******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240918_203915 produced at 2024-09-18 21:38:09.839948 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 DX False False 0.03 0.00 -0.13 0.0 999.00 -999.00 0.00 0.00 -3.60 999999999.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -31.22 59.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -1.40 24.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.08 -0.06 0.0 0.53 -0.53 -0.08 -0.07 -7.09 60.0 -9 -8 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.06 0.0 0.09 -0.09 -0.06 -0.06 -1.80 3.0 -2 -2 caleb_strategy_v3 FEEDCOW False False 0.04 -0.08 -0.05 0.0 0.32 -0.32 -0.08 -0.08 -1.28 8.0 -2 -2 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.05 0.0 0.09 -0.09 -0.04 -0.04 -6.60 12.0 -5 -5 caleb_strategy_v3 CAC True False 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.37 12.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.03 -0.04 0.0 999.00 -999.00 -0.03 -0.03 -7.12 999999999.0 -4 -4 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.04 0.0 0.06 -0.06 -0.03 -0.03 -16.03 26.0 -12 -12 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.04 0.0 0.09 -0.09 -0.02 -0.02 -1.59 4.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.02 0.0 0.08 -0.08 -0.01 -0.01 -1.83 8.0 -1 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.02 0.0 0.31 -0.31 0.00 0.00 -1.22 23.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.07 -0.02 0.0 0.13 -0.13 -0.07 -0.07 -0.85 7.0 -4 -4 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -1.53 9.0 -2 -2 caleb_strategy_v3 CAD False False 0.03 0.00 -0.02 0.0 0.74 -0.74 0.00 0.00 -0.73 29.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.02 0.0 0.88 -0.88 0.00 0.00 -0.41 19.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.02 0.0 0.14 -0.14 -0.05 -0.04 -1.53 11.0 -4 -3 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.02 0.0 0.15 -0.15 0.00 0.00 -7.51 51.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -1.22 9.0 -1 -1 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.52 -0.52 0.00 0.00 -0.12 10.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -0.68 10.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.02 -0.01 0.0 0.32 -0.32 -0.02 -0.01 -1.41 36.0 -2 -1 caleb_strategy_v3 LUMBER-new False True 0.00 -0.01 -0.01 0.0 0.00 -0.01 -0.01 -0.01 -2.32 3.0 -2 -2 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.14 4.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 -0.02 -0.01 0.0 0.38 -0.38 -0.02 -0.02 -0.69 20.0 -1 -1 caleb_strategy_v3 COPPER False False 0.04 0.00 -0.01 0.0 999.00 -999.00 0.00 0.00 -0.29 999999999.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.00 0.0 0.47 -0.47 0.00 0.00 -0.06 48.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.00 0.00 0.0 0.22 -0.22 0.00 0.00 0.02 2.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.00 0.0 0.15 -0.15 0.00 0.01 0.40 18.0 0 1 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.00 0.0 0.17 -0.17 -0.02 -0.02 -0.17 10.0 -1 -1 caleb_strategy_v3 RICE False False 0.01 0.00 0.00 0.0 0.04 -0.04 0.00 0.00 0.42 4.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.49 2.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.01 0.0 0.07 -0.07 0.00 0.00 0.26 2.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.40 999999999.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.25 999999999.0 0 0 caleb_strategy_v3 CHF False False 0.05 0.26 0.01 0.0 0.68 -0.68 0.26 0.26 0.27 13.0 5 5 caleb_strategy_v3 RUSSELL False False 0.00 -0.02 0.01 0.0 0.27 -0.27 -0.02 -0.01 1.94 68.0 -4 -3 caleb_strategy_v3 COCOA False False 0.02 0.00 0.01 0.0 0.56 -0.56 0.00 0.00 0.44 26.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.01 0.0 0.20 -0.20 0.00 0.00 0.23 6.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.24 0.01 0.0 0.28 -0.28 0.24 0.24 0.24 6.0 5 5 caleb_strategy_v3 JPY False False 0.03 0.03 0.01 0.0 0.53 -0.53 0.03 0.03 0.45 17.0 1 1 caleb_strategy_v3 BTP False False 0.05 0.00 0.02 0.0 0.46 -0.46 0.00 0.00 0.43 10.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 0.02 0.0 0.45 -0.45 0.00 0.00 1.13 21.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.53 9.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.02 0.0 0.42 -0.42 0.02 0.02 0.95 23.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.02 0.0 0.12 -0.12 0.02 0.02 0.81 5.0 1 1 caleb_strategy_v3 SMI False True 0.05 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.63 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 0.82 13.0 1 1 caleb_strategy_v3 AUD False False 0.02 0.09 0.03 0.0 0.45 -0.45 0.09 0.09 1.10 19.0 4 4 caleb_strategy_v3 MILK False False 0.02 0.00 0.03 0.0 0.08 -0.08 0.00 0.00 1.60 5.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.01 0.03 0.0 0.48 -0.48 0.01 0.01 4.28 66.0 2 2 caleb_strategy_v3 OJ False False 0.03 0.03 0.03 0.0 0.08 -0.08 0.03 0.03 1.06 3.0 1 1 caleb_strategy_v3 LIVECOW False False 0.02 0.07 0.03 0.0 0.42 -0.42 0.07 0.07 1.06 17.0 3 3 caleb_strategy_v3 OAT False False 0.05 0.00 0.04 0.0 0.49 -0.49 0.00 0.00 0.77 10.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 0.04 0.0 0.68 -0.68 0.00 0.00 0.92 17.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.05 0.05 0.0 0.68 -0.68 0.05 0.05 1.04 14.0 1 1 caleb_strategy_v3 DAX False False 0.01 0.05 0.05 0.0 0.42 -0.42 0.05 0.05 6.66 58.0 7 7 caleb_strategy_v3 US5 False False 0.04 0.19 0.05 0.0 0.96 -0.96 0.19 0.15 1.43 25.0 5 4 caleb_strategy_v3 LEANHOG False False 0.01 0.04 0.06 0.0 0.13 -0.13 0.04 0.04 6.29 13.0 4 4 caleb_strategy_v3 GOLD_micro False False 0.01 0.02 0.06 0.0 0.51 -0.51 0.02 0.02 6.42 56.0 2 2 caleb_strategy_v3 GBP False False 0.03 0.03 0.06 0.0 0.63 -0.63 0.03 0.03 2.22 22.0 1 1 caleb_strategy_v3 US2 False True 0.07 0.00 0.06 0.0 0.00 0.00 0.00 0.00 0.79 13.