******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240823_203929 produced at 2024-08-23 21:37:38.688523 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 DX False False 0.03 0.00 -0.11 0.0 999.00 -999.00 0.00 0.00 -3.26 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 -2.29 24.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.05 -0.09 0.0 0.54 -0.54 -0.05 -0.05 -9.92 60.0 -6 -6 caleb_strategy_v3 FEEDCOW False False 0.04 -0.08 -0.08 0.0 0.31 -0.31 -0.08 -0.08 -2.01 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 -1.81 3.0 -2 -2 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -23.79 59.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.02 -0.05 0.0 0.08 -0.08 -0.02 -0.02 -7.07 12.0 -3 -3 caleb_strategy_v3 BOBL False True 0.04 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -0.99 19.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.03 0.0 0.13 -0.13 -0.06 -0.06 -2.34 11.0 -5 -5 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.03 0.0 0.07 -0.07 -0.02 -0.02 -2.74 8.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.00 -0.03 0.0 0.15 -0.15 -0.00 -0.00 -10.08 51.0 -1 -1 caleb_strategy_v3 CAC True False 0.03 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.93 12.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.10 -0.10 -0.02 -0.02 -1.34 4.0 -1 -1 caleb_strategy_v3 VIX False False 0.01 -0.02 -0.03 0.0 999.00 -999.00 -0.02 -0.02 -4.81 999999999.0 -3 -3 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.02 -0.02 0.0 0.00 -0.02 -0.02 -0.02 -13.36 26.0 -11 -11 caleb_strategy_v3 NIKKEI False False 0.01 -0.02 -0.02 0.0 0.32 -0.32 -0.02 -0.02 -2.28 36.0 -2 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.02 0.0 0.31 -0.31 0.00 0.00 -1.25 23.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.04 -2.52 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 -1.12 7.0 -6 -6 caleb_strategy_v3 COPPER False False 0.04 0.00 -0.02 0.0 999.00 -999.00 0.00 0.00 -0.63 999999999.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.02 0.0 0.13 -0.13 0.00 0.00 -2.44 18.0 0 0 caleb_strategy_v3 BTP False True 0.05 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.34 10.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 -0.02 -0.01 0.0 0.37 -0.37 -0.02 -0.02 -0.76 20.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.09 -0.09 -0.01 -0.01 -1.22 9.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -1.10 10.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.01 0.0 0.17 -0.17 -0.02 -0.02 -0.50 10.0 -1 -1 caleb_strategy_v3 SP400 False False 0.11 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.11 2.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -2.66 2.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.01 0.0 0.46 -0.46 0.00 0.00 -1.31 48.0 0 0 caleb_strategy_v3 BUXL False True 0.05 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.15 4.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.05 -0.01 0.0 0.26 -0.26 -0.05 -0.05 -1.70 68.0 -14 -14 caleb_strategy_v3 LUMBER-new False False 0.00 -0.01 -0.01 0.0 0.01 -0.01 -0.01 -0.01 -1.04 3.0 -2 -2 caleb_strategy_v3 RICE False False 0.01 0.00 -0.00 0.0 0.04 -0.04 0.00 0.00 -0.42 4.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.07 -0.07 0.00 0.00 -0.12 2.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.05 -0.00 0.0 0.41 -0.41 0.05 0.05 -0.01 17.0 2 2 caleb_strategy_v3 BUND False True 0.05 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.00 10.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.01 0.00 0.0 0.47 -0.47 0.01 0.01 0.15 66.0 1 1 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.10 999999999.0 0 0 caleb_strategy_v3 COCOA False False 0.03 0.00 0.01 0.0 0.70 -0.70 0.00 0.00 0.39 26.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.01 0.0 0.19 -0.19 0.00 0.00 0.18 6.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.20 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 1.59 58.0 1 1 caleb_strategy_v3 CAD False False 0.03 0.00 0.01 0.0 0.74 -0.74 0.00 0.00 0.40 29.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.01 0.0 0.37 -0.37 0.02 0.02 0.85 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 0.24 6.0 4 4 caleb_strategy_v3 OAT False True 0.05 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.12 10.0 0 0 caleb_strategy_v3 JPY False False 0.03 0.03 0.01 0.0 0.51 -0.51 0.03 0.03 0.41 17.0 1 1 caleb_strategy_v3 US2 False True 0.07 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.34 13.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 0.02 0.0 0.07 -0.07 0.00 0.00 1.25 5.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.03 0.02 0.0 0.13 -0.13 0.03 0.03 0.96 5.0 1 1 caleb_strategy_v3 CHF False False 0.05 0.20 0.02 0.0 0.66 -0.66 0.20 0.20 0.48 13.0 4 4 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.52 9.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.04 0.03 0.0 0.53 -0.53 0.04 0.04 0.71 13.0 1 1 caleb_strategy_v3 OJ False False 0.02 0.02 0.03 0.0 0.07 -0.07 0.02 0.02 1.11 3.0 1 1 caleb_strategy_v3 NZD False False 0.02 0.00 0.03 0.0 0.45 -0.45 0.00 0.00 1.47 21.