******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240522_204004 produced at 2024-05-22 21:37:43.274856 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.75 0.0 0.00 -0.08 -0.08 -0.08 -28.76 16.0 -3 -3 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.37 0.0 0.00 0.00 0.00 0.00 -11.34 24.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.23 -0.34 0.0 0.75 -0.75 -0.23 -0.23 -4.57 10.0 -3 -3 caleb_strategy_v3 VIX False False 0.00 -0.27 -0.28 0.0 999.00 -999.00 -0.27 -0.27 -65.90 999999999.0 -63 -63 caleb_strategy_v3 SOFR False True 0.07 0.00 -0.26 0.0 0.00 0.00 0.00 0.00 -3.84 11.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.25 0.0 0.00 0.00 0.00 0.00 -4.32 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.16 -0.19 0.0 0.51 -0.51 -0.16 -0.16 -4.83 13.0 -4 -4 caleb_strategy_v3 CAD False False 0.02 -0.04 -0.09 0.0 0.60 -0.60 -0.04 -0.04 -4.46 29.0 -2 -2 caleb_strategy_v3 LEANHOG False False 0.01 -0.07 -0.08 0.0 0.14 -0.14 -0.07 -0.07 -7.16 13.0 -6 -6 caleb_strategy_v3 US5 False False 0.03 -0.21 -0.06 0.0 0.75 -0.75 -0.21 -0.21 -1.84 25.0 -7 -7 caleb_strategy_v3 JPY False False 0.02 -0.07 -0.06 0.0 0.39 -0.39 -0.07 -0.07 -2.73 17.0 -3 -3 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.06 0.0 0.09 -0.09 -0.06 -0.06 -1.90 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 -11.09 3.0 0 0 caleb_strategy_v3 BOBL False True 0.04 -0.11 -0.05 0.0 0.00 -0.11 -0.11 -0.11 -1.27 19.0 -3 -3 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.04 0.0 0.08 -0.08 -0.01 -0.01 -6.20 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 -11.51 51.0 -6 -6 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.08 -0.08 -0.02 -0.02 -1.26 4.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -3.75 18.0 -3 -3 caleb_strategy_v3 BUND False True 0.04 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.60 10.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.03 -0.02 0.0 0.25 -0.25 -0.03 -0.03 -2.25 36.0 -4 -4 caleb_strategy_v3 US10 False False 0.03 0.00 -0.02 0.0 0.53 -0.53 0.00 0.00 -0.69 17.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.02 0.0 0.12 -0.12 -0.03 -0.03 -2.16 11.0 -3 -3 caleb_strategy_v3 OAT False False 0.04 0.00 -0.01 0.0 0.39 -0.39 0.00 0.00 -0.23 10.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.39 2.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.08 -0.08 -0.03 -0.03 -1.61 10.0 -4 -4 caleb_strategy_v3 US10U False False 0.03 -0.16 -0.01 0.0 0.42 -0.42 -0.16 -0.16 -0.18 13.0 -5 -5 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.61 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 -0.51 7.0 -1 -1 caleb_strategy_v3 BUXL False True 0.04 -0.08 -0.01 0.0 0.00 -0.08 -0.08 -0.08 -0.33 4.0 -2 -2 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -3.50 59.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.17 -0.00 0.0 0.17 -0.17 0.17 0.17 -0.04 2.0 2 2 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 0.00 0.0 0.08 -0.08 0.00 0.00 0.32 8.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 -0.01 0.00 0.0 0.25 -0.25 -0.01 -0.01 0.06 23.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 -0.13 -0.00 0.0 0.20 -0.20 -0.13 -0.12 -0.83 68.0 -45 -42 caleb_strategy_v3 OATIES False True 0.01 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.18 2.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.02 -0.00 0.0 0.25 -0.25 -0.02 -0.02 -0.18 23.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 0.00 0.00 0.0 0.09 -0.09 0.00 0.00 0.36 9.0 0 0 caleb_strategy_v3 US30 False True 0.04 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.03 6.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.02 0.00 0.0 0.14 -0.14 0.02 0.02 0.07 6.0 1 1 caleb_strategy_v3 COCOA False False 0.02 0.00 -0.00 0.0 0.52 -0.52 0.00 0.00 -0.00 26.0 0 0 caleb_strategy_v3 BTP False True 0.04 0.04 0.00 0.0 0.04 0.00 0.04 0.04 0.06 10.0 1 1 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.06 -0.06 0.00 0.00 0.87 5.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.01 0.01 0.0 0.38 -0.38 0.01 0.01 1.11 56.0 2 2 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.01 0.01 0.0 0.00 -0.01 -0.01 -0.01 4.26 26.0 -6 -5 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 0.01 0.0 0.30 -0.30 0.00 0.00 0.16 8.0 0 0 caleb_strategy_v3 EUR False False 0.04 0.00 0.01 0.0 0.54 -0.54 0.00 0.00 0.27 14.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.02 0.01 0.0 0.37 -0.37 0.02 0.03 1.03 66.0 4 5 caleb_strategy_v3 US20 False True 0.03 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.20 9.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.09 0.01 0.0 999.00 -999.00 0.09 0.09 0.22 999999999.0 3 3 caleb_strategy_v3 SP500_micro False False 0.01 0.01 0.02 0.0 0.36 -0.36 0.01 0.01 2.18 48.0 1 1 caleb_strategy_v3 AUD False False 0.02 0.00 0.02 0.0 0.36 -0.36 0.00 0.00 1.10 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 1.53 999999999.0 0 0 caleb_strategy_v3 PLAT False False 0.01 0.04 0.03 0.0 0.15 -0.15 0.04 0.04 2.20 10.0 3 3 caleb_strategy_v3 NZD False False 0.02 0.00 0.03 0.0 0.36 -0.36 0.00 0.00 1.76 21.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.00 0.04 0.0 0.50 -0.50 0.00 0.00 1.89 22.0 0 0 caleb_strategy_v3 DX False False 0.03 0.00 0.04 0.0 999.00 -999.00 0.00 0.00 1.46 999999999.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.05 0.0 0.04 -0.04 0.00 0.00 5.03 4.