******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240328_204010 produced at 2024-03-28 21:37:25.237790 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -9.71 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 -70.89 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.29 0.0 0.00 0.00 0.00 0.00 -9.04 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.27 0.0 0.00 0.00 0.00 0.00 -4.73 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.39 -0.18 0.0 0.51 -0.51 -0.39 -0.39 -4.60 13.0 -10 -10 caleb_strategy_v3 JPY False False 0.02 0.00 -0.11 0.0 0.40 -0.40 0.00 -0.05 -4.72 17.0 0 -2 caleb_strategy_v3 US5 False False 0.03 -0.27 -0.08 0.0 0.76 -0.76 -0.27 -0.27 -2.74 25.0 -9 -9 caleb_strategy_v3 CAD False False 0.02 0.00 -0.08 0.0 0.60 -0.60 0.00 0.00 -4.00 29.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.08 0.0 0.08 -0.08 -0.07 -0.07 -11.97 12.0 -11 -11 caleb_strategy_v3 BOBL False False 0.04 -0.54 -0.06 0.0 0.69 -0.69 -0.54 -0.54 -1.64 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 -44.03 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 -6.80 4.0 0 0 caleb_strategy_v3 EUR False False 0.04 0.00 -0.05 0.0 0.53 -0.53 0.00 0.00 -1.21 14.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.05 -0.05 0.00 0.00 -5.77 5.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.05 0.0 0.35 -0.35 0.00 -0.02 -3.25 21.0 0 -1 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.05 0.0 0.35 -0.35 -0.02 -0.02 -2.89 19.0 -1 -1 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.14 -0.14 -0.02 -0.02 -17.53 51.0 -6 -6 caleb_strategy_v3 US10 False False 0.03 0.00 -0.04 0.0 0.53 -0.53 0.00 0.00 -1.27 17.0 0 0 caleb_strategy_v3 OATIES False True 0.00 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -8.01 2.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.07 -0.03 0.0 0.29 -0.29 0.07 0.04 -0.86 8.0 2 1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.07 -0.07 -0.02 -0.02 -2.02 8.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.25 9.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.08 -0.08 -0.03 -0.03 -2.61 9.0 -4 -4 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 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.08 -0.08 -0.03 -0.03 -0.87 10.0 -4 -4 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.12 -0.12 -0.02 -0.02 -0.80 7.0 -1 -1 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.01 0.0 0.01 -0.01 0.00 0.00 -1.42 3.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.01 0.0 0.14 -0.14 -0.03 -0.03 -0.53 11.0 -2 -2 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.01 0.0 0.41 -0.41 -0.04 -0.04 -0.13 10.0 -1 -1 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.01 0.0 0.37 -0.37 -0.01 -0.01 -1.59 66.0 -2 -1 caleb_strategy_v3 GBP False False 0.02 0.02 -0.01 0.0 0.49 -0.49 0.02 0.00 -0.61 22.0 1 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.01 0.0 0.21 -0.21 -0.01 -0.00 -3.90 68.0 -2 -1 caleb_strategy_v3 US10U False False 0.03 -0.03 -0.01 0.0 0.42 -0.42 -0.03 -0.03 -0.32 13.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.62 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 0.08 9.0 1 1 caleb_strategy_v3 COFFEE False False 0.02 0.00 0.00 0.0 0.12 -0.12 0.00 0.00 0.14 6.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.22 -0.22 0.00 0.00 -0.08 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 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 PALLAD False False 0.03 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.07 2.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.81 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 1.71 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 1.31 0.0 0 0 caleb_strategy_v3 COCOA False False 0.03 0.08 0.03 0.0 0.68 -0.68 0.08 0.10 1.11 26.0 3 4 caleb_strategy_v3 SP400 False False 0.09 0.17 0.03 0.0 0.17 -0.17 0.17 0.17 0.32 2.0 2 2 caleb_strategy_v3 SP500_micro False False 0.01 0.16 0.03 0.0 0.36 -0.36 0.16 0.22 4.15 48.0 21 29 caleb_strategy_v3 HEATOIL False False 0.03 0.06 0.03 0.0 0.09 -0.09 0.06 0.06 0.93 3.0 2 2 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.04 0.0 0.00 0.00 0.00 0.00 21.52 59.0 0 0 caleb_strategy_v3 OAT False False 0.04 0.00 0.04 0.0 0.39 -0.39 0.00 0.00 0.98 10.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.05 0.04 0.0 0.09 -0.09 0.05 0.05 1.93 4.0 2 2 caleb_strategy_v3 COPPER False False 0.03 0.14 0.05 0.0 0.17 -0.17 0.14 0.14 1.77 6.0 5 5 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.05 0.0 0.35 -0.35 0.00 0.00 7.37 56.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.05 0.0 0.35 -0.35 0.00 0.04 2.67 17.0 0 2 caleb_strategy_v3 BTP False False 0.04 0.22 0.06 0.0 0.36 -0.36 0.22 0.22 1.77 10.0 6 6 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.07 0.0 0.15 -0.15 0.07 0.07 6.49 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 2.31 4.0 4 4 caleb_strategy_v3 DX False False 0.03 0.00 0.12 0.0 999.00 -999.00 0.00 0.00 3.92 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 5.57 12.