******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240919_203917 produced at 2024-09-19 21:38:00.265876 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -3.75 999999999.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -1.54 24.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -27.06 59.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.07 -0.06 0.0 0.53 -0.53 -0.07 -0.05 -6.22 60.0 -8 -6 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.06 0.0 0.10 -0.10 -0.06 -0.06 -1.73 3.0 -2 -2 caleb_strategy_v3 VIX False False 0.01 -0.02 -0.05 0.0 999.00 -999.00 -0.02 -0.03 -7.64 999999999.0 -4 -5 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.05 0.0 0.09 -0.09 -0.04 -0.04 -6.89 12.0 -5 -5 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.04 0.0 0.06 -0.06 -0.03 -0.03 -17.27 26.0 -12 -12 caleb_strategy_v3 FEEDCOW False False 0.04 -0.08 -0.04 0.0 0.33 -0.33 -0.08 -0.08 -1.00 8.0 -2 -2 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -1.47 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 -1.88 8.0 -1 -1 caleb_strategy_v3 SOYBEAN False False 0.02 -0.07 -0.02 0.0 0.13 -0.13 -0.07 -0.07 -0.88 7.0 -4 -4 caleb_strategy_v3 COTTON2 False False 0.01 -0.04 -0.02 0.0 0.14 -0.14 -0.04 -0.03 -1.27 11.0 -3 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -1.62 9.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.02 0.0 0.15 -0.15 0.00 0.00 -7.53 51.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.02 0.0 0.88 -0.88 0.00 0.00 -0.40 19.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.72 12.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 -0.02 0.0 0.75 -0.75 0.00 0.00 -0.76 29.0 0 0 caleb_strategy_v3 COPPER False False 0.04 0.00 -0.01 0.0 999.00 -999.00 0.00 0.00 -0.18 999999999.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.52 -0.52 0.00 0.00 -0.16 10.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -0.65 10.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.01 0.0 0.32 -0.32 0.00 0.00 -0.98 23.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.01 -0.01 0.0 0.33 -0.33 -0.01 0.00 -0.55 36.0 -1 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.02 -1.29 9.0 -1 -2 caleb_strategy_v3 EUROSTX False False 0.02 -0.02 -0.01 0.0 0.39 -0.39 -0.02 -0.02 -0.39 20.0 -1 -1 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.21 -0.21 0.00 -0.05 -0.17 4.0 0 -1 caleb_strategy_v3 LUMBER-new False True 0.00 -0.01 -0.01 0.0 0.00 -0.01 -0.01 -0.01 -2.73 3.0 -2 -2 caleb_strategy_v3 CHF False False 0.05 0.26 0.00 0.0 0.67 -0.67 0.26 0.26 0.08 13.0 5 5 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.00 0.0 0.48 -0.48 0.00 0.00 0.22 48.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.63 2.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.00 0.0 0.17 -0.17 -0.02 0.00 -0.15 10.0 -1 0 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.46 999999999.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.01 0.0 0.08 -0.08 0.00 0.00 0.25 2.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.01 0.0 0.04 -0.04 0.00 0.00 0.51 4.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.01 0.0 0.20 -0.20 0.00 0.00 0.26 6.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.00 0.01 0.0 0.22 -0.22 0.00 0.11 0.05 2.0 0 1 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 0.01 0.0 0.27 -0.27 -0.01 -0.00 2.41 68.0 -3 -1 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 0.01 0.0 0.15 -0.15 0.01 0.01 0.69 18.0 1 1 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 US30 False False 0.05 0.23 0.01 0.0 0.28 -0.28 0.23 0.23 0.19 6.0 5 5 caleb_strategy_v3 JPY False False 0.03 0.03 0.01 0.0 0.52 -0.52 0.03 0.00 0.31 17.0 1 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.37 999999999.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.00 0.02 0.0 0.47 -0.47 0.00 0.00 0.50 10.0 0 0 caleb_strategy_v3 OJ False True 0.02 0.02 0.02 0.0 0.02 0.00 0.02 0.02 0.80 3.0 1 1 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.48 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 SMI False True 0.05 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.62 9.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 0.03 0.0 0.68 -0.68 0.00 0.00 0.85 17.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.04 0.03 0.0 0.54 -0.54 0.04 0.00 0.74 13.0 1 0 caleb_strategy_v3 AUD False False 0.02 0.09 0.03 0.0 0.45 -0.45 0.09 0.09 1.37 19.0 4 4 caleb_strategy_v3 NZD False False 0.02 0.00 0.03 0.0 0.46 -0.46 0.00 0.00 1.28 21.0 0 0 caleb_strategy_v3 MILK False False 0.02 0.00 0.03 0.0 0.08 -0.08 0.00 0.00 1.70 5.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.01 0.03 0.0 0.49 -0.49 0.01 0.01 4.17 66.0 2 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.03 0.0 0.12 -0.12 0.02 0.02 1.09 5.0 1 1 caleb_strategy_v3 OAT False False 0.05 0.00 0.03 0.0 0.49 -0.49 0.00 0.00 0.66 10.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.08 0.04 0.0 0.43 -0.43 0.08 0.08 1.42 17.0 3 3 caleb_strategy_v3 GOLD_micro False False 0.01 0.02 0.05 0.0 0.51 -0.51 0.02 0.02 5.97 56.0 2 2 caleb_strategy_v3 EUR False False 0.05 0.05 0.05 0.0 0.68 -0.68 0.05 0.05 1.07 14.0 1 1 caleb_strategy_v3 DAX False False 0.01 0.05 0.05 0.0 0.43 -0.43 0.05 0.02 6.77 58.0 7 3 caleb_strategy_v3 US5 False False 0.04 0.15 0.05 0.0 0.96 -0.96 0.15 0.12 1.37 25.0 4 3 caleb_strategy_v3 US2 False True 0.07 0.00 0.06 0.0 0.00 0.00 0.00 0.00 0.84 13.