******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240319_204017 produced at 2024-03-19 21:37:52.589231 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.72 0.0 0.00 0.00 0.00 0.00 -9.95 11.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.08 -0.32 0.0 0.08 -0.08 -0.08 -0.08 -64.00 17.0 -16 -16 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.31 0.0 0.00 0.00 0.00 0.00 -9.06 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 -4.44 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.47 -0.20 0.0 0.55 -0.55 -0.47 -0.47 -4.74 13.0 -11 -11 caleb_strategy_v3 BOBL False False 0.04 -0.50 -0.09 0.0 0.73 -0.73 -0.50 -0.50 -2.23 19.0 -13 -13 caleb_strategy_v3 CAD False False 0.02 0.00 -0.09 0.0 0.64 -0.64 0.00 0.00 -3.91 29.0 0 0 caleb_strategy_v3 US5 False False 0.03 -0.26 -0.08 0.0 0.80 -0.80 -0.26 -0.26 -2.63 25.0 -8 -8 caleb_strategy_v3 JPY False False 0.03 0.00 -0.08 0.0 0.43 -0.43 0.00 0.00 -3.16 17.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.07 0.0 0.08 -0.08 -0.07 -0.07 -9.76 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 -21.86 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 -4.98 5.0 0 0 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.02 -0.05 0.0 0.00 -0.02 -0.02 -0.02 -33.02 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 -1.26 17.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.04 0.0 0.37 -0.37 0.00 0.00 -2.13 19.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.03 0.0 0.04 -0.04 0.00 0.00 -3.10 4.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.02 -0.03 0.0 0.21 -0.21 -0.02 -0.01 -9.05 68.0 -5 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -4.99 2.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -2.93 9.0 -4 -4 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.07 -0.07 -0.02 -0.02 -1.93 8.0 -2 -2 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.02 0.0 0.43 -0.43 -0.04 -0.04 -0.39 10.0 -1 -1 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.02 0.0 0.12 -0.12 -0.04 -0.04 -0.96 7.0 -2 -2 caleb_strategy_v3 DOW False False 0.01 0.00 -0.02 0.0 0.39 -0.39 0.00 0.00 -3.83 66.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.45 9.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.04 -0.02 0.0 0.38 -0.38 0.04 0.02 -1.30 21.0 2 1 caleb_strategy_v3 EUR False False 0.04 0.16 -0.01 0.0 0.57 -0.57 0.16 0.08 -0.14 14.0 4 2 caleb_strategy_v3 DX False False 0.03 0.00 -0.01 0.0 999.00 -999.00 0.00 0.00 -0.22 999999999.0 0 0 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.01 0.0 0.17 -0.17 0.00 0.00 -0.20 4.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.04 -0.01 0.0 0.09 -0.09 -0.04 -0.04 -0.90 10.0 -5 -5 caleb_strategy_v3 US10U False False 0.03 -0.03 -0.01 0.0 0.44 -0.44 -0.03 -0.07 -0.36 13.0 -1 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.01 0.0 0.25 -0.25 -0.01 -0.01 -1.01 23.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.00 0.0 0.13 -0.13 -0.01 -0.01 -0.50 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 -0.18 6.0 0 0 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 PLAT False False 0.01 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.33 10.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.23 -0.23 0.00 0.00 -0.08 6.0 0 0 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 PALLAD False False 0.03 0.00 0.00 0.0 0.06 -0.06 0.00 0.00 0.02 2.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.00 0.0 0.15 -0.15 -0.03 -0.03 -0.25 11.0 -2 -2 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.58 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 1.38 3.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.02 0.0 0.23 -0.23 0.00 0.00 1.62 23.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.09 0.02 0.0 0.58 -0.58 0.09 0.09 1.10 26.0 4 4 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.02 0.0 0.37 -0.37 0.00 0.00 3.28 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 1.59 0.0 0 0 caleb_strategy_v3 OAT False False 0.04 0.00 0.03 0.0 0.41 -0.41 0.00 0.00 0.63 10.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.15 0.03 0.0 0.38 -0.38 0.15 0.15 4.11 48.0 19 19 caleb_strategy_v3 FEEDCOW False False 0.04 0.24 0.04 0.0 0.32 -0.32 0.24 0.24 1.11 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 23.24 59.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.12 0.05 0.0 0.52 -0.52 0.12 0.12 2.17 22.0 5 5 caleb_strategy_v3 GASOIL False False 0.02 0.07 0.06 0.0 0.10 -0.10 0.07 0.07 2.41 4.0 3 3 caleb_strategy_v3 HEATOIL False False 0.03 0.03 0.06 0.0 0.10 -0.10 0.03 0.07 1.72 3.0 1 2 caleb_strategy_v3 GASOLINE False False 0.03 0.14 0.07 0.0 0.14 -0.14 0.14 0.14 2.00 4.0 4 4 caleb_strategy_v3 BTP False False 0.04 0.19 0.07 0.0 0.39 -0.39 0.19 0.19 1.88 10.0 5 5 caleb_strategy_v3 COPPER False False 0.03 0.15 0.08 0.0 0.18 -0.18 0.15 0.15 2.67 6.0 5 5 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.09 0.0 0.16 -0.16 0.07 0.07 7.73 13.0 6 6 caleb_strategy_v3 NIKKEI False False 0.01 0.16 0.10 0.0 0.29 -0.29 0.16 0.17 12.31 36.0 20 21 caleb_strategy_v3 LIVECOW False False 0.02 0.02 0.11 0.0 0.38 -0.38 0.02 0.02 4.99 17.0 1 1 caleb_strategy_v3 CAC False True 0.03 0.00 0.17 0.0 0.00 0.00 0.00 0.00 6.43 12.