******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240910_203910 produced at 2024-09-10 21:37:32.451499 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.12 -0.15 0.0 0.51 -0.51 -0.12 -0.12 -17.91 60.0 -14 -14 caleb_strategy_v3 DX False False 0.03 0.00 -0.09 0.0 999.00 -999.00 0.00 0.00 -2.68 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 -1.68 8.0 -2 -2 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -29.62 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 -1.67 3.0 -3 -3 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 GASOIL False False 0.02 -0.02 -0.04 0.0 0.09 -0.09 -0.02 -0.02 -1.75 4.0 -1 -1 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.10 24.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.03 -0.04 0.0 0.08 -0.08 -0.03 -0.03 -5.34 12.0 -5 -5 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.04 0.0 0.06 -0.06 -0.03 -0.03 -16.79 26.0 -13 -13 caleb_strategy_v3 CAC True False 0.03 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -1.17 12.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.03 0.0 0.13 -0.13 -0.05 -0.05 -2.62 11.0 -4 -4 caleb_strategy_v3 VIX False False 0.01 -0.02 -0.03 0.0 999.00 -999.00 -0.02 -0.02 -4.22 999999999.0 -3 -3 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.02 0.0 0.30 -0.30 0.00 0.00 -1.81 23.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.02 -0.02 0.0 0.45 -0.45 -0.02 -0.01 -1.77 48.0 -2 -1 caleb_strategy_v3 SP400 False True 0.10 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.18 2.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.02 -0.02 0.0 0.31 -0.31 -0.02 -0.02 -2.04 36.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.02 0.0 0.08 -0.08 -0.01 -0.01 -1.82 8.0 -1 -1 caleb_strategy_v3 EUROSTX False True 0.02 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -1.22 20.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.02 0.0 0.87 -0.87 0.00 0.00 -0.45 19.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.02 0.0 0.15 -0.15 0.00 0.00 -6.83 51.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -1.71 9.0 -3 -3 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.04 -0.04 0.00 0.00 -0.76 4.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 -0.01 -0.01 0.0 0.01 -0.01 -0.01 -0.01 -2.04 3.0 -2 -2 caleb_strategy_v3 RUSSELL False False 0.00 -0.04 -0.01 0.0 0.25 -0.25 -0.04 -0.05 -1.94 68.0 -10 -14 caleb_strategy_v3 PLAT False False 0.02 -0.03 -0.01 0.0 0.16 -0.16 -0.03 -0.03 -0.68 10.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.98 9.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -1.20 18.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.11 4.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.07 -0.01 0.0 0.12 -0.12 -0.07 -0.07 -0.75 7.0 -4 -4 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.00 0.0 999.00 -999.00 0.00 0.00 -0.02 999999999.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.00 0.0 999.00 -999.00 0.00 0.00 -0.05 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 0.54 2.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.08 -0.08 0.00 0.00 -0.58 10.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.04 -0.00 0.0 0.11 -0.11 0.04 0.02 -0.05 5.0 2 1 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.19 -0.19 0.00 0.00 0.12 6.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.03 0.00 0.0 0.74 -0.74 0.03 0.03 0.17 29.0 1 1 caleb_strategy_v3 BUND False False 0.05 0.00 0.00 0.0 0.51 -0.51 0.00 0.00 0.02 10.0 0 0 caleb_strategy_v3 BTP False False 0.05 -0.09 0.00 0.0 0.46 -0.46 -0.09 -0.05 0.06 10.0 -2 -1 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.07 -0.07 0.00 0.00 -0.02 2.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.01 0.0 0.39 -0.39 0.02 0.02 0.75 23.0 1 1 caleb_strategy_v3 US30 False False 0.05 0.14 0.01 0.0 0.28 -0.28 0.14 0.14 0.28 6.0 3 3 caleb_strategy_v3 AUD False False 0.02 0.09 0.01 0.0 0.44 -0.44 0.09 0.09 0.40 19.0 4 4 caleb_strategy_v3 LIVECOW False False 0.02 0.02 0.01 0.0 0.41 -0.41 0.02 0.05 0.21 17.0 1 2 caleb_strategy_v3 JPY False False 0.03 0.03 0.01 0.0 0.52 -0.52 0.03 0.03 0.39 17.0 1 1 caleb_strategy_v3 COCOA False False 0.02 0.00 0.01 0.0 0.53 -0.53 0.00 0.00 0.39 26.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.01 0.01 0.0 0.47 -0.47 0.01 0.01 1.60 66.0 1 2 caleb_strategy_v3 CHF False False 0.05 0.26 0.02 0.0 0.67 -0.67 0.26 0.26 0.42 13.0 5 5 caleb_strategy_v3 NZD False False 0.02 0.00 0.03 0.0 0.45 -0.45 0.00 0.00 1.19 21.0 0 0 caleb_strategy_v3 MILK False False 0.02 0.00 0.03 0.0 0.08 -0.08 0.00 0.00 1.66 5.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.58 9.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.04 0.03 0.0 0.54 -0.54 0.04 0.04 0.83 13.0 1 1 caleb_strategy_v3 US10 False False 0.04 0.00 0.03 0.0 0.68 -0.68 0.00 0.00 0.87 17.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.02 0.03 0.0 0.41 -0.41 0.02 0.03 3.71 58.0 3 4 caleb_strategy_v3 OJ False False 0.03 0.03 0.03 0.0 0.08 -0.08 0.03 0.03 1.09 3.0 1 1 caleb_strategy_v3 OAT False False 0.05 0.00 0.04 0.0 0.49 -0.49 0.00 0.00 0.87 10.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 0.04 0.0 0.00 0.00 0.00 0.00 0.79 9.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.05 0.04 0.0 0.67 -0.67 0.05 0.05 0.81 14.0 1 1 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.05 0.0 0.49 -0.49 0.00 0.00 5.31 56.