******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241010_203919 produced at 2024-10-10 21:38:05.614625 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 SOFR False True 0.09 0.00 -0.17 0.0 0.00 0.00 0.00 0.00 -2.00 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.08 0.0 0.00 0.00 0.00 0.00 -1.98 24.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.08 0.0 0.00 0.00 0.00 0.00 -1.14 13.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.07 0.0 0.76 -0.76 -0.03 -0.03 -2.69 29.0 -1 -1 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -29.69 59.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.06 0.0 0.10 -0.10 -0.04 -0.04 -6.96 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 -0.96 13.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.05 0.0 0.07 -0.07 -0.03 -0.03 -18.79 26.0 -9 -10 caleb_strategy_v3 VIX False False 0.01 -0.03 -0.04 0.0 999.00 -999.00 -0.03 -0.03 -5.80 999999999.0 -5 -5 caleb_strategy_v3 US5 False False 0.04 0.00 -0.03 0.0 0.97 -0.97 0.00 0.00 -0.66 25.0 0 0 caleb_strategy_v3 RICE False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -2.45 4.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.06 -0.03 0.0 0.52 -0.52 -0.06 -0.06 -0.90 17.0 -2 -2 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.03 0.0 0.69 -0.69 -0.05 -0.05 -0.64 14.0 -1 -1 caleb_strategy_v3 HEATOIL False False 0.04 0.00 -0.03 0.0 0.11 -0.11 0.00 0.00 -0.83 3.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.05 -0.03 0.0 0.55 -0.55 -0.05 -0.05 -3.80 60.0 -5 -5 caleb_strategy_v3 CAC True False 0.03 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.63 12.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.02 0.0 0.68 -0.68 0.00 0.00 -0.40 17.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 -0.02 0.0 999.00 -999.00 0.00 0.00 -0.53 999999999.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.17 -0.17 -0.01 -0.01 -6.26 51.0 -2 -2 caleb_strategy_v3 COTTON2 False False 0.01 -0.04 -0.02 0.0 0.14 -0.14 -0.04 -0.04 -1.79 11.0 -3 -3 caleb_strategy_v3 SOYBEAN False False 0.02 -0.06 -0.02 0.0 0.13 -0.13 -0.06 -0.06 -0.90 7.0 -3 -3 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -0.99 9.0 -1 -1 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.01 0.0 0.18 -0.18 0.00 0.00 -0.43 10.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -1.11 8.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.01 0.0 0.89 -0.89 0.00 0.00 -0.13 19.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.01 0.0 0.34 -0.34 -0.01 -0.01 -0.36 23.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.01 -0.01 0.0 0.11 -0.11 -0.01 -0.01 -0.94 9.0 -1 -1 caleb_strategy_v3 BUND False False 0.05 -0.05 -0.01 0.0 0.52 -0.52 -0.05 -0.05 -0.23 10.0 -1 -1 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 -0.50 4.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 -0.01 0.0 0.54 -0.54 0.00 0.00 -0.27 13.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.00 -0.01 0.0 0.27 -0.27 0.00 0.00 -0.16 6.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.00 0.0 0.27 -0.27 0.00 0.00 0.88 68.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.00 0.0 0.39 -0.39 0.02 0.02 0.28 23.0 1 1 caleb_strategy_v3 LUMBER-new False False 0.01 -0.01 -0.00 0.0 0.02 -0.02 -0.01 -0.01 -0.77 3.0 -2 -2 caleb_strategy_v3 COFFEE False False 0.03 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.03 6.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.11 9.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.26 10.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.04 -0.00 0.0 0.46 -0.46 0.04 0.04 -0.02 21.0 2 2 caleb_strategy_v3 COCOA False False 0.02 0.00 0.01 0.0 0.62 -0.62 0.00 0.00 0.46 26.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.01 0.0 0.08 -0.08 0.00 0.00 0.14 2.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.02 0.01 0.0 0.15 -0.15 0.02 0.02 1.23 18.0 3 3 caleb_strategy_v3 OATIES False True 0.01 0.00 0.01 0.0 0.00 0.00 0.00 0.00 1.88 2.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.01 0.0 0.39 -0.39 0.00 0.00 0.34 20.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.22 0.01 0.0 0.22 -0.22 0.22 0.22 0.12 2.0 2 2 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.07 -0.07 0.02 0.02 0.46 3.0 1 1 caleb_strategy_v3 GBP False False 0.03 0.00 0.02 0.0 0.64 -0.64 0.00 0.00 0.61 22.0 0 0 caleb_strategy_v3 MILK False False 0.02 0.02 0.02 0.0 0.08 -0.08 0.02 0.02 1.18 5.0 1 1 caleb_strategy_v3 FEEDCOW False False 0.04 0.04 0.02 0.0 0.35 -0.35 0.04 0.04 0.56 8.0 1 1 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.55 999999999.0 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 0.54 999999999.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.02 0.0 0.50 -0.50 0.00 0.00 1.50 48.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 0.03 0.0 0.46 -0.46 0.00 0.00 1.24 19.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.05 0.03 0.0 0.49 -0.49 0.05 0.05 0.52 10.0 1 1 caleb_strategy_v3 SMI False True 0.05 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.52 9.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.04 0.0 0.50 -0.50 0.00 0.00 5.19 66.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.00 0.04 0.0 0.13 -0.13 0.00 0.00 1.40 5.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.01 0.05 0.0 0.34 -0.34 0.01 0.01 5.23 36.0 1 1 caleb_strategy_v3 BTP False False 0.05 0.00 0.05 0.0 0.47 -0.47 0.00 0.00 1.13 10.