******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240517_204005 produced at 2024-05-17 21:37:41.672858 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 JGB-SGX-mini False True 0.03 -0.08 -0.55 0.0 0.00 -0.08 -0.08 -0.08 -20.66 16.0 -3 -3 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.34 0.0 0.00 0.00 0.00 0.00 -10.19 24.0 0 0 caleb_strategy_v3 SOFR False True 0.07 0.00 -0.29 0.0 0.00 0.00 0.00 0.00 -4.19 11.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.26 -0.28 0.0 999.00 -999.00 -0.26 -0.26 -63.87 999999999.0 -60 -60 caleb_strategy_v3 US2 False True 0.06 0.00 -0.24 0.0 0.00 0.00 0.00 0.00 -4.01 13.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.23 -0.24 0.0 0.76 -0.76 -0.23 -0.23 -3.14 10.0 -3 -3 caleb_strategy_v3 CHF False False 0.04 -0.16 -0.17 0.0 0.52 -0.52 -0.16 -0.16 -4.15 13.0 -4 -4 caleb_strategy_v3 CAD False False 0.02 -0.04 -0.06 0.0 0.61 -0.61 -0.04 -0.04 -2.88 29.0 -2 -2 caleb_strategy_v3 LEANHOG False False 0.01 -0.06 -0.06 0.0 0.15 -0.15 -0.06 -0.06 -5.47 13.0 -5 -5 caleb_strategy_v3 JPY False False 0.02 -0.07 -0.06 0.0 0.40 -0.40 -0.07 -0.07 -2.37 17.0 -3 -3 caleb_strategy_v3 US5 False False 0.03 -0.24 -0.05 0.0 0.76 -0.76 -0.24 -0.21 -1.76 25.0 -8 -7 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.05 0.0 0.09 -0.09 -0.06 -0.06 -1.51 3.0 -2 -2 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.05 0.0 0.01 -0.01 0.00 0.00 -12.27 3.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.15 -0.04 0.0 0.69 -0.69 -0.15 -0.11 -1.08 19.0 -4 -3 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.04 0.0 0.08 -0.08 -0.01 -0.01 -6.43 12.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.03 0.0 0.15 -0.15 -0.02 -0.02 -11.74 51.0 -6 -6 caleb_strategy_v3 NIKKEI False False 0.01 -0.03 -0.03 0.0 0.26 -0.26 -0.03 -0.03 -4.87 36.0 -4 -4 caleb_strategy_v3 US10 False True 0.03 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.69 17.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.02 0.0 0.09 -0.09 -0.02 -0.02 -1.04 4.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.02 0.0 0.30 -0.30 0.00 0.00 -0.46 8.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.05 -0.02 0.0 0.25 -0.25 -0.05 -0.04 -1.46 23.0 -5 -4 caleb_strategy_v3 SUGAR11 False False 0.01 -0.02 -0.02 0.0 0.11 -0.11 -0.02 -0.02 -3.89 18.0 -3 -3 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.02 0.0 0.12 -0.12 -0.03 -0.03 -2.24 11.0 -3 -3 caleb_strategy_v3 BUND False False 0.04 0.00 -0.02 0.0 0.41 -0.41 0.00 0.00 -0.48 10.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -10.95 59.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.08 -0.08 -0.03 -0.03 -1.74 10.0 -4 -4 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.12 -0.12 -0.02 -0.02 -0.72 7.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -0.67 9.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.13 -0.01 0.0 0.21 -0.21 -0.13 -0.13 -2.16 68.0 -44 -44 caleb_strategy_v3 BUXL False False 0.04 -0.08 -0.01 0.0 0.16 -0.16 -0.08 -0.08 -0.27 4.0 -2 -2 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.41 2.0 0 0 caleb_strategy_v3 US10U False True 0.03 -0.16 -0.01 0.0 0.00 -0.16 -0.16 -0.16 -0.20 13.0 -5 -5 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 0.00 0.0 0.08 -0.08 0.00 0.00 0.14 8.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.17 0.00 0.0 0.17 -0.17 0.17 0.17 0.01 2.0 2 2 caleb_strategy_v3 OAT False False 0.04 0.04 -0.00 0.0 0.39 -0.39 0.04 0.04 -0.00 10.0 1 1 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.00 0.0 0.37 -0.37 0.00 0.00 0.27 48.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 -0.01 -0.00 0.0 0.23 -0.23 -0.01 -0.01 -0.06 23.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 0.00 0.00 0.0 0.09 -0.09 0.00 0.00 0.22 9.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.01 0.00 0.0 0.38 -0.38 0.01 0.01 0.81 66.0 2 2 caleb_strategy_v3 US30 False True 0.04 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.00 6.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.04 6.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.52 -0.52 0.00 0.00 0.02 26.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.00 0.00 0.0 0.37 -0.37 0.00 0.00 0.07 10.0 0 0 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.03 -0.00 0.0 0.00 -0.03 -0.03 -0.02 -2.33 26.0 -16 -11 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.01 0.0 0.39 -0.39 0.00 0.01 0.85 56.0 0 2 caleb_strategy_v3 OATIES False True 0.01 0.00 0.01 0.0 0.00 0.00 0.00 0.00 1.08 2.0 0 0 caleb_strategy_v3 US20 False True 0.03 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.15 9.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.06 -0.06 0.00 0.00 1.12 5.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.00 0.02 0.0 0.50 -0.50 0.00 0.00 0.96 22.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.09 0.02 0.0 999.00 -999.00 0.09 0.09 0.62 999999999.0 3 3 caleb_strategy_v3 EUR False False 0.04 0.00 0.02 0.0 0.55 -0.55 0.00 0.00 0.56 14.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 0.03 0.0 0.37 -0.37 0.00 0.00 1.63 19.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.03 0.0 999.00 -999.00 0.00 0.00 1.40 999999999.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 0.03 0.0 0.37 -0.37 0.00 0.00 1.82 21.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.04 0.0 0.04 -0.04 0.00 0.00 4.02 4.0 0 0 caleb_strategy_v3 DX False False 0.03 0.00 0.04 0.0 999.00 -999.00 0.00 0.00 1.47 999999999.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.05 0.05 0.0 0.16 -0.16 0.05 0.05 2.89 10.0 3 3 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.06 -0.06 0.00 0.00 2.52 3.