******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240315_204011 produced at 2024-03-15 21:37:54.157532 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.63 0.0 0.00 0.00 0.00 0.00 -8.61 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.09 -0.32 0.0 0.09 -0.09 -0.09 -0.09 -62.28 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.31 0.0 0.00 0.00 0.00 0.00 -8.82 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.27 0.0 0.00 0.00 0.00 0.00 -4.31 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.43 -0.18 0.0 0.56 -0.56 -0.43 -0.43 -4.18 13.0 -10 -10 caleb_strategy_v3 US5 False False 0.03 -0.26 -0.08 0.0 0.80 -0.80 -0.26 -0.26 -2.49 25.0 -8 -8 caleb_strategy_v3 BOBL False False 0.04 -0.50 -0.08 0.0 0.73 -0.73 -0.50 -0.50 -2.08 19.0 -13 -13 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.07 0.0 0.44 -0.44 -0.03 -0.03 -2.80 17.0 -1 -1 caleb_strategy_v3 CAD False False 0.02 0.00 -0.07 0.0 0.65 -0.65 0.00 0.00 -3.23 29.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.07 0.0 0.09 -0.09 -0.07 -0.07 -9.89 12.0 -10 -10 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.15 -0.15 -0.02 -0.02 -22.39 51.0 -6 -6 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.05 -0.05 0.00 0.00 -4.71 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 -1.22 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 -31.64 26.0 -16 -16 caleb_strategy_v3 US10 False False 0.03 0.00 -0.04 0.0 0.56 -0.56 0.00 0.00 -1.14 17.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.03 0.0 0.04 -0.04 0.00 0.00 -2.65 4.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.03 0.0 0.38 -0.38 0.00 0.00 -1.34 19.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -3.33 9.0 -4 -4 caleb_strategy_v3 DOW False False 0.01 0.00 -0.03 0.0 0.39 -0.39 0.00 0.00 -4.46 66.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.07 -0.07 -0.02 -0.02 -2.18 8.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.35 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.02 0.0 0.13 -0.13 -0.04 -0.04 -0.95 7.0 -2 -2 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -4.26 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.04 -0.02 0.0 0.21 -0.21 -0.04 -0.04 -7.29 68.0 -12 -13 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.01 0.0 0.43 -0.43 -0.04 -0.04 -0.28 10.0 -1 -1 caleb_strategy_v3 US10U False False 0.03 -0.07 -0.01 0.0 0.45 -0.45 -0.07 -0.07 -0.28 13.0 -2 -2 caleb_strategy_v3 SOYOIL False False 0.01 -0.05 -0.01 0.0 0.09 -0.09 -0.05 -0.05 -1.01 10.0 -6 -6 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.02 -0.01 0.0 0.25 -0.25 0.02 0.01 -0.96 23.0 2 1 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.01 0.0 0.17 -0.17 0.00 0.00 -0.12 4.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.11 -0.01 0.0 0.39 -0.39 0.11 0.07 -0.43 21.0 6 4 caleb_strategy_v3 PALLAD False False 0.03 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.08 2.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.00 0.0 0.16 -0.16 -0.03 -0.03 -0.23 11.0 -2 -2 caleb_strategy_v3 US20 False False 0.04 0.04 0.00 0.0 0.32 -0.32 0.04 0.04 0.07 9.0 1 1 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.00 0.0 0.13 -0.13 -0.01 -0.01 -0.53 18.0 -1 -1 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.12 -0.12 0.00 0.00 -0.13 6.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.04 -0.00 0.0 0.23 -0.23 0.04 0.04 -0.04 6.0 1 1 caleb_strategy_v3 PLAT False False 0.01 0.00 0.01 0.0 0.14 -0.14 0.00 0.00 0.68 10.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.23 -0.23 0.01 0.01 1.32 23.0 1 1 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.81 3.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.18 0.01 0.0 0.18 -0.18 0.18 0.18 0.11 2.0 2 2 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 0.01 0.0 0.02 -0.02 0.00 0.00 1.89 3.0 0 0 caleb_strategy_v3 EUR False False 0.04 0.17 0.02 0.0 0.58 -0.58 0.17 0.17 0.45 14.0 4 4 caleb_strategy_v3 SP500_micro False False 0.01 0.16 0.02 0.0 0.38 -0.38 0.16 0.16 2.99 48.0 21 21 caleb_strategy_v3 COCOA False False 0.02 0.11 0.02 0.0 0.58 -0.58 0.11 0.11 1.00 26.0 5 5 caleb_strategy_v3 FEEDCOW False False 0.04 0.24 0.03 0.0 0.32 -0.32 0.24 0.24 0.65 8.0 6 6 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.03 0.0 0.37 -0.37 0.00 0.00 4.10 56.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.03 0.0 0.00 -0.00 0.00 0.00 1.54 0.0 0 0 caleb_strategy_v3 OAT False False 0.04 0.00 0.04 0.0 0.42 -0.42 0.00 0.00 0.89 10.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.05 0.05 0.0 0.10 -0.10 0.05 0.05 2.01 4.0 2 2 caleb_strategy_v3 HEATOIL False False 0.03 0.00 0.05 0.0 0.10 -0.10 0.00 0.00 1.40 3.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.06 0.0 0.13 -0.13 0.13 0.13 1.66 4.0 4 4 caleb_strategy_v3 GBP False False 0.02 0.12 0.07 0.0 0.53 -0.53 0.12 0.12 2.94 22.0 5 5 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.07 0.0 0.00 0.00 0.00 0.00 31.46 59.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.16 0.07 0.0 0.19 -0.19 0.16 0.16 2.24 6.0 5 5 caleb_strategy_v3 BTP False False 0.04 0.20 0.08 0.0 0.39 -0.39 0.20 0.20 2.00 10.0 5 5 caleb_strategy_v3 NIKKEI False False 0.01 0.17 0.08 0.0 0.28 -0.28 0.17 0.16 9.94 36.0 21 20 caleb_strategy_v3 LIVECOW False False 0.02 0.02 0.10 0.0 0.38 -0.38 0.02 0.02 4.40 17.0 1 1 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.11 0.0 0.16 -0.16 0.07 0.07 8.98 13.0 6 6 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.21 0.15 0.0 0.47 -0.47 0.21 0.21 5.02 16.0 7 7 caleb_strategy_v3 EUROSTX False False 0.02 0.31 0.16 0.0 0.33 -0.33 0.31 0.31 9.95 20.0 19 19 caleb_strategy_v3 CAC False True 0.03 0.00 0.17 0.0 0.00 0.00 0.00 0.00 6.29 12.