******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240403_204015 produced at 2024-04-03 21:37:44.014081 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.99 0.0 0.00 0.00 0.00 0.00 -14.37 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 -69.30 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.30 0.0 0.00 0.00 0.00 0.00 -9.17 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.30 0.0 0.00 0.00 0.00 0.00 -5.22 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 -4.49 13.0 -10 -10 caleb_strategy_v3 JPY False False 0.02 -0.02 -0.12 0.0 0.40 -0.40 -0.02 -0.02 -5.20 17.0 -1 -1 caleb_strategy_v3 US5 False False 0.03 -0.36 -0.10 0.0 0.76 -0.76 -0.36 -0.39 -3.35 25.0 -12 -13 caleb_strategy_v3 RICE False False 0.01 0.00 -0.07 0.0 0.04 -0.04 0.00 0.00 -6.92 4.0 0 0 caleb_strategy_v3 CAD False False 0.02 0.00 -0.07 0.0 0.61 -0.61 0.00 0.00 -3.19 29.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.06 0.0 0.04 -0.04 -0.03 -0.03 -42.34 26.0 -19 -19 caleb_strategy_v3 US10 False False 0.03 0.00 -0.05 0.0 0.53 -0.53 0.00 0.00 -1.69 17.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.05 0.0 0.08 -0.08 -0.07 -0.07 -7.52 12.0 -11 -11 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.05 0.0 0.36 -0.36 -0.02 -0.02 -2.86 21.0 -1 -1 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.05 -0.05 0.00 0.00 -5.84 5.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.54 -0.05 0.0 0.69 -0.69 -0.54 -0.54 -1.47 19.0 -15 -15 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.14 -0.14 -0.02 -0.02 -18.28 51.0 -6 -6 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.04 0.0 0.29 -0.29 0.00 0.00 -1.23 8.0 0 0 caleb_strategy_v3 OATIES False True 0.00 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -8.62 2.0 0 0 caleb_strategy_v3 EUR False False 0.04 0.00 -0.04 0.0 0.54 -0.54 0.00 0.00 -0.99 14.0 0 0 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.04 0.0 0.36 -0.36 -0.02 -0.02 -1.94 19.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.55 9.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.07 -0.07 -0.02 -0.02 -1.86 8.0 -2 -2 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.02 0.0 0.01 -0.01 0.00 0.00 -4.30 3.0 0 0 caleb_strategy_v3 US10U False False 0.03 -0.03 -0.02 0.0 0.42 -0.42 -0.03 -0.03 -0.71 13.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.08 -0.08 -0.03 -0.03 -2.19 9.0 -4 -4 caleb_strategy_v3 DOW False False 0.01 0.00 -0.02 0.0 0.37 -0.37 0.00 0.00 -2.88 66.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.00 -0.01 0.0 0.50 -0.50 0.00 0.00 -0.45 22.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.01 0.0 0.14 -0.14 -0.03 -0.03 -0.60 11.0 -2 -2 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.01 0.0 0.20 -0.20 -0.01 -0.01 -3.79 68.0 -2 -2 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.08 -0.08 -0.03 -0.03 -0.82 10.0 -4 -4 caleb_strategy_v3 US30 False False 0.04 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.22 6.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.12 -0.12 -0.02 -0.02 -0.88 7.0 -1 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.03 -0.01 0.0 0.24 -0.24 -0.03 -0.02 -1.12 23.0 -3 -2 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.00 0.0 0.41 -0.41 -0.04 -0.04 -0.08 10.0 -1 -1 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.00 0.0 0.16 -0.16 0.00 0.00 -0.09 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 -0.10 2.0 0 0 caleb_strategy_v3 US20 False False 0.03 0.03 -0.00 0.0 0.30 -0.30 0.03 0.03 -0.15 9.0 1 1 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 0.01 0.0 0.13 -0.13 0.01 0.01 1.13 18.0 1 1 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.01 0.0 0.00 0.00 0.00 0.00 7.22 59.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.35 6.0 0 0 caleb_strategy_v3 PLAT False False 0.01 0.00 0.01 0.0 0.14 -0.14 0.00 0.00 0.77 10.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.02 0.0 0.24 -0.24 0.01 0.01 1.69 23.0 1 1 caleb_strategy_v3 SP500_micro False False 0.01 0.21 0.02 0.0 0.36 -0.36 0.21 0.21 3.24 48.0 28 28 caleb_strategy_v3 COCOA False False 0.03 0.13 0.02 0.0 0.66 -0.66 0.13 0.13 0.95 26.0 5 5 caleb_strategy_v3 SP400 False False 0.09 0.17 0.02 0.0 0.17 -0.17 0.17 0.17 0.27 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 1.04 3.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.03 0.0 0.00 -0.00 0.00 0.00 1.57 0.0 0 0 caleb_strategy_v3 OAT False False 0.04 0.00 0.04 0.0 0.39 -0.39 0.00 0.00 0.96 10.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.06 0.04 0.0 0.34 -0.34 0.06 0.06 1.94 17.0 3 3 caleb_strategy_v3 BTP False False 0.04 0.18 0.05 0.0 0.36 -0.36 0.18 0.18 1.35 10.0 5 5 caleb_strategy_v3 HEATOIL False False 0.03 0.07 0.05 0.0 0.10 -0.10 0.07 0.07 1.42 3.0 2 2 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.05 0.0 0.37 -0.37 0.00 0.00 7.90 56.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.02 0.06 0.0 0.10 -0.10 0.02 0.02 2.36 4.0 1 1 caleb_strategy_v3 COPPER False False 0.03 0.15 0.08 0.0 0.18 -0.18 0.15 0.15 2.65 6.0 5 5 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.09 0.0 0.13 -0.13 0.13 0.13 2.66 4.0 4 4 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.10 0.0 0.16 -0.16 0.07 0.07 8.17 13.0 6 6 caleb_strategy_v3 NIKKEI False False 0.01 0.24 0.14 0.0 0.27 -0.27 0.24 0.26 18.93 36.0 32 34 caleb_strategy_v3 DX False False 0.03 0.00 0.14 0.0 999.00 -999.00 0.00 0.00 4.66 999999999.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 0.16 0.0 0.00 0.00 0.00 0.00 6.55 12.