******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241011_203904 produced at 2024-10-11 21:37:01.224152 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.16 0.0 0.00 0.00 0.00 0.00 -1.84 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 -2.02 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 -0.08 0.0 0.76 -0.76 -0.03 -0.03 -3.13 29.0 -1 -1 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.06 0.0 0.10 -0.10 -0.04 -0.04 -7.38 12.0 -5 -5 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.03 -0.06 0.0 0.00 -0.03 -0.03 -0.03 -20.76 26.0 -10 -10 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -23.93 59.0 0 0 caleb_strategy_v3 CHF False False 0.05 0.00 -0.05 0.0 0.69 -0.69 0.00 0.00 -1.01 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.03 -0.04 0.0 999.00 -999.00 -0.03 -0.03 -6.54 999999999.0 -5 -5 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.04 0.0 0.69 -0.69 -0.05 -0.05 -0.72 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 -0.80 3.0 0 0 caleb_strategy_v3 RICE False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -3.01 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 -1.00 17.0 -2 -2 caleb_strategy_v3 US5 False False 0.04 0.00 -0.03 0.0 0.97 -0.97 0.00 -0.04 -0.66 25.0 0 -1 caleb_strategy_v3 MXP False False 0.01 -0.05 -0.02 0.0 0.55 -0.55 -0.05 -0.05 -2.13 60.0 -5 -5 caleb_strategy_v3 SOYBEAN False False 0.02 -0.06 -0.02 0.0 0.13 -0.13 -0.06 -0.06 -0.97 7.0 -3 -3 caleb_strategy_v3 US10 False False 0.04 0.00 -0.02 0.0 0.68 -0.68 0.00 0.00 -0.43 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 -0.42 999999999.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.69 12.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.17 -0.17 -0.01 -0.01 -6.35 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 -1.93 11.0 -3 -3 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.01 0.0 0.89 -0.89 0.00 0.00 -0.14 19.0 0 0 caleb_strategy_v3 BUND False False 0.05 -0.05 -0.01 0.0 0.52 -0.52 -0.05 -0.05 -0.25 10.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -1.14 8.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.01 0.0 0.18 -0.18 0.00 0.00 -0.39 10.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -1.10 9.0 -1 -1 caleb_strategy_v3 US10U False False 0.04 0.00 -0.01 0.0 0.54 -0.54 0.00 0.00 -0.30 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 -0.19 6.0 0 0 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 US20 False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.14 9.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.12 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 -0.45 4.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.25 10.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.04 6.0 0 0 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 ROBUSTA False False 0.02 0.02 0.00 0.0 0.39 -0.39 0.02 0.02 0.24 23.0 1 1 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.00 0.0 0.34 -0.34 -0.01 -0.01 -0.28 23.0 -1 -1 caleb_strategy_v3 NZD False False 0.02 0.04 -0.00 0.0 0.46 -0.46 0.04 0.02 -0.03 21.0 2 1 caleb_strategy_v3 OATIES False True 0.01 0.00 0.01 0.0 0.00 0.00 0.00 0.00 1.55 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.01 0.0 0.27 -0.27 0.00 0.00 2.13 68.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.01 0.0 0.39 -0.39 0.00 0.00 0.40 20.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.02 0.01 0.0 0.15 -0.15 0.02 0.02 1.28 18.0 3 3 caleb_strategy_v3 COCOA False False 0.02 0.00 0.01 0.0 0.64 -0.64 0.00 0.00 0.50 26.0 0 0 caleb_strategy_v3 OJ False False 0.03 0.03 0.01 0.0 0.08 -0.08 0.03 0.03 0.49 3.0 1 1 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.01 0.0 0.08 -0.08 0.00 0.00 0.16 2.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.05 0.02 0.0 0.49 -0.49 0.05 0.05 0.42 10.0 1 1 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.63 999999999.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 0.02 0.0 0.64 -0.64 0.00 0.00 0.57 22.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.01 0.02 0.0 0.07 -0.07 0.01 0.01 1.08 5.0 1 1 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.02 0.0 0.50 -0.50 0.00 0.00 2.07 48.0 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 0.56 999999999.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.23 0.02 0.0 0.23 -0.23 0.23 0.23 0.20 2.0 2 2 caleb_strategy_v3 AUD False False 0.02 0.00 0.03 0.0 0.46 -0.46 0.00 0.00 1.25 19.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.04 0.03 0.0 0.35 -0.35 0.04 0.04 0.66 8.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.03 0.00 0.04 0.0 0.13 -0.13 0.00 0.00 1.46 5.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 0.04 0.0 0.00 0.00 0.00 0.00 0.72 9.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.01 0.05 0.0 0.35 -0.35 0.01 0.02 5.64 36.0 1 2 caleb_strategy_v3 DOW False False 0.01 0.00 0.05 0.0 0.51 -0.51 0.00 0.00 6.13 66.0 0 0 caleb_strategy_v3 COPPER False False 0.04 0.08 0.06 0.0 999.00 -999.00 0.08 0.08 1.43 999999999.0 2 2 caleb_strategy_v3 BTP False False 0.05 0.00 0.06 0.0 0.47 -0.47 0.00 0.00 1.18 10.