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.36 0.19 0.0 0.36 -0.36 0.36 0.36 4.74 9.0 9 9 caleb_strategy_v3 DAX False False 0.01 0.13 0.19 0.0 0.35 -0.35 0.13 0.13 31.21 58.0 22 22 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.23 0.0 0.12 -0.12 0.05 0.05 9.94 5.0 2 2 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.24 0.27 0.0 0.80 -0.80 0.24 0.16 3.34 10.0 3 2 caleb_strategy_v3 MXP False False 0.01 0.53 0.94 0.0 0.53 -0.53 0.53 0.53 105.43 60.0 60 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 26.1 Shocked risk 92.5 Sum abs risk 62.9 Leverage 5.86 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3311949.35, 'annual_cash_vol_target': 827987.3375, 'daily_cash_vol_target': 51749.20859375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0037 0.6578 0.5697 9.1153 BITCOIN 1827.2363 69995.0000 2.6105 41.7684 BOBL 0.2514 117.5000 0.2139 3.4228 BTP 0.5645 118.8400 0.4750 7.6005 BUND 0.4995 131.9100 0.3787 6.0588 BUXL 1.1895 132.4800 0.8979 14.3660 CAC 45.1705 8203.5000 0.5506 8.8100 CAD 0.0027 0.7393 0.3698 5.9163 CANOLA 6.5081 640.1000 1.0167 16.2678 CHF 0.0046 1.1429 0.4053 6.4845 COCOA 157.0839 7330.0000 2.1430 34.2884 COFFEE 3.1811 181.5000 1.7527 28.0428 COPPER 0.0421 4.1445 1.0163 16.2610 CORN 4.5768 471.2500 0.9712 15.5392 COTTON2 1.6290 93.9500 1.7339 27.7420 CRUDE_W 0.8598 76.3100 1.1267 18.0274 DAX 103.3985 18268.0000 0.5660 9.0561 DOW 200.9510 39156.0000 0.5132 8.2113 DX 0.3432 102.9950 0.3333 5.3322 EUR 0.0042 1.0930 0.3814 6.1029 EURIBOR-ICE 0.0482 97.5550 0.0494 0.7907 EUROSTX 32.4299 4956.0000 0.6544 10.4697 FEEDCOW 1.6933 267.0000 0.6342 10.1472 GASOIL 11.8869 812.0000 1.4639 23.4225 GASOLINE 0.0373 2.6609 1.4007 22.4115 GAS_US_mini 0.0849 1.8150 4.6760 74.8159 GBP 0.0053 1.2743 0.4132 6.6108 GOLD_micro 14.4517 2160.9000 0.6688 10.7005 HEATOIL 0.0373 2.6680 1.3994 22.3907 JGB-SGX-mini 0.2178 145.2200 0.1500 2.3997 JPY 0.0000 0.0068 0.5521 8.8333 LEANHOG 0.9663 102.3250 0.9443 15.1094 LIVECOW 1.2507 183.4500 0.6818 10.9082 LUMBER-new 6.1576 603.5000 1.0203 16.3251 MILK 0.2202 16.4600 1.3380 21.4085 MXP 0.0003 0.0590 0.4884 7.8150 NASDAQ_micro 146.3541 18072.5000 0.8098 12.9571 NIKKEI 382.2566 38630.0000 0.9895 15.8325 NZD 0.0037 0.6085 0.6140 9.8233 OAT 0.4984 127.5200 0.3908 6.2531 OATIES 5.6016 360.0000 1.5560 24.8958 OJ 6.6121 370.4000 1.7851 28.5622 PALLAD 27.6888 1090.5000 2.5391 40.6255 PLAT 15.4143 944.6000 1.6318 26.1094 REDWHEAT 9.9963 562.0000 1.7787 28.4594 RICE 0.1609 18.0550 0.8913 14.2612 ROBUSTA 43.7195 3306.0000 1.3224 21.1588 RUSSELL 22.0783 2062.4000 1.0705 17.1282 SHATZ 0.0838 105.5550 0.0794 1.2698 SILVER-mini 0.3353 25.6500 1.3070 20.9126 SMI 65.5124 11591.0000 0.5652 9.0432 SOFR 0.0669 96.2700 0.0695 1.1127 SOYBEAN 9.6278 1191.2500 0.8082 12.9314 SOYMEAL 4.0527 338.6000 1.1969 19.1506 SOYOIL 0.6102 50.0600 1.2189 19.5022 SP400 22.4975 2961.3000 0.7597 12.1555 SP500_micro 30.5097 5184.2500 0.5885 9.4161 SUGAR11 0.3450 21.7700 1.5847 25.3556 US10 0.3963 110.0625 0.3601 5.7613 US10U 0.5361 113.6250 0.4718 7.5484 US2 0.1082 102.1133 0.1059 1.6946 US20 0.7972 118.6250 0.6720 10.7526 US30 1.1842 126.6875 0.9347 14.9555 US5 0.2641 106.5312 0.2479 3.9668 VIX 0.4040 17.1000 2.3623 37.7973 WHEAT 8.2411 583.0000 1.4136 22.6170 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 657.80 0.57 374.75 1.00 374.75 51749.21 138.09 -3.73 -51.52 BITCOIN 70.00 2.61 182.72 1.00 182.72 51749.21 283.21 10.26 290.53 BOBL 1175.00 0.21 251.36 1.09 274.99 51749.21 188.19 -10.92 -205.54 BTP 1188.40 0.48 564.53 1.09 617.59 51749.21 83.79 6.98 58.52 BUND 1319.10 0.38 499.51 1.09 546.46 51749.21 94.70 -2.87 -27.15 BUXL 1324.80 0.90 1189.50 1.09 1301.32 51749.21 39.77 -3.07 -12.20 CAC 820.35 0.55 451.70 1.09 494.16 51749.21 104.72 17.62 184.55 CAD 739.35 0.37 273.39 1.00 273.39 51749.21 189.29 -6.58 -124.62 CANOLA 128.02 1.02 130.16 0.74 96.58 51749.21 535.79 -17.18 -920.43 CHF 1428.62 0.41 578.99 1.00 578.99 51749.21 89.38 -18.04 -161.26 COCOA 733.00 2.14 1570.84 1.00 1570.84 51749.21 32.94 14.15 46.61 COFFEE 680.62 1.75 1192.92 1.00 1192.92 51749.21 43.38 -2.63 -11.40 COPPER 1036.12 1.02 1053.02 1.00 1053.02 51749.21 49.14 4.21 20.69 CORN 235.62 0.97 228.84 1.00 228.84 51749.21 226.14 -17.98 -406.64 COTTON2 469.75 1.73 814.49 1.00 814.49 51749.21 63.54 -1.69 -10.77 CRUDE_W 763.10 1.13 859.79 1.00 859.79 51749.21 60.19 15.25 91.81 DAX 182.68 0.57 103.40 1.09 113.12 51749.21 457.48 20.00 914.96 DOW 195.78 0.51 100.48 1.00 100.48 51749.21 515.04 -3.73 -192.11 DX 1029.95 0.33 343.24 1.00 343.24 51749.21 150.77 -3.13 -47.13 EUR 1366.25 0.38 521.13 1.00 521.13 51749.21 99.30 1.75 17.40 EURIBOR-ICE 2438.88 0.05 120.53 1.09 131.86 51749.21 392.45 2.50 98.03 EUROSTX 495.60 0.65 324.30 1.09 354.78 51749.21 145.86 20.00 291.72 FEEDCOW 1335.00 0.63 846.66 1.00 846.66 51749.21 61.12 3.22 19.69 GASOIL 812.00 1.46 1188.69 1.00 1188.69 51749.21 43.53 10.64 46.31 GASOLINE 1117.58 1.40 1565.41 1.00 1565.41 51749.21 33.06 11.59 38.33 GAS_US_mini 45.38 4.68 212.17 1.00 212.17 51749.21 243.90 -11.98 -292.18 GBP 796.44 0.41 329.07 1.00 329.07 51749.21 157.26 7.20 113.28 GOLD_micro 216.09 0.67 144.52 1.00 144.52 51749.21 358.08 3.36 120.34 HEATOIL 1120.56 1.40 1568.13 1.00 1568.13 51749.21 33.00 9.78 32.28 JGB-SGX-mini 