******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241008_203927 produced at 2024-10-08 21:38:07.227488 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.07 0.0 0.00 0.00 0.00 0.00 -1.00 13.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -1.74 24.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -23.54 59.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.05 0.0 0.10 -0.10 -0.04 -0.04 -6.25 12.0 -5 -5 caleb_strategy_v3 CHF False False 0.05 0.00 -0.05 0.0 0.69 -0.69 0.00 0.00 -0.89 13.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 -0.04 0.0 999.00 -999.00 0.00 0.00 -1.05 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 -5.63 999999999.0 -5 -5 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 -0.04 0.0 0.07 -0.07 -0.01 -0.02 -12.88 26.0 -3 -6 caleb_strategy_v3 RICE False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -2.49 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 -0.84 3.0 -1 -1 caleb_strategy_v3 JPY False False 0.03 -0.06 -0.03 0.0 0.52 -0.52 -0.06 -0.06 -0.83 17.0 -2 -2 caleb_strategy_v3 CAD False False 0.03 0.00 -0.03 0.0 0.76 -0.76 0.00 0.00 -1.31 29.0 0 0 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.21 11.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.04 -0.02 0.0 0.98 -0.98 0.04 0.04 -0.50 25.0 1 1 caleb_strategy_v3 SOYBEAN False False 0.02 -0.06 -0.02 0.0 0.13 -0.13 -0.06 -0.06 -0.83 7.0 -3 -3 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.02 0.0 0.14 -0.14 -0.05 -0.05 -1.65 11.0 -4 -4 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.17 -0.17 -0.01 -0.01 -5.69 51.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.01 -0.01 0.0 0.11 -0.11 -0.01 -0.01 -0.99 9.0 -1 -1 caleb_strategy_v3 MXP False False 0.01 -0.06 -0.01 0.0 0.55 -0.55 -0.06 -0.06 -1.06 60.0 -7 -7 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -0.89 9.0 -1 -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 -1.42 3.0 -2 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.01 0.0 0.34 -0.34 -0.01 -0.03 -0.61 23.0 -1 -2 caleb_strategy_v3 US10 False False 0.04 0.00 -0.01 0.0 0.69 -0.69 0.00 0.00 -0.28 17.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.05 -0.01 0.0 0.28 -0.28 0.05 0.05 -0.12 6.0 1 1 caleb_strategy_v3 BOBL False False 0.05 0.05 -0.01 0.0 0.89 -0.89 0.05 0.05 -0.11 19.0 1 1 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.53 -0.53 0.00 0.00 -0.18 10.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 -0.01 0.0 0.54 -0.54 0.00 0.00 -0.15 13.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.05 -0.01 0.0 0.69 -0.69 0.05 0.00 -0.24 14.0 1 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.11 4.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.56 4.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.47 12.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.00 0.0 0.17 -0.17 0.00 0.00 -0.28 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 0.05 2.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.01 6.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.28 10.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.02 9.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.22 0.01 0.0 0.22 -0.22 0.22 0.22 0.11 2.0 2 2 caleb_strategy_v3 NZD False False 0.02 0.04 0.01 0.0 0.46 -0.46 0.04 0.04 0.37 21.0 2 2 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.01 0.0 0.50 -0.50 0.00 0.00 0.98 48.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.01 0.0 0.27 -0.27 0.00 0.00 1.75 68.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.03 0.01 0.0 0.15 -0.15 0.03 0.03 1.33 18.0 4 4 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.01 0.0 0.39 -0.39 0.00 0.00 0.35 20.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.01 0.0 0.58 -0.58 0.00 0.00 0.40 26.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.01 0.0 0.39 -0.39 0.02 0.02 0.31 23.0 1 1 caleb_strategy_v3 SMI False True 0.05 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.47 9.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.58 999999999.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.53 999999999.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.02 0.0 0.00 0.00 0.00 0.00 2.40 2.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.01 0.02 0.0 0.07 -0.07 0.01 0.01 1.14 5.0 1 1 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 0.02 0.0 0.36 -0.36 0.00 0.00 0.40 8.0 0 0 caleb_strategy_v3 OJ False False 0.03 0.03 0.02 0.0 0.08 -0.08 0.03 0.03 0.60 3.0 1 1 caleb_strategy_v3 OAT False False 0.05 0.05 0.02 0.0 0.50 -0.50 0.05 0.05 0.47 10.0 1 1 caleb_strategy_v3 DOW False False 0.01 0.00 0.03 0.0 0.50 -0.50 0.00 0.00 4.55 66.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 0.03 0.0 0.65 -0.65 0.00 0.00 0.92 22.