******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240212_204020 produced at 2024-02-12 21:37:32.681005 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.38 0.0 0.00 0.00 0.00 0.00 -4.83 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.09 -0.30 0.0 0.09 -0.09 -0.09 -0.09 -56.19 17.0 -17 -16 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.20 0.0 0.00 0.00 0.00 0.00 -5.25 24.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.16 0.0 0.00 0.00 0.00 0.00 -2.33 13.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.13 0.0 0.18 -0.18 0.00 -0.03 -4.30 6.0 0 -1 caleb_strategy_v3 CHF False False 0.05 -0.28 -0.13 0.0 0.61 -0.61 -0.28 -0.28 -2.80 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 -12.02 12.0 -10 -10 caleb_strategy_v3 JPY False False 0.03 -0.05 -0.07 0.0 0.47 -0.47 -0.05 -0.05 -2.54 17.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.15 -0.15 -0.02 -0.02 -23.93 51.0 -6 -6 caleb_strategy_v3 GOLD_micro False False 0.01 -0.15 -0.06 0.0 0.37 -0.37 -0.15 -0.08 -8.95 56.0 -22 -12 caleb_strategy_v3 AUD False False 0.02 0.00 -0.06 0.0 0.41 -0.41 0.00 0.00 -2.71 19.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.50 -0.06 0.0 0.78 -0.78 -0.50 -0.50 -1.50 19.0 -12 -12 caleb_strategy_v3 EUR False False 0.04 -0.13 -0.06 0.0 0.62 -0.62 -0.13 -0.13 -1.28 14.0 -3 -3 caleb_strategy_v3 US5 False False 0.04 -0.28 -0.05 0.0 0.88 -0.88 -0.28 -0.28 -1.51 25.0 -8 -8 caleb_strategy_v3 CAD False False 0.02 0.00 -0.04 0.0 0.70 -0.70 0.00 0.00 -1.45 29.0 0 0 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.02 -0.04 0.0 0.00 -0.02 -0.02 -0.02 -29.26 26.0 -15 -14 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.08 -0.08 -0.03 -0.03 -2.74 8.0 -3 -3 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.13 -0.13 -0.04 -0.04 -1.67 7.0 -2 -2 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -2.30 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 -6.15 3.0 0 0 caleb_strategy_v3 US10 False False 0.04 -0.04 -0.03 0.0 0.61 -0.61 -0.04 -0.04 -0.79 17.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.09 -0.09 -0.04 -0.04 -3.21 9.0 -4 -4 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.02 0.0 0.23 -0.23 -0.03 -0.01 -5.94 68.0 -8 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.80 2.0 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 -1.16 0.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.10 -0.10 0.00 0.00 -1.94 9.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.02 0.0 0.19 -0.19 0.00 0.00 -0.19 2.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.01 0.0 0.06 -0.06 -0.03 -0.03 -0.31 2.0 -1 -1 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.01 0.0 0.42 -0.42 -0.02 -0.02 -0.25 21.0 -1 -1 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.47 -0.47 0.00 -0.05 -0.13 10.0 0 -1 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.19 -0.19 0.00 -0.05 -0.12 4.0 0 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.09 -0.09 -0.03 -0.04 -1.35 10.0 -3 -4 caleb_strategy_v3 PLAT False False 0.01 0.00 -0.00 0.0 0.15 -0.15 0.00 -0.04 -0.11 10.0 0 -3 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.00 6.0 0 0 caleb_strategy_v3 COTTON2 False False 0.02 -0.03 0.00 0.0 0.17 -0.17 -0.03 -0.02 0.15 11.0 -2 -1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.00 0.0 0.15 -0.15 0.00 0.00 0.47 18.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.04 -0.00 0.0 0.49 -0.49 0.04 0.00 -0.04 13.0 1 0 caleb_strategy_v3 BTP False False 0.04 0.04 0.00 0.0 0.41 -0.41 0.04 0.04 0.07 10.0 1 1 caleb_strategy_v3 US20 False False 0.04 0.12 0.00 0.0 0.35 -0.35 0.12 0.12 0.05 9.0 3 3 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.25 -0.25 0.00 -0.04 -0.08 6.0 0 -1 caleb_strategy_v3 OAT False False 0.05 0.00 0.01 0.0 0.45 -0.45 0.00 0.00 0.32 10.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.57 3.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.00 0.01 0.0 0.14 -0.14 0.00 0.00 0.35 4.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.04 0.02 0.0 0.16 -0.16 0.04 0.01 1.29 13.0 3 1 caleb_strategy_v3 GBP False False 0.03 0.13 0.02 0.0 0.57 -0.57 0.13 0.13 0.61 22.0 5 5 caleb_strategy_v3 RICE False True 0.01 0.00 0.02 0.0 0.00 0.00 0.00 0.00 2.00 4.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.02 0.0 0.24 -0.24 0.03 0.02 1.70 23.0 3 2 caleb_strategy_v3 FEEDCOW False False 0.04 0.21 0.04 0.0 0.34 -0.34 0.21 0.21 0.97 8.0 5 5 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.04 0.0 0.41 -0.41 0.00 0.00 1.72 17.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.21 0.04 0.0 0.27 -0.27 0.21 0.20 3.26 23.0 18 17 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.05 0.0 0.11 -0.11 0.00 0.00 1.36 3.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.02 0.05 0.0 0.42 -0.42 0.02 0.02 7.70 66.0 3 3 caleb_strategy_v3 COCOA False False 0.02 0.13 0.05 0.0 0.48 -0.48 0.13 0.13 2.77 26.0 7 7 caleb_strategy_v3 SMI False False 0.04 0.37 0.05 0.0 0.37 -0.37 0.37 0.33 1.17 9.0 9 8 caleb_strategy_v3 CAC False False 0.03 0.00 0.05 0.0 0.33 -0.33 0.00 0.22 1.82 12.0 0 8 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.06 0.0 0.11 -0.11 0.03 0.05 2.19 4.0 1 2 caleb_strategy_v3 BITCOIN False False 0.00 0.02 0.06 0.0 0.10 -0.10 0.02 0.03 34.30 59.0 15 18 caleb_strategy_v3 SP500_micro False False 0.01 0.01 0.06 0.0 0.39 -0.39 0.01 0.01 6.82 48.