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.06 -0.06 0.00 0.00 2.85 3.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.17 0.07 0.0 0.31 -0.31 0.17 0.17 4.64 20.0 11 11 caleb_strategy_v3 CAC True False 0.02 0.00 0.08 0.0 0.00 0.00 0.00 0.00 3.28 12.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.09 0.0 0.11 -0.11 0.02 0.02 4.31 5.0 1 1 caleb_strategy_v3 DAX False False 0.01 0.09 0.11 0.0 0.33 -0.33 0.09 0.09 19.40 58.0 15 15 caleb_strategy_v3 LIVECOW False False 0.02 0.10 0.11 0.0 0.35 -0.35 0.10 0.10 5.38 17.0 5 5 caleb_strategy_v3 SMI False True 0.04 0.26 0.16 0.0 0.26 0.00 0.26 0.26 4.29 9.0 7 7 caleb_strategy_v3 COPPER False False 0.04 0.25 0.17 0.0 999.00 -999.00 0.25 0.25 4.59 999999999.0 7 7 caleb_strategy_v3 MXP False False 0.01 0.49 0.70 0.0 0.51 -0.51 0.49 0.49 82.32 60.0 58 58 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 19.9 Shocked risk 57.4 Sum abs risk 50.8 Leverage 5.07 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3515849.22, 'annual_cash_vol_target': 878962.305, 'daily_cash_vol_target': 54935.1440625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6619 0.6267 10.0265 BITCOIN 1798.5508 70440.0000 2.5533 40.8529 BOBL 0.2685 116.4900 0.2305 3.6880 BTP 0.5948 117.8100 0.5049 8.0780 BUND 0.5378 130.4600 0.4122 6.5955 BUXL 1.2603 129.0600 0.9765 15.6246 CAC 50.7021 8053.5000 0.6296 10.0730 CAD 0.0027 0.7305 0.3682 5.8905 CANOLA 7.6014 686.7000 1.1069 17.7112 CHF 0.0045 1.0959 0.4126 6.6009 COCOA 395.7534 7014.0000 5.6423 90.2774 COFFEE 4.3752 219.0500 1.9974 31.9577 COPPER 0.0608 5.1020 1.1913 19.0614 CORN 5.2094 484.0000 1.0763 17.2212 COTTON2 1.3784 77.3200 1.7827 28.5235 CRUDE_W 0.8512 74.9800 1.1353 18.1646 DAX 127.0743 18691.0000 0.6799 10.8779 DOW 229.8612 39754.0000 0.5782 9.2513 DX 0.3453 104.4400 0.3306 5.2899 EUR 0.0041 1.0832 0.3825 6.1206 EURIBOR-ICE 0.0513 97.3450 0.0527 0.8439 EUROSTX 35.7170 5018.0000 0.7118 11.3884 FEEDCOW 2.0051 263.7000 0.7604 12.1658 GASOIL 10.1571 747.0000 1.3597 21.7555 GASOLINE 0.0355 2.4302 1.4624 23.3986 GAS_US_mini 0.0877 2.9850 2.9386 47.0168 GBP 0.0055 1.2714 0.4330 6.9287 GOLD_micro 20.8825 2405.1000 0.8683 13.8922 HEATOIL 0.0311 2.4541 1.2681 20.2900 JGB-SGX-mini 0.2063 143.6500 0.1436 2.2979 JPY 0.0000 0.0064 0.6951 11.1211 LEANHOG 1.1141 97.5250 1.1423 18.2772 LIVECOW 1.3479 181.5750 0.7424 11.8778 LUMBER-new 6.8909 550.0000 1.2529 20.0461 MILK 0.2678 19.5800 1.3678 21.8855 MXP 0.0003 0.0597 0.5812 9.2986 NASDAQ_micro 144.5771 18737.0000 0.7716 12.3458 NIKKEI 353.2223 38570.0000 0.9158 14.6527 NZD 0.0038 0.6086 0.6210 9.9357 OAT 0.5339 125.8700 0.4242 6.7869 OATIES 7.4011 368.5000 2.0084 32.1351 OJ 5.5125 443.8000 1.2421 19.8737 PALLAD 22.8369 1010.0000 2.2611 36.1772 PLAT 17.1053 1046.7000 1.6342 26.1474 REDWHEAT 12.9946 714.2500 1.8193 29.1093 RICE 0.1645 15.8000 1.0413 16.6607 ROBUSTA 80.9195 3853.0000 2.1002 33.6027 RUSSELL 19.5004 2087.8000 0.9340 14.9443 SHATZ 0.0789 105.0900 0.0751 1.2011 SILVER-mini 0.5739 31.5000 1.8219 29.1505 SMI 79.4679 11959.0000 0.6645 10.6320 SOFR 0.0637 96.1300 0.0662 1.0594 SOYBEAN 10.2928 1220.0000 0.8437 13.4987 SOYMEAL 4.8582 371.9000 1.3063 20.9013 SOYOIL 0.7462 46.2600 1.6131 25.8090 SP400 22.4270 2999.0000 0.7478 11.9650 SP500_micro 32.3903 5317.5000 0.6091 9.7460 SUGAR11 0.3005 18.2400 1.6475 26.3607 US10 0.3785 109.3438 0.3461 5.5382 US10U 0.4968 112.8125 0.4404 7.0461 US2 0.0975 101.6055 0.0960 1.5361 US20 0.7306 117.4688 0.6219 9.9509 US30 1.0853 124.4062 0.8724 13.9584 US5 0.2457 105.7344 0.2324 3.7182 VIX 0.4115 15.2000 2.7074 43.3184 WHEAT 11.9118 735.0000 1.6207 25.9304 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 661.90 0.63 414.79 1.00 414.79 54935.14 132.44 3.19 42.27 BITCOIN 70.44 2.55 179.86 1.00 179.86 54935.14 305.44 -1.06 -32.28 BOBL 1164.90 0.23 268.51 1.09 291.62 54935.14 188.38 -6.64 -125.00 BTP 1178.10 0.50 594.79 1.09 645.98 54935.14 85.04 0.21 1.82 BUND 1304.60 0.41 537.78 1.09 584.06 54935.14 94.06 -6.33 -59.53 BUXL 1290.60 0.98 1260.32 1.09 1368.77 54935.14 40.13 -8.07 -32.39 CAC 805.35 0.63 507.02 1.09 550.65 54935.14 99.76 9.63 96.11 CAD 730.50 0.37 268.94 1.00 268.94 54935.14 204.27 -8.41 -171.76 CANOLA 137.34 1.11 152.03 0.73 111.52 54935.14 492.61 -9.61 -473.27 CHF 1369.88 0.41 565.15 1.00 565.15 54935.14 97.20 -19.17 -186.33 COCOA 701.40 5.64 3957.53 1.00 3957.53 54935.14 13.88 -0.09 -0.13 COFFEE 821.44 2.00 1640.70 1.00 1640.70 54935.14 33.48 1.67 5.60 COPPER 1275.50 1.19 1519.55 1.00 1519.55 54935.14 36.15 11.73 42.39 CORN 242.00 1.08 260.47 1.00 260.47 54935.14 210.91 -12.07 -254.65 COTTON2 386.60 1.78 689.20 1.00 689.20 54935.14 79.71 -12.66 -100.93 CRUDE_W 749.80 1.14 851.24 1.00 851.24 54935.14 64.54 6.16 39.77 DAX 186.91 0.68 127.07 1.09 138.01 54935.14 398.05 14.29 568.83 DOW 198.77 0.58 114.93 1.00 114.93 54935.14 477.99 0.93 44.49 DX 1044.40 0.33 345.30 1.00 345.30 54935.14 159.09 3.54 56.25 EUR 1354.00 0.38 517.95 1.00 517.95 54935.14 106.06 0.99 10.55 EURIBOR-ICE 2433.62 0.05 128.36 1.09 139.41 54935.14 394.06 -3.40 -133.95 EUROSTX 501.80 0.71 357.17 1.09 387.90 54935.14 141.62 9.61 136.08 FEEDCOW 1318.50 0.76 1002.54 1.00 1002.54 54935.14 54.80 0.89 4.88 GASOIL 747.00 1.36 1015.71 1.00 1015.71 54935.14 54.09 -5.39 -29.15 GASOLINE 1020.68 1.46 1492.66 1.00 1492.66 54935.14 36.80 1.39 5.11 GAS_US_mini 74.62 2.94 219.29 1.00 219.29 54935.14 250.51 1.57 