******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240826_203930 produced at 2024-08-26 21:37:44.541874 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -3.35 999999999.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.05 -0.10 0.0 0.53 -0.53 -0.05 -0.06 -10.85 60.0 -6 -7 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.10 0.0 0.00 0.00 0.00 0.00 -2.48 24.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.08 -0.08 0.0 0.32 -0.32 -0.08 -0.08 -1.92 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 -1.65 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 -21.62 59.0 0 0 caleb_strategy_v3 BOBL False True 0.04 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.07 19.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.02 -0.05 0.0 0.08 -0.08 -0.02 -0.02 -7.56 12.0 -3 -3 caleb_strategy_v3 VIX False False 0.01 -0.02 -0.03 0.0 999.00 -999.00 -0.02 -0.02 -5.43 999999999.0 -3 -3 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.02 -0.03 0.0 0.00 -0.02 -0.02 -0.02 -15.51 26.0 -11 -11 caleb_strategy_v3 CANOLA False False 0.00 -0.00 -0.03 0.0 0.15 -0.15 -0.00 -0.00 -9.76 51.0 -1 -1 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.10 -0.10 -0.02 -0.02 -1.11 4.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.03 0.0 0.07 -0.07 -0.02 -0.02 -2.79 8.0 -2 -2 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 NASDAQ_micro False False 0.01 0.00 -0.02 0.0 0.31 -0.31 0.00 0.00 -1.30 23.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.02 -0.02 0.0 0.32 -0.32 -0.02 -0.02 -2.17 36.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.04 -2.70 9.0 -4 -4 caleb_strategy_v3 COPPER False False 0.04 0.00 -0.02 0.0 999.00 -999.00 0.00 0.00 -0.59 999999999.0 0 0 caleb_strategy_v3 BTP False True 0.05 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.42 10.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.76 12.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.10 -0.02 0.0 0.12 -0.12 -0.10 -0.10 -1.10 7.0 -6 -6 caleb_strategy_v3 LUMBER-new False False 0.00 -0.01 -0.01 0.0 0.01 -0.01 -0.01 -0.01 -1.50 3.0 -2 -2 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -1.75 18.0 0 0 caleb_strategy_v3 BUXL False True 0.05 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.16 4.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -2.83 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 -1.17 48.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.06 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 -1.05 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 -0.65 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 -1.23 9.0 -1 -1 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 PALLAD False False 0.03 0.00 -0.00 0.0 0.07 -0.07 0.00 0.00 -0.08 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 0.03 10.0 0 0 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 RUSSELL False False 0.00 -0.05 -0.00 0.0 0.26 -0.26 -0.05 -0.05 -0.73 68.0 -14 -14 caleb_strategy_v3 LIVECOW False False 0.02 0.05 -0.00 0.0 0.41 -0.41 0.05 0.02 -0.00 17.0 2 1 caleb_strategy_v3 BUND False True 0.05 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.03 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 0.68 66.0 1 1 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.01 0.0 0.37 -0.37 0.02 0.02 0.86 23.0 1 1 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 0.71 -0.71 0.00 0.00 0.43 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 0.20 6.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.18 0.01 0.0 0.27 -0.27 0.18 0.18 0.24 6.0 4 4 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.18 999999999.0 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 0.27 999999999.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.02 0.0 0.07 -0.07 0.02 0.02 0.95 3.0 1 1 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 MILK False False 0.02 0.00 0.02 0.0 0.08 -0.08 0.00 0.00 1.28 5.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.01 0.02 0.0 0.41 -0.41 0.01 0.01 2.40 58.0 1 2 caleb_strategy_v3 US10 False False 0.04 0.00 0.03 0.0 0.66 -0.66 0.00 0.00 0.72 17.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.02 0.03 0.0 0.13 -0.13 0.02 0.02 3.23 13.0 2 2 caleb_strategy_v3 US10U False False 0.04 0.04 0.03 0.0 0.52 -0.52 0.04 0.04 0.72 13.0 1 1 caleb_strategy_v3 US2 False True 0.07 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.39 13.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.07 0.03 0.0 0.93 -0.93 0.07 0.07 0.81 25.0 2 2 caleb_strategy_v3 NZD False False 0.02 0.00 0.03 0.0 0.44 -0.44 0.00 0.00 1.50 21.0 0 0 caleb_strategy_v3 CHF False False 0.05 0.20 0.03 0.0 0.66 -0.66 0.20 0.20 0.54 13.0 4 4 caleb_strategy_v3 CAD False False 0.03 0.00 0.03 0.0 0.73 -0.73 0.00 0.00 1.22 29.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.07 0.04 0.0 0.44 -0.44 0.07 0.09 1.71 19.0 3 4 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.04 0.0 0.48 -0.48 0.00 0.00 4.68 56.