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 0.03 0.0 0.67 -0.67 0.00 0.00 0.72 17.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.07 0.03 0.0 0.94 -0.94 0.07 0.07 0.79 25.0 2 2 caleb_strategy_v3 LEANHOG False False 0.01 0.02 0.03 0.0 0.13 -0.13 0.02 0.02 2.87 13.0 2 2 caleb_strategy_v3 AUD False False 0.02 0.07 0.04 0.0 0.44 -0.44 0.07 0.07 1.67 19.0 3 3 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.04 0.0 0.48 -0.48 0.00 0.00 4.41 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 1.28 9.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.03 0.09 0.0 0.62 -0.62 0.03 0.03 3.17 22.0 1 1 caleb_strategy_v3 EUR False False 0.05 0.10 0.12 0.0 0.67 -0.67 0.10 0.10 2.41 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 10.05 16.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.51 0.0 0.93 -0.93 0.00 0.00 5.52 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.14 0.0 0.00 0.00 0.00 0.00 13.79 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.5 Shocked risk 15.0 Sum abs risk 33.7 Leverage 3.74 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2919953.64, 'annual_cash_vol_target': 729988.41, 'daily_cash_vol_target': 45624.275625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6798 0.6189 9.9023 BITCOIN 1970.7787 64055.0000 3.0767 49.2272 BOBL 0.2413 117.9400 0.2046 3.2731 BTP 0.4759 119.6300 0.3978 6.3652 BUND 0.4876 134.4700 0.3626 5.8017 BUXL 1.1935 135.8600 0.8785 14.0552 CAC 63.7890 7593.5000 0.8400 13.4408 CAD 0.0026 0.7406 0.3493 5.5883 CANOLA 9.7151 595.4000 1.6317 26.1070 CHF 0.0062 1.1826 0.5208 8.3330 COCOA 213.8946 7856.0000 2.7227 43.5631 COFFEE 4.5769 246.3000 1.8583 29.7321 COPPER 0.0582 4.2530 1.3686 21.8982 CORN 5.3705 391.2500 1.3726 21.9623 COTTON2 1.0136 70.7800 1.4320 22.9120 CRUDE_W 1.1892 73.3500 1.6213 25.9409 DAX 153.3584 18658.0000 0.8219 13.1511 DOW 303.5452 41164.0000 0.7374 11.7985 DX 0.4334 100.2000 0.4326 6.9209 EUR 0.0046 1.1198 0.4133 6.6130 EURIBOR-ICE 0.0435 97.8650 0.0444 0.7109 EUROSTX 46.3655 4914.0000 0.9435 15.0966 FEEDCOW 2.0518 228.9750 0.8961 14.3371 GASOIL 11.6844 711.5000 1.6422 26.2756 GASOLINE 0.0367 2.0462 1.7955 28.7283 GAS_US_mini 0.0856 2.1850 3.9179 62.6864 GBP 0.0062 1.3207 0.4718 7.5481 GOLD_micro 20.8536 2521.5000 0.8270 13.2325 HEATOIL 0.0378 2.3351 1.6207 25.9305 JGB-SGX-mini 0.3526 144.6700 0.2438 3.9001 JPY 0.0001 0.0070 0.7975 12.7607 LEANHOG 1.2492 70.6500 1.7681 28.2899 LIVECOW 1.4094 175.5750 0.8028 12.8442 LUMBER-new 9.2364 520.5000 1.7745 28.3923 MILK 0.2877 21.5100 1.3377 21.4036 MXP 0.0006 0.0522 1.0766 17.2258 NASDAQ_micro 237.8005 19738.5000 1.2048 19.2761 NIKKEI 829.1655 38280.0000 2.1661 34.6569 NZD 0.0043 0.6230 0.6851 10.9611 OAT 0.4356 126.7200 0.3438 5.5001 OATIES 5.7589 309.0000 1.8637 29.8194 OJ 7.7202 486.2000 1.5879 25.4059 PALLAD 23.9183 949.0000 2.5204 40.3259 PLAT 16.3673 968.6000 1.6898 27.0366 REDWHEAT 8.8327 536.2500 1.6471 26.3539 RICE 0.1603 15.2350 1.0525 16.8393 ROBUSTA 74.1149 4720.0000 1.5702 25.1237 RUSSELL 30.5111 2219.8000 1.3745 21.9920 SHATZ 0.0831 106.2950 0.0781 1.2503 SILVER-mini 0.5341 30.2750 1.7641 28.2260 SMI 93.3230 12319.0000 0.7576 12.1209 SOFR 0.0637 96.9450 0.0657 1.0516 SOYBEAN 13.2294 973.0000 1.3597 21.7545 SOYMEAL 4.9229 304.8000 1.6151 25.8417 SOYOIL 0.7318 40.4100 1.8110 28.9759 SP400 32.3294 3097.7000 1.0437 16.6985 SP500_micro 47.9601 5633.7500 0.8513 13.6208 SUGAR11 0.3024 18.7200 1.6152 25.8426 US10 0.4120 114.3281 0.3604 5.7659 US10U 0.5735 118.4844 0.4840 7.7447 US2 0.1228 103.3672 0.1188 1.9007 US20 0.8433 124.8438 0.6755 10.8081 US30 1.2650 134.1562 0.9429 15.0864 US5 0.2742 109.2344 0.2510 4.0166 VIX 1.0580 17.8500 5.9272 94.8355 WHEAT 8.7002 530.2500 1.6408 26.2523 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 679.80 0.62 420.72 1.00 420.72 45624.28 108.44 5.94 64.41 BITCOIN 64.06 3.08 197.08 1.00 197.08 45624.28 231.50 -9.49 -219.67 BOBL 1179.40 0.20 241.27 1.11 268.85 45624.28 169.70 -5.76 -97.72 BTP 1196.30 0.40 475.92 1.11 530.31 45624.28 86.03 -1.15 -9.87 BUND 1344.70 0.36 487.60 1.11 543.33 45624.28 83.97 0.00 0.02 BUXL 1358.60 0.88 1193.46 1.11 1329.88 45624.28 34.31 -4.18 -14.34 CAC 759.35 0.84 637.89 1.11 710.80 45624.28 64.19 -4.23 -27.17 CAD 740.65 0.35 258.68 1.00 258.68 45624.28 176.37 0.88 15.50 CANOLA 119.08 1.63 194.30 0.74 143.02 45624.28 319.00 -12.99 -414.40 CHF 1478.25 0.52 769.89 1.00 769.89 45624.28 59.26 3.15 18.67 COCOA 785.60 2.72 2138.95 1.00 2138.95 45624.28 21.33 8.54 18.21 COFFEE 923.62 1.86 1716.33 1.00 1716.33 45624.28 26.58 5.75 15.29 COPPER 1063.25 1.37 1455.20 1.00 1455.20 45624.28 31.35 -1.85 -5.79 CORN 195.62 1.37 268.52 1.00 268.52 45624.28 169.91 -17.11 -290.71 COTTON2 353.90 1.43 506.79 1.00 506.79 45624.28 90.03 -12.13 -109.17 CRUDE_W 733.50 1.62 1189.23 1.00 1189.23 45624.28 38.36 2.31 8.86 DAX 186.58 0.82 153.36 1.11 170.89 45624.28 266.98 1.75 46.64 DOW 205.82 0.74 151.77 1.00 151.77 45624.28 300.61 0.21 6.38 DX 1002.00 0.43 433.42 1.00 433.42 45624.28 105.27 -11.92 -125.48 EUR 1399.81 