39.32 GBP 794.62 0.43 344.11 1.00 344.11 54935.14 159.65 4.57 73.01 GOLD_micro 240.51 0.87 208.83 1.00 208.83 54935.14 263.07 1.24 32.61 HEATOIL 1030.72 1.27 1307.08 1.00 1307.08 54935.14 42.03 -10.41 -43.75 JGB-SGX-mini 143650.00 0.14 20630.48 0.01 131.95 54935.14 416.33 -6.38 -265.56 JPY 801.00 0.70 556.75 1.00 556.75 54935.14 98.67 -10.67 -105.29 LEANHOG 390.10 1.14 445.62 1.00 445.62 54935.14 123.28 -9.56 -117.87 LIVECOW 726.30 0.74 539.18 1.00 539.18 54935.14 101.89 15.93 162.26 LUMBER-new 151.25 1.25 189.50 1.00 189.50 54935.14 289.90 -17.88 -518.25 MILK 391.60 1.37 535.65 1.00 535.65 54935.14 102.56 3.96 40.57 MXP 298.65 0.58 173.56 1.00 173.56 54935.14 316.51 17.72 560.89 NASDAQ_micro 374.74 0.77 289.15 1.00 289.15 54935.14 189.99 -0.40 -7.63 NIKKEI 38570.00 0.92 35322.23 0.01 225.92 54935.14 243.17 -0.85 -20.77 NZD 608.60 0.62 377.93 1.00 377.93 54935.14 145.36 4.67 67.89 OAT 1258.70 0.42 533.91 1.09 579.86 54935.14 94.74 -0.70 -6.62 OATIES 184.25 2.01 370.06 1.00 370.06 54935.14 148.45 0.50 7.39 OJ 665.70 1.24 826.87 1.00 826.87 54935.14 66.44 20.00 132.88 PALLAD 1010.00 2.26 2283.69 1.00 2283.69 54935.14 24.06 -4.74 -11.40 PLAT 523.35 1.63 855.27 1.00 855.27 54935.14 64.23 10.05 64.58 REDWHEAT 357.12 1.82 649.73 1.00 649.73 54935.14 84.55 2.86 24.21 RICE 316.00 1.04 329.05 1.00 329.05 54935.14 166.95 12.39 206.83 ROBUSTA 385.30 2.10 809.19 1.00 809.19 54935.14 67.89 0.77 5.22 RUSSELL 104.39 0.93 97.50 1.00 97.50 54935.14 563.43 -0.44 -25.07 SHATZ 1050.90 0.08 78.89 1.09 85.68 54935.14 641.16 -17.43 -1117.80 SILVER-mini 787.50 1.82 1434.75 1.00 1434.75 54935.14 38.29 11.74 44.93 SMI 1195.90 0.66 794.68 1.10 873.15 54935.14 62.92 20.00 125.83 SOFR 2403.25 0.07 159.13 1.00 159.13 54935.14 345.23 -1.83 -63.24 SOYBEAN 610.00 0.84 514.64 1.00 514.64 54935.14 106.75 -5.17 -55.20 SOYMEAL 371.90 1.31 485.82 1.00 485.82 54935.14 113.08 -5.84 -66.02 SOYOIL 277.56 1.61 447.72 1.00 447.72 54935.14 122.70 -14.07 -172.62 SP400 2999.00 0.75 2242.70 1.00 2242.70 54935.14 24.50 -0.53 -1.31 SP500_micro 265.88 0.61 161.95 1.00 161.95 54935.14 339.21 2.77 93.91 SUGAR11 204.29 1.65 336.57 1.00 336.57 54935.14 163.22 -10.80 -176.25 US10 1093.44 0.35 378.48 1.00 378.48 54935.14 145.15 -3.74 -54.27 US10U 1128.12 0.44 496.81 1.00 496.81 54935.14 110.58 -1.29 -14.27 US2 2032.11 0.10 195.10 1.00 195.10 54935.14 281.58 -12.11 -340.86 US20 1174.69 0.62 730.57 1.00 730.57 54935.14 75.19 2.08 15.63 US30 1244.06 0.87 1085.32 1.00 1085.32 54935.14 50.62 0.47 2.36 US5 1057.34 0.23 245.72 1.00 245.72 54935.14 223.57 -6.49 -145.13 VIX 152.00 2.71 411.53 1.00 411.53 54935.14 133.49 -20.00 -266.98 WHEAT 367.50 1.62 595.59 1.00 595.59 54935.14 92.24 2.94 27.09 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 42.269 0.010 2.5 1.097 BITCOIN -32.285 0.043 2.5 -3.496 BOBL -125.000 0.004 2.5 -1.268 BTP 1.822 0.014 2.5 0.062 BUND -59.534 0.004 2.5 -0.604 BUXL -32.391 0.004 2.5 -0.328 CAC 96.109 0.014 2.5 3.278 CAD -171.763 0.010 2.5 -4.457 CANOLA -473.268 0.010 2.5 -11.514 CHF -186.329 0.010 2.5 -4.834 COCOA -0.126 0.009 2.5 -0.003 COFFEE 5.602 0.005 2.5 0.065 COPPER 42.391 0.043 2.5 4.590 CORN -254.650 0.010 2.5 -6.195 COTTON2 -100.928 0.009 2.5 -2.162 CRUDE_W 39.775 0.043 2.5 4.307 DAX 568.830 0.014 2.5 19.402 DOW 44.490 0.009 2.5 1.034 DX 56.253 0.010 2.5 1.460 EUR 10.546 0.010 2.5 0.274 EURIBOR-ICE -133.951 0.014 2.5 -4.569 EUROSTX 136.075 0.014 2.5 4.641 FEEDCOW 4.880 0.013 2.5 0.162 GASOIL -29.154 0.017 2.5 -1.264 GASOLINE 5.108 0.017 2.5 0.221 GAS_US_mini 39.316 0.043 2.5 4.257 GBP 73.009 0.010 2.5 1.894 GOLD_micro 32.611 0.014 2.5 1.112 HEATOIL -43.746 0.017 2.5 -1.896 JGB-SGX-mini -265.560 0.043 2.5 -28.757 JPY -105.291 0.010 2.5 -2.732 LEANHOG -117.870 0.024 2.5 -7.163 LIVECOW 162.255 0.013 2.5 5.377 LUMBER-new -518.255 0.009 2.5 -11.093 MILK 40.565 0.009 2.5 0.869 MXP 560.894 0.059 2.5 82.324 NASDAQ_micro -7.626 0.009 2.5 -0.177 NIKKEI -20.772 0.043 2.5 -2.249 NZD 67.890 0.010 2.5 1.761 OAT -6.622 0.014 2.5 -0.226 OATIES 7.387 0.010 2.5 0.180 OJ 132.875 0.009 2.5 2.846 PALLAD -11.402 0.014 2.5 -0.389 PLAT 64.579 0.014 2.5 2.203 REDWHEAT 24.211 0.005 2.5 0.321 RICE 206.833 0.010 2.5 5.032 ROBUSTA 5.217 0.005 2.5 0.061 RUSSELL -25.070 0.013 2.5 -0.831 SHATZ -1117.804 0.004 2.5 -11.335 SILVER-mini 44.934 0.014 2.5 1.533 SMI 125.832 0.014 2.5 4.292 SOFR -63.240 0.024 2.5 -3.843 SOYBEAN -55.199 0.004 2.5 -0.513 SOYMEAL -66.019 0.004 2.5 -0.614 SOYOIL -172.616 0.004 2.5 -1.607 SP400 -1.306 0.013 2.5 -0.043 SP500_micro 93.911 0.009 2.5 2.182 SUGAR11 -176.249 0.009 2.5 -3.748 US10 -54.271 0.005 2.5 -0.688 US10U -14.272 0.005 2.5 -0.181 US2 -340.855 0.005 2.5 -4.319 US20 15.634 0.005 2.5 0.198 US30 2.364 0.005 2.5 0.030 US5 -145.125 0.005 2.5 -1.839 VIX -266.983 0.099 2.5 -65.902 WHEAT 27.090 0.005 2.5 0.359 ===================== Position diags ===================== AUD 3.44 BITCOIN 33.08 BOBL 1.91 BTP 2.90 BUND 0.95 BUXL 0.41 CAC 3.40 CAD 5.30 CANOLA 11.98 CHF 2.52 COCOA 0.30 COFFEE 0.39 COPPER 3.91 CORN 5.13 COTTON2 1.71 CRUDE_W 6.99 DAX 13.58 DOW 11.11 DX 4.13 EUR 2.75 EURIBOR-ICE 13.44 EUROSTX 4.83 FEEDCOW 1.82 GASOIL 2.34 GASOLINE 1.60 GAS_US_mini 27.13 GBP 4.14 GOLD_micro 8.97 HEATOIL 1.82 JGB-SGX-mini 45.08 JPY 2.56 LEANHOG 7.49 LIVECOW 3.38 LUMBER-new 6.21 MILK 2.20 MXP 46.46 NASDAQ_micro 4.42 NIKKEI 26.33 NZD 3.77 OAT 3.23 OATIES 3.61 OJ 1.42 PALLAD 