******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240318_204014 produced at 2024-03-18 21:37:33.125157 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.74 0.0 0.00 0.00 0.00 0.00 -10.30 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.09 -0.32 0.0 0.09 -0.09 -0.09 -0.08 -63.44 17.0 -17 -16 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.32 0.0 0.00 0.00 0.00 0.00 -9.19 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.28 0.0 0.00 0.00 0.00 0.00 -4.52 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.42 -0.19 0.0 0.55 -0.55 -0.42 -0.47 -4.52 13.0 -10 -11 caleb_strategy_v3 US5 False False 0.03 -0.25 -0.09 0.0 0.79 -0.79 -0.25 -0.25 -2.70 25.0 -8 -8 caleb_strategy_v3 BOBL False False 0.04 -0.50 -0.09 0.0 0.73 -0.73 -0.50 -0.50 -2.24 19.0 -13 -13 caleb_strategy_v3 CAD False False 0.02 0.00 -0.08 0.0 0.64 -0.64 0.00 0.00 -3.47 29.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.08 0.0 0.43 -0.43 -0.03 0.00 -3.04 17.0 -1 0 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.07 0.0 0.08 -0.08 -0.07 -0.07 -10.10 12.0 -10 -10 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.14 -0.14 -0.02 -0.02 -22.45 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 -5.09 5.0 0 0 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.02 -0.04 0.0 0.00 -0.02 -0.02 -0.02 -32.59 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 -1.28 17.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.04 -0.03 0.0 0.21 -0.21 -0.04 -0.02 -8.58 68.0 -13 -5 caleb_strategy_v3 RICE False False 0.01 0.00 -0.03 0.0 0.04 -0.04 0.00 0.00 -2.91 4.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.03 0.0 0.37 -0.37 0.00 0.00 -1.63 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 -3.28 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 -5.23 66.0 0 0 caleb_strategy_v3 DX False False 0.03 0.00 -0.02 0.0 999.00 -999.00 0.00 0.00 -0.68 999999999.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.07 -0.07 -0.02 -0.02 -2.09 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 -2.43 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.02 0.0 0.12 -0.12 -0.04 -0.04 -0.94 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 -4.63 2.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.01 -0.01 0.0 0.25 -0.25 0.01 -0.01 -1.00 23.0 1 -1 caleb_strategy_v3 US10U False False 0.03 -0.07 -0.01 0.0 0.44 -0.44 -0.07 -0.03 -0.37 13.0 -2 -1 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.01 0.0 0.17 -0.17 0.00 0.00 -0.16 4.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.07 -0.01 0.0 0.38 -0.38 0.07 0.04 -0.80 21.0 4 2 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.01 0.0 0.43 -0.43 -0.04 -0.04 -0.34 10.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.05 -0.01 0.0 0.09 -0.09 -0.05 -0.04 -0.91 10.0 -6 -5 caleb_strategy_v3 SP400 False False 0.09 0.18 0.00 0.0 0.18 -0.18 0.18 0.18 0.05 2.0 2 2 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.00 0.0 0.16 -0.16 -0.03 -0.03 -0.16 11.0 -2 -2 caleb_strategy_v3 US30 False False 0.04 0.04 -0.00 0.0 0.23 -0.23 0.04 0.00 -0.08 6.0 1 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 0.00 0.0 0.06 -0.06 0.00 0.00 0.06 2.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.00 0.0 0.13 -0.13 -0.01 -0.01 -0.21 18.0 -1 -1 caleb_strategy_v3 EUR False False 0.04 0.16 0.00 0.0 0.57 -0.57 0.16 0.16 0.09 14.0 4 4 caleb_strategy_v3 US20 False False 0.04 0.04 0.00 0.0 0.32 -0.32 0.04 0.04 0.03 9.0 1 1 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.12 -0.12 0.00 0.00 -0.19 6.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.23 -0.23 0.01 0.00 1.49 23.0 1 0 caleb_strategy_v3 PLAT False False 0.01 0.00 0.01 0.0 0.14 -0.14 0.00 0.00 0.54 10.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.68 3.0 0 0 caleb_strategy_v3 LUMBER-new False True 0.00 0.00 0.01 0.0 0.00 0.00 0.00 0.00 1.45 3.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.02 0.0 0.37 -0.37 0.00 0.00 3.69 56.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.11 0.02 0.0 0.59 -0.59 0.11 0.09 1.09 26.0 5 4 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.03 0.0 0.00 -0.00 0.00 0.00 1.63 0.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.16 0.03 0.0 0.37 -0.37 0.16 0.15 3.47 48.0 21 19 caleb_strategy_v3 OAT False False 0.04 0.00 0.03 0.0 0.41 -0.41 0.00 0.00 0.71 10.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.24 0.04 0.0 0.32 -0.32 0.24 0.24 1.02 8.0 6 6 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.05 0.0 0.00 0.00 0.00 0.00 26.17 59.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.05 0.06 0.0 0.10 -0.10 0.05 0.07 2.34 4.0 2 3 caleb_strategy_v3 GASOLINE False False 0.03 0.14 0.06 0.0 0.14 -0.14 0.14 0.14 1.85 4.0 4 4 caleb_strategy_v3 GBP False False 0.02 0.12 0.06 0.0 0.52 -0.52 0.12 0.12 2.46 22.0 5 5 caleb_strategy_v3 HEATOIL False False 0.03 0.00 0.06 0.0 0.10 -0.10 0.00 0.03 1.64 3.0 0 1 caleb_strategy_v3 BTP False False 0.04 0.19 0.07 0.0 0.39 -0.39 0.19 0.19 1.86 10.0 5 5 caleb_strategy_v3 NIKKEI False False 0.01 0.16 0.08 0.0 0.28 -0.28 0.16 0.16 10.61 36.0 20 20 caleb_strategy_v3 COPPER False False 0.03 0.16 0.09 0.0 0.19 -0.19 0.16 0.16 2.83 6.0 5 5 caleb_strategy_v3 LIVECOW False False 0.02 0.02 0.11 0.0 0.38 -0.38 0.02 0.02 4.93 17.0 1 1 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.12 0.0 0.16 -0.16 0.07 0.07 9.68 13.0 6 6 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.20 0.15 0.0 0.47 -0.47 0.20 0.20 5.01 16.0 7 7 caleb_strategy_v3 EUROSTX False False 0.02 0.31 0.16 0.0 0.32 -0.32 0.31 0.32 10.12 20.0 19 20 caleb_strategy_v3 CAC False True 0.03 0.00 0.17 0.0 0.00 0.00 0.00 0.00 6.30 12.