******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240404_204015 produced at 2024-04-04 21:37:49.634282 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -14.57 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 -69.84 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.31 0.0 0.00 0.00 0.00 0.00 -9.56 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 -5.21 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 -4.62 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 -5.22 17.0 -1 -1 caleb_strategy_v3 US5 False False 0.03 -0.39 -0.10 0.0 0.75 -0.75 -0.39 -0.39 -3.33 25.0 -13 -13 caleb_strategy_v3 CAD False False 0.02 0.00 -0.07 0.0 0.61 -0.61 0.00 0.00 -3.35 29.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.06 0.0 0.04 -0.04 0.00 0.00 -6.79 4.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.06 0.0 0.04 -0.04 -0.03 -0.03 -44.61 26.0 -19 -19 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.05 0.0 0.29 -0.29 0.00 0.00 -1.28 8.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.05 -0.05 0.00 0.00 -5.79 5.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.05 0.0 0.08 -0.08 -0.07 -0.07 -7.62 12.0 -11 -11 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.14 -0.14 -0.02 -0.02 -19.29 51.0 -6 -6 caleb_strategy_v3 US10 False False 0.03 0.00 -0.05 0.0 0.53 -0.53 0.00 0.00 -1.65 17.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.54 -0.05 0.0 0.69 -0.69 -0.54 -0.58 -1.42 19.0 -15 -16 caleb_strategy_v3 OATIES False True 0.00 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -9.40 2.0 0 0 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.04 0.0 0.36 -0.36 -0.02 -0.02 -2.49 21.0 -1 -1 caleb_strategy_v3 DOW False False 0.01 0.00 -0.03 0.0 0.36 -0.36 0.00 0.00 -4.61 66.0 0 0 caleb_strategy_v3 EUR False False 0.04 0.00 -0.03 0.0 0.54 -0.54 0.00 0.00 -0.69 14.0 0 0 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.03 0.0 0.36 -0.36 -0.02 -0.02 -1.45 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 -2.58 9.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.06 -0.06 -0.02 -0.02 -1.87 8.0 -2 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.02 -0.02 0.0 0.24 -0.24 -0.02 -0.02 -1.51 23.0 -2 -2 caleb_strategy_v3 US10U False False 0.03 -0.03 -0.02 0.0 0.42 -0.42 -0.03 -0.03 -0.67 13.0 -1 -1 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.02 0.0 0.01 -0.01 0.00 0.00 -4.91 3.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.02 0.0 0.12 -0.12 -0.02 -0.02 -0.97 7.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.08 -0.08 -0.03 -0.03 -2.07 9.0 -4 -4 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.01 0.0 0.20 -0.20 -0.01 -0.01 -4.26 68.0 -2 -2 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 COTTON2 False False 0.01 -0.03 -0.01 0.0 0.14 -0.14 -0.03 -0.03 -0.78 11.0 -2 -2 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.08 -0.08 -0.03 -0.03 -0.92 10.0 -4 -4 caleb_strategy_v3 GBP False False 0.02 0.00 -0.00 0.0 0.49 -0.49 0.00 0.00 -0.07 22.0 0 0 caleb_strategy_v3 US20 False False 0.03 0.03 -0.00 0.0 0.30 -0.30 0.03 0.03 -0.14 9.0 1 1 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.00 0.0 0.41 -0.41 -0.04 -0.04 -0.05 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 -0.07 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 -0.12 2.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.01 0.0 0.00 0.00 0.00 0.00 7.10 59.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 0.01 0.0 0.12 -0.12 0.01 0.01 1.13 18.0 1 1 caleb_strategy_v3 COFFEE False False 0.02 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.45 6.0 0 0 caleb_strategy_v3 PLAT False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.85 10.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.97 3.0 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 SP400 False False 0.08 0.17 0.02 0.0 0.17 -0.17 0.17 0.17 0.19 2.0 2 2 caleb_strategy_v3 SP500_micro False False 0.01 0.21 0.02 0.0 0.35 -0.35 0.21 0.21 2.09 48.0 28 28 caleb_strategy_v3 COCOA False False 0.03 0.13 0.03 0.0 0.67 -0.67 0.13 0.13 1.05 26.0 5 5 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.04 0.0 0.00 -0.00 0.00 0.00 1.81 0.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.18 0.04 0.0 0.36 -0.36 0.18 0.18 1.20 10.0 5 5 caleb_strategy_v3 LIVECOW False False 0.02 0.06 0.04 0.0 0.34 -0.34 0.06 0.06 1.86 17.0 3 3 caleb_strategy_v3 OAT False False 0.04 0.00 0.04 0.0 0.39 -0.39 0.00 0.00 0.91 10.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.05 0.0 0.37 -0.37 0.00 0.00 8.29 56.