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.14 0.34 0.0 0.57 -0.57 0.14 0.14 9.63 16.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.87 0.0 0.95 -0.95 0.00 0.00 9.24 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.44 0.0 0.00 0.00 0.00 0.00 17.10 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.6 Shocked risk 16.8 Sum abs risk 32.6 Leverage 4.40 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2881993.04, 'annual_cash_vol_target': 720498.26, 'daily_cash_vol_target': 45031.14125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6804 0.6051 9.6819 BITCOIN 1764.7009 61470.0000 2.8708 45.9333 BOBL 0.2378 119.5500 0.1989 3.1829 BTP 0.4790 120.4200 0.3978 6.3648 BUND 0.4647 134.3900 0.3458 5.5325 BUXL 1.1648 136.4800 0.8534 13.6549 CAC 55.0727 7498.0000 0.7345 11.7520 CAD 0.0025 0.7388 0.3402 5.4426 CANOLA 10.6033 593.6000 1.7863 28.5804 CHF 0.0055 1.1984 0.4622 7.3952 COCOA 167.7837 6209.0000 2.7023 43.2363 COFFEE 4.4838 259.1000 1.7305 27.6886 COPPER 0.0501 4.3255 1.1589 18.5423 CORN 4.7041 449.2500 1.0471 16.7538 COTTON2 1.1573 71.2700 1.6238 25.9810 CRUDE_W 1.1720 68.7800 1.7040 27.2638 DAX 140.1476 18981.0000 0.7384 11.8137 DOW 265.3132 42211.0000 0.6285 10.0566 DX 0.3696 100.2150 0.3688 5.9014 EUR 0.0046 1.1200 0.4089 6.5421 EURIBOR-ICE 0.0423 97.9750 0.0432 0.6914 EUROSTX 42.1369 4897.0000 0.8605 13.7674 FEEDCOW 1.9279 233.5000 0.8257 13.2105 GASOIL 11.8524 651.2500 1.8199 29.1191 GASOLINE 0.0345 1.9464 1.7746 28.3928 GAS_US_mini 0.0798 2.5850 3.0866 49.3852 GBP 0.0065 1.3267 0.4900 7.8404 GOLD_micro 18.1537 2608.5000 0.6959 11.1351 HEATOIL 0.0380 2.1594 1.7583 28.1324 JGB-SGX-mini 0.2793 144.7700 0.1929 3.0869 JPY 0.0001 0.0072 0.7176 11.4816 LEANHOG 1.0608 74.0000 1.4335 22.9367 LIVECOW 1.2944 180.0750 0.7188 11.5010 LUMBER-new 8.5435 516.5000 1.6541 26.4658 MILK 0.3079 23.0100 1.3383 21.4130 MXP 0.0005 0.0512 0.9977 15.9627 NASDAQ_micro 206.9830 19722.5000 1.0495 16.7916 NIKKEI 638.1796 36235.0000 1.7612 28.1796 NZD 0.0040 0.6234 0.6416 10.2662 OAT 0.4331 127.0300 0.3410 5.4553 OATIES 5.9995 352.7500 1.7008 27.2127 OJ 8.2591 491.7500 1.6795 26.8726 PALLAD 27.4256 1075.5000 2.5500 40.8005 PLAT 15.3950 978.9000 1.5727 25.1629 REDWHEAT 9.4852 592.5000 1.6009 25.6140 RICE 0.1468 15.5850 0.9419 15.0711 ROBUSTA 76.9129 5313.0000 1.4476 23.1622 RUSSELL 25.7245 2249.0000 1.1438 18.3011 SHATZ 0.0849 106.9000 0.0795 1.2713 SILVER-mini 0.5160 31.2625 1.6507 26.4110 SMI 83.4248 12033.0000 0.6933 11.0928 SOFR 0.0543 96.9950 0.0560 0.8953 SOYBEAN 11.9083 1064.0000 1.1192 17.9071 SOYMEAL 4.2766 323.5000 1.3220 21.1519 SOYOIL 0.7400 40.4200 1.8308 29.2933 SP400 27.2990 3119.2000 0.8752 14.0031 SP500_micro 41.8339 5699.2500 0.7340 11.7444 SUGAR11 0.3778 21.5300 1.7548 28.0769 US10 0.3570 114.9844 0.3104 4.9670 US10U 0.4922 119.3125 0.4125 6.6003 US2 0.1073 104.2812 0.1029 1.6464 US20 0.7469 125.8125 0.5936 9.4981 US30 1.1252 135.7812 0.8287 13.2595 US5 0.2346 110.3672 0.2125 3.4003 VIX 0.7946 18.1500 4.3779 70.0470 WHEAT 9.0977 638.2500 1.4254 22.8067 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 680.35 0.61 411.69 1.00 411.69 45031.14 109.38 3.87 42.33 BITCOIN 61.47 2.87 176.47 1.00 176.47 45031.14 255.18 -11.30 -288.34 BOBL 1195.50 0.20 237.83 1.11 264.68 45031.14 170.14 -2.40 -40.76 BTP 1204.20 0.40 479.03 1.11 533.12 45031.14 84.47 1.49 12.58 BUND 1343.90 0.35 464.70 1.11 517.16 45031.14 87.07 -1.32 -11.51 BUXL 1364.80 0.85 1164.77 1.11 1296.27 45031.14 34.74 -3.90 -13.56 CAC 749.80 0.73 550.73 1.11 612.90 45031.14 73.47 -5.47 -40.22 CAD 738.80 0.34 251.31 1.00 251.31 45031.14 179.18 -1.56 -28.01 CANOLA 118.72 1.79 212.07 0.74 156.03 45031.14 288.60 -10.69 -308.59 CHF 1498.00 0.46 692.37 1.00 692.37 45031.14 65.04 1.57 10.23 COCOA 620.90 2.70 1677.84 1.00 1677.84 45031.14 26.84 7.61 20.42 COFFEE 971.63 1.73 1681.43 1.00 1681.43 45031.14 26.78 7.37 19.75 COPPER 1081.38 1.16 1253.20 1.00 1253.20 45031.14 35.93 -0.73 -2.64 CORN 224.62 1.05 235.21 1.00 235.21 45031.14 191.45 -14.18 -271.41 COTTON2 356.35 1.62 578.64 1.00 578.64 45031.14 77.82 -9.16 -71.28 CRUDE_W 687.80 1.70 1172.00 1.00 1172.00 45031.14 38.42 1.94 7.46 DAX 189.81 0.74 140.15 1.11 155.97 45031.14 288.72 6.77 195.39 DOW 211.06 0.63 132.66 1.00 132.66 45031.14 339.46 5.42 184.04 DX 1002.15 0.37 369.63 1.00 369.63 45031.14 121.83 -11.38 -138.63 EUR 1400.00 0.41 572.43 1.00 572.43 45031.14 78.67 5.08 39.98 EURIBOR-ICE 2449.38 0.04 105.84 1.11 117.79 45031.14 382.30 7.09 270.93 EUROSTX 489.70 0.86 421.37 1.11 468.94 45031.14 96.03 -2.10 -20.14 FEEDCOW 1167.50 0.83 963.96 1.00 963.96 45031.14 46.71 -8.29 -38.70 GASOIL 651.25 1.82 1185.24 1.00 1185.24 45031.14 37.99 -9.67 -36.75 GASOLINE 817.49 1.77 1450.67 1.00 1450.67 45031.14 31.04 1.89 5.87 GAS_US_mini 64.62 3.09 199.47 1.00 199.47 45031.14 225.75 -6.56 -148.02 GBP 829.19 0.49 406.32 1.00 406.32 45031.14 110.83 7.74 85.75 GOLD_micro 260.85 0.70 181.54 1.00 181.54 45031.14 248.06 7.58 188.13 HEATOIL 906.95 1.76 1594.67 1.00 1594.67 45031.14 28.24 -14.70 -41.50 JGB-SGX-mini 144770.00 0.19 27930.96 0.01 198.69 45031.14 226.64 3.92 88.89 JPY 895.50 0.72 642.61 1.00 642.61 45031.14 70.08 2.49 17.43 LEANHOG 296.00 1.43 424.33 1.00 424.33 45031.14 106.12 9.76 103.54 LIVECOW 720.30 0.72 517.76 1.00 517.76 45031.14 86.97 3.69 32.09 LUMBER-new 142.04 1.65 234.95 1.00 234.95 