******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240906_203906 produced at 2024-09-06 21:37:26.489153 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 MXP False False 0.01 -0.10 -0.15 0.0 0.51 -0.51 -0.10 -0.12 -17.90 60.0 -12 -14 caleb_strategy_v3 DX False False 0.03 0.00 -0.10 0.0 999.00 -999.00 0.00 0.00 -2.88 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.08 -0.07 0.0 0.31 -0.31 -0.08 -0.08 -1.84 8.0 -2 -2 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -1.69 24.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -34.10 59.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.09 -0.05 0.0 0.09 -0.09 -0.09 -0.09 -1.69 3.0 -3 -3 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.04 0.0 0.09 -0.09 -0.02 -0.02 -1.76 4.0 -1 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.04 0.0 0.06 -0.06 -0.03 -0.03 -16.97 26.0 -13 -13 caleb_strategy_v3 COPPER False False 0.04 0.00 -0.04 0.0 999.00 -999.00 0.00 0.00 -1.12 999999999.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.03 0.0 0.13 -0.13 -0.05 -0.05 -2.35 11.0 -4 -4 caleb_strategy_v3 CORN False False 0.01 -0.03 -0.03 0.0 0.08 -0.08 -0.03 -0.03 -5.00 12.0 -5 -5 caleb_strategy_v3 VIX False False 0.01 -0.03 -0.03 0.0 999.00 -999.00 -0.03 -0.02 -4.28 999999999.0 -4 -3 caleb_strategy_v3 CAC True False 0.03 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -1.22 12.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.03 0.0 0.87 -0.87 0.00 0.00 -0.74 19.0 0 0 caleb_strategy_v3 SP500_micro False True 0.01 -0.02 -0.02 0.0 0.00 -0.02 -0.02 -0.02 -1.78 48.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.02 0.0 0.15 -0.15 0.00 0.00 -6.94 51.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.02 0.0 0.08 -0.08 -0.01 -0.01 -1.84 8.0 -1 -1 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.02 0.0 0.16 -0.16 -0.02 -0.03 -0.96 10.0 -1 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.02 0.0 0.30 -0.30 0.00 0.00 -1.89 23.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.00 -0.02 0.0 0.30 -0.30 0.00 -0.02 -1.84 36.0 0 -2 caleb_strategy_v3 EUROSTX False True 0.02 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -1.04 20.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -1.76 9.0 -3 -3 caleb_strategy_v3 LUMBER-new False False 0.00 -0.01 -0.01 0.0 0.01 -0.01 -0.01 -0.01 -1.57 3.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.09 -0.01 0.0 0.12 -0.12 -0.09 -0.07 -0.81 7.0 -5 -4 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.96 9.0 0 0 caleb_strategy_v3 SP400 False True 0.10 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.12 2.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.15 4.0 0 0 caleb_strategy_v3 BTP False False 0.05 -0.09 -0.01 0.0 0.46 -0.46 -0.09 -0.09 -0.30 10.0 -2 -2 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.00 0.0 999.00 -999.00 0.00 0.00 -0.02 999999999.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.10 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.00 0.0 0.25 -0.25 -0.01 -0.04 -0.73 68.0 -2 -10 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.08 -0.08 0.00 0.00 -0.61 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 -0.27 4.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.18 -0.18 0.00 0.00 0.10 6.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.51 18.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.00 0.0 0.51 -0.51 0.00 0.00 -0.08 10.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.01 999999999.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.17 2.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.01 0.0 0.38 -0.38 0.00 0.02 0.73 23.0 0 1 caleb_strategy_v3 US30 False False 0.05 0.14 0.01 0.0 0.28 -0.28 0.14 0.14 0.25 6.0 3 3 caleb_strategy_v3 LIVECOW False False 0.02 0.02 0.01 0.0 0.41 -0.41 0.02 0.02 0.36 17.0 1 1 caleb_strategy_v3 DOW False False 0.01 0.01 0.01 0.0 0.46 -0.46 0.01 0.01 1.83 66.0 1 1 caleb_strategy_v3 COCOA False False 0.02 0.00 0.01 0.0 0.64 -0.64 0.00 0.00 0.38 26.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.01 0.0 0.12 -0.12 0.05 0.05 0.37 5.0 2 2 caleb_strategy_v3 JPY False False 0.03 0.03 0.01 0.0 0.52 -0.52 0.03 0.03 0.29 17.0 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 OAT False False 0.05 0.00 0.02 0.0 0.49 -0.49 0.00 0.00 0.39 10.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.02 0.0 0.07 -0.07 0.02 0.02 0.96 3.0 1 1 caleb_strategy_v3 AUD False False 0.02 0.09 0.02 0.0 0.44 -0.44 0.09 0.09 0.78 19.0 4 4 caleb_strategy_v3 CAD False False 0.03 0.00 0.03 0.0 0.74 -0.74 0.00 0.03 1.04 29.0 0 1 caleb_strategy_v3 NZD False False 0.02 0.00 0.03 0.0 0.45 -0.45 0.00 0.00 1.41 21.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.04 0.03 0.0 0.53 -0.53 0.04 0.04 0.76 13.0 1 1 caleb_strategy_v3 US10 False False 0.04 0.00 0.03 0.0 0.67 -0.67 0.00 0.00 0.78 17.0 0 0 caleb_strategy_v3 CHF False False 0.05 0.26 0.03 0.0 0.67 -0.67 0.26 0.26 0.55 13.0 5 5 caleb_strategy_v3 MILK False False 0.02 0.00 0.03 0.0 0.08 -0.08 0.00 0.00 1.67 5.0 0 0 caleb_strategy_v3 DAX False True 0.01 0.03 0.03 0.0 0.03 0.00 0.03 0.02 4.30 58.0 4 3 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.04 0.0 0.48 -0.48 0.00 0.00 4.74 56.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 0.04 0.0 0.00 0.00 0.00 0.00 0.55 13.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 0.04 0.0 0.00 0.00 0.00 0.00 0.89 9.