******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240527_204004 produced at 2024-05-27 21:37:28.013436 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.86 0.0 0.00 -0.08 -0.08 -0.08 -31.17 16.0 -3 -3 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.24 -0.47 0.0 0.80 -0.80 -0.24 -0.24 -5.88 10.0 -3 -3 caleb_strategy_v3 SOFR False True 0.07 0.00 -0.38 0.0 0.00 0.00 0.00 0.00 -5.22 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.37 0.0 0.00 0.00 0.00 0.00 -10.82 24.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.28 -0.29 0.0 999.00 -999.00 -0.28 -0.28 -63.17 999999999.0 -63 -63 caleb_strategy_v3 US2 False True 0.06 0.00 -0.29 0.0 0.00 0.00 0.00 0.00 -4.65 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.17 -0.21 0.0 0.54 -0.54 -0.17 -0.21 -4.96 13.0 -4 -5 caleb_strategy_v3 CAD False False 0.02 -0.07 -0.09 0.0 0.64 -0.64 -0.07 -0.07 -3.96 29.0 -3 -3 caleb_strategy_v3 LEANHOG False False 0.01 -0.07 -0.09 0.0 0.15 -0.15 -0.07 -0.07 -7.72 13.0 -6 -6 caleb_strategy_v3 JPY False False 0.02 -0.10 -0.07 0.0 0.41 -0.41 -0.10 -0.10 -2.98 17.0 -4 -4 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.06 0.0 0.09 -0.09 -0.06 -0.06 -1.97 3.0 -2 -2 caleb_strategy_v3 US5 False False 0.03 -0.22 -0.06 0.0 0.80 -0.80 -0.22 -0.22 -2.02 25.0 -7 -7 caleb_strategy_v3 BOBL False True 0.04 -0.11 -0.05 0.0 0.00 -0.11 -0.11 -0.11 -1.29 19.0 -3 -3 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.05 0.0 0.01 -0.01 0.00 0.00 -11.77 3.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.04 0.0 0.09 -0.09 -0.01 -0.01 -6.03 12.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.03 0.0 0.16 -0.16 -0.01 -0.01 -10.41 51.0 -4 -4 caleb_strategy_v3 BUND False True 0.04 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.66 10.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -1.23 4.0 -1 -1 caleb_strategy_v3 US10 False False 0.03 0.00 -0.02 0.0 0.56 -0.56 0.00 0.00 -0.76 17.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.02 -0.02 0.0 0.11 -0.11 -0.02 -0.02 -3.64 18.0 -3 -3 caleb_strategy_v3 DOW False False 0.01 0.01 -0.02 0.0 0.39 -0.39 0.01 0.01 -3.11 66.0 1 1 caleb_strategy_v3 OAT False True 0.04 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.49 10.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.04 -0.02 0.0 0.13 -0.13 -0.04 -0.04 -1.85 11.0 -3 -3 caleb_strategy_v3 SP400 False False 0.09 0.09 -0.02 0.0 0.18 -0.18 0.09 0.09 -0.17 2.0 1 1 caleb_strategy_v3 US10U False False 0.03 -0.17 -0.01 0.0 0.44 -0.44 -0.17 -0.17 -0.30 13.0 -5 -5 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.01 0.0 0.08 -0.08 -0.02 -0.02 -1.59 10.0 -3 -2 caleb_strategy_v3 GOLD_micro False False 0.01 0.01 -0.01 0.0 0.40 -0.40 0.01 0.01 -1.64 56.0 1 1 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.13 -0.13 -0.02 -0.02 -0.40 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 -0.35 4.0 -2 -2 caleb_strategy_v3 BTP False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.23 10.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.11 -0.01 0.0 0.21 -0.21 -0.11 -0.09 -2.71 68.0 -34 -28 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.42 2.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.00 0.0 0.10 -0.10 0.00 0.00 -0.42 9.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.29 2.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 0.00 0.0 0.09 -0.09 0.00 0.00 0.38 8.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.00 0.0 0.26 -0.26 0.00 0.00 0.09 23.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 0.00 0.00 0.0 0.10 -0.10 0.00 0.00 0.38 9.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.22 -0.22 0.00 0.00 -0.01 6.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.02 0.00 0.0 0.15 -0.15 0.02 0.02 0.08 6.0 1 1 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.61 -0.61 0.00 0.00 0.02 26.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 0.00 0.0 0.26 -0.26 -0.01 -0.01 0.24 23.0 -1 -1 caleb_strategy_v3 NIKKEI False False 0.01 -0.01 0.01 0.0 0.27 -0.27 -0.01 -0.01 1.56 36.0 -1 -1 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.06 -0.06 0.00 0.00 0.95 5.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 0.00 0.01 0.0 0.06 -0.06 0.00 0.01 3.16 26.0 0 3 caleb_strategy_v3 FEEDCOW False False 0.04 0.04 0.01 0.0 0.32 -0.32 0.04 0.04 0.27 8.0 1 1 caleb_strategy_v3 EUR False False 0.04 0.00 0.01 0.0 0.57 -0.57 0.00 0.00 0.35 14.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.18 9.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.01 0.0 0.00 0.00 0.00 0.00 6.66 59.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.06 0.01 0.0 999.00 -999.00 0.06 0.03 0.18 999999999.0 2 1 caleb_strategy_v3 SP500_micro False False 0.01 0.04 0.02 0.0 0.39 -0.39 0.04 0.04 2.00 48.0 5 5 caleb_strategy_v3 AUD False False 0.02 0.00 0.02 0.0 0.38 -0.38 0.00 0.00 0.97 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 1.30 999999999.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.05 0.03 0.0 0.16 -0.16 0.05 0.03 1.87 10.0 3 2 caleb_strategy_v3 RICE False False 0.01 0.00 0.04 0.0 0.04 -0.04 0.00 0.00 4.69 4.0 0 0 caleb_strategy_v3 DX False False 0.03 0.00 0.04 0.0 999.00 -999.00 0.00 0.00 1.27 999999999.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 0.05 0.0 0.39 -0.39 0.00 0.00 2.53 21.