******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240305_204002 produced at 2024-03-05 21:36:57.335786 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 0.07 0.00 -0.56 0.0 0.00 0.00 0.00 0.00 -7.67 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.31 0.0 0.00 0.00 0.00 0.00 -8.95 24.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.08 -0.30 0.0 0.09 -0.09 -0.08 -0.08 -59.33 17.0 -16 -16 caleb_strategy_v3 US2 False True 0.06 0.00 -0.22 0.0 0.00 0.00 0.00 0.00 -3.47 13.0 0 0 caleb_strategy_v3 CHF False True 0.04 -0.39 -0.18 0.0 0.00 -0.39 -0.39 -0.39 -4.09 13.0 -9 -9 caleb_strategy_v3 CAD False False 0.02 0.00 -0.11 0.0 0.65 -0.65 0.00 0.00 -4.82 29.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.10 -0.11 0.0 0.44 -0.44 -0.10 -0.08 -4.34 17.0 -4 -3 caleb_strategy_v3 BOBL False False 0.04 -0.51 -0.09 0.0 0.74 -0.74 -0.51 -0.51 -2.35 19.0 -13 -13 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.08 0.0 0.18 -0.18 0.00 0.00 -2.79 6.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.14 -0.14 -0.02 -0.02 -25.78 51.0 -6 -6 caleb_strategy_v3 US5 False False 0.03 -0.16 -0.07 0.0 0.82 -0.82 -0.16 -0.16 -2.17 25.0 -5 -5 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.07 0.0 0.08 -0.08 -0.07 -0.07 -10.68 12.0 -10 -10 caleb_strategy_v3 AUD False True 0.02 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -3.13 19.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.03 -0.04 0.0 0.12 -0.12 -0.03 -0.03 -2.03 7.0 -2 -2 caleb_strategy_v3 US10 False False 0.03 0.00 -0.04 0.0 0.58 -0.58 0.00 0.00 -1.05 17.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.04 0.0 0.05 -0.05 0.00 0.00 -4.00 5.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.04 0.0 0.04 -0.04 -0.03 -0.03 -25.80 26.0 -18 -18 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -3.26 9.0 -4 -4 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.36 9.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.05 -0.02 0.0 0.08 -0.08 -0.05 -0.05 -2.58 10.0 -6 -6 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.70 2.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.07 -0.07 -0.03 -0.03 -2.90 8.0 -3 -3 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.01 0.0 0.22 -0.22 0.00 0.00 -4.16 68.0 0 0 caleb_strategy_v3 DOW False True 0.01 0.09 -0.01 0.0 0.09 0.00 0.09 0.09 -2.41 66.0 16 15 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -1.54 18.0 0 0 caleb_strategy_v3 NZD False True 0.02 0.09 -0.01 0.0 0.09 0.00 0.09 0.09 -0.57 21.0 5 5 caleb_strategy_v3 US10U False False 0.04 0.00 -0.01 0.0 0.46 -0.46 0.00 0.00 -0.18 13.0 0 0 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.01 0.0 0.44 -0.44 -0.04 -0.04 -0.25 10.0 -1 -1 caleb_strategy_v3 GOLD_micro False False 0.01 -0.20 -0.00 0.0 0.36 -0.36 -0.20 -0.20 -0.72 56.0 -31 -31 caleb_strategy_v3 RICE False False 0.01 0.00 -0.00 0.0 0.04 -0.04 0.00 0.00 -0.07 4.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.00 0.00 0.0 0.33 -0.33 0.00 0.04 0.04 9.0 0 1 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.24 -0.24 0.00 0.00 -0.01 6.0 0 0 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.00 0.0 0.18 -0.18 0.00 0.00 -0.09 4.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.00 0.0 0.06 -0.06 -0.03 -0.03 -0.17 2.0 -1 -1 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 0.00 0.0 0.02 -0.02 0.00 0.00 0.44 3.0 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 SILVER-mini False False 0.02 0.00 0.00 0.0 0.00 -0.00 0.00 0.00 0.23 0.0 0 0 caleb_strategy_v3 EUR False False 0.04 0.00 0.00 0.0 0.58 -0.58 0.00 0.04 0.05 14.0 0 1 caleb_strategy_v3 PLAT False False 0.01 -0.01 -0.00 0.0 0.13 -0.13 -0.01 -0.01 -0.32 10.0 -1 -1 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.67 3.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.22 0.01 0.0 0.25 -0.25 0.22 0.21 0.71 23.0 20 19 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.0 0.22 -0.22 0.02 0.02 1.27 23.0 2 2 caleb_strategy_v3 SP400 False True 0.09 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.09 2.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 0.00 0.01 0.0 0.16 -0.16 0.00 0.00 0.37 11.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.10 0.02 0.0 0.51 -0.51 0.10 0.10 1.04 26.0 5 5 caleb_strategy_v3 OAT False False 0.04 0.00 0.02 0.0 0.42 -0.42 0.00 0.00 0.36 10.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.03 0.0 0.37 -0.37 0.03 0.03 3.71 48.0 4 4 caleb_strategy_v3 BTP False False 0.04 0.20 0.03 0.0 0.39 -0.39 0.20 0.20 0.85 10.0 5 5 caleb_strategy_v3 DX False False 0.03 0.00 0.03 0.0 999.00 -999.00 0.00 0.00 1.00 999999999.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 0.00 0.03 0.0 0.10 -0.10 0.00 0.00 0.79 3.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.03 0.0 0.13 -0.13 0.13 0.13 0.96 4.0 4 4 caleb_strategy_v3 GASOIL False False 0.02 0.05 0.04 0.0 0.09 -0.09 0.05 0.05 1.57 4.0 2 2 caleb_strategy_v3 FEEDCOW False False 0.04 0.25 0.05 0.0 0.33 -0.33 0.25 0.25 1.20 8.0 6 6 caleb_strategy_v3 GBP False False 0.02 0.12 0.06 0.0 0.53 -0.53 0.12 0.12 2.53 22.0 5 5 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.09 0.0 0.38 -0.38 0.00 0.00 4.04 17.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.09 0.0 0.00 0.00 0.00 0.00 41.86 59.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.18 0.10 0.0 0.18 0.00 0.18 0.18 3.68 12.0 7 7 caleb_strategy_v3 LEANHOG False False 0.01 0.04 0.11 0.0 0.16 -0.16 0.04 0.04 8.65 13.0 3 3 caleb_strategy_v3 SMI False False 0.04 0.35 0.12 0.0 0.35 -0.35 0.35 0.35 3.06 9.0 9 9 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.00 0.15 0.0 0.81 -0.81 0.00 0.00 1.80 10.