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.03 0.04 0.0 0.13 -0.13 0.03 0.05 1.53 5.0 1 2 caleb_strategy_v3 SMI False True 0.05 0.00 0.07 0.0 0.00 0.00 0.00 0.00 1.46 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 3.21 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 2.36 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 9.85 16.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.50 0.0 0.93 -0.93 0.00 0.00 5.35 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.19 0.0 0.00 0.00 0.00 0.00 14.38 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.6 Shocked risk 14.4 Sum abs risk 34.3 Leverage 3.82 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2931879.06, 'annual_cash_vol_target': 732969.765, 'daily_cash_vol_target': 45810.6103125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6780 0.6206 9.9298 BITCOIN 1943.6370 64215.0000 3.0268 48.4282 BOBL 0.2403 117.7700 0.2040 3.2647 BTP 0.4803 119.4400 0.4021 6.4338 BUND 0.4849 134.2600 0.3612 5.7788 BUXL 1.1794 135.7000 0.8691 13.9055 CAC 62.7285 7616.5000 0.8236 13.1774 CAD 0.0026 0.7426 0.3470 5.5519 CANOLA 9.6189 601.5000 1.5991 25.5864 CHF 0.0060 1.1832 0.5110 8.1763 COCOA 210.0466 8029.0000 2.6161 41.8576 COFFEE 4.5091 249.7000 1.8058 28.8931 COPPER 0.0570 4.2710 1.3344 21.3504 CORN 5.3387 386.0000 1.3831 22.1293 COTTON2 1.0151 70.2600 1.4447 23.1153 CRUDE_W 1.2192 75.1800 1.6218 25.9483 DAX 151.0993 18693.0000 0.8083 12.9331 DOW 300.6488 41324.0000 0.7275 11.6406 DX 0.4276 100.4300 0.4257 6.8120 EUR 0.0047 1.1174 0.4182 6.6916 EURIBOR-ICE 0.0429 97.8400 0.0438 0.7010 EUROSTX 45.6112 4913.0000 0.9284 14.8541 FEEDCOW 2.1049 231.8250 0.9080 14.5273 GASOIL 11.8844 727.0000 1.6347 26.1554 GASOLINE 0.0366 2.0745 1.7667 28.2669 GAS_US_mini 0.0852 2.1200 4.0166 64.2648 GBP 0.0063 1.3193 0.4785 7.6556 GOLD_micro 20.4907 2528.6000 0.8104 12.9657 HEATOIL 0.0385 2.3835 1.6136 25.8176 JGB-SGX-mini 0.3482 144.7400 0.2405 3.8488 JPY 0.0001 0.0069 0.7831 12.5303 LEANHOG 1.2255 70.6750 1.7339 27.7428 LIVECOW 1.4133 176.9750 0.7986 12.7772 LUMBER-new 9.4150 507.0000 1.8570 29.7119 MILK 0.3079 22.2600 1.3831 22.1299 MXP 0.0006 0.0516 1.0677 17.0829 NASDAQ_micro 234.6890 19611.0000 1.1967 19.1475 NIKKEI 809.5472 38065.0000 2.1267 34.0280 NZD 0.0043 0.6212 0.6908 11.0526 OAT 0.4355 126.4900 0.3443 5.5083 OATIES 5.6523 309.5000 1.8263 29.2205 OJ 8.4010 461.7500 1.8194 29.1100 PALLAD 23.7252 960.5000 2.4701 39.5214 PLAT 16.1088 970.2000 1.6604 26.5658 REDWHEAT 8.6978 536.0000 1.6227 25.9637 RICE 0.1574 15.1950 1.0358 16.5735 ROBUSTA 73.8895 4715.0000 1.5671 25.0738 RUSSELL 30.3130 2233.8000 1.3570 21.7123 SHATZ 0.0825 106.2350 0.0776 1.2424 SILVER-mini 0.5218 30.4000 1.7164 27.4628 SMI 91.1284 12364.0000 0.7370 11.7927 SOFR 0.0624 96.9400 0.0644 1.0298 SOYBEAN 13.1230 981.0000 1.3377 21.4034 SOYMEAL 4.8857 308.1000 1.5857 25.3718 SOYOIL 0.7218 40.7900 1.7695 28.3117 SP400 32.1188 3106.3000 1.0340 16.5438 SP500_micro 47.3932 5636.2500 0.8409 13.4538 SUGAR11 0.3202 19.3700 1.6530 26.4477 US10 0.4062 114.2031 0.3557 5.6905 US10U 0.5627 118.3594 0.4755 7.6073 US2 0.1203 103.3398 0.1164 1.8631 US20 0.8293 124.7188 0.6650 10.6394 US30 1.2477 133.9688 0.9314 14.9017 US5 0.2693 109.1562 0.2467 3.9472 VIX 1.0372 17.5000 5.9269 94.8310 WHEAT 8.5801 524.2500 1.6366 26.1863 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 678.00 0.62 420.78 1.00 420.78 45810.61 108.87 6.06 65.97 BITCOIN 64.22 3.03 194.36 1.00 194.36 45810.61 235.70 -8.47 -199.63 BOBL 1177.70 0.20 240.30 1.11 267.28 45810.61 171.39 -6.16 -105.54 BTP 1194.40 0.40 480.28 1.11 534.22 45810.61 85.75 -1.44 -12.31 BUND 1342.60 0.36 484.91 1.11 539.37 45810.61 84.93 -0.32 -2.74 BUXL 1357.00 0.87 1179.36 1.11 1311.80 45810.61 34.92 -4.47 -15.60 CAC 761.65 0.82 627.28 1.11 697.73 45810.61 65.66 -3.38 -22.16 CAD 742.60 0.35 257.68 1.00 257.68 45810.61 177.78 2.65 47.18 CANOLA 120.30 1.60 192.38 0.74 141.51 45810.61 323.74 -12.39 -401.08 CHF 1478.94 0.51 755.77 1.00 755.77 45810.61 60.61 3.42 20.71 COCOA 802.90 2.62 2100.47 1.00 2100.47 45810.61 21.81 9.23 20.14 COFFEE 936.38 1.81 1690.92 1.00 1690.92 45810.61 27.09 6.20 16.79 COPPER 1067.75 1.33 1424.81 1.00 1424.81 45810.61 32.15 -1.71 -5.49 CORN 193.00 1.38 266.94 1.00 266.94 45810.61 171.62 -18.12 -310.94 COTTON2 351.30 1.44 507.53 1.00 507.53 45810.61 90.26 -12.08 -109.05 CRUDE_W 751.80 1.62 1219.24 1.00 1219.24 45810.61 37.57 3.75 14.11 DAX 186.93 0.81 151.10 1.11 168.07 45810.61 272.57 2.58 70.38 DOW 206.62 0.73 150.32 1.00 150.32 45810.61 304.75 0.95 29.08 DX 1004.30 0.43 427.58 1.00 427.58 45810.61 107.14 -12.05 -129.06 EUR 1396.69 0.42 584.13 1.00 584.13 45810.61 78.43 11.60 91.01 EURIBOR-ICE 2446.00 0.04 107.16 1.11 119.19 45810.61 384.34 4.08 156.85 EUROSTX 491.30 0.93 456.11 1.11 507.33 45810.61 90.30 -2.13 -19.20 FEEDCOW 1159.12 0.91 1052.43 1.00 1052.43 45810.61 43.53 -13.28 -57.83 GASOIL 727.00 1.63 1188.44 1.00 1188.44 45810.61 