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.06 0.0 0.06 -0.06 0.02 0.02 2.78 3.0 1 1 caleb_strategy_v3 GBP False False 0.02 0.00 0.06 0.0 0.53 -0.53 0.00 0.00 2.42 22.0 0 0 caleb_strategy_v3 COPPER False False 0.04 0.18 0.07 0.0 999.00 -999.00 0.18 0.18 2.09 999999999.0 5 5 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.08 0.0 0.11 -0.11 0.02 0.02 3.63 5.0 1 1 caleb_strategy_v3 EUROSTX False False 0.02 0.18 0.09 0.0 0.33 -0.33 0.18 0.23 5.18 20.0 11 14 caleb_strategy_v3 CAC True False 0.03 0.00 0.09 0.0 0.00 0.00 0.00 0.00 3.35 12.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.13 0.12 0.0 0.37 -0.37 0.13 0.13 5.62 17.0 6 6 caleb_strategy_v3 DAX False False 0.01 0.09 0.13 0.0 0.36 -0.36 0.09 0.09 21.23 58.0 15 15 caleb_strategy_v3 SMI False True 0.04 0.08 0.17 0.0 0.08 0.00 0.08 0.08 4.32 9.0 2 2 caleb_strategy_v3 MXP False False 0.01 0.53 0.70 0.0 0.54 -0.54 0.53 0.53 77.24 60.0 59 59 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 20.0 Shocked risk 58.3 Sum abs risk 51.3 Leverage 5.57 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3310229.22, 'annual_cash_vol_target': 827557.305, 'daily_cash_vol_target': 51722.3315625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0040 0.6660 0.6048 9.6771 BITCOIN 1782.5543 70860.0000 2.5156 40.2496 BOBL 0.2710 116.3600 0.2329 3.7266 BTP 0.5892 117.7600 0.5004 8.0058 BUND 0.5342 130.3400 0.4098 6.5575 BUXL 1.2255 129.0000 0.9500 15.1997 CAC 47.6934 8127.0000 0.5869 9.3896 CAD 0.0028 0.7338 0.3817 6.1080 CANOLA 7.3584 692.1000 1.0632 17.0112 CHF 0.0043 1.0974 0.3941 6.3059 COCOA 386.0717 7808.0000 4.9446 79.1131 COFFEE 4.3007 217.3500 1.9787 31.6592 COPPER 0.0788 4.7590 1.6564 26.5020 CORN 5.0542 488.2500 1.0352 16.5627 COTTON2 1.3531 78.0100 1.7345 27.7515 CRUDE_W 0.8397 75.2400 1.1161 17.8570 DAX 118.9106 18854.0000 0.6307 10.0911 DOW 247.7560 39149.0000 0.6329 10.1257 DX 0.3405 104.1200 0.3271 5.2328 EUR 0.0041 1.0868 0.3768 6.0285 EURIBOR-ICE 0.0526 97.3050 0.0540 0.8642 EUROSTX 33.5393 5068.0000 0.6618 10.5886 FEEDCOW 1.9506 261.7500 0.7452 11.9232 GASOIL 9.6024 753.0000 1.2752 20.4034 GASOLINE 0.0344 2.4516 1.4041 22.4663 GAS_US_mini 0.0968 2.8100 3.4456 55.1295 GBP 0.0054 1.2770 0.4259 6.8140 GOLD_micro 21.9839 2357.5000 0.9325 14.9201 HEATOIL 0.0301 2.4466 1.2298 19.6775 JGB-SGX-mini 0.2007 143.5500 0.1398 2.2373 JPY 0.0000 0.0064 0.6619 10.5905 LEANHOG 1.0757 96.9000 1.1101 17.7615 LIVECOW 1.3066 181.1250 0.7214 11.5425 LUMBER-new 6.7956 540.5000 1.2573 20.1165 MILK 0.2565 19.9700 1.2847 20.5548 MXP 0.0003 0.0598 0.5630 9.0076 NASDAQ_micro 143.1344 18871.7500 0.7585 12.1353 NIKKEI 356.1558 38950.0000 0.9144 14.6303 NZD 0.0037 0.6149 0.5955 9.5274 OAT 0.5294 125.7800 0.4209 6.7340 OATIES 7.2134 374.7500 1.9248 30.7976 OJ 5.3077 456.5500 1.1626 18.6011 PALLAD 22.7233 975.0000 2.3306 37.2896 PLAT 17.0144 1035.2000 1.6436 26.2974 REDWHEAT 12.6200 735.7500 1.7153 27.4440 RICE 0.1595 15.6250 1.0208 16.3324 ROBUSTA 79.4212 3806.0000 2.0867 33.3878 RUSSELL 20.0005 2076.7000 0.9631 15.4095 SHATZ 0.0809 105.0300 0.0770 1.2320 SILVER-mini 0.5714 30.8250 1.8537 29.6599 SMI 74.8216 11991.0000 0.6240 9.9837 SOFR 0.0631 96.0650 0.0657 1.0515 SOYBEAN 9.9468 1219.5000 0.8156 13.0504 SOYMEAL 4.7909 377.8000 1.2681 20.2898 SOYOIL 0.7273 45.3800 1.6026 25.6417 SP400 22.8711 2986.4000 0.7658 12.2535 SP500_micro 32.5476 5321.0000 0.6117 9.7869 SUGAR11 0.2917 18.3900 1.5859 25.3751 US10 0.3732 109.1094 0.3420 5.4725 US10U 0.4870 112.4219 0.4332 6.9311 US2 0.0960 101.7969 0.0943 1.5087 US20 0.7198 117.1875 0.6142 9.8277 US30 1.0610 123.9688 0.8559 13.6936 US5 0.2428 105.4922 0.2302 3.6825 VIX 0.4042 14.9500 2.7039 43.2618 WHEAT 11.4732 739.2500 1.5520 24.8321 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 666.00 0.60 402.81 1.00 402.81 51722.33 128.40 2.91 37.30 BITCOIN 70.86 2.52 178.26 1.00 178.26 51722.33 290.16 2.12 61.46 BOBL 1163.60 0.23 271.01 1.08 293.01 51722.33 176.52 -7.22 -127.42 BTP 1177.60 0.50 589.23 1.08 637.04 51722.33 81.19 -0.83 -6.71 BUND 1303.40 0.41 534.19 1.08 577.54 51722.33 89.56 -7.29 -65.33 BUXL 1290.00 0.95 1225.48 1.08 1324.93 51722.33 39.04 -8.81 -34.39 CAC 812.70 0.59 476.93 1.08 515.64 51722.33 100.31 9.81 98.35 CAD 733.85 0.38 280.15 1.00 280.15 51722.33 184.63 -8.27 -152.70 CANOLA 138.42 1.06 147.17 0.73 107.15 51722.33 482.70 -8.86 -427.80 CHF 1371.75 0.39 540.63 1.00 540.63 51722.33 95.67 -20.00 -191.34 COCOA 780.80 4.94 3860.72 1.00 3860.72 51722.33 13.40 0.58 0.78 COFFEE 815.06 1.98 1612.76 1.00 1612.76 51722.33 32.07 2.05 6.58 COPPER 1189.75 1.66 1970.67 1.00 1970.67 51722.33 26.25 7.34 19.26 CORN 244.12 1.04 252.71 1.00 252.71 51722.33 204.67 -12.12 -247.98 COTTON2 390.05 1.73 676.53 1.00 676.53 51722.33 76.45 -11.31 -86.50 CRUDE_W 752.40 1.12 839.73 1.00 839.73 51722.33 61.59 5.45 33.55 DAX 188.54 0.63 118.91 1.08 128.56 51722.33 402.32 15.47 622.47 DOW 195.74 0.63 123.88 1.00 123.88 51722.33 417.53 -3.20 -133.71 DX 1041.20 0.33 340.53 1.00 340.53 51722.33 151.89 3.22 48.92 EUR 1358.44 0.38 511.84 1.00 511.84 51722.33 101.05 1.33 13.48 EURIBOR-ICE 2432.63 0.05 131.39 1.08 142.05 51722.33 364.12 -4.74 -172.43 EUROSTX 506.80 0.66 335.39 1.08 362.61 51722.33 142.64 10.64 151.81 FEEDCOW 1308.75 0.75 975.28 1.00 975.28 51722.33 53.03 1.53 8.11 GASOIL 753.00 1.28 960.24 1.00 960.24 51722.33 53.86 -5.28 -28.46 GASOLINE 1029.67 1.40 1445.81 1.00 1445.81 51722.33 35.77 1.13 4.04 GAS_US_mini 70.25 3.45 242.05 1.00 242.05 51722.33 213.68 1.37 29.21 GBP 798.12 0.43 339.90 1.00 339.90 51722.33 152.17 6.14 93.36 