******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240216_204029 produced at 2024-02-16 21:38:10.496890 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.60 0.00 0.00 0.00 0.00 0.00 -7.85 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.09 -0.30 0.00 0.09 -0.09 -0.09 -0.09 -57.21 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.23 0.00 0.00 0.00 0.00 0.00 -6.47 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.17 0.00 0.00 0.00 0.00 0.00 -2.69 13.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.32 -0.13 0.00 0.59 -0.59 -0.32 -0.32 -2.96 13.0 -7 -7 caleb_strategy_v3 GOLD_micro False False 0.01 -0.17 -0.10 0.00 0.36 -0.36 -0.17 -0.17 -16.00 56.0 -26 -26 caleb_strategy_v3 COPPER False False 0.03 -0.09 -0.09 0.00 0.18 -0.18 -0.09 -0.06 -3.12 6.0 -3 -2 caleb_strategy_v3 JPY False False 0.03 -0.11 -0.08 0.00 0.45 -0.45 -0.11 -0.11 -2.93 17.0 -4 -4 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.08 0.00 0.09 -0.09 -0.07 -0.07 -11.53 12.0 -10 -10 caleb_strategy_v3 BOBL False False 0.04 -0.48 -0.07 0.00 0.76 -0.76 -0.48 -0.48 -1.80 19.0 -12 -12 caleb_strategy_v3 EUR False False 0.04 -0.04 -0.06 0.00 0.60 -0.60 -0.04 -0.04 -1.32 14.0 -1 -1 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.00 0.14 -0.14 -0.02 -0.02 -22.34 51.0 -6 -6 caleb_strategy_v3 US5 False False 0.03 -0.17 -0.06 0.00 0.85 -0.85 -0.17 -0.17 -1.83 25.0 -5 -5 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.05 0.00 0.04 -0.04 -0.02 -0.02 -36.29 26.0 -15 -15 caleb_strategy_v3 CAD False False 0.02 -0.05 -0.04 0.00 0.68 -0.68 -0.05 -0.05 -1.86 29.0 -2 -2 caleb_strategy_v3 AUD False False 0.02 0.00 -0.04 0.00 0.40 -0.40 0.00 0.00 -2.13 19.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.00 0.07 -0.07 -0.03 -0.03 -2.84 8.0 -3 -3 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.00 0.05 -0.05 0.00 0.00 -2.60 5.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.00 0.13 -0.13 -0.04 -0.04 -1.84 7.0 -2 -2 caleb_strategy_v3 US10 False True 0.03 0.00 -0.03 0.00 0.00 0.00 0.00 0.00 -1.00 17.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.00 0.08 -0.08 -0.04 -0.04 -3.17 9.0 -4 -4 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.00 0.00 0.00 0.00 0.00 -2.87 2.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.00 0.10 -0.10 0.00 0.00 -2.02 9.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.02 0.00 0.18 -0.18 0.00 0.00 -0.19 2.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.00 0.02 -0.02 0.00 0.00 -3.89 3.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.02 0.00 0.22 -0.22 -0.01 -0.02 -5.16 68.0 -2 -5 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.00 0.00 -0.00 0.00 0.00 -0.61 0.0 0 0 caleb_strategy_v3 US30 False True 0.04 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 -0.16 6.0 0 0 caleb_strategy_v3 US10U False True 0.04 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 -0.26 13.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.00 0.46 -0.46 0.00 0.00 -0.16 10.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.04 -0.01 0.00 0.09 -0.09 -0.04 -0.04 -1.48 10.0 -4 -4 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.00 0.13 -0.13 0.00 0.00 -0.06 6.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.00 0.18 -0.18 0.00 0.00 -0.11 4.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.00 0.00 0.06 -0.06 -0.03 -0.03 -0.15 2.0 -1 -1 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.00 0.00 0.41 -0.41 -0.02 -0.02 -0.05 21.0 -1 -1 caleb_strategy_v3 PLAT False False 0.01 -0.03 0.00 0.00 0.15 -0.15 -0.03 -0.01 0.20 10.0 -2 -1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.00 0.00 0.14 -0.14 0.00 0.00 0.16 18.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.04 -0.00 0.00 0.04 0.00 0.04 0.04 -0.07 9.0 1 1 caleb_strategy_v3 DOW False False 0.01 0.01 0.01 0.00 0.41 -0.41 0.01 0.04 2.25 66.0 2 6 caleb_strategy_v3 GBP False False 0.03 0.13 0.01 0.00 0.55 -0.55 0.13 0.13 0.40 22.0 5 5 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.00 0.05 -0.05 0.00 0.00 0.67 3.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.00 0.23 -0.23 0.02 0.02 1.49 23.0 2 2 caleb_strategy_v3 COTTON2 False False 0.02 0.00 0.01 0.00 0.17 -0.17 0.00 0.00 0.55 11.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.16 0.02 0.00 0.26 -0.26 0.16 0.20 1.86 23.0 14 18 caleb_strategy_v3 OAT False False 0.04 0.00 0.02 0.00 0.44 -0.44 0.00 0.00 0.40 10.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.08 0.02 0.00 0.40 -0.40 0.08 0.04 0.54 10.0 2 1 caleb_strategy_v3 GASOLINE False False 0.03 0.10 0.02 0.00 0.14 -0.14 0.10 0.10 0.54 4.0 3 3 caleb_strategy_v3 RICE False False 0.01 0.00 0.02 0.00 0.05 -0.05 0.00 0.00 1.53 4.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.04 0.00 0.38 -0.38 0.00 0.00 4.82 48.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.04 0.00 0.41 -0.41 0.00 0.00 1.84 17.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.04 0.00 0.11 -0.11 0.00 0.00 1.18 3.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.20 0.04 0.00 0.33 -0.33 0.20 0.20 0.97 8.0 5 5 caleb_strategy_v3 COCOA False False 0.02 0.10 0.04 0.00 0.44 -0.44 0.10 0.12 2.12 26.0 6 7 caleb_strategy_v3 LEANHOG False False 0.01 0.00 0.06 0.00 0.16 -0.16 0.00 0.00 4.63 13.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.08 0.06 0.00 0.10 -0.10 0.08 0.08 2.44 4.0 3 3 caleb_strategy_v3 SMI False False 0.04 0.37 0.07 0.00 0.37 -0.37 0.37 0.37 1.64 9.0 9 9 caleb_strategy_v3 CAC False False 0.03 0.29 0.07 0.00 0.32 -0.32 0.29 0.29 2.59 12.0 11 11 caleb_strategy_v3 DX False False 0.03 0.00 0.07 0.00 999.00 -999.00 0.00 0.00 2.09 999999999.