******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240205_204029 produced at 2024-02-05 21:38:01.320492 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -53.02 17.0 -17 -17 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.21 0.0 0.00 0.00 0.00 0.00 -2.49 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.15 0.0 0.00 0.00 0.00 0.00 -3.95 24.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.12 0.0 0.00 0.00 0.00 0.00 -1.70 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 -11.07 12.0 -10 -10 caleb_strategy_v3 CHF False False 0.05 -0.25 -0.09 0.0 0.64 -0.64 -0.25 -0.25 -1.74 13.0 -5 -5 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.16 -0.16 -0.02 -0.02 -21.40 51.0 -6 -6 caleb_strategy_v3 JPY False False 0.03 0.00 -0.06 0.0 0.49 -0.49 0.00 0.00 -2.06 17.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.06 0.0 0.42 -0.42 0.00 0.00 -2.62 19.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.14 -0.05 0.0 0.64 -0.64 -0.14 -0.14 -1.07 14.0 -3 -3 caleb_strategy_v3 BOBL False False 0.04 -0.39 -0.05 0.0 0.82 -0.82 -0.39 -0.39 -1.16 19.0 -9 -9 caleb_strategy_v3 GOLD_micro False False 0.01 -0.06 -0.05 0.0 0.39 -0.39 -0.06 -0.11 -6.70 56.0 -9 -16 caleb_strategy_v3 CAD False False 0.03 0.00 -0.05 0.0 0.73 -0.73 0.00 0.00 -2.08 29.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.04 0.0 0.19 -0.19 0.00 0.00 -1.25 6.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.22 -0.04 0.0 0.91 -0.91 -0.22 -0.22 -1.09 25.0 -6 -6 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.04 0.0 0.05 -0.05 -0.02 -0.02 -21.82 26.0 -10 -13 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.14 -0.14 -0.04 -0.04 -1.44 7.0 -2 -2 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.03 0.0 0.23 -0.23 -0.03 -0.01 -8.83 68.0 -8 -4 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.03 0.0 0.19 -0.19 0.00 0.00 -0.33 2.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.08 -0.08 -0.03 -0.03 -2.54 8.0 -3 -3 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -2.11 5.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.10 -0.10 -0.04 -0.04 -2.93 9.0 -4 -4 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -4.15 3.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.18 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 -1.13 21.0 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 -1.04 0.0 0 0 caleb_strategy_v3 US10 False False 0.04 -0.04 -0.02 0.0 0.64 -0.64 -0.04 -0.04 -0.55 17.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.11 -0.11 0.00 0.00 -1.50 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 -1.90 10.0 -3 -3 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.01 0.0 0.07 -0.07 -0.03 -0.03 -0.21 2.0 -1 -1 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.01 0.0 0.14 -0.14 0.00 0.00 -0.33 4.0 0 0 caleb_strategy_v3 COTTON2 False False 0.02 -0.05 -0.01 0.0 0.17 -0.17 -0.05 -0.05 -0.45 11.0 -3 -3 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.09 6.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.09 4.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 0.00 0.0 0.15 -0.15 0.00 0.00 0.12 10.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.00 0.0 0.16 -0.16 0.00 0.00 -0.21 18.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.04 0.00 0.0 0.51 -0.51 0.04 0.04 0.08 13.0 1 1 caleb_strategy_v3 US20 False False 0.04 0.12 0.00 0.0 0.37 -0.37 0.12 0.12 0.08 9.0 3 3 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.26 -0.26 0.00 0.00 -0.04 6.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.00 0.0 0.49 -0.49 0.00 0.00 -0.05 10.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.13 0.01 0.0 0.59 -0.59 0.13 0.13 0.49 22.0 5 5 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.06 -0.06 0.00 0.00 0.63 3.0 0 0 caleb_strategy_v3 BITCOIN False True 0.00 0.02 0.01 0.0 0.02 0.00 0.02 0.02 5.52 59.0 15 15 caleb_strategy_v3 RICE False False 0.01 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 1.03 4.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.04 0.02 0.0 0.43 -0.43 0.04 0.04 0.44 10.0 1 1 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.02 0.0 0.24 -0.24 0.02 0.02 1.51 23.0 2 2 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.02 0.0 0.42 -0.42 0.00 0.00 0.85 17.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.02 0.0 0.11 -0.11 0.00 0.00 0.67 3.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 0.03 0.0 0.47 -0.47 0.00 0.00 0.57 10.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.03 0.0 0.12 -0.12 0.02 0.02 1.41 5.0 1 1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.23 0.03 0.0 0.28 -0.28 0.23 0.19 2.64 23.0 19 16 caleb_strategy_v3 FEEDCOW False False 0.04 0.22 0.03 0.0 0.35 -0.35 0.22 0.22 0.64 8.0 5 5 caleb_strategy_v3 DX False False 0.04 0.00 0.04 0.0 999.00 -999.00 0.00 0.00 1.04 999999999.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.04 0.0 0.11 -0.11 0.03 0.03 1.66 4.0 1 1 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.04 0.0 0.41 -0.41 0.03 0.02 5.13 48.0 3 2 caleb_strategy_v3 DOW False False 0.01 0.06 0.05 0.0 0.43 -0.43 0.06 0.03 7.02 66.0 9 5 caleb_strategy_v3 COCOA False False 0.02 0.09 0.05 0.0 0.45 -0.45 0.09 0.09 2.94 26.0 5 5 caleb_strategy_v3 CAC False True 0.03 0.00 0.05 0.0 0.00 0.00 0.00 0.00 1.82 12.