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.29 0.16 0.0 0.31 -0.31 0.29 0.31 10.28 20.0 19 20 caleb_strategy_v3 NIKKEI False False 0.01 0.23 0.17 0.0 0.27 -0.27 0.23 0.25 23.15 36.0 30 33 caleb_strategy_v3 SMI False False 0.04 0.29 0.19 0.0 0.33 -0.33 0.29 0.33 5.16 9.0 8 9 caleb_strategy_v3 DAX False False 0.01 0.14 0.21 0.0 0.33 -0.33 0.14 0.15 36.78 58.0 24 27 caleb_strategy_v3 CRUDE_W False False 0.02 0.09 0.28 0.0 0.11 -0.11 0.09 0.09 12.89 5.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.07 0.00 0.31 0.0 0.75 -0.75 0.00 0.15 4.10 10.0 0 2 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.14 0.40 0.0 0.44 -0.44 0.14 0.14 14.59 16.0 5 5 caleb_strategy_v3 MXP False False 0.01 0.50 0.86 0.0 0.50 -0.50 0.50 0.50 102.05 60.0 60 59 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 25.4 Shocked risk 91.8 Sum abs risk 64.8 Leverage 6.30 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3541476.7, 'annual_cash_vol_target': 885369.175, 'daily_cash_vol_target': 55335.5734375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0036 0.6529 0.5587 8.9395 BITCOIN 2026.2104 71525.0000 2.8329 45.3259 BOBL 0.2471 118.1700 0.2091 3.3462 BTP 0.5403 118.8100 0.4548 7.2763 BUND 0.4882 133.2300 0.3664 5.8629 BUXL 1.1583 135.4200 0.8553 13.6849 CAC 42.3590 8239.0000 0.5141 8.2261 CAD 0.0027 0.7388 0.3718 5.9490 CANOLA 7.2962 637.9000 1.1438 18.3005 CHF 0.0050 1.1182 0.4469 7.1500 COCOA 167.3699 9279.0000 1.8037 28.8600 COFFEE 2.8653 187.6000 1.5273 24.4376 COPPER 0.0402 4.0395 0.9946 15.9135 CORN 4.5000 462.2500 0.9735 15.5760 COTTON2 1.4781 92.0800 1.6052 25.6839 CRUDE_W 0.8265 77.6200 1.0648 17.0368 DAX 94.7540 18786.0000 0.5044 8.0702 DOW 226.1599 40169.0000 0.5630 9.0083 DX 0.3248 104.2850 0.3114 4.9829 EUR 0.0043 1.0819 0.3956 6.3289 EURIBOR-ICE 0.0468 97.6550 0.0480 0.7672 EUROSTX 30.2783 5049.0000 0.5997 9.5950 FEEDCOW 1.8757 259.0500 0.7241 11.5848 GASOIL 11.6404 804.0000 1.4478 23.1651 GASOLINE 0.0344 2.6427 1.3032 20.8506 GAS_US_mini 0.0781 1.9900 3.9251 62.8008 GBP 0.0057 1.2623 0.4502 7.2029 GOLD_micro 14.1942 2241.7000 0.6332 10.1310 HEATOIL 0.0365 2.6122 1.3955 22.3286 JGB-SGX-mini 0.2149 145.8100 0.1474 2.3576 JPY 0.0000 0.0067 0.5504 8.8060 LEANHOG 1.0267 101.4000 1.0126 16.2010 LIVECOW 1.3275 180.5500 0.7353 11.7643 LUMBER-new 6.3663 606.5000 1.0497 16.7948 MILK 0.2055 16.6800 1.2319 19.7105 MXP 0.0003 0.0594 0.5357 8.5705 NASDAQ_micro 130.1845 18468.5000 0.7049 11.2784 NIKKEI 356.0031 40360.0000 0.8821 14.1131 NZD 0.0035 0.5972 0.5929 9.4858 OAT 0.4698 128.0100 0.3670 5.8718 OATIES 4.9408 351.7500 1.4046 22.4743 OJ 6.3636 355.0000 1.7926 28.6812 PALLAD 27.0769 1022.0000 2.6494 42.3905 PLAT 14.6890 921.8000 1.5935 25.4962 REDWHEAT 9.3340 581.5000 1.6052 25.6827 RICE 0.1545 16.6700 0.9268 14.8291 ROBUSTA 44.8911 3389.0000 1.3246 21.1938 RUSSELL 22.2287 2146.7000 1.0355 16.5677 SHATZ 0.0816 105.6700 0.0772 1.2358 SILVER-mini 0.3694 25.2250 1.4646 23.4338 SMI 63.1056 11650.0000 0.5417 8.6669 SOFR 0.0603 96.4050 0.0625 1.0002 SOYBEAN 10.4427 1183.5000 0.8824 14.1178 SOYMEAL 3.9992 340.9000 1.1731 18.7702 SOYOIL 0.6840 48.6800 1.4050 22.4801 SP400 22.9712 3077.1000 0.7465 11.9443 SP500_micro 28.4348 5307.0000 0.5358 8.5728 SUGAR11 0.3138 22.1400 1.4175 22.6798 US10 0.3656 110.7188 0.3302 5.2832 US10U 0.4924 114.4844 0.4301 6.8810 US2 0.1016 102.2188 0.0994 1.5902 US20 0.7261 120.2500 0.6039 9.6619 US30 1.0970 128.6250 0.8529 13.6464 US5 0.2426 106.9531 0.2268 3.6288 VIX 0.3854 16.0000 2.4084 38.5351 WHEAT 8.2260 613.2500 1.3414 21.4620 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 652.90 0.56 364.79 1.00 364.79 55335.57 151.69 -7.33 -111.21 BITCOIN 71.53 2.83 202.62 1.00 202.62 55335.57 273.10 7.28 198.69 BOBL 1181.70 0.21 247.14 1.08 267.65 55335.57 206.75 -7.82 -161.71 BTP 1188.10 0.45 540.31 1.08 585.16 55335.57 94.56 5.48 51.82 BUND 1332.30 0.37 488.20 1.08 528.72 55335.57 104.66 -1.23 -12.87 BUXL 1354.20 0.86 1158.26 1.08 1254.39 55335.57 44.11 -1.68 -7.40 CAC 823.90 0.51 423.59 1.08 458.75 55335.57 120.62 13.54 163.30 CAD 738.80 0.37 274.70 1.00 274.70 55335.57 201.44 -7.65 -154.15 CANOLA 127.58 1.14 145.92 0.74 107.32 55335.57 515.59 -13.98 -720.68 CHF 1397.69 0.45 624.59 1.00 624.59 55335.57 88.59 -20.00 -177.19 COCOA 927.90 1.80 1673.70 1.00 1673.70 55335.57 33.06 15.73 52.00 COFFEE 703.50 1.53 1074.49 1.00 1074.49 55335.57 51.50 2.28 11.74 COPPER 1009.88 0.99 1004.41 1.00 1004.41 55335.57 55.09 2.97 16.34 CORN 231.12 0.97 225.00 1.00 225.00 55335.57 245.94 -20.00 -491.87 COTTON2 460.40 1.61 739.05 1.00 739.05 55335.57 74.87 -3.34 -24.98 CRUDE_W 776.20 1.06 826.50 1.00 826.50 55335.57 66.95 17.78 119.06 DAX 187.86 0.50 94.75 1.08 102.62 55335.57 539.24 20.00 1078.47 DOW 200.84 0.56 113.08 1.00 113.08 55335.57 489.35 -1.40 -68.51 DX 1042.85 0.31 324.78 1.00 324.78 55335.57 170.38 8.86 150.94 EUR 1352.38 0.40 534.94 1.00 534.94 55335.57 103.44 -4.49 -46.47 EURIBOR-ICE 2441.38 0.05 117.07 1.08 126.78 55335.57 436.46 2.75 120.13 EUROSTX 504.90 0.60 302.78 1.08 327.91 55335.57 168.75 17.86 301.41 FEEDCOW 1295.25 0.72 937.83 1.00 937.83 55335.57 59.00 -4.40 -25.95 GASOIL 804.00 1.45 1164.04 1.00 