******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240409_204013 produced at 2024-04-09 21:37:23.803945 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.16 0.0 0.00 0.00 0.00 0.00 -17.15 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.33 0.0 0.00 0.00 0.00 0.00 -10.21 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 -5.20 13.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.07 -0.29 0.0 0.08 -0.08 -0.07 -0.08 -62.51 17.0 -16 -17 caleb_strategy_v3 CHF False False 0.04 -0.27 -0.19 0.0 0.51 -0.51 -0.27 -0.31 -4.87 13.0 -7 -8 caleb_strategy_v3 JPY False False 0.02 -0.02 -0.15 0.0 0.40 -0.40 -0.02 0.00 -6.22 17.0 -1 0 caleb_strategy_v3 US5 False False 0.03 -0.42 -0.10 0.0 0.74 -0.74 -0.42 -0.36 -3.46 25.0 -14 -12 caleb_strategy_v3 CAD False False 0.02 0.00 -0.10 0.0 0.60 -0.60 0.00 0.00 -5.07 29.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.07 0.0 0.04 -0.04 -0.03 -0.03 -46.30 26.0 -19 -22 caleb_strategy_v3 RICE False True 0.01 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -6.56 4.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.05 0.0 0.08 -0.08 -0.07 -0.07 -8.23 12.0 -11 -11 caleb_strategy_v3 US10 False False 0.03 0.00 -0.05 0.0 0.52 -0.52 0.00 0.00 -1.74 17.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.05 0.0 0.28 -0.28 0.00 0.00 -1.53 8.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.14 -0.14 -0.02 -0.02 -18.43 51.0 -6 -6 caleb_strategy_v3 BOBL False False 0.04 -0.65 -0.05 0.0 0.68 -0.68 -0.65 -0.65 -1.41 19.0 -18 -18 caleb_strategy_v3 OATIES False True 0.00 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -11.07 2.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.04 0.0 0.05 -0.05 0.00 0.00 -3.87 5.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.03 0.0 0.09 -0.09 0.00 0.00 -2.64 9.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.03 0.0 0.01 -0.01 0.00 0.00 -7.69 3.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 -0.03 0.0 0.36 -0.36 0.00 -0.04 -5.43 66.0 0 -7 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.03 0.0 0.36 -0.36 -0.02 -0.03 -2.05 21.0 -1 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.08 -0.02 0.0 0.23 -0.23 -0.08 -0.04 -1.63 23.0 -8 -4 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.08 -0.08 -0.03 -0.03 -1.91 9.0 -4 -4 caleb_strategy_v3 US10U False False 0.03 -0.03 -0.02 0.0 0.41 -0.41 -0.03 -0.03 -0.76 13.0 -1 -1 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.02 0.0 0.12 -0.12 -0.02 -0.02 -1.14 7.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 -0.02 -0.01 0.0 0.20 -0.20 -0.02 -0.02 -3.09 68.0 -7 -7 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.08 -0.08 -0.03 -0.03 -1.19 10.0 -4 -4 caleb_strategy_v3 US20 False False 0.03 0.00 -0.01 0.0 0.30 -0.30 0.00 0.00 -0.17 9.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.23 6.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.01 0.0 0.06 -0.06 -0.01 -0.01 -1.72 8.0 -1 -1 caleb_strategy_v3 AUD False False 0.02 0.00 -0.01 0.0 0.35 -0.35 0.00 0.00 -0.55 19.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.02 -0.01 0.0 0.14 -0.14 -0.02 -0.02 -1.06 11.0 -2 -2 caleb_strategy_v3 EUR False False 0.04 0.00 -0.01 0.0 0.53 -0.53 0.00 0.00 -0.37 14.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 -0.00 0.0 0.12 -0.12 0.01 0.00 -0.39 18.0 1 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.00 0.0 0.00 0.00 0.00 0.00 1.57 59.0 0 0 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.00 0.0 0.16 -0.16 0.00 0.00 -0.08 4.0 0 0 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.00 0.0 0.40 -0.40 -0.04 -0.04 -0.09 10.0 -1 -1 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.06 2.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.21 0.01 0.0 0.35 -0.35 0.21 0.10 1.29 48.0 28 13 caleb_strategy_v3 COFFEE False False 0.02 0.00 0.01 0.0 0.13 -0.13 0.00 0.02 0.54 6.0 0 1 caleb_strategy_v3 GBP False False 0.02 0.00 0.01 0.0 0.49 -0.49 0.00 0.00 0.24 22.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.71 3.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.02 0.0 0.24 -0.24 0.00 0.00 1.92 23.0 0 0 caleb_strategy_v3 PLAT False False 0.01 0.00 0.02 0.0 0.14 -0.14 0.00 0.00 1.16 10.0 0 0 caleb_strategy_v3 SP400 False False 0.08 0.17 0.02 0.0 0.17 -0.17 0.17 0.17 0.26 2.0 2 2 caleb_strategy_v3 COCOA False False 0.03 0.13 0.03 0.0 0.69 -0.69 0.13 0.11 1.14 26.0 5 4 caleb_strategy_v3 LIVECOW False False 0.02 0.06 0.03 0.0 0.33 -0.33 0.06 0.06 1.35 17.0 3 3 caleb_strategy_v3 BTP False False 0.04 0.14 0.04 0.0 0.36 -0.36 0.14 0.14 1.14 10.0 4 4 caleb_strategy_v3 OAT False False 0.04 0.00 0.04 0.0 0.39 -0.39 0.00 0.00 1.01 10.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.04 0.0 0.00 -0.00 0.00 0.00 2.18 0.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 0.06 0.04 0.0 0.09 -0.09 0.06 0.09 1.31 3.0 2 3 caleb_strategy_v3 GASOIL False False 0.02 0.02 0.05 0.0 0.09 -0.09 0.02 0.05 2.39 4.0 1 2 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.06 0.0 0.37 -0.37 0.00 0.00 8.78 56.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.09 0.0 0.13 -0.13 0.13 0.13 2.75 4.0 4 4 caleb_strategy_v3 DX False False 0.03 0.00 0.11 0.0 999.00 -999.00 0.00 0.00 3.88 999999999.