0.82 PLAT 2.19 REDWHEAT 1.12 RICE 4.06 ROBUSTA 0.79 RUSSELL 18.67 SHATZ 6.50 SILVER-mini 1.31 SMI 2.15 SOFR 20.98 SOYBEAN 0.99 SOYMEAL 1.05 SOYOIL 1.14 SP400 0.81 SP500_micro 7.88 SUGAR11 3.47 US10 1.84 US10U 1.40 US2 3.57 US20 0.95 US30 0.64 US5 2.83 VIX 32.95 WHEAT 1.22 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.1 0.8 1.4 0.0 0 BITCOIN -3.5 -6.8 -0.2 0.0 0 BOBL -1.3 -1.5 -1.1 -3.0 -3 BTP 0.1 -0.2 0.4 1.0 1 BUND -0.6 -0.7 -0.5 0.0 0 BUXL -0.3 -0.4 -0.3 -2.0 -2 CAC 3.3 2.9 3.6 0.0 0 CAD -4.5 -5.0 -3.9 -2.0 -2 CANOLA -11.5 -12.7 -10.3 -6.0 -6 CHF -4.8 -5.1 -4.6 -4.0 -4 COCOA -0.0 -0.0 0.0 0.0 0 COFFEE 0.1 0.0 0.1 1.0 1 COPPER 4.6 4.2 5.0 7.0 7 CORN -6.2 -6.7 -5.7 -2.0 -2 COTTON2 -2.2 -2.3 -2.0 -3.0 -3 CRUDE_W 4.3 3.6 5.0 1.0 1 DAX 19.4 18.0 20.8 15.0 15 DOW 1.0 -0.1 2.1 4.0 4 DX 1.5 1.0 1.9 NaN 0 EUR 0.3 -0.0 0.5 0.0 0 EURIBOR-ICE -4.6 -5.9 -3.2 -3.0 -3 EUROSTX 4.6 4.2 5.1 11.0 11 FEEDCOW 0.2 -0.0 0.3 0.0 0 GASOIL -1.3 -1.5 -1.0 -1.0 -1 GASOLINE 0.2 0.1 0.4 3.0 3 GAS_US_mini 4.3 1.5 7.0 -6.0 -6 GBP 1.9 1.5 2.3 0.0 0 GOLD_micro 1.1 0.2 2.0 2.0 2 HEATOIL -1.9 -2.1 -1.7 -2.0 -2 JGB-SGX-mini -28.8 -33.3 -24.2 -3.0 -3 JPY -2.7 -3.0 -2.5 -3.0 -3 LEANHOG -7.2 -7.9 -6.4 -6.0 -6 LIVECOW 5.4 5.0 5.7 5.0 5 LUMBER-new -11.1 -11.7 -10.5 NaN 0 MILK 0.9 0.6 1.1 NaN 0 MXP 82.3 77.7 87.0 58.0 58 NASDAQ_micro -0.2 -0.6 0.3 -2.0 -2 NIKKEI -2.2 -4.9 0.4 -4.0 -4 NZD 1.8 1.4 2.1 0.0 0 OAT -0.2 -0.5 0.1 0.0 0 OATIES 0.2 -0.2 0.5 NaN 0 OJ 2.8 2.7 3.0 NaN 0 PALLAD -0.4 -0.5 -0.3 0.0 0 PLAT 2.2 2.0 2.4 3.0 3 REDWHEAT 0.3 0.2 0.4 0.0 0 RICE 5.0 4.6 5.4 NaN 0 ROBUSTA 0.1 -0.0 0.1 -1.0 -1 RUSSELL -0.8 -2.7 1.0 -45.0 -45 SHATZ -11.3 -12.0 -10.7 NaN 0 SILVER-mini 1.5 1.4 1.7 0.0 0 SMI 4.3 4.1 4.5 7.0 7 SOFR -3.8 -5.9 -1.7 NaN 0 SOYBEAN -0.5 -0.6 -0.4 -1.0 -1 SOYMEAL -0.6 -0.7 -0.5 0.0 0 SOYOIL -1.6 -1.7 -1.5 -4.0 -4 SP400 -0.0 -0.1 0.0 2.0 2 SP500_micro 2.2 1.4 3.0 1.0 1 SUGAR11 -3.7 -4.1 -3.4 -3.0 -3 US10 -0.7 -0.9 -0.5 0.0 0 US10U -0.2 -0.3 -0.0 -5.0 -5 US2 -4.3 -4.7 -4.0 NaN 0 US20 0.2 0.1 0.3 0.0 0 US30 0.0 -0.0 0.1 0.0 0 US5 -1.8 -2.1 -1.6 -7.0 -7 VIX -65.9 -69.2 -62.6 -63.0 -63 WHEAT 0.4 0.2 0.5 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 0.5 0.2 0.1 -0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 -0.1 0.1 -0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 0.4 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.0 0.3 0.5 0.2 -0.4 -0.3 -0.1 -0.0 BITCOIN -0.0 -0.4 0.1 0.1 0.0 0.1 0.1 0.1 0.1 0.2 0.4 0.2 0.6 0.0 0.1 -0.1 -0.1 -0.1 -0.2 0.1 0.2 0.2 0.5 0.1 -2.7 0.1 0.1 0.3 0.1 0.4 0.0 -0.2 -0.3 -0.5 -0.6 0.6 -0.4 -0.1 0.4 0.1 BOBL 0.1 -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 -0.0 -0.1 -0.3 -0.0 -0.0 -0.7 -0.6 0.0 -0.4 BTP 0.2 -0.3 -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 0.9 0.1 -0.2 0.3 0.6 -0.4 -0.3 0.5 0.1 BUND 0.2 -0.2 -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 -0.1 -0.3 0.1 0.1 -0.7 -0.7 0.1 -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 -0.1 -0.1 -0.2 -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 0.0 -0.1 -0.4 0.2 0.3 -0.7 -0.7 -0.3 -0.2 CAC 0.3 -0.4 0.4 0.1 0.0 0.2 0.1 0.3 0.1 -0.1 0.5 0.1 0.7 0.2 0.2 0.0 0.1 0.2 0.1 0.2 0.2 0.0 0.5 0.2 -1.8 0.1 -0.1 0.3 0.0 0.4 0.1 0.9 -0.4 -0.3 0.6 0.5 -0.3 0.2 -0.4 0.4 CAD 0.2 -0.2 -0.2 -0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 -0.3 0.1 -0.4 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 0.0 -0.1 -0.4 -0.1 -0.1 -0.3 -0.4 -0.0 -0.3 CANOLA 0.5 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.3 0.1 0.1 -0.3 -0.2 -0.3 -0.3 0.1 -0.0 0.1 -0.2 0.1 -2.7 0.0 0.0 -0.0 0.0 -0.2 0.0 -1.1 -0.0 0.2 0.1 -0.0 -0.7 -0.6 -0.2 -0.1 CHF 0.4 -0.3 -0.6 -0.0 -0.0 -0.0 0.0 0.0 0.0 -0.2 -0.5 -0.0 -0.5 -0.1 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.4 -0.1 0.3 -0.1 -0.1 -0.2 -0.0 -0.2 -0.0 -1.1 -0.5 -0.6 -0.5 -0.6 0.0 -0.5 0.3 -0.4 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 -0.1 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 -0.3 -0.6 0.2 0.6 0.2 0.0 0.4 0.3 COFFEE -0.6 -0.0 0.2 0.0 0.1 0.1 0.1 -0.0 0.1 0.1 0.2 0.0 0.3 -0.0 0.0 0.1 0.2 0.2 0.2 0.1 0.1 0.1 0.2 0.0 -2.4 0.0 0.1 0.1 0.0 0.1 0.0 0.5 0.5 -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 0.4 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 0.1 0.1 0.1 -0.0 0.1 -0.0 -0.2 0.0 -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 -0.0 0.0 -0.2 0.0 -1.1 -0.2 0.2 0.3 -0.3 -0.6 -0.7 -0.6 -0.0 COTTON2 -0.1 -0.6 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.2 -0.0 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.1 -0.0 -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 0.0 -0.3 -0.5 0.2 -0.0 CRUDE_W -0.6 -0.3 0.2 -0.0 -0.1 0.1 -0.0 0.2 -0.0 -0.1 0.2 -0.2 0.6 -0.2 0.1 0.3 0.2 0.3 0.3 -0.0 0.1 -0.1 0.4 -0.1 -0.7 -0.0 -0.1 0.1 -0.1 0.3 -0.1 -0.0 -0.1 -0.3 0.0 0.1 0.7 0.6 0.7 0.6 DAX 0.4 -0.4 0.4 0.0 0.0 0.2 0.1 0.2 0.1 -0.1 0.5 0.1 0.7 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 1.8 0.1 -0.0 0.3 0.0 0.3 0.1 -0.5 -0.2 -0.1 0.6 0.6 -0.0 0.2 0.0 0.5 DOW 0.6 -0.3 -0.1 0.0 0.0 0.1 0.0 0.2 0.0 0.0 0.4 0.2 0.5 0.1 0.1 -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 0.3 0.1 -0.5 0.2 0.1 0.2 -0.3 0.2 -0.2 0.4 -0.4 DX -0.6 0.2 0.3 -0.0 -0.0 -0.0 0.0 0.0 0.0 -0.0 0.4 -0.2 0.5 -0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.3 -0.1 -2.7 0.0 0.0 0.1 -0.0 0.2 -0.0 0.9 -0.5 -0.6 0.6 0.6 0.3 0.2 0.4 0.5 EUR 0.5 -0.1 -0.1 -0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.2 0.2 -0.3 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.1 -0.2 0.1 2.7 0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.4 0.2 0.3 0.2 0.2 -0.7 -0.6 -0.7 -0.4 EURIBOR-ICE 0.3 -0.5 -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 -0.1 -0.2 -0.1 -0.1 -0.7 -0.7 0.1 0.4 EUROSTX 0.3 -0.4 0.4 0.1 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 0.1 0.5 0.2 -0.2 0.1 -0.0 0.3 0.0 0.4 0.1 0.4 -0.4 -0.3 0.6 0.6 -0.5 0.2 -0.7 0.3 FEEDCOW 0.2 -0.2 -0.1 0.1 0.1 0.1 0.1 -0.0 0.1 0.2 -0.0 0.1 -0.1 0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.0 0.2 -0.0 0.1 -0.9 0.0 0.1 -0.0 0.1 0.1 0.1 -1.1 0.5 0.1 -0.2 -0.0 0.7 0.7 0.7 0.7 GASOIL -0.5 -0.5 -0.0 -0.0 -0.0 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 0.2 -0.1 0.0 -0.1 0.4 -0.2 0.9 -0.1 -0.0 0.0 -0.0 0.2 -0.1 0.2 -0.1 -0.3 -0.5 -0.3 -0.5 -0.3 -0.7 -0.7 GASOLINE -0.6 -0.5 0.3 -0.0 -0.1 0.1 -0.0 0.2 -0.0 -0.1 0.3 -0.2 0.6 -0.2 0.1 0.4 0.3 0.4 0.3 -0.0 0.1 -0.1 0.4 -0.2 -2.7 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.0 -0.2 -0.5 -0.2 0.2 0.7 0.7 0.7 0.7 GAS_US_mini 0.6 0.6 0.4 -0.0 -0.0 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 0.1 -0.1 0.2 -0.5 0.2 2.7 0.0 0.1 -0.1 0.1 -0.3 0.1 -1.1 0.5 0.6 0.6 -0.6 -0.3 -0.2 -0.6 -0.3 GBP 0.5 -0.1 -0.1 -0.0 -0.0 -0.0 0.0 0.0 0.0 0.2 0.2 0.2 0.2 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.2 0.1 0.2 0.2 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.5 0.6 0.4 0.4 -0.7 -0.5 -0.7 -0.2 GOLD_micro -0.2 0.0 0.6 0.0 0.0 0.1 0.1 0.0 0.1 0.0 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 -0.2 -0.2 0.5 0.6 -0.3 -0.5 -0.0 -0.2 HEATOIL -0.5 -0.5 -0.1 -0.0 -0.1 0.1 -0.0 0.2 -0.0 -0.1 -0.1 -0.2 0.3 -0.2 -0.2 -0.2 0.3 0.0 0.2 -0.2 -0.0 -0.1 0.2 -0.2 -2.7 -0.1 -0.0 -0.0 -0.0 0.2 -0.1 0.1 -0.2 -0.3 -0.6 -0.4 0.4 0.2 0.1 0.0 JGB-SGX-mini -0.1 -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 -0.4 -0.5 -0.4 -0.1 -0.6 -0.3 -0.0 0.4 JPY 0.3 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 -0.2 -0.1 -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 -0.4 -0.4 -0.4 -0.7 -0.4 -0.6 -0.4 LEANHOG -0.6 -0.4 0.5 0.1 0.1 0.1 0.1 -0.0 0.1 -0.2 0.3 -0.2 -0.1 -0.2 -0.0 -0.2 -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 0.3 -0.3 -0.3 -0.1 0.3 LIVECOW 0.4 -0.1 0.0 0.1 0.1 0.1 0.1 -0.0 0.1 0.2 0.0 0.2 0.0 0.1 0.0 0.4 0.2 0.4 0.3 0.0 -0.0 0.2 0.0 0.2 -0.9 0.0 0.1 0.1 0.1 0.1 0.1 0.7 0.5 0.5 -0.0 0.5 0.7 0.7 0.7 0.7 LUMBER-new 0.2 -0.7 -0.4 0.1 0.1 0.1 0.1 0.0 0.1 0.1 -0.3 0.1 -0.5 -0.2 -0.2 -0.5 -0.4 -0.5 -0.5 -0.2 -0.2 -0.0 -0.3 -0.2 NaN -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -1.2 -0.3 -0.1 -0.7 -0.7 -0.5 -0.4 -0.2 -0.3 MILK 0.6 0.6 0.6 0.0 0.1 0.1 0.1 -0.0 0.0 -0.1 -0.0 0.1 -0.3 0.1 0.1 0.4 -0.4 -0.2 -0.4 0.2 0.0 0.1 -0.2 0.2 2.0 0.0 -0.0 0.0 0.0 -0.1 0.1 -1.1 0.0 0.6 0.6 0.3 -0.7 -0.7 -0.6 -0.7 MXP 0.4 -0.4 -0.1 -0.0 -0.0 -0.0 0.0 0.0 0.0 0.1 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 0.0 0.2 0.1 0.4 0.1 1.1 0.4 0.5 0.5 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro 0.6 -0.5 -0.1 0.0 0.0 0.1 0.0 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 0.5 0.2 -2.7 0.0 0.0 0.1 0.1 0.3 0.1 -0.4 0.3 0.3 0.0 -0.2 -0.0 0.0 -0.0 0.0 NIKKEI 0.1 -0.6 -0.0 0.0 0.0 0.1 0.0 0.2 0.0 0.0 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 -2.1 0.0 0.0 0.2 0.0 0.4 0.0 1.1 -0.2 -0.5 -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 0.0 0.0 0.0 0.0 -0.1 0.1 -0.2 0.1 -0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 0.2 0.4 0.3 0.0 -0.1 -0.2 0.1 0.2 OAT 0.2 -0.3 -0.2 -0.0 -0.0 -0.1 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 -0.0 -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 -0.1 OATIES 0.5 0.6 0.3 0.0 0.1 0.1 0.1 -0.0 0.0 -0.1 -0.1 -0.0 -0.3 0.1 0.1 0.2 0.1 0.2 0.1 0.1 0.0 -0.1 -0.1 0.1 -2.7 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 -0.2 0.6 0.4 0.2 -0.4 -0.1 0.1 0.5 OJ 0.6 0.6 0.4 0.1 0.1 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 0.1 0.2 0.1 0.7 0.5 0.6 0.6 0.6 0.1 0.3 0.6 0.7 PALLAD 0.0 0.0 0.3 0.0 0.0 0.1 0.0 0.0 0.0 0.0 -0.1 0.1 -0.3 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.3 0.0 1.9 0.0 0.0 -0.0 0.0 -0.1 0.0 0.3 -0.3 -0.4 -0.5 -0.3 -0.7 -0.7 -0.7 -0.4 PLAT 0.6 0.5 0.3 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.0 0.2 1.4 0.0 0.0 0.1 0.1 0.0 0.1 0.1 -0.0 0.6 0.3 -0.0 -0.7 -0.2 0.3 0.2 REDWHEAT 0.5 0.6 0.6 0.0 0.1 0.1 0.1 -0.0 0.1 0.1 0.1 0.1 -0.4 0.1 0.1 -0.2 -0.0 -0.1 -0.1 0.2 0.0 0.2 -0.2 0.2 -0.8 0.0 0.0 0.0 0.1 -0.0 0.1 -0.6 0.5 0.6 0.6 0.1 -0.4 -0.7 0.1 -0.6 RICE 0.5 0.6 -0.1 0.0 0.1 0.1 0.1 -0.0 0.1 0.1 0.3 0.2 0.4 0.2 0.1 0.4 0.4 0.4 0.4 0.2 0.1 0.1 0.3 0.2 -1.4 0.0 0.0 0.0 0.0 0.0 0.0 1.1 0.2 0.3 0.5 0.0 -0.2 -0.1 -0.1 0.1 ROBUSTA -0.6 -0.6 -0.4 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.2 -0.0 0.3 -0.0 0.0 0.3 0.4 0.4 0.4 0.0 0.1 0.1 0.3 -0.0 -2.7 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.5 -0.5 0.5 0.6 -0.2 -0.5 0.2 0.1 RUSSELL 0.6 -0.2 0.2 0.0 0.0 0.1 0.0 0.2 0.0 0.0 0.3 0.1 0.4 0.1 0.1 -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 0.0 0.2 0.1 -0.0 -0.1 -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 -0.1 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.3 -0.1 1.