1164.04 55335.57 47.54 9.38 44.58 GASOLINE 1109.93 1.30 1446.43 1.00 1446.43 55335.57 38.26 13.91 53.21 GAS_US_mini 49.75 3.93 195.27 1.00 195.27 55335.57 283.38 -14.35 -406.60 GBP 788.94 0.45 355.16 1.00 355.16 55335.57 155.80 -1.52 -23.67 GOLD_micro 224.17 0.63 141.94 1.00 141.94 55335.57 389.85 5.55 216.21 HEATOIL 1097.12 1.40 1531.08 1.00 1531.08 55335.57 36.14 5.93 21.44 JGB-SGX-mini 145810.00 0.15 21485.47 0.01 141.62 55335.57 390.73 3.45 134.78 JPY 835.69 0.55 459.94 1.00 459.94 55335.57 120.31 -15.12 -181.89 LEANHOG 405.60 1.01 410.69 1.00 410.69 55335.57 134.74 7.93 106.86 LIVECOW 722.20 0.74 531.01 1.00 531.01 55335.57 104.21 7.74 80.67 LUMBER-new 166.79 1.05 175.07 1.00 175.07 55335.57 316.07 -2.10 -66.32 MILK 333.60 1.23 410.96 1.00 410.96 55335.57 134.65 -20.00 -269.30 MXP 297.15 0.54 159.17 1.00 159.17 55335.57 347.65 20.00 695.30 NASDAQ_micro 369.37 0.70 260.37 1.00 260.37 55335.57 212.53 -1.91 -40.68 NIKKEI 40360.00 0.88 35600.31 0.01 234.66 55335.57 235.82 9.06 213.76 NZD 597.20 0.59 354.06 1.00 354.06 55335.57 156.29 -8.02 -125.42 OAT 1280.10 0.37 469.78 1.08 508.77 55335.57 108.76 2.64 28.72 OATIES 175.88 1.40 247.04 1.00 247.04 55335.57 223.99 -14.71 -329.40 OJ 532.50 1.79 954.55 1.00 954.55 55335.57 57.97 6.50 37.69 PALLAD 1022.00 2.65 2707.69 1.00 2707.69 55335.57 20.44 -0.95 -1.94 PLAT 460.90 1.59 734.45 1.00 734.45 55335.57 75.34 0.96 7.27 REDWHEAT 290.75 1.61 466.70 1.00 466.70 55335.57 118.57 -12.83 -152.13 RICE 333.40 0.93 309.00 1.00 309.00 55335.57 179.08 -15.61 -279.50 ROBUSTA 338.90 1.32 448.91 1.00 448.91 55335.57 123.27 11.85 146.04 RUSSELL 107.34 1.04 111.14 1.00 111.14 55335.57 497.87 -2.36 -117.69 SHATZ 1056.70 0.08 81.62 1.08 88.39 55335.57 626.02 -14.24 -891.19 SILVER-mini 630.62 1.46 923.62 1.00 923.62 55335.57 59.91 6.41 38.43 SMI 1165.00 0.54 631.06 1.11 697.60 55335.57 79.32 19.07 151.27 SOFR 2410.12 0.06 150.67 1.00 150.67 55335.57 367.26 -4.35 -159.73 SOYBEAN 591.75 0.88 522.14 1.00 522.14 55335.57 105.98 -8.12 -86.09 SOYMEAL 340.90 1.17 399.92 1.00 399.92 55335.57 138.37 -17.51 -242.24 SOYOIL 292.08 1.41 410.37 1.00 410.37 55335.57 134.84 -6.97 -93.94 SP400 3077.10 0.75 2297.12 1.00 2297.12 55335.57 24.09 4.06 9.79 SP500_micro 265.35 0.54 142.17 1.00 142.17 55335.57 389.21 4.59 178.69 SUGAR11 247.97 1.42 351.49 1.00 351.49 55335.57 157.43 1.84 28.94 US10 1107.19 0.33 365.60 1.00 365.60 55335.57 151.36 -6.64 -100.56 US10U 1144.84 0.43 492.36 1.00 492.36 55335.57 112.39 -2.27 -25.49 US2 2044.38 0.10 203.18 1.00 203.18 55335.57 272.34 -13.69 -372.89 US20 1202.50 0.60 726.15 1.00 726.15 55335.57 76.20 0.83 6.32 US30 1286.25 0.85 1097.04 1.00 1097.04 55335.57 50.44 -1.18 -5.97 US5 1069.53 0.23 242.57 1.00 242.57 55335.57 228.12 -9.47 -216.01 VIX 160.00 2.41 385.35 1.00 385.35 55335.57 143.60 -20.00 -287.20 WHEAT 306.62 1.34 411.30 1.00 411.30 55335.57 134.54 -14.62 -196.74 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -111.207 0.010 2.5 -2.885 BITCOIN 198.690 0.043 2.5 21.516 BOBL -161.709 0.004 2.5 -1.640 BTP 51.821 0.014 2.5 1.768 BUND -12.868 0.004 2.5 -0.130 BUXL -7.399 0.004 2.5 -0.075 CAC 163.305 0.014 2.5 5.570 CAD -154.152 0.010 2.5 -4.000 CANOLA -720.676 0.010 2.5 -17.533 CHF -177.189 0.010 2.5 -4.597 COCOA 52.004 0.009 2.5 1.114 COFFEE 11.740 0.005 2.5 0.137 COPPER 16.336 0.043 2.5 1.769 CORN -491.871 0.010 2.5 -11.967 COTTON2 -24.977 0.009 2.5 -0.535 CRUDE_W 119.065 0.043 2.5 12.893 DAX 1078.471 0.014 2.5 36.785 DOW -68.511 0.009 2.5 -1.592 DX 150.937 0.010 2.5 3.916 EUR -46.473 0.010 2.5 -1.206 EURIBOR-ICE 120.129 0.014 2.5 4.097 EUROSTX 301.407 0.014 2.5 10.281 FEEDCOW -25.954 0.013 2.5 -0.860 GASOIL 44.578 0.017 2.5 1.932 GASOLINE 53.208 0.017 2.5 2.306 GAS_US_mini -406.601 0.043 2.5 -44.030 GBP -23.672 0.010 2.5 -0.614 GOLD_micro 216.205 0.014 2.5 7.374 HEATOIL 21.436 0.017 2.5 0.929 JGB-SGX-mini 134.776 0.043 2.5 14.595 JPY -181.892 0.010 2.5 -4.719 LEANHOG 106.858 0.024 2.5 6.494 LIVECOW 80.671 0.013 2.5 2.673 LUMBER-new -66.323 0.009 2.5 -1.419 MILK -269.296 0.009 2.5 -5.768 MXP 695.299 0.059 2.5 102.051 NASDAQ_micro -40.676 0.009 2.5 -0.945 NIKKEI 213.758 0.043 2.5 23.147 NZD -125.421 0.010 2.5 -3.254 OAT 28.725 0.014 2.5 0.980 OATIES -329.400 0.010 2.5 -8.014 OJ 37.694 0.009 2.5 0.807 PALLAD -1.945 0.014 2.5 -0.066 PLAT 7.268 0.014 2.5 0.248 REDWHEAT -152.134 0.005 2.5 -2.018 RICE -279.504 0.010 2.5 -6.800 ROBUSTA 146.036 0.005 2.5 1.705 RUSSELL -117.690 0.013 2.5 -3.900 SHATZ -891.194 0.004 2.5 -9.037 SILVER-mini 38.432 0.014 2.5 1.311 SMI 151.272 0.014 2.5 5.160 SOFR -159.727 0.024 2.5 -9.707 SOYBEAN -86.086 0.004 2.5 -0.801 SOYMEAL -242.239 0.004 2.5 -2.253 SOYOIL -93.941 0.004 2.5 -0.874 SP400 9.789 0.013 2.5 0.324 SP500_micro 178.686 0.009 2.5 4.153 SUGAR11 28.936 0.009 2.5 0.615 US10 -100.555 0.005 2.5 -1.274 US10U -25.486 0.005 2.5 -0.323 US2 -372.894 0.005 2.5 -4.725 US20 6.316 0.005 2.5 0.080 US30 -5.972 0.005 2.5 -0.076 US5 -216.011 0.005 2.5 -2.737 VIX -287.196 0.099 2.5 -70.892 WHEAT -196.738 0.005 2.5 -2.610 ===================== Position diags ===================== AUD 