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.08 0.04 0.0 0.95 -0.95 0.08 0.15 1.11 25.0 2 4 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.05 0.0 0.13 -0.13 0.05 0.04 5.21 13.0 5 4 caleb_strategy_v3 EUR False False 0.05 0.10 0.06 0.0 0.67 -0.67 0.10 0.05 1.22 14.0 2 1 caleb_strategy_v3 GBP False False 0.03 0.03 0.09 0.0 0.62 -0.62 0.03 0.03 3.05 22.0 1 1 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.14 0.31 0.0 0.56 -0.56 0.14 0.14 8.97 16.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.85 0.0 0.94 -0.94 0.00 0.00 9.12 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.54 0.0 0.00 0.00 0.00 0.00 18.41 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.1 Shocked risk 17.2 Sum abs risk 33.5 Leverage 4.45 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2904549.89, 'annual_cash_vol_target': 726137.4725, 'daily_cash_vol_target': 45383.59203125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6681 0.6511 10.4170 BITCOIN 1740.7265 53625.0000 3.2461 51.9378 BOBL 0.2327 119.5400 0.1947 3.1145 BTP 0.4797 119.5900 0.4011 6.4182 BUND 0.4724 134.2500 0.3518 5.6296 BUXL 1.1869 136.1800 0.8716 13.9453 CAC 60.9233 7350.5000 0.8288 13.2613 CAD 0.0026 0.7394 0.3569 5.7111 CANOLA 10.2116 581.1000 1.7573 28.1166 CHF 0.0056 1.1998 0.4663 7.4602 COCOA 195.4663 7163.0000 2.7288 43.6613 COFFEE 4.5396 235.9000 1.9244 30.7903 COPPER 0.0539 4.0705 1.3248 21.1962 CORN 5.2910 406.2500 1.3024 20.8385 COTTON2 1.0418 67.8300 1.5358 24.5736 CRUDE_W 1.2062 66.8100 1.8055 28.8878 DAX 149.1281 18297.0000 0.8150 13.0407 DOW 279.6805 40422.0000 0.6919 11.0704 DX 0.3995 100.8200 0.3963 6.3406 EUR 0.0046 1.1134 0.4150 6.6395 EURIBOR-ICE 0.0402 97.9600 0.0410 0.6563 EUROSTX 46.0643 4732.0000 0.9735 15.5754 FEEDCOW 2.0211 224.6500 0.8997 14.3948 GASOIL 11.1352 649.2500 1.7151 27.4414 GASOLINE 0.0353 1.8658 1.8906 30.2495 GAS_US_mini 0.0805 2.6050 3.0920 49.4721 GBP 0.0061 1.3140 0.4656 7.4502 GOLD_micro 19.1954 2500.8000 0.7676 12.2811 HEATOIL 0.0390 2.1535 1.8119 28.9910 JGB-SGX-mini 0.3023 144.4600 0.2093 3.3483 JPY 0.0001 0.0071 0.7331 11.7292 LEANHOG 1.1330 71.3000 1.5891 25.4255 LIVECOW 1.3877 174.8000 0.7939 12.7021 LUMBER-new 9.0261 517.0000 1.7459 27.9337 MILK 0.2874 22.2500 1.2919 20.6705 MXP 0.0005 0.0492 1.0240 16.3844 NASDAQ_micro 221.9042 18697.7500 1.1868 18.9887 NIKKEI 735.2721 35020.0000 2.0996 33.5932 NZD 0.0041 0.6176 0.6651 10.6422 OAT 0.4323 127.0200 0.3404 5.4458 OATIES 5.8191 350.7500 1.6590 26.5448 OJ 8.5620 483.2000 1.7719 28.3509 PALLAD 23.6098 903.5000 2.6131 41.8104 PLAT 15.7271 921.5000 1.7067 27.3070 REDWHEAT 9.4236 577.2500 1.6325 26.1201 RICE 0.1585 15.2550 1.0393 16.6287 ROBUSTA 82.5146 4810.0000 1.7155 27.4477 RUSSELL 27.5153 2099.4000 1.3106 20.9700 SHATZ 0.0786 106.9200 0.0736 1.1769 SILVER-mini 0.5231 28.3750 1.8434 29.4946 SMI 95.2008 11897.0000 0.8002 12.8033 SOFR 0.0574 97.0800 0.0591 0.9457 SOYBEAN 12.7613 1004.5000 1.2704 20.3266 SOYMEAL 4.6999 324.1000 1.4501 23.2021 SOYOIL 0.7859 39.8000 1.9747 31.5952 SP400 29.5345 2947.3000 1.0021 16.0334 SP500_micro 45.0950 5423.5000 0.8315 13.3036 SUGAR11 0.3157 19.2400 1.6410 26.2565 US10 0.3808 114.9844 0.3312 5.2990 US10U 0.5254 119.2500 0.4406 7.0492 US2 0.1150 104.2969 0.1103 1.7648 US20 0.7803 125.8438 0.6201 9.9209 US30 1.1780 135.7188 0.8680 13.8881 US5 0.2514 110.3672 0.2278 3.6446 VIX 0.9246 19.9000 4.6463 74.3415 WHEAT 8.9179 567.0000 1.5728 25.1653 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 668.10 0.65 434.98 1.00 434.98 45383.59 104.34 2.89 30.16 BITCOIN 53.62 3.25 174.07 1.00 174.07 45383.59 260.72 -12.08 -314.93 BOBL 1195.40 0.19 232.69 1.11 258.44 45383.59 175.61 -4.14 -72.76 BTP 1195.90 0.40 479.72 1.11 532.80 45383.59 85.18 -1.04 -8.88 BUND 1342.50 0.35 472.35 1.11 524.62 45383.59 86.51 -0.93 -8.01 BUXL 1361.80 0.87 1186.92 1.11 1318.25 45383.59 34.43 -4.41 -15.19 CAC 735.05 0.83 609.23 1.11 676.64 45383.59 67.07 -5.35 -35.88 CAD 739.40 0.36 263.92 1.00 263.92 45383.59 171.96 2.33 40.09 CANOLA 116.22 1.76 204.23 0.74 151.18 45383.59 300.20 -9.50 -285.29 CHF 1499.81 0.47 699.30 1.00 699.30 45383.59 64.90 3.29 21.34 COCOA 716.30 2.73 1954.66 1.00 1954.66 45383.59 23.22 7.59 17.61 COFFEE 884.62 1.92 1702.37 1.00 1702.37 45383.59 26.66 3.18 8.48 COPPER 1017.62 1.32 1348.11 1.00 1348.11 45383.59 33.66 -3.07 -10.34 CORN 203.12 1.30 264.55 1.00 264.55 45383.59 171.55 -11.99 -205.65 COTTON2 339.15 1.54 520.88 1.00 520.88 45383.59 87.13 -12.62 -109.94 CRUDE_W 668.10 1.81 1206.25 1.00 1206.25 45383.59 37.62 0.90 3.38 DAX 182.97 0.82 149.13 1.11 165.63 45383.59 274.01 4.60 126.14 DOW 202.11 0.69 139.84 1.00 139.84 45383.59 324.54 2.43 78.81 DX 1008.20 0.40 399.54 1.00 399.54 45383.59 113.59 -9.76 -110.83 EUR 1391.69 0.41 577.51 1.00 577.51 45383.59 78.59 5.98 46.99 EURIBOR-ICE 2449.00 0.04 100.45 1.11 111.57 45383.59 406.77 6.58 267.46 EUROSTX 473.20 0.97 460.64 1.11 511.61 45383.59 88.71 -3.42 -30.35 FEEDCOW 1123.25 0.90 1010.56 1.00 1010.56 45383.59 44.91 -12.38 -55.61 GASOIL 649.25 1.72 1113.52 1.00 1113.52 45383.59 40.76 -9.94 -40.50 GASOLINE 783.64 1.89 1481.54 1.00 1481.54 45383.59 30.63 -0.12 -0.36 GAS_US_mini 65.12 3.09 201.37 1.00 201.37 45383.59 225.38 -6.95 -156.70 GBP 821.25 0.47 382.41 1.00 382.41 45383.59 118.68 9.89 117.40 GOLD_micro 250.08 0.77 191.95 1.00 191.95 45383.59 236.43 5.87 138.86 HEATOIL 904.47 1.81 1638.84 1.00 1638.84 45383.59 27.69 -14.10 -39.04 JGB-SGX-mini 144460.00 0.21 30230.69 0.01 210.86 45383.59 215.23 3.85 82.85 JPY 890.06 0.73 652.48 1.00 652.48 45383.59 69.56 1.63 11.36 LEANHOG 285.20 1.59 453.21 1.00 453.21 45383.59 100.14 8.55 85.66 LIVECOW 699.20 0.79 555.08 1.00 555.08 45383.59 81.76 1.32 10.77 LUMBER-new 142.18 1.75 248.22 1.00 248.22 45383.59 182.84 -4.02 -73.50 MILK 445.00 1.29 574.90 1.00 574.90 