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.04 0.07 0.0 0.13 -0.13 0.04 0.05 6.88 13.0 4 5 caleb_strategy_v3 GBP False False 0.03 0.03 0.07 0.0 0.63 -0.63 0.03 0.03 2.48 22.0 1 1 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.14 0.35 0.0 0.56 -0.56 0.14 0.14 9.87 16.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.86 0.0 0.95 -0.95 0.00 0.00 9.05 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.37 0.0 0.00 0.00 0.00 0.00 16.25 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.5 Shocked risk 16.5 Sum abs risk 32.2 Leverage 4.30 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2876481.41, 'annual_cash_vol_target': 719120.3525, 'daily_cash_vol_target': 44945.02203125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6824 0.6012 9.6187 BITCOIN 1828.5329 64290.0000 2.8442 45.5071 BOBL 0.2362 119.5100 0.1976 3.1617 BTP 0.4785 120.6000 0.3968 6.3487 BUND 0.4606 134.1900 0.3433 5.4922 BUXL 1.1755 135.1800 0.8695 13.9128 CAC 64.5953 7642.5000 0.8452 13.5234 CAD 0.0025 0.7392 0.3408 5.4521 CANOLA 10.4033 593.9000 1.7517 28.0269 CHF 0.0054 1.1922 0.4501 7.2016 COCOA 163.6421 6201.0000 2.6390 42.2234 COFFEE 4.3525 260.3500 1.6718 26.7487 COPPER 0.0508 4.3500 1.1669 18.6712 CORN 4.6654 446.2500 1.0455 16.7275 COTTON2 1.1850 73.0700 1.6217 25.9477 CRUDE_W 1.2048 70.1100 1.7184 27.4943 DAX 146.7113 19198.0000 0.7642 12.2272 DOW 273.6950 42484.0000 0.6442 10.3077 DX 0.3623 100.3250 0.3612 5.7787 EUR 0.0045 1.1201 0.4025 6.4408 EURIBOR-ICE 0.0421 97.9750 0.0429 0.6869 EUROSTX 46.0198 4975.0000 0.9250 14.8003 FEEDCOW 1.9466 236.0750 0.8246 13.1931 GASOIL 11.7927 660.2500 1.7861 28.5776 GASOLINE 0.0354 1.9714 1.7954 28.7263 GAS_US_mini 0.0790 2.5950 3.0425 48.6807 GBP 0.0063 1.3281 0.4723 7.5567 GOLD_micro 18.4874 2613.8000 0.7073 11.3168 HEATOIL 0.0382 2.1874 1.7448 27.9166 JGB-SGX-mini 0.2757 144.6300 0.1906 3.0496 JPY 0.0000 0.0071 0.7050 11.2793 LEANHOG 1.0419 74.3250 1.4019 22.4297 LIVECOW 1.2813 181.1500 0.7073 11.3168 LUMBER-new 8.5179 507.5000 1.6784 26.8543 MILK 0.3040 23.1700 1.3120 20.9927 MXP 0.0005 0.0511 0.9829 15.7260 NASDAQ_micro 219.1162 20148.7500 1.0875 17.3999 NIKKEI 671.5578 37610.0000 1.7856 28.5693 NZD 0.0039 0.6249 0.6278 10.0451 OAT 0.4301 126.9300 0.3389 5.4220 OATIES 6.0599 361.0000 1.6786 26.8582 OJ 8.9256 476.2500 1.8741 29.9862 PALLAD 28.5918 1090.0000 2.6231 41.9697 PLAT 15.5743 990.1000 1.5730 25.1681 REDWHEAT 9.6872 579.0000 1.6731 26.7694 RICE 0.1443 15.6500 0.9218 14.7492 ROBUSTA 77.1370 5255.0000 1.4679 23.4861 RUSSELL 25.9076 2275.9000 1.1383 18.2135 SHATZ 0.0851 106.9000 0.0796 1.2737 SILVER-mini 0.5047 31.5000 1.6023 25.6376 SMI 84.9968 12107.0000 0.7020 11.2327 SOFR 0.0535 96.9700 0.0552 0.8827 SOYBEAN 11.6774 1062.0000 1.0996 17.5930 SOYMEAL 4.1992 322.7000 1.3013 20.8201 SOYOIL 0.7298 40.9000 1.7843 28.5493 SP400 27.5094 3152.6000 0.8726 13.9615 SP500_micro 43.8703 5786.2500 0.7582 12.1309 SUGAR11 0.3767 20.8200 1.8091 28.9463 US10 0.3544 114.7812 0.3088 4.9407 US10U 0.4908 118.9844 0.4125 6.6001 US2 0.1054 104.3125 0.1010 1.6168 US20 0.7448 125.2188 0.5948 9.5169 US30 1.1381 134.5938 0.8456 13.5293 US5 0.2322 110.2734 0.2106 3.3689 VIX 0.7805 17.8000 4.3851 70.1613 WHEAT 9.0792 630.0000 1.4411 23.0582 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 682.35 0.60 410.21 1.00 410.21 44945.02 109.57 4.80 52.64 BITCOIN 64.29 2.84 182.85 1.00 182.85 44945.02 245.80 -10.17 -249.86 BOBL 1195.10 0.20 236.16 1.11 262.70 44945.02 171.09 -2.31 -39.48 BTP 1206.00 0.40 478.53 1.11 532.32 44945.02 84.43 1.72 14.56 BUND 1341.90 0.34 460.62 1.11 512.40 44945.02 87.72 -1.79 -15.67 BUXL 1351.80 0.87 1175.46 1.11 1307.58 44945.02 34.37 -4.87 -16.74 CAC 764.25 0.85 645.95 1.11 718.56 44945.02 62.55 -3.38 -21.15 CAD 739.20 0.34 251.89 1.00 251.89 44945.02 178.43 -1.65 -29.40 CANOLA 118.78 1.75 208.07 0.74 153.16 44945.02 293.46 -10.54 -309.36 CHF 1490.25 0.45 670.76 1.00 670.76 44945.02 67.01 0.47 3.15 COCOA 620.10 2.64 1636.42 1.00 1636.42 44945.02 27.47 7.51 20.63 COFFEE 976.31 1.67 1632.19 1.00 1632.19 44945.02 27.54 8.08 22.25 COPPER 1087.50 1.17 1269.06 1.00 1269.06 44945.02 35.42 -0.46 -1.65 CORN 223.12 1.05 233.27 1.00 233.27 44945.02 192.67 -14.70 -283.21 COTTON2 365.35 1.62 592.50 1.00 592.50 44945.02 75.86 -7.85 -59.53 CRUDE_W 701.10 1.72 1204.77 1.00 1204.77 44945.02 37.31 2.69 10.04 DAX 191.98 0.76 146.71 1.11 163.20 44945.02 275.40 7.21 198.60 DOW 212.42 0.64 136.85 1.00 136.85 44945.02 328.43 5.46 179.24 DX 1003.25 0.36 362.34 1.00 362.34 44945.02 124.04 -11.66 -144.65 EUR 1400.12 0.40 563.62 1.00 563.62 44945.02 79.74 5.16 41.17 EURIBOR-ICE 2449.38 0.04 105.15 1.11 116.97 44945.02 384.25 6.90 265.24 EUROSTX 497.50 0.93 460.20 1.11 511.92 44945.02 87.80 -1.30 -11.45 FEEDCOW 1180.38 0.82 973.30 1.00 973.30 44945.02 46.18 -6.56 -30.31 GASOIL 660.25 1.79 1179.27 1.00 1179.27 44945.02 38.11 -8.87 -33.80 GASOLINE 827.99 1.80 1486.57 1.00 1486.57 44945.02 