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.05 0.04 0.0 0.46 -0.46 0.05 0.02 1.66 19.0 2 1 caleb_strategy_v3 CRUDE_W False False 0.03 0.03 0.04 0.0 0.13 -0.13 0.03 0.03 1.45 5.0 1 1 caleb_strategy_v3 NIKKEI False False 0.01 0.01 0.04 0.0 0.34 -0.34 0.01 0.02 4.58 36.0 1 2 caleb_strategy_v3 BTP False False 0.05 0.05 0.05 0.0 0.48 -0.48 0.05 0.05 1.11 10.0 1 1 caleb_strategy_v3 GOLD_micro False False 0.01 0.02 0.06 0.0 0.53 -0.53 0.02 0.02 6.83 56.0 2 2 caleb_strategy_v3 DAX False False 0.01 0.00 0.07 0.0 0.44 -0.44 0.00 0.00 8.63 58.0 0 0 caleb_strategy_v3 COPPER False False 0.04 0.12 0.07 0.0 999.00 -999.00 0.12 0.12 1.70 999999999.0 3 3 caleb_strategy_v3 LIVECOW False False 0.03 0.11 0.10 0.0 0.46 -0.46 0.11 0.11 3.79 17.0 4 4 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.11 0.0 0.15 -0.15 0.07 0.07 9.82 13.0 6 6 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.31 0.27 0.0 0.56 -0.56 0.31 0.31 7.75 16.0 9 9 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.00 0.56 0.0 0.97 -0.97 0.00 0.00 5.80 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.0 Shocked risk 17.4 Sum abs risk 28.2 Leverage 2.47 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2782670.38, 'annual_cash_vol_target': 695667.595, 'daily_cash_vol_target': 43479.2246875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6748 0.6272 10.0356 BITCOIN 1554.2817 62185.0000 2.4994 39.9912 BOBL 0.2675 119.1200 0.2246 3.5931 BTP 0.5073 120.6100 0.4206 6.7301 BUND 0.5036 133.5400 0.3772 6.0344 BUXL 1.2330 133.9400 0.9206 14.7294 CAC 70.5929 7547.0000 0.9354 14.9660 CAD 0.0027 0.7336 0.3669 5.8697 CANOLA 9.1786 625.5000 1.4674 23.4784 CHF 0.0056 1.1745 0.4758 7.6130 COCOA 155.2918 6189.0000 2.5092 40.1465 COFFEE 5.1335 247.0000 2.0783 33.2536 COPPER 0.0628 4.4620 1.4085 22.5361 CORN 4.2866 453.5000 0.9452 15.1235 COTTON2 1.0346 72.2700 1.4316 22.9054 CRUDE_W 1.2752 70.0600 1.8202 29.1228 DAX 146.5084 19233.0000 0.7618 12.1881 DOW 248.2843 42383.0000 0.5858 9.3730 DX 0.3769 102.3000 0.3684 5.8950 EUR 0.0045 1.1004 0.4108 6.5727 EURIBOR-ICE 0.0495 97.8550 0.0506 0.8092 EUROSTX 45.6647 4982.0000 0.9166 14.6655 FEEDCOW 1.6479 247.5000 0.6658 10.6530 GASOIL 11.6808 698.2500 1.6729 26.7659 GASOLINE 0.0408 2.0411 1.9984 31.9747 GAS_US_mini 0.0851 3.1950 2.6642 42.6273 GBP 0.0067 1.3091 0.5144 8.2306 GOLD_micro 17.7779 2634.5000 0.6748 10.7970 HEATOIL 0.0427 2.3272 1.8354 29.3663 JGB-SGX-mini 0.2478 144.2000 0.1718 2.7495 JPY 0.0001 0.0068 0.8252 13.2037 LEANHOG 0.9845 80.6250 1.2211 19.5374 LIVECOW 1.1301 187.9000 0.6014 9.6230 LUMBER-new 8.3513 547.5000 1.5253 24.4056 MILK 0.2716 20.5700 1.3206 21.1295 MXP 0.0004 0.0512 0.8400 13.4396 NASDAQ_micro 181.5676 20274.2500 0.8956 14.3289 NIKKEI 645.5440 39440.0000 1.6368 26.1884 NZD 0.0043 0.6126 0.7031 11.2495 OAT 0.4800 125.9200 0.3812 6.0996 OATIES 5.6266 385.7500 1.4586 23.3380 OJ 7.9933 466.2000 1.7146 27.4329 PALLAD 24.8060 1017.0000 2.4391 39.0262 PLAT 16.0435 964.7000 1.6631 26.6090 REDWHEAT 9.8466 619.2500 1.5901 25.4413 RICE 0.1380 15.2500 0.9046 14.4740 ROBUSTA 96.7743 4676.0000 2.0696 33.1135 RUSSELL 22.7264 2216.7000 1.0252 16.4037 SHATZ 0.0968 106.7800 0.0906 1.4504 SILVER-mini 0.5402 30.7625 1.7562 28.0986 SMI 79.8975 12048.0000 0.6632 10.6106 SOFR 0.0596 96.6350 0.0616 0.9863 SOYBEAN 10.9379 1065.5000 1.0266 16.4249 SOYMEAL 5.0031 322.0000 1.5537 24.8600 SOYOIL 0.7662 43.2500 1.7716 28.3454 SP400 24.1664 3124.5000 0.7734 12.3752 SP500_micro 37.5234 5794.5000 0.6476 10.3611 SUGAR11 0.3409 20.9000 1.6312 26.0996 US10 0.3900 112.4375 0.3469 5.5498 US10U 0.5093 116.0781 0.4387 7.0195 US2 0.1273 103.4297 0.1231 1.9694 US20 0.7358 121.0625 0.6078 9.7251 US30 1.0949 128.9062 0.8494 13.5899 US5 0.2724 108.5312 0.2510 4.0155 VIX 0.6903 19.3000 3.5767 57.2265 WHEAT 8.9283 661.7500 1.3492 21.5872 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 674.75 0.63 423.22 1.00 423.22 43479.22 102.73 6.22 63.93 BITCOIN 62.18 2.50 155.43 1.00 155.43 43479.22 279.74 -7.77 -217.37 BOBL 1191.20 0.22 267.51 1.10 293.31 43479.22 148.24 -0.74 -11.04 BTP 1206.10 0.42 507.32 1.10 556.25 43479.22 78.16 4.16 32.54 BUND 1335.40 0.38 503.65 1.10 552.22 43479.22 78.73 -2.24 -17.63 BUXL 1339.40 0.92 1233.03 1.10 1351.96 43479.22 32.16 -3.23 -10.37 CAC 754.70 0.94 705.93 1.10 774.02 43479.22 56.17 -2.43 -13.64 CAD 733.60 0.37 269.12 1.00 269.12 43479.22 161.56 -3.13 -50.62 CANOLA 125.10 1.47 183.57 0.74 135.13 43479.22 321.75 -7.27 -233.96 CHF 1468.12 0.48 698.55 1.00 698.55 43479.22 62.24 -5.49 -34.19 COCOA 618.90 2.51 1552.92 1.00 1552.92 43479.22 28.00 6.59 18.45 COFFEE 926.25 2.08 1925.07 1.00 1925.07 43479.22 22.59 -0.47 -1.06 COPPER 1115.50 1.41 1571.19 1.00 1571.19 43479.22 27.67 5.66 15.67 CORN 226.75 0.95 214.33 1.00 214.33 43479.22 202.86 -12.67 -257.06 COTTON2 361.35 1.43 517.30 1.00 517.30 43479.22 84.05 -9.19 -77.26 CRUDE_W 700.60 1.82 1275.21 1.00 1275.21 43479.22 34.10 3.92 13.36 DAX 192.33 0.76 146.51 1.10 160.64 43479.22 270.66 9.35 253.13 DOW 211.92 0.59 124.14 1.00 124.14 43479.22 350.24 5.59 195.89 DX 1023.00 0.37 376.91 1.00 376.91 43479.22 115.36 -3.51 -40.51 EUR 1375.50 0.41 565.05 1.00 565.05 43479.22 76.95 -1.21 -9.30 EURIBOR-ICE 2446.38 0.05 123.72 1.10 135.66 43479.22 320.51 5.31 170.17 EUROSTX 498.20 0.92 456.65 1.10 500.69 43479.22 86.84 1.17 10.16 FEEDCOW 1237.50 0.67 823.95 1.00 823.95 43479.22 52.77 2.28 12.01 GASOIL 698.25 1.67 1168.08 1.00 1168.08 43479.22 37.22 -3.44 -12.82 GASOLINE 857.26 2.00 1713.17 1.00 1713.17 43479.22 25.38 4.79 12.14 GAS_US_mini 79.88 2.66 212.80 1.00 212.80 43479.22 204.32 -5.82 -118.93 GBP 818.19 0.51 420.89 1.00 420.89 43479.22 103.30 3.44 35.54 GOLD_micro 263.45 0.67 177.78 1.00 177.78 43479.22 