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.1 -0.5 -0.2 -0.3 -0.7 -0.7 -0.6 -0.6 SILVER-mini 0.2 0.4 0.6 0.0 0.0 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 0.2 0.1 0.2 0.2 0.2 0.3 0.0 0.0 0.1 0.1 0.1 0.1 -0.1 0.5 0.5 0.6 0.6 -0.3 -0.5 0.5 0.2 SMI 0.6 -0.0 0.4 0.0 0.0 0.1 0.0 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 0.2 0.2 0.3 0.2 1.9 0.1 0.0 0.1 0.1 0.1 0.1 0.8 0.4 0.4 0.6 0.0 0.4 -0.0 0.5 -0.0 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 -0.1 -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 0.3 0.2 0.0 -0.0 -0.2 -0.7 0.4 -0.0 SOYBEAN 0.6 0.4 0.2 0.1 0.1 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 0.1 0.0 0.1 -0.1 0.1 0.2 -0.2 0.6 0.1 -0.2 -0.5 -0.7 -0.5 -0.7 SOYMEAL 0.6 0.6 0.1 0.0 0.1 0.1 0.1 -0.0 0.0 0.1 -0.2 0.0 -0.3 0.1 0.1 0.1 0.1 -0.0 0.0 0.1 -0.0 0.1 -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 0.2 -0.2 0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.3 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.2 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.6 0.2 -0.2 -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 0.0 0.2 0.0 -0.1 0.4 0.1 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.2 0.1 0.5 0.1 -1.9 0.1 -0.0 0.2 0.0 0.2 0.1 0.0 -0.2 -0.1 0.2 -0.0 -0.3 -0.4 -0.2 -0.7 SP500_micro 0.6 -0.5 0.2 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.5 0.2 0.6 0.2 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 -0.5 0.3 0.3 0.1 0.1 0.0 -0.1 0.2 -0.1 SUGAR11 -0.1 -0.6 -0.6 0.0 0.1 0.1 0.1 -0.0 0.1 -0.1 -0.4 -0.1 -0.1 -0.2 -0.2 0.0 0.3 0.1 0.2 -0.2 -0.2 -0.1 -0.2 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.7 -0.5 -0.6 -0.6 -0.6 0.7 0.4 0.7 0.7 US10 0.6 -0.2 -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 0.2 0.1 0.0 0.0 -0.4 -0.7 0.1 0.1 US10U 0.6 -0.2 -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 0.3 0.2 0.1 0.1 -0.4 -0.6 0.6 0.3 US2 0.6 -0.3 -0.6 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -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 1.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.0 -0.1 -0.2 -0.3 -0.5 -0.7 -0.3 -0.7 US20 0.6 -0.2 -0.2 -0.0 -0.0 -0.1 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 0.3 0.2 0.1 0.2 -0.5 -0.5 0.7 0.5 US30 0.6 -0.2 -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 -0.3 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.3 0.2 0.1 0.3 -0.6 -0.4 0.5 0.6 US5 0.6 -0.2 -0.4 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.2 0.0 -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 -0.0 -0.1 -0.4 -0.7 -0.1 -0.2 VIX -1.0 -0.2 0.4 -0.1 -0.0 -0.3 -0.1 -0.4 -0.1 -0.2 -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 -0.0 -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 0.1 0.1 0.1 -0.0 0.1 0.1 0.2 0.1 -0.3 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.2 -0.1 0.2 0.1 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 15.2 4.8 2.3 -1.0 -1.2 -1.3 3.0 0.7 2.1 -6.6 -1.9 11.1 -7.6 13.7 9.0 -2.6 -2.8 -2.7 -2.7 6.0 1.0 6.7 -3.0 10.4 3.0 3.7 -3.5 1.3 3.5 -0.7 5.7 -0.5 -0.9 10.5 15.5 7.7 -11.4 -7.8 -3.4 -0.6 BITCOIN -0.3 -12.5 1.9 5.8 5.1 3.9 8.6 1.9 7.4 16.7 13.8 17.3 16.0 4.5 9.4 -6.5 -7.2 -7.3 -7.6 9.5 19.2 20.0 20.0 10.9 -20.0 5.4 7.6 10.5 7.0 12.4 4.0 -3.6 -10.8 -15.9 -20.0 20.0 -11.2 -1.6 11.8 2.9 BOBL 4.5 -7.6 -11.7 -1.3 -1.0 -1.6 0.2 -1.7 0.0 -7.2 -6.1 -3.6 -4.4 -5.9 -7.9 13.8 -5.5 7.5 -0.8 -6.1 -5.7 -4.0 -5.1 -4.3 4.5 -2.7 -3.0 -2.2 -2.3 -1.7 -2.3 -0.3 -4.5 -10.2 -0.4 -1.5 -20.0 -19.1 0.2 -11.4 BTP 5.1 -9.6 -1.9 -2.1 -1.6 -2.7 0.3 -2.8 0.0 -1.7 9.5 6.6 9.4 1.0 -2.1 4.6 5.9 4.8 5.0 1.2 4.6 1.2 6.6 1.5 -20.0 2.1 -1.2 4.9 0.5 5.9 1.0 16.1 3.3 -5.7 7.8 18.5 -10.8 -9.9 15.0 2.5 BUND 5.2 -7.6 -7.2 -1.4 -1.1 -1.8 0.2 -1.8 0.0 -7.6 -2.8 -0.7 -2.1 -4.3 -7.3 -9.4 -1.1 -7.9 -5.0 -4.4 -3.7 -2.7 -3.6 -2.9 1.9 -1.6 -3.0 -0.8 -2.0 -0.7 -1.7 1.8 -3.1 -8.5 3.5 4.0 -20.0 -20.0 3.9 -9.3 BUXL 3.3 -7.5 -2.3 -1.8 -1.3 -2.2 0.3 -2.3 0.0 -9.5 -1.2 -2.3 -2.6 -5.5 -7.9 -8.6 -3.1 -7.3 -5.3 -4.5 -3.3 -3.9 -4.4 -3.7 -1.9 -1.0 -3.7 0.5 -2.8 -0.2 -2.1 0.0 -5.9 -10.9 6.7 9.4 -20.0 -20.0 -9.4 -6.4 CAC 7.9 -11.7 13.5 5.5 0.2 6.8 5.9 7.1 6.4 -15.4 20.0 13.3 20.0 15.7 20.0 2.1 2.5 8.7 6.0 20.0 20.0 5.2 20.0 16.1 -13.2 8.9 -5.7 10.5 1.6 9.9 6.3 17.3 -18.0 -10.2 19.1 16.6 -8.8 7.4 -12.6 11.4 CAD 7.2 -5.3 -6.4 -1.4 -1.6 -1.8 4.1 1.0 2.9 -11.9 -12.4 8.9 -11.8 0.3 -10.7 -3.1 -2.4 -2.8 -2.6 -6.4 -8.9 -0.1 -8.7 0.1 -0.9 -3.8 -8.8 -5.3 -0.5 -5.1 0.1 0.0 -4.5 -11.1 -1.6 -4.3 -8.6 -12.5 -0.7 -8.7 CANOLA 15.4 17.5 20.0 2.8 4.8 1.7 4.1 -0.1 3.5 8.7 -4.1 9.1 -7.4 8.1 7.8 -14.8 -8.6 -15.2 -13.5 5.4 -2.0 9.2 -9.3 8.7 -20.0 2.0 2.5 -1.1 3.2 -4.4 3.2 -20.0 -0.9 6.2 1.6 -1.2 -20.0 -16.5 -7.2 -4.1 CHF 11.5 -8.1 -20.0 -1.2 -1.4 -1.6 3.6 0.9 2.6 -19.3 -19.0 -3.3 -13.9 -9.6 -18.8 -16.8 -16.1 -16.6 -16.2 -20.0 -20.0 -12.2 -16.1 -11.0 1.9 -6.7 -8.1 -7.3 -4.5 -4.2 -3.8 -20.0 -20.0 -19.5 -15.8 -20.0 1.1 -15.9 7.9 -13.5 COCOA -20.0 -20.0 -15.1 1.7 3.0 1.1 2.6 -0.1 2.2 -4.0 3.5 -5.7 5.1 -5.1 1.1 13.2 14.8 20.0 20.0 0.2 5.6 -6.0 6.4 -5.8 -15.1 1.4 -0.3 3.1 -0.8 3.6 -0.5 20.0 -12.0 -20.0 5.1 20.0 6.2 1.1 10.7 7.9 COFFEE -20.0 -0.8 7.4 3.9 6.7 2.4 5.7 -0.1 4.9 13.3 7.8 0.5 7.9 -2.0 1.0 6.0 8.3 9.3 9.7 6.0 10.3 12.3 8.9 2.9 -18.2 3.1 6.3 4.0 3.1 3.4 1.7 9.0 20.0 -20.0 20.0 20.0 0.6 -18.3 10.2 -6.2 COPPER 4.0 20.0 20.0 4.3 8.2 2.9 8.1 1.4 5.8 14.4 15.2 15.6 8.7 15.9 16.1 5.3 -3.6 -0.3 -2.6 20.0 20.0 20.0 13.2 20.0 -13.6 5.8 5.9 4.3 6.7 2.5 6.4 3.5 20.0 20.0 20.0 20.0 -17.4 -3.6 7.9 6.2 CORN 10.9 