******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240311_204014 produced at 2024-03-11 21:37:51.470957 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 VIX False False 0.01 -0.08 -0.33 0.0 0.09 -0.09 -0.08 -0.08 -63.14 17.0 -16 -16 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.30 0.0 0.00 0.00 0.00 0.00 -3.92 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.28 0.0 0.00 0.00 0.00 0.00 -7.70 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.21 0.0 0.00 0.00 0.00 0.00 -3.26 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.36 -0.16 0.0 0.58 -0.58 -0.36 -0.40 -3.57 13.0 -8 -9 caleb_strategy_v3 BOBL False False 0.04 -0.53 -0.08 0.0 0.77 -0.77 -0.53 -0.53 -1.88 19.0 -13 -13 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.15 -0.15 -0.02 -0.02 -25.35 51.0 -6 -6 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.07 0.0 0.09 -0.09 -0.07 -0.07 -9.60 12.0 -10 -10 caleb_strategy_v3 US5 False False 0.03 -0.30 -0.06 0.0 0.84 -0.84 -0.30 -0.24 -1.81 25.0 -9 -7 caleb_strategy_v3 CAD False False 0.02 0.00 -0.06 0.0 0.67 -0.67 0.00 0.00 -2.48 29.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.14 -0.06 0.0 0.46 -0.46 -0.14 -0.05 -2.40 17.0 -5 -2 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.05 -0.05 0.00 0.00 -4.83 5.0 0 0 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.02 -0.04 0.0 0.00 -0.02 -0.02 -0.02 -26.01 26.0 -17 -16 caleb_strategy_v3 DX False False 0.03 0.00 -0.03 0.0 999.00 -999.00 0.00 0.00 -1.09 999999999.0 0 0 caleb_strategy_v3 US10 False False 0.03 0.00 -0.03 0.0 0.59 -0.59 0.00 0.00 -0.74 17.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.03 0.0 0.19 -0.19 0.00 0.00 -1.12 6.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -3.01 9.0 -4 -4 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.02 0.0 0.13 -0.13 -0.04 -0.04 -1.23 7.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.10 -0.10 0.00 0.00 -2.10 9.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.02 0.0 0.05 -0.05 0.00 0.00 -1.88 4.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.07 -0.07 -0.03 -0.03 -2.05 8.0 -3 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.93 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 -2.09 10.0 -6 -6 caleb_strategy_v3 AUD False False 0.02 0.00 -0.02 0.0 0.39 -0.39 0.00 0.00 -1.00 19.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.01 -0.02 0.0 0.40 -0.40 0.01 0.01 -3.07 66.0 2 1 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.01 0.0 0.14 -0.14 -0.01 -0.01 -1.11 18.0 -1 -1 caleb_strategy_v3 BUND False False 0.05 -0.05 -0.01 0.0 0.46 -0.46 -0.05 -0.05 -0.12 10.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.01 0.0 0.22 -0.22 -0.03 -0.01 -2.31 68.0 -8 -4 caleb_strategy_v3 PALLAD False False 0.03 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.06 2.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.10 0.00 0.0 0.41 -0.41 0.10 0.10 0.23 21.0 5 5 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.18 0.00 0.0 0.26 -0.26 0.18 0.13 0.11 23.0 16 11 caleb_strategy_v3 US10U False False 0.04 0.00 0.00 0.0 0.47 -0.47 0.00 0.00 0.06 13.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.19 -0.19 0.00 0.00 -0.03 4.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.08 0.00 0.0 0.25 -0.25 0.08 0.08 0.08 6.0 2 2 caleb_strategy_v3 COTTON2 False False 0.01 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.05 11.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.03 6.0 0 0 caleb_strategy_v3 PLAT False False 0.01 0.03 0.01 0.0 0.15 -0.15 0.03 0.01 0.47 10.0 2 1 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.72 3.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.04 0.01 0.0 0.34 -0.34 0.04 0.04 0.23 9.0 1 1 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.0 0.24 -0.24 0.02 0.01 1.25 23.0 2 1 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 0.02 0.0 0.02 -0.02 0.00 0.00 2.85 3.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.02 0.0 0.00 -0.00 0.00 0.00 0.89 0.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.19 0.02 0.0 0.19 -0.19 0.19 0.19 0.26 2.0 2 2 caleb_strategy_v3 COCOA False False 0.02 0.11 0.02 0.0 0.55 -0.55 0.11 0.08 1.05 26.0 5 4 caleb_strategy_v3 SP500_micro False False 0.01 0.04 0.03 0.0 0.39 -0.39 0.04 0.03 3.76 48.0 5 4 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.03 0.0 0.13 -0.13 0.13 0.13 0.87 4.0 4 4 caleb_strategy_v3 HEATOIL False False 0.03 0.00 0.03 0.0 0.10 -0.10 0.00 0.00 0.74 3.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 0.03 0.0 0.38 -0.38 -0.01 0.00 4.56 56.0 -1 0 caleb_strategy_v3 EUR False False 0.04 0.09 0.04 0.0 0.60 -0.60 0.09 0.09 0.82 14.0 2 2 caleb_strategy_v3 FEEDCOW False False 0.04 0.25 0.04 0.0 0.33 -0.33 0.25 0.25 0.90 8.0 6 6 caleb_strategy_v3 GASOIL False False 0.02 0.02 0.04 0.0 0.10 -0.10 0.02 0.05 1.67 4.0 1 2 caleb_strategy_v3 OAT False False 0.04 0.00 0.05 0.0 0.44 -0.44 0.00 0.00 1.07 10.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.20 0.07 0.0 0.41 -0.41 0.20 0.20 1.77 10.0 5 5 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.09 0.0 0.00 0.00 0.00 0.00 38.12 59.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.13 0.09 0.0 0.55 -0.55 0.13 0.13 3.70 22.0 5 5 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.10 0.0 0.39 -0.39 0.00 0.00 4.32 17.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.08 0.11 0.0 0.16 -0.16 0.08 0.08 8.54 13.0 6 6 caleb_strategy_v3 CAC False True 0.03 0.00 0.12 0.0 0.00 0.00 0.00 0.00 4.50 12.