******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240822_203930 produced at 2024-08-22 21:37:47.151546 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 MXP False False 0.01 -0.04 -0.11 0.0 0.53 -0.53 -0.04 -0.05 -12.14 60.0 -5 -6 caleb_strategy_v3 DX False False 0.03 0.00 -0.11 0.0 999.00 -999.00 0.00 0.00 -3.25 999999999.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.09 0.0 0.00 0.00 0.00 0.00 -2.25 24.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.08 -0.07 0.0 0.32 -0.32 -0.08 -0.08 -1.90 8.0 -2 -2 caleb_strategy_v3 HEATOIL False False 0.03 -0.07 -0.06 0.0 0.10 -0.10 -0.07 -0.07 -1.92 3.0 -2 -2 caleb_strategy_v3 CORN False False 0.01 -0.02 -0.05 0.0 0.08 -0.08 -0.02 -0.02 -6.81 12.0 -3 -3 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -25.71 59.0 0 0 caleb_strategy_v3 BOBL False True 0.05 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -0.97 19.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.02 -0.03 0.0 999.00 -999.00 -0.02 -0.02 -4.62 999999999.0 -3 -3 caleb_strategy_v3 CAC True False 0.03 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -1.08 12.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.03 0.0 0.07 -0.07 -0.02 -0.02 -2.70 8.0 -2 -2 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.10 -0.10 -0.02 -0.02 -1.44 4.0 -1 -1 caleb_strategy_v3 COPPER False False 0.04 0.00 -0.03 0.0 999.00 -999.00 0.00 0.00 -0.76 999999999.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.03 0.0 0.13 -0.13 -0.06 -0.06 -2.66 11.0 -5 -5 caleb_strategy_v3 CANOLA False False 0.00 -0.00 -0.03 0.0 0.15 -0.15 -0.00 -0.00 -11.12 51.0 -1 -1 caleb_strategy_v3 NIKKEI False False 0.01 -0.03 -0.02 0.0 0.32 -0.32 -0.03 -0.02 -2.55 36.0 -3 -2 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.02 -0.02 0.0 0.00 -0.02 -0.02 -0.02 -11.30 26.0 -11 -11 caleb_strategy_v3 EUROSTX False False 0.02 -0.02 -0.02 0.0 0.37 -0.37 -0.02 -0.02 -0.91 20.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.04 -2.33 9.0 -4 -4 caleb_strategy_v3 SOYBEAN False False 0.02 -0.10 -0.02 0.0 0.12 -0.12 -0.10 -0.10 -1.15 7.0 -6 -6 caleb_strategy_v3 BTP False True 0.05 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.43 10.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.02 0.0 0.13 -0.13 0.00 0.00 -3.02 18.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.02 0.0 0.31 -0.31 0.00 0.00 -1.26 23.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -2.60 2.0 0 0 caleb_strategy_v3 BUXL False True 0.05 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.13 4.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 -0.01 0.0 0.73 -0.73 0.00 0.00 -0.38 29.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.55 10.0 -1 -1 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.04 -0.04 0.00 0.00 -0.50 4.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.14 2.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -1.35 10.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.09 -0.09 -0.01 -0.01 -1.18 9.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 -0.06 -0.01 0.0 0.25 -0.25 -0.06 -0.05 -2.43 68.0 -17 -14 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.01 0.0 0.46 -0.46 0.00 0.00 -1.40 48.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.15 2.0 0 0 caleb_strategy_v3 OAT False True 0.05 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.05 10.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.14 999999999.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.07 0.00 0.0 0.41 -0.41 0.07 0.05 0.18 17.0 3 2 caleb_strategy_v3 LUMBER-new False False 0.01 -0.01 -0.00 0.0 0.02 -0.02 -0.01 -0.01 -0.64 3.0 -2 -2 caleb_strategy_v3 DOW False False 0.01 0.01 -0.00 0.0 0.46 -0.46 0.01 0.01 -0.21 66.0 2 1 caleb_strategy_v3 BUND False True 0.05 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.01 10.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.19 -0.19 0.00 0.00 0.15 6.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.04 999999999.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.01 0.01 0.0 0.41 -0.41 0.01 0.01 0.74 58.0 1 1 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.01 0.0 0.36 -0.36 0.02 0.02 0.82 23.0 1 1 caleb_strategy_v3 US30 False False 0.05 0.18 0.01 0.0 0.28 -0.28 0.18 0.18 0.23 6.0 4 4 caleb_strategy_v3 JPY False False 0.03 0.03 0.01 0.0 0.50 -0.50 0.03 0.03 0.40 17.0 1 1 caleb_strategy_v3 COCOA False False 0.03 0.00 0.01 0.0 0.69 -0.69 0.00 0.00 0.37 26.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.49 9.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.02 0.0 0.13 -0.13 0.01 0.02 2.55 13.0 1 2 caleb_strategy_v3 CHF False False 0.05 0.20 0.02 0.0 0.66 -0.66 0.20 0.20 0.43 13.0 4 4 caleb_strategy_v3 MILK False False 0.01 0.00 0.02 0.0 0.07 -0.07 0.00 0.00 1.17 5.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.02 0.0 0.12 -0.12 0.02 0.02 0.61 5.0 1 1 caleb_strategy_v3 US2 False True 0.07 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.27 13.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.04 0.03 0.0 0.53 -0.53 0.04 0.04 0.70 13.0 1 1 caleb_strategy_v3 US10 False False 0.04 0.00 0.03 0.0 0.67 -0.67 0.00 0.00 0.68 17.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.11 0.03 0.0 0.94 -0.94 0.11 0.07 0.73 25.0 3 2 caleb_strategy_v3 AUD False False 0.02 0.07 0.03 0.0 0.44 -0.44 0.07 0.07 1.45 19.0 3 3 caleb_strategy_v3 OJ False False 0.02 0.02 0.03 0.0 0.07 -0.07 0.02 0.02 1.04 3.0 1 1 caleb_strategy_v3 NZD False False 0.02 0.00 0.03 0.0 0.44 -0.44 0.00 0.00 1.23 21.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.04 0.0 0.48 -0.48 0.00 0.00 4.25 56.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 0.06 0.0 0.00 0.00 0.00 0.00 1.17 9.