45383.59 78.94 9.86 77.81 MXP 246.15 1.02 252.06 1.00 252.06 45383.59 180.05 -6.77 -121.98 NASDAQ_micro 373.96 1.19 443.81 1.00 443.81 45383.59 102.26 -7.96 -81.39 NIKKEI 35020.00 2.10 73527.21 0.01 512.85 45383.59 88.49 -1.92 -17.01 NZD 617.55 0.67 410.76 1.00 410.76 45383.59 110.49 4.90 54.19 OAT 1270.20 0.34 432.33 1.11 480.16 45383.59 94.52 1.21 11.42 OATIES 175.38 1.66 290.96 1.00 290.96 45383.59 155.98 0.45 7.06 OJ 724.80 1.77 1284.30 1.00 1284.30 45383.59 35.34 12.74 45.02 PALLAD 903.50 2.61 2360.98 1.00 2360.98 45383.59 19.22 -1.45 -2.79 PLAT 460.75 1.71 786.36 1.00 786.36 45383.59 57.71 -4.86 -28.03 REDWHEAT 288.62 1.63 471.18 1.00 471.18 45383.59 96.32 -14.37 -138.43 RICE 305.10 1.04 317.09 1.00 317.09 45383.59 143.13 -0.79 -11.27 ROBUSTA 481.00 1.72 825.15 1.00 825.15 45383.59 55.00 11.36 62.46 RUSSELL 104.97 1.31 137.58 1.00 137.58 45383.59 329.88 -0.66 -21.93 SHATZ 1069.20 0.07 78.65 1.11 87.35 45383.59 519.57 -3.20 -166.46 SILVER-mini 709.38 1.84 1307.67 1.00 1307.67 45383.59 34.71 0.10 0.35 SMI 1189.70 0.80 952.01 1.18 1126.89 45383.59 40.27 6.45 25.98 SOFR 2427.00 0.06 143.45 1.00 143.45 45383.59 316.36 9.58 302.94 SOYBEAN 502.25 1.27 638.06 1.00 638.06 45383.59 71.13 -12.29 -87.40 SOYMEAL 324.10 1.45 469.99 1.00 469.99 45383.59 96.56 -10.65 -102.86 SOYOIL 238.80 1.97 471.56 1.00 471.56 45383.59 96.24 -6.78 -65.25 SP400 2947.30 1.00 2953.45 1.00 2953.45 45383.59 15.37 -2.36 -3.62 SP500_micro 271.18 0.83 225.48 1.00 225.48 45383.59 201.28 -3.81 -76.73 SUGAR11 215.49 1.64 353.62 1.00 353.62 45383.59 128.34 -1.86 -23.84 US10 1149.84 0.33 380.82 1.00 380.82 45383.59 119.17 5.20 61.94 US10U 1192.50 0.44 525.39 1.00 525.39 45383.59 86.38 6.90 59.62 US2 2085.94 0.11 230.08 1.00 230.08 45383.59 197.25 2.22 43.78 US20 1258.44 0.62 780.30 1.00 780.30 45383.59 58.16 7.03 40.90 US30 1357.19 0.87 1178.05 1.00 1178.05 45383.59 38.52 5.04 19.40 US5 1103.67 0.23 251.40 1.00 251.40 45383.59 180.52 4.87 87.85 VIX 199.00 4.65 924.62 1.00 924.62 45383.59 49.08 -3.53 -17.34 WHEAT 283.50 1.57 445.90 1.00 445.90 45383.59 101.78 -13.02 -132.54 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 30.163 0.010 2.5 0.783 BITCOIN -314.934 0.043 2.5 -34.103 BOBL -72.759 0.004 2.5 -0.738 BTP -8.882 0.014 2.5 -0.303 BUND -8.014 0.004 2.5 -0.081 BUXL -15.194 0.004 2.5 -0.154 CAC -35.875 0.014 2.5 -1.224 CAD 40.094 0.010 2.5 1.040 CANOLA -285.293 0.010 2.5 -6.941 CHF 21.343 0.010 2.5 0.554 COCOA 17.612 0.009 2.5 0.377 COFFEE 8.477 0.005 2.5 0.099 COPPER -10.345 0.043 2.5 -1.120 CORN -205.648 0.010 2.5 -5.003 COTTON2 -109.936 0.009 2.5 -2.355 CRUDE_W 3.382 0.043 2.5 0.366 DAX 126.143 0.014 2.5 4.302 DOW 78.815 0.009 2.5 1.832 DX -110.831 0.010 2.5 -2.876 EUR 46.986 0.010 2.5 1.219 EURIBOR-ICE 267.459 0.014 2.5 9.123 EUROSTX -30.350 0.014 2.5 -1.035 FEEDCOW -55.612 0.013 2.5 -1.843 GASOIL -40.501 0.017 2.5 -1.756 GASOLINE -0.361 0.017 2.5 -0.016 GAS_US_mini -156.702 0.043 2.5 -16.969 GBP 117.398 0.010 2.5 3.046 GOLD_micro 138.865 0.014 2.5 4.736 HEATOIL -39.037 0.017 2.5 -1.692 JGB-SGX-mini 82.849 0.043 2.5 8.971 JPY 11.358 0.010 2.5 0.295 LEANHOG 85.661 0.024 2.5 5.206 LIVECOW 10.768 0.013 2.5 0.357 LUMBER-new -73.505 0.009 2.5 -1.574 MILK 77.806 0.009 2.5 1.666 MXP -121.981 0.059 2.5 -17.903 NASDAQ_micro -81.395 0.009 2.5 -1.892 NIKKEI -17.010 0.043 2.5 -1.842 NZD 54.193 0.010 2.5 1.406 OAT 11.421 0.014 2.5 0.390 OATIES 7.055 0.010 2.5 0.172 OJ 45.022 0.009 2.5 0.964 PALLAD -2.792 0.014 2.5 -0.095 PLAT -28.026 0.014 2.5 -0.956 REDWHEAT -138.433 0.005 2.5 -1.836 RICE -11.270 0.010 2.5 -0.274 ROBUSTA 62.455 0.005 2.5 0.729 RUSSELL -21.933 0.013 2.5 -0.727 SHATZ -166.463 0.004 2.5 -1.688 SILVER-mini 0.352 0.014 2.5 0.012 SMI 25.977 0.014 2.5 0.886 SOFR 302.940 0.024 2.5 18.411 SOYBEAN -87.400 0.004 2.5 -0.813 SOYMEAL -102.863 0.004 2.5 -0.957 SOYOIL -65.247 0.004 2.5 -0.607 SP400 -3.619 0.013 2.5 -0.120 SP500_micro -76.731 0.009 2.5 -1.783 SUGAR11 -23.842 0.009 2.5 -0.507 US10 61.940 0.005 2.5 0.785 US10U 59.617 0.005 2.5 0.755 US2 43.784 0.005 2.5 0.555 US20 40.899 0.005 2.5 0.518 US30 19.403 0.005 2.5 0.246 US5 87.854 0.005 2.5 1.113 VIX -17.345 0.099 2.5 -4.281 WHEAT -132.536 0.005 2.5 -1.758 ===================== Position diags ===================== AUD 2.71 BITCOIN 28.23 BOBL 1.78 BTP 2.91 BUND 0.88 BUXL 0.35 CAC 2.29 CAD 4.46 CANOLA 7.30 CHF 1.68 COCOA 0.50 COFFEE 0.31 COPPER 3.65 CORN 4.17 COTTON2 1.87 CRUDE_W 4.07 DAX 9.35 DOW 7.54 DX 2.95 EUR 2.04 EURIBOR-ICE 13.87 EUROSTX 3.03 FEEDCOW 1.49 GASOIL 1.77 GASOLINE 1.33 GAS_US_mini 24.41 GBP 3.08 GOLD_micro 8.06 HEATOIL 1.20 JGB-SGX-mini 23.31 JPY 1.80 LEANHOG 6.09 LIVECOW 2.71 LUMBER-new 3.92 MILK 1.69 MXP 26.43 NASDAQ_micro 2.38 NIKKEI 9.58 NZD 2.87 OAT 3.22 OATIES 3.79 OJ 0.76 PALLAD 0.66 PLAT 1.97 REDWHEAT 1.28 RICE 3.48 ROBUSTA 0.64 RUSSELL 10.93 SHATZ 5.27 SILVER-mini 1.18 SMI 1.37 SOFR 19.23 SOYBEAN 0.66 SOYMEAL 0.90 SOYOIL 0.90 SP400 0.51 SP500_micro 4.68 SUGAR11 2.73 US10 1.51 US10U 1.09 US2 2.50 US20 0.74 US30 0.49 US5 2.29 VIX 12.12 WHEAT 1.35 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.8 0.5 1.1 4.0 4 BITCOIN -34.1 -36.9 -31.3 0.0 0 BOBL -0.7 -0.9 -0.6 0.0 0 BTP -0.3 -0.6 -0.0 -2.0 -2 BUND -0.1 -0.2 0.0 0.0 0 BUXL -0.2 -0.2 -0.1 0.0 0 CAC -1.2 -1.5 -1.0 0.0 0 CAD 1.0 0.6 1.5 0.0 0 CANOLA -6.9 -7.7 -6.2 0.0 0 CHF 0.6 0.4 0.7 5.0 5 COCOA 0.4 0.3 0.4 0.0 0 COFFEE 0.1 0.1 0.1 0.0 0 COPPER -1.1 -1.5 -0.8 0.0 0 CORN -5.0 -5.4 -4.6 -5.0 -5 COTTON2 -2.4 -2.5 -2.2 -4.0 -4 CRUDE_W 0.4 -0.0 0.8 2.0 2 DAX 4.3 3.4 5.2 4.0 4 DOW 1.8 1.1 2.6 1.0 1 DX -2.9 -3.2 -2.6 0.0 0 EUR 1.2 1.0 1.4 