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 0.07 0.05 0.0 0.10 -0.10 0.07 0.07 1.58 3.0 2 2 caleb_strategy_v3 GASOIL False False 0.02 0.02 0.06 0.0 0.10 -0.10 0.02 0.02 2.68 4.0 1 1 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.09 0.0 0.13 -0.13 0.13 0.13 2.84 4.0 4 4 caleb_strategy_v3 COPPER False False 0.03 0.15 0.10 0.0 0.18 -0.18 0.15 0.15 3.25 6.0 5 5 caleb_strategy_v3 NIKKEI False False 0.01 0.25 0.11 0.0 0.26 -0.26 0.25 0.26 15.19 36.0 34 35 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.11 0.0 0.15 -0.15 0.07 0.07 9.03 13.0 6 6 caleb_strategy_v3 DX False False 0.03 0.00 0.13 0.0 999.00 -999.00 0.00 0.00 4.32 999999999.0 0 0 caleb_strategy_v3 CAC False True 0.02 0.00 0.14 0.0 0.00 0.00 0.00 0.00 5.61 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 11.48 20.0 19 19 caleb_strategy_v3 SMI False False 0.04 0.32 0.20 0.0 0.32 -0.32 0.32 0.32 5.55 9.0 9 9 caleb_strategy_v3 DAX False False 0.01 0.18 0.22 0.0 0.33 -0.33 0.18 0.20 37.63 58.0 32 35 caleb_strategy_v3 EURIBOR-ICE False False 0.07 0.30 0.32 0.0 0.75 -0.75 0.30 0.45 4.31 10.0 4 6 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.11 0.33 0.0 0.43 -0.43 0.11 0.08 12.31 16.0 4 3 caleb_strategy_v3 CRUDE_W False False 0.02 0.09 0.33 0.0 0.11 -0.11 0.09 0.09 14.59 5.0 4 4 caleb_strategy_v3 MXP False False 0.01 0.51 0.89 0.0 0.51 -0.51 0.51 0.51 105.51 60.0 60 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 25.9 Shocked risk 96.0 Sum abs risk 66.8 Leverage 6.78 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3535102.33, 'annual_cash_vol_target': 883775.5825, 'daily_cash_vol_target': 55235.97390625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6609 0.5714 9.1419 BITCOIN 2056.3276 69040.0000 2.9785 47.6553 BOBL 0.2430 118.1000 0.2058 3.2927 BTP 0.5697 118.5700 0.4805 7.6879 BUND 0.4861 132.8900 0.3658 5.8528 BUXL 1.1585 134.0000 0.8645 13.8325 CAC 45.6018 8089.5000 0.5637 9.0195 CAD 0.0027 0.7394 0.3636 5.8169 CANOLA 6.8060 642.9000 1.0586 16.9383 CHF 0.0050 1.1160 0.4443 7.1085 COCOA 178.2859 9160.0000 1.9464 31.1416 COFFEE 3.0091 205.7000 1.4628 23.4055 COPPER 0.0450 4.2480 1.0596 16.9531 CORN 5.3963 473.5000 1.1397 18.2345 COTTON2 1.4594 88.5600 1.6479 26.3667 CRUDE_W 0.8199 80.3900 1.0199 16.3191 DAX 93.3288 18630.0000 0.5010 8.0154 DOW 235.6721 39090.0000 0.6029 9.6463 DX 0.3336 103.9050 0.3211 5.1373 EUR 0.0044 1.0881 0.4066 6.5053 EURIBOR-ICE 0.0461 97.6500 0.0472 0.7546 EUROSTX 29.9238 5025.0000 0.5955 9.5280 FEEDCOW 1.9264 254.4500 0.7571 12.1131 GASOIL 11.6318 843.0000 1.3798 22.0769 GASOLINE 0.0338 2.7278 1.2396 19.8333 GAS_US_mini 0.0763 2.0000 3.8172 61.0759 GBP 0.0058 1.2653 0.4568 7.3086 GOLD_micro 15.0295 2317.0000 0.6487 10.3786 HEATOIL 0.0374 2.7364 1.3666 21.8659 JGB-SGX-mini 0.2005 145.5500 0.1377 2.2040 JPY 0.0000 0.0067 0.5284 8.4549 LEANHOG 0.9880 104.9750 0.9411 15.0582 LIVECOW 1.2512 175.7500 0.7119 11.3911 LUMBER-new 6.2578 600.5000 1.0421 16.6736 MILK 0.2044 16.5400 1.2358 19.7724 MXP 0.0003 0.0597 0.5146 8.2329 NASDAQ_micro 130.5556 18201.0000 0.7173 11.4768 NIKKEI 343.7093 39330.0000 0.8739 13.9826 NZD 0.0036 0.6032 0.5989 9.5823 OAT 0.4641 127.5600 0.3638 5.8207 OATIES 5.0470 336.5000 1.4998 23.9976 OJ 5.8350 363.5000 1.6052 25.6838 PALLAD 25.5774 1032.5000 2.4772 39.6357 PLAT 14.6905 951.1000 1.5446 24.7133 REDWHEAT 9.6907 574.2500 1.6875 27.0006 RICE 0.1624 16.3600 0.9928 15.8854 ROBUSTA 49.3962 3694.0000 1.3372 21.3952 RUSSELL 22.6789 2078.8000 1.0910 17.4554 SHATZ 0.0785 105.6950 0.0742 1.1880 SILVER-mini 0.4291 27.5375 1.5583 24.9322 SMI 61.7113 11492.0000 0.5370 8.5919 SOFR 0.0570 96.2850 0.0592 0.9478 SOYBEAN 9.8917 1183.7500 0.8356 13.3700 SOYMEAL 3.9798 336.3000 1.1834 18.9343 SOYOIL 0.6556 48.7500 1.3449 21.5178 SP400 24.2111 2995.5000 0.8082 12.9320 SP500_micro 29.6449 5220.2500 0.5679 9.0861 SUGAR11 0.2960 21.9100 1.3509 21.6152 US10 0.3522 110.0938 0.3199 5.1181 US10U 0.4770 113.5312 0.4201 6.7222 US2 0.0964 102.1836 0.0943 1.5095 US20 0.7170 118.3438 0.6059 9.6942 US30 1.0737 126.0312 0.8520 13.6314 US5 0.2304 106.6406 0.2160 3.4567 VIX 0.3905 16.3000 2.3955 38.3286 WHEAT 8.1170 614.0000 1.3220 21.1517 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 660.85 0.57 377.59 1.00 377.59 55235.97 146.29 -3.83 -56.04 BITCOIN 69.04 2.98 205.63 1.00 205.63 55235.97 268.61 2.44 65.56 BOBL 1181.00 0.21 243.04 1.08 261.85 55235.97 210.94 -6.65 -140.29 BTP 1185.70 0.48 569.72 1.08 613.82 55235.97 89.99 3.92 35.26 BUND 1328.90 0.37 486.11 1.08 523.74 55235.97 105.46 -0.50 -5.30 BUXL 1340.00 0.86 1158.47 1.08 1248.14 55235.97 44.25 -1.65 -7.31 CAC 808.95 0.56 456.02 1.08 491.31 55235.97 112.43 14.64 164.59 CAD 739.40 0.36 268.82 1.00 268.82 55235.97 205.48 -6.29 -129.26 CANOLA 128.58 1.06 136.12 0.74 100.29 55235.97 550.77 -14.40 -792.92 CHF 1395.06 0.44 619.80 1.00 619.80 55235.97 89.12 -20.00 -178.24 COCOA 916.00 1.95 1782.86 1.00 1782.86 55235.97 30.98 15.82 49.00 COFFEE 771.38 1.46 1128.40 1.00 1128.40 55235.97 48.95 7.83 38.31 COPPER 1062.00 1.06 1125.26 1.00 1125.26 55235.97 49.09 6.11 30.01 CORN 236.75 1.14 269.81 1.00 269.81 55235.97 204.72 -15.30 -313.25 COTTON2 442.80 1.65 729.70 1.00 729.70 55235.97 75.70 -4.83 -36.52 CRUDE_W 803.90 1.02 819.93 1.00 819.93 55235.97 67.37 20.00 134.73 DAX 186.30 0.50 93.33 1.08 100.12 55235.97 551.68 20.00 1103.36 DOW 195.45 0.60 117.84 1.00 117.84 55235.97 468.75 -4.23 -198.21 DX 1039.05 0.32 333.62 1.00 333.62 55235.97 165.57 10.05 166.42 EUR 1360.12 0.41 553.00 1.00 553.00 55235.97 99.88 -2.67 -26.70 EURIBOR-ICE 2441.25 0.05 115.13 