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.04 0.08 0.0 0.35 -0.35 0.04 0.06 3.85 17.0 2 3 caleb_strategy_v3 EUROSTX False False 0.02 0.17 0.09 0.0 0.32 -0.32 0.17 0.17 5.64 20.0 11 11 caleb_strategy_v3 DAX False False 0.01 0.09 0.12 0.0 0.34 -0.34 0.09 0.09 19.98 58.0 15 15 caleb_strategy_v3 CAC True False 0.03 0.00 0.12 0.0 0.00 0.00 0.00 0.00 4.61 12.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.13 0.0 0.11 -0.11 0.02 0.02 5.92 5.0 1 1 caleb_strategy_v3 COPPER False False 0.04 0.22 0.16 0.0 999.00 -999.00 0.22 0.22 4.38 999999999.0 6 6 caleb_strategy_v3 SMI False True 0.04 0.27 0.16 0.0 0.27 0.00 0.27 0.27 4.18 9.0 7 7 caleb_strategy_v3 MXP False False 0.01 0.45 0.67 0.0 0.52 -0.52 0.45 0.48 76.95 60.0 52 55 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 19.7 Shocked risk 57.3 Sum abs risk 51.7 Leverage 4.73 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3467152.17, 'annual_cash_vol_target': 866788.0425, 'daily_cash_vol_target': 54174.25265625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6702 0.6149 9.8391 BITCOIN 1838.6621 67600.0000 2.7199 43.5186 BOBL 0.2838 116.6300 0.2433 3.8931 BTP 0.6329 117.8500 0.5370 8.5927 BUND 0.5664 130.7000 0.4333 6.9336 BUXL 1.3247 129.6000 1.0222 16.3547 CAC 49.6991 8127.5000 0.6115 9.7839 CAD 0.0027 0.7350 0.3719 5.9499 CANOLA 7.8039 681.9000 1.1444 18.3111 CHF 0.0046 1.1046 0.4206 6.7299 COCOA 427.7561 6890.0000 6.2084 99.3338 COFFEE 4.2062 204.5000 2.0568 32.9089 COPPER 0.0618 5.0655 1.2191 19.5064 CORN 5.2124 477.2500 1.0922 17.4748 COTTON2 1.3825 75.9200 1.8209 29.1351 CRUDE_W 0.8463 76.9100 1.1004 17.6070 DAX 131.3702 18802.0000 0.6987 11.1792 DOW 232.1305 40077.0000 0.5792 9.2674 DX 0.3548 103.9450 0.3413 5.4614 EUR 0.0042 1.0888 0.3872 6.1945 EURIBOR-ICE 0.0546 97.3700 0.0560 0.8966 EUROSTX 36.0825 5066.0000 0.7122 11.3960 FEEDCOW 2.0583 260.5250 0.7901 12.6408 GASOIL 10.1200 768.0000 1.3177 21.0834 GASOLINE 0.0357 2.5257 1.4136 22.6170 GAS_US_mini 0.0822 2.7950 2.9427 47.0836 GBP 0.0057 1.2706 0.4516 7.2250 GOLD_micro 20.3469 2442.2000 0.8331 13.3302 HEATOIL 0.0316 2.5148 1.2557 20.0916 JGB-SGX-mini 0.2181 143.8700 0.1516 2.4252 JPY 0.0000 0.0065 0.7237 11.5790 LEANHOG 1.1592 99.5500 1.1645 18.6316 LIVECOW 1.3797 178.8500 0.7714 12.3426 LUMBER-new 6.8749 540.0000 1.2731 20.3701 MILK 0.2550 20.6100 1.2371 19.7938 MXP 0.0004 0.0599 0.5938 9.5007 NASDAQ_micro 152.8037 18621.2500 0.8206 13.1294 NIKKEI 364.3310 38735.0000 0.9406 15.0492 NZD 0.0039 0.6138 0.6287 10.0586 OAT 0.5660 126.0400 0.4491 7.1856 OATIES 7.7444 364.2500 2.1261 34.0180 OJ 5.8086 447.9500 1.2967 20.7472 PALLAD 22.8253 1018.5000 2.2411 35.8571 PLAT 15.9344 1097.8000 1.4515 23.2237 REDWHEAT 12.3276 674.7500 1.8270 29.2318 RICE 0.1721 15.5500 1.1066 17.7057 ROBUSTA 70.4314 3457.0000 2.0374 32.5977 RUSSELL 20.1785 2102.4000 0.9598 15.3565 SHATZ 0.0827 105.1500 0.0786 1.2580 SILVER-mini 0.5482 31.9500 1.7159 27.4541 SMI 79.5930 12059.0000 0.6600 10.5605 SOFR 0.0664 96.1350 0.0691 1.1052 SOYBEAN 10.4260 1202.2500 0.8672 13.8753 SOYMEAL 5.0151 364.4000 1.3763 22.0204 SOYOIL 0.7677 45.7400 1.6784 26.8549 SP400 22.9844 3026.6000 0.7594 12.1506 SP500_micro 33.8040 5322.2500 0.6351 10.1623 SUGAR11 0.2934 18.1600 1.6158 25.8530 US10 0.3948 109.1719 0.3617 5.7864 US10U 0.5161 112.4219 0.4591 7.3449 US2 0.1016 101.6992 0.0999 1.5978 US20 0.7623 117.3125 0.6498 10.3971 US30 1.1233 124.1562 0.9047 14.4758 US5 0.2554 105.8750 0.2412 3.8596 VIX 0.4187 15.0000 2.7915 44.6646 WHEAT 10.9818 695.5000 1.5790 25.2637 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 670.20 0.61 412.14 1.00 412.14 54174.25 131.45 4.77 62.74 BITCOIN 67.60 2.72 183.87 1.00 183.87 54174.25 294.64 -3.43 -101.15 BOBL 1166.30 0.24 283.78 1.09 308.73 54174.25 175.48 -6.05 -106.14 BTP 1178.50 0.54 632.90 1.09 688.54 54174.25 78.68 0.27 2.12 BUND 1307.00 0.43 566.39 1.09 616.17 54174.25 87.92 -5.36 -47.14 BUXL 1296.00 1.02 1324.73 1.09 1441.17 54174.25 37.59 -7.03 -26.43 CAC 812.75 0.61 496.99 1.09 540.68 54174.25 100.20 13.49 135.21 CAD 735.00 0.37 273.32 1.00 273.32 54174.25 198.21 -5.61 -111.13 CANOLA 136.38 1.14 156.08 0.73 114.61 54174.25 472.67 -10.21 -482.75 CHF 1380.69 0.42 580.74 1.00 580.74 54174.25 93.28 -17.16 -160.10 COCOA 689.00 6.21 4277.56 1.00 4277.56 54174.25 12.66 0.83 1.06 COFFEE 766.88 2.06 1577.31 1.00 1577.31 54174.25 34.35 -0.87 -3.00 COPPER 1266.38 1.22 1543.90 1.00 1543.90 54174.25 35.09 11.52 40.42 CORN 238.62 1.09 260.62 1.00 260.62 54174.25 207.87 -12.71 -264.12 COTTON2 379.60 1.82 691.23 1.00 691.23 54174.25 78.37 -13.35 -104.63 CRUDE_W 769.10 1.10 846.35 1.00 846.35 54174.25 64.01 8.54 54.66 DAX 188.02 0.70 131.37 1.09 142.92 54174.25 379.06 15.45 585.81 DOW 200.38 0.58 116.07 1.00 116.07 54174.25 466.76 0.74 34.75 DX 1039.45 0.34 354.80 1.00 354.80 54174.25 152.69 3.72 56.81 EUR 1360.94 0.39 526.90 1.00 526.90 54174.25 102.82 2.08 21.43 EURIBOR-ICE 2434.25 0.06 136.41 1.09 148.40 54174.25 365.05 -2.52 -92.17 EUROSTX 506.60 0.71 360.82 1.09 392.54 54174.25 138.01 11.98 165.39 FEEDCOW 1302.62 0.79 1029.14 1.00 1029.14 54174.25 52.64 -2.65 -13.95 GASOIL 768.00 1.32 1012.00 1.00 1012.00 54174.25 53.53 -4.47 -23.92 GASOLINE 1060.79 1.41 1499.50 1.00 1499.50 54174.25 36.13 3.98 14.37 GAS_US_mini 69.88 2.94 205.62 1.00 205.62 54174.25 263.46 -0.82 -21.54 GBP 794.12 0.45 358.60 1.00 358.60 54174.25 151.07 2.44 36.86 GOLD_micro 244.22 0.83 203.47 1.00 203.47 54174.25 266.25 0.94 25.02 HEATOIL 1056.22 1.26 1326.32 1.00 1326.32 54174.25 40.85 -8.52 -34.82 JGB-SGX-mini 143870.00 0.15 21807.13 0.01 141.37 54174.25 