******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240312_204014 produced at 2024-03-12 21:37:45.562911 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.35 0.0 0.00 0.00 0.00 0.00 -4.66 11.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.08 -0.31 0.0 0.08 -0.08 -0.08 -0.08 -62.07 17.0 -16 -16 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.28 0.0 0.00 0.00 0.00 0.00 -7.88 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.23 0.0 0.00 0.00 0.00 0.00 -3.59 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.40 -0.16 0.0 0.58 -0.58 -0.40 -0.40 -3.56 13.0 -9 -9 caleb_strategy_v3 BOBL False False 0.04 -0.52 -0.08 0.0 0.76 -0.76 -0.52 -0.52 -1.90 19.0 -13 -13 caleb_strategy_v3 US5 False False 0.03 -0.23 -0.07 0.0 0.83 -0.83 -0.23 -0.23 -1.98 25.0 -7 -7 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.07 0.0 0.09 -0.09 -0.07 -0.07 -9.75 12.0 -10 -10 caleb_strategy_v3 CAD False False 0.02 0.00 -0.06 0.0 0.67 -0.67 0.00 0.00 -2.46 29.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.15 -0.15 -0.02 -0.02 -21.13 51.0 -6 -6 caleb_strategy_v3 JPY False False 0.03 -0.05 -0.06 0.0 0.45 -0.45 -0.05 -0.05 -2.40 17.0 -2 -2 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.05 -0.05 0.00 0.00 -5.04 5.0 0 0 caleb_strategy_v3 DX False False 0.03 0.00 -0.04 0.0 999.00 -999.00 0.00 0.00 -1.24 999999999.0 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 -27.63 26.0 -16 -16 caleb_strategy_v3 US10 False False 0.03 0.00 -0.03 0.0 0.59 -0.59 0.00 0.00 -0.83 17.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.03 0.0 0.18 -0.18 0.00 0.00 -0.88 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 -3.10 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 -1.09 7.0 -2 -2 caleb_strategy_v3 RICE False False 0.01 0.00 -0.02 0.0 0.04 -0.04 0.00 0.00 -2.14 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 -4.06 2.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.10 -0.10 0.00 0.00 -2.07 9.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.05 -0.02 0.0 0.09 -0.09 -0.05 -0.05 -1.75 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 -0.95 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 -2.65 66.0 1 1 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.01 0.0 0.14 -0.14 -0.01 -0.01 -1.05 18.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.01 0.0 0.22 -0.22 -0.01 -0.01 -3.46 68.0 -4 -3 caleb_strategy_v3 BUND False False 0.05 -0.05 -0.01 0.0 0.45 -0.45 -0.05 -0.05 -0.12 10.0 -1 -1 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.18 -0.18 0.00 0.00 -0.03 4.0 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 COTTON2 False False 0.01 0.00 -0.00 0.0 0.16 -0.16 0.00 0.00 -0.06 11.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.08 0.00 0.0 0.24 -0.24 0.08 0.08 0.06 6.0 2 2 caleb_strategy_v3 NZD False False 0.02 0.10 0.00 0.0 0.40 -0.40 0.10 0.10 0.18 21.0 5 5 caleb_strategy_v3 PALLAD False False 0.03 0.00 0.00 0.0 0.06 -0.06 0.00 0.00 0.08 2.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.00 0.0 0.46 -0.46 0.00 0.00 0.00 13.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.13 0.00 0.0 0.26 -0.26 0.13 0.13 0.13 23.0 11 11 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.66 3.0 0 0 caleb_strategy_v3 PLAT False False 0.01 0.01 0.01 0.0 0.14 -0.14 0.01 0.01 0.45 10.0 1 1 caleb_strategy_v3 US20 False False 0.04 0.04 0.01 0.0 0.34 -0.34 0.04 0.04 0.21 9.0 1 1 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.24 -0.24 0.01 0.01 1.29 23.0 1 1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.02 0.0 0.00 -0.00 0.00 0.00 0.95 0.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.09 0.02 0.0 0.57 -0.57 0.09 0.09 1.09 26.0 4 4 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 0.02 0.0 0.02 -0.02 0.00 0.00 3.24 3.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.03 0.0 0.39 -0.39 0.03 0.03 4.18 48.0 4 4 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.03 0.0 0.13 -0.13 0.13 0.13 1.03 4.0 4 4 caleb_strategy_v3 SP400 False False 0.09 0.19 0.03 0.0 0.19 -0.19 0.19 0.19 0.27 2.0 2 2 caleb_strategy_v3 HEATOIL False False 0.03 0.00 0.03 0.0 0.10 -0.10 0.00 0.00 0.78 3.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.03 0.0 0.38 -0.38 0.00 0.00 3.79 56.0 0 0 caleb_strategy_v3 EUR False False 0.04 0.08 0.04 0.0 0.59 -0.59 0.08 0.08 0.87 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 1.01 8.0 6 6 caleb_strategy_v3 GASOIL False False 0.02 0.05 0.04 0.0 0.10 -0.10 0.05 0.05 1.50 4.0 2 2 caleb_strategy_v3 OAT False False 0.04 0.00 0.05 0.0 0.44 -0.44 0.00 0.00 1.17 10.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.20 0.08 0.0 0.40 -0.40 0.20 0.20 2.02 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 38.67 59.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.12 0.09 0.0 0.55 -0.55 0.12 0.12 3.61 22.0 5 5 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.11 0.0 0.39 -0.39 0.00 0.00 4.81 17.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.08 0.12 0.0 0.16 -0.16 0.08 0.08 9.51 13.0 6 6 caleb_strategy_v3 CAC False True 0.03 0.00 0.13 0.0 0.00 0.00 0.00 0.00 4.74 12.