******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240313_204013 produced at 2024-03-13 21:37:44.957306 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.38 0.0 0.00 0.00 0.00 0.00 -5.21 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 -63.69 17.0 -16 -16 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.29 0.0 0.00 0.00 0.00 0.00 -8.27 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.24 0.0 0.00 0.00 0.00 0.00 -3.85 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.40 -0.17 0.0 0.57 -0.57 -0.40 -0.48 -3.78 13.0 -9 -11 caleb_strategy_v3 BOBL False False 0.04 -0.51 -0.08 0.0 0.75 -0.75 -0.51 -0.51 -1.99 19.0 -13 -13 caleb_strategy_v3 US5 False False 0.03 -0.23 -0.07 0.0 0.82 -0.82 -0.23 -0.23 -2.13 25.0 -7 -7 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.15 -0.15 -0.02 -0.02 -24.07 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 -10.05 12.0 -10 -10 caleb_strategy_v3 JPY False False 0.03 -0.05 -0.06 0.0 0.45 -0.45 -0.05 -0.05 -2.48 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 -4.65 5.0 0 0 caleb_strategy_v3 DX False False 0.03 0.00 -0.05 0.0 999.00 -999.00 0.00 0.00 -1.59 999999999.0 0 0 caleb_strategy_v3 CAD False False 0.02 0.00 -0.05 0.0 0.66 -0.66 0.00 0.00 -2.10 29.0 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 -31.28 26.0 -16 -16 caleb_strategy_v3 RICE False False 0.01 0.00 -0.03 0.0 0.04 -0.04 0.00 0.00 -2.37 4.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -3.20 9.0 -4 -4 caleb_strategy_v3 US10 False False 0.03 0.00 -0.03 0.0 0.58 -0.58 0.00 0.00 -0.90 17.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.16 9.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.07 -0.07 -0.03 -0.02 -2.08 8.0 -3 -2 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.68 2.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.02 0.0 0.13 -0.13 -0.04 -0.04 -1.04 7.0 -2 -2 caleb_strategy_v3 SOYOIL False False 0.01 -0.05 -0.01 0.0 0.09 -0.09 -0.05 -0.05 -1.50 10.0 -6 -6 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.01 0.0 0.13 -0.13 -0.01 -0.01 -0.96 18.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.01 0.0 0.22 -0.22 -0.01 -0.00 -4.10 68.0 -3 -1 caleb_strategy_v3 AUD False False 0.02 0.00 -0.01 0.0 0.39 -0.39 0.00 0.00 -0.65 19.0 0 0 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.01 0.0 0.44 -0.44 -0.04 -0.04 -0.17 10.0 -1 -1 caleb_strategy_v3 DOW False False 0.01 0.01 -0.01 0.0 0.39 -0.39 0.01 0.00 -2.44 66.0 1 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.04 2.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.12 -0.12 0.00 0.00 -0.08 6.0 0 0 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.00 0.0 0.18 -0.18 0.00 0.00 -0.06 4.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.08 0.00 0.0 0.24 -0.24 0.08 0.08 0.04 6.0 2 2 caleb_strategy_v3 COTTON2 False False 0.01 0.00 -0.00 0.0 0.16 -0.16 0.00 -0.01 -0.12 11.0 0 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.12 -0.00 0.0 0.26 -0.26 0.12 0.04 -0.14 23.0 11 4 caleb_strategy_v3 US10U False False 0.04 0.00 -0.00 0.0 0.46 -0.46 0.00 -0.07 -0.06 13.0 0 -2 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.23 -0.23 0.01 0.01 1.26 23.0 1 1 caleb_strategy_v3 PLAT False False 0.01 0.01 0.01 0.0 0.14 -0.14 0.01 0.00 0.58 10.0 1 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.75 3.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.04 0.01 0.0 0.33 -0.33 0.04 0.04 0.20 9.0 1 1 caleb_strategy_v3 NZD False False 0.02 0.09 0.01 0.0 0.40 -0.40 0.09 0.11 0.34 21.0 5 6 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.02 0.0 0.00 -0.00 0.00 0.00 1.22 0.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.00 0.02 0.0 0.19 -0.19 0.00 0.09 0.59 6.0 0 3 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 0.02 0.0 0.02 -0.02 0.00 0.00 3.08 3.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 0.00 0.03 0.0 0.10 -0.10 0.00 0.00 1.03 3.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.03 0.0 0.37 -0.37 0.00 0.00 4.43 56.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.09 0.03 0.0 0.56 -0.56 0.09 0.09 1.20 26.0 4 4 caleb_strategy_v3 SP400 False False 0.09 0.18 0.03 0.0 0.18 -0.18 0.18 0.18 0.30 2.0 2 2 caleb_strategy_v3 GASOIL False False 0.02 0.05 0.04 0.0 0.10 -0.10 0.05 0.05 1.83 4.0 2 2 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.04 0.0 0.38 -0.38 0.03 0.11 4.43 48.0 4 14 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.04 0.0 0.13 -0.13 0.13 0.13 1.28 4.0 4 4 caleb_strategy_v3 EUR False False 0.04 0.08 0.04 0.0 0.59 -0.59 0.08 0.17 1.07 14.0 2 4 caleb_strategy_v3 OAT False False 0.04 0.00 0.05 0.0 0.43 -0.43 0.00 0.00 1.14 10.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.25 0.06 0.0 0.33 -0.33 0.25 0.25 1.41 8.0 6 6 caleb_strategy_v3 BTP False False 0.04 0.20 0.09 0.0 0.40 -0.40 0.20 0.20 2.26 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 41.19 59.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.12 0.09 0.0 0.54 -0.54 0.12 0.12 3.64 22.0 5 5 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.12 0.0 0.16 -0.16 0.07 0.07 9.72 13.0 6 6 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.13 0.0 0.39 -0.39 0.00 0.00 5.62 17.