******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240326_204005 produced at 2024-03-26 21:37:34.873920 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.69 0.0 0.00 0.00 0.00 0.00 -9.97 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 -68.81 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.28 0.0 0.00 0.00 0.00 0.00 -8.60 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.26 0.0 0.00 0.00 0.00 0.00 -4.36 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.40 -0.18 0.0 0.52 -0.52 -0.40 -0.40 -4.47 13.0 -10 -10 caleb_strategy_v3 JPY False False 0.02 0.00 -0.10 0.0 0.41 -0.41 0.00 0.00 -4.28 17.0 0 0 caleb_strategy_v3 CAD False False 0.02 0.00 -0.09 0.0 0.61 -0.61 0.00 0.00 -4.44 29.0 0 0 caleb_strategy_v3 US5 False False 0.03 -0.25 -0.08 0.0 0.77 -0.77 -0.25 -0.28 -2.55 25.0 -8 -9 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.07 0.0 0.08 -0.08 -0.07 -0.07 -10.81 12.0 -10 -11 caleb_strategy_v3 RICE False False 0.01 0.00 -0.06 0.0 0.04 -0.04 0.00 0.00 -5.64 4.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.06 0.0 0.04 -0.04 -0.03 -0.03 -41.57 26.0 -19 -19 caleb_strategy_v3 BOBL False False 0.04 -0.55 -0.06 0.0 0.70 -0.70 -0.55 -0.55 -1.76 19.0 -15 -15 caleb_strategy_v3 NZD False False 0.02 0.00 -0.05 0.0 0.36 -0.36 0.00 0.00 -2.72 21.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.05 -0.05 0.00 0.00 -5.52 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 -18.96 51.0 -6 -6 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.05 0.0 0.36 -0.36 -0.02 -0.02 -2.51 19.0 -1 -1 caleb_strategy_v3 US10 False False 0.03 0.00 -0.04 0.0 0.54 -0.54 0.00 0.00 -1.22 17.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -6.99 2.0 0 0 caleb_strategy_v3 EUR False False 0.04 0.00 -0.03 0.0 0.55 -0.55 0.00 0.00 -0.73 14.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.02 0.0 0.20 -0.20 -0.01 -0.01 -7.70 68.0 -4 -2 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.08 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 -2.09 8.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.08 -0.08 -0.03 -0.03 -2.82 9.0 -4 -4 caleb_strategy_v3 FEEDCOW False False 0.04 0.22 -0.02 0.0 0.30 -0.30 0.22 0.11 -0.44 8.0 6 3 caleb_strategy_v3 DOW False False 0.01 -0.02 -0.02 0.0 0.38 -0.38 -0.02 -0.01 -3.93 66.0 -4 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.01 0.0 0.24 -0.24 0.00 0.00 -0.95 23.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.12 -0.12 -0.02 -0.02 -0.70 7.0 -1 -1 caleb_strategy_v3 GBP False False 0.02 0.05 -0.01 0.0 0.50 -0.50 0.05 0.02 -0.35 22.0 2 1 caleb_strategy_v3 US10U False False 0.03 -0.03 -0.01 0.0 0.43 -0.43 -0.03 -0.03 -0.33 13.0 -1 -1 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.01 0.0 0.41 -0.41 -0.04 -0.04 -0.20 10.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.08 -0.08 -0.03 -0.03 -0.71 10.0 -4 -4 caleb_strategy_v3 COFFEE False False 0.02 0.00 0.00 0.0 0.12 -0.12 0.00 0.00 0.04 6.0 0 0 caleb_strategy_v3 PLAT False False 0.01 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.25 10.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.04 2.0 0 0 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.00 0.0 0.17 -0.17 0.00 0.00 -0.11 4.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.00 0.0 0.15 -0.15 -0.03 -0.03 -0.34 11.0 -2 -2 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.01 18.0 0 0 caleb_strategy_v3 US20 False False 0.03 0.03 0.00 0.0 0.31 -0.31 0.03 0.03 0.03 9.0 1 1 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.22 -0.22 0.00 0.00 -0.12 6.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.17 0.01 0.0 0.17 -0.17 0.17 0.17 0.15 2.0 2 2 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 0.01 0.0 0.01 -0.01 0.00 0.00 1.30 3.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.89 3.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.02 0.0 0.22 -0.22 0.00 0.00 1.90 23.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.16 0.02 0.0 0.36 -0.36 0.16 0.16 3.14 48.0 21 21 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.02 0.0 0.00 -0.00 0.00 0.00 1.29 0.0 0 0 caleb_strategy_v3 COCOA False False 0.03 0.11 0.03 0.0 0.68 -0.68 0.11 0.08 1.05 26.0 4 3 caleb_strategy_v3 HEATOIL False False 0.03 0.06 0.03 0.0 0.09 -0.09 0.06 0.06 1.01 3.0 2 2 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.03 0.0 0.35 -0.35 0.00 0.00 5.41 56.0 0 0 caleb_strategy_v3 OAT False False 0.04 0.00 0.04 0.0 0.40 -0.40 0.00 0.00 0.95 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 17.79 59.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.05 0.05 0.0 0.09 -0.09 0.05 0.05 1.98 4.0 2 2 caleb_strategy_v3 COPPER False False 0.03 0.15 0.06 0.0 0.17 -0.17 0.15 0.15 2.06 6.0 5 5 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.06 0.0 0.35 -0.35 0.00 0.00 2.98 17.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.07 0.0 0.15 -0.15 0.07 0.07 6.04 13.0 6 6 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.07 0.0 0.13 -0.13 0.13 0.13 2.10 4.0 4 4 caleb_strategy_v3 BTP False False 0.04 0.22 0.08 0.0 0.37 -0.37 0.22 0.22 2.05 10.0 6 6 caleb_strategy_v3 DX False False 0.03 0.00 0.10 0.0 999.00 -999.00 0.00 0.00 3.36 999999999.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 0.14 0.0 0.00 0.00 0.00 0.00 5.36 12.