******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240911_203906 produced at 2024-09-11 21:37:27.111367 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.13 0.0 0.51 -0.51 -0.12 -0.12 -15.55 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 -2.67 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 -1.69 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 -31.00 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 -1.72 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 -1.83 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 -16.33 26.0 -13 -13 caleb_strategy_v3 CAC True False 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.34 12.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -0.87 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 -5.57 12.0 -5 -5 caleb_strategy_v3 VIX False False 0.01 -0.02 -0.03 0.0 999.00 -999.00 -0.02 -0.02 -4.51 999999999.0 -3 -3 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.03 0.0 0.13 -0.13 -0.05 -0.04 -2.26 11.0 -4 -3 caleb_strategy_v3 COPPER False False 0.04 0.00 -0.03 0.0 999.00 -999.00 0.00 0.00 -0.98 999999999.0 0 0 caleb_strategy_v3 WHEAT False True 0.01 -0.03 -0.02 0.0 0.00 -0.03 -0.03 -0.03 -1.65 9.0 -3 -3 caleb_strategy_v3 SP400 False True 0.10 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.19 2.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.02 0.0 0.15 -0.15 0.00 0.00 -7.26 51.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.02 0.0 0.30 -0.30 0.00 0.00 -1.62 23.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.02 -0.02 0.0 0.32 -0.32 -0.02 -0.02 -2.11 36.0 -2 -2 caleb_strategy_v3 EUROSTX False False 0.02 0.00 -0.02 0.0 0.37 -0.37 0.00 -0.02 -1.05 20.0 0 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.02 0.0 0.08 -0.08 -0.01 -0.01 -1.76 8.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 -0.05 -0.01 0.0 0.25 -0.25 -0.05 -0.07 -2.16 68.0 -14 -18 caleb_strategy_v3 LUMBER-new False False 0.00 -0.01 -0.01 0.0 0.01 -0.01 -0.01 -0.01 -2.08 3.0 -2 -2 caleb_strategy_v3 PLAT False False 0.02 -0.03 -0.01 0.0 0.16 -0.16 -0.03 -0.03 -0.56 10.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.07 -0.01 0.0 0.13 -0.13 -0.07 -0.07 -0.75 7.0 -4 -4 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.99 9.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.01 0.0 0.46 -0.46 -0.01 -0.01 -1.54 48.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -1.22 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 -0.10 4.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.01 0.0 0.86 -0.86 0.00 0.00 -0.30 19.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.00 0.0 999.00 -999.00 0.00 0.00 -0.04 999999999.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.07 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 -0.61 10.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 -0.00 0.0 0.11 -0.11 0.02 0.02 -0.08 5.0 1 1 caleb_strategy_v3 RICE False False 0.01 0.00 -0.00 0.0 0.04 -0.04 0.00 0.00 -0.43 4.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.19 -0.19 0.00 0.00 0.12 6.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.00 0.0 0.51 -0.51 0.00 0.05 0.03 10.0 0 1 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 OATIES False True 0.01 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.72 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 0.77 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 0.29 6.0 3 3 caleb_strategy_v3 AUD False False 0.02 0.09 0.01 0.0 0.43 -0.43 0.09 0.09 0.35 19.0 4 4 caleb_strategy_v3 DOW False False 0.01 0.01 0.01 0.0 0.46 -0.46 0.01 0.02 1.58 66.0 2 3 caleb_strategy_v3 BTP False False 0.05 -0.05 0.01 0.0 0.46 -0.46 -0.05 -0.05 0.28 10.0 -1 -1 caleb_strategy_v3 CAD False False 0.03 0.03 0.01 0.0 0.73 -0.73 0.03 0.03 0.30 29.0 1 1 caleb_strategy_v3 CHF False False 0.05 0.25 0.01 0.0 0.66 -0.66 0.25 0.25 0.29 13.0 5 5 caleb_strategy_v3 COCOA False False 0.02 0.00 0.01 0.0 0.55 -0.55 0.00 0.00 0.41 26.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.05 0.01 0.0 0.41 -0.41 0.05 0.05 0.23 17.0 2 2 caleb_strategy_v3 JPY False False 0.03 0.03 0.01 0.0 0.52 -0.52 0.03 0.03 0.46 17.0 1 1 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 NZD False False 0.02 0.00 0.02 0.0 0.44 -0.44 0.00 0.00 1.05 21.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.60 9.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.66 9.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.05 0.03 0.0 0.66 -0.66 0.05 0.05 0.71 14.0 1 1 caleb_strategy_v3 DAX False False 0.01 0.03 0.03 0.0 0.41 -0.41 0.03 0.03 3.92 58.0 4 4 caleb_strategy_v3 MILK False False 0.02 0.00 0.03 0.0 0.08 -0.08 0.00 0.00 1.62 5.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.04 0.04 0.0 0.53 -0.53 0.04 0.04 0.86 13.0 1 1 caleb_strategy_v3 US10 False False 0.04 0.00 0.04 0.0 0.67 -0.67 0.00 0.00 0.89 17.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.04 0.0 0.48 -0.48 0.00 0.00 5.20 56.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 0.05 0.0 0.48 -0.48 0.00 0.00 1.07 10.