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.18 0.11 0.0 0.26 -0.26 0.18 0.15 14.63 36.0 25 21 caleb_strategy_v3 CAC False False 0.02 0.00 0.11 0.0 0.29 -0.29 0.00 0.15 4.58 12.0 0 6 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.12 0.0 0.16 -0.16 0.07 0.07 9.51 13.0 6 6 caleb_strategy_v3 EUROSTX False False 0.02 0.29 0.12 0.0 0.30 -0.30 0.29 0.29 8.12 20.0 19 19 caleb_strategy_v3 SMI False False 0.04 0.32 0.13 0.0 0.32 -0.32 0.32 0.32 3.79 9.0 9 9 caleb_strategy_v3 COPPER False False 0.03 0.18 0.13 0.0 0.18 -0.18 0.18 0.15 4.38 6.0 6 5 caleb_strategy_v3 DAX False False 0.01 0.20 0.15 0.0 0.32 -0.32 0.20 0.16 26.31 58.0 35 28 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.08 0.17 0.0 0.43 -0.43 0.08 0.08 6.27 16.0 3 3 caleb_strategy_v3 EURIBOR-ICE False False 0.07 0.15 0.18 0.0 0.74 -0.74 0.15 0.07 2.45 10.0 2 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.11 0.33 0.0 0.11 -0.11 0.11 0.11 14.80 5.0 5 5 caleb_strategy_v3 MXP False False 0.01 0.51 0.86 0.0 0.51 -0.51 0.51 0.51 101.68 60.0 60 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 25.0 Shocked risk 86.9 Sum abs risk 65.3 Leverage 6.43 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3567821.38, 'annual_cash_vol_target': 891955.345, 'daily_cash_vol_target': 55747.2090625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0037 0.6632 0.5541 8.8663 BITCOIN 2121.7500 69095.0000 3.0708 49.1324 BOBL 0.2437 117.8000 0.2069 3.3106 BTP 0.5866 118.6000 0.4946 7.9143 BUND 0.4924 132.5000 0.3716 5.9458 BUXL 1.1943 133.8800 0.8921 14.2734 CAC 48.4433 7986.5000 0.6066 9.7050 CAD 0.0026 0.7369 0.3580 5.7282 CANOLA 6.6579 648.2000 1.0271 16.4342 CHF 0.0048 1.1150 0.4262 6.8198 COCOA 168.5317 9534.0000 1.7677 28.2831 COFFEE 2.9911 211.5500 1.4139 22.6224 COPPER 0.0437 4.3190 1.0114 16.1831 CORN 5.1914 468.2500 1.1087 17.7388 COTTON2 1.3780 87.9500 1.5668 25.0686 CRUDE_W 0.8158 79.6000 1.0248 16.3973 DAX 121.5591 18320.0000 0.6635 10.6165 DOW 245.0986 39007.0000 0.6283 10.0535 DX 0.3259 103.9500 0.3135 5.0156 EUR 0.0043 1.0881 0.3917 6.2674 EURIBOR-ICE 0.0462 97.5700 0.0473 0.7568 EUROSTX 34.9432 4945.0000 0.7066 11.3062 FEEDCOW 2.0828 249.8250 0.8337 13.3393 GASOIL 11.5935 818.5000 1.4164 22.6629 GASOLINE 0.0333 2.6952 1.2349 19.7588 GAS_US_mini 0.0748 2.0700 3.6159 57.8548 GBP 0.0055 1.2669 0.4378 7.0050 GOLD_micro 15.3987 2366.5000 0.6507 10.4111 HEATOIL 0.0370 2.6745 1.3843 22.1487 JGB-SGX-mini 0.1937 145.2600 0.1333 2.1334 JPY 0.0000 0.0067 0.5092 8.1476 LEANHOG 1.0802 110.3750 0.9787 15.6584 LIVECOW 1.4120 174.8000 0.8078 12.9247 LUMBER-new 6.5203 578.5000 1.1271 18.0337 MILK 0.2319 17.2500 1.3446 21.5133 MXP 0.0003 0.0602 0.5343 8.5480 NASDAQ_micro 137.6585 18224.5000 0.7553 12.0856 NIKKEI 361.5397 39455.0000 0.9163 14.6613 NZD 0.0035 0.6051 0.5839 9.3423 OAT 0.4779 127.5200 0.3748 5.9960 OATIES 4.9027 324.0000 1.5132 24.2109 OJ 5.8697 363.5000 1.6148 25.8365 PALLAD 26.3606 1088.5000 2.4217 38.7478 PLAT 15.6378 987.9000 1.5829 25.3269 REDWHEAT 9.5093 575.0000 1.6538 26.4608 RICE 0.1714 16.6000 1.0323 16.5176 ROBUSTA 46.2674 3674.0000 1.2593 20.1491 RUSSELL 21.4340 2086.9000 1.0271 16.4331 SHATZ 0.0770 105.5800 0.0729 1.1664 SILVER-mini 0.4158 28.4625 1.4607 23.3714 SMI 75.5480 11401.0000 0.6626 10.6023 SOFR 0.0586 96.2050 0.0609 0.9743 SOYBEAN 9.4596 1178.2500 0.8028 12.8456 SOYMEAL 3.8577 339.0000 1.1380 18.2076 SOYOIL 0.6631 48.2300 1.3748 21.9970 SP400 23.4702 3017.9000 0.7777 12.4432 SP500_micro 31.9451 5225.7500 0.6113 9.7808 SUGAR11 0.2953 21.1200 1.3981 22.3700 US10 0.3656 109.6250 0.3335 5.3356 US10U 0.4959 113.0469 0.4387 7.0188 US2 0.1004 101.9805 0.0984 1.5748 US20 0.7416 117.9688 0.6286 10.0584 US30 1.1054 125.5625 0.8803 14.0854 US5 0.2400 106.2656 0.2259 3.6139 VIX 0.4182 16.7000 2.5040 40.0639 WHEAT 8.1224 613.0000 1.3250 21.2004 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 663.20 0.55 367.51 1.00 367.51 55747.21 151.69 -1.40 -21.31 BITCOIN 69.10 3.07 212.17 1.00 212.17 55747.21 262.74 0.55 14.54 BOBL 1178.00 0.21 243.74 1.08 264.12 55747.21 211.07 -6.57 -138.66 BTP 1186.00 0.49 586.64 1.08 635.69 55747.21 87.70 3.81 33.40 BUND 1325.00 0.37 492.39 1.08 533.55 55747.21 104.48 -0.88 -9.24 BUXL 1338.80 0.89 1194.33 1.08 1294.17 55747.21 43.08 -1.80 -7.74 CAC 798.65 0.61 484.43 1.08 524.93 55747.21 106.20 12.64 134.18 CAD 736.90 0.36 263.82 1.00 263.82 55747.21 211.31 -9.25 -195.56 CANOLA 129.64 1.03 133.16 0.74 97.91 55747.21 569.35 -13.30 -757.47 CHF 1393.75 0.43 594.06 1.00 594.06 55747.21 93.84 -20.00 -187.68 COCOA 953.40 1.77 1685.32 1.00 1685.32 55747.21 33.08 16.15 53.42 COFFEE 793.31 1.41 1121.66 1.00 1121.66 55747.21 49.70 9.38 46.60 COPPER 1079.75 1.01 1092.10 1.00 1092.10 55747.21 51.05 7.93 40.48 CORN 234.12 1.11 259.57 1.00 259.57 55747.21 214.77 -15.74 -338.10 COTTON2 439.75 1.57 689.00 1.00 689.00 55747.21 80.91 -6.10 -49.34 CRUDE_W 796.00 1.02 815.77 1.00 815.77 55747.21 68.34 20.00 136.67 DAX 183.20 0.66 121.56 1.08 131.72 55747.21 423.22 18.22 771.31 DOW 195.04 0.63 122.55 1.00 122.55 55747.21 454.90 -5.13 -233.48 DX 1039.50 0.31 325.86 1.00 325.86 55747.21 171.08 8.75 149.70 EUR 1360.12 0.39 532.78 1.00 532.78 55747.21 104.63 -1.36 -14.26 EURIBOR-ICE 2439.25 0.05 115.38 1.08 125.03 55747.21 445.89 1.61 71.72 EUROSTX 494.50 0.71 349.43 1.08 378.65 55747.21 147.23 16.18 238.16 FEEDCOW 1249.12 0.83 1041.40 1.00 1041.40 55747.21 53.53 -8.63 -46.21 GASOIL 818.50 1.42 1159.35 1.00 1159.35 55747.21 48.08 11.48 55.21 GASOLINE 1131.98 1.23 1397.91 1.00 1397.91 55747.21 39.88 15.91 63.46 GAS_US_mini 51.75 3.62 187.12 1.00 187.12 55747.21 297.92 -14.35 -427.56 GBP 791.81 0.44 346.67 1.00 346.67 55747.21 160.81 0.58 9.38 GOLD_micro 236.65 0.65 153.99 1.00 153.99 55747.21 362.03 7.11 257.53 HEATOIL 1123.29 1.38 1554.96 1.00 1554.96 55747.21 35.85 8.46 30.32 JGB-SGX-mini 145260.00 0.13 19369.02 0.01 127.60 55747.21 436.87 1.33 57.90 JPY 832.38 0.51 423.86 1.00 423.86 