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.18 0.16 0.0 0.28 -0.28 0.18 0.22 21.22 36.0 23 29 caleb_strategy_v3 EUROSTX False False 0.02 0.31 0.16 0.0 0.31 -0.31 0.31 0.30 9.93 20.0 20 19 caleb_strategy_v3 SMI False False 0.04 0.33 0.17 0.0 0.33 -0.33 0.33 0.30 4.56 9.0 9 8 caleb_strategy_v3 DAX False False 0.01 0.13 0.21 0.0 0.34 -0.34 0.13 0.14 35.58 58.0 22 24 caleb_strategy_v3 CRUDE_W False False 0.02 0.07 0.25 0.0 0.11 -0.11 0.07 0.09 11.40 5.0 3 4 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.08 0.27 0.0 0.76 -0.76 0.08 0.00 3.52 10.0 1 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.17 0.28 0.0 0.44 -0.44 0.17 0.14 10.08 16.0 6 5 caleb_strategy_v3 MXP False False 0.01 0.50 0.87 0.0 0.51 -0.51 0.50 0.51 102.02 60.0 59 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 25.0 Shocked risk 88.0 Sum abs risk 63.0 Leverage 6.00 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3478326.32, 'annual_cash_vol_target': 869581.58, 'daily_cash_vol_target': 54348.84875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6546 0.5729 9.1670 BITCOIN 2082.0935 70400.0000 2.9575 47.3203 BOBL 0.2507 118.0200 0.2124 3.3987 BTP 0.5321 119.1000 0.4468 7.1480 BUND 0.4927 132.8900 0.3707 5.9318 BUXL 1.1673 134.4600 0.8681 13.8900 CAC 43.5030 8190.0000 0.5312 8.4988 CAD 0.0028 0.7369 0.3813 6.1004 CANOLA 6.7438 648.3000 1.0402 16.6436 CHF 0.0050 1.1164 0.4522 7.2354 COCOA 173.5707 9145.0000 1.8980 30.3678 COFFEE 2.8903 187.3000 1.5432 24.6905 COPPER 0.0417 4.0360 1.0328 16.5245 CORN 4.4340 467.7500 0.9479 15.1672 COTTON2 1.4620 93.8700 1.5575 24.9204 CRUDE_W 0.8437 76.7500 1.0993 17.5880 DAX 96.3481 18629.0000 0.5172 8.2751 DOW 224.2201 39710.0000 0.5646 9.0343 DX 0.3257 104.0300 0.3131 5.0097 EUR 0.0043 1.0866 0.3990 6.3842 EURIBOR-ICE 0.0477 97.6350 0.0489 0.7817 EUROSTX 31.1471 5013.0000 0.6213 9.9412 FEEDCOW 1.8771 257.6750 0.7285 11.6559 GASOIL 11.4384 795.5000 1.4379 23.0062 GASOLINE 0.0352 2.6065 1.3516 21.6249 GAS_US_mini 0.0790 2.0150 3.9215 62.7434 GBP 0.0058 1.2629 0.4631 7.4089 GOLD_micro 13.9795 2199.9000 0.6355 10.1674 HEATOIL 0.0376 2.5970 1.4462 23.1386 JGB-SGX-mini 0.2163 145.5100 0.1487 2.3789 JPY 0.0000 0.0067 0.5663 9.0600 LEANHOG 1.0586 101.5750 1.0422 16.6752 LIVECOW 1.2966 178.7500 0.7254 11.6060 LUMBER-new 6.1111 615.5000 0.9929 15.8860 MILK 0.2057 17.0700 1.2052 19.2837 MXP 0.0003 0.0593 0.5275 8.4403 NASDAQ_micro 135.8530 18466.7500 0.7357 11.7706 NIKKEI 371.1823 40290.0000 0.9213 14.7404 NZD 0.0036 0.6002 0.6028 9.6447 OAT 0.4736 127.9200 0.3702 5.9237 OATIES 5.0485 351.0000 1.4383 23.0133 OJ 6.4366 366.6000 1.7558 28.0920 PALLAD 27.7436 1000.0000 2.7744 44.3897 PLAT 15.0335 916.8000 1.6398 26.2365 REDWHEAT 9.5515 573.5000 1.6655 26.6476 RICE 0.1539 17.1300 0.8986 14.3780 ROBUSTA 41.5399 3379.0000 1.2294 19.6697 RUSSELL 21.8661 2096.2000 1.0431 16.6901 SHATZ 0.0832 105.6750 0.0787 1.2594 SILVER-mini 0.3817 24.8125 1.5383 24.6121 SMI 64.5844 11580.0000 0.5577 8.9236 SOFR 0.0620 96.3800 0.0643 1.0291 SOYBEAN 10.5193 1190.5000 0.8836 14.1377 SOYMEAL 4.1386 343.0000 1.2066 19.3052 SOYOIL 0.6903 48.9500 1.4102 22.5628 SP400 22.5610 3020.3000 0.7470 11.9517 SP500_micro 29.0463 5271.2500 0.5510 8.8165 SUGAR11 0.3224 22.0300 1.4637 23.4187 US10 0.3745 110.6719 0.3384 5.4141 US10U 0.5035 114.2969 0.4405 7.0487 US2 0.1032 102.3125 0.1008 1.6135 US20 0.7393 119.6562 0.6179 9.8857 US30 1.1103 127.7188 0.8694 13.9098 US5 0.2483 107.0000 0.2320 3.7128 VIX 0.3899 16.1000 2.4220 38.7521 WHEAT 8.2453 600.2500 1.3736 21.9784 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 654.60 0.57 375.05 1.00 375.05 54348.85 144.91 -6.66 -96.58 BITCOIN 70.40 2.96 208.21 1.00 208.21 54348.85 261.03 6.30 164.32 BOBL 1180.20 0.21 250.70 1.08 271.17 54348.85 200.43 -8.65 -173.31 BTP 1191.00 0.45 532.08 1.08 575.52 54348.85 94.43 6.37 60.20 BUND 1328.90 0.37 492.67 1.08 532.90 54348.85 101.99 -1.91 -19.50 BUXL 1344.60 0.87 1167.28 1.08 1262.59 54348.85 43.05 -2.56 -11.04 CAC 819.00 0.53 435.03 1.08 470.55 54348.85 115.50 13.60 157.13 CAD 736.90 0.38 280.96 1.00 280.96 54348.85 193.44 -8.84 -171.04 CANOLA 129.66 1.04 134.88 0.73 99.13 54348.85 548.26 -14.22 -779.53 CHF 1395.56 0.45 631.09 1.00 631.09 54348.85 86.12 -20.00 -172.24 COCOA 914.50 1.90 1735.71 1.00 1735.71 54348.85 31.31 15.58 48.80 COFFEE 702.38 1.54 1083.87 1.00 1083.87 54348.85 50.14 0.68 3.40 COPPER 1009.00 1.03 1042.08 1.00 1042.08 54348.85 52.15 3.64 18.99 CORN 233.88 0.95 221.70 1.00 221.70 54348.85 245.14 -18.12 -444.17 COTTON2 469.35 1.56 731.02 1.00 731.02 54348.85 74.35 -2.11 -15.70 CRUDE_W 767.50 1.10 843.68 1.00 843.68 54348.85 64.42 16.35 105.30 DAX 186.29 0.52 96.35 1.08 104.21 54348.85 521.51 20.00 1043.02 DOW 198.55 0.56 112.11 1.00 112.11 54348.85 484.78 -3.49 -169.28 DX 1040.30 0.31 325.72 1.00 325.72 54348.85 166.86 7.77 129.63 EUR 1358.25 0.40 541.96 1.00 541.96 54348.85 100.28 -2.80 -28.07 EURIBOR-ICE 2440.88 0.05 119.25 1.08 128.99 54348.85 421.36 2.45 103.09 EUROSTX 501.30 0.62 311.47 1.08 336.90 54348.85 161.32 18.05 291.12 FEEDCOW 1288.38 0.73 938.57 1.00 938.57 54348.85 57.91 -2.27 -13.15 GASOIL 795.50 1.44 1143.84 1.00 1143.84 54348.85 47.51 9.61 45.64 GASOLINE 1094.73 1.35 1479.59 1.00 1479.59 54348.85 36.73 13.21 48.52 GAS_US_mini 50.38 3.92 197.54 1.00 197.54 54348.85 275.12 -13.95 -383.91 GBP 789.31 0.46 365.50 1.00 365.50 54348.85 148.70 -0.90 -13.38 GOLD_micro 219.99 0.64 139.80 1.00 139.80 54348.85 388.77 4.08 158.67 HEATOIL 1090.74 1.45 1577.39 1.00 1577.39 54348.85 34.45 6.74 23.21 JGB-SGX-mini 145510.00 0.15 21634.56 0.01 142.92 54348.85 380.26 2.45 93.05 JPY 835.25 0.57 472.96 1.00 472.96 54348.85 114.91 -14.37 -165.09 LEANHOG 406.30 1.04 423.45 1.00 423.45 54348.85 128.35 7.74 99.32 LIVECOW 715.00 0.73 518.64 1.00 518.64 54348.85 104.79 8.58 89.89 LUMBER-new 169.26 0.99 168.06 1.00 168.06 54348.85 323.40 1.88 60.94 MILK 341.40 1.21 411.47 1.00 411.47 54348.85 132.09 -19.52 -257.84 MXP 296.45 0.53 156.38 1.00 156.38 54348.85 347.54 20.00 695.07 NASDAQ_micro 369.34 0.74 271.71 1.00 271.71 54348.85 200.03 -2.04 -40.71 NIKKEI 40290.00 0.92 37118.23 0.01 245.21 54348.85 221.64 8.84 195.98 NZD 600.20 0.60 361.80 1.00 361.80 54348.85 150.22 -6.97 -104.74 OAT 1279.20 0.37 473.60 1.08 512.27 54348.85 106.09 2.62 27.79 OATIES 175.50 1.44 252.43 1.00 252.43 54348.85 215.31 -13.35 -287.46 OJ 549.90 1.76 965.49 1.00 965.49 54348.85 56.29 7.41 41.73 PALLAD 1000.00 2.77 2774.36 1.00 2774.36 54348.85 19.59 -0.53 -1.04 PLAT 458.40 1.64 751.67 1.00 751.67 54348.85 72.30 1.01 7.28 REDWHEAT 286.75 1.67 477.57 1.00 477.57 54348.85 113.80 -13.86 -157.75 RICE 342.60 0.90 307.87 1.00 307.87 54348.85 176.53 -13.13 -231.78 ROBUSTA 337.90 1.23 415.40 1.00 415.40 54348.85 130.84 12.41 162.37 RUSSELL 104.81 1.04 109.33 1.00 109.33 54348.85 497.11 -4.68 -232.41 SHATZ 1056.75 0.08 83.18 1.08 89.97 54348.85 604.06 -14.04 -848.20 SILVER-mini 620.31 1.54 954.20 1.00 954.20 54348.85 56.96 6.64 37.84 SMI 1158.00 0.56 645.84 1.11 719.31 54348.85 75.56 17.69 133.65 SOFR 2409.50 0.06 154.97 1.00 154.97 54348.85 350.71 -4.68 -164.00 SOYBEAN 595.25 0.88 525.97 1.00 525.97 54348.85 103.33 -7.26 -75.03 SOYMEAL 343.00 1.21 413.86 1.00 413.86 54348.85 131.32 -17.05 -223.96 SOYOIL 293.70 1.41 414.17 1.00 414.17 54348.85 131.22 -5.82 -76.44 SP400 3020.30 0.75 2256.10 1.00 2256.10 54348.85 24.09 1.87 4.51 SP500_micro 263.56 0.55 145.23 1.00 145.23 54348.85 374.22 3.61 135.21 SUGAR11 246.74 1.46 361.14 1.00 361.14 54348.85 150.49 0.02 0.30 US10 1106.72 0.34 374.49 1.00 374.49 54348.85 145.13 -6.66 -96.60 US10U 1142.97 0.44 503.52 1.00 503.52 54348.85 107.94 -2.41 -26.07 US2 2046.25 0.10 206.35 1.00 206.35 54348.85 263.38 -13.06 -344.04 US20 1196.56 0.62 739.30 1.00 739.30 54348.85 73.51 0.31 2.31 US30 1277.19 0.87 1110.34 1.00 1110.34 54348.85 48.95 -1.87 -9.17 US5 1070.00 0.23 248.29 1.00 248.29 54348.85 218.89 -9.19 -201.19 VIX 161.00 2.42 389.94 1.00 389.94 54348.85 139.38 -20.00 -278.75 WHEAT 300.12 1.37 412.27 1.00 412.27 54348.85 131.83 -16.12 -212.50 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -96.582 0.010 2.5 -2.506 BITCOIN 164.322 0.043 2.5 17.794 BOBL -173.310 0.004 2.5 -1.757 BTP 60.200 0.014 2.5 2.053 BUND -19.502 0.004 2.5 -0.198 BUXL -11.035 0.004 2.5 -0.112 CAC 157.135 0.014 2.5 5.360 CAD -171.045 0.010 2.5 -4.438 CANOLA -779.531 0.010 2.5 -18.965 CHF -172.239 0.010 2.5 -4.469 COCOA 48.796 0.009 2.5 1.045 COFFEE 3.402 0.005 2.5 0.040 COPPER 18.992 0.043 2.5 2.057 CORN -444.167 0.010 2.5 -10.806 COTTON2 -15.703 0.009 2.5 -0.336 CRUDE_W 105.301 0.043 2.5 11.403 DAX 1043.015 0.014 2.5 35.576 DOW -169.283 0.009 2.5 -3.934 DX 129.630 0.010 2.5 3.363 EUR -28.072 0.010 2.5 -0.728 EURIBOR-ICE 103.089 0.014 2.5 3.516 EUROSTX 291.118 0.014 2.5 9.930 FEEDCOW -13.153 0.013 2.5 -0.436 GASOIL 45.641 0.017 2.5 1.978 GASOLINE 48.516 0.017 2.5 2.103 GAS_US_mini -383.908 0.043 2.5 -41.572 GBP -13.383 0.010 2.5 -0.347 GOLD_micro 158.674 0.014 2.5 5.412 HEATOIL 23.213 0.017 2.5 1.006 JGB-SGX-mini 93.046 0.043 2.5 10.076 JPY -165.093 0.010 2.5 -4.284 LEANHOG 99.317 0.024 2.5 6.036 LIVECOW 89.891 0.013 2.5 2.979 LUMBER-new 60.936 0.009 2.5 1.304 MILK -257.836 0.009 2.5 -5.522 MXP 695.071 0.059 2.5 102.018 NASDAQ_micro -40.714 0.009 2.5 -0.946 NIKKEI 195.978 0.043 2.5 21.222 NZD -104.735 0.010 2.5 -2.717 OAT 27.789 0.014 2.5 0.948 OATIES -287.465 0.010 2.5 -6.994 OJ 41.730 0.009 2.5 0.894 PALLAD -1.041 0.014 2.5 -0.036 PLAT 7.279 0.014 2.5 0.248 REDWHEAT -157.747 0.005 2.5 -2.093 RICE -231.782 0.010 2.5 -5.639 ROBUSTA 162.374 0.005 2.5 1.896 RUSSELL -232.408 0.013 2.5 -7.701 SHATZ -848.196 0.004 2.5 -8.601 SILVER-mini 37.839 0.014 2.5 1.291 SMI 133.652 0.014 2.5 4.559 SOFR -164.000 0.024 2.5 -9.967 SOYBEAN -75.027 0.004 2.5 -0.698 SOYMEAL -223.964 0.004 2.5 -2.083 SOYOIL -76.437 0.004 2.5 -0.712 SP400 4.510 0.013 2.5 0.149 SP500_micro 135.208 0.009 2.5 3.142 SUGAR11 0.299 0.009 2.5 0.006 US10 -96.604 0.005 2.5 -1.224 US10U -26.065 0.005 2.5 -0.330 US2 -344.044 0.005 2.5 -4.360 US20 2.313 0.005 2.5 0.029 US30 -9.169 0.005 2.5 -0.116 US5 -201.194 0.005 2.5 -2.549 VIX -278.753 0.099 2.5 -68.808 WHEAT -212.499 0.005 2.5 -2.819 ===================== Position diags ===================== AUD 3.76 BITCOIN 28.27 BOBL 2.03 BTP 3.22 BUND 1.03 BUXL 0.44 CAC 3.94 CAD 5.02 CANOLA 13.34 CHF 2.23 COCOA 0.67 COFFEE 0.59 COPPER 5.65 CORN 5.96 COTTON2 1.59 CRUDE_W 6.98 DAX 17.79 DOW 11.27 DX 4.33 EUR 2.60 EURIBOR-ICE 14.37 EUROSTX 5.50 FEEDCOW 1.92 GASOIL 2.06 GASOLINE 1.59 GAS_US_mini 29.79 GBP 3.86 GOLD_micro 13.26 HEATOIL 1.49 JGB-SGX-mini 41.18 JPY 2.98 LEANHOG 7.80 LIVECOW 3.47 LUMBER-new 6.92 MILK 2.83 MXP 51.01 NASDAQ_micro 4.65 NIKKEI 24.00 NZD 3.90 OAT 