******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240208_204026 produced at 2024-02-08 21:37:55.417140 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 SOFR False True 0.08 0.00 -0.31 0.0 0.00 0.00 0.00 0.00 -3.84 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.09 -0.29 0.0 0.09 -0.09 -0.09 -0.09 -55.63 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.17 0.0 0.00 0.00 0.00 0.00 -4.56 24.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.14 0.0 0.00 0.00 0.00 0.00 -2.02 13.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.11 0.0 0.18 -0.18 0.00 0.00 -3.62 6.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.29 -0.11 0.0 0.62 -0.62 -0.29 -0.29 -2.38 13.0 -6 -6 caleb_strategy_v3 CORN False False 0.01 -0.08 -0.09 0.0 0.09 -0.09 -0.08 -0.08 -11.73 12.0 -10 -10 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.15 -0.15 -0.02 -0.02 -23.04 51.0 -6 -6 caleb_strategy_v3 JPY False False 0.03 -0.06 -0.06 0.0 0.48 -0.48 -0.06 -0.06 -2.21 17.0 -2 -2 caleb_strategy_v3 AUD False False 0.02 0.00 -0.06 0.0 0.41 -0.41 0.00 0.00 -2.82 19.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.50 -0.06 0.0 0.80 -0.80 -0.50 -0.50 -1.32 19.0 -12 -12 caleb_strategy_v3 US5 False False 0.04 -0.25 -0.05 0.0 0.89 -0.89 -0.25 -0.29 -1.32 25.0 -7 -8 caleb_strategy_v3 EUR False False 0.04 -0.09 -0.05 0.0 0.63 -0.63 -0.09 -0.13 -1.21 14.0 -2 -3 caleb_strategy_v3 GOLD_micro False False 0.01 -0.15 -0.04 0.0 0.38 -0.38 -0.15 -0.15 -5.79 56.0 -22 -22 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.04 0.0 0.04 -0.04 -0.02 -0.02 -26.59 26.0 -15 -15 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.03 0.0 0.22 -0.22 -0.01 -0.02 -9.15 68.0 -3 -7 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.03 0.0 0.19 -0.19 0.00 0.00 -0.31 2.0 0 0 caleb_strategy_v3 US10 False False 0.04 -0.04 -0.03 0.0 0.63 -0.63 -0.04 -0.04 -0.68 17.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.08 -0.08 -0.03 -0.03 -2.61 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 -2.24 5.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.03 0.0 0.02 -0.02 0.00 0.00 -5.41 3.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.14 -0.14 -0.04 -0.04 -1.60 7.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.09 -0.09 -0.04 -0.04 -3.06 9.0 -4 -4 caleb_strategy_v3 CAD False False 0.02 0.00 -0.03 0.0 0.72 -0.72 0.00 0.00 -1.30 29.0 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 -1.22 0.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.71 2.0 0 0 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.02 0.0 0.43 -0.43 -0.02 -0.02 -0.89 21.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.10 -0.10 0.00 0.00 -1.81 9.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.10 -0.10 -0.03 -0.03 -1.43 10.0 -3 -3 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.01 0.0 0.06 -0.06 -0.03 -0.03 -0.28 2.0 -1 -1 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.19 -0.19 0.00 0.00 -0.11 4.0 0 0 caleb_strategy_v3 PLAT False False 0.01 0.00 0.00 0.0 0.15 -0.15 0.00 0.00 0.07 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 0.23 18.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.04 -0.00 0.0 0.16 -0.16 -0.04 -0.04 -0.03 11.0 -3 -3 caleb_strategy_v3 US10U False False 0.04 0.04 0.00 0.0 0.50 -0.50 0.04 0.04 0.01 13.0 1 1 caleb_strategy_v3 US20 False False 0.04 0.12 0.00 0.0 0.36 -0.36 0.12 0.12 0.06 9.0 3 3 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.25 -0.25 0.00 0.00 -0.07 6.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.06 4.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.00 0.0 0.48 -0.48 0.00 0.00 -0.10 10.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.09 6.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.04 0.01 0.0 0.42 -0.42 0.04 0.04 0.18 10.0 1 1 caleb_strategy_v3 GBP False False 0.03 0.13 0.01 0.0 0.58 -0.58 0.13 0.13 0.52 22.0 5 5 caleb_strategy_v3 LEANHOG False False 0.01 0.04 0.02 0.0 0.16 -0.16 0.04 0.04 1.88 13.0 3 3 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.02 0.0 0.24 -0.24 0.03 0.03 1.65 23.0 3 3 caleb_strategy_v3 OAT False False 0.05 0.00 0.02 0.0 0.46 -0.46 0.00 0.00 0.36 10.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.02 0.0 0.06 -0.06 0.00 0.00 0.84 3.0 0 0 caleb_strategy_v3 RICE False True 0.01 0.00 0.02 0.0 0.00 0.00 0.00 0.00 1.91 4.0 0 0 caleb_strategy_v3 BITCOIN False True 0.00 0.02 0.03 0.0 0.02 0.00 0.02 0.02 17.17 59.0 15 15 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.04 0.0 0.42 -0.42 0.00 0.00 1.44 17.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.21 0.04 0.0 0.34 -0.34 0.21 0.21 0.84 8.0 5 5 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.04 0.0 0.11 -0.11 0.00 0.00 1.10 3.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.18 0.04 0.0 0.27 -0.27 0.18 0.20 2.98 23.0 15 17 caleb_strategy_v3 COCOA False False 0.02 0.09 0.04 0.0 0.48 -0.48 0.09 0.11 2.09 26.0 5 6 caleb_strategy_v3 DX False True 0.03 0.00 0.05 0.0 0.00 0.00 0.00 0.00 1.53 999999999.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.02 0.05 0.0 0.43 -0.43 0.02 0.02 8.12 66.0 3 3 caleb_strategy_v3 SP500_micro False False 0.01 0.01 0.05 0.0 0.40 -0.40 0.01 0.01 6.03 48.0 1 1 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.05 0.0 0.11 -0.11 0.03 0.03 1.90 4.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.05 0.0 0.12 -0.12 0.05 0.05 1.98 5.0 2 2 caleb_strategy_v3 CAC False True 0.03 0.00 0.06 0.0 0.00 0.00 0.00 0.00 2.02 12.