******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241014_203922 produced at 2024-10-14 21:37:52.456609 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.22 0.0 0.00 0.00 0.00 0.00 -2.58 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.09 0.0 0.00 0.00 0.00 0.00 -1.19 13.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.09 0.0 0.75 -0.75 -0.03 -0.03 -3.61 29.0 -1 -1 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.09 0.0 0.00 0.00 0.00 0.00 -2.22 24.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.06 0.0 0.09 -0.09 -0.04 -0.04 -7.69 12.0 -5 -5 caleb_strategy_v3 CHF False False 0.05 0.00 -0.06 0.0 0.68 -0.68 0.00 -0.05 -1.15 13.0 0 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.06 0.0 0.07 -0.07 -0.03 -0.04 -23.44 26.0 -10 -16 caleb_strategy_v3 VIX False False 0.01 -0.03 -0.05 0.0 999.00 -999.00 -0.03 -0.03 -7.74 999999999.0 -5 -5 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.04 0.0 0.68 -0.68 -0.05 -0.05 -0.92 14.0 -1 -1 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -15.08 59.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.03 0.0 0.96 -0.96 -0.04 -0.04 -0.74 25.0 -1 -1 caleb_strategy_v3 HEATOIL False False 0.03 0.00 -0.03 0.0 0.10 -0.10 0.00 0.00 -0.84 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 -2.74 4.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.04 -0.03 0.0 0.14 -0.14 -0.04 -0.05 -2.25 11.0 -3 -4 caleb_strategy_v3 JPY False False 0.03 -0.06 -0.03 0.0 0.51 -0.51 -0.06 -0.06 -1.06 17.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.17 -0.17 -0.01 -0.01 -6.35 51.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.06 -0.02 0.0 0.13 -0.13 -0.06 -0.06 -1.04 7.0 -3 -3 caleb_strategy_v3 US10U False False 0.04 0.00 -0.02 0.0 0.53 -0.53 0.00 0.00 -0.39 13.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.61 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 -0.49 17.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -1.15 9.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.02 -1.14 9.0 -1 -2 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -1.21 8.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.05 -0.01 0.0 0.55 -0.55 -0.05 -0.04 -1.46 60.0 -5 -4 caleb_strategy_v3 GASOIL False False 0.02 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.57 4.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.01 0.0 0.88 -0.88 0.00 0.00 -0.16 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 -0.28 10.0 -1 -1 caleb_strategy_v3 DX False False 0.04 0.00 -0.01 0.0 999.00 -999.00 0.00 0.00 -0.15 999999999.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.19 9.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.00 -0.01 0.0 0.27 -0.27 0.00 0.00 -0.23 6.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.13 4.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.02 0.00 0.0 0.40 -0.40 0.02 0.00 0.23 23.0 1 0 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.00 0.0 0.18 -0.18 0.00 0.00 -0.25 10.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.10 2.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.02 -0.00 0.0 0.46 -0.46 0.02 0.00 -0.18 21.0 1 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.00 0.0 0.34 -0.34 -0.01 -0.01 -0.25 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 -0.44 3.0 -2 -2 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.31 10.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 -0.00 0.0 0.21 -0.21 0.00 0.00 -0.02 6.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.01 0.0 0.64 -0.64 0.00 0.02 0.58 26.0 0 1 caleb_strategy_v3 MILK False False 0.01 0.01 0.01 0.0 0.07 -0.07 0.01 0.01 0.99 5.0 1 1 caleb_strategy_v3 OATIES False True 0.01 0.00 0.01 0.0 0.00 0.00 0.00 0.00 1.06 2.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.01 0.0 0.40 -0.40 0.00 0.00 0.70 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 1.38 18.0 3 3 caleb_strategy_v3 GBP False False 0.03 0.00 0.01 0.0 0.64 -0.64 0.00 0.00 0.43 22.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.01 0.0 0.27 -0.27 0.00 0.00 2.82 68.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.02 0.0 0.51 -0.51 0.00 0.00 2.26 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 0.53 999999999.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 0.02 0.0 0.46 -0.46 0.00 0.00 0.97 19.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.05 0.02 0.0 0.49 -0.49 0.05 0.05 0.47 10.0 1 1 caleb_strategy_v3 OJ False False 0.03 0.03 0.02 0.0 0.08 -0.08 0.03 0.03 0.61 3.0 1 1 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.61 999999999.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.23 0.03 0.0 0.23 -0.23 0.23 0.23 0.24 2.0 2 2 caleb_strategy_v3 FEEDCOW False False 0.04 0.04 0.03 0.0 0.35 -0.35 0.04 0.09 0.78 8.0 1 2 caleb_strategy_v3 CRUDE_W False False 0.02 0.00 0.04 0.0 0.12 -0.12 0.00 0.00 1.41 5.0 0 0 caleb_strategy_v3 COPPER False False 0.04 0.08 0.04 0.0 999.00 -999.00 0.08 0.08 1.11 999999999.0 2 2 caleb_strategy_v3 SMI False True 0.05 0.00 0.05 0.0 0.00 0.00 0.00 0.00 0.90 9.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.05 0.0 0.51 -0.51 0.00 0.00 6.76 66.