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.29 0.18 0.0 0.31 -0.31 0.29 0.29 11.44 20.0 19 19 caleb_strategy_v3 SMI False False 0.04 0.33 0.20 0.0 0.33 -0.33 0.33 0.33 5.48 9.0 9 9 caleb_strategy_v3 DAX False False 0.01 0.17 0.21 0.0 0.33 -0.33 0.17 0.18 37.40 58.0 29 32 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.14 0.26 0.0 0.44 -0.44 0.14 0.11 9.49 16.0 5 4 caleb_strategy_v3 CRUDE_W False False 0.02 0.09 0.33 0.0 0.11 -0.11 0.09 0.09 14.35 5.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.07 0.00 0.34 0.0 0.75 -0.75 0.00 0.30 4.47 10.0 0 4 caleb_strategy_v3 MXP False False 0.01 0.51 0.88 0.0 0.51 -0.51 0.51 0.51 103.31 60.0 60 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 26.0 Shocked risk 96.3 Sum abs risk 66.4 Leverage 6.73 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3507718.34, 'annual_cash_vol_target': 876929.585, 'daily_cash_vol_target': 54808.0990625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6581 0.5773 9.2363 BITCOIN 2059.7771 66510.0000 3.0969 49.5511 BOBL 0.2438 118.0100 0.2066 3.3052 BTP 0.5209 117.8900 0.4418 7.0690 BUND 0.4847 132.5800 0.3656 5.8500 BUXL 1.1547 133.1400 0.8673 13.8764 CAC 41.7651 8169.0000 0.5113 8.1802 CAD 0.0027 0.7399 0.3688 5.9010 CANOLA 6.9406 642.8000 1.0797 17.2759 CHF 0.0051 1.1164 0.4534 7.2544 COCOA 189.7802 8968.0000 2.1162 33.8591 COFFEE 3.2002 205.0500 1.5607 24.9712 COPPER 0.0462 4.2430 1.0888 17.4205 CORN 5.5023 471.7500 1.1664 18.6616 COTTON2 1.4706 90.0800 1.6325 26.1206 CRUDE_W 0.8211 79.5100 1.0327 16.5231 DAX 93.1748 18620.0000 0.5004 8.0064 DOW 224.9306 39485.0000 0.5697 9.1146 DX 0.3378 104.0050 0.3248 5.1962 EUR 0.0045 1.0867 0.4127 6.6033 EURIBOR-ICE 0.0457 97.6300 0.0468 0.7488 EUROSTX 29.8999 5024.0000 0.5951 9.5223 FEEDCOW 1.9284 252.3250 0.7643 12.2283 GASOIL 11.6776 837.0000 1.3952 22.3227 GASOLINE 0.0343 2.6989 1.2691 20.3050 GAS_US_mini 0.0762 2.0750 3.6746 58.7941 GBP 0.0059 1.2657 0.4628 7.4044 GOLD_micro 15.1217 2318.1000 0.6523 10.4373 HEATOIL 0.0382 2.7204 1.4027 22.4430 JGB-SGX-mini 0.2034 145.4600 0.1398 2.2375 JPY 0.0000 0.0067 0.5342 8.5473 LEANHOG 1.0077 104.7750 0.9618 15.3880 LIVECOW 1.2785 175.6500 0.7279 11.6460 LUMBER-new 6.3207 604.0000 1.0465 16.7436 MILK 0.2009 16.4000 1.2247 19.5952 MXP 0.0003 0.0598 0.5211 8.3374 NASDAQ_micro 128.3160 18391.7500 0.6977 11.1629 NIKKEI 340.5248 40040.0000 0.8505 13.6074 NZD 0.0036 0.6010 0.6052 9.6834 OAT 0.4691 127.4200 0.3682 5.8905 OATIES 5.0943 340.2500 1.4972 23.9558 OJ 5.9601 366.8000 1.6249 25.9984 PALLAD 26.1144 1026.0000 2.5453 40.7242 PLAT 14.9069 950.0000 1.5691 25.1063 REDWHEAT 9.9766 573.5000 1.7396 27.8336 RICE 0.1572 16.5450 0.9500 15.2003 ROBUSTA 48.5680 3714.0000 1.3077 20.9232 RUSSELL 22.8389 2099.1000 1.0880 17.4085 SHATZ 0.0795 105.7100 0.0752 1.2027 SILVER-mini 0.4348 27.4000 1.5868 25.3882 SMI 61.8137 11516.0000 0.5368 8.5882 SOFR 0.0580 96.2600 0.0603 0.9647 SOYBEAN 10.0950 1185.2500 0.8517 13.6274 SOYMEAL 4.0018 333.6000 1.1996 19.1932 SOYOIL 0.6553 49.3800 1.3271 21.2337 SP400 23.6197 3024.2000 0.7810 12.4963 SP500_micro 28.2887 5265.2500 0.5373 8.5964 SUGAR11 0.3020 21.8200 1.3842 22.1479 US10 0.3546 109.7969 0.3229 5.1670 US10U 0.4801 113.1719 0.4242 6.7872 US2 0.0978 102.1289 0.0957 1.5314 US20 0.7209 117.7812 0.6120 9.7927 US30 1.0808 125.3125 0.8625 13.7993 US5 0.2330 106.4844 0.2188 3.5004 VIX 0.3905 16.3000 2.3955 38.3286 WHEAT 8.2209 612.5000 1.3422 21.4750 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 658.10 0.58 379.90 1.00 379.90 54808.1 144.27 -5.19 -74.82 BITCOIN 66.51 3.10 205.98 1.00 205.98 54808.1 266.09 2.51 66.71 BOBL 1180.10 0.21 243.78 1.07 261.53 54808.1 209.57 -6.91 -144.79 BTP 1178.90 0.44 520.86 1.07 558.77 54808.1 98.09 4.05 39.70 BUND 1325.80 0.37 484.74 1.07 520.03 54808.1 105.39 -0.77 -8.15 BUXL 1331.40 0.87 1154.69 1.07 1238.75 54808.1 44.24 -1.99 -8.80 CAC 816.90 0.51 417.65 1.07 448.06 54808.1 122.32 15.69 191.93 CAD 739.90 0.37 272.88 1.00 272.88 54808.1 200.85 -6.13 -123.13 CANOLA 128.56 1.08 138.81 0.74 102.21 54808.1 536.21 -14.02 -751.57 CHF 1395.56 0.45 632.75 1.00 632.75 54808.1 86.62 -20.00 -173.24 COCOA 896.80 2.12 1897.80 1.00 1897.80 54808.1 28.88 15.41 44.52 COFFEE 768.94 1.56 1200.08 1.00 1200.08 54808.1 45.67 6.55 29.92 COPPER 1060.75 1.09 1154.92 1.00 1154.92 54808.1 47.46 5.16 24.47 CORN 235.88 1.17 275.11 1.00 275.11 54808.1 199.22 -15.51 -308.93 COTTON2 450.40 1.63 735.29 1.00 735.29 54808.1 74.54 -3.77 -28.09 CRUDE_W 795.10 1.03 821.10 1.00 821.10 54808.1 66.75 19.86 132.55 DAX 186.20 0.50 93.17 1.07 99.96 54808.1 548.31 20.00 1096.62 DOW 197.42 0.57 112.47 1.00 112.47 54808.1 487.33 -2.54 -123.90 DX 1040.05 0.32 337.77 1.00 337.77 54808.1 162.27 11.06 179.50 EUR 1358.38 0.41 560.61 1.00 560.61 54808.1 97.76 -3.92 -38.32 EURIBOR-ICE 2440.75 0.05 114.23 1.07 122.55 54808.1 447.24 2.93 131.08 EUROSTX 502.40 0.60 299.00 1.07 320.77 54808.1 170.87 19.63 335.45 FEEDCOW 1261.62 0.76 964.22 1.00 964.22 54808.1 56.84 -6.56 -37.27 GASOIL 837.00 1.40 1167.76 1.00 1167.76 54808.1 46.93 11.59 54.41 GASOLINE 1133.54 1.27 1438.53 1.00 1438.53 54808.1 38.10 16.13 61.46 GAS_US_mini 51.88 3.67 190.62 1.00 190.62 54808.1 287.52 -13.60 -391.00 GBP 791.06 0.46 366.08 1.00 366.08 54808.1 149.71 -1.16 -17.43 GOLD_micro 231.81 0.65 151.22 1.00 151.22 54808.1 362.45 6.39 231.57 HEATOIL 1142.57 1.40 1602.66 1.00 1602.66 54808.1 34.20 9.60 32.82 JGB-SGX-mini 145460.00 0.14 20341.95 0.01 134.07 54808.1 408.79 2.14 87.63 JPY 833.62 0.53 445.33 1.00 445.33 54808.1 123.07 -16.29 -200.50 LEANHOG 419.10 0.96 403.07 1.00 403.07 54808.1 135.98 9.89 134.48 LIVECOW 702.60 0.73 511.40 1.00 511.40 54808.1 107.17 5.45 58.41 LUMBER-new 166.10 1.05 173.82 1.00 173.82 54808.1 315.32 -6.37 -200.89 MILK 328.00 1.22 401.70 1.00 401.70 54808.1 136.44 -20.00 -272.88 MXP 298.85 0.52 155.73 1.00 155.73 54808.1 351.95 20.00 703.90 NASDAQ_micro 367.84 0.70 256.63 1.00 256.63 54808.1 213.57 -2.27 -48.39 NIKKEI 40040.00 0.85 34052.48 0.01 224.44 54808.1 244.20 7.16 174.79 NZD 601.00 0.61 363.73 1.00 363.73 54808.1 150.68 -7.33 -110.41 OAT 1274.20 0.37 469.10 1.07 503.25 54808.1 108.91 2.57 28.04 OATIES 170.12 1.50 254.72 1.00 254.72 54808.1 215.17 -16.47 -354.35 OJ 550.20 1.62 894.02 1.00 894.02 54808.1 61.31 7.95 48.74 PALLAD 1026.00 2.55 2611.44 1.00 2611.44 54808.1 20.99 -1.44 -3.03 PLAT 475.00 1.57 745.34 1.00 745.34 54808.1 73.53 3.05 22.45 REDWHEAT 286.75 1.74 498.83 1.00 498.83 54808.1 109.87 -12.78 -140.43 RICE 330.90 0.95 314.36 1.00 314.36 54808.1 174.35 -16.31 -284.38 ROBUSTA 371.40 1.31 485.68 1.00 485.68 54808.1 112.85 12.82 144.68 RUSSELL 104.96 1.09 114.19 1.00 114.19 54808.1 479.95 -2.38 -114.27 SHATZ 1057.10 0.08 79.46 1.07 85.25 54808.1 642.93 -14.06 -904.19 SILVER-mini 685.00 1.59 1086.93 1.00 1086.93 54808.1 50.42 9.11 45.92 SMI 1151.60 0.54 618.14 1.10 681.87 54808.1 80.38 20.00 160.76 SOFR 2406.50 0.06 145.10 1.00 145.10 54808.1 377.73 -6.26 -236.38 SOYBEAN 592.62 0.85 504.75 1.00 504.75 54808.1 108.59 -8.76 -95.10 SOYMEAL 333.60 1.20 400.18 1.00 400.18 54808.1 136.96 -20.00 -273.92 SOYOIL 296.28 1.33 393.20 1.00 393.20 54808.1 139.39 -6.30 -87.84 SP400 3024.20 0.78 2361.97 1.00 2361.97 54808.1 23.20 3.53 8.20 SP500_micro 263.26 0.54 141.44 1.00 141.44 54808.1 387.49 3.60 139.62 SUGAR11 244.38 1.38 338.29 1.00 338.29 54808.1 162.02 3.28 53.10 US10 1097.97 0.32 354.58 1.00 354.58 54808.1 154.57 -8.65 -133.70 US10U 1131.72 0.42 480.07 1.00 480.07 54808.1 114.17 -4.88 -55.74 US2 2042.58 0.10 195.51 1.00 195.51 54808.1 280.34 -14.71 -412.30 US20 1177.81 0.61 720.87 1.00 720.87 54808.1 76.03 -1.52 -11.59 US30 1253.12 0.86 1080.76 1.00 1080.76 54808.1 50.71 -3.47 -17.59 US5 1064.84 0.22 232.96 1.00 232.96 54808.1 235.27 -11.23 -264.16 VIX 163.00 2.40 390.47 1.00 390.47 54808.1 140.36 -20.00 -280.73 WHEAT 306.25 1.34 411.04 1.00 411.04 54808.1 133.34 -12.38 -165.03 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -74.817 0.010 2.5 -1.941 BITCOIN 66.712 0.043 2.5 7.224 BOBL -144.792 0.004 2.5 -1.468 BTP 39.701 0.014 2.5 1.354 BUND -8.146 0.004 2.5 -0.083 BUXL -8.800 0.004 2.5 -0.089 CAC 191.926 0.014 2.5 6.546 CAD -123.130 0.010 2.5 -3.195 CANOLA -751.571 0.010 2.5 -18.285 CHF -173.237 0.010 2.5 -4.495 COCOA 44.517 0.009 2.5 0.953 COFFEE 29.924 0.005 2.5 0.349 COPPER 24.467 0.043 2.5 2.649 CORN -308.930 0.010 2.5 -7.516 COTTON2 -28.092 0.009 2.5 -0.602 CRUDE_W 132.547 0.043 2.5 14.353 DAX 1096.623 0.014 2.5 37.404 DOW -123.896 0.009 2.5 -2.879 DX 179.498 0.010 2.5 4.657 EUR -38.315 0.010 2.5 -0.994 EURIBOR-ICE 131.085 0.014 2.5 4.471 EUROSTX 335.445 0.014 2.5 11.441 FEEDCOW -37.265 0.013 2.5 -1.235 GASOIL 54.409 0.017 2.5 2.359 GASOLINE 61.462 0.017 2.5 2.664 GAS_US_mini -390.997 0.043 2.5 -42.340 GBP -17.432 0.010 2.5 -0.452 GOLD_micro 231.569 0.014 2.5 7.898 HEATOIL 32.823 0.017 2.5 1.423 JGB-SGX-mini 87.631 0.043 2.5 9.489 JPY -200.499 0.010 2.5 -5.202 LEANHOG 134.480 0.024 2.5 8.173 LIVECOW 58.414 0.013 2.5 1.936 LUMBER-new -200.890 0.009 2.5 -4.298 MILK -272.880 0.009 2.5 -5.844 MXP 703.904 0.059 2.5 103.314 NASDAQ_micro -48.393 0.009 2.5 -1.125 NIKKEI 174.789 0.043 2.5 18.927 NZD -110.408 0.010 2.5 -2.865 OAT 28.038 0.014 2.5 0.956 OATIES -354.348 0.010 2.5 -8.621 OJ 48.742 0.009 2.5 1.044 PALLAD -3.032 0.014 2.5 -0.103 PLAT 22.446 0.014 2.5 0.766 REDWHEAT -140.428 0.005 2.5 -1.863 RICE -284.376 0.010 2.5 -6.918 ROBUSTA 144.676 0.005 2.5 1.690 RUSSELL -114.269 0.013 2.5 -3.787 SHATZ -904.193 0.004 2.5 -9.169 SILVER-mini 45.917 0.014 2.5 1.566 SMI 160.759 0.014 2.5 5.483 SOFR -236.381 0.024 2.5 -14.366 SOYBEAN -95.102 0.004 2.5 -0.884 SOYMEAL -273.919 0.004 2.5 -2.548 SOYOIL -87.837 0.004 2.5 -0.818 SP400 8.197 0.013 2.5 0.272 SP500_micro 139.615 0.009 2.5 3.245 SUGAR11 53.100 0.009 2.5 1.129 US10 -133.704 0.005 2.5 -1.694 US10U -55.743 0.005 2.5 -0.706 US2 -412.304 0.005 2.5 -5.225 US20 -11.589 0.005 2.5 -0.147 US30 -17.591 0.005 2.5 -0.223 US5 -264.159 0.005 2.5 -3.347 VIX -280.727 0.099 2.5 -69.295 WHEAT -165.033 0.005 2.5 -2.189 ===================== Position diags ===================== AUD 3.74 BITCOIN 28.81 BOBL 2.13 BTP 3.35 BUND 1.07 BUXL 0.45 CAC 4.17 CAD 5.21 CANOLA 13.05 CHF 2.25 COCOA 0.62 COFFEE 0.53 COPPER 5.14 CORN 4.85 COTTON2 1.60 CRUDE_W 7.23 DAX 18.70 DOW 11.33 DX 4.21 EUR 2.54 EURIBOR-ICE 15.25 EUROSTX 5.83 FEEDCOW 1.88 GASOIL 2.03 GASOLINE 1.65 GAS_US_mini 31.14 GBP 3.88 GOLD_micro 12.36 HEATOIL 1.48 JGB-SGX-mini 44.27 JPY 3.19 LEANHOG 8.26 LIVECOW 3.55 LUMBER-new 6.75 MILK 2.92 MXP 51.66 NASDAQ_micro 4.96 NIKKEI 26.44 NZD 3.91 OAT 3.71 OATIES 5.23 OJ 1.31 PALLAD 0.72 PLAT 2.51 REDWHEAT 1.46 RICE 4.24 ROBUSTA 1.32 RUSSELL 15.90 SHATZ 6.52 SILVER-mini 1.72 SMI 2.74 SOFR 22.96 SOYBEAN 1.01 SOYMEAL 1.27 SOYOIL 1.30 SP400 0.77 SP500_micro 9.01 SUGAR11 3.45 US10 1.96 US10U 1.45 US2 3.55 US20 0.96 US30 0.64 US5 2.98 VIX 34.65 WHEAT 1.77 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.9 -2.3 -1.6 -1.0 -1 BITCOIN 7.2 4.3 10.1 0.0 0 BOBL -1.5 -1.7 -1.3 -15.0 -15 BTP 1.4 1.0 1.7 5.0 5 BUND -0.1 -0.2 0.0 -1.0 -1 BUXL -0.1 -0.1 -0.0 0.0 0 CAC 6.5 6.1 7.0 0.0 0 CAD -3.2 -3.7 -2.7 0.0 0 CANOLA -18.3 -19.6 -17.0 -6.0 -6 CHF -4.5 -4.7 -4.3 -10.0 -10 COCOA 1.0 0.9 1.0 5.0 5 COFFEE 0.3 0.3 0.4 0.0 0 COPPER 2.6 2.1 3.2 5.0 5 CORN -7.5 -8.0 -7.0 -11.0 -11 COTTON2 -0.6 -0.8 -0.4 -2.0 -2 CRUDE_W 14.4 13.6 15.1 4.0 4 DAX 37.4 35.5 39.3 29.0 29 DOW -2.9 -4.0 -1.7 0.0 0 DX 4.7 4.2 5.1 NaN 0 EUR -1.0 -1.2 -0.7 0.0 0 EURIBOR-ICE 4.5 2.9 6.0 0.0 0 EUROSTX 11.4 10.9 12.0 19.0 19 FEEDCOW -1.2 -1.4 -1.0 0.0 0 GASOIL 2.4 2.2 2.6 1.0 1 GASOLINE 2.7 2.5 2.8 4.0 4 GAS_US_mini -42.3 -45.5 -39.2 -19.0 -19 GBP -0.5 -0.8 -0.1 0.0 0 GOLD_micro 7.9 6.7 9.1 0.0 0 HEATOIL 1.4 1.3 1.6 2.0 2 JGB-SGX-mini 9.5 5.1 13.9 5.0 5 JPY -5.2 -5.5 -4.9 -1.0 -1 LEANHOG 8.2 7.3 9.0 6.0 6 LIVECOW 1.9 1.6 2.3 3.0 3 LUMBER-new -4.3 -5.0 -3.6 NaN 0 MILK -5.8 -6.1 -5.6 NaN 0 MXP 103.3 98.1 108.5 60.0 60 NASDAQ_micro -1.1 -1.6 -0.6 -3.0 -3 NIKKEI 18.9 16.3 21.6 32.0 32 NZD -2.9 -3.3 -2.5 -1.0 -1 OAT 1.0 0.6 1.3 0.0 0 OATIES -8.6 -9.1 -8.1 NaN 0 OJ 1.0 0.9 1.2 NaN 0 PALLAD -0.1 -0.2 -0.0 0.0 0 PLAT 0.8 0.5 1.0 0.0 0 REDWHEAT -1.9 -2.0 -1.7 -2.0 -2 RICE -6.9 -7.3 -6.5 NaN 0 ROBUSTA 1.7 1.6 1.8 1.0 1 RUSSELL -3.8 -5.4 -2.2 -2.0 -2 SHATZ -9.2 -9.8 -8.5 NaN 0 SILVER-mini 1.6 1.4 1.7 NaN 0 SMI 5.5 5.2 5.8 9.0 9 SOFR -14.4 -16.7 -12.1 NaN 0 SOYBEAN -0.9 -1.0 -0.8 -1.0 -1 SOYMEAL -2.5 -2.7 -2.4 0.0 0 SOYOIL -0.8 -0.9 -0.7 -4.0 -4 SP400 0.3 0.2 0.3 2.0 2 SP500_micro 3.2 2.3 4.1 28.0 28 SUGAR11 1.1 0.8 1.5 1.0 1 US10 -1.7 -1.9 -1.5 0.0 0 US10U -0.7 -0.9 -0.6 -1.0 -1 US2 -5.2 -5.6 -4.9 NaN 0 US20 -0.1 -0.2 -0.1 1.0 1 US30 -0.2 -0.3 -0.2 0.0 0 US5 -3.3 -3.6 -3.0 -12.0 -12 VIX -69.3 -72.8 -65.8 -17.0 -17 WHEAT -2.2 -2.4 -2.0 -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 4.1 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 -0.0 -0.1 -0.0 0.1 0.0 0.0 0.1 -0.0 0.1 -0.1 -0.1 -0.4 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.2 -0.1 0.4 -0.0 0.1 -0.0 0.0 -0.1 -0.0 -0.1 0.2 0.1 0.1 -0.2 -0.7 -0.4 -0.5 -0.1 BITCOIN -0.6 0.2 0.3 0.0 0.1 0.0 0.1 -0.0 0.1 -0.1 0.5 -0.1 0.6 0.1 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 -0.0 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.2 0.0 -0.2 -0.1 0.0 0.6 0.6 -0.2 0.0 0.6 0.1 BOBL 0.0 -0.4 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -0.2 -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 0.3 0.3 -0.0 -0.2 -0.7 -0.7 0.2 -0.7 BTP -0.1 0.0 0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.3 -0.1 0.4 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 -0.1 0.3 0.0 -2.7 0.1 0.0 0.2 0.0 0.2 0.0 0.7 0.0 0.6 0.6 0.5 -0.2 -0.4 0.7 0.1 BUND -0.0 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.2 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.5 -0.0 0.1 0.0 0.1 -0.0 0.0 0.2 0.4 0.4 0.2 -0.1 -0.6 -0.7 0.5 -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 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.1 0.0 0.1 -0.0 0.0 0.0 0.5 0.5 0.4 0.0 -0.7 -0.7 0.0 -0.0 CAC 0.3 0.6 0.6 0.1 -0.0 0.2 0.0 0.2 0.1 -0.1 0.5 0.1 0.7 0.2 0.2 0.4 -0.0 0.2 0.1 0.2 0.2 0.1 0.5 0.2 -1.6 0.1 0.0 0.2 0.1 0.2 0.1 0.6 0.4 0.5 0.3 -0.1 -0.3 0.4 -0.2 0.6 CAD -0.1 -0.2 0.0 -0.0 0.1 0.0 0.0 0.1 -0.0 0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 0.1 -0.1 0.1 -0.1 -0.0 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 -0.0 0.0 -0.0 -0.2 0.1 -0.3 0.1 -0.0 -0.3 -0.1 -0.3 -0.2 0.0 -0.1 0.0 -0.4 0.1 -2.7 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.9 0.1 0.6 0.3 -0.6 -0.7 -0.7 -0.6 -0.2 CHF -0.5 -0.6 -0.5 -0.0 0.1 0.0 0.0 0.1 -0.0 -0.1 -0.3 -0.2 -0.1 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.2 -0.1 -0.2 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -1.1 -0.5 -0.6 -0.6 -0.5 -0.3 -0.5 -0.0 -0.5 COCOA 0.6 0.6 -0.4 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.3 0.1 0.4 0.1 0.1 0.4 0.3 0.4 0.4 0.2 0.2 0.2 0.4 0.2 -2.1 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.5 0.6 0.6 0.6 0.1 0.0 0.3 0.4 COFFEE 0.3 -0.1 0.2 0.0 0.0 0.0 0.0 -0.1 0.0 0.2 0.4 0.2 0.4 0.2 0.1 0.1 0.2 0.2 0.2 0.1 0.1 0.2 0.2 0.2 -2.7 0.1 0.2 0.1 0.2 0.2 0.1 0.7 0.5 0.6 0.5 0.2 -0.2 -0.7 0.1 -0.4 COPPER 0.4 0.5 0.3 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 0.3 0.2 -0.1 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.1 0.2 -2.0 0.1 0.1 0.1 0.1 0.0 0.1 0.1 -0.1 0.6 0.3 0.4 -0.7 -0.1 0.4 0.2 CORN 0.4 0.5 0.1 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 -0.4 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 -2.1 -0.0 0.0 -0.2 0.0 -0.3 0.0 -1.1 0.0 0.5 -0.3 -0.6 -0.3 -0.7 -0.3 0.0 COTTON2 -0.5 0.1 0.6 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 0.1 -0.1 0.1 -0.1 0.0 0.4 0.0 0.2 0.1 0.0 0.1 -0.1 0.1 -0.0 -2.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 -0.3 -0.5 0.6 0.6 -0.4 -0.4 -0.1 0.0 CRUDE_W 0.6 0.4 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.2 0.4 0.2 0.2 0.3 0.2 0.3 0.2 0.2 0.2 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 0.4 -0.1 0.7 0.7 0.7 0.7 DAX 0.5 0.6 0.6 0.1 -0.0 0.2 0.0 0.2 0.1 0.0 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 0.6 0.1 -0.2 0.4 0.1 0.7 DOW -0.2 -0.1 0.5 0.1 -0.0 0.2 0.0 0.1 0.0 -0.1 0.5 -0.0 0.7 0.1 0.2 -0.2 -0.2 -0.3 -0.2 0.2 0.2 -0.0 0.5 0.1 -1.9 0.1 -0.0 0.3 0.0 0.3 0.1 -0.5 0.2 -0.1 -0.6 0.0 -0.2 -0.2 0.1 -0.5 DX 0.4 0.1 0.1 -0.0 0.1 0.0 0.0 0.1 -0.0 0.0 0.1 0.2 0.1 0.2 0.2 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 0.8 0.5 0.6 0.6 0.1 0.6 0.1 0.7 0.3 EUR -0.2 0.0 -0.1 -0.0 0.1 0.0 0.0 0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 2.6 -0.0 0.1 