******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241007_203918 produced at 2024-10-07 21:38:03.658398 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 US2 False True 0.07 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -0.88 13.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -25.30 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 -1.43 24.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.05 0.0 0.10 -0.10 -0.04 -0.04 -6.16 12.0 -5 -5 caleb_strategy_v3 DX False False 0.04 0.00 -0.05 0.0 999.00 -999.00 0.00 0.00 -1.24 999999999.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.03 -0.04 0.0 999.00 -999.00 -0.03 -0.03 -6.18 999999999.0 -5 -5 caleb_strategy_v3 CHF False False 0.05 0.00 -0.04 0.0 0.68 -0.68 0.00 0.00 -0.74 13.0 0 0 caleb_strategy_v3 RICE False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -2.30 4.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 -0.04 -0.03 0.0 0.11 -0.11 -0.04 -0.04 -0.88 3.0 -1 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 -0.03 0.0 0.07 -0.07 -0.01 -0.01 -9.57 26.0 -3 -3 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.02 0.0 0.14 -0.14 -0.05 -0.05 -1.47 11.0 -4 -4 caleb_strategy_v3 MXP False False 0.01 -0.08 -0.02 0.0 0.55 -0.55 -0.08 -0.06 -2.15 60.0 -9 -7 caleb_strategy_v3 CAD False False 0.03 0.00 -0.02 0.0 0.76 -0.76 0.00 0.00 -0.63 29.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.06 -0.02 0.0 0.13 -0.13 -0.06 -0.06 -0.80 7.0 -3 -3 caleb_strategy_v3 JPY False False 0.03 -0.06 -0.02 0.0 0.52 -0.52 -0.06 -0.06 -0.78 17.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.17 -0.17 -0.01 -0.01 -5.56 51.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -0.85 9.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.01 -0.01 0.0 0.11 -0.11 -0.01 -0.01 -1.02 9.0 -1 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.01 0.0 0.33 -0.33 0.00 -0.01 -0.77 23.0 0 -1 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -1.21 8.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 -0.01 -0.01 0.0 0.02 -0.02 -0.01 -0.01 -1.44 3.0 -2 -2 caleb_strategy_v3 GASOIL False False 0.03 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.38 4.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.01 0.0 0.68 -0.68 0.00 0.00 -0.20 17.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.05 -0.01 0.0 0.69 -0.69 0.05 0.05 -0.13 14.0 1 1 caleb_strategy_v3 US5 False False 0.04 0.04 -0.01 0.0 0.97 -0.97 0.04 0.04 -0.38 25.0 1 1 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.52 -0.52 0.00 0.00 -0.13 10.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.41 12.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.10 -0.10 0.00 0.00 -0.22 10.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.05 -0.00 0.0 0.88 -0.88 0.05 0.05 -0.02 19.0 1 1 caleb_strategy_v3 US10U False False 0.04 0.00 -0.00 0.0 0.54 -0.54 0.00 0.00 -0.09 13.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.00 0.0 0.27 -0.27 0.00 0.00 1.01 68.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.01 9.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.05 -0.00 0.0 0.28 -0.28 0.05 0.05 -0.10 6.0 1 1 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.20 -0.20 0.00 0.00 0.02 6.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.21 -0.21 0.00 0.00 -0.09 4.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.00 0.0 0.18 -0.18 0.00 0.00 -0.09 10.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.04 2.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.22 0.01 0.0 0.22 -0.22 0.22 0.22 0.07 2.0 2 2 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.01 0.0 0.38 -0.38 0.02 0.02 0.36 23.0 1 1 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.01 0.0 0.39 -0.39 0.00 0.00 0.27 20.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 0.01 0.0 0.35 -0.35 0.00 0.00 0.28 8.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.01 0.0 0.56 -0.56 0.00 0.00 0.41 26.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.01 0.0 0.49 -0.49 0.00 0.00 0.67 48.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.03 0.01 0.0 0.15 -0.15 0.03 0.03 1.37 18.0 4 4 caleb_strategy_v3 NZD False False 0.02 0.04 0.01 0.0 0.46 -0.46 0.04 0.04 0.58 21.0 2 2 caleb_strategy_v3 OATIES False True 0.01 0.00 0.02 0.0 0.00 0.00 0.00 0.00 2.57 2.0 0 0 caleb_strategy_v3 OJ False False 0.03 0.03 0.02 0.0 0.08 -0.08 0.03 0.03 0.63 3.0 1 1 caleb_strategy_v3 MILK False False 0.01 0.01 0.02 0.0 0.07 -0.07 0.01 0.01 1.20 5.0 1 1 caleb_strategy_v3 SMI False True 0.05 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.41 9.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.65 999999999.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.01 0.03 0.0 0.33 -0.33 0.01 0.01 3.73 36.0 1 1 caleb_strategy_v3 DOW False False 0.01 0.00 0.03 0.0 0.50 -0.50 0.00 0.00 4.11 66.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.03 0.0 999.00 -999.00 0.00 0.00 0.97 999999999.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 0.03 0.0 0.64 -0.64 0.00 0.00 1.03 22.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.05 0.03 0.0 0.49 -0.49 0.05 0.05 0.53 10.0 1 1 caleb_strategy_v3 AUD False False 0.02 0.07 0.04 0.0 0.46 -0.46 0.07 0.05 1.86 19.0 3 2 caleb_strategy_v3 CRUDE_W False False 0.03 0.03 0.04 0.0 0.13 -0.13 0.03 0.03 1.60 5.0 1 1 caleb_strategy_v3 DAX False False 0.01 0.00 0.06 0.0 0.43 -0.43 0.00 0.00 7.98 58.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.05 0.06 0.0 0.47 -0.47 0.05 0.05 1.20 10.0 1 1 caleb_strategy_v3 SOFR False True 0.09 0.00 0.06 0.0 0.00 0.00 0.00 0.00 0.73 11.