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 0.05 0.0 0.00 0.00 0.00 0.00 0.67 13.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.04 0.05 0.0 0.13 -0.13 0.04 0.04 5.14 13.0 4 4 caleb_strategy_v3 US5 False False 0.04 0.15 0.05 0.0 0.95 -0.95 0.15 0.19 1.29 25.0 4 5 caleb_strategy_v3 GBP False False 0.03 0.03 0.07 0.0 0.62 -0.62 0.03 0.03 2.44 22.0 1 1 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.14 0.26 0.0 0.56 -0.56 0.14 0.14 7.51 16.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 1.04 0.0 0.93 -0.93 0.00 0.00 11.13 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.66 0.0 0.00 0.00 0.00 0.00 19.89 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.3 Shocked risk 17.6 Sum abs risk 32.7 Leverage 4.62 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2902695.7, 'annual_cash_vol_target': 725673.925, 'daily_cash_vol_target': 45354.6203125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6672 0.6295 10.0720 BITCOIN 1867.4565 57895.0000 3.2256 51.6095 BOBL 0.2305 119.8900 0.1923 3.0761 BTP 0.4695 120.1600 0.3908 6.2521 BUND 0.4669 134.9200 0.3460 5.5364 BUXL 1.1627 137.7800 0.8439 13.5024 CAC 59.9894 7419.0000 0.8086 12.9375 CAD 0.0027 0.7370 0.3603 5.7644 CANOLA 10.4100 582.6000 1.7868 28.5891 CHF 0.0057 1.1942 0.4792 7.6671 COCOA 190.2327 5940.0000 3.2026 51.2411 COFFEE 4.6144 245.2000 1.8819 30.1104 COPPER 0.0542 4.1080 1.3189 21.1017 CORN 5.1350 404.0000 1.2710 20.3365 COTTON2 1.0084 68.1300 1.4802 23.6829 CRUDE_W 1.2371 64.9700 1.9042 30.4666 DAX 146.9596 18500.0000 0.7944 12.7100 DOW 294.6373 41157.0000 0.7159 11.4542 DX 0.3977 101.2400 0.3928 6.2849 EUR 0.0046 1.1070 0.4168 6.6692 EURIBOR-ICE 0.0396 98.0350 0.0403 0.6455 EUROSTX 44.8297 4763.0000 0.9412 15.0593 FEEDCOW 2.0875 228.3500 0.9142 14.6269 GASOIL 11.5172 630.0000 1.8281 29.2499 GASOLINE 0.0363 1.8274 1.9838 31.7406 GAS_US_mini 0.0821 2.5500 3.2182 51.4913 GBP 0.0061 1.3086 0.4659 7.4537 GOLD_micro 18.2617 2521.5000 0.7242 11.5878 HEATOIL 0.0405 2.0931 1.9334 30.9341 JGB-SGX-mini 0.3016 144.4600 0.2088 3.3408 JPY 0.0001 0.0071 0.7273 11.6373 LEANHOG 1.0897 71.2000 1.5304 24.4866 LIVECOW 1.4005 176.3750 0.7940 12.7044 LUMBER-new 8.8847 503.5000 1.7646 28.2333 MILK 0.3090 23.4700 1.3166 21.0657 MXP 0.0005 0.0491 1.0019 16.0305 NASDAQ_micro 226.8404 19048.7500 1.1908 19.0535 NIKKEI 669.2388 35900.0000 1.8642 29.8268 NZD 0.0040 0.6157 0.6531 10.4489 OAT 0.4305 127.6000 0.3374 5.3980 OATIES 5.8468 365.7500 1.5986 25.5771 OJ 8.4214 498.6500 1.6888 27.0216 PALLAD 24.3098 963.0000 2.5244 40.3902 PLAT 15.5612 945.9000 1.6451 26.3220 REDWHEAT 9.1917 595.7500 1.5429 24.6861 RICE 0.1572 15.1500 1.0379 16.6058 ROBUSTA 82.1239 4933.0000 1.6648 26.6366 RUSSELL 27.1959 2117.8000 1.2842 20.5465 SHATZ 0.0770 107.0200 0.0720 1.1516 SILVER-mini 0.5065 28.8875 1.7533 28.0531 SMI 91.5317 11983.0000 0.7638 12.2215 SOFR 0.0558 97.1200 0.0574 0.9186 SOYBEAN 13.2102 997.2500 1.3247 21.1947 SOYMEAL 4.7177 320.0000 1.4743 23.5887 SOYOIL 0.7897 39.6700 1.9906 31.8497 SP400 29.2100 2947.8000 0.9909 15.8545 SP500_micro 46.6674 5495.7500 0.8492 13.5865 SUGAR11 0.3103 18.7500 1.6547 26.4749 US10 0.3727 115.4219 0.3229 5.1669 US10U 0.5138 119.8750 0.4286 6.8573 US2 0.1125 104.3828 0.1078 1.7243 US20 0.7622 126.8438 0.6009 9.6143 US30 1.1516 137.1562 0.8397 13.4345 US5 0.2458 110.6562 0.2221 3.5534 VIX 0.9031 19.2500 4.6916 75.0663 WHEAT 8.6714 573.5000 1.5120 24.1922 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 667.15 0.63 419.97 1.00 419.97 45354.62 107.99 1.42 15.29 BITCOIN 57.90 3.23 186.75 1.00 186.75 45354.62 242.87 -11.26 -273.53 BOBL 1198.90 0.19 230.50 1.11 255.16 45354.62 177.75 -2.48 -44.06 BTP 1201.60 0.39 469.53 1.11 519.77 45354.62 87.26 0.21 1.87 BUND 1349.20 0.35 466.86 1.11 516.81 45354.62 87.76 0.17 1.53 BUXL 1377.80 0.84 1162.73 1.11 1287.14 45354.62 35.24 -3.01 -10.59 CAC 741.90 0.81 599.89 1.11 664.08 45354.62 68.30 -5.00 -34.17 CAD 737.05 0.36 265.54 1.00 265.54 45354.62 170.80 0.39 6.59 CANOLA 116.52 1.79 208.20 0.74 153.48 45354.62 295.51 -9.51 -280.92 CHF 1492.69 0.48 715.28 1.00 715.28 45354.62 63.41 2.54 16.12 COCOA 594.00 3.20 1902.33 1.00 1902.33 45354.62 23.84 7.63 18.20 COFFEE 919.50 1.88 1730.41 1.00 1730.41 45354.62 26.21 3.84 10.07 COPPER 1027.00 1.32 1354.46 1.00 1354.46 45354.62 33.49 -3.09 -10.34 CORN 202.00 1.27 256.75 1.00 256.75 45354.62 176.65 -12.43 -219.53 COTTON2 340.65 1.48 504.22 1.00 504.22 45354.62 89.95 -13.61 -122.41 CRUDE_W 649.70 1.90 1237.13 1.00 1237.13 45354.62 36.66 -0.13 -0.46 DAX 185.00 0.79 146.96 1.11 162.68 45354.62 278.79 3.90 108.77 DOW 205.78 0.72 147.32 1.00 147.32 45354.62 307.87 2.23 68.69 DX 1012.40 0.39 397.68 1.00 397.68 45354.62 114.05 -9.06 -103.29 EUR 1383.81 0.42 576.81 1.00 576.81 45354.62 78.63 3.95 31.04 EURIBOR-ICE 2450.88 0.04 98.88 1.11 109.46 45354.62 414.36 7.88 326.45 EUROSTX 476.30 0.94 448.30 1.11 496.27 45354.62 91.39 -3.92 -35.80 FEEDCOW 1141.75 0.91 1043.77 1.00 1043.77 45354.62 43.45 -11.65 -50.64 GASOIL 630.00 1.83 1151.72 1.00 1151.72 45354.62 39.38 -10.26 -40.42 GASOLINE 767.51 1.98 1522.57 1.00 1522.57 45354.62 29.79 -0.36 -1.06 GAS_US_mini 63.75 3.22 205.16 1.00 205.16 45354.62 221.07 -7.01 -155.02 GBP 817.88 0.47 381.01 1.00 381.01 45354.62 119.04 7.91 94.19 GOLD_micro 252.15 0.72 182.62 1.00 182.62 45354.62 248.36 6.26 155.59 HEATOIL 879.10 1.93 1699.64 1.00 1699.64 45354.62 26.68 -14.41 -38.45 JGB-SGX-mini 144460.00 0.21 30163.44 0.01 211.00 45354.62 214.95 3.23 69.33 JPY 889.62 0.73 647.05 1.00 647.05 45354.62 70.09 2.15 15.10 LEANHOG 284.80 1.53 435.86 1.00 435.86 45354.62 104.06 8.14 84.65 LIVECOW 705.50 0.79 560.18 1.00 560.18 45354.62 80.96 0.79 6.39 LUMBER-new 138.46 1.76 244.33 1.00 244.33 45354.62 185.63 -5.13 -95.19 MILK 469.40 1.32 618.01 1.00 618.01 45354.62 73.39 10.58 77.66 MXP 245.50 1.00 245.97 1.00 245.97 45354.62 184.39 -6.62 -122.04 NASDAQ_micro 380.98 1.19 453.68 1.00 453.68 45354.62 99.97 -7.77 -77.68 NIKKEI 35900.00 1.86 66923.88 0.01 468.15 45354.62 96.88 -1.95 -18.88 NZD 615.70 0.65 402.09 1.00 402.09 45354.62 112.80 4.06 45.76 OAT 1276.00 0.34 430.49 1.11 476.55 45354.62 95.17 2.67 25.46 OATIES 182.88 1.60 292.34 1.00 292.34 45354.62 155.14 1.42 22.09 OJ 747.98 1.69 1263.22 1.00 1263.22 45354.62 35.90 14.23 51.09 PALLAD 963.00 2.52 2430.98 1.00 2430.98 45354.62 18.66 -0.26 -0.49 PLAT 472.95 1.65 778.06 1.00 778.06 45354.62 58.29 -3.42 -19.93 REDWHEAT 297.88 1.54 459.59 1.00 459.59 45354.62 98.69 -13.91 -137.26 RICE 303.00 1.04 314.47 1.00 314.47 45354.62 144.22 -2.17 -31.29 ROBUSTA 493.30 1.66 821.24 1.00 821.24 45354.62 55.23 11.60 64.08 RUSSELL 105.89 1.28 135.98 1.00 135.98 45354.62 333.54 -1.76 -58.55 SHATZ 1070.20 0.07 77.03 1.11 85.27 45354.62 531.90 -2.03 -108.07 SILVER-mini 722.19 1.75 1266.23 1.00 1266.23 45354.62 35.82 -0.18 -0.64 SMI 1198.30 0.76 915.32 1.18 1081.49 45354.62 41.94 5.52 23.17 SOFR 2428.00 0.06 139.40 1.00 139.40 45354.62 325.35 10.06 327.28 SOYBEAN 498.62 1.32 660.51 1.00 660.51 45354.62 68.67 -11.70 -80.31 SOYMEAL 320.00 1.47 471.77 1.00 471.77 45354.62 96.14 -10.91 -104.87 SOYOIL 238.02 1.99 473.80 1.00 473.80 45354.62 95.72 -6.49 -62.12 SP400 2947.80 0.99 2921.00 1.00 2921.00 45354.62 15.53 -3.42 -5.31 SP500_micro 274.79 0.85 233.34 1.00 233.34 45354.62 194.37 -3.91 -76.02 SUGAR11 210.00 1.65 347.48 1.00 347.48 45354.62 130.52 -4.33 -56.58 US10 1154.22 0.32 372.73 1.00 372.73 45354.62 121.68 5.63 68.49 US10U 1198.75 0.43 513.76 1.00 513.76 45354.62 88.28 7.46 65.82 US2 2087.66 0.11 224.99 1.00 224.99 45354.62 201.59 2.63 53.10 US20 1268.44 0.60 762.20 1.00 762.20 45354.62 59.51 7.63 45.41 US30 1371.56 0.84 1151.64 1.00 1151.64 45354.62 39.38 5.63 22.19 US5 1106.56 0.22 245.75 1.00 245.75 45354.62 184.56 5.52 101.87 VIX 192.50 4.69 903.14 1.00 903.14 45354.62 50.22 -3.41 -17.11 WHEAT 286.75 1.51 433.57 1.00 433.57 45354.62 104.61 -12.31 -128.80 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 15.292 0.010 2.5 0.397 BITCOIN -273.529 0.043 2.5 -29.619 BOBL -44.060 0.004 2.5 -0.447 BTP 1.872 0.014 2.5 0.064 BUND 1.531 0.004 2.5 0.016 BUXL -10.591 0.004 2.5 -0.107 CAC -34.168 0.014 2.5 -1.165 CAD 6.592 0.010 2.5 0.171 CANOLA -280.923 0.010 2.5 -6.834 CHF 16.124 0.010 2.5 0.418 COCOA 18.203 0.009 2.5 0.390 COFFEE 10.070 0.005 2.5 0.118 COPPER -10.343 0.043 2.5 -1.120 CORN -219.534 0.010 2.5 -5.341 COTTON2 -122.413 0.009 2.5 -2.622 CRUDE_W -0.460 0.043 2.5 -0.050 DAX 108.770 0.014 2.5 3.710 DOW 68.688 0.009 2.5 1.596 DX -103.287 0.010 2.5 -2.680 EUR 31.041 0.010 2.5 0.805 EURIBOR-ICE 326.450 0.014 2.5 11.135 EUROSTX -35.803 0.014 2.5 -1.221 FEEDCOW -50.640 0.013 2.5 -1.678 GASOIL -40.416 0.017 2.5 -1.752 GASOLINE -1.061 0.017 2.5 -0.046 GAS_US_mini -155.019 0.043 2.5 -16.786 GBP 94.188 0.010 2.5 2.444 GOLD_micro 155.591 0.014 2.5 5.307 HEATOIL -38.448 0.017 2.5 -1.667 JGB-SGX-mini 69.328 0.043 2.5 7.507 JPY 15.097 0.010 2.5 0.392 LEANHOG 84.651 0.024 2.5 5.145 LIVECOW 6.388 0.013 2.5 0.212 LUMBER-new -95.194 0.009 2.5 -2.038 MILK 77.660 0.009 2.5 1.663 MXP -122.043 0.059 2.5 -17.912 NASDAQ_micro -77.683 0.009 2.5 -1.805 NIKKEI -18.881 0.043 2.5 -2.045 NZD 45.755 0.010 2.5 1.187 OAT 25.456 0.014 2.5 0.868 OATIES 22.093 0.010 2.5 0.537 OJ 51.086 0.009 2.5 1.094 PALLAD -0.490 0.014 2.5 -0.017 PLAT -19.932 0.014 2.5 -0.680 REDWHEAT -137.264 0.005 2.5 -1.821 RICE -31.292 0.010 2.5 -0.761 ROBUSTA 64.077 0.005 2.5 0.748 RUSSELL -58.554 0.013 2.5 -1.940 SHATZ -108.066 0.004 2.5 -1.096 SILVER-mini -0.639 0.014 2.5 -0.022 SMI 23.167 0.014 2.5 0.790 SOFR 327.276 0.024 2.5 19.890 SOYBEAN -80.315 0.004 2.5 -0.747 SOYMEAL -104.873 0.004 2.5 -0.975 SOYOIL -62.121 0.004 2.5 -0.578 SP400 -5.312 0.013 2.5 -0.176 SP500_micro -76.017 0.009 2.5 -1.767 SUGAR11 -56.580 0.009 2.5 -1.203 US10 68.485 0.005 2.5 0.868 US10U 65.821 0.005 2.5 0.834 US2 53.099 0.005 2.5 0.673 US20 45.406 0.005 2.5 0.575 US30 22.191 0.005 2.5 0.281 US5 101.866 0.005 2.5 1.291 VIX -17.113 0.099 2.5 -4.224 WHEAT -128.804 0.005 2.5 -1.709 ===================== Position diags ===================== AUD 2.80 BITCOIN 26.30 BOBL 1.80 BTP 2.98 BUND 0.89 BUXL 0.36 CAC 2.33 CAD 4.43 CANOLA 7.19 CHF 1.65 COCOA 0.51 COFFEE 0.31 COPPER 3.63 CORN 4.30 COTTON2 1.93 CRUDE_W 3.97 DAX 9.51 DOW 7.15 DX 2.96 EUR 2.04 EURIBOR-ICE 14.13 EUROSTX 3.12 FEEDCOW 1.44 GASOIL 1.71 GASOLINE 1.29 GAS_US_mini 23.94 GBP 3.09 GOLD_micro 8.47 HEATOIL 1.16 JGB-SGX-mini 23.28 JPY 1.82 LEANHOG 6.32 LIVECOW 2.68 LUMBER-new 3.98 MILK 1.57 MXP 27.06 NASDAQ_micro 2.32 NIKKEI 10.49 NZD 2.93 OAT 3.25 OATIES 3.77 OJ 0.77 PALLAD 0.64 PLAT 1.99 REDWHEAT 1.31 RICE 3.51 ROBUSTA 0.64 RUSSELL 11.05 SHATZ 5.39 SILVER-mini 1.22 SMI 1.43 SOFR 19.77 SOYBEAN 0.64 SOYMEAL 0.89 SOYOIL 0.89 SP400 0.51 SP500_micro 4.52 SUGAR11 2.78 US10 1.54 US10U 1.12 US2 2.55 