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.38 0.06 0.0 0.38 -0.38 0.38 0.38 1.31 9.0 9 9 caleb_strategy_v3 DAX False False 0.01 0.00 0.10 0.0 0.35 -0.35 0.00 0.00 17.00 58.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.22 0.15 0.0 0.34 -0.34 0.22 0.20 8.73 20.0 13 12 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.29 0.0 0.30 -0.30 0.28 0.29 35.14 36.0 34 35 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.44 0.33 0.0 0.88 -0.88 0.44 0.26 3.79 10.0 5 3 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.36 0.37 0.0 0.52 -0.52 0.36 0.36 11.37 16.0 11 11 caleb_strategy_v3 MXP False False 0.01 0.54 0.58 0.0 0.58 -0.58 0.54 0.54 60.68 60.0 56 56 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.5 Shocked risk 64.6 Sum abs risk 55.9 Leverage 4.56 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3008862.29, 'annual_cash_vol_target': 752215.5725, 'daily_cash_vol_target': 47013.47328125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6497 0.5908 9.4525 BITCOIN 1092.9720 45575.0000 2.3982 38.3709 BOBL 0.3130 117.0300 0.2675 4.2797 BTP 0.6230 117.0700 0.5321 8.5141 BUND 0.6180 133.3600 0.4634 7.4146 BUXL 1.4105 132.5000 1.0645 17.0327 CAC 54.2354 7647.5000 0.7092 11.3471 CAD 0.0029 0.7436 0.3904 6.2459 CANOLA 6.6953 604.7000 1.1072 17.7154 CHF 0.0054 1.1481 0.4664 7.4620 COCOA 81.5031 5611.0000 1.4526 23.2410 COFFEE 3.3490 186.4000 1.7967 28.7471 COPPER 0.0390 3.7075 1.0530 16.8480 CORN 3.8989 472.5000 0.8252 13.2027 COTTON2 0.8730 89.7600 0.9725 15.5608 CRUDE_W 1.0668 73.2000 1.4574 23.3177 DAX 109.8077 17051.0000 0.6440 10.3039 DOW 199.1595 38796.0000 0.5134 8.2136 DX 0.3849 104.0250 0.3700 5.9205 EUR 0.0046 1.0792 0.4266 6.8263 EURIBOR-ICE 0.0576 97.6750 0.0590 0.9437 EUROSTX 33.7434 4721.0000 0.7148 11.4360 FEEDCOW 1.7429 255.9750 0.6809 10.8939 GASOIL 13.6341 819.2500 1.6642 26.6274 GASOLINE 0.0406 2.5481 1.5952 25.5226 GAS_US_mini 0.0875 1.9200 4.5570 72.9116 GBP 0.0062 1.2619 0.4929 7.8867 GOLD_micro 12.7831 2047.8000 0.6242 9.9878 HEATOIL 0.0402 2.7275 1.4730 23.5675 JGB-SGX-mini 0.2867 146.3600 0.1959 3.1342 JPY 0.0000 0.0067 0.6496 10.3939 LEANHOG 1.1176 94.9000 1.1777 18.8432 LIVECOW 1.3064 186.2500 0.7014 11.2231 LUMBER-new 6.7666 575.5000 1.1758 18.8124 MILK 0.2317 17.4700 1.3260 21.2166 MXP 0.0004 0.0579 0.6175 9.8798 NASDAQ_micro 137.0670 17867.2500 0.7671 12.2743 NIKKEI 321.8914 37040.0000 0.8690 13.9046 NZD 0.0037 0.6092 0.6031 9.6492 OAT 0.5984 127.8900 0.4679 7.4864 OATIES 6.7935 372.5000 1.8237 29.1800 OJ 6.6881 370.5000 1.8052 28.8824 PALLAD 24.7587 893.0000 2.7725 44.3604 PLAT 14.3475 894.7000 1.6036 25.6578 REDWHEAT 9.5466 593.2500 1.6092 25.7472 RICE 0.1760 18.8250 0.9347 14.9551 ROBUSTA 40.4642 3118.0000 1.2978 20.7642 RUSSELL 22.4211 1986.6000 1.1286 18.0579 SHATZ 0.1062 105.6100 0.1006 1.6092 SILVER-mini 0.3278 22.8750 1.4328 22.9250 SMI 74.6715 11074.0000 0.6743 10.7887 SOFR 0.0758 96.4700 0.0786 1.2572 SOYBEAN 10.0016 1174.5000 0.8516 13.6250 SOYMEAL 4.7219 346.2000 1.3639 21.8227 SOYOIL 0.6978 48.5500 1.4372 22.9958 SP400 23.7708 2796.2000 0.8501 13.6018 SP500_micro 30.7864 5015.7500 0.6138 9.8207 SUGAR11 0.3413 23.1700 1.4729 23.5668 US10 0.4628 110.7656 0.4178 6.6844 US10U 0.6336 114.8594 0.5516 8.8259 US2 0.1273 102.3594 0.1244 1.9903 US20 0.9265 119.7500 0.7737 12.3791 US30 1.3350 126.0312 1.0592 16.9480 US5 0.3089 107.2891 0.2879 4.6061 VIX 0.4173 15.4500 2.7007 43.2105 WHEAT 8.1508 621.7500 1.3109 20.9751 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 649.70 0.59 383.83 1.00 383.83 47013.47 122.48 -8.87 -108.60 BITCOIN 45.58 2.40 109.30 1.00 109.30 47013.47 430.14 3.69 158.55 BOBL 1170.30 0.27 313.03 1.08 336.95 47013.47 139.53 -9.35 -130.48 BTP 1170.70 0.53 622.96 1.08 670.56 47013.47 70.11 0.76 5.32 BUND 1333.60 0.46 618.00 1.08 665.22 47013.47 70.67 -1.38 -9.77 BUXL 1325.00 1.06 1410.52 1.08 1518.29 47013.47 30.96 -3.56 -11.04 CAC 764.75 0.71 542.35 1.08 583.79 47013.47 80.53 7.35 59.18 CAD 743.55 0.39 290.26 1.00 290.26 47013.47 161.97 -3.10 -50.25 CANOLA 120.94 1.11 133.91 0.74 99.29 47013.47 473.50 -20.00 -947.00 CHF 1435.12 0.47 669.30 1.00 669.30 47013.47 70.24 -13.08 -91.85 COCOA 561.10 1.45 815.03 1.00 815.03 47013.47 57.68 16.93 97.64 COFFEE 699.00 1.80 1255.89 1.00 1255.89 47013.47 37.43 -2.04 -7.62 COPPER 926.88 1.05 976.00 1.00 976.00 47013.47 48.17 -6.93 -33.40 CORN 236.25 0.83 194.95 1.00 194.95 47013.47 241.16 -20.00 -482.32 COTTON2 448.80 0.97 436.48 1.00 436.48 47013.47 107.71 -0.15 -1.61 CRUDE_W 732.00 1.46 1066.78 1.00 1066.78 47013.47 44.07 4.15 18.29 DAX 170.51 0.64 109.81 1.08 118.20 47013.47 397.76 12.53 498.28 DOW 193.98 0.51 99.58 1.00 99.58 47013.47 472.12 7.40 349.57 DX 1040.25 0.37 384.92 1.00 384.92 47013.47 122.14 4.83 58.97 EUR 1349.00 0.43 575.54 1.00 575.54 47013.47 81.69 -5.72 -46.76 EURIBOR-ICE 2441.88 0.06 144.03 1.08 155.04 47013.47 303.24 3.66 110.99 EUROSTX 472.10 0.71 337.43 1.08 363.21 47013.47 129.44 19.78 256.05 FEEDCOW 1279.88 0.68 871.43 1.00 871.43 47013.47 53.95 4.70 25.35 GASOIL 819.25 1.66 1363.41 1.00 1363.41 47013.47 34.48 12.70 43.79 GASOLINE 1070.20 1.60 1707.15 1.00 1707.15 47013.47 27.54 0.50 1.38 GAS_US_mini 48.00 4.56 218.73 1.00 218.73 47013.47 214.93 -11.43 -245.58 GBP 788.69 0.49 388.76 1.00 388.76 47013.47 120.93 1.66 20.09 GOLD_micro 204.78 0.62 127.83 1.00 127.83 47013.47 367.78 -4.62 -169.77 HEATOIL 1145.55 1.47 1687.36 1.00 1687.36 47013.47 27.86 9.07 25.28 JGB-SGX-mini 146360.00 0.20 