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.04 0.06 0.0 0.15 -0.15 0.04 0.04 5.00 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 1.73 9.0 9 9 caleb_strategy_v3 DAX False False 0.01 0.00 0.12 0.0 0.36 -0.36 0.00 0.00 18.48 58.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.22 0.13 0.0 0.34 -0.34 0.22 0.22 7.67 20.0 13 13 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.29 0.0 0.30 -0.30 0.28 0.28 35.25 36.0 34 34 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.37 0.33 0.0 0.54 -0.54 0.37 0.37 9.94 16.0 11 11 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.18 0.44 0.0 0.90 -0.90 0.18 0.18 4.90 10.0 2 2 caleb_strategy_v3 MXP False False 0.01 0.46 0.51 0.0 0.59 -0.59 0.46 0.48 51.24 60.0 47 49 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.2 Shocked risk 63.0 Sum abs risk 52.8 Leverage 4.29 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2934843.38, 'annual_cash_vol_target': 733710.845, 'daily_cash_vol_target': 45856.9278125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0039 0.6489 0.5953 9.5248 BITCOIN 1108.5430 42880.0000 2.5852 41.3635 BOBL 0.3149 117.4600 0.2681 4.2891 BTP 0.6276 117.6800 0.5333 8.5332 BUND 0.6212 134.0600 0.4634 7.4141 BUXL 1.4468 134.1200 1.0787 17.2597 CAC 56.3046 7628.5000 0.7381 11.8093 CAD 0.0030 0.7390 0.3999 6.3989 CANOLA 6.9740 605.1000 1.1525 18.4406 CHF 0.0055 1.1536 0.4782 7.6518 COCOA 61.4214 5103.0000 1.2036 19.2581 COFFEE 3.5309 185.8500 1.8999 30.3980 COPPER 0.0399 3.7735 1.0581 16.9289 CORN 4.0316 478.0000 0.8434 13.4947 COTTON2 0.9026 88.1300 1.0241 16.3859 CRUDE_W 1.0763 70.8400 1.5193 24.3088 DAX 107.0357 17020.0000 0.6289 10.0621 DOW 203.5175 38525.0000 0.5283 8.4524 DX 0.4117 104.3400 0.3945 6.3125 EUR 0.0048 1.0758 0.4458 7.1327 EURIBOR-ICE 0.0574 97.7700 0.0587 0.9394 EUROSTX 34.3444 4685.0000 0.7331 11.7291 FEEDCOW 1.8181 253.4250 0.7174 11.4787 GASOIL 13.3492 796.0000 1.6770 26.8325 GASOLINE 0.0404 2.4265 1.6670 26.6716 GAS_US_mini 0.0911 2.0750 4.3887 70.2189 GBP 0.0064 1.2533 0.5082 8.1307 GOLD_micro 13.4003 2041.4000 0.6564 10.5028 HEATOIL 0.0401 2.5940 1.5455 24.7286 JGB-SGX-mini 0.2952 146.0900 0.2021 3.2329 JPY 0.0000 0.0068 0.6505 10.4083 LEANHOG 1.1429 82.3500 1.3879 22.2066 LIVECOW 1.2074 182.4750 0.6617 10.5865 LUMBER-new 7.0259 576.5000 1.2187 19.4993 MILK 0.2425 18.0000 1.3471 21.5539 MXP 0.0004 0.0580 0.6348 10.1568 NASDAQ_micro 142.3047 17697.7500 0.8041 12.8653 NIKKEI 302.7130 36330.0000 0.8332 13.3317 NZD 0.0037 0.6052 0.6138 9.8213 OAT 0.6033 128.6900 0.4688 7.5010 OATIES 7.0369 361.0000 1.9493 31.1885 OJ 6.8054 362.0000 1.8799 30.0792 PALLAD 23.7543 955.5000 2.4861 39.7770 PLAT 14.1969 905.7000 1.5675 25.0801 REDWHEAT 9.5979 613.2500 1.5651 25.0415 RICE 0.1794 18.5600 0.9664 15.4631 ROBUSTA 43.4948 3063.0000 1.4200 22.7201 RUSSELL 22.5407 1949.2000 1.1564 18.5025 SHATZ 0.1090 105.7650 0.1031 1.6496 SILVER-mini 0.3337 22.6875 1.4707 23.5312 SMI 77.6160 11216.0000 0.6920 11.0722 SOFR 0.0782 96.4850 0.0810 1.2965 SOYBEAN 10.4765 1177.2500 0.8899 14.2385 SOYMEAL 4.8511 356.2000 1.3619 21.7907 SOYOIL 0.6661 45.9000 1.4511 23.2177 SP400 24.4865 2750.1000 0.8904 14.2462 SP500_micro 32.0173 4964.7500 0.6449 10.3183 SUGAR11 0.3587 22.7800 1.5747 25.1953 US10 0.4824 110.7969 0.4354 6.9658 US10U 0.6620 115.0156 0.5755 9.2088 US2 0.1334 102.3438 0.1304 2.0862 US20 0.9617 120.1562 0.8004 12.8065 US30 1.4000 126.4688 1.1070 17.7120 US5 0.3219 107.3047 0.3000 4.8003 VIX 0.4270 15.9500 2.6770 42.8319 WHEAT 8.3182 629.2500 1.3219 21.1507 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 648.90 0.60 386.29 1.00 386.29 45856.93 118.71 -8.51 -100.98 BITCOIN 42.88 2.59 110.85 1.00 110.85 45856.93 413.67 1.23 50.95 BOBL 1174.60 0.27 314.88 1.09 342.60 45856.93 133.85 -8.55 -114.41 BTP 1176.80 0.53 627.62 1.09 682.88 45856.93 67.15 1.90 12.77 BUND 1340.60 0.46 621.21 1.09 675.91 45856.93 67.84 -0.76 -5.18 BUXL 1341.20 1.08 1446.79 1.09 1574.18 45856.93 29.13 -2.91 -8.48 CAC 762.85 0.74 563.05 1.09 612.62 45856.93 74.85 7.13 53.38 CAD 738.95 0.40 295.53 1.00 295.53 45856.93 155.17 -5.16 -80.11 CANOLA 121.02 1.15 139.48 0.75 104.25 45856.93 439.88 -20.00 -879.76 CHF 1441.94 0.48 689.59 1.00 689.59 45856.93 66.50 -10.06 -66.91 COCOA 510.30 1.20 614.21 1.00 614.21 45856.93 74.66 18.36 137.09 COFFEE 696.94 1.90 1324.09 1.00 1324.09 45856.93 34.63 -2.12 -7.35 COPPER 943.38 1.06 998.14 1.00 998.14 45856.93 45.94 -2.52 -11.57 CORN 239.00 0.84 201.58 1.00 201.58 45856.93 227.49 -20.00 -454.98 COTTON2 440.65 1.02 451.28 1.00 451.28 45856.93 101.62 -2.05 -20.84 CRUDE_W 708.40 1.52 1076.27 1.00 1076.27 45856.93 42.61 3.05 12.99 DAX 170.20 0.63 107.04 1.09 116.46 45856.93 393.76 13.76 541.80 DOW 192.62 0.53 101.76 1.00 101.76 45856.93 450.64 6.70 301.89 DX 1043.40 0.39 411.65 1.00 411.65 45856.93 111.40 3.60 40.11 EUR 1344.81 0.45 599.51 1.00 599.51 45856.93 76.49 -5.37 -41.11 EURIBOR-ICE 2444.25 0.06 143.52 1.09 156.15 45856.93 293.67 4.89 143.54 EUROSTX 468.50 0.73 343.44 1.09 373.68 45856.93 122.72 18.32 224.82 FEEDCOW 1267.12 0.72 909.06 1.00 909.06 45856.93 50.44 3.82 19.29 GASOIL 796.00 1.68 1334.92 1.00 1334.92 45856.93 34.35 11.14 38.27 GASOLINE 1019.13 1.67 1698.86 1.00 1698.86 