******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240327_204012 produced at 2024-03-27 21:37:25.750885 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.66 0.0 0.00 0.00 0.00 0.00 -9.63 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 -69.94 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 -8.65 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 -4.48 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 -4.59 13.0 -10 -10 caleb_strategy_v3 JPY False False 0.02 0.00 -0.11 0.0 0.41 -0.41 0.00 0.00 -4.42 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 -4.29 29.0 0 0 caleb_strategy_v3 US5 False False 0.03 -0.28 -0.08 0.0 0.77 -0.77 -0.28 -0.28 -2.58 25.0 -9 -9 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.08 0.0 0.08 -0.08 -0.07 -0.07 -11.77 12.0 -11 -11 caleb_strategy_v3 BOBL False False 0.04 -0.55 -0.06 0.0 0.70 -0.70 -0.55 -0.55 -1.63 19.0 -15 -15 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.06 0.0 0.04 -0.04 -0.03 -0.03 -43.45 26.0 -19 -19 caleb_strategy_v3 RICE False False 0.01 0.00 -0.06 0.0 0.04 -0.04 0.00 0.00 -6.17 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 -5.56 5.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.05 0.0 0.36 -0.36 0.00 0.00 -2.88 21.0 0 0 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.05 0.0 0.36 -0.36 -0.02 -0.02 -2.55 19.0 -1 -1 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.04 0.0 0.14 -0.14 -0.02 -0.02 -16.03 51.0 -6 -6 caleb_strategy_v3 OATIES False True 0.00 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -7.88 2.0 0 0 caleb_strategy_v3 US10 False False 0.03 0.00 -0.04 0.0 0.54 -0.54 0.00 0.00 -1.21 17.0 0 0 caleb_strategy_v3 EUR False False 0.04 0.00 -0.03 0.0 0.54 -0.54 0.00 0.00 -0.89 14.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.11 -0.03 0.0 0.30 -0.30 0.11 0.07 -0.70 8.0 3 2 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.13 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 -2.15 8.0 -2 -2 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.02 0.0 0.21 -0.21 -0.01 -0.01 -6.08 68.0 -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 DOW False False 0.01 -0.01 -0.02 0.0 0.38 -0.38 -0.01 -0.01 -2.91 66.0 -2 -2 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.01 0.0 0.14 -0.14 -0.03 -0.03 -0.49 11.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.12 -0.12 -0.02 -0.02 -0.79 7.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.08 -0.08 -0.03 -0.03 -0.84 10.0 -4 -4 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.01 0.0 0.41 -0.41 -0.04 -0.04 -0.14 10.0 -1 -1 caleb_strategy_v3 US10U False False 0.03 -0.03 -0.01 0.0 0.43 -0.43 -0.03 -0.03 -0.30 13.0 -1 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.01 0.0 0.24 -0.24 0.00 0.00 -0.81 23.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.02 -0.01 0.0 0.50 -0.50 0.02 0.02 -0.39 22.0 1 1 caleb_strategy_v3 COFFEE False False 0.02 0.00 0.00 0.0 0.12 -0.12 0.00 0.00 0.14 6.0 0 0 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.00 0.0 0.17 -0.17 0.00 0.00 -0.08 4.0 0 0 caleb_strategy_v3 PLAT False False 0.01 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.18 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 -0.05 2.0 0 0 caleb_strategy_v3 US20 False False 0.03 0.03 0.00 0.0 0.31 -0.31 0.03 0.03 0.06 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 -0.09 6.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.09 18.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.00 0.0 0.01 -0.01 0.00 0.00 -0.31 3.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.18 0.02 0.0 0.18 -0.18 0.18 0.18 0.19 2.0 2 2 caleb_strategy_v3 OJ False False 0.02 0.00 0.02 0.0 0.05 -0.05 0.00 0.00 0.99 3.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.02 0.0 0.23 -0.23 0.00 0.00 1.88 23.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.02 0.0 0.00 -0.00 0.00 0.00 1.26 0.0 0 0 caleb_strategy_v3 COCOA False False 0.03 0.08 0.03 0.0 0.68 -0.68 0.08 0.08 1.05 26.0 3 3 caleb_strategy_v3 HEATOIL False False 0.03 0.06 0.03 0.0 0.09 -0.09 0.06 0.06 0.91 3.0 2 2 caleb_strategy_v3 SP500_micro False False 0.01 0.16 0.03 0.0 0.36 -0.36 0.16 0.16 3.60 48.0 21 21 caleb_strategy_v3 OAT False False 0.04 0.00 0.04 0.0 0.40 -0.40 0.00 0.00 1.06 10.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.04 0.0 0.35 -0.35 0.00 0.00 6.69 56.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.04 0.0 0.00 0.00 0.00 0.00 18.36 59.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.05 0.0 0.35 -0.35 0.00 0.00 2.58 17.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.05 0.05 0.0 0.09 -0.09 0.05 0.05 2.11 4.0 2 2 caleb_strategy_v3 COPPER False False 0.03 0.14 0.06 0.0 0.17 -0.17 0.14 0.14 2.11 6.0 5 5 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.07 0.0 0.15 -0.15 0.07 0.07 6.41 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 2.12 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 2.19 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 3.43 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 5.41 12.