383.21 -4.98 -190.76 JPY 806.62 0.72 583.75 1.00 583.75 54174.25 92.80 -9.85 -91.41 LEANHOG 398.20 1.16 463.69 1.00 463.69 54174.25 116.83 -7.71 -90.08 LIVECOW 715.40 0.77 551.87 1.00 551.87 54174.25 98.17 11.84 116.26 LUMBER-new 148.50 1.27 189.06 1.00 189.06 54174.25 286.54 -20.00 -573.09 MILK 412.20 1.24 509.94 1.00 509.94 54174.25 106.24 4.94 52.49 MXP 299.65 0.59 177.93 1.00 177.93 54174.25 304.47 17.22 524.26 NASDAQ_micro 372.42 0.82 305.61 1.00 305.61 54174.25 177.27 -3.55 -62.90 NIKKEI 38735.00 0.94 36433.10 0.01 236.19 54174.25 229.37 -1.96 -44.94 NZD 613.75 0.63 385.84 1.00 385.84 54174.25 140.41 5.00 70.19 OAT 1260.40 0.45 566.04 1.09 615.80 54174.25 87.97 -0.02 -0.14 OATIES 182.12 2.13 387.22 1.00 387.22 54174.25 139.91 3.19 44.58 OJ 671.92 1.30 871.29 1.00 871.29 54174.25 62.18 18.90 117.49 PALLAD 1018.50 2.24 2282.53 1.00 2282.53 54174.25 23.73 -5.12 -12.16 PLAT 548.90 1.45 796.72 1.00 796.72 54174.25 68.00 12.46 84.72 REDWHEAT 337.38 1.83 616.38 1.00 616.38 54174.25 87.89 1.24 10.86 RICE 311.00 1.11 344.16 1.00 344.16 54174.25 157.41 10.49 165.08 ROBUSTA 345.70 2.04 704.31 1.00 704.31 54174.25 76.92 -0.61 -4.72 RUSSELL 105.12 0.96 100.89 1.00 100.89 54174.25 536.95 -1.21 -65.08 SHATZ 1051.50 0.08 82.68 1.09 89.94 54174.25 602.32 -16.68 -1004.64 SILVER-mini 798.75 1.72 1370.56 1.00 1370.56 54174.25 39.53 10.38 41.04 SMI 1205.90 0.66 795.93 1.11 883.08 54174.25 61.35 20.00 122.69 SOFR 2403.38 0.07 166.01 1.00 166.01 54174.25 326.33 -2.11 -68.87 SOYBEAN 601.12 0.87 521.30 1.00 521.30 54174.25 103.92 -7.47 -77.65 SOYMEAL 364.40 1.38 501.51 1.00 501.51 54174.25 108.02 -6.69 -72.25 SOYOIL 274.44 1.68 460.63 1.00 460.63 54174.25 117.61 -15.94 -187.42 SP400 3026.60 0.76 2298.44 1.00 2298.44 54174.25 23.57 0.11 0.25 SP500_micro 266.11 0.64 169.02 1.00 169.02 54174.25 320.52 0.36 11.45 SUGAR11 203.39 1.62 328.64 1.00 328.64 54174.25 164.84 -11.10 -182.98 US10 1091.72 0.36 394.82 1.00 394.82 54174.25 137.21 -3.98 -54.56 US10U 1124.22 0.46 516.08 1.00 516.08 54174.25 104.97 -1.48 -15.50 US2 2033.98 0.10 203.11 1.00 203.11 54174.25 266.72 -11.87 -316.57 US20 1173.12 0.65 762.32 1.00 762.32 54174.25 71.07 1.68 11.92 US30 1241.56 0.90 1123.29 1.00 1123.29 54174.25 48.23 0.06 0.28 US5 1058.75 0.24 255.40 1.00 255.40 54174.25 212.12 -6.55 -138.83 VIX 150.00 2.79 418.73 1.00 418.73 54174.25 129.38 -20.00 -258.75 WHEAT 347.75 1.58 549.09 1.00 549.09 54174.25 98.66 1.70 16.81 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 62.744 0.010 2.5 1.628 BITCOIN -101.154 0.043 2.5 -10.954 BOBL -106.145 0.004 2.5 -1.076 BTP 2.118 0.014 2.5 0.072 BUND -47.144 0.004 2.5 -0.478 BUXL -26.426 0.004 2.5 -0.268 CAC 135.210 0.014 2.5 4.612 CAD -111.133 0.010 2.5 -2.883 CANOLA -482.748 0.010 2.5 -11.745 CHF -160.103 0.010 2.5 -4.154 COCOA 1.057 0.009 2.5 0.023 COFFEE -3.000 0.005 2.5 -0.035 COPPER 40.415 0.043 2.5 4.376 CORN -264.117 0.010 2.5 -6.426 COTTON2 -104.634 0.009 2.5 -2.241 CRUDE_W 54.664 0.043 2.5 5.919 DAX 585.810 0.014 2.5 19.981 DOW 34.752 0.009 2.5 0.808 DX 56.807 0.010 2.5 1.474 EUR 21.428 0.010 2.5 0.556 EURIBOR-ICE -92.165 0.014 2.5 -3.144 EUROSTX 165.391 0.014 2.5 5.641 FEEDCOW -13.946 0.013 2.5 -0.462 GASOIL -23.915 0.017 2.5 -1.037 GASOLINE 14.368 0.017 2.5 0.623 GAS_US_mini -21.537 0.043 2.5 -2.332 GBP 36.861 0.010 2.5 0.956 GOLD_micro 25.016 0.014 2.5 0.853 HEATOIL -34.819 0.017 2.5 -1.509 JGB-SGX-mini -190.765 0.043 2.5 -20.657 JPY -91.409 0.010 2.5 -2.372 LEANHOG -90.079 0.024 2.5 -5.474 LIVECOW 116.258 0.013 2.5 3.852 LUMBER-new -573.090 0.009 2.5 -12.267 MILK 52.494 0.009 2.5 1.124 MXP 524.258 0.059 2.5 76.947 NASDAQ_micro -62.905 0.009 2.5 -1.462 NIKKEI -44.937 0.043 2.5 -4.866 NZD 70.187 0.010 2.5 1.821 OAT -0.142 0.014 2.5 -0.005 OATIES 44.580 0.010 2.5 1.085 OJ 117.492 0.009 2.5 2.516 PALLAD -12.157 0.014 2.5 -0.415 PLAT 84.720 0.014 2.5 2.890 REDWHEAT 10.864 0.005 2.5 0.144 RICE 165.082 0.010 2.5 4.016 ROBUSTA -4.717 0.005 2.5 -0.055 RUSSELL -65.077 0.013 2.5 -2.156 SHATZ -1004.644 0.004 2.5 -10.188 SILVER-mini 41.036 0.014 2.5 1.400 SMI 122.693 0.014 2.5 4.185 SOFR -68.868 0.024 2.5 -4.185 SOYBEAN -77.648 0.004 2.5 -0.722 SOYMEAL -72.251 0.004 2.5 -0.672 SOYOIL -187.420 0.004 2.5 -1.745 SP400 0.249 0.013 2.5 0.008 SP500_micro 11.452 0.009 2.5 0.266 SUGAR11 -182.981 0.009 2.5 -3.892 US10 -54.562 0.005 2.5 -0.691 US10U -15.504 0.005 2.5 -0.196 US2 -316.572 0.005 2.5 -4.012 US20 11.921 0.005 2.5 0.151 US30 0.279 0.005 2.5 0.004 US5 -138.834 0.005 2.5 -1.759 VIX -258.755 0.099 2.5 -63.871 WHEAT 16.809 0.005 2.5 0.223 ===================== Position diags ===================== AUD 3.41 BITCOIN 31.91 BOBL 1.78 BTP 2.68 BUND 0.89 BUXL 0.38 CAC 3.42 CAD 5.14 CANOLA 11.50 CHF 2.42 COCOA 0.27 COFFEE 0.40 COPPER 3.80 CORN 5.06 COTTON2 1.68 CRUDE_W 6.93 DAX 12.93 DOW 10.85 DX 3.96 EUR 2.67 EURIBOR-ICE 12.45 EUROSTX 4.71 FEEDCOW 1.74 GASOIL 2.32 GASOLINE 1.57 GAS_US_mini 28.53 GBP 3.92 GOLD_micro 9.08 HEATOIL 1.77 JGB-SGX-mini 41.50 JPY 2.41 LEANHOG 7.10 LIVECOW 3.25 LUMBER-new 6.13 MILK 2.28 MXP 44.69 NASDAQ_micro 4.12 NIKKEI 24.84 NZD 3.64 OAT 3.00 OATIES 3.40 OJ 1.33 PALLAD 0.81 PLAT 2.32 REDWHEAT 1.17 RICE 3.83 ROBUSTA 0.90 RUSSELL 17.79 SHATZ 6.11 SILVER-mini 1.35 SMI 2.09 SOFR 19.83 SOYBEAN 0.97 SOYMEAL 1.00 SOYOIL 1.09 SP400 0.78 SP500_micro 7.45 SUGAR11 3.51 US10 1.74 US10U 1.33 US2 3.38 US20 0.90 US30 0.61 US5 2.69 VIX 31.94 WHEAT 1.31 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.6 1.3 2.0 0.0 0 BITCOIN -11.0 -14.1 -7.8 0.0 0 BOBL -1.1 -1.3 -0.9 -4.0 -4 BTP 0.1 -0.2 0.3 0.0 0 BUND -0.5 -0.6 -0.4 0.0 0 BUXL -0.3 -0.3 -0.2 -2.0 -2 CAC 4.6 4.3 5.0 0.0 0 CAD -2.9 -3.4 -2.4 -2.0 -2 CANOLA -11.7 -12.9 -10.6 -6.0 -6 CHF -4.2 -4.4 -3.9 -4.0 -4 COCOA 0.0 -0.0 0.0 0.0 0 COFFEE -0.0 -0.1 0.0 0.0 0 COPPER 4.4 4.0 4.8 6.0 6 CORN -6.4 -6.9 -5.9 -2.0 -2 COTTON2 -2.2 -2.4 -2.1 -3.0 -3 CRUDE_W 5.9 5.2 6.6 1.0 1 DAX 20.0 18.7 21.3 15.0 15 DOW 0.8 -0.3 1.9 2.0 2 DX 1.5 1.1 1.9 NaN 0 EUR 0.6 0.3 0.8 0.0 0 EURIBOR-ICE -3.1 -4.4 -1.9 -3.0 -3 EUROSTX 5.6 5.2 6.1 11.0 11 FEEDCOW -0.5 -0.6 -0.3 0.0 0 GASOIL -1.0 -1.3 -0.8 -1.0 -1 GASOLINE 0.6 0.5 0.8 3.0 3 GAS_US_mini -2.3 -5.2 0.5 -16.0 -16 GBP 1.0 0.6 1.3 0.0 0 GOLD_micro 0.9 -0.1 1.8 0.0 0 HEATOIL -1.5 -1.7 -1.3 -2.0 -2 JGB-SGX-mini -20.7 -24.8 -16.5 -3.0 -3 JPY -2.4 -2.6 -2.1 -3.0 -3 LEANHOG -5.5 -6.2 -4.8 -5.0 -5 LIVECOW 3.9 3.5 4.2 2.0 2 LUMBER-new -12.3 -12.9 -11.7 NaN 0 MILK 1.1 0.9 1.4 NaN 0 MXP 76.9 72.5 81.4 52.0 52 NASDAQ_micro -1.5 -1.9 -1.0 -5.0 -5 NIKKEI -4.9 -7.3 -2.4 -4.0 -4 NZD 1.8 1.5 2.2 0.0 0 OAT -0.0 -0.3 0.3 1.0 1 OATIES 1.1 0.7 1.4 NaN 0 OJ 2.5 2.4 2.6 NaN 0 PALLAD -0.4 -0.5 -0.3 0.0 0 PLAT 2.9 2.7 3.1 3.0 3 REDWHEAT 0.1 0.0 0.3 0.0 0 RICE 4.0 3.6 4.4 NaN 0 ROBUSTA -0.1 -0.1 0.0 -1.0 -1 RUSSELL -2.2 -3.9 -0.4 -44.0 -44 SHATZ -10.2 -10.8 -9.6 NaN 0 SILVER-mini 1.4 1.3 1.5 0.0 0 SMI 4.2 4.0 4.4 7.0 7 SOFR -4.2 -6.2 -2.2 NaN 0 SOYBEAN -0.7 -0.8 -0.6 -1.0 -1 SOYMEAL -0.7 -0.8 -0.6 0.0 0 SOYOIL -1.7 -1.9 -1.6 -4.0 -4 SP400 0.0 -0.1 0.1 2.0 2 SP500_micro 0.3 -0.5 1.0 0.0 0 SUGAR11 -3.9 -4.2 -3.5 -3.0 -3 US10 -0.7 -0.9 -0.5 0.0 0 US10U -0.2 -0.3 -0.1 -5.0 -5 US2 -4.0 -4.3 -3.7 NaN 0 US20 0.2 0.1 0.2 0.0 0 US30 0.0 -0.1 0.1 0.0 0 US5 -1.8 -2.0 -1.5 -8.0 -8 VIX -63.9 -67.1 -60.7 -60.0 -60 WHEAT 0.2 0.1 0.4 0.0 0 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 3.8 3.8 3.8 3.8 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 0.6 0.1 0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.1 0.2 -0.3 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.1 0.1 0.4 0.0 0.1 0.0 0.1 -0.0 0.1 -0.0 0.1 0.5 0.5 0.2 -0.5 -0.3 -0.2 -0.0 BITCOIN -0.4 -0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.3 0.1 0.5 -0.0 0.1 -0.1 -0.1 -0.1 -0.2 0.1 0.2 0.1 0.5 0.0 -2.7 0.0 0.1 0.3 0.0 0.4 0.0 -0.2 -0.5 -0.4 -0.6 0.6 -0.4 -0.0 0.4 0.1 BOBL 0.2 -0.2 -0.4 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.2 0.0 -0.2 -0.0 -0.1 0.3 -0.1 0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.3 0.0 -0.0 -0.7 -0.7 0.0 -0.4 BTP 0.2 -0.4 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.3 0.1 0.3 0.0 -0.0 0.1 0.1 0.1 0.1 0.0 0.0 0.0 0.2 0.0 -2.7 0.0 0.0 0.1 0.0 0.2 0.0 0.8 0.0 -0.1 0.2 0.6 -0.3 -0.3 0.6 0.1 BUND 0.2 -0.2 -0.2 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.2 -0.1 -0.0 -0.0 0.0 -0.1 -0.0 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.3 0.2 0.1 -0.7 -0.7 0.2 -0.3 BUXL 0.1 -0.2 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.4 0.3 0.3 -0.7 -0.7 -0.3 -0.2 CAC 0.3 -0.5 0.5 0.1 0.1 0.2 0.1 0.2 0.1 0.1 0.5 0.2 0.7 0.2 0.2 0.1 0.1 0.2 0.1 0.2 0.2 0.2 0.5 0.2 -1.7 0.1 0.0 0.3 0.1 0.3 0.1 0.9 0.1 0.0 0.6 0.6 -0.3 0.3 -0.4 0.4 CAD 0.3 -0.2 -0.2 -0.0 0.1 -0.1 0.1 0.0 0.0 0.2 -0.3 0.2 -0.4 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.2 0.0 -0.1 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.0 -0.1 -0.0 -0.0 -0.1 -0.3 -0.4 -0.0 -0.3 CANOLA 0.3 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.3 0.1 0.1 -0.3 -0.2 -0.3 -0.3 0.0 -0.0 0.1 -0.2 0.1 -2.7 0.0 0.0 -0.0 0.0 -0.2 0.0 -1.1 0.2 0.3 0.1 -0.1 -0.7 -0.6 -0.3 -0.1 CHF 0.5 -0.3 -0.6 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.1 -0.5 0.1 -0.5 -0.1 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 0.0 -0.4 -0.1 0.2 -0.1 -0.0 -0.2 0.0 -0.1 -0.0 -1.1 -0.4 -0.5 -0.6 -0.6 0.0 -0.5 0.2 -0.5 COCOA -0.6 -0.6 -0.5 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 -0.1 0.2 -0.0 0.0 0.3 0.3 0.4 0.4 0.0 0.1 -0.1 0.2 -0.1 -2.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 1.1 -0.2 -0.6 0.5 0.6 0.2 0.0 0.3 0.3 COFFEE -0.6 0.1 0.2 0.0 0.0 0.1 0.0 -0.0 0.0 0.1 0.2 -0.1 0.3 -0.0 0.0 0.1 0.2 0.2 0.2 0.0 0.1 -0.1 0.2 -0.1 -2.4 0.0 0.0 0.1 -0.0 0.1 -0.0 0.5 -0.1 -0.6 0.6 0.6 0.0 -0.6 0.3 -0.2 COPPER 0.1 0.6 0.6 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.2 0.3 0.2 0.2 0.1 -0.1 -0.0 -0.1 0.2 0.2 0.2 0.3 0.2 -1.9 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.5 0.6 0.6 0.6 -0.6 -0.1 0.3 0.2 CORN 0.4 0.4 0.5 0.1 0.0 0.1 0.1 -0.0 0.1 -0.1 -0.2 0.1 -0.6 0.1 0.1 -0.4 -0.2 -0.4 -0.3 0.1 -0.1 0.0 -0.4 0.1 -2.1 0.0 -0.1 -0.1 0.0 -0.2 0.1 -1.1 -0.2 0.4 0.3 -0.4 -0.6 -0.7 -0.5 0.0 COTTON2 -0.3 -0.6 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.2 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -2.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.2 -0.6 -0.6 0.1 -0.3 -0.5 0.1 -0.0 CRUDE_W -0.6 -0.2 0.2 -0.0 0.1 0.1 -0.0 0.2 -0.0 0.2 0.2 -0.2 0.6 -0.2 0.1 0.3 0.2 0.3 0.3 0.0 0.1 -0.0 0.4 -0.1 -0.7 -0.0 0.0 0.1 -0.0 0.3 -0.1 -0.1 -0.1 -0.3 0.1 0.1 0.7 0.6 0.7 0.6 DAX 0.3 -0.6 0.3 0.0 0.0 0.1 0.1 0.2 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 1.7 0.1 0.0 0.2 0.1 0.3 0.1 -0.5 0.1 0.1 0.6 0.6 -0.0 0.2 0.1 0.5 DOW 0.6 -0.6 -0.1 0.0 0.0 0.1 0.1 0.2 0.0 0.1 0.4 0.2 0.5 0.1 0.0 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.2 0.4 0.2 -1.8 0.0 0.1 0.1 0.1 0.2 0.1 -0.5 0.1 0.2 0.2 -0.3 0.1 -0.2 0.3 -0.5 DX -0.5 0.3 0.3 -0.0 0.1 -0.1 0.1 0.0 0.0 -0.2 0.4 -0.2 0.4 -0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.2 0.3 -0.1 -2.7 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.9 -0.5 -0.6 0.6 0.6 0.4 0.2 0.5 0.5 EUR 0.5 -0.1 -0.1 -0.0 0.1 -0.1 0.1 0.0 0.0 0.2 -0.2 0.2 -0.3 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.2 -0.2 0.1 2.7 0.0 0.1 -0.0 0.1 -0.0 0.1 -0.4 0.3 0.4 0.2 0.1 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE 0.3 -0.6 -0.5 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 1.