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.32 0.17 0.0 0.32 -0.32 0.32 0.32 10.32 20.0 20 20 caleb_strategy_v3 SMI False False 0.04 0.35 0.18 0.0 0.35 -0.35 0.35 0.35 4.57 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 32.54 58.0 22 22 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.16 0.22 0.0 0.79 -0.79 0.16 0.08 2.74 10.0 2 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.09 0.25 0.0 0.12 -0.12 0.09 0.09 10.91 5.0 4 4 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.20 0.26 0.0 0.46 -0.46 0.20 0.17 8.86 16.0 7 6 caleb_strategy_v3 MXP False False 0.01 0.53 0.88 0.0 0.53 -0.53 0.53 0.53 100.10 60.0 60 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 26.2 Shocked risk 92.0 Sum abs risk 64.1 Leverage 6.04 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3343032.11, 'annual_cash_vol_target': 835758.0275, 'daily_cash_vol_target': 52234.87671875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0037 0.6549 0.5598 8.9561 BITCOIN 1883.4102 65000.0000 2.8976 46.3609 BOBL 0.2449 117.5400 0.2083 3.3330 BTP 0.5531 118.6500 0.4662 7.4590 BUND 0.4840 131.7700 0.3673 5.8765 BUXL 1.1512 131.5800 0.8749 13.9990 CAC 44.4715 8170.0000 0.5443 8.7092 CAD 0.0027 0.7380 0.3635 5.8155 CANOLA 6.3853 644.0000 0.9915 15.8641 CHF 0.0046 1.1368 0.4026 6.4409 COCOA 153.3419 7412.0000 2.0688 33.1013 COFFEE 3.0697 181.8000 1.6885 27.0164 COPPER 0.0429 4.0905 1.0493 16.7884 CORN 4.4532 473.2500 0.9410 15.0557 COTTON2 1.5802 93.3800 1.6922 27.0753 CRUDE_W 0.8464 77.5900 1.0908 17.4529 DAX 100.5519 18280.0000 0.5501 8.8010 DOW 204.1756 39545.0000 0.5163 8.2610 DX 0.3358 103.4750 0.3245 5.1924 EUR 0.0041 1.0905 0.3741 5.9856 EURIBOR-ICE 0.0470 97.5750 0.0481 0.7701 EUROSTX 31.7143 4953.0000 0.6403 10.2449 FEEDCOW 1.6779 269.8500 0.6218 9.9487 GASOIL 11.7621 828.2500 1.4201 22.7218 GASOLINE 0.0363 2.7127 1.3396 21.4341 GAS_US_mini 0.0840 1.8700 4.4922 71.8752 GBP 0.0051 1.2728 0.4034 6.4541 GOLD_micro 13.9364 2182.8000 0.6385 10.2154 HEATOIL 0.0373 2.7156 1.3724 21.9581 JGB-SGX-mini 0.2291 145.6700 0.1573 2.5162 JPY 0.0000 0.0067 0.5943 9.5094 LEANHOG 1.0173 101.3000 1.0043 16.0680 LIVECOW 1.2416 184.8750 0.6716 10.7453 LUMBER-new 6.1296 607.5000 1.0090 16.1437 MILK 0.2157 16.6500 1.2957 20.7304 MXP 0.0003 0.0586 0.5227 8.3632 NASDAQ_micro 143.0518 18269.0000 0.7830 12.5285 NIKKEI 386.4309 39835.0000 0.9701 15.5213 NZD 0.0036 0.6054 0.6008 9.6124 OAT 0.4820 127.4100 0.3783 6.0534 OATIES 5.4142 356.0000 1.5209 24.3337 OJ 6.5360 358.7000 1.8221 29.1542 PALLAD 29.2384 1001.5000 2.9195 46.7114 PLAT 16.0617 906.9000 1.7711 28.3369 REDWHEAT 9.9935 579.0000 1.7260 27.6159 RICE 0.1547 17.9750 0.8604 13.7666 ROBUSTA 42.0371 3358.0000 1.2519 20.0296 RUSSELL 21.4024 2059.8000 1.0391 16.6248 SHATZ 0.0824 105.5950 0.0780 1.2484 SILVER-mini 0.3365 25.1625 1.3373 21.3973 SMI 67.3967 11461.0000 0.5881 9.4088 SOFR 0.0650 96.3050 0.0675 1.0805 SOYBEAN 9.5698 1181.5000 0.8100 12.9595 SOYMEAL 3.9736 338.4000 1.1742 18.7875 SOYOIL 0.6286 48.7200 1.2903 20.6443 SP400 21.9705 2974.3000 0.7387 11.8189 SP500_micro 29.8949 5240.5000 0.5705 9.1273 SUGAR11 0.3452 21.2800 1.6224 25.9582 US10 0.3866 110.1875 0.3509 5.6142 US10U 0.5224 113.7812 0.4591 7.3458 US2 0.1055 102.1914 0.1032 1.6520 US20 0.7730 118.7812 0.6508 10.4121 US30 1.1477 126.6562 0.9062 14.4990 US5 0.2582 106.6641 0.2421 3.8730 VIX 0.4029 16.6000 2.4273 38.8364 WHEAT 8.5860 603.5000 1.4227 22.7631 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 654.90 0.56 366.58 1.00 366.58 52234.88 142.49 -5.77 -82.18 BITCOIN 65.00 2.90 188.34 1.00 188.34 52234.88 277.34 7.74 214.63 BOBL 1175.40 0.21 244.85 1.09 266.69 52234.88 195.86 -11.23 -219.90 BTP 1186.50 0.47 553.13 1.09 602.47 52234.88 86.70 6.34 55.00 BUND 1317.70 0.37 483.97 1.09 527.14 52234.88 99.09 -3.87 -38.35 BUXL 1315.80 0.87 1151.24 1.09 1253.93 52234.88 41.66 -4.66 -19.40 CAC 817.00 0.54 444.71 1.09 484.38 52234.88 107.84 17.49 188.63 CAD 738.05 0.36 268.26 1.00 268.26 52234.88 194.72 -7.74 -150.69 CANOLA 128.80 0.99 127.71 0.74 94.35 52234.88 553.63 -16.23 -898.64 CHF 1421.00 0.40 572.03 1.00 572.03 52234.88 91.31 -20.00 -182.63 COCOA 741.20 2.07 1533.42 1.00 1533.42 52234.88 34.06 15.11 51.46 COFFEE 681.75 1.69 1151.15 1.00 1151.15 52234.88 45.38 -3.34 -15.17 COPPER 1022.62 1.05 1073.02 1.00 1073.02 52234.88 48.68 5.06 24.64 CORN 236.62 0.94 222.66 1.00 222.66 52234.88 234.60 -17.11 -401.30 COTTON2 466.90 1.69 790.09 1.00 790.09 52234.88 66.11 -1.73 -11.44 CRUDE_W 775.90 1.09 846.35 1.00 846.35 52234.88 61.72 16.32 100.75 DAX 182.80 0.55 100.55 1.09 109.52 52234.88 476.94 20.00 953.88 DOW 197.72 0.52 102.09 1.00 102.09 52234.88 511.67 -3.22 -164.73 DX 1034.75 0.32 335.80 1.00 335.80 52234.88 155.55 -0.55 -8.56 EUR 1363.12 0.37 509.95 1.00 509.95 52234.88 102.43 -0.52 -5.36 EURIBOR-ICE 2439.38 0.05 117.41 1.09 127.88 52234.88 408.47 1.97 80.28 EUROSTX 495.30 0.64 317.14 1.09 345.43 52234.88 151.22 20.00 302.43 FEEDCOW 1349.25 0.62 838.96 1.00 838.96 52234.88 62.26 5.40 33.63 GASOIL 828.25 1.42 1176.21 1.00 1176.21 52234.88 44.41 12.51 55.57 