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.20 0.16 0.0 0.29 -0.29 0.20 0.20 19.67 36.0 24 24 caleb_strategy_v3 EUROSTX False False 0.02 0.25 0.16 0.0 0.34 -0.34 0.25 0.29 9.50 20.0 15 17 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.17 0.0 0.12 -0.12 0.02 0.05 7.53 5.0 1 2 caleb_strategy_v3 SMI False False 0.04 0.29 0.18 0.0 0.37 -0.37 0.29 0.33 4.47 9.0 7 8 caleb_strategy_v3 DAX False False 0.01 0.12 0.19 0.0 0.36 -0.36 0.12 0.12 30.85 58.0 20 20 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.28 0.23 0.0 0.50 -0.50 0.28 0.28 7.49 16.0 9 9 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.34 0.41 0.0 0.84 -0.84 0.34 0.59 4.87 10.0 4 7 caleb_strategy_v3 MXP False False 0.01 0.55 0.92 0.0 0.55 -0.55 0.55 0.55 100.29 60.0 60 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 26.2 Shocked risk 90.2 Sum abs risk 60.8 Leverage 5.50 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3192973.47, 'annual_cash_vol_target': 798243.3675, 'daily_cash_vol_target': 49890.21046875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6630 0.5704 9.1262 BITCOIN 1683.4422 72750.0000 2.3140 37.0242 BOBL 0.2588 118.3400 0.2187 3.4990 BTP 0.5672 119.3000 0.4755 7.6074 BUND 0.5103 133.3900 0.3825 6.1207 BUXL 1.2046 135.5600 0.8886 14.2183 CAC 46.2823 8060.5000 0.5742 9.1870 CAD 0.0028 0.7428 0.3710 5.9365 CANOLA 6.4365 624.1000 1.0313 16.5011 CHF 0.0047 1.1403 0.4137 6.6194 COCOA 139.9187 6751.0000 2.0726 33.1610 COFFEE 3.3993 182.7000 1.8606 29.7693 COPPER 0.0364 3.9490 0.9208 14.7325 CORN 4.7489 473.0000 1.0040 16.0639 COTTON2 1.7535 94.8700 1.8483 29.5729 CRUDE_W 0.8675 73.9900 1.1725 18.7601 DAX 100.7546 18074.0000 0.5575 8.9193 DOW 202.8219 38791.0000 0.5229 8.3657 DX 0.3410 102.4500 0.3329 5.3259 EUR 0.0041 1.0971 0.3692 5.9075 EURIBOR-ICE 0.0479 97.7450 0.0490 0.7848 EUROSTX 32.7169 4897.0000 0.6681 10.6896 FEEDCOW 1.6240 267.1250 0.6080 9.7273 GASOIL 11.8946 783.5000 1.5181 24.2903 GASOLINE 0.0386 2.5414 1.5175 24.2792 GAS_US_mini 0.0871 1.8550 4.6961 75.1379 GBP 0.0054 1.2817 0.4209 6.7338 GOLD_micro 13.6976 2187.4000 0.6262 10.0193 HEATOIL 0.0383 2.5711 1.4903 23.8442 JGB-SGX-mini 0.2278 145.3900 0.1567 2.5069 JPY 0.0000 0.0069 0.5449 8.7186 LEANHOG 0.9800 101.1250 0.9691 15.5062 LIVECOW 1.1665 183.1000 0.6371 10.1937 LUMBER-new 5.8578 615.5000 0.9517 15.2275 MILK 0.2092 16.4000 1.2757 20.4108 MXP 0.0003 0.0586 0.4981 7.9690 NASDAQ_micro 146.7803 18229.5000 0.8052 12.8829 NIKKEI 386.9502 38200.0000 1.0130 16.2073 NZD 0.0038 0.6168 0.6121 9.7936 OAT 0.5078 128.6900 0.3946 6.3134 OATIES 5.8023 363.2500 1.5973 25.5573 OJ 6.7366 360.1000 1.8708 29.9323 PALLAD 29.7614 1038.0000 2.8672 45.8750 PLAT 15.4360 942.6000 1.6376 26.2016 REDWHEAT 10.3547 588.7500 1.7588 28.1401 RICE 0.1724 18.0500 0.9552 15.2829 ROBUSTA 46.4991 3278.0000 1.4185 22.6963 RUSSELL 22.3535 2093.2000 1.0679 17.0866 SHATZ 0.0878 105.8500 0.0829 1.3272 SILVER-mini 0.3222 24.8750 1.2952 20.7231 SMI 66.8189 11581.0000 0.5770 9.2315 SOFR 0.0649 96.5450 0.0672 1.0748 SOYBEAN 9.9850 1173.5000 0.8509 13.6140 SOYMEAL 4.2622 341.4000 1.2484 19.9751 SOYOIL 0.5690 47.1400 1.2071 19.3142 SP400 22.4627 2974.7000 0.7551 12.0820 SP500_micro 30.6082 5187.0000 0.5901 9.4415 SUGAR11 0.3737 21.7200 1.7206 27.5292 US10 0.3922 111.6250 0.3513 5.6216 US10U 0.5278 115.5312 0.4569 7.3097 US2 0.1119 102.5586 0.1091 1.7464 US20 0.7715 121.5625 0.6346 10.1540 US30 1.1391 130.4375 0.8733 13.9726 US5 0.2648 107.6250 0.2460 3.9366 VIX 0.3879 16.4500 2.3581 37.7293 WHEAT 8.7819 594.5000 1.4772 23.6351 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 663.00 0.57 378.17 1.00 378.17 49890.21 131.93 -2.92 -38.48 BITCOIN 72.75 2.31 168.34 1.00 168.34 49890.21 296.36 11.88 352.00 BOBL 1183.40 0.22 258.79 1.09 283.35 49890.21 176.07 -10.52 -185.25 BTP 1193.00 0.48 567.23 1.09 621.06 49890.21 80.33 6.46 51.89 BUND 1333.90 0.38 510.28 1.09 558.70 49890.21 89.30 -1.36 -12.13 BUXL 1355.60 0.89 1204.65 1.09 1318.97 49890.21 37.83 -0.91 -3.45 CAC 806.05 0.57 462.82 1.09 506.75 49890.21 98.45 13.41 132.05 CAD 742.80 0.37 275.60 1.00 275.60 49890.21 181.02 -5.28 -95.50 CANOLA 124.82 1.03 128.73 0.74 95.75 49890.21 521.03 -20.00 -1041.98 CHF 1425.38 0.41 589.70 1.00 589.70 49890.21 84.60 -16.27 -137.65 COCOA 675.10 2.07 1399.19 1.00 1399.19 49890.21 35.66 13.81 49.25 COFFEE 685.12 1.86 1274.73 1.00 1274.73 49890.21 39.14 -0.71 -2.79 COPPER 987.25 0.92 909.04 1.00 909.04 49890.21 54.88 -1.88 -10.35 CORN 236.50 1.00 237.44 1.00 237.44 49890.21 210.11 -18.78 -394.65 COTTON2 474.35 1.85 876.75 1.00 876.75 49890.21 56.90 0.42 2.38 CRUDE_W 739.90 1.17 867.54 1.00 867.54 49890.21 57.51 12.10 69.58 DAX 180.74 0.56 100.75 1.09 110.32 49890.21 452.25 20.00 904.49 DOW 193.96 0.52 101.41 1.00 101.41 49890.21 491.96 -2.68 -131.92 DX 1024.50 0.33 341.02 1.00 341.02 49890.21 146.30 -2.87 -41.96 EUR 1371.38 0.37 506.34 1.00 506.34 49890.21 98.53 3.23 31.78 EURIBOR-ICE 2443.62 0.05 119.86 1.09 131.23 49890.21 380.17 3.75 142.64 EUROSTX 489.70 0.67 327.17 1.09 358.22 49890.21 139.27 20.00 278.55 FEEDCOW 1335.62 0.61 812.01 1.00 812.01 49890.21 61.44 4.42 27.13 GASOIL 783.50 1.52 1189.46 1.00 1189.46 49890.21 41.94 9.19 38.55 GASOLINE 1067.39 1.52 1619.71 1.00 1619.71 49890.21 30.80 6.52 20.07 GAS_US_mini 46.38 4.70 217.78 1.00 217.78 49890.21 229.08 -10.49 -240.21 GBP 801.06 0.42 337.14 1.00 337.14 49890.21 147.98 9.63 142.56 GOLD_micro 218.74 0.63 136.98 1.00 136.98 49890.21 364.23 3.67 133.69 HEATOIL 1079.86 1.49 1609.28 1.00 1609.28 49890.21 31.00 5.53 17.16 JGB-SGX-mini 145390.00 0.16 22779.48 0.01 154.02 49890.21 323.91 2.14 69.18 JPY 863.56 0.54 470.56 1.00 470.56 49890.21 106.02 -8.72 -92.45 LEANHOG 404.50 0.97 392.02 1.00 392.02 49890.21 127.27 11.04 