GOLD_micro 235.75 0.93 219.84 1.00 219.84 51722.33 235.27 -2.04 -48.08 HEATOIL 1027.57 1.23 1263.76 1.00 1263.76 51722.33 40.93 -11.12 -45.50 JGB-SGX-mini 143550.00 0.14 20072.70 0.01 127.79 51722.33 404.76 -7.11 -287.85 JPY 799.56 0.66 529.23 1.00 529.23 51722.33 97.73 -11.75 -114.80 LEANHOG 387.60 1.11 430.27 1.00 430.27 51722.33 120.21 -10.57 -127.03 LIVECOW 724.50 0.72 522.66 1.00 522.66 51722.33 98.96 17.13 169.54 LUMBER-new 148.64 1.26 186.88 1.00 186.88 51722.33 276.77 -19.87 -550.04 MILK 399.40 1.28 513.10 1.00 513.10 51722.33 100.80 4.41 44.50 MXP 299.05 0.56 168.36 1.00 168.36 51722.33 307.22 17.13 526.23 NASDAQ_micro 377.44 0.76 286.27 1.00 286.27 51722.33 180.68 0.56 10.17 NIKKEI 38950.00 0.91 35615.58 0.01 226.73 51722.33 228.12 0.63 14.38 NZD 614.90 0.60 366.15 1.00 366.15 51722.33 141.26 6.89 97.34 OAT 1257.80 0.42 529.38 1.08 572.34 51722.33 90.37 -1.59 -14.40 OATIES 187.38 1.92 360.67 1.00 360.67 51722.33 143.41 -0.82 -11.75 OJ 684.82 1.16 796.16 1.00 796.16 51722.33 64.96 20.00 129.93 PALLAD 975.00 2.33 2272.33 1.00 2272.33 51722.33 22.76 -5.38 -12.25 PLAT 517.60 1.64 850.72 1.00 850.72 51722.33 60.80 9.04 54.96 REDWHEAT 367.88 1.72 631.00 1.00 631.00 51722.33 81.97 3.50 28.69 RICE 312.50 1.02 318.99 1.00 318.99 51722.33 162.14 11.90 192.94 ROBUSTA 380.60 2.09 794.21 1.00 794.21 51722.33 65.12 1.18 7.69 RUSSELL 103.84 0.96 100.00 1.00 100.00 51722.33 517.21 -1.58 -81.65 SHATZ 1050.30 0.08 80.88 1.08 87.44 51722.33 591.53 -18.04 -1066.90 SILVER-mini 770.62 1.85 1428.54 1.00 1428.54 51722.33 36.21 10.51 38.04 SMI 1199.10 0.62 748.22 1.09 817.46 51722.33 63.27 20.00 126.54 SOFR 2401.62 0.07 157.83 1.00 157.83 51722.33 327.71 -2.62 -85.83 SOYBEAN 609.75 0.82 497.34 1.00 497.34 51722.33 104.00 -4.18 -43.42 SOYMEAL 377.80 1.27 479.09 1.00 479.09 51722.33 107.96 -4.22 -45.54 SOYOIL 272.28 1.60 436.36 1.00 436.36 51722.33 118.53 -14.43 -171.07 SP400 2986.40 0.77 2287.11 1.00 2287.11 51722.33 22.61 -2.23 -5.03 SP500_micro 266.05 0.61 162.74 1.00 162.74 51722.33 317.83 2.71 86.02 SUGAR11 205.97 1.59 326.65 1.00 326.65 51722.33 158.34 -10.82 -171.32 US10 1091.09 0.34 373.19 1.00 373.19 51722.33 138.59 -4.31 -59.76 US10U 1124.22 0.43 487.01 1.00 487.01 51722.33 106.20 -2.24 -23.76 US2 2035.94 0.09 191.98 1.00 191.98 51722.33 269.42 -13.62 -367.08 US20 1171.88 0.61 719.80 1.00 719.80 51722.33 71.86 2.01 14.47 US30 1239.69 0.86 1060.99 1.00 1060.99 51722.33 48.75 -0.11 -0.53 US5 1054.92 0.23 242.80 1.00 242.80 51722.33 213.02 -7.50 -159.79 VIX 149.50 2.70 404.23 1.00 404.23 51722.33 127.95 -20.00 -255.91 WHEAT 369.62 1.55 573.66 1.00 573.66 51722.33 90.16 3.17 28.62 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 37.301 0.010 2.5 0.968 BITCOIN 61.464 0.043 2.5 6.656 BOBL -127.415 0.004 2.5 -1.292 BTP -6.709 0.014 2.5 -0.229 BUND -65.328 0.004 2.5 -0.662 BUXL -34.394 0.004 2.5 -0.349 CAC 98.353 0.014 2.5 3.355 CAD -152.702 0.010 2.5 -3.962 CANOLA -427.796 0.010 2.5 -10.408 CHF -191.340 0.010 2.5 -4.964 COCOA 0.778 0.009 2.5 0.017 COFFEE 6.584 0.005 2.5 0.077 COPPER 19.257 0.043 2.5 2.085 CORN -247.976 0.010 2.5 -6.033 COTTON2 -86.498 0.009 2.5 -1.853 CRUDE_W 33.546 0.043 2.5 3.633 DAX 622.473 0.014 2.5 21.231 DOW -133.710 0.009 2.5 -3.107 DX 48.924 0.010 2.5 1.269 EUR 13.480 0.010 2.5 0.350 EURIBOR-ICE -172.433 0.014 2.5 -5.881 EUROSTX 151.813 0.014 2.5 5.178 FEEDCOW 8.113 0.013 2.5 0.269 GASOIL -28.461 0.017 2.5 -1.234 GASOLINE 4.040 0.017 2.5 0.175 GAS_US_mini 29.206 0.043 2.5 3.163 GBP 93.359 0.010 2.5 2.422 GOLD_micro -48.084 0.014 2.5 -1.640 HEATOIL -45.498 0.017 2.5 -1.972 JGB-SGX-mini -287.847 0.043 2.5 -31.170 JPY -114.796 0.010 2.5 -2.978 LEANHOG -127.034 0.024 2.5 -7.720 LIVECOW 169.541 0.013 2.5 5.618 LUMBER-new -550.036 0.009 2.5 -11.774 MILK 44.501 0.009 2.5 0.953 MXP 526.233 0.059 2.5 77.236 NASDAQ_micro 10.168 0.009 2.5 0.236 NIKKEI 14.378 0.043 2.5 1.557 NZD 97.343 0.010 2.5 2.526 OAT -14.400 0.014 2.5 -0.491 OATIES -11.749 0.010 2.5 -0.286 OJ 129.930 0.009 2.5 2.783 PALLAD -12.254 0.014 2.5 -0.418 PLAT 54.963 0.014 2.5 1.875 REDWHEAT 28.694 0.005 2.5 0.381 RICE 192.937 0.010 2.5 4.694 ROBUSTA 7.691 0.005 2.5 0.090 RUSSELL -81.653 0.013 2.5 -2.706 SHATZ -1066.901 0.004 2.5 -10.819 SILVER-mini 38.043 0.014 2.5 1.298 SMI 126.543 0.014 2.5 4.316 SOFR -85.831 0.024 2.5 -5.216 SOYBEAN -43.421 0.004 2.5 -0.404 SOYMEAL -45.540 0.004 2.5 -0.424 SOYOIL -171.073 0.004 2.5 -1.592 SP400 -5.034 0.013 2.5 -0.167 SP500_micro 86.025 0.009 2.5 1.999 SUGAR11 -171.321 0.009 2.5 -3.644 US10 -59.758 0.005 2.5 -0.757 US10U -23.762 0.005 2.5 -0.301 US2 -367.079 0.005 2.5 -4.652 US20 14.471 0.005 2.5 0.183 US30 -0.534 0.005 2.5 -0.007 US5 -159.789 0.005 2.5 -2.025 VIX -255.907 0.099 2.5 -63.168 WHEAT 28.616 0.005 2.5 0.380 ===================== Position diags ===================== AUD 3.33 BITCOIN 31.42 BOBL 1.79 BTP 2.77 BUND 0.91 BUXL 0.40 CAC 3.42 CAD 4.79 CANOLA 11.74 CHF 2.48 COCOA 0.29 COFFEE 0.37 COPPER 2.84 CORN 4.98 COTTON2 1.64 CRUDE_W 6.67 DAX 13.72 DOW 9.70 DX 3.94 EUR 2.62 EURIBOR-ICE 12.42 EUROSTX 4.87 FEEDCOW 1.76 GASOIL 2.33 GASOLINE 1.55 GAS_US_mini 23.14 GBP 3.95 GOLD_micro 8.02 HEATOIL 1.77 JGB-SGX-mini 43.83 JPY 2.54 LEANHOG 7.31 LIVECOW 3.28 LUMBER-new 5.92 MILK 2.16 MXP 45.09 NASDAQ_micro 4.20 NIKKEI 24.70 NZD 3.67 OAT 3.08 OATIES 3.49 OJ 1.39 PALLAD 0.78 PLAT 2.07 REDWHEAT 1.09 RICE 3.94 ROBUSTA 0.76 RUSSELL 17.14 SHATZ 6.00 SILVER-mini 1.23 SMI 2.16 