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.07 0.0 0.12 -0.12 0.05 0.05 2.88 5.0 2 2 caleb_strategy_v3 DX False True 0.03 0.00 0.07 0.0 0.00 0.00 0.00 0.00 1.93 999999999.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.10 0.0 0.35 -0.35 0.00 0.00 16.90 58.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.18 0.16 0.0 0.33 -0.33 0.18 0.18 9.27 20.0 11 11 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.26 0.27 0.0 0.86 -0.86 0.26 0.09 3.19 10.0 3 1 caleb_strategy_v3 NIKKEI False False 0.01 0.29 0.32 0.0 0.29 -0.29 0.29 0.29 39.02 36.0 35 35 caleb_strategy_v3 JGB-SGX-mini False True 0.03 0.35 0.35 0.0 0.35 0.00 0.35 0.35 10.87 16.0 11 11 caleb_strategy_v3 MXP False False 0.01 0.53 0.63 0.0 0.57 -0.57 0.53 0.55 66.70 60.0 56 58 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 22.1 Shocked risk 70.2 Sum abs risk 58.7 Leverage 4.84 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3063098.01, 'annual_cash_vol_target': 765774.5025, 'daily_cash_vol_target': 47860.90640625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6536 0.5822 9.3149 BITCOIN 1169.5730 50510.0000 2.3155 37.0484 BOBL 0.2987 117.0900 0.2551 4.0811 BTP 0.6105 117.4000 0.5200 8.3197 BUND 0.5885 133.6000 0.4405 7.0474 BUXL 1.3544 133.3000 1.0161 16.2569 CAC 53.3451 7708.0000 0.6921 11.0732 CAD 0.0028 0.7436 0.3782 6.0517 CANOLA 6.5470 598.3000 1.0943 17.5083 CHF 0.0052 1.1460 0.4510 7.2161 COCOA 70.0654 5599.0000 1.2514 20.0222 COFFEE 3.3922 190.7000 1.7788 28.4611 COPPER 0.0386 3.7205 1.0383 16.6134 CORN 3.8734 469.7500 0.8246 13.1930 COTTON2 0.9841 92.2200 1.0671 17.0733 CRUDE_W 1.0223 73.7300 1.3866 22.1851 DAX 107.5544 17073.0000 0.6300 10.0795 DOW 194.4379 38861.0000 0.5003 8.0055 DX 0.3740 104.0100 0.3595 5.7527 EUR 0.0045 1.0788 0.4144 6.6307 EURIBOR-ICE 0.0553 97.7050 0.0566 0.9056 EUROSTX 32.6675 4750.0000 0.6877 11.0038 FEEDCOW 1.6811 256.7250 0.6548 10.4774 GASOIL 12.9360 824.5000 1.5690 25.1033 GASOLINE 0.0390 2.5823 1.5120 24.1913 GAS_US_mini 0.0871 1.7850 4.8795 78.0714 GBP 0.0060 1.2630 0.4770 7.6322 GOLD_micro 12.4762 2033.4000 0.6136 9.8171 HEATOIL 0.0389 2.7457 1.4177 22.6838 JGB-SGX-mini 0.2772 146.1100 0.1897 3.0358 JPY 0.0000 0.0067 0.6251 10.0020 LEANHOG 1.0777 94.8750 1.1359 18.1739 LIVECOW 1.2589 186.1250 0.6764 10.8224 LUMBER-new 6.5660 574.5000 1.1429 18.2866 MILK 0.2283 17.6000 1.2971 20.7529 MXP 0.0004 0.0582 0.6020 9.6316 NASDAQ_micro 134.6663 17974.2500 0.7492 11.9875 NIKKEI 309.0834 37425.0000 0.8259 13.2140 NZD 0.0038 0.6130 0.6159 9.8538 OAT 0.5722 128.2500 0.4462 7.1388 OATIES 6.6465 372.0000 1.7867 28.5872 OJ 7.6489 338.5500 2.2593 36.1491 PALLAD 25.5827 894.5000 2.8600 45.7601 PLAT 14.4537 895.4000 1.6142 25.8275 REDWHEAT 9.2828 589.0000 1.5760 25.2164 RICE 0.1822 18.8200 0.9683 15.4932 ROBUSTA 42.9029 3187.0000 1.3462 21.5389 RUSSELL 23.1152 2056.7000 1.1239 17.9824 SHATZ 0.1013 105.6000 0.0959 1.5350 SILVER-mini 0.3159 22.9750 1.3752 22.0027 SMI 75.1139 11108.0000 0.6762 10.8194 SOFR 0.0727 96.4800 0.0754 1.2056 SOYBEAN 9.8710 1168.0000 0.8451 13.5219 SOYMEAL 4.5912 345.5000 1.3288 21.2615 SOYOIL 0.6816 47.7500 1.4274 22.8386 SP400 23.5347 2846.9000 0.8267 13.2268 SP500_micro 29.7520 5041.0000 0.5902 9.4432 SUGAR11 0.3368 22.8900 1.4712 23.5392 US10 0.4436 110.7344 0.4006 6.4103 US10U 0.6070 114.8125 0.5287 8.4587 US2 0.1219 102.3086 0.1192 1.9071 US20 0.8828 119.8438 0.7367 11.7865 US30 1.2813 126.0312 1.0166 16.2662 US5 0.2958 107.2578 0.2758 4.4133 VIX 0.4205 16.4000 2.5639 41.0218 WHEAT 7.9065 620.5000 1.2742 20.3874 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 653.55 0.58 380.48 1.00 380.48 47860.91 125.79 -8.29 -104.26 BITCOIN 50.51 2.32 116.96 1.00 116.96 47860.91 409.22 7.74 316.76 BOBL 1170.90 0.26 298.66 1.08 321.86 47860.91 148.70 -9.96 -148.05 BTP 1174.00 0.52 610.46 1.08 657.89 47860.91 72.75 0.28 2.06 BUND 1336.00 0.44 588.46 1.08 634.18 47860.91 75.47 -1.66 -12.50 BUXL 1333.00 1.02 1354.40 1.08 1459.64 47860.91 32.79 -3.50 -11.49 CAC 770.80 0.69 533.45 1.08 574.90 47860.91 83.25 6.40 53.29 CAD 743.55 0.38 281.23 1.00 281.23 47860.91 170.18 -3.28 -55.76 CANOLA 119.66 1.09 130.94 0.74 97.30 47860.91 491.89 -20.00 -983.79 CHF 1432.56 0.45 646.10 1.00 646.10 47860.91 74.08 -14.56 -107.86 COCOA 559.90 1.25 700.65 1.00 700.65 47860.91 68.31 18.93 129.27 COFFEE 715.12 1.78 1272.08 1.00 1272.08 47860.91 37.62 -0.05 -0.19 COPPER 930.12 1.04 965.78 1.00 965.78 47860.91 49.56 -8.01 -39.71 CORN 234.88 0.82 193.67 1.00 193.67 47860.91 247.13 -20.00 -494.25 COTTON2 461.10 1.07 492.03 1.00 492.03 47860.91 97.27 0.74 7.20 CRUDE_W 737.30 1.39 1022.32 1.00 1022.32 47860.91 46.82 5.68 26.59 DAX 170.73 0.63 107.55 1.08 115.91 47860.91 412.91 12.00 495.43 DOW 194.30 0.50 97.22 1.00 97.22 47860.91 492.30 6.73 331.18 DX 1040.10 0.36 373.96 1.00 373.96 47860.91 127.98 5.83 74.56 EUR 1348.56 0.41 558.87 1.00 558.87 47860.91 85.64 -5.74 -49.17 EURIBOR-ICE 2442.62 0.06 138.25 1.08 148.99 47860.91 321.24 2.91 93.53 EUROSTX 475.00 0.69 326.68 1.08 352.06 47860.91 135.95 20.00 271.89 FEEDCOW 1283.63 0.65 840.57 1.00 840.57 47860.91 56.94 5.15 29.33 GASOIL 824.50 1.57 1293.60 1.00 1293.60 47860.91 37.00 13.65 50.50 GASOLINE 1084.57 1.51 1639.82 1.00 1639.82 47860.91 29.19 2.76 8.05 GAS_US_mini 44.62 4.88 217.75 1.00 217.75 47860.91 219.80 -12.29 -270.18 GBP 789.38 0.48 376.54 1.00 