28669.97 0.01 193.73 47013.47 242.68 4.32 104.95 JPY 841.56 0.65 546.69 1.00 546.69 47013.47 86.00 -9.90 -85.14 LEANHOG 379.60 1.18 447.06 1.00 447.06 47013.47 105.16 2.93 30.86 LIVECOW 745.00 0.70 522.58 1.00 522.58 47013.47 89.96 4.82 43.38 LUMBER-new 158.26 1.18 186.08 1.00 186.08 47013.47 252.65 -10.02 -253.17 MILK 349.40 1.33 463.32 1.00 463.32 47013.47 101.47 -10.29 -104.41 MXP 289.55 0.62 178.79 1.00 178.79 47013.47 262.95 15.72 413.43 NASDAQ_micro 357.34 0.77 274.13 1.00 274.13 47013.47 171.50 7.49 128.42 NIKKEI 37040.00 0.87 32189.14 0.01 217.51 47013.47 216.14 15.01 324.53 NZD 609.20 0.60 367.39 1.00 367.39 47013.47 127.97 -2.67 -34.14 OAT 1278.90 0.47 598.39 1.08 644.11 47013.47 72.99 1.46 10.64 OATIES 186.25 1.82 339.67 1.00 339.67 47013.47 138.41 -8.05 -111.42 OJ 555.75 1.81 1003.21 1.00 1003.21 47013.47 46.86 8.34 39.06 PALLAD 893.00 2.77 2475.87 1.00 2475.87 47013.47 18.99 -4.28 -8.13 PLAT 447.35 1.60 717.38 1.00 717.38 47013.47 65.54 0.31 2.00 REDWHEAT 296.62 1.61 477.33 1.00 477.33 47013.47 98.49 -20.00 -196.99 RICE 376.50 0.93 351.91 1.00 351.91 47013.47 133.59 5.87 78.47 ROBUSTA 311.80 1.30 404.64 1.00 404.64 47013.47 116.19 12.19 141.59 RUSSELL 99.33 1.13 112.11 1.00 112.11 47013.47 419.37 -6.58 -276.13 SHATZ 1056.10 0.10 106.22 1.08 114.33 47013.47 411.20 -10.94 -449.77 SILVER-mini 571.88 1.43 819.39 1.00 819.39 47013.47 57.38 -6.25 -35.83 SMI 1107.40 0.67 746.72 1.15 858.57 47013.47 54.76 6.99 38.29 SOFR 2411.75 0.08 189.51 1.00 189.51 47013.47 248.08 -2.55 -63.26 SOYBEAN 587.25 0.85 500.08 1.00 500.08 47013.47 94.01 -18.29 -171.96 SOYMEAL 346.20 1.36 472.19 1.00 472.19 47013.47 99.57 -19.49 -194.09 SOYOIL 291.30 1.44 418.67 1.00 418.67 47013.47 112.29 -13.70 -153.89 SP400 2796.20 0.85 2377.08 1.00 2377.08 47013.47 19.78 -4.67 -9.24 SP500_micro 250.79 0.61 153.93 1.00 153.93 47013.47 305.42 8.50 259.53 SUGAR11 259.50 1.47 382.23 1.00 382.23 47013.47 123.00 0.89 10.99 US10 1107.66 0.42 462.75 1.00 462.75 47013.47 101.59 -5.28 -53.69 US10U 1148.59 0.55 633.59 1.00 633.59 47013.47 74.20 0.13 1.00 US2 2047.19 0.12 254.66 1.00 254.66 47013.47 184.62 -8.65 -159.74 US20 1197.50 0.77 926.50 1.00 926.50 47013.47 50.74 0.94 4.78 US30 1260.31 1.06 1334.99 1.00 1334.99 47013.47 35.22 -1.48 -5.20 US5 1072.89 0.29 308.87 1.00 308.87 47013.47 152.21 -6.87 -104.51 VIX 154.50 2.70 417.25 1.00 417.25 47013.47 112.67 -20.00 -225.35 WHEAT 310.88 1.31 407.54 1.00 407.54 47013.47 115.36 -20.00 -230.72 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -108.599 0.010 2.5 -2.818 BITCOIN 158.547 0.043 2.5 17.169 BOBL -130.480 0.004 2.5 -1.323 BTP 5.319 0.014 2.5 0.181 BUND -9.774 0.004 2.5 -0.099 BUXL -11.037 0.004 2.5 -0.112 CAC 59.184 0.014 2.5 2.019 CAD -50.254 0.010 2.5 -1.304 CANOLA -947.003 0.010 2.5 -23.040 CHF -91.846 0.010 2.5 -2.383 COCOA 97.640 0.009 2.5 2.091 COFFEE -7.619 0.005 2.5 -0.089 COPPER -33.397 0.043 2.5 -3.616 CORN -482.324 0.010 2.5 -11.734 COTTON2 -1.615 0.009 2.5 -0.035 CRUDE_W 18.291 0.043 2.5 1.981 DAX 498.281 0.014 2.5 16.996 DOW 349.568 0.009 2.5 8.124 DX 58.965 0.010 2.5 1.530 EUR -46.757 0.010 2.5 -1.213 EURIBOR-ICE 110.993 0.014 2.5 3.786 EUROSTX 256.047 0.014 2.5 8.733 FEEDCOW 25.351 0.013 2.5 0.840 GASOIL 43.792 0.017 2.5 1.898 GASOLINE 1.379 0.017 2.5 0.060 GAS_US_mini -245.576 0.043 2.5 -26.593 GBP 20.095 0.010 2.5 0.521 GOLD_micro -169.768 0.014 2.5 -5.791 HEATOIL 25.285 0.017 2.5 1.096 JGB-SGX-mini 104.955 0.043 2.5 11.365 JPY -85.141 0.010 2.5 -2.209 LEANHOG 30.855 0.024 2.5 1.875 LIVECOW 43.381 0.013 2.5 1.438 LUMBER-new -253.167 0.009 2.5 -5.412 MILK -104.412 0.009 2.5 -2.236 MXP 413.432 0.059 2.5 60.681 NASDAQ_micro 128.418 0.009 2.5 2.984 NIKKEI 324.528 0.043 2.5 35.143 NZD -34.138 0.010 2.5 -0.886 OAT 10.645 0.014 2.5 0.363 OATIES -111.420 0.010 2.5 -2.711 OJ 39.062 0.009 2.5 0.837 PALLAD -8.132 0.014 2.5 -0.277 PLAT 1.999 0.014 2.5 0.068 REDWHEAT -196.986 0.005 2.5 -2.613 RICE 78.472 0.010 2.5 1.909 ROBUSTA 141.589 0.005 2.5 1.653 RUSSELL -276.129 0.013 2.5 -9.150 SHATZ -449.767 0.004 2.5 -4.561 SILVER-mini -35.832 0.014 2.5 -1.222 SMI 38.288 0.014 2.5 1.306 SOFR -63.257 0.024 2.5 -3.844 SOYBEAN -171.956 0.004 2.5 -1.599 SOYMEAL -194.091 0.004 2.5 -1.805 SOYOIL -153.895 0.004 2.5 -1.433 SP400 -9.240 0.013 2.5 -0.306 SP500_micro 259.535 0.009 2.5 6.032 SUGAR11 10.987 0.009 2.5 0.234 US10 -53.688 0.005 2.5 -0.680 US10U 1.000 0.005 2.5 0.013 US2 -159.739 0.005 2.5 -2.024 US20 4.782 0.005 2.5 0.061 US30 -5.198 0.005 2.5 -0.066 US5 -104.510 0.005 2.5 -1.324 VIX -225.349 0.099 2.5 -55.626 WHEAT -230.719 0.005 2.5 -3.061 ===================== Position diags ===================== AUD 3.18 BITCOIN 46.58 BOBL 1.41 BTP 2.39 BUND 0.72 BUXL 0.31 CAC 2.75 CAD 4.20 CANOLA 11.52 CHF 1.82 COCOA 1.24 COFFEE 0.44 COPPER 5.22 CORN 5.87 COTTON2 2.31 CRUDE_W 4.77 DAX 13.57 DOW 10.97 DX 3.17 EUR 2.12 EURIBOR-ICE 10.34 EUROSTX 4.41 FEEDCOW 1.79 GASOIL 1.49 GASOLINE 1.19 GAS_US_mini 23.27 GBP 3.14 GOLD_micro 12.54 HEATOIL 1.21 JGB-SGX-mini 26.28 JPY 2.23 LEANHOG 6.39 LIVECOW 2.98 LUMBER-new 5.40 MILK 2.17 MXP 38.59 NASDAQ_micro 3.99 NIKKEI 23.41 NZD 3.32 OAT 2.49 OATIES 3.37 OJ 1.00 PALLAD 0.65 PLAT 2.24 REDWHEAT 1.31 RICE 3.25 ROBUSTA 1.36 RUSSELL 13.90 SHATZ 4.17 SILVER-mini 1.96 SMI 1.87 SOFR 15.08 SOYBEAN 0.87 SOYMEAL 0.93 SOYOIL 1.05 SP400 0.66 SP500_micro 7.10 SUGAR11 2.62 US10 1.29 US10U 0.94 US2 2.34 US20 0.64 US30 0.45 US5 1.93 VIX 27.81 WHEAT 1.53 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.8 -3.1 -2.5 0.0 0 BITCOIN 17.2 12.5 21.8 15.0 15 BOBL -1.3 -1.5 -1.2 -12.0 -12 BTP 0.2 -0.1 0.4 1.0 1 BUND -0.1 -0.2 -0.0 0.0 0 BUXL -0.1 -0.1 -0.1 0.0 0 CAC 2.0 1.7 2.3 0.0 0 CAD -1.3 -1.7 -0.9 0.0 0 CANOLA -23.0 -24.2 -21.9 -6.0 -6 CHF -2.4 -2.6 -2.2 -6.0 -6 COCOA 2.1 2.0 2.2 5.0 5 COFFEE -0.1 -0.1 -0.0 0.0 0 COPPER -3.6 -4.1 -3.1 0.0 0 CORN -11.7 -12.3 -11.1 -10.0 -10 COTTON2 -0.0 -0.3 0.2 -3.0 -3 CRUDE_W 2.0 1.5 2.5 2.0 2 DAX 17.0 15.6 18.4 0.0 0 DOW 8.1 7.0 9.2 3.0 3 DX 1.5 1.2 1.8 NaN 0 EUR -1.2 -1.4 -1.0 -2.0 -2 EURIBOR-ICE 3.8 2.8 4.8 5.0 5 EUROSTX 8.7 8.3 9.2 13.0 13 FEEDCOW 0.8 0.7 1.0 5.0 5 GASOIL 1.9 1.7 2.0 1.0 1 GASOLINE 0.1 -0.1 0.2 0.0 0 GAS_US_mini -26.6 -28.9 -24.3 -15.0 -15 GBP 0.5 0.2 0.8 5.0 5 GOLD_micro -5.8 -7.0 -4.5 -22.0 -22 HEATOIL 1.1 1.0 1.2 0.0 0 JGB-SGX-mini 11.4 8.7 14.0 11.0 11 JPY -2.2 -2.4 -2.0 -2.0 -2 LEANHOG 1.9 1.2 2.5 3.0 3 LIVECOW 1.4 1.1 1.7 0.0 0 LUMBER-new -5.4 -6.0 -4.9 NaN 0 MILK -2.2 -2.5 -2.0 NaN 0 MXP 60.7 56.8 64.5 56.0 56 NASDAQ_micro 3.0 2.6 3.4 15.0 15 NIKKEI 35.1 32.8 37.5 34.0 34 NZD -0.9 -1.2 -0.6 -1.0 -1 OAT 0.4 0.1 0.6 0.0 0 OATIES -2.7 -3.0 -2.4 NaN 0 OJ 0.8 0.7 0.9 NaN 0 PALLAD -0.3 -0.3 -0.2 -1.0 -1 PLAT 0.1 -0.2 0.3 0.0 0 REDWHEAT -2.6 -2.7 -2.5 -3.0 -3 RICE 1.9 1.6 2.2 NaN 0 ROBUSTA 1.7 1.5 1.8 3.0 3 RUSSELL -9.2 -10.5 -7.8 -3.0 -3 SHATZ -4.6 -5.0 -4.1 NaN 0 SILVER-mini -1.2 -1.4 -1.0 NaN 0 SMI 1.3 1.1 1.5 9.0 9 SOFR -3.8 -5.4 -2.3 NaN 0 SOYBEAN -1.6 -1.7 -1.5 -2.0 -2 SOYMEAL -1.8 -1.9 -1.7 0.0 0 SOYOIL -1.4 -1.5 -1.3 -3.0 -3 SP400 -0.3 -0.4 -0.2 0.0 0 SP500_micro 6.0 5.3 6.7 1.0 1 SUGAR11 0.2 -0.0 0.5 0.0 0 US10 -0.7 -0.8 -0.6 -1.0 -1 US10U 0.0 -0.1 0.1 1.0 1 US2 -2.0 -2.3 -1.8 NaN 0 US20 0.1 -0.0 0.1 3.0 3 US30 -0.1 -0.1 -0.0 0.0 0 US5 -1.3 -1.5 -1.1 -7.0 -7 VIX -55.6 -58.4 -52.8 -17.0 -17 WHEAT -3.1 -3.2 -2.9 -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 -0.2 0.4 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 -0.1 -0.2 -0.3 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -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 -0.4 -0.3 -0.1 -0.7 -0.3 -0.2 0.1 BITCOIN -0.4 -0.3 0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.4 0.1 0.7 -0.0 0.1 -0.1 -0.1 -0.2 -0.1 0.1 0.2 0.1 0.5 0.1 -2.7 0.1 0.1 0.2 0.1 0.3 0.0 -0.1 0.5 0.0 0.4 0.6 -0.2 0.2 0.3 0.3 BOBL -0.6 -0.3 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 0.0 -0.4 -0.3 -0.4 -0.4 0.0 0.0 -0.1 -0.0 -0.0 0.9 0.0 -0.0 0.0 -0.0 0.0 -0.0 -1.1 0.0 0.0 -0.2 -0.0 -0.7 -0.7 0.1 -0.7 BTP -0.4 -0.0 0.6 0.0 -0.0 0.1 -0.0 -0.0 -0.0 -0.1 0.2 -0.1 0.3 -0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.2 -0.0 -1.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.6 0.1 0.3 -0.0 0.2 -0.6 -0.7 0.5 0.0 BUND -0.6 -0.3 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.0 -0.1 -0.0 -0.0 0.6 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.4 0.1 0.0 -0.2 -0.0 -0.7 -0.7 0.1 -0.3 BUXL -0.6 -0.2 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.2 -0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.0 0.1 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 0.1 0.0 -0.3 -0.0 -0.7 -0.7 0.1 0.2 CAC 0.2 -0.0 0.4 0.1 0.0 0.2 0.1 0.1 0.1 0.0 0.5 0.2 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.1 0.2 0.1 0.1 0.3 0.2 -1.2 0.1 0.0 0.1 0.1 0.2 0.1 -0.0 0.3 0.1 -0.4 -0.2 -0.0 0.3 0.2 0.6 CAD -0.3 0.0 0.4 0.0 -0.1 0.1 -0.1 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 0.0 -0.0 -0.0 -0.0 0.0 0.4 0.2 0.2 -0.3 -0.7 -0.5 -0.1 -0.5 CANOLA 0.0 -0.6 -0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.2 -0.0 -0.2 -0.2 -0.2 -0.2 -0.1 -0.5 -0.2 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.5 -0.6 -0.6 -0.6 -0.6 -0.5 -0.4 -0.2 CHF -0.6 -0.1 0.4 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.1 -0.2 0.3 -0.1 0.0 -0.3 -0.3 -0.3 -0.3 -0.0 0.1 -0.2 0.2 -0.1 -0.8 0.0 -0.1 0.1 -0.1 0.1 -0.0 -1.1 -0.2 -0.6 0.3 0.3 -0.7 -0.6 -0.5 -0.7 COCOA 0.5 -0.5 -0.2 0.0 0.0 0.0 0.0 -0.1 0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.3 0.1 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 0.9 0.5 0.6 0.6 0.6 0.7 0.1 0.7 0.7 COFFEE 0.1 0.1 0.6 0.0 0.0 0.0 0.0 -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 0.0 0.1 0.1 -2.7 0.0 -0.0 0.2 -0.0 0.1 0.0 0.9 0.0 -0.6 -0.3 0.6 -0.4 -0.7 -0.3 -0.4 COPPER -0.0 -0.1 0.4 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 -0.0 -0.1 -0.2 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.2 -0.1 -0.1 -1.4 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.1 -0.5 0.0 0.3 0.4 -0.5 -0.2 0.5 -0.0 CORN -0.1 -0.5 -0.3 0.1 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 -0.2 -0.2 -0.2 -0.1 -0.5 -0.2 -2.7 -0.1 -0.1 -0.2 -0.0 -0.3 -0.1 -0.2 -0.5 -0.6 -0.6 -0.6 -0.2 -0.6 -0.1 0.0 COTTON2 0.6 0.6 -0.1 0.1 0.0 0.0 0.1 -0.1 0.1 0.2 -0.1 0.2 -0.1 0.2 0.1 -0.1 -0.0 -0.1 -0.1 0.2 0.0 0.2 -0.2 0.2 -2.7 0.1 0.1 0.1 0.1 0.0 0.1 0.1 0.5 0.6 0.6 -0.2 -0.5 -0.5 -0.2 0.0 CRUDE_W 0.3 -0.1 -0.3 0.0 0.1 0.0 0.1 0.1 0.1 0.0 0.1 -0.0 0.2 0.0 -0.1 0.2 0.2 0.2 0.2 -0.0 0.0 0.0 0.2 0.0 -0.6 -0.0 0.1 0.0 0.0 0.2 0.0 -0.1 -0.5 -0.6 -0.5 0.1 0.7 0.6 0.7 0.7 DAX 0.0 0.0 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.0 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 0.1 -0.5 -0.4 -0.2 -0.5 0.2 -0.0 0.3 0.3 0.7 DOW -0.0 0.5 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -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 0.2 0.5 0.6 0.6 -0.3 -0.1 -0.1 -0.3 DX 0.6 0.2 -0.5 0.0 -0.0 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 0.1 0.8 0.5 0.6 0.1 -0.6 0.7 0.1 0.7 0.3 EUR -0.5 -0.2 0.3 0.0 -0.0 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 -0.1 -0.0 -0.1 -0.0 -0.2 2.