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.03 0.08 0.0 0.62 -0.62 0.03 0.03 3.01 22.0 1 1 caleb_strategy_v3 EUR False False 0.05 0.10 0.11 0.0 0.67 -0.67 0.10 0.10 2.29 14.0 2 2 caleb_strategy_v3 JGB-SGX-mini False True 0.03 0.14 0.34 0.0 0.14 0.00 0.14 0.14 10.00 16.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.48 0.0 0.94 -0.94 0.00 0.00 5.12 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.09 0.0 0.00 0.00 0.00 0.00 13.11 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.7 Shocked risk 15.8 Sum abs risk 33.7 Leverage 3.63 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2908107.38, 'annual_cash_vol_target': 727026.845, 'daily_cash_vol_target': 45439.1778125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0039 0.6710 0.5813 9.3014 BITCOIN 1950.5716 61045.0000 3.1953 51.1248 BOBL 0.2460 117.7300 0.2089 3.3429 BTP 0.4839 119.2200 0.4059 6.4949 BUND 0.4985 134.1800 0.3715 5.9438 BUXL 1.2268 135.6200 0.9046 14.4734 CAC 64.6400 7533.0000 0.8581 13.7295 CAD 0.0023 0.7356 0.3159 5.0544 CANOLA 9.2935 577.9000 1.6082 25.7305 CHF 0.0062 1.1768 0.5285 8.4567 COCOA 219.4245 7769.0000 2.8244 45.1898 COFFEE 4.6691 242.5000 1.9254 30.8064 COPPER 0.0578 4.1765 1.3832 22.1306 CORN 5.4658 393.2500 1.3899 22.2385 COTTON2 0.9857 69.3500 1.4213 22.7411 CRUDE_W 1.1530 71.5000 1.6126 25.8016 DAX 155.6065 18518.0000 0.8403 13.4448 DOW 306.9944 40797.0000 0.7525 12.0399 DX 0.4218 101.1200 0.4172 6.6748 EUR 0.0045 1.1122 0.4067 6.5072 EURIBOR-ICE 0.0443 97.8150 0.0453 0.7253 EUROSTX 47.3799 4888.0000 0.9693 15.5090 FEEDCOW 2.0976 229.5000 0.9140 14.6237 GASOIL 11.6107 698.0000 1.6634 26.6148 GASOLINE 0.0362 2.0029 1.8058 28.8931 GAS_US_mini 0.0873 2.1950 3.9754 63.6070 GBP 0.0060 1.3097 0.4549 7.2783 GOLD_micro 21.0667 2495.4000 0.8442 13.5075 HEATOIL 0.0373 2.2888 1.6286 26.0568 JGB-SGX-mini 0.3620 144.6800 0.2502 4.0033 JPY 0.0001 0.0069 0.7897 12.6348 LEANHOG 1.2735 70.3250 1.8108 28.9736 LIVECOW 1.4402 175.9500 0.8185 13.0964 LUMBER-new 9.1524 532.0000 1.7204 27.5259 MILK 0.2937 21.2300 1.3832 22.1319 MXP 0.0005 0.0511 1.0154 16.2472 NASDAQ_micro 243.0385 19611.2500 1.2393 19.8285 NIKKEI 851.3189 38140.0000 2.2321 35.7134 NZD 0.0040 0.6143 0.6540 10.4644 OAT 0.4451 126.3800 0.3522 5.6353 OATIES 5.8662 308.2500 1.9031 30.4490 OJ 7.7763 478.8000 1.6241 25.9860 PALLAD 23.4262 918.0000 2.5519 40.8300 PLAT 16.3899 952.8000 1.7202 27.5229 REDWHEAT 8.9141 543.7500 1.6394 26.2299 RICE 0.1633 15.1900 1.0753 17.2042 ROBUSTA 73.0919 4567.0000 1.6004 25.6070 RUSSELL 29.4292 2165.0000 1.3593 21.7490 SHATZ 0.0842 106.2200 0.0793 1.2683 SILVER-mini 0.5054 29.4125 1.7183 27.4929 SMI 94.6633 12247.0000 0.7730 12.3672 SOFR 0.0639 96.8650 0.0660 1.0563 SOYBEAN 13.1738 961.2500 1.3705 21.9278 SOYMEAL 5.0151 304.3000 1.6481 26.3695 SOYOIL 0.6743 38.8800 1.7343 27.7488 SP400 31.8820 3049.1000 1.0456 16.7299 SP500_micro 48.6818 5603.5000 0.8688 13.9004 SUGAR11 0.2864 18.1500 1.5782 25.2516 US10 0.4160 113.8906 0.3653 5.8443 US10U 0.5776 117.9531 0.4897 7.8355 US2 0.1236 103.2031 0.1198 1.9160 US20 0.8634 124.1875 0.6952 11.1236 US30 1.2910 133.3750 0.9679 15.4867 US5 0.2768 108.9062 0.2541 4.0660 VIX 1.0804 18.1000 5.9689 95.5029 WHEAT 8.8467 534.5000 1.6551 26.4822 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 671.00 0.58 390.08 1.00 390.08 45439.18 116.49 4.81 56.04 BITCOIN 61.04 3.20 195.06 1.00 195.06 45439.18 232.95 -10.19 -237.45 BOBL 1177.30 0.21 245.97 1.11 273.48 45439.18 166.15 -5.77 -95.84 BTP 1192.20 0.41 483.95 1.11 538.08 45439.18 84.45 -1.50 -12.65 BUND 1341.80 0.37 498.46 1.11 554.21 45439.18 81.99 0.08 0.66 BUXL 1356.20 0.90 1226.80 1.11 1364.02 45439.18 33.31 -3.74 -12.44 CAC 753.30 0.86 646.40 1.11 718.70 45439.18 63.22 -5.03 -31.79 CAD 735.60 0.32 232.37 1.00 232.37 45439.18 195.54 -0.75 -14.75 CANOLA 115.58 1.61 185.87 0.73 136.51 45439.18 332.87 -13.73 -457.15 CHF 1471.00 0.53 777.49 1.00 777.49 45439.18 58.44 2.81 16.45 COCOA 776.90 2.82 2194.24 1.00 2194.24 45439.18 20.71 8.25 17.08 COFFEE 909.38 1.93 1750.91 1.00 1750.91 45439.18 25.95 4.84 12.55 COPPER 1044.12 1.38 1444.19 1.00 1444.19 45439.18 31.46 -2.22 -7.00 CORN 196.62 1.39 273.29 1.00 273.29 45439.18 166.27 -16.83 -279.81 COTTON2 346.75 1.42 492.84 1.00 492.84 45439.18 92.20 -13.46 -124.09 CRUDE_W 715.00 1.61 1153.01 1.00 1153.01 45439.18 39.41 1.44 5.66 DAX 185.18 0.84 155.61 1.11 173.01 45439.18 262.64 0.82 21.55 DOW 203.98 0.75 153.50 1.00 153.50 45439.18 296.03 -0.30 -8.83 DX 1011.20 0.42 421.85 1.00 421.85 45439.18 107.71 -11.64 -125.38 EUR 1390.19 0.41 565.39 1.00 565.39 45439.18 80.37 10.98 88.23 EURIBOR-ICE 2445.38 0.05 110.85 1.11 123.25 45439.18 368.67 4.07 150.00 EUROSTX 488.80 0.97 473.80 1.11 526.79 45439.18 86.26 -3.09 -26.66 FEEDCOW 1147.50 0.91 1048.79 1.00 1048.79 45439.18 43.33 -13.21 -57.24 GASOIL 698.00 1.66 1161.07 1.00 1161.07 45439.18 39.14 -8.50 -33.28 GASOLINE 841.22 1.81 1519.09 1.00 1519.09 45439.18 29.91 0.33 1.00 GAS_US_mini 54.88 3.98 218.15 1.00 218.15 45439.18 208.29 -5.01 -104.35 GBP 818.56 0.45 372.36 1.00 372.36 45439.18 122.03 9.51 116.03 GOLD_micro 249.54 0.84 210.67 1.00 210.67 45439.18 215.69 5.78 124.73 HEATOIL 961.30 1.63 1565.52 1.00 1565.52 45439.18 29.02 -15.29 -44.37 JGB-SGX-mini 144680.00 0.25 36199.70 0.01 248.41 45439.18 182.92 5.05 92.35 JPY 857.62 0.79 677.25 1.00 677.25 45439.18 67.09 2.31 15.51 LEANHOG 281.30 1.81 509.39 1.00 509.39 45439.18 89.20 4.70 41.92 LIVECOW 703.80 0.82 576.08 1.00 576.08 45439.18 78.88 0.70 5.51 LUMBER-new 146.30 1.72 251.69 1.00 251.69 45439.18 180.54 -1.65 -29.72 MILK 424.60 1.38 587.32 1.00 587.32 45439.18 77.37 7.05 54.57 MXP 255.70 1.02 