******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240520_204005 produced at 2024-05-20 21:37:32.933875 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.64 0.0 0.00 -0.08 -0.08 -0.08 -24.82 16.0 -3 -3 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.35 0.0 0.00 0.00 0.00 0.00 -11.01 24.0 0 0 caleb_strategy_v3 SOFR False True 0.07 0.00 -0.30 0.0 0.00 0.00 0.00 0.00 -4.49 11.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.07 -0.22 -0.29 0.0 0.74 -0.74 -0.22 -0.22 -3.94 10.0 -3 -3 caleb_strategy_v3 VIX False False 0.00 -0.25 -0.28 0.0 999.00 -999.00 -0.25 -0.26 -66.37 999999999.0 -60 -61 caleb_strategy_v3 US2 False True 0.06 0.00 -0.24 0.0 0.00 0.00 0.00 0.00 -4.21 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.16 -0.17 0.0 0.50 -0.50 -0.16 -0.16 -4.50 13.0 -4 -4 caleb_strategy_v3 LEANHOG False False 0.01 -0.06 -0.07 0.0 0.14 -0.14 -0.06 -0.06 -6.33 13.0 -5 -5 caleb_strategy_v3 CAD False False 0.02 -0.04 -0.07 0.0 0.60 -0.60 -0.04 -0.04 -3.19 29.0 -2 -2 caleb_strategy_v3 JPY False False 0.02 -0.07 -0.06 0.0 0.38 -0.38 -0.07 -0.07 -2.57 17.0 -3 -3 caleb_strategy_v3 US5 False False 0.03 -0.21 -0.05 0.0 0.74 -0.74 -0.21 -0.21 -1.85 25.0 -7 -7 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.05 0.0 0.09 -0.09 -0.06 -0.06 -1.53 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 -12.76 3.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.04 0.0 0.08 -0.08 -0.01 -0.01 -6.18 12.0 -2 -2 caleb_strategy_v3 BOBL False False 0.04 -0.11 -0.04 0.0 0.68 -0.68 -0.11 -0.11 -1.21 19.0 -3 -3 caleb_strategy_v3 NIKKEI False False 0.01 -0.03 -0.03 0.0 0.25 -0.25 -0.03 -0.03 -4.97 36.0 -4 -4 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.03 0.0 0.14 -0.14 -0.02 -0.02 -12.19 51.0 -6 -6 caleb_strategy_v3 US10 False True 0.03 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.73 17.0 0 0 caleb_strategy_v3 BUND False False 0.04 0.00 -0.02 0.0 0.40 -0.40 0.00 0.00 -0.56 10.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.02 0.0 0.12 -0.12 -0.03 -0.03 -2.33 11.0 -3 -3 caleb_strategy_v3 SUGAR11 False False 0.01 -0.02 -0.02 0.0 0.11 -0.11 -0.02 -0.02 -3.60 18.0 -3 -3 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -9.48 59.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.02 0.0 0.09 -0.09 -0.02 -0.02 -0.86 4.0 -1 -1 caleb_strategy_v3 US10U False False 0.03 -0.16 -0.01 0.0 0.41 -0.41 -0.16 -0.16 -0.24 13.0 -5 -5 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.08 -0.08 -0.03 -0.03 -1.65 10.0 -4 -4 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.36 2.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -0.71 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.12 -0.12 -0.02 -0.02 -0.63 7.0 -1 -1 caleb_strategy_v3 BUXL False False 0.04 -0.08 -0.01 0.0 0.16 -0.16 -0.08 -0.08 -0.31 4.0 -2 -2 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.01 0.0 0.29 -0.29 0.00 0.00 -0.30 8.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.04 -0.01 0.0 0.24 -0.24 -0.04 -0.02 -1.03 23.0 -4 -2 caleb_strategy_v3 OATIES False True 0.01 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.82 2.0 0 0 caleb_strategy_v3 OAT False False 0.04 0.04 -0.00 0.0 0.39 -0.39 0.04 0.00 -0.11 10.0 1 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 0.00 0.0 0.08 -0.08 0.00 0.00 0.19 8.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 -0.01 -0.00 0.0 0.22 -0.22 -0.01 -0.01 -0.03 23.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 -0.13 -0.00 0.0 0.20 -0.20 -0.13 -0.13 -0.94 68.0 -44 -45 caleb_strategy_v3 SP400 False False 0.09 0.17 0.00 0.0 0.17 -0.17 0.17 0.17 0.03 2.0 2 2 caleb_strategy_v3 WHEAT False False 0.01 0.00 0.00 0.0 0.09 -0.09 0.00 0.00 0.27 9.0 0 0 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.02 0.00 0.0 0.00 -0.02 -0.02 -0.01 1.39 26.0 -11 -6 caleb_strategy_v3 US20 False True 0.03 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.15 9.0 0 0 caleb_strategy_v3 US30 False True 0.03 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.01 6.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 0.00 0.0 0.13 -0.13 0.00 0.02 0.01 6.0 0 1 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.50 -0.50 0.00 0.00 0.02 26.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.00 0.00 0.0 0.36 -0.36 0.00 0.04 0.11 10.0 0 1 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.06 -0.06 0.00 0.00 1.25 5.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.01 0.01 0.0 0.39 -0.39 0.01 0.01 1.82 56.0 2 2 caleb_strategy_v3 DOW False False 0.01 0.01 0.01 0.0 0.37 -0.37 0.01 0.02 1.10 66.0 2 4 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.01 0.0 0.36 -0.36 0.00 0.01 0.92 48.0 0 1 caleb_strategy_v3 EUR False False 0.04 0.00 0.02 0.0 0.54 -0.54 0.00 0.00 0.62 14.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.09 0.02 0.0 999.00 -999.00 0.09 0.09 0.56 999999999.0 3 3 caleb_strategy_v3 AUD False False 0.02 0.00 0.03 0.0 0.36 -0.36 0.00 0.00 1.59 19.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 0.03 0.0 0.36 -0.36 0.00 0.00 1.85 21.