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.02 0.08 0.0 0.53 -0.53 0.02 0.02 8.38 56.0 2 2 caleb_strategy_v3 COPPER False False 0.04 0.12 0.08 0.0 999.00 -999.00 0.12 0.12 1.95 999999999.0 3 3 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.10 0.0 0.14 -0.14 0.07 0.07 9.34 13.0 6 6 caleb_strategy_v3 LIVECOW False False 0.03 0.11 0.10 0.0 0.45 -0.45 0.11 0.11 3.67 17.0 4 4 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.31 0.30 0.0 0.55 -0.55 0.31 0.31 8.58 16.0 9 9 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.00 0.61 0.0 0.95 -0.95 0.00 0.00 6.40 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.2 Shocked risk 17.4 Sum abs risk 28.2 Leverage 2.55 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2809171.47, 'annual_cash_vol_target': 702292.8675, 'daily_cash_vol_target': 43893.30421875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6750 0.6436 10.2980 BITCOIN 1573.3840 63065.0000 2.4949 39.9178 BOBL 0.2699 119.1000 0.2267 3.6265 BTP 0.5084 120.4700 0.4220 6.7522 BUND 0.5087 133.5600 0.3809 6.0945 BUXL 1.2479 134.3000 0.9292 14.8668 CAC 71.4696 7547.0000 0.9470 15.1519 CAD 0.0027 0.7348 0.3725 5.9603 CANOLA 8.8710 639.8000 1.3865 22.1844 CHF 0.0056 1.1799 0.4769 7.6303 COCOA 154.4447 6097.0000 2.5331 40.5300 COFFEE 5.0572 245.5500 2.0596 32.9529 COPPER 0.0615 4.5440 1.3528 21.6456 CORN 4.3264 455.5000 0.9498 15.1970 COTTON2 1.0148 73.5900 1.3790 22.0638 CRUDE_W 1.2621 71.8500 1.7566 28.1053 DAX 151.2311 19146.0000 0.7899 12.6381 DOW 260.0385 42146.0000 0.6170 9.8719 DX 0.3836 102.2800 0.3750 6.0000 EUR 0.0046 1.1003 0.4172 6.6758 EURIBOR-ICE 0.0499 97.8300 0.0510 0.8162 EUROSTX 46.6079 4967.0000 0.9384 15.0136 FEEDCOW 1.6747 246.1500 0.6803 10.8855 GASOIL 12.6167 726.0000 1.7378 27.8055 GASOLINE 0.0380 2.1234 1.7886 28.6169 GAS_US_mini 0.0864 3.2100 2.6915 43.0635 GBP 0.0069 1.3073 0.5254 8.4069 GOLD_micro 17.2977 2660.4000 0.6502 10.4031 HEATOIL 0.0398 2.4197 1.6459 26.3338 JGB-SGX-mini 0.2515 144.2200 0.1744 2.7900 JPY 0.0001 0.0068 0.8421 13.4733 LEANHOG 1.0011 76.8750 1.3022 20.8354 LIVECOW 1.1499 187.2000 0.6143 9.8282 LUMBER-new 8.4693 546.5000 1.5497 24.7958 MILK 0.2799 20.4800 1.3666 21.8661 MXP 0.0004 0.0512 0.8562 13.6991 NASDAQ_micro 183.1097 19969.5000 0.9169 14.6712 NIKKEI 650.9641 38785.0000 1.6784 26.8543 NZD 0.0044 0.6118 0.7210 11.5353 OAT 0.4839 125.8700 0.3844 6.1506 OATIES 5.5211 392.0000 1.4085 22.5353 OJ 8.1990 473.0000 1.7334 27.7346 PALLAD 25.1956 1023.0000 2.4629 39.4066 PLAT 15.8557 985.2000 1.6094 25.7502 REDWHEAT 10.0166 620.5000 1.6143 25.8284 RICE 0.1405 15.2650 0.9205 14.7287 ROBUSTA 97.7377 4690.0000 2.0840 33.3433 RUSSELL 23.7399 2199.1000 1.0795 17.2724 SHATZ 0.0981 106.7850 0.0918 1.4696 SILVER-mini 0.4873 32.1250 1.5168 24.2691 SMI 81.8774 11974.0000 0.6838 10.9407 SOFR 0.0608 96.6400 0.0629 1.0067 SOYBEAN 10.6917 1081.0000 0.9891 15.8249 SOYMEAL 5.1007 323.3000 1.5777 25.2432 SOYOIL 0.7132 44.8000 1.5919 25.4699 SP400 25.3323 3106.6000 0.8154 13.0469 SP500_micro 38.1702 5740.0000 0.6650 10.6398 SUGAR11 0.3503 20.8700 1.6785 26.8567 US10 0.3977 112.4688 0.3536 5.6579 US10U 0.5183 116.1875 0.4461 7.1378 US2 0.1302 103.3828 0.1259 2.0150 US20 0.7488 121.3125 0.6173 9.8766 US30 1.1116 129.3125 0.8596 13.7537 US5 0.2781 108.5156 0.2563 4.1002 VIX 0.6766 19.6500 3.4434 55.0948 WHEAT 9.0904 661.7500 1.3737 21.9790 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 675.00 0.64 434.45 1.00 434.45 43893.3 101.03 7.11 71.87 BITCOIN 63.07 2.49 157.34 1.00 157.34 43893.3 278.97 -8.37 -233.64 BOBL 1191.00 0.23 269.95 1.10 297.74 43893.3 147.42 -0.13 -1.85 BTP 1204.70 0.42 508.40 1.10 560.74 43893.3 78.28 4.50 35.21 BUND 1335.60 0.38 508.74 1.10 561.12 43893.3 78.23 -1.67 -13.07 BUXL 1343.00 0.93 1247.89 1.10 1376.36 43893.3 31.89 -2.88 -9.20 CAC 754.70 0.95 714.70 1.10 788.27 43893.3 55.68 -2.18 -12.16 CAD 734.80 0.37 273.72 1.00 273.72 43893.3 160.36 -1.51 -24.23 CANOLA 127.96 1.39 177.42 0.74 130.91 43893.3 335.30 -6.81 -228.45 CHF 1474.88 0.48 703.36 1.00 703.36 43893.3 62.41 -4.56 -28.46 COCOA 609.70 2.53 1544.45 1.00 1544.45 43893.3 28.42 6.76 19.20 COFFEE 920.81 2.06 1896.47 1.00 1896.47 43893.3 23.14 0.92 2.12 COPPER 1136.00 1.35 1536.84 1.00 1536.84 43893.3 28.56 6.31 18.01 CORN 227.75 0.95 216.32 1.00 216.32 43893.3 202.91 -12.48 -253.14 COTTON2 367.95 1.38 507.40 1.00 507.40 43893.3 86.51 -7.93 -68.64 CRUDE_W 718.50 1.76 1262.10 1.00 1262.10 43893.3 34.78 4.24 14.75 DAX 191.46 0.79 151.23 1.10 166.80 43893.3 263.15 8.90 234.09 DOW 210.73 0.62 130.02 1.00 130.02 43893.3 337.59 5.24 177.06 DX 1022.80 0.38 383.55 1.00 383.55 43893.3 114.44 -4.18 -47.85 EUR 1375.38 0.42 573.86 1.00 573.86 43893.3 76.49 -0.66 -5.02 EURIBOR-ICE 2445.75 0.05 124.76 1.10 137.61 43893.3 318.98 5.88 187.62 EUROSTX 496.70 0.94 466.08 1.10 514.06 43893.3 85.39 0.91 7.81 FEEDCOW 1230.75 0.68 837.33 1.00 837.33 43893.3 52.42 1.64 8.57 GASOIL 726.00 1.74 1261.67 1.00 1261.67 43893.3 34.79 -2.51 -8.72 GASOLINE 891.83 1.79 1595.09 1.00 1595.09 43893.3 27.52 5.48 15.08 GAS_US_mini 80.25 2.69 215.99 1.00 215.99 43893.3 203.22 -4.35 -88.37 GBP 817.06 0.53 429.31 1.00 429.31 43893.3 102.24 3.89 39.78 GOLD_micro 266.04 0.65 172.98 1.00 172.98 43893.3 253.75 9.68 245.62 HEATOIL 1016.27 1.65 1672.65 1.00 1672.65 43893.3 26.24 -7.72 -20.27 JGB-SGX-mini 144220.00 0.17 25148.73 0.01 172.15 43893.3 254.97 3.11 79.21 JPY 852.25 0.84 717.66 1.00 717.66 43893.3 61.16 -4.94 -30.19 LEANHOG 307.50 1.30 400.43 1.00 400.43 43893.3 109.62 14.02 153.64 LIVECOW 748.80 0.61 459.96 1.00 459.96 43893.3 95.43 11.61 110.76 LUMBER-new 150.29 1.55 232.91 1.00 232.91 43893.3 188.46 -3.58 -67.47 MILK 409.60 1.37 559.77 1.00 559.77 43893.3 78.41 7.13 55.94 MXP 255.85 0.86 219.06 1.00 219.06 43893.3 