55747.21 131.52 -18.23 -239.71 LEANHOG 441.50 0.98 432.07 1.00 432.07 55747.21 129.02 12.13 156.55 LIVECOW 699.20 0.81 564.81 1.00 564.81 55747.21 98.70 4.11 40.61 LUMBER-new 159.09 1.13 179.31 1.00 179.31 55747.21 310.90 -11.57 -359.62 MILK 345.00 1.34 463.88 1.00 463.88 55747.21 120.18 -15.03 -180.66 MXP 301.25 0.53 160.94 1.00 160.94 55747.21 346.38 20.00 692.76 NASDAQ_micro 364.49 0.76 275.32 1.00 275.32 55747.21 202.48 -3.47 -70.24 NIKKEI 39455.00 0.92 36153.97 0.01 238.19 55747.21 234.05 5.77 135.13 NZD 605.10 0.58 353.31 1.00 353.31 55747.21 157.78 -5.00 -78.84 OAT 1275.20 0.37 477.88 1.08 517.83 55747.21 107.65 2.75 29.61 OATIES 162.00 1.51 245.14 1.00 245.14 55747.21 227.41 -20.00 -454.83 OJ 545.25 1.61 880.46 1.00 880.46 55747.21 63.32 5.22 33.08 PALLAD 1088.50 2.42 2636.06 1.00 2636.06 55747.21 21.15 -0.88 -1.85 PLAT 493.95 1.58 781.89 1.00 781.89 55747.21 71.30 4.76 33.95 REDWHEAT 287.50 1.65 475.47 1.00 475.47 55747.21 117.25 -11.06 -129.68 RICE 332.00 1.03 342.74 1.00 342.74 55747.21 162.65 -16.58 -269.72 ROBUSTA 367.40 1.26 462.67 1.00 462.67 55747.21 120.49 13.64 164.37 RUSSELL 104.34 1.03 107.17 1.00 107.17 55747.21 520.18 -1.79 -93.14 SHATZ 1055.80 0.07 76.97 1.08 83.40 55747.21 668.39 -15.06 -1006.75 SILVER-mini 711.56 1.46 1039.39 1.00 1039.39 55747.21 53.63 11.93 64.01 SMI 1140.10 0.66 755.48 1.11 836.47 55747.21 66.65 16.69 111.25 SOFR 2405.12 0.06 146.46 1.00 146.46 55747.21 380.62 -7.41 -282.12 SOYBEAN 589.12 0.80 472.98 1.00 472.98 55747.21 117.86 -10.44 -123.03 SOYMEAL 339.00 1.14 385.77 1.00 385.77 55747.21 144.51 -19.64 -283.83 SOYOIL 289.38 1.37 397.84 1.00 397.84 55747.21 140.12 -9.15 -128.15 SP400 3017.90 0.78 2347.02 1.00 2347.02 55747.21 23.75 3.32 7.89 SP500_micro 261.29 0.61 159.73 1.00 159.73 55747.21 349.02 1.59 55.34 SUGAR11 236.54 1.40 330.72 1.00 330.72 55747.21 168.56 -1.08 -18.22 US10 1096.25 0.33 365.57 1.00 365.57 55747.21 152.49 -9.01 -137.43 US10U 1130.47 0.44 495.91 1.00 495.91 55747.21 112.42 -5.36 -60.21 US2 2039.61 0.10 200.75 1.00 200.75 55747.21 277.69 -14.79 -410.57 US20 1179.69 0.63 741.61 1.00 741.61 55747.21 75.17 -1.79 -13.43 US30 1255.62 0.88 1105.37 1.00 1105.37 55747.21 50.43 -3.60 -18.15 US5 1062.66 0.23 240.02 1.00 240.02 55747.21 232.26 -11.77 -273.33 VIX 167.00 2.50 418.17 1.00 418.17 55747.21 133.31 -19.00 -253.26 WHEAT 306.50 1.33 406.12 1.00 406.12 55747.21 137.27 -10.48 -143.92 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -21.311 0.010 2.5 -0.553 BITCOIN 14.540 0.043 2.5 1.575 BOBL -138.656 0.004 2.5 -1.406 BTP 33.399 0.014 2.5 1.139 BUND -9.244 0.004 2.5 -0.094 BUXL -7.741 0.004 2.5 -0.078 CAC 134.184 0.014 2.5 4.577 CAD -195.560 0.010 2.5 -5.074 CANOLA -757.467 0.010 2.5 -18.428 CHF -187.681 0.010 2.5 -4.870 COCOA 53.421 0.009 2.5 1.144 COFFEE 46.602 0.005 2.5 0.544 COPPER 40.478 0.043 2.5 4.383 CORN -338.102 0.010 2.5 -8.226 COTTON2 -49.342 0.009 2.5 -1.057 CRUDE_W 136.675 0.043 2.5 14.800 DAX 771.306 0.014 2.5 26.308 DOW -233.484 0.009 2.5 -5.426 DX 149.695 0.010 2.5 3.884 EUR -14.262 0.010 2.5 -0.370 EURIBOR-ICE 71.723 0.014 2.5 2.446 EUROSTX 238.165 0.014 2.5 8.123 FEEDCOW -46.210 0.013 2.5 -1.531 GASOIL 55.213 0.017 2.5 2.393 GASOLINE 63.462 0.017 2.5 2.751 GAS_US_mini -427.560 0.043 2.5 -46.299 GBP 9.376 0.010 2.5 0.243 GOLD_micro 257.530 0.014 2.5 8.784 HEATOIL 30.322 0.017 2.5 1.314 JGB-SGX-mini 57.897 0.043 2.5 6.270 JPY -239.710 0.010 2.5 -6.220 LEANHOG 156.555 0.024 2.5 9.514 LIVECOW 40.606 0.013 2.5 1.346 LUMBER-new -359.617 0.009 2.5 -7.695 MILK -180.664 0.009 2.5 -3.869 MXP 692.756 0.059 2.5 101.678 NASDAQ_micro -70.237 0.009 2.5 -1.632 NIKKEI 135.131 0.043 2.5 14.633 NZD -78.843 0.010 2.5 -2.046 OAT 29.607 0.014 2.5 1.010 OATIES -454.827 0.010 2.5 -11.065 OJ 33.081 0.009 2.5 0.709 PALLAD -1.854 0.014 2.5 -0.063 PLAT 33.952 0.014 2.5 1.158 REDWHEAT -129.677 0.005 2.5 -1.720 RICE -269.718 0.010 2.5 -6.562 ROBUSTA 164.375 0.005 2.5 1.920 RUSSELL -93.137 0.013 2.5 -3.086 SHATZ -1006.751 0.004 2.5 -10.209 SILVER-mini 64.010 0.014 2.5 2.183 SMI 111.246 0.014 2.5 3.794 SOFR -282.123 0.024 2.5 -17.146 SOYBEAN -123.028 0.004 2.5 -1.144 SOYMEAL -283.826 0.004 2.5 -2.640 SOYOIL -128.154 0.004 2.5 -1.193 SP400 7.895 0.013 2.5 0.262 SP500_micro 55.335 0.009 2.5 1.286 SUGAR11 -18.219 0.009 2.5 -0.387 US10 -137.432 0.005 2.5 -1.742 US10U -60.205 0.005 2.5 -0.763 US2 -410.574 0.005 2.5 -5.203 US20 -13.434 0.005 2.5 -0.170 US30 -18.146 0.005 2.5 -0.230 US5 -273.328 0.005 2.5 -3.464 VIX -253.256 0.099 2.5 -62.514 WHEAT -143.919 0.005 2.5 -1.909 ===================== Position diags ===================== AUD 3.94 BITCOIN 28.45 BOBL 2.14 BTP 2.99 BUND 1.06 BUXL 0.44 CAC 3.62 CAD 5.48 CANOLA 13.85 CHF 2.43 COCOA 0.71 COFFEE 0.58 COPPER 5.53 CORN 5.23 COTTON2 1.73 CRUDE_W 7.40 DAX 14.44 DOW 10.57 DX 4.44 EUR 2.71 EURIBOR-ICE 15.21 EUROSTX 5.02 FEEDCOW 1.77 GASOIL 2.08 GASOLINE 1.73 GAS_US_mini 32.26 GBP 4.17 GOLD_micro 12.35 HEATOIL 1.55 JGB-SGX-mini 47.31 JPY 3.41 LEANHOG 7.84 LIVECOW 3.27 LUMBER-new 6.65 MILK 2.57 MXP 50.84 NASDAQ_micro 4.71 NIKKEI 25.34 NZD 4.09 OAT 3.67 OATIES 5.53 OJ 1.36 PALLAD 0.72 PLAT 2.43 REDWHEAT 1.56 RICE 3.96 ROBUSTA 1.41 RUSSELL 17.24 SHATZ 6.78 SILVER-mini 1.83 SMI 2.27 SOFR 23.13 SOYBEAN 1.10 SOYMEAL 1.34 SOYOIL 1.30 SP400 0.79 SP500_micro 8.11 SUGAR11 3.58 US10 1.93 US10U 1.42 US2 3.52 US20 0.95 US30 0.64 US5 2.94 VIX 32.91 WHEAT 1.82 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.6 -0.9 -0.2 0.0 0 BITCOIN 1.6 -1.3 4.4 0.0 0 BOBL -1.4 -1.6 -1.2 -18.0 -18 BTP 1.1 0.8 1.4 4.0 4 BUND -0.1 -0.2 0.0 -1.0 -1 