US20 0.75 US30 0.50 US5 2.34 VIX 12.40 WHEAT 1.39 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.4 0.1 0.7 4.0 4 BITCOIN -29.6 -32.2 -27.0 0.0 0 BOBL -0.4 -0.6 -0.3 0.0 0 BTP 0.1 -0.2 0.4 -2.0 -2 BUND 0.0 -0.1 0.1 0.0 0 BUXL -0.1 -0.1 -0.1 0.0 0 CAC -1.2 -1.4 -0.9 0.0 0 CAD 0.2 -0.3 0.6 1.0 1 CANOLA -6.8 -7.6 -6.1 0.0 0 CHF 0.4 0.3 0.6 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 -5.3 -5.8 -4.9 -5.0 -5 COTTON2 -2.6 -2.8 -2.4 -4.0 -4 CRUDE_W -0.0 -0.4 0.3 2.0 2 DAX 3.7 2.8 4.7 3.0 3 DOW 1.6 0.9 2.3 1.0 1 DX -2.7 -3.0 -2.4 0.0 0 EUR 0.8 0.6 1.0 1.0 1 EURIBOR-ICE 11.1 9.7 12.5 0.0 0 EUROSTX -1.2 -1.5 -0.9 0.0 0 FEEDCOW -1.7 -1.8 -1.5 -2.0 -2 GASOIL -1.8 -1.9 -1.6 -1.0 -1 GASOLINE -0.0 -0.2 0.1 0.0 0 GAS_US_mini -16.8 -19.2 -14.4 -13.0 -13 GBP 2.4 2.1 2.8 1.0 1 GOLD_micro 5.3 4.5 6.2 0.0 0 HEATOIL -1.7 -1.8 -1.6 -3.0 -3 JGB-SGX-mini 7.5 5.2 9.8 4.0 4 JPY 0.4 0.2 0.6 1.0 1 LEANHOG 5.1 4.5 5.8 4.0 4 LIVECOW 0.2 -0.1 0.5 1.0 1 LUMBER-new -2.0 -2.4 -1.6 -2.0 -2 MILK 1.7 1.5 1.8 NaN 0 MXP -17.9 -20.6 -15.2 -14.0 -14 NASDAQ_micro -1.8 -2.0 -1.6 0.0 0 NIKKEI -2.0 -3.1 -1.0 -2.0 -2 NZD 1.2 0.9 1.5 0.0 0 OAT 0.9 0.5 1.2 0.0 0 OATIES 0.5 0.2 0.9 NaN 0 OJ 1.1 1.0 1.2 1.0 1 PALLAD -0.0 -0.1 0.0 0.0 0 PLAT -0.7 -0.9 -0.5 -2.0 -2 REDWHEAT -1.8 -2.0 -1.7 -1.0 -1 RICE -0.8 -1.1 -0.4 NaN 0 ROBUSTA 0.7 0.7 0.8 1.0 1 RUSSELL -1.9 -3.0 -0.8 -10.0 -10 SHATZ -1.1 -1.6 -0.6 NaN 0 SILVER-mini -0.0 -0.1 0.1 0.0 0 SMI 0.8 0.6 0.9 0.0 0 SOFR 19.9 17.9 21.9 NaN 0 SOYBEAN -0.7 -0.8 -0.7 -4.0 -4 SOYMEAL -1.0 -1.1 -0.9 0.0 0 SOYOIL -0.6 -0.7 -0.5 0.0 0 SP400 -0.2 -0.2 -0.1 0.0 0 SP500_micro -1.8 -2.2 -1.3 -2.0 -2 SUGAR11 -1.2 -1.5 -0.9 0.0 0 US10 0.9 0.7 1.0 0.0 0 US10U 0.8 0.7 0.9 1.0 1 US2 0.7 0.4 0.9 NaN 0 US20 0.6 0.5 0.7 0.0 0 US30 0.3 0.2 0.3 3.0 3 US5 1.3 1.1 1.5 4.0 4 VIX -4.2 -5.5 -3.0 -3.0 -3 WHEAT -1.7 -1.8 -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 0.3 0.0 0.1 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.2 -0.0 -0.0 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 -0.1 0.0 0.0 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 0.5 -0.0 BITCOIN -0.1 -0.4 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.0 -0.1 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.2 -0.1 -2.7 -0.0 -0.0 -0.0 -0.0 0.2 -0.0 -0.1 -0.4 -0.6 -0.1 0.3 -0.2 -0.1 -0.1 0.0 BOBL -0.0 0.6 0.5 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.0 0.1 -0.1 0.1 0.1 -0.1 -0.3 -0.4 -0.4 0.1 0.1 0.1 -0.0 0.1 0.6 0.0 0.1 0.1 0.0 0.0 0.0 -1.1 0.2 -0.1 -0.0 -0.2 -0.7 -0.7 -0.2 -0.2 BTP -0.0 0.3 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.4 0.2 0.6 0.2 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.3 0.1 -2.7 0.1 0.1 0.2 0.1 0.2 0.1 0.5 -0.0 -0.1 -0.5 -0.6 -0.7 -0.5 -0.0 0.2 BUND -0.1 0.5 0.4 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.1 0.1 -0.0 0.1 0.1 -0.2 0.0 -0.0 -0.0 0.1 0.1 0.1 0.0 0.1 0.2 0.0 0.1 0.1 0.0 0.0 0.0 0.2 0.0 -0.2 -0.2 -0.3 -0.7 -0.7 -0.2 -0.2 BUXL -0.1 0.4 0.3 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 -0.0 0.1 -0.4 0.0 0.1 0.1 0.0 0.0 0.0 0.0 -0.0 -0.3 -0.4 -0.5 -0.7 -0.7 -0.3 -0.2 CAC 0.4 -0.2 -0.6 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 -0.2 -0.1 0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -1.2 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 0.3 -0.0 -0.1 -0.1 -0.6 0.4 0.2 0.1 0.1 CAD 0.5 0.4 0.1 0.1 -0.0 0.1 -0.0 0.0 0.1 -0.2 -0.1 0.0 -0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.0 -0.2 0.1 -0.2 0.1 -0.1 0.0 -0.0 -0.1 0.1 -0.1 -0.3 0.2 0.0 -0.1 0.4 -0.2 0.1 -0.1 CANOLA 0.3 -0.4 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.3 -0.1 -0.1 -0.0 -0.1 -0.0 -1.8 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -1.1 0.2 0.2 0.2 -0.1 -0.0 -0.4 0.3 -0.2 CHF 0.3 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 0.1 0.1 0.5 0.1 -0.0 0.1 0.0 0.0 0.0 -1.1 0.1 0.0 0.6 0.6 -0.0 -0.4 -0.3 -0.4 COCOA 0.2 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 0.1 0.3 0.3 0.3 0.7 0.3 0.7 0.4 COFFEE 0.1 -0.1 0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.4 0.0 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.0 0.4 0.1 -2.7 0.1 0.0 0.2 0.0 0.4 0.0 0.4 0.1 0.6 0.6 0.6 -0.1 -0.3 0.2 -0.1 COPPER 0.2 -0.5 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 -1.9 -0.0 0.0 -0.0 0.0 0.0 0.0 0.2 0.0 0.2 -0.3 -0.1 0.6 0.2 0.7 0.6 CORN 0.4 -0.2 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -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 -0.2 0.0 -0.2 -0.0 -1.1 0.5 0.2 0.1 -0.4 -0.1 -0.2 0.0 -0.0 COTTON2 0.4 0.2 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 -0.0 -0.5 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 -0.1 -0.4 -0.0 -2.7 -0.0 -0.0 -0.2 -0.0 -0.1 -0.0 -0.6 -0.1 0.2 0.1 0.0 -0.3 -0.4 -0.0 -0.1 CRUDE_W -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 -0.1 0.2 0.3 0.2 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 0.2 0.3 0.1 -0.1 0.2 0.5 0.2 0.7 DAX 0.5 -0.1 -0.5 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.2 0.0 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.0 -0.1 0.3 0.0 1.4 0.0 -0.1 0.1 -0.0 0.2 0.0 -0.4 0.0 0.3 0.2 -0.6 0.4 0.2 0.1 0.1 DOW 0.2 0.0 -0.1 0.0 -0.1 0.1 -0.0 0.2 -0.0 -0.0 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 0.0 -1.4 0.0 0.0 0.1 0.0 0.2 0.0 -0.4 0.4 0.5 0.6 0.1 0.3 0.0 -0.1 -0.1 DX -0.2 -0.6 -0.4 0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.2 -0.0 0.2 -0.1 -0.1 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 -0.0 -0.0 0.8 0.5 -0.6 -0.6 -0.6 -0.1 0.2 -0.1 0.3 EUR 0.1 0.4 0.3 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.2 0.2 -0.1 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.1 0.1 2.7 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.4 -0.4 -0.2 0.4 0.3 0.0 -0.6 -0.1 -0.7 EURIBOR-ICE 0.2 0.6 0.6 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 0.2 0.1 0.1 0.1 0.2 1.7 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 0.3 0.2 0.1 -0.0 -0.7 -0.7 -0.0 0.1 EUROSTX 0.3 -0.3 -0.6 0.0 -0.1 0.1 -0.1 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 -0.1 -0.3 -0.0 -0.1 0.0 -0.1 0.2 -0.0 0.2 -0.1 -0.1 -0.2 -0.6 0.2 0.0 -0.5 -0.1 FEEDCOW -0.1 -0.6 -0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.1 -0.3 -0.2 -0.2 0.3 -0.3 0.1 -0.1 -0.2 -0.2 -0.1 -0.3 -0.2 -0.9 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -1.1 -0.1 -0.5 -0.6 -0.6 0.1 0.7 0.4 0.7 GASOIL -0.5 -0.6 -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 0.1 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 -0.1 -0.4 -0.3 -0.7 GASOLINE -0.5 -0.5 -0.4 -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 0.3 0.2 0.0 0.5 0.6 0.6 0.7 GAS_US_mini -0.0 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -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 0.6 0.5 0.3 -0.2 -0.5 -0.2 -0.6 GBP 0.5 0.2 0.3 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.2 0.5 0.1 0.5 0.1 0.2 0.0 -0.0 -0.0 -0.0 0.2 0.2 0.0 0.3 0.2 -0.2 0.1 -0.0 0.2 0.0 0.2 0.1 0.2 -0.2 0.6 0.3 0.6 0.3 -0.7 0.3 -0.6 GOLD_micro 0.2 0.3 0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 0.4 0.1 0.5 0.1 0.1 -0.2 -0.3 -0.2 -0.2 0.2 0.2 0.0 0.5 0.1 -1.0 0.1 0.0 0.2 0.0 0.3 0.0 -0.7 0.1 0.3 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 -0.6 0.1 JGB-SGX-mini -0.1 0.6 0.3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.2 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 -0.1 -0.2 -0.0 -0.2 -0.3 -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 0.1 0.1 -0.2 0.1 0.1 -0.2 -0.3 -0.3 -0.3 0.1 0.0 0.1 -0.1 0.1 2.7 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 0.3 -0.0 0.6 0.2 -0.7 -0.6 -0.7 -0.7 LEANHOG 0.6 0.5 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 0.1 -0.3 0.1 -0.0 0.4 0.4 0.4 0.4 0.0 -0.1 0.0 -0.3 0.1 0.6 0.0 -0.0 -0.1 0.0 -0.1 0.0 1.1 0.2 0.6 0.6 -0.1 0.0 -0.2 0.1 0.1 LIVECOW -0.3 -0.6 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 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 -0.0 -0.0 -0.0 0.1 -0.1 1.1 0.1 -0.4 -0.3 0.6 -0.0 0.7 0.2 0.7 LUMBER-new -0.3 0.5 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 0.0 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 -0.1 -0.2 -0.0 NaN -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.2 0.3 -0.1 0.6 0.2 0.1 -0.1 0.3 0.0 MILK 0.4 0.2 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.4 0.1 0.2 0.1 0.1 0.4 -0.3 0.1 -0.1 0.2 0.2 0.2 0.2 0.2 2.0 0.1 0.1 0.1 0.1 0.1 0.1 -1.1 0.5 0.6 0.6 0.6 -0.1 -0.7 0.1 -0.7 MXP -0.4 -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 0.0 -0.6 -0.6 -0.6 0.5 0.4 0.7 0.6 NASDAQ_micro -0.1 -0.6 -0.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.0 -0.1 0.2 -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 0.2 -0.0 -0.3 0.1 0.0 0.1 -0.3 0.0 NIKKEI 0.1 -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 0.1 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 -0.0 -0.2 -0.6 -0.4 0.3 0.0 0.3 -0.0 NZD 0.6 0.3 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 -0.1 0.1 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 -0.0 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 0.1 0.0 0.0 0.5 0.1 -0.1 -0.3 -0.6 -0.5 -0.6 0.0 0.0 OATIES 0.6 0.3 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 0.2 -0.5 0.1 -0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.2 -0.3 0.2 -2.7 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 0.5 0.6 0.6 -0.1 0.4 -0.0 0.7 0.3 OJ 0.5 0.1 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.4 0.2 0.5 0.1 0.1 0.3 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 0.3 0.1 0.8 0.5 0.6 0.6 0.6 0.4 0.4 0.7 0.7 PALLAD 0.2 0.2 0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -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 -0.1 0.0 0.3 0.1 0.1 0.1 0.2 -0.7 -0.7 -0.7 -0.7 PLAT -0.0 -0.3 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 0.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 0.1 -0.1 -0.2 0.1 -0.2 -0.3 -0.2 0.0 REDWHEAT 0.5 -0.1 -0.6 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.5 0.1 -0.7 0.1 -0.2 -0.2 -0.1 -0.2 -0.2 -0.1 -0.2 0.1 -0.5 0.0 -0.8 -0.0 0.0 -0.2 0.0 -0.2 0.0 -0.8 0.5 0.3 0.2 -0.5 -0.7 -0.7 -0.7 -0.7 RICE 0.0 -0.1 -0.4 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.2 0.0 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 0.1 0.0 0.4 0.6 -0.7 -0.6 -0.7 -0.6 ROBUSTA 0.5 0.0 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 0.4 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 -0.0 -0.2 -0.