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.02 0.06 0.0 0.35 -0.35 0.02 0.04 6.37 36.0 2 4 caleb_strategy_v3 BTP False False 0.05 0.00 0.06 0.0 0.47 -0.47 0.00 0.00 1.20 10.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.01 0.07 0.0 0.53 -0.53 0.01 0.01 7.11 56.0 1 1 caleb_strategy_v3 DAX False False 0.01 0.01 0.08 0.0 0.44 -0.44 0.01 0.03 10.80 58.0 1 4 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.11 0.0 0.15 -0.15 0.07 0.07 9.61 13.0 6 6 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.27 0.11 0.0 0.55 -0.55 0.27 0.27 3.31 16.0 8 8 caleb_strategy_v3 LIVECOW False False 0.03 0.08 0.11 0.0 0.46 -0.46 0.08 0.08 4.24 17.0 3 3 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.00 0.61 0.0 0.95 -0.95 0.00 0.00 6.45 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.0 Shocked risk 21.2 Sum abs risk 31.0 Leverage 2.86 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2805901.37, 'annual_cash_vol_target': 701475.3425, 'daily_cash_vol_target': 43842.20890625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6723 0.6070 9.7123 BITCOIN 1658.3701 66675.0000 2.4872 39.7959 BOBL 0.2475 118.9300 0.2081 3.3303 BTP 0.4792 120.5600 0.3975 6.3602 BUND 0.4694 133.1800 0.3524 5.6391 BUXL 1.1547 133.3400 0.8660 13.8563 CAC 66.4833 7637.0000 0.8705 13.9287 CAD 0.0026 0.7258 0.3630 5.8074 CANOLA 8.4570 626.8000 1.3492 21.5876 CHF 0.0056 1.1660 0.4783 7.6530 COCOA 152.8988 6870.0000 2.2256 35.6096 COFFEE 5.0392 259.8500 1.9393 31.0284 COPPER 0.0613 4.4015 1.3936 22.2979 CORN 4.4648 442.0000 1.0101 16.1623 COTTON2 1.0003 71.1300 1.4063 22.5005 CRUDE_W 1.2129 69.9700 1.7335 27.7361 DAX 143.7019 19669.0000 0.7306 11.6896 DOW 248.5483 43352.0000 0.5733 9.1732 DX 0.3597 103.0900 0.3489 5.5826 EUR 0.0044 1.0925 0.4003 6.4042 EURIBOR-ICE 0.0458 97.8700 0.0468 0.7484 EUROSTX 43.9107 5074.0000 0.8654 13.8465 FEEDCOW 1.5795 247.5000 0.6382 10.2107 GASOIL 11.2659 689.2500 1.6345 26.1521 GASOLINE 0.0408 2.0649 1.9780 31.6485 GAS_US_mini 0.0866 2.9250 2.9590 47.3445 GBP 0.0064 1.3050 0.4868 7.7885 GOLD_micro 17.2753 2666.8000 0.6478 10.3647 HEATOIL 0.0428 2.2999 1.8589 29.7431 JGB-SGX-mini 0.2381 143.8800 0.1655 2.6472 JPY 0.0001 0.0067 0.7920 12.6713 LEANHOG 1.0114 79.7750 1.2678 20.2843 LIVECOW 1.0840 187.8250 0.5771 9.2341 LUMBER-new 8.0220 558.0000 1.4376 23.0021 MILK 0.2647 20.5700 1.2868 20.5888 MXP 0.0004 0.0511 0.8176 13.0822 NASDAQ_micro 170.6419 20625.7500 0.8273 13.2372 NIKKEI 595.0873 40140.0000 1.4825 23.7205 NZD 0.0043 0.6088 0.7088 11.3416 OAT 0.4490 125.6600 0.3573 5.7167 OATIES 5.6210 370.0000 1.5192 24.3071 OJ 8.7476 480.0000 1.8224 29.1585 PALLAD 25.0597 1032.0000 2.4283 38.8523 PLAT 15.6363 1003.8000 1.5577 24.9234 REDWHEAT 9.7692 607.2500 1.6088 25.7401 RICE 0.1369 15.3200 0.8936 14.2983 ROBUSTA 92.1863 4837.0000 1.9059 30.4937 RUSSELL 22.3059 2262.6000 0.9859 15.7736 SHATZ 0.0893 106.7200 0.0837 1.3392 SILVER-mini 0.5006 31.6500 1.5815 25.3047 SMI 82.3340 12334.0000 0.6675 10.6806 SOFR 0.0573 96.5850 0.0593 0.9491 SOYBEAN 10.5001 1047.5000 1.0024 16.0383 SOYMEAL 4.6936 316.6000 1.4825 23.7201 SOYOIL 0.7567 42.2100 1.7927 28.6831 SP400 23.8883 3192.1000 0.7484 11.9737 SP500_micro 36.0747 5908.7500 0.6105 9.7685 SUGAR11 0.3260 20.6900 1.5754 25.2070 US10 0.3737 111.9375 0.3338 5.3415 US10U 0.4885 115.3281 0.4236 6.7773 US2 0.1218 103.3867 0.1178 1.8842 US20 0.7020 119.9062 0.5854 9.3669 US30 1.0572 127.1562 0.8314 13.3023 US5 0.2603 108.2891 0.2403 3.8456 VIX 0.6439 18.8000 3.4248 54.7967 WHEAT 8.8293 648.5000 1.3615 21.7840 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 672.30 0.61 408.10 1.00 408.10 43842.21 107.43 3.48 37.37 BITCOIN 66.68 2.49 165.84 1.00 165.84 43842.21 264.37 -5.27 -139.27 BOBL 1189.30 0.21 247.54 1.09 270.68 43842.21 161.97 -0.99 -16.02 BTP 1205.60 0.40 479.24 1.09 524.03 43842.21 83.66 4.21 35.22 BUND 1331.80 0.35 469.38 1.09 513.25 43842.21 85.42 -3.28 -28.05 BUXL 1333.40 0.87 1154.75 1.09 1262.66 43842.21 34.72 -3.56 -12.37 CAC 763.70 0.87 664.83 1.09 726.96 43842.21 60.31 -2.98 -17.95 CAD 725.80 0.36 263.44 1.00 263.44 43842.21 166.42 -8.36 -139.14 CANOLA 125.36 1.35 169.14 0.73 123.33 43842.21 355.49 -7.34 -260.99 CHF 1457.50 0.48 697.14 1.00 697.14 43842.21 62.89 -7.04 -44.28 COCOA 687.00 2.23 1528.99 1.00 1528.99 43842.21 28.67 9.40 26.94 COFFEE 974.44 1.94 1889.70 1.00 1889.70 43842.21 23.20 -0.84 -1.94 COPPER 1100.38 1.39 1533.50 1.00 1533.50 43842.21 28.59 3.58 10.25 CORN 221.00 1.01 223.24 1.00 223.24 43842.21 196.39 -16.09 -315.97 COTTON2 355.65 1.41 500.14 1.00 500.14 43842.21 87.66 -11.97 -104.95 CRUDE_W 699.70 1.73 1212.93 1.00 1212.93 43842.21 36.15 3.60 13.02 DAX 196.69 0.73 143.70 1.09 157.13 43842.21 279.02 11.35 316.77 DOW 216.76 0.57 124.27 1.00 124.27 43842.21 352.79 8.25 290.99 DX 1030.90 0.35 359.70 1.00 359.70 43842.21 121.89 -0.49 -5.92 EUR 1365.62 0.40 546.61 1.00 546.61 43842.21 80.21 -4.41 -35.38 EURIBOR-ICE 2446.75 0.05 114.45 1.09 125.14 43842.21 350.33 5.40 189.11 EUROSTX 507.40 0.87 439.11 1.09 480.14 43842.21 91.31 2.24 20.42 FEEDCOW 1237.50 0.64 789.74 1.00 789.74 43842.21 55.51 4.25 23.57 GASOIL 689.25 1.63 