38.55 -6.64 -25.61 GASOLINE 871.29 1.77 1539.29 1.00 1539.29 45810.61 29.76 1.40 4.15 GAS_US_mini 53.00 4.02 212.88 1.00 212.88 45810.61 215.20 -6.66 -143.21 GBP 824.56 0.48 394.53 1.00 394.53 45810.61 116.11 10.67 123.89 GOLD_micro 252.86 0.81 204.91 1.00 204.91 45810.61 223.57 6.14 137.19 HEATOIL 1001.07 1.61 1615.33 1.00 1615.33 45810.61 28.36 -13.45 -38.14 JGB-SGX-mini 144740.00 0.24 34817.11 0.01 239.00 45810.61 191.68 4.74 90.93 JPY 867.75 0.78 679.57 1.00 679.57 45810.61 67.41 2.28 15.40 LEANHOG 282.70 1.73 490.18 1.00 490.18 45810.61 93.46 5.69 53.16 LIVECOW 707.90 0.80 565.31 1.00 565.31 45810.61 81.04 -0.00 -0.03 LUMBER-new 139.43 1.86 258.91 1.00 258.91 45810.61 176.94 -3.95 -69.97 MILK 445.20 1.38 615.76 1.00 615.76 45810.61 74.40 8.06 59.94 MXP 257.90 1.07 275.35 1.00 275.35 45810.61 166.37 -4.44 -73.95 NASDAQ_micro 392.22 1.20 469.38 1.00 469.38 45810.61 97.60 -5.72 -55.83 NIKKEI 38065.00 2.13 80954.72 0.01 555.71 45810.61 82.44 -2.43 -20.00 NZD 621.25 0.69 429.15 1.00 429.15 45810.61 106.75 5.42 57.91 OAT 1264.90 0.34 435.47 1.11 484.37 45810.61 94.58 0.08 0.77 OATIES 154.75 1.83 282.62 1.00 282.62 45810.61 162.09 -7.19 -116.51 OJ 692.62 1.82 1260.14 1.00 1260.14 45810.61 36.35 12.21 44.40 PALLAD 960.50 2.47 2372.52 1.00 2372.52 45810.61 19.31 -1.27 -2.46 PLAT 485.10 1.66 805.44 1.00 805.44 45810.61 56.88 -2.58 -14.70 REDWHEAT 268.00 1.62 434.89 1.00 434.89 45810.61 105.34 -20.00 -210.68 RICE 303.90 1.04 314.79 1.00 314.79 45810.61 145.53 -1.20 -17.43 ROBUSTA 471.50 1.57 738.89 1.00 738.89 45810.61 62.00 11.85 73.45 RUSSELL 111.69 1.36 151.57 1.00 151.57 45810.61 302.25 -0.73 -22.03 SHATZ 1062.35 0.08 82.49 1.11 91.75 45810.61 499.27 -4.90 -244.63 SILVER-mini 760.00 1.72 1304.48 1.00 1304.48 45810.61 35.12 2.21 7.78 SMI 1236.40 0.74 911.28 1.17 1069.71 45810.61 42.83 9.97 42.71 SOFR 2423.50 0.06 155.98 1.00 155.98 45810.61 293.69 8.06 236.60 SOYBEAN 490.50 1.34 656.15 1.00 656.15 45810.61 69.82 -17.00 -118.72 SOYMEAL 308.10 1.59 488.57 1.00 488.57 45810.61 93.77 -14.09 -132.10 SOYOIL 244.74 1.77 433.06 1.00 433.06 45810.61 105.78 -10.70 -113.15 SP400 3106.30 1.03 3211.88 1.00 3211.88 45810.61 14.26 -1.34 -1.91 SP500_micro 281.81 0.84 236.97 1.00 236.97 45810.61 193.32 -2.60 -50.35 SUGAR11 216.94 1.65 358.60 1.00 358.60 45810.61 127.75 -6.44 -82.21 US10 1142.03 0.36 406.17 1.00 406.17 45810.61 112.79 5.05 57.01 US10U 1183.59 0.48 562.75 1.00 562.75 45810.61 81.41 6.95 56.55 US2 2066.80 0.12 240.67 1.00 240.67 45810.61 190.35 1.60 30.53 US20 1247.19 0.66 829.33 1.00 829.33 45810.61 55.24 7.49 41.37 US30 1339.69 0.93 1247.73 1.00 1247.73 45810.61 36.72 5.10 18.73 US5 1091.56 0.25 269.29 1.00 269.29 45810.61 170.12 3.77 64.13 VIX 175.00 5.93 1037.21 1.00 1037.21 45810.61 44.17 -4.98 -21.99 WHEAT 262.12 1.64 429.01 1.00 429.01 45810.61 106.78 -19.03 -203.25 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 65.972 0.010 2.5 1.712 BITCOIN -199.628 0.043 2.5 -21.617 BOBL -105.537 0.004 2.5 -1.070 BTP -12.308 0.014 2.5 -0.420 BUND -2.741 0.004 2.5 -0.028 BUXL -15.596 0.004 2.5 -0.158 CAC -22.163 0.014 2.5 -0.756 CAD 47.178 0.010 2.5 1.224 CANOLA -401.077 0.010 2.5 -9.758 CHF 20.712 0.010 2.5 0.537 COCOA 20.139 0.009 2.5 0.431 COFFEE 16.794 0.005 2.5 0.196 COPPER -5.488 0.043 2.5 -0.594 CORN -310.942 0.010 2.5 -7.565 COTTON2 -109.053 0.009 2.5 -2.336 CRUDE_W 14.106 0.043 2.5 1.527 DAX 70.384 0.014 2.5 2.401 DOW 29.076 0.009 2.5 0.676 DX -129.058 0.010 2.5 -3.349 EUR 91.012 0.010 2.5 2.361 EURIBOR-ICE 156.848 0.014 2.5 5.350 EUROSTX -19.202 0.014 2.5 -0.655 FEEDCOW -57.826 0.013 2.5 -1.916 GASOIL -25.614 0.017 2.5 -1.110 GASOLINE 4.153 0.017 2.5 0.180 GAS_US_mini -143.214 0.043 2.5 -15.508 GBP 123.887 0.010 2.5 3.214 GOLD_micro 137.190 0.014 2.5 4.679 HEATOIL -38.139 0.017 2.5 -1.653 JGB-SGX-mini 90.931 0.043 2.5 9.847 JPY 15.399 0.010 2.5 0.400 LEANHOG 53.162 0.024 2.5 3.231 LIVECOW -0.035 0.013 2.5 -0.001 LUMBER-new -69.973 0.009 2.5 -1.498 MILK 59.942 0.009 2.5 1.284 MXP -73.951 0.059 2.5 -10.854 NASDAQ_micro -55.826 0.009 2.5 -1.297 NIKKEI -20.004 0.043 2.5 -2.166 NZD 57.907 0.010 2.5 1.502 OAT 0.772 0.014 2.5 0.026 OATIES -116.509 0.010 2.5 -2.834 OJ 44.403 0.009 2.5 0.951 PALLAD -2.457 0.014 2.5 -0.084 PLAT -14.701 0.014 2.5 -0.501 REDWHEAT -210.676 0.005 2.5 -2.795 RICE -17.431 0.010 2.5 -0.424 ROBUSTA 73.450 0.005 2.5 0.858 RUSSELL -22.028 0.013 2.5 -0.730 SHATZ -244.625 0.004 2.5 -2.481 SILVER-mini 7.779 0.014 2.5 0.265 SMI 42.707 0.014 2.5 1.457 SOFR 236.596 0.024 2.5 14.379 SOYBEAN -118.716 0.004 2.5 -1.104 SOYMEAL -132.096 0.004 2.5 -1.229 SOYOIL -113.146 0.004 2.5 -1.053 SP400 -1.905 0.013 2.5 -0.063 SP500_micro -50.349 0.009 2.5 -1.170 SUGAR11 -82.207 0.009 2.5 -1.748 US10 57.006 0.005 2.5 0.722 US10U 56.552 0.005 2.5 0.717 US2 30.530 0.005 2.5 0.387 US20 41.375 0.005 2.5 0.524 US30 18.729 0.005 2.5 0.237 US5 64.131 0.005 2.5 0.813 VIX -21.991 0.099 2.5 -5.428 WHEAT -203.246 0.005 2.5 -2.696 ===================== Position diags ===================== AUD 2.82 BITCOIN 25.52 BOBL 1.74 BTP 2.92 BUND 0.86 BUXL 0.35 CAC 2.24 CAD 4.61 CANOLA 7.88 CHF 1.57 COCOA 0.47 COFFEE 0.32 COPPER 3.48 CORN 4.18 COTTON2 1.93 CRUDE_W 4.07 DAX 9.30 DOW 7.08 DX 2.78 EUR 2.03 EURIBOR-ICE 13.11 EUROSTX 3.08 FEEDCOW 1.44 GASOIL 1.67 GASOLINE 1.29 GAS_US_mini 23.30 GBP 3.01 GOLD_micro 7.63 HEATOIL 1.23 JGB-SGX-mini 20.76 JPY 1.75 LEANHOG 5.68 LIVECOW 2.69 LUMBER-new 3.79 MILK 1.59 MXP 24.42 NASDAQ_micro 2.27 NIKKEI 8.93 NZD 2.77 OAT 3.23 OATIES 3.94 OJ 0.78 PALLAD 0.66 PLAT 1.94 REDWHEAT 1.40 RICE 3.54 ROBUSTA 0.72 RUSSELL 10.02 SHATZ 5.06 SILVER-mini 1.20 SMI 1.46 SOFR 17.85 SOYBEAN 0.65 SOYMEAL 0.87 SOYOIL 0.98 SP400 0.47 SP500_micro 4.49 SUGAR11 2.72 US10 1.43 US10U 1.03 US2 2.41 US20 0.70 US30 0.47 US5 2.16 VIX 10.90 WHEAT 1.42 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 -21.6 -24.2 -19.1 0.0 0 BOBL -1.1 -1.2 -0.9 0.0 0 BTP -0.4 -0.7 -0.1 0.0 0 BUND -0.0 -0.1 0.1 0.0 0 BUXL -0.2 -0.2 -0.1 0.0 0 CAC -0.8 -1.0 -0.5 0.0 0 CAD 1.2 0.8 1.7 0.0 0 CANOLA -9.8 -10.5 -9.0 -1.0 -1 CHF 0.5 0.4 0.7 4.0 4 COCOA 0.4 0.4 0.5 0.0 0 COFFEE 0.2 0.2 0.2 0.0 0 COPPER -0.6 -0.9 -0.2 0.0 0 CORN -7.6 -8.0 -7.1 -3.0 -3 COTTON2 -2.3 -2.5 -2.1 -5.0 -5 CRUDE_W 1.5 1.1 1.9 1.0 1 DAX 2.4 1.5 3.3 1.0 1 DOW 0.7 -0.0 1.4 1.0 1 DX -3.3 -3.6 -3.1 0.0 0 EUR 2.4 2.2 2.6 2.0 2 EURIBOR-ICE 5.3 4.0 6.7 0.0 0 EUROSTX -0.7 -1.0 -0.3 -1.0 -1 FEEDCOW -1.9 -2.1 -1.8 -2.0 -2 GASOIL -1.1 -1.3 -0.9 -1.0 -1 GASOLINE 0.2 0.1 0.3 0.0 0 GAS_US_mini -15.5 -17.8 -13.2 -11.0 -11 GBP 3.2 2.9 3.5 1.0 1 GOLD_micro 4.7 3.9 5.4 0.0 0 HEATOIL -1.7 -1.8 -1.5 -2.0 -2 JGB-SGX-mini 9.8 7.8 11.9 4.0 4 JPY 0.4 0.2 0.6 1.0 1 LEANHOG 3.2 2.7 3.8 2.0 2 LIVECOW -0.0 -0.3 0.3 2.0 2 LUMBER-new -1.5 -1.9 -1.1 -2.0 -2 MILK 1.3 1.1 1.4 NaN 0 MXP -10.9 -13.3 -8.4 -6.0 -6 NASDAQ_micro -1.3 -1.5 -1.1 0.0 0 NIKKEI -2.2 -3.1 -1.3 -2.0 -2 NZD 1.5 1.2 1.8 0.0 0 OAT 0.0 -0.3 0.3 0.0 0 OATIES -2.8 -3.2 -2.4 NaN 0 OJ 1.0 0.9 1.0 1.0 1 PALLAD -0.1 -0.1 -0.0 0.0 0 PLAT -0.5 -0.7 -0.3 -1.0 -1 REDWHEAT -2.8 -2.9 -2.7 -2.0 -2 RICE -0.4 -0.8 -0.1 NaN 0 ROBUSTA 0.9 0.8 0.9 1.0 1 RUSSELL -0.7 -1.7 0.3 -14.0 -14 SHATZ -2.5 -3.0 -2.0 NaN 0 SILVER-mini 0.3 0.1 0.4 0.0 0 SMI 1.5 1.3 1.6 0.0 0 SOFR 14.4 12.6 16.2 NaN 0 SOYBEAN -1.1 -1.2 -1.0 -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 -0.1 -0.0 0.0 0 SP500_micro -1.2 -1.6 -0.7 0.0 0 SUGAR11 -1.7 -2.0 -1.5 0.0 0 US10 0.7 0.6 0.9 0.0 0 US10U 0.7 0.6 0.8 1.0 1 US2 0.4 0.1 0.6 NaN 0 US20 0.5 0.5 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 -5.4 -6.5 -4.3 -3.0 -3 WHEAT -2.7 -2.8 -2.6 -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 0.5 -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 0.1 -0.0 -0.1 -0.0 -0.0 0.1 0.0 0.2 -0.0 0.2 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 -0.2 -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 -0.0 -0.0 0.1 0.2 -0.0 -2.7 -0.0 0.0 0.0 0.0 0.2 -0.0 -0.1 -0.0 -0.6 0.2 0.3 -0.3 -0.2 -0.1 -0.0 BOBL 0.2 0.6 0.4 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 -0.3 -0.2 -0.2 -0.7 -0.7 -0.3 -0.3 BTP 0.1 0.5 0.1 0.1 0.0 0.1 0.0 0.0 0.1 0.0 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 0.1 -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 0.2 0.6 0.3 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 0.0 0.0 -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 0.5 -0.2 -0.3 -0.2 -0.3 -0.7 -0.7 -0.2 -0.3 BUXL 0.2 0.5 0.2 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 -0.0 0.0 -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 0.2 -0.4 -0.6 0.0 0.1 0.1 0.1 0.2 0.0 0.1 -0.2 0.2 0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.2 -0.0 0.0 -1.1 -0.0 0.1 -0.1 0.1 0.0 0.0 0.4 -0.0 0.2 -0.5 -0.6 0.3 0.2 0.1 0.2 CAD 0.6 0.1 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.2 -0.4 0.2 -0.6 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.2 -0.2 0.2 -0.2 0.0 0.2 -0.0 0.2 -0.1 0.1 -0.1 0.3 0.6 -0.2 -0.2 0.4 -0.2 0.1 -0.1 CANOLA -0.6 -0.3 0.0 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 -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 -0.0 -0.2 -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 0.1 0.1 -0.0 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 0.5 0.0 0.0 0.1 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 0.4 -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 0.1 -2.7 0.0 0.0 0.1 0.0 0.3 0.0 1.1 0.3 0.4 0.3 0.1 0.6 0.2 0.7 0.4 COFFEE 0.1 -0.0 0.3 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.4 0.2 0.5 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.4 0.1 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 0.3 0.4 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 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 0.1 0.1 -0.0 -1.7 -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 -0.5 -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 -0.2 -0.0 -1.1 -0.3 -0.2 -0.5 -0.4 -0.2 -0.3 -0.1 -0.0 COTTON2 0.4 0.0 -0.6 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.4 0.1 -0.5 -0.1 -0.1 -0.2 -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 0.3 0.5 0.1 -0.3 -0.3 -0.3 0.0 -0.1 CRUDE_W -0.1 -0.5 -0.4 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 -0.0 0.4 -0.1 -0.1 0.2 0.3 0.3 0.3 -0.1 -0.0 -0.0 0.1 -0.1 -0.3 -0.1 0.1 -0.1 -0.0 -0.0 -0.0 0.5 0.1 0.1 -0.0 -0.2 0.3 0.6 0.4 0.7 DAX 0.1 -0.3 -0.6 0.0 0.0 0.1 0.1 0.2 0.0 0.1 0.1 0.1 0.4 0.1 -0.0 -0.1 -0.2 -0.2 -0.2 -0.0 0.0 0.2 0.2 0.1 1.3 -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 0.0 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 0.1 -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 0.1 0.2 0.0 -0.4 0.1 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 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.2 -0.2 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 0.2 0.6 0.6 0.5 0.1 -0.6 -0.1 -0.6 EURIBOR-ICE 0.2 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 0.1 0.0 0.0 0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.7 -0.7 -0.1 0.1 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 -0.0 -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 0.2 0.0 0.2 -0.1 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 -0.3 -0.1 -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 -0.0 -0.0 -0.1 -1.1 -0.3 -0.6 -0.6 -0.5 0.1 0.7 0.3 0.7 GASOIL -0.2 -0.4 -0.4 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.2 -0.0 0.3 -0.1 -0.1 0.0 0.2 0.0 0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.5 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.1 -0.4 -0.1 -0.1 -0.3 -0.4 -0.5 -0.7 GASOLINE -0.2 -0.4 -0.4 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -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 -0.0 0.0 -0.1 1.1 -0.2 -0.1 0.1 -0.2 0.6 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 -0.1 -0.5 -0.1 2.7 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -1.1 -0.1 0.2 -0.0 0.4 -0.2 -0.4 -0.3 -0.6 GBP 0.2 0.2 0.2 0.0 0.1 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 0.1 0.1 0.2 0.1 0.1 0.2 0.5 0.1 0.6 0.6 0.3 -0.7 0.3 -0.5 GOLD_micro 0.2 0.2 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.3 0.1 0.4 0.1 0.1 -0.2 -0.3 -0.2 -0.2 0.1 0.1 0.1 0.4 0.1 -0.8 0.0 0.0 0.1 0.1 0.2 0.1 -0.7 0.0 0.5 0.6 0.6 0.4 -0.1 0.6 0.1 HEATOIL -0.2 -0.4 -0.4 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.3 -0.1 0.1 -0.2 -0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -2.7 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.4 -0.1 -0.3 -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 -0.0 -0.0 0.0 0.0 0.0 0.0 0.3 0.4 0.3 0.3 0.0 0.0 0.0 0.0 0.0 -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 0.0 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 -0.2 0.4 0.6 0.1 -0.7 -0.6 -0.7 -0.6 LEANHOG 0.3 0.4 -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 0.3 0.4 0.4 -0.0 -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 0.3 0.3 -0.4 -0.0 -0.2 0.1 0.1 LIVECOW -0.6 -0.5 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 -1.6 -0.0 -0.0 0.0 -0.1 0.1 -0.1 1.1 -0.5 -0.6 -0.3 0.6 -0.0 0.7 0.1 0.7 LUMBER-new 0.4 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 -0.1 -0.1 -0.0 -0.2 0.0 -1.2 -0.4 0.4 0.6 0.0 0.1 -0.1 0.3 -0.0 MILK 0.2 0.1 0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.3 0.1 0.1 0.1 0.1 0.3 -0.4 -0.1 -0.3 0.1 0.1 0.1 0.1 0.2 2.1 0.1 0.1 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 -0.3 -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 -0.5 -0.6 0.6 0.4 0.7 0.6 NASDAQ_micro 0.1 -0.6 -0.5 0.0 0.0 0.1 0.0 0.1 0.0 0.0 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 -0.1 -0.6 -0.6 0.0 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.1 0.0 0.0 0.1 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 -0.1 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.1 -0.0 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 0.1 0.2 0.1 0.6 -0.2 0.1 0.3 -0.2 0.2 0.0 OAT 0.3 0.5 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 -0.1 -0.4 -0.2 -0.6 -0.5 -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 -0.5 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.4 0.1 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 0.3 -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 -0.0 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 -0.0 -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 -0.2 -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 -0.3 -0.6 -0.3 -0.7 -0.7 -0.6 -0.7 RICE -0.1 -0.3 -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 0.1 0.1 0.2 0.6 -0.7 -0.5 -0.7 -0.5 ROBUSTA 0.1 0.2 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 -0.3 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 0.0 -0.2 0.4 0.1 0.1 -0.6 -0.2 -0.7 SHATZ 0.2 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 -0.5 -0.4 SILVER-mini 0.1 -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 -0.2 -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 0.5 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 0.2 -0.6 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 -2.1 -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 -0.0 -0.1 -0.2 -0.0 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.4 -0.5 -0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -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 -0.0 -0.2 -0.2 -0.1 -0.1 -0.3 0.2 -0.1 SP400 -0.1 0.1 -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 0.1 -1.2 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 0.1 0.1 0.1 0.3 0.1 -1.9 0.0 0.0 0.1 0.0 0.2 0.0 -0.6 0.0 0.3 -0.1 0.2 0.3 0.1 -0.2 0.0 SUGAR11 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.4 -0.0 -0.4 -0.1 -0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.1 0.1 -0.3 -0.0 -2.7 -0.0 0.1 -0.1 0.0 -0.2 -0.0 0.1 0.2 0.2 -0.1 0.0 -0.2 0.5 -0.1 0.6 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 -0.1 -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 0.0 0.1 0.0 0.2 0.2 -0.7 0.7 0.2 US10U 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 -0.1 -0.1 -0.1 -0.1 0.2 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 -0.1 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 0.3 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 0.5 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 0.2 0.1 0.2 0.2 -0.7 0.5 -0.1 VIX 0.0 1.0 1.0 0.0 -0.0 0.0 0.0 -0.1 0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.1 -0.3 -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 -0.0 -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 -0.2 0.3 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -1.1 -0.5 -0.1 -0.4 -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 15.9 -5.6 4.0 2.7 12.6 0.2 12.4 0.2 7.6 15.1 2.3 17.2 -2.3 8.9 5.4 -1.9 -2.6 -2.1 -2.3 5.1 2.1 20.0 -0.1 14.7 2.8 1.9 9.7 0.7 10.7 0.2 6.4 -0.0 7.7 8.2 -6.4 3.0 11.2 -4.6 12.7 -0.6 BITCOIN -7.6 -6.2 -17.9 -3.0 3.7 -3.2 3.1 -1.6 0.2 12.9 2.0 2.7 7.4 -1.5 -5.4 -4.9 -6.9 -5.9 -6.6 -4.4 -0.3 7.0 7.3 -1.1 -20.0 -2.6 5.3 0.6 2.1 5.8 -1.5 -2.5 -1.7 -20.0 5.8 8.2 -9.6 -5.6 -3.6 -0.1 BOBL 4.8 20.0 11.5 3.1 0.6 2.0 1.6 0.5 2.9 -5.3 -1.5 1.9 -4.2 7.6 8.1 -20.0 -17.4 -20.0 -20.0 9.2 4.3 1.4 -2.1 7.3 4.3 3.1 -0.7 1.7 0.4 0.1 2.4 -20.0 -8.1 -8.4 -5.0 -6.6 -20.0 -20.0 -8.2 -9.3 BTP 3.8 15.1 2.2 5.7 1.2 3.6 2.9 0.9 5.2 4.1 12.2 14.0 14.6 19.0 18.3 1.3 3.7 1.4 2.2 14.6 11.5 8.0 10.3 13.7 -20.0 6.3 1.2 5.1 3.6 4.7 6.0 10.9 1.0 -20.0 -6.9 -17.5 -20.0 -15.8 -2.5 4.9 BUND 4.8 18.1 9.7 3.5 0.7 2.2 1.8 0.5 3.2 -6.4 0.1 3.3 -1.0 9.1 9.4 6.9 1.7 4.8 2.3 9.5 5.2 1.8 -0.5 7.8 1.0 3.5 -0.9 2.3 0.6 0.8 2.8 8.5 -6.8 -10.4 -7.5 -8.2 -20.0 -20.0 -6.9 -8.5 BUXL 6.7 15.0 7.0 4.2 0.9 2.6 2.2 0.6 3.8 -11.0 -0.8 3.6 -0.6 10.3 9.3 -0.7 -2.3 -1.5 -2.3 8.8 4.0 1.1 -2.1 7.8 -3.3 3.9 -1.9 2.6 0.4 0.9 3.2 1.6 -8.0 -13.3 -12.5 -14.2 -20.0 -20.0 -10.0 -8.4 CAC 5.7 -11.7 -20.0 1.5 5.7 3.6 5.4 5.5 2.3 16.5 -8.3 15.3 3.0 1.6 -10.7 -4.7 -1.9 -5.0 -3.0 -11.8 -11.4 17.1 -0.6 2.2 -8.4 -3.8 6.1 -3.1 5.1 0.8 0.5 6.7 -1.4 4.7 -16.8 -20.0 9.9 5.2 2.2 4.5 CAD 20.0 2.3 0.1 3.4 15.9 0.2 15.7 0.3 9.6 20.0 -13.4 20.0 -17.6 17.5 6.9 -5.1 -3.5 -4.7 -4.1 5.7 -4.4 20.0 -9.1 20.0 -1.4 2.7 20.0 -1.6 18.1 -3.3 10.5 -2.2 13.6 18.7 -4.8 -6.6 10.6 -6.0 1.7 -3.4 CANOLA -17.7 -7.9 0.9 -2.2 0.3 -1.9 -0.5 -1.2 -1.6 5.5 -5.3 -3.8 -6.4 -6.0 -6.0 -11.5 -10.4 -12.3 -12.7 -7.4 -5.9 -1.7 -6.0 -6.9 -14.4 -2.3 1.9 -2.4 -0.0 -2.8 -1.6 -20.0 -1.2 -6.2 -1.7 -3.1 0.8 -10.9 9.8 -4.4 CHF 15.4 20.0 20.0 1.7 7.7 0.1 7.6 0.1 4.7 11.2 -1.4 10.7 -4.8 10.0 9.3 -14.2 -16.4 -15.8 -16.2 13.1 5.5 16.4 -0.7 16.2 3.4 3.9 3.5 1.9 4.0 0.2 4.4 -20.0 -5.4 18.8 19.7 16.1 1.7 -10.7 -7.5 -11.9 COCOA 12.9 -2.3 7.7 -2.0 0.3 -1.7 -0.5 -1.1 -1.5 6.2 2.2 6.3 3.3 4.4 -1.1 20.0 20.0 20.0 20.0 2.3 4.3 9.1 8.6 5.4 -20.0 1.6 4.2 4.4 3.8 9.2 2.4 20.0 11.8 12.9 8.2 4.1 18.5 7.4 20.0 11.6 COFFEE 3.5 -0.2 7.8 -5.2 0.8 -4.3 -1.3 -2.8 -3.7 14.3 14.5 14.8 14.4 12.0 13.9 3.5 6.2 3.9 5.3 12.5 15.7 14.5 16.0 12.7 -20.0 5.0 6.2 7.3 7.0 9.3 5.7 6.1 16.9 20.0 20.0 20.0 -3.0 -10.2 3.9 -3.7 COPPER 4.5 -20.0 -11.5 -2.2 2.7 -2.3 2.2 -1.2 0.1 9.5 -2.9 9.2 0.1 -4.6 -7.9 -3.0 -2.7 -1.9 -1.9 -7.0 -3.0 6.1 2.8 -1.6 -12.5 -2.2 2.3 -1.0 1.7 0.9 -0.5 5.2 3.6 -1.8 -6.3 1.8 12.5 4.5 20.0 15.4 CORN 0.1 -12.4 -16.7 -3.7 0.6 -3.1 -0.9 -2.0 -2.7 -10.5 -12.1 -11.0 -12.6 -11.7 -12.5 -20.0 -15.1 -20.0 -18.9 -16.6 -18.0 -9.6 -17.1 -11.7 -8.4 -4.3 -3.5 -4.5 -2.7 -4.2 -3.1 -20.0 -13.5 -7.1 -14.9 -11.6 -4.7 -8.0 -2.6 -0.9 COTTON2 12.2 1.4 -20.0 -4.9 0.7 -4.0 -1.2 -2.7 -3.5 10.7 -16.5 9.8 -14.7 -5.5 -13.3 -10.6 -2.5 -8.9 -5.5 -12.0 -19.3 9.7 -17.8 -0.2 -20.0 -3.9 6.4 -5.7 5.3 -3.5 0.8 -10.6 10.8 15.3 2.5 -7.7 -9.9 -9.8 1.0 -3.0 CRUDE_W -2.8 -15.1 -11.8 -4.8 4.8 -3.0 -1.3 -0.2 -4.3 9.5 -1.8 -0.8 10.3 -10.3 -8.9 12.0 12.7 13.0 13.1 -8.0 -3.3 -0.3 2.8 -7.6 -2.2 -5.3 7.0 -4.0 -0.1 -0.4 -3.7 10.2 2.7 3.8 -0.6 -7.4 10.1 18.3 11.2 20.0 DAX 2.9 -10.1 -20.0 1.3 5.0 