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.02 0.07 0.0 0.54 -0.54 0.02 0.01 6.81 56.0 2 1 caleb_strategy_v3 DAX False False 0.01 0.00 0.07 0.0 0.44 -0.44 0.00 0.01 9.76 58.0 0 1 caleb_strategy_v3 LIVECOW False False 0.03 0.08 0.11 0.0 0.46 -0.46 0.08 0.08 4.05 17.0 3 3 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.12 0.0 0.15 -0.15 0.07 0.07 10.24 13.0 6 6 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.31 0.14 0.0 0.56 -0.56 0.31 0.28 4.04 16.0 9 8 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.00 0.57 0.0 0.96 -0.96 0.00 0.00 5.98 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.6 Shocked risk 20.2 Sum abs risk 30.6 Leverage 2.73 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2787058.48, 'annual_cash_vol_target': 696764.62, 'daily_cash_vol_target': 43547.78875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6762 0.6067 9.7065 BITCOIN 1610.9143 63120.0000 2.5521 40.8343 BOBL 0.2525 119.0700 0.2121 3.3932 BTP 0.4837 120.5700 0.4012 6.4195 BUND 0.4777 133.3700 0.3582 5.7305 BUXL 1.1730 133.6400 0.8777 14.0438 CAC 67.7335 7611.5000 0.8899 14.2381 CAD 0.0027 0.7279 0.3647 5.8349 CANOLA 8.4548 625.8000 1.3510 21.6165 CHF 0.0055 1.1752 0.4647 7.4359 COCOA 157.8622 6902.0000 2.2872 36.5951 COFFEE 4.8873 251.2500 1.9452 31.1231 COPPER 0.0600 4.4905 1.3354 21.3661 CORN 4.1270 450.7500 0.9156 14.6494 COTTON2 0.9934 72.1200 1.3774 22.0392 CRUDE_W 1.2258 70.6800 1.7343 27.7493 DAX 144.5959 19514.0000 0.7410 11.8558 DOW 251.8814 43115.0000 0.5842 9.3473 DX 0.3653 102.6500 0.3559 5.6937 EUR 0.0044 1.0969 0.3998 6.3966 EURIBOR-ICE 0.0473 97.8850 0.0483 0.7728 EUROSTX 44.0065 5026.0000 0.8756 14.0092 FEEDCOW 1.6114 246.9250 0.6526 10.4414 GASOIL 11.4260 706.7500 1.6167 25.8671 GASOLINE 0.0408 2.1013 1.9417 31.0677 GAS_US_mini 0.0843 3.0450 2.7701 44.3218 GBP 0.0065 1.3071 0.4940 7.9035 GOLD_micro 17.6068 2675.7000 0.6580 10.5284 HEATOIL 0.0419 2.3621 1.7722 28.3560 JGB-SGX-mini 0.2438 143.9800 0.1693 2.7088 JPY 0.0001 0.0068 0.8000 12.8004 LEANHOG 0.9895 80.9500 1.2224 19.5584 LIVECOW 1.1047 187.4500 0.5893 9.4294 LUMBER-new 8.1714 554.5000 1.4736 23.5784 MILK 0.2700 20.6600 1.3070 20.9117 MXP 0.0004 0.0513 0.8234 13.1740 NASDAQ_micro 171.3849 20467.5000 0.8374 13.3976 NIKKEI 609.8754 39870.0000 1.5297 24.4746 NZD 0.0044 0.6118 0.7172 11.4750 OAT 0.4549 125.6500 0.3620 5.7923 OATIES 5.5075 377.5000 1.4590 23.3432 OJ 8.6796 466.6000 1.8602 29.7629 PALLAD 24.3168 1072.5000 2.2673 36.2768 PLAT 15.8469 995.1000 1.5925 25.4799 REDWHEAT 9.4805 621.2500 1.5260 24.4165 RICE 0.1335 15.1300 0.8821 14.1137 ROBUSTA 90.5331 4680.0000 1.9345 30.9515 RUSSELL 22.5247 2245.2000 1.0032 16.0518 SHATZ 0.0914 106.7900 0.0856 1.3694 SILVER-mini 0.5087 31.9000 1.5946 25.5135 SMI 80.0099 12206.0000 0.6555 10.4879 SOFR 0.0585 96.6250 0.0605 0.9680 SOYBEAN 10.5808 1056.2500 1.0017 16.0277 SOYMEAL 4.7708 315.4000 1.5126 24.2018 SOYOIL 0.7297 43.5000 1.6774 26.8388 SP400 24.1673 3173.1000 0.7616 12.1861 SP500_micro 36.0088 5862.7500 0.6142 9.8271 SUGAR11 0.3326 20.5600 1.6179 25.8867 US10 0.3801 112.2344 0.3387 5.4192 US10U 0.4951 115.7188 0.4279 6.8459 US2 0.1246 103.4727 0.1204 1.9262 US20 0.7092 120.3438 0.5893 9.4285 US30 1.0612 127.6875 0.8311 13.2976 US5 0.2658 108.4844 0.2450 3.9206 VIX 0.6520 19.1500 3.4048 54.4775 WHEAT 8.5297 661.7500 1.2890 20.6233 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 676.20 0.61 410.22 1.00 410.22 43547.79 106.16 4.54 48.22 BITCOIN 63.12 2.55 161.09 1.00 161.09 43547.79 270.33 -8.18 -221.03 BOBL 1190.70 0.21 252.52 1.09 276.18 43547.79 157.68 -0.85 -13.37 BTP 1205.70 0.40 483.75 1.09 529.08 43547.79 82.31 4.21 34.66 BUND 1333.70 0.36 477.67 1.09 522.43 43547.79 83.36 -3.01 -25.08 BUXL 1336.40 0.88 1173.01 1.09 1282.92 43547.79 33.94 -3.40 -11.56 CAC 761.15 0.89 677.34 1.09 740.80 43547.79 58.78 -3.45 -20.27 CAD 727.90 0.36 265.45 1.00 265.45 43547.79 164.05 -7.36 -120.68 CANOLA 125.16 1.35 169.10 0.73 123.30 43547.79 353.20 -7.39 -261.12 CHF 1469.06 0.46 682.74 1.00 682.74 43547.79 63.78 -6.12 -39.04 COCOA 690.20 2.29 1578.62 1.00 1578.62 43547.79 27.59 8.41 23.20 COFFEE 942.19 1.95 1832.74 1.00 1832.74 43547.79 23.76 -1.54 -3.67 COPPER 1122.62 1.34 1499.13 1.00 1499.13 43547.79 29.05 4.56 13.24 CORN 225.38 0.92 206.35 1.00 206.35 43547.79 211.04 -14.37 -303.29 COTTON2 360.60 1.38 496.71 1.00 496.71 43547.79 87.67 -10.26 -89.99 CRUDE_W 706.80 1.73 1225.82 1.00 1225.82 43547.79 35.53 3.79 13.46 DAX 195.14 0.74 144.60 1.09 158.14 43547.79 275.37 10.40 286.25 DOW 215.58 0.58 125.94 1.00 125.94 43547.79 345.78 7.63 263.94 DX 1026.50 0.36 365.28 1.00 365.28 43547.79 119.22 -1.37 -16.31 EUR 1371.06 0.40 548.13 1.00 548.13 43547.79 79.45 -3.49 -27.72 EURIBOR-ICE 2447.12 0.05 118.20 1.09 129.27 43547.79 336.86 5.21 175.35 EUROSTX 502.60 0.88 440.07 1.09 481.30 43547.79 90.48 1.31 11.84 FEEDCOW 1234.62 0.65 805.70 1.00 805.70 43547.79 54.05 3.68 19.88 GASOIL 706.75 1.62 1142.60 1.00 1142.60 43547.79 38.11 -2.75 -10.46 GASOLINE 882.55 1.94 1713.67 1.00 1713.67 43547.79 25.41 5.68 14.43 GAS_US_mini 