GASOLINE 1139.33 1.34 1526.29 1.00 1526.29 52234.88 34.22 13.51 46.22 GAS_US_mini 46.75 4.49 210.01 1.00 210.01 52234.88 248.73 -12.26 -304.89 GBP 795.50 0.40 320.89 1.00 320.89 52234.88 162.78 5.15 83.83 GOLD_micro 218.28 0.64 139.36 1.00 139.36 52234.88 374.81 2.56 96.08 HEATOIL 1140.55 1.37 1565.27 1.00 1565.27 52234.88 33.37 11.86 39.59 JGB-SGX-mini 145670.00 0.16 22908.29 0.01 153.48 52234.88 340.35 2.40 81.79 JPY 839.81 0.59 499.13 1.00 499.13 52234.88 104.65 -11.63 -121.74 LEANHOG 405.20 1.00 406.92 1.00 406.92 52234.88 128.37 9.90 127.13 LIVECOW 739.50 0.67 496.63 1.00 496.63 52234.88 105.18 14.30 150.44 LUMBER-new 167.06 1.01 168.56 1.00 168.56 52234.88 309.88 2.08 64.42 MILK 333.00 1.30 431.45 1.00 431.45 52234.88 121.07 -19.22 -232.64 MXP 293.05 0.52 153.18 1.00 153.18 52234.88 341.01 20.00 682.02 NASDAQ_micro 365.38 0.78 286.10 1.00 286.10 52234.88 182.57 -2.38 -43.47 NIKKEI 39835.00 0.97 38643.09 0.01 258.89 52234.88 201.76 5.63 113.69 NZD 605.35 0.60 363.68 1.00 363.68 52234.88 143.63 -3.50 -50.26 OAT 1274.10 0.38 482.04 1.09 525.04 52234.88 99.49 1.86 18.51 OATIES 178.00 1.52 270.71 1.00 270.71 52234.88 192.95 -10.64 -205.22 OJ 538.05 1.82 980.40 1.00 980.40 52234.88 53.28 5.04 26.85 PALLAD 1001.50 2.92 2923.84 1.00 2923.84 52234.88 17.87 0.32 0.57 PLAT 453.45 1.77 803.09 1.00 803.09 52234.88 65.04 1.49 9.69 REDWHEAT 289.50 1.73 499.68 1.00 499.68 52234.88 104.54 -13.94 -145.69 RICE 359.50 0.86 309.32 1.00 309.32 52234.88 168.87 -7.54 -127.32 ROBUSTA 335.80 1.25 420.37 1.00 420.37 52234.88 124.26 11.17 138.74 RUSSELL 102.99 1.04 107.01 1.00 107.01 52234.88 488.12 -5.60 -273.19 SHATZ 1055.95 0.08 82.39 1.09 89.74 52234.88 582.09 -15.35 -893.34 SILVER-mini 629.06 1.34 841.27 1.00 841.27 52234.88 62.09 7.51 46.60 SMI 1146.10 0.59 673.97 1.13 762.56 52234.88 68.50 19.55 133.95 SOFR 2407.63 0.07 162.59 1.00 162.59 52234.88 321.26 -5.10 -163.71 SOYBEAN 590.75 0.81 478.49 1.00 478.49 52234.88 109.17 -9.46 -103.30 SOYMEAL 338.40 1.17 397.36 1.00 397.36 52234.88 131.46 -20.00 -262.91 SOYOIL 292.32 1.29 377.17 1.00 377.17 52234.88 138.49 -6.99 -96.77 SP400 2974.30 0.74 2197.05 1.00 2197.05 52234.88 23.78 0.64 1.53 SP500_micro 262.02 0.57 149.47 1.00 149.47 52234.88 349.46 5.06 176.84 SUGAR11 238.34 1.62 386.67 1.00 386.67 52234.88 135.09 -1.76 -23.72 US10 1101.88 0.35 386.63 1.00 386.63 52234.88 135.10 -7.36 -99.37 US10U 1137.81 0.46 522.38 1.00 522.38 52234.88 99.99 -2.81 -28.09 US2 2043.83 0.10 211.02 1.00 211.02 52234.88 247.54 -14.16 -350.62 US20 1187.81 0.65 772.98 1.00 772.98 52234.88 67.58 0.29 1.98 US30 1266.56 0.91 1147.74 1.00 1147.74 52234.88 45.51 -1.46 -6.64 US5 1066.64 0.24 258.19 1.00 258.19 52234.88 202.31 -10.27 -207.72 VIX 166.00 2.43 402.93 1.00 402.93 52234.88 129.64 -20.00 -259.28 WHEAT 301.75 1.42 429.30 1.00 429.30 52234.88 121.68 -18.13 -220.60 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -82.183 0.010 2.5 -2.132 BITCOIN 214.627 0.043 2.5 23.241 BOBL -219.903 0.004 2.5 -2.230 BTP 55.004 0.014 2.5 1.876 BUND -38.346 0.004 2.5 -0.389 BUXL -19.403 0.004 2.5 -0.197 CAC 188.633 0.014 2.5 6.434 CAD -150.694 0.010 2.5 -3.910 CANOLA -898.639 0.010 2.5 -21.863 CHF -182.629 0.010 2.5 -4.738 COCOA 51.460 0.009 2.5 1.102 COFFEE -15.173 0.005 2.5 -0.177 COPPER 24.643 0.043 2.5 2.669 CORN -401.299 0.010 2.5 -9.763 COTTON2 -11.442 0.009 2.5 -0.245 CRUDE_W 100.746 0.043 2.5 10.910 DAX 953.877 0.014 2.5 32.535 DOW -164.734 0.009 2.5 -3.828 DX -8.556 0.010 2.5 -0.222 EUR -5.356 0.010 2.5 -0.139 EURIBOR-ICE 80.282 0.014 2.5 2.738 EUROSTX 302.432 0.014 2.5 10.315 FEEDCOW 33.632 0.013 2.5 1.114 GASOIL 55.574 0.017 2.5 2.409 GASOLINE 46.219 0.017 2.5 2.004 GAS_US_mini -304.893 0.043 2.5 -33.016 GBP 83.827 0.010 2.5 2.175 GOLD_micro 96.077 0.014 2.5 3.277 HEATOIL 39.593 0.017 2.5 1.716 JGB-SGX-mini 81.793 0.043 2.5 8.857 JPY -121.738 0.010 2.5 -3.159 LEANHOG 127.130 0.024 2.5 7.726 LIVECOW 150.444 0.013 2.5 4.985 LUMBER-new 64.424 0.009 2.5 1.378 MILK -232.636 0.009 2.5 -4.982 MXP 682.021 0.059 2.5 100.102 NASDAQ_micro -43.467 0.009 2.5 -1.010 NIKKEI 113.685 0.043 2.5 12.311 NZD -50.258 0.010 2.5 -1.304 OAT 18.509 0.014 2.5 0.631 OATIES -205.217 0.010 2.5 -4.993 OJ 26.854 0.009 2.5 0.575 PALLAD 0.572 0.014 2.5 0.020 PLAT 9.688 0.014 2.5 0.330 REDWHEAT -145.693 0.005 2.5 -1.933 RICE -127.320 0.010 2.5 -3.098 ROBUSTA 138.737 0.005 2.5 1.620 RUSSELL -273.186 0.013 2.5 -9.053 SHATZ -893.336 0.004 2.5 -9.059 SILVER-mini 46.604 0.014 2.5 1.590 SMI 133.948 0.014 2.5 4.569 SOFR -163.706 0.024 2.5 -9.949 SOYBEAN -103.303 0.004 2.5 -0.961 SOYMEAL -262.912 0.004 2.5 -2.445 SOYOIL -96.771 0.004 2.5 -0.901 SP400 1.530 0.013 2.5 0.051 SP500_micro 176.840 0.009 2.5 4.110 SUGAR11 -23.723 0.009 2.5 -0.505 US10 -99.369 0.005 2.5 -1.259 US10U -28.092 0.005 2.5 -0.356 US2 -350.620 0.005 2.5 -4.443 US20 1.979 0.005 2.5 0.025 US30 -6.643 0.005 2.5 -0.084 US5 -207.722 0.005 2.5 -2.632 VIX -259.277 0.099 2.5 -64.000 WHEAT -220.601 0.005 2.5 -2.926 ===================== Position diags ===================== AUD 3.70 BITCOIN 30.03 BOBL 1.99 BTP 2.96 BUND 1.00 BUXL 0.42 CAC 3.68 CAD 5.05 CANOLA 13.47 CHF 2.37 