BUXL -0.1 -0.1 -0.0 0.0 0 CAC 4.6 4.2 4.9 0.0 0 CAD -5.1 -5.6 -4.5 0.0 0 CANOLA -18.4 -19.8 -17.0 -6.0 -6 CHF -4.9 -5.1 -4.6 -7.0 -7 COCOA 1.1 1.1 1.2 5.0 5 COFFEE 0.5 0.5 0.6 0.0 0 COPPER 4.4 3.8 4.9 6.0 6 CORN -8.2 -8.7 -7.7 -11.0 -11 COTTON2 -1.1 -1.2 -0.9 -2.0 -2 CRUDE_W 14.8 14.1 15.5 5.0 5 DAX 26.3 24.9 27.8 35.0 35 DOW -5.4 -6.5 -4.4 0.0 0 DX 3.9 3.4 4.3 NaN 0 EUR -0.4 -0.6 -0.1 0.0 0 EURIBOR-ICE 2.4 0.9 4.0 2.0 2 EUROSTX 8.1 7.6 8.6 19.0 19 FEEDCOW -1.5 -1.7 -1.4 0.0 0 GASOIL 2.4 2.2 2.6 1.0 1 GASOLINE 2.8 2.6 2.9 4.0 4 GAS_US_mini -46.3 -49.5 -43.1 -19.0 -19 GBP 0.2 -0.2 0.7 0.0 0 GOLD_micro 8.8 7.5 10.0 0.0 0 HEATOIL 1.3 1.2 1.5 2.0 2 JGB-SGX-mini 6.3 1.5 11.0 3.0 3 JPY -6.2 -6.6 -5.9 -1.0 -1 LEANHOG 9.5 8.7 10.3 6.0 6 LIVECOW 1.3 1.0 1.7 3.0 3 LUMBER-new -7.7 -8.4 -7.0 NaN 0 MILK -3.9 -4.1 -3.6 NaN 0 MXP 101.7 96.6 106.8 60.0 60 NASDAQ_micro -1.6 -2.1 -1.2 -8.0 -8 NIKKEI 14.6 12.1 17.2 25.0 25 NZD -2.0 -2.5 -1.6 -1.0 -1 OAT 1.0 0.6 1.4 0.0 0 OATIES -11.1 -11.6 -10.5 NaN 0 OJ 0.7 0.6 0.8 NaN 0 PALLAD -0.1 -0.1 0.0 0.0 0 PLAT 1.2 0.9 1.4 0.0 0 REDWHEAT -1.7 -1.9 -1.6 -1.0 -1 RICE -6.6 -7.0 -6.2 NaN 0 ROBUSTA 1.9 1.8 2.1 0.0 0 RUSSELL -3.1 -4.8 -1.4 -7.0 -7 SHATZ -10.2 -10.9 -9.5 NaN 0 SILVER-mini 2.2 2.0 2.4 NaN 0 SMI 3.8 3.6 4.0 9.0 9 SOFR -17.1 -19.5 -14.8 NaN 0 SOYBEAN -1.1 -1.3 -1.0 -1.0 -1 SOYMEAL -2.6 -2.8 -2.5 0.0 0 SOYOIL -1.2 -1.3 -1.1 -4.0 -4 SP400 0.3 0.2 0.3 2.0 2 SP500_micro 1.3 0.5 2.1 28.0 28 SUGAR11 -0.4 -0.7 -0.0 1.0 1 US10 -1.7 -1.9 -1.5 0.0 0 US10U -0.8 -0.9 -0.6 -1.0 -1 US2 -5.2 -5.6 -4.9 NaN 0 US20 -0.2 -0.3 -0.1 0.0 0 US30 -0.2 -0.3 -0.2 0.0 0 US5 -3.5 -3.8 -3.2 -14.0 -14 VIX -62.5 -65.8 -59.2 -16.0 -16 WHEAT -1.9 -2.1 -1.7 -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 0.0 0.0 -0.1 0.0 0.0 0.0 0.0 0.1 0.0 0.2 -0.1 0.1 -0.4 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 0.0 0.4 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.1 0.4 0.3 0.2 -0.2 -0.7 -0.4 -0.5 -0.1 BITCOIN -0.6 0.0 0.2 0.0 0.1 0.0 0.1 0.0 0.1 0.0 0.5 -0.0 0.6 0.1 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.0 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.2 0.0 -0.2 -0.5 -0.6 0.6 0.6 -0.3 0.0 0.6 0.1 BOBL 0.1 -0.3 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.2 -0.2 -0.1 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 0.9 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.9 0.2 0.3 0.0 -0.2 -0.7 -0.7 0.3 -0.6 BTP -0.3 -0.1 0.2 -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 -0.0 0.3 -0.0 -2.7 0.1 0.0 0.2 0.0 0.2 0.0 0.7 0.3 0.5 0.6 0.4 -0.2 -0.4 0.7 0.1 BUND 0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -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 0.0 0.0 0.0 -0.0 0.0 0.2 0.3 0.4 0.2 -0.1 -0.5 -0.7 0.5 -0.3 BUXL -0.0 -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 0.0 0.0 0.1 -0.0 0.1 0.0 0.5 0.6 0.4 0.1 -0.7 -0.7 -0.0 -0.0 CAC -0.4 0.5 0.6 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.2 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 0.1 -1.6 0.1 -0.0 0.2 -0.0 0.2 0.1 0.7 0.5 0.4 0.5 -0.0 -0.3 0.4 -0.2 0.5 CAD -0.1 -0.2 -0.0 0.0 0.1 0.0 0.1 0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.1 -0.3 -0.1 -0.7 -0.5 -0.2 -0.4 CANOLA 0.6 0.6 -0.3 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 -0.2 0.1 -0.4 0.1 0.0 -0.3 -0.1 -0.3 -0.2 0.0 -0.1 0.1 -0.5 0.1 -2.7 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.9 -0.1 0.6 0.4 -0.6 -0.7 -0.6 -0.5 -0.2 CHF -0.6 -0.6 -0.6 0.0 0.0 0.0 0.0 0.1 0.0 0.0 -0.3 -0.2 -0.2 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.2 -0.2 -0.2 -0.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -1.1 -0.3 -0.6 -0.6 -0.6 -0.3 -0.6 0.0 -0.5 COCOA 0.6 0.6 0.3 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 0.5 0.2 -2.2 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.3 0.6 0.6 0.6 0.1 0.0 0.2 0.4 COFFEE 0.6 0.2 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 0.1 0.1 0.2 0.1 0.1 0.7 0.5 0.6 0.6 0.3 -0.2 -0.7 0.1 -0.4 COPPER 0.4 0.6 0.3 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.3 0.2 -0.0 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.1 0.2 -2.0 0.1 0.1 0.1 0.1 0.0 0.1 0.1 0.3 0.6 0.5 0.5 -0.7 -0.1 0.4 0.2 CORN 0.3 0.6 0.1 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 -0.3 0.0 -0.6 0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.0 -0.1 -0.0 -0.5 0.0 -2.1 -0.0 -0.0 -0.2 0.0 -0.3 0.0 -1.1 0.2 0.3 -0.2 -0.6 -0.3 -0.7 -0.3 0.0 COTTON2 -0.6 -0.2 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 -0.5 -0.6 0.5 0.6 -0.3 -0.4 -0.0 0.0 CRUDE_W 0.6 0.6 0.3 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.5 0.2 0.2 0.4 0.2 0.3 0.2 0.2 0.2 0.2 0.5 0.2 -0.7 0.1 0.0 0.2 0.1 0.2 0.1 -0.1 0.3 0.5 0.6 -0.0 0.7 0.7 0.7 0.7 DAX -0.2 0.5 0.5 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 2.3 0.1 -0.0 0.2 0.0 0.2 0.1 -0.6 0.5 0.6 0.6 0.3 -0.1 0.3 0.1 0.7 DOW -0.4 -0.3 0.3 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.5 -0.1 0.6 -0.0 0.1 -0.2 -0.2 -0.3 -0.2 0.1 0.2 -0.1 0.5 -0.0 -1.7 0.1 -0.0 0.2 -0.0 0.3 0.0 -0.5 0.3 0.1 -0.6 -0.1 -0.2 -0.2 0.1 -0.5 DX 0.4 0.1 0.2 0.0 0.1 0.0 0.1 0.1 0.0 -0.1 0.2 0.2 0.2 0.2 0.2 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 -2.7 0.1 -0.0 0.1 0.0 0.1 0.1 0.8 -0.3 0.6 0.2 0.3 0.7 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 0.2 -0.0 -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 2.7 0.0 0.1 0.0 0.0 0.0 0.0 -0.4 0.0 -0.1 0.2 -0.0 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.1 -0.4 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 0.1 -0.0 1.8 