1126.59 1.00 1126.59 43842.21 38.92 -3.40 -13.22 GASOLINE 867.26 1.98 1715.46 1.00 1715.46 43842.21 25.56 5.47 13.97 GAS_US_mini 73.12 2.96 216.38 1.00 216.38 43842.21 202.62 -10.68 -216.46 GBP 815.62 0.49 397.03 1.00 397.03 43842.21 110.42 1.51 16.62 GOLD_micro 266.68 0.65 172.75 1.00 172.75 43842.21 253.79 8.21 208.31 HEATOIL 965.96 1.86 1795.66 1.00 1795.66 43842.21 24.42 -7.93 -19.35 JGB-SGX-mini 143880.00 0.17 23805.23 0.01 159.99 43842.21 274.04 1.11 30.53 JPY 840.81 0.79 665.89 1.00 665.89 43842.21 65.84 -6.18 -40.69 LEANHOG 319.10 1.27 404.54 1.00 404.54 43842.21 108.37 14.60 158.19 LIVECOW 751.30 0.58 433.60 1.00 433.60 43842.21 101.11 12.66 128.04 LUMBER-new 153.45 1.44 220.60 1.00 220.60 43842.21 198.74 -1.03 -20.37 MILK 411.40 1.29 529.39 1.00 529.39 43842.21 82.82 5.57 46.15 MXP 255.70 0.82 209.07 1.00 209.07 43842.21 209.70 -0.47 -9.92 NASDAQ_micro 412.52 0.83 341.28 1.00 341.28 43842.21 128.46 -0.84 -10.81 NIKKEI 40140.00 1.48 59508.73 0.01 399.94 43842.21 109.62 5.37 58.85 NZD 608.85 0.71 431.58 1.00 431.58 43842.21 101.58 -0.68 -6.91 OAT 1256.60 0.36 448.98 1.09 490.94 43842.21 89.30 1.55 13.84 OATIES 185.00 1.52 281.05 1.00 281.05 43842.21 155.99 2.80 43.69 OJ 720.00 1.82 1312.13 1.00 1312.13 43842.21 33.41 8.58 28.67 PALLAD 1032.00 2.43 2505.97 1.00 2505.97 43842.21 17.50 1.75 3.06 PLAT 501.90 1.56 781.81 1.00 781.81 43842.21 56.08 -1.30 -7.31 REDWHEAT 303.62 1.61 488.46 1.00 488.46 43842.21 89.76 -10.18 -91.35 RICE 306.40 0.89 273.81 1.00 273.81 43842.21 160.12 -7.03 -112.54 ROBUSTA 483.70 1.91 921.86 1.00 921.86 43842.21 47.56 4.09 19.45 RUSSELL 113.13 0.99 111.53 1.00 111.53 43842.21 393.10 2.17 85.13 SHATZ 1067.20 0.08 89.33 1.09 97.67 43842.21 448.86 -4.88 -218.98 SILVER-mini 791.25 1.58 1251.40 1.00 1251.40 43842.21 35.03 4.47 15.67 SMI 1233.40 0.67 823.34 1.17 960.34 43842.21 45.65 5.79 26.43 SOFR 2414.62 0.06 143.23 1.00 143.23 43842.21 306.10 -1.38 -42.38 SOYBEAN 523.75 1.00 525.00 1.00 525.00 43842.21 83.51 -13.35 -111.52 SOYMEAL 316.60 1.48 469.36 1.00 469.36 43842.21 93.41 -13.22 -123.49 SOYOIL 253.26 1.79 454.02 1.00 454.02 43842.21 96.57 -3.40 -32.84 SP400 3192.10 0.75 2388.83 1.00 2388.83 43842.21 18.35 3.97 7.29 SP500_micro 295.44 0.61 180.37 1.00 180.37 43842.21 243.06 4.00 97.18 SUGAR11 231.73 1.58 365.07 1.00 365.07 43842.21 120.09 5.41 65.03 US10 1119.38 0.33 373.69 1.00 373.69 43842.21 117.32 -3.32 -39.00 US10U 1153.28 0.42 488.51 1.00 488.51 43842.21 89.75 -3.40 -30.48 US2 2067.73 0.12 243.50 1.00 243.50 43842.21 180.05 -5.22 -94.03 US20 1199.06 0.59 701.97 1.00 701.97 43842.21 62.46 -2.37 -14.79 US30 1271.56 0.83 1057.17 1.00 1057.17 43842.21 41.47 -4.29 -17.79 US5 1082.89 0.24 260.27 1.00 260.27 43842.21 168.45 -3.45 -58.05 VIX 188.00 3.42 643.86 1.00 643.86 43842.21 68.09 -4.60 -31.36 WHEAT 324.25 1.36 441.47 1.00 441.47 43842.21 99.31 -8.62 -85.63 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 37.371 0.010 2.5 0.970 BITCOIN -139.267 0.043 2.5 -15.081 BOBL -16.016 0.004 2.5 -0.162 BTP 35.225 0.014 2.5 1.201 BUND -28.049 0.004 2.5 -0.284 BUXL -12.372 0.004 2.5 -0.125 CAC -17.948 0.014 2.5 -0.612 CAD -139.140 0.010 2.5 -3.610 CANOLA -260.992 0.010 2.5 -6.350 CHF -44.276 0.010 2.5 -1.149 COCOA 26.942 0.009 2.5 0.577 COFFEE -1.944 0.005 2.5 -0.023 COPPER 10.246 0.043 2.5 1.110 CORN -315.971 0.010 2.5 -7.687 COTTON2 -104.950 0.009 2.5 -2.248 CRUDE_W 13.020 0.043 2.5 1.410 DAX 316.767 0.014 2.5 10.804 DOW 290.988 0.009 2.5 6.763 DX -5.923 0.010 2.5 -0.154 EUR -35.383 0.010 2.5 -0.918 EURIBOR-ICE 189.111 0.014 2.5 6.450 EUROSTX 20.415 0.014 2.5 0.696 FEEDCOW 23.570 0.013 2.5 0.781 GASOIL -13.220 0.017 2.5 -0.573 GASOLINE 13.968 0.017 2.5 0.605 GAS_US_mini -216.465 0.043 2.5 -23.440 GBP 16.620 0.010 2.5 0.431 GOLD_micro 208.315 0.014 2.5 7.105 HEATOIL -19.353 0.017 2.5 -0.839 JGB-SGX-mini 30.533 0.043 2.5 3.306 JPY -40.695 0.010 2.5 -1.056 LEANHOG 158.191 0.024 2.5 9.614 LIVECOW 128.036 0.013 2.5 4.243 LUMBER-new -20.374 0.009 2.5 -0.436 MILK 46.148 0.009 2.5 0.988 MXP -9.916 0.059 2.5 -1.455 NASDAQ_micro -10.813 0.009 2.5 -0.251 NIKKEI 58.851 0.043 2.5 6.373 NZD -6.910 0.010 2.5 -0.179 OAT 13.843 0.014 2.5 0.472 OATIES 43.688 0.010 2.5 1.063 OJ 28.666 0.009 2.5 0.614 PALLAD 3.059 0.014 2.5 0.104 PLAT -7.311 0.014 2.5 -0.249 REDWHEAT -91.354 0.005 2.5 -1.212 RICE -112.537 0.010 2.5 -2.738 ROBUSTA 19.450 0.005 2.5 0.227 RUSSELL 85.126 0.013 2.5 2.821 SHATZ -218.984 0.004 2.5 -2.221 SILVER-mini 15.665 0.014 2.5 0.534 SMI 26.429 0.014 2.5 0.901 SOFR -42.382 0.024 2.5 -2.576 SOYBEAN -111.520 0.004 2.5 -1.037 SOYMEAL -123.485 0.004 2.5 -1.148 SOYOIL -32.842 0.004 2.5 -0.306 SP400 7.289 0.013 2.5 0.242 SP500_micro 97.180 0.009 2.5 2.258 SUGAR11 65.028 0.009 2.5 1.383 US10 -39.003 0.005 2.5 -0.494 US10U -30.481 0.005 2.5 -0.386 US2 -94.033 0.005 2.5 -1.192 US20 -14.794 0.005 2.5 -0.187 US30 -17.790 0.005 2.5 -0.225 US5 -58.046 0.005 2.5 -0.736 VIX -31.357 0.099 2.5 -7.740 WHEAT -85.626 0.005 2.5 -1.136 ===================== Position diags ===================== AUD 2.79 BITCOIN 28.63 BOBL 1.64 BTP 2.85 BUND 0.87 BUXL 0.35 CAC 2.06 CAD 4.32 CANOLA 