COCOA 0.73 COFFEE 0.53 COPPER 5.27 CORN 5.71 COTTON2 1.42 CRUDE_W 6.68 DAX 16.27 DOW 11.89 DX 4.04 EUR 2.66 EURIBOR-ICE 13.93 EUROSTX 5.16 FEEDCOW 2.06 GASOIL 1.93 GASOLINE 1.48 GAS_US_mini 26.93 GBP 4.22 GOLD_micro 12.78 HEATOIL 1.45 JGB-SGX-mini 36.86 JPY 2.72 LEANHOG 7.80 LIVECOW 3.49 LUMBER-new 6.63 MILK 2.59 MXP 50.05 NASDAQ_micro 4.24 NIKKEI 21.85 NZD 3.73 OAT 3.39 OATIES 4.69 OJ 1.14 PALLAD 0.61 PLAT 2.22 REDWHEAT 1.39 RICE 4.11 ROBUSTA 1.45 RUSSELL 16.18 SHATZ 5.90 SILVER-mini 2.12 SMI 2.34 SOFR 19.52 SOYBEAN 1.02 SOYMEAL 1.22 SOYOIL 1.29 SP400 0.79 SP500_micro 8.12 SUGAR11 2.87 US10 1.71 US10U 1.27 US2 3.14 US20 0.86 US30 0.58 US5 2.56 VIX 32.00 WHEAT 1.61 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.1 -2.5 -1.8 0.0 0 BITCOIN 23.2 20.2 26.2 0.0 0 BOBL -2.2 -2.4 -2.0 -13.0 -13 BTP 1.9 1.6 2.2 5.0 5 BUND -0.4 -0.5 -0.3 -1.0 -1 BUXL -0.2 -0.2 -0.2 0.0 0 CAC 6.4 6.1 6.8 0.0 0 CAD -3.9 -4.4 -3.4 0.0 0 CANOLA -21.9 -23.2 -20.5 -6.0 -6 CHF -4.7 -5.0 -4.5 -11.0 -11 COCOA 1.1 1.0 1.2 4.0 4 COFFEE -0.2 -0.2 -0.1 0.0 0 COPPER 2.7 2.1 3.2 5.0 5 CORN -9.8 -10.3 -9.2 -10.0 -10 COTTON2 -0.2 -0.4 -0.1 -2.0 -2 CRUDE_W 10.9 10.2 11.6 4.0 4 DAX 32.5 30.9 34.2 22.0 22 DOW -3.8 -5.0 -2.6 0.0 0 DX -0.2 -0.6 0.2 NaN 0 EUR -0.1 -0.4 0.1 4.0 4 EURIBOR-ICE 2.7 1.3 4.1 2.0 2 EUROSTX 10.3 9.8 10.8 20.0 20 FEEDCOW 1.1 0.9 1.3 6.0 6 GASOIL 2.4 2.2 2.6 3.0 3 GASOLINE 2.0 1.9 2.2 4.0 4 GAS_US_mini -33.0 -35.7 -30.3 -16.0 -16 GBP 2.2 1.8 2.6 5.0 5 GOLD_micro 3.3 2.0 4.6 0.0 0 HEATOIL 1.7 1.6 1.9 1.0 1 JGB-SGX-mini 8.9 5.2 12.5 7.0 7 JPY -3.2 -3.4 -2.9 0.0 0 LEANHOG 7.7 6.9 8.5 6.0 6 LIVECOW 5.0 4.6 5.3 1.0 1 LUMBER-new 1.4 0.7 2.0 NaN 0 MILK -5.0 -5.2 -4.7 NaN 0 MXP 100.1 95.1 105.1 60.0 60 NASDAQ_micro -1.0 -1.4 -0.6 -1.0 -1 NIKKEI 12.3 10.1 14.5 20.0 20 NZD -1.3 -1.7 -0.9 2.0 2 OAT 0.6 0.3 1.0 0.0 0 OATIES -5.0 -5.5 -4.5 NaN 0 OJ 0.6 0.5 0.7 NaN 0 PALLAD 0.0 -0.0 0.1 0.0 0 PLAT 0.3 0.1 0.6 0.0 0 REDWHEAT -1.9 -2.1 -1.8 -2.0 -2 RICE -3.1 -3.5 -2.7 NaN 0 ROBUSTA 1.6 1.5 1.8 0.0 0 RUSSELL -9.1 -10.7 -7.4 -5.0 -5 SHATZ -9.1 -9.6 -8.5 NaN 0 SILVER-mini 1.6 1.4 1.8 NaN 0 SMI 4.6 4.3 4.8 9.0 9 SOFR -9.9 -11.9 -8.0 NaN 0 SOYBEAN -1.0 -1.1 -0.9 -2.0 -2 SOYMEAL -2.4 -2.6 -2.3 0.0 0 SOYOIL -0.9 -1.0 -0.8 -5.0 -5 SP400 0.1 -0.0 0.1 2.0 2 SP500_micro 4.1 3.3 4.9 19.0 19 SUGAR11 -0.5 -0.8 -0.2 -1.0 -1 US10 -1.3 -1.4 -1.1 0.0 0 US10U -0.4 -0.5 -0.2 -1.0 -1 US2 -4.4 -4.8 -4.1 NaN 0 US20 0.0 -0.1 0.1 1.0 1 US30 -0.1 -0.1 -0.0 0.0 0 US5 -2.6 -2.9 -2.4 -8.0 -8 VIX -64.0 -67.2 -60.8 -16.0 -16 WHEAT -2.9 -3.1 -2.8 -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 -0.1 -0.1 -0.0 -0.4 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 0.4 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.1 -0.2 -0.7 -0.4 -0.4 -0.0 BITCOIN 0.5 0.5 0.3 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.5 0.1 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.2 0.1 -0.2 -0.3 0.6 0.6 0.6 -0.2 0.0 0.6 0.2 BOBL -0.1 -0.6 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.3 -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 -0.1 -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 -0.0 -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 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 0.1 -0.0 0.1 -0.1 -0.6 -0.7 0.4 -0.4 BUXL -0.0 -0.3 0.3 -0.0 -0.0 -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 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.0 0.0 0.1 0.2 0.1 -0.7 -0.7 0.1 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 0.0 0.2 0.1 0.2 0.1 0.2 0.5 0.5 0.6 0.0 -0.2 0.5 -0.1 0.7 CAD -0.1 -0.2 0.2 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.5 -0.2 -0.0 -0.5 -0.5 -0.0 -0.4 CANOLA 0.6 0.2 -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 -0.7 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 -0.2 0.0 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.2 0.0 -0.2 -0.6 -0.1 -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 -0.2 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 -0.3 -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 0.0 -0.0 0.1 0.1 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 0.1 0.1 0.1 0.0 0.1 0.1 0.5 0.6 0.3 0.4 -0.7 -0.1 0.4 0.2 CORN 0.6 0.1 -0.2 0.0 0.0 0.0 0.1 -0.1 0.0 0.2 -0.5 0.2 -0.7 0.1 -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 -0.9 0.4 0.1 -0.6 -0.6 -0.2 -0.7 -0.1 -0.0 COTTON2 -0.5 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 0.1 0.1 -0.0 0.0 -0.0 0.1 0.1 -0.0 0.1 0.0 -2.7 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 -0.2 0.4 0.6 0.6 -0.5 -0.5 -0.2 0.0 CRUDE_W 0.3 0.3 -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 0.2 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 0.4 -0.0 -0.0 0.7 0.7 0.7 0.7 DAX 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 -0.3 -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 0.3 0.2 -0.2 0.4 0.1 0.7 DOW -0.3 -0.2 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 -0.3 -0.6 -0.6 0.2 -0.2 -0.2 0.0 -0.5 DX -0.3 0.2 -0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 0.2 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 -0.0 -2.7 