******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240322_204006 produced at 2024-03-22 21:37:29.535497 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.67 0.0 0.00 0.00 0.00 0.00 -9.51 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 -66.30 17.0 -16 -16 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.28 0.0 0.00 0.00 0.00 0.00 -8.51 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.25 0.0 0.00 0.00 0.00 0.00 -4.14 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.37 -0.18 0.0 0.53 -0.53 -0.37 -0.37 -4.33 13.0 -9 -9 caleb_strategy_v3 JPY False False 0.02 0.00 -0.10 0.0 0.41 -0.41 0.00 0.00 -3.91 17.0 0 0 caleb_strategy_v3 CAD False False 0.02 0.00 -0.09 0.0 0.62 -0.62 0.00 0.00 -3.98 29.0 0 0 caleb_strategy_v3 US5 False False 0.03 -0.25 -0.08 0.0 0.78 -0.78 -0.25 -0.25 -2.47 25.0 -8 -8 caleb_strategy_v3 BOBL False False 0.04 -0.56 -0.07 0.0 0.71 -0.71 -0.56 -0.56 -1.83 19.0 -15 -15 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.07 0.0 0.08 -0.08 -0.07 -0.07 -9.74 12.0 -10 -10 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.06 0.0 0.04 -0.04 -0.02 -0.02 -37.74 26.0 -16 -16 caleb_strategy_v3 RICE False False 0.01 0.00 -0.05 0.0 0.04 -0.04 0.00 0.00 -4.44 4.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.05 -0.05 0.00 0.00 -5.43 5.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.14 -0.14 -0.02 -0.02 -17.55 51.0 -6 -6 caleb_strategy_v3 AUD False False 0.02 0.00 -0.05 0.0 0.36 -0.36 0.00 0.00 -2.39 19.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.04 0.0 0.37 -0.37 0.00 0.00 -2.30 21.0 0 0 caleb_strategy_v3 US10 False False 0.03 0.00 -0.04 0.0 0.55 -0.55 0.00 0.00 -1.20 17.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -6.16 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.02 0.0 0.21 -0.21 -0.01 -0.02 -7.07 68.0 -3 -6 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.05 9.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.07 -0.07 -0.02 -0.02 -1.85 8.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.04 -2.72 9.0 -4 -4 caleb_strategy_v3 EUR False False 0.04 0.04 -0.02 0.0 0.55 -0.55 0.04 0.04 -0.59 14.0 1 1 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.01 0.0 0.15 -0.15 -0.03 -0.03 -0.51 11.0 -2 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.01 0.0 0.25 -0.25 0.00 0.00 -0.65 23.0 0 0 caleb_strategy_v3 US10U False False 0.03 -0.07 -0.01 0.0 0.43 -0.43 -0.07 -0.07 -0.30 13.0 -2 -2 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.01 0.0 0.42 -0.42 -0.04 -0.04 -0.22 10.0 -1 -1 caleb_strategy_v3 DOW False False 0.01 0.00 -0.01 0.0 0.38 -0.38 0.00 0.00 -2.17 66.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.12 -0.12 -0.02 -0.02 -0.71 7.0 -1 -1 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.01 0.0 0.17 -0.17 0.00 0.00 -0.13 4.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.04 -0.01 0.0 0.08 -0.08 -0.04 -0.04 -0.84 10.0 -5 -5 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.12 -0.12 0.00 0.00 -0.09 6.0 0 0 caleb_strategy_v3 PLAT False False 0.01 0.01 0.00 0.0 0.13 -0.13 0.01 0.01 0.26 10.0 1 1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.33 18.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.11 0.00 0.0 0.51 -0.51 0.11 0.11 0.07 22.0 5 5 caleb_strategy_v3 US20 False False 0.03 0.00 0.00 0.0 0.31 -0.31 0.00 0.00 0.05 9.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.22 -0.22 0.00 0.00 -0.10 6.0 0 0 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 SP400 False False 0.09 0.18 0.01 0.0 0.18 -0.18 0.18 0.18 0.11 2.0 2 2 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.56 3.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.23 0.01 0.0 0.31 -0.31 0.23 0.23 0.38 8.0 6 6 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 0.01 0.0 0.01 -0.01 0.00 0.00 2.10 3.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.02 0.0 0.36 -0.36 0.00 0.00 3.68 56.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.02 0.0 0.22 -0.22 0.00 0.00 1.67 23.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.19 0.03 0.0 0.37 -0.37 0.19 0.19 4.09 48.0 25 25 caleb_strategy_v3 COCOA False False 0.02 0.12 0.03 0.0 0.63 -0.63 0.12 0.12 1.19 26.0 5 5 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.03 0.0 0.00 -0.00 0.00 0.00 1.39 0.0 0 0 caleb_strategy_v3 OAT False False 0.04 0.00 0.04 0.0 0.41 -0.41 0.00 0.00 1.00 10.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.04 0.0 0.00 0.00 0.00 0.00 20.45 59.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 0.06 0.04 0.0 0.10 -0.10 0.06 0.06 1.17 3.0 2 2 caleb_strategy_v3 DX False False 0.03 0.00 0.04 0.0 999.00 -999.00 0.00 0.00 1.43 999999999.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.05 0.0 0.15 -0.15 0.07 0.07 4.43 13.0 6 6 caleb_strategy_v3 GASOIL False False 0.02 0.05 0.05 0.0 0.09 -0.09 0.05 0.02 2.20 4.0 2 1 caleb_strategy_v3 COPPER False False 0.03 0.15 0.06 0.0 0.18 -0.18 0.15 0.15 2.21 6.0 5 5 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.07 0.0 0.13 -0.13 0.13 0.13 2.21 4.0 4 4 caleb_strategy_v3 BTP False False 0.04 0.19 0.08 0.0 0.38 -0.38 0.19 0.19 2.13 10.0 5 5 caleb_strategy_v3 LIVECOW False False 0.02 0.02 0.10 0.0 0.36 -0.36 0.02 0.02 4.90 17.0 1 1 caleb_strategy_v3 CAC False True 0.03 0.00 0.14 0.0 0.00 0.00 0.00 0.00 5.55 12.