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.35 0.18 0.0 0.35 -0.35 0.35 0.35 4.73 9.0 9 9 caleb_strategy_v3 DAX False False 0.01 0.13 0.19 0.0 0.34 -0.34 0.13 0.13 31.99 58.0 22 22 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.16 0.23 0.0 0.79 -0.79 0.16 0.16 2.95 10.0 2 2 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.24 0.0 0.12 -0.12 0.05 0.09 10.56 5.0 2 4 caleb_strategy_v3 MXP False False 0.01 0.52 0.88 0.0 0.52 -0.52 0.52 0.52 100.77 60.0 60 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 26.2 Shocked risk 91.2 Sum abs risk 64.1 Leverage 5.97 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3348245.17, 'annual_cash_vol_target': 837061.2925, 'daily_cash_vol_target': 52316.33078125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0037 0.6574 0.5608 8.9727 BITCOIN 1837.3544 67970.0000 2.7032 43.2509 BOBL 0.2469 117.4000 0.2103 3.3644 BTP 0.5612 118.7700 0.4725 7.5598 BUND 0.4912 131.6800 0.3730 5.9680 BUXL 1.1713 131.8200 0.8885 14.2167 CAC 45.2003 8167.0000 0.5535 8.8552 CAD 0.0027 0.7396 0.3641 5.8250 CANOLA 6.4624 641.1000 1.0080 16.1283 CHF 0.0047 1.1365 0.4110 6.5754 COCOA 155.4469 7612.0000 2.0421 32.6741 COFFEE 3.1244 180.3500 1.7324 27.7186 COPPER 0.0412 4.1530 0.9915 15.8647 CORN 4.5015 471.0000 0.9557 15.2918 COTTON2 1.5959 94.5800 1.6873 26.9970 CRUDE_W 0.8614 77.2500 1.1151 17.8423 DAX 102.5313 18204.0000 0.5632 9.0118 DOW 198.3107 39210.0000 0.5058 8.0923 DX 0.3344 103.2550 0.3238 5.1810 EUR 0.0041 1.0910 0.3792 6.0675 EURIBOR-ICE 0.0472 97.5500 0.0484 0.7749 EUROSTX 32.3954 4937.0000 0.6562 10.4988 FEEDCOW 1.7113 269.6500 0.6346 10.1539 GASOIL 12.0743 831.7500 1.4517 23.2267 GASOLINE 0.0372 2.6993 1.3769 22.0308 GAS_US_mini 0.0847 1.8350 4.6144 73.8296 GBP 0.0052 1.2732 0.4087 6.5387 GOLD_micro 14.1747 2184.6000 0.6488 10.3816 HEATOIL 0.0382 2.7285 1.4007 22.4109 JGB-SGX-mini 0.2242 145.3300 0.1543 2.4688 JPY 0.0000 0.0068 0.5435 8.6953 LEANHOG 0.9542 102.9750 0.9266 14.8262 LIVECOW 1.2634 185.2500 0.6820 10.9118 LUMBER-new 6.1870 606.0000 1.0210 16.3352 MILK 0.2162 16.4700 1.3124 20.9983 MXP 0.0003 0.0586 0.5205 8.3282 NASDAQ_micro 146.4157 18231.7500 0.8031 12.8493 NIKKEI 390.6802 39400.0000 0.9916 15.8652 NZD 0.0037 0.6083 0.6022 9.6347 OAT 0.4899 127.3200 0.3848 6.1562 OATIES 5.5172 357.2500 1.5443 24.7095 OJ 6.6972 360.4500 1.8580 29.7282 PALLAD 28.7240 1041.5000 2.7579 44.1271 PLAT 15.7770 929.1000 1.6981 27.1694 REDWHEAT 10.0062 570.5000 1.7539 28.0629 RICE 0.1578 18.0150 0.8757 14.0115 ROBUSTA 43.1043 3349.0000 1.2871 20.5933 RUSSELL 21.8166 2048.7000 1.0649 17.0384 SHATZ 0.0824 105.5400 0.0780 1.2488 SILVER-mini 0.3330 25.4875 1.3065 20.9038 SMI 66.7329 11521.0000 0.5792 9.2677 SOFR 0.0657 96.2450 0.0682 1.0915 SOYBEAN 9.7383 1181.2500 0.8244 13.1906 SOYMEAL 4.0010 336.1000 1.1904 19.0469 SOYOIL 0.6216 49.3800 1.2588 20.1416 SP400 22.1419 2955.0000 0.7493 11.9888 SP500_micro 30.3385 5215.7500 0.5817 9.3067 SUGAR11 0.3375 21.8100 1.5473 24.7569 US10 0.3898 109.8594 0.3548 5.6768 US10U 0.5271 113.4062 0.4648 7.4367 US2 0.1057 102.1016 0.1035 1.6566 US20 0.7834 118.3438 0.6620 10.5919 US30 1.1664 126.2188 0.9241 14.7859 US5 0.2589 106.4375 0.2433 3.8922 VIX 0.4072 16.7500 2.4308 38.8921 WHEAT 8.4705 593.7500 1.4266 22.8258 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 657.45 0.56 368.70 1.00 368.70 52316.33 141.90 -4.44 -62.97 BITCOIN 67.97 2.70 183.74 1.00 183.74 52316.33 284.74 8.49 241.64 BOBL 1174.00 0.21 246.86 1.09 268.61 52316.33 194.77 -11.33 -220.75 BTP 1187.70 0.47 561.17 1.09 610.61 52316.33 85.68 6.37 54.60 BUND 1316.80 0.37 491.17 1.09 534.44 52316.33 97.89 -3.43 -33.54 BUXL 1318.20 0.89 1171.28 1.09 1274.47 52316.33 41.05 -3.82 -15.67 CAC 816.70 0.55 452.00 1.09 491.82 52316.33 106.37 17.38 184.84 CAD 739.65 0.36 269.28 1.00 269.28 52316.33 194.28 -6.88 -133.60 CANOLA 128.22 1.01 129.25 0.74 95.48 52316.33 547.90 -16.84 -922.68 CHF 1420.62 0.41 583.82 1.00 583.82 52316.33 89.61 -19.46 -174.35 COCOA 761.20 2.04 1554.47 1.00 1554.47 52316.33 33.66 15.15 51.00 COFFEE 676.31 1.73 1171.65 1.00 1171.65 52316.33 44.65 -3.57 -15.95 COPPER 1038.25 0.99 1029.47 1.00 1029.47 52316.33 50.82 5.15 26.16 CORN 235.50 0.96 225.08 1.00 225.08 52316.33 232.44 -17.87 -415.31 COTTON2 472.90 1.69 797.93 1.00 797.93 52316.33 65.57 -1.15 -7.52 CRUDE_W 772.50 1.12 861.45 1.00 861.45 52316.33 60.73 16.06 97.56 DAX 182.04 0.56 102.53 1.09 111.56 52316.33 468.93 20.00 937.87 DOW 196.05 0.51 99.16 1.00 99.16 52316.33 527.62 -4.26 -224.95 DX 1032.55 0.32 334.36 1.00 334.36 52316.33 156.47 -1.67 -26.19 EUR 1363.81 0.38 517.18 1.00 517.18 52316.33 101.16 0.35 3.58 EURIBOR-ICE 2438.75 0.05 118.11 1.09 128.51 52316.33 407.10 2.13 86.58 EUROSTX 493.70 0.66 323.95 1.09 352.49 52316.33 148.42 20.00 296.83 FEEDCOW 1348.25 0.63 855.63 