200.37 -0.73 -14.67 NASDAQ_micro 399.39 0.92 366.22 1.00 366.22 43893.3 119.86 -2.76 -33.04 NIKKEI 38785.00 1.68 65096.41 0.01 445.60 43893.3 98.50 3.50 34.45 NZD 611.80 0.72 441.08 1.00 441.08 43893.3 99.51 2.23 22.21 OAT 1258.70 0.38 483.86 1.10 533.67 43893.3 82.25 1.89 15.55 OATIES 196.00 1.41 276.06 1.00 276.06 43893.3 159.00 6.65 105.71 OJ 709.50 1.73 1229.86 1.00 1229.86 43893.3 35.69 8.18 29.18 PALLAD 1023.00 2.46 2519.56 1.00 2519.56 43893.3 17.42 0.65 1.13 PLAT 492.60 1.61 792.78 1.00 792.78 43893.3 55.37 -0.47 -2.58 REDWHEAT 310.25 1.61 500.83 1.00 500.83 43893.3 87.64 -10.40 -91.17 RICE 305.30 0.92 281.04 1.00 281.04 43893.3 156.18 -6.06 -94.60 ROBUSTA 469.00 2.08 977.38 1.00 977.38 43893.3 44.91 6.90 30.99 RUSSELL 109.96 1.08 118.70 1.00 118.70 43893.3 369.79 0.82 30.42 SHATZ 1067.85 0.09 98.08 1.10 108.18 43893.3 405.76 -3.47 -140.76 SILVER-mini 803.12 1.52 1218.19 1.00 1218.19 43893.3 36.03 7.90 28.48 SMI 1197.40 0.68 818.77 1.18 962.63 43893.3 45.60 2.66 12.15 SOFR 2416.00 0.06 152.01 1.00 152.01 43893.3 288.76 0.41 11.98 SOYBEAN 540.50 0.99 534.58 1.00 534.58 43893.3 82.11 -10.51 -86.32 SOYMEAL 323.30 1.58 510.07 1.00 510.07 43893.3 86.05 -10.68 -91.87 SOYOIL 268.80 1.59 427.89 1.00 427.89 43893.3 102.58 -2.36 -24.16 SP400 3106.60 0.82 2533.23 1.00 2533.23 43893.3 17.33 1.20 2.08 SP500_micro 287.00 0.66 190.85 1.00 190.85 43893.3 229.99 1.26 28.92 SUGAR11 233.74 1.68 392.35 1.00 392.35 43893.3 111.87 5.74 64.19 US10 1124.69 0.35 397.71 1.00 397.71 43893.3 110.37 -1.43 -15.74 US10U 1161.88 0.45 518.33 1.00 518.33 43893.3 84.68 -0.81 -6.86 US2 2067.66 0.13 260.40 1.00 260.40 43893.3 168.56 -4.10 -69.05 US20 1213.12 0.62 748.85 1.00 748.85 43893.3 58.61 0.11 0.64 US30 1293.12 0.86 1111.58 1.00 1111.58 43893.3 39.49 -2.06 -8.14 US5 1085.16 0.26 278.09 1.00 278.09 43893.3 157.84 -1.92 -30.37 VIX 196.50 3.44 676.63 1.00 676.63 43893.3 64.87 -3.86 -25.02 WHEAT 330.88 1.37 454.52 1.00 454.52 43893.3 96.57 -7.96 -76.88 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 71.867 0.010 2.5 1.865 BITCOIN -233.637 0.043 2.5 -25.300 BOBL -1.852 0.004 2.5 -0.019 BTP 35.212 0.014 2.5 1.201 BUND -13.071 0.004 2.5 -0.133 BUXL -9.199 0.004 2.5 -0.093 CAC -12.161 0.014 2.5 -0.415 CAD -24.232 0.010 2.5 -0.629 CANOLA -228.454 0.010 2.5 -5.558 CHF -28.456 0.010 2.5 -0.738 COCOA 19.205 0.009 2.5 0.411 COFFEE 2.120 0.005 2.5 0.025 COPPER 18.009 0.043 2.5 1.950 CORN -253.136 0.010 2.5 -6.158 COTTON2 -68.637 0.009 2.5 -1.470 CRUDE_W 14.748 0.043 2.5 1.597 DAX 234.089 0.014 2.5 7.984 DOW 177.060 0.009 2.5 4.115 DX -47.849 0.010 2.5 -1.241 EUR -5.025 0.010 2.5 -0.130 EURIBOR-ICE 187.623 0.014 2.5 6.399 EUROSTX 7.807 0.014 2.5 0.266 FEEDCOW 8.575 0.013 2.5 0.284 GASOIL -8.717 0.017 2.5 -0.378 GASOLINE 15.084 0.017 2.5 0.654 GAS_US_mini -88.372 0.043 2.5 -9.569 GBP 39.780 0.010 2.5 1.032 GOLD_micro 245.620 0.014 2.5 8.378 HEATOIL -20.267 0.017 2.5 -0.879 JGB-SGX-mini 79.208 0.043 2.5 8.577 JPY -30.187 0.010 2.5 -0.783 LEANHOG 153.638 0.024 2.5 9.337 LIVECOW 110.762 0.013 2.5 3.670 LUMBER-new -67.470 0.009 2.5 -1.445 MILK 55.942 0.009 2.5 1.198 MXP -14.672 0.059 2.5 -2.153 NASDAQ_micro -33.040 0.009 2.5 -0.768 NIKKEI 34.448 0.043 2.5 3.730 NZD 22.210 0.010 2.5 0.576 OAT 15.548 0.014 2.5 0.530 OATIES 105.710 0.010 2.5 2.572 OJ 29.183 0.009 2.5 0.625 PALLAD 1.130 0.014 2.5 0.039 PLAT -2.580 0.014 2.5 -0.088 REDWHEAT -91.166 0.005 2.5 -1.209 RICE -94.601 0.010 2.5 -2.302 ROBUSTA 30.989 0.005 2.5 0.362 RUSSELL 30.417 0.013 2.5 1.008 SHATZ -140.762 0.004 2.5 -1.427 SILVER-mini 28.478 0.014 2.5 0.971 SMI 12.152 0.014 2.5 0.414 SOFR 11.981 0.024 2.5 0.728 SOYBEAN -86.322 0.004 2.5 -0.803 SOYMEAL -91.870 0.004 2.5 -0.854 SOYOIL -24.162 0.004 2.5 -0.225 SP400 2.077 0.013 2.5 0.069 SP500_micro 28.921 0.009 2.5 0.672 SUGAR11 64.189 0.009 2.5 1.365 US10 -15.743 0.005 2.5 -0.199 US10U -6.859 0.005 2.5 -0.087 US2 -69.053 0.005 2.5 -0.875 US20 0.645 0.005 2.5 0.008 US30 -8.144 0.005 2.5 -0.103 US5 -30.372 0.005 2.5 -0.385 VIX -25.019 0.099 2.5 -6.176 WHEAT -76.884 0.005 2.5 -1.020 ===================== Position diags ===================== AUD 2.62 BITCOIN 30.21 BOBL 1.49 BTP 2.67 BUND 0.79 BUXL 0.32 CAC 1.90 CAD 4.16 CANOLA 8.16 CHF 1.62 COCOA 0.61 COFFEE 0.27 COPPER 3.09 CORN 4.94 COTTON2 1.85 CRUDE_W 3.77 DAX 8.98 DOW 7.85 DX 2.97 EUR 1.98 EURIBOR-ICE 10.88 EUROSTX 2.91 FEEDCOW 1.74 GASOIL 1.51 GASOLINE 1.19 GAS_US_mini 22.01 GBP 2.65 GOLD_micro 8.66 HEATOIL 1.14 JGB-SGX-mini 27.61 JPY 1.59 LEANHOG 6.66 LIVECOW 3.16 LUMBER-new 4.04 MILK 1.68 MXP 29.41 NASDAQ_micro 2.79 NIKKEI 10.67 NZD 2.58 OAT 2.81 OATIES 3.87 OJ 0.76 PALLAD 0.59 PLAT 1.89 REDWHEAT 1.16 RICE 3.80 ROBUSTA 0.52 RUSSELL 12.25 SHATZ 4.11 SILVER-mini 1.23 SMI 1.56 SOFR 17.55 SOYBEAN 0.76 SOYMEAL 0.80 SOYOIL 0.95 SP400 0.57 SP500_micro 5.34 SUGAR11 2.38 US10 1.40 US10U 1.07 US2 2.14 US20 0.74 US30 0.50 US5 2.00 VIX 16.01 WHEAT 1.28 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.9 1.6 2.1 3.0 3 BITCOIN -25.3 -28.3 -22.3 0.0 0 BOBL -0.0 -0.2 0.1 1.0 1 BTP 1.2 0.9 1.5 1.0 1 BUND -0.1 -0.2 -0.1 0.0 0 BUXL -0.1 -0.1 -0.1 0.0 0 CAC -0.4 -0.6 -0.2 0.0 0 CAD -0.6 -1.0 -0.2 0.0 0 CANOLA -5.6 -6.4 -4.7 -2.0 -2 CHF -0.7 -0.9 -0.6 0.0 0 COCOA 0.4 0.4 0.5 0.0 0 COFFEE 0.0 -0.0 0.1 0.0 0 COPPER 2.0 1.6 2.3 3.0 3 CORN -6.2 -6.7 -5.7 -5.0 -5 COTTON2 -1.5 -1.7 -1.3 -4.0 -4 CRUDE_W 1.6 1.2 2.0 1.0 1 DAX 8.0 7.1 8.9 0.0 0 DOW 4.1 3.3 4.9 0.0 0 DX -1.2 -1.5 -0.9 0.0 0 EUR -0.1 -0.3 0.1 1.0 1 EURIBOR-ICE 6.4 5.3 7.5 0.0 0 EUROSTX 0.3 -0.0 0.6 0.0 0 FEEDCOW 0.3 0.1 0.5 0.0 0 GASOIL -0.4 -0.5 -0.2 0.0 0 GASOLINE 0.7 0.5 0.8 0.0 0 GAS_US_mini -9.6 -11.8 -7.4 -3.0 -3 GBP 1.0 0.8 1.3 0.0 0 