244.57 8.19 200.35 HEATOIL 977.42 1.84 1793.96 1.00 1793.96 43479.22 24.24 -7.98 -19.33 JGB-SGX-mini 144200.00 0.17 24779.45 0.01 167.01 43479.22 260.34 2.75 71.55 JPY 850.25 0.83 701.65 1.00 701.65 43479.22 61.97 -5.19 -32.15 LEANHOG 322.50 1.22 393.80 1.00 393.80 43479.22 110.41 14.63 161.51 LIVECOW 751.60 0.60 452.04 1.00 452.04 43479.22 96.18 11.89 114.37 LUMBER-new 150.56 1.53 229.66 1.00 229.66 43479.22 189.32 -3.49 -66.16 MILK 411.40 1.32 543.29 1.00 543.29 43479.22 80.03 6.63 53.06 MXP 255.95 0.84 214.99 1.00 214.99 43479.22 202.24 -0.36 -7.25 NASDAQ_micro 405.48 0.90 363.14 1.00 363.14 43479.22 119.73 -2.20 -26.34 NIKKEI 39440.00 1.64 64554.40 0.01 435.08 43479.22 99.93 4.23 42.31 NZD 612.55 0.70 430.68 1.00 430.68 43479.22 100.96 1.40 14.16 OAT 1259.20 0.38 480.04 1.10 526.34 43479.22 82.61 1.66 13.71 OATIES 192.88 1.46 281.33 1.00 281.33 43479.22 154.55 6.38 98.55 OJ 699.30 1.71 1198.99 1.00 1198.99 43479.22 36.26 7.77 28.18 PALLAD 1017.00 2.44 2480.60 1.00 2480.60 43479.22 17.53 0.79 1.38 PLAT 482.35 1.66 802.18 1.00 802.18 43479.22 54.20 -1.51 -8.20 REDWHEAT 309.62 1.59 492.33 1.00 492.33 43479.22 88.31 -10.31 -91.04 RICE 305.00 0.90 275.91 1.00 275.91 43479.22 157.58 -6.51 -102.52 ROBUSTA 467.60 2.07 967.74 1.00 967.74 43479.22 44.93 5.95 26.75 RUSSELL 110.84 1.03 113.63 1.00 113.63 43479.22 382.63 1.38 52.79 SHATZ 1067.80 0.09 96.79 1.10 106.13 43479.22 409.68 -4.18 -171.43 SILVER-mini 769.06 1.76 1350.60 1.00 1350.60 43479.22 32.19 5.32 17.12 SMI 1204.80 0.66 798.98 1.17 931.17 43479.22 46.69 2.98 13.93 SOFR 2415.88 0.06 148.92 1.00 148.92 43479.22 291.97 -0.12 -3.37 SOYBEAN 532.75 1.03 546.90 1.00 546.90 43479.22 79.50 -11.22 -89.20 SOYMEAL 322.00 1.55 500.31 1.00 500.31 43479.22 86.91 -10.96 -95.21 SOYOIL 259.50 1.77 459.73 1.00 459.73 43479.22 94.58 -3.13 -29.60 SP400 3124.50 0.77 2416.64 1.00 2416.64 43479.22 17.99 1.89 3.41 SP500_micro 289.73 0.65 187.62 1.00 187.62 43479.22 231.74 1.83 42.34 SUGAR11 234.08 1.63 381.84 1.00 381.84 43479.22 113.87 5.51 62.77 US10 1124.38 0.35 390.00 1.00 390.00 43479.22 111.48 -1.95 -21.75 US10U 1160.78 0.44 509.26 1.00 509.26 43479.22 85.38 -1.36 -11.64 US2 2068.59 0.12 254.62 1.00 254.62 43479.22 170.76 -4.62 -78.86 US20 1210.62 0.61 735.84 1.00 735.84 43479.22 59.09 -0.33 -1.97 US30 1289.06 0.85 1094.89 1.00 1094.89 43479.22 39.71 -2.34 -9.28 US5 1085.31 0.25 272.38 1.00 272.38 43479.22 159.63 -2.47 -39.49 VIX 193.00 3.58 690.29 1.00 690.29 43479.22 62.99 -3.62 -22.83 WHEAT 330.88 1.35 446.42 1.00 446.42 43479.22 97.40 -7.68 -74.77 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 63.934 0.010 2.5 1.659 BITCOIN -217.374 0.043 2.5 -23.539 BOBL -11.042 0.004 2.5 -0.112 BTP 32.535 0.014 2.5 1.110 BUND -17.632 0.004 2.5 -0.179 BUXL -10.375 0.004 2.5 -0.105 CAC -13.644 0.014 2.5 -0.465 CAD -50.621 0.010 2.5 -1.313 CANOLA -233.963 0.010 2.5 -5.692 CHF -34.187 0.010 2.5 -0.887 COCOA 18.449 0.009 2.5 0.395 COFFEE -1.062 0.005 2.5 -0.012 COPPER 15.670 0.043 2.5 1.697 CORN -257.062 0.010 2.5 -6.254 COTTON2 -77.263 0.009 2.5 -1.655 CRUDE_W 13.357 0.043 2.5 1.446 DAX 253.133 0.014 2.5 8.634 DOW 195.885 0.009 2.5 4.552 DX -40.512 0.010 2.5 -1.051 EUR -9.297 0.010 2.5 -0.241 EURIBOR-ICE 170.168 0.014 2.5 5.804 EUROSTX 10.163 0.014 2.5 0.347 FEEDCOW 12.007 0.013 2.5 0.398 GASOIL -12.817 0.017 2.5 -0.556 GASOLINE 12.145 0.017 2.5 0.526 GAS_US_mini -118.926 0.043 2.5 -12.878 GBP 35.538 0.010 2.5 0.922 GOLD_micro 200.345 0.014 2.5 6.833 HEATOIL -19.335 0.017 2.5 -0.838 JGB-SGX-mini 71.554 0.043 2.5 7.748 JPY -32.155 0.010 2.5 -0.834 LEANHOG 161.510 0.024 2.5 9.816 LIVECOW 114.372 0.013 2.5 3.790 LUMBER-new -66.160 0.009 2.5 -1.417 MILK 53.061 0.009 2.5 1.136 MXP -7.248 0.059 2.5 -1.064 NASDAQ_micro -26.336 0.009 2.5 -0.612 NIKKEI 42.306 0.043 2.5 4.581 NZD 14.165 0.010 2.5 0.368 OAT 13.705 0.014 2.5 0.467 OATIES 98.551 0.010 2.5 2.398 OJ 28.177 0.009 2.5 0.603 PALLAD 1.384 0.014 2.5 0.047 PLAT -8.199 0.014 2.5 -0.280 REDWHEAT -91.043 0.005 2.5 -1.208 RICE -102.519 0.010 2.5 -2.494 ROBUSTA 26.747 0.005 2.5 0.312 RUSSELL 52.792 0.013 2.5 1.749 SHATZ -171.433 0.004 2.5 -1.738 SILVER-mini 17.117 0.014 2.5 0.584 SMI 13.925 0.014 2.5 0.475 SOFR -3.374 0.024 2.5 -0.205 SOYBEAN -89.205 0.004 2.5 -0.830 SOYMEAL -95.209 0.004 2.5 -0.885 SOYOIL -29.596 0.004 2.5 -0.276 SP400 3.408 0.013 2.5 0.113 SP500_micro 42.336 0.009 2.5 0.984 SUGAR11 62.768 0.009 2.5 1.335 US10 -21.748 0.005 2.5 -0.276 US10U -11.645 0.005 2.5 -0.148 US2 -78.856 0.005 2.5 -0.999 US20 -1.972 0.005 2.5 -0.025 US30 -9.277 0.005 2.5 -0.118 US5 -39.492 0.005 2.5 -0.500 VIX -22.827 0.099 2.5 -5.635 WHEAT -74.773 0.005 2.5 -0.992 ===================== Position diags ===================== AUD 2.67 BITCOIN 30.29 BOBL 1.50 BTP 2.67 BUND 0.80 BUXL 0.33 CAC 1.92 CAD 4.19 CANOLA 7.83 CHF 1.61 COCOA 0.60 COFFEE 0.26 COPPER 3.00 CORN 4.94 COTTON2 1.80 CRUDE_W 3.69 DAX 9.23 DOW 8.14 DX 2.99 EUR 2.00 EURIBOR-ICE 10.93 EUROSTX 2.96 FEEDCOW 1.75 GASOIL 1.61 GASOLINE 1.10 GAS_US_mini 22.12 GBP 2.68 GOLD_micro 8.34 HEATOIL 1.05 JGB-SGX-mini 28.19 JPY 1.61 LEANHOG 6.71 LIVECOW 3.19 LUMBER-new 4.05 MILK 1.71 MXP 29.68 NASDAQ_micro 2.78 NIKKEI 10.82 NZD 2.62 OAT 2.82 OATIES 3.76 OJ 0.78 PALLAD 0.60 