3.1 4.7 4.7 2.0 14.3 4.6 13.8 10.9 5.5 -1.2 -7.4 -10.5 -8.6 -9.7 -0.9 1.3 18.5 8.1 7.6 9.4 -0.7 7.0 1.2 6.4 4.8 2.2 -7.1 4.9 2.6 -6.8 -16.3 11.0 4.3 -1.0 3.1 DOW 0.7 1.7 -6.5 1.0 4.0 2.5 3.7 3.8 1.6 11.3 5.6 11.5 10.0 6.3 5.1 -8.6 -10.9 -9.8 -10.6 6.7 6.3 14.3 8.1 10.1 -8.9 2.9 4.8 3.3 4.8 4.4 3.6 -8.1 2.9 5.8 12.1 0.8 10.3 0.2 -0.3 -4.0 DX -19.5 -20.0 -12.0 2.2 10.2 0.2 10.0 0.2 6.2 -12.7 -1.2 -15.2 7.9 -15.9 -14.6 6.3 7.0 6.9 7.0 -16.6 -6.8 -20.0 0.7 -20.0 -20.0 -5.2 -6.2 -2.2 -7.6 0.1 -7.2 16.3 -20.0 -20.0 -20.0 -20.0 -5.4 5.4 -6.8 8.0 EUR 18.6 15.0 7.4 3.0 13.9 0.2 13.6 0.2 8.4 16.0 4.6 20.0 -6.5 20.0 19.1 -7.0 -7.2 -7.3 -7.2 18.5 8.1 20.0 0.7 20.0 20.0 6.8 8.3 3.4 11.0 1.2 10.0 -8.1 9.5 20.0 20.0 15.0 2.4 -17.3 -2.3 -19.1 EURIBOR-ICE 6.3 20.0 10.5 2.7 0.6 1.7 1.4 0.4 2.5 1.1 1.3 5.5 2.2 8.5 8.4 0.3 -3.8 -1.8 -2.9 11.4 7.0 4.8 2.7 10.0 12.4 3.0 0.4 1.9 1.2 0.9 2.6 -0.1 -2.0 -4.3 2.1 -3.0 -20.0 -20.0 -3.5 1.5 EUROSTX 3.8 -15.2 -20.0 1.3 4.9 3.1 4.6 4.6 1.9 13.2 4.2 13.8 10.2 1.2 -3.8 -3.9 -2.8 -4.5 -4.1 -4.6 -1.5 13.7 7.3 3.8 -1.9 -1.9 4.3 0.2 4.6 4.3 0.9 4.7 -2.2 3.2 -13.5 -19.9 3.4 0.9 -13.7 -2.1 FEEDCOW -20.0 -20.0 -13.3 -4.8 0.7 -4.0 -1.2 -2.6 -3.5 -6.0 -9.3 -13.6 -7.7 -15.0 -13.4 10.3 -20.0 1.7 -9.0 -20.0 -17.5 -20.0 -8.5 -20.0 -6.3 -5.1 -0.5 -3.3 -3.7 -1.3 -5.6 -20.0 -14.0 -20.0 -20.0 -14.1 2.8 20.0 9.9 20.0 GASOIL -6.2 -13.4 -13.4 -4.4 4.4 -2.8 -1.2 -0.2 -3.9 3.9 -8.1 -4.5 7.8 -13.5 -12.7 2.5 9.6 1.4 4.0 -11.8 -7.3 -4.6 0.5 -11.4 4.1 -5.5 3.5 -3.5 -2.2 -0.4 -5.2 0.1 3.3 -11.4 -3.3 -1.7 -7.8 -13.4 -15.9 -20.0 GASOLINE -6.7 -11.7 -12.0 -4.5 4.5 -2.8 -1.2 -0.2 -4.0 0.8 -0.5 -7.7 8.5 -11.9 -10.7 20.0 20.0 20.0 20.0 -8.9 -3.6 -6.4 3.6 -10.5 -20.0 -5.3 3.3 -3.4 -3.0 0.7 -5.3 20.0 -9.2 -3.0 3.6 -5.1 19.5 20.0 20.0 20.0 GAS_US_mini 10.4 -11.9 1.7 -3.3 3.3 -2.1 -0.9 -0.2 -3.0 -12.1 -11.7 -0.9 -13.1 -8.2 -11.0 -20.0 -20.0 -20.0 -20.0 -9.2 -11.2 -6.6 -17.3 -5.9 20.0 -2.8 -7.0 -3.6 -3.4 -5.3 -2.2 -20.0 -5.8 6.0 -0.0 12.1 -4.5 -13.3 -7.8 -18.5 GBP 7.7 5.8 6.6 3.1 14.6 0.2 14.4 0.2 8.8 19.3 16.1 20.0 10.1 17.4 17.2 -0.5 -0.7 -0.6 -0.7 16.7 11.8 20.0 8.6 20.0 -1.0 6.4 15.2 5.0 14.8 3.9 9.9 3.0 20.0 2.2 20.0 20.0 9.0 -20.0 9.0 -14.7 GOLD_micro 7.5 5.9 1.5 -2.7 3.3 -2.8 2.7 -1.4 0.1 11.2 11.9 12.1 11.7 11.7 10.0 -11.5 -13.2 -11.8 -12.2 11.9 12.8 12.6 13.9 13.3 -5.7 3.6 3.7 4.2 5.2 5.8 5.0 -12.7 1.3 15.5 20.0 17.8 10.6 -3.4 16.6 2.5 HEATOIL -7.4 -12.7 -11.7 -4.7 4.7 -2.9 -1.3 -0.2 -4.2 2.7 -11.9 -8.0 2.3 -14.6 -13.6 -5.6 6.7 -5.1 -1.1 -13.8 -9.7 -6.3 -2.9 -13.6 -20.0 -6.2 3.9 -5.2 -2.3 -1.9 -5.3 -6.8 -2.4 -9.7 -5.6 -9.9 -4.4 5.3 -14.9 2.2 JGB-SGX-mini 18.0 20.0 4.3 2.0 0.4 1.2 1.0 0.3 1.8 -4.4 -0.3 2.3 0.1 3.4 2.8 12.5 17.6 15.8 16.7 4.6 1.6 0.7 0.0 4.6 -7.0 1.6 -0.4 0.4 0.5 -0.4 1.8 20.0 -7.5 3.4 -1.7 -7.6 -6.2 -5.0 -4.9 9.7 JPY 17.4 20.0 20.0 1.1 5.0 0.1 4.9 0.1 3.0 6.7 -1.1 5.6 -5.6 6.3 5.1 -11.6 -15.5 -13.4 -14.4 8.6 1.8 7.7 -4.9 10.3 20.0 2.1 1.2 0.4 1.6 -1.1 2.4 -20.0 -9.5 13.2 18.6 3.7 -20.0 -16.8 -20.0 -16.9 LEANHOG 9.3 11.3 -20.0 -3.6 0.5 -3.0 -0.9 -2.0 -2.6 10.8 -6.7 8.5 -6.2 8.3 -4.8 20.0 12.5 20.0 20.0 -3.7 -9.0 9.6 -9.1 4.2 3.5 -1.4 5.2 -3.2 4.1 -3.0 1.8 20.0 18.3 10.0 10.1 -12.1 -0.1 -6.0 4.0 3.2 LIVECOW -20.0 -14.9 6.0 -5.7 0.8 -4.7 -1.4 -3.1 -4.1 -8.8 7.8 -15.0 6.7 -14.6 -0.9 20.0 12.2 19.6 17.0 -7.7 2.8 -19.6 6.1 -19.2 -11.7 -2.8 -2.5 1.1 -6.7 3.2 -6.7 20.0 -20.0 -20.0 -7.7 20.0 -1.4 20.0 4.0 20.0 LUMBER-new 11.6 17.6 -5.3 -3.3 0.5 -2.7 -0.8 -1.7 -2.4 -8.9 -7.0 -2.8 -8.2 5.6 -0.9 -17.8 -17.5 -17.4 -17.5 -0.8 -5.9 -4.6 -7.4 0.8 NaN -0.1 -6.0 -3.0 -2.4 -4.0 0.6 -20.0 -14.2 10.1 16.2 0.3 3.7 -3.1 8.4 -0.5 MILK 5.9 2.5 20.0 -4.2 0.6 -3.5 -1.0 -2.3 -3.1 10.0 12.0 11.9 3.7 11.5 12.5 15.1 -20.0 -5.3 -14.2 13.4 11.6 16.4 4.2 15.0 15.5 4.6 6.1 4.0 6.0 1.2 5.4 -20.0 20.0 20.0 20.0 20.0 -3.1 -20.0 1.6 -20.0 MXP -0.4 -8.0 -20.0 1.3 6.1 0.1 6.0 0.1 3.7 -4.4 -6.1 -2.7 -1.2 -5.3 -7.0 9.7 14.4 10.9 12.4 -8.9 -7.3 -6.8 -1.8 -7.6 -20.0 -3.1 -1.8 -2.6 -2.0 -0.6 -2.5 20.0 -20.0 -20.0 -14.9 -20.0 17.0 12.5 20.0 19.0 NASDAQ_micro 2.9 -20.0 -14.0 0.8 3.0 1.9 2.8 2.8 1.2 3.6 3.4 7.3 7.2 0.8 1.0 -7.0 -10.2 -8.8 -9.8 0.9 3.7 6.6 7.3 3.3 -16.1 0.3 0.6 1.8 1.6 3.7 0.6 -6.8 -3.6 5.2 -10.5 3.8 2.0 5.2 -7.0 2.7 NIKKEI -2.5 -20.0 -20.0 0.6 2.2 1.4 2.1 2.1 0.9 5.1 1.7 4.9 4.0 0.8 0.0 7.4 10.0 9.5 9.5 -1.9 -0.3 3.4 2.4 -0.0 -6.8 -1.7 0.2 -0.3 -0.5 1.0 -1.7 20.0 -8.9 -16.7 -15.7 -11.7 8.9 -0.9 5.2 -3.2 NZD 20.0 -3.9 2.6 2.0 9.2 0.1 9.1 0.2 5.6 11.7 -1.5 13.4 -2.3 9.9 3.4 -0.2 0.1 -0.2 -0.1 3.8 -0.0 20.0 -1.2 12.9 0.1 1.4 8.5 -0.1 8.8 -0.3 5.3 4.2 4.8 17.8 -6.9 2.9 8.6 -4.7 6.5 0.0 OAT 9.5 16.9 0.0 4.0 0.8 2.5 2.1 0.6 3.7 -0.9 -3.7 8.4 -2.5 12.4 10.5 0.2 3.4 0.6 1.6 8.0 1.7 4.9 -3.2 9.5 2.7 3.6 0.1 1.5 2.1 0.0 4.0 10.1 -2.6 -11.9 -6.8 -17.2 -16.2 -18.8 -2.4 -0.7 OATIES 1.9 -4.5 -19.3 -3.6 0.5 -3.0 -0.9 -2.0 -2.6 -5.2 -11.2 -5.5 -11.5 -8.6 -11.8 12.1 2.9 7.5 5.4 -10.4 -13.1 -2.1 -12.3 -5.2 -20.0 -3.4 -0.8 -3.8 -0.7 -3.1 -1.8 2.7 -1.1 1.9 -1.1 -3.6 9.3 -0.8 20.0 8.7 OJ 9.1 -2.1 -15.7 -5.4 0.8 -4.5 -1.3 -2.9 -3.9 8.2 14.1 13.3 15.8 10.2 12.3 10.3 11.7 9.4 9.6 15.0 17.5 20.0 20.0 19.5 -20.0 4.9 6.3 6.1 9.4 10.1 7.0 14.0 20.0 20.0 20.0 20.0 14.3 11.3 20.0 20.0 PALLAD 8.6 -2.2 4.4 -1.8 2.3 -2.0 1.9 -1.0 0.1 7.6 -5.6 7.9 -8.2 -0.8 -2.7 -1.8 -2.1 -1.8 -1.9 -1.5 -3.8 4.6 -7.7 1.7 14.6 -1.3 3.6 -2.7 2.7 -3.9 0.9 5.9 -1.0 0.1 6.4 3.5 -20.0 -20.0 -20.0 -20.0 PLAT 0.8 -11.6 -4.3 -2.4 3.0 -2.5 2.4 -1.3 0.1 8.3 -4.4 4.6 -4.1 -4.4 -7.5 -4.5 -4.4 -4.8 -4.8 -3.6 -2.0 3.4 -0.6 -0.9 5.5 -2.8 1.9 -2.2 1.3 -0.8 -1.0 1.3 -3.9 -5.5 -3.1 7.0 -7.8 -8.4 -5.0 1.8 REDWHEAT -3.6 -20.0 -19.7 -5.8 0.9 -4.8 -1.4 -3.2 -4.2 -17.4 -17.8 -18.1 -17.9 -19.1 -20.0 -11.4 -5.8 -10.7 -8.6 -20.0 -20.0 -20.0 -20.0 -20.0 -6.1 -6.3 -6.5 -5.3 -6.1 -4.5 -5.9 -16.2 -20.0 -8.0 -17.6 -8.0 -20.0 -20.0 -16.7 -20.0 RICE -4.0 -10.7 -7.2 -4.9 0.7 -4.1 -1.2 -2.7 -3.6 7.4 8.5 -4.5 11.6 -0.9 -1.9 -8.1 20.0 20.0 20.0 -3.2 1.3 -1.6 7.3 -3.9 -10.0 -0.1 1.1 1.7 -1.0 3.0 -1.6 20.0 4.2 2.0 6.8 19.7 -20.0 -14.8 -20.0 -14.1 ROBUSTA 4.1 4.7 11.8 -3.6 -0.9 -2.9 -1.5 -1.9 -2.8 10.2 11.3 10.9 11.4 9.9 10.6 20.0 20.0 20.0 20.0 15.2 18.6 20.0 20.0 16.4 -20.0 4.3 5.4 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 -9.2 6.3 -2.5 0.8 3.1 2.0 3.0 3.0 1.2 8.8 3.4 3.7 6.6 1.3 1.5 -5.0 -6.5 -5.9 -6.3 3.0 3.5 8.9 3.6 4.2 -0.7 2.0 4.0 2.4 2.8 2.3 1.7 -0.6 0.1 -4.8 13.9 2.9 3.9 -17.2 -4.6 -20.0 SHATZ 6.2 20.0 20.0 2.5 0.5 1.6 1.3 0.4 2.3 -2.5 -1.6 1.4 -4.5 5.7 6.6 -20.0 -20.0 -20.0 -20.0 9.2 3.8 2.0 -3.9 7.3 6.8 2.5 -0.2 1.2 0.5 -0.5 2.0 -20.0 -6.5 -4.1 -1.3 -2.5 -20.0 -17.1 -16.5 -10.9 SILVER-mini 2.4 -15.9 -1.9 -2.3 2.9 -2.4 2.3 -1.2 0.1 10.0 3.7 9.9 5.1 -0.8 -3.2 -5.5 -6.3 -5.7 -6.0 -0.7 2.7 10.0 5.8 3.0 2.3 -1.4 4.3 -0.2 3.6 1.7 0.7 -1.3 8.9 1.5 2.4 9.2 4.2 -4.6 7.8 6.8 SMI -4.8 -12.0 3.3 1.1 4.3 2.7 4.1 4.1 1.7 12.4 10.5 12.7 11.7 8.8 9.2 -2.7 0.3 -2.9 -1.7 5.9 9.1 14.1 10.8 8.5 9.6 5.0 4.0 5.4 5.4 5.4 5.3 9.5 -1.7 20.0 14.3 15.2 2.2 1.4 -8.8 -2.1 SOFR 8.1 20.0 20.0 3.5 0.7 2.2 1.8 0.5 3.2 10.5 7.5 9.4 2.8 10.8 11.5 0.9 -0.9 -0.4 -0.9 15.9 11.2 9.2 3.6 13.9 -4.2 4.2 1.7 3.3 2.4 1.7 3.6 4.1 3.2 2.9 1.4 8.0 9.6 -13.5 20.0 6.3 SOYBEAN -8.0 -18.0 -18.6 -2.7 0.4 -2.3 -0.7 -1.5 -2.0 4.8 -8.9 -5.6 -7.6 -8.0 -8.9 -12.0 2.6 -7.2 -3.3 -14.9 -13.6 -5.6 -10.2 -11.9 -16.1 -3.2 0.2 -2.9 -1.2 -2.1 -2.5 -4.5 -6.4 -11.6 -16.6 -11.7 -3.7 -20.0 1.3 -18.7 SOYMEAL -1.2 -6.1 -12.2 -2.7 0.4 -2.3 -0.7 -1.5 -2.0 3.0 -8.0 -4.9 -8.0 -5.7 -7.9 -3.7 5.0 0.3 2.0 -8.5 -8.9 -3.4 -7.8 -6.3 -17.5 -2.6 -0.1 -2.4 -1.1 -1.7 -2.0 1.6 -1.4 -2.8 -7.6 -0.6 -20.0 -20.0 -20.0 -20.0 SOYOIL -12.1 -16.3 -3.9 -2.6 0.4 -2.1 -0.6 -1.4 -1.9 6.3 -7.5 -2.5 -8.2 -7.3 -7.5 6.8 1.8 4.6 2.0 -9.2 -8.4 -0.5 -8.2 -7.5 -18.5 -2.7 2.4 -2.5 0.0 -2.1 -2.0 -1.6 -1.3 -5.8 -5.6 -3.7 -3.4 -9.7 5.5 -2.1 SP400 -2.5 1.8 -12.1 1.0 3.6 2.3 3.4 3.5 1.4 10.2 5.1 7.3 8.5 3.4 1.6 -5.6 -5.8 -5.7 -5.8 2.9 3.4 11.9 5.3 6.2 -8.6 2.3 5.5 3.0 4.5 3.8 2.7 0.6 1.1 0.8 10.4 -0.8 6.6 -7.6 -2.3 -20.0 SP500_micro 3.3 -20.0 -11.0 1.0 3.7 2.3 3.5 3.5 1.5 9.4 8.1 10.8 10.5 5.6 5.5 -8.9 -12.2 -11.2 -12.0 5.0 7.6 12.9 11.3 8.3 -14.4 1.6 2.8 3.5 3.6 5.5 2.0 -10.4 2.0 8.0 -3.2 6.4 8.2 3.2 -4.8 0.4 SUGAR11 -2.2 -4.4 -1.3 -4.5 0.7 -3.7 -1.1 -2.4 -3.2 11.2 -13.2 -0.6 -11.8 -10.1 -11.0 -4.4 6.4 -3.1 0.6 -8.7 -11.2 5.9 -10.2 -4.6 -20.0 -3.5 11.1 -5.0 3.1 -4.7 -1.7 2.3 9.1 5.8 -1.9 1.3 -5.3 16.5 -1.9 19.4 US10 9.7 20.0 20.0 2.8 0.6 1.7 1.4 0.4 2.5 6.2 4.9 6.2 -1.1 7.8 8.4 -7.1 -7.5 -7.4 -7.3 11.2 7.3 6.0 0.5 10.1 2.0 3.2 0.8 2.4 1.7 1.0 2.8 -7.0 0.8 3.8 0.7 4.8 4.7 -20.0 20.0 4.7 US10U 10.1 19.2 20.0 3.8 0.8 2.4 2.0 0.6 3.5 4.5 6.3 9.8 -1.9 11.3 11.8 -3.5 -2.9 -3.9 -3.7 14.0 8.6 8.1 -0.1 13.2 -0.2 4.4 1.0 3.3 2.4 1.3 4.0 0.0 2.4 3.4 -2.5 4.3 5.1 -17.6 20.0 14.2 US2 9.8 20.0 20.0 2.3 0.5 1.4 1.2 0.3 2.1 4.0 1.0 4.1 -4.0 5.7 6.3 -20.0 -20.0 -20.0 -20.0 9.6 5.1 4.7 -1.9 8.4 11.2 2.5 0.7 1.5 1.2 0.2 2.2 -20.0 -0.9 8.4 7.3 3.9 1.7 -20.0 5.9 -10.9 US20 12.1 16.9 19.8 2.7 0.6 1.7 1.4 0.4 2.5 4.2 4.7 7.0 0.7 7.9 8.2 -1.4 -0.9 -1.1 -0.9 9.8 6.2 6.2 0.7 9.6 -1.8 3.2 0.7 2.6 1.8 1.3 2.9 4.3 2.7 2.4 -3.6 3.8 5.2 -10.2 20.0 20.0 US30 11.6 14.1 18.4 3.2 0.7 2.0 1.7 0.5 2.9 2.5 4.3 7.5 -0.8 8.6 8.8 -4.5 -4.9 -4.4 -4.6 9.4 5.5 6.2 -0.7 9.6 -1.2 3.7 0.7 2.9 2.2 1.3 3.4 -2.6 2.2 -0.4 -7.8 1.1 2.1 -9.5 18.1 20.0 US5 8.6 20.0 20.0 2.7 0.6 1.7 1.4 0.4 2.5 5.6 4.2 5.3 -2.5 7.3 8.0 -13.3 -11.0 -12.3 -11.4 11.4 7.2 5.7 0.1 9.9 5.3 3.1 0.8 2.2 1.5 0.8 2.7 -13.5 -0.3 4.8 3.3 5.2 5.2 -20.0 16.4 -2.0 VIX 0.9 20.0 20.0 1.4 -0.2 0.2 0.4 -1.0 1.5 -4.8 -4.6 -5.8 -6.8 -4.2 -3.9 -9.5 -20.0 -20.0 -20.0 0.7 -0.6 -2.3 -3.1 -0.6 NaN 1.5 -0.3 0.2 0.5 -1.2 1.6 NaN NaN NaN NaN NaN -12.2 -20.0 NaN NaN WHEAT -0.3 -20.0 -20.0 -4.1 0.6 -3.4 -1.0 -2.2 -3.0 -12.3 -12.1 -12.3 -11.9 -13.2 -13.8 -18.0 -15.1 -17.1 -16.3 -17.9 -16.1 -15.6 -14.3 -15.0 2.4 -4.2 -5.6 -3.5 -4.5 -2.7 -4.0 -20.0 -20.0 -3.1 -12.9 -3.9 -18.3 -20.0 -16.3 -20.0 End of report for caleb_strategy_v3