0.41 578.56 1.00 578.56 45624.28 78.86 11.76 92.74 EURIBOR-ICE 2446.62 0.04 108.71 1.11 121.13 45624.28 376.65 4.30 161.88 EUROSTX 491.40 0.94 463.65 1.11 516.65 45624.28 88.31 -2.51 -22.16 FEEDCOW 1144.88 0.90 1025.89 1.00 1025.89 45624.28 44.47 -13.66 -60.76 GASOIL 711.50 1.64 1168.44 1.00 1168.44 45624.28 39.05 -7.93 -30.98 GASOLINE 859.40 1.80 1543.07 1.00 1543.07 45624.28 29.57 0.81 2.39 GAS_US_mini 54.62 3.92 214.02 1.00 214.02 45624.28 213.18 -5.79 -123.40 GBP 825.44 0.47 389.40 1.00 389.40 45624.28 117.16 10.43 122.18 GOLD_micro 252.15 0.83 208.54 1.00 208.54 45624.28 218.78 5.92 129.42 HEATOIL 980.74 1.62 1589.44 1.00 1589.44 45624.28 28.70 -14.54 -41.74 JGB-SGX-mini 144670.00 0.24 35264.07 0.01 242.60 45624.28 188.06 4.93 92.80 JPY 869.00 0.80 693.06 1.00 693.06 45624.28 65.83 2.40 15.80 LEANHOG 282.60 1.77 499.67 1.00 499.67 45624.28 91.31 5.17 47.20 LIVECOW 702.30 0.80 563.78 1.00 563.78 45624.28 80.93 -0.04 -0.31 LUMBER-new 143.14 1.77 254.00 1.00 254.00 45624.28 179.62 -2.72 -48.77 MILK 430.20 1.34 575.49 1.00 575.49 45624.28 79.28 7.37 58.44 MXP 261.15 1.08 281.16 1.00 281.16 45624.28 162.27 -4.16 -67.58 NASDAQ_micro 394.77 1.20 475.60 1.00 475.60 45624.28 95.93 -5.61 -53.85 NIKKEI 38280.00 2.17 82916.55 0.01 570.43 45624.28 79.98 -2.63 -21.07 NZD 622.95 0.69 426.76 1.00 426.76 45624.28 106.91 5.31 56.76 OAT 1267.20 0.34 435.61 1.11 485.40 45624.28 93.99 0.36 3.40 OATIES 154.50 1.86 287.94 1.00 287.94 45624.28 158.45 -6.91 -109.41 OJ 729.30 1.59 1158.03 1.00 1158.03 45624.28 39.40 13.10 51.61 PALLAD 949.00 2.52 2391.83 1.00 2391.83 45624.28 19.08 -1.78 -3.39 PLAT 484.30 1.69 818.36 1.00 818.36 45624.28 55.75 -2.63 -14.68 REDWHEAT 268.12 1.65 441.63 1.00 441.63 45624.28 103.31 -20.00 -206.62 RICE 304.70 1.05 320.68 1.00 320.68 45624.28 142.27 -1.21 -17.24 ROBUSTA 472.00 1.57 741.15 1.00 741.15 45624.28 61.56 11.83 72.84 RUSSELL 110.99 1.37 152.56 1.00 152.56 45624.28 299.07 -1.72 -51.44 SHATZ 1062.95 0.08 83.06 1.11 92.56 45624.28 492.94 -4.58 -225.87 SILVER-mini 756.88 1.76 1335.22 1.00 1335.22 45624.28 34.17 1.68 5.75 SMI 1231.90 0.76 933.23 1.17 1096.22 45624.28 41.62 9.01 37.50 SOFR 2423.62 0.07 159.29 1.00 159.29 45624.28 286.43 7.92 226.94 SOYBEAN 486.50 1.36 661.47 1.00 661.47 45624.28 68.97 -17.41 -120.07 SOYMEAL 304.80 1.62 492.29 1.00 492.29 45624.28 92.68 -14.11 -130.76 SOYOIL 242.46 1.81 439.09 1.00 439.09 45624.28 103.91 -11.34 -117.86 SP400 3097.70 1.04 3232.94 1.00 3232.94 45624.28 14.11 -2.25 -3.18 SP500_micro 281.69 0.85 239.80 1.00 239.80 45624.28 190.26 -2.97 -56.57 SUGAR11 209.66 1.62 338.64 1.00 338.64 45624.28 134.73 -8.50 -114.55 US10 1143.28 0.36 412.00 1.00 412.00 45624.28 110.74 5.10 56.47 US10U 1184.84 0.48 573.52 1.00 573.52 45624.28 79.55 7.06 56.16 US2 2067.34 0.12 245.59 1.00 245.59 45624.28 185.78 1.44 26.83 US20 1248.44 0.68 843.33 1.00 843.33 45624.28 54.10 7.54 40.82 US30 1341.56 0.94 1264.96 1.00 1264.96 45624.28 36.07 5.16 18.62 US5 1092.34 0.25 274.22 1.00 274.22 45624.28 166.38 3.76 62.63 VIX 178.50 5.93 1058.01 1.00 1058.01 45624.28 43.12 -4.52 -19.48 WHEAT 265.12 1.64 435.01 1.00 435.01 45624.28 104.88 -18.08 -189.65 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 64.414 0.010 2.5 1.671 BITCOIN -219.668 0.043 2.5 -23.787 BOBL -97.719 0.004 2.5 -0.991 BTP -9.874 0.014 2.5 -0.337 BUND 0.025 0.004 2.5 0.000 BUXL -14.339 0.004 2.5 -0.145 CAC -27.172 0.014 2.5 -0.927 CAD 15.504 0.010 2.5 0.402 CANOLA -414.401 0.010 2.5 -10.082 CHF 18.672 0.010 2.5 0.484 COCOA 18.208 0.009 2.5 0.390 COFFEE 15.287 0.005 2.5 0.179 COPPER -5.785 0.043 2.5 -0.626 CORN -290.708 0.010 2.5 -7.073 COTTON2 -109.174 0.009 2.5 -2.338 CRUDE_W 8.862 0.043 2.5 0.960 DAX 46.637 0.014 2.5 1.591 DOW 6.383 0.009 2.5 0.148 DX -125.477 0.010 2.5 -3.256 EUR 92.743 0.010 2.5 2.406 EURIBOR-ICE 161.883 0.014 2.5 5.522 EUROSTX -22.160 0.014 2.5 -0.756 FEEDCOW -60.759 0.013 2.5 -2.013 GASOIL -30.984 0.017 2.5 -1.343 GASOLINE 2.386 0.017 2.5 0.103 GAS_US_mini -123.403 0.043 2.5 -13.363 GBP 122.183 0.010 2.5 3.170 GOLD_micro 129.419 0.014 2.5 4.414 HEATOIL -41.743 0.017 2.5 -1.809 JGB-SGX-mini 92.805 0.043 2.5 10.050 JPY 15.804 0.010 2.5 0.410 LEANHOG 47.201 0.024 2.5 2.869 LIVECOW -0.311 0.013 2.5 -0.010 LUMBER-new -48.775 0.009 2.5 -1.044 MILK 58.444 0.009 2.5 1.252 MXP -67.577 0.059 2.5 -9.918 NASDAQ_micro -53.849 0.009 2.5 -1.251 NIKKEI -21.072 0.043 2.5 -2.282 NZD 56.762 0.010 2.5 1.473 OAT 3.405 0.014 2.5 0.116 OATIES -109.412 0.010 2.5 -2.662 OJ 51.608 0.009 2.5 1.105 PALLAD -3.389 0.014 2.5 -0.116 PLAT -14.677 0.014 2.5 -0.501 REDWHEAT -206.616 0.005 2.5 -2.741 RICE -17.236 0.010 2.5 -0.419 ROBUSTA 72.837 0.005 2.5 0.851 RUSSELL -51.442 0.013 2.5 -1.705 SHATZ -225.872 0.004 2.5 -2.290 SILVER-mini 5.749 0.014 2.5 0.196 SMI 37.502 0.014 2.5 1.279 SOFR 226.945 0.024 2.5 13.792 SOYBEAN -120.074 0.004 2.5 -1.117 SOYMEAL -130.756 0.004 2.5 -1.216 SOYOIL -117.857 0.004 2.5 -1.097 SP400 -3.180 0.013 2.5 -0.105 SP500_micro -56.569 0.009 2.5 -1.315 SUGAR11 -114.546 0.009 2.5 -2.436 US10 56.472 0.005 2.5 0.716 US10U 