0.0 -0.0 -0.0 -0.0 -0.4 -0.2 -0.3 0.1 -0.0 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.1 -0.5 0.0 -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 -0.1 -0.1 -0.0 0.0 -0.0 0.1 -0.0 1.8 -0.0 0.0 0.0 0.0 0.1 0.0 -0.1 0.2 0.2 0.0 0.0 -0.7 -0.7 0.4 0.7 EUROSTX 0.2 0.6 0.6 0.1 -0.0 0.2 0.0 0.2 0.1 0.0 0.5 0.2 0.7 0.2 0.2 -0.1 0.0 0.0 0.0 0.2 0.2 0.2 0.5 0.2 0.0 0.1 0.1 0.2 0.1 0.2 0.1 0.7 0.5 0.6 0.6 0.3 -0.5 0.4 -0.4 0.7 FEEDCOW -0.6 -0.0 0.4 0.0 0.0 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.2 0.0 -0.1 0.1 -0.4 -0.4 -0.4 -0.4 -0.1 0.0 -0.2 0.1 -0.2 -1.0 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 -0.5 0.5 0.7 0.6 0.7 0.7 GASOIL 0.2 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.3 0.1 0.5 0.1 0.2 0.3 0.4 0.4 0.4 0.2 0.2 0.2 0.4 0.2 0.9 0.1 0.1 0.2 0.1 0.2 0.1 1.1 -0.2 -0.3 -0.2 0.1 -0.4 -0.3 -0.7 -0.6 GASOLINE 0.5 0.5 0.4 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.4 0.2 0.5 0.2 0.2 0.4 0.2 0.1 0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.2 0.1 -0.4 0.0 0.2 0.6 0.4 0.7 0.7 0.7 0.6 GAS_US_mini 0.1 0.1 -0.4 0.0 0.0 0.1 0.0 0.1 0.0 0.1 -0.4 -0.0 -0.5 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 0.0 -0.5 -0.1 2.7 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 -1.1 -0.3 -0.6 -0.6 -0.6 -0.6 -0.1 -0.7 -0.2 GBP -0.4 -0.1 0.1 -0.0 0.1 0.0 0.0 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 0.0 -0.1 0.2 -0.1 0.3 0.0 0.1 0.1 0.0 0.1 -0.0 0.1 -0.2 -0.2 0.2 0.3 -0.7 -0.2 -0.7 -0.0 GOLD_micro 0.6 0.6 0.4 0.0 0.1 0.0 0.1 -0.0 0.1 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 -0.4 HEATOIL 0.3 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.0 0.2 0.3 0.1 0.2 0.2 0.4 0.4 0.4 0.1 0.1 0.2 0.3 0.1 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 1.1 -0.1 -0.3 -0.1 0.1 0.7 0.2 0.5 0.1 JGB-SGX-mini -0.0 -0.2 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 0.0 0.3 0.0 -0.0 0.2 0.3 0.2 0.2 0.0 0.0 -0.0 0.1 -0.0 -1.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 -0.1 0.1 0.2 0.1 -0.3 -0.6 0.0 0.3 JPY -0.3 -0.2 -0.4 -0.0 0.0 0.0 0.0 0.1 -0.0 -0.1 -0.4 -0.2 -0.6 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 2.7 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -1.1 -0.1 -0.4 -0.5 -0.5 -0.7 -0.4 -0.6 -0.4 LEANHOG -0.1 0.6 0.6 0.0 0.0 0.1 0.0 -0.1 0.0 0.2 0.5 0.2 -0.3 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 0.2 -0.1 0.2 2.0 0.1 0.1 0.2 0.1 0.1 0.1 -1.1 0.4 0.0 0.6 0.6 -0.3 -0.3 0.1 0.4 LIVECOW -0.6 0.2 0.4 0.0 0.0 0.0 0.0 -0.1 0.0 -0.2 0.1 -0.2 0.1 -0.1 0.1 0.4 0.0 0.4 0.1 0.0 0.1 -0.2 0.1 -0.2 -0.8 0.0 -0.0 0.1 -0.1 0.2 -0.0 0.3 -0.5 -0.6 0.4 0.6 0.7 0.3 0.7 0.7 LUMBER-new -0.4 0.3 0.4 0.0 0.0 0.1 0.0 -0.1 0.0 -0.2 0.5 -0.2 -0.4 0.1 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 -0.1 0.2 0.0 NaN 0.1 -0.1 0.2 -0.1 0.2 -0.0 -1.2 -0.6 -0.7 0.7 0.7 -0.4 -0.6 -0.2 -0.4 MILK -0.4 -0.3 0.3 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 -0.4 -0.2 -0.5 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.2 -0.5 -0.2 1.8 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -1.1 -0.5 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.2 0.3 0.2 -0.0 0.1 0.0 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 0.0 -0.1 0.4 0.1 0.6 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.0 0.5 0.1 -2.7 0.1 -0.0 0.2 -0.0 0.3 0.0 -0.4 -0.1 -0.5 -0.5 0.2 0.2 -0.1 0.4 -0.1 NIKKEI 0.0 0.3 0.6 0.1 -0.0 0.2 0.0 0.1 0.0 -0.1 0.5 0.1 0.7 0.2 0.2 0.1 0.2 0.2 0.2 0.2 0.2 0.1 0.5 0.2 -2.2 0.1 -0.0 0.2 0.0 0.3 0.0 1.1 -0.0 -0.6 0.5 0.6 -0.6 -0.2 -0.3 -0.2 NZD -0.5 -0.3 -0.1 -0.0 0.1 0.0 0.0 0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.0 -0.1 -0.1 -0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.2 -0.2 -0.6 -0.3 -0.2 -0.3 -0.3 -0.1 0.2 OAT -0.2 -0.3 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.1 -0.1 0.0 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.0 0.0 -0.1 0.0 -0.0 0.6 0.0 0.1 0.0 0.1 0.0 0.0 0.7 0.2 0.3 0.2 0.0 -0.6 -0.7 0.5 0.1 OATIES -0.2 0.0 -0.3 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 -0.5 -0.2 -0.5 -0.2 -0.1 0.2 -0.0 0.1 0.1 -0.1 -0.2 -0.1 -0.4 -0.1 -2.7 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.4 -0.5 -0.2 -0.2 -0.5 0.0 -0.1 0.5 OJ -0.0 0.2 -0.3 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 0.2 0.1 0.5 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 0.6 0.0 1.1 0.3 -0.3 0.1 -0.3 0.4 0.3 0.6 0.7 PALLAD 0.1 0.4 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 -0.3 0.0 1.4 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 0.1 0.1 -0.1 0.0 0.1 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 0.1 -0.1 0.0 1.4 0.0 0.1 -0.0 0.1 -0.0 0.0 0.2 0.1 -0.1 -0.3 -0.0 -0.5 -0.2 0.7 0.2 REDWHEAT 0.2 0.2 -0.1 0.0 0.0 0.0 0.0 -0.1 0.0 -0.0 -0.5 0.0 -0.7 -0.0 -0.1 0.1 0.0 0.1 0.1 -0.1 -0.2 -0.0 -0.5 -0.0 -1.0 -0.1 0.0 -0.2 0.0 -0.3 -0.0 0.1 0.1 0.2 -0.6 -0.6 -0.4 -0.7 -0.2 -0.7 RICE -0.6 -0.6 0.1 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 0.1 -0.2 0.4 -0.2 -0.1 -0.3 -0.1 -0.3 -0.2 -0.2 0.0 -0.2 0.3 -0.2 -2.4 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.8 -0.5 -0.6 -0.6 -0.5 0.3 -0.1 0.6 0.2 ROBUSTA 0.4 -0.1 0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 0.5 0.2 0.6 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 1.1 0.5 0.6 0.6 0.6 -0.7 -0.6 -0.3 0.1 RUSSELL -0.1 0.2 0.4 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.3 0.0 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.2 0.1 -0.2 0.1 0.0 0.1 0.0 0.1 0.0 -0.1 0.3 -0.3 -0.4 -0.3 -0.4 -0.6 -0.5 -0.7 