140.49 LIVECOW 732.40 0.64 466.62 1.00 466.62 49890.21 106.92 12.19 130.30 LUMBER-new 169.26 0.95 161.09 1.00 161.09 49890.21 309.70 4.31 133.45 MILK 328.00 1.28 418.42 1.00 418.42 49890.21 119.23 -18.92 -225.62 MXP 293.20 0.50 146.03 1.00 146.03 49890.21 341.64 20.00 683.28 NASDAQ_micro 364.59 0.81 293.56 1.00 293.56 49890.21 169.95 0.28 4.74 NIKKEI 38200.00 1.01 38695.02 0.01 261.64 49890.21 190.68 9.52 181.62 NZD 616.75 0.61 377.51 1.00 377.51 49890.21 132.15 0.67 8.83 OAT 1286.90 0.39 507.80 1.09 555.99 49890.21 89.73 3.49 31.32 OATIES 181.62 1.60 290.11 1.00 290.11 49890.21 171.97 -9.39 -161.48 OJ 540.15 1.87 1010.49 1.00 1010.49 49890.21 49.37 6.79 33.52 PALLAD 1038.00 2.87 2976.14 1.00 2976.14 49890.21 16.76 0.99 1.66 PLAT 471.30 1.64 771.80 1.00 771.80 49890.21 64.64 2.13 13.74 REDWHEAT 294.38 1.76 517.73 1.00 517.73 49890.21 96.36 -16.02 -154.38 RICE 361.00 0.96 344.82 1.00 344.82 49890.21 144.68 -5.35 -77.43 ROBUSTA 327.80 1.42 464.99 1.00 464.99 49890.21 107.29 9.97 106.99 RUSSELL 104.66 1.07 111.77 1.00 111.77 49890.21 446.37 -1.56 -69.85 SHATZ 1058.50 0.08 87.80 1.09 96.13 49890.21 518.96 -14.64 -759.60 SILVER-mini 621.88 1.30 805.45 1.00 805.45 49890.21 61.94 4.19 25.95 SMI 1158.10 0.58 668.19 1.14 761.94 49890.21 65.48 20.00 130.96 SOFR 2413.62 0.07 162.13 1.00 162.13 49890.21 307.71 -2.09 -64.46 SOYBEAN 586.75 0.85 499.25 1.00 499.25 49890.21 99.93 -13.24 -132.34 SOYMEAL 341.40 1.25 426.22 1.00 426.22 49890.21 117.05 -19.28 -225.71 SOYOIL 282.84 1.21 341.43 1.00 341.43 49890.21 146.12 -15.33 -224.02 SP400 2974.70 0.76 2246.27 1.00 2246.27 49890.21 22.21 3.52 7.83 SP500_micro 259.35 0.59 153.04 1.00 153.04 49890.21 325.99 4.97 161.95 SUGAR11 243.26 1.72 418.55 1.00 418.55 49890.21 119.20 -4.38 -52.15 US10 1116.25 0.35 392.19 1.00 392.19 49890.21 127.21 -4.61 -58.69 US10U 1155.31 0.46 527.81 1.00 527.81 49890.21 94.52 0.50 4.70 US2 2051.17 0.11 223.88 1.00 223.88 49890.21 222.84 -11.53 -256.98 US20 1215.62 0.63 771.47 1.00 771.47 49890.21 64.67 2.80 18.14 US30 1304.38 0.87 1139.10 1.00 1139.10 49890.21 43.80 1.43 6.28 US5 1076.25 0.25 264.80 1.00 264.80 49890.21 188.41 -7.60 -143.10 VIX 164.50 2.36 387.90 1.00 387.90 49890.21 128.61 -19.89 -255.79 WHEAT 297.25 1.48 439.10 1.00 439.10 49890.21 113.62 -20.00 -227.24 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -38.482 0.010 2.5 -0.998 BITCOIN 352.002 0.043 2.5 38.117 BOBL -185.247 0.004 2.5 -1.878 BTP 51.893 0.014 2.5 1.770 BUND -12.130 0.004 2.5 -0.123 BUXL -3.447 0.004 2.5 -0.035 CAC 132.054 0.014 2.5 4.504 CAD -95.504 0.010 2.5 -2.478 CANOLA -1041.980 0.010 2.5 -25.350 CHF -137.654 0.010 2.5 -3.572 COCOA 49.255 0.009 2.5 1.055 COFFEE -2.791 0.005 2.5 -0.033 COPPER -10.345 0.043 2.5 -1.120 CORN -394.648 0.010 2.5 -9.601 COTTON2 2.377 0.009 2.5 0.051 CRUDE_W 69.575 0.043 2.5 7.534 DAX 904.495 0.014 2.5 30.851 DOW -131.921 0.009 2.5 -3.066 DX -41.958 0.010 2.5 -1.089 EUR 31.785 0.010 2.5 0.825 EURIBOR-ICE 142.638 0.014 2.5 4.865 EUROSTX 278.548 0.014 2.5 9.501 FEEDCOW 27.133 0.013 2.5 0.899 GASOIL 38.549 0.017 2.5 1.671 GASOLINE 20.071 0.017 2.5 0.870 GAS_US_mini -240.209 0.043 2.5 -26.012 GBP 142.563 0.010 2.5 3.699 GOLD_micro 133.685 0.014 2.5 4.560 HEATOIL 17.156 0.017 2.5 0.744 JGB-SGX-mini 69.178 0.043 2.5 7.491 JPY -92.450 0.010 2.5 -2.399 LEANHOG 140.490 0.024 2.5 8.538 LIVECOW 130.296 0.013 2.5 4.318 LUMBER-new 133.451 0.009 2.5 2.854 MILK -225.623 0.009 2.5 -4.832 MXP 683.280 0.059 2.5 100.287 NASDAQ_micro 4.743 0.009 2.5 0.110 NIKKEI 181.623 0.043 2.5 19.668 NZD 8.828 0.010 2.5 0.229 OAT 31.316 0.014 2.5 1.068 OATIES -161.484 0.010 2.5 -3.929 OJ 33.520 0.009 2.5 0.718 PALLAD 1.664 0.014 2.5 0.057 PLAT 13.744 0.014 2.5 0.469 REDWHEAT -154.382 0.005 2.5 -2.048 RICE -77.428 0.010 2.5 -1.884 ROBUSTA 106.989 0.005 2.5 1.249 RUSSELL -69.854 0.013 2.5 -2.315 SHATZ -759.598 0.004 2.5 -7.703 SILVER-mini 25.948 0.014 2.5 0.885 SMI 130.956 0.014 2.5 4.467 SOFR -64.460 0.024 2.5 -3.918 SOYBEAN -132.336 0.004 2.5 -1.231 SOYMEAL -225.713 0.004 2.5 -2.099 SOYOIL -224.019 0.004 2.5 -2.085 SP400 7.827 0.013 2.5 0.259 SP500_micro 161.953 0.009 2.5 3.764 SUGAR11 -52.154 0.009 2.5 -1.109 US10 -58.690 0.005 2.5 -0.744 US10U 4.700 0.005 2.5 0.060 US2 -256.982 0.005 2.5 -3.256 US20 18.138 0.005 2.5 0.230 US30 6.278 0.005 2.5 0.080 US5 -143.099 0.005 2.5 -1.813 VIX -255.791 0.099 2.5 -63.140 WHEAT -227.240 0.005 2.5 -3.014 ===================== Position diags ===================== AUD 3.42 BITCOIN 32.09 BOBL 1.79 BTP 2.74 BUND 0.91 BUXL 0.38 CAC 3.36 CAD 4.70 CANOLA 12.68 CHF 2.20 COCOA 0.76 COFFEE 0.46 COPPER 5.94 CORN 5.11 COTTON2 1.22 CRUDE_W 6.23 DAX 15.43 DOW 11.43 DX 3.80 EUR 2.56 EURIBOR-ICE 12.97 EUROSTX 4.75 FEEDCOW 2.04 GASOIL 1.82 GASOLINE 1.34 GAS_US_mini 24.81 GBP 3.84 GOLD_micro 12.42 HEATOIL 1.34 JGB-SGX-mini 35.08 JPY 2.75 LEANHOG 7.73 LIVECOW 3.54 LUMBER-new 6.62 MILK 2.55 MXP 50.14 NASDAQ_micro 3.95 NIKKEI 20.65 NZD 3.43 OAT 3.06 OATIES 4.18 OJ 1.06 PALLAD 0.57 PLAT 2.20 REDWHEAT 1.28 RICE 3.52 ROBUSTA 1.25 RUSSELL 14.79 SHATZ 5.26 SILVER-mini 2.11 SMI 2.23 SOFR 18.70 SOYBEAN 0.93 SOYMEAL 1.09 SOYOIL 1.36 SP400 0.74 SP500_micro 7.58 SUGAR11 2.54 US10 1.61 US10U 1.20 US2 2.82 US20 0.82 US30 0.56 US5 2.39 VIX 31.75 WHEAT 1.51 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.0 -1.3 -0.7 0.0 0 BITCOIN 38.1 34.9 41.3 0.0 0 BOBL -1.9 -2.1 -1.7 -13.0 -13 BTP 1.8 1.5 2.0 5.0 5 BUND -0.1 -0.2 -0.0 -1.0 -1 BUXL -0.0 -0.1 0.0 0.0 0 CAC 4.5 4.2 4.8 0.0 0 CAD -2.5 -2.9 -2.0 0.0 0 CANOLA -25.4 -26.6 -24.1 -6.0 -6 CHF -3.6 -3.8 -3.4 -8.0 -8 COCOA 1.1 1.0 1.1 5.0 5 COFFEE -0.0 -0.1 0.0 0.0 