56.160 0.005 2.5 0.712 US2 26.827 0.005 2.5 0.340 US20 40.816 0.005 2.5 0.517 US30 18.618 0.005 2.5 0.236 US5 62.634 0.005 2.5 0.794 VIX -19.478 0.099 2.5 -4.808 WHEAT -189.652 0.005 2.5 -2.516 ===================== Position diags ===================== AUD 2.81 BITCOIN 25.07 BOBL 1.72 BTP 2.93 BUND 0.85 BUXL 0.35 CAC 2.19 CAD 4.58 CANOLA 7.76 CHF 1.54 COCOA 0.46 COFFEE 0.31 COPPER 3.40 CORN 4.13 COTTON2 1.93 CRUDE_W 4.15 DAX 9.11 DOW 6.99 DX 2.73 EUR 2.05 EURIBOR-ICE 12.85 EUROSTX 3.01 FEEDCOW 1.47 GASOIL 1.69 GASOLINE 1.28 GAS_US_mini 23.08 GBP 3.04 GOLD_micro 7.46 HEATOIL 1.24 JGB-SGX-mini 20.36 JPY 1.71 LEANHOG 5.55 LIVECOW 2.68 LUMBER-new 3.85 MILK 1.70 MXP 23.82 NASDAQ_micro 2.23 NIKKEI 8.66 NZD 2.77 OAT 3.21 OATIES 3.85 OJ 0.84 PALLAD 0.65 PLAT 1.90 REDWHEAT 1.37 RICE 3.46 ROBUSTA 0.72 RUSSELL 9.91 SHATZ 5.00 SILVER-mini 1.17 SMI 1.42 SOFR 17.41 SOYBEAN 0.64 SOYMEAL 0.86 SOYOIL 0.97 SP400 0.47 SP500_micro 4.42 SUGAR11 2.87 US10 1.40 US10U 1.01 US2 2.35 US20 0.69 US30 0.46 US5 2.11 VIX 10.64 WHEAT 1.39 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.7 1.4 2.0 3.0 3 BITCOIN -23.8 -26.3 -21.3 0.0 0 BOBL -1.0 -1.2 -0.8 0.0 0 BTP -0.3 -0.6 -0.0 0.0 0 BUND 0.0 -0.1 0.1 0.0 0 BUXL -0.1 -0.2 -0.1 0.0 0 CAC -0.9 -1.1 -0.7 0.0 0 CAD 0.4 -0.1 0.9 0.0 0 CANOLA -10.1 -10.9 -9.3 -1.0 -1 CHF 0.5 0.3 0.6 4.0 4 COCOA 0.4 0.3 0.4 0.0 0 COFFEE 0.2 0.1 0.2 0.0 0 COPPER -0.6 -1.0 -0.3 0.0 0 CORN -7.1 -7.5 -6.7 -3.0 -3 COTTON2 -2.3 -2.5 -2.1 -5.0 -5 CRUDE_W 1.0 0.5 1.4 1.0 1 DAX 1.6 0.7 2.5 1.0 1 DOW 0.1 -0.6 0.8 1.0 1 DX -3.3 -3.5 -3.0 0.0 0 EUR 2.4 2.2 2.6 2.0 2 EURIBOR-ICE 5.5 4.2 6.8 0.0 0 EUROSTX -0.8 -1.1 -0.5 -1.0 -1 FEEDCOW -2.0 -2.2 -1.9 -2.0 -2 GASOIL -1.3 -1.5 -1.2 -1.0 -1 GASOLINE 0.1 -0.0 0.2 0.0 0 GAS_US_mini -13.4 -15.7 -11.1 -11.0 -11 GBP 3.2 2.9 3.5 1.0 1 GOLD_micro 4.4 3.7 5.2 0.0 0 HEATOIL -1.8 -1.9 -1.7 -2.0 -2 JGB-SGX-mini 10.0 8.0 12.1 4.0 4 JPY 0.4 0.2 0.6 1.0 1 LEANHOG 2.9 2.3 3.4 2.0 2 LIVECOW -0.0 -0.3 0.3 2.0 2 LUMBER-new -1.0 -1.4 -0.7 -2.0 -2 MILK 1.3 1.1 1.4 NaN 0 MXP -9.9 -12.3 -7.5 -6.0 -6 NASDAQ_micro -1.3 -1.5 -1.0 0.0 0 NIKKEI -2.3 -3.1 -1.4 -2.0 -2 NZD 1.5 1.2 1.8 0.0 0 OAT 0.1 -0.2 0.4 0.0 0 OATIES -2.7 -3.0 -2.3 NaN 0 OJ 1.1 1.0 1.2 1.0 1 PALLAD -0.1 -0.2 -0.1 0.0 0 PLAT -0.5 -0.7 -0.3 -1.0 -1 REDWHEAT -2.7 -2.9 -2.6 -2.0 -2 RICE -0.4 -0.8 -0.1 NaN 0 ROBUSTA 0.9 0.8 0.9 1.0 1 RUSSELL -1.7 -2.7 -0.7 -14.0 -14 SHATZ -2.3 -2.8 -1.8 NaN 0 SILVER-mini 0.2 0.1 0.3 0.0 0 SMI 1.3 1.1 1.4 0.0 0 SOFR 13.8 12.1 15.5 NaN 0 SOYBEAN -1.1 -1.2 -1.1 -6.0 -6 SOYMEAL -1.2 -1.3 -1.1 -1.0 -1 SOYOIL -1.1 -1.2 -1.0 0.0 0 SP400 -0.1 -0.2 -0.1 0.0 0 SP500_micro -1.3 -1.8 -0.9 0.0 0 SUGAR11 -2.4 -2.7 -2.1 0.0 0 US10 0.7 0.6 0.9 0.0 0 US10U 0.7 0.6 0.8 1.0 1 US2 0.3 0.1 0.6 NaN 0 US20 0.5 0.4 0.6 0.0 0 US30 0.2 0.2 0.3 4.0 4 US5 0.8 0.6 1.0 2.0 2 VIX -4.8 -5.9 -3.7 -3.0 -3 WHEAT -2.5 -2.7 -2.4 -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 0.4 -0.2 0.1 0.0 0.1 -0.0 0.1 0.0 0.1 0.2 0.0 0.2 -0.1 0.1 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 0.3 -0.2 0.1 0.4 -0.2 0.4 -0.0 BITCOIN -0.3 -0.2 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.1 -0.0 0.3 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 0.2 -0.0 -2.7 -0.0 0.0 0.0 0.0 0.2 -0.0 -0.1 -0.2 -0.6 0.2 0.3 -0.3 -0.2 -0.1 -0.0 BOBL 0.3 0.6 0.3 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 -0.0 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 -0.2 -0.2 -0.7 -0.7 -0.3 -0.3 BTP 0.2 0.5 0.1 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.3 0.2 0.5 0.2 0.2 0.0 0.1 0.0 0.0 0.2 0.1 0.1 0.3 0.2 -2.7 0.1 0.0 0.1 0.0 0.2 0.1 0.6 0.0 -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 -0.0 -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 -0.2 -0.3 -0.2 -0.3 -0.7 -0.7 -0.2 -0.3 BUXL 0.3 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 -0.2 -0.4 -0.4 -0.5 -0.7 -0.7 -0.3 -0.3 CAC 0.1 -0.4 -0.6 0.0 0.1 0.1 0.1 0.2 0.0 0.1 -0.2 0.1 0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 -0.0 -1.1 -0.0 0.1 -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 0.6 0.0 -0.0 0.0 0.2 -0.0 0.2 0.0 0.1 0.2 -0.4 0.2 -0.7 0.2 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.2 -0.3 0.2 -0.2 0.0 0.2 -0.1 0.2 -0.1 0.1 -0.1 0.0 0.4 -0.2 -0.2 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 -0.0 -0.2 -0.1 -1.9 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.1 -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 0.1 0.1 -0.0 0.2 0.4 0.0 0.0 0.0 0.0 0.0 0.0 -1.1 -0.2 0.6 0.6 0.5 0.1 -0.4 -0.2 -0.4 COCOA 0.3 -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 0.3 0.0 1.1 0.2 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 0.1 0.0 0.2 0.1 0.3 0.1 0.3 0.5 0.6 0.6 0.6 -0.1 -0.3 0.1 -0.1 COPPER 0.1 -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 -0.4 -0.5 -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 -0.3 -0.4 -0.4 -0.2 -0.2 -0.1 -0.5 -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 0.3 -0.0 -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 -0.1 -0.2 0.1 -0.5 -0.0 -2.7 -0.0 0.1 -0.2 0.1 -0.1 0.0 -0.6 0.5 0.5 0.1 -0.3 -0.3 -0.3 0.0 -0.1 CRUDE_W -0.2 -0.5 -0.4 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 0.4 -0.1 -0.1 0.2 0.3 0.3 0.3 -0.1 -0.0 -0.1 0.1 -0.1 -0.