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.17 0.15 0.0 0.28 -0.28 0.17 0.18 19.23 36.0 22 23 caleb_strategy_v3 EUROSTX False False 0.02 0.30 0.15 0.0 0.32 -0.32 0.30 0.30 9.54 20.0 19 19 caleb_strategy_v3 SMI False False 0.04 0.34 0.16 0.0 0.34 -0.34 0.34 0.34 4.33 9.0 9 9 caleb_strategy_v3 DAX False False 0.01 0.13 0.20 0.0 0.34 -0.34 0.13 0.13 33.71 58.0 22 22 caleb_strategy_v3 CRUDE_W False False 0.02 0.04 0.24 0.0 0.11 -0.11 0.04 0.02 10.63 5.0 2 1 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.00 0.28 0.0 0.77 -0.77 0.00 0.00 3.67 10.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.17 0.33 0.0 0.45 -0.45 0.17 0.17 11.75 16.0 6 6 caleb_strategy_v3 MXP False False 0.01 0.51 0.85 0.0 0.52 -0.52 0.51 0.51 99.46 60.0 59 59 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 25.4 Shocked risk 88.8 Sum abs risk 62.3 Leverage 5.91 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3427626.59, 'annual_cash_vol_target': 856906.6475, 'daily_cash_vol_target': 53556.66546875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6528 0.5894 9.4307 BITCOIN 1787.0631 64630.0000 2.7651 44.2411 BOBL 0.2505 118.1900 0.2119 3.3912 BTP 0.5325 119.1800 0.4468 7.1494 BUND 0.4975 133.1000 0.3738 5.9805 BUXL 1.1857 134.7000 0.8802 14.0836 CAC 44.6007 8182.5000 0.5451 8.7212 CAD 0.0029 0.7356 0.3905 6.2481 CANOLA 7.2077 644.0000 1.1192 17.9073 CHF 0.0051 1.1245 0.4571 7.3142 COCOA 154.2447 8312.0000 1.8557 29.6910 COFFEE 2.9627 184.2000 1.6084 25.7349 COPPER 0.0433 4.0245 1.0757 17.2104 CORN 4.2880 475.2500 0.9023 14.4362 COTTON2 1.4993 91.8100 1.6331 26.1295 CRUDE_W 0.8361 76.2600 1.0964 17.5425 DAX 99.0666 18504.0000 0.5354 8.5661 DOW 231.4453 39827.0000 0.5811 9.2980 DX 0.3266 103.6650 0.3151 5.0410 EUR 0.0044 1.0844 0.4047 6.4755 EURIBOR-ICE 0.0475 97.6750 0.0486 0.7783 EUROSTX 32.0500 4996.0000 0.6415 10.2642 FEEDCOW 1.7484 264.5000 0.6610 10.5762 GASOIL 11.8358 800.7500 1.4781 23.6495 GASOLINE 0.0352 2.6741 1.3145 21.0318 GAS_US_mini 0.0812 2.0300 3.9990 63.9845 GBP 0.0059 1.2600 0.4680 7.4875 GOLD_micro 14.5768 2187.7000 0.6663 10.6609 HEATOIL 0.0376 2.6236 1.4322 22.9156 JGB-SGX-mini 0.2199 145.5700 0.1511 2.4171 JPY 0.0000 0.0067 0.5839 9.3423 LEANHOG 1.0209 99.6500 1.0245 16.3914 LIVECOW 1.2076 183.0250 0.6598 10.5566 LUMBER-new 5.9266 621.5000 0.9536 15.2575 MILK 0.2080 16.2200 1.2826 20.5219 MXP 0.0003 0.0588 0.5372 8.5952 NASDAQ_micro 140.7266 18558.7500 0.7583 12.1324 NIKKEI 379.5421 40525.0000 0.9366 14.9850 NZD 0.0037 0.5992 0.6210 9.9359 OAT 0.4728 128.2400 0.3687 5.8990 OATIES 5.1719 352.5000 1.4672 23.4755 OJ 6.7635 362.8000 1.8642 29.8278 PALLAD 28.3980 995.0000 2.8541 45.6652 PLAT 15.5186 907.6000 1.7098 27.3576 REDWHEAT 9.6620 586.7500 1.6467 26.3473 RICE 0.1501 17.6200 0.8517 13.6265 ROBUSTA 41.7746 3266.0000 1.2791 20.4652 RUSSELL 22.8464 2092.1000 1.0920 17.4725 SHATZ 0.0825 105.7550 0.0780 1.2478 SILVER-mini 0.3938 25.0625 1.5713 25.1408 SMI 65.9924 11552.0000 0.5713 9.1402 SOFR 0.0633 96.4000 0.0657 1.0505 SOYBEAN 10.5325 1186.5000 0.8877 14.2031 SOYMEAL 4.2650 342.6000 1.2449 19.9183 SOYOIL 0.6512 48.3100 1.3479 21.5661 SP400 23.5696 3015.5000 0.7816 12.5059 SP500_micro 29.8614 5290.0000 0.5645 9.0318 SUGAR11 0.3279 21.6100 1.5176 24.2810 US10 0.3796 110.8125 0.3426 5.4811 US10U 0.5095 114.5000 0.4450 7.1199 US2 0.1062 102.3672 0.1038 1.6604 US20 0.7535 119.9062 0.6284 10.0550 US30 1.1278 127.9062 0.8817 14.1078 US5 0.2538 107.1172 0.2370 3.7916 VIX 0.3988 16.3500 2.4390 39.0237 WHEAT 8.3721 607.5000 1.3781 22.0501 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 652.75 0.59 384.74 1.00 384.74 53556.67 139.20 -6.63 -92.23 BITCOIN 64.63 2.77 178.71 1.00 178.71 53556.67 299.69 6.30 188.88 BOBL 1181.90 0.21 250.50 1.09 274.05 53556.67 195.43 -9.21 -179.97 BTP 1191.80 0.45 532.54 1.09 582.60 53556.67 91.93 6.80 62.47 BUND 1331.00 0.37 497.50 1.09 544.27 53556.67 98.40 -2.25 -22.17 BUXL 1347.00 0.88 1185.67 1.09 1297.12 53556.67 41.29 -3.15 -13.01 CAC 818.25 0.55 446.01 1.09 487.93 53556.67 109.76 14.81 162.57 CAD 735.60 0.39 287.26 1.00 287.26 53556.67 186.44 -8.22 -153.20 CANOLA 128.80 1.12 144.15 0.74 107.09 53556.67 500.11 -14.42 -721.29 CHF 1405.62 0.46 642.57 1.00 642.57 53556.67 83.35 -20.00 -166.70 COCOA 831.20 1.86 1542.45 1.00 1542.45 53556.67 34.72 15.99 55.51 COFFEE 690.75 1.61 1111.03 1.00 1111.03 53556.67 48.20 -1.56 -7.54 COPPER 1006.12 1.08 1082.24 1.00 1082.24 53556.67 49.49 4.13 20.44 CORN 237.62 0.90 214.40 1.00 214.40 53556.67 249.80 -16.02 -400.21 COTTON2 459.05 1.63 749.67 1.00 749.67 53556.67 71.44 -3.31 -23.66 CRUDE_W 762.60 1.10 836.12 1.00 836.12 53556.67 64.05 15.33 98.17 DAX 185.04 0.54 99.07 1.09 108.38 53556.67 494.16 20.00 988.32 DOW 199.14 0.58 115.72 1.00 115.72 53556.67 462.80 -2.02 -93.28 DX 1036.65 0.32 326.61 1.00 326.61 53556.67 163.98 3.37 55.24 EUR 1355.50 0.40 548.59 1.00 548.59 53556.67 97.63 -2.33 -22.70 EURIBOR-ICE 2441.88 0.05 118.78 1.09 129.94 53556.67 412.16 2.61 107.57 EUROSTX 499.60 0.64 320.50 1.09 350.63 53556.67 152.75 18.32 279.81 FEEDCOW 1322.50 0.66 874.19 1.00 874.19 53556.67 61.26 1.85 11.36 GASOIL 800.75 1.48 1183.58 1.00 1183.58 53556.67 45.25 11.24 50.85 GASOLINE 1123.12 1.31 1476.33 1.00 1476.33 53556.67 36.28 14.02 50.87 GAS_US_mini 50.75 4.00 202.95 1.00 202.95 53556.67 263.89 -13.21 -348.52 GBP 787.50 0.47 368.53 1.00 368.53 53556.67 145.33 0.19 2.82 GOLD_micro 218.77 0.67 145.77 1.00 145.77 53556.67 367.41 2.93 107.75 HEATOIL 1101.91 1.43 1578.18 1.00 1578.18 53556.67 33.94 7.95 26.99 JGB-SGX-mini 145570.00 0.15 21990.98 0.01 145.66 53556.67 367.68 2.95 108.48 JPY 836.38 0.58 488.35 1.00 488.35 53556.67 109.67 -13.75 -150.83 LEANHOG 398.60 1.02 408.35 1.00 408.35 53556.67 