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.02 0.06 0.0 0.53 -0.53 0.02 0.02 6.31 56.0 2 2 caleb_strategy_v3 COPPER False False 0.04 0.08 0.06 0.0 999.00 -999.00 0.08 0.08 1.41 999999999.0 2 2 caleb_strategy_v3 DAX False False 0.01 0.00 0.07 0.0 0.44 -0.44 0.00 0.00 9.32 58.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.11 0.0 0.15 -0.15 0.07 0.07 9.73 13.0 6 6 caleb_strategy_v3 LIVECOW False False 0.03 0.08 0.11 0.0 0.46 -0.46 0.08 0.08 4.03 17.0 3 3 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.31 0.15 0.0 0.55 -0.55 0.31 0.31 4.43 16.0 9 9 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.00 0.55 0.0 0.96 -0.96 0.00 0.00 5.74 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.0 Shocked risk 18.3 Sum abs risk 29.7 Leverage 2.64 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2787033.54, 'annual_cash_vol_target': 696758.385, 'daily_cash_vol_target': 43547.3990625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6734 0.6136 9.8180 BITCOIN 1535.4205 59380.0000 2.5858 41.3721 BOBL 0.2573 119.0800 0.2160 3.4568 BTP 0.4915 120.5700 0.4076 6.5222 BUND 0.4855 133.4300 0.3638 5.8212 BUXL 1.1912 133.9000 0.8896 14.2338 CAC 68.5824 7549.5000 0.9084 14.5350 CAD 0.0027 0.7282 0.3725 5.9592 CANOLA 8.6558 624.6000 1.3858 22.1730 CHF 0.0055 1.1750 0.4694 7.5099 COCOA 157.2934 6631.0000 2.3721 37.9535 COFFEE 4.9864 253.5500 1.9666 31.4663 COPPER 0.0608 4.4420 1.3692 21.9075 CORN 4.1897 450.7500 0.9295 14.8719 COTTON2 1.0028 72.6500 1.3803 22.0841 CRUDE_W 1.2564 70.7000 1.7771 28.4338 DAX 144.9266 19327.0000 0.7499 11.9979 DOW 252.9587 42634.0000 0.5933 9.4932 DX 0.3696 102.7600 0.3596 5.7542 EUR 0.0045 1.0951 0.4068 6.5092 EURIBOR-ICE 0.0477 97.8600 0.0487 0.7791 EUROSTX 44.4875 4990.0000 0.8915 14.2645 FEEDCOW 1.6366 247.3000 0.6618 10.5885 GASOIL 11.9808 708.2500 1.6916 27.0657 GASOLINE 0.0419 2.1057 1.9894 31.8303 GAS_US_mini 0.0844 3.1050 2.7174 43.4778 GBP 0.0066 1.3047 0.5029 8.0467 GOLD_micro 17.2142 2643.3000 0.6512 10.4198 HEATOIL 0.0429 2.3681 1.8096 28.9536 JGB-SGX-mini 0.2438 143.8900 0.1694 2.7112 JPY 0.0001 0.0068 0.8097 12.9558 LEANHOG 1.0032 80.3750 1.2482 19.9706 LIVECOW 1.1062 188.2500 0.5876 9.4024 LUMBER-new 8.3292 555.0000 1.5008 24.0121 MILK 0.2723 21.0800 1.2917 20.6677 MXP 0.0004 0.0507 0.8297 13.2749 NASDAQ_micro 175.5330 20419.2500 0.8596 13.7543 NIKKEI 620.2592 39285.0000 1.5789 25.2619 NZD 0.0044 0.6086 0.7243 11.5895 OAT 0.4630 125.8300 0.3679 5.8868 OATIES 5.5401 381.2500 1.4531 23.2501 OJ 8.3004 447.6000 1.8544 29.6709 PALLAD 24.7402 1075.0000 2.3014 36.8226 PLAT 15.9318 981.0000 1.6240 25.9846 REDWHEAT 9.5427 627.0000 1.5220 24.3515 RICE 0.1343 15.2400 0.8811 14.0976 ROBUSTA 92.4441 4751.0000 1.9458 31.1325 RUSSELL 22.0699 2196.6000 1.0047 16.0757 SHATZ 0.0932 106.7750 0.0873 1.3964 SILVER-mini 0.5136 31.4125 1.6350 26.1595 SMI 79.6695 12082.0000 0.6594 10.5505 SOFR 0.0586 96.5850 0.0607 0.9716 SOYBEAN 10.6260 1065.7500 0.9970 15.9527 SOYMEAL 4.8559 317.5000 1.5294 24.4709 SOYOIL 0.7402 43.8500 1.6880 27.0087 SP400 23.9443 3119.4000 0.7676 12.2815 SP500_micro 36.7778 5818.5000 0.6321 10.1134 SUGAR11 0.3393 20.5500 1.6512 26.4195 US10 0.3839 112.0625 0.3426 5.4810 US10U 0.5016 115.5469 0.4341 6.9451 US2 0.1250 103.3867 0.1209 1.9351 US20 0.7241 120.1875 0.6025 9.6395 US30 1.0841 127.6875 0.8490 13.5845 US5 0.2678 108.3438 0.2472 3.9553 VIX 0.6634 19.1500 3.4643 55.4296 WHEAT 8.6198 665.7500 1.2948 20.7161 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 673.40 0.61 413.22 1.00 413.22 43547.4 105.39 4.54 47.87 BITCOIN 59.38 2.59 153.54 1.00 153.54 43547.4 283.62 -9.67 -274.15 BOBL 1190.80 0.22 257.27 1.10 282.24 43547.4 154.29 -0.84 -12.95 BTP 1205.70 0.41 491.49 1.10 539.19 43547.4 80.76 4.09 33.07 BUND 1334.30 0.36 485.45 1.10 532.56 43547.4 81.77 -2.75 -22.49 BUXL 1339.00 0.89 1191.19 1.10 1306.80 43547.4 33.32 -3.30 -10.98 CAC 754.95 0.91 685.82 1.10 752.38 43547.4 57.88 -3.20 -18.53 CAD 728.20 0.37 271.22 1.00 271.22 43547.4 160.56 -6.45 -103.52 CANOLA 124.92 1.39 173.12 0.73 126.79 43547.4 343.46 -7.49 -257.22 CHF 1468.69 0.47 689.36 1.00 689.36 43547.4 63.17 -5.85 -36.92 COCOA 663.10 2.37 1572.93 1.00 1572.93 43547.4 27.69 7.70 21.32 COFFEE 950.81 1.97 1869.91 1.00 1869.91 43547.4 23.29 -0.98 -2.28 COPPER 1110.50 1.37 1520.52 1.00 1520.52 43547.4 28.64 4.54 12.99 CORN 225.38 0.93 209.48 1.00 209.48 43547.4 207.88 -13.76 -286.06 COTTON2 363.25 1.38 501.38 1.00 501.38 43547.4 86.86 -9.63 -83.61 CRUDE_W 707.00 1.78 1256.42 1.00 1256.42 43547.4 34.66 3.73 12.93 DAX 193.27 0.75 144.93 1.10 158.99 43547.4 273.90 9.98 273.25 DOW 213.17 0.59 126.48 1.00 126.48 43547.4 344.30 6.48 223.25 DX 1027.60 0.36 369.56 1.00 369.56 43547.4 117.84 -1.74 -20.49 EUR 1368.88 0.41 556.89 1.00 556.89 43547.4 78.20 -3.18 -24.86 EURIBOR-ICE 2446.50 0.05 119.13 1.10 130.69 43547.4 333.21 5.05 168.31 EUROSTX 499.00 0.89 444.88 1.10 488.05 43547.4 89.23 1.12 10.01 FEEDCOW 1236.50 0.66 818.30 1.00 818.30 43547.4 53.22 3.19 17.00 GASOIL 708.25 1.69 1198.08 1.00 1198.08 43547.4 36.35 -3.16 -11.49 GASOLINE 884.39 1.99 1759.41 1.00 1759.41 43547.4 24.75 5.17 12.80 GAS_US_mini 77.62 2.72 210.94 1.00 210.94 43547.4 206.45 -8.40 -173.51 GBP 815.44 0.50 410.10 1.00 410.10 43547.4 106.19 2.22 23.56 GOLD_micro 264.33 0.65 172.14 1.00 172.14 43547.4 252.97 7.31 185.01 HEATOIL 994.60 