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.5 0.1 0.0 -0.0 -0.3 0.4 0.6 0.4 0.7 DAX -0.1 -0.3 -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 0.2 0.2 0.1 1.2 -0.0 0.1 0.0 0.1 0.2 0.0 -0.4 0.1 0.1 -0.2 -0.5 0.4 0.1 -0.0 0.1 DOW -0.1 0.1 -0.2 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.4 0.1 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 0.2 0.4 0.0 0.3 0.0 -0.0 -0.1 DX -0.6 -0.6 -0.4 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 0.6 0.5 0.2 0.0 0.2 -0.0 0.2 0.0 0.1 0.2 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 0.3 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 0.1 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 0.0 -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 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 0.2 0.0 -0.3 -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 -0.4 -0.6 -0.6 -0.5 0.1 0.7 0.3 0.7 GASOIL -0.3 -0.4 -0.5 -0.1 -0.0 -0.1 -0.0 -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 -0.1 0.0 -0.2 0.5 -0.1 -0.0 -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 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.3 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 -0.0 -0.1 0.1 -0.1 -2.7 -0.1 -0.0 -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 -0.0 -0.0 -0.0 -0.1 -0.3 0.0 -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 0.0 0.4 -0.0 0.4 -0.1 -0.4 -0.3 -0.6 GBP 0.1 0.2 0.2 0.0 0.2 -0.0 0.2 0.0 0.1 0.2 0.4 0.2 0.4 0.2 0.2 -0.0 -0.0 -0.0 -0.0 0.2 0.1 0.2 0.2 0.2 -0.1 0.1 0.2 0.1 0.2 0.1 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 0.1 0.3 0.1 0.4 0.1 0.1 -0.2 -0.3 -0.2 -0.2 0.1 0.1 0.1 0.4 0.1 -0.7 0.0 0.0 0.1 0.1 0.2 0.1 -0.7 0.1 0.5 0.6 0.6 0.3 -0.1 0.6 0.1 HEATOIL -0.3 -0.4 -0.4 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.3 -0.1 0.1 -0.2 -0.2 -0.1 0.1 -0.1 -0.0 -0.2 -0.1 -0.1 -0.1 -0.2 -2.7 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.4 -0.0 -0.4 -0.2 -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 -0.2 0.3 JPY 0.6 0.6 0.6 0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.0 0.1 -0.2 0.1 0.1 -0.2 -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 0.5 0.6 0.1 -0.7 -0.6 -0.7 -0.6 LEANHOG 0.3 0.3 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.1 -0.2 0.1 -0.1 0.4 0.2 0.4 0.4 -0.0 -0.1 0.1 -0.2 0.0 0.5 -0.0 0.1 -0.1 0.0 -0.1 0.0 1.1 0.5 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 0.2 -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 1.1 -0.5 -0.6 -0.2 0.6 -0.0 0.7 0.1 0.7 LUMBER-new 0.5 0.7 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 0.0 -0.3 0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 -0.0 -0.2 0.0 NaN 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -1.2 -0.1 0.5 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 0.2 -0.4 -0.1 -0.3 0.1 0.1 0.1 0.1 0.2 2.1 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 0.1 -0.7 MXP -0.0 -0.2 -0.6 0.0 0.1 -0.0 0.1 0.0 0.0 -0.0 -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 -0.0 -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 -0.0 0.2 -0.3 0.1 0.1 0.2 -0.2 0.1 NIKKEI -0.2 -0.6 -0.6 0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.1 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 -0.5 -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 0.2 -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 0.1 0.2 0.2 0.5 -0.2 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 0.1 -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 -0.1 -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 0.1 -0.0 -0.1 0.3 -0.0 0.7 0.3 OJ 0.3 -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 0.1 0.1 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 0.1 -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 0.2 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 0.1 -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 0.2 -0.3 -0.3 -0.2 0.1 REDWHEAT -0.1 -0.6 -0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.5 -0.2 -0.6 -0.2 -0.2 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.5 -0.2 -0.8 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.9 -0.5 -0.1 -0.5 -0.2 -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 0.1 0.2 -0.0 0.4 -0.0 -0.0 -0.2 0.4 0.4 0.4 -0.0 0.0 -0.0 0.2 -0.0 -1.3 -0.0 0.0 0.0 -0.0 0.1 -0.0 1.1 -0.0 0.2 0.2 0.6 -0.7 -0.5 -0.7 -0.5 ROBUSTA 0.1 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 -0.5 0.2 -0.1 0.0 0.0 0.1 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 0.1 0.1 0.0 -0.