131.15 5.56 72.88 LIVECOW 732.10 0.66 483.03 1.00 483.03 53556.67 110.88 13.33 147.83 LUMBER-new 170.91 0.95 162.98 1.00 162.98 53556.67 328.61 2.99 98.17 MILK 324.40 1.28 416.08 1.00 416.08 53556.67 128.72 -19.68 -253.36 MXP 294.25 0.54 158.07 1.00 158.07 53556.67 338.81 20.00 677.62 NASDAQ_micro 371.18 0.76 281.45 1.00 281.45 53556.67 190.29 -1.47 -28.03 NIKKEI 40525.00 0.94 37954.21 0.01 251.39 53556.67 213.04 8.34 177.60 NZD 599.15 0.62 372.07 1.00 372.07 53556.67 143.94 -6.17 -88.77 OAT 1282.40 0.37 472.81 1.09 517.25 53556.67 103.54 2.84 29.38 OATIES 176.25 1.47 258.60 1.00 258.60 53556.67 207.10 -12.23 -253.28 OJ 544.20 1.86 1014.52 1.00 1014.52 53556.67 52.79 4.92 25.99 PALLAD 995.00 2.85 2839.80 1.00 2839.80 53556.67 18.86 -0.38 -0.72 PLAT 453.80 1.71 775.93 1.00 775.93 53556.67 69.02 1.09 7.50 REDWHEAT 293.38 1.65 483.10 1.00 483.10 53556.67 110.86 -12.61 -139.80 RICE 352.40 0.85 300.12 1.00 300.12 53556.67 178.45 -10.24 -182.66 ROBUSTA 326.60 1.28 417.75 1.00 417.75 53556.67 128.20 11.13 142.68 RUSSELL 104.60 1.09 114.23 1.00 114.23 53556.67 468.84 -4.55 -213.43 SHATZ 1057.55 0.08 82.47 1.09 90.23 53556.67 593.59 -14.13 -839.01 SILVER-mini 626.56 1.57 984.52 1.00 984.52 53556.67 54.40 7.48 40.71 SMI 1155.20 0.57 659.92 1.13 745.45 53556.67 71.84 17.66 126.85 SOFR 2410.00 0.07 158.24 1.00 158.24 53556.67 338.46 -4.62 -156.52 SOYBEAN 593.25 0.89 526.62 1.00 526.62 53556.67 101.70 -7.46 -75.85 SOYMEAL 342.60 1.24 426.50 1.00 426.50 53556.67 125.57 -17.58 -220.77 SOYOIL 289.86 1.35 390.70 1.00 390.70 53556.67 137.08 -6.55 -89.78 SP400 3015.50 0.78 2356.96 1.00 2356.96 53556.67 22.72 1.48 3.37 SP500_micro 264.50 0.56 149.31 1.00 149.31 53556.67 358.70 4.91 176.08 SUGAR11 242.03 1.52 367.30 1.00 367.30 53556.67 145.81 -1.05 -15.37 US10 1108.12 0.34 379.61 1.00 379.61 53556.67 141.08 -6.71 -94.67 US10U 1145.00 0.44 509.51 1.00 509.51 53556.67 105.11 -2.27 -23.89 US2 2047.34 0.10 212.46 1.00 212.46 53556.67 252.07 -12.97 -327.05 US20 1199.06 0.63 753.54 1.00 753.54 53556.67 71.07 0.52 3.73 US30 1279.06 0.88 1127.80 1.00 1127.80 53556.67 47.49 -1.72 -8.18 US5 1071.17 0.24 253.84 1.00 253.84 53556.67 210.99 -9.22 -194.57 VIX 163.50 2.44 398.77 1.00 398.77 53556.67 134.30 -20.00 -268.61 WHEAT 303.75 1.38 418.61 1.00 418.61 53556.67 127.94 -16.05 -205.29 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -92.226 0.010 2.5 -2.393 BITCOIN 188.884 0.043 2.5 20.454 BOBL -179.972 0.004 2.5 -1.825 BTP 62.470 0.014 2.5 2.131 BUND -22.174 0.004 2.5 -0.225 BUXL -13.014 0.004 2.5 -0.132 CAC 162.574 0.014 2.5 5.545 CAD -153.204 0.010 2.5 -3.975 CANOLA -721.292 0.010 2.5 -17.548 CHF -166.696 0.010 2.5 -4.325 COCOA 55.514 0.009 2.5 1.189 COFFEE -7.542 0.005 2.5 -0.088 COPPER 20.439 0.043 2.5 2.213 CORN -400.205 0.010 2.5 -9.736 COTTON2 -23.657 0.009 2.5 -0.507 CRUDE_W 98.175 0.043 2.5 10.631 DAX 988.323 0.014 2.5 33.710 DOW -93.277 0.009 2.5 -2.168 DX 55.243 0.010 2.5 1.433 EUR -22.701 0.010 2.5 -0.589 EURIBOR-ICE 107.567 0.014 2.5 3.669 EUROSTX 279.810 0.014 2.5 9.544 FEEDCOW 11.360 0.013 2.5 0.376 GASOIL 50.851 0.017 2.5 2.204 GASOLINE 50.871 0.017 2.5 2.205 GAS_US_mini -348.521 0.043 2.5 -37.740 GBP 2.815 0.010 2.5 0.073 GOLD_micro 107.753 0.014 2.5 3.675 HEATOIL 26.994 0.017 2.5 1.170 JGB-SGX-mini 108.484 0.043 2.5 11.748 JPY -150.835 0.010 2.5 -3.914 LEANHOG 72.877 0.024 2.5 4.429 LIVECOW 147.827 0.013 2.5 4.899 LUMBER-new 98.173 0.009 2.5 2.100 MILK -253.359 0.009 2.5 -5.426 MXP 677.624 0.059 2.5 99.457 NASDAQ_micro -28.028 0.009 2.5 -0.651 NIKKEI 177.597 0.043 2.5 19.232 NZD -88.774 0.010 2.5 -2.303 OAT 29.376 0.014 2.5 1.002 OATIES -253.276 0.010 2.5 -6.162 OJ 25.993 0.009 2.5 0.557 PALLAD -0.722 0.014 2.5 -0.025 PLAT 7.501 0.014 2.5 0.256 REDWHEAT -139.801 0.005 2.5 -1.855 RICE -182.660 0.010 2.5 -4.444 ROBUSTA 142.683 0.005 2.5 1.666 RUSSELL -213.428 0.013 2.5 -7.072 SHATZ -839.010 0.004 2.5 -8.508 SILVER-mini 40.706 0.014 2.5 1.388 SMI 126.846 0.014 2.5 4.327 SOFR -156.519 0.024 2.5 -9.512 SOYBEAN -75.850 0.004 2.5 -0.705 SOYMEAL -220.769 0.004 2.5 -2.053 SOYOIL -89.780 0.004 2.5 -0.836 SP400 3.373 0.013 2.5 0.112 SP500_micro 176.083 0.009 2.5 4.092 SUGAR11 -15.373 0.009 2.5 -0.327 US10 -94.669 0.005 2.5 -1.200 US10U -23.894 0.005 2.5 -0.303 US2 -327.049 0.005 2.5 -4.144 US20 3.726 0.005 2.5 0.047 US30 -8.179 0.005 2.5 -0.104 US5 -194.574 0.005 2.5 -2.466 VIX -268.607 0.099 2.5 -66.304 WHEAT -205.293 0.005 2.5 -2.723 ===================== Position diags ===================== AUD 3.61 BITCOIN 32.45 BOBL 1.98 BTP 3.14 BUND 1.00 BUXL 0.42 CAC 3.74 CAD 4.84 CANOLA 12.17 CHF 2.16 COCOA 0.74 COFFEE 0.56 COPPER 5.36 CORN 6.08 COTTON2 1.53 CRUDE_W 6.94 DAX 16.86 DOW 10.76 DX 4.25 EUR 2.53 EURIBOR-ICE 14.06 EUROSTX 5.21 FEEDCOW 2.03 GASOIL 1.96 GASOLINE 1.57 GAS_US_mini 28.58 GBP 3.77 GOLD_micro 12.53 HEATOIL 1.47 JGB-SGX-mini 39.82 JPY 2.85 LEANHOG 7.97 LIVECOW 3.67 LUMBER-new 7.03 MILK 2.76 MXP 49.73 NASDAQ_micro 4.42 NIKKEI 23.07 NZD 3.73 OAT 3.53 OATIES 5.04 OJ 1.13 PALLAD 0.64 PLAT 2.35 REDWHEAT 1.47 RICE 4.34 ROBUSTA 1.50 RUSSELL 15.54 SHATZ 6.02 SILVER-mini 1.86 SMI 2.45 SOFR 20.57 SOYBEAN 0.95 SOYMEAL 1.17 SOYOIL 1.28 SP400 0.75 SP500_micro 8.34 SUGAR11 3.10 US10 1.79 US10U 1.33 US2 3.19 US20 0.90 US30 0.60 US5 2.67 VIX 33.15 WHEAT 1.70 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.4 -2.8 -2.0 0.0 0 BITCOIN 20.5 17.2 23.7 0.0 0 BOBL -1.8 -2.0 -1.6 -15.0 -15 BTP 2.1 1.8 2.4 5.0 5 BUND -0.2 -0.3 -0.1 -1.0 -1 BUXL -0.1 -0.2 -0.1 0.0 0 CAC 5.5 5.2 5.9 