1.81 1799.83 1.00 1799.83 43547.4 24.20 -7.92 -19.16 JGB-SGX-mini 143890.00 0.17 24382.06 0.01 164.08 43547.4 265.40 1.54 40.92 JPY 847.56 0.81 686.31 1.00 686.31 43547.4 63.45 -5.45 -34.58 LEANHOG 321.50 1.25 401.28 1.00 401.28 43547.4 108.52 14.75 160.08 LIVECOW 753.00 0.59 442.50 1.00 442.50 43547.4 98.41 12.37 121.72 LUMBER-new 152.62 1.50 229.05 1.00 229.05 43547.4 190.12 -1.88 -35.73 MILK 421.60 1.29 544.59 1.00 544.59 43547.4 79.96 6.92 55.31 MXP 253.65 0.83 210.45 1.00 210.45 43547.4 206.93 -1.25 -25.86 NASDAQ_micro 408.38 0.86 351.07 1.00 351.07 43547.4 124.04 -1.23 -15.30 NIKKEI 39285.00 1.58 62025.92 0.01 417.40 43547.4 104.33 4.63 48.29 NZD 608.55 0.72 440.80 1.00 440.80 43547.4 98.79 -0.07 -0.68 OAT 1258.30 0.37 462.96 1.10 507.89 43547.4 85.74 1.77 15.20 OATIES 190.62 1.45 277.00 1.00 277.00 43547.4 157.21 4.91 77.23 OJ 671.40 1.85 1245.06 1.00 1245.06 43547.4 34.98 6.11 21.37 PALLAD 1075.00 2.30 2474.02 1.00 2474.02 43547.4 17.60 2.34 4.12 PLAT 490.50 1.62 796.59 1.00 796.59 43547.4 54.67 -2.31 -12.62 REDWHEAT 313.50 1.52 477.14 1.00 477.14 43547.4 91.27 -9.18 -83.79 RICE 304.80 0.88 268.56 1.00 268.56 43547.4 162.15 -6.22 -100.86 ROBUSTA 475.10 1.95 924.44 1.00 924.44 43547.4 47.11 5.02 23.64 RUSSELL 109.83 1.00 110.35 1.00 110.35 43547.4 394.63 0.67 26.43 SHATZ 1067.75 0.09 93.19 1.10 102.23 43547.4 425.96 -4.58 -194.89 SILVER-mini 785.31 1.63 1283.96 1.00 1283.96 43547.4 33.92 4.70 15.95 SMI 1208.20 0.66 796.70 1.17 928.79 43547.4 46.89 3.25 15.25 SOFR 2414.62 0.06 146.62 1.00 146.62 43547.4 297.00 -1.11 -32.88 SOYBEAN 532.88 1.00 531.30 1.00 531.30 43547.4 81.96 -11.80 -96.69 SOYMEAL 317.50 1.53 485.59 1.00 485.59 43547.4 89.68 -11.89 -106.60 SOYOIL 263.10 1.69 444.12 1.00 444.12 43547.4 98.05 -2.90 -28.39 SP400 3119.40 0.77 2394.43 1.00 2394.43 43547.4 18.19 2.04 3.71 SP500_micro 290.92 0.63 183.89 1.00 183.89 43547.4 236.81 2.72 64.44 SUGAR11 230.16 1.65 380.04 1.00 380.04 43547.4 114.59 5.04 57.73 US10 1120.62 0.34 383.89 1.00 383.89 43547.4 113.44 -2.81 -31.83 US10U 1155.47 0.43 501.55 1.00 501.55 43547.4 86.83 -2.46 -21.39 US2 2067.73 0.12 250.08 1.00 250.08 43547.4 174.14 -5.16 -89.87 US20 1201.88 0.60 724.09 1.00 724.09 43547.4 60.14 -1.38 -8.32 US30 1276.88 0.85 1084.11 1.00 1084.11 43547.4 40.17 -3.20 -12.86 US5 1083.44 0.25 267.83 1.00 267.83 43547.4 162.59 -3.18 -51.70 VIX 191.50 3.46 663.42 1.00 663.42 43547.4 65.64 -3.58 -23.50 WHEAT 332.88 1.29 430.99 1.00 430.99 43547.4 101.04 -7.03 -71.02 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 47.866 0.010 2.5 1.242 BITCOIN -274.149 0.043 2.5 -29.687 BOBL -12.952 0.004 2.5 -0.131 BTP 33.065 0.014 2.5 1.128 BUND -22.490 0.004 2.5 -0.228 BUXL -10.982 0.004 2.5 -0.111 CAC -18.532 0.014 2.5 -0.632 CAD -103.525 0.010 2.5 -2.686 CANOLA -257.220 0.010 2.5 -6.258 CHF -36.924 0.010 2.5 -0.958 COCOA 21.317 0.009 2.5 0.457 COFFEE -2.282 0.005 2.5 -0.027 COPPER 12.990 0.043 2.5 1.407 CORN -286.061 0.010 2.5 -6.959 COTTON2 -83.606 0.009 2.5 -1.791 CRUDE_W 12.935 0.043 2.5 1.401 DAX 273.250 0.014 2.5 9.320 DOW 223.248 0.009 2.5 5.188 DX -20.489 0.010 2.5 -0.532 EUR -24.857 0.010 2.5 -0.645 EURIBOR-ICE 168.310 0.014 2.5 5.741 EUROSTX 10.010 0.014 2.5 0.341 FEEDCOW 17.001 0.013 2.5 0.563 GASOIL -11.487 0.017 2.5 -0.498 GASOLINE 12.798 0.017 2.5 0.555 GAS_US_mini -173.513 0.043 2.5 -18.789 GBP 23.556 0.010 2.5 0.611 GOLD_micro 185.012 0.014 2.5 6.310 HEATOIL -19.156 0.017 2.5 -0.830 JGB-SGX-mini 40.918 0.043 2.5 4.431 JPY -34.580 0.010 2.5 -0.897 LEANHOG 160.076 0.024 2.5 9.728 LIVECOW 121.716 0.013 2.5 4.033 LUMBER-new -35.730 0.009 2.5 -0.765 MILK 55.311 0.009 2.5 1.185 MXP -25.860 0.059 2.5 -3.796 NASDAQ_micro -15.304 0.009 2.5 -0.356 NIKKEI 48.288 0.043 2.5 5.229 NZD -0.682 0.010 2.5 -0.018 OAT 15.200 0.014 2.5 0.518 OATIES 77.230 0.010 2.5 1.879 OJ 21.370 0.009 2.5 0.458 PALLAD 4.116 0.014 2.5 0.140 PLAT -12.617 0.014 2.5 -0.430 REDWHEAT -83.786 0.005 2.5 -1.111 RICE -100.862 0.010 2.5 -2.454 ROBUSTA 23.639 0.005 2.5 0.276 RUSSELL 26.429 0.013 2.5 0.876 SHATZ -194.892 0.004 2.5 -1.976 SILVER-mini 15.946 0.014 2.5 0.544 SMI 15.249 0.014 2.5 0.520 SOFR -32.877 0.024 2.5 -1.998 SOYBEAN -96.686 0.004 2.5 -0.899 SOYMEAL -106.595 0.004 2.5 -0.991 SOYOIL -28.388 0.004 2.5 -0.264 SP400 3.710 0.013 2.5 0.123 SP500_micro 64.443 0.009 2.5 1.498 SUGAR11 57.727 0.009 2.5 1.228 US10 -31.833 0.005 2.5 -0.403 US10U -21.389 0.005 2.5 -0.271 US2 -89.867 0.005 2.5 -1.139 US20 -8.323 0.005 2.5 -0.105 US30 -12.858 0.005 2.5 -0.163 US5 -51.703 0.005 2.5 -0.655 VIX -23.503 0.099 2.5 -5.801 WHEAT -71.021 0.005 2.5 -0.942 ===================== Position diags ===================== AUD 2.73 BITCOIN 30.71 BOBL 1.56 BTP 2.75 BUND 0.83 BUXL 0.34 CAC 1.97 CAD 4.17 CANOLA 8.36 CHF 1.64 COCOA 0.59 COFFEE 0.27 COPPER 3.10 CORN 5.06 COTTON2 1.86 CRUDE_W 3.75 DAX 9.34 DOW 8.00 DX 3.06 EUR 2.03 EURIBOR-ICE 11.37 EUROSTX 3.04 FEEDCOW 1.76 GASOIL 1.58 GASOLINE 1.07 GAS_US_mini 22.36 GBP 2.76 GOLD_micro 8.63 HEATOIL 1.05 JGB-SGX-mini 28.74 JPY 1.65 LEANHOG 6.60 LIVECOW 3.26 LUMBER-new 4.07 MILK 1.71 MXP 30.37 NASDAQ_micro 2.88 NIKKEI 11.30 NZD 2.56 OAT 2.92 OATIES 3.82 OJ 0.75 PALLAD 0.60 PLAT 1.86 REDWHEAT 1.21 RICE 3.94 ROBUSTA 0.55 RUSSELL 13.08 SHATZ 4.32 SILVER-mini 1.16 SMI 1.60 SOFR 18.05 SOYBEAN 0.76 SOYMEAL 0.83 SOYOIL 0.91 SP400 0.60 SP500_micro 5.50 SUGAR11 2.44 US10 1.44 US10U 1.10 US2 