145220.00 0.15 21780.22 0.01 147.49 51749.21 350.86 1.32 46.35 JPY 850.44 0.55 469.51 1.00 469.51 51749.21 110.22 -9.78 -107.79 LEANHOG 409.30 0.94 386.52 1.00 386.52 51749.21 133.89 11.04 147.83 LIVECOW 733.80 0.68 500.28 1.00 500.28 51749.21 103.44 12.83 132.76 LUMBER-new 165.96 1.02 169.33 1.00 169.33 51749.21 305.60 2.89 88.41 MILK 329.20 1.34 440.48 1.00 440.48 51749.21 117.48 -18.73 -220.02 MXP 295.00 0.49 144.09 1.00 144.09 51749.21 359.15 20.00 718.29 NASDAQ_micro 361.45 0.81 292.71 1.00 292.71 51749.21 176.79 -2.33 -41.13 NIKKEI 38630.00 0.99 38225.66 0.01 258.45 51749.21 200.23 4.58 91.80 NZD 608.50 0.61 373.59 1.00 373.59 51749.21 138.52 -1.19 -16.46 OAT 1275.20 0.39 498.37 1.09 545.22 51749.21 94.92 2.75 26.06 OATIES 180.00 1.56 280.08 1.00 280.08 51749.21 184.77 -9.48 -175.17 OJ 555.60 1.79 991.82 1.00 991.82 51749.21 52.18 7.24 37.77 PALLAD 1090.50 2.54 2768.88 1.00 2768.88 51749.21 18.69 1.21 2.26 PLAT 472.30 1.63 770.72 1.00 770.72 51749.21 67.14 2.98 20.04 REDWHEAT 281.00 1.78 499.82 1.00 499.82 51749.21 103.54 -15.91 -164.70 RICE 361.10 0.89 321.86 1.00 321.86 51749.21 160.78 -6.77 -108.77 ROBUSTA 330.60 1.32 437.19 1.00 437.19 51749.21 118.37 9.55 113.08 RUSSELL 103.12 1.07 110.39 1.00 110.39 51749.21 468.78 -4.69 -219.95 SHATZ 1055.55 0.08 83.77 1.09 91.64 51749.21 564.68 -15.41 -869.93 SILVER-mini 641.25 1.31 838.14 1.00 838.14 51749.21 61.74 7.32 45.20 SMI 1159.10 0.57 655.12 1.14 744.58 51749.21 69.50 20.00 139.00 SOFR 2406.75 0.07 167.37 1.00 167.37 51749.21 309.19 -4.58 -141.75 SOYBEAN 595.62 0.81 481.39 1.00 481.39 51749.21 107.50 -9.46 -101.68 SOYMEAL 338.60 1.20 405.27 1.00 405.27 51749.21 127.69 -19.76 -252.36 SOYOIL 300.36 1.22 366.11 1.00 366.11 51749.21 141.35 -7.68 -108.57 SP400 2961.30 0.76 2249.75 1.00 2249.75 51749.21 23.00 1.45 3.33 SP500_micro 259.21 0.59 152.55 1.00 152.55 51749.21 339.23 3.80 128.85 SUGAR11 243.82 1.58 386.39 1.00 386.39 51749.21 133.93 -1.87 -25.10 US10 1100.62 0.36 396.31 1.00 396.31 51749.21 130.58 -6.88 -89.85 US10U 1136.25 0.47 536.05 1.00 536.05 51749.21 96.54 -2.27 -21.92 US2 2042.27 0.11 216.30 1.00 216.30 51749.21 239.25 -14.23 -340.38 US20 1186.25 0.67 797.21 1.00 797.21 51749.21 64.91 0.88 5.71 US30 1266.88 0.93 1184.17 1.00 1184.17 51749.21 43.70 -0.75 -3.28 US5 1065.31 0.25 264.12 1.00 264.12 51749.21 195.93 -10.02 -196.38 VIX 171.00 2.36 403.96 1.00 403.96 51749.21 128.11 -19.69 -252.30 WHEAT 291.50 1.41 412.05 1.00 412.05 51749.21 125.59 -20.00 -251.18 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -51.524 0.010 2.5 -1.337 BITCOIN 290.528 0.043 2.5 31.461 BOBL -205.542 0.004 2.5 -2.084 BTP 58.523 0.014 2.5 1.996 BUND -27.149 0.004 2.5 -0.275 BUXL -12.196 0.004 2.5 -0.124 CAC 184.548 0.014 2.5 6.295 CAD -124.619 0.010 2.5 -3.233 CANOLA -920.428 0.010 2.5 -22.393 CHF -161.263 0.010 2.5 -4.184 COCOA 46.606 0.009 2.5 0.998 COFFEE -11.395 0.005 2.5 -0.133 COPPER 20.693 0.043 2.5 2.241 CORN -406.641 0.010 2.5 -9.893 COTTON2 -10.767 0.009 2.5 -0.231 CRUDE_W 91.807 0.043 2.5 9.942 DAX 914.960 0.014 2.5 31.208 DOW -192.113 0.009 2.5 -4.465 DX -47.128 0.010 2.5 -1.223 EUR 17.402 0.010 2.5 0.452 EURIBOR-ICE 98.031 0.014 2.5 3.344 EUROSTX 291.723 0.014 2.5 9.950 FEEDCOW 19.686 0.013 2.5 0.652 GASOIL 46.309 0.017 2.5 2.007 GASOLINE 38.328 0.017 2.5 1.661 GAS_US_mini -292.179 0.043 2.5 -31.639 GBP 113.276 0.010 2.5 2.939 GOLD_micro 120.341 0.014 2.5 4.105 HEATOIL 32.277 0.017 2.5 1.399 JGB-SGX-mini 46.352 0.043 2.5 5.019 JPY -107.790 0.010 2.5 -2.797 LEANHOG 147.829 0.024 2.5 8.984 LIVECOW 132.762 0.013 2.5 4.399 LUMBER-new 88.410 0.009 2.5 1.891 MILK -220.020 0.009 2.5 -4.712 MXP 718.292 0.059 2.5 105.426 NASDAQ_micro -41.128 0.009 2.5 -0.956 NIKKEI 91.800 0.043 2.5 9.941 NZD -16.455 0.010 2.5 -0.427 OAT 26.059 0.014 2.5 0.889 OATIES -175.173 0.010 2.5 -4.262 OJ 37.767 0.009 2.5 0.809 PALLAD 2.257 0.014 2.5 0.077 PLAT 20.037 0.014 2.5 0.683 REDWHEAT -164.695 0.005 2.5 -2.185 RICE -108.773 0.010 2.5 -2.646 ROBUSTA 113.077 0.005 2.5 1.320 RUSSELL -219.948 0.013 2.5 -7.289 SHATZ -869.929 0.004 2.5 -8.822 SILVER-mini 45.203 0.014 2.5 1.542 SMI 139.002 0.014 2.5 4.741 SOFR -141.754 0.024 2.5 -8.615 SOYBEAN -101.682 0.004 2.5 -0.946 SOYMEAL -252.357 0.004 2.5 -2.347 SOYOIL -108.568 0.004 2.5 -1.011 SP400 3.332 0.013 2.5 0.110 SP500_micro 128.851 0.009 2.5 2.995 SUGAR11 -25.098 0.009 2.5 -0.534 US10 -89.854 0.005 2.5 -1.139 US10U -21.920 0.005 2.5 -0.278 US2 -340.375 0.005 2.5 -4.313 US20 5.708 0.005 2.5 0.072 US30 -3.281 0.005 2.5 -0.042 US5 -196.380 0.005 2.5 -2.488 VIX -252.303 0.099 2.5 -62.279 WHEAT -251.177 0.005 2.5 -3.332 ===================== Position diags ===================== AUD 3.58 BITCOIN 30.67 BOBL 1.91 BTP 2.86 BUND 0.96 BUXL 0.40 CAC 3.57 CAD 4.91 CANOLA 13.04 CHF 2.32 COCOA 0.71 COFFEE 0.51 COPPER 5.32 CORN 5.50 COTTON2 1.36 CRUDE_W 6.52 DAX 15.60 DOW 11.97 DX 3.91 EUR 2.58 EURIBOR-ICE 13.39 EUROSTX 4.98 FEEDCOW 2.03 GASOIL 1.89 GASOLINE 1.43 GAS_US_mini 26.41 GBP 4.08 GOLD_micro 12.21 HEATOIL 1.43 JGB-SGX-mini 37.99 JPY 2.86 LEANHOG 8.14 LIVECOW 3.43 LUMBER-new 6.54 MILK 2.52 MXP 52.71 NASDAQ_micro 4.11 NIKKEI 21.68 NZD 3.59 OAT 3.24 OATIES 4.50 OJ 1.12 PALLAD 0.64 PLAT 2.29 REDWHEAT 1.37 RICE 3.91 ROBUSTA 1.38 RUSSELL 15.53 SHATZ 5.73 SILVER-mini 2.11 SMI 2.37 SOFR 18.79 SOYBEAN 1.00 SOYMEAL 1.19 SOYOIL 1.32 SP400 0.76 SP500_micro 7.88 SUGAR11 2.85 US10 1.65 US10U 1.22 US2 3.03 US20 0.82 US30 0.55 US5 2.48 VIX 31.62 WHEAT 1.67 