0.0 0 CAD -4.0 -4.5 -3.5 0.0 0 CANOLA -17.5 -18.8 -16.3 -6.0 -6 CHF -4.3 -4.5 -4.1 -9.0 -9 COCOA 1.2 1.1 1.3 5.0 5 COFFEE -0.1 -0.1 -0.0 0.0 0 COPPER 2.2 1.7 2.7 5.0 5 CORN -9.7 -10.3 -9.1 -10.0 -10 COTTON2 -0.5 -0.7 -0.4 -2.0 -2 CRUDE_W 10.6 9.9 11.3 2.0 2 DAX 33.7 32.0 35.4 22.0 22 DOW -2.2 -3.2 -1.1 0.0 0 DX 1.4 1.0 1.9 NaN 0 EUR -0.6 -0.8 -0.3 1.0 1 EURIBOR-ICE 3.7 2.3 5.1 0.0 0 EUROSTX 9.5 9.0 10.1 19.0 19 FEEDCOW 0.4 0.2 0.6 6.0 6 GASOIL 2.2 2.0 2.4 2.0 2 GASOLINE 2.2 2.0 2.4 4.0 4 GAS_US_mini -37.7 -40.6 -34.9 -16.0 -16 GBP 0.1 -0.3 0.5 5.0 5 GOLD_micro 3.7 2.4 4.9 0.0 0 HEATOIL 1.2 1.0 1.3 2.0 2 JGB-SGX-mini 11.7 7.8 15.7 6.0 6 JPY -3.9 -4.2 -3.6 0.0 0 LEANHOG 4.4 3.6 5.2 6.0 6 LIVECOW 4.9 4.5 5.3 1.0 1 LUMBER-new 2.1 1.4 2.8 NaN 0 MILK -5.4 -5.7 -5.2 NaN 0 MXP 99.5 94.5 104.4 59.0 59 NASDAQ_micro -0.7 -1.1 -0.2 0.0 0 NIKKEI 19.2 16.9 21.5 22.0 22 NZD -2.3 -2.7 -1.9 0.0 0 OAT 1.0 0.6 1.4 0.0 0 OATIES -6.2 -6.7 -5.7 NaN 0 OJ 0.6 0.4 0.7 NaN 0 PALLAD -0.0 -0.1 0.0 0.0 0 PLAT 0.3 0.0 0.5 1.0 1 REDWHEAT -1.9 -2.0 -1.7 -2.0 -2 RICE -4.4 -4.9 -4.0 NaN 0 ROBUSTA 1.7 1.5 1.8 0.0 0 RUSSELL -7.1 -8.6 -5.5 -3.0 -3 SHATZ -8.5 -9.1 -7.9 NaN 0 SILVER-mini 1.4 1.2 1.6 NaN 0 SMI 4.3 4.1 4.6 9.0 9 SOFR -9.5 -11.6 -7.5 NaN 0 SOYBEAN -0.7 -0.8 -0.6 -1.0 -1 SOYMEAL -2.1 -2.2 -1.9 0.0 0 SOYOIL -0.8 -1.0 -0.7 -5.0 -5 SP400 0.1 0.0 0.2 2.0 2 SP500_micro 4.1 3.3 4.9 25.0 25 SUGAR11 -0.3 -0.6 -0.0 0.0 0 US10 -1.2 -1.4 -1.0 0.0 0 US10U -0.3 -0.4 -0.2 -2.0 -2 US2 -4.1 -4.5 -3.8 NaN 0 US20 0.0 -0.0 0.1 0.0 0 US30 -0.1 -0.2 -0.0 0.0 0 US5 -2.5 -2.7 -2.2 -8.0 -8 VIX -66.3 -69.6 -63.0 -16.0 -16 WHEAT -2.7 -2.9 -2.6 -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 -0.1 0.0 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.4 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 0.4 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.7 -0.4 -0.4 -0.0 BITCOIN 0.1 0.6 0.4 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.2 0.5 0.0 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 -0.0 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 0.1 BOBL 0.1 -0.6 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 0.1 -0.3 -0.3 -0.3 -0.1 -0.0 -0.0 -0.1 -0.1 0.9 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -1.1 0.1 0.0 -0.1 -0.2 -0.7 -0.7 0.1 -0.7 BTP 0.3 -0.0 0.5 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.3 0.1 0.4 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.0 0.3 0.1 -2.6 0.1 0.0 0.2 0.0 0.2 0.0 0.7 0.3 0.6 0.6 0.4 -0.3 -0.5 0.7 0.1 BUND 0.1 -0.4 0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.2 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.6 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 0.2 0.0 0.1 -0.1 -0.6 -0.7 0.4 -0.3 BUXL 0.1 -0.3 0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.0 0.2 0.1 0.2 0.1 -0.7 -0.7 0.1 0.0 CAC 0.5 0.6 0.6 0.1 0.1 0.2 0.1 0.2 0.1 0.1 0.5 0.2 0.7 0.2 0.2 0.3 -0.1 0.1 -0.0 0.2 0.2 0.2 0.5 0.2 -1.5 0.1 0.0 0.2 0.1 0.2 0.1 0.3 -0.1 -0.0 0.4 0.0 -0.2 0.5 -0.1 0.7 CAD -0.0 -0.2 0.1 0.0 -0.1 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 -0.1 -0.1 -0.0 0.0 -0.0 -0.4 -0.1 -0.0 -0.6 -0.5 -0.1 -0.4 CANOLA 0.6 0.6 -0.6 0.0 -0.0 0.0 0.0 -0.1 0.0 0.1 -0.3 0.1 -0.4 0.1 -0.1 -0.3 -0.1 -0.3 -0.2 -0.0 -0.2 0.2 -0.5 0.1 -2.7 -0.0 0.0 -0.1 0.1 -0.2 0.0 -0.7 0.5 0.6 -0.2 -0.6 -0.7 -0.7 -0.6 -0.2 CHF -0.2 -0.6 -0.2 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.2 -0.2 -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 -0.5 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -1.1 -0.5 -0.6 -0.6 -0.3 -0.5 -0.5 -0.1 -0.6 COCOA 0.6 0.2 -0.4 0.0 -0.0 0.0 0.0 -0.0 0.0 0.1 0.2 0.1 0.3 0.1 0.1 0.4 0.3 0.4 0.4 0.2 0.2 0.2 0.3 0.2 -1.6 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.5 0.6 0.6 0.6 0.2 0.0 0.5 0.5 COFFEE -0.0 -0.2 0.3 0.0 -0.0 0.0 0.0 -0.1 0.0 0.1 0.3 -0.0 0.3 -0.0 0.0 0.2 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 0.9 -0.0 -0.1 -0.1 0.2 -0.3 -0.7 -0.0 -0.4 COPPER 0.5 0.3 0.3 0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 0.2 0.1 -0.1 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.0 0.2 -1.9 0.1 -0.0 0.1 0.1 0.0 0.1 0.1 0.5 0.4 0.2 0.5 -0.7 -0.1 0.4 0.2 CORN 0.6 0.2 -0.2 0.0 -0.0 0.0 0.0 -0.1 0.0 0.1 -0.5 0.2 -0.7 0.1 -0.1 -0.4 -0.2 -0.3 -0.3 -0.1 -0.2 0.1 -0.5 0.1 -2.5 -0.1 0.0 -0.2 0.1 -0.3 0.0 -0.9 0.3 0.6 -0.6 -0.6 -0.2 -0.7 -0.2 -0.0 COTTON2 -0.6 0.5 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 0.2 0.0 0.0 -0.0 0.1 0.1 -0.1 0.1 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 -0.3 0.1 0.6 0.6 -0.5 -0.5 -0.2 0.0 CRUDE_W 0.4 0.4 0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.2 0.4 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 0.0 0.1 0.1 0.2 0.1 -0.1 0.0 0.1 0.0 -0.1 0.7 0.7 0.7 0.7 DAX 0.5 0.6 0.6 0.1 0.1 0.2 0.1 0.2 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.3 0.2 0.2 0.2 0.5 0.2 2.4 0.1 0.1 0.2 0.1 0.2 0.1 -0.6 0.0 0.5 0.1 0.1 -0.2 0.4 0.1 0.7 DOW -0.3 -0.3 0.6 0.1 0.0 0.2 0.1 0.1 0.1 0.1 0.5 0.1 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.2 0.5 0.2 -2.0 0.1 0.1 0.3 0.1 0.3 0.1 -0.5 -0.0 -0.6 -0.6 0.1 -0.2 -0.2 0.1 -0.5 DX -0.2 0.1 -0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 0.2 0.1 0.1 0.0 -0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.0 0.1 0.1 0.0 -2.7 0.0 0.1 0.0 0.1 0.1 0.0 0.8 0.5 -0.4 0.4 -0.4 0.6 0.1 0.7 0.3 EUR 0.2 -0.0 0.0 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.2 -0.0 -0.1 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 -0.1 -0.1 -0.0 2.6 