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.00 0.03 0.0 0.49 -0.49 0.00 0.00 1.41 22.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.04 0.0 999.00 -999.00 0.00 0.00 1.58 999999999.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.04 0.0 0.04 -0.04 0.00 0.00 4.40 4.0 0 0 caleb_strategy_v3 PLAT False False 0.01 0.04 0.04 0.0 0.15 -0.15 0.04 0.04 2.55 10.0 3 3 caleb_strategy_v3 DX False False 0.03 0.00 0.04 0.0 999.00 -999.00 0.00 0.00 1.42 999999999.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.06 -0.06 0.00 0.00 2.64 3.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.17 0.09 0.0 0.31 -0.31 0.17 0.17 5.73 20.0 11 11 caleb_strategy_v3 LIVECOW False False 0.02 0.06 0.09 0.0 0.34 -0.34 0.06 0.08 4.31 17.0 3 4 caleb_strategy_v3 DAX False False 0.01 0.09 0.12 0.0 0.33 -0.33 0.09 0.09 20.56 58.0 15 15 caleb_strategy_v3 CAC True False 0.02 0.00 0.12 0.0 0.00 0.00 0.00 0.00 4.69 12.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.14 0.0 0.11 -0.11 0.02 0.02 6.31 5.0 1 1 caleb_strategy_v3 COPPER False False 0.04 0.22 0.16 0.0 999.00 -999.00 0.22 0.25 4.53 999999999.0 6 7 caleb_strategy_v3 SMI False True 0.04 0.26 0.16 0.0 0.26 0.00 0.26 0.26 4.33 9.0 7 7 caleb_strategy_v3 MXP False False 0.01 0.46 0.71 0.0 0.51 -0.51 0.46 0.48 84.47 60.0 55 57 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 20.5 Shocked risk 60.0 Sum abs risk 52.1 Leverage 5.00 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3555890.26, 'annual_cash_vol_target': 888972.565, 'daily_cash_vol_target': 55560.7853125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6678 0.6157 9.8508 BITCOIN 1821.5623 69555.0000 2.6189 41.9021 BOBL 0.2748 116.5800 0.2357 3.7719 BTP 0.6133 117.9300 0.5201 8.3214 BUND 0.5501 130.5600 0.4213 6.7414 BUXL 1.2907 129.1600 0.9993 15.9885 CAC 48.9273 8145.5000 0.6007 9.6107 CAD 0.0027 0.7345 0.3674 5.8777 CANOLA 7.7727 680.9000 1.1415 18.2646 CHF 0.0046 1.1026 0.4149 6.6387 COCOA 416.3141 6836.0000 6.0900 97.4404 COFFEE 4.1731 205.8000 2.0277 32.4437 COPPER 0.0618 5.1085 1.2097 19.3548 CORN 5.3696 484.2500 1.1089 17.7417 COTTON2 1.3567 75.9200 1.7871 28.5930 CRUDE_W 0.8324 76.8600 1.0830 17.3273 DAX 128.7526 18816.0000 0.6843 10.9484 DOW 232.3327 39954.0000 0.5815 9.3040 DX 0.3504 104.0650 0.3367 5.3876 EUR 0.0042 1.0878 0.3833 6.1329 EURIBOR-ICE 0.0523 97.3650 0.0537 0.8596 EUROSTX 35.4591 5069.0000 0.6995 11.1925 FEEDCOW 2.0353 259.8750 0.7832 12.5308 GASOIL 9.9377 767.5000 1.2948 20.7171 GASOLINE 0.0355 2.5028 1.4197 22.7145 GAS_US_mini 0.0831 2.9000 2.8672 45.8749 GBP 0.0057 1.2712 0.4456 7.1290 GOLD_micro 20.0276 2460.4000 0.8140 13.0240 HEATOIL 0.0312 2.5148 1.2398 19.8375 JGB-SGX-mini 0.2147 143.7100 0.1494 2.3902 JPY 0.0000 0.0064 0.7160 11.4563 LEANHOG 1.1410 99.1250 1.1510 18.4165 LIVECOW 1.3607 178.7500 0.7612 12.1796 LUMBER-new 6.7799 540.5000 1.2544 20.0700 MILK 0.2522 20.1300 1.2529 20.0462 MXP 0.0004 0.0601 0.5838 9.3409 NASDAQ_micro 150.2396 18759.2500 0.8009 12.8141 NIKKEI 364.2584 38740.0000 0.9403 15.0442 NZD 0.0039 0.6108 0.6343 10.1482 OAT 0.5490 125.9800 0.4358 6.9721 OATIES 7.7625 371.0000 2.0923 33.4769 OJ 5.7498 447.2500 1.2856 20.5693 PALLAD 23.1228 1049.0000 2.2043 35.2684 PLAT 17.1098 1062.7000 1.6100 25.7605 REDWHEAT 13.4365 710.0000 1.8925 30.2795 RICE 0.1687 15.5600 1.0841 17.3454 ROBUSTA 68.3937 3446.0000 1.9847 31.7556 RUSSELL 19.8082 2113.7000 0.9371 14.9941 SHATZ 0.0806 105.1350 0.0767 1.2272 SILVER-mini 0.5514 32.6625 1.6882 27.0113 SMI 78.8742 12038.0000 0.6552 10.4834 SOFR 0.0651 96.1300 0.0678 1.0843 SOYBEAN 10.5252 1216.2500 0.8654 13.8461 SOYMEAL 4.9472 368.2000 1.3436 21.4977 SOYOIL 0.7698 46.6600 1.6498 26.3971 SP400 22.5257 3031.3000 0.7431 11.8896 SP500_micro 33.1117 5333.7500 0.6208 9.9327 SUGAR11 0.3065 18.6700 1.6415 26.2645 US10 0.3887 109.0625 0.3564 5.7029 US10U 0.5091 112.2656 0.4535 7.2561 US2 0.0996 101.6719 0.0980 1.5681 US20 0.7515 117.0625 0.6420 10.2714 US30 1.1085 123.8750 0.8948 14.3175 US5 0.2513 105.8047 0.2375 3.8008 VIX 0.4133 14.9500 2.7645 44.2318 WHEAT 12.2101 730.7500 1.6709 26.7343 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 667.80 0.62 411.15 1.00 411.15 55560.79 135.14 4.54 61.35 BITCOIN 69.56 2.62 182.16 1.00 182.16 55560.79 305.02 -2.87 -87.52 BOBL 1165.80 0.24 274.83 1.09 298.57 55560.79 186.09 -6.43 -119.72 BTP 1179.30 0.52 613.34 1.09 666.30 55560.79 83.39 0.39 3.22 BUND 1305.60 0.42 550.10 1.09 597.60 55560.79 92.97 -5.89 -54.76 BUXL 1291.60 1.00 1290.67 1.09 1402.12 55560.79 39.63 -7.61 -30.15 CAC 814.55 0.60 489.27 1.09 531.52 55560.79 104.53 13.14 137.39 CAD 734.45 0.37 269.81 1.00 269.81 55560.79 205.93 -5.98 -123.06 CANOLA 136.18 1.14 155.45 0.73 114.15 55560.79 486.72 -10.29 -501.03 CHF 1378.31 0.41 571.89 1.00 571.89 55560.79 97.15 -17.83 -173.25 COCOA 683.60 6.09 4163.14 1.00 4163.14 55560.79 13.35 0.65 0.87 COFFEE 771.75 2.03 1564.90 1.00 1564.90 55560.79 35.50 0.18 0.63 COPPER 1277.12 1.21 1544.91 1.00 1544.91 55560.79 35.96 11.63 41.81 CORN 242.12 1.11 268.48 1.00 268.48 55560.79 206.94 -12.28 -254.20 COTTON2 379.60 1.79 