1.08 124.04 55235.97 445.30 2.84 126.37 EUROSTX 502.50 0.60 299.24 1.08 321.02 55235.97 172.06 19.56 336.58 FEEDCOW 1272.25 0.76 963.18 1.00 963.18 55235.97 57.35 -6.73 -38.60 GASOIL 843.00 1.38 1163.18 1.00 1163.18 55235.97 47.49 13.02 61.83 GASOLINE 1145.68 1.24 1420.16 1.00 1420.16 55235.97 38.89 16.86 65.58 GAS_US_mini 50.00 3.82 190.86 1.00 190.86 55235.97 289.40 -14.23 -411.96 GBP 790.81 0.46 361.23 1.00 361.23 55235.97 152.91 -0.17 -2.63 GOLD_micro 231.70 0.65 150.29 1.00 150.29 55235.97 367.52 6.61 242.93 HEATOIL 1149.29 1.37 1570.64 1.00 1570.64 55235.97 35.17 10.36 36.45 JGB-SGX-mini 145550.00 0.14 20049.12 0.01 132.26 55235.97 417.62 2.72 113.67 JPY 835.44 0.53 441.47 1.00 441.47 55235.97 125.12 -16.09 -201.38 LEANHOG 419.90 0.94 395.18 1.00 395.18 55235.97 139.77 10.63 148.61 LIVECOW 703.00 0.71 500.50 1.00 500.50 55235.97 110.36 5.09 56.16 LUMBER-new 165.14 1.04 172.09 1.00 172.09 55235.97 320.97 -7.15 -229.49 MILK 330.80 1.24 408.79 1.00 408.79 55235.97 135.12 -20.00 -270.24 MXP 298.65 0.51 153.67 1.00 153.67 55235.97 359.44 20.00 718.88 NASDAQ_micro 364.02 0.72 261.11 1.00 261.11 55235.97 211.54 -3.06 -64.84 NIKKEI 39330.00 0.87 34370.93 0.01 226.74 55235.97 243.61 5.76 140.29 NZD 603.15 0.60 361.22 1.00 361.22 55235.97 152.91 -6.28 -95.97 OAT 1275.60 0.36 464.05 1.08 499.97 55235.97 110.48 2.42 26.70 OATIES 168.25 1.50 252.35 1.00 252.35 55235.97 218.89 -17.65 -386.26 OJ 545.25 1.61 875.25 1.00 875.25 55235.97 63.11 7.16 45.21 PALLAD 1032.50 2.48 2557.74 1.00 2557.74 55235.97 21.60 -1.59 -3.43 PLAT 475.55 1.54 734.53 1.00 734.53 55235.97 75.20 3.31 24.93 REDWHEAT 287.12 1.69 484.53 1.00 484.53 55235.97 114.00 -12.34 -140.71 RICE 327.20 0.99 324.86 1.00 324.86 55235.97 170.03 -16.42 -279.20 ROBUSTA 369.40 1.34 493.96 1.00 493.96 55235.97 111.82 12.92 144.49 RUSSELL 103.94 1.09 113.39 1.00 113.39 55235.97 487.11 -2.64 -128.71 SHATZ 1056.95 0.07 78.48 1.08 84.55 55235.97 653.28 -14.43 -942.79 SILVER-mini 688.44 1.56 1072.77 1.00 1072.77 55235.97 51.49 10.30 53.01 SMI 1149.20 0.54 617.11 1.10 679.29 55235.97 81.31 20.00 162.63 SOFR 2407.12 0.06 142.58 1.00 142.58 55235.97 387.39 -6.19 -239.81 SOYBEAN 591.88 0.84 494.58 1.00 494.58 55235.97 111.68 -9.30 -103.87 SOYMEAL 336.30 1.18 397.98 1.00 397.98 55235.97 138.79 -20.00 -277.58 SOYOIL 292.50 1.34 393.37 1.00 393.37 55235.97 140.42 -7.03 -98.68 SP400 2995.50 0.81 2421.11 1.00 2421.11 55235.97 22.81 2.55 5.82 SP500_micro 261.01 0.57 148.22 1.00 148.22 55235.97 372.65 2.41 89.73 SUGAR11 245.39 1.35 331.51 1.00 331.51 55235.97 166.62 3.18 52.94 US10 1100.94 0.32 352.17 1.00 352.17 55235.97 156.84 -8.30 -130.14 US10U 1135.31 0.42 476.99 1.00 476.99 55235.97 115.80 -4.57 -52.93 US2 2043.67 0.09 192.81 1.00 192.81 55235.97 286.49 -14.36 -411.36 US20 1183.44 0.61 717.03 1.00 717.03 55235.97 77.03 -1.45 -11.18 US30 1260.31 0.85 1073.74 1.00 1073.74 55235.97 51.44 -3.34 -17.18 US5 1066.41 0.22 230.39 1.00 230.39 55235.97 239.75 -10.96 -262.77 VIX 163.00 2.40 390.47 1.00 390.47 55235.97 141.46 -20.00 -282.92 WHEAT 307.00 1.32 405.85 1.00 405.85 55235.97 136.10 -11.45 -155.84 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -56.043 0.010 2.5 -1.454 BITCOIN 65.561 0.043 2.5 7.099 BOBL -140.287 0.004 2.5 -1.423 BTP 35.259 0.014 2.5 1.203 BUND -5.299 0.004 2.5 -0.054 BUXL -7.312 0.004 2.5 -0.074 CAC 164.594 0.014 2.5 5.614 CAD -129.258 0.010 2.5 -3.354 CANOLA -792.917 0.010 2.5 -19.291 CHF -178.239 0.010 2.5 -4.625 COCOA 49.000 0.009 2.5 1.049 COFFEE 38.314 0.005 2.5 0.447 COPPER 30.013 0.043 2.5 3.250 CORN -313.254 0.010 2.5 -7.621 COTTON2 -36.524 0.009 2.5 -0.782 CRUDE_W 134.733 0.043 2.5 14.590 DAX 1103.361 0.014 2.5 37.634 DOW -198.210 0.009 2.5 -4.606 DX 166.416 0.010 2.5 4.318 EUR -26.705 0.010 2.5 -0.693 EURIBOR-ICE 126.372 0.014 2.5 4.310 EUROSTX 336.583 0.014 2.5 11.480 FEEDCOW -38.596 0.013 2.5 -1.279 GASOIL 61.827 0.017 2.5 2.680 GASOLINE 65.579 0.017 2.5 2.843 GAS_US_mini -411.960 0.043 2.5 -44.610 GBP -2.635 0.010 2.5 -0.068 GOLD_micro 242.929 0.014 2.5 8.286 HEATOIL 36.448 0.017 2.5 1.580 JGB-SGX-mini 113.670 0.043 2.5 12.309 JPY -201.377 0.010 2.5 -5.225 LEANHOG 148.610 0.024 2.5 9.032 LIVECOW 56.157 0.013 2.5 1.861 LUMBER-new -229.494 0.009 2.5 -4.910 MILK -270.239 0.009 2.5 -5.788 MXP 718.878 0.059 2.5 105.512 NASDAQ_micro -64.837 0.009 2.5 -1.507 NIKKEI 140.287 0.043 2.5 15.191 NZD -95.971 0.010 2.5 -2.490 OAT 26.705 0.014 2.5 0.911 OATIES -386.259 0.010 2.5 -9.397 OJ 45.210 0.009 2.5 0.968 PALLAD -3.434 0.014 2.5 -0.117 PLAT 24.928 0.014 2.5 0.850 REDWHEAT -140.706 0.005 2.5 -1.867 RICE -279.199 0.010 2.5 -6.793 ROBUSTA 144.486 0.005 2.5 1.687 RUSSELL -128.706 0.013 2.5 -4.265 SHATZ -942.791 0.004 2.5 -9.560 SILVER-mini 53.009 0.014 2.5 1.808 SMI 162.629 0.014 2.5 5.547 SOFR -239.813 0.024 2.5 -14.574 SOYBEAN -103.866 0.004 2.5 -0.966 SOYMEAL -277.585 0.004 2.5 -2.582 SOYOIL -98.678 0.004 2.5 -0.919 SP400 5.821 0.013 2.5 0.193 SP500_micro 89.731 0.009 2.5 2.085 SUGAR11 52.938 0.009 2.5 1.126 US10 -130.143 0.005 2.5 -1.649 US10U -52.933 