8.65 CHF 1.63 COCOA 0.61 COFFEE 0.27 COPPER 3.10 CORN 4.78 COTTON2 1.88 CRUDE_W 3.91 DAX 9.52 DOW 8.20 DX 3.16 EUR 2.08 EURIBOR-ICE 11.95 EUROSTX 3.11 FEEDCOW 1.84 GASOIL 1.69 GASOLINE 1.11 GAS_US_mini 21.94 GBP 2.87 GOLD_micro 8.66 HEATOIL 1.06 JGB-SGX-mini 29.67 JPY 1.71 LEANHOG 6.59 LIVECOW 3.35 LUMBER-new 4.26 MILK 1.77 MXP 30.78 NASDAQ_micro 2.99 NIKKEI 11.87 NZD 2.64 OAT 3.05 OATIES 3.80 OJ 0.72 PALLAD 0.60 PLAT 1.91 REDWHEAT 1.19 RICE 3.90 ROBUSTA 0.56 RUSSELL 13.03 SHATZ 4.55 SILVER-mini 1.19 SMI 1.56 SOFR 18.60 SOYBEAN 0.78 SOYMEAL 0.87 SOYOIL 0.90 SP400 0.61 SP500_micro 5.65 SUGAR11 2.55 US10 1.49 US10U 1.14 US2 2.28 US20 0.79 US30 0.53 US5 2.13 VIX 16.81 WHEAT 1.32 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.0 0.7 1.2 0.0 0 BITCOIN -15.1 -17.9 -12.2 0.0 0 BOBL -0.2 -0.3 0.0 0.0 0 BTP 1.2 0.9 1.5 0.0 0 BUND -0.3 -0.4 -0.2 -1.0 -1 BUXL -0.1 -0.2 -0.1 0.0 0 CAC -0.6 -0.8 -0.4 0.0 0 CAD -3.6 -4.0 -3.2 -1.0 -1 CANOLA -6.3 -7.2 -5.5 -2.0 -2 CHF -1.1 -1.3 -1.0 0.0 0 COCOA 0.6 0.5 0.6 0.0 0 COFFEE -0.0 -0.0 0.0 0.0 0 COPPER 1.1 0.8 1.4 2.0 2 CORN -7.7 -8.2 -7.2 -5.0 -5 COTTON2 -2.2 -2.4 -2.1 -3.0 -3 CRUDE_W 1.4 1.0 1.8 0.0 0 DAX 10.8 9.9 11.8 1.0 1 DOW 6.8 5.9 7.6 0.0 0 DX -0.2 -0.5 0.2 0.0 0 EUR -0.9 -1.1 -0.7 -1.0 -1 EURIBOR-ICE 6.5 5.3 7.6 0.0 0 EUROSTX 0.7 0.4 1.0 0.0 0 FEEDCOW 0.8 0.6 1.0 1.0 1 GASOIL -0.6 -0.7 -0.4 0.0 0 GASOLINE 0.6 0.5 0.7 0.0 0 GAS_US_mini -23.4 -25.6 -21.2 -10.0 -10 GBP 0.4 0.1 0.7 0.0 0 GOLD_micro 7.1 6.2 8.0 1.0 1 HEATOIL -0.8 -0.9 -0.7 0.0 0 JGB-SGX-mini 3.3 0.3 6.3 8.0 8 JPY -1.1 -1.2 -0.9 -2.0 -2 LEANHOG 9.6 9.0 10.3 6.0 6 LIVECOW 4.2 3.9 4.6 3.0 3 LUMBER-new -0.4 -0.9 -0.0 -2.0 -2 MILK 1.0 0.8 1.2 1.0 1 MXP -1.5 -4.5 1.6 -5.0 -5 NASDAQ_micro -0.3 -0.5 0.0 -1.0 -1 NIKKEI 6.4 5.2 7.6 2.0 2 NZD -0.2 -0.4 0.1 1.0 1 OAT 0.5 0.2 0.8 1.0 1 OATIES 1.1 0.7 1.4 NaN 0 OJ 0.6 0.5 0.7 1.0 1 PALLAD 0.1 0.0 0.2 0.0 0 PLAT -0.2 -0.4 -0.1 0.0 0 REDWHEAT -1.2 -1.3 -1.1 0.0 0 RICE -2.7 -3.1 -2.3 NaN 0 ROBUSTA 0.2 0.2 0.3 1.0 1 RUSSELL 2.8 1.5 4.1 0.0 0 SHATZ -2.2 -2.7 -1.8 NaN 0 SILVER-mini 0.5 0.4 0.7 0.0 0 SMI 0.9 0.7 1.1 0.0 0 SOFR -2.6 -4.4 -0.7 NaN 0 SOYBEAN -1.0 -1.1 -1.0 -3.0 -3 SOYMEAL -1.1 -1.2 -1.1 -1.0 -1 SOYOIL -0.3 -0.4 -0.2 0.0 0 SP400 0.2 0.2 0.3 2.0 2 SP500_micro 2.3 1.7 2.8 0.0 0 SUGAR11 1.4 1.1 1.6 3.0 3 US10 -0.5 -0.6 -0.3 0.0 0 US10U -0.4 -0.5 -0.3 0.0 0 US2 -1.2 -1.4 -1.0 NaN 0 US20 -0.2 -0.3 -0.1 0.0 0 US30 -0.2 -0.3 -0.2 0.0 0 US5 -0.7 -0.9 -0.5 -1.0 -1 VIX -7.7 -9.4 -6.1 -5.0 -5 WHEAT -1.1 -1.3 -1.0 -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 0.1 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 -0.1 0.4 0.1 0.0 0.3 -0.2 0.5 -0.0 BITCOIN 0.3 0.0 -0.4 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 0.3 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 0.2 0.0 -2.7 -0.0 0.1 -0.0 0.1 0.3 0.0 -0.1 0.1 0.2 -0.6 -0.3 0.0 -0.1 -0.0 0.1 BOBL -0.4 0.1 0.6 0.0 -0.0 0.1 -0.0 0.0 -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 -0.2 0.2 0.4 0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.1 0.4 -0.2 0.6 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.2 -0.0 0.4 0.0 -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 -0.1 0.1 -0.4 -0.1 -0.3 -0.2 0.0 0.1 -0.1 0.1 -0.1 0.2 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.2 0.2 0.4 0.1 -0.1 -0.7 -0.6 -0.1 -0.1 BUXL -0.3 -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 0.2 0.3 -0.4 0.0 0.1 0.1 0.1 0.2 0.0 0.1 -0.2 -0.0 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.0 0.0 -0.9 -0.0 0.0 -0.1 0.0 0.0 0.0 0.2 -0.4 -0.2 -0.2 -0.6 0.3 0.2 -0.1 -0.0 CAD -0.4 0.0 0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.0 -0.2 -0.5 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.0 -0.2 0.0 -0.2 -0.0 -0.1 -0.2 -0.5 -0.4 -0.3 -0.2 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 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.1 -0.0 -0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.0 0.1 -0.1 0.1 -0.1 0.5 0.0 -0.1 0.1 -0.1 0.1 -0.0 -1.1 -0.2 -0.4 -0.2 0.4 -0.2 -0.4 -0.5 -0.4 COCOA 0.2 0.0 0.3 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.1 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 0.1 -2.7 0.0 0.0 0.1 0.0 0.3 0.0 1.1 0.2 0.1 0.2 0.2 0.7 0.5 0.7 0.7 COFFEE -0.2 -0.1 0.1 0.0 -0.0 -0.1 0.0 -0.1 0.0 0.1 0.4 -0.0 0.5 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.4 0.0 -2.7 0.0 0.0 0.2 -0.0 0.3 0.0 0.3 -0.5 -0.3 0.2 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 -0.3 0.4 0.3 0.0 0.7 0.3 0.6 0.7 CORN 0.3 0.5 -0.4 0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.2 -0.4 -0.0 -0.7 0.1 -0.1 -0.2 -0.3 -0.3 -0.3 -0.0 -0.2 -0.1 -0.5 0.0 -1.7 -0.0 -0.1 -0.3 -0.1 -0.5 -0.0 -1.1 -0.5 -0.5 -0.1 -0.6 0.1 -0.1 0.2 0.0 COTTON2 0.2 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 0.0 -2.7 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.8 -0.4 -0.2 0.3 0.3 -0.5 -0.4 -0.2 -0.2 CRUDE_W 0.6 -0.2 -0.6 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.0 -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 -0.1 -0.2 0.2 0.1 -0.0 0.3 0.0 0.5 DAX 0.4 0.4 -0.1 0.0 0.1 0.1 0.1 0.3 0.1 0.1 0.3 0.1 0.6 