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.3 -1.7 -1.0 0.0 0 BITCOIN 31.5 28.4 34.5 0.0 0 BOBL -2.1 -2.3 -1.9 -13.0 -13 BTP 2.0 1.7 2.3 5.0 5 BUND -0.3 -0.4 -0.2 -1.0 -1 BUXL -0.1 -0.2 -0.1 0.0 0 CAC 6.3 5.9 6.7 0.0 0 CAD -3.2 -3.7 -2.7 0.0 0 CANOLA -22.4 -23.7 -21.1 -6.0 -6 CHF -4.2 -4.4 -4.0 -10.0 -10 COCOA 1.0 0.9 1.1 5.0 5 COFFEE -0.1 -0.2 -0.1 0.0 0 COPPER 2.2 1.7 2.8 5.0 5 CORN -9.9 -10.4 -9.3 -10.0 -10 COTTON2 -0.2 -0.4 -0.1 -2.0 -2 CRUDE_W 9.9 9.3 10.6 2.0 2 DAX 31.2 29.6 32.8 22.0 22 DOW -4.5 -5.7 -3.3 0.0 0 DX -1.2 -1.6 -0.8 NaN 0 EUR 0.5 0.2 0.7 4.0 4 EURIBOR-ICE 3.3 2.0 4.7 3.0 3 EUROSTX 10.0 9.5 10.4 19.0 19 FEEDCOW 0.7 0.4 0.9 6.0 6 GASOIL 2.0 1.8 2.2 2.0 2 GASOLINE 1.7 1.5 1.8 4.0 4 GAS_US_mini -31.6 -34.3 -29.0 -16.0 -16 GBP 2.9 2.5 3.3 5.0 5 GOLD_micro 4.1 2.9 5.3 0.0 0 HEATOIL 1.4 1.3 1.5 0.0 0 JGB-SGX-mini 5.0 1.2 8.8 7.0 7 JPY -2.8 -3.1 -2.5 -1.0 -1 LEANHOG 9.0 8.2 9.8 6.0 6 LIVECOW 4.4 4.1 4.7 1.0 1 LUMBER-new 1.9 1.2 2.5 NaN 0 MILK -4.7 -5.0 -4.5 NaN 0 MXP 105.4 100.2 110.7 60.0 60 NASDAQ_micro -1.0 -1.4 -0.5 2.0 2 NIKKEI 9.9 7.8 12.1 21.0 21 NZD -0.4 -0.8 -0.1 6.0 6 OAT 0.9 0.6 1.2 0.0 0 OATIES -4.3 -4.7 -3.8 NaN 0 OJ 0.8 0.7 0.9 NaN 0 PALLAD 0.1 0.0 0.1 0.0 0 PLAT 0.7 0.5 0.9 0.0 0 REDWHEAT -2.2 -2.3 -2.0 -2.0 -2 RICE -2.6 -3.0 -2.3 NaN 0 ROBUSTA 1.3 1.2 1.5 1.0 1 RUSSELL -7.3 -8.8 -5.7 -12.0 -12 SHATZ -8.8 -9.4 -8.2 NaN 0 SILVER-mini 1.5 1.3 1.8 NaN 0 SMI 4.7 4.5 5.0 9.0 9 SOFR -8.6 -10.5 -6.7 NaN 0 SOYBEAN -0.9 -1.0 -0.8 -2.0 -2 SOYMEAL -2.3 -2.5 -2.2 0.0 0 SOYOIL -1.0 -1.1 -0.9 -6.0 -6 SP400 0.1 0.0 0.2 2.0 2 SP500_micro 3.0 2.2 3.8 21.0 21 SUGAR11 -0.5 -0.8 -0.2 -1.0 -1 US10 -1.1 -1.3 -1.0 0.0 0 US10U -0.3 -0.4 -0.2 -2.0 -2 US2 -4.3 -4.6 -4.0 NaN 0 US20 0.1 -0.0 0.2 1.0 1 US30 -0.0 -0.1 0.0 1.0 1 US5 -2.5 -2.7 -2.2 -8.0 -8 VIX -62.3 -65.4 -59.1 -17.0 -17 WHEAT -3.3 -3.5 -3.2 -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 0.0 0.1 0.0 0.0 -0.1 0.1 -0.4 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 0.0 0.4 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.1 0.0 -0.1 -0.2 -0.7 -0.4 -0.4 -0.0 BITCOIN 0.5 0.6 0.4 0.0 0.1 -0.0 0.1 -0.0 0.1 0.0 0.5 0.2 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.2 0.1 -0.2 0.1 0.6 0.6 0.6 -0.2 0.0 0.5 0.2 BOBL -0.1 -0.6 0.1 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.4 -0.4 -0.1 -0.0 -0.1 -0.1 -0.1 0.9 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 0.1 -0.1 -0.1 -0.1 -0.7 -0.7 0.1 -0.7 BTP 0.3 -0.1 0.5 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.0 0.3 0.1 0.4 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.3 0.1 -2.4 0.1 -0.0 0.1 0.0 0.1 0.1 0.6 0.5 0.6 0.6 0.4 -0.4 -0.5 0.7 0.1 BUND -0.0 -0.5 0.3 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 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 -0.1 0.0 -0.0 -0.0 -0.0 0.3 0.2 -0.0 0.0 -0.0 -0.6 -0.7 0.4 -0.4 BUXL 0.1 -0.3 0.4 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 0.0 0.2 0.1 0.2 0.1 -0.7 -0.7 0.2 0.0 CAC 0.6 0.6 0.6 0.1 0.0 0.2 0.1 0.2 0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.2 -0.1 -0.0 -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 0.2 0.5 0.6 0.4 -0.0 -0.1 0.5 -0.0 0.7 CAD -0.1 -0.2 0.2 0.0 -0.0 0.1 0.0 0.1 0.0 -0.0 -0.0 0.0 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 -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 0.2 -0.5 0.1 -2.7 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.6 0.5 0.5 -0.6 -0.6 -0.7 -0.7 -0.6 -0.3 CHF -0.1 -0.6 -0.1 0.0 -0.0 0.1 0.0 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 -0.1 0.0 -0.1 -0.6 -0.0 -0.1 -0.0 -0.0 0.1 -0.1 -1.1 -0.3 -0.6 -0.6 -0.1 -0.6 -0.6 -0.2 -0.6 COCOA -0.2 0.0 -0.5 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 -1.5 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.5 0.6 0.6 0.6 0.3 0.1 0.6 0.6 COFFEE -0.2 -0.1 0.3 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 0.3 -0.0 0.3 0.0 0.0 0.3 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 -0.2 -0.2 -0.2 0.4 -0.3 -0.7 -0.1 -0.4 COPPER 0.5 0.1 0.2 0.0 0.1 -0.0 0.1 -0.0 0.1 0.2 0.2 0.2 -0.2 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.2 0.0 0.2 -1.9 0.0 0.2 0.0 0.2 0.0 0.1 0.1 0.5 0.4 0.1 0.4 -0.7 -0.1 0.4 0.2 CORN 0.6 0.1 -0.2 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.5 0.2 -0.7 0.0 -0.1 -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 -0.3 -0.0 -0.8 0.3 -0.1 -0.6 -0.6 -0.2 -0.7 -0.1 -0.0 COTTON2 -0.4 0.6 0.5 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 0.2 -0.1 0.1 0.0 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 -0.4 0.5 0.6 0.6 -0.5 -0.5 -0.2 0.0 CRUDE_W 0.2 0.2 -0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.0 0.2 0.3 0.2 0.2 0.3 0.2 0.2 0.2 0.1 0.1 0.2 0.3 0.2 -0.7 0.1 0.2 0.1 0.1 0.2 0.1 -0.1 0.1 0.5 -0.0 -0.0 0.7 0.7 0.7 0.7 DAX 0.6 0.5 0.6 0.1 0.0 0.2 0.1 0.2 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.3 0.2 0.2 0.2 0.5 0.2 2.4 0.1 0.0 0.2 0.1 0.2 0.1 -0.6 0.1 0.6 0.2 0.2 -0.1 0.5 0.1 0.7 DOW -0.2 -0.1 0.6 0.1 0.0 0.2 0.1 0.1 0.1 -0.1 0.5 -0.0 0.7 0.1 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 -0.0 0.5 0.1 -2.1 0.1 -0.0 0.3 -0.0 0.3 0.0 -0.5 -0.5 -0.6 -0.6 0.3 -0.2 -0.2 0.0 -0.5 DX -0.4 0.2 -0.1 0.0 -0.0 0.1 0.0 0.1 0.0 -0.0 0.1 -0.1 0.0 -0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.0 -0.1 0.1 -0.1 -2.7 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.8 -0.5 -0.6 0.4 -0.6 0.5 0.1 0.7 0.3 EUR 0.4 -0.1 0.0 0.0 -0.0 0.1 0.0 0.1 0.0 -0.0 -0.0 0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.1 