2.0 2 EURIBOR-ICE 9.1 7.7 10.5 0.0 0 EUROSTX -1.0 -1.3 -0.7 0.0 0 FEEDCOW -1.8 -2.0 -1.7 -2.0 -2 GASOIL -1.8 -1.9 -1.6 -1.0 -1 GASOLINE -0.0 -0.1 0.1 0.0 0 GAS_US_mini -17.0 -19.4 -14.5 -13.0 -13 GBP 3.0 2.7 3.4 1.0 1 GOLD_micro 4.7 3.9 5.5 0.0 0 HEATOIL -1.7 -1.8 -1.6 -3.0 -3 JGB-SGX-mini 9.0 6.6 11.3 4.0 4 JPY 0.3 0.1 0.5 1.0 1 LEANHOG 5.2 4.6 5.8 5.0 5 LIVECOW 0.4 0.1 0.6 1.0 1 LUMBER-new -1.6 -2.0 -1.2 -2.0 -2 MILK 1.7 1.5 1.8 NaN 0 MXP -17.9 -20.5 -15.3 -12.0 -12 NASDAQ_micro -1.9 -2.1 -1.7 0.0 0 NIKKEI -1.8 -2.8 -0.9 0.0 0 NZD 1.4 1.1 1.7 0.0 0 OAT 0.4 0.1 0.7 0.0 0 OATIES 0.2 -0.2 0.6 NaN 0 OJ 1.0 0.9 1.0 1.0 1 PALLAD -0.1 -0.2 -0.0 0.0 0 PLAT -1.0 -1.2 -0.8 -1.0 -1 REDWHEAT -1.8 -2.0 -1.7 -1.0 -1 RICE -0.3 -0.6 0.1 NaN 0 ROBUSTA 0.7 0.7 0.8 0.0 0 RUSSELL -0.7 -1.8 0.4 -2.0 -2 SHATZ -1.7 -2.2 -1.2 NaN 0 SILVER-mini 0.0 -0.1 0.1 0.0 0 SMI 0.9 0.7 1.0 0.0 0 SOFR 18.4 16.5 20.3 NaN 0 SOYBEAN -0.8 -0.9 -0.7 -5.0 -5 SOYMEAL -1.0 -1.0 -0.9 0.0 0 SOYOIL -0.6 -0.7 -0.5 0.0 0 SP400 -0.1 -0.2 -0.1 0.0 0 SP500_micro -1.8 -2.3 -1.3 -2.0 -2 SUGAR11 -0.5 -0.8 -0.2 0.0 0 US10 0.8 0.6 0.9 0.0 0 US10U 0.8 0.6 0.9 1.0 1 US2 0.6 0.3 0.8 NaN 0 US20 0.5 0.4 0.6 0.0 0 US30 0.2 0.2 0.3 3.0 3 US5 1.1 0.9 1.3 2.0 2 VIX -4.3 -5.5 -3.1 -4.0 -4 WHEAT -1.8 -1.9 -1.6 -3.0 -3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.0 0.1 0.0 -0.0 0.0 0.0 0.0 0.1 -0.1 0.2 0.1 -0.0 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 -0.0 0.0 0.1 0.3 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.0 -0.3 0.1 -0.4 0.0 0.3 -0.2 0.4 -0.0 BITCOIN -0.1 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 0.2 -0.1 -2.7 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 -0.1 -0.5 -0.6 0.1 0.3 -0.2 -0.2 -0.1 0.0 BOBL -0.2 0.6 0.5 0.0 0.0 0.1 0.0 0.0 0.0 0.1 -0.0 0.0 -0.1 0.1 0.1 -0.2 -0.3 -0.4 -0.4 0.1 0.1 0.1 -0.0 0.1 0.6 0.0 0.0 0.1 0.0 0.0 0.0 -1.1 0.1 -0.2 -0.1 -0.2 -0.7 -0.7 -0.2 -0.3 BTP -0.1 0.3 0.2 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.4 0.1 0.6 0.2 0.2 0.1 0.1 0.0 0.0 0.1 0.1 0.1 0.3 0.1 -2.7 0.1 0.1 0.2 0.0 0.2 0.0 0.5 -0.1 -0.0 -0.4 -0.6 -0.7 -0.5 -0.0 0.2 BUND -0.2 0.5 0.4 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 -0.0 -0.0 0.1 0.1 0.0 0.0 0.1 0.2 0.0 0.0 0.1 0.0 0.0 0.0 0.2 -0.1 -0.2 -0.2 -0.3 -0.7 -0.7 -0.2 -0.2 BUXL -0.2 0.4 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 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.0 -0.0 0.0 -0.4 0.0 0.0 0.1 0.0 0.0 0.0 0.0 -0.2 -0.3 -0.4 -0.5 -0.7 -0.7 -0.3 -0.2 CAC 0.5 -0.2 -0.6 0.0 -0.1 0.1 -0.0 0.2 0.0 -0.2 -0.2 0.0 0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -1.2 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 0.3 -0.2 -0.2 -0.2 -0.6 0.4 0.2 0.1 0.1 CAD 0.6 0.3 0.1 0.1 -0.0 0.1 0.0 0.0 0.1 -0.1 -0.1 0.1 -0.5 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.2 0.2 -0.2 0.1 -0.0 0.0 0.0 -0.1 0.1 -0.1 0.1 0.3 -0.0 -0.1 0.4 -0.2 0.1 -0.1 CANOLA 0.2 -0.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -0.2 -0.2 -0.2 -0.3 -0.1 -0.1 -0.0 -0.2 -0.0 -1.9 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -1.1 0.3 0.2 0.2 -0.1 -0.0 -0.4 0.3 -0.2 CHF 0.4 0.6 0.6 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 -0.1 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.1 0.0 0.2 0.5 0.1 0.0 0.1 0.0 0.0 0.0 -1.1 0.3 -0.1 0.6 0.6 -0.0 -0.4 -0.3 -0.4 COCOA 0.3 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.4 0.4 0.4 0.4 0.0 0.0 -0.0 0.2 -0.0 -2.7 0.0 -0.0 0.1 0.0 0.4 0.0 1.1 0.0 0.3 0.3 0.3 0.7 0.3 0.7 0.4 COFFEE 0.1 -0.1 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.4 -0.0 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 -0.1 0.5 0.0 -2.7 0.1 -0.1 0.2 -0.0 0.3 0.0 0.4 0.0 0.6 0.6 0.6 -0.1 -0.3 0.2 -0.1 COPPER 0.3 -0.6 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 -1.9 -0.0 -0.0 -0.0 0.0 0.0 -0.0 0.3 0.1 0.2 -0.3 -0.1 0.5 0.2 0.7 0.6 CORN 0.4 -0.1 -0.6 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.3 0.1 -0.5 -0.0 -0.1 -0.4 -0.3 -0.4 -0.4 -0.1 -0.2 0.1 -0.5 0.0 -1.2 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -1.1 0.5 0.3 0.0 -0.4 -0.1 -0.2 -0.0 -0.0 COTTON2 0.6 0.2 -0.5 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.4 0.0 -0.5 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 -0.0 -0.4 -0.0 -2.7 -0.0 -0.1 -0.2 -0.0 -0.1 -0.0 -0.6 -0.1 0.5 0.2 0.0 -0.3 -0.4 0.0 -0.1 CRUDE_W -0.4 -0.5 -0.3 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 0.3 -0.2 -0.1 0.2 0.3 0.3 0.3 -0.2 -0.1 -0.2 0.0 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.6 0.3 0.4 0.0 -0.1 0.2 0.5 0.2 0.7 DAX 0.6 -0.1 -0.6 0.0 -0.1 0.1 -0.0 0.2 0.0 -0.1 0.2 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.0 -0.0 0.3 0.1 1.4 0.0 -0.1 0.1 -0.0 0.2 0.0 -0.4 0.1 0.3 0.1 -0.6 0.4 0.2 0.0 0.1 DOW 0.4 0.0 -0.0 0.0 -0.1 0.1 -0.0 0.2 0.0 -0.1 0.2 0.0 0.4 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 -0.0 0.3 0.1 -1.4 0.0 -0.0 0.1 0.0 0.2 0.0 -0.4 0.4 0.4 0.6 0.1 0.3 0.0 -0.1 -0.1 DX -0.3 -0.6 -0.4 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 0.2 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.2 -0.1 -0.1 -0.0 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.8 0.2 -0.6 -0.6 -0.6 -0.1 0.2 -0.2 0.3 EUR 0.3 0.4 0.3 0.0 -0.0 0.0 0.0 0.0 0.1 -0.1 0.2 0.0 -0.2 0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.0 0.1 0.1 2.7 0.1 0.0 0.1 0.0 0.1 0.1 -0.4 -0.3 -0.0 0.5 0.4 0.1 -0.6 -0.1 -0.7 EURIBOR-ICE 0.0 0.6 0.5 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.0 -0.1 -0.0 -0.0 0.1 0.1 0.1 0.1 0.1 1.7 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 0.2 0.1 0.1 -0.0 -0.7 -0.7 -0.0 0.1 EUROSTX 