76.12 2.77 210.87 1.00 210.87 43547.79 206.51 -9.28 -191.74 GBP 816.94 0.49 403.54 1.00 403.54 43547.79 107.91 2.05 22.07 GOLD_micro 267.57 0.66 176.07 1.00 176.07 43547.79 247.34 8.08 199.72 HEATOIL 992.08 1.77 1758.22 1.00 1758.22 43547.79 24.77 -7.47 -18.49 JGB-SGX-mini 143980.00 0.17 24375.55 0.01 163.45 43547.79 266.43 1.40 37.33 JPY 845.31 0.80 676.27 1.00 676.27 43547.79 64.39 -5.97 -38.47 LEANHOG 323.80 1.22 395.81 1.00 395.81 43547.79 110.02 15.31 168.50 LIVECOW 749.80 0.59 441.88 1.00 441.88 43547.79 98.55 12.41 122.31 LUMBER-new 152.49 1.47 224.71 1.00 224.71 43547.79 193.79 -1.86 -35.98 MILK 413.20 1.31 540.04 1.00 540.04 43547.79 80.64 6.24 50.29 MXP 256.55 0.82 211.24 1.00 211.24 43547.79 206.16 -0.70 -14.50 NASDAQ_micro 409.35 0.84 342.77 1.00 342.77 43547.79 127.05 -0.94 -11.95 NIKKEI 39870.00 1.53 60987.54 0.01 408.95 43547.79 106.49 4.89 52.05 NZD 611.80 0.72 438.77 1.00 438.77 43547.79 99.25 -0.13 -1.29 OAT 1256.50 0.36 454.87 1.09 497.50 43547.79 87.53 1.39 12.19 OATIES 188.75 1.46 275.38 1.00 275.38 43547.79 158.14 4.04 63.85 OJ 699.90 1.86 1301.94 1.00 1301.94 43547.79 33.45 6.82 22.82 PALLAD 1072.50 2.27 2431.68 1.00 2431.68 43547.79 17.91 2.63 4.71 PLAT 497.55 1.59 792.34 1.00 792.34 43547.79 54.96 -2.10 -11.54 REDWHEAT 310.62 1.53 474.02 1.00 474.02 43547.79 91.87 -9.32 -85.66 RICE 302.60 0.88 266.93 1.00 266.93 43547.79 163.15 -7.59 -123.91 ROBUSTA 468.00 1.93 905.33 1.00 905.33 43547.79 48.10 4.35 20.91 RUSSELL 112.26 1.00 112.62 1.00 112.62 43547.79 386.67 1.66 64.20 SHATZ 1067.90 0.09 91.40 1.09 99.96 43547.79 435.65 -4.58 -199.66 SILVER-mini 797.50 1.59 1271.69 1.00 1271.69 43547.79 34.24 4.80 16.44 SMI 1220.60 0.66 800.10 1.16 930.20 43547.79 46.82 4.51 21.13 SOFR 2415.62 0.06 146.14 1.00 146.14 43547.79 297.99 -1.02 -30.28 SOYBEAN 528.12 1.00 529.04 1.00 529.04 43547.79 82.31 -12.62 -103.90 SOYMEAL 315.40 1.51 477.08 1.00 477.08 43547.79 91.28 -12.90 -117.75 SOYOIL 261.00 1.68 437.81 1.00 437.81 43547.79 99.47 -2.73 -27.12 SP400 3173.10 0.76 2416.73 1.00 2416.73 43547.79 18.02 3.40 6.13 SP500_micro 293.14 0.61 180.04 1.00 180.04 43547.79 241.87 3.68 88.96 SUGAR11 230.27 1.62 372.56 1.00 372.56 43547.79 116.89 5.16 60.34 US10 1122.34 0.34 380.14 1.00 380.14 43547.79 114.56 -2.96 -33.92 US10U 1157.19 0.43 495.12 1.00 495.12 43547.79 87.95 -2.71 -23.82 US2 2069.45 0.12 249.13 1.00 249.13 43547.79 174.80 -5.14 -89.87 US20 1203.44 0.59 709.17 1.00 709.17 43547.79 61.41 -1.76 -10.81 US30 1276.88 0.83 1061.21 1.00 1061.21 43547.79 41.04 -3.65 -14.98 US5 1084.84 0.25 265.82 1.00 265.82 43547.79 163.82 -3.20 -52.45 VIX 191.50 3.40 652.03 1.00 652.03 43547.79 66.79 -3.97 -26.50 WHEAT 330.88 1.29 426.48 1.00 426.48 43547.79 102.11 -7.29 -74.45 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 48.216 0.010 2.5 1.251 BITCOIN -221.028 0.043 2.5 -23.934 BOBL -13.366 0.004 2.5 -0.136 BTP 34.662 0.014 2.5 1.182 BUND -25.078 0.004 2.5 -0.254 BUXL -11.555 0.004 2.5 -0.117 CAC -20.269 0.014 2.5 -0.691 CAD -120.684 0.010 2.5 -3.131 CANOLA -261.121 0.010 2.5 -6.353 CHF -39.044 0.010 2.5 -1.013 COCOA 23.195 0.009 2.5 0.497 COFFEE -3.669 0.005 2.5 -0.043 COPPER 13.239 0.043 2.5 1.434 CORN -303.291 0.010 2.5 -7.379 COTTON2 -89.987 0.009 2.5 -1.927 CRUDE_W 13.461 0.043 2.5 1.458 DAX 286.248 0.014 2.5 9.763 DOW 263.940 0.009 2.5 6.134 DX -16.307 0.010 2.5 -0.423 EUR -27.720 0.010 2.5 -0.719 EURIBOR-ICE 175.353 0.014 2.5 5.981 EUROSTX 11.838 0.014 2.5 0.404 FEEDCOW 19.877 0.013 2.5 0.659 GASOIL -10.463 0.017 2.5 -0.454 GASOLINE 14.427 0.017 2.5 0.625 GAS_US_mini -191.738 0.043 2.5 -20.763 GBP 22.070 0.010 2.5 0.573 GOLD_micro 199.724 0.014 2.5 6.812 HEATOIL -18.491 0.017 2.5 -0.802 JGB-SGX-mini 37.335 0.043 2.5 4.043 JPY -38.466 0.010 2.5 -0.998 LEANHOG 168.496 0.024 2.5 10.240 LIVECOW 122.308 0.013 2.5 4.053 LUMBER-new -35.982 0.009 2.5 -0.771 MILK 50.286 0.009 2.5 1.077 MXP -14.497 0.059 2.5 -2.128 NASDAQ_micro -11.950 0.009 2.5 -0.278 NIKKEI 52.051 0.043 2.5 5.636 NZD -1.294 0.010 2.5 -0.034 OAT 12.187 0.014 2.5 0.416 OATIES 63.851 0.010 2.5 1.553 OJ 22.821 0.009 2.5 0.489 PALLAD 4.707 0.014 2.5 0.161 PLAT -11.537 0.014 2.5 -0.394 REDWHEAT -85.665 0.005 2.5 -1.136 RICE -123.907 0.010 2.5 -3.014 ROBUSTA 20.910 0.005 2.5 0.244 RUSSELL 64.198 0.013 2.5 2.127 SHATZ -199.665 0.004 2.5 -2.025 SILVER-mini 16.439 0.014 2.5 0.561 SMI 21.133 0.014 2.5 0.721 SOFR -30.284 0.024 2.5 -1.840 SOYBEAN -103.896 0.004 2.5 -0.966 SOYMEAL -117.754 0.004 2.5 -1.095 SOYOIL -27.124 0.004 2.5 -0.252 SP400 6.132 0.013 2.5 0.203 SP500_micro 88.962 0.009 2.5 2.067 SUGAR11 60.338 0.009 2.5 1.283 US10 -33.921 0.005 2.5 -0.430 US10U -23.816 0.005 2.5 -0.302 US2 -89.866 0.005 2.5 -1.139 US20 -10.814 0.005 2.5 -0.137 US30 -14.985 0.005 2.5 -0.190 US5 -52.453 0.005 2.5 -0.665 VIX -26.496 0.099 2.5 -6.540 WHEAT -74.446 0.005 2.5 -0.988 ===================== Position diags ===================== AUD 2.75 BITCOIN 29.27 BOBL 1.60 BTP 2.81 BUND 0.85 BUXL 0.34 CAC 2.01 CAD 4.26 CANOLA 8.59 CHF 1.65 COCOA 0.59 COFFEE 0.28 COPPER 3.15 CORN 5.13 COTTON2 1.88 CRUDE_W 3.85 