259.65 1.00 259.65 45439.18 175.00 -4.73 -82.71 NASDAQ_micro 392.22 1.24 486.08 1.00 486.08 45439.18 93.48 -5.78 -54.02 NIKKEI 38140.00 2.23 85131.89 0.01 584.19 45439.18 77.78 -3.03 -23.56 NZD 614.35 0.65 401.80 1.00 401.80 45439.18 113.09 4.20 47.45 OAT 1263.80 0.35 445.12 1.11 494.90 45439.18 91.81 0.17 1.56 OATIES 154.12 1.90 293.31 1.00 293.31 45439.18 154.92 -6.89 -106.73 OJ 718.20 1.62 1166.45 1.00 1166.45 45439.18 38.96 12.45 48.52 PALLAD 918.00 2.55 2342.62 1.00 2342.62 45439.18 19.40 -2.25 -4.36 PLAT 476.40 1.72 819.49 1.00 819.49 45439.18 55.45 -2.89 -16.04 REDWHEAT 271.88 1.64 445.70 1.00 445.70 45439.18 101.95 -20.00 -203.90 RICE 303.80 1.08 326.67 1.00 326.67 45439.18 139.10 -1.49 -20.74 ROBUSTA 456.70 1.60 730.92 1.00 730.92 45439.18 62.17 11.29 70.22 RUSSELL 108.25 1.36 147.15 1.00 147.15 45439.18 308.80 -2.37 -73.24 SHATZ 1062.20 0.08 84.20 1.11 93.62 45439.18 485.36 -4.57 -222.05 SILVER-mini 735.31 1.72 1263.49 1.00 1263.49 45439.18 35.96 1.15 4.13 SMI 1224.70 0.77 946.63 1.17 1107.94 45439.18 41.01 8.37 34.31 SOFR 2421.62 0.07 159.87 1.00 159.87 45439.18 284.22 7.59 215.77 SOYBEAN 480.62 1.37 658.69 1.00 658.69 45439.18 68.98 -17.88 -123.34 SOYMEAL 304.30 1.65 501.51 1.00 501.51 45439.18 90.60 -13.99 -126.75 SOYOIL 233.28 1.73 404.58 1.00 404.58 45439.18 112.31 -12.92 -145.07 SP400 3049.10 1.05 3188.20 1.00 3188.20 45439.18 14.25 -2.96 -4.22 SP500_micro 280.18 0.87 243.41 1.00 243.41 45439.18 186.68 -3.23 -60.30 SUGAR11 203.28 1.58 320.82 1.00 320.82 45439.18 141.63 -10.03 -142.08 US10 1138.91 0.37 416.00 1.00 416.00 45439.18 109.23 4.91 53.67 US10U 1179.53 0.49 577.64 1.00 577.64 45439.18 78.66 6.98 54.87 US2 2064.06 0.12 247.18 1.00 247.18 45439.18 183.83 1.17 21.51 US20 1241.88 0.70 863.38 1.00 863.38 45439.18 52.63 7.41 39.01 US30 1333.75 0.97 1290.96 1.00 1290.96 45439.18 35.20 5.05 17.76 US5 1089.06 0.25 276.76 1.00 276.76 45439.18 164.18 3.52 57.73 VIX 181.00 5.97 1080.38 1.00 1080.38 45439.18 42.06 -4.45 -18.72 WHEAT 267.25 1.66 442.34 1.00 442.34 45439.18 102.73 -17.11 -175.79 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 56.039 0.010 2.5 1.454 BITCOIN -237.450 0.043 2.5 -25.713 BOBL -95.838 0.004 2.5 -0.972 BTP -12.645 0.014 2.5 -0.431 BUND 0.663 0.004 2.5 0.007 BUXL -12.443 0.004 2.5 -0.126 CAC -31.794 0.014 2.5 -1.084 CAD -14.751 0.010 2.5 -0.383 CANOLA -457.153 0.010 2.5 -11.122 CHF 16.447 0.010 2.5 0.427 COCOA 17.077 0.009 2.5 0.366 COFFEE 12.552 0.005 2.5 0.147 COPPER -6.997 0.043 2.5 -0.758 CORN -279.812 0.010 2.5 -6.807 COTTON2 -124.091 0.009 2.5 -2.658 CRUDE_W 5.660 0.043 2.5 0.613 DAX 21.551 0.014 2.5 0.735 DOW -8.826 0.009 2.5 -0.205 DX -125.375 0.010 2.5 -3.253 EUR 88.231 0.010 2.5 2.289 EURIBOR-ICE 150.003 0.014 2.5 5.116 EUROSTX -26.663 0.014 2.5 -0.909 FEEDCOW -57.237 0.013 2.5 -1.897 GASOIL -33.283 0.017 2.5 -1.443 GASOLINE 0.996 0.017 2.5 0.043 GAS_US_mini -104.346 0.043 2.5 -11.299 GBP 116.025 0.010 2.5 3.010 GOLD_micro 124.725 0.014 2.5 4.254 HEATOIL -44.372 0.017 2.5 -1.923 JGB-SGX-mini 92.355 0.043 2.5 10.001 JPY 15.508 0.010 2.5 0.402 LEANHOG 41.916 0.024 2.5 2.547 LIVECOW 5.507 0.013 2.5 0.182 LUMBER-new -29.724 0.009 2.5 -0.636 MILK 54.572 0.009 2.5 1.169 MXP -82.708 0.059 2.5 -12.139 NASDAQ_micro -54.018 0.009 2.5 -1.255 NIKKEI -23.559 0.043 2.5 -2.551 NZD 47.453 0.010 2.5 1.231 OAT 1.562 0.014 2.5 0.053 OATIES -106.725 0.010 2.5 -2.596 OJ 48.517 0.009 2.5 1.039 PALLAD -4.359 0.014 2.5 -0.149 PLAT -16.040 0.014 2.5 -0.547 REDWHEAT -203.899 0.005 2.5 -2.705 RICE -20.741 0.010 2.5 -0.505 ROBUSTA 70.216 0.005 2.5 0.820 RUSSELL -73.241 0.013 2.5 -2.427 SHATZ -222.051 0.004 2.5 -2.252 SILVER-mini 4.128 0.014 2.5 0.141 SMI 34.313 0.014 2.5 1.170 SOFR 215.768 0.024 2.5 13.113 SOYBEAN -123.344 0.004 2.5 -1.147 SOYMEAL -126.747 0.004 2.5 -1.179 SOYOIL -145.075 0.004 2.5 -1.350 SP400 -4.222 0.013 2.5 -0.140 SP500_micro -60.297 0.009 2.5 -1.401 SUGAR11 -142.083 0.009 2.5 -3.022 US10 53.666 0.005 2.5 0.680 US10U 54.874 0.005 2.5 0.695 US2 21.506 0.005 2.5 0.273 US20 39.013 0.005 2.5 0.494 US30 17.763 0.005 2.5 0.225 US5 57.726 0.005 2.5 0.731 VIX -18.715 0.099 2.5 -4.620 WHEAT -175.795 0.005 2.5 -2.332 ===================== Position diags ===================== AUD 3.02 BITCOIN 25.23 BOBL 1.68 BTP 2.88 BUND 0.83 BUXL 0.34 CAC 2.16 CAD 5.07 CANOLA 8.10 CHF 1.52 COCOA 0.44 COFFEE 0.30 COPPER 3.41 CORN 4.05 COTTON2 1.97 CRUDE_W 4.27 DAX 8.96 DOW 6.88 DX 2.79 EUR 2.09 EURIBOR-ICE 12.57 EUROSTX 2.94 FEEDCOW 1.44 GASOIL 1.70 GASOLINE 1.30 GAS_US_mini 22.56 GBP 3.17 GOLD_micro 7.36 HEATOIL 1.26 JGB-SGX-mini 19.81 JPY 1.74 LEANHOG 5.42 LIVECOW 2.61 LUMBER-new 3.87 MILK 1.66 MXP 25.69 NASDAQ_micro 2.17 NIKKEI 8.42 NZD 2.93 OAT 3.13 OATIES 3.77 OJ 0.83 PALLAD 0.66 PLAT 1.89 REDWHEAT 1.35 RICE 3.38 ROBUSTA 0.73 RUSSELL 10.23 SHATZ 4.92 SILVER-mini 1.23 SMI 1.40 SOFR 17.27 SOYBEAN 0.64 SOYMEAL 0.84 SOYOIL 1.05 SP400 0.47 SP500_micro 4.34 SUGAR11 3.01 US10 1.38 US10U 1.00 US2 2.33 US20 0.67 US30 0.45 US5 2.08 VIX 10.38 WHEAT 1.36 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.5 1.2 1.8 3.0 3 BITCOIN -25.7 -28.2 -23.2 0.0 0 BOBL -1.0 -1.1 -0.8 0.0 0 BTP -0.4 -0.7 -0.1 0.0 0 BUND 0.0 -0.1 0.1 0.0 0 BUXL -0.1 -0.2 -0.1 0.0 0 CAC -1.1 -1.3 -0.9 0.0 0 CAD -0.4 -0.9 0.1 0.0 0 CANOLA -11.1 -11.9 -10.3 -1.0 -1 CHF 0.4 0.3 0.6 4.0 4 COCOA 0.4 0.3 0.4 0.0 0 COFFEE 0.1 0.1 0.2 0.0 0 COPPER -0.8 -1.1 -0.4 0.0 0 CORN -6.8 -7.2 -6.4 -3.0 -3 COTTON2 -2.7 -2.9 -2.5 -5.0 -5 CRUDE_W 0.6 0.2 1.0 1.0 1 DAX 0.7 -0.2 1.6 1.0 1 DOW -0.2 -0.9 0.5 2.0 2 DX -3.3 -3.5 -3.0 0.0 0 EUR 2.3 2.1 2.5 2.0 2 EURIBOR-ICE 5.1 3.9 6.4 0.0 0 EUROSTX -0.9 -1.2 -0.6 -1.0 -1 FEEDCOW -1.9 -2.0 -1.8 -2.0 -2 GASOIL -1.4 -1.6 -1.3 -1.0 -1 GASOLINE 0.0 -0.1 0.2 0.0 0 GAS_US_mini -11.3 -13.6 -9.0 -11.0 -11 GBP 3.0 2.7 3.3 1.0 1 GOLD_micro 4.3 3.5 5.0 0.0 0 HEATOIL -1.9 -2.0 -1.8 -2.0 -2 JGB-SGX-mini 10.0 8.0 12.0 4.0 4 JPY 0.4 0.2 0.6 1.0 1 LEANHOG 2.5 2.0 3.1 1.0 1 LIVECOW 0.2 -0.1 0.4 3.0 3 LUMBER-new -0.6 -1.0 -0.2 -2.0 -2 MILK 1.2 1.0 1.3 NaN 0 MXP -12.1 -14.7 -9.6 -5.0 -5 NASDAQ_micro -1.3 -1.5 -1.0 0.0 0 NIKKEI -2.6 -3.4 -1.7 -3.0 -3 NZD 1.2 0.9 1.5 0.0 0 OAT 0.1 -0.3 0.4 0.0 0 OATIES -2.6 -3.0 -2.2 NaN 0 OJ 1.0 1.0 1.1 1.0 1 PALLAD -0.1 -0.2 -0.1 0.0 0 PLAT -0.5 -0.7 -0.4 -1.0 -1 REDWHEAT -2.7 -2.8 -2.6 -2.0 -2 RICE -0.5 -0.8 -0.2 NaN 0 ROBUSTA 0.8 0.7 0.9 1.0 1 RUSSELL -2.4 -3.5 -1.4 -17.0 -17 SHATZ -2.3 -2.7 -1.8 NaN 0 SILVER-mini 0.1 0.0 0.3 0.0 0 SMI 1.2 1.0 1.3 0.0 0 SOFR 13.1 11.4 14.8 NaN 0 SOYBEAN -1.1 -1.2 -1.1 -6.0 -6 SOYMEAL -1.2 -1.3 -1.1 -1.0 -1 SOYOIL -1.4 -1.5 -1.2 0.0 0 SP400 -0.1 -0.2 -0.1 0.0 0 SP500_micro -1.4 -1.8 -1.0 0.0 0 SUGAR11 -3.0 -3.3 -2.7 0.0 0 US10 0.7 0.5 0.8 0.0 0 US10U 0.7 0.6 0.8 1.0 1 US2 0.3 0.0 0.5 NaN 0 US20 0.5 0.4 0.6 0.0 0 US30 0.2 0.2 0.3 4.0 4 US5 0.7 0.5 0.9 3.0 3 VIX -4.6 -5.7 -3.6 -3.0 -3 WHEAT -2.3 -2.5 -2.2 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.8 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 0.3 -0.2 0.1 0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 0.0 0.2 -0.1 0.0 0.0 -0.0 -0.1 -0.0 -0.0 0.0 0.0 0.2 -0.0 0.1 0.4 0.0 0.1 0.0 0.1 0.0 0.1 -0.0 0.2 0.2 -0.2 0.1 0.4 -0.2 0.4 -0.0 BITCOIN -0.4 -0.3 -0.5 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.0 -0.0 0.3 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.2 -0.1 -2.7 -0.0 0.0 0.0 -0.0 0.2 -0.0 -0.1 -0.2 -0.6 0.1 0.2 -0.4 -0.2 -0.1 -0.0 BOBL 0.3 0.6 0.3 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 0.0 -0.2 0.1 0.1 -0.4 -0.3 -0.4 -0.4 0.1 0.0 0.0 -0.1 0.1 0.6 0.0 -0.0 0.0 0.0 0.0 0.0 -1.1 -0.2 -0.2 -0.1 -0.2 -0.7 -0.7 -0.3 -0.3 BTP 0.2 0.5 0.0 0.1 0.0 0.1 0.0 0.0 0.1 -0.0 0.3 0.1 0.5 0.2 0.2 0.0 0.1 0.0 0.0 0.2 0.1 0.1 0.3 0.1 -2.7 0.1 0.0 0.1 0.0 0.2 0.1 0.6 0.1 -0.6 -0.2 -0.6 -0.7 -0.5 -0.1 0.2 BUND 0.3 0.6 0.3 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 -0.0 0.1 -0.0 0.1 0.1 0.1 0.0 0.1 0.0 0.1 0.1 0.0 -0.0 0.1 0.1 0.0 -0.0 0.1 0.0 0.0 0.0 0.4 -0.1 -0.3 -0.2 -0.3 -0.7 -0.7 -0.2 -0.3 BUXL 0.4 0.5 0.2 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 -0.0 0.1 -0.0 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.0 -0.1 0.1 -0.4 0.0 -0.0 0.1 0.0 0.0 0.0 0.1 -0.1 -0.3 -0.4 -0.4 -0.7 -0.7 -0.4 -0.3 CAC 0.0 -0.4 -0.6 0.0 0.0 0.1 0.0 0.2 0.0 0.1 -0.2 0.1 0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 0.1 -0.0 -0.0 -1.1 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.4 -0.1 0.1 -0.6 -0.6 0.3 0.2 0.1 0.2 CAD 0.5 -0.0 -0.1 0.0 0.1 -0.0 0.2 -0.0 0.1 0.2 -0.4 0.2 -0.7 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.2 -0.3 0.2 -0.2 0.0 0.1 -0.1 0.2 -0.2 0.1 -0.1 -0.0 0.4 -0.2 -0.3 0.4 -0.2 0.1 -0.1 CANOLA -0.6 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.3 -0.1 -0.1 -0.1 -0.2 -0.1 -1.9 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.2 -0.3 -0.1 -0.1 0.0 -0.4 0.3 -0.1 CHF 0.5 0.6 0.6 0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.0 0.1 -0.0 0.1 0.4 0.0 0.0 0.0 0.0 0.0 0.0 -1.1 -0.1 0.6 0.6 0.5 0.1 -0.4 -0.2 -0.4 COCOA 0.2 -0.1 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 0.1 0.0 -0.0 0.4 0.4 0.4 0.4 0.0 0.0 0.1 0.2 0.0 -2.6 0.0 0.0 0.1 0.0 0.4 0.0 1.1 0.4 0.4 0.2 0.1 0.6 0.2 0.7 0.4 COFFEE -0.0 0.0 0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -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 0.4 0.1 -2.7 0.0 0.0 0.2 0.1 0.3 0.1 0.3 0.3 0.6 0.6 0.6 -0.1 -0.3 0.1 -0.1 COPPER 0.0 -0.6 -0.4 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.1 0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 0.0 0.1 -0.0 -1.6 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.3 0.1 -0.1 -0.2 0.1 0.4 0.1 0.7 0.5 CORN 0.0 -0.5 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.4 -0.3 -0.4 -0.4 -0.2 -0.2 -0.0 -0.4 -0.1 -1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.0 -0.1 -0.5 -0.3 -0.2 -0.3 -0.1 -0.0 COTTON2 0.2 -0.1 -0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.5 0.1 -0.5 -0.1 -0.2 -0.2 -0.0 -0.2 -0.1 -0.2 -0.2 0.1 -0.5 -0.0 -2.7 -0.1 0.0 -0.2 0.0 -0.1 -0.0 -0.6 0.5 0.4 0.0 -0.4 -0.3 -0.3 0.0 -0.1 CRUDE_W -0.2 -0.5 -0.4 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.4 -0.1 -0.1 0.2 0.3 0.3 0.3 -0.1 -0.0 -0.2 0.1 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.5 0.1 -0.0 -0.0 -0.3 0.4 0.6 0.4 0.7 DAX -0.2 -0.4 -0.6 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.1 0.1 0.4 0.0 -0.0 -0.1 -0.2 -0.2 -0.2 -0.0 0.0 0.1 0.2 0.0 1.2 -0.0 0.1 0.0 0.1 0.2 0.0 -0.4 0.1 0.0 -0.2 -0.5 0.4 0.1 -0.1 0.1 DOW -0.3 0.0 -0.2 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.3 0.0 0.0 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.2 0.1 -1.2 0.0 0.0 0.1 0.0 0.2 0.0 -0.4 -0.0 0.3 0.4 0.0 0.4 0.0 0.0 -0.1 DX -0.5 -0.6 -0.3 0.0 0.1 -0.0 0.1 -0.0 0.1 -0.1 0.0 -0.2 0.3 -0.2 -0.2 0.1 0.1 0.1 0.1 -0.2 -0.1 -0.2 0.0 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.9 -0.5 -0.6 -0.6 -0.6 -0.2 0.2 -0.2 0.3 EUR 0.5 0.5 0.2 0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 0.1 0.2 -0.3 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 -0.0 0.2 2.7 0.1 0.1 0.1 0.1 0.0 0.1 -0.4 0.3 0.6 0.6 0.5 0.1 -0.6 -0.1 -0.6 EURIBOR-ICE 0.4 0.6 0.3 0.0 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 0.1 0.1 0.0 0.1 0.1 1.6 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.7 -0.7 -0.1 0.0 EUROSTX -0.1 -0.5 -0.6 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.1 0.1 0.4 