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.4 -0.2 0.1 0.1 -0.1 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE 0.1 -0.6 0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.9 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.2 0.1 0.1 0.0 0.1 -0.7 -0.7 0.3 0.7 EUROSTX 0.2 0.6 0.6 0.1 0.1 0.2 0.1 0.2 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.0 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 -0.3 0.0 0.6 0.3 -0.4 0.5 -0.3 0.7 FEEDCOW -0.4 0.6 0.5 0.0 -0.0 0.1 0.0 -0.1 0.0 -0.1 0.1 -0.1 0.1 0.1 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 -0.1 0.2 0.1 -1.1 0.0 -0.1 0.1 -0.0 0.2 0.0 -1.1 -0.5 -0.6 0.6 0.6 0.7 0.6 0.7 0.7 GASOIL 0.1 0.3 0.1 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.2 0.1 0.4 0.2 0.2 0.4 0.4 0.4 0.4 0.1 0.1 0.1 0.4 0.2 1.0 0.1 -0.0 0.2 0.1 0.2 0.1 1.1 -0.2 -0.2 0.1 0.1 -0.4 -0.3 -0.7 -0.5 GASOLINE 0.4 0.5 0.3 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.4 0.2 0.2 0.3 0.2 0.1 0.0 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.0 0.2 0.1 0.2 0.1 -0.5 0.4 0.4 0.4 0.4 0.7 0.6 0.7 0.5 GAS_US_mini 0.2 -0.1 -0.3 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.0 -0.5 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.5 -0.5 -0.6 -0.6 -0.5 -0.1 -0.7 -0.2 GBP 0.1 -0.0 0.2 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.2 0.3 -0.1 0.4 0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.1 0.2 -0.0 0.3 0.0 -0.2 0.2 -0.1 0.2 0.0 0.2 -0.5 0.1 0.2 0.3 -0.7 -0.2 -0.7 0.0 GOLD_micro 0.6 0.5 0.3 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.4 0.2 0.4 0.2 0.2 -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 0.0 0.1 0.1 -0.8 0.1 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL 0.1 0.2 0.0 0.1 0.0 0.1 0.1 0.1 0.1 -0.0 0.0 0.1 0.3 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 0.1 0.3 0.1 -2.7 0.1 -0.0 0.2 0.0 0.3 0.1 1.1 -0.3 -0.3 0.0 0.2 0.7 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 0.1 0.1 0.0 0.2 -0.0 0.0 0.2 0.3 0.2 0.2 -0.0 0.0 0.0 0.1 -0.0 -0.9 -0.0 0.0 0.0 0.0 0.0 -0.0 1.1 0.3 -0.0 0.1 -0.0 -0.3 -0.7 0.0 0.3 JPY 0.3 -0.2 -0.2 0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.1 -0.4 -0.1 -0.5 -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 -0.1 -0.2 -0.0 -1.1 -0.5 -0.2 -0.3 -0.3 -0.7 -0.4 -0.5 -0.5 LEANHOG 0.0 0.6 0.6 0.1 -0.0 0.1 0.0 -0.1 0.0 -0.2 0.4 -0.1 -0.4 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.1 -0.1 -0.2 0.1 2.2 0.1 -0.1 0.2 -0.0 0.0 0.0 -1.1 -0.5 0.2 0.6 0.6 -0.2 -0.3 0.3 0.4 LIVECOW -0.1 0.6 0.4 0.0 -0.0 0.1 0.0 -0.1 0.0 -0.1 0.2 0.0 0.1 0.2 0.2 0.4 -0.0 0.2 0.1 0.2 0.1 0.0 0.2 0.2 -0.8 0.1 -0.0 0.1 0.0 0.2 0.0 0.1 0.0 -0.0 0.6 0.6 0.7 0.2 0.7 0.6 LUMBER-new 0.5 0.4 0.5 0.1 -0.0 0.1 0.0 -0.1 0.1 0.0 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 -0.2 0.7 0.7 0.7 -0.4 -0.7 -0.3 -0.4 MILK -0.6 -0.1 0.2 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 -0.2 -0.2 -0.1 -0.5 -0.2 1.5 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.2 -0.6 -0.2 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.3 0.2 0.3 0.0 -0.1 0.1 -0.0 0.1 -0.0 0.0 0.5 0.2 0.7 0.2 0.2 0.4 0.3 0.4 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 0.5 0.6 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro -0.2 -0.0 0.4 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.4 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.3 0.0 -0.4 -0.3 -0.5 -0.4 0.2 0.3 -0.1 0.5 -0.2 NIKKEI -0.5 0.4 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.5 0.1 0.6 0.1 0.2 0.1 0.2 0.2 0.2 0.2 0.2 0.2 0.5 0.2 -1.9 0.1 0.0 0.2 0.0 0.2 0.0 1.1 0.1 -0.3 0.4 0.6 -0.7 -0.2 -0.3 -0.2 NZD -0.2 -0.2 0.1 0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.1 0.1 -0.2 -0.0 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.2 -0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 0.2 -0.5 -0.6 -0.1 -0.1 -0.3 -0.3 -0.0 0.1 OAT 0.1 -0.3 0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 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 0.6 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.6 0.1 0.1 0.2 0.1 -0.6 -0.7 0.4 0.1 OATIES -0.0 0.1 -0.3 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 -0.0 0.1 0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -2.7 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.0 -0.1 -0.3 -0.1 -0.2 -0.4 0.0 -0.0 0.5 OJ -0.2 0.1 -0.6 0.0 -0.0 0.0 0.0 -0.1 0.0 0.0 0.2 -0.0 0.4 0.1 0.1 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 -0.0 -0.5 0.6 -0.3 0.4 0.3 0.6 0.7 PALLAD 0.5 0.5 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 -0.1 0.0 -0.3 0.0 -0.0 -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 -0.0 -0.1 -0.1 0.0 -0.7 -0.4 -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 -0.0 -0.0 -0.0 -0.0 0.0 0.2 0.0 -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 0.1 -0.6 -0.1 -0.1 0.2 0.0 0.1 0.1 -0.1 -0.2 0.1 -0.5 -0.0 -1.1 -0.1 0.0 -0.2 0.0 -0.3 -0.0 0.2 0.3 -0.0 -0.6 -0.6 -0.5 -0.7 -0.3 -0.7 RICE -0.6 -0.2 0.2 0.0 -0.0 0.0 0.0 -0.1 0.0 -0.2 0.3 -0.2 0.6 -0.2 -0.0 -0.3 -0.1 -0.2 -0.2 -0.0 0.1 -0.2 0.5 -0.2 -2.7 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.6 -0.5 -0.6 -0.1 -0.1 0.2 -0.1 0.5 0.2 ROBUSTA 0.2 -0.1 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 0.2 0.6 0.6 0.6 -0.7 -0.6 -0.4 0.1 RUSSELL 0.0 0.2 0.5 0.1 0.0 0.1 0.0 0.1 0.0 0.0 0.3 0.1 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.2 0.1 -0.3 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 -0.5 -0.6 -0.6 -0.2 -0.5 -0.6 -0.5 -0.7 SHATZ 0.0 -0.6 -0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.2 -0.0 -0.2 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.0 -0.2 -0.1 1.