SOFR 19.92 SOYBEAN 0.97 SOYMEAL 1.00 SOYOIL 1.10 SP400 0.75 SP500_micro 7.39 SUGAR11 3.37 US10 1.76 US10U 1.35 US2 3.41 US20 0.91 US30 0.62 US5 2.70 VIX 31.58 WHEAT 1.20 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.0 0.6 1.3 0.0 0 BITCOIN 6.7 3.5 9.8 0.0 0 BOBL -1.3 -1.5 -1.1 -3.0 -3 BTP -0.2 -0.5 0.0 0.0 0 BUND -0.7 -0.8 -0.6 0.0 0 BUXL -0.3 -0.4 -0.3 -2.0 -2 CAC 3.4 3.0 3.7 0.0 0 CAD -4.0 -4.4 -3.5 -3.0 -3 CANOLA -10.4 -11.6 -9.2 -4.0 -4 CHF -5.0 -5.2 -4.7 -4.0 -4 COCOA 0.0 -0.0 0.0 0.0 0 COFFEE 0.1 0.0 0.1 1.0 1 COPPER 2.1 1.8 2.4 5.0 5 CORN -6.0 -6.5 -5.5 -2.0 -2 COTTON2 -1.9 -2.0 -1.7 -3.0 -3 CRUDE_W 3.6 3.0 4.3 1.0 1 DAX 21.2 19.9 22.6 15.0 15 DOW -3.1 -4.1 -2.1 1.0 1 DX 1.3 0.9 1.7 NaN 0 EUR 0.3 0.1 0.6 0.0 0 EURIBOR-ICE -5.9 -7.1 -4.6 -3.0 -3 EUROSTX 5.2 4.7 5.7 11.0 11 FEEDCOW 0.3 0.1 0.4 1.0 1 GASOIL -1.2 -1.5 -1.0 -1.0 -1 GASOLINE 0.2 0.0 0.3 2.0 2 GAS_US_mini 3.2 0.8 5.5 0.0 0 GBP 2.4 2.0 2.8 0.0 0 GOLD_micro -1.6 -2.4 -0.8 1.0 1 HEATOIL -2.0 -2.1 -1.8 -2.0 -2 JGB-SGX-mini -31.2 -35.6 -26.8 -3.0 -3 JPY -3.0 -3.2 -2.7 -4.0 -4 LEANHOG -7.7 -8.5 -7.0 -6.0 -6 LIVECOW 5.6 5.3 5.9 6.0 6 LUMBER-new -11.8 -12.4 -11.2 NaN 0 MILK 1.0 0.7 1.2 NaN 0 MXP 77.2 72.7 81.7 59.0 59 NASDAQ_micro 0.2 -0.2 0.7 -1.0 -1 NIKKEI 1.6 -0.9 4.0 -1.0 -1 NZD 2.5 2.2 2.9 0.0 0 OAT -0.5 -0.8 -0.2 0.0 0 OATIES -0.3 -0.6 0.1 NaN 0 OJ 2.8 2.6 2.9 1.0 1 PALLAD -0.4 -0.5 -0.3 0.0 0 PLAT 1.9 1.7 2.1 3.0 3 REDWHEAT 0.4 0.3 0.5 0.0 0 RICE 4.7 4.3 5.1 NaN 0 ROBUSTA 0.1 0.0 0.2 0.0 0 RUSSELL -2.7 -4.4 -1.0 -34.0 -34 SHATZ -10.8 -11.4 -10.2 NaN 0 SILVER-mini 1.3 1.2 1.4 0.0 0 SMI 4.3 4.1 4.5 2.0 2 SOFR -5.2 -7.2 -3.2 NaN 0 SOYBEAN -0.4 -0.5 -0.3 -1.0 -1 SOYMEAL -0.4 -0.5 -0.3 0.0 0 SOYOIL -1.6 -1.7 -1.5 -3.0 -3 SP400 -0.2 -0.2 -0.1 1.0 1 SP500_micro 2.0 1.3 2.7 5.0 5 SUGAR11 -3.6 -4.0 -3.3 -3.0 -3 US10 -0.8 -0.9 -0.6 0.0 0 US10U -0.3 -0.4 -0.2 -5.0 -5 US2 -4.7 -5.0 -4.3 NaN 0 US20 0.2 0.1 0.3 0.0 0 US30 -0.0 -0.1 0.1 0.0 0 US5 -2.0 -2.3 -1.8 -7.0 -7 VIX -63.2 -66.3 -60.0 -63.0 -63 WHEAT 0.4 0.3 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 0.4 0.2 0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 -0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.1 0.1 0.4 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 0.2 0.5 0.3 -0.3 -0.3 -0.1 -0.0 BITCOIN 0.2 -0.4 0.1 0.1 -0.0 0.1 0.0 0.1 0.1 0.2 0.4 0.2 0.6 0.1 0.1 -0.1 -0.1 -0.1 -0.2 0.1 0.2 0.2 0.5 0.1 -2.7 0.1 0.0 0.3 0.1 0.5 0.1 -0.2 0.4 -0.0 -0.6 0.6 -0.4 -0.1 0.3 0.1 BOBL 0.1 -0.3 -0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.2 -0.1 -0.1 0.3 -0.1 0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.3 -0.1 -0.1 -0.7 -0.6 -0.0 -0.4 BTP 0.1 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.3 -0.0 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 0.3 0.6 -0.4 -0.3 0.4 0.1 BUND 0.1 -0.3 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.2 -0.1 -0.1 -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 -0.3 0.1 0.1 -0.7 -0.7 0.1 -0.3 BUXL 0.0 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.3 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.3 0.2 0.3 -0.7 -0.7 -0.3 -0.2 CAC 0.3 -0.2 0.4 0.1 0.0 0.2 0.0 0.3 0.1 -0.1 0.5 0.1 0.7 0.2 0.2 -0.0 0.0 0.1 0.1 0.2 0.2 0.0 0.5 0.1 -1.8 0.1 0.0 0.3 0.0 0.4 0.1 0.9 -0.5 -0.3 0.6 0.5 -0.3 0.2 -0.5 0.4 CAD 0.2 -0.1 -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 0.0 -0.1 0.0 -0.2 -0.0 0.0 -0.2 -0.4 -0.2 -0.2 -0.2 -0.4 -0.0 -0.3 CANOLA 0.6 0.6 0.6 0.0 0.1 0.0 0.1 0.0 0.0 0.1 -0.1 0.1 -0.3 0.1 0.1 -0.3 -0.2 -0.3 -0.3 0.1 -0.0 0.1 -0.3 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 -0.5 -0.2 -0.1 CHF 0.2 -0.3 -0.6 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.2 -0.5 -0.1 -0.5 -0.1 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 0.3 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -1.1 -0.5 -0.6 -0.6 -0.6 0.1 -0.5 0.3 -0.4 COCOA -0.6 -0.6 -0.3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.0 0.2 -0.0 0.0 0.3 0.3 0.4 0.4 0.0 0.1 -0.0 0.2 -0.0 -2.0 0.0 0.0 0.1 -0.0 0.1 -0.0 1.1 -0.2 -0.6 0.0 0.6 0.2 0.0 0.4 0.3 COFFEE -0.5 -0.1 0.3 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 0.3 0.1 -2.5 0.0 0.0 0.1 0.0 0.1 0.0 0.5 0.5 -0.6 0.6 0.6 0.0 -0.6 0.4 -0.2 COPPER -0.1 0.3 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.3 0.0 0.2 0.1 0.1 0.1 -0.1 -0.0 -0.0 0.2 0.2 0.0 0.2 0.2 -1.4 0.0 -0.0 0.1 0.0 0.1 0.0 0.2 0.2 0.5 0.6 0.6 -0.5 -0.1 0.3 0.2 CORN 0.3 0.5 0.5 0.1 0.1 0.1 0.1 0.0 0.1 0.0 -0.1 0.1 -0.6 0.1 0.1 -0.4 -0.2 -0.4 -0.3 0.1 -0.0 0.1 -0.4 0.1 -2.1 0.0 0.0 -0.0 0.0 -0.2 0.1 -1.1 -0.3 0.3 0.2 -0.3 -0.6 -0.7 -0.6 -0.0 COTTON2 0.1 -0.6 -0.4 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.2 0.0 -0.1 -0.1 -0.1 0.0 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 -0.1 -0.4 -0.6 -0.0 -0.3 -0.4 0.2 -0.0 CRUDE_W -0.5 -0.4 0.2 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -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 0.2 -0.1 -0.0 -0.0 -0.4 -0.0 0.1 0.7 0.6 0.7 0.6 DAX 0.5 -0.1 0.4 0.1 0.0 0.2 0.0 0.2 0.1 -0.1 0.5 0.1 0.7 0.2 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 -0.2 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.4 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 -0.0 0.4 0.1 -1.8 0.0 -0.1 0.1 -0.0 0.3 0.0 -0.5 -0.3 -0.2 0.1 -0.3 0.2 -0.2 0.4 -0.4 DX -0.5 0.2 0.3 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 0.4 -0.1 0.5 -0.1 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 0.5 0.6 0.3 0.2 0.4 0.5 EUR 0.5 -0.0 -0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 0.0 -0.2 0.2 -0.3 0.2 -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 0.0 0.3 0.3 0.2 -0.7 -0.6 -0.7 -0.4 EURIBOR-ICE 0.1 -0.5 -0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 1.