3.62 OATIES 5.24 OJ 1.21 PALLAD 0.67 PLAT 2.47 REDWHEAT 1.51 RICE 4.29 ROBUSTA 1.53 RUSSELL 16.47 SHATZ 6.13 SILVER-mini 1.94 SMI 2.58 SOFR 21.31 SOYBEAN 0.96 SOYMEAL 1.22 SOYOIL 1.22 SP400 0.80 SP500_micro 8.70 SUGAR11 3.20 US10 1.84 US10U 1.37 US2 3.34 US20 0.93 US30 0.62 US5 2.77 VIX 34.40 WHEAT 1.75 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.5 -2.9 -2.1 -1.0 -1 BITCOIN 17.8 15.0 20.6 0.0 0 BOBL -1.8 -2.0 -1.6 -15.0 -15 BTP 2.1 1.7 2.4 6.0 6 BUND -0.2 -0.3 -0.1 -1.0 -1 BUXL -0.1 -0.2 -0.1 0.0 0 CAC 5.4 5.0 5.8 0.0 0 CAD -4.4 -4.9 -3.9 0.0 0 CANOLA -19.0 -20.3 -17.6 -6.0 -6 CHF -4.5 -4.7 -4.2 -10.0 -10 COCOA 1.0 1.0 1.1 4.0 4 COFFEE 0.0 -0.0 0.1 0.0 0 COPPER 2.1 1.5 2.6 5.0 5 CORN -10.8 -11.4 -10.2 -10.0 -10 COTTON2 -0.3 -0.5 -0.2 -2.0 -2 CRUDE_W 11.4 10.7 12.1 3.0 3 DAX 35.6 33.8 37.4 22.0 22 DOW -3.9 -5.1 -2.8 -4.0 -4 DX 3.4 2.9 3.8 NaN 0 EUR -0.7 -1.0 -0.5 0.0 0 EURIBOR-ICE 3.5 2.1 5.0 1.0 1 EUROSTX 9.9 9.4 10.5 20.0 20 FEEDCOW -0.4 -0.6 -0.2 6.0 6 GASOIL 2.0 1.8 2.2 2.0 2 GASOLINE 2.1 1.9 2.3 4.0 4 GAS_US_mini -41.6 -44.6 -38.6 -19.0 -19 GBP -0.3 -0.7 0.0 2.0 2 GOLD_micro 5.4 4.1 6.7 0.0 0 HEATOIL 1.0 0.9 1.2 2.0 2 JGB-SGX-mini 10.1 6.0 14.2 6.0 6 JPY -4.3 -4.6 -4.0 0.0 0 LEANHOG 6.0 5.3 6.8 6.0 6 LIVECOW 3.0 2.6 3.3 0.0 0 LUMBER-new 1.3 0.6 2.0 NaN 0 MILK -5.5 -5.8 -5.2 NaN 0 MXP 102.0 96.9 107.1 59.0 59 NASDAQ_micro -0.9 -1.4 -0.5 0.0 0 NIKKEI 21.2 18.8 23.6 23.0 23 NZD -2.7 -3.1 -2.3 0.0 0 OAT 0.9 0.6 1.3 0.0 0 OATIES -7.0 -7.5 -6.5 NaN 0 OJ 0.9 0.8 1.0 NaN 0 PALLAD -0.0 -0.1 0.0 0.0 0 PLAT 0.2 0.0 0.5 0.0 0 REDWHEAT -2.1 -2.2 -1.9 -2.0 -2 RICE -5.6 -6.1 -5.2 NaN 0 ROBUSTA 1.9 1.7 2.0 0.0 0 RUSSELL -7.7 -9.3 -6.1 -4.0 -4 SHATZ -8.6 -9.2 -8.0 NaN 0 SILVER-mini 1.3 1.1 1.5 NaN 0 SMI 4.6 4.3 4.8 9.0 9 SOFR -10.0 -12.1 -7.8 NaN 0 SOYBEAN -0.7 -0.8 -0.6 -1.0 -1 SOYMEAL -2.1 -2.2 -2.0 0.0 0 SOYOIL -0.7 -0.8 -0.6 -4.0 -4 SP400 0.1 0.1 0.2 2.0 2 SP500_micro 3.1 2.3 4.0 21.0 21 SUGAR11 0.0 -0.3 0.3 0.0 0 US10 -1.2 -1.4 -1.0 0.0 0 US10U -0.3 -0.5 -0.2 -1.0 -1 US2 -4.4 -4.7 -4.0 NaN 0 US20 0.0 -0.1 0.1 1.0 1 US30 -0.1 -0.2 -0.1 0.0 0 US5 -2.5 -2.8 -2.3 -8.0 -8 VIX -68.8 -72.2 -65.4 -17.0 -17 WHEAT -2.8 -3.0 -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 0.0 -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 -0.0 -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 -0.2 0.4 0.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 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 -0.0 0.6 0.6 0.6 -0.2 0.0 0.6 0.1 BOBL 0.2 -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 -0.2 -0.3 -0.1 -0.0 0.0 -0.1 -0.0 0.9 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -1.1 0.1 0.1 -0.1 -0.2 -0.7 -0.7 0.1 -0.7 BTP 0.3 -0.0 0.4 -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 -2.7 0.1 0.0 0.2 0.0 0.2 0.0 0.7 0.1 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 0.1 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 0.1 0.1 0.1 -0.1 -0.6 -0.7 0.4 -0.3 BUXL 0.1 -0.2 0.2 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 0.1 -0.0 -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 0.1 0.2 0.3 0.1 -0.7 -0.7 0.1 0.0 CAC 0.4 0.6 0.6 0.1 0.0 0.2 0.1 0.2 0.1 0.0 0.5 0.2 0.7 0.2 0.2 0.4 -0.0 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 0.4 -0.2 -0.2 0.2 -0.0 -0.2 0.4 -0.1 0.6 CAD -0.0 -0.2 0.1 -0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 -0.3 -0.2 -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 0.0 -0.3 0.1 -0.4 0.1 -0.0 -0.3 -0.1 -0.3 -0.2 -0.0 -0.2 0.1 -0.5 0.2 -2.7 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.8 0.5 0.6 -0.0 -0.6 -0.7 -0.7 -0.6 -0.2 CHF -0.3 -0.6 -0.3 -0.0 -0.1 0.0 -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 -0.4 -0.5 -0.1 -0.6 COCOA 0.6 0.3 -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 0.3 0.4 0.4 0.2 0.2 0.2 0.3 0.2 -1.7 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 0.4 0.5 COFFEE 0.0 -0.1 0.3 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.2 0.3 0.0 0.3 0.0 0.0 0.2 0.2 0.3 0.2 0.1 0.1 0.1 0.2 0.0 -2.7 0.0 0.1 0.1 0.1 0.2 0.0 0.8 0.4 0.2 -0.0 0.2 -0.3 -0.7 -0.0 -0.4 COPPER 0.5 0.4 0.3 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.2 0.1 -0.1 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.1 0.2 -1.9 0.1 -0.0 0.1 0.0 0.0 0.1 0.1 0.5 0.4 0.2 0.4 -0.7 -0.1 0.4 0.2 CORN 0.6 0.3 -0.2 0.0 -0.0 0.1 -0.0 -0.1 0.0 -0.1 -0.5 0.1 -0.7 0.1 -0.1 -0.4 -0.2 -0.3 -0.3 -0.1 -0.2 0.0 -0.5 0.0 -2.6 -0.1 -0.0 -0.2 0.0 -0.3 0.0 -1.0 0.0 0.6 -0.6 -0.6 -0.2 -0.7 -0.2 0.0 COTTON2 -0.5 0.4 0.6 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.0 0.1 -0.1 0.1 0.0 0.1 0.3 0.0 0.1 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 0.0 -0.1 -0.2 0.6 0.6 -0.4 -0.5 -0.1 0.0 CRUDE_W 0.4 0.4 0.0 0.1 -0.0 0.1 0.1 0.1 0.1 0.1 0.1 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 0.2 0.2 0.1 -0.1 0.7 0.7 0.7 0.7 DAX 0.5 0.6 0.6 0.1 0.0 0.2 0.1 0.2 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -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 0.3 0.6 0.2 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 0.0 0.5 0.1 0.7 0.1 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.1 0.5 0.1 -2.0 0.1 0.0 0.3 0.0 0.3 0.1 -0.5 -0.2 -0.6 -0.6 0.1 -0.2 -0.2 0.1 -0.5 DX -0.1 0.1 0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.2 0.1 0.1 -2.7 0.0 0.1 0.0 0.1 