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.07 0.16 0.0 0.11 -0.11 0.07 0.07 7.19 5.0 3 3 caleb_strategy_v3 EUROSTX False True 0.02 0.21 0.16 0.0 0.21 0.00 0.21 0.21 9.85 20.0 13 13 caleb_strategy_v3 DAX False False 0.01 0.00 0.18 0.0 0.34 -0.34 0.00 0.00 30.73 58.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.31 0.0 0.29 -0.29 0.28 0.28 38.86 36.0 35 35 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.27 0.52 0.0 0.47 -0.47 0.27 0.27 17.60 16.0 9 9 caleb_strategy_v3 MXP False False 0.01 0.53 0.88 0.0 0.54 -0.54 0.53 0.53 98.55 60.0 59 59 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 25.3 Shocked risk 83.9 Sum abs risk 63.0 Leverage 5.85 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3282598.87, 'annual_cash_vol_target': 820649.7175, 'daily_cash_vol_target': 51290.60734375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0036 0.6506 0.5533 8.8531 BITCOIN 1468.6528 68290.0000 2.1506 34.4098 BOBL 0.2622 118.2000 0.2218 3.5492 BTP 0.5780 118.5900 0.4874 7.7976 BUND 0.5343 133.3100 0.4008 6.4125 BUXL 1.2775 135.7200 0.9413 15.0607 CAC 49.2473 7923.5000 0.6215 9.9445 CAD 0.0027 0.7368 0.3619 5.7897 CANOLA 6.5638 595.6000 1.1020 17.6327 CHF 0.0049 1.1332 0.4308 6.8926 COCOA 142.1351 6428.0000 2.2112 35.3790 COFFEE 3.1326 184.2000 1.7007 27.2107 COPPER 0.0354 3.8650 0.9169 14.6710 CORN 4.6728 458.7500 1.0186 16.2976 COTTON2 1.5341 94.3500 1.6260 26.0154 CRUDE_W 0.8760 73.2400 1.1960 19.1366 DAX 103.6005 17950.0000 0.5772 9.2346 DOW 225.0149 38537.0000 0.5839 9.3423 DX 0.3319 103.3950 0.3210 5.1367 EUR 0.0040 1.0898 0.3696 5.9143 EURIBOR-ICE 0.0484 97.6850 0.0495 0.7925 EUROSTX 32.7351 4878.0000 0.6711 10.7372 FEEDCOW 1.7143 269.5500 0.6360 10.1755 GASOIL 12.6269 770.0000 1.6399 26.2377 GASOLINE 0.0396 2.4925 1.5892 25.4267 GAS_US_mini 0.0880 2.1000 4.1923 67.0775 GBP 0.0052 1.2708 0.4062 6.4997 GOLD_micro 14.3762 2138.8000 0.6722 10.7546 HEATOIL 0.0378 2.5261 1.4967 23.9473 JGB-SGX-mini 0.2413 146.6000 0.1646 2.6337 JPY 0.0000 0.0068 0.5322 8.5155 LEANHOG 0.9821 101.7500 0.9652 15.4439 LIVECOW 1.2095 183.3000 0.6598 10.5575 LUMBER-new 6.0947 604.0000 1.0090 16.1448 MILK 0.2192 16.9100 1.2960 20.7364 MXP 0.0003 0.0589 0.5188 8.3014 NASDAQ_micro 159.0757 18099.7500 0.8789 14.0621 NIKKEI 337.4328 39525.0000 0.8537 13.6595 NZD 0.0038 0.6084 0.6210 9.9353 OAT 0.5290 128.5100 0.4117 6.5868 OATIES 5.8511 357.0000 1.6390 26.2234 OJ 7.1275 363.5000 1.9608 31.3730 PALLAD 25.0296 951.0000 2.6319 42.1108 PLAT 14.5743 885.4000 1.6461 26.3372 REDWHEAT 9.3850 558.0000 1.6819 26.9103 RICE 0.1860 18.2700 1.0181 16.2900 ROBUSTA 40.7371 3175.0000 1.2831 20.5289 RUSSELL 23.8321 2076.8000 1.1475 18.3606 SHATZ 0.0871 105.7950 0.0824 1.3179 SILVER-mini 0.3431 24.2125 1.4172 22.6751 SMI 65.9948 11368.0000 0.5805 9.2885 SOFR 0.0694 96.4850 0.0719 1.1506 SOYBEAN 9.2299 1144.5000 0.8065 12.9033 SOYMEAL 4.0394 333.2000 1.2123 19.3970 SOYOIL 0.5651 45.4100 1.2444 19.9110 SP400 23.6433 2916.7000 0.8106 12.9699 SP500_micro 33.1612 5068.5000 0.6543 10.4682 SUGAR11 0.3543 20.6100 1.7191 27.5052 US10 0.4199 111.2812 0.3773 6.0375 US10U 0.5667 115.2031 0.4919 7.8701 US2 0.1179 102.5312 0.1150 1.8403 US20 0.8226 120.8125 0.6809 10.8942 US30 1.2194 130.0938 0.9373 14.9969 US5 0.2819 107.4219 0.2624 4.1981 VIX 0.4268 16.5000 2.5865 41.3846 WHEAT 8.3425 580.0000 1.4384 23.0137 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 650.60 0.55 359.99 1.00 359.99 51290.61 142.48 -8.45 -120.46 BITCOIN 68.29 2.15 146.87 1.00 146.87 51290.61 349.24 11.07 386.57 BOBL 1182.00 0.22 262.20 1.09 284.50 51290.61 180.28 -12.83 -231.25 BTP 1185.90 0.49 577.95 1.09 627.11 51290.61 81.79 3.04 24.84 BUND 1333.10 0.40 534.28 1.09 579.72 51290.61 88.47 -2.83 -25.05 BUXL 1357.20 0.94 1277.52 1.09 1386.18 51290.61 37.00 -2.33 -8.63 CAC 792.35 0.62 492.47 1.09 534.36 51290.61 95.99 11.23 107.79 CAD 736.80 0.36 266.61 1.00 266.61 51290.61 192.38 -9.66 -185.92 CANOLA 119.12 1.10 131.28 0.74 96.81 51290.61 529.80 -20.00 -1059.60 CHF 1416.50 0.43 610.21 1.00 610.21 51290.61 84.05 -18.76 -157.71 COCOA 642.80 2.21 1421.35 1.00 1421.35 51290.61 36.09 13.47 48.62 COFFEE 690.75 1.70 1174.74 1.00 1174.74 51290.61 43.66 -1.60 -6.99 COPPER 966.25 0.92 885.99 1.00 885.99 51290.61 57.89 -4.45 -25.75 CORN 229.38 1.02 233.64 1.00 233.64 51290.61 219.53 -20.00 -439.05 COTTON2 471.75 1.63 767.05 1.00 767.05 51290.61 66.87 2.61 17.44 CRUDE_W 732.40 1.20 875.98 1.00 875.98 51290.61 58.55 11.34 66.38 DAX 179.50 0.58 103.60 1.09 112.41 51290.61 456.27 19.74 900.88 DOW 192.68 0.58 112.51 1.00 112.51 51290.61 455.89 -2.28 -103.77 DX 1033.95 0.32 331.95 1.00 331.95 51290.61 154.52 2.50 38.68 EUR 1362.31 0.37 503.57 1.00 503.57 51290.61 101.85 0.19 1.96 EURIBOR-ICE 2442.12 0.05 120.96 1.09 131.24 51290.61 390.80 1.35 52.85 EUROSTX 487.80 0.67 327.35 1.09 355.19 51290.61 144.40 20.00 288.81 FEEDCOW 1347.75 0.64 857.13 1.00 857.13 51290.61 59.84 6.03 36.10 GASOIL 770.00 1.64 1262.69 1.00 1262.69 51290.61 40.62 8.91 36.21 GASOLINE 1046.85 1.59 1663.62 1.00 1663.62 51290.61 30.83 7.18 22.13 GAS_US_mini 52.50 4.19 220.10 1.00 220.10 51290.61 233.04 -10.22 -238.27 GBP 794.25 0.41 322.65 1.00 322.65 51290.61 158.97 6.14 97.63 GOLD_micro 213.88 0.67 143.76 1.00 143.76 51290.61 356.78 -0.59 -21.12 HEATOIL 1060.96 1.50 1587.95 1.00 1587.95 51290.61 32.30 5.63 18.19 JGB-SGX-mini 146600.00 0.16 24131.19 0.01 160.49 51290.61 319.59 5.08 162.50 JPY 847.25 0.53 450.92 1.00 450.92 51290.61 113.75 -14.71 -167.30 LEANHOG 407.00 0.97 392.85 1.00 392.85 51290.61 130.56 10.90 142.29 LIVECOW 733.20 0.66 483.80 1.00 483.80 51290.61 106.02 11.50 121.96 LUMBER-new 166.10 1.01 167.60 1.00 167.60 51290.61 306.02 0.67 20.64 MILK 338.20 1.30 438.32 1.00 438.32 51290.61 