******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240222_204030 produced at 2024-02-22 21:38:00.760094 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.73 0.0 0.00 0.00 0.00 0.00 -9.68 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 -58.63 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.26 0.0 0.00 0.00 0.00 0.00 -7.34 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.20 0.0 0.00 0.00 0.00 0.00 -3.12 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.40 -0.15 0.0 0.58 -0.58 -0.40 -0.40 -3.30 13.0 -9 -9 caleb_strategy_v3 GOLD_micro False False 0.01 -0.19 -0.10 0.0 0.36 -0.36 -0.19 -0.19 -15.95 56.0 -30 -30 caleb_strategy_v3 JPY False False 0.03 -0.10 -0.09 0.0 0.44 -0.44 -0.10 -0.10 -3.59 17.0 -4 -4 caleb_strategy_v3 BOBL False True 0.04 -0.51 -0.08 0.0 0.00 -0.51 -0.51 -0.51 -2.10 19.0 -13 -13 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.08 0.0 0.09 -0.09 -0.07 -0.07 -11.59 12.0 -10 -10 caleb_strategy_v3 US5 False False 0.03 -0.20 -0.07 0.0 0.83 -0.83 -0.20 -0.30 -2.16 25.0 -6 -9 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.14 -0.14 -0.02 -0.02 -23.21 51.0 -6 -6 caleb_strategy_v3 CAD False False 0.02 0.00 -0.05 0.0 0.68 -0.68 0.00 0.00 -2.26 29.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.05 0.0 0.04 -0.04 -0.03 -0.03 -34.89 26.0 -18 -18 caleb_strategy_v3 AUD False False 0.02 0.00 -0.04 0.0 0.39 -0.39 0.00 0.00 -1.85 19.0 0 0 caleb_strategy_v3 US10 False False 0.03 0.00 -0.04 0.0 0.59 -0.59 0.00 0.00 -1.21 17.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.13 -0.13 -0.04 -0.04 -1.90 7.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.07 -0.07 -0.03 -0.03 -2.99 8.0 -3 -3 caleb_strategy_v3 EUR False False 0.04 0.00 -0.03 0.0 0.60 -0.60 0.00 0.00 -0.77 14.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -3.30 9.0 -4 -4 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.03 0.0 0.18 -0.18 -0.03 -0.03 -0.95 6.0 -1 -1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.85 2.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.02 0.0 0.06 -0.06 0.00 0.00 -2.20 5.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.02 0.0 0.21 -0.21 0.00 0.00 -6.83 68.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.08 9.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.02 0.0 0.18 -0.18 0.00 0.00 -0.20 2.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.05 -0.02 0.0 0.09 -0.09 -0.05 -0.05 -2.01 10.0 -6 -6 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -2.84 3.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.59 0.0 0 0 caleb_strategy_v3 BUXL False True 0.05 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.12 4.0 0 0 caleb_strategy_v3 BUND False True 0.05 -0.05 -0.01 0.0 0.00 -0.05 -0.05 -0.05 -0.27 10.0 -1 -1 caleb_strategy_v3 US10U False False 0.04 0.00 -0.01 0.0 0.46 -0.46 0.00 0.00 -0.38 13.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.01 0.0 0.24 -0.24 0.00 0.00 -0.19 6.0 0 0 caleb_strategy_v3 OAT False True 0.04 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.09 10.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.00 -0.00 0.0 0.33 -0.33 0.00 0.00 -0.12 9.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.08 6.0 0 0 caleb_strategy_v3 PLAT False False 0.01 -0.01 0.00 0.0 0.14 -0.14 -0.01 -0.01 0.08 10.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.31 18.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.00 0.0 0.06 -0.06 -0.03 -0.03 -0.12 2.0 -1 -1 caleb_strategy_v3 BTP False True 0.04 0.08 0.01 0.0 0.08 0.00 0.08 0.08 0.20 10.0 2 2 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.22 -0.22 0.03 0.03 1.36 23.0 3 3 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.77 3.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.02 0.01 0.0 0.41 -0.41 0.02 0.04 1.16 66.0 3 7 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.16 0.01 0.0 0.26 -0.26 0.16 0.18 1.10 23.0 14 16 caleb_strategy_v3 COTTON2 False False 0.01 0.00 0.01 0.0 0.16 -0.16 0.00 0.00 0.82 11.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.02 0.0 0.05 -0.05 0.00 0.00 1.32 4.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.02 0.0 0.13 -0.13 0.13 0.13 0.64 4.0 4 4 caleb_strategy_v3 NZD False False 0.02 0.10 0.02 0.0 0.41 -0.41 0.10 0.10 1.03 21.0 5 5 caleb_strategy_v3 SP500_micro False False 0.01 0.02 0.03 0.0 0.38 -0.38 0.02 0.02 4.09 48.0 3 3 caleb_strategy_v3 GBP False False 0.02 0.12 0.03 0.0 0.55 -0.55 0.12 0.12 1.04 22.0 5 5 caleb_strategy_v3 HEATOIL False False 0.03 0.00 0.04 0.0 0.10 -0.10 0.00 0.00 1.07 3.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.11 0.04 0.0 0.49 -0.49 0.11 0.09 2.21 26.0 6 5 caleb_strategy_v3 FEEDCOW False False 0.04 0.21 0.05 0.0 0.34 -0.34 0.21 0.21 1.17 8.0 5 5 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.05 0.0 0.10 -0.10 0.03 0.03 2.11 4.0 1 1 caleb_strategy_v3 DX False False 0.03 0.00 0.06 0.0 999.00 -999.00 0.00 0.00 1.74 999999999.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.00 0.07 0.0 0.16 -0.16 0.00 0.01 5.73 13.0 0 1 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.07 0.0 0.39 -0.39 0.00 0.00 2.84 17.0 0 0 caleb_strategy_v3 CAC False False 0.03 0.32 0.09 0.0 0.32 -0.32 0.32 0.32 3.46 12.0 12 12 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.09 0.0 0.00 0.00 0.00 0.00 52.96 59.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.17 0.10 0.0 0.83 -0.83 0.17 0.33 1.16 10.0 2 4 caleb_strategy_v3 SMI False True 0.04 0.28 0.11 0.0 0.28 0.00 0.28 0.28 2.63 9.0 7 7 caleb_strategy_v3 DAX False False 0.01 0.00 0.12 0.0 0.34 -0.34 0.00 0.00 19.64 58.