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.20 0.15 0.0 0.29 -0.29 0.20 0.20 17.77 36.0 24 24 caleb_strategy_v3 EUROSTX False False 0.02 0.29 0.15 0.0 0.34 -0.34 0.29 0.29 9.21 20.0 17 17 caleb_strategy_v3 SMI False False 0.04 0.33 0.18 0.0 0.37 -0.37 0.33 0.33 4.46 9.0 8 8 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.18 0.0 0.11 -0.11 0.05 0.05 7.73 5.0 2 2 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.28 0.18 0.0 0.49 -0.49 0.28 0.24 5.96 16.0 9 8 caleb_strategy_v3 DAX False False 0.01 0.12 0.18 0.0 0.36 -0.36 0.12 0.12 29.03 58.0 20 20 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.58 0.43 0.0 0.83 -0.83 0.58 0.58 5.21 10.0 7 7 caleb_strategy_v3 MXP False False 0.01 0.55 0.93 0.0 0.55 -0.55 0.55 0.55 102.70 60.0 60 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 26.3 Shocked risk 88.8 Sum abs risk 60.9 Leverage 5.54 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3227528.79, 'annual_cash_vol_target': 806882.1975, 'daily_cash_vol_target': 50430.13734375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0037 0.6624 0.5627 9.0025 BITCOIN 1692.3032 71650.0000 2.3619 37.7904 BOBL 0.2560 118.1500 0.2166 3.4662 BTP 0.5558 119.4900 0.4651 7.4419 BUND 0.5034 133.1400 0.3781 6.0496 BUXL 1.1842 135.3400 0.8749 13.9992 CAC 47.3482 8122.5000 0.5829 9.3268 CAD 0.0027 0.7422 0.3661 5.8571 CANOLA 7.1563 635.9000 1.1254 18.0060 CHF 0.0046 1.1518 0.4027 6.4437 COCOA 141.8111 7051.0000 2.0112 32.1795 COFFEE 3.3305 184.1500 1.8086 28.9370 COPPER 0.0358 3.9535 0.9046 14.4731 CORN 4.6690 472.5000 0.9881 15.8103 COTTON2 1.7114 95.3300 1.7952 28.7239 CRUDE_W 0.8582 73.7400 1.1638 18.6206 DAX 108.2922 18282.0000 0.5923 9.4775 DOW 203.1898 39034.0000 0.5205 8.3287 DX 0.3390 102.5300 0.3306 5.2903 EUR 0.0040 1.0969 0.3645 5.8315 EURIBOR-ICE 0.0473 97.7150 0.0485 0.7753 EUROSTX 34.1410 4951.0000 0.6896 11.0332 FEEDCOW 1.5941 268.2250 0.5943 9.5093 GASOIL 11.6362 779.2500 1.4933 23.8922 GASOLINE 0.0378 2.5496 1.4832 23.7310 GAS_US_mini 0.0858 1.8200 4.7155 75.4487 GBP 0.0053 1.2800 0.4170 6.6718 GOLD_micro 14.8377 2162.0000 0.6863 10.9807 HEATOIL 0.0377 2.5592 1.4731 23.5701 JGB-SGX-mini 0.2235 145.3900 0.1537 2.4599 JPY 0.0000 0.0069 0.5518 8.8290 LEANHOG 0.9759 102.0750 0.9560 15.2963 LIVECOW 1.1487 183.8750 0.6247 9.9953 LUMBER-new 5.9139 613.5000 0.9640 15.4234 MILK 0.2055 16.4000 1.2529 20.0459 MXP 0.0003 0.0587 0.4914 7.8631 NASDAQ_micro 147.7655 18469.5000 0.8001 12.8008 NIKKEI 384.9587 38855.0000 0.9908 15.8521 NZD 0.0037 0.6152 0.6067 9.7066 OAT 0.4988 128.5900 0.3879 6.2058 OATIES 5.7242 360.0000 1.5901 25.4408 OJ 6.6954 356.9500 1.8757 30.0117 PALLAD 29.1482 1046.0000 2.7866 44.5862 PLAT 15.4541 928.2000 1.6650 26.6392 REDWHEAT 10.1559 588.2500 1.7265 27.6233 RICE 0.1688 18.0450 0.9355 14.9674 ROBUSTA 45.4809 3303.0000 1.3770 22.0313 RUSSELL 21.8416 2090.9000 1.0446 16.7136 SHATZ 0.0870 105.7700 0.0822 1.3158 SILVER-mini 0.3210 24.6750 1.3008 20.8129 SMI 67.5940 11648.0000 0.5803 9.2849 SOFR 0.0650 96.4800 0.0673 1.0774 SOYBEAN 10.1235 1186.2500 0.8534 13.6545 SOYMEAL 4.2031 343.1000 1.2250 19.6005 SOYOIL 0.5896 48.1400 1.2247 19.5955 SP400 21.9782 2989.7000 0.7351 11.7621 SP500_micro 31.1072 5244.0000 0.5932 9.4911 SUGAR11 0.3632 21.6700 1.6760 26.8166 US10 0.3942 111.2031 0.3545 5.6714 US10U 0.5285 115.0469 0.4594 7.3507 US2 0.1115 102.4375 0.1089 1.7416 US20 0.7764 120.8125 0.6427 10.2828 US30 1.1466 129.4062 0.8860 14.1762 US5 0.2652 107.3438 0.2470 3.9523 VIX 0.4011 15.9500 2.5149 40.2392 WHEAT 8.6210 592.7500 1.4544 23.2705 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 662.40 0.56 372.71 1.00 372.71 50430.14 135.31 -2.70 -36.48 BITCOIN 71.65 2.36 169.23 1.00 169.23 50430.14 298.00 11.98 357.15 BOBL 1181.50 0.22 255.96 1.09 280.12 50430.14 180.03 -10.43 -187.69 BTP 1194.90 0.47 555.77 1.09 608.24 50430.14 82.91 7.14 59.19 BUND 1331.40 0.38 503.40 1.09 550.92 50430.14 91.54 -1.29 -11.79 BUXL 1353.40 0.87 1184.16 1.09 1295.94 50430.14 38.91 -0.74 -2.87 CAC 812.25 0.58 473.48 1.09 518.18 50430.14 97.32 14.27 138.85 CAD 742.20 0.37 271.70 1.00 271.70 50430.14 185.61 -5.10 -94.67 CANOLA 127.18 1.13 143.13 0.74 106.16 50430.14 475.02 -18.29 -868.60 CHF 1439.69 0.40 579.81 1.00 579.81 50430.14 86.98 -15.79 -137.37 COCOA 705.10 2.01 1418.11 1.00 1418.11 50430.14 35.56 14.35 51.05 COFFEE 690.56 1.81 1248.93 1.00 1248.93 50430.14 40.38 -0.65 -2.64 COPPER 988.38 0.90 894.05 1.00 894.05 50430.14 56.41 -1.44 -8.15 CORN 236.25 0.99 233.45 1.00 233.45 50430.14 216.02 -18.55 -400.81 COTTON2 476.65 1.80 855.70 1.00 855.70 50430.14 58.93 -0.44 -2.57 CRUDE_W 737.40 1.16 858.18 1.00 858.18 50430.14 58.76 12.15 71.38 DAX 182.82 0.59 108.29 1.09 118.52 50430.14 425.52 20.00 851.03 DOW 195.17 0.52 101.59 1.00 101.59 50430.14 496.38 -2.30 -113.97 DX 1025.30 0.33 339.01 1.00 339.01 50430.14 148.76 -3.22 -47.94 EUR 1371.12 0.36 499.73 1.00 499.73 50430.14 100.91 3.34 33.72 EURIBOR-ICE 2442.88 0.05 118.37 1.09 129.54 50430.14 389.29 3.92 152.72 EUROSTX 495.10 0.69 341.41 1.09 373.64 50430.14 134.97 20.00 269.94 FEEDCOW 1341.12 0.59 797.07 1.00 797.07 50430.14 63.27 4.81 30.43 GASOIL 779.25 