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.19 0.14 0.0 0.29 -0.29 0.19 0.20 18.03 36.0 24 25 caleb_strategy_v3 CAC False True 0.03 0.00 0.14 0.0 0.00 0.00 0.00 0.00 5.12 12.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.24 0.15 0.0 0.48 -0.48 0.24 0.21 5.07 16.0 8 7 caleb_strategy_v3 EUROSTX False False 0.02 0.28 0.16 0.0 0.33 -0.33 0.28 0.30 9.60 20.0 17 18 caleb_strategy_v3 DAX False False 0.01 0.12 0.18 0.0 0.35 -0.35 0.12 0.13 30.10 58.0 20 22 caleb_strategy_v3 SMI False False 0.04 0.32 0.19 0.0 0.37 -0.37 0.32 0.37 4.63 9.0 8 9 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.19 0.0 0.11 -0.11 0.05 0.09 8.45 5.0 2 4 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.57 0.39 0.0 0.82 -0.82 0.57 0.57 4.80 10.0 7 7 caleb_strategy_v3 MXP False False 0.01 0.54 0.91 0.0 0.54 -0.54 0.54 0.53 100.81 60.0 60 59 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 27.2 Shocked risk 92.3 Sum abs risk 62.8 Leverage 5.67 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3270652.39, 'annual_cash_vol_target': 817663.0975, 'daily_cash_vol_target': 51103.94359375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0037 0.6640 0.5554 8.8858 BITCOIN 1658.5465 73755.0000 2.2487 35.9796 BOBL 0.2547 117.9000 0.2160 3.4558 BTP 0.5474 119.5700 0.4578 7.3249 BUND 0.5027 132.6500 0.3790 6.0638 BUXL 1.2005 133.8600 0.8968 14.3494 CAC 46.7776 8167.5000 0.5727 9.1637 CAD 0.0027 0.7433 0.3623 5.7973 CANOLA 6.5090 634.0000 1.0267 16.4265 CHF 0.0046 1.1496 0.3970 6.3528 COCOA 138.5640 7035.0000 1.9696 31.5142 COFFEE 3.3077 181.2000 1.8255 29.2075 COPPER 0.0415 4.0730 1.0188 16.3013 CORN 4.5898 472.5000 0.9714 15.5421 COTTON2 1.6749 95.0000 1.7631 28.2088 CRUDE_W 0.8801 75.1500 1.1711 18.7380 DAX 105.9124 18269.0000 0.5797 9.2758 DOW 198.6663 39078.0000 0.5084 8.1341 DX 0.3304 102.4300 0.3226 5.1613 EUR 0.0040 1.0991 0.3608 5.7723 EURIBOR-ICE 0.0474 97.6600 0.0486 0.7773 EUROSTX 33.1977 4961.0000 0.6692 10.7068 FEEDCOW 1.5956 270.2250 0.5905 9.4473 GASOIL 11.9663 801.0000 1.4939 23.9026 GASOLINE 0.0387 2.6172 1.4768 23.6287 GAS_US_mini 0.0846 1.7900 4.7265 75.6243 GBP 0.0053 1.2804 0.4116 6.5860 GOLD_micro 14.4888 2177.8000 0.6653 10.6447 HEATOIL 0.0386 2.6290 1.4698 23.5170 JGB-SGX-mini 0.2210 145.3300 0.1521 2.4331 JPY 0.0000 0.0069 0.5452 8.7227 LEANHOG 0.9643 101.8250 0.9470 15.1525 LIVECOW 1.1899 186.1000 0.6394 10.2298 LUMBER-new 6.0188 609.0000 0.9883 15.8130 MILK 0.2192 16.8200 1.3030 20.8478 MXP 0.0003 0.0591 0.5036 8.0576 NASDAQ_micro 147.2386 18342.2500 0.8027 12.8437 NIKKEI 375.0996 38490.0000 0.9745 15.5926 NZD 0.0037 0.6156 0.5968 9.5490 OAT 0.4952 128.2200 0.3862 6.1793 OATIES 5.7455 366.5000 1.5677 25.0828 OJ 6.7294 364.7500 1.8449 29.5191 PALLAD 28.7942 1070.5000 2.6898 43.0366 PLAT 15.4481 945.2000 1.6344 26.1500 REDWHEAT 10.1392 578.7500 1.7519 28.0306 RICE 0.1654 18.0600 0.9156 14.6499 ROBUSTA 45.3421 3267.0000 1.3879 22.2061 RUSSELL 21.4963 2097.0000 1.0251 16.4015 SHATZ 0.0865 105.6750 0.0819 1.3100 SILVER-mini 0.3419 25.4250 1.3446 21.5135 SMI 66.0891 11651.0000 0.5672 9.0758 SOFR 0.0639 96.4500 0.0663 1.0607 SOYBEAN 9.9434 1186.2500 0.8382 13.4116 SOYMEAL 4.1538 340.4000 1.2203 19.5245 SOYOIL 0.5977 49.0100 1.2195 19.5116 SP400 21.5424 3000.4000 0.7180 11.4878 SP500_micro 30.3144 5235.5000 0.5790 9.2643 SUGAR11 0.3558 21.7200 1.6379 26.2067 US10 0.3902 110.9375 0.3518 5.6282 US10U 0.5239 114.7031 0.4568 7.3080 US2 0.1100 102.3477 0.1075 1.7194 US20 0.7705 120.3125 0.6404 10.2471 US30 1.1397 128.7188 0.8854 14.1667 US5 0.2623 107.1484 0.2448 3.9168 VIX 0.3961 15.8500 2.4993 39.9883 WHEAT 8.4703 590.5000 1.4344 22.9507 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 664.00 0.56 368.76 1.00 368.76 51103.94 138.58 -1.80 -24.98 BITCOIN 73.76 2.25 165.85 1.00 165.85 51103.94 308.12 12.34 380.35 BOBL 1179.00 0.22 254.65 1.09 278.44 51103.94 183.54 -10.70 -196.31 BTP 1195.70 0.46 547.40 1.09 598.52 51103.94 85.38 7.75 66.19 BUND 1326.50 0.38 502.73 1.09 549.68 51103.94 92.97 -1.77 -16.47 BUXL 1338.60 0.90 1200.50 1.09 1312.63 51103.94 38.93 -1.60 -6.22 CAC 816.75 0.57 467.78 1.09 511.47 51103.94 99.92 15.01 149.97 CAD 743.30 0.36 269.32 1.00 269.32 51103.94 189.75 -4.26 -80.81 CANOLA 126.80 1.03 130.18 0.74 96.60 51103.94 529.02 -18.70 -989.31 CHF 1436.94 0.40 570.53 1.00 570.53 51103.94 89.57 -16.27 -145.73 COCOA 703.50 1.97 1385.64 1.00 1385.64 51103.94 36.88 15.25 56.25 COFFEE 679.50 1.83 1240.41 1.00 1240.41 51103.94 41.20 -1.67 -6.88 COPPER 1018.25 1.02 1037.43 1.00 1037.43 51103.94 49.26 1.11 5.45 CORN 236.25 0.97 229.49 1.00 229.49 51103.94 222.69 -18.55 -413.10 COTTON2 475.00 1.76 837.45 1.00 837.45 51103.94 61.02 -0.90 -5.48 CRUDE_W 751.50 1.17 880.10 1.00 880.10 51103.94 58.07 13.44 78.03 DAX 182.69 0.58 105.91 1.09 115.80 51103.94 441.29 20.00 882.59 DOW 195.39 0.51 99.33 1.00 99.33 51103.94 514.47 -2.04 -105.00 DX 1024.30 0.32 330.42 1.00 330.42 51103.94 154.66 -3.95 -61.13 EUR 1373.88 0.36 495.65 1.00 495.65 51103.94 103.10 3.99 41.13 EURIBOR-ICE 2441.50 0.05 118.62 1.09 129.70 