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 0.05 0.0 0.00 0.00 0.00 0.00 0.65 13.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.19 0.05 0.0 0.94 -0.94 0.19 0.19 1.32 25.0 5 5 caleb_strategy_v3 LEANHOG False False 0.01 0.04 0.05 0.0 0.13 -0.13 0.04 0.04 5.44 13.0 4 4 caleb_strategy_v3 GBP False False 0.03 0.03 0.06 0.0 0.61 -0.61 0.03 0.03 2.23 22.0 1 1 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.14 0.28 0.0 0.56 -0.56 0.14 0.14 8.04 16.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 1.13 0.0 0.93 -0.93 0.00 0.00 12.22 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.69 0.0 0.00 0.00 0.00 0.00 20.38 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.2 Shocked risk 17.8 Sum abs risk 32.2 Leverage 4.71 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2925437.37, 'annual_cash_vol_target': 731359.3425, 'daily_cash_vol_target': 45709.95890625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6682 0.6216 9.9459 BITCOIN 1824.8851 57700.0000 3.1627 50.6034 BOBL 0.2275 120.0300 0.1895 3.0320 BTP 0.4720 120.6500 0.3913 6.2600 BUND 0.4605 135.1600 0.3407 5.4511 BUXL 1.1452 138.1800 0.8288 13.2606 CAC 58.9470 7420.0000 0.7944 12.7109 CAD 0.0027 0.7388 0.3607 5.7711 CANOLA 10.1305 582.8000 1.7382 27.8118 CHF 0.0057 1.1880 0.4837 7.7398 COCOA 188.0966 6159.0000 3.0540 48.8642 COFFEE 4.5021 244.8000 1.8391 29.4254 COPPER 0.0540 4.1585 1.2988 20.7813 CORN 5.0477 405.0000 1.2463 19.9414 COTTON2 1.0416 69.6300 1.4959 23.9338 CRUDE_W 1.2166 65.9900 1.8436 29.4976 DAX 148.2052 18642.0000 0.7950 12.7201 DOW 287.6871 41172.0000 0.6987 11.1799 DX 0.3909 101.2850 0.3859 6.1744 EUR 0.0045 1.1066 0.4109 6.5746 EURIBOR-ICE 0.0394 98.0750 0.0402 0.6427 EUROSTX 45.6267 4843.0000 0.9421 15.0739 FEEDCOW 2.0608 229.4750 0.8981 14.3688 GASOIL 11.2142 639.2500 1.7543 28.0683 GASOLINE 0.0357 1.8528 1.9277 30.8432 GAS_US_mini 0.0812 2.5800 3.1474 50.3591 GBP 0.0060 1.3052 0.4634 7.4151 GOLD_micro 17.9162 2516.5000 0.7120 11.3912 HEATOIL 0.0396 2.1174 1.8703 29.9246 JGB-SGX-mini 0.2971 144.6400 0.2054 3.2869 JPY 0.0001 0.0071 0.7116 11.3858 LEANHOG 1.0896 72.2750 1.5076 24.1212 LIVECOW 1.3823 177.2000 0.7801 12.4812 LUMBER-new 8.7401 511.0000 1.7104 27.3664 MILK 0.3154 23.2400 1.3569 21.7110 MXP 0.0005 0.0498 1.0266 16.4260 NASDAQ_micro 226.6611 19353.0000 1.1712 18.7391 NIKKEI 654.7598 36160.0000 1.8107 28.9717 NZD 0.0040 0.6135 0.6468 10.3488 OAT 0.4279 127.9100 0.3345 5.3528 OATIES 5.7295 366.2500 1.5644 25.0297 OJ 9.1305 482.0000 1.8943 30.3088 PALLAD 25.4172 1013.0000 2.5091 40.1456 PLAT 15.4188 956.9000 1.6113 25.7813 REDWHEAT 9.1017 601.5000 1.5132 24.2107 RICE 0.1594 15.3550 1.0384 16.6139 ROBUSTA 81.5431 5011.0000 1.6273 26.0365 RUSSELL 26.5461 2120.9000 1.2516 20.0263 SHATZ 0.0763 107.0800 0.0713 1.1408 SILVER-mini 0.4968 29.0625 1.7094 27.3506 SMI 89.8620 11965.0000 0.7510 12.0166 SOFR 0.0552 97.1100 0.0569 0.9102 SOYBEAN 13.0049 1052.0000 1.2362 19.7794 SOYMEAL 4.6506 322.3000 1.4430 23.0872 SOYOIL 0.7726 39.4400 1.9590 31.3442 SP400 28.5116 2953.6000 0.9653 15.4451 SP500_micro 45.7804 5588.0000 0.8193 13.1082 SUGAR11 0.3087 19.0700 1.6188 25.9003 US10 0.3704 115.3281 0.3211 5.1382 US10U 0.5068 119.7812 0.4231 6.7703 US2 0.1138 104.3125 0.1091 1.7459 US20 0.7486 126.7188 0.5908 9.4524 US30 1.1290 136.9688 0.8243 13.1885 US5 0.2458 110.5703 0.2223 3.5571 VIX 0.8840 18.7500 4.7146 75.4337 WHEAT 8.5917 579.2500 1.4832 23.7319 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 668.20 0.62 415.36 1.00 415.36 45709.96 110.05 1.23 13.54 BITCOIN 57.70 3.16 182.49 1.00 182.49 45709.96 250.48 -11.43 -286.26 BOBL 1200.30 0.19 227.45 1.10 251.04 45709.96 182.08 -1.64 -29.90 BTP 1206.50 0.39 472.04 1.10 520.99 45709.96 87.74 0.94 8.22 BUND 1351.60 0.34 460.48 1.10 508.23 45709.96 89.94 0.30 2.65 BUXL 1381.80 0.83 1145.22 1.10 1263.97 45709.96 36.16 -2.84 -10.28 CAC 742.00 0.79 589.47 1.10 650.60 45709.96 70.26 -5.61 -39.42 CAD 738.75 0.36 266.46 1.00 266.46 45709.96 171.54 0.68 11.62 CANOLA 116.56 1.74 202.61 0.74 149.35 45709.96 306.07 -9.75 -298.45 CHF 1485.00 0.48 718.35 1.00 718.35 45709.96 63.63 1.77 11.24 COCOA 615.90 3.05 1880.97 1.00 1880.97 45709.96 24.30 7.84 19.06 COFFEE 918.00 1.84 1688.28 1.00 1688.28 45709.96 27.07 3.87 10.48 COPPER 1039.62 1.30 1350.30 1.00 1350.30 45709.96 33.85 -2.68 -9.07 CORN 202.50 1.25 252.38 1.00 252.38 45709.96 181.11 -12.64 -228.97 COTTON2 348.15 1.50 520.78 1.00 520.78 45709.96 87.77 -12.02 -105.49 CRUDE_W 659.90 1.84 1216.59 1.00 1216.59 45709.96 37.57 -0.19 -0.72 DAX 186.42 0.80 148.21 1.10 163.57 45709.96 279.45 4.11 114.92 DOW 205.86 0.70 143.84 1.00 143.84 45709.96 317.78 2.13 67.79 DX 1012.85 0.39 390.86 1.00 390.86 45709.96 116.95 -8.81 -103.07 EUR 1383.25 0.41 568.39 1.00 568.39 45709.96 80.42 3.38 27.21 EURIBOR-ICE 2451.88 0.04 98.49 1.10 108.71 45709.96 420.48 8.52 358.31 EUROSTX 484.30 0.94 456.27 1.10 503.58 45709.96 90.77 -3.40 -30.83 FEEDCOW 1147.38 0.90 1030.40 1.00 1030.40 45709.96 44.36 -11.50 -51.00 GASOIL 639.25 1.75 1121.42 1.00 1121.42 45709.96 40.76 -10.38 -42.31 GASOLINE 778.18 