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.3 -0.2 -0.1 -0.7 -0.7 0.1 0.3 EUROSTX 0.4 -0.2 0.4 0.1 0.0 0.2 0.0 0.3 0.1 -0.0 0.5 0.2 0.7 0.2 0.2 -0.2 -0.0 -0.1 -0.1 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 -0.2 -0.3 0.6 0.6 -0.5 0.2 -0.7 0.3 FEEDCOW 0.3 -0.0 -0.2 0.1 0.1 0.1 0.1 0.0 0.1 0.1 -0.0 0.2 -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 -0.0 -0.1 -0.1 0.7 0.7 0.7 0.7 GASOIL -0.3 -0.6 -0.0 -0.0 -0.0 0.1 -0.0 0.2 -0.1 -0.1 0.1 -0.2 0.5 -0.2 -0.2 -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 0.0 -0.1 -0.4 -0.3 -0.5 -0.3 -0.7 -0.7 GASOLINE -0.6 -0.5 0.3 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.1 0.3 -0.2 0.6 -0.2 0.0 0.4 0.3 0.4 0.3 -0.1 0.1 -0.1 0.4 -0.2 -2.7 -0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.0 0.0 -0.6 -0.2 0.2 0.7 0.7 0.7 0.7 GAS_US_mini 0.6 0.6 0.5 -0.0 -0.1 0.1 -0.1 0.1 -0.0 0.0 -0.4 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 0.0 -0.1 0.1 -0.2 0.1 -1.1 0.5 0.6 0.6 -0.6 -0.3 -0.2 -0.5 -0.3 GBP 0.5 -0.0 -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 0.1 0.0 0.2 0.1 0.2 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.5 0.6 0.5 0.4 -0.7 -0.5 -0.6 -0.3 GOLD_micro -0.2 -0.2 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.3 0.0 0.4 0.1 0.1 -0.2 -0.3 -0.3 -0.3 0.1 0.2 -0.0 0.3 0.1 -0.5 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.8 -0.4 -0.3 0.3 0.6 -0.3 -0.5 0.0 -0.2 HEATOIL -0.4 -0.6 -0.1 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.2 -0.1 -0.2 0.3 -0.2 -0.2 -0.2 0.3 0.0 0.2 -0.2 -0.1 -0.1 0.2 -0.2 -2.7 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.0 -0.1 -0.2 -0.6 -0.4 0.3 0.2 0.1 0.0 JGB-SGX-mini -0.2 -0.6 -0.5 -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 0.4 0.3 -0.1 -0.1 -0.1 -0.0 -0.1 -1.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 1.1 -0.2 -0.5 -0.5 -0.1 -0.6 -0.2 -0.0 0.4 JPY -0.1 -0.1 -0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.1 -0.4 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.3 -0.3 -0.5 -0.5 -0.7 -0.4 -0.6 -0.3 LEANHOG -0.6 -0.5 0.5 0.1 0.1 0.1 0.1 0.0 0.1 -0.2 0.2 -0.2 -0.1 -0.2 -0.1 -0.1 -0.4 -0.4 -0.4 -0.1 0.0 -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 0.1 -0.4 -0.3 -0.1 0.3 LIVECOW 0.5 0.0 0.0 0.1 0.1 0.1 0.1 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.0 0.4 0.2 0.4 0.3 0.1 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 0.1 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 -0.4 -0.2 -0.2 -0.1 -0.3 -0.2 NaN -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -1.2 -0.6 -0.3 -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 0.1 0.0 -0.0 0.1 -0.3 0.1 0.1 0.4 -0.4 -0.2 -0.4 0.2 0.1 0.1 -0.2 0.2 2.0 0.0 0.0 0.0 0.0 -0.1 0.0 -1.1 0.0 0.6 0.6 0.2 -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 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.4 0.1 1.1 0.1 0.6 0.4 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro 0.6 -0.4 -0.2 0.0 -0.0 0.1 0.0 0.2 0.0 0.1 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 -2.7 0.0 0.0 0.1 0.1 0.3 0.1 -0.4 0.5 0.3 0.1 -0.2 -0.0 0.0 -0.0 0.0 NIKKEI 0.1 -0.6 -0.2 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.3 0.1 0.5 0.0 0.0 0.0 0.2 0.1 0.1 0.1 0.2 0.1 0.5 0.0 -2.2 0.0 0.0 0.2 0.0 0.4 0.0 1.1 0.3 -0.4 -0.4 0.1 -0.2 -0.2 -0.2 -0.3 NZD 0.6 0.1 -0.2 -0.0 0.0 -0.0 0.0 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 0.1 -0.1 0.1 0.1 0.0 0.1 -0.0 0.1 -0.0 0.1 0.3 0.4 0.5 0.5 0.1 -0.1 -0.2 0.1 0.2 OAT 0.1 -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 0.8 -0.0 -0.2 0.1 0.2 -0.7 -0.6 0.1 -0.1 OATIES 0.3 0.6 0.3 0.0 0.0 0.1 0.1 0.0 0.0 -0.1 -0.1 -0.1 -0.3 0.0 0.1 0.2 0.1 0.2 0.1 0.1 0.0 -0.0 -0.1 0.0 -2.7 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 -0.4 0.5 0.3 0.1 -0.4 -0.1 0.1 0.4 OJ 0.6 0.6 0.4 0.1 0.1 0.1 0.1 0.0 0.1 0.2 0.5 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 0.1 -0.0 0.3 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 -0.1 0.0 -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 -0.3 -0.5 -0.4 -0.7 -0.7 -0.7 -0.5 PLAT 0.6 0.5 0.4 0.0 -0.0 0.1 0.0 0.0 0.0 -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 1.3 0.0 -0.0 0.1 0.0 0.0 0.0 0.1 0.1 0.6 0.3 -0.0 -0.7 -0.2 0.3 0.2 REDWHEAT 0.6 0.6 0.6 0.0 0.1 0.1 0.1 0.0 0.1 0.1 0.1 0.2 -0.4 0.2 0.1 -0.2 -0.0 -0.1 -0.1 0.2 0.1 0.2 -0.2 0.2 -0.9 0.1 0.0 0.0 0.1 -0.0 0.1 -0.6 0.5 0.6 0.6 0.2 -0.4 -0.7 0.0 -0.6 RICE 0.5 0.6 -0.1 0.0 0.1 0.1 0.1 0.0 0.1 0.0 0.3 0.1 0.4 0.2 0.1 0.4 0.4 0.4 0.4 0.2 0.1 0.1 0.3 0.2 -1.5 0.0 0.0 0.1 0.0 0.1 0.0 1.1 -0.1 0.3 0.6 0.0 -0.2 -0.2 -0.1 0.0 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 0.1 0.1 0.1 0.3 0.0 -2.7 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.4 -0.4 0.5 0.6 -0.1 -0.5 0.2 0.1 RUSSELL 0.5 -0.2 0.2 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.3 0.1 0.4 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.2 0.1 -0.3 0.0 -0.0 0.1 0.0 0.2 0.0 -0.0 -0.0 -0.2 0.1 -0.4 -0.2 -0.7 -0.3 -0.7 SHATZ 0.0 -0.2 -0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.3 -0.1 1.