1.49 1163.62 1.00 1163.62 50430.14 43.34 7.99 34.65 GASOLINE 1070.83 1.48 1588.24 1.00 1588.24 50430.14 31.75 7.45 23.65 GAS_US_mini 45.50 4.72 214.56 1.00 214.56 50430.14 235.04 -10.86 -255.19 GBP 800.00 0.42 333.59 1.00 333.59 50430.14 151.17 9.20 139.14 GOLD_micro 216.20 0.69 148.38 1.00 148.38 50430.14 339.88 3.27 111.26 HEATOIL 1074.86 1.47 1583.42 1.00 1583.42 50430.14 31.85 5.61 17.88 JGB-SGX-mini 145390.00 0.15 22352.67 0.01 152.16 50430.14 331.43 1.66 55.04 JPY 859.31 0.55 474.18 1.00 474.18 50430.14 106.35 -8.69 -92.41 LEANHOG 408.30 0.96 390.34 1.00 390.34 50430.14 129.19 12.11 156.50 LIVECOW 735.50 0.62 459.47 1.00 459.47 50430.14 109.76 13.23 145.25 LUMBER-new 168.71 0.96 162.63 1.00 162.63 50430.14 310.09 4.88 151.25 MILK 328.00 1.25 410.94 1.00 410.94 50430.14 122.72 -19.19 -235.45 MXP 293.30 0.49 144.14 1.00 144.14 50430.14 349.87 20.00 699.74 NASDAQ_micro 369.39 0.80 295.53 1.00 295.53 50430.14 170.64 0.34 5.72 NIKKEI 38855.00 0.99 38495.87 0.01 262.05 50430.14 192.45 8.53 164.07 NZD 615.20 0.61 373.22 1.00 373.22 50430.14 135.12 0.51 6.89 OAT 1285.90 0.39 498.75 1.09 545.83 50430.14 92.39 3.72 34.34 OATIES 180.00 1.59 286.21 1.00 286.21 50430.14 176.20 -9.47 -166.78 OJ 535.42 1.88 1004.31 1.00 1004.31 50430.14 50.21 6.17 30.99 PALLAD 1046.00 2.79 2914.82 1.00 2914.82 50430.14 17.30 1.44 2.49 PLAT 464.10 1.66 772.70 1.00 772.70 50430.14 65.26 2.04 13.33 REDWHEAT 294.12 1.73 507.79 1.00 507.79 50430.14 99.31 -15.55 -154.47 RICE 360.90 0.94 337.61 1.00 337.61 50430.14 149.37 -5.90 -88.08 ROBUSTA 330.30 1.38 454.81 1.00 454.81 50430.14 110.88 9.98 110.71 RUSSELL 104.54 1.04 109.21 1.00 109.21 50430.14 461.78 -2.26 -104.55 SHATZ 1057.70 0.08 86.98 1.09 95.20 50430.14 529.75 -14.67 -776.95 SILVER-mini 616.88 1.30 802.44 1.00 802.44 50430.14 62.85 4.45 27.99 SMI 1164.80 0.58 675.94 1.14 770.71 50430.14 65.43 20.00 130.87 SOFR 2412.00 0.07 162.42 1.00 162.42 50430.14 310.50 -2.47 -76.70 SOYBEAN 593.12 0.85 506.18 1.00 506.18 50430.14 99.63 -11.79 -117.44 SOYMEAL 343.10 1.23 420.31 1.00 420.31 50430.14 119.98 -18.53 -222.34 SOYOIL 288.84 1.22 353.75 1.00 353.75 50430.14 142.56 -13.15 -187.47 SP400 2989.70 0.74 2197.82 1.00 2197.82 50430.14 22.95 3.58 8.22 SP500_micro 262.20 0.59 155.54 1.00 155.54 50430.14 324.23 5.55 180.04 SUGAR11 242.70 1.68 406.78 1.00 406.78 50430.14 123.97 -4.00 -49.54 US10 1112.03 0.35 394.17 1.00 394.17 50430.14 127.94 -5.10 -65.22 US10U 1150.47 0.46 528.55 1.00 528.55 50430.14 95.41 0.02 0.16 US2 2048.75 0.11 223.01 1.00 223.01 50430.14 226.14 -12.54 -283.58 US20 1208.12 0.64 776.43 1.00 776.43 50430.14 64.95 2.60 16.90 US30 1294.06 0.89 1146.55 1.00 1146.55 50430.14 43.98 1.16 5.09 US5 1073.44 0.25 265.16 1.00 265.16 50430.14 190.19 -8.20 -155.94 VIX 159.50 2.51 401.13 1.00 401.13 50430.14 125.72 -20.00 -251.44 WHEAT 296.38 1.45 431.05 1.00 431.05 50430.14 116.99 -20.00 -233.99 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -36.484 0.010 2.5 -0.947 BITCOIN 357.149 0.043 2.5 38.675 BOBL -187.685 0.004 2.5 -1.903 BTP 59.193 0.014 2.5 2.019 BUND -11.791 0.004 2.5 -0.120 BUXL -2.870 0.004 2.5 -0.029 CAC 138.848 0.014 2.5 4.736 CAD -94.668 0.010 2.5 -2.456 CANOLA -868.605 0.010 2.5 -21.132 CHF -137.372 0.010 2.5 -3.564 COCOA 51.046 0.009 2.5 1.093 COFFEE -2.640 0.005 2.5 -0.031 COPPER -8.150 0.043 2.5 -0.883 CORN -400.806 0.010 2.5 -9.751 COTTON2 -2.570 0.009 2.5 -0.055 CRUDE_W 71.382 0.043 2.5 7.730 DAX 851.034 0.014 2.5 29.027 DOW -113.974 0.009 2.5 -2.649 DX -47.943 0.010 2.5 -1.244 EUR 33.721 0.010 2.5 0.875 EURIBOR-ICE 152.725 0.014 2.5 5.209 EUROSTX 269.940 0.014 2.5 9.207 FEEDCOW 30.426 0.013 2.5 1.008 GASOIL 34.648 0.017 2.5 1.502 GASOLINE 23.649 0.017 2.5 1.025 GAS_US_mini -255.195 0.043 2.5 -27.634 GBP 139.138 0.010 2.5 3.610 GOLD_micro 111.257 0.014 2.5 3.795 HEATOIL 17.880 0.017 2.5 0.775 JGB-SGX-mini 55.037 0.043 2.5 5.960 JPY -92.410 0.010 2.5 -2.398 LEANHOG 156.497 0.024 2.5 9.511 LIVECOW 145.252 0.013 2.5 4.813 LUMBER-new 151.250 0.009 2.5 3.235 MILK -235.452 0.009 2.5 -5.043 MXP 699.738 0.059 2.5 102.703 NASDAQ_micro 5.719 0.009 2.5 0.133 NIKKEI 164.065 0.043 2.5 17.766 NZD 6.894 0.010 2.5 0.179 OAT 34.338 0.014 2.5 1.171 OATIES -166.783 0.010 2.5 -4.058 OJ 30.985 0.009 2.5 0.664 PALLAD 2.488 0.014 2.5 0.085 PLAT 13.333 0.014 2.5 0.455 REDWHEAT -154.469 0.005 2.5 -2.049 RICE -88.084 0.010 2.5 -2.143 ROBUSTA 110.706 0.005 2.5 1.293 RUSSELL -104.554 0.013 2.5 -3.465 SHATZ -776.945 0.004 2.5 -7.879 SILVER-mini 27.986 0.014 2.5 0.955 SMI 130.867 0.014 2.5 4.464 SOFR -76.696 0.024 2.5 -4.661 SOYBEAN -117.438 0.004 2.5 -1.092 SOYMEAL -222.337 0.004 2.5 -2.068 SOYOIL -187.466 0.004 2.5 -1.745 SP400 8.225 0.013 2.5 0.273 SP500_micro 180.040 0.009 2.5 4.184 SUGAR11 -49.537 0.009 2.5 -1.054 US10 -65.217 0.005 2.5 -0.826 US10U 0.157 0.005 2.5 0.002 US2 -283.585 0.005 2.5 -3.594 US20 16.903 0.005 2.5 0.214 US30 5.093 0.005 2.5 0.065 US5 -155.942 0.005 2.5 -1.976 VIX -251.438 0.099 2.5 -62.065 WHEAT -233.987 0.005 2.5 -3.104 ===================== Position diags ===================== AUD 3.51 BITCOIN 32.27 BOBL 1.83 BTP 2.83 BUND 0.93 BUXL 