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.8 -0.2 -0.6 0.4 -0.6 0.5 0.1 0.7 0.3 EUR 0.3 -0.1 0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.2 -0.0 0.0 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 -0.0 -0.1 0.0 2.7 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.4 -0.1 0.3 0.0 -0.2 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.1 -0.6 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 0.1 -0.1 -0.0 -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 0.1 0.0 0.0 0.1 -0.7 -0.7 0.3 0.7 EUROSTX 0.3 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 0.0 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 0.1 0.4 0.6 0.3 -0.4 0.5 -0.3 0.7 FEEDCOW -0.3 0.6 0.5 0.0 0.0 0.0 0.1 -0.1 0.1 0.1 0.1 0.0 0.1 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 0.1 0.2 0.2 -1.1 0.1 0.0 0.1 0.0 0.2 0.0 -1.1 -0.3 -0.2 0.6 0.6 0.7 0.5 0.7 0.7 GASOIL -0.0 0.3 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.4 0.2 0.2 0.4 0.4 0.4 0.4 0.1 0.1 0.2 0.4 0.2 1.0 0.1 0.1 0.1 0.1 0.2 0.1 1.1 -0.1 -0.2 0.1 0.1 -0.4 -0.3 -0.7 -0.5 GASOLINE 0.3 0.5 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 0.2 0.2 0.3 0.2 -2.7 0.1 0.1 0.1 0.1 0.2 0.1 -0.5 0.2 0.5 0.4 0.5 0.7 0.6 0.7 0.5 GAS_US_mini 0.3 -0.2 -0.3 0.0 0.1 0.0 0.1 0.0 0.0 -0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.4 -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 0.2 -0.0 0.2 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.2 0.3 0.0 0.4 0.1 0.1 -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 -0.0 0.4 0.3 0.3 -0.7 -0.2 -0.7 0.0 GOLD_micro 0.6 0.4 0.3 0.0 -0.0 0.0 0.0 -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 0.3 0.2 -0.5 0.1 0.0 0.1 0.1 0.1 0.1 -0.8 0.2 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL 0.1 0.3 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 0.2 -2.7 0.1 0.1 0.2 0.1 0.2 0.1 1.1 0.1 0.1 0.1 0.2 0.6 0.2 0.5 0.1 JGB-SGX-mini -0.2 -0.2 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.0 0.2 -0.1 0.0 0.2 0.3 0.2 0.2 -0.0 0.0 -0.0 0.1 -0.0 -0.8 -0.0 0.0 0.0 -0.0 0.0 -0.0 1.1 0.2 0.0 0.0 0.0 -0.3 -0.7 0.1 0.3 JPY 0.4 -0.2 -0.1 0.0 -0.0 0.0 -0.0 0.1 0.0 -0.1 -0.4 -0.1 -0.6 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.1 -0.5 -0.1 2.7 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 -1.1 -0.2 -0.1 -0.3 -0.3 -0.7 -0.4 -0.5 -0.5 LEANHOG 0.3 0.6 0.5 0.1 0.0 0.1 0.1 -0.1 0.1 -0.0 0.3 0.2 -0.4 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 0.1 -0.2 0.2 2.3 0.1 -0.0 0.2 0.0 0.0 0.1 -1.1 -0.4 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 0.1 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 0.1 0.2 0.6 0.5 0.7 0.2 0.7 0.6 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 -0.3 0.7 0.7 0.7 -0.4 -0.7 -0.3 -0.5 MILK -0.6 0.1 0.2 0.0 0.0 0.0 0.0 -0.1 0.0 -0.0 -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 -0.1 1.5 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.4 -0.6 -0.2 -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 -0.0 0.5 0.2 0.7 0.2 0.2 0.4 0.3 0.3 0.3 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 0.1 0.4 0.1 1.1 0.4 0.6 0.6 0.5 0.7 0.7 0.7 0.7 NASDAQ_micro -0.3 0.1 0.4 0.1 0.0 0.1 0.0 0.1 0.0 -0.0 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 -0.3 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 0.1 0.4 0.0 0.6 0.1 0.2 0.1 0.2 0.2 0.2 0.2 0.2 0.1 0.5 0.2 -1.9 0.1 0.0 0.2 0.0 0.2 0.0 1.1 -0.5 -0.2 0.3 0.6 -0.7 -0.2 -0.3 -0.2 NZD -0.2 -0.1 0.2 0.0 -0.0 0.0 -0.0 0.1 0.0 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.0 0.2 -0.3 -0.4 -0.0 -0.0 -0.3 -0.3 -0.0 0.1 OAT 0.0 -0.4 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.0 -0.1 -0.0 0.1 0.1 0.1 0.1 -0.0 0.0 -0.1 0.0 -0.0 0.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.6 0.2 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 -0.3 -0.2 -0.2 -0.3 0.0 -0.0 0.4 OJ -0.3 0.3 -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 0.2 -0.0 0.4 0.0 1.1 -0.3 -0.3 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 0.0 -0.3 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.2 0.0 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 -0.1 -0.1 0.0 -0.3 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 0.0 1.3 0.0 -0.1 -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 0.1 -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 -0.0 -1.1 -0.1 0.0 -0.2 -0.0 -0.2 -0.0 0.2 0.1 -0.3 -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 -2.7 0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.5 -0.5 -0.6 0.1 0.0 0.2 -0.1 0.5 0.2 ROBUSTA 0.1 -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 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.3 0.1 1.1 0.5 0.6 0.6 0.6 -0.7 -0.6 -0.4 0.0 RUSSELL 0.1 0.2 0.5 0.1 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 0.0 -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 0.0 0.1 0.1 0.0 0.1 -0.1 0.4 0.6 0.4 0.2 -0.6 -0.6 0.6 -0.0 SMI 0.5 0.4 0.6 0.1 0.0 0.2 0.0 0.2 0.1 0.0 0.5 0.1 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 0.3 -0.0 -0.4 -0.2 0.4 -0.2 0.7 -0.3 SOFR 0.1 -0.4 0.2 -0.0 -0.0 -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 -0.0 0.0 -0.0 0.0 -0.0 0.1 0.0 