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.4 -0.2 -0.3 -0.1 -0.0 -0.7 -0.4 -0.7 -0.3 EURIBOR-ICE -0.6 -0.3 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.0 0.1 0.1 -0.1 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.0 1.9 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 -0.0 0.1 -0.0 0.3 -0.7 -0.7 0.3 0.7 EUROSTX 0.5 0.1 0.6 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 0.5 0.2 0.3 0.1 0.1 0.2 0.1 0.2 0.1 0.8 0.3 0.6 -0.1 0.2 -0.2 0.4 -0.1 0.6 FEEDCOW 0.6 0.6 -0.5 0.0 0.0 0.0 0.0 -0.1 0.1 0.2 -0.1 0.2 -0.1 0.2 0.1 -0.4 -0.4 -0.4 -0.4 0.2 -0.0 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 0.7 0.3 0.7 0.6 GASOIL 0.6 0.2 -0.4 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.2 0.1 0.3 0.1 0.0 0.4 0.4 0.4 0.4 0.1 0.1 0.2 0.2 0.2 1.0 0.0 0.1 0.1 0.1 0.1 0.1 1.1 0.4 0.2 0.3 0.2 -0.5 -0.1 -0.7 -0.3 GASOLINE 0.5 0.2 -0.3 0.0 0.1 0.0 0.1 0.0 0.1 0.1 -0.0 0.1 0.2 0.1 0.1 -0.3 0.1 -0.4 -0.2 0.1 0.0 0.1 0.1 0.1 -2.7 0.0 0.1 0.0 0.1 0.2 0.1 -0.7 -0.2 -0.2 -0.1 0.3 0.7 0.4 0.7 0.4 GAS_US_mini -0.3 0.1 -0.6 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 2.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.5 -0.6 -0.3 -0.3 -0.5 0.0 -0.7 -0.1 GBP -0.3 0.0 0.4 0.0 -0.0 0.1 -0.1 0.2 -0.0 -0.0 0.1 -0.1 0.4 -0.1 0.2 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.1 0.1 -0.0 0.3 0.0 -0.0 0.1 -0.1 0.1 -0.0 0.2 -0.1 0.2 0.2 0.2 -0.7 -0.1 -0.6 0.2 GOLD_micro -0.2 -0.1 0.3 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 0.3 -0.0 0.3 -0.1 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 0.4 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL 0.6 0.2 -0.4 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.2 0.2 0.2 -0.0 0.4 0.4 0.4 0.4 0.1 0.0 0.2 0.2 0.2 -2.7 0.0 0.1 0.1 0.1 0.2 0.1 1.1 0.1 0.0 0.2 0.2 0.4 0.1 0.4 -0.1 JGB-SGX-mini -0.6 0.2 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.2 -0.0 0.1 0.2 0.3 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 0.1 -0.0 0.0 -0.1 -0.1 -0.7 0.2 0.4 JPY -0.5 -0.2 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 -0.3 -0.3 -0.5 -0.7 -0.3 -0.7 LEANHOG 0.6 0.5 0.1 0.0 0.0 0.0 0.0 -0.1 0.1 -0.2 -0.1 0.0 -0.5 0.2 0.1 -0.4 -0.2 -0.4 -0.4 0.1 -0.0 -0.0 -0.4 0.2 2.5 0.1 -0.1 0.1 -0.0 -0.1 0.1 -1.1 -0.4 0.0 0.6 0.5 -0.4 -0.3 0.1 0.4 LIVECOW 0.6 0.6 -0.6 0.0 0.0 0.0 0.0 -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 -0.1 0.2 -0.3 0.0 0.1 -0.0 0.1 0.1 0.1 -0.6 0.5 0.6 0.6 -0.6 0.5 -0.0 0.7 0.2 LUMBER-new -0.1 0.1 0.5 0.1 0.0 0.0 0.1 -0.1 0.1 -0.2 -0.0 0.0 -0.6 -0.1 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 -0.4 -0.7 0.0 0.6 -0.4 -0.8 -0.3 -0.8 MILK 0.6 0.5 -0.1 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 -0.3 0.1 -0.5 0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 0.1 -0.5 0.1 1.5 -0.0 0.0 -0.1 0.1 -0.2 0.0 -1.1 0.5 0.1 -0.4 -0.6 -0.7 -0.7 -0.7 -0.7 MXP -0.2 0.1 0.3 0.0 -0.0 0.1 -0.1 0.1 -0.0 0.1 0.5 0.0 0.7 0.0 0.2 0.3 0.3 0.3 0.3 0.1 0.2 0.0 0.5 0.0 -2.7 0.1 -0.0 0.2 0.0 0.4 0.0 1.1 0.5 0.4 0.3 0.2 0.6 0.7 0.7 0.7 NASDAQ_micro 0.2 0.2 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.4 0.2 0.5 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 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 0.2 0.6 0.4 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 0.0 0.6 0.6 0.4 -0.5 -0.1 -0.1 -0.0 NZD -0.5 -0.2 0.5 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.1 0.1 -0.0 -0.0 0.1 -0.0 0.0 -0.0 0.2 0.1 -0.2 -0.2 -0.0 -0.4 -0.3 -0.2 0.1 OAT -0.6 -0.2 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.1 -0.1 0.0 -0.0 0.8 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.6 0.0 0.1 -0.2 0.1 -0.7 -0.7 0.2 0.1 OATIES 0.2 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 0.2 -0.1 0.0 -0.1 -0.0 -0.1 0.0 -0.2 0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.1 -0.3 -0.0 -0.4 -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 0.0 0.1 0.2 0.1 0.4 0.1 -0.0 0.1 0.3 0.2 0.3 0.1 0.1 0.2 0.5 0.2 -2.7 0.0 0.0 0.1 0.1 0.3 0.1 1.1 0.5 0.6 -0.4 0.2 0.2 0.4 0.4 0.7 PALLAD -0.1 -0.4 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.4 -0.1 0.0 0.3 -0.2 -0.3 -0.3 -0.2 -0.1 PLAT -0.2 -0.2 0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 1.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.3 0.1 -0.0 0.1 0.1 -0.4 -0.2 0.6 0.1 REDWHEAT 0.2 -0.0 -0.2 0.0 0.0 0.0 0.0 -0.1 0.1 -0.2 -0.5 -0.1 -0.7 -0.1 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.5 -0.1 -1.8 -0.0 -0.1 -0.3 -0.1 -0.4 -0.0 0.2 -0.5 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.6 RICE 0.4 0.1 0.4 0.0 0.0 0.0 0.0 -0.1 0.1 0.2 0.5 0.2 0.6 0.2 0.2 -0.3 -0.0 -0.3 -0.2 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.5 0.4 0.1 0.4 0.1 -0.2 0.3 0.0 ROBUSTA 0.5 0.6 0.6 0.0 0.0 0.0 0.0 -0.1 0.0 -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 0.2 0.0 0.2 0.0 1.1 0.1 0.5 0.6 0.6 -0.5 -0.5 -0.2 0.0 RUSSELL -0.3 0.1 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 -0.4 -0.4 -0.1 -0.1 -0.7 -0.7 -0.7 -0.7 SHATZ -0.5 -0.2 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 0.0 -0.4 -0.4 -0.4 -0.4 -0.0 0.0 -0.1 -0.1 -0.1 1.1 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.1 -0.0 -0.2 -0.1 -0.7 -0.7 -0.3 -0.7 SILVER-mini -0.2 -0.4 0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.8 