0 -3.8 -3.6 -0.9 -20.0 -20.0 -20.0 -20.0 -18.1 -15.3 -10.7 -4.0 CHF -20.0 3.7 12.4 2.4 -4.2 4.4 -2.3 3.9 -1.1 -0.7 7.2 -9.1 10.8 -6.8 7.0 -14.7 -15.5 -15.7 -15.8 4.9 9.0 -4.8 7.5 -3.8 -6.8 3.7 -2.4 4.5 -1.2 3.0 0.1 -20.0 9.1 -11.7 13.2 14.7 -20.0 -18.0 -17.0 -20.0 COCOA 20.0 -5.2 6.4 3.8 4.6 -0.3 8.6 -2.8 7.9 19.8 20.0 20.0 20.0 20.0 20.0 12.9 3.1 10.3 6.5 20.0 20.0 20.0 20.0 20.0 -20.0 8.1 10.8 8.9 9.9 9.5 8.4 15.2 20.0 20.0 20.0 20.0 20.0 3.4 20.0 20.0 COFFEE -0.6 4.1 20.0 2.8 3.3 -0.2 6.3 -2.1 5.8 7.0 7.9 12.3 1.8 1.8 9.0 9.4 5.1 8.5 6.7 9.6 10.0 7.5 4.2 7.3 -19.5 3.7 1.1 5.1 2.3 3.3 1.8 17.4 2.3 -19.6 -0.9 20.0 -12.2 -20.0 -9.9 -10.6 COPPER 0.1 1.7 11.9 -3.7 -2.1 -2.4 -0.5 -1.0 -3.0 1.9 0.1 7.9 -4.1 1.2 8.4 -6.5 -4.9 -6.3 -5.9 4.2 2.2 3.7 -2.3 4.7 -10.3 1.9 -5.0 1.5 1.1 -0.6 1.7 1.1 7.2 11.5 13.2 11.9 -13.1 -5.6 13.0 -2.1 CORN -9.7 -13.7 -8.2 4.3 5.1 -0.4 9.7 -3.2 9.0 -1.6 -20.0 -16.3 -20.0 -20.0 -20.0 -12.7 -3.6 -10.8 -8.3 -20.0 -20.0 -9.6 -20.0 -20.0 -20.0 -8.2 -0.7 -7.3 -1.9 -6.4 -5.9 -2.8 -14.2 -20.0 -20.0 -20.0 -5.1 -17.9 -1.6 1.4 COTTON2 20.0 14.4 -7.1 4.3 5.1 -0.4 9.7 -3.2 8.9 20.0 -7.0 20.0 -5.8 20.0 4.5 -7.8 -1.9 -7.8 -5.8 13.8 -1.3 20.0 -7.8 20.0 -20.0 5.9 9.6 1.3 9.4 -0.2 9.4 0.9 20.0 20.0 20.0 -13.5 -15.4 -15.8 -7.6 -0.1 CRUDE_W 8.7 -2.7 -11.7 1.6 -4.7 -0.4 3.6 1.2 5.5 -15.6 4.3 -0.8 6.3 3.9 -10.1 7.6 9.4 7.7 8.5 -1.3 0.4 -6.3 6.8 1.5 -4.7 -0.2 -16.6 0.8 -3.8 5.4 1.4 -1.1 -16.0 -19.3 -9.5 4.4 20.0 16.6 20.0 18.8 DAX -4.6 2.2 20.0 5.9 6.4 5.1 5.8 3.3 5.3 13.1 18.7 16.8 19.4 16.8 20.0 -15.5 -10.5 -14.4 -12.5 19.5 19.2 11.2 14.9 13.9 17.1 6.1 2.3 5.9 3.8 4.1 4.4 -8.8 2.2 -4.5 -11.6 5.1 -0.1 7.9 9.6 20.0 DOW -6.9 17.3 20.0 5.6 6.1 4.9 5.5 3.1 5.0 18.7 20.0 19.6 19.2 20.0 20.0 -13.2 -10.0 -12.2 -11.3 20.0 20.0 20.0 20.0 20.0 -15.5 7.8 6.6 7.1 6.0 4.9 6.4 -7.6 13.5 18.4 20.0 20.0 -9.2 -3.9 -3.2 -8.4 DX 18.0 -2.5 -14.1 2.7 2.9 4.4 0.2 3.7 -0.2 -13.0 1.6 11.3 -6.3 12.1 -4.7 5.6 6.0 5.9 6.1 -0.7 -3.3 3.7 1.1 6.6 -20.0 -1.9 -3.4 -2.2 0.9 0.8 1.5 14.1 -14.6 20.0 -12.8 -20.0 20.0 2.8 20.0 9.1 EUR -14.5 -0.4 9.6 2.6 -4.5 4.7 -2.5 4.2 -1.2 -13.8 -2.3 -18.0 6.7 -14.1 3.7 -5.9 -6.6 -5.9 -6.1 -2.2 1.3 -12.0 -0.5 -9.7 16.2 0.7 -6.2 1.9 -5.6 0.4 -3.4 -7.2 -14.6 -3.3 -2.8 0.1 -20.0 -12.3 -20.0 -9.2 EURIBOR-ICE -20.0 -1.2 20.0 1.4 0.0 1.2 0.4 -0.4 0.5 2.0 5.7 1.6 2.7 -0.6 5.4 3.5 -4.3 0.7 -2.0 7.0 9.7 2.4 4.4 2.2 15.1 2.1 0.5 2.9 0.9 1.4 0.8 -4.3 5.6 -2.1 0.3 8.9 -20.0 -20.0 7.6 20.0 EUROSTX 4.1 0.9 15.3 5.8 6.3 5.0 5.7 3.2 5.2 18.6 17.4 19.8 19.6 17.2 19.9 10.8 1.0 7.0 3.0 20.0 17.5 20.0 15.4 20.0 2.2 6.5 7.1 5.4 9.1 4.2 7.5 13.5 20.0 13.8 -3.7 3.8 -4.0 10.1 -0.4 18.6 FEEDCOW 20.0 20.0 -20.0 3.8 4.5 -0.3 8.5 -2.8 7.9 19.7 -7.2 20.0 -2.5 20.0 1.6 -20.0 -20.0 -20.0 -20.0 17.2 -6.6 20.0 -4.0 20.0 -4.8 3.4 9.7 -0.4 10.5 1.5 8.6 -20.0 20.0 20.0 20.0 -20.0 18.7 6.9 20.0 16.8 GASOIL 18.8 4.1 -14.7 1.3 -3.9 -0.3 3.0 1.0 4.5 0.1 5.6 8.9 6.8 11.9 -1.8 20.0 20.0 20.0 20.0 5.7 2.9 10.9 7.4 13.4 8.0 2.9 -2.8 1.8 5.1 3.4 6.1 20.0 14.9 5.5 6.5 4.7 -14.1 -3.9 -20.0 -9.8 GASOLINE 14.4 6.4 -11.3 1.6 -4.6 -0.4 3.6 1.2 5.4 -16.0 -1.3 4.6 5.6 11.3 4.1 -20.0 7.4 -20.0 -9.2 4.9 0.8 -2.2 5.2 8.5 -20.0 2.1 -12.8 0.6 -1.7 4.4 3.8 -13.8 -13.4 -11.8 0.1 9.5 20.0 12.7 20.0 11.0 GAS_US_mini -4.3 5.3 -15.4 0.8 -2.2 -0.2 1.7 0.6 2.6 -7.7 -9.2 -9.6 -11.1 -7.7 -9.2 12.3 -18.2 7.7 -9.0 -11.1 -14.2 -8.5 -18.2 -8.8 16.2 -3.0 -2.3 -3.7 -2.6 -3.3 -2.3 -20.0 -18.5 -20.0 -9.7 -8.7 -15.2 1.8 -20.0 -2.2 GBP -6.7 5.1 11.8 2.8 -5.0 5.2 -2.8 4.6 -1.4 -10.9 2.8 -3.7 12.5 4.5 18.6 0.0 -0.6 -0.2 -0.3 8.9 9.7 -3.5 6.2 2.0 2.5 6.5 -5.6 6.2 -1.8 2.8 2.2 2.9 -3.3 16.6 6.3 7.2 -20.0 -1.8 -17.9 8.2 GOLD_micro -7.8 -0.2 9.6 -3.9 -2.2 -2.5 -0.5 -1.0 -3.1 7.1 10.6 5.0 8.5 -3.7 9.7 -14.5 -14.1 -14.3 -14.5 3.3 6.6 4.4 5.8 0.2 -5.3 3.2 3.6 3.8 4.2 3.4 2.7 -14.3 1.5 17.9 12.9 20.0 -20.0 -20.0 -20.0 -14.8 HEATOIL 16.4 3.1 -14.9 1.5 -4.5 -0.4 3.5 1.2 5.3 -11.8 3.6 7.5 5.1 12.0 -4.3 20.0 20.0 20.0 20.0 3.3 0.6 4.4 6.7 10.4 -20.0 3.2 -7.6 2.3 2.0 5.4 5.6 20.0 -2.6 -1.7 5.0 6.4 13.5 2.0 11.9 -2.3 JGB-SGX-mini -13.2 11.5 16.5 1.4 2.8 1.2 1.2 -0.3 0.6 -0.3 4.3 -3.8 4.7 2.4 5.5 7.8 17.7 11.0 13.6 4.1 4.6 -2.2 2.9 -0.2 -3.4 1.3 0.6 1.3 -1.0 0.3 -0.3 20.0 -13.5 0.5 -3.3 -3.6 -1.7 -20.0 8.3 13.8 JPY -18.4 -2.6 17.3 1.4 -2.4 2.6 -1.4 2.3 -0.7 -3.8 -7.7 -8.3 -10.1 -9.7 -4.6 -14.8 -16.0 -15.5 -16.1 -5.6 -6.3 -4.9 -11.9 -7.5 20.0 -1.4 -2.0 -2.2 -1.8 -4.8 -2.3 -20.0 1.9 -8.6 -5.6 -10.0 -13.3 -20.0 -8.0 -20.0 LEANHOG 20.0 13.7 0.5 3.8 4.6 -0.3 8.6 -2.8 7.9 14.4 -2.5 18.5 -12.9 19.9 9.5 -20.0 -8.2 -20.0 -20.0 12.8 -3.8 20.0 -15.9 20.0 18.7 6.6 3.0 2.1 6.9 -2.8 8.4 -16.0 20.0 20.0 20.0 11.9 -10.0 -7.9 3.9 11.9 LIVECOW 20.0 10.2 -20.0 4.0 4.9 -0.4 9.2 -3.0 8.5 20.0 -8.3 20.0 -2.7 20.0 -3.4 -20.0 -8.6 -18.2 -13.4 6.6 -12.2 20.0 -5.6 20.0 -1.8 1.0 11.9 -2.6 11.3 1.4 7.9 -10.0 20.0 16.5 9.7 -20.0 14.0 -1.3 20.0 5.1 LUMBER-new -7.2 4.7 14.7 4.4 5.3 -0.3 9.9 -2.7 9.2 1.4 -0.3 7.1 -15.1 -0.7 13.8 -14.5 -14.4 -14.2 -14.2 8.0 6.2 1.3 -3.0 4.1 NaN 5.3 -3.8 4.4 1.3 0.8 3.5 -17.0 3.1 -20.0 5.2 17.7 -10.4 -20.0 -7.0 -20.0 MILK 20.0 8.7 -3.3 2.9 3.5 -0.3 6.6 -2.2 6.1 11.7 -15.5 10.6 -16.4 -2.1 -13.5 -20.0 -20.0 -20.0 -20.0 -10.6 -19.8 18.8 -20.0 4.8 12.3 -2.7 9.5 -6.1 7.8 -7.7 2.9 -20.0 20.0 4.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP -13.3 3.4 8.7 2.4 -4.2 4.4 -2.4 3.9 -1.2 12.7 15.7 -2.9 18.9 5.0 15.0 15.5 16.4 15.3 15.3 9.1 14.7 2.3 20.0 2.5 -20.0 4.3 2.7 7.0 1.1 10.6 1.1 20.0 5.8 7.7 4.7 3.4 17.9 20.0 20.0 20.0 NASDAQ_micro 3.4 6.1 18.3 3.9 4.2 3.4 3.8 2.2 3.5 10.8 14.4 12.4 14.1 13.2 14.7 -11.6 -9.6 -11.4 -10.7 20.0 20.0 13.8 18.8 18.0 -20.0 5.4 2.8 5.2 2.9 4.7 4.4 -6.6 -2.1 20.0 20.0 14.7 16.6 -4.2 20.0 -6.2 NIKKEI 20.0 19.3 14.9 5.2 5.6 4.5 5.1 2.9 4.7 6.9 18.8 15.1 