117.02 -15.97 -186.85 MXP 294.45 0.52 152.77 1.00 152.77 51290.61 335.73 20.00 671.46 NASDAQ_micro 362.00 0.88 318.15 1.00 318.15 51290.61 161.21 1.91 30.75 NIKKEI 39525.00 0.85 33743.28 0.01 224.42 51290.61 228.55 15.70 358.86 NZD 608.40 0.62 377.79 1.00 377.79 51290.61 135.76 -1.61 -21.81 OAT 1285.10 0.41 529.05 1.09 574.04 51290.61 89.35 1.17 10.48 OATIES 178.50 1.64 292.55 1.00 292.55 51290.61 175.32 -8.67 -152.02 OJ 545.25 1.96 1069.13 1.00 1069.13 51290.61 47.97 6.56 31.49 PALLAD 951.00 2.63 2502.96 1.00 2502.96 51290.61 20.49 -2.42 -4.97 PLAT 442.70 1.65 728.72 1.00 728.72 51290.61 70.38 -1.32 -9.26 REDWHEAT 279.00 1.68 469.25 1.00 469.25 51290.61 109.30 -20.00 -218.61 RICE 365.40 1.02 372.02 1.00 372.02 51290.61 137.87 -0.21 -2.87 ROBUSTA 317.50 1.28 407.37 1.00 407.37 51290.61 125.91 8.66 109.04 RUSSELL 103.84 1.15 119.16 1.00 119.16 51290.61 430.43 -2.91 -125.40 SHATZ 1057.95 0.08 87.14 1.09 94.55 51290.61 542.47 -16.26 -882.27 SILVER-mini 605.31 1.42 857.84 1.00 857.84 51290.61 59.79 1.14 6.82 SMI 1136.80 0.58 659.95 1.13 747.66 51290.61 68.60 13.08 89.71 SOFR 2412.12 0.07 173.46 1.00 173.46 51290.61 295.70 -4.27 -126.22 SOYBEAN 572.25 0.81 461.50 1.00 461.50 51290.61 111.14 -19.65 -218.35 SOYMEAL 333.20 1.21 403.94 1.00 403.94 51290.61 126.98 -20.00 -253.95 SOYOIL 272.46 1.24 339.06 1.00 339.06 51290.61 151.27 -18.31 -276.95 SP400 2916.70 0.81 2364.33 1.00 2364.33 51290.61 21.69 1.29 2.80 SP500_micro 253.42 0.65 165.81 1.00 165.81 51290.61 309.34 5.16 159.62 SUGAR11 230.83 1.72 396.82 1.00 396.82 51290.61 129.25 -5.61 -72.57 US10 1112.81 0.38 419.91 1.00 419.91 51290.61 122.15 -6.79 -82.94 US10U 1152.03 0.49 566.66 1.00 566.66 51290.61 90.51 -1.57 -14.19 US2 2050.62 0.12 235.86 1.00 235.86 51290.61 217.46 -12.58 -273.47 US20 1208.12 0.68 822.59 1.00 822.59 51290.61 62.35 0.55 3.43 US30 1300.94 0.94 1219.37 1.00 1219.37 51290.61 42.06 -0.25 -1.06 US5 1074.22 0.26 281.85 1.00 281.85 51290.61 181.98 -9.43 -171.62 VIX 165.00 2.59 426.78 1.00 426.78 51290.61 120.18 -20.00 -240.36 WHEAT 290.00 1.44 417.12 1.00 417.12 51290.61 122.96 -20.00 -245.93 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -120.460 0.010 2.5 -3.125 BITCOIN 386.575 0.043 2.5 41.861 BOBL -231.255 0.004 2.5 -2.345 BTP 24.837 0.014 2.5 0.847 BUND -25.049 0.004 2.5 -0.254 BUXL -8.631 0.004 2.5 -0.088 CAC 107.785 0.014 2.5 3.676 CAD -185.923 0.010 2.5 -4.824 CANOLA -1059.603 0.010 2.5 -25.779 CHF -157.711 0.010 2.5 -4.092 COCOA 48.619 0.009 2.5 1.041 COFFEE -6.987 0.005 2.5 -0.082 COPPER -25.750 0.043 2.5 -2.788 CORN -439.055 0.010 2.5 -10.682 COTTON2 17.440 0.009 2.5 0.374 CRUDE_W 66.383 0.043 2.5 7.188 DAX 900.881 0.014 2.5 30.728 DOW -103.774 0.009 2.5 -2.412 DX 38.677 0.010 2.5 1.004 EUR 1.960 0.010 2.5 0.051 EURIBOR-ICE 52.852 0.014 2.5 1.803 EUROSTX 288.805 0.014 2.5 9.851 FEEDCOW 36.100 0.013 2.5 1.196 GASOIL 36.209 0.017 2.5 1.570 GASOLINE 22.130 0.017 2.5 0.959 GAS_US_mini -238.272 0.043 2.5 -25.802 GBP 97.629 0.010 2.5 2.533 GOLD_micro -21.125 0.014 2.5 -0.721 HEATOIL 18.191 0.017 2.5 0.789 JGB-SGX-mini 162.505 0.043 2.5 17.597 JPY -167.303 0.010 2.5 -4.341 LEANHOG 142.287 0.024 2.5 8.647 LIVECOW 121.959 0.013 2.5 4.041 LUMBER-new 20.644 0.009 2.5 0.442 MILK -186.846 0.009 2.5 -4.002 MXP 671.464 0.059 2.5 98.553 NASDAQ_micro 30.746 0.009 2.5 0.715 NIKKEI 358.857 0.043 2.5 38.860 NZD -21.811 0.010 2.5 -0.566 OAT 10.479 0.014 2.5 0.357 OATIES -152.023 0.010 2.5 -3.699 OJ 31.491 0.009 2.5 0.674 PALLAD -4.967 0.014 2.5 -0.169 PLAT -9.260 0.014 2.5 -0.316 REDWHEAT -218.607 0.005 2.5 -2.900 RICE -2.867 0.010 2.5 -0.070 ROBUSTA 109.043 0.005 2.5 1.273 RUSSELL -125.400 0.013 2.5 -4.155 SHATZ -882.272 0.004 2.5 -8.947 SILVER-mini 6.818 0.014 2.5 0.233 SMI 89.706 0.014 2.5 3.060 SOFR -126.218 0.024 2.5 -7.671 SOYBEAN -218.347 0.004 2.5 -2.031 SOYMEAL -253.951 0.004 2.5 -2.362 SOYOIL -276.951 0.004 2.5 -2.578 SP400 2.802 0.013 2.5 0.093 SP500_micro 159.624 0.009 2.5 3.710 SUGAR11 -72.569 0.009 2.5 -1.543 US10 -82.936 0.005 2.5 -1.051 US10U -14.186 0.005 2.5 -0.180 US2 -273.469 0.005 2.5 -3.465 US20 3.430 0.005 2.5 0.043 US30 -1.063 0.005 2.5 -0.013 US5 -171.618 0.005 2.5 -2.175 VIX -240.361 0.099 2.5 -59.331 WHEAT -245.925 0.005 2.5 -3.262 ===================== Position diags ===================== AUD 3.70 BITCOIN 37.82 BOBL 1.83 BTP 2.79 BUND 0.90 BUXL 0.38 CAC 3.27 CAD 4.99 CANOLA 12.89 CHF 2.18 COCOA 0.77 COFFEE 0.51 COPPER 6.27 CORN 5.34 COTTON2 1.43 CRUDE_W 6.34 DAX 15.56 DOW 10.59 DX 4.01 EUR 2.64 EURIBOR-ICE 13.33 EUROSTX 4.93 FEEDCOW 1.98 GASOIL 1.76 GASOLINE 1.34 GAS_US_mini 25.23 GBP 4.12 GOLD_micro 12.17 HEATOIL 1.40 JGB-SGX-mini 34.61 JPY 2.95 LEANHOG 7.93 LIVECOW 3.51 LUMBER-new 6.55 MILK 2.51 MXP 49.28 NASDAQ_micro 3.75 NIKKEI 24.75 NZD 3.52 OAT 3.05 OATIES 4.27 OJ 1.03 PALLAD 0.70 PLAT 2.40 REDWHEAT 1.45 RICE 3.35 ROBUSTA 1.47 RUSSELL 14.26 SHATZ 5.50 SILVER-mini 2.04 SMI 2.34 SOFR 17.97 SOYBEAN 1.03 SOYMEAL 1.18 SOYOIL 1.41 SP400 0.72 SP500_micro 7.19 SUGAR11 2.75 US10 1.55 US10U 1.15 US2 2.76 US20 0.79 US30 0.53 US5 2.31 VIX 29.67 WHEAT 1.63 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -3.1 -3.5 -2.8 0.0 0 BITCOIN 41.9 38.1 45.6 0.0 0 BOBL -2.3 -2.5 -2.2 -13.0 -13 BTP 0.8 0.6 1.1 5.0 5 BUND -0.3 -0.3 -0.2 -1.0 -1 BUXL -0.1 -0.1 -0.1 0.0 0 CAC 3.7 3.3 4.0 7.0 7 CAD -4.8 -5.3 -4.3 0.0 0 CANOLA -25.8 -27.1 -24.5 -6.0 -6 CHF -4.1 -4.3 -3.9 -9.0 -9 COCOA 1.0 1.0 1.1 5.0 5 COFFEE -0.1 -0.1 -0.0 0.0 0 COPPER -2.8 -3.4 -2.2 0.0 0 CORN -10.7 -11.2 -10.1 -10.0 -10 COTTON2 0.4 0.2 0.5 0.0 0 CRUDE_W 7.2 6.6 7.8 3.0 3 DAX 30.7 29.2 32.3 0.0 0 DOW -2.4 -3.5 -1.4 16.0 16 DX 1.0 0.6 1.4 NaN 0 EUR 0.1 -0.2 0.3 0.0 0 EURIBOR-ICE 1.8 0.5 