30.23 2.85 8.61 GAS_US_mini 64.88 3.04 197.39 1.00 197.39 44945.02 227.70 -7.00 -159.49 GBP 830.06 0.47 392.04 1.00 392.04 44945.02 114.65 8.33 95.55 GOLD_micro 261.38 0.71 184.87 1.00 184.87 44945.02 243.11 7.20 174.96 HEATOIL 918.71 1.74 1602.95 1.00 1602.95 44945.02 28.04 -14.22 -39.88 JGB-SGX-mini 144630.00 0.19 27566.92 0.01 194.86 44945.02 230.65 3.95 91.16 JPY 886.06 0.70 624.64 1.00 624.64 44945.02 71.95 1.65 11.84 LEANHOG 297.30 1.40 416.77 1.00 416.77 44945.02 107.84 10.50 113.26 LIVECOW 724.60 0.71 512.51 1.00 512.51 44945.02 87.70 4.89 42.84 LUMBER-new 139.56 1.68 234.24 1.00 234.24 44945.02 191.88 -6.65 -127.68 MILK 463.40 1.31 608.00 1.00 608.00 44945.02 73.92 10.76 79.57 MXP 255.70 0.98 251.32 1.00 251.32 44945.02 178.84 -2.37 -42.37 NASDAQ_micro 402.98 1.09 438.23 1.00 438.23 44945.02 102.56 -4.11 -42.12 NIKKEI 37610.00 1.79 67155.78 0.01 474.70 44945.02 94.68 -0.54 -5.07 NZD 624.90 0.63 392.32 1.00 392.32 44945.02 114.56 4.29 49.15 OAT 1269.30 0.34 430.13 1.11 478.48 44945.02 93.93 2.05 19.25 OATIES 180.50 1.68 302.99 1.00 302.99 44945.02 148.34 1.73 25.72 OJ 714.38 1.87 1338.84 1.00 1338.84 44945.02 33.57 11.11 37.31 PALLAD 1090.00 2.62 2859.18 1.00 2859.18 44945.02 15.72 4.66 7.33 PLAT 495.05 1.57 778.72 1.00 778.72 44945.02 57.72 -0.76 -4.37 REDWHEAT 289.50 1.67 484.36 1.00 484.36 44945.02 92.79 -15.26 -141.57 RICE 313.00 0.92 288.53 1.00 288.53 44945.02 155.77 1.35 21.06 ROBUSTA 525.50 1.47 771.37 1.00 771.37 44945.02 58.27 13.90 80.97 RUSSELL 113.80 1.14 129.54 1.00 129.54 44945.02 346.96 2.09 72.62 SHATZ 1069.00 0.08 85.10 1.11 94.67 44945.02 474.77 -3.20 -151.75 SILVER-mini 787.50 1.60 1261.85 1.00 1261.85 44945.02 35.62 3.82 13.59 SMI 1210.70 0.70 849.97 1.18 1005.55 44945.02 44.70 4.08 18.23 SOFR 2424.25 0.06 133.74 1.00 133.74 44945.02 336.05 7.96 267.41 SOYBEAN 531.00 1.10 583.87 1.00 583.87 44945.02 76.98 -12.24 -94.23 SOYMEAL 322.70 1.30 419.92 1.00 419.92 44945.02 107.03 -12.95 -138.65 SOYOIL 245.40 1.78 437.87 1.00 437.87 44945.02 102.64 -6.84 -70.17 SP400 3152.60 0.87 2750.94 1.00 2750.94 44945.02 16.34 0.98 1.61 SP500_micro 289.31 0.76 219.35 1.00 219.35 44945.02 204.90 0.47 9.63 SUGAR11 233.18 1.81 421.86 1.00 421.86 44945.02 106.54 3.05 32.48 US10 1147.81 0.31 354.44 1.00 354.44 44945.02 126.81 5.29 67.04 US10U 1189.84 0.41 490.82 1.00 490.82 44945.02 91.57 6.34 58.02 US2 2086.25 0.10 210.81 1.00 210.81 44945.02 213.20 3.10 66.07 US20 1252.19 0.59 744.81 1.00 744.81 44945.02 60.34 6.25 37.72 US30 1345.94 0.85 1138.10 1.00 1138.10 44945.02 39.49 3.74 14.79 US5 1102.73 0.21 232.19 1.00 232.19 44945.02 193.57 5.58 108.06 VIX 178.00 4.39 780.54 1.00 780.54 44945.02 57.58 -5.38 -30.95 WHEAT 315.00 1.44 453.96 1.00 453.96 44945.02 99.01 -12.30 -121.76 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 52.643 0.010 2.5 1.366 BITCOIN -249.855 0.043 2.5 -27.056 BOBL -39.483 0.004 2.5 -0.400 BTP 14.561 0.014 2.5 0.497 BUND -15.673 0.004 2.5 -0.159 BUXL -16.740 0.004 2.5 -0.170 CAC -21.149 0.014 2.5 -0.721 CAD -29.404 0.010 2.5 -0.763 CANOLA -309.361 0.010 2.5 -7.526 CHF 3.150 0.010 2.5 0.082 COCOA 20.632 0.009 2.5 0.442 COFFEE 22.248 0.005 2.5 0.260 COPPER -1.646 0.043 2.5 -0.178 CORN -283.209 0.010 2.5 -6.890 COTTON2 -59.530 0.009 2.5 -1.275 CRUDE_W 10.037 0.043 2.5 1.087 DAX 198.596 0.014 2.5 6.774 DOW 179.237 0.009 2.5 4.165 DX -144.646 0.010 2.5 -3.753 EUR 41.174 0.010 2.5 1.068 EURIBOR-ICE 265.245 0.014 2.5 9.047 EUROSTX -11.451 0.014 2.5 -0.391 FEEDCOW -30.307 0.013 2.5 -1.004 GASOIL -33.805 0.017 2.5 -1.465 GASOLINE 8.608 0.017 2.5 0.373 GAS_US_mini -159.493 0.043 2.5 -17.271 GBP 95.554 0.010 2.5 2.479 GOLD_micro 174.959 0.014 2.5 5.968 HEATOIL -39.882 0.017 2.5 -1.729 JGB-SGX-mini 91.164 0.043 2.5 9.872 JPY 11.840 0.010 2.5 0.307 LEANHOG 113.263 0.024 2.5 6.883 LIVECOW 42.844 0.013 2.5 1.420 LUMBER-new -127.679 0.009 2.5 -2.734 MILK 79.574 0.009 2.5 1.704 MXP -42.369 0.059 2.5 -6.219 NASDAQ_micro -42.119 0.009 2.5 -0.979 NIKKEI -5.074 0.043 2.5 -0.549 NZD 49.146 0.010 2.5 1.275 OAT 19.252 0.014 2.5 0.657 OATIES 25.725 0.010 2.5 0.626 OJ 37.307 0.009 2.5 0.799 PALLAD 7.331 0.014 2.5 0.250 PLAT -4.374 0.014 2.5 -0.149 REDWHEAT -141.574 0.005 2.5 -1.878 RICE 21.064 0.010 2.5 0.512 ROBUSTA 80.970 0.005 2.5 0.946 RUSSELL 72.622 0.013 2.5 2.406 SHATZ -151.746 0.004 2.5 -1.539 SILVER-mini 13.591 0.014 2.5 0.464 SMI 18.231 0.014 2.5 0.622 SOFR 267.408 0.024 2.5 16.251 SOYBEAN -94.225 0.004 2.5 -0.876 SOYMEAL -138.648 0.004 2.5 -1.289 SOYOIL -70.171 0.004 2.5 -0.653 SP400 1.608 0.013 2.5 0.053 SP500_micro 9.628 0.009 2.5 0.224 SUGAR11 32.481 0.009 2.5 0.691 US10 67.038 0.005 2.5 0.849 US10U 58.022 0.005 2.5 0.735 US2 66.066 0.005 2.5 0.837 US20 37.721 0.005 2.5 0.478 US30 14.787 0.005 2.5 0.187 US5 108.065 0.005 2.5 1.369 VIX -30.953 0.099 2.5 -7.640 WHEAT -121.761 0.005 2.5 -1.615 ===================== Position diags ===================== AUD 2.84 BITCOIN 26.62 BOBL 1.73 BTP 2.88 BUND 0.89 BUXL 0.35 CAC 2.13 CAD 4.63 CANOLA 7.14 CHF 1.74 COCOA 0.59 COFFEE 0.32 COPPER 3.84 CORN 4.69 COTTON2 1.62 CRUDE_W 4.04 DAX 9.39 DOW 7.63 DX 3.22 EUR 2.07 EURIBOR-ICE 13.11 EUROSTX 2.99 FEEDCOW 1.53 