51103.94 394.03 3.57 140.75 EUROSTX 496.10 0.67 331.98 1.09 362.98 51103.94 140.79 20.00 281.58 FEEDCOW 1351.12 0.59 797.78 1.00 797.78 51103.94 64.06 6.62 42.43 GASOIL 801.00 1.49 1196.63 1.00 1196.63 51103.94 42.71 9.88 42.19 GASOLINE 1099.22 1.48 1623.33 1.00 1623.33 51103.94 31.48 9.40 29.60 GAS_US_mini 44.75 4.73 211.51 1.00 211.51 51103.94 241.61 -11.96 -288.86 GBP 800.25 0.41 329.40 1.00 329.40 51103.94 155.14 9.05 140.45 GOLD_micro 217.78 0.67 144.89 1.00 144.89 51103.94 352.71 3.68 129.90 HEATOIL 1104.18 1.47 1622.93 1.00 1622.93 51103.94 31.49 7.54 23.73 JGB-SGX-mini 145330.00 0.15 22100.03 0.01 149.96 51103.94 340.79 1.37 46.84 JPY 858.19 0.55 467.86 1.00 467.86 51103.94 109.23 -8.74 -95.45 LEANHOG 407.30 0.95 385.73 1.00 385.73 51103.94 132.49 12.07 159.94 LIVECOW 744.40 0.64 475.94 1.00 475.94 51103.94 107.37 15.79 169.58 LUMBER-new 167.48 0.99 165.52 1.00 165.52 51103.94 308.75 4.66 143.77 MILK 336.40 1.30 438.32 1.00 438.32 51103.94 116.59 -18.62 -217.10 MXP 295.50 0.50 148.81 1.00 148.81 51103.94 343.41 20.00 686.81 NASDAQ_micro 366.84 0.80 294.48 1.00 294.48 51103.94 173.54 -0.35 -6.04 NIKKEI 38490.00 0.97 37509.96 0.01 255.34 51103.94 200.14 8.32 166.47 NZD 615.60 0.60 367.40 1.00 367.40 51103.94 139.10 0.96 13.29 OAT 1282.20 0.39 495.19 1.09 541.44 51103.94 94.38 3.56 33.56 OATIES 183.25 1.57 287.28 1.00 287.28 51103.94 177.89 -8.51 -151.40 OJ 547.12 1.84 1009.41 1.00 1009.41 51103.94 50.63 6.92 35.04 PALLAD 1070.50 2.69 2879.42 1.00 2879.42 51103.94 17.75 0.64 1.14 PLAT 472.60 1.63 772.41 1.00 772.41 51103.94 66.16 2.59 17.13 REDWHEAT 289.38 1.75 506.96 1.00 506.96 51103.94 100.80 -15.56 -156.90 RICE 361.20 0.92 330.72 1.00 330.72 51103.94 154.52 -6.31 -97.56 ROBUSTA 326.70 1.39 453.42 1.00 453.42 51103.94 112.71 9.55 107.63 RUSSELL 104.85 1.03 107.48 1.00 107.48 51103.94 475.47 -2.60 -123.83 SHATZ 1056.75 0.08 86.52 1.09 94.61 51103.94 540.18 -15.10 -815.86 SILVER-mini 635.62 1.34 854.66 1.00 854.66 51103.94 59.79 5.97 35.73 SMI 1165.10 0.57 660.89 1.14 753.51 51103.94 67.82 20.00 135.64 SOFR 2411.25 0.07 159.85 1.00 159.85 51103.94 319.69 -2.68 -85.76 SOYBEAN 593.12 0.84 497.17 1.00 497.17 51103.94 102.79 -10.91 -112.19 SOYMEAL 340.40 1.22 415.38 1.00 415.38 51103.94 123.03 -18.88 -232.25 SOYOIL 294.06 1.22 358.60 1.00 358.60 51103.94 142.51 -11.32 -161.25 SP400 3000.40 0.72 2154.24 1.00 2154.24 51103.94 23.72 3.81 9.04 SP500_micro 261.77 0.58 151.57 1.00 151.57 51103.94 337.16 5.66 190.68 SUGAR11 243.26 1.64 398.45 1.00 398.45 51103.94 128.26 -3.50 -44.95 US10 1109.38 0.35 390.23 1.00 390.23 51103.94 130.96 -5.42 -71.04 US10U 1147.03 0.46 523.91 1.00 523.91 51103.94 97.54 -0.49 -4.74 US2 2046.95 0.11 219.97 1.00 219.97 51103.94 232.32 -13.08 -303.79 US20 1203.12 0.64 770.53 1.00 770.53 51103.94 66.32 2.33 15.47 US30 1287.19 0.89 1139.70 1.00 1139.70 51103.94 44.84 0.73 3.30 US5 1071.48 0.24 262.30 1.00 262.30 51103.94 194.83 -8.62 -167.90 VIX 158.50 2.50 396.13 1.00 396.13 51103.94 129.01 -20.00 -258.01 WHEAT 295.25 1.43 423.51 1.00 423.51 51103.94 120.67 -20.00 -241.33 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -24.985 0.010 2.5 -0.648 BITCOIN 380.350 0.043 2.5 41.187 BOBL -196.307 0.004 2.5 -1.991 BTP 66.193 0.014 2.5 2.258 BUND -16.467 0.004 2.5 -0.167 BUXL -6.218 0.004 2.5 -0.063 CAC 149.971 0.014 2.5 5.115 CAD -80.806 0.010 2.5 -2.097 CANOLA -989.308 0.010 2.5 -24.069 CHF -145.733 0.010 2.5 -3.781 COCOA 56.254 0.009 2.5 1.205 COFFEE -6.875 0.005 2.5 -0.080 COPPER 5.453 0.043 2.5 0.591 CORN -413.104 0.010 2.5 -10.050 COTTON2 -5.481 0.009 2.5 -0.117 CRUDE_W 78.026 0.043 2.5 8.449 DAX 882.589 0.014 2.5 30.104 DOW -104.995 0.009 2.5 -2.440 DX -61.126 0.010 2.5 -1.586 EUR 41.132 0.010 2.5 1.067 EURIBOR-ICE 140.754 0.014 2.5 4.801 EUROSTX 281.577 0.014 2.5 9.604 FEEDCOW 42.431 0.013 2.5 1.406 GASOIL 42.185 0.017 2.5 1.829 GASOLINE 29.596 0.017 2.5 1.283 GAS_US_mini -288.859 0.043 2.5 -31.280 GBP 140.450 0.010 2.5 3.644 GOLD_micro 129.897 0.014 2.5 4.431 HEATOIL 23.730 0.017 2.5 1.029 JGB-SGX-mini 46.836 0.043 2.5 5.072 JPY -95.447 0.010 2.5 -2.476 LEANHOG 159.941 0.024 2.5 9.720 LIVECOW 169.579 0.013 2.5 5.619 LUMBER-new 143.766 0.009 2.5 3.075 MILK -217.101 0.009 2.5 -4.650 MXP 686.813 0.059 2.5 100.806 NASDAQ_micro -6.040 0.009 2.5 -0.140 NIKKEI 166.474 0.043 2.5 18.027 NZD 13.293 0.010 2.5 0.345 OAT 33.558 0.014 2.5 1.145 OATIES -151.399 0.010 2.5 -3.683 OJ 35.045 0.009 2.5 0.751 PALLAD 1.137 0.014 2.5 0.039 PLAT 17.133 0.014 2.5 0.584 REDWHEAT -156.898 0.005 2.5 -2.081 RICE -97.556 0.010 2.5 -2.373 ROBUSTA 107.629 0.005 2.5 1.257 RUSSELL -123.830 0.013 2.5 -4.103 SHATZ -815.860 0.004 2.5 -8.273 SILVER-mini 35.727 0.014 2.5 1.219 SMI 135.642 0.014 2.5 4.627 SOFR -85.758 0.024 2.5 -5.212 SOYBEAN -112.189 0.004 2.5 -1.043 SOYMEAL -232.249 0.004 2.5 -2.160 SOYOIL -161.251 0.004 2.5 -1.501 SP400 9.039 0.013 2.5 0.300 SP500_micro 190.681 0.009 2.5 4.431 SUGAR11 -44.952 0.009 2.5 -0.956 US10 -71.038 0.005 2.5 -0.900 US10U -4.744 0.005 2.5 -0.060 US2 -303.787 0.005 2.5 -3.850 US20 15.473 0.005 2.5 0.196 US30 3.296 0.005 2.5 0.042 US5 -167.899 0.005 