3.1 0.0 0 EUROSTX 9.9 9.4 10.3 13.0 13 FEEDCOW 1.2 1.0 1.4 6.0 6 GASOIL 1.6 1.4 1.7 2.0 2 GASOLINE 1.0 0.8 1.1 4.0 4 GAS_US_mini -25.8 -28.3 -23.3 -18.0 -18 GBP 2.5 2.1 2.9 5.0 5 GOLD_micro -0.7 -1.9 0.5 -31.0 -31 HEATOIL 0.8 0.6 0.9 0.0 0 JGB-SGX-mini 17.6 14.1 21.1 9.0 9 JPY -4.3 -4.6 -4.0 -4.0 -4 LEANHOG 8.6 7.9 9.4 3.0 3 LIVECOW 4.0 3.7 4.4 0.0 0 LUMBER-new 0.4 -0.2 1.1 NaN 0 MILK -4.0 -4.3 -3.8 NaN 0 MXP 98.6 93.6 103.5 59.0 59 NASDAQ_micro 0.7 0.3 1.1 20.0 20 NIKKEI 38.9 36.4 41.3 35.0 35 NZD -0.6 -0.9 -0.2 5.0 5 OAT 0.4 0.1 0.7 0.0 0 OATIES -3.7 -4.1 -3.3 NaN 0 OJ 0.7 0.6 0.8 NaN 0 PALLAD -0.2 -0.2 -0.1 -1.0 -1 PLAT -0.3 -0.6 -0.1 -1.0 -1 REDWHEAT -2.9 -3.0 -2.8 -3.0 -3 RICE -0.1 -0.4 0.3 NaN 0 ROBUSTA 1.3 1.1 1.4 2.0 2 RUSSELL -4.2 -5.6 -2.7 0.0 0 SHATZ -8.9 -9.5 -8.4 NaN 0 SILVER-mini 0.2 0.0 0.4 NaN 0 SMI 3.1 2.8 3.3 9.0 9 SOFR -7.7 -9.5 -5.9 NaN 0 SOYBEAN -2.0 -2.1 -1.9 -2.0 -2 SOYMEAL -2.4 -2.5 -2.2 0.0 0 SOYOIL -2.6 -2.7 -2.4 -6.0 -6 SP400 0.1 0.0 0.2 0.0 0 SP500_micro 3.7 3.0 4.4 4.0 4 SUGAR11 -1.5 -1.8 -1.3 0.0 0 US10 -1.1 -1.2 -0.9 0.0 0 US10U -0.2 -0.3 -0.1 0.0 0 US2 -3.5 -3.7 -3.2 NaN 0 US20 0.0 -0.0 0.1 0.0 0 US30 -0.0 -0.1 0.0 0.0 0 US5 -2.2 -2.4 -1.9 -5.0 -5 VIX -59.3 -62.3 -56.4 -16.0 -16 WHEAT -3.3 -3.4 -3.1 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.0 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.9 3.9 3.9 3.9 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -0.0 -0.4 0.1 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.1 -0.0 -0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 -0.1 0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.3 0.0 -0.3 -0.2 -0.7 -0.3 -0.3 0.0 BITCOIN 0.6 0.2 0.4 -0.0 0.1 -0.1 0.1 -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 0.1 0.2 0.2 0.2 0.1 -0.1 0.5 0.6 0.6 0.6 -0.2 0.1 0.4 0.2 BOBL -0.6 -0.6 0.4 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.4 -0.3 -0.4 -0.4 -0.1 -0.0 -0.0 -0.1 -0.1 0.9 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.2 -0.3 -0.2 -0.2 -0.7 -0.7 0.1 -0.7 BTP -0.1 -0.3 0.6 -0.0 0.1 0.0 0.0 -0.0 -0.0 0.1 0.3 0.1 0.3 -0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.0 -2.2 0.0 0.1 0.1 0.1 0.2 0.0 0.6 0.0 0.3 0.3 0.3 -0.5 -0.6 0.6 0.1 BUND -0.4 -0.6 0.5 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.0 -0.0 -0.0 -0.1 -0.0 0.0 0.1 0.1 0.1 -0.0 0.0 0.0 -0.0 -0.1 0.6 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.4 -0.1 -0.1 -0.1 -0.1 -0.6 -0.7 0.3 -0.4 BUXL -0.1 -0.5 0.6 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.1 0.0 -0.2 -0.1 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 -0.0 0.0 -0.0 0.1 0.0 0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 -0.7 -0.7 0.2 0.1 CAC 0.5 0.6 0.5 0.1 0.0 0.2 0.1 0.2 0.1 0.1 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 -1.4 0.1 0.0 0.2 0.1 0.2 0.1 -0.0 -0.1 0.1 0.1 -0.1 -0.1 0.5 -0.0 0.7 CAD -0.3 -0.3 0.3 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 -0.1 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.4 -0.3 -0.2 -0.1 -0.5 -0.5 0.0 -0.4 CANOLA 0.2 -0.2 -0.6 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.3 0.0 -0.3 -0.1 -0.1 -0.3 -0.1 -0.3 -0.2 -0.2 -0.2 0.0 -0.5 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.4 0.1 -0.2 -0.6 -0.6 -0.7 -0.7 -0.6 -0.3 CHF -0.5 -0.6 0.1 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.0 -0.2 0.1 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.0 -0.1 0.1 -0.2 -0.6 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -1.1 -0.2 -0.6 -0.6 0.0 -0.7 -0.6 -0.3 -0.6 COCOA -0.4 -0.1 -0.4 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 0.3 0.1 0.4 0.1 0.1 0.4 0.2 0.4 0.3 0.2 0.2 0.1 0.3 0.2 -1.7 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.5 0.6 0.6 0.6 0.4 0.1 0.7 0.7 COFFEE -0.3 -0.0 0.4 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.0 0.3 -0.0 0.2 0.0 0.0 0.4 0.2 0.4 0.2 0.0 0.1 -0.0 0.2 -0.0 -2.7 0.0 0.0 0.1 0.0 0.2 -0.0 1.1 -0.0 0.1 -0.5 0.4 -0.3 -0.7 -0.1 -0.4 COPPER 0.3 0.0 0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.0 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 -0.1 0.1 -1.8 -0.0 -0.0 -0.0 0.0 -0.0 0.0 0.1 -0.4 -0.2 0.1 0.4 -0.7 -0.1 0.4 0.1 CORN 0.1 -0.1 -0.3 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.5 -0.1 -0.7 -0.2 -0.2 -0.4 -0.1 -0.3 -0.2 -0.2 -0.2 -0.0 -0.5 -0.2 -2.5 -0.1 -0.0 -0.2 -0.0 -0.2 -0.1 -0.6 -0.1 -0.6 -0.6 -0.6 -0.2 -0.7 -0.1 -0.0 COTTON2 0.2 0.6 0.5 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.2 0.0 0.1 0.1 0.1 0.1 -0.0 -0.0 -0.1 0.2 0.1 0.1 0.1 0.2 -2.7 0.1 -0.0 0.1 0.0 0.1 0.1 0.0 0.5 0.6 0.6 0.6 -0.6 -0.5 -0.3 0.0 CRUDE_W 0.1 0.2 -0.1 0.0 -0.0 0.1 0.0 0.1 0.0 0.1 0.0 0.2 0.3 0.2 0.1 0.2 0.2 0.2 0.2 0.1 0.0 0.0 0.3 0.1 -0.7 0.1 -0.0 0.1 0.0 0.3 0.1 -0.1 0.1 0.4 -0.2 -0.0 0.7 0.6 0.7 0.7 DAX 0.5 0.4 0.6 0.1 0.0 0.2 0.1 0.2 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 2.4 0.1 0.0 0.2 0.1 0.2 0.1 -0.6 0.5 0.3 0.0 0.2 -0.1 0.4 0.1 0.7 DOW -0.4 -0.0 0.6 0.1 0.0 0.1 0.0 0.1 0.1 -0.1 0.5 0.1 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 -0.0 0.5 0.1 -1.9 0.1 -0.0 0.2 -0.0 0.3 0.0 -0.4 -0.5 -0.6 -0.1 0.5 -0.2 -0.2 0.0 -0.4 DX 0.0 0.4 -0.1 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 0.2 -0.2 -0.0 0.1 0.1 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 -0.2 0.3 0.6 -0.6 0.6 0.1 0.7 0.3 EUR 0.1 -0.3 0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 -0.2 0.2 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.1 -0.0 2.6 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.4 0.3 0.5 0.1 -0.2 -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 0.0 0.1 -0.0 0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.1 1.9 -0.0 0.0 0.0 0.0 0.1 -0.0 -0.2 -0.1 -0.2 -0.1 0.1 -0.7 -0.7 0.2 0.7 EUROSTX 0.4 0.6 0.6 0.1 0.0 0.2 0.1 0.2 0.1 0.1 0.5 0.2 0.7 0.2 0.2 0.2 0.1 0.2 0.1 0.2 0.2 0.2 0.5 0.2 0.2 0.1 0.0 0.2 0.1 0.2 0.1 0.9 0.1 0.4 0.6 0.3 -0.3 0.5 -0.2 0.7 FEEDCOW -0.0 0.6 0.2 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.0 0.0 0.1 0.0 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.1 0.1 0.2 0.2 -1.0 0.1 0.0 0.1 0.0 0.1 0.0 -1.1 0.0 0.4 0.6 0.4 0.7 0.4 0.7 0.7 GASOIL -0.1 0.5 -0.1 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.2 -0.1 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 -0.0 0.3 0.1 1.0 0.0 -0.0 0.1 -0.0 0.2 0.0 1.1 -0.1 -0.0 0.1 0.2 -0.4 -0.2 -0.7 -0.4 GASOLINE 0.1 0.5 0.0 0.0 -0.0 0.1 0.0 0.1 0.0 -0.0 0.1 0.1 0.3 0.2 0.2 0.2 0.2 -0.1 -0.1 0.1 0.1 0.0 0.2 0.1 -2.7 0.1 -0.0 0.1 0.0 0.2 0.1 -0.6 0.2 0.6 0.2 0.5 0.7 0.5 0.7 0.4 GAS_US_mini 0.2 -0.2 -0.4 0.0 -0.0 0.0 0.0 0.0 0.0 0.1 -0.3 0.1 -0.4 -0.1 -0.1 -0.4 -0.4 -0.2 -0.3 -0.1 -0.2 0.0 -0.5 -0.0 2.5 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.1 0.3 -0.4 -0.6 -0.6 -0.4 -0.0 -0.7 -0.2 GBP -0.0 -0.1 0.3 -0.0 -0.0 0.1 -0.0 0.2 -0.0 0.2 0.1 0.2 0.4 0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.1 0.1 0.2 0.0 0.4 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.4 0.5 0.6 0.3 -0.7 -0.2 -0.7 0.1 GOLD_micro 0.2 -0.1 0.1 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.2 0.3 0.2 0.3 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.1 0.2 0.1 0.2 -0.5 0.0 0.2 0.1 0.2 0.1 0.1 -0.8 0.5 0.4 0.6 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL -0.2 0.4 -0.1 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.1 -0.1 0.2 0.0 0.1 0.4 0.4 0.4 0.4 0.0 0.1 -0.1 0.2 -0.0 -2.7 0.1 -0.0 0.1 -0.0 0.3 0.0 1.1 -0.1 0.1 0.1 0.3 0.6 0.1 0.5 0.0 JGB-SGX-mini -0.1 -0.3 0.4 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 0.1 0.1 0.2 -0.0 0.0 0.3 0.3 0.3 0.3 0.0 0.0 0.0 0.1 0.0 -0.7 0.0 0.0 0.0 0.0 0.0 0.0 1.1 -0.0 0.2 0.2 0.1 -0.2 -0.7 0.1 0.3 JPY -0.3 -0.6 0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.1 -0.4 -0.1 -0.5 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.0 -0.5 -0.1 2.7 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.1 -0.4 -0.5 -0.4 -0.6 -0.5 -0.5 -0.6 LEANHOG 0.5 0.6 0.3 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.2 0.2 0.2 -0.5 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.1 0.2 -0.3 0.2 2.5 0.1 0.1 0.1 0.1 -0.0 0.1 -1.1 0.5 0.6 0.6 0.6 -0.3 -0.3 0.2 0.4 LIVECOW 0.3 0.6 0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 0.1 0.2 0.0 0.2 0.2 0.4 -0.1 -0.0 -0.1 0.2 0.1 0.1 0.1 0.2 -0.6 0.1 0.0 0.1 0.0 0.1 0.1 -0.2 0.1 0.6 0.6 0.1 0.7 0.1 0.7 0.4 LUMBER-new 0.3 0.2 0.5 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.2 0.2 0.2 -0.5 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.1 0.2 -0.0 0.2 NaN 0.1 0.2 0.2 0.2 0.1 0.1 -1.2 0.6 0.7 0.0 0.7 -0.4 -0.8 -0.3 -0.6 MILK -0.0 0.6 0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.5 -0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.5 -0.1 1.4 -0.0 -0.1 -0.1 -0.1 -0.3 -0.0 -1.1 -0.4 -0.4 0.0 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.1 0.1 0.4 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.4 0.3 0.3 0.3 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.1 0.3 0.1 0.6 0.1 1.1 0.4 0.6 0.6 0.3 0.7 0.7 0.7 0.7 NASDAQ_micro -0.4 0.1 0.4 0.1 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 0.1 -2.7 0.1 -0.0 0.2 0.0 0.2 0.0 -0.4 -0.0 -0.2 0.4 0.4 0.5 -0.1 0.7 -0.2 NIKKEI 0.5 0.6 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 0.2 0.3 0.3 0.3 0.2 0.2 0.2 0.5 0.2 -2.3 0.1 0.0 0.2 0.1 0.2 0.1 1.1 0.5 0.6 0.6 0.6 -0.7 -0.2 -0.2 -0.1 NZD 0.0 -0.3 0.3 -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 0.0 -0.1 0.0 -0.0 0.2 -0.3 0.2 -0.1 0.1 -0.3 -0.3 -0.1 0.1 OAT -0.3 -0.5 0.6 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.1 -0.0 0.0 -0.1 -0.0 0.1 0.1 0.1 0.1 -0.0 0.0 0.0 0.0 -0.0 0.7 -0.0 0.0 0.0 0.0 0.0 -0.0 0.6 -0.1 -0.0 -0.1 0.0 -0.7 -0.7 0.3 0.1 OATIES 0.1 0.1 -0.4 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.4 0.0 -0.0 0.2 -0.1 0.1 -0.0 -0.0 -0.1 0.0 -0.3 0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 0.2 -0.0 -0.2 -0.3 0.1 0.0 0.4 OJ 0.2 0.3 -0.6 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 0.2 0.0 0.3 0.1 0.0 0.1 0.3 0.2 0.2 0.1 0.1 0.0 0.4 0.1 -2.7 0.0 -0.0 0.1 -0.0 0.3 0.0 1.1 -0.2 0.1 0.4 0.1 0.3 0.3 0.5 0.7 PALLAD 0.4 -0.0 0.3 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.2 0.0 -0.3 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.3 -0.0 1.2 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.4 -0.2 -0.2 -0.1 -0.1 -0.5 -0.3 -0.3 -0.2 PLAT 0.0 -0.3 0.0 -0.0 0.1 -0.1 0.0 -0.0 0.0 -0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 1.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.4 -0.3 -0.2 0.1 -0.4 -0.1 0.7 0.2 REDWHEAT -0.3 -0.1 -0.2 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 0.2 0.0 0.1 0.0 -0.2 -0.2 -0.1 -0.5 -0.2 -1.4 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 0.2 -0.2 -0.6 -0.6 -0.6 -0.5 -0.7 -0.4 -0.7 RICE -0.4 0.1 0.3 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.4 -0.1 0.6 0.0 0.1 -0.1 -0.1 -0.2 -0.2 0.1 0.2 -0.1 0.4 0.0 -2.5 0.0 -0.1 0.1 -0.0 0.2 0.0 -0.3 -0.0 0.2 0.2 0.5 0.2 -0.2 0.4 0.1 ROBUSTA -0.6 0.5 0.6 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 0.4 0.0 0.6 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.3 0.0 1.1 0.1 0.4 0.6 0.6 -0.7 -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 0.1 0.2 0.1 0.2 0.1 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 -0.2 -0.1 -0.3 -0.1 -0.7 -0.7 -0.7 -0.7 SHATZ -0.6 -0.6 0.2 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.2 -0.1 1.