0 COPPER -1.1 -1.7 -0.5 0.0 0 CORN -9.6 -10.1 -9.1 -10.0 -10 COTTON2 0.1 -0.1 0.2 0.0 0 CRUDE_W 7.5 6.9 8.2 1.0 1 DAX 30.9 29.3 32.4 20.0 20 DOW -3.1 -4.2 -1.9 2.0 2 DX -1.1 -1.5 -0.7 NaN 0 EUR 0.8 0.6 1.1 2.0 2 EURIBOR-ICE 4.9 3.6 6.2 4.0 4 EUROSTX 9.5 9.0 10.0 15.0 15 FEEDCOW 0.9 0.7 1.1 6.0 6 GASOIL 1.7 1.5 1.9 1.0 1 GASOLINE 0.9 0.7 1.0 4.0 4 GAS_US_mini -26.0 -28.5 -23.5 -17.0 -17 GBP 3.7 3.3 4.1 5.0 5 GOLD_micro 4.6 3.3 5.8 -1.0 -1 HEATOIL 0.7 0.6 0.9 0.0 0 JGB-SGX-mini 7.5 4.0 11.0 9.0 9 JPY -2.4 -2.7 -2.1 -5.0 -5 LEANHOG 8.5 7.8 9.3 6.0 6 LIVECOW 4.3 4.0 4.7 0.0 0 LUMBER-new 2.9 2.2 3.5 NaN 0 MILK -4.8 -5.1 -4.6 NaN 0 MXP 100.3 95.3 105.3 60.0 60 NASDAQ_micro 0.1 -0.3 0.5 16.0 16 NIKKEI 19.7 17.6 21.7 24.0 24 NZD 0.2 -0.1 0.6 5.0 5 OAT 1.1 0.8 1.4 0.0 0 OATIES -3.9 -4.3 -3.5 NaN 0 OJ 0.7 0.6 0.8 NaN 0 PALLAD 0.1 -0.0 0.1 0.0 0 PLAT 0.5 0.2 0.7 2.0 2 REDWHEAT -2.0 -2.2 -1.9 -3.0 -3 RICE -1.9 -2.2 -1.5 NaN 0 ROBUSTA 1.2 1.1 1.4 2.0 2 RUSSELL -2.3 -3.8 -0.8 -8.0 -8 SHATZ -7.7 -8.2 -7.2 NaN 0 SILVER-mini 0.9 0.7 1.1 NaN 0 SMI 4.5 4.2 4.7 7.0 7 SOFR -3.9 -5.8 -2.0 NaN 0 SOYBEAN -1.2 -1.3 -1.1 -2.0 -2 SOYMEAL -2.1 -2.2 -2.0 0.0 0 SOYOIL -2.1 -2.2 -1.9 -6.0 -6 SP400 0.3 0.2 0.3 2.0 2 SP500_micro 3.8 3.0 4.5 5.0 5 SUGAR11 -1.1 -1.4 -0.9 -1.0 -1 US10 -0.7 -0.9 -0.6 0.0 0 US10U 0.1 -0.1 0.2 0.0 0 US2 -3.3 -3.5 -3.0 NaN 0 US20 0.2 0.1 0.3 1.0 1 US30 0.1 0.0 0.1 2.0 2 US5 -1.8 -2.1 -1.6 -9.0 -9 VIX -63.1 -66.3 -60.0 -16.0 -16 WHEAT -3.0 -3.2 -2.9 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.0 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.9 3.9 3.9 3.9 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 0.2 -0.3 0.2 0.0 0.1 0.1 0.1 0.1 0.0 0.1 -0.1 0.2 -0.4 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 0.0 0.4 -0.0 0.1 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 -0.2 -0.2 -0.7 -0.4 -0.3 0.0 BITCOIN 0.6 0.5 0.4 0.0 0.1 -0.0 0.2 -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 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.2 0.1 -0.1 0.5 0.6 0.6 0.6 -0.2 0.0 0.5 0.2 BOBL -0.2 -0.6 0.3 -0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.3 -0.3 -0.4 -0.4 -0.1 -0.0 0.0 -0.1 -0.0 0.9 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -1.1 0.0 -0.2 -0.2 -0.2 -0.7 -0.7 0.1 -0.7 BTP 0.1 -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 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.3 0.1 -2.3 0.0 0.1 0.1 0.1 0.1 0.1 0.6 0.3 0.5 0.5 0.3 -0.4 -0.6 0.6 0.1 BUND -0.1 -0.5 0.4 -0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.0 0.1 -0.0 -0.1 -0.0 -0.1 0.1 0.0 0.0 -0.0 0.0 0.0 -0.0 -0.0 0.6 -0.0 0.0 0.0 0.0 -0.0 0.0 0.3 0.0 -0.1 -0.0 -0.1 -0.6 -0.7 0.3 -0.4 BUXL 0.1 -0.3 0.5 -0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.0 0.1 -0.1 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 -0.7 -0.7 0.2 0.1 CAC 0.6 0.6 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 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.5 0.2 -1.4 0.1 0.1 0.2 0.1 0.2 0.1 0.0 -0.1 0.4 0.2 -0.1 -0.1 0.5 -0.0 0.7 CAD -0.1 -0.2 0.3 0.0 0.1 0.1 0.1 0.1 0.0 0.1 -0.1 0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.1 -0.0 0.0 -0.1 -0.0 0.0 -0.3 -0.5 -0.1 -0.1 -0.5 -0.5 0.0 -0.4 CANOLA 0.4 -0.1 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.3 0.1 -0.4 -0.0 -0.1 -0.3 -0.1 -0.3 -0.2 -0.2 -0.2 0.1 -0.5 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.5 0.4 0.1 -0.6 -0.6 -0.7 -0.7 -0.6 -0.3 CHF -0.2 -0.6 0.0 0.0 0.1 0.1 0.1 0.1 0.0 0.1 -0.1 0.0 0.1 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 0.0 0.0 -0.1 -0.6 -0.0 0.0 -0.0 0.0 0.1 -0.0 -1.1 -0.3 -0.6 -0.6 -0.0 -0.6 -0.6 -0.3 -0.6 COCOA -0.2 0.2 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.2 0.1 0.3 0.1 0.1 0.4 0.2 0.4 0.3 0.2 0.2 0.1 0.3 0.2 -1.6 0.0 0.0 0.1 0.0 0.1 0.0 1.1 -0.0 0.6 0.6 0.6 0.4 0.1 0.7 0.6 COFFEE -0.2 -0.1 0.4 0.0 0.1 0.0 0.1 -0.1 0.0 -0.0 0.3 0.0 0.2 0.0 0.1 0.4 0.2 0.3 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 0.1 -0.0 -0.4 0.4 -0.3 -0.7 -0.1 -0.4 COPPER 0.4 0.1 0.2 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 0.0 0.2 -0.2 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.0 0.1 -1.9 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 -0.5 -0.2 -0.1 0.4 -0.7 -0.1 0.4 0.2 CORN 0.4 0.0 -0.2 0.0 0.1 0.0 0.1 -0.1 0.0 0.2 -0.5 0.1 -0.7 -0.0 -0.2 -0.4 -0.1 -0.3 -0.2 -0.2 -0.2 0.1 -0.5 -0.0 -2.4 -0.1 0.1 -0.2 0.0 -0.2 -0.0 -0.7 0.5 -0.4 -0.6 -0.6 -0.2 -0.7 -0.1 -0.0 COTTON2 -0.3 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 -0.0 0.1 0.1 0.0 0.1 0.1 -2.7 0.0 -0.0 0.1 0.0 0.1 0.0 0.0 0.1 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 0.1 0.0 0.3 0.1 -0.7 0.1 0.0 0.1 0.0 0.3 0.1 -0.1 0.0 0.6 -0.2 -0.0 0.7 0.6 0.7 0.7 DAX 0.6 0.5 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 -0.3 -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 0.4 0.6 0.1 0.2 -0.1 0.5 0.1 0.7 DOW -0.2 -0.0 0.6 0.1 0.0 0.1 0.1 0.1 0.1 -0.1 0.5 0.0 0.7 0.1 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 -0.0 0.5 0.1 -2.0 0.1 -0.0 0.3 -0.0 0.3 0.0 -0.5 -0.5 -0.6 -0.3 0.3 -0.2 -0.2 0.0 -0.5 DX -0.3 0.3 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 -0.2 0.1 -0.2 0.0 -0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.0 -0.2 0.1 -0.1 -2.7 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.8 -0.5 -0.6 0.6 -0.6 0.6 0.1 0.7 0.3 EUR 0.4 -0.2 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.1 -0.1 0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.2 -0.1 0.1 2.6 0.0 0.1 0.0 0.1 -0.0 0.1 -0.4 0.1 0.5 0.1 -0.2 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.2 -0.6 0.5 -0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 0.1 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 0.1 0.1 0.0 1.9 0.0 0.0 0.1 0.0 0.1 0.0 -0.2 0.1 -0.0 -0.0 0.1 -0.7 -0.7 0.2 0.7 EUROSTX 0.5 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 0.1 0.1 0.0 0.2 0.1 0.2 0.1 0.9 0.1 0.4 0.6 0.3 -0.3 0.6 -0.2 0.7 FEEDCOW -0.0 0.6 0.3 0.0 0.1 0.0 0.1 -0.1 0.0 -0.1 0.1 0.1 0.0 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 0.0 0.2 0.2 -1.0 0.1 -0.0 0.1 -0.0 0.2 0.0 -1.1 -0.5 -0.1 0.6 0.5 0.7 0.5 0.7 0.7 GASOIL -0.3 0.4 -0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.0 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 -0.0 -0.1 0.1 0.2 -0.4 -0.2 -0.7 -0.4 GASOLINE -0.0 0.4 0.