2.5 -2.128 VIX -258.013 0.099 2.5 -63.689 WHEAT -241.334 0.005 2.5 -3.201 ===================== Position diags ===================== AUD 3.60 BITCOIN 33.37 BOBL 1.86 BTP 2.91 BUND 0.94 BUXL 0.39 CAC 3.41 CAD 4.92 CANOLA 12.87 CHF 2.32 COCOA 0.79 COFFEE 0.48 COPPER 5.33 CORN 5.42 COTTON2 1.31 CRUDE_W 6.29 DAX 15.05 DOW 11.96 DX 4.01 EUR 2.68 EURIBOR-ICE 13.44 EUROSTX 4.80 FEEDCOW 2.12 GASOIL 1.85 GASOLINE 1.36 GAS_US_mini 26.16 GBP 4.03 GOLD_micro 12.03 HEATOIL 1.36 JGB-SGX-mini 36.90 JPY 2.83 LEANHOG 8.05 LIVECOW 3.56 LUMBER-new 6.60 MILK 2.50 MXP 50.40 NASDAQ_micro 4.03 NIKKEI 21.67 NZD 3.61 OAT 3.22 OATIES 4.33 OJ 1.08 PALLAD 0.61 PLAT 2.26 REDWHEAT 1.34 RICE 3.76 ROBUSTA 1.32 RUSSELL 15.76 SHATZ 5.48 SILVER-mini 2.04 SMI 2.31 SOFR 19.43 SOYBEAN 0.96 SOYMEAL 1.14 SOYOIL 1.33 SP400 0.79 SP500_micro 7.84 SUGAR11 2.73 US10 1.66 US10U 1.24 US2 2.94 US20 0.84 US30 0.57 US5 2.47 VIX 31.84 WHEAT 1.60 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.6 -1.0 -0.3 0.0 0 BITCOIN 41.2 37.9 44.5 0.0 0 BOBL -2.0 -2.2 -1.8 -13.0 -13 BTP 2.3 2.0 2.5 5.0 5 BUND -0.2 -0.3 -0.1 -1.0 -1 BUXL -0.1 -0.1 -0.0 0.0 0 CAC 5.1 4.8 5.5 0.0 0 CAD -2.1 -2.6 -1.6 0.0 0 CANOLA -24.1 -25.4 -22.8 -6.0 -6 CHF -3.8 -4.0 -3.5 -9.0 -9 COCOA 1.2 1.1 1.3 4.0 4 COFFEE -0.1 -0.1 -0.0 0.0 0 COPPER 0.6 0.1 1.1 0.0 0 CORN -10.1 -10.6 -9.5 -10.0 -10 COTTON2 -0.1 -0.2 0.0 0.0 0 CRUDE_W 8.4 7.8 9.1 2.0 2 DAX 30.1 28.6 31.6 20.0 20 DOW -2.4 -3.6 -1.2 1.0 1 DX -1.6 -2.0 -1.2 NaN 0 EUR 1.1 0.8 1.3 2.0 2 EURIBOR-ICE 4.8 3.5 6.1 7.0 7 EUROSTX 9.6 9.1 10.1 17.0 17 FEEDCOW 1.4 1.2 1.6 6.0 6 GASOIL 1.8 1.6 2.0 2.0 2 GASOLINE 1.3 1.1 1.4 4.0 4 GAS_US_mini -31.3 -33.9 -28.7 -16.0 -16 GBP 3.6 3.2 4.0 5.0 5 GOLD_micro 4.4 3.2 5.6 0.0 0 HEATOIL 1.0 0.9 1.2 0.0 0 JGB-SGX-mini 5.1 1.4 8.8 8.0 8 JPY -2.5 -2.8 -2.2 -2.0 -2 LEANHOG 9.7 8.9 10.5 6.0 6 LIVECOW 5.6 5.3 6.0 0.0 0 LUMBER-new 3.1 2.4 3.7 NaN 0 MILK -4.6 -4.9 -4.4 NaN 0 MXP 100.8 95.8 105.8 60.0 60 NASDAQ_micro -0.1 -0.5 0.3 11.0 11 NIKKEI 18.0 15.9 20.2 24.0 24 NZD 0.3 -0.0 0.7 5.0 5 OAT 1.1 0.8 1.5 0.0 0 OATIES -3.7 -4.1 -3.3 NaN 0 OJ 0.8 0.6 0.9 NaN 0 PALLAD 0.0 -0.0 0.1 0.0 0 PLAT 0.6 0.4 0.8 1.0 1 REDWHEAT -2.1 -2.2 -1.9 -3.0 -3 RICE -2.4 -2.7 -2.0 NaN 0 ROBUSTA 1.3 1.1 1.4 1.0 1 RUSSELL -4.1 -5.7 -2.5 -3.0 -3 SHATZ -8.3 -8.8 -7.7 NaN 0 SILVER-mini 1.2 1.0 1.4 NaN 0 SMI 4.6 4.4 4.9 8.0 8 SOFR -5.2 -7.2 -3.3 NaN 0 SOYBEAN -1.0 -1.1 -0.9 -2.0 -2 SOYMEAL -2.2 -2.3 -2.0 0.0 0 SOYOIL -1.5 -1.6 -1.4 -6.0 -6 SP400 0.3 0.2 0.4 2.0 2 SP500_micro 4.4 3.6 5.2 4.0 4 SUGAR11 -1.0 -1.2 -0.7 -1.0 -1 US10 -0.9 -1.1 -0.7 0.0 0 US10U -0.1 -0.2 0.1 0.0 0 US2 -3.8 -4.1 -3.6 NaN 0 US20 0.2 0.1 0.3 1.0 1 US30 0.0 -0.0 0.1 2.0 2 US5 -2.1 -2.4 -1.9 -7.0 -7 VIX -63.7 -66.9 -60.5 -16.0 -16 WHEAT -3.2 -3.4 -3.0 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.0 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.9 3.9 3.9 3.9 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 0.2 -0.2 0.1 0.0 0.0 0.1 0.1 0.1 0.0 0.2 -0.1 0.2 -0.4 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 0.1 0.4 -0.0 0.1 -0.0 0.1 -0.1 0.0 -0.1 0.2 0.1 -0.1 -0.2 -0.7 -0.4 -0.4 -0.0 BITCOIN 0.6 0.6 0.4 0.0 0.1 -0.0 0.1 -0.0 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 -0.1 -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 -0.1 -0.1 -0.7 -0.7 0.1 -0.7 BTP 0.2 -0.1 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 0.2 -2.4 0.1 0.1 0.1 0.1 0.1 0.1 0.6 0.5 0.6 0.6 0.4 -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 0.0 -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 -0.0 0.1 0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.0 0.0 -0.1 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 0.2 0.1 0.1 0.1 -0.7 -0.7 0.2 0.0 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 -1.5 0.1 0.1 0.2 0.1 0.2 0.1 0.1 -0.0 0.5 0.3 -0.1 -0.1 0.5 -0.0 0.7 CAD -0.0 -0.2 0.2 0.0 0.1 0.1 0.1 0.2 0.0 0.1 -0.0 0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.1 -0.0 0.0 -0.0 -0.4 -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 -0.6 0.5 0.2 -0.6 -0.6 -0.7 -0.7 -0.6 -0.3 CHF -0.1 -0.6 -0.0 0.0 0.0 0.1 0.1 0.1 0.0 0.1 -0.1 0.1 0.1 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.0 0.0 -0.1 -0.6 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -1.1 -0.5 -0.5 -0.6 -0.0 -0.6 -0.6 -0.2 -0.6 COCOA -0.1 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 0.4 0.2 0.2 0.2 0.3 0.2 -1.6 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.4 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 -0.1 0.3 -0.0 0.2 0.0 0.0 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 1.0 -0.1 -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 0.2 -1.9 0.0 0.2 0.0 0.2 -0.0 0.1 0.1 -0.1 0.1 -0.0 0.3 -0.7 -0.1 0.4 0.2 CORN 0.5 0.1 -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 -0.3 -0.2 -0.2 0.1 -0.5 0.0 -2.4 -0.1 0.0 -0.2 0.0 -0.2 -0.0 -0.7 0.2 -0.3 -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 -0.5 0.6 0.6 0.6 -0.5 -0.5 -0.2 0.0 CRUDE_W 0.1 0.2 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.2 -0.0 0.2 0.3 0.2 0.1 0.2 0.2 0.2 0.2 0.1 0.1 0.1 0.3 0.1 -0.7 0.1 0.1 