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.05 0.08 0.05 0.05 0.05 0.05 0.05 49.08 59.0 30 30 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.11 0.00 0.12 -0.12 0.02 0.02 4.52 5.0 1 1 caleb_strategy_v3 DAX False False 0.01 0.00 0.11 0.00 0.34 -0.34 0.00 0.00 18.55 58.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.08 0.15 0.00 0.33 -0.33 0.08 0.05 9.26 20.0 5 3 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.25 0.19 0.00 0.84 -0.84 0.25 0.17 2.33 10.0 3 2 caleb_strategy_v3 NIKKEI False False 0.01 0.27 0.35 0.00 0.29 -0.29 0.27 0.27 43.90 36.0 34 34 caleb_strategy_v3 JGB-SGX-mini False True 0.03 0.34 0.35 0.00 0.34 0.00 0.34 0.34 11.17 16.0 11 11 caleb_strategy_v3 MXP False False 0.01 0.56 0.70 0.00 0.56 -0.56 0.56 0.56 75.31 60.0 60 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 23.3 Shocked risk 74.3 Sum abs risk 62.4 Leverage 5.23 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3140336.24, 'annual_cash_vol_target': 785084.06, 'daily_cash_vol_target': 49067.75375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0040 0.6538 0.6175 9.8795 BITCOIN 1147.7020 52715.0000 2.1772 34.8349 BOBL 0.2845 116.5900 0.2440 3.9038 BTP 0.5871 117.6500 0.4990 7.9845 BUND 0.5616 133.0000 0.4223 6.7560 BUXL 1.2782 133.2800 0.9590 15.3440 CAC 53.4722 7776.0000 0.6877 11.0025 CAD 0.0031 0.7418 0.4137 6.6193 CANOLA 7.2362 587.8000 1.2311 19.6972 CHF 0.0057 1.1383 0.4973 7.9576 COCOA 86.8138 5330.0000 1.6288 26.0604 COFFEE 3.3490 186.2000 1.7986 28.7776 COPPER 0.0402 3.8245 1.0505 16.8076 CORN 4.1413 458.0000 0.9042 14.4673 COTTON2 1.0608 94.4200 1.1235 17.9765 CRUDE_W 0.9737 74.1000 1.3141 21.0253 DAX 107.7227 17137.0000 0.6286 10.0576 DOW 223.2543 38747.0000 0.5762 9.2190 DX 0.3927 103.7150 0.3787 6.0584 EUR 0.0045 1.0788 0.4191 6.7053 EURIBOR-ICE 0.0524 97.6150 0.0537 0.8588 EUROSTX 33.6697 4767.0000 0.7063 11.3009 FEEDCOW 1.7267 255.9000 0.6747 10.7959 GASOIL 12.4409 808.7500 1.5383 24.6127 GASOLINE 0.0399 2.5659 1.5533 24.8533 GAS_US_mini 0.0833 1.8100 4.6013 73.6216 GBP 0.0058 1.2605 0.4589 7.3425 GOLD_micro 12.8916 2023.1000 0.6372 10.1955 HEATOIL 0.0391 2.6770 1.4609 23.3741 JGB-SGX-mini 0.2785 146.1700 0.1905 3.0487 JPY 0.0000 0.0067 0.6211 9.9382 LEANHOG 1.0970 97.6500 1.1234 17.9737 LIVECOW 1.2625 187.3750 0.6738 10.7809 LUMBER-new 6.2924 581.0000 1.0830 17.3286 MILK 0.2253 17.0900 1.3184 21.0942 MXP 0.0004 0.0584 0.6041 9.6657 NASDAQ_micro 140.3629 17779.2500 0.7895 12.6316 NIKKEI 298.5650 38140.0000 0.7828 12.5250 NZD 0.0040 0.6126 0.6492 10.3872 OAT 0.5466 127.9800 0.4271 6.8337 OATIES 6.1439 362.0000 1.6972 27.1553 OJ 7.2879 369.9500 1.9700 31.5196 PALLAD 28.8228 946.5000 3.0452 48.7231 PLAT 14.5691 911.7000 1.5980 25.5683 REDWHEAT 9.1643 555.2500 1.6505 26.4077 RICE 0.1884 18.5600 1.0149 16.2382 ROBUSTA 42.1983 3135.0000 1.3460 21.5366 RUSSELL 28.2300 2044.4000 1.3808 22.0935 SHATZ 0.0968 105.3550 0.0919 1.4704 SILVER-mini 0.3555 23.7000 1.5002 24.0025 SMI 72.9746 11220.0000 0.6504 10.4064 SOFR 0.0786 96.2950 0.0817 1.3066 SOYBEAN 9.8374 1150.5000 0.8551 13.6808 SOYMEAL 4.5290 341.9000 1.3246 21.1943 SOYOIL 0.6542 46.4300 1.4090 22.5434 SP400 27.1602 2845.5000 0.9545 15.2719 SP500_micro 31.8014 5028.5000 0.6324 10.1188 SUGAR11 0.3331 22.5500 1.4771 23.6340 US10 0.4634 109.7344 0.4222 6.7560 US10U 0.6213 113.5469 0.5471 8.7544 US2 0.1318 101.9453 0.1293 2.0692 US20 0.8877 118.1875 0.7511 12.0175 US30 1.2566 124.2812 1.0111 16.1778 US5 0.3159 106.4922 0.2967 4.7469 VIX 0.4234 16.5000 2.5662 41.0592 WHEAT 8.2193 585.0000 1.4050 22.4801 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 653.75 0.62 403.67 1.00 403.67 49067.75 121.55 -6.76 -82.11 BITCOIN 52.72 2.18 114.77 1.00 114.77 49067.75 427.53 10.60 453.19 BOBL 1165.90 0.24 284.47 1.07 305.31 49067.75 160.72 -11.02 -177.07 BTP 1176.50 0.50 587.11 1.07 630.11 49067.75 77.87 2.02 15.75 BUND 1330.00 0.42 561.59 1.07 602.73 49067.75 81.41 -1.98 -16.11 BUXL 1332.80 0.96 1278.15 1.07 1371.78 49067.75 35.77 -2.91 -10.39 CAC 777.60 0.69 534.72 1.07 573.89 49067.75 85.50 8.87 75.85 CAD 741.75 0.41 306.87 1.00 306.87 49067.75 159.90 -4.49 -71.81 CANOLA 117.56 1.23 144.72 0.74 106.86 49067.75 459.18 -20.00 -918.36 CHF 1422.88 0.50 707.67 1.00 707.67 49067.75 69.34 -16.43 -113.95 COCOA 533.00 1.63 868.14 1.00 868.14 49067.75 56.52 17.49 98.86 COFFEE 698.25 1.80 1255.87 1.00 1255.87 49067.75 39.07 -1.24 -4.83 COPPER 956.12 1.05 1004.39 1.00 1004.39 49067.75 48.85 -5.90 -28.80 CORN 229.00 0.90 207.06 1.00 207.06 49067.75 236.97 -20.00 -473.94 COTTON2 472.10 1.12 530.42 1.00 530.42 49067.75 92.51 2.76 25.56 CRUDE_W 741.00 1.31 973.74 1.00 973.74 49067.75 50.39 8.28 41.74 DAX 171.37 0.63 107.72 1.07 115.61 49067.75 424.41 12.82 543.96 DOW 193.74 0.58 111.63 1.00 111.63 49067.75 439.57 2.20 96.84 DX 1037.15 0.38 392.72 1.00 392.72 49067.75 124.94 6.45 80.64 EUR 1348.50 0.42 565.13 1.00 565.13 49067.75 86.83 -5.84 -50.69 EURIBOR-ICE 2440.38 0.05 130.99 1.07 140.58 49067.75 349.03 1.95 68.20 EUROSTX 476.70 0.71 336.70 1.07 361.36 49067.75 135.79 20.00 271.57 FEEDCOW 1279.50 0.67 863.34 1.00 863.34 49067.75 56.84 5.13 29.14 GASOIL 808.75 1.54 1244.09 1.00 1244.09 49067.75 39.44 14.28 56.32 GASOLINE 1077.68 1.55 1673.99 1.00 1673.99 49067.75 29.31 4.25 12.45 GAS_US_mini 45.25 4.60 208.21 1.00 208.21 49067.75 235.66 -14.22 -335.15 GBP 787.81 0.46 361.53 1.00 361.53 49067.75 135.72 1.13 15.36 GOLD_micro 202.31 0.64 128.92 1.00 128.92 49067.75 380.62 -12.33 -469.12 HEATOIL 1124.34 1.46 1642.52 1.00 1642.52 49067.75 29.87 9.11 27.21 JGB-SGX-mini 146170.00 0.19 