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.1 0.2 0.3 0.2 1.3 0.1 0.1 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 0.3 0.0 0.1 0.1 0.1 0.3 0.1 0.1 0.4 0.2 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 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 0.2 -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 -0.4 -0.6 -0.0 0.3 -0.0 0.4 EUR -0.6 -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 -0.5 -0.5 0.2 -0.1 -0.7 -0.3 -0.7 EURIBOR-ICE -0.5 0.1 0.6 0.0 -0.0 0.0 -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 0.2 0.1 EUROSTX 0.4 0.2 -0.4 0.0 0.1 0.1 0.1 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 0.1 0.1 0.1 0.2 0.1 0.2 -0.1 0.1 -0.0 -0.5 0.2 0.0 -0.7 -0.3 FEEDCOW 0.6 0.4 -0.6 0.0 -0.0 -0.1 0.0 -0.2 0.0 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 0.0 -0.1 0.1 -0.1 0.1 -0.4 0.5 0.6 0.5 -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 0.1 -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 0.0 -0.1 0.0 -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 -0.0 0.1 -0.0 0.1 -2.7 0.0 0.0 -0.0 0.1 -0.0 0.1 1.1 0.1 0.1 0.4 0.3 0.2 0.5 0.4 0.7 GAS_US_mini 0.2 0.3 0.0 -0.0 0.0 -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 -0.2 -0.5 -0.1 2.7 -0.0 -0.2 -0.1 -0.1 -0.3 -0.0 -1.1 -0.5 -0.6 0.0 -0.1 -0.3 -0.7 -0.1 -0.6 GBP -0.4 0.1 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.4 -0.2 0.5 -0.1 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 0.2 0.5 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.5 0.1 0.7 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.1 0.5 0.2 -1.8 0.1 0.0 0.2 0.0 0.2 0.0 -0.7 -0.0 0.5 0.5 0.6 0.6 -0.0 0.4 0.2 HEATOIL 0.6 -0.1 -0.5 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.0 -0.3 0.1 -0.2 0.1 -0.1 -0.1 0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.2 0.1 -2.7 -0.0 0.0 -0.1 0.1 -0.1 0.1 -0.5 -0.0 0.1 0.1 0.0 -0.3 0.1 -0.3 0.1 JGB-SGX-mini -0.4 0.2 0.5 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.0 0.1 0.2 0.3 0.2 0.3 0.0 0.0 -0.1 0.1 -0.0 -1.3 0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 0.2 0.3 0.0 -0.1 -0.4 -0.2 -0.5 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 -0.2 -0.5 -0.2 0.2 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.3 0.6 0.2 0.0 -0.0 -0.1 0.0 -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 0.1 -0.3 0.2 0.6 0.1 0.0 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 0.5 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 0.4 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 0.7 0.5 0.6 0.6 0.6 -0.1 0.7 0.2 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 -0.0 0.1 -0.3 0.1 NaN 0.0 0.0 -0.0 0.1 -0.2 0.1 -1.2 0.3 0.3 -0.1 0.6 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 -0.5 -0.6 0.2 0.6 -0.0 -0.7 0.3 -0.7 MXP 0.3 -0.1 -0.6 0.0 -0.0 0.0 -0.1 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 0.1 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 0.4 0.1 -2.7 0.0 0.0 0.1 0.0 0.2 0.0 -0.3 0.2 0.1 0.2 -0.1 0.1 0.1 -0.3 -0.1 NIKKEI 0.6 0.2 -0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.0 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 0.1 0.2 -0.0 -0.3 0.5 0.1 0.5 0.1 NZD -0.4 0.1 0.1 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.0 0.1 -0.0 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 0.1 -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 0.2 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 0.4 0.6 0.4 0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.1 -0.5 0.2 0.1 0.1 0.1 0.1 0.1 0.2 0.1 -0.0 -0.1 0.2 -2.7 0.1 -0.1 0.1 -0.0 -0.0 0.0 0.1 -0.5 -0.1 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 0.1 0.4 0.0 0.5 0.1 0.1 0.2 0.2 0.2 0.2 0.1 0.2 0.0 0.5 0.0 -2.7 0.0 0.1 0.2 0.0 0.4 0.0 0.8 0.3 -0.4 0.4 0.6 0.5 0.5 0.7 0.7 PALLAD -0.1 0.5 0.4 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.1 -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 2.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.3 0.2 -0.2 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 -0.0 -0.2 -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 -0.4 0.1 -0.7 0.0 -0.0 -0.1 0.0 -0.2 0.1 -0.9 0.4 -0.1 0.3 -0.3 -0.7 -0.7 -0.7 -0.7 RICE -0.2 0.0 -0.2 0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.0 0.3 -0.1 0.5 -0.0 -0.0 -0.2 0.4 0.0 0.4 -0.0 0.0 -0.0 0.2 -0.0 -1.9 -0.0 0.0 0.0 -0.0 0.1 -0.0 1.1 -0.2 -0.6 -0.3 0.1 -0.7 -0.7 -0.7 -0.7 ROBUSTA -0.6 -0.2 0.