PLAT 1.85 REDWHEAT 1.17 RICE 3.83 ROBUSTA 0.52 RUSSELL 12.68 SHATZ 4.15 SILVER-mini 1.10 SMI 1.59 SOFR 17.74 SOYBEAN 0.74 SOYMEAL 0.81 SOYOIL 0.88 SP400 0.60 SP500_micro 5.39 SUGAR11 2.42 US10 1.41 US10U 1.08 US2 2.16 US20 0.75 US30 0.50 US5 2.02 VIX 15.55 WHEAT 1.29 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.7 1.4 1.9 2.0 2 BITCOIN -23.5 -26.6 -20.5 0.0 0 BOBL -0.1 -0.3 0.0 1.0 1 BTP 1.1 0.8 1.4 1.0 1 BUND -0.2 -0.3 -0.1 0.0 0 BUXL -0.1 -0.1 -0.1 0.0 0 CAC -0.5 -0.7 -0.3 0.0 0 CAD -1.3 -1.7 -0.9 0.0 0 CANOLA -5.7 -6.5 -4.9 -2.0 -2 CHF -0.9 -1.0 -0.7 0.0 0 COCOA 0.4 0.3 0.5 0.0 0 COFFEE -0.0 -0.0 0.0 0.0 0 COPPER 1.7 1.4 2.0 3.0 3 CORN -6.3 -6.7 -5.8 -5.0 -5 COTTON2 -1.7 -1.8 -1.5 -4.0 -4 CRUDE_W 1.4 1.1 1.8 1.0 1 DAX 8.6 7.7 9.6 0.0 0 DOW 4.6 3.7 5.4 0.0 0 DX -1.1 -1.4 -0.8 0.0 0 EUR -0.2 -0.4 -0.0 1.0 1 EURIBOR-ICE 5.8 4.7 6.9 0.0 0 EUROSTX 0.3 0.1 0.6 0.0 0 FEEDCOW 0.4 0.2 0.6 0.0 0 GASOIL -0.6 -0.7 -0.4 0.0 0 GASOLINE 0.5 0.4 0.6 0.0 0 GAS_US_mini -12.9 -15.1 -10.7 -3.0 -3 GBP 0.9 0.7 1.2 0.0 0 GOLD_micro 6.8 6.0 7.7 2.0 2 HEATOIL -0.8 -0.9 -0.7 -1.0 -1 JGB-SGX-mini 7.7 4.9 10.6 9.0 9 JPY -0.8 -1.0 -0.7 -2.0 -2 LEANHOG 9.8 9.1 10.5 6.0 6 LIVECOW 3.8 3.5 4.1 4.0 4 LUMBER-new -1.4 -1.8 -1.0 -2.0 -2 MILK 1.1 1.0 1.3 1.0 1 MXP -1.1 -4.0 1.9 -7.0 -7 NASDAQ_micro -0.6 -0.9 -0.3 -1.0 -1 NIKKEI 4.6 3.5 5.7 1.0 1 NZD 0.4 0.1 0.6 2.0 2 OAT 0.5 0.2 0.7 1.0 1 OATIES 2.4 2.0 2.8 NaN 0 OJ 0.6 0.5 0.7 1.0 1 PALLAD 0.0 -0.0 0.1 0.0 0 PLAT -0.3 -0.5 -0.1 0.0 0 REDWHEAT -1.2 -1.3 -1.1 0.0 0 RICE -2.5 -2.9 -2.1 NaN 0 ROBUSTA 0.3 0.3 0.4 1.0 1 RUSSELL 1.7 0.5 3.0 0.0 0 SHATZ -1.7 -2.2 -1.3 NaN 0 SILVER-mini 0.6 0.5 0.7 0.0 0 SMI 0.5 0.3 0.6 0.0 0 SOFR -0.2 -2.0 1.6 NaN 0 SOYBEAN -0.8 -0.9 -0.8 -3.0 -3 SOYMEAL -0.9 -1.0 -0.8 -1.0 -1 SOYOIL -0.3 -0.4 -0.2 0.0 0 SP400 0.1 0.1 0.2 2.0 2 SP500_micro 1.0 0.4 1.5 0.0 0 SUGAR11 1.3 1.1 1.6 4.0 4 US10 -0.3 -0.4 -0.1 0.0 0 US10U -0.1 -0.3 -0.0 0.0 0 US2 -1.0 -1.2 -0.8 NaN 0 US20 -0.0 -0.1 0.0 0.0 0 US30 -0.1 -0.2 -0.1 1.0 1 US5 -0.5 -0.7 -0.3 1.0 1 VIX -5.6 -7.2 -4.1 -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 0.2 0.3 0.2 0.0 -0.1 0.1 -0.1 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 -0.1 0.1 0.1 0.3 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.0 0.1 0.3 0.2 0.0 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 0.0 -0.1 -0.1 0.0 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 0.1 -0.4 -0.6 -0.4 -0.0 -0.1 -0.1 0.1 BOBL -0.3 0.1 0.6 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.1 0.1 -0.1 -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 0.1 0.2 0.1 0.0 -0.7 -0.6 -0.1 -0.1 BTP -0.1 0.2 0.4 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.5 -0.1 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 -0.0 0.2 -0.0 0.2 0.0 0.7 0.5 0.6 0.5 -0.1 -0.7 -0.4 0.0 0.3 BUND -0.3 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 -0.3 -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 -0.1 -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 -0.4 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 -0.0 -0.1 -0.1 -0.6 0.3 0.2 -0.1 -0.0 CAD -0.1 0.3 0.2 0.1 -0.1 0.1 -0.1 0.1 0.0 -0.2 0.1 -0.2 -0.4 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.2 -0.1 -0.0 -0.2 0.0 -0.1 0.1 -0.1 -0.0 -0.0 -0.2 -0.1 -0.4 -0.1 -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 0.0 -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 0.1 0.0 0.2 0.0 -0.2 -0.4 0.1 -0.2 CHF -0.5 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 -0.1 0.1 -0.1 0.1 -0.0 -1.1 -0.0 -0.6 -0.3 0.5 -0.2 -0.4 -0.5 -0.4 COCOA -0.0 0.0 0.2 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 -0.1 -0.2 0.1 0.2 0.7 0.4 0.7 0.6 COFFEE -0.1 0.0 0.2 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.4 -0.1 0.5 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 -0.1 0.4 0.0 -2.7 0.0 -0.1 0.2 -0.1 0.3 0.0 0.3 -0.5 -0.2 0.4 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 -0.1 -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 0.1 -1.9 0.0 -0.0 0.0 0.0 0.0 0.0 0.2 0.3 0.5 0.4 0.0 0.7 0.3 0.7 0.7 CORN 0.4 0.4 -0.5 0.0 0.0 -0.1 0.0 -0.2 0.0 0.0 -0.4 0.1 -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 0.0 -0.5 0.0 -1.1 0.1 -0.3 0.0 -0.6 0.1 -0.1 0.2 0.0 COTTON2 0.5 0.6 0.0 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.4 0.1 -0.5 0.1 0.0 -0.2 -0.1 -0.2 -0.2 0.0 -0.1 0.0 -0.3 0.1 -2.7 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.8 -0.3 0.2 0.3 0.3 -0.5 -0.4 -0.2 -0.2 CRUDE_W 0.6 -0.2 -0.6 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.1 0.1 0.0 -0.1 0.2 0.2 0.2 0.2 -0.1 -0.1 0.1 -0.1 0.1 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.6 -0.4 -0.1 0.2 0.1 -0.0 0.4 0.0 0.5 DAX 0.4 0.4 -0.2 0.0 -0.0 0.1 0.0 0.3 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 0.2 0.2 0.3 -0.3 0.5 0.2 0.1 0.0 DOW 0.3 0.5 0.2 0.0 -0.0 0.1 0.0 0.3 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 0.5 -0.2 -0.6 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 0.7 0.5 0.4 -0.6 -0.6 -0.0 0.2 -0.1 0.3 EUR -0.3 0.0 0.4 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.2 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 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 -0.5 0.2 0.6 0.0 -0.0 