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.13 0.0 0.12 -0.12 0.05 0.05 5.81 5.0 2 2 caleb_strategy_v3 EUROSTX False False 0.02 0.15 0.15 0.0 0.33 -0.33 0.15 0.15 8.79 20.0 9 9 caleb_strategy_v3 NIKKEI False False 0.01 0.29 0.36 0.0 0.29 -0.29 0.29 0.29 45.15 36.0 36 36 caleb_strategy_v3 JGB-SGX-mini False True 0.03 0.31 0.43 0.0 0.31 0.00 0.31 0.31 13.91 16.0 10 10 caleb_strategy_v3 MXP False False 0.01 0.54 0.74 0.0 0.55 -0.55 0.54 0.54 80.59 60.0 59 59 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 24.9 Shocked risk 79.3 Sum abs risk 62.9 Leverage 5.54 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3184990.44, 'annual_cash_vol_target': 796247.61, 'daily_cash_vol_target': 49765.475625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6559 0.5791 9.2652 BITCOIN 1084.8561 52145.0000 2.0805 33.2874 BOBL 0.2755 116.1100 0.2373 3.7970 BTP 0.5746 117.2600 0.4900 7.8407 BUND 0.5405 132.4400 0.4081 6.5298 BUXL 1.2401 132.8800 0.9333 14.9324 CAC 53.5270 7945.0000 0.6737 10.7795 CAD 0.0029 0.7418 0.3927 6.2831 CANOLA 7.0505 581.7000 1.2121 19.3929 CHF 0.0053 1.1376 0.4666 7.4652 COCOA 88.7013 5947.0000 1.4915 23.8645 COFFEE 3.3721 183.2000 1.8407 29.4510 COPPER 0.0388 3.9255 0.9872 15.7946 CORN 4.1785 453.7500 0.9209 14.7342 COTTON2 1.0548 94.4400 1.1169 17.8705 CRUDE_W 0.9367 73.8500 1.2683 20.2936 DAX 115.5788 17456.0000 0.6621 10.5938 DOW 233.2791 39092.0000 0.5967 9.5479 DX 0.3666 103.5300 0.3541 5.6660 EUR 0.0043 1.0830 0.3976 6.3622 EURIBOR-ICE 0.0517 97.5350 0.0530 0.8483 EUROSTX 35.7285 4878.0000 0.7324 11.7191 FEEDCOW 1.6920 268.4250 0.6304 10.0856 GASOIL 12.0918 799.5000 1.5124 24.1987 GASOLINE 0.0384 2.5211 1.5247 24.3945 GAS_US_mini 0.0846 1.9750 4.2843 68.5483 GBP 0.0055 1.2659 0.4355 6.9684 GOLD_micro 12.4193 2032.8000 0.6109 9.7751 HEATOIL 0.0376 2.5827 1.4548 23.2772 JGB-SGX-mini 0.2593 146.2300 0.1773 2.8371 JPY 0.0000 0.0067 0.5851 9.3611 LEANHOG 1.0629 99.0000 1.0737 17.1786 LIVECOW 1.2187 182.6750 0.6671 10.6739 LUMBER-new 6.3706 586.0000 1.0871 17.3941 MILK 0.2221 17.9700 1.2357 19.7710 MXP 0.0003 0.0582 0.5722 9.1546 NASDAQ_micro 141.3353 17710.0000 0.7981 12.7689 NIKKEI 303.0687 38290.0000 0.7915 12.6641 NZD 0.0038 0.6198 0.6169 9.8702 OAT 0.5286 127.5000 0.4146 6.6332 OATIES 6.1588 354.0000 1.7398 27.8364 OJ 7.1433 364.4000 1.9603 31.3647 PALLAD 28.2234 978.5000 2.8844 46.1497 PLAT 15.0374 907.1000 1.6577 26.5239 REDWHEAT 8.8319 566.5000 1.5590 24.9444 RICE 0.1868 18.8300 0.9921 15.8732 ROBUSTA 41.5248 3112.0000 1.3343 21.3495 RUSSELL 27.1447 2012.2000 1.3490 21.5841 SHATZ 0.0945 105.1450 0.0899 1.4382 SILVER-mini 0.3432 22.9875 1.4931 23.8893 SMI 71.4758 11321.0000 0.6314 10.1017 SOFR 0.0749 96.2700 0.0778 1.2442 SOYBEAN 9.7572 1137.5000 0.8578 13.7244 SOYMEAL 4.4559 335.0000 1.3301 21.2819 SOYOIL 0.6358 45.2200 1.4061 22.4972 SP400 27.0249 2856.8000 0.9460 15.1358 SP500_micro 33.8899 5096.5000 0.6650 10.6394 SUGAR11 0.3203 21.9700 1.4577 23.3233 US10 0.4428 110.0156 0.4025 6.4399 US10U 0.5932 113.5000 0.5226 8.3623 US2 0.1260 102.3203 0.1231 1.9698 US20 0.8509 118.0938 0.7206 11.5289 US30 1.2115 125.8438 0.9627 15.4033 US5 0.3016 106.3047 0.2837 4.5393 VIX 0.4191 16.2500 2.5789 41.2621 WHEAT 7.9969 600.2500 1.3323 21.3162 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 655.90 0.58 379.81 1.00 379.81 49765.48 131.03 -5.44 -71.29 BITCOIN 52.14 2.08 108.49 1.00 108.49 49765.48 458.73 10.66 489.04 BOBL 1161.10 0.24 275.55 1.08 297.95 49765.48 167.03 -12.43 -207.56 BTP 1172.60 0.49 574.63 1.08 621.35 49765.48 80.09 0.71 5.73 BUND 1324.40 0.41 540.50 1.08 584.45 49765.48 85.15 -3.11 -26.51 BUXL 1328.80 0.93 1240.13 1.08 1340.96 49765.48 37.11 -3.23 -12.00 CAC 794.50 0.67 535.27 1.08 578.79 49765.48 85.98 11.81 101.52 CAD 741.75 0.39 291.28 1.00 291.28 49765.48 170.85 -5.09 -87.02 CANOLA 116.34 1.21 141.01 0.74 104.35 49765.48 476.92 -20.00 -953.84 CHF 1422.06 0.47 663.50 1.00 663.50 49765.48 75.00 -16.97 -127.28 COCOA 594.70 1.49 887.01 1.00 887.01 49765.48 56.10 18.38 103.12 COFFEE 687.00 1.84 1264.55 1.00 1264.55 49765.48 39.35 -1.66 -6.55 COPPER 981.38 0.99 968.78 1.00 968.78 49765.48 51.37 -1.71 -8.76 CORN 226.88 0.92 208.93 1.00 208.93 49765.48 238.20 -20.00 -476.39 COTTON2 472.20 1.12 527.40 1.00 527.40 49765.48 94.36 4.07 38.45 CRUDE_W 738.50 1.27 936.68 1.00 936.68 49765.48 53.13 10.10 53.67 DAX 174.56 0.66 115.58 1.08 124.98 49765.48 398.20 14.46 575.83 DOW 195.46 0.60 116.64 1.00 116.64 49765.48 426.66 1.17 50.12 DX 1035.30 0.35 366.62 1.00 366.62 49765.48 135.74 4.94 67.02 EUR 1353.75 0.40 538.30 1.00 538.30 49765.48 92.45 -3.23 -29.84 EURIBOR-ICE 2438.38 0.05 129.28 1.08 139.79 49765.48 356.01 0.95 33.93 EUROSTX 487.80 0.73 357.29 1.08 386.33 49765.48 128.82 20.00 257.63 FEEDCOW 1342.12 0.63 846.01 1.00 846.01 49765.48 58.82 6.00 35.29 GASOIL 799.50 1.51 1209.18 1.00 1209.18 49765.48 41.16 11.83 48.68 GASOLINE 1058.86 1.52 1614.40 1.00 1614.40 49765.48 30.83 4.82 14.85 GAS_US_mini 49.38 4.28 211.54 1.00 211.54 49765.48 235.26 -13.70 -322.20 GBP 791.19 0.44 344.58 1.00 344.58 49765.48 144.42 2.77 39.95 GOLD_micro 203.28 0.61 124.19 1.00 124.19 49765.48 400.71 -11.67 -467.50 HEATOIL 1084.73 1.45 1578.09 1.00 1578.09 49765.48 31.54 7.80 24.61 JGB-SGX-mini 146230.00 0.18 25929.35 0.01 172.81 49765.48 287.99 4.46 128.47 JPY 833.38 0.59 487.58 1.00 487.58 49765.48 102.07 -13.55 -138.32 LEANHOG 396.00 