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 0.2 -0.1 0.3 0.0 0.1 0.4 0.4 0.4 0.4 0.1 0.2 -0.0 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 0.2 RUSSELL 0.0 0.1 0.2 0.0 0.1 0.1 0.1 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 0.1 0.2 0.1 -0.1 0.1 0.1 0.2 0.0 0.2 0.0 -0.0 -0.0 -0.2 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 0.0 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 0.2 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 0.1 0.2 0.1 0.2 -0.1 -0.0 0.3 SMI 0.1 -0.3 -0.3 0.0 0.1 0.1 0.1 0.3 0.1 0.1 0.3 0.1 0.5 -0.0 0.1 0.0 0.0 -0.0 -0.0 0.0 0.1 0.1 0.3 0.0 1.5 0.0 0.1 0.2 0.1 0.4 0.0 0.5 0.0 -0.3 -0.5 0.0 -0.1 0.1 -0.6 -0.2 SOFR -0.6 -0.3 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 -0.2 -0.5 -0.3 -0.1 0.2 -0.4 0.7 0.4 SOYBEAN 0.3 0.4 -0.5 0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.3 -0.1 -0.4 0.1 -0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.5 -0.0 -2.7 -0.0 -0.1 -0.2 -0.1 -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 -0.2 -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 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.5 -0.3 -0.0 -0.2 -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 -0.1 -0.1 0.0 -0.3 0.1 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 -0.2 0.0 -2.6 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 0.3 0.3 0.1 -0.0 -0.3 0.3 -0.1 SP400 0.3 0.2 0.1 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.3 0.2 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 0.1 0.2 0.1 0.2 0.1 0.0 0.2 0.2 0.3 0.4 0.2 -0.2 -0.3 -0.7 SP500_micro 0.4 0.3 -0.6 0.0 0.1 0.1 0.1 0.3 0.1 0.1 0.4 0.2 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 -0.5 0.3 0.3 0.5 0.3 0.3 0.1 -0.3 -0.1 SUGAR11 0.5 0.6 0.5 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 0.1 -2.7 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.8 -0.3 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 -0.2 0.2 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.3 -0.3 -0.4 -0.3 -0.1 0.1 -0.7 0.7 0.3 US10U -0.6 -0.2 0.6 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.2 0.2 -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 0.0 -0.1 0.1 -0.1 -0.0 -0.3 -0.5 -0.4 -0.3 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 0.0 -0.1 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 -0.2 -0.3 -0.1 0.2 -0.0 -0.7 0.2 -0.4 US20 -0.6 -0.2 0.5 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 -0.4 -0.3 0.1 -0.4 0.7 0.7 US30 -0.6 -0.2 0.4 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 0.0 -0.2 0.0 -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 0.0 -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 -0.1 -0.3 0.0 -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 0.4 0.6 -0.2 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 0.0 -0.4 0.1 0.6 0.0 -0.0 -0.1 0.0 -0.2 0.1 -1.1 0.2 -0.1 0.2 -0.3 -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 -2.0 4.4 3.9 1.7 -6.9 2.5 -6.9 1.8 -2.6 -15.1 10.5 -12.3 3.9 -0.2 8.9 -0.0 -2.0 -0.6 -1.3 5.4 6.6 -12.5 3.5 -2.5 2.3 2.7 -6.3 3.1 -5.6 1.9 -0.9 -0.0 -5.4 11.8 3.6 0.7 10.3 -6.3 15.6 -0.6 BITCOIN 7.8 0.1 -10.8 3.5 1.5 0.5 1.1 -1.0 3.5 14.9 -4.6 6.5 8.3 10.3 -0.5 -6.4 -6.8 -6.2 -6.4 0.1 -0.9 9.2 7.5 4.6 -20.0 -0.9 14.7 -0.1 5.4 8.2 2.1 -2.2 3.3 4.6 -20.0 -10.3 1.0 -2.5 -1.0 2.1 BOBL -12.9 1.7 19.2 0.4 -3.3 2.0 -4.3 1.4 -2.7 -9.7 5.0 -9.9 -1.1 -3.5 5.6 16.1 -8.8 2.4 -5.2 3.0 5.0 -10.4 1.3 -4.5 4.1 1.5 -3.8 2.5 -4.2 1.4 -1.7 -6.7 2.5 8.7 3.7 0.6 -20.0 -17.8 -2.7 -3.6 BTP -4.9 5.8 12.3 0.7 -6.1 3.8 -8.1 2.5 -5.0 -15.2 16.0 -15.2 17.5 5.3 15.5 7.3 4.6 5.5 4.4 13.0 15.5 -5.4 14.4 3.7 -20.0 5.9 -2.1 6.8 -2.1 6.3 1.9 14.0 20.0 20.0 19.5 2.7 -20.0 -12.6 2.0 9.0 BUND -12.3 -0.2 14.7 0.5 -3.9 2.4 -5.2 1.6 -3.2 -11.5 6.3 -12.0 1.6 -4.9 6.5 -20.0 -4.2 -13.5 -8.3 2.3 5.3 -11.3 2.2 -5.4 1.3 1.4 -5.0 3.1 -5.4 2.2 -2.4 -3.8 8.8 11.2 2.0 -3.1 -20.0 -17.5 -2.8 -2.3 BUXL -10.8 -2.5 10.0 0.5 -4.6 2.8 -6.1 1.9 -3.7 -13.0 4.8 -13.9 1.1 -8.7 5.5 0.0 -1.8 -0.5 -1.4 -0.6 2.3 -11.0 -0.4 -6.8 -2.3 0.1 -5.7 2.3 -6.2 1.9 -3.7 3.6 19.1 12.5 -2.0 -10.1 -20.0 -20.0 -5.7 -6.0 CAC 7.6 7.9 -12.4 4.1 8.0 4.9 5.4 6.6 4.4 10.0 -6.4 -4.4 0.5 0.4 1.3 -5.5 -3.0 -5.7 -4.4 -1.2 -4.8 1.8 -1.6 1.6 -6.6 -0.2 3.2 -2.2 1.6 0.4 1.7 4.4 -15.4 -5.7 -5.9 -20.0 8.3 5.2 -3.5 -0.7 CAD -12.1 0.8 5.7 2.3 -9.1 3.3 -9.1 2.3 -3.4 -20.0 0.5 -20.0 -12.6 -13.5 1.8 -4.6 -3.7 -4.5 -4.2 -4.7 -0.5 -20.0 -4.1 -20.0 -1.1 -1.2 -18.3 0.5 -16.0 -1.0 -8.2 -3.9 -20.0 -13.5 -8.6 -5.1 6.3 -8.1 1.7 -4.1 CANOLA 20.0 10.0 0.2 0.3 0.1 -1.4 1.3 -1.8 1.7 -3.6 -2.9 5.8 -6.7 6.1 -0.5 -13.7 -11.2 -13.2 -13.0 1.4 -3.5 3.7 -6.6 5.5 -14.4 1.2 -0.7 -1.0 0.9 -3.1 2.2 -20.0 -0.5 4.9 5.6 1.2 -5.2 -11.6 3.2 -7.3 CHF -20.0 -1.5 20.0 1.4 -5.6 2.0 -5.6 1.4 -2.1 -12.1 7.6 -12.7 -0.4 -6.3 7.3 -14.1 -16.0 -14.7 -15.3 2.6 7.5 -15.1 3.8 -8.7 4.0 1.3 -6.4 3.5 -6.0 2.2 -3.4 -20.0 -6.4 -10.8 -7.1 12.8 -7.0 -11.3 -15.9 -11.8 COCOA 6.4 0.7 9.2 0.3 -0.2 -1.2 0.9 -1.6 1.4 6.1 1.7 4.3 3.4 3.4 1.6 20.0 20.0 20.0 20.0 3.3 5.2 9.0 10.6 5.0 -20.0 2.0 5.3 3.7 3.8 7.8 2.4 20.0 7.0 2.5 5.6 5.9 20.0 14.6 20.0 20.0 COFFEE -6.9 -2.2 2.8 0.6 -0.4 -2.6 2.0 -3.6 3.2 5.6 13.6 -3.9 14.4 2.4 8.2 2.7 5.6 3.5 4.5 8.6 13.8 -0.2 15.2 1.9 -20.0 3.6 3.9 6.1 -0.5 7.8 0.5 5.1 -19.1 -10.2 7.7 20.0 -5.8 -7.7 4.9 -1.3 COPPER 17.6 13.5 -12.3 1.9 0.8 0.2 0.6 -0.5 1.9 -8.9 -1.6 0.3 0.0 5.5 3.5 -3.3 -3.0 -3.2 -2.8 5.8 2.9 -2.0 3.3 5.7 -14.0 2.7 -2.0 1.6 -0.1 1.5 2.4 4.3 -12.1 13.5 10.0 0.7 20.0 9.5 18.7 20.0 CORN 10.1 15.4 -13.5 0.9 -0.5 -3.6 2.7 -4.8 4.3 -19.3 -14.7 -3.3 -20.0 13.4 -9.0 -10.4 -15.1 -15.5 -16.8 -3.3 -18.8 -8.6 -20.0 1.6 -13.1 -2.9 -16.4 -9.6 -6.6 -14.2 -0.7 -20.0 -20.0 -14.4 -3.5 -20.0 2.5 -4.0 7.0 0.1 COTTON2 5.9 18.5 1.5 0.6 -0.4 -2.7 2.0 -3.6 3.2 -14.2 -13.4 -3.9 -13.8 8.8 4.0 -12.7 -4.9 -11.2 -8.4 3.1 -6.5 -4.7 -13.3 3.2 -20.0 