0.5 -0.3 -0.6 0.0 -0.1 0.1 -0.0 0.2 0.0 -0.1 0.1 0.0 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 -0.1 0.0 -0.1 0.2 -0.0 0.2 -0.2 -0.1 -0.3 -0.6 0.2 0.0 -0.5 -0.1 FEEDCOW -0.2 -0.6 -0.6 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.3 -0.1 -0.3 -0.2 -0.2 0.3 -0.4 0.1 -0.1 -0.2 -0.2 -0.2 -0.3 -0.2 -0.9 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -1.1 -0.0 -0.4 -0.6 -0.5 0.1 0.7 0.4 0.7 GASOIL -0.4 -0.5 -0.4 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.3 -0.2 0.2 -0.2 -0.2 0.0 0.2 0.0 0.1 -0.2 -0.1 -0.2 -0.1 -0.2 0.5 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 -0.2 -0.3 -0.0 -0.2 -0.4 -0.3 -0.7 GASOLINE -0.5 -0.5 -0.3 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 0.2 -0.2 -0.2 0.4 0.4 0.4 0.4 -0.2 -0.1 -0.2 0.0 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 1.1 0.4 0.2 0.2 -0.0 0.5 0.7 0.7 0.7 GAS_US_mini 0.0 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.4 -0.1 -0.6 -0.1 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.0 -0.5 -0.1 2.7 -0.1 0.0 -0.1 -0.0 -0.3 -0.1 -1.1 0.5 0.4 0.4 0.3 -0.2 -0.5 -0.3 -0.6 GBP 0.6 0.2 0.3 0.1 -0.0 0.0 0.0 0.0 0.1 -0.1 0.5 0.1 0.4 0.2 0.2 -0.0 -0.0 -0.0 -0.0 0.2 0.2 0.1 0.3 0.2 -0.2 0.1 0.0 0.2 0.0 0.2 0.1 0.2 0.0 0.6 0.4 0.6 0.3 -0.7 0.3 -0.6 GOLD_micro 0.2 0.2 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.4 0.1 0.5 0.1 0.1 -0.2 -0.3 -0.2 -0.2 0.1 0.2 0.0 0.5 0.1 -1.0 0.0 -0.0 0.1 0.0 0.2 0.0 -0.7 0.2 0.4 0.6 0.6 0.4 -0.1 0.5 0.1 HEATOIL -0.4 -0.5 -0.3 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.4 -0.2 0.0 -0.2 -0.2 -0.1 0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.4 0.3 0.2 -0.1 -0.2 -0.2 0.2 -0.5 0.1 JGB-SGX-mini -0.0 0.6 0.3 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.0 -0.0 0.0 0.0 0.0 0.2 0.3 0.3 0.3 0.0 0.0 0.0 0.0 0.0 -1.0 0.0 0.0 0.0 0.0 -0.0 0.0 1.1 0.0 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 0.2 JPY 0.2 0.6 0.6 0.0 -0.0 0.0 0.0 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 -0.2 0.6 0.2 -0.7 -0.6 -0.7 -0.6 LEANHOG 0.6 0.5 -0.4 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.2 0.1 -0.3 0.1 -0.0 0.4 0.3 0.4 0.4 0.0 -0.1 0.1 -0.3 0.1 0.6 0.0 -0.0 -0.1 0.0 -0.1 0.0 1.1 0.3 0.6 0.6 -0.2 0.0 -0.2 0.1 0.1 LIVECOW -0.4 -0.6 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 0.2 -0.1 -0.1 0.3 0.2 0.3 0.3 -0.1 0.0 -0.1 0.1 -0.1 -1.7 -0.0 -0.1 0.0 -0.1 0.1 -0.1 1.1 0.3 -0.2 -0.3 0.6 -0.0 0.7 0.2 0.7 LUMBER-new -0.1 0.5 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.2 -0.1 -0.3 0.0 -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 0.3 0.2 0.6 0.1 0.1 -0.1 0.3 0.0 MILK 0.5 0.3 0.6 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 0.3 0.1 0.2 0.1 0.1 0.4 -0.4 0.1 -0.2 0.2 0.2 0.1 0.2 0.2 2.0 0.1 0.0 0.1 0.0 0.1 0.1 -1.1 0.5 0.6 0.6 0.6 -0.1 -0.7 0.1 -0.7 MXP -0.3 -0.6 -0.6 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 -0.3 -0.6 -0.6 -0.6 0.5 0.4 0.7 0.6 NASDAQ_micro 0.1 -0.6 -0.5 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.1 -0.0 0.3 -0.0 -0.0 -0.1 -0.2 -0.2 -0.2 -0.0 0.0 -0.1 0.2 -0.1 -2.2 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.3 0.0 0.0 -0.4 0.1 0.0 0.1 -0.3 0.0 NIKKEI 0.2 -0.6 -0.6 0.0 -0.0 0.0 -0.0 0.1 0.0 -0.1 0.0 -0.0 0.1 0.0 0.0 0.1 0.2 0.2 0.2 -0.0 -0.0 -0.1 0.1 -0.0 -0.9 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.1 -0.3 -0.6 -0.4 0.3 0.0 0.2 -0.1 NZD 0.6 0.2 0.1 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 0.1 0.1 -0.0 0.1 0.1 0.0 0.0 -0.0 -0.0 0.1 0.0 0.0 0.0 0.1 0.0 0.0 -0.0 0.0 0.0 0.0 0.0 0.2 0.0 0.3 -0.0 0.1 0.2 -0.2 0.1 -0.0 OAT -0.0 0.5 0.1 0.0 0.0 0.1 0.0 0.0 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 0.1 0.1 0.0 0.0 0.1 0.0 0.1 -0.1 0.1 0.4 0.0 0.1 0.1 0.0 0.0 0.0 0.5 -0.0 -0.1 -0.3 -0.6 -0.5 -0.6 -0.0 0.0 OATIES 0.6 0.2 -0.5 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.3 0.1 -0.5 0.1 -0.1 0.1 0.1 0.1 0.1 0.0 -0.1 0.2 -0.3 0.2 -2.7 0.0 0.0 -0.1 0.1 -0.1 0.1 0.2 0.5 0.6 0.6 -0.2 0.4 -0.0 0.7 0.3 OJ 0.4 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 0.4 0.1 0.5 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 0.0 0.2 0.1 0.3 0.1 0.8 0.3 0.6 0.6 0.6 0.4 0.4 0.7 0.7 PALLAD 0.2 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 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.0 2.0 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.3 0.1 0.0 0.0 0.2 -0.7 -0.7 -0.7 -0.7 PLAT -0.0 -0.4 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.7 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 -0.2 -0.2 0.0 -0.2 -0.3 -0.2 0.0 REDWHEAT 0.4 -0.2 -0.6 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.5 0.1 -0.7 0.0 -0.2 -0.2 -0.1 -0.2 -0.2 -0.1 -0.2 0.2 -0.5 0.0 -0.8 -0.1 0.0 -0.2 0.0 -0.2 0.0 -0.8 0.5 0.4 0.0 -0.4 -0.7 -0.7 -0.7 -0.7 RICE -0.0 -0.1 -0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.2 0.1 0.4 0.0 -0.0 -0.2 0.4 0.3 0.4 -0.0 0.0 0.0 0.2 0.0 -1.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.1 0.3 0.0 0.4 0.6 -0.7 -0.6 -0.7 -0.6 ROBUSTA 0.6 -0.0 0.2 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.0 0.3 0.1 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 0.1 0.5 0.2 -2.7 0.0 0.0 0.2 0.0 0.3 0.0 1.1 0.3 0.6 0.6 0.6 0.2 -0.2 0.4 0.1 RUSSELL 0.1 -0.1 -0.0 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.1 -0.0 0.3 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 0.1 -0.0 -0.1 0.0 -0.0 0.1 0.0 0.1 0.0 -0.0 0.2 0.0 0.6 0.1 0.1 -0.5 -0.2 -0.7 SHATZ -0.1 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.1 -0.1 0.1 1.0 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 0.2 -0.0 0.1 0.0 -0.7 -0.6 -0.5 -0.4 SILVER-mini 0.3 -0.5 -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 0.3 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.1 -0.0 0.1 -0.1 0.2 0.2 -0.1 0.2 0.3 SMI 0.3 -0.4 -0.0 0.0 -0.1 0.1 -0.0 0.2 0.0 -0.1 0.3 -0.0 0.5 0.1 0.1 -0.1 0.0 -0.1 -0.0 0.1 0.1 -0.1 0.3 -0.0 1.4 0.0 -0.1 0.2 -0.1 0.2 0.0 0.5 -0.3 -0.1 0.6 0.5 0.0 0.0 -0.4 -0.1 SOFR 0.2 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.3 0.1 0.2 0.2 0.2 0.0 -0.0 0.0 -0.0 0.2 0.2 0.1 0.2 0.2 -0.7 0.1 0.0 0.1 0.0 0.1 0.0 0.2 0.1 0.2 0.1 0.3 0.3 -0.4 0.7 0.2 SOYBEAN 0.5 -0.3 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 0.1 -0.3 -0.0 -0.1 -0.3 0.0 -0.2 -0.1 -0.1 -0.1 0.1 -0.3 -0.0 -2.