27851.85 0.01 185.58 49067.75 264.40 3.90 103.18 JPY 835.75 0.62 519.11 1.00 519.11 49067.75 94.52 -11.94 -112.90 LEANHOG 390.60 1.12 438.78 1.00 438.78 49067.75 111.83 6.82 76.23 LIVECOW 749.50 0.67 505.02 1.00 505.02 49067.75 97.16 5.72 55.62 LUMBER-new 159.78 1.08 173.04 1.00 173.04 49067.75 283.56 -6.42 -182.07 MILK 341.80 1.32 450.62 1.00 450.62 49067.75 108.89 -11.16 -121.56 MXP 291.85 0.60 176.31 1.00 176.31 49067.75 278.31 18.44 513.13 NASDAQ_micro 355.58 0.79 280.73 1.00 280.73 49067.75 174.79 4.57 79.85 NIKKEI 38140.00 0.78 29856.50 0.01 198.36 49067.75 247.37 16.39 405.36 NZD 612.65 0.65 397.73 1.00 397.73 49067.75 123.37 -0.15 -1.90 OAT 1279.80 0.43 546.61 1.07 586.65 49067.75 83.64 1.41 11.81 OATIES 181.00 1.70 307.19 1.00 307.19 49067.75 159.73 -7.40 -118.15 OJ 554.93 1.97 1093.19 1.00 1093.19 49067.75 44.88 6.98 31.33 PALLAD 946.50 3.05 2882.28 1.00 2882.28 49067.75 17.02 -2.60 -4.43 PLAT 455.85 1.60 728.46 1.00 728.46 49067.75 67.36 0.88 5.95 REDWHEAT 277.62 1.65 458.22 1.00 458.22 49067.75 107.08 -20.00 -214.17 RICE 371.20 1.01 376.73 1.00 376.73 49067.75 130.25 4.82 62.72 ROBUSTA 313.50 1.35 421.98 1.00 421.98 49067.75 116.28 10.94 127.19 RUSSELL 102.22 1.38 141.15 1.00 141.15 49067.75 347.63 -4.48 -155.75 SHATZ 1053.55 0.09 96.82 1.07 103.91 49067.75 472.21 -13.50 -637.59 SILVER-mini 592.50 1.50 888.84 1.00 888.84 49067.75 55.20 -3.23 -17.81 SMI 1122.00 0.65 729.75 1.13 825.27 49067.75 59.46 8.10 48.17 SOFR 2407.38 0.08 196.59 1.00 196.59 49067.75 249.60 -5.17 -129.12 SOYBEAN 575.25 0.86 491.87 1.00 491.87 49067.75 99.76 -19.86 -198.12 SOYMEAL 341.90 1.32 452.90 1.00 452.90 49067.75 108.34 -20.00 -216.68 SOYOIL 278.58 1.41 392.51 1.00 392.51 49067.75 125.01 -12.72 -159.00 SP400 2845.50 0.95 2716.02 1.00 2716.02 49067.75 18.07 -3.19 -5.77 SP500_micro 251.42 0.63 159.01 1.00 159.01 49067.75 308.59 6.73 207.53 SUGAR11 252.56 1.48 373.06 1.00 373.06 49067.75 131.53 0.56 7.41 US10 1097.34 0.42 463.35 1.00 463.35 49067.75 105.90 -7.46 -78.96 US10U 1135.47 0.55 621.27 1.00 621.27 49067.75 78.98 -2.63 -20.78 US2 2038.91 0.13 263.68 1.00 263.68 49067.75 186.09 -11.39 -211.94 US20 1181.88 0.75 887.70 1.00 887.70 49067.75 55.28 -0.98 -5.41 US30 1242.81 1.01 1256.62 1.00 1256.62 49067.75 39.05 -3.20 -12.48 US5 1064.92 0.30 315.94 1.00 315.94 49067.75 155.31 -9.29 -144.35 VIX 165.00 2.57 423.42 1.00 423.42 49067.75 115.88 -20.00 -231.77 WHEAT 292.50 1.41 410.96 1.00 410.96 49067.75 119.40 -20.00 -238.79 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -82.114 0.010 2.5 -2.131 BITCOIN 453.190 0.043 2.5 49.075 BOBL -177.072 0.004 2.5 -1.796 BTP 15.745 0.014 2.5 0.537 BUND -16.110 0.004 2.5 -0.163 BUXL -10.395 0.004 2.5 -0.105 CAC 75.850 0.014 2.5 2.587 CAD -71.813 0.010 2.5 -1.863 CANOLA -918.362 0.010 2.5 -22.343 CHF -113.948 0.010 2.5 -2.957 COCOA 98.863 0.009 2.5 2.117 COFFEE -4.835 0.005 2.5 -0.056 COPPER -28.799 0.043 2.5 -3.119 CORN -473.940 0.010 2.5 -11.530 COTTON2 25.559 0.009 2.5 0.547 CRUDE_W 41.739 0.043 2.5 4.520 DAX 543.960 0.014 2.5 18.554 DOW 96.838 0.009 2.5 2.251 DX 80.644 0.010 2.5 2.092 EUR -50.690 0.010 2.5 -1.315 EURIBOR-ICE 68.199 0.014 2.5 2.326 EUROSTX 271.573 0.014 2.5 9.263 FEEDCOW 29.136 0.013 2.5 0.966 GASOIL 56.318 0.017 2.5 2.441 GASOLINE 12.450 0.017 2.5 0.540 GAS_US_mini -335.149 0.043 2.5 -36.293 GBP 15.355 0.010 2.5 0.398 GOLD_micro -469.123 0.014 2.5 -16.001 HEATOIL 27.214 0.017 2.5 1.180 JGB-SGX-mini 103.180 0.043 2.5 11.173 JPY -112.898 0.010 2.5 -2.929 LEANHOG 76.233 0.024 2.5 4.633 LIVECOW 55.622 0.013 2.5 1.843 LUMBER-new -182.072 0.009 2.5 -3.893 MILK -121.565 0.009 2.5 -2.604 MXP 513.127 0.059 2.5 75.314 NASDAQ_micro 79.852 0.009 2.5 1.856 NIKKEI 405.355 0.043 2.5 43.895 NZD -1.897 0.010 2.5 -0.049 OAT 11.811 0.014 2.5 0.403 OATIES -118.148 0.010 2.5 -2.874 OJ 31.335 0.009 2.5 0.671 PALLAD -4.426 0.014 2.5 -0.151 PLAT 5.951 0.014 2.5 0.203 REDWHEAT -214.169 0.005 2.5 -2.841 RICE 62.724 0.010 2.5 1.526 ROBUSTA 127.189 0.005 2.5 1.485 RUSSELL -155.746 0.013 2.5 -5.161 SHATZ -637.590 0.004 2.5 -6.466 SILVER-mini -17.811 0.014 2.5 -0.608 SMI 48.167 0.014 2.5 1.643 SOFR -129.122 0.024 2.5 -7.847 SOYBEAN -198.118 0.004 2.5 -1.843 SOYMEAL -216.684 0.004 2.5 -2.015 SOYOIL -159.002 0.004 2.5 -1.480 SP400 -5.766 0.013 2.5 -0.191 SP500_micro 207.526 0.009 2.5 4.823 SUGAR11 7.414 0.009 2.5 0.158 US10 -78.956 0.005 2.5 -1.001 US10U -20.783 0.005 2.5 -0.263 US2 -211.939 0.005 2.5 -2.686 US20 -5.406 0.005 2.5 -0.068 US30 -12.479 0.005 2.5 -0.158 US5 -144.354 0.005 2.5 -1.829 VIX -231.767 0.099 2.5 -57.210 WHEAT -238.793 0.005 2.5 -3.168 ===================== Position diags ===================== AUD 3.15 BITCOIN 46.30 BOBL 1.63 BTP 2.66 BUND 0.83 BUXL 0.36 CAC 2.92 CAD 4.15 CANOLA 11.17 CHF 1.80 COCOA 1.21 COFFEE 0.46 COPPER 5.29 CORN 5.77 COTTON2 1.98 CRUDE_W 5.46 DAX 14.48 DOW 10.22 DX 3.24 EUR 2.25 EURIBOR-ICE 11.90 EUROSTX 4.63 FEEDCOW 1.88 GASOIL 1.71 GASOLINE 1.27 GAS_US_mini 25.52 GBP 3.52 GOLD_micro 12.98 HEATOIL 1.29 JGB-SGX-mini 28.63 JPY 2.45 LEANHOG 6.80 LIVECOW 3.22 LUMBER-new 6.06 MILK 2.33 MXP 40.85 NASDAQ_micro 4.06 NIKKEI 26.79 NZD 3.20 OAT 2.85 OATIES 3.89 OJ 0.96 PALLAD 0.58 PLAT 2.30 REDWHEAT 1.42 RICE 3.17 ROBUSTA 1.36 RUSSELL 11.52 SHATZ 4.79 SILVER-mini 1.88 SMI 2.03 SOFR 15.17 SOYBEAN 0.93 SOYMEAL 1.01 SOYOIL 1.16 SP400 0.60 SP500_micro 7.17 SUGAR11 2.80 US10 1.34 US10U 1.00 US2 2.36 US20 0.70 US30 0.49 US5 1.97 VIX 28.61 WHEAT 1.58 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.1 -2.4 -1.8 0.0 0 BITCOIN 49.1 44.4 53.7 30.0 30 BOBL -1.8 -2.0 -1.6 -12.0 -12 BTP 0.5 0.3 0.8 2.0 2 BUND -0.2 -0.2 -0.1 0.0 0 BUXL -0.1 -0.1 -0.1 0.0 0 CAC 2.6 2.3 2.9 11.0 11 CAD -1.9 -2.3 -1.4 -2.0 -2 CANOLA -22.3 -23.5 -21.2 -6.0 -6 CHF -3.0 -3.1 -2.8 -7.0 -7 COCOA 2.1 2.0 2.2 6.0 6 COFFEE -0.1 -0.1 -0.0 0.0 0 COPPER -3.1 -3.6 -2.6 -3.0 -3 CORN -11.5 -12.1 -11.0 -10.0 -10 COTTON2 0.5 0.3 0.7 0.0 0 CRUDE_W 4.5 4.0 5.1 1.0 1 DAX 18.6 17.1 20.0 0.0 0 DOW 2.3 1.2 3.3 2.0 2 DX 2.1 1.8 2.4 NaN 0 EUR -1.3 -1.5 -1.1 -1.0 -1 EURIBOR-ICE 2.3 1.1 3.5 3.0 3 EUROSTX 9.3 8.8 9.7 5.0 5 FEEDCOW 1.0 0.8 1.2 5.0 5 GASOIL 2.4 2.3 2.6 3.0 3 GASOLINE 0.5 0.4 0.7 3.0 3 GAS_US_mini -36.3 -38.8 -33.7 -15.0 -15 GBP 0.4 0.0 0.8 5.0 5 GOLD_micro -16.0 -17.3 -14.7 -26.0 -26 HEATOIL 1.2 1.1 1.3 0.0 0 JGB-SGX-mini 11.2 8.3 14.0 11.0 11 JPY -2.9 -3.2 -2.7 -4.0 -4 LEANHOG 4.6 4.0 5.3 0.0 0 LIVECOW 1.8 1.5 2.2 0.0 0 LUMBER-new -3.9 -4.5 -3.3 NaN 0 MILK -2.6 -2.8 -2.4 NaN 0 MXP 75.3 71.2 79.4 60.0 60 NASDAQ_micro 1.9 1.4 2.3 14.0 14 NIKKEI 43.9 41.2 46.6 34.0 34 NZD -0.0 -0.4 0.3 -1.0 -1 OAT 0.4 0.1 0.7 0.0 0 OATIES -2.9 -3.3 -2.5 NaN 0 OJ 0.7 0.6 0.8 NaN 0 PALLAD -0.2 -0.2 -0.1 -1.0 -1 PLAT 0.2 -0.0 0.4 -2.0 -2 REDWHEAT -2.8 -3.0 -2.7 -3.0 -3 RICE 1.5 1.2 1.8 NaN 0 ROBUSTA 1.5 1.3 1.6 2.0 2 RUSSELL -5.2 -6.3 -4.0 -2.0 -2 SHATZ -6.5 -6.9 -6.0 NaN 0 SILVER-mini -0.6 -0.8 -0.4 NaN 0 SMI 1.6 1.4 1.8 9.0 9 SOFR -7.8 -9.4 -6.3 NaN 0 SOYBEAN -1.8 -1.9 -1.7 -2.0 -2 SOYMEAL -2.0 -2.1 -1.9 0.0 0 SOYOIL -1.5 -1.6 -1.4 -4.0 -4 SP400 -0.2 -0.3 -0.1 0.0 0 SP500_micro 4.8 4.1 5.5 0.0 0 SUGAR11 0.2 -0.1 0.4 0.0 0 US10 -1.0 -1.1 -0.9 0.0 0 US10U -0.3 -0.4 -0.2 0.0 0 US2 -2.7 -2.9 -2.4 NaN 0 US20 -0.1 -0.1 0.0 1.0 1 US30 -0.2 -0.2 -0.1 0.0 0 US5 -1.8 -2.0 -1.6 -5.0 -5 VIX -57.2 -60.1 -54.3 -17.0 -17 WHEAT -3.2 -3.3 -3.0 -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 -0.4 -0.4 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 -0.1 0.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.2 -0.1 -0.3 -0.1 -0.7 -0.3 -0.2 0.1 BITCOIN 0.6 -0.0 0.5 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.1 -0.1 -0.2 -0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.2 0.3 0.1 -0.1 0.5 0.6 0.6 0.6 -0.2 0.1 0.4 0.3 BOBL -0.5 -0.6 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 -0.1 0.1 -0.2 -0.1 -0.7 -0.7 0.1 -0.7 BTP -0.4 -0.2 0.6 -0.0 -0.0 0.0 -0.1 -0.0 -0.0 0.0 0.2 -0.1 0.3 -0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.2 -0.0 -1.8 0.0 0.0 0.1 -0.0 0.1 -0.0 0.6 0.5 0.5 -0.0 0.3 -0.5 -0.7 0.5 0.1 BUND -0.4 -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 0.1 0.1 0.1 0.1 -0.0 0.0 -0.1 -0.0 -0.1 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.4 0.0 0.2 -0.2 -0.0 -0.7 -0.7 0.2 -0.3 BUXL -0.4 -0.4 0.6 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.2 -0.1 0.0 -0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.1 0.1 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 0.2 0.2 -0.3 0.0 -0.7 -0.7 0.1 0.2 CAC 0.4 0.1 0.4 0.1 0.0 0.2 0.1 0.1 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.1 0.2 0.2 0.2 0.4 0.2 -1.2 0.1 0.1 0.2 0.1 0.2 0.1 -0.0 -0.0 0.2 -0.4 -0.3 -0.1 0.4 0.1 0.6 CAD -0.2 -0.2 0.4 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.1 -0.0 -0.1 -0.1 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.0 0.1 0.2 0.0 -0.2 -0.6 -0.5 -0.0 -0.5 CANOLA -0.1 -0.5 -0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.3 -0.1 -0.3 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.4 -0.2 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.6 -0.6 -0.6 -0.7 -0.6 -0.4 -0.2 CHF -0.6 -0.5 0.3 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.1 -0.1 0.2 -0.2 -0.0 -0.3 -0.3 -0.3 -0.3 -0.1 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 -0.5 -0.0 0.1 -0.7 -0.6 -0.5 -0.7 COCOA 0.6 -0.2 -0.1 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.0 0.5 0.2 0.7 0.2 0.2 0.4 0.1 0.4 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 1.1 0.5 0.6 0.6 0.6 0.6 0.1 0.7 0.7 COFFEE -0.0 0.0 0.6 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 0.3 0.0 0.2 0.0 0.1 0.2 0.1 0.2 0.2 0.1 0.1 -0.0 0.2 0.0 -2.7 0.0 -0.0 0.2 -0.0 0.2 0.0 0.9 0.1 0.1 -0.5 0.6 -0.4 -0.7 -0.2 -0.4 COPPER -0.2 -0.2 0.3 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -1.5 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.0 0.2 0.5 -0.6 -0.1 0.4 0.0 CORN -0.0 -0.5 -0.4 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.3 -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 -0.3 -0.5 -0.6 -0.6 -0.6 -0.1 -0.7 -0.1 0.0 COTTON2 0.6 0.6 0.2 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.2 0.1 0.2 0.0 0.2 0.2 -0.1 -0.0 -0.1 -0.1 0.2 0.1 0.2 -0.0 0.2 -2.7 0.1 0.1 0.1 0.1 0.0 0.1 0.0 0.5 0.6 0.6 0.3 -0.5 -0.5 -0.2 0.0 CRUDE_W 0.2 0.1 -0.2 0.0 0.0 0.0 0.1 0.1 0.1 0.2 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 0.1 0.1 0.2 0.1 -0.1 0.1 -0.4 -0.6 -0.0 0.7 0.6 0.7 0.7 DAX 0.1 0.1 0.6 0.1 0.0 0.2 0.1 0.1 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.3 0.2 0.2 0.1 0.5 0.1 2.3 0.1 0.0 0.2 0.0 0.2 0.0 -0.5 -0.3 -0.3 -0.5 0.1 -0.1 0.3 0.2 0.7 DOW -0.2 0.1 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.1 0.5 0.2 -2.0 0.1 0.0 0.2 0.0 0.2 0.0 -0.4 -0.5 -0.1 0.3 0.6 -0.2 -0.1 -0.0 -0.3 DX 0.5 0.4 -0.3 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.1 0.1 -0.1 0.2 0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.1 0.1 0.2 -2.7 0.0 0.0 0.0 0.1 0.0 0.1 0.8 0.5 0.6 0.6 -0.6 0.7 0.1 0.7 0.3 EUR -0.4 -0.3 0.2 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.1 -0.2 -0.1 0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 2.3 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.4 0.1 -0.3 -0.1 -0.1 -0.7 -0.4 -0.7 -0.3 EURIBOR-ICE -0.6 -0.6 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 -0.1 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.1 1.9 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 -0.0 0.1 -0.1 0.2 -0.7 -0.7 0.2 0.7 EUROSTX 0.6 0.3 0.6 0.1 0.0 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 0.2 0.1 0.0 0.2 0.1 0.2 0.1 0.8 0.1 0.6 0.1 0.2 -0.2 0.4 -0.1 0.7 FEEDCOW 0.6 0.6 -0.3 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.0 -0.1 0.2 -0.0 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.0 0.1 0.0 0.2 -0.8 0.1 0.0 0.0 0.0 0.1 0.1 -1.1 0.4 0.6 0.6 -0.4 0.7 0.3 0.7 0.7 GASOIL 0.6 0.5 -0.2 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.2 0.2 0.3 0.2 0.1 0.4 0.4 0.4 0.4 0.2 0.1 0.1 0.3 0.2 1.1 0.1 0.0 0.1 0.0 0.1 0.1 1.1 -0.0 0.4 0.3 0.2 -0.4 -0.2 -0.7 -0.4 GASOLINE 0.4 0.4 -0.1 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.0 0.1 0.3 0.2 0.1 -0.1 0.1 -0.4 -0.1 0.1 0.1 0.2 0.2 0.2 -2.7 0.1 0.0 0.1 0.1 0.2 0.1 -0.7 0.4 0.0 -0.1 0.4 0.7 0.4 0.7 0.4 GAS_US_mini -0.6 -0.1 -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 0.0 -0.2 -0.2 -0.2 -0.1 -0.5 -0.2 2.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.5 -0.6 -0.5 -0.4 -0.5 0.0 -0.7 -0.1 GBP -0.4 -0.1 0.3 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.1 0.0 -0.1 0.4 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.1 0.2 -0.1 0.3 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.2 0.0 0.0 0.4 0.2 -0.7 -0.1 -0.7 0.2 GOLD_micro -0.3 -0.3 0.2 -0.1 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.3 -0.1 0.3 -0.2 -0.0 -0.3 -0.3 -0.3 -0.3 -0.0 0.0 -0.1 0.1 -0.1 -0.6 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.8 -0.5 -0.4 0.3 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL 0.5 0.4 -0.2 0.0 0.0 0.0 0.1 0.1 0.1 0.0 0.1 0.1 0.2 0.2 0.1 0.4 0.4 0.4 0.4 0.1 0.1 0.1 0.2 0.2 -2.7 0.1 -0.0 0.1 0.0 0.2 0.1 1.1 -0.0 0.0 0.1 0.2 0.5 0.1 0.4 -0.0 JGB-SGX-mini -0.4 -0.0 0.5 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.0 0.2 -0.0 0.0 0.0 0.3 0.1 0.2 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 0.3 0.0 0.1 -0.1 -0.1 -0.7 0.2 0.4 JPY -0.4 -0.5 0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -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 -0.2 -0.2 -0.3 -0.4 -0.5 -0.6 -0.3 -0.7 LEANHOG 0.3 0.6 0.1 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.2 -0.0 0.1 -0.5 0.2 0.1 -0.4 -0.4 -0.4 -0.4 0.1 -0.0 0.1 -0.4 0.1 2.6 0.1 0.1 0.1 0.0 -0.1 0.1 -1.1 0.3 0.6 0.6 0.6 -0.4 -0.3 0.1 0.4 LIVECOW 0.6 0.6 -0.4 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.2 -0.1 0.2 -0.0 0.2 0.1 -0.4 -0.2 -0.4 -0.3 0.2 0.0 0.2 -0.0 0.2 -0.4 0.1 0.1 0.0 0.1 0.1 0.1 -0.7 0.5 0.6 0.6 -0.6 0.6 0.0 0.7 0.3 LUMBER-new -0.0 -0.1 0.5 0.0 -0.1 0.0 -0.1 -0.1 0.0 0.2 -0.0 0.0 -0.6 -0.1 0.2 -0.4 -0.3 -0.4 -0.4 0.1 0.1 0.0 -0.1 0.0 NaN 0.1 0.1 0.2 0.0 0.1 0.0 -1.2 0.6 0.3 -0.4 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 -0.1 -0.3 0.0 -0.5 0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 -0.0 -0.5 0.0 1.4 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 -1.1 -0.1 0.5 0.1 -0.6 -0.7 -0.7 -0.7 -0.7 MXP -0.0 -0.1 0.3 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.2 0.5 0.2 0.7 0.1 0.2 0.3 0.3 0.3 0.3 0.1 0.2 0.1 0.5 0.1 -2.7 0.1 0.1 0.2 0.0 0.5 0.0 1.1 0.5 0.6 0.6 0.4 0.7 0.7 0.7 0.7 NASDAQ_micro -0.1 0.2 0.6 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 0.4 0.1 0.5 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.2 0.0 -0.4 -0.2 0.0 0.5 0.5 0.7 -0.1 0.7 -0.2 NIKKEI 0.3 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 -2.1 0.1 0.1 0.2 0.1 0.2 0.1 1.1 0.5 0.3 0.6 0.6 -0.5 -0.1 -0.1 -0.0 NZD -0.2 -0.4 0.4 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 0.0 0.0 0.0 -0.1 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.2 0.3 0.2 -0.1 0.0 -0.4 -0.3 -0.2 0.1 OAT -0.4 -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 0.1 -0.0 0.0 -0.1 0.8 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.6 0.1 0.2 -0.2 0.1 -0.7 -0.7 0.2 0.1 OATIES 0.3 0.1 -0.5 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.0 -0.3 0.1 -0.3 0.0 -0.1 0.2 -0.1 0.1 -0.0 -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 0.3 0.0 0.1 -0.5 -0.2 0.1 0.1 0.5 OJ 0.6 -0.4 -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 0.1 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 0.2 0.6 -0.1 0.0 0.2 0.3 0.4 0.7 PALLAD 0.1 -0.3 0.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.2 0.0 -0.3 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 1.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.4 -0.0 -0.0 -0.0 -0.2 -0.4 -0.3 -0.2 -0.1 PLAT -0.0 -0.4 0.1 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.1 -0.0 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 1.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.2 0.0 -0.0 0.1 0.1 -0.4 -0.2 0.7 0.1 REDWHEAT -0.2 -0.1 -0.1 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 0.1 -0.0 -0.0 -0.0 -0.2 -0.2 -0.2 -0.5 -0.2 -1.7 -0.1 -0.2 -0.2 -0.1 -0.3 -0.1 0.2 -0.5 -0.6 -0.6 -0.6 -0.6 -0.7 -0.5 -0.6 RICE 0.3 0.3 0.4 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 0.5 0.1 0.6 0.2 0.2 -0.3 -0.1 -0.3 -0.2 0.2 0.2 0.1 0.4 0.2 -2.7 0.1 -0.0 0.1 0.0 0.1 0.1 -0.2 0.5 0.6 0.2 0.5 0.1 -0.2 0.3 0.1 ROBUSTA 0.0 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 0.4 0.1 0.6 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.2 0.0 1.1 0.3 0.5 0.6 0.6 -0.6 -0.5 -0.2 0.0 RUSSELL -0.1 -0.1 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 0.0 0.1 0.0 0.1 0.0 0.0 0.1 -0.2 -0.2 -0.1 -0.7 -0.7 -0.7 -0.7 SHATZ -0.6 -0.6 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 -0.1 -0.0 -0.1 -0.1 -0.1 1.