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.3 -0.4 -0.4 -0.2 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.3 -0.1 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.1 0.7 0.0 0.1 -0.0 0.1 -0.0 0.1 -0.1 0.2 0.4 0.3 0.1 -0.7 -0.6 0.6 -0.1 SMI 0.3 0.2 0.6 0.1 0.0 0.2 0.1 0.1 0.1 -0.0 0.4 0.2 0.3 0.2 0.2 0.2 0.1 0.2 0.2 0.2 0.1 0.1 0.2 0.2 1.8 0.1 0.0 0.2 0.0 0.1 0.1 1.1 -0.5 -0.6 -0.6 -0.4 0.3 -0.2 0.5 -0.3 SOFR -0.4 -0.5 0.4 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.1 0.0 -0.0 -0.1 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.3 -0.0 0.0 0.0 0.0 0.0 -0.0 0.1 0.0 -0.1 0.1 0.1 -0.7 -0.7 -0.1 -0.1 SOYBEAN -0.2 -0.6 -0.6 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.5 -0.1 -0.2 -0.2 -0.2 0.1 0.3 0.2 0.2 -0.2 -0.2 -0.1 -0.5 -0.2 -2.7 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 1.1 -0.2 -0.6 -0.6 -0.6 -0.3 -0.7 -0.2 -0.7 SOYMEAL -0.3 -0.6 -0.6 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 -0.4 -0.1 -0.3 -0.2 -0.2 -0.1 0.2 0.0 0.1 -0.2 -0.2 -0.1 -0.4 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 1.0 -0.4 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.2 -0.2 -0.6 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 -0.4 -0.1 -0.5 -0.1 -0.2 -0.1 0.1 -0.1 -0.0 -0.2 -0.2 -0.1 -0.5 -0.1 -2.7 -0.1 -0.0 -0.2 -0.0 -0.2 -0.1 0.4 -0.1 0.1 -0.6 -0.3 -0.5 -0.2 -0.3 0.2 SP400 0.3 0.3 0.6 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.4 0.2 0.4 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.3 0.2 -1.5 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.2 -0.1 0.0 -0.6 -0.3 -0.5 -0.7 SP500_micro -0.1 0.3 0.6 0.1 0.0 0.1 0.0 0.1 0.1 0.0 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 -2.7 0.1 -0.0 0.2 0.0 0.2 0.1 -0.5 0.0 0.0 0.6 0.6 0.2 -0.1 0.6 -0.2 SUGAR11 -0.4 0.2 -0.6 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.2 -0.1 -0.1 0.2 0.4 0.3 0.4 -0.1 -0.1 -0.2 0.0 -0.1 -2.7 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 1.1 -0.5 -0.4 -0.2 -0.6 0.5 0.0 0.7 0.4 US10 -0.4 -0.4 0.4 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 0.0 -0.1 -0.0 0.3 -0.0 0.0 0.0 0.0 -0.0 -0.0 -0.7 0.0 -0.1 0.1 0.1 -0.7 -0.7 -0.5 0.3 US10U -0.3 -0.4 0.4 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.0 -0.0 -0.1 -0.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.2 -0.0 -0.1 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.1 -0.1 0.2 0.1 -0.7 -0.7 0.3 0.7 US2 -0.6 -0.5 0.5 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.2 -0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.1 -0.0 -0.0 -0.2 -0.1 1.2 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.1 -0.3 -0.0 -0.0 -0.7 -0.7 -0.5 -0.7 US20 -0.3 -0.3 0.5 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.1 0.0 -0.1 -0.1 0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 0.0 0.2 0.2 -0.7 -0.7 0.7 0.7 US30 -0.1 -0.2 0.5 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.0 0.1 -0.1 -0.0 0.0 -0.2 -0.1 -0.2 -0.1 -0.0 -0.0 0.1 -0.2 0.0 -0.1 0.0 0.1 0.0 0.0 -0.1 0.0 -0.5 0.2 0.2 0.3 0.1 -0.5 -0.6 0.7 0.7 US5 -0.5 -0.5 0.4 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.2 -0.2 -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 -0.9 -0.0 -0.2 0.0 0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.3 0.3 -0.4 -0.1 0.1 -0.4 -0.0 -0.7 -0.1 0.1 -0.9 -0.2 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.0 -0.9 -0.1 NaN -0.2 0.1 -0.5 -0.0 -0.9 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.4 -0.3 0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.5 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.8 -0.4 -0.6 -0.6 -0.6 -0.6 -0.7 -0.4 -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 -0.7 -12.9 4.5 -1.7 -0.7 1.7 -1.3 3.5 -2.7 -13.9 -5.1 -0.7 -10.5 -13.1 -9.1 -3.1 -2.9 -2.9 -2.8 -7.7 -4.2 -6.5 -6.1 -8.3 2.8 -4.0 -3.9 -1.9 -4.0 -2.2 -4.7 -1.2 -11.7 0.0 -10.0 -7.3 -20.0 -10.3 -8.8 0.7 BITCOIN 20.0 7.4 12.3 -3.6 16.2 -4.6 7.9 -2.8 1.3 20.0 20.0 20.0 20.0 20.0 20.0 -9.3 -6.9 -8.6 -8.0 20.0 20.0 20.0 20.0 20.0 -20.0 8.7 16.4 6.9 14.9 5.3 11.8 -2.4 20.0 20.0 20.0 20.0 -6.9 1.8 13.4 5.7 BOBL -17.2 -20.0 11.0 -0.7 3.2 0.2 1.1 -0.7 -0.8 4.7 -0.2 -5.3 -1.6 -8.0 -5.0 -20.0 -17.3 -20.0 -20.0 -6.5 -1.5 -2.7 -2.2 -8.2 6.5 -1.9 2.0 -0.3 -0.7 -0.3 -2.4 -20.0 -7.7 -8.1 -7.7 -4.7 -20.0 -20.0 2.8 -20.0 BTP -4.0 -9.5 19.5 -1.1 5.6 0.3 1.9 -1.2 -1.4 12.0 9.3 7.8 9.1 -2.5 6.3 4.2 6.4 4.7 5.3 5.6 10.9 7.4 8.3 2.6 -16.5 2.9 9.9 5.5 4.8 4.5 1.8 11.3 1.1 10.7 10.5 8.9 -14.5 -18.8 17.4 2.6 BUND -10.9 -18.8 15.2 -0.7 3.6 0.2 1.2 -0.8 -0.9 6.2 1.3 -3.0 -1.1 -8.1 -2.6 0.8 4.1 2.7 2.8 -3.6 0.6 0.2 -1.5 -5.0 4.1 -1.3 3.9 0.3 0.4 -0.1 -1.8 6.9 -4.3 -2.8 -3.9 -1.8 -18.9 -20.0 8.2 -10.8 BUXL -4.4 -14.6 18.3 -0.9 4.5 0.3 1.6 -1.0 -1.2 8.5 2.5 2.4 -4.6 -8.2 -1.0 -3.3 0.1 -1.3 -0.5 -1.7 1.2 3.6 -3.6 -2.3 0.3 -0.5 6.8 0.9 2.2 -0.6 -0.7 1.1 -0.8 3.9 -0.9 1.6 -20.0 -20.0 5.6 2.5 CAC 16.4 17.5 16.5 8.1 2.1 6.6 5.9 4.4 7.8 8.3 20.0 19.9 20.0 20.0 20.0 -8.0 -5.7 -8.3 -7.6 20.0 20.0 20.0 20.0 20.0 -10.4 8.6 0.6 6.7 5.6 5.0 8.6 -0.3 -6.1 3.8 2.9 -4.2 -3.6 14.2 -0.2 20.0 CAD -8.5 -8.4 8.4 -1.9 -0.8 2.0 -1.5 4.0 -3.1 -20.0 -2.7 -20.0 -4.3 -20.0 -3.7 -2.2 -2.2 -2.1 -2.1 -6.5 -1.8 -13.9 -4.0 -12.3 0.2 -4.0 -8.3 -1.2 -8.7 -2.1 -7.6 0.0 -17.2 -9.5 -4.6 -4.2 -15.4 -14.2 0.9 -12.7 CANOLA 7.2 -7.2 -20.0 0.7 -0.3 0.2 -0.9 -1.5 -0.4 9.0 -10.5 1.6 -9.4 -6.7 -9.9 -15.9 -4.1 -12.9 -10.0 -16.9 -20.0 0.4 -18.9 -8.1 -20.0 -3.9 0.9 -4.6 -0.2 -4.2 -2.2 -8.0 3.7 -4.8 -20.0 -20.0 -20.0 -20.0 -17.8 -7.8 CHF -14.9 -20.0 1.9 -1.5 -0.7 1.6 -1.2 3.2 -2.5 -12.5 -1.8 -15.8 3.6 -17.6 -10.9 -15.0 -15.5 -15.4 -15.5 -14.4 -4.4 -12.8 2.3 -17.9 -4.8 -3.5 -2.9 -0.1 -4.3 1.5 -5.5 -20.0 -8.2 -20.0 -20.0 1.0 -20.0 -17.0 -8.9 -18.7 COCOA -13.1 -1.6 -13.2 0.6 -0.3 0.1 -0.8 -1.3 -0.4 5.6 9.8 7.3 9.9 8.6 9.3 20.0 8.6 20.0 15.6 19.5 15.4 15.6 11.1 20.0 -13.1 3.4 0.9 3.2 1.8 2.8 2.9 20.0 20.0 20.0 20.0 20.0 12.3 2.5 20.0 20.0 COFFEE -9.5 -0.4 13.3 1.3 -0.6 0.3 -1.7 -2.8 -0.8 3.6 10.1 -4.5 6.1 0.1 4.6 20.0 8.3 17.6 12.2 4.2 10.0 -0.1 6.7 -1.6 -20.0 1.4 2.4 5.5 0.4 5.3 -1.2 20.0 -0.1 4.0 -15.7 13.1 -9.9 -20.0 -4.3 -12.2 COPPER 8.5 1.3 5.6 -2.4 11.9 -3.7 8.0 -2.4 2.3 -12.6 -0.3 10.5 -6.9 8.5 5.5 -5.0 -4.9 -5.7 -5.7 4.2 1.8 4.9 -2.4 6.2 -13.6 -0.1 -0.9 -0.2 1.0 -1.2 0.8 1.2 -16.5 -7.6 3.3 13.6 -20.0 -2.8 11.8 3.4 CORN 2.6 -3.9 -8.7 1.4 -0.7 0.3 -1.9 -3.1 -0.9 8.0 -20.0 -5.2 -20.0 -14.0 -19.2 -19.1 -6.3 -15.7 -11.9 -20.0 -20.0 -5.0 -20.0 -16.4 -18.8 -7.7 -0.7 -6.9 -2.6 -5.6 -6.1 -11.5 -3.2 -20.0 -20.0 -20.0 -4.9 -20.0 -3.0 -0.5 COTTON2 5.3 20.0 14.6 1.1 -0.5 0.2 -1.5 -2.5 -0.7 -8.6 7.8 3.9 3.7 11.9 13.1 4.3 -1.0 -1.6 -2.9 19.7 11.3 6.1 3.0 19.0 -20.0 5.7 -1.1 3.5 2.8 1.5 5.8 0.2 20.0 20.0 20.0 20.0 -17.9 -13.8 -8.4 1.2 CRUDE_W 4.5 6.5 -4.6 3.8 -0.6 2.5 0.4 2.8 2.7 6.7 1.5 15.9 7.8 14.2 6.2 11.2 9.7 9.5 9.3 4.8 4.2 3.5 9.6 6.4 -5.0 5.0 -0.2 4.0 3.9 7.5 6.3 -1.1 4.2 12.6 -7.5 -0.1 20.0 19.2 20.0 20.0 DAX 14.7 12.1 20.0 7.8 2.0 6.4 5.7 4.2 7.5 17.7 20.0 20.0 20.0 20.0 20.0 -15.7 -11.5 -15.4 -13.7 20.0 20.0 20.0 20.0 20.0 17.8 8.6 5.1 7.0 9.7 5.0 9.8 -10.3 20.0 8.8 0.1 7.2 -3.5 13.0 3.8 20.0 DOW -13.5 -0.2 20.0 6.3 1.6 5.1 4.6 3.4 6.0 -9.1 19.8 5.6 18.6 15.0 19.5 -13.4 -10.7 -12.9 -12.0 20.0 20.0 -0.5 20.0 10.8 -14.4 6.9 -5.0 8.5 -0.5 7.1 3.2 -8.3 -20.0 -20.0 -3.5 13.9 -5.9 -4.7 1.2 -13.3 DX 0.7 13.0 -3.5 -1.8 -0.8 1.9 -1.4 3.8 -3.0 -17.3 6.2 -16.4 -0.0 8.6 7.4 6.9 6.1 6.4 6.3 7.4 4.4 -2.9 4.6 4.6 -20.0 2.5 -2.7 1.2 -1.4 2.1 1.8 14.5 -8.3 8.4 20.0 -20.0 17.6 2.3 20.0 8.4 EUR 3.7 -9.9 1.3 -1.9 -0.8 2.0 -1.5 4.0 -3.1 16.3 -5.7 18.2 0.5 -5.4 -9.1 -6.7 -6.6 -6.4 -6.3 -4.7 -3.7 6.2 -3.1 -0.1 19.3 -0.9 3.6 -0.2 3.3 -0.4 0.6 -7.4 11.1 14.1 3.9 -5.2 -20.0 -14.6 -20.0 -11.1 EURIBOR-ICE -17.3 -20.0 19.9 -0.6 3.0 0.2 1.0 -0.7 -0.8 5.2 3.6 -2.9 2.9 -6.6 -0.1 -1.2 -3.7 -0.2 -1.7 -2.0 4.8 -0.2 4.0 -5.1 14.5 -0.5 3.0 1.8 0.2 1.5 -1.5 -3.7 -4.9 -4.9 -4.0 2.8 -20.0 -20.0 6.8 20.0 EUROSTX 12.3 20.0 20.0 7.9 2.0 6.4 5.7 4.2 7.6 13.1 20.0 20.0 20.0 20.0 20.0 10.2 2.6 8.8 5.3 20.0 20.0 20.0 20.0 20.0 1.2 8.8 1.4 7.2 5.8 5.3 8.4 17.3 4.9 10.9 18.8 8.3 -8.4 15.6 -6.4 20.0 FEEDCOW -0.1 20.0 5.9 1.6 -0.8 0.3 -2.1 -3.4 -0.9 4.2 1.1 10.8 0.8 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 13.2 8.8 5.7 20.0 -7.5 5.6 0.8 3.3 0.8 3.7 4.0 -20.0 1.6 13.6 20.0 11.6 20.0 12.9 20.0 20.0 GASOIL -4.5 14.8 -3.4 3.0 -0.5 1.9 0.3 2.2 2.1 -7.5 7.6 -6.7 9.9 9.1 10.8 20.0 20.0 20.0 20.0 9.3 9.1 -2.1 11.4 4.8 7.4 4.0 -3.3 4.3 -1.1 5.1 1.8 20.0 -4.6 -1.3 3.0 7.0 -10.5 -6.1 -20.0 -12.8 GASOLINE 2.5 14.8 0.2 3.4 -0.5 2.2 0.3 2.5 2.4 -2.9 2.8 5.9 8.9 15.1 15.7 8.6 7.8 -7.0 -3.3 12.4 8.3 3.9 8.5 10.9 -20.0 6.3 -2.5 4.2 2.8 5.1 6.3 -11.2 8.7 20.0 7.3 14.7 20.0 14.8 19.9 13.5 GAS_US_mini 6.2 -7.1 -11.3 1.6 -0.2 1.0 0.1 1.2 1.1 8.9 -9.9 5.0 -11.0 -6.2 -9.0 -20.0 -19.3 -9.7 -13.8 -11.0 -15.6 3.5 -19.9 -3.8 18.5 -3.5 2.3 -4.0 0.6 -3.5 -1.8 -20.0 10.8 -13.2 -20.0 -19.3 -13.5 -0.3 -20.0 -5.3 GBP -0.1 -4.2 7.8 -2.0 -0.9 2.1 -1.6 4.3 -3.3 20.0 3.9 18.3 10.0 2.7 13.5 -0.6 -0.6 -0.4 -0.4 3.7 6.9 7.4 6.9 3.2 2.7 2.8 6.4 4.4 4.2 3.2 2.1 2.9 16.2 14.1 17.3 8.4 -20.0 -5.0 -20.0 3.4 GOLD_micro 7.6 -3.3 4.0 -2.4 11.8 -3.7 8.0 -2.3 2.3 19.9 11.9 17.8 7.8 9.7 4.9 -16.0 -14.6 -15.5 -15.1 7.8 5.6 20.0 5.4 19.7 -4.0 3.3 20.0 2.4 17.2 2.4 7.9 -15.2 20.0 13.8 17.4 17.1 -20.0 -20.0 -20.0 -14.3 HEATOIL -7.1 11.1 -4.3 3.3 -0.5 2.1 0.3 2.4 2.4 -12.7 2.1 -13.9 6.9 3.7 7.2 20.0 20.0 20.0 20.0 4.4 5.0 -7.0 8.7 -0.3 -20.0 4.9 -4.7 5.0 -1.3 6.9 2.6 20.0 -3.8 2.1 2.5 9.2 17.0 4.3 14.2 0.3 JGB-SGX-mini -2.7 -8.9 12.5 -0.6 3.1 0.2 1.1 -0.7 -0.8 5.6 4.7 5.0 5.7 -3.4 3.9 14.5 16.5 13.0 13.4 1.9 3.8 2.2 3.7 0.7 -5.2 0.6 2.0 1.1 1.2 0.5 0.4 20.0 -1.0 5.9 5.6 2.9 -5.5 -20.0 3.3 10.4 JPY -8.1 -17.4 4.6 -1.3 -0.5 1.3 -1.0 2.6 -2.0 5.7 -14.7 -12.4 -15.2 -15.4 -15.1 -16.7 -16.2 -16.2 -16.3 -15.9 -16.4 -4.8 -20.0 -12.7 20.0 -4.6 0.5 -4.7 -1.6 -6.4 -4.0 -20.0 -3.0 -11.9 -15.6 -12.6 -18.8 -14.9 -13.7 -17.7 LEANHOG 15.2 20.0 8.9 1.7 -0.8 0.4 -2.3 -3.7 -1.0 20.0 5.8 20.0 -12.9 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 8.9 20.0 -12.0 20.0 18.6 8.9 7.1 5.5 8.5 -1.0 9.0 -20.0 20.0 20.0 20.0 20.0 -8.3 -8.4 6.9 12.9 LIVECOW 7.9 20.0 0.7 1.6 -0.7 0.3 -2.1 -3.4 -0.9 6.6 1.9 14.3 1.3 20.0 18.7 18.6 -5.1 -0.1 -4.9 20.0 9.0 10.8 3.5 20.0 -4.7 6.0 1.3 2.7 2.6 3.0 5.9 -4.7 4.3 20.0 20.0 3.6 20.0 3.7 20.0 12.5 LUMBER-new 8.0 4.2 12.9 1.7 -0.8 0.5 -2.3 -2.9 -1.0 20.0 7.6 20.0 -13.3 20.0 15.6 -17.2 -15.3 -16.6 -15.7 14.1 9.7 20.0 -0.2 19.1 NaN 8.5 14.9 5.9 14.1 2.3 11.3 -20.0 20.0 20.0 0.9 20.0 -10.5 -20.0 -7.6 -14.4 MILK -1.5 20.0 1.8 0.9 -0.5 0.2 -1.3 -2.0 -0.6 -12.8 -11.2 -11.2 -13.5 -1.6 -7.8 -20.0 -20.0 -20.0 -20.0 -5.3 -12.3 -15.7 -20.0 -6.2 10.8 -1.6 -9.7 -4.3 -6.6 -7.5 -2.5 -20.0 -15.2 -11.2 0.3 -19.2 -20.0 -20.0 -20.0 -20.0 MXP 3.0 1.5 12.0 -2.0 -0.8 2.0 -1.5 4.1 -3.2 20.0 20.0 20.0 20.0 16.9 20.0 17.5 16.7 16.6 16.1 14.9 20.0 15.8 20.0 12.9 -20.0 8.1 13.4 10.6 10.7 16.1 8.0 20.0 18.1 20.0 20.0 9.9 20.0 20.0 20.0 20.0 NASDAQ_micro -11.0 3.5 12.3 4.7 1.2 3.8 3.4 2.5 4.5 -1.0 14.6 6.6 14.5 12.2 14.2 -11.5 -10.0 -11.5 -11.0 17.5 20.0 6.0 19.7 11.6 -20.0 5.5 -1.0 6.2 1.9 6.0 3.7 -6.9 -1.4 -5.6 12.3 11.9 13.9 -2.9 20.0 -5.7 NIKKEI 16.0 20.0 17.1 6.8 1.7 5.6 5.0 3.7 6.5 8.9 20.0 18.1 20.0 20.0 20.0 9.1 12.6 13.2 13.0 20.0 20.0 20.0 20.0 20.0 -17.0 7.8 3.2 6.7 5.4 5.4 7.2 20.0 19.9 20.0 20.0 20.0 -19.6 -4.7 -7.0 -3.8 NZD 0.4 -9.0 9.1 -1.3 -0.6 1.3 -1.0 2.7 -2.1 -13.4 2.7 -5.0 -0.1 -6.9 1.2 0.4 0.3 0.3 0.3 -0.6 1.9 -7.0 -0.1 -3.5 0.0 -0.4 -6.4 1.5 -4.9 0.8 -2.5 4.2 -14.3 5.5 -1.6 1.6 -9.2 -9.4 -2.4 3.3 OAT -8.8 -17.0 17.2 -0.8 3.9 0.2 1.4 -0.9 -1.0 7.0 2.9 -0.4 0.1 -8.2 -0.7 4.0 6.3 4.6 5.1 -1.8 2.7 1.6 0.3 -3.6 5.3 -0.7 5.2 1.3 1.1 0.6 -1.4 11.0 -3.8 -0.2 -1.8 1.0 -20.0 -20.0 9.7 3.6 OATIES 2.9 3.3 -12.3 0.9 -0.5 0.2 -1.3 -2.0 -0.6 1.7 -12.2 4.4 -10.0 1.3 -3.8 8.5 -2.8 5.0 -0.3 -4.0 -9.8 0.2 -9.5 0.0 -20.0 -0.8 -2.4 -3.3 -0.2 -3.7 0.2 -0.2 -2.2 5.9 -1.3 -6.9 -8.4 1.5 0.4 12.9 OJ 6.0 10.1 -20.0 0.8 -0.4 0.2 -1.1 -1.8 -0.5 -2.4 6.2 2.0 9.3 8.5 2.5 6.9 15.6 8.1 11.8 7.7 9.3 0.8 16.2 6.6 -20.0 2.3 -0.4 4.1 -0.2 8.2 1.4 20.0 -6.7 3.2 12.7 2.6 8.9 9.6 14.4 20.0 PALLAD 11.4 -0.8 8.0 -0.9 4.4 -1.4 3.0 -0.9 0.9 -1.1 -6.4 4.1 -8.1 -0.1 -5.2 -2.0 -2.2 -1.9 -2.0 -4.4 -7.9 0.3 -11.8 -1.2 9.2 -2.1 -0.3 -3.4 -0.4 -4.8 -1.1 6.8 -8.8 -7.2 -2.1 -2.9 -14.6 -9.4 -10.1 -4.7 PLAT 0.9 -7.8 0.3 -1.3 6.6 -2.1 4.5 -1.3 1.3 -5.8 -6.3 -4.1 -7.9 -8.7 -7.8 -4.1 -3.3 -4.0 -3.7 -5.3 -4.9 -2.5 -4.6 -4.4 10.2 -2.3 -1.1 -1.7 -1.1 -1.2 -2.0 4.4 -15.0 -9.4 -6.1 2.1 -13.0 -4.2 20.0 6.2 REDWHEAT -8.8 -2.5 -6.6 1.3 -0.6 0.3 -1.7 -2.8 -0.8 -10.3 -20.0 -14.3 -19.6 -15.4 -17.0 9.0 0.2 3.6 0.9 -20.0 -20.0 -12.0 -20.0 -17.3 -10.4 -6.8 -3.6 -6.4 -5.3 -6.0 -7.0 4.6 -10.3 -20.0 -20.0 -20.0 -15.9 -20.0 -11.8 -20.0 RICE -12.4 3.9 8.9 1.3 -0.6 0.3 -1.7 -2.7 -0.8 -13.8 15.6 -12.8 15.6 3.4 11.7 -6.6 -2.8 -10.3 -8.8 11.6 16.1 -7.4 14.3 1.5 -18.8 4.5 -5.6 5.4 -2.7 4.5 1.3 -5.2 -1.4 7.1 7.6 16.1 5.4 -4.7 12.4 4.3 ROBUSTA -18.0 15.0 20.0 1.1 -0.5 0.2 -1.4 -2.3 -0.6 11.9 15.5 4.1 16.0 11.3 14.7 20.0 20.0 20.0 20.0 20.0 20.0 8.9 20.0 10.7 -20.0 5.4 3.5 7.7 1.9 7.7 2.2 20.0 6.2 11.9 20.0 20.0 -20.0 -17.3 -10.0 1.0 RUSSELL 4.5 1.9 19.8 3.9 1.0 3.2 2.8 2.1 3.7 6.7 8.4 9.7 5.5 8.8 9.3 -6.6 -6.2 -6.4 -6.4 8.6 7.9 7.4 4.2 8.0 -2.0 4.1 1.3 3.6 3.1 2.3 3.8 0.3 -6.6 -1.9 -9.0 -2.5 -19.6 -19.8 -20.0 -20.0 SHATZ -20.0 -20.0 6.8 -0.6 2.9 0.2 1.0 -0.6 -0.7 2.2 -4.4 -6.6 -5.8 -8.0 -6.9 -20.0 -20.0 -20.0 -20.0 -10.4 -5.4 -6.3 -5.9 -12.1 8.0 -2.1 0.6 -0.8 -1.4 -0.9 -2.6 -20.0 -11.5 -13.5 -11.6 -7.4 -20.0 -20.0 -8.1 -20.0 SILVER-mini 9.5 -2.7 -5.0 -2.0 9.7 -3.0 6.5 -1.9 1.9 14.4 -5.4 10.3 -4.0 3.7 -10.3 -6.7 -6.6 -6.9 -6.8 -2.4 -4.7 15.1 -3.6 4.9 5.2 1.1 15.6 -1.1 11.1 -0.8 5.9 -1.2 7.4 12.1 9.8 3.8 -20.0 -17.9 16.6 -3.3 SMI 9.4 6.2 17.4 7.1 1.8 5.8 5.2 3.8 6.9 -0.3 16.5 17.8 8.1 17.0 20.0 11.1 6.4 10.7 8.6 16.1 12.7 11.0 6.0 15.2 13.7 7.2 1.0 6.3 4.5 3.1 6.4 20.0 -20.0 -18.7 -17.6 -12.7 7.5 -5.6 16.2 -9.4 SOFR -11.1 -15.7 11.6 -0.7 3.5 0.2 1.2 -0.8 -0.9 8.2 3.3 0.4 -0.1 -5.7 -0.4 0.5 0.3 1.1 0.8 -2.9 -0.1 2.8 -1.3 -3.0 -2.2 -0.3 3.6 1.0 1.1 0.2 -1.1 2.1 1.5 -3.6 2.9 1.9 -20.0 -20.0 -2.8 -1.9 SOYBEAN -6.4 -17.7 -20.0 1.4 -0.7 0.3 -1.9 -3.0 -0.8 11.1 -18.0 -10.7 -5.0 -17.6 -20.0 6.5 14.3 8.7 10.9 -20.0 -20.0 -6.7 -17.3 -20.0 -20.0 -7.5 2.1 -5.5 -2.0 -2.6 -6.1 20.0 -9.8 -20.0 -20.0 -20.0 -7.6 -20.0 -6.9 -20.0 SOYMEAL -9.4 -20.0 -20.0 1.1 -0.5 0.2 -1.5 -2.3 -0.7 -4.0 -15.7 -12.0 -9.7 -15.1 -17.0 -5.1 10.9 0.4 5.6 -20.0 -20.0 -9.6 -13.2 -20.0 -20.0 -5.9 -0.0 -4.6 -2.0 -1.7 -4.5 19.0 -14.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -6.4 -5.5 -20.0 1.1 -0.5 0.2 -1.5 -2.4 -0.7 -2.2 -15.9 -12.6 -12.6 -13.2 -15.1 -6.3 3.5 -4.6 -1.0 -18.7 -20.0 -8.2 -19.8 -13.4 -20.0 -5.5 -1.5 -5.9 -3.2 -5.2 -4.8 6.6 -6.0 3.2 -18.8 -8.7 -13.6 -6.8 -9.5 5.3 SP400 8.8 8.2 20.0 5.0 1.3 4.1 3.7 2.7 4.8 11.4 14.1 14.5 10.9 14.7 15.6 -7.0 -5.5 -6.2 -5.8 18.0 15.7 18.7 10.0 18.3 -11.4 5.7 4.6 4.8 5.8 3.3 5.9 1.6 7.2 4.9 -4.3 0.0 -18.2 -8.6 -15.9 -20.0 SP500_micro -4.4 10.6 20.0 6.1 1.6 5.0 4.4 3.3 5.8 3.5 19.3 12.7 18.0 17.5 19.3 -13.1 -11.2 -12.9 -12.2 20.0 20.0 12.2 20.0 20.0 -20.0 7.2 -0.4 7.2 2.9 5.9 5.4 -8.9 0.5 0.3 18.0 17.6 4.5 -3.1 17.6 -6.3 SUGAR11 -13.4 6.7 -20.0 1.0 -0.5 0.2 -1.3 -2.2 -0.6 -12.3 -5.3 -12.8 5.7 -5.6 -6.3 11.1 18.7 16.6 18.3 -8.3 -6.6 -20.0 1.4 -12.7 -20.0 -3.9 -9.5 -3.4 -7.6 0.6 -4.7 20.0 -20.0 -12.9 -7.2 -20.0 15.4 0.2 20.0 11.0 US10 -11.2 -12.2 13.7 -0.6 3.1 0.2 1.1 -0.7 -0.8 7.1 1.5 -0.3 -2.6 -5.8 -0.3 -8.2 -8.0 -8.8 -8.6 -2.7 -1.3 2.3 -4.4 -2.9 1.9 -0.3 3.3 0.5 1.0 -0.8 -0.9 -13.1 1.0 -2.8 3.4 1.7 -20.0 -20.0 -15.8 9.1 US10U -10.0 -11.2 13.6 -0.9 4.4 0.3 1.5 -1.0 -1.1 10.0 1.3 -0.1 -3.6 -8.2 -0.7 -2.5 0.1 -0.5 0.1 -3.6 -2.1 3.4 -6.7 -3.6 -0.8 -0.1 4.7 0.7 1.7 -1.3 -0.8 1.5 2.5 -2.4 5.9 2.7 -20.0 -20.0 10.2 20.0 US2 -17.6 -16.8 14.3 -0.6 2.8 0.2 1.0 -0.6 -0.7 3.5 -1.2 -3.6 -5.2 -6.5 -3.7 -20.0 -20.0 -20.0 -20.0 -5.2 -2.9 -1.3 -5.9 -6.0 9.2 -1.1 1.1 0.1 -0.5 -0.9 -1.9 -20.0 -4.8 -7.9 -1.1 -0.7 -20.0 -20.0 -15.8 -20.0 US20 -7.9 -9.9 16.4 -0.7 3.3 0.2 1.1 -0.7 -0.8 7.7 1.9 2.4 -1.7 -4.7 0.8 0.1 -0.9 -0.1 -0.5 -1.1 -0.4 4.0 -4.4 -1.0 -1.3 0.9 4.5 1.1 2.2 -0.9 0.4 -0.4 4.7 1.1 6.0 4.8 -20.0 -20.0 20.0 20.0 US30 -3.3 -7.6 14.6 -0.8 3.9 0.2 1.4 -0.9 -1.0 9.4 1.2 5.2 -3.3 -4.2 0.6 -7.9 -5.8 -7.9 -7.0 -0.9 -1.1 6.0 -6.3 0.4 -0.7 1.5 6.5 1.2 3.9 -1.7 1.5 -9.7 7.9 5.0 8.2 4.1 -15.1 -18.8 20.0 20.0 US5 -14.0 -15.1 12.9 -0.6 3.0 0.2 1.1 -0.7 -0.8 6.5 1.2 -2.2 -3.2 -6.3 -1.6 -8.4 -10.1 -9.4 -10.0 -3.9 -1.7 0.9 -4.2 -4.3 4.1 -0.8 2.4 0.4 0.3 -0.6 -1.5 -16.3 -1.5 -5.2 1.5 0.7 -20.0 -20.0 -20.0 -6.8 VIX 5.8 5.5 -7.1 -7.6 5.2 -9.8 -2.5 -13.0 -5.7 5.1 -20.0 -11.1 -20.0 -17.1 -20.0 -20.0 -20.0 -20.0 -20.0 -16.7 -20.0 -2.4 -20.0 -8.6 NaN -8.8 6.6 -11.9 -2.0 -16.0 -6.1 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -11.4 -8.2 0.3 1.3 -0.6 0.3 -1.7 -2.8 -0.8 -15.1 -19.5 -15.5 -19.7 -16.4 -15.9 -11.9 -10.9 -11.7 -11.4 -20.0 -20.0 -17.8 -20.0 -20.0 -0.3 -6.5 -6.1 -4.8 -6.7 -4.4 -7.6 -15.2 -14.9 -20.0 -20.0 -20.0 -17.7 -20.0 -13.0 -20.0 End of report for caleb_strategy_v3