GOLD_micro 8.4 7.5 9.2 2.0 2 HEATOIL -0.9 -1.0 -0.8 -1.0 -1 JGB-SGX-mini 8.6 5.8 11.3 9.0 9 JPY -0.8 -0.9 -0.6 -2.0 -2 LEANHOG 9.3 8.7 10.0 6.0 6 LIVECOW 3.7 3.4 4.0 4.0 4 LUMBER-new -1.4 -1.8 -1.0 -2.0 -2 MILK 1.2 1.0 1.4 1.0 1 MXP -2.2 -5.1 0.8 -9.0 -9 NASDAQ_micro -0.8 -1.0 -0.5 0.0 0 NIKKEI 3.7 2.7 4.8 1.0 1 NZD 0.6 0.3 0.8 2.0 2 OAT 0.5 0.2 0.8 1.0 1 OATIES 2.6 2.2 3.0 NaN 0 OJ 0.6 0.5 0.7 1.0 1 PALLAD 0.0 -0.0 0.1 0.0 0 PLAT -0.1 -0.3 0.1 0.0 0 REDWHEAT -1.2 -1.3 -1.1 0.0 0 RICE -2.3 -2.7 -1.9 NaN 0 ROBUSTA 0.4 0.3 0.4 1.0 1 RUSSELL 1.0 -0.2 2.2 0.0 0 SHATZ -1.4 -1.8 -1.0 NaN 0 SILVER-mini 1.0 0.8 1.1 0.0 0 SMI 0.4 0.3 0.6 0.0 0 SOFR 0.7 -1.0 2.5 NaN 0 SOYBEAN -0.8 -0.9 -0.7 -3.0 -3 SOYMEAL -0.9 -0.9 -0.8 -1.0 -1 SOYOIL -0.2 -0.3 -0.1 0.0 0 SP400 0.1 0.0 0.1 2.0 2 SP500_micro 0.7 0.1 1.2 0.0 0 SUGAR11 1.4 1.1 1.6 4.0 4 US10 -0.2 -0.3 -0.1 0.0 0 US10U -0.1 -0.2 0.0 0.0 0 US2 -0.9 -1.1 -0.7 NaN 0 US20 0.0 -0.1 0.1 0.0 0 US30 -0.1 -0.2 -0.1 1.0 1 US5 -0.4 -0.6 -0.2 1.0 1 VIX -6.2 -7.8 -4.6 -5.0 -5 WHEAT -1.0 -1.1 -0.9 -1.0 -1 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.8 3.8 3.8 3.8 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 0.3 0.3 0.2 0.0 -0.1 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 0.1 0.1 -0.0 0.1 0.1 0.3 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.0 0.2 0.3 0.2 0.1 0.4 -0.2 0.6 -0.0 BITCOIN 0.4 -0.0 -0.5 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.1 -0.1 0.1 0.3 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 0.2 0.0 -2.7 -0.0 0.0 -0.0 0.0 0.3 0.0 -0.1 -0.2 -0.5 -0.6 -0.4 -0.0 -0.1 -0.1 0.1 BOBL -0.2 0.2 0.6 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.0 -0.0 0.0 0.1 0.3 -0.2 -0.0 -0.1 0.1 0.1 -0.1 0.0 0.0 0.5 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.5 0.2 0.2 0.1 0.0 -0.7 -0.6 -0.2 -0.1 BTP 0.0 0.2 0.4 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.5 -0.0 0.6 0.1 0.2 0.1 0.1 0.1 0.1 0.2 0.2 -0.0 0.4 0.1 -2.7 0.1 -0.1 0.2 0.0 0.2 0.1 0.7 0.5 0.6 0.4 -0.1 -0.7 -0.4 0.0 0.3 BUND -0.2 0.1 0.5 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.1 0.1 0.0 0.1 -0.4 -0.1 -0.2 -0.1 0.1 0.1 -0.1 0.1 0.0 0.2 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.3 0.3 -0.0 -0.1 -0.7 -0.6 -0.1 -0.1 BUXL -0.2 -0.0 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.1 0.0 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.3 0.0 -0.1 0.1 -0.0 0.1 0.0 0.2 0.5 0.2 -0.2 -0.4 -0.7 -0.7 -0.2 -0.2 CAC 0.4 0.3 -0.5 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 -0.2 -0.0 0.0 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 0.0 -0.9 -0.0 -0.0 -0.1 -0.0 0.0 0.0 0.2 0.2 -0.1 -0.1 -0.6 0.3 0.2 -0.1 -0.0 CAD -0.1 0.4 0.2 0.1 -0.1 0.1 -0.1 0.1 0.0 -0.2 0.1 -0.1 -0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.1 -0.1 0.0 -0.2 0.0 -0.1 0.1 -0.1 -0.0 0.0 -0.2 0.3 -0.4 -0.0 -0.0 0.3 -0.3 0.1 -0.1 CANOLA 0.6 0.3 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 -0.0 -0.3 -0.2 -0.3 -0.3 0.0 -0.0 0.1 -0.2 0.1 -1.9 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 0.2 0.0 0.2 0.0 -0.2 -0.4 0.1 -0.2 CHF -0.4 0.2 0.6 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.2 -0.1 -0.0 0.0 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.1 -0.1 0.1 -0.0 0.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 -1.1 0.0 -0.5 -0.3 0.5 -0.2 -0.4 -0.5 -0.4 COCOA 0.0 0.1 0.3 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.4 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 0.3 0.0 1.1 -0.2 -0.2 0.1 0.2 0.7 0.4 0.7 0.6 COFFEE 0.0 0.1 0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.4 -0.0 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 -0.1 0.4 0.0 -2.7 0.1 -0.1 0.2 -0.0 0.3 0.0 0.3 -0.5 -0.1 0.5 0.6 -0.2 -0.3 0.2 -0.1 COPPER 0.6 0.4 -0.4 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 0.1 0.2 -2.0 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.5 0.5 0.4 0.0 0.7 0.3 0.7 0.7 CORN 0.5 0.4 -0.6 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.1 -0.4 0.2 -0.7 0.2 -0.1 -0.2 -0.3 -0.3 -0.3 -0.0 -0.2 0.1 -0.5 0.1 -1.7 -0.0 0.0 -0.2 0.1 -0.5 0.0 -1.1 0.2 -0.3 0.0 -0.6 0.0 -0.1 0.2 -0.0 COTTON2 0.6 0.6 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.4 0.1 -0.5 0.1 0.0 -0.2 -0.1 -0.2 -0.2 0.0 -0.1 0.1 -0.4 0.1 -2.7 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.7 -0.1 0.2 0.4 0.3 -0.5 -0.4 -0.2 -0.2 CRUDE_W 0.5 -0.2 -0.5 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.2 0.1 0.0 -0.1 0.2 0.2 0.2 0.2 -0.1 -0.1 0.2 -0.1 0.0 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.6 -0.4 -0.0 0.3 0.1 0.0 0.4 0.0 0.6 DAX 0.4 0.4 -0.2 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 0.0 0.3 0.1 1.3 0.0 -0.0 0.1 0.0 0.2 0.1 -0.3 0.3 0.2 0.3 -0.3 0.5 0.2 0.1 0.0 DOW 0.3 0.4 0.1 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.4 0.1 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.0 0.5 0.1 -1.8 0.1 -0.0 0.2 0.0 0.2 0.0 -0.4 -0.1 0.3 0.6 0.6 0.4 0.1 -0.2 -0.2 DX 0.4 -0.3 -0.6 0.0 -0.1 0.1 -0.0 0.1 0.0 0.1 -0.3 0.1 0.1 -0.0 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.1 0.2 -0.1 0.1 -2.7 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.8 0.5 0.3 -0.6 -0.6 -0.0 0.2 -0.1 0.3 EUR -0.2 0.1 0.4 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.2 0.3 -0.2 -0.1 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.2 0.1 -0.1 2.7 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.5 -0.2 -0.5 -0.3 0.2 -0.0 -0.7 -0.2 -0.7 EURIBOR-ICE -0.4 0.2 0.6 0.0 -0.1 0.1 -0.0 0.0 -0.0 -0.1 0.2 -0.0 0.2 0.0 0.1 0.1 -0.0 0.1 0.0 0.1 0.1 -0.0 0.2 0.0 1.5 0.0 -0.0 0.1 -0.0 0.1 0.0 0.2 0.1 0.3 0.2 0.2 -0.6 -0.7 0.1 0.1 EUROSTX 0.4 0.2 -0.5 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.1 