678.37 1.00 678.37 55560.79 81.90 -13.27 -108.69 CRUDE_W 768.60 1.08 832.36 1.00 832.36 55560.79 66.75 8.73 58.26 DAX 188.16 0.68 128.75 1.09 139.87 55560.79 397.23 15.18 602.84 DOW 199.77 0.58 116.17 1.00 116.17 55560.79 478.29 0.99 47.27 DX 1040.65 0.34 350.42 1.00 350.42 55560.79 158.56 3.46 54.89 EUR 1359.69 0.38 521.18 1.00 521.18 55560.79 106.61 2.23 23.77 EURIBOR-ICE 2434.12 0.05 130.77 1.09 142.06 55560.79 391.10 -2.96 -115.59 EUROSTX 506.90 0.70 354.59 1.09 385.21 55560.79 144.24 11.65 168.05 FEEDCOW 1299.38 0.78 1017.64 1.00 1017.64 55560.79 54.60 -1.66 -9.06 GASOIL 767.50 1.29 993.77 1.00 993.77 55560.79 55.91 -3.54 -19.82 GASOLINE 1051.18 1.42 1492.31 1.00 1492.31 55560.79 37.23 3.49 13.00 GAS_US_mini 72.50 2.87 207.87 1.00 207.87 55560.79 267.29 0.48 12.84 GBP 794.50 0.45 354.00 1.00 354.00 55560.79 156.95 3.47 54.47 GOLD_micro 246.04 0.81 200.28 1.00 200.28 55560.79 277.42 1.92 53.25 HEATOIL 1056.22 1.24 1309.54 1.00 1309.54 55560.79 42.43 -8.30 -35.23 JGB-SGX-mini 143710.00 0.15 21468.22 0.01 137.84 55560.79 403.08 -5.69 -229.21 JPY 803.44 0.72 575.28 1.00 575.28 55560.79 96.58 -10.25 -98.95 LEANHOG 396.50 1.15 456.38 1.00 456.38 55560.79 121.74 -8.56 -104.22 LIVECOW 715.00 0.76 544.27 1.00 544.27 55560.79 102.08 12.75 130.13 LUMBER-new 148.64 1.25 186.45 1.00 186.45 55560.79 298.00 -20.00 -596.00 MILK 402.60 1.25 504.41 1.00 504.41 55560.79 110.15 5.29 58.27 MXP 300.60 0.58 175.49 1.00 175.49 55560.79 316.60 18.18 575.50 NASDAQ_micro 375.18 0.80 300.48 1.00 300.48 55560.79 184.91 -2.41 -44.50 NIKKEI 38740.00 0.94 36425.84 0.01 236.14 55560.79 235.29 -1.95 -45.88 NZD 610.85 0.63 387.44 1.00 387.44 55560.79 143.41 4.98 71.41 OAT 1259.80 0.44 548.96 1.09 596.37 55560.79 93.17 -0.35 -3.31 OATIES 185.50 2.09 388.12 1.00 388.12 55560.79 143.15 2.35 33.63 OJ 670.88 1.29 862.47 1.00 862.47 55560.79 64.42 19.16 123.45 PALLAD 1049.00 2.20 2312.28 1.00 2312.28 55560.79 24.03 -4.41 -10.61 PLAT 531.35 1.61 855.49 1.00 855.49 55560.79 64.95 11.52 74.82 REDWHEAT 355.00 1.89 671.83 1.00 671.83 55560.79 82.70 1.73 14.27 RICE 311.20 1.08 337.37 1.00 337.37 55560.79 164.69 10.98 180.79 ROBUSTA 344.60 1.98 683.94 1.00 683.94 55560.79 81.24 -0.35 -2.87 RUSSELL 105.68 0.94 99.04 1.00 99.04 55560.79 560.99 -0.50 -28.25 SHATZ 1051.35 0.08 80.64 1.09 87.60 55560.79 634.24 -17.12 -1085.87 SILVER-mini 816.56 1.69 1378.52 1.00 1378.52 55560.79 40.30 11.47 46.22 SMI 1203.80 0.66 788.74 1.10 875.11 55560.79 63.49 20.00 126.98 SOFR 2403.25 0.07 162.87 1.00 162.87 55560.79 341.14 -2.17 -73.90 SOYBEAN 608.12 0.87 526.26 1.00 526.26 55560.79 105.58 -6.41 -67.70 SOYMEAL 368.20 1.34 494.72 1.00 494.72 55560.79 112.31 -6.82 -76.64 SOYOIL 279.96 1.65 461.88 1.00 461.88 55560.79 120.29 -14.72 -177.05 SP400 3031.30 0.74 2252.57 1.00 2252.57 55560.79 24.67 0.38 0.94 SP500_micro 266.69 0.62 165.56 1.00 165.56 55560.79 335.60 1.18 39.52 SUGAR11 209.10 1.64 343.25 1.00 343.25 55560.79 161.87 -10.47 -169.44 US10 1090.62 0.36 388.73 1.00 388.73 55560.79 142.93 -4.03 -57.66 US10U 1122.66 0.45 509.13 1.00 509.13 55560.79 109.13 -1.72 -18.75 US2 2033.44 0.10 199.28 1.00 199.28 55560.79 278.80 -11.93 -332.51 US20 1170.62 0.64 751.50 1.00 751.50 55560.79 73.93 1.57 11.60 US30 1238.75 0.89 1108.49 1.00 1108.49 55560.79 50.12 -0.14 -0.70 US5 1058.05 0.24 251.34 1.00 251.34 55560.79 221.06 -6.59 -145.76 VIX 149.50 2.76 413.29 1.00 413.29 55560.79 134.43 -20.00 -268.87 WHEAT 365.38 1.67 610.50 1.00 610.50 55560.79 91.01 2.22 20.23 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 61.346 0.010 2.5 1.592 BITCOIN -87.519 0.043 2.5 -9.477 BOBL -119.718 0.004 2.5 -1.214 BTP 3.224 0.014 2.5 0.110 BUND -54.761 0.004 2.5 -0.555 BUXL -30.148 0.004 2.5 -0.306 CAC 137.386 0.014 2.5 4.686 CAD -123.058 0.010 2.5 -3.193 CANOLA -501.029 0.010 2.5 -12.189 CHF -173.245 0.010 2.5 -4.495 COCOA 0.874 0.009 2.5 0.019 COFFEE 0.633 0.005 2.5 0.007 COPPER 41.812 0.043 2.5 4.528 CORN -254.205 0.010 2.5 -6.184 COTTON2 -108.691 0.009 2.5 -2.328 CRUDE_W 58.259 0.043 2.5 6.309 DAX 602.841 0.014 2.5 20.562 DOW 47.273 0.009 2.5 1.099 DX 54.886 0.010 2.5 1.424 EUR 23.767 0.010 2.5 0.617 EURIBOR-ICE -115.590 0.014 2.5 -3.943 EUROSTX 168.047 0.014 2.5 5.732 FEEDCOW -9.064 0.013 2.5 -0.300 GASOIL -19.816 0.017 2.5 -0.859 GASOLINE 13.001 0.017 2.5 0.564 GAS_US_mini 12.841 0.043 2.5 1.391 GBP 54.474 0.010 2.5 1.413 GOLD_micro 53.253 0.014 2.5 1.816 HEATOIL -35.225 0.017 2.5 -1.527 JGB-SGX-mini -229.211 0.043 2.5 -24.821 JPY -98.949 0.010 2.5 -2.567 LEANHOG -104.223 0.024 2.5 -6.334 LIVECOW 130.126 0.013 2.5 4.312 LUMBER-new -595.996 0.009 2.5 -12.757 MILK 58.267 0.009 2.5 1.248 MXP 575.497 0.059 2.5 84.467 NASDAQ_micro -44.501 0.009 2.5 -1.034 NIKKEI -45.877 0.043 2.5 -4.968 NZD 71.412 0.010 2.5 1.853 OAT -3.307 0.014 2.5 -0.113 OATIES 33.629 0.010 2.5 0.818 OJ 123.454 0.009 2.5 2.644 PALLAD -10.608 0.014 2.5 -0.362 PLAT 74.817 0.014 2.5 2.552 REDWHEAT 14.269 0.005 2.5 0.189 RICE 180.792 0.010 2.5 4.398 ROBUSTA -2.873 0.005 2.5 -0.034 RUSSELL -28.249 0.013 2.5 -0.936 SHATZ -1085.866 0.004 