376.54 47860.91 127.11 1.85 23.52 GOLD_micro 203.34 0.61 124.76 1.00 124.76 47860.91 383.62 -6.84 -262.49 HEATOIL 1153.19 1.42 1634.93 1.00 1634.93 47860.91 29.27 10.69 31.28 JGB-SGX-mini 146110.00 0.19 27722.48 0.01 185.70 47860.91 257.73 3.90 100.43 JPY 841.50 0.63 526.04 1.00 526.04 47860.91 90.98 -10.78 -98.07 LEANHOG 379.50 1.14 431.06 1.00 431.06 47860.91 111.03 1.91 21.20 LIVECOW 744.50 0.68 503.58 1.00 503.58 47860.91 95.04 5.47 52.01 LUMBER-new 157.99 1.14 180.57 1.00 180.57 47860.91 265.06 -10.86 -287.84 MILK 352.00 1.30 456.56 1.00 456.56 47860.91 104.83 -10.22 -107.19 MXP 290.90 0.60 175.12 1.00 175.12 47860.91 273.31 16.63 454.45 NASDAQ_micro 359.48 0.75 269.33 1.00 269.33 47860.91 177.70 7.90 140.43 NIKKEI 37425.00 0.83 30908.34 0.01 207.04 47860.91 231.17 15.59 360.36 NZD 613.05 0.62 377.55 1.00 377.55 47860.91 126.77 -0.76 -9.68 OAT 1282.50 0.45 572.22 1.08 616.68 47860.91 77.61 1.21 9.40 OATIES 186.00 1.79 332.33 1.00 332.33 47860.91 144.02 -7.99 -115.09 OJ 507.82 2.26 1147.34 1.00 1147.34 47860.91 41.71 6.42 26.79 PALLAD 894.50 2.86 2558.27 1.00 2558.27 47860.91 18.71 -4.91 -9.19 PLAT 447.70 1.61 722.69 1.00 722.69 47860.91 66.23 -0.47 -3.11 REDWHEAT 294.50 1.58 464.14 1.00 464.14 47860.91 103.12 -20.00 -206.23 RICE 376.40 0.97 364.48 1.00 364.48 47860.91 131.31 6.27 82.37 ROBUSTA 318.70 1.35 429.03 1.00 429.03 47860.91 111.56 13.07 145.85 RUSSELL 102.84 1.12 115.58 1.00 115.58 47860.91 414.11 -4.33 -179.30 SHATZ 1056.00 0.10 101.31 1.08 109.18 47860.91 438.36 -11.81 -517.57 SILVER-mini 574.38 1.38 789.86 1.00 789.86 47860.91 60.59 -5.60 -33.93 SMI 1110.80 0.68 751.14 1.14 859.34 47860.91 55.69 6.17 34.34 SOFR 2412.00 0.08 181.75 1.00 181.75 47860.91 263.34 -3.02 -79.48 SOYBEAN 584.00 0.85 493.55 1.00 493.55 47860.91 96.97 -18.49 -179.30 SOYMEAL 345.50 1.33 459.12 1.00 459.12 47860.91 104.25 -20.00 -208.49 SOYOIL 286.50 1.43 408.95 1.00 408.95 47860.91 117.03 -12.44 -145.54 SP400 2846.90 0.83 2353.47 1.00 2353.47 47860.91 20.34 -2.84 -5.78 SP500_micro 252.05 0.59 148.76 1.00 148.76 47860.91 321.73 9.12 293.29 SUGAR11 256.37 1.47 377.17 1.00 377.17 47860.91 126.90 1.75 22.26 US10 1107.34 0.40 443.65 1.00 443.65 47860.91 107.88 -5.76 -62.14 US10U 1148.12 0.53 606.98 1.00 606.98 47860.91 78.85 -0.43 -3.43 US2 2046.17 0.12 243.89 1.00 243.89 47860.91 196.24 -9.35 -183.53 US20 1198.44 0.74 882.84 1.00 882.84 47860.91 54.21 0.69 3.75 US30 1260.31 1.02 1281.28 1.00 1281.28 47860.91 37.35 -1.70 -6.36 US5 1072.58 0.28 295.85 1.00 295.85 47860.91 161.78 -7.37 -119.16 VIX 164.00 2.56 420.47 1.00 420.47 47860.91 113.83 -20.00 -227.65 WHEAT 310.25 1.27 395.32 1.00 395.32 47860.91 121.07 -20.00 -242.13 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -104.257 0.010 2.5 -2.705 BITCOIN 316.762 0.043 2.5 34.302 BOBL -148.053 0.004 2.5 -1.501 BTP 2.063 0.014 2.5 0.070 BUND -12.503 0.004 2.5 -0.127 BUXL -11.491 0.004 2.5 -0.117 CAC 53.291 0.014 2.5 1.818 CAD -55.761 0.010 2.5 -1.447 CANOLA -983.789 0.010 2.5 -23.934 CHF -107.861 0.010 2.5 -2.799 COCOA 129.275 0.009 2.5 2.769 COFFEE -0.190 0.005 2.5 -0.002 COPPER -39.715 0.043 2.5 -4.301 CORN -494.255 0.010 2.5 -12.025 COTTON2 7.196 0.009 2.5 0.154 CRUDE_W 26.592 0.043 2.5 2.880 DAX 495.430 0.014 2.5 16.898 DOW 331.175 0.009 2.5 7.697 DX 74.561 0.010 2.5 1.935 EUR -49.170 0.010 2.5 -1.276 EURIBOR-ICE 93.525 0.014 2.5 3.190 EUROSTX 271.892 0.014 2.5 9.274 FEEDCOW 29.330 0.013 2.5 0.972 GASOIL 50.504 0.017 2.5 2.189 GASOLINE 8.046 0.017 2.5 0.349 GAS_US_mini -270.177 0.043 2.5 -29.257 GBP 23.521 0.010 2.5 0.610 GOLD_micro -262.495 0.014 2.5 -8.953 HEATOIL 31.284 0.017 2.5 1.356 JGB-SGX-mini 100.426 0.043 2.5 10.875 JPY -98.067 0.010 2.5 -2.544 LEANHOG 21.196 0.024 2.5 1.288 LIVECOW 52.005 0.013 2.5 1.723 LUMBER-new -287.838 0.009 2.5 -6.154 MILK -107.187 0.009 2.5 -2.296 MXP 454.445 0.059 2.5 66.701 NASDAQ_micro 140.428 0.009 2.5 3.264 NIKKEI 360.360 0.043 2.5 39.023 NZD -9.684 0.010 2.5 -0.251 OAT 9.396 0.014 2.5 0.320 OATIES -115.087 0.010 2.5 -2.800 OJ 26.791 0.009 2.5 0.574 PALLAD -9.186 0.014 2.5 -0.313 PLAT -3.108 0.014 2.5 -0.106 REDWHEAT -206.235 0.005 2.5 -2.736 RICE 82.365 0.010 2.5 2.004 ROBUSTA 145.854 0.005 2.5 1.703 RUSSELL -179.302 0.013 2.5 -5.942 SHATZ -517.574 0.004 2.5 -5.248 SILVER-mini -33.930 0.014 2.5 -1.157 SMI 34.344 0.014 2.5 1.171 SOFR -79.483 0.024 2.5 -4.831 SOYBEAN -179.302 0.004 2.5 -1.668 SOYMEAL -208.492 0.004 2.5 -1.939 SOYOIL -145.536 0.004 2.5 -1.355 SP400 -5.778 0.013 2.5 -0.191 SP500_micro 293.287 0.009 2.5 6.816 SUGAR11 22.260 0.009 2.5 0.473 US10 -62.138 0.005 2.5 -0.787 US10U -3.430 0.005 2.5 -0.043 US2 -183.530 0.005 2.5 -2.326 US20 3.748 0.005 2.5 0.047 US30 -6.360 0.005 2.5 -0.081 US5 -119.157 0.005 2.5 -1.510 VIX -227.652 0.099 2.5 -56.194 WHEAT -242.135 0.005 2.5 -3.212 ===================== Position diags ===================== AUD 3.26 BITCOIN 44.31 BOBL 1.51 BTP 2.48 BUND 0.77 BUXL 0.33 CAC 2.84 CAD 4.42 CANOLA 11.97 CHF 1.92 COCOA 1.46 COFFEE 0.44 COPPER 5.37 CORN 6.01 COTTON2 2.08 CRUDE_W 5.07 DAX 14.08 DOW 11.44 DX 3.32 EUR 2.22 EURIBOR-ICE 10.96 EUROSTX 4.64 FEEDCOW 1.89 GASOIL 1.60 GASOLINE 1.27 GAS_US_mini 23.80 GBP 3.30 GOLD_micro 13.08 HEATOIL 1.27 JGB-SGX-mini 27.91 JPY 2.36 LEANHOG 6.75 LIVECOW 3.15 LUMBER-new 5.67 MILK 2.25 MXP 40.11 NASDAQ_micro 4.13 NIKKEI 25.03 NZD 3.29 OAT 2.65 OATIES 