0.39 CAC 3.32 CAD 4.82 CANOLA 11.56 CHF 2.26 COCOA 0.76 COFFEE 0.47 COPPER 6.11 CORN 5.26 COTTON2 1.26 CRUDE_W 6.36 DAX 14.51 DOW 11.54 DX 3.86 EUR 2.62 EURIBOR-ICE 13.28 EUROSTX 4.60 FEEDCOW 2.10 GASOIL 1.88 GASOLINE 1.38 GAS_US_mini 25.45 GBP 3.92 GOLD_micro 11.59 HEATOIL 1.38 JGB-SGX-mini 35.89 JPY 2.76 LEANHOG 7.85 LIVECOW 3.64 LUMBER-new 6.63 MILK 2.63 MXP 51.35 NASDAQ_micro 3.97 NIKKEI 20.84 NZD 3.51 OAT 3.15 OATIES 4.29 OJ 1.08 PALLAD 0.59 PLAT 2.23 REDWHEAT 1.32 RICE 3.63 ROBUSTA 1.29 RUSSELL 15.30 SHATZ 5.37 SILVER-mini 2.14 SMI 2.23 SOFR 18.87 SOYBEAN 0.93 SOYMEAL 1.12 SOYOIL 1.33 SP400 0.76 SP500_micro 7.54 SUGAR11 2.64 US10 1.62 US10U 1.21 US2 2.87 US20 0.82 US30 0.56 US5 2.41 VIX 31.03 WHEAT 1.55 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.9 -1.3 -0.6 0.0 0 BITCOIN 38.7 35.4 41.9 0.0 0 BOBL -1.9 -2.1 -1.7 -13.0 -13 BTP 2.0 1.7 2.3 5.0 5 BUND -0.1 -0.2 -0.0 -1.0 -1 BUXL -0.0 -0.1 0.0 0.0 0 CAC 4.7 4.4 5.1 0.0 0 CAD -2.5 -2.9 -2.0 0.0 0 CANOLA -21.1 -22.3 -20.0 -6.0 -6 CHF -3.6 -3.8 -3.3 -9.0 -9 COCOA 1.1 1.0 1.2 4.0 4 COFFEE -0.0 -0.1 0.0 0.0 0 COPPER -0.9 -1.5 -0.3 0.0 0 CORN -9.8 -10.3 -9.2 -10.0 -10 COTTON2 -0.1 -0.2 0.1 0.0 0 CRUDE_W 7.7 7.1 8.4 2.0 2 DAX 29.0 27.6 30.5 20.0 20 DOW -2.6 -3.8 -1.5 1.0 1 DX -1.2 -1.6 -0.9 NaN 0 EUR 0.9 0.6 1.1 2.0 2 EURIBOR-ICE 5.2 3.9 6.5 7.0 7 EUROSTX 9.2 8.7 9.7 17.0 17 FEEDCOW 1.0 0.8 1.2 6.0 6 GASOIL 1.5 1.3 1.7 2.0 2 GASOLINE 1.0 0.9 1.2 4.0 4 GAS_US_mini -27.6 -30.2 -25.1 -16.0 -16 GBP 3.6 3.2 4.0 5.0 5 GOLD_micro 3.8 2.6 5.0 0.0 0 HEATOIL 0.8 0.6 0.9 0.0 0 JGB-SGX-mini 6.0 2.4 9.5 9.0 9 JPY -2.4 -2.7 -2.1 -2.0 -2 LEANHOG 9.5 8.7 10.3 6.0 6 LIVECOW 4.8 4.4 5.2 0.0 0 LUMBER-new 3.2 2.6 3.9 NaN 0 MILK -5.0 -5.3 -4.8 NaN 0 MXP 102.7 97.6 107.8 60.0 60 NASDAQ_micro 0.1 -0.3 0.5 11.0 11 NIKKEI 17.8 15.7 19.9 24.0 24 NZD 0.2 -0.2 0.5 5.0 5 OAT 1.2 0.9 1.5 0.0 0 OATIES -4.1 -4.5 -3.6 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 1.0 1 REDWHEAT -2.0 -2.2 -1.9 -3.0 -3 RICE -2.1 -2.5 -1.8 NaN 0 ROBUSTA 1.3 1.2 1.4 1.0 1 RUSSELL -3.5 -5.0 -1.9 -4.0 -4 SHATZ -7.9 -8.4 -7.3 NaN 0 SILVER-mini 1.0 0.7 1.2 NaN 0 SMI 4.5 4.2 4.7 8.0 8 SOFR -4.7 -6.5 -2.8 NaN 0 SOYBEAN -1.1 -1.2 -1.0 -2.0 -2 SOYMEAL -2.1 -2.2 -2.0 0.0 0 SOYOIL -1.7 -1.9 -1.6 -6.0 -6 SP400 0.3 0.2 0.3 2.0 2 SP500_micro 4.2 3.4 4.9 4.0 4 SUGAR11 -1.1 -1.3 -0.8 -1.0 -1 US10 -0.8 -1.0 -0.7 0.0 0 US10U 0.0 -0.1 0.1 0.0 0 US2 -3.6 -3.9 -3.3 NaN 0 US20 0.2 0.1 0.3 1.0 1 US30 0.1 0.0 0.1 2.0 2 US5 -2.0 -2.2 -1.7 -7.0 -7 VIX -62.1 -65.2 -59.0 -16.0 -16 WHEAT -3.1 -3.3 -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 0.1 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 0.6 0.4 0.0 0.1 -0.0 0.1 -0.1 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.2 0.5 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 0.2 -0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 -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 0.1 -0.2 -0.2 -0.2 -0.7 -0.7 0.1 -0.7 BTP 0.2 -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 -2.4 0.0 0.1 0.1 0.1 0.1 0.1 0.6 0.4 0.5 0.5 0.3 -0.4 -0.6 0.6 0.1 BUND -0.0 -0.5 0.4 -0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 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 0.1 -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 -0.1 -0.0 0.0 0.0 0.1 -0.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.2 0.1 0.1 0.1 -0.7 -0.7 0.2 0.1 CAC 0.6 0.6 0.6 0.1 0.1 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 0.1 -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 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.2 -0.5 -0.1 -0.0 -0.5 -0.5 0.0 -0.4 CANOLA 0.6 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 -0.1 -0.2 0.1 -0.5 0.0 -2.7 -0.0 0.1 -0.1 0.0 -0.2 0.0 -0.5 0.5 0.1 -0.6 -0.6 -0.7 -0.7 -0.6 -0.3 CHF -0.1 -0.6 -0.0 0.0 0.1 0.1 0.1 0.1 0.0 0.2 -0.1 0.1 0.1 -0.2 -0.2 -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 -0.2 -0.6 COCOA -0.1 0.2 -0.4 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 0.4 0.2 0.2 0.1 0.3 0.2 -1.5 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.1 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 0.1 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 -0.3 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 -0.0 0.1 0.2 0.1 0.2 -0.2 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 -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 0.3 -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 0.2 -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 0.4 -0.4 -0.6 -0.6 -0.2 -0.7 -0.1 -0.0 COTTON2 -0.3 0.6 0.5 0.0 0.1 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 -0.3 0.6 0.6 0.6 -0.5 -0.4 -0.2 0.0 CRUDE_W 0.1 0.2 -0.1 0.0 -0.0 0.1 0.0 0.1 0.0 0.0 -0.0 0.1 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 0.1 0.6 -0.1 -0.0 0.7 0.7 0.7 0.7 DAX 0.6 0.5 0.6 0.1 0.1 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 0.1 0.2 0.1 0.2 0.1 -0.6 0.3 0.6 0.1 0.2 -0.1 0.5 0.1 0.7 DOW -0.2 -0.1 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.5 0.1 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.0 0.5 0.1 -2.0 0.1 0.0 0.3 0.0 