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.1 0.1 -0.1 -0.3 -0.2 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.6 0.4 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 0.1 -0.1 0.2 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.0 0.2 0.7 0.1 -0.0 0.1 0.0 0.0 0.1 -0.1 0.5 0.6 0.5 0.2 -0.6 -0.6 0.7 -0.0 SMI 0.4 0.5 0.6 0.1 0.1 0.2 0.1 0.2 0.1 -0.0 0.5 0.2 0.5 0.2 0.2 0.0 0.1 0.1 0.1 0.2 0.2 0.1 0.3 0.2 2.1 0.1 0.0 0.2 0.1 0.1 0.1 1.1 -0.5 -0.2 -0.5 -0.2 0.4 -0.1 0.7 -0.3 SOFR 0.1 -0.4 0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.4 -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 0.1 -0.6 0.0 -0.0 0.0 0.0 -0.1 0.0 0.0 -0.4 0.2 -0.2 0.1 -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 0.6 -0.4 -0.6 -0.3 -0.7 -0.3 -0.7 SOYMEAL 0.6 -0.3 -0.6 0.0 -0.0 0.0 0.0 -0.1 0.0 0.1 -0.4 0.1 -0.4 -0.1 -0.2 -0.2 0.2 -0.1 0.1 -0.2 -0.2 0.1 -0.4 -0.0 -2.7 -0.1 0.0 -0.2 0.0 -0.1 -0.0 0.6 0.1 0.1 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 0.4 -0.3 0.0 -0.0 0.0 0.0 -0.1 0.0 0.0 -0.4 0.1 -0.5 0.1 -0.0 -0.2 0.0 -0.1 -0.1 0.0 -0.1 0.1 -0.4 0.1 -2.7 0.0 -0.0 -0.0 0.1 -0.1 0.1 0.0 0.5 0.6 0.2 -0.2 -0.5 -0.3 -0.4 0.2 SP400 0.3 0.5 0.6 0.1 0.0 0.1 0.1 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 0.2 0.4 0.2 -1.8 0.1 0.0 0.2 0.1 0.2 0.1 0.0 -0.4 -0.0 -0.2 0.0 -0.4 -0.3 -0.4 -0.7 SP500_micro 0.1 0.4 0.6 0.1 0.0 0.2 0.1 0.1 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 -0.6 -0.1 -0.2 0.1 0.5 0.1 -0.1 0.5 -0.2 SUGAR11 -0.1 -0.1 -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 0.3 -0.3 -0.3 -0.6 0.7 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 -0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.1 -0.0 0.3 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.6 0.0 0.1 0.0 0.1 -0.7 -0.7 -0.5 0.3 US10U 0.1 -0.3 0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.1 -0.0 0.0 0.0 -0.0 -0.1 -0.0 0.1 0.0 0.1 0.1 0.1 -0.7 -0.7 0.4 0.7 US2 -0.0 -0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.0 -0.2 -0.1 1.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.1 0.0 -0.0 -0.2 -0.1 -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 -0.0 0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 0.0 0.2 0.2 0.2 -0.7 -0.7 0.7 0.7 US30 0.1 -0.2 0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -0.2 -0.0 -0.1 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.5 -0.0 0.1 0.3 0.2 -0.5 -0.6 0.7 0.7 US5 0.1 -0.5 0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 -0.0 -0.1 -0.1 0.6 -0.0 0.0 -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 -0.3 -0.1 -0.1 -0.5 -0.1 -0.9 -0.1 -0.2 -0.9 -0.3 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.2 -0.3 -0.1 -0.9 -0.1 NaN -0.2 -0.1 -0.6 -0.1 -1.1 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.2 -0.2 -0.1 0.0 -0.0 0.0 0.0 -0.1 0.0 0.1 -0.5 0.1 -0.7 -0.1 -0.1 -0.3 -0.2 -0.3 -0.2 -0.2 -0.2 0.1 -0.5 -0.0 0.1 -0.1 0.0 -0.2 0.0 -0.2 -0.0 -1.1 0.5 -0.2 -0.6 -0.6 -0.4 -0.7 -0.2 -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 5.8 -3.5 1.2 0.1 -9.3 1.9 -3.7 3.4 -0.8 -14.3 -3.6 -5.4 -10.4 2.8 -10.2 -2.8 -2.9 -2.8 -2.8 -2.4 -2.4 -6.3 -5.1 -2.3 2.8 -1.3 -8.9 -1.1 -4.0 -2.0 -1.4 -1.1 -4.1 -4.1 -2.3 -6.6 -20.0 -10.8 -12.7 -1.1 BITCOIN 3.8 18.5 10.8 3.3 -5.4 0.3 0.5 -0.6 4.7 -18.7 20.0 4.3 20.0 14.2 17.7 -10.1 -7.3 -9.3 -8.5 20.0 20.0 -2.0 20.0 20.0 -20.0 7.4 -2.6 6.7 0.6 5.1 5.3 -3.3 -14.2 20.0 20.0 20.0 -5.1 0.6 18.0 4.4 BOBL 2.4 -19.6 -0.1 -1.3 1.5 -0.3 -1.3 -0.9 -2.0 2.5 -1.6 -2.9 -2.1 -7.8 -7.7 3.0 -14.0 -14.3 -16.7 -6.5 -3.2 -0.3 -3.3 -5.4 6.8 -2.1 3.6 -0.9 0.1 -0.7 -1.8 -20.0 5.5 0.5 -2.4 -4.8 -20.0 -20.0 3.6 -20.0 BTP 8.7 -1.4 14.2 -2.2 2.5 -0.5 -2.2 -1.6 -3.4 -2.6 12.0 6.7 11.1 8.2 8.4 5.0 6.3 4.9 5.3 11.2 14.4 4.9 11.2 8.3 -19.6 5.0 2.2 5.9 2.3 4.8 3.9 12.2 13.1 19.4 20.0 13.5 -10.3 -15.0 20.0 2.8 BUND 1.7 -13.7 4.4 -1.5 1.7 -0.3 -1.5 -1.1 -2.3 2.7 0.7 -3.2 -0.9 -8.1 -6.6 -8.3 2.4 -2.6 -0.2 -3.8 -0.6 -0.2 -2.2 -4.0 4.2 -1.6 4.6 -0.1 0.1 -0.3 -1.7 4.3 6.3 1.5 2.4 -1.7 -17.4 -20.0 12.1 -10.4 BUXL 1.7 -8.5 7.7 -1.9 2.1 -0.4 -1.8 -1.3 -2.8 1.2 2.4 -4.8 -4.0 -8.7 -6.1 -7.1 -0.9 -4.1 -2.2 -2.0 0.7 -1.0 -4.0 -3.2 -0.0 -0.7 5.3 0.8 -0.3 -0.7 -1.6 0.0 6.8 2.2 7.0 2.2 -20.0 -20.0 4.0 0.7 CAC 14.7 20.0 19.1 8.6 6.8 7.2 7.8 4.8 8.4 14.8 20.0 20.0 20.0 20.0 20.0 16.9 -2.5 3.5 -1.2 20.0 20.0 20.0 20.0 20.0 -11.4 9.5 2.1 7.7 6.2 5.5 9.0 6.2 -3.6 -1.3 11.5 0.5 -5.8 14.0 -2.8 19.7 CAD -0.1 -5.9 4.0 0.1 -10.7 2.2 -4.3 3.9 -0.9 -16.6 -2.2 -9.2 -4.5 -13.1 -12.8 -2.3 -2.2 -2.2 -2.2 -4.6 -2.3 -9.3 -3.9 -6.4 -0.3 -3.1 -12.2 -1.6 -6.5 -2.3 -4.3 0.0 -0.4 -11.3 -4.4 -0.6 -16.6 -14.8 -1.6 -12.6 CANOLA 20.0 18.0 -17.1 2.3 -0.5 1.1 1.2 -1.5 2.1 6.3 -11.0 10.9 -11.0 7.6 -5.6 -15.0 -5.3 -13.7 -11.2 -2.3 -15.6 17.9 -19.2 12.6 -20.0 -0.7 3.7 -4.4 5.5 -5.6 3.7 -13.7 20.0 20.0 -7.0 -20.0 -20.0 -20.0 -17.6 -7.2 CHF -5.0 -20.0 -6.4 0.1 -9.3 1.9 -3.7 3.4 -0.8 -18.5 -6.5 -18.7 -0.2 -20.0 -18.8 -15.9 -15.6 -15.8 -15.8 -18.3 -9.3 -20.0 -0.8 -20.0 -3.8 -5.4 -12.8 -1.9 -10.4 0.5 -8.0 -20.0 -20.0 -20.0 -20.0 -7.7 -14.1 -16.5 -4.3 -16.9 COCOA 20.0 6.7 -13.3 1.4 -0.3 0.6 0.7 -0.9 1.3 7.2 8.4 7.9 8.4 8.2 8.3 20.0 12.8 20.0 20.0 20.0 18.1 20.0 12.2 20.0 -12.2 2.9 2.7 2.7 2.9 2.3 2.9 20.0 20.0 20.0 20.0 20.0 6.7 1.5 14.7 15.5 COFFEE -0.9 -5.2 8.6 3.7 -0.7 1.7 1.9 -2.4 3.4 12.1 10.8 -1.3 7.9 -1.3 1.9 11.4 8.1 13.4 11.0 3.7 9.2 2.5 7.3 0.6 -20.0 1.7 4.5 5.0 2.0 5.5 