13.7 18.1 5.0 8.7 3.1 7.4 -0.2 6.4 -2.8 -5.9 4.1 -16.8 10.1 10.4 -18.4 -11.5 -18.8 -16.6 5.5 -4.1 2.0 -15.1 7.1 -15.6 3.3 -0.0 -1.8 1.4 -6.4 4.4 -20.0 -7.6 7.2 8.9 -9.2 -17.9 -20.0 -17.7 -0.3 COTTON2 -4.1 -20.0 -9.1 2.7 4.6 1.6 3.9 -0.1 3.4 4.5 -6.8 -3.8 -3.7 -8.7 -9.2 3.3 3.6 7.4 5.4 -12.7 -7.8 -2.6 -3.1 -10.5 -17.8 -2.5 1.4 -0.7 -0.6 0.6 -2.4 0.5 -9.2 -17.1 -20.0 0.7 -8.3 -13.7 5.3 -0.4 CRUDE_W -18.7 -9.8 6.3 -0.9 -6.1 3.2 -3.0 5.0 -3.8 -13.5 8.1 -17.5 15.6 -18.1 6.7 13.0 12.1 14.2 13.1 -0.6 9.8 -10.0 15.3 -9.8 -5.5 -1.0 -7.8 4.1 -5.0 7.2 -5.2 -0.0 -3.6 -8.8 0.6 3.2 20.0 16.6 20.0 18.7 DAX 12.5 -12.2 12.3 4.6 0.2 5.7 5.0 6.0 5.4 -12.2 19.9 12.5 19.8 13.8 17.2 -10.2 -11.5 -11.4 -12.0 20.0 20.0 9.9 20.0 18.3 13.2 7.7 -1.9 9.3 2.2 8.5 5.3 -9.8 -9.1 -3.5 20.0 19.7 -0.1 6.6 1.2 15.0 DOW 20.0 -10.0 -3.0 3.9 0.2 4.8 4.2 5.0 4.6 0.7 14.6 15.0 14.9 11.4 6.0 -11.4 -11.2 -11.8 -11.8 11.4 13.0 17.6 17.5 18.3 -13.8 4.6 0.5 5.5 5.7 7.1 6.3 -9.3 7.4 2.0 7.0 -8.9 4.7 -6.3 10.5 -12.9 DX -18.8 6.0 8.5 -1.3 -1.5 -1.7 3.9 0.9 2.7 -0.7 14.5 -14.6 12.7 -4.1 10.6 7.3 6.7 7.3 7.0 6.7 12.1 -9.7 11.0 -5.9 -20.0 2.8 1.0 4.8 -4.3 4.4 -2.6 16.1 -20.0 -20.0 20.0 20.0 9.6 6.4 12.9 14.4 EUR 15.5 -2.8 -3.5 -1.4 -1.5 -1.8 4.0 1.0 2.8 1.9 -7.5 16.4 -8.9 12.6 -2.2 -7.2 -6.9 -7.0 -6.8 0.3 -5.5 11.0 -6.0 10.2 20.0 2.0 -1.7 -0.6 6.5 -1.0 6.7 -7.4 6.8 9.3 6.9 5.6 -20.0 -16.9 -20.0 -13.0 EURIBOR-ICE 7.7 -16.8 -15.6 -1.2 -0.9 -1.5 0.2 -1.6 0.0 -6.7 -0.5 -1.2 0.9 -4.4 -6.6 -6.2 -4.5 -5.0 -4.1 -5.1 -3.0 -3.0 -0.5 -3.4 12.0 -2.3 -2.4 -1.1 -1.6 0.2 -1.8 -0.4 -3.0 -7.3 -3.5 -1.8 -20.0 -20.0 2.3 10.5 EUROSTX 8.1 -13.8 13.7 4.9 0.2 6.1 5.3 6.4 5.8 -12.8 20.0 14.1 20.0 15.3 20.0 -7.9 -1.0 -5.1 -2.4 20.0 20.0 7.0 20.0 15.7 -1.6 8.5 -3.5 11.2 1.8 11.0 5.5 8.1 -14.7 -9.9 18.8 20.0 -14.3 6.0 -20.0 9.9 FEEDCOW 6.1 -5.0 -4.1 5.1 8.8 3.1 7.5 -0.2 6.5 17.4 -1.7 13.7 -2.8 8.0 -2.8 -20.0 -20.0 -20.0 -20.0 -1.5 -4.2 20.0 -1.1 8.7 -6.8 0.7 12.9 -0.4 9.8 2.0 4.6 -20.0 20.0 2.0 -6.9 -0.2 20.0 20.0 20.0 20.0 GASOIL -15.0 -16.5 -0.9 -0.8 -5.5 2.9 -2.7 4.6 -3.5 -9.6 4.6 -13.4 14.6 -19.8 -10.5 -2.9 16.8 5.5 11.9 -10.7 1.9 -8.9 13.3 -15.1 6.9 -4.7 -4.6 0.2 -3.6 4.4 -6.2 4.1 -5.5 -8.1 -14.9 -9.5 -16.0 -9.8 -20.0 -20.0 GASOLINE -20.0 -14.0 8.0 -0.8 -5.6 2.9 -2.7 4.6 -3.5 -14.9 12.8 -17.2 16.5 -17.1 5.4 19.8 13.7 18.0 12.8 -3.0 9.6 -14.1 15.3 -14.0 -20.0 -1.9 -7.5 3.4 -6.1 6.6 -6.3 -0.0 -7.5 -15.9 -7.3 6.3 20.0 20.0 20.0 20.0 GAS_US_mini 20.0 20.0 13.2 -0.7 -4.8 2.5 -2.3 3.9 -3.0 17.3 -17.7 19.4 -20.0 18.1 0.1 -20.0 -20.0 -20.0 -20.0 6.9 -12.2 20.0 -20.0 20.0 20.0 2.3 14.3 -4.0 13.5 -7.2 9.0 -20.0 20.0 20.0 19.9 -20.0 -9.3 -5.4 -17.6 -10.4 GBP 14.3 -4.5 -4.2 -1.4 -1.6 -1.8 4.2 1.0 2.9 20.0 7.5 20.0 4.7 16.6 -1.2 -1.2 -0.8 -1.0 -0.8 3.4 -0.0 20.0 2.2 15.1 1.4 3.7 9.7 2.2 12.9 2.4 9.1 3.0 20.0 18.0 11.8 11.0 -20.0 -15.0 -20.0 -7.5 GOLD_micro -4.9 0.5 20.0 3.7 3.2 2.5 5.4 1.2 4.7 3.0 12.3 8.3 10.9 10.0 11.6 -11.8 -14.2 -13.0 -13.7 16.6 17.9 11.2 13.7 13.0 -3.6 4.4 0.5 5.0 2.4 4.0 3.0 -14.9 -6.6 -7.0 14.7 20.0 -9.9 -15.0 -0.0 -7.2 HEATOIL -14.0 -16.2 -2.9 -0.9 -5.8 3.0 -2.8 4.8 -3.6 -12.9 -4.0 -16.7 8.9 -20.0 -16.1 -7.5 16.2 1.4 9.5 -14.2 -3.4 -10.6 7.6 -17.2 -20.0 -5.5 -5.0 -0.6 -4.1 4.4 -6.7 1.8 -7.9 -9.6 -19.4 -13.1 11.1 5.8 3.6 1.2 JGB-SGX-mini -3.1 -20.0 -12.7 -1.6 -1.2 -2.0 0.2 -2.1 0.0 -10.0 -0.7 -10.3 2.5 -10.4 -10.3 19.8 16.7 17.5 15.6 -10.4 -6.2 -10.3 -1.0 -10.7 -9.3 -3.6 -3.2 -2.5 -3.3 -1.3 -3.6 20.0 -16.4 -14.2 -12.6 -3.4 -16.5 -7.8 -0.4 11.9 JPY 8.7 -1.0 -2.2 -0.5 -0.6 -0.7 1.6 0.4 1.1 -8.2 -9.2 -5.4 -9.7 -6.8 -8.4 -13.8 -16.3 -15.5 -16.0 -9.3 -10.9 -4.7 -12.5 -6.4 20.0 -3.2 -1.4 -3.6 -1.4 -3.8 -2.1 -20.0 -11.0 -13.2 -13.0 -13.3 -20.0 -11.1 -19.1 -10.6 LEANHOG -20.0 -13.8 16.8 6.7 11.5 4.1 9.8 -0.2 8.5 -20.0 10.4 -20.0 -2.2 -20.0 -4.0 -10.6 -20.0 -20.0 -20.0 -9.2 4.8 -20.0 0.8 -20.0 8.8 -3.4 -10.9 2.9 -10.6 1.9 -9.3 -20.0 -20.0 -20.0 -20.0 7.8 -10.0 -10.1 -2.2 10.2 LIVECOW 12.2 -3.0 1.2 5.1 8.7 3.1 7.4 -0.2 6.4 17.4 1.3 18.0 0.2 9.4 0.1 19.6 8.0 20.0 15.5 3.9 -0.1 20.0 1.1 14.8 -6.5 3.7 15.2 2.4 12.6 3.7 7.5 12.6 20.0 14.1 -0.9 14.2 20.0 20.0 20.0 20.0 LUMBER-new 5.5 -20.0 -9.6 5.4 9.3 3.3 7.9 0.3 6.8 11.5 -9.3 6.7 -12.9 -13.9 -14.7 -20.0 -17.9 -20.0 -19.5 -20.0 -16.4 -1.7 -9.0 -14.6 NaN -5.5 1.7 -3.9 -0.4 -1.7 -3.5 -20.0 -11.5 -3.0 -20.0 -20.0 -12.9 -10.9 -4.9 -6.7 MILK 20.0 20.0 20.0 3.6 6.2 2.2 5.3 -0.1 4.6 -6.5 -1.0 9.6 -9.4 12.6 11.0 20.0 -20.0 -9.8 -20.0 16.8 3.8 12.4 -8.9 20.0 14.8 3.6 -0.9 0.7 2.7 -2.3 4.7 -20.0 1.2 20.0 20.0 8.2 -20.0 -20.0 -17.3 -20.0 MXP 12.4 -12.1 -1.5 -1.3 -1.5 -1.7 3.8 0.9 2.7 10.1 17.5 19.0 20.0 7.8 9.4 16.0 17.1 16.7 16.6 13.0 17.0 19.4 20.0 16.5 -20.0 5.9 3.7 7.4 7.8 10.0 6.8 20.0 16.7 15.2 15.3 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro 20.0 -14.1 -3.7 3.1 0.1 3.8 3.3 4.0 3.6 10.9 12.7 13.6 13.7 11.7 9.5 -10.2 -10.3 -10.5 -10.7 9.6 11.9 19.4 17.8 15.8 -20.0 2.9 4.3 4.5 6.3 7.4 4.8 -7.5 11.7 8.7 0.5 -6.7 -1.1 0.7 -0.5 0.5 NIKKEI 2.1 -20.0 -0.5 3.7 0.2 4.6 4.0 4.8 4.3 4.4 11.7 10.6 14.7 -2.1 3.8 1.6 8.7 3.6 6.2 4.0 15.5 6.2 20.0 2.3 -16.0 1.7 0.5 7.2 2.3 11.3 0.7 20.0 -7.9 -16.5 -14.0 3.7 -7.7 -7.1 -6.1 -9.2 NZD 19.5 1.5 -5.4 -0.9 -1.0 -1.2 2.7 0.7 1.9 3.5 -2.9 11.8 -4.5 9.8 -0.7 0.0 0.2 0.1 0.2 2.4 -2.3 11.4 -3.2 10.5 0.9 1.5 1.4 -0.7 5.8 -0.9 5.3 4.6 9.7 11.5 10.0 1.4 -4.1 -4.6 2.1 7.2 OAT 6.3 -8.9 -6.9 -1.6 -1.2 -1.9 0.2 -2.0 0.0 -6.2 -0.9 