0.1 2.7 0.0 -0.0 0.0 0.0 0.0 0.1 -0.4 0.1 0.4 0.1 -0.2 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.1 -0.6 0.4 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.9 -0.0 -0.0 0.0 -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 0.5 0.6 0.6 0.1 0.0 0.2 0.1 0.2 0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.1 0.0 0.1 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 0.8 0.3 0.5 0.6 0.3 -0.3 0.5 -0.3 0.7 FEEDCOW -0.3 0.6 0.4 0.0 0.0 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 -0.0 0.2 0.1 -1.1 0.1 -0.0 0.1 -0.0 0.2 0.0 -1.1 -0.5 -0.3 0.6 0.6 0.7 0.5 0.7 0.7 GASOIL -0.2 0.3 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 0.1 0.3 0.1 1.0 0.1 0.1 0.1 0.1 0.2 0.0 1.1 -0.2 -0.3 0.1 0.2 -0.4 -0.2 -0.7 -0.5 GASOLINE 0.1 0.4 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.2 0.4 0.2 0.2 0.3 0.2 -0.0 -0.0 0.2 0.1 0.2 0.3 0.2 -2.7 0.1 0.1 0.1 0.1 0.2 0.1 -0.5 0.0 0.6 0.4 0.5 0.7 0.5 0.7 0.5 GAS_US_mini 0.3 -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 -0.2 -0.6 -0.6 -0.5 -0.0 -0.7 -0.2 GBP 0.3 -0.1 0.2 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.3 0.1 0.4 0.1 0.2 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 0.2 0.1 0.3 0.1 -0.0 0.2 0.1 0.2 0.1 0.2 0.3 0.4 0.4 0.3 -0.7 -0.2 -0.7 0.1 GOLD_micro 0.6 0.3 0.3 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 0.2 0.2 0.2 0.2 -0.5 0.1 0.0 0.1 0.1 0.1 0.1 -0.8 0.4 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL -0.1 0.2 -0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.0 0.1 0.3 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 0.1 0.3 0.1 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 1.1 -0.1 0.1 0.1 0.2 0.6 0.2 0.5 0.1 JGB-SGX-mini -0.1 -0.2 0.4 -0.0 -0.1 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 -0.1 0.1 -0.0 -0.8 -0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 -0.1 -0.1 -0.0 0.0 -0.2 -0.7 0.1 0.3 JPY 0.4 -0.2 -0.2 0.0 -0.0 0.0 0.0 0.1 0.0 -0.0 -0.4 0.0 -0.6 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 0.0 -0.5 -0.0 2.7 -0.0 -0.0 -0.1 0.0 -0.3 0.0 -1.1 0.1 -0.0 -0.2 -0.3 -0.7 -0.4 -0.5 -0.5 LEANHOG 0.4 0.6 0.4 0.0 0.0 0.0 0.1 -0.1 0.1 0.1 0.3 0.2 -0.4 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 0.2 -0.2 0.2 2.3 0.1 0.0 0.2 0.0 0.0 0.1 -1.1 -0.1 0.6 0.6 0.6 -0.2 -0.3 0.3 0.5 LIVECOW -0.0 0.6 0.3 0.0 0.0 0.0 0.1 -0.1 0.0 -0.1 0.1 0.1 0.1 0.2 0.2 0.4 -0.0 0.2 0.0 0.2 0.1 0.1 0.2 0.2 -0.7 0.1 -0.0 0.1 0.0 0.1 0.1 -0.0 -0.2 0.3 0.6 0.5 0.7 0.2 0.7 0.5 LUMBER-new 0.6 0.3 0.5 0.1 0.0 0.1 0.1 -0.1 0.1 -0.1 0.4 0.2 -0.5 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 0.1 0.1 0.2 NaN 0.1 -0.0 0.2 0.1 0.1 0.1 -1.2 0.2 0.7 0.7 0.7 -0.4 -0.7 -0.3 -0.5 MILK -0.5 0.4 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 -0.0 -0.2 -0.0 -1.1 -0.5 -0.6 -0.3 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.4 0.3 0.4 0.0 -0.0 0.1 0.0 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 0.5 0.7 0.7 0.7 0.7 NASDAQ_micro -0.2 0.0 0.3 0.1 0.0 0.1 0.0 0.1 0.0 -0.1 0.4 0.0 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 0.3 0.0 -0.4 -0.5 -0.5 -0.1 0.3 0.3 -0.1 0.6 -0.2 NIKKEI -0.5 0.4 0.5 0.1 0.0 0.1 0.0 0.1 0.1 -0.1 0.4 -0.1 0.6 0.1 0.2 0.1 0.2 0.2 0.2 0.2 0.2 -0.0 0.5 0.1 -1.9 0.1 -0.0 0.2 -0.0 0.2 0.0 1.1 -0.5 -0.4 0.3 0.6 -0.7 -0.2 -0.3 -0.2 NZD -0.0 -0.2 0.2 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 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 -0.0 0.2 -0.2 -0.2 -0.0 0.0 -0.3 -0.3 -0.0 0.1 OAT 0.1 -0.4 0.4 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 0.0 -0.1 -0.0 0.1 0.1 0.1 0.1 -0.0 0.0 -0.0 0.0 -0.0 0.7 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.6 0.3 0.1 0.2 0.1 -0.6 -0.7 0.4 0.1 OATIES 0.1 0.2 -0.3 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 -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 0.0 -0.1 0.0 -0.2 0.0 0.0 -0.3 -0.2 -0.1 -0.2 -0.3 0.0 -0.0 0.4 OJ -0.1 0.4 -0.6 0.0 0.0 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 0.1 -2.7 0.0 0.0 0.1 0.0 0.4 0.0 1.1 0.0 -0.2 0.6 -0.2 0.3 0.3 0.5 0.7 PALLAD 0.6 0.4 0.0 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 -0.0 0.1 -0.3 0.1 1.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.4 0.1 -0.1 -0.1 -0.0 -0.6 -0.3 -0.5 -0.2 PLAT 0.3 -0.0 0.0 0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 -0.1 0.1 -0.3 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.1 0.1 1.3 0.0 0.0 -0.0 0.1 -0.0 0.0 0.2 -0.1 -0.3 -0.2 0.0 -0.4 -0.1 0.7 0.2 REDWHEAT 0.3 -0.0 -0.3 0.0 0.0 0.0 0.0 -0.1 0.0 -0.0 -0.4 0.0 -0.6 -0.1 -0.1 0.2 0.0 0.1 0.0 -0.1 -0.2 -0.0 -0.5 -0.1 -1.1 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 0.2 -0.1 -0.5 -0.6 -0.6 -0.5 -0.7 -0.3 -0.7 RICE -0.6 -0.0 0.3 0.0 0.0 0.0 0.0 -0.1 0.0 -0.2 0.4 -0.2 0.6 -0.1 0.0 -0.2 -0.1 -0.2 -0.2 0.0 0.2 -0.1 0.4 -0.1 -2.6 0.0 -0.0 0.1 -0.1 0.2 -0.0 -0.4 -0.5 -0.6 0.1 0.1 0.2 -0.1 0.4 0.2 ROBUSTA -0.2 -0.0 0.6 0.0 0.0 0.0 0.0 -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 0.2 0.2 0.6 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.3 0.0 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.2 0.1 -0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 -0.5 -0.5 -0.5 -0.2 -0.6 -0.6 -0.6 -0.7 SHATZ -0.2 -0.6 -0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.2 -0.1 1.