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.2 -0.5 -0.3 -0.3 -0.7 -0.7 -0.6 -0.6 SILVER-mini 0.3 0.3 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 0.0 0.2 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.2 0.2 0.3 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.4 0.5 0.6 0.6 -0.3 -0.4 0.5 0.2 SMI 0.6 0.2 0.4 0.0 0.0 0.2 0.0 0.2 0.0 0.1 0.5 0.2 0.5 0.2 0.2 -0.1 0.1 -0.0 0.0 0.2 0.2 0.2 0.4 0.2 2.0 0.1 0.0 0.2 0.1 0.2 0.1 0.8 0.5 0.6 0.6 0.1 0.4 0.0 0.4 -0.0 SOFR 0.6 -0.2 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.4 -0.0 -0.0 -0.0 0.0 -0.0 0.0 0.2 0.2 0.2 0.0 -0.0 -0.2 -0.7 0.4 -0.0 SOYBEAN 0.5 0.5 0.2 0.1 0.1 0.1 0.1 0.0 0.1 0.2 -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 0.2 -2.7 0.0 0.0 0.0 0.1 -0.1 0.1 0.2 -0.0 0.6 0.1 -0.1 -0.6 -0.7 -0.5 -0.7 SOYMEAL 0.6 0.6 0.2 0.0 0.1 0.1 0.1 0.0 0.1 0.1 -0.2 0.1 -0.3 0.1 0.1 0.1 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 -0.0 0.6 0.6 -0.0 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.3 -0.2 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.2 0.1 -0.3 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 -0.0 -2.7 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.6 0.0 -0.2 -0.6 -0.2 -0.7 -0.5 -0.3 0.1 SP400 0.5 -0.3 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 -0.2 -0.1 -0.1 -0.1 0.1 0.2 -0.0 0.4 0.1 -1.9 0.0 -0.0 0.2 -0.0 0.2 0.0 0.0 -0.3 -0.3 0.1 -0.0 -0.2 -0.4 -0.2 -0.7 SP500_micro 0.6 -0.4 0.1 0.0 -0.0 0.1 0.0 0.2 0.0 0.1 0.5 0.2 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 -0.5 0.4 0.2 0.2 0.1 0.1 -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 -0.2 -0.2 -0.2 0.0 0.3 0.1 0.2 -0.2 -0.2 -0.1 -0.3 -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 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 0.0 0.4 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.3 0.1 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 -0.1 -0.1 0.1 -0.3 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.3 0.0 0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.1 0.2 0.2 0.1 0.1 -0.4 -0.6 0.6 0.3 US2 0.4 -0.4 -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 -0.1 -0.4 -0.1 1.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.1 -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 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.3 0.2 0.3 0.1 0.2 -0.5 -0.4 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 0.0 -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 -0.3 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 0.0 -0.3 -0.0 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.0 -0.3 -0.0 0.8 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.6 0.0 0.1 -0.0 -0.1 -0.3 -0.7 -0.1 -0.2 VIX -0.9 -0.3 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 -0.2 -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 0.2 -0.3 0.2 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 0.1 0.0 -0.0 0.1 -1.1 0.4 0.6 0.6 0.2 -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 11.4 4.9 2.9 -0.7 3.6 -1.2 3.2 0.8 2.3 -1.8 -1.5 8.6 -7.3 12.3 9.5 -2.7 -2.8 -2.7 -2.7 6.0 1.4 3.9 -2.9 8.1 3.1 3.8 1.1 1.5 2.0 -0.6 4.5 -0.4 -3.8 4.9 15.2 8.8 -9.5 -7.6 -2.2 -0.3 BITCOIN 7.6 -13.3 4.4 5.8 -1.5 4.3 2.7 2.2 5.5 17.3 14.6 18.3 16.6 8.0 10.8 -6.7 -7.2 -7.3 -7.6 11.6 20.0 19.0 20.0 13.1 -20.0 6.1 5.2 11.1 6.0 13.2 4.7 -3.6 16.9 -0.6 -20.0 20.0 -11.7 -1.9 10.2 2.7 BOBL 2.0 -7.9 -11.2 -1.5 -1.1 -1.7 -1.0 -1.8 -0.7 -4.7 -6.5 -5.2 -4.8 -6.6 -8.0 13.8 -5.0 8.1 -0.1 -6.8 -6.1 -6.2 -5.3 -6.0 4.4 -2.9 -2.5 -2.2 -3.2 -1.7 -3.0 -0.3 -5.6 -10.3 -2.3 -2.0 -20.0 -18.4 -0.4 -11.0 BTP 2.9 -8.2 -2.2 -2.6 -1.9 -2.9 -1.7 -3.0 -1.2 -4.8 9.5 -2.4 9.5 0.5 -3.0 4.7 5.8 4.8 5.0 0.3 4.2 -2.2 6.5 -0.7 -20.0 1.3 -1.2 4.6 -1.8 5.9 -0.6 15.3 3.8 -6.9 8.6 18.6 -11.6 -9.9 13.3 2.5 BUND 3.3 -7.8 -7.2 -1.7 -1.3 -1.9 -1.1 -2.0 -0.8 -4.6 -3.3 -4.6 -2.3 -6.0 -7.8 -9.4 -1.4 -8.1 -5.2 -5.1 -4.1 -4.7 -3.8 -4.5 1.8 -2.2 -2.5 -1.1 -3.3 -0.8 -2.8 0.6 -2.9 -8.2 1.9 3.6 -20.0 -20.0 2.9 -9.5 BUXL 1.5 -8.1 -2.8 -2.1 -1.6 -2.4 -1.4 -2.5 -1.0 -6.0 -1.6 -6.6 -2.8 -7.0 -8.6 -8.7 -3.3 -7.5 -5.5 -5.3 -3.9 -5.0 -4.8 -5.1 -2.1 -1.7 -2.3 0.1 -3.5 -0.3 -3.0 -1.1 -1.9 -9.8 5.0 9.2 -20.0 -20.0 -10.3 -6.8 CAC 10.6 -7.4 13.6 5.7 0.8 7.3 3.5 7.6 5.4 -10.3 20.0 12.5 20.0 14.9 20.0 -0.7 2.2 7.0 5.2 20.0 20.0 4.3 20.0 13.5 -13.5 8.9 0.3 11.1 1.3 10.8 5.3 16.6 -19.2 -8.7 18.9 16.9 -8.9 7.2 -13.6 11.0 CAD 6.4 -3.6 -5.9 -0.9 4.7 -1.6 4.3 1.0 3.0 6.6 -12.7 5.5 -12.1 -0.8 -10.1 -3.2 -2.5 -2.9 -2.6 -6.1 -8.4 0.6 -8.4 -1.1 -0.9 -3.9 3.9 -5.4 0.0 -5.3 -0.9 0.0 -10.1 -13.0 -5.5 -5.4 -7.2 -11.9 -0.5 -8.0 CANOLA 17.9 17.6 20.0 3.1 6.2 1.8 5.3 0.1 4.2 8.2 -3.5 10.2 -7.6 9.7 9.2 -14.8 -8.8 -15.2 -13.6 7.4 -1.0 10.0 -9.5 10.8 -20.0 2.6 1.9 -0.7 3.3 -4.3 3.8 -20.0 -7.8 8.9 2.2 1.6 -20.0 -16.3 -5.8 -4.1 CHF 4.9 -9.2 -20.0 -0.8 4.4 -1.5 4.0 1.0 2.8 -17.5 -20.0 -11.9 -15.2 -13.7 -20.0 -17.1 -16.2 -16.7 -16.3 -20.0 -20.0 -14.8 -18.3 -15.2 2.5 -7.5 -4.3 -7.9 -5.3 -4.7 -5.2 -20.0 -20.0 -20.0 -17.3 -20.0 1.8 -15.7 8.6 -13.0 COCOA -20.0 -20.0 -8.7 1.8 2.7 1.1 2.7 0.0 2.4 3.8 3.4 -3.1 5.0 -4.6 1.0 13.1 14.8 19.9 19.8 0.4 5.6 -1.3 6.5 -3.9 -15.3 1.4 0.6 3.2 -0.2 3.8 -0.3 20.0 -10.2 -20.0 1.4 20.0 6.5 1.3 10.8 7.9 COFFEE -16.4 -3.6 8.0 4.1 6.1 2.5 6.1 0.0 5.3 11.1 8.0 3.6 8.1 -0.8 1.7 5.4 8.2 8.9 9.4 7.5 11.0 13.7 9.4 6.2 -18.6 3.4 4.1 4.3 3.4 3.6 2.4 8.8 19.2 -18.7 20.0 20.0 0.7 -17.7 10.6 -6.1 COPPER -4.6 9.1 20.0 3.3 -1.8 2.4 1.8 1.2 3.3 -8.4 11.1 2.6 6.8 8.8 11.0 4.5 -3.5 -0.1 -2.4 17.2 