0.0 0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 0.2 0.1 -0.3 0.0 -0.0 0.0 0.0 0.2 0.0 0.2 0.3 0.1 -0.0 -0.6 0.2 0.0 -0.7 -0.2 FEEDCOW 0.6 0.1 -0.6 -0.0 0.0 -0.1 0.1 -0.2 0.1 0.2 -0.3 0.2 -0.5 0.2 -0.1 0.4 -0.2 0.4 0.1 -0.0 -0.2 0.2 -0.5 0.2 -1.2 -0.0 0.1 -0.1 0.1 -0.1 0.1 -0.5 0.5 0.6 -0.0 -0.6 0.3 0.7 0.6 0.7 GASOIL 0.5 -0.3 -0.6 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.3 0.2 0.0 -0.0 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.1 0.2 -0.1 0.0 0.5 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.0 0.1 -0.1 -0.2 -0.1 -0.1 -0.4 -0.1 -0.6 GASOLINE 0.6 -0.2 -0.5 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.2 -0.2 0.2 0.0 0.0 -0.1 0.2 0.4 0.4 0.4 -0.1 -0.1 0.2 -0.0 0.1 -2.7 0.0 0.2 -0.1 0.1 -0.0 0.1 1.1 -0.1 0.2 0.3 0.3 0.2 0.5 0.4 0.7 GAS_US_mini 0.6 0.3 -0.1 -0.0 0.2 -0.1 0.1 -0.1 0.0 -0.1 -0.5 0.2 -0.7 0.2 -0.1 -0.4 -0.4 -0.4 -0.4 0.0 -0.1 0.1 -0.5 0.1 2.7 0.0 -0.0 -0.1 0.0 -0.3 0.1 -1.1 -0.5 0.0 0.6 0.1 -0.2 -0.6 -0.1 -0.7 GBP -0.1 0.3 0.3 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.2 0.5 -0.1 0.5 0.1 0.2 0.0 -0.0 0.0 -0.0 0.2 0.2 -0.1 0.3 0.0 -0.2 0.1 -0.1 0.2 -0.1 0.2 0.0 0.1 -0.3 -0.0 0.4 0.5 0.2 -0.7 0.3 -0.7 GOLD_micro 0.6 0.6 0.5 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.1 0.5 0.2 -1.6 0.1 -0.0 0.2 0.0 0.2 0.1 -0.7 0.1 0.5 0.6 0.6 0.6 -0.1 0.4 0.1 HEATOIL 0.6 -0.2 -0.5 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.2 -0.4 0.2 -0.2 -0.0 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.2 0.2 -0.2 0.1 -2.7 -0.0 0.2 -0.1 0.1 -0.1 0.0 -0.5 0.2 0.0 0.1 0.0 -0.3 0.2 -0.4 0.1 JGB-SGX-mini 0.0 0.3 0.5 0.0 -0.1 0.1 -0.0 0.0 -0.0 -0.1 0.1 -0.0 0.1 0.0 0.1 0.2 0.3 0.3 0.3 0.1 0.1 -0.0 0.1 0.0 -1.2 0.0 -0.0 0.0 -0.0 0.0 0.0 1.1 0.1 0.2 0.0 -0.1 -0.4 -0.2 -0.4 0.1 JPY -0.6 0.2 0.6 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.1 -0.1 -0.0 0.1 -0.2 -0.3 -0.2 -0.3 0.0 0.0 -0.1 -0.0 -0.0 2.7 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.2 -0.4 -0.2 0.2 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.4 0.6 0.2 -0.0 0.0 -0.1 0.1 -0.2 0.1 0.2 -0.1 0.2 -0.2 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.0 0.2 -0.3 0.2 0.6 0.1 0.1 0.0 0.1 -0.1 0.1 1.1 0.3 0.3 0.6 0.6 0.0 -0.2 0.2 0.1 LIVECOW 0.6 0.2 0.0 -0.0 0.0 -0.1 0.1 -0.2 0.1 0.2 0.3 0.2 0.4 0.2 0.1 -0.0 0.2 0.1 0.2 0.2 0.1 0.2 0.3 0.2 -2.5 0.1 0.1 0.1 0.1 0.1 0.1 0.7 0.5 0.6 0.3 0.6 -0.0 0.7 0.3 0.7 LUMBER-new 0.4 0.2 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.3 0.1 -0.4 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.0 -0.1 0.0 -0.3 0.1 NaN 0.0 0.0 -0.1 0.0 -0.2 0.0 -1.2 -0.0 -0.2 0.0 0.4 0.1 -0.0 0.3 0.1 MILK -0.4 0.3 0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.3 -0.1 0.3 0.0 0.1 0.4 -0.1 0.4 0.3 0.1 0.2 -0.1 0.3 0.0 1.8 0.0 -0.1 0.1 -0.0 0.1 -0.0 0.1 -0.5 -0.6 0.6 0.6 0.0 -0.7 0.3 -0.7 MXP 0.4 -0.2 -0.6 0.0 -0.1 0.1 -0.0 0.0 0.0 0.1 -0.2 0.1 -0.2 -0.0 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.1 0.0 -0.2 0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 0.0 1.1 0.4 0.3 -0.6 -0.6 0.4 0.4 0.6 0.7 NASDAQ_micro 0.5 0.1 -0.6 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.1 0.1 0.3 0.1 0.0 -0.1 -0.2 -0.2 -0.2 0.1 0.1 0.0 0.3 0.1 -2.7 0.0 -0.0 0.1 0.0 0.2 0.0 -0.3 0.0 0.3 0.2 0.0 0.1 0.1 -0.3 -0.0 NIKKEI 0.4 0.1 -0.6 0.0 -0.0 0.1 0.0 0.1 0.0 -0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.2 0.1 0.1 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 0.2 0.1 -0.2 -0.4 0.4 0.1 0.4 0.1 NZD -0.0 0.4 0.2 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.1 0.2 -0.1 0.1 0.1 0.1 -0.0 0.0 -0.0 -0.0 0.1 0.1 -0.1 0.1 0.0 0.0 0.0 -0.1 0.1 -0.0 0.0 0.0 0.2 -0.0 -0.1 0.1 -0.1 0.1 -0.2 0.1 -0.0 OAT -0.4 0.1 0.4 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.0 -0.1 -0.0 -0.0 0.5 0.0 -0.1 0.1 -0.0 0.0 -0.0 0.7 0.4 0.1 -0.1 -0.3 -0.5 -0.5 0.1 0.1 OATIES 0.5 0.6 0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.2 -0.5 0.2 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.2 -0.2 0.2 -2.7 0.1 0.0 0.0 0.1 -0.0 0.1 0.1 0.5 0.5 0.6 0.4 0.6 0.0 0.7 0.4 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 0.2 0.2 0.2 0.2 0.1 0.2 0.0 0.5 0.0 -2.7 0.0 0.0 0.2 0.0 0.4 0.0 0.9 -0.1 -0.6 0.6 0.6 0.4 0.5 0.7 0.7 PALLAD 0.1 0.5 0.4 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.2 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.1 0.0 1.9 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.3 -0.2 -0.1 -0.0 0.3 -0.5 -0.7 -0.7 -0.7 PLAT 0.3 0.2 -0.1 0.0 -0.0 0.0 0.0 -0.0 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 0.0 -0.0 0.1 0.7 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.1 0.1 -0.2 -0.2 -0.0 -0.0 -0.2 -0.4 0.0 REDWHEAT 0.4 0.6 -0.2 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.1 -0.4 0.1 -0.6 0.1 -0.1 -0.2 -0.1 -0.2 -0.2 0.0 -0.1 0.2 -0.5 0.1 -0.7 0.0 0.1 -0.1 0.1 -0.2 0.1 -0.9 0.5 -0.1 0.1 -0.5 -0.7 -0.7 -0.7 -0.7 RICE 0.1 0.0 -0.3 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.0 0.3 -0.1 0.5 0.0 -0.0 -0.2 0.4 0.0 0.4 0.0 0.0 -0.0 0.2 -0.0 -1.8 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.1 -0.5 -0.6 -0.3 0.3 -0.7 -0.7 -0.7 -0.7 ROBUSTA -0.3 0.1 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.3 -0.0 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 -0.1 0.5 0.1 -2.7 0.0 -0.0 0.1 -0.0 0.2 0.0 1.1 -0.4 -0.0 0.6 0.6 0.3 -0.1 0.7 0.1 RUSSELL 0.3 0.1 0.1 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.2 0.0 0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.2 0.0 -0.1 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.0 -0.2 0.0 0.1 0.4 0.0 -0.4 -0.4 -0.7 SHATZ -0.2 0.3 0.6 0.0 -0.1 0.1 -0.0 0.0 -0.0 -0.1 0.1 -0.0 -0.0 