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.1 0.1 0.0 0.0 -0.7 -0.7 0.4 0.7 EUROSTX -0.3 0.4 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 -0.1 0.0 0.0 0.0 0.2 0.2 -0.0 0.5 0.2 -0.0 0.1 -0.0 0.2 0.0 0.3 0.1 0.6 0.5 0.6 0.6 0.4 -0.5 0.4 -0.4 0.6 FEEDCOW -0.6 -0.4 0.4 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 -0.2 0.0 -0.4 -0.4 -0.4 -0.4 -0.1 -0.0 -0.2 0.1 -0.2 -0.9 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -1.1 -0.3 -0.6 -0.6 0.4 0.7 0.7 0.7 0.7 GASOIL 0.2 0.2 0.3 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.3 0.1 0.5 0.2 0.2 0.3 0.4 0.4 0.4 0.2 0.2 0.1 0.4 0.2 0.9 0.1 0.0 0.2 0.1 0.2 0.1 1.0 -0.1 -0.2 -0.2 0.1 -0.4 -0.3 -0.7 -0.6 GASOLINE 0.4 0.6 0.5 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.4 0.2 0.6 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 0.0 0.2 0.1 0.2 0.1 -0.4 0.0 0.2 0.5 0.4 0.7 0.7 0.7 0.6 GAS_US_mini 0.1 0.1 -0.5 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 -0.4 -0.6 -0.6 -0.6 -0.6 -0.1 -0.7 -0.3 GBP -0.4 -0.1 0.1 0.0 0.1 0.0 0.1 0.1 0.0 0.2 0.3 -0.1 0.3 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.2 -0.0 0.3 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.2 -0.2 0.2 0.3 -0.7 -0.3 -0.7 -0.0 GOLD_micro 0.6 0.6 0.5 0.1 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 0.5 0.2 -0.6 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 0.2 0.2 0.2 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.2 0.2 0.2 0.4 0.3 0.4 0.2 0.1 0.1 0.3 0.2 -2.7 0.1 -0.0 0.2 0.0 0.3 0.1 1.0 -0.1 -0.4 -0.2 0.1 0.6 0.2 0.5 0.1 JGB-SGX-mini -0.0 -0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -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 -0.1 0.1 -0.0 -1.2 -0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 -0.0 0.2 0.1 0.1 -0.4 -0.5 0.0 0.3 JPY -0.4 -0.2 -0.5 0.0 0.0 0.0 0.0 0.1 0.0 -0.1 -0.5 -0.2 -0.6 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 2.7 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 -1.1 -0.3 -0.6 -0.6 -0.6 -0.7 -0.4 -0.5 -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 -0.2 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 0.2 -0.0 0.2 1.9 0.1 0.1 0.2 0.1 0.1 0.1 -1.1 0.5 0.6 0.6 0.6 -0.3 -0.3 0.1 0.5 LIVECOW -0.6 -0.1 0.4 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.2 0.1 -0.1 0.1 0.4 0.1 0.4 0.2 -0.1 0.0 -0.2 0.1 -0.2 -0.7 0.0 -0.0 0.1 -0.1 0.1 -0.1 0.4 -0.1 -0.6 0.0 0.5 0.7 0.4 0.7 0.7 LUMBER-new -0.7 0.1 0.3 0.0 -0.0 0.1 -0.0 -0.1 0.0 -0.2 0.5 -0.2 -0.4 -0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.0 0.1 -0.2 0.1 -0.2 NaN -0.0 -0.2 0.1 -0.2 0.1 -0.1 -1.2 -0.6 -0.7 0.5 0.5 -0.5 -0.5 -0.3 -0.3 MILK -0.0 -0.2 0.5 0.0 -0.0 0.0 -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 1.7 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -1.1 0.2 -0.1 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.3 0.4 0.2 0.0 0.1 0.0 0.1 0.1 0.0 0.1 0.5 0.2 0.7 0.2 0.2 0.4 0.3 0.4 0.3 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 1.1 0.5 0.6 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro -0.2 -0.1 0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.4 -0.0 0.6 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.2 -0.0 0.5 0.0 -2.7 0.0 -0.0 0.2 -0.0 0.4 -0.0 -0.4 0.1 -0.3 -0.5 0.1 0.1 -0.1 0.3 -0.1 NIKKEI -0.2 -0.0 0.6 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.5 -0.0 0.7 0.1 0.2 0.1 0.2 0.1 0.2 0.2 0.2 -0.1 0.5 0.1 -2.1 0.1 -0.0 0.2 -0.0 0.3 0.0 1.1 0.0 -0.0 0.3 0.6 -0.6 -0.2 -0.3 -0.2 NZD -0.4 -0.3 -0.1 0.0 0.0 0.0 0.0 0.1 0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.0 0.0 -0.1 -0.1 0.0 -0.0 0.1 -0.0 0.0 -0.0 -0.0 0.2 0.1 -0.4 -0.3 -0.2 -0.4 -0.3 -0.1 0.2 OAT -0.1 -0.2 -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 -0.0 -0.0 -0.1 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.7 0.3 0.3 0.2 0.0 -0.6 -0.7 0.5 0.1 OATIES -0.5 -0.1 -0.4 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 -0.2 -0.2 -0.2 -0.4 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.5 -0.6 -0.6 -0.3 -0.5 -0.0 -0.1 0.5 OJ -0.1 0.0 -0.3 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 0.2 0.1 0.5 0.0 0.1 0.1 0.3 0.1 0.2 0.1 0.1 -0.0 0.5 0.0 -2.7 0.0 -0.0 0.2 -0.0 0.6 -0.0 1.0 -0.4 -0.1 0.0 -0.3 0.4 0.3 0.7 0.7 PALLAD 0.0 0.5 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.1 0.0 -0.3 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.3 0.0 1.5 0.0 0.1 -0.0 0.0 -0.1 0.0 0.4 -0.2 -0.2 -0.1 -0.0 -0.7 -0.4 -0.6 -0.3 PLAT 0.2 0.2 -0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.1 -0.1 0.1 -0.3 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.1 0.1 1.4 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 0.0 -0.0 -0.2 -0.1 -0.5 -0.2 0.7 0.3 REDWHEAT 0.3 0.4 -0.1 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.1 -0.5 0.1 -0.7 0.0 -0.1 0.1 0.0 0.1 0.1 -0.1 -0.2 0.0 -0.5 -0.0 -1.0 -0.0 0.0 -0.2 0.0 -0.3 0.0 0.1 0.2 0.2 -0.5 -0.6 -0.4 -0.7 -0.1 -0.7 RICE -0.6 -0.6 -0.1 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 -0.0 -0.2 0.4 -0.2 -0.2 -0.3 -0.1 -0.3 -0.2 -0.2 -0.1 -0.2 0.2 -0.2 -2.1 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.8 -0.5 -0.6 -0.6 -0.6 0.3 -0.1 0.7 0.3 ROBUSTA 0.6 0.3 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 0.0 0.3 0.1 1.1 0.5 0.6 0.6 0.6 -0.7 -0.6 -0.2 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 0.4 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 0.2 0.0 0.2 0.0 -0.1 0.5 -0.1 -0.3 -0.3 -0.4 -0.6 -0.4 -0.7 SHATZ 0.2 -0.5 -0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -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 -0.1 -0.0 -0.1 -0.0 -1.1 -0.0 0.0 -0.2 -0.3 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.5 0.6 0.2 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.2 0.2 0.1 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.1 0.2 0.5 0.1 0.1 0.1 0.1 0.0 0.1 -0.1 0.5 0.6 0.6 0.4 -0.5 -0.6 0.7 0.0 SMI -0.4 0.3 0.5 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.5 -0.1 0.5 0.1 0.2 -0.0 0.1 0.1 0.1 0.2 0.2 -0.1 0.3 0.1 2.1 0.1 -0.0 0.2 -0.0 0.2 0.0 1.0 0.5 0.0 0.1 -0.2 0.5 -0.1 0.7 -0.2 SOFR -0.3 -0.3 -0.1 -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 -0.0 -0.0 -0.0 0.1 -0.7 -0.7 0.1 -0.1 SOYBEAN 0.4 0.5 -0.5 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 0.1 -0.0 -0.1 -0.0 -0.4 0.0 -2.7 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.8 -0.1 0.5 0.2 -0.6 -0.3 -0.7 -0.3 -0.7 SOYMEAL 0.3 0.0 -0.6 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.0 -0.5 -0.1 -0.5 -0.1 -0.2 -0.1 0.1 -0.1 0.0 -0.2 -0.2 -0.0 -0.5 -0.1 -2.7 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.3 -0.1 0.1 -0.2 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.3 0.6 -0.0 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 -0.0 -0.3 0.1 -2.7 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.2 -0.2 0.5 0.4 -0.1 -0.6 -0.4 -0.3 0.2 SP400 -0.1 0.5 0.6 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.0 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 0.1 -1.7 0.1 0.0 0.2 0.0 0.2 0.0 0.1 0.5 0.3 0.2 0.0 -0.4 -0.3 -0.3 -0.7 SP500_micro -0.3 0.1 0.6 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.5 -0.0 0.7 0.1 0.2 -0.3 -0.2 -0.3 -0.3 0.2 0.2 -0.0 0.5 0.1 -2.7 0.1 -0.0 0.3 -0.0 0.3 0.0 -0.6 0.4 0.1 -0.0 0.5 -0.0 -0.1 0.3 -0.2 SUGAR11 0.2 -0.1 -0.2 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.2 -0.1 0.2 -0.0 -0.0 0.2 0.3 0.3 0.3 -0.1 -0.1 -0.1 -0.0 -0.0 -2.7 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 1.1 -0.4 0.1 -0.2 -0.5 0.7 0.2 0.7 0.7 US10 -0.2 -0.3 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 -0.2 -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 -0.5 -0.0 -0.0 -0.0 0.1 -0.7 -0.7 -0.5 0.2 US10U -0.2 -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 -0.1 -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 0.0 0.0 0.1 -0.7 -0.7 0.5 0.5 US2 -0.2 -0.5 -0.1 -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 1.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.1 -0.1 -0.1 -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 -0.1 -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 0.0 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 -0.1 -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 -0.2 -0.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.2 -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 -0.1 -0.0 -0.1 0.0 -0.7 -0.7 -0.7 -0.3 VIX 0.2 0.5 0.2 -0.1 0.0 -0.5 0.0 -0.9 -0.0 0.1 -0.9 0.1 -1.2 -0.1 -0.3 -0.6 -0.6 -0.6 -0.6 -0.2 -0.3 0.1 -0.9 -0.0 NaN -0.1 0.0 -0.6 0.0 -1.1 -0.0 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.6 0.2 -0.1 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.1 -0.4 0.2 -0.7 0.1 -0.1 -0.4 -0.2 -0.3 -0.3 -0.0 -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 -0.5 -0.6 -0.2 -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 0.4 0.4 -2.7 0.1 5.5 1.6 4.2 3.4 1.3 19.0 -3.7 10.2 -11.0 7.2 -11.5 -2.8 -2.9 -2.8 -2.8 -1.0 -2.4 11.6 -5.4 3.9 3.2 1.7 11.6 -0.2 10.6 -1.9 6.2 -1.1 16.8 7.8 6.0 -4.7 -20.0 -11.0 -15.5 -2.3 BITCOIN -19.4 1.3 7.6 4.3 10.4 1.6 8.8 0.2 6.7 2.7 16.7 -1.5 17.1 11.4 14.4 -8.6 -7.4 -8.9 -8.5 20.0 20.0 5.0 19.8 13.3 -20.0 6.4 1.1 6.9 1.7 5.6 3.9 -3.3 -20.0 -17.5 20.0 20.0 -7.8 0.1 17.9 3.6 BOBL 4.6 -10.2 -7.6 -1.7 -1.4 -0.8 -2.0 -1.3 -2.0 -4.2 -2.3 -2.8 -2.4 -4.9 -8.5 11.2 -11.5 -5.5 -11.6 -5.4 -3.7 -2.9 -3.9 -3.9 6.5 -1.0 0.1 -0.8 1.1 -1.0 0.6 -17.1 8.0 8.8 0.6 -4.8 -20.0 -20.0 7.9 -18.8 BTP -8.9 -2.0 6.9 -2.7 -2.2 -1.2 -3.1 -2.1 -3.2 -1.9 11.9 -6.5 11.1 0.8 1.2 4.9 6.2 4.9 5.2 5.1 10.9 -3.4 9.8 -1.2 -20.0 5.4 4.2 6.5 3.2 5.5 4.1 13.5 13.5 15.0 20.0 13.7 -6.5 -12.5 20.0 2.6 BUND 1.6 -7.2 -2.5 -1.9 -1.5 -0.9 -2.2 -1.5 -2.2 -4.2 0.3 -3.5 -0.8 -5.2 -8.8 -9.9 1.3 -5.0 -1.9 -3.3 -1.0 -2.5 -2.4 -3.1 3.7 0.8 2.1 0.6 3.4 -0.1 2.8 3.4 14.0 13.0 6.2 -1.6 -16.3 -20.0 16.4 -8.6 BUXL -0.9 -4.2 1.8 -2.4 -1.9 -1.1 -2.7 -1.8 -2.8 -3.9 2.2 -5.8 -3.5 -6.4 -10.2 -7.8 -1.6 -5.4 -3.3 -1.9 0.2 -1.9 -3.9 -2.7 -0.7 2.8 4.9 1.9 6.1 -0.1 5.2 0.0 20.0 18.7 13.7 1.6 -20.0 -20.0 -0.7 -0.7 CAC -13.2 16.1 18.7 7.4 -5.4 8.3 -3.1 6.2 2.6 -20.0 20.0 -11.8 20.0 17.9 20.0 20.0 0.5 12.2 4.3 20.0 20.0 -12.3 20.0 11.8 -11.9 9.2 -4.7 9.0 -0.6 6.9 5.1 13.0 20.0 12.5 14.4 -0.3 -8.2 11.2 -5.1 16.4 CAD -3.2 -5.4 -1.2 0.1 6.4 1.8 4.8 3.9 1.5 -16.7 -3.7 -13.4 -5.7 -14.1 -19.3 -2.5 -2.2 -2.3 -2.2 -6.8 -4.4 -5.6 -5.2 -7.0 -0.4 -2.6 -2.3 -2.1 -0.3 -2.7 -1.3 0.0 -6.1 -2.1 -9.2 -2.7 -20.0 -16.4 -5.0 -13.4 CANOLA 20.0 20.0 -8.2 1.2 -1.7 0.9 -0.9 -1.3 0.0 5.1 -9.0 4.7 -9.8 8.7 0.1 -14.2 -6.2 -13.9 -11.7 2.4 -10.3 6.1 -17.3 8.6 -20.0 0.9 1.2 -3.1 2.0 -5.4 2.8 -17.7 -2.2 20.0 13.6 -17.6 -20.0 -19.0 -15.8 -5.4 CHF -17.7 -20.0 -19.2 0.1 5.2 1.4 3.9 3.2 1.2 1.5 -12.6 -16.0 -5.3 -17.9 -19.7 -16.1 -15.7 -16.0 -15.9 -20.0 -17.9 -16.8 -5.9 -20.0 -2.1 -6.4 -0.8 -3.4 -3.6 -0.7 -6.6 -20.0 -12.3 -20.0 -20.0 -19.2 -8.6 -16.6 0.1 -15.9 COCOA 20.0 20.0 7.8 0.9 -1.3 0.7 -0.7 -1.0 0.0 5.2 10.0 8.5 10.0 9.2 9.7 20.0 14.5 20.0 20.0 20.0 20.0 20.0 19.2 20.0 -16.5 3.5 0.8 3.3 1.7 2.8 2.9 20.0 11.9 20.0 20.0 20.0 1.8 0.1 7.5 11.1 COFFEE 20.0 6.2 9.8 2.2 -3.3 1.7 -1.6 -2.4 0.0 20.0 16.6 20.0 12.4 20.0 13.7 6.3 7.7 10.2 9.7 20.0 18.4 20.0 11.8 20.0 -20.0 6.5 13.6 4.5 15.1 3.4 11.1 