45031.14 191.67 -5.65 -108.24 MILK 460.20 1.34 615.89 1.00 615.89 45031.14 73.12 10.20 74.58 MXP 256.10 1.00 255.50 1.00 255.50 45031.14 176.25 -2.74 -48.30 NASDAQ_micro 394.45 1.05 413.97 1.00 413.97 45031.14 108.78 -4.82 -52.46 NIKKEI 36235.00 1.76 63817.96 0.01 453.98 45031.14 99.19 -1.32 -13.06 NZD 623.35 0.64 399.96 1.00 399.96 45031.14 112.59 3.86 43.47 OAT 1270.30 0.34 433.11 1.11 482.01 45031.14 93.42 2.43 22.67 OATIES 176.38 1.70 299.98 1.00 299.98 45031.14 150.12 1.33 19.95 OJ 737.62 1.68 1238.87 1.00 1238.87 45031.14 36.35 13.58 49.35 PALLAD 1075.50 2.55 2742.56 1.00 2742.56 45031.14 16.42 4.69 7.70 PLAT 489.45 1.57 769.75 1.00 769.75 45031.14 58.50 -0.86 -5.02 REDWHEAT 296.25 1.60 474.26 1.00 474.26 45031.14 94.95 -14.56 -138.27 RICE 311.70 0.94 293.60 1.00 293.60 45031.14 153.37 1.13 17.31 ROBUSTA 531.30 1.45 769.13 1.00 769.13 45031.14 58.55 13.93 81.59 RUSSELL 112.45 1.14 128.62 1.00 128.62 45031.14 350.10 1.68 58.67 SHATZ 1069.00 0.08 84.94 1.11 94.53 45031.14 476.36 -2.90 -138.13 SILVER-mini 781.56 1.65 1290.11 1.00 1290.11 45031.14 34.90 3.32 11.59 SMI 1203.30 0.69 834.25 1.18 988.42 45031.14 45.56 4.04 18.41 SOFR 2424.88 0.06 135.68 1.00 135.68 45031.14 331.88 8.48 281.41 SOYBEAN 532.00 1.12 595.41 1.00 595.41 45031.14 75.63 -12.07 -91.30 SOYMEAL 323.50 1.32 427.66 1.00 427.66 45031.14 105.30 -12.47 -131.25 SOYOIL 242.52 1.83 444.01 1.00 444.01 45031.14 101.42 -7.20 -73.03 SP400 3119.20 0.88 2729.90 1.00 2729.90 45031.14 16.50 0.35 0.57 SP500_micro 284.96 0.73 209.17 1.00 209.17 45031.14 215.29 -0.12 -2.58 SUGAR11 241.14 1.75 423.15 1.00 423.15 45031.14 106.42 1.75 18.67 US10 1149.84 0.31 356.96 1.00 356.96 45031.14 126.15 5.75 72.52 US10U 1193.12 0.41 492.19 1.00 492.19 45031.14 91.49 7.10 64.94 US2 2085.62 0.10 214.61 1.00 214.61 45031.14 209.83 2.96 62.17 US20 1258.12 0.59 746.86 1.00 746.86 45031.14 60.29 6.97 42.01 US30 1357.81 0.83 1125.24 1.00 1125.24 45031.14 40.02 4.82 19.28 US5 1103.67 0.21 234.55 1.00 234.55 45031.14 191.99 5.87 112.67 VIX 181.50 4.38 794.60 1.00 794.60 45031.14 56.67 -5.09 -28.85 WHEAT 319.12 1.43 454.89 1.00 454.89 45031.14 98.99 -11.66 -115.40 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 42.329 0.010 2.5 1.098 BITCOIN -288.338 0.043 2.5 -31.223 BOBL -40.756 0.004 2.5 -0.413 BTP 12.585 0.014 2.5 0.429 BUND -11.514 0.004 2.5 -0.117 BUXL -13.564 0.004 2.5 -0.138 CAC -40.224 0.014 2.5 -1.372 CAD -28.008 0.010 2.5 -0.727 CANOLA -308.587 0.010 2.5 -7.507 CHF 10.234 0.010 2.5 0.266 COCOA 20.416 0.009 2.5 0.437 COFFEE 19.751 0.005 2.5 0.231 COPPER -2.636 0.043 2.5 -0.285 CORN -271.407 0.010 2.5 -6.603 COTTON2 -71.277 0.009 2.5 -1.527 CRUDE_W 7.460 0.043 2.5 0.808 DAX 195.391 0.014 2.5 6.664 DOW 184.038 0.009 2.5 4.277 DX -138.627 0.010 2.5 -3.597 EUR 39.975 0.010 2.5 1.037 EURIBOR-ICE 270.927 0.014 2.5 9.241 EUROSTX -20.143 0.014 2.5 -0.687 FEEDCOW -38.704 0.013 2.5 -1.283 GASOIL -36.749 0.017 2.5 -1.593 GASOLINE 5.867 0.017 2.5 0.254 GAS_US_mini -148.021 0.043 2.5 -16.029 GBP 85.747 0.010 2.5 2.225 GOLD_micro 188.126 0.014 2.5 6.417 HEATOIL -41.502 0.017 2.5 -1.799 JGB-SGX-mini 88.887 0.043 2.5 9.625 JPY 17.434 0.010 2.5 0.452 LEANHOG 103.540 0.024 2.5 6.293 LIVECOW 32.090 0.013 2.5 1.063 LUMBER-new -108.238 0.009 2.5 -2.318 MILK 74.581 0.009 2.5 1.597 MXP -48.299 0.059 2.5 -7.089 NASDAQ_micro -52.456 0.009 2.5 -1.219 NIKKEI -13.060 0.043 2.5 -1.414 NZD 43.470 0.010 2.5 1.128 OAT 22.673 0.014 2.5 0.773 OATIES 19.946 0.010 2.5 0.485 OJ 49.349 0.009 2.5 1.057 PALLAD 7.700 0.014 2.5 0.263 PLAT -5.019 0.014 2.5 -0.171 REDWHEAT -138.272 0.005 2.5 -1.834 RICE 17.306 0.010 2.5 0.421 ROBUSTA 81.586 0.005 2.5 0.953 RUSSELL 58.674 0.013 2.5 1.944 SHATZ -138.132 0.004 2.5 -1.401 SILVER-mini 11.590 0.014 2.5 0.395 SMI 18.411 0.014 2.5 0.628 SOFR 281.409 0.024 2.5 17.102 SOYBEAN -91.297 0.004 2.5 -0.849 SOYMEAL -131.254 0.004 2.5 -1.221 SOYOIL -73.030 0.004 2.5 -0.680 SP400 0.574 0.013 2.5 0.019 SP500_micro -2.585 0.009 2.5 -0.060 SUGAR11 18.673 0.009 2.5 0.397 US10 72.520 0.005 2.5 0.919 US10U 64.940 0.005 2.5 0.823 US2 62.167 0.005 2.5 0.788 US20 42.009 0.005 2.5 0.532 US30 19.282 0.005 2.5 0.244 US5 112.670 0.005 2.5 1.428 VIX -28.852 0.099 2.5 -7.122 WHEAT -115.401 0.005 2.5 -1.531 ===================== Position diags ===================== AUD 2.84 BITCOIN 27.63 BOBL 1.73 BTP 2.88 BUND 0.88 BUXL 0.35 CAC 2.51 CAD 4.65 CANOLA 7.02 CHF 1.69 COCOA 0.57 COFFEE 0.31 COPPER 3.89 CORN 4.66 COTTON2 1.67 CRUDE_W 4.16 DAX 9.85 DOW 7.89 DX 3.16 EUR 2.04 EURIBOR-ICE 13.04 EUROSTX 3.28 FEEDCOW 1.55 GASOIL 1.65 GASOLINE 1.35 GAS_US_mini 24.45 GBP 2.88 GOLD_micro 8.46 HEATOIL 1.22 JGB-SGX-mini 24.54 JPY 1.82 LEANHOG 6.45 LIVECOW 2.88 LUMBER-new 4.10 MILK 1.57 MXP 25.87 NASDAQ_micro 2.53 NIKKEI 10.74 NZD 2.92 OAT 3.19 OATIES 3.65 OJ 0.78 PALLAD 0.56 PLAT 2.00 REDWHEAT 1.26 RICE 3.73 ROBUSTA 0.68 RUSSELL 11.60 SHATZ 4.83 SILVER-mini 1.19 SMI 1.55 SOFR 20.17 SOYBEAN 0.70 SOYMEAL 0.98 SOYOIL 0.94 SP400 0.55 SP500_micro 5.00 SUGAR11 2.26 US10 1.60 US10U 1.16 US2 2.66 US20 0.76 US30 0.51 US5 2.43 VIX 13.99 WHEAT 1.31 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.1 0.8 1.4 4.0 4 BITCOIN -31.2 -34.0 -28.5 0.0 0 BOBL -0.4 -0.6 -0.2 0.0 0 BTP 0.4 0.1 0.7 0.0 0 BUND -0.1 -0.2 -0.0 0.0 0 BUXL -0.1 -0.2 -0.1 0.0 0 CAC -1.4 -1.6 -1.1 0.0 0 CAD -0.7 -1.2 -0.3 0.0 0 CANOLA -7.5 -8.2 -6.8 0.0 0 CHF 0.3 0.1 0.4 5.0 5 COCOA 0.4 0.4 0.5 0.0 0 COFFEE 0.2 0.2 0.3 0.0 0 COPPER -0.3 -0.7 0.1 0.0 0 CORN -6.6 -7.1 -6.1 -5.0 -5 COTTON2 -1.5 -1.7 -1.4 -4.0 -4 CRUDE_W 0.8 0.4 1.2 1.0 1 DAX 6.7 5.7 7.6 7.0 7 