3.94 BITCOIN 29.57 BOBL 2.10 BTP 3.23 BUND 1.06 BUXL 0.45 CAC 4.11 CAD 5.23 CANOLA 12.54 CHF 2.30 COCOA 0.71 COFFEE 0.60 COPPER 5.97 CORN 5.98 COTTON2 1.60 CRUDE_W 7.25 DAX 18.39 DOW 11.37 DX 4.42 EUR 2.68 EURIBOR-ICE 14.89 EUROSTX 5.76 FEEDCOW 1.96 GASOIL 2.06 GASOLINE 1.66 GAS_US_mini 30.69 GBP 4.04 GOLD_micro 13.30 HEATOIL 1.57 JGB-SGX-mini 42.31 JPY 3.12 LEANHOG 8.19 LIVECOW 3.45 LUMBER-new 6.76 MILK 2.88 MXP 51.03 NASDAQ_micro 4.94 NIKKEI 25.54 NZD 4.06 OAT 3.71 OATIES 5.45 OJ 1.24 PALLAD 0.70 PLAT 2.57 REDWHEAT 1.57 RICE 4.36 ROBUSTA 1.44 RUSSELL 16.50 SHATZ 6.35 SILVER-mini 2.04 SMI 2.71 SOFR 22.32 SOYBEAN 0.99 SOYMEAL 1.29 SOYOIL 1.26 SP400 0.80 SP500_micro 9.05 SUGAR11 3.35 US10 1.92 US10U 1.42 US2 3.45 US20 0.97 US30 0.64 US5 2.89 VIX 35.45 WHEAT 1.78 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.9 -3.3 -2.5 -1.0 -1 BITCOIN 21.5 18.6 24.5 0.0 0 BOBL -1.6 -1.8 -1.4 -15.0 -15 BTP 1.8 1.4 2.1 6.0 6 BUND -0.1 -0.2 -0.0 -1.0 -1 BUXL -0.1 -0.1 -0.0 0.0 0 CAC 5.6 5.2 6.0 0.0 0 CAD -4.0 -4.5 -3.5 0.0 0 CANOLA -17.5 -18.8 -16.3 -6.0 -6 CHF -4.6 -4.8 -4.4 -10.0 -10 COCOA 1.1 1.0 1.2 3.0 3 COFFEE 0.1 0.1 0.2 0.0 0 COPPER 1.8 1.2 2.4 5.0 5 CORN -12.0 -12.6 -11.4 -11.0 -11 COTTON2 -0.5 -0.7 -0.4 -2.0 -2 CRUDE_W 12.9 12.2 13.6 4.0 4 DAX 36.8 34.9 38.6 24.0 24 DOW -1.6 -2.7 -0.5 -2.0 -2 DX 3.9 3.5 4.4 NaN 0 EUR -1.2 -1.5 -0.9 0.0 0 EURIBOR-ICE 4.1 2.6 5.6 0.0 0 EUROSTX 10.3 9.7 10.9 19.0 19 FEEDCOW -0.9 -1.1 -0.7 2.0 2 GASOIL 1.9 1.7 2.1 2.0 2 GASOLINE 2.3 2.1 2.5 4.0 4 GAS_US_mini -44.0 -47.1 -41.0 -19.0 -19 GBP -0.6 -1.0 -0.2 1.0 1 GOLD_micro 7.4 6.0 8.7 0.0 0 HEATOIL 0.9 0.8 1.1 2.0 2 JGB-SGX-mini 14.6 10.4 18.8 5.0 5 JPY -4.7 -5.0 -4.4 0.0 0 LEANHOG 6.5 5.7 7.3 6.0 6 LIVECOW 2.7 2.3 3.0 0.0 0 LUMBER-new -1.4 -2.1 -0.7 NaN 0 MILK -5.8 -6.1 -5.5 NaN 0 MXP 102.1 96.9 107.2 60.0 60 NASDAQ_micro -0.9 -1.4 -0.5 0.0 0 NIKKEI 23.1 20.6 25.7 30.0 30 NZD -3.3 -3.7 -2.8 0.0 0 OAT 1.0 0.6 1.4 0.0 0 OATIES -8.0 -8.6 -7.5 NaN 0 OJ 0.8 0.7 0.9 NaN 0 PALLAD -0.1 -0.1 0.0 0.0 0 PLAT 0.2 -0.0 0.5 0.0 0 REDWHEAT -2.0 -2.2 -1.9 -2.0 -2 RICE -6.8 -7.2 -6.4 NaN 0 ROBUSTA 1.7 1.6 1.8 0.0 0 RUSSELL -3.9 -5.5 -2.3 -2.0 -2 SHATZ -9.0 -9.7 -8.4 NaN 0 SILVER-mini 1.3 1.1 1.5 NaN 0 SMI 5.2 4.9 5.4 8.0 8 SOFR -9.7 -11.9 -7.5 NaN 0 SOYBEAN -0.8 -0.9 -0.7 -1.0 -1 SOYMEAL -2.3 -2.4 -2.1 0.0 0 SOYOIL -0.9 -1.0 -0.7 -4.0 -4 SP400 0.3 0.2 0.4 2.0 2 SP500_micro 4.2 3.2 5.1 21.0 21 SUGAR11 0.6 0.3 1.0 0.0 0 US10 -1.3 -1.5 -1.1 0.0 0 US10U -0.3 -0.5 -0.2 -1.0 -1 US2 -4.7 -5.1 -4.4 NaN 0 US20 0.1 -0.0 0.2 1.0 1 US30 -0.1 -0.1 -0.0 0.0 0 US5 -2.7 -3.0 -2.4 -9.0 -9 VIX -70.9 -74.4 -67.3 -17.0 -17 WHEAT -2.6 -2.8 -2.4 -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 0.1 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.2 -0.1 -0.1 -0.4 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.2 -0.1 0.4 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 0.0 -0.0 -0.2 -0.7 -0.4 -0.5 -0.1 BITCOIN -0.1 0.4 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.5 0.1 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.1 -0.2 0.2 0.6 0.6 0.6 -0.2 0.0 0.6 0.1 BOBL 0.2 -0.5 -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 0.2 -0.1 -0.2 -0.7 -0.7 0.2 -0.7 BTP 0.2 -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 -0.2 0.6 0.6 0.4 -0.3 -0.5 0.7 0.1 BUND 0.1 -0.3 0.0 -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 0.0 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 0.1 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 0.0 0.1 -0.1 0.0 -0.0 0.0 0.1 0.0 0.1 -0.0 0.0 0.0 0.2 0.3 0.3 0.0 -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 0.2 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 0.5 -0.5 -0.2 0.1 -0.0 -0.2 0.4 -0.1 0.6 CAD -0.0 -0.2 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.0 -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 -0.0 -0.1 -0.1 0.0 0.2 -0.1 -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 -0.5 0.1 -2.7 0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.8 0.4 0.6 0.1 -0.6 -0.7 -0.7 -0.6 -0.2 CHF -0.3 -0.6 -0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -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 -0.5 COCOA 0.6 0.4 -0.3 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 0.3 0.1 0.3 0.1 0.1 0.4 0.3 0.4 0.4 0.2 0.2 0.2 0.4 0.2 -1.9 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 0.3 0.0 -0.1 0.0 -0.1 -0.1 -0.0 0.1 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 0.1 0.8 0.5 0.4 0.1 0.2 -0.3 -0.7 0.0 -0.4 COPPER 0.5 0.5 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.3 0.1 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.0 0.1 0.2 -1.9 0.1 -0.0 0.1 0.0 0.0 0.1 0.1 0.2 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 -0.1 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 -0.0 -0.5 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 0.1 0.1 0.1 0.2 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 0.1 0.2 0.1 0.2 0.1 -0.1 0.3 0.3 0.2 -0.0 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 0.5 0.6 0.4 0.1 -0.2 0.4 0.1 0.7 DOW -0.1 -0.1 