2.5 -11.011 SILVER-mini 46.215 0.014 2.5 1.576 SMI 126.980 0.014 2.5 4.331 SOFR -73.902 0.024 2.5 -4.491 SOYBEAN -67.695 0.004 2.5 -0.630 SOYMEAL -76.644 0.004 2.5 -0.713 SOYOIL -177.053 0.004 2.5 -1.648 SP400 0.937 0.013 2.5 0.031 SP500_micro 39.515 0.009 2.5 0.918 SUGAR11 -169.436 0.009 2.5 -3.603 US10 -57.656 0.005 2.5 -0.731 US10U -18.754 0.005 2.5 -0.238 US2 -332.514 0.005 2.5 -4.214 US20 11.602 0.005 2.5 0.147 US30 -0.698 0.005 2.5 -0.009 US5 -145.757 0.005 2.5 -1.847 VIX -268.870 0.099 2.5 -66.368 WHEAT 20.225 0.005 2.5 0.268 ===================== Position diags ===================== AUD 3.51 BITCOIN 33.03 BOBL 1.89 BTP 2.84 BUND 0.94 BUXL 0.40 CAC 3.57 CAD 5.34 CANOLA 11.84 CHF 2.52 COCOA 0.29 COFFEE 0.41 COPPER 3.89 CORN 5.03 COTTON2 1.75 CRUDE_W 7.23 DAX 13.55 DOW 11.12 DX 4.11 EUR 2.77 EURIBOR-ICE 13.34 EUROSTX 4.92 FEEDCOW 1.81 GASOIL 2.42 GASOLINE 1.61 GAS_US_mini 28.94 GBP 4.07 GOLD_micro 9.46 HEATOIL 1.84 JGB-SGX-mini 43.65 JPY 2.51 LEANHOG 7.40 LIVECOW 3.38 LUMBER-new 6.38 MILK 2.36 MXP 46.47 NASDAQ_micro 4.30 NIKKEI 25.48 NZD 3.72 OAT 3.18 OATIES 3.48 OJ 1.38 PALLAD 0.82 PLAT 2.22 REDWHEAT 1.10 RICE 4.01 ROBUSTA 0.95 RUSSELL 18.59 SHATZ 6.43 SILVER-mini 1.37 SMI 2.17 SOFR 20.73 SOYBEAN 0.98 SOYMEAL 1.04 SOYOIL 1.12 SP400 0.82 SP500_micro 7.80 SUGAR11 3.44 US10 1.81 US10U 1.38 US2 3.53 US20 0.94 US30 0.64 US5 2.80 VIX 33.18 WHEAT 1.21 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.6 1.2 1.9 0.0 0 BITCOIN -9.5 -12.8 -6.2 0.0 0 BOBL -1.2 -1.4 -1.0 -3.0 -3 BTP 0.1 -0.2 0.4 0.0 0 BUND -0.6 -0.6 -0.5 0.0 0 BUXL -0.3 -0.3 -0.3 -2.0 -2 CAC 4.7 4.3 5.0 0.0 0 CAD -3.2 -3.7 -2.7 -2.0 -2 CANOLA -12.2 -13.4 -11.0 -6.0 -6 CHF -4.5 -4.7 -4.2 -4.0 -4 COCOA 0.0 -0.0 0.0 0.0 0 COFFEE 0.0 -0.0 0.0 0.0 0 COPPER 4.5 4.1 4.9 6.0 6 CORN -6.2 -6.7 -5.7 -2.0 -2 COTTON2 -2.3 -2.5 -2.2 -3.0 -3 CRUDE_W 6.3 5.6 7.0 1.0 1 DAX 20.6 19.2 21.9 15.0 15 DOW 1.1 -0.0 2.2 2.0 2 DX 1.4 1.0 1.8 NaN 0 EUR 0.6 0.3 0.9 0.0 0 EURIBOR-ICE -3.9 -5.3 -2.6 -3.0 -3 EUROSTX 5.7 5.2 6.2 11.0 11 FEEDCOW -0.3 -0.5 -0.1 0.0 0 GASOIL -0.9 -1.1 -0.6 -1.0 -1 GASOLINE 0.6 0.4 0.7 3.0 3 GAS_US_mini 1.4 -1.5 4.3 -11.0 -11 GBP 1.4 1.0 1.8 0.0 0 GOLD_micro 1.8 0.9 2.8 2.0 2 HEATOIL -1.5 -1.7 -1.3 -2.0 -2 JGB-SGX-mini -24.8 -29.2 -20.5 -3.0 -3 JPY -2.6 -2.8 -2.3 -3.0 -3 LEANHOG -6.3 -7.1 -5.6 -5.0 -5 LIVECOW 4.3 4.0 4.7 3.0 3 LUMBER-new -12.8 -13.4 -12.1 NaN 0 MILK 1.2 1.0 1.5 NaN 0 MXP 84.5 79.8 89.1 55.0 55 NASDAQ_micro -1.0 -1.5 -0.6 -4.0 -4 NIKKEI -5.0 -7.5 -2.4 -4.0 -4 NZD 1.9 1.5 2.2 0.0 0 OAT -0.1 -0.4 0.2 1.0 1 OATIES 0.8 0.5 1.2 NaN 0 OJ 2.6 2.5 2.8 NaN 0 PALLAD -0.4 -0.4 -0.3 0.0 0 PLAT 2.6 2.3 2.8 3.0 3 REDWHEAT 0.2 0.1 0.3 0.0 0 RICE 4.4 4.0 4.8 NaN 0 ROBUSTA -0.0 -0.1 0.1 -1.0 -1 RUSSELL -0.9 -2.8 0.9 -44.0 -44 SHATZ -11.0 -11.7 -10.4 NaN 0 SILVER-mini 1.6 1.4 1.7 0.0 0 SMI 4.3 4.1 4.5 7.0 7 SOFR -4.5 -6.6 -2.4 NaN 0 SOYBEAN -0.6 -0.7 -0.5 -1.0 -1 SOYMEAL -0.7 -0.8 -0.6 0.0 0 SOYOIL -1.6 -1.8 -1.5 -4.0 -4 SP400 0.0 -0.1 0.1 2.0 2 SP500_micro 0.9 0.1 1.7 0.0 0 SUGAR11 -3.6 -3.9 -3.3 -3.0 -3 US10 -0.7 -0.9 -0.5 0.0 0 US10U -0.2 -0.4 -0.1 -5.0 -5 US2 -4.2 -4.6 -3.9 NaN 0 US20 0.1 0.1 0.2 0.0 0 US30 -0.0 -0.1 0.1 0.0 0 US5 -1.8 -2.1 -1.6 -7.0 -7 VIX -66.4 -69.7 -63.0 -60.0 -60 WHEAT 0.3 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 0.2 0.1 -0.0 0.0 -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 0.1 -0.1 0.1 0.4 0.0 0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 0.5 0.5 0.2 -0.4 -0.3 -0.1 -0.0 BITCOIN -0.3 -0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.3 0.2 0.6 -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 0.1 0.4 0.0 -0.2 -0.5 -0.6 -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 -0.1 -0.2 -0.0 -0.2 -0.1 -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 0.1 -0.2 0.2 0.6 -0.3 -0.3 0.5 0.1 BUND 0.2 -0.3 -0.2 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.2 -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 0.1 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 -0.1 -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 0.3 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 -0.1 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 0.1 -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 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.1 -0.2 -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 -0.5 -0.6 -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 -0.1 -0.6 0.4 0.6 0.2 0.0 0.3 0.3 COFFEE -0.6 0.1 0.3 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 -0.0 0.2 -0.0 -2.4 0.0 0.0 0.1 -0.0 0.1 0.0 0.5 0.2 -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 -1.8 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 0.6 0.1 0.0 0.1 0.1 -0.0 0.1 -0.0 -0.2 0.1 -0.6 0.1 0.1 -0.4 -0.2 -0.4 -0.3 0.1 -0.0 0.0 -0.4 0.1 -2.1 0.0 -0.0 -0.1 0.0 -0.2 0.1 -1.1 -0.2 0.3 0.3 -0.3 -0.6 -0.7 -0.6 -0.0 COTTON2 -0.2 -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 -0.1 -0.6 -0.6 0.0 -0.3 -0.5 0.2 -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 -0.1 