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.1 -0.1 0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 0.1 -0.0 -0.1 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.1 0.0 0.4 0.2 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 0.1 -0.4 -0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 0.1 -0.0 0.3 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.1 -0.1 0.1 -0.2 0.2 0.2 -0.1 0.2 0.3 SMI 0.0 -0.4 -0.0 0.0 -0.1 0.1 -0.0 0.2 -0.0 -0.1 0.3 -0.1 0.5 0.1 0.1 -0.1 -0.0 -0.1 -0.0 0.0 0.1 -0.1 0.3 -0.0 1.3 0.0 -0.1 0.2 -0.1 0.2 -0.0 0.5 -0.2 -0.2 0.6 0.4 0.0 0.0 -0.4 -0.1 SOFR 0.3 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.3 0.2 0.2 0.2 0.2 0.0 -0.0 0.0 -0.0 0.2 0.2 0.2 0.2 0.2 -0.7 0.1 0.0 0.1 0.0 0.1 0.1 0.2 -0.0 0.1 0.1 0.3 0.3 -0.4 0.7 0.3 SOYBEAN 0.6 -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 0.0 -0.3 -0.0 -2.2 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.3 0.3 0.2 -0.2 -0.4 -0.0 -0.7 0.1 -0.5 SOYMEAL 0.5 0.1 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 0.1 -0.3 0.0 -0.1 -0.1 0.1 -0.0 0.0 -0.0 -0.1 0.1 -0.2 0.0 -2.7 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 0.3 0.3 0.2 -0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.5 -0.3 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.3 -0.0 -0.1 0.0 0.0 0.1 0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -2.3 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.2 0.2 -0.2 0.0 -0.1 -0.3 0.2 -0.1 SP400 -0.0 -0.2 -0.3 0.0 -0.0 0.1 -0.0 0.2 -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 0.2 -0.1 -1.2 0.0 -0.0 0.1 -0.0 0.2 0.0 0.0 0.1 0.0 0.4 0.0 0.2 -0.2 -0.2 -0.7 SP500_micro 0.1 -0.5 -0.5 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.0 0.2 -0.0 0.4 0.0 0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.1 0.3 -0.0 -2.1 0.0 -0.0 0.1 0.0 0.3 0.0 -0.5 0.3 0.2 -0.0 0.3 0.2 0.1 -0.2 -0.0 SUGAR11 0.5 0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 0.0 -0.4 0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 -2.7 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 0.1 -0.1 0.4 0.1 0.4 -0.3 0.5 -0.2 0.6 US10 0.2 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 0.2 0.1 0.1 0.1 0.1 0.3 0.0 0.0 0.1 0.0 0.1 0.0 -0.4 -0.1 -0.0 0.0 0.1 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 0.2 0.0 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.1 0.2 -0.1 0.1 0.0 0.1 0.0 0.1 0.0 -0.1 -0.2 -0.0 -0.1 0.1 0.1 -0.6 0.7 0.5 US2 0.2 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.1 0.1 -0.1 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.1 -0.0 0.1 1.6 0.0 0.0 0.1 0.0 0.0 0.0 -1.1 0.1 0.1 0.3 0.2 0.0 -0.7 0.2 -0.4 US20 0.2 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 0.2 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 0.0 0.1 -0.2 0.0 0.0 0.1 0.0 0.1 0.0 -0.2 -0.2 -0.0 -0.2 -0.0 0.1 -0.3 0.7 0.7 US5 0.2 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 0.2 0.1 0.1 0.1 0.2 0.8 0.0 0.0 0.1 0.0 0.1 0.0 -0.8 -0.0 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 0.0 -0.2 0.1 -0.4 -0.1 -0.1 0.2 -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 -0.6 -1.1 NaN NaN WHEAT 0.5 -0.2 -0.6 -0.0 -0.0 -0.1 -0.0 -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 -0.4 -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 9.4 0.3 4.0 3.5 -3.3 1.5 -0.0 0.8 3.4 -16.2 6.3 -2.0 -0.6 7.2 7.8 -1.1 -2.4 -1.7 -2.1 4.8 3.6 -8.4 0.9 1.8 2.3 2.3 -7.0 1.6 -3.5 0.7 1.2 -0.0 -12.1 -2.1 -12.7 -0.9 10.3 -5.1 13.7 -0.6 BITCOIN -2.8 -12.2 -20.0 -2.8 2.3 -3.8 0.8 -2.3 -0.3 2.2 -0.4 -6.6 6.3 -8.4 -9.0 -5.0 -6.8 -5.7 -6.4 -8.3 -2.9 -9.0 5.7 -9.6 -20.0 -4.1 -0.9 -0.7 -4.0 4.9 -4.5 -2.1 -14.9 -17.5 -1.9 7.8 -6.0 -4.3 -3.7 0.7 BOBL -1.4 19.7 16.1 3.4 3.9 2.6 3.1 1.0 2.9 10.8 0.6 8.7 -3.5 9.6 9.7 -6.0 -15.3 -18.9 -17.9 9.7 5.9 12.3 -0.8 9.7 4.7 3.5 6.0 2.4 4.4 0.6 3.4 -20.0 6.3 -3.2 -1.2 -5.3 -20.0 -20.0 -6.6 -7.5 BTP -1.0 10.3 6.8 5.8 6.7 4.5 5.3 1.6 5.0 18.4 15.0 16.7 15.9 18.2 18.7 3.9 3.9 2.6 2.7 13.4 12.4 14.1 11.5 12.3 -20.0 6.3 9.0 5.9 7.2 5.6 6.0 10.1 -0.8 -2.4 -14.7 -18.3 -20.0 -15.1 -1.4 5.8 BUND -3.2 15.7 12.9 3.8 4.3 2.9 3.4 1.1 3.2 12.0 2.5 9.0 -0.1 9.7 10.3 -8.3 0.2 -1.3 -0.6 8.8 6.2 10.1 0.6 7.9 1.2 3.6 6.2 3.0 4.2 1.4 3.2 3.9 1.5 -5.8 -5.4 -8.4 -20.0 -20.0 -5.3 -6.2 BUXL -4.1 13.3 9.1 4.3 5.0 3.4 3.9 1.2 3.8 13.8 1.4 9.1 0.1 8.4 9.4 -0.1 -2.1 -1.1 -2.0 6.7 4.3 8.6 -1.3 6.1 -3.0 3.5 6.7 3.0 4.2 1.4 2.9 0.8 -1.6 -9.6 -11.1 -15.0 -20.0 -20.0 -7.7 -6.7 CAC 12.4 -5.6 -20.0 1.3 -8.2 4.3 -5.7 6.8 -1.4 -11.9 -8.8 -5.0 2.1 2.5 -9.5 -5.6 -2.3 -5.2 -3.5 -9.8 -11.2 -13.7 -1.6 -6.1 -9.1 -3.9 -7.3 -3.6 -5.8 0.6 -2.8 5.9 -1.6 -2.5 -2.0 -20.0 12.6 5.6 2.2 3.0 CAD 15.8 12.2 4.3 4.8 -4.7 2.1 -0.0 1.1 4.8 -20.0 -4.1 3.8 -14.5 13.8 12.6 -4.4 -3.6 -4.6 -4.1 11.1 1.9 -3.0 -5.6 11.6 -1.5 5.0 -7.8 1.2 -0.9 -1.6 5.3 -2.6 -13.8 6.8 1.1 -2.1 10.9 -6.3 4.3 -2.7 CANOLA 9.5 -11.3 -2.2 -2.1 -1.2 -1.8 -2.0 -1.3 -2.0 -5.3 -5.0 -3.2 -6.4 -5.0 -5.3 -11.7 -10.6 -12.2 -12.6 -4.9 -5.1 -3.6 -5.5 -3.7 -13.7 -1.2 -0.8 -2.3 0.5 -3.3 0.3 -20.0 8.3 7.3 6.2 -2.1 -1.4 -11.0 7.7 -5.5 CHF 10.5 20.0 20.0 2.8 -2.7 1.2 -0.0 0.6 2.8 -2.8 4.0 8.5 -2.9 11.4 12.0 -13.9 -16.3 -15.3 -15.8 16.9 10.4 5.7 2.0 13.8 3.8 4.6 -0.1 3.1 1.3 1.0 3.6 -20.0 3.6 0.5 20.0 20.0 -1.1 -10.8 -9.1 -12.0 COCOA 5.6 0.6 2.1 -2.0 -1.2 -1.7 -1.9 -1.2 -1.8 -2.0 2.1 -2.6 3.2 0.4 -1.1 20.0 20.0 20.0 20.0 1.2 4.3 -2.6 9.0 -0.3 -20.0 1.7 -0.1 4.8 0.4 10.1 1.2 20.0 2.5 8.0 8.6 9.2 20.0 9.0 20.0 13.4 COFFEE 1.8 -4.2 4.9 -5.0 -3.0 -4.4 -4.8 -3.1 -4.8 -1.6 14.7 0.9 15.0 5.6 12.2 4.3 6.1 4.3 5.2 10.6 15.3 0.7 16.4 5.1 -20.0 4.8 2.1 7.6 0.6 9.7 2.7 7.0 5.5 20.0 18.7 20.0 -3.0 -9.5 5.0 -3.1 COPPER 5.6 -15.3 -13.3 -2.2 1.8 -3.0 0.6 -1.8 -0.3 -5.3 -4.2 -6.0 -0.9 -6.0 -9.2 -4.7 -3.0 -3.1 -2.6 -8.0 -4.3 -5.3 2.0 -6.1 -14.2 -1.9 0.4 -1.2 0.9 1.1 0.1 4.6 0.9 4.9 -9.5 -3.7 16.6 6.3 20.0 18.8 CORN 13.0 -5.0 -18.1 -4.0 -2.4 -3.5 -3.8 -2.5 -3.8 3.9 -12.3 7.2 -14.0 -0.1 -11.2 -20.0 -16.4 -20.0 -20.0 -10.8 -18.0 5.6 -19.8 0.7 -9.1 -4.1 -1.1 -5.8 0.2 -6.0 -1.1 -20.0 20.0 5.8 2.3 -12.9 -2.5 -6.3 0.1 -0.6 COTTON2 13.6 7.2 -14.5 -4.3 -2.6 -3.8 -4.1 -2.7 -4.1 -10.4 -15.1 -4.3 -13.9 -5.6 -11.6 -11.3 -3.2 -9.8 -6.5 -8.8 -15.9 -6.4 -16.3 -3.9 -20.0 -4.1 -5.1 -5.7 -4.6 -4.0 -2.9 -11.1 -2.4 5.8 2.7 1.3 -10.4 -11.2 -0.0 -4.2 CRUDE_W -14.6 -16.8 -10.0 -5.0 -8.7 -3.1 -7.7 -0.9 -6.4 -15.3 -7.3 -16.2 6.5 -15.8 -13.4 11.0 12.6 12.5 12.8 -15.9 -7.7 -20.0 -0.2 -20.0 -1.6 -5.7 -8.6 -4.1 -7.5 -1.0 -6.4 10.7 7.6 9.9 1.8 -2.8 5.3 15.4 6.0 20.0 DAX 14.8 -4.1 -16.4 1.2 -7.2 3.8 -5.1 6.0 -1.2 -13.9 6.8 1.8 13.0 9.1 5.4 -8.1 -10.4 -8.6 -9.5 3.4 4.1 -8.3 9.8 2.9 10.3 0.6 -8.7 2.1 -4.4 5.7 0.1 -6.8 0.8 8.6 5.1 -17.4 12.2 4.7 1.9 2.2 DOW 7.1 0.5 -2.0 0.9 -5.7 3.0 -4.0 4.7 -1.0 -4.4 7.8 1.1 11.8 7.3 7.8 -8.8 -10.8 -9.7 -10.4 7.4 8.2 -2.5 9.8 4.1 -10.2 4.1 0.2 4.3 1.8 5.3 3.6 -7.9 18.7 14.0 20.0 3.5 9.4 0.9 -2.7 -4.5 DX -7.7 -20.0 -13.8 3.1 -3.0 1.4 -0.0 0.7 3.1 5.4 -5.9 -4.6 5.2 -10.4 -12.8 5.3 6.8 6.4 6.7 -16.5 -10.3 -3.6 -2.0 -12.9 -20.0 -5.0 1.1 -3.2 -1.1 -0.7 -3.9 15.6 20.0 -20.0 -20.0 -20.0 -2.9 5.7 -4.2 8.4 EUR 3.1 12.8 8.4 4.1 -3.9 1.8 -0.0 0.9 4.1 -18.2 7.8 -5.5 -4.1 8.5 13.5 -6.2 -7.2 -6.9 -7.0 13.3 9.4 -5.5 2.7 7.0 20.0 5.8 -5.4 4.5 -1.9 2.1 3.2 -8.2 -15.8 -5.5 12.6 10.2 1.4 -18.4 -3.7 -20.0 EURIBOR-ICE 4.8 20.0 18.2 2.9 3.4 2.3 2.6 0.8 2.5 9.3 4.2 9.0 3.4 10.0 9.9 2.2 -3.2 -0.3 -1.9 13.9 10.0 15.5 4.8 13.9 13.1 3.4 5.0 2.5 4.2 1.3 3.6 -0.1 11.4 4.6 4.5 -0.4 -20.0 -20.0 -0.9 2.0 EUROSTX 9.1 -8.7 -20.0 1.1 -6.8 3.6 -4.8 5.6 -1.1 -12.2 3.2 -6.1 10.8 1.3 -1.5 -4.3 -3.0 -4.6 -4.2 -4.0 -1.1 -14.4 7.2 -5.2 -2.2 -2.1 -9.1 0.1 -6.7 4.6 -2.9 4.4 -5.5 -3.2 -5.5 -20.0 5.5 1.0 -14.2 -3.4 FEEDCOW -3.3 -20.0 -18.0 -4.7 -2.8 -4.1 -4.5 -2.9 -4.4 -3.8 -11.8 -9.3 -9.7 -14.0 -14.3 14.6 -17.1 6.1 -4.9 -20.0 -20.0 -13.6 -11.5 -20.0 -6.4 -5.5 -1.2 -4.2 -3.0 -2.0 -4.8 -20.0 -3.2 -15.4 -20.0 -17.5 4.2 20.0 12.2 20.0 GASOIL -14.3 -17.5 -12.8 -5.2 -8.9 -3.2 -7.9 -0.9 -6.5 -15.9 -12.7 -17.5 4.9 -17.8 -16.7 2.7 9.0 1.8 3.8 -20.0 -12.5 -20.0 -2.7 -20.0 3.8 -6.1 -10.2 -3.9 -9.0 -1.2 -7.6 0.1 -9.0 -5.4 -8.9 -1.5 -4.1 -11.6 -8.6 -20.0 GASOLINE -16.3 -16.2 -11.1 -5.1 -8.8 -3.1 -7.8 -0.9 -6.4 -15.1 -6.9 -16.5 5.0 -16.3 -14.5 20.0 20.0 20.0 20.0 -17.2 -8.5 -20.0 0.5 -20.0 -20.0 -5.9 -7.6 -3.9 -7.1 -0.2 -6.8 20.0 18.1 8.1 6.3 0.8 13.7 19.2 19.5 20.0 GAS_US_mini -1.1 -4.6 -8.0 -5.3 -9.2 -3.3 -8.2 -0.9 -6.7 -4.1 -16.7 -12.5 -17.8 -12.0 -16.8 -20.0 -20.0 -20.0 -20.0 -13.1 -16.0 -4.2 -20.0 -8.6 20.0 -5.3 -1.9 -5.5 -3.6 -7.2 -5.0 -20.0 20.0 20.0 15.6 9.9 -6.6 -15.5 -7.4 -19.4 GBP 13.9 5.7 8.2 4.5 -4.3 2.0 -0.0 1.0 4.4 -18.0 17.3 7.9 12.6 13.2 16.1 0.1 -0.7 -0.4 -0.6 19.9 16.4 1.9 11.6 15.9 -1.5 7.0 -3.8 6.1 0.8 4.6 5.6 2.9 -8.3 17.2 9.8 20.0 8.3 -20.0 9.7 -17.2 GOLD_micro 5.2 8.0 8.9 -2.9 2.4 -3.9 0.8 -2.5 -0.4 1.2 15.2 7.3 14.7 12.3 13.3 -12.3 -13.2 -12.1 -12.3 14.5 17.7 3.8 19.4 9.7 -7.7 4.9 1.8 5.7 2.6 7.4 4.5 -12.6 5.8 7.9 20.0 20.0 12.2 -2.8 14.8 2.8 HEATOIL -12.8 -15.3 -10.3 -5.0 -8.6 -3.1 -7.6 -0.9 -6.3 -14.9 -13.4 -16.2 -0.5 -16.6 -15.5 -5.8 5.6 -5.3 -1.8 -19.0 -12.6 -20.0 -5.1 -20.0 -20.0 -6.1 -7.3 -5.0 -6.6 -2.2 -6.5 -7.6 11.1 5.9 -1.6 -5.2 -6.8 4.9 -16.6 2.6 JGB-SGX-mini -1.5 20.0 9.3 2.1 2.5 1.7 1.9 0.6 1.9 5.3 1.3 -0.2 0.8 3.2 3.4 11.4 16.7 13.9 15.2 4.5 2.6 2.2 0.6 3.4 -7.5 1.8 0.9 0.8 0.8 -0.2 1.4 20.0 -5.5 -5.5 -0.3 -5.7 -7.6 -5.2 -7.3 6.4 JPY 6.2 20.0 20.0 1.6 -1.6 0.7 -0.0 0.4 1.6 6.8 2.3 7.2 -4.6 8.0 7.4 -10.9 -15.1 -12.6 -13.8 10.1 4.4 7.9 -3.6 9.8 20.0 2.5 1.6 1.1 1.7 -0.9 2.3 -20.0 11.5 -1.0 20.0 7.7 -20.0 -19.3 -20.0 -19.6 LEANHOG 19.2 15.8 -12.2 -4.6 -2.8 -4.1 -4.4 -2.9 -4.4 -13.5 -6.9 7.4 -7.2 11.2 -0.0 20.0 18.4 20.0 20.0 3.0 -7.8 4.2 -11.7 10.2 4.3 0.4 -2.6 -2.9 0.0 -3.8 2.5 20.0 8.6 20.0 20.0 -3.2 0.2 -5.2 4.5 3.5 LIVECOW -8.8 -20.0 2.7 -5.4 -3.2 -4.8 -5.2 -3.4 -5.1 -4.0 4.1 -5.5 6.0 -11.8 -6.8 12.5 11.5 15.0 14.9 -7.6 0.1 -6.5 4.7 -9.9 -12.7 -4.0 -2.4 -0.2 -4.4 2.7 -5.7 20.0 2.7 -12.8 -10.6 20.0 -1.4 20.0 5.5 20.0 LUMBER-new -6.7 12.5 -3.7 -3.2 -1.9 -2.8 -3.1 -1.9 -3.0 -8.5 -7.3 -8.2 -8.2 0.3 -2.1 -19.5 -17.8 -18.3 -17.9 -2.7 -6.1 -4.9 -7.7 -2.7 NaN -0.8 -3.6 -3.5 -1.9 -4.8 -0.6 -20.0 12.6 -1.6 15.8 4.5 3.0 -2.0 7.7 0.6 MILK 13.0 6.9 20.0 -4.0 -2.4 -3.5 -3.8 -2.5 -3.7 11.3 13.0 12.4 6.2 13.1 13.3 20.0 -16.7 5.9 -6.6 18.6 15.0 19.8 6.7 20.0 15.1 5.0 5.7 4.1 5.1 1.6 5.4 -20.0 20.0 20.0 20.0 20.0 -1.8 -19.9 4.2 -20.0 MXP -12.4 -17.6 -20.0 1.8 -1.8 0.8 -0.0 0.4 1.8 -7.4 -7.8 -9.1 -3.4 -9.3 -9.1 9.7 14.1 10.6 12.0 -13.1 -10.6 -9.0 -4.0 -12.1 -20.0 -3.4 -1.4 -2.9 -2.1 -1.0 -3.0 20.0 0.0 -20.0 -20.0 -20.0 14.9 12.4 19.8 18.9 NASDAQ_micro -2.8 -19.6 -16.7 0.7 -4.0 2.1 -2.8 3.3 -0.7 -3.5 1.8 -4.7 6.9 -2.1 -1.5 -6.7 -10.0 -8.3 -9.3 -2.6 2.1 -8.6 7.0 -6.2 -16.6 -0.0 -0.4 2.0 -0.9 4.7 -0.6 -6.2 6.8 -0.1 -10.3 3.7 1.3 4.2 -8.4 1.2 NIKKEI 3.5 -20.0 -20.0 0.5 -2.8 1.5 -2.0 2.3 -0.5 -6.3 1.3 -4.0 3.4 0.7 0.4 3.8 9.3 7.3 8.3 -2.3 -0.6 -5.6 2.4 -3.0 -6.4 -1.8 -1.5 -0.8 -1.4 0.9 -1.7 20.0 -0.6 -6.1 -20.0 -10.9 9.6 0.4 7.6 -1.1 NZD 17.9 10.2 2.6 2.8 -2.7 1.2 -0.0 0.6 2.8 -11.1 4.2 5.8 -0.3 9.9 8.6 0.1 0.1 -0.0 -0.0 7.8 3.6 -0.5 0.5 8.1 0.0 2.8 -3.2 1.2 -0.1 0.3 3.0 4.0 -2.5 3.2 