14.1 3.5 8.2 14.2 -10.6 4.3 -1.9 3.5 1.2 2.1 3.6 3.8 7.5 15.0 20.0 20.0 -14.2 -3.1 9.5 6.7 CORN 10.2 14.3 15.8 5.3 7.9 3.2 7.9 0.1 6.9 5.5 -5.4 7.7 -16.9 11.4 11.5 -18.4 -11.6 -18.8 -16.7 6.3 -3.6 6.3 -15.3 8.5 -15.8 3.7 4.2 -1.5 3.6 -6.3 4.9 -20.0 -14.2 8.3 5.9 -7.9 -18.8 -20.0 -18.5 -0.5 COTTON2 4.3 -20.0 -10.9 2.8 4.3 1.7 4.2 0.0 3.7 7.4 -7.0 0.5 -4.0 -7.7 -9.0 1.4 3.5 6.4 4.9 -11.7 -7.9 2.5 -3.4 -7.2 -18.1 -2.4 2.2 -0.7 0.6 0.6 -1.7 0.1 -2.2 -12.7 -20.0 -0.1 -7.7 -13.4 5.9 -0.5 CRUDE_W -14.3 -12.4 6.1 -1.8 -8.1 2.7 -6.3 4.8 -5.3 -14.3 7.4 -19.9 15.4 -20.0 4.9 12.8 12.1 14.1 13.1 -2.7 8.6 -14.2 15.0 -12.6 -5.5 -2.0 -6.4 3.5 -6.9 6.9 -6.4 -0.2 -0.2 -11.0 -0.8 4.3 20.0 16.5 20.0 18.8 DAX 15.3 -4.2 12.9 4.9 0.6 6.3 3.0 6.6 4.7 -8.1 20.0 13.7 20.0 14.9 18.3 -10.5 -11.5 -11.5 -12.0 20.0 20.0 10.1 20.0 18.0 13.5 8.1 1.5 10.1 2.4 9.4 5.1 -9.7 -7.5 -3.5 18.6 20.0 0.2 6.4 0.3 14.2 DOW 19.5 -9.5 -7.2 3.8 -1.6 4.8 2.0 5.1 3.7 -14.0 14.0 7.2 14.3 7.8 4.8 -11.4 -11.2 -11.8 -11.8 8.2 11.1 -1.7 15.5 8.7 -13.4 3.8 -8.6 5.4 -1.2 7.2 3.2 -9.2 -14.5 -5.4 3.3 -10.6 5.2 -6.0 10.8 -12.4 DX -15.8 4.8 8.1 -0.8 4.5 -1.6 4.1 1.0 2.9 -3.9 14.6 -13.4 13.1 -5.5 9.7 7.2 6.7 7.3 7.0 5.5 11.6 -7.5 11.2 -5.2 -20.0 2.4 -2.9 4.9 -3.5 4.8 -2.4 16.2 -20.0 -20.0 15.6 20.0 7.7 6.9 10.6 15.3 EUR 14.2 -1.1 -3.2 -0.9 4.7 -1.6 4.2 1.0 3.0 5.4 -7.4 15.3 -9.0 14.5 -0.6 -7.4 -6.9 -7.1 -6.9 1.3 -4.8 8.6 -5.8 9.1 20.0 2.6 3.6 -0.2 5.3 -0.9 6.1 -7.4 2.0 9.6 9.2 6.6 -20.0 -17.4 -20.0 -13.2 EURIBOR-ICE 4.2 -15.4 -16.1 -1.4 -1.1 -1.6 -1.0 -1.7 -0.7 -5.1 -0.9 -4.6 0.7 -5.8 -7.0 -6.7 -4.6 -5.3 -4.4 -5.9 -3.5 -6.3 -0.8 -5.5 11.9 -2.5 -2.7 -1.2 -2.9 0.0 -2.6 -1.4 -6.1 -8.9 -5.1 -2.5 -20.0 -20.0 2.1 9.8 EUROSTX 11.1 -7.7 13.5 5.2 0.7 6.7 3.2 7.0 5.0 -3.8 20.0 15.2 20.0 16.0 20.0 -8.2 -1.2 -5.5 -2.7 20.0 20.0 7.7 20.0 15.0 -1.8 8.7 1.3 12.0 2.2 12.0 5.1 7.7 -9.4 -10.3 18.1 20.0 -14.6 5.7 -20.0 9.2 FEEDCOW 9.5 -1.0 -5.0 5.5 8.2 3.3 8.2 0.1 7.1 13.3 -0.9 14.5 -2.7 11.3 -1.4 -20.0 -20.0 -20.0 -20.0 0.7 -3.4 19.9 -0.8 11.5 -7.0 1.6 6.2 0.0 8.6 2.1 5.6 -20.0 20.0 -0.7 -2.3 -2.0 20.0 20.0 20.0 20.0 GASOIL -9.9 -18.9 -1.2 -1.8 -2.7 2.3 -4.5 4.4 -4.7 -11.6 3.9 -16.9 14.6 -20.0 -14.1 -3.4 16.3 4.5 11.1 -12.4 0.5 -10.8 13.3 -16.2 7.0 -5.2 -2.6 -0.4 -4.3 4.2 -6.5 2.9 0.6 -3.4 -12.4 -10.6 -16.4 -10.2 -20.0 -20.0 GASOLINE -18.6 -16.6 8.1 -1.6 -7.5 2.4 -5.7 4.4 -4.9 -15.9 12.1 -19.9 16.3 -19.3 3.6 19.0 13.7 17.9 12.9 -4.7 8.6 -14.6 15.3 -15.3 -20.0 -2.6 -4.3 3.0 -6.1 6.5 -6.6 -0.0 0.6 -17.4 -7.2 7.1 20.0 20.0 20.0 20.0 GAS_US_mini 20.0 20.0 16.2 -1.4 -6.1 2.0 -4.7 3.6 -4.0 3.9 -16.4 14.3 -19.3 15.6 2.3 -20.0 -20.0 -20.0 -20.0 7.7 -9.2 20.0 -20.0 19.8 20.0 2.8 2.4 -3.1 8.7 -6.3 8.1 -20.0 20.0 20.0 20.0 -20.0 -8.3 -5.5 -16.2 -10.5 GBP 15.7 -1.1 -4.0 -0.9 4.9 -1.7 4.4 1.1 3.1 20.0 9.1 20.0 5.1 20.0 2.6 -1.1 -0.8 -1.0 -0.8 6.8 1.6 20.0 2.8 18.1 1.4 5.0 10.7 2.9 11.9 2.6 9.8 3.0 20.0 18.6 15.8 12.8 -19.6 -15.9 -19.1 -7.9 GOLD_micro -7.3 -5.6 19.9 3.3 -1.8 2.4 1.8 1.2 3.4 -9.0 11.1 0.2 10.1 5.2 10.1 -11.6 -14.1 -12.9 -13.7 12.6 15.2 -2.8 12.1 5.9 -3.4 3.8 -3.6 4.7 -0.7 4.0 1.6 -14.7 -17.2 -9.0 8.7 20.0 -8.9 -14.6 0.5 -6.9 HEATOIL -11.1 -17.7 -2.9 -1.7 -7.8 2.5 -6.0 4.6 -5.1 -20.0 -4.7 -20.0 8.6 -20.0 -18.2 -7.9 15.8 0.7 8.9 -16.0 -4.7 -15.7 7.2 -19.5 -20.0 -5.9 -6.3 -1.1 -6.1 4.1 -7.4 0.7 -3.4 -7.2 -17.7 -13.2 10.1 5.8 2.7 1.1 JGB-SGX-mini -7.5 -19.8 -14.6 -2.0 -1.5 -2.2 -1.3 -2.3 -0.9 -9.6 -1.4 -10.7 2.1 -11.1 -11.0 19.5 16.9 17.9 16.0 -11.9 -7.4 -10.7 -1.6 -12.2 -9.8 -3.9 -2.6 -2.8 -3.3 -1.5 -3.8 20.0 -8.2 -15.6 -14.4 -4.2 -17.2 -7.3 -0.5 12.3 JPY -2.8 -1.9 -2.4 -0.4 1.9 -0.7 1.7 0.4 1.2 -8.5 -9.9 -8.3 -10.3 -8.5 -9.3 -13.9 -16.3 -15.4 -15.9 -10.4 -12.2 -5.8 -14.0 -7.6 20.0 -3.5 -1.3 -3.9 -1.7 -4.1 -2.4 -20.0 -10.5 -8.3 -14.6 -14.7 -20.0 -11.0 -18.6 -10.5 LEANHOG -20.0 -15.3 15.5 7.0 10.5 4.2 10.4 0.1 9.1 -20.0 9.1 -20.0 -2.5 -20.0 -7.6 -7.2 -20.0 -20.0 -20.0 -13.3 2.7 -20.0 0.1 -20.0 8.7 -4.4 -10.2 1.9 -11.3 1.5 -10.0 -20.0 -20.0 -20.0 -20.0 3.3 -10.7 -10.4 -3.1 9.7 LIVECOW 16.9 1.0 0.7 5.5 8.2 3.3 8.1 0.1 7.1 16.0 2.3 18.4 0.5 12.9 2.4 19.7 8.2 20.0 15.6 7.1 1.3 20.0 1.7 19.1 -6.8 4.5 9.0 2.8 11.2 3.7 8.3 13.1 20.0 14.1 2.6 14.4 20.0 20.0 20.0 20.0 LUMBER-new 6.0 -20.0 -10.6 5.7 8.5 3.5 8.4 0.5 7.4 -11.1 -10.1 -5.4 -13.3 -14.5 -15.2 -20.0 -17.9 -20.0 -19.4 -20.0 -17.1 -5.5 -9.6 -14.7 NaN -5.6 -1.3 -4.2 -1.2 -1.9 -3.6 -20.0 -20.0 -8.0 -20.0 -20.0 -13.5 -10.9 -5.2 -6.8 MILK 20.0 20.0 20.0 3.8 5.6 2.3 5.6 0.0 4.9 1.7 -0.1 10.2 -9.1 12.7 11.5 18.5 -20.0 -8.6 -20.0 18.1 5.0 12.5 -8.6 20.0 15.0 3.8 0.8 0.9 2.6 -2.1 4.5 -20.0 0.8 20.0 20.0 7.7 -20.0 -20.0 -16.8 -20.0 MXP 12.7 -12.8 -1.7 -0.8 4.6 -1.6 4.1 1.0 2.9 7.0 18.3 16.2 20.0 9.0 10.6 16.3 17.1 16.8 16.7 14.1 18.2 12.8 20.0 15.1 -20.0 6.3 2.5 8.0 5.2 10.8 6.2 20.0 4.6 20.0 11.2 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro 20.0 -11.7 -5.0 3.2 -1.3 4.0 1.7 4.3 3.1 11.8 13.3 13.9 14.1 12.9 10.7 -10.5 -10.4 -10.6 -10.7 11.3 13.0 18.5 18.6 17.0 -20.0 3.3 4.1 4.6 5.8 7.4 5.0 -7.5 20.0 8.1 4.1 -6.6 -0.9 0.9 -0.8 0.7 NIKKEI 4.0 -20.0 -4.9 3.9 0.5 5.0 2.4 5.3 3.7 7.9 12.1 11.0 15.2 0.6 4.2 1.6 8.5 3.4 6.0 4.9 15.6 6.2 20.0 3.7 -16.7 2.2 1.8 7.8 2.5 12.4 1.3 20.0 11.0 -12.1 -12.1 2.9 -6.7 -7.1 -6.2 -9.5 NZD 19.6 3.6 -5.2 -0.6 3.3 -1.1 3.0 0.7 2.1 13.3 -2.1 14.4 -4.2 12.7 2.0 0.0 0.2 0.1 0.2 4.6 -1.2 14.2 -3.1 12.7 0.9 2.4 6.3 -0.1 6.8 -0.7 6.1 4.7 15.2 14.9 14.4 3.1 -2.8 -4.8 3.0 6.6 OAT 