0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 -0.0 0.0 0.0 0.8 0.0 -0.0 0.1 -0.0 0.0 0.0 -1.1 0.2 0.3 0.2 0.2 -0.7 -0.6 -0.4 -0.3 SILVER-mini 0.6 0.3 -0.1 0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 0.2 0.1 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.2 0.3 0.0 0.0 0.1 0.0 0.1 0.1 -0.1 0.3 0.3 0.2 0.1 0.2 -0.1 0.0 0.3 SMI -0.1 -0.2 -0.3 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.3 -0.1 0.5 -0.1 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.3 -0.0 1.5 0.0 -0.1 0.2 -0.0 0.3 -0.0 0.5 0.0 -0.6 -0.4 0.0 -0.0 0.0 -0.5 -0.2 SOFR -0.6 0.0 0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.4 -0.2 0.4 -0.1 0.1 0.1 0.0 0.0 0.0 0.1 0.2 -0.2 0.3 -0.1 -0.9 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.4 -0.3 -0.6 -0.2 0.0 0.3 -0.4 0.7 0.4 SOYBEAN 0.6 0.4 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.2 0.1 -0.4 0.1 -0.1 -0.0 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.5 0.1 -2.7 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.3 -0.0 -0.2 -0.0 -0.5 0.1 -0.5 0.3 -0.3 SOYMEAL 0.4 0.5 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.3 0.1 0.0 -0.0 0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.2 0.0 -2.6 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.2 0.1 -0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 0.5 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.1 -0.2 0.1 -2.7 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.3 0.2 0.3 0.1 -0.1 -0.3 0.3 -0.1 SP400 0.4 0.2 -0.1 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.3 0.1 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.3 0.1 -1.6 0.1 -0.0 0.1 0.0 0.2 0.0 0.0 -0.2 0.3 0.2 0.3 0.2 -0.2 -0.3 -0.7 SP500_micro 0.4 0.3 -0.6 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.4 0.1 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.0 0.5 0.1 -2.7 0.1 -0.0 0.2 0.0 0.3 0.0 -0.5 -0.0 0.4 0.5 0.3 0.2 0.1 -0.3 -0.1 SUGAR11 0.6 0.6 0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.1 0.1 -0.3 0.1 0.1 0.4 0.2 0.3 0.2 0.2 0.1 0.1 -0.0 0.2 -2.7 0.0 -0.0 0.0 0.0 -0.0 0.0 0.6 -0.1 0.6 0.6 0.6 -0.5 0.3 -0.4 0.4 US10 -0.6 0.1 0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.1 0.2 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.2 0.1 -0.1 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.3 -0.3 -0.3 -0.2 -0.0 0.1 -0.7 0.7 0.3 US10U -0.6 0.1 0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.2 0.2 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.2 0.1 -0.1 -0.2 0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.0 -0.3 -0.4 -0.3 -0.2 0.1 -0.6 0.7 0.6 US2 -0.6 0.2 0.6 0.0 -0.1 0.1 -0.0 0.0 -0.0 -0.1 0.2 -0.1 0.1 -0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 -0.1 0.1 -0.0 1.6 0.0 -0.1 0.1 -0.1 0.0 -0.0 -1.1 -0.4 -0.2 -0.0 0.2 0.0 -0.7 0.2 -0.4 US20 -0.6 0.1 0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.1 0.2 -0.1 0.1 -0.1 -0.0 -0.0 -0.0 0.0 0.1 -0.2 0.1 -0.1 -0.5 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 -0.2 -0.4 -0.3 -0.2 0.2 -0.4 0.7 0.7 US30 -0.6 0.1 0.5 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.2 0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.2 0.1 -0.1 -0.3 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.4 -0.3 -0.4 0.1 -0.3 0.7 0.7 US5 -0.6 0.1 0.6 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.1 -0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 -0.2 0.1 -0.1 0.8 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.6 -0.4 -0.4 -0.2 0.1 0.2 -0.7 0.7 0.0 VIX 0.1 0.1 1.0 0.0 0.1 0.0 0.0 -0.1 0.0 0.1 -0.3 0.1 -0.5 0.0 -0.1 0.2 -0.6 -0.2 -0.6 0.0 0.0 0.1 -0.2 0.1 NaN 0.0 0.1 0.0 0.1 -0.1 0.0 NaN NaN NaN NaN NaN -0.8 -1.1 NaN NaN WHEAT 0.5 0.6 -0.3 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.0 -0.3 0.1 -0.6 0.2 -0.0 -0.2 -0.3 -0.3 -0.3 0.0 -0.1 0.1 -0.4 0.2 0.5 0.0 0.0 -0.1 0.1 -0.2 0.1 -1.1 0.4 0.1 0.2 -0.5 -0.7 -0.6 -0.7 -0.5 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 8.3 9.8 5.3 3.8 -9.0 3.0 -4.1 1.7 1.4 -14.6 11.7 4.0 3.3 10.5 12.9 0.1 -2.0 -0.7 -1.4 9.9 7.5 -4.8 3.4 7.3 2.2 4.4 -9.3 3.3 -2.0 1.7 3.3 -0.0 6.9 9.6 7.3 1.8 12.9 -5.7 19.2 -0.0 BITCOIN 12.0 -0.6 -14.5 3.7 -0.8 0.2 2.4 -1.1 5.3 -6.4 -3.8 5.6 8.2 8.8 -2.2 -6.4 -6.8 -6.1 -6.4 -0.7 -1.4 1.7 8.0 3.7 -20.0 -1.3 1.1 -0.3 0.5 8.0 1.2 -2.2 -9.4 -16.1 -20.0 -11.8 -0.4 -2.8 -2.1 1.8 BOBL -6.1 5.4 19.8 2.0 -7.2 2.8 -4.0 1.6 -0.7 -8.5 5.6 -3.8 -1.1 3.4 8.3 15.0 -9.9 -0.4 -7.3 6.7 6.1 -5.7 1.4 2.3 4.1 3.0 -6.7 2.9 -2.3 1.4 1.1 -9.4 9.0 7.5 1.5 0.4 -20.0 -18.7 -4.8 -4.5 BTP 0.9 6.4 12.0 3.7 -13.2 5.2 -7.4 2.9 -1.3 -15.0 17.2 -0.1 17.4 12.1 18.0 7.2 4.5 5.1 4.1 16.4 15.7 -0.4 13.4 11.2 -20.0 6.7 -6.0 6.3 0.1 5.4 4.8 13.6 20.0 20.0 13.3 -3.4 -20.0 -12.9 0.4 8.5 BUND -6.1 2.8 15.2 2.4 -8.6 3.4 -4.8 1.9 -0.9 -10.3 7.2 -5.5 1.7 3.0 9.6 -20.0 -3.4 -11.9 -7.1 6.3 6.5 -5.7 2.3 1.6 1.3 3.4 -7.8 3.7 -2.6 2.3 1.1 -2.2 14.1 8.0 -0.8 -3.8 -20.0 -17.8 -4.2 -3.0 BUXL -7.3 -0.2 10.4 2.8 -9.9 3.9 -5.6 2.2 -1.0 -12.0 6.0 -7.5 1.2 -0.1 8.6 -0.0 -1.8 -0.6 -1.5 3.0 3.6 -5.0 -0.0 -0.6 -2.4 2.3 -7.1 3.3 -2.4 2.1 0.1 3.3 20.0 5.2 -6.2 -11.7 -20.0 -20.0 -6.3 -5.8 CAC 11.4 9.7 -14.0 3.3 -2.8 4.5 0.4 6.4 2.8 -9.6 -6.3 -3.3 0.7 3.3 -1.0 -5.9 -2.9 -5.8 -4.3 -1.4 -4.8 -2.6 -1.4 1.4 -6.6 -0.4 -2.8 -2.2 -0.4 0.3 1.6 4.5 6.6 -3.7 -3.9 -20.0 9.4 5.2 -2.6 -0.0 CAD -3.4 11.2 7.1 5.2 -12.3 4.0 -5.6 2.4 1.9 -20.0 4.5 -13.0 -11.6 5.2 11.7 -4.2 -3.7 -4.4 -4.2 5.9 3.4 -11.7 -2.9 0.2 -1.3 4.3 -13.8 2.7 -5.7 -0.7 1.2 -3.7 13.5 -12.8 -0.7 -1.1 9.4 -7.9 4.2 -3.7 CANOLA 20.0 8.7 -1.3 -0.0 0.7 -1.5 1.7 -1.7 1.7 7.2 -3.4 7.7 -6.6 6.1 -1.2 -13.4 -11.1 -13.0 -12.9 0.7 -3.9 10.0 -6.4 7.1 -13.9 1.1 2.3 -1.1 3.4 -2.9 3.1 -20.0 8.8 0.3 4.7 0.3 -4.6 -11.4 