0.1 0.1 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 0.1 0.6 0.1 0.2 -0.1 0.5 0.1 0.7 DOW -0.1 -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 0.1 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 0.0 0.1 0.1 0.1 0.0 -0.2 0.1 -0.2 0.0 -0.1 0.0 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 0.5 -0.6 0.6 0.1 0.7 0.3 EUR 0.4 -0.1 0.0 0.0 0.1 0.1 0.1 0.2 0.0 0.2 -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 0.0 0.1 -0.4 0.2 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 0.0 0.1 -0.0 0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.1 0.0 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 0.2 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 0.1 0.1 0.1 0.2 0.1 0.2 0.1 0.9 -0.0 0.5 0.6 0.3 -0.3 0.6 -0.2 0.7 FEEDCOW -0.1 0.6 0.4 0.0 0.1 0.0 0.1 -0.1 0.0 0.1 0.1 0.1 0.1 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 0.1 0.2 0.2 -1.1 0.1 0.0 0.1 0.0 0.2 0.0 -1.1 -0.2 -0.0 0.6 0.6 0.7 0.5 0.7 0.7 GASOIL -0.2 0.4 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.2 0.0 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 0.1 0.1 0.0 0.2 0.0 1.1 -0.1 -0.2 0.1 0.2 -0.4 -0.2 -0.7 -0.5 GASOLINE 0.0 0.4 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.1 0.1 0.4 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 0.1 0.1 0.1 0.2 0.1 -0.5 0.1 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 -0.1 -0.4 -0.1 -0.1 -0.4 -0.4 -0.3 -0.3 -0.1 -0.2 -0.1 -0.5 -0.1 2.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.5 -0.1 -0.6 -0.6 -0.5 -0.0 -0.7 -0.2 GBP 0.3 -0.1 0.2 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.3 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 0.1 0.2 0.5 0.5 0.4 -0.7 -0.2 -0.7 0.1 GOLD_micro 0.6 0.3 0.2 0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 0.4 0.2 0.4 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 -0.2 0.2 -0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.0 0.0 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 0.1 0.1 0.0 0.3 0.0 1.1 -0.1 0.0 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 -0.1 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 0.3 -0.3 -0.2 0.0 0.0 0.0 0.0 0.1 0.0 0.1 -0.4 0.1 -0.6 -0.0 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.2 0.1 -0.5 0.0 2.7 -0.0 0.0 -0.1 0.1 -0.3 0.0 -1.1 0.3 -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 0.1 0.2 0.3 0.2 -0.4 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.1 0.2 -0.2 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 0.5 LIVECOW 0.1 0.6 0.2 0.0 0.1 0.0 0.1 -0.1 0.0 0.2 0.1 0.2 0.1 0.2 0.2 0.4 -0.1 0.1 -0.0 0.2 0.1 0.2 0.2 0.2 -0.7 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.3 0.6 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 0.1 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 0.0 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 -0.4 0.5 0.1 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 -0.1 -0.5 -0.2 1.5 -0.0 -0.0 -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 0.4 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 0.4 0.1 1.1 0.5 0.6 0.6 0.4 0.7 0.7 0.7 0.7 NASDAQ_micro -0.1 -0.1 0.4 0.1 0.0 0.1 0.0 0.1 0.1 -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 -0.3 -0.4 0.1 0.3 0.4 -0.1 0.6 -0.2 NIKKEI -0.2 0.5 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 -0.1 -0.1 -0.1 0.0 -0.3 -0.3 -0.0 0.1 OAT 0.0 -0.4 0.4 -0.0 -0.0 0.0 0.0 -0.0 -0.0 0.0 0.1 0.1 0.0 -0.0 -0.0 0.1 0.1 0.1 0.1 0.0 0.0 0.0 0.0 0.0 0.7 0.0 -0.0 0.0 0.0 0.0 0.0 0.6 0.2 0.0 0.1 0.0 -0.6 -0.7 0.4 0.1 OATIES 0.0 0.2 -0.3 0.0 0.0 0.0 0.1 -0.1 0.0 0.1 -0.4 0.1 -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 0.1 -0.1 0.0 -0.1 0.0 0.0 -0.1 -0.2 -0.1 -0.1 -0.3 0.0 -0.0 0.4 OJ -0.0 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 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.4 0.0 1.1 -0.2 -0.0 0.6 -0.1 0.3 0.3 0.5 0.7 PALLAD 0.6 0.4 0.1 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 0.1 1.2 0.0 0.0 -0.1 0.0 -0.1 0.0 0.4 -0.0 -0.1 -0.1 -0.0 -0.6 -0.3 -0.4 -0.2 PLAT 0.3 -0.1 0.0 0.0 0.1 -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 -0.1 -0.2 0.1 -0.5 -0.0 -1.1 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.2 -0.1 -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 -0.1 0.4 -0.1 -2.5 0.0 -0.0 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 0.0 0.6 0.0 0.0 0.0 0.1 -0.1 0.0 0.0 0.4 0.1 0.6 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.1 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 0.2 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 -0.4 -0.1 -0.6 -0.6 -0.6 -0.7 SHATZ -0.3 -0.6 0.0 -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 -0.3 -0.3 -0.2 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.6 0.2 -0.1 0.0 0.1 -0.0 0.1 -0.0 0.1 0.2 -0.1 0.2 -0.1 0.2 -0.0 -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 0.4 0.5 0.3 0.2 -0.7 -0.6 0.6 -0.1 SMI 0.6 0.4 0.6 0.1 0.1 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 2.0 0.1 0.1 0.2 0.1 0.1 0.1 1.1 0.5 0.6 -0.5 -0.2 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 0.0 -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 -0.2 -0.6 0.0 0.1 0.0 0.1 -0.1 0.0 0.2 -0.5 0.2 -0.2 -0.0 -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 0.2 -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 0.0 -0.4 -0.1 -2.7 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.8 0.3 -0.3 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.2 -0.0 -0.5 0.0 0.1 0.0 0.1 -0.1 0.0 0.2 -0.5 0.1 -0.5 0.0 -0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.2 0.2 -0.5 0.1 -2.7 -0.0 0.2 -0.1 0.1 -0.2 0.1 0.2 0.5 0.2 -0.4 -0.2 -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 0.5 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 0.2 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 -0.1 -0.1 0.4 0.5 0.1 -0.1 0.6 -0.2 SUGAR11 -0.3 0.0 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -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 0.1 -0.3 0.3 -0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 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 0.3 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 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.2 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.0 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 -0.1 -0.0 -0.0 -0.2 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.0 -0.0 -0.2 -0.0 1.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.1 -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 0.0 -0.1 0.0 -0.2 0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 0.1 0.2 0.2 0.2 -0.7 -0.7 0.7 0.7 US30 0.2 -0.1 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 -0.1 -0.2 -0.1 0.0 -0.0 0.0 -0.2 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.5 0.1 0.2 0.3 0.2 -0.5 -0.6 0.7 0.7 US5 -0.0 -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 0.0 -0.1 -0.0 0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.2 0.4 -0.2 -0.1 -0.1 -0.5 -0.0 -0.8 -0.1 -0.1 -0.9 -0.2 -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 -0.0 -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 -0.0 -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 7.7 -7.6 3.5 0.9 4.9 2.3 6.1 3.6 2.9 16.8 -3.5 17.2 -10.3 6.5 -7.7 -2.9 -2.9 -2.8 -2.8 -1.1 -2.2 13.6 -5.4 5.6 2.8 -0.4 8.0 -0.8 8.2 -1.9 3.5 -1.2 9.8 4.4 -4.1 -6.0 -20.0 -10.7 -10.7 -0.2 BITCOIN 20.0 20.0 13.8 2.8 11.6 -0.8 12.9 -1.2 8.9 20.0 20.0 20.0 20.0 20.0 20.0 -9.6 -7.1 -8.8 -8.2 20.0 20.0 20.0 20.0 20.0 -20.0 8.7 6.6 6.6 9.5 4.8 10.3 -2.7 20.0 20.0 20.0 20.0 -6.2 0.8 15.5 4.8 BOBL -4.5 -20.0 6.4 -0.2 -2.4 0.3 0.1 -0.8 -0.1 -3.0 -0.6 0.6 -1.7 -6.2 -5.6 -9.1 -15.8 -20.0 -20.0 -5.3 -1.9 -0.7 -2.5 -4.1 6.7 -1.6 -1.5 -0.4 -0.0 -0.5 -1.2 -20.0 3.4 -6.3 -4.4 -4.6 -20.0 -20.0 3.2 -20.0 BTP 7.7 -4.2 18.3 -0.3 -4.1 0.5 0.1 -1.4 -0.1 12.1 11.1 13.8 10.3 10.0 9.2 4.3 6.3 4.7 5.2 11.8 13.8 18.0 10.2 14.1 -18.1 4.8 5.7 5.1 7.9 3.9 6.2 11.2 20.0 18.2 18.9 10.9 -12.6 -16.9 19.2 3.0 BUND -1.1 -14.8 11.2 -0.2 -2.6 0.3 0.1 -0.9 -0.1 -1.6 1.4 3.2 -0.8 -5.2 -2.9 -4.3 3.4 0.2 1.5 -2.2 0.7 1.0 -1.6 -1.3 4.2 -0.7 -1.7 0.5 0.7 -0.0 -0.2 5.4 4.8 -2.8 0.2 -1.6 -17.8 -20.0 10.0 -11.9 BUXL 3.1 -9.7 15.0 -0.3 -3.3 0.4 0.1 -1.1 -0.1 -1.8 2.9 6.1 -4.2 -3.0 -1.4 -6.1 -0.5 -2.9 -1.4 0.5 1.9 2.7 -3.5 1.6 0.1 0.8 -2.5 1.4 1.7 -0.4 1.4 0.0 6.8 1.7 4.3 2.0 -20.0 -20.0 5.4 1.4 CAC 18.4 20.0 17.5 8.5 6.4 6.9 7.2 4.6 8.2 20.0 20.0 20.0 20.0 20.0 20.0 3.9 -4.5 -3.4 -5.1 20.0 20.0 20.0 20.0 20.0 -10.9 9.2 10.1 7.2 9.4 5.2 9.6 1.7 -0.4 15.6 7.9 -2.1 -4.2 15.9 -1.0 20.0 CAD -1.4 -6.1 7.1 1.0 5.7 2.6 7.0 4.2 3.3 15.4 -1.8 11.9 -4.1 -6.4 -4.6 -2.1 -2.2 -2.1 -2.1 -2.8 -1.3 6.2 -3.8 -0.9 -0.0 -1.7 6.3 -0.8 4.3 -2.0 -0.3 0.0 -2.1 -12.8 -3.0 -0.9 -15.3 -14.3 0.1 -12.6 CANOLA 19.3 -2.5 -20.0 1.8 4.2 0.6 3.7 -1.5 2.3 11.2 -11.7 11.3 -10.9 -1.4 -9.6 -15.2 -4.7 -13.4 -10.6 -12.3 -20.0 15.3 -20.0 2.8 -20.0 -3.3 5.9 -5.5 4.0 -5.7 0.5 -10.5 20.0 6.0 -20.0 -20.0 -20.0 -20.0 -18.0 -8.1 CHF -2.7 -20.0 -0.8 0.9 5.0 2.3 6.2 3.7 2.9 12.2 -3.3 8.5 2.6 -16.1 -15.0 -15.5 -15.5 -15.5 -15.6 -14.2 -6.2 -0.3 1.6 -11.0 -4.7 -3.7 0.7 -0.5 -0.0 1.6 -3.4 -20.0 -19.9 -15.8 -20.0 -1.3 -17.5 -16.7 -6.8 -17.8 COCOA -2.0 6.9 -10.7 1.2 2.8 0.4 2.5 -1.0 1.5 7.1 8.4 7.6 8.5 8.0 8.2 20.0 10.5 20.0 18.7 18.8 15.3 16.9 11.0 18.8 -11.7 3.0 1.7 2.9 1.8 2.6 2.4 20.0 17.7 20.0 20.0 20.0 10.6 2.4 20.0 18.4 COFFEE -5.8 -2.7 10.9 2.8 6.5 1.0 5.8 -2.4 3.6 -11.5 10.1 -1.4 6.7 3.2 4.4 18.5 8.3 15.8 11.9 4.2 8.7 -0.5 6.2 0.7 -20.0 2.0 -3.2 5.2 0.2 5.2 0.6 19.4 -2.9 -3.0 -7.8 11.8 -9.3 -20.0 -3.0 -13.1 COPPER 13.4 3.2 6.5 2.5 10.5 -0.8 11.7 -1.1 8.1 20.0 4.0 20.0 -6.3 18.1 11.4 -4.9 -4.9 -5.5 -5.6 9.6 4.4 20.0 -0.7 16.9 -14.3 3.6 20.0 1.4 15.0 -0.4 8.2 1.2 -3.6 2.4 -0.7 10.6 -20.0 -2.3 12.4 5.0 CORN 15.2 2.4 -7.5 3.2 7.4 1.1 6.5 -2.7 4.0 18.4 -19.8 17.8 -20.0 0.9 -14.1 -18.7 -7.0 -16.2 -12.6 -16.2 -20.0 14.5 -20.0 0.0 -18.3 -6.1 4.9 -7.4 3.8 -6.6 -1.4 -14.1 8.6 -10.5 -20.0 -20.0 -5.6 -20.0 -3.9 -0.4 COTTON2 -8.7 20.0 15.7 1.9 4.3 0.6 3.8 -1.6 2.3 -8.1 6.1 -2.0 3.4 6.3 8.3 5.2 -0.6 -0.1 -1.9 11.6 8.2 0.6 2.9 8.0 -20.0 4.1 -0.4 3.0 0.9 1.5 3.1 -0.2 -20.0 20.0 20.0 20.0 -15.7 -13.5 -6.9 1.2 CRUDE_W 3.4 5.2 -1.9 4.5 9.3 3.1 4.9 3.4 4.3 17.9 -0.2 