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.1 -0.1 -0.2 -0.2 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.1 -0.3 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 0.7 -0.0 0.1 -0.1 0.0 -0.0 -0.0 -0.1 0.2 0.0 0.2 0.0 -0.7 -0.6 0.4 -0.2 SMI -0.2 0.2 0.5 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.3 -0.0 0.2 -0.0 0.2 0.2 0.1 0.2 0.2 0.1 0.1 0.0 0.1 0.0 1.5 0.0 0.1 0.1 0.0 0.1 0.0 1.1 -0.4 -0.6 -0.3 -0.4 0.2 -0.2 0.4 -0.3 SOFR -0.6 -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 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.3 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 -0.1 0.0 0.1 0.1 -0.7 -0.7 -0.2 -0.1 SOYBEAN -0.1 -0.6 -0.6 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.4 -0.2 -0.1 -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 -0.1 -0.1 -0.1 -0.1 -0.1 1.1 -0.3 -0.6 -0.6 -0.6 -0.3 -0.7 -0.3 -0.7 SOYMEAL -0.1 -0.6 -0.6 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.3 -0.1 -0.2 -0.2 -0.2 -0.0 0.3 0.1 0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 1.1 -0.3 -0.6 -0.6 -0.6 -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 -0.0 -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 0.6 0.5 -0.3 -0.4 -0.3 -0.3 -0.2 -0.2 0.2 SP400 -0.1 0.1 0.6 0.0 0.0 0.1 0.0 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 -1.4 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.0 -0.2 -0.2 -0.0 -0.7 -0.3 -0.7 -0.7 SP500_micro 0.0 0.3 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.1 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 0.0 0.2 0.1 -0.5 -0.0 0.3 0.6 0.6 0.2 -0.1 0.6 -0.2 SUGAR11 0.3 0.2 -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 -0.0 0.1 0.0 -2.7 -0.0 -0.0 -0.1 -0.0 0.1 -0.0 1.1 0.0 -0.1 0.0 -0.6 0.4 -0.1 0.6 0.3 US10 -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 -0.2 -0.2 -0.2 -0.2 -0.0 0.0 -0.1 -0.1 -0.1 0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.7 -0.1 0.0 0.1 0.0 -0.7 -0.7 -0.6 0.3 US10U -0.4 -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 -0.0 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 -0.1 0.1 0.1 0.0 -0.7 -0.7 0.3 0.6 US2 -0.6 -0.2 0.6 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.2 -0.1 0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.0 -0.1 -0.1 -0.1 1.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.1 -0.2 0.1 0.0 -0.7 -0.7 -0.5 -0.7 US20 -0.4 -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 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 0.1 0.1 -0.7 -0.7 0.7 0.7 US30 -0.3 -0.3 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 -0.1 -0.2 -0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.5 -0.0 0.2 0.1 0.0 -0.5 -0.6 0.7 0.7 US5 -0.6 -0.2 0.6 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.0 -0.1 -0.1 -0.1 0.5 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.9 -0.1 -0.1 0.1 0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.4 0.0 -0.8 -0.1 0.0 -0.4 0.0 -0.7 -0.1 0.1 -0.9 0.0 -1.2 -0.2 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 0.0 -0.9 -0.1 NaN -0.1 0.0 -0.5 0.0 -0.9 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.4 -0.2 0.2 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.5 -0.2 -0.2 -0.1 -0.2 -0.1 -0.2 -0.2 -0.1 -0.7 -0.5 -0.6 -0.6 -0.5 -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 -11.5 -13.8 9.8 -1.1 -1.4 2.4 -4.5 3.2 -4.6 13.6 -3.6 -6.4 -8.6 -15.6 -4.0 -2.8 -2.8 -2.7 -2.7 -7.3 -2.1 -5.7 -4.4 -11.3 2.5 -3.1 1.4 -0.6 -3.0 -1.3 -5.2 -1.2 8.2 -3.3 -10.2 -4.4 -20.0 -10.2 -7.4 2.0 BITCOIN 18.4 -0.7 14.8 -5.8 6.5 -4.2 -0.2 -2.0 -4.7 20.0 20.0 20.0 20.0 18.1 20.0 -7.5 -6.5 -7.7 -7.5 20.0 20.0 20.0 20.0 20.0 -20.0 7.5 12.6 8.0 14.1 7.0 10.0 -1.6 20.0 20.0 20.0 20.0 -5.8 4.3 10.7 8.7 BOBL -15.8 -19.8 20.0 -0.2 -2.1 0.6 -2.6 -0.5 -2.0 -6.8 1.9 -7.4 -0.8 -7.5 -0.2 -20.0 -16.4 -20.0 -20.0 -2.2 1.7 -8.8 -0.7 -7.3 6.2 -0.6 -2.9 0.8 -3.1 0.1 -2.4 -20.0 -2.5 1.6 -6.7 -2.2 -20.0 -20.0 1.9 -20.0 BTP -10.9 -5.5 20.0 -0.4 -3.8 1.1 -4.7 -0.8 -3.6 5.4 8.9 -5.7 8.4 -9.7 8.0 4.6 6.6 5.0 5.5 6.5 12.0 -1.5 7.6 -1.3 -13.7 2.5 1.0 4.6 -0.5 3.2 -0.5 11.9 18.8 13.9 -0.3 8.9 -16.3 -20.0 15.2 1.8 BUND -13.1 -15.5 20.0 -0.2 -2.4 0.7 -3.0 -0.5 -2.3 -7.3 2.7 -8.1 -0.8 -8.5 1.2 4.8 4.5 4.0 3.3 -0.8 2.9 -6.7 -0.6 -5.8 4.2 -0.2 -2.3 1.2 -2.5 0.2 -2.0 7.9 1.8 5.1 -6.9 -0.5 -20.0 -20.0 4.8 -9.5 BUXL -11.8 -12.2 20.0 -0.3 -3.0 0.9 -3.7 -0.7 -2.9 -3.4 3.2 -9.0 -4.3 -10.6 2.0 -0.1 0.5 0.0 0.3 -0.4 2.9 -4.3 -3.1 -5.3 0.5 0.1 -0.7 1.3 -1.5 -0.3 -1.7 2.3 8.5 7.1 -8.4 1.1 -20.0 -20.0 4.1 4.6 CAC 13.0 2.1 12.9 7.3 5.0 6.0 6.6 3.9 7.1 20.0 19.4 20.0 20.0 20.0 20.0 -8.2 -5.4 -8.4 -7.5 18.7 15.6 20.0 14.5 19.5 -9.2 7.2 8.1 6.0 7.8 4.9 7.5 -0.1 -0.1 5.9 -11.5 -8.3 -1.8 11.2 2.3 17.5 CAD -5.5 -5.4 11.0 -1.3 -1.7 2.9 -5.4 3.9 -5.6 6.5 -0.8 -5.8 -3.4 -14.9 3.2 -1.9 -2.1 -2.0 -2.1 -0.7 1.4 -4.8 -2.6 -5.3 0.8 -0.4 -0.6 0.9 -3.8 -1.4 -3.7 0.0 3.1 7.2 0.5 -6.1 -19.0 -15.3 -0.7 -14.3 CANOLA -4.3 -15.0 -20.0 1.6 -3.2 0.2 -1.8 -1.3 0.9 -4.5 -10.6 -9.2 -9.1 -10.4 -10.9 -11.1 -2.8 -10.7 -8.5 -19.0 -19.6 -13.6 -16.3 -16.1 -20.0 -4.1 -2.4 -4.2 -3.1 -3.7 -3.6 -3.3 -4.5 -20.0 -20.0 -20.0 -20.0 -18.2 -12.6 -5.6 CHF -20.0 -15.9 8.6 -0.9 -1.2 2.1 -3.8 2.8 -3.9 -6.8 2.2 -12.7 6.3 -14.2 -1.8 -14.2 -15.4 -15.3 -15.5 -7.3 1.3 -19.0 3.9 -17.5 -4.9 -1.2 -3.9 1.5 -6.5 1.8 -5.3 -20.0 -20.0 -15.5 -0.7 2.6 -20.0 -17.4 -13.6 -20.0 COCOA 20.0 -7.4 -3.4 2.9 -5.7 0.4 -3.2 -2.3 1.7 3.8 20.0 15.3 20.0 18.4 19.8 20.0 6.0 18.5 11.5 20.0 20.0 20.0 20.0 20.0 -20.0 6.7 0.2 5.9 5.5 5.3 7.3 20.0 20.0 20.0 20.0 20.0 18.8 3.0 20.0 20.0 COFFEE -0.2 0.5 18.4 2.7 -5.4 0.4 -3.0 -2.2 1.6 -5.2 9.9 0.6 4.3 0.4 9.0 11.1 5.7 9.6 7.5 8.6 11.3 -2.5 6.0 2.4 -20.0 3.6 -2.7 6.5 -2.0 5.0 0.0 17.5 5.0 2.5 -14.1 20.0 -10.6 -20.0 -7.1 -10.8 COPPER -6.1 -6.6 8.5 -4.7 5.3 -3.4 -0.1 -1.6 -3.8 11.0 -3.0 -7.2 -6.2 -11.0 -0.1 -5.8 -5.0 -6.2 -5.9 -3.6 -1.2 -0.8 -3.2 -6.8 -11.4 -2.6 10.4 -0.8 -0.3 -1.2 -4.1 1.1 -4.2 -0.4 4.7 14.3 -17.5 -4.2 13.0 0.4 CORN -1.5 -14.9 -11.8 3.7 -7.3 0.6 -4.1 -2.9 2.