1.93 1500.09 1.00 1500.09 45709.96 30.47 -0.30 -0.90 GAS_US_mini 64.50 3.15 203.01 1.00 203.01 45709.96 225.16 -6.70 -150.79 GBP 815.75 0.46 378.05 1.00 378.05 45709.96 120.91 7.12 86.08 GOLD_micro 251.65 0.71 179.16 1.00 179.16 45709.96 255.13 5.97 152.43 HEATOIL 889.31 1.87 1663.26 1.00 1663.26 45709.96 27.48 -14.46 -39.74 JGB-SGX-mini 144640.00 0.21 29713.85 0.01 207.52 45709.96 220.27 3.37 74.28 JPY 890.75 0.71 633.87 1.00 633.87 45709.96 72.11 2.48 17.91 LEANHOG 289.10 1.51 435.84 1.00 435.84 45709.96 104.88 8.53 89.46 LIVECOW 708.80 0.78 552.92 1.00 552.92 45709.96 82.67 0.84 6.91 LUMBER-new 140.52 1.71 240.35 1.00 240.35 45709.96 190.18 -5.12 -97.36 MILK 464.80 1.36 630.71 1.00 630.71 45709.96 72.47 10.44 75.65 MXP 249.20 1.03 255.84 1.00 255.84 45709.96 178.67 -5.93 -105.95 NASDAQ_micro 387.06 1.17 453.32 1.00 453.32 45709.96 100.83 -6.93 -69.88 NIKKEI 36160.00 1.81 65475.98 0.01 457.29 45709.96 99.96 -1.95 -19.49 NZD 613.45 0.65 396.78 1.00 396.78 45709.96 115.20 3.51 40.46 OAT 1279.10 0.33 427.92 1.10 472.29 45709.96 96.78 3.23 31.28 OATIES 183.12 1.56 286.47 1.00 286.47 45709.96 159.56 1.86 29.70 OJ 723.00 1.89 1369.58 1.00 1369.58 45709.96 33.38 13.38 44.65 PALLAD 1013.00 2.51 2541.72 1.00 2541.72 45709.96 17.98 1.15 2.06 PLAT 478.45 1.61 770.94 1.00 770.94 45709.96 59.29 -2.76 -16.37 REDWHEAT 300.75 1.51 455.09 1.00 455.09 45709.96 100.44 -13.19 -132.51 RICE 307.10 1.04 318.88 1.00 318.88 45709.96 143.34 -1.23 -17.57 ROBUSTA 501.10 1.63 815.43 1.00 815.43 45709.96 56.06 11.71 65.64 RUSSELL 106.04 1.25 132.73 1.00 132.73 45709.96 344.38 -1.89 -65.11 SHATZ 1070.80 0.07 76.35 1.10 84.26 45709.96 542.47 -1.58 -85.72 SILVER-mini 726.56 1.71 1242.00 1.00 1242.00 45709.96 36.80 -0.15 -0.54 SMI 1196.50 0.75 898.62 1.18 1059.29 45709.96 43.15 4.50 19.42 SOFR 2427.75 0.06 138.11 1.00 138.11 45709.96 330.96 10.13 335.27 SOYBEAN 526.00 1.24 650.25 1.00 650.25 45709.96 70.30 -11.49 -80.75 SOYMEAL 322.30 1.44 465.06 1.00 465.06 45709.96 98.29 -10.88 -106.89 SOYOIL 236.64 1.96 463.58 1.00 463.58 45709.96 98.60 -6.68 -65.83 SP400 2953.60 0.97 2851.16 1.00 2851.16 45709.96 16.03 -3.56 -5.71 SP500_micro 279.40 0.82 228.90 1.00 228.90 45709.96 199.69 -3.32 -66.37 SUGAR11 213.58 1.62 345.74 1.00 345.74 45709.96 132.21 -4.34 -57.32 US10 1153.28 0.32 370.36 1.00 370.36 45709.96 123.42 5.71 70.50 US10U 1197.81 0.42 506.84 1.00 506.84 45709.96 90.19 7.54 67.96 US2 2086.25 0.11 227.65 1.00 227.65 45709.96 200.79 2.54 50.97 US20 1267.19 0.59 748.62 1.00 748.62 45709.96 61.06 7.71 47.08 US30 1369.69 0.82 1129.01 1.00 1129.01 45709.96 40.49 5.69 23.04 US5 1105.70 0.22 245.82 1.00 245.82 45709.96 185.95 5.60 104.08 VIX 187.50 4.71 883.99 1.00 883.99 45709.96 51.71 -3.53 -18.26 WHEAT 289.62 1.48 429.58 1.00 429.58 45709.96 106.41 -11.71 -124.57 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 13.543 0.010 2.5 0.351 BITCOIN -286.256 0.043 2.5 -30.998 BOBL -29.896 0.004 2.5 -0.303 BTP 8.216 0.014 2.5 0.280 BUND 2.655 0.004 2.5 0.027 BUXL -10.285 0.004 2.5 -0.104 CAC -39.422 0.014 2.5 -1.345 CAD 11.618 0.010 2.5 0.301 CANOLA -298.449 0.010 2.5 -7.261 CHF 11.236 0.010 2.5 0.292 COCOA 19.057 0.009 2.5 0.408 COFFEE 10.475 0.005 2.5 0.122 COPPER -9.066 0.043 2.5 -0.982 CORN -228.969 0.010 2.5 -5.570 COTTON2 -105.488 0.009 2.5 -2.259 CRUDE_W -0.719 0.043 2.5 -0.078 DAX 114.921 0.014 2.5 3.920 DOW 67.789 0.009 2.5 1.575 DX -103.073 0.010 2.5 -2.674 EUR 27.213 0.010 2.5 0.706 EURIBOR-ICE 358.309 0.014 2.5 12.221 EUROSTX -30.834 0.014 2.5 -1.052 FEEDCOW -50.996 0.013 2.5 -1.690 GASOIL -42.310 0.017 2.5 -1.834 GASOLINE -0.902 0.017 2.5 -0.039 GAS_US_mini -150.790 0.043 2.5 -16.329 GBP 86.077 0.010 2.5 2.233 GOLD_micro 152.435 0.014 2.5 5.199 HEATOIL -39.745 0.017 2.5 -1.723 JGB-SGX-mini 74.282 0.043 2.5 8.044 JPY 17.915 0.010 2.5 0.465 LEANHOG 89.457 0.024 2.5 5.437 LIVECOW 6.908 0.013 2.5 0.229 LUMBER-new -97.357 0.009 2.5 -2.085 MILK 75.655 0.009 2.5 1.620 MXP -105.948 0.059 2.5 -15.550 NASDAQ_micro -69.880 0.009 2.5 -1.624 NIKKEI -19.486 0.043 2.5 -2.110 NZD 40.455 0.010 2.5 1.050 OAT 31.281 0.014 2.5 1.067 OATIES 29.704 0.010 2.5 0.723 OJ 44.653 0.009 2.5 0.956 PALLAD 2.063 0.014 2.5 0.070 PLAT -16.375 0.014 2.5 -0.559 REDWHEAT -132.505 0.005 2.5 -1.758 RICE -17.571 0.010 2.5 -0.427 ROBUSTA 65.637 0.005 2.5 0.766 RUSSELL -65.105 0.013 2.5 -2.157 SHATZ -85.722 0.004 2.5 -0.869 SILVER-mini -0.537 0.014 2.5 -0.018 SMI 19.419 0.014 2.5 0.662 SOFR 335.272 0.024 2.5 20.376 SOYBEAN -80.749 0.004 2.5 -0.751 SOYMEAL -106.889 0.004 2.5 -0.994 SOYOIL -65.830 0.004 2.5 -0.613 SP400 -5.707 0.013 2.5 -0.189 SP500_micro -66.365 0.009 2.5 -1.542 SUGAR11 -57.318 0.009 2.5 -1.219 US10 70.502 0.005 2.5 0.893 US10U 67.955 0.005 2.5 0.861 US2 50.966 0.005 2.5 0.646 US20 47.082 0.005 2.5 0.597 US30 23.038 0.005 2.5 0.292 US5 104.084 0.005 2.5 1.319 VIX -18.265 0.099 2.5 -4.508 WHEAT -124.574 0.005 2.5 -1.653 ===================== Position diags ===================== AUD 2.86 BITCOIN 27.12 BOBL 1.85 BTP 2.99 BUND 0.91 BUXL 0.37 CAC 2.40 CAD 4.45 CANOLA 7.45 CHF 