4.2 -8.3 -7.1 -1.9 -1.4 -2.1 -1.2 -2.2 -0.9 -4.6 -1.2 -4.2 -0.6 -4.4 -7.2 5.8 6.1 5.6 5.5 -4.4 -3.1 -4.1 -2.4 -3.7 2.2 -1.9 -2.3 -0.4 -3.1 0.1 -2.4 15.9 -1.3 -6.9 3.6 5.5 -20.0 -18.8 4.0 -1.9 OATIES 7.9 20.0 8.9 3.3 4.9 2.0 4.9 0.0 4.3 -6.9 -4.1 -5.2 -8.4 3.4 4.7 9.9 2.6 10.5 6.9 5.3 0.5 -3.1 -3.7 3.5 -20.0 2.6 -0.5 0.9 -0.1 -0.4 2.2 0.7 -18.2 14.7 10.4 4.3 -10.7 -1.6 2.9 13.4 OJ 20.0 20.0 13.0 6.6 9.9 4.0 9.8 0.1 8.6 20.0 17.7 20.0 20.0 20.0 20.0 16.1 13.2 10.6 10.5 20.0 20.0 20.0 20.0 20.0 -20.0 7.2 9.9 4.8 12.6 6.1 11.3 13.9 20.0 20.0 20.0 20.0 4.2 8.9 16.8 20.0 PALLAD 2.6 -1.4 9.2 2.7 -1.5 2.0 1.5 1.0 2.7 -7.4 -4.2 0.3 -8.2 -3.8 0.4 -2.8 -2.2 -2.4 -2.2 -1.5 -3.8 -2.2 -10.1 -0.9 14.3 -0.4 -5.2 -1.4 -1.4 -4.0 -0.3 5.6 -11.1 -9.7 -14.0 -11.0 -20.0 -20.0 -20.0 -13.8 PLAT 19.4 14.2 11.5 3.6 -1.9 2.6 2.0 1.3 3.6 -4.4 4.8 5.5 -4.9 8.2 8.4 -4.9 -3.9 -4.8 -4.4 12.5 6.7 6.9 1.2 14.4 9.9 4.0 -1.2 2.5 2.4 1.1 4.5 2.2 3.4 20.0 9.6 -0.5 -20.0 -7.2 7.6 6.5 REDWHEAT 17.0 20.0 20.0 4.3 6.5 2.6 6.5 0.0 5.6 14.3 3.5 15.0 -11.1 15.0 13.2 -10.8 -1.8 -6.3 -3.5 19.3 6.1 20.0 -7.3 20.0 -6.4 4.8 4.7 1.7 5.3 -1.2 5.9 -10.8 20.0 20.0 20.0 6.3 -10.9 -20.0 1.1 -19.1 RICE 14.9 20.0 -1.7 4.4 6.6 2.7 6.6 0.0 5.7 5.5 10.6 13.1 11.3 16.6 13.5 20.0 20.0 20.0 20.0 17.2 12.6 11.7 11.3 18.3 -10.9 3.3 1.2 1.9 3.0 1.5 4.1 20.0 -2.5 7.8 20.0 0.9 -5.3 -4.5 -2.8 1.4 ROBUSTA -20.0 -20.0 -11.4 2.3 3.4 1.4 3.3 0.0 2.9 6.1 5.7 -0.2 7.1 -1.9 1.7 14.9 20.0 19.2 20.0 4.7 10.0 8.4 11.5 2.2 -20.0 2.3 2.7 3.7 2.0 4.0 1.3 20.0 17.7 -13.7 14.6 20.0 -4.3 -13.6 4.9 4.1 RUSSELL 15.7 -5.7 5.1 3.7 -1.5 4.7 2.0 4.9 3.6 -6.6 12.2 8.6 11.2 6.6 4.5 -7.2 -6.6 -6.9 -6.7 6.0 7.2 1.6 7.6 7.0 -2.1 3.5 -4.1 4.2 0.3 4.6 3.3 -0.7 -1.9 -7.0 2.7 -11.7 -6.7 -20.0 -7.8 -20.0 SHATZ 0.7 -6.6 -18.0 -1.5 -1.1 -1.7 -1.0 -1.8 -0.7 -5.4 -8.8 -6.5 -8.5 -7.7 -8.8 -20.0 -20.0 -20.0 -20.0 -10.6 -11.3 -8.6 -11.4 -8.8 7.6 -3.3 -2.3 -3.1 -2.9 -2.6 -3.0 -20.0 -9.1 -14.4 -8.2 -10.7 -20.0 -20.0 -18.5 -17.6 SILVER-mini 8.9 8.7 20.0 3.2 -1.7 2.3 1.7 1.2 3.2 1.7 9.2 6.9 6.2 8.8 9.8 -6.2 -6.7 -6.5 -6.6 15.0 11.4 12.8 6.6 16.6 2.2 4.0 0.4 3.3 3.3 2.2 4.2 -2.2 17.1 16.4 17.7 17.2 -8.9 -13.4 13.9 4.9 SMI 20.0 4.7 12.8 4.4 0.6 5.6 2.6 5.9 4.2 10.1 17.3 17.3 14.5 17.2 15.8 -2.9 3.0 -0.9 1.5 20.0 19.5 20.0 13.4 20.0 15.0 7.1 2.4 6.0 5.6 4.3 7.6 14.9 20.0 17.3 20.0 4.0 10.7 0.1 12.7 -1.2 SOFR 20.0 -7.6 -11.2 -2.0 -3.6 -2.3 -1.8 -2.3 -0.9 -8.2 -2.9 3.8 -4.0 0.4 -6.0 -3.8 -1.0 -2.7 -1.7 -3.9 -6.5 0.5 -6.2 1.5 -2.7 -0.8 -2.4 -1.6 0.3 -1.4 1.0 4.3 7.4 7.3 0.7 -0.1 -4.7 -20.0 11.8 -0.7 SOYBEAN 16.8 14.7 6.9 5.5 8.2 3.3 8.1 0.1 7.1 16.9 -6.9 13.1 -5.7 12.8 11.7 1.1 8.7 1.0 3.8 9.1 -1.9 12.8 -8.8 14.2 -20.0 4.4 4.4 0.4 5.7 -1.8 6.3 4.3 -1.7 18.0 3.3 -4.3 -16.6 -20.0 -14.0 -20.0 SOYMEAL 19.0 20.0 5.8 3.9 5.9 2.4 5.9 0.0 5.1 12.3 -7.7 6.9 -8.9 8.6 6.3 4.7 6.0 0.5 1.4 10.6 -0.0 10.9 -6.0 13.7 -20.0 3.6 3.5 0.8 3.2 -0.7 4.3 -0.1 -1.7 20.0 20.0 -0.1 -20.0 -20.0 -20.0 -20.0 SOYOIL 10.6 -6.5 6.0 2.8 4.2 1.7 4.2 0.0 3.7 1.6 -8.6 4.7 -8.7 -3.4 -5.3 -6.0 -0.7 -6.6 -4.9 -4.6 -7.2 2.9 -8.5 -0.4 -20.0 -1.9 -0.3 -2.2 1.0 -2.1 -0.4 -11.2 0.1 -7.3 -18.1 -7.0 -20.0 -16.2 -8.5 2.3 SP400 14.3 -9.1 11.1 3.9 -1.6 5.0 2.1 5.3 3.8 -9.9 14.7 7.1 14.2 7.0 8.8 -7.6 -5.7 -6.4 -6.0 10.6 15.3 -0.8 16.5 7.7 -13.9 4.4 -5.0 6.3 -0.8 6.8 2.8 0.7 -10.9 -8.2 1.8 -0.4 -7.0 -10.7 -6.3 -20.0 SP500_micro 20.0 -12.8 4.2 4.0 -1.7 5.2 2.2 5.5 3.9 7.2 17.4 15.8 17.6 15.3 14.4 -12.2 -11.8 -12.4 -12.3 16.4 20.0 15.7 20.0 18.9 -20.0 5.2 1.2 7.3 4.7 9.4 5.6 -10.2 16.3 5.1 5.1 3.9 1.8 -2.0 5.8 -2.0 SUGAR11 -3.8 -20.0 -20.0 4.2 6.2 2.5 6.2 0.0 5.4 -7.7 -14.1 -12.4 -4.4 -14.7 -14.7 0.2 13.3 4.7 9.2 -20.0 -19.3 -14.1 -9.5 -19.9 -20.0 -5.4 -1.7 -4.7 -3.4 -2.3 -4.8 13.5 -20.0 -20.0 -20.0 -20.0 20.0 13.1 20.0 20.0 US10 17.8 -7.1 -8.3 -1.7 -3.1 -1.9 -1.5 -2.0 -0.8 -7.3 -3.3 3.2 -5.6 -0.1 -5.6 -4.9 -7.2 -5.8 -6.6 -3.6 -6.2 0.1 -8.1 0.7 2.7 -0.9 -1.9 -1.6 0.0 -2.0 0.6 -5.7 4.6 4.4 0.9 0.5 -11.5 -20.0 2.4 2.3 US10U 18.0 -7.1 -8.3 -2.6 -4.6 -2.9 -2.3 -3.0 -1.2 -10.0 -4.6 5.7 -8.0 0.0 -8.5 -5.8 -2.1 -4.9 -3.4 -5.4 -9.5 0.9 -12.7 1.4 0.3 -1.0 -2.6 -2.1 0.5 -3.0 1.3 1.9 8.3 6.7 2.4 2.8 -11.2 -17.9 18.4 9.6 US2 11.9 -13.1 -17.6 -1.6 -2.9 -1.9 -1.5 -1.9 -0.8 -8.8 -8.0 -1.9 -8.9 -4.7 -7.8 -20.0 -20.0 -20.0 -20.0 -8.7 -11.2 -6.3 -13.2 -4.8 12.9 -2.5 -4.4 -2.8 -2.4 -2.9 -1.6 -20.0 -4.5 -3.8 -4.7 -8.2 -14.5 -20.0 -9.3 -20.0 US20 20.0 -6.4 -4.9 -1.9 -3.3 -2.1 -1.6 -2.1 -0.9 -1.8 -0.2 5.9 -3.6 1.8 -4.5 -0.3 -0.7 -0.3 -0.4 -1.9 -4.8 3.4 -7.3 3.2 -1.0 0.4 -0.2 -0.4 1.9 -1.3 2.2 5.5 10.2 8.2 4.1 6.1 -14.9 -13.4 20.0 14.9 US30 18.8 -6.4 -4.3 -2.2 -3.9 -2.5 -2.0 -2.5 -1.0 -2.3 -1.9 6.9 -5.7 1.0 -5.8 -2.2 -4.8 -3.2 -4.4 -3.0 -6.2 3.6 -9.7 2.9 -0.4 0.1 -0.4 -0.9 2.1 -2.1 2.3 -1.7 11.7 7.6 4.3 7.9 -17.2 -12.2 13.6 17.4 US5 17.2 -8.8 -12.2 -1.8 -3.2 -2.0 -1.6 -2.1 -0.8 -8.6 -6.6 1.7 -7.6 -1.8 -6.9 -10.1 -10.1 -9.8 -9.9 -5.4 -8.1 -2.0 -9.5 -0.8 6.0 -1.5 -3.1 -2.2 -0.9 -2.3 -0.1 -10.9 1.9 2.7 -1.1 -3.0 -10.2 -20.0 -1.5 -7.3 VIX -18.1 -5.2 7.2 -6.5 -2.3 -6.1 -4.9 -7.4 -6.8 -15.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -17.1 -20.0 -20.0 NaN -7.3 -2.6 -7.1 -5.5 -9.0 -7.7 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 20.0 20.0 20.0 4.1 6.1 2.5 6.1 0.0 5.3 13.0 7.1 14.1 -9.0 14.3 12.9 -15.4 -13.8 -16.5 -15.4 20.0 8.2 20.0 -4.9 20.0 1.1 4.5 2.8 1.9 4.5 -0.5 5.6 -20.0 16.9 20.0 20.0 6.4 -9.3 -20.0 -3.4 -20.0 End of report for caleb_strategy_v3