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 -0.1 0.1 0.0 1.5 0.0 -0.0 0.1 -0.0 0.1 0.0 0.3 0.1 0.2 0.2 0.2 -0.6 -0.7 0.1 0.1 EUROSTX 0.4 0.2 -0.4 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.1 0.1 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 0.2 0.1 0.0 -0.6 0.2 0.0 -0.7 -0.2 FEEDCOW 0.6 0.2 -0.6 0.0 0.0 -0.1 0.0 -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 0.1 -0.6 0.3 0.7 0.6 0.7 GASOIL 0.6 -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 -0.2 0.0 0.5 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.0 -0.0 -0.2 -0.3 -0.2 -0.1 -0.4 -0.1 -0.6 GASOLINE 0.6 -0.1 -0.5 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.1 0.0 0.0 -0.1 0.2 0.4 0.4 0.4 -0.0 -0.1 0.2 -0.0 0.1 -2.7 0.0 0.1 -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 0.5 0.3 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.5 0.1 -0.7 0.1 -0.1 -0.4 -0.4 -0.4 -0.4 0.0 -0.1 0.0 -0.5 0.1 2.7 0.0 -0.1 -0.1 0.0 -0.3 0.1 -1.1 -0.5 -0.3 0.6 0.1 -0.2 -0.7 -0.1 -0.6 GBP -0.1 0.2 0.3 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.2 0.4 -0.1 0.5 0.1 0.1 0.0 -0.0 0.0 -0.0 0.1 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 0.3 0.5 0.2 -0.7 0.3 -0.7 GOLD_micro 0.4 0.6 0.5 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.5 0.1 0.7 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.0 0.5 0.2 -1.7 0.1 -0.0 0.2 0.0 0.2 0.1 -0.7 0.0 0.5 0.6 0.6 0.6 -0.1 0.4 0.1 HEATOIL 0.6 -0.1 -0.5 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.4 0.1 -0.2 0.0 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 -0.2 0.1 -2.7 -0.0 0.1 -0.1 0.1 -0.1 0.1 -0.5 0.1 -0.0 0.1 0.0 -0.3 0.1 -0.3 0.1 JGB-SGX-mini -0.1 0.3 0.5 0.0 -0.0 0.1 -0.0 0.0 -0.0 -0.1 0.1 -0.0 0.1 0.0 0.1 0.2 0.3 0.2 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 0.3 0.0 -0.1 -0.4 -0.2 -0.4 0.0 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 0.0 -0.2 -0.3 -0.2 -0.3 0.0 0.0 -0.1 -0.0 -0.1 2.7 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.1 -0.4 -0.2 0.2 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.5 0.6 0.1 0.0 0.0 -0.1 0.0 -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 0.4 0.4 0.6 0.6 0.0 -0.2 0.2 0.1 LIVECOW 0.6 0.3 0.1 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 0.4 0.6 -0.0 0.7 0.3 0.7 LUMBER-new 0.4 0.2 0.2 0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.3 0.1 -0.4 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.0 -0.1 0.1 -0.3 0.1 NaN 0.0 0.0 -0.1 0.0 -0.2 0.0 -1.2 -0.1 -0.2 -0.0 0.5 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 0.5 0.6 0.0 -0.7 0.3 -0.7 MXP 0.4 -0.2 -0.6 0.0 -0.0 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 0.1 -0.2 0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 0.0 1.1 0.5 0.3 -0.5 -0.6 0.4 0.5 0.6 0.7 NASDAQ_micro 0.5 0.1 -0.6 0.0 -0.0 0.1 0.0 0.2 0.0 0.0 0.1 0.1 0.3 0.1 0.0 -0.1 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 -2.7 0.0 0.0 0.1 0.0 0.2 0.0 -0.3 0.1 0.3 0.2 -0.0 0.1 0.1 -0.3 -0.0 NIKKEI 0.5 0.1 -0.6 0.0 -0.0 0.1 0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.1 0.0 0.0 0.2 0.1 0.1 0.0 0.0 0.1 0.1 0.0 -0.8 -0.0 0.0 -0.0 0.0 0.0 0.0 1.1 0.2 0.1 -0.1 -0.4 0.4 0.1 0.4 0.1 NZD -0.1 0.4 0.2 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.1 0.2 -0.1 0.1 0.0 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 -0.2 -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 -0.0 -0.3 -0.5 -0.5 0.1 0.1 OATIES 0.5 0.6 0.3 0.0 0.0 -0.1 0.0 -0.2 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 0.1 0.1 -0.0 0.1 0.1 0.5 0.4 0.6 0.4 0.6 0.1 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 0.8 -0.2 -0.6 0.6 0.6 0.4 0.5 0.7 0.7 PALLAD 0.0 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 2.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.3 0.0 -0.1 -0.0 0.3 -0.5 -0.7 -0.7 -0.7 PLAT 0.2 0.2 -0.2 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.0 -0.1 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.0 -0.0 0.0 0.7 0.0 -0.1 -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 -0.0 -0.2 -0.1 -0.2 -0.2 0.0 -0.1 0.1 -0.5 0.1 -0.7 0.0 0.0 -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 0.0 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 -0.5 0.1 0.2 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.3 -0.1 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.2 -0.1 0.5 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.2 0.0 1.1 -0.5 -0.1 0.6 0.6 0.3 -0.1 0.7 0.1 RUSSELL 0.2 0.1 0.2 0.0 -0.0 0.1 0.0 0.2 0.0 -0.0 0.2 0.0 0.4 0.1 0.1 -0.1 -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 -0.3 0.3 0.6 0.0 -0.0 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 -0.1 0.0 0.0 0.8 0.0 -0.0 0.1 -0.0 0.0 0.0 -1.1 0.1 0.2 0.2 0.2 -0.7 -0.6 -0.4 -0.3 SILVER-mini 0.5 0.3 -0.1 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.2 0.1 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.2 0.1 0.3 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 -0.0 0.2 0.2 0.1 0.2 -0.1 -0.0 0.3 SMI -0.1 -0.2 -0.2 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.3 -0.1 0.5 -0.1 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.3 -0.0 1.5 0.0 -0.0 0.2 -0.0 0.4 -0.0 0.5 0.0 -0.6 -0.4 0.0 -0.1 0.0 -0.6 -0.2 SOFR -0.6 -0.0 