1.65 COCOA 0.52 COFFEE 0.32 COPPER 3.67 CORN 4.41 COTTON2 1.88 CRUDE_W 4.07 DAX 9.53 DOW 7.39 DX 3.03 EUR 2.09 EURIBOR-ICE 14.34 EUROSTX 3.10 FEEDCOW 1.47 GASOIL 1.77 GASOLINE 1.32 GAS_US_mini 24.38 GBP 3.14 GOLD_micro 8.70 HEATOIL 1.19 JGB-SGX-mini 23.85 JPY 1.87 LEANHOG 6.37 LIVECOW 2.74 LUMBER-new 4.07 MILK 1.55 MXP 26.22 NASDAQ_micro 2.34 NIKKEI 10.82 NZD 2.99 OAT 3.30 OATIES 3.88 OJ 0.71 PALLAD 0.61 PLAT 2.02 REDWHEAT 1.33 RICE 3.49 ROBUSTA 0.65 RUSSELL 11.41 SHATZ 5.50 SILVER-mini 1.26 SMI 1.47 SOFR 20.11 SOYBEAN 0.65 SOYMEAL 0.91 SOYOIL 0.92 SP400 0.53 SP500_micro 4.64 SUGAR11 2.81 US10 1.56 US10U 1.14 US2 2.54 US20 0.77 US30 0.51 US5 2.36 VIX 12.76 WHEAT 1.41 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.4 0.1 0.6 4.0 4 BITCOIN -31.0 -33.7 -28.3 0.0 0 BOBL -0.3 -0.5 -0.1 0.0 0 BTP 0.3 -0.0 0.6 -1.0 -1 BUND 0.0 -0.1 0.1 0.0 0 BUXL -0.1 -0.1 -0.1 0.0 0 CAC -1.3 -1.6 -1.1 0.0 0 CAD 0.3 -0.1 0.7 1.0 1 CANOLA -7.3 -8.0 -6.5 0.0 0 CHF 0.3 0.1 0.5 5.0 5 COCOA 0.4 0.4 0.5 0.0 0 COFFEE 0.1 0.1 0.2 0.0 0 COPPER -1.0 -1.3 -0.6 0.0 0 CORN -5.6 -6.0 -5.1 -5.0 -5 COTTON2 -2.3 -2.4 -2.1 -4.0 -4 CRUDE_W -0.1 -0.5 0.3 1.0 1 DAX 3.9 3.0 4.9 4.0 4 DOW 1.6 0.8 2.3 2.0 2 DX -2.7 -3.0 -2.4 0.0 0 EUR 0.7 0.5 0.9 1.0 1 EURIBOR-ICE 12.2 10.8 13.7 0.0 0 EUROSTX -1.1 -1.4 -0.7 0.0 0 FEEDCOW -1.7 -1.8 -1.5 -2.0 -2 GASOIL -1.8 -2.0 -1.7 -1.0 -1 GASOLINE -0.0 -0.2 0.1 0.0 0 GAS_US_mini -16.3 -18.8 -13.9 -13.0 -13 GBP 2.2 1.9 2.5 1.0 1 GOLD_micro 5.2 4.3 6.1 0.0 0 HEATOIL -1.7 -1.8 -1.6 -3.0 -3 JGB-SGX-mini 8.0 5.7 10.4 4.0 4 JPY 0.5 0.3 0.7 1.0 1 LEANHOG 5.4 4.8 6.1 4.0 4 LIVECOW 0.2 -0.0 0.5 2.0 2 LUMBER-new -2.1 -2.5 -1.7 -2.0 -2 MILK 1.6 1.5 1.8 NaN 0 MXP -15.6 -18.2 -12.9 -14.0 -14 NASDAQ_micro -1.6 -1.9 -1.4 0.0 0 NIKKEI -2.1 -3.2 -1.0 -2.0 -2 NZD 1.0 0.8 1.3 0.0 0 OAT 1.1 0.7 1.4 0.0 0 OATIES 0.7 0.3 1.1 NaN 0 OJ 1.0 0.9 1.0 1.0 1 PALLAD 0.1 0.0 0.1 0.0 0 PLAT -0.6 -0.8 -0.4 -2.0 -2 REDWHEAT -1.8 -1.9 -1.6 -1.0 -1 RICE -0.4 -0.8 -0.1 NaN 0 ROBUSTA 0.8 0.7 0.8 1.0 1 RUSSELL -2.2 -3.3 -1.0 -14.0 -14 SHATZ -0.9 -1.4 -0.3 NaN 0 SILVER-mini -0.0 -0.1 0.1 0.0 0 SMI 0.7 0.5 0.8 0.0 0 SOFR 20.4 18.4 22.4 NaN 0 SOYBEAN -0.8 -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 -1.5 -2.0 -1.1 -1.0 -1 SUGAR11 -1.2 -1.5 -0.9 0.0 0 US10 0.9 0.7 1.0 0.0 0 US10U 0.9 0.7 1.0 1.0 1 US2 0.6 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 1.6 5.0 5 VIX -4.5 -5.8 -3.2 -3.0 -3 WHEAT -1.7 -1.8 -1.5 -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 0.2 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 0.0 0.0 -0.1 0.0 0.0 0.3 0.0 -0.0 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 -0.2 0.2 -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 -0.0 -0.3 -0.3 -0.3 0.1 0.1 0.1 -0.0 0.1 0.6 0.0 0.1 0.1 0.1 0.0 0.0 -1.1 0.1 -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 0.2 0.1 0.2 0.3 0.2 -2.7 0.1 0.1 0.2 0.1 0.2 0.1 0.5 0.1 -0.0 -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 -0.1 -0.0 0.1 0.1 0.1 0.0 0.1 0.2 0.0 0.1 0.1 0.1 0.1 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 0.1 0.1 -0.0 0.1 -0.4 0.0 0.1 0.1 0.1 0.1 0.0 0.0 -0.1 -0.3 -0.4 -0.5 -0.7 -0.7 -0.3 -0.2 CAC 0.3 -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 -0.1 -0.1 -1.2 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 0.3 -0.1 -0.1 -0.0 -0.6 0.4 0.2 0.1 0.1 CAD 0.4 0.4 0.1 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.1 -0.1 0.0 -0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.0 -0.1 0.1 -0.2 0.1 -0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.2 0.2 0.1 -0.1 0.4 -0.2 0.2 -0.1 CANOLA 0.3 -0.4 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.3 -0.1 -0.1 -0.0 -0.2 -0.0 -1.8 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -1.1 0.2 0.2 0.2 -0.1 -0.1 -0.4 0.2 -0.2 CHF 0.3 0.6 0.6 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 0.1 -0.1 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.0 0.1 0.1 0.5 0.0 -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 0.1 0.0 0.0 -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 0.5 COFFEE 0.0 -0.1 0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.4 0.0 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.0 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.4 0.0 0.4 0.0 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 -0.0 -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 0.1 -0.3 -0.1 0.6 0.2 0.7 0.6 CORN 0.4 -0.1 -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 0.0 -0.5 0.0 -1.2 -0.0 -0.0 -0.2 -0.0 -0.2 -0.0 -1.1 0.5 0.1 0.1 -0.4 -0.1 -0.2 0.0 -0.0 COTTON2 0.4 0.3 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -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 0.0 -0.2 -0.0 -0.1 -0.0 -0.6 0.2 0.3 0.1 0.1 -0.3 -0.4 -0.0 -0.1 CRUDE_W -0.5 -0.6 -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 0.4 -0.1 -0.4 0.0 -0.0 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 -0.0 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 -0.0 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 0.5 0.5 0.6 0.1 0.3 0.0 -0.1 -0.2 