2.21 US20 0.76 US30 0.51 US5 2.06 VIX 16.20 WHEAT 1.34 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.2 1.0 1.5 0.0 0 BITCOIN -29.7 -32.8 -26.6 0.0 0 BOBL -0.1 -0.3 0.0 0.0 0 BTP 1.1 0.9 1.4 0.0 0 BUND -0.2 -0.3 -0.1 -1.0 -1 BUXL -0.1 -0.1 -0.1 0.0 0 CAC -0.6 -0.8 -0.4 0.0 0 CAD -2.7 -3.1 -2.3 -1.0 -1 CANOLA -6.3 -7.1 -5.4 -2.0 -2 CHF -1.0 -1.1 -0.8 0.0 0 COCOA 0.5 0.4 0.5 0.0 0 COFFEE -0.0 -0.1 0.0 0.0 0 COPPER 1.4 1.1 1.7 2.0 2 CORN -7.0 -7.5 -6.5 -5.0 -5 COTTON2 -1.8 -2.0 -1.6 -3.0 -3 CRUDE_W 1.4 1.0 1.8 0.0 0 DAX 9.3 8.4 10.3 0.0 0 DOW 5.2 4.4 6.0 0.0 0 DX -0.5 -0.8 -0.2 0.0 0 EUR -0.6 -0.8 -0.4 -1.0 -1 EURIBOR-ICE 5.7 4.6 6.9 0.0 0 EUROSTX 0.3 0.0 0.6 0.0 0 FEEDCOW 0.6 0.4 0.7 1.0 1 GASOIL -0.5 -0.7 -0.3 0.0 0 GASOLINE 0.6 0.4 0.7 0.0 0 GAS_US_mini -18.8 -21.0 -16.6 -9.0 -9 GBP 0.6 0.3 0.9 0.0 0 GOLD_micro 6.3 5.4 7.2 2.0 2 HEATOIL -0.8 -0.9 -0.7 0.0 0 JGB-SGX-mini 4.4 1.6 7.3 9.0 9 JPY -0.9 -1.1 -0.7 -2.0 -2 LEANHOG 9.7 9.1 10.4 6.0 6 LIVECOW 4.0 3.7 4.4 3.0 3 LUMBER-new -0.8 -1.2 -0.4 -2.0 -2 MILK 1.2 1.0 1.4 1.0 1 MXP -3.8 -6.8 -0.8 -5.0 -5 NASDAQ_micro -0.4 -0.6 -0.1 -1.0 -1 NIKKEI 5.2 4.1 6.4 1.0 1 NZD -0.0 -0.3 0.2 2.0 2 OAT 0.5 0.2 0.8 1.0 1 OATIES 1.9 1.5 2.3 NaN 0 OJ 0.5 0.4 0.5 1.0 1 PALLAD 0.1 0.1 0.2 0.0 0 PLAT -0.4 -0.6 -0.2 0.0 0 REDWHEAT -1.1 -1.2 -1.0 0.0 0 RICE -2.5 -2.8 -2.1 NaN 0 ROBUSTA 0.3 0.2 0.3 1.0 1 RUSSELL 0.9 -0.4 2.2 0.0 0 SHATZ -2.0 -2.4 -1.5 NaN 0 SILVER-mini 0.5 0.4 0.7 0.0 0 SMI 0.5 0.4 0.7 0.0 0 SOFR -2.0 -3.8 -0.2 NaN 0 SOYBEAN -0.9 -1.0 -0.8 -3.0 -3 SOYMEAL -1.0 -1.1 -0.9 -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 1.5 0.9 2.0 0.0 0 SUGAR11 1.2 1.0 1.5 3.0 3 US10 -0.4 -0.5 -0.3 0.0 0 US10U -0.3 -0.4 -0.2 0.0 0 US2 -1.1 -1.4 -0.9 NaN 0 US20 -0.1 -0.2 -0.0 0.0 0 US30 -0.2 -0.2 -0.1 0.0 0 US5 -0.7 -0.9 -0.4 0.0 0 VIX -5.8 -7.4 -4.2 -5.0 -5 WHEAT -0.9 -1.1 -0.8 -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 0.1 0.2 0.1 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -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 0.3 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.0 -0.0 0.3 0.2 0.0 0.4 -0.2 0.6 -0.0 BITCOIN 0.3 -0.1 -0.5 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.2 -0.1 -0.1 0.3 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 0.2 -0.0 -2.7 -0.0 -0.1 -0.0 -0.1 0.3 -0.0 -0.1 -0.2 -0.3 -0.6 -0.4 0.0 -0.1 -0.0 0.1 BOBL -0.4 0.1 0.6 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.0 0.1 0.3 -0.2 0.0 -0.1 0.0 0.1 -0.1 0.0 -0.0 0.5 0.0 -0.0 0.1 -0.0 0.0 -0.0 -0.4 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 0.4 -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 0.6 0.0 -0.7 -0.4 0.0 0.3 BUND -0.4 0.0 0.5 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.1 0.1 -0.0 0.1 -0.4 -0.1 -0.3 -0.2 0.0 0.1 -0.1 0.1 -0.0 0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.3 0.3 0.0 -0.1 -0.7 -0.6 -0.1 -0.1 BUXL -0.4 -0.1 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.1 -0.1 0.0 -0.1 0.1 0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 -0.0 -0.0 -0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 0.5 0.3 -0.1 -0.3 -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 -0.1 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 -0.3 -0.1 -0.1 -0.6 0.3 0.2 -0.1 -0.0 CAD -0.2 0.2 0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.1 -0.2 -0.4 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.2 -0.1 -0.1 -0.2 0.0 -0.2 0.0 -0.2 -0.0 -0.1 -0.2 -0.5 -0.5 -0.2 -0.1 0.2 -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 0.0 -0.2 0.1 -1.9 0.0 -0.0 -0.0 0.0 -0.1 0.0 -1.1 -0.0 0.1 0.2 0.0 -0.2 -0.4 0.1 -0.2 CHF -0.6 0.1 0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.1 -0.0 -0.0 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.1 -0.1 0.1 -0.1 0.5 0.0 -0.0 0.1 -0.1 0.1 -0.0 -1.1 0.1 -0.4 -0.3 0.4 -0.2 -0.4 -0.5 -0.4 COCOA 0.1 -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 -0.0 -0.1 0.1 0.2 0.7 0.5 0.7 0.7 COFFEE -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 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 -0.1 0.4 0.0 -2.7 0.0 -0.0 0.2 -0.0 0.3 -0.0 0.3 -0.5 -0.2 0.3 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 0.0 -0.0 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.0 0.1 0.1 -1.9 0.0 -0.0 0.0 0.0 0.0 0.0 0.2 -0.0 0.5 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 0.1 -0.1 -0.4 0.1 -0.7 0.2 -0.1 -0.2 -0.3 -0.3 -0.3 -0.0 -0.2 0.0 -0.5 0.1 -1.8 -0.0 -0.0 -0.3 0.0 -0.5 0.0 -1.1 -0.0 -0.3 -0.0 -0.6 0.1 -0.1 0.2 0.0 COTTON2 0.4 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 -0.4 0.1 -2.7 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.8 -0.2 0.1 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 0.1 0.2 0.2 0.2 -0.0 -0.1 0.1 -0.1 0.1 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.6 -0.2 -0.2 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 -0.0 0.3 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 1.3 0.0 0.0 0.1 0.0 0.2 0.1 -0.3 0.2 0.3 0.4 -0.2 0.5 0.2 0.1 0.0 DOW 0.2 0.4 0.1 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 0.1 0.5 0.2 -1.8 0.1 0.0 0.2 0.0 0.2 0.1 -0.4 0.2 0.3 0.6 0.6 0.4 0.1 -0.2 -0.2 DX 0.6 -0.1 -0.6 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 0.2 -2.7 -0.0 0.1 -0.1 0.1 -0.1 0.1 0.7 0.5 0.6 -0.6 -0.6 -0.0 0.2 -0.1 0.3 EUR -0.4 -0.1 0.4 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 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 -0.2 2.7 0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.5 -0.4 -0.5 -0.4 0.2 -0.1 -0.7 -0.3 -0.7 EURIBOR-ICE -0.5 0.1 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 0.1 -0.0 0.1 0.0 0.1 0.1 -0.1 0.2 -0.0 1.