0.005 2.5 -0.671 US2 -411.363 0.005 2.5 -5.213 US20 -11.184 0.005 2.5 -0.142 US30 -17.182 0.005 2.5 -0.218 US5 -262.771 0.005 2.5 -3.330 VIX -282.918 0.099 2.5 -69.836 WHEAT -155.836 0.005 2.5 -2.067 ===================== Position diags ===================== AUD 3.80 BITCOIN 29.09 BOBL 2.14 BTP 3.07 BUND 1.07 BUXL 0.45 CAC 3.83 CAD 5.33 CANOLA 13.40 CHF 2.31 COCOA 0.66 COFFEE 0.57 COPPER 5.32 CORN 4.98 COTTON2 1.62 CRUDE_W 7.29 DAX 18.82 DOW 10.89 DX 4.30 EUR 2.59 EURIBOR-ICE 15.19 EUROSTX 5.87 FEEDCOW 1.90 GASOIL 2.06 GASOLINE 1.69 GAS_US_mini 31.34 GBP 3.97 GOLD_micro 12.54 HEATOIL 1.52 JGB-SGX-mini 45.22 JPY 3.25 LEANHOG 8.49 LIVECOW 3.66 LUMBER-new 6.87 MILK 2.89 MXP 52.76 NASDAQ_micro 4.92 NIKKEI 26.38 NZD 3.97 OAT 3.77 OATIES 5.33 OJ 1.35 PALLAD 0.74 PLAT 2.56 REDWHEAT 1.51 RICE 4.14 ROBUSTA 1.31 RUSSELL 16.14 SHATZ 6.62 SILVER-mini 1.76 SMI 2.77 SOFR 23.54 SOYBEAN 1.04 SOYMEAL 1.29 SOYOIL 1.31 SP400 0.76 SP500_micro 8.66 SUGAR11 3.54 US10 1.99 US10U 1.47 US2 3.63 US20 0.98 US30 0.65 US5 3.04 VIX 34.92 WHEAT 1.81 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.5 -1.8 -1.1 -1.0 -1 BITCOIN 7.1 4.2 10.0 0.0 0 BOBL -1.4 -1.6 -1.2 -15.0 -15 BTP 1.2 0.9 1.5 5.0 5 BUND -0.1 -0.2 0.1 -1.0 -1 BUXL -0.1 -0.1 -0.0 0.0 0 CAC 5.6 5.2 6.0 0.0 0 CAD -3.4 -3.9 -2.8 0.0 0 CANOLA -19.3 -20.6 -18.0 -6.0 -6 CHF -4.6 -4.9 -4.4 -10.0 -10 COCOA 1.0 1.0 1.1 5.0 5 COFFEE 0.4 0.4 0.5 0.0 0 COPPER 3.3 2.7 3.8 5.0 5 CORN -7.6 -8.1 -7.1 -11.0 -11 COTTON2 -0.8 -0.9 -0.6 -2.0 -2 CRUDE_W 14.6 13.9 15.3 4.0 4 DAX 37.6 35.8 39.5 32.0 32 DOW -4.6 -5.7 -3.5 0.0 0 DX 4.3 3.9 4.7 NaN 0 EUR -0.7 -1.0 -0.4 0.0 0 EURIBOR-ICE 4.3 2.8 5.8 4.0 4 EUROSTX 11.5 10.9 12.1 19.0 19 FEEDCOW -1.3 -1.5 -1.1 0.0 0 GASOIL 2.7 2.5 2.9 1.0 1 GASOLINE 2.8 2.7 3.0 4.0 4 GAS_US_mini -44.6 -47.7 -41.5 -19.0 -19 GBP -0.1 -0.5 0.3 0.0 0 GOLD_micro 8.3 7.0 9.5 0.0 0 HEATOIL 1.6 1.4 1.7 2.0 2 JGB-SGX-mini 12.3 7.8 16.8 4.0 4 JPY -5.2 -5.5 -4.9 -1.0 -1 LEANHOG 9.0 8.2 9.9 6.0 6 LIVECOW 1.9 1.5 2.2 3.0 3 LUMBER-new -4.9 -5.6 -4.2 NaN 0 MILK -5.8 -6.1 -5.5 NaN 0 MXP 105.5 100.2 110.8 60.0 60 NASDAQ_micro -1.5 -2.0 -1.0 -2.0 -2 NIKKEI 15.2 12.6 17.8 34.0 34 NZD -2.5 -2.9 -2.1 -1.0 -1 OAT 0.9 0.5 1.3 0.0 0 OATIES -9.4 -9.9 -8.9 NaN 0 OJ 1.0 0.8 1.1 NaN 0 PALLAD -0.1 -0.2 -0.0 0.0 0 PLAT 0.9 0.6 1.1 0.0 0 REDWHEAT -1.9 -2.0 -1.7 -2.0 -2 RICE -6.8 -7.2 -6.4 NaN 0 ROBUSTA 1.7 1.6 1.8 1.0 1 RUSSELL -4.3 -5.9 -2.7 -2.0 -2 SHATZ -9.6 -10.2 -8.9 NaN 0 SILVER-mini 1.8 1.6 2.0 NaN 0 SMI 5.5 5.3 5.8 9.0 9 SOFR -14.6 -16.9 -12.2 NaN 0 SOYBEAN -1.0 -1.1 -0.9 -1.0 -1 SOYMEAL -2.6 -2.7 -2.5 0.0 0 SOYOIL -0.9 -1.0 -0.8 -4.0 -4 SP400 0.2 0.1 0.3 2.0 2 SP500_micro 2.1 1.2 3.0 28.0 28 SUGAR11 1.1 0.8 1.5 1.0 1 US10 -1.6 -1.8 -1.5 0.0 0 US10U -0.7 -0.8 -0.5 -1.0 -1 US2 -5.2 -5.6 -4.8 NaN 0 US20 -0.1 -0.2 -0.0 1.0 1 US30 -0.2 -0.3 -0.2 0.0 0 US5 -3.3 -3.6 -3.0 -13.0 -13 VIX -69.8 -73.3 -66.3 -17.0 -17 WHEAT -2.1 -2.2 -1.9 -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 -0.0 -0.4 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 -0.0 0.4 -0.0 0.1 -0.0 0.1 -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 -0.0 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 -0.1 0.6 0.6 -0.2 0.0 0.6 0.1 BOBL 0.1 -0.4 -0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -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 -1.0 0.3 0.3 -0.0 -0.2 -0.7 -0.7 0.2 -0.7 BTP -0.3 -0.1 0.3 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.3 -0.1 0.4 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.3 -0.0 -2.7 0.1 0.0 0.2 0.0 0.2 0.0 0.7 0.1 0.5 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 -0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -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 -0.1 0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -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 0.1 0.0 0.5 0.5 0.4 0.0 -0.7 -0.7 0.0 -0.0 CAC -0.0 0.6 0.6 0.1 -0.1 0.2 -0.0 0.2 0.0 -0.2 0.5 0.0 0.7 0.2 0.2 0.4 -0.0 0.2 0.1 0.2 0.2 -0.0 0.5 0.2 -1.6 0.1 -0.0 0.2 0.0 0.2 0.1 0.6 0.5 0.5 0.4 -0.0 -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 0.1 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 0.0 -0.3 0.1 -0.0 -0.3 -0.1 -0.3 -0.2 0.0 -0.1 0.0 -0.5 0.1 -2.7 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.9 -0.2 0.6 0.3 -0.6 -0.7 -0.7 -0.6 -0.2 CHF -0.6 -0.6 -0.5 -0.0 0.1 0.0 0.0 0.1 -0.0 -0.0 -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 -0.2 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 0.4 0.0 0.3 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 0.2 0.2 0.2 0.3 0.2 -2.7 0.1 0.2 0.1 0.2 0.2 0.1 0.7 0.5 0.6 0.6 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 -1.9 0.1 0.1 0.1 0.1 0.0 0.1 0.1 -0.0 0.6 0.4 0.4 -0.7 -0.1 0.4 0.2 CORN 0.4 0.6 0.1 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.3 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 0.4 -0.3 -0.6 -0.3 -0.7 -0.3 0.0 COTTON2 -0.5 0.0 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 -0.1 0.1 -0.1 0.0 0.4 0.0 0.2 0.1 0.0 0.1 -0.1 0.1 -0.1 -2.