0.3 0.0 -0.5 -0.5 -0.6 -0.4 0.3 -0.2 -0.2 0.0 -0.5 DX -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 -2.7 -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 0.2 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 -0.1 -0.6 0.5 -0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 0.1 0.1 0.1 -0.0 0.0 -0.0 -0.1 -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 0.2 -0.0 -0.0 0.1 -0.7 -0.7 0.3 0.7 EUROSTX 0.4 0.6 0.6 0.1 0.1 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 0.0 0.4 0.6 0.3 -0.3 0.6 -0.2 0.7 FEEDCOW -0.0 0.6 0.4 0.0 0.1 0.0 0.1 -0.1 0.0 -0.0 0.1 0.1 0.1 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 -0.2 0.6 0.6 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 0.0 1.0 0.0 -0.0 0.1 -0.0 0.2 0.0 1.1 -0.2 -0.2 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 0.1 0.1 0.0 0.3 0.2 0.2 0.2 0.2 -0.1 -0.0 0.1 0.1 0.1 0.3 0.1 -2.7 0.1 0.0 0.1 0.0 0.2 0.1 -0.6 0.0 0.5 0.3 0.5 0.7 0.5 0.7 0.5 GAS_US_mini 0.4 -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 -0.3 -0.3 -0.1 -0.2 -0.0 -0.5 -0.1 2.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.2 -0.1 -0.6 -0.6 -0.5 -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 0.1 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 0.1 0.2 0.1 0.1 0.1 0.2 0.2 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 0.1 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 0.1 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 0.2 -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 0.0 -0.0 0.1 0.0 0.3 0.0 1.1 -0.1 -0.1 0.1 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 0.2 0.3 0.0 0.0 -0.0 0.1 -0.0 -0.8 -0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 -0.3 -0.1 -0.0 0.0 -0.2 -0.7 0.1 0.3 JPY 0.2 -0.3 -0.1 0.0 0.0 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 -0.0 -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 0.2 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 0.3 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 0.1 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 -0.4 0.5 0.6 0.4 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 0.1 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 0.1 0.1 0.1 -1.2 0.6 0.7 0.7 0.7 -0.4 -0.8 -0.3 -0.5 MILK -0.5 0.6 -0.0 0.0 0.1 0.0 0.0 -0.1 0.0 -0.1 -0.3 -0.2 -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 0.1 0.4 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 0.4 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 -0.2 -0.4 0.1 0.3 0.4 -0.1 0.6 -0.2 NIKKEI -0.3 0.4 0.5 0.1 0.0 0.1 0.1 0.1 0.1 -0.1 0.5 0.0 0.7 0.1 0.2 0.1 0.2 0.2 0.2 0.2 0.2 0.0 0.5 0.2 -2.0 0.1 -0.0 0.2 0.0 0.2 0.0 1.1 -0.5 0.2 0.6 0.6 -0.7 -0.2 -0.3 -0.2 NZD 0.1 -0.2 0.2 0.0 0.0 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 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.2 -0.4 -0.1 -0.1 0.0 -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 0.1 -0.1 0.0 0.0 -0.4 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 -0.2 -0.2 -0.2 -0.1 -0.3 0.0 -0.0 0.4 OJ 0.1 0.5 -0.6 0.0 0.1 0.0 0.0 -0.1 0.0 -0.1 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 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.4 0.0 1.1 -0.5 0.0 0.6 -0.1 0.3 0.3 0.5 0.7 PALLAD 0.6 0.3 0.5 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.3 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.3 0.0 1.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.4 -0.0 -0.0 -0.1 -0.0 -0.6 -0.3 -0.4 -0.2 PLAT 0.2 -0.1 0.0 0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 -0.1 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 1.3 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.2 -0.2 -0.3 -0.2 0.0 -0.4 -0.1 0.7 0.2 REDWHEAT 0.2 0.0 -0.3 0.0 0.1 0.0 0.1 -0.1 0.0 0.1 -0.5 0.1 -0.6 -0.1 -0.1 0.2 0.0 0.1 0.0 -0.2 -0.2 0.1 -0.5 -0.1 -1.2 -0.1 0.1 -0.2 0.0 -0.2 -0.0 0.2 0.0 -0.6 -0.6 -0.6 -0.5 -0.7 -0.3 -0.7 RICE -0.6 0.0 0.3 0.0 0.1 0.0 0.1 -0.1 0.0 -0.2 0.4 -0.2 0.6 -0.1 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 -0.6 0.1 0.2 0.2 -0.1 0.4 0.2 ROBUSTA -0.4 0.1 0.6 0.0 0.1 0.0 0.1 -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 0.0 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 0.0 0.3 0.1 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.1 -0.3 0.1 0.0 0.1 0.0 0.1 0.0 -0.0 -0.3 -0.3 -0.3 -0.1 -0.6 -0.6 -0.6 -0.7 SHATZ -0.3 -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 0.6 0.1 -0.1 0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 -0.1 0.2 -0.1 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.2 -0.1 0.2 0.8 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 0.5 -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 0.0 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 -0.0 0.1 0.1 -0.7 -0.7 -0.1 -0.1 SOYBEAN 0.4 -0.3 -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 0.2 -0.4 -0.0 -2.7 -0.1 0.1 -0.1 0.1 -0.1 -0.0 1.1 0.5 -0.1 -0.6 -0.6 -0.3 -0.7 -0.2 -0.7 SOYMEAL 0.1 -0.5 -0.6 0.0 0.1 0.0 0.1 -0.1 0.0 0.1 -0.4 0.1 -0.4 -0.1 -0.2 -0.1 0.2 -0.0 0.1 -0.2 -0.2 0.1 -0.4 -0.1 -2.7 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.9 0.3 -0.3 