3.3 -6.9 CHF -13.5 7.6 20.0 3.3 -7.7 2.5 -3.5 1.5 1.2 -9.7 8.5 -10.4 -0.4 2.8 10.3 -13.6 -16.0 -14.6 -15.3 7.9 9.8 -11.0 4.2 -2.1 3.9 3.3 -5.2 4.3 -4.2 2.3 -0.8 -20.0 1.4 -15.8 -9.0 16.2 -5.5 -11.0 -14.2 -11.6 COCOA 0.5 2.5 8.8 -0.0 0.6 -1.3 1.5 -1.5 1.5 -4.4 1.7 -3.3 3.2 -0.0 -1.2 20.0 20.0 20.0 20.0 1.4 4.6 -2.6 10.2 -0.2 -20.0 1.6 -1.6 4.3 -1.3 9.5 0.3 20.0 -6.5 -5.8 4.5 5.6 20.0 13.1 20.0 18.6 COFFEE 1.1 1.7 5.7 -0.0 1.4 -3.2 3.7 -3.7 3.7 -13.2 15.2 -3.6 15.4 7.0 11.3 3.2 5.7 3.7 4.7 12.1 15.8 -9.6 16.3 4.3 -20.0 4.6 -9.1 6.3 -4.2 7.4 1.5 5.8 -20.0 -3.3 15.9 20.0 -4.9 -8.3 5.5 -1.9 COPPER 20.0 13.7 -11.9 2.1 -0.5 0.1 1.4 -0.6 3.0 -1.0 -1.7 8.6 -0.1 9.7 3.5 -3.2 -3.0 -3.1 -2.8 8.0 2.9 10.7 3.3 14.1 -14.8 3.0 0.5 1.4 3.2 1.3 4.5 4.3 20.0 15.7 12.1 0.1 20.0 9.2 20.0 20.0 CORN 14.3 11.8 -17.5 -0.0 1.8 -4.0 4.6 -4.6 4.5 6.8 -14.6 15.2 -20.0 18.2 -10.2 -11.1 -15.4 -16.6 -17.5 -2.4 -20.0 10.3 -20.0 10.3 -12.9 -1.9 2.6 -9.1 5.1 -12.9 4.2 -20.0 7.2 -10.0 1.3 -20.0 1.4 -4.4 5.5 -0.0 COTTON2 18.7 20.0 -1.1 -0.0 1.3 -3.0 3.4 -3.4 3.4 1.0 -13.0 11.9 -13.2 12.4 4.0 -11.6 -4.4 -10.6 -7.8 4.6 -6.8 6.4 -13.1 9.5 -20.0 2.6 1.9 -1.3 3.0 -2.3 4.4 -13.6 -4.9 6.8 11.6 9.4 -13.6 -12.0 -5.3 -6.4 CRUDE_W 16.2 -7.1 -16.8 -2.1 12.9 -3.3 8.6 -1.7 2.6 15.3 -7.5 14.4 2.3 0.8 -7.4 9.0 12.3 11.2 12.0 -6.2 -7.7 17.0 -2.5 4.0 -1.5 -1.4 14.2 -3.8 9.3 -1.8 3.8 10.7 -15.0 -0.7 7.8 3.9 0.2 11.6 1.2 16.7 DAX 11.7 12.1 -7.0 3.6 -3.1 4.8 0.4 6.9 3.0 -9.5 10.3 5.9 14.1 11.7 12.6 -7.8 -10.1 -8.3 -9.1 11.2 8.6 4.6 10.8 12.2 9.4 4.1 -2.3 3.6 2.1 5.6 4.8 -6.3 12.9 6.4 10.2 -9.0 14.3 6.0 3.0 1.4 DOW 10.1 13.2 2.7 3.6 -3.1 4.8 0.4 6.9 3.0 -7.8 15.0 12.7 16.4 16.2 16.6 -9.0 -10.6 -9.4 -10.0 17.4 16.8 3.9 16.8 13.5 -13.2 6.1 -2.5 6.1 1.1 6.3 4.5 -7.5 -4.6 10.2 18.7 18.0 11.2 2.9 -5.5 -5.5 DX 12.4 -8.6 -20.0 4.0 -9.4 3.1 -4.3 1.8 1.5 16.6 -11.5 13.5 2.5 -0.8 -13.4 4.9 6.6 5.6 6.2 -9.4 -12.3 20.0 -5.4 6.1 -20.0 -3.5 11.9 -4.5 8.7 -2.1 2.2 14.1 20.0 9.7 -20.0 -20.0 -1.3 6.9 -2.4 9.7 EUR -7.3 2.9 12.7 4.6 -10.8 3.6 -4.9 2.1 1.7 -19.4 10.6 -15.8 -1.4 -4.1 10.9 -5.8 -7.0 -6.4 -6.7 5.6 8.6 -20.0 4.5 -6.6 20.0 3.3 -13.9 5.1 -10.2 3.5 -2.9 -8.7 -10.0 -16.3 -9.3 7.4 -0.5 -20.0 -6.8 -20.0 EURIBOR-ICE -11.3 7.1 20.0 1.8 -6.2 2.4 -3.5 1.4 -0.6 -7.2 6.7 -2.8 5.0 3.9 8.2 5.3 -1.9 2.5 0.2 8.8 8.9 -5.4 5.6 3.5 11.6 2.9 -5.1 2.9 -1.6 1.9 1.2 4.7 5.9 8.0 7.4 6.0 -18.0 -20.0 2.6 3.5 EUROSTX 12.3 6.1 -14.9 3.3 -2.8 4.4 0.4 6.3 2.7 -7.9 3.7 4.2 10.5 7.6 5.4 -3.7 -3.1 -4.2 -4.1 3.4 1.7 3.2 6.4 6.4 -2.2 1.6 -0.8 1.3 2.0 4.8 3.4 4.2 12.0 2.9 -0.1 -17.6 5.7 1.3 -19.7 -6.7 FEEDCOW 20.0 2.2 -20.0 -0.0 1.9 -4.1 4.8 -4.7 4.7 19.9 -11.9 20.0 -13.7 16.7 -6.4 20.0 -9.9 18.2 5.1 -3.2 -20.0 20.0 -18.7 20.0 -8.9 -1.0 10.8 -5.1 9.7 -4.0 5.7 -8.9 20.0 20.0 -1.1 -20.0 7.8 20.0 18.2 20.0 GASOIL 16.5 -7.8 -18.1 -2.1 12.7 -3.3 8.5 -1.7 2.6 15.1 -12.1 14.0 0.3 -0.7 -10.5 3.8 8.4 2.9 3.9 -9.0 -11.7 20.0 -5.4 4.5 3.7 -3.5 13.2 -4.5 7.9 -2.3 1.4 0.1 3.3 -3.7 -6.8 -4.4 -4.2 -10.9 -3.9 -17.7 GASOLINE 20.0 -6.0 -15.8 -2.3 13.9 -3.6 9.2 -1.8 2.8 16.7 -8.8 16.2 1.0 2.5 -6.5 9.5 20.0 20.0 20.0 -4.7 -7.6 20.0 -1.7 8.3 -20.0 0.4 18.6 -2.3 12.9 -0.5 6.2 20.0 -3.5 7.7 9.8 9.4 6.7 15.1 12.8 20.0 GAS_US_mini 17.6 8.7 -1.6 -2.9 17.6 -4.6 11.7 -2.3 3.6 -6.5 -16.8 14.1 -20.0 15.5 -13.0 -20.0 -20.0 -20.0 -20.0 1.4 -10.5 7.6 -20.0 10.7 20.0 2.0 -4.3 -3.4 4.6 -8.4 6.4 -20.0 -20.0 0.7 19.9 2.7 -6.9 -19.3 -3.5 -19.5 GBP -2.7 8.1 10.0 4.5 -10.5 3.5 -4.8 2.0 1.6 -18.6 16.7 -7.7 14.1 9.1 14.3 1.1 -0.4 0.4 -0.0 14.1 15.6 -15.5 12.1 3.1 -1.8 5.7 -10.7 6.4 -5.5 5.2 1.5 2.6 -13.0 -1.4 11.0 15.7 7.1 -20.0 10.0 -19.6 GOLD_micro 17.8 19.3 16.7 3.5 -0.8 0.2 2.3 -1.0 5.0 -9.4 20.0 14.5 19.6 17.8 19.6 -12.9 -13.3 -12.6 -12.6 20.0 20.0 14.4 20.0 20.0 -12.3 6.9 -0.9 6.2 3.0 6.1 6.3 -12.9 5.2 15.6 20.0 20.0 17.4 -1.6 12.8 3.9 HEATOIL 18.5 -6.6 -16.3 -2.4 14.4 -3.7 9.6 -1.9 2.9 17.4 -14.5 16.5 -5.9 -1.0 -12.0 -5.6 3.9 -5.6 -3.0 -9.9 -14.4 20.0 -8.9 6.5 -20.0 -2.2 18.9 -5.2 12.4 -3.5 4.4 -9.6 7.4 1.0 3.4 0.2 -8.0 4.5 -10.5 4.2 JGB-SGX-mini 0.5 10.0 16.2 1.7 -5.9 2.3 -3.3 1.3 -0.6 -7.1 5.1 -1.5 2.8 3.3 6.6 9.0 16.2 12.6 14.4 6.0 5.3 -3.9 2.6 2.1 -9.0 2.2 -4.1 1.8 -1.7 0.4 0.6 20.0 4.4 6.9 1.1 -2.4 -11.4 -6.2 -12.2 1.6 JPY -20.0 7.2 20.0 1.7 -4.1 1.4 -1.9 0.8 0.6 -6.4 3.9 -6.7 -2.9 -2.7 4.8 -10.0 -14.5 -11.5 -12.8 2.7 3.4 -10.4 -1.4 -4.1 20.0 1.1 -3.7 1.3 -3.2 -0.5 -1.2 -20.0 -6.8 -12.0 -7.1 7.4 -20.0 -20.0 -20.0 -20.0 LEANHOG 13.8 20.0 4.6 -0.0 1.9 -4.3 4.9 -4.9 4.9 19.1 -4.1 19.8 -6.7 20.0 18.4 20.0 20.0 20.0 20.0 17.3 1.3 20.0 -11.2 20.0 4.6 5.5 9.2 0.6 9.2 -2.7 8.3 20.0 14.0 7.9 20.0 19.3 0.5 -5.3 6.2 2.4 LIVECOW 20.0 7.5 1.3 -0.0 2.0 -4.5 5.2 -5.2 5.1 17.1 12.1 20.0 10.4 20.0 10.9 -2.2 8.9 5.1 9.1 20.0 11.8 20.0 10.5 20.0 -18.4 4.8 7.3 2.7 10.3 3.6 9.1 13.1 20.0 20.0 10.6 20.0 -1.0 20.0 8.6 20.0 LUMBER-new 10.3 5.5 3.9 -0.0 1.2 -2.7 3.1 -2.9 3.0 1.4 -8.4 9.6 -9.8 5.4 5.7 -17.1 -17.9 -18.0 -17.9 1.2 -4.8 4.8 -8.8 4.7 NaN 2.0 0.9 -2.3 3.3 -5.4 3.8 -20.0 -0.4 -5.6 0.7 12.0 2.1 -0.5 6.9 2.8 MILK -12.3 10.4 20.0 -0.0 1.1 -2.5 2.9 -2.9 2.9 -11.9 12.1 -9.4 8.3 4.5 8.8 20.0 -4.4 20.0 13.6 12.1 16.2 -11.5 10.0 0.7 13.8 3.6 -6.9 5.0 -3.9 2.8 -0.1 1.3 -20.0 -18.2 18.0 20.0 0.8 -20.0 8.9 -20.0 MXP 12.5 -4.9 -20.0 2.6 -6.0 2.0 -2.7 1.2 0.9 9.0 -9.0 6.3 -5.9 -0.6 -7.0 10.0 13.5 10.3 11.4 -7.0 -11.3 5.4 -6.5 0.6 -20.0 -2.6 2.9 -4.4 2.2 -2.4 0.4 20.0 16.4 8.0 -17.0 -20.0 12.7 13.4 16.9 20.0 NASDAQ_micro 14.4 3.6 -20.0 2.6 -2.2 3.5 0.3 4.9 2.1 -7.6 4.1 8.1 8.8 9.7 3.2 -7.2 -9.6 -7.8 -8.7 5.7 6.4 3.1 11.1 6.7 -20.0 3.2 -1.0 3.8 1.1 6.2 3.0 -5.5 0.2 9.5 7.1 0.5 3.1 3.7 -9.7 -1.0 NIKKEI 13.2 2.1 -20.0 1.5 -1.2 2.0 0.2 2.8 1.2 -0.1 1.6 3.1 3.1 3.9 1.8 1.5 