SHATZ 0.0 -0.6 -0.4 -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 0.1 0.1 -0.3 -0.3 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.4 0.5 0.1 0.0 0.1 0.0 0.1 -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 0.1 0.2 0.0 0.2 0.6 0.1 0.1 0.1 0.1 0.0 0.1 -0.1 0.2 0.6 0.6 0.3 -0.5 -0.6 0.7 0.0 SMI 0.1 0.6 0.6 0.1 -0.0 0.2 0.0 0.2 0.1 -0.2 0.5 0.0 0.5 0.2 0.2 -0.0 0.1 0.1 0.1 0.2 0.2 0.0 0.4 0.2 2.3 0.1 0.0 0.2 0.1 0.2 0.1 1.0 0.5 0.4 -0.3 -0.3 0.4 -0.1 0.7 -0.2 SOFR -0.3 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.2 0.1 0.1 -0.0 0.1 -0.7 -0.7 0.1 -0.1 SOYBEAN 0.6 0.3 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 -0.4 0.1 -0.2 0.1 -0.1 0.0 0.2 0.1 0.2 -0.0 -0.1 0.0 -0.4 0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.9 -0.1 0.6 0.0 -0.6 -0.3 -0.7 -0.3 -0.7 SOYMEAL 0.4 -0.1 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 -0.5 -0.1 -0.5 -0.1 -0.2 -0.2 0.2 -0.1 0.0 -0.2 -0.2 -0.1 -0.5 -0.1 -2.7 -0.1 -0.0 -0.2 -0.0 -0.1 -0.0 0.4 -0.3 0.2 -0.5 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 0.5 -0.1 0.0 0.0 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 0.1 -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 -0.0 0.6 0.6 0.1 -0.0 0.1 0.0 0.1 0.0 -0.1 0.5 0.1 0.5 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.1 0.5 0.2 -1.7 0.1 0.0 0.2 0.0 0.2 0.1 0.1 0.5 0.1 0.1 0.0 -0.4 -0.3 -0.3 -0.7 SP500_micro 0.0 0.4 0.6 0.1 -0.0 0.2 0.0 0.2 0.1 -0.1 0.5 0.1 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.3 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.3 0.0 0.3 0.1 -0.6 0.1 -0.0 -0.0 0.6 -0.0 -0.1 0.4 -0.2 SUGAR11 0.3 -0.1 -0.3 0.0 0.0 0.0 0.0 -0.1 0.0 -0.0 -0.2 0.1 0.2 0.0 -0.0 0.2 0.3 0.3 0.3 -0.0 -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 0.4 -0.1 -0.6 0.7 0.2 0.7 0.6 US10 -0.3 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.1 -0.0 -0.1 -0.2 -0.1 0.3 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.6 -0.0 0.0 -0.0 0.1 -0.7 -0.7 -0.5 0.2 US10U -0.3 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -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 -0.3 -0.6 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.3 -0.1 1.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.1 -0.1 -0.0 -0.2 -0.1 -0.7 -0.7 -0.7 -0.7 US20 -0.3 -0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 0.1 0.2 -0.7 -0.6 0.7 0.7 US30 -0.3 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.0 -0.1 -0.2 -0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.4 0.1 0.1 0.2 0.2 -0.5 -0.5 0.7 0.7 US5 -0.3 -0.4 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 -0.1 -0.2 -0.1 0.8 -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 0.0 0.3 -0.2 -0.1 0.0 -0.5 -0.1 -0.9 -0.1 0.1 -0.9 -0.2 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.1 -0.9 -0.1 NaN -0.2 -0.0 -0.6 -0.1 -1.2 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.5 0.0 -0.1 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.4 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 0.2 -0.0 0.0 -0.2 0.0 -0.2 0.0 -1.1 0.4 0.5 -0.6 -0.6 -0.3 -0.7 -0.1 -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 -3.1 -1.2 -2.3 -1.0 7.2 1.2 0.7 3.2 -1.5 8.5 -4.6 -8.7 -11.1 -3.7 -13.5 -2.8 -2.9 -2.8 -2.8 -4.7 -3.5 -3.0 -5.6 -5.3 3.1 -1.6 10.1 -1.4 3.8 -2.3 -0.3 -1.1 8.5 3.0 1.6 -5.8 -20.0 -11.0 -14.5 -2.0 BITCOIN -19.4 6.7 8.6 3.5 9.3 1.0 5.9 -0.2 4.8 -7.1 17.2 -6.2 17.5 12.0 14.7 -9.2 -7.4 -9.1 -8.5 20.0 20.0 -1.5 20.0 15.0 -20.0 6.5 -0.8 6.6 0.8 5.1 4.0 -3.3 -3.9 0.7 20.0 20.0 -7.2 0.2 17.4 3.9 BOBL 1.4 -12.9 -5.9 -1.4 -1.8 -0.5 -1.2 -1.2 -1.4 -0.7 -1.9 -0.3 -2.2 -4.6 -7.7 8.6 -12.5 -8.8 -13.6 -5.0 -3.2 0.4 -3.6 -2.2 6.5 -1.3 4.8 -0.8 4.2 -0.8 0.8 -20.0 13.3 10.2 -0.6 -4.9 -20.0 -20.0 6.5 -20.0 BTP -4.3 0.3 11.3 -2.4 -3.2 -0.9 -2.0 -2.1 -2.5 -15.2 12.8 -10.8 11.8 4.1 4.8 4.9 6.2 4.9 5.2 8.7 14.3 -11.4 12.0 0.2 -20.0 5.4 0.1 6.6 1.8 5.5 3.9 13.0 1.4 17.7 20.0 14.2 -7.3 -13.2 20.0 2.7 BUND -1.2 -8.8 -1.0 -1.6 -2.1 -0.6 -1.4 -1.4 -1.6 -4.0 0.6 -1.7 -0.8 -4.6 -7.7 -9.3 1.7 -4.1 -1.3 -2.8 -0.6 -1.5 -2.3 -1.9 3.9 -0.1 7.7 0.3 6.9 -0.2 2.4 3.7 17.1 12.0 4.7 -1.9 -16.9 -20.0 14.5 -9.1 BUXL -3.6 -4.8 2.5 -2.0 -2.6 -0.8 -1.7 -1.7 -2.1 -7.2 2.5 -5.3 -3.7 -5.7 -8.6 -7.7 -1.3 -4.9 -2.8 -1.3 0.7 -4.6 -4.0 -2.2 -0.4 1.3 11.3 1.3 10.0 -0.4 4.2 0.0 20.0 15.1 11.7 1.2 -20.0 -20.0 0.6 -0.2 CAC 7.8 20.0 20.0 8.4 -3.8 7.9 0.7 5.6 5.6 -12.3 20.0 13.7 20.0 20.0 20.0 20.0 -0.3 10.1 2.9 20.0 20.0 7.1 20.0 20.0 -11.8 9.8 4.0 8.4 6.2 6.1 8.6 11.2 17.0 14.1 9.9 -1.6 -7.9 12.1 -4.7 17.4 CAD -2.7 -5.5 0.1 -1.2 8.2 1.4 0.7 3.7 -1.8 12.2 -3.1 -8.0 -5.2 -12.0 -17.2 -2.3 -2.2 -2.2 -2.2 -6.0 -3.7 -1.8 -4.7 -6.1 -0.4 -2.9 10.0 -2.0 4.6 -2.6 -1.2 0.0 7.7 3.1 -4.8 0.2 -19.1 -15.9 -4.0 -13.1 CANOLA 20.0 20.0 -11.2 1.4 1.3 0.9 0.2 -1.3 0.4 -4.1 -9.0 4.9 -9.5 7.3 -1.5 -14.3 -5.9 -13.8 -11.5 1.1 -11.0 4.3 -16.6 7.9 -20.0 0.4 0.2 -3.2 1.5 -5.1 2.6 -16.6 2.2 20.0 9.2 -20.0 -20.0 -19.8 -16.9 -6.0 CHF -16.7 -20.0 -14.7 -0.9 6.5 1.1 0.6 3.0 -1.4 -7.2 -10.5 -17.3 -3.6 -19.1 -19.1 -15.8 -15.7 -15.8 -15.8 -20.0 -14.4 -20.0 -3.9 -20.0 -2.6 -6.0 -1.7 -2.7 -6.4 -0.3 -7.9 -20.0 -20.0 -20.0 -20.0 -15.5 -10.0 -16.4 -1.1 -16.0 COCOA 20.0 18.8 -12.5 1.1 1.0 0.7 0.1 -1.0 0.3 3.6 9.9 8.2 9.9 9.3 9.8 20.0 14.0 20.0 20.0 20.0 20.0 20.0 15.5 20.0 -15.7 3.4 0.4 3.1 2.2 2.6 3.2 20.0 20.0 20.0 20.0 20.0 3.1 0.5 9.3 12.4 COFFEE 7.9 -2.0 7.1 2.7 2.5 1.7 0.3 -2.5 0.8 20.0 14.2 19.6 10.7 16.0 8.0 6.9 7.8 10.9 10.0 12.5 12.1 20.0 8.7 20.0 -20.0 5.6 20.0 5.2 17.8 4.6 10.0 13.7 20.0 20.0 16.0 6.4 -6.8 -20.0 