0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.2 0.3 -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 -0.1 0.4 -0.3 -0.6 -0.2 -0.0 0.3 -0.4 0.7 0.4 SOYBEAN 0.6 0.4 -0.5 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.2 0.0 -0.4 0.1 -0.1 -0.0 0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.5 0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.3 -0.2 -0.2 -0.0 -0.5 0.1 -0.5 0.3 -0.3 SOYMEAL 0.3 0.6 -0.0 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.3 0.0 -0.0 -0.0 0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.2 0.0 -2.5 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.2 0.1 -0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 0.5 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -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 -2.6 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.1 0.2 0.3 0.1 -0.0 -0.3 0.3 -0.1 SP400 0.4 0.2 -0.0 0.0 -0.0 0.1 0.0 0.2 0.0 -0.0 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 0.2 0.0 0.2 0.0 0.0 -0.1 0.3 0.2 0.4 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 0.0 0.4 0.1 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 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 0.3 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 -0.3 0.6 0.6 0.6 -0.5 0.3 -0.4 0.4 US10 -0.6 0.0 0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.1 0.2 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.2 0.1 -0.1 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.3 -0.3 -0.4 -0.2 -0.0 0.1 -0.7 0.7 0.3 US10U -0.6 0.0 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 -0.5 -0.3 -0.2 0.1 -0.6 0.7 0.6 US2 -0.6 0.1 0.6 0.0 -0.0 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 0.0 0.1 -0.2 0.0 -0.1 1.6 0.0 -0.1 0.1 -0.1 0.0 -0.0 -1.1 -0.4 -0.3 -0.0 0.2 -0.0 -0.7 0.2 -0.4 US20 -0.6 0.0 0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.2 -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 -0.1 0.2 -0.1 -0.4 -0.3 -0.2 0.2 -0.4 0.7 0.7 US30 -0.6 0.0 0.5 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.2 -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 -0.0 -0.4 -0.3 -0.4 0.0 -0.3 0.7 0.7 US5 -0.6 0.0 0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.1 0.1 -0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.0 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 0.2 1.0 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.5 0.0 -0.1 0.3 -0.6 -0.2 -0.6 0.0 0.0 0.1 -0.2 0.1 NaN 0.0 0.0 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 0.1 -0.1 0.1 -0.4 0.2 0.5 0.0 0.0 -0.1 0.1 -0.2 0.1 -1.1 0.5 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 6.7 8.9 5.1 3.5 -7.8 2.9 -4.8 1.8 0.6 -15.8 11.5 0.3 3.5 8.5 12.0 0.2 -2.0 -0.7 -1.4 9.1 7.4 -8.5 3.5 4.7 2.2 4.1 -9.3 3.3 -3.5 1.8 2.2 -0.0 2.4 9.8 6.1 1.5 12.4 -5.8 18.5 -0.1 BITCOIN 12.0 -0.8 -14.4 3.6 -5.3 0.2 0.1 -1.1 4.3 -9.1 -4.0 3.9 8.2 8.9 -1.9 -6.3 -6.8 -6.1 -6.4 -0.7 -1.3 0.8 8.1 3.2 -20.0 -1.3 -1.0 -0.3 0.1 8.2 1.0 -2.2 4.6 -13.1 -20.0 -11.6 -0.1 -2.7 -1.8 1.9 BOBL -9.0 4.3 19.9 1.6 -6.3 2.6 -4.6 1.5 -1.4 -8.4 5.4 -5.6 -1.1 1.6 7.6 15.1 -9.9 -0.4 -7.3 5.7 5.7 -8.0 1.4 0.3 4.0 2.7 -6.2 2.8 -3.3 1.3 0.3 -9.4 5.5 7.4 1.9 0.5 -20.0 -18.6 -4.4 -4.3 BTP -1.8 5.8 12.1 2.9 -11.7 4.8 -8.5 2.8 -2.5 -13.7 16.8 -5.4 17.3 10.2 17.3 7.2 4.5 5.2 4.2 15.3 15.4 -3.0 13.4 8.9 -20.0 6.5 -5.1 6.3 -1.0 5.5 3.9 13.7 20.0 20.0 14.9 -2.0 -20.0 -12.8 0.7 8.6 BUND -8.6 1.9 15.2 1.9 -7.5 3.1 -5.5 1.8 -1.6 -10.5 6.9 -7.6 1.7 1.0 8.7 -20.0 -3.6 -12.2 -7.3 5.3 6.1 -8.2 2.3 -0.3 1.3 2.9 -7.4 3.6 -3.9 2.3 0.1 -2.5 12.2 8.7 -0.1 -3.6 -20.0 -17.7 -4.0 -2.9 BUXL -9.3 -1.0 10.4 2.2 -8.8 3.6 -6.3 2.1 -1.9 -12.9 5.7 -10.0 1.2 -2.2 7.8 0.0 -1.8 -0.6 -1.5 2.1 3.3 -7.9 -0.1 -2.4 -2.4 1.8 -8.2 3.1 -4.3 2.1 -1.0 3.4 20.0 7.0 -4.9 -11.2 -20.0 -20.0 -6.2 -5.8 CAC 11.7 9.3 -13.6 3.5 -0.4 4.6 1.2 6.5 3.0 -8.7 -6.3 -3.4 0.6 2.4 -0.4 -5.8 -2.9 -5.7 -4.3 -1.3 -4.7 -1.9 -1.4 1.3 -6.5 -0.4 -1.9 -2.2 -0.2 0.3 1.5 4.5 -0.0 -4.5 -3.9 -20.0 9.2 5.2 -2.8 -0.2 CAD -4.4 8.9 7.0 4.8 -10.7 4.0 -6.5 2.4 0.8 -20.0 4.2 -16.9 -11.7 1.6 10.5 -4.2 -3.7 -4.4 -4.2 4.5 3.0 -16.8 -3.0 -3.1 -1.3 3.5 -15.6 2.5 -8.5 -0.8 -0.7 -3.7 -2.3 -11.9 -1.8 -1.3 8.8 -7.9 3.7 -3.8 CANOLA 20.0 8.7 -0.5 0.1 0.5 -1.4 1.6 -1.7 1.7 1.9 -3.3 6.9 -6.5 6.0 -1.0 -13.4 -11.1 -13.0 -12.9 0.9 -3.6 6.9 -6.1 6.2 -13.9 1.1 -0.2 -1.0 2.2 -2.9 2.7 -20.0 2.4 0.2 4.9 0.5 -4.7 -11.4 3.3 -7.0 CHF -15.3 5.8 20.0 3.0 -6.6 2.5 -4.1 1.5 0.5 -12.3 8.3 -12.0 -0.4 1.1 9.6 -13.7 -16.0 -14.6 -15.3 6.7 9.3 -13.0 4.2 -4.0 3.9 2.8 -6.1 4.1 -5.0 2.3 -1.5 -20.0 -1.8 -17.2 -9.1 14.9 -5.8 -11.0 -14.5 -11.6 COCOA -0.3 1.0 7.5 0.1 0.4 -1.3 1.4 -1.5 1.5 -3.8 1.6 -3.7 3.2 -0.3 -0.9 20.0 20.0 20.0 20.0 1.2 4.4 -2.0 10.1 -0.4 -20.0 1.5 -0.5 4.3 -1.0 9.5 0.2 20.0 -5.1 -5.6 3.7 5.1 20.0 13.4 20.0 19.0 COFFEE -2.7 0.0 5.0 0.1 1.0 -3.0 3.2 -3.6 3.5 -11.6 14.3 -6.8 14.7 4.4 9.8 3.0 5.7 3.7 4.6 10.1 14.5 -11.5 15.3 1.4 -20.0 4.0 -8.1 5.9 -5.1 7.2 0.4 5.3 -20.0 -7.7 13.1 20.0 -5.0 -8.1 5.5 -1.7 COPPER 20.0 13.6 -12.4 2.0 -2.9 0.1 0.1 -0.6 2.4 -7.3 -1.6 6.5 -0.1 8.6 3.5 -3.4 -3.0 -3.2 -2.8 7.4 2.8 5.7 3.2 11.6 -14.4 2.9 -1.3 1.5 2.0 1.3 3.9 4.3 14.3 16.2 12.3 0.4 20.0 9.3 20.0 20.0 CORN 13.9 13.1 -16.4 0.2 1.4 -3.9 4.2 -4.6 4.5 1.5 -14.6 13.4 -20.0 