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 0.1 -0.3 -0.3 -0.2 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.6 0.3 -0.1 0.0 0.1 -0.0 0.1 -0.0 0.1 0.2 -0.0 0.2 -0.1 0.2 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.0 0.2 0.8 0.1 0.1 0.0 0.1 0.0 0.1 -0.1 0.4 0.5 0.3 0.2 -0.6 -0.6 0.6 -0.1 SMI 0.6 0.4 0.6 0.1 0.0 0.2 0.1 0.2 0.1 0.1 0.5 0.2 0.4 0.2 0.2 0.1 0.1 0.2 0.1 0.2 0.2 0.2 0.3 0.2 2.0 0.1 0.1 0.2 0.1 0.1 0.1 1.1 0.5 0.5 -0.4 -0.2 0.3 -0.2 0.7 -0.3 SOFR 0.1 -0.4 0.2 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.0 0.0 0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.3 -0.0 -0.1 0.0 -0.0 0.0 -0.0 0.1 0.0 0.0 0.1 0.1 -0.7 -0.7 -0.0 -0.1 SOYBEAN 0.6 -0.2 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.2 -0.4 0.2 -0.2 0.0 -0.2 0.1 0.3 0.1 0.2 -0.2 -0.2 0.2 -0.4 0.1 -2.7 -0.0 0.1 -0.1 0.1 -0.1 0.0 1.1 0.5 0.4 -0.6 -0.6 -0.3 -0.7 -0.2 -0.7 SOYMEAL 0.3 -0.5 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 -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 -0.2 0.0 -0.1 -0.0 0.8 0.1 -0.2 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 0.1 -0.5 0.0 0.0 0.0 0.0 -0.1 0.0 0.2 -0.5 0.2 -0.5 0.1 -0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.2 0.2 -0.5 0.2 -2.7 0.0 0.2 -0.1 0.2 -0.1 0.1 0.2 0.5 0.6 -0.2 -0.2 -0.5 -0.3 -0.4 0.2 SP400 0.5 0.4 0.6 0.1 0.0 0.1 0.0 0.1 0.1 -0.1 0.5 0.1 0.5 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.1 0.4 0.2 -1.7 0.1 -0.0 0.2 0.0 0.1 0.1 0.0 -0.1 -0.0 -0.2 0.0 -0.5 -0.3 -0.4 -0.7 SP500_micro 0.1 0.4 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.3 0.1 -0.5 -0.4 -0.2 0.2 0.5 0.1 -0.1 0.5 -0.2 SUGAR11 -0.2 -0.0 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.2 0.0 0.2 -0.0 -0.1 0.2 0.4 0.3 0.3 -0.1 -0.1 0.0 0.0 -0.0 -2.7 -0.0 0.0 -0.1 0.0 0.0 -0.0 1.1 0.0 -0.3 -0.3 -0.6 0.6 0.1 0.7 0.4 US10 0.1 -0.4 0.3 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 -0.1 -0.1 -0.0 0.3 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.7 0.0 0.0 0.1 0.1 -0.7 -0.7 -0.5 0.3 US10U 0.1 -0.3 0.3 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 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 -0.1 -0.1 -0.2 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.0 -0.1 -0.2 -0.1 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 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 -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 -0.1 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 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 -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 -0.1 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 -0.5 0.2 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 -0.1 -0.1 -0.1 0.6 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.8 -0.0 -0.1 -0.1 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 -0.9 -0.1 0.2 -0.9 0.0 -1.2 -0.2 -0.3 -0.6 -0.6 -0.6 -0.6 -0.2 -0.3 0.0 -0.9 -0.1 NaN -0.1 0.1 -0.6 0.0 -1.1 -0.0 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.0 -0.3 -0.2 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 -0.5 -0.0 -0.7 -0.1 -0.2 -0.3 -0.2 -0.3 -0.2 -0.2 -0.2 -0.1 -0.5 -0.2 0.1 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.9 -0.4 -0.6 -0.6 -0.6 -0.4 -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 6.9 -6.6 3.2 0.8 -2.7 2.2 1.9 3.6 1.9 1.4 -3.4 8.8 -10.3 6.9 -8.2 -2.8 -2.9 -2.8 -2.8 -1.1 -2.1 3.9 -5.2 3.2 2.8 -0.4 -4.1 -0.8 2.4 -1.9 2.1 -1.2 4.8 1.3 -3.3 -6.1 -20.0 -10.7 -11.3 -0.5 BITCOIN 16.8 18.0 11.3 3.5 8.0 -0.2 10.7 -0.9 8.7 3.5 20.0 18.3 20.0 20.0 20.0 -10.1 -7.2 -9.1 -8.4 20.0 20.0 20.0 20.0 20.0 -20.0 8.4 0.9 6.6 6.0 4.8 8.9 -3.0 3.0 20.0 20.0 20.0 -5.8 0.8 16.3 4.7 BOBL -3.3 -20.0 3.8 -0.8 -6.2 0.1 -3.2 -0.8 -1.6 -8.2 -0.9 -5.0 -1.8 -7.6 -6.4 -2.0 -14.9 -18.3 -18.8 -6.2 -2.4 -6.6 -2.8 -6.5 6.7 -1.9 -4.5 -0.6 -2.5 -0.5 -2.1 -20.0 5.1 -4.5 -3.3 -4.3 -20.0 -20.0 3.3 -20.0 BTP 8.6 -4.0 16.5 -1.3 -10.4 0.1 -5.5 -1.4 -2.7 3.6 11.3 9.9 10.4 9.3 9.2 4.6 6.3 4.8 5.2 11.3 13.4 9.0 10.0 11.3 -18.3 4.8 -1.2 5.3 4.1 4.1 5.2 11.5 20.0 20.0 20.0 11.9 -11.9 -16.4 19.9 2.9 BUND -0.7 -14.4 8.3 -0.8 -6.9 0.1 -3.6 -0.9 -1.8 -8.9 1.1 -3.8 -0.8 -7.1 -3.9 -6.1 3.0 -0.9 0.8 -3.1 0.2 -5.5 -1.8 -4.0 4.2 -1.2 -5.9 0.3 -2.8 -0.1 -1.6 4.9 7.1 -1.5 1.3 -1.4 -17.7 -20.0 10.5 -11.4 BUXL 2.2 -8.9 11.4 -1.1 -8.6 0.1 -4.5 -1.1 -2.2 -11.0 2.7 -2.3 -4.1 -5.7 -2.5 -6.7 -0.6 -3.4 -1.7 -0.6 1.5 -5.0 -3.6 -1.8 0.1 0.1 -7.5 1.2 -2.9 -0.5 -0.7 0.0 9.8 2.0 5.4 2.0 -20.0 -20.0 4.9 1.2 CAC 20.0 20.0 18.5 8.5 3.3 7.1 6.0 4.7 7.9 20.0 20.0 20.0 20.0 20.0 20.0 10.0 -3.8 -0.6 -3.6 20.0 20.0 20.0 20.0 20.0 -11.1 9.3 9.3 7.2 10.0 5.2 10.1 3.4 20.0 20.0 13.7 -0.3 -4.4 15.3 -1.1 20.0 CAD -1.8 -6.6 6.4 0.9 -3.1 2.6 2.2 4.1 2.1 -3.7 -1.8 2.0 -4.2 -8.7 -7.4 -2.2 -2.2 -2.1 -2.1 -3.4 -1.6 -2.5 -3.9 -3.2 -0.1 -2.1 -6.1 -1.1 -1.5 -2.1 -1.9 0.0 -3.9 -15.7 -4.5 -0.7 -15.5 -14.4 -0.2 -12.5 CANOLA 20.0 2.1 -20.0 2.0 1.5 0.7 2.6 -1.5 2.3 11.1 -11.6 12.0 -11.1 1.7 -8.6 -15.3 -4.9 -13.5 -10.8 -9.3 -20.0 19.4 -20.0 7.4 -20.0 -2.6 6.1 -5.4 5.2 -5.8 1.8 -11.4 20.0 15.1 -17.0 -20.0 -20.0 -20.0 -17.7 -7.9 CHF -2.3 -20.0 -2.1 0.8 -2.8 2.3 2.0 3.7 1.9 -15.6 -4.0 -7.8 2.0 -18.6 -16.8 -15.6 -15.6 -15.6 -15.7 -15.0 -7.1 -9.4 1.1 -13.6 -4.6 -4.2 -5.9 -0.9 -3.8 1.4 -4.7 -20.0 -13.6 -17.6 -20.0 -2.5 -16.6 -16.6 -6.2 -17.5 COCOA -5.8 0.9 -15.2 1.2 0.9 0.5 1.6 -0.9 1.4 7.0 8.1 7.6 8.1 7.8 7.9 20.0 11.5 20.0 20.0 17.8 14.0 20.0 9.9 19.6 -11.3 2.8 3.0 2.8 2.4 2.4 2.5 20.0 20.0 20.0 20.0 20.0 9.4 2.1 18.6 17.6 COFFEE -5.1 -3.8 10.1 3.1 2.4 1.1 4.0 -2.3 3.5 -14.4 10.1 -3.6 7.0 0.3 3.9 16.0 8.3 15.1 11.6 3.7 8.7 -2.3 6.5 -0.3 -20.0 1.7 -2.9 5.0 -1.0 5.2 -0.1 18.8 -7.4 -5.8 -5.2 11.2 -9.3 -20.0 -2.5 -13.2 COPPER 14.3 4.6 7.3 3.2 7.3 -0.2 9.8 -0.8 8.0 19.8 5.9 20.0 -5.4 19.4 13.4 -4.7 -4.9 -5.4 -5.5 13.8 6.3 20.0 0.2 20.0 -14.1 4.6 20.0 1.8 15.9 0.1 9.5 1.3 20.0 10.9 3.7 11.4 -20.0 -2.2 11.9 5.2 CORN 19.6 1.8 -7.2 3.4 2.7 1.3 4.5 -2.6 4.0 13.6 -19.1 17.1 -20.0 2.6 -13.2 -18.8 -7.2 -16.4 -12.8 -14.5 -20.0 10.0 -20.0 0.8 -18.4 -5.9 2.1 -7.6 2.7 -7.0 -1.1 -14.9 11.9 -2.3 -20.0 -20.0 -5.9 -20.0 -4.1 -0.3 COTTON2 -13.2 20.0 16.7 1.9 1.5 0.7 2.5 -1.4 2.2 -9.3 5.7 -4.6 3.3 4.3 7.2 4.7 -0.6 0.1 -1.8 10.0 7.8 -2.6 2.9 5.2 -20.0 3.8 -0.8 3.0 0.2 1.6 2.5 -0.5 -16.2 15.5 20.0 20.0 -15.0 -13.5 -6.2 1.1 CRUDE_W 5.7 5.9 -1.3 5.3 14.4 3.4 9.9 3.3 6.8 20.0 0.1 20.0 8.8 20.0 15.7 12.7 10.0 10.6 9.9 10.0 6.9 20.0 10.7 16.1 -5.1 6.9 18.6 5.0 13.7 6.8 10.0 -1.1 3.2 15.2 -1.5 -1.1 20.0 19.8 20.0 20.0 DAX 20.0 16.3 20.0 8.2 3.2 6.8 5.8 4.5 7.6 20.0 20.0 20.0 20.0 20.0 20.0 -13.4 -11.6 -14.5 -13.5 20.0 20.0 20.0 20.0 20.0 17.9 9.0 4.6 7.4 7.5 5.2 9.2 -11.2 3.9 20.0 6.8 6.6 -4.1 13.6 3.2 20.0 DOW -5.7 -2.6 20.0 6.9 2.7 5.8 4.9 3.8 6.4 -6.4 20.0 -0.4 20.0 13.5 20.0 -13.6 -10.9 -13.2 -12.3 20.0 20.0 -0.5 20.0 7.6 -15.5 7.1 -3.1 10.4 -0.5 9.6 2.3 -9.8 -20.0 -20.0 -18.8 7.8 -6.2 -5.7 1.0 -14.1 DX -12.6 6.1 -2.5 1.0 -0.0 2.5 4.3 4.0 2.7 -1.8 2.8 -13.6 0.4 -9.8 4.8 6.9 6.2 6.5 6.4 -1.7 1.2 -11.8 3.5 -9.6 -20.0 -2.0 2.6 -0.5 -6.3 1.6 -5.6 14.6 -20.0 -20.0 12.9 -20.0 16.4 2.9 20.0 9.2 EUR 11.9 -3.3 1.2 0.9 -3.1 2.6 2.2 4.1 2.1 -5.1 -1.6 12.3 0.0 12.1 -5.1 -6.9 -6.7 -6.6 -6.4 2.5 -0.6 6.3 -2.1 8.1 19.9 2.9 -3.8 1.4 3.6 0.2 5.2 -7.5 5.2 12.6 2.3 -5.6 -20.0 -16.0 -20.0 -12.4 EURIBOR-ICE -2.3 -20.0 12.3 -0.7 -5.5 0.1 -2.9 -0.7 -1.4 -6.8 3.5 -2.0 3.0 -4.6 -0.5 -3.1 -3.8 -1.3 -2.1 -1.0 4.2 -4.1 3.8 -2.6 14.3 -0.1 -4.7 1.8 -1.6 1.7 -0.8 -3.6 7.5 0.1 0.4 3.2 -20.0 -20.0 8.4 20.0 EUROSTX 13.9 20.0 20.0 8.1 3.1 6.7 5.7 4.5 7.5 19.9 20.0 20.0 20.0 20.0 20.0 3.2 2.3 6.3 4.4 20.0 20.0 20.0 20.0 20.0 0.8 9.1 3.8 7.7 6.2 5.7 8.3 15.6 11.5 14.8 20.0 9.8 -9.8 16.3 -7.8 20.0 FEEDCOW -8.7 20.0 12.9 3.9 3.0 1.5 5.1 -3.0 4.5 -15.2 2.6 -7.4 1.8 18.9 20.0 -20.0 -20.0 -20.0 -20.0 20.0 14.7 -3.6 7.9 12.0 -7.9 5.0 -4.5 4.0 -2.3 4.8 1.6 -20.0 -20.0 -9.7 20.0 19.8 20.0 15.1 20.0 20.0 GASOIL -5.2 9.6 1.5 4.3 11.5 2.7 7.9 2.6 5.4 16.3 7.1 7.9 11.0 11.7 13.4 20.0 20.0 20.0 20.0 10.2 10.5 11.9 12.9 8.6 7.3 4.7 11.7 5.2 5.9 6.1 4.0 20.0 -7.2 -8.2 3.4 5.2 -11.1 -7.4 -20.0 -13.9 GASOLINE 3.7 12.1 5.1 4.8 13.0 3.1 9.0 3.0 6.1 20.0 5.4 18.5 10.5 19.5 19.4 13.6 8.5 -1.1 -0.6 16.8 11.8 20.0 10.8 19.9 -20.0 7.2 13.4 5.1 10.4 5.4 8.3 -9.7 0.4 18.7 11.3 14.7 20.0 16.2 19.8 15.2 GAS_US_mini 9.9 -5.4 -9.0 2.0 5.4 1.3 3.7 1.2 2.5 -7.0 -9.4 -6.0 -10.3 -7.7 -8.8 -20.0 -20.0 -14.6 -15.9 -10.3 -14.7 -5.6 -19.2 -6.5 18.0 -3.5 -1.8 -4.0 -2.2 -3.6 -2.6 -20.0 -18.8 -6.4 -20.0 -19.2 -13.8 -1.3 -20.0 -6.2 GBP 8.9 -2.1 7.4 1.0 -3.3 2.7 2.4 4.4 2.3 -6.2 10.4 9.5 10.5 12.6 15.6 -0.8 -0.6 -0.6 -0.5 10.4 9.7 7.9 8.1 12.1 2.5 7.0 -4.0 6.3 5.1 4.2 7.8 2.8 12.2 13.7 12.2 10.5 -20.0 -6.0 -20.0 1.7 GOLD_micro 20.0 9.8 8.1 3.0 7.0 -0.2 9.3 -0.8 7.6 5.9 14.8 16.3 10.2 16.7 13.1 -15.7 -14.7 -15.5 -15.2 20.0 14.6 20.0 9.0 20.0 -3.7 5.7 1.6 3.4 6.9 2.2 8.1 -15.3 18.5 20.0 18.7 20.0 -20.0 -20.0 -20.0 -14.7 HEATOIL -2.8 6.6 -0.4 4.6 12.4 2.9 8.6 2.9 5.9 19.7 0.9 13.5 7.5 7.2 10.7 20.0 20.0 20.0 20.0 6.9 6.1 16.1 9.3 9.0 -20.0 6.0 12.6 5.8 8.6 7.6 6.2 20.0 -4.4 3.4 2.4 7.5 18.5 4.9 15.1 1.5 JGB-SGX-mini -4.2 -7.0 11.3 -0.5 -5.8 0.2 -2.1 -0.8 -0.9 -8.7 4.8 -7.2 6.3 -7.0 1.8 12.7 16.3 12.4 13.0 -0.1 3.3 -5.7 4.1 -3.7 -6.0 -0.5 -3.8 0.7 -3.1 0.5 -2.0 20.0 -5.8 -3.3 -0.8 0.1 -7.0 -20.0 2.1 9.9 JPY 11.3 -7.6 -5.2 0.6 -2.1 1.7 1.5 2.7 1.4 -2.1 -14.2 2.6 -15.7 -5.1 -12.9 -16.9 -16.3 -16.5 -16.5 -8.5 -13.7 2.2 -20.0 -0.7 20.0 -2.4 -3.7 -4.5 1.4 -7.3 0.6 -20.0 3.9 -0.3 -7.4 -7.8 -20.0 -13.3 -15.6 -15.3 LEANHOG 12.7 20.0 13.7 4.2 3.2 1.6 5.6 -3.2 4.9 16.5 11.2 20.0 -11.4 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 14.1 17.3 -8.0 20.0 17.5 9.2 3.3 6.8 4.6 0.1 7.3 -20.0 -5.5 20.0 20.0 20.0 -5.2 -8.1 9.2 13.7 LIVECOW -1.5 20.0 8.0 3.8 2.9 1.4 5.0 -2.9 4.4 -8.8 4.5 7.0 2.9 20.0 20.0 20.0 -2.4 8.5 0.4 20.0 12.0 7.1 5.8 18.5 -5.4 6.4 -0.5 3.9 2.3 3.9 5.3 -0.2 -6.4 8.7 20.0 14.6 20.0 5.8 20.0 15.8 LUMBER-new 14.8 8.4 14.5 4.2 3.2 1.6 5.5 -2.3 4.8 -12.4 14.2 16.7 -11.3 20.0 20.0 -16.3 -15.3 -16.3 -15.7 20.0 15.0 14.3 3.1 20.0 NaN 8.7 -2.9 6.2 4.9 2.9 9.0 -20.0 7.4 20.0 20.0 20.0 -11.0 -19.1 -7.8 -12.5 MILK -15.6 13.6 3.9 2.2 1.7 0.8 2.9 -1.7 2.6 -7.9 -12.2 -11.3 -13.5 -10.2 -10.9 -20.0 -20.0 -20.0 -20.0 -11.9 -14.4 -13.2 -20.0 -14.1 11.1 -3.5 -2.3 -4.2 -4.1 -6.1 -4.4 -20.0 -20.0 -20.0 -8.1 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 13.0 8.7 13.8 1.0 -3.3 2.7 2.3 4.3 2.2 20.0 20.0 20.0 20.0 20.0 20.0 18.4 16.9 17.3 16.5 20.0 20.0 20.0 20.0 20.0 -20.0 8.9 10.0 8.1 12.7 10.3 11.4 20.0 20.0 20.0 20.0 14.4 20.0 20.0 20.0 20.0 NASDAQ_micro -5.9 0.7 10.6 4.8 1.9 4.0 3.4 2.7 4.4 -11.2 14.5 2.0 14.6 8.8 13.2 -10.9 -10.1 -11.3 -10.9 16.0 20.0 -2.2 20.0 6.9 -20.0 5.3 -3.1 6.9 -0.5 7.1 2.3 -7.9 -20.0 -15.3 -3.9 7.8 10.5 -2.5 16.9 -5.4 NIKKEI -14.8 11.7 14.7 5.6 2.2 4.7 4.0 3.1 5.2 -11.4 16.3 -5.8 16.9 8.9 14.5 5.4 11.9 10.7 11.7 20.0 20.0 -4.2 20.0 12.9 -14.1 5.8 -1.3 6.2 -0.4 5.3 3.0 20.0 -20.0 -12.8 10.3 17.5 -20.0 -5.8 -8.7 -5.1 NZD -0.7 -5.0 6.6 0.7 -2.2 1.8 1.6 2.9 1.5 -9.3 3.8 -3.7 -0.2 0.0 -2.3 0.3 0.3 0.3 0.3 0.6 2.2 -3.7 0.1 -0.7 -0.0 0.2 -8.6 1.6 -2.8 1.0 -0.8 4.2 -7.2 -6.6 -1.1 0.9 -8.3 -9.3 -1.3 3.9 OAT 1.7 -11.7 