45856.93 26.99 -2.84 -7.66 GAS_US_mini 51.88 4.39 227.66 1.00 227.66 45856.93 201.42 -10.00 -201.48 GBP 783.31 0.51 398.05 1.00 398.05 45856.93 115.20 1.63 18.74 GOLD_micro 204.14 0.66 134.00 1.00 134.00 45856.93 342.21 -5.74 -196.46 HEATOIL 1089.48 1.55 1683.83 1.00 1683.83 45856.93 27.23 5.66 15.43 JGB-SGX-mini 146090.00 0.20 29518.83 0.01 201.50 45856.93 227.58 4.03 91.79 JPY 846.25 0.65 550.50 1.00 550.50 45856.93 83.30 -9.54 -79.44 LEANHOG 329.40 1.39 457.18 1.00 457.18 45856.93 100.30 8.20 82.22 LIVECOW 729.90 0.66 482.94 1.00 482.94 45856.93 94.95 2.69 25.54 LUMBER-new 158.54 1.22 193.21 1.00 193.21 45856.93 237.34 -8.18 -194.14 MILK 360.00 1.35 484.96 1.00 484.96 45856.93 94.56 -10.40 -98.35 MXP 290.25 0.63 184.25 1.00 184.25 45856.93 248.88 14.03 349.10 NASDAQ_micro 353.96 0.80 284.61 1.00 284.61 45856.93 161.12 7.06 113.78 NIKKEI 36330.00 0.83 30271.30 0.01 206.64 45856.93 221.92 14.67 325.49 NZD 605.15 0.61 371.46 1.00 371.46 45856.93 123.45 -3.54 -43.68 OAT 1286.90 0.47 603.31 1.09 656.43 45856.93 69.86 2.39 16.67 OATIES 180.50 1.95 351.85 1.00 351.85 45856.93 130.33 -10.04 -130.82 OJ 543.00 1.88 1020.81 1.00 1020.81 45856.93 44.92 6.52 29.30 PALLAD 955.50 2.49 2375.43 1.00 2375.43 45856.93 19.30 -3.16 -6.10 PLAT 452.85 1.57 709.84 1.00 709.84 45856.93 64.60 0.53 3.40 REDWHEAT 306.62 1.57 479.90 1.00 479.90 45856.93 95.56 -20.00 -191.11 RICE 371.20 0.97 358.74 1.00 358.74 45856.93 127.83 3.30 42.17 ROBUSTA 306.30 1.42 434.95 1.00 434.95 45856.93 105.43 12.27 129.34 RUSSELL 97.46 1.16 112.70 1.00 112.70 45856.93 406.88 -6.55 -266.43 SHATZ 1057.65 0.10 109.04 1.09 118.65 45856.93 386.50 -10.08 -389.53 SILVER-mini 567.19 1.47 834.16 1.00 834.16 45856.93 54.97 -5.54 -30.45 SMI 1121.60 0.69 776.16 1.17 905.51 45856.93 50.64 10.00 50.66 SOFR 2412.12 0.08 195.46 1.00 195.46 45856.93 234.61 -1.75 -41.05 SOYBEAN 588.62 0.89 523.82 1.00 523.82 45856.93 87.54 -17.68 -154.81 SOYMEAL 356.20 1.36 485.11 1.00 485.11 45856.93 94.53 -17.02 -160.84 SOYOIL 275.40 1.45 399.63 1.00 399.63 45856.93 114.75 -17.82 -204.43 SP400 2750.10 0.89 2448.65 1.00 2448.65 45856.93 18.73 -5.29 -9.91 SP500_micro 248.24 0.64 160.09 1.00 160.09 45856.93 286.45 7.71 220.79 SUGAR11 255.14 1.57 401.76 1.00 401.76 45856.93 114.14 -0.85 -9.73 US10 1107.97 0.44 482.37 1.00 482.37 45856.93 95.07 -4.57 -43.44 US10U 1150.16 0.58 661.97 1.00 661.97 45856.93 69.27 0.96 6.64 US2 2046.88 0.13 266.88 1.00 266.88 45856.93 171.83 -7.80 -134.09 US20 1201.56 0.80 961.74 1.00 961.74 45856.93 47.68 1.35 6.43 US30 1264.69 1.11 1400.01 1.00 1400.01 45856.93 32.75 -1.07 -3.50 US5 1073.05 0.30 321.93 1.00 321.93 45856.93 142.44 -6.05 -86.24 VIX 159.50 2.68 426.98 1.00 426.98 45856.93 107.40 -20.00 -214.80 WHEAT 314.62 1.32 415.91 1.00 415.91 45856.93 110.26 -20.00 -220.51 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -100.977 0.010 2.5 -2.620 BITCOIN 50.950 0.043 2.5 5.517 BOBL -114.406 0.004 2.5 -1.160 BTP 12.768 0.014 2.5 0.436 BUND -5.182 0.004 2.5 -0.053 BUXL -8.483 0.004 2.5 -0.086 CAC 53.384 0.014 2.5 1.821 CAD -80.111 0.010 2.5 -2.079 CANOLA -879.756 0.010 2.5 -21.403 CHF -66.911 0.010 2.5 -1.736 COCOA 137.091 0.009 2.5 2.936 COFFEE -7.353 0.005 2.5 -0.086 COPPER -11.568 0.043 2.5 -1.253 CORN -454.980 0.010 2.5 -11.069 COTTON2 -20.839 0.009 2.5 -0.446 CRUDE_W 12.987 0.043 2.5 1.406 DAX 541.796 0.014 2.5 18.480 DOW 301.893 0.009 2.5 7.016 DX 40.114 0.010 2.5 1.041 EUR -41.112 0.010 2.5 -1.067 EURIBOR-ICE 143.539 0.014 2.5 4.896 EUROSTX 224.816 0.014 2.5 7.668 FEEDCOW 19.294 0.013 2.5 0.639 GASOIL 38.272 0.017 2.5 1.659 GASOLINE -7.663 0.017 2.5 -0.332 GAS_US_mini -201.480 0.043 2.5 -21.818 GBP 18.738 0.010 2.5 0.486 GOLD_micro -196.459 0.014 2.5 -6.701 HEATOIL 15.426 0.017 2.5 0.669 JGB-SGX-mini 91.786 0.043 2.5 9.939 JPY -79.443 0.010 2.5 -2.061 LEANHOG 82.222 0.024 2.5 4.997 LIVECOW 25.541 0.013 2.5 0.846 LUMBER-new -194.143 0.009 2.5 -4.150 MILK -98.345 0.009 2.5 -2.106 MXP 349.097 0.059 2.5 51.238 NASDAQ_micro 113.781 0.009 2.5 2.644 NIKKEI 325.489 0.043 2.5 35.247 NZD -43.684 0.010 2.5 -1.133 OAT 16.671 0.014 2.5 0.569 OATIES -130.819 0.010 2.5 -3.183 OJ 29.300 0.009 2.5 0.628 PALLAD -6.095 0.014 2.5 -0.208 PLAT 3.396 0.014 2.5 0.116 REDWHEAT -191.112 0.005 2.5 -2.535 RICE 42.171 0.010 2.5 1.026 ROBUSTA 129.340 0.005 2.5 1.510 RUSSELL -266.429 0.013 2.5 -8.829 SHATZ -389.532 0.004 2.5 -3.950 SILVER-mini -30.447 0.014 2.5 -1.039 SMI 50.658 0.014 2.5 1.728 SOFR -41.053 0.024 2.5 -2.495 SOYBEAN -154.807 0.004 2.5 -1.440 SOYMEAL -160.842 0.004 2.5 -1.496 SOYOIL -204.426 0.004 2.5 -1.903 SP400 -9.912 0.013 2.5 -0.328 SP500_micro 220.793 0.009 2.5 5.131 SUGAR11 -9.735 0.009 2.5 -0.207 US10 -43.438 0.005 2.5 -0.550 US10U 6.641 0.005 2.5 0.084 US2 -134.089 0.005 2.5 -1.699 US20 6.429 0.005 2.5 0.081 US30 -3.498 0.005 2.5 -0.044 US5 -86.240 0.005 2.5 -1.093 VIX -214.796 0.099 2.5 -53.021 WHEAT -220.514 0.005 2.5 -2.925 ===================== Position diags ===================== AUD 3.08 BITCOIN 44.80 BOBL 1.36 BTP 2.29 BUND 0.69 BUXL 0.30 CAC 2.55 CAD 4.03 CANOLA 10.70 CHF 1.73 COCOA 1.60 COFFEE 0.40 COPPER 4.98 CORN 5.53 COTTON2 2.18 CRUDE_W 4.61 DAX 13.43 DOW 10.47 DX 2.89 EUR 1.98 EURIBOR-ICE 10.02 EUROSTX 4.19 FEEDCOW 1.67 GASOIL 1.49 