8.2 4.5 6.4 0.9 0.2 3.9 2.2 3.3 -5.9 -0.8 0.9 -0.9 1.2 0.9 0.7 20.0 7.6 2.7 -5.8 -11.4 12.6 2.7 12.3 2.3 NZD -0.1 12.5 4.7 2.8 -6.6 2.2 -3.0 1.3 1.0 -11.6 7.3 -5.3 2.6 5.6 8.8 -0.4 0.0 -0.2 -0.1 6.2 5.1 -9.8 2.2 1.5 0.3 2.8 -8.6 2.2 -3.7 1.0 1.0 2.9 -2.1 -1.8 4.4 -2.1 4.3 -6.4 3.0 -0.8 OAT -11.0 4.1 11.4 2.5 -8.9 3.5 -5.0 2.0 -0.9 -11.0 2.9 -8.1 -0.7 -2.3 8.4 6.9 4.2 4.7 3.8 3.3 3.3 -7.0 -0.2 -1.2 3.5 2.1 -7.5 2.4 -3.6 1.2 -0.4 13.1 15.0 2.1 -1.8 -10.2 -13.9 -14.4 3.2 2.9 OATIES 15.7 20.0 7.5 -0.0 1.6 -3.6 4.2 -4.2 4.1 15.0 -2.7 16.7 -14.1 18.5 11.8 3.0 2.6 3.9 3.9 20.0 7.7 20.0 -7.3 20.0 -20.0 5.3 4.2 1.7 5.8 -0.8 6.9 2.3 20.0 16.2 20.0 11.4 17.7 1.5 20.0 11.2 OJ -8.8 3.0 3.1 -0.0 1.3 -3.0 3.4 -3.4 3.4 3.1 13.1 -6.7 14.4 6.5 9.1 11.3 12.1 11.5 11.0 11.3 17.1 0.2 20.0 3.5 -20.0 4.2 3.3 6.8 0.2 10.7 1.3 16.1 -4.1 -18.6 19.5 20.0 13.3 14.4 20.0 20.0 PALLAD 3.7 16.0 11.2 1.6 -0.4 0.1 1.1 -0.5 2.3 -3.4 0.9 -1.3 -5.6 1.7 3.2 -1.9 -2.0 -1.8 -1.9 4.0 1.4 -1.3 -4.0 2.2 14.6 1.9 -0.1 0.6 -0.3 -1.2 1.2 5.9 -6.7 -4.0 -0.4 7.9 -16.4 -20.0 -20.0 -20.0 PLAT 10.7 5.4 -4.6 2.4 -0.5 0.1 1.5 -0.7 3.3 -7.4 -4.2 4.7 -3.6 8.2 0.6 -4.0 -4.4 -4.4 -4.6 2.9 0.4 0.7 -0.4 4.6 5.1 1.9 -3.4 -0.2 0.5 -0.5 2.9 1.5 2.7 -5.7 -6.9 -1.1 -1.5 -7.0 -11.0 0.5 REDWHEAT 11.8 18.1 -7.7 -0.0 1.7 -3.8 4.4 -4.4 4.4 8.7 -14.0 11.1 -18.1 13.7 -5.1 -10.4 -6.7 -10.3 -9.1 2.2 -9.1 17.6 -17.0 13.3 -5.2 0.7 6.8 -3.9 8.9 -6.4 6.1 -16.9 20.0 -1.9 4.2 -16.0 -20.0 -20.0 -20.0 -20.0 RICE 1.8 1.0 -10.5 -0.0 1.7 -3.8 4.4 -4.4 4.4 -3.2 11.3 -5.0 13.8 2.3 -0.2 -10.9 20.0 2.4 20.0 0.6 2.5 -4.7 8.3 -1.0 -13.3 -0.6 -4.7 1.3 -4.1 3.5 -2.3 20.0 -20.0 -17.8 -8.9 10.0 -20.0 -20.0 -20.0 -20.0 ROBUSTA -9.5 2.5 3.2 -0.0 0.9 -2.0 2.3 -2.3 2.3 -8.1 10.3 -2.2 10.5 6.5 8.9 20.0 20.0 20.0 20.0 14.4 17.4 -6.8 17.9 6.0 -20.0 3.4 -4.1 4.8 -1.9 6.2 1.2 20.0 -17.0 -0.5 20.0 20.0 10.2 -2.7 20.0 4.0 RUSSELL 7.9 3.8 4.4 2.9 -2.5 3.9 0.3 5.6 2.4 -8.8 5.8 3.3 10.1 5.8 4.6 -5.2 -6.3 -5.5 -5.9 5.4 6.7 -2.1 7.2 2.8 -0.6 4.2 -2.6 5.1 -0.7 5.1 2.1 -0.1 -10.0 0.9 1.6 12.8 1.1 -13.4 -10.7 -20.0 SHATZ -5.3 9.2 20.0 1.6 -5.7 2.2 -3.2 1.2 -0.6 -6.4 4.8 -1.9 -0.9 3.8 7.1 -20.0 -20.0 -20.0 -20.0 7.6 6.3 -3.8 0.6 3.7 6.3 2.6 -4.3 2.3 -1.2 0.7 1.3 -20.0 6.8 7.8 5.0 6.0 -20.0 -17.9 -11.4 -9.3 SILVER-mini 20.0 10.4 -2.0 2.6 -0.6 0.1 1.7 -0.7 3.7 4.6 9.0 12.3 8.4 13.0 9.5 -5.8 -6.4 -6.1 -6.1 11.7 8.9 10.7 9.2 14.6 2.2 3.9 1.0 2.4 3.3 2.5 4.8 -1.5 10.9 9.5 7.7 4.5 7.3 -2.4 0.1 10.0 SMI -2.9 -6.6 -8.2 3.4 -2.9 4.6 0.4 6.6 2.9 -13.7 9.7 -8.7 13.7 -4.9 3.2 0.2 0.1 -1.1 -1.1 -1.0 6.1 -8.0 12.0 -4.3 11.0 1.8 -7.7 6.7 -4.3 9.7 -1.6 9.5 0.6 -17.6 -11.0 1.1 -1.4 1.4 -16.3 -4.5 SOFR -20.0 1.3 20.0 3.2 -11.4 4.5 -6.4 2.5 -1.1 -15.1 13.4 -14.9 10.0 -4.9 11.1 3.1 0.0 2.0 0.8 8.1 15.4 -20.0 10.2 -8.7 -6.9 1.5 -14.9 4.8 -10.0 4.1 -4.4 6.9 -13.7 -17.6 -7.2 0.2 9.2 -12.6 20.0 10.9 SOYBEAN 18.2 12.8 -18.6 -0.0 1.2 -2.7 3.1 -3.0 3.0 -9.8 -9.0 7.0 -11.1 10.2 -4.6 -1.9 1.0 -4.9 -3.7 -2.2 -13.9 3.6 -17.8 6.7 -20.0 -1.3 -1.8 -5.2 1.1 -6.1 2.0 -5.9 -0.9 -5.6 -1.1 -16.0 2.2 -14.2 9.8 -9.0 SOYMEAL 11.0 16.8 -1.4 -0.0 0.9 -2.1 2.4 -2.4 2.4 -8.5 -5.5 -1.1 -8.7 5.9 0.0 -1.3 3.0 -2.0 -0.4 2.2 -3.4 -1.3 -6.9 4.2 -19.4 0.8 -5.0 -1.4 0.1 -2.3 2.2 -1.3 -1.6 -5.4 2.2 -3.7 -20.0 -20.0 -20.0 -20.0 SOYOIL 20.0 16.8 -4.8 -0.0 0.8 -1.9 2.1 -2.1 2.1 8.1 -5.3 8.6 -8.8 7.5 -2.6 -0.1 1.3 1.4 1.0 2.6 -4.1 11.8 -8.0 9.5 -20.0 1.5 3.5 -0.9 4.2 -2.2 3.7 -1.9 14.2 5.8 7.9 3.8 -1.7 -8.6 8.2 -3.2 SP400 13.7 6.6 -2.2 3.3 -2.8 4.5 0.4 6.4 2.8 -9.9 9.5 10.5 13.4 12.1 9.7 -6.2 -6.0 -6.1 -6.0 8.6 8.2 2.1 10.1 7.9 -12.0 5.2 -2.0 5.5 0.8 6.0 3.8 0.1 -8.3 8.6 7.3 10.3 5.6 -5.8 -7.8 -20.0 SP500_micro 13.0 9.0 -20.0 3.4 -2.9 4.6 0.4 6.6 2.9 -9.4 14.6 12.3 16.2 14.9 14.8 -9.2 -11.6 -9.9 -10.9 14.1 16.1 4.4 20.0 12.0 -20.0 5.5 -1.6 6.4 1.3 8.5 4.3 -9.1 -1.8 12.8 16.4 10.3 7.5 3.2 -8.8 -2.8 SUGAR11 20.0 20.0 12.8 -0.0 1.2 -2.7 3.2 -3.1 3.1 -9.3 1.9 11.0 -7.6 12.4 10.2 20.0 9.5 14.5 9.0 19.3 6.8 11.7 -1.8 20.0 -20.0 4.0 -0.9 1.3 2.3 -0.5 4.6 11.5 -6.0 20.0 20.0 20.0 -14.5 9.4 -11.9 12.8 US10 -20.0 1.9 20.0 2.4 -8.7 3.4 -4.9 1.9 -0.9 -11.6 9.7 -11.1 5.0 -3.5 8.4 -6.7 -7.4 -7.0 -7.1 5.5 9.9 -19.6 4.7 -6.7 2.0 1.2 -12.1 3.5 -8.0 2.6 -3.4 -6.0 -13.4 -10.6 -6.1 -1.2 3.7 -20.0 20.0 7.5 US10U -20.0 3.1 20.0 3.4 -11.9 4.7 -6.7 2.6 -1.2 -16.0 12.9 -15.5 5.0 -5.4 11.0 -4.7 -3.4 -4.4 -4.1 6.9 12.6 -20.0 5.3 -8.9 -1.3 1.2 -16.2 4.5 -11.0 3.4 -5.0 -0.2 -13.4 -13.2 -8.9 -5.7 4.3 -17.9 20.0 19.0 US2 -20.0 5.5 20.0 1.7 -6.0 2.3 -3.4 1.3 -0.6 -8.2 6.0 -7.2 1.6 -0.5 6.3 -20.0 -20.0 -20.0 -20.0 5.0 7.0 -15.7 1.9 -4.3 12.0 1.5 -7.8 2.4 -5.0 1.3 -1.5 -20.0 -18.3 -7.5 -0.6 6.3 0.0 -20.0 6.1 -13.1 US20 -20.0 2.1 18.7 2.6 -9.1 3.6 -5.1 2.0 -0.9 -12.3 9.3 -12.4 5.6 -5.5 7.3 -2.6 -1.2 -1.9 -1.4 4.3 9.2 -18.7 4.6 -7.6 -3.4 0.5 -11.6 3.4 -8.2 3.0 -4.2 4.3 -7.8 -10.9 -8.0 -6.7 5.3 -10.8 20.0 20.0 US30 -20.0 2.0 15.8 2.9 -10.3 4.0 -5.8 2.3 -1.0 -13.9 9.5 -14.1 3.4 -7.4 7.1 -5.2 -5.3 -5.5 -5.3 3.1 7.9 -19.5 2.7 -8.7 -2.3 -0.0 -12.6 3.2 -9.3 2.7 -5.1 -2.7 -4.5 -11.9 -9.8 -11.3 1.6 -9.8 20.0 20.0 US5 -20.0 2.1 20.0 2.3 -8.2 3.2 -4.6 1.8 -0.8 -11.1 9.1 -10.5 3.9 -2.8 8.1 -9.6 -10.8 -10.6 -10.7 5.4 9.4 -20.0 4.2 -6.7 6.2 1.3 -11.3 3.2 -7.5 2.3 -3.0 -12.1 -17.9 -11.6 -4.8 2.0 5.6 -20.0 20.0 0.8 VIX 1.3 2.5 20.0 1.8 3.6 0.9 2.6 -1.9 1.6 9.0 -5.8 5.5 -8.5 0.4 -5.2 7.6 -20.0 -7.1 -19.2 2.5 0.4 6.8 -5.0 4.0 NaN 2.0 4.1 1.0 3.1 -2.3 1.8 NaN NaN NaN NaN NaN -14.1 -20.0 NaN NaN WHEAT 14.7 18.6 -10.0 -0.0 1.7 -3.7 4.3 -4.3 4.2 5.1 -11.7 10.2 -15.9 15.2 -2.9 -11.9 -14.8 -14.2 -14.9 4.5 -7.8 15.0 -15.7 14.7 4.0 1.4 4.2 -3.1 7.1 -5.2 6.1 -20.0 16.7 3.5 6.4 -15.3 -20.0 -19.3 -20.0 -16.5 End of report for caleb_strategy_v3