DAX 9.39 DOW 8.04 DX 3.09 EUR 2.06 EURIBOR-ICE 11.49 EUROSTX 3.09 FEEDCOW 1.79 GASOIL 1.65 GASOLINE 1.10 GAS_US_mini 22.36 GBP 2.80 GOLD_micro 8.44 HEATOIL 1.07 JGB-SGX-mini 28.85 JPY 1.67 LEANHOG 6.69 LIVECOW 3.27 LUMBER-new 4.15 MILK 1.73 MXP 30.26 NASDAQ_micro 2.95 NIKKEI 11.53 NZD 2.58 OAT 2.99 OATIES 3.85 OJ 0.72 PALLAD 0.61 PLAT 1.87 REDWHEAT 1.22 RICE 3.97 ROBUSTA 0.56 RUSSELL 12.81 SHATZ 4.42 SILVER-mini 1.17 SMI 1.60 SOFR 18.11 SOYBEAN 0.77 SOYMEAL 0.85 SOYOIL 0.93 SP400 0.60 SP500_micro 5.62 SUGAR11 2.49 US10 1.45 US10U 1.11 US2 2.21 US20 0.78 US30 0.52 US5 2.08 VIX 16.49 WHEAT 1.35 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.3 1.0 1.5 0.0 0 BITCOIN -23.9 -26.9 -21.0 0.0 0 BOBL -0.1 -0.3 0.0 0.0 0 BTP 1.2 0.9 1.5 0.0 0 BUND -0.3 -0.3 -0.2 -1.0 -1 BUXL -0.1 -0.2 -0.1 0.0 0 CAC -0.7 -0.9 -0.5 0.0 0 CAD -3.1 -3.6 -2.7 -1.0 -1 CANOLA -6.4 -7.2 -5.5 -2.0 -2 CHF -1.0 -1.2 -0.8 0.0 0 COCOA 0.5 0.4 0.6 0.0 0 COFFEE -0.0 -0.1 -0.0 0.0 0 COPPER 1.4 1.1 1.7 2.0 2 CORN -7.4 -7.9 -6.9 -5.0 -5 COTTON2 -1.9 -2.1 -1.7 -3.0 -3 CRUDE_W 1.5 1.1 1.8 0.0 0 DAX 9.8 8.8 10.7 0.0 0 DOW 6.1 5.3 6.9 0.0 0 DX -0.4 -0.7 -0.1 0.0 0 EUR -0.7 -0.9 -0.5 -1.0 -1 EURIBOR-ICE 6.0 4.8 7.1 0.0 0 EUROSTX 0.4 0.1 0.7 0.0 0 FEEDCOW 0.7 0.5 0.8 1.0 1 GASOIL -0.5 -0.6 -0.3 0.0 0 GASOLINE 0.6 0.5 0.7 0.0 0 GAS_US_mini -20.8 -23.0 -18.5 -10.0 -10 GBP 0.6 0.3 0.9 0.0 0 GOLD_micro 6.8 6.0 7.7 2.0 2 HEATOIL -0.8 -0.9 -0.7 0.0 0 JGB-SGX-mini 4.0 1.2 6.9 9.0 9 JPY -1.0 -1.2 -0.8 -2.0 -2 LEANHOG 10.2 9.6 10.9 6.0 6 LIVECOW 4.1 3.7 4.4 3.0 3 LUMBER-new -0.8 -1.2 -0.4 -2.0 -2 MILK 1.1 0.9 1.2 1.0 1 MXP -2.1 -5.2 0.9 -5.0 -5 NASDAQ_micro -0.3 -0.6 0.0 -1.0 -1 NIKKEI 5.6 4.5 6.8 1.0 1 NZD -0.0 -0.3 0.2 2.0 2 OAT 0.4 0.1 0.7 1.0 1 OATIES 1.6 1.2 1.9 NaN 0 OJ 0.5 0.4 0.6 1.0 1 PALLAD 0.2 0.1 0.2 0.0 0 PLAT -0.4 -0.6 -0.2 0.0 0 REDWHEAT -1.1 -1.3 -1.0 0.0 0 RICE -3.0 -3.4 -2.6 NaN 0 ROBUSTA 0.2 0.2 0.3 1.0 1 RUSSELL 2.1 0.8 3.4 0.0 0 SHATZ -2.0 -2.5 -1.6 NaN 0 SILVER-mini 0.6 0.4 0.7 0.0 0 SMI 0.7 0.6 0.9 0.0 0 SOFR -1.8 -3.7 -0.0 NaN 0 SOYBEAN -1.0 -1.0 -0.9 -3.0 -3 SOYMEAL -1.1 -1.2 -1.0 -1.0 -1 SOYOIL -0.3 -0.3 -0.2 0.0 0 SP400 0.2 0.1 0.3 2.0 2 SP500_micro 2.1 1.5 2.6 0.0 0 SUGAR11 1.3 1.0 1.5 3.0 3 US10 -0.4 -0.6 -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 -0.1 0.0 0 US30 -0.2 -0.2 -0.1 0.0 0 US5 -0.7 -0.9 -0.5 0.0 0 VIX -6.5 -8.2 -4.9 -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 0.0 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 -0.0 0.1 -0.0 0.1 -0.0 -0.0 -0.0 0.4 0.2 0.0 0.4 -0.2 0.5 -0.0 BITCOIN 0.2 -0.0 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -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 -0.3 -0.2 -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 -0.0 0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.0 0.1 0.3 -0.2 0.0 -0.1 0.0 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 0.3 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 0.1 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 0.1 -0.7 -0.4 0.1 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 -0.0 0.1 -0.1 0.1 -0.0 -0.2 0.2 0.3 0.0 -0.1 -0.7 -0.6 -0.1 -0.1 BUXL -0.4 -0.1 0.3 0.0 -0.0 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 -0.1 -0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 0.5 0.4 -0.1 -0.3 -0.7 -0.7 -0.2 -0.2 CAC 0.3 0.3 -0.4 0.0 0.0 0.1 0.0 0.2 0.0 -0.0 -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 -0.5 -0.2 -0.2 -0.6 0.3 0.2 -0.1 -0.0 CAD -0.3 0.1 0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.0 -0.2 -0.4 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.2 -0.1 -0.2 -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 0.2 0.2 0.0 -0.2 -0.4 0.1 -0.2 CHF -0.6 0.0 0.6 0.0 -0.0 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 0.0 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 -0.3 -0.2 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 0.1 0.1 0.3 0.0 -2.7 0.0 0.1 0.1 0.0 0.3 0.0 1.1 0.0 0.0 0.2 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 -0.4 0.3 0.6 -0.2 -0.3 0.2 -0.0 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 0.1 0.0 0.2 -0.1 0.5 0.4 0.0 0.7 0.3 0.6 0.7 CORN 0.4 0.5 -0.5 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.2 -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 -0.1 -0.3 -0.0 -0.6 0.1 -0.1 0.2 0.0 COTTON2 0.3 0.6 0.0 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.4 0.0 -0.5 0.1 0.0 -0.3 -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 0.0 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.1 0.1 0.1 -0.1 0.1 0.2 0.2 0.2 -0.0 -0.1 0.1 -0.1 0.1 -0.2 0.0 0.0 -0.1 0.1 -0.1 0.1 0.6 -0.2 -0.2 0.2 0.1 -0.0 0.4 0.0 0.5 DAX 0.3 0.4 -0.1 0.0 0.0 0.1 0.0 0.3 0.0 0.1 0.3 0.1 0.5 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.2 1.3 0.1 0.0 0.1 0.1 0.2 0.1 -0.3 -0.0 0.3 0.4 -0.2 0.5 0.2 0.1 0.1 DOW 0.2 0.4 0.1 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 -1.8 0.1 0.1 0.2 0.1 0.2 0.1 -0.4 0.4 0.3 0.6 0.6 0.4 0.1 -0.2 -0.2 DX 0.6 -0.0 -0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.1 -0.3 0.2 0.1 