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.3 0.1 0.2 0.3 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 -0.0 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 -0.0 0.2 0.0 -0.5 0.2 0.0 -0.7 -0.2 FEEDCOW 0.6 0.3 -0.6 0.0 0.0 -0.1 0.1 -0.2 0.1 0.2 -0.3 0.2 -0.5 0.2 -0.0 0.4 -0.2 0.4 0.1 0.0 -0.2 0.2 -0.5 0.2 -1.3 0.0 0.1 -0.1 0.1 -0.1 0.1 -0.4 0.5 0.6 0.2 -0.6 0.3 0.7 0.7 0.7 GASOIL 0.6 -0.2 -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 0.1 -0.2 0.1 0.5 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.0 -0.2 -0.2 -0.3 -0.2 -0.2 -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 0.1 -0.0 0.2 0.4 0.4 0.4 -0.0 -0.1 0.1 -0.0 0.1 -2.7 0.0 0.1 -0.0 0.1 -0.0 0.1 1.1 -0.0 0.1 0.3 0.3 0.2 0.5 0.4 0.7 GAS_US_mini 0.4 0.3 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.1 -0.2 -0.5 -0.0 -0.7 0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 -0.1 -0.5 0.0 2.7 0.0 -0.1 -0.1 -0.1 -0.3 0.0 -1.1 -0.5 -0.6 0.3 0.0 -0.3 -0.7 -0.1 -0.6 GBP -0.3 0.1 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.4 -0.2 0.5 0.0 0.1 0.0 -0.0 0.0 0.0 0.1 0.2 -0.2 0.3 -0.0 -0.3 0.0 -0.1 0.2 -0.1 0.2 -0.0 0.1 -0.4 0.1 0.3 0.5 0.2 -0.7 0.3 -0.7 GOLD_micro 0.3 0.5 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.5 0.0 0.7 0.1 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 0.0 -0.7 -0.1 0.5 0.6 0.6 0.6 -0.0 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 -0.3 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 -0.0 -0.0 0.1 0.0 -0.3 0.1 -0.3 0.1 JGB-SGX-mini -0.2 0.2 0.5 0.0 -0.0 0.1 -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 0.1 -0.1 0.1 -0.0 -1.2 0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 -0.0 0.3 0.0 -0.1 -0.4 -0.2 -0.4 0.0 JPY -0.6 0.1 0.6 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.0 -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 -0.0 -0.5 -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 0.1 -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 0.0 0.0 0.1 -0.1 0.1 1.1 0.5 0.4 0.6 0.6 0.0 -0.2 0.2 0.1 LIVECOW 0.6 0.4 0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 0.2 0.4 0.2 0.4 0.2 0.2 0.0 0.2 0.1 0.2 0.2 0.2 0.2 0.3 0.2 -2.6 0.1 0.1 0.1 0.1 0.1 0.1 0.7 0.5 0.6 0.4 0.6 -0.1 0.7 0.3 0.7 LUMBER-new 0.4 0.3 0.2 0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.3 0.2 -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 0.1 -0.1 0.1 -0.2 0.1 -1.2 0.2 0.1 -0.1 0.5 0.1 -0.0 0.3 0.1 MILK -0.6 0.3 0.6 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 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 1.9 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.2 -0.3 -0.6 0.3 0.6 0.0 -0.7 0.3 -0.7 MXP 0.3 -0.2 -0.6 0.0 -0.1 0.1 -0.1 0.0 -0.0 0.0 -0.3 0.0 -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 0.5 0.3 -0.5 -0.6 0.4 0.5 0.6 0.7 NASDAQ_micro 0.5 0.2 -0.5 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.1 0.1 0.3 0.1 0.0 -0.2 -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 0.2 0.2 -0.0 0.1 0.1 -0.3 -0.0 NIKKEI 0.6 0.1 -0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.1 0.1 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 0.1 0.1 -0.1 -0.3 0.4 0.1 0.4 0.1 NZD -0.2 0.2 0.1 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 0.0 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.2 -0.3 -0.1 0.1 -0.1 0.1 -0.2 0.1 -0.0 OAT -0.5 0.1 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 0.1 0.2 0.1 0.1 0.1 0.0 0.0 -0.1 -0.0 -0.1 0.5 0.0 -0.0 0.1 -0.1 0.0 -0.0 0.7 0.4 0.2 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 -0.0 0.1 -0.5 0.2 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.1 -0.2 0.2 -2.7 0.1 -0.0 0.1 0.0 -0.0 0.1 0.1 0.1 0.1 0.6 0.5 0.6 0.1 0.7 0.4 OJ -0.5 0.1 0.1 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.4 -0.1 0.5 0.0 0.1 0.2 0.2 0.2 0.2 0.1 0.2 -0.1 0.5 0.0 -2.7 0.0 -0.1 0.2 -0.0 0.4 0.0 0.8 -0.4 -0.6 0.4 0.6 0.5 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 0.1 0.0 -0.0 -0.2 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.0 -0.1 0.0 2.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.3 0.3 -0.1 0.0 0.3 -0.5 -0.7 -0.7 -0.7 PLAT 0.1 0.1 -0.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.7 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.0 -0.3 -0.2 -0.1 -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 -0.7 0.2 0.0 -0.2 -0.1 -0.2 -0.2 0.1 -0.1 0.2 -0.5 0.2 -0.7 0.0 0.1 -0.1 0.1 -0.2 0.1 -0.9 0.5 0.0 0.2 -0.4 -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 0.1 -0.1 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 -1.9 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.1 0.1 -0.6 -0.4 0.2 -0.7 -0.7 -0.7 -0.7 ROBUSTA -0.6 0.0 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.2 -0.1 0.3 0.0 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 -0.2 0.5 0.6 0.4 -0.1 0.7 0.1 RUSSELL 0.1 0.1 0.2 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 0.2 -0.0 0.2 0.0 -0.0 -0.1 -0.1 0.1 0.5 0.0 -0.4 -0.4 -0.7 SHATZ -0.3 0.2 0.6 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 -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 0.0 0.2 0.2 0.2 -0.7 -0.6 -0.3 -0.3 SILVER-mini 0.3 0.2 -0.