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -16.4 -4.8 -13.1 -10.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.6 -13.0 -7.4 -11.3 -6.2 -9.3 -6.3 -20.0 -20.0 -20.0 -20.0 -4.5 -20.0 -2.0 0.6 COTTON2 20.0 20.0 4.8 3.7 -7.3 0.6 -4.1 -2.9 2.1 18.6 4.0 20.0 0.2 20.0 18.2 -4.0 -1.9 -6.1 -5.2 20.0 11.4 20.0 -0.9 20.0 -20.0 7.4 9.2 3.5 11.3 1.2 10.4 0.1 20.0 20.0 20.0 8.8 -16.3 -14.8 -7.4 0.6 CRUDE_W 7.5 1.8 -6.8 4.2 2.1 1.4 5.2 1.8 6.8 20.0 4.3 12.6 6.9 11.5 -5.0 8.5 9.4 8.1 8.6 2.9 2.2 12.3 8.0 8.9 -4.7 2.3 8.3 2.0 7.6 6.4 5.6 -1.1 3.0 -13.2 -17.9 -0.8 20.0 18.3 20.0 20.0 DAX 1.9 1.8 20.0 7.1 4.9 5.8 6.4 3.8 6.9 16.4 20.0 18.1 20.0 18.0 20.0 -16.1 -11.0 -15.1 -13.2 18.7 20.0 9.7 17.0 12.1 17.2 7.0 5.0 7.4 3.9 5.6 4.6 -9.7 -11.9 -10.0 -14.1 2.4 -2.1 10.0 6.0 20.0 DOW -7.6 4.0 20.0 6.1 4.2 5.0 5.6 3.3 6.0 10.1 20.0 14.6 18.5 16.8 20.0 -13.1 -10.4 -12.6 -11.7 20.0 20.0 9.0 20.0 16.5 -14.7 7.2 1.3 7.6 2.1 5.8 4.4 -8.0 -20.0 -2.1 9.0 20.0 -7.1 -4.1 -0.2 -10.2 DX 14.4 12.4 -9.1 -1.1 -1.4 2.4 -4.5 3.2 -4.6 -6.4 4.6 10.3 -2.6 16.3 2.2 5.8 6.0 5.9 6.1 8.0 2.2 10.8 2.6 14.2 -20.0 2.7 0.4 0.3 5.1 1.3 5.9 14.1 20.0 20.0 20.0 -20.0 20.0 2.6 20.0 8.6 EUR -13.2 -10.4 4.6 -1.2 -1.6 2.7 -5.1 3.7 -5.2 9.2 -5.6 -11.8 2.9 -18.1 -5.0 -6.1 -6.6 -6.1 -6.2 -9.3 -3.3 -9.4 -2.2 -14.2 16.9 -3.2 0.4 -0.3 -4.7 -0.3 -6.3 -7.3 3.0 -9.2 -2.5 -3.7 -20.0 -13.3 -20.0 -10.2 EURIBOR-ICE -19.7 -20.0 20.0 -0.2 -2.1 0.6 -2.6 -0.5 -2.0 -6.6 4.8 -7.1 2.9 -6.8 3.1 2.1 -3.8 0.9 -1.5 1.6 7.5 -7.8 4.4 -5.5 14.5 0.7 -2.3 2.5 -2.4 1.6 -1.6 -3.6 -1.7 2.2 -2.9 6.5 -20.0 -20.0 6.6 20.0 EUROSTX 19.2 7.9 18.8 7.1 4.9 5.9 6.5 3.8 6.9 19.0 20.0 20.0 20.0 20.0 20.0 10.6 1.8 8.1 4.2 20.0 20.0 20.0 20.0 20.0 1.8 7.9 5.0 6.5 6.7 4.9 7.9 15.4 4.4 20.0 3.3 4.9 -6.1 12.1 -3.7 20.0 FEEDCOW 20.0 20.0 -10.0 3.4 -6.8 0.5 -3.8 -2.7 2.0 3.2 -3.0 17.7 -1.1 20.0 14.6 -20.0 -20.0 -20.0 -20.0 20.0 4.4 15.7 0.6 20.0 -6.1 5.2 1.1 1.7 3.0 2.4 6.3 -20.0 16.2 20.0 20.0 -13.1 20.0 9.4 20.0 20.0 GASOIL 20.0 14.4 -7.0 3.5 1.7 1.2 4.3 1.5 5.6 8.9 8.4 14.6 8.8 16.5 8.9 20.0 20.0 20.0 20.0 15.2 9.1 15.2 10.9 20.0 7.9 5.0 0.4 3.3 4.6 3.6 6.6 20.0 -0.6 13.0 8.0 7.2 -11.9 -4.8 -20.0 -10.9 GASOLINE 11.8 12.3 -4.1 4.0 2.0 1.4 4.9 1.7 6.4 9.9 1.2 13.8 7.3 16.5 13.3 -6.0 7.0 -17.5 -7.2 12.7 5.8 16.8 7.1 18.6 -20.0 5.0 3.6 2.5 6.8 4.4 7.4 -13.4 15.3 0.3 -2.9 10.9 20.0 13.3 20.0 11.7 GAS_US_mini -17.0 -3.9 -20.0 1.7 0.8 0.6 2.1 0.7 2.7 -7.6 -9.1 -9.2 -9.9 -9.4 -9.4 -3.2 -17.6 2.2 -9.2 -14.6 -15.7 -14.4 -18.8 -14.6 15.3 -3.2 -2.9 -3.1 -4.0 -2.6 -3.6 -20.0 -20.0 -20.0 -15.5 -13.4 -14.1 0.7 -20.0 -3.6 GBP -11.1 -1.7 10.3 -1.3 -1.7 3.0 -5.5 4.0 -5.7 6.3 1.3 -9.6 10.3 -10.5 13.2 -0.4 -0.6 -0.3 -0.4 1.1 6.2 -7.8 5.6 -6.8 2.5 1.5 -1.7 4.1 -4.4 2.5 -3.3 2.9 1.9 0.9 12.6 7.6 -20.0 -3.5 -20.0 5.9 GOLD_micro -7.8 -8.9 7.4 -5.0 5.7 -3.6 -0.1 -1.8 -4.1 -7.9 9.7 -13.7 7.5 -15.4 -0.7 -15.3 -14.3 -14.9 -14.7 -3.9 3.2 -16.0 5.1 -12.5 -4.8 -1.0 -5.8 2.2 -9.3 3.2 -6.0 -14.6 -20.0 -12.0 10.4 17.0 -20.0 -20.0 -20.0 -14.4 HEATOIL 15.8 12.0 -6.5 4.0 2.0 1.3 4.9 1.7 6.3 2.2 5.4 9.8 6.6 15.9 7.0 20.0 20.0 20.0 20.0 11.4 5.9 9.4 8.9 16.6 -20.0 5.3 -1.8 3.8 3.2 5.4 6.3 20.0 -0.3 0.0 4.2 7.4 13.8 3.1 12.3 -1.0 JGB-SGX-mini -12.4 -0.5 16.0 -0.2 -2.0 0.6 -2.5 -0.4 -1.9 1.2 4.2 -3.7 4.9 -3.6 4.4 0.6 16.3 6.7 11.2 1.6 3.5 -1.9 2.9 -1.7 -4.0 0.5 -0.3 1.1 -1.0 0.4 -1.0 20.0 10.8 0.9 4.3 -2.5 -3.6 -20.0 5.4 11.8 JPY -10.9 -15.7 13.3 -0.7 -0.8 1.5 -2.8 2.0 -2.8 -7.5 -9.5 -10.1 -10.7 -11.4 -9.0 -15.1 -16.0 -15.5 -16.0 -10.0 -9.1 -11.2 -13.4 -12.5 20.0 -3.0 -2.8 -2.7 -4.2 -4.3 -4.2 -20.0 -8.5 -5.5 -10.8 -11.1 -14.9 -18.3 -10.0 -20.0 LEANHOG 9.3 20.0 4.0 3.8 -7.4 0.6 -4.2 -3.0 2.1 18.2 -1.2 7.5 -14.2 15.1 12.6 -20.0 -19.5 -20.0 -20.0 11.2 -1.2 11.7 -15.6 13.1 19.6 6.8 6.5 3.6 3.7 -2.7 5.1 -20.0 11.4 20.0 20.0 20.0 -11.7 -8.4 3.6 11.7 LIVECOW 20.0 20.0 -12.8 3.5 -6.9 0.5 -3.9 -2.7 2.0 16.7 -3.0 19.8 -1.0 20.0 8.2 -20.0 -9.5 -18.2 -14.2 19.7 0.0 20.0 -1.1 20.0 -3.1 4.6 5.9 0.7 6.7 2.0 7.9 -12.7 20.0 20.0 20.0 -20.0 18.6 0.9 20.0 8.2 LUMBER-new -0.8 -1.8 13.0 3.9 -7.8 0.7 -4.4 -2.4 2.3 20.0 -0.1 3.0 -14.8 -4.1 12.5 -18.8 -15.0 -16.3 -15.4 5.5 5.9 1.8 -2.6 0.7 NaN 4.6 5.2 5.2 1.8 1.5 1.5 -19.5 20.0 7.4 -10.8 20.0 -10.1 -20.0 -7.2 -17.6 MILK 20.0 20.0 -4.6 2.1 -4.1 0.3 -2.3 -1.6 1.2 -12.1 -11.3 2.2 -13.3 3.2 -7.9 -20.0 -20.0 -20.0 -20.0 -4.3 -13.5 -2.9 -20.0 1.8 10.4 -0.5 -3.7 -4.2 -0.4 -6.8 1.7 -20.0 -2.9 14.4 1.9 -20.0 -20.0 -20.0 -20.0 -20.0 MXP -0.5 -2.3 8.7 -1.2 -1.6 2.8 -5.2 3.8 -5.4 18.1 18.0 16.8 20.0 5.3 17.7 16.1 16.5 15.8 15.6 10.5 16.4 7.3 20.0 6.4 -20.0 5.8 6.6 8.9 4.5 13.9 3.7 20.0 20.0 20.0 19.3 11.0 20.0 20.0 20.0 20.0 NASDAQ_micro -2.9 5.2 20.0 4.5 3.1 3.7 4.1 2.4 4.4 -0.9 14.7 9.0 14.4 12.9 14.9 -11.6 -9.8 -11.5 -10.8 20.0 20.0 8.5 20.0 16.4 -20.0 5.4 -0.1 5.8 1.7 5.4 3.7 -6.8 -7.1 0.9 16.6 15.3 19.7 -3.5 20.0 -5.6 NIKKEI 9.4 20.0 16.9 6.4 6.1 5.3 6.3 3.4 6.3 19.1 20.0 20.0 20.0 20.0 20.0 18.1 13.1 16.7 14.5 20.0 20.0 20.0 20.0 20.0 -15.8 7.5 7.2 6.3 7.5 5.3 7.5 20.0 20.0 10.0 20.0 17.0 -16.5 -3.9 -3.8 -1.4 NZD -6.6 -12.4 12.3 -0.9 -1.2 2.0 -3.8 2.7 -3.9 5.8 1.8 1.5 0.2 -10.8 3.0 0.6 0.3 0.4 0.3 -1.4 2.0 -0.3 -0.3 -3.9 0.2 -0.5 2.3 1.5 -0.4 0.6 -2.1 4.1 14.3 5.3 -2.3 1.2 -10.8 -9.7 -4.6 3.8 OAT -13.1 -13.5 20.0 -0.3 -2.7 0.8 -3.3 -0.6 -2.6 -5.6 3.9 -8.2 -0.0 -9.2 2.6 4.8 6.5 5.0 5.4 0.6 4.9 -5.5 0.8 -5.1 5.8 0.3 -1.4 1.9 -2.0 0.7 -1.8 11.8 5.3 6.8 -6.4 2.0 -20.0 -20.0 7.0 3.3 OATIES 8.9 2.3 -14.9 1.9 -3.7 0.3 -2.1 -1.5 1.1 4.8 -10.4 5.7 -8.3 1.4 -6.3 9.9 -3.8 3.7 -2.0 -4.1 -9.4 1.7 -8.0 1.3 -20.0 -0.2 -0.6 -2.9 1.0 -2.9 1.6 -0.1 11.2 0.3 2.3 -14.3 -5.3 2.6 2.7 13.7 OJ 20.0 -11.8 -20.0 1.9 -3.8 0.3 -2.1 -1.5 1.1 4.5 5.5 7.5 9.1 7.1 -0.3 7.4 16.5 8.8 12.9 6.2 7.5 11.4 15.8 11.3 -20.0 2.1 2.8 3.4 2.6 6.8 2.9 20.0 8.1 20.0 -2.5 0.2 6.5 10.4 12.5 20.0 PALLAD 4.5 -10.6 8.6 -1.8 2.1 -1.3 -0.1 -0.6 -1.5 5.4 -6.8 0.2 -7.9 -5.9 -6.2 -1.8 -2.2 -1.8 -2.0 -6.2 -7.6 -0.0 -10.2 -4.2 8.2 -1.9 2.2 -2.8 -0.0 -3.6 -1.4 6.9 -1.5 -1.5 -0.8 -5.9 -10.7 -8.1 -6.6 -3.4 PLAT -1.0 -13.1 3.0 -2.9 3.3 -2.1 -0.1 -1.0 -2.4 8.8 -5.3 -3.6 -7.3 -9.8 -5.5 -4.0 -3.2 -3.9 -3.6 -5.7 -4.3 -0.8 -4.2 -5.5 10.8 -2.3 3.4 -1.3 -0.4 -0.9 -2.5 4.6 1.4 -0.9 1.6 3.4 -11.4 -4.6 19.9 3.5 REDWHEAT -6.4 -4.6 -3.9 3.0 -5.9 0.5 -3.3 -2.4 1.7 -18.2 -20.0 -18.9 -19.8 -17.4 -17.0 3.6 -0.8 -0.0 -1.3 -20.0 -20.0 -20.0 -20.0 -20.0 -12.4 -6.2 -17.3 -7.3 -13.7 -7.8 -8.4 4.4 -20.0 -20.0 -20.0 -20.0 -19.4 -20.0 -16.2 -19.1 RICE 9.4 9.1 11.0 3.0 -5.9 0.5 -3.3 -2.4 1.7 -10.7 18.5 10.5 16.4 14.2 18.0 -13.1 -2.9 -13.9 -10.1 20.0 18.7 7.8 14.2 17.6 -20.0 5.7 -3.3 4.7 2.9 3.6 5.9 -3.5 19.8 20.0 4.8 15.1 3.6 -6.3 10.5 2.4 ROBUSTA 1.1 20.0 20.0 2.3 -4.6 0.4 -2.6 -1.8 1.3 -2.9 15.2 5.3 15.3 12.4 15.0 20.0 20.0 20.0 20.0 20.0 20.0 5.3 20.0 18.7 -20.0 5.6 -0.2 6.3 0.9 5.5 3.1 20.0 12.3 16.5 20.0 20.0 -18.1 -16.1 -7.5 1.1 RUSSELL -3.8 -2.6 18.1 3.5 2.4 2.9 3.2 1.9 3.4 7.3 6.3 6.8 3.7 1.5 7.3 -6.1 -6.2 -6.3 -6.4 5.8 5.5 8.2 2.5 5.6 -2.0 3.1 3.7 2.9 3.4 1.7 2.7 0.1 2.9 -5.4 -7.2 -2.4 -20.0 -20.0 -20.0 -20.0 SHATZ -19.1 -20.0 20.0 -0.2 -2.0 0.6 -2.5 -0.4 -1.9 -6.9 -0.9 -7.5 -4.5 -7.5 -3.0 -20.0 -20.0 -20.0 -20.0 -4.8 -1.1 -12.1 -3.6 -10.1 7.9 -1.0 -3.5 0.2 -3.7 -0.6 -2.9 -20.0 -6.2 -3.4 -7.2 -4.8 -20.0 -20.0 -8.1 -20.0 SILVER-mini 2.7 -10.7 -1.0 -4.1 4.6 -3.0 -0.1 -1.4 -3.3 13.1 -5.4 3.0 -2.6 -9.6 -11.6 -6.7 -6.6 -6.9 -6.8 -6.8 -5.7 5.1 -3.3 -3.7 5.4 -3.2 11.4 -2.6 3.1 -1.1 -1.5 -1.1 9.6 1.3 4.8 1.0 -20.0 -17.4 12.1 -5.9 SMI -5.4 5.0 14.1 5.9 4.1 4.9 5.4 3.2 5.8 15.8 9.7 -3.5 4.9 -3.7 14.0 10.9 5.8 10.3 8.0 6.7 6.6 3.3 2.4 1.9 11.0 4.3 6.3 4.7 1.8 1.9 1.3 20.0 -18.3 -20.0 -8.7 -13.7 4.9 -6.1 12.8 -7.6 SOFR -17.2 -11.4 17.0 -0.2 -2.3 0.7 -2.9 -0.5 -2.2 -5.8 3.8 -7.2 0.1 -7.0 3.2 1.7 0.3 1.6 0.9 -1.4 1.5 -9.6 -0.6 -6.9 -2.0 0.5 -3.7 1.5 -3.9 0.3 -2.2 2.5 -5.4 0.2 2.5 2.2 -20.0 -20.0 -5.9 -2.9 SOYBEAN -3.5 -20.0 -17.5 3.1 -6.1 0.5 -3.4 -2.4 1.8 -13.1 -14.1 -18.4 -1.4 -20.0 -20.0 6.7 15.1 9.8 11.8 -20.0 -20.0 -20.0 -11.6 -20.0 -20.0 -6.9 -6.5 -4.4 -7.3 -1.7 -7.4 20.0 -10.7 -20.0 -20.0 -19.5 -9.2 -20.0 -8.8 -20.0 SOYMEAL -3.8 -20.0 -20.0 2.2 -4.3 0.3 -2.4 -1.7 1.2 -8.8 -12.6 -12.5 -6.2 -14.2 -14.7 -2.2 12.6 3.7 8.2 -20.0 -16.7 -17.7 -7.1 -20.0 -20.0 -4.9 -2.2 -3.3 -3.8 -0.7 -4.7 20.0 -13.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 3.4 -4.8 -15.3 2.1 -4.2 0.3 -2.3 -1.7 1.2 -5.1 -11.7 -0.2 -9.3 -4.7 -10.0 -5.6 4.5 -3.6 0.3 -11.5 -15.1 -4.0 -13.0 -5.6 -20.0 -2.9 -5.1 -4.1 -1.8 -3.8 -1.4 11.0 20.0 -10.3 -13.2 -9.9 -10.2 -4.7 -5.4 6.0 SP400 -2.6 2.5 20.0 4.4 3.0 3.6 4.0 2.4 4.3 9.7 11.2 10.1 8.3 8.3 12.6 -5.8 -5.3 -5.7 -5.5 10.9 10.3 11.5 6.2 9.5 -10.6 4.4 4.8 4.3 4.4 2.9 3.8 1.8 2.1 -6.7 -6.5 -1.3 -20.0 -9.0 -20.0 -20.0 SP500_micro 0.9 9.9 20.0 5.7 4.0 4.7 5.2 3.1 5.6 10.4 18.8 15.9 17.4 17.8 19.7 -12.9 -11.0 -12.6 -12.0 20.0 20.0 16.9 20.0 20.0 -20.0 6.9 1.9 6.7 3.5 5.3 5.4 -8.7 -1.9 9.9 19.9 18.4 5.8 -3.5 18.8 -6.0 SUGAR11 8.8 7.7 -20.0 2.5 -5.0 0.4 -2.8 -2.0 1.4 -8.7 -3.8 -6.1 7.6 8.6 -3.3 20.0 19.8 20.0 20.0 -1.7 -5.3 -5.0 3.6 2.0 -20.0 -2.7 -3.8 -3.2 -2.7 1.4 -1.1 20.0 1.3 -1.8 1.2 -20.0 10.7 -2.1 17.7 8.6 US10 -15.6 -6.1 18.7 -0.2 -2.1 0.6 -2.6 -0.5 -2.0 -5.7 1.8 -6.9 -2.3 -6.5 3.1 -9.1 -8.0 -9.1 -8.6 -1.2 0.3 -8.4 -3.5 -5.9 1.7 0.6 -3.3 1.1 -3.4 -0.7 -1.8 -12.9 -3.9 0.7 2.8 1.4 -20.0 -20.0 -16.9 8.0 US10U -13.5 -6.6 18.2 -0.3 -2.9 0.9 -3.6 -0.6 -2.8 -8.5 1.6 -9.8 -3.1 -9.4 3.8 -0.8 0.5 0.7 0.8 -1.8 -0.1 -11.1 -5.4 -7.9 -1.0 0.8 -4.5 1.3 -4.5 -1.1 -2.3 2.5 -5.2 2.8 3.3 1.5 -20.0 -20.0 8.7 18.9 US2 -20.0 -5.9 20.0 -0.2 -2.0 0.6 -2.4 -0.4 -1.9 -5.7 0.5 -6.6 -4.6 -6.0 0.5 -20.0 -20.0 -20.0 -20.0 -2.3 -0.4 -10.0 -4.6 -7.3 8.7 0.2 -3.6 1.1 -3.7 -0.7 -2.2 -20.0 -4.9 -5.2 2.3 0.4 -20.0 -20.0 -15.0 -20.0 US20 -11.9 -6.3 19.8 -0.2 -2.2 0.6 -2.7 -0.5 -2.1 -6.5 1.8 -7.0 -1.6 -6.7 3.3 -0.0 -1.0 -0.2 -0.6 -0.4 0.7 -7.4 -3.8 -5.1 -1.3 1.0 -2.8 1.1 -2.7 -0.8 -1.2 -0.4 -2.5 3.8 3.1 3.2 -20.0 -20.0 20.0 20.0 US30 -7.9 -8.0 17.4 -0.2 -2.6 0.8 -3.2 -0.6 -2.5 -7.4 1.0 -8.3 -3.2 -8.3 3.0 -9.7 -5.7 -8.3 -7.0 -1.4 -0.5 -7.4 -5.8 -5.7 -0.8 0.9 -2.9 0.9 -3.0 -1.5 -1.4 -9.3 -0.0 6.3 1.7 0.9 -15.8 -18.0 20.0 20.0 US5 -18.3 -7.2 19.8 -0.2 -2.1 0.6 -2.6 -0.4 -2.0 -5.6 2.2 -6.7 -2.7 -6.1 2.5 -9.7 -10.3 -10.0 -10.4 -1.6 0.4 -9.1 -3.0 -6.6 3.7 0.4 -3.5 1.2 -3.6 -0.3 -2.0 -16.5 -4.6 -1.8 2.6 1.2 -20.0 -20.0 -20.0 -7.0 VIX 8.1 0.3 -16.0 -6.8 1.2 -9.6 0.5 -13.0 -3.0 4.2 -20.0 1.1 -20.0 -14.0 -20.0 -20.0 -20.0 -20.0 -20.0 -18.1 -20.0 1.3 -20.0 -6.1 NaN -7.7 1.4 -11.7 0.9 -16.1 -2.9 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -11.2 -5.8 6.6 3.2 -6.2 0.5 -3.5 -2.5 1.8 -19.1 -20.0 -20.0 -20.0 -20.0 -15.0 -11.5 -10.8 -11.4 -11.2 -18.1 -19.3 -20.0 -20.0 -20.0 -1.7 -5.7 -20.0 -4.8 -15.6 -5.8 -9.6 -12.5 -20.0 -20.0 -20.0 -15.2 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3