DX -0.2 -0.6 -0.5 0.0 -0.0 0.0 -0.0 0.0 0.0 0.1 -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 -0.0 0.4 0.3 0.0 -0.0 0.1 -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 -0.1 0.1 0.1 2.7 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.4 -0.2 -0.3 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 0.1 -0.1 -0.0 -0.0 0.2 0.1 0.2 0.1 0.2 1.8 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 0.3 0.2 0.2 -0.0 -0.7 -0.7 -0.0 0.1 EUROSTX 0.2 -0.3 -0.6 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.1 0.1 -0.1 0.4 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 0.2 -0.1 -0.3 -0.0 -0.0 0.0 -0.1 0.2 -0.0 0.2 -0.1 -0.1 -0.1 -0.6 0.2 0.0 -0.5 -0.1 FEEDCOW -0.0 -0.6 -0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.3 -0.1 -0.4 -0.1 -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 -0.0 -1.1 -0.1 -0.6 -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 -0.1 -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 -0.0 -0.1 -0.1 -0.0 -0.1 1.1 0.4 0.3 0.2 0.0 0.4 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 -0.5 -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 -0.2 -0.0 -0.3 -0.1 -1.1 0.5 0.6 0.6 0.3 -0.2 -0.5 -0.2 -0.6 GBP 0.4 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 0.1 -0.2 0.1 -0.0 0.2 -0.0 0.2 0.1 0.2 -0.2 0.5 0.3 0.6 0.3 -0.7 0.3 -0.6 GOLD_micro 0.1 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 -1.1 0.1 0.0 0.2 0.0 0.3 0.0 -0.7 0.0 0.2 0.6 0.6 0.4 -0.1 0.5 0.1 HEATOIL -0.4 -0.5 -0.4 -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 -0.0 -0.1 -0.1 -0.1 -0.1 -0.4 0.3 0.2 -0.0 -0.2 -0.2 0.2 -0.6 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 0.1 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 -0.3 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 0.1 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 0.3 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.6 0.4 -0.4 -0.1 -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 0.1 -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 0.2 0.1 LIVECOW -0.2 -0.6 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.1 -0.0 0.2 -0.1 -0.1 0.2 0.2 0.3 0.3 -0.1 -0.0 -0.0 0.1 -0.1 -1.7 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 1.1 0.1 -0.5 -0.4 0.6 -0.0 0.7 0.2 0.7 LUMBER-new -0.2 0.4 -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 -0.0 -0.2 -0.0 NaN -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.2 0.4 -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 0.3 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 0.0 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 -0.5 -0.6 0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 -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 0.1 -0.6 -0.6 -0.6 0.5 0.4 0.7 0.6 NASDAQ_micro -0.1 -0.6 -0.6 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.2 -0.0 -0.0 -0.1 -0.2 -0.2 -0.2 -0.0 0.0 -0.0 0.2 -0.1 -2.2 0.0 0.0 0.1 0.0 0.2 -0.0 -0.3 0.4 0.0 -0.2 0.1 0.0 0.1 -0.3 0.0 NIKKEI 0.0 -0.6 -0.6 0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.0 -0.1 0.1 0.0 0.0 0.1 0.2 0.1 0.2 -0.0 -0.0 -0.0 0.1 -0.0 -0.9 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.0 -0.2 -0.6 -0.4 0.3 0.0 0.3 -0.0 NZD 0.5 0.4 0.1 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 0.0 -0.0 0.1 0.1 0.0 0.0 -0.0 -0.0 0.1 0.0 -0.0 0.0 0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 0.2 -0.2 0.1 0.0 0.0 0.2 -0.2 0.1 -0.0 OAT 0.1 0.5 0.2 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 -0.0 0.1 0.4 0.0 0.1 0.1 0.1 0.0 0.1 0.5 0.1 -0.0 -0.3 -0.6 -0.5 -0.6 0.0 0.0 OATIES 0.6 0.4 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 0.2 -0.5 0.1 -0.1 0.0 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 -0.0 0.4 0.0 0.7 0.3 OJ 0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.4 0.1 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 0.0 0.2 0.1 0.3 0.1 0.9 0.5 0.6 0.6 0.6 0.4 0.4 0.7 0.7 PALLAD 0.3 0.2 0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.0 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.2 0.0 2.0 0.0 0.1 -0.0 0.1 -0.1 0.0 0.3 0.3 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 -0.0 0.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 0.2 -0.0 -0.2 0.1 -0.1 -0.3 -0.2 0.0 REDWHEAT 0.6 -0.1 -0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 -0.5 0.2 -0.7 0.1 -0.2 -0.2 -0.1 -0.2 -0.2 -0.1 -0.2 0.1 -0.5 0.1 -0.8 -0.0 0.0 -0.2 0.0 -0.2 0.0 -0.8 0.5 0.4 0.2 -0.5 -0.7 -0.7 -0.7 -0.7 RICE 0.1 -0.1 -0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 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 0.2 0.0 0.5 0.6 -0.7 -0.7 -0.7 -0.7 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 0.5 0.1 RUSSELL -0.1 -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 -0.1 -0.1 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.2 0.1 0.4 0.2 0.1 -0.5 -0.2 -0.7 SHATZ 0.2 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 0.1 0.0 -0.0 0.0 -1.1 0.2 0.1 0.2 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 -0.1 -0.4 -0.0 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.1 