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 0.2 0.0 -0.2 -0.0 0.0 0.0 0.0 0.1 -0.0 0.3 -0.0 0.1 -0.4 -0.6 0.1 0.0 -0.5 -0.1 FEEDCOW -0.6 -0.6 -0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.2 -0.3 -0.2 -0.1 0.2 -0.4 0.0 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.8 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -1.1 -0.2 -0.6 -0.6 -0.4 0.1 0.7 0.3 0.7 GASOIL -0.3 -0.4 -0.5 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 0.3 -0.2 -0.1 0.0 0.2 0.0 0.1 -0.1 -0.1 -0.2 0.0 -0.2 0.5 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.0 -0.3 -0.1 -0.1 -0.3 -0.5 -0.6 -0.7 GASOLINE -0.3 -0.4 -0.4 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 0.0 -0.2 0.3 -0.2 -0.1 0.4 0.4 0.4 0.4 -0.1 -0.0 -0.2 0.1 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 1.1 -0.1 -0.1 0.1 -0.2 0.7 0.7 0.7 0.7 GAS_US_mini 0.3 -0.4 0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.3 0.1 -0.5 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.0 -0.5 -0.0 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.3 0.5 -0.0 0.5 -0.1 -0.4 -0.3 -0.6 GBP -0.0 0.2 0.2 0.0 0.1 -0.0 0.1 -0.0 0.1 0.2 0.4 0.2 0.3 0.2 0.2 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.2 0.2 0.2 -0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.2 0.5 -0.0 0.6 0.6 0.3 -0.7 0.3 -0.5 GOLD_micro 0.2 0.1 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.3 0.1 0.4 0.1 0.1 -0.2 -0.3 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 -0.7 0.0 0.0 0.1 0.1 0.2 0.1 -0.7 0.2 0.5 0.6 0.5 0.3 -0.1 0.6 0.1 HEATOIL -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.3 -0.2 0.1 -0.2 -0.2 -0.1 0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.4 -0.1 -0.4 -0.1 -0.3 -0.1 0.2 -0.5 0.1 JGB-SGX-mini 0.6 0.6 0.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.0 0.0 -0.0 0.0 0.0 0.3 0.4 0.3 0.3 0.1 0.0 0.0 -0.0 0.1 -0.9 0.0 -0.0 0.0 0.0 -0.0 0.0 1.1 -0.2 0.1 -0.1 -0.2 -0.2 -0.2 -0.1 0.3 JPY 0.6 0.6 0.6 0.0 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.0 -0.2 0.1 0.0 -0.2 -0.3 -0.3 -0.3 0.1 0.0 0.1 -0.1 0.1 2.7 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 -0.3 0.6 0.6 0.1 -0.7 -0.6 -0.7 -0.5 LEANHOG 0.3 0.3 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.0 -0.2 0.1 -0.1 0.4 0.2 0.4 0.4 -0.1 -0.1 0.1 -0.2 0.0 0.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 1.1 0.4 0.2 0.3 -0.4 -0.0 -0.2 0.1 0.1 LIVECOW -0.6 -0.4 0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -0.2 0.3 -0.2 0.0 0.4 0.2 0.4 0.3 -0.1 0.0 -0.2 0.2 -0.2 -1.5 -0.0 -0.1 0.0 -0.1 0.1 -0.1 1.0 -0.3 -0.6 -0.1 0.6 -0.0 0.7 0.1 0.7 LUMBER-new 0.6 0.6 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 0.1 -0.4 0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.0 -0.2 0.1 NaN 0.0 -0.0 -0.1 0.0 -0.2 0.0 -1.2 0.3 0.7 0.7 -0.0 0.1 -0.1 0.3 -0.0 MILK 0.1 0.1 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.3 0.1 0.1 0.1 0.1 0.1 -0.4 -0.2 -0.3 0.1 0.1 0.1 0.1 0.2 2.2 0.1 0.0 0.1 0.1 0.0 0.1 -1.1 0.5 0.6 0.6 0.6 -0.1 -0.7 0.0 -0.7 MXP -0.2 -0.3 -0.6 0.0 0.1 -0.0 0.1 -0.0 0.0 -0.1 -0.2 -0.0 -0.0 -0.1 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.1 -0.1 -0.0 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 -0.5 -0.6 -0.4 -0.6 0.6 0.4 0.7 0.6 NASDAQ_micro -0.1 -0.6 -0.5 0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.1 0.1 0.3 0.0 0.0 -0.1 -0.2 -0.2 -0.2 0.0 0.0 0.1 0.2 0.0 -2.1 0.0 0.0 0.0 0.0 0.1 0.0 -0.4 0.1 0.2 -0.3 0.1 0.1 0.2 -0.2 0.1 NIKKEI -0.3 -0.6 -0.6 0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.1 0.0 -0.0 0.2 0.2 0.2 0.2 -0.0 -0.0 0.0 0.1 -0.0 -0.9 -0.0 0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.2 -0.6 -0.5 -0.4 0.3 -0.0 0.2 -0.1 NZD 0.6 -0.2 0.1 0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 -0.1 0.1 -0.1 0.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.2 -0.0 0.1 0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 0.2 0.1 0.5 -0.3 0.1 0.3 -0.2 0.2 0.0 OAT 0.4 0.6 -0.0 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 -0.1 0.1 -0.1 0.1 0.1 0.0 0.1 0.0 0.0 0.1 0.0 0.0 -0.1 0.1 0.4 0.0 0.0 0.0 0.0 -0.0 0.0 0.5 -0.0 -0.4 -0.2 -0.6 -0.6 -0.6 -0.1 -0.0 OATIES 0.1 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.0 -0.4 -0.1 -0.1 0.2 0.1 0.1 0.1 -0.1 -0.1 -0.0 -0.3 -0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.0 0.0 -0.0 -0.1 0.3 -0.0 0.7 0.3 OJ 0.2 -0.1 -0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.4 0.2 0.6 0.1 0.1 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.0 0.2 0.2 0.1 0.4 0.1 0.7 0.5 0.6 0.6 0.6 0.5 0.4 0.7 0.7 PALLAD 0.2 -0.1 0.1 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.2 0.1 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.2 0.0 1.9 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.3 -0.1 0.0 0.3 0.1 -0.7 -0.7 -0.7 -0.7 PLAT -0.0 -0.4 -0.1 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.0 -0.0 0.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.1 -0.1 -0.1 0.3 -0.3 -0.3 -0.2 0.1 REDWHEAT 0.0 -0.6 -0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.5 -0.2 -0.6 -0.2 -0.2 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.5 -0.2 -0.8 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.9 -0.4 -0.1 -0.4 -0.1 -0.7 -0.7 -0.5 -0.7 RICE -0.1 -0.4 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.2 -0.1 0.4 -0.0 -0.0 -0.2 0.4 0.4 0.4 -0.0 0.0 -0.0 0.2 -0.1 -1.3 -0.0 0.0 0.0 -0.0 0.1 -0.0 1.1 -0.2 0.4 0.2 0.6 -0.7 -0.5 -0.7 -0.4 ROBUSTA 0.0 0.1 0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.3 0.1 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.0 0.0 0.2 0.1 0.3 0.0 1.1 0.5 0.6 0.6 0.6 0.1 -0.2 0.3 0.1 RUSSELL -0.6 0.2 -0.1 0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.1 0.0 0.2 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 0.1 0.0 -0.