GASOIL 1.65 GASOLINE 1.31 GAS_US_mini 24.66 GBP 2.97 GOLD_micro 8.29 HEATOIL 1.22 JGB-SGX-mini 24.98 JPY 1.87 LEANHOG 6.55 LIVECOW 2.91 LUMBER-new 4.11 MILK 1.58 MXP 26.25 NASDAQ_micro 2.38 NIKKEI 10.25 NZD 2.97 OAT 3.20 OATIES 3.61 OJ 0.72 PALLAD 0.54 PLAT 1.97 REDWHEAT 1.23 RICE 3.79 ROBUSTA 0.68 RUSSELL 11.50 SHATZ 4.81 SILVER-mini 1.21 SMI 1.52 SOFR 20.42 SOYBEAN 0.72 SOYMEAL 1.00 SOYOIL 0.96 SP400 0.54 SP500_micro 4.76 SUGAR11 2.27 US10 1.61 US10U 1.16 US2 2.70 US20 0.76 US30 0.50 US5 2.45 VIX 14.21 WHEAT 1.31 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.4 1.1 1.7 4.0 4 BITCOIN -27.1 -29.7 -24.4 0.0 0 BOBL -0.4 -0.6 -0.2 0.0 0 BTP 0.5 0.2 0.8 0.0 0 BUND -0.2 -0.2 -0.1 0.0 0 BUXL -0.2 -0.2 -0.1 0.0 0 CAC -0.7 -0.9 -0.5 0.0 0 CAD -0.8 -1.2 -0.3 0.0 0 CANOLA -7.5 -8.2 -6.8 0.0 0 CHF 0.1 -0.1 0.3 5.0 5 COCOA 0.4 0.4 0.5 0.0 0 COFFEE 0.3 0.2 0.3 0.0 0 COPPER -0.2 -0.6 0.2 0.0 0 CORN -6.9 -7.4 -6.4 -5.0 -5 COTTON2 -1.3 -1.4 -1.1 -3.0 -3 CRUDE_W 1.1 0.7 1.5 1.0 1 DAX 6.8 5.8 7.7 7.0 7 DOW 4.2 3.4 4.9 2.0 2 DX -3.8 -4.1 -3.4 0.0 0 EUR 1.1 0.9 1.3 1.0 1 EURIBOR-ICE 9.0 7.7 10.4 0.0 0 EUROSTX -0.4 -0.7 -0.1 -1.0 -1 FEEDCOW -1.0 -1.2 -0.9 -2.0 -2 GASOIL -1.5 -1.6 -1.3 -1.0 -1 GASOLINE 0.4 0.2 0.5 0.0 0 GAS_US_mini -17.3 -19.7 -14.8 -12.0 -12 GBP 2.5 2.2 2.8 1.0 1 GOLD_micro 6.0 5.1 6.8 2.0 2 HEATOIL -1.7 -1.9 -1.6 -2.0 -2 JGB-SGX-mini 9.9 7.4 12.4 4.0 4 JPY 0.3 0.1 0.5 1.0 1 LEANHOG 6.9 6.2 7.5 4.0 4 LIVECOW 1.4 1.1 1.7 3.0 3 LUMBER-new -2.7 -3.1 -2.3 -2.0 -2 MILK 1.7 1.5 1.9 NaN 0 MXP -6.2 -8.8 -3.6 -8.0 -8 NASDAQ_micro -1.0 -1.2 -0.7 0.0 0 NIKKEI -0.5 -1.6 0.5 -1.0 -1 NZD 1.3 1.0 1.6 0.0 0 OAT 0.7 0.3 1.0 0.0 0 OATIES 0.6 0.3 1.0 NaN 0 OJ 0.8 0.7 0.9 1.0 1 PALLAD 0.3 0.2 0.3 0.0 0 PLAT -0.1 -0.3 0.0 -1.0 -1 REDWHEAT -1.9 -2.0 -1.8 -1.0 -1 RICE 0.5 0.1 0.9 NaN 0 ROBUSTA 0.9 0.9 1.0 1.0 1 RUSSELL 2.4 1.3 3.6 -3.0 -3 SHATZ -1.5 -2.0 -1.1 NaN 0 SILVER-mini 0.5 0.3 0.6 0.0 0 SMI 0.6 0.5 0.8 0.0 0 SOFR 16.3 14.2 18.3 NaN 0 SOYBEAN -0.9 -0.9 -0.8 -4.0 -4 SOYMEAL -1.3 -1.4 -1.2 -1.0 -1 SOYOIL -0.7 -0.7 -0.6 0.0 0 SP400 0.1 -0.0 0.1 0.0 0 SP500_micro 0.2 -0.3 0.7 0.0 0 SUGAR11 0.7 0.5 0.9 1.0 1 US10 0.8 0.7 1.0 0.0 0 US10U 0.7 0.6 0.9 1.0 1 US2 0.8 0.6 1.1 NaN 0 US20 0.5 0.4 0.6 0.0 0 US30 0.2 0.1 0.2 5.0 5 US5 1.4 1.1 1.6 4.0 4 VIX -7.6 -9.1 -6.2 -4.0 -4 WHEAT -1.6 -1.7 -1.5 -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 0.3 0.1 0.0 0.1 0.1 0.1 0.0 0.1 0.2 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 0.1 0.0 0.0 -0.0 -0.0 -0.2 -0.2 -0.1 0.4 -0.2 0.6 -0.0 BITCOIN -0.0 -0.3 -0.6 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 -0.0 0.1 0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 0.2 -0.0 -2.7 -0.0 0.1 -0.0 0.0 0.2 -0.0 -0.1 -0.3 -0.6 -0.6 0.1 -0.2 -0.1 -0.2 0.0 BOBL 0.0 0.4 0.5 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.1 0.0 -0.1 0.1 0.1 0.2 -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 -1.0 -0.0 -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 0.4 0.2 -2.7 0.1 0.0 0.2 0.1 0.2 0.1 0.5 0.2 0.1 -0.5 -0.6 -0.7 -0.5 -0.0 0.2 BUND 0.0 0.3 0.4 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.1 0.1 0.0 0.1 0.1 -0.3 -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 0.2 0.3 0.1 -0.0 0.1 0.0 0.1 0.0 -0.1 0.1 0.1 0.0 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.0 -0.0 0.0 -0.4 0.0 -0.1 0.1 -0.0 0.1 0.0 0.0 -0.3 -0.4 -0.5 -0.5 -0.7 -0.7 -0.2 -0.2 CAC 0.1 0.0 -0.6 0.0 0.1 0.1 0.1 0.3 0.0 0.1 -0.3 -0.0 0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 -0.0 -1.2 -0.0 0.1 -0.1 0.0 0.0 -0.0 0.3 -0.0 -0.2 -0.1 -0.6 0.4 0.2 0.0 0.1 CAD -0.1 0.5 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.0 -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 -0.0 -0.1 -0.2 -0.2 -0.3 -0.3 -0.1 -0.1 0.0 -0.2 -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 0.1 0.1 0.0 0.1 -0.0 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 -0.4 -0.2 0.6 0.6 -0.1 -0.4 -0.4 -0.4 COCOA -0.2 0.1 0.1 -0.0 0.0 -0.1 0.0 -0.1 -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 0.3 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 0.1 0.1 0.2 -0.0 0.0 -0.1 0.0 -0.2 -0.0 0.1 0.5 0.2 0.6 0.2 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 -0.4 0.0 0.1 -0.0 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 -0.0 -0.0 0.1 0.1 0.1 -2.3 0.0 0.1 -0.0 0.1 0.1 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 0.0 -0.4 0.1 -0.6 0.1 -0.1 -0.4 -0.3 -0.4 -0.4 -0.1 -0.2 0.0 -0.5 0.0 -1.5 -0.1 -0.0 -0.2 0.0 -0.3 -0.0 -1.1 -0.4 0.1 0.0 -0.5 -0.1 -0.2 0.0 -0.0 COTTON2 0.5 0.6 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.4 0.1 -0.4 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 0.2 0.3 0.3 0.1 -0.4 -0.4 -0.1 -0.2 CRUDE_W -0.4 -0.4 -0.4 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.2 -0.1 0.2 -0.1 -0.1 0.2 0.3 0.3 0.3 -0.2 -0.1 -0.0 -0.0 -0.1 -0.2 -0.1 0.1 -0.1 0.0 -0.1 -0.0 0.6 0.2 0.5 0.3 0.0 0.1 0.5 0.1 0.6 DAX 0.2 0.1 -0.4 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.2 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 1.4 0.0 0.1 0.1 0.1 0.2 0.0 -0.4 0.0 0.2 0.2 -0.6 0.4 0.2 0.1 0.1 DOW 0.1 0.3 0.0 0.0 0.1 0.1 0.0 0.2 0.0 0.1 0.3 0.1 0.5 0.1 