1.07 425.17 1.00 425.17 49765.48 117.05 8.05 94.25 LIVECOW 730.70 0.67 487.46 1.00 487.46 49765.48 102.09 8.38 85.57 LUMBER-new 161.15 1.09 175.19 1.00 175.19 49765.48 284.06 -4.68 -132.82 MILK 359.40 1.24 444.11 1.00 444.11 49765.48 112.06 -9.18 -102.82 MXP 291.20 0.57 166.61 1.00 166.61 49765.48 298.69 18.38 549.06 NASDAQ_micro 354.20 0.80 282.67 1.00 282.67 49765.48 176.05 2.69 47.41 NIKKEI 38290.00 0.79 30306.87 0.01 201.54 49765.48 246.92 16.89 416.95 NZD 619.75 0.62 382.31 1.00 382.31 49765.48 130.17 3.04 39.59 OAT 1275.00 0.41 528.59 1.08 571.56 49765.48 87.07 0.32 2.74 OATIES 177.00 1.74 307.94 1.00 307.94 49765.48 161.61 -9.80 -158.42 OJ 546.60 1.96 1071.50 1.00 1071.50 49765.48 46.44 7.72 35.86 PALLAD 978.50 2.88 2822.34 1.00 2822.34 49765.48 17.63 -1.92 -3.39 PLAT 453.55 1.66 751.87 1.00 751.87 49765.48 66.19 0.34 2.24 REDWHEAT 283.25 1.56 441.59 1.00 441.59 49765.48 112.70 -20.00 -225.39 RICE 376.60 0.99 373.62 1.00 373.62 49765.48 133.20 4.06 54.06 ROBUSTA 311.20 1.33 415.25 1.00 415.25 49765.48 119.85 9.75 116.87 RUSSELL 100.61 1.35 135.72 1.00 135.72 49765.48 366.67 -5.62 -206.06 SHATZ 1051.45 0.09 94.51 1.08 102.19 49765.48 486.97 -14.86 -723.71 SILVER-mini 574.69 1.49 858.05 1.00 858.05 49765.48 58.00 -2.96 -17.17 SMI 1132.10 0.63 714.76 1.13 811.04 49765.48 61.36 12.58 77.19 SOFR 2406.75 0.08 187.15 1.00 187.15 49765.48 265.91 -5.99 -159.35 SOYBEAN 568.75 0.86 487.86 1.00 487.86 49765.48 102.01 -20.00 -204.02 SOYMEAL 335.00 1.33 445.59 1.00 445.59 49765.48 111.68 -20.00 -223.37 SOYOIL 271.32 1.41 381.50 1.00 381.50 49765.48 130.45 -16.57 -216.16 SP400 2856.80 0.95 2702.49 1.00 2702.49 49765.48 18.41 -3.35 -6.17 SP500_micro 254.82 0.66 169.45 1.00 169.45 49765.48 293.69 5.99 175.96 SUGAR11 246.06 1.46 358.69 1.00 358.69 49765.48 138.74 -1.06 -14.74 US10 1100.16 0.40 442.81 1.00 442.81 49765.48 112.39 -8.50 -95.48 US10U 1135.00 0.52 593.20 1.00 593.20 49765.48 83.89 -3.61 -30.31 US2 2046.41 0.12 251.94 1.00 251.94 49765.48 197.53 -12.48 -246.52 US20 1180.94 0.72 850.93 1.00 850.93 49765.48 58.48 -1.59 -9.29 US30 1258.44 0.96 1211.50 1.00 1211.50 49765.48 41.08 -3.58 -14.69 US5 1063.05 0.28 301.59 1.00 301.59 49765.48 165.01 -10.34 -170.56 VIX 162.50 2.58 419.07 1.00 419.07 49765.48 118.75 -20.00 -237.51 WHEAT 300.12 1.33 399.85 1.00 399.85 49765.48 124.46 -20.00 -248.92 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -71.293 0.010 2.5 -1.850 BITCOIN 489.045 0.043 2.5 52.958 BOBL -207.563 0.004 2.5 -2.105 BTP 5.726 0.014 2.5 0.195 BUND -26.513 0.004 2.5 -0.269 BUXL -11.996 0.004 2.5 -0.122 CAC 101.522 0.014 2.5 3.463 CAD -87.024 0.010 2.5 -2.258 CANOLA -953.837 0.010 2.5 -23.206 CHF -127.284 0.010 2.5 -3.303 COCOA 103.119 0.009 2.5 2.209 COFFEE -6.551 0.005 2.5 -0.077 COPPER -8.762 0.043 2.5 -0.949 CORN -476.392 0.010 2.5 -11.590 COTTON2 38.450 0.009 2.5 0.823 CRUDE_W 53.666 0.043 2.5 5.811 DAX 575.827 0.014 2.5 19.641 DOW 50.116 0.009 2.5 1.165 DX 67.017 0.010 2.5 1.739 EUR -29.839 0.010 2.5 -0.774 EURIBOR-ICE 33.928 0.014 2.5 1.157 EUROSTX 257.630 0.014 2.5 8.787 FEEDCOW 35.295 0.013 2.5 1.170 GASOIL 48.678 0.017 2.5 2.110 GASOLINE 14.852 0.017 2.5 0.644 GAS_US_mini -322.202 0.043 2.5 -34.891 GBP 39.950 0.010 2.5 1.037 GOLD_micro -467.500 0.014 2.5 -15.946 HEATOIL 24.607 0.017 2.5 1.067 JGB-SGX-mini 128.472 0.043 2.5 13.912 JPY -138.320 0.010 2.5 -3.589 LEANHOG 94.251 0.024 2.5 5.728 LIVECOW 85.567 0.013 2.5 2.835 LUMBER-new -132.818 0.009 2.5 -2.840 MILK -102.816 0.009 2.5 -2.202 MXP 549.060 0.059 2.5 80.588 NASDAQ_micro 47.411 0.009 2.5 1.102 NIKKEI 416.950 0.043 2.5 45.151 NZD 39.589 0.010 2.5 1.027 OAT 2.744 0.014 2.5 0.094 OATIES -158.420 0.010 2.5 -3.854 OJ 35.860 0.009 2.5 0.768 PALLAD -3.387 0.014 2.5 -0.116 PLAT 2.240 0.014 2.5 0.076 REDWHEAT -225.390 0.005 2.5 -2.990 RICE 54.064 0.010 2.5 1.315 ROBUSTA 116.873 0.005 2.5 1.365 RUSSELL -206.062 0.013 2.5 -6.828 SHATZ -723.713 0.004 2.5 -7.339 SILVER-mini -17.175 0.014 2.5 -0.586 SMI 77.191 0.014 2.5 2.633 SOFR -159.352 0.024 2.5 -9.685 SOYBEAN -204.016 0.004 2.5 -1.897 SOYMEAL -223.369 0.004 2.5 -2.077 SOYOIL -216.161 0.004 2.5 -2.012 SP400 -6.172 0.013 2.5 -0.205 SP500_micro 175.964 0.009 2.5 4.089 SUGAR11 -14.743 0.009 2.5 -0.314 US10 -95.484 0.005 2.5 -1.210 US10U -30.311 0.005 2.5 -0.384 US2 -246.520 0.005 2.5 -3.124 US20 -9.294 0.005 2.5 -0.118 US30 -14.691 0.005 2.5 -0.186 US5 -170.559 0.005 2.5 -2.161 VIX -237.505 0.099 2.5 -58.627 WHEAT -248.924 0.005 2.5 -3.302 ===================== Position diags ===================== AUD 3.40 BITCOIN 49.67 BOBL 1.69 BTP 2.73 BUND 0.86 BUXL 0.38 CAC 2.93 CAD 4.43 CANOLA 11.60 CHF 1.95 COCOA 1.20 COFFEE 0.46 COPPER 5.56 CORN 5.80 COTTON2 2.02 CRUDE_W 5.75 DAX 13.58 DOW 9.92 DX 3.52 EUR 2.40 EURIBOR-ICE 12.14 EUROSTX 4.39 FEEDCOW 1.95 GASOIL 1.78 GASOLINE 1.34 GAS_US_mini 25.48 GBP 3.75 GOLD_micro 13.67 HEATOIL 1.37 JGB-SGX-mini 31.19 JPY 2.65 LEANHOG 7.11 LIVECOW 3.38 LUMBER-new 6.07 MILK 2.40 MXP 43.84 NASDAQ_micro 4.09 NIKKEI 26.74 NZD 3.38 OAT 2.97 OATIES 3.93 OJ 0.99 PALLAD 0.60 PLAT 2.26 REDWHEAT 1.49 RICE 3.24 ROBUSTA 1.40 RUSSELL 12.15 SHATZ 4.94 SILVER-mini 1.98 SMI 2.09 SOFR 16.16 SOYBEAN 0.95 SOYMEAL 1.04 SOYOIL 1.21 SP400 0.61 SP500_micro 6.83 SUGAR11 2.95 US10 1.42 US10U 1.06 US2 2.50 US20 0.74 US30 0.52 US5 2.09 VIX 29.31 WHEAT 1.65 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.8 -2.2 -1.5 0.0 0 BITCOIN 53.0 48.0 57.9 0.0 0 BOBL -2.1 -2.3 -1.9 -13.0 -13 BTP 0.2 -0.1 0.5 2.0 2 BUND -0.3 -0.4 -0.2 -1.0 -1 BUXL -0.1 -0.2 -0.1 0.0 0 CAC 3.5 3.2 3.8 12.0 12 CAD -2.3 -2.7 -1.8 0.0 0 CANOLA -23.2 -24.4 -22.0 -6.0 -6 CHF -3.3 -3.5 -3.1 -9.0 -9 COCOA 2.2 2.1 2.3 6.0 6 COFFEE -0.1 -0.1 -0.0 0.0 0 COPPER -0.9 -1.5 -0.4 -1.0 -1 CORN -11.6 -12.2 -11.0 -10.0 -10 COTTON2 0.8 0.6 1.0 0.0 0 CRUDE_W 5.8 5.2 6.4 2.0 2 DAX 19.6 18.3 21.0 0.0 0 DOW 1.2 0.2 2.2 3.0 3 DX 1.7 1.4 2.1 NaN 0 EUR -0.8 -1.0 -0.5 0.0 0 EURIBOR-ICE 1.2 -0.1 2.4 2.0 2 EUROSTX 8.8 8.3 9.2 9.0 9 FEEDCOW 1.2 1.0 1.4 5.0 5 GASOIL 2.1 1.9 2.3 1.0 1 GASOLINE 0.6 0.5 0.8 4.0 4 GAS_US_mini -34.9 -37.4 -32.3 -18.0 -18 GBP 1.0 0.7 1.4 5.0 5 GOLD_micro -15.9 -17.3 -14.6 -30.0 -30 HEATOIL 1.1 0.9 1.2 0.0 0 JGB-SGX-mini 13.9 10.8 17.0 10.0 10 JPY -3.6 -3.9 -3.3 -4.0 -4 LEANHOG 5.7 5.0 6.4 0.0 0 LIVECOW 2.8 2.5 3.2 0.0 0 LUMBER-new -2.8 -3.4 -2.2 NaN 0 MILK -2.2 -2.4 -2.0 NaN 0 MXP 80.6 76.2 85.0 59.0 59 NASDAQ_micro 1.1 0.7 1.5 14.0 14 NIKKEI 45.2 42.5 47.8 36.0 36 NZD 1.0 0.7 1.4 5.0 5 OAT 0.1 -0.2 0.4 0.0 0 OATIES -3.9 -4.2 -3.5 NaN 0 OJ 0.8 0.7 0.9 NaN 0 PALLAD -0.1 -0.2 -0.1 -1.0 -1 PLAT 0.1 -0.1 0.3 -1.0 -1 REDWHEAT -3.0 -3.1 -2.8 -3.0 -3 RICE 1.3 1.0 1.6 NaN 0 ROBUSTA 1.4 1.2 1.5 3.0 3 RUSSELL -6.8 -8.0 -5.6 0.0 0 SHATZ -7.3 -7.8 -6.8 NaN 0 SILVER-mini -0.6 -0.8 -0.4 NaN 0 SMI 2.6 2.4 2.8 7.0 7 SOFR -9.7 -11.3 -8.1 NaN 0 SOYBEAN -1.9 -2.0 -1.8 -2.0 -2 SOYMEAL -2.1 -2.2 -2.0 0.0 0 SOYOIL -2.0 -2.1 -1.9 -6.0 -6 SP400 -0.2 -0.3 -0.1 0.0 0 SP500_micro 4.1 3.4 4.8 3.0 3 SUGAR11 -0.3 -0.6 -0.0 0.0 0 US10 -1.2 -1.4 -1.1 0.0 0 US10U -0.4 -0.5 -0.3 0.0 0 US2 -3.1 -3.4 -2.9 NaN 0 US20 -0.1 -0.2 -0.0 0.0 0 US30 -0.2 -0.2 -0.1 0.0 0 US5 -2.2 -2.4 -2.0 -6.0 -6 VIX -58.6 -61.6 -55.7 -17.0 -17 WHEAT -3.3 -3.5 -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 -0.2 -0.5 0.3 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.2 -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 0.3 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.1 0.3 0.0 -0.3 -0.2 -0.7 -0.3 -0.2 0.1 BITCOIN 0.6 0.1 0.5 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 -0.1 0.5 0.6 0.6 0.6 -0.2 0.1 0.4 0.3 BOBL -0.6 -0.6 0.6 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -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 -0.2 -0.1 -0.2 -0.1 -0.7 -0.7 0.1 -0.7 BTP -0.4 -0.3 0.6 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.1 0.3 -0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.2 -0.0 -2.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.6 0.3 0.4 0.0 0.3 -0.5 -0.7 0.5 0.1 BUND -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 0.1 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 0.1 -0.2 -0.0 -0.7 -0.7 0.2 -0.3 BUXL -0.4 -0.5 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 -0.2 0.1 -0.7 -0.7 0.1 0.1 CAC 0.4 0.2 0.4 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 -0.1 -0.2 -0.2 0.2 0.2 0.2 0.4 0.2 -1.3 0.1 0.1 0.2 0.1 0.2 0.1 -0.0 0.4 0.6 -0.1 -0.2 -0.1 0.4 0.0 0.6 CAD -0.2 -0.2 0.3 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 -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 -0.1 -0.0 0.0 -0.1 0.2 -0.1 -0.1 -0.6 -0.5 0.0 -0.5 CANOLA -0.2 -0.4 -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 -0.3 -0.6 -0.6 -0.6 -0.7 -0.7 -0.5 -0.2 CHF -0.6 -0.6 0.2 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.0 0.0 -0.1 0.2 -0.2 -0.0 -0.3 -0.3 -0.3 -0.3 -0.1 -0.0 -0.1 0.1 -0.2 -0.6 -0.0 -0.0 0.0 -0.0 0.1 -0.1 -1.1 -0.4 -0.5 -0.2 0.1 -0.7 -0.6 -0.4 -0.6 COCOA 0.6 0.3 -0.1 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.1 0.5 0.2 0.6 0.2 0.2 0.4 0.1 0.4 0.3 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.1 0.0 0.2 0.1 1.1 0.5 0.6 0.6 0.6 0.6 0.1 0.7 0.7 COFFEE -0.1 -0.0 0.6 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 0.3 -0.1 0.2 0.0 0.1 0.3 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 1.0 0.2 0.1 -0.6 0.6 -0.3 -0.7 -0.2 -0.4 COPPER -0.1 -0.1 0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.2 -0.0 0.1 -0.2 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.2 -0.1 0.1 -1.6 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 0.5 -0.0 0.3 0.5 -0.6 -0.1 0.4 0.0 CORN -0.2 -0.5 -0.4 0.0 -0.0 0.0 -0.0 -0.1 0.0 -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 -0.4 -0.5 -0.6 -0.6 -0.6 -0.2 -0.7 -0.1 0.0 COTTON2 0.6 0.6 0.2 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.1 0.2 0.2 0.1 0.2 0.2 -0.0 -0.0 -0.1 -0.1 0.2 0.2 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 0.6 -0.6 -0.5 -0.3 0.0 CRUDE_W 0.1 0.1 -0.2 0.0 -0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.3 0.1 -0.0 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 0.5 -0.1 -0.4 -0.0 0.7 0.6 0.7 0.7 DAX -0.0 0.0 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 -0.3 -0.2 -0.3 -0.3 0.2 0.2 0.2 0.5 0.2 2.3 0.1 0.1 0.2 0.1 0.2 0.1 -0.5 0.0 -0.3 -0.3 0.1 -0.1 0.4 0.2 0.7 DOW -0.3 -0.0 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.5 0.1 0.6 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.1 0.5 0.2 -1.9 0.1 0.0 0.2 0.0 0.2 0.0 -0.4 -0.5 -0.2 0.2 0.6 -0.2 -0.1 0.0 -0.4 DX 0.4 0.5 -0.2 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.2 0.1 0.0 -0.1 0.2 0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.0 0.1 0.1 -2.7 0.0 -0.0 0.0 0.0 0.1 0.0 0.8 0.0 0.6 0.6 -0.6 0.6 0.1 0.7 0.3 EUR -0.3 -0.4 0.1 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.2 -0.2 0.0 0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 -0.1 2.4 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.4 0.2 -0.1 -0.0 -0.1 -0.7 -0.5 -0.7 -0.4 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 -0.1 -0.0 -0.1 0.2 -0.7 -0.7 0.2 0.7 EUROSTX 0.4 0.3 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 0.2 0.1 0.1 0.2 0.1 0.2 0.1 0.9 0.3 0.6 0.4 0.2 -0.2 0.4 -0.2 0.7 FEEDCOW 0.6 0.6 -0.2 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.1 -0.0 0.2 -0.0 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.1 0.2 0.1 0.2 -0.9 0.1 -0.0 0.1 0.0 0.1 0.1 -1.1 0.2 0.6 0.6 -0.2 0.7 0.4 0.7 0.7 GASOIL 0.3 0.5 -0.2 0.0 -0.0 0.0 0.0 0.1 0.0 -0.1 0.2 0.0 0.3 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.1 0.0 0.3 0.1 1.1 0.1 -0.0 0.1 0.0 0.1 0.0 1.1 -0.1 0.3 0.1 0.2 -0.4 -0.2 -0.7 -0.4 GASOLINE 0.2 0.5 -0.1 0.0 -0.0 0.0 0.0 0.1 0.0 -0.1 0.0 0.1 0.3 0.2 0.1 -0.0 0.1 -0.3 -0.1 0.1 0.1 0.1 0.2 0.2 -2.7 0.1 0.0 0.1 0.1 0.2 0.1 -0.7 0.5 0.2 0.0 0.4 0.7 0.5 0.7 0.4 GAS_US_mini -0.4 -0.2 -0.6 0.0 -0.0 0.0 0.0 0.0 0.0 0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.2 -0.4 -0.0 -0.2 -0.2 -0.2 -0.0 -0.5 -0.1 2.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.2 -0.6 -0.6 -0.6 -0.5 0.0 -0.7 -0.1 GBP -0.3 -0.1 0.3 -0.0 0.0 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.0 0.4 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.1 0.0 0.2 -0.0 0.3 0.0 0.0 0.1 0.0 0.1 -0.0 0.2 0.2 0.0 0.5 0.3 -0.7 -0.1 -0.7 0.2 GOLD_micro -0.2 -0.3 0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.3 -0.1 0.3 -0.1 -0.0 -0.3 -0.3 -0.3 -0.3 -0.0 0.0 -0.0 0.1 -0.1 -0.6 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.8 -0.5 -0.4 0.2 0.5 -0.7 -0.7 -0.7 -0.5 HEATOIL 0.2 0.4 -0.2 0.0 -0.0 0.0 0.0 0.1 0.0 -0.1 0.1 -0.0 0.2 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 -0.0 0.2 0.1 -2.7 0.1 0.0 0.1 0.0 0.2 0.1 1.1 0.0 0.2 0.2 0.2 0.5 0.1 0.4 -0.0 JGB-SGX-mini -0.3 -0.1 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 0.2 0.3 0.2 0.2 0.0 0.0 -0.0 0.1 -0.0 -0.6 0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 0.1 0.2 0.2 0.0 -0.1 -0.7 0.2 0.4 JPY -0.4 -0.6 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 -0.3 -0.3 -0.4 -0.4 -0.5 -0.6 -0.4 -0.7 LEANHOG 0.1 0.6 0.1 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.2 0.0 0.2 -0.5 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.0 0.2 -0.4 0.2 2.6 0.1 0.1 0.1 0.1 -0.1 0.1 -1.1 0.5 0.6 0.6 0.6 -0.4 -0.3 0.2 0.4 LIVECOW 0.6 0.6 -0.3 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.2 -0.0 0.2 -0.0 0.2 0.1 -0.1 -0.2 -0.2 -0.2 0.2 0.0 0.2 0.0 0.2 -0.5 0.1 0.0 0.0 0.1 0.1 0.1 -0.5 0.5 0.6 0.6 -0.5 0.7 0.1 0.7 0.3 LUMBER-new -0.1 -0.1 0.5 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.2 0.0 0.1 -0.6 0.0 0.2 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.1 -0.1 0.1 NaN 0.1 0.2 0.2 0.2 0.1 0.1 -1.2 0.6 0.6 -0.4 0.7 -0.4 -0.8 -0.3 -0.6 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 -0.3 0.0 -1.1 0.1 0.6 0.2 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.0 -0.1 0.3 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 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 0.0 0.3 0.0 0.5 0.0 1.1 0.2 0.6 0.6 0.3 0.7 0.7 0.7 0.7 NASDAQ_micro -0.2 0.3 0.6 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.4 0.0 0.5 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.0 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.2 0.0 -0.4 -0.3 -0.3 0.5 0.5 0.6 -0.1 0.7 -0.2 NIKKEI 0.5 0.6 0.6 0.1 0.0 0.2 0.0 0.1 0.1 0.1 0.5 0.2 0.7 0.2 0.2 0.4 0.3 0.3 0.3 0.2 0.2 0.2 0.5 0.2 -2.2 0.1 0.0 0.2 0.1 0.2 0.1 1.1 0.5 0.5 0.6 0.6 -0.6 -0.1 -0.2 -0.1 NZD -0.0 -0.4 0.4 -0.0 0.0 0.0 -0.0 0.1 -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 0.0 0.0 0.0 0.1 0.1 0.1 0.0 0.0 0.2 0.5 0.5 0.0 0.1 -0.3 -0.3 -0.1 0.1 OAT -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 0.1 0.1 0.1 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.6 0.1 0.2 -0.2 0.1 -0.7 -0.7 0.3 0.1 OATIES 0.2 0.1 -0.5 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.3 -0.0 -0.3 -0.0 -0.1 0.2 -0.1 0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.1 0.0 -0.5 -0.2 0.1 0.1 0.4 OJ 0.6 -0.1 -0.6 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.1 0.2 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 0.3 0.0 1.1 -0.1 0.6 0.2 -0.0 0.2 0.3 0.4 0.7 PALLAD 0.2 -0.2 0.3 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.2 0.0 -0.3 -0.0 -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 -0.1 -0.0 -0.2 -0.4 -0.3 -0.3 -0.1 PLAT -0.1 -0.4 0.1 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -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 -0.0 1.4 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 -0.0 -0.0 -0.0 0.1 -0.4 -0.1 0.7 0.1 REDWHEAT -0.4 -0.2 -0.1 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 -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 -1.6 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 0.2 -0.5 -0.6 -0.6 -0.6 -0.6 -0.7 -0.5 -0.7 RICE 0.1 0.3 0.3 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 0.5 0.0 0.6 0.1 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.0 0.4 0.1 -2.6 0.1 0.0 0.1 0.0 0.1 0.1 -0.2 0.3 0.6 0.1 0.6 0.1 -0.2 0.4 0.1 ROBUSTA -0.3 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 0.4 0.0 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 0.4 0.6 0.6 -0.6 -0.6 -0.3 0.0 RUSSELL -0.1 -0.1 0.6 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 0.2 0.0 0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.1 0.0 -0.2 0.0 0.0 0.1 0.0 0.1 0.0 0.0 -0.1 -0.3 -0.3 -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 -0.1 -0.1 -0.2 -0.1 -0.1 -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 -0.3 -0.2 -0.3 -0.2 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.1 -0.3 -0.1 -0.0 0.0 -0.1 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 0.0 -0.1 -0.0 0.7 -0.0 0.0 -0.1 0.1 -0.0 0.0 -0.1 0.1 0.2 0.2 0.1 -0.7 -0.6 0.5 -0.2 SMI -0.1 0.1 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.3 0.1 0.2 0.1 0.2 0.2 0.1 0.2 0.2 0.1 0.1 0.1 0.1 0.1 1.6 0.1 0.1 0.1 0.1 0.1 0.1 1.1 0.1 -0.4 -0.1 -0.4 0.2 -0.2 0.5 -0.3 SOFR -0.6 -0.4 0.5 -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 -0.1 0.1 0.1 -0.7 -0.7 -0.2 -0.1 SOYBEAN -0.3 -0.6 -0.6 0.0 -0.0 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 -0.5 -0.6 -0.6 -0.6 -0.3 -0.7 -0.3 -0.7 SOYMEAL -0.3 -0.6 -0.6 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.3 -0.1 -0.2 -0.1 -0.2 -0.1 0.2 0.1 0.1 -0.2 -0.2 -0.1 -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 -0.1 -0.5 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -2.7 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.5 -0.4 -0.4 -0.5 -0.3 -0.4 -0.2 -0.2 0.2 SP400 -0.0 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 0.1 0.1 0.0 0.1 -0.0 -0.3 -0.3 -0.0 -0.7 -0.3 -0.6 -0.7 SP500_micro 0.0 0.3 0.6 0.1 0.1 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 0.1 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.2 0.1 -0.5 -0.1 0.1 0.6 0.6 0.2 -0.1 0.6 -0.2 SUGAR11 0.0 0.3 -0.6 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.2 0.3 0.1 -0.0 0.3 0.4 0.4 0.4 -0.0 -0.1 -0.1 0.1 -0.0 -2.7 -0.0 -0.0 -0.1 -0.0 0.1 -0.0 1.1 -0.1 -0.2 0.1 -0.6 0.4 -0.0 0.6 0.3 US10 -0.6 -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 -0.2 -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 0.1 -0.7 -0.7 -0.5 0.3 US10U -0.6 -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 -0.0 0.0 0.0 0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.1 0.0 -0.0 0.0 -0.1 -0.0 -0.0 0.1 -0.1 0.0 0.1 0.1 -0.7 -0.7 0.3 0.7 US2 -0.6 -0.3 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 -0.2 -0.2 0.1 -0.0 -0.7 -0.7 -0.5 -0.7 US20 -0.5 -0.3 0.6 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 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 -0.0 0.1 0.1 0.1 -0.7 -0.7 0.7 0.7 US30 -0.4 -0.3 0.5 -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 0.1 -0.5 -0.6 0.7 0.7 US5 -0.6 -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 -0.2 -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 -0.2 -0.1 0.1 0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.4 0.1 -0.8 -0.1 -0.1 -0.4 -0.1 -0.8 -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 -0.1 -0.5 -0.1 -1.0 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.5 -0.3 0.2 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 -0.5 -0.1 -0.7 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.5 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.7 -0.5 -0.6 -0.6 -0.6 -0.7 -0.7 -0.6 -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 -7.6 -14.8 8.8 -1.4 1.4 2.2 -1.6 3.4 -3.7 17.7 -4.0 1.8 -9.1 -13.0 -4.8 -2.9 -2.8 -2.7 -2.8 -6.4 -2.5 1.8 -4.9 -6.4 2.5 -2.9 3.2 -0.9 0.7 -1.5 -3.1 -1.2 11.8 0.5 -9.7 -5.2 -20.0 -10.1 -7.4 1.6 BITCOIN 20.0 4.3 16.1 -5.2 2.2 -4.6 1.8 -2.4 -2.3 16.7 20.0 20.0 20.0 20.0 20.0 -8.3 -6.6 -8.0 -7.7 20.0 20.0 20.0 20.0 20.0 -20.0 8.3 3.2 8.3 8.8 7.1 9.6 -1.9 20.0 20.0 20.0 20.0 -6.0 3.5 11.8 7.6 BOBL -20.0 -20.0 20.0 -0.6 -1.6 0.4 -2.2 -0.5 -2.2 -7.4 1.1 -8.1 -1.1 -8.2 -2.1 -20.0 -17.2 -20.0 -20.0 -4.3 0.5 -10.7 -1.2 -9.5 6.1 -1.2 -3.6 0.3 -3.5 -0.1 -2.9 -20.0 -6.9 -1.8 -7.7 -3.4 -20.0 -20.0 2.1 -20.0 BTP -12.5 -8.1 20.0 -1.2 -3.0 0.7 -4.1 -1.0 -4.0 -3.7 8.9 -8.8 8.6 -11.0 7.1 4.5 6.5 4.9 5.4 5.2 11.5 -3.8 7.9 -2.4 -14.7 2.1 -2.1 4.8 -1.8 3.6 -1.2 11.7 12.6 12.1 1.5 9.2 -15.7 -20.0 16.0 2.1 BUND -16.1 -18.0 20.0 -0.7 -1.9 0.4 -2.6 -0.6 -2.5 -8.4 2.2 -9.2 -0.9 -9.4 -0.4 4.7 4.5 4.1 3.4 -2.5 2.0 -8.4 -0.9 -7.6 4.2 -0.9 -3.1 0.8 -3.2 0.1 -2.7 7.9 -1.5 2.7 -6.7 -0.9 -20.0 -20.0 5.7 -9.9 BUXL -11.4 -14.6 20.0 -0.9 -2.4 0.5 -3.3 -0.8 -3.2 -5.0 2.9 -10.5 -4.5 -11.6 1.0 -0.2 0.4 -0.0 0.2 -1.7 2.2 -5.3 -3.4 -6.2 0.4 -0.4 -1.3 1.1 -2.1 -0.4 -2.3 2.1 8.6 7.5 -6.2 2.1 -20.0 -20.0 4.4 3.8 CAC 11.2 5.4 13.5 7.6 9.0 6.3 7.5 4.1 7.5 20.0 20.0 20.0 20.0 20.0 20.0 -8.4 -5.6 -8.5 -7.6 20.0 18.7 20.0 16.1 20.0 -9.6 7.9 13.7 6.1 11.4 4.8 9.4 -0.3 15.5 18.7 -4.0 -7.2 -2.5 12.1 1.2 18.1 CAD -6.9 -7.4 10.7 -1.6 1.6 2.6 -1.9 4.0 -4.3 4.6 -1.2 -6.7 -3.4 -15.4 1.8 -1.9 -2.1 -2.0 -2.1 -1.6 0.8 -3.6 -2.8 -5.3 0.5 -1.0 0.3 0.4 -2.7 -1.5 -3.6 0.0 -6.0 6.5 -1.6 -4.3 -17.2 -14.9 0.3 -13.7 CANOLA -5.5 -13.1 -20.0 1.3 -1.8 0.3 -1.3 -1.2 0.4 -4.9 -10.1 -7.6 -8.8 -9.2 -10.1 -12.0 -3.1 -11.1 -8.8 -18.5 -19.3 -10.8 -16.2 -14.9 -20.0 -3.9 -2.3 -4.0 -3.3 -3.5 -3.7 -4.3 -12.0 -20.0 -20.0 -20.0 -20.0 -19.6 -14.4 -6.3 CHF -20.0 -20.0 6.9 -1.2 1.2 1.9 -1.3 2.9 -3.1 -3.1 0.8 -11.6 5.2 -14.3 -4.4 -14.3 -15.4 -15.2 -15.5 -9.9 -0.6 -12.9 3.4 -17.2 -4.7 -2.1 -1.4 0.9 -4.2 1.7 -5.1 -20.0 -16.3 -16.2 -7.7 2.3 -20.0 -17.2 -11.9 -19.5 COCOA 19.4 8.4 -2.2 2.2 -2.9 0.5 -2.2 -2.0 0.6 14.9 17.7 16.0 17.6 16.7 17.4 20.0 6.8 20.0 13.0 20.0 20.0 20.0 20.0 20.0 -20.0 5.9 1.9 5.2 4.3 4.7 6.0 20.0 20.0 20.0 20.0 20.0 16.5 2.9 20.0 20.0 COFFEE -4.3 -0.6 17.9 2.4 -3.3 0.5 -2.4 -2.3 0.7 -10.0 10.1 -5.7 4.9 0.8 8.2 15.5 6.3 11.4 8.6 7.4 11.0 -3.8 6.1 0.8 -20.0 3.4 -4.6 6.7 -2.7 5.3 -0.6 18.3 6.5 2.8 -18.0 19.0 -10.2 -20.0 -6.0 -11.2 COPPER -4.5 -3.5 8.2 -4.2 1.8 -3.7 1.5 -1.9 -1.9 18.6 -1.7 11.0 -6.3 1.9 3.5 -5.0 -4.9 -5.9 -5.8 1.2 0.2 20.0 -2.8 6.6 -12.0 -0.9 13.5 -0.4 9.3 -1.1 1.3 1.2 20.0 -0.8 8.1 15.8 -18.9 -3.7 12.6 1.4 CORN -6.5 -15.1 -12.2 3.1 -4.2 0.6 -3.1 -2.9 0.