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 -0.0 0.3 EUR -0.5 -0.1 0.4 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.2 -0.2 -0.1 -0.2 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 -0.4 -0.5 0.3 -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 0.3 0.3 0.2 -0.5 -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 0.1 0.0 0.1 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 -0.5 0.2 0.0 -0.7 -0.2 FEEDCOW 0.6 0.4 -0.6 0.0 0.0 -0.1 0.0 -0.2 0.1 0.2 -0.3 0.2 -0.5 0.2 -0.0 0.4 -0.2 0.4 0.1 0.1 -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 0.3 -0.6 0.3 0.7 0.7 0.7 GASOIL 0.6 -0.2 -0.6 -0.0 0.0 -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 0.1 0.5 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.0 -0.1 -0.1 -0.3 -0.2 -0.2 -0.4 -0.1 -0.6 GASOLINE 0.6 -0.0 -0.5 -0.0 0.0 -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 0.2 -0.0 0.1 -2.7 0.0 0.1 -0.0 0.1 -0.0 0.1 1.1 0.1 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 -0.1 -0.7 0.0 -0.2 -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 0.2 -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 -0.1 -0.3 0.0 -0.1 0.2 -0.1 0.2 -0.0 0.1 -0.3 0.1 0.3 0.5 0.2 -0.7 0.3 -0.7 GOLD_micro 0.3 0.5 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.5 0.1 0.7 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.1 0.5 0.2 -1.7 0.1 0.0 0.2 0.0 0.2 0.0 -0.7 -0.0 0.5 0.6 0.6 0.6 -0.0 0.4 0.1 HEATOIL 0.6 -0.1 -0.5 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.1 -0.3 0.1 -0.2 0.1 -0.1 -0.1 0.1 -0.1 -0.1 -0.0 -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 -0.3 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 0.0 -0.1 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 -0.5 0.0 JPY -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 -0.1 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 -0.2 -0.5 -0.2 0.2 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.4 0.6 0.3 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 0.5 0.6 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 0.0 -0.2 0.1 0.1 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 0.0 0.1 0.1 0.1 0.1 0.7 0.5 0.6 0.5 0.6 -0.1 0.7 0.3 0.7 LUMBER-new 0.5 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 0.0 -0.0 0.1 -0.2 0.1 -1.2 0.1 0.2 -0.1 0.5 0.1 -0.0 0.3 0.1 MILK -0.6 0.2 0.6 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.3 -0.1 0.3 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 -0.4 -0.6 0.3 0.6 -0.0 -0.7 0.3 -0.7 MXP 0.3 -0.1 -0.6 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.1 -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 -0.6 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.1 0.1 0.3 0.1 0.1 -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 0.2 0.2 0.2 -0.1 0.1 0.1 -0.3 -0.1 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 0.1 0.1 0.1 -0.8 -0.0 0.0 -0.0 0.0 0.0 0.0 1.1 0.0 0.2 -0.1 -0.3 0.5 0.1 0.4 0.1 NZD -0.3 0.2 0.1 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.2 -0.1 0.1 -0.0 0.1 -0.0 0.0 -0.0 -0.0 0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.2 -0.3 -0.0 0.1 -0.1 0.1 -0.2 0.1 -0.0 OAT -0.5 0.0 0.3 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.0 -0.1 -0.0 -0.1 0.5 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.7 0.4 0.2 0.0 -0.2 -0.5 -0.5 0.2 0.1 OATIES 0.5 0.6 0.4 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 -0.0 0.6 0.5 0.6 0.1 0.7 0.4 OJ -0.4 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.4 -0.1 0.5 0.0 0.1 0.2 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 -0.1 -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 0.1 -0.0 -0.2 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 -0.1 0.1 2.1 0.0 0.0 0.0 0.0 -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 0.2 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -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 0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.1 -0.3 -0.2 -0.1 -0.0 -0.2 -0.4 0.0 REDWHEAT 0.5 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 0.1 -0.5 0.2 -0.7 0.0 0.0 -0.1 0.1 -0.2 0.1 -0.9 0.5 -0.1 0.3 -0.3 -0.7 -0.7 -0.7 -0.7 RICE -0.1 0.0 -0.3 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.2 0.3 -0.1 0.5 -0.0 -0.0 -0.2 0.4 0.0 0.4 -0.0 0.0 -0.1 0.2 -0.0 -1.9 -0.0 -0.1 0.0 -0.1 0.1 -0.0 1.1 -0.2 -0.6 -0.4 0.2 -0.7 -0.7 -0.7 -0.7 ROBUSTA -0.6 -0.1 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 -0.4 0.4 0.6 0.4 -0.1 0.7 0.1 RUSSELL 0.0 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 -0.0 -0.1 0.1 0.5 0.0 -0.4 -0.4 -0.7 SHATZ -0.4 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 0.3 0.2 0.2 -0.7 -0.6 -0.3 -0.3 SILVER-mini 0.3 0.3 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 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 0.2 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 0.1 0.2 0.0 0.4 0.0 0.5 -0.1 -0.4 -0.5 0.0 -0.1 0.1 -0.6 -0.2 SOFR -0.6 -0.2 0.6 0.0 -0.0 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 -0.8 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.4 -0.3 -0.5 -0.3 -0.1 0.2 -0.4 0.7 