0.1 0.1 0.8 0.5 0.3 0.6 -0.2 0.6 0.1 0.7 0.3 EUR 0.1 0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 2.6 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.4 -0.2 0.0 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 -0.0 0.1 0.0 0.1 -0.7 -0.7 0.3 0.7 EUROSTX 0.2 0.6 0.6 0.1 0.0 0.2 0.1 0.2 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.1 0.0 0.1 0.1 0.2 0.2 0.2 0.5 0.2 0.1 0.1 0.0 0.2 0.1 0.2 0.1 0.7 -0.1 -0.0 0.5 0.3 -0.4 0.5 -0.4 0.7 FEEDCOW -0.6 0.4 0.5 0.0 -0.1 0.1 -0.0 -0.1 0.0 -0.2 0.1 -0.2 0.1 0.0 0.2 -0.4 -0.4 -0.4 -0.4 0.1 0.1 -0.2 0.2 -0.1 -1.1 0.0 -0.2 0.1 -0.1 0.2 -0.1 -1.1 -0.5 -0.6 0.3 0.6 0.7 0.6 0.7 0.7 GASOIL 0.1 0.3 0.1 0.1 -0.0 0.1 0.0 0.1 0.1 -0.0 0.2 0.0 0.4 0.1 0.2 0.4 0.4 0.4 0.4 0.1 0.1 0.0 0.4 0.1 1.0 0.1 -0.0 0.2 0.0 0.2 0.1 1.1 -0.3 -0.3 -0.0 0.1 -0.4 -0.3 -0.7 -0.5 GASOLINE 0.3 0.5 0.3 0.1 -0.0 0.1 0.1 0.1 0.1 0.0 0.3 0.2 0.5 0.2 0.2 0.4 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 -0.4 0.1 0.2 0.5 0.4 0.7 0.6 0.7 0.5 GAS_US_mini 0.0 -0.1 -0.3 0.0 -0.0 0.1 0.0 0.1 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 -0.4 -0.5 -0.6 -0.6 -0.5 -0.1 -0.7 -0.2 GBP 0.0 -0.0 0.1 -0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.2 0.3 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.1 0.2 -0.0 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 -0.4 -0.0 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 0.5 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 0.4 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 0.0 0.1 0.1 -0.1 0.0 0.0 0.3 0.1 0.1 0.3 0.4 0.4 0.4 0.1 0.1 0.0 0.3 0.1 -2.7 0.1 -0.0 0.2 0.0 0.3 0.1 1.1 -0.3 -0.4 -0.0 0.2 0.7 0.2 0.5 0.1 JGB-SGX-mini -0.2 -0.2 0.2 -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 0.2 -0.1 0.1 -0.0 -0.3 -0.6 0.0 0.3 JPY 0.2 -0.3 -0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.4 -0.1 -0.5 -0.1 -0.2 -0.3 -0.3 -0.3 -0.3 -0.1 -0.2 -0.1 -0.5 -0.1 2.7 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -1.1 -0.5 -0.2 -0.4 -0.3 -0.7 -0.4 -0.5 -0.4 LEANHOG -0.1 0.5 0.6 0.0 -0.1 0.1 -0.0 -0.1 0.0 0.0 0.4 0.0 -0.4 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.1 0.0 -0.1 0.1 2.2 0.1 0.0 0.2 0.0 0.0 0.0 -1.1 0.0 0.3 0.6 0.6 -0.2 -0.3 0.2 0.4 LIVECOW -0.3 0.6 0.4 0.0 -0.1 0.1 -0.0 -0.1 0.0 -0.2 0.1 -0.1 0.1 0.1 0.2 0.4 -0.0 0.3 0.1 0.2 0.1 -0.2 0.2 0.0 -0.8 0.1 -0.1 0.1 -0.1 0.2 0.0 0.1 -0.5 -0.5 0.6 0.6 0.7 0.3 0.7 0.7 LUMBER-new 0.3 0.4 0.5 0.1 -0.1 0.1 -0.0 -0.1 0.0 -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 0.2 0.2 NaN 0.1 -0.0 0.2 0.0 0.2 0.1 -1.2 -0.2 0.7 0.7 0.7 -0.4 -0.6 -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 -0.4 -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 1.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.0 -0.6 -0.4 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.4 0.2 0.3 -0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.4 0.3 0.4 0.3 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.4 0.1 1.1 0.5 0.6 0.6 0.6 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 0.2 -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 -0.4 -0.5 -0.4 0.2 0.3 -0.1 0.5 -0.1 NIKKEI -0.4 0.4 0.6 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.5 0.1 0.6 0.2 0.2 0.1 0.2 0.2 0.2 0.2 0.2 0.2 0.5 0.2 -2.0 0.1 0.0 0.2 0.0 0.2 0.0 1.1 0.2 -0.3 0.4 0.6 -0.6 -0.2 -0.3 -0.2 NZD -0.3 -0.2 0.1 -0.0 -0.0 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 -0.1 -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 -0.1 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 -0.1 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 0.0 0.1 0.2 0.0 -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 -0.1 -0.4 -0.1 -0.5 -0.1 -0.1 0.2 -0.0 0.1 0.0 -0.1 -0.1 -0.1 -0.4 -0.1 -2.7 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -0.0 -0.2 -0.3 -0.1 -0.2 -0.4 0.0 -0.1 0.5 OJ -0.1 0.1 -0.6 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.1 0.2 0.1 0.4 0.1 0.1 0.1 0.3 0.2 0.2 0.1 0.1 0.1 0.5 0.0 -2.7 0.0 0.0 0.2 0.0 0.5 0.0 1.1 0.4 -0.3 0.6 -0.3 0.4 0.3 0.6 0.7 PALLAD 0.5 0.6 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 0.1 -0.7 -0.4 -0.5 -0.2 PLAT 0.3 0.1 -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 -0.2 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.0 -0.5 0.1 -0.6 -0.1 -0.1 0.2 0.0 0.1 0.1 -0.1 -0.2 0.0 -0.5 -0.0 -1.1 -0.1 0.0 -0.2 0.0 -0.3 -0.0 0.2 -0.1 -0.0 -0.6 -0.6 -0.5 -0.7 -0.2 -0.7 RICE -0.6 -0.4 0.1 0.0 -0.0 0.1 -0.0 -0.1 0.0 -0.2 0.3 -0.2 0.6 -0.2 -0.1 -0.3 -0.1 -0.3 -0.2 -0.1 0.1 -0.2 0.4 -0.2 -2.7 -0.0 -0.2 0.0 -0.2 0.1 -0.1 -0.6 -0.5 -0.6 -0.4 -0.2 0.2 -0.1 0.5 0.2 ROBUSTA 0.3 0.0 0.6 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.1 0.5 0.2 0.6 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 1.1 0.5 0.6 0.6 0.6 -0.7 -0.6 -0.3 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 0.0 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.2 0.1 -0.3 0.1 0.0 0.1 0.0 0.1 0.0 -0.0 -0.4 -0.6 -0.6 -0.3 -0.5 -0.6 -0.5 -0.7 SHATZ 0.2 -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 -0.1 -0.0 -1.1 0.0 -0.0 -0.3 -0.3 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.6 0.5 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 0.1 -0.1 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.0 0.1 0.6 0.1 -0.0 0.1 0.0 0.0 0.1 -0.1 0.4 0.6 0.5 0.2 -0.5 -0.6 