DOW 4.3 3.5 5.1 2.0 2 DX -3.6 -3.9 -3.3 0.0 0 EUR 1.0 0.8 1.2 1.0 1 EURIBOR-ICE 9.2 7.9 10.5 0.0 0 EUROSTX -0.7 -1.0 -0.4 -1.0 -1 FEEDCOW -1.3 -1.4 -1.1 -2.0 -2 GASOIL -1.6 -1.8 -1.4 -1.0 -1 GASOLINE 0.3 0.1 0.4 0.0 0 GAS_US_mini -16.0 -18.5 -13.6 -12.0 -12 GBP 2.2 1.9 2.5 1.0 1 GOLD_micro 6.4 5.6 7.3 2.0 2 HEATOIL -1.8 -1.9 -1.7 -2.0 -2 JGB-SGX-mini 9.6 7.2 12.1 4.0 4 JPY 0.5 0.3 0.6 1.0 1 LEANHOG 6.3 5.6 6.9 4.0 4 LIVECOW 1.1 0.8 1.4 3.0 3 LUMBER-new -2.3 -2.7 -1.9 -2.0 -2 MILK 1.6 1.4 1.8 NaN 0 MXP -7.1 -9.7 -4.5 -9.0 -9 NASDAQ_micro -1.2 -1.5 -1.0 0.0 0 NIKKEI -1.4 -2.5 -0.3 -2.0 -2 NZD 1.1 0.8 1.4 0.0 0 OAT 0.8 0.5 1.1 0.0 0 OATIES 0.5 0.1 0.9 NaN 0 OJ 1.1 1.0 1.1 1.0 1 PALLAD 0.3 0.2 0.3 0.0 0 PLAT -0.2 -0.4 0.0 -1.0 -1 REDWHEAT -1.8 -2.0 -1.7 -1.0 -1 RICE 0.4 0.0 0.8 NaN 0 ROBUSTA 1.0 0.9 1.0 1.0 1 RUSSELL 1.9 0.8 3.1 -4.0 -4 SHATZ -1.4 -1.9 -0.9 NaN 0 SILVER-mini 0.4 0.3 0.5 0.0 0 SMI 0.6 0.5 0.8 0.0 0 SOFR 17.1 15.1 19.1 NaN 0 SOYBEAN -0.8 -0.9 -0.8 -4.0 -4 SOYMEAL -1.2 -1.3 -1.1 -1.0 -1 SOYOIL -0.7 -0.8 -0.6 0.0 0 SP400 0.0 -0.0 0.1 0.0 0 SP500_micro -0.1 -0.6 0.4 0.0 0 SUGAR11 0.4 0.2 0.6 0.0 0 US10 0.9 0.8 1.1 0.0 0 US10U 0.8 0.7 0.9 1.0 1 US2 0.8 0.5 1.1 NaN 0 US20 0.5 0.5 0.6 0.0 0 US30 0.2 0.2 0.3 5.0 5 US5 1.4 1.2 1.7 5.0 5 VIX -7.1 -8.5 -5.7 -4.0 -4 WHEAT -1.5 -1.7 -1.4 -2.0 -2 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.0 0.2 0.1 0.0 0.1 0.1 0.1 0.0 0.1 0.1 0.2 0.1 0.0 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 0.0 0.1 0.3 0.0 0.1 0.1 0.0 0.0 0.0 -0.0 -0.2 -0.3 -0.2 -0.1 0.4 -0.2 0.5 -0.0 BITCOIN -0.1 -0.3 -0.6 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 -0.0 0.0 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 0.2 -0.0 -2.7 -0.0 0.0 -0.0 0.0 0.2 -0.0 -0.1 -0.5 -0.6 -0.6 0.1 -0.2 -0.1 -0.1 0.0 BOBL 0.1 0.5 0.5 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.1 0.1 -0.1 0.1 0.1 0.1 -0.3 -0.2 -0.3 0.1 0.1 0.0 0.0 0.1 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -1.1 -0.1 -0.0 -0.1 -0.1 -0.7 -0.7 -0.2 -0.2 BTP 0.2 0.3 0.3 0.1 -0.0 0.1 0.0 0.1 0.1 0.0 0.5 0.2 0.6 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.3 0.2 -2.7 0.1 0.0 0.2 0.1 0.2 0.1 0.5 0.1 0.1 -0.5 -0.6 -0.7 -0.5 -0.0 0.2 BUND 0.0 0.4 0.4 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.1 0.1 0.0 0.1 0.1 -0.3 -0.0 -0.1 -0.1 0.1 0.1 0.0 0.0 0.1 0.2 0.0 -0.0 0.1 0.0 0.1 0.0 0.0 -0.1 -0.2 -0.3 -0.3 -0.7 -0.6 -0.2 -0.2 BUXL -0.0 0.3 0.3 0.1 -0.0 0.1 0.0 0.1 0.0 -0.0 0.1 0.1 0.0 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.0 -0.0 0.1 -0.4 0.0 -0.0 0.1 0.0 0.1 0.0 0.0 -0.2 -0.4 -0.5 -0.5 -0.7 -0.7 -0.2 -0.2 CAC 0.1 -0.1 -0.6 0.0 0.1 0.1 0.0 0.3 0.0 0.1 -0.3 -0.1 0.0 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -1.2 -0.1 0.0 -0.1 -0.0 0.0 -0.0 0.3 -0.3 -0.3 -0.1 -0.6 0.4 0.2 0.0 0.1 CAD -0.0 0.5 0.2 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 -0.0 -0.2 -0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.2 -0.5 -0.4 -0.0 -0.1 0.4 -0.2 0.2 -0.1 CANOLA 0.2 -0.3 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.3 -0.2 -0.3 -0.3 -0.1 -0.1 -0.0 -0.1 -0.0 -1.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.1 -0.2 0.2 -0.0 -0.1 -0.1 -0.4 0.2 -0.2 CHF -0.1 0.6 0.6 0.0 0.1 0.0 0.1 0.0 0.0 0.1 0.2 0.0 -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 0.1 0.0 0.1 0.0 0.1 0.0 -1.1 -0.2 -0.1 0.6 0.6 -0.1 -0.4 -0.3 -0.4 COCOA -0.2 0.1 0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.1 -0.0 0.1 0.0 -0.0 0.4 0.4 0.4 0.4 0.0 0.0 0.0 0.3 0.0 -2.7 0.0 0.0 0.1 0.0 0.4 0.0 1.1 0.0 0.1 0.3 0.3 0.7 0.3 0.7 0.5 COFFEE 0.0 0.0 0.1 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.1 0.5 0.2 0.6 0.1 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 0.4 0.5 0.6 0.6 0.6 -0.1 -0.3 0.2 -0.1 COPPER 0.2 -0.2 -0.5 0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.1 0.1 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 0.1 0.0 -2.2 0.0 0.1 -0.0 0.1 0.0 0.0 0.2 -0.1 0.0 -0.1 -0.2 0.7 0.3 0.7 0.7 CORN 0.6 -0.0 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.4 0.1 -0.6 0.0 -0.1 -0.4 -0.3 -0.4 -0.4 -0.1 -0.2 0.1 -0.5 0.0 -1.5 -0.1 0.0 -0.2 0.0 -0.3 -0.0 -1.1 -0.4 0.2 0.1 -0.5 -0.1 -0.2 0.0 -0.0 COTTON2 0.4 0.5 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.4 0.1 -0.5 0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.0 -0.1 0.1 -0.3 0.1 -2.7 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.6 0.0 0.3 0.3 0.1 -0.4 -0.4 -0.1 -0.2 CRUDE_W -0.5 -0.5 -0.4 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.1 -0.2 -0.1 0.2 -0.1 -0.1 0.2 0.3 0.2 0.3 -0.2 -0.1 -0.0 -0.0 -0.2 -0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.6 0.2 0.5 0.2 0.0 0.1 0.5 0.1 0.7 DAX 0.2 0.1 -0.3 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.2 0.0 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 1.4 0.0 0.1 0.1 0.0 0.2 0.0 -0.4 0.1 0.3 0.2 -0.6 0.4 0.2 0.1 0.1 DOW 0.1 0.2 0.0 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.3 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 -1.5 0.1 0.1 0.1 0.1 0.2 0.1 -0.4 0.4 0.6 0.6 0.3 0.3 0.0 -0.1 -0.2 DX 0.0 -0.6 -0.6 0.0 0.1 0.1 0.1 0.0 0.1 -0.1 -0.2 -0.1 0.2 -0.1 -0.2 0.1 0.1 0.1 0.1 -0.2 -0.1 -0.1 -0.1 -0.2 -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 -0.2 0.4 0.3 0.1 0.1 0.1 0.1 0.0 0.1 0.2 0.3 0.0 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.1 0.1 2.7 0.1 0.1 0.1 0.0 0.1 0.0 -0.4 -0.1 -0.5 0.2 0.3 0.0 -0.6 -0.2 -0.7 EURIBOR-ICE 0.2 0.6 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.0 -0.0 0.1 0.1 0.1 0.1 0.1 1.7 0.0 -0.0 0.1 0.0 0.1 0.0 -0.0 0.0 0.2 0.1 0.0 -0.7 -0.7 