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 -0.1 -0.2 0.4 0.1 0.1 -0.6 -0.1 -0.7 SHATZ 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 0.0 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 0.0 -0.5 -0.1 -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 -0.4 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 0.1 0.1 0.1 0.3 0.1 1.3 0.1 0.0 0.1 0.1 0.2 0.1 0.5 -0.0 0.6 0.4 0.5 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 0.1 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 0.1 0.1 0.0 0.3 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 -0.2 -0.4 -0.5 -0.4 -0.1 -0.7 0.0 -0.6 SOYMEAL 0.0 -0.2 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 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 -0.1 -0.1 -0.3 0.0 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.5 -0.5 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 0.1 0.0 0.1 0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -2.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.3 -0.2 -0.1 -0.1 -0.3 0.2 -0.1 SP400 -0.3 0.0 -0.4 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.3 0.0 0.0 -0.1 -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 -0.0 0.0 0.3 -0.0 0.2 -0.3 -0.1 -0.7 SP500_micro -0.1 -0.6 -0.4 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.1 0.4 0.1 0.1 -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 0.1 0.3 -0.1 0.2 0.3 0.1 -0.2 0.0 SUGAR11 -0.2 -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 -0.0 -0.3 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.1 -0.0 0.2 -0.1 0.0 -0.2 0.6 -0.1 0.7 US10 0.3 0.6 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 -0.0 0.1 0.1 -0.1 -0.2 -0.1 -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 0.1 0.1 0.0 0.2 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 0.2 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 -0.0 0.2 0.2 0.1 0.1 -0.7 0.2 -0.4 US20 0.4 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 0.4 0.4 0.6 0.0 0.0 0.1 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 0.1 0.1 0.1 -0.1 0.1 0.1 -0.3 -0.2 -0.2 -0.2 0.1 0.1 0.1 -0.0 0.1 0.7 0.0 0.0 0.1 0.0 0.0 0.0 -0.7 0.0 0.1 0.1 0.2 0.2 -0.7 0.5 -0.1 VIX 0.3 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 -0.4 -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 -0.5 0.0 -0.3 -0.1 -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 12.5 -5.8 3.8 2.2 16.2 -0.1 13.3 0.1 7.4 16.8 1.4 17.4 -2.7 6.9 4.1 -1.9 -2.6 -2.1 -2.3 3.8 1.6 20.0 -0.4 13.4 2.9 1.4 12.0 0.5 11.2 0.2 5.9 -0.0 10.4 7.9 -5.7 3.5 11.4 -4.6 12.9 -0.6 BITCOIN -9.9 -7.4 -17.5 -3.2 2.8 -3.1 2.3 -1.5 -0.3 12.4 1.9 -0.2 7.1 -2.8 -5.8 -5.1 -7.0 -6.0 -6.7 -5.0 -0.5 4.0 7.0 -3.0 -20.0 -2.8 4.6 0.5 0.9 5.5 -2.2 -2.6 -9.7 -20.0 5.7 7.9 -10.1 -5.8 -3.8 -0.2 BOBL 8.5 20.0 10.7 3.1 0.9 1.9 1.7 0.4 3.0 -2.3 -1.7 3.7 -4.3 7.8 8.2 -20.0 -17.2 -20.0 -20.0 9.4 4.2 2.6 -2.2 8.1 4.3 3.1 0.2 1.7 0.8 0.1 2.6 -20.0 -8.0 -7.0 -4.8 -6.6 -20.0 -20.0 -8.4 -9.5 BTP 5.3 15.6 2.0 5.7 1.6 3.5 3.2 0.8 5.4 8.7 11.8 14.7 14.5 19.0 18.1 1.3 3.8 1.5 2.3 14.8 11.5 9.2 10.3 14.3 -20.0 6.3 2.6 5.0 4.1 4.7 6.2 10.9 2.0 -20.0 -6.5 -17.6 -20.0 -15.9 -2.6 4.8 BUND 8.2 18.5 9.1 3.5 1.0 2.1 2.0 0.5 3.3 -3.9 -0.2 4.9 -1.1 9.3 9.4 6.9 1.6 4.7 2.2 9.7 5.1 2.9 -0.6 8.5 1.0 3.6 -0.2 2.3 1.0 0.8 3.0 8.3 -7.0 -9.1 -7.4 -8.2 -20.0 -20.0 -7.1 -8.7 BUXL 9.8 14.9 6.5 4.1 1.2 2.5 2.3 0.6 3.9 -9.0 -1.2 5.0 -0.7 10.4 9.2 -0.7 -2.3 -1.5 -2.4 8.8 3.8 2.1 -2.2 8.4 -3.3 3.9 -1.6 2.5 0.8 0.8 3.5 1.5 -8.9 -11.5 -12.5 -14.0 -20.0 -20.0 -10.3 -8.6 CAC 2.0 -12.5 -20.0 1.1 5.9 3.5 4.9 5.3 1.6 16.1 -8.3 13.4 3.0 -0.0 -11.1 -4.8 -1.9 -5.0 -3.0 -12.9 -11.4 14.7 -0.6 -0.2 -8.2 -4.1 5.6 -3.1 4.3 0.8 -0.2 6.7 -4.0 2.5 -17.7 -20.0 9.6 5.2 2.2 4.7 CAD 17.1 1.3 -0.4 2.8 20.0 -0.2 16.5 0.1 9.2 20.0 -14.9 20.0 -18.1 15.4 4.6 -5.1 -3.5 -4.7 -4.1 3.0 -5.6 20.0 -9.6 17.5 -1.3 1.6 20.0 -2.5 17.1 -3.9 9.4 -2.2 1.3 13.7 -6.4 -7.3 10.6 -6.0 1.5 -3.5 CANOLA -20.0 -8.4 1.3 -2.3 -0.4 -1.8 -0.9 -1.2 -1.8 2.5 -5.4 -5.5 -6.4 -6.4 -6.1 -11.4 -10.4 -12.3 -12.7 -7.7 -5.9 -4.3 -5.9 -8.2 -14.5 -2.4 0.9 -2.4 -0.8 -2.7 -1.9 -20.0 -2.9 -8.7 -1.8 -3.0 0.9 -10.9 9.7 -4.3 CHF 15.7 20.0 20.0 1.3 9.6 -0.1 7.9 0.1 4.4 10.8 -2.0 9.6 -4.9 9.2 8.7 -14.2 -16.4 -15.8 -16.2 12.1 4.9 15.4 -0.9 14.9 3.3 3.8 3.8 1.8 3.9 0.2 4.3 -20.0 -6.5 19.1 18.9 15.8 2.0 -10.8 -7.4 -11.9 COCOA 9.6 -3.5 6.9 -2.0 -0.4 -1.7 -0.8 -1.1 -1.6 6.1 2.1 6.0 3.3 3.8 -1.4 20.0 20.0 20.0 20.0 1.8 4.1 8.1 8.4 4.5 -19.9 1.5 3.9 4.6 3.6 9.7 2.1 20.0 10.2 11.6 7.0 3.2 18.2 7.3 20.0 11.4 COFFEE 1.4 0.3 7.7 -5.1 -0.9 -4.1 -1.9 -2.7 -4.0 10.2 14.0 12.7 14.0 10.1 13.1 3.5 6.2 3.9 5.3 11.5 14.9 12.3 15.4 11.1 -20.0 4.7 3.9 7.3 6.1 9.3 5.1 6.1 20.0 20.0 20.0 20.0 -3.1 -10.3 3.9 -3.7 COPPER 3.0 -20.0 -11.1 -2.3 2.0 -2.2 1.7 -1.1 -0.3 8.4 -2.8 8.1 0.1 -5.0 -7.9 -2.9 -2.7 -1.8 -1.9 -7.3 -3.0 4.7 2.7 -2.7 -12.1 -2.3 1.8 -1.0 1.3 0.9 -0.8 5.3 4.3 -2.1 -6.1 2.3 12.1 4.3 19.9 15.1 CORN 0.9 -13.0 -15.9 -3.7 -0.6 -3.0 -1.4 -1.9 -2.9 -9.1 -12.0 -10.2 -12.5 -11.3 -12.3 -20.0 -14.9 -20.0 -18.7 -16.1 -17.6 -6.9 -16.8 -10.5 -8.4 -4.2 -2.2 -4.5 -1.9 -4.2 -2.8 -20.0 -1.2 -3.9 -15.5 -10.7 -5.0 -8.2 -2.9 -0.9 COTTON2 10.0 -0.2 -20.0 -5.0 -0.9 -4.0 -1.9 -2.6 -3.8 12.7 -16.8 9.3 -14.9 -7.5 -14.1 -10.7 -2.4 -8.9 -5.4 -13.2 -20.0 9.7 -18.1 -1.6 -20.0 -4.3 8.4 -5.8 5.2 -3.5 0.2 -10.5 20.0 16.2 2.0 -9.3 -10.1 -9.7 1.0 -2.9 CRUDE_W -6.0 -15.2 -11.7 -5.0 -1.3 -3.0 -4.5 -0.2 -5.4 -5.3 -1.8 -7.9 10.4 -12.3 -9.7 11.6 12.6 12.9 13.0 -9.3 -3.6 -9.7 2.9 -11.4 -2.2 -5.7 -0.2 -4.0 -3.9 -0.4 -5.1 10.0 3.5 1.4 -0.8 -7.8 10.7 18.6 11.8 20.0 DAX -2.0 -10.6 -20.0 1.0 5.1 3.0 4.3 4.6 1.4 14.0 4.2 12.5 10.6 3.8 -2.2 -7.4 -10.5 -8.6 -9.7 -2.1 0.8 16.8 7.8 5.4 9.2 -1.2 7.0 1.0 5.8 4.6 1.4 -7.1 4.4 1.6 -7.0 -16.2 10.9 4.3 -1.3 3.2 DOW -4.2 1.6 -7.2 0.8 4.1 2.4 3.4 3.7 1.1 10.8 5.1 10.6 9.8 4.9 4.3 -8.5 -10.9 -9.9 -10.6 5.7 5.8 12.5 7.8 8.5 -8.8 2.6 4.1 3.2 4.3 4.4 3.1 -8.1 0.1 6.5 11.2 0.6 10.5 0.1 -0.0 -4.0 DX -18.8 -20.0 -11.4 1.8 13.2 -0.1 10.8 0.1 6.0 -13.8 -0.4 -15.7 8.5 -16.4 -14.8 6.4 7.0 7.0 7.1 -15.9 -6.2 -20.0 1.0 -20.0 -20.0 -5.3 -8.3 -2.2 -8.4 0.2 -7.5 16.4 -20.0 -20.0 -20.0 -20.0 -5.7 5.3 -7.1 8.0 EUR 18.2 14.8 7.0 2.4 17.6 -0.1 14.5 0.1 8.0 19.0 3.8 20.0 -7.0 20.0 19.1 -7.0 -7.2 -7.3 -7.2 17.7 7.4 20.0 0.3 20.0 20.0 6.8 11.3 3.4 12.2 1.2 10.3 -8.1 13.1 20.0 20.0 15.1 2.5 -17.3 -2.2 -18.9 EURIBOR-ICE 9.5 20.0 9.7 2.7 0.8 1.6 1.5 0.4 2.6 3.0 1.1 6.5 2.1 8.5 8.4 0.1 -3.9 -1.9 -3.0 11.4 6.8 5.7 2.5 10.5 12.4 3.0 1.0 1.8 1.5 0.8 2.7 -0.2 -1.5 -3.6 2.2 -3.2 -20.0 -20.0 -3.8 1.5 EUROSTX 0.2 -15.5 -20.0 1.0 5.0 2.9 4.2 4.5 1.4 13.7 4.0 13.0 10.0 0.3 -4.5 -3.9 -2.8 -4.6 -4.1 -5.4 -1.7 13.5 7.0 2.4 -1.9 -2.1 4.9 0.1 4.5 4.2 0.5 4.7 -1.3 2.7 -13.2 -19.5 3.2 0.9 -13.7 -1.9 FEEDCOW -20.0 -20.0 -12.8 -4.9 -0.9 -4.0 -1.9 -2.6 -3.8 -11.3 -9.0 -15.0 -7.5 -15.6 -13.4 10.1 -20.0 1.3 -9.4 -20.0 -17.7 -20.0 -8.4 -20.0 -6.3 -5.2 -2.6 -3.2 -4.8 -1.3 -6.0 -20.0 -17.1 -20.0 -20.0 -14.1 2.7 20.0 9.7 20.0 GASOIL -8.7 -13.7 -14.3 -4.6 -1.2 -2.7 -4.2 -0.2 -4.9 -6.4 -8.0 -10.7 7.9 -14.7 -13.2 2.4 9.7 1.3 4.0 -12.8 -7.5 -12.1 0.6 -14.4 4.1 -5.6 -2.0 -3.5 -5.0 -0.3 -6.1 0.1 0.1 -9.8 -3.7 -1.9 -8.4 -13.6 -16.8 -20.0 GASOLINE -8.6 -11.4 -12.1 -4.7 -1.2 -2.8 -4.3 -0.2 -5.0 -7.8 -0.2 -11.6 8.6 -13.2 -11.2 20.0 20.0 20.0 20.0 -9.3 -3.6 -12.4 3.7 -12.6 -20.0 -5.4 -1.7 -3.3 -5.9 0.8 -6.2 20.0 -5.9 -2.6 4.2 -5.1 20.0 20.0 20.0 20.0 GAS_US_mini 10.1 -12.6 2.5 -3.6 -0.9 -2.1 -3.2 -0.1 -3.8 -11.0 -11.8 3.1 -13.3 -7.6 -10.9 -20.0 -20.0 -20.0 -20.0 -9.0 -11.3 -3.5 -17.5 -4.5 20.0 -2.6 -5.2 -3.6 -1.7 -5.4 -1.3 -20.0 1.4 11.8 -0.7 13.5 -4.2 -13.0 -7.7 -18.4 GBP 4.6 5.6 6.5 2.6 18.5 -0.2 15.2 0.1 8.4 20.0 15.8 20.0 9.8 16.5 16.7 -0.5 -0.7 -0.6 -0.7 15.0 11.1 20.0 8.4 20.0 -1.0 6.1 19.0 5.1 15.5 4.2 9.5 3.0 20.0 1.2 19.8 20.0 9.1 -20.0 9.0 -14.5 GOLD_micro 7.3 4.5 0.8 -2.8 2.5 -2.8 2.1 -1.4 -0.3 8.2 11.6 10.9 11.5 10.9 9.3 -11.5 -13.2 -11.7 -12.2 11.2 12.2 11.7 13.3 12.4 -5.6 3.4 2.9 4.1 5.1 5.8 4.8 -12.7 5.7 15.7 20.0 17.4 10.4 -3.5 16.8 2.4 HEATOIL -10.0 -13.0 -11.8 -4.9 -1.3 -2.9 -4.4 -0.2 -5.2 -7.8 -11.9 -13.1 2.4 -15.9 -14.1 -5.6 6.8 -5.1 -1.0 -14.8 -9.9 -14.6 -2.9 -16.9 -20.0 -6.4 -1.6 -5.1 -5.3 -1.8 -6.3 -6.7 -1.7 -11.2 -4.9 -10.0 -4.3 5.3 -15.0 2.1 JGB-SGX-mini 20.0 20.0 3.7 2.0 0.6 1.2 1.1 0.3 1.9 -6.1 -0.5 2.6 0.0 3.6 2.8 12.7 17.7 15.9 16.8 4.7 1.6 1.2 -0.0 5.1 -6.9 1.6 -0.5 0.4 0.7 -0.4 1.9 20.0 -7.7 4.3 -1.6 -7.5 -6.0 -5.0 -4.7 10.0 JPY 20.0 20.0 20.0 0.9 6.2 -0.1 5.1 0.0 2.8 6.3 -1.5 5.2 -5.7 6.1 4.8 -11.6 -15.5 -13.4 -14.4 8.3 1.5 7.5 -5.0 10.0 20.0 2.0 1.3 0.4 1.6 -1.2 2.4 -20.0 -10.8 14.7 18.4 3.6 -20.0 -16.7 -20.0 -16.7 LEANHOG 8.7 10.5 -20.0 -3.5 -0.6 -2.9 -1.3 -1.9 -2.8 10.3 -6.8 6.5 -6.1 7.1 -5.2 20.0 11.9 20.0 20.0 -4.3 -9.0 8.3 -8.9 2.9 3.4 -1.6 5.7 -3.3 3.6 -2.9 1.3 20.0 19.7 7.2 9.0 -12.9 -0.2 -6.0 4.0 3.2 LIVECOW -20.0 -13.8 6.7 -5.7 -1.0 -4.6 -2.2 -3.0 -4.4 -13.1 8.3 -16.5 6.8 -14.9 -0.0 20.0 11.8 18.6 16.5 -7.3 3.3 -20.0 6.3 -20.0 -11.6 -2.7 -6.3 1.3 -8.4 3.2 -7.0 20.0 -20.0 -20.0 -6.3 20.0 -1.4 20.0 3.8 20.0 LUMBER-new 13.9 17.9 -5.9 -3.4 -0.6 -2.8 -1.3 -1.7 -2.7 -6.5 -7.2 1.7 -8.4 7.4 -0.5 -17.6 -17.5 -17.4 -17.5 -0.2 -6.1 -0.7 -7.8 2.9 NaN 0.3 -2.6 -3.1 -0.4 -4.1 1.7 -20.0 -2.4 13.7 18.2 0.2 3.7 -3.2 8.4 -0.6 MILK 2.9 2.6 20.0 -4.4 -0.8 -3.5 -1.7 -2.3 -3.4 4.4 12.1 10.9 3.5 10.9 12.4 11.7 -20.0 -7.2 -15.3 13.5 12.2 12.5 4.3 14.2 15.9 4.7 1.6 4.2 4.7 1.2 5.1 -20.0 20.0 20.0 20.0 20.0 -3.1 -20.0 1.5 -20.0 MXP -1.4 -6.8 -20.0 1.1 7.8 -0.1 6.4 0.1 3.5 -2.7 -6.0 -1.9 -1.1 -4.9 -6.9 9.9 14.5 11.0 12.4 -8.7 -7.1 -5.9 -1.7 -7.1 -20.0 -3.1 -1.4 -2.5 -1.9 -0.5 -2.4 20.0 -20.0 -20.0 -13.3 -20.0 17.2 12.5 20.0 19.0 NASDAQ_micro -0.7 -20.0 -14.0 0.6 3.1 1.8 2.6 2.8 0.9 6.1 3.4 7.4 7.2 0.6 0.9 -7.0 -10.2 -8.9 -9.8 0.7 3.5 8.0 7.2 3.3 -16.0 0.2 1.4 1.8 2.0 3.6 0.6 -6.9 -0.2 5.8 -9.7 4.0 2.1 5.3 -6.9 2.9 NIKKEI -7.0 -20.0 -20.0 0.5 2.3 1.4 2.0 2.1 0.7 6.4 1.7 4.7 4.1 0.6 -0.2 7.5 10.0 9.7 9.5 -2.2 -0.3 3.7 2.3 -0.3 -6.9 -1.7 0.4 -0.3 -0.6 1.1 -1.8 20.0 -7.7 -16.3 -15.0 -11.7 8.9 -1.0 5.0 -3.4 NZD 20.0 -5.0 2.4 1.6 11.9 -0.1 9.8 0.1 5.4 13.3 -2.4 14.0 -2.6 9.3 2.3 -0.2 0.1 -0.2 -0.1 2.6 -0.6 20.0 -1.4 11.7 0.1 1.0 10.6 -0.4 9.2 -0.4 5.0 4.3 6.9 16.7 -7.5 2.9 8.9 -4.7 7.0 0.1 OAT 11.7 17.3 -0.5 3.9 1.1 2.4 2.2 0.5 3.7 3.0 -3.9 9.7 -2.6 12.5 10.2 0.2 3.5 0.6 1.7 8.1 1.5 6.3 -3.3 10.1 2.7 3.6 1.5 1.4 2.7 -0.0 4.2 10.2 -1.9 -11.1 -6.7 -17.2 -16.5 -19.0 -2.7 -0.8 OATIES 1.7 -2.4 -18.5 -3.7 -0.6 -3.0 -1.4 -1.9 -2.9 -4.7 -11.2 -5.3 -11.5 -8.4 -11.8 12.1 2.8 7.3 