0.1 0.0 0.0 -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 -0.1 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 0.4 -0.5 -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 -0.1 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 -0.0 -0.3 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 0.3 -0.4 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.4 0.1 -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 0.4 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 -1.8 0.1 -0.0 0.2 0.0 0.2 0.1 0.0 -0.4 -0.1 -0.2 0.0 -0.5 -0.3 -0.4 -0.7 SP500_micro 0.1 0.4 0.6 0.1 0.0 0.2 0.0 0.1 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.3 0.1 -0.5 -0.1 -0.1 0.2 0.5 0.1 -0.1 0.5 -0.2 SUGAR11 -0.1 -0.0 -0.5 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 -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 0.2 -0.4 -0.3 -0.6 0.6 0.1 0.7 0.5 US10 0.1 -0.4 0.2 -0.0 -0.0 -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 -0.1 0.3 -0.0 -0.0 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 0.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 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 -0.1 -0.6 0.0 -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 -0.1 -0.1 -0.2 -0.1 1.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.0 -0.2 -0.2 -0.0 -0.7 -0.7 -0.6 -0.7 US20 0.1 -0.2 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.0 0.1 0.2 0.2 0.2 -0.7 -0.7 0.7 0.7 US30 0.1 -0.2 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 -0.1 -0.1 -0.0 -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 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.8 0.0 -0.0 -0.1 0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.3 0.4 -0.3 -0.1 -0.0 -0.5 -0.0 -0.9 -0.1 -0.1 -0.9 -0.1 -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 -0.0 -0.6 -0.0 -1.1 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.1 -0.3 -0.1 0.0 0.0 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 0.1 -0.5 -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 5.3 -5.6 2.0 0.6 -4.2 2.1 -0.5 3.6 0.8 -13.7 -3.5 -0.3 -10.5 4.6 -9.3 -2.9 -2.9 -2.8 -2.8 -2.0 -2.4 -4.0 -5.4 -0.1 2.8 -0.9 -8.7 -0.9 -2.4 -2.0 0.0 -1.2 1.7 -3.4 -3.7 -6.6 -20.0 -10.8 -11.8 -0.7 BITCOIN 14.6 16.6 9.9 3.4 -3.6 0.0 4.6 -0.8 6.8 -15.4 20.0 10.6 20.0 18.2 20.0 -10.1 -7.2 -9.2 -8.4 20.0 20.0 11.0 20.0 20.0 -20.0 7.8 -3.0 6.6 2.5 4.8 7.0 -3.1 -12.6 20.0 20.0 20.0 -5.5 0.7 17.0 4.6 BOBL -3.4 -20.0 1.6 -1.2 -4.0 -0.1 -3.7 -0.8 -2.4 -7.5 -1.3 -7.1 -2.0 -8.5 -7.3 -1.0 -14.7 -17.4 -18.4 -7.2 -3.0 -8.1 -3.2 -8.1 6.7 -2.2 -3.0 -0.8 -3.0 -0.6 -2.7 -20.0 3.5 -3.6 -2.7 -4.5 -20.0 -20.0 3.3 -20.0 BTP 8.1 -3.2 15.2 -2.0 -6.6 -0.2 -6.2 -1.4 -4.0 -10.5 11.4 6.5 10.6 7.8 8.7 4.7 6.3 4.8 5.2 10.8 13.6 3.6 10.3 8.7 -18.7 4.7 -2.3 5.5 1.6 4.3 4.1 11.8 20.0 20.0 20.0 12.6 -11.3 -15.8 20.0 2.9 BUND -2.1 -14.8 6.1 -1.3 -4.5 -0.2 -4.2 -0.9 -2.7 -9.3 0.8 -7.7 -0.9 -8.7 -5.5 -7.1 2.7 -1.6 0.4 -4.3 -0.4 -8.3 -2.1 -6.3 4.2 -1.6 -4.9 -0.0 -4.0 -0.2 -2.7 4.7 2.4 -1.2 1.8 -1.6 -17.7 -20.0 11.0 -10.9 BUXL -0.1 -9.5 9.2 -1.6 -5.6 -0.2 -5.2 -1.2 -3.3 -12.5 2.5 -8.9 -4.1 -8.8 -4.2 -6.9 -0.7 -3.7 -1.9 -2.0 0.9 -9.6 -4.0 -5.1 0.0 -0.7 -7.9 0.8 -5.4 -0.6 -2.5 0.0 1.7 1.9 5.8 1.9 -20.0 -20.0 4.4 1.0 CAC 17.8 20.0 18.7 8.6 2.4 7.3 4.9 4.9 7.5 20.0 20.0 20.0 20.0 20.0 20.0 12.1 -3.4 0.5 -2.9 20.0 20.0 20.0 20.0 20.0 -11.2 9.4 4.3 7.4 7.8 5.4 9.6 4.1 20.0 15.7 18.0 0.9 -4.9 14.8 -1.8 20.0 CAD -2.1 -6.7 5.1 0.7 -4.8 2.5 -0.6 4.1 0.9 -16.0 -2.0 -5.4 -4.4 -11.4 -10.1 -2.3 -2.2 -2.2 -2.2 -4.2 -2.0 -6.9 -4.1 -5.3 -0.2 -2.7 -8.6 -1.3 -4.5 -2.2 -3.3 0.0 -1.5 -14.3 -5.7 -0.6 -15.9 -14.5 -0.7 -12.5 CANOLA 20.0 5.6 -20.0 2.3 2.3 0.9 2.8 -1.5 2.6 11.7 -11.7 12.6 -11.3 4.6 -7.9 -15.3 -5.1 -13.7 -11.0 -6.9 -20.0 20.0 -20.0 10.8 -20.0 -1.9 5.8 -5.2 5.7 -6.0 2.8 -12.4 20.0 20.0 -14.7 -20.0 -20.0 -20.0 -17.8 -7.7 CHF -3.5 -20.0 -3.8 0.6 -4.4 2.2 -0.6 3.7 0.8 -19.9 -5.1 -16.3 1.2 -20.0 -18.4 -16.0 -15.6 -15.8 -15.7 -17.4 -8.5 -19.1 0.4 -18.5 -4.5 -5.0 -9.2 -1.4 -7.2 1.2 -6.4 -20.0 -20.0 -20.0 -20.0 -4.0 -15.7 -16.6 -5.6 -17.3 COCOA 7.1 3.5 -14.8 1.3 1.3 0.5 1.6 -0.9 1.5 6.3 8.0 7.3 8.0 7.7 7.8 20.0 12.1 20.0 20.0 20.0 15.3 20.0 10.6 20.0 -11.3 2.8 2.4 2.7 2.6 2.3 2.6 20.0 20.0 20.0 20.0 20.0 8.2 1.8 16.9 16.7 COFFEE -2.8 -4.9 9.1 3.4 3.4 1.4 4.2 -2.3 3.9 -14.4 10.2 -5.5 7.3 -2.3 2.8 13.9 8.2 14.4 11.4 3.2 8.8 -3.2 6.8 -1.3 -20.0 1.4 -1.9 4.9 -1.5 5.3 -0.6 17.9 -10.6 -7.2 -6.1 10.2 -9.3 -20.0 -2.1 -13.4 COPPER 16.2 6.7 7.6 3.2 -3.4 0.0 4.3 -0.7 6.4 13.4 7.3 18.4 -4.6 19.1 14.4 -4.5 -4.9 -5.3 -5.5 16.3 7.8 20.0 1.0 20.0 -14.0 5.1 9.0 2.2 12.4 0.4 9.4 1.3 20.0 18.4 8.1 13.3 -20.0 -2.2 12.0 5.3 CORN 20.0 3.5 -7.7 3.8 3.8 1.5 4.7 -2.5 4.4 18.0 -18.5 19.3 -20.0 5.0 -12.3 -18.9 -7.4 -16.7 -13.1 -13.0 -20.0 10.7 -20.0 2.6 -18.6 -5.6 3.2 -7.9 3.1 -7.5 -0.4 -16.0 15.1 4.1 -20.0 -20.0 -6.2 -20.0 -4.4 -0.3 COTTON2 -15.3 18.8 18.0 2.1 2.1 0.8 2.5 -1.4 2.4 -9.7 5.5 -6.9 3.4 3.2 6.6 4.3 -0.5 0.3 -1.7 9.2 7.7 -3.2 3.1 3.7 -20.0 3.7 -0.8 3.1 0.0 1.7 2.1 -1.0 -8.3 12.6 20.0 20.0 -14.3 -13.5 -5.5 1.0 CRUDE_W 10.3 8.6 -0.4 6.0 15.4 3.6 12.6 3.1 8.7 20.0 1.0 20.0 9.3 20.0 18.1 13.4 10.1 