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 0.0 0.2 0.1 0.0 -0.7 -0.6 0.3 -0.2 SMI -0.2 0.3 0.4 0.1 0.0 0.1 0.1 0.1 0.1 -0.1 0.2 -0.1 0.2 0.0 0.2 0.2 0.1 0.2 0.2 0.1 0.1 -0.1 0.1 0.0 1.4 0.1 -0.1 0.1 -0.0 0.1 0.0 1.1 -0.5 -0.6 -0.2 -0.4 0.1 -0.2 0.4 -0.2 SOFR -0.5 -0.0 0.6 0.0 -0.0 0.0 -0.0 -0.0 -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 -0.0 -0.3 0.0 -0.0 0.1 -0.0 0.0 0.0 0.1 0.1 0.2 0.1 0.1 -0.7 -0.7 -0.3 -0.1 SOYBEAN -0.0 -0.6 -0.4 0.0 0.0 0.0 0.0 -0.1 0.1 -0.1 -0.3 -0.2 0.0 -0.2 -0.2 0.1 0.3 0.2 0.2 -0.2 -0.2 -0.1 -0.2 -0.2 -2.7 -0.1 -0.0 -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 -0.5 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 -0.3 -0.1 -0.2 -0.1 -0.1 0.0 0.3 0.1 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 -0.5 -0.6 -0.6 -0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.1 -0.2 -0.5 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.3 -0.0 -0.3 -0.1 -0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.2 0.0 -0.3 -0.1 -2.7 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.7 0.0 -0.6 -0.5 -0.4 -0.3 -0.1 -0.1 0.2 SP400 -0.1 0.2 0.6 0.0 0.0 0.1 0.0 0.1 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 -1.5 0.0 0.0 0.1 0.0 0.1 0.0 0.1 -0.3 -0.3 -0.1 -0.1 -0.7 -0.3 -0.7 -0.7 SP500_micro 0.2 0.4 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.2 0.5 0.2 0.6 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.2 0.1 -0.5 0.2 0.6 0.6 0.5 0.1 -0.1 0.6 -0.2 SUGAR11 0.6 0.1 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 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 0.1 0.0 1.1 -0.2 -0.1 -0.4 -0.6 0.3 -0.1 0.5 0.3 US10 -0.5 0.1 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.0 -0.0 -0.1 -0.0 0.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.7 0.1 0.2 0.1 0.0 -0.7 -0.7 -0.6 0.3 US10U -0.4 0.1 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.0 0.1 -0.0 -0.0 0.0 0.2 0.2 0.3 0.1 0.0 -0.7 -0.7 0.2 0.6 US2 -0.5 0.1 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 -0.1 -0.1 -0.0 1.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.1 0.1 0.1 0.1 -0.7 -0.7 -0.5 -0.7 US20 -0.5 0.1 0.6 0.0 -0.0 0.0 -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 0.0 -0.0 -0.0 0.0 -0.0 0.2 0.3 0.1 0.1 -0.7 -0.7 0.7 0.7 US30 -0.4 -0.0 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.1 -0.1 0.0 -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 -0.5 0.3 0.3 0.0 -0.0 -0.5 -0.6 0.7 0.7 US5 -0.5 0.1 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.0 -0.0 -0.1 -0.0 0.5 0.0 -0.0 0.1 -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 0.1 -0.2 -1.0 -0.1 -0.1 -0.4 -0.1 -0.6 -0.1 -0.3 -0.9 -0.3 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.2 -0.9 -0.2 NaN -0.1 -0.1 -0.4 -0.1 -0.8 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.1 -0.0 0.1 0.0 0.0 0.0 0.0 -0.1 0.1 -0.2 -0.5 -0.2 -0.7 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 -0.1 -0.5 -0.1 -0.3 -0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.6 -0.5 -0.6 -0.6 -0.3 -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 -17.9 -7.2 13.4 0.7 -4.6 3.7 -5.3 3.7 -3.5 -14.0 -2.0 -16.5 -8.4 -17.9 -1.2 -2.6 -2.8 -2.6 -2.7 -6.2 -0.2 -17.0 -4.2 -15.5 2.8 -2.2 -6.6 0.3 -7.5 -1.0 -6.3 -1.1 -9.6 -13.1 -9.6 -3.9 -20.0 -10.1 -7.1 2.8 BITCOIN -11.7 -7.8 13.9 -5.2 -7.4 -3.3 -6.3 -1.5 -5.8 20.0 16.2 8.5 18.2 -0.1 13.6 -7.0 -6.4 -7.6 -7.4 11.2 20.0 14.3 19.2 6.1 -20.0 4.7 9.7 9.2 5.3 8.9 2.1 -1.4 20.0 1.2 13.0 20.0 -5.9 5.7 9.1 10.3 BOBL -17.7 -9.2 20.0 0.8 -3.0 1.1 -2.2 -0.4 -0.9 -6.8 2.9 -5.9 -0.7 -6.0 2.2 -20.0 -15.3 -20.0 -20.0 0.8 3.2 -6.3 -0.3 -3.4 6.5 0.5 -3.7 1.4 -2.2 0.2 -1.1 -20.0 0.5 0.2 -5.0 -1.1 -20.0 -20.0 1.6 -20.0 BTP -13.8 -1.0 20.0 1.4 -5.3 1.9 -3.8 -0.7 -1.5 -11.4 9.0 -7.7 8.2 -6.3 8.8 4.6 6.7 5.1 5.6 8.7 12.5 -6.2 7.0 -0.3 -12.5 3.0 -4.3 4.4 -2.4 2.7 -0.1 12.2 3.4 8.7 -0.1 7.4 -16.8 -20.0 14.1 1.4 BUND -17.7 -7.8 20.0 0.9 -3.4 1.2 -2.4 -0.4 -1.0 -7.5 3.4 -6.4 -0.8 -6.8 2.8 4.9 4.4 3.9 3.2 1.7 4.0 -5.7 -0.3 -2.9 4.4 0.7 -3.5 1.6 -2.0 0.3 -0.9 7.8 3.0 1.3 -5.6 -0.3 -20.0 -20.0 3.5 -9.2 BUXL -18.8 -5.5 20.0 1.1 -4.1 1.5 -3.0 -0.5 -1.2 -9.7 3.7 -8.7 -4.2 -8.9 3.0 0.0 0.5 0.1 0.3 1.4 3.8 -7.3 -2.6 -4.3 0.7 0.7 -3.9 1.5 -2.4 -0.2 -1.3 2.4 3.1 0.2 -7.9 -0.1 -20.0 -20.0 2.8 5.8 CAC 7.1 -1.2 11.9 6.6 5.5 5.6 6.1 3.7 6.1 2.8 16.9 15.4 19.8 14.0 19.2 -8.5 -5.3 -8.5 -7.4 15.2 13.0 13.7 12.8 15.3 -8.8 6.1 3.5 5.2 5.7 4.4 6.3 -0.0 11.1 3.7 -11.5 -6.7 -0.6 10.3 4.5 16.8 CAD -9.7 1.0 11.0 0.9 -5.6 4.4 -6.4 4.5 -4.3 0.2 -0.0 -3.5 -3.6 -11.7 5.3 -1.7 -2.1 -1.9 -2.1 1.9 3.0 -4.5 -2.7 -3.8 1.2 1.4 -0.1 1.7 -2.8 -1.2 -1.9 0.0 17.2 6.6 5.5 -9.4 -20.0 -15.7 -1.9 -14.9 CANOLA 0.1 -20.0 -20.0 2.1 0.1 0.1 2.1 -1.3 3.2 -7.2 -10.7 -9.5 -9.1 -10.6 -11.2 -9.7 -2.2 -10.2 -8.0 -20.0 -20.0 -13.5 -17.2 -16.9 -20.0 -4.2 -1.5 -4.4 -3.0 -3.9 -3.6 -1.1 -20.0 -20.0 -20.0 -20.0 -19.4 -16.4 -11.2 -4.7 CHF -20.0 -3.3 12.3 0.7 -4.2 3.4 -4.9 3.4 -3.3 -16.1 5.3 -16.3 9.1 -13.4 3.4 -14.4 -15.4 -15.5 -15.7 -0.7 6.0 -19.1 6.3 -12.2 -6.0 1.5 -7.3 3.5 -6.3 2.8 -3.1 -20.0 -8.3 -18.2 8.9 9.8 -20.0 -17.7 -16.1 -20.0 COCOA 15.9 -15.5 -7.5 4.0 0.2 0.3 3.9 -2.5 6.1 19.2 20.0 20.0 20.0 20.0 20.0 16.4 3.8 12.0 7.7 20.0 20.0 20.0 20.0 20.0 -20.0 7.3 16.1 6.7 12.6 6.6 9.2 16.9 20.0 20.0 20.0 20.0 20.0 3.6 20.0 20.0 COFFEE 2.8 2.4 20.0 3.3 0.2 0.2 3.3 -2.0 5.1 -6.0 8.9 8.7 2.8 -0.1 9.1 9.3 5.3 8.6 6.9 9.9 11.3 1.2 5.3 5.1 -20.0 3.8 -1.5 5.9 -0.3 4.1 0.9 17.8 0.1 -20.0 -7.8 20.0 -11.5 -20.0 -8.9 -10.6 COPPER -1.3 -2.2 11.4 -4.5 -6.3 -2.8 -5.4 -1.2 -5.0 -17.5 -1.2 -12.1 -4.9 -9.3 4.7 -7.0 -5.0 -6.6 -6.1 -0.5 0.6 -17.3 -2.7 -6.8 -10.6 -1.1 -16.3 0.3 -10.6 -0.8 -4.9 1.0 -20.0 0.5 8.2 12.6 -14.8 -5.0 13.5 -1.1 CORN -2.7 -15.5 -10.7 4.8 0.2 0.3 4.7 -2.9 7.3 -19.3 -20.0 -20.0 -20.0 -20.0 -20.0 -14.3 -4.1 -11.7 -9.0 -20.0 -20.0 -14.2 -20.0 -20.0 -20.0 -8.4 -5.9 -7.9 -4.3 -7.1 -6.1 -3.5 -20.0 -20.0 -20.0 -20.0 -4.5 -18.9 -1.5 1.1 COTTON2 20.0 19.9 -3.0 4.9 0.2 0.3 4.7 -3.0 7.4 20.0 -3.6 20.0 -4.1 20.0 12.4 -6.7 -2.0 -7.4 -5.7 20.0 3.4 20.0 -6.3 20.0 -20.0 6.9 9.7 2.5 10.2 0.4 9.9 0.9 20.0 20.0 20.0 -7.5 -15.4 -15.5 -7.5 0.2 CRUDE_W 8.4 -2.7 -9.9 2.6 9.6 0.3 7.0 1.4 6.2 1.6 4.0 -1.9 6.2 1.6 -10.2 7.6 9.3 7.7 8.5 -1.5 0.3 1.7 6.7 1.0 -4.6 -0.4 7.2 0.8 1.2 5.8 1.0 -1.1 -20.0 -20.0 -15.6 2.0 20.0 17.2 20.0 19.7 DAX 1.0 0.9 20.0 6.5 5.4 5.5 5.9 3.6 6.0 3.7 19.8 16.5 20.0 17.0 20.0 -15.8 -10.7 -14.7 -12.8 19.5 19.8 9.8 15.8 13.5 17.2 6.6 2.2 6.6 3.6 4.7 4.7 -9.2 -17.5 -5.4 -14.6 5.3 -1.1 8.7 8.3 20.0 DOW -1.3 14.4 20.0 6.0 5.0 5.2 5.5 3.4 5.6 18.3 20.0 19.5 19.4 20.0 20.0 -13.3 -10.2 -12.4 -11.5 20.0 20.0 20.0 20.0 20.0 -15.5 7.8 3.8 7.4 4.7 5.3 6.0 -7.7 9.6 14.7 20.0 20.0 -8.8 -4.0 -1.9 -9.1 DX 17.5 5.0 -13.9 0.7 -4.4 3.5 -5.1 3.5 -3.4 15.3 2.9 17.2 -4.5 16.6 -1.2 5.7 6.0 5.9 6.1 4.4 -0.5 15.2 1.7 13.1 -20.0 0.8 5.8 -0.9 7.0 1.0 5.2 14.1 20.0 20.0 3.2 -20.0 20.0 2.7 20.0 8.8 EUR -15.5 -5.2 8.8 0.8 -4.9 3.9 -5.6 4.0 -3.7 -10.7 -3.7 -17.1 5.0 -17.2 -0.5 -5.9 -6.6 -6.0 -6.1 -6.2 -0.8 -15.6 -1.2 -14.4 16.2 -1.4 -4.6 0.9 -7.5 0.1 -6.0 -7.2 -7.0 -8.0 -3.8 -1.0 -20.0 -12.6 -20.0 -9.5 EURIBOR-ICE -20.0 -9.6 20.0 0.8 -2.9 1.0 -2.1 -0.4 -0.8 -6.6 5.3 -4.7 2.8 -4.2 4.7 3.0 -4.1 0.9 -1.8 4.6 8.5 -5.6 4.3 -1.7 14.6 1.6 -3.0 2.8 -1.7 1.5 -0.4 -4.0 -0.4 2.0 -0.1 8.0 -20.0 -20.0 7.7 20.0 EUROSTX 14.7 3.0 17.8 6.5 5.4 5.5 5.9 3.6 6.0 19.5 19.1 20.0 20.0 20.0 20.0 10.7 1.3 7.5 3.5 20.0 20.0 20.0 17.8 20.0 2.1 7.2 6.5 5.9 8.2 4.5 8.0 14.3 14.0 20.0 -2.2 5.7 -5.0 10.8 -1.7 19.4 FEEDCOW 20.0 20.0 -16.8 4.3 0.2 0.3 4.2 -2.6 6.5 19.2 -5.2 20.0 -1.9 20.0 7.5 -20.0 -20.0 -20.0 -20.0 20.0 -1.1 20.0 -2.0 20.0 -5.4 4.6 4.6 0.7 7.7 1.8 8.3 -20.0 20.0 20.0 20.0 -20.0 20.0 7.8 20.0 18.4 GASOIL 20.0 6.7 -12.1 2.1 7.8 0.2 5.7 1.2 5.0 12.8 6.3 12.5 7.3 13.4 1.1 20.0 20.0 20.0 20.0 8.7 4.8 18.8 8.2 16.4 7.8 3.7 9.3 2.4 7.3 3.4 6.5 20.0 14.6 4.7 8.8 5.8 -13.8 -4.3 -20.0 -10.2 GASOLINE 14.6 7.6 -9.1 2.5 9.3 0.2 6.8 1.4 6.0 13.7 -0.8 10.6 6.0 12.5 7.4 -13.9 7.2 -20.0 -8.5 6.7 2.1 13.5 5.5 11.4 -20.0 3.0 12.7 1.2 6.7 4.6 5.4 -13.7 -8.1 -6.2 -2.2 10.0 20.0 12.9 20.0 11.2 GAS_US_mini -10.2 2.3 -17.3 1.2 4.4 0.1 3.2 0.6 2.8 -9.2 -9.4 -10.1 -10.7 -9.3 -9.6 7.8 -17.7 6.5 -8.4 -12.3 -14.9 -10.6 -18.8 -10.6 16.0 -3.3 -3.7 -3.7 -3.5 -3.2 -3.0 -20.0 -20.0 -20.0 -10.7 -10.0 -14.3 1.4 -20.0 -2.7 GBP -9.0 1.5 11.7 0.8 -5.2 4.1 -6.0 4.2 -4.0 -5.0 2.0 -7.6 10.9 -4.9 14.9 -0.0 -0.6 -0.2 -0.3 4.0 7.3 -9.6 5.4 -4.6 2.4 3.5 -4.4 4.9 -5.8 2.6 -2.0 2.9 -5.1 6.5 5.5 7.2 -20.0 -2.5 -19.3 7.3 GOLD_micro -4.8 -2.5 9.5 -4.8 -6.8 -3.1 -5.8 -1.3 -5.4 -5.9 11.0 -0.3 8.5 -7.3 7.0 -14.9 -14.2 -14.5 -14.6 2.5 6.4 -1.6 6.2 -1.5 -5.3 2.8 -1.8 3.8 0.1 3.6 1.3 -14.3 16.8 20.0 17.4 20.0 -20.0 -20.0 -20.0 -14.7 HEATOIL 18.4 5.8 -11.2 2.5 9.2 0.2 6.7 1.4 5.9 15.6 4.2 14.5 5.6 15.1 -1.4 20.0 20.0 20.0 20.0 6.7 2.5 19.1 7.4 15.2 -20.0 4.3 12.1 2.9 8.0 5.4 7.0 20.0 6.2 0.5 6.4 7.0 13.1 2.4 11.7 -1.8 JGB-SGX-mini -19.9 5.7 17.3 0.8 -2.9 1.0 -2.0 -0.4 -0.8 -2.8 4.3 -4.6 4.8 -0.4 4.9 7.9 17.5 10.6 13.4 2.8 4.0 -2.2 2.9 -0.9 -3.6 0.9 -0.4 1.2 -1.0 0.4 -0.6 20.0 6.0 -0.4 0.8 -4.2 -2.7 -20.0 6.8 12.8 JPY -13.9 -7.3 19.4 0.4 -2.6 2.1 -3.1 2.1 -2.0 -8.9 -8.2 -9.8 -10.1 -10.5 -6.4 -14.8 -16.0 -15.5 -16.0 -6.8 -7.0 -8.5 -12.0 -8.9 20.0 -2.0 -4.5 -2.4 -3.7 -4.7 -3.2 -20.0 -2.7 -5.3 -8.8 -9.6 -13.8 -20.0 -8.5 -20.0 LEANHOG 19.5 15.5 2.7 4.4 0.2 0.3 4.3 -2.7 6.7 -20.0 -2.1 2.9 -13.4 14.9 10.3 -20.0 -11.6 -20.0 -20.0 10.8 -2.8 -1.7 -15.5 14.1 19.0 6.4 -5.8 2.6 -0.5 -2.8 5.2 -20.0 -18.5 0.7 20.0 14.6 -10.9 -8.1 3.5 11.8 LIVECOW 20.0 18.4 -18.7 4.4 0.2 0.3 4.3 -2.7 6.7 18.9 -5.9 20.0 -2.0 20.0 1.3 -20.0 -9.1 -18.8 -14.0 13.4 -5.8 20.0 -3.3 20.0 -2.3 3.2 9.9 -0.8 10.8 1.6 8.9 -10.9 20.0 20.0 18.8 -20.0 15.7 -0.4 20.0 6.3 LUMBER-new -2.8 1.4 14.4 4.9 0.2 0.4 4.8 -2.4 7.5 -20.0 -0.2 2.8 -15.0 -4.2 13.4 -15.7 -14.6 -14.8 -14.5 6.7 6.1 -3.5 -2.8 0.9 NaN 5.0 -4.4 4.8 -1.7 1.1 1.6 -17.3 -16.0 -20.0 0.1 17.1 -10.2 -20.0 -7.1 -19.5 MILK 20.0 16.3 -1.6 2.8 0.1 0.2 2.8 -1.7 4.3 4.4 -12.7 9.3 -14.4 4.9 -9.8 -20.0 -20.0 -20.0 -20.0 -5.3 -15.8 11.5 -20.0 7.6 11.0 -0.8 1.4 -4.6 4.8 -6.6 3.6 -20.0 20.0 4.0 -11.2 -20.0 -20.0 -20.0 -20.0 -20.0 MXP -6.5 1.7 10.5 0.8 -4.9 3.9 -5.7 4.0 -3.8 5.9 16.9 2.5 20.0 4.1 16.4 16.0 16.4 15.6 15.5 10.1 16.0 3.6 20.0 4.6 -20.0 5.0 -0.2 7.9 1.8 12.1 2.3 20.0 20.0 12.5 10.8 7.3 18.9 20.0 20.0 20.0 NASDAQ_micro 7.3 6.5 20.0 4.2 3.5 3.6 3.8 2.3 3.9 13.2 14.7 14.2 14.3 14.4 15.1 -11.5 -9.7 -11.4 -10.7 20.0 20.0 16.3 20.0 19.7 -20.0 5.5 3.0 5.4 3.3 4.9 4.3 -6.7 -3.3 18.1 20.0 15.0 17.3 -3.9 20.0 -5.9 NIKKEI 7.4 17.5 13.6 5.7 4.7 4.9 5.2 3.2 5.2 14.9 19.1 14.8 19.3 17.7 19.2 17.9 12.9 16.3 14.1 20.0 20.0 19.8 20.0 20.0 -14.8 6.8 4.9 5.9 3.9 5.1 5.6 20.0 1.7 20.0 20.0 13.8 -16.3 -3.6 -3.1 -0.6 NZD -16.9 -6.4 15.4 0.7 -4.1 3.3 -4.7 3.3 -3.2 -2.1 2.5 -11.3 0.7 -13.6 4.0 0.3 0.2 0.2 0.2 -1.5 3.4 -6.8 -0.2 -8.3 0.4 -0.3 -0.9 1.9 -3.2 0.7 -3.5 4.0 6.1 -7.5 -5.6 -1.4 -11.1 -9.8 -5.3 4.5 OAT -17.8 -6.7 20.0 1.0 -3.8 1.3 -2.7 -0.5 -1.1 -8.5 