0.6 16.6 -1.2 -1.9 -3.3 7.4 -9.1 -20.0 -1.1 -13.5 COPPER 16.5 9.8 8.1 3.1 -5.1 0.3 0.5 -0.6 4.4 0.1 8.4 11.4 -3.8 16.5 14.2 -4.6 -4.9 -5.3 -5.5 16.8 8.9 15.3 1.8 20.0 -13.9 5.3 -1.7 2.6 5.8 0.6 7.7 1.3 20.0 13.2 7.3 13.9 -20.0 -2.2 12.1 5.4 CORN 20.0 6.3 -7.6 4.1 -0.8 1.8 2.1 -2.6 3.7 15.7 -17.4 20.0 -20.0 10.2 -10.7 -19.5 -7.8 -17.1 -13.5 -10.0 -20.0 14.0 -20.0 6.7 -19.1 -4.8 4.1 -8.2 4.7 -8.3 1.2 -17.6 13.4 20.0 -20.0 -20.0 -6.6 -20.0 -4.9 -0.0 COTTON2 -20.0 14.7 19.1 2.1 -0.4 1.0 1.1 -1.4 1.9 -10.6 5.2 -10.5 3.4 0.9 5.4 8.6 0.0 2.3 -0.5 7.5 7.6 -7.0 3.3 0.3 -20.0 3.5 -1.4 3.3 -0.8 1.9 1.4 -0.6 -13.3 1.7 20.0 20.0 -13.5 -13.6 -4.6 0.8 CRUDE_W 11.9 10.9 0.5 6.5 2.0 4.0 7.4 3.3 8.1 10.2 1.6 17.8 9.9 20.0 19.2 14.0 10.3 11.5 10.5 16.5 10.7 20.0 12.4 20.0 -5.2 7.7 2.4 5.2 8.9 5.8 10.1 -1.1 1.7 4.2 0.9 -1.9 20.0 20.0 20.0 20.0 DAX 15.6 20.0 20.0 8.3 6.6 6.9 7.5 4.7 8.1 20.0 20.0 20.0 20.0 20.0 20.0 -12.7 -11.6 -14.1 -13.3 20.0 20.0 20.0 20.0 20.0 18.1 9.3 7.4 7.8 7.8 5.5 9.1 -11.3 1.2 16.3 3.6 4.2 -5.1 12.4 2.1 20.0 DOW -9.0 -8.3 18.9 6.8 5.4 5.7 6.1 3.8 6.6 8.7 20.0 10.4 20.0 14.9 19.9 -12.9 -11.0 -13.1 -12.3 20.0 20.0 17.9 20.0 14.6 -15.1 7.3 7.5 9.8 7.1 9.2 5.4 -9.9 -0.2 -20.0 -20.0 4.1 -5.8 -6.2 1.8 -14.3 DX -7.4 4.3 -0.3 0.7 -2.3 2.4 -0.1 3.9 0.8 20.0 2.8 12.4 1.3 -2.9 8.0 7.3 6.3 6.8 6.5 1.9 2.2 13.3 4.0 3.3 -20.0 0.1 12.7 0.0 7.3 1.7 1.6 14.8 20.0 -12.0 12.5 -13.0 16.6 3.3 20.0 9.6 EUR 6.9 -0.4 0.2 0.1 -10.6 2.2 -4.2 3.9 -0.9 -20.0 -0.9 -8.1 -0.7 6.7 -6.8 -6.9 -6.7 -6.6 -6.5 0.3 -0.9 -9.0 -2.0 -0.6 19.8 1.4 -13.4 1.1 -5.6 0.2 0.0 -7.5 -8.6 3.8 2.1 -4.6 -20.0 -15.8 -20.0 -12.4 EURIBOR-ICE 1.9 -19.5 7.0 -1.1 1.3 -0.3 -1.1 -0.8 -1.7 -0.1 3.2 -2.8 2.9 -5.6 -2.9 -3.9 -3.9 -1.9 -2.3 -1.7 3.4 -0.6 3.6 -2.9 14.1 -0.4 2.6 1.6 -0.1 1.7 -1.0 -3.1 2.2 2.2 0.5 2.5 -20.0 -20.0 9.7 20.0 EUROSTX 6.3 20.0 20.0 8.2 6.5 6.9 7.4 4.6 8.0 18.7 20.0 20.0 20.0 20.0 20.0 -1.2 1.9 4.0 3.4 20.0 20.0 20.0 20.0 20.0 0.6 9.3 4.3 8.3 5.8 6.2 8.0 14.4 -12.7 0.7 18.0 9.2 -11.7 14.7 -9.9 20.0 FEEDCOW -12.7 18.3 15.1 4.4 -0.9 2.0 2.3 -2.8 4.0 -13.9 3.3 -7.1 2.3 13.5 20.0 -20.0 -20.0 -20.0 -20.0 19.2 14.2 -8.6 8.6 6.6 -8.2 4.4 -11.0 4.3 -4.5 5.4 0.4 -20.0 -19.3 -19.9 20.0 20.0 20.0 16.8 20.0 20.0 GASOIL 3.3 9.7 3.1 5.3 1.7 3.3 6.0 2.7 6.6 3.6 8.4 10.1 12.1 14.2 16.3 20.0 20.0 20.0 20.0 13.9 12.6 11.1 14.2 14.1 7.3 5.9 -1.4 5.6 4.9 6.0 6.1 20.0 -8.5 -6.4 2.1 4.5 -10.5 -8.4 -20.0 -15.0 GASOLINE 11.1 16.2 8.1 6.0 1.9 3.7 6.9 3.1 7.6 15.7 9.2 20.0 12.4 20.0 20.0 16.9 9.1 2.6 1.3 20.0 16.6 20.0 13.8 20.0 -20.0 7.9 3.9 5.6 7.9 5.3 9.0 -8.6 16.1 10.9 12.8 13.9 20.0 17.4 20.0 16.1 GAS_US_mini 4.7 -3.0 -9.5 2.6 0.8 1.6 3.0 1.3 3.3 -6.2 -10.6 -8.1 -11.3 -8.9 -9.9 -20.0 -20.0 -18.6 -17.9 -11.1 -16.5 -4.2 -20.0 -6.6 20.0 -3.8 -1.2 -4.7 -1.6 -4.3 -2.6 -20.0 -20.0 -14.9 -20.0 -20.0 -14.7 -1.8 -20.0 -6.5 GBP 3.0 -0.9 5.4 0.1 -11.1 2.3 -4.4 4.1 -1.0 -20.0 11.5 -10.9 10.0 2.8 8.7 -0.8 -0.6 -0.6 -0.5 5.6 7.6 -13.0 7.0 -0.1 2.3 4.5 -20.0 5.7 -8.8 4.2 0.3 2.8 -20.0 3.1 6.5 8.9 -20.0 -6.5 -20.0 0.8 GOLD_micro 20.0 14.0 9.2 3.1 -5.2 0.3 0.5 -0.6 4.4 -3.6 16.3 16.9 11.5 17.9 15.5 -15.1 -14.7 -15.4 -15.1 20.0 17.6 19.9 10.8 20.0 -3.7 6.1 0.8 4.0 4.5 2.6 6.8 -15.4 4.6 20.0 20.0 20.0 -20.0 -20.0 -20.0 -14.1 HEATOIL 4.1 6.9 0.6 5.6 1.8 3.5 6.4 2.8 7.0 -2.9 1.4 6.6 8.3 9.2 13.5 18.1 20.0 20.0 20.0 9.6 7.7 6.5 10.0 10.8 -20.0 6.5 -3.1 6.1 3.3 7.4 6.1 20.0 -12.1 -8.0 0.1 5.5 20.0 5.1 15.5 2.1 JGB-SGX-mini -5.9 -6.8 8.3 -1.3 1.5 -0.3 -1.3 -0.9 -2.0 6.4 4.7 0.3 6.4 -3.5 0.9 9.7 15.9 11.2 12.4 -0.5 2.7 0.5 3.9 -1.9 -6.6 -0.6 1.9 0.5 0.3 0.4 -1.1 20.0 14.4 -0.0 3.1 -0.1 -8.2 -19.9 1.3 9.8 JPY 7.8 -7.4 -5.8 0.1 -6.6 1.4 -2.6 2.4 -0.6 -12.7 -13.9 -11.8 -14.8 -11.0 -13.5 -16.5 -16.3 -16.5 -16.4 -10.8 -13.3 -16.0 -18.9 -10.8 20.0 -3.6 -8.8 -4.2 -7.1 -6.2 -4.3 -20.0 -20.0 -7.4 -10.6 -8.4 -20.0 -12.4 -16.2 -13.9 LEANHOG 0.2 17.0 17.1 4.7 -0.9 2.2 2.5 -3.0 4.3 -20.0 13.1 -8.4 -10.7 16.5 20.0 -20.0 -20.0 -20.0 -20.0 20.0 13.7 -8.7 -5.9 11.7 16.6 8.1 -8.1 7.3 -3.3 0.6 3.4 -20.0 -20.0 6.1 20.0 20.0 -5.9 -8.4 7.9 13.4 LIVECOW -4.0 20.0 11.5 4.3 -0.8 1.9 2.2 -2.7 3.9 -14.4 5.9 4.4 3.8 17.8 20.0 20.0 -1.0 12.0 2.9 20.0 13.7 2.2 7.4 15.2 -5.8 6.5 -3.7 4.6 0.6 4.5 4.5 1.3 0.9 -1.0 20.0 18.7 20.0 7.4 20.0 18.5 LUMBER-new 12.4 10.5 13.5 4.7 -0.9 2.2 2.5 -2.1 4.3 3.6 16.6 15.5 -10.4 19.4 20.0 -15.6 -15.3 -16.1 -15.6 20.0 16.8 11.5 4.6 19.8 NaN 8.7 2.1 6.9 3.8 3.5 7.3 -20.0 -5.8 20.0 20.0 20.0 -11.2 -17.3 -7.5 -11.1 MILK -20.0 -2.1 6.0 2.5 -0.5 1.1 1.3 -1.6 2.3 -12.0 -12.9 -13.2 -13.7 -12.5 -12.3 -20.0 -20.0 -20.0 -20.0 -14.3 -16.2 -14.4 -20.0 -15.5 11.6 -4.0 -3.9 -4.5 -4.3 -6.2 -4.5 -20.0 -6.6 -20.0 -7.6 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 10.7 6.2 9.0 0.1 -11.1 2.3 -4.4 4.1 -1.0 5.3 20.0 18.7 20.0 20.0 20.0 18.5 17.0 17.6 16.7 20.0 20.0 15.2 20.0 20.0 -20.0 8.9 2.4 8.4 6.3 10.2 9.0 20.0 20.0 20.0 20.0 19.7 20.0 20.0 20.0 20.0 NASDAQ_micro -6.1 -0.1 11.5 4.9 3.8 4.1 4.4 2.7 4.7 12.1 14.8 10.3 14.9 11.3 13.8 -10.8 -10.2 -11.3 -10.9 16.5 20.0 9.5 20.0 10.0 -20.0 5.4 3.5 7.3 2.7 7.8 3.1 -8.0 -13.4 -15.3 -12.2 6.1 8.6 -2.3 14.8 -4.6 NIKKEI -15.5 12.2 17.1 5.6 4.5 4.7 5.1 3.2 5.5 12.9 16.7 11.8 17.1 13.8 15.8 4.1 11.5 9.4 10.9 20.0 20.0 20.0 20.0 20.0 -14.3 6.2 4.3 6.4 4.2 5.6 4.6 20.0 2.5 -8.3 11.2 19.9 -19.8 -6.2 -8.2 -5.7 NZD -6.6 -4.9 3.6 0.1 -7.7 1.6 -3.1 2.8 -0.7 -15.4 2.6 -15.0 -0.9 -10.3 -8.4 0.3 0.3 0.3 0.3 -3.8 0.3 -17.2 -0.5 -9.8 0.0 -2.5 -14.4 0.3 -10.6 0.5 -6.2 4.2 -19.4 -20.0 -2.8 -2.3 -8.5 -8.8 -1.4 4.3 OAT 