GASOLINE 1.17 GAS_US_mini 21.81 GBP 2.99 GOLD_micro 11.67 HEATOIL 1.18 JGB-SGX-mini 24.64 JPY 2.16 LEANHOG 6.10 LIVECOW 3.15 LUMBER-new 5.07 MILK 2.03 MXP 36.53 NASDAQ_micro 3.74 NIKKEI 24.03 NZD 3.20 OAT 2.38 OATIES 3.17 OJ 0.96 PALLAD 0.66 PLAT 2.20 REDWHEAT 1.27 RICE 3.11 ROBUSTA 1.23 RUSSELL 13.48 SHATZ 3.92 SILVER-mini 1.88 SMI 1.73 SOFR 14.26 SOYBEAN 0.81 SOYMEAL 0.88 SOYOIL 1.07 SP400 0.62 SP500_micro 6.66 SUGAR11 2.43 US10 1.20 US10U 0.88 US2 2.18 US20 0.60 US30 0.42 US5 1.81 VIX 26.51 WHEAT 1.46 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.6 -2.9 -2.3 0.0 0 BITCOIN 5.5 1.0 10.0 15.0 15 BOBL -1.2 -1.3 -1.0 -9.0 -9 BTP 0.4 0.2 0.7 1.0 1 BUND -0.1 -0.1 0.0 0.0 0 BUXL -0.1 -0.1 -0.1 0.0 0 CAC 1.8 1.6 2.1 0.0 0 CAD -2.1 -2.5 -1.7 0.0 0 CANOLA -21.4 -22.5 -20.3 -6.0 -6 CHF -1.7 -1.9 -1.6 -5.0 -5 COCOA 2.9 2.8 3.1 5.0 5 COFFEE -0.1 -0.1 -0.0 0.0 0 COPPER -1.3 -1.8 -0.8 0.0 0 CORN -11.1 -11.6 -10.5 -10.0 -10 COTTON2 -0.4 -0.7 -0.2 -3.0 -3 CRUDE_W 1.4 0.9 1.9 1.0 1 DAX 18.5 17.1 19.8 0.0 0 DOW 7.0 6.0 8.1 9.0 9 DX 1.0 0.8 1.3 NaN 0 EUR -1.1 -1.3 -0.9 -3.0 -3 EURIBOR-ICE 4.9 3.9 5.9 2.0 2 EUROSTX 7.7 7.2 8.1 13.0 13 FEEDCOW 0.6 0.5 0.8 5.0 5 GASOIL 1.7 1.5 1.8 1.0 1 GASOLINE -0.3 -0.4 -0.2 0.0 0 GAS_US_mini -21.8 -24.0 -19.6 -10.0 -10 GBP 0.5 0.2 0.8 5.0 5 GOLD_micro -6.7 -7.9 -5.5 -9.0 -9 HEATOIL 0.7 0.6 0.8 0.0 0 JGB-SGX-mini 9.9 7.5 12.4 11.0 11 JPY -2.1 -2.3 -1.8 0.0 0 LEANHOG 5.0 4.4 5.6 4.0 4 LIVECOW 0.8 0.5 1.2 0.0 0 LUMBER-new -4.1 -4.7 -3.6 NaN 0 MILK -2.1 -2.3 -1.9 NaN 0 MXP 51.2 47.6 54.9 47.0 47 NASDAQ_micro 2.6 2.3 3.0 19.0 19 NIKKEI 35.2 32.8 37.6 34.0 34 NZD -1.1 -1.5 -0.8 0.0 0 OAT 0.6 0.3 0.8 0.0 0 OATIES -3.2 -3.5 -2.9 NaN 0 OJ 0.6 0.5 0.7 NaN 0 PALLAD -0.2 -0.3 -0.1 -1.0 -1 PLAT 0.1 -0.1 0.3 0.0 0 REDWHEAT -2.5 -2.7 -2.4 -3.0 -3 RICE 1.0 0.7 1.3 NaN 0 ROBUSTA 1.5 1.4 1.6 2.0 2 RUSSELL -8.8 -10.2 -7.5 -8.0 -8 SHATZ -4.0 -4.3 -3.6 NaN 0 SILVER-mini -1.0 -1.2 -0.9 NaN 0 SMI 1.7 1.6 1.9 9.0 9 SOFR -2.5 -3.9 -1.1 NaN 0 SOYBEAN -1.4 -1.5 -1.4 -2.0 -2 SOYMEAL -1.5 -1.6 -1.4 0.0 0 SOYOIL -1.9 -2.0 -1.8 -3.0 -3 SP400 -0.3 -0.4 -0.3 0.0 0 SP500_micro 5.1 4.5 5.8 3.0 3 SUGAR11 -0.2 -0.4 0.0 0.0 0 US10 -0.6 -0.7 -0.4 -1.0 -1 US10U 0.1 -0.0 0.2 1.0 1 US2 -1.7 -1.9 -1.5 NaN 0 US20 0.1 0.0 0.1 3.0 3 US30 -0.0 -0.1 -0.0 0.0 0 US5 -1.1 -1.3 -0.9 -6.0 -6 VIX -53.0 -55.7 -50.4 -17.0 -17 WHEAT -2.9 -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 -0.1 0.4 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 -0.0 -0.2 -0.3 -0.2 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.2 -0.1 -0.2 0.4 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -0.5 -0.3 -0.1 -0.7 -0.3 -0.2 0.1 BITCOIN -0.5 -0.2 0.5 -0.0 -0.1 -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 0.3 0.0 0.2 0.6 -0.2 0.2 0.3 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 -0.0 -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 0.1 0.6 0.0 -0.0 0.1 -0.0 -0.0 0.0 -0.0 0.3 0.0 0.3 -0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.2 0.0 -1.6 0.0 -0.0 0.1 -0.0 0.1 0.0 0.7 0.1 0.2 -0.0 0.2 -0.6 -0.7 0.5 0.0 BUND -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 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.1 -0.0 -0.0 -0.0 0.6 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.4 0.1 -0.1 -0.2 0.0 -0.7 -0.7 0.1 -0.3 BUXL -0.6 -0.1 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 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 0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.1 -0.2 0.0 -0.7 -0.7 0.1 0.2 CAC 0.0 -0.0 0.3 0.1 0.0 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 0.1 0.3 0.2 -1.1 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.5 0.1 -0.3 -0.2 0.0 0.3 0.2 0.5 CAD -0.5 0.1 0.3 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.0 0.2 0.0 -0.1 0.1 -0.1 -0.0 -0.0 0.0 0.1 0.0 0.2 -0.3 -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 -0.1 -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 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.1 0.4 -0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.0 0.1 -0.1 0.2 -0.1 -0.9 0.0 -0.1 0.1 -0.0 0.1 -0.0 -1.1 0.2 -0.4 0.4 0.4 -0.7 -0.6 -0.6 -0.7 COCOA 0.6 -0.3 0.1 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 -0.0 0.2 0.1 0.1 0.0 0.1 0.2 0.1 0.2 0.1 0.1 0.1 0.0 0.1 0.1 -2.6 0.0 -0.0 0.1 0.0 0.1 0.0 0.9 -0.2 -0.6 -0.1 0.6 -0.4 -0.7 -0.3 -0.4 COPPER 0.0 0.0 0.4 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.2 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.0 -0.1 0.0 -1.4 0.0 -0.1 0.0 -0.0 -0.0 -0.0 0.1 0.1 0.2 0.4 0.4 -0.5 -0.2 0.4 -0.1 CORN -0.3 -0.5 -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 -0.2 -0.2 -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 0.1 -0.2 -0.0 -0.2 -0.1 0.2 -0.0 0.2 -0.2 0.2 -2.7 0.1 0.1 0.0 0.1 -0.0 0.1 0.0 0.4 0.6 0.6 -0.4 -0.5 -0.5 -0.3 -0.0 CRUDE_W 0.3 -0.1 -0.3 0.0 -0.0 -0.0 0.0 0.0 0.1 -0.1 0.1 -0.0 0.2 0.0 -0.1 0.1 0.2 0.2 0.2 -0.0 0.0 -0.1 0.2 -0.0 -0.6 -0.0 -0.1 0.0 -0.1 0.2 0.0 -0.1 -0.4 -0.6 -0.4 0.1 0.7 0.6 0.7 0.6 DAX -0.1 0.1 0.6 0.1 0.0 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 0.1 2.3 0.1 0.0 0.2 0.0 0.2 0.0 -0.5 0.1 -0.2 -0.4 0.2 -0.0 0.3 0.3 0.7 DOW -0.2 0.5 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.1 