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.30 0.16 0.0 0.31 -0.31 0.30 0.30 10.06 20.0 19 19 caleb_strategy_v3 NIKKEI False False 0.01 0.22 0.17 0.0 0.28 -0.28 0.22 0.23 22.88 36.0 29 30 caleb_strategy_v3 SMI False False 0.04 0.29 0.18 0.0 0.33 -0.33 0.29 0.29 4.83 9.0 8 8 caleb_strategy_v3 DAX False False 0.01 0.14 0.21 0.0 0.34 -0.34 0.14 0.14 35.22 58.0 24 24 caleb_strategy_v3 CRUDE_W False False 0.02 0.09 0.26 0.0 0.11 -0.11 0.09 0.09 11.96 5.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.00 0.28 0.0 0.76 -0.76 0.00 0.00 3.77 10.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.14 0.32 0.0 0.44 -0.44 0.14 0.14 11.49 16.0 5 5 caleb_strategy_v3 MXP False False 0.01 0.51 0.87 0.0 0.51 -0.51 0.51 0.51 102.05 60.0 60 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 25.2 Shocked risk 89.8 Sum abs risk 64.0 Leverage 6.11 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3494071.01, 'annual_cash_vol_target': 873517.7525, 'daily_cash_vol_target': 54594.85953125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0037 0.6549 0.5639 9.0223 BITCOIN 2048.8294 69440.0000 2.9505 47.2080 BOBL 0.2523 118.2700 0.2133 3.4127 BTP 0.5272 119.4400 0.4414 7.0629 BUND 0.4964 133.3800 0.3722 5.9547 BUXL 1.1779 135.6400 0.8684 13.8943 CAC 43.3091 8243.5000 0.5254 8.4060 CAD 0.0028 0.7380 0.3759 6.0150 CANOLA 7.7153 638.7000 1.2080 19.3276 CHF 0.0049 1.1149 0.4432 7.0919 COCOA 173.3281 9163.0000 1.8916 30.2657 COFFEE 2.8786 190.1000 1.5142 24.2279 COPPER 0.0409 4.0425 1.0116 16.1863 CORN 4.5137 462.0000 0.9770 15.6318 COTTON2 1.4945 91.6200 1.6312 26.0992 CRUDE_W 0.8337 77.0200 1.0824 17.3183 DAX 97.4372 18796.0000 0.5184 8.2943 DOW 231.6167 40160.0000 0.5767 9.2278 DX 0.3268 104.0200 0.3142 5.0268 EUR 0.0043 1.0862 0.3933 6.2933 EURIBOR-ICE 0.0474 97.6700 0.0486 0.7770 EUROSTX 30.9447 5057.0000 0.6119 9.7907 FEEDCOW 1.8977 258.0500 0.7354 11.7662 GASOIL 11.4915 797.2500 1.4414 23.0622 GASOLINE 0.0346 2.6094 1.3270 21.2327 GAS_US_mini 0.0786 1.9500 4.0289 64.4623 GBP 0.0058 1.2643 0.4562 7.2992 GOLD_micro 13.8102 2213.8000 0.6238 9.9812 HEATOIL 0.0371 2.5954 1.4281 22.8492 JGB-SGX-mini 0.2218 145.7900 0.1521 2.4340 JPY 0.0000 0.0067 0.5585 8.9364 LEANHOG 1.0438 101.7000 1.0263 16.4212 LIVECOW 1.3023 178.8000 0.7284 11.6538 LUMBER-new 6.4583 606.0000 1.0657 17.0517 MILK 0.2104 16.7500 1.2559 20.0937 MXP 0.0003 0.0596 0.5266 8.4248 NASDAQ_micro 132.7117 18523.0000 0.7165 11.4635 NIKKEI 363.5885 40495.0000 0.8979 14.3658 NZD 0.0036 0.6004 0.5941 9.5063 OAT 0.4728 128.3000 0.3685 5.8963 OATIES 4.9920 347.7500 1.4355 22.9684 OJ 6.2974 365.0500 1.7251 27.6014 PALLAD 27.2037 995.0000 2.7340 43.7446 PLAT 14.8102 910.3000 1.6270 26.0314 REDWHEAT 9.3591 574.0000 1.6305 26.0880 RICE 0.1550 16.8850 0.9182 14.6905 ROBUSTA 42.2877 3460.0000 1.2222 19.5550 RUSSELL 22.7956 2141.1000 1.0647 17.0347 SHATZ 0.0825 105.7250 0.0780 1.2486 SILVER-mini 0.3748 24.9750 1.5007 24.0108 SMI 64.3243 11642.0000 0.5525 8.8403 SOFR 0.0615 96.4250 0.0638 1.0202 SOYBEAN 10.4754 1182.5000 0.8859 14.1738 SOYMEAL 4.0636 342.1000 1.1878 19.0053 SOYOIL 0.6912 48.2700 1.4319 22.9108 SP400 23.4474 3068.1000 0.7642 12.2277 SP500_micro 29.0724 5311.2500 0.5474 8.7580 SUGAR11 0.3168 21.8500 1.4500 23.2005 US10 0.3713 110.8906 0.3349 5.3578 US10U 0.5005 114.6406 0.4365 6.9848 US2 0.1015 102.3438 0.0992 1.5876 US20 0.7388 120.2812 0.6143 9.8283 US30 1.1147 128.6875 0.8662 13.8595 US5 0.2454 107.1250 0.2290 3.6648 VIX 0.3854 16.0000 2.4084 38.5351 WHEAT 8.1152 604.0000 1.3436 21.4973 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 654.90 0.56 369.30 1.00 369.30 54594.86 147.84 -6.64 -98.16 BITCOIN 69.44 2.95 204.88 1.00 204.88 54594.86 266.47 6.36 169.52 BOBL 1182.70 0.21 252.26 1.09 273.77 54594.86 199.42 -8.04 -160.33 BTP 1194.40 0.44 527.25 1.09 572.19 54594.86 95.41 6.72 64.16 BUND 1333.80 0.37 496.40 1.09 538.71 54594.86 101.34 -1.39 -14.12 BUXL 1356.40 0.87 1177.89 1.09 1278.30 54594.86 42.71 -1.88 -8.02 CAC 824.35 0.53 433.09 1.09 470.01 54594.86 116.16 13.65 158.50 CAD 738.00 0.38 277.44 1.00 277.44 54594.86 196.78 -8.41 -165.44 CANOLA 127.74 1.21 154.31 0.74 113.66 54594.86 480.33 -13.72 -659.08 CHF 1393.62 0.44 617.72 1.00 617.72 54594.86 88.38 -20.00 -176.76 COCOA 916.30 1.89 1733.28 1.00 1733.28 54594.86 31.50 15.62 49.19 COFFEE 712.88 1.51 1079.47 1.00 1079.47 54594.86 50.58 2.34 11.82 COPPER 1010.63 1.01 1022.40 1.00 1022.40 54594.86 53.40 3.64 19.46 CORN 231.00 0.98 225.68 1.00 225.68 54594.86 241.91 -20.00 -483.82 COTTON2 458.10 1.63 747.25 1.00 747.25 54594.86 73.06 -3.16 -23.09 CRUDE_W 770.20 1.08 833.66 1.00 833.66 54594.86 65.49 16.86 110.43 DAX 187.96 0.52 97.44 1.09 105.74 54594.86 516.29 20.00 1032.59 DOW 200.80 0.58 115.81 1.00 115.81 54594.86 471.42 -2.66 -125.35 DX 1040.20 0.31 326.81 1.00 326.81 54594.86 167.06 7.91 132.06 EUR 1357.69 0.39 534.02 1.00 534.02 54594.86 102.23 -3.36 -34.40 EURIBOR-ICE 2441.75 0.05 118.58 1.09 128.69 54594.86 424.23 2.60 110.39 EUROSTX 505.70 0.61 309.45 1.09 335.83 54594.86 162.57 18.14 294.95 FEEDCOW 1290.25 0.74 948.84 1.00 948.84 54594.86 57.54 -3.68 -21.20 GASOIL 797.25 1.44 1149.15 1.00 1149.15 54594.86 47.51 10.25 48.71 GASOLINE 1095.95 1.33 1454.37 1.00 1454.37 54594.86 37.54 13.02 48.87 GAS_US_mini 48.75 4.03 196.41 1.00 196.41 