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 0.1 0.1 -0.0 0.3 -0.0 -0.1 -0.1 -0.3 0.1 0.1 0.7 0.6 0.7 0.6 DAX 0.4 -0.6 0.3 0.0 0.0 0.1 0.1 0.2 0.1 0.0 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 0.0 0.3 0.1 -0.5 0.1 0.0 0.6 0.6 -0.0 0.2 0.1 0.5 DOW 0.6 -0.4 -0.1 0.0 0.0 0.1 0.1 0.2 0.1 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 0.5 0.2 -1.8 0.0 0.0 0.1 0.1 0.2 0.1 -0.5 0.1 0.1 0.2 -0.3 0.1 -0.2 0.3 -0.4 DX -0.5 0.2 0.3 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.1 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 0.2 -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 -0.0 0.1 0.0 0.0 0.2 -0.2 0.2 -0.3 0.1 -0.0 -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 0.2 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 -0.1 -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 0.3 -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 -0.7 0.3 FEEDCOW 0.1 -0.3 -0.1 0.1 0.0 0.1 0.1 -0.0 0.1 0.1 -0.1 0.1 -0.1 0.0 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.1 -0.0 0.0 -0.9 -0.0 0.1 -0.0 0.1 0.1 0.0 -1.1 0.4 -0.0 -0.5 0.0 0.7 0.7 0.7 0.7 GASOIL -0.5 -0.5 0.0 -0.0 0.1 0.1 0.0 0.2 -0.0 0.2 0.1 -0.1 0.5 -0.2 -0.1 -0.1 0.3 0.1 0.2 -0.1 0.0 -0.0 0.4 -0.2 0.9 -0.0 0.0 0.0 -0.0 0.2 -0.1 0.3 -0.1 -0.4 -0.5 -0.3 -0.5 -0.3 -0.7 -0.7 GASOLINE -0.6 -0.4 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 -0.0 0.4 -0.1 -2.7 -0.0 0.0 0.1 -0.0 0.2 -0.1 -0.0 -0.4 -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 -0.0 -0.4 -0.4 -0.4 -0.4 0.0 -0.2 0.2 -0.5 0.2 2.7 0.0 0.2 -0.2 0.2 -0.3 0.1 -1.1 0.5 0.6 0.4 -0.6 -0.4 -0.2 -0.6 -0.3 GBP 0.4 -0.2 -0.1 -0.0 0.1 -0.1 0.1 0.0 0.0 0.2 0.2 0.2 0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.2 0.0 0.1 0.2 0.0 0.1 0.0 0.2 0.1 0.1 0.2 0.3 0.5 0.3 0.3 -0.7 -0.5 -0.7 -0.2 GOLD_micro -0.3 0.2 0.6 0.0 0.1 0.1 0.1 0.0 0.1 0.1 0.3 0.1 0.4 0.1 0.1 -0.2 -0.3 -0.3 -0.3 0.2 0.2 0.2 0.4 0.2 -0.5 0.0 0.0 0.1 0.0 0.1 0.0 -0.8 -0.0 -0.3 0.6 0.6 -0.4 -0.5 -0.0 -0.3 HEATOIL -0.5 -0.4 -0.1 -0.0 0.1 0.1 0.0 0.2 -0.0 0.2 -0.1 -0.1 0.3 -0.2 -0.2 -0.1 0.3 0.0 0.2 -0.1 -0.0 -0.0 0.2 -0.2 -2.7 -0.1 0.0 -0.0 -0.0 0.2 -0.1 0.1 -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 -0.1 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 -0.5 -0.4 -0.4 -0.1 -0.5 -0.3 -0.0 0.4 JPY 0.4 -0.0 -0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.1 -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 -0.3 -0.5 -0.4 -0.4 -0.7 -0.4 -0.7 -0.4 LEANHOG -0.6 -0.4 0.6 0.1 0.0 0.1 0.1 -0.0 0.1 -0.2 0.3 -0.2 -0.1 -0.2 -0.0 -0.3 -0.4 -0.4 -0.4 -0.1 0.1 -0.2 0.0 -0.2 1.2 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 -0.6 0.4 -0.3 -0.3 -0.0 0.4 LIVECOW 0.3 -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 0.2 0.0 0.1 -0.8 0.0 0.1 0.1 0.1 0.1 0.1 0.6 0.5 0.1 -0.3 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 -0.6 -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 -0.0 0.1 -0.4 0.2 0.1 0.4 -0.4 -0.2 -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 0.3 -0.4 -0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 0.2 0.5 0.2 0.7 0.1 0.1 0.3 0.3 0.3 0.3 0.1 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 0.4 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro 0.6 -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 0.1 -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 -0.5 0.1 -0.3 -0.2 -0.2 -0.3 NZD 0.6 0.0 -0.2 -0.0 0.0 -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 0.3 0.0 -0.2 -0.2 0.0 0.2 OAT 0.2 -0.3 -0.2 -0.0 -0.0 -0.1 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 0.0 -0.1 -0.2 -0.0 -0.4 0.1 0.1 0.3 0.1 0.2 0.1 0.1 0.0 -0.0 -0.1 0.1 -2.7 0.0 -0.0 0.0 0.0 -0.0 0.0 0.1 0.0 0.6 0.6 0.2 -0.4 -0.1 0.0 0.5 OJ 0.6 0.4 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 0.3 0.3 0.2 0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 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 -0.1 0.1 0.2 0.0 0.1 0.0 0.1 0.0 0.0 0.1 -0.1 0.1 -0.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.3 0.0 1.9 -0.0 0.1 -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 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.2 0.0 0.2 1.5 0.0 0.0 0.1 0.1 0.0 0.1 0.1 0.3 0.6 0.3 -0.0 -0.7 -0.2 0.3 0.2 REDWHEAT 0.5 0.6 0.6 0.0 0.0 0.1 0.0 -0.0 0.1 0.1 0.0 0.1 -0.4 0.1 0.1 -0.2 -0.0 -0.1 -0.1 0.2 0.0 0.1 -0.2 0.2 -0.8 0.0 0.0 0.0 0.0 -0.1 0.1 -0.5 0.3 0.6 0.6 0.1 -0.3 -0.7 0.1 -0.7 RICE 0.6 0.6 -0.1 0.0 0.0 0.1 0.0 -0.0 0.0 0.1 0.2 0.2 0.3 0.2 0.1 0.4 0.4 0.4 0.4 0.1 0.1 0.1 0.2 0.2 -1.3 0.0 0.0 0.0 0.0 0.0 0.0 1.1 0.1 0.2 0.3 0.0 -0.1 -0.1 -0.0 0.1 ROBUSTA -0.6 -0.6 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.2 -0.1 0.3 -0.1 0.0 0.3 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 0.1 -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 0.2 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 0.2 -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 -0.1 -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 -0.2 -0.4 -0.2 -0.3 -0.7 -0.7 -0.6 -0.6 SILVER-mini 0.0 0.4 0.6 0.0 0.1 0.1 0.1 0.0 0.1 0.1 0.3 