18.0 -9.8 -10.9 -15.3 -16.3 -17.3 -2.1 -20.0 7.9 -20.0 9.6 -13.0 -1.9 0.0 -9.2 3.8 -13.3 3.9 -20.0 6.2 -9.3 0.4 -20.0 1.6 -4.3 5.8 0.0 COTTON2 14.2 20.0 0.2 0.1 1.0 -2.9 3.1 -3.4 3.3 -9.5 -13.0 8.9 -13.3 11.6 4.1 -11.9 -4.5 -10.7 -7.9 4.2 -6.5 2.6 -12.8 7.8 -20.0 2.5 -2.4 -1.3 1.2 -2.4 3.8 -14.3 -11.3 5.8 10.2 9.0 -13.6 -12.0 -5.4 -6.4 CRUDE_W 17.1 -6.5 -17.0 -1.7 8.1 -3.2 7.8 -1.7 3.1 10.6 -7.1 12.9 2.1 1.8 -6.7 9.0 12.3 11.2 12.0 -5.3 -7.2 14.6 -2.4 4.7 -1.5 -1.0 8.2 -3.6 8.2 -1.8 4.1 10.7 -15.2 -1.6 7.1 3.7 -0.0 11.4 0.9 16.5 DAX 12.0 12.1 -5.8 3.8 -0.4 5.0 1.3 7.1 3.2 -7.3 10.6 6.2 14.3 11.6 12.8 -7.7 -10.0 -8.3 -9.1 11.9 9.2 5.5 11.4 12.5 9.5 4.3 -0.6 3.8 2.4 5.7 4.9 -6.2 9.6 7.6 10.5 -8.1 14.5 6.1 3.1 1.4 DOW 9.5 13.9 5.4 3.8 -0.4 5.0 1.3 7.1 3.2 -6.3 15.3 13.1 16.7 16.3 16.9 -9.2 -10.6 -9.4 -10.0 18.2 17.9 4.6 17.9 13.8 -13.4 6.2 -0.9 6.2 1.3 6.5 4.4 -7.5 -4.1 7.9 18.4 18.5 11.3 3.0 -5.6 -5.6 DX 15.0 -6.9 -20.0 3.7 -8.2 3.1 -5.0 1.9 0.6 16.9 -11.1 15.4 2.5 2.6 -12.5 5.0 6.6 5.7 6.2 -7.8 -11.8 20.0 -5.4 8.9 -20.0 -2.8 10.0 -4.3 9.0 -2.0 3.1 14.0 20.0 11.3 -20.0 -20.0 -1.2 7.0 -2.2 9.8 EUR -9.3 1.4 12.6 4.2 -9.4 3.5 -5.7 2.1 0.7 -19.5 10.2 -17.9 -1.5 -7.5 9.9 -5.8 -7.0 -6.4 -6.7 4.2 8.2 -20.0 4.4 -8.8 20.0 2.6 -11.5 4.8 -10.4 3.4 -3.9 -8.8 -9.5 -15.2 -10.7 7.5 -0.8 -20.0 -7.3 -20.0 EURIBOR-ICE -14.5 5.8 20.0 1.4 -5.5 2.3 -4.0 1.3 -1.2 -6.8 6.5 -4.3 4.9 2.5 7.7 5.2 -1.9 2.6 0.3 8.0 8.6 -7.1 5.5 1.8 11.5 2.7 -4.3 2.8 -2.2 1.9 0.7 4.8 3.4 7.6 7.4 6.1 -17.7 -20.0 3.0 3.6 EUROSTX 12.9 6.0 -13.8 3.5 -0.4 4.6 1.2 6.5 3.0 -6.2 3.9 4.7 10.7 7.6 5.9 -3.6 -3.1 -4.2 -4.1 3.8 1.9 4.2 6.6 6.8 -2.3 1.8 0.5 1.4 2.5 4.9 3.6 4.2 8.2 3.7 0.1 -17.1 5.7 1.3 -19.9 -6.9 FEEDCOW 20.0 5.4 -20.0 0.2 1.4 -4.1 4.4 -4.8 4.7 20.0 -11.5 20.0 -13.7 18.1 -5.2 20.0 -9.7 18.2 5.4 -0.2 -19.6 20.0 -18.7 20.0 -9.1 -0.2 11.4 -4.6 10.7 -3.8 6.6 -8.9 20.0 20.0 2.0 -20.0 8.0 20.0 18.6 20.0 GASOIL 17.2 -8.9 -19.0 -1.7 8.2 -3.2 7.9 -1.7 3.1 14.2 -12.2 14.7 0.0 -0.8 -10.5 3.4 8.3 2.8 3.8 -9.5 -12.7 17.9 -6.0 4.1 3.8 -3.6 7.1 -4.8 6.2 -2.5 1.3 0.1 -2.0 -6.0 -8.0 -5.2 -4.3 -10.9 -3.7 -17.6 GASOLINE 20.0 -4.6 -15.8 -1.8 8.5 -3.3 8.2 -1.8 3.2 8.8 -8.3 13.1 0.9 3.6 -5.6 9.2 20.0 20.0 20.0 -3.4 -6.5 18.2 -1.5 7.8 -20.0 0.8 9.0 -2.0 10.4 -0.4 6.1 20.0 -6.2 5.0 9.4 9.1 6.4 14.9 12.4 20.0 GAS_US_mini 16.1 9.1 -1.3 -2.3 11.1 -4.3 10.7 -2.3 4.2 -14.2 -16.7 9.2 -20.0 13.3 -12.9 -20.0 -20.0 -20.0 -20.0 1.1 -10.5 2.8 -20.0 8.6 20.0 1.8 -7.0 -3.4 1.7 -8.6 5.2 -20.0 -20.0 -9.1 17.6 2.0 -7.0 -19.6 -3.3 -19.3 GBP -4.3 7.4 10.0 4.1 -9.0 3.4 -5.5 2.0 0.7 -18.1 16.2 -10.2 14.0 7.1 13.3 1.1 -0.4 0.4 -0.0 12.8 15.3 -16.5 12.2 0.7 -1.8 5.3 -8.7 6.4 -5.9 5.3 0.6 2.6 -12.7 -1.3 10.0 15.5 6.9 -20.0 10.1 -19.6 GOLD_micro 12.8 17.4 15.1 3.3 -4.9 0.2 0.1 -1.0 4.0 -15.0 20.0 11.2 19.6 16.3 19.1 -12.9 -13.3 -12.6 -12.6 20.0 20.0 5.3 20.0 20.0 -12.4 6.8 -4.2 6.3 1.0 6.2 5.4 -12.9 1.3 14.3 18.8 20.0 17.6 -1.5 12.7 4.0 HEATOIL 20.0 -4.5 -15.4 -1.9 8.9 -3.5 8.6 -1.8 3.4 9.0 -13.8 13.1 -5.8 0.5 -11.0 -5.6 3.9 -5.6 -3.0 -7.9 -12.6 20.0 -8.0 6.6 -20.0 -1.7 9.9 -4.8 10.3 -3.3 4.7 -9.6 2.4 -0.0 3.3 0.0 -8.1 4.4 -10.1 4.2 JGB-SGX-mini -1.8 9.4 16.5 1.3 -5.3 2.2 -3.9 1.3 -1.2 -7.3 5.1 -3.8 2.8 2.0 6.4 8.4 16.0 12.2 14.1 5.4 5.2 -5.5 2.6 0.8 -9.1 2.0 -4.0 1.8 -2.4 0.4 0.1 20.0 4.6 8.6 1.5 -2.3 -11.7 -6.3 -12.6 1.4 JPY -20.0 5.5 20.0 1.6 -3.5 1.3 -2.1 0.8 0.3 -6.6 3.7 -7.0 -2.9 -3.6 4.3 -10.0 -14.5 -11.4 -12.8 1.9 3.2 -10.7 -1.5 -5.1 20.0 0.9 -3.2 1.2 -3.3 -0.5 -1.5 -20.0 -4.9 -13.5 -7.5 7.3 -20.0 -20.0 -20.0 -20.0 LEANHOG 14.5 20.0 4.6 0.2 1.5 -4.3 4.6 -5.0 4.9 20.0 -3.8 20.0 -6.6 20.0 19.5 20.0 20.0 20.0 20.0 18.9 2.2 20.0 -11.2 20.0 4.7 5.9 8.2 0.9 9.2 -2.5 8.7 20.0 17.7 11.6 20.0 20.0 0.4 -5.3 6.4 2.2 LIVECOW 20.0 9.7 1.6 0.2 1.5 -4.4 4.8 -5.2 5.1 20.0 12.9 20.0 10.7 20.0 12.5 -1.4 8.9 5.2 9.1 20.0 13.1 20.0 11.2 20.0 -18.7 5.2 7.9 2.9 10.3 3.7 9.3 12.6 20.0 20.0 11.1 20.0 -1.2 20.0 8.4 20.0 LUMBER-new 10.7 5.5 4.8 0.1 0.9 -2.6 2.8 -3.0 3.1 3.6 -8.5 10.5 -10.0 6.2 6.4 -16.9 -17.9 -17.9 -17.9 1.6 -4.7 4.9 -9.0 5.1 NaN 2.2 1.3 -2.2 3.4 -5.5 4.0 -20.0 -3.5 -4.1 -0.6 12.2 2.2 -0.4 7.1 2.9 MILK -13.7 9.8 20.0 0.1 0.9 -2.5 2.6 -2.9 2.8 -11.7 12.0 -10.6 8.4 3.2 8.2 20.0 -3.9 20.0 14.1 11.2 16.3 -13.1 10.4 -1.2 13.9 3.2 -6.1 4.9 -4.4 2.9 -0.7 1.7 -20.0 -20.0 15.0 20.0 0.5 -20.0 8.7 -20.0 MXP 11.8 -5.8 -20.0 2.4 -5.3 2.0 -3.3 1.2 0.4 9.6 -9.2 6.9 -6.1 0.0 -6.9 10.3 13.5 10.4 11.5 -6.6 -11.5 6.0 -6.8 1.4 -20.0 -2.5 2.5 -4.5 2.4 -2.5 0.7 20.0 20.0 10.8 -15.7 -20.0 12.7 13.5 17.0 20.0 NASDAQ_micro 14.6 3.7 -20.0 2.7 -0.3 3.6 0.9 5.1 2.3 3.1 4.3 9.3 9.0 10.5 3.6 -7.4 -9.6 -7.8 -8.7 6.3 6.7 6.0 11.4 7.7 -20.0 3.4 2.2 3.9 2.2 6.3 3.3 -5.5 2.9 8.9 6.8 -0.3 3.2 3.7 -9.7 -1.1 NIKKEI 15.2 2.8 -20.0 1.5 -0.2 2.0 0.5 2.9 1.3 3.5 1.8 4.5 3.1 4.7 2.1 1.6 8.2 4.4 6.3 1.5 0.4 5.8 2.3 4.3 -5.9 -0.6 1.8 -0.9 1.8 1.0 1.0 20.0 9.2 3.8 -4.5 -11.1 12.8 2.8 12.6 2.5 NZD -1.8 10.9 4.8 2.6 -5.7 2.1 -3.5 1.3 0.4 -11.8 7.0 -8.0 2.5 4.0 8.0 -0.4 0.0 -0.2 -0.1 5.3 4.9 -11.5 2.1 -0.5 0.3 2.5 -7.5 2.1 -4.4 1.0 0.2 2.9 -6.6 -2.2 2.9 -2.4 4.0 -6.5 2.9 -0.9 OAT -13.5 3.0 11.1 2.0 -7.9 3.2 -5.7 1.9 -1.7 -10.4 2.8 -9.2 -0.7 -4.2 7.7 7.0 4.3 4.8 3.8 2.5 3.0 -8.6 -0.2 -2.6 3.5 1.7 -6.7 2.3 -4.6 1.2 -1.2 