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 0.1 -0.0 0.3 0.1 0.2 0.2 0.2 -0.1 -0.0 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 -0.1 0.5 0.2 0.5 0.7 0.5 0.7 0.5 GAS_US_mini 0.5 -0.2 -0.3 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.3 -0.0 -0.4 -0.1 -0.1 -0.4 -0.4 -0.2 -0.3 -0.1 -0.2 -0.0 -0.5 -0.1 2.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.1 -0.2 -0.6 -0.6 -0.4 -0.0 -0.7 -0.2 GBP 0.3 -0.1 0.3 0.0 0.1 0.1 0.1 0.2 0.0 0.2 0.2 0.2 0.4 0.2 0.2 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.2 0.2 0.2 0.3 0.1 0.2 0.2 0.2 0.1 0.1 0.2 0.3 0.5 0.5 0.3 -0.7 -0.2 -0.7 0.1 GOLD_micro 0.6 0.2 0.2 0.0 0.1 -0.0 0.1 -0.0 0.1 0.2 0.4 0.2 0.3 0.2 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.2 0.2 0.2 -0.5 0.1 0.1 0.1 0.2 0.1 0.1 -0.8 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL -0.3 0.3 -0.1 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.0 -0.1 0.3 0.0 0.1 0.4 0.4 0.4 0.4 0.0 0.1 -0.0 0.2 0.0 -2.7 0.1 0.0 0.1 0.0 0.3 0.0 1.1 -0.2 -0.1 0.0 0.3 0.6 0.2 0.5 0.0 JGB-SGX-mini -0.1 -0.2 0.4 -0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 -0.0 0.2 -0.1 0.0 0.3 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 -0.4 -0.1 -0.0 0.0 -0.2 -0.7 0.1 0.3 JPY 0.2 -0.4 -0.1 0.0 0.1 0.0 0.1 0.1 0.0 0.1 -0.4 0.1 -0.6 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.2 0.1 -0.5 -0.0 2.7 -0.0 0.1 -0.1 0.1 -0.2 0.0 -1.1 0.4 -0.1 -0.3 -0.3 -0.7 -0.5 -0.5 -0.5 LEANHOG 0.5 0.6 0.4 0.0 0.1 0.0 0.1 -0.1 0.0 0.1 0.2 0.2 -0.4 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.1 0.2 -0.3 0.2 2.4 0.1 0.0 0.2 0.1 -0.0 0.1 -1.1 0.1 0.6 0.6 0.6 -0.2 -0.3 0.3 0.4 LIVECOW 0.2 0.6 0.2 0.0 0.1 0.0 0.1 -0.1 0.0 0.0 0.1 0.2 0.1 0.2 0.2 0.4 -0.1 0.1 -0.0 0.2 0.1 0.1 0.1 0.2 -0.7 0.1 -0.0 0.1 0.0 0.1 0.1 -0.1 -0.5 0.5 0.6 0.3 0.7 0.2 0.7 0.5 LUMBER-new 0.6 0.3 0.5 0.0 0.1 0.0 0.1 -0.1 0.0 0.2 0.4 0.2 -0.5 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 0.2 0.1 0.2 NaN 0.1 0.1 0.2 0.2 0.1 0.1 -1.2 0.6 0.7 0.6 0.7 -0.4 -0.8 -0.3 -0.5 MILK -0.4 0.6 -0.0 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 -0.3 -0.1 -0.5 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.2 -0.5 -0.2 1.5 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -1.1 -0.5 -0.6 -0.3 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.3 0.2 0.5 0.0 0.1 0.1 0.1 0.2 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 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.2 0.5 0.1 1.1 0.5 0.6 0.6 0.4 0.7 0.7 0.7 0.7 NASDAQ_micro -0.2 -0.0 0.5 0.1 0.0 0.1 0.0 0.1 0.0 -0.0 0.4 0.1 0.5 0.1 0.1 -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 -0.2 -0.4 0.2 0.3 0.4 -0.1 0.6 -0.2 NIKKEI -0.1 0.5 0.5 0.1 0.0 0.1 0.0 0.1 0.1 -0.1 0.5 0.0 0.7 0.2 0.2 0.1 0.2 0.2 0.2 0.2 0.2 0.0 0.5 0.2 -2.1 0.1 -0.0 0.2 0.0 0.2 0.1 1.1 -0.5 0.6 0.6 0.6 -0.7 -0.2 -0.3 -0.2 NZD 0.1 -0.2 0.3 0.0 0.1 0.0 0.1 0.1 0.0 0.1 0.1 0.1 -0.0 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.0 -0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.2 -0.4 -0.0 -0.1 0.1 -0.3 -0.3 -0.1 0.1 OAT -0.0 -0.4 0.5 -0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 0.0 -0.0 -0.0 0.1 0.1 0.1 0.1 0.0 0.0 0.1 0.0 0.0 0.7 0.0 0.0 0.0 0.0 0.0 0.0 0.6 0.1 0.1 0.1 0.0 -0.7 -0.7 0.4 0.1 OATIES 0.0 0.2 -0.3 0.0 0.1 0.0 0.0 -0.1 0.0 0.0 -0.3 0.0 -0.4 -0.0 -0.0 0.2 -0.0 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 -0.1 -0.2 -0.2 -0.3 0.0 -0.0 0.4 OJ 0.1 0.5 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 -0.0 0.2 0.0 0.4 0.1 0.0 0.1 0.3 0.2 0.2 0.1 0.1 -0.0 0.5 0.1 -2.7 0.0 -0.0 0.1 -0.0 0.3 0.0 1.1 -0.5 0.1 0.5 -0.1 0.3 0.3 0.5 0.7 PALLAD 0.5 0.3 0.5 0.0 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.1 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.2 0.0 1.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.4 -0.1 -0.1 -0.1 -0.1 -0.6 -0.3 -0.4 -0.2 PLAT 0.2 -0.1 0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 -0.2 0.1 -0.3 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 0.0 1.4 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.2 -0.2 -0.3 -0.2 0.1 -0.4 -0.1 0.7 0.2 REDWHEAT 0.1 0.0 -0.3 0.0 0.1 0.0 0.0 -0.1 0.0 0.1 -0.5 0.0 -0.6 -0.1 -0.2 0.2 0.0 0.1 0.0 -0.2 -0.2 0.0 -0.5 -0.1 -1.2 -0.1 0.1 -0.2 0.0 -0.2 -0.0 0.3 0.1 -0.6 -0.6 -0.6 -0.5 -0.7 -0.4 -0.7 RICE -0.5 0.1 0.3 0.0 0.1 0.0 0.1 -0.1 0.0 -0.2 0.4 -0.2 0.6 -0.0 0.1 -0.2 -0.1 -0.2 -0.2 0.1 0.2 -0.2 0.4 -0.1 -2.5 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.4 -0.5 -0.5 0.1 0.3 0.2 -0.1 0.4 0.2 ROBUSTA -0.4 0.1 0.6 0.0 0.1 0.0 0.0 -0.1 0.0 0.1 0.4 0.1 0.6 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.0 1.1 0.5 0.5 0.6 0.6 -0.7 -0.6 -0.4 0.0 RUSSELL 0.3 0.1 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.3 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.1 -0.3 0.1 0.0 0.1 0.0 0.1 0.0 -0.0 -0.0 -0.2 -0.3 -0.1 -0.6 -0.6 -0.6 -0.7 SHATZ -0.4 -0.6 0.1 -0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -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 1.