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 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 0.3 0.5 0.6 -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 -0.3 -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 -0.0 -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 0.1 0.0 0.1 0.1 -0.0 0.1 -0.0 -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 0.1 -0.1 0.1 0.2 -0.1 0.5 0.1 -0.3 -0.5 -0.7 -0.5 -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 -0.3 0.6 0.6 -0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.0 -0.2 0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.2 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 0.3 -0.3 -0.6 -0.3 -0.7 -0.5 -0.3 0.1 SP400 0.5 -0.4 0.4 0.0 0.0 0.1 0.1 0.2 0.1 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 0.1 0.0 0.2 0.1 0.2 0.1 0.0 -0.2 0.0 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 0.1 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 0.2 0.1 0.1 0.0 -0.1 0.2 -0.1 SUGAR11 -0.0 -0.6 -0.6 0.0 0.0 0.1 0.0 -0.0 0.0 -0.1 -0.4 -0.1 -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 -0.0 -0.1 -0.0 -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 0.0 -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 0.0 -0.1 0.0 0.1 0.2 0.2 0.0 0.1 -0.4 -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 0.0 -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 -0.3 -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 -0.5 -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 0.0 -0.1 0.0 -0.1 0.3 0.1 0.1 0.3 -0.6 -0.4 0.5 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 0.0 -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 -0.2 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 -0.1 -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 0.0 0.1 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 0.1 -0.0 0.1 -1.1 0.5 0.6 0.6 0.1 -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 17.0 4.8 1.7 -1.2 5.0 -1.4 5.9 0.7 2.5 11.2 -2.3 15.7 -7.9 14.9 8.4 -2.5 -2.8 -2.7 -2.7 6.0 0.6 15.1 -3.2 12.9 2.9 3.6 5.3 1.0 7.9 -0.8 6.9 -0.5 1.5 14.7 15.5 7.0 -12.8 -8.0 -4.2 -0.7 BITCOIN -8.3 -14.2 2.7 5.4 13.7 3.7 11.0 1.8 7.2 17.9 12.9 14.5 15.3 -0.6 7.8 -6.2 -7.2 -7.2 -7.6 6.3 17.8 16.6 20.0 4.6 -20.0 4.5 8.5 10.1 5.3 12.0 2.2 -3.6 -20.0 -18.1 -20.0 20.0 -11.0 -1.5 11.7 2.8 BOBL 4.8 -7.5 -11.8 -1.3 -0.5 -1.6 0.8 -1.6 0.2 -6.5 -5.7 -1.3 -4.3 -5.0 -7.6 13.7 -5.9 7.0 -1.4 -5.8 -5.5 -2.7 -4.9 -3.6 4.6 -2.6 -2.8 -2.1 -1.7 -1.7 -2.0 -1.3 -3.8 -10.5 0.3 -1.1 -20.0 -19.6 0.8 -11.6 BTP 5.3 -10.9 -2.3 -2.1 -0.8 -2.5 1.4 -2.6 0.3 1.0 9.3 7.8 9.3 0.7 -2.2 4.6 5.9 4.8 5.0 1.2 4.5 3.0 6.4 2.0 -20.0 2.1 0.3 4.8 1.7 5.8 1.4 15.9 2.9 -5.7 7.7 18.3 -10.4 -9.9 16.2 2.5 BUND 5.3 -7.9 -7.2 -1.4 -0.5 -1.7 0.9 -1.7 0.2 -6.1 -2.6 1.0 -2.0 -3.7 -7.1 -9.4 -1.0 -7.8 -4.8 -4.2 -3.5 -1.5 -3.4 -2.3 2.0 -1.4 -2.9 -0.7 -1.2 -0.6 -1.3 1.9 -1.7 -9.4 4.3 4.2 -20.0 -20.0 4.8 -9.1 BUXL 3.7 -7.7 -2.0 -1.8 -0.6 -2.1 1.1 -2.1 0.3 -8.2 -0.9 -0.4 -2.6 -4.6 -7.6 -8.4 -3.0 -7.1 -5.1 -4.2 -3.0 -2.6 -4.2 -3.0 -1.9 -0.6 -4.0 0.7 -2.1 -0.1 -1.5 0.0 -4.1 -12.9 7.8 9.4 -20.0 -20.0 -8.9 -6.0 CAC 8.8 -16.6 15.2 5.1 5.6 6.6 8.7 7.0 6.8 10.1 20.0 19.0 20.0 18.0 20.0 5.1 2.8 10.2 6.6 20.0 20.0 19.1 20.0 20.0 -13.1 9.1 1.1 10.2 5.8 9.5 8.1 17.7 3.7 -2.9 20.0 18.8 -8.9 7.6 -12.0 11.6 CAD 8.1 -5.8 -6.4 -1.6 6.8 -1.9 8.0 0.9 3.4 16.3 -12.0 19.6 -11.4 1.8 -10.5 -3.0 -2.4 -2.8 -2.6 -6.1 -8.8 9.8 -8.6 2.8 -0.9 -3.4 5.5 -5.1 6.7 -4.9 2.2 0.0 -4.5 -5.2 -0.3 -3.3 -9.7 -12.9 -0.9 -9.2 CANOLA 10.7 18.1 17.2 2.5 1.6 1.5 2.7 -0.3 3.0 1.7 -4.4 6.4 -7.3 6.2 6.7 -15.0 -8.5 -15.3 -13.5 4.2 -2.6 6.0 -9.2 6.8 -20.0 1.8 1.8 -1.2 2.5 -4.4 2.9 -20.0 7.3 8.1 3.6 -3.7 -20.0 -16.7 -8.6 -4.1 CHF 16.1 -9.4 -20.0 -1.4 5.9 -1.6 7.0 0.8 3.0 -16.4 -18.3 7.4 -13.2 -6.8 -17.8 -16.7 -16.1 -16.5 -16.2 -19.9 -20.0 -2.7 -15.1 -6.8 1.6 -6.2 -3.5 -6.9 -1.1 -3.9 -2.3 -20.0 -20.0 -18.0 -17.7 -20.0 0.6 -16.0 7.5 -13.8 COCOA -20.0 -20.0 -15.1 1.7 1.1 1.0 1.7 -0.1 1.9 -4.8 3.9 -5.8 5.3 -4.6 1.5 13.9 14.9 20.0 20.0 0.8 5.9 -7.5 6.3 -5.7 -15.0 1.5 -0.7 3.1 -1.0 3.5 -0.4 20.0 -5.5 -20.0 11.5 20.0 5.8 1.0 10.5 8.0 COFFEE -20.0 2.1 7.8 3.6 2.5 2.2 3.8 -0.3 4.2 11.7 7.6 -7.5 7.7 -4.4 0.0 6.7 8.4 9.8 9.9 4.0 10.2 -2.1 8.9 -4.5 -17.9 2.6 2.2 3.8 -0.1 3.2 0.1 9.2 10.3 -20.0 20.0 18.9 0.5 -18.9 9.9 -6.3 COPPER 2.4 20.0 20.0 4.3 10.9 2.9 8.7 1.4 5.7 14.5 15.1 15.5 8.6 15.8 16.1 4.9 -3.8 -0.6 -2.8 20.0 20.0 20.0 12.6 20.0 -13.6 5.8 7.3 4.4 7.1 2.5 6.4 3.2 20.0 20.0 20.0 20.0 -17.7 -3.5 8.5 6.4 CORN 11.1 13.4 17.7 4.8 3.3 3.0 5.0 -0.4 5.6 -5.4 -6.3 4.9 -17.1 11.0 10.3 -18.4 -11.3 -18.8 -16.5 5.5 -4.5 2.0 -15.1 8.1 -15.7 3.3 -2.0 -2.0 1.5 -6.4 4.9 -20.0 -9.8 10.5 8.4 -10.3 -17.1 -20.0 -16.9 -0.1 COTTON2 -7.0 -20.0 -7.2 2.5 1.7 1.6 2.6 -0.2 2.9 -4.9 -6.6 -6.8 -3.4 -9.2 -9.2 5.2 3.8 8.2 5.7 -13.6 -7.7 -8.0 -2.9 -13.3 -17.8 -2.5 -0.8 -0.6 -1.8 0.7 -2.9 0.7 -6.1 -20.0 -20.0 1.2 -8.9 -13.9 4.6 -0.3 CRUDE_W -20.0 -6.0 7.5 -0.3 9.0 3.5 2.1 5.1 -2.7 20.0 8.5 -11.5 15.6 -15.2 8.0 13.4 12.1 14.4 13.2 1.1 11.1 -0.2 16.1 -7.4 -5.5 -0.3 