3.50 OJ 0.89 PALLAD 0.64 PLAT 2.26 REDWHEAT 1.37 RICE 3.19 ROBUSTA 1.30 RUSSELL 13.72 SHATZ 4.45 SILVER-mini 2.07 SMI 1.90 SOFR 16.00 SOYBEAN 0.90 SOYMEAL 0.97 SOYOIL 1.09 SP400 0.67 SP500_micro 7.48 SUGAR11 2.70 US10 1.37 US10U 1.00 US2 2.49 US20 0.69 US30 0.47 US5 2.05 VIX 28.10 WHEAT 1.61 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.7 -3.0 -2.4 0.0 0 BITCOIN 34.3 29.9 38.7 15.0 15 BOBL -1.5 -1.7 -1.4 -12.0 -12 BTP 0.1 -0.2 0.3 1.0 1 BUND -0.1 -0.2 -0.1 0.0 0 BUXL -0.1 -0.1 -0.1 0.0 0 CAC 1.8 1.5 2.1 0.0 0 CAD -1.4 -1.9 -1.0 0.0 0 CANOLA -23.9 -25.1 -22.7 -6.0 -6 CHF -2.8 -3.0 -2.6 -6.0 -6 COCOA 2.8 2.6 2.9 7.0 7 COFFEE -0.0 -0.0 0.0 0.0 0 COPPER -4.3 -4.8 -3.8 0.0 0 CORN -12.0 -12.6 -11.4 -10.0 -10 COTTON2 0.2 -0.1 0.4 -2.0 -2 CRUDE_W 2.9 2.4 3.4 2.0 2 DAX 16.9 15.5 18.3 0.0 0 DOW 7.7 6.6 8.8 3.0 3 DX 1.9 1.6 2.3 NaN 0 EUR -1.3 -1.5 -1.1 -3.0 -3 EURIBOR-ICE 3.2 2.1 4.3 3.0 3 EUROSTX 9.3 8.8 9.7 11.0 11 FEEDCOW 1.0 0.8 1.2 5.0 5 GASOIL 2.2 2.0 2.3 1.0 1 GASOLINE 0.3 0.2 0.5 0.0 0 GAS_US_mini -29.3 -31.6 -26.9 -15.0 -15 GBP 0.6 0.3 0.9 5.0 5 GOLD_micro -9.0 -10.3 -7.6 -22.0 -22 HEATOIL 1.4 1.2 1.5 0.0 0 JGB-SGX-mini 10.9 8.1 13.7 11.0 11 JPY -2.5 -2.8 -2.3 -2.0 -2 LEANHOG 1.3 0.6 2.0 3.0 3 LIVECOW 1.7 1.4 2.0 0.0 0 LUMBER-new -6.2 -6.7 -5.6 NaN 0 MILK -2.3 -2.5 -2.1 NaN 0 MXP 66.7 62.7 70.7 56.0 56 NASDAQ_micro 3.3 2.9 3.7 18.0 18 NIKKEI 39.0 36.5 41.5 35.0 35 NZD -0.3 -0.6 0.1 -1.0 -1 OAT 0.3 0.1 0.6 0.0 0 OATIES -2.8 -3.2 -2.4 NaN 0 OJ 0.6 0.5 0.7 NaN 0 PALLAD -0.3 -0.4 -0.2 -1.0 -1 PLAT -0.1 -0.3 0.1 0.0 0 REDWHEAT -2.7 -2.9 -2.6 -3.0 -3 RICE 2.0 1.7 2.3 NaN 0 ROBUSTA 1.7 1.6 1.8 3.0 3 RUSSELL -5.9 -7.3 -4.6 -8.0 -8 SHATZ -5.2 -5.7 -4.8 NaN 0 SILVER-mini -1.2 -1.4 -1.0 NaN 0 SMI 1.2 1.0 1.4 9.0 9 SOFR -4.8 -6.4 -3.2 NaN 0 SOYBEAN -1.7 -1.8 -1.6 -2.0 -2 SOYMEAL -1.9 -2.0 -1.8 0.0 0 SOYOIL -1.4 -1.5 -1.2 -3.0 -3 SP400 -0.2 -0.3 -0.1 0.0 0 SP500_micro 6.8 6.1 7.6 1.0 1 SUGAR11 0.5 0.2 0.7 0.0 0 US10 -0.8 -0.9 -0.7 -1.0 -1 US10U -0.0 -0.1 0.1 1.0 1 US2 -2.3 -2.6 -2.1 NaN 0 US20 0.0 -0.0 0.1 3.0 3 US30 -0.1 -0.1 -0.0 0.0 0 US5 -1.5 -1.7 -1.3 -8.0 -8 VIX -56.2 -59.0 -53.4 -17.0 -17 WHEAT -3.2 -3.4 -3.1 -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 -0.5 -0.3 0.3 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.3 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 0.4 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.3 -0.3 -0.1 -0.7 -0.3 -0.2 0.1 BITCOIN -0.1 -0.2 0.4 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.2 0.5 0.2 0.7 0.1 0.2 -0.1 -0.1 -0.2 -0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.2 0.2 0.1 0.3 0.1 -0.1 0.5 0.6 0.6 0.6 -0.2 0.2 0.3 0.3 BOBL -0.5 -0.5 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 -0.1 0.8 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 -0.1 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.2 -0.1 0.3 -0.1 0.1 0.1 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 0.1 BUND -0.5 -0.4 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.0 -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 0.1 -0.2 -0.0 -0.7 -0.7 0.1 -0.3 BUXL -0.5 -0.3 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.1 0.1 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 0.2 0.1 -0.3 -0.0 -0.7 -0.7 0.1 0.2 CAC 0.3 -0.0 0.4 0.1 0.1 0.2 0.1 0.1 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.1 0.2 0.2 0.1 0.4 0.2 -1.2 0.1 0.0 0.1 0.1 0.2 0.1 -0.0 -0.4 -0.0 -0.4 -0.2 -0.0 0.4 0.1 0.6 CAD -0.2 -0.1 0.3 0.0 -0.0 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 0.1 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.0 0.2 0.3 0.1 -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 -0.0 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 -0.4 -0.6 -0.6 -0.6 -0.7 -0.6 -0.4 -0.2 CHF -0.6 -0.2 0.4 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.1 -0.2 0.3 -0.2 0.0 -0.3 -0.3 -0.3 -0.3 -0.0 0.1 -0.2 0.2 -0.2 -0.8 0.0 -0.1 0.1 -0.1 0.1 -0.0 -1.1 -0.4 -0.6 0.2 0.2 -0.7 -0.6 -0.5 -0.7 COCOA 0.6 -0.2 0.1 0.0 -0.0 0.0 0.0 -0.1 0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.4 0.1 0.3 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 1.0 0.5 0.6 0.6 0.6 0.7 0.1 0.7 0.7 COFFEE 0.2 0.0 0.6 0.0 -0.0 0.0 0.0 -0.1 0.1 0.1 0.3 0.1 0.1 0.0 0.1 0.2 0.1 0.2 0.1 0.1 0.1 0.1 0.2 0.1 -2.7 0.0 0.0 0.2 0.0 0.2 0.0 1.0 0.2 -0.4 -0.3 0.6 -0.4 -0.7 -0.3 -0.4 COPPER -0.1 -0.2 0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.2 -0.1 -0.1 -1.5 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.5 -0.0 0.2 0.4 -0.5 -0.2 0.4 -0.0 CORN 0.0 -0.5 -0.4 0.1 -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 -0.3 -0.1 -0.2 -0.4 -0.6 -0.6 -0.6 -0.1 -0.6 -0.1 0.0 COTTON2 0.6 0.6 -0.0 0.1 0.0 0.0 0.0 -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 0.1 0.2 -0.1 0.2 -2.7 0.1 0.1 0.1 0.1 0.0 0.1 0.0 0.5 0.6 0.6 -0.1 -0.5 -0.5 -0.3 0.0 CRUDE_W 0.3 -0.0 -0.3 0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 -0.1 0.2 0.2 0.2 0.2 0.0 0.0 0.1 0.2 0.1 -0.6 0.0 0.1 0.0 0.1 0.2 0.0 -0.1 -0.5 -0.6 -0.6 0.0 0.7 0.6 0.7 0.7 DAX 0.1 -0.0 0.6 0.1 0.1 0.2 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 0.0 -0.5 -0.5 -0.4 -0.5 0.1 -0.1 0.3 0.3 0.7 DOW 0.1 0.4 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.2 0.5 0.2 -2.1 0.1 0.0 0.2 0.0 0.2 0.1 -0.4 -0.0 0.4 0.5 0.6 -0.3 -0.1 -0.0 -0.3 DX 0.5 0.3 -0.3 