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.0 -0.7 -0.7 0.1 0.4 EUROSTX 0.2 -0.6 0.4 0.0 0.0 0.2 0.1 0.2 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.2 -0.0 -0.1 -0.0 0.2 0.2 0.2 0.5 0.2 -0.2 0.1 0.0 0.3 0.1 0.4 0.1 0.4 -0.0 -0.1 0.6 0.6 -0.5 0.2 -0.6 0.4 FEEDCOW 0.1 -0.4 -0.1 0.0 0.0 0.1 0.1 -0.0 0.1 0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.1 -0.0 0.0 -0.9 -0.0 0.1 -0.0 0.1 0.1 0.0 -1.1 0.2 0.0 -0.6 0.0 0.7 0.7 0.7 0.7 GASOIL -0.6 -0.4 0.0 -0.0 0.1 0.1 -0.0 0.2 -0.0 0.1 0.1 -0.1 0.5 -0.2 -0.1 -0.1 0.3 0.1 0.3 -0.1 0.0 -0.1 0.4 -0.2 0.9 -0.0 0.0 0.0 -0.0 0.2 -0.1 0.3 -0.2 -0.4 -0.5 -0.3 -0.5 -0.3 -0.7 -0.7 GASOLINE -0.6 -0.3 0.3 -0.0 0.1 0.1 -0.0 0.2 -0.0 0.1 0.4 -0.1 0.6 -0.2 0.1 0.4 0.3 0.4 0.3 -0.0 0.1 -0.1 0.4 -0.1 -2.7 -0.0 0.0 0.1 -0.0 0.2 -0.1 -0.0 -0.2 -0.4 -0.2 0.2 0.7 0.7 0.7 0.7 GAS_US_mini 0.6 0.6 0.3 -0.0 0.1 0.1 -0.0 0.1 -0.0 0.2 -0.5 0.2 -0.7 0.2 -0.1 -0.4 -0.4 -0.4 -0.4 0.0 -0.2 0.2 -0.5 0.2 2.7 -0.0 0.1 -0.2 0.1 -0.4 0.1 -1.1 0.5 0.6 0.3 -0.6 -0.4 -0.2 -0.7 -0.3 GBP 0.4 -0.2 -0.2 -0.0 0.1 -0.1 0.1 0.0 0.0 0.2 0.2 0.2 0.2 0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 0.0 0.1 0.2 0.0 0.2 0.0 0.2 0.1 0.1 0.2 0.2 0.3 0.2 0.3 -0.7 -0.5 -0.7 -0.2 GOLD_micro -0.4 0.2 0.6 0.0 0.1 0.1 0.1 0.0 0.0 0.1 0.3 0.1 0.4 0.1 0.1 -0.2 -0.3 -0.3 -0.3 0.2 0.2 0.1 0.4 0.1 -0.5 0.0 0.0 0.1 0.0 0.1 0.0 -0.8 -0.1 -0.4 0.6 0.6 -0.4 -0.5 -0.0 -0.3 HEATOIL -0.6 -0.4 -0.1 -0.0 0.1 0.1 -0.0 0.2 -0.0 0.1 -0.1 -0.2 0.3 -0.2 -0.1 -0.1 0.3 0.1 0.2 -0.1 -0.0 -0.1 0.2 -0.2 -2.7 -0.1 0.0 -0.0 -0.0 0.2 -0.1 0.2 -0.2 -0.4 -0.6 -0.4 0.4 0.2 0.2 0.0 JGB-SGX-mini 0.0 -0.6 -0.4 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.4 0.3 0.3 0.3 -0.1 -0.1 -0.1 -0.0 -0.1 -1.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 -0.4 -0.4 -0.3 -0.1 -0.5 -0.3 0.0 0.4 JPY 0.5 -0.0 -0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.0 -0.3 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.4 -0.4 -0.4 -0.4 -0.7 -0.4 -0.7 -0.4 LEANHOG -0.6 -0.3 0.6 0.1 0.0 0.1 0.1 -0.0 0.1 -0.1 0.3 -0.2 -0.1 -0.2 0.0 -0.4 -0.4 -0.4 -0.4 -0.0 0.1 -0.2 0.0 -0.2 1.2 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 -0.5 0.5 -0.3 -0.3 -0.0 0.4 LIVECOW 0.2 -0.3 0.1 0.0 0.0 0.1 0.1 -0.0 0.1 0.1 -0.0 0.2 -0.0 0.0 -0.0 0.4 0.2 0.4 0.3 -0.0 -0.0 0.1 0.0 0.1 -0.8 0.0 0.1 0.1 0.1 0.1 0.0 0.6 0.4 0.1 -0.4 0.4 0.7 0.7 0.7 0.7 LUMBER-new 0.0 -0.7 -0.3 0.1 0.0 0.1 0.1 0.0 0.1 -0.2 -0.3 0.0 -0.5 -0.2 -0.2 -0.5 -0.4 -0.5 -0.5 -0.2 -0.2 -0.1 -0.3 -0.2 NaN -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -1.2 -0.5 -0.7 -0.7 -0.7 -0.5 -0.4 -0.2 -0.3 MILK 0.6 0.6 0.6 0.0 0.0 0.1 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.4 0.2 0.1 0.4 -0.4 -0.3 -0.4 0.2 0.0 0.2 -0.3 0.2 2.0 0.0 0.0 0.0 0.1 -0.1 0.1 -1.1 0.5 0.6 0.6 0.3 -0.7 -0.7 -0.6 -0.7 MXP 0.2 -0.4 -0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 0.2 0.4 0.2 0.7 0.0 0.1 0.3 0.3 0.3 0.3 0.1 0.2 0.2 0.5 0.1 -2.7 0.1 0.1 0.2 0.1 0.4 0.1 1.1 0.5 0.2 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro 0.5 -0.6 -0.2 0.0 0.0 0.1 0.1 0.1 0.0 0.1 0.3 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.2 0.4 0.1 -2.7 0.0 0.1 0.1 0.1 0.3 0.0 -0.4 -0.0 -0.0 -0.1 -0.2 -0.0 0.0 0.0 0.0 NIKKEI -0.0 -0.6 -0.0 0.0 0.0 0.1 0.1 0.2 0.0 0.1 0.3 0.1 0.5 -0.0 0.0 0.0 0.2 0.1 0.1 0.0 0.2 0.1 0.5 -0.0 -2.0 0.0 0.0 0.2 0.0 0.4 -0.0 1.1 -0.5 -0.6 -0.4 0.1 -0.3 -0.2 -0.2 -0.3 NZD 0.6 -0.0 -0.2 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.1 0.2 -0.2 0.1 -0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.2 -0.1 0.1 0.1 0.0 0.1 -0.0 0.1 -0.0 0.1 0.2 0.3 0.4 0.2 0.0 -0.2 -0.2 0.0 0.2 OAT 0.2 -0.3 -0.2 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 0.1 0.1 0.1 0.1 -0.0 -0.0 0.0 -0.1 -0.0 0.3 -0.0 -0.0 0.0 0.0 0.0 -0.0 0.9 -0.0 -0.2 0.1 0.2 -0.7 -0.6 0.2 -0.0 OATIES 0.6 0.6 0.3 0.0 0.0 0.1 0.0 -0.0 0.1 -0.1 -0.2 0.0 -0.4 0.1 0.1 0.4 0.1 0.3 0.2 0.1 0.0 0.0 -0.1 0.2 -2.7 0.0 -0.0 0.0 0.0 -0.0 0.1 0.1 0.1 0.6 0.6 0.2 -0.5 -0.1 0.0 0.5 OJ 0.6 0.3 0.2 0.1 0.0 0.1 0.1 -0.0 0.1 0.2 0.4 0.2 0.7 0.2 0.2 0.2 0.3 0.2 0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.2 0.1 0.2 0.3 0.1 0.7 0.5 0.6 0.6 0.6 0.2 0.3 0.6 0.7 PALLAD -0.2 0.0 0.2 0.0 0.1 0.0 0.1 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 1.8 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.3 -0.3 -0.4 -0.4 -0.3 -0.7 -0.7 -0.7 -0.4 PLAT 0.6 0.5 0.3 0.0 0.1 0.1 0.1 0.0 0.1 0.1 0.1 0.2 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.0 0.2 1.5 0.0 0.1 0.1 0.1 0.0 0.1 0.1 0.5 0.6 0.4 -0.0 -0.7 -0.2 0.3 0.2 REDWHEAT 0.6 0.6 0.6 0.0 0.0 0.1 0.0 -0.0 0.1 -0.0 -0.0 0.1 -0.5 0.1 0.1 -0.2 -0.0 -0.1 -0.1 0.2 0.0 0.1 -0.3 0.2 -0.9 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.5 0.2 0.6 0.6 0.0 -0.3 -0.7 0.1 -0.7 RICE 0.6 0.5 -0.1 0.0 0.0 0.1 0.0 -0.0 0.0 0.1 0.2 0.1 0.3 0.2 0.1 0.4 0.4 0.4 0.4 0.1 0.1 0.1 0.2 0.2 -1.2 0.0 0.0 0.0 0.0 0.0 0.0 1.1 0.1 0.2 0.2 0.0 -0.1 -0.1 -0.0 0.1 ROBUSTA -0.6 -0.5 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.2 -0.1 0.3 -0.0 0.0 0.4 0.4 0.4 0.4 0.0 0.1 -0.1 0.4 -0.1 -2.7 0.0 0.0 0.1 -0.0 0.1 -0.0 1.1 -0.0 -0.6 0.5 0.6 -0.2 -0.5 0.1 0.1 RUSSELL 0.5 -0.3 0.2 0.0 0.0 0.1 0.1 0.2 0.0 0.1 0.3 0.1 0.4 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.1 -0.3 0.0 0.0 0.1 0.1 0.1 0.1 -0.0 -0.3 -0.1 0.1 -0.4 -0.3 -0.7 -0.3 -0.7 SHATZ 0.1 -0.2 -0.6 -0.0 0.0 -0.0 0.0 -0.1 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 -0.3 -0.1 1.