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 -0.2 -0.1 0.4 0.1 0.1 -0.6 -0.1 -0.7 SHATZ 0.4 0.6 0.6 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 -0.1 0.0 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.0 -0.1 0.1 0.9 0.0 -0.0 0.0 0.0 -0.0 0.0 -1.1 -0.2 -0.1 -0.0 -0.1 -0.7 -0.6 -0.6 -0.4 SILVER-mini -0.1 -0.5 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 0.1 0.1 0.2 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 0.1 0.2 0.0 0.3 -0.0 0.0 -0.0 0.0 0.1 -0.0 -0.1 0.2 -0.0 0.1 0.3 0.1 -0.2 0.3 0.2 SMI -0.4 -0.5 0.1 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.3 0.1 0.4 0.1 0.1 -0.1 0.0 -0.1 -0.0 0.0 0.1 0.1 0.3 0.1 1.2 0.1 0.0 0.1 0.1 0.2 0.1 0.5 -0.0 0.6 0.4 0.4 0.1 0.0 -0.3 -0.1 SOFR 0.3 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.2 0.1 0.1 0.1 0.1 0.0 -0.0 -0.0 -0.0 0.2 0.1 0.1 0.1 0.1 -0.5 0.0 0.0 0.1 0.0 0.1 0.0 0.2 0.0 0.1 0.0 0.2 0.3 -0.5 0.7 0.2 SOYBEAN -0.3 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.2 0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.3 -0.1 -2.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.3 -0.4 -0.5 -0.3 -0.1 -0.7 0.0 -0.7 SOYMEAL 0.0 -0.3 -0.4 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -2.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.0 -0.3 0.0 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.6 -0.6 -0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 0.1 0.0 0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -2.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.4 -0.2 -0.2 -0.1 -0.3 0.2 -0.1 SP400 -0.4 -0.0 -0.4 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.0 0.3 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 0.1 0.0 -1.1 0.0 0.0 0.1 0.0 0.1 0.0 0.0 -0.1 0.1 0.3 -0.0 0.2 -0.3 -0.1 -0.7 SP500_micro -0.2 -0.6 -0.4 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.1 0.4 0.0 0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.1 0.1 0.3 0.1 -1.9 0.0 0.0 0.1 0.0 0.2 0.0 -0.6 0.2 0.2 -0.1 0.2 0.3 0.1 -0.1 0.0 SUGAR11 -0.3 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 -0.1 -0.4 -0.1 -0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.1 -0.2 0.1 -0.0 -0.0 -0.2 0.6 -0.0 0.7 US10 0.4 0.6 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 -0.1 0.1 0.1 -0.2 -0.2 -0.2 -0.1 0.1 0.1 0.1 0.0 0.1 0.3 0.0 0.0 0.1 0.0 0.0 0.0 -0.4 0.0 0.1 0.0 0.1 0.2 -0.7 0.7 0.2 US10U 0.4 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.1 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 -0.0 0.1 -0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.1 -0.1 0.1 0.2 -0.6 0.7 0.5 US2 0.3 0.6 0.6 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.0 -0.1 0.1 1.5 0.0 0.0 0.0 0.0 0.0 0.0 -1.1 -0.1 0.2 0.2 0.1 0.1 -0.7 0.2 -0.4 US20 0.5 0.5 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.0 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 0.0 0.1 -0.2 0.0 0.0 0.1 0.0 0.0 0.0 0.2 0.1 0.1 -0.1 0.1 0.2 -0.3 0.7 0.7 US30 0.5 0.4 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 -0.0 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 -0.0 0.1 -0.2 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 0.1 -0.0 -0.3 0.0 0.1 -0.3 0.6 0.7 US5 0.3 0.6 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.0 -0.1 0.1 0.1 -0.3 -0.2 -0.2 -0.2 0.1 0.1 0.0 -0.0 0.1 0.7 0.0 0.0 0.1 0.0 0.0 0.0 -0.7 -0.1 0.2 0.1 0.2 0.2 -0.7 0.5 -0.1 VIX 0.4 1.0 1.0 0.0 0.0 0.0 0.0 -0.1 0.0 -0.0 -0.2 -0.1 -0.4 -0.1 -0.1 -0.4 -0.6 -0.6 -0.6 0.0 -0.0 -0.0 -0.1 -0.0 NaN 0.0 0.0 0.0 0.0 -0.1 0.0 NaN NaN NaN NaN NaN -0.7 -1.1 NaN NaN WHEAT 0.1 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.4 -0.1 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.3 0.1 -0.3 -0.0 -0.6 -0.7 -0.5 -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 8.4 -6.0 3.5 1.5 11.7 -0.6 12.3 -0.0 6.6 12.9 0.3 16.0 -3.1 3.7 2.2 -2.0 -2.6 -2.2 -2.4 2.2 1.0 20.0 -0.7 11.2 3.0 0.6 7.3 0.2 10.0 0.1 4.8 -0.0 8.6 5.4 -5.0 4.0 11.5 -4.6 13.0 -0.6 BITCOIN -11.6 -8.6 -16.6 -3.3 0.9 -3.0 1.6 -1.5 -0.8 9.5 1.8 -2.8 7.0 -4.2 -6.2 -4.9 -7.0 -6.0 -6.6 -5.7 -0.6 -0.6 6.9 -5.2 -20.0 -2.9 1.3 0.5 -0.9 5.3 -3.0 -2.6 -8.4 -20.0 4.2 7.7 -10.6 -5.9 -4.0 -0.2 BOBL 10.7 20.0 10.1 3.1 0.3 1.8 1.7 0.4 3.0 -5.6 -1.9 3.6 -4.4 7.6 8.0 -20.0 -17.0 -20.0 -20.0 9.3 3.9 1.8 -2.3 8.1 4.2 3.1 -0.8 1.6 0.5 0.1 2.6 -20.0 -8.0 -6.4 -4.1 -6.7 -20.0 -20.0 -8.6 -9.6 BTP 6.1 15.4 1.5 5.6 0.6 3.3 3.0 0.7 5.4 -1.3 11.2 12.9 14.2 18.4 17.5 1.4 3.8 1.5 2.3 14.2 10.9 7.7 9.9 13.7 -20.0 6.2 0.5 4.9 3.5 4.6 6.0 10.9 4.9 -20.0 -6.6 -17.7 -20.0 -15.9 -2.8 4.7 BUND 10.3 18.0 8.6 3.4 0.4 2.0 1.8 0.4 3.3 -6.0 -0.5 5.4 -1.2 9.2 9.2 6.9 1.6 4.6 2.1 9.5 4.8 2.8 -0.7 8.6 1.0 3.5 -0.9 2.2 0.9 0.7 3.1 8.2 -5.1 -8.3 -6.7 -8.2 -20.0 -20.0 -7.3 -9.0 BUXL 12.2 14.5 6.1 4.0 0.4 2.4 2.2 0.5 3.9 -6.5 -1.5 6.8 -0.8 10.4 9.0 -0.7 -2.3 -1.5 -2.4 8.7 3.6 3.2 -2.2 8.9 -3.3 3.9 -1.5 2.3 1.2 0.8 3.7 1.5 -4.6 -10.4 -11.6 -13.8 -20.0 -20.0 -10.5 -8.8 CAC 0.2 -13.5 -20.0 0.8 4.8 3.3 4.1 5.1 0.9 14.3 -8.3 10.3 3.0 -1.8 -11.6 -4.9 -1.9 -5.0 -3.0 -14.0 -11.5 11.5 -0.6 -2.9 -8.1 -4.3 4.2 -3.1 3.3 0.7 -1.0 6.8 -5.8 1.8 -19.5 -20.0 9.3 5.1 2.1 4.8 CAD 14.1 -0.2 -2.2 1.8 14.3 -0.8 15.0 -0.0 8.0 20.0 -16.2 20.0 -18.5 13.1 2.3 -5.2 -3.5 -4.7 -4.1 0.6 -7.4 20.0 -11.1 14.6 -1.3 0.4 14.1 -3.4 14.7 -4.6 7.8 -2.1 -1.5 10.9 -6.1 -7.8 10.7 -6.0 1.5 -3.6 CANOLA -20.0 -9.6 0.8 -2.3 -0.7 -1.8 -0.9 -1.2 -1.8 -4.3 -5.4 -6.7 -6.4 -6.8 -6.2 -11.2 -10.4 -12.3 -12.7 -8.4 -6.2 -7.4 -6.1 -9.8 -14.6 -2.4 -0.9 -2.3 -1.6 -2.7 -2.3 -20.0 -6.7 -10.6 -1.7 -2.9 0.8 -10.9 9.5 -4.2 CHF 16.1 20.0 18.9 0.9 6.7 -0.4 7.1 -0.0 3.8 10.1 -2.5 8.2 -5.1 8.3 8.1 -14.2 -16.5 -15.8 -16.2 11.2 4.3 13.3 -1.1 13.5 3.3 3.7 3.4 1.7 3.6 0.1 4.1 -20.0 -6.2 20.0 18.6 15.6 2.3 -10.8 -7.2 -12.0 COCOA 6.6 -4.4 6.0 -2.0 -0.6 -1.6 -0.8 -1.0 -1.6 6.1 2.1 5.5 3.2 3.0 -1.8 20.0 20.0 20.0 20.0 1.2 3.8 7.4 8.2 3.6 -19.8 1.4 4.2 4.8 3.5 10.1 1.9 20.0 14.9 11.2 6.1 2.5 18.0 7.2 20.0 11.3 COFFEE -0.8 0.0 7.0 -5.0 -1.5 -4.0 -2.1 -2.6 -4.0 8.4 13.6 12.1 13.6 9.0 12.5 3.2 6.2 3.9 5.3 10.7 14.2 12.1 14.8 10.3 -20.0 4.4 3.1 7.1 6.2 9.2 4.8 6.1 12.2 20.0 20.0 18.3 -3.1 -10.3 3.8 -3.8 COPPER 0.7 -20.0 -10.9 -2.4 0.7 -2.2 1.2 -1.1 -0.6 5.6 -2.8 6.5 0.2 -5.4 -7.9 -2.8 -2.7 -1.7 -1.9 -7.9 -3.0 3.1 2.7 -3.9 -11.9 -2.4 0.7 -0.9 0.8 0.9 -1.1 5.3 3.3 -2.3 -6.2 2.8 11.8 4.2 19.7 14.9 CORN 0.5 -14.0 -15.0 -3.7 -1.1 -2.9 -1.5 -1.9 -3.0 -4.8 -11.8 -8.9 -12.4 -10.9 -12.1 -20.0 -14.8 -20.0 -18.5 -15.7 -17.1 -5.3 -16.3 -9.9 -8.3 -4.1 -1.4 -4.4 -1.5 -4.1 -2.6 -20.0 0.3 -2.9 -16.8 -10.1 -5.3 -8.3 -3.2 -1.0 COTTON2 6.8 -2.7 -20.0 -5.0 -1.5 -4.0 -2.0 -2.5 -4.0 8.5 -17.0 5.7 -15.0 -10.1 -14.9 -10.8 -2.3 -8.9 -5.3 -15.0 -20.0 6.2 -18.8 -4.2 -20.0 -4.9 5.4 -6.0 3.4 -3.5 -1.0 -10.4 20.0 12.1 0.5 -11.0 -10.0 -9.6 1.3 -2.8 CRUDE_W -7.3 -14.9 -11.4 -5.1 -7.1 -2.9 -6.7 -0.1 -5.9 -14.8 -1.5 -11.7 10.5 -12.9 -9.7 11.5 12.6 13.0 13.0 -10.0 -3.6 -16.9 3.2 -13.6 -2.2 -5.7 -7.4 -3.9 -6.6 -0.3 -5.8 10.0 4.0 -1.4 -0.8 -8.1 11.2 18.9 12.5 20.0 DAX -5.7 -11.6 -20.0 0.7 4.2 2.9 3.6 4.4 0.8 13.6 3.9 10.3 10.4 2.1 -3.2 -7.3 -10.5 -8.6 -9.7 -3.3 0.4 14.0 7.5 2.9 9.1 -1.6 5.7 0.9 4.7 4.5 0.4 -7.1 2.7 1.3 -7.3 -16.1 10.7 4.2 -1.6 3.3 DOW -8.1 0.7 -7.6 0.6 3.4 2.3 2.9 3.6 0.6 9.0 4.7 9.3 9.6 3.7 3.6 -8.5 -10.9 -9.9 -10.6 4.9 5.4 10.9 7.5 7.2 -8.7 2.4 2.7 3.1 3.7 4.4 2.7 -8.2 -0.2 8.5 10.9 0.6 10.7 0.1 0.3 -4.0 DX -16.7 -20.0 -10.5 1.3 9.7 -0.5 10.2 -0.0 5.5 -10.2 0.6 -15.3 9.3 -16.6 -14.9 6.5 7.0 7.0 7.1 -15.3 -5.7 -20.0 1.6 -20.0 -20.0 -5.4 -6.7 -2.1 -8.1 0.4 -7.6 16.4 -20.0 -20.0 -20.0 -20.0 -6.0 5.3 -7.4 8.0 EUR 15.5 14.1 6.5 1.6 12.5 -0.7 13.1 -0.0 7.1 15.7 2.7 20.0 -7.5 20.0 18.5 -7.0 -7.2 -7.4 -7.2 16.3 6.6 20.0 -0.1 20.0 20.0 6.7 9.0 3.3 11.8 1.1 10.1 -8.1 11.5 20.0 20.0 15.0 2.6 -17.3 -2.2 -18.8 EURIBOR-ICE 11.0 20.0 8.8 2.7 0.3 1.6 1.4 0.3 2.6 -1.4 0.8 5.7 2.0 8.3 8.2 0.0 -3.9 -2.0 -3.0 11.1 6.4 4.6 2.3 10.2 12.3 2.9 0.1 1.8 1.2 0.8 2.7 -0.3 -1.2 -3.7 2.3 -3.4 -20.0 -20.0 -4.1 1.4 EUROSTX -2.5 -16.5 -20.0 0.7 4.1 2.8 3.5 4.3 0.8 12.1 3.7 11.1 9.7 -0.9 -5.2 -3.8 -2.8 -4.5 -4.1 -6.3 -1.9 11.9 6.7 0.6 -1.8 -2.4 4.5 0.1 3.9 4.0 -0.2 4.7 -1.7 2.8 -13.6 -19.2 2.9 0.9 -13.8 -1.8 FEEDCOW -20.0 -20.0 -11.8 -4.9 -1.5 -3.9 -2.0 -2.5 -3.9 -11.4 -8.6 -15.1 -7.2 -15.5 -13.1 9.9 -20.0 0.9 -9.7 -20.0 -16.7 -20.0 -7.8 -20.0 -6.3 -5.1 -3.3 -3.2 -5.3 -1.2 -6.1 -20.0 -10.1 -20.0 -20.0 -13.4 2.6 20.0 9.6 20.0 GASOIL -9.6 -13.5 -14.2 -4.7 -6.5 -2.6 -6.2 -0.1 -5.4 -13.5 -7.6 -13.3 8.0 -15.0 -13.1 2.3 9.7 1.2 4.0 -13.0 -7.3 -16.8 0.8 -15.7 4.1 -5.6 -6.6 -3.4 -6.8 -0.2 -6.6 0.1 -1.7 -8.0 -3.1 -1.9 -8.9 -13.8 -17.7 -20.0 GASOLINE -9.0 -11.0 -11.8 -4.7 -6.6 -2.7 -6.3 -0.1 -5.5 -14.3 0.2 -14.7 8.8 -14.0 -11.3 20.0 20.0 20.0 20.0 -9.5 -3.5 -18.2 3.9 -14.1 -20.0 -5.4 -8.4 -3.2 -8.5 0.8 -6.8 20.0 -4.6 -2.2 4.6 -5.3 20.0 20.0 20.0 20.0 GAS_US_mini 9.5 -13.1 3.2 -3.6 -5.1 -2.1 -4.8 -0.1 -4.2 -7.2 -12.0 6.0 -13.5 -7.6 -10.9 -20.0 -20.0 -20.0 -20.0 -8.8 -11.2 -0.9 -17.4 -3.6 20.0 -2.5 -4.0 -3.6 -0.3 -5.4 -0.7 -20.0 10.5 14.8 -1.2 14.6 -4.0 -12.8 -7.8 -18.3 GBP -0.7 5.4 6.7 1.7 13.2 -0.7 13.8 -0.0 7.4 20.0 15.3 20.0 9.5 14.7 15.8 -0.5 -0.7 -0.6 -0.7 13.1 10.6 20.0 8.4 20.0 -0.9 5.8 16.4 5.3 14.3 4.5 8.5 3.0 20.0 -0.6 18.8 20.0 9.0 -20.0 8.8 -14.4 GOLD_micro 7.5 4.3 0.3 -3.0 0.8 -2.8 1.5 -1.3 -0.7 5.2 11.3 10.0 11.3 10.3 8.8 -11.4 -13.2 -11.7 -12.2 10.6 11.7 11.3 13.0 11.9 -5.5 3.2 1.5 4.0 5.0 5.8 4.7 -12.7 8.1 16.5 20.0 17.0 10.3 -3.6 16.9 2.4 HEATOIL -11.0 -12.9 -11.6 -4.9 -6.9 -2.8 -6.5 -0.1 -5.7 -15.5 -11.7 -16.1 2.5 -16.4 -14.1 -5.6 6.9 -5.1 -0.9 -15.1 -9.9 -20.0 -2.8 -18.8 -20.0 -6.3 -6.9 -5.0 -7.4 -1.7 -6.8 -6.6 -4.8 -11.7 -4.6 -10.2 -4.2 5.4 -14.7 2.1 JGB-SGX-mini 20.0 20.0 2.9 2.0 0.2 1.2 1.1 0.2 1.9 -5.6 -0.6 2.8 -0.1 3.7 2.7 13.1 17.9 16.4 17.2 4.7 1.5 1.8 -0.1 5.5 -6.9 1.6 -0.4 0.3 0.9 -0.4 2.0 20.0 -6.9 4.5 -1.8 -7.5 -5.9 -5.0 -4.4 10.4 JPY 20.0 20.0 19.7 0.6 4.4 -0.2 4.7 -0.0 2.5 4.4 -1.9 4.3 -5.9 5.7 4.5 -11.7 -15.6 -13.5 -14.5 8.2 1.2 6.2 -5.3 9.9 20.0 2.0 0.5 0.3 1.4 -1.2 2.4 -20.0 -10.5 17.0 18.4 3.7 -20.0 -16.5 -20.0 -16.4 LEANHOG 8.7 10.6 -20.0 -3.5 -1.0 -2.8 -1.4 -1.8 -2.8 9.3 -6.8 3.8 -6.1 5.9 -5.6 20.0 11.3 20.0 20.0 -5.0 -9.1 5.8 -8.7 1.3 3.4 -2.0 4.8 -3.3 2.5 -2.9 0.6 20.0 17.0 7.6 8.5 -13.7 -0.2 -6.1 3.9 3.2 LIVECOW -20.0 -12.4 6.9 -5.8 -1.7 -4.6 -2.4 -2.9 -4.6 -13.1 9.1 -16.6 7.0 -14.4 1.3 20.0 11.5 17.5 15.9 -6.0 4.0 -20.0 6.5 -19.3 -11.5 -2.4 -7.9 1.5 -9.0 3.4 -6.9 19.6 -10.8 -20.0 -3.2 20.0 -1.4 20.0 3.8 20.0 LUMBER-new 15.3 16.3 -6.1 -3.5 -1.0 -2.8 -1.4 -1.7 -2.8 0.5 -7.3 4.2 -8.6 8.3 -0.4 -17.6 -17.5 -17.3 -17.5 -0.0 -6.3 1.5 -8.0 4.1 NaN 0.4 -0.6 -3.1 0.7 -4.0 2.2 -20.0 10.4 18.3 19.1 -0.1 3.7 -3.3 8.5 -0.7 MILK 2.2 2.3 20.0 -4.4 -1.3 -3.5 -1.8 -2.3 -3.6 4.8 12.1 11.3 3.3 11.1 12.6 7.1 -20.0 -9.5 -16.5 13.3 12.0 13.7 4.1 14.4 16.1 4.7 1.3 4.2 5.4 1.1 5.3 -20.0 20.0 20.0 20.0 20.0 -3.2 -20.0 1.4 -20.0 MXP -5.0 -8.0 -20.0 0.7 5.6 -0.3 5.9 -0.0 3.2 -8.0 -6.0 -3.2 -0.9 -4.9 -7.0 9.9 14.5 11.0 12.5 -9.7 -7.8 -8.6 -1.7 -8.2 -20.0 -3.2 -4.1 -2.6 -2.4 -0.5 -2.5 20.0 -20.0 -20.0 -12.2 -20.0 17.3 12.5 20.0 19.1 NASDAQ_micro -4.0 -20.0 -14.4 0.4 2.5 1.7 2.2 2.7 0.5 5.8 3.3 7.0 7.1 0.2 0.7 -7.0 -10.3 -9.0 -9.8 0.3 3.3 8.5 6.9 2.8 -15.9 0.1 1.5 1.7 2.1 3.5 0.4 -6.9 2.9 4.7 -9.2 4.1 2.1 5.4 -6.7 3.0 NIKKEI -10.2 -20.0 -20.0 0.3 2.0 1.3 1.7 2.1 0.4 6.3 1.7 4.3 4.1 