18.6 8.4 18.5 12.8 12.1 9.9 10.2 9.7 6.8 5.4 11.3 9.9 9.4 -5.1 6.3 12.8 5.0 8.5 7.9 7.9 -1.1 -3.4 18.0 -3.3 -0.9 20.0 19.7 20.0 20.0 DAX 19.6 15.1 19.5 8.1 6.1 6.7 6.9 4.4 7.9 20.0 20.0 20.0 20.0 20.0 20.0 -13.8 -11.6 -14.7 -13.5 20.0 20.0 20.0 20.0 20.0 18.0 8.9 6.9 7.2 8.6 5.1 9.6 -11.2 4.3 20.0 4.2 6.6 -3.8 14.1 3.5 20.0 DOW -4.3 -2.8 20.0 6.8 5.1 5.5 5.8 3.7 6.6 14.9 20.0 9.4 19.9 15.9 20.0 -14.1 -10.9 -13.4 -12.3 20.0 20.0 6.3 20.0 10.4 -15.3 7.2 3.8 9.9 1.9 8.9 3.1 -9.7 -20.0 -20.0 -13.9 9.4 -6.0 -5.5 1.0 -14.2 DX -13.1 6.5 -2.8 1.0 5.4 2.5 6.7 4.0 3.1 -17.3 3.0 -20.0 0.2 -10.3 4.5 6.7 6.2 6.5 6.3 -2.0 1.2 -20.0 3.6 -12.7 -20.0 -2.1 -8.3 -0.5 -11.4 1.5 -6.9 14.5 -20.0 -20.0 15.2 -20.0 16.5 2.7 20.0 8.9 EUR 13.3 -4.4 1.5 1.0 5.7 2.7 7.0 4.2 3.3 19.4 -2.2 20.0 0.2 12.6 -5.0 -6.8 -6.7 -6.5 -6.4 2.8 -0.8 18.6 -2.3 12.1 20.0 3.1 8.6 1.3 10.4 0.2 7.2 -7.5 6.3 16.1 3.2 -5.3 -20.0 -15.8 -20.0 -12.1 EURIBOR-ICE -3.0 -20.0 15.0 -0.2 -2.1 0.3 0.1 -0.7 -0.1 0.7 3.7 3.2 3.0 -3.2 0.2 -2.6 -3.8 -1.0 -1.9 -0.1 4.8 3.0 4.1 -0.0 14.4 0.3 -0.2 2.0 1.5 1.8 0.4 -3.8 8.7 -0.6 -0.4 3.0 -20.0 -20.0 7.8 20.0 EUROSTX 12.5 20.0 20.0 8.0 6.1 6.6 6.9 4.4 7.8 20.0 20.0 20.0 20.0 20.0 20.0 5.6 2.5 7.3 4.9 20.0 20.0 20.0 20.0 20.0 0.9 9.0 5.7 7.6 7.0 5.5 8.6 16.1 -1.3 14.9 20.0 9.5 -9.4 17.0 -7.5 20.0 FEEDCOW -2.2 20.0 12.3 3.6 8.5 1.2 7.5 -3.1 4.6 14.8 2.4 11.1 1.7 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 16.1 6.6 8.2 18.9 -7.9 5.6 3.3 4.0 1.2 4.6 3.2 -20.0 -8.4 -1.1 20.0 19.3 20.0 14.5 20.0 20.0 GASOIL -7.1 10.9 0.8 3.6 7.4 2.5 3.8 2.7 3.4 12.1 7.0 0.4 10.7 9.8 12.3 20.0 20.0 20.0 20.0 9.2 10.0 4.7 12.5 5.7 7.3 4.3 6.6 5.0 2.3 6.0 2.5 20.0 -3.0 -6.8 3.6 6.2 -10.9 -7.0 -20.0 -13.6 GASOLINE 0.6 11.2 3.9 4.0 8.3 2.8 4.3 3.0 3.8 17.3 4.1 11.6 9.8 16.5 17.7 12.1 8.3 -2.6 -1.4 13.2 9.8 14.3 9.7 12.7 -20.0 6.7 11.2 5.0 6.8 5.7 6.6 -10.1 2.8 17.0 9.9 14.4 20.0 15.8 19.6 14.7 GAS_US_mini 12.4 -6.9 -10.5 1.7 3.6 1.2 1.9 1.3 1.6 -8.7 -9.4 -4.9 -10.4 -7.5 -8.7 -20.0 -19.8 -13.4 -15.3 -10.6 -15.0 -6.9 -19.4 -6.6 18.0 -3.5 -3.4 -3.9 -2.7 -3.5 -2.6 -20.0 -19.0 -4.6 -20.0 -18.8 -13.6 -1.1 -20.0 -6.0 GBP 10.0 -2.1 7.7 1.1 5.9 2.8 7.4 4.4 3.5 11.8 9.3 17.8 10.5 15.1 17.2 -0.8 -0.6 -0.6 -0.5 10.8 9.6 19.7 8.0 15.9 2.5 7.0 7.0 6.0 12.0 4.0 9.8 2.8 9.3 14.1 14.7 10.8 -20.0 -5.8 -20.0 2.1 GOLD_micro 20.0 8.1 7.5 2.4 9.9 -0.7 11.0 -1.0 7.6 15.8 14.5 19.0 9.8 17.3 12.5 -15.7 -14.6 -15.5 -15.1 20.0 13.3 20.0 8.4 20.0 -3.8 5.5 6.2 3.1 10.3 2.0 9.1 -15.3 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -14.5 HEATOIL -6.7 6.9 -1.7 3.9 8.0 2.7 4.2 2.9 3.6 14.6 0.6 1.9 7.2 2.9 8.5 20.0 20.0 20.0 20.0 4.4 5.0 5.5 8.6 3.2 -20.0 5.0 7.9 5.4 3.8 7.4 3.7 20.0 -3.5 0.5 2.0 7.9 18.0 4.8 14.7 1.3 JGB-SGX-mini -3.7 -7.0 11.5 -0.2 -2.4 0.3 0.1 -0.8 -0.1 -8.2 4.8 -5.7 6.2 -6.1 2.2 12.7 16.3 12.4 13.0 0.3 3.4 -4.4 4.0 -2.8 -5.9 -0.2 -2.7 0.8 -2.4 0.5 -1.5 20.0 -13.4 -4.0 -0.9 0.3 -6.8 -20.0 2.2 10.1 JPY 9.2 -8.8 -5.0 0.7 3.7 1.7 4.6 2.8 2.2 7.8 -14.2 8.6 -15.6 -4.5 -12.9 -16.9 -16.3 -16.4 -16.4 -8.8 -14.0 11.0 -20.0 1.1 20.0 -2.3 4.0 -4.3 5.4 -7.0 1.5 -20.0 11.4 -0.3 -8.9 -8.8 -20.0 -13.6 -15.2 -15.9 LEANHOG 15.3 20.0 12.4 3.9 9.1 1.3 8.0 -3.3 4.9 17.2 9.8 20.0 -11.8 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 13.1 19.8 -9.0 20.0 17.8 9.1 2.9 6.5 5.0 -0.1 7.7 -20.0 12.8 20.0 20.0 20.0 -6.0 -8.1 8.5 13.6 LIVECOW 4.0 20.0 6.9 3.6 8.3 1.2 7.3 -3.0 4.5 17.9 4.1 18.5 2.6 20.0 20.0 20.0 -2.9 7.0 -0.7 20.0 12.4 17.4 5.7 20.0 -5.3 6.6 7.5 3.7 5.1 3.7 6.3 -1.0 11.3 20.0 20.0 13.1 20.0 5.2 20.0 14.9 LUMBER-new 16.3 8.6 14.5 3.9 9.1 1.4 8.0 -2.4 4.9 13.2 13.1 20.0 -11.8 20.0 20.0 -15.9 -15.3 -16.2 -15.6 20.0 14.7 20.0 2.5 20.0 NaN 8.8 2.8 6.0 9.0 2.6 10.5 -20.0 20.0 20.0 20.0 20.0 -10.8 -19.8 -7.7 -13.0 MILK -12.8 15.1 2.1 2.1 4.9 0.7 4.3 -1.7 2.6 -6.4 -12.2 -11.7 -13.6 -9.7 -10.7 -20.0 -20.0 -20.0 -20.0 -11.6 -14.4 -16.0 -20.0 -15.1 11.1 -3.4 -0.7 -4.1 -5.0 -6.1 -4.7 -20.0 -20.0 -20.0 -9.5 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 10.2 6.8 13.1 1.0 5.9 2.7 7.2 4.3 3.4 20.0 20.0 20.0 20.0 20.0 20.0 18.2 16.9 17.1 16.4 20.0 20.0 20.0 20.0 20.0 -20.0 8.8 16.0 8.4 14.6 11.1 11.4 20.0 20.0 20.0 20.0 12.5 20.0 20.0 20.0 20.0 NASDAQ_micro -4.6 -2.2 12.7 4.8 3.6 3.9 4.1 2.6 4.6 -1.5 14.7 6.7 14.6 11.4 13.8 -11.0 -10.1 -11.4 -10.9 17.6 20.0 4.8 20.0 10.5 -20.0 5.5 0.4 6.7 1.4 6.8 3.2 -7.8 -12.0 -13.7 2.0 9.1 11.4 -2.6 18.0 -5.7 NIKKEI -7.2 14.3 15.6 6.1 4.2 5.0 4.9 3.3 5.8 -13.6 18.3 -0.0 18.5 12.7 17.0 6.5 12.1 11.5 12.1 20.0 20.0 -1.9 20.0 20.0 -15.2 6.6 -3.0 6.4 0.2 5.3 4.2 20.0 -20.0 5.8 20.0 20.0 -20.0 -5.3 -8.1 -4.7 NZD 2.9 -4.7 7.3 0.7 3.9 1.8 4.9 2.9 2.3 8.7 3.8 5.3 -0.1 2.2 -0.3 0.3 0.3 0.3 0.3 1.5 2.5 4.2 0.2 2.1 -0.0 0.8 1.9 1.8 2.4 1.0 1.0 4.1 -6.2 -2.7 -2.0 1.5 -8.4 -9.4 -1.5 3.6 OAT 1.2 -12.3 13.6 -0.2 -2.8 0.4 0.1 -0.9 -0.1 1.5 3.2 5.2 0.6 -2.9 -0.6 4.0 6.2 4.5 5.0 0.6 3.4 4.0 0.6 1.5 5.1 0.6 -0.3 1.7 2.3 0.9 1.2 10.9 8.9 1.3 3.5 1.4 -19.5 -20.0 11.0 3.6 OATIES 1.5 6.6 -9.7 2.3 5.3 0.8 4.6 -1.9 2.9 9.0 -13.2 5.7 -10.9 2.2 -3.5 10.3 -2.0 6.3 0.9 -3.8 -9.9 3.5 -10.3 0.3 -20.0 -0.9 5.8 -3.5 2.1 -4.2 0.4 