0.0 0.1 EUROSTX 0.0 -0.1 -0.5 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.1 -0.0 0.4 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 0.2 -0.0 -0.3 -0.0 0.0 -0.0 0.0 0.2 -0.0 0.2 -0.1 -0.2 -0.1 -0.6 0.2 0.0 -0.5 -0.1 FEEDCOW 0.3 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.3 0.1 -0.4 -0.1 -0.1 0.4 -0.3 0.2 -0.0 -0.2 -0.2 0.0 -0.4 -0.1 -0.9 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -1.0 -0.2 0.0 -0.6 -0.6 0.2 0.7 0.5 0.7 GASOIL -0.4 -0.6 -0.5 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.3 -0.1 0.1 -0.1 -0.2 0.1 0.2 0.0 0.1 -0.2 -0.1 -0.1 -0.1 -0.2 0.5 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.2 -0.3 -0.3 -0.1 -0.1 -0.4 -0.2 -0.7 GASOLINE -0.4 -0.5 -0.4 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.1 -0.2 -0.1 0.1 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.2 -0.1 -0.0 -0.0 -0.2 -2.7 -0.1 0.1 -0.1 0.0 -0.0 -0.0 1.1 0.3 0.6 0.3 0.1 0.4 0.6 0.6 0.7 GAS_US_mini 0.1 0.0 -0.3 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.5 -0.0 -0.7 -0.1 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 0.0 -0.5 -0.0 2.7 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -1.1 0.4 0.3 0.6 0.3 -0.2 -0.5 -0.2 -0.7 GBP -0.0 0.3 0.3 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.5 0.1 0.5 0.2 0.2 0.0 -0.0 -0.0 -0.0 0.2 0.2 0.1 0.3 0.2 -0.2 0.1 0.1 0.2 0.1 0.2 0.1 0.1 -0.1 0.2 0.1 0.6 0.3 -0.7 0.3 -0.6 GOLD_micro 0.2 0.4 0.3 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 0.5 0.2 0.6 0.2 0.2 -0.3 -0.3 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -1.2 0.1 0.1 0.2 0.1 0.2 0.1 -0.7 -0.1 0.1 0.6 0.6 0.4 -0.1 0.5 0.1 HEATOIL -0.5 -0.6 -0.4 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.4 -0.1 -0.1 -0.2 -0.2 -0.1 0.1 -0.1 -0.0 -0.2 -0.2 -0.1 -0.2 -0.2 -2.7 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.4 -0.1 0.2 -0.0 -0.1 -0.2 0.2 -0.5 0.1 JGB-SGX-mini 0.1 0.5 0.3 0.0 -0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.1 0.0 0.1 0.1 0.2 0.3 0.3 0.3 0.1 0.0 0.0 0.0 0.1 -1.1 0.0 0.0 0.0 0.0 -0.0 0.0 1.1 -0.0 -0.1 0.0 -0.2 -0.3 -0.2 -0.3 0.2 JPY 0.1 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 -0.2 -0.3 -0.2 -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 0.0 0.1 0.6 0.3 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.5 0.5 -0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 0.1 -0.3 0.2 0.1 0.4 0.4 0.4 0.4 0.1 -0.1 0.1 -0.3 0.1 0.6 0.0 0.1 -0.1 0.1 -0.1 0.0 1.1 -0.2 0.6 0.6 0.1 0.0 -0.2 0.2 0.1 LIVECOW 0.1 -0.5 0.1 -0.1 0.1 -0.2 0.0 -0.2 -0.0 0.2 0.1 0.2 0.2 -0.1 -0.1 0.1 0.2 0.2 0.3 -0.0 0.0 0.1 0.1 0.0 -1.9 -0.0 0.1 -0.0 0.0 0.1 -0.0 1.0 -0.2 0.2 -0.4 0.6 -0.0 0.7 0.2 0.7 LUMBER-new -0.1 0.4 -0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.4 -0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.0 -0.3 -0.0 NaN -0.0 0.0 -0.1 0.0 -0.2 -0.0 -1.2 -0.1 -0.1 0.4 0.2 0.1 -0.1 0.3 0.0 MILK 0.3 0.4 0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 0.3 0.1 0.2 0.1 0.1 0.4 -0.3 0.3 -0.0 0.2 0.2 0.1 0.2 0.2 1.9 0.1 0.0 0.1 0.0 0.1 0.0 -1.0 0.1 0.6 0.6 0.6 -0.0 -0.7 0.2 -0.7 MXP 0.1 -0.3 -0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.2 0.0 -0.1 -0.0 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.1 0.1 -0.1 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 1.1 0.2 -0.4 -0.6 -0.6 0.5 0.4 0.6 0.6 NASDAQ_micro -0.1 -0.2 -0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.0 0.3 0.0 -0.0 -0.1 -0.2 -0.2 -0.2 -0.0 0.0 0.0 0.2 0.0 -2.3 0.0 0.0 0.1 0.0 0.2 0.0 -0.3 0.2 0.1 0.0 0.1 0.1 0.1 -0.3 0.0 NIKKEI -0.2 -0.3 -0.6 0.0 0.0 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 0.1 0.0 -0.0 0.1 0.2 0.1 0.2 -0.0 -0.0 -0.0 0.1 -0.0 -0.8 -0.0 0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.1 -0.1 -0.6 -0.4 0.3 0.0 0.3 -0.0 NZD 0.1 0.5 0.1 0.0 0.1 0.0 0.1 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 0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.2 -0.3 -0.1 0.1 -0.0 0.2 -0.2 0.1 -0.0 OAT 0.1 0.5 0.3 0.0 -0.0 0.1 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 0.1 0.1 0.0 -0.0 0.1 0.5 0.0 -0.0 0.1 0.0 0.0 0.0 0.5 -0.1 -0.1 -0.3 -0.6 -0.4 -0.5 0.1 0.0 OATIES 0.6 0.6 -0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.2 0.1 -0.5 0.1 -0.0 0.0 0.1 0.1 0.1 0.1 -0.0 0.1 -0.3 0.2 -2.7 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.2 -0.2 0.6 0.6 0.1 0.5 0.0 0.7 0.3 OJ 0.3 0.1 0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 0.4 0.1 0.5 0.1 0.1 0.3 0.2 0.2 0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.3 0.1 0.9 0.2 0.6 0.6 0.6 0.4 0.4 0.7 0.7 PALLAD 0.5 0.5 0.5 0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.1 -0.3 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 -0.1 0.1 2.1 0.0 0.0 -0.0 0.1 -0.1 0.0 0.3 0.2 0.3 0.2 0.3 -0.7 -0.7 -0.7 -0.7 PLAT 0.2 -0.1 -0.2 0.0 0.1 -0.0 0.1 -0.1 0.0 0.1 -0.2 0.1 -0.2 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.0 0.1 0.7 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 0.0 -0.1 -0.2 0.0 -0.1 -0.2 -0.2 0.0 REDWHEAT 0.6 0.1 -0.6 -0.1 0.1 -0.2 0.0 -0.2 -0.0 -0.1 -0.4 0.1 -0.7 0.1 -0.2 -0.2 -0.1 -0.2 -0.2 -0.1 -0.2 0.0 -0.5 0.1 -0.7 -0.0 -0.0 -0.2 0.0 -0.3 0.0 -0.8 -0.5 0.4 0.2 -0.6 -0.7 -0.7 -0.7 -0.7 RICE 0.2 -0.1 -0.4 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.2 0.3 0.2 0.5 0.1 -0.0 -0.2 0.4 0.2 0.4 0.0 0.0 0.1 0.2 0.1 -1.6 0.0 0.1 0.0 0.1 0.1 0.0 1.1 0.1 0.3 0.6 0.6 -0.7 -0.7 -0.7 -0.7 ROBUSTA 0.5 0.3 0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.4 0.1 0.5 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 1.1 0.5 0.6 0.6 0.6 0.2 -0.1 0.5 0.1 RUSSELL -0.1 -0.1 0.1 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 0.1 0.0 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 -0.0 0.3 0.4 0.3 0.3 0.1 -0.5 -0.3 -0.7 SHATZ 0.1 0.6 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.1 0.0 -0.1 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.0 -0.0 0.1 0.9 0.0 -0.0 0.1 0.0 0.0 0.0 -1.1 0.0 0.1 0.1 0.1 -0.7 -0.6 -0.5 -0.3 SILVER-mini 0.2 -0.1 -0.1 0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 0.1 0.1 0.2 0.1 -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 0.1 0.0 -0.1 0.1 0.1 -0.1 0.1 0.2 -0.1 0.1 0.3 SMI -0.4 -0.2 -0.1 0.0 0.0 0.1 0.0 0.2 0.0 0.0 0.3 -0.1 0.5 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.3 -0.1 1.4 0.0 -0.0 0.2 -0.0 0.3 -0.0 0.5 -0.4 -0.5 0.4 0.3 0.0 0.0 -0.4 -0.1 SOFR 0.2 0.6 0.6 0.1 -0.0 0.1 0.0 0.1 0.0 -0.1 0.4 0.1 0.3 0.2 0.2 0.1 -0.0 0.0 0.0 0.2 0.2 0.1 0.3 0.2 -0.9 0.1 -0.0 0.2 0.0 0.1 0.0 0.2 -0.3 -0.1 0.1 0.3 0.3 -0.4 0.7 0.3 SOYBEAN 0.6 -0.2 -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 -0.2 0.0 -0.4 -0.0 -2.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.3 -0.2 0.2 -0.2 -0.5 -0.0 -0.6 0.2 -0.4 SOYMEAL 0.6 0.1 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.2 0.1 -0.4 0.1 -0.1 -0.2 0.1 -0.1 -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 0.2 0.2 -0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.3 -0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -2.2 -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 -0.0 -0.2 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.1 0.1 0.4 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 0.2 0.0 -1.4 0.0 0.1 0.1 0.1 0.2 0.0 0.0 0.4 0.4 0.4 0.1 0.2 -0.2 -0.2 -0.7 SP500_micro -0.0 -0.0 -0.5 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.3 0.1 0.4 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.4 0.1 -2.3 0.0 0.0 0.1 0.1 0.3 0.0 -0.5 0.3 0.4 0.3 0.3 0.2 0.1 -0.3 -0.0 SUGAR11 0.5 0.4 0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 0.1 -0.4 0.1 0.0 -0.1 0.1 -0.1 -0.0 0.0 -0.0 0.2 -0.2 0.1 -2.7 0.0 0.2 -0.0 0.1 -0.1 0.1 0.1 0.5 0.6 0.5 0.6 -0.4 0.4 -0.3 0.5 US10 0.2 0.6 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.3 0.1 0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.1 0.1 0.2 0.3 0.0 -0.0 0.1 0.0 0.1 0.0 -0.5 -0.1 -0.1 0.0 0.1 0.1 -0.7 0.7 0.2 US10U 0.2 0.6 0.6 0.1 -0.0 0.1 0.0 0.1 0.0 -0.0 0.4 0.1 0.1 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.1 0.1 0.2 -0.1 0.1 -0.0 0.2 0.0 0.1 0.0 -0.1 -0.1 -0.2 -0.1 0.0 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 0.0 0.1 0.1 -0.0 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.2 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 0.1 0.6 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.3 0.1 0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.2 0.1 0.1 0.1 0.1 -0.4 0.0 -0.0 0.1 0.0 0.1 0.0 0.1 -0.1 -0.2 -0.1 0.0 0.2 -0.3 0.7 0.7 US30 0.1 0.5 0.6 0.0 -0.0 0.1 0.0 0.1 0.0 -0.0 0.3 0.1 0.1 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.1 0.1 -0.3 0.1 -0.0 0.1 0.0 0.1 0.0 -0.3 -0.1 -0.3 -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 -0.0 0.3 0.1 0.1 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.1 0.2 0.9 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 0.2 1.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.2 -0.0 -0.4 -0.1 -0.1 0.2 -0.6 -0.5 -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 0.6 0.2 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.3 0.1 -0.5 0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.0 -0.1 0.1 -0.4 0.1 0.5 -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.1 -0.2 0.3 0.2 -0.5 -0.7 -0.7 -0.6 -0.6 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.2 6.8 4.2 4.3 7.9 2.2 6.2 1.1 5.4 15.9 8.1 6.6 0.1 10.5 9.5 -0.4 -2.3 -1.3 -1.8 5.6 4.3 8.9 1.4 6.0 2.4 2.9 8.0 2.1 4.4 1.0 3.2 -0.0 -7.0 -9.5 -7.6 -1.9 10.9 -5.4 16.2 -0.5 BITCOIN -4.0 -10.0 -20.0 0.4 7.9 -2.2 8.2 -1.9 5.0 14.7 -1.6 1.8 6.5 -5.4 -8.8 -4.7 -6.7 -5.5 -6.2 -7.4 -3.5 4.2 5.9 -3.6 -20.0 -4.0 5.2 -1.1 1.7 5.6 -2.1 -1.9 -20.0 -20.0 -20.0 2.7 -4.7 -3.8 -4.4 0.9 BOBL 1.8 14.2 16.1 3.5 -0.2 2.8 1.9 1.2 3.0 -3.1 2.9 5.0 -2.6 8.1 9.8 5.4 -13.5 -11.8 -14.2 10.2 6.8 4.7 0.2 8.9 4.6 3.7 -0.9 2.7 1.7 0.9 3.2 -20.0 -2.2 -1.2 -3.3 -4.3 -20.0 -20.0 -5.9 -6.6 BTP 4.7 9.2 8.6 6.3 -0.3 5.1 3.4 2.1 5.4 5.4 17.1 16.2 17.3 18.9 20.0 5.7 4.1 3.6 3.2 17.9 15.1 16.2 13.0 19.0 -20.0 7.1 1.5 5.9 6.7 5.1 7.8 9.8 4.8 1.9 -15.2 -18.2 -20.0 -14.5 -1.4 6.5 BUND 0.4 11.2 12.9 4.1 -0.2 3.3 2.2 1.4 3.5 -2.7 5.0 7.0 0.6 9.7 11.4 -15.5 -1.1 -5.9 -3.1 10.1 7.5 4.9 1.5 8.6 1.3 4.2 -1.1 3.5 2.0 1.7 3.5 0.1 -4.1 -5.5 -8.2 -8.6 -20.0 -19.2 -4.8 -5.1 BUXL -0.7 9.2 8.4 4.8 -0.2 3.9 2.6 1.6 4.1 -4.8 4.6 9.1 0.8 10.8 11.8 -0.4 -2.0 -1.0 -1.9 8.0 5.5 4.1 -0.5 7.1 -3.0 4.2 -1.9 3.6 2.0 1.8 3.6 0.1 -8.0 -11.7 -14.4 -16.4 -20.0 -20.0 -6.9 -6.1 CAC 1.9 -3.0 -20.0 1.7 6.1 4.9 2.8 8.0 0.9 13.8 -9.9 -6.9 1.3 3.5 -9.9 -6.1 -2.5 -5.5 -3.8 -11.2 -12.9 -2.5 -2.8 -5.8 -9.2 -4.7 1.9 -4.5 -1.1 0.3 -2.7 5.4 -12.8 -7.7 -3.8 -20.0 13.4 6.0 1.3 2.1 CAD -0.2 14.9 5.6 5.9 10.9 3.0 8.6 1.5 7.4 -10.7 -1.8 -14.6 -13.9 9.4 10.4 -4.3 -3.6 -4.5 -4.1 8.1 2.2 -4.0 -5.2 4.1 -1.5 4.2 -0.8 1.5 -1.7 -1.6 2.3 -3.0 -20.0 -11.0 -0.3 -3.8 12.3 -6.8 6.1 -2.6 CANOLA 5.4 -10.1 -0.7 -1.7 2.1 -1.9 1.0 -1.5 -0.5 3.4 -5.2 -2.3 -6.4 -4.9 -5.4 -12.5 -10.8 -12.5 -12.7 -5.2 -5.3 -1.2 -5.5 -3.8 -13.1 -1.2 1.9 -2.4 0.4 -3.5 -0.2 -20.0 -7.3 5.6 -0.2 -2.8 -3.0 -11.1 5.6 -6.0 CHF -2.2 20.0 20.0 3.6 6.6 1.8 5.2 0.9 4.5 7.7 6.4 2.7 -1.9 11.2 12.6 -13.8 -16.2 -15.0 -15.6 16.1 11.7 5.5 3.2 10.6 3.9 