3.0 -10.7 7.2 -1.6 1.8 -0.4 -1.6 -1.1 -2.4 0.1 2.9 -2.5 0.8 -6.4 -4.4 4.2 6.1 4.5 4.9 -1.1 2.5 -0.4 0.4 -2.1 4.9 -0.4 3.2 1.4 -0.1 0.8 -0.9 11.8 5.1 3.7 5.6 1.7 -18.7 -20.0 12.1 3.0 OATIES -1.0 2.2 -9.7 3.1 -0.6 1.4 1.6 -2.0 2.8 -12.7 -15.3 -9.1 -12.7 -5.8 -5.3 8.1 -1.5 6.3 1.5 -6.1 -12.1 -8.4 -12.9 -5.1 -20.0 -2.2 -5.7 -4.1 -5.1 -4.8 -2.9 -0.9 -4.7 -7.8 -4.1 -5.7 -11.3 0.9 -1.3 13.6 OJ -6.0 3.8 -20.0 2.6 -0.5 1.2 1.4 -1.7 2.4 4.7 6.7 -4.0 10.8 6.6 4.8 6.7 14.8 7.7 10.9 5.4 10.0 -0.4 18.5 1.6 -20.0 1.9 2.3 5.5 -0.3 12.1 0.2 20.0 -0.7 -14.1 20.0 -10.7 10.9 9.3 17.1 20.0 PALLAD 16.5 15.2 1.4 1.2 -2.0 0.1 0.2 -0.2 1.7 -6.3 -4.3 1.1 -7.4 4.2 -2.1 -1.6 -2.1 -1.7 -1.9 0.5 -3.9 -0.9 -8.8 2.3 9.7 0.5 -2.8 -1.6 -0.4 -3.5 1.2 6.9 -0.7 -2.9 -3.4 1.1 -20.0 -10.7 -15.3 -6.5 PLAT 9.5 1.2 -0.2 1.7 -2.9 0.2 0.3 -0.3 2.5 -8.7 -4.6 -1.6 -7.6 0.8 -6.1 -4.2 -3.4 -4.1 -3.8 -0.9 -2.6 -2.9 -3.5 0.0 9.6 0.1 -4.5 -0.6 -1.7 -0.8 0.4 4.1 0.1 -9.6 -7.3 0.4 -14.1 -4.4 20.0 7.3 REDWHEAT 12.6 0.9 -8.0 3.2 -0.6 1.4 1.7 -2.0 2.9 9.3 -16.7 8.6 -17.4 -5.6 -11.6 8.5 1.2 5.5 2.5 -11.0 -19.9 5.6 -20.0 -1.9 -8.1 -5.1 4.3 -6.9 1.8 -7.1 -1.8 3.3 12.7 -0.2 -20.0 -20.0 -13.9 -20.0 -7.9 -20.0 RICE -20.0 -7.3 7.1 4.0 -0.8 1.8 2.1 -2.6 3.7 -20.0 11.9 -20.0 16.3 -17.5 -0.6 -12.8 -4.1 -12.0 -10.0 -2.3 13.2 -20.0 17.7 -18.5 -20.0 -1.7 -14.3 3.1 -11.4 4.5 -7.6 -11.0 -20.0 -20.0 -2.9 -2.3 7.0 -3.7 15.2 6.1 ROBUSTA 7.1 -1.9 20.0 3.0 -0.6 1.4 1.6 -1.9 2.7 10.2 16.5 13.8 16.8 13.7 16.1 19.7 20.0 20.0 20.0 20.0 20.0 16.9 20.0 20.0 -20.0 6.4 2.6 8.0 3.8 8.2 4.8 20.0 10.1 20.0 20.0 20.0 -20.0 -18.4 -10.9 1.7 RUSSELL 1.2 4.9 15.1 4.8 3.8 4.0 4.3 2.7 4.6 4.1 12.0 5.1 8.7 9.7 12.1 -6.5 -6.3 -6.5 -6.4 9.5 10.3 5.1 6.6 6.3 -2.0 4.6 2.7 5.0 2.3 3.6 2.9 -0.8 -20.0 -17.0 -19.0 -7.1 -15.2 -18.5 -15.9 -20.0 SHATZ 1.5 -20.0 -6.1 -1.1 1.2 -0.2 -1.1 -0.8 -1.7 0.6 -6.4 -3.4 -6.8 -7.5 -7.9 -20.0 -20.0 -20.0 -20.0 -10.3 -7.7 -1.9 -7.7 -7.9 8.1 -2.3 1.7 -1.5 -0.4 -1.4 -1.9 -20.0 3.5 -2.5 -8.6 -7.2 -20.0 -20.0 -8.4 -20.0 SILVER-mini 20.0 13.5 -0.4 2.7 -4.6 0.2 0.5 -0.5 3.9 -4.4 2.6 11.8 -1.8 14.2 4.1 -6.6 -6.7 -6.8 -6.8 11.2 3.3 11.4 -0.3 17.0 5.0 5.0 -0.4 2.2 4.4 0.8 6.6 -1.3 20.0 19.8 15.4 6.6 -17.0 -18.1 19.7 -1.0 SMI 13.8 14.6 18.9 7.7 6.1 6.5 6.9 4.3 7.5 -0.4 20.0 14.2 12.9 19.8 20.0 1.1 5.5 5.9 6.4 20.0 20.0 16.6 11.7 20.0 15.8 8.1 1.5 6.4 4.7 3.6 7.7 20.0 -20.0 -7.6 -16.7 -7.1 11.5 -4.3 20.0 -7.8 SOFR 2.5 -12.6 4.3 -1.6 1.7 -0.3 -1.5 -1.1 -2.3 -2.4 3.4 -5.3 -0.3 -7.7 -5.7 -0.7 0.1 0.2 0.4 -3.6 -1.0 -3.1 -2.0 -4.7 -2.7 -0.9 1.3 0.5 -1.5 0.1 -2.1 2.8 -1.1 3.0 0.6 1.1 -20.0 -20.0 0.2 -2.8 SOYBEAN 20.0 2.2 -19.7 3.8 -0.7 1.7 2.0 -2.4 3.4 4.1 -14.7 16.6 -5.7 10.6 -10.7 3.8 13.2 6.7 9.3 -5.9 -16.3 17.5 -13.9 11.7 -20.0 -1.4 2.7 -4.2 6.5 -3.0 4.4 19.9 20.0 20.0 -12.6 -20.0 -8.4 -20.0 -7.6 -20.0 SOYMEAL 20.0 -9.8 -20.0 3.2 -0.6 1.5 1.7 -2.1 2.9 5.6 -16.4 10.1 -12.1 -7.1 -15.3 -8.4 8.7 -3.2 2.5 -16.7 -20.0 7.1 -15.0 -2.1 -20.0 -4.7 2.4 -6.0 2.5 -3.1 -0.3 11.1 5.8 3.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 20.0 11.9 -10.0 3.3 -0.6 1.5 1.7 -2.1 3.0 1.1 -15.0 10.4 -13.1 9.4 -4.6 -8.1 2.2 -6.1 -2.5 0.4 -12.6 13.4 -16.1 13.4 -20.0 2.7 -0.4 -1.1 5.8 -2.6 6.4 0.6 20.0 20.0 5.0 -5.3 -15.7 -8.6 -10.6 5.7 SP400 10.1 13.9 20.0 6.0 4.8 5.0 5.4 3.4 5.9 8.0 17.8 13.8 14.6 16.2 18.1 -4.8 -5.4 -5.5 -5.5 20.0 20.0 18.4 15.6 20.0 -13.2 6.6 4.6 6.0 5.0 4.3 5.8 0.8 -17.2 -1.1 -7.6 0.0 -13.5 -8.9 -11.1 -20.0 SP500_micro 2.6 12.4 20.0 6.8 5.4 5.7 6.1 3.8 6.6 15.1 20.0 18.4 20.0 20.0 20.0 -13.0 -11.5 -13.0 -12.4 20.0 20.0 20.0 20.0 20.0 -20.0 8.0 4.9 8.6 5.4 7.5 6.2 -10.4 -3.1 -5.5 1.9 16.0 3.0 -3.1 15.2 -6.0 SUGAR11 -3.9 -2.8 -14.3 2.8 -0.6 1.3 1.5 -1.8 2.6 4.1 -6.7 2.7 4.7 -3.4 -6.1 9.4 17.7 13.8 16.3 -6.6 -7.5 1.2 0.1 -2.7 -20.0 -3.6 1.1 -4.4 0.7 0.0 -1.1 20.0 14.4 -9.5 -10.3 -20.0 20.0 2.9 20.0 14.9 US10 2.8 -11.2 5.9 -1.3 1.5 -0.3 -1.3 -0.9 -2.0 -1.3 1.9 -4.1 -3.0 -6.9 -4.7 -7.9 -8.0 -8.4 -8.4 -3.2 -2.1 -2.2 -5.5 -3.8 2.3 -0.7 1.5 0.2 -1.0 -1.0 -1.6 -11.9 0.1 2.9 1.1 1.7 -20.0 -20.0 -14.4 7.9 US10U 2.5 -10.3 5.8 -1.9 2.1 -0.4 -1.9 -1.4 -2.9 -2.7 2.1 -6.4 -4.2 -10.4 -7.2 -3.7 -0.4 -1.9 -0.8 -4.4 -3.3 -3.3 -8.5 -5.3 -0.7 -0.8 1.8 0.3 -1.6 -1.5 -2.1 1.5 1.0 3.9 4.1 3.2 -20.0 -20.0 12.5 20.0 US2 -0.6 -19.5 0.6 -1.1 1.3 -0.3 -1.1 -0.8 -1.7 -0.1 -2.9 -3.1 -6.2 -6.8 -6.5 -20.0 -20.0 -20.0 -20.0 -6.6 -4.9 -2.6 -7.6 -6.2 10.4 -1.7 1.1 -0.6 -0.8 -1.3 -2.0 -20.0 0.2 -0.9 -7.1 -2.0 -20.0 -20.0 -19.1 -20.0 US20 3.6 -7.1 9.2 -1.4 1.5 -0.3 -1.3 -1.0 -2.1 -2.5 3.0 -4.0 -1.7 -5.1 -2.5 -0.0 -0.8 -0.1 -0.4 -1.0 -0.4 -2.0 -4.9 -2.4 -1.3 0.5 1.5 1.1 -1.0 -0.8 -0.9 1.3 0.5 4.9 6.8 6.1 -20.0 -20.0 20.0 20.0 US30 2.2 -5.1 7.3 -1.7 1.8 -0.4 -1.6 -1.2 -2.5 -5.1 2.4 -6.6 -3.4 -6.3 -4.4 -7.1 -6.0 -7.6 -7.0 -1.5 -1.3 -3.8 -6.9 -3.4 -0.6 0.5 0.9 1.1 -2.3 -1.5 -1.5 -8.8 -0.2 3.9 9.6 5.4 -14.4 -16.9 20.0 20.0 US5 1.8 -14.9 3.6 -1.3 1.4 -0.3 -1.3 -0.9 -2.0 -0.4 0.7 -3.4 -4.0 -7.1 -5.6 -8.7 -10.0 -9.2 -9.8 -4.8 -3.1 -2.2 -5.5 -4.9 4.9 -1.3 1.7 -0.1 -0.9 -0.9 -2.0 -14.9 0.4 1.6 -2.6 -0.0 -20.0 -20.0 -20.0 -7.1 VIX 5.6 8.0 -4.9 -7.7 -5.7 -11.2 -5.5 -15.7 -5.4 -16.5 -20.0 -15.4 -20.0 -15.8 -20.0 -20.0 -20.0 -20.0 -20.0 -14.0 -20.0 -9.2 -20.0 -7.9 NaN -8.7 -6.7 -13.6 -6.2 -19.8 -5.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 6.4 -6.8 -3.4 3.4 -0.7 1.5 1.8 -2.2 3.1 15.2 -17.4 11.2 -18.7 -7.7 -12.8 -15.3 -11.6 -13.5 -12.4 -14.0 -19.6 8.7 -20.0 -3.7 0.8 -5.3 5.1 -5.7 2.6 -5.4 -2.0 -20.0 20.0 -5.5 -20.0 -20.0 -11.0 -20.0 -7.0 -20.0 End of report for caleb_strategy_v3