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 0.2 -0.1 0.2 -0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.1 0.1 0.1 -2.7 0.0 0.0 -0.0 0.1 0.0 0.1 0.8 0.5 0.6 0.3 -0.6 0.7 0.1 0.7 0.3 EUR -0.5 -0.3 0.2 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 -0.0 -0.3 -0.1 -0.1 -0.7 -0.4 -0.7 -0.3 EURIBOR-ICE -0.6 -0.5 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.0 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 0.2 -0.7 -0.7 0.3 0.7 EUROSTX 0.6 0.1 0.6 0.1 0.1 0.2 0.1 0.1 0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.2 0.0 0.2 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 0.1 0.6 -0.0 0.2 -0.2 0.4 -0.1 0.7 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 -0.0 0.2 -0.8 0.1 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 0.3 -0.3 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.2 0.2 0.3 0.2 0.0 0.4 0.4 0.4 0.4 0.1 0.1 0.2 0.3 0.2 1.1 0.0 0.1 0.1 0.1 0.1 0.1 1.1 0.1 0.3 0.3 0.2 -0.4 -0.1 -0.7 -0.3 GASOLINE 0.5 0.3 -0.3 0.0 0.1 0.0 0.1 0.1 0.1 0.2 0.0 0.2 0.2 0.2 0.1 -0.2 0.1 -0.4 -0.2 0.1 0.0 0.2 0.2 0.2 -2.7 0.0 0.1 0.0 0.1 0.2 0.1 -0.7 -0.0 -0.1 -0.1 0.3 0.7 0.4 0.7 0.4 GAS_US_mini -0.4 0.0 -0.6 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.1 0.1 -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 -0.4 -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 0.0 -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 -0.0 0.1 -0.0 0.2 -0.0 0.2 0.2 0.2 -0.7 -0.1 -0.7 0.2 GOLD_micro -0.2 -0.2 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 0.3 -0.1 0.3 -0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.0 0.1 -0.1 0.2 -0.0 -0.7 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.8 0.3 0.3 0.6 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL 0.6 0.3 -0.3 0.0 0.1 0.0 0.1 0.1 0.1 0.2 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 0.1 0.1 0.1 0.1 0.2 0.1 1.1 0.1 0.1 0.2 0.2 0.4 0.1 0.4 -0.1 JGB-SGX-mini -0.6 0.1 0.5 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.2 -0.0 0.1 0.2 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 0.1 -0.1 -0.1 -0.7 0.2 0.4 JPY -0.4 -0.3 0.5 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 0.5 0.5 0.1 0.1 -0.0 0.0 0.0 -0.1 0.1 -0.2 -0.1 -0.0 -0.5 0.1 0.1 -0.4 -0.3 -0.4 -0.4 0.1 -0.0 -0.1 -0.4 0.1 2.6 0.1 -0.0 0.1 -0.0 -0.1 0.0 -1.1 -0.5 -0.1 0.6 0.5 -0.4 -0.3 0.1 0.4 LIVECOW 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 0.0 -0.4 -0.2 -0.4 -0.3 0.2 -0.0 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 0.6 0.0 0.7 0.2 LUMBER-new -0.0 -0.0 0.5 0.1 -0.0 0.0 0.0 -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 -0.1 -0.1 -0.0 NaN 0.1 -0.1 0.2 -0.0 0.1 0.0 -1.1 -0.6 -0.7 -0.1 0.7 -0.4 -0.8 -0.3 -0.7 MILK 0.6 0.6 -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 -0.0 -0.2 0.1 -0.5 0.1 1.4 -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.1 0.3 0.2 -0.2 -0.6 -0.7 -0.7 -0.7 -0.7 MXP -0.1 0.0 0.4 0.0 -0.0 0.1 -0.1 0.1 -0.0 0.1 0.5 0.1 0.7 0.0 0.2 0.3 0.3 0.3 0.3 0.1 0.2 0.0 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.5 0.0 1.1 0.5 0.3 0.4 0.3 0.6 0.7 0.7 0.7 NASDAQ_micro 0.3 0.2 0.6 0.0 0.0 0.1 0.1 0.1 0.0 0.1 0.4 0.2 0.5 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.1 0.0 0.2 0.0 -0.4 -0.0 0.5 0.6 0.5 0.6 -0.1 0.7 -0.2 NIKKEI 0.2 0.6 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.4 0.3 0.3 0.3 0.2 0.2 0.2 0.5 0.2 -2.0 0.1 0.1 0.2 0.1 0.2 0.1 1.1 0.3 0.3 0.6 0.5 -0.6 -0.1 -0.1 -0.0 NZD -0.4 -0.3 0.4 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 -0.0 0.0 -0.1 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 -0.1 0.0 -0.0 0.0 0.1 0.0 0.0 -0.0 0.2 0.4 -0.2 -0.1 -0.0 -0.4 -0.3 -0.2 0.1 OAT -0.5 -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 0.1 -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 -0.0 0.2 -0.2 -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 0.2 0.3 0.2 0.3 0.1 0.1 0.1 0.4 0.1 -2.7 0.0 -0.0 0.1 0.0 0.2 0.0 1.1 0.5 0.6 -0.4 0.1 0.2 0.4 0.4 0.7 PALLAD -0.1 -0.5 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.4 -0.2 -0.1 0.1 -0.2 -0.3 -0.3 -0.2 -0.1 PLAT -0.2 -0.3 0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.1 -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 0.1 -0.1 -0.2 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.2 -0.5 -0.1 -0.7 -0.1 -0.2 0.0 -0.0 -0.0 -0.0 -0.2 -0.2 -0.1 -0.5 -0.1 -1.8 -0.1 -0.1 -0.3 -0.1 -0.4 -0.1 0.3 -0.5 -0.6 -0.6 -0.6 -0.7 -0.7 -0.6 -0.6 RICE 0.4 0.1 0.4 0.0 -0.0 0.0 0.0 -0.1 0.1 0.1 0.5 0.2 0.6 0.2 0.2 -0.3 -0.1 -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 0.5 0.2 0.5 0.1 -0.2 0.3 0.1 ROBUSTA 0.4 0.6 0.6 0.0 -0.0 0.0 0.0 -0.1 0.0 0.1 0.4 0.1 0.6 0.2 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 0.2 0.6 0.6 0.6 -0.6 -0.5 -0.2 0.0 RUSSELL -0.1 -0.0 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.1 0.1 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.1 0.1 -0.3 0.0 0.1 0.1 0.0 0.1 0.0 0.0 -0.1 -0.2 -0.1 -0.1 -0.7 -0.7 -0.7 -0.7 SHATZ -0.5 -0.4 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.2 -0.1 -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 -0.1 -0.2 -0.1 -0.7 -0.7 -0.3 -0.7 SILVER-mini -0.1 -0.4 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 0.8 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 0.1 0.1 0.1 0.0 -0.7 -0.6 0.4 -0.2 SMI -0.2 0.2 0.4 0.1 0.1 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 