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.2 0.0 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 0.3 0.2 0.1 0.2 -0.1 -0.0 0.3 SMI -0.0 -0.3 -0.2 0.0 0.0 0.1 0.0 0.3 0.0 -0.1 0.3 -0.0 0.5 -0.1 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.3 -0.0 1.5 0.0 0.0 0.2 -0.0 0.4 -0.0 0.5 -0.2 -0.5 -0.5 0.0 -0.1 0.1 -0.6 -0.2 SOFR -0.6 -0.2 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 0.0 0.1 -0.2 0.2 -0.2 -0.9 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.4 -0.3 -0.6 -0.3 -0.1 0.3 -0.4 0.7 0.4 SOYBEAN 0.5 0.5 -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 -0.2 -0.0 -0.5 0.0 -2.7 -0.0 -0.0 -0.2 -0.0 -0.2 0.0 -0.3 -0.3 -0.2 -0.0 -0.5 0.1 -0.4 0.4 -0.3 SOYMEAL 0.2 0.5 0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.3 0.0 -0.0 -0.0 0.1 -0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.0 -2.4 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 -0.3 0.0 -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 0.0 -0.2 0.1 -2.6 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 0.3 0.1 -0.0 -0.3 0.3 -0.1 SP400 0.3 0.2 0.1 0.0 0.0 0.1 0.0 0.3 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 -1.7 0.1 -0.0 0.2 0.0 0.2 0.0 0.0 -0.0 0.2 0.3 0.4 0.2 -0.2 -0.3 -0.7 SP500_micro 0.4 0.3 -0.5 0.0 0.0 0.1 0.0 0.3 0.0 0.1 0.4 0.2 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.3 0.1 -0.5 0.2 0.3 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 0.4 0.2 0.2 0.1 0.0 -0.0 0.2 -2.7 0.0 -0.0 0.0 0.0 -0.0 0.0 0.7 -0.5 0.6 0.6 0.6 -0.5 0.3 -0.4 0.4 US10 -0.6 -0.1 0.6 0.0 -0.0 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 0.2 -0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.3 -0.3 -0.4 -0.2 -0.1 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 0.0 0.1 -0.2 0.1 -0.2 -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 -0.0 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 -0.4 -0.4 -0.4 -0.4 0.0 0.1 -0.2 0.0 -0.1 1.5 0.0 -0.0 0.0 -0.1 0.0 -0.0 -1.1 -0.4 -0.3 -0.1 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 0.2 -0.1 0.2 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 0.1 -0.2 -0.4 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.2 -0.2 -0.4 -0.3 -0.3 0.1 -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 0.2 -0.2 0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.2 0.1 -0.2 -0.3 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.3 -0.3 -0.4 0.0 -0.3 0.7 0.7 US5 -0.6 -0.1 0.6 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.1 0.1 -0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.2 0.1 -0.1 0.7 -0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.6 -0.4 -0.4 -0.2 0.0 0.2 -0.7 0.7 0.0 VIX 0.2 0.2 1.0 0.0 0.0 0.1 0.0 -0.1 0.0 0.0 -0.3 0.1 -0.5 0.1 -0.1 0.3 -0.6 -0.2 -0.6 0.1 0.0 0.1 -0.2 0.1 NaN 0.0 0.0 0.1 0.0 -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 0.1 -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 0.6 0.0 0.0 -0.1 0.1 -0.2 0.1 -1.1 0.4 0.1 0.2 -0.4 -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 2.3 6.6 4.4 2.5 -8.1 2.7 -6.7 1.8 -1.4 -15.2 10.8 -8.2 3.6 3.3 10.2 0.1 -2.0 -0.6 -1.3 6.9 6.9 -13.2 3.5 -0.2 2.2 3.2 -8.2 3.2 -5.7 1.8 0.1 -0.0 -0.9 9.5 5.2 1.0 11.3 -6.1 17.0 -0.3 BITCOIN 8.6 -1.7 -14.6 3.3 -3.3 0.2 -1.4 -1.1 3.0 -18.5 -4.8 -5.4 8.1 6.0 -2.5 -6.6 -6.8 -6.2 -6.4 -2.3 -1.8 -9.4 7.9 -1.6 -20.0 -2.2 -11.9 -0.6 -5.8 8.1 -1.7 -2.2 -8.3 -10.4 -20.0 -11.9 0.5 -2.6 -1.4 2.0 BOBL -11.1 3.2 19.3 0.9 -4.5 2.3 -4.7 1.4 -2.2 -9.1 5.2 -8.3 -1.0 -1.1 6.5 15.7 -9.2 1.3 -6.0 4.3 5.4 -9.4 1.4 -2.3 4.0 2.1 -4.4 2.7 -3.9 1.3 -0.8 -7.8 4.7 7.7 2.8 0.6 -20.0 -18.2 -3.4 -3.9 BTP -3.3 6.1 12.4 1.7 -8.3 4.2 -8.7 2.6 -4.1 -14.7 16.3 -12.1 17.3 7.2 16.2 7.2 4.6 5.3 4.3 14.0 15.4 -5.4 13.8 5.7 -20.0 6.1 -3.5 6.5 -2.0 5.9 2.7 13.8 20.0 20.0 17.3 0.6 -20.0 -12.7 1.4 8.8 BUND -10.8 1.0 14.9 1.1 -5.3 2.7 -5.6 1.7 -2.6 -11.3 6.6 -10.6 1.6 -2.0 7.5 -20.0 -3.9 -12.9 -7.8 3.8 5.7 -9.9 2.2 -3.0 1.2 2.2 -5.6 3.3 -4.8 2.3 -1.2 -3.2 11.5 9.9 1.2 -3.2 -20.0 -17.6 -3.3 -2.6 BUXL -10.9 -1.6 10.3 1.3 -6.2 3.2 -6.5 2.0 -3.1 -13.1 5.3 -12.6 1.1 -5.3 6.7 0.2 -1.8 -0.5 -1.4 0.9 2.9 -9.3 -0.2 -4.5 -2.3 1.0 -6.0 2.8 -5.3 2.0 -2.3 3.5 20.0 10.3 -2.8 -10.5 -20.0 -20.0 -5.9 -5.9 CAC 11.1 8.6 -13.1 3.6 0.9 4.8 1.7 6.7 3.0 -9.0 -6.3 -5.8 0.5 0.4 0.2 -5.9 -3.0 -5.8 -4.4 -1.6 -4.8 -2.1 -1.5 0.5 -6.5 -0.5 -1.3 -2.2 -0.4 0.3 1.1 4.4 -12.3 -4.1 -4.4 -20.0 8.7 5.2 -3.1 -0.4 CAD -7.7 4.7 6.5 3.4 -10.8 3.6 -9.0 2.4 -1.9 -20.0 2.5 -20.0 -12.0 -7.3 6.3 -4.4 -3.7 -4.4 -4.2 -0.1 1.3 -20.0 -3.4 -12.5 -1.2 0.9 -20.0 1.5 -14.7 -0.9 -5.4 -3.8 -20.0 -14.4 -5.0 -2.7 7.5 -8.0 2.7 -3.9 CANOLA 20.0 9.4 -0.2 0.3 1.1 -1.4 1.7 -1.7 1.8 -1.2 -3.0 6.2 -6.6 6.0 -0.6 -13.4 -11.2 -13.0 -13.0 1.2 -3.5 4.2 -6.4 5.6 -14.2 1.2 -1.1 -1.0 1.1 -3.0 2.3 -20.0 -0.9 1.9 5.0 1.0 -5.0 -11.5 3.2 -7.2 CHF -18.4 1.9 20.0 2.1 -6.8 2.3 -5.6 1.5 -1.2 -10.7 8.0 -12.1 -0.4 -2.7 8.5 -14.1 -16.0 -14.7 -15.3 4.7 8.5 -13.8 4.1 -6.6 4.0 2.1 -4.5 3.9 -5.4 2.3 -2.6 -20.0 2.7 -11.7 -8.1 13.6 -6.4 -11.1 -15.2 -11.7 COCOA 2.3 -0.1 6.6 0.2 1.0 -1.2 1.5 -1.5 1.6 2.9 1.6 0.5 3.2 1.2 0.2 20.0 20.0 20.0 20.0 2.0 4.6 4.0 10.0 2.0 -20.0 1.8 4.7 4.1 2.1 9.1 1.4 20.0 -2.1 -1.8 4.4 5.0 20.0 14.0 20.0 19.8 COFFEE -8.2 -1.6 3.9 0.5 2.2 -2.7 3.4 -3.5 3.6 -5.0 13.7 -6.8 14.4 2.3 8.5 2.8 5.6 3.6 4.5 9.0 14.1 -6.9 15.4 0.6 -20.0 3.6 -1.5 5.9 -3.4 7.4 -0.1 5.2 -20.0 -7.7 9.8 