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 -0.4 -0.6 0.6 0.6 -0.4 -0.4 -0.1 0.0 CRUDE_W 0.6 0.5 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 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 0.4 0.4 0.5 -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 -0.3 -0.2 0.4 0.1 -0.0 0.2 -0.0 0.1 0.0 -0.2 0.5 -0.1 0.7 0.0 0.2 -0.2 -0.2 -0.3 -0.2 0.2 0.2 -0.1 0.5 0.0 -1.9 0.1 -0.0 0.3 -0.0 0.3 0.0 -0.5 0.1 0.0 -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 -0.1 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 0.3 0.6 0.5 0.1 0.6 0.1 0.7 0.3 EUR -0.3 0.0 -0.1 -0.0 0.1 0.0 0.0 0.1 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 2.6 -0.0 0.1 0.0 0.0 0.0 -0.0 -0.4 -0.0 -0.2 0.1 -0.0 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.1 -0.4 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.1 -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 0.1 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 -0.1 0.4 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 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 0.7 0.7 0.7 GASOIL 0.3 0.2 0.3 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.3 0.2 0.5 0.2 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 -0.0 -0.2 -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 0.2 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 0.1 0.3 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 -0.0 -0.4 -0.1 -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 -0.5 -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 -0.1 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 0.1 -0.2 0.2 0.3 -0.7 -0.3 -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 0.1 0.2 0.3 0.2 0.2 0.2 0.4 0.4 0.4 0.1 0.1 0.2 0.3 0.2 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 1.1 -0.0 -0.3 -0.2 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 -0.0 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 -1.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 -0.0 0.2 0.2 0.1 -0.3 -0.5 0.0 0.3 JPY -0.4 -0.2 -0.4 -0.0 0.1 0.0 0.0 0.1 -0.0 -0.0 -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 -0.0 -0.2 -0.1 -1.1 -0.1 -0.5 -0.5 -0.5 -0.7 -0.4 -0.6 -0.4 LEANHOG -0.0 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 0.5 0.2 0.6 0.6 -0.3 -0.3 0.1 0.5 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 0.2 -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 0.3 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 0.1 0.2 -0.2 0.1 -0.0 NaN 0.1 -0.1 0.2 -0.2 0.2 -0.0 -1.2 -0.6 -0.7 0.7 0.7 -0.4 -0.6 -0.3 -0.3 MILK -0.4 -0.3 0.3 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 -0.4 -0.1 -0.5 -0.2 -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 -0.4 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.2 0.3 0.3 -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 -0.2 -0.0 0.4 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.4 0.0 0.6 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.0 0.5 0.0 -2.7 0.1 -0.0 0.2 -0.0 0.3 0.0 -0.4 0.0 -0.5 -0.5 0.2 0.2 -0.1 0.4 -0.1 NIKKEI -0.0 0.2 0.6 0.1 -0.0 0.2 -0.0 0.1 0.0 -0.2 0.5 0.0 0.7 0.1 0.2 0.1 0.2 0.1 0.2 0.2 0.2 -0.0 0.5 0.2 -2.2 0.1 -0.0 0.2 -0.0 0.3 0.0 1.1 -0.2 -0.5 0.4 0.6 -0.7 -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 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.2 -0.1 -0.5 -0.3 -0.2 -0.3 -0.3 -0.1 0.2 OAT -0.2 -0.3 0.0 -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 -0.1 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 -0.3 -0.0 -0.3 0.0 0.0 0.0 0.0 -0.1 0.0 -0.2 -0.5 -0.2 -0.5 -0.2 -0.1 0.2 -0.0 0.1 0.1 -0.1 -0.2 -0.2 -0.4 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.5 -0.6 -0.3 -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 0.0 0.2 0.1 0.5 0.1 0.1 0.1 0.3 0.1 0.2 0.1 0.2 0.0 0.5 0.1 -2.7 0.0 -0.0 0.2 -0.0 0.6 -0.0 1.1 0.1 -0.3 0.0 -0.3 0.4 0.3 0.7 0.7 PALLAD 0.1 0.4 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 -0.0 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.3 0.0 1.4 0.0 0.0 -0.0 0.0 -0.1 0.0 0.4 -0.2 -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 0.1 -0.0 0.0 0.1 -0.1 0.1 -0.3 0.1 -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 0.0 -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 0.2 0.3 -0.6 -0.6 -0.4 -0.7 -0.1 -0.7 RICE -0.6 -0.6 0.0 0.0 0.0 0.0 0.0 -0.1 0.0 -0.2 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 -2.3 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.8 -0.5 -0.6 -0.6 -0.6 0.3 -0.1 0.6 0.3 ROBUSTA 0.5 -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 0.0 0.2 0.1 0.3 0.1 1.1 0.5 0.6 0.6 0.6 -0.7 -0.6 -0.2 0.1 RUSSELL -0.2 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 0.0 -0.2 0.1 -0.0 0.1 0.0 0.1 0.0 -0.1 0.3 -0.3 -0.3 -0.3 -0.4 -0.6 -0.4 -0.7 SHATZ 0.1 -0.6 -0.5 -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 0.1 -0.3 -0.3 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.4 0.6 0.1 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 0.2 0.1 0.0 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.0 