0.0 -0.0 0.1 -0.0 0.1 -0.0 1.1 -0.5 -0.6 -0.3 -0.4 0.1 -0.2 0.4 -0.2 SOFR -0.5 -0.1 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.0 -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 -0.5 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 -0.2 -0.3 -0.2 -2.7 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 1.1 -0.4 -0.6 -0.6 -0.5 -0.3 -0.7 -0.3 -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 -0.2 0.0 0.3 0.1 0.2 -0.2 -0.2 -0.2 -0.1 -0.2 -2.7 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 -0.4 -0.6 -0.6 -0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.2 -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 0.0 -0.1 0.0 -0.1 -0.0 0.7 0.2 -0.6 -0.5 -0.4 -0.3 -0.1 -0.1 0.2 SP400 -0.0 0.1 0.6 0.0 0.0 0.1 0.1 0.1 0.0 0.1 0.3 0.1 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.1 -1.5 0.0 0.1 0.1 0.1 0.1 0.0 0.1 -0.1 -0.2 -0.1 -0.1 -0.7 -0.3 -0.7 -0.7 SP500_micro 0.4 0.4 0.6 0.1 0.1 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 0.6 0.2 -0.1 0.6 -0.2 SUGAR11 0.6 0.2 -0.6 0.0 -0.0 0.0 0.0 -0.1 0.0 -0.0 -0.1 0.1 0.3 0.1 -0.0 0.4 0.4 0.4 0.4 -0.0 -0.1 0.1 0.1 0.1 -2.7 -0.0 -0.0 -0.1 0.0 0.1 0.0 1.1 0.0 -0.1 -0.2 -0.6 0.3 -0.1 0.5 0.3 US10 -0.4 -0.0 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.0 -0.1 -0.1 -0.0 0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.7 0.1 0.2 0.1 0.0 -0.7 -0.7 -0.6 0.3 US10U -0.4 -0.0 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 0.1 0.2 0.3 0.1 0.0 -0.7 -0.7 0.3 0.6 US2 -0.5 0.0 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.2 -0.1 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 -0.0 0.0 0.1 0.0 -0.7 -0.7 -0.5 -0.7 US20 -0.4 -0.0 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.0 -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 -0.3 -0.1 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 -0.2 -0.1 -0.2 -0.1 0.0 0.0 -0.0 -0.2 -0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.5 0.2 0.3 0.0 -0.0 -0.5 -0.6 0.7 0.7 US5 -0.5 -0.0 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.0 -0.1 -0.1 -0.0 0.5 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.9 0.0 0.1 0.1 0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.2 -0.1 -1.0 -0.1 0.0 -0.4 -0.1 -0.7 -0.1 -0.1 -0.9 -0.3 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.1 -0.9 -0.2 NaN -0.1 0.0 -0.5 -0.1 -0.8 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.1 -0.1 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 -0.2 -0.3 -0.1 -0.1 -0.2 -0.1 -0.4 -0.1 -0.6 -0.5 -0.6 -0.6 -0.4 -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 -15.2 -10.5 10.6 0.3 -2.4 3.5 -4.4 3.8 -3.7 -6.5 -2.6 -12.1 -8.7 -17.5 -2.0 -2.7 -2.8 -2.6 -2.7 -6.8 -0.9 -11.0 -4.4 -14.1 2.7 -2.6 -1.0 0.0 -4.9 -1.1 -5.8 -1.1 -5.3 -10.2 -10.4 -3.9 -20.0 -10.2 -7.4 2.5 BITCOIN -2.1 -7.4 12.7 -5.7 -3.7 -3.7 -6.0 -1.6 -6.3 20.0 17.7 17.3 19.2 8.4 16.3 -7.0 -6.4 -7.6 -7.4 16.0 20.0 20.0 19.2 19.0 -20.0 6.0 20.0 8.7 13.2 8.2 6.4 -1.4 20.0 20.0 20.0 20.0 -5.8 5.2 9.7 9.8 BOBL -15.8 -14.2 20.0 0.5 -2.3 1.0 -2.4 -0.4 -1.3 -6.4 2.6 -6.7 -0.7 -6.6 1.5 -20.0 -15.6 -20.0 -20.0 -0.2 2.8 -7.6 -0.4 -4.9 6.4 0.1 -3.0 1.2 -2.7 0.2 -1.6 -20.0 -1.2 0.6 -5.5 -1.5 -20.0 -20.0 1.9 -20.0 BTP -13.4 -3.8 20.0 0.9 -4.1 1.7 -4.3 -0.7 -2.3 -8.9 8.8 -9.4 8.2 -8.6 8.4 4.6 6.6 5.0 5.6 7.4 12.2 -7.0 7.1 -2.0 -12.8 2.6 -2.6 4.4 -2.7 2.8 -0.8 12.1 2.5 9.1 -0.5 7.3 -16.7 -20.0 14.6 1.5 BUND -15.2 -12.3 20.0 0.6 -2.6 1.1 -2.7 -0.5 -1.5 -7.2 3.2 -7.4 -0.8 -7.6 2.3 4.8 4.5 3.9 3.3 0.8 3.7 -6.6 -0.4 -4.2 4.3 0.4 -2.5 1.5 -2.3 0.3 -1.4 7.9 2.8 2.8 -6.3 -0.5 -20.0 -20.0 4.1 -9.3 BUXL -16.4 -9.7 20.0 0.7 -3.2 1.3 -3.3 -0.6 -1.8 -9.0 3.5 -9.5 -4.2 -9.7 2.5 0.1 0.5 0.1 0.3 0.5 3.4 -7.4 -2.8 -5.4 0.6 0.4 -2.2 1.4 -2.5 -0.3 -1.7 2.4 6.4 3.2 -8.6 -0.1 -20.0 -20.0 3.4 5.4 CAC 10.5 -1.2 12.6 6.9 7.8 5.7 7.6 3.7 6.9 11.9 17.9 18.8 20.0 16.9 20.0 -8.6 -5.4 -8.5 -7.5 16.6 14.1 15.7 13.5 16.9 -9.0 6.6 4.9 5.5 6.3 4.6 6.7 -0.0 -17.3 -0.8 -13.2 -7.0 -1.0 10.6 3.8 17.1 CAD -7.6 -1.9 10.4 0.4 -2.8 4.2 -5.3 4.6 -4.5 1.3 -0.1 -0.9 -3.5 -12.5 5.0 -1.8 -2.1 -1.9 -2.1 1.6 2.9 -2.4 -2.8 -3.3 1.1 1.3 0.6 1.7 -1.6 -1.3 -1.7 0.0 9.2 9.9 3.5 -8.7 -20.0 -15.6 -1.8 -14.8 CANOLA -2.7 -20.0 -20.0 2.2 -0.2 0.3 1.5 -1.3 3.0 -9.1 -10.9 -10.4 -9.3 -11.1 -11.4 -10.2 -2.4 -10.4 -8.2 -20.0 -20.0 -13.4 -18.2 -17.4 -20.0 -4.3 -1.8 -4.5 -2.9 -3.9 -3.6 -1.6 -17.7 -20.0 -20.0 -20.0 -20.0 -17.0 -11.6 -5.1 CHF -20.0 -6.8 11.6 0.3 -2.2 3.2 -4.0 3.5 -3.4 -16.5 4.6 -17.5 8.6 -15.3 1.9 -14.4 -15.4 -15.5 -15.7 -3.0 5.0 -20.0 6.2 -15.0 -5.9 0.7 -6.0 3.1 -6.6 2.7 -4.1 -20.0 -17.6 -19.2 7.0 7.2 -20.0 -17.6 -15.8 -20.0 COCOA 20.0 -5.2 3.1 4.2 -0.3 0.5 2.9 -2.4 5.6 19.2 20.0 20.0 20.0 20.0 20.0 20.0 4.4 13.9 8.8 20.0 20.0 20.0 20.0 20.0 -20.0 7.3 10.8 6.4 11.5 6.0 9.3 18.1 20.0 20.0 20.0 20.0 20.0 3.4 20.0 20.0 COFFEE 4.7 0.3 20.0 3.5 -0.3 0.4 2.5 -2.0 4.7 10.9 9.6 13.3 3.5 1.6 9.9 9.9 5.4 8.9 7.1 10.5 11.8 6.5 5.6 6.9 -20.0 4.3 4.5 6.3 2.8 4.5 2.1 17.9 6.4 -12.8 -8.4 20.0 -11.2 -20.0 -8.3 -10.6 COPPER -3.4 -4.9 10.0 -4.7 -3.1 -3.1 -5.0 -1.4 -5.3 -14.3 -2.1 -14.6 -5.5 -12.2 2.0 -6.6 -5.0 -6.4 -6.0 -3.0 -0.5 -19.2 -3.0 -10.9 -10.9 -2.3 -9.6 -0.3 -10.3 -1.0 -6.4 1.0 -18.8 -1.1 5.7 13.2 -15.7 -4.8 13.5 -0.6 CORN 0.5 -16.2 -13.4 4.9 -0.4 0.6 3.5 -2.8 6.6 -19.8 -20.0 -20.0 -20.0 -20.0 -20.0 -15.0 -4.3 -12.2 -9.