1.00 855.63 52316.33 61.14 5.05 30.86 GASOIL 831.75 1.45 1207.43 1.00 1207.43 52316.33 43.33 12.45 53.94 GASOLINE 1133.71 1.38 1561.02 1.00 1561.02 52316.33 33.51 12.75 42.73 GAS_US_mini 45.88 4.61 211.68 1.00 211.68 52316.33 247.14 -12.18 -300.96 GBP 795.75 0.41 325.20 1.00 325.20 52316.33 160.88 5.91 95.00 GOLD_micro 218.46 0.65 141.75 1.00 141.75 52316.33 369.08 2.93 108.10 HEATOIL 1145.97 1.40 1605.14 1.00 1605.14 52316.33 32.59 11.58 37.75 JGB-SGX-mini 145330.00 0.15 22424.06 0.01 151.47 52316.33 345.39 1.34 46.28 JPY 849.69 0.54 461.77 1.00 461.77 52316.33 113.30 -10.35 -117.30 LEANHOG 411.90 0.93 381.68 1.00 381.68 52316.33 137.07 11.62 159.32 LIVECOW 741.00 0.68 505.36 1.00 505.36 52316.33 103.52 14.38 148.87 LUMBER-new 166.65 1.02 170.14 1.00 170.14 52316.33 307.49 2.20 67.56 MILK 329.40 1.31 432.30 1.00 432.30 52316.33 121.02 -19.62 -237.43 MXP 292.80 0.52 152.41 1.00 152.41 52316.33 343.27 20.00 686.54 NASDAQ_micro 364.64 0.80 292.83 1.00 292.83 52316.33 178.66 -2.41 -43.14 NIKKEI 39400.00 0.99 39068.02 0.01 263.90 52316.33 198.25 4.94 97.96 NZD 608.30 0.60 366.30 1.00 366.30 52316.33 142.82 -2.16 -30.86 OAT 1273.20 0.38 489.88 1.09 533.04 52316.33 98.15 2.12 20.82 OATIES 178.62 1.54 275.86 1.00 275.86 52316.33 189.65 -10.03 -190.28 OJ 540.67 1.86 1004.58 1.00 1004.58 52316.33 52.08 6.06 31.57 PALLAD 1041.50 2.76 2872.40 1.00 2872.40 52316.33 18.21 0.95 1.73 PLAT 464.55 1.70 788.85 1.00 788.85 52316.33 66.32 2.38 15.77 REDWHEAT 285.25 1.75 500.31 1.00 500.31 52316.33 104.57 -15.07 -157.60 RICE 360.30 0.88 315.52 1.00 315.52 52316.33 165.81 -7.21 -119.50 ROBUSTA 334.90 1.29 431.04 1.00 431.04 52316.33 121.37 10.48 127.18 RUSSELL 102.44 1.06 109.08 1.00 109.08 52316.33 479.60 -5.40 -258.83 SHATZ 1055.40 0.08 82.37 1.09 89.63 52316.33 583.69 -15.53 -906.36 SILVER-mini 637.19 1.31 832.48 1.00 832.48 52316.33 62.84 7.60 47.73 SMI 1152.10 0.58 667.33 1.13 754.38 52316.33 69.35 20.00 138.70 SOFR 2406.12 0.07 164.14 1.00 164.14 52316.33 318.72 -5.32 -169.51 SOYBEAN 590.62 0.82 486.92 1.00 486.92 52316.33 107.44 -9.39 -100.93 SOYMEAL 336.10 1.19 400.10 1.00 400.10 52316.33 130.76 -20.00 -261.51 SOYOIL 296.28 1.26 372.97 1.00 372.97 52316.33 140.27 -6.97 -97.74 SP400 2955.00 0.75 2214.19 1.00 2214.19 52316.33 23.63 0.63 1.50 SP500_micro 260.79 0.58 151.69 1.00 151.69 52316.33 344.88 4.33 149.23 SUGAR11 244.27 1.55 377.96 1.00 377.96 52316.33 138.42 -0.72 -10.00 US10 1098.59 0.35 389.78 1.00 389.78 52316.33 134.22 -7.52 -100.98 US10U 1134.06 0.46 527.11 1.00 527.11 52316.33 99.25 -2.98 -29.55 US2 2042.03 0.10 211.43 1.00 211.43 52316.33 247.45 -14.41 -356.59 US20 1183.44 0.66 783.43 1.00 783.43 52316.33 66.78 0.31 2.06 US30 1262.19 0.92 1166.41 1.00 1166.41 52316.33 44.85 -1.36 -6.08 US5 1064.38 0.24 258.92 1.00 258.92 52316.33 202.06 -10.54 -212.95 VIX 167.50 2.43 407.15 1.00 407.15 52316.33 128.49 -20.00 -256.99 WHEAT 296.88 1.43 423.53 1.00 423.53 52316.33 123.53 -20.00 -247.05 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -62.966 0.010 2.5 -1.634 BITCOIN 241.637 0.043 2.5 26.166 BOBL -220.749 0.004 2.5 -2.239 BTP 54.599 0.014 2.5 1.862 BUND -33.543 0.004 2.5 -0.340 BUXL -15.671 0.004 2.5 -0.159 CAC 184.839 0.014 2.5 6.305 CAD -133.601 0.010 2.5 -3.466 CANOLA -922.675 0.010 2.5 -22.448 CHF -174.345 0.010 2.5 -4.524 COCOA 50.997 0.009 2.5 1.092 COFFEE -15.954 0.005 2.5 -0.186 COPPER 26.159 0.043 2.5 2.833 CORN -415.312 0.010 2.5 -10.104 COTTON2 -7.524 0.009 2.5 -0.161 CRUDE_W 97.556 0.043 2.5 10.564 DAX 937.869 0.014 2.5 31.989 DOW -224.949 0.009 2.5 -5.228 DX -26.186 0.010 2.5 -0.679 EUR 3.581 0.010 2.5 0.093 EURIBOR-ICE 86.579 0.014 2.5 2.953 EUROSTX 296.835 0.014 2.5 10.125 FEEDCOW 30.860 0.013 2.5 1.023 GASOIL 53.939 0.017 2.5 2.338 GASOLINE 42.731 0.017 2.5 1.852 GAS_US_mini -300.961 0.043 2.5 -32.590 GBP 95.000 0.010 2.5 2.465 GOLD_micro 108.096 0.014 2.5 3.687 HEATOIL 37.748 0.017 2.5 1.636 JGB-SGX-mini 46.280 0.043 2.5 5.012 JPY -117.300 0.010 2.5 -3.043 LEANHOG 159.320 0.024 2.5 9.683 LIVECOW 148.873 0.013 2.5 4.933 LUMBER-new 67.559 0.009 2.5 1.445 MILK -237.429 0.009 2.5 -5.085 MXP 686.541 0.059 2.5 100.766 NASDAQ_micro -43.138 0.009 2.5 -1.003 NIKKEI 97.963 0.043 2.5 10.608 NZD -30.856 0.010 2.5 -0.801 OAT 20.817 0.014 2.5 0.710 OATIES -190.284 0.010 2.5 -4.629 OJ 31.567 0.009 2.5 0.676 PALLAD 1.725 0.014 2.5 0.059 PLAT 15.772 0.014 2.5 0.538 REDWHEAT -157.598 0.005 2.5 -2.091 RICE -119.502 0.010 2.5 -2.907 ROBUSTA 127.179 0.005 2.5 1.485 RUSSELL -258.826 0.013 2.5 -8.577 SHATZ -906.356 0.004 2.5 -9.191 SILVER-mini 47.731 0.014 2.5 1.628 SMI 138.700 0.014 2.5 4.731 SOFR -169.511 0.024 2.5 -10.302 SOYBEAN -100.932 0.004 2.5 -0.939 SOYMEAL -261.514 0.004 2.5 -2.432 SOYOIL -97.743 0.004 2.5 -0.910 SP400 1.500 0.013 2.5 0.050 SP500_micro 149.226 0.009 2.5 3.468 SUGAR11 -10.004 0.009 2.5 -0.213 US10 -100.984 0.005 2.5 -1.280 US10U -29.553 0.005 2.5 -0.374 US2 -356.590 0.005 2.5 -4.519 US20 2.059 0.005 2.5 0.026 US30 -6.080 0.005 2.5 -0.077 US5 -212.954 0.005 2.5 -2.699 VIX -256.987 0.099 2.5 -63.435 WHEAT -247.051 0.005 2.5 -3.277 ===================== Position diags ===================== AUD 3.68 BITCOIN 30.83 BOBL 1.98 BTP 2.92 BUND 0.99 BUXL 0.42 CAC 3.63 