0.1 0.0 0.2 0.1 0.2 0.1 -0.4 0.1 0.5 0.6 0.6 -0.3 -0.1 -0.1 -0.3 DX 0.6 0.0 -0.4 0.0 -0.1 0.1 -0.1 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 -2.7 -0.0 0.1 -0.0 0.1 0.0 0.0 0.8 0.5 0.6 -0.2 -0.6 0.7 0.1 0.7 0.3 EUR -0.5 -0.1 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 -0.1 -0.2 0.2 -0.2 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.2 -0.0 -0.1 2.1 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.4 -0.4 -0.1 -0.1 0.0 -0.7 -0.4 -0.7 -0.3 EURIBOR-ICE -0.6 -0.1 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 0.1 0.0 -0.2 0.1 -0.0 0.0 0.3 -0.7 -0.7 0.3 0.7 EUROSTX 0.2 0.0 0.5 0.1 0.0 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 0.5 -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 0.1 -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 -0.7 0.0 0.0 -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 0.2 -0.4 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.0 0.2 0.1 0.3 0.1 -0.0 0.4 0.4 0.4 0.4 0.1 0.0 0.1 0.2 0.2 1.1 0.0 -0.0 0.1 0.0 0.1 0.1 1.1 0.5 0.1 0.2 0.2 -0.5 -0.1 -0.7 -0.3 GASOLINE 0.4 0.2 -0.3 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 -0.3 -0.0 0.3 0.7 0.4 0.7 0.4 GAS_US_mini -0.2 0.1 -0.5 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.2 -0.4 0.1 -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 -0.3 -0.6 -0.3 -0.3 -0.5 0.1 -0.7 -0.1 GBP -0.3 0.1 0.4 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.2 0.1 -0.1 0.4 -0.0 0.2 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.1 0.2 -0.0 0.3 0.1 -0.1 0.1 -0.1 0.1 -0.0 0.2 -0.3 0.4 0.2 0.2 -0.7 -0.1 -0.6 0.3 GOLD_micro -0.3 -0.0 0.3 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 0.3 0.0 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 -0.1 0.6 0.5 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL 0.5 0.1 -0.4 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 -0.0 0.1 0.0 0.2 0.1 1.1 0.0 -0.0 0.2 0.2 0.4 0.1 0.4 -0.1 JGB-SGX-mini -0.6 0.3 0.5 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.1 0.2 0.0 0.1 0.2 0.4 0.2 0.3 0.0 0.0 -0.0 0.1 -0.0 -0.5 0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 -0.2 -0.0 -0.0 -0.1 -0.1 -0.7 0.3 0.4 JPY -0.6 -0.1 0.6 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.1 -0.3 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.1 -0.2 -0.2 -0.3 -0.4 -0.7 -0.3 -0.7 LEANHOG 0.6 0.5 0.1 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -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 0.4 -0.6 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 -0.2 0.2 -0.1 0.2 -0.0 -0.4 -0.2 -0.4 -0.3 0.1 -0.1 0.2 -0.1 0.2 -0.3 0.0 0.1 -0.1 0.1 0.1 0.1 -0.5 0.5 0.6 0.4 -0.6 0.5 -0.0 0.7 0.2 LUMBER-new -0.2 0.1 0.5 0.1 0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.0 0.1 -0.6 -0.0 0.2 -0.4 -0.3 -0.3 -0.3 0.1 0.1 -0.0 -0.1 0.0 NaN 0.1 -0.0 0.1 0.0 0.0 0.0 -1.1 0.1 -0.7 0.1 0.6 -0.4 -0.8 -0.3 -0.8 MILK 0.6 0.4 -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 -0.1 0.1 -0.3 0.0 -1.1 0.5 0.3 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP -0.4 0.1 0.3 0.0 -0.1 0.1 -0.1 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 0.4 0.3 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 -0.0 0.6 0.6 0.5 0.6 -0.1 0.7 -0.2 NIKKEI 0.5 0.6 0.5 0.1 0.0 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 -2.0 0.1 0.0 0.2 0.0 0.2 0.1 1.1 -0.5 0.6 0.6 0.5 -0.5 -0.1 -0.1 -0.0 NZD -0.6 -0.1 0.5 0.0 -0.1 0.1 -0.1 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 0.0 -0.1 -0.0 -0.1 0.1 0.0 -0.1 0.1 -0.1 0.0 -0.0 0.2 0.1 -0.3 -0.2 -0.1 -0.4 -0.3 -0.2 0.2 OAT -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 -0.1 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 -0.2 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 0.6 -0.6 -0.6 0.0 0.0 -0.0 0.0 -0.1 0.1 0.1 0.1 0.1 0.4 0.0 -0.1 0.1 0.3 0.2 0.3 0.0 0.1 0.2 0.5 0.2 -2.7 0.0 0.1 0.1 0.1 0.3 0.0 1.1 0.5 0.4 -0.6 0.2 0.2 0.4 0.5 0.7 PALLAD -0.3 -0.4 0.2 -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 -0.4 -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 -0.2 -0.1 PLAT -0.4 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -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 -0.0 -0.1 0.2 0.1 -0.3 -0.2 0.6 0.1 REDWHEAT 0.1 -0.0 -0.2 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.5 0.0 -0.7 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -0.5 -0.1 -1.9 -0.0 -0.0 -0.2 -0.0 -0.4 0.0 0.2 -0.2 -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 -0.1 0.5 0.0 -0.1 0.4 0.1 -0.3 0.3 0.0 ROBUSTA 0.5 0.6 0.6 0.0 0.0 -0.0 0.0 -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 0.1 0.5 0.2 -2.7 0.1 -0.0 0.1 0.0 0.2 0.0 1.1 0.0 0.6 0.6 0.6 -0.5 -0.5 -0.2 0.0 RUSSELL -0.4 0.2 0.6 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.2 -0.0 0.1 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.1 0.0 -0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 -0.4 -0.3 0.0 -0.1 -0.7 -0.7 -0.7 -0.7 SHATZ -0.6 -0.1 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 -0.1 -0.2 -0.1 -0.7 -0.7 -0.3 -0.7 SILVER-mini -0.2 -0.3 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.8 -0.0 -0.1 -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 0.0 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 0.1 