0.3 -0.1 0.4 0.0 0.1 -0.1 -0.0 -0.1 -0.0 0.0 0.1 -0.1 0.3 -0.1 1.3 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.5 -0.3 -0.3 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 -0.8 0.1 0.0 0.1 0.0 0.1 0.1 0.2 -0.1 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 -0.2 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 0.2 -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 0.0 -0.3 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 -0.1 -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 -0.1 -0.0 -0.1 -0.3 0.2 -0.1 SP400 -0.1 -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 -1.3 0.0 -0.0 0.1 -0.0 0.2 0.0 0.0 0.1 0.1 0.4 0.0 0.2 -0.2 -0.2 -0.7 SP500_micro 0.0 -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 -0.0 0.3 -0.0 -2.1 0.0 0.0 0.1 0.0 0.3 0.0 -0.5 0.4 0.3 0.0 0.3 0.2 0.1 -0.2 -0.0 SUGAR11 0.6 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 -0.0 -0.1 -0.0 -0.2 0.0 0.1 -0.2 0.4 0.1 0.5 -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 0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.1 0.2 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 0.2 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 0.2 0.2 0.1 0.2 -0.1 0.1 0.0 0.1 0.0 0.1 0.0 -0.1 -0.2 -0.1 -0.1 0.1 0.2 -0.6 0.7 0.5 US2 0.3 0.6 0.6 0.0 0.0 0.1 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 0.0 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 -0.4 0.0 0.0 0.1 0.0 0.1 0.0 0.2 -0.2 -0.1 -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 0.2 -0.3 0.1 0.0 0.1 0.0 0.1 0.0 -0.2 -0.2 -0.1 -0.2 -0.1 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 -0.1 0.0 0.1 0.2 0.2 -0.7 0.7 -0.0 VIX 0.1 0.9 1.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.0 -0.2 0.0 -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 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 0.1 -0.5 0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.2 0.1 -0.4 0.1 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 6.2 0.9 3.9 3.4 -2.5 1.6 -0.3 0.8 3.1 -13.6 6.3 -4.1 -0.6 6.1 7.1 -1.0 -2.4 -1.7 -2.0 4.1 3.4 -8.5 0.9 0.5 2.3 2.0 -5.1 1.6 -3.6 0.7 0.6 -0.0 -11.7 -2.5 -12.1 -1.1 10.4 -5.2 14.0 -0.6 BITCOIN -2.9 -13.1 -20.0 -2.6 4.0 -3.7 1.9 -2.4 0.2 4.2 -0.7 -5.4 6.2 -8.2 -9.1 -5.0 -6.8 -5.7 -6.3 -8.4 -3.1 -7.1 5.7 -9.2 -20.0 -4.1 -0.2 -0.8 -3.2 4.9 -4.3 -2.1 -15.3 -18.3 -4.7 7.2 -5.8 -4.3 -3.8 0.7 BOBL 0.3 19.8 16.8 3.5 3.9 2.7 3.4 1.0 3.2 11.0 0.9 9.9 -3.3 10.2 10.1 -1.4 -14.7 -16.4 -16.6 10.6 6.4 14.3 -0.6 11.3 4.7 3.6 6.2 2.5 4.9 0.6 3.8 -20.0 6.2 -2.6 -0.8 -5.0 -20.0 -20.0 -6.5 -7.3 BTP -0.2 10.3 7.1 6.0 6.7 4.6 5.7 1.7 5.4 18.7 15.5 18.2 16.2 19.0 19.2 4.3 3.9 2.8 2.8 14.4 12.9 18.4 11.8 14.7 -20.0 6.5 11.7 5.8 8.9 5.4 6.9 10.0 3.1 -1.5 -14.6 -18.3 -20.0 -15.0 -1.4 5.9 BUND -2.1 15.7 13.5 3.9 4.4 3.0 3.7 1.1 3.5 12.2 2.9 10.6 -0.0 10.7 10.9 -10.5 -0.1 -2.6 -1.3 9.6 6.7 12.1 0.8 9.4 1.3 3.8 6.7 3.1 5.0 1.4 3.7 3.0 1.1 -5.6 -5.4 -8.5 -20.0 -20.0 -5.2 -6.0 BUXL -3.6 13.2 9.6 4.5 5.0 3.5 4.3 1.3 4.1 14.1 1.8 11.1 0.2 9.6 10.1 -0.2 -2.1 -1.1 -2.0 7.4 4.7 10.2 -1.2 7.4 -3.0 3.7 7.0 3.1 5.0 1.5 3.5 0.6 -3.8 -9.7 -11.5 -15.3 -20.0 -20.0 -7.5 -6.6 CAC 10.0 -5.4 -20.0 1.0 -6.0 4.2 -5.5 6.9 -1.9 -13.7 -9.1 -9.0 1.9 1.6 -9.8 -5.4 -2.3 -5.2 -3.5 -10.8 -11.7 -15.1 -1.9 -8.0 -9.1 -4.2 -6.9 -3.8 -6.2 0.5 -3.5 5.9 -6.0 -3.4 -0.9 -20.0 12.7 5.6 2.0 2.8 CAD 13.4 13.1 4.6 4.7 -3.4 2.2 -0.4 1.2 4.3 -13.8 -3.8 2.5 -14.3 12.8 12.2 -4.4 -3.6 -4.6 -4.1 10.4 2.0 -3.5 -5.4 9.8 -1.5 4.8 -5.1 1.2 -1.2 -1.6 4.6 -2.7 -9.3 6.2 2.7 -1.8 11.1 -6.3 4.6 -2.6 CANOLA 10.2 -11.9 -2.7 -2.1 -0.1 -1.9 -1.4 -1.3 -1.8 -5.8 -5.1 -3.9 -6.4 -5.3 -5.4 -11.9 -10.6 -12.3 -12.6 -5.2 -5.3 -4.1 -5.7 -4.1 -13.6 -1.2 -1.0 -2.3 0.1 -3.3 0.2 -20.0 6.5 6.7 6.0 -2.1 -1.6 -11.0 7.4 -5.5 CHF 8.3 20.0 20.0 2.7 -2.0 1.3 -0.2 0.7 2.5 -9.9 4.3 6.9 -2.7 10.8 11.9 -13.9 -16.3 -15.2 -15.8 16.1 10.3 2.1 2.1 11.9 3.8 4.6 -1.7 3.2 0.5 1.0 3.1 -20.0 -2.7 0.1 20.0 20.0 -1.3 -10.8 -9.2 -12.1 COCOA 3.8 1.1 1.1 -2.0 -0.0 -1.8 -1.3 -1.2 -1.7 0.2 2.1 -2.0 3.2 0.5 -1.2 20.0 20.0 20.0 20.0 1.3 4.3 -1.3 9.1 -0.0 -20.0 1.8 1.2 4.8 0.9 10.1 1.4 20.0 4.8 8.2 9.2 9.7 20.0 9.1 20.0 13.5 COFFEE 0.4 -3.7 5.0 -5.1 -0.1 -4.6 -3.4 -3.2 -4.4 7.7 14.8 0.5 15.1 5.9 12.1 4.2 6.1 4.2 5.2 10.8 15.7 2.0 16.9 5.4 -20.0 4.9 2.4 7.7 1.2 10.0 2.9 7.1 0.1 19.3 18.5 20.0 -3.0 -9.5 5.1 -3.1 COPPER 5.2 -14.1 -13.7 -2.0 3.2 -3.0 1.5 -1.9 0.2 -0.3 -4.3 -5.0 -1.0 -4.6 -9.1 -4.4 -3.0 -3.0 -2.6 -7.8 -4.4 -3.0 1.9 -5.4 -14.4 -1.7 1.9 -1.2 1.5 1.1 0.4 4.6 1.7 4.5 -8.8 -3.6 17.1 6.6 20.0 19.1 CORN 13.5 -4.5 -19.3 -4.1 -0.1 -3.6 -2.7 -2.6 -3.5 2.1 -12.4 6.8 -14.2 0.2 -11.3 -20.0 -16.6 -20.0 -20.0 -10.7 -18.4 4.5 -20.0 0.6 -9.2 -4.2 -1.0 -6.0 -0.1 -6.3 -1.2 -20.0 20.0 3.9 2.5 -13.0 -2.3 -6.2 0.3 -0.5 COTTON2 13.6 7.7 -12.8 -4.3 -0.1 -3.9 -2.9 -2.7 -3.7 0.2 -15.0 -1.0 -13.8 -4.2 -11.3 -11.3 -3.3 -9.8 -6.6 -7.9 -15.0 -1.9 -15.7 -2.5 -20.0 -3.9 1.5 -5.7 -1.9 -4.1 -2.1 -11.0 10.2 8.4 2.6 1.7 -10.5 -11.3 -0.1 -4.3 CRUDE_W -15.2 -17.1 -10.7 -5.0 -6.4 -3.1 -7.1 -0.9 -6.3 -13.5 -7.7 -15.6 6.1 -15.7 -13.6 10.8 