4.8 2.1 3.8 1.4 1.4 3.0 -20.0 -10.2 -2.5 20.0 20.0 -2.4 -10.9 -10.3 -12.0 COCOA -5.1 3.9 4.1 -1.7 2.0 -1.9 1.0 -1.4 -0.5 5.6 2.0 -1.2 3.2 0.6 -1.5 20.0 20.0 20.0 20.0 1.3 4.5 0.5 9.9 0.5 -20.0 1.9 1.1 4.8 1.2 10.3 1.5 20.0 1.1 3.3 8.4 10.3 20.0 10.0 20.0 14.6 COFFEE 1.5 0.1 4.3 -4.6 5.6 -5.2 2.7 -4.0 -1.4 14.4 16.7 14.2 16.6 13.6 15.2 4.0 6.0 4.2 5.1 16.0 18.5 20.0 18.9 16.9 -20.0 6.1 9.4 7.2 8.9 8.5 7.0 7.7 20.0 19.2 20.0 20.0 -2.8 -9.2 5.9 -2.8 COPPER 6.2 -6.6 -14.1 0.3 6.5 -1.9 6.9 -1.6 4.2 12.9 -4.7 9.0 -1.3 5.8 -8.1 -4.3 -3.0 -3.2 -2.7 -4.7 -4.1 12.7 2.3 3.6 -16.7 0.1 7.1 -0.6 6.1 1.4 3.7 4.5 -3.2 1.5 -4.1 -5.2 19.9 7.7 20.0 20.0 CORN 18.4 -0.3 -20.0 -4.3 5.2 -4.8 2.5 -3.7 -1.3 8.8 -14.4 12.2 -17.4 3.6 -12.4 -20.0 -16.2 -20.0 -19.9 -10.0 -20.0 7.6 -20.0 3.6 -11.2 -4.6 2.2 -8.0 1.8 -8.9 -0.2 -20.0 -14.8 4.7 2.7 -15.6 -1.7 -5.6 1.3 -0.4 COTTON2 12.8 17.0 -6.8 -3.4 4.1 -3.8 2.0 -3.0 -1.0 6.7 -13.4 7.4 -12.7 5.0 -7.7 -10.4 -3.6 -9.7 -6.8 -2.7 -10.6 9.2 -12.6 4.8 -20.0 -1.0 6.1 -4.1 5.9 -3.4 2.9 -10.7 0.4 8.8 8.0 3.7 -11.8 -12.0 -1.7 -5.1 CRUDE_W -14.3 -15.4 -12.8 -5.1 0.8 -3.6 -2.3 -1.3 -4.8 12.9 -8.6 -6.6 5.0 -10.3 -12.6 11.6 12.6 12.5 12.7 -16.6 -10.0 -4.4 -1.7 -15.6 -1.6 -5.4 3.7 -4.7 0.6 -1.6 -3.3 11.1 9.0 15.2 7.0 0.1 3.6 14.1 4.3 19.6 DAX 6.1 2.9 -10.5 1.5 5.3 4.2 2.4 6.9 0.7 15.5 7.3 4.2 13.6 11.4 8.4 -8.2 -10.3 -8.6 -9.4 4.8 5.0 9.5 10.5 7.0 10.4 1.2 7.0 2.5 3.8 6.4 2.2 -6.8 2.7 8.3 7.3 -17.8 13.2 5.1 2.9 1.9 DOW 4.4 7.4 1.1 1.2 4.3 3.4 2.0 5.6 0.6 13.7 10.0 12.2 13.1 12.4 11.2 -8.3 -10.7 -9.4 -10.1 11.5 11.1 15.1 12.3 12.3 -11.0 5.0 6.0 4.7 5.8 5.2 5.5 -7.7 16.4 20.0 20.0 8.9 9.7 1.4 -3.9 -4.8 DX 1.5 -20.0 -17.0 4.1 7.6 2.1 6.0 1.1 5.2 -15.9 -8.8 -7.7 4.4 -13.0 -14.6 5.0 6.7 6.0 6.5 -18.7 -13.3 -11.5 -3.7 -14.9 -20.0 -5.7 -4.4 -4.1 -3.3 -1.2 -4.4 15.1 -20.0 -20.0 -20.0 -20.0 -2.1 6.0 -3.4 8.7 EUR -7.3 12.9 10.4 5.1 9.4 2.6 7.4 1.3 6.4 17.7 9.5 1.8 -3.1 10.8 13.7 -5.8 -7.1 -6.7 -6.9 13.1 10.2 10.3 3.6 9.8 20.0 6.1 7.5 5.2 4.5 2.7 4.6 -8.4 -5.7 -15.8 7.5 8.7 0.8 -19.1 -4.6 -20.0 EURIBOR-ICE 5.0 19.0 19.9 3.0 -0.2 2.4 1.6 1.0 2.6 -1.8 5.5 4.9 4.1 8.1 9.5 3.2 -2.9 0.5 -1.3 13.8 10.6 6.6 5.5 12.1 12.7 3.5 -0.4 2.6 1.8 1.5 3.2 -0.1 1.5 5.4 2.4 1.3 -19.9 -20.0 0.2 2.5 EUROSTX 0.4 -3.2 -15.8 1.4 5.1 4.0 2.3 6.6 0.7 14.2 1.9 -2.3 10.8 4.0 -1.4 -4.5 -3.1 -4.6 -4.2 -4.1 -1.6 2.1 7.3 -2.0 -2.3 -2.4 4.3 -0.2 0.6 5.0 -1.6 4.2 -5.3 -5.8 -2.3 -20.0 6.8 1.3 -14.9 -4.2 FEEDCOW 8.0 -20.0 -20.0 -4.2 5.1 -4.7 2.5 -3.6 -1.3 14.7 -12.7 10.1 -10.9 -11.0 -13.6 19.3 -15.0 9.7 -1.9 -20.0 -20.0 5.4 -14.3 -11.0 -6.7 -5.4 2.9 -5.1 0.9 -2.7 -2.7 -17.9 -9.1 1.5 -20.0 -20.0 4.9 20.0 13.6 20.0 GASOIL -13.7 -17.8 -15.9 -4.7 0.7 -3.3 -2.1 -1.1 -4.4 1.0 -12.4 -10.1 2.9 -13.5 -14.8 2.8 8.8 2.0 3.7 -19.8 -13.5 -12.5 -4.2 -20.0 3.4 -5.6 -0.1 -3.9 -3.4 -1.4 -5.6 0.1 -8.8 -9.8 -10.1 -2.7 -4.0 -11.3 -6.8 -20.0 GASOLINE -12.4 -16.3 -12.9 -5.3 0.8 -3.7 -2.4 -1.3 -4.9 15.4 -8.9 -5.0 3.3 -11.4 -13.5 18.4 20.0 20.0 20.0 -17.3 -10.8 -1.9 -1.0 -14.9 -20.0 -5.3 6.5 -4.5 2.3 -0.7 -2.8 20.0 12.8 18.5 9.9 4.5 11.4 17.7 17.7 20.0 GAS_US_mini 3.5 1.4 -10.2 -5.8 0.9 -4.0 -2.6 -1.4 -5.4 4.1 -17.7 -2.0 -19.0 -6.7 -17.6 -20.0 -20.0 -20.0 -20.0 -11.1 -16.3 1.1 -20.0 -3.8 20.0 -5.2 -0.2 -6.5 -0.1 -8.9 -2.8 -20.0 15.5 8.4 19.0 8.3 -6.6 -16.5 -6.3 -19.6 GBP -0.3 7.9 8.4 5.4 10.0 2.7 7.9 1.4 6.8 17.2 17.8 10.7 13.7 15.8 16.7 0.4 -0.6 -0.2 -0.4 18.4 16.2 14.6 11.8 15.8 -1.7 7.3 8.1 6.7 5.7 5.2 6.2 2.7 -5.7 4.8 3.0 18.4 7.7 -20.0 9.3 -19.1 GOLD_micro 5.1 10.9 10.2 0.4 8.1 -2.3 8.5 -1.9 5.2 14.5 17.2 15.2 16.5 16.4 16.3 -12.6 -13.2 -12.3 -12.4 20.0 20.0 20.0 20.0 20.0 -9.0 5.9 5.9 5.6 7.0 6.5 6.9 -12.8 -2.6 2.8 18.8 20.0 13.4 -2.6 13.8 2.9 HEATOIL -14.4 -17.5 -13.8 -5.0 0.8 -3.5 -2.2 -1.2 -4.6 1.8 -14.1 -11.5 -2.3 -14.5 -15.4 -6.2 5.0 -5.6 -2.3 -20.0 -15.6 -11.3 -7.1 -20.0 -20.0 -6.1 0.8 -5.4 -2.2 -2.6 -4.9 -8.3 -3.2 6.1 -1.5 -3.5 -7.0 4.7 -15.1 3.1 JGB-SGX-mini 2.2 16.6 10.1 2.4 -0.1 1.9 1.3 0.8 2.0 5.1 2.6 5.9 1.4 5.0 4.7 10.6 16.5 13.5 14.9 5.9 3.6 5.4 1.2 5.6 -7.9 2.1 1.5 1.2 1.7 -0.0 2.0 20.0 -0.0 -2.7 0.6 -5.2 -8.6 -5.4 -8.8 4.8 JPY 3.7 20.0 20.0 2.2 4.0 1.1 3.2 0.6 2.7 3.0 4.4 7.3 -4.1 8.9 8.7 -10.9 -15.0 -12.4 -13.6 11.9 6.3 7.4 -2.6 11.0 20.0 2.9 0.7 1.5 1.6 -0.7 2.5 -20.0 2.0 3.1 20.0 10.7 -20.0 -20.0 -20.0 -20.0 LEANHOG 14.6 15.8 -7.8 -4.5 5.4 -5.0 2.7 -3.9 -1.4 14.1 -6.7 13.6 -7.6 14.4 4.8 20.0 20.0 20.0 20.0 6.3 -6.1 13.7 -12.4 13.5 4.5 1.7 8.5 -2.4 5.6 -4.1 4.6 20.0 -6.3 20.0 20.0 4.0 0.2 -4.9 4.8 4.0 LIVECOW 4.4 -16.8 1.7 -4.9 6.0 -5.6 2.9 -4.3 -1.5 17.9 3.9 16.3 6.4 -7.6 -6.8 3.7 10.6 10.9 12.8 -4.1 0.5 11.4 5.1 0.5 -14.0 -3.3 6.7 -0.4 3.4 3.0 -1.6 18.6 -7.9 7.3 -11.7 20.0 -1.3 20.0 6.6 20.0 LUMBER-new -3.8 10.1 -3.5 -2.8 3.4 -3.2 1.7 -2.4 -0.9 2.4 -7.9 -3.4 -8.7 -4.1 -2.3 -19.1 -17.9 -18.4 -18.1 -3.2 -6.5 0.1 -8.3 -2.1 NaN -1.0 3.6 -3.9 0.8 -5.6 -0.3 -20.0 -5.0 -3.6 11.4 6.4 2.5 -1.6 7.1 1.2 MILK 10.6 11.8 20.0 -3.2 3.8 -3.6 1.9 -2.8 -1.0 2.8 12.4 8.3 6.9 11.2 12.0 20.0 -13.8 12.5 -1.9 18.6 15.9 9.7 7.7 16.7 14.0 4.8 0.3 4.1 2.3 1.8 4.2 -17.9 2.3 19.2 20.0 20.0 -0.8 -19.9 5.9 -20.0 MXP 2.3 -8.3 -19.8 2.3 4.2 1.2 3.3 0.6 2.9 7.0 -7.7 4.5 -4.0 -3.6 -7.7 9.7 13.9 10.4 11.7 -8.5 -9.4 7.3 -4.2 -1.5 -20.0 -2.7 2.8 -3.1 2.2 -1.3 -0.4 20.0 7.5 -11.8 -20.0 -20.0 13.9 12.5 18.5 19.2 NASDAQ_micro -3.6 -6.5 -20.0 0.9 3.0 2.4 1.4 3.9 0.4 9.1 1.9 4.2 7.0 3.6 -0.6 -6.5 -9.8 -7.9 -9.0 -0.3 2.8 5.3 7.8 1.1 -17.3 1.3 2.8 2.5 3.1 5.2 2.1 -5.9 9.5 2.6 0.5 3.7 1.8 4.0 -8.9 0.5 NIKKEI -4.9 -7.9 -20.0 0.6 2.0 1.6 0.9 2.6 0.3 0.8 0.9 -4.2 3.0 1.4 -0.0 2.8 9.0 6.3 7.7 -3.1 -1.2 -3.3 2.1 -3.6 -6.2 -1.9 0.1 -1.0 -0.6 0.8 -1.5 20.0 -4.3 -4.6 -18.5 -12.1 10.3 1.1 8.9 -0.1 NZD 3.9 15.2 2.7 3.5 6.5 1.8 5.1 0.9 4.4 9.6 5.9 2.4 0.5 10.3 9.5 0.4 0.1 0.1 0.1 7.5 4.3 5.2 1.1 7.1 0.1 3.0 3.8 1.7 2.2 0.6 3.0 3.8 -10.9 -1.9 4.1 -0.8 4.9 -5.5 2.6 -0.3 OAT 4.3 15.0 7.8 4.4 -0.2 3.6 2.4 1.5 3.8 -5.0 1.3 7.8 -1.2 11.4 12.8 5.8 3.9 3.2 2.9 10.1 5.1 5.5 -0.8 10.4 3.5 4.4 -2.3 2.6 2.4 0.9 4.5 9.4 -4.6 -3.3 -9.7 -17.5 -12.4 -15.8 1.5 1.4 OATIES 20.0 20.0 -7.9 -3.8 4.6 -4.3 2.3 -3.3 -1.2 -9.6 -8.2 9.8 -13.3 11.3 -3.0 2.4 2.5 4.3 4.1 10.9 -3.1 9.6 -10.3 19.8 -20.0 2.5 -3.5 -0.7 1.7 -2.0 4.6 3.5 -9.7 20.0 20.0 1.8 14.2 0.4 20.0 9.9 OJ 9.6 4.0 4.1 -4.0 4.9 -4.6 2.4 -3.5 -1.2 2.4 14.4 8.2 15.2 11.3 12.4 15.1 12.3 12.2 11.1 19.2 20.0 11.8 20.0 17.4 -20.0 5.6 2.5 6.1 3.1 8.8 5.0 17.5 6.8 20.0 20.0 20.0 12.1 13.4 20.0 20.0 PALLAD 16.8 14.0 16.6 0.2 4.5 -1.3 4.7 -1.1 2.9 6.3 -1.4 7.8 -7.3 7.7 3.9 -1.6 -2.0 -1.7 -1.8 5.3 0.0 15.2 -5.3 11.3 15.4 2.1 4.0 -0.0 5.4 -1.6 4.4 6.0 7.0 10.3 6.5 10.3 -20.0 -20.0 -20.0 -20.0 PLAT 5.7 -3.1 -5.8 0.3 6.1 -1.7 6.4 -1.5 3.9 6.4 -5.8 8.3 -4.7 4.7 -6.0 -4.4 -4.5 -4.7 -4.7 -0.8 -2.1 10.1 -1.2 5.2 5.2 -0.0 2.9 -1.6 5.4 -1.0 3.6 1.4 0.3 -2.9 -4.8 0.7 -3.1 -7.3 -6.8 1.2 REDWHEAT 20.0 3.9 -17.5 -5.0 6.1 -5.7 3.0 -4.4 -1.5 -11.8 -16.3 10.7 -18.8 10.4 -15.0 -9.3 -6.2 -9.9 -8.6 -6.2 -15.6 5.1 -20.0 5.8 -5.5 -3.2 -2.5 -6.1 1.1 -7.0 1.2 -14.7 -20.0 12.7 7.2 -17.5 -20.0 -20.0 -20.0 -20.0 RICE 6.1 -3.0 -11.1 -4.6 5.6 -5.2 2.7 -4.0 -1.4 17.1 10.0 17.2 12.9 7.8 -0.7 -10.6 20.0 9.9 20.0 1.4 2.1 11.9 7.9 6.5 -11.9 0.7 8.8 1.7 5.8 3.4 2.3 20.0 2.1 9.4 18.6 20.0 -20.0 -20.0 -20.0 -20.0 ROBUSTA 16.8 8.2 7.2 -3.1 3.8 -3.5 1.9 -2.7 -1.0 11.7 13.2 12.8 12.9 12.9 13.2 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 5.0 4.3 5.7 4.8 7.1 4.8 20.0 20.0 20.0 20.0 20.0 7.0 -4.3 15.7 2.7 RUSSELL -2.3 -2.5 1.6 1.0 3.4 2.7 1.5 4.4 0.5 10.7 3.3 6.2 7.9 1.8 1.1 -4.6 -6.3 -5.4 -5.9 3.0 4.3 10.2 5.0 3.9 -0.8 3.3 6.5 3.6 4.9 3.6 3.5 -0.2 14.3 12.6 8.9 7.9 1.9 -14.7 -8.3 -20.0 SHATZ 2.8 18.7 20.0 2.7 -0.1 2.2 1.5 0.9 2.3 -2.0 2.3 3.3 -2.5 6.4 7.7 -20.0 -20.0 -20.0 -20.0 10.2 6.5 4.6 -1.1 8.8 6.9 3.0 -0.4 2.0 1.4 0.2 2.6 -20.0 0.7 3.3 2.3 2.5 -20.0 -18.5 -14.7 -10.4 SILVER-mini 5.6 -3.7 -3.9 0.3 5.7 -1.6 5.9 -1.4 3.6 10.4 4.3 9.3 5.3 6.8 -0.8 -6.2 -6.4 -6.1 -6.1 2.7 3.2 15.0 5.7 7.9 2.2 1.4 6.3 0.7 6.5 1.8 4.2 -1.4 3.2 2.2 -2.1 4.1 6.0 -3.0 3.7 9.4 SMI -12.1 -6.9 -3.7 1.3 4.5 3.5 2.0 5.8 0.6 2.1 10.6 -10.0 13.0 1.8 4.5 -1.4 0.0 -2.3 -1.7 -0.4 7.6 -8.0 12.2 -7.0 10.5 2.4 -1.3 6.0 -3.0 7.3 -1.6 9.1 -18.5 -14.6 12.6 10.3 0.0 0.9 -12.9 -3.5 SOFR 5.7 20.0 20.0 5.2 -0.3 4.1 2.8 1.7 4.4 -9.1 14.7 9.1 8.8 15.5 17.2 2.7 -0.4 1.1 0.0 20.0 20.0 6.2 11.0 19.0 -6.5 6.1 -3.1 5.9 0.6 3.6 3.9 3.2 -11.1 -2.3 1.9 8.4 9.8 -12.7 20.0 8.5 SOYBEAN 20.0 -5.7 -20.0 -2.6 3.2 -2.9 1.5 -2.3 -0.8 1.9 -8.7 6.4 -8.9 -1.7 -7.5 -7.9 1.1 -7.8 -4.6 -8.5 -14.1 3.1 -13.4 -0.1 -17.7 -3.1 0.8 -4.4 0.5 -3.8 -0.7 -5.2 -9.5 6.0 -5.1 -14.7 -0.3 -18.8 5.9 -12.5 SOYMEAL 18.1 2.9 -12.4 -3.0 3.7 -3.4 1.8 -2.6 -0.9 -1.4 -8.6 6.9 -10.5 5.3 -6.3 -7.6 3.3 -3.2 -0.4 -2.2 -9.0 4.1 -11.1 4.5 -20.0 -2.1 -0.7 -3.8 0.4 -3.6 0.1 0.3 -13.4 5.9 7.5 -3.9 -20.0 -20.0 -20.0 -20.0 SOYOIL 9.1 -6.6 -0.1 -1.9 2.3 -2.2 1.2 -1.7 -0.6 0.2 -6.6 -3.1 -7.6 -4.8 -6.3 0.1 1.5 2.2 1.3 -5.5 -6.9 -0.9 -7.6 -3.2 -16.7 -1.8 1.4 -2.7 0.3 -2.9 -0.4 -0.3 -7.0 6.3 -4.2 0.3 -3.2 -9.1 5.3 -3.2 SP400 -3.2 -1.4 -6.2 1.1 4.0 3.1 1.8 5.2 0.6 12.5 5.1 5.1 10.3 3.8 1.7 -6.3 -5.9 -6.1 -6.0 2.2 4.0 11.4 7.0 3.8 -10.2 3.7 8.7 4.2 6.5 5.1 4.3 0.2 15.6 12.6 11.9 3.5 5.2 -6.7 -6.2 -20.0 SP500_micro -0.6 -0.3 -14.7 1.1 4.0 3.2 1.8 5.2 0.6 12.5 9.5 10.3 12.5 10.3 7.2 -8.5 -11.8 -10.2 -11.2 6.2 9.7 10.3 14.6 6.9 -17.2 3.7 4.2 5.0 4.9 7.5 4.3 -9.6 13.3 11.2 8.6 10.1 6.4 3.0 -7.6 -1.3 SUGAR11 16.8 11.0 7.3 -3.6 4.4 -4.1 2.1 -3.1 -1.1 12.7 -9.1 10.7 -11.1 8.0 0.8 -4.4 5.1 -3.6 -0.6 3.3 -4.0 20.0 -6.7 11.0 -20.0 1.6 16.7 -1.8 9.3 -3.0 4.9 2.0 20.0 20.0 16.9 20.0 -10.9 12.8 -7.8 16.3 US10 5.4 19.9 20.0 3.9 -0.2 3.1 2.1 1.3 3.3 -1.0 10.4 9.4 3.1 12.2 12.8 -6.8 -7.4 -7.1 -7.1 17.8 14.4 7.4 4.6 14.2 2.2 4.5 -1.0 4.3 1.2 2.3 3.1 -8.8 -3.4 -3.2 1.3 3.9 4.2 -20.0 20.0 6.1 US10U 5.4 18.7 20.0 5.2 -0.3 4.2 2.8 1.8 4.5 -2.5 13.6 12.7 2.6 16.4 17.2 -4.4 -3.2 -4.2 -4.0 20.0 17.1 9.6 4.6 17.9 -0.9 6.0 -1.4 5.6 1.7 3.0 4.2 -2.4 -4.5 -7.1 -1.7 1.4 4.8 -17.8 20.0 16.3 US2 9.8 20.0 20.0 2.7 -0.1 2.2 1.5 0.9 2.3 1.2 5.4 6.6 -0.5 8.3 8.7 -20.0 -20.0 -20.0 -20.0 14.3 10.1 7.0 1.1 12.3 12.2 3.1 -0.2 2.5 1.1 0.9 2.4 -20.0 0.7 3.9 8.5 7.2 0.5 -20.0 5.1 -12.0 US20 3.9 17.5 20.0 4.0 -0.2 3.2 2.1 1.3 3.4 -4.2 10.4 9.0 4.1 12.1 12.7 -1.6 -0.9 -1.2 -1.0 15.4 12.5 6.5 4.2 12.7 -3.0 4.5 -1.6 4.6 1.1 2.9 3.0 2.1 -4.1 -6.8 -2.9 0.2 5.8 -10.0 20.0 20.0 US30 4.6 15.9 17.8 4.6 -0.2 3.7 2.5 1.5 3.9 -5.4 11.2 10.6 2.2 14.0 14.4 -6.7 -5.2 -5.6 -5.2 15.4 11.7 7.2 2.5 13.3 -2.1 5.2 -1.5 5.1 1.5 2.9 3.6 -5.3 -5.1 -8.2 -7.0 -4.0 2.6 -9.0 20.0 20.0 US5 7.2 20.0 20.0 3.8 -0.2 3.0 2.0 1.3 3.2 -0.2 9.7 9.0 2.0 11.8 12.4 -10.1 -10.9 -11.1 -11.0 18.7 14.7 7.7 4.3 15.1 6.5 4.5 -0.8 3.9 1.3 2.0 3.2 -15.0 -2.7 0.4 4.5 6.3 5.2 -20.0 20.0 -0.6 VIX 2.3 3.7 20.0 1.1 -0.5 0.5 -0.6 -1.2 0.2 -6.3 -4.3 -0.6 -6.3 -4.3 -3.9 5.3 -20.0 -15.2 -20.0 1.2 -0.1 -0.4 -3.5 0.7 NaN 1.2 -0.5 0.5 -0.6 -1.5 0.2 NaN NaN NaN NaN NaN -11.9 -20.0 NaN NaN WHEAT 20.0 4.7 -18.7 -4.1 5.0 -4.6 2.4 -3.6 -1.3 -3.3 -12.6 10.6 -14.4 10.0 -11.3 -14.0 -15.1 -15.8 -15.8 -4.1 -12.5 8.8 -15.7 7.6 3.5 -2.4 0.2 -4.7 2.6 -4.8 1.7 -20.0 -8.8 10.0 7.5 -15.8 -20.0 -20.0 -18.9 -18.7 End of report for caleb_strategy_v3