5.3 -10.4 -13.0 -1.7 -12.2 -5.2 -20.0 -3.4 -0.8 -3.7 -0.5 -3.0 -1.8 2.5 0.0 2.5 -0.6 -3.0 9.0 -0.8 20.0 8.7 OJ 10.1 -1.8 -11.4 -5.6 -1.0 -4.5 -2.1 -2.9 -4.4 16.7 14.4 16.7 16.2 11.1 12.5 10.0 11.7 9.3 9.5 16.7 19.5 20.0 20.0 20.0 -20.0 4.9 16.5 6.1 12.7 10.2 7.5 13.9 20.0 20.0 20.0 20.0 14.5 11.2 20.0 20.0 PALLAD 6.6 -2.4 4.5 -2.0 1.7 -2.0 1.5 -1.0 -0.2 5.9 -5.8 7.1 -8.3 -1.5 -3.2 -1.9 -2.1 -1.9 -1.9 -2.0 -4.0 3.0 -7.7 0.9 14.5 -1.6 2.1 -2.8 1.8 -3.9 0.4 5.8 -4.1 0.0 7.1 3.4 -20.0 -20.0 -20.0 -20.0 PLAT -0.3 -11.6 -3.8 -2.6 2.2 -2.5 1.9 -1.2 -0.3 6.5 -4.4 3.5 -4.1 -4.8 -7.6 -4.5 -4.4 -4.9 -4.8 -3.9 -2.0 2.7 -0.6 -1.6 5.5 -2.9 1.5 -2.1 0.9 -0.7 -1.3 1.3 -3.4 -3.7 -3.0 7.3 -8.2 -8.5 -5.0 1.9 REDWHEAT -1.6 -19.6 -18.0 -5.8 -1.0 -4.7 -2.2 -3.1 -4.5 -16.9 -17.5 -17.2 -17.7 -18.7 -19.8 -11.5 -5.7 -10.7 -8.6 -20.0 -20.0 -19.1 -20.0 -20.0 -6.2 -6.1 -7.0 -5.2 -5.7 -4.5 -5.6 -16.2 -20.0 -4.6 -15.2 -5.9 -20.0 -20.0 -16.2 -19.9 RICE -4.0 -11.7 -7.0 -4.9 -0.9 -4.0 -1.9 -2.6 -3.8 7.7 8.4 -4.6 11.5 -1.3 -1.6 -8.0 20.0 20.0 20.0 -3.2 1.3 -2.1 7.1 -4.2 -9.9 -0.0 1.9 1.7 -1.3 2.9 -1.7 20.0 -1.8 7.4 5.9 19.7 -20.0 -14.5 -20.0 -13.7 ROBUSTA 4.1 4.6 11.6 -3.6 -0.6 -2.9 -1.4 -1.9 -2.8 10.2 11.3 10.9 11.4 9.9 10.6 20.0 20.0 20.0 20.0 15.1 18.6 20.0 20.0 16.4 -20.0 4.3 5.5 6.0 5.4 8.1 4.4 20.0 20.0 20.0 20.0 20.0 2.9 -5.4 9.6 2.0 RUSSELL -15.9 5.9 -2.9 0.6 3.2 1.9 2.7 2.9 0.9 8.2 3.1 2.0 6.5 0.0 0.9 -5.0 -6.6 -6.0 -6.4 2.3 3.3 6.4 3.4 2.6 -0.7 1.8 3.4 2.3 2.0 2.3 1.2 -0.6 -3.8 -5.4 13.1 2.9 4.1 -17.4 -4.3 -20.0 SHATZ 9.4 20.0 20.0 2.5 0.7 1.5 1.4 0.3 2.4 -0.5 -1.7 2.6 -4.6 5.8 6.6 -20.0 -20.0 -20.0 -20.0 9.3 3.7 2.9 -4.0 7.9 6.8 2.5 0.4 1.2 0.8 -0.5 2.1 -20.0 -7.0 -3.2 -1.1 -2.6 -20.0 -17.0 -16.5 -10.9 SILVER-mini 0.2 -16.1 -1.6 -2.5 2.2 -2.4 1.8 -1.2 -0.3 8.8 3.6 8.8 5.0 -1.7 -3.6 -5.4 -6.3 -5.7 -6.0 -1.4 2.4 8.4 5.6 1.7 2.3 -1.7 3.7 -0.3 3.1 1.7 0.2 -1.3 8.3 0.4 2.0 9.1 4.0 -4.7 7.7 6.7 SMI -10.8 -13.1 2.1 0.9 4.4 2.6 3.7 3.9 1.2 11.3 9.9 11.5 11.3 7.4 8.4 -2.7 0.3 -2.9 -1.7 4.8 8.3 12.6 10.1 6.8 9.4 4.8 3.8 5.3 5.3 5.4 5.1 9.5 -1.2 20.0 13.4 14.4 2.3 1.4 -8.7 -2.0 SOFR 8.3 20.0 20.0 3.4 1.0 2.1 1.9 0.5 3.3 8.9 7.1 8.8 2.5 10.4 11.2 0.8 -1.0 -0.5 -1.0 15.4 10.6 8.9 3.3 13.6 -4.1 4.1 1.7 3.2 2.4 1.6 3.6 4.0 5.2 2.3 1.1 7.8 9.7 -13.6 20.0 6.2 SOYBEAN -8.4 -19.0 -17.8 -2.7 -0.5 -2.2 -1.0 -1.4 -2.1 -1.0 -8.9 -6.5 -7.5 -8.2 -9.0 -11.5 2.8 -6.9 -3.0 -15.1 -13.4 -7.7 -10.0 -12.9 -16.1 -3.2 -0.6 -2.8 -1.7 -2.0 -2.7 -4.2 -9.3 -12.7 -16.5 -11.2 -3.9 -20.0 1.0 -19.1 SOYMEAL 1.2 -7.7 -11.5 -2.7 -0.5 -2.2 -1.0 -1.4 -2.1 -0.1 -8.0 -5.2 -7.9 -6.0 -7.9 -3.7 5.0 0.5 2.1 -8.5 -8.7 -4.6 -7.6 -6.8 -17.4 -2.6 -1.1 -2.3 -1.5 -1.7 -2.2 1.7 -4.5 -1.8 -7.9 0.4 -20.0 -20.0 -20.0 -20.0 SOYOIL -15.4 -15.9 -3.4 -2.6 -0.4 -2.1 -1.0 -1.4 -2.0 3.2 -7.6 -4.6 -8.2 -7.7 -7.7 6.9 1.8 4.6 2.0 -9.6 -8.3 -3.3 -8.1 -9.0 -18.5 -2.8 1.4 -2.4 -0.8 -2.0 -2.4 -1.7 -3.1 -8.4 -4.8 -4.2 -3.7 -9.8 5.3 -2.0 SP400 -8.3 0.6 -12.5 0.7 3.8 2.2 3.2 3.4 1.1 9.8 4.7 5.5 8.3 2.0 0.7 -5.5 -5.8 -5.7 -5.8 2.0 3.1 9.8 5.2 4.5 -8.6 2.0 5.3 2.9 3.7 3.8 2.1 0.6 -1.9 1.2 9.2 -0.8 6.6 -7.7 -2.0 -20.0 SP500_micro -1.6 -20.0 -11.3 0.7 3.8 2.2 3.2 3.4 1.1 9.4 7.8 10.2 10.3 4.7 4.9 -8.9 -12.2 -11.3 -12.0 4.2 7.2 12.8 10.9 7.3 -14.2 1.4 3.0 3.3 3.5 5.4 1.7 -10.5 3.5 8.0 -3.3 6.3 8.5 3.2 -4.6 0.6 SUGAR11 -7.0 -6.0 -3.0 -4.5 -0.8 -3.7 -1.7 -2.4 -3.5 6.5 -13.6 -7.9 -11.9 -12.4 -12.2 -4.4 6.5 -3.0 0.7 -10.8 -12.5 -3.2 -11.0 -9.1 -20.0 -4.3 4.0 -5.3 -1.2 -4.8 -3.6 2.5 -1.8 4.7 -2.0 0.1 -5.0 16.7 -1.6 19.6 US10 10.5 20.0 20.0 2.7 0.8 1.7 1.5 0.4 2.6 6.7 4.6 6.2 -1.3 7.6 8.3 -7.4 -7.5 -7.5 -7.4 11.0 6.9 6.4 0.4 10.2 2.0 3.2 1.1 2.3 1.8 0.9 2.9 -7.1 2.4 3.8 0.7 4.7 4.8 -20.0 20.0 4.6 US10U 11.4 19.1 20.0 3.7 1.1 2.3 2.1 0.5 3.6 5.3 5.8 9.9 -2.1 11.1 11.6 -3.4 -2.9 -3.9 -3.7 13.7 8.2 8.8 -0.3 13.3 -0.2 4.3 1.3 3.1 2.7 1.2 4.1 0.0 4.0 3.5 -2.6 4.2 5.1 -17.6 20.0 14.1 US2 8.6 20.0 20.0 2.3 0.7 1.4 1.3 0.3 2.2 3.6 0.7 3.9 -4.2 5.6 6.2 -20.0 -20.0 -20.0 -20.0 9.4 4.9 4.7 -2.0 8.4 11.2 2.5 0.8 1.5 1.2 0.2 2.3 -20.0 -1.2 7.5 7.6 3.8 1.8 -20.0 6.0 -10.9 US20 13.9 16.6 19.4 2.7 0.8 1.6 1.5 0.4 2.5 4.9 4.4 7.0 0.6 7.6 8.0 -1.4 -0.9 -1.1 -0.9 9.5 5.9 6.7 0.5 9.7 -1.8 3.1 0.9 2.5 2.0 1.2 3.0 4.2 3.6 2.4 -3.9 3.7 5.1 -10.2 20.0 20.0 US30 13.5 13.9 18.0 3.1 0.9 1.9 1.8 0.4 3.0 3.8 3.9 7.6 -0.9 8.3 8.6 -4.4 -4.9 -4.3 -4.6 9.0 5.1 6.8 -0.8 9.7 -1.2 3.6 1.0 2.8 2.4 1.2 3.5 -2.6 2.7 -0.3 -8.0 1.0 2.1 -9.5 17.8 20.0 US5 8.7 20.0 20.0 2.7 0.8 1.6 1.5 0.4 2.6 5.7 3.9 5.3 -2.7 7.1 7.9 -13.1 -11.0 -12.2 -11.4 11.2 6.9 5.9 -0.1 9.9 5.2 3.1 1.0 2.2 1.6 0.7 2.7 -13.4 0.9 4.5 3.3 5.1 5.2 -20.0 16.2 -2.1 VIX 6.0 20.0 20.0 1.4 0.0 0.1 0.7 -1.0 1.6 -2.8 -4.6 -5.5 -7.0 -3.9 -3.8 -11.3 -20.0 -20.0 -20.0 0.9 -0.5 -1.7 -3.1 -0.2 NaN 1.5 0.0 0.2 0.7 -1.2 1.7 NaN NaN NaN NaN NaN -12.4 -20.0 NaN NaN WHEAT 1.9 -20.0 -18.8 -4.1 -0.7 -3.3 -1.6 -2.2 -3.2 -12.0 -11.9 -11.6 -11.8 -12.9 -13.7 -17.7 -15.1 -16.9 -16.2 -17.1 -15.5 -12.8 -13.9 -13.3 2.3 -4.1 -5.1 -3.4 -3.8 -2.7 -3.6 -20.0 -18.8 0.3 -10.6 -2.2 -18.0 -20.0 -16.0 -20.0 End of report for caleb_strategy_v3