20.0 -5.4 -7.9 5.4 -1.5 COPPER 20.0 13.4 -12.3 1.8 -1.8 0.1 -0.7 -0.6 1.6 -8.7 -1.6 2.6 -0.0 6.6 3.4 -3.3 -3.0 -3.2 -2.8 6.6 2.9 -0.2 3.3 8.0 -14.1 2.8 -2.1 1.5 0.4 1.4 3.0 4.3 -0.6 15.1 11.6 0.6 20.0 9.3 19.6 20.0 CORN 11.9 13.3 -16.0 0.7 3.0 -3.7 4.6 -4.7 4.9 -13.9 -14.7 8.5 -20.0 17.1 -9.2 -10.5 -15.2 -15.8 -17.0 -2.2 -20.0 2.2 -20.0 7.4 -13.2 -2.0 -4.6 -9.6 0.6 -14.2 2.8 -20.0 -0.4 -8.7 -1.4 -20.0 2.1 -4.1 6.5 0.1 COTTON2 11.2 20.0 1.4 0.5 2.2 -2.7 3.4 -3.5 3.6 -8.4 -13.2 6.4 -13.5 11.0 4.4 -12.3 -4.7 -11.0 -8.2 4.0 -6.5 0.6 -13.3 6.3 -20.0 2.4 -1.8 -1.3 0.1 -2.5 3.0 -14.6 -7.2 2.1 10.0 8.7 -13.7 -12.0 -5.5 -6.6 CRUDE_W 18.6 -5.8 -17.5 -0.8 6.7 -2.8 7.2 -1.6 3.9 9.2 -6.5 11.1 1.8 3.8 -5.7 6.8 12.0 10.2 11.5 -3.8 -6.6 12.4 -2.4 5.8 -1.5 -0.3 5.7 -3.2 6.9 -1.7 4.5 10.3 -9.3 -4.8 5.7 3.4 -0.6 10.9 0.6 16.1 DAX 11.2 11.5 -5.0 4.0 1.0 5.3 1.9 7.4 3.3 -3.7 11.2 6.1 14.7 11.2 13.3 -7.8 -10.0 -8.3 -9.1 12.6 10.0 7.8 11.9 12.9 9.6 4.6 2.0 4.0 3.3 5.9 5.1 -6.2 6.5 10.0 11.4 -6.3 14.7 6.3 3.3 1.5 DOW 7.1 12.2 4.4 3.9 1.0 5.2 1.8 7.3 3.3 6.8 15.7 13.8 16.8 16.6 17.2 -9.3 -10.6 -9.5 -10.0 18.2 17.9 9.0 17.9 14.5 -13.5 6.2 2.4 6.4 2.7 6.6 4.7 -7.4 8.5 8.7 18.6 19.5 11.5 3.1 -5.9 -5.8 DX 20.0 -1.9 -20.0 2.7 -8.5 2.8 -7.1 1.9 -1.5 17.3 -10.2 17.7 2.6 8.5 -10.3 5.2 6.6 5.7 6.2 -3.8 -10.4 20.0 -5.1 15.1 -20.0 -1.4 9.7 -3.7 9.9 -1.9 5.0 14.0 20.0 20.0 -20.0 -20.0 -0.8 7.3 -1.7 10.2 EUR -13.8 -2.2 11.7 3.0 -9.7 3.2 -8.0 2.1 -1.7 -19.6 9.0 -20.0 -1.6 -12.5 7.4 -6.0 -7.0 -6.4 -6.7 0.8 6.9 -20.0 4.1 -14.0 20.0 0.9 -12.4 4.0 -11.8 3.1 -6.1 -8.8 -17.5 -14.1 -13.6 7.6 -1.6 -20.0 -8.2 -20.0 EURIBOR-ICE -15.5 4.3 20.0 0.8 -3.9 2.0 -4.1 1.2 -1.9 -6.7 6.3 -6.2 5.0 0.3 7.0 5.1 -1.8 2.7 0.4 6.7 8.3 -7.9 5.7 -0.5 11.4 2.3 -2.7 2.8 -2.5 2.0 -0.0 5.0 2.6 6.9 7.8 6.4 -16.5 -20.0 3.9 3.8 EUROSTX 12.8 5.9 -13.1 3.7 0.9 4.9 1.7 6.8 3.1 -4.8 4.3 3.8 11.0 7.5 6.7 -3.6 -3.1 -4.1 -4.0 4.4 2.4 4.8 7.0 7.0 -2.3 2.1 1.2 1.7 2.7 5.2 3.7 4.2 -0.6 4.7 0.2 -16.3 5.6 1.4 -20.0 -7.2 FEEDCOW 20.0 9.1 -20.0 0.7 3.1 -3.8 4.7 -4.9 5.0 18.4 -10.6 20.0 -13.7 19.7 -3.3 20.0 -9.2 18.2 5.8 4.3 -17.4 20.0 -18.3 20.0 -9.4 0.8 7.5 -4.0 9.7 -3.6 7.3 -8.1 20.0 20.0 5.7 -19.8 8.5 20.0 19.5 20.0 GASOIL 20.0 -6.2 -18.8 -0.9 6.8 -2.8 7.4 -1.6 3.9 13.5 -11.7 14.3 -0.4 2.5 -9.4 2.9 8.2 2.6 3.7 -7.1 -11.6 16.5 -5.8 6.2 3.8 -2.9 6.6 -4.6 6.2 -2.6 2.2 0.1 -7.4 -5.0 -8.7 -5.9 -4.8 -10.9 -3.5 -17.3 GASOLINE 20.0 -2.6 -15.8 -0.8 6.8 -2.8 7.4 -1.6 3.9 10.7 -7.4 11.7 0.8 6.4 -3.8 8.9 20.0 20.0 20.0 -1.3 -5.2 16.5 -1.2 9.2 -20.0 1.6 8.3 -1.3 8.9 -0.2 6.3 20.0 -1.3 3.2 9.7 9.1 5.6 14.3 11.8 20.0 GAS_US_mini 13.5 9.9 -0.3 -1.1 9.1 -3.8 9.9 -2.1 5.3 -20.0 -16.8 -3.6 -20.0 6.2 -13.5 -20.0 -20.0 -20.0 -20.0 -0.8 -10.6 -8.4 -20.0 2.1 20.0 0.6 -12.8 -3.7 -5.3 -8.8 1.3 -20.0 -20.0 -20.0 9.6 0.2 -7.6 -20.0 -2.8 -18.8 GBP -7.9 4.3 9.6 2.9 -9.2 3.1 -7.6 2.0 -1.6 -18.6 15.4 -16.0 13.8 1.7 11.3 1.0 -0.3 0.5 0.0 10.1 14.6 -19.0 12.3 -4.0 -1.9 4.4 -8.0 6.2 -6.9 5.5 -1.1 2.6 -15.7 2.0 9.2 15.5 6.4 -20.0 9.9 -19.7 GOLD_micro 9.6 16.0 17.0 3.0 -3.1 0.2 -1.3 -1.0 2.9 -11.1 20.0 4.6 19.8 13.8 18.6 -13.1 -13.3 -12.7 -12.6 20.0 20.0 -1.2 20.0 18.9 -12.8 6.6 -3.3 6.6 -0.6 6.7 4.2 -13.0 -5.7 14.0 18.2 20.0 18.3 -1.4 12.8 4.2 HEATOIL 20.0 -3.0 -15.2 -0.9 7.1 -2.9 7.7 -1.7 4.1 8.1 -12.6 10.7 -5.8 3.5 -9.3 -5.3 3.7 -5.5 -3.0 -5.4 -11.1 17.0 -7.5 8.0 -20.0 -0.7 6.9 -4.1 8.4 -3.1 5.1 -9.5 -1.8 -0.6 3.3 0.1 -8.7 4.1 -9.6 4.1 JGB-SGX-mini -7.2 7.6 16.6 0.8 -3.8 1.9 -4.0 1.2 -1.9 -8.1 5.0 -6.7 2.8 -0.7 5.9 8.4 16.0 12.2 14.1 4.2 4.9 -8.1 2.6 -1.6 -9.2 1.5 -4.7 1.7 -3.5 0.4 -0.8 20.0 -0.9 9.3 1.1 -2.2 -12.4 -6.5 -13.5 0.9 JPY -20.0 1.6 20.0 1.1 -3.5 1.2 -2.9 0.8 -0.6 -6.5 3.3 -7.2 -2.8 -5.0 3.5 -9.9 -14.4 -11.3 -12.7 0.6 2.6 -10.7 -1.6 -6.6 20.0 0.4 -2.5 1.0 -3.2 -0.6 -1.9 -20.0 -0.6 -14.0 -7.2 7.2 -20.0 -20.0 -20.0 -20.0 LEANHOG 11.9 20.0 6.6 0.7 3.2 -4.0 4.9 -5.1 5.3 16.4 -3.3 20.0 -6.2 20.0 20.0 20.0 20.0 20.0 20.0 19.2 3.3 17.8 -10.3 20.0 4.5 6.2 3.8 1.3 6.8 -2.3 8.2 20.0 20.0 13.2 20.0 20.0 0.2 -5.3 6.5 2.0 LIVECOW 20.0 12.9 1.7 0.8 3.4 -4.1 5.1 -5.3 5.5 20.0 14.4 20.0 11.5 20.0 15.1 0.3 8.9 5.4 9.0 20.0 15.2 20.0 12.4 20.0 -19.4 5.7 6.3 3.4 9.2 3.8 9.3 12.6 20.0 20.0 12.2 20.0 -1.8 20.0 8.1 20.0 LUMBER-new 11.7 7.2 5.6 0.5 2.1 -2.5 3.2 -3.1 3.3 9.0 -8.6 12.5 -10.2 9.2 8.3 -16.7 -17.8 -17.8 -17.8 2.8 -4.2 8.3 -9.1 7.0 NaN 2.8 4.8 -1.7 5.3 -5.1 5.0 -20.0 7.4 2.2 -2.0 13.1 2.4 -0.2 7.6 3.2 MILK -17.0 8.1 20.0 0.4 1.9 -2.3 2.9 -2.9 3.0 -4.1 12.0 -8.5 8.6 1.5 7.8 20.0 -3.2 20.0 14.9 10.0 15.9 -8.0 10.5 -1.6 14.1 3.0 -0.4 5.1 -2.8 3.1 -0.8 3.1 -13.6 -20.0 10.4 20.0 0.1 -20.0 8.5 -20.0 MXP 8.3 -4.8 -20.0 1.8 -5.7 1.9 -4.7 1.2 -1.0 1.2 -9.5 1.6 -6.5 -0.5 -7.1 10.4 13.5 10.5 11.4 -6.8 -11.9 1.5 -7.3 0.2 -20.0 -2.7 -1.2 -4.8 0.5 -2.8 0.2 20.0 20.0 9.7 -16.1 -20.0 12.7 13.9 17.2 20.0 NASDAQ_micro 15.8 4.9 -16.9 2.9 0.7 3.8 1.4 5.4 2.4 10.2 4.9 11.5 9.3 11.8 4.5 -7.6 -9.6 -7.9 -8.7 7.8 7.7 10.6 12.2 10.2 -20.0 3.7 4.1 4.1 3.8 6.3 4.0 -5.5 6.1 6.7 7.4 -1.2 3.6 3.6 -9.7 -1.4 NIKKEI 17.9 3.5 -20.0 1.6 0.4 2.1 0.8 3.0 1.3 2.9 2.0 4.7 3.2 4.8 2.4 1.5 8.1 4.2 6.1 2.0 0.7 5.2 2.5 4.6 -5.9 -0.4 1.2 -0.8 1.6 1.0 1.1 20.0 6.0 4.4 -2.6 -10.7 13.2 3.1 13.1 2.9 NZD -6.9 7.0 4.2 1.7 -5.6 1.9 -4.6 1.2 -1.0 -10.2 5.9 -9.6 2.3 -0.3 5.9 -0.2 0.0 -0.1 -0.1 2.7 3.8 -14.4 1.8 -4.5 0.3 1.4 -7.1 1.7 -5.8 0.9 -1.5 2.9 -10.4 -2.4 2.3 -2.8 3.8 -6.7 3.2 -1.0 OAT -14.8 