12.6 12.4 12.7 -17.0 -8.4 -20.0 -0.5 -20.0 -1.6 -5.7 -5.9 -4.2 -6.7 -1.1 -6.4 10.8 8.0 10.1 1.9 -2.4 4.9 15.2 5.7 20.0 DAX 12.7 -4.1 -12.7 0.9 -5.2 3.7 -4.8 6.0 -1.6 -10.3 6.6 -1.3 12.9 8.6 5.5 -8.1 -10.4 -8.6 -9.5 2.9 3.9 -6.7 9.6 1.9 10.3 0.4 -4.7 2.0 -3.8 5.8 -0.3 -6.8 -1.2 9.5 6.4 -17.1 12.3 4.8 2.1 2.2 DOW 5.2 0.1 -1.7 0.7 -4.1 2.9 -3.8 4.8 -1.3 -3.9 7.8 -0.6 11.8 7.1 7.7 -8.6 -10.8 -9.6 -10.3 7.3 8.3 -2.1 10.1 3.7 -10.2 4.1 0.3 4.4 1.7 5.4 3.5 -7.8 19.0 13.9 19.7 3.9 9.4 0.9 -3.0 -4.5 DX -6.4 -20.0 -13.9 3.1 -2.2 1.4 -0.2 0.8 2.8 8.0 -6.2 -3.0 5.2 -9.9 -12.7 5.3 6.8 6.3 6.7 -16.3 -10.6 -1.1 -2.2 -11.6 -20.0 -5.0 1.9 -3.3 -0.4 -0.8 -3.6 15.6 20.0 -20.0 -20.0 -20.0 -2.7 5.8 -4.0 8.5 EUR -0.2 12.8 8.4 4.0 -2.9 1.9 -0.3 1.0 3.7 -19.1 7.8 -8.8 -4.0 7.2 12.8 -6.2 -7.2 -6.9 -7.0 12.5 9.4 -7.8 2.8 4.9 20.0 5.5 -5.5 4.5 -2.9 2.2 2.4 -8.3 -10.1 -9.5 11.2 9.8 1.2 -18.5 -3.9 -20.0 EURIBOR-ICE 6.8 20.0 19.1 3.0 3.4 2.3 2.9 0.9 2.7 9.4 4.6 9.6 3.6 10.3 10.1 2.5 -3.2 -0.1 -1.8 14.8 10.6 17.8 5.2 15.6 13.2 3.5 5.4 2.5 4.6 1.3 3.8 -0.1 12.8 5.6 5.0 -0.0 -20.0 -20.0 -0.7 2.1 EUROSTX 7.4 -8.2 -18.5 0.8 -4.9 3.5 -4.6 5.7 -1.6 -8.2 2.8 -6.5 10.6 1.4 -1.6 -4.3 -3.0 -4.6 -4.2 -4.2 -1.3 -11.0 6.9 -5.3 -2.2 -2.2 -4.2 0.0 -5.4 4.6 -3.0 4.4 -3.2 -1.8 -3.4 -20.0 5.7 1.1 -14.4 -3.6 FEEDCOW -1.0 -20.0 -18.6 -4.7 -0.1 -4.2 -3.1 -3.0 -4.1 0.1 -11.9 -7.4 -9.8 -13.6 -14.2 15.4 -16.8 6.7 -4.4 -20.0 -20.0 -10.2 -11.9 -20.0 -6.4 -5.5 -0.1 -4.3 -2.3 -2.1 -4.5 -20.0 -5.2 -17.9 -20.0 -18.3 4.2 20.0 12.4 20.0 GASOIL -15.3 -18.6 -13.3 -5.2 -6.6 -3.2 -7.3 -0.9 -6.5 -14.3 -12.9 -16.9 4.6 -17.6 -16.7 2.7 9.0 1.8 3.7 -20.0 -13.5 -20.0 -3.2 -20.0 3.8 -6.1 -7.6 -3.9 -8.3 -1.2 -7.6 0.1 -9.4 -6.4 -8.7 -1.6 -3.9 -11.5 -8.1 -20.0 GASOLINE -16.3 -16.7 -11.6 -5.1 -6.5 -3.2 -7.2 -0.9 -6.4 -13.6 -7.4 -16.0 4.6 -16.2 -14.7 20.0 20.0 20.0 20.0 -18.1 -9.2 -20.0 0.1 -20.0 -20.0 -6.0 -5.0 -3.9 -6.3 -0.3 -6.7 20.0 17.7 10.3 6.7 1.3 13.2 19.0 19.0 20.0 GAS_US_mini -1.5 -3.7 -9.1 -5.5 -7.0 -3.4 -7.7 -1.0 -6.8 2.4 -16.9 -11.6 -18.0 -11.4 -17.1 -20.0 -20.0 -20.0 -20.0 -13.0 -16.3 -2.6 -20.0 -7.9 20.0 -5.4 0.1 -5.7 -2.7 -7.5 -4.7 -20.0 20.0 20.0 18.7 9.1 -6.6 -15.7 -7.2 -19.4 GBP 10.9 5.5 8.3 4.4 -3.2 2.0 -0.3 1.1 4.0 -20.0 17.1 4.8 12.7 12.0 15.4 0.1 -0.7 -0.4 -0.6 19.1 16.4 -2.3 11.8 13.1 -1.5 6.9 -5.2 6.2 -0.7 4.8 4.7 2.8 -8.1 14.8 7.9 20.0 8.2 -20.0 9.8 -17.5 GOLD_micro 3.4 8.4 9.4 -2.8 4.3 -4.0 2.1 -2.6 0.2 0.8 15.6 7.2 15.1 12.7 13.7 -12.4 -13.2 -12.2 -12.4 14.9 18.5 3.8 20.0 9.7 -8.0 5.1 1.2 5.9 2.5 7.7 4.5 -12.7 0.2 6.3 20.0 20.0 12.4 -2.8 14.6 2.8 HEATOIL -13.2 -16.0 -11.0 -5.0 -6.3 -3.1 -7.0 -0.9 -6.2 -13.7 -13.5 -15.7 -0.8 -16.4 -15.5 -6.0 5.5 -5.4 -1.9 -20.0 -13.3 -20.0 -5.5 -20.0 -20.0 -6.1 -5.5 -5.0 -6.2 -2.2 -6.4 -7.7 11.7 5.7 -1.2 -4.9 -7.0 4.8 -16.8 2.6 JGB-SGX-mini -1.3 20.0 9.7 2.2 2.5 1.7 2.1 0.6 2.0 5.6 1.5 1.8 0.8 3.4 3.6 11.4 16.7 13.9 15.2 4.7 2.7 3.1 0.7 3.8 -7.6 1.8 1.6 0.9 1.1 -0.2 1.5 20.0 -4.7 -5.8 -0.4 -5.6 -7.8 -5.2 -7.6 6.2 JPY 6.2 20.0 20.0 1.6 -1.2 0.8 -0.1 0.4 1.5 7.6 2.7 7.8 -4.6 8.4 7.7 -10.9 -15.1 -12.6 -13.8 10.6 4.8 8.4 -3.5 10.4 20.0 2.6 1.5 1.1 1.8 -0.8 2.4 -20.0 13.5 0.8 20.0 8.3 -20.0 -19.6 -20.0 -19.9 LEANHOG 19.2 13.3 -11.0 -4.7 -0.1 -4.3 -3.2 -3.0 -4.1 -6.1 -6.9 8.1 -7.3 11.5 0.8 20.0 18.9 20.0 20.0 3.5 -7.5 6.0 -11.8 10.5 4.3 0.6 0.9 -2.9 1.1 -3.9 2.8 20.0 8.8 20.0 20.0 -2.0 0.1 -5.2 4.5 3.6 LIVECOW -6.2 -20.0 2.5 -5.5 -0.1 -4.9 -3.7 -3.5 -4.8 0.3 3.9 -3.0 6.0 -11.6 -7.3 11.1 11.4 14.4 14.6 -7.5 -0.1 -4.2 4.6 -9.0 -12.8 -4.0 -0.3 -0.3 -3.2 2.7 -5.3 19.9 2.5 -16.1 -11.4 20.0 -1.5 20.0 5.6 20.0 LUMBER-new -6.2 11.2 -3.7 -3.2 -0.1 -2.9 -2.2 -2.0 -2.8 -6.1 -7.4 -8.2 -8.3 -0.9 -2.1 -19.3 -17.8 -18.3 -17.9 -2.8 -6.2 -3.8 -7.9 -2.6 NaN -0.8 -1.3 -3.6 -1.3 -5.0 -0.5 -20.0 13.5 -3.1 15.7 4.8 3.0 -2.0 7.6 0.7 MILK 11.6 6.5 19.8 -3.9 -0.1 -3.5 -2.6 -2.5 -3.4 8.0 12.9 11.5 6.3 12.8 13.1 20.0 -16.3 6.7 -6.0 18.7 15.0 19.3 6.7 20.0 14.8 5.0 4.2 4.0 4.9 1.6 5.4 -20.0 20.0 20.0 20.0 20.0 -1.7 -19.9 4.4 -20.0 MXP -10.9 -15.8 -20.0 1.8 -1.3 0.8 -0.1 0.4 1.6 2.8 -7.9 -7.9 -3.6 -8.9 -9.1 9.6 14.0 10.5 11.9 -12.3 -10.2 -6.0 -4.0 -10.6 -20.0 -3.4 0.1 -3.0 -1.5 -1.1 -2.7 20.0 3.8 -20.0 -20.0 -20.0 14.7 12.4 19.6 19.0 NASDAQ_micro -4.1 -19.1 -18.1 0.5 -2.9 2.1 -2.7 3.4 -0.9 0.4 1.7 -3.1 6.8 -1.3 -1.6 -6.6 -9.9 -8.2 -9.2 -2.4 2.1 -4.6 6.9 -5.0 -16.6 0.1 2.1 2.1 0.4 4.8 -0.2 -6.2 15.4 1.4 -7.5 3.8 1.5 4.2 -8.4 1.1 NIKKEI 1.4 -19.2 -20.0 0.3 -2.0 1.4 -1.9 2.3 -0.6 -5.6 1.2 -4.7 3.3 0.8 0.3 3.6 9.3 7.1 8.1 -2.5 -0.8 -5.2 2.3 -3.3 -6.4 -1.9 -1.0 -0.8 -1.3 0.8 -1.7 20.0 -0.7 -5.1 -20.0 -10.9 9.7 0.5 7.9 -1.0 NZD 14.5 11.5 2.4 2.8 -2.0 1.3 -0.2 0.7 2.5 -12.9 4.3 4.2 -0.2 9.1 8.3 0.1 0.1 -0.0 -0.0 7.3 3.6 -3.1 0.5 6.3 0.0 2.7 -4.0 1.2 -1.1 0.3 2.4 3.9 -6.4 3.6 1.0 1.5 5.6 -5.1 3.2 -0.2 OAT 2.4 16.9 4.9 4.2 4.7 3.3 4.0 1.2 3.8 13.1 -1.1 12.2 -1.7 13.0 12.5 4.3 3.7 2.3 2.4 9.1 3.8 14.9 -1.7 11.6 3.2 4.0 8.5 2.2 6.8 0.6 5.1 9.5 5.4 -1.4 -7.8 -17.3 -13.6 -16.7 0.6 0.8 OATIES 20.0 12.4 -13.6 -4.4 -0.1 -3.9 -2.9 -2.8 -3.8 13.8 -10.0 14.9 -13.6 12.3 -5.9 2.3 2.5 4.6 4.2 7.9 -6.8 20.0 -12.2 20.0 -20.0 1.8 6.2 -1.5 8.0 -2.4 6.4 2.8 20.0 20.0 20.0 -0.8 12.9 0.0 20.0 9.5 OJ 11.4 -0.4 -0.3 -4.7 -0.1 -4.2 -3.2 -3.0 -4.1 5.1 14.1 11.2 14.9 12.0 12.6 13.9 12.0 11.3 10.5 17.4 17.2 17.9 20.0 19.6 -20.0 5.5 1.7 5.6 5.2 8.3 6.2 16.2 20.0 20.0 20.0 20.0 12.1 12.8 20.0 20.0 PALLAD 8.9 6.6 10.5 -1.5 2.4 -2.2 1.2 -1.4 0.1 7.0 -4.0 4.4 -7.8 4.5 -0.2 -1.6 -2.0 -1.7 -1.8 0.4 -2.4 5.9 -6.5 2.9 14.7 0.6 7.9 -1.6 4.8 -3.5 2.9 6.0 10.9 3.4 3.2 7.7 -20.0 -20.0 -20.0 -20.0 PLAT -0.1 -8.6 -6.8 -2.0 3.2 -2.9 1.5 -1.9 0.2 9.9 -6.4 0.5 -4.9 -5.2 -9.1 -4.5 -4.5 -4.8 -4.7 -5.2 -3.4 1.6 -1.5 -3.4 5.1 -2.6 4.8 -2.7 2.6 -1.3 -0.1 1.4 7.6 -1.2 -6.0 1.6 -4.5 -7.6 -6.3 1.4 REDWHEAT 17.6 -3.1 -20.0 -6.0 -0.1 -5.4 -4.0 -3.8 -5.2 11.4 -17.4 13.9 -19.2 8.0 -16.8 -9.1 -6.0 -9.9 -8.5 -10.7 -19.0 15.3 -20.0 6.3 -5.8 -4.2 4.0 -6.2 4.0 -6.3 0.9 -15.2 20.0 12.0 7.4 -14.3 -20.0 -20.0 -20.0 -20.0 RICE 1.6 -3.4 -11.5 -5.0 -0.1 -4.5 -3.3 -3.2 -4.3 5.2 8.5 4.3 11.7 2.2 -3.2 -10.3 20.0 13.8 20.0 -2.0 0.8 2.1 6.6 -0.4 -10.7 -1.0 2.0 1.1 -1.2 3.0 -2.0 20.0 9.1 0.6 14.7 17.6 -20.0 -19.9 -20.0 -19.6 ROBUSTA 14.3 0.6 3.7 -3.4 -0.1 -3.0 -2.2 -2.1 -2.9 8.9 11.6 10.2 11.5 10.5 11.4 20.0 20.0 20.0 20.0 19.0 20.0 12.8 20.0 17.2 -20.0 4.4 2.5 5.7 2.4 7.5 3.5 20.0 12.7 20.0 20.0 20.0 5.5 -4.7 13.6 2.4 RUSSELL -2.7 -7.4 -0.1 0.5 -3.2 2.2 -3.0 3.7 -1.0 -8.1 2.5 -7.1 7.1 -2.9 -0.8 -4.9 -6.4 -5.7 -6.1 0.3 3.3 -9.2 4.2 -4.7 -0.7 2.2 -1.6 3.2 -1.0 3.3 0.5 -0.3 6.3 2.7 11.5 5.2 2.1 -15.3 -7.4 -20.0 SHATZ 4.7 20.0 20.0 2.8 3.1 2.2 2.7 0.8 2.5 8.8 0.8 8.4 -3.3 8.5 8.4 -20.0 -20.0 -20.0 -20.0 11.9 6.7 15.1 -2.3 12.8 7.3 3.1 4.5 1.9 3.9 -0.0 3.3 -20.0 10.0 2.3 4.8 1.5 -20.0 -18.6 -16.0 -10.8 SILVER-mini 2.0 -11.8 -3.1 -1.9 3.0 -2.8 1.5 -1.8 0.1 -3.5 3.1 -4.3 4.6 -2.4 -4.3 -5.6 -6.4 -5.9 -6.0 -2.4 1.6 -3.6 5.2 -3.5 2.2 -1.1 0.7 -0.2 0.2 1.9 -0.1 -1.4 -5.9 3.3 -5.0 5.3 5.4 -3.5 5.1 8.7 SMI -2.1 -13.0 -1.1 0.7 -4.3 3.0 -3.9 4.9 -1.3 -11.7 10.7 -9.6 12.4 3.4 6.4 -2.9 -0.0 -2.9 -2.0 1.8 8.1 -15.9 11.1 -6.3 9.8 3.0 -6.2 5.5 -5.6 6.2 -1.1 9.0 -12.1 -8.1 17.3 12.7 0.5 1.0 -11.5 -3.0 SOFR 9.0 20.0 20.0 4.5 5.0 3.5 4.3 1.3 4.1 13.1 12.6 15.1 6.8 15.7 15.9 2.4 -0.6 0.7 -0.3 20.0 19.4 20.0 8.4 20.0 -5.8 5.7 3.5 4.9 4.0 2.8 4.9 3.5 -3.9 4.0 3.5 9.2 9.4 -13.0 20.0 7.8 SOYBEAN 18.9 -9.0 -18.9 -2.8 -0.1 -2.5 -1.9 -1.8 -2.4 -1.4 -8.4 4.7 -8.1 -2.5 -7.5 -11.5 1.2 -8.8 -4.8 -9.2 -12.7 1.9 -11.3 -1.5 -16.5 -3.0 -0.8 -3.7 -0.2 -3.0 -1.1 -5.9 12.1 5.4 -4.8 -13.1 -1.2 -20.0 4.5 -14.2 SOYMEAL 15.1 2.9 -11.9 -3.1 -0.1 -2.8 -2.1 -2.0 -2.7 1.8 -8.2 5.7 -9.4 3.1 -6.8 -6.1 3.9 -1.9 0.4 -3.5 -8.4 5.2 -9.3 3.6 -20.0 -2.1 -1.4 -3.2 0.3 -2.8 -0.1 0.7 13.1 8.4 7.3 -2.6 -20.0 -20.0 -20.0 -20.0 SOYOIL 14.2 -10.4 0.1 -2.3 -0.1 -2.1 -1.5 -1.5 -2.0 -6.9 -6.5 -1.8 -7.6 -4.7 -6.0 1.6 1.6 3.0 1.6 -5.5 -6.7 -3.3 -7.2 -3.4 -17.0 -1.8 -1.5 -2.5 -0.2 -2.6 -0.4 -0.7 6.6 7.1 -4.3 -0.0 -3.0 -9.2 5.6 -2.9 SP400 -2.2 -6.0 -8.4 0.6 -3.7 2.6 -3.5 4.3 -1.2 -9.3 4.3 -8.6 9.3 -2.2 -0.5 -6.4 -5.9 -6.0 -6.0 -0.8 2.9 -11.8 6.1 -6.2 -9.5 2.3 -2.5 3.9 -1.8 5.2 0.4 0.3 6.2 2.3 11.5 0.6 5.3 -7.0 -5.3 -20.0 SP500_micro 0.5 -15.5 -14.7 0.6 -3.8 2.6 -3.5 4.3 -1.2 -1.4 8.1 -1.6 11.4 4.1 4.5 -8.8 -11.9 -10.5 -11.5 2.6 7.5 -4.2 12.2 -1.5 -15.8 2.3 1.7 4.6 1.1 7.4 1.6 -9.8 18.1 8.3 0.4 8.2 6.2 2.8 -7.0 -0.9 SUGAR11 17.1 3.2 2.4 -4.2 -0.1 -3.8 -2.8 -2.7 -3.7 -9.3 -10.7 1.6 -11.4 1.8 -3.4 -4.1 5.5 -3.4 -0.2 -1.3 -7.5 -2.7 -9.1 1.7 -20.0 -0.6 -3.4 -3.5 -1.5 -4.3 0.5 2.0 -6.3 13.0 2.5 14.4 -9.3 13.8 -6.1 17.2 US10 5.2 20.0 20.0 3.4 3.8 2.6 3.3 1.0 3.1 9.6 8.5 10.7 1.4 11.1 11.2 -7.0 -7.4 -7.2 -7.2 15.4 11.6 13.1 3.0 14.3 2.1 4.0 2.3 3.5 2.6 1.7 3.3 -8.2 -4.8 -0.9 1.3 4.5 4.0 -20.0 20.0 5.7 US10U 4.9 20.0 20.0 4.6 5.2 3.6 4.4 1.3 4.2 13.7 11.3 14.9 0.9 15.4 15.5 -4.0 -3.1 -4.0 -3.8 19.2 14.0 16.9 2.8 18.2 -0.7 5.4 3.3 4.8 3.5 2.3 4.3 -1.6 -7.8 -1.9 -1.8 2.8 4.6 -17.9 20.0 15.5 US2 7.9 20.0 20.0 2.5 2.8 1.9 2.4 0.7 2.3 6.1 4.1 7.5 -1.7 8.0 8.0 -20.0 -20.0 -20.0 -20.0 12.6 8.1 11.6 0.0 12.6 11.7 2.9 1.3 2.1 2.0 0.6 2.7 -20.0 0.8 2.6 8.3 6.1 0.7 -20.0 5.2 -11.5 US20 5.4 20.0 19.6 3.4 3.9 2.7 3.3 1.0 3.1 10.5 8.5 11.2 2.8 11.3 11.3 -0.9 -0.9 -0.9 -0.8 13.7 10.4 12.3 2.9 13.1 -2.6 4.1 2.6 3.9 2.5 2.3 3.1 3.0 -6.9 -1.7 -3.2 1.9 5.2 -10.1 20.0 20.0 US30 5.6 18.3 17.1 4.1 4.6 3.1 3.9 1.2 3.7 12.6 9.1 13.4 1.0 13.3 12.9 -6.1 -5.1 -5.1 -5.0 13.8 9.7 13.5 1.2 14.0 -1.9 4.7 3.3 4.3 3.2 2.3 3.8 -4.3 -8.8 -2.1 -7.2 -1.6 2.2 -9.3 20.0 20.0 US5 6.8 20.0 20.0 3.3 3.7 2.6 3.2 1.0 3.0 8.9 7.9 10.4 0.4 10.9 10.9 -10.4 -10.9 -11.4 -11.1 16.2 11.8 14.0 2.6 15.4 6.0 4.0 2.1 3.3 2.7 1.5 3.4 -14.5 -2.2 0.9 4.4 6.1 4.9 -20.0 19.9 -0.9 VIX 1.3 18.3 20.0 1.3 -0.6 0.4 -0.2 -1.1 0.7 1.3 -4.1 1.9 -6.2 -3.3 -3.5 5.2 -20.0 -19.2 -20.0 1.5 -0.1 1.8 -3.1 2.0 NaN 1.4 -0.7 0.5 -0.3 -1.3 0.8 NaN NaN NaN NaN NaN -11.6 -20.0 NaN NaN WHEAT 16.0 -4.0 -20.0 -4.5 -0.1 -4.0 -3.0 -2.8 -3.9 11.5 -12.5 11.9 -13.5 6.6 -12.1 -15.6 -15.2 -16.5 -16.1 -8.6 -14.6 13.0 -16.0 5.0 3.1 -3.5 3.3 -4.5 2.7 -4.1 0.1 -20.0 20.0 5.9 3.8 -12.8 -20.0 -20.0 -18.0 -19.9 End of report for caleb_strategy_v3