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.3 0.4 0.1 -0.3 -0.4 -0.1 -0.7 0.1 -0.5 SOYMEAL 0.4 0.1 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.1 -0.3 0.0 -0.1 -0.1 0.1 -0.0 0.0 -0.0 -0.1 0.1 -0.2 0.0 -2.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.5 0.2 0.1 -0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.4 -0.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 0.0 -0.3 -0.0 -0.1 0.1 0.0 0.1 0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -2.4 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.3 0.2 -0.2 -0.0 -0.1 -0.3 0.2 -0.1 SP400 0.2 -0.1 -0.3 0.0 -0.1 0.1 -0.0 0.2 0.0 -0.1 0.1 -0.0 0.3 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 0.2 -0.0 -1.3 0.0 -0.0 0.1 -0.0 0.2 0.0 0.0 0.1 0.0 0.5 -0.0 0.2 -0.2 -0.2 -0.7 SP500_micro 0.3 -0.5 -0.4 0.0 -0.1 0.1 -0.0 0.2 0.0 -0.1 0.2 -0.0 0.4 0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.1 0.4 -0.0 -2.2 0.0 -0.0 0.1 -0.0 0.3 0.0 -0.5 0.1 0.3 -0.1 0.3 0.2 0.1 -0.2 -0.0 SUGAR11 0.6 0.2 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.3 0.1 -0.4 0.0 -0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.1 0.1 -0.2 0.1 -2.7 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.1 0.5 0.6 0.1 0.4 -0.3 0.5 -0.2 0.6 US10 0.1 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.2 0.1 0.0 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.1 0.1 0.3 0.0 0.0 0.1 0.0 0.1 0.0 -0.4 -0.0 0.0 0.0 0.2 0.1 -0.7 0.7 0.2 US10U 0.1 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.3 0.1 -0.0 0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.0 0.1 -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 -0.6 0.7 0.5 US2 0.1 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 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.1 -0.0 0.1 1.5 0.0 0.0 0.1 0.0 0.0 0.0 -1.1 0.2 0.1 0.3 0.2 0.0 -0.7 0.2 -0.4 US20 0.1 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 0.1 0.1 0.1 0.1 0.1 -0.3 0.0 0.0 0.1 0.0 0.1 0.0 0.2 -0.1 -0.0 -0.1 0.1 0.2 -0.3 0.7 0.7 US30 0.1 0.5 0.5 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.2 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 0.1 0.0 -0.2 -0.1 -0.0 -0.2 -0.0 0.1 -0.3 0.7 0.7 US5 0.1 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.2 0.1 -0.0 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.0 0.1 0.8 0.0 0.0 0.1 0.0 0.0 0.0 -0.8 0.1 0.0 0.1 0.2 0.2 -0.7 0.6 -0.0 VIX -0.1 1.0 1.0 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.2 0.0 -0.4 -0.1 -0.1 0.1 -0.6 -0.6 -0.6 0.0 -0.0 0.1 -0.1 0.0 NaN 0.0 0.0 0.0 0.0 -0.1 0.0 NaN NaN NaN NaN NaN -0.6 -1.1 NaN NaN WHEAT 0.4 -0.3 -0.6 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.3 0.1 -0.5 0.0 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.2 0.1 -0.4 0.0 0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.1 0.5 0.2 -0.1 -0.3 -0.7 -0.7 -0.6 -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 16.2 -1.5 4.4 3.7 -0.6 1.5 2.5 0.7 4.8 -13.6 6.7 5.2 -0.6 10.5 9.4 -1.3 -2.5 -1.8 -2.1 6.4 3.9 -2.8 1.0 6.2 2.4 2.9 -6.7 1.7 -1.0 0.7 3.1 -0.0 -12.8 3.5 -12.4 0.0 10.3 -5.0 13.2 -0.6 BITCOIN -3.5 -11.1 -20.0 -3.1 -2.6 -3.8 -1.3 -2.3 -1.1 -14.6 0.1 -11.5 6.8 -9.2 -9.2 -4.9 -6.8 -5.7 -6.4 -8.9 -2.8 -17.5 6.8 -11.8 -20.0 -4.1 -9.8 -0.5 -6.9 5.2 -5.1 -2.1 -20.0 -20.0 4.3 8.5 -6.4 -4.6 -3.4 0.6 BOBL -5.2 19.2 15.8 3.2 2.9 2.6 1.9 0.9 2.3 10.1 -0.1 4.2 -3.8 7.7 8.8 -11.4 -15.9 -20.0 -19.2 8.3 5.1 6.5 -1.3 6.2 4.6 3.1 4.5 2.3 2.5 0.5 2.3 -20.0 2.3 -5.2 -2.0 -5.8 -20.0 -20.0 -6.8 -7.8 BTP -2.9 9.8 5.0 5.5 4.9 4.3 3.2 1.5 4.0 15.7 14.0 10.6 15.4 16.0 17.6 2.8 3.8 2.0 2.4 11.5 11.4 7.4 10.8 8.2 -20.0 5.8 6.4 5.8 4.1 5.7 4.2 10.1 -6.2 -0.6 -13.0 -17.7 -20.0 -15.2 -1.4 5.6 BUND -5.9 15.3 12.5 3.5 3.1 2.8 2.1 1.0 2.6 11.1 1.7 2.2 -0.4 7.4 9.2 -6.9 0.4 -0.6 -0.2 7.4 5.5 4.3 0.2 4.6 1.2 3.2 4.0 2.8 1.8 1.3 1.9 4.7 -2.6 -6.8 -5.8 -8.5 -20.0 -20.0 -5.6 -6.6 BUXL -6.2 12.6 8.8 4.1 3.6 3.2 2.4 1.1 2.9 12.2 0.4 0.9 -0.2 5.5 7.9 -0.5 -2.2 -1.3 -2.1 5.2 3.6 2.3 -1.6 2.6 -3.0 2.8 3.4 2.7 1.0 1.2 1.2 0.9 -7.0 -10.3 -11.2 -14.7 -20.0 -20.0 -8.1 -7.0 CAC 16.8 -6.0 -20.0 2.2 -11.9 4.5 -4.1 6.8 0.5 -17.8 -8.5 0.8 2.5 3.3 -9.1 -4.9 -2.2 -5.0 -3.3 -8.7 -10.8 -14.0 -1.2 -3.1 -9.2 -3.4 -14.1 -3.4 -5.9 0.7 -1.6 6.2 -7.6 -6.3 -7.3 -20.0 12.4 5.5 2.6 3.3 CAD 20.0 10.7 3.7 5.1 -0.8 2.0 3.4 1.0 6.5 -15.9 -4.7 11.2 -14.8 17.1 13.8 -4.6 -3.6 -4.6 -4.2 13.0 1.9 7.5 -5.9 18.2 -1.5 5.4 -3.8 1.1 3.3 -1.6 7.6 -2.6 4.6 10.1 -1.1 -2.3 10.7 -6.2 3.8 -2.8 CANOLA 7.0 -9.8 -3.1 -2.1 -3.7 -1.8 -2.7 -1.3 -2.0 -5.6 -5.0 -2.2 -6.4 -4.6 -5.1 -11.6 -10.5 -12.2 -12.6 -5.0 -5.2 -3.5 -5.6 -3.4 -13.9 -1.3 -0.7 -2.3 0.9 -3.1 0.4 -20.0 12.3 7.2 5.3 -2.2 -0.9 -11.1 8.3 -5.3 CHF 12.8 20.0 20.0 2.9 -0.4 1.1 1.9 0.6 3.7 5.5 3.3 10.0 -3.2 11.9 12.0 -13.9 -16.3 -15.3 -15.9 17.9 10.2 11.0 1.7 16.7 3.8 4.7 2.1 2.9 2.5 0.8 4.1 -20.0 10.5 -2.4 20.0 20.0 -0.7 -10.7 -8.8 -12.0 COCOA 8.0 -0.1 2.1 -1.9 -3.4 -1.7 -2.5 -1.2 -1.8 -3.4 