13.2 15.0 3.6 -1.0 -9.3 -14.1 -14.3 3.5 3.0 OATIES 14.7 20.0 9.4 0.2 1.2 -3.6 3.8 -4.2 4.1 10.2 -2.2 15.7 -14.0 18.4 12.5 3.1 2.6 3.9 3.9 20.0 8.3 20.0 -6.8 20.0 -20.0 5.4 1.9 1.9 4.8 -0.8 6.6 1.8 20.0 11.2 20.0 12.8 17.9 1.6 20.0 11.3 OJ -9.3 1.6 3.9 0.1 1.0 -2.9 3.2 -3.5 3.4 1.1 13.4 -5.9 14.8 6.1 9.2 11.1 12.1 11.5 11.0 11.5 17.8 0.5 20.0 3.7 -20.0 4.3 1.9 7.1 0.3 11.3 1.4 15.6 -8.5 -20.0 18.5 20.0 13.4 14.4 20.0 20.0 PALLAD 0.5 15.3 11.5 1.5 -2.3 0.1 0.0 -0.5 1.9 -2.9 1.0 -3.2 -5.6 1.5 3.2 -1.9 -2.0 -1.8 -1.9 3.9 1.4 -1.1 -4.1 2.0 14.7 1.9 -0.2 0.7 -0.3 -1.3 1.1 6.0 0.6 -3.5 -0.3 8.1 -15.9 -20.0 -20.0 -20.0 PLAT 7.5 4.8 -4.7 2.2 -3.3 0.1 0.1 -0.7 2.7 -10.6 -4.3 -1.4 -3.6 6.3 0.1 -4.0 -4.4 -4.4 -4.5 2.0 0.2 -4.3 -0.4 2.1 5.1 1.5 -7.5 -0.2 -2.2 -0.6 1.6 1.5 2.5 -7.0 -6.9 -1.4 -1.4 -7.0 -11.2 0.5 REDWHEAT 11.6 19.6 -7.1 0.2 1.3 -3.7 4.0 -4.4 4.3 7.2 -13.7 10.9 -18.0 13.9 -3.1 -10.5 -6.7 -10.3 -9.1 2.9 -8.7 16.0 -17.1 13.7 -5.2 1.0 5.0 -3.7 8.0 -6.3 6.2 -17.4 20.0 -2.4 4.3 -14.7 -20.0 -20.0 -20.0 -20.0 RICE 0.5 0.9 -10.3 0.2 1.3 -3.8 4.1 -4.5 4.4 -3.3 11.3 -6.6 13.9 1.4 -0.4 -10.9 20.0 2.0 20.0 0.2 2.4 -5.4 8.4 -1.7 -13.6 -0.9 -4.7 1.2 -4.5 3.5 -2.7 20.0 -20.0 -18.2 -10.0 8.6 -20.0 -20.0 -20.0 -20.0 ROBUSTA -14.7 1.6 5.1 0.1 0.6 -1.9 2.0 -2.2 2.1 -8.4 9.8 -4.8 10.0 5.2 8.0 20.0 20.0 20.0 20.0 12.8 16.5 -8.7 17.3 3.6 -20.0 3.1 -3.8 4.7 -2.4 6.1 0.6 20.0 -20.0 -3.5 19.4 20.0 10.5 -2.6 20.0 4.2 RUSSELL 7.1 4.3 5.2 3.1 -0.4 4.1 1.1 5.8 2.6 -3.2 6.1 3.9 10.4 6.1 4.9 -5.3 -6.3 -5.5 -5.9 5.8 7.2 -0.6 7.7 3.3 -0.6 4.4 -0.9 5.4 -0.1 5.4 2.2 -0.1 -7.4 0.6 1.8 13.5 1.0 -13.3 -11.0 -20.0 SHATZ -8.5 8.2 20.0 1.3 -5.0 2.1 -3.6 1.2 -1.1 -6.8 4.7 -3.9 -0.8 2.3 6.6 -20.0 -20.0 -20.0 -20.0 6.8 6.1 -6.1 0.6 1.9 6.2 2.4 -4.2 2.3 -2.0 0.7 0.7 -20.0 2.4 7.2 5.1 5.9 -20.0 -17.8 -10.8 -9.2 SILVER-mini 14.5 8.3 -4.3 2.4 -3.5 0.1 0.1 -0.7 2.9 -7.3 8.6 7.6 8.0 10.6 8.7 -6.0 -6.4 -6.1 -6.1 9.1 7.5 0.9 7.9 9.1 2.0 3.5 -5.1 2.3 0.3 2.4 3.5 -1.5 -1.7 7.5 7.0 3.9 7.3 -2.3 -0.1 10.2 SMI -2.1 -7.4 -7.6 3.7 -0.4 4.8 1.3 6.9 3.1 -13.3 9.8 -7.4 13.9 -5.6 3.2 0.4 0.1 -1.0 -1.1 -1.1 6.2 -5.9 12.5 -4.0 11.2 1.9 -3.6 7.0 -3.2 10.2 -1.5 9.5 0.9 -18.1 -12.3 1.0 -1.5 1.4 -16.7 -4.6 SOFR -20.0 -0.2 20.0 2.5 -9.9 4.1 -7.2 2.4 -2.1 -15.0 12.6 -15.3 9.7 -7.1 9.8 2.9 0.0 2.0 0.8 5.9 14.3 -20.0 9.8 -11.9 -6.7 0.7 -12.4 4.1 -10.2 3.7 -5.2 6.9 -11.9 -18.7 -7.6 -0.3 8.6 -12.6 20.0 11.2 SOYBEAN 17.0 13.7 -16.9 0.1 0.9 -2.6 2.8 -3.1 3.0 -11.8 -9.0 2.6 -11.1 9.2 -4.7 -1.7 1.0 -4.7 -3.6 -2.6 -13.5 -1.3 -17.3 4.3 -20.0 -1.5 -5.4 -5.3 -1.0 -6.2 1.1 -6.4 -9.2 -6.5 -0.7 -16.2 2.3 -13.9 10.1 -8.8 SOYMEAL 9.0 17.2 -0.8 0.1 0.7 -2.0 2.1 -2.4 2.3 -9.3 -5.4 -4.1 -8.5 4.6 -0.1 -0.8 3.0 -1.8 -0.3 1.6 -3.5 -4.0 -6.9 2.5 -18.9 0.6 -5.5 -1.5 -1.3 -2.3 1.4 -1.7 -2.6 -5.7 2.1 -3.8 -20.0 -20.0 -20.0 -20.0 SOYOIL 20.0 15.8 -2.9 0.1 0.6 -1.8 1.9 -2.1 2.0 -0.1 -5.1 7.1 -8.5 6.9 -2.5 -0.3 1.3 1.2 1.0 2.4 -3.6 7.1 -7.2 7.6 -19.7 1.5 0.1 -0.9 2.7 -2.1 3.3 -2.4 2.7 5.4 8.0 3.4 -1.5 -8.5 8.6 -3.1 SP400 13.3 7.0 -0.7 3.5 -0.4 4.7 1.2 6.7 3.0 -3.1 9.9 11.5 13.8 12.8 10.4 -6.2 -6.0 -6.1 -6.0 9.4 9.0 3.6 11.0 8.7 -12.3 5.4 -0.4 5.7 1.4 6.2 4.0 0.1 -5.7 8.6 7.5 11.0 5.6 -5.8 -8.0 -20.0 SP500_micro 12.4 9.1 -19.2 3.6 -0.4 4.8 1.2 6.8 3.1 4.2 15.0 13.8 16.4 15.6 15.3 -9.3 -11.6 -10.0 -10.9 14.7 16.7 7.1 20.0 12.8 -20.0 5.6 1.4 6.6 2.3 8.7 4.5 -9.1 0.9 11.4 15.8 9.7 7.6 3.2 -8.9 -2.9 SUGAR11 20.0 20.0 13.3 0.1 0.9 -2.7 2.9 -3.2 3.1 -12.0 2.4 10.4 -7.4 12.2 10.4 20.0 9.9 15.6 9.6 19.7 7.4 9.0 -1.6 20.0 -20.0 4.0 -1.1 1.4 1.8 -0.4 4.3 11.9 -11.4 20.0 20.0 20.0 -14.7 9.1 -12.2 12.5 US10 -20.0 0.2 20.0 1.9 -7.5 3.1 -5.4 1.8 -1.6 -11.4 9.1 -11.4 4.8 -5.2 7.2 -6.6 -7.3 -6.9 -7.0 3.7 9.1 -20.0 4.5 -9.2 1.9 0.5 -10.0 2.9 -8.1 2.3 -4.0 -5.9 -12.6 -11.7 -6.5 -1.5 3.3 -20.0 20.0 7.7 US10U -20.0 1.4 20.0 2.6 -10.5 4.3 -7.6 2.5 -2.3 -15.9 12.2 -16.1 4.9 -7.7 9.6 -4.7 -3.4 -4.4 -4.1 4.7 11.7 -20.0 5.1 -12.4 -1.3 0.3 -13.9 3.8 -11.3 3.0 -5.8 -0.2 -11.6 -14.3 -9.1 -6.0 3.9 -17.9 20.0 19.2 US2 -20.0 3.8 20.0 1.3 -5.2 2.2 -3.8 1.2 -1.1 -7.7 5.6 -7.5 1.5 -2.0 5.5 -20.0 -20.0 -20.0 -20.0 3.7 6.5 -17.0 1.8 -6.2 11.8 1.0 -6.3 2.1 -5.1 1.2 -2.0 -20.0 -18.2 -8.8 -1.3 5.9 -0.1 -20.0 6.1 -13.0 US20 -20.0 0.3 18.6 2.0 -8.0 3.3 -5.8 1.9 -1.7 -12.2 8.8 -12.7 5.5 -7.0 6.3 -2.6 -1.2 -1.9 -1.4 2.6 8.5 -20.0 4.4 -10.2 -3.4 -0.2 -10.3 2.8 -8.5 2.7 -4.8 4.3 -5.9 -11.5 -8.0 -7.0 4.9 -10.9 20.0 20.0 US30 -20.0 0.3 15.7 2.3 -9.1 3.8 -6.6 2.2 -2.0 -13.9 8.9 -14.5 3.3 -9.0 5.9 -4.5 -5.2 -5.2 -5.2 1.5 7.2 -20.0 2.5 -11.4 -2.3 -0.7 -11.4 2.6 -9.7 2.4 -5.7 -2.5 -1.9 -12.0 -9.3 -11.5 1.2 -9.8 20.0 20.0 US5 -20.0 0.4 20.0 1.8 -7.0 2.9 -5.1 1.7 -1.5 -10.7 8.4 -10.7 3.7 -4.5 7.0 -9.5 -10.8 -10.6 -10.7 3.7 8.6 -20.0 3.9 -9.0 5.9 0.7 -9.1 2.7 -7.5 2.0 -3.5 -12.0 -17.2 -12.7 -5.3 1.6 5.3 -20.0 20.0 1.0 VIX 2.1 3.0 20.0 1.9 2.6 1.0 2.7 -1.9 1.8 6.1 -5.8 5.4 -8.5 1.9 -5.0 8.3 -20.0 -6.4 -18.6 2.9 0.5 6.7 -4.9 4.5 NaN 2.1 3.0 1.1 3.1 -2.3 2.1 NaN NaN NaN NaN NaN -14.3 -20.0 NaN NaN WHEAT 14.0 20.0 -9.5 0.2 1.3 -3.7 3.9 -4.3 4.2 4.5 -11.6 9.9 -15.9 15.3 -1.2 -11.7 -14.7 -14.1 -14.9 5.1 -7.4 13.9 -15.8 14.9 4.0 1.7 3.5 -2.9 6.5 -5.1 6.2 -20.0 20.0 2.7 6.4 -14.2 -20.0 -19.1 -20.0 -16.3 End of report for caleb_strategy_v3