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.1 -0.1 -0.6 0.0 0.1 0.0 0.1 -0.1 0.0 0.2 -0.5 0.1 -0.5 -0.0 -0.2 -0.1 0.1 -0.1 -0.0 -0.1 -0.2 0.1 -0.5 0.0 -2.7 -0.0 0.2 -0.1 0.1 -0.2 0.0 0.2 0.5 0.0 -0.5 -0.3 -0.5 -0.3 -0.4 0.2 SP400 0.6 0.4 0.6 0.1 0.0 0.1 0.1 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 0.0 0.2 0.2 -0.1 0.0 -0.5 -0.3 -0.5 -0.7 SP500_micro 0.1 0.3 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.1 -0.5 -0.0 -0.1 0.4 0.6 0.1 -0.1 0.6 -0.2 SUGAR11 -0.4 0.1 -0.6 0.0 0.1 0.0 0.0 -0.1 0.0 0.0 -0.2 -0.0 0.2 -0.1 -0.1 0.2 0.4 0.3 0.3 -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 -0.5 -0.4 -0.3 -0.6 0.6 0.0 0.7 0.4 US10 0.0 -0.3 0.3 -0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 0.1 0.1 -0.1 -0.0 -0.0 -0.2 -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 0.1 -0.0 0.1 0.1 -0.7 -0.7 -0.5 0.3 US10U 0.1 -0.3 0.3 -0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 0.1 0.1 -0.1 -0.0 -0.0 -0.1 -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 -0.6 0.1 -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 -0.2 -0.2 -0.0 -0.7 -0.7 -0.6 -0.7 US20 0.2 -0.2 0.4 -0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 0.1 0.1 -0.1 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.0 0.0 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 0.0 0.1 0.1 -0.1 0.0 0.0 -0.1 -0.1 -0.2 -0.1 0.0 -0.0 0.1 -0.2 0.0 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.5 0.1 0.2 0.4 0.2 -0.5 -0.6 0.7 0.7 US5 -0.1 -0.4 0.2 -0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.0 -0.0 -0.2 -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 -0.1 -0.0 0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.2 0.4 -0.3 -0.1 -0.0 -0.5 -0.0 -0.8 -0.1 0.0 -0.9 -0.1 -1.2 -0.2 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 0.0 -0.9 -0.1 NaN -0.1 -0.0 -0.6 -0.0 -1.1 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.1 -0.3 -0.1 0.0 0.1 0.0 0.1 -0.1 0.0 0.0 -0.5 -0.1 -0.7 -0.1 -0.2 -0.3 -0.2 -0.2 -0.2 -0.2 -0.2 -0.0 -0.5 -0.2 0.0 -0.1 0.0 -0.1 -0.0 -0.2 -0.1 -0.9 -0.5 -0.6 -0.6 -0.6 -0.5 -0.7 -0.3 -0.7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 7.1 -8.3 3.8 0.6 6.4 2.2 6.6 3.6 2.6 14.3 -3.7 15.7 -10.3 3.2 -8.0 -2.8 -2.9 -2.8 -2.8 -2.0 -2.5 13.1 -5.4 4.2 2.8 -0.9 7.9 -1.0 7.9 -2.0 2.7 -1.2 1.5 4.3 -5.5 -6.1 -20.0 -10.6 -10.4 -0.1 BITCOIN 20.0 17.8 13.0 2.1 9.5 -1.3 12.5 -1.4 8.4 19.3 20.0 20.0 20.0 20.0 20.0 -9.5 -7.0 -8.8 -8.2 20.0 20.0 20.0 20.0 20.0 -20.0 8.6 6.7 6.6 9.7 4.7 10.4 -2.7 20.0 20.0 20.0 20.0 -6.3 0.9 15.1 4.8 BOBL -5.0 -20.0 7.5 -0.1 -0.2 0.4 1.4 -0.8 0.4 2.9 -0.4 2.7 -1.7 -5.9 -5.3 -11.6 -16.1 -20.0 -20.0 -5.1 -1.7 2.0 -2.4 -3.6 6.7 -1.5 0.9 -0.4 1.1 -0.4 -0.9 -20.0 2.3 -6.2 -4.8 -4.6 -20.0 -20.0 3.2 -20.0 BTP 6.3 -5.2 18.6 -0.2 -0.4 0.6 2.4 -1.3 0.6 11.3 10.7 13.2 10.1 8.7 8.7 4.0 6.3 4.6 5.2 10.9 13.2 18.3 9.7 13.0 -17.7 4.6 6.7 5.1 8.4 3.9 6.0 11.0 17.5 16.6 16.9 10.3 -12.9 -17.2 18.8 2.9 BUND -1.3 -15.1 11.9 -0.1 -0.3 0.4 1.5 -0.8 0.4 4.7 1.4 5.6 -0.8 -4.9 -2.7 -3.6 3.5 0.6 1.7 -2.0 0.8 3.9 -1.5 -0.6 4.2 -0.6 1.4 0.5 2.2 -0.0 0.2 5.5 3.1 -2.3 -0.3 -1.6 -17.9 -20.0 9.8 -11.7 BUXL 3.2 -9.9 15.4 -0.1 -0.3 0.5 2.0 -1.1 0.5 8.2 3.0 9.5 -4.2 -2.3 -1.1 -6.0 -0.4 -2.8 -1.3 0.7 2.0 7.0 -3.6 2.8 0.1 0.9 2.5 1.4 4.1 -0.4 2.0 0.0 6.3 3.0 4.2 2.0 -20.0 -20.0 5.7 1.6 CAC 17.8 20.0 17.2 8.4 6.0 6.9 6.9 4.6 8.1 20.0 20.0 20.0 20.0 20.0 20.0 3.1 -4.7 -3.9 -5.4 20.0 20.0 20.0 20.0 20.0 -10.8 9.1 8.2 7.2 8.2 5.3 9.2 1.3 -2.2 12.4 6.2 -2.7 -4.1 15.7 -0.9 20.0 CAD -2.5 -6.2 8.2 0.7 7.4 2.5 7.6 4.2 3.0 11.7 -2.0 8.4 -4.1 -8.3 -4.5 -2.2 -2.2 -2.1 -2.1 -3.3 -1.4 5.0 -3.8 -2.1 0.0 -2.0 5.1 -0.9 3.5 -2.0 -1.1 0.0 -9.6 -14.2 -3.3 -1.3 -15.2 -14.3 0.3 -12.6 CANOLA 20.0 2.7 -20.0 1.6 5.1 0.5 3.6 -1.5 1.9 10.4 -11.1 10.1 -10.3 -2.0 -9.3 -15.2 -4.6 -13.3 -10.6 -11.5 -19.0 13.2 -18.8 1.4 -20.0 -3.3 6.2 -5.2 3.6 -5.2 0.1 -10.2 20.0 4.3 -20.0 -20.0 -20.0 -20.0 -18.5 -8.2 CHF -3.9 -20.0 -0.2 0.6 6.4 2.2 6.6 3.6 2.6 18.3 -3.0 8.9 2.8 -15.8 -14.2 -15.3 -15.5 -15.5 -15.6 -13.9 -5.8 1.3 1.7 -10.9 -4.7 -3.6 2.9 -0.4 0.6 1.6 -3.4 -20.0 -13.3 -17.4 -20.0 -0.8 -18.0 -16.9 -7.2 -18.1 COCOA -3.3 5.8 -11.1 1.1 3.6 0.4 2.5 -1.0 1.3 6.9 8.5 7.4 8.5 7.9 8.1 20.0 10.5 20.0 18.7 18.0 14.7 15.5 10.6 17.7 -11.6 3.0 1.8 2.9 1.7 2.6 2.3 20.0 5.5 20.0 20.0 20.0 11.0 2.5 20.0 18.7 COFFEE -5.8 -2.4 11.3 2.6 8.4 0.8 5.9 -2.4 3.2 -1.7 10.2 1.6 6.7 4.6 4.8 19.9 8.4 16.2 12.0 4.7 8.9 2.9 6.3 1.9 -20.0 2.3 1.3 5.4 2.4 5.3 1.3 19.8 1.5 -1.8 -9.7 12.2 -9.3 -20.0 -3.1 -12.9 COPPER 13.9 3.1 6.0 2.0 8.8 -1.2 11.7 -1.3 7.8 19.5 2.9 20.0 -6.7 17.1 10.0 -5.0 -4.9 -5.6 -5.6 8.5 4.0 17.5 -1.4 13.5 -14.4 2.8 11.8 1.0 10.2 -0.8 6.2 1.2 -20.0 -6.2 -2.5 10.5 -20.0 -2.3 12.5 4.8 CORN 13.5 1.3 -7.4 2.9 9.4 0.9 6.6 -2.7 3.6 18.5 -20.0 16.1 -20.0 -1.0 -14.8 -18.8 -6.9 -16.1 -12.5 -17.2 -20.0 14.3 -20.0 -1.7 -18.2 -6.4 5.9 -7.3 3.7 -6.4 -1.9 -13.7 16.2 -12.7 -20.0 -20.0 -5.4 -20.0 -3.7 -0.4 COTTON2 -8.5 20.0 15.1 1.8 5.7 0.6 4.0 -1.7 2.2 -7.9 6.3 -1.0 3.4 7.1 8.9 5.3 -0.7 -0.2 -2.0 12.2 8.3 1.7 2.8 9.2 -20.0 4.3 -0.3 3.0 1.2 1.5 3.4 -0.1 -13.1 20.0 20.0 20.0 -16.1 -13.5 -7.2 1.2 CRUDE_W 2.6 5.3 -2.2 4.0 -0.1 