0.2 -0.4 7.7 10.0 9.8 9.6 -2.5 -0.4 3.4 2.3 -1.0 -7.0 -1.7 0.3 -0.3 -0.8 1.1 -2.0 20.0 -7.2 -18.8 -14.3 -11.6 8.9 -1.2 4.8 -3.6 NZD 17.9 -6.7 2.0 1.1 8.6 -0.5 9.1 -0.0 4.9 12.7 -3.4 13.6 -3.0 8.0 0.8 -0.3 0.1 -0.2 -0.1 1.1 -1.4 18.4 -1.8 9.6 0.1 0.3 7.6 -0.7 8.2 -0.6 4.2 4.3 3.2 14.2 -8.2 3.0 9.2 -4.7 7.2 0.1 OAT 13.0 17.2 -0.8 3.9 0.4 2.3 2.1 0.5 3.7 -2.2 -4.2 8.9 -2.6 12.1 9.7 0.4 3.5 0.6 1.7 7.6 1.2 5.4 -3.4 9.7 2.7 3.5 0.2 1.2 2.3 -0.1 4.2 10.2 -0.1 -11.2 -6.7 -17.2 -16.9 -19.2 -3.0 -0.9 OATIES 1.7 -3.6 -17.9 -3.8 -1.1 -3.0 -1.5 -1.9 -3.0 -1.9 -11.3 -4.5 -11.7 -8.3 -11.9 12.0 2.7 7.1 5.1 -10.6 -13.1 -0.6 -12.1 -5.1 -20.0 -3.5 0.2 -3.7 0.0 -3.0 -1.8 2.3 1.0 1.5 -0.0 -2.5 8.7 -0.8 20.0 8.7 OJ 5.5 -2.8 -12.1 -5.5 -1.7 -4.4 -2.3 -2.8 -4.5 16.0 14.0 15.5 15.9 9.1 11.5 9.4 11.6 9.1 9.4 13.9 18.2 20.0 20.0 17.9 -20.0 4.6 16.8 6.6 11.6 11.6 6.6 13.8 20.0 20.0 20.0 20.0 14.4 11.1 20.0 20.0 PALLAD 5.1 -2.8 3.8 -2.1 0.6 -2.0 1.0 -0.9 -0.5 1.0 -5.9 5.9 -8.3 -2.0 -3.6 -1.9 -2.1 -1.9 -1.9 -2.4 -4.2 1.9 -7.9 0.3 14.5 -1.8 -0.2 -2.9 1.0 -3.9 0.0 5.8 -5.5 0.0 8.2 3.3 -20.0 -20.0 -20.0 -20.0 PLAT -1.1 -11.8 -3.7 -2.7 0.8 -2.5 1.3 -1.2 -0.6 3.4 -4.4 2.3 -4.1 -5.4 -7.8 -4.5 -4.4 -4.9 -4.8 -4.3 -2.1 1.7 -0.5 -2.3 5.5 -3.0 0.3 -2.1 0.5 -0.7 -1.6 1.3 -4.7 -3.2 -2.4 7.7 -8.5 -8.6 -5.0 2.0 REDWHEAT 0.2 -20.0 -17.3 -5.8 -1.7 -4.6 -2.4 -3.0 -4.7 -15.5 -17.3 -15.9 -17.6 -18.3 -19.7 -11.5 -5.7 -10.7 -8.5 -20.0 -20.0 -14.7 -20.0 -18.6 -6.3 -6.0 -5.1 -5.2 -4.5 -4.5 -5.1 -16.1 -16.3 -2.7 -13.6 -4.2 -20.0 -20.0 -15.9 -19.7 RICE -3.3 -12.8 -7.1 -4.9 -1.5 -3.9 -2.0 -2.5 -3.9 2.8 8.4 -5.7 11.4 -2.2 -1.4 -7.5 20.0 20.0 20.0 -3.2 1.4 -4.2 7.0 -4.9 -9.7 -0.1 0.0 1.7 -2.6 2.9 -2.1 20.0 -10.4 12.8 5.6 19.8 -20.0 -14.2 -20.0 -13.4 ROBUSTA 0.8 3.1 11.9 -3.5 -1.1 -2.8 -1.4 -1.8 -2.8 8.6 10.9 10.0 11.1 9.1 10.2 20.0 20.0 20.0 20.0 14.0 18.1 17.7 20.0 14.3 -20.0 4.1 4.0 6.1 4.8 8.3 4.0 20.0 20.0 20.0 20.0 20.0 2.8 -5.5 9.4 2.0 RUSSELL -20.0 5.9 -2.7 0.5 2.7 1.8 2.3 2.9 0.5 7.0 2.9 0.3 6.4 -1.0 0.4 -5.0 -6.6 -6.0 -6.4 1.8 3.2 3.7 3.5 1.1 -0.7 1.6 1.5 2.3 1.1 2.2 0.8 -0.6 -7.5 -4.5 13.2 2.9 4.2 -17.6 -4.0 -20.0 SHATZ 11.7 20.0 20.0 2.5 0.3 1.5 1.3 0.3 2.4 -3.2 -1.9 2.4 -4.7 5.7 6.5 -20.0 -20.0 -20.0 -20.0 9.2 3.5 2.1 -4.1 7.8 6.8 2.5 -0.2 1.1 0.5 -0.5 2.1 -20.0 -8.4 -2.6 -0.4 -2.8 -20.0 -16.8 -16.6 -10.9 SILVER-mini -2.4 -15.5 -0.9 -2.6 0.7 -2.5 1.3 -1.2 -0.6 6.4 3.5 7.8 5.0 -2.6 -4.0 -5.5 -6.3 -5.7 -6.0 -2.2 2.4 7.4 6.0 0.4 2.3 -1.9 2.0 -0.4 2.5 1.6 -0.3 -1.3 6.7 -1.2 1.7 9.0 3.8 -4.8 7.7 6.6 SMI -12.7 -14.5 2.5 0.6 3.6 2.5 3.1 3.8 0.7 9.6 9.4 9.6 10.9 5.8 7.6 -2.7 0.3 -2.9 -1.7 3.7 7.8 10.4 9.7 4.9 9.2 4.6 3.1 5.4 5.0 5.4 4.8 9.6 -0.7 20.0 12.2 13.8 2.5 1.5 -8.5 -1.9 SOFR 10.3 20.0 20.0 3.4 0.4 2.0 1.8 0.4 3.3 3.7 6.7 7.6 2.2 9.9 10.9 0.7 -1.0 -0.5 -1.0 15.0 10.3 7.5 3.0 13.2 -4.0 4.1 0.5 3.1 2.0 1.5 3.5 3.9 2.0 2.5 0.9 7.7 9.7 -13.7 20.0 6.1 SOYBEAN -10.6 -20.0 -17.5 -2.8 -0.8 -2.2 -1.1 -1.4 -2.2 -4.4 -9.0 -7.1 -7.5 -8.3 -9.0 -11.0 2.9 -6.5 -2.8 -15.4 -13.4 -9.1 -9.9 -13.7 -16.2 -3.2 -1.2 -2.8 -1.9 -2.0 -2.9 -3.9 -12.0 -13.4 -16.5 -10.7 -4.2 -20.0 0.7 -19.6 SOYMEAL 1.4 -8.6 -10.9 -2.7 -0.8 -2.2 -1.1 -1.4 -2.2 -0.3 -7.9 -4.8 -7.8 -5.9 -7.8 -3.6 5.1 0.7 2.2 -8.3 -8.5 -4.4 -7.4 -6.7 -17.4 -2.5 -1.0 -2.2 -1.4 -1.6 -2.1 1.9 -7.3 0.3 -7.8 1.2 -20.0 -20.0 -20.0 -20.0 SOYOIL -20.0 -18.0 -5.5 -2.6 -0.8 -2.1 -1.1 -1.3 -2.1 -4.4 -7.7 -6.9 -8.3 -8.2 -8.0 7.0 1.7 4.5 1.9 -10.9 -9.1 -7.5 -8.8 -11.5 -18.7 -2.9 -0.8 -2.4 -1.9 -2.0 -2.9 -1.9 -6.8 -12.5 -5.0 -4.8 -3.9 -9.9 5.2 -2.0 SP400 -11.9 -0.4 -12.6 0.5 3.1 2.1 2.7 3.3 0.6 8.8 4.4 3.5 8.1 0.6 -0.0 -5.6 -5.8 -5.7 -5.8 1.3 2.8 7.2 5.1 2.8 -8.5 1.8 3.2 2.8 2.7 3.8 1.5 0.6 -4.8 2.0 8.8 -0.8 6.6 -7.8 -1.8 -20.0 SP500_micro -5.3 -20.0 -11.8 0.5 3.1 2.1 2.7 3.3 0.6 8.5 7.5 9.6 10.1 3.8 4.5 -8.9 -12.2 -11.3 -12.1 3.5 6.8 12.9 10.5 6.4 -14.0 1.2 3.0 3.2 3.5 5.2 1.4 -10.5 6.9 7.3 -2.9 6.3 8.7 3.3 -4.4 0.7 SUGAR11 -9.8 -7.4 -4.1 -4.5 -1.4 -3.6 -1.9 -2.3 -3.6 -8.1 -13.6 -12.3 -11.8 -13.6 -12.7 -4.4 6.6 -3.0 0.8 -12.2 -13.3 -10.3 -11.6 -12.3 -20.0 -4.5 -2.6 -5.2 -4.2 -4.7 -4.6 2.6 -9.4 2.7 -0.8 -0.8 -4.8 16.9 -1.3 19.8 US10 12.5 20.0 20.0 2.7 0.3 1.6 1.4 0.3 2.6 2.1 4.3 5.6 -1.5 7.3 8.1 -7.6 -7.5 -7.6 -7.4 10.7 6.6 5.6 0.2 9.9 2.0 3.1 0.3 2.2 1.6 0.9 2.8 -7.1 0.6 4.1 0.5 4.6 4.8 -20.0 20.0 4.5 US10U 13.4 18.8 20.0 3.7 0.4 2.2 2.0 0.5 3.6 2.4 5.4 9.3 -2.3 10.8 11.4 -3.4 -2.9 -3.9 -3.7 13.4 7.8 8.6 -0.5 13.3 -0.2 4.3 0.6 3.1 2.6 1.1 4.1 0.0 3.5 4.0 -2.8 4.1 5.2 -17.6 20.0 14.0 US2 10.2 20.0 20.0 2.3 0.2 1.4 1.2 0.3 2.2 -0.5 0.5 3.3 -4.4 5.4 6.1 -20.0 -20.0 -20.0 -20.0 9.3 4.7 3.5 -2.1 8.2 11.2 2.5 0.1 1.4 1.1 0.1 2.3 -20.0 -5.7 7.6 7.7 3.7 1.9 -20.0 6.1 -10.9 US20 15.3 15.9 18.9 2.6 0.3 1.6 1.4 0.3 2.5 2.9 4.1 6.5 0.4 7.3 7.7 -1.3 -0.9 -1.0 -0.9 9.0 5.5 6.4 0.4 9.4 -1.7 3.1 0.5 2.4 2.0 1.2 2.9 4.3 3.7 2.6 -4.2 3.6 5.1 -10.3 20.0 20.0 US30 14.7 13.3 17.7 3.0 0.3 1.8 1.6 0.4 2.9 2.3 3.5 7.3 -1.0 7.9 8.2 -4.2 -4.9 -4.3 -4.6 8.6 4.7 6.7 -0.9 9.4 -1.1 3.5 0.6 2.6 2.4 1.1 3.5 -2.6 3.6 -0.2 -8.2 0.9 2.0 -9.6 17.4 20.0 US5 10.7 20.0 20.0 2.7 0.3 1.6 1.4 0.3 2.6 0.4 3.6 4.6 -2.9 6.8 7.8 -13.0 -11.0 -12.1 -11.3 11.0 6.6 4.8 -0.2 9.7 5.2 3.0 0.2 2.1 1.4 0.7 2.7 -13.4 -2.1 4.7 3.3 5.0 5.3 -20.0 16.0 -2.2 VIX 8.4 20.0 20.0 1.4 0.2 0.1 0.8 -1.1 1.7 -2.7 -4.6 -5.5 -7.1 -3.8 -3.8 -13.6 -20.0 -20.0 -20.0 1.0 -0.5 -1.9 -3.1 -0.1 NaN 1.5 0.2 0.1 0.8 -1.3 1.8 NaN NaN NaN NaN NaN -12.5 -20.0 NaN NaN WHEAT 3.7 -20.0 -17.9 -4.1 -1.2 -3.3 -1.7 -2.1 -3.3 -11.3 -11.8 -10.4 -11.7 -12.5 -13.6 -17.4 -15.0 -16.8 -16.1 -16.4 -15.0 -9.9 -13.5 -11.8 2.2 -4.0 -4.4 -3.4 -3.0 -2.7 -3.2 -20.0 -11.8 1.6 -9.3 -1.0 -17.8 -20.0 -15.8 -20.0 End of report for caleb_strategy_v3