CAD 5.04 CANOLA 13.33 CHF 2.33 COCOA 0.72 COFFEE 0.52 COPPER 5.50 CORN 5.65 COTTON2 1.40 CRUDE_W 6.58 DAX 15.99 DOW 12.26 DX 4.06 EUR 2.62 EURIBOR-ICE 13.89 EUROSTX 5.06 FEEDCOW 2.03 GASOIL 1.88 GASOLINE 1.45 GAS_US_mini 26.76 GBP 4.17 GOLD_micro 12.59 HEATOIL 1.41 JGB-SGX-mini 37.40 JPY 2.94 LEANHOG 8.33 LIVECOW 3.43 LUMBER-new 6.58 MILK 2.59 MXP 50.38 NASDAQ_micro 4.15 NIKKEI 21.47 NZD 3.71 OAT 3.35 OATIES 4.61 OJ 1.12 PALLAD 0.62 PLAT 2.26 REDWHEAT 1.39 RICE 4.03 ROBUSTA 1.42 RUSSELL 15.89 SHATZ 5.92 SILVER-mini 2.14 SMI 2.37 SOFR 19.37 SOYBEAN 1.00 SOYMEAL 1.22 SOYOIL 1.31 SP400 0.78 SP500_micro 8.02 SUGAR11 2.94 US10 1.70 US10U 1.26 US2 3.14 US20 0.85 US30 0.57 US5 2.56 VIX 31.72 WHEAT 1.64 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.6 -2.0 -1.3 0.0 0 BITCOIN 26.2 23.1 29.2 0.0 0 BOBL -2.2 -2.4 -2.0 -13.0 -13 BTP 1.9 1.6 2.2 5.0 5 BUND -0.3 -0.4 -0.2 -1.0 -1 BUXL -0.2 -0.2 -0.1 0.0 0 CAC 6.3 5.9 6.7 0.0 0 CAD -3.5 -4.0 -3.0 0.0 0 CANOLA -22.4 -23.8 -21.1 -6.0 -6 CHF -4.5 -4.8 -4.3 -10.0 -10 COCOA 1.1 1.0 1.2 5.0 5 COFFEE -0.2 -0.2 -0.1 0.0 0 COPPER 2.8 2.3 3.4 5.0 5 CORN -10.1 -10.7 -9.5 -10.0 -10 COTTON2 -0.2 -0.3 -0.0 -2.0 -2 CRUDE_W 10.6 9.9 11.2 2.0 2 DAX 32.0 30.4 33.6 22.0 22 DOW -5.2 -6.5 -4.0 0.0 0 DX -0.7 -1.1 -0.3 NaN 0 EUR 0.1 -0.2 0.4 4.0 4 EURIBOR-ICE 3.0 1.6 4.3 2.0 2 EUROSTX 10.1 9.6 10.6 19.0 19 FEEDCOW 1.0 0.8 1.2 6.0 6 GASOIL 2.3 2.2 2.5 2.0 2 GASOLINE 1.9 1.7 2.0 4.0 4 GAS_US_mini -32.6 -35.3 -29.9 -16.0 -16 GBP 2.5 2.0 2.9 5.0 5 GOLD_micro 3.7 2.4 4.9 0.0 0 HEATOIL 1.6 1.5 1.8 0.0 0 JGB-SGX-mini 5.0 1.3 8.8 7.0 7 JPY -3.0 -3.3 -2.7 -1.0 -1 LEANHOG 9.7 8.8 10.5 6.0 6 LIVECOW 4.9 4.6 5.3 1.0 1 LUMBER-new 1.4 0.8 2.1 NaN 0 MILK -5.1 -5.3 -4.8 NaN 0 MXP 100.8 95.7 105.8 60.0 60 NASDAQ_micro -1.0 -1.4 -0.6 1.0 1 NIKKEI 10.6 8.5 12.8 20.0 20 NZD -0.8 -1.2 -0.4 4.0 4 OAT 0.7 0.4 1.0 0.0 0 OATIES -4.6 -5.1 -4.2 NaN 0 OJ 0.7 0.6 0.8 NaN 0 PALLAD 0.1 -0.0 0.1 0.0 0 PLAT 0.5 0.3 0.8 0.0 0 REDWHEAT -2.1 -2.2 -2.0 -2.0 -2 RICE -2.9 -3.3 -2.5 NaN 0 ROBUSTA 1.5 1.3 1.6 1.0 1 RUSSELL -8.6 -10.2 -7.0 -13.0 -13 SHATZ -9.2 -9.8 -8.6 NaN 0 SILVER-mini 1.6 1.4 1.8 NaN 0 SMI 4.7 4.5 5.0 9.0 9 SOFR -10.3 -12.2 -8.4 NaN 0 SOYBEAN -0.9 -1.0 -0.8 -2.0 -2 SOYMEAL -2.4 -2.6 -2.3 0.0 0 SOYOIL -0.9 -1.0 -0.8 -6.0 -6 SP400 0.0 -0.0 0.1 2.0 2 SP500_micro 3.5 2.7 4.3 21.0 21 SUGAR11 -0.2 -0.5 0.1 -1.0 -1 US10 -1.3 -1.4 -1.1 0.0 0 US10U -0.4 -0.5 -0.2 -2.0 -2 US2 -4.5 -4.8 -4.2 NaN 0 US20 0.0 -0.1 0.1 1.0 1 US30 -0.1 -0.1 -0.0 1.0 1 US5 -2.7 -3.0 -2.4 -8.0 -8 VIX -63.4 -66.6 -60.3 -17.0 -17 WHEAT -3.3 -3.4 -3.1 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.0 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.9 3.9 3.9 3.9 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 0.2 -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 0.0 -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 0.0 0.2 0.1 -0.2 -0.5 0.6 0.6 0.6 -0.2 0.0 0.6 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 -0.1 -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 -0.2 0.5 -0.0 -0.1 -0.0 -0.1 -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 0.0 0.3 0.1 -2.5 0.1 -0.0 0.1 0.0 0.2 0.0 0.6 0.5 0.6 0.6 0.4 -0.4 -0.5 0.7 0.1 BUND -0.1 -0.5 0.2 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 0.6 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 0.3 0.2 -0.0 0.1 -0.0 -0.6 -0.7 0.4 -0.4 BUXL 0.0 -0.3 0.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.0 -0.1 -0.1 -0.0 0.0 -0.0 -0.1 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 0.5 0.0 -0.2 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 -0.1 -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 -0.0 -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 0.6 -0.5 -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 -0.2 -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 -0.2 -0.6 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -1.1 -0.5 -0.6 -0.6 -0.1 -0.5 -0.6 -0.2 -0.6 COCOA 0.2 0.1 -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 -0.1 -0.1 0.3 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 0.3 -0.1 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 -0.4 -0.2 -0.2 0.3 -0.3 -0.7 -0.1 -0.4 COPPER 0.5 0.2 0.2 0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 0.2 0.2 -0.2 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.0 0.2 -1.9 0.1 0.2 0.1 0.2 0.0 0.1 0.1 0.5 0.5 0.2 0.4 -0.7 -0.1 0.4 0.2 CORN 0.6 0.1 -0.3 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 -0.1 -0.2 0.1 -0.5 0.0 -2.5 -0.1 0.0 -0.2 0.0 -0.3 -0.0 -0.8 0.2 0.1 -0.6 -0.6 -0.2 -0.7 -0.1 -0.0 COTTON2 -0.4 0.6 0.6 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 0.2 -0.0 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 -0.2 0.5 0.6 0.6 -0.5 -0.5 -0.2 0.0 CRUDE_W 0.3 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 0.2 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 0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.3 0.2 0.2 0.2 0.5 0.2 2.4 0.1 0.0 0.2 0.1 0.2 0.1 -0.6 0.1 0.6 0.2 0.2 -0.1 0.4 0.1 0.7 DOW -0.3 -0.1 0.6 0.1 0.0 0.2 0.0 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 0.4 0.0 -0.5 -0.5 -0.6 -0.6 0.2 -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 0.1 0.1 -0.0 0.0 -0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.0 0.0 0.1 -0.1 -2.7 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.8 -0.4 -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 -0.1 -0.0 0.1 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.1 0.1 2.7 0.0 -0.1 0.0 0.0 0.0 0.0 -0.4 -0.1 0.3 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 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 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 0.4 0.6 0.6 0.1 0.0 0.2 0.1 0.2 0.1 0.1 0.5 0.2 0.7 0.2 0.2 0.0 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 0.2 0.4 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 0.0 0.1 -0.0 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 -0.2 -0.2 0.6 0.6 0.7 0.5 0.7 0.7 GASOIL -0.1 0.3 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.4 0.1 0.2 0.4 0.4 0.4 0.4 0.1 0.1 0.2 0.4 0.1 1.0 0.1 0.1 0.1 0.1 0.2 0.1 1.1 -0.0 -0.2 0.2 0.2 -0.4 -0.3 -0.7 -0.5 GASOLINE 0.2 0.4 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 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 0.1 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 0.1 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 -0.0 -0.5 -0.1 2.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.5 -0.3 -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 0.0 0.2 0.1 0.3 0.1 -0.1 0.2 0.0 0.2 0.1 0.2 0.1 0.4 0.4 0.3 -0.7 -0.2 -0.7 0.1 GOLD_micro 0.6 0.3 0.3 0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 0.4 0.2 0.4 0.2 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.2 0.3 0.2 -0.5 0.1 0.0 0.1 0.1 0.1 0.1 -0.8 0.3 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL 0.0 0.2 -0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.0 0.2 0.3 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 0.2 0.3 0.1 -2.7 0.1 0.2 0.2 0.1 0.3 0.1 1.1 0.1 0.2 0.1 0.2 0.6 0.2 0.5 0.1 JGB-SGX-mini -0.2 -0.3 0.3 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 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 -0.1 -0.8 -0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 0.0 -0.1 -0.0 0.0 -0.2 -0.7 0.1 0.3 JPY 0.4 -0.3 -0.2 0.0 -0.0 0.0 0.0 0.1 0.0 -0.1 -0.4 -0.0 -0.6 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.2 -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 -0.2 -0.7 -0.4 -0.5 -0.5 LEANHOG 0.4 0.6 0.5 0.0 0.0 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 0.2 0.2 -0.2 0.2 2.3 0.1 0.1 0.2 0.1 0.0 0.1 -1.1 -0.0 0.6 0.6 0.6 -0.2 -0.3 0.3 0.5 LIVECOW -0.1 0.6 0.3 0.0 0.0 0.0 0.1 -0.1 0.0 0.0 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 0.5 0.3 0.5 0.1 0.0 0.1 0.1 -0.1 0.1 -0.1 0.5 0.2 -0.4 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 0.0 0.1 0.1 -1.2 -0.1 0.7 0.7 0.7 -0.4 -0.7 -0.3 -0.5 MILK -0.6 0.1 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 0.2 0.4 0.0 -0.0 0.1 0.0 0.2 0.0 0.1 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 0.0 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 0.1 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 -0.4 -0.2 0.2 0.3 -0.1 0.5 -0.2 NIKKEI -0.6 0.3 0.5 0.1 0.0 0.1 0.0 0.1 0.1 -0.0 0.4 -0.0 0.6 0.1 0.2 0.1 0.2 0.2 0.2 0.2 0.2 0.0 0.5 0.2 -1.9 0.1 0.0 0.2 0.0 0.2 0.0 1.1 -0.5 -0.3 0.3 0.6 -0.7 -0.2 -0.3 -0.2 NZD -0.1 -0.2 0.2 0.0 -0.0 0.0 0.0 0.1 0.0 -0.1 0.1 -0.1 -0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.0 0.2 -0.2 -0.3 -0.0 0.0 -0.3 -0.3 -0.0 0.1 OAT 0.0 -0.4 0.3 -0.0 -0.1 -0.0 -0.1 -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 -0.1 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 0.1 -0.3 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 -0.4 0.0 -0.4 0.0 -0.0 0.2 -0.0 0.1 0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.3 -0.2 -0.2 -0.2 -0.3 0.0 -0.0 0.4 OJ -0.2 0.4 -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 -0.2 0.6 -0.3 0.4 0.3 0.5 0.7 PALLAD 0.6 0.5 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.3 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.2 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 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.3 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.1 0.0 1.3 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.2 -0.1 -0.3 -0.2 0.0 -0.5 -0.1 0.7 0.2 REDWHEAT 0.4 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 -0.4 -0.6 -0.6 -0.5 -0.7 -0.3 -0.7 RICE -0.6 -0.1 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 0.5 -0.1 -2.6 0.0 -0.0 0.1 -0.1 0.2 -0.0 -0.5 -0.5 -0.6 0.1 0.1 0.2 -0.1 0.5 0.2 ROBUSTA -0.0 -0.0 0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 0.4 0.1 0.6 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.3 0.0 1.1 0.5 0.6 0.6 0.6 -0.7 -0.6 -0.4 0.0 RUSSELL 0.1 0.1 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 0.0 -0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 -0.5 -0.6 -0.5 -0.2 -0.5 -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 -0.2 -0.3 -0.2 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.6 0.3 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 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 0.4 0.2 -0.6 -0.6 0.6 -0.1 SMI 0.5 0.4 0.6 0.1 0.0 0.2 0.0 0.2 0.1 0.1 0.5 0.2 0.4 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.3 0.2 2.0 