0.7 -0.0 SMI 0.4 0.5 0.6 0.1 0.0 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 0.0 0.1 0.1 1.1 -0.5 -0.2 -0.6 -0.3 0.4 -0.1 0.7 -0.2 SOFR 0.0 -0.4 0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.0 -0.0 -0.1 -0.1 -0.0 0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.4 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.2 -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 0.0 -0.4 0.2 -0.2 0.1 -0.1 0.1 0.3 0.1 0.2 -0.0 -0.2 0.1 -0.4 0.1 -2.7 -0.0 0.0 -0.1 0.1 -0.1 0.0 1.0 0.4 0.6 -0.2 -0.6 -0.3 -0.7 -0.3 -0.7 SOYMEAL 0.6 -0.2 -0.6 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.0 -0.4 0.1 -0.4 -0.1 -0.2 -0.2 0.2 -0.1 0.0 -0.2 -0.2 0.1 -0.4 -0.0 -2.7 -0.0 0.0 -0.2 0.0 -0.1 0.0 0.5 0.2 0.4 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 0.4 -0.2 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 -0.4 0.1 -0.4 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 0.3 -0.1 -0.5 -0.3 -0.4 0.2 SP400 0.3 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 0.2 0.5 0.2 -1.8 0.1 0.0 0.2 0.0 0.2 0.1 0.0 -0.2 -0.0 -0.3 -0.0 -0.4 -0.3 -0.4 -0.7 SP500_micro 0.0 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 0.0 0.3 0.1 -0.6 -0.2 -0.2 -0.0 0.5 0.1 -0.1 0.5 -0.2 SUGAR11 0.1 -0.1 -0.4 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.1 -0.2 0.1 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 -0.3 0.1 -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 -0.2 -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 0.2 US10U 0.0 -0.3 0.1 -0.0 0.0 -0.0 -0.0 -0.1 -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 -0.0 -0.1 -0.0 0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.0 0.1 0.1 0.1 -0.7 -0.7 0.4 0.6 US2 -0.1 -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 -0.7 -0.7 US20 0.1 -0.2 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 -0.0 -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 0.1 0.2 0.2 -0.7 -0.7 0.7 0.7 US30 0.0 -0.1 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 -0.1 -0.1 -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 -0.5 0.7 0.7 US5 0.0 -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 -0.2 -0.0 0.7 -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 -0.3 -0.9 -0.3 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.2 -0.9 -0.2 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 0.3 -0.2 -0.2 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 -0.3 -0.1 -0.2 0.1 -0.5 -0.0 0.1 -0.1 0.0 -0.2 0.0 -0.2 -0.0 -1.1 0.4 -0.1 -0.6 -0.6 -0.3 -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 5.1 -2.7 -0.2 -0.5 -6.1 1.7 -4.5 3.4 -2.0 -13.5 -3.8 -8.3 -10.5 0.9 -11.0 -2.8 -2.9 -2.8 -2.8 -3.1 -2.7 -6.8 -5.3 -3.7 2.8 -1.7 -5.6 -1.2 -4.4 -2.1 -2.3 -1.1 -2.4 -1.7 -2.0 -6.2 -20.0 -10.9 -13.1 -1.4 BITCOIN -6.4 13.4 6.9 3.0 -3.7 0.4 -0.6 -0.6 3.4 1.5 19.2 7.1 19.2 14.7 17.2 -9.8 -7.3 -9.3 -8.5 20.0 20.0 12.2 20.0 20.0 -20.0 7.1 2.3 6.7 2.5 5.1 5.3 -3.3 -1.5 20.0 20.0 20.0 -5.7 0.5 17.7 4.2 BOBL 4.6 -18.0 -1.3 -1.3 1.0 -0.4 -0.6 -1.0 -1.7 4.1 -1.7 -1.6 -2.2 -7.4 -7.7 5.1 -13.5 -12.4 -15.6 -6.0 -3.2 0.8 -3.4 -4.1 6.7 -2.0 2.1 -0.9 0.6 -0.8 -1.3 -20.0 4.0 2.7 -2.5 -5.2 -20.0 -20.0 3.6 -20.0 BTP 8.3 -0.4 13.4 -2.3 1.7 -0.6 -1.1 -1.7 -2.9 -3.4 12.4 6.7 11.4 8.4 8.0 4.8 6.2 4.9 5.2 11.0 14.5 4.3 11.5 7.7 -20.0 5.1 1.4 6.2 2.1 5.1 3.8 12.4 6.0 18.6 20.0 13.7 -9.6 -14.5 20.0 2.8 BUND 3.1 -12.4 3.3 -1.5 1.1 -0.4 -0.7 -1.1 -1.9 6.0 0.6 -1.2 -0.9 -7.4 -7.0 -8.8 2.1 -3.2 -0.6 -3.4 -0.6 1.7 -2.2 -2.6 4.1 -1.4 3.5 -0.1 1.2 -0.3 -1.0 4.0 4.8 3.9 2.6 -2.0 -17.5 -20.0 12.3 -10.1 BUXL 2.5 -7.1 6.6 -1.9 1.4 -0.5 -0.9 -1.4 -2.4 7.8 2.4 -1.5 -3.9 -7.5 -6.9 -7.3 -1.1 -4.4 -2.4 -1.5 0.7 2.2 -4.0 -1.5 -0.1 -0.4 5.2 0.9 1.8 -0.7 -0.5 0.0 5.0 5.7 8.2 1.9 -20.0 -20.0 3.2 0.5 CAC 13.0 20.0 20.0 8.7 4.0 7.3 6.6 4.9 8.1 0.2 20.0 20.0 20.0 20.0 20.0 19.8 -1.9 5.5 -0.0 20.0 20.0 20.0 20.0 20.0 -11.5 9.5 1.3 8.0 4.7 5.8 8.3 7.6 -9.0 -5.8 6.1 -0.2 -6.3 13.5 -3.3 19.1 CAD -0.1 -6.4 2.5 -0.5 -7.0 1.9 -5.2 3.9 -2.3 -14.8 -2.6 -13.3 -4.8 -15.4 -14.7 -2.3 -2.2 -2.2 -2.2 -5.7 -2.9 -10.7 -4.2 -8.3 -0.3 -3.8 -8.1 -2.0 -7.4 -2.5 -5.6 0.0 -0.5 -9.1 -6.0 -0.8 -17.1 -15.0 -2.4 -12.7 CANOLA 20.0 19.5 -18.6 2.2 -3.2 1.1 -0.4 -1.5 1.4 3.3 -10.7 9.8 -10.9 8.5 -4.3 -14.9 -5.5 -13.8 -11.3 -0.6 -15.4 15.9 -20.0 14.0 -20.0 -0.1 2.3 -4.0 4.6 -5.5 3.9 -14.5 20.0 20.0 -0.9 -20.0 -20.0 -20.0 -17.8 -6.9 CHF -7.8 -20.0 -8.4 -0.4 -5.9 1.6 -4.4 3.3 -1.9 -18.5 -7.8 -19.6 -1.3 -20.0 -18.9 -15.8 -15.6 -15.8 -15.7 -20.0 -10.9 -20.0 -1.7 -20.0 -3.5 -5.7 -11.3 -2.2 -10.6 0.2 -8.5 -20.0 -20.0 -20.0 -20.0 -10.4 -12.9 -16.4 -3.4 -16.6 COCOA 20.0 10.0 -16.3 1.3 -1.9 0.7 -0.3 -0.9 0.9 7.3 8.6 8.1 8.5 8.4 8.5 20.0 13.1 20.0 20.0 20.0 18.4 20.0 12.0 20.0 -12.7 3.0 3.2 2.7 3.4 2.2 3.2 20.0 20.0 20.0 20.0 20.0 5.6 1.2 13.0 14.7 COFFEE 0.3 -4.5 8.0 3.5 -5.1 1.8 -0.7 -2.5 2.3 18.4 11.4 3.1 8.5 2.2 2.3 10.0 8.0 12.7 10.7 4.9 9.9 8.2 7.9 3.5 -20.0 2.5 9.4 5.3 5.5 5.7 2.5 15.9 14.7 6.1 -0.2 5.8 -8.7 -20.0 -0.4 -13.3 COPPER 15.7 12.3 8.0 2.9 -3.5 0.4 -0.5 -0.6 3.3 -10.9 8.8 7.6 -3.4 14.4 13.5 -4.8 -4.9 -5.3 -5.5 16.6 9.6 8.0 2.3 18.5 -14.0 5.3 -2.0 2.8 3.2 0.8 6.4 1.3 20.0 12.6 6.8 13.8 -20.0 -2.2 12.6 5.5 CORN 19.5 9.2 -6.2 3.8 -5.5 1.9 -0.8 -2.7 2.5 -9.6 -16.9 13.7 -20.0 10.1 -10.4 -19.9 -8.0 -17.5 -13.8 -9.0 -20.0 4.0 -20.0 4.1 -19.2 -4.8 -4.5 -8.4 1.0 -8.8 