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.7 -7.9 -8.0 -6.8 -7.1 -7.2 -4.2 -18.6 -20.0 -20.0 -20.0 -4.4 -19.4 -1.6 1.0 COTTON2 20.0 20.0 -0.9 4.9 0.9 0.5 4.4 -2.9 7.1 20.0 -2.2 20.0 -3.4 20.0 13.9 -6.2 -2.0 -7.2 -5.6 20.0 4.7 20.0 -4.8 20.0 -20.0 7.0 15.2 2.7 12.3 0.6 10.4 0.8 20.0 20.0 20.0 -4.3 -15.6 -15.3 -7.6 0.2 CRUDE_W 9.8 -1.2 -9.6 3.4 8.9 0.7 8.6 1.5 7.2 12.4 4.2 6.2 6.5 6.0 -8.3 8.1 9.3 7.9 8.6 0.2 0.9 10.5 7.2 5.2 -4.6 0.7 11.5 1.3 6.6 5.9 3.5 -1.1 -19.5 -20.0 -17.2 1.0 20.0 17.6 20.0 20.0 DAX 3.0 -0.1 20.0 6.8 7.7 5.6 7.4 3.6 6.8 4.7 20.0 16.3 20.0 16.8 20.0 -16.0 -10.8 -14.8 -13.0 19.5 20.0 8.4 16.5 12.8 17.3 6.7 2.3 6.9 3.2 5.0 4.5 -9.3 -20.0 -12.1 -15.1 4.3 -1.5 9.1 7.5 20.0 DOW 3.0 12.1 20.0 6.3 7.2 5.2 6.9 3.4 6.3 18.1 20.0 20.0 19.8 20.0 20.0 -13.4 -10.3 -12.6 -11.6 20.0 20.0 19.7 20.0 20.0 -15.7 7.9 3.3 7.7 4.4 5.6 6.0 -7.8 -0.6 13.2 16.2 20.0 -8.5 -4.0 -1.3 -9.4 DX 15.8 8.4 -10.4 0.3 -2.3 3.4 -4.3 3.7 -3.6 15.1 3.5 17.3 -4.0 17.8 -0.3 5.9 6.0 5.9 6.1 5.7 0.3 13.1 2.1 13.6 -20.0 1.4 3.7 -0.6 6.0 1.2 5.4 14.1 20.0 20.0 9.2 -20.0 20.0 2.7 20.0 8.7 EUR -14.8 -7.8 6.4 0.3 -2.5 3.7 -4.7 4.1 -4.0 -10.2 -4.3 -15.4 4.4 -17.9 -1.9 -6.0 -6.6 -6.0 -6.1 -7.3 -1.6 -12.7 -1.5 -14.3 16.6 -2.0 -2.9 0.5 -6.0 0.0 -5.9 -7.3 -0.3 -8.7 -3.7 -2.3 -20.0 -12.8 -20.0 -9.6 EURIBOR-ICE -20.0 -15.3 20.0 0.5 -2.3 0.9 -2.4 -0.4 -1.3 -5.7 5.1 -5.8 2.9 -5.3 4.2 2.7 -4.0 0.9 -1.6 3.7 8.2 -6.7 4.4 -3.2 14.5 1.3 -2.2 2.7 -2.0 1.5 -0.8 -3.8 -1.3 1.5 -1.1 7.6 -20.0 -20.0 7.7 20.0 EUROSTX 19.8 4.4 19.2 6.8 7.7 5.6 7.4 3.7 6.8 20.0 20.0 20.0 20.0 20.0 20.0 10.7 1.5 7.7 3.8 20.0 20.0 20.0 19.4 20.0 2.0 7.6 7.1 6.1 8.5 4.6 8.4 14.7 4.3 20.0 -0.5 5.9 -5.4 11.2 -2.3 19.9 FEEDCOW 20.0 20.0 -14.3 4.5 -0.3 0.6 3.1 -2.5 6.0 19.6 -4.4 20.0 -1.6 20.0 10.7 -20.0 -20.0 -20.0 -20.0 20.0 1.3 20.0 -1.0 20.0 -5.7 5.0 3.7 1.1 6.6 2.0 8.0 -20.0 20.0 20.0 20.0 -20.0 20.0 8.3 20.0 19.3 GASOIL 20.0 9.7 -9.9 2.8 7.3 0.6 7.0 1.2 5.9 16.3 7.2 16.2 7.8 15.7 4.3 20.0 20.0 20.0 20.0 12.1 6.6 20.0 9.4 20.0 7.9 4.4 8.7 2.7 8.5 3.3 7.2 20.0 2.6 7.7 9.9 6.0 -13.0 -4.4 -20.0 -10.4 GASOLINE 15.7 9.6 -7.8 3.3 8.6 0.7 8.3 1.5 7.0 19.4 0.0 17.3 6.5 16.3 10.6 -10.8 7.1 -20.0 -8.1 10.0 3.7 20.0 6.3 17.6 -20.0 4.0 13.9 1.8 10.4 4.4 7.4 -13.6 -0.4 -4.3 -3.1 10.3 20.0 13.0 20.0 11.4 GAS_US_mini -12.7 1.3 -19.4 1.5 3.8 0.3 3.7 0.7 3.1 -8.9 -9.2 -9.9 -10.4 -9.4 -9.6 4.9 -17.5 5.5 -8.5 -12.7 -14.8 -12.8 -18.4 -11.9 15.6 -3.3 -4.8 -3.5 -4.2 -3.0 -3.3 -20.0 -20.0 -20.0 -12.6 -10.6 -14.1 1.1 -20.0 -3.0 GBP -9.4 0.1 10.9 0.3 -2.7 4.0 -5.0 4.3 -4.2 -2.9 1.9 -4.9 10.7 -5.7 14.6 -0.1 -0.6 -0.2 -0.3 3.3 7.1 -6.8 5.5 -4.6 2.4 3.0 -1.7 4.7 -4.1 2.6 -2.1 2.9 -0.0 5.4 6.9 7.0 -20.0 -2.8 -20.0 6.9 GOLD_micro -5.0 -4.8 9.4 -5.2 -3.4 -3.3 -5.5 -1.5 -5.8 -18.1 11.0 -8.1 8.4 -11.1 5.1 -15.1 -14.2 -14.7 -14.6 1.1 6.0 -8.2 6.2 -4.6 -5.2 2.1 -7.9 3.6 -3.8 3.7 -0.6 -14.4 12.0 9.6 17.6 20.0 -20.0 -20.0 -20.0 -14.6 HEATOIL 20.0 9.0 -9.5 3.3 8.6 0.7 8.2 1.5 6.9 18.0 5.0 18.3 6.1 17.7 2.7 20.0 20.0 20.0 20.0 10.5 4.4 20.0 8.3 20.0 -20.0 5.1 11.0 3.3 10.1 5.1 8.2 20.0 6.1 2.0 7.2 7.6 13.4 2.7 11.9 -1.6 JGB-SGX-mini -19.6 3.5 16.8 0.5 -2.2 0.9 -2.3 -0.4 -1.3 -6.2 4.2 -5.5 4.8 -2.2 4.7 7.9 17.5 10.6 13.4 2.3 3.9 -3.2 2.9 -1.6 -3.7 0.7 -1.5 1.2 -1.5 0.4 -0.9 20.0 5.9 -1.1 2.6 -3.9 -3.0 -20.0 6.3 12.5 JPY -11.7 -10.7 16.8 0.2 -1.4 2.0 -2.5 2.2 -2.1 -10.3 -8.8 -10.9 -10.4 -11.1 -7.5 -15.0 -16.0 -15.5 -16.0 -7.9 -7.8 -9.8 -12.7 -10.2 20.0 -2.4 -3.8 -2.6 -4.0 -4.7 -3.6 -20.0 -3.3 -6.7 -10.7 -10.1 -14.2 -19.7 -8.9 -20.0 LEANHOG 16.5 16.4 1.7 4.7 -0.4 0.6 3.3 -2.7 6.3 -20.0 -2.1 -1.2 -13.9 13.1 10.3 -20.0 -14.3 -20.0 -20.0 10.0 -2.9 -6.4 -16.4 9.8 19.5 6.3 -4.8 2.9 -1.8 -2.9 4.0 -20.0 -20.0 -4.1 20.0 16.5 -11.2 -8.2 3.4 11.7 LIVECOW 20.0 20.0 -16.7 4.5 -0.3 0.6 3.2 -2.6 6.1 18.7 -4.8 20.0 -1.6 20.0 4.3 -20.0 -9.2 -18.6 -14.1 17.2 -3.5 20.0 -2.5 20.0 -2.6 3.9 6.5 -0.1 9.5 1.7 8.9 -11.3 20.0 20.0 20.0 -20.0 16.6 0.0 20.0 6.9 LUMBER-new -0.5 -0.2 13.6 5.1 -0.4 0.7 3.6 -2.3 6.8 -20.0 -0.3 -0.3 -15.0 -6.4 13.0 -16.2 -14.6 -15.0 -14.7 5.7 5.9 -5.8 -2.9 -1.1 NaN 4.5 -5.2 4.9 -3.3 1.2 0.3 -17.6 -20.0 -20.0 -2.9 17.8 -10.2 -20.0 -7.2 -18.8 MILK 20.0 20.0 -3.8 2.8 -0.2 0.4 2.0 -1.6 3.8 1.6 -12.0 7.7 -13.9 5.4 -8.8 -20.0 -20.0 -20.0 -20.0 -4.4 -14.8 7.8 -20.0 6.5 10.7 -0.5 1.4 -4.3 3.5 -6.5 3.3 -20.0 13.3 5.5 -6.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP -4.5 0.0 11.1 0.3 -2.6 3.8 -4.8 4.1 -4.0 12.7 17.4 9.1 20.0 4.4 17.1 16.1 16.5 15.7 15.5 10.6 16.6 5.2 20.0 5.6 -20.0 5.4 3.0 8.4 2.9 12.9 2.9 20.0 20.0 9.9 13.4 8.8 19.4 20.0 20.0 20.0 NASDAQ_micro 10.6 5.2 20.0 4.4 5.0 3.6 4.8 2.3 4.4 12.0 14.9 14.2 14.5 14.7 15.4 -11.6 -9.8 -11.4 -10.8 20.0 20.0 19.2 20.0 20.0 -20.0 5.5 3.2 5.5 3.7 5.0 4.5 -6.7 -0.6 16.0 20.0 15.3 18.0 -3.7 20.0 -5.7 NIKKEI 7.2 19.7 15.3 6.0 6.8 5.0 6.5 3.2 6.0 18.2 19.7 18.2 19.8 19.1 20.0 18.0 13.0 16.5 14.2 20.0 20.0 20.0 20.0 20.0 -15.1 7.0 6.4 6.1 5.6 5.3 6.3 20.0 13.6 10.3 20.0 14.1 -16.5 -3.7 -3.2 -1.0 NZD -11.8 -9.2 13.1 0.3 -2.0 3.0 -3.8 3.3 -3.2 10.0 2.5 -1.3 0.6 -11.4 4.2 0.3 0.3 0.3 0.2 -0.8 3.1 0.4 -0.1 -4.7 0.4 -0.0 3.7 2.0 0.2 0.8 -2.1 4.0 16.0 -5.3 -3.6 -0.1 -11.2 -9.8 -5.2 4.2 OAT -15.8 -10.7 20.0 0.6 -2.9 1.2 -3.0 -0.5 -1.6 -7.6 4.2 -8.0 -0.1 -8.2 3.4 4.9 6.6 5.1 5.4 2.0 5.5 -7.2 0.9 -4.3 5.9 0.8 -2.6 2.1 -2.5 0.7 -1.4 11.9 2.0 3.6 -5.8 1.6 -20.0 -20.0 6.6 3.3 OATIES 7.2 3.1 -17.4 2.0 0.4 0.2 1.8 -1.2 2.9 4.6 -8.7 4.0 -6.9 0.5 -6.0 8.1 -4.5 2.0 -3.3 -4.3 -8.1 2.8 -6.3 0.6 -20.0 -0.5 1.5 -2.7 1.7 -2.5 1.5 -0.8 7.4 -7.4 -0.1 -13.2 -4.2 3.0 3.3 14.2 OJ 20.0 -20.0 -20.0 2.7 -0.2 0.3 1.9 -1.6 3.6 -7.0 5.6 7.5 9.8 6.8 -1.6 8.1 16.8 9.2 13.4 5.0 7.0 8.7 16.2 12.4 -20.0 1.9 -3.3 3.3 2.3 6.9 3.3 20.0 18.9 20.0 -12.7 3.2 6.3 10.7 12.6 20.0 PALLAD -3.3 -14.4 3.8 -2.0 -1.3 -1.3 -2.1 -0.6 -2.2 -4.8 -7.3 -5.6 -8.3 -7.4 -7.0 -1.7 -2.2 -1.8 -2.0 -8.3 -9.2 -8.8 -12.1 -8.3 8.3 -2.1 -3.4 -2.8 -3.5 -3.6 -2.4 6.9 -6.9 -2.1 3.0 -7.1 -9.7 -7.7 -5.6 -3.0 PLAT -6.3 -10.8 3.3 -3.1 -2.0 -2.0 -3.3 -0.9 -3.5 -7.0 -5.1 -8.6 -7.2 -10.8 -5.0 -4.1 -3.2 -3.9 -3.6 -6.1 -4.2 -8.2 -4.1 -8.3 11.2 -2.3 -3.2 -1.1 -4.2 -0.7 -3.6 4.7 -4.5 0.5 3.2 3.2 -11.0 -4.9 18.6 2.6 REDWHEAT 4.3 -2.3 -4.9 4.1 -0.3 0.5 2.8 -2.3 5.4 -18.1 -20.0 -13.1 -20.0 -12.9 -14.9 1.9 -1.1 -1.1 -1.9 -15.1 -20.0 -15.5 -20.0 -11.8 -13.3 -5.6 -12.7 -9.7 -8.9 -11.3 -4.8 4.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -18.4 -18.2 RICE 11.5 4.1 12.6 4.1 -0.3 0.5 2.8 -2.3 5.4 11.9 19.2 17.2 16.6 18.3 19.4 -14.2 -2.6 -14.3 -10.0 20.0 19.2 20.0 14.4 20.0 -20.0 5.8 5.8 4.4 9.0 3.3 8.0 -2.0 20.0 16.5 5.5 14.5 3.0 -6.9 9.9 1.8 ROBUSTA 12.9 20.0 20.0 3.0 -0.2 0.4 2.1 -1.7 4.1 8.3 15.4 12.2 15.3 14.0 15.5 20.0 20.0 20.0 20.0 20.0 20.0 16.6 20.0 20.0 -20.0 5.8 2.5 5.9 2.6 5.0 4.0 20.0 10.2 19.0 20.0 20.0 -16.6 -15.7 -6.6 1.1 RUSSELL -3.2 -1.0 18.4 3.9 4.4 3.2 4.2 2.1 3.9 10.3 6.6 7.0 3.6 -0.9 7.5 -6.4 -6.2 -6.4 -6.4 7.0 7.2 10.3 3.1 5.1 -2.3 3.2 8.7 3.0 4.2 1.7 2.5 0.0 -5.8 -5.3 -4.5 -3.0 -20.0 -20.0 -20.0 -20.0 SHATZ -16.2 -12.3 20.0 0.5 -2.2 0.9 -2.3 -0.4 -1.2 -6.5 0.2 -6.9 -4.2 -6.7 -0.8 -20.0 -20.0 -20.0 -20.0 -2.2 0.3 -9.5 -3.1 -6.8 7.9 -0.2 -3.4 0.7 -3.3 -0.6 -2.1 -20.0 -6.0 -2.2 -5.5 -3.5 -20.0 -20.0 -7.6 -20.0 SILVER-mini -2.7 -12.8 -0.6 -4.4 -2.8 -2.8 -4.6 -1.3 -4.9 -2.5 -5.2 -5.2 -2.0 -12.6 -11.8 -6.8 -6.5 -6.9 -6.8 -9.3 -6.6 -4.8 -3.6 -8.8 5.8 -3.8 0.8 -2.7 -2.0 -0.9 -3.4 -1.0 6.1 2.2 4.2 0.5 -20.0 -17.5 10.6 -6.9 SMI -7.6 6.2 13.2 5.6 6.4 4.7 6.2 3.0 5.6 -11.3 8.9 -11.9 4.7 -4.6 14.3 11.0 5.7 10.3 7.8 6.9 6.5 -9.0 2.0 -0.9 10.5 4.2 -4.2 4.3 -4.1 1.5 -0.0 20.0 -20.0 -20.0 -9.5 -12.6 4.1 -6.2 12.7 -7.1 SOFR -14.9 -4.2 18.3 0.6 -2.8 1.1 -2.9 -0.5 -1.6 -8.0 4.8 -7.8 0.3 -6.5 5.4 2.1 0.3 1.7 0.9 1.5 3.3 -6.9 -0.3 -3.7 -2.1 2.0 -2.7 2.3 -2.3 0.5 -0.3 2.5 4.2 5.8 3.5 2.5 -20.0 -20.0 -7.8 -3.3 SOYBEAN 1.2 -20.0 -14.8 4.1 -0.3 0.5 2.8 -2.3 5.4 -15.6 -12.1 -17.3 -0.2 -19.9 -20.0 6.6 15.3 10.2 12.2 -20.0 -19.4 -17.0 -10.0 -20.0 -20.0 -6.6 -4.3 -4.0 -5.5 -1.3 -6.5 20.0 -14.6 -20.0 -20.0 -15.7 -10.1 -20.0 -9.9 -20.0 SOYMEAL -0.7 -20.0 -16.5 2.8 -0.2 0.3 2.0 -1.6 3.7 -11.4 -11.6 -12.2 -5.0 -13.5 -13.9 0.1 13.3 5.3 9.3 -20.0 -14.4 -16.7 -5.5 -18.4 -20.0 -4.6 -3.6 -2.9 -3.8 -0.4 -4.3 20.0 -15.4 -20.0 -20.0 -15.9 -20.0 -20.0 -20.0 -20.0 SOYOIL 5.6 -6.1 -14.7 2.7 -0.2 0.3 1.9 -1.6 3.6 7.2 -11.4 3.4 -8.9 -6.2 -10.6 -5.9 4.9 -3.4 0.6 -11.7 -14.6 4.0 -12.1 -4.7 -20.0 -2.9 4.8 -4.0 2.8 -3.6 -0.7 12.6 9.0 -18.1 -15.1 -12.1 -9.1 -4.0 -4.4 6.2 SP400 -0.6 4.0 20.0 4.6 5.2 3.8 5.0 2.4 4.6 13.2 11.2 11.7 8.3 6.4 12.8 -5.9 -5.3 -5.6 -5.5 12.5 12.2 13.1 7.1 9.5 -11.4 4.5 8.3 4.3 4.9 2.9 3.5 1.8 -4.7 -4.6 -3.7 -1.8 -20.0 -9.1 -20.0 -20.0 SP500_micro 11.6 11.7 20.0 5.7 6.4 4.7 6.2 3.1 5.7 17.4 19.3 19.3 17.6 19.7 20.0 -12.9 -10.9 -12.6 -11.9 20.0 20.0 20.0 20.0 20.0 -20.0 7.2 4.8 6.5 5.6 5.1 6.4 -8.6 6.4 20.0 20.0 17.7 4.7 -3.7 17.8 -6.1 SUGAR11 20.0 4.8 -20.0 3.2 -0.2 0.4 2.2 -1.8 4.3 -0.8 -3.6 8.3 7.6 10.8 -2.8 20.0 19.8 20.0 20.0 -0.2 -5.2 6.1 3.8 8.6 -20.0 -2.0 -0.6 -2.8 1.1 1.5 1.0 20.0 0.4 -3.2 -5.8 -20.0 9.4 -2.9 16.2 8.0 US10 -13.2 -0.5 18.6 0.5 -2.4 1.0 -2.5 -0.4 -1.4 -7.3 2.3 -7.1 -2.3 -5.5 4.6 -9.7 -8.0 -9.3 -8.7 1.2 1.5 -5.8 -3.6 -2.9 1.7 1.8 -2.4 1.6 -2.0 -0.6 -0.2 -12.9 3.9 5.8 3.2 1.1 -20.0 -20.0 -17.9 7.7 US10U -12.0 -1.1 18.2 0.7 -3.3 1.4 -3.5 -0.6 -1.9 -10.3 2.2 -9.8 -3.1 -8.2 5.7 -0.1 0.6 1.2 1.0 1.3 1.4 -7.6 -5.5 -3.9 -1.2 2.3 -3.5 1.9 -2.5 -1.1 -0.1 2.8 7.2 10.0 3.9 0.9 -20.0 -20.0 7.7 18.4 US2 -16.1 0.5 20.0 0.5 -2.2 0.9 -2.3 -0.4 -1.2 -6.8 1.3 -7.1 -4.5 -4.7 2.7 -20.0 -20.0 -20.0 -20.0 0.3 0.8 -6.9 -4.7 -4.1 8.7 1.5 -2.5 1.7 -2.3 -0.7 -0.7 -20.0 -0.7 0.3 3.8 1.2 -20.0 -20.0 -15.1 -20.0 US20 -12.5 -0.5 19.5 0.5 -2.4 1.0 -2.5 -0.4 -1.4 -7.4 2.1 -5.1 -1.6 -5.0 4.4 -0.0 -1.0 -0.3 -0.7 1.7 1.6 -4.5 -3.8 -2.1 -1.4 1.9 -2.0 1.4 -1.2 -0.8 0.3 -0.4 8.0 8.4 3.5 2.6 -20.0 -20.0 20.0 20.0 US30 -9.6 -3.3 17.3 0.6 -2.9 1.2 -3.0 -0.5 -1.6 -8.8 1.3 -5.4 -3.1 -6.3 4.0 -9.6 -5.5 -8.1 -6.8 0.6 0.5 -4.8 -5.6 -2.9 -0.9 1.8 -2.4 1.2 -1.5 -1.4 0.1 -8.9 10.2 10.5 0.9 -0.1 -16.0 -17.8 20.0 20.0 US5 -15.0 -1.0 19.9 0.5 -2.4 1.0 -2.5 -0.4 -1.3 -7.2 2.9 -7.2 -2.6 -5.1 4.4 -10.2 -10.3 -10.2 -10.5 0.9 1.6 -6.5 -3.1 -3.6 3.8 1.7 -2.6 1.8 -2.2 -0.3 -0.5 -16.6 1.7 3.4 3.4 1.5 -20.0 -20.0 -20.0 -7.3 VIX 2.9 -2.4 -19.9 -7.3 0.5 -8.9 -3.3 -11.6 -5.4 -5.5 -20.0 -15.2 -20.0 -19.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -6.7 -20.0 -12.2 NaN -8.4 0.6 -10.9 -3.2 -14.2 -5.6 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -3.0 -3.7 4.4 4.3 -0.3 0.5 3.0 -2.5 5.8 -19.0 -20.0 -19.5 -20.0 -18.9 -11.4 -11.4 -10.7 -11.3 -11.2 -13.1 -18.3 -15.9 -20.0 -13.9 -2.2 -5.6 -13.3 -7.3 -11.8 -11.0 -7.8 -11.4 -20.0 -20.0 -20.0 -11.5 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3