11.1 -0.9 -7.4 0.1 -3.9 -1.0 -1.9 -8.8 3.0 -0.8 0.7 -4.7 -1.4 3.9 6.1 4.4 4.9 -0.2 3.0 -2.8 0.5 -1.1 5.0 0.1 -5.4 1.6 -1.6 0.8 -0.3 11.2 12.8 2.4 4.8 1.7 -19.3 -20.0 11.3 3.5 OATIES 3.4 4.7 -9.3 2.5 1.9 0.9 3.3 -1.9 2.9 4.8 -13.6 5.4 -11.3 2.7 -3.2 10.6 -1.8 6.7 1.3 -3.6 -10.1 1.9 -10.8 0.5 -20.0 -0.8 0.3 -3.5 1.1 -4.2 0.4 0.2 -13.4 -6.9 -4.5 -5.1 -9.9 1.2 -0.6 13.3 OJ -2.3 12.9 -20.0 2.3 1.8 0.9 3.1 -1.8 2.7 6.0 7.1 -1.2 10.8 9.2 3.9 7.2 15.1 8.0 11.3 7.7 11.2 2.4 19.6 4.9 -20.0 2.4 2.7 5.4 0.6 11.0 1.1 20.0 0.4 -4.7 20.0 -6.8 10.4 9.4 16.0 20.0 PALLAD 19.2 13.2 0.3 1.2 2.8 -0.1 3.7 -0.3 3.0 7.6 -4.7 8.0 -7.8 6.7 -2.3 -1.8 -2.1 -1.9 -2.0 1.0 -4.6 9.5 -9.7 6.6 9.7 0.7 4.1 -1.6 4.3 -3.3 3.0 6.9 2.2 -2.1 -2.4 -0.6 -18.4 -10.3 -13.7 -5.9 PLAT 10.3 -0.5 0.6 1.8 4.1 -0.1 5.5 -0.5 4.5 9.4 -4.6 9.6 -7.8 5.7 -5.3 -4.1 -3.3 -4.0 -3.8 0.0 -2.7 9.1 -3.7 5.1 10.0 0.8 5.4 -0.6 6.0 -0.8 3.7 4.3 -5.0 -9.4 -6.6 1.0 -13.4 -4.4 20.0 7.4 REDWHEAT 9.1 -0.6 -8.9 2.7 2.1 1.0 3.5 -2.0 3.1 -1.8 -16.5 1.7 -16.8 -8.4 -12.5 9.5 0.9 5.2 2.1 -13.1 -19.8 -2.1 -20.0 -6.1 -8.1 -5.3 -2.7 -6.1 -1.3 -6.0 -3.3 4.3 -6.0 -15.7 -20.0 -20.0 -14.4 -20.0 -9.6 -20.0 RICE -18.6 -1.3 8.9 3.3 2.6 1.2 4.4 -2.5 3.8 -17.1 13.5 -19.0 15.9 -8.2 4.4 -10.1 -3.5 -11.0 -9.3 3.9 15.0 -13.2 16.5 -9.6 -19.5 1.1 -3.8 4.7 -5.7 5.1 -3.9 -8.3 -20.0 -20.0 2.2 3.1 6.1 -4.1 13.5 5.2 ROBUSTA -7.6 -0.9 20.0 2.5 1.9 0.9 3.3 -1.9 2.9 3.3 15.2 8.1 15.7 10.6 14.5 18.8 20.0 20.0 20.0 20.0 20.0 13.4 20.0 17.9 -20.0 5.8 1.9 7.5 3.3 7.5 4.2 20.0 20.0 15.6 20.0 20.0 -20.0 -17.9 -11.4 1.3 RUSSELL 6.0 4.7 17.8 4.6 1.8 3.8 3.3 2.6 4.3 -9.8 11.1 3.1 7.8 9.5 11.8 -6.4 -6.3 -6.4 -6.4 10.2 10.5 -1.1 6.2 6.1 -2.1 4.6 -3.9 4.7 -0.7 3.2 2.6 -0.7 -20.0 -16.7 -14.0 -4.9 -16.7 -18.7 -17.6 -20.0 SHATZ -7.6 -20.0 -2.6 -0.7 -5.3 0.1 -2.8 -0.7 -1.4 -7.3 -5.7 -6.4 -6.4 -7.7 -7.6 -20.0 -20.0 -20.0 -20.0 -10.2 -6.8 -7.7 -7.0 -9.5 8.1 -2.2 -2.8 -1.2 -2.0 -1.2 -2.2 -20.0 2.9 -8.1 -9.0 -6.5 -20.0 -20.0 -8.2 -20.0 SILVER-mini 20.0 8.4 -1.9 3.0 6.9 -0.2 9.1 -0.8 7.4 18.0 -0.4 19.7 -3.1 17.7 -0.5 -7.0 -6.7 -7.0 -6.9 11.1 1.1 20.0 -1.8 20.0 5.7 5.0 9.8 1.6 10.6 0.4 9.0 -1.3 18.4 15.0 10.0 6.2 -18.7 -18.6 19.0 -1.8 SMI 18.2 12.1 18.3 7.6 3.0 6.4 5.4 4.2 7.1 16.5 20.0 20.0 11.5 20.0 20.0 3.8 5.9 7.7 7.2 20.0 20.0 20.0 10.0 20.0 15.1 8.0 6.1 5.8 10.2 3.0 9.8 20.0 20.0 16.8 -12.0 -6.6 10.2 -5.0 19.7 -9.0 SOFR 3.3 -13.5 7.4 -0.9 -7.1 0.1 -3.7 -0.9 -1.8 -9.0 3.7 -3.4 -0.1 -5.3 -2.6 -0.4 0.2 0.5 0.5 -2.1 -0.1 -6.9 -1.5 -3.1 -2.5 -0.2 -7.8 1.0 -3.5 0.3 -1.4 2.3 0.3 0.9 1.7 1.9 -20.0 -20.0 -1.0 -2.3 SOYBEAN 19.6 -7.4 -20.0 3.4 2.6 1.3 4.5 -2.6 3.9 19.4 -16.4 19.4 -5.7 2.6 -14.8 4.8 13.6 7.5 9.9 -14.2 -20.0 20.0 -16.3 8.1 -20.0 -3.6 8.7 -5.0 8.5 -3.1 2.6 20.0 20.0 11.6 -20.0 -20.0 -7.8 -20.0 -7.0 -20.0 SOYMEAL 8.5 -16.9 -20.0 2.8 2.2 1.0 3.7 -2.1 3.2 1.9 -16.6 6.7 -11.5 -9.9 -16.5 -7.3 9.6 -1.9 3.7 -20.0 -20.0 2.6 -15.3 -7.8 -20.0 -5.4 0.1 -5.7 0.9 -2.6 -1.8 14.4 3.8 -7.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 17.0 4.6 -14.4 3.1 2.4 1.1 4.1 -2.3 3.6 17.4 -16.9 15.5 -14.3 6.8 -10.2 -7.5 2.7 -5.5 -1.9 -5.4 -18.1 20.0 -19.6 14.1 -20.0 1.0 18.4 -2.6 14.5 -3.6 7.3 3.2 20.0 19.4 -4.8 -5.9 -15.0 -7.9 -10.8 5.5 SP400 16.0 13.7 20.0 5.9 2.3 4.9 4.2 3.3 5.5 -7.0 17.2 12.4 13.8 15.9 17.9 -5.4 -5.4 -5.8 -5.6 20.0 20.0 11.2 14.7 20.0 -13.0 6.5 -1.3 5.7 2.6 4.0 5.5 0.7 -5.7 -1.4 -5.5 0.6 -15.2 -8.6 -13.0 -20.0 SP500_micro 3.9 11.2 20.0 6.6 2.5 5.5 4.6 3.7 6.1 0.3 20.0 14.3 19.7 18.4 20.0 -12.9 -11.4 -12.9 -12.3 20.0 20.0 10.7 20.0 20.0 -20.0 7.7 -0.8 8.3 2.3 7.1 5.1 -10.1 -16.2 -5.1 7.7 16.1 3.9 -3.1 16.3 -6.5 SUGAR11 -7.1 -0.4 -17.2 2.3 1.8 0.9 3.1 -1.8 2.7 12.0 -6.1 1.5 4.8 -4.5 -6.6 9.5 18.0 14.6 17.0 -7.2 -7.0 1.6 0.4 -4.5 -20.0 -3.6 3.3 -3.9 1.0 0.2 -1.8 20.0 1.8 -10.4 -8.3 -20.0 18.5 1.9 20.0 13.2 US10 2.6 -11.2 8.4 -0.7 -6.1 0.1 -3.2 -0.8 -1.6 -7.9 2.0 -3.2 -2.8 -5.3 -2.0 -7.9 -8.0 -8.5 -8.4 -2.1 -1.3 -5.7 -4.8 -2.8 2.1 -0.2 -6.1 0.5 -2.8 -0.8 -1.1 -12.6 1.3 0.5 1.8 2.0 -20.0 -20.0 -15.0 9.0 US10U 3.2 -9.7 8.7 -1.1 -8.8 0.1 -4.6 -1.1 -2.3 -11.3 2.3 -4.1 -3.9 -7.8 -3.1 -3.4 -0.2 -1.4 -0.5 -2.7 -2.2 -7.6 -7.5 -3.7 -0.7 0.1 -8.5 0.7 -3.9 -1.3 -1.3 1.2 2.5 1.9 4.7 3.5 -20.0 -20.0 11.5 20.0 US2 -5.4 -19.8 2.5 -0.7 -5.3 0.1 -2.8 -0.7 -1.4 -7.4 -2.1 -5.6 -5.8 -7.0 -5.7 -20.0 -20.0 -20.0 -20.0 -6.1 -4.1 -8.7 -7.0 -7.2 10.0 -1.5 -4.9 -0.3 -3.2 -1.1 -2.4 -20.0 -5.2 -6.3 -6.7 -1.1 -20.0 -20.0 -17.6 -20.0 US20 5.9 -6.5 12.0 -0.8 -6.3 0.1 -3.3 -0.8 -1.6 -7.9 2.9 -0.6 -1.6 -3.0 0.2 -0.1 -0.8 -0.1 -0.5 0.2 0.1 -4.2 -4.4 -0.6 -1.3 1.2 -6.4 1.4 -2.3 -0.7 0.1 0.5 3.9 4.7 6.8 5.9 -20.0 -20.0 20.0 20.0 US30 7.0 -3.8 10.0 -0.9 -7.6 0.1 -4.0 -1.0 -2.0 -9.7 2.4 -0.8 -3.3 -2.8 -0.8 -7.1 -5.9 -7.7 -7.0 0.2 -0.6 -5.1 -6.3 -0.6 -0.6 1.7 -8.1 1.5 -3.2 -1.4 0.2 -9.4 3.4 6.6 9.9 5.4 -14.1 -18.1 20.0 20.0 US5 -0.2 -15.3 6.2 -0.7 -6.0 0.1 -3.1 -0.8 -1.5 -8.0 1.2 -4.3 -3.6 -6.4 -3.8 -8.5 -10.0 -9.3 -9.8 -3.8 -2.2 -7.1 -4.8 -4.7 4.6 -0.9 -6.4 0.2 -3.4 -0.7 -1.9 -15.7 -1.4 -2.3 -1.9 0.6 -20.0 -20.0 -20.0 -7.0 VIX 4.2 7.3 -3.7 -7.2 4.9 -11.1 0.9 -15.5 -2.9 15.4 -20.0 0.2 -20.0 -8.9 -20.0 -20.0 -20.0 -20.0 -20.0 -13.4 -20.0 2.7 -20.0 -3.0 NaN -8.1 5.8 -13.5 1.4 -19.4 -2.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -1.1 -10.7 -5.9 2.9 2.3 1.1 3.9 -2.2 3.4 1.0 -18.0 -4.6 -18.5 -13.2 -14.9 -14.0 -11.3 -12.7 -12.0 -19.1 -20.0 -6.8 -20.0 -14.3 0.4 -6.0 -1.3 -5.2 -2.3 -4.6 -5.0 -17.8 -16.9 -20.0 -20.0 -20.0 -13.1 -20.0 -9.0 -20.0 End of report for caleb_strategy_v3