2.0 -7.0 -1.4 -2.9 -2.6 1.5 -14.9 -15.0 -5.1 8.3 8.0 -13.9 -12.1 -6.0 -6.8 CRUDE_W 17.2 -5.0 -17.5 -0.5 1.3 -2.7 4.9 -1.6 3.7 4.0 -6.1 10.6 1.6 5.5 -4.8 6.9 12.0 10.1 11.4 -2.7 -6.3 10.4 -2.4 6.6 -1.5 0.3 2.5 -2.9 5.7 -1.6 4.7 10.5 -4.2 -5.8 5.9 3.6 -1.1 10.5 0.3 15.7 DAX 12.2 11.1 -4.2 4.5 8.7 5.3 5.9 7.2 4.9 14.6 12.3 11.9 15.4 13.6 14.7 -7.9 -10.0 -8.3 -9.0 14.7 11.3 17.0 12.8 16.8 9.7 5.1 8.6 4.3 6.6 5.9 6.3 -6.1 -0.6 9.8 11.5 -4.8 15.2 6.6 3.4 1.6 DOW 7.4 12.6 7.9 4.4 8.4 5.2 5.7 7.0 4.7 16.0 16.4 17.2 17.2 17.9 18.0 -9.5 -10.6 -9.6 -10.0 20.0 19.5 20.0 19.0 20.0 -13.7 6.5 7.9 6.3 6.0 6.4 5.9 -7.4 14.9 8.4 20.0 20.0 12.0 3.3 -6.1 -6.1 DX 20.0 1.2 -19.6 1.9 -7.4 2.7 -7.4 1.9 -2.8 17.9 -9.3 19.3 2.9 12.8 -8.4 5.4 6.6 5.8 6.2 -0.0 -9.2 20.0 -5.0 20.0 -20.0 -0.1 8.8 -3.1 10.0 -1.7 6.3 13.9 20.0 20.0 -12.9 -20.0 -0.4 7.6 -1.2 10.6 EUR -18.6 -4.0 10.9 2.1 -8.3 3.0 -8.3 2.1 -3.1 -20.0 7.9 -20.0 -1.7 -16.3 5.2 -6.2 -7.0 -6.4 -6.7 -2.2 5.7 -20.0 3.9 -17.6 20.0 -0.5 -11.0 3.2 -11.6 2.9 -7.4 -8.9 -16.5 -15.4 -16.0 7.5 -2.2 -20.0 -8.9 -20.0 EURIBOR-ICE -15.6 2.8 20.0 0.3 -2.8 1.7 -3.7 1.2 -2.3 -6.1 6.2 -6.7 5.0 -1.1 6.5 5.1 -1.6 2.9 0.6 5.8 8.3 -6.5 5.9 -1.5 11.4 2.1 -1.2 2.8 -2.1 2.1 -0.4 5.3 4.4 8.7 8.8 6.7 -15.4 -19.8 4.7 4.0 EUROSTX 12.1 5.9 -12.0 4.2 8.1 5.0 5.5 6.7 4.5 13.1 5.1 8.1 11.5 9.6 8.2 -3.6 -3.2 -4.1 -4.0 5.9 3.2 11.2 7.5 9.8 -2.4 2.8 7.8 2.0 5.8 5.3 5.0 4.2 -3.3 4.4 -0.5 -15.7 5.6 1.5 -20.0 -7.5 FEEDCOW 20.0 13.0 -20.0 0.9 -0.5 -3.8 2.8 -5.1 4.5 20.0 -9.7 20.0 -13.7 20.0 -1.5 20.0 -8.8 18.1 6.2 8.3 -15.7 20.0 -18.4 20.0 -9.7 1.7 5.4 -3.4 8.6 -3.5 7.7 -7.3 20.0 20.0 14.5 -18.8 9.1 20.0 20.0 20.0 GASOIL 20.0 -5.7 -19.2 -0.5 1.3 -2.7 5.1 -1.7 3.9 8.4 -11.7 13.0 -0.8 4.6 -9.0 2.6 8.1 2.5 3.6 -6.6 -12.0 11.2 -6.3 6.0 4.0 -2.7 1.4 -4.8 4.2 -2.8 2.2 0.1 -4.7 -2.8 -9.1 -6.2 -5.1 -10.8 -3.1 -17.0 GASOLINE 20.0 -0.9 -15.4 -0.4 1.2 -2.6 4.8 -1.6 3.7 7.3 -6.6 11.1 0.8 8.5 -2.2 9.0 20.0 20.0 20.0 0.3 -4.4 13.9 -1.0 10.1 -20.0 2.1 3.7 -0.8 7.1 -0.1 6.2 20.0 5.8 2.9 11.1 9.5 4.8 13.8 11.0 20.0 GAS_US_mini 7.4 10.5 0.6 -0.6 1.7 -3.5 6.5 -2.1 4.9 -20.0 -17.1 -13.5 -20.0 -2.2 -14.8 -20.0 -20.0 -20.0 -20.0 -3.5 -10.7 -19.4 -20.0 -5.2 20.0 -1.2 -20.0 -3.9 -12.0 -8.2 -3.2 -20.0 -20.0 -20.0 1.5 -1.9 -8.4 -20.0 -2.6 -18.4 GBP -12.9 2.4 9.0 2.0 -7.9 2.8 -7.9 2.0 -3.0 -18.9 14.9 -19.0 13.9 -4.8 9.9 1.0 -0.3 0.5 0.0 8.1 14.3 -17.8 12.8 -6.7 -2.0 3.7 -5.6 6.2 -6.6 5.8 -2.2 2.6 -12.3 2.6 8.1 15.7 6.0 -20.0 9.7 -19.9 GOLD_micro 6.9 15.3 17.6 3.3 1.4 0.4 1.0 -0.9 3.3 6.4 20.0 8.6 20.0 14.6 18.8 -13.2 -13.3 -12.8 -12.7 20.0 20.0 7.1 20.0 19.5 -13.2 6.7 1.7 6.9 1.6 6.9 4.5 -13.1 -0.3 14.5 16.5 20.0 19.3 -1.2 12.9 4.6 HEATOIL 20.0 -1.8 -14.8 -0.5 1.3 -2.7 5.0 -1.6 3.8 1.1 -11.7 7.5 -5.8 4.8 -8.1 -5.1 3.6 -5.4 -3.1 -4.0 -10.1 10.4 -7.1 7.3 -20.0 -0.1 0.6 -3.7 5.5 -2.9 4.8 -9.5 -0.3 1.8 4.5 0.4 -9.1 3.8 -9.0 4.1 JGB-SGX-mini -11.8 5.8 16.6 0.3 -2.8 1.7 -3.7 1.2 -2.3 -7.5 4.8 -7.6 2.8 -3.4 5.4 8.4 16.0 12.2 14.1 3.0 4.5 -9.0 2.6 -3.5 -9.4 1.0 -3.7 1.5 -3.8 0.4 -1.6 20.0 6.4 9.3 1.1 -2.0 -13.2 -6.7 -14.3 0.4 JPY -20.0 -1.7 20.0 0.7 -3.0 1.1 -3.0 0.8 -1.1 -7.1 3.0 -7.6 -2.9 -6.1 2.8 -9.9 -14.3 -11.3 -12.6 -0.7 2.1 -10.8 -1.8 -7.8 20.0 0.1 -2.5 0.8 -3.1 -0.6 -2.2 -20.0 -6.9 -15.3 -7.0 7.3 -20.0 -20.0 -20.0 -20.0 LEANHOG 9.5 20.0 7.6 0.9 -0.6 -3.9 2.9 -5.2 4.7 8.8 -2.7 17.8 -5.8 20.0 20.0 20.0 20.0 20.0 20.0 19.7 4.4 14.3 -9.6 20.0 4.4 6.5 1.0 1.7 5.5 -2.1 7.9 20.0 20.0 17.7 20.0 20.0 0.1 -5.3 6.3 1.8 LIVECOW 20.0 15.4 1.8 1.0 -0.6 -4.1 3.1 -5.5 4.9 16.0 15.7 20.0 12.2 20.0 17.1 1.4 8.9 5.5 9.0 20.0 17.0 20.0 13.5 20.0 -19.9 6.1 3.3 3.7 7.3 4.0 8.9 12.6 20.0 20.0 17.5 20.0 -2.4 20.0 7.4 20.0 LUMBER-new 13.4 8.3 4.9 0.6 -0.4 -2.6 1.9 -3.3 3.1 11.6 -8.6 13.8 -10.3 11.5 10.1 -16.7 -17.8 -17.7 -17.8 3.9 -3.9 9.0 -9.4 8.3 NaN 3.3 4.3 -1.4 5.5 -5.0 5.4 -20.0 11.2 6.9 -2.3 15.2 2.8 -0.1 8.0 3.5 MILK -20.0 5.2 20.0 0.5 -0.3 -2.3 1.7 -3.0 2.7 -10.7 11.8 -11.0 8.7 -1.1 6.9 20.0 -2.6 20.0 15.4 8.3 15.5 -10.5 10.8 -4.0 14.2 2.5 -3.4 5.0 -3.8 3.2 -1.6 4.2 -20.0 -20.0 5.7 20.0 -0.4 -20.0 7.8 -20.0 MXP 9.0 -1.7 -20.0 1.2 -4.9 1.8 -4.9 1.3 -1.9 7.7 -9.7 4.6 -6.8 1.8 -6.8 10.6 13.5 10.6 11.5 -5.9 -11.8 4.3 -7.5 1.8 -20.0 -2.4 1.7 -5.0 1.9 -3.0 0.9 20.0 20.0 10.0 -13.9 -20.0 12.9 14.2 17.5 20.0 NASDAQ_micro 15.0 6.7 -18.5 3.2 6.3 3.9 4.2 5.2 3.5 11.8 5.5 12.7 9.6 12.8 5.4 -7.8 -9.6 -8.0 -8.7 9.3 8.7 13.6 13.0 12.4 -20.0 4.0 5.1 4.2 4.6 6.3 4.5 -5.4 6.7 4.6 6.9 -1.6 4.1 3.6 -9.7 -1.7 NIKKEI 19.0 4.7 -20.0 1.8 3.5 2.1 2.4 2.9 2.0 6.5 2.3 6.2 3.4 5.9 2.9 1.4 8.0 4.0 6.0 2.9 1.2 7.2 2.8 6.0 -6.0 -0.1 2.3 -0.7 2.2 1.1 1.5 20.0 5.2 5.3 -1.4 -10.6 13.8 3.4 13.8 3.3 NZD -11.1 3.9 4.2 1.2 -4.6 1.7 -4.6 1.2 -1.7 -8.7 5.2 -9.5 2.3 -3.4 4.7 -0.3 0.0 -0.2 -0.1 1.3 3.3 -12.3 1.7 -5.9 0.4 0.9 -4.3 1.5 -5.0 0.9 -2.2 2.8 -12.6 0.1 1.7 -3.1 3.6 -7.0 3.5 -1.2 OAT -14.7 0.6 10.4 0.5 -4.1 2.5 -5.4 1.7 -3.3 -11.1 2.2 -12.3 -0.8 -9.6 5.7 7.5 4.4 5.3 4.2 -0.2 2.0 -10.5 -0.5 -6.7 3.6 0.2 -4.0 1.7 -5.4 1.0 -3.3 13.6 15.4 6.2 1.0 -6.9 -13.5 -14.1 5.0 3.4 OATIES 10.9 20.0 12.2 0.8 -0.5 -3.1 2.4 -4.2 3.8 -17.1 -1.0 6.2 -13.5 15.4 12.9 3.3 2.7 3.9 3.9 20.0 9.2 -1.4 -5.5 18.5 -20.0 5.0 -5.6 2.2 -0.8 -0.6 4.0 2.0 -20.0 -1.8 20.0 16.7 18.4 2.0 20.0 11.7 OJ -11.2 0.6 -0.7 0.6 -0.4 -2.6 2.0 -3.5 3.1 10.9 13.2 0.4 14.7 4.7 8.9 10.4 12.0 11.2 10.8 9.5 15.5 4.7 20.0 4.0 -20.0 4.1 6.0 7.2 1.9 11.8 1.6 15.5 13.1 -13.7 11.9 20.0 13.7 14.3 20.0 20.0 PALLAD -3.2 14.7 13.0 1.6 0.7 0.2 0.5 -0.4 1.6 1.0 1.9 -2.0 -5.5 2.8 4.1 -2.0 -2.0 -1.9 -1.9 4.7 2.0 2.9 -3.8 4.0 15.6 2.3 0.3 1.0 1.3 -1.2 1.9 5.9 6.3 -5.0 1.5 8.8 -14.1 -20.0 -20.0 -20.0 PLAT 2.8 5.3 -5.1 2.2 0.9 0.3 0.7 -0.6 2.2 3.8 -4.4 -0.3 -3.5 5.5 0.1 -4.0 -4.4 -4.4 -4.5 1.6 0.2 1.1 -0.4 1.7 5.1 1.3 3.7 -0.2 0.7 -0.6 1.4 1.5 -0.1 -7.1 -6.1 -2.5 -0.8 -7.2 -11.8 0.1 REDWHEAT 14.6 20.0 -4.7 0.8 -0.5 -3.4 2.6 -4.6 4.1 -9.8 -13.1 9.2 -18.1 14.4 3.0 -11.0 -6.9 -10.5 -9.3 4.8 -7.0 6.4 -16.6 12.0 -5.3 2.0 -4.2 -2.9 3.2 -6.1 5.5 -17.7 16.1 -2.2 7.9 -9.8 -20.0 -20.0 -20.0 -20.0 RICE -5.8 0.7 -7.5 0.8 -0.5 -3.5 2.7 -4.7 4.2 -4.6 11.6 -9.4 14.1 -1.7 -0.3 -11.1 20.0 0.2 18.4 -0.9 2.0 -4.4 8.5 -3.0 -14.4 -1.7 0.2 0.8 -3.5 3.4 -3.4 20.0 -7.3 -20.0 -10.3 4.6 -20.0 -20.0 -20.0 -20.0 ROBUSTA -20.0 -4.9 2.0 0.4 -0.2 -1.6 1.2 -2.1 1.9 -4.4 8.9 -6.1 9.4 2.5 6.6 20.0 20.0 20.0 20.0 10.1 15.4 -4.4 17.1 1.1 -20.0 2.5 -0.0 4.6 -1.3 6.3 0.0 20.0 -20.0 -11.6 12.5 20.0 11.4 -2.0 20.0 4.5 RUSSELL 1.2 2.7 6.6 3.7 7.3 4.4 4.9 6.0 4.0 11.8 6.9 3.3 11.3 7.7 5.9 -5.7 -6.3 -5.6 -5.9 6.6 7.9 7.0 8.4 5.4 -0.5 4.7 6.3 6.0 3.2 6.1 3.1 -0.1 -1.9 -6.0 3.0 15.3 0.5 -13.2 -12.4 -20.0 SHATZ -12.2 5.0 20.0 0.3 -2.6 1.6 -3.4 1.1 -2.1 -7.6 4.5 -7.6 -0.7 -1.6 5.2 -20.0 -20.0 -20.0 -20.0 4.5 5.7 -8.3 0.7 -2.3 6.2 1.7 -2.5 2.2 -2.6 0.7 -0.6 -20.0 -0.8 8.2 6.6 5.4 -20.0 -17.5 -8.5 -8.7 SILVER-mini 5.8 7.9 -4.2 2.3 1.0 0.3 0.7 -0.6 2.3 -0.4 8.8 0.7 8.3 8.8 8.8 -6.0 -6.4 -6.1 -6.1 8.4 8.0 0.6 8.6 6.3 1.9 3.2 -0.1 2.6 0.1 2.7 2.5 -1.5 -1.5 3.1 5.5 3.8 7.5 -2.2 -1.0 10.4 SMI 3.4 -9.7 -8.7 4.4 8.5 5.2 5.7 7.0 4.7 13.3 10.4 6.4 14.6 -3.1 4.7 0.7 0.2 -0.7 -0.9 1.1 6.5 10.8 12.5 2.9 11.5 3.0 13.7 7.4 6.4 10.8 2.3 9.7 0.3 -9.9 -14.9 1.0 -2.0 1.8 -18.2 -4.9 SOFR -20.0 -8.2 20.0 0.6 -4.8 2.9 -6.3 2.0 -3.9 -13.8 10.3 -15.0 8.7 -11.7 5.7 2.5 0.1 1.9 0.8 -0.9 10.5 -20.0 8.6 -18.3 -6.3 -1.3 -5.6 2.3 -7.8 2.6 -6.0 7.1 -10.1 -15.8 -9.3 -2.5 6.7 -12.4 20.0 12.3 SOYBEAN 10.5 13.5 -15.6 0.6 -0.3 -2.4 1.8 -3.2 2.8 -13.2 -9.4 -9.5 -11.5 5.0 -5.2 -1.8 0.9 -4.4 -3.5 -4.8 -14.3 -11.3 -18.5 -2.6 -20.0 -2.6 -8.6 -5.8 -5.5 -6.7 -1.9 -6.3 -20.0 -10.7 -0.6 -17.8 2.8 -12.8 11.0 -7.9 SOYMEAL 2.3 15.6 0.7 0.4 -0.3 -1.7 1.3 -2.3 2.1 -9.1 -5.6 -9.1 -8.4 -0.4 -1.1 -1.4 2.8 -1.9 -0.4 -0.9 -4.1 -9.7 -7.2 -3.2 -18.2 -0.5 -5.1 -1.7 -4.3 -2.4 -1.3 -2.0 -20.0 -9.4 -0.3 -5.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 20.0 15.5 -1.6 0.4 -0.2 -1.5 1.2 -2.1 1.8 -6.7 -4.5 3.5 -8.2 5.3 -2.1 -0.9 1.2 0.8 0.8 2.2 -3.0 -0.0 -6.8 4.4 -19.2 1.4 -3.0 -0.7 -0.0 -2.1 2.0 -2.5 -4.6 7.7 9.3 3.0 -0.5 -8.1 9.9 -2.8 SP400 8.7 6.6 3.1 4.3 8.3 5.1 5.6 6.9 4.6 14.9 11.7 15.1 15.0 15.6 13.0 -6.4 -6.0 -6.2 -6.1 11.7 10.6 14.8 12.1 13.0 -12.9 5.9 7.9 6.2 5.5 6.6 5.3 0.1 6.7 5.0 9.8 13.2 6.0 -5.9 -8.7 -20.0 SP500_micro 12.0 10.1 -17.8 4.3 8.4 5.1 5.7 7.0 4.7 16.2 16.5 17.5 17.5 17.9 17.3 -9.7 -11.6 -10.1 -10.9 18.8 19.6 20.0 20.0 19.7 -20.0 6.2 8.1 6.8 6.4 8.6 6.1 -9.0 13.5 8.3 16.6 9.6 8.6 3.3 -9.1 -3.5 SUGAR11 16.2 20.0 14.0 0.6 -0.4 -2.4 1.8 -3.2 2.9 -9.3 3.6 5.5 -6.9 10.4 10.0 20.0 11.3 20.0 12.4 17.8 8.3 -0.0 -0.9 13.8 -20.0 3.8 -1.1 1.7 -0.0 -0.3 2.9 15.2 -10.9 20.0 20.0 20.0 -15.7 8.3 -13.3 11.6 US10 -20.0 -7.1 20.0 0.4 -3.6 2.2 -4.8 1.5 -2.9 -10.7 7.1 -11.6 4.3 -8.9 3.7 -6.2 -7.3 -6.8 -6.9 -1.8 6.2 -20.0 3.7 -15.1 1.8 -1.1 -5.0 1.5 -6.3 1.5 -4.7 -5.8 -11.3 -11.9 -8.3 -3.1 1.9 -20.0 20.0 8.1 US10U -20.0 -5.6 19.0 0.6 -5.2 3.2 -6.9 2.2 -4.3 -15.5 9.7 -16.9 4.6 -13.2 4.9 -4.6 -3.4 -4.4 -4.2 -2.9 8.1 -20.0 4.1 -20.0 -1.3 -1.9 -7.8 1.9 -9.5 2.0 -7.1 -0.2 -13.8 -15.5 -12.3 -8.1 2.5 -18.1 20.0 19.6 US2 -20.0 -3.7 20.0 0.3 -2.6 1.6 -3.4 1.1 -2.1 -6.4 4.5 -7.3 1.4 -5.1 3.2 -20.0 -20.0 -20.0 -20.0 0.0 4.7 -14.0 1.4 -9.6 11.2 -0.1 -2.5 1.5 -3.8 0.9 -2.7 -20.0 -9.6 -8.1 -2.2 4.8 -0.8 -20.0 6.0 -12.1 US20 -20.0 -6.7 16.2 0.5 -4.1 2.5 -5.4 1.7 -3.3 -12.1 7.1 -13.3 5.3 -10.9 2.7 -2.4 -1.2 -1.9 -1.5 -3.2 5.9 -20.0 3.7 -17.5 -3.4 -1.8 -6.2 1.4 -7.4 1.8 -5.7 4.3 -9.2 -13.1 -11.0 -9.0 3.4 -11.2 20.0 20.0 US30 -20.0 -6.2 13.3 0.6 -4.7 2.9 -6.2 1.9 -3.8 -13.8 6.8 -15.2 3.0 -12.8 1.6 -3.8 -5.1 -4.9 -5.0 -4.6 4.4 -20.0 1.7 -18.9 -2.4 -2.4 -7.4 1.1 -8.6 1.5 -6.6 -2.2 -6.8 -12.5 -12.1 -13.4 -0.0 -10.0 20.0 20.0 US5 -20.0 -7.2 20.0 0.4 -3.3 2.0 -4.4 1.4 -2.7 -9.6 6.4 -10.4 3.1 -7.9 3.6 -8.6 -10.7 -10.1 -10.4 -1.3 5.8 -19.3 3.1 -13.7 5.5 -0.8 -3.9 1.5 -5.5 1.4 -4.1 -11.7 -11.6 -11.8 -6.5 0.0 4.1 -20.0 20.0 1.7 VIX 3.9 4.3 20.0 2.2 -1.8 1.3 0.4 -2.1 1.5 -7.6 -6.0 1.5 -9.0 3.2 -5.2 5.0 -20.0 -5.7 -17.5 3.4 0.9 1.3 -5.3 3.5 NaN 2.4 -2.1 1.4 0.5 -2.5 1.7 NaN NaN NaN NaN NaN -15.6 -20.0 NaN NaN WHEAT 13.8 20.0 -6.9 0.8 -0.5 -3.4 2.5 -4.5 4.0 -11.1 -11.2 6.1 -16.2 15.1 3.9 -11.3 -14.6 -13.7 -14.6 6.2 -6.0 3.9 -15.7 12.0 4.1 2.3 -5.5 -2.4 1.7 -5.2 5.0 -20.0 8.1 -2.2 7.5 -10.1 -20.0 -18.5 -20.0 -16.0 End of report for caleb_strategy_v3