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -1.1 -0.0 -0.4 -0.3 -0.2 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.5 0.1 -0.1 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 0.0 -0.0 0.2 -0.1 0.2 0.7 0.0 0.1 0.0 0.1 -0.0 0.1 -0.1 0.2 0.3 0.3 0.1 -0.7 -0.6 0.6 -0.1 SMI 0.5 0.3 0.6 0.1 0.0 0.2 0.1 0.1 0.1 0.2 0.5 0.2 0.4 0.2 0.2 0.1 0.1 0.2 0.2 0.2 0.2 0.2 0.2 0.2 1.9 0.1 0.1 0.2 0.1 0.1 0.1 1.1 0.5 0.4 -0.5 -0.3 0.3 -0.2 0.6 -0.3 SOFR 0.1 -0.4 0.3 -0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.0 0.0 -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 -0.1 -0.1 SOYBEAN 0.2 -0.4 -0.6 0.0 0.1 0.0 0.1 -0.1 0.0 0.2 -0.5 0.1 -0.2 -0.1 -0.2 0.1 0.3 0.2 0.2 -0.2 -0.2 0.1 -0.4 -0.1 -2.7 -0.1 0.1 -0.2 0.1 -0.1 -0.0 1.1 0.5 -0.2 -0.6 -0.6 -0.2 -0.7 -0.2 -0.7 SOYMEAL 0.1 -0.5 -0.6 0.0 0.1 0.0 0.0 -0.1 0.0 0.1 -0.4 0.0 -0.4 -0.1 -0.2 -0.1 0.2 -0.0 0.1 -0.2 -0.2 0.0 -0.4 -0.1 -2.7 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.9 0.2 -0.3 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.0 -0.1 -0.6 0.0 0.1 0.0 0.0 -0.1 0.0 0.1 -0.5 -0.0 -0.5 -0.1 -0.2 -0.1 0.1 -0.1 -0.0 -0.2 -0.2 0.1 -0.5 -0.0 -2.7 -0.0 0.1 -0.2 0.1 -0.2 0.0 0.3 0.4 -0.1 -0.6 -0.3 -0.5 -0.3 -0.3 0.2 SP400 0.6 0.4 0.6 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.4 0.2 0.5 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.4 0.2 -1.7 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.3 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 0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.1 -0.5 -0.1 -0.2 0.4 0.6 0.1 -0.1 0.6 -0.2 SUGAR11 -0.4 0.1 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 -0.2 -0.1 0.2 -0.1 -0.1 0.2 0.4 0.3 0.4 -0.1 -0.1 -0.0 0.0 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 0.0 -0.0 1.1 -0.4 -0.5 -0.3 -0.6 0.6 0.0 0.7 0.4 US10 0.0 -0.3 0.4 -0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 -0.1 -0.0 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 0.1 -0.1 0.0 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.7 0.1 -0.1 0.1 0.1 -0.7 -0.7 -0.5 0.3 US10U 0.0 -0.3 0.4 -0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 0.0 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 -0.0 0.2 0.1 -0.7 -0.7 0.4 0.7 US2 -0.2 -0.5 0.4 -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 -0.0 -0.0 0.0 -0.2 -0.0 1.3 -0.0 0.0 0.0 0.0 -0.0 -0.0 -1.1 0.0 -0.3 -0.1 -0.0 -0.7 -0.7 -0.6 -0.7 US20 0.1 -0.2 0.5 -0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 -0.1 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.0 0.0 0.1 -0.1 0.0 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 0.1 0.3 0.2 -0.7 -0.7 0.7 0.7 US30 0.2 -0.1 0.4 -0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 -0.1 0.0 0.0 -0.2 -0.1 -0.2 -0.1 0.0 -0.0 0.1 -0.2 0.1 -0.1 0.0 0.0 0.0 0.1 -0.0 0.0 -0.5 0.1 0.2 0.4 0.2 -0.5 -0.6 0.7 0.7 US5 -0.1 -0.4 0.4 -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 -0.2 -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 -0.9 0.1 -0.2 0.0 0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.2 0.3 -0.4 -0.1 0.1 -0.5 0.0 -0.8 -0.1 0.3 -0.9 0.0 -1.2 -0.2 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 0.1 -0.9 -0.1 NaN -0.1 0.1 -0.6 0.1 -1.1 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.2 -0.3 -0.1 0.0 0.1 0.0 0.0 -0.1 0.0 0.0 -0.5 -0.1 -0.7 -0.2 -0.2 -0.3 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.5 -0.2 0.0 -0.1 0.0 -0.1 -0.0 -0.2 -0.1 -0.9 -0.4 -0.6 -0.6 -0.6 -0.5 -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 6.4 -9.0 4.9 0.3 9.7 2.1 7.3 3.6 2.2 15.9 -4.0 15.8 -10.2 0.0 -8.1 -3.0 -2.9 -2.9 -2.8 -2.7 -2.7 13.7 -5.4 3.1 2.7 -1.3 11.3 -1.1 8.4 -2.0 2.0 -1.2 0.0 3.4 -6.6 -6.3 -20.0 -10.6 -10.1 0.1 BITCOIN 20.0 14.5 12.4 1.6 14.9 -1.6 14.3 -1.5 8.2 20.0 20.0 20.0 20.0 20.0 20.0 -9.5 -7.0 -8.7 -8.1 20.0 20.0 20.0 20.0 20.0 -20.0 8.5 8.5 6.5 10.5 4.7 10.6 -2.6 20.0 20.0 20.0 20.0 -6.3 0.9 14.9 4.9 BOBL -7.0 -20.0 8.2 -0.1 2.4 0.4 2.5 -0.7 0.6 5.8 -0.4 3.2 -1.6 -6.0 -5.2 -13.9 -16.3 -20.0 -20.0 -5.2 -1.6 3.4 -2.4 -3.7 6.7 -1.5 2.8 -0.3 1.6 -0.4 -0.9 -20.0 0.8 -6.4 -5.3 -4.7 -20.0 -20.0 3.1 -20.0 BTP 4.4 -5.8 18.6 -0.1 4.1 0.6 4.2 -1.3 1.0 11.0 10.4 13.0 9.8 7.4 8.2 4.1 6.3 4.6 5.2 9.9 12.6 18.6 9.3 11.8 -17.4 4.3 8.1 5.0 8.9 3.9 5.7 11.1 11.2 15.9 15.3 9.7 -13.3 -17.5 18.4 2.9 BUND -2.9 -15.4 12.6 -0.1 2.6 0.4 2.7 -0.8 0.6 7.1 1.4 6.3 -0.8 -5.0 -2.6 -3.6 3.5 0.6 1.7 -2.1 0.8 5.2 -1.5 -0.7 4.2 -0.6 3.5 0.5 2.8 -0.0 0.2 5.5 0.3 -2.1 -1.0 -1.7 -18.1 -20.0 9.5 -11.4 BUXL 1.7 -10.6 16.0 -0.1 3.3 0.5 3.4 -1.0 0.8 9.7 2.9 9.8 -4.3 -2.9 -1.0 -5.5 -0.3 -2.5 -1.2 0.4 1.9 8.1 -3.5 2.5 0.2 0.7 4.3 1.3 4.7 -0.4 1.9 0.2 0.5 3.9 3.0 1.9 -20.0 -20.0 5.7 1.9 CAC 18.9 20.0 17.8 8.4 3.1 6.9 6.1 4.6 7.9 20.0 20.0 20.0 20.0 20.0 20.0 -3.9 -5.4 -6.8 -6.8 20.0 20.0 20.0 20.0 20.0 -10.7 9.0 5.6 7.2 7.2 5.3 9.0 0.1 -3.3 11.7 5.6 -3.0 -4.0 15.5 -0.8 20.0 CAD -3.0 -6.3 8.8 0.3 11.3 2.5 8.4 4.1 2.5 14.1 -2.1 6.7 -4.1 -9.6 -4.1 -2.1 -2.2 -2.1 -2.1 -3.6 -1.4 5.6 -3.8 -2.7 0.0 -2.3 8.1 -0.9 3.9 -2.0 -1.6 0.0 -13.5 -15.0 -3.4 -1.8 -15.1 -14.3 0.5 -12.6 CANOLA 13.9 -4.5 -20.0 1.4 4.4 0.4 2.8 -1.6 1.4 10.7 -11.4 9.4 -10.5 -3.5 -9.9 -15.6 -4.6 -13.4 -10.5 -14.5 -20.0 10.8 -20.0 -1.1 -20.0 -3.7 4.4 -5.3 2.5 -5.3 -0.6 -9.8 16.2 2.6 -20.0 -20.0 -20.0 -20.0 -18.1 -8.1 CHF -5.7 -20.0 0.3 0.3 9.5 2.1 7.1 3.5 2.2 16.2 -2.7 3.1 2.9 -16.1 -13.5 -15.4 -15.5 -15.5 -15.6 -13.9 -5.5 0.1 1.8 -12.0 -4.7 -3.6 3.2 -0.4 0.2 1.5 -3.7 -20.0 -12.7 -20.0 -20.0 -0.6 -18.5 -17.0 -7.5 -18.4 COCOA -4.7 6.4 -10.2 0.9 3.1 0.3 