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 0.2 0.5 0.2 -1.9 0.1 0.1 0.3 0.1 0.3 0.1 -0.5 0.0 -0.6 -0.6 0.0 -0.2 -0.2 0.1 -0.5 DX 0.1 0.1 0.1 -0.0 -0.0 0.0 -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 0.1 0.2 0.1 0.2 -2.7 0.0 0.1 0.0 0.1 0.1 0.1 0.8 0.5 0.4 0.6 -0.1 0.6 0.1 0.7 0.3 EUR 0.0 0.0 -0.1 -0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.2 -0.0 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 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 -0.5 0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.0 -0.1 -0.1 -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 0.2 -0.0 0.0 -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 0.0 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 0.4 0.3 -0.4 0.5 -0.4 0.7 FEEDCOW -0.6 0.2 0.5 0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 0.1 -0.2 0.1 -0.1 0.2 -0.4 -0.4 -0.4 -0.4 0.1 0.1 -0.2 0.2 -0.2 -1.0 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 -0.0 0.6 0.7 0.6 0.7 0.7 GASOIL 0.1 0.2 0.2 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 0.0 1.1 -0.1 -0.3 -0.1 0.1 -0.4 -0.3 -0.7 -0.5 GASOLINE 0.4 0.5 0.3 0.1 0.0 0.1 0.0 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 0.1 0.2 0.1 -0.4 0.1 0.1 0.6 0.4 0.7 0.6 0.7 0.6 GAS_US_mini -0.0 -0.0 -0.3 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 -0.3 -0.1 -0.5 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.1 -0.5 -0.1 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 -0.1 -0.0 0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.1 0.3 -0.2 0.3 -0.1 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 -0.0 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 0.2 0.5 0.2 0.5 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.2 0.4 0.2 -0.5 0.1 0.1 0.1 0.1 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 -0.1 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 0.0 1.1 -0.4 -0.4 -0.1 0.1 0.7 0.2 0.5 0.1 JGB-SGX-mini -0.1 -0.2 0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 0.1 0.0 0.2 -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 -0.0 0.2 0.0 -0.3 -0.6 0.0 0.3 JPY 0.1 -0.3 -0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.4 -0.2 -0.6 -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 -0.3 -0.4 -0.3 -0.7 -0.4 -0.6 -0.4 LEANHOG -0.2 0.6 0.6 0.0 -0.1 0.1 -0.1 -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 0.3 0.6 0.6 -0.2 -0.3 0.2 0.4 LIVECOW -0.5 0.5 0.4 0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 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 -0.5 0.6 0.6 0.7 0.3 0.7 0.7 LUMBER-new 0.0 0.3 0.5 0.0 -0.1 0.1 -0.1 -0.1 -0.0 -0.2 0.5 -0.1 -0.4 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 -0.1 0.1 0.1 NaN 0.1 -0.1 0.2 -0.1 0.2 0.0 -1.2 -0.5 0.6 0.7 0.7 -0.4 -0.6 -0.3 -0.4 MILK -0.5 -0.2 0.3 0.0 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 -0.4 -0.2 -0.5 -0.2 -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 -0.1 -0.2 -0.1 -1.1 -0.4 -0.6 -0.5 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.3 0.3 0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.0 0.1 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 -0.5 0.2 0.2 -0.1 0.4 -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 0.4 -0.4 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 -0.2 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.2 0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -0.5 -0.6 -0.2 -0.2 -0.3 -0.3 -0.1 0.2 OAT 0.1 -0.3 0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.1 -0.0 0.0 -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 -0.1 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 -0.5 -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 -0.3 -0.5 -0.2 -0.2 -0.4 0.0 -0.1 0.5 OJ -0.2 0.2 -0.6 0.0 -0.1 0.0 -0.0 -0.1 -0.0 0.0 0.2 0.0 0.4 0.1 0.1 0.1 0.3 0.1 0.2 0.1 0.1 0.0 0.5 0.0 -2.7 0.0 -0.0 0.2 0.0 0.5 0.0 1.1 0.2 -0.1 0.5 -0.3 0.4 0.3 0.6 0.7 PALLAD 0.3 0.6 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.2 0.0 1.3 0.0 0.0 -0.0 -0.0 -0.1 0.0 0.4 -0.1 -0.1 -0.1 0.1 -0.7 -0.4 -0.6 -0.2 PLAT 0.2 0.1 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.3 -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 -0.2 -0.3 0.0 -0.5 -0.1 0.7 0.2 REDWHEAT 0.5 0.1 -0.2 0.0 -0.1 0.0 -0.0 -0.1 -0.0 0.1 -0.5 0.1 -0.7 -0.0 -0.1 0.1 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 0.3 0.0 -0.6 -0.6 -0.4 -0.7 -0.2 -0.7 RICE -0.6 -0.6 0.1 0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.2 0.2 -0.2 0.5 -0.2 -0.1 -0.3 -0.1 -0.3 -0.2 -0.2 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 -0.6 -0.3 0.2 -0.1 0.5 0.2 ROBUSTA 0.3 -0.1 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 0.0 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 0.3 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 0.1 0.1 0.0 -0.0 -0.0 -0.5 -0.6 -0.3 -0.5 -0.6 -0.5 -0.7 SHATZ 0.2 -0.6 -0.3 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.2 -0.0 -0.3 -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 0.5 0.5 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 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 