2.1 -12.2 COPPER 12.0 15.4 8.5 3.8 10.0 1.1 6.3 -0.2 5.1 17.3 11.0 14.7 -2.1 16.2 14.9 -5.3 -5.0 -5.4 -5.5 17.6 10.8 20.0 3.4 20.0 -14.7 5.8 10.5 3.4 8.3 1.1 7.4 1.2 -4.7 20.0 8.9 13.1 -20.0 -2.3 12.6 5.6 CORN 13.7 16.7 3.5 2.3 2.1 1.5 0.3 -2.1 0.7 2.6 -13.1 5.1 -18.7 10.1 -7.8 -19.4 -8.5 -17.7 -14.2 -5.0 -14.1 0.7 -20.0 1.4 -16.1 -3.6 2.6 -7.2 2.2 -8.0 0.6 -20.0 2.0 13.9 -9.8 -20.0 -9.2 -20.0 -7.7 0.1 COTTON2 -14.8 2.0 20.0 1.5 1.4 1.0 0.2 -1.4 0.5 -9.5 4.7 -11.1 3.5 -4.9 3.8 17.6 1.6 7.6 2.7 4.4 6.8 -7.4 3.7 -2.9 -20.0 3.0 -3.1 3.7 -2.6 2.5 -0.1 1.2 -11.4 -14.6 20.0 20.0 -11.1 -13.4 -1.7 1.3 CRUDE_W 17.8 13.6 5.0 7.3 9.3 4.9 8.3 3.7 8.1 20.0 4.8 20.0 11.6 20.0 20.0 16.2 10.8 13.0 11.4 20.0 15.9 20.0 15.0 20.0 -5.3 8.7 11.4 5.8 12.9 5.5 11.6 -1.1 11.7 10.1 13.6 -1.8 20.0 20.0 20.0 20.0 DAX 16.5 20.0 20.0 8.2 -3.8 7.8 0.7 5.5 5.5 1.4 20.0 16.8 20.0 20.0 20.0 -13.1 -11.7 -14.0 -13.4 20.0 20.0 20.0 20.0 20.0 18.2 9.8 7.8 7.8 10.9 5.4 10.9 -11.4 20.0 20.0 20.0 4.5 -5.8 10.7 2.4 20.0 DOW -5.3 -4.0 14.8 6.1 -2.8 5.8 0.5 4.1 4.1 -16.3 19.4 -1.4 18.8 7.3 15.7 -12.4 -11.1 -12.9 -12.3 17.4 20.0 -2.8 20.0 7.9 -14.2 7.2 -0.1 9.4 3.1 9.0 5.1 -10.0 7.8 -3.1 -20.0 0.4 -5.7 -6.8 3.0 -15.1 DX 12.6 3.6 4.1 -1.2 8.2 1.4 0.8 3.7 -1.8 3.5 5.3 20.0 3.9 15.1 16.8 7.5 6.4 7.0 6.7 11.3 6.6 16.0 5.7 16.6 -20.0 5.0 1.6 2.3 8.1 2.4 8.3 15.1 20.0 20.0 18.3 2.2 18.8 3.8 20.0 10.0 EUR -7.5 1.0 -2.5 -1.1 7.9 1.4 0.7 3.5 -1.7 1.7 -2.0 -13.5 -2.2 -7.1 -12.3 -6.9 -6.7 -6.7 -6.6 -5.4 -3.0 -11.5 -2.7 -10.1 19.8 -0.7 6.7 0.3 -1.1 -0.0 -2.6 -7.6 -6.9 -8.3 4.1 -1.0 -20.0 -15.3 -20.0 -12.1 EURIBOR-ICE -3.5 -14.2 1.5 -1.2 -1.6 -0.5 -1.0 -1.0 -1.2 -1.6 3.0 -2.3 2.9 -3.6 -4.5 -4.7 -4.0 -2.6 -2.7 -1.3 3.1 -0.2 3.5 -1.4 13.8 -0.0 2.7 1.7 2.3 1.9 0.5 -2.6 8.2 7.4 1.0 1.3 -20.0 -20.0 11.5 20.0 EUROSTX 7.5 20.0 20.0 8.2 -3.7 7.7 0.7 5.4 5.5 3.4 20.0 18.6 20.0 20.0 20.0 -4.8 1.3 1.6 2.2 20.0 20.0 20.0 20.0 20.0 0.2 9.8 5.6 8.8 7.7 6.6 9.0 13.0 20.0 17.6 18.3 9.2 -14.9 12.4 -12.7 19.9 FEEDCOW -20.0 -0.8 13.7 2.6 2.4 1.7 0.3 -2.4 0.8 -17.3 0.5 -18.8 1.0 -13.2 10.8 -20.0 -20.0 -20.0 -20.0 -5.7 3.6 -20.0 4.8 -20.0 -7.4 -1.6 -4.9 1.1 -9.1 3.3 -7.3 -20.0 -20.0 -20.0 -14.5 16.5 20.0 19.3 20.0 20.0 GASOIL 5.7 3.9 6.9 6.1 7.8 4.1 7.0 3.1 6.8 16.8 9.6 13.1 13.5 13.4 17.8 17.2 20.0 20.0 20.0 14.5 14.0 16.9 15.5 13.9 7.1 6.4 13.3 6.3 8.0 6.8 6.3 20.0 -7.1 -9.2 -5.4 3.5 -11.5 -9.4 -20.0 -16.7 GASOLINE 15.4 15.4 12.0 7.0 8.9 4.7 8.0 3.6 7.8 20.0 13.8 20.0 14.8 20.0 20.0 20.0 10.0 7.4 4.0 20.0 20.0 20.0 16.9 20.0 -20.0 8.7 7.4 6.4 9.0 5.8 9.4 -7.0 1.6 7.6 18.7 12.7 20.0 19.5 20.0 17.5 GAS_US_mini 1.8 3.4 -12.5 3.6 4.7 2.4 4.2 1.9 4.1 9.1 -13.2 -2.9 -13.9 -8.0 -12.2 -20.0 -20.0 -20.0 -20.0 -12.7 -20.0 0.3 -20.0 -5.4 20.0 -4.9 -0.9 -6.1 -2.0 -5.8 -3.3 -20.0 -13.1 -20.0 -20.0 -20.0 -17.5 -2.4 -20.0 -7.2 GBP -11.2 -2.0 2.7 -1.2 8.3 1.4 0.8 3.7 -1.8 8.0 10.7 -15.7 8.8 -11.3 -3.9 -0.9 -0.6 -0.7 -0.6 -1.3 4.5 -11.1 5.9 -9.2 2.1 1.9 8.9 4.6 0.8 4.0 -1.4 2.8 -8.4 -4.8 5.8 8.4 -20.0 -7.4 -20.0 -0.5 GOLD_micro 18.8 20.0 11.2 3.8 10.1 1.1 6.3 -0.2 5.2 19.0 18.2 20.0 13.3 20.0 19.0 -14.7 -14.7 -15.2 -15.0 20.0 20.0 20.0 14.0 20.0 -4.0 6.8 10.2 4.4 10.9 2.7 9.1 -15.3 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -13.1 HEATOIL 7.9 3.2 3.3 6.4 8.2 4.3 7.3 3.3 7.1 18.5 1.8 15.3 9.1 12.4 16.0 10.4 20.0 19.5 20.0 11.0 8.9 19.0 10.5 13.6 -20.0 7.0 10.6 6.7 9.2 7.9 7.3 20.0 -5.3 -9.7 -4.6 2.7 20.0 5.3 16.0 2.4 JGB-SGX-mini -1.5 -4.8 5.4 -1.5 -2.0 -0.6 -1.3 -1.3 -1.6 -6.0 5.2 3.5 7.2 0.8 -0.7 8.4 15.7 10.6 12.0 0.1 2.9 -0.6 4.4 -0.5 -7.8 -0.3 -2.1 0.5 -0.4 0.4 -0.3 20.0 -5.5 2.4 5.5 2.2 -9.9 -16.8 0.8 9.7 JPY -9.9 -6.6 -13.4 -0.8 5.4 0.9 0.5 2.4 -1.2 -14.5 -15.7 -16.1 -16.2 -15.7 -16.0 -16.6 -16.4 -16.6 -16.5 -15.8 -17.1 -12.8 -20.0 -15.4 20.0 -4.9 -2.1 -4.9 -4.6 -6.5 -5.4 -20.0 -5.7 -12.9 -15.4 -14.5 -20.0 -11.5 -16.6 -12.2 LEANHOG -2.7 18.1 20.0 3.2 2.9 2.0 0.4 -2.9 1.0 20.0 17.1 20.0 -8.8 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 16.8 20.0 -3.0 20.0 15.2 8.6 6.1 8.2 4.8 1.4 5.4 -20.0 18.3 0.9 20.0 20.0 -7.7 -8.8 3.5 13.5 LIVECOW -20.0 7.5 12.4 2.6 2.4 1.7 0.3 -2.4 0.8 -17.9 3.7 -18.6 2.9 -10.0 11.9 20.0 1.5 18.2 7.2 1.6 6.2 -20.0 5.2 -20.0 -5.7 2.5 -2.5 3.3 -5.4 4.2 -2.6 4.8 -20.0 -19.9 12.5 17.7 20.0 10.0 20.0 20.0 LUMBER-new -9.7 8.2 11.2 3.2 2.9 2.1 0.4 -2.0 1.0 -19.4 17.1 -16.4 -9.4 7.1 15.1 -16.6 -15.5 -16.5 -15.9 12.4 13.7 -12.6 4.8 0.6 NaN 5.3 -13.1 6.6 -11.4 3.9 -2.1 -20.0 -20.0 -19.7 20.0 20.0 -11.0 -14.9 -6.4 -9.1 MILK -11.7 -10.2 9.2 1.8 1.7 1.2 0.2 -1.7 0.6 -13.2 -14.8 -14.9 -15.2 -15.1 -14.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 13.4 -5.0 -4.8 -4.9 -6.4 -6.2 -6.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 7.3 10.2 7.0 -1.2 8.4 1.5 0.8 3.8 -1.8 20.0 20.0 20.0 20.0 20.0 20.0 18.4 17.2 17.8 17.0 20.0 20.0 20.0 20.0 20.0 -20.0 9.4 7.9 8.0 10.6 8.9 10.7 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -4.4 0.8 13.1 5.0 -2.3 4.7 0.4 3.3 3.4 -8.4 16.0 6.0 16.1 10.8 14.8 -11.4 -10.3 -11.5 -11.1 16.6 20.0 0.1 20.0 7.2 -20.0 5.6 -1.9 8.5 -0.8 9.5 2.0 -8.3 -2.4 -16.9 -16.4 5.5 5.4 -2.0 11.3 -3.5 NIKKEI 0.1 8.1 20.0 6.0 -2.8 5.7 0.5 4.0 4.1 -11.8 18.6 8.1 19.1 14.5 17.5 3.2 11.0 7.8 9.8 20.0 20.0 5.8 20.0 20.0 -16.3 6.8 -0.7 8.0 0.9 7.3 3.7 20.0 -0.9 -19.4 14.8 20.0 -19.4 -6.9 -8.4 -6.7 NZD -15.8 -7.9 -1.9 -0.9 6.1 1.1 0.6 2.8 -1.3 -0.2 -0.1 -13.8 -2.4 -14.7 -13.6 0.2 0.3 0.3 0.3 -10.1 -3.2 -13.4 -1.9 -15.9 0.2 -4.3 2.0 -1.1 -4.2 -0.2 -6.5 4.2 -7.4 -17.9 -7.9 -7.1 -9.6 -7.9 -2.5 4.8 OAT -5.0 -7.8 1.8 -1.7 -2.3 -0.7 -1.5 -1.5 -1.8 -5.2 2.7 -7.3 1.0 -7.1 -7.4 4.8 6.1 4.7 5.0 -1.9 1.9 -6.5 0.2 -4.1 4.5 0.5 7.2 1.7 5.6 1.0 1.8 12.7 9.6 9.4 5.9 0.3 -17.4 -20.0 13.7 2.3 OATIES -5.0 0.6 -8.9 2.3 2.1 1.5 0.3 -2.2 0.7 -15.5 -17.9 -16.8 -14.9 -14.6 -9.2 9.5 -0.8 7.4 2.7 -9.6 -14.2 -15.0 -15.0 -10.9 -20.0 -5.1 -14.9 -5.9 -12.7 -6.2 -8.2 -1.2 -17.2 -16.6 -7.5 -6.0 -13.7 0.1 -3.1 14.5 OJ -0.5 5.3 -10.1 2.0 1.9 1.3 0.2 -1.9 0.6 11.7 7.9 12.8 12.8 8.0 9.9 6.0 14.3 7.3 10.3 8.8 13.5 7.1 20.0 7.3 -20.0 2.3 -1.8 6.8 -1.2 15.3 0.4 20.0 12.6 -7.9 3.5 -9.6 11.7 9.5 19.5 20.0 PALLAD 3.2 13.7 0.2 1.5 4.1 0.4 2.6 -0.1 2.1 5.4 -4.1 -2.4 -7.6 3.4 -2.2 -1.8 -2.1 -1.8 -1.9 0.3 -3.9 0.5 -9.5 1.2 10.5 0.6 1.7 -1.6 1.1 -4.1 1.1 6.9 -5.4 -2.9 -4.5 2.9 -20.0 -11.7 -18.0 -7.3 PLAT 3.4 4.1 -3.0 2.3 6.1 0.7 3.9 -0.1 3.2 10.6 -4.7 3.5 -8.4 3.0 -6.4 -4.2 -3.5 -4.2 -3.9 -0.2 -2.4 6.0 -3.8 2.4 10.4 1.0 9.2 -0.3 6.6 -0.8 3.1 4.0 3.1 -1.8 -8.0 -0.9 -14.0 -4.6 20.0 7.4 REDWHEAT 7.4 7.3 -3.4 2.2 2.0 1.4 0.3 -2.0 0.7 -3.4 -16.9 0.2 -18.1 -4.4 -11.4 7.3 1.5 5.6 2.9 -9.5 -18.5 -4.0 -20.0 -3.9 -7.8 -5.0 1.5 -7.9 0.3 -8.6 -1.6 1.9 5.4 7.7 -20.0 -20.0 -12.8 -20.0 -4.9 -20.0 RICE -20.0 -20.0 2.4 2.6 2.4 1.7 0.3 -2.4 0.8 -16.7 3.3 -20.0 12.5 -20.0 -12.1 -16.0 -5.0 -13.7 -11.1 -20.0 0.1 -20.0 11.4 -20.0 -17.9 -5.3 -9.4 -0.8 -13.9 1.1 -11.0 -14.8 -20.0 -20.0 -20.0 -16.8 8.3 -3.5 18.4 7.4 ROBUSTA 12.5 -4.1 20.0 2.1 1.9 1.3 0.2 -1.9 0.6 15.6 17.5 16.8 17.6 16.7 17.5 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 6.9 8.3 7.6 9.1 7.5 7.3 20.0 20.0 20.0 20.0 20.0 -20.0 -18.8 -7.6 2.7 RUSSELL -3.9 7.3 12.2 4.6 -2.1 4.4 0.4 3.1 3.1 -7.5 12.7 3.0 9.7 9.4 11.8 -6.6 -6.3 -6.6 -6.5 9.9 10.9 1.6 7.3 6.4 -1.9 5.0 0.7 5.3 2.5 4.0 3.8 -0.9 11.8 -10.3 -11.3 -8.4 -13.5 -18.6 -13.6 -20.0 SHATZ 1.5 -19.7 -13.3 -1.2 -1.6 -0.5 -1.0 -1.0 -1.2 1.4 -6.8 -1.5 -7.1 -6.0 -7.8 -20.0 -20.0 -20.0 -20.0 -9.0 -8.1 0.3 -8.4 -4.6 8.1 -2.2 0.9 -1.7 0.5 -1.7 -1.1 -20.0 4.7 4.5 -7.8 -8.5 -20.0 -20.0 -8.6 -20.0 SILVER-mini 11.3 16.9 1.7 3.0 8.0 0.9 5.0 -0.2 4.1 13.6 5.3 12.5 -0.3 12.8 8.1 -6.4 -6.6 -6.7 -6.8 12.2 5.2 20.0 1.1 18.4 4.3 4.9 10.6 2.6 9.0 1.1 6.9 -1.2 8.9 19.2 18.2 10.3 -15.1 -17.2 20.0 0.4 SMI 4.2 18.6 20.0 7.7 -3.5 7.2 0.6 5.1 5.2 -20.0 20.0 4.2 14.8 19.5 20.0 -0.8 5.1 4.4 5.5 20.0 20.0 1.0 14.8 19.8 17.0 8.6 3.6 7.2 5.8 4.2 7.8 19.3 20.0 10.9 -9.4 -8.6 13.3 -3.2 20.0 -5.9 SOFR -8.5 -8.9 -1.0 -1.8 -2.4 -0.7 -1.6 -1.6 -1.9 -11.9 3.3 -11.0 -0.5 -10.4 -9.2 -1.1 0.0 -0.1 0.2 -5.4 -2.2 -9.4 -2.8 -7.3 -3.0 -0.8 -0.2 0.5 -0.2 0.1 -1.0 3.4 2.8 2.7 -0.7 2.1 -20.0 -20.0 1.7 -2.9 SOYBEAN 19.6 10.1 -17.4 2.4 2.2 1.5 0.3 -2.2 0.8 -10.5 -13.0 6.0 -5.7 10.2 -8.0 1.7 12.4 5.2 8.3 -3.2 -13.4 0.9 -13.2 5.3 -20.0 -0.4 0.2 -3.6 1.7 -3.1 3.0 16.5 -5.0 20.0 1.5 -20.0 -9.4 -20.0 -8.4 -20.0 SOYMEAL 11.9 -2.9 -20.0 2.2 2.0 1.4 0.3 -2.0 0.7 -14.4 -17.0 -10.2 -13.3 -8.6 -15.7 -9.0 7.7 -4.6 1.1 -16.6 -20.0 -12.1 -17.0 -8.4 -20.0 -4.9 -3.8 -6.8 -2.7 -3.9 -1.8 7.0 -10.9 5.0 -15.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 20.0 15.1 -4.6 1.9 1.7 1.2 0.2 -1.8 0.6 8.0 -12.1 8.5 -11.0 9.3 0.5 -8.2 1.6 -6.6 -3.2 2.8 -8.0 7.5 -12.7 9.0 -20.0 2.9 1.6 -0.2 2.8 -1.9 4.3 -2.5 -2.9 20.0 16.6 -3.6 -18.0 -10.1 -10.8 5.2 SP400 -1.0 17.6 20.0 5.8 -2.6 5.4 0.5 3.8 3.9 -11.1 17.9 6.8 15.2 14.9 17.2 -4.5 -5.3 -5.2 -5.4 20.0 20.0 8.6 17.3 19.9 -13.1 6.7 1.0 6.2 3.8 4.5 5.8 0.9 20.0 3.6 3.9 1.3 -11.6 -9.2 -8.8 -20.0 SP500_micro 0.8 13.5 20.0 6.9 -3.2 6.5 0.6 4.6 4.7 -15.1 20.0 11.4 20.0 19.1 20.0 -13.5 -11.7 -13.3 -12.6 20.0 20.0 7.2 20.0 20.0 -20.0 8.4 -0.5 9.7 2.1 8.7 5.4 -10.7 4.7 -0.4 -1.4 17.8 -0.2 -3.5 11.1 -5.5 SUGAR11 9.4 -2.2 -8.2 2.1 2.0 1.4 0.3 -2.0 0.7 -2.0 -7.2 10.4 5.1 2.0 -0.5 10.7 17.3 13.4 15.8 -3.1 -7.1 4.9 0.1 3.4 -20.0 -1.9 -1.8 -4.6 2.7 -0.0 2.1 20.0 12.0 11.9 -3.8 -20.0 20.0 4.9 20.0 18.3 US10 -8.6 -8.6 0.7 -1.5 -2.0 -0.6 -1.3 -1.3 -1.6 -10.0 1.7 -9.3 -3.5 -9.1 -7.7 -7.1 -8.0 -8.0 -8.2 -4.8 -3.2 -9.0 -6.6 -6.7 2.6 -0.8 -1.1 0.0 -1.0 -1.1 -1.2 -10.8 -0.2 1.4 -0.6 2.3 -20.0 -20.0 -13.9 6.3 US10U -8.2 -7.8 0.3 -2.1 -2.8 -0.8 -1.8 -1.8 -2.2 -14.1 1.9 -13.1 -4.8 -13.1 -11.2 -3.9 -0.6 -2.4 -1.2 -6.5 -4.7 -12.4 -9.8 -9.1 -0.5 -0.8 -1.6 0.1 -1.4 -1.7 -1.5 1.8 0.0 2.1 0.8 4.0 -20.0 -20.0 14.4 17.3 US2 -8.7 -17.3 -4.7 -1.3 -1.7 -0.5 -1.1 -1.1 -1.3 -5.7 -4.3 -7.3 -7.0 -8.0 -7.9 -20.0 -20.0 -20.0 -20.0 -8.4 -6.6 -7.5 -9.3 -8.4 11.4 -2.0 -0.2 -1.0 -0.9 -1.7 -1.9 -20.0 -3.4 -1.2 -7.6 -2.1 -20.0 -20.0 -20.0 -20.0 US20 -8.9 -4.7 3.5 -1.5 -2.1 -0.6 -1.3 -1.3 -1.6 -10.2 3.2 -9.1 -1.9 -7.2 -6.0 -0.0 -0.8 -0.1 -0.4 -2.4 -1.1 -9.1 -5.5 -5.3 -1.3 0.5 -1.7 1.1 -1.0 -0.8 -0.4 2.2 1.3 2.6 4.4 6.6 -20.0 -19.0 20.0 20.0 US30 -8.9 -2.9 2.2 -1.8 -2.4 -0.7 -1.5 -1.5 -1.9 -11.7 2.6 -11.0 -3.6 -8.3 -7.9 -7.2 -6.1 -7.5 -7.1 -2.9 -2.1 -9.2 -7.5 -5.6 -0.6 0.6 -1.6 1.1 -0.8 -1.5 -0.5 -8.1 3.1 1.6 6.9 5.6 -15.2 -15.3 20.0 20.0 US5 -8.3 -12.1 -1.8 -1.5 -2.0 -0.6 -1.3 -1.3 -1.6 -9.7 -0.0 -9.1 -4.8 -9.3 -8.2 -10.6 -10.2 -10.0 -10.1 -6.6 -4.6 -8.6 -7.1 -7.6 5.6 -1.4 -0.7 -0.3 -0.9 -1.0 -1.5 -14.5 -0.9 0.9 -3.7 0.5 -20.0 -20.0 -20.0 -7.4 VIX 0.5 5.7 -3.1 -8.3 0.2 -11.3 -3.3 -15.6 -5.9 7.5 -20.0 -12.1 -20.0 -17.9 -20.0 -20.0 -20.0 -20.0 -20.0 -14.6 -20.0 -3.7 -20.0 -8.3 NaN -9.4 -2.2 -13.9 -4.7 -20.0 -6.9 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 15.7 0.4 -3.3 2.4 2.2 1.6 0.3 -2.3 0.8 13.5 -16.6 17.4 -19.8 1.8 -10.2 -17.3 -12.0 -14.8 -13.3 -8.3 -18.3 10.0 -20.0 3.9 1.4 -4.2 4.5 -6.4 4.6 -6.8 0.9 -20.0 17.9 16.9 -20.0 -20.0 -8.4 -20.0 -4.1 -20.0 End of report for caleb_strategy_v3