0.2 0.6 0.1 0.1 0.1 0.1 0.0 0.1 -0.1 0.4 0.6 0.6 0.4 -0.5 -0.6 0.7 0.0 SMI 0.0 0.6 0.6 0.1 -0.1 0.2 -0.0 0.2 0.0 -0.2 0.5 -0.1 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 0.0 0.2 0.1 1.0 0.5 0.5 -0.1 -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 0.0 -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 0.8 -0.3 0.6 0.1 -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 0.3 -0.3 0.2 -0.4 -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 0.0 -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 -0.2 -0.2 0.6 0.5 -0.1 -0.6 -0.3 -0.4 0.2 SP400 -0.2 0.5 0.6 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.5 0.0 0.5 0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.0 0.5 0.2 -1.7 0.1 -0.0 0.2 0.0 0.2 0.1 0.1 0.5 0.1 0.2 0.0 -0.4 -0.3 -0.3 -0.7 SP500_micro -0.1 0.3 0.6 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.2 0.5 0.0 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.3 0.2 0.2 -0.0 0.5 0.2 -2.7 0.1 -0.0 0.3 0.0 0.3 0.0 -0.6 0.2 0.0 -0.1 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 0.2 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 0.4 -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 -0.2 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -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 -0.0 -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 -0.0 -0.0 -0.2 -0.1 -0.7 -0.7 -0.7 -0.7 US20 -0.3 -0.1 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 -0.2 -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 -0.1 -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 0.0 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 -0.1 -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 0.2 -0.4 0.2 -0.7 0.0 -0.1 -0.4 -0.2 -0.3 -0.3 -0.1 -0.2 0.1 -0.5 0.1 0.2 -0.0 0.0 -0.2 0.1 -0.3 0.0 -1.1 0.5 0.6 -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 -3.0 -0.8 -2.4 -0.7 7.7 1.3 2.5 3.2 -0.5 15.9 -4.4 -1.6 -11.0 -0.4 -12.9 -2.8 -2.9 -2.8 -2.8 -3.6 -3.2 4.0 -5.5 -2.2 3.1 -0.6 13.6 -1.1 7.9 -2.2 2.2 -1.1 9.7 4.2 3.3 -5.4 -20.0 -11.0 -14.7 -2.1 BITCOIN -20.0 5.1 8.1 3.8 9.6 1.2 7.1 -0.1 5.5 -0.2 17.0 -5.1 17.3 11.7 14.5 -9.1 -7.4 -9.1 -8.5 20.0 20.0 1.0 20.0 14.5 -20.0 6.5 0.7 6.7 1.2 5.3 4.0 -3.3 -3.1 -2.1 20.0 20.0 -7.4 0.2 17.5 3.8 BOBL 1.9 -12.3 -6.4 -1.4 0.1 -0.5 -0.6 -1.2 -1.3 -0.0 -2.0 -0.4 -2.3 -3.8 -7.9 9.3 -12.3 -7.9 -13.0 -4.9 -3.3 0.6 -3.7 -2.1 6.5 -1.0 4.2 -0.8 4.0 -0.8 1.3 -19.3 10.8 10.6 -0.3 -4.7 -20.0 -20.0 6.8 -20.0 BTP -7.7 -1.9 9.1 -2.3 0.1 -0.9 -1.0 -2.0 -2.1 -3.8 12.5 -7.1 11.6 3.3 3.8 5.0 6.2 4.9 5.2 7.2 12.5 -6.9 10.7 -0.3 -20.0 5.4 4.8 6.5 3.6 5.4 4.3 13.1 3.3 16.1 20.0 14.0 -7.1 -13.0 20.0 2.7 BUND -0.8 -8.4 -1.4 -1.5 0.1 -0.6 -0.7 -1.4 -1.4 -1.1 0.5 -1.3 -0.8 -3.9 -7.9 -9.5 1.6 -4.4 -1.4 -2.7 -0.6 -0.4 -2.3 -1.7 3.9 0.4 7.0 0.4 6.9 -0.2 3.2 3.6 16.3 12.8 5.2 -1.7 -16.8 -20.0 14.9 -9.0 BUXL -3.4 -4.6 2.3 -1.9 0.1 -0.8 -0.9 -1.7 -1.8 -3.0 2.4 -4.7 -3.7 -5.4 -9.1 -7.7 -1.4 -5.0 -2.9 -1.4 0.6 -2.5 -4.0 -2.1 -0.5 2.0 9.9 1.5 10.0 -0.3 5.4 0.0 20.0 16.2 12.6 1.5 -20.0 -20.0 0.2 -0.4 CAC -0.5 20.0 20.0 8.1 -6.7 8.0 -1.5 5.7 4.5 -20.0 20.0 2.5 20.0 20.0 20.0 20.0 -0.0 10.9 3.4 20.0 20.0 -4.1 20.0 20.0 -11.9 9.6 -1.7 8.5 2.7 6.3 7.3 11.8 20.0 16.4 11.1 -1.3 -8.2 11.9 -4.9 17.2 CAD -3.1 -5.2 -0.2 -0.8 8.9 1.5 2.9 3.7 -0.6 15.6 -3.1 -5.5 -5.3 -10.6 -17.4 -2.4 -2.2 -2.3 -2.2 -5.8 -3.7 -0.2 -4.8 -5.1 -0.4 -2.4 7.6 -1.9 5.2 -2.6 -0.1 0.0 3.7 2.0 -5.7 -0.2 -19.5 -16.0 -4.3 -13.2 CANOLA 20.0 20.0 -11.1 1.5 1.9 0.9 0.7 -1.3 0.7 -3.6 -9.0 4.4 -9.6 7.4 -1.2 -14.2 -6.0 -13.8 -11.6 1.2 -11.0 3.9 -16.9 7.7 -20.0 0.5 0.1 -3.2 1.4 -5.2 2.5 -16.9 -6.6 20.0 9.8 -19.6 -20.0 -19.6 -16.6 -5.8 CHF -18.0 -20.0 -16.0 -0.6 7.1 1.2 2.3 3.0 -0.5 -3.9 -11.0 -16.3 -4.0 -18.5 -19.1 -15.8 -15.7 -15.8 -15.8 -20.0 -15.3 -20.0 -4.4 -20.0 -2.4 -6.1 -0.8 -2.9 -5.1 -0.4 -7.4 -20.0 -19.0 -20.0 -20.0 -16.3 -9.6 -16.4 -0.8 -16.0 COCOA 20.0 20.0 -7.3 1.1 1.5 0.7 0.6 -1.0 0.5 2.9 9.8 7.8 9.7 9.0 9.5 20.0 14.1 20.0 20.0 20.0 20.0 20.0 16.6 20.0 -15.6 3.4 0.3 3.1 1.9 2.6 3.1 20.0 20.0 20.0 20.0 20.0 2.7 0.4 8.8 12.1 COFFEE 12.2 0.3 8.1 2.8 3.6 1.8 1.4 -2.4 1.3 20.0 14.9 20.0 11.1 17.6 9.7 6.6 7.7 10.7 9.9 15.9 14.0 20.0 9.8 20.0 -20.0 5.9 20.0 4.9 17.7 4.2 10.6 13.3 20.0 20.0 20.0 6.9 -6.4 -20.0 2.5 -12.0 COPPER 13.4 16.4 9.2 4.0 10.3 1.3 7.6 -0.1 5.8 18.2 11.5 16.8 -1.6 17.2 15.6 -5.3 -5.0 -5.4 -5.5 19.6 11.9 20.0 3.9 20.0 -14.6 6.0 9.5 3.4 9.0 1.2 8.0 1.2 -0.3 20.0 11.0 13.2 -20.0 -2.3 12.2 5.7 CORN 12.7 17.2 3.0 2.3 3.0 1.5 1.2 -2.1 1.1 5.8 -12.7 6.0 -18.4 10.6 -7.4 -19.3 -8.6 -17.8 -14.3 -4.7 -13.9 2.0 -20.0 1.7 -15.8 -3.3 3.6 -7.1 3.0 -8.0 1.2 -20.0 0.9 12.5 -8.5 -20.0 -9.5 -20.0 -8.0 0.1 COTTON2 -16.6 0.3 20.0 1.5 2.0 1.0 0.8 -1.4 0.7 -10.7 4.3 -11.7 3.4 -6.5 3.1 18.0 1.8 8.1 3.0 3.3 6.4 -10.9 3.6 -5.0 -20.0 2.7 -3.7 3.7 -3.3 2.5 -0.7 1.4 -16.1 -20.0 20.0 20.0 -10.9 -13.4 -1.5 1.3 CRUDE_W 19.2 14.7 5.8 7.4 9.5 5.0 9.1 3.7 8.5 20.0 5.7 20.0 12.0 20.0 20.0 16.6 10.8 13.3 11.5 20.0 17.2 20.0 15.5 20.0 -5.3 8.8 11.9 5.8 13.3 5.3 12.0 -1.1 18.1 12.1 