3.0 0.6 3.3 2.7 2.8 -0.2 13.4 8.2 16.2 10.9 12.0 9.8 10.1 9.6 5.7 5.0 4.4 10.0 6.8 -5.1 5.5 1.3 4.7 3.6 7.8 6.0 -1.1 2.1 19.0 -4.0 -0.7 20.0 19.6 20.0 20.0 DAX 18.1 14.2 19.2 8.1 5.7 6.6 6.6 4.4 7.8 18.3 20.0 20.0 20.0 20.0 20.0 -14.1 -11.6 -14.8 -13.6 20.0 20.0 20.0 20.0 20.0 18.0 8.9 7.4 7.2 8.7 5.1 9.6 -11.2 13.9 20.0 3.5 6.7 -3.7 14.0 3.6 20.0 DOW -5.5 -2.7 20.0 6.7 4.7 5.5 5.5 3.6 6.4 8.3 20.0 6.8 19.6 14.9 19.8 -13.9 -10.9 -13.3 -12.3 20.0 20.0 3.3 20.0 9.2 -15.1 7.0 2.6 9.7 0.8 8.6 2.7 -9.6 -20.0 -20.0 -11.9 10.0 -6.0 -5.4 1.0 -14.1 DX -11.7 7.5 -3.4 0.6 7.0 2.4 7.2 3.9 2.8 -16.1 3.5 -20.0 0.2 -7.3 5.0 6.9 6.2 6.5 6.4 -0.7 1.7 -20.0 3.7 -10.9 -20.0 -1.5 -9.9 -0.2 -11.9 1.7 -6.3 14.5 -20.0 -20.0 20.0 -20.0 16.6 2.7 20.0 8.8 EUR 12.7 -5.4 2.0 0.7 7.4 2.6 7.6 4.2 3.0 15.1 -2.8 20.0 0.2 9.7 -5.7 -6.7 -6.7 -6.5 -6.4 1.7 -1.3 17.7 -2.4 10.7 19.8 2.5 7.2 1.1 9.9 0.1 6.5 -7.4 4.4 14.8 3.3 -5.6 -20.0 -15.6 -20.0 -12.0 EURIBOR-ICE -3.5 -20.0 16.3 -0.1 -0.2 0.3 1.3 -0.7 0.3 4.5 3.7 4.8 3.0 -3.0 0.3 -2.3 -3.7 -0.8 -1.9 -0.0 4.9 5.8 4.1 0.5 14.4 0.3 2.4 2.0 2.6 1.7 0.6 -3.9 7.9 -0.5 -0.8 2.9 -20.0 -20.0 7.5 20.0 EUROSTX 11.6 20.0 19.3 8.0 5.7 6.6 6.6 4.4 7.7 16.6 20.0 20.0 20.0 20.0 20.0 8.4 2.7 8.3 5.3 20.0 20.0 20.0 20.0 20.0 0.9 9.0 5.3 7.5 6.8 5.5 8.6 16.5 1.7 13.4 20.0 9.4 -9.2 17.0 -7.3 20.0 FEEDCOW -0.8 20.0 11.3 3.3 10.8 1.1 7.6 -3.1 4.1 -2.7 2.1 6.0 1.5 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 15.6 0.7 7.8 17.7 -7.8 5.4 -1.8 3.8 -1.0 4.4 2.6 -20.0 -20.0 -5.1 20.0 17.7 20.0 14.2 20.0 20.0 GASOIL -9.2 12.0 0.2 3.2 -0.1 2.3 0.5 2.6 2.1 -5.3 6.8 -10.4 10.5 8.3 11.5 20.0 20.0 20.0 20.0 8.7 9.9 -3.1 12.7 3.2 7.3 3.9 -2.2 4.9 -1.6 5.9 1.2 20.0 -7.5 -6.9 2.4 6.5 -10.9 -6.9 -20.0 -13.4 GASOLINE -1.0 11.5 3.4 3.6 -0.1 2.6 0.6 3.0 2.4 6.9 3.5 4.4 9.5 14.4 16.7 11.4 8.2 -3.4 -1.7 12.1 9.3 5.6 9.5 9.4 -20.0 6.5 4.0 4.9 3.1 5.9 5.4 -10.3 0.6 15.2 8.8 14.3 20.0 15.6 19.6 14.5 GAS_US_mini 13.6 -6.0 -9.7 1.6 -0.0 1.2 0.2 1.3 1.1 -8.5 -9.5 -2.5 -10.5 -7.0 -8.6 -20.0 -19.7 -12.8 -15.1 -10.4 -15.0 -5.5 -19.5 -5.8 18.2 -3.5 -3.4 -4.0 -2.3 -3.6 -2.4 -20.0 -6.3 -2.9 -20.0 -18.7 -13.5 -1.0 -20.0 -5.9 GBP 9.2 -2.5 7.8 0.7 7.8 2.7 8.0 4.4 3.1 12.9 8.5 19.6 10.4 14.7 17.2 -0.7 -0.6 -0.5 -0.5 10.1 9.1 20.0 7.7 15.7 2.6 6.7 9.9 5.9 13.7 3.9 9.8 2.8 10.1 14.0 16.0 10.6 -20.0 -5.7 -20.0 2.2 GOLD_micro 20.0 6.2 6.9 1.8 8.2 -1.1 10.9 -1.2 7.2 14.7 14.2 19.1 9.5 16.7 11.6 -15.7 -14.6 -15.5 -15.1 20.0 11.9 20.0 7.7 20.0 -3.9 5.3 6.9 3.0 11.5 2.0 9.3 -15.3 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -14.4 HEATOIL -9.0 7.5 -1.8 3.4 -0.1 2.5 0.5 2.9 2.3 0.6 0.6 -9.6 7.1 1.1 7.6 20.0 20.0 20.0 20.0 3.6 4.7 -1.9 8.7 0.3 -20.0 4.6 -0.6 5.2 0.1 7.3 2.3 20.0 -5.8 -1.8 1.7 8.2 17.7 4.7 14.5 1.1 JGB-SGX-mini -3.3 -6.6 11.8 -0.1 -0.2 0.3 1.4 -0.7 0.4 -8.5 4.8 -4.4 6.1 -5.7 2.4 12.7 16.3 12.4 13.0 0.6 3.5 -4.2 3.9 -2.4 -5.7 -0.1 -2.7 0.9 -2.3 0.5 -1.3 20.0 -14.2 -4.2 -0.5 0.7 -6.5 -20.0 2.4 10.0 JPY 7.7 -9.4 -4.4 0.4 4.9 1.7 5.0 2.8 2.0 10.3 -14.3 9.3 -15.6 -5.6 -13.1 -16.8 -16.3 -16.4 -16.4 -9.4 -14.1 13.0 -20.0 0.5 20.0 -2.6 6.8 -4.4 6.3 -6.8 1.2 -20.0 14.6 -0.8 -9.8 -9.3 -20.0 -13.8 -15.0 -16.1 LEANHOG 15.9 20.0 13.3 3.6 11.6 1.1 8.2 -3.3 4.4 18.9 9.1 20.0 -12.0 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 12.4 20.0 -9.4 20.0 17.9 9.1 3.6 6.3 5.4 -0.3 7.9 -20.0 12.9 20.0 20.0 20.0 -6.4 -8.1 8.2 13.5 LIVECOW 5.7 20.0 6.1 3.2 10.6 1.0 7.5 -3.1 4.0 9.6 3.6 15.5 2.3 20.0 20.0 20.0 -3.3 6.0 -1.3 20.0 12.0 9.6 5.4 20.0 -5.2 6.3 1.5 3.5 2.5 3.6 5.5 -1.6 -14.6 16.2 20.0 11.1 20.0 5.0 20.0 14.4 LUMBER-new 16.3 8.9 14.3 3.6 11.6 1.2 8.2 -2.5 4.4 20.0 12.5 20.0 -12.0 20.0 20.0 -16.1 -15.3 -16.3 -15.6 20.0 14.5 20.0 2.2 20.0 NaN 8.8 7.7 5.8 11.6 2.5 11.3 -20.0 20.0 20.0 20.0 20.0 -10.7 -20.0 -7.7 -13.2 MILK -14.4 19.4 -0.4 1.9 6.2 0.6 4.4 -1.8 2.4 -12.9 -12.2 -13.9 -13.7 -10.2 -10.9 -20.0 -20.0 -20.0 -20.0 -12.5 -15.4 -20.0 -20.0 -18.0 11.1 -3.3 -5.7 -4.1 -7.2 -6.0 -5.2 -20.0 -20.0 -20.0 -10.2 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 9.4 6.6 14.6 0.7 7.7 2.6 7.9 4.3 3.1 20.0 20.0 20.0 20.0 20.0 20.0 18.0 16.8 17.0 16.3 20.0 20.0 20.0 20.0 20.0 -20.0 8.8 11.7 8.9 13.2 12.1 10.9 20.0 20.0 20.0 20.0 11.6 20.0 20.0 20.0 20.0 NASDAQ_micro -5.9 -1.3 13.5 4.8 3.4 3.9 3.9 2.6 4.6 4.0 14.7 7.2 14.6 11.7 13.9 -11.0 -10.1 -11.4 -11.0 18.0 20.0 6.1 20.0 11.2 -20.0 5.5 1.3 6.7 1.7 6.6 3.4 -7.8 -9.7 -12.1 4.0 9.7 11.8 -2.7 18.5 -5.7 NIKKEI -7.8 13.4 14.7 6.0 4.3 4.9 4.9 3.3 5.8 -9.1 18.2 2.0 18.5 13.1 17.1 6.5 12.1 11.5 12.1 20.0 20.0 1.3 20.0 20.0 -15.1 6.6 -1.9 6.3 0.7 5.2 4.4 20.0 -20.0 7.5 20.0 20.0 -20.0 -5.3 -8.0 -4.7 NZD 3.7 -5.3 7.6 0.5 5.1 1.8 5.2 2.9 2.0 8.8 3.6 5.6 -0.1 0.9 0.2 0.3 0.3 0.3 0.3 1.3 2.4 4.6 0.2 1.9 -0.0 0.7 2.7 1.8 2.7 1.0 0.9 4.2 -15.1 -1.7 -2.7 1.5 -8.5 -9.4 -1.6 3.6 OAT 0.8 -12.8 14.3 -0.1 -0.3 0.4 1.7 -0.9 0.4 6.0 3.2 7.0 0.6 -2.8 -0.5 3.6 6.2 4.3 4.9 0.6 3.4 6.6 0.6 2.0 5.1 0.6 2.5 1.7 3.6 0.8 1.5 10.7 6.2 1.6 2.8 1.3 -19.6 -20.0 10.9 3.7 OATIES 0.8 5.4 -10.0 2.0 6.6 0.7 4.6 -1.9 2.5 2.2 -13.0 1.5 -10.7 0.0 -4.0 9.8 -2.2 6.1 0.7 -4.4 -10.1 0.0 -10.2 -1.2 -20.0 -1.2 1.7 -3.6 -0.1 -4.1 -0.5 0.1 -7.2 -4.9 -5.3 -4.5 -9.5 1.3 -0.7 13.0 OJ 1.6 14.6 -20.0 1.9 6.1 0.6 4.3 -1.8 2.3 -6.2 6.6 -2.6 10.2 8.6 3.1 7.4 15.3 8.2 11.6 7.5 10.5 -3.6 18.4 4.0 -20.0 2.2 -3.0 4.8 -1.6 9.8 0.7 20.0 -20.0 1.5 17.1 -3.1 9.9 9.4 15.3 20.0 PALLAD 17.5 10.5 15.6 0.7 3.1 -0.4 4.1 -0.5 2.7 5.9 -5.2 6.6 -7.7 4.7 -3.3 -1.8 -2.1 -1.9 -2.0 -0.8 -5.2 6.9 -9.3 4.0 9.2 -0.1 3.7 -2.2 3.8 -3.8 2.1 6.9 -1.7 -0.9 -2.2 -1.4 -17.1 -10.0 -12.6 -5.5 PLAT 7.5 -2.1 1.1 1.0 4.7 -0.6 6.2 -0.7 4.1 7.2 -5.4 7.7 -7.9 1.4 -6.5 -4.1 -3.3 -4.0 -3.8 -1.8 -3.5 8.1 -4.0 2.7 10.1 -0.3 6.1 -1.1 5.4 -1.0 2.2 4.3 -9.6 -9.0 -5.8 1.5 -13.1 -4.4 20.0 7.1 REDWHEAT 4.8 0.1 -9.5 2.4 7.8 0.8 5.5 -2.2 2.9 15.0 -17.6 6.9 -17.7 -8.6 -13.5 10.2 0.8 5.0 1.9 -14.4 -20.0 7.7 -20.0 -5.7 -8.8 -5.6 6.3 -6.1 1.5 -5.9 -3.4 4.7 0.6 -20.0 -20.0 -20.0 -14.6 -20.0 -10.2 -20.0 RICE -18.3 0.6 9.1 2.7 8.7 0.9 6.1 -2.5 3.3 -17.7 13.8 -18.8 15.4 -5.8 6.3 -8.8 -3.2 -10.7 -9.1 5.8 15.1 -17.2 15.4 -8.5 -18.8 1.9 -6.6 4.7 -7.3 4.7 -3.3 -7.0 -20.0 -18.1 2.0 7.0 5.7 -4.4 12.7 4.7 ROBUSTA -12.0 2.8 20.0 2.1 6.8 0.7 4.8 -2.0 2.6 7.4 15.1 8.9 15.5 11.8 14.6 20.0 20.0 20.0 20.0 20.0 20.0 18.6 20.0 18.7 -20.0 5.7 3.2 7.2 4.5 7.1 4.4 20.0 20.0 16.1 20.0 20.0 -20.0 -17.7 -10.8 1.1 RUSSELL 8.7 4.4 19.7 4.5 3.2 3.7 3.7 2.4 4.3 3.2 10.6 10.4 7.2 11.7 11.8 -6.2 -6.2 -6.3 -6.4 11.5 10.5 7.0 6.0 10.1 -2.1 4.8 0.1 4.3 2.5 2.8 4.0 -0.6 -10.6 -8.2 -10.3 -3.7 -17.6 -19.0 -18.6 -20.0 SHATZ -10.0 -20.0 2.3 -0.1 -0.2 0.3 1.2 -0.7 0.3 0.8 -5.0 -2.0 -6.1 -6.7 -7.0 -20.0 -20.0 -20.0 -20.0 -9.1 -5.9 -0.8 -6.3 -7.2 8.1 -2.0 0.3 -1.0 -0.0 -1.1 -1.6 -20.0 -0.4 -11.0 -10.0 -7.0 -20.0 -20.0 -8.2 -20.0 SILVER-mini 17.2 4.6 -3.3 1.7 7.7 -1.1 10.2 -1.1 6.8 15.8 -2.9 17.9 -3.8 14.4 -5.2 -6.7 -6.6 -6.9 -6.8 5.7 -1.7 20.0 -3.0 18.1 5.7 4.0 6.3 0.8 10.0 0.0 8.4 -1.2 9.4 10.2 7.8 4.6 -20.0 -18.5 18.2 -2.2 SMI 16.5 10.6 17.6 7.5 5.3 6.1 6.1 4.1 7.2 20.0 19.0 20.0 10.2 20.0 20.0 7.3 6.2 9.3 8.0 20.0 16.6 20.0 8.1 20.0 14.6 7.7 16.0 5.8 13.1 3.0 9.8 20.0 20.0 15.2 -15.3 -8.4 9.4 -5.1 18.4 -9.5 SOFR 2.1 -12.5 9.1 -0.1 -0.3 0.4 1.6 -0.9 0.4 3.6 4.0 6.8 0.0 -2.4 -0.6 -0.0 0.2 0.8 0.6 -0.7 0.5 5.6 -1.3 1.6 -2.5 0.6 0.6 1.3 2.2 0.4 0.9 1.9 4.5 -0.3 2.7 2.3 -20.0 -20.0 -1.7 -1.9 SOYBEAN 11.0 -8.9 -20.0 2.8 9.3 0.9 6.5 -2.7 3.5 18.9 -17.1 13.7 -5.6 -5.2 -17.7 5.2 13.9 7.9 10.3 -19.8 -20.0 20.0 -15.7 -1.2 -20.0 -5.4 11.7 -5.5 7.0 -3.0 -0.3 20.0 20.0 -2.3 -20.0 -20.0 -7.5 -20.0 -6.8 -20.0 SOYMEAL 4.5 -16.2 -20.0 2.3 7.5 0.7 5.3 -2.2 2.9 11.5 -16.2 6.7 -10.8 -10.8 -16.5 -6.2 10.1 -1.0 4.4 -20.0 -20.0 6.2 -14.0 -9.6 -20.0 -5.5 3.7 -5.2 1.8 -2.2 -2.2 16.2 14.4 -8.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 3.0 -1.6 -17.9 2.5 8.2 0.8 5.8 -2.4 3.1 16.8 -17.3 6.2 -14.1 -4.2 -14.2 -7.0 3.0 -5.2 -1.6 -13.1 -20.0 16.4 -20.0 0.4 -20.0 -2.7 18.0 -5.4 10.4 -5.5 2.6 4.5 20.0 0.1 -16.0 -8.2 -14.5 -7.6 -10.6 5.3 SP400 18.7 12.5 20.0 5.7 4.1 4.7 4.7 3.1 5.5 12.5 16.6 16.0 13.1 17.1 17.9 -6.3 -5.5 -6.1 -5.8 20.0 20.0 20.0 13.9 20.0 -12.7 6.4 3.2 5.3 5.5 3.6 6.5 0.6 8.6 5.5 -2.4 1.0 -16.2 -8.4 -14.0 -20.0 SP500_micro 3.0 8.0 20.0 6.4 4.6 5.3 5.3 3.5 6.2 14.3 20.0 16.7 19.2 19.1 20.0 -12.9 -11.3 -12.9 -12.3 20.0 20.0 18.6 20.0 20.0 -20.0 7.6 3.9 7.9 4.1 6.6 5.7 -10.0 -1.3 -2.6 13.0 17.0 4.3 -3.1 16.9 -6.7 SUGAR11 -11.1 1.6 -18.7 1.9 6.3 0.6 4.4 -1.8 2.4 2.0 -5.8 -2.7 4.9 -5.7 -6.7 9.7 18.2 15.2 17.4 -7.7 -6.6 -2.3 0.6 -7.4 -20.0 -3.8 3.8 -3.6 -0.6 0.3 -2.9 20.0 -20.0 -12.7 -9.1 -20.0 17.5 1.2 20.0 12.3 US10 1.3 -9.6 9.6 -0.1 -0.2 0.4 1.4 -0.8 0.4 3.2 2.2 5.6 -2.7 -2.8 -0.3 -7.6 -8.0 -8.5 -8.4 -0.8 -0.8 4.6 -4.7 1.2 2.1 0.5 0.4 0.7 1.9 -0.8 0.8 -13.1 4.5 -0.6 3.0 2.2 -20.0 -20.0 -15.2 9.6 US10U 1.7 -8.2 10.0 -0.1 -0.3 0.5 2.0 -1.1 0.5 5.0 2.4 8.4 -3.7 -4.4 -0.9 -3.1 -0.1 -1.1 -0.3 -1.1 -1.6 6.2 -7.4 1.7 -0.8 1.0 0.5 1.1 2.7 -1.3 1.4 1.0 4.9 -0.0 6.4 3.7 -20.0 -20.0 11.0 20.0 US2 -6.6 -17.0 4.3 -0.1 -0.2 0.3 1.2 -0.7 0.3 -1.9 -1.5 0.6 -5.5 -5.5 -4.4 -20.0 -20.0 -20.0 -20.0 -4.6 -3.2 -0.4 -6.4 -3.6 9.7 -1.0 -1.0 -0.0 -0.2 -1.1 -1.2 -20.0 -0.7 -7.6 -5.0 -0.8 -20.0 -20.0 -16.8 -20.0 US20 4.7 -5.3 13.8 -0.1 -0.2 0.4 1.5 -0.8 0.4 4.9 2.9 7.2 -1.6 -0.6 1.3 0.1 -0.8 -0.0 -0.4 1.4 0.5 6.6 -4.5 3.6 -1.3 2.0 1.1 1.6 3.2 -0.7 2.4 0.0 5.7 3.7 7.8 6.1 -20.0 -20.0 20.0 20.0 US30 6.8 -2.7 12.2 -0.1 -0.3 0.5 1.8 -1.0 0.5 4.9 2.4 8.7 -3.3 0.5 0.9 -7.4 -5.9 -7.8 -7.0 1.7 -0.2 6.6 -6.7 4.4 -0.7 2.7 0.5 1.8 3.5 -1.3 3.2 -9.9 3.4 5.6 11.1 5.7 -14.4 -18.6 20.0 20.0 US5 -1.7 -13.5 7.5 -0.1 -0.2 0.3 1.3 -0.7 0.3 1.8 1.5 4.2 -3.4 -4.2 -2.0 -8.4 -10.0 -9.3 -9.9 -2.5 -1.6 2.9 -4.6 -0.7 4.4 -0.2 -0.1 0.5 1.1 -0.6 -0.1 -16.2 3.1 -3.4 -0.5 0.8 -20.0 -20.0 -20.0 -6.8 VIX 4.4 7.0 -5.3 -7.3 -2.6 -10.7 -0.7 -14.7 -3.6 1.1 -20.0 -4.3 -20.0 -12.6 -20.0 -20.0 -20.0 -20.0 -20.0 -14.9 -20.0 0.2 -20.0 -4.4 NaN -8.4 -2.8 -13.1 -0.3 -18.4 -3.6 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -4.4 -9.2 -4.1 2.5 8.1 0.8 5.7 -2.3 3.0 4.2 -18.1 -5.5 -18.5 -13.6 -15.1 -13.0 -11.1 -12.2 -11.7 -19.0 -20.0 -5.4 -20.0 -15.5 0.2 -6.0 2.1 -4.9 -2.2 -4.3 -5.6 -16.7 -20.0 -20.0 -20.0 -20.0 -14.6 -20.0 -10.3 -20.0 End of report for caleb_strategy_v3