0.4 SOYBEAN 0.4 0.5 -0.5 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.2 -0.1 -0.4 0.1 -0.1 -0.0 0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -0.5 -0.0 -2.7 -0.0 -0.1 -0.2 -0.0 -0.2 -0.0 -0.3 -0.5 -0.3 0.0 -0.6 0.1 -0.4 0.4 -0.3 SOYMEAL 0.1 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 -0.5 -0.3 0.0 -0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 0.6 -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 0.1 0.3 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 0.1 0.3 0.1 0.5 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.3 0.1 -1.7 0.1 0.0 0.2 0.0 0.2 0.0 0.0 0.2 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 0.1 0.2 0.1 0.3 0.1 -0.5 0.4 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 0.8 -0.4 0.6 0.6 0.6 -0.5 0.3 -0.4 0.4 US10 -0.6 -0.2 0.6 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.1 0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.2 0.1 -0.1 0.2 -0.0 -0.0 0.0 -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 -0.0 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 -0.4 -0.2 0.1 -0.6 0.7 0.7 US2 -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 -0.0 0.0 -0.4 -0.4 -0.4 -0.4 0.0 0.1 -0.1 0.0 -0.1 1.5 0.0 -0.0 0.0 -0.0 0.0 -0.0 -1.1 -0.3 -0.3 -0.1 0.2 -0.0 -0.7 0.2 -0.4 US20 -0.6 -0.2 0.6 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.1 0.2 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 0.1 -0.2 -0.5 -0.0 -0.1 0.0 -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 -0.0 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 -0.2 -0.4 -0.4 -0.4 0.0 -0.3 0.7 0.7 US5 -0.6 -0.2 0.6 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.1 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.2 0.1 -0.1 0.7 -0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.6 -0.3 -0.4 -0.2 0.0 0.1 -0.7 0.7 0.1 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 0.2 -0.6 -0.2 -0.6 0.1 0.0 0.0 -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 0.0 -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 0.6 0.0 0.0 -0.1 0.1 -0.2 0.1 -1.1 0.5 -0.0 0.3 -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 0.5 5.7 4.2 2.2 -5.9 2.6 -6.3 1.8 -1.8 -11.3 10.8 -8.8 3.8 2.2 9.8 0.0 -2.0 -0.6 -1.3 6.5 6.9 -10.5 3.5 -0.6 2.2 3.1 -4.3 3.2 -4.6 1.9 -0.0 -0.0 -1.5 11.6 4.9 1.0 10.8 -6.2 16.3 -0.5 BITCOIN 7.3 -0.9 -10.5 3.4 1.9 0.4 0.7 -1.0 3.5 2.9 -4.8 -1.5 8.2 7.3 -1.9 -6.6 -6.8 -6.2 -6.4 -1.5 -1.5 -1.7 7.6 0.4 -20.0 -1.9 1.8 -0.5 -1.3 8.4 -0.5 -2.2 -12.6 -6.7 -20.0 -12.1 0.7 -2.5 -1.2 2.1 BOBL -12.4 2.5 19.3 0.7 -3.3 2.2 -4.3 1.4 -2.4 -9.1 5.1 -9.0 -1.0 -2.1 6.1 15.9 -9.0 1.9 -5.6 3.7 5.2 -9.4 1.3 -3.2 4.0 1.8 -3.5 2.6 -3.8 1.4 -1.2 -7.3 4.2 8.2 3.2 0.5 -20.0 -18.0 -3.0 -3.7 BTP -4.1 6.1 12.5 1.3 -6.2 4.0 -8.1 2.6 -4.5 -14.4 16.2 -13.4 17.4 6.3 15.8 7.2 4.6 5.4 4.4 13.6 15.6 -5.1 14.1 4.8 -20.0 6.0 -2.6 6.7 -2.0 6.1 2.3 13.8 20.0 20.0 18.3 1.6 -20.0 -12.7 1.7 8.9 BUND -11.9 0.3 14.9 0.8 -4.0 2.6 -5.2 1.7 -2.9 -11.1 6.4 -11.2 1.6 -3.4 7.0 -20.0 -4.1 -13.2 -8.1 3.1 5.5 -10.3 2.2 -4.1 1.3 1.8 -4.8 3.2 -5.0 2.3 -1.8 -3.6 10.0 10.4 1.5 -3.2 -20.0 -17.5 -3.1 -2.5 BUXL -10.8 -2.1 10.2 0.9 -4.7 3.0 -6.0 2.0 -3.3 -13.0 5.1 -13.3 1.1 -6.9 6.1 0.2 -1.8 -0.5 -1.4 0.2 2.6 -10.1 -0.3 -5.6 -2.3 0.5 -5.8 2.6 -5.8 2.0 -3.0 3.5 20.0 11.4 -2.6 -10.4 -20.0 -20.0 -5.8 -5.9 CAC 7.9 8.5 -12.7 3.9 4.9 4.9 3.6 6.7 3.7 -0.1 -6.4 -5.4 0.5 0.2 0.7 -5.9 -3.0 -5.8 -4.4 -1.4 -4.8 -0.3 -1.5 0.9 -6.6 -0.4 1.2 -2.2 0.5 0.3 1.3 4.3 -20.0 -4.6 -5.1 -20.0 8.5 5.2 -3.3 -0.5 CAD -9.7 2.8 6.0 2.9 -7.9 3.5 -8.4 2.4 -2.5 -20.0 1.6 -20.0 -12.3 -10.7 4.3 -4.5 -3.7 -4.5 -4.2 -2.2 0.6 -20.0 -3.7 -16.1 -1.1 -0.1 -18.7 1.0 -15.3 -0.9 -6.8 -3.9 -20.0 -15.1 -6.6 -3.8 6.9 -8.1 2.2 -4.0 CANOLA 20.0 10.0 0.2 0.3 0.1 -1.4 1.3 -1.8 1.7 -4.2 -2.9 5.7 -6.7 6.1 -0.5 -13.7 -11.2 -13.2 -13.0 1.4 -3.5 3.5 -6.6 5.4 -14.4 1.2 -0.8 -1.0 0.8 -3.1 2.1 -20.0 -0.8 4.8 5.6 1.2 -5.2 -11.6 3.2 -7.3 CHF -18.8 0.2 20.0 1.8 -5.0 2.2 -5.3 1.5 -1.5 -8.5 7.9 -11.3 -0.3 -4.1 8.2 -14.0 -16.0 -14.7 -15.3 4.1 8.3 -12.0 4.1 -6.8 4.0 1.9 -3.0 3.8 -4.7 2.3 -2.7 -20.0 -4.6 -10.0 -7.2 13.4 -6.7 -11.2 -15.6 -11.7 COCOA 4.5 -0.0 6.0 0.3 0.1 -1.2 1.1 -1.5 1.5 5.3 1.7 2.8 3.3 2.4 0.9 20.0 20.0 20.0 20.0 2.7 4.8 7.6 10.1 3.8 -20.0 1.9 6.2 3.8 3.5 8.2 2.0 20.0 0.3 0.9 5.2 5.3 20.0 14.3 20.0 20.0 COFFEE -9.8 -2.8 4.4 0.6 0.2 -2.7 2.6 -3.5 3.4 -5.2 13.6 -7.0 14.4 1.6 8.1 2.7 5.6 3.5 4.5 8.7 14.2 -6.1 15.7 0.2 -20.0 3.4 -1.5 6.0 -3.0 7.6 -0.2 5.1 -20.0 -11.2 7.8 20.0 -5.6 -7.8 5.4 -1.4 COPPER 20.0 13.6 -12.0 1.8 1.0 0.2 0.4 -0.6 1.9 -5.6 -1.5 2.4 0.0 6.4 3.6 -3.3 -3.0 -3.2 -2.8 6.6 3.1 0.7 3.4 7.7 -14.2 2.8 -0.7 1.6 0.6 1.4 2.9 4.3 -4.8 15.6 11.3 0.8 20.0 9.4 19.2 20.0 CORN 11.2 14.0 -16.9 0.8 0.3 -3.7 3.5 -4.8 4.6 -18.1 -14.8 6.3 -20.0 16.5 -9.0 -10.4 -15.2 -15.6 -16.9 -2.3 -20.0 0.2 -20.0 6.2 -13.3 -2.2 -5.0 -9.9 -0.7 -14.7 2.1 -20.0 -4.7 -9.6 -1.2 -20.0 2.3 -4.1 6.8 0.1 COTTON2 8.9 19.7 1.1 0.6 0.2 -2.7 2.6 -3.6 3.4 -12.7 -13.3 2.1 -13.7 10.4 4.4 -12.5 -4.8 -11.1 -8.3 3.8 -6.5 -1.0 -13.5 5.3 -20.0 2.3 -3.1 -1.3 -0.8 -2.6 2.5 -14.8 -7.2 1.8 9.8 8.6 -13.8 -12.1 -5.5 -6.7 CRUDE_W 17.5 -5.2 -17.8 -0.6 4.6 -2.7 6.4 -1.6 4.0 9.8 -6.3 11.4 1.8 5.0 -5.2 7.1 12.0 10.3 11.5 -3.1 -6.5 12.5 -2.4 6.7 -1.5 0.1 5.3 -3.0 6.8 -1.6 4.8 10.5 -7.3 -5.6 5.7 3.5 -0.9 10.7 0.4 15.9 DAX 10.6 11.3 -4.4 4.2 5.4 5.3 3.9 7.4 4.1 10.2 11.7 8.6 15.0 12.1 13.9 -7.9 -10.0 -8.3 -9.0 13.4 10.5 11.9 12.3 14.5 9.7 4.8 5.5 4.2 4.9 5.9 5.6 -6.1 -1.9 9.3 11.3 -5.5 14.9 6.5 3.4 1.5 DOW 7.3 12.3 4.5 4.1 5.3 5.2 3.8 7.2 4.0 14.8 16.1 16.3 17.0 17.5 17.7 -9.4 -10.6 -9.5 -10.0 19.4 18.6 15.7 18.3 17.2 -13.6 6.4 6.2 6.4 4.7 6.5 5.3 -7.5 14.6 9.8 19.3 20.0 11.7 3.2 -6.0 -5.9 DX 20.0 -0.6 -20.0 2.3 -6.3 2.8 -6.7 1.9 -1.9 16.5 -9.8 17.9 2.7 10.4 -9.5 5.3 6.6 5.7 6.2 -2.2 -9.9 20.0 -5.1 16.7 -20.0 -0.9 7.3 -3.4 9.3 -1.8 5.4 13.9 20.0 20.0 -18.8 -20.0 -0.6 7.4 -1.5 10.4 EUR -15.8 -2.8 11.4 2.6 -7.1 3.2 -7.6 2.1 -2.2 -19.6 8.6 -20.0 -1.6 -14.5 6.6 -6.1 -7.0 -6.4 -6.7 -0.4 6.5 -20.0 4.1 -15.1 20.0 0.3 -9.0 3.7 -10.9 3.1 -6.5 -8.8 -17.5 -13.8 -14.3 7.7 -1.9 -20.0 -8.6 -20.0 EURIBOR-ICE -16.7 3.3 20.0 0.6 -2.9 1.9 -3.7 1.2 -2.1 -5.6 6.2 -6.2 5.0 -0.3 6.7 5.1 -1.7 2.8 0.5 6.2 8.2 -6.6 5.7 -0.9 11.3 2.2 -1.4 2.8 -2.1 2.0 -0.2 5.1 4.2 8.0 8.3 6.5 -16.0 -20.0 4.3 3.9 EUROSTX 11.4 5.9 -12.3 3.9 5.0 4.9 3.6 6.8 3.8 7.9 4.6 5.0 11.2 8.1 7.3 -3.6 -3.2 -4.1 -4.0 4.9 2.7 6.9 7.3 7.9 -2.4 2.4 3.8 1.8 3.8 5.3 4.2 4.2 -7.6 3.9 -0.4 -16.0 5.6 1.4 -20.0 -7.4 FEEDCOW 20.0 11.1 -20.0 0.8 0.3 -3.8 3.6 -4.9 4.8 18.3 -10.2 20.0 -13.7 20.0 -2.4 20.0 -9.0 18.2 6.0 6.3 -16.5 20.0 -18.3 20.0 -9.5 1.3 5.9 -3.7 9.0 -3.6 7.5 -7.7 20.0 20.0 9.8 -19.3 8.8 20.0 19.9 20.0 GASOIL 20.0 -5.9 -19.3 -0.6 4.8 -2.8 6.6 -1.6 4.1 14.9 -11.7 15.3 -0.5 4.4 -9.1 2.8 8.1 2.6 3.6 -6.6 -11.9 16.9 -6.1 7.4 3.9 -2.7 6.1 -4.7 6.2 -2.7 2.6 0.1 -2.2 -3.6 -8.1 -6.1 -4.9 -10.9 -3.3 -17.2 GASOLINE 20.0 -1.5 -15.8 -0.6 4.6 -2.7 6.4 -1.6 4.0 12.0 -6.9 12.4 0.9 8.0 -2.8 9.0 20.0 20.0 20.0 -0.3 -4.8 17.2 -1.1 10.5 -20.0 2.0 7.5 -1.0 8.6 -0.1 6.5 20.0 4.4 3.3 10.6 9.3 5.2 14.0 11.4 20.0 GAS_US_mini 12.1 10.2 -0.7 -0.8 6.3 -3.6 8.7 -2.1 5.4 -20.0 -16.9 -9.0 -20.0 2.7 -14.0 -20.0 -20.0 -20.0 -20.0 -1.8 -10.7 -12.4 -20.0 -0.8 20.0 -0.1 -15.0 -3.9 -7.9 -8.8 -0.5 -20.0 -20.0 -20.0 6.9 -0.8 -7.9 -20.0 -2.7 -18.6 GBP -10.0 3.6 9.4 2.5 -6.8 3.0 -7.2 2.0 -2.1 -17.9 15.2 -17.3 13.9 -1.1 10.6 1.0 -0.3 0.5 0.0 9.2 14.5 -17.5 12.6 -5.1 -1.9 4.1 -5.7 6.3 -6.5 5.6 -1.6 2.6 -14.2 2.7 8.4 15.6 6.2 -20.0 9.9 -19.8 GOLD_micro 8.1 15.3 15.6 3.2 1.8 0.3 0.6 -1.0 3.2 5.4 20.0 7.9 19.9 14.6 18.7 -13.2 -13.3 -12.8 -12.7 20.0 20.0 5.9 20.0 19.6 -13.0 6.7 1.9 6.7 1.3 6.8 4.6 -13.0 -1.3 14.6 17.3 20.0 18.8 -1.4 12.8 4.3 HEATOIL 20.0 -2.2 -15.3 -0.6 4.8 -2.8 6.7 -1.6 4.1 8.7 -12.2 10.7 -5.8 5.0 -8.5 -5.1 3.7 -5.4 -3.0 -4.4 -10.8 16.8 -7.5 9.0 -20.0 -0.2 6.0 -3.8 8.0 -3.0 5.4 -9.5 1.2 1.1 4.2 0.4 -8.9 3.9 -9.3 4.0 JGB-SGX-mini -9.6 6.7 16.6 0.6 -2.9 1.9 -3.7 1.2 -2.0 -6.7 4.9 -6.8 2.8 -2.0 5.7 8.4 16.0 12.2 14.1 3.5 4.6 -8.3 2.6 -2.5 -9.3 1.3 -3.8 1.6 -3.6 0.4 -1.2 20.0 4.1 8.7 1.0 -2.1 -12.8 -6.6 -13.9 0.6 JPY -20.0 -0.1 20.0 1.0 -2.6 1.1 -2.7 0.8 -0.8 -6.7 3.2 -7.4 -2.8 -5.5 3.2 -9.9 -14.4 -11.3 -12.7 0.0 2.4 -10.3 -1.7 -7.0 20.0 0.3 -2.2 0.9 -3.0 -0.6 -2.0 -20.0 -7.6 -15.1 -7.0 7.2 -20.0 -20.0 -20.0 -20.0 LEANHOG 11.4 20.0 8.0 0.9 0.3 -4.0 3.8 -5.2 5.0 20.0 -3.0 20.0 -6.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 4.1 19.8 -10.1 20.0 4.5 6.4 5.8 1.6 7.4 -2.1 8.4 20.0 20.0 19.0 20.0 20.0 0.2 -5.3 6.6 1.9 LIVECOW 20.0 13.9 1.7 0.9 0.3 -4.1 3.9 -5.4 5.1 14.7 15.0 20.0 11.8 20.0 16.0 1.2 8.9 5.5 9.1 20.0 16.0 20.0 12.8 20.0 -19.6 5.9 3.4 3.5 7.9 3.9 9.0 12.6 20.0 20.0 14.8 20.0 -2.1 20.0 8.0 20.0 LUMBER-new 12.6 7.9 4.1 0.6 0.2 -2.5 2.4 -3.2 3.2 8.6 -8.6 12.6 -10.3 10.1 9.1 -16.8 -17.8 -17.8 -17.8 3.3 -4.1 8.2 -9.2 7.5 NaN 3.1 3.5 -1.6 5.1 -5.1 5.1 -20.0 2.4 5.6 -2.6 14.2 2.6 -0.1 7.9 3.3 MILK -19.3 6.5 20.0 0.5 0.2 -2.3 2.2 -3.0 2.9 -8.4 11.9 -9.8 8.6 0.1 7.3 20.0 -2.9 20.0 15.3 9.1 15.6 -9.5 10.6 -2.9 14.1 2.7 -2.5 5.0 -3.4 3.2 -1.2 3.8 -14.8 -20.0 7.9 20.0 -0.2 -20.0 8.3 -20.0 MXP 8.9 -3.1 -20.0 1.6 -4.2 1.9 -4.5 1.3 -1.3 8.9 -9.6 4.2 -6.6 0.4 -6.9 10.4 13.5 10.5 11.4 -6.2 -11.7 4.2 -7.4 1.4 -20.0 -2.5 2.2 -4.9 1.8 -2.9 0.7 20.0 20.0 8.8 -15.2 -20.0 12.8 14.0 17.3 20.0 NASDAQ_micro 15.2 6.1 -17.5 3.1 3.9 3.9 2.8 5.4 2.9 11.8 5.1 12.4 9.5 12.4 4.9 -7.7 -9.6 -7.9 -8.7 8.6 8.2 11.7 12.7 11.3 -20.0 3.8 3.9 4.2 4.0 6.3 4.2 -5.5 8.5 5.3 7.2 -1.7 3.8 3.6 -9.7 -1.5 NIKKEI 18.8 4.1 -20.0 1.7 2.2 2.1 1.6 3.0 1.6 5.6 2.1 5.7 3.3 5.5 2.6 1.4 8.0 4.1 6.1 2.4 0.9 6.4 2.6 5.3 -6.0 -0.3 2.0 -0.7 2.0 1.0 1.4 20.0 1.5 5.3 -2.2 -10.6 13.5 3.2 13.5 3.1 NZD -8.8 5.6 4.2 1.5 -4.0 1.8 -4.3 1.2 -1.2 -7.9 5.6 -8.8 2.3 -1.7 5.4 -0.1 0.0 -0.1 -0.1 2.1 3.5 -12.0 1.8 -4.8 0.3 1.2 -4.1 1.7 -4.9 0.9 -1.7 2.9 -11.2 -0.6 2.2 -2.9 3.7 -6.8 3.3 -1.1 OAT -15.3 1.2 10.6 0.9 -4.2 2.7 -5.4 1.8 -3.0 -11.9 2.3 -12.3 -0.8 -8.8 6.2 7.5 4.4 5.3 4.1 0.4 2.2 -10.7 -0.4 -6.0 3.6 0.5 -5.0 1.8 -5.5 1.1 -3.0 13.5 14.9 4.7 0.4 -7.4 -13.6 -14.1 4.7 3.3 OATIES 14.3 20.0 10.9 0.7 0.2 -3.2 3.1 -4.2 4.1 -16.2 -1.2 10.1 -13.7 16.8 13.3 3.4 2.7 4.0 3.9 20.0 9.6 6.4 -5.9 