15.7 -1.6 20.0 20.0 20.0 20.0 DAX 16.5 20.0 20.0 8.2 -3.7 7.8 0.7 5.5 5.6 2.5 20.0 17.1 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 8.1 7.8 11.1 5.4 11.0 -11.5 20.0 20.0 20.0 4.6 -5.8 10.5 2.7 20.0 DOW -9.2 -6.5 12.1 5.8 -4.8 5.8 -1.1 4.1 3.2 -16.8 18.8 -7.6 18.4 3.5 13.9 -12.3 -11.1 -12.8 -12.3 14.5 20.0 -10.2 20.0 3.1 -14.0 6.8 -5.0 9.4 -0.1 9.2 3.7 -10.0 2.2 0.3 -20.0 -0.3 -5.8 -6.9 3.0 -15.3 DX 13.5 3.5 4.5 -0.8 8.9 1.5 2.9 3.7 -0.6 -12.3 5.4 16.8 4.1 14.3 17.0 7.5 6.4 7.1 6.7 11.2 6.7 10.3 5.9 14.7 -20.0 5.0 -2.6 2.5 5.2 2.5 7.4 15.1 11.0 20.0 15.0 4.4 19.2 3.9 20.0 10.1 EUR -8.3 1.1 -2.7 -0.8 8.4 1.4 2.7 3.5 -0.6 14.9 -1.9 -8.7 -2.3 -5.6 -12.1 -6.9 -6.8 -6.7 -6.6 -5.0 -3.0 -5.0 -2.7 -7.8 19.8 -0.2 9.3 0.5 2.7 0.0 -0.7 -7.5 -1.1 -7.5 4.6 -1.1 -20.0 -15.3 -20.0 -12.1 EURIBOR-ICE -3.6 -13.9 0.6 -1.1 0.0 -0.5 -0.5 -1.0 -1.1 0.3 3.0 -2.4 2.9 -3.4 -4.8 -4.8 -4.0 -2.7 -2.7 -1.3 2.9 -0.0 3.4 -1.4 13.7 0.1 2.7 1.8 2.3 1.9 0.7 -2.5 5.9 7.0 1.2 1.2 -20.0 -20.0 11.7 20.0 EUROSTX 7.5 20.0 20.0 8.2 -3.7 7.7 0.7 5.4 5.5 4.0 20.0 18.8 20.0 20.0 20.0 -4.8 1.3 1.5 2.2 20.0 20.0 20.0 20.0 20.0 0.2 9.8 5.7 8.8 7.8 6.6 9.0 13.0 20.0 17.7 18.3 9.2 -15.3 12.2 -13.0 19.5 FEEDCOW -20.0 -3.4 13.7 2.7 3.5 1.7 1.3 -2.4 1.2 -13.1 0.2 -17.5 0.8 -13.7 9.2 -20.0 -20.0 -20.0 -20.0 -7.5 2.5 -20.0 4.4 -20.0 -7.4 -1.9 -1.3 1.0 -6.8 3.2 -6.8 -20.0 -20.0 -20.0 -16.0 16.0 20.0 19.7 20.0 20.0 GASOIL 7.8 5.0 7.8 6.2 8.0 4.2 7.6 3.1 7.2 19.0 10.2 16.3 13.8 15.3 18.5 17.0 20.0 20.0 20.0 16.1 14.8 20.0 15.9 17.5 7.1 6.6 13.8 6.2 10.1 6.5 7.4 19.8 -0.3 -6.1 -4.9 3.9 -11.7 -9.3 -20.0 -16.7 GASOLINE 16.1 16.4 12.7 7.1 9.2 4.8 8.7 3.6 8.2 20.0 14.6 20.0 15.2 20.0 20.0 20.0 10.1 7.9 4.3 20.0 20.0 20.0 17.6 20.0 -20.0 8.9 7.8 6.5 9.5 5.8 9.8 -6.9 4.1 9.8 18.8 12.4 20.0 19.7 20.0 17.7 GAS_US_mini 2.8 3.9 -11.6 3.7 4.8 2.5 4.5 1.9 4.3 -0.3 -13.3 -4.8 -14.0 -8.7 -12.4 -20.0 -20.0 -20.0 -20.0 -12.8 -20.0 -2.2 -20.0 -6.0 20.0 -5.0 -2.8 -6.1 -3.0 -5.8 -3.7 -20.0 -20.0 -20.0 -20.0 -20.0 -18.0 -2.5 -20.0 -7.3 GBP -11.9 -1.9 2.5 -0.8 8.9 1.5 2.9 3.7 -0.6 16.2 10.8 -12.9 8.7 -10.7 -4.4 -0.9 -0.7 -0.7 -0.6 -1.3 4.4 -6.6 5.9 -7.8 2.1 2.2 8.5 4.6 3.1 4.0 0.1 2.8 2.8 -5.3 5.8 8.2 -20.0 -7.6 -20.0 -0.7 GOLD_micro 19.7 20.0 12.0 4.1 10.5 1.3 7.8 -0.1 6.0 18.3 18.5 20.0 13.6 20.0 19.4 -14.6 -14.7 -15.2 -15.0 20.0 20.0 20.0 14.9 20.0 -4.1 7.0 7.4 4.5 9.9 2.7 9.2 -15.3 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -13.0 HEATOIL 8.9 4.2 3.9 6.5 8.4 4.4 8.0 3.3 7.5 20.0 2.3 18.3 9.3 14.9 17.0 9.6 20.0 18.9 20.0 12.7 9.7 20.0 11.1 16.7 -20.0 7.3 9.5 6.7 9.7 7.8 8.1 20.0 -0.4 -10.3 -5.2 2.7 19.9 5.3 16.2 2.3 JGB-SGX-mini -0.4 -4.7 5.0 -1.5 0.1 -0.6 -0.7 -1.4 -1.4 -3.5 5.3 4.4 7.4 1.2 -1.2 8.4 15.7 10.6 12.0 0.1 3.0 -0.1 4.5 -0.4 -8.0 -0.2 -0.5 0.5 -0.1 0.4 -0.2 20.0 -2.1 5.3 4.8 2.7 -10.1 -16.5 0.7 9.8 JPY -11.1 -6.3 -13.4 -0.5 5.9 1.0 1.9 2.5 -0.4 -1.3 -16.1 -15.8 -16.5 -15.9 -16.4 -16.7 -16.4 -16.6 -16.5 -16.2 -17.7 -10.6 -20.0 -14.9 20.0 -5.0 -0.6 -5.1 -3.6 -6.7 -5.2 -20.0 -2.4 -15.1 -15.5 -15.8 -20.0 -11.4 -16.6 -12.1 LEANHOG -1.3 18.6 20.0 3.3 4.2 2.1 1.6 -2.9 1.5 20.0 17.7 20.0 -8.3 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 18.0 20.0 -2.5 20.0 15.0 8.9 6.3 8.4 5.7 1.6 6.1 -20.0 20.0 5.7 20.0 20.0 -7.8 -8.8 3.0 13.6 LIVECOW -20.0 5.1 12.6 2.7 3.5 1.7 1.3 -2.4 1.2 -17.8 3.4 -19.4 2.8 -12.3 10.4 20.0 1.9 19.2 7.9 -0.6 5.4 -20.0 5.1 -20.0 -5.8 2.1 -2.1 3.3 -4.9 4.3 -2.8 5.5 -20.0 -20.0 9.3 17.7 20.0 10.4 20.0 20.0 LUMBER-new -11.7 7.8 10.9 3.3 4.3 2.2 1.6 -1.9 1.5 -20.0 16.9 -19.8 -9.4 4.3 13.5 -16.8 -15.6 -16.6 -15.9 10.7 13.2 -16.5 4.8 -2.6 NaN 4.2 -12.5 6.3 -12.3 3.8 -3.9 -20.0 -20.0 -20.0 20.0 19.0 -11.3 -14.7 -6.5 -8.9 MILK -13.3 -10.5 10.8 1.9 2.4 1.2 0.9 -1.6 0.9 -8.5 -14.8 -13.3 -15.2 -14.8 -14.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -18.4 -20.0 -20.0 13.5 -5.1 -2.3 -4.9 -5.2 -6.1 -5.8 -20.0 -16.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 7.0 10.8 8.0 -0.8 9.1 1.5 3.0 3.8 -0.6 20.0 20.0 20.0 20.0 20.0 20.0 18.5 17.2 17.9 17.0 20.0 20.0 20.0 20.0 20.0 -20.0 9.5 5.6 8.1 9.4 8.8 10.5 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -6.5 -0.3 11.2 4.8 -4.0 4.8 -0.9 3.4 2.7 -12.5 15.9 1.2 16.1 8.6 14.4 -11.5 -10.3 -11.5 -11.1 15.1 20.0 -4.7 20.0 4.4 -20.0 5.3 -4.4 8.6 -2.4 9.7 1.0 -8.3 1.2 -15.9 -16.6 5.3 4.9 -2.0 10.9 -3.4 NIKKEI -0.8 6.4 20.0 5.8 -4.8 5.7 -1.1 4.1 3.2 -16.8 18.3 2.5 19.0 12.0 16.9 2.8 10.9 7.5 9.7 20.0 20.0 -4.7 20.0 14.4 -16.3 6.5 -3.8 8.1 -1.0 7.5 2.8 20.0 -6.6 -16.5 12.8 20.0 -19.6 -7.0 -8.7 -6.9 NZD -15.7 -8.4 -2.4 -0.6 6.6 1.1 2.1 2.8 -0.5 11.1 -0.2 -10.6 -2.6 -13.1 -13.3 0.2 0.3 0.3 0.3 -9.8 -3.3 -7.4 -2.0 -13.5 0.2 -4.1 4.9 -1.1 -1.3 -0.2 -5.2 4.3 -2.2 -16.5 -7.9 -7.1 -9.8 -7.8 -2.6 4.9 OAT -6.1 -7.9 1.3 -1.7 0.1 -0.7 -0.7 -1.5 -1.6 -4.0 2.6 -8.0 1.0 -7.8 -8.1 5.0 6.1 4.8 5.0 -2.4 1.7 -5.8 0.1 -4.7 4.5 0.7 6.2 1.8 5.2 1.0 2.2 12.8 7.9 9.2 6.2 0.3 -17.3 -20.0 13.9 2.3 OATIES -8.2 -0.7 -9.1 2.4 3.1 1.5 1.2 -2.1 1.1 -16.8 -17.8 -17.6 -14.8 -15.6 -10.3 8.9 -0.7 7.3 2.7 -11.1 -14.7 -20.0 -15.1 -14.0 -20.0 -5.4 -14.6 -5.4 -13.5 -5.4 -9.1 -1.4 -20.0 -18.9 -10.2 -6.9 -13.9 0.0 -3.4 14.6 OJ -0.2 4.8 -9.6 2.2 2.8 1.4 1.1 -1.9 1.0 2.8 8.0 12.3 13.1 7.9 10.4 6.3 14.2 7.3 10.2 9.0 14.0 5.2 20.0 7.0 -20.0 2.1 -2.8 6.8 -2.0 15.5 -0.2 20.0 5.1 -9.1 1.2 -10.0 11.6 9.4 19.7 20.0 PALLAD 1.9 13.3 0.6 1.7 4.3 0.5 3.2 -0.0 2.5 7.1 -4.0 -2.1 -7.7 3.6 -2.2 -1.8 -2.1 -1.8 -1.9 0.4 -3.9 1.3 -9.8 1.6 10.7 0.7 2.1 -1.6 1.6 -4.2 1.4 6.9 -6.5 -4.1 -4.5 2.3 -20.0 -11.9 -18.3 -7.4 PLAT 3.1 4.6 -3.0 2.5 6.5 0.8 4.8 -0.1 3.7 11.1 -4.5 6.5 -8.4 5.0 -6.0 -4.3 -3.5 -4.2 -3.9 0.6 -2.2 8.0 -3.8 3.9 10.5 1.6 8.0 -0.1 7.4 -0.7 4.3 4.0 0.7 -1.6 -8.2 -1.4 -13.9 -4.6 20.0 7.5 REDWHEAT 6.5 7.2 -3.9 2.3 2.9 1.5 1.1 -2.0 1.0 0.7 -16.8 0.2 -18.1 -3.3 -11.2 7.2 1.5 5.7 3.0 -9.5 -18.8 -2.1 -20.0 -3.5 -7.7 -4.8 2.7 -8.0 1.3 -8.9 -1.0 1.7 7.0 9.8 -20.0 -20.0 -12.5 -20.0 -4.5 -20.0 RICE -20.0 -20.0 1.0 2.6 3.4 1.7 1.3 -2.3 1.2 -17.7 2.0 -20.0 11.6 -20.0 -12.9 -15.3 -5.1 -13.5 -11.1 -20.0 -1.5 -20.0 10.0 -20.0 -17.2 -5.4 -7.7 -1.1 -11.9 0.8 -10.5 -15.0 -20.0 -20.0 -20.0 -18.3 8.6 -3.5 18.9 7.6 ROBUSTA 16.0 -3.6 20.0 2.1 2.7 1.3 1.0 -1.8 1.0 13.9 17.3 16.0 17.3 16.4 17.3 19.7 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 6.9 4.9 7.3 7.7 7.1 7.4 20.0 20.0 20.0 20.0 20.0 -20.0 -18.9 -7.2 2.7 RUSSELL -5.4 7.0 12.0 4.4 -3.7 4.4 -0.8 3.1 2.5 -11.4 12.6 -0.2 9.7 7.9 11.1 -6.6 -6.3 -6.6 -6.5 9.1 10.7 -1.7 7.4 4.6 -1.9 4.9 -1.4 5.4 1.1 4.1 3.2 -1.0 14.1 -7.9 -10.2 -8.8 -13.3 -18.7 -13.4 -20.0 SHATZ 2.1 -19.1 -14.0 -1.1 0.0 -0.5 -0.5 -1.0 -1.1 -1.7 -6.9 -2.2 -7.2 -5.9 -7.9 -20.0 -20.0 -20.0 -20.0 -9.1 -8.3 -0.5 -8.6 -4.8 8.1 -2.2 0.4 -1.8 0.1 -1.7 -1.2 -20.0 0.4 4.1 -7.9 -8.7 -20.0 -20.0 -8.8 -20.0 SILVER-mini 12.5 18.3 2.5 3.2 8.2 1.0 6.1 -0.1 4.6 14.4 5.9 13.8 0.2 13.6 9.0 -6.4 -6.6 -6.7 -6.8 14.1 6.1 20.0 1.5 20.0 4.2 5.0 8.4 2.6 8.7 1.1 7.2 -1.2 18.4 20.0 18.9 11.0 -15.2 -17.2 20.0 0.5 SMI 0.4 17.7 20.0 7.4 -6.2 7.4 -1.3 5.3 4.2 -20.0 20.0 -6.0 15.0 18.7 20.0 -1.2 5.0 4.1 5.4 20.0 20.0 -1.7 15.1 16.9 17.1 8.8 1.3 7.4 4.6 4.3 7.6 19.1 20.0 15.0 -4.1 -7.9 13.4 -3.0 20.0 -5.7 SOFR -8.9 -8.6 -1.5 -1.8 0.1 -0.7 -0.8 -1.6 -1.7 -9.4 3.3 -11.2 -0.6 -10.9 -9.8 -1.2 0.0 -0.2 0.1 -5.8 -2.5 -8.2 -3.0 -7.5 -3.1 -0.7 1.0 0.5 0.5 0.1 -0.7 3.5 3.1 2.3 -0.7 2.2 -20.0 -20.0 1.9 -2.8 SOYBEAN 17.3 10.6 -17.1 2.5 3.2 1.6 1.2 -2.2 1.1 -8.3 -13.0 1.3 -5.8 10.2 -8.0 1.1 12.3 4.9 8.0 -3.2 -13.4 1.0 -13.6 4.9 -20.0 -0.3 0.3 -3.6 1.7 -3.2 3.0 15.9 -10.7 20.0 2.2 -20.0 -9.5 -20.0 -8.5 -20.0 SOYMEAL 11.0 -2.5 -20.0 2.3 3.0 1.5 1.1 -2.0 1.0 -8.9 -17.2 -9.8 -13.5 -8.0 -15.8 -9.0 7.5 -4.8 1.0 -16.6 -20.0 -9.6 -17.3 -8.4 -20.0 -4.9 -0.9 -6.9 -1.6 -4.1 -1.6 6.5 -13.6 5.1 -13.3 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 18.3 15.7 -3.8 2.0 2.5 1.3 1.0 -1.7 0.9 0.6 -12.0 6.8 -11.0 9.1 0.8 -8.2 1.5 -6.7 -3.3 2.8 -7.7 4.9 -12.6 8.0 -20.0 2.9 -0.9 -0.1 1.6 -2.0 3.8 -2.9 -6.6 20.0 14.6 -3.5 -18.3 -10.2 -10.8 5.2 SP400 -4.9 16.4 20.0 5.5 -4.6 5.4 -1.0 3.9 3.1 -14.1 17.6 2.5 15.0 13.4 16.3 -4.5 -5.3 -5.2 -5.3 20.0 20.0 2.3 16.8 16.0 -13.0 6.6 -1.4 6.2 2.1 4.6 5.1 1.0 19.0 4.0 4.7 0.9 -11.5 -9.3 -8.6 -20.0 SP500_micro -4.4 10.5 20.0 6.6 -5.5 6.6 -1.2 4.7 3.7 -17.4 20.0 4.4 20.0 16.9 20.0 -13.5 -11.7 -13.3 -12.7 20.0 20.0 -1.1 20.0 17.3 -20.0 8.1 -3.6 9.8 0.1 8.9 4.4 -10.8 7.7 0.3 -1.6 17.5 -0.6 -3.6 10.6 -5.5 SUGAR11 9.1 -2.0 -7.8 2.2 2.9 1.4 1.1 -2.0 1.0 -2.4 -7.3 9.5 5.1 2.0 -0.0 11.0 17.3 13.4 15.8 -3.0 -7.2 3.8 0.0 3.2 -20.0 -1.8 -1.4 -4.7 2.1 -0.0 2.0 20.0 7.7 13.3 -4.6 -19.8 20.0 5.1 20.0 18.7 US10 -8.5 -8.2 0.4 -1.5 0.1 -0.6 -0.7 -1.4 -1.4 -6.2 1.6 -8.8 -3.6 -9.0 -8.1 -7.0 -7.9 -8.0 -8.1 -5.0 -3.4 -7.0 -6.8 -6.5 2.7 -0.6 1.0 0.0 0.1 -1.1 -0.8 -10.7 1.2 1.3 -0.6 2.4 -20.0 -20.0 -13.8 6.1 US10U -8.4 -7.4 -0.0 -2.1 0.1 -0.8 -0.9 -1.9 -1.9 -9.6 1.8 -12.7 -4.9 -13.0 -11.8 -4.0 -0.6 -2.4 -1.2 -6.8 -4.9 -10.2 -10.0 -9.0 -0.5 -0.7 1.1 0.1 -0.1 -1.7 -1.0 1.9 1.2 1.9 0.7 4.0 -20.0 -20.0 14.7 16.9 US2 -7.8 -17.0 -5.0 -1.2 0.1 -0.5 -0.5 -1.1 -1.2 -3.4 -4.5 -6.8 -7.2 -7.9 -8.1 -20.0 -20.0 -20.0 -20.0 -8.5 -6.9 -5.7 -9.6 -8.0 11.6 -2.0 0.9 -1.0 -0.3 -1.7 -1.7 -20.0 -2.0 -0.9 -7.5 -2.2 -20.0 -20.0 -20.0 -20.0 US20 -9.5 -4.4 3.0 -1.5 0.1 -0.6 -0.7 -1.4 -1.4 -7.4 3.2 -8.9 -1.9 -7.6 -6.6 0.1 -0.7 -0.0 -0.3 -2.8 -1.3 -7.8 -5.6 -5.5 -1.3 0.6 0.5 1.1 -0.1 -0.8 -0.2 2.3 1.4 1.7 4.2 6.5 -20.0 -18.7 20.0 20.0 US30 -9.3 -2.7 1.8 -1.7 0.1 -0.7 -0.8 -1.6 -1.6 -8.7 2.5 -10.7 -3.7 -8.8 -8.5 -6.8 -6.1 -7.4 -7.0 -3.3 -2.3 -8.0 -7.7 -5.9 -0.6 0.7 0.7 1.2 0.1 -1.5 -0.2 -7.9 3.2 1.3 6.5 5.5 -15.3 -15.1 20.0 20.0 US5 -8.0 -11.7 -2.1 -1.5 0.1 -0.6 -0.7 -1.3 -1.4 -6.5 -0.1 -9.0 -4.9 -9.3 -8.6 -10.7 -10.2 -10.0 -10.1 -6.9 -4.9 -6.9 -7.3 -7.5 5.8 -1.3 0.9 -0.3 0.0 -1.1 -1.1 -14.4 -0.1 0.9 -3.7 0.5 -20.0 -20.0 -20.0 -7.5 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 16.8 1.5 -3.1 2.5 3.3 1.6 1.2 -2.2 1.1 17.0 -16.2 18.7 -19.9 4.3 -9.6 -17.6 -12.1 -15.0 -13.4 -7.3 -18.1 11.5 -20.0 5.3 1.5 -3.7 4.8 -6.4 5.3 -7.0 1.8 -20.0 20.0 20.0 -20.0 -20.0 -8.1 -20.0 -3.7 -20.0 End of report for caleb_strategy_v3