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.1 -0.4 -0.2 -0.3 -0.7 -0.7 -0.6 -0.7 SILVER-mini -0.1 0.4 0.6 0.0 0.1 0.1 0.1 0.0 0.0 0.1 0.3 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.2 0.2 0.2 0.3 0.0 0.1 0.1 0.1 0.1 0.1 -0.1 0.5 0.1 0.5 0.5 -0.3 -0.5 0.6 0.2 SMI 0.6 -0.3 0.4 0.0 0.0 0.1 0.1 0.2 0.1 0.1 0.4 0.2 0.5 0.2 0.1 -0.1 0.1 -0.0 0.0 0.2 0.1 0.2 0.3 0.2 1.8 0.1 0.1 0.1 0.1 0.1 0.1 0.8 0.5 0.4 0.5 0.0 0.4 -0.0 0.5 -0.1 SOFR 0.6 -0.4 -0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 0.1 -0.2 0.0 -0.3 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 0.2 0.2 -0.0 0.0 -0.2 -0.7 0.4 -0.0 SOYBEAN 0.5 0.4 0.1 0.0 0.0 0.1 0.1 -0.0 0.1 -0.1 -0.2 0.1 -0.2 0.1 0.1 -0.0 0.2 0.0 0.1 0.1 -0.0 0.1 -0.2 0.1 -2.7 0.0 -0.0 -0.0 0.0 -0.1 0.1 0.2 -0.0 0.4 0.1 -0.3 -0.5 -0.7 -0.4 -0.7 SOYMEAL 0.6 0.6 0.0 0.0 0.0 0.1 0.0 -0.0 0.0 -0.1 -0.2 0.0 -0.3 0.1 0.0 0.0 0.1 -0.0 0.0 0.1 -0.0 0.0 -0.2 0.1 -2.7 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 0.6 0.6 -0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.1 -0.2 0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.3 0.0 -0.3 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.6 0.2 -0.4 -0.6 -0.3 -0.7 -0.5 -0.3 0.1 SP400 0.4 -0.4 0.4 0.0 0.0 0.1 0.1 0.2 0.0 0.1 0.4 0.2 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.2 0.2 0.4 0.2 -1.8 0.0 0.0 0.2 0.1 0.2 0.1 0.0 -0.2 0.1 0.2 -0.0 -0.3 -0.3 -0.3 -0.7 SP500_micro 0.5 -0.6 0.1 0.0 0.0 0.1 0.1 0.2 0.0 0.1 0.4 0.2 0.6 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.2 0.2 0.5 0.2 -2.7 0.0 0.1 0.2 0.1 0.3 0.1 -0.5 0.1 0.1 0.0 0.1 0.0 -0.1 0.2 -0.1 SUGAR11 -0.1 -0.6 -0.6 0.0 0.0 0.1 0.0 -0.0 0.0 -0.1 -0.4 -0.2 -0.1 -0.2 -0.2 0.0 0.3 0.1 0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.8 -0.5 -0.6 -0.6 -0.6 0.7 0.4 0.7 0.7 US10 0.6 -0.3 -0.3 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.2 0.0 0.3 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.3 0.1 0.1 -0.0 0.0 -0.5 -0.7 0.0 0.1 US10U 0.6 -0.3 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.3 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.3 0.0 0.0 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.1 0.2 0.2 0.0 0.1 -0.5 -0.6 0.6 0.3 US2 0.5 -0.3 -0.6 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.2 0.1 -0.3 -0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.0 -0.3 -0.0 1.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.1 -0.0 0.0 -0.2 -0.2 -0.5 -0.7 -0.4 -0.7 US20 0.6 -0.3 -0.2 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.2 0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 0.2 0.2 0.1 0.2 -0.6 -0.5 0.7 0.5 US30 0.5 -0.3 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.2 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.1 0.0 -0.1 0.3 0.1 0.1 0.2 -0.6 -0.4 0.6 0.6 US5 0.6 -0.3 -0.4 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.3 -0.0 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 0.1 -0.2 0.0 0.8 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.6 0.1 0.1 -0.1 -0.1 -0.4 -0.7 -0.1 -0.3 VIX -1.0 0.1 0.4 -0.1 -0.1 -0.2 -0.1 -0.4 -0.1 -0.3 -0.9 -0.3 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.3 -0.9 -0.3 NaN -0.1 -0.1 -0.3 -0.2 -0.5 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.6 0.6 0.6 0.0 0.0 0.1 0.0 -0.0 0.1 -0.0 0.1 0.1 -0.4 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.2 -0.2 0.2 0.2 0.0 0.0 0.0 0.0 -0.0 0.1 -1.1 0.5 0.6 0.6 0.0 -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 17.2 4.6 1.3 -1.5 7.3 -1.5 6.3 0.7 2.1 15.2 -2.6 16.6 -8.0 14.7 7.5 -2.5 -2.8 -2.6 -2.7 5.3 0.2 16.9 -3.3 12.7 2.9 3.4 9.0 0.9 9.1 -0.9 6.9 -0.5 4.8 16.0 15.3 6.6 -13.6 -8.1 -4.7 -0.8 BITCOIN -11.1 -14.5 3.4 5.2 13.4 3.7 10.0 1.8 6.4 16.3 12.5 10.7 15.0 -3.2 7.1 -6.0 -7.2 -7.2 -7.6 4.8 17.0 10.2 20.0 0.8 -20.0 4.1 6.1 9.8 3.4 11.6 1.1 -3.6 -20.0 -13.4 -20.0 20.0 -10.8 -1.4 11.6 2.8 BOBL 4.9 -6.8 -11.4 -1.3 0.1 -1.5 1.2 -1.5 0.3 -4.1 -5.6 0.2 -4.2 -4.6 -7.6 13.6 -6.0 6.7 -1.7 -5.5 -5.2 -1.3 -4.7 -3.1 4.6 -2.5 -1.8 -2.0 -1.0 -1.6 -1.8 -1.8 -2.7 -9.8 0.8 -0.9 -20.0 -19.9 1.1 -11.8 BTP 4.8 -12.9 -2.5 -2.2 0.2 -2.5 2.0 -2.5 0.4 1.9 9.3 8.0 9.3 0.4 -2.5 4.6 5.9 4.7 5.0 1.0 4.4 3.5 6.2 1.9 -20.0 2.1 1.4 4.8 2.1 5.7 1.3 15.8 0.7 -4.5 7.4 18.4 -10.1 -9.9 16.8 2.5 BUND 5.1 -7.5 -6.9 -1.5 0.1 -1.7 1.3 -1.7 0.3 -2.7 -2.5 2.4 -1.9 -3.3 -7.0 -9.4 -0.9 -7.7 -4.7 -4.0 -3.4 0.0 -3.3 -1.8 2.0 -1.3 -1.1 -0.6 -0.3 -0.6 -0.9 1.9 -0.5 -8.8 4.8 4.3 -20.0 -20.0 5.2 -9.0 BUXL 3.5 -7.3 -1.7 -1.8 0.2 -2.1 1.6 -2.1 0.3 -4.3 -0.8 1.3 -2.6 -4.0 -7.5 -8.4 -3.0 -7.1 -5.1 -3.9 -2.9 -0.7 -4.1 -2.3 -1.8 -0.4 -1.7 0.8 -0.9 -0.1 -1.1 0.0 -3.1 -12.3 8.5 9.5 -20.0 -20.0 -8.6 -5.8 CAC 8.2 -16.6 15.2 4.8 6.2 6.5 9.2 6.9 6.6 12.6 20.0 19.7 20.0 17.7 20.0 5.2 2.8 10.2 6.6 20.0 20.0 20.0 20.0 20.0 -13.0 9.1 0.9 10.0 6.7 9.3 8.4 17.7 2.6 0.7 20.0 19.4 -9.0 7.6 -11.6 11.7 CAD 8.1 -6.0 -6.5 -2.1 9.9 -2.0 8.6 0.9 2.9 18.4 -12.1 20.0 -11.3 0.5 -11.0 -3.0 -2.4 -2.8 -2.6 -6.7 -9.0 10.8 -8.4 2.2 -0.8 -3.7 8.4 -5.1 7.3 -4.8 1.7 0.0 -3.9 -0.9 -0.2 -3.0 -10.2 -13.1 -1.0 -9.4 CANOLA 10.7 18.1 17.4 2.5 1.6 1.5 2.7 -0.3 3.0 2.4 -4.4 6.5 -7.3 6.3 6.7 -15.0 -8.5 -15.3 -13.5 4.2 -2.6 6.2 -9.1 6.9 -20.0 1.8 2.0 -1.2 2.6 -4.4 2.9 -20.0 7.7 8.2 3.7 -3.7 -20.0 -16.7 -8.6 -4.1 CHF 15.9 -10.2 -20.0 -1.8 8.7 -1.7 7.5 0.8 2.5 -10.7 -18.0 10.8 -12.8 -7.0 -17.5 -16.5 -16.0 -16.4 -16.2 -19.4 -20.0 1.0 -14.5 -5.6 1.4 -6.0 -1.5 -6.7 0.2 -3.8 -1.9 -20.0 -18.4 -14.6 -18.0 -20.0 0.3 -16.1 7.2 -13.9 COCOA -20.0 -20.0 -14.6 1.6 1.1 1.0 1.8 -0.2 1.9 -4.4 4.1 -5.6 5.5 -4.2 1.8 14.3 14.9 20.0 20.0 1.2 