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -17.8 -5.3 -14.0 -10.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.6 -11.5 -6.8 -13.5 -5.5 -10.9 -7.6 -20.0 -20.0 -20.0 -20.0 -4.5 -20.0 -2.3 0.0 COTTON2 20.0 20.0 7.7 3.1 -4.2 0.6 -3.1 -2.9 0.9 9.6 6.3 16.7 1.7 20.0 18.3 -1.9 -1.8 -5.1 -4.7 20.0 14.0 20.0 0.8 20.0 -20.0 7.7 8.3 3.7 11.3 1.3 10.8 0.0 20.0 20.0 20.0 20.0 -17.5 -14.4 -7.7 0.8 CRUDE_W 3.5 4.0 -6.4 4.3 -1.3 1.9 1.1 2.1 4.9 11.0 4.0 13.1 7.3 13.5 -2.5 9.0 9.4 8.3 8.7 4.1 3.0 8.8 8.6 9.1 -4.8 3.5 8.7 2.6 10.1 6.5 7.8 -1.1 20.0 -3.8 -13.8 -0.7 20.0 18.8 20.0 20.0 DAX -0.7 0.1 20.0 7.3 8.7 6.0 7.1 4.0 7.1 20.0 20.0 20.0 20.0 20.0 20.0 -16.3 -11.3 -15.3 -13.5 19.6 20.0 20.0 16.8 17.0 17.3 7.6 14.2 7.5 9.1 5.7 6.9 -10.0 2.0 -10.5 -9.3 2.7 -2.7 10.9 4.8 20.0 DOW -9.7 -1.2 20.0 6.0 7.1 4.9 5.8 3.3 5.8 12.8 19.3 13.2 17.9 16.0 19.7 -13.0 -10.4 -12.6 -11.8 20.0 20.0 11.1 20.0 14.9 -14.1 6.9 3.9 7.5 3.3 5.8 4.4 -8.0 -20.0 -7.5 5.6 18.0 -6.2 -4.2 0.7 -11.2 DX 11.3 14.4 -7.4 -1.4 1.4 2.2 -1.6 3.4 -3.7 -16.7 5.4 3.4 -1.6 14.0 3.4 6.0 6.0 6.0 6.1 8.3 3.1 1.9 3.3 10.2 -20.0 2.9 -2.5 0.7 1.1 1.6 4.4 14.1 0.3 20.0 20.0 -20.0 19.2 2.5 20.0 8.4 EUR -8.0 -11.4 3.2 -1.6 1.6 2.5 -1.8 3.9 -4.2 20.0 -6.2 0.6 2.0 -14.7 -6.6 -6.3 -6.6 -6.1 -6.2 -8.3 -3.8 2.2 -2.7 -7.9 17.7 -2.6 5.3 -0.5 1.3 -0.4 -3.1 -7.3 10.0 -2.1 -0.7 -3.7 -20.0 -13.9 -20.0 -10.6 EURIBOR-ICE -20.0 -20.0 20.0 -0.6 -1.6 0.4 -2.2 -0.5 -2.1 -7.1 4.3 -7.7 2.9 -7.7 1.7 1.1 -3.7 0.7 -1.5 -0.3 6.3 -8.9 4.2 -7.2 14.4 0.1 -3.3 2.2 -2.9 1.5 -2.2 -3.5 -4.9 -0.7 -4.2 4.7 -20.0 -20.0 6.7 20.0 EUROSTX 12.8 9.1 17.7 7.3 8.7 6.1 7.2 4.0 7.2 20.0 20.0 20.0 20.0 20.0 20.0 10.5 2.1 8.4 4.6 20.0 20.0 20.0 20.0 20.0 1.6 8.2 10.5 6.7 8.9 4.9 8.6 16.1 12.6 20.0 11.0 5.9 -6.9 13.1 -4.8 20.0 FEEDCOW 19.5 20.0 -6.2 3.1 -4.2 0.6 -3.1 -2.9 0.9 13.1 -1.7 19.4 -0.5 20.0 17.9 -20.0 -20.0 -20.0 -20.0 20.0 8.1 20.0 2.3 20.0 -6.7 5.6 -0.0 2.1 2.8 2.7 6.1 -20.0 6.6 20.0 20.0 -6.5 20.0 10.6 20.0 20.0 GASOIL 9.8 16.0 -5.0 3.5 -1.1 1.5 0.9 1.7 4.0 -11.5 8.6 4.3 9.3 13.8 10.4 20.0 20.0 20.0 20.0 14.0 10.0 1.5 11.8 13.4 7.9 4.8 -2.2 3.8 0.3 4.1 4.3 20.0 -3.4 9.6 4.3 6.9 -11.4 -5.2 -20.0 -11.5 GASOLINE 6.6 14.2 -3.0 3.9 -1.2 1.7 1.0 2.0 4.5 -8.1 1.5 9.0 7.8 14.3 13.6 -1.7 7.1 -14.8 -6.4 12.8 6.8 7.7 7.7 14.7 -20.0 5.6 5.3 3.0 7.3 4.5 7.9 -13.0 19.6 6.3 0.5 12.4 20.0 13.8 20.0 12.2 GAS_US_mini -11.5 -7.4 -19.3 1.8 -0.5 0.8 0.5 0.9 2.0 5.7 -9.7 -4.8 -10.6 -8.3 -9.8 -11.1 -18.0 -1.3 -10.5 -14.6 -16.6 -4.1 -19.9 -11.2 16.9 -3.5 -0.4 -3.4 -2.4 -2.8 -3.4 -20.0 -8.5 -20.0 -19.5 -17.2 -14.4 0.3 -20.0 -4.2 GBP -10.1 -3.6 9.6 -1.7 1.7 2.7 -2.0 4.2 -4.6 20.0 1.3 -2.8 10.1 -7.7 13.0 -0.4 -0.6 -0.3 -0.4 1.1 6.1 1.3 5.9 -3.5 2.6 1.5 5.4 3.9 0.8 2.7 -1.4 2.9 7.8 0.2 16.7 8.3 -20.0 -4.1 -20.0 4.9 GOLD_micro -7.4 -9.4 6.5 -4.5 1.9 -3.9 1.6 -2.1 -2.0 11.2 9.7 -5.0 7.3 -11.8 -1.7 -15.6 -14.4 -15.0 -14.8 -3.7 2.9 -2.6 5.1 -7.8 -4.5 -1.7 -2.1 2.0 -6.0 3.3 -6.0 -14.8 -20.0 -12.1 7.3 14.1 -20.0 -20.0 -20.0 -14.3 HEATOIL 5.5 12.9 -5.2 3.9 -1.2 1.7 1.0 1.9 4.4 -15.1 4.8 -1.8 6.7 11.0 7.3 20.0 20.0 20.0 20.0 9.2 5.9 -4.1 9.1 8.0 -20.0 5.4 0.8 4.1 2.6 5.7 5.7 20.0 0.1 4.9 5.1 7.2 14.9 3.6 13.1 -0.5 JGB-SGX-mini -9.6 -4.2 15.3 -0.6 -1.6 0.3 -2.2 -0.5 -2.1 2.4 4.2 -2.6 5.1 -4.5 4.1 9.2 16.3 9.7 12.0 1.2 3.5 -1.5 3.1 -1.7 -4.3 0.3 -0.1 1.0 -0.8 0.4 -1.0 20.0 5.1 5.4 6.3 0.2 -4.3 -20.0 4.5 11.3 JPY -11.8 -18.3 11.2 -0.9 0.9 1.4 -1.0 2.2 -2.4 -10.3 -11.0 -11.5 -11.9 -12.7 -11.0 -15.5 -16.0 -15.7 -16.1 -12.4 -11.4 -10.0 -16.0 -13.5 20.0 -3.5 -2.4 -3.2 -3.5 -4.8 -4.3 -20.0 -10.7 -8.3 -13.0 -12.1 -15.9 -17.0 -11.1 -20.0 LEANHOG 2.4 20.0 4.3 3.3 -4.5 0.7 -3.4 -3.1 1.0 20.0 0.3 15.1 -14.1 19.5 16.0 -20.0 -20.0 -20.0 -20.0 15.0 1.0 20.0 -15.2 20.0 19.4 7.4 6.6 4.1 6.4 -2.5 6.7 -20.0 20.0 20.0 20.0 20.0 -10.9 -8.6 4.8 12.0 LIVECOW 20.0 20.0 -9.7 3.0 -4.1 0.6 -3.0 -2.8 0.9 17.0 -1.4 20.0 -0.3 20.0 11.9 -3.7 -8.1 -12.1 -11.3 20.0 3.4 20.0 0.3 20.0 -3.7 5.2 3.2 1.2 6.6 2.1 8.1 -10.0 20.0 20.0 20.0 -14.7 20.0 1.8 20.0 9.5 LUMBER-new -2.6 -2.3 12.6 3.4 -4.6 0.8 -3.4 -2.5 1.0 18.2 0.7 4.0 -14.5 3.0 12.1 -18.6 -15.1 -16.5 -15.5 6.7 6.3 8.0 -2.1 4.7 NaN 6.5 16.3 5.6 13.8 1.8 7.7 -20.0 20.0 15.5 -11.3 20.0 -10.1 -20.0 -7.3 -16.4 MILK 20.0 20.0 -2.6 1.9 -2.5 0.4 -1.9 -1.8 0.6 6.1 -11.3 3.5 -13.6 4.3 -7.3 -20.0 -20.0 -20.0 -20.0 -3.5 -13.2 3.4 -20.0 2.8 10.7 -0.3 1.4 -4.3 1.1 -7.3 1.9 -20.0 4.9 20.0 5.5 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 1.5 -2.6 8.4 -1.6 1.6 2.6 -1.9 4.0 -4.3 14.0 19.2 18.6 20.0 7.8 18.7 16.5 16.5 16.0 15.7 11.7 17.9 5.7 20.0 7.4 -20.0 6.4 0.7 9.6 3.5 14.9 4.3 20.0 9.8 20.0 20.0 10.4 20.0 20.0 20.0 20.0 NASDAQ_micro -5.2 7.8 19.3 4.5 1.6 3.8 3.0 2.6 4.1 -7.5 14.4 3.1 14.3 10.8 14.1 -11.5 -9.9 -11.5 -10.9 20.0 20.0 0.4 20.0 11.4 -20.0 5.3 0.3 5.8 1.4 5.5 3.4 -6.8 -11.8 -8.3 14.3 14.6 19.0 -3.3 20.0 -5.6 NIKKEI 16.0 20.0 17.8 6.6 2.3 5.6 4.4 3.7 6.0 11.0 20.0 17.2 20.0 20.0 20.0 18.1 13.3 16.9 14.7 20.0 20.0 20.0 20.0 20.0 -16.4 7.7 2.5 6.5 5.8 5.4 7.5 20.0 20.0 16.8 20.0 19.7 -16.8 -4.1 -4.6 -2.1 NZD -0.9 -12.8 12.2 -1.2 1.1 1.8 -1.3 2.8 -3.1 14.5 2.3 12.9 0.2 -6.0 3.9 0.5 0.3 0.3 0.3 1.0 2.6 10.0 -0.0 2.4 0.1 0.7 8.5 1.9 5.4 0.8 1.3 4.1 19.0 14.2 1.1 2.8 -10.3 -9.5 -4.1 3.6 OAT -15.2 -16.1 20.0 -0.8 -2.1 0.5 -2.9 -0.7 -2.8 -9.2 3.5 -10.0 -0.0 -10.3 1.3 4.5 6.4 4.9 5.3 -1.0 4.1 -7.2 0.7 -6.5 5.6 -0.3 -2.9 1.6 -2.9 0.7 -2.5 11.5 2.4 4.7 -5.8 1.9 -20.0 -20.0 7.8 3.4 OATIES 5.2 1.8 -14.1 1.7 -2.2 0.3 -1.7 -1.6 0.5 -10.9 -10.8 -2.5 -8.7 -1.3 -5.9 8.9 -3.5 4.0 -1.6 -4.7 -9.5 -4.9 -8.3 -1.8 -20.0 -0.8 -5.5 -3.1 -3.9 -3.2 -0.7 -0.0 -3.8 1.6 0.6 -14.0 -6.7 2.2 1.8 13.3 OJ 20.0 -3.9 -20.0 1.7 -2.3 0.4 -1.7 -1.6 0.5 6.0 5.9 8.2 9.3 8.6 0.9 6.6 16.2 8.4 12.5 7.8 8.6 9.8 16.4 12.0 -20.0 2.3 0.3 3.6 1.7 7.2 2.7 20.0 -3.5 20.0 6.4 -0.0 7.1 10.0 12.9 20.0 PALLAD 5.8 -6.7 9.2 -1.6 0.7 -1.4 0.6 -0.7 -0.7 5.8 -6.4 4.0 -7.8 -3.8 -5.5 -1.9 -2.2 -1.8 -2.0 -5.0 -7.3 2.9 -10.2 -1.4 8.3 -1.8 1.0 -2.8 0.2 -3.8 -1.0 6.8 1.7 -2.2 -1.5 -5.0 -11.9 -8.5 -7.7 -3.8 PLAT -2.8 -12.2 2.5 -2.5 1.1 -2.2 0.9 -1.2 -1.1 4.6 -5.4 -2.8 -7.4 -9.0 -5.7 -4.0 -3.2 -3.9 -3.6 -5.0 -4.2 -0.6 -4.1 -4.0 10.5 -2.2 1.9 -1.4 0.1 -0.9 -1.9 4.5 -1.6 -0.4 -1.1 2.3 -12.2 -4.4 20.0 4.4 REDWHEAT -12.3 -6.5 -4.2 2.6 -3.5 0.5 -2.6 -2.5 0.8 -7.6 -20.0 -14.1 -19.9 -15.8 -16.9 4.9 -0.6 0.8 -0.8 -20.0 -20.0 -20.0 -20.0 -20.0 -11.8 -6.6 -10.6 -6.5 -13.4 -6.6 -9.9 4.5 -20.0 -20.0 -20.0 -20.0 -18.0 -20.0 -14.7 -19.9 RICE 4.0 8.5 10.1 2.5 -3.4 0.5 -2.5 -2.4 0.8 -2.3 17.6 3.7 15.9 10.9 16.5 -9.5 -2.8 -12.5 -9.6 18.0 18.1 3.8 14.2 12.2 -19.8 5.7 3.3 4.8 3.8 3.6 5.6 -3.6 11.0 20.0 3.1 17.1 4.2 -5.8 11.1 3.1 ROBUSTA -10.7 20.0 20.0 2.1 -2.8 0.4 -2.1 -2.0 0.6 -5.3 16.0 1.9 16.1 13.1 15.7 20.0 20.0 20.0 20.0 20.0 20.0 4.2 20.0 16.5 -20.0 5.8 -0.8 7.0 0.7 6.4 2.9 20.0 12.9 13.4 20.0 20.0 -19.5 -16.6 -8.3 1.0 RUSSELL -2.8 -3.1 18.5 3.3 4.0 2.8 3.3 1.8 3.3 -1.4 6.1 2.2 3.7 1.3 6.8 -6.0 -6.2 -6.2 -6.3 5.2 5.3 1.9 2.6 3.7 -1.8 3.0 1.3 2.8 2.3 1.7 2.6 0.3 -3.0 -9.1 -9.4 -2.3 -20.0 -20.0 -20.0 -20.0 SHATZ -20.0 -20.0 20.0 -0.6 -1.6 0.3 -2.1 -0.5 -2.1 -7.1 -2.1 -7.8 -4.9 -7.9 -4.8 -20.0 -20.0 -20.0 -20.0 -7.3 -2.6 -13.6 -4.3 -12.6 7.8 -1.6 -3.6 -0.2 -3.7 -0.7 -3.2 -20.0 -11.8 -7.6 -9.0 -6.4 -20.0 -20.0 -8.2 -20.0 SILVER-mini 2.0 -8.7 -1.9 -3.4 1.5 -3.0 1.2 -1.6 -1.5 0.8 -5.4 2.1 -3.0 -7.4 -11.1 -6.7 -6.6 -6.9 -6.8 -5.9 -5.5 1.3 -3.4 -2.4 5.2 -2.2 4.9 -2.3 4.9 -1.0 0.8 -1.2 6.2 5.2 6.7 2.7 -20.0 -17.4 13.9 -5.0 SMI -3.9 3.8 15.4 6.3 7.5 5.2 6.2 3.4 6.2 13.3 12.0 12.0 5.9 7.7 16.4 11.0 6.0 10.5 8.2 10.7 8.5 16.0 3.4 11.2 11.7 5.6 6.7 5.1 7.4 2.2 5.3 20.0 3.4 -13.3 -3.5 -13.1 5.9 -6.0 13.7 -8.2 SOFR -20.0 -13.9 16.0 -0.7 -1.8 0.4 -2.4 -0.6 -2.3 -6.7 3.4 -7.8 0.0 -7.7 1.5 1.5 0.3 1.5 0.9 -2.9 0.7 -8.9 -0.8 -8.1 -2.0 -0.1 -3.2 1.2 -4.3 0.3 -2.9 2.4 -5.9 -1.8 2.4 1.9 -20.0 -20.0 -4.5 -2.5 SOYBEAN -8.0 -20.0 -19.5 2.7 -3.6 0.6 -2.7 -2.5 0.8 -16.3 -15.1 -18.0 -2.3 -20.0 -20.0 6.7 14.9 9.5 11.6 -20.0 -20.0 -20.0 -12.8 -20.0 -20.0 -7.1 -7.9 -4.5 -9.3 -1.8 -8.5 20.0 -20.0 -20.0 -20.0 -20.0 -8.5 -20.0 -8.0 -20.0 SOYMEAL -9.3 -20.0 -20.0 1.9 -2.5 0.4 -1.9 -1.8 0.6 -10.1 -13.0 -12.2 -6.9 -13.9 -14.7 -3.4 12.1 2.7 7.4 -20.0 -17.9 -15.7 -8.1 -20.0 -20.0 -5.1 -3.5 -3.4 -4.6 -0.8 -5.1 20.0 -13.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 2.2 -4.3 -16.5 1.8 -2.5 0.4 -1.9 -1.7 0.6 -12.8 -12.3 -9.0 -9.7 -8.4 -11.1 -5.5 4.3 -3.8 -0.0 -13.5 -16.2 -13.8 -13.8 -11.0 -20.0 -3.9 -8.8 -4.5 -7.3 -4.0 -4.4 10.0 -15.5 -12.2 -13.9 -9.1 -11.5 -5.4 -6.9 5.7 SP400 -0.6 1.8 20.0 4.3 5.2 3.6 4.3 2.4 4.3 8.0 11.1 8.2 8.4 8.4 12.4 -5.8 -5.3 -5.7 -5.5 10.6 10.2 8.5 6.4 8.9 -10.1 4.5 4.7 4.2 4.9 2.9 4.3 1.8 -1.1 -8.1 -7.8 -1.2 -20.0 -8.9 -19.2 -20.0 SP500_micro 0.2 8.1 20.0 5.7 6.8 4.7 5.6 3.1 5.6 11.4 18.4 14.0 17.1 16.5 18.9 -12.8 -11.0 -12.7 -12.0 20.0 20.0 16.6 20.0 20.0 -20.0 6.9 5.8 6.6 5.6 5.2 6.0 -8.7 -3.1 3.2 18.7 18.4 5.8 -3.3 18.9 -6.1 SUGAR11 0.5 9.7 -20.0 2.2 -3.0 0.5 -2.2 -2.1 0.7 -14.6 -4.1 -13.9 7.4 5.7 -4.0 16.5 19.4 19.6 19.9 -3.5 -5.8 -9.4 3.4 -2.7 -20.0 -2.9 -1.7 -3.5 -2.1 1.4 -1.4 20.0 -5.4 -7.2 1.8 -20.0 12.1 -1.4 19.4 9.3 US10 -19.9 -9.3 17.9 -0.6 -1.6 0.4 -2.2 -0.5 -2.2 -7.2 1.5 -7.8 -2.4 -7.4 1.5 -9.1 -8.0 -9.1 -8.7 -2.6 -0.4 -8.5 -3.8 -7.4 1.7 -0.0 -3.1 0.8 -4.0 -0.7 -2.6 -13.0 -5.2 -1.2 2.9 1.6 -20.0 -20.0 -16.2 8.2 US10U -18.0 -9.5 17.5 -0.9 -2.3 0.5 -3.1 -0.7 -3.0 -10.2 1.2 -11.0 -3.3 -10.7 1.7 -1.1 0.4 0.5 0.7 -3.8 -1.0 -11.4 -5.9 -10.0 -0.9 0.1 -3.9 1.0 -5.2 -1.2 -3.4 2.3 -5.4 1.0 3.8 2.1 -20.0 -20.0 9.3 19.6 US2 -20.0 -10.0 20.0 -0.6 -1.5 0.3 -2.1 -0.5 -2.0 -6.7 -0.1 -7.2 -4.7 -6.8 -1.1 -20.0 -20.0 -20.0 -20.0 -3.9 -1.3 -10.1 -5.0 -9.0 8.8 -0.4 -3.5 0.7 -4.3 -0.7 -3.0 -20.0 -9.4 -7.6 1.6 -0.1 -19.9 -20.0 -15.0 -20.0 US20 -15.7 -9.3 19.3 -0.7 -1.7 0.4 -2.3 -0.5 -2.2 -6.3 1.6 -8.0 -1.7 -7.7 2.0 0.0 -1.0 -0.2 -0.6 -1.8 0.0 -7.4 -4.1 -6.5 -1.3 0.5 -2.0 1.0 -3.0 -0.9 -1.8 -0.4 -1.9 3.9 3.6 4.0 -20.0 -20.0 20.0 20.0 US30 -11.6 -10.1 16.9 -0.8 -2.1 0.4 -2.8 -0.7 -2.7 -7.0 0.7 -9.6 -3.3 -9.5 1.6 -9.7 -5.8 -8.4 -7.1 -2.8 -1.2 -7.3 -6.3 -7.1 -0.7 0.4 -1.8 0.8 -3.1 -1.6 -2.1 -9.5 0.9 7.2 3.4 2.2 -15.5 -18.2 20.0 20.0 US5 -20.0 -10.8 18.7 -0.6 -1.6 0.3 -2.2 -0.5 -2.1 -6.9 1.8 -7.5 -2.8 -7.0 0.8 -9.5 -10.2 -9.9 -10.3 -3.2 -0.4 -9.2 -3.3 -8.1 3.7 -0.2 -3.3 0.8 -4.2 -0.4 -2.8 -16.5 -6.9 -4.0 2.3 1.0 -20.0 -20.0 -20.0 -6.9 VIX 7.6 2.6 -14.6 -7.1 -6.5 -10.2 -3.4 -13.9 -4.0 -5.5 -20.0 1.6 -20.0 -11.5 -20.0 -20.0 -20.0 -20.0 -20.0 -16.8 -20.0 -1.5 -20.0 -5.3 NaN -8.2 -7.1 -12.2 -4.8 -16.7 -4.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -14.5 -9.5 5.2 2.7 -3.6 0.6 -2.7 -2.5 0.8 -5.0 -20.0 -13.4 -20.0 -17.3 -15.0 -11.5 -10.8 -11.4 -11.2 -20.0 -20.0 -20.0 -20.0 -20.0 -1.1 -6.2 -9.4 -4.5 -13.4 -4.9 -10.4 -13.1 -20.0 -20.0 -20.0 -18.8 -20.0 -20.0 -18.7 -20.0 End of report for caleb_strategy_v3