0.2 -4.7 -4.8 -4.2 -4.5 -9.6 1.3 -0.7 13.1 OJ -0.7 14.6 -20.0 2.1 4.8 0.7 4.3 -1.7 2.6 -1.2 6.7 -2.7 10.3 8.7 3.3 7.2 15.3 8.1 11.5 7.4 10.6 -1.6 18.5 4.0 -20.0 2.3 -0.2 5.0 -0.9 10.2 0.7 20.0 -6.5 -0.2 19.1 -4.4 10.1 9.4 15.5 20.0 PALLAD 17.5 10.9 2.1 0.9 3.8 -0.3 4.2 -0.4 2.9 7.0 -5.1 7.2 -7.7 5.5 -3.0 -1.8 -2.1 -1.9 -2.0 -0.2 -5.0 8.0 -9.3 4.9 9.4 0.2 4.3 -2.0 4.2 -3.6 2.5 6.9 -1.0 -2.3 -2.4 -1.1 -17.5 -10.1 -12.9 -5.7 PLAT 8.5 -1.7 0.7 1.4 5.7 -0.4 6.4 -0.6 4.4 9.9 -5.1 9.3 -7.9 3.5 -6.0 -4.1 -3.3 -4.0 -3.8 -1.0 -3.2 9.9 -3.9 4.1 10.1 0.2 7.9 -0.9 6.6 -0.9 3.1 4.3 -8.5 -9.2 -5.8 1.4 -13.2 -4.4 20.0 7.2 REDWHEAT 6.5 0.4 -8.9 2.6 6.0 0.9 5.3 -2.2 3.3 10.4 -17.2 7.6 -17.4 -7.7 -12.8 10.0 0.8 5.1 2.0 -13.5 -20.0 6.4 -20.0 -4.6 -8.6 -5.4 3.3 -6.2 1.2 -5.9 -3.1 4.6 -3.7 -20.0 -20.0 -20.0 -14.5 -20.0 -10.0 -20.0 RICE -17.8 -0.7 9.2 3.0 6.9 1.0 6.1 -2.5 3.8 -17.4 13.7 -19.2 15.6 -6.9 5.5 -9.2 -3.3 -10.8 -9.2 5.0 15.1 -16.2 15.9 -9.3 -19.0 1.6 -5.0 4.7 -6.8 4.8 -3.7 -7.4 -20.0 -20.0 1.6 5.6 5.8 -4.3 12.9 4.9 ROBUSTA -11.6 0.8 20.0 2.3 5.3 0.8 4.7 -1.9 2.9 4.4 15.0 7.9 15.5 11.2 14.4 19.8 20.0 20.0 20.0 20.0 20.0 14.9 20.0 17.9 -20.0 5.7 1.5 7.2 3.7 7.2 4.2 20.0 20.0 15.7 20.0 20.0 -20.0 -17.7 -11.1 1.1 RUSSELL 8.9 4.7 19.2 4.6 3.4 3.7 3.9 2.5 4.4 1.8 11.0 9.8 7.5 11.8 12.2 -6.4 -6.3 -6.4 -6.4 11.8 11.0 6.2 6.3 9.9 -2.2 4.9 0.4 4.5 2.2 3.0 3.9 -0.7 -14.0 -10.3 -11.7 -4.1 -17.3 -18.8 -18.2 -20.0 SHATZ -9.3 -20.0 0.4 -0.2 -2.0 0.3 0.1 -0.7 -0.0 -4.8 -5.2 -3.8 -6.2 -7.1 -7.2 -20.0 -20.0 -20.0 -20.0 -9.3 -6.1 -3.3 -6.5 -7.8 8.0 -2.0 -1.3 -1.1 -0.8 -1.1 -1.8 -20.0 -0.3 -10.8 -9.7 -6.9 -20.0 -20.0 -8.2 -20.0 SILVER-mini 18.3 5.8 -2.7 2.2 9.4 -0.7 10.4 -1.0 7.2 17.5 -2.1 18.8 -3.6 15.7 -3.5 -6.8 -6.6 -6.9 -6.9 7.4 -0.7 20.0 -2.4 20.0 5.7 4.4 10.9 1.1 11.0 0.2 8.7 -1.2 16.7 13.9 8.0 5.1 -19.7 -18.5 18.5 -2.0 SMI 17.5 11.3 18.0 7.5 5.7 6.2 6.4 4.1 7.3 20.0 19.4 20.0 10.7 20.0 20.0 5.5 6.0 8.5 7.6 20.0 18.2 20.0 8.9 20.0 14.8 7.8 13.7 5.7 13.0 2.9 10.1 20.0 20.0 17.6 -14.6 -7.7 9.7 -5.1 18.8 -9.4 SOFR 3.2 -12.6 8.5 -0.2 -2.7 0.4 0.1 -0.9 -0.1 0.2 4.0 5.2 0.0 -2.6 -0.9 -0.1 0.2 0.7 0.6 -0.8 0.5 3.1 -1.3 1.1 -2.5 0.5 -1.3 1.3 1.1 0.4 0.6 2.0 4.6 1.1 2.5 2.4 -20.0 -20.0 -1.5 -2.0 SOYBEAN 13.2 -7.2 -20.0 3.1 7.2 1.1 6.4 -2.6 3.9 19.1 -16.8 16.3 -5.6 -2.3 -16.6 5.0 13.8 7.7 10.2 -17.8 -20.0 20.0 -15.9 2.5 -20.0 -4.7 10.6 -5.3 7.9 -3.0 0.8 20.0 20.0 1.9 -20.0 -20.0 -7.6 -20.0 -6.9 -20.0 SOYMEAL 5.0 -15.4 -20.0 2.5 5.9 0.9 5.2 -2.1 3.2 7.8 -16.3 7.0 -11.0 -10.3 -16.4 -6.6 9.9 -1.3 4.2 -20.0 -20.0 5.0 -14.4 -8.8 -20.0 -5.4 2.0 -5.3 1.5 -2.3 -2.0 15.6 10.9 -7.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 7.3 -0.6 -16.6 2.8 6.5 0.9 5.8 -2.3 3.5 17.2 -17.2 10.6 -14.2 0.2 -12.9 -7.2 2.9 -5.3 -1.7 -10.5 -20.0 20.0 -20.0 5.6 -20.0 -1.1 20.0 -4.3 13.3 -4.7 4.8 4.1 20.0 5.4 -12.8 -7.4 -14.6 -7.7 -10.7 5.3 SP400 20.0 13.4 20.0 5.9 4.4 4.8 5.0 3.2 5.7 14.9 17.1 16.8 13.6 17.7 18.4 -6.1 -5.5 -6.0 -5.8 20.0 20.0 20.0 14.8 20.0 -13.0 6.6 3.7 5.5 5.5 3.7 6.6 0.7 6.4 5.0 -3.2 1.1 -15.8 -8.4 -13.6 -20.0 SP500_micro 5.2 8.6 20.0 6.5 4.9 5.3 5.6 3.5 6.3 15.8 20.0 17.7 19.4 19.5 20.0 -12.9 -11.3 -12.9 -12.3 20.0 20.0 19.4 20.0 20.0 -20.0 7.7 3.6 8.0 4.1 6.7 5.7 -10.0 -3.0 -2.9 11.7 16.8 4.2 -3.1 16.8 -6.8 SUGAR11 -9.6 1.0 -18.1 2.1 4.9 0.7 4.4 -1.8 2.7 9.3 -5.8 -0.6 4.8 -5.1 -6.6 9.6 18.1 14.9 17.2 -7.5 -6.7 -0.1 0.5 -6.1 -20.0 -3.7 3.9 -3.7 0.3 0.2 -2.4 20.0 -20.0 -13.0 -8.1 -20.0 17.8 1.4 20.0 12.6 US10 2.3 -9.7 9.1 -0.2 -2.4 0.3 0.1 -0.8 -0.1 -0.8 2.3 3.8 -2.7 -3.2 -0.6 -7.6 -8.0 -8.4 -8.4 -0.9 -0.9 2.0 -4.8 0.5 2.1 0.4 -1.6 0.7 0.7 -0.8 0.5 -12.9 3.7 0.2 2.6 2.3 -20.0 -20.0 -15.1 9.6 US10U 2.7 -8.2 9.3 -0.3 -3.4 0.5 0.1 -1.1 -0.1 -1.2 2.5 5.9 -3.8 -4.9 -1.3 -3.2 -0.1 -1.2 -0.3 -1.3 -1.7 2.7 -7.6 0.8 -0.8 0.9 -2.3 1.0 1.0 -1.3 0.9 1.0 4.4 1.1 5.8 3.9 -20.0 -20.0 11.2 20.0 US2 -6.1 -17.7 3.8 -0.2 -2.0 0.3 0.1 -0.7 -0.0 -5.7 -1.6 -1.6 -5.6 -6.0 -4.8 -20.0 -20.0 -20.0 -20.0 -4.9 -3.4 -2.8 -6.6 -4.4 9.8 -1.1 -2.5 -0.1 -1.1 -1.1 -1.5 -20.0 -2.6 -7.1 -5.6 -0.8 -20.0 -20.0 -17.0 -20.0 US20 5.9 -5.1 12.6 -0.2 -2.5 0.3 0.1 -0.8 -0.1 0.9 3.0 5.7 -1.6 -0.8 1.2 0.0 -0.8 -0.1 -0.4 1.4 0.5 3.9 -4.6 2.9 -1.3 1.9 -1.2 1.6 1.8 -0.7 2.0 0.1 6.1 4.6 7.5 6.3 -20.0 -20.0 20.0 20.0 US30 7.6 -2.5 10.5 -0.3 -3.0 0.4 0.1 -1.0 -0.1 -1.2 2.5 6.7 -3.3 0.1 0.6 -7.4 -5.9 -7.8 -7.0 1.5 -0.2 3.4 -6.7 3.4 -0.7 2.6 -2.3 1.8 1.8 -1.4 2.7 -9.7 4.2 6.5 10.7 5.8 -14.2 -18.5 20.0 20.0 US5 -0.8 -13.8 7.1 -0.2 -2.3 0.3 0.1 -0.8 -0.1 -2.9 1.5 2.3 -3.5 -4.6 -2.4 -8.4 -10.0 -9.2 -9.8 -2.7 -1.7 0.3 -4.7 -1.4 4.5 -0.3 -2.0 0.5 -0.0 -0.6 -0.4 -16.1 1.7 -2.7 -1.0 0.9 -20.0 -20.0 -20.0 -6.7 VIX 3.0 7.0 -4.7 -7.5 -5.7 -10.7 -2.8 -14.7 -4.2 -9.0 -20.0 -8.9 -20.0 -14.1 -20.0 -20.0 -20.0 -20.0 -20.0 -15.1 -20.0 -3.8 -20.0 -5.7 NaN -8.5 -6.4 -13.1 -2.8 -18.5 -4.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -3.0 -9.4 -4.4 2.7 6.3 0.9 5.6 -2.3 3.4 5.0 -18.0 -3.0 -18.4 -12.9 -14.8 -13.2 -11.1 -12.3 -11.8 -18.8 -20.0 -3.9 -20.0 -14.3 0.3 -6.0 1.4 -5.0 -1.7 -4.4 -5.2 -17.0 -20.0 -20.0 -20.0 -20.0 -14.1 -20.0 -9.9 -20.0 End of report for caleb_strategy_v3