0.1 0.0 0.2 0.1 0.1 0.1 1.1 0.5 0.3 -0.4 -0.2 0.3 -0.2 0.7 -0.3 SOFR 0.1 -0.5 0.2 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 -0.0 -0.0 0.0 0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.3 -0.0 -0.1 0.0 -0.1 0.0 -0.0 0.1 -0.0 0.0 0.0 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 0.1 -0.4 0.2 -0.2 0.0 -0.2 0.1 0.3 0.1 0.2 -0.1 -0.2 0.2 -0.4 0.1 -2.7 -0.0 0.0 -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 -0.6 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 -0.0 -0.5 0.0 -0.4 -0.1 -0.2 -0.2 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 0.7 -0.1 -0.3 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 0.2 -0.4 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.4 0.2 -0.5 0.1 -0.1 -0.2 0.1 -0.1 -0.0 -0.0 -0.2 0.2 -0.5 0.2 -2.7 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 0.5 0.6 -0.1 -0.2 -0.5 -0.3 -0.4 0.2 SP400 0.5 0.5 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 -0.3 -0.1 -0.2 0.0 -0.5 -0.3 -0.4 -0.7 SP500_micro 0.1 0.5 0.6 0.1 0.0 0.2 0.0 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 -0.3 -0.1 0.2 0.5 0.1 -0.1 0.5 -0.2 SUGAR11 -0.2 -0.0 -0.5 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 0.3 -0.3 -0.3 -0.6 0.6 0.1 0.7 0.5 US10 0.0 -0.4 0.3 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -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 0.0 0.1 -0.7 -0.7 -0.5 0.3 US10U 0.1 -0.4 0.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 0.1 0.1 0.1 0.1 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 0.1 -0.3 0.4 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.1 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 -0.2 0.3 -0.0 -0.1 -0.0 -0.1 -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 -0.1 -0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -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 -0.1 -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 0.3 0.4 -0.2 -0.1 0.0 -0.5 0.0 -0.9 -0.1 0.1 -0.9 -0.0 -1.2 -0.1 -0.3 -0.6 -0.6 -0.6 -0.6 -0.2 -0.3 0.0 -0.9 -0.1 NaN -0.1 0.0 -0.6 0.0 -1.1 -0.0 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.1 -0.3 -0.1 0.0 0.0 0.0 0.0 -0.1 0.0 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 0.1 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 -1.0 -0.2 -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 6.1 -6.3 2.5 0.7 -3.5 2.2 0.7 3.6 1.4 -1.7 -3.4 5.3 -10.4 6.4 -8.6 -2.8 -2.9 -2.8 -2.8 -1.3 -2.2 0.7 -5.3 2.0 2.8 -0.5 -5.3 -0.8 0.4 -1.9 1.3 -1.2 4.0 -0.6 -3.0 -6.3 -20.0 -10.7 -11.5 -0.6 BITCOIN 15.3 17.9 10.9 3.6 3.4 -0.0 8.4 -0.8 8.1 -4.3 20.0 15.0 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 8.2 -0.9 6.6 4.4 4.8 8.1 -3.0 -20.0 20.0 20.0 20.0 -5.6 0.7 16.7 4.6 BOBL -4.1 -20.0 2.7 -1.0 -6.1 -0.1 -4.0 -0.8 -2.2 -8.7 -1.1 -6.7 -1.9 -8.2 -6.9 -2.5 -15.0 -18.5 -18.9 -6.9 -2.8 -8.6 -3.0 -7.8 6.7 -2.1 -4.6 -0.7 -3.2 -0.6 -2.5 -20.0 4.9 -3.9 -3.0 -4.4 -20.0 -20.0 3.3 -20.0 BTP 7.9 -4.7 15.8 -1.7 -10.2 -0.1 -6.7 -1.4 -3.7 -6.2 11.3 7.7 10.5 8.3 8.9 4.6 6.3 4.8 5.2 10.9 13.4 5.4 10.1 9.7 -18.5 4.7 -2.1 5.4 2.5 4.2 4.5 11.7 20.0 20.0 20.0 12.2 -11.6 -16.1 20.0 2.9 BUND -2.0 -15.6 7.1 -1.1 -6.8 -0.1 -4.5 -0.9 -2.4 -9.7 0.9 -6.5 -0.9 -8.0 -4.8 -6.1 3.0 -0.9 0.8 -3.7 -0.1 -7.8 -1.9 -5.4 4.2 -1.4 -6.2 0.1 -3.8 -0.2 -2.3 5.1 6.3 -0.9 1.6 -1.5 -17.7 -20.0 10.8 -11.1 BUXL 0.6 -9.8 10.2 -1.4 -8.4 -0.1 -5.6 -1.1 -3.0 -12.0 2.6 -6.2 -4.1 -7.4 -3.3 -6.9 -0.7 -3.5 -1.8 -1.3 1.2 -7.9 -3.8 -3.6 0.1 -0.3 -8.3 1.0 -4.5 -0.5 -1.7 0.0 9.3 2.8 5.6 2.0 -20.0 -20.0 4.7 1.1 CAC 17.9 20.0 18.4 8.5 1.5 7.2 5.0 4.8 7.6 20.0 20.0 20.0 20.0 20.0 20.0 9.9 -3.8 -0.6 -3.6 20.0 20.0 20.0 20.0 20.0 -11.2 9.4 5.7 7.3 8.7 5.3 9.8 3.3 20.0 18.9 16.2 0.4 -4.6 15.1 -1.4 20.0 CAD -1.8 -6.9 5.7 0.8 -4.0 2.5 0.8 4.1 1.6 -4.4 -1.9 -0.3 -4.3 -9.5 -8.6 -2.2 -2.2 -2.1 -2.2 -3.7 -1.8 -3.7 -4.0 -3.8 -0.1 -2.3 -5.4 -1.2 -2.4 -2.1 -2.3 0.0 -2.3 -15.4 -4.6 -0.6 -15.7 -14.5 -0.5 -12.5 CANOLA 20.0 3.6 -20.0 2.1 1.9 0.8 2.6 -1.5 2.4 11.0 -11.7 12.1 -11.2 2.7 -8.4 -15.3 -5.0 -13.6 -10.9 -8.3 -20.0 19.1 -20.0 8.6 -20.0 -2.3 5.6 -5.4 5.3 -6.0 2.2 -11.9 20.0 17.7 -16.2 -20.0 -20.0 -20.0 -17.9 -7.8 CHF -2.7 -20.0 -3.0 0.8 -3.6 2.3 0.7 3.7 1.4 -18.9 -4.5 -13.0 1.6 -19.6 -17.6 -15.8 -15.6 -15.7 -15.7 -16.1 -7.7 -16.3 0.7 -16.4 -4.5 -4.6 -10.0 -1.1 -6.4 1.3 -5.7 -20.0 -20.0 -20.0 -20.0 -3.4 -16.1 -16.6 -5.9 -17.4 COCOA 6.1 3.5 -14.9 1.3 1.1 0.5 1.5 -0.9 1.4 6.9 8.1 7.6 8.1 7.8 7.9 20.0 11.8 20.0 20.0 19.2 14.7 20.0 10.3 20.0 -11.3 2.8 3.2 2.7 2.7 2.3 2.6 20.0 20.0 20.0 20.0 20.0 8.8 2.0 17.8 17.2 COFFEE -4.1 -4.6 9.4 3.2 2.9 1.2 3.9 -2.3 3.6 -16.4 10.1 -5.7 7.1 -1.6 3.2 14.9 8.2 14.7 11.5 3.3 8.7 -4.1 6.6 -1.3 -20.0 1.5 -4.5 4.9 -2.1 5.2 -0.6 18.3 -14.9 -6.2 -6.0 10.7 -9.4 -20.0 -2.3 -13.3 COPPER 16.0 6.1 7.5 3.4 3.1 -0.0 7.8 -0.7 7.5 19.8 6.8 20.0 -5.0 20.0 14.4 -4.6 -4.9 -5.3 -5.5 16.3 7.6 20.0 0.7 20.0 -14.2 4.9 16.8 2.1 15.2 0.3 9.8 1.3 20.0 15.6 6.7 12.6 -20.0 -2.2 11.9 5.3 CORN 20.0 2.4 -8.0 3.6 3.2 1.4 4.4 -2.6 4.1 14.0 -18.8 17.6 -20.0 3.6 -12.8 -18.9 -7.3 -16.6 -13.0 -13.9 -20.0 9.4 -20.0 1.4 -18.5 -5.8 1.9 -7.8 2.6 -7.3 -0.8 -15.5 9.1 2.0 -20.0 -20.0 -6.0 -20.0 -4.3 -0.3 COTTON2 -13.0 20.0 17.4 2.0 1.8 0.8 2.4 -1.4 2.2 -7.6 5.6 -4.6 3.4 3.9 6.9 4.6 -0.6 