0.1 -0.2 -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 0.3 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 -0.3 -0.1 0.2 -0.2 -0.2 0.1 0.1 0.1 0.1 -0.2 -0.2 -0.1 -0.1 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.8 -0.5 -0.6 -0.6 -0.6 -0.1 0.2 -0.1 0.3 EUR -0.2 0.4 0.4 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.3 0.0 -0.1 0.1 0.2 -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 0.1 0.1 0.1 -0.4 -0.2 -0.5 0.2 0.3 0.0 -0.6 -0.2 -0.7 EURIBOR-ICE 0.1 0.6 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.2 0.0 0.1 0.1 0.1 0.1 -0.1 0.0 -0.0 0.1 0.1 0.0 0.2 0.1 1.7 0.0 -0.0 0.1 0.0 0.1 0.0 0.0 0.1 0.2 0.1 0.1 -0.7 -0.7 0.0 0.1 EUROSTX 0.0 -0.0 -0.5 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.1 0.0 0.4 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 0.2 0.0 -0.3 -0.0 0.1 -0.0 0.0 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 0.1 -0.4 -0.1 -0.9 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.9 0.2 0.1 -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 0.1 -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 -0.1 -0.3 -0.3 -0.1 -0.1 -0.4 -0.2 -0.7 GASOLINE -0.3 -0.5 -0.4 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.2 -0.0 0.1 -0.1 -0.1 0.3 0.4 0.4 0.4 -0.2 -0.1 0.0 -0.0 -0.1 -2.7 -0.1 0.1 -0.1 0.0 -0.0 -0.0 1.1 0.4 0.6 0.3 0.2 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 0.1 0.3 0.6 0.3 -0.2 -0.6 -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 0.2 0.3 0.2 -0.2 0.1 0.1 0.2 0.1 0.2 0.1 0.1 -0.1 0.1 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 0.0 0.2 0.1 0.2 0.1 -0.7 -0.2 0.0 0.6 0.6 0.5 -0.1 0.5 0.1 HEATOIL -0.4 -0.5 -0.5 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.4 -0.1 -0.1 -0.1 -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 -0.0 -0.4 -0.1 0.2 -0.1 -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 0.1 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 0.0 -0.1 0.1 2.7 0.0 -0.0 0.0 0.0 -0.0 0.0 -1.1 -0.1 0.0 0.6 0.3 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.5 0.5 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 0.2 -0.3 0.2 0.1 0.4 0.4 0.4 0.4 0.1 -0.1 0.1 -0.3 0.2 0.6 0.0 0.1 -0.1 0.1 -0.1 0.1 1.1 0.0 0.6 0.6 0.2 0.0 -0.2 0.2 0.1 LIVECOW 0.2 -0.5 0.0 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.2 0.1 0.2 0.2 -0.1 -0.1 0.0 0.2 0.2 0.2 -0.0 0.0 0.1 0.1 0.0 -1.9 -0.0 0.1 -0.0 0.1 0.1 -0.0 1.0 0.2 0.3 -0.4 0.6 -0.0 0.7 0.2 0.7 LUMBER-new -0.1 0.3 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.3 -0.1 -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 -0.4 -0.2 0.4 0.2 0.1 -0.1 0.3 0.0 MILK 0.3 0.5 0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 0.3 0.1 0.3 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 -0.9 0.1 0.6 0.6 0.6 -0.0 -0.7 0.2 -0.7 MXP 0.1 -0.2 -0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.2 0.1 -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 -0.3 -0.6 -0.6 0.5 0.4 0.6 0.6 NASDAQ_micro -0.0 -0.2 -0.6 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.3 0.1 -0.0 -0.1 -0.2 -0.2 -0.2 0.0 0.0 0.1 0.2 0.0 -2.3 0.0 0.1 0.1 0.0 0.2 0.0 -0.3 0.2 0.1 0.1 0.1 0.1 0.1 -0.3 0.0 NIKKEI -0.1 -0.2 -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 -0.0 -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 0.1 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 0.1 0.1 0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.2 -0.2 -0.1 0.2 -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 -0.1 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 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -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 0.0 0.5 0.0 0.7 0.3 OJ 0.2 0.1 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.4 0.1 0.5 0.1 0.1 0.3 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 0.0 0.9 -0.3 0.4 0.6 0.6 0.4 0.5 0.7 0.7 PALLAD 0.6 0.5 0.6 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 -0.2 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 -0.1 0.1 2.0 0.0 0.0 0.0 0.0 -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 -0.0 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 -0.1 -0.1 -0.2 0.0 -0.1 -0.2 -0.2 0.0 REDWHEAT 0.6 0.2 -0.5 -0.1 0.0 -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 0.0 -0.7 -0.0 -0.1 -0.2 -0.0 -0.3 -0.0 -0.8 -0.5 0.3 0.2 -0.6 -0.7 -0.7 -0.7 -0.7 RICE 0.2 -0.1 -0.4 -0.0 0.0 -0.1 0.0 -0.2 -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 0.1 0.1 0.1 0.0 1.1 -0.0 0.3 0.6 0.6 -0.7 -0.7 -0.7 -0.7 ROBUSTA 0.4 0.4 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 0.0 0.3 0.1 1.1 0.5 0.6 0.6 0.6 0.2 -0.1 0.5 0.1 RUSSELL -0.0 -0.0 0.1 0.0 0.1 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 0.1 0.1 0.1 0.1 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 -0.0 0.3 0.4 0.2 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 0.0 0.1 -0.0 0.1 0.2 -0.1 0.1 0.3 SMI -0.4 -0.2 -0.1 0.0 0.1 0.1 0.0 0.2 0.0 0.1 0.3 -0.1 0.5 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.3 -0.1 1.4 0.0 0.0 0.2 -0.0 0.3 -0.0 0.5 -0.4 -0.6 0.4 0.3 -0.0 0.0 -0.4 -0.1 SOFR 0.1 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 0.0 0.3 0.2 -0.9 0.1 -0.0 