19.1 16.7 18.8 17.9 12.7 16.0 13.8 20.0 20.0 17.2 20.0 20.0 -14.5 6.7 2.4 5.5 3.2 4.8 5.8 20.0 -20.0 20.0 20.0 13.4 -15.3 -3.2 -2.7 -0.0 NZD -20.0 -1.0 15.3 2.1 -3.7 3.9 -2.1 3.5 -1.0 -6.7 3.3 -11.6 1.2 -12.7 5.6 0.2 0.2 0.2 0.2 0.6 4.7 -7.7 0.1 -7.4 0.4 0.7 -4.5 2.5 -3.4 0.8 -2.9 4.0 -1.7 -10.3 -6.4 -2.2 -10.8 -9.9 -5.5 5.1 OAT -20.0 0.2 20.0 1.9 0.0 1.6 0.5 -0.5 0.6 3.2 5.1 2.0 -0.2 -3.8 5.0 5.0 6.7 5.1 5.5 5.6 7.2 3.2 1.1 1.5 6.7 1.9 1.4 2.4 1.4 0.7 0.7 12.1 6.2 -2.2 -4.6 2.7 -20.0 -20.0 5.3 3.1 OATIES 4.1 2.4 -20.0 1.6 2.0 -0.1 3.7 -1.2 3.4 1.2 -7.8 1.2 -6.1 -0.3 -6.1 6.4 -5.2 0.3 -4.6 -4.8 -7.5 1.8 -5.4 -0.5 -20.0 -0.9 0.5 -2.8 1.7 -2.3 1.2 -2.4 -8.0 -4.0 -3.3 -15.1 -3.1 3.8 3.9 15.3 OJ 13.4 -20.0 -20.0 2.2 4.3 -0.3 6.2 -1.9 5.1 12.3 4.2 10.1 9.4 -0.9 -6.6 3.7 17.0 8.2 13.5 -3.8 4.4 20.0 17.9 7.1 -20.0 -0.1 9.2 2.7 6.8 7.1 2.1 20.0 20.0 0.2 -20.0 6.0 7.3 11.5 14.4 20.0 PALLAD -10.2 -9.4 11.7 -1.6 -0.9 -1.0 -0.2 -0.4 -1.3 -1.7 -7.0 -1.7 -8.5 -6.3 -6.1 -1.6 -2.2 -1.8 -2.0 -7.5 -9.2 -2.1 -12.9 -5.4 8.1 -1.5 -1.0 -2.9 -0.1 -4.0 -0.4 6.8 -0.6 1.8 10.6 -8.6 -8.7 -7.4 -4.4 -2.8 PLAT -13.7 -3.1 4.2 -2.5 -1.5 -1.7 -0.4 -0.7 -2.0 -5.0 -4.1 -5.1 -6.8 -8.2 -2.6 -3.9 -3.1 -3.8 -3.5 -4.2 -3.0 -3.5 -3.7 -5.4 11.9 -1.1 -3.9 -0.4 -1.1 -0.5 -1.5 4.7 -3.0 -4.5 7.8 3.4 -10.3 -5.3 17.3 1.5 REDWHEAT 2.5 -2.6 -5.9 3.6 4.3 -0.3 8.1 -2.7 7.5 0.7 -19.3 5.9 -19.8 -6.6 -12.1 -0.9 -1.5 -2.6 -2.7 -12.9 -20.0 0.5 -20.0 -4.0 -14.1 -3.7 1.3 -9.1 2.1 -10.5 1.0 3.9 -5.1 -19.3 -19.5 -20.0 -20.0 -20.0 -20.0 -17.2 RICE 6.2 2.5 10.9 3.6 4.3 -0.3 8.1 -2.7 7.5 16.6 18.4 16.4 15.8 16.3 17.9 -15.0 -2.0 -14.4 -9.6 17.0 16.3 20.0 12.8 17.7 -20.0 4.2 12.4 4.1 9.6 3.7 6.3 -0.9 15.8 -3.6 -4.9 11.3 1.8 -7.9 8.9 0.9 ROBUSTA 18.5 20.0 20.0 2.4 3.0 -0.2 5.6 -1.8 5.1 4.5 14.0 12.2 13.9 13.8 14.4 20.0 20.0 20.0 20.0 20.0 20.0 19.5 20.0 20.0 -20.0 5.3 0.6 5.0 2.6 4.0 4.2 20.0 10.5 20.0 20.0 20.0 -14.7 -15.2 -5.7 