0.1 0.6 0.1 0.0 0.1 0.0 0.0 0.1 -0.1 0.2 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 0.2 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 -0.1 -0.6 -0.3 0.4 -0.1 0.7 -0.2 SOFR -0.0 -0.3 0.0 -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 -0.0 0.1 -0.0 0.0 -0.7 -0.7 0.0 -0.1 SOYBEAN 0.6 0.2 -0.6 0.0 -0.1 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 -0.5 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 0.2 0.5 -0.5 -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 -0.3 0.1 -0.4 0.1 -0.0 -0.2 0.0 -0.1 -0.1 0.0 -0.1 0.0 -0.3 0.1 -2.7 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.1 0.6 0.5 -0.1 -0.6 -0.3 -0.4 0.2 SP400 0.2 0.6 0.6 0.1 0.0 0.1 0.0 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 0.5 0.2 -1.8 0.1 0.1 0.2 0.1 0.2 0.1 0.0 0.2 0.1 -0.2 -0.0 -0.4 -0.3 -0.3 -0.7 SP500_micro 0.1 0.5 0.6 0.1 0.0 0.2 0.1 0.1 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 -2.7 0.1 0.0 0.2 0.0 0.3 0.1 -0.6 -0.1 -0.2 -0.0 0.6 0.0 -0.1 0.4 -0.2 SUGAR11 0.2 -0.1 -0.3 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 0.3 0.3 0.3 -0.1 -0.1 0.1 0.0 0.0 -2.7 -0.0 0.1 -0.1 0.0 -0.0 0.0 1.1 0.4 -0.1 -0.2 -0.6 0.7 0.1 0.7 0.6 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 0.0 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 1.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.1 -0.1 -0.1 -0.3 -0.1 -0.7 -0.7 -0.7 -0.7 US20 0.0 -0.2 0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 0.1 -0.0 -0.1 -0.0 -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 0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 0.1 -0.0 -0.1 -0.0 -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 0.0 0.0 -0.0 -0.2 -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 -0.1 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 0.5 -0.1 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.0 0.1 -0.5 0.2 -0.7 -0.0 -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 0.0 -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 3.0 -2.1 -1.5 -0.9 -4.8 1.5 -4.6 3.3 -2.7 -17.1 -4.1 -13.5 -10.8 -1.7 -12.2 -2.8 -2.9 -2.8 -2.8 -4.1 -3.2 -8.6 -5.7 -5.5 2.9 -2.3 -6.5 -1.5 -5.5 -2.3 -3.4 -1.1 -5.6 1.2 -0.6 -6.1 -20.0 -10.9 -13.5 -1.6 BITCOIN -3.4 13.3 7.8 2.9 1.0 0.5 0.6 -0.5 3.2 12.4 18.8 5.9 18.8 14.8 16.8 -9.7 -7.4 -9.3 -8.6 20.0 20.0 13.9 20.0 20.0 -20.0 7.0 2.2 6.7 2.6 5.2 5.1 -3.3 8.4 20.0 20.0 20.0 -6.3 0.4 17.5 4.1 BOBL 4.9 -16.1 -3.4 -1.2 2.1 -0.4 0.6 -1.1 -1.0 7.4 -1.7 1.1 -2.2 -6.1 -7.5 7.0 -13.0 -10.5 -14.6 -5.1 -3.1 3.5 -3.5 -2.1 6.6 -1.7 3.1 -0.9 1.9 -0.8 -0.4 -20.0 4.2 4.7 -2.7 -5.4 -20.0 -20.0 4.5 -20.0 BTP 5.3 -0.1 12.4 -2.0 3.6 -0.6 1.1 -1.8 -1.8 -1.5 12.7 7.0 11.6 9.1 7.8 4.9 6.2 4.9 5.2 10.8 14.4 3.7 11.5 7.3 -20.0 5.2 -0.4 6.4 1.9 5.3 3.7 12.7 -10.0 17.2 20.0 13.6 -8.8 -14.1 20.0 2.7 BUND 2.9 -10.8 1.1 -1.3 2.4 -0.4 0.7 -1.2 -1.2 8.7 0.7 2.8 -0.8 -5.2 -7.0 -9.1 1.9 -3.7 -0.9 -2.4 -0.4 5.1 -2.2 -0.2 4.1 -0.8 5.2 0.1 3.3 -0.3 0.4 3.9 5.3 6.2 2.6 -2.3 -17.3 -20.0 12.9 -9.7 BUXL 1.9 -5.6 4.2 -1.7 3.0 -0.5 0.9 -1.5 -1.5 11.5 2.6 4.5 -3.8 -3.4 -7.1 -7.4 -1.2 -4.6 -2.6 -0.3 1.1 7.1 -3.9 1.5 -0.2 0.4 7.8 1.1 5.0 -0.6 1.5 0.0 6.9 8.2 8.8 1.3 -20.0 -20.0 2.4 0.2 CAC 13.8 20.0 20.0 8.7 4.7 7.4 6.6 5.0 8.1 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -1.3 7.4 1.2 20.0 20.0 20.0 20.0 20.0 -11.6 9.6 3.9 8.2 5.5 6.0 8.3 9.0 -20.0 -4.9 3.4 -1.3 -6.8 13.0 -3.8 18.5 CAD -0.2 -5.9 1.2 -1.1 -5.5 1.7 -5.3 3.8 -3.1 -3.7 -2.9 -10.6 -5.0 -14.2 -15.8 -2.3 -2.2 -2.2 -2.2 -6.0 -3.3 -6.3 -4.4 -7.6 -0.3 -4.0 -0.4 -2.2 -4.3 -2.6 -5.1 0.0 6.5 -2.7 -5.8 -0.4 -17.8 -15.3 -3.1 -12.9 CANOLA 20.0 20.0 -13.2 1.5 -5.5 0.9 -2.9 -1.5 -0.1 -2.8 -9.8 7.8 -10.2 8.2 -3.0 -14.7 -5.7 -13.8 -11.4 0.5 -12.4 8.6 -17.2 11.0 -20.0 0.2 -0.7 -3.5 2.9 -5.1 3.4 -15.2 14.7 20.0 4.1 -20.0 -20.0 -20.0 -17.8 -6.6 CHF -10.7 -20.0 -11.2 -0.9 -4.5 1.4 -4.4 3.1 -2.5 -14.7 -9.0 -18.4 -2.2 -19.9 -19.0 -15.8 -15.7 -15.8 -15.8 -20.0 -12.6 -20.0 -2.7 -20.0 -3.1 -5.9 -6.7 -2.5 -9.2 -0.1 -8.4 -20.0 -20.0 -20.0 -20.0 -12.7 -11.9 -16.3 -2.6 -16.4 COCOA 20.0 11.6 -10.4 1.1 -3.9 0.6 -2.0 -1.0 -0.0 7.7 9.3 8.7 9.2 9.1 9.2 20.0 13.4 20.0 20.0 20.0 20.0 20.0 14.5 20.0 -14.0 3.2 2.4 2.8 3.3 2.4 3.4 20.0 20.0 20.0 20.0 20.0 4.6 0.9 11.6 13.9 COFFEE 2.4 -4.3 7.8 2.7 -9.7 1.6 -5.1 -2.6 -0.1 13.1 12.2 10.0 9.2 7.6 3.2 8.7 7.9 12.1 10.5 6.7 10.7 12.9 8.4 7.3 -20.0 3.6 9.1 5.9 8.4 6.1 4.8 15.1 20.0 12.8 3.6 5.7 -8.1 -20.0 0.5 -13.0 COPPER 15.1 14.4 8.1 2.9 1.0 0.5 0.6 -0.5 3.2 -14.0 9.4 6.2 -3.1 13.4 13.2 -5.0 -4.9 -5.3 -5.5 16.8 10.4 5.4 2.8 16.3 -14.3 5.3 -1.2 3.1 2.2 1.0 5.7 1.3 7.0 12.0 6.7 14.1 -20.0 -2.2 12.8 5.5 CORN 18.4 10.1 -5.2 3.4 -9.5 1.8 -3.4 -2.7 1.2 -16.9 -16.8 5.0 -20.0 7.8 -10.7 -20.0 -8.1 -17.6 -13.9 -9.7 -20.0 -5.3 -20.0 0.2 -19.0 -5.1 -10.5 -8.4 -2.9 -8.8 -1.1 -19.0 -8.4 9.4 -18.8 -20.0 -7.3 -20.0 -5.4 0.1 COTTON2 -16.3 8.0 20.0 1.5 -5.6 0.9 -2.9 -1.5 -0.1 -6.9 5.0 -10.6 3.5 -1.4 4.6 15.0 1.0 5.7 1.5 6.0 7.3 -5.3 3.6 -1.1 -20.0 3.4 -0.9 3.6 -0.7 2.3 1.0 0.8 -1.9 -14.9 20.0 20.0 -12.3 -13.6 -3.2 1.0 CRUDE_W 13.6 11.6 2.4 6.7 2.6 4.5 4.6 3.6 7.0 19.4 2.9 