1.9 10.7 1.1 -5.6 2.8 -5.9 1.8 -2.8 -11.3 2.5 -11.4 -0.7 -7.4 6.7 7.6 4.4 5.3 4.1 1.2 2.5 -9.7 -0.3 -4.8 3.6 0.9 -4.8 2.0 -5.1 1.1 -2.4 13.5 18.7 5.0 0.2 -7.9 -13.7 -14.2 4.3 3.2 OATIES 15.7 20.0 9.8 0.6 2.7 -3.3 4.1 -4.2 4.3 -12.9 -1.5 12.2 -13.8 17.5 13.2 3.4 2.7 4.0 3.9 20.0 9.2 11.3 -6.2 20.0 -20.0 5.3 -1.2 2.1 2.5 -0.6 5.6 1.9 5.4 2.7 20.0 14.9 18.2 1.8 20.0 11.5 OJ -14.2 2.4 3.4 0.5 2.2 -2.7 3.4 -3.5 3.6 -8.5 13.3 -9.1 14.8 3.1 8.4 10.8 12.1 11.3 10.9 9.6 16.5 -5.6 20.0 0.9 -20.0 3.9 -5.6 7.2 -2.5 11.7 0.2 15.5 -15.6 -20.0 12.9 20.0 13.5 14.4 20.0 20.0 PALLAD -0.6 15.5 12.0 1.5 -1.5 0.1 -0.6 -0.5 1.4 7.2 1.6 -1.3 -5.6 2.6 3.8 -1.8 -2.0 -1.8 -1.9 4.6 1.8 4.3 -4.0 4.0 15.3 2.2 3.7 0.8 1.8 -1.2 1.9 6.0 12.9 -2.2 1.1 9.2 -15.0 -20.0 -20.0 -20.0 PLAT 3.7 4.3 -5.1 2.0 -2.0 0.1 -0.8 -0.7 1.9 -6.4 -4.5 -5.3 -3.6 4.3 -0.5 -4.0 -4.4 -4.4 -4.5 1.1 -0.0 -5.5 -0.5 -0.1 5.0 1.0 -3.6 -0.3 -2.9 -0.6 0.4 1.5 -1.6 -8.5 -6.7 -1.7 -1.3 -7.1 -11.7 0.3 REDWHEAT 13.6 20.0 -7.1 0.7 2.8 -3.5 4.3 -4.5 4.6 12.6 -13.4 13.8 -18.2 15.6 0.9 -10.7 -6.8 -10.4 -9.2 4.9 -7.9 17.4 -17.4 15.8 -5.3 1.9 6.3 -3.1 8.1 -6.0 6.9 -17.6 20.0 0.1 7.1 -12.1 -20.0 -20.0 -20.0 -20.0 RICE -2.1 0.7 -9.9 0.7 2.9 -3.6 4.4 -4.6 4.7 -12.2 11.6 -7.8 14.1 0.5 -0.4 -10.8 20.0 1.1 19.5 -0.3 2.3 -5.0 8.7 -2.3 -14.0 -1.2 -3.6 1.0 -4.0 3.5 -3.0 20.0 2.6 -20.0 -11.2 6.4 -20.0 -20.0 -20.0 -20.0 ROBUSTA -20.0 0.7 4.5 0.3 1.3 -1.6 2.0 -2.1 2.2 -6.6 9.2 -6.2 9.6 3.6 7.1 20.0 20.0 20.0 20.0 11.3 16.0 -7.3 17.3 1.7 -20.0 2.7 -1.7 4.6 -2.0 6.1 0.2 20.0 -20.0 -7.2 15.4 20.0 10.9 -2.3 20.0 4.4 RUSSELL 2.9 2.9 6.7 3.3 0.8 4.4 1.6 6.1 2.8 -10.9 6.2 -3.6 10.8 4.9 4.7 -5.5 -6.3 -5.5 -5.9 5.3 7.3 -3.4 8.1 1.6 -0.6 4.2 -3.0 5.7 -1.3 5.9 1.5 -0.1 -5.9 -2.7 1.8 14.2 0.6 -13.2 -11.7 -20.0 SHATZ -10.5 6.8 20.0 0.7 -3.5 1.8 -3.7 1.1 -1.7 -6.9 4.6 -6.1 -0.7 0.2 5.9 -20.0 -20.0 -20.0 -20.0 5.6 5.9 -7.5 0.7 -0.4 6.1 2.1 -2.9 2.2 -2.4 0.7 -0.0 -20.0 0.7 7.4 5.8 5.7 -20.0 -17.7 -9.6 -9.0 SILVER-mini 9.2 7.6 -3.7 2.1 -2.2 0.1 -0.9 -0.7 2.0 -6.3 8.5 1.0 8.0 8.6 8.3 -5.9 -6.4 -6.1 -6.1 8.3 7.6 -2.5 8.2 6.3 2.0 3.2 -3.0 2.4 -0.9 2.5 2.5 -1.5 -0.6 8.1 7.0 3.7 7.2 -2.3 -0.6 10.3 SMI -0.4 -8.7 -7.6 3.9 1.0 5.1 1.8 7.2 3.3 -7.7 9.9 -4.4 14.2 -6.4 3.3 0.6 0.2 -0.8 -1.0 -0.9 6.1 -1.8 12.6 -2.8 11.4 2.0 0.4 7.3 -1.0 10.9 -0.9 9.6 -7.4 -14.7 -14.4 0.7 -1.8 1.6 -17.3 -4.7 SOFR -20.0 -4.7 20.0 1.4 -6.7 3.4 -7.0 2.1 -3.3 -14.4 11.2 -15.4 9.1 -10.0 7.4 2.6 0.0 1.9 0.8 1.8 12.0 -20.0 9.0 -16.6 -6.4 -0.6 -9.0 2.9 -9.5 3.0 -5.9 7.0 -12.4 -18.4 -8.8 -1.6 7.6 -12.5 20.0 11.8 SOYBEAN 14.4 14.2 -15.9 0.5 2.0 -2.4 3.0 -3.1 3.2 -12.1 -9.1 -2.8 -11.3 7.9 -4.7 -1.7 1.0 -4.5 -3.5 -3.3 -13.9 -4.6 -18.1 1.8 -20.0 -1.9 -4.9 -5.6 -2.5 -6.6 0.0 -6.4 -13.8 -7.5 -0.1 -16.6 2.6 -13.4 10.8 -8.4 SOYMEAL 5.4 16.4 0.5 0.3 1.4 -1.8 2.2 -2.3 2.4 -9.6 -5.4 -7.8 -8.3 2.1 -0.5 -1.1 2.9 -1.9 -0.4 0.4 -3.7 -7.8 -6.9 -0.6 -18.3 0.1 -6.3 -1.6 -3.3 -2.3 -0.1 -1.9 -7.8 -7.8 0.8 -4.2 -20.0 -20.0 -20.0 -20.0 SOYOIL 20.0 17.0 -2.9 0.3 1.3 -1.6 2.0 -2.1 2.1 -0.2 -4.7 6.3 -8.4 6.6 -2.1 -0.6 1.2 1.0 0.9 2.7 -3.3 4.9 -7.2 6.8 -19.5 1.5 0.2 -0.7 1.8 -2.1 2.9 -2.5 0.4 6.9 9.2 3.3 -1.0 -8.3 9.5 -2.9 SP400 9.9 6.0 2.0 3.8 0.9 5.0 1.8 7.0 3.2 -3.7 10.5 9.3 14.3 13.0 11.0 -6.4 -6.0 -6.2 -6.0 9.4 9.4 2.8 11.4 7.9 -12.5 5.5 -0.6 6.1 1.1 6.7 3.7 0.1 -0.8 7.2 7.8 11.9 5.6 -5.8 -8.4 -20.0 SP500_micro 12.0 8.9 -16.3 3.8 0.9 5.0 1.8 7.1 3.2 10.6 15.6 14.8 16.9 16.6 16.1 -9.6 -11.6 -10.0 -10.9 16.1 17.9 11.9 20.0 14.9 -20.0 5.8 3.5 6.7 3.8 8.8 5.0 -9.1 7.9 9.3 16.1 9.2 7.9 3.2 -9.0 -3.2 SUGAR11 20.0 20.0 13.9 0.5 2.0 -2.4 3.0 -3.1 3.2 -12.0 2.9 7.3 -7.1 10.8 9.9 20.0 10.5 17.7 10.9 17.9 7.6 0.9 -1.2 16.0 -20.0 3.8 -2.4 1.5 0.2 -0.4 3.3 13.4 -20.0 20.0 20.0 20.0 -15.2 8.7 -12.7 12.0 US10 -20.0 -3.9 20.0 1.0 -5.1 2.6 -5.3 1.6 -2.5 -10.9 7.9 -11.5 4.5 -7.4 5.2 -6.4 -7.3 -6.9 -7.0 0.6 7.4 -20.0 4.0 -13.0 1.8 -0.5 -7.3 2.0 -7.5 1.8 -4.6 -5.9 -13.1 -11.4 -7.5 -2.3 2.5 -20.0 20.0 7.9 US10U -20.0 -2.5 20.0 1.5 -7.3 3.7 -7.6 2.3 -3.6 -15.6 10.8 -16.6 4.7 -11.0 7.0 -4.6 -3.4 -4.4 -4.1 0.6 9.7 -20.0 4.5 -17.9 -1.3 -1.0 -10.8 2.6 -10.8 2.4 -6.8 -0.2 -13.7 -14.2 -10.6 -7.0 3.2 -17.9 20.0 19.5 US2 -20.0 -0.4 20.0 0.7 -3.6 1.8 -3.8 1.1 -1.8 -7.1 5.0 -7.7 1.4 -4.1 4.2 -20.0 -20.0 -20.0 -20.0 1.5 5.5 -16.9 1.5 -8.9 11.4 0.3 -4.1 1.7 -4.7 1.0 -2.6 -20.0 -14.9 -8.3 -2.2 5.2 -0.5 -20.0 6.0 -12.6 US20 -20.0 -3.5 17.5 1.1 -5.6 2.8 -5.8 1.8 -2.7 -12.0 7.8 -12.9 5.4 -9.2 4.4 -2.6 -1.2 -1.9 -1.5 -0.5 7.1 -20.0 4.0 -14.3 -3.4 -1.1 -8.5 2.0 -8.3 2.1 -5.4 4.3 -8.5 -11.4 -9.2 -7.8 4.1 -11.0 20.0 20.0 US30 -20.0 -3.1 14.8 1.3 -6.4 3.3 -6.7 2.0 -3.1 -13.7 7.8 -14.8 3.2 -11.1 3.8 -3.8 -5.2 -4.9 -5.0 -1.5 5.8 -20.0 2.1 -15.3 -2.3 -1.6 -9.7 1.7 -9.4 1.9 -6.3 -2.3 -5.2 -10.7 -10.1 -12.2 0.6 -9.8 20.0 20.0 US5 -20.0 -3.9 20.0 1.0 -4.7 2.4 -4.9 1.5 -2.3 -9.9 7.2 -10.6 3.3 -6.6 5.0 -9.3 -10.8 -10.4 -10.6 0.7 6.9 -20.0 3.4 -12.4 5.6 -0.2 -6.2 2.0 -6.7 1.6 -4.1 -11.9 -15.1 -12.1 -6.2 0.7 4.6 -20.0 20.0 1.4 VIX 3.0 3.9 20.0 2.1 0.7 1.2 2.0 -1.9 1.9 2.5 -5.8 4.6 -8.7 3.4 -5.0 9.2 -20.0 -5.1 -17.5 3.4 0.8 4.9 -5.1 4.6 NaN 2.4 0.9 1.3 2.3 -2.4 2.2 NaN NaN NaN NaN NaN -14.9 -20.0 NaN NaN WHEAT 14.5 20.0 -9.2 0.6 2.8 -3.5 4.3 -4.4 4.6 8.1 -11.4 11.5 -16.2 16.4 2.1 -11.5 -14.7 -13.9 -14.7 6.7 -6.7 14.2 -16.3 16.1 4.1 2.4 4.2 -2.5 6.4 -5.0 6.5 -20.0 18.7 3.3 7.6 -12.1 -20.0 -18.8 -20.0 -16.1 End of report for caleb_strategy_v3