20.0 -20.0 5.3 -2.6 2.2 1.3 -0.6 5.1 1.9 -6.0 -0.1 20.0 16.2 18.3 1.9 20.0 11.6 OJ -12.1 0.6 0.6 0.6 0.2 -2.6 2.5 -3.5 3.3 2.9 13.1 -5.9 14.7 3.2 8.4 10.6 12.0 11.3 10.9 9.0 15.5 -1.8 20.0 1.6 -20.0 3.9 0.0 7.2 -1.0 11.9 0.6 15.5 -4.2 -18.9 11.3 20.0 13.6 14.3 20.0 20.0 PALLAD -1.2 15.7 12.2 1.6 0.9 0.2 0.3 -0.5 1.6 8.1 1.9 -0.3 -5.6 3.2 4.2 -1.9 -2.0 -1.8 -1.9 5.1 2.1 5.7 -4.0 5.0 15.6 2.3 3.6 0.9 2.4 -1.2 2.2 5.9 12.5 -2.9 1.4 9.4 -14.5 -20.0 -20.0 -20.0 PLAT 2.8 4.7 -5.1 2.1 1.2 0.2 0.4 -0.6 2.1 -0.8 -4.5 -3.2 -3.5 4.7 -0.3 -4.0 -4.4 -4.4 -4.5 1.2 0.0 -2.2 -0.5 0.6 5.1 1.1 0.9 -0.3 -1.2 -0.6 0.8 1.5 -4.3 -9.3 -6.6 -2.2 -1.2 -7.2 -11.9 0.2 REDWHEAT 14.7 20.0 -6.4 0.8 0.3 -3.5 3.3 -4.6 4.4 8.5 -13.3 13.4 -18.3 15.8 2.4 -10.9 -6.9 -10.5 -9.3 5.4 -7.5 14.6 -17.4 15.4 -5.3 2.2 3.1 -2.9 6.8 -6.0 6.7 -17.6 20.0 -2.2 8.1 -10.8 -20.0 -20.0 -20.0 -20.0 RICE -4.5 0.3 -9.9 0.8 0.3 -3.6 3.4 -4.7 4.5 -17.2 11.6 -11.5 14.1 -2.0 -0.8 -11.1 20.0 0.7 19.0 -1.1 2.0 -8.6 8.7 -4.1 -14.2 -1.8 -9.0 0.8 -6.6 3.4 -4.2 20.0 -6.6 -20.0 -11.0 5.2 -20.0 -20.0 -20.0 -20.0 ROBUSTA -20.0 -1.6 4.3 0.3 0.1 -1.6 1.5 -2.1 2.0 -7.7 9.0 -7.2 9.5 2.7 6.7 20.0 20.0 20.0 20.0 10.6 15.9 -7.8 17.5 0.7 -20.0 2.5 -2.0 4.6 -2.1 6.2 -0.1 20.0 -20.0 -11.2 13.3 20.0 11.1 -2.1 20.0 4.5 RUSSELL 1.4 2.6 6.2 3.5 4.5 4.4 3.3 6.2 3.4 6.1 6.6 -0.5 11.0 6.2 5.2 -5.6 -6.3 -5.6 -5.9 5.8 7.5 2.3 8.2 3.4 -0.5 4.5 3.2 5.9 1.2 6.1 2.3 -0.1 -0.4 -4.0 2.5 14.8 0.5 -13.2 -12.1 -20.0 SHATZ -11.7 6.1 20.0 0.5 -2.6 1.7 -3.4 1.1 -1.9 -6.7 4.5 -6.6 -0.7 -0.5 5.6 -20.0 -20.0 -20.0 -20.0 5.2 5.8 -7.1 0.7 -1.1 6.1 1.9 -2.1 2.2 -2.3 0.7 -0.3 -20.0 1.3 8.0 6.2 5.5 -20.0 -17.5 -9.0 -8.8 SILVER-mini 7.8 7.9 -4.0 2.2 1.2 0.2 0.4 -0.7 2.3 -0.1 8.7 1.6 8.2 8.9 8.6 -6.0 -6.4 -6.1 -6.1 8.4 7.8 0.4 8.4 6.6 1.9 3.2 0.1 2.5 0.0 2.6 2.6 -1.5 -0.8 5.1 6.5 3.7 7.4 -2.3 -0.8 10.4 SMI 0.7 -9.2 -7.7 4.1 5.3 5.2 3.8 7.2 4.0 9.1 10.1 1.1 14.5 -5.3 3.9 0.7 0.2 -0.8 -1.0 -0.1 6.4 3.9 12.7 -0.4 11.5 2.4 6.9 7.6 2.4 11.2 0.4 9.7 -6.0 -12.7 -14.8 0.9 -1.8 1.7 -17.7 -4.8 SOFR -20.0 -6.6 20.0 1.0 -4.9 3.2 -6.4 2.1 -3.5 -11.7 10.7 -14.1 8.8 -10.3 6.6 2.6 0.1 1.9 0.8 0.7 11.2 -20.0 8.7 -16.5 -6.3 -0.9 -5.7 2.6 -8.1 2.8 -5.8 7.0 -10.8 -16.7 -8.7 -1.9 7.1 -12.4 20.0 12.1 SOYBEAN 12.6 14.6 -16.1 0.5 0.2 -2.4 2.3 -3.1 3.0 -12.9 -9.2 -6.8 -11.4 6.6 -4.9 -1.7 0.9 -4.4 -3.5 -3.9 -14.0 -7.7 -18.2 -0.3 -20.0 -2.2 -6.8 -5.7 -3.9 -6.7 -0.9 -6.4 -20.0 -8.9 0.2 -17.0 2.7 -13.1 11.1 -8.1 SOYMEAL 3.5 15.9 0.7 0.4 0.1 -1.7 1.7 -2.3 2.2 -9.6 -5.5 -8.7 -8.3 0.6 -0.9 -1.3 2.8 -1.9 -0.4 -0.3 -3.9 -9.5 -7.0 -2.2 -18.2 -0.3 -6.5 -1.6 -4.2 -2.4 -0.8 -1.9 -20.0 -8.8 0.4 -4.5 -20.0 -20.0 -20.0 -20.0 SOYOIL 20.0 17.5 -2.8 0.3 0.1 -1.6 1.5 -2.1 2.0 -3.0 -4.6 5.9 -8.4 6.4 -2.0 -0.8 1.2 0.9 0.8 2.7 -3.2 3.9 -7.2 6.4 -19.6 1.6 -0.3 -0.7 1.4 -2.1 2.7 -2.5 2.3 8.6 9.8 3.2 -0.8 -8.2 9.9 -2.9 SP400 8.8 6.2 1.6 4.0 5.1 5.1 3.7 7.0 3.9 12.0 11.2 13.4 14.7 14.6 12.1 -6.3 -6.0 -6.2 -6.0 10.4 9.9 9.5 11.7 10.4 -12.7 5.7 5.4 6.2 3.7 6.7 4.6 0.1 7.4 7.2 9.0 12.5 5.7 -5.9 -8.6 -20.0 SP500_micro 12.1 10.0 -16.8 4.1 5.2 5.1 3.8 7.1 3.9 15.5 16.1 16.8 17.2 17.4 16.8 -9.7 -11.6 -10.1 -10.9 17.6 18.9 16.4 20.0 17.3 -20.0 6.0 5.7 6.8 5.1 8.8 5.6 -9.1 14.7 8.9 16.4 9.2 8.2 3.2 -9.1 -3.4 SUGAR11 20.0 20.0 13.5 0.5 0.2 -2.4 2.3 -3.2 3.0 -11.5 3.3 6.5 -7.0 10.4 9.9 20.0 10.9 18.9 11.7 17.7 7.9 -0.4 -1.0 14.5 -20.0 3.7 -2.0 1.6 -0.1 -0.3 3.0 14.3 -17.4 20.0 20.0 20.0 -15.5 8.5 -12.9 11.8 US10 -20.0 -5.5 20.0 0.8 -3.7 2.4 -4.8 1.6 -2.7 -10.0 7.5 -11.2 4.4 -8.0 4.5 -6.3 -7.3 -6.8 -7.0 -0.4 6.8 -20.0 3.8 -13.5 1.8 -0.8 -5.1 1.8 -6.5 1.7 -4.6 -5.9 -12.7 -11.3 -7.7 -2.6 2.2 -20.0 20.0 8.1 US10U -20.0 -3.9 19.9 1.1 -5.4 3.5 -7.0 2.3 -3.9 -15.4 10.3 -16.7 4.7 -12.1 6.1 -4.2 -3.4 -4.3 -4.1 -0.8 9.0 -20.0 4.4 -18.9 -1.3 -1.4 -7.9 2.3 -9.7 2.2 -6.8 -0.2 -13.6 -14.2 -11.2 -7.4 2.9 -18.0 20.0 19.6 US2 -20.0 -2.2 20.0 0.5 -2.6 1.7 -3.4 1.1 -1.9 -5.6 4.7 -7.0 1.4 -4.4 3.7 -20.0 -20.0 -20.0 -20.0 0.8 5.1 -14.2 1.5 -8.8 11.3 0.2 -2.6 1.6 -4.0 1.0 -2.6 -20.0 -13.4 -8.0 -2.1 5.0 -0.6 -20.0 6.0 -12.3 US20 -20.0 -5.0 17.1 0.8 -4.2 2.7 -5.4 1.8 -3.0 -12.1 7.5 -13.2 5.4 -10.1 3.6 -2.5 -1.2 -1.9 -1.5 -1.6 6.6 -20.0 3.9 -15.5 -3.4 -1.4 -6.6 1.7 -7.6 2.0 -5.5 4.2 -9.2 -11.7 -9.9 -8.3 3.7 -11.1 20.0 20.0 US30 -20.0 -4.5 14.2 1.0 -4.8 3.1 -6.2 2.0 -3.4 -13.8 7.4 -15.1 3.1 -12.1 2.8 -3.7 -5.1 -4.9 -5.0 -2.9 5.2 -20.0 2.0 -16.9 -2.4 -2.0 -8.0 1.4 -8.8 1.7 -6.5 -2.3 -6.5 -11.0 -11.0 -12.8 0.3 -9.9 20.0 20.0 US5 -20.0 -5.6 20.0 0.7 -3.4 2.2 -4.5 1.4 -2.5 -8.4 6.8 -9.9 3.2 -7.0 4.3 -8.5 -10.7 -10.1 -10.4 -0.2 6.4 -19.1 3.3 -12.5 5.5 -0.5 -4.1 1.8 -5.8 1.5 -4.0 -11.8 -14.3 -11.8 -6.3 0.4 4.4 -20.0 20.0 1.5 VIX 3.6 4.1 20.0 2.2 -0.3 1.3 1.3 -2.0 1.8 -0.1 -5.9 3.4 -8.9 3.5 -5.1 6.9 -20.0 -5.4 -17.5 3.5 0.9 3.4 -5.2 4.2 NaN 2.4 -0.4 1.4 1.5 -2.4 2.0 NaN NaN NaN NaN NaN -15.2 -20.0 NaN NaN WHEAT 14.9 20.0 -8.7 0.7 0.3 -3.4 3.3 -4.5 4.3 4.5 -11.3 10.9 -16.3 16.5 3.4 -11.4 -14.6 -13.8 -14.7 7.2 -6.4 11.9 -16.4 15.6 4.2 2.5 1.8 -2.4 5.3 -5.1 6.3 -20.0 18.9 -0.6 8.1 -11.0 -20.0 -18.6 -20.0 -16.1 End of report for caleb_strategy_v3