5.7 4.6 -0.3 7.3 -3.9 -1.1 -3.7 -8.1 2.7 2.7 20.0 16.7 20.0 18.7 DAX 11.5 -20.0 10.8 4.2 4.6 5.4 7.2 5.7 5.6 5.2 19.5 15.2 19.5 14.3 17.0 -10.1 -11.5 -11.5 -12.1 20.0 20.0 17.6 20.0 20.0 13.0 7.7 1.0 8.9 4.2 8.0 6.1 -10.0 2.3 0.6 20.0 19.9 -0.3 6.7 1.8 15.4 DOW 20.0 -12.1 -4.0 3.6 3.9 4.6 6.0 4.8 4.7 12.5 13.9 16.4 14.4 9.7 4.3 -11.1 -11.2 -11.7 -11.8 10.0 12.0 20.0 16.8 19.1 -13.5 4.2 5.4 5.3 8.4 6.9 6.7 -9.4 5.0 3.0 6.4 -8.1 4.3 -6.5 10.3 -13.3 DX -16.4 7.3 8.7 -1.5 6.4 -1.8 7.6 0.9 3.2 -14.3 14.5 -18.5 12.3 -2.8 11.3 7.3 6.7 7.3 7.0 7.6 12.4 -18.1 10.8 -6.9 -20.0 3.1 -6.3 4.8 -7.6 4.2 -2.9 16.0 -20.0 -20.0 20.0 20.0 11.0 6.1 14.6 13.9 EUR 15.0 -3.5 -3.9 -1.6 6.6 -1.8 7.9 0.9 3.3 17.3 -7.6 20.0 -8.8 11.0 -3.5 -7.1 -6.9 -7.0 -6.8 -0.6 -6.1 19.9 -6.0 11.8 20.0 1.6 9.0 -0.9 11.7 -1.1 7.5 -7.4 10.2 12.1 6.0 4.4 -20.0 -16.5 -20.0 -12.8 EURIBOR-ICE 8.3 -17.6 -15.5 -1.2 -0.5 -1.5 0.8 -1.5 0.2 -6.1 -0.3 0.8 1.0 -3.8 -6.4 -6.0 -4.4 -4.8 -4.0 -4.9 -2.8 -1.5 -0.3 -2.7 12.1 -2.2 -2.1 -0.9 -0.9 0.3 -1.5 -0.5 -2.0 -7.2 -3.0 -1.5 -20.0 -20.0 2.9 11.0 EUROSTX 7.8 -19.4 13.4 4.6 5.0 5.9 7.7 6.2 6.1 10.5 20.0 18.3 20.0 16.7 20.0 -7.7 -0.9 -4.8 -2.1 20.0 20.0 17.3 20.0 19.7 -1.5 8.5 1.6 10.7 4.8 10.4 6.6 8.2 -1.5 -3.9 20.0 20.0 -14.2 6.3 -19.7 10.3 FEEDCOW 4.0 -10.2 -3.2 4.7 3.2 2.9 4.9 -0.4 5.5 14.5 -2.4 7.2 -2.8 2.0 -4.4 -20.0 -20.0 -20.0 -20.0 -4.4 -5.0 13.8 -1.3 2.8 -6.6 -0.6 9.4 -0.9 6.7 1.9 2.2 -20.0 18.6 -0.7 -15.9 0.2 20.0 20.0 20.0 20.0 GASOIL -16.7 -13.9 0.8 -0.3 8.2 3.2 1.9 4.6 -2.4 17.5 5.1 -9.4 14.7 -19.0 -8.0 -2.6 17.1 6.2 12.5 -10.3 2.9 -3.6 14.1 -15.2 6.9 -4.4 5.4 0.5 -1.2 4.5 -6.0 4.9 -3.5 -12.2 -15.8 -8.8 -15.9 -9.5 -20.0 -19.9 GASOLINE -20.0 -11.2 9.3 -0.3 8.3 3.2 1.9 4.6 -2.4 11.2 13.6 -11.9 16.7 -14.5 7.1 20.0 13.7 18.3 12.7 -1.0 11.0 -5.0 15.9 -11.3 -20.0 -1.1 2.9 4.0 -2.3 6.9 -5.2 -0.1 -15.7 -13.8 -6.2 6.4 20.0 20.0 20.0 20.0 GAS_US_mini 20.0 20.0 10.5 -0.2 6.9 2.7 1.6 3.9 -2.0 18.1 -18.2 19.5 -20.0 16.9 -4.2 -20.0 -20.0 -20.0 -20.0 3.3 -14.8 20.0 -20.0 19.1 20.0 0.9 17.5 -5.6 13.9 -8.6 8.1 -20.0 20.0 20.0 11.9 -20.0 -10.5 -5.4 -19.2 -10.3 GBP 13.4 -5.9 -4.4 -1.7 6.8 -1.9 8.1 1.0 3.4 20.0 6.4 20.0 4.4 11.8 -3.8 -1.1 -0.8 -1.0 -0.8 0.8 -1.1 20.0 1.8 12.1 1.5 2.6 15.5 1.7 14.6 2.3 8.2 3.0 14.0 15.0 7.9 9.7 -20.0 -14.3 -20.0 -7.0 GOLD_micro -10.1 5.0 20.0 3.5 8.9 2.4 7.2 1.1 4.7 11.8 12.1 9.5 10.7 10.1 11.3 -11.8 -14.2 -13.1 -13.8 17.2 18.4 18.2 13.9 14.3 -3.6 4.3 5.0 4.8 3.8 3.8 3.1 -15.0 -2.1 -8.8 17.6 20.0 -11.0 -15.4 -0.9 -7.7 HEATOIL -15.7 -13.7 -1.8 -0.3 8.5 3.3 2.0 4.8 -2.5 17.6 -3.4 -11.8 9.1 -20.0 -14.2 -7.1 16.7 2.2 10.2 -13.4 -2.4 -3.9 8.2 -16.4 -20.0 -5.1 5.1 -0.2 -1.2 4.6 -6.2 2.7 -7.3 -12.6 -20.0 -12.7 12.2 5.8 4.6 1.2 JGB-SGX-mini -0.7 -19.8 -11.6 -1.6 -0.6 -1.9 1.0 -1.9 0.2 -9.2 -0.3 -8.9 2.8 -9.5 -9.6 19.5 16.6 17.1 15.3 -9.1 -5.3 -9.0 -0.6 -9.3 -9.0 -3.4 -3.4 -2.4 -3.1 -1.2 -3.3 20.0 -19.9 -13.0 -11.3 -3.3 -15.9 -8.2 -0.1 11.7 JPY 13.5 -1.1 -2.2 -0.6 2.6 -0.7 3.1 0.4 1.3 -6.8 -9.0 -3.6 -9.5 -6.1 -8.0 -13.9 -16.4 -15.6 -16.1 -8.8 -10.3 -3.5 -11.9 -5.8 20.0 -3.1 -1.0 -3.4 -1.0 -3.6 -2.0 -20.0 -14.4 -14.4 -12.8 -12.8 -20.0 -11.2 -19.5 -10.7 LEANHOG -20.0 -11.1 17.9 6.3 4.3 3.9 6.6 -0.5 7.3 -20.0 11.6 -20.0 -2.1 -20.0 -0.8 -15.5 -20.0 -20.0 -20.0 -5.8 6.6 -20.0 1.4 -20.0 9.0 -2.3 -6.7 3.8 -8.7 2.3 -8.3 -20.0 -20.0 -20.0 -18.6 12.6 -9.2 -9.9 -1.3 10.7 LIVECOW 7.7 -8.7 1.6 4.6 3.2 2.9 4.8 -0.4 5.4 15.7 0.3 15.7 -0.1 3.9 -2.3 19.5 7.8 20.0 15.3 0.3 -1.5 18.3 0.6 7.9 -6.2 2.5 12.5 2.1 10.2 4.1 5.4 12.2 20.0 4.2 -9.1 12.6 20.0 20.0 20.0 20.0 LUMBER-new 0.7 -20.0 -9.1 5.0 3.4 3.2 5.3 0.1 5.9 -16.8 -8.7 1.3 -12.6 -14.7 -14.7 -20.0 -18.0 -20.0 -19.7 -20.0 -16.4 -10.0 -8.6 -18.9 NaN -5.5 -1.7 -3.7 -2.1 -1.5 -4.2 -20.0 -19.4 -17.2 -20.0 -20.0 -12.5 -11.0 -4.7 -6.7 MILK 20.0 20.0 19.0 3.5 2.4 2.2 3.7 -0.3 4.1 11.6 -1.9 13.6 -10.0 14.1 11.4 20.0 -20.0 -11.9 -20.0 18.6 3.3 20.0 -10.4 20.0 15.0 3.7 3.5 0.5 5.2 -2.4 5.7 -20.0 20.0 20.0 20.0 8.2 -20.0 -20.0 -17.9 -20.0 MXP 9.6 -12.0 -1.4 -1.5 6.3 -1.7 7.5 0.9 3.2 20.0 16.9 20.0 20.0 5.8 8.1 16.0 17.1 16.7 16.6 11.6 16.1 20.0 20.0 16.1 -20.0 5.3 11.9 7.0 10.5 9.7 6.7 20.0 20.0 12.5 18.2 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro 17.7 -17.5 -6.0 2.8 3.1 3.6 4.7 3.8 3.7 11.8 12.1 13.3 13.2 10.2 8.1 -9.9 -10.3 -10.5 -10.6 7.4 10.5 19.9 16.5 13.5 -20.0 2.4 6.4 4.3 6.8 7.4 4.3 -7.6 0.7 3.0 -2.1 -7.0 -1.2 0.5 -0.0 0.2 NIKKEI -1.5 -20.0 -1.0 3.1 4.1 4.1 5.9 4.4 4.2 9.0 10.9 9.6 13.8 -4.2 3.3 1.7 8.9 3.8 6.5 2.5 14.3 5.9 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 20.0 0.1 -5.3 -1.1 4.5 -1.2 5.3 0.6 2.3 10.3 -3.3 14.3 -4.6 9.4 -2.0 0.1 0.2 0.1 0.2 1.4 -2.8 17.0 -3.3 11.0 0.9 1.0 6.7 -0.9 8.6 -1.0 5.6 4.6 11.9 11.9 8.1 0.9 -5.1 -4.6 1.4 7.3 OAT 7.1 -9.7 -6.9 -1.6 -0.6 -1.9 1.0 -1.9 0.3 -4.2 -0.7 2.8 -0.3 -2.4 -6.7 5.8 6.1 5.6 5.4 -3.6 -2.5 -0.4 -2.0 -1.4 2.4 -1.0 -2.2 0.0 -0.4 0.3 -0.6 16.4 -0.6 -7.3 4.2 5.9 -20.0 -19.3 6.0 -1.2 OATIES 20.0 20.0 9.2 3.8 2.6 2.4 4.0 -0.3 4.5 -9.7 -6.3 -0.1 -10.8 8.6 8.5 15.0 2.7 12.1 7.5 8.8 0.7 -1.0 -4.7 10.6 -20.0 