2.2 -2.4 3.2 0.8 -0.9 20.0 20.0 20.0 20.0 1.5 4.3 -3.8 8.9 -0.0 -20.0 1.7 -0.3 4.7 0.0 9.9 1.1 20.0 1.7 9.3 8.5 8.2 20.0 8.7 20.0 13.0 COFFEE 4.5 -4.0 6.2 -5.0 -8.9 -4.4 -6.6 -3.1 -4.8 -15.3 14.9 -1.1 15.2 5.2 12.9 4.7 6.2 4.4 5.4 11.1 15.9 -6.5 16.8 4.2 -20.0 4.7 -8.3 7.4 -3.3 9.5 2.0 6.9 1.7 20.0 19.3 20.0 -3.0 -9.7 4.7 -3.3 COPPER 7.9 -17.7 -12.1 -2.4 -2.0 -2.9 -1.0 -1.7 -0.8 -9.9 -4.0 -5.3 -0.7 -6.4 -9.1 -4.8 -2.9 -3.0 -2.5 -8.0 -4.1 -8.0 2.3 -6.5 -14.2 -2.1 -0.6 -1.2 0.5 1.1 -0.2 4.7 5.8 5.3 -10.6 -2.4 15.8 5.9 20.0 18.1 CORN 12.9 -4.5 -17.6 -3.7 -6.7 -3.3 -5.0 -2.3 -3.6 7.7 -12.2 8.4 -13.6 -0.9 -11.3 -20.0 -16.1 -20.0 -20.0 -11.3 -17.6 9.4 -18.7 0.6 -8.9 -4.0 0.6 -5.4 1.3 -5.5 -0.9 -20.0 20.0 9.8 0.2 -12.9 -2.8 -6.6 -0.3 -0.6 COTTON2 17.3 6.6 -14.7 -4.2 -7.6 -3.7 -5.6 -2.6 -4.1 -9.8 -15.1 0.8 -13.9 -3.1 -11.1 -11.1 -3.1 -9.6 -6.3 -8.0 -15.5 -3.3 -15.9 -1.5 -20.0 -3.6 -7.5 -5.6 -3.6 -3.9 -1.5 -11.0 -5.2 14.0 5.1 0.4 -10.2 -10.9 0.1 -4.0 CRUDE_W -11.9 -16.4 -8.6 -5.1 -8.4 -3.2 -7.4 -0.8 -6.2 -16.0 -6.2 -15.9 7.5 -15.3 -12.6 11.3 12.6 12.7 12.9 -13.9 -6.5 -20.0 0.6 -20.0 -1.7 -5.5 -7.0 -4.2 -6.6 -0.9 -5.7 10.8 13.8 11.1 1.5 -3.6 6.0 15.9 6.8 20.0 DAX 20.0 -4.1 -18.9 1.9 -10.6 4.0 -3.7 6.0 0.4 -15.2 7.3 7.1 13.2 11.2 5.7 -8.1 -10.4 -8.6 -9.6 4.8 4.4 -3.2 10.0 7.5 10.5 1.2 -10.8 2.2 -2.2 5.6 2.0 -6.9 5.6 9.0 2.4 -18.0 11.9 4.6 1.5 2.4 DOW 12.8 1.4 -0.7 1.5 -8.5 3.2 -2.9 4.8 0.4 -12.5 8.0 4.2 12.0 8.1 8.2 -9.2 -10.9 -9.8 -10.5 8.9 9.0 -3.9 10.6 6.2 -10.4 4.1 -2.5 4.2 1.8 5.2 4.0 -8.0 16.6 11.2 20.0 2.7 9.6 0.8 -2.2 -4.3 DX -10.6 -20.0 -13.4 3.2 -0.5 1.2 2.1 0.6 4.0 1.4 -5.1 -6.1 5.5 -10.7 -12.7 5.8 6.9 6.5 6.8 -16.6 -9.7 -7.0 -1.5 -14.6 -20.0 -4.9 -1.2 -2.9 -2.1 -0.5 -4.3 15.8 9.4 -20.0 -20.0 -20.0 -3.3 5.7 -4.6 8.3 EUR 8.4 13.3 8.3 4.3 -0.7 1.7 2.8 0.8 5.5 -7.7 7.8 3.7 -4.3 11.4 15.0 -6.3 -7.2 -7.0 -7.1 15.4 9.7 2.8 2.5 12.0 20.0 6.2 0.0 4.3 1.3 2.0 4.9 -8.2 -12.9 -1.4 14.7 11.0 1.6 -18.2 -3.3 -20.0 EURIBOR-ICE 0.6 20.0 16.7 2.8 2.5 2.2 1.6 0.7 2.0 8.9 3.4 7.2 3.1 9.5 9.5 1.6 -3.4 -0.7 -2.1 12.2 9.0 10.0 4.3 10.5 13.0 3.2 4.0 2.4 2.9 1.3 2.9 -0.1 7.5 3.3 4.1 -1.2 -20.0 -20.0 -1.4 1.9 EUROSTX 15.0 -9.1 -20.0 1.8 -10.1 3.8 -3.5 5.7 0.4 -15.1 4.2 0.6 11.2 2.5 -0.6 -4.3 -3.0 -4.6 -4.2 -2.3 -0.5 -11.8 7.5 -1.2 -2.3 -1.3 -14.2 0.5 -5.8 4.9 -1.2 4.4 -7.7 -3.4 -8.8 -20.0 5.2 1.0 -13.8 -3.2 FEEDCOW -7.7 -20.0 -17.6 -4.7 -8.4 -4.1 -6.2 -2.9 -4.5 -13.2 -11.7 -11.7 -9.6 -14.8 -14.6 13.6 -17.7 5.1 -5.8 -20.0 -20.0 -20.0 -11.6 -20.0 -6.6 -5.6 -4.8 -4.1 -4.5 -1.9 -5.3 -20.0 -1.5 -12.7 -20.0 -16.7 4.1 20.0 12.0 20.0 GASOIL -12.4 -16.7 -12.4 -5.2 -8.5 -3.3 -7.6 -0.8 -6.3 -16.5 -12.2 -17.6 5.7 -17.9 -16.5 2.5 9.1 1.6 3.7 -18.7 -11.7 -20.0 -2.0 -20.0 3.9 -6.2 -9.9 -4.0 -8.7 -1.1 -7.4 0.1 -8.0 -5.9 -8.1 -1.3 -4.8 -11.9 -9.8 -20.0 GASOLINE -15.2 -15.1 -10.0 -5.1 -8.4 -3.2 -7.4 -0.8 -6.2 -16.2 -5.7 -16.8 5.9 -16.1 -14.0 20.0 20.0 20.0 20.0 -15.5 -7.4 -20.0 1.3 -20.0 -20.0 -5.9 -6.6 -3.9 -6.7 0.0 -6.5 20.0 15.7 5.8 5.6 -0.5 14.6 19.8 20.0 20.0 GAS_US_mini 1.0 -6.9 -6.4 -5.2 -8.6 -3.3 -7.6 -0.8 -6.3 12.2 -16.3 -9.7 -17.5 -11.5 -16.4 -20.0 -20.0 -20.0 -20.0 -13.5 -16.2 -2.6 -20.0 -8.8 20.0 -5.0 1.1 -5.3 -2.9 -7.1 -4.7 -20.0 20.0 13.1 12.2 10.6 -6.5 -15.1 -7.6 -19.3 GBP 18.7 5.6 8.3 4.7 -0.7 1.8 3.1 0.9 6.0 -12.3 17.4 13.6 12.3 15.6 17.3 -0.1 -0.7 -0.5 -0.6 20.0 16.4 11.9 11.3 20.0 -1.4 7.3 0.3 5.8 4.1 4.3 7.2 2.9 1.4 20.0 13.2 20.0 8.4 -20.0 9.7 -16.6 GOLD_micro 7.3 5.2 7.9 -3.0 -2.5 -3.7 -1.2 -2.2 -1.0 -9.7 14.4 6.0 13.9 11.4 12.4 -12.1 -13.2 -12.0 -12.3 13.5 16.1 1.6 17.5 9.2 -7.2 4.5 -0.7 5.3 1.9 6.9 4.3 -12.6 8.7 11.3 20.0 20.0 11.9 -2.9 15.1 2.7 HEATOIL -11.9 -14.3 -9.7 -5.1 -8.3 -3.2 -7.4 -0.8 -6.1 -15.7 -13.4 -16.4 0.2 -16.7 -15.4 -5.7 5.9 -5.2 -1.7 -17.9 -12.1 -20.0 -4.7 -20.0 -20.0 -6.2 -5.6 -5.2 -6.0 -2.2 -6.2 -7.3 13.2 5.3 -2.6 -6.1 -6.6 5.0 -16.3 2.5 JGB-SGX-mini -1.1 20.0 8.8 2.0 1.8 1.6 1.2 0.6 1.5 6.3 1.0 -0.5 0.6 3.0 3.2 12.2 16.9 14.4 15.5 4.6 2.5 2.4 0.5 3.5 -7.5 1.7 1.3 0.7 0.9 -0.3 1.4 20.0 1.6 -3.3 0.6 -5.7 -7.4 -5.1 -6.9 7.0 JPY 5.6 20.0 20.0 1.7 -0.3 0.7 1.1 0.3 2.2 7.4 1.6 6.7 -4.8 7.7 6.9 -11.0 -15.2 -12.7 -13.9 9.5 3.8 7.7 -3.9 9.2 20.0 2.4 2.1 0.9 1.7 -0.9 2.2 -20.0 8.6 -5.1 20.0 6.4 -20.0 -18.8 -20.0 -19.1 LEANHOG 20.0 16.2 -13.6 -4.3 -7.7 -3.8 -5.7 -2.7 -4.2 -5.3 -6.8 10.4 -7.1 12.8 -0.9 20.0 17.4 20.0 20.0 2.7 -7.8 8.9 -11.1 12.1 4.2 0.5 -2.5 -2.8 1.5 -3.5 3.4 20.0 13.6 20.0 20.0 -4.9 0.2 -5.3 4.4 3.5 LIVECOW -12.0 -19.9 3.5 -5.3 -9.6 -4.7 -7.1 -3.3 -5.2 -10.5 4.9 -5.6 6.2 -11.7 -5.5 15.2 11.7 16.0 15.4 -7.6 0.7 -9.0 5.1 -10.8 -12.7 -3.7 -7.4 0.1 -6.1 2.9 -6.0 20.0 10.9 -6.6 -10.0 20.0 -1.3 20.0 5.3 20.0 LUMBER-new -3.0 13.9 -3.6 -3.2 -5.7 -2.8 -4.2 -1.9 -3.1 2.2 -7.3 -4.6 -8.3 3.1 -1.5 -18.5 -17.6 -17.9 -17.7 -2.0 -6.0 -0.9 -7.7 -1.0 NaN -0.4 1.7 -3.4 0.8 -4.7 0.5 -20.0 9.8 5.2 15.7 3.9 3.3 -2.2 7.9 0.4 MILK 14.6 7.9 20.0 -3.9 -7.0 -3.4 -5.2 -2.4 -3.8 0.4 12.8 10.2 5.8 12.3 13.0 20.0 -17.6 3.7 -8.2 18.2 15.2 12.4 6.5 18.2 15.3 5.0 0.0 4.2 2.9 1.5 4.8 -20.0 20.0 20.0 20.0 20.0 -2.1 -20.0 3.7 -20.0 MXP -9.3 -17.5 -20.0 1.9 -0.3 0.7 1.2 0.4 2.4 -8.0 -7.4 -8.8 -3.0 -8.9 -8.7 9.6 14.1 10.6 12.0 -12.4 -9.8 -9.7 -3.5 -12.0 -20.0 -3.3 -1.6 -2.8 -2.3 -0.9 -3.0 20.0 -12.2 -20.0 -20.0 -20.0 15.3 12.3 20.0 18.9 NASDAQ_micro 3.3 -20.0 -16.4 1.1 -5.9 2.3 -2.1 3.4 0.3 -9.2 2.3 -4.5 7.2 -1.8 -0.8 -7.0 -10.0 -8.4 -9.4 -1.7 2.8 -11.3 7.5 -5.5 -16.8 0.1 -3.1 2.0 -1.3 4.6 -0.5 -6.4 0.3 0.4 -13.1 3.7 1.2 4.3 -8.3 1.4 NIKKEI 7.6 -20.0 -20.0 0.7 -4.1 1.5 -1.4 2.3 0.2 -5.9 1.5 -0.5 3.5 0.8 0.6 4.1 9.4 7.6 8.5 -1.7 -0.4 -5.6 2.3 -2.1 -6.5 -1.8 -2.6 -0.7 -1.6 0.9 -1.6 20.0 -3.7 -8.6 -20.0 -11.0 9.4 0.2 7.2 -1.5 NZD 20.0 7.5 2.9 2.9 -0.5 1.1 1.9 0.6 3.8 -8.7 3.9 9.0 -0.4 11.4 8.9 0.0 0.1 -0.1 -0.0 8.6 3.5 5.2 0.4 11.6 0.0 3.0 -1.8 1.1 1.9 0.2 4.2 4.0 0.6 7.8 -1.4 2.4 6.2 -4.9 3.9 -0.1 OAT -1.1 15.6 2.8 3.9 3.5 3.1 2.3 1.1 2.8 12.3 -2.3 6.6 -2.1 10.9 11.1 2.9 3.5 1.6 2.0 6.6 2.5 6.9 -2.4 6.4 3.1 3.4 6.3 1.9 3.6 0.4 3.1 9.6 -1.7 -2.1 -8.2 -17.4 -14.6 -17.2 -0.0 0.5 OATIES 20.0 7.2 -16.8 -4.0 -7.1 -3.5 -5.3 -2.4 -3.9 10.6 -10.8 12.5 -13.0 8.2 -8.5 5.2 2.7 5.8 4.8 1.8 -9.2 20.0 -12.4 18.5 -20.0 0.1 4.9 -2.5 8.1 -2.9 5.1 2.9 20.0 20.0 19.5 -4.7 12.1 -0.2 20.0 9.2 OJ 13.1 -1.6 -2.2 -4.6 -8.3 -4.1 -6.1 -2.8 -4.5 10.3 13.8 12.2 14.8 10.6 12.0 12.1 11.8 10.4 10.1 16.5 17.3 20.0 20.0 19.2 -20.0 5.3 5.2 5.8 6.9 8.9 6.4 15.2 12.7 20.0 20.0 20.0 12.4 12.4 20.0 20.0 PALLAD 7.4 2.5 7.5 -1.8 -1.5 -2.2 -0.7 -1.3 -0.6 -7.7 -4.7 -2.4 -8.0 1.2 -1.5 -1.7 -2.0 -1.8 -1.9 -0.9 -3.1 -2.9 -7.3 -0.1 14.7 -0.6 -2.8 -2.5 -0.2 -4.2 0.9 6.1 4.1 1.5 1.0 6.3 -20.0 -20.0 -20.0 -20.0 PLAT -1.0 -11.2 -7.0 -2.3 -1.9 -2.8 -0.9 -1.7 -0.8 -6.2 -6.0 -7.2 -4.6 -8.6 -9.3 -4.5 -4.4 -4.8 -4.8 -6.1 -3.4 -7.6 -1.3 -7.3 5.0 -3.2 -0.3 -2.6 -1.3 -1.1 -2.2 1.5 -0.6 -5.6 -7.1 1.3 -5.3 -7.8 -6.1 1.4 REDWHEAT 13.6 -6.5 -20.0 -5.6 -10.1 -5.0 -7.4 -3.5 -5.5 10.8 -17.4 12.5 -18.6 2.3 -17.4 -8.4 -5.9 -9.7 -8.4 -13.5 -19.3 17.2 -20.0 3.4 -5.7 -4.7 2.2 -5.8 4.3 -5.7 0.0 -15.4 20.0 11.4 0.2 -12.5 -20.0 -20.0 -19.9 -20.0 RICE -0.1 -2.0 -11.2 -4.9 -8.7 -4.3 -6.4 -3.0 -4.7 6.7 8.7 6.2 11.9 2.6 -2.8 -9.2 20.0 16.7 20.0 -2.1 1.0 4.3 6.9 0.1 -10.7 -0.4 -0.6 1.5 -0.2 3.1 -1.1 20.0 11.8 0.6 13.4 18.2 -20.0 -18.4 -20.0 -18.0 ROBUSTA 18.3 -1.1 6.1 -3.3 -6.0 -2.9 -4.4 -2.0 -3.2 1.5 11.7 8.9 11.6 10.0 11.3 20.0 20.0 20.0 20.0 18.7 19.6 11.2 20.0 17.5 -20.0 4.5 0.1 5.8 1.9 7.5 3.6 20.0 10.6 20.0 20.0 20.0 4.7 -5.0 12.4 2.2 RUSSELL 3.7 -2.8 -0.4 1.1 -6.3 2.4 -2.2 3.6 0.3 -9.8 3.3 -1.6 7.2 -0.4 1.0 -5.1 -6.5 -5.8 -6.2 2.3 4.0 -7.6 4.3 -1.2 -0.7 2.5 -2.1 3.0 0.0 3.0 1.5 -0.4 6.9 0.0 17.1 4.5 2.4 -15.7 -6.9 -20.0 SHATZ -2.4 20.0 20.0 2.6 2.3 2.0 1.5 0.7 1.9 8.3 -0.1 5.1 -3.8 7.0 7.5 -20.0 -20.0 -20.0 -20.0 9.6 5.3 8.6 -2.9 8.2 7.3 2.8 4.0 1.7 2.5 -0.2 2.4 -20.0 7.7 -1.4 3.2 0.2 -20.0 -18.3 -16.0 -10.8 SILVER-mini 8.0 -15.2 -2.4 -2.2 -1.8 -2.7 -0.9 -1.6 -0.8 -8.5 3.3 -3.3 4.7 -3.1 -3.8 -6.7 -6.4 -6.2 -6.2 -1.8 1.9 -6.8 5.2 -3.4 2.2 -1.1 -2.4 -0.2 -0.7 1.8 -0.2 -1.5 -1.0 4.0 -3.8 7.2 5.0 -3.8 5.9 8.1 SMI 7.8 -13.0 -0.6 1.6 -8.7 3.3 -3.0 4.9 0.4 -13.0 11.7 -2.6 13.0 7.3 9.3 -2.9 0.0 -2.9 -1.9 4.9 9.1 -13.4 11.2 -0.5 10.2 4.3 -10.9 5.8 -4.6 6.1 1.2 9.1 -12.4 -3.6 18.4 14.7 1.0 1.1 -10.7 -2.8 SOFR 5.8 20.0 20.0 3.9 3.5 3.1 2.3 1.1 2.9 13.1 11.0 13.8 5.6 14.1 14.4 1.9 -0.7 0.3 -0.5 20.0 16.1 15.1 6.6 17.7 -5.3 5.1 2.6 4.4 2.9 2.5 4.0 3.7 3.7 5.3 3.1 9.2 9.1 -13.2 20.0 7.3 SOYBEAN 14.6 -10.5 -20.0 -2.7 -4.8 -2.4 -3.5 -1.7 -2.6 3.9 -8.6 5.8 -8.1 -3.0 -7.8 -13.1 1.5 -8.9 -4.7 -10.6 -13.4 5.7 -11.3 -1.7 -16.5 -3.0 0.1 -3.4 0.7 -2.7 -1.0 -6.0 16.5 2.0 -8.7 -12.9 -1.7 -20.0 3.8 -15.2 SOYMEAL 12.8 2.8 -12.2 -2.9 -5.2 -2.6 -3.9 -1.8 -2.8 6.4 -8.3 7.3 -9.1 2.2 -7.1 -5.2 4.2 -1.2 0.9 -4.5 -8.7 10.8 -9.1 3.8 -19.6 -2.1 1.6 -2.9 2.4 -2.4 0.4 0.9 20.0 5.7 4.1 -2.6 -20.0 -20.0 -20.0 -20.0 SOYOIL 11.9 -10.8 -0.9 -2.3 -4.2 -2.1 -3.1 -1.4 -2.3 -5.2 -6.8 0.7 -8.0 -4.6 -6.1 3.2 1.8 3.7 1.9 -5.5 -6.8 -1.0 -7.4 -2.4 -17.9 -1.9 -0.3 -2.5 1.0 -2.5 -0.1 -0.9 13.0 7.2 -6.1 -0.0 -2.7 -9.3 5.9 -2.7 SP400 5.4 -2.7 -8.2 1.4 -7.4 2.8 -2.6 4.2 0.3 -11.5 5.3 -3.2 9.4 0.7 1.6 -6.2 -5.9 -5.9 -5.9 1.7 3.8 -10.8 6.3 -2.1 -9.4 2.8 -4.0 3.8 -0.7 4.8 1.8 0.4 4.2 0.6 15.5 -0.2 5.6 -7.1 -4.6 -20.0 SP500_micro 8.9 -16.5 -12.2 1.4 -7.7 2.9 -2.7 4.4 0.3 -12.0 8.8 -0.2 11.8 4.2 5.4 -9.1 -12.0 -10.8 -11.7 3.9 8.4 -10.2 13.0 -0.7 -16.2 2.3 -3.8 4.4 -0.2 7.1 1.5 -10.0 5.7 7.9 -2.8 7.9 6.3 2.8 -6.6 -0.6 SUGAR11 17.1 5.0 3.7 -4.1 -7.3 -3.6 -5.4 -2.5 -4.0 -7.8 -10.7 6.4 -11.3 3.8 -3.0 -4.0 5.7 -3.3 0.0 -0.4 -7.4 5.6 -8.9 6.4 -20.0 -0.2 -2.2 -3.3 2.0 -4.0 2.6 1.9 20.0 20.0 4.2 12.2 -8.4 14.5 -5.1 17.7 US10 2.8 20.0 20.0 3.0 2.7 2.4 1.7 0.8 2.2 9.8 7.3 9.1 0.5 9.6 10.1 -6.4 -7.4 -7.0 -7.1 13.0 9.7 9.7 2.0 11.0 2.0 3.6 1.6 3.1 1.7 1.5 2.6 -7.6 -1.3 0.3 1.1 4.7 3.9 -20.0 20.0 5.4 US10U 3.0 19.3 20.0 4.1 3.7 3.3 2.4 1.1 3.0 13.4 9.7 12.3 -0.1 13.5 14.0 -3.8 -3.0 -3.9 -3.8 16.0 11.7 12.2 1.6 13.8 -0.6 4.9 2.0 4.3 2.0 2.0 3.5 -1.0 -3.6 -0.1 -2.0 3.6 4.4 -17.9 20.0 15.0 US2 3.7 20.0 20.0 2.3 2.1 1.8 1.4 0.6 1.7 7.7 3.1 7.3 -2.5 7.5 7.5 -20.0 -20.0 -20.0 -20.0 11.1 7.0 10.6 -0.6 10.6 11.6 2.8 2.1 2.0 2.0 0.5 2.5 -20.0 6.8 2.2 8.6 5.6 0.8 -20.0 5.3 -11.2 US20 4.1 18.0 18.7 3.0 2.7 2.4 1.7 0.8 2.2 9.7 7.1 8.9 2.0 9.4 9.8 -0.6 -0.8 -0.8 -0.8 11.0 8.4 8.2 1.9 9.5 -2.4 3.5 1.2 3.4 1.2 1.9 2.3 3.5 -4.4 -0.4 -3.3 2.7 4.9 -10.2 20.0 20.0 US30 4.4 15.9 16.6 3.6 3.2 2.8 2.1 1.0 2.6 11.6 7.4 10.5 0.3 10.9 11.1 -5.5 -5.0 -4.8 -4.8 11.0 7.7 9.3 0.4 10.1 -1.7 4.1 1.6 3.8 1.6 1.9 2.9 -3.7 -4.8 -0.9 -7.3 -0.4 1.9 -9.4 20.0 20.0 US5 3.4 20.0 20.0 3.0 2.6 2.3 1.7 0.8 2.1 9.8 6.7 9.2 -0.6 9.6 9.9 -11.1 -11.0 -11.7 -11.2 13.8 10.0 11.0 1.6 12.1 5.7 3.6 2.0 2.9 2.1 1.3 2.9 -14.2 2.7 1.4 4.3 6.0 4.7 -20.0 18.7 -1.2 VIX -1.5 19.8 20.0 1.3 0.4 0.4 0.2 -1.0 0.9 5.8 -4.3 2.5 -6.3 -3.3 -3.7 3.7 -20.0 -20.0 -20.0 1.3 -0.3 4.1 -3.1 2.1 NaN 1.5 0.3 0.4 0.3 -1.2 1.1 NaN NaN NaN NaN NaN -11.5 -20.0 NaN NaN WHEAT 11.8 -7.9 -20.0 -4.1 -7.4 -3.6 -5.4 -2.5 -4.0 8.5 -12.4 9.3 -12.9 1.0 -12.5 -16.0 -15.2 -16.7 -16.2 -10.9 -14.7 12.4 -15.0 1.6 2.9 -3.8 1.2 -4.2 2.0 -3.6 -0.8 -20.0 20.0 5.0 -3.1 -10.5 -20.0 -20.0 -17.6 -20.0 End of report for caleb_strategy_v3