2.0 -1.1 1.0 6.1 8.5 7.1 8.6 7.8 8.2 20.0 9.6 20.0 17.2 17.8 14.6 12.3 10.6 16.8 -11.7 3.0 1.0 2.9 1.3 2.6 2.3 20.0 -0.3 20.0 20.0 20.0 11.3 2.5 20.0 18.9 COFFEE -6.0 -2.6 11.6 2.2 7.3 0.7 4.7 -2.6 2.3 -2.7 10.2 1.1 6.5 4.1 4.8 20.0 8.4 16.6 12.1 4.5 8.8 2.7 6.1 1.6 -20.0 2.2 0.2 5.4 2.4 5.3 1.1 20.0 5.3 -0.9 -11.6 12.2 -9.4 -20.0 -3.4 -12.7 COPPER 12.7 2.7 5.9 1.5 13.8 -1.5 13.2 -1.4 7.6 16.5 1.8 18.4 -6.8 15.4 8.9 -5.0 -4.9 -5.6 -5.6 7.4 3.4 15.6 -1.6 11.8 -14.2 2.1 11.7 0.7 9.0 -0.9 5.1 1.2 -20.0 -6.3 -2.4 10.9 -20.0 -2.4 12.2 4.6 CORN 12.0 0.7 -7.1 2.5 8.1 0.7 5.2 -2.8 2.5 19.0 -20.0 13.7 -20.0 -3.4 -15.6 -18.9 -6.8 -16.1 -12.4 -18.4 -20.0 13.1 -20.0 -3.9 -18.2 -6.6 7.0 -7.2 3.2 -6.2 -2.6 -13.2 20.0 -13.4 -20.0 -20.0 -5.3 -20.0 -3.5 -0.5 COTTON2 -8.4 20.0 14.4 1.6 5.2 0.5 3.3 -1.8 1.6 -8.5 6.6 -0.2 3.5 7.9 9.5 5.4 -0.7 -0.3 -2.2 12.9 8.4 2.4 2.8 10.3 -20.0 4.5 -0.4 3.1 1.5 1.5 3.8 0.1 3.4 20.0 20.0 20.0 -16.5 -13.5 -7.6 1.3 CRUDE_W 2.5 5.9 -2.7 4.0 1.0 2.9 1.0 3.2 2.9 6.2 0.1 14.4 8.2 16.1 10.1 11.9 9.8 10.0 9.6 5.6 4.9 5.1 9.9 7.0 -5.1 5.6 2.8 4.6 4.3 7.8 6.3 -1.1 0.3 18.5 -5.0 -0.5 20.0 19.5 20.0 20.0 DAX 20.0 16.6 20.0 8.1 3.0 6.7 5.9 4.4 7.6 12.6 20.0 20.0 20.0 20.0 20.0 -14.4 -11.6 -14.9 -13.6 20.0 20.0 20.0 20.0 20.0 18.0 8.9 3.7 7.2 7.9 5.1 9.5 -10.7 17.6 19.1 2.6 6.9 -3.6 13.9 3.7 20.0 DOW -5.3 -1.3 20.0 6.6 2.4 5.4 4.8 3.6 6.2 -5.7 20.0 3.2 19.3 13.8 19.4 -13.8 -10.8 -13.2 -12.2 20.0 20.0 -1.4 20.0 8.0 -14.9 6.9 -1.2 9.4 -0.8 8.3 2.2 -9.0 -20.0 -20.0 -10.6 10.7 -6.0 -5.3 1.0 -14.1 DX -10.1 8.6 -4.0 0.3 10.7 2.3 8.0 3.9 2.4 -18.1 4.1 -20.0 0.2 -4.1 5.5 6.9 6.2 6.5 6.4 0.7 2.2 -20.0 3.9 -9.1 -20.0 -0.8 -14.2 0.1 -12.5 1.8 -5.4 14.5 -20.0 -20.0 20.0 -20.0 16.8 2.6 20.0 8.8 EUR 11.7 -6.2 2.2 0.3 11.3 2.5 8.4 4.2 2.6 16.6 -3.3 20.0 0.3 7.3 -6.2 -6.7 -6.7 -6.4 -6.4 0.9 -1.7 19.3 -2.5 10.0 19.7 2.0 10.1 0.8 10.9 -0.0 6.2 -7.4 3.5 14.7 3.5 -5.6 -20.0 -15.4 -20.0 -11.8 EURIBOR-ICE -5.8 -20.0 16.9 -0.1 2.2 0.3 2.2 -0.7 0.5 6.1 3.7 5.0 3.0 -3.4 0.2 -2.1 -3.7 -0.7 -1.8 -0.3 4.9 6.8 4.1 0.1 14.4 0.2 4.3 1.9 3.0 1.7 0.4 -3.9 5.8 -1.1 -1.3 2.8 -20.0 -20.0 7.3 20.0 EUROSTX 14.0 20.0 20.0 8.1 3.0 6.6 5.9 4.4 7.6 7.5 20.0 20.0 20.0 20.0 20.0 10.0 2.8 8.9 5.5 20.0 20.0 20.0 20.0 20.0 1.0 9.0 3.2 7.5 6.4 5.5 8.5 17.3 4.5 13.7 20.0 9.4 -9.1 16.9 -7.2 20.0 FEEDCOW -0.5 20.0 10.3 2.8 9.3 0.9 5.9 -3.3 2.9 -11.4 1.9 5.8 1.4 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 15.0 0.2 7.3 18.6 -7.8 5.4 -3.8 3.7 -1.2 4.3 2.8 -20.0 -20.0 -3.0 20.0 16.8 20.0 13.9 20.0 20.0 GASOIL -8.0 13.5 -0.5 3.2 0.8 2.3 0.8 2.5 2.3 1.8 7.1 -7.9 10.4 9.2 11.7 20.0 20.0 20.0 20.0 9.3 9.9 -0.5 12.4 4.7 7.3 4.1 -1.0 4.8 -0.4 5.8 1.9 20.0 -0.6 -4.5 3.0 7.1 -10.6 -6.7 -20.0 -13.2 GASOLINE -1.5 12.2 2.5 3.6 0.9 2.6 0.9 2.9 2.6 -0.4 3.2 -0.6 9.3 13.6 16.2 10.7 8.1 -4.2 -2.1 11.6 8.9 2.9 9.2 8.4 -20.0 6.3 1.9 4.8 2.0 5.7 5.1 -10.6 -3.0 16.2 7.3 14.2 20.0 15.4 19.6 14.3 GAS_US_mini 14.4 -6.0 -8.5 1.6 0.4 1.1 0.4 1.3 1.1 -7.5 -9.6 -0.0 -10.7 -6.5 -8.6 -20.0 -19.7 -12.4 -14.9 -10.2 -15.0 -3.7 -19.5 -4.9 18.4 -3.5 -2.9 -4.1 -1.7 -3.7 -2.2 -20.0 -4.0 -4.8 -20.0 -19.1 -13.4 -0.9 -20.0 -5.8 GBP 8.0 -2.8 7.7 0.4 11.9 2.6 8.9 4.4 2.7 17.1 7.7 20.0 10.4 14.1 17.0 -0.8 -0.6 -0.5 -0.5 9.2 8.7 20.0 7.4 15.1 2.6 6.4 16.7 5.8 16.0 3.9 9.8 2.8 12.1 16.9 16.4 10.4 -20.0 -5.6 -20.0 2.4 GOLD_micro 20.0 5.9 7.0 1.4 13.1 -1.4 12.6 -1.4 7.3 19.8 14.1 20.0 9.4 17.1 11.3 -15.8 -14.6 -15.5 -15.1 20.0 12.1 20.0 8.0 20.0 -3.9 5.2 13.6 2.9 14.3 2.0 9.8 -15.2 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -14.3 HEATOIL -8.7 8.7 -2.6 3.4 0.9 2.5 0.9 2.8 2.5 3.0 0.9 -11.4 7.0 1.9 7.6 20.0 20.0 20.0 20.0 3.8 4.7 -1.6 8.5 0.5 -20.0 4.7 0.4 5.2 0.4 7.3 2.6 20.0 -10.1 -1.8 1.4 8.8 17.7 4.6 14.4 0.9 JGB-SGX-mini -2.9 -6.3 12.1 -0.1 2.3 0.4 2.4 -0.7 0.6 -8.1 4.7 -1.7 6.0 -5.4 2.7 15.0 16.6 13.3 13.6 0.8 3.5 -3.8 3.9 -2.0 -5.6 0.0 -3.2 0.9 -2.1 0.5 -1.1 20.0 -15.6 -4.3 -0.1 1.1 -6.3 -20.0 2.5 10.0 JPY 5.3 -10.9 -1.8 0.2 7.5 1.6 5.6 2.7 1.7 14.6 -14.5 9.4 -15.6 -7.3 -13.5 -16.8 -16.2 -16.4 -16.4 -10.5 -14.6 14.6 -20.0 -0.6 20.0 -2.9 11.0 -4.4 6.9 -6.7 0.7 -20.0 17.0 -1.9 -10.6 -9.8 -20.0 -14.0 -14.8 -16.4 LEANHOG 15.3 20.0 12.2 3.0 10.0 0.9 6.4 -3.5 3.1 9.5 8.2 20.0 -12.2 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 11.6 19.6 -9.9 20.0 18.1 9.0 1.4 6.2 4.9 -0.4 7.8 -20.0 5.2 20.0 20.0 20.0 -6.9 -8.2 7.8 13.4 LIVECOW 5.4 20.0 5.1 2.8 9.1 0.8 5.8 -3.2 2.9 4.2 3.3 14.3 2.1 20.0 20.0 20.0 -3.6 4.8 -2.0 20.0 11.4 8.5 5.0 20.0 -5.1 6.2 -0.2 3.4 2.2 3.5 5.5 -2.2 -19.4 16.2 20.0 9.8 20.0 4.7 20.0 14.0 LUMBER-new 15.3 8.7 14.0 3.1 10.0 1.0 6.4 -2.6 3.2 20.0 11.7 20.0 -12.3 20.0 20.0 -15.9 -15.2 -16.2 -15.6 20.0 13.9 20.0 1.8 20.0 NaN 8.8 11.2 5.7 13.0 2.4 11.6 -20.0 20.0 20.0 15.9 20.0 -10.6 -20.0 -7.6 -13.5 MILK -12.3 20.0 -0.3 1.6 5.3 0.5 3.4 -1.9 1.7 -12.6 -11.9 -13.5 -13.5 -9.0 -10.3 -20.0 -20.0 -20.0 -20.0 -11.1 -14.6 -20.0 -20.0 -16.6 10.9 -3.1 -7.0 -4.0 -7.7 -6.1 -5.1 -20.0 -20.0 -20.0 -9.5 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 8.6 5.8 14.2 0.4 11.7 2.5 8.7 4.3 2.6 20.0 20.0 20.0 20.0 20.0 20.0 17.9 16.8 16.9 16.3 20.0 20.0 20.0 20.0 20.0 -20.0 8.7 14.3 9.0 14.1 12.5 10.8 20.0 20.0 20.0 20.0 11.0 20.0 20.0 20.0 20.0 NASDAQ_micro -5.8 -0.3 14.2 4.8 1.8 3.9 3.5 2.6 4.5 -3.9 14.7 5.1 14.6 11.3 13.8 -11.1 -10.1 -11.4 -11.0 18.1 20.0 3.5 20.0 10.7 -20.0 5.5 -1.0 6.6 1.0 6.5 3.2 -7.3 -9.8 -12.5 5.5 10.1 12.2 -2.7 18.9 -5.8 NIKKEI -4.2 14.2 14.7 6.2 2.3 5.1 4.5 3.4 5.8 -14.3 18.9 4.1 19.0 14.2 17.9 6.9 12.2 11.8 12.3 20.0 20.0 1.2 20.0 20.0 -15.5 6.8 -3.9 6.4 0.8 5.2 4.8 20.0 -20.0 17.5 20.0 20.0 -20.0 -5.2 -7.8 -4.6 NZD 3.8 -5.9 8.3 0.2 7.7 1.7 5.7 2.8 1.7 11.8 3.5 6.7 -0.1 -0.3 0.6 0.3 0.3 0.3 0.3 1.1 2.3 5.7 0.1 1.7 -0.0 0.6 5.9 1.8 3.4 0.9 0.8 4.1 -15.4 -1.5 -3.2 1.6 -8.6 -9.4 -1.7 3.5 OAT -0.8 -13.2 14.9 -0.1 2.9 0.4 3.0 -0.9 0.7 7.5 3.1 7.6 0.5 -3.3 -0.5 3.7 6.2 4.4 5.0 0.3 3.3 7.7 0.6 1.7 5.1 0.4 4.4 1.6 4.2 0.8 1.3 10.8 2.1 1.7 1.9 1.2 -19.9 -20.0 10.6 3.8 OATIES 0.6 4.7 -10.1 1.7 5.6 0.5 3.6 -2.0 1.8 3.0 -12.8 0.9 -10.6 -0.2 -4.1 9.2 -2.3 5.7 0.4 -4.5 -10.0 -0.5 -10.0 -1.4 -20.0 -1.3 2.8 -3.5 -0.4 -4.0 -0.7 -0.1 -3.7 -2.9 -6.0 -4.7 -9.3 1.3 -0.6 13.0 OJ 3.2 14.4 -20.0 1.6 5.3 0.5 3.4 -1.8 1.7 -1.9 6.8 2.1 10.2 9.4 3.3 7.4 15.4 8.2 11.6 8.3 10.7 -0.1 18.4 6.1 -20.0 2.5 -2.0 4.8 -0.5 9.6 1.3 20.0 -20.0 2.7 17.0 -1.6 9.8 9.5 15.2 20.0 PALLAD 16.2 9.8 15.5 0.5 4.9 -0.5 4.7 -0.5 2.7 5.1 -5.4 6.3 -7.7 4.0 -3.6 -1.8 -2.1 -1.8 -2.0 -1.2 -5.3 6.6 -9.2 3.4 9.2 -0.4 4.1 -2.4 3.8 -3.9 1.8 6.9 -5.7 -1.7 -2.2 -1.7 -16.6 -9.9 -12.1 -5.3 PLAT 6.5 -2.5 1.0 0.8 7.4 -0.8 7.1 -0.8 4.1 10.1 -5.6 8.3 -7.9 0.1 -6.7 -4.1 -3.3 -4.0 -3.8 -2.3 -3.7 8.7 -4.1 2.0 10.1 -0.6 9.4 -1.2 5.8 -1.0 1.8 4.3 -8.1 -9.2 -5.8 1.7 -12.9 -4.4 20.0 7.1 REDWHEAT 3.4 0.7 -8.1 2.1 6.8 0.6 4.3 -2.4 2.1 13.5 -18.0 1.6 -17.9 -10.7 -14.4 10.2 0.7 4.8 1.7 -15.6 -20.0 3.7 -20.0 -8.5 -9.0 -5.9 6.1 -6.1 0.1 -5.7 -4.4 4.7 4.2 -20.0 -20.0 -20.0 -14.9 -20.0 -10.6 -20.0 RICE -16.9 1.9 9.1 2.2 7.4 0.7 4.7 -2.6 2.3 -16.8 14.0 -17.8 15.3 -4.4 7.2 -8.4 -3.2 -10.6 -9.0 6.8 15.1 -17.1 15.0 -7.2 -18.6 2.3 -7.6 4.8 -7.3 4.6 -2.7 -6.7 -20.0 -16.9 2.1 8.9 5.5 -4.5 12.6 4.6 ROBUSTA -12.8 3.7 20.0 1.8 5.9 0.5 3.8 -2.1 1.9 6.9 15.1 8.9 15.6 12.0 14.6 20.0 20.0 20.0 20.0 20.0 20.0 19.3 20.0 18.0 -20.0 5.6 3.6 7.2 4.8 7.1 4.3 20.0 20.0 16.8 20.0 20.0 -20.0 -17.6 -10.6 1.0 RUSSELL 8.4 4.2 20.0 4.3 1.6 3.6 3.2 2.4 4.1 5.7 10.2 11.5 6.9 11.6 11.4 -6.4 -6.3 -6.4 -6.4 11.1 10.0 8.4 5.6 10.3 -2.1 4.7 1.1 4.2 3.1 2.7 4.2 -0.1 -0.0 -6.7 -9.1 -3.3 -17.9 -19.1 -18.9 -20.0 SHATZ -12.4 -20.0 3.3 -0.1 2.1 0.3 2.2 -0.6 0.5 4.3 -4.9 -1.7 -6.0 -6.7 -6.9 -20.0 -20.0 -20.0 -20.0 -9.2 -5.7 0.2 -6.2 -7.5 8.1 -2.0 1.6 -1.0 0.3 -1.0 -1.6 -20.0 -0.9 -11.6 -10.2 -7.2 -20.0 -20.0 -8.2 -20.0 SILVER-mini 15.8 3.4 -3.4 1.3 11.9 -1.3 11.4 -1.2 6.5 17.8 -3.4 18.2 -3.8 13.4 -6.0 -6.8 -6.6 -6.9 -6.8 4.6 -2.3 20.0 -3.1 17.4 5.6 3.7 10.3 0.6 11.5 -0.1 8.4 -1.2 8.4 9.0 8.9 4.2 -20.0 -18.4 17.9 -2.3 SMI 15.8 9.5 17.7 7.4 2.8 6.1 5.4 4.0 7.0 20.0 18.6 20.0 9.8 20.0 20.0 7.3 6.2 9.3 8.0 20.0 15.8 20.0 7.7 20.0 14.4 7.7 15.7 5.9 12.4 3.0 9.3 20.0 20.0 13.1 -15.4 -9.1 9.1 -5.2 17.9 -9.5 SOFR 1.8 -12.8 10.4 -0.1 2.7 0.4 2.8 -0.8 0.6 8.1 3.9 8.1 0.0 -2.4 -0.4 0.0 0.3 0.8 0.7 -0.8 0.5 8.3 -1.3 1.9 -2.4 0.6 3.6 1.3 3.4 0.4 1.1 1.9 5.4 -2.2 3.0 2.3 -20.0 -20.0 -1.9 -1.8 SOYBEAN 7.5 -11.0 -20.0 2.5 8.1 0.7 5.2 -2.8 2.5 18.5 -17.6 9.9 -5.6 -8.8 -18.9 5.4 14.0 8.0 10.4 -20.0 -20.0 15.6 -16.2 -6.3 -20.0 -6.1 9.8 -5.7 4.9 -3.0 -1.9 20.0 20.0 -7.2 -20.0 -20.0 -7.5 -20.0 -6.8 -20.0 SOYMEAL 3.0 -16.9 -20.0 2.0 6.5 0.6 4.1 -2.3 2.0 10.5 -16.2 3.1 -10.6 -12.0 -16.8 -5.9 10.3 -0.6 4.7 -20.0 -20.0 4.3 -13.6 -11.7 -20.0 -5.6 3.7 -5.1 1.3 -2.1 -2.7 16.8 9.4 -10.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -0.7 -4.5 -19.7 2.1 7.0 0.6 4.5 -2.5 2.2 16.2 -17.3 -0.3 -14.0 -7.9 -15.0 -6.9 3.1 -5.0 -1.4 -15.6 -20.0 9.0 -20.0 -4.2 -20.0 -3.9 11.6 -5.9 6.2 -5.7 0.1 5.0 15.0 -2.3 -19.0 -8.3 -14.3 -7.5 -10.4 5.2 SP400 17.2 11.7 20.0 5.6 2.1 4.6 4.1 3.1 5.3 10.3 16.1 15.6 12.7 16.6 17.4 -6.6 -5.5 -6.2 -5.8 20.0 20.0 20.0 13.0 20.0 -12.5 6.3 3.0 5.2 5.7 3.5 6.5 1.1 13.9 5.5 -1.8 1.0 -16.5 -8.4 -14.3 -20.0 SP500_micro 3.0 9.4 20.0 6.4 2.4 5.3 4.6 3.5 6.0 6.2 20.0 14.7 19.0 18.5 20.0 -13.0 -11.3 -12.9 -12.3 20.0 20.0 14.2 20.0 20.0 -20.0 7.5 1.1 7.8 3.1 6.5 5.4 -9.4 -4.5 -5.0 13.7 17.1 4.4 -3.1 17.0 -6.7 SUGAR11 -11.5 2.4 -19.2 1.7 5.4 0.5 3.5 -1.9 1.7 0.3 -5.7 -5.2 4.9 -6.3 -6.8 10.0 18.3 15.4 17.6 -7.9 -6.5 -5.5 0.7 -8.8 -20.0 -3.9 3.0 -3.5 -2.0 0.3 -3.5 20.0 -15.9 -14.9 -10.1 -20.0 17.1 1.0 20.0 12.0 US10 1.1 -9.8 12.7 -0.1 2.4 0.4 2.4 -0.7 0.6 7.3 2.1 6.9 -2.6 -2.7 -0.1 -7.6 -8.0 -8.5 -8.4 -0.9 -0.9 7.0 -4.7 1.5 2.0 0.5 3.1 0.7 3.0 -0.8 1.0 -13.1 4.8 -1.6 3.4 2.2 -20.0 -20.0 -15.3 9.7 US10U 1.4 -8.5 12.4 -0.1 3.4 0.5 3.5 -1.0 0.8 10.5 2.3 10.0 -3.7 -4.3 -0.7 -3.0 -0.0 -1.0 -0.2 -1.2 -1.6 9.3 -7.4 2.1 -0.8 1.0 4.1 1.1 4.1 -1.3 1.6 1.1 4.6 -1.3 6.7 3.5 -20.0 -20.0 10.9 20.0 US2 -6.3 -16.8 11.9 -0.1 2.0 0.3 2.1 -0.6 0.5 4.3 -1.3 1.9 -5.4 -5.3 -4.1 -20.0 -20.0 -20.0 -20.0 -4.4 -3.1 1.7 -6.3 -3.2 9.6 -0.9 1.0 0.1 0.6 -1.0 -1.0 -20.0 0.4 -8.8 -3.9 -0.8 -20.0 -20.0 -16.6 -20.0 US20 4.4 -5.8 15.7 -0.1 2.5 0.4 2.6 -0.8 0.6 8.1 2.7 8.1 -1.6 -0.7 1.4 0.1 -0.8 -0.1 -0.4 1.3 0.4 9.0 -4.6 3.9 -1.3 1.9 3.9 1.5 4.2 -0.7 2.5 -0.4 5.0 2.9 7.8 5.9 -20.0 -20.0 20.0 20.0 US30 6.7 -3.3 13.6 -0.1 3.0 0.5 3.1 -0.9 0.7 9.3 2.2 10.1 -3.3 0.5 1.0 -7.7 -5.9 -7.9 -7.1 1.6 -0.3 9.5 -6.7 4.9 -0.7 2.6 3.9 1.7 5.0 -1.4 3.5 -9.9 2.4 5.3 10.9 5.3 -14.5 -18.7 20.0 20.0 US5 -1.8 -13.6 11.6 -0.1 2.3 0.3 2.4 -0.7 0.5 6.5 1.5 5.6 -3.4 -4.1 -1.8 -8.3 -10.0 -9.3 -9.9 -2.5 -1.5 5.2 -4.5 -0.4 4.4 -0.2 2.6 0.6 2.2 -0.6 0.1 -16.2 3.7 -4.7 0.2 0.8 -20.0 -20.0 -20.0 -6.7 VIX 3.9 5.1 -8.1 -7.2 5.6 -10.7 2.2 -14.6 -3.0 20.0 -20.0 0.2 -20.0 -11.3 -20.0 -20.0 -20.0 -20.0 -20.0 -15.4 -20.0 5.8 -20.0 -3.4 NaN -8.3 6.6 -13.0 3.0 -18.3 -2.9 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -4.8 -8.4 -2.4 2.1 7.0 0.6 4.5 -2.5 2.2 0.3 -18.4 -9.9 -18.7 -14.8 -15.5 -12.8 -11.1 -12.1 -11.6 -19.4 -20.0 -9.2 -20.0 -17.5 0.1 -6.1 1.6 -4.8 -3.4 -4.2 -6.2 -16.4 -17.8 -20.0 -20.0 -20.0 -15.2 -20.0 -10.8 -20.0 End of report for caleb_strategy_v3