11.0 10.2 14.3 9.0 20.0 11.6 20.0 -5.1 7.3 18.5 4.8 15.7 5.8 11.3 -1.1 4.7 10.9 -0.3 -1.2 20.0 20.0 20.0 20.0 DAX 19.0 17.8 20.0 8.2 2.3 7.0 4.7 4.7 7.2 20.0 20.0 20.0 20.0 20.0 20.0 -12.7 -11.6 -14.2 -13.3 20.0 20.0 20.0 20.0 20.0 18.0 9.1 3.3 7.6 6.2 5.4 8.7 -11.2 2.8 20.0 8.9 6.6 -4.6 13.1 2.8 20.0 DOW -9.3 -4.8 20.0 7.0 2.0 6.0 4.0 4.0 6.1 9.8 20.0 3.1 20.0 13.8 20.0 -13.4 -11.0 -13.2 -12.3 20.0 20.0 3.5 20.0 7.7 -15.6 7.1 3.3 10.8 1.1 10.1 2.5 -9.9 -12.2 -20.0 -20.0 6.7 -6.1 -5.9 1.2 -14.1 DX -10.2 5.0 -1.5 0.6 -4.6 2.4 -0.6 3.9 0.8 17.4 2.6 2.5 0.9 -6.7 6.3 7.0 6.2 6.6 6.4 -0.1 1.5 5.3 3.7 -2.2 -20.0 -1.0 11.7 -0.3 3.1 1.6 -1.4 14.7 -9.0 -20.0 11.4 -17.3 16.4 3.1 20.0 9.4 EUR 9.7 -2.3 0.7 0.7 -4.8 2.5 -0.6 4.1 0.9 -19.5 -1.2 1.9 -0.3 10.2 -5.8 -6.9 -6.7 -6.6 -6.5 1.8 -0.7 -1.4 -2.1 4.4 20.0 2.3 -7.1 1.3 -0.9 0.2 2.9 -7.5 -4.9 8.2 1.4 -5.9 -20.0 -16.0 -20.0 -12.5 EURIBOR-ICE -2.3 -20.0 9.9 -1.0 -3.5 -0.1 -3.3 -0.7 -2.1 -6.3 3.3 -4.6 2.9 -5.7 -1.7 -3.4 -3.8 -1.5 -2.2 -1.8 3.8 -5.8 3.8 -4.2 14.2 -0.4 -3.0 1.6 -2.4 1.6 -1.5 -3.4 4.8 0.1 0.8 3.1 -20.0 -20.0 9.0 20.0 EUROSTX 10.6 20.0 20.0 8.1 2.3 7.0 4.7 4.7 7.1 18.0 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 2.2 8.0 5.0 5.9 7.9 15.3 6.2 11.7 20.0 10.2 -10.5 15.7 -8.6 20.0 FEEDCOW -10.5 20.0 14.3 4.3 4.3 1.7 5.2 -2.8 4.9 12.8 3.0 4.2 2.1 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 15.4 5.7 8.6 13.9 -8.0 5.3 3.5 4.3 1.2 5.1 2.6 -20.0 -11.9 -7.0 20.0 20.0 20.0 15.7 20.0 20.0 GASOIL -0.2 10.2 2.8 4.9 12.5 2.9 10.3 2.5 7.0 18.8 7.8 15.4 11.6 15.4 15.4 20.0 20.0 20.0 20.0 12.9 11.8 20.0 13.7 14.8 7.3 5.5 14.0 5.3 9.8 5.9 6.4 20.0 -5.8 -6.3 3.9 4.6 -10.9 -7.7 -20.0 -14.3 GASOLINE 9.1 14.7 6.3 5.5 14.1 3.3 11.6 2.8 8.0 20.0 7.2 20.0 11.3 20.0 20.0 15.0 8.7 0.4 0.2 20.0 14.1 20.0 12.2 20.0 -20.0 7.5 13.4 5.1 12.0 5.1 9.5 -9.2 9.5 16.5 11.7 14.5 20.0 16.7 20.0 15.6 GAS_US_mini 8.5 -4.7 -7.7 2.2 5.8 1.3 4.7 1.2 3.3 -4.8 -9.5 -6.1 -10.3 -7.9 -8.9 -20.0 -20.0 -15.8 -16.4 -10.2 -14.8 -3.9 -19.4 -6.1 18.3 -3.5 -0.3 -4.1 -1.5 -3.8 -2.4 -20.0 -20.0 -10.7 -20.0 -19.8 -14.1 -1.5 -20.0 -6.3 GBP 7.2 -0.7 7.2 0.7 -5.1 2.6 -0.7 4.3 0.9 -20.0 11.2 2.2 10.5 10.1 13.7 -0.8 -0.6 -0.6 -0.5 9.8 9.8 1.3 8.4 8.8 2.4 6.5 -6.0 6.4 1.0 4.4 5.7 2.8 -0.6 12.6 10.1 10.1 -20.0 -6.2 -20.0 1.4 GOLD_micro 20.0 11.9 9.0 3.2 -3.3 0.0 4.2 -0.7 6.3 -8.0 15.4 15.2 10.7 16.6 13.8 -15.4 -14.7 -15.5 -15.1 20.0 16.4 20.0 10.2 20.0 -3.7 5.9 0.7 3.7 5.1 2.4 7.4 -15.4 7.5 20.0 18.9 20.0 -20.0 -20.0 -20.0 -14.4 HEATOIL 2.9 8.0 0.3 5.2 13.5 3.1 11.1 2.7 7.6 19.6 1.5 18.4 8.0 12.6 13.4 20.0 20.0 20.0 20.0 10.3 7.6 20.0 10.0 16.0 -20.0 6.6 13.7 5.7 11.5 6.9 8.1 20.0 4.4 2.6 3.0 7.1 19.4 5.0 15.4 1.8 JGB-SGX-mini -5.6 -7.5 9.2 -1.2 -3.9 -0.1 -3.7 -0.8 -2.4 4.6 4.6 -2.0 6.2 -5.1 1.1 9.7 15.9 11.2 12.4 -0.6 2.7 -1.2 3.7 -3.0 -6.2 -0.8 3.4 0.5 -0.7 0.4 -1.8 20.0 7.6 1.0 1.2 0.5 -7.6 -20.0 1.7 9.8 JPY 11.9 -7.2 -3.8 0.4 -3.1 1.6 -0.4 2.6 0.6 -11.8 -14.1 -5.5 -15.4 -7.7 -13.2 -16.8 -16.3 -16.5 -16.5 -8.7 -12.8 -8.2 -19.1 -4.8 20.0 -2.9 -10.9 -4.5 -4.0 -7.1 -1.6 -20.0 -8.3 -4.6 -8.3 -7.8 -20.0 -12.9 -15.9 -14.7 LEANHOG 8.0 18.9 15.6 4.6 4.6 1.9 5.7 -3.1 5.3 -0.7 12.5 19.0 -11.1 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 14.3 12.8 -6.7 20.0 17.1 9.1 -0.2 7.0 3.6 0.4 6.9 -20.0 -15.3 20.0 20.0 20.0 -5.1 -8.2 9.2 13.5 LIVECOW -4.3 20.0 9.6 4.1 4.1 1.7 5.1 -2.7 4.7 3.7 5.2 10.5 3.3 20.0 20.0 20.0 -1.9 9.8 1.3 20.0 12.8 11.2 6.5 19.2 -5.5 6.6 3.1 4.2 3.6 4.0 5.6 0.3 2.5 7.5 20.0 16.7 20.0 6.4 20.0 16.9 LUMBER-new 13.0 9.1 14.0 4.6 4.6 1.9 5.6 -2.2 5.2 -8.3 15.1 14.0 -10.9 19.4 20.0 -16.2 -15.4 -16.3 -15.7 20.0 15.4 9.8 3.6 20.0 NaN 8.6 -1.0 6.5 3.3 3.1 7.8 -20.0 -9.1 20.0 20.0 20.0 -11.1 -18.4 -7.7 -11.9 MILK -19.7 2.9 5.4 2.4 2.4 1.0 3.0 -1.6 2.8 -1.7 -12.4 -11.3 -13.5 -10.7 -11.3 -20.0 -20.0 -20.0 -20.0 -12.4 -14.9 -10.5 -20.0 -13.5 11.3 -3.6 -0.7 -4.4 -3.2 -6.2 -4.2 -20.0 -17.7 -20.0 -6.9 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 10.9 7.0 10.9 0.7 -5.0 2.6 -0.6 4.2 0.9 -0.8 20.0 17.1 20.0 20.0 20.0 18.6 17.0 17.4 16.6 20.0 20.0 15.9 20.0 20.0 -20.0 8.8 -0.7 8.4 6.6 10.5 9.5 20.0 14.6 20.0 20.0 15.5 20.0 20.0 20.0 20.0 NASDAQ_micro -8.3 1.7 12.1 4.8 1.3 4.1 2.8 2.8 4.2 -2.6 14.4 1.2 14.7 7.9 12.9 -10.8 -10.1 -11.3 -10.9 15.3 20.0 -1.0 20.0 5.9 -20.0 5.2 -0.5 7.2 -0.2 7.5 2.1 -8.0 -19.0 -13.4 -7.8 6.9 9.7 -2.4 16.1 -5.0 NIKKEI -18.2 9.6 16.1 5.5 1.5 4.7 3.2 3.2 4.8 5.9 16.1 2.4 16.6 10.5 14.6 4.9 11.8 10.1 11.4 20.0 20.0 9.8 20.0 16.1 -13.9 5.8 3.2 6.2 1.9 5.4 3.5 20.0 -20.0 -6.9 8.9 18.1 -20.0 -6.0 -8.6 -5.4 NZD -4.6 -4.6 5.2 0.5 -3.4 1.8 -0.4 2.9 0.6 -15.2 3.4 -11.5 -0.5 -4.8 -5.0 0.3 0.3 0.3 0.3 -1.1 1.6 -10.9 -0.1 -4.7 -0.0 -0.9 -12.6 1.2 -7.6 0.8 -3.5 4.2 -11.2 -13.3 -1.3 -0.1 -8.3 -9.1 -1.2 4.1 OAT 0.6 -11.7 9.1 -1.4 -4.7 -0.2 -4.5 -1.0 -2.8 -9.9 2.9 -4.8 0.7 -6.5 -2.8 3.9 6.1 4.4 4.9 -1.1 2.6 -5.7 0.4 -3.2 4.9 -0.4 -4.7 1.4 -3.2 0.8 -1.5 11.4 7.0 2.7 5.5 1.7 -19.1 -20.0 11.5 3.3 OATIES 3.2 3.6 -9.3 2.9 2.9 1.2 3.5 -1.9 3.3 -2.8 -14.2 0.8 -11.8 0.4 -3.6 9.4 -1.7 6.5 1.4 -4.2 -10.7 -2.6 -11.5 -1.2 -20.0 -1.1 -4.1 -3.6 -1.7 -4.4 -0.6 -0.3 -12.5 -8.8 -5.5 -5.0 -10.4 