0.2 -1.7 9.8 7.8 -2.0 3.1 4.8 -20.0 3.7 -0.4 3.0 0.3 1.6 2.3 -0.8 -7.6 15.0 20.0 20.0 -14.6 -13.5 -5.8 1.0 CRUDE_W 8.3 7.1 -0.9 5.7 16.5 3.5 12.0 3.2 7.9 20.0 0.5 20.0 9.0 20.0 16.9 13.0 10.0 10.8 10.0 12.0 7.9 20.0 11.0 20.0 -5.1 7.1 20.0 4.8 15.4 6.2 10.8 -1.1 4.7 14.8 -0.9 -1.2 20.0 20.0 20.0 20.0 DAX 19.5 16.8 20.0 8.2 1.5 6.9 4.8 4.6 7.2 13.6 20.0 20.0 20.0 20.0 20.0 -13.5 -11.6 -14.5 -13.5 20.0 20.0 20.0 20.0 20.0 18.0 9.0 2.3 7.5 6.2 5.3 8.8 -11.3 3.7 20.0 7.7 6.6 -4.3 13.3 3.0 20.0 DOW -7.9 -2.2 20.0 6.9 1.3 5.9 4.1 3.9 6.2 -8.3 20.0 -4.2 20.0 12.2 20.0 -13.5 -11.0 -13.2 -12.3 20.0 20.0 -2.4 20.0 6.3 -15.6 7.0 -3.0 10.6 -1.2 10.0 1.8 -9.8 -20.0 -20.0 -20.0 7.2 -6.2 -5.8 1.1 -14.1 DX -11.1 6.0 -1.8 0.8 -3.9 2.4 0.7 4.0 1.5 12.6 2.6 -2.5 0.7 -8.0 5.7 6.9 6.2 6.6 6.4 -0.8 1.3 0.4 3.6 -4.8 -20.0 -1.4 9.0 -0.4 0.4 1.6 -2.8 14.6 -16.9 -20.0 12.2 -20.0 16.4 3.0 20.0 9.3 EUR 11.1 -3.0 0.9 0.8 -4.0 2.5 0.8 4.1 1.6 -14.0 -1.4 6.5 -0.1 11.2 -5.4 -6.9 -6.7 -6.6 -6.4 2.2 -0.6 1.8 -2.1 6.1 20.0 2.6 -6.5 1.4 0.9 0.2 4.0 -7.5 -3.2 10.7 1.6 -5.8 -20.0 -16.0 -20.0 -12.4 EURIBOR-ICE -2.9 -20.0 11.2 -0.9 -5.3 -0.1 -3.5 -0.7 -1.9 -7.5 3.4 -3.8 2.9 -5.3 -1.1 -3.3 -3.8 -1.4 -2.1 -1.4 4.0 -5.8 3.8 -3.7 14.2 -0.3 -4.5 1.7 -2.4 1.7 -1.2 -3.5 6.3 0.4 0.7 3.2 -20.0 -20.0 8.7 20.0 EUROSTX 11.2 20.0 20.0 8.1 1.5 6.8 4.7 4.6 7.2 15.1 20.0 20.0 20.0 20.0 20.0 2.2 2.3 5.8 4.2 20.0 20.0 20.0 20.0 20.0 0.7 9.1 1.9 7.9 5.2 5.8 8.0 15.3 7.4 13.0 20.0 10.0 -10.1 16.0 -8.2 20.0 FEEDCOW -9.7 20.0 13.5 4.1 3.6 1.6 4.9 -2.9 4.6 5.2 2.8 -0.4 1.9 19.5 20.0 -20.0 -20.0 -20.0 -20.0 20.0 14.8 2.4 8.1 13.0 -8.0 5.1 1.8 4.2 -0.0 5.0 2.2 -20.0 -8.1 -6.8 20.0 20.0 20.0 15.4 20.0 20.0 GASOIL -2.1 9.4 2.3 4.6 13.3 2.8 9.6 2.5 6.4 18.1 7.6 12.4 11.3 13.8 14.4 20.0 20.0 20.0 20.0 11.9 11.1 20.0 13.1 13.3 7.3 5.1 16.6 5.1 9.8 5.7 5.8 20.0 -2.0 -4.7 5.4 5.3 -11.0 -7.5 -20.0 -14.1 GASOLINE 6.9 13.1 5.6 5.2 15.1 3.2 10.9 2.9 7.2 20.0 6.3 20.0 10.9 20.0 20.0 14.4 8.6 -0.3 -0.2 18.8 12.8 20.0 11.4 20.0 -20.0 7.4 14.4 5.1 11.6 5.2 9.0 -9.4 4.8 19.3 11.1 14.6 20.0 16.5 20.0 15.4 GAS_US_mini 9.1 -5.2 -8.1 2.1 6.2 1.3 4.5 1.2 3.0 -6.8 -9.4 -6.6 -10.2 -7.9 -8.8 -20.0 -20.0 -15.2 -16.1 -10.2 -14.6 -5.2 -19.1 -6.5 18.0 -3.5 -1.3 -4.0 -2.0 -3.7 -2.6 -20.0 -20.0 -8.2 -20.0 -19.6 -14.0 -1.4 -20.0 -6.2 GBP 8.1 -2.1 7.2 0.9 -4.2 2.7 0.8 4.3 1.6 -13.7 10.8 5.3 10.5 11.2 14.6 -0.8 -0.6 -0.6 -0.5 10.1 9.8 3.9 8.3 10.3 2.5 6.7 -5.7 6.3 2.6 4.3 6.6 2.8 3.0 13.4 10.9 10.3 -20.0 -6.1 -20.0 1.5 GOLD_micro 20.0 10.7 8.5 3.2 3.0 -0.0 7.5 -0.7 7.3 2.1 15.1 15.7 10.4 16.6 13.5 -15.5 -14.7 -15.5 -15.1 20.0 15.5 20.0 9.6 20.0 -3.7 5.8 1.1 3.5 5.9 2.3 7.7 -15.3 11.1 20.0 18.2 20.0 -20.0 -20.0 -20.0 -14.6 HEATOIL 0.8 7.0 -0.3 4.9 14.4 3.0 10.4 2.8 6.9 20.0 1.2 16.7 7.8 10.2 12.1 20.0 20.0 20.0 20.0 8.6 6.7 20.0 9.4 13.1 -20.0 6.3 16.8 5.7 11.3 7.0 7.5 20.0 5.7 5.9 3.0 7.4 19.0 5.0 15.3 1.6 JGB-SGX-mini -6.3 -7.9 9.8 -1.0 -6.1 -0.1 -4.0 -0.8 -2.2 -3.7 4.6 -5.7 6.2 -6.8 1.0 12.7 16.3 12.4 13.0 -1.0 2.7 -5.6 3.8 -4.6 -6.2 -1.0 -1.5 0.5 -3.3 0.4 -2.7 20.0 2.0 -1.9 -0.6 0.1 -7.4 -20.0 1.8 9.7 JPY 11.6 -7.9 -6.4 0.6 -2.7 1.7 0.5 2.7 1.0 -7.1 -14.4 -0.5 -15.8 -6.0 -13.1 -16.9 -16.3 -16.5 -16.5 -8.8 -14.0 -1.1 -20.0 -1.9 20.0 -2.5 -4.9 -4.6 -0.3 -7.5 -0.0 -20.0 3.6 -0.9 -7.4 -7.6 -20.0 -13.1 -15.8 -15.0 LEANHOG 12.1 20.0 14.3 4.4 3.9 1.7 5.3 -3.2 5.0 20.0 12.0 20.0 -11.2 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 15.0 20.0 -7.5 20.0 17.3 9.2 5.7 6.9 5.7 0.3 7.6 -20.0 -1.6 20.0 20.0 20.0 -4.8 -8.2 9.5 13.6 LIVECOW -2.9 20.0 8.8 3.9 3.5 1.5 4.8 -2.8 4.4 3.3 4.9 9.8 3.1 20.0 20.0 20.0 -2.1 9.2 0.8 20.0 12.3 10.8 6.1 19.1 -5.4 6.5 3.5 4.0 3.5 3.9 5.6 -0.0 6.8 9.7 20.0 16.0 20.0 6.1 20.0 16.3 LUMBER-new 13.6 8.7 14.2 4.4 3.9 1.8 5.3 -2.2 4.9 -12.3 14.6 14.5 -11.1 20.0 20.0 -16.2 -15.3 -16.3 -15.7 20.0 15.0 10.3 3.3 20.0 NaN 8.6 -2.5 6.4 3.5 3.0 8.2 -20.0 -3.0 20.0 20.0 20.0 -11.0 -18.7 -7.7 -12.2 MILK -18.2 4.2 4.3 2.3 2.1 0.9 2.8 -1.7 2.6 -8.5 -12.3 -11.8 -13.5 -10.8 -11.2 -20.0 -20.0 -20.0 -20.0 -12.4 -14.8 -13.4 -20.0 -14.5 11.2 -3.6 -2.6 -4.3 -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 11.5 7.2 11.4 0.9 -4.2 2.6 0.8 4.3 1.6 6.6 20.0 20.0 20.0 20.0 20.0 18.6 17.0 17.4 16.6 20.0 20.0 20.0 20.0 20.0 -20.0 8.9 1.2 8.3 9.0 10.4 10.4 20.0 19.9 20.0 20.0 14.8 20.0 20.0 20.0 20.0 NASDAQ_micro -7.5 2.6 9.4 4.8 0.9 4.0 2.8 2.7 4.2 -5.8 14.4 1.7 14.6 8.2 13.0 -10.8 -10.1 -11.3 -10.9 15.4 20.0 -1.9 20.0 6.1 -20.0 5.2 -1.6 7.0 -0.4 7.3 2.1 -7.9 -20.0 -13.7 -5.5 7.4 10.1 -2.5 16.5 -5.2 NIKKEI -17.6 10.0 15.6 5.5 1.0 4.7 3.2 3.1 4.9 -1.4 16.0 -1.6 16.7 9.5 14.4 5.2 11.8 10.4 11.5 20.0 20.0 3.3 20.0 14.0 -13.9 5.8 1.6 6.2 0.8 5.3 3.2 20.0 -20.0 -10.5 9.4 17.6 -20.0 -5.9 -8.8 -5.3 NZD -2.7 -5.1 5.9 0.6 -2.9 1.8 0.6 2.9 1.1 -13.5 3.7 -8.1 -0.3 -1.7 -3.4 0.3 0.3 0.3 0.3 -0.1 2.0 -6.6 0.1 -2.3 -0.0 -0.2 -9.5 1.5 -4.8 0.9 -1.9 4.2 -8.8 -8.7 -0.8 0.5 -8.3 -9.2 -1.2 4.0 OAT 0.5 -12.8 10.0 -1.2 -7.2 -0.1 -4.8 -1.0 -2.6 -10.1 2.9 -3.6 0.7 -5.8 -2.1 3.9 6.1 4.4 4.9 -0.7 2.8 -5.2 0.5 -2.4 4.9 -0.2 -6.0 1.4 -2.9 0.8 -1.1 11.3 11.3 2.9 5.2 1.7 -19.2 -20.0 11.4 3.4 OATIES 4.3 4.4 -9.3 2.7 2.4 1.0 3.2 -1.9 3.0 0.3 -13.9 3.1 -11.5 1.7 -3.4 10.2 -1.7 6.7 1.4 -3.9 -10.4 -0.5 -11.1 -0.3 -20.0 -0.9 -2.7 -3.5 -0.4 -4.3 -0.1 0.0 -14.6 -6.9 -5.4 -5.3 -10.1 1.2 -0.8 13.3 OJ -5.2 11.0 -20.0 2.4 2.2 1.0 3.0 -1.8 2.8 -0.6 7.1 -2.7 10.9 8.9 3.9 7.2 15.1 8.0 11.2 7.3 10.9 0.4 19.3 4.1 -20.0 2.4 -0.1 5.5 -0.1 11.3 0.9 20.0 -6.3 -6.6 20.0 -7.9 10.5 9.3 16.2 20.0 PALLAD 18.4 14.5 1.3 1.3 1.2 -0.0 3.0 -0.3 2.9 4.1 -4.6 6.5 -7.7 6.4 -2.1 -1.8 -2.1 -1.9 -2.0 1.0 -4.3 6.4 -9.2 5.7 9.7 0.7 0.8 -1.5 3.1 -3.3 2.7 6.9 3.1 -2.6 -2.8 -0.5 -18.8 -10.4 -14.0 -6.1 PLAT 10.0 -0.0 0.6 1.9 1.8 -0.0 4.4 -0.4 4.2 4.1 -4.6 6.9 -7.7 5.1 -5.3 -4.1 -3.4 -4.0 -3.8 0.0 -2.5 5.3 -3.6 4.1 10.0 0.8 -0.1 -0.5 3.6 -0.8 3.1 4.3 -4.6 -10.3 -7.0 0.8 -13.6 -4.4 20.0 7.4 REDWHEAT 11.1 0.0 -8.7 2.8 2.5 1.1 3.4 -2.0 3.1 0.6 -16.4 1.8 -16.7 -8.2 -12.3 9.2 1.0 5.3 2.2 -12.6 -19.5 -1.6 -20.0 -5.7 -8.0 -5.3 -1.0 -6.2 -1.1 -6.1 -3.2 4.1 -4.2 -11.5 -20.0 -19.3 -14.4 -20.0 -9.3 -20.0 RICE -20.0 -1.9 8.9 3.5 3.1 1.4 4.3 -2.5 4.0 -18.4 13.3 -19.9 16.1 -9.3 3.7 -10.6 -3.6 -11.2 -9.5 3.1 15.0 -13.8 17.0 -10.5 -19.7 0.8 -4.7 4.6 -6.1 5.2 -4.3 -8.8 -20.0 -20.0 2.3 2.2 6.3 -4.0 13.8 5.4 ROBUSTA -1.5 -1.3 20.0 2.6 2.4 1.0 3.2 -1.9 3.0 7.8 15.5 10.0 16.0 11.4 14.9 18.5 20.0 20.0 20.0 20.0 20.0 16.3 20.0 19.5 -20.0 6.0 3.3 7.6 3.8 7.6 4.4 20.0 20.0 17.6 20.0 20.0 -20.0 -17.9 -11.3 1.4 RUSSELL 4.5 4.6 17.1 4.6 0.8 3.9 2.7 2.6 4.1 -11.7 11.2 -0.1 8.0 8.2 11.5 -6.4 -6.3 -6.4 -6.4 9.6 10.4 -3.9 6.4 4.4 -2.1 4.4 -5.0 4.7 -1.8 3.3 1.9 -0.8 -20.0 -18.7 -15.4 -5.3 -16.4 -18.6 -17.2 -20.0 SHATZ -7.6 -20.0 -3.7 -0.9 -5.2 -0.1 -3.5 -0.7 -1.9 -7.6 -5.9 -7.2 -6.5 -8.0 -7.8 -20.0 -20.0 -20.0 -20.0 -10.8 -7.2 -8.9 -7.3 -10.4 8.1 -2.3 -2.7 -1.3 -2.3 -1.2 -2.4 -20.0 4.0 -7.2 -8.6 -6.5 -20.0 -20.0 -8.2 -20.0 SILVER-mini 20.0 9.4 -1.5 3.2 3.0 -0.0 7.4 -0.7 7.2 15.8 0.3 19.4 -2.9 18.2 0.8 -7.1 -6.7 -7.0 -6.9 12.5 2.0 20.0 -1.5 20.0 5.7 5.2 7.2 1.8 9.7 0.5 8.9 -1.3 17.1 15.6 12.1 6.5 -18.2 -18.5 19.2 -1.6 SMI 16.3 13.0 18.1 7.6 1.4 6.4 4.5 4.3 6.8 10.2 20.0 17.2 11.7 20.0 20.0 3.2 5.8 7.3 7.1 20.0 20.0 20.0 10.2 20.0 15.2 8.0 1.4 6.0 7.7 3.1 9.1 20.0 20.0 9.9 -11.9 -6.3 10.4 -4.9 20.0 -8.8 SOFR 1.9 -15.0 6.6 -1.2 -6.9 -0.1 -4.6 -0.9 -2.5 -9.8 3.5 -6.1 -0.1 -6.5 -3.6 -0.6 0.2 0.4 0.5 -2.9 -0.5 -9.7 -1.6 -5.0 -2.5 -0.6 -8.0 0.8 -4.8 0.2 -2.2 2.4 -0.1 0.7 1.4 1.7 -20.0 -20.0 -0.8 -2.5 SOYBEAN 20.0 -6.2 -20.0 3.5 3.2 1.4 4.3 -2.6 4.0 14.1 -16.2 17.9 -5.8 3.6 -14.2 4.7 13.6 7.3 9.8 -12.8 -20.0 20.0 -16.1 8.3 -20.0 -3.3 4.5 -5.0 7.1 -3.1 2.8 20.0 20.0 13.3 -20.0 -20.0 -7.9 -20.0 -7.1 -20.0 SOYMEAL 10.3 -17.1 -20.0 3.0 2.7 1.1 3.6 -2.1 3.3 -4.7 -16.8 3.7 -11.8 -10.4 -16.7 -7.6 9.4 -2.2 3.4 -20.0 -20.0 -0.9 -15.9 -8.6 -20.0 -5.5 -1.7 -5.8 -0.1 -2.7 -2.0 13.7 -2.6 -8.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 20.0 7.2 -13.1 3.2 2.9 1.2 3.9 -2.3 3.6 14.0 -16.6 15.1 -14.1 8.3 -8.9 -7.7 2.6 -5.7 -2.1 -3.4 -16.7 20.0 -18.8 15.7 -20.0 1.6 12.3 -2.2 12.9 -3.2 7.5 2.6 20.0 20.0 -2.9 -5.4 -15.1 -8.0 -10.8 5.6 SP400 14.4 14.3 20.0 5.9 1.1 5.0 3.5 3.4 5.3 -12.8 17.3 10.8 14.0 15.2 17.8 -5.1 -5.4 -5.7 -5.6 20.0 20.0 7.7 15.2 20.0 -13.1 6.5 -2.0 5.9 1.7 4.1 5.0 0.8 -12.6 -2.6 -6.6 0.5 -14.8 -8.6 -12.6 -20.0 SP500_micro 1.9 14.4 20.0 6.6 1.2 5.6 3.9 3.7 5.9 5.5 20.0 14.7 19.8 18.4 20.0 -12.9 -11.4 -12.9 -12.4 20.0 20.0 10.6 20.0 20.0 -20.0 7.7 0.5 8.4 2.3 7.3 5.0 -10.2 -11.2 -3.4 6.9 16.1 3.8 -3.1 16.3 -6.4 SUGAR11 -5.0 -1.1 -16.4 2.5 2.2 1.0 3.0 -1.8 2.8 13.1 -6.2 2.9 4.8 -4.0 -6.5 9.6 18.0 14.5 16.9 -6.9 -7.1 3.0 0.4 -3.5 -20.0 -3.5 3.6 -4.0 1.6 0.2 -1.3 20.0 14.1 -8.4 -8.4 -20.0 18.9 2.1 20.0 13.5 US10 1.4 -12.8 7.8 -1.0 -6.0 -0.1 -4.0 -0.8 -2.1 -8.5 1.9 -5.4 -2.8 -6.2 -2.8 -7.9 -8.0 -8.5 -8.4 -2.7 -1.6 -8.1 -5.0 -4.4 2.1 -0.5 -6.4 0.3 -3.9 -0.9 -1.8 -12.5 0.7 0.5 1.5 1.9 -20.0 -20.0 -14.9 8.7 US10U 1.8 -11.2 8.1 -1.5 -8.6 -0.1 -5.7 -1.2 -3.1 -12.3 2.1 -7.5 -3.9 -9.1 -4.3 -3.6 -0.2 -1.5 -0.5 -3.6 -2.6 -10.6 -7.7 -5.6 -0.7 -0.3 -8.7 0.6 -5.3 -1.4 -2.3 1.3 2.6 2.1 4.6 3.3 -20.0 -20.0 11.7 20.0 US2 -5.7 -20.0 1.7 -0.9 -5.2 -0.1 -3.5 -0.7 -1.9 -7.7 -2.4 -6.6 -5.9 -7.5 -6.1 -20.0 -20.0 -20.0 -20.0 -6.8 -4.5 -10.2 -7.4 -8.4 10.1 -1.7 -4.4 -0.4 -3.5 -1.1 -2.7 -20.0 -3.0 -5.9 -6.7 -1.2 -20.0 -20.0 -17.8 -20.0 US20 4.3 -7.9 11.4 -1.0 -6.2 -0.1 -4.1 -0.8 -2.2 -8.7 2.8 -2.9 -1.6 -4.0 -0.5 -0.2 -0.8 -0.2 -0.5 -0.3 -0.1 -6.4 -4.5 -2.1 -1.3 0.9 -6.4 1.3 -3.4 -0.7 -0.7 0.6 3.9 4.8 6.7 5.8 -20.0 -20.0 20.0 20.0 US30 4.8 -5.0 9.4 -1.3 -7.4 -0.1 -4.9 -1.0 -2.7 -10.6 2.4 -3.4 -3.3 -4.1 -1.6 -7.2 -5.9 -7.7 -7.0 -0.4 -0.8 -7.3 -6.4 -2.2 -0.6 1.3 -8.1 1.4 -4.4 -1.4 -0.7 -9.3 3.6 6.7 9.9 5.3 -14.1 -17.9 20.0 20.0 US5 -1.1 -17.0 5.4 -1.0 -5.9 -0.1 -3.9 -0.8 -2.1 -8.5 1.0 -6.2 -3.7 -7.2 -4.5 -8.6 -10.0 -9.3 -9.8 -4.5 -2.6 -9.4 -5.1 -6.2 4.6 -1.2 -6.3 0.1 -4.1 -0.7 -2.5 -15.5 -1.0 -2.2 -2.1 0.4 -20.0 -20.0 -20.0 -7.1 VIX 4.9 8.0 -3.8 -7.2 0.7 -11.3 0.0 -15.8 -3.0 4.0 -20.0 -1.1 -20.0 -8.6 -20.0 -20.0 -20.0 -20.0 -20.0 -12.9 -20.0 1.1 -20.0 -3.1 NaN -7.9 0.8 -13.4 0.4 -19.5 -2.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 1.9 -9.3 -4.4 3.0 2.7 1.2 3.7 -2.2 3.4 10.8 -17.9 -1.4 -18.5 -12.3 -14.6 -14.4 -11.3 -12.9 -12.1 -17.8 -20.0 -2.6 -20.0 -11.9 0.5 -5.9 1.5 -5.3 -1.1 -4.7 -4.5 -18.3 -8.0 -19.3 -20.0 -20.0 -12.7 -20.0 -8.6 -20.0 End of report for caleb_strategy_v3