54594.86 277.97 -14.43 -401.24 GBP 790.19 0.46 360.49 1.00 360.49 54594.86 151.45 -1.00 -15.15 GOLD_micro 221.38 0.62 138.10 1.00 138.10 54594.86 395.32 4.96 196.20 HEATOIL 1090.07 1.43 1556.70 1.00 1556.70 54594.86 35.07 5.96 20.89 JGB-SGX-mini 145790.00 0.15 22178.32 0.01 146.57 54594.86 372.49 2.85 106.08 JPY 836.31 0.56 467.10 1.00 467.10 54594.86 116.88 -14.58 -170.37 LEANHOG 406.80 1.03 417.51 1.00 417.51 54594.86 130.76 8.06 105.44 LIVECOW 715.20 0.73 520.92 1.00 520.92 54594.86 104.80 7.43 77.87 LUMBER-new 166.65 1.07 177.60 1.00 177.60 54594.86 307.40 -0.47 -14.35 MILK 335.00 1.26 420.71 1.00 420.71 54594.86 129.77 -20.00 -259.54 MXP 298.25 0.53 157.04 1.00 157.04 54594.86 347.64 20.00 695.28 NASDAQ_micro 370.46 0.72 265.42 1.00 265.42 54594.86 205.69 -1.70 -35.03 NIKKEI 40495.00 0.90 36358.85 0.01 240.28 54594.86 227.22 9.30 211.31 NZD 600.45 0.59 356.76 1.00 356.76 54594.86 153.03 -7.26 -111.08 OAT 1283.00 0.37 472.81 1.09 513.12 54594.86 106.40 2.91 30.96 OATIES 173.88 1.44 249.60 1.00 249.60 54594.86 218.73 -14.81 -323.97 OJ 547.58 1.73 944.62 1.00 944.62 54594.86 57.80 8.00 46.24 PALLAD 995.00 2.73 2720.37 1.00 2720.37 54594.86 20.07 -0.80 -1.60 PLAT 455.15 1.63 740.51 1.00 740.51 54594.86 73.73 0.72 5.28 REDWHEAT 287.00 1.63 467.95 1.00 467.95 54594.86 116.67 -13.89 -162.03 RICE 337.70 0.92 310.06 1.00 310.06 54594.86 176.08 -14.39 -253.45 ROBUSTA 346.00 1.22 422.88 1.00 422.88 54594.86 129.10 12.46 160.89 RUSSELL 107.06 1.06 113.98 1.00 113.98 54594.86 479.00 -3.83 -183.58 SHATZ 1057.25 0.08 82.50 1.09 89.54 54594.86 609.75 -13.99 -852.95 SILVER-mini 624.38 1.50 936.98 1.00 936.98 54594.86 58.27 6.35 36.98 SMI 1164.20 0.55 643.24 1.11 714.67 54594.86 76.39 18.55 141.70 SOFR 2410.62 0.06 153.71 1.00 153.71 54594.86 355.19 -4.46 -158.40 SOYBEAN 591.25 0.89 523.77 1.00 523.77 54594.86 104.23 -8.15 -84.95 SOYMEAL 342.10 1.19 406.36 1.00 406.36 54594.86 134.35 -17.04 -228.97 SOYOIL 289.62 1.43 414.71 1.00 414.71 54594.86 131.64 -6.89 -90.72 SP400 3068.10 0.76 2344.74 1.00 2344.74 54594.86 23.28 2.53 5.88 SP500_micro 265.56 0.55 145.36 1.00 145.36 54594.86 375.58 4.13 155.11 SUGAR11 244.72 1.45 354.85 1.00 354.85 54594.86 153.85 0.28 4.33 US10 1108.91 0.33 371.33 1.00 371.33 54594.86 147.02 -6.51 -95.73 US10U 1146.41 0.44 500.46 1.00 500.46 54594.86 109.09 -2.17 -23.68 US2 2046.88 0.10 203.09 1.00 203.09 54594.86 268.81 -13.14 -353.25 US20 1202.81 0.61 738.85 1.00 738.85 54594.86 73.89 0.62 4.55 US30 1286.88 0.87 1114.72 1.00 1114.72 54594.86 48.98 -1.45 -7.09 US5 1071.25 0.23 245.37 1.00 245.37 54594.86 222.50 -9.15 -203.55 VIX 160.00 2.41 385.35 1.00 385.35 54594.86 141.68 -20.00 -283.35 WHEAT 302.00 1.34 405.76 1.00 405.76 54594.86 134.55 -15.77 -212.24 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -98.163 0.010 2.5 -2.547 BITCOIN 169.524 0.043 2.5 18.357 BOBL -160.333 0.004 2.5 -1.626 BTP 64.155 0.014 2.5 2.188 BUND -14.124 0.004 2.5 -0.143 BUXL -8.016 0.004 2.5 -0.081 CAC 158.501 0.014 2.5 5.406 CAD -165.440 0.010 2.5 -4.293 CANOLA -659.082 0.010 2.5 -16.035 CHF -176.764 0.010 2.5 -4.586 COCOA 49.191 0.009 2.5 1.054 COFFEE 11.818 0.005 2.5 0.138 COPPER 19.462 0.043 2.5 2.107 CORN -483.818 0.010 2.5 -11.771 COTTON2 -23.092 0.009 2.5 -0.495 CRUDE_W 110.427 0.043 2.5 11.958 DAX 1032.588 0.014 2.5 35.220 DOW -125.354 0.009 2.5 -2.913 DX 132.060 0.010 2.5 3.426 EUR -34.400 0.010 2.5 -0.893 EURIBOR-ICE 110.391 0.014 2.5 3.765 EUROSTX 294.954 0.014 2.5 10.060 FEEDCOW -21.195 0.013 2.5 -0.702 GASOIL 48.713 0.017 2.5 2.112 GASOLINE 48.875 0.017 2.5 2.119 GAS_US_mini -401.237 0.043 2.5 -43.449 GBP -15.147 0.010 2.5 -0.393 GOLD_micro 196.204 0.014 2.5 6.692 HEATOIL 20.891 0.017 2.5 0.906 JGB-SGX-mini 106.085 0.043 2.5 11.488 JPY -170.367 0.010 2.5 -4.420 LEANHOG 105.444 0.024 2.5 6.408 LIVECOW 77.866 0.013 2.5 2.580 LUMBER-new -14.348 0.009 2.5 -0.307 MILK -259.535 0.009 2.5 -5.559 MXP 695.281 0.059 2.5 102.049 NASDAQ_micro -35.028 0.009 2.5 -0.814 NIKKEI 211.308 0.043 2.5 22.882 NZD -111.075 0.010 2.5 -2.882 OAT 30.957 0.014 2.5 1.056 OATIES -323.966 0.010 2.5 -7.882 OJ 46.244 0.009 2.5 0.990 PALLAD -1.599 0.014 2.5 -0.055 PLAT 5.283 0.014 2.5 0.180 REDWHEAT -162.033 0.005 2.5 -2.149 RICE -253.451 0.010 2.5 -6.166 ROBUSTA 160.887 0.005 2.5 1.879 RUSSELL -183.582 0.013 2.5 -6.083 SHATZ -852.948 0.004 2.5 -8.649 SILVER-mini 36.981 0.014 2.5 1.261 SMI 141.697 0.014 2.5 4.833 SOFR -158.405 0.024 2.5 -9.627 SOYBEAN -84.949 0.004 2.5 -0.790 SOYMEAL -228.967 0.004 2.5 -2.130 SOYOIL -90.721 0.004 2.5 -0.845 SP400 5.883 0.013 2.5 0.195 SP500_micro 155.109 0.009 2.5 3.605 SUGAR11 4.329 0.009 2.5 0.092 US10 -95.732 0.005 2.5 -1.213 US10U -23.683 0.005 2.5 -0.300 US2 -353.252 0.005 2.5 -4.476 US20 4.555 0.005 2.5 0.058 US30 -7.086 0.005 2.5 -0.090 US5 -203.548 0.005 2.5 -2.579 VIX -283.351 0.099 2.5 -69.943 WHEAT -212.241 0.005 2.5 -2.815 ===================== Position diags ===================== AUD 3.84 BITCOIN 28.86 BOBL 2.02 BTP 3.25 BUND 1.03 BUXL 0.43 CAC 3.96 CAD 5.11 CANOLA 11.69 CHF 2.29 COCOA 0.67 COFFEE 0.59 COPPER 5.78 CORN 5.89 COTTON2 1.56 CRUDE_W 7.09 DAX 17.61 DOW 10.96 DX 4.33 EUR 2.65 EURIBOR-ICE 14.47 EUROSTX 5.54 