1.4 -0.4 -2.9 -6.7 5.8 6.1 5.6 5.5 -3.7 -2.7 -1.8 -2.1 -2.0 2.3 -1.2 -2.8 -0.1 -1.4 0.3 -1.1 16.7 -2.0 -6.5 4.2 5.8 -20.0 -19.1 5.1 -1.5 OATIES 14.3 20.0 9.1 3.5 6.0 2.1 5.1 -0.1 4.4 -10.0 -5.1 -4.1 -9.3 4.8 5.9 11.8 2.6 11.1 7.1 6.3 0.4 -5.7 -4.1 5.0 -20.0 2.9 -3.0 0.9 -0.4 -0.5 2.8 0.7 -7.1 17.3 13.0 4.7 -11.9 -1.7 2.1 13.7 OJ 20.0 17.9 11.0 6.2 10.7 3.8 9.1 -0.2 7.9 20.0 16.3 20.0 20.0 20.0 20.0 14.6 13.0 9.7 10.0 20.0 20.0 20.0 20.0 20.0 -20.0 6.8 11.0 4.6 13.7 6.5 11.3 13.4 20.0 20.0 20.0 20.0 4.5 8.7 17.2 20.0 PALLAD 1.0 1.2 8.4 2.8 2.5 1.9 4.2 0.9 3.6 3.1 -4.1 5.6 -8.4 -2.4 0.9 -2.7 -2.2 -2.3 -2.1 -0.9 -3.7 4.0 -10.3 1.3 14.4 0.0 1.2 -1.3 2.8 -4.1 1.2 5.6 -14.2 -13.8 -14.0 -10.8 -20.0 -20.0 -20.0 -13.2 PLAT 20.0 15.4 10.8 3.9 3.4 2.6 5.7 1.3 4.9 2.5 4.8 9.5 -5.4 10.6 9.4 -4.8 -3.9 -4.8 -4.4 13.7 6.6 16.3 1.0 19.1 10.4 4.2 0.9 2.4 4.9 1.0 5.6 2.2 -0.6 20.0 9.2 -1.1 -20.0 -7.1 9.0 6.8 REDWHEAT 15.0 20.0 20.0 4.1 7.0 2.5 6.0 -0.1 5.2 12.6 2.0 13.2 -11.3 13.7 12.0 -10.7 -1.7 -5.9 -3.2 16.5 4.4 18.4 -7.8 20.0 -6.2 4.5 3.7 1.4 4.7 -1.4 5.6 -10.5 20.0 20.0 20.0 4.1 -10.5 -20.0 1.5 -19.3 RICE 16.2 20.0 -2.2 4.0 6.8 2.4 5.8 -0.1 5.0 13.8 9.3 15.2 10.3 15.8 12.0 20.0 20.0 20.0 20.0 15.6 11.0 14.1 9.9 18.0 -10.3 3.0 3.8 1.5 3.6 1.3 4.1 20.0 7.6 9.1 14.8 1.1 -4.7 -4.5 -2.0 1.7 ROBUSTA -20.0 -20.0 -13.5 2.2 3.8 1.3 3.2 -0.1 2.8 7.3 5.8 -2.7 7.2 -3.0 1.4 15.8 20.0 19.8 20.0 3.8 9.8 6.1 11.3 -0.7 -20.0 2.2 3.9 3.6 1.6 3.9 0.8 20.0 19.9 -15.6 14.9 20.0 -5.0 -14.2 4.7 4.2 RUSSELL 17.8 -7.6 6.1 3.6 0.2 4.5 3.9 4.7 4.3 2.1 12.2 13.3 11.2 7.4 4.9 -7.2 -6.5 -6.9 -6.7 7.2 7.7 10.7 7.9 11.5 -2.1 3.8 -0.4 4.1 4.4 4.4 5.1 -0.8 -4.8 -2.8 4.8 -12.1 -7.5 -20.0 -8.7 -20.0 SHATZ 4.0 -6.9 -19.9 -1.3 -1.0 -1.6 0.2 -1.7 0.0 -7.3 -8.7 -5.6 -8.4 -7.1 -8.6 -20.0 -20.0 -20.0 -20.0 -10.0 -11.2 -5.6 -11.4 -6.7 7.6 -3.3 -2.4 -3.2 -2.1 -2.8 -2.5 -20.0 -5.8 -13.9 -6.7 -10.1 -20.0 -20.0 -18.1 -18.7 SILVER-mini 6.3 11.1 19.4 3.6 3.1 2.4 5.2 1.2 4.5 7.4 10.0 10.8 6.5 10.9 10.9 -6.2 -6.7 -6.5 -6.6 16.3 11.8 20.0 6.7 20.0 2.4 4.3 4.1 3.5 5.9 2.2 5.1 -2.2 20.0 14.4 17.5 17.6 -8.7 -13.5 15.8 5.3 SMI 20.0 -0.2 11.3 4.1 0.2 5.0 4.4 5.3 4.8 10.2 16.0 17.3 13.4 15.9 13.9 -2.8 3.1 -0.7 1.8 20.0 15.6 20.0 11.0 20.0 14.3 6.5 4.7 5.5 8.5 4.1 8.3 15.2 15.4 12.8 20.0 1.0 10.8 -0.2 14.0 -1.5 SOFR 20.0 -8.3 -11.4 -1.7 -1.3 -2.1 0.3 -2.2 0.0 -0.6 -2.8 6.6 -3.9 0.2 -6.3 -3.5 -0.9 -2.5 -1.5 -3.8 -6.5 5.6 -6.1 3.4 -2.6 -0.7 0.7 -1.5 2.6 -1.3 1.8 4.9 11.2 6.9 0.4 -0.0 -5.5 -20.0 11.7 -0.8 SOYBEAN 17.1 13.8 4.8 5.1 8.7 3.1 7.5 -0.2 6.5 13.9 -7.3 11.4 -5.7 11.2 10.1 0.4 8.8 0.7 3.7 7.7 -2.6 12.7 -8.7 13.1 -20.0 3.9 5.9 0.0 5.9 -2.0 6.1 4.3 -6.7 17.0 3.9 -6.6 -16.3 -20.0 -13.8 -20.0 SOYMEAL 20.0 20.0 3.1 3.6 6.2 2.2 5.3 -0.1 4.5 6.1 -7.7 4.5 -8.7 7.2 5.0 3.2 5.9 -0.3 1.1 9.2 -0.9 6.8 -6.1 12.0 -20.0 3.3 1.5 0.5 2.2 -0.8 3.9 -0.5 -12.1 20.0 18.7 -2.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 5.9 -6.7 4.9 2.7 4.6 1.6 4.0 -0.1 3.4 7.2 -8.7 6.3 -8.6 -3.6 -5.5 -6.4 -0.6 -6.8 -4.9 -4.9 -7.1 6.4 -8.2 -0.2 -20.0 -1.9 3.0 -2.1 2.3 -2.0 -0.4 -11.2 7.0 -6.4 -17.1 -7.9 -20.0 -15.9 -8.2 2.6 SP400 16.3 -11.6 13.1 3.9 0.2 4.9 4.2 5.1 4.6 -9.0 14.8 12.3 14.2 8.3 9.4 -7.4 -5.6 -6.3 -5.9 12.6 16.3 9.4 17.0 13.4 -13.9 4.9 -2.1 6.2 3.0 6.5 4.7 0.8 -7.5 -2.7 5.4 -0.2 -8.0 -10.6 -7.2 -20.0 SP500_micro 20.0 -15.5 6.1 3.9 0.2 4.9 4.3 5.1 4.6 10.9 16.9 17.1 17.2 14.8 13.7 -12.0 -11.8 -12.3 -12.3 15.8 20.0 20.0 20.0 20.0 -20.0 5.0 3.3 7.0 6.8 9.1 6.1 -10.2 11.6 9.3 3.8 4.3 1.4 -2.2 5.5 -2.3 SUGAR11 -4.4 -20.0 -20.0 4.0 6.9 2.4 5.8 -0.1 5.1 -10.9 -13.9 -11.8 -3.8 -14.4 -14.4 0.3 13.5 5.0 9.5 -20.0 -18.2 -15.9 -8.7 -19.8 -20.0 -5.3 -3.1 -4.6 -4.0 -2.2 -5.0 13.9 -20.0 -20.0 -20.0 -20.0 20.0 12.6 20.0 20.0 US10 19.9 -6.9 -8.5 -1.5 -1.1 -1.8 0.2 -1.9 0.0 -2.8 -3.2 5.3 -5.4 -0.3 -5.7 -4.7 -7.2 -5.7 -6.6 -3.5 -6.1 3.3 -7.8 2.0 2.6 -0.8 -0.1 -1.5 1.6 -1.9 1.2 -5.3 6.7 3.6 0.4 0.6 -12.5 -20.0 1.8 2.3 US10U 19.3 -6.9 -8.1 -2.2 -1.6 -2.7 0.3 -2.8 0.0 -1.2 -4.5 8.9 -7.8 -0.6 -8.7 -6.2 -2.0 -4.9 -3.3 -5.2 -9.3 5.9 -12.2 3.2 0.3 -0.9 0.8 -2.1 3.1 -2.9 2.2 2.5 12.1 5.5 1.7 3.0 -12.1 -18.2 18.7 9.7 US2 17.3 -9.5 -18.0 -1.4 -1.0 -1.7 0.2 -1.8 0.0 -7.5 -7.6 2.4 -8.6 -3.4 -7.4 -20.0 -20.0 -20.0 -20.0 -7.9 -10.7 -0.9 -12.6 -2.2 12.6 -2.2 -1.7 -2.6 -0.3 -2.8 -0.6 -20.0 0.7 -2.5 -4.8 -7.9 -15.0 -20.0 -9.8 -20.0 US20 20.0 -7.4 -4.9 -1.6 -1.2 -1.9 0.2 -2.0 0.0 1.3 -0.3 7.1 -3.5 0.6 -5.0 -0.7 -0.7 -0.5 -0.5 -2.2 -4.8 5.7 -7.1 3.7 -0.9 0.3 1.3 -0.5 3.0 -1.3 2.5 5.8 10.9 6.5 3.3 6.0 -15.5 -13.7 20.0 15.1 US30 18.4 -7.2 -3.4 -1.9 -1.4 -2.3 0.3 -2.4 0.0 2.7 -1.9 8.5 -5.5 -0.2 -6.3 -1.0 -4.8 -2.9 -4.3 -3.2 -6.2 6.5 -9.3 3.6 -0.4 0.0 2.1 -0.9 3.7 -2.0 2.7 -1.2 13.4 5.5 3.5 7.8 -17.0 -12.4 14.8 17.7 US5 20.0 -7.6 -12.7 -1.5 -1.1 -1.9 0.2 -1.9 0.0 -4.6 -6.3 4.6 -7.4 -1.4 -6.8 -9.9 -10.1 -9.7 -9.9 -5.0 -7.9 2.5 -9.2 1.1 5.8 -1.3 -0.6 -2.0 1.2 -2.1 0.8 -10.5 6.1 3.0 -1.5 -2.8 -11.1 -20.0 -2.3 -7.4 VIX -18.7 -3.4 7.5 -6.3 -2.0 -5.9 -5.7 -7.3 -7.1 -11.0 -20.0 -19.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -19.6 -20.0 -20.0 NaN -7.2 -2.3 -6.9 -6.4 -8.8 -8.0 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 20.0 20.0 20.0 3.9 6.8 2.4 5.8 -0.1 5.0 11.6 6.1 13.1 -9.6 13.7 12.2 -16.0 -13.8 -16.8 -15.4 18.8 6.7 20.0 -5.5 20.0 1.1 4.4 3.8 1.6 5.1 -0.6 5.8 -20.0 20.0 20.0 20.0 4.3 -8.9 -20.0 -2.8 -20.0 End of report for caleb_strategy_v3