4.5 -6.9 -0.1 -7.3 3.9 4.9 6.6 5.1 5.5 2.9 5.8 -6.6 0.9 -2.9 6.1 1.1 -4.0 2.2 -2.3 0.7 -0.9 12.0 1.8 1.9 -5.1 1.9 -20.0 -20.0 6.2 3.2 OATIES 7.1 3.2 -17.7 1.9 0.1 0.1 1.9 -1.2 2.9 4.6 -8.4 3.0 -6.6 0.2 -5.9 7.9 -4.6 1.7 -3.6 -4.4 -7.8 2.7 -6.0 0.3 -20.0 -0.6 1.9 -2.7 1.8 -2.4 1.4 -0.9 6.1 -7.9 -0.0 -13.2 -3.8 3.2 3.5 14.5 OJ 20.0 -20.0 -20.0 2.9 0.1 0.2 2.8 -1.8 4.4 11.3 6.0 13.3 10.6 8.7 -2.0 7.4 16.9 9.0 13.5 6.6 8.6 20.0 20.0 20.0 -20.0 2.1 4.8 3.4 6.9 7.2 4.8 20.0 20.0 20.0 -13.4 6.0 6.5 11.0 13.0 20.0 PALLAD -4.4 -13.0 4.4 -1.9 -2.7 -1.2 -2.3 -0.5 -2.1 -7.3 -7.3 -5.6 -8.5 -7.4 -6.9 -1.6 -2.2 -1.8 -2.0 -8.0 -9.3 -7.9 -12.6 -7.3 8.4 -1.9 -5.2 -2.9 -3.2 -3.9 -1.9 6.9 -4.2 0.1 8.0 -7.7 -9.4 -7.6 -5.2 -2.9 PLAT -7.4 -7.3 4.1 -3.0 -4.2 -1.9 -3.6 -0.8 -3.3 -9.0 -4.7 -8.1 -7.0 -10.3 -4.2 -4.1 -3.1 -3.9 -3.6 -5.5 -3.8 -8.2 -4.0 -7.6 11.5 -1.9 -5.2 -0.9 -4.2 -0.6 -3.1 4.8 3.4 -0.1 4.4 3.3 -10.8 -5.0 18.2 2.3 REDWHEAT 5.6 -1.3 -5.2 4.0 0.2 0.3 3.9 -2.4 6.0 -17.8 -19.8 -5.9 -20.0 -9.4 -13.5 0.6 -1.3 -1.8 -2.3 -13.6 -20.0 -10.5 -20.0 -8.3 -13.7 -4.6 -11.7 -9.4 -5.6 -11.1 -2.4 4.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -19.6 -17.9 RICE 11.0 3.9 13.1 3.9 0.2 0.3 3.8 -2.4 6.0 17.0 19.0 18.5 16.3 18.4 19.1 -14.7 -2.4 -14.4 -9.9 20.0 18.7 20.0 14.2 20.0 -20.0 5.4 8.8 4.3 9.9 3.4 7.8 -1.5 20.0 12.7 3.6 13.6 2.6 -7.3 9.6 1.5 ROBUSTA 16.0 20.0 20.0 2.9 0.1 0.2 2.8 -1.8 4.4 -1.9 15.0 10.0 15.0 13.1 15.0 20.0 20.0 20.0 20.0 20.0 20.0 11.4 20.0 20.0 -20.0 5.6 0.4 5.7 1.5 4.8 3.7 20.0 2.8 15.1 20.0 20.0 -15.9 -15.5 -6.3 1.0 RUSSELL -8.2 2.2 20.0 3.7 3.1 3.2 3.4 2.1 3.4 -1.5 6.0 -0.8 3.1 -4.0 6.7 -6.3 -6.2 -6.3 -6.4 5.7 6.8 -1.2 2.8 0.3 -2.2 2.7 1.3 2.9 -0.3 1.6 0.7 0.0 -16.4 -10.9 -3.6 -3.2 -20.0 -20.0 -20.0 -20.0 SHATZ -16.9 -7.0 20.0 0.8 -2.9 1.0 -2.0 -0.4 -0.8 -6.7 0.6 -6.3 -4.1 -6.0 0.2 -20.0 -20.0 -20.0 -20.0 -1.0 0.8 -8.0 -2.8 -5.0 8.0 0.2 -4.1 0.9 -2.9 -0.5 -1.5 -20.0 -3.7 -1.2 -4.9 -2.9 -20.0 -20.0 -7.7 -20.0 SILVER-mini -4.8 -11.7 0.1 -4.0 -5.7 -2.6 -4.9 -1.1 -4.5 -8.0 -4.7 -8.1 -1.5 -12.5 -10.7 -6.8 -6.5 -6.9 -6.8 -9.0 -6.0 -8.7 -3.2 -9.7 5.7 -3.9 -3.3 -2.5 -4.3 -0.8 -4.0 -1.0 0.2 4.8 2.2 0.6 -20.0 -17.5 10.2 -7.3 SMI -6.1 7.9 13.2 5.4 4.5 4.6 5.0 3.0 5.0 -16.3 8.9 -9.9 4.8 0.5 15.5 11.2 5.6 10.2 7.6 8.9 7.1 -6.9 2.1 2.4 10.4 4.9 -6.7 4.4 -3.0 1.5 1.4 20.0 -20.0 -19.3 -5.1 -11.8 3.9 -6.2 12.5 -6.9 SOFR -16.3 -0.9 20.0 1.0 -3.6 1.3 -2.6 -0.5 -1.0 -8.0 5.0 -6.3 0.3 -4.9 6.0 2.2 0.3 1.7 0.9 2.5 3.6 -5.9 -0.2 -2.3 -2.1 2.4 -3.6 2.4 -1.8 0.5 0.4 2.5 3.0 6.7 3.3 2.4 -20.0 -20.0 -7.8 -3.4 SOYBEAN -0.5 -20.0 -13.3 3.9 0.2 0.3 3.8 -2.4 6.0 -14.2 -10.9 -15.6 0.4 -19.4 -19.8 6.7 15.5 10.4 12.4 -20.0 -18.3 -15.3 -9.1 -20.0 -20.0 -6.4 -3.6 -3.8 -4.9 -1.1 -6.3 20.0 -20.0 -20.0 -20.0 -13.7 -10.7 -20.0 -10.6 -20.0 SOYMEAL -1.3 -20.0 -14.5 2.7 0.1 0.2 2.7 -1.7 4.1 -12.0 -11.2 -11.0 -4.5 -13.0 -13.6 1.6 13.6 6.2 9.9 -18.4 -13.2 -13.8 -4.8 -16.1 -20.0 -4.5 -4.3 -2.7 -3.4 -0.2 -4.0 20.0 -20.0 -20.0 -20.0 -12.6 -20.0 -20.0 -20.0 -19.7 SOYOIL 2.0 -7.6 -14.7 2.7 0.1 0.2 2.6 -1.6 4.1 10.4 -11.5 -0.0 -8.8 -8.4 -12.0 -6.6 5.0 -3.4 0.8 -13.0 -14.9 2.4 -11.9 -7.4 -20.0 -3.6 9.9 -4.3 2.1 -3.6 -2.0 13.0 0.3 -20.0 -16.7 -13.7 -8.8 -3.8 -4.1 6.2 SP400 -4.4 6.1 20.0 4.3 3.6 3.7 3.9 2.4 4.0 5.5 10.4 6.3 7.7 2.6 11.7 -5.8 -5.2 -5.6 -5.4 10.7 11.2 3.2 6.4 5.0 -11.1 4.0 2.8 4.2 1.2 2.8 1.9 1.8 -12.5 -7.9 -2.4 -1.8 -20.0 -9.1 -20.0 -20.0 SP500_micro 7.2 12.2 20.0 5.4 4.5 4.6 5.0 3.0 5.0 17.2 18.7 18.6 17.2 19.1 20.0 -12.8 -10.8 -12.5 -11.8 20.0 20.0 20.0 20.0 20.0 -20.0 7.0 4.8 6.4 5.3 5.0 6.1 -8.6 7.4 20.0 20.0 16.8 4.3 -3.8 17.0 -6.2 SUGAR11 20.0 2.9 -20.0 3.0 0.1 0.2 2.9 -1.8 4.6 7.5 -3.7 9.5 7.4 9.5 -3.1 20.0 19.7 20.0 20.0 -0.9 -5.6 8.1 3.6 8.8 -20.0 -2.1 1.7 -2.7 1.6 1.4 0.9 20.0 -6.5 -3.9 -11.1 -20.0 8.8 -3.2 15.5 7.7 US10 -14.1 2.7 20.0 0.9 -3.2 1.1 -2.3 -0.4 -0.9 -7.0 2.3 -5.6 -2.3 -3.8 5.1 -9.9 -8.0 -9.3 -8.7 2.0 1.7 -4.8 -3.5 -1.7 1.7 2.1 -2.9 1.6 -1.4 -0.6 0.4 -12.8 3.1 6.8 3.2 0.9 -20.0 -20.0 -18.0 7.7 US10U -13.5 2.2 20.0 1.2 -4.4 1.6 -3.1 -0.6 -1.2 -9.8 2.3 -7.6 -3.2 -6.2 6.3 0.3 0.6 1.4 1.1 2.4 1.8 -6.0 -5.3 -2.1 -1.2 2.8 -4.0 1.9 -1.7 -1.1 0.8 3.0 7.0 10.6 4.0 0.5 -20.0 -20.0 7.1 18.2 US2 -15.2 3.7 20.0 0.8 -2.8 1.0 -2.0 -0.4 -0.8 -5.9 1.4 -6.2 -4.5 -3.0 3.4 -20.0 -20.0 -20.0 -20.0 1.2 1.2 -5.9 -4.5 -2.8 8.7 1.8 -2.6 1.8 -1.9 -0.7 -0.1 -20.0 -2.8 3.5 3.5 1.8 -19.9 -20.0 -14.7 -20.0 US20 -15.3 3.0 20.0 0.9 -3.2 1.1 -2.3 -0.4 -0.9 -6.5 2.1 -3.5 -1.7 -3.8 4.7 -0.0 -1.0 -0.3 -0.7 2.3 1.8 -3.5 -3.6 -1.0 -1.5 2.0 -2.4 1.4 -0.7 -0.8 0.8 -0.4 8.2 8.1 3.7 2.1 -20.0 -20.0 20.0 20.0 US30 -12.8 -0.1 18.5 1.0 -3.7 1.3 -2.7 -0.5 -1.0 -7.3 1.3 -3.5 -3.2 -5.2 4.3 -9.5 -5.4 -7.9 -6.7 1.2 0.7 -3.7 -5.4 -1.8 -0.9 2.0 -2.8 1.2 -0.8 -1.3 0.7 -8.7 10.7 8.9 0.9 -0.8 -16.0 -17.8 20.0 20.0 US5 -15.2 2.2 20.0 0.8 -3.1 1.1 -2.2 -0.4 -0.9 -6.8 3.0 -5.9 -2.7 -3.3 4.9 -10.4 -10.3 -10.2 -10.5 1.8 2.0 -5.5 -3.0 -2.2 3.8 2.0 -3.1 1.9 -1.8 -0.3 0.2 -16.6 0.2 5.3 3.4 1.5 -20.0 -20.0 -20.0 -7.3 VIX 2.6 -3.7 -20.0 -7.1 -5.8 -8.5 -5.3 -11.0 -5.8 -19.6 -20.0 -18.0 -20.0 -18.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -11.4 -20.0 -13.3 NaN -8.2 -6.5 -10.4 -5.5 -13.5 -6.0 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -3.3 -1.1 4.4 4.2 0.2 0.3 4.1 -2.5 6.3 -18.6 -19.8 -17.3 -20.0 -17.0 -9.0 -11.6 -10.7 -11.4 -11.2 -11.5 -17.2 -13.6 -20.0 -11.5 -2.4 -4.3 -14.5 -6.7 -9.8 -10.6 -5.6 -11.2 -20.0 -20.0 -19.0 -9.4 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3