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 -0.6 0.1 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.0 0.0 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.0 -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 -0.3 -0.1 SOYBEAN -0.0 -0.6 -0.4 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.2 -0.1 0.0 -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 -0.4 -0.4 -0.7 -0.4 -0.7 SOYMEAL 0.0 -0.6 -0.4 0.0 0.0 -0.0 0.0 -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 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 1.1 -0.2 -0.6 -0.6 -0.3 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.1 -0.4 -0.6 0.0 0.0 -0.0 0.0 -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 -0.1 -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 -0.1 0.3 0.0 0.3 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.2 0.0 -1.5 0.0 -0.0 0.1 -0.0 0.1 0.0 0.1 -0.4 -0.2 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 0.0 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 0.0 0.2 0.0 0.2 0.1 -0.5 0.2 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 0.0 -0.1 0.1 -0.1 -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 -0.2 -0.1 -0.6 -0.6 0.3 -0.1 0.5 0.2 US10 -0.5 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 0.2 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.7 0.0 0.3 0.1 0.0 -0.7 -0.7 -0.6 0.3 US10U -0.5 0.2 0.6 0.0 -0.0 0.1 -0.0 -0.0 0.0 -0.1 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 0.1 0.0 -0.0 0.0 0.2 0.1 0.4 0.1 -0.0 -0.7 -0.7 0.2 0.6 US2 -0.5 0.2 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.2 0.0 0.0 -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 -0.7 -0.7 -0.5 -0.7 US20 -0.6 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 0.0 -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 0.3 0.1 0.0 -0.7 -0.7 0.7 0.7 US30 -0.5 0.1 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 -0.2 -0.1 0.0 0.0 0.0 -0.1 -0.0 -0.1 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.4 0.2 0.2 0.0 -0.0 -0.5 -0.6 0.7 0.7 US5 -0.5 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 0.2 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 0.1 -0.9 -0.1 -1.2 -0.3 -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 -0.5 -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 -0.1 -0.5 -0.1 -0.4 -0.0 -0.1 -0.2 -0.0 -0.4 -0.0 -0.6 -0.4 -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 -3.1 13.5 1.7 -9.2 4.1 -5.3 3.7 -2.5 -17.5 -1.0 -17.8 -8.1 -17.5 0.8 -2.5 -2.8 -2.6 -2.7 -3.9 1.3 -19.4 -3.8 -14.3 2.8 -1.2 -11.9 1.0 -8.7 -0.8 -5.7 -1.1 -9.7 -14.7 -8.5 -3.1 -20.0 -10.0 -6.4 3.2 BITCOIN -16.8 -7.2 15.5 -4.3 -6.0 -2.8 -2.8 -1.2 -4.0 11.6 15.3 -3.7 17.3 -4.3 12.4 -6.8 -6.4 -7.6 -7.4 9.1 19.1 2.3 17.9 -0.2 -20.0 3.8 1.2 8.4 0.7 8.0 -0.3 -1.5 12.8 0.2 7.4 20.0 -5.9 6.4 8.4 11.3 BOBL -20.0 -5.3 20.0 1.3 -2.6 1.3 -0.8 -0.4 0.0 -4.8 3.4 -2.4 -0.7 -4.3 3.1 -20.0 -14.7 -20.0 -20.0 2.3 3.9 -1.9 -0.2 -1.0 6.9 1.0 -2.3 1.6 -0.4 0.2 -0.1 -20.0 5.1 -3.4 -5.3 -0.6 -20.0 -20.0 0.8 -20.0 BTP -15.0 2.6 20.0 2.2 -4.3 2.1 -1.4 -0.6 0.1 -4.0 9.3 0.6 8.3 -0.7 9.5 4.6 6.7 5.1 5.7 11.0 13.5 -0.3 7.0 3.5 -12.2 3.6 -2.4 4.4 -0.0 2.5 1.2 12.3 5.3 5.8 -0.7 7.7 -16.9 -20.0 13.7 1.1 BUND -20.0 -4.3 20.0 1.5 -2.9 1.4 -0.9 -0.4 0.0 -4.5 3.9 -2.4 -0.9 -5.0 3.7 5.0 4.4 3.8 3.1 3.1 4.8 -1.2 -0.3 -0.6 4.7 1.2 -1.8 1.8 -0.1 0.3 -0.0 7.8 5.3 -2.8 -5.8 0.2 -20.0 -20.0 2.5 -9.2 BUXL -20.0 -2.5 20.0 1.8 -3.5 1.7 -1.2 -0.5 0.1 -5.9 4.3 -4.0 -4.4 -7.0 4.0 0.0 0.5 0.1 0.3 3.2 4.7 -1.9 -2.7 -1.6 0.8 1.3 -1.8 1.8 -0.3 -0.2 -0.3 2.5 2.2 -4.0 -7.5 0.7 -20.0 -20.0 1.9 6.6 CAC 0.9 -1.5 10.4 6.1 4.4 5.3 5.3 3.4 5.4 10.6 15.8 14.2 19.4 12.1 18.2 -8.5 -5.2 -8.5 -7.4 13.8 11.8 16.0 11.7 15.1 -8.6 5.6 3.5 4.7 6.8 4.0 6.3 0.0 20.0 1.8 -9.5 -7.0 0.3 10.0 5.8 16.5 CAD -14.7 4.4 9.9 2.1 -11.2 5.0 -6.5 4.6 -3.0 -13.5 0.2 -9.2 -3.8 -8.9 6.1 -1.7 -2.1 -1.9 -2.1 2.9 3.5 -9.1 -2.8 -3.9 1.4 2.0 -11.9 1.9 -5.0 -1.2 -1.6 0.0 3.3 0.6 5.3 -10.8 -20.0 -15.8 -2.0 -14.9 CANOLA 2.4 -18.1 -20.0 2.0 0.2 -0.1 3.2 -1.4 3.8 -8.1 -10.4 -9.3 -8.9 -10.4 -11.0 -9.6 -2.0 -10.2 -7.9 -19.1 -19.6 -15.6 -16.0 -16.0 -20.0 -4.2 -3.5 -4.4 -3.7 -3.8 -3.6 -0.9 -20.0 -20.0 -20.0 -20.0 -18.4 -15.6 -10.9 -4.2 CHF -20.0 1.7 12.3 1.6 -8.8 3.9 -5.1 3.6 -2.4 -12.3 6.6 -12.6 10.2 -9.1 5.9 -14.7 -15.5 -15.7 -15.8 3.2 8.0 -11.3 7.0 -6.5 -6.5 3.0 -6.5 4.2 -3.5 2.9 -0.9 -20.0 7.5 -13.4 12.6 13.7 -20.0 -17.9 -16.6 -20.0 COCOA 20.0 -7.8 3.8 3.8 0.3 -0.2 6.3 -2.8 7.3 19.7 20.0 20.0 20.0 20.0 20.0 13.5 3.2 10.6 6.7 20.0 20.0 20.0 20.0 20.0 -20.0 7.9 13.2 8.3 11.0 8.7 8.8 15.6 20.0 20.0 20.0 20.0 20.0 3.5 20.0 20.0 COFFEE 0.7 3.3 20.0 2.9 0.2 -0.1 4.7 -2.1 5.5 -0.9 8.1 10.5 2.0 1.2 9.0 9.3 5.1 8.5 6.7 9.6 10.3 4.4 4.5 6.5 -19.8 3.7 -1.8 5.3 0.9 3.5 1.5 17.5 -6.7 -19.9 -2.3 20.0 -12.1 -20.0 -9.7 -10.6 COPPER 0.6 0.5 11.8 -3.9 -5.4 -2.5 -2.5 -1.1 -3.6 -11.5 -0.1 1.3 -4.3 -1.6 7.5 -6.7 -4.9 -6.4 -6.0 3.1 1.9 -4.0 -2.3 1.5 -10.4 1.2 -12.3 1.2 -3.6 -0.6 -0.3 1.1 3.4 7.6 11.7 12.1 -13.6 -5.5 13.2 -1.8 CORN -8.2 -13.9 -9.5 4.4 0.3 -0.2 7.2 -3.1 8.3 -0.1 -20.0 -15.6 -20.0 -20.0 -20.0 -13.0 -3.7 -11.0 -8.5 -20.0 -20.0 -8.5 -20.0 -20.0 -20.0 -8.2 -0.2 -7.5 -1.6 -6.6 -5.6 -2.9 -8.0 -20.0 -20.0 -20.0 -4.9 -18.1 -1.6 1.3 COTTON2 20.0 16.0 -6.1 4.4 0.3 -0.2 7.2 -3.1 8.3 20.0 -6.3 20.0 -5.5 20.0 6.7 -7.5 -1.9 -7.7 -5.8 15.6 -0.3 20.0 -7.5 20.0 -20.0 6.2 8.3 1.6 9.3 -0.1 9.5 0.9 17.2 20.0 20.0 -12.5 -15.4 -15.7 -7.6 -0.0 CRUDE_W 7.8 -2.9 -10.0 1.7 -3.2 -0.3 2.8 1.3 5.1 -15.3 4.2 -4.3 6.3 2.1 -10.5 7.4 9.3 7.6 8.5 -1.9 0.2 -8.1 6.8 -0.2 -4.7 -0.6 -12.4 0.7 -4.9 5.5 0.3 -1.1 -17.4 -18.7 -11.1 3.9 20.0 16.7 20.0 19.0 DAX -3.1 2.2 20.0 6.1 4.4 5.3 5.2 3.4 5.3 12.6 19.1 16.7 19.7 16.8 20.0 -15.6 -10.6 -14.4 -12.6 20.0 19.9 10.3 15.6 13.9 17.2 6.3 2.1 6.1 3.5 4.3 4.4 -8.9 4.9 -4.8 -13.3 5.4 -0.3 8.1 9.3 20.0 DOW -6.4 15.6 20.0 5.7 4.1 5.0 4.9 3.2 5.0 11.2 20.0 17.8 19.2 20.0 20.0 -13.2 -10.1 -12.3 -11.4 20.0 20.0 19.6 20.0 20.0 -15.5 7.8 2.8 7.2 4.7 5.0 6.0 -7.6 5.8 16.6 20.0 20.0 -9.2 -3.9 -2.9 -8.6 DX 20.0 1.3 -13.9 1.6 -8.6 3.8 -5.0 3.5 -2.3 13.6 2.2 15.3 -5.4 14.3 -2.8 5.6 6.0 5.9 6.1 2.1 -1.7 16.1 1.3 10.9 -20.0 -0.3 12.1 -1.5 7.6 0.9 4.1 14.1 20.0 20.0 -7.5 -20.0 20.0 2.7 20.0 8.9 EUR -15.9 -1.9 9.3 1.8 -9.7 4.3 -5.6 4.0 -2.6 -17.2 -2.7 -18.9 6.1 -15.5 2.3 -5.9 -6.6 -5.9 -6.1 -3.7 0.6 -17.7 -0.7 -12.4 16.0 -0.1 -12.0 1.5 -8.7 0.3 -4.9 -7.2 -15.9 -4.0 -2.3 0.0 -20.0 -12.3 -20.0 -9.3 EURIBOR-ICE -20.0 -4.5 20.0 1.2 -2.4 1.2 -0.8 -0.4 0.0 -2.9 5.6 -0.7 2.8 -1.6 5.2 3.4 -4.2 0.8 -1.9 6.4 9.4 -0.8 4.4 1.1 14.9 2.0 -1.4 2.9 -0.1 1.4 0.5 -4.2 5.7 -1.3 0.2 8.7 -20.0 -20.0 7.5 20.0 EUROSTX 6.6 1.4 16.2 6.0 4.3 5.2 5.2 3.3 5.2 19.3 17.9 20.0 19.9 18.2 20.0 10.7 1.1 7.1 3.1 20.0 18.6 20.0 16.2 20.0 2.1 6.7 6.3 5.5 8.5 4.3 7.6 13.7 20.0 15.9 -4.1 4.4 -4.2 10.2 -0.7 18.8 FEEDCOW 20.0 20.0 -20.0 3.9 0.3 -0.2 6.3 -2.8 7.3 14.6 -6.7 20.0 -2.4 20.0 2.6 -20.0 -20.0 -20.0 -20.0 18.2 -5.2 20.0 -3.5 20.0 -4.9 3.7 5.4 -0.2 8.9 1.6 8.4 -20.0 20.0 20.0 20.0 -20.0 19.2 7.1 20.0 17.1 GASOIL 19.6 4.9 -13.1 1.4 -2.6 -0.3 2.3 1.1 4.2 -1.6 5.8 8.6 7.0 12.1 -1.3 20.0 20.0 20.0 20.0 6.7 3.5 10.6 8.1 14.1 8.0 3.1 -1.1 2.0 4.6 3.5 6.0 20.0 20.0 4.1 7.3 4.9 -14.3 -4.0 -20.0 -9.9 GASOLINE 13.6 6.3 -10.3 1.6 -3.1 -0.3 2.7 1.3 5.0 -10.5 -1.3 3.3 5.6 10.4 4.3 -19.4 7.3 -20.0 -9.0 4.7 0.9 -1.7 5.1 7.3 -20.0 2.0 -6.4 0.6 -1.5 4.5 3.3 -13.7 -13.8 -9.1 -0.2 9.7 20.0 12.8 20.0 11.1 GAS_US_mini -6.4 3.9 -16.0 0.8 -1.5 -0.2 1.3 0.6 2.4 -7.8 -9.3 -9.6 -11.1 -8.2 -9.4 11.2 -18.1 7.4 -8.8 -11.3 -14.4 -8.0 -18.5 -8.9 16.3 -3.1 -2.0 -3.8 -2.5 -3.4 -2.3 -20.0 -11.2 -20.0 -9.1 -8.9 -14.9 1.7 -20.0 -2.3 GBP -9.6 3.3 11.3 2.0 -10.7 4.7 -6.2 4.4 -2.9 -17.6 2.4 -10.5 11.8 -1.1 16.8 -0.1 -0.6 -0.2 -0.3 6.2 8.3 -13.4 5.6 -2.8 2.5 5.0 -16.4 5.5 -7.6 2.6 -0.6 2.9 -12.3 11.4 5.4 6.9 -20.0 -2.0 -18.2 8.0 GOLD_micro -8.2 -1.0 9.4 -4.1 -5.7 -2.6 -2.7 -1.1 -3.7 -4.7 10.6 1.0 8.4 -4.6 8.8 -14.6 -14.1 -14.4 -14.5 2.8 6.4 -0.4 5.8 -1.1 -5.3 3.0 -3.3 3.8 1.3 3.4 1.8 -14.3 -2.5 18.6 14.2 20.0 -20.0 -20.0 -20.0 -14.8 HEATOIL 15.9 3.4 -12.5 1.6 -3.0 -0.3 2.7 1.2 4.9 -8.8 3.6 6.9 5.2 11.8 -4.0 20.0 20.0 20.0 20.0 3.6 0.9 4.3 6.9 9.9 -20.0 3.3 -3.4 2.4 1.9 5.5 5.3 20.0 0.9 -1.4 4.9 6.5 13.2 2.1 11.7 -2.2 JGB-SGX-mini -18.2 8.5 16.8 1.2 -2.3 1.1 -0.8 -0.3 0.0 -4.0 4.3 -4.6 4.7 1.2 5.2 7.8 17.7 11.0 13.6 3.3 4.2 -3.2 2.8 -0.8 -3.4 1.1 -1.7 1.2 -1.4 0.3 -0.5 20.0 -8.0 -0.1 -1.3 -4.0 -2.1 -20.0 7.7 13.4 JPY -18.6 -4.4 17.7 1.0 -5.3 2.3 -3.1 2.2 -1.4 -8.2 -7.8 -9.4 -10.1 -10.0 -5.1 -14.8 -16.0 -15.5 -16.1 -6.0 -6.5 -7.2 -11.9 -8.2 20.0 -1.6 -3.9 -2.2 -2.9 -4.7 -2.7 -20.0 2.1 -7.2 -5.9 -9.7 -13.4 -20.0 -8.1 -20.0 LEANHOG 20.0 14.7 1.7 3.9 0.3 -0.2 6.3 -2.8 7.3 2.9 -2.2 14.5 -12.8 18.7 10.0 -20.0 -8.8 -20.0 -20.0 12.3 -3.2 18.6 -15.0 20.0 18.5 6.5 -0.8 2.2 4.7 -2.7 7.6 -17.2 20.0 20.0 20.0 12.5 -10.1 -7.9 3.8 12.0 LIVECOW 20.0 12.1 -20.0 4.1 0.3 -0.2 6.8 -3.0 7.9 14.5 -8.0 20.0 -2.6 20.0 -2.7 -20.0 -8.8 -18.4 -13.6 7.8 -10.9 20.0 -5.2 20.0 -2.0 1.4 6.6 -2.3 9.7 1.5 7.9 -10.2 20.0 18.0 11.0 -20.0 14.5 -1.1 20.0 5.4 LUMBER-new -6.3 3.4 14.5 4.5 0.3 -0.1 7.4 -2.6 8.5 -14.3 -0.3 5.5 -15.1 -1.8 13.7 -15.1 -14.4 -14.4 -14.4 7.6 6.1 -1.0 -2.9 3.1 NaN 5.2 -4.7 4.5 0.0 0.9 2.9 -17.1 5.3 -20.0 3.6 17.2 -10.3 -20.0 -7.0 -20.0 MILK 20.0 12.1 -1.8 2.8 0.2 -0.1 4.7 -2.0 5.4 13.5 -14.5 12.2 -15.7 1.5 -12.0 -20.0 -20.0 -20.0 -20.0 -8.0 -17.9 20.0 -20.0 7.8 11.8 -1.8 10.0 -5.4 8.4 -7.0 3.7 -20.0 20.0 8.1 -17.8 -20.0 -20.0 -20.0 -20.0 -20.0 MXP -13.8 2.9 8.8 1.7 -9.4 4.1 -5.4 3.8 -2.5 15.0 16.0 -0.9 19.1 5.0 15.3 15.9 16.4 15.5 15.4 9.4 15.1 3.4 20.0 3.2 -20.0 4.5 3.3 7.2 1.7 11.0 1.5 20.0 17.5 9.1 6.8 4.4 18.2 20.0 20.0 20.0 NASDAQ_micro 3.7 6.4 19.5 3.9 2.9 3.4 3.4 2.2 3.4 12.3 14.4 13.1 14.1 13.6 14.8 -11.5 -9.7 -11.4 -10.7 20.0 20.0 13.3 19.5 18.0 -20.0 5.4 2.2 5.2 2.8 4.8 4.2 -6.6 -0.2 20.0 20.0 14.6 16.7 -4.1 20.0 -6.1 NIKKEI 16.9 19.7 15.2 5.4 3.9 4.7 4.6 3.0 4.7 10.6 19.0 15.8 19.3 17.2 19.1 17.9 12.7 16.1 13.9 20.0 20.0 17.3 20.0 20.0 -14.6 6.7 2.0 5.6 3.2 4.9 5.8 20.0 -20.0 20.0 20.0 14.2 -15.5 -3.3 -2.7 -0.2 NZD -20.0 -2.8 15.1 1.5 -8.2 3.6 -4.7 3.3 -2.2 -12.9 2.9 -13.6 1.0 -13.7 4.9 0.3 0.2 0.2 0.2 -0.5 4.2 -11.8 -0.0 -9.2 0.4 0.1 -7.3 2.2 -5.2 0.7 -3.7 4.0 2.4 -10.1 -6.5 -2.2 -10.9 -9.9 -5.4 4.9 OAT -20.0 -3.0 20.0 1.6 -3.1 1.5 -1.0 -0.5 0.0 -4.5 4.9 -1.9 -0.2 -5.0 4.7 5.0 6.7 5.1 5.5 4.7 6.7 -1.2 1.0 -0.0 6.5 1.7 -2.0 2.4 -0.1 0.7 0.2 12.1 5.1 -1.8 -4.8 2.5 -20.0 -20.0 5.6 3.1 OATIES 2.9 1.7 -20.0 1.7 0.1 -0.1 2.8 -1.2 3.2 -3.4 -7.9 -0.9 -6.2 -0.8 -6.2 6.7 -5.1 0.6 -4.4 -5.0 -7.6 -0.4 -5.5 -1.1 -20.0 -1.0 -1.6 -2.8 0.5 -2.3 0.8 -2.1 -10.0 -4.5 -2.1 -14.7 -3.3 3.6 3.8 15.1 OJ 20.0 -20.0 -20.0 2.5 0.2 -0.1 4.1 -1.8 4.7 10.5 4.8 11.5 9.8 3.7 -4.7 4.5 17.0 8.4 13.5 0.7 5.9 20.0 18.4 14.4 -20.0 0.9 7.0 3.0 7.3 7.1 3.5 20.0 20.0 12.9 -20.0 5.9 7.1 11.4 14.0 20.0 PALLAD -8.6 -11.0 5.5 -1.7 -2.4 -1.1 -1.1 -0.5 -1.6 -3.1 -7.1 -1.7 -8.5 -6.5 -6.3 -1.5 -2.2 -1.7 -2.0 -7.6 -9.4 -2.6 -13.2 -5.5 8.3 -1.5 -1.1 -3.0 -0.4 -4.1 -0.6 6.8 -0.1 2.9 10.8 -8.4 -8.9 -7.4 -4.6 -2.8 PLAT -11.9 -4.2 4.0 -2.7 -3.7 -1.7 -1.7 -0.7 -2.4 -7.1 -4.3 -5.4 -6.8 -8.8 -3.0 -4.0 -3.1 -3.8 -3.5 -4.6 -3.2 -5.1 -3.8 -6.0 11.8 -1.3 -4.2 -0.5 -2.1 -0.5 -1.9 4.7 -1.4 -3.7 7.1 3.4 -10.4 -5.2 17.6 1.7 REDWHEAT 3.0 -1.5 -4.9 3.6 0.3 -0.2 6.0 -2.6 6.9 -12.3 -19.4 2.7 -19.8 -7.3 -12.3 -0.7 -1.4 -2.5 -2.6 -12.9 -20.0 -3.2 -20.0 -5.1 -14.0 -3.9 -4.4 -9.2 -0.4 -10.7 0.1 4.1 -6.5 -20.0 -18.8 -20.0 -20.0 -20.0 -20.0 -17.4 RICE 6.9 2.3 11.6 3.6 0.3 -0.2 6.0 -2.6 6.9 14.7 18.4 16.0 15.8 16.5 18.0 -15.2 -2.1 -14.5 -9.7 17.7 16.6 20.0 12.9 18.7 -20.0 4.6 9.9 4.2 9.5 3.6 6.7 -1.1 20.0 0.4 -3.3 11.6 2.0 -7.7 9.1 1.0 ROBUSTA 15.5 20.0 20.0 2.5 0.2 -0.1 4.1 -1.8 4.8 -2.1 14.0 10.0 14.0 13.1 14.3 20.0 20.0 20.0 20.0 20.0 20.0 13.2 20.0 20.0 -20.0 5.3 -0.8 5.1 1.7 4.2 3.9 20.0 0.6 20.0 20.0 20.0 -15.1 -15.3 -5.9 1.0 RUSSELL -11.2 6.4 20.0 3.5 2.5 3.0 3.0 1.9 3.0 -10.2 6.0 -1.6 2.9 -1.7 6.8 -6.3 -6.2 -6.3 -6.4 6.6 7.1 -4.1 2.7 0.7 -2.2 2.8 -3.4 2.8 -1.2 1.4 0.9 -0.0 -17.9 -10.4 0.8 -2.5 -20.0 -20.0 -20.0 -20.0 SHATZ -18.4 -3.2 20.0 1.2 -2.3 1.2 -0.8 -0.3 0.0 -5.2 1.1 -3.6 -4.1 -4.5 1.3 -20.0 -20.0 -20.0 -20.0 0.5 1.5 -3.7 -2.6 -2.3 8.1 0.8 -3.2 1.2 -1.2 -0.5 -0.4 -20.0 1.8 -4.6 -5.1 -2.2 -20.0 -20.0 -8.0 -20.0 SILVER-mini -5.2 -9.8 0.4 -3.5 -4.8 -2.3 -2.3 -1.0 -3.2 -9.2 -3.8 -2.8 -0.7 -9.9 -8.2 -6.6 -6.5 -6.9 -6.8 -7.6 -5.0 -6.3 -2.6 -7.5 5.7 -3.2 -7.4 -2.1 -2.8 -0.6 -2.6 -1.1 -0.4 5.1 0.4 1.6 -20.0 -17.5 9.7 -7.9 SMI -5.5 9.1 12.3 5.2 3.7 4.5 4.5 2.9 4.5 -2.5 8.7 0.8 4.8 8.4 17.2 11.3 5.4 10.2 7.5 11.1 7.5 2.3 1.9 7.9 10.2 5.7 -1.2 4.4 1.1 1.3 3.7 20.0 -11.8 -7.2 1.7 -11.5 3.5 -6.3 11.9 -6.8 SOFR -17.8 2.5 20.0 1.7 -3.2 1.6 -1.0 -0.5 0.0 -5.8 5.5 -2.2 0.3 -1.9 7.1 2.4 0.2 1.7 0.9 4.1 4.4 -2.4 -0.2 0.2 -2.2 3.0 -3.5 2.6 0.1 0.4 1.6 2.5 2.8 8.4 2.9 1.8 -20.0 -20.0 -7.5 -3.4 SOYBEAN -1.1 -20.0 -11.2 3.7 0.3 -0.2 6.1 -2.6 7.0 -12.7 -9.2 -13.5 1.1 -18.9 -19.5 7.1 15.7 11.0 12.7 -20.0 -16.6 -16.0 -7.9 -20.0 -20.0 -6.3 -5.7 -3.4 -5.4 -0.8 -6.3 20.0 -20.0 -20.0 -20.0 -10.8 -11.8 -20.0 -11.7 -20.0 SOYMEAL 1.4 -20.0 -11.3 2.6 0.2 -0.1 4.2 -1.8 4.9 -2.9 -10.7 -6.3 -3.7 -12.2 -13.4 4.8 14.2 7.8 10.8 -17.6 -12.1 -6.2 -3.9 -13.7 -20.0 -4.5 -0.9 -2.5 -1.7 0.0 -3.7 20.0 -8.9 -20.0 -20.0 -8.2 -20.0 -20.0 -20.0 -19.4 SOYOIL -4.3 -10.9 -17.1 2.5 0.2 -0.1 4.1 -1.8 4.8 -9.2 -11.6 -11.4 -8.7 -13.1 -14.1 -7.3 5.2 -3.3 1.0 -16.0 -16.3 -14.5 -12.5 -14.7 -20.0 -4.4 -5.9 -4.3 -6.4 -3.5 -5.0 13.4 -20.0 -20.0 -19.5 -14.8 -8.6 -3.4 -3.9 6.4 SP400 -7.5 8.9 19.8 4.0 2.9 3.5 3.5 2.2 3.5 -8.4 10.0 3.3 7.2 4.4 11.4 -5.7 -5.2 -5.5 -5.4 10.9 10.9 -0.7 5.9 4.6 -11.0 3.9 -2.5 3.9 -0.4 2.4 1.8 1.8 -18.7 -7.0 1.7 -0.9 -20.0 -9.0 -20.0 -20.0 SP500_micro 0.9 11.5 20.0 5.1 3.7 4.5 4.4 2.9 4.5 15.1 18.5 17.3 17.0 18.5 19.9 -12.9 -10.8 -12.5 -11.8 20.0 20.0 19.8 19.4 20.0 -20.0 7.0 3.6 6.3 4.5 4.9 5.9 -8.5 10.4 20.0 20.0 15.9 4.1 -3.9 15.8 -6.3 SUGAR11 20.0 -1.6 -20.0 2.6 0.2 -0.1 4.3 -1.9 4.9 -10.0 -3.9 8.0 7.1 7.0 -3.6 20.0 19.6 20.0 20.0 -2.2 -6.0 6.4 3.2 8.0 -20.0 -2.2 -0.9 -2.5 0.7 1.3 0.5 20.0 -6.7 -3.8 -18.7 -20.0 7.9 -3.8 14.6 7.4 US10 -14.7 5.8 20.0 1.4 -2.7 1.3 -0.9 -0.4 0.0 -4.9 2.4 -1.9 -2.5 -0.7 5.8 -10.2 -7.9 -9.3 -8.7 3.2 2.2 -1.7 -3.6 0.5 1.8 2.5 -2.9 1.7 0.1 -0.7 1.5 -12.7 1.9 8.3 3.4 0.4 -20.0 -20.0 -18.1 7.7 US10U -14.5 5.4 20.0 2.0 -3.8 1.9 -1.2 -0.6 0.1 -6.3 2.4 -2.1 -3.5 -2.6 7.4 1.4 0.7 1.9 1.3 4.0 2.3 -1.1 -5.5 0.7 -1.4 3.4 -3.3 2.0 0.8 -1.1 2.2 3.2 5.4 11.7 4.0 -0.4 -20.0 -20.0 6.5 17.9 US2 -14.6 6.9 20.0 1.2 -2.3 1.1 -0.8 -0.3 0.0 -5.6 1.4 -5.2 -4.5 0.2 4.3 -20.0 -20.0 -20.0 -20.0 2.4 1.6 -4.1 -4.4 -0.8 8.7 2.3 -3.4 1.8 -1.0 -0.7 0.7 -20.0 -2.6 5.1 3.5 2.0 -19.5 -20.0 -14.3 -20.0 US20 -17.4 6.3 20.0 1.4 -2.7 1.3 -0.9 -0.4 0.0 -2.1 2.2 -0.0 -1.9 -1.8 5.2 0.1 -1.1 -0.3 -0.7 3.3 2.1 0.3 -3.8 0.8 -1.6 2.3 -1.3 1.4 0.9 -0.8 1.6 -0.4 5.6 8.0 3.9 1.4 -20.0 -20.0 20.0 20.0 US30 -15.7 2.8 20.0 1.6 -3.1 1.5 -1.0 -0.5 0.0 -1.8 1.4 0.2 -3.3 -3.7 4.9 -9.3 -5.3 -7.6 -6.5 2.1 1.0 0.5 -5.5 -0.0 -1.0 2.3 -1.4 1.2 1.2 -1.4 1.6 -8.4 7.2 7.5 0.6 -1.4 -15.9 -17.7 20.0 20.0 US5 -15.5 5.4 20.0 1.4 -2.6 1.3 -0.9 -0.4 0.0 -5.3 3.1 -3.3 -2.8 0.0 5.8 -10.6 -10.3 -10.3 -10.6 3.1 2.5 -2.9 -3.0 -0.1 4.0 2.5 -3.4 2.0 -0.4 -0.3 1.2 -16.6 -0.3 7.2 3.6 1.3 -20.0 -20.0 -20.0 -7.4 VIX 6.5 -2.9 -20.0 -6.9 -1.1 -8.7 -1.7 -11.5 -4.5 3.7 -20.0 -5.7 -20.0 -14.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -2.2 -20.0 -9.8 NaN -8.0 -1.0 -10.5 -1.3 -13.8 -4.6 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -5.0 0.8 7.1 3.8 0.3 -0.2 6.2 -2.7 7.2 -16.6 -19.1 -11.2 -20.0 -12.9 -5.9 -11.5 -10.6 -11.3 -11.1 -9.7 -16.2 -8.4 -20.0 -8.2 -2.7 -2.6 -9.4 -5.9 -4.5 -9.9 -2.1 -11.2 -17.6 -20.0 -16.3 -7.0 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3