20.0 10.7 20.0 20.0 14.8 10.5 12.2 10.9 19.3 13.0 20.0 13.6 20.0 -5.2 8.1 6.7 5.7 8.3 5.9 9.7 -1.1 13.4 8.0 7.6 -1.2 20.0 20.0 20.0 20.0 DAX 16.9 20.0 20.0 8.5 4.6 7.2 6.4 4.9 7.9 20.0 20.0 20.0 20.0 20.0 20.0 -12.9 -11.7 -14.0 -13.3 20.0 20.0 20.0 20.0 20.0 18.3 9.5 8.9 7.7 9.8 5.4 10.0 -11.4 20.0 17.4 11.4 2.7 -5.5 11.5 2.0 20.0 DOW -3.3 -3.5 16.3 6.5 3.5 5.5 4.9 3.8 6.1 13.4 20.0 11.7 19.3 13.7 18.6 -12.5 -11.0 -12.9 -12.3 20.0 20.0 17.4 20.0 16.2 -14.5 7.3 6.8 9.3 6.5 8.9 5.9 -9.9 1.9 -20.0 -20.0 1.4 -5.4 -6.5 2.7 -14.7 DX 2.2 4.0 2.8 -1.1 -5.5 1.7 -5.3 3.8 -3.1 20.0 4.2 20.0 2.7 9.7 13.5 7.4 6.4 6.9 6.6 8.6 4.9 20.0 5.1 15.5 -20.0 3.6 11.6 1.5 11.9 2.1 7.8 14.9 20.0 11.5 20.0 -2.9 17.3 3.6 20.0 9.8 EUR 0.5 0.6 -1.8 -1.0 -5.3 1.6 -5.2 3.7 -3.0 -19.5 -1.2 -17.6 -1.5 -0.8 -9.6 -6.9 -6.7 -6.7 -6.5 -2.8 -1.9 -14.7 -2.4 -7.0 19.7 -0.7 -12.3 0.4 -9.3 0.0 -4.1 -7.5 -12.9 -3.0 3.6 -2.2 -20.0 -15.6 -20.0 -12.3 EURIBOR-ICE 1.9 -17.0 3.3 -1.0 1.8 -0.3 0.5 -0.9 -0.9 5.5 3.1 -1.3 2.9 -4.6 -4.0 -4.6 -3.9 -2.4 -2.6 -1.3 3.2 1.7 3.5 -1.2 13.9 -0.3 1.9 1.7 1.0 1.8 -0.3 -2.8 -0.3 4.9 -0.1 1.4 -20.0 -20.0 10.3 20.0 EUROSTX 7.2 20.0 20.0 8.4 4.6 7.1 6.3 4.8 7.8 20.0 20.0 20.0 20.0 20.0 20.0 -3.7 1.5 2.3 2.6 20.0 20.0 20.0 20.0 20.0 0.4 9.5 5.1 8.7 6.4 6.5 8.3 13.5 -2.8 0.3 13.5 8.1 -13.2 13.5 -11.4 20.0 FEEDCOW -20.0 6.9 14.7 2.9 -10.3 1.7 -5.4 -2.8 -0.1 -16.0 2.0 -17.2 1.7 -6.1 17.3 -20.0 -20.0 -20.0 -20.0 5.3 8.5 -20.0 6.6 -16.0 -7.8 -0.6 -13.9 1.7 -13.7 3.6 -7.2 -20.0 -20.0 -20.0 -0.5 20.0 20.0 18.1 20.0 20.0 GASOIL 2.3 5.4 4.7 5.5 2.2 3.7 3.8 3.0 5.7 -9.2 8.6 2.7 12.6 10.2 16.2 19.5 20.0 20.0 20.0 12.8 12.9 1.8 14.7 9.2 7.1 5.8 -2.0 6.1 0.8 6.7 4.2 20.0 -5.8 -9.6 -3.8 3.6 -10.5 -9.2 -20.0 -16.2 GASOLINE 12.3 14.5 10.0 6.4 2.5 4.3 4.4 3.4 6.6 5.8 11.4 19.2 13.6 20.0 20.0 19.5 9.6 5.5 2.9 20.0 18.8 16.6 15.4 20.0 -20.0 8.2 2.7 6.2 5.0 5.8 7.8 -7.5 2.4 4.5 17.3 13.6 20.0 18.6 20.0 16.9 GAS_US_mini -1.3 -0.8 -9.8 3.0 1.2 2.0 2.1 1.6 3.1 -7.3 -11.9 -10.6 -12.6 -10.9 -11.5 -20.0 -20.0 -20.0 -20.0 -12.7 -18.7 -6.2 -20.0 -8.1 20.0 -4.4 -1.8 -5.3 -2.4 -5.0 -3.1 -20.0 -12.1 -20.0 -20.0 -20.0 -16.1 -2.1 -20.0 -6.8 GBP -2.9 -1.4 4.0 -1.1 -5.6 1.7 -5.4 3.9 -3.1 -15.3 11.2 -17.1 9.3 -5.4 1.6 -0.9 -0.6 -0.7 -0.6 1.7 6.1 -14.0 6.6 -6.3 2.2 1.7 -8.8 4.6 -9.4 3.9 -4.0 2.8 -13.4 -1.4 4.8 8.1 -20.0 -7.0 -20.0 0.2 GOLD_micro 20.0 20.0 10.0 3.0 1.1 0.5 0.6 -0.5 3.3 17.8 17.8 20.0 12.9 20.0 17.9 -15.0 -14.7 -15.3 -15.1 20.0 20.0 20.0 13.0 20.0 -3.9 6.5 6.9 4.6 6.2 2.9 7.1 -15.4 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -13.6 HEATOIL 4.5 2.9 2.1 5.9 2.3 3.9 4.0 3.2 6.1 -14.8 1.1 0.4 8.6 5.5 13.4 13.3 20.0 20.0 20.0 8.4 7.9 -0.8 10.4 6.0 -20.0 6.2 -2.5 6.6 -0.2 8.2 3.9 20.0 -17.5 -13.0 -2.5 4.1 20.0 5.2 15.4 2.4 JGB-SGX-mini -4.3 -5.4 6.8 -1.2 2.2 -0.4 0.6 -1.1 -1.1 9.0 4.9 4.6 6.7 -0.1 1.0 8.4 15.7 10.6 12.0 0.2 2.8 4.0 4.0 0.4 -7.1 -0.2 4.6 0.6 2.5 0.4 0.3 20.0 9.7 -1.4 6.3 0.9 -9.0 -18.3 1.0 9.8 JPY 2.2 -7.8 -9.1 -0.7 -3.5 1.1 -3.3 2.4 -1.9 -12.7 -14.6 -14.2 -15.3 -13.6 -14.7 -16.5 -16.4 -16.5 -16.5 -13.6 -15.2 -13.8 -20.0 -13.8 20.0 -4.3 -3.5 -4.5 -5.5 -6.1 -5.1 -20.0 -20.0 -8.9 -12.6 -10.7 -20.0 -11.9 -16.5 -13.0 LEANHOG -5.1 17.6 20.0 3.3 -11.8 2.0 -6.2 -3.1 -0.1 3.8 14.9 2.4 -9.9 17.5 20.0 -20.0 -20.0 -20.0 -20.0 20.0 14.3 4.7 -4.5 12.7 15.9 8.3 1.8 7.9 1.4 1.1 4.1 -20.0 9.9 9.8 20.0 20.0 -7.0 -8.6 5.7 13.3 LIVECOW -14.8 14.2 12.2 2.8 -10.1 1.7 -5.3 -2.7 -0.1 -11.4 5.1 -12.7 3.5 1.7 17.6 20.0 0.4 15.5 5.3 11.1 9.6 -20.0 6.1 -3.6 -5.7 3.3 -8.7 3.6 -8.5 4.2 -2.0 3.4 -20.0 -14.2 20.0 18.5 20.0 8.7 20.0 20.0 LUMBER-new 0.5 9.3 12.2 3.3 -11.7 2.0 -6.1 -2.1 -0.1 -20.0 17.2 -6.2 -9.8 12.5 18.1 -15.9 -15.4 -16.2 -15.7 16.2 14.8 -9.8 4.7 7.1 NaN 7.5 -10.3 7.2 -4.2 3.9 3.2 -20.0 -19.0 16.1 20.0 20.0 -10.8 -16.1 -6.6 -10.0 MILK -16.4 -5.9 8.8 1.9 -6.7 1.1 -3.5 -1.8 -0.1 -12.7 -14.2 -14.0 -14.8 -14.0 -13.8 -20.0 -20.0 -20.0 -20.0 -16.9 -18.5 -16.2 -20.0 -17.7 12.7 -4.6 -4.6 -4.9 -4.8 -6.5 -5.0 -20.0 -18.1 -20.0 -15.4 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 10.1 8.7 7.2 -1.1 -5.7 1.7 -5.5 3.9 -3.2 16.3 20.0 20.0 20.0 20.0 20.0 18.4 17.1 17.7 16.9 20.0 20.0 20.0 20.0 20.0 -20.0 9.0 7.3 8.2 9.0 9.4 9.7 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -4.0 1.3 11.6 5.1 2.8 4.3 3.8 2.9 4.7 8.6 15.6 10.2 15.6 12.3 14.7 -11.1 -10.2 -11.4 -11.0 17.6 20.0 6.0 20.0 10.2 -20.0 5.7 0.4 8.0 1.7 8.7 3.1 -8.1 -14.5 -19.7 -14.8 6.3 7.1 -2.1 13.1 -4.0 NIKKEI -12.1 12.0 19.3 6.0 3.2 5.0 4.5 3.4 5.5 9.6 17.7 11.6 18.0 15.0 16.8 3.6 11.2 8.5 10.4 20.0 20.0 17.5 20.0 20.0 -15.2 6.6 1.3 7.1 2.9 6.3 4.6 20.0 15.3 -10.9 12.1 20.0 -18.9 -6.5 -7.7 -6.0 NZD -10.5 -6.4 0.0 -0.8 -4.0 1.2 -3.9 2.8 -2.3 -15.8 1.1 -16.9 -1.7 -14.6 -12.0 0.3 0.3 0.3 0.3 -8.0 -1.7 -19.3 -1.3 -15.3 0.1 -3.9 -8.4 -0.7 -9.4 -0.0 -7.5 4.2 -20.0 -20.0 -5.7 -5.1 -9.0 -8.3 -2.1 4.6 OAT 1.6 -8.6 4.0 -1.5 2.6 -0.4 0.8 -1.3 -1.3 5.4 2.9 -2.0 1.0 -5.1 -6.0 4.7 6.1 4.6 5.0 -0.7 2.4 1.4 0.4 -0.8 4.7 -0.2 1.9 1.5 1.1 0.9 -0.2 12.4 -2.5 5.4 4.7 0.5 -18.2 -20.0 12.6 2.6 OATIES -2.5 1.0 -10.4 2.4 -8.5 1.4 -4.4 -2.3 -0.1 -10.3 -17.0 -13.6 -14.2 -10.8 -6.7 9.7 -1.0 7.2 2.3 -8.0 -13.8 -8.6 -14.8 -7.3 -20.0 -3.3 -3.8 -4.9 -5.3 -5.5 -4.3 -0.8 -12.2 -14.0 -4.7 -7.6 -12.6 0.5 -2.4 14.0 OJ -5.6 5.5 -19.5 2.0 -7.0 1.2 -3.7 -1.9 -0.1 3.8 7.1 4.5 11.6 5.8 7.3 6.1 14.5 7.4 10.5 6.5 11.3 1.6 20.0 3.7 -20.0 2.4 -1.7 6.2 0.4 13.8 1.0 20.0 6.9 -2.7 15.4 -9.4 11.6 9.4 18.4 20.0 PALLAD 8.9 17.0 -0.2 1.2 0.4 0.2 0.2 -0.2 1.3 -4.0 -4.2 -0.5 -7.5 3.3 -2.2 -1.7 -2.1 -1.8 -1.9 0.2 -3.9 -0.7 -9.1 1.1 10.0 0.4 0.1 -1.6 -0.3 -3.9 0.7 6.9 -3.1 -1.9 -3.5 2.6 -20.0 -11.2 -16.6 -6.9 PLAT 6.6 2.9 -2.6 1.7 0.6 0.3 0.3 -0.3 1.9 -5.6 -4.9 -2.5 -8.1 -0.4 -6.8 -4.3 -3.4 -4.1 -3.9 -1.3 -2.8 -1.6 -3.9 -0.7 10.0 -0.1 0.0 -0.6 -0.9 -0.9 -0.1 4.1 -2.1 -7.4 -8.0 0.3 -14.1 -4.5 20.0 7.3 REDWHEAT 14.8 3.0 -7.3 2.3 -8.4 1.4 -4.4 -2.2 -0.1 8.0 -17.2 9.4 -18.4 -4.1 -11.4 7.4 1.3 5.5 2.7 -9.9 -20.0 3.5 -20.0 -0.8 -8.3 -5.1 1.4 -7.8 1.1 -8.3 -1.3 2.6 13.3 0.9 -20.0 -20.0 -13.3 -20.0 -6.4 -20.0 RICE -20.0 -17.6 1.9 2.7 -9.9 1.6 -5.2 -2.6 -0.1 -20.0 7.4 -20.0 14.4 -20.0 -8.3 -15.2 -4.7 -13.1 -10.7 -15.3 6.0 -20.0 14.3 -20.0 -19.2 -4.4 -18.4 0.0 -15.8 1.8 -10.3 -13.1 -20.0 -20.0 -19.2 -9.6 7.5 -3.6 16.5 6.7 ROBUSTA 9.5 -3.3 20.0 2.1 -7.7 1.3 -4.0 -2.1 -0.1 9.3 17.4 14.7 17.5 15.5 17.2 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 6.7 5.2 7.9 6.2 7.9 6.1 20.0 20.0 20.0 20.0 20.0 -20.0 -18.6 -9.5 2.3 RUSSELL 0.3 8.7 13.3 4.9 2.6 4.1 3.7 2.8 4.5 12.2 12.8 10.2 9.5 11.8 13.0 -6.6 -6.3 -6.5 -6.5 11.1 11.4 12.0 7.4 9.9 -1.9 5.0 7.1 5.2 5.1 3.8 4.3 -0.9 -0.7 -16.5 -18.6 -8.7 -14.3 -18.6 -14.7 -20.0 SHATZ 4.9 -20.0 -9.3 -1.0 1.8 -0.3 0.5 -0.9 -0.9 2.4 -6.6 -2.4 -7.0 -7.0 -7.9 -20.0 -20.0 -20.0 -20.0 -9.4 -7.9 -0.7 -8.0 -5.9 8.1 -2.2 0.4 -1.6 -0.1 -1.6 -1.4 -20.0 -1.4 -0.0 -9.3 -8.6 -20.0 -20.0 -8.4 -20.0 SILVER-mini 15.9 15.7 0.0 2.5 0.9 0.4 0.5 -0.4 2.7 -7.5 3.6 6.4 -1.3 10.3 5.3 -6.5 -6.6 -6.8 -6.8 10.4 4.0 4.4 0.3 11.6 4.6 4.7 0.5 2.5 2.0 1.0 4.7 -1.3 8.3 18.0 14.9 7.1 -15.4 -17.6 20.0 -0.3 SMI 13.6 18.9 20.0 7.9 4.3 6.7 6.0 4.5 7.4 19.1 20.0 19.2 14.2 20.0 20.0 -0.1 5.2 5.0 5.9 20.0 20.0 19.3 13.9 20.0 16.4 8.4 4.8 7.0 5.4 4.0 7.5 19.7 -20.0 -4.0 -19.9 -8.7 12.5 -3.7 20.0 -6.8 SOFR -0.3 -9.3 1.4 -1.5 2.6 -0.4 0.8 -1.3 -1.3 8.8 3.5 -2.6 -0.3 -6.7 -6.7 -0.9 0.1 0.1 0.3 -3.2 -1.2 1.2 -2.2 -2.5 -2.8 -0.8 1.9 0.5 0.5 0.1 -1.0 3.2 -1.3 2.4 -1.0 1.3 -20.0 -20.0 1.2 -3.0 SOYBEAN 20.0 6.3 -19.0 3.0 -8.4 1.6 -3.0 -2.4 1.0 -9.6 -13.5 13.2 -5.5 11.7 -8.9 3.2 12.9 6.2 8.9 -3.6 -14.3 9.0 -13.2 10.0 -20.0 -0.7 -1.3 -3.7 3.6 -2.9 3.9 18.4 11.4 20.0 -5.7 -20.0 -8.9 -20.0 -8.0 -20.0 SOYMEAL 20.0 -5.1 -20.0 2.3 -8.2 1.4 -4.3 -2.2 -0.1 -1.3 -16.7 6.4 -12.8 -5.5 -14.9 -8.6 8.1 -4.0 1.7 -15.3 -20.0 2.2 -16.6 -1.5 -20.0 -4.5 -1.2 -6.5 0.9 -3.7 -0.1 8.9 8.1 14.0 -16.8 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 20.0 13.2 -5.9 2.0 -7.2 1.2 -3.7 -1.9 -0.1 -8.0 -12.7 7.3 -11.3 8.3 -1.5 -8.2 1.9 -6.4 -2.9 1.6 -8.9 4.7 -12.8 8.6 -20.0 2.7 -0.9 -0.5 2.4 -2.1 4.5 -1.0 5.0 20.0 14.0 -4.0 -17.0 -9.4 -11.1 5.5 SP400 7.0 18.4 20.0 6.1 3.3 5.2 4.6 3.5 5.7 15.7 18.3 16.2 15.2 17.3 18.5 -4.6 -5.3 -5.3 -5.4 20.0 20.0 20.0 17.4 20.0 -13.3 6.8 6.7 6.1 6.3 4.4 6.4 0.9 8.5 2.6 -4.6 -0.2 -12.4 -9.1 -10.0 -20.0 SP500_micro 3.9 14.6 20.0 7.1 3.8 6.0 5.3 4.1 6.6 18.1 20.0 19.1 20.0 20.0 20.0 -13.3 -11.6 -13.2 -12.5 20.0 20.0 20.0 20.0 20.0 -20.0 8.3 3.4 9.2 4.6 8.1 6.2 -10.6 -5.4 -7.3 -0.8 17.0 1.4 -3.3 13.2 -5.7 SUGAR11 6.7 -3.3 -9.9 2.1 -7.5 1.2 -3.9 -2.0 -0.1 13.4 -7.0 11.2 4.9 -0.3 -3.2 9.9 17.5 13.4 16.0 -4.8 -7.4 7.7 0.0 1.5 -20.0 -2.8 6.3 -4.7 4.3 -0.0 1.1 20.0 18.4 -3.1 -5.1 -20.0 20.0 3.9 20.0 16.5 US10 -0.2 -8.8 3.0 -1.2 2.2 -0.4 0.7 -1.1 -1.1 6.8 2.0 -2.2 -3.2 -6.2 -5.6 -7.4 -8.0 -8.2 -8.3 -2.9 -2.3 0.5 -5.9 -2.2 2.4 -0.6 1.1 0.1 0.3 -1.0 -0.8 -11.2 -1.4 2.3 -0.5 2.0 -20.0 -20.0 -13.8 7.1 US10U -0.3 -7.9 2.7 -1.8 3.1 -0.5 0.9 -1.6 -1.6 10.3 2.3 -3.1 -4.4 -9.4 -8.6 -3.8 -0.5 -2.1 -1.0 -3.9 -3.5 1.1 -9.0 -2.9 -0.6 -0.6 2.1 0.2 0.6 -1.6 -1.0 1.7 -1.6 2.8 1.3 3.6 -20.0 -20.0 13.9 18.7 US2 -2.8 -17.6 -2.1 -1.0 1.9 -0.3 0.6 -0.9 -0.9 0.3 -3.5 -3.5 -6.6 -6.8 -7.0 -20.0 -20.0 -20.0 -20.0 -6.9 -5.6 -3.0 -8.4 -5.7 10.9 -1.9 -1.3 -0.8 -1.1 -1.5 -1.9 -20.0 -4.2 -2.7 -7.8 -2.3 -20.0 -20.0 -20.0 -20.0 US20 0.2 -4.7 5.8 -1.3 2.3 -0.4 0.7 -1.2 -1.1 8.9 3.4 -1.2 -1.7 -3.6 -3.7 -0.0 -0.8 -0.1 -0.4 -0.5 -0.4 2.5 -5.2 -0.3 -1.3 0.8 3.0 1.2 1.3 -0.8 0.2 1.8 0.5 4.5 5.4 6.5 -20.0 -20.0 20.0 20.0 US30 -1.5 -3.0 4.2 -1.5 2.7 -0.5 0.8 -1.4 -1.3 10.0 2.8 -2.7 -3.5 -4.2 -5.6 -6.8 -6.0 -7.4 -7.0 -1.0 -1.3 2.4 -7.2 -0.8 -0.6 0.8 4.3 1.2 1.6 -1.5 0.0 -8.2 0.2 2.8 8.0 5.5 -14.5 -16.0 20.0 20.0 US5 -0.7 -12.3 0.8 -1.2 2.2 -0.4 0.6 -1.1 -1.1 4.9 0.5 -2.4 -4.3 -6.6 -6.3 -9.7 -10.1 -9.6 -9.9 -4.7 -3.5 -0.6 -6.1 -3.6 5.2 -1.2 0.2 -0.2 -0.2 -0.9 -1.3 -14.5 -2.4 0.7 -3.9 0.1 -20.0 -20.0 -19.9 -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 14.4 -2.9 -4.4 2.5 -8.8 1.5 -4.6 -2.4 -0.1 15.4 -17.0 15.8 -19.5 -3.3 -11.4 -16.4 -11.8 -14.2 -12.9 -10.8 -19.2 11.4 -20.0 1.5 1.1 -4.6 5.3 -6.2 4.0 -6.3 -0.2 -20.0 20.0 0.8 -20.0 -20.0 -9.7 -20.0 -5.7 -20.0 End of report for caleb_strategy_v3