FEEDCOW 1.91 GASOIL 2.06 GASOLINE 1.63 GAS_US_mini 30.10 GBP 3.93 GOLD_micro 13.48 HEATOIL 1.52 JGB-SGX-mini 40.34 JPY 3.03 LEANHOG 7.95 LIVECOW 3.47 LUMBER-new 6.58 MILK 2.78 MXP 51.02 NASDAQ_micro 4.78 NIKKEI 24.60 NZD 3.97 OAT 3.63 OATIES 5.32 OJ 1.24 PALLAD 0.68 PLAT 2.51 REDWHEAT 1.55 RICE 4.28 ROBUSTA 1.51 RUSSELL 15.87 SHATZ 6.18 SILVER-mini 1.99 SMI 2.61 SOFR 21.59 SOYBEAN 0.97 SOYMEAL 1.25 SOYOIL 1.23 SP400 0.77 SP500_micro 8.73 SUGAR11 3.27 US10 1.86 US10U 1.38 US2 3.41 US20 0.94 US30 0.62 US5 2.82 VIX 34.97 WHEAT 1.78 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.5 -2.9 -2.2 -1.0 -1 BITCOIN 18.4 15.5 21.2 0.0 0 BOBL -1.6 -1.8 -1.4 -15.0 -15 BTP 2.2 1.9 2.5 6.0 6 BUND -0.1 -0.2 -0.0 -1.0 -1 BUXL -0.1 -0.1 -0.0 0.0 0 CAC 5.4 5.0 5.8 0.0 0 CAD -4.3 -4.8 -3.8 0.0 0 CANOLA -16.0 -17.2 -14.9 -6.0 -6 CHF -4.6 -4.8 -4.4 -10.0 -10 COCOA 1.1 1.0 1.1 3.0 3 COFFEE 0.1 0.1 0.2 0.0 0 COPPER 2.1 1.5 2.7 5.0 5 CORN -11.8 -12.4 -11.2 -11.0 -11 COTTON2 -0.5 -0.7 -0.3 -2.0 -2 CRUDE_W 12.0 11.2 12.7 4.0 4 DAX 35.2 33.5 37.0 24.0 24 DOW -2.9 -4.0 -1.8 -2.0 -2 DX 3.4 3.0 3.9 NaN 0 EUR -0.9 -1.2 -0.6 0.0 0 EURIBOR-ICE 3.8 2.3 5.2 0.0 0 EUROSTX 10.1 9.5 10.6 19.0 19 FEEDCOW -0.7 -0.9 -0.5 3.0 3 GASOIL 2.1 1.9 2.3 2.0 2 GASOLINE 2.1 2.0 2.3 4.0 4 GAS_US_mini -43.4 -46.5 -40.4 -19.0 -19 GBP -0.4 -0.8 -0.0 1.0 1 GOLD_micro 6.7 5.3 8.0 0.0 0 HEATOIL 0.9 0.8 1.1 2.0 2 JGB-SGX-mini 11.5 7.5 15.5 5.0 5 JPY -4.4 -4.7 -4.1 0.0 0 LEANHOG 6.4 5.6 7.2 6.0 6 LIVECOW 2.6 2.2 2.9 0.0 0 LUMBER-new -0.3 -1.0 0.4 NaN 0 MILK -5.6 -5.8 -5.3 NaN 0 MXP 102.0 96.9 107.2 60.0 60 NASDAQ_micro -0.8 -1.3 -0.3 0.0 0 NIKKEI 22.9 20.4 25.3 29.0 29 NZD -2.9 -3.3 -2.5 0.0 0 OAT 1.1 0.7 1.4 0.0 0 OATIES -7.9 -8.4 -7.3 NaN 0 OJ 1.0 0.9 1.1 NaN 0 PALLAD -0.1 -0.1 0.0 0.0 0 PLAT 0.2 -0.1 0.4 0.0 0 REDWHEAT -2.1 -2.3 -2.0 -2.0 -2 RICE -6.2 -6.6 -5.7 NaN 0 ROBUSTA 1.9 1.7 2.0 0.0 0 RUSSELL -6.1 -7.7 -4.5 -2.0 -2 SHATZ -8.6 -9.3 -8.0 NaN 0 SILVER-mini 1.3 1.1 1.5 NaN 0 SMI 4.8 4.6 5.1 8.0 8 SOFR -9.6 -11.8 -7.5 NaN 0 SOYBEAN -0.8 -0.9 -0.7 -1.0 -1 SOYMEAL -2.1 -2.3 -2.0 0.0 0 SOYOIL -0.8 -1.0 -0.7 -4.0 -4 SP400 0.2 0.1 0.3 2.0 2 SP500_micro 3.6 2.7 4.5 21.0 21 SUGAR11 0.1 -0.2 0.4 0.0 0 US10 -1.2 -1.4 -1.0 0.0 0 US10U -0.3 -0.4 -0.2 -1.0 -1 US2 -4.5 -4.8 -4.1 NaN 0 US20 0.1 -0.0 0.2 1.0 1 US30 -0.1 -0.2 -0.0 0.0 0 US5 -2.6 -2.9 -2.3 -9.0 -9 VIX -69.9 -73.4 -66.4 -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 -0.0 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 0.0 -0.0 -0.2 -0.7 -0.4 -0.4 -0.1 BITCOIN -0.1 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 -0.1 0.6 0.6 0.6 -0.2 0.0 0.6 0.1 BOBL 0.1 -0.6 -0.1 -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 -0.3 -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 0.1 0.3 0.1 0.4 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 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 0.5 -0.0 0.1 0.0 0.0 -0.0 -0.0 0.2 0.1 0.2 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 -0.1 -0.0 0.0 0.0 -0.1 0.0 -0.0 0.0 0.1 0.0 0.0 -0.0 0.0 0.0 0.2 0.2 0.3 0.0 -0.7 -0.7 0.1 0.0 CAC 0.4 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 0.4 -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 -0.3 -0.2 0.1 -0.0 -0.2 0.4 -0.1 0.6 CAD 0.0 -0.2 0.1 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 -0.2 -0.2 -0.0 -0.6 -0.5 -0.1 -0.4 CANOLA 0.6 0.6 -0.4 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 -0.3 0.1 -0.4 0.1 -0.0 -0.3 -0.1 -0.3 -0.2 -0.0 -0.1 0.1 -0.4 0.1 -2.7 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.8 0.4 0.6 0.0 -0.6 -0.7 -0.7 -0.6 -0.2 CHF -0.3 -0.6 -0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.2 -0.2 -0.2 -0.1 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.2 -0.1 -0.2 -0.4 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -1.1 -0.5 -0.6 -0.6 -0.4 -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 0.1 -0.1 0.2 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.2 0.3 0.1 0.3 0.1 0.0 0.2 0.2 0.2 0.2 0.1 0.1 0.1 0.2 0.1 -2.7 0.0 0.1 0.2 0.1 0.2 0.0 0.8 0.5 0.4 0.1 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 0.1 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 0.5 -0.7 -0.1 0.4 0.2 CORN 0.6 0.3 -0.2 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.2 -0.5 0.1 -0.7 0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.1 -0.2 -0.0 -0.5 0.0 -2.5 -0.1 -0.1 -0.2 -0.0 -0.3 -0.0 -1.0 -0.2 0.3 -0.6 -0.6 -0.2 -0.7 -0.2 0.0 COTTON2 -0.5 0.3 0.6 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 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 -0.4 0.6 0.6 -0.4 -0.5 -0.1 0.0 CRUDE_W 0.4 0.4 0.1 0.1 -0.0 0.1 0.0 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 0.4 0.2 -0.7 0.1 0.0 0.2 0.1 0.2 0.1 -0.1 0.3 0.2 0.2 -0.0 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 0.5 0.6 0.3 0.1 -0.2 0.4 0.1 0.7 DOW -0.2 -0.4 0.5 0.1 0.0 0.1 0.1 0.1 0.1 0.1 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 0.2 -1.9 0.1 0.1 0.3 0.1 0.3 0.1 -0.5 -0.1 -0.6 -0.6 0.1 -0.2 -0.2 0.1 -0.5 DX -0.0 0.1 0.1 -0.0 -0.0 0.0 -0.0 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 -0.0 0.0 -0.0 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 -0.3 -0.1 0.1 -0.1 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE 0.1 -0.6 0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.1 -0.0 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -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 0.1 0.2 0.1 0.2 0.1 0.7 -0.0 -0.0 0.4 0.3 -0.4 0.5 -0.4 0.7 FEEDCOW -0.6 0.3 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 -1.0 0.0 -0.2 0.1 -0.2 0.1 -0.1 -1.1 -0.5 -0.6 0.2 0.6 0.7 0.6 0.7 0.7 GASOIL 0.1 0.2 0.1 0.1 -0.0 0.1 0.0 0.1 0.1 -0.1 0.2 0.0 0.5 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 0.0 -0.2 -0.0 0.1 -0.4 -0.3 -0.7 -0.5 GASOLINE 0.4 0.5 0.3 0.1 -0.0 0.1 0.0 0.1 0.1 -0.1 0.3 0.2 0.5 0.2 0.2 0.4 0.2 0.1 0.1 0.2 0.2 0.1 0.4 0.2 -2.7 0.1 -0.0 0.2 0.0 0.2 0.1 -0.4 0.0 0.2 0.5 0.4 0.7 0.6 0.7 0.6 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 -0.1 -0.5 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.3 -0.6 -0.6 -0.6 -0.5 -0.1 -0.7 -0.2 GBP -0.0 -0.0 0.1 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.3 -0.2 0.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.1 0.2 -0.1 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 -0.3 -0.1 0.2 0.3 -0.7 -0.2 -0.7 0.0 GOLD_micro 0.6 0.6 0.3 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.1 0.5 0.2 0.5 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 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL 0.1 0.1 0.1 0.1 -0.0 0.1 0.0 0.1 0.1 -0.2 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 0.0 1.1 -0.4 -0.4 -0.1 0.1 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 0.2 0.0 -0.3 -0.6 0.0 0.3 JPY 0.1 -0.2 -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 -0.0 -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 -0.2 0.6 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 0.2 0.0 -0.1 0.1 2.1 0.1 0.0 0.2 0.0 0.0 0.0 -1.1 0.2 0.4 0.6 0.6 -0.2 -0.3 0.2 0.4 LIVECOW -0.4 0.5 0.4 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.2 0.1 -0.2 0.1 0.0 0.2 0.4 0.0 0.3 0.1 0.1 0.1 -0.2 0.2 -0.0 -0.8 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.2 -0.5 -0.6 0.6 0.6 0.7 0.3 0.7 0.7 LUMBER-new 0.1 0.4 0.5 0.0 -0.1 0.1 -0.1 -0.1 0.0 -0.2 0.5 0.0 -0.4 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 -0.0 0.1 0.1 NaN 0.1 -0.1 0.2 -0.0 0.2 0.1 -1.2 -0.4 0.7 0.7 0.7 -0.4 -0.6 -0.3 -0.4 MILK -0.6 -0.1 0.3 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.4 -0.1 -0.5 -0.1 -0.1 -0.4 -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 -0.1 -1.1 -0.3 -0.6 -0.4 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.4 0.3 0.3 -0.0 -0.0 0.1 -0.0 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 0.3 0.1 1.1 0.5 0.6 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro -0.1 -0.0 0.4 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.4 0.1 0.6 0.1 0.2 -0.2 -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 -0.6 -0.4 0.2 0.2 -0.1 0.5 -0.1 NIKKEI -0.4 0.4 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.5 0.1 0.6 0.2 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 0.4 -0.3 0.4 0.6 -0.6 -0.2 -0.3 -0.2 NZD -0.3 -0.2 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.0 -0.2 -0.1 -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 -0.2 -0.1 -0.3 -0.3 -0.1 0.2 OAT 0.1 -0.3 0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 0.1 -0.0 0.0 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.0 0.0 0.0 0.0 -0.0 0.6 -0.0 0.0 0.0 0.0 0.0 -0.0 0.7 -0.0 0.2 0.2 0.0 -0.6 -0.7 0.4 0.1 OATIES -0.1 0.0 -0.3 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.4 -0.1 -0.5 -0.1 -0.1 0.2 -0.0 0.1 0.0 -0.1 -0.1 -0.1 -0.4 -0.1 -2.7 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.0 -0.4 -0.4 -0.1 -0.3 -0.4 0.0 -0.1 0.5 OJ -0.1 0.2 -0.6 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.1 0.2 0.1 0.4 0.1 0.1 0.1 0.3 0.1 0.2 0.1 0.1 0.1 0.5 0.1 -2.7 0.0 0.0 0.2 0.0 0.5 0.0 1.1 0.4 -0.1 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 0.1 -0.7 -0.4 -0.5 -0.2 PLAT 0.3 0.1 -0.1 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 -0.1 -0.3 -0.3 0.0 -0.5 -0.1 0.7 0.2 REDWHEAT 0.4 0.1 -0.3 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.0 -0.5 0.1 -0.7 -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 0.1 0.1 -0.0 -0.6 -0.6 -0.4 -0.7 -0.2 -0.7 RICE -0.6 -0.5 0.1 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.2 0.2 -0.2 0.5 -0.2 -0.1 -0.3 -0.1 -0.3 -0.2 -0.1 0.1 -0.2 0.4 -0.2 -2.6 -0.0 -0.2 0.0 -0.2 0.1 -0.1 -0.7 -0.5 -0.6 -0.5 -0.2 0.2 -0.1 0.5 0.2 ROBUSTA 0.3 0.0 0.6 0.0 -0.1 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 0.4 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.3 0.1 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.1 -0.3 0.1 0.1 0.1 0.0 0.1 0.0 -0.0 -0.3 -0.6 -0.6 -0.3 -0.5 -0.6 -0.5 -0.7 SHATZ 0.1 -0.6 -0.3 -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 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 0.0 0.1 0.6 0.0 -0.0 0.1 0.0 0.0 0.1 -0.1 0.3 0.6 0.5 0.2 -0.5 -0.6 0.7 -0.0 SMI 0.4 0.6 0.6 0.1 0.0 0.2 0.1 0.2 0.1 0.1 0.5 0.2 0.5 0.2 0.2 0.0 0.1 0.1 0.1 0.2 0.2 0.2 0.4 0.2 2.2 0.1 0.0 0.2 0.1 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 0.1 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 -0.1 0.1 -0.0 0.0 -0.7 -0.7 0.0 -0.1 SOYBEAN 0.6 0.2 -0.6 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.4 0.1 -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 0.0 -0.1 0.0 1.0 0.3 0.6 -0.2 -0.6 -0.3 -0.7 -0.3 -0.7 SOYMEAL 0.6 -0.2 -0.6 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.0 -0.4 0.1 -0.5 -0.1 -0.2 -0.2 0.2 -0.1 0.0 -0.2 -0.2 0.0 -0.4 -0.0 -2.7 -0.0 -0.0 -0.2 0.0 -0.1 0.0 0.5 0.3 0.4 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 0.4 -0.2 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -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 0.0 -0.1 0.1 -0.0 0.2 0.6 0.4 -0.1 -0.6 -0.3 -0.4 0.2 SP400 0.2 0.5 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.5 0.2 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 0.1 0.2 0.1 0.2 0.1 0.0 -0.1 0.0 -0.2 -0.0 -0.4 -0.3 -0.3 -0.7 SP500_micro 0.1 0.3 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 -0.3 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 -0.2 -0.2 0.0 0.5 0.1 -0.1 0.5 -0.2 SUGAR11 0.2 -0.1 -0.4 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.1 -0.2 0.1 0.2 -0.0 -0.0 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 -0.2 -0.6 0.7 0.1 0.7 0.5 US10 0.0 -0.3 0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -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 0.1 0.1 -0.0 -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 0.5 0.6 US2 -0.1 -0.6 -0.1 -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 -0.1 -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 0.1 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 0.1 0.1 -0.0 -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 -0.4 -0.0 0.1 0.3 0.2 -0.5 -0.5 0.7 0.7 US5 0.0 -0.4 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 0.0 -0.0 -0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 -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 0.0 -0.1 0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.2 0.3 -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 -0.1 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 0.5 -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 -2.5 -0.8 -0.6 -3.6 1.6 -3.9 3.3 -2.1 -10.4 -3.9 -9.1 -10.6 0.2 -11.5 -2.8 -2.9 -2.8 -2.8 -3.4 -2.9 -6.5 -5.5 -4.1 2.9 -1.9 -4.2 -1.3 -4.2 -2.2 -2.5 -1.1 -5.7 0.3 -1.4 -6.0 -20.0 -10.9 -13.3 -1.5 BITCOIN -1.6 13.8 7.5 2.8 -3.2 0.4 -0.9 -0.6 2.9 4.2 18.8 5.1 18.9 14.4 16.7 -9.8 -7.4 -9.3 -8.6 20.0 20.0 11.0 20.0 20.0 -20.0 7.0 1.5 6.6 2.3 5.1 5.1 -3.3 -4.5 20.0 20.0 20.0 -6.0 0.5 17.6 4.2 BOBL 4.4 -17.0 -2.2 -1.2 2.6 -0.4 0.3 -1.0 -1.3 7.1 -1.7 0.2 -2.2 -6.8 -7.6 6.1 -13.2 -11.4 -15.1 -5.4 -3.1 3.0 -3.4 -2.8 6.6 -1.8 3.8 -0.9 1.6 -0.8 -0.8 -20.0 4.7 4.1 -2.6 -5.3 -20.0 -20.0 4.1 -20.0 BTP 7.8 0.3 13.1 -2.1 4.4 -0.6 0.6 -1.8 -2.2 9.3 12.6 8.6 11.6 9.5 8.2 4.9 6.2 4.9 5.2 11.5 14.8 6.6 11.8 8.5 -20.0 5.3 4.0 6.3 3.3 5.2 4.2 12.6 -2.4 19.1 20.0 13.9 -9.2 -14.3 20.0 2.7 BUND 2.7 -11.6 2.4 -1.4 2.9 -0.4 0.4 -1.2 -1.5 8.5 0.6 1.3 -0.8 -6.6 -6.9 -9.0 2.0 -3.4 -0.8 -2.8 -0.5 4.2 -2.2 -1.1 4.1 -1.1 6.0 0.0 2.7 -0.3 -0.2 3.9 5.4 5.5 2.6 -2.1 -17.4 -20.0 12.6 -9.9 BUXL 1.9 -6.3 5.7 -1.8 3.7 -0.5 0.5 -1.5 -1.8 10.8 2.5 2.1 -3.8 -6.1 -7.0 -7.3 -1.1 -4.5 -2.5 -0.8 0.9 5.5 -3.9 0.2 -0.1 0.0 8.6 1.0 4.0 -0.6 0.7 0.0 6.7 7.6 8.6 1.5 -20.0 -20.0 2.8 0.4 CAC 13.6 20.0 20.0 8.7 5.7 7.3 7.1 4.9 8.3 19.0 20.0 20.0 20.0 20.0 20.0 20.0 -1.6 6.4 0.6 20.0 20.0 20.0 20.0 20.0 -11.6 9.6 4.3 8.0 5.7 5.9 8.5 8.3 -13.8 -7.4 3.4 -0.8 -6.6 13.2 -3.6 18.8 CAD 0.6 -6.6 1.8 -0.7 -4.1 1.8 -4.4 3.8 -2.4 -8.1 -2.7 -11.8 -4.9 -15.2 -15.2 -2.4 -2.2 -2.2 -2.2 -5.9 -3.1 -8.4 -4.3 -8.0 -0.3 -3.9 -3.7 -2.1 -5.8 -2.5 -5.3 0.0 -1.6 -6.2 -6.0 -0.8 -17.4 -15.2 -2.7 -12.8 CANOLA 20.0 20.0 -12.4 1.8 -5.4 1.0 -2.0 -1.5 0.6 -1.4 -10.0 8.3 -10.3 8.1 -3.5 -14.7 -5.6 -13.8 -11.3 -0.0 -12.2 10.1 -16.5 10.9 -20.0 0.0 0.1 -3.7 3.5 -5.1 3.5 -14.7 18.1 20.0 1.5 -20.0 -20.0 -20.0 -17.6 -6.7 CHF -9.9 -20.0 -9.8 -0.6 -3.4 1.5 -3.7 3.2 -2.0 -18.4 -8.5 -19.9 -1.8 -20.0 -19.1 -15.8 -15.7 -15.8 -15.8 -20.0 -12.0 -20.0 -2.3 -20.0 -3.3 -5.8 -10.0 -2.3 -10.4 0.0 -8.6 -20.0 -20.0 -20.0 -20.0 -11.9 -12.4 -16.4 -3.0 -16.5 COCOA 20.0 10.1 -16.2 1.4 -1.5 0.7 -0.1 -0.9 1.0 7.3 8.6 8.1 8.6 8.4 8.5 20.0 13.1 20.0 20.0 20.0 18.4 20.0 12.1 20.0 -12.7 3.0 3.3 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 2.1 -4.5 7.7 3.1 -9.4 1.7 -3.4 -2.5 1.0 19.2 11.9 9.4 8.9 5.9 3.0 9.3 8.0 12.4 10.6 6.1 10.4 13.9 8.2 6.5 -20.0 3.3 14.8 5.7 9.1 5.9 4.3 15.5 20.0 12.4 2.3 5.9 -8.3 -20.0 0.1 -13.2 COPPER 15.7 13.4 8.0 2.8 -3.2 0.4 -0.9 -0.6 2.9 -12.8 9.1 6.8 -3.2 13.8 13.3 -4.9 -4.9 -5.3 -5.5 16.7 10.0 6.6 2.5 17.3 -14.1 5.3 -1.3 3.0 2.7 0.9 6.0 1.3 20.0 13.0 6.7 14.3 -20.0 -2.2 12.7 5.5 CORN 18.4 10.2 -5.1 3.3 -9.9 1.8 -3.6 -2.7 1.1 -16.9 -16.8 4.8 -20.0 7.7 -10.7 -20.0 -8.1 -17.6 -13.9 -9.7 -20.0 -5.5 -20.0 0.1 -19.0 -5.1 -10.7 -8.4 -3.0 -8.8 -1.2 -19.0 -8.5 9.4 -18.8 -20.0 -7.3 -20.0 -5.4 0.1 COTTON2 -15.5 9.8 19.8 1.8 -5.4 1.0 -2.0 -1.5 0.6 -7.5 5.1 -10.6 3.5 -0.6 4.9 14.1 0.8 5.1 1.1 6.5 7.4 -5.1 3.6 -0.5 -20.0 3.5 -0.9 3.6 -0.6 2.2 1.2 0.6 -4.0 -12.0 20.0 20.0 -12.7 -13.6 -3.6 0.9 CRUDE_W 12.9 11.3 1.9 6.6 -0.8 4.4 3.9 3.6 6.9 10.6 2.5 