1.1 -0.9 13.4 OJ -7.8 9.6 -20.0 2.6 2.6 1.1 3.2 -1.7 3.0 -4.6 7.1 -4.4 11.0 8.5 4.0 7.4 15.0 8.0 11.2 7.0 11.1 -1.4 19.9 3.3 -20.0 2.3 -1.5 5.6 -0.7 11.7 0.6 20.0 -12.9 -9.7 20.0 -9.1 10.6 9.3 16.4 20.0 PALLAD 17.1 15.3 1.5 1.2 -1.3 0.0 1.7 -0.3 2.4 -3.7 -4.5 3.9 -7.6 5.5 -2.2 -1.8 -2.1 -1.9 -2.0 0.8 -4.1 2.4 -8.9 4.2 9.7 0.6 -2.4 -1.6 1.3 -3.4 2.1 6.8 3.6 -2.9 -3.1 -0.2 -19.2 -10.5 -14.3 -6.2 PLAT 9.5 0.2 0.5 1.8 -1.9 0.0 2.4 -0.4 3.5 -5.9 -4.6 2.4 -7.6 3.2 -5.6 -4.1 -3.4 -4.0 -3.8 -0.4 -2.5 0.2 -3.5 2.1 9.8 0.5 -5.7 -0.6 0.4 -0.8 1.9 4.2 -2.1 -10.5 -7.4 0.6 -13.7 -4.4 20.0 7.3 REDWHEAT 11.9 0.4 -8.5 2.9 2.9 1.2 3.6 -1.9 3.4 5.6 -16.3 4.2 -16.7 -7.4 -11.9 9.1 1.0 5.4 2.3 -12.0 -19.2 1.3 -20.0 -4.4 -8.0 -5.2 1.7 -6.3 -0.0 -6.3 -2.7 3.9 3.1 -8.6 -20.0 -19.0 -14.2 -20.0 -8.9 -20.0 RICE -20.0 -2.4 8.7 3.8 3.8 1.5 4.6 -2.5 4.3 -19.3 13.1 -20.0 16.2 -11.9 2.9 -11.2 -3.8 -11.4 -9.6 2.2 14.9 -14.8 17.4 -11.6 -19.9 0.3 -5.6 4.4 -6.6 5.2 -4.8 -9.4 -20.0 -20.0 3.0 1.3 6.5 -3.9 14.2 5.6 ROBUSTA 1.9 -0.2 20.0 2.9 2.9 1.2 3.5 -1.9 3.3 8.6 16.0 11.5 16.4 12.2 15.4 18.2 20.0 20.0 20.0 20.0 20.0 18.0 20.0 20.0 -20.0 6.2 3.5 7.8 4.1 7.9 4.7 20.0 20.0 19.1 20.0 20.0 -20.0 -18.0 -11.2 1.5 RUSSELL 3.4 4.8 16.6 4.7 1.3 4.0 2.7 2.7 4.1 -9.9 11.4 -0.9 8.2 7.6 11.5 -6.4 -6.3 -6.4 -6.4 9.4 10.6 -3.9 6.6 3.6 -2.1 4.3 -3.4 4.9 -1.9 3.5 1.6 -0.8 -20.0 -20.0 -16.9 -5.8 -16.1 -18.6 -16.9 -20.0 SHATZ -5.8 -20.0 -4.6 -1.0 -3.4 -0.1 -3.2 -0.7 -2.0 -6.0 -6.0 -6.7 -6.6 -8.0 -7.9 -20.0 -20.0 -20.0 -20.0 -10.9 -7.4 -8.0 -7.4 -10.3 8.1 -2.3 -1.6 -1.3 -2.1 -1.2 -2.4 -20.0 3.7 -6.6 -8.4 -6.5 -20.0 -20.0 -8.3 -20.0 SILVER-mini 20.0 10.2 -1.3 3.1 -3.3 0.0 4.2 -0.7 6.1 6.3 0.9 17.5 -2.7 17.6 1.6 -6.6 -6.6 -6.9 -6.8 12.9 2.5 20.0 -1.2 20.0 5.7 5.3 2.9 2.0 7.8 0.6 8.4 -1.3 16.9 17.0 13.7 6.8 -17.9 -18.4 19.4 -1.5 SMI 14.4 12.9 18.0 7.6 2.1 6.5 4.4 4.4 6.6 1.2 20.0 12.9 11.9 19.8 20.0 2.6 5.7 6.9 6.9 20.0 20.0 17.7 10.3 20.0 15.3 7.9 -2.4 6.1 5.1 3.2 8.2 20.0 11.4 -0.2 -11.8 -6.2 10.6 -4.7 20.0 -8.5 SOFR 2.0 -13.9 5.7 -1.3 -4.5 -0.2 -4.3 -1.0 -2.7 -8.4 3.5 -7.0 -0.2 -7.2 -4.3 -0.7 0.2 0.4 0.4 -3.2 -0.7 -8.6 -1.7 -5.4 -2.5 -0.8 -4.8 0.7 -4.2 0.2 -2.4 2.5 1.5 1.9 1.1 1.5 -20.0 -20.0 -0.5 -2.6 SOYBEAN 20.0 -5.4 -20.0 3.8 3.8 1.5 4.6 -2.5 4.3 12.5 -16.1 17.1 -5.9 4.4 -13.7 4.5 13.5 7.2 9.7 -11.9 -20.0 18.6 -16.4 8.7 -20.0 -3.0 2.8 -5.0 6.2 -3.2 2.9 20.0 20.0 12.7 -20.0 -20.0 -8.0 -20.0 -7.2 -20.0 SOYMEAL 12.6 -16.3 -20.0 3.2 3.2 1.3 3.9 -2.1 3.6 -2.7 -17.1 3.5 -12.1 -10.5 -16.8 -8.0 9.2 -2.5 3.2 -20.0 -20.0 -0.9 -16.3 -8.4 -20.0 -5.5 -0.7 -6.0 -0.1 -2.9 -2.0 13.0 -0.5 -10.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 20.0 8.8 -12.1 3.3 3.3 1.3 4.1 -2.2 3.8 8.9 -16.2 12.9 -13.9 8.4 -8.0 -7.8 2.5 -5.8 -2.2 -2.3 -15.6 20.0 -18.1 15.0 -20.0 1.9 5.9 -1.9 10.3 -3.1 7.2 2.2 20.0 20.0 -2.3 -5.6 -15.2 -8.2 -10.7 5.6 SP400 13.3 14.3 20.0 6.0 1.7 5.1 3.5 3.5 5.2 -6.0 17.5 11.1 14.2 15.2 17.9 -4.9 -5.4 -5.6 -5.5 20.0 20.0 8.2 15.7 19.4 -13.2 6.5 -0.1 6.0 1.9 4.3 4.9 0.8 -15.0 -3.3 -7.5 0.5 -14.5 -8.7 -12.2 -20.0 SP500_micro 1.9 13.9 20.0 6.6 1.9 5.7 3.8 3.8 5.8 14.0 20.0 16.6 20.0 19.0 20.0 -13.0 -11.4 -13.0 -12.4 20.0 20.0 13.3 20.0 20.0 -20.0 7.7 2.4 8.6 2.9 7.4 5.1 -10.3 -3.2 -1.9 5.5 16.0 3.5 -3.1 16.0 -6.3 SUGAR11 -4.4 -1.4 -16.0 2.6 2.6 1.1 3.2 -1.7 3.0 2.4 -6.3 1.1 4.7 -4.6 -6.6 9.6 17.9 14.3 16.7 -6.9 -7.0 -0.6 0.3 -4.1 -20.0 -3.6 -1.3 -4.1 -0.1 0.1 -1.7 20.0 7.0 -10.8 -9.6 -20.0 19.2 2.3 20.0 13.9 US10 1.6 -12.2 7.0 -1.2 -3.9 -0.1 -3.7 -0.8 -2.4 -7.2 1.9 -6.1 -2.9 -6.8 -3.5 -7.9 -8.0 -8.5 -8.4 -3.0 -1.8 -7.4 -5.1 -4.8 2.2 -0.6 -4.0 0.3 -3.5 -0.9 -2.0 -12.3 2.0 1.4 1.3 1.8 -20.0 -20.0 -14.7 8.5 US10U 1.8 -10.9 7.2 -1.7 -5.7 -0.2 -5.3 -1.2 -3.4 -10.4 2.1 -8.6 -4.0 -9.9 -5.3 -3.5 -0.2 -1.6 -0.6 -4.0 -2.8 -9.7 -7.9 -6.2 -0.7 -0.6 -5.5 0.5 -4.8 -1.4 -2.6 1.3 3.9 3.4 4.3 3.2 -20.0 -20.0 12.0 20.0 US2 -4.5 -20.0 0.8 -1.0 -3.4 -0.1 -3.2 -0.7 -2.1 -6.3 -2.6 -6.5 -6.0 -7.6 -6.4 -20.0 -20.0 -20.0 -20.0 -7.1 -4.8 -9.1 -7.5 -8.6 10.2 -1.8 -2.6 -0.5 -3.1 -1.2 -2.7 -20.0 -0.7 -4.9 -7.0 -1.4 -20.0 -20.0 -18.1 -20.0 US20 3.7 -7.7 10.6 -1.2 -4.0 -0.1 -3.8 -0.9 -2.4 -7.8 2.8 -3.6 -1.6 -4.6 -1.0 -0.0 -0.8 -0.1 -0.4 -0.7 -0.2 -6.2 -4.6 -2.7 -1.3 0.7 -4.3 1.2 -3.2 -0.8 -1.0 0.8 3.6 5.5 6.6 5.8 -20.0 -20.0 20.0 20.0 US30 3.8 -5.2 8.7 -1.4 -4.9 -0.2 -4.6 -1.0 -2.9 -10.0 2.4 -4.4 -3.3 -4.9 -2.4 -7.0 -5.9 -7.6 -7.0 -0.8 -1.0 -7.3 -6.6 -2.9 -0.6 1.0 -5.9 1.3 -4.4 -1.4 -1.2 -9.1 3.0 7.4 9.9 5.4 -14.1 -17.6 20.0 20.0 US5 -0.5 -16.0 4.7 -1.1 -3.9 -0.1 -3.6 -0.8 -2.3 -7.0 0.8 -6.5 -3.8 -7.5 -4.9 -8.6 -10.0 -9.2 -9.8 -4.8 -2.8 -8.5 -5.2 -6.5 4.7 -1.3 -3.9 -0.0 -3.7 -0.8 -2.6 -15.4 0.7 -1.3 -2.4 0.2 -20.0 -20.0 -20.0 -7.1 VIX 5.3 7.9 -5.7 -7.2 -2.7 -11.2 -1.4 -15.9 -3.3 -6.9 -20.0 -3.6 -20.0 -9.6 -20.0 -20.0 -20.0 -20.0 -20.0 -13.0 -20.0 -1.6 -20.0 -3.8 NaN -8.0 -3.1 -13.4 -1.3 -19.6 -3.3 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 3.9 -8.2 -3.6 3.2 3.2 1.3 3.9 -2.1 3.7 14.7 -17.7 4.1 -18.4 -10.8 -13.9 -14.6 -11.4 -13.0 -12.2 -16.2 -19.7 3.4 -20.0 -8.7 0.6 -5.7 4.7 -5.4 0.7 -4.9 -3.6 -18.7 6.0 -14.0 -20.0 -20.0 -12.2 -20.0 -8.2 -20.0 End of report for caleb_strategy_v3