6.0 -7.6 6.2 -5.4 -14.9 1.5 -0.8 3.1 -1.1 3.4 -0.4 20.0 -9.0 -20.0 15.1 20.0 5.6 0.9 10.4 8.0 COFFEE -20.0 3.7 7.7 3.5 2.3 2.2 3.8 -0.4 4.2 8.4 7.6 -9.4 7.7 -4.5 0.1 7.1 8.4 10.0 10.0 3.8 10.1 -6.4 8.8 -6.3 -17.7 2.5 1.2 3.7 -1.0 3.1 -0.2 9.3 -5.7 -20.0 20.0 18.4 0.3 -19.2 9.7 -6.4 COPPER 1.8 20.0 20.0 4.3 11.1 3.1 8.3 1.5 5.3 14.3 15.4 15.3 8.5 15.9 16.4 4.7 -3.8 -0.9 -3.0 20.0 20.0 20.0 12.3 20.0 -13.9 5.9 7.6 4.5 7.0 2.6 6.4 3.0 20.0 20.0 20.0 20.0 -17.8 -3.4 8.9 6.5 CORN 11.8 12.9 16.5 4.7 3.1 2.9 5.2 -0.5 5.7 -14.1 -6.6 5.4 -17.4 11.7 10.2 -18.5 -11.3 -18.9 -16.5 5.8 -4.9 1.2 -16.0 9.0 -15.9 3.3 -7.2 -2.1 1.1 -6.5 5.2 -20.0 -9.7 11.3 9.1 -11.5 -16.7 -20.0 -16.5 0.0 COTTON2 -7.9 -20.0 -6.1 2.4 1.6 1.5 2.7 -0.3 2.9 -4.8 -6.4 -6.9 -3.2 -9.2 -9.1 5.7 3.8 8.5 5.8 -13.4 -7.3 -8.7 -2.7 -13.5 -17.8 -2.5 -1.0 -0.5 -1.9 0.7 -2.9 0.9 -9.0 -20.0 -20.0 1.7 -9.2 -14.1 4.2 -0.3 CRUDE_W -20.0 -4.7 7.4 -0.7 7.9 3.4 -0.3 4.9 -3.9 19.2 8.4 -14.3 15.6 -16.0 8.0 13.5 12.1 14.5 13.2 0.8 11.1 -3.6 15.9 -9.3 -5.5 -0.4 5.5 4.5 -1.8 7.1 -4.7 -1.1 -2.5 -8.0 4.0 2.7 20.0 16.8 20.0 18.6 DAX 10.6 -20.0 10.4 4.0 5.1 5.3 7.5 5.7 5.4 10.2 19.2 16.1 19.3 14.1 16.7 -10.0 -11.5 -11.5 -12.1 20.0 20.0 20.0 20.0 20.0 13.0 7.6 1.3 8.8 4.9 7.8 6.3 -10.1 4.6 2.1 20.0 19.8 -0.4 6.8 2.1 15.6 DOW 19.7 -17.2 -3.9 3.3 4.3 4.4 6.3 4.7 4.5 15.5 13.5 17.0 14.1 8.2 3.2 -11.0 -11.2 -11.6 -11.7 8.9 11.5 20.0 16.4 18.4 -13.3 4.0 8.2 5.2 9.4 6.9 6.6 -9.4 5.7 5.6 5.5 -7.9 4.1 -6.6 10.3 -13.5 DX -15.0 7.9 8.9 -1.9 9.4 -1.9 8.1 0.9 2.8 -17.0 14.6 -19.0 12.2 -0.7 12.1 7.3 6.7 7.3 7.0 8.7 12.7 -19.7 10.7 -5.9 -20.0 3.5 -9.2 4.9 -8.2 4.1 -2.4 16.0 -20.0 -20.0 20.0 20.0 11.7 6.0 15.5 13.6 EUR 14.0 -4.0 -4.1 -2.0 9.7 -1.9 8.4 0.9 2.8 19.2 -7.9 20.0 -8.7 8.5 -4.7 -7.1 -6.9 -7.0 -6.8 -1.6 -6.5 20.0 -6.1 10.8 20.0 1.0 12.9 -1.2 12.8 -1.2 7.1 -7.4 11.0 12.5 5.4 3.7 -20.0 -16.3 -20.0 -12.7 EURIBOR-ICE 8.3 -17.2 -15.4 -1.2 0.1 -1.4 1.1 -1.4 0.2 -3.7 -0.3 1.9 1.1 -3.5 -6.4 -5.9 -4.4 -4.8 -4.0 -4.7 -2.6 -0.1 -0.2 -2.2 12.1 -2.1 -1.2 -0.9 -0.3 0.3 -1.3 -0.6 -0.5 -6.9 -2.8 -1.3 -20.0 -20.0 3.2 11.3 EUROSTX 6.8 -18.9 13.4 4.3 5.5 5.7 8.1 6.1 5.8 14.0 20.0 18.9 20.0 16.3 20.0 -7.6 -0.8 -4.7 -2.0 20.0 20.0 19.6 20.0 19.9 -1.5 8.4 2.0 10.5 5.5 10.1 6.8 8.3 -0.8 -2.2 20.0 20.0 -14.3 6.4 -19.3 10.5 FEEDCOW 4.5 -11.9 -2.6 4.5 3.0 2.8 4.9 -0.5 5.3 16.5 -2.6 4.3 -2.7 -1.0 -4.9 -20.0 -20.0 -20.0 -20.0 -5.4 -5.3 11.8 -1.3 0.5 -6.5 -1.1 11.2 -1.1 5.8 1.8 1.2 -20.0 8.6 0.7 -19.5 0.6 20.0 20.0 20.0 20.0 GASOIL -17.9 -13.3 0.5 -0.6 7.1 3.1 -0.2 4.4 -3.5 10.8 5.1 -13.4 14.7 -20.0 -7.3 -2.5 17.3 6.5 12.8 -10.6 3.0 -8.1 14.0 -17.4 6.9 -4.5 4.4 0.6 -3.0 4.5 -6.8 5.2 -8.9 -13.3 -16.4 -7.9 -16.0 -9.4 -20.0 -19.6 GASOLINE -20.0 -9.8 9.5 -0.6 7.2 3.1 -0.3 4.5 -3.6 15.6 13.8 -13.3 16.7 -15.0 7.4 20.0 13.6 18.3 12.6 -0.9 11.3 -6.8 15.9 -12.6 -20.0 -1.1 4.9 4.1 -3.0 6.8 -5.7 -0.2 -10.4 -12.5 -4.6 6.7 20.0 20.0 20.0 20.0 GAS_US_mini 18.2 19.8 9.0 -0.5 5.9 2.5 -0.2 3.7 -2.9 17.6 -18.2 18.7 -19.9 15.6 -6.8 -20.0 -20.0 -20.0 -20.0 0.9 -15.9 20.0 -20.0 14.8 20.0 -0.2 15.5 -6.8 12.4 -9.9 7.0 -20.0 20.0 20.0 8.5 -20.0 -11.2 -5.4 -20.0 -10.3 GBP 12.1 -6.7 -4.7 -2.1 10.0 -2.0 8.7 0.9 2.9 20.0 5.9 20.0 4.3 8.6 -5.3 -1.1 -0.8 -1.0 -0.8 -0.7 -1.7 20.0 1.6 9.6 1.5 1.8 18.0 1.4 14.5 2.3 7.2 3.0 10.2 10.5 6.1 9.3 -20.0 -14.0 -20.0 -6.8 GOLD_micro -12.5 5.2 20.0 3.4 8.8 2.4 6.5 1.2 4.2 11.1 11.8 7.4 10.4 9.0 10.8 -11.8 -14.2 -13.1 -13.8 15.8 17.4 13.8 13.2 11.6 -3.5 4.1 4.2 4.7 2.9 3.7 2.6 -15.0 -2.7 -12.2 17.9 20.0 -11.6 -15.6 -1.3 -7.9 HEATOIL -17.0 -12.6 -1.8 -0.6 7.4 3.2 -0.3 4.6 -3.7 12.2 -3.4 -15.6 9.1 -20.0 -13.9 -6.9 16.9 2.6 10.5 -13.8 -2.2 -8.5 8.2 -18.9 -20.0 -5.2 4.1 -0.2 -3.1 4.6 -7.2 3.1 -6.5 -11.1 -20.0 -12.2 12.8 5.7 5.2 1.2 JGB-SGX-mini 0.8 -19.1 -11.0 -1.6 0.1 -1.8 1.4 -1.8 0.3 -8.1 -0.1 -8.0 2.9 -9.0 -9.3 19.7 16.5 17.0 15.1 -8.6 -5.0 -7.2 -0.4 -8.3 -8.9 -3.3 -2.2 -2.3 -2.5 -1.2 -3.1 20.0 -17.3 -12.8 -10.4 -3.0 -15.5 -8.4 0.1 11.5 JPY 16.2 -0.9 -2.2 -0.8 3.9 -0.8 3.4 0.4 1.1 -4.1 -9.0 -2.5 -9.5 -5.8 -8.0 -14.0 -16.4 -15.7 -16.1 -8.7 -10.2 -2.6 -11.7 -5.5 20.0 -3.1 -0.3 -3.4 -0.7 -3.5 -1.9 -20.0 -14.8 -13.8 -12.6 -12.6 -20.0 -11.3 -19.7 -10.7 LEANHOG -20.0 -9.2 18.6 6.1 4.0 3.8 6.7 -0.7 7.3 -12.8 12.1 -20.0 -2.1 -20.0 0.7 -18.4 -20.0 -20.0 -20.0 -4.4 7.3 -20.0 1.6 -19.9 9.1 -1.8 -5.0 4.2 -8.1 2.4 -7.9 -20.0 -20.0 -20.0 -16.1 14.7 -8.7 -9.8 -0.8 10.9 LIVECOW 7.2 -10.3 1.9 4.4 2.9 2.7 4.8 -0.5 5.3 16.5 -0.0 14.5 -0.2 0.5 -3.0 19.5 7.6 20.0 15.2 -1.0 -1.9 15.8 0.5 5.5 -6.0 2.0 14.3 1.9 9.4 4.1 4.4 12.0 16.7 3.5 -11.9 12.3 20.0 20.0 20.0 20.0 LUMBER-new 0.8 -20.0 -8.4 4.8 3.2 3.0 5.3 0.0 5.8 -16.7 -8.1 1.7 -12.3 -14.3 -14.3 -20.0 -18.0 -20.0 -19.7 -20.0 -15.7 -9.7 -8.1 -18.6 NaN -5.4 -2.0 -3.5 -2.0 -1.4 -4.2 -20.0 -19.6 -20.0 -20.0 -20.0 -12.3 -11.0 -4.6 -6.7 MILK 20.0 20.0 18.5 3.4 2.2 2.1 3.7 -0.4 4.0 12.6 -2.4 13.8 -10.2 14.0 10.9 18.8 -20.0 -13.6 -20.0 17.5 2.4 20.0 -10.7 20.0 14.8 3.6 4.6 0.3 5.6 -2.6 5.7 -20.0 20.0 20.0 20.0 7.8 -20.0 -20.0 -18.1 -20.0 MXP 6.4 -12.0 -1.5 -1.9 9.2 -1.8 8.0 0.8 2.7 19.8 16.4 20.0 20.0 3.2 6.8 15.9 17.1 16.6 16.6 9.8 15.1 20.0 20.0 13.1 -20.0 4.9 11.4 7.0 9.5 9.9 5.7 20.0 19.2 6.5 18.4 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro 15.6 -20.0 -6.7 2.6 3.4 3.5 5.0 3.7 3.6 9.7 11.8 12.6 13.0 9.0 7.2 -9.8 -10.3 -10.4 -10.6 6.1 9.8 18.3 15.9 11.6 -20.0 2.0 5.8 4.3 6.5 7.5 3.8 -7.7 -1.4 -1.0 -3.0 -6.7 -1.3 0.4 0.2 0.1 NIKKEI -1.5 -20.0 -1.0 3.1 3.9 4.1 5.8 4.4 4.2 8.9 10.9 9.5 13.8 -4.3 3.3 1.7 8.9 3.8 6.5 2.5 14.3 5.8 20.0 -0.2 -14.9 1.1 3.7 6.4 2.1 10.0 -0.3 20.0 -20.0 -20.0 -13.9 4.5 -8.7 -7.0 -5.8 -8.9 NZD 19.2 -0.8 -5.5 -1.4 6.6 -1.3 5.8 0.6 1.9 14.4 -3.6 15.3 -4.7 8.6 -2.9 0.1 0.2 0.2 0.2 0.6 -3.2 19.1 -3.5 10.6 0.8 0.7 11.0 -1.2 9.8 -1.1 5.5 4.6 14.2 12.9 6.9 0.3 -5.6 -4.6 1.1 7.3 OAT 7.0 -9.7 -6.7 -1.6 0.1 -1.8 1.5 -1.8 0.3 -1.6 -0.7 3.7 -0.3 -2.2 -6.7 5.8 6.1 5.6 5.4 -3.5 -2.4 0.8 -1.9 -1.1 2.4 -1.0 -0.6 0.1 0.5 0.3 -0.4 16.3 -0.1 -6.7 4.3 6.0 -20.0 -19.4 6.5 -1.0 OATIES 20.0 20.0 9.1 4.1 2.7 2.5 4.5 -0.4 4.9 -10.8 -7.3 3.3 -11.9 11.3 10.2 18.3 2.8 13.0 7.7 10.5 0.7 3.6 -5.2 14.8 -20.0 4.0 -5.1 1.0 2.9 -0.7 5.8 1.2 6.0 20.0 20.0 6.4 -14.0 -2.0 0.6 14.1 OJ 20.0 9.1 6.3 5.6 3.7 3.5 6.1 -0.6 6.7 20.0 14.4 20.0 19.2 20.0 20.0 11.7 12.7 8.2 9.3 20.0 20.0 20.0 20.0 20.0 -20.0 6.1 18.6 4.6 17.2 7.6 11.4 12.5 20.0 20.0 20.0 20.0 5.1 8.6 18.3 20.0 PALLAD -6.3 1.2 7.2 2.6 6.7 1.8 5.0 0.9 3.2 6.7 -4.3 2.3 -8.2 -4.2 -0.1 -2.5 -2.2 -2.2 -2.1 -2.0 -4.1 3.1 -10.3 -0.7 13.8 -0.7 4.0 -1.5 2.2 -4.1 -0.1 5.7 -12.4 -11.9 -12.3 -9.5 -20.0 -19.9 -20.0 -12.7 PLAT 20.0 15.8 9.5 3.9 10.0 2.7 7.5 1.3 4.8 13.3 4.2 14.5 -6.5 13.2 9.9 -4.8 -3.9 -4.7 -4.4 14.3 6.2 20.0 0.3 20.0 11.2 4.3 10.4 2.3 9.7 0.9 7.0 2.2 20.0 20.0 11.9 -1.0 -19.8 -6.9 10.1 6.8 REDWHEAT 20.0 20.0 20.0 4.0 2.6 2.5 4.4 -0.4 4.8 -4.3 -0.5 9.1 -12.8 12.5 11.0 -10.6 -1.4 -5.4 -2.8 16.0 2.8 12.0 -10.1 20.0 -6.5 4.5 -0.4 1.0 3.5 -1.9 5.7 -10.0 10.0 20.0 20.0 1.0 -9.3 -20.0 2.5 -19.6 RICE 18.7 16.4 -3.3 3.3 2.2 2.0 3.6 -0.3 3.9 12.0 7.3 13.2 8.8 13.9 9.7 20.0 20.0 20.0 20.0 12.5 8.5 10.4 8.0 15.2 -9.3 2.3 1.4 1.1 2.5 1.0 3.3 20.0 4.6 6.7 5.4 0.2 -3.9 -4.4 -0.7 2.3 ROBUSTA -20.0 -15.4 -7.1 2.0 1.3 1.2 2.2 -0.2 2.4 3.9 6.0 -6.9 7.4 -4.3 1.2 18.3 20.0 20.0 20.0 3.3 11.5 -8.6 13.1 -7.7 -20.0 2.0 0.4 3.5 -0.8 3.8 -0.2 20.0 -1.5 -19.6 16.3 20.0 -6.4 -15.2 4.2 4.3 RUSSELL 15.6 -9.2 5.9 3.0 3.9 4.1 5.8 4.3 4.1 8.2 11.0 13.6 10.2 5.4 3.0 -6.9 -6.5 -6.7 -6.6 5.3 6.4 15.6 6.9 10.9 -2.0 3.1 4.8 3.6 6.9 4.0 5.1 -0.9 -11.1 -1.6 3.8 -11.5 -9.1 -20.0 -10.4 -20.0 SHATZ 4.3 -6.4 -19.4 -1.3 0.1 -1.5 1.2 -1.5 0.2 -4.3 -8.5 -2.0 -8.3 -5.8 -8.3 -20.0 -20.0 -20.0 -20.0 -9.3 -10.4 -2.9 -10.6 -5.4 7.6 -3.2 -1.6 -3.0 -1.3 -2.7 -2.2 -20.0 -5.1 -12.8 -5.7 -9.3 -20.0 -20.0 -17.9 -19.9 SILVER-mini -3.7 13.1 17.7 3.5 9.1 2.5 6.8 1.2 4.4 12.3 9.9 11.4 6.3 10.5 10.8 -6.2 -6.7 -6.6 -6.7 13.8 11.0 20.0 6.3 16.5 2.6 4.3 9.7 3.8 6.8 2.5 4.6 -2.2 20.0 2.6 14.8 16.6 -8.2 -13.7 17.5 5.5 SMI 20.0 -8.6 11.1 3.5 4.5 4.6 6.5 4.9 4.7 16.4 14.9 17.8 12.5 14.1 12.0 -2.7 3.2 -0.4 2.0 17.7 13.3 20.0 9.8 20.0 13.7 6.0 9.0 5.2 9.6 3.9 8.0 15.3 20.0 12.6 15.3 0.3 10.8 -0.4 15.5 -1.7 SOFR 19.7 -11.0 -11.9 -1.7 0.1 -2.0 1.6 -2.0 0.3 1.8 -2.9 8.3 -3.8 -0.6 -6.8 -3.3 -0.8 -2.4 -1.4 -4.7 -6.7 8.9 -5.8 3.3 -2.6 -1.1 2.6 -1.6 3.9 -1.2 1.7 4.8 8.5 7.2 -0.5 0.0 -6.8 -20.0 11.3 -1.0 SOYBEAN 15.2 12.1 2.2 4.5 3.0 2.8 5.0 -0.5 5.4 -12.9 -8.0 6.0 -5.8 7.8 7.6 -0.5 8.9 0.5 3.8 5.5 -4.0 5.6 -9.1 10.1 -20.0 3.1 -0.6 -0.6 2.8 -2.3 4.9 4.4 -1.4 13.6 4.2 -9.9 -15.8 -20.0 -13.4 -20.0 SOYMEAL 20.0 20.0 0.4 3.2 2.1 2.0 3.5 -0.3 3.8 -10.7 -8.0 3.6 -8.7 6.9 3.9 1.4 5.8 -1.2 0.7 8.2 -1.8 4.8 -6.2 12.0 -20.0 3.0 -1.0 0.2 1.8 -0.9 4.0 -0.9 -4.0 20.0 19.2 -4.5 -20.0 -20.0 -20.0 -20.0 SOYOIL -1.8 -6.2 3.5 2.5 1.7 1.6 2.8 -0.3 3.0 7.3 -9.4 1.3 -8.8 -6.4 -7.2 -6.9 -0.5 -7.0 -4.9 -6.9 -7.7 1.6 -8.3 -4.4 -20.0 -2.5 2.7 -2.1 0.4 -1.9 -1.9 -11.2 7.8 -11.9 -17.7 -10.1 -20.0 -15.4 -8.2 3.0 SP400 13.6 -13.3 13.1 3.3 4.3 4.5 6.3 4.8 4.5 7.0 13.8 14.5 13.4 7.2 8.1 -6.7 -5.5 -5.9 -5.6 11.3 14.9 18.3 15.7 14.9 -13.3 4.5 3.4 5.7 6.3 5.9 5.3 0.9 -6.6 1.8 6.8 -0.1 -9.7 -10.5 -8.8 -20.0 SP500_micro 14.4 -20.0 3.9 3.3 4.3 4.5 6.3 4.8 4.5 13.8 15.6 16.4 16.1 11.3 11.3 -11.6 -11.8 -12.2 -12.2 11.9 17.5 20.0 20.0 17.0 -20.0 4.1 7.3 6.7 8.1 8.9 5.4 -10.3 3.3 3.3 1.1 4.3 0.6 -2.5 5.2 -2.7 SUGAR11 -4.1 -20.0 -20.0 3.8 2.5 2.3 4.1 -0.4 4.5 -14.0 -13.9 -14.2 -3.0 -15.2 -14.7 0.6 13.9 5.6 10.0 -20.0 -18.4 -20.0 -8.3 -20.0 -20.0 -5.3 -6.1 -4.5 -5.5 -2.0 -5.4 14.6 -20.0 -20.0 -20.0 -20.0 20.0 11.8 20.0 20.0 US10 18.0 -9.0 -8.9 -1.4 0.1 -1.7 1.3 -1.7 0.3 1.0 -3.1 7.1 -5.2 -0.6 -5.9 -4.8 -7.3 -5.8 -6.7 -4.0 -6.1 6.5 -7.3 2.4 2.5 -0.9 1.8 -1.5 3.0 -1.7 1.4 -5.7 5.7 4.4 -0.1 0.9 -14.2 -20.0 0.6 2.4 US10U 17.1 -9.1 -8.6 -2.2 0.2 -2.5 2.0 -2.5 0.4 3.1 -4.4 10.9 -7.5 -1.3 -9.2 -6.1 -1.9 -4.8 -3.2 -6.2 -9.3 9.9 -11.6 3.2 0.2 -1.3 3.3 -2.1 4.9 -2.7 2.3 2.3 10.0 5.6 0.7 3.3 -13.8 -18.7 19.0 10.0 US2 14.5 -10.3 -18.0 -1.4 0.1 -1.6 1.3 -1.6 0.3 -1.8 -7.4 5.5 -8.4 -3.1 -7.3 -20.0 -20.0 -20.0 -20.0 -7.8 -10.2 2.9 -11.8 -1.1 12.2 -2.1 0.3 -2.4 1.1 -2.5 -0.1 -20.0 -0.5 0.2 -4.7 -7.3 -15.9 -20.0 -10.8 -20.0 US20 17.8 -10.1 -5.4 -1.5 0.1 -1.8 1.4 -1.8 0.3 3.4 -0.4 8.2 -3.4 -0.1 -5.5 -0.7 -0.7 -0.4 -0.4 -3.1 -5.0 8.5 -6.8 3.5 -0.9 -0.1 3.2 -0.6 4.4 -1.3 2.4 5.5 10.1 5.9 2.5 5.9 -16.5 -14.1 20.0 15.4 US30 15.6 -9.6 -3.9 -1.8 0.2 -2.1 1.7 -2.1 0.4 4.0 -2.0 9.6 -5.4 -1.2 -7.0 -0.9 -4.8 -3.0 -4.4 -4.2 -6.5 9.1 -9.0 3.2 -0.4 -0.5 3.7 -1.1 5.1 -1.9 2.5 -1.7 11.6 4.2 2.5 7.7 -16.8 -12.7 16.6 18.2 US5 18.1 -9.6 -13.0 -1.5 0.1 -1.7 1.4 -1.7 0.3 0.3 -6.1 7.0 -7.1 -1.6 -6.9 -9.5 -10.1 -9.6 -9.8 -5.4 -7.8 6.3 -8.7 1.7 5.7 -1.4 1.5 -1.9 2.7 -1.9 1.0 -10.7 4.9 4.5 -1.8 -2.5 -12.5 -20.0 -3.7 -7.5 VIX -19.6 2.0 8.0 -6.1 -6.2 -5.7 -7.8 -7.3 -7.5 -18.7 -20.0 -20.0 -20.0 -20.0 -19.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 NaN -6.8 -7.0 -6.6 -8.8 -8.8 -8.5 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 20.0 20.0 20.0 3.9 2.6 2.4 4.3 -0.4 4.7 -1.8 4.8 10.4 -11.5 13.1 11.7 -17.1 -13.8 -17.2 -15.6 18.7 5.3 17.6 -8.0 20.0 1.3 4.5 0.4 1.4 4.5 -1.1 6.1 -20.0 20.0 20.0 20.0 0.1 -7.9 -20.0 -1.6 -20.0 End of report for caleb_strategy_v3