19.5 10.5 20.0 20.0 14.5 10.4 12.0 10.8 18.3 12.3 18.7 13.2 20.0 -5.2 8.0 4.0 5.6 7.6 5.9 9.5 -1.1 13.1 6.6 5.4 -1.4 20.0 20.0 20.0 20.0 DAX 15.6 20.0 20.0 8.5 5.6 7.1 6.9 4.8 8.0 20.0 20.0 20.0 20.0 20.0 20.0 -12.8 -11.7 -14.0 -13.3 20.0 20.0 20.0 20.0 20.0 18.2 9.4 10.5 7.7 10.0 5.4 9.9 -11.3 20.0 18.6 8.6 3.0 -5.4 11.7 2.1 20.0 DOW -5.5 -11.0 16.2 6.6 4.3 5.5 5.3 3.7 6.2 10.5 20.0 9.3 19.4 12.9 18.5 -12.6 -11.0 -12.9 -12.3 19.6 20.0 15.3 20.0 14.7 -14.5 7.3 6.6 9.5 6.1 9.0 5.6 -9.9 -4.8 -20.0 -20.0 1.6 -5.5 -6.4 2.4 -14.6 DX -0.8 4.3 2.1 -0.7 -4.1 1.8 -4.4 3.8 -2.4 16.7 3.8 19.3 2.4 7.0 12.3 7.4 6.3 6.9 6.6 7.2 4.3 20.0 4.8 13.2 -20.0 3.0 9.2 1.2 11.0 2.1 6.9 14.9 20.0 9.2 20.0 -4.9 17.1 3.5 20.0 9.7 EUR 3.1 0.3 -1.3 -0.7 -4.0 1.8 -4.3 3.8 -2.3 -14.1 -1.0 -13.9 -1.2 2.2 -8.5 -6.9 -6.7 -6.7 -6.5 -1.6 -1.5 -10.5 -2.2 -4.4 19.7 0.1 -7.3 0.7 -6.6 0.1 -2.4 -7.5 -12.8 -1.9 4.2 -2.6 -20.0 -15.6 -20.0 -12.3 EURIBOR-ICE 1.9 -17.8 4.0 -1.1 2.2 -0.3 0.3 -0.9 -1.1 5.1 3.1 -1.8 2.9 -5.2 -3.8 -4.4 -3.9 -2.3 -2.5 -1.4 3.2 1.1 3.4 -1.7 13.9 -0.4 2.3 1.6 0.7 1.8 -0.5 -2.9 -1.5 4.4 -0.0 1.6 -20.0 -20.0 10.1 20.0 EUROSTX 6.9 20.0 20.0 8.4 5.5 7.0 6.8 4.7 8.0 20.0 20.0 20.0 20.0 20.0 20.0 -3.1 1.6 2.8 2.8 20.0 20.0 20.0 20.0 20.0 0.4 9.5 6.3 8.5 6.8 6.4 8.3 13.7 -0.7 -0.6 13.7 8.4 -12.8 13.8 -11.0 20.0 FEEDCOW -20.0 9.1 14.5 3.4 -10.2 1.9 -3.7 -2.8 1.1 -18.8 2.3 -17.6 1.9 -3.5 18.6 -20.0 -20.0 -20.0 -20.0 7.6 9.4 -20.0 6.8 -13.2 -7.8 0.2 -19.8 2.2 -14.8 3.9 -6.5 -20.0 -20.0 -20.0 4.9 20.0 20.0 17.7 20.0 20.0 GASOIL 3.0 6.9 4.3 5.5 -0.6 3.6 3.2 2.9 5.7 -12.2 8.6 4.0 12.6 11.2 16.4 20.0 20.0 20.0 20.0 13.4 13.2 2.8 14.9 10.6 7.2 5.9 -3.7 6.0 1.2 6.6 4.6 20.0 1.2 -7.6 -1.4 4.1 -10.6 -9.0 -20.0 -15.9 GASOLINE 11.6 15.1 9.5 6.2 -0.7 4.2 3.7 3.4 6.5 -8.2 10.8 17.4 13.3 20.0 20.0 18.9 9.5 4.8 2.5 20.0 18.2 14.9 15.0 20.0 -20.0 8.1 -0.5 6.1 4.4 5.7 7.8 -7.7 1.9 5.8 15.8 13.5 20.0 18.3 20.0 16.7 GAS_US_mini -0.5 -1.8 -10.4 2.9 -0.3 1.9 1.7 1.6 3.0 -10.2 -11.6 -10.8 -12.3 -10.7 -11.2 -20.0 -20.0 -20.0 -20.0 -12.4 -18.2 -6.7 -20.0 -8.0 20.0 -4.2 -2.8 -5.1 -2.6 -4.8 -3.1 -20.0 -12.5 -20.0 -20.0 -20.0 -15.7 -2.0 -20.0 -6.8 GBP -1.0 -1.4 4.3 -0.7 -4.2 1.9 -4.5 3.9 -2.4 -12.5 11.3 -15.1 9.5 -3.4 3.3 -0.8 -0.6 -0.6 -0.5 2.6 6.4 -13.3 6.7 -4.9 2.2 2.4 -8.7 4.9 -9.1 4.0 -3.1 2.8 -14.4 -2.6 5.3 8.2 -20.0 -6.8 -20.0 0.3 GOLD_micro 20.0 18.0 10.2 2.9 -3.3 0.4 -1.0 -0.6 3.0 14.3 17.4 19.1 12.5 19.4 17.2 -15.0 -14.7 -15.3 -15.1 20.0 20.0 20.0 12.7 20.0 -3.9 6.4 3.3 4.5 4.5 2.9 6.6 -15.4 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -13.7 HEATOIL 4.4 3.7 1.7 5.7 -0.7 3.8 3.4 3.1 6.0 -17.7 1.1 0.4 8.5 5.9 13.3 14.6 20.0 20.0 20.0 8.5 7.7 -1.5 10.2 6.4 -20.0 6.2 -5.3 6.4 -0.6 7.9 4.1 20.0 -16.2 -11.9 -2.1 4.5 20.0 5.2 15.4 2.3 JGB-SGX-mini -5.3 -6.7 6.8 -1.3 2.6 -0.4 0.3 -1.0 -1.3 7.8 4.8 3.0 6.6 -1.7 0.9 8.4 15.7 10.6 12.0 -0.1 2.6 2.6 3.8 -0.4 -6.9 -0.4 4.0 0.5 1.7 0.4 -0.2 20.0 8.9 -2.9 5.6 0.2 -8.8 -18.7 1.1 9.8 JPY 4.2 -7.6 -8.4 -0.4 -2.6 1.1 -2.8 2.4 -1.5 -12.4 -14.3 -13.7 -15.0 -13.0 -14.3 -16.5 -16.3 -16.5 -16.5 -12.9 -14.6 -14.6 -20.0 -13.3 20.0 -4.2 -4.1 -4.4 -5.9 -6.1 -5.0 -20.0 -20.0 -7.7 -12.1 -9.7 -20.0 -12.0 -16.5 -13.2 LEANHOG -5.5 17.2 19.2 3.9 -11.6 2.1 -4.2 -3.1 1.3 5.3 14.5 2.2 -10.1 17.5 20.0 -20.0 -20.0 -20.0 -20.0 20.0 14.0 4.9 -4.8 13.0 16.1 8.3 3.0 7.7 1.4 1.0 4.2 -20.0 8.2 11.3 20.0 20.0 -6.7 -8.5 6.5 13.3 LIVECOW -12.7 15.9 11.9 3.4 -10.1 1.8 -3.7 -2.7 1.1 -18.9 5.2 -14.0 3.6 4.1 18.5 20.0 0.0 14.7 4.7 12.8 10.3 -20.0 6.3 -2.4 -5.7 3.7 -15.7 3.7 -9.7 4.2 -1.5 2.9 -20.0 -18.6 20.0 17.8 20.0 8.3 20.0 20.0 LUMBER-new 3.4 9.4 12.5 3.8 -11.5 2.2 -4.2 -2.1 1.2 -16.4 17.3 3.4 -9.9 15.1 19.4 -15.9 -15.4 -16.2 -15.7 17.6 15.1 -4.8 4.7 10.6 NaN 8.0 -9.8 7.2 -2.1 3.8 4.6 -20.0 -13.6 20.0 20.0 20.0 -10.9 -16.4 -6.9 -10.3 MILK -17.6 -4.3 8.8 2.2 -6.5 1.2 -2.4 -1.7 0.7 -11.0 -13.9 -13.3 -14.6 -13.5 -13.4 -20.0 -20.0 -20.0 -20.0 -15.8 -17.6 -14.2 -20.0 -16.4 12.5 -4.4 -3.9 -4.8 -4.3 -6.5 -4.8 -20.0 -11.5 -20.0 -12.2 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 11.0 7.9 8.1 -0.7 -4.2 1.9 -4.6 4.0 -2.5 20.0 20.0 20.0 20.0 20.0 20.0 18.4 17.1 17.7 16.8 20.0 20.0 20.0 20.0 20.0 -20.0 9.0 10.8 8.2 9.7 9.5 9.8 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -3.9 -1.0 11.3 5.0 3.3 4.2 4.1 2.8 4.8 10.3 15.4 11.1 15.4 12.5 14.5 -11.0 -10.2 -11.3 -11.0 17.5 20.0 7.7 20.0 10.6 -20.0 5.6 1.3 7.8 2.2 8.4 3.2 -8.1 -14.6 -17.7 -13.5 6.5 7.5 -2.1 13.5 -4.2 NIKKEI -11.6 12.7 18.6 5.8 3.8 4.9 4.7 3.3 5.6 11.2 17.3 11.8 17.7 14.8 16.5 3.7 11.3 8.7 10.5 20.0 20.0 19.7 20.0 20.0 -14.9 6.4 2.0 6.9 3.2 6.0 4.6 20.0 14.8 -9.6 12.5 20.0 -19.1 -6.5 -7.8 -5.9 NZD -8.7 -6.4 1.0 -0.5 -3.0 1.3 -3.3 2.8 -1.7 -13.6 1.6 -15.7 -1.5 -13.4 -11.0 0.3 0.3 0.3 0.3 -6.7 -1.1 -17.2 -1.0 -13.5 0.1 -3.6 -6.7 -0.5 -9.0 0.1 -7.1 4.2 -19.8 -20.0 -5.1 -4.3 -8.8 -8.4 -1.9 4.5 OAT 2.4 -9.1 5.0 -1.5 3.2 -0.4 0.4 -1.3 -1.6 7.4 2.9 -1.6 1.0 -5.9 -5.6 4.7 6.1 4.6 5.0 -0.8 2.4 1.6 0.4 -1.0 4.7 -0.2 3.6 1.5 1.2 0.9 -0.3 12.2 -0.8 5.6 4.9 0.9 -18.4 -20.0 12.4 2.7 OATIES -3.4 1.3 -10.4 2.7 -8.1 1.5 -3.0 -2.2 0.9 -15.5 -16.6 -13.8 -13.8 -10.0 -6.5 9.2 -1.2 7.0 2.1 -7.6 -13.4 -10.4 -14.3 -7.3 -20.0 -3.1 -8.0 -4.8 -6.4 -5.3 -4.3 -0.8 -15.1 -12.2 -4.6 -7.9 -12.4 0.6 -2.2 13.8 OJ -3.7 6.3 -18.3 2.3 -6.8 1.2 -2.5 -1.8 0.7 12.1 7.2 7.6 11.5 7.3 7.1 6.0 14.5 7.4 10.5 7.2 11.6 6.6 20.0 5.3 -20.0 2.5 3.6 6.1 2.4 13.4 1.6 20.0 15.5 -3.3 18.6 -9.5 11.5 9.4 18.1 20.0 PALLAD 14.0 16.3 -0.1 1.1 -1.3 0.2 -0.4 -0.2 1.2 -6.6 -4.2 -0.9 -7.4 3.2 -2.3 -1.7 -2.1 -1.8 -1.9 0.1 -4.0 -2.1 -9.1 0.8 9.9 0.3 -2.1 -1.6 -1.1 -3.8 0.5 6.9 -1.3 -2.2 -3.6 2.3 -20.0 -11.1 -16.3 -6.8 PLAT 8.1 2.3 -2.0 1.6 -1.9 0.2 -0.5 -0.3 1.7 -8.7 -4.8 -3.1 -7.9 -0.6 -6.7 -4.2 -3.4 -4.1 -3.9 -1.3 -2.8 -3.1 -3.8 -1.0 9.8 -0.2 -2.6 -0.7 -1.8 -0.9 -0.3 4.1 -2.5 -8.1 -7.8 0.4 -14.1 -4.5 20.0 7.3 REDWHEAT 13.0 1.7 -8.0 2.7 -8.1 1.5 -2.9 -2.2 0.9 1.6 -17.0 7.8 -18.1 -4.8 -11.6 7.6 1.3 5.5 2.7 -10.4 -20.0 1.9 -20.0 -1.6 -8.2 -5.1 -0.9 -7.5 0.4 -8.0 -1.7 2.8 3.4 -0.3 -20.0 -20.0 -13.4 -20.0 -6.8 -20.0 RICE -20.0 -15.4 3.2 3.3 -9.7 1.8 -3.5 -2.6 1.1 -20.0 8.7 -20.0 15.0 -20.0 -6.6 -14.8 -4.5 -12.9 -10.6 -11.6 7.9 -20.0 15.1 -20.0 -19.6 -3.9 -19.7 0.6 -15.9 2.3 -10.0 -12.5 -20.0 -20.0 -14.5 -7.2 7.4 -3.6 16.1 6.6 ROBUSTA 9.8 0.0 20.0 2.6 -7.7 1.4 -2.8 -2.1 0.8 15.7 17.6 16.8 17.7 16.2 17.5 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 6.8 8.3 8.0 6.9 8.0 6.1 20.0 20.0 20.0 20.0 20.0 -20.0 -18.6 -9.9 2.1 RUSSELL -0.5 5.1 13.3 4.8 3.2 4.1 3.9 2.7 4.6 9.9 12.5 7.8 9.3 10.9 12.5 -6.5 -6.3 -6.5 -6.5 10.2 10.7 9.0 7.0 8.1 -1.9 4.8 6.3 5.2 4.1 3.8 3.7 -0.9 -11.3 -18.4 -19.6 -8.5 -14.5 -18.5 -15.0 -20.0 SHATZ 4.2 -20.0 -8.1 -1.1 2.2 -0.3 0.3 -0.9 -1.1 3.6 -6.6 -2.4 -6.9 -7.2 -7.9 -20.0 -20.0 -20.0 -20.0 -9.5 -7.8 -0.6 -7.9 -6.2 8.1 -2.3 1.1 -1.6 0.0 -1.5 -1.5 -20.0 1.2 -0.2 -9.2 -8.3 -20.0 -20.0 -8.4 -20.0 SILVER-mini 18.0 15.2 -0.2 2.4 -2.7 0.3 -0.8 -0.5 2.4 -12.0 3.2 6.7 -1.4 10.4 4.7 -6.6 -6.7 -6.8 -6.8 10.2 3.7 2.8 0.1 11.6 4.6 4.6 -1.4 2.4 1.6 1.0 4.8 -1.3 12.5 18.5 15.2 6.7 -15.8 -17.7 20.0 -0.5 SMI 13.5 17.7 19.8 7.8 5.2 6.6 6.4 4.4 7.5 15.3 20.0 17.8 13.8 20.0 20.0 0.3 5.3 5.3 6.0 20.0 20.0 18.4 13.2 20.0 16.2 8.3 4.6 6.8 5.2 3.9 7.4 19.9 -20.0 -6.5 -20.0 -8.5 12.3 -3.9 20.0 -7.0 SOFR 0.6 -11.3 2.0 -1.5 3.1 -0.4 0.4 -1.2 -1.6 7.9 3.5 -2.9 -0.3 -7.3 -6.4 -0.8 0.1 0.1 0.3 -3.3 -1.2 0.8 -2.1 -2.9 -2.8 -0.8 2.6 0.5 0.4 0.1 -1.2 3.1 -2.8 2.4 -0.5 1.2 -20.0 -20.0 1.0 -3.0 SOYBEAN 20.0 6.3 -18.9 3.0 -8.9 1.6 -3.2 -2.4 1.0 -10.6 -13.5 13.0 -5.5 11.6 -8.9 3.2 12.9 6.2 8.9 -3.7 -14.2 8.6 -13.1 9.8 -20.0 -0.7 -1.6 -3.7 3.5 -2.9 3.9 18.7 11.1 20.0 -5.8 -20.0 -8.7 -20.0 -7.9 -20.0 SOYMEAL 20.0 -6.3 -20.0 2.7 -8.0 1.4 -2.9 -2.1 0.9 1.8 -16.5 8.8 -12.5 -5.7 -14.8 -8.5 8.3 -3.8 1.9 -15.3 -20.0 4.4 -16.0 -1.0 -20.0 -4.4 -0.0 -6.3 1.7 -3.5 0.0 9.5 12.3 13.2 -18.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 20.0 12.8 -6.6 2.4 -7.2 1.3 -2.6 -1.9 0.8 -9.3 -13.1 8.0 -11.6 8.7 -2.0 -8.2 2.0 -6.4 -2.8 1.5 -9.3 5.9 -13.1 9.5 -20.0 2.7 -1.8 -0.6 2.9 -2.1 4.9 -0.6 8.2 20.0 12.2 -4.0 -16.6 -9.2 -11.0 5.5 SP400 6.9 14.2 20.0 6.1 4.0 5.1 4.9 3.4 5.8 13.6 18.1 14.8 15.0 16.7 18.2 -4.7 -5.3 -5.4 -5.4 20.0 20.0 20.0 16.6 20.0 -13.2 6.7 6.2 6.1 5.7 4.4 6.2 0.9 -5.0 0.2 -6.3 -0.5 -12.7 -9.1 -10.3 -20.0 SP500_micro 3.4 10.2 20.0 7.0 4.6 5.9 5.7 4.0 6.7 16.0 20.0 17.8 20.0 20.0 20.0 -13.2 -11.5 -13.1 -12.5 20.0 20.0 20.0 20.0 20.0 -20.0 8.2 3.7 9.0 4.6 8.0 6.1 -10.5 -8.3 -7.5 0.2 16.7 1.7 -3.2 13.6 -5.8 SUGAR11 5.1 -3.7 -11.0 2.4 -7.2 1.3 -2.6 -1.9 0.8 8.9 -7.0 7.9 4.8 -1.5 -4.1 9.7 17.5 13.5 16.1 -5.6 -7.6 4.9 -0.0 -0.2 -20.0 -3.2 3.6 -4.7 2.7 -0.0 0.2 20.0 12.9 -9.5 -7.3 -20.0 20.0 3.6 20.0 16.1 US10 1.0 -10.0 3.6 -1.3 2.7 -0.4 0.3 -1.1 -1.3 7.3 1.9 -2.3 -3.1 -6.6 -5.4 -7.4 -8.0 -8.2 -8.3 -2.9 -2.2 0.6 -5.7 -2.4 2.4 -0.6 2.0 0.1 0.3 -1.0 -0.9 -11.4 -0.8 2.7 0.0 1.9 -20.0 -20.0 -13.9 7.3 US10U 0.9 -9.0 3.4 -1.8 3.9 -0.5 0.5 -1.5 -1.9 9.9 2.3 -3.7 -4.4 -10.1 -8.3 -3.8 -0.4 -2.0 -0.9 -4.0 -3.4 0.6 -8.8 -3.4 -0.6 -0.6 2.9 0.2 0.4 -1.6 -1.2 1.7 -1.7 3.1 2.2 3.5 -20.0 -20.0 13.6 19.0 US2 -2.3 -18.8 -1.9 -1.1 2.3 -0.3 0.3 -0.9 -1.1 4.6 -3.3 -2.4 -6.5 -6.6 -6.7 -20.0 -20.0 -20.0 -20.0 -6.7 -5.4 -1.4 -8.2 -5.3 10.8 -1.8 0.5 -0.8 -0.4 -1.4 -1.7 -20.0 0.0 -1.2 -7.4 -2.1 -20.0 -20.0 -20.0 -20.0 US20 1.6 -5.9 6.5 -1.3 2.8 -0.4 0.4 -1.1 -1.4 6.9 3.3 -2.2 -1.7 -4.6 -3.5 0.1 -0.8 -0.0 -0.4 -0.7 -0.4 1.4 -5.1 -1.0 -1.3 0.6 2.9 1.1 0.8 -0.8 -0.1 1.7 -1.3 4.2 5.8 6.3 -20.0 -20.0 20.0 20.0 US30 -0.2 -3.9 4.9 -1.6 3.3 -0.5 0.4 -1.3 -1.6 7.4 2.6 -4.1 -3.5 -5.6 -5.4 -6.9 -6.0 -7.5 -7.0 -1.3 -1.3 0.9 -7.0 -1.6 -0.6 0.6 4.1 1.1 0.7 -1.5 -0.5 -8.4 -1.6 2.6 8.4 5.4 -14.5 -16.2 20.0 20.0 US5 0.2 -13.7 1.3 -1.3 2.6 -0.4 0.3 -1.0 -1.3 6.8 0.6 -2.0 -4.2 -6.8 -6.1 -9.3 -10.0 -9.4 -9.8 -4.6 -3.4 0.0 -6.0 -3.6 5.1 -1.2 1.5 -0.2 0.1 -0.9 -1.3 -14.6 -0.6 1.5 -3.3 0.1 -20.0 -20.0 -19.8 -7.2 VIX 3.2 6.3 -5.6 -8.1 -7.6 -11.1 -7.2 -15.3 -6.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -15.5 -20.0 -13.0 -20.0 -11.1 NaN -9.2 -9.0 -13.4 -8.3 -19.4 -7.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 10.8 -4.7 -5.5 2.9 -8.6 1.6 -3.1 -2.3 0.9 10.9 -17.2 13.8 -19.3 -5.0 -12.0 -16.2 -11.8 -14.1 -12.8 -12.2 -19.8 8.2 -20.0 -0.6 1.0 -5.0 2.3 -6.2 2.6 -6.1 -1.0 -20.0 20.0 -3.1 -20.0 -20.0 -10.0 -20.0 -6.0 -20.0 End of report for caleb_strategy_v3