3.6 -4.3 1.0 1.3 -0.6 4.6 0.9 1.5 20.0 17.7 6.1 -13.2 -1.9 1.2 14.0 OJ 20.0 11.1 7.4 5.8 4.0 3.6 6.1 -0.5 6.8 20.0 15.0 20.0 19.5 20.0 20.0 13.3 12.9 8.9 9.6 20.0 20.0 20.0 20.0 20.0 -20.0 6.4 14.5 4.6 15.8 7.1 11.4 12.9 20.0 20.0 20.0 20.0 4.9 8.6 17.9 20.0 PALLAD -2.6 1.9 7.7 2.7 6.8 1.8 5.5 0.9 3.6 8.6 -4.2 5.1 -8.3 -2.9 0.5 -2.3 -2.1 -2.1 -2.1 -1.3 -3.8 6.1 -10.2 0.9 14.0 -0.3 7.5 -1.4 4.3 -4.1 1.0 5.7 -13.6 -12.2 -12.9 -9.9 -20.0 -20.0 -20.0 -12.9 PLAT 20.0 15.6 10.0 3.9 9.8 2.6 7.9 1.3 5.2 8.0 4.5 12.7 -6.1 12.4 9.9 -4.8 -3.9 -4.7 -4.4 13.7 6.1 20.0 0.6 20.0 10.9 4.3 5.3 2.3 7.8 0.9 6.6 2.2 11.4 20.0 10.6 -1.2 -19.9 -7.0 9.7 6.8 REDWHEAT 15.7 20.0 20.0 4.0 2.7 2.5 4.2 -0.3 4.6 7.3 0.4 10.9 -12.1 12.8 11.2 -10.6 -1.5 -5.6 -3.0 15.0 3.1 15.1 -8.6 19.2 -6.3 4.5 3.4 1.1 4.4 -1.7 5.7 -10.2 12.2 20.0 20.0 2.2 -9.8 -20.0 2.1 -19.5 RICE 17.5 19.3 -2.8 3.5 2.4 2.2 3.6 -0.3 4.1 12.7 7.9 13.9 9.3 14.5 10.4 20.0 20.0 20.0 20.0 13.4 9.3 10.3 8.6 15.7 -9.6 2.5 1.4 1.2 2.5 1.1 3.4 20.0 5.3 6.8 8.0 0.2 -4.2 -4.4 -1.1 2.1 ROBUSTA -20.0 -17.6 -7.0 2.1 1.4 1.3 2.2 -0.2 2.4 6.0 5.9 -6.6 7.4 -4.6 1.0 17.5 20.0 20.0 20.0 3.1 11.6 -6.7 13.5 -7.2 -20.0 2.0 0.5 3.6 -0.6 3.9 -0.1 20.0 4.0 -20.0 15.7 20.0 -5.8 -14.8 4.5 4.3 RUSSELL 16.8 -8.0 6.2 3.3 3.6 4.2 5.6 4.5 4.4 12.1 11.5 14.7 10.6 6.7 3.9 -7.0 -6.5 -6.8 -6.6 6.4 7.0 16.5 7.3 12.3 -2.0 3.5 5.4 3.8 7.1 4.0 5.5 -0.9 -10.4 -1.7 4.7 -11.8 -8.5 -20.0 -9.8 -20.0 SHATZ 4.6 -6.8 -20.0 -1.3 -0.5 -1.5 0.8 -1.6 0.2 -6.8 -8.5 -3.6 -8.3 -6.3 -8.4 -20.0 -20.0 -20.0 -20.0 -9.6 -10.8 -4.3 -11.0 -6.0 7.6 -3.2 -2.2 -3.1 -1.7 -2.7 -2.3 -20.0 -6.4 -13.7 -6.1 -9.6 -20.0 -20.0 -18.0 -19.5 SILVER-mini 0.6 13.3 18.4 3.5 9.0 2.4 7.2 1.2 4.7 12.1 10.0 12.0 6.4 11.0 11.0 -6.0 -6.7 -6.5 -6.6 15.5 11.6 20.0 6.6 20.0 2.5 4.3 9.8 3.6 7.6 2.3 5.1 -2.2 20.0 9.3 16.1 17.1 -8.4 -13.7 16.8 5.4 SMI 20.0 -8.5 11.3 3.5 4.6 4.6 6.6 4.9 4.8 16.4 14.9 17.8 12.6 14.2 12.1 -2.7 3.2 -0.5 2.0 17.7 13.4 20.0 9.9 20.0 13.7 6.0 8.5 5.3 9.5 3.9 8.0 15.3 20.0 11.9 15.1 0.2 10.9 -0.4 15.5 -1.7 SOFR 20.0 -10.4 -11.9 -1.7 -0.6 -2.0 1.1 -2.0 0.3 -0.2 -2.8 7.4 -3.8 -0.3 -6.6 -3.4 -0.8 -2.4 -1.4 -4.4 -6.7 7.3 -5.9 3.3 -2.6 -1.0 1.3 -1.6 3.2 -1.2 1.7 4.8 8.1 7.1 -0.4 0.1 -6.3 -20.0 11.4 -1.0 SOYBEAN 15.7 12.8 3.1 4.7 3.2 2.9 4.9 -0.4 5.5 -1.9 -7.7 8.4 -5.8 9.1 8.5 -0.1 8.9 0.6 3.8 6.3 -3.4 9.6 -8.8 11.3 -20.0 3.4 4.7 -0.4 4.7 -2.2 5.5 4.4 -3.2 16.2 4.2 -8.3 -15.9 -20.0 -13.5 -20.0 SOYMEAL 20.0 20.0 1.1 3.3 2.3 2.0 3.4 -0.3 3.8 -7.5 -7.9 3.7 -8.7 6.8 4.3 2.2 5.9 -0.9 0.8 8.5 -1.5 5.3 -6.2 11.9 -20.0 3.1 0.2 0.3 1.9 -0.8 3.9 -0.7 -13.2 20.0 19.1 -3.4 -20.0 -20.0 -20.0 -20.0 SOYOIL 0.8 -5.9 3.9 2.6 1.8 1.6 2.7 -0.2 3.0 8.7 -9.1 4.3 -8.7 -5.1 -6.4 -6.7 -0.5 -6.9 -4.9 -5.9 -7.4 5.3 -8.1 -2.3 -20.0 -2.3 4.7 -2.1 1.8 -1.9 -1.1 -11.2 11.8 -8.6 -17.3 -9.1 -20.0 -15.5 -8.2 2.9 SP400 15.0 -10.9 13.6 3.6 3.9 4.6 6.1 4.8 4.8 7.7 14.2 14.7 13.8 8.1 8.8 -6.8 -5.5 -6.0 -5.7 12.3 15.7 17.6 16.4 15.6 -13.5 4.7 3.1 5.8 5.9 6.1 5.5 0.9 -9.7 0.7 6.8 -0.2 -9.1 -10.5 -8.2 -20.0 SP500_micro 16.4 -18.5 4.6 3.6 3.9 4.6 6.1 4.8 4.8 15.7 16.0 17.2 16.5 12.9 12.3 -11.7 -11.8 -12.2 -12.2 13.5 18.6 20.0 20.0 19.1 -20.0 4.4 6.7 6.8 8.1 8.9 5.8 -10.3 2.8 5.5 2.0 4.0 0.9 -2.4 5.3 -2.5 SUGAR11 -0.6 -19.7 -19.7 3.8 2.6 2.4 4.0 -0.3 4.5 -8.8 -13.9 -11.7 -3.2 -14.6 -14.4 0.4 13.8 5.4 9.9 -20.0 -17.6 -16.8 -8.1 -19.8 -20.0 -5.3 -2.5 -4.5 -4.4 -2.1 -5.1 14.3 -20.0 -20.0 -20.0 -20.0 20.0 12.1 20.0 20.0 US10 19.0 -8.6 -9.0 -1.4 -0.5 -1.7 0.9 -1.7 0.2 -1.8 -3.1 6.1 -5.3 -0.6 -5.8 -4.8 -7.2 -5.8 -6.7 -3.8 -6.1 4.8 -7.5 2.2 2.6 -0.9 0.4 -1.5 2.3 -1.8 1.3 -5.6 5.2 4.0 -0.1 0.8 -13.6 -20.0 1.0 2.4 US10U 18.1 -8.6 -8.7 -2.1 -0.8 -2.5 1.4 -2.6 0.3 -1.3 -4.4 9.5 -7.6 -1.2 -9.0 -6.1 -2.0 -4.8 -3.3 -5.9 -9.3 7.5 -11.8 3.0 0.3 -1.2 1.0 -2.1 3.8 -2.7 2.1 2.4 9.0 5.1 0.8 3.3 -13.2 -18.5 18.9 9.9 US2 15.7 -10.1 -18.4 -1.4 -0.5 -1.6 0.9 -1.6 0.2 -4.6 -7.5 4.4 -8.4 -3.2 -7.3 -20.0 -20.0 -20.0 -20.0 -7.8 -10.4 1.5 -12.1 -1.4 12.3 -2.1 -0.5 -2.5 0.6 -2.6 -0.3 -20.0 0.4 -0.2 -4.9 -7.4 -15.6 -20.0 -10.4 -20.0 US20 18.8 -9.4 -5.4 -1.5 -0.6 -1.8 1.0 -1.8 0.2 0.4 -0.4 7.4 -3.4 0.0 -5.3 -0.7 -0.7 -0.4 -0.5 -2.8 -4.9 6.7 -6.9 3.4 -0.9 0.0 1.3 -0.6 3.5 -1.3 2.3 5.6 9.1 5.6 2.6 6.0 -16.2 -14.0 20.0 15.3 US30 16.8 -9.0 -3.9 -1.8 -0.7 -2.2 1.2 -2.2 0.3 0.6 -2.0 8.6 -5.4 -1.0 -6.7 -0.9 -4.8 -3.0 -4.4 -3.9 -6.4 7.2 -9.1 3.1 -0.4 -0.3 1.5 -1.1 4.1 -2.0 2.4 -1.5 10.4 3.8 2.7 7.8 -16.9 -12.6 16.0 18.0 US5 19.3 -9.1 -13.2 -1.5 -0.5 -1.8 1.0 -1.8 0.2 -2.6 -6.2 5.9 -7.2 -1.6 -6.9 -9.6 -10.1 -9.6 -9.8 -5.3 -7.9 4.6 -8.9 1.5 5.7 -1.4 0.3 -1.9 2.0 -2.0 0.9 -10.6 4.8 4.1 -1.8 -2.6 -12.0 -20.0 -3.2 -7.5 VIX -19.8 -1.0 7.1 -6.2 -5.5 -5.7 -7.5 -7.2 -7.5 -18.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 NaN -6.9 -6.2 -6.6 -8.4 -8.7 -8.5 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 18.9 20.0 20.0 3.9 2.7 2.4 4.1 -0.3 4.6 9.1 5.2 12.1 -10.7 13.4 11.9 -16.8 -13.8 -17.1 -15.5 17.3 5.4 20.0 -6.5 20.0 1.2 4.5 3.9 1.5 5.1 -0.9 6.0 -20.0 20.0 20.0 20.0 1.6 -8.3 -20.0 -2.1 -20.0 End of report for caleb_strategy_v3