0.4 -18.6 0.6 17.3 -18.4 -20.0 -7.0 -20.0 -5.2 0.1 COTTON2 -14.4 11.9 19.8 2.1 -3.0 1.0 -0.4 -1.4 1.3 0.1 5.2 -9.6 3.6 0.4 5.3 12.9 0.6 4.4 0.7 7.3 7.8 -3.4 3.7 0.5 -20.0 3.5 0.3 3.5 -0.2 2.1 1.4 0.2 -2.6 -4.8 20.0 20.0 -13.0 -13.7 -4.0 0.8 CRUDE_W 12.1 11.1 1.1 6.6 -0.1 4.3 5.0 3.4 7.4 12.1 2.2 18.9 10.3 20.0 20.0 14.4 10.4 11.9 10.7 17.6 11.6 19.6 12.8 20.0 -5.2 7.9 3.8 5.5 8.1 5.9 9.8 -1.1 9.8 6.7 2.9 -1.7 20.0 20.0 20.0 20.0 DAX 15.1 20.0 20.0 8.4 3.9 7.1 6.4 4.8 7.9 20.0 20.0 20.0 20.0 20.0 20.0 -13.0 -11.7 -14.1 -13.4 20.0 20.0 20.0 20.0 20.0 18.2 9.4 8.1 7.8 8.7 5.5 9.5 -11.3 13.6 18.1 6.8 3.4 -5.3 11.9 2.1 20.0 DOW -9.0 -9.3 18.2 6.6 3.0 5.6 5.0 3.8 6.2 1.2 20.0 5.3 19.5 11.6 18.5 -12.7 -11.0 -13.0 -12.3 19.7 20.0 10.5 20.0 13.1 -14.7 7.2 1.5 9.7 4.4 9.2 5.0 -9.9 -9.2 -20.0 -20.0 2.0 -5.7 -6.4 2.1 -14.5 DX -1.8 4.5 1.5 -0.5 -7.0 1.9 -5.2 3.9 -2.3 19.7 3.7 19.9 2.2 6.0 11.6 7.4 6.3 6.9 6.6 6.5 4.0 20.0 4.7 12.9 -20.0 2.6 12.8 1.0 12.5 2.0 6.7 14.9 20.0 10.1 20.0 -5.8 16.9 3.4 20.0 9.7 EUR 4.4 0.1 -0.8 -0.5 -6.9 1.9 -5.1 3.8 -2.2 -14.9 -0.9 -12.2 -1.1 3.5 -7.9 -6.9 -6.7 -6.7 -6.5 -1.0 -1.3 -10.3 -2.1 -3.4 19.6 0.5 -8.3 0.9 -6.5 0.2 -1.8 -7.5 -6.9 0.4 3.7 -3.2 -20.0 -15.7 -20.0 -12.3 EURIBOR-ICE 2.5 -18.3 5.4 -1.2 0.8 -0.3 -0.5 -0.9 -1.5 1.7 3.1 -2.6 2.9 -5.5 -3.6 -4.2 -3.9 -2.2 -2.4 -1.6 3.2 -0.2 3.4 -2.4 14.0 -0.4 1.0 1.6 0.0 1.7 -0.9 -2.9 -1.1 3.5 0.1 1.9 -20.0 -20.0 10.0 20.0 EUROSTX 5.2 20.0 20.0 8.3 3.8 7.0 6.3 4.7 7.8 20.0 20.0 20.0 20.0 20.0 20.0 -2.6 1.7 3.1 3.0 20.0 20.0 20.0 20.0 20.0 0.5 9.4 3.9 8.5 5.7 6.4 7.9 13.9 -3.0 -0.7 15.1 8.8 -12.5 14.1 -10.6 20.0 FEEDCOW -19.0 12.1 14.5 4.0 -5.8 2.0 -0.8 -2.8 2.6 -20.0 2.7 -16.5 2.0 0.5 20.0 -20.0 -20.0 -20.0 -20.0 11.1 10.9 -20.0 7.3 -7.7 -8.0 1.5 -20.0 2.9 -13.8 4.4 -4.9 -20.0 -20.0 -20.0 10.1 20.0 20.0 17.4 20.0 20.0 GASOIL 2.2 8.0 4.1 5.4 -0.1 3.5 4.1 2.8 6.1 -5.0 8.4 4.1 12.4 11.2 16.1 20.0 20.0 20.0 20.0 13.4 13.1 2.6 14.9 10.8 7.2 5.7 -4.9 5.8 1.1 6.4 4.7 20.0 -11.0 -9.6 -1.3 3.8 -10.6 -8.8 -20.0 -15.6 GASOLINE 10.3 15.4 8.7 6.2 -0.1 4.0 4.7 3.2 7.0 5.4 10.4 18.7 13.0 20.0 20.0 18.2 9.4 4.1 2.1 20.0 17.6 18.5 14.5 20.0 -20.0 8.1 0.4 5.9 5.6 5.5 8.3 -8.0 4.7 7.0 14.1 13.6 20.0 18.0 20.0 16.5 GAS_US_mini 1.3 -1.9 -9.9 2.9 -0.0 1.9 2.2 1.5 3.2 -9.5 -11.4 -10.2 -12.1 -10.1 -10.9 -20.0 -20.0 -20.0 -19.3 -12.0 -17.9 -4.9 -20.0 -7.2 20.0 -4.1 -1.4 -5.1 -1.9 -4.8 -2.8 -20.0 -16.0 -16.7 -20.0 -20.0 -15.3 -1.9 -20.0 -6.7 GBP 0.3 -1.3 4.6 -0.5 -7.2 2.0 -5.3 4.0 -2.3 -15.3 11.2 -14.7 9.6 -2.0 4.8 -0.8 -0.6 -0.6 -0.5 3.3 6.7 -14.6 6.7 -4.1 2.2 2.9 -12.8 5.1 -10.1 4.1 -2.5 2.8 -16.3 -1.3 5.6 8.3 -20.0 -6.7 -20.0 0.5 GOLD_micro 20.0 16.5 9.8 3.0 -3.7 0.4 -0.6 -0.6 3.4 2.5 16.9 17.5 12.1 18.4 16.4 -15.1 -14.7 -15.4 -15.1 20.0 19.4 17.8 12.1 20.0 -3.8 6.2 1.4 4.3 3.9 2.8 6.4 -15.4 15.8 20.0 20.0 20.0 -20.0 -20.0 -20.0 -13.8 HEATOIL 3.9 4.8 1.2 5.7 -0.1 3.7 4.4 3.0 6.4 -13.8 1.3 3.1 8.4 7.5 13.6 15.9 20.0 20.0 20.0 9.1 7.8 1.6 10.1 8.3 -20.0 6.4 -4.4 6.3 1.0 7.7 5.0 20.0 -12.7 -11.1 -1.3 5.0 20.0 5.2 15.5 2.3 JGB-SGX-mini -5.7 -6.7 7.4 -1.4 1.0 -0.4 -0.6 -1.0 -1.7 5.8 4.7 0.8 6.6 -2.7 0.8 8.4 15.7 10.6 12.0 -0.4 2.7 0.5 3.9 -1.4 -6.8 -0.6 0.7 0.5 0.3 0.4 -0.8 20.0 9.1 -2.1 4.3 -0.1 -8.6 -19.1 1.2 9.8 JPY 5.5 -7.8 -7.8 -0.3 -4.3 1.2 -3.2 2.4 -1.4 -13.2 -14.1 -13.5 -14.9 -12.5 -14.0 -16.5 -16.3 -16.5 -16.5 -12.4 -14.2 -16.0 -19.6 -13.0 20.0 -4.0 -5.8 -4.3 -6.6 -6.0 -4.9 -20.0 -20.0 -7.2 -11.2 -9.2 -20.0 -12.1 -16.4 -13.4 LEANHOG -4.3 16.9 18.7 4.4 -6.4 2.2 -0.9 -3.1 2.8 3.2 14.1 0.3 -10.3 17.4 20.0 -20.0 -20.0 -20.0 -20.0 20.0 13.6 3.0 -5.0 12.8 16.2 8.3 2.5 7.6 0.7 0.9 4.0 -20.0 1.6 9.1 20.0 20.0 -6.2 -8.5 7.4 13.3 LIVECOW -9.3 18.2 11.6 3.9 -5.6 2.0 -0.8 -2.7 2.5 -20.0 5.6 -10.8 3.7 9.7 19.8 20.0 -0.3 13.8 4.1 15.7 11.4 -19.4 6.6 2.8 -5.8 4.8 -16.4 4.1 -7.5 4.4 0.5 2.3 -20.0 -16.8 20.0 18.0 20.0 8.0 20.0 19.6 LUMBER-new 8.0 10.5 13.0 4.4 -6.4 2.3 -0.9 -2.1 2.8 -3.2 17.3 13.1 -10.0 18.5 20.0 -15.9 -15.4 -16.2 -15.7 20.0 16.5 5.6 4.9 16.3 NaN 8.5 -2.5 7.2 1.9 3.8 6.3 -20.0 -8.0 20.0 20.0 20.0 -11.0 -16.7 -7.1 -10.5 MILK -19.5 -4.0 6.8 2.5 -3.6 1.2 -0.5 -1.7 1.6 -6.5 -13.8 -12.5 -14.5 -13.0 -13.1 -20.0 -20.0 -20.0 -20.0 -15.6 -17.7 -12.2 -20.0 -15.9 12.4 -4.3 -1.4 -4.8 -3.6 -6.5 -4.6 -20.0 1.3 -20.0 -11.3 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 10.8 7.6 8.7 -0.6 -7.3 2.0 -5.4 4.0 -2.3 20.0 20.0 20.0 20.0 20.0 20.0 18.5 17.1 17.6 16.8 20.0 20.0 20.0 20.0 20.0 -20.0 9.0 7.3 8.3 8.0 9.9 9.3 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -7.2 -1.4 11.2 4.9 2.3 4.2 3.7 2.8 4.6 9.0 15.1 10.3 15.2 12.1 14.2 -10.9 -10.2 -11.3 -11.0 17.0 20.0 7.6 20.0 10.3 -20.0 5.5 1.1 7.6 2.2 8.2 3.2 -8.1 -15.0 -16.6 -13.1 6.4 7.9 -2.2 14.0 -4.3 NIKKEI -11.6 12.5 17.9 5.7 2.6 4.8 4.3 3.3 5.4 9.4 17.0 10.9 17.4 14.2 16.1 3.8 11.4 8.9 10.6 20.0 20.0 19.5 20.0 20.0 -14.6 6.3 1.8 6.7 3.2 5.8 4.5 20.0 8.4 -9.2 13.0 20.0 -19.4 -6.4 -7.9 -5.8 NZD -8.4 -5.9 1.8 -0.4 -5.1 1.4 -3.8 2.8 -1.6 -14.4 1.9 -15.7 -1.3 -12.6 -10.2 0.3 0.3 0.3 0.3 -5.9 -0.7 -18.3 -0.9 -12.8 0.0 -3.3 -9.0 -0.3 -9.9 0.2 -7.0 4.2 -19.2 -20.0 -4.0 -3.6 -8.6 -8.5 -1.7 4.5 OAT 3.3 -9.7 6.0 -1.6 1.2 -0.4 -0.8 -1.2 -2.1 0.5 2.8 -2.6 0.9 -6.5 -5.4 5.0 6.1 4.7 5.0 -1.1 2.4 -0.4 0.3 -1.9 4.8 -0.4 0.8 1.4 -0.1 0.8 -0.9 12.2 0.9 4.6 5.1 1.2 -18.6 -20.0 12.2 2.8 OATIES -2.8 1.7 -9.7 3.0 -4.4 1.5 -0.6 -2.1 2.0 -13.5 -16.1 -11.7 -13.4 -8.0 -5.9 8.8 -1.3 6.7 1.9 -6.9 -12.9 -8.0 -13.8 -5.9 -20.0 -2.6 -4.7 -4.5 -4.8 -5.1 -3.4 -0.9 -7.6 -9.9 -3.7 -7.4 -12.0 0.7 -1.9 13.8 OJ -4.0 4.1 -18.7 2.6 -3.7 1.3 -0.5 -1.8 1.6 12.5 7.0 5.2 11.2 7.1 6.4 6.5 14.6 7.6 10.7 6.6 11.1 5.8 20.0 4.4 -20.0 2.3 4.7 5.9 2.1 12.9 1.3 20.0 18.6 -10.5 19.6 -9.9 11.3 9.4 17.7 20.0 PALLAD 14.7 17.2 0.4 1.1 -1.4 0.1 -0.2 -0.2 1.3 -5.8 -4.2 0.1 -7.4 3.5 -2.2 -1.7 -2.1 -1.8 -1.9 0.3 -3.9 -1.6 -8.9 1.3 9.8 0.4 -1.9 -1.6 -0.8 -3.7 0.8 6.9 -1.1 -2.5 -3.4 2.0 -20.0 -10.9 -15.9 -6.7 PLAT 8.5 2.3 -1.4 1.7 -2.1 0.2 -0.3 -0.3 1.9 -6.9 -4.7 -2.1 -7.8 0.1 -6.4 -4.2 -3.4 -4.1 -3.9 -1.1 -2.7 -2.4 -3.7 -0.5 9.7 -0.0 -1.7 -0.6 -1.4 -0.8 0.1 4.1 -1.5 -8.3 -7.6 0.4 -14.1 -4.5 20.0 7.3 REDWHEAT 12.4 1.3 -7.7 3.0 -4.4 1.5 -0.6 -2.1 2.0 3.5 -16.9 8.8 -17.9 -4.8 -11.5 7.8 1.3 5.5 2.6 -10.4 -20.0 3.6 -20.0 -1.3 -8.2 -5.1 0.1 -7.3 1.1 -7.7 -1.5 2.9 -2.3 -0.3 -20.0 -20.0 -13.5 -20.0 -7.2 -20.0 RICE -20.0 -13.3 4.6 3.7 -5.4 1.9 -0.8 -2.6 2.4 -20.0 10.0 -20.0 15.5 -19.6 -4.8 -14.1 -4.4 -12.6 -10.4 -8.1 9.9 -20.0 16.1 -20.0 -19.9 -3.4 -19.9 1.3 -15.3 3.0 -9.5 -12.1 -20.0 -20.0 -11.7 -5.0 7.2 -3.6 15.8 6.4 ROBUSTA 9.0 0.9 20.0 2.9 -4.2 1.4 -0.6 -2.0 1.9 15.0 17.2 16.0 17.4 15.4 17.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 6.7 6.0 8.1 5.5 8.2 5.5 20.0 20.0 20.0 20.0 20.0 -20.0 -18.6 -10.3 2.0 RUSSELL -0.7 5.8 14.3 4.8 2.2 4.1 3.7 2.7 4.5 3.2 12.3 4.3 9.1 9.9 12.2 -6.5 -6.3 -6.5 -6.5 9.9 10.9 4.6 7.1 6.5 -2.0 4.7 1.3 5.2 2.0 3.9 3.0 -0.9 -16.6 -18.9 -20.0 -8.4 -14.7 -18.5 -15.3 -20.0 SHATZ 4.9 -20.0 -7.2 -1.1 0.8 -0.3 -0.5 -0.8 -1.4 1.3 -6.5 -3.2 -6.9 -7.4 -7.9 -20.0 -20.0 -20.0 -20.0 -9.8 -7.7 -1.7 -7.7 -6.9 8.1 -2.3 0.4 -1.6 -0.3 -1.5 -1.7 -20.0 1.4 -0.8 -8.9 -8.0 -20.0 -20.0 -8.4 -20.0 SILVER-mini 19.9 14.6 -0.3 2.5 -3.0 0.3 -0.5 -0.5 2.9 -12.8 3.0 7.8 -1.5 11.2 4.5 -6.6 -6.7 -6.8 -6.8 10.3 3.6 3.8 -0.0 12.8 4.7 4.7 -2.4 2.3 1.9 0.9 5.2 -1.3 17.2 18.2 14.9 6.5 -16.3 -17.8 20.0 -0.6 SMI 13.1 16.6 19.6 7.8 3.6 6.6 5.9 4.4 7.3 0.4 20.0 14.3 13.4 19.7 20.0 0.6 5.4 5.6 6.2 20.0 20.0 14.1 12.7 20.0 16.1 8.2 1.6 6.7 4.0 3.8 7.2 20.0 -20.0 -7.3 -20.0 -8.0 12.0 -4.0 20.0 -7.3 SOFR 1.1 -11.8 2.7 -1.6 1.2 -0.4 -0.7 -1.2 -2.0 1.4 3.4 -4.4 -0.3 -7.7 -6.3 -0.8 0.1 0.2 0.3 -3.5 -1.2 -1.4 -2.1 -3.9 -2.7 -0.9 0.9 0.5 -0.7 0.1 -1.7 3.0 -1.6 2.8 0.1 1.2 -20.0 -20.0 0.8 -2.9 SOYBEAN 20.0 5.2 -19.1 3.4 -4.9 1.7 -0.7 -2.4 2.2 0.2 -13.8 15.5 -5.5 12.2 -9.2 3.4 13.0 6.3 9.1 -3.9 -14.7 13.9 -13.3 11.6 -20.0 -0.7 1.6 -3.8 5.3 -2.9 4.5 19.0 16.6 20.0 -6.8 -20.0 -8.6 -20.0 -7.8 -20.0 SOYMEAL 20.0 -7.1 -20.0 3.0 -4.3 1.5 -0.6 -2.1 1.9 4.3 -16.4 10.0 -12.3 -6.2 -14.8 -8.5 8.4 -3.6 2.1 -15.5 -20.0 6.1 -15.6 -0.8 -20.0 -4.4 1.1 -6.2 2.3 -3.3 0.1 10.0 7.9 11.3 -18.6 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 20.0 12.3 -7.2 2.8 -4.1 1.4 -0.6 -2.0 1.8 -0.3 -13.6 10.2 -12.1 9.7 -2.4 -8.1 2.0 -6.3 -2.7 1.6 -10.0 10.8 -13.7 11.7 -20.0 2.8 1.3 -0.7 4.8 -2.2 5.7 -0.2 20.0 20.0 10.8 -4.4 -16.3 -9.0 -10.9 5.6 SP400 8.4 15.5 20.0 6.1 2.8 5.1 4.6 3.5 5.7 7.3 18.0 12.9 14.9 16.1 18.1 -4.8 -5.4 -5.4 -5.5 20.0 20.0 17.0 16.9 20.0 -13.2 6.7 2.7 6.2 4.5 4.4 5.8 0.9 -9.6 -0.8 -7.7 -0.7 -12.9 -9.0 -10.5 -20.0 SP500_micro 0.9 11.2 20.0 6.9 3.2 5.8 5.2 3.9 6.5 9.4 20.0 15.7 20.0 19.7 20.0 -13.1 -11.5 -13.1 -12.5 20.0 20.0 18.9 20.0 20.0 -20.0 8.1 1.6 8.9 4.1 7.9 5.9 -10.5 -10.2 -7.3 -0.1 16.3 2.1 -3.2 14.1 -5.9 SUGAR11 2.5 -3.3 -12.8 2.7 -3.9 1.4 -0.5 -1.9 1.7 11.2 -6.9 5.3 4.8 -2.0 -4.8 9.5 17.6 13.5 16.1 -5.8 -7.5 4.9 0.0 -0.7 -20.0 -3.3 5.2 -4.6 2.7 -0.0 -0.1 20.0 12.1 -8.9 -8.1 -20.0 20.0 3.4 20.0 15.7 US10 1.6 -10.5 4.3 -1.4 1.0 -0.4 -0.6 -1.0 -1.7 3.3 1.9 -3.3 -3.1 -6.8 -5.2 -7.6 -8.0 -8.3 -8.3 -3.1 -2.2 -0.9 -5.6 -3.1 2.3 -0.7 0.9 0.1 -0.4 -1.0 -1.2 -11.6 -0.3 3.2 0.6 1.8 -20.0 -20.0 -14.0 7.5 US10U 1.4 -9.6 4.1 -2.0 1.4 -0.5 -0.9 -1.5 -2.5 2.4 2.2 -5.5 -4.3 -10.5 -8.1 -3.7 -0.4 -2.0 -0.9 -4.3 -3.4 -1.8 -8.7 -4.5 -0.6 -0.8 0.9 0.2 -0.8 -1.6 -1.8 1.6 -0.6 3.7 3.0 3.4 -20.0 -20.0 13.3 19.4 US2 -2.0 -19.1 -1.1 -1.2 0.9 -0.3 -0.5 -0.9 -1.5 3.0 -3.2 -2.7 -6.4 -6.7 -6.6 -20.0 -20.0 -20.0 -20.0 -6.7 -5.2 -2.0 -8.0 -5.7 10.6 -1.8 0.2 -0.7 -0.6 -1.4 -1.9 -20.0 0.9 -0.2 -7.1 -2.1 -20.0 -20.0 -19.8 -20.0 US20 2.2 -6.5 7.1 -1.4 1.0 -0.4 -0.7 -1.1 -1.8 1.2 3.1 -3.7 -1.7 -5.1 -3.3 -0.1 -0.8 -0.1 -0.4 -1.0 -0.5 -0.7 -5.0 -1.9 -1.3 0.5 1.0 1.1 -0.3 -0.8 -0.6 1.5 -0.8 4.2 6.2 6.3 -20.0 -20.0 20.0 20.0 US30 0.5 -4.5 5.5 -1.7 1.2 -0.5 -0.8 -1.3 -2.1 -0.4 2.5 -6.2 -3.5 -6.2 -5.3 -6.8 -6.0 -7.5 -7.0 -1.6 -1.4 -1.8 -7.1 -2.8 -0.6 0.5 1.2 1.1 -1.0 -1.5 -1.2 -8.5 -0.9 2.6 8.7 5.5 -14.5 -16.5 20.0 20.0 US5 0.6 -14.2 2.0 -1.3 1.0 -0.4 -0.6 -1.0 -1.7 3.7 0.6 -2.8 -4.1 -7.0 -6.0 -8.9 -10.0 -9.3 -9.8 -4.7 -3.3 -1.1 -5.8 -4.2 5.0 -1.3 0.7 -0.2 -0.4 -0.9 -1.6 -14.6 0.1 2.3 -2.8 0.0 -20.0 -20.0 -19.8 -7.2 VIX 5.4 8.1 -5.9 -7.9 -6.9 -11.2 -6.6 -15.5 -6.2 -20.0 -20.0 -20.0 -20.0 -19.1 -20.0 -20.0 -20.0 -20.0 -20.0 -14.9 -20.0 -11.4 -20.0 -9.8 NaN -9.0 -8.1 -13.6 -7.5 -19.7 -6.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 9.0 -5.5 -5.1 3.2 -4.7 1.6 -0.6 -2.2 2.1 9.6 -17.2 12.9 -19.1 -5.8 -12.2 -15.9 -11.7 -13.8 -12.7 -12.7 -19.7 8.1 -20.0 -1.5 0.9 -5.1 2.1 -6.0 2.5 -5.9 -1.3 -20.0 16.8 -4.6 -20.0 -20.0 -10.3 -20.0 -6.3 -20.0 End of report for caleb_strategy_v3