12.7 20.0 20.0 20.0 10.2 -5.4 -20.0 3.5 -11.4 COPPER 13.7 18.1 10.7 4.5 10.6 1.6 8.7 0.1 6.7 18.7 12.7 19.2 -0.6 18.8 16.9 -5.4 -5.0 -5.5 -5.5 20.0 14.3 20.0 5.1 20.0 -14.8 6.4 8.9 3.6 9.4 1.3 8.6 1.2 13.7 20.0 15.4 13.9 -20.0 -2.3 11.6 5.7 CORN 10.1 19.9 2.4 1.8 -2.7 1.4 -1.3 -2.0 0.0 -0.5 -12.0 2.8 -18.1 10.4 -6.9 -19.7 -8.9 -18.1 -14.7 -4.4 -13.6 -0.8 -20.0 0.8 -15.6 -2.9 -1.4 -7.2 1.3 -8.6 1.2 -20.0 7.5 7.8 -4.6 -20.0 -10.1 -20.0 -8.8 0.1 COTTON2 -20.0 -4.8 20.0 1.2 -1.8 0.9 -0.9 -1.3 0.0 -10.7 3.4 -12.0 3.1 -9.6 1.4 19.4 2.4 9.7 4.1 0.4 5.4 -13.7 3.5 -9.1 -20.0 1.9 -2.6 3.5 -3.5 2.7 -1.8 2.3 -20.0 -20.0 16.4 20.0 -10.4 -13.4 -0.8 1.5 CRUDE_W 17.5 17.0 8.2 7.6 1.3 5.3 6.2 3.8 8.1 15.7 7.9 20.0 13.0 20.0 20.0 17.9 11.1 14.1 12.1 20.0 20.0 20.0 17.0 20.0 -5.3 9.0 2.6 6.1 8.5 5.2 10.8 -1.1 12.6 14.6 19.6 -1.0 20.0 20.0 20.0 20.0 DAX -5.1 15.2 16.7 7.1 -5.1 7.9 -3.0 5.9 2.4 -17.5 20.0 -0.2 20.0 18.8 20.0 -12.7 -11.8 -13.8 -13.3 20.0 20.0 -0.2 20.0 20.0 17.2 9.4 -3.0 8.0 2.8 5.7 7.8 -11.5 20.0 20.0 20.0 8.9 -4.4 10.0 4.1 20.0 DOW -11.9 -10.3 8.2 5.0 -3.7 5.6 -2.1 4.2 1.7 -12.1 17.0 -10.9 16.9 -3.8 9.6 -11.9 -11.1 -12.6 -12.2 9.3 19.0 -12.5 20.0 -3.0 -13.1 5.7 -4.5 9.1 -2.4 9.3 1.4 -10.0 11.9 1.6 -18.7 -2.5 -5.4 -7.0 3.1 -15.6 DX 13.0 3.7 5.6 0.1 6.3 1.8 4.8 3.9 1.4 -14.0 5.9 14.1 4.8 14.5 18.0 7.6 6.5 7.1 6.8 11.5 7.5 6.1 6.4 12.5 -20.0 5.3 -2.0 2.9 3.1 2.8 6.3 15.2 -12.8 20.0 6.3 9.7 20.0 4.0 20.0 10.2 EUR -6.8 1.2 -3.2 0.1 6.0 1.7 4.6 3.7 1.4 18.9 -1.7 -2.8 -2.7 -3.1 -12.1 -6.9 -6.8 -6.8 -6.6 -4.2 -3.0 1.3 -2.8 -3.9 20.0 0.8 5.7 0.8 4.6 0.2 1.8 -7.5 1.6 -4.5 5.8 -0.1 -20.0 -15.1 -20.0 -12.0 EURIBOR-ICE -2.3 -12.9 -1.9 -1.4 -1.2 -0.6 -1.6 -1.1 -1.7 -4.4 2.8 -4.8 2.9 -5.3 -5.9 -5.4 -4.1 -3.2 -2.9 -2.3 2.3 -4.1 3.1 -3.6 13.7 -0.3 -1.4 1.7 -0.8 2.0 -0.6 -2.3 2.8 2.6 1.3 0.5 -20.0 -20.0 12.3 20.0 EUROSTX -8.9 13.6 20.0 7.1 -5.2 7.9 -3.0 5.9 2.4 -17.2 20.0 -3.0 20.0 20.0 20.0 -6.2 1.0 0.2 1.4 20.0 20.0 -2.0 20.0 20.0 -0.1 9.4 -3.0 9.3 1.4 7.1 6.3 12.2 20.0 20.0 20.0 12.5 -15.0 11.5 -12.9 18.4 FEEDCOW -20.0 -12.1 12.5 1.9 -2.8 1.4 -1.4 -2.1 0.0 -14.4 -1.3 -18.1 -0.0 -16.1 2.1 -20.0 -20.0 -20.0 -20.0 -13.3 -1.5 -20.0 2.4 -20.0 -6.8 -3.2 -5.1 -0.1 -7.8 2.3 -7.4 -20.0 -10.6 -20.0 -20.0 11.3 20.0 20.0 20.0 20.0 GASOIL 5.4 5.3 8.3 6.4 1.1 4.4 5.2 3.2 6.8 7.8 11.0 13.7 14.3 15.0 18.9 15.6 20.0 20.0 20.0 16.8 15.5 13.7 16.4 16.6 7.0 7.0 1.3 6.5 6.0 6.7 7.1 18.5 -4.6 -5.5 -7.4 3.3 -12.4 -9.2 -20.0 -16.9 GASOLINE 11.7 17.7 14.9 7.3 1.3 5.1 6.0 3.7 7.8 9.8 16.3 18.9 16.2 20.0 20.0 20.0 10.5 9.4 5.3 20.0 20.0 20.0 19.2 20.0 -20.0 9.0 1.0 6.9 5.5 6.0 8.7 -6.6 0.1 5.8 16.8 11.1 20.0 20.0 20.0 18.3 GAS_US_mini 3.9 2.0 -15.0 4.0 0.7 2.8 3.2 2.0 4.2 6.0 -14.0 1.1 -14.7 -8.3 -12.9 -20.0 -20.0 -20.0 -20.0 -12.6 -20.0 -0.6 -20.0 -5.1 20.0 -5.3 0.3 -6.6 -1.7 -6.4 -3.5 -20.0 -17.2 -20.0 -20.0 -20.0 -19.3 -2.8 -20.0 -7.6 GBP -11.0 -2.3 1.7 0.1 6.4 1.8 4.8 3.9 1.5 20.0 11.1 -5.7 8.6 -9.2 -5.3 -1.0 -0.7 -0.8 -0.6 -1.1 4.2 -0.3 6.0 -4.6 2.1 3.1 6.4 4.9 4.8 4.2 2.4 2.8 7.7 -6.9 5.1 9.2 -20.0 -8.0 -20.0 -1.2 GOLD_micro 20.0 20.0 14.5 4.7 11.3 1.8 9.6 0.2 7.3 18.8 18.9 20.0 14.1 20.0 20.0 -14.4 -14.7 -15.1 -15.0 20.0 20.0 20.0 16.8 20.0 -4.3 7.1 6.5 4.6 8.7 2.7 9.0 -15.2 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -12.7 HEATOIL 5.8 5.8 5.3 6.7 1.2 4.7 5.5 3.4 7.2 5.9 3.1 13.2 9.9 15.8 18.3 7.9 20.0 17.4 20.0 14.3 11.0 12.5 11.8 16.3 -20.0 7.6 -2.9 7.1 4.0 8.0 7.0 18.5 -5.0 -11.7 -7.5 1.7 18.4 5.3 15.5 2.2 JGB-SGX-mini -0.4 -5.7 3.2 -2.0 -1.6 -0.9 -2.3 -1.5 -2.3 -9.4 5.3 -2.0 7.7 -2.4 -3.6 8.4 15.7 10.6 12.0 -1.4 2.5 -5.7 4.7 -3.7 -8.7 -1.2 -4.1 0.2 -3.7 0.3 -2.4 20.0 -1.8 6.8 2.8 3.6 -11.2 -15.5 0.3 9.8 JPY -12.7 -5.8 -15.4 0.1 4.5 1.3 3.4 2.8 1.0 -15.2 -17.4 -17.5 -17.7 -17.6 -17.9 -17.0 -16.5 -16.8 -16.6 -18.1 -20.0 -10.6 -20.0 -15.6 20.0 -5.6 -2.0 -5.7 -3.6 -7.3 -5.3 -20.0 -13.3 -20.0 -17.1 -18.8 -20.0 -11.3 -16.4 -11.7 LEANHOG 2.9 18.5 20.0 2.5 -3.7 1.9 -1.9 -2.8 0.1 20.0 19.4 20.0 -6.8 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 20.0 20.0 -0.0 20.0 14.3 9.5 12.0 7.9 11.6 1.9 9.7 -20.0 20.0 20.0 20.0 20.0 -8.0 -8.8 1.9 13.8 LIVECOW -20.0 -3.2 11.9 1.9 -2.9 1.5 -1.4 -2.1 0.0 -8.8 1.7 -16.2 1.9 -13.9 4.9 20.0 3.0 20.0 9.8 -6.6 1.5 -20.0 3.1 -20.0 -5.5 0.1 -2.9 2.2 -6.4 3.6 -4.8 7.5 -3.9 -20.0 0.4 14.9 20.0 11.7 20.0 20.0 LUMBER-new -18.4 3.3 9.1 2.5 -3.8 2.0 -1.9 -1.8 0.1 -20.0 15.1 -20.0 -9.4 -8.4 6.0 -17.7 -15.7 -16.9 -16.1 2.2 9.5 -20.0 3.8 -16.5 NaN -0.0 -17.0 3.9 -15.6 2.9 -8.8 -20.0 -20.0 -20.0 12.9 12.5 -12.1 -13.9 -6.9 -8.3 MILK -1.5 -6.8 14.5 1.4 -2.0 1.0 -1.0 -1.5 0.0 9.8 -13.5 1.5 -14.2 -9.5 -11.4 -20.0 -20.0 -20.0 -20.0 -13.6 -16.3 4.1 -20.0 -8.2 13.0 -4.1 5.3 -4.8 1.5 -6.3 -2.4 -20.0 8.2 -2.2 -20.0 -19.8 -20.0 -20.0 -20.0 -20.0 MXP 8.6 11.1 7.1 0.1 6.5 1.8 4.9 4.0 1.5 15.7 20.0 20.0 20.0 20.0 20.0 18.6 17.3 18.0 17.1 20.0 20.0 20.0 20.0 20.0 -20.0 9.5 7.1 7.8 9.7 8.0 10.7 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -7.7 -4.2 9.7 4.3 -3.2 4.8 -1.8 3.6 1.5 -2.9 15.3 -2.7 15.6 5.3 13.1 -11.3 -10.3 -11.4 -11.1 11.5 20.0 -5.0 20.0 1.1 -20.0 4.5 -2.3 8.5 -2.5 10.2 -0.1 -8.3 4.2 -10.6 -16.1 3.9 3.9 -1.8 9.5 -3.1 NIKKEI -5.3 -0.9 20.0 5.2 -3.8 5.8 -2.2 4.4 1.8 -6.9 17.4 -0.9 18.3 7.5 15.6 2.5 10.7 6.9 9.3 20.0 20.0 -6.9 20.0 7.6 -16.1 6.0 -2.1 8.2 -1.7 7.9 1.6 20.0 1.9 -0.4 8.2 20.0 -19.5 -7.1 -9.5 -7.3 NZD -11.9 -10.0 -3.7 0.1 4.8 1.3 3.6 2.9 1.1 15.8 -0.6 -5.0 -2.9 -9.7 -12.8 0.2 0.3 0.3 0.3 -8.9 -3.7 0.7 -2.3 -8.6 0.4 -3.7 5.9 -1.3 2.0 -0.3 -2.8 4.3 5.0 -13.1 -9.4 -7.5 -10.6 -7.5 -3.0 5.0 OAT -4.6 -7.4 -0.3 -2.1 -1.7 -0.9 -2.4 -1.6 -2.4 -4.1 2.3 -7.3 1.0 -8.8 -9.3 5.2 6.1 4.9 5.1 -3.1 1.0 -4.2 -0.1 -5.1 4.3 1.1 3.5 1.9 3.2 1.1 2.3 13.3 14.0 10.2 7.3 0.2 -16.6 -20.0 15.0 2.0 OATIES -16.8 -4.1 -11.2 1.8 -2.6 1.3 -1.3 -1.9 0.0 -16.7 -17.6 -18.2 -14.6 -17.1 -12.7 8.6 -0.5 7.3 2.9 -16.7 -16.8 -20.0 -15.8 -20.0 -20.0 -5.5 -10.8 -4.2 -11.7 -3.6 -9.2 -1.4 -20.0 -20.0 -18.9 -10.2 -14.6 -0.4 -4.3 14.8 OJ -1.7 1.5 -9.7 1.7 -2.6 1.3 -1.3 -1.9 0.0 -1.1 8.0 7.2 13.6 4.6 11.1 6.0 14.0 7.1 10.0 7.7 13.8 -0.9 20.0 3.4 -20.0 1.0 -1.6 6.4 -3.5 15.7 -2.0 19.2 -17.4 -2.0 1.4 -10.3 11.3 9.3 20.0 20.0 PALLAD 0.7 15.0 3.9 2.0 4.9 0.8 4.2 0.1 3.2 7.5 -3.7 2.3 -7.8 5.2 -1.6 -1.9 -2.1 -1.9 -1.9 1.3 -3.3 5.7 -9.4 3.5 11.2 1.3 6.0 -1.1 3.8 -3.8 2.6 6.9 -6.5 -5.1 -4.3 -0.2 -20.0 -12.4 -19.2 -7.7 PLAT 5.7 7.2 -1.5 3.0 7.2 1.1 6.1 0.1 4.6 11.3 -3.4 9.9 -8.2 8.3 -3.9 -4.3 -3.5 -4.2 -3.9 3.0 -1.0 14.2 -3.2 8.3 10.6 2.7 10.2 0.6 8.4 -0.3 5.7 4.0 1.3 -0.8 -7.6 -2.0 -14.7 -4.7 20.0 7.5 REDWHEAT 8.3 11.3 -3.2 1.8 -2.6 1.3 -1.3 -2.0 0.0 7.9 -16.7 5.9 -18.3 3.2 -10.0 6.0 1.6 5.4 3.0 -8.0 -18.4 2.7 -20.0 -0.7 -7.6 -4.0 2.2 -8.2 3.1 -9.6 0.7 1.4 9.3 7.0 -14.6 -20.0 -11.8 -20.0 -3.3 -20.0 RICE -20.0 -20.0 -3.2 1.9 -2.8 1.5 -1.4 -2.1 0.0 -5.1 -1.3 -17.7 9.8 -19.5 -14.5 -13.3 -5.2 -12.9 -10.9 -20.0 -5.1 -20.0 7.3 -20.0 -16.0 -5.7 -1.0 -1.7 -6.8 0.4 -8.6 -15.5 -20.0 -20.0 -20.0 -20.0 9.2 -3.5 20.0 8.1 ROBUSTA 20.0 8.6 20.0 1.6 -2.4 1.2 -1.2 -1.8 0.0 11.1 17.6 14.9 17.6 16.3 17.4 17.9 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.0 1.2 7.4 4.5 7.2 6.5 20.0 20.0 20.0 20.0 20.0 -20.0 -19.4 -6.2 2.7 RUSSELL -2.8 6.3 12.0 4.2 -3.0 4.6 -1.8 3.5 1.4 -8.7 12.7 -2.4 10.0 5.3 10.0 -6.7 -6.4 -6.6 -6.5 8.4 11.0 -2.3 8.0 2.7 -1.9 4.9 -0.1 5.8 0.8 4.5 2.7 -1.0 20.0 -1.8 -9.4 -9.8 -13.0 -18.8 -13.2 -20.0 SHATZ 5.0 -16.7 -15.6 -1.5 -1.2 -0.6 -1.7 -1.1 -1.7 -4.7 -7.4 -5.0 -7.5 -7.0 -8.4 -20.0 -20.0 -20.0 -20.0 -9.7 -8.9 -4.3 -9.2 -6.4 8.2 -2.5 -1.3 -2.0 -1.4 -1.9 -1.9 -20.0 -0.9 1.3 -7.6 -9.2 -20.0 -20.0 -9.4 -20.0 SILVER-mini 15.7 20.0 5.4 3.7 9.0 1.4 7.6 0.2 5.8 14.8 7.7 15.6 1.5 15.2 11.3 -6.4 -6.7 -6.7 -6.8 20.0 9.3 20.0 2.9 20.0 4.1 5.3 6.3 2.8 7.6 1.2 7.3 -1.2 20.0 20.0 20.0 13.7 -15.4 -17.0 19.7 1.0 SMI -11.9 10.0 15.9 6.3 -4.6 7.0 -2.6 5.2 2.2 -16.3 19.8 -11.9 14.0 13.0 17.0 -1.9 4.7 3.1 4.8 17.3 18.2 -9.3 11.4 5.1 15.7 7.5 -4.0 7.1 -0.2 4.3 4.6 18.4 20.0 0.0 3.9 -5.9 14.4 -2.6 20.0 -5.0 SOFR -7.8 -8.4 -3.0 -2.3 -1.8 -1.0 -2.6 -1.8 -2.7 -9.2 2.6 -11.7 -0.9 -12.2 -11.3 -1.7 -0.1 -0.5 -0.0 -7.9 -3.6 -12.5 -3.5 -11.0 -3.2 -1.4 -3.0 0.2 -2.8 -0.0 -2.3 3.8 -2.0 -0.7 -0.8 2.4 -19.6 -20.0 2.5 -2.6 SOYBEAN 11.3 14.0 -15.8 2.0 -3.0 1.5 -1.5 -2.2 0.0 -9.9 -13.2 -9.4 -6.1 10.0 -7.6 -0.3 11.9 4.0 7.4 -3.2 -13.7 -1.0 -14.5 3.5 -20.0 -0.1 -1.9 -3.7 0.5 -3.5 2.5 14.6 -6.2 14.4 5.8 -20.0 -9.9 -20.0 -8.8 -20.0 SOYMEAL 10.3 0.8 -20.0 1.8 -2.7 1.4 -1.4 -2.0 0.0 1.5 -17.8 -6.7 -14.3 -5.4 -16.2 -7.2 7.3 -4.5 0.8 -16.4 -20.0 -3.2 -18.7 -6.8 -20.0 -4.8 1.8 -7.5 0.6 -4.7 -0.8 5.6 -2.9 3.7 -7.6 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 8.2 19.7 -1.4 1.5 -2.2 1.1 -1.1 -1.6 0.0 -10.6 -11.7 -4.7 -10.8 7.9 1.3 -7.8 1.3 -6.7 -3.5 2.3 -6.9 -1.1 -11.9 4.8 -20.0 2.6 -4.0 0.0 -0.9 -1.9 2.4 -3.7 -9.7 14.3 11.8 -3.4 -19.0 -10.6 -10.5 5.1 SP400 -3.0 15.3 20.0 5.0 -3.6 5.6 -2.1 4.2 1.7 -5.5 17.2 1.8 14.9 11.9 15.2 -4.5 -5.3 -5.1 -5.3 20.0 20.0 2.3 17.6 12.9 -12.9 6.5 0.4 6.5 1.9 4.8 4.5 1.0 20.0 9.6 7.2 0.7 -11.4 -9.3 -8.8 -20.0 SP500_micro -9.2 4.5 19.8 5.8 -4.2 6.4 -2.4 4.8 2.0 -6.2 20.0 -0.6 20.0 13.2 19.0 -13.2 -11.7 -13.2 -12.7 20.0 20.0 -3.4 20.0 9.9 -20.0 7.3 -2.2 9.7 -0.7 9.1 2.9 -10.8 15.3 2.4 -1.0 15.5 -1.4 -3.7 8.8 -5.3 SUGAR11 4.8 -1.6 -7.2 1.8 -2.6 1.3 -1.3 -1.9 0.0 -16.1 -7.8 -8.7 4.8 -0.6 -0.6 11.3 17.2 13.3 15.6 -5.0 -7.8 -11.4 -0.4 -3.9 -20.0 -3.1 -13.6 -4.9 -7.1 -0.3 -2.4 20.0 -17.5 3.0 -7.3 -15.8 20.0 5.8 20.0 20.0 US10 -7.3 -7.7 0.2 -1.9 -1.5 -0.8 -2.1 -1.4 -2.2 -7.1 1.1 -9.1 -3.8 -9.8 -9.0 -6.9 -7.9 -7.9 -8.1 -6.4 -4.1 -9.4 -6.8 -8.8 2.7 -1.2 -1.8 -0.2 -2.2 -1.2 -2.0 -10.1 -1.6 -0.6 -0.8 2.3 -20.0 -20.0 -13.8 5.6 US10U -7.2 -6.9 0.0 -2.6 -2.1 -1.2 -3.0 -2.0 -3.0 -9.6 1.2 -12.6 -5.1 -13.8 -12.9 -4.5 -0.8 -2.8 -1.5 -8.6 -5.8 -12.3 -9.9 -11.6 -0.4 -1.4 -1.8 -0.2 -2.6 -1.8 -2.5 2.0 -0.4 0.3 0.4 3.7 -20.0 -20.0 15.2 15.9 US2 -5.0 -15.1 -4.4 -1.5 -1.2 -0.7 -1.8 -1.2 -1.8 -6.3 -5.3 -7.7 -7.4 -8.5 -8.6 -20.0 -20.0 -20.0 -20.0 -9.4 -7.4 -9.3 -9.5 -9.9 11.7 -2.4 -2.5 -1.3 -2.5 -1.8 -2.7 -20.0 -4.8 -2.2 -7.6 -2.2 -20.0 -20.0 -20.0 -20.0 US20 -8.4 -4.5 2.7 -1.9 -1.5 -0.8 -2.1 -1.4 -2.2 -6.5 2.8 -8.7 -2.0 -8.8 -7.9 -0.3 -0.8 -0.2 -0.4 -4.2 -2.0 -8.1 -5.6 -7.2 -1.3 0.1 -0.3 0.9 -1.3 -0.8 -1.0 2.8 1.6 0.9 3.8 6.0 -20.0 -18.2 20.0 20.0 US30 -8.2 -3.1 1.9 -2.2 -1.7 -1.0 -2.5 -1.7 -2.5 -7.3 2.1 -10.0 -3.8 -10.2 -9.7 -5.8 -6.0 -7.0 -6.8 -4.7 -3.0 -8.4 -7.5 -7.7 -0.6 0.1 -0.1 0.9 -1.5 -1.5 -1.3 -7.2 3.4 1.7 5.7 5.1 -16.3 -14.8 20.0 20.0 US5 -6.3 -10.7 -2.4 -1.9 -1.5 -0.8 -2.1 -1.4 -2.2 -7.3 -0.9 -9.2 -5.2 -10.0 -9.5 -11.3 -10.3 -10.4 -10.3 -8.2 -5.6 -10.3 -7.4 -10.0 5.8 -1.9 -2.4 -0.7 -2.6 -1.2 -2.5 -14.1 -3.5 -1.3 -3.8 0.4 -20.0 -20.0 -20.0 -7.6 VIX 2.9 9.0 3.0 -6.7 3.3 -11.0 2.1 -15.9 -2.2 9.2 -20.0 3.5 -20.0 -7.6 -20.0 -20.0 -20.0 -20.0 -20.0 -10.0 -20.0 3.9 -20.0 -1.3 NaN -7.3 1.6 -12.9 1.0 -19.6 -2.5 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 19.4 6.5 -3.7 2.0 -3.0 1.5 -1.5 -2.2 0.0 6.8 -15.0 17.4 -20.0 11.3 -7.8 -18.3 -12.4 -15.5 -13.8 -4.2 -16.6 11.9 -20.0 8.4 1.6 -2.3 1.8 -6.1 5.4 -7.3 3.4 -20.0 19.1 20.0 -14.4 -20.0 -7.1 -20.0 -2.6 -20.0 End of report for caleb_strategy_v3