1.0 RUSSELL -10.7 8.6 19.6 3.4 3.7 3.0 3.3 1.9 3.1 -3.4 6.1 2.1 2.9 -0.1 7.2 -6.2 -6.2 -6.3 -6.4 7.5 7.5 -0.2 2.7 2.7 -2.2 3.1 -0.9 2.8 0.2 1.4 1.6 -0.0 -9.8 -7.9 2.0 -2.2 -20.0 -20.0 -20.0 -20.0 SHATZ -18.7 -0.9 20.0 1.4 0.0 1.2 0.4 -0.3 0.5 -1.0 1.3 -1.3 -4.1 -3.6 1.7 -20.0 -20.0 -20.0 -20.0 1.1 1.8 -0.3 -2.6 -1.0 8.2 1.0 -0.8 1.3 0.2 -0.5 0.1 -20.0 1.4 -4.9 -4.9 -2.0 -20.0 -20.0 -8.2 -20.0 SILVER-mini -4.5 -8.9 0.7 -3.3 -1.9 -2.2 -0.5 -0.9 -2.6 4.3 -3.5 1.6 -0.4 -8.6 -7.3 -6.7 -6.5 -6.9 -6.8 -7.0 -4.7 -1.3 -2.4 -5.8 5.7 -2.9 -2.2 -1.9 0.2 -0.5 -1.6 -1.1 -1.8 7.5 -0.7 2.1 -20.0 -17.5 9.4 -8.1 SMI -5.5 9.5 11.7 5.2 5.5 4.4 5.0 2.8 4.6 -3.0 8.5 2.5 4.8 10.3 17.7 11.4 5.4 10.1 7.4 11.4 7.4 3.5 1.8 8.8 10.2 5.8 -2.1 4.3 1.6 1.2 4.1 20.0 -13.1 -5.2 3.1 -11.5 3.2 -6.3 11.7 -6.7 SOFR -15.0 5.0 20.0 2.0 0.0 1.7 0.6 -0.5 0.7 1.9 5.8 2.1 0.3 0.2 7.7 2.4 0.2 1.7 0.9 5.3 5.1 3.2 -0.2 2.2 -2.3 3.4 1.0 2.7 2.3 0.4 2.4 2.4 5.1 8.9 2.8 1.8 -20.0 -20.0 -7.5 -3.4 SOYBEAN -2.3 -20.0 -10.5 3.7 4.4 -0.3 8.4 -2.8 7.7 -14.4 -8.7 -13.7 1.4 -19.1 -19.7 7.4 15.8 11.2 12.9 -20.0 -16.4 -16.2 -7.7 -20.0 -20.0 -6.3 -7.6 -3.3 -5.4 -0.7 -6.4 20.0 -20.0 -20.0 -20.0 -10.1 -12.2 -20.0 -12.1 -20.0 SOYMEAL -1.1 -20.0 -10.4 2.5 3.1 -0.2 5.8 -1.9 5.4 -4.3 -10.7 -7.1 -3.5 -12.5 -13.5 4.1 14.2 7.6 10.8 -18.0 -12.1 -6.8 -3.8 -14.5 -20.0 -4.5 -1.6 -2.5 -1.8 0.1 -3.9 20.0 -15.2 -20.0 -20.0 -7.6 -20.0 -20.0 -20.0 -19.3 SOYOIL -4.2 -10.3 -17.7 2.5 3.0 -0.2 5.7 -1.9 5.2 -12.6 -11.6 -12.7 -8.7 -13.7 -14.4 -7.4 5.3 -3.2 1.2 -16.3 -16.6 -16.7 -12.7 -15.1 -20.0 -4.3 -10.1 -4.4 -7.4 -3.6 -5.0 13.6 -20.0 -20.0 -18.8 -14.5 -8.6 -3.3 -3.8 6.5 SP400 -6.7 10.8 19.5 4.0 4.2 3.4 3.9 2.2 3.5 3.6 10.1 7.2 7.2 5.9 11.7 -5.5 -5.2 -5.4 -5.3 11.9 11.2 3.6 5.9 6.6 -11.1 4.1 0.7 3.9 1.2 2.4 2.5 1.8 -11.3 -4.6 2.8 -0.5 -20.0 -8.9 -20.0 -20.0 SP500_micro 0.4 11.3 20.0 5.1 5.5 4.4 5.0 2.8 4.6 16.2 18.6 17.2 17.1 18.6 20.0 -12.9 -10.7 -12.5 -11.8 20.0 20.0 20.0 18.8 20.0 -20.0 7.1 5.6 6.2 5.2 4.8 6.2 -8.5 11.1 20.0 20.0 16.0 4.1 -4.0 15.5 -6.3 SUGAR11 20.0 -4.0 -20.0 2.5 3.0 -0.2 5.7 -1.9 5.3 -4.5 -3.9 9.0 7.0 6.5 -3.7 19.9 19.5 20.0 20.0 -2.4 -6.0 9.0 3.1 8.8 -20.0 -2.2 0.3 -2.4 1.3 1.3 0.7 20.0 -5.3 -0.2 -20.0 -20.0 7.6 -4.0 14.4 7.3 US10 -11.8 8.0 20.0 1.6 0.0 1.4 0.5 -0.4 0.5 1.6 2.4 1.7 -2.6 1.0 6.3 -10.3 -7.9 -9.3 -8.6 4.2 2.6 3.1 -3.9 2.2 1.8 2.8 1.0 1.7 2.0 -0.7 2.1 -12.7 3.6 9.2 3.4 0.3 -20.0 -20.0 -18.1 7.7 US10U -12.2 7.5 20.0 2.3 0.1 2.0 0.7 -0.6 0.8 3.6 2.5 3.2 -3.7 -0.4 8.0 1.8 0.8 2.1 1.4 5.3 2.8 5.7 -6.1 3.1 -1.5 3.7 2.4 2.1 3.5 -1.2 3.1 3.3 7.5 12.6 4.1 -0.6 -20.0 -20.0 6.3 17.8 US2 -10.9 8.8 20.0 1.4 0.0 1.2 0.4 -0.3 0.5 -2.7 1.4 -3.9 -4.5 1.4 4.8 -20.0 -20.0 -20.0 -20.0 3.2 1.9 -0.5 -4.5 0.7 8.7 2.5 -0.9 1.9 0.4 -0.7 1.3 -20.0 -4.0 6.0 3.5 2.2 -19.4 -20.0 -14.1 -20.0 US20 -15.4 8.6 20.0 1.6 0.0 1.4 0.5 -0.4 0.5 3.9 2.2 2.8 -1.9 -0.7 5.5 0.1 -1.1 -0.3 -0.7 4.2 2.5 4.8 -4.1 2.2 -1.6 2.5 2.3 1.4 2.5 -0.8 2.1 -0.4 6.6 8.0 3.9 1.2 -20.0 -20.0 20.0 20.0 US30 -14.9 4.7 19.6 1.9 0.0 1.6 0.6 -0.5 0.6 5.0 1.5 3.3 -3.5 -2.8 5.2 -9.3 -5.2 -7.5 -6.4 2.8 1.3 5.5 -6.0 1.3 -1.1 2.5 3.2 1.3 3.2 -1.4 2.2 -8.2 7.9 7.2 0.5 -1.8 -15.9 -17.7 20.0 20.0 US5 -12.1 7.4 20.0 1.6 0.0 1.4 0.5 -0.4 0.5 0.0 3.2 -0.5 -2.9 1.7 6.3 -10.8 -10.3 -10.3 -10.6 4.0 2.9 1.6 -3.2 1.7 4.1 2.8 0.0 2.0 1.4 -0.3 1.9 -16.6 0.5 8.3 3.6 1.4 -20.0 -20.0 -20.0 -7.4 VIX 5.9 -3.2 -20.0 -6.8 2.6 -8.6 -0.6 -11.4 -4.4 13.6 -20.0 -3.6 -20.0 -14.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 0.2 -20.0 -9.7 NaN -8.0 3.1 -10.4 -0.1 -13.6 -4.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -5.3 0.6 6.3 3.7 4.5 -0.3 8.5 -2.8 7.8 -10.9 -18.9 -6.5 -20.0 -10.9 -4.9 -11.5 -10.6 -11.3 -11.1 -9.3 -16.4 -4.5 -20.0 -6.8 -2.8 -2.1 -1.2 -5.7 -0.9 -9.9 -0.6 -11.2 -13.3 -20.0 -16.6 -6.2 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3