0.2 -0.0 0.1 0.0 0.2 -0.3 -0.1 0.0 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 -0.1 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 -0.3 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 -0.1 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 -0.4 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 -0.0 -0.1 0.0 0.0 0.0 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 0.0 -0.2 0.0 0.1 0.1 0.0 0.2 0.0 0.1 0.2 0.1 0.4 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 0.2 0.1 -1.4 0.0 0.1 0.1 0.1 0.2 0.1 0.0 0.3 0.4 0.4 0.1 0.2 -0.2 -0.2 -0.7 SP500_micro 0.0 0.0 -0.5 0.0 0.1 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 0.4 0.1 -2.3 0.0 0.1 0.1 0.1 0.3 0.1 -0.5 0.3 0.4 0.3 0.3 0.2 0.1 -0.3 -0.0 SUGAR11 0.6 0.4 0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 0.1 -0.4 0.1 0.0 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.2 -0.2 0.2 -2.7 0.0 0.1 -0.0 0.1 -0.1 0.1 0.2 0.5 0.6 0.6 0.6 -0.4 0.4 -0.3 0.5 US10 0.1 0.6 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.3 0.1 0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.0 0.1 0.1 0.3 0.0 -0.0 0.1 0.0 0.1 0.0 -0.4 -0.1 -0.1 0.0 0.1 0.1 -0.7 0.7 0.2 US10U 0.1 0.6 0.6 0.1 -0.0 0.1 0.0 0.1 0.0 -0.1 0.4 0.1 0.1 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.0 0.1 0.2 -0.1 0.1 -0.0 0.2 0.0 0.1 0.0 -0.1 -0.2 -0.2 -0.1 0.0 0.2 -0.6 0.7 0.6 US2 0.3 0.6 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.2 0.1 -0.0 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 0.1 0.2 0.3 0.2 0.0 -0.7 0.2 -0.4 US20 0.1 0.6 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.3 0.1 0.2 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.2 0.1 0.0 0.1 0.1 -0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 0.1 -0.2 -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 -0.1 0.3 0.1 0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.0 0.1 0.1 -0.3 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.3 -0.2 -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 -0.1 0.3 0.1 0.1 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.0 0.1 0.1 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 0.1 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 -0.2 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 -0.1 -0.3 0.1 -0.5 0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.0 -0.1 0.0 -0.4 0.1 0.5 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -1.1 -0.3 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 -0.8 8.0 4.4 4.4 7.3 2.3 6.2 1.2 5.5 16.7 8.6 9.0 0.2 11.6 10.2 -0.3 -2.3 -1.2 -1.8 6.3 4.6 11.4 1.6 7.5 2.4 3.2 9.2 2.2 5.6 1.1 3.9 -0.0 -2.0 -7.4 -5.3 -1.8 11.1 -5.5 16.6 -0.5 BITCOIN -1.4 -8.4 -20.0 0.9 8.3 -2.0 8.4 -1.8 5.5 15.5 -1.7 5.7 6.6 -3.6 -8.2 -5.1 -6.7 -5.6 -6.2 -6.0 -3.2 9.8 5.8 -0.6 -20.0 -3.6 10.1 -1.0 4.5 5.7 -0.8 -1.9 -12.4 -20.0 -20.0 1.8 -4.5 -3.7 -4.6 1.0 BOBL 1.4 12.8 16.3 3.5 -1.2 2.9 1.1 1.2 2.7 -7.8 3.2 3.5 -2.5 7.1 9.6 7.9 -13.0 -9.8 -13.1 9.8 6.8 2.2 0.3 7.6 4.6 3.6 -1.6 2.8 0.8 0.9 2.8 -18.8 -0.7 -0.8 -3.9 -4.1 -20.0 -20.0 -5.8 -6.4 BTP 5.1 8.8 8.8 6.2 -2.1 5.1 1.9 2.2 4.8 2.2 17.1 14.5 17.3 17.8 19.9 5.8 4.1 3.7 3.3 17.8 15.2 13.1 13.0 17.8 -20.0 7.1 0.8 6.0 5.4 5.2 7.3 10.3 9.9 3.6 -14.1 -17.7 -20.0 -14.4 -1.3 6.7 BUND 0.2 9.9 13.1 4.1 -1.4 3.4 1.3 1.4 3.1 -9.5 5.2 5.0 0.7 8.5 11.2 -16.4 -1.3 -6.5 -3.5 9.7 7.5 1.7 1.6 7.1 1.3 4.1 -2.8 3.5 0.6 1.8 3.0 0.1 -3.1 -5.2 -8.7 -8.6 -20.0 -19.0 -4.7 -4.9 BUXL -1.5 7.5 8.5 4.7 -1.6 3.9 1.5 1.7 3.6 -11.5 4.7 4.7 0.8 8.6 11.3 -0.4 -2.0 -1.0 -1.9 7.0 5.2 -1.8 -0.5 4.4 -2.9 3.8 -7.4 3.6 -1.3 1.8 2.2 0.5 -10.7 -12.5 -15.0 -16.3 -20.0 -20.0 -6.7 -6.0 CAC 4.1 1.5 -19.4 2.2 11.9 4.8 5.8 7.7 2.3 14.5 -9.5 -0.5 1.2 5.7 -9.1 -6.3 -2.6 -5.6 -3.9 -8.1 -10.3 6.4 -2.3 -1.5 -9.0 -3.9 11.3 -4.2 3.2 0.3 -0.9 5.2 -2.0 -7.0 -3.2 -20.0 13.1 5.9 0.9 1.9 CAD -2.5 14.7 5.8 6.0 9.9 3.1 8.4 1.6 7.5 4.1 -1.6 -16.2 -13.9 8.8 10.0 -4.3 -3.6 -4.5 -4.1 7.5 2.1 -3.6 -5.1 3.2 -1.5 4.0 0.6 1.5 -1.5 -1.6 2.0 -3.1 -20.0 -13.1 -0.7 -4.2 12.6 -6.9 6.4 -2.6 CANOLA 5.3 -9.0 -0.7 -1.6 1.7 -2.0 1.2 -1.5 -0.3 5.2 -5.1 -1.4 -6.4 -4.3 -5.2 -12.5 -10.8 -12.5 -12.7 -4.9 -5.3 0.1 -5.6 -3.1 -13.1 -1.1 2.0 -2.3 0.9 -3.5 0.1 -20.0 -7.6 6.1 -0.8 -2.8 -3.2 -11.1 5.3 -6.1 CHF -4.5 19.1 20.0 3.8 6.2 2.0 5.2 1.0 4.7 -0.9 6.8 -1.9 -1.8 10.9 12.8 -13.9 -16.2 -15.0 -15.6 16.2 12.3 2.5 3.6 9.6 4.1 4.9 0.1 4.0 0.6 1.6 2.7 -20.0 -17.5 -6.3 19.6 20.0 -2.7 -10.9 -10.7 -12.0 COCOA -5.7 4.4 4.0 -1.6 1.7 -1.9 1.1 -1.5 -0.3 5.5 1.9 -1.0 3.2 0.8 -1.5 20.0 20.0 20.0 20.0 1.4 4.6 0.9 10.1 0.7 -20.0 2.0 1.1 4.8 1.2 10.3 1.5 20.0 -0.2 1.8 8.8 10.3 20.0 10.2 20.0 14.9 COFFEE 1.8 3.2 5.5 -4.5 4.7 -5.3 3.2 -4.2 -0.9 15.9 17.4 16.3 17.2 15.3 16.2 4.0 6.0 4.2 5.1 18.1 20.0 20.0 20.0 19.6 -20.0 6.4 7.9 7.1 8.9 8.4 7.5 7.8 20.0 20.0 20.0 20.0 -2.7 -9.2 6.1 -2.8 COPPER 7.0 -4.8 -13.6 0.7 7.0 -1.6 7.0 -1.5 4.6 12.8 -4.8 10.2 -1.3 7.2 -7.7 -3.9 -3.0 -3.1 -2.7 -3.9 -3.8 13.6 2.3 4.9 -17.1 0.5 7.3 -0.4 6.4 1.4 4.1 4.6 -4.4 1.0 -4.0 -5.3 20.0 8.0 20.0 20.0 CORN 19.2 0.7 -20.0 -4.2 4.4 -5.0 2.9 -3.9 -0.8 1.7 -14.7 11.6 -17.8 4.9 -12.5 -19.0 -16.1 -20.0 -19.7 -9.9 -20.0 5.4 -20.0 3.2 -11.5 -4.8 -0.3 -8.3 1.0 -9.4 -0.4 -20.0 -18.2 3.6 1.2 -15.7 -1.6 -5.5 1.5 -0.3 COTTON2 14.2 19.3 -5.2 -3.2 3.3 -3.8 2.2 -3.0 -0.6 10.5 -13.0 9.5 -12.4 6.7 -6.1 -10.4 -3.6 -9.8 -6.9 -1.6 -9.6 11.3 -11.9 6.2 -20.0 -0.4 8.6 -3.5 6.9 -3.1 3.7 -10.7 8.3 9.1 9.7 4.4 -12.1 -12.0 -2.1 -5.3 CRUDE_W -12.1 -13.8 -13.2 -5.1 2.3 -3.7 -1.3 -1.3 -4.3 14.2 -8.6 -4.7 4.8 -9.0 -12.1 11.9 12.6 12.6 12.8 -15.4 -9.8 -0.1 -1.8 -12.7 -1.6 -5.1 6.4 -4.8 2.2 -1.6 -2.4 11.2 9.8 16.1 7.9 0.8 3.3 13.9 4.0 19.3 DAX 5.1 4.6 -11.2 1.9 10.5 4.2 5.1 6.7 2.0 16.2 7.7 8.1 13.7 12.6 9.3 -8.2 -10.3 -8.6 -9.4 5.6 5.2 14.3 10.2 9.2 10.4 1.7 11.4 2.6 6.4 6.3 3.4 -6.7 0.3 7.5 6.6 -17.7 13.4 5.1 3.1 1.8 DOW 3.8 8.3 0.3 1.6 8.6 3.5 4.2 5.6 1.7 13.5 10.4 12.9 13.3 13.1 11.7 -8.8 -10.7 -9.5 -10.2 12.0 11.1 16.6 12.2 13.4 -11.1 5.1 6.9 4.7 6.2 5.2 5.7 -7.7 11.9 20.0 20.0 9.8 9.7 1.5 -4.1 -4.8 DX 0.6 -20.0 -17.8 4.3 7.1 2.2 6.0 1.1 5.4 -15.5 -9.4 -9.0 4.3 -13.9 -15.2 5.0 6.7 6.0 6.5 -19.6 -14.2 -12.1 -4.1 -15.8 -20.0 -5.9 -3.6 -4.3 -3.5 -1.3 -4.6 15.0 -20.0 -20.0 -20.0 -20.0 -2.0 6.1 -3.3 8.8 EUR -6.2 12.8 10.9 5.3 8.6 2.7 7.3 1.4 6.6 18.0 10.0 2.7 -2.9 11.4 14.0 -5.7 -7.1 -6.6 -6.9 13.5 10.6 10.6 3.9 10.4 20.0 6.3 7.1 5.3 4.7 2.8 4.8 -8.4 -7.2 -16.3 6.8 8.7 0.7 -19.2 -4.7 -20.0 EURIBOR-ICE 4.2 18.0 20.0 3.0 -1.0 2.5 0.9 1.1 2.3 -5.7 5.6 3.7 4.2 7.5 9.3 3.3 -2.8 0.7 -1.2 13.4 10.6 4.4 5.6 10.8 12.7 3.4 -0.7 2.7 1.3 1.5 2.9 0.5 2.3 5.6 2.1 1.5 -19.7 -20.0 0.4 2.5 EUROSTX 1.0 -1.1 -16.7 1.8 9.9 4.0 4.8 6.4 1.9 13.9 2.0 1.7 10.7 5.6 -0.8 -4.3 -3.1 -4.6 -4.2 -2.8 -1.2 7.4 6.6 0.7 -2.3 -1.9 9.9 -0.0 3.5 5.0 -0.2 4.2 -2.8 -6.2 -2.3 -20.0 6.8 1.3 -15.2 -4.3 FEEDCOW 10.7 -20.0 -20.0 -4.1 4.3 -4.8 2.8 -3.8 -0.8 15.6 -12.7 12.8 -11.1 -9.9 -13.1 20.0 -14.6 10.3 -1.4 -20.0 -20.0 10.9 -14.3 -7.3 -6.9 -5.2 4.7 -5.2 2.1 -2.9 -2.0 -17.1 10.3 4.5 -20.0 -19.9 5.1 20.0 14.0 20.0 GASOIL -12.3 -17.0 -16.3 -4.6 2.1 -3.3 -1.2 -1.2 -3.9 10.4 -12.4 -7.9 2.7 -12.4 -14.4 3.0 8.7 2.1 3.7 -19.2 -13.6 -7.5 -4.4 -17.8 3.4 -5.5 1.6 -4.0 -2.1 -1.5 -5.0 0.1 -6.1 -8.7 -9.9 -2.9 -3.9 -11.2 -6.5 -20.0 GASOLINE -9.5 -14.9 -13.2 -5.2 2.3 -3.8 -1.3 -1.4 -4.4 15.6 -9.0 -2.1 3.2 -9.9 -12.9 17.3 20.0 20.0 20.0 -15.8 -10.5 3.1 -1.1 -11.5 -20.0 -4.8 9.8 -4.4 4.5 -0.7 -1.5 20.0 16.3 20.0 10.6 5.5 11.1 17.5 17.3 20.0 GAS_US_mini 4.5 1.5 -10.3 -5.7 2.6 -4.1 -1.4 -1.5 -4.9 3.4 -17.8 -0.3 -19.2 -6.7 -17.7 -20.0 -20.0 -20.0 -20.0 -11.0 -16.5 0.5 -20.0 -3.8 20.0 -5.3 -0.3 -6.7 -0.4 -9.2 -2.8 -20.0 4.5 8.3 19.4 8.2 -6.7 -16.6 -6.2 -19.6 GBP 0.2 9.9 9.2 5.6 9.1 2.9 7.8 1.5 7.0 19.6 18.2 12.6 14.1 16.9 17.3 0.5 -0.6 -0.1 -0.4 19.6 17.2 17.1 12.6 17.5 -1.7 7.5 8.6 6.8 6.4 5.3 6.6 2.7 -3.3 3.1 3.3 18.5 7.6 -20.0 9.3 -19.3 GOLD_micro 4.9 10.8 10.4 0.9 8.5 -2.0 8.6 -1.8 5.6 13.6 17.4 14.1 16.6 16.3 16.4 -12.6 -13.2 -12.3 -12.4 20.0 20.0 18.5 20.0 19.5 -9.2 6.0 5.4 5.7 6.4 6.5 6.7 -12.7 -7.0 1.4 18.1 20.0 13.6 -2.5 13.6 2.9 HEATOIL -12.7 -16.5 -14.1 -4.9 2.2 -3.6 -1.2 -1.3 -4.2 10.3 -14.2 -10.2 -2.5 -13.9 -15.3 -6.1 4.9 -5.6 -2.4 -20.0 -15.8 -7.5 -7.3 -18.7 -20.0 -6.0 2.5 -5.5 -1.1 -2.7 -4.4 -8.3 -4.2 6.1 -2.1 -3.0 -6.9 4.8 -14.6 3.2 JGB-SGX-mini 2.8 15.8 10.4 2.4 -0.8 2.0 0.7 0.8 1.8 3.1 2.8 5.4 1.5 5.2 4.9 10.6 16.5 13.5 14.9 6.0 3.8 4.4 1.3 5.5 -8.0 2.2 0.6 1.2 1.4 -0.0 1.9 20.0 0.8 -1.9 1.2 -4.9 -8.8 -5.4 -9.0 4.6 JPY 2.6 20.0 20.0 2.3 3.7 1.2 3.1 0.6 2.8 -5.2 4.5 4.9 -4.1 8.1 8.6 -10.8 -14.9 -12.3 -13.5 11.7 6.5 3.7 -2.6 9.6 20.0 2.9 -0.7 1.6 0.8 -0.7 2.2 -20.0 -3.7 1.4 18.6 10.7 -20.0 -20.0 -20.0 -20.0 LEANHOG 14.2 16.6 -6.8 -4.4 4.6 -5.2 3.1 -4.1 -0.9 16.3 -6.6 15.8 -7.6 15.8 5.9 20.0 20.0 20.0 20.0 7.6 -5.6 16.4 -12.6 15.5 4.6 2.2 8.7 -2.1 6.7 -4.0 5.4 20.0 1.4 18.3 20.0 5.1 0.3 -4.8 5.0 4.1 LIVECOW 6.1 -15.4 1.4 -4.8 5.0 -5.7 3.4 -4.5 -0.9 18.6 4.1 18.0 6.6 -6.1 -6.1 2.2 10.4 10.1 12.3 -2.8 0.9 15.6 5.3 3.4 -14.4 -2.8 9.0 -0.3 5.3 3.2 -0.4 18.2 8.4 10.4 -13.4 20.0 -1.2 20.0 6.9 20.0 LUMBER-new -3.3 9.3 -4.8 -2.7 2.9 -3.2 1.9 -2.4 -0.5 -0.8 -8.0 -4.4 -8.8 -5.1 -2.4 -19.4 -17.9 -18.6 -18.1 -3.4 -6.6 -1.5 -8.5 -2.5 NaN -1.2 -0.5 -4.0 -0.4 -5.7 -0.7 -20.0 -14.9 -6.3 10.3 6.6 2.4 -1.5 7.0 1.3 MILK 9.8 14.6 20.0 -3.1 3.2 -3.6 2.1 -2.9 -0.6 4.0 12.6 8.2 7.1 11.2 12.0 20.0 -13.2 14.0 -0.9 18.8 16.4 9.1 8.1 16.3 14.1 4.8 0.7 4.2 2.2 1.9 4.0 -16.5 3.0 19.8 20.0 20.0 -0.6 -20.0 6.2 -20.0 MXP 4.5 -6.5 -19.7 2.4 3.9 1.2 3.3 0.6 2.9 6.0 -7.7 5.0 -4.1 -2.9 -7.6 9.6 13.8 10.4 11.7 -8.2 -9.5 6.4 -4.3 -0.9 -20.0 -2.7 1.9 -3.2 2.0 -1.4 -0.2 20.0 7.3 -8.9 -20.0 -20.0 13.8 12.5 18.3 19.2 NASDAQ_micro -1.3 -4.9 -20.0 1.1 6.0 2.4 2.9 3.9 1.1 9.1 2.0 6.1 7.1 4.9 -0.2 -6.4 -9.8 -7.8 -8.9 0.5 2.9 8.3 7.5 2.9 -17.4 1.6 5.6 2.6 4.2 5.1 2.6 -5.9 8.3 4.1 2.3 3.8 1.8 4.0 -9.0 0.4 NIKKEI -3.7 -5.8 -20.0 0.7 4.0 1.6 1.9 2.6 0.8 4.5 0.9 -1.7 3.0 2.1 0.1 2.8 9.0 6.2 7.6 -2.6 -1.1 0.2 2.0 -2.1 -6.2 -1.8 1.5 -1.0 0.3 0.8 -1.1 20.0 -2.0 -4.4 -17.3 -12.1 10.4 1.2 9.2 0.1 NZD 2.6 16.0 2.9 3.7 6.0 1.9 5.1 1.0 4.6 11.3 6.3 4.5 0.6 11.1 10.1 0.0 0.1 -0.0 -0.0 8.0 4.7 7.2 1.2 8.0 0.1 3.2 4.9 1.8 3.0 0.6 3.3 3.6 -8.5 -1.8 5.8 -1.0 4.8 -5.6 2.6 -0.3 OAT 3.9 14.1 8.3 4.4 -1.5 3.6 1.4 1.5 3.4 -11.0 1.6 5.2 -1.1 10.0 12.4 5.8 3.9 3.3 2.9 9.6 5.1 1.8 -0.8 8.6 3.5 4.2 -3.9 2.7 0.7 0.9 3.7 9.8 -4.4 -3.7 -9.9 -17.3 -12.4 -15.7 1.7 1.5 OATIES 20.0 20.0 -6.8 -3.6 3.8 -4.3 2.5 -3.3 -0.7 -2.9 -7.7 10.0 -13.1 11.3 -2.5 2.3 2.5 4.2 4.0 11.1 -2.5 10.2 -9.8 18.8 -20.0 2.6 -0.5 -0.5 2.0 -1.9 4.4 3.6 -8.4 20.0 20.0 1.5 14.4 0.5 20.0 10.0 OJ 7.1 2.4 0.6 -3.8 4.0 -4.5 2.7 -3.5 -0.7 -6.6 14.1 6.5 14.9 10.6 11.9 14.8 12.3 12.2 11.1 17.0 18.1 6.7 20.0 14.2 -20.0 5.4 -1.2 6.1 1.8 8.7 4.4 17.6 -14.4 12.7 20.0 20.0 12.2 13.5 20.0 20.0 PALLAD 17.1 15.4 18.1 0.5 4.6 -1.1 4.6 -1.0 3.0 5.7 -1.0 7.0 -6.9 7.4 4.1 -1.6 -2.0 -1.7 -1.8 5.4 0.3 12.7 -4.8 10.6 15.1 2.2 2.9 0.1 4.5 -1.4 4.1 6.1 6.8 9.2 5.9 10.2 -20.0 -20.0 -20.0 -20.0 PLAT 7.1 -1.7 -5.8 0.7 6.4 -1.5 6.4 -1.4 4.2 7.5 -5.7 8.6 -4.6 5.6 -5.4 -4.4 -4.5 -4.7 -4.7 -0.3 -1.8 9.6 -1.2 5.6 5.2 0.3 3.4 -1.5 5.1 -0.9 3.8 1.5 -2.5 -4.0 -5.1 0.4 -2.8 -7.2 -7.1 1.1 REDWHEAT 20.0 4.8 -16.3 -4.7 4.9 -5.6 3.3 -4.4 -0.9 -16.2 -16.1 6.5 -18.5 8.1 -14.9 -9.4 -6.2 -9.9 -8.7 -6.5 -15.0 -2.0 -19.8 2.6 -5.4 -3.5 -7.8 -6.1 -2.0 -7.0 -0.2 -14.7 -20.0 9.5 5.7 -18.2 -20.0 -20.0 -20.0 -20.0 RICE 7.2 -2.7 -11.2 -4.5 4.7 -5.4 3.2 -4.2 -0.9 17.6 10.5 18.3 13.3 10.2 0.2 -10.5 20.0 9.2 20.0 2.5 2.6 14.9 8.3 8.6 -12.3 1.4 11.1 1.9 7.8 3.5 3.6 20.0 -0.4 9.1 17.7 20.0 -20.0 -20.0 -20.0 -20.0 ROBUSTA 13.1 11.9 7.2 -3.1 3.2 -3.6 2.1 -2.9 -0.6 9.7 13.5 12.1 13.2 13.0 13.4 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 5.1 2.7 5.8 4.3 7.2 4.8 20.0 19.0 20.0 20.0 20.0 7.2 -4.2 16.1 2.8 RUSSELL -0.9 -1.2 1.8 1.3 6.9 2.8 3.4 4.4 1.3 11.1 3.7 7.8 8.1 3.2 1.9 -4.7 -6.3 -5.4 -5.9 3.9 4.7 13.1 5.2 5.9 -0.8 3.5 7.2 3.7 5.6 3.5 4.0 -0.2 10.7 13.6 7.6 8.2 1.9 -14.6 -8.4 -20.0 SHATZ 1.8 17.1 20.0 2.7 -0.9 2.2 0.8 0.9 2.1 -4.7 2.5 2.3 -2.4 5.8 7.5 -20.0 -20.0 -20.0 -20.0 9.7 6.4 2.8 -1.0 7.6 6.8 2.9 -0.6 2.1 0.9 0.2 2.3 -20.0 1.7 3.5 1.7 2.6 -20.0 -18.5 -14.4 -10.3 SILVER-mini 7.1 -1.7 -3.0 0.6 6.1 -1.4 6.1 -1.3 4.0 11.3 4.7 10.7 5.5 8.2 0.1 -7.1 -6.5 -6.4 -6.3 3.7 3.7 16.0 6.1 9.6 2.2 1.7 5.7 0.8 6.4 1.9 4.6 -1.5 1.0 2.6 -1.1 4.0 6.2 -3.0 3.3 9.5 SMI -13.3 -5.9 -4.1 1.6 9.0 3.6 4.4 5.8 1.7 8.9 10.5 -9.4 13.1 1.8 4.2 -1.1 0.0 -2.2 -1.6 -0.5 7.3 -5.4 11.9 -6.2 10.5 2.3 1.0 6.1 -2.0 7.6 -1.4 9.1 -17.9 -18.3 11.2 9.4 -0.1 0.9 -13.1 -3.6 SOFR 4.0 20.0 20.0 5.2 -1.7 4.3 1.6 1.8 4.0 -13.6 14.9 5.4 9.1 14.5 17.1 2.8 -0.4 1.2 0.1 20.0 20.0 1.3 11.5 16.5 -6.7 6.0 -4.5 6.0 -0.8 3.8 3.2 3.7 -11.1 -3.1 1.4 7.9 9.8 -12.7 20.0 8.7 SOYBEAN 20.0 -5.2 -20.0 -2.6 2.7 -3.0 1.8 -2.4 -0.5 3.8 -8.9 6.5 -9.2 -0.8 -7.6 -7.3 1.1 -7.6 -4.6 -8.5 -14.5 3.1 -14.1 0.1 -18.2 -3.1 0.6 -4.6 0.5 -4.1 -0.6 -5.1 -11.9 6.5 -6.0 -15.0 -0.1 -18.4 6.2 -12.2 SOYMEAL 18.0 2.6 -12.3 -3.0 3.1 -3.6 2.1 -2.8 -0.6 -2.1 -8.8 6.4 -10.9 5.4 -6.2 -7.4 3.2 -3.3 -0.5 -2.2 -9.2 2.9 -11.6 4.1 -20.0 -2.3 -1.4 -4.0 -0.1 -3.9 -0.1 0.2 -16.0 5.2 5.9 -4.1 -20.0 -20.0 -20.0 -20.0 SOYOIL 9.3 -5.0 0.2 -1.9 2.0 -2.2 1.3 -1.8 -0.4 5.0 -6.7 -1.7 -7.7 -3.6 -6.2 0.1 1.5 2.2 1.3 -5.2 -7.0 1.1 -7.8 -2.3 -16.9 -1.6 2.6 -2.8 1.1 -3.0 -0.0 -0.2 -7.4 7.1 -3.8 0.4 -3.1 -9.1 5.5 -3.2 SP400 -1.6 0.2 -6.2 1.5 8.0 3.2 3.9 5.1 1.5 12.8 5.6 7.9 10.5 5.7 2.8 -6.1 -5.9 -6.0 -6.0 3.4 4.4 15.4 7.2 6.5 -10.4 4.0 9.7 4.2 7.4 4.9 5.0 0.2 13.7 13.5 11.4 3.8 5.3 -6.6 -6.3 -20.0 SP500_micro 0.6 0.8 -16.8 1.4 7.9 3.2 3.9 5.1 1.5 12.5 9.8 11.5 12.6 11.1 8.0 -8.5 -11.8 -10.1 -11.2 7.0 9.7 14.2 14.2 8.9 -17.4 3.9 7.4 4.9 6.1 7.1 4.8 -9.5 13.0 12.8 10.6 10.5 6.4 3.0 -7.8 -1.4 SUGAR11 18.6 13.8 8.3 -3.3 3.4 -3.9 2.3 -3.1 -0.6 12.6 -7.8 11.6 -10.3 9.0 2.2 -0.0 5.4 -2.0 0.2 5.6 -2.7 20.0 -6.0 15.4 -20.0 2.1 15.4 -1.0 10.0 -2.2 5.5 2.9 20.0 20.0 19.7 20.0 -11.3 12.4 -8.2 15.9 US10 4.2 19.3 20.0 3.9 -1.3 3.2 1.2 1.4 3.0 -8.5 10.5 7.1 3.3 11.5 12.7 -6.7 -7.4 -7.0 -7.1 17.3 14.6 3.6 4.8 12.4 2.2 4.5 -2.4 4.4 0.2 2.4 2.6 -8.4 -4.1 -3.5 1.3 3.6 4.2 -20.0 20.0 6.3 US10U 4.2 18.1 20.0 5.2 -1.7 4.3 1.6 1.8 4.0 -11.9 13.7 9.2 2.9 15.2 16.8 -4.7 -3.2 -4.3 -4.0 20.0 17.1 4.2 4.8 15.3 -0.9 5.9 -3.8 5.8 0.0 3.1 3.4 -2.1 -6.9 -7.3 -1.8 0.8 4.8 -17.8 20.0 16.5 US2 9.5 20.0 20.0 2.7 -0.9 2.3 0.8 1.0 2.1 -2.6 5.6 6.2 -0.2 8.3 8.7 -20.0 -20.0 -20.0 -20.0 14.5 10.5 6.0 1.4 11.9 12.3 3.2 -0.1 2.6 0.9 1.0 2.3 -20.0 2.9 4.8 8.9 7.3 0.4 -20.0 5.1 -12.1 US20 2.6 17.0 20.0 3.9 -1.3 3.2 1.2 1.4 3.0 -9.4 10.3 6.0 4.3 11.1 12.3 -1.7 -0.9 -1.2 -1.0 14.7 12.4 1.9 4.3 10.5 -3.1 4.4 -3.8 4.7 -0.4 3.0 2.3 2.5 -6.8 -7.6 -3.0 -0.3 5.8 -10.0 20.0 20.0 US30 2.8 14.9 17.8 4.5 -1.5 3.7 1.4 1.6 3.5 -11.3 11.0 6.4 2.3 12.5 13.8 -6.9 -5.3 -5.7 -5.3 14.2 11.3 1.4 2.5 10.4 -2.1 4.9 -5.3 5.1 -0.8 3.0 2.6 -5.0 -9.6 -9.3 -7.0 -4.6 2.5 -9.0 20.0 20.0 US5 6.1 20.0 20.0 3.8 -1.3 3.2 1.2 1.3 2.9 -8.2 9.9 7.2 2.2 11.3 12.4 -10.2 -10.9 -11.1 -11.0 18.5 15.1 4.6 4.5 13.6 6.6 4.4 -1.7 4.1 0.5 2.1 2.8 -14.7 -2.4 0.3 4.5 6.2 5.2 -20.0 20.0 -0.5 VIX 2.1 2.1 20.0 1.1 -0.9 0.5 -0.8 -1.2 0.1 -6.8 -4.4 -1.3 -6.4 -4.6 -4.0 5.3 -20.0 -14.6 -20.0 1.1 -0.1 -1.1 -3.6 0.4 NaN 1.2 -1.0 0.5 -0.8 -1.5 0.1 NaN NaN NaN NaN NaN -12.0 -20.0 NaN NaN WHEAT 20.0 5.4 -18.0 -4.0 4.2 -4.7 2.8 -3.7 -0.8 -10.1 -12.7 8.7 -14.6 9.1 -11.4 -13.8 -15.1 -15.7 -15.7 -4.2 -12.5 4.5 -15.9 6.1 3.5 -2.6 -2.9 -4.8 0.9 -5.0 1.1 -20.0 -14.1 9.7 7.3 -16.5 -20.0 -20.0 -19.2 -18.5 End of report for caleb_strategy_v3