0.6 1.9 5.8 -5.1 3.4 -0.1 OAT 1.5 16.6 4.1 4.1 4.7 3.2 3.7 1.2 3.5 12.8 -1.5 10.8 -1.9 12.3 12.0 3.8 3.6 2.0 2.2 8.2 3.3 12.7 -1.9 9.9 3.2 3.8 7.8 2.1 6.1 0.5 4.6 9.5 4.5 -1.7 -8.0 -17.2 -14.0 -16.9 0.4 0.7 OATIES 20.0 10.5 -14.5 -4.3 -2.5 -3.8 -4.1 -2.6 -4.0 13.2 -10.2 14.2 -13.3 11.1 -6.7 2.6 2.5 4.8 4.3 5.8 -7.5 20.0 -12.0 20.0 -20.0 1.3 6.9 -1.8 8.3 -2.5 6.1 2.7 20.0 20.0 20.0 -2.1 12.6 -0.1 20.0 9.4 OJ 14.2 1.6 2.0 -4.8 -2.9 -4.3 -4.6 -3.0 -4.6 14.3 14.4 14.5 15.2 12.9 13.2 13.7 12.0 11.1 10.4 19.2 18.9 20.0 20.0 20.0 -20.0 5.6 6.1 5.7 7.0 8.5 6.8 15.9 20.0 20.0 20.0 20.0 12.2 12.7 20.0 20.0 PALLAD 6.8 4.6 8.8 -1.7 1.4 -2.3 0.5 -1.4 -0.2 3.1 -4.4 1.3 -7.9 3.1 -1.1 -1.7 -2.0 -1.8 -1.9 -0.4 -2.8 1.2 -6.9 0.9 14.7 -0.0 3.8 -2.2 2.5 -4.1 1.9 6.1 6.2 2.1 2.1 7.1 -20.0 -20.0 -20.0 -20.0 PLAT -0.8 -9.3 -6.9 -2.2 1.8 -2.9 0.6 -1.8 -0.3 7.4 -6.3 -2.1 -4.8 -6.9 -9.2 -4.5 -4.5 -4.8 -4.7 -5.5 -3.4 -1.1 -1.5 -4.8 5.0 -2.8 3.4 -2.7 1.5 -1.2 -0.9 1.5 4.7 -2.5 -6.3 1.6 -4.7 -7.6 -6.2 1.4 REDWHEAT 16.6 -4.4 -20.0 -5.9 -3.5 -5.2 -5.7 -3.7 -5.6 7.4 -17.5 11.9 -19.0 5.5 -17.1 -9.0 -6.0 -9.9 -8.5 -12.0 -19.3 13.4 -20.0 4.5 -5.8 -4.5 1.7 -6.1 3.1 -6.1 0.2 -15.3 20.0 10.5 5.5 -13.9 -20.0 -20.0 -20.0 -20.0 RICE 0.6 -3.0 -11.9 -5.0 -3.0 -4.4 -4.8 -3.1 -4.7 -4.2 8.5 0.4 11.7 1.1 -3.6 -10.2 20.0 14.7 20.0 -2.6 0.7 -1.6 6.7 -1.9 -10.7 -1.2 -5.1 1.1 -4.0 3.0 -3.0 20.0 3.6 0.7 13.1 17.7 -20.0 -19.4 -20.0 -19.0 ROBUSTA 15.3 0.1 4.4 -3.3 -2.0 -2.9 -3.2 -2.1 -3.1 7.4 11.5 9.7 11.4 10.2 11.2 20.0 20.0 20.0 20.0 18.5 19.5 11.2 20.0 16.6 -20.0 4.4 1.5 5.7 2.0 7.4 3.4 20.0 14.3 20.0 20.0 20.0 5.3 -4.8 13.3 2.3 RUSSELL -1.2 -6.3 -0.3 0.7 -4.3 2.3 -3.0 3.6 -0.7 -8.3 2.7 -6.1 7.1 -2.3 -0.3 -4.9 -6.5 -5.7 -6.1 0.8 3.4 -9.4 4.2 -4.0 -0.7 2.2 -2.1 3.1 -1.0 3.2 0.7 -0.4 4.8 1.4 13.3 4.9 2.2 -15.4 -7.2 -20.0 SHATZ 2.6 20.0 20.0 2.7 3.1 2.1 2.5 0.8 2.3 8.7 0.5 7.7 -3.5 8.1 8.1 -20.0 -20.0 -20.0 -20.0 11.1 6.2 13.5 -2.5 11.4 7.3 3.0 4.5 1.8 3.7 -0.1 3.1 -20.0 10.3 1.1 4.2 1.0 -20.0 -18.5 -16.0 -10.8 SILVER-mini 3.7 -12.5 -3.1 -2.1 1.7 -2.8 0.6 -1.7 -0.3 -5.2 3.1 -3.9 4.6 -3.0 -4.2 -6.5 -6.4 -6.2 -6.2 -2.3 1.6 -4.8 5.2 -3.7 2.2 -1.1 -0.3 -0.2 -0.3 1.9 -0.2 -1.5 -4.6 3.6 -5.0 5.9 5.3 -3.6 5.4 8.5 SMI 1.3 -12.2 -1.0 0.9 -5.8 3.0 -4.1 4.8 -1.0 -10.4 11.0 -7.4 12.5 4.6 7.3 -2.9 -0.0 -3.0 -2.0 2.8 8.4 -14.8 11.1 -4.4 9.9 3.4 -6.5 5.6 -5.2 6.1 -0.4 9.0 -7.6 -5.3 18.4 13.4 0.6 1.0 -11.3 -2.9 SOFR 8.4 20.0 20.0 4.3 5.0 3.4 3.9 1.2 3.7 13.8 12.1 15.1 6.4 15.3 15.4 2.2 -0.6 0.6 -0.3 20.0 18.3 19.7 7.8 20.0 -5.6 5.5 4.0 4.7 3.9 2.7 4.7 3.6 -1.4 4.1 3.4 9.2 9.3 -13.0 20.0 7.6 SOYBEAN 17.8 -9.9 -18.2 -2.7 -1.6 -2.4 -2.6 -1.7 -2.6 1.2 -8.3 5.1 -8.0 -2.5 -7.5 -13.2 1.2 -9.3 -5.0 -9.2 -12.5 2.7 -10.9 -1.3 -16.3 -2.9 -1.0 -3.5 0.0 -2.9 -1.0 -6.2 11.4 4.7 -5.6 -12.8 -1.3 -20.0 4.3 -14.5 SOYMEAL 14.3 2.3 -11.6 -3.1 -1.8 -2.7 -3.0 -1.9 -2.9 2.3 -8.2 6.1 -9.3 3.0 -6.9 -5.7 4.0 -1.7 0.6 -3.7 -8.4 6.4 -9.2 3.7 -20.0 -2.1 -1.8 -3.1 0.7 -2.7 0.0 0.8 12.7 8.6 6.7 -2.5 -20.0 -20.0 -20.0 -20.0 SOYOIL 14.3 -10.7 0.2 -2.3 -1.4 -2.1 -2.2 -1.4 -2.2 -6.0 -6.6 -0.6 -7.7 -4.5 -5.9 2.1 1.7 3.3 1.7 -5.3 -6.6 -2.1 -7.1 -2.8 -17.3 -1.7 -0.9 -2.5 0.3 -2.5 -0.2 -0.8 10.1 7.0 -4.8 0.0 -2.8 -9.2 5.7 -2.8 SP400 -0.3 -4.9 -8.4 0.8 -5.1 2.7 -3.6 4.2 -0.9 -9.7 4.5 -7.6 9.3 -1.5 0.0 -6.3 -5.9 -6.0 -5.9 -0.1 3.1 -12.3 6.0 -5.3 -9.4 2.4 -3.3 3.8 -1.9 5.0 0.6 0.4 3.5 1.4 12.7 0.3 5.4 -7.0 -5.1 -20.0 SP500_micro 2.4 -15.7 -14.0 0.8 -5.1 2.7 -3.6 4.3 -0.9 -4.3 8.2 -2.6 11.3 3.5 4.5 -9.0 -12.0 -10.6 -11.6 2.6 7.4 -7.2 12.0 -2.1 -15.7 2.2 -0.2 4.4 0.2 7.2 1.3 -9.9 11.1 7.5 -1.4 8.0 6.2 2.8 -6.9 -0.8 SUGAR11 16.5 3.9 3.6 -4.2 -2.5 -3.7 -4.0 -2.6 -4.0 -12.8 -10.7 1.9 -11.3 2.0 -3.4 -4.0 5.6 -3.3 -0.1 -1.2 -7.5 -3.0 -9.1 2.4 -20.0 -0.6 -6.4 -3.4 -1.7 -4.2 0.7 1.9 -4.3 12.4 2.3 13.4 -9.0 14.0 -5.7 17.3 US10 4.8 20.0 20.0 3.3 3.8 2.5 3.0 0.9 2.8 10.5 8.1 10.8 1.1 10.8 10.9 -7.2 -7.4 -7.2 -7.2 14.7 11.0 12.9 2.6 13.5 2.1 3.9 2.7 3.4 2.5 1.7 3.1 -8.1 -3.3 -0.6 1.2 4.6 4.0 -20.0 20.0 5.6 US10U 4.5 20.0 20.0 4.5 5.2 3.5 4.0 1.3 3.9 14.3 10.8 14.6 0.5 14.9 15.1 -4.0 -3.1 -4.0 -3.8 18.1 13.2 16.4 2.4 17.0 -0.7 5.3 3.8 4.6 3.3 2.2 4.1 -1.4 -6.3 -1.3 -1.7 3.0 4.5 -17.9 20.0 15.3 US2 7.6 20.0 20.0 2.5 2.8 1.9 2.2 0.7 2.1 7.6 3.8 8.0 -2.0 8.0 7.9 -20.0 -20.0 -20.0 -20.0 12.4 7.9 12.6 -0.2 12.6 11.7 2.9 2.0 2.1 2.2 0.6 2.7 -20.0 3.2 2.5 8.3 5.9 0.7 -20.0 5.2 -11.4 US20 5.2 19.6 19.3 3.3 3.8 2.6 3.0 0.9 2.8 10.5 8.0 10.8 2.5 10.8 10.8 -0.5 -0.8 -0.8 -0.8 12.8 9.6 11.7 2.5 12.0 -2.5 3.9 2.9 3.7 2.3 2.1 2.9 3.2 -5.9 -1.0 -3.0 2.2 5.1 -10.1 20.0 20.0 US30 5.4 17.6 17.1 3.9 4.5 3.0 3.5 1.1 3.4 12.5 8.5 12.7 0.8 12.6 12.3 -5.8 -5.1 -5.0 -4.9 12.8 8.9 13.0 0.9 12.9 -1.8 4.5 3.8 4.2 3.0 2.2 3.6 -4.1 -7.1 -1.2 -7.0 -1.1 2.1 -9.3 20.0 20.0 US5 6.3 20.0 20.0 3.2 3.7 2.5 2.9 0.9 2.8 10.3 7.5 10.6 0.1 10.7 10.7 -10.6 -10.9 -11.5 -11.1 15.6 11.3 14.2 2.3 14.8 5.9 3.9 2.7 3.2 2.7 1.4 3.3 -14.4 -0.3 1.0 4.4 6.1 4.8 -20.0 19.5 -1.0 VIX 1.1 18.5 20.0 1.3 -0.1 0.4 0.1 -1.0 0.8 3.2 -4.1 2.9 -6.3 -3.1 -3.5 5.0 -20.0 -20.0 -20.0 1.6 -0.1 3.1 -3.1 2.4 NaN 1.5 -0.2 0.5 0.1 -1.3 1.0 NaN NaN NaN NaN NaN -11.5 -20.0 NaN NaN WHEAT 14.8 -5.4 -20.0 -4.4 -2.6 -3.8 -4.2 -2.7 -4.1 8.3 -12.4 10.0 -13.2 4.4 -12.2 -15.7 -15.2 -16.6 -16.2 -9.5 -14.7 11.2 -15.6 3.4 3.0 -3.7 1.7 -4.4 1.9 -3.9 -0.4 -20.0 20.0 5.0 2.0 -12.1 -20.0 -20.0 -18.0 -20.0 End of report for caleb_strategy_v3