******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241015_203925 produced at 2024-10-15 21:38:16.069817 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.21 0.0 0.00 0.00 0.00 0.00 -2.41 11.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.10 0.0 0.75 -0.75 -0.03 -0.03 -3.95 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 -2.18 24.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.09 0.0 0.00 0.00 0.00 0.00 -1.22 13.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.04 -0.07 0.0 0.07 -0.07 -0.04 -0.04 -25.95 26.0 -16 -17 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.06 0.0 0.09 -0.09 -0.04 -0.05 -8.30 12.0 -5 -6 caleb_strategy_v3 VIX False False 0.01 -0.03 -0.06 0.0 999.00 -999.00 -0.03 -0.03 -8.47 999999999.0 -5 -5 caleb_strategy_v3 CHF False False 0.05 -0.05 -0.06 0.0 0.67 -0.67 -0.05 -0.05 -1.24 13.0 -1 -1 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.05 0.0 0.68 -0.68 -0.05 -0.05 -1.00 14.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.03 0.0 0.14 -0.14 -0.05 -0.05 -2.48 11.0 -4 -4 caleb_strategy_v3 HEATOIL False False 0.03 0.00 -0.03 0.0 0.10 -0.10 0.00 0.00 -0.88 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 -3.07 4.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.89 12.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.03 0.0 0.96 -0.96 -0.04 -0.04 -0.71 25.0 -1 -1 caleb_strategy_v3 MXP False False 0.01 -0.04 -0.03 0.0 0.53 -0.53 -0.04 -0.04 -3.41 60.0 -4 -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 SOYBEAN False False 0.02 -0.06 -0.02 0.0 0.13 -0.13 -0.06 -0.06 -1.11 7.0 -3 -3 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -1.36 9.0 -2 -2 caleb_strategy_v3 US10 False False 0.04 0.00 -0.02 0.0 0.68 -0.68 0.00 0.00 -0.47 17.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.16 -0.16 -0.01 -0.01 -6.77 51.0 -2 -2 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -8.77 59.0 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 BUND False False 0.05 -0.05 -0.01 0.0 0.52 -0.52 -0.05 -0.05 -0.27 10.0 -1 -1 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 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -1.22 9.0 -1 -1 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.01 0.0 0.87 -0.87 0.00 0.00 -0.14 19.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -0.62 4.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -1.38 8.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 -0.01 0.0 0.53 -0.53 0.00 0.00 -0.36 13.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.16 9.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.00 0.0 0.33 -0.33 -0.01 -0.01 -0.33 23.0 -1 -1 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.00 0.0 0.39 -0.39 0.00 0.00 0.24 23.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.07 2.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.00 0.0 0.18 -0.18 0.00 0.00 -0.21 10.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.00 0.0 0.45 -0.45 0.00 0.00 -0.22 21.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.07 999999999.0 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 -0.29 3.0 -2 -2 caleb_strategy_v3 COFFEE False False 0.03 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.02 6.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.32 10.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.00 0.0 0.38 -0.38 0.00 0.00 0.04 20.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.01 0.0 0.00 0.00 0.00 0.00 1.14 2.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.44 999999999.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.03 0.01 0.0 0.15 -0.15 0.03 0.03 1.47 18.0 3 3 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.27 -0.27 0.00 0.00 4.54 68.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.58 999999999.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.02 0.0 0.50 -0.50 0.00 0.00 2.15 48.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 0.02 0.0 0.45 -0.45 0.00 0.00 0.79 19.0 0 0 caleb_strategy_v3 COCOA False False 0.03 0.03 0.02 0.0 0.66 -0.66 0.03 0.03 0.63 26.0 1 1 caleb_strategy_v3 MILK False False 0.01 0.01 0.02 0.0 0.07 -0.07 0.01 0.01 1.04 5.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.00 0.02 0.0 0.12 -0.12 0.00 0.00 0.73 5.0 0 0 caleb_strategy_v3 OJ False False 0.03 0.03 0.02 0.0 0.08 -0.08 0.03 0.03 0.65 3.0 1 1 caleb_strategy_v3 GBP False False 0.03 0.00 0.02 0.0 0.64 -0.64 0.00 0.00 0.55 22.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.05 0.03 0.0 0.49 -0.49 0.05 0.05 0.65 10.0 1 1 caleb_strategy_v3 COPPER False False 0.04 0.08 0.03 0.0 999.00 -999.00 0.08 0.08 0.82 999999999.0 2 2 caleb_strategy_v3 FEEDCOW False False 0.04 0.09 0.03 0.0 0.35 -0.35 0.09 0.09 0.74 8.0 2 2 caleb_strategy_v3 SP400 False False 0.11 0.23 0.04 0.0 0.23 -0.23 0.23 0.23 0.32 2.0 2 2 caleb_strategy_v3 DOW False False 0.01 0.00 0.04 0.0 0.50 -0.50 0.00 0.00 5.89 66.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 0.05 0.0 0.00 0.00 0.00 0.00 0.95 9.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.04 0.05 0.0 0.33 -0.33 0.04 0.04 5.77 36.0 4 4 caleb_strategy_v3 BTP False False 0.05 0.00 0.07 0.0 0.47 -0.47 0.00 0.00 1.39 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 7.70 56.0 1 1 caleb_strategy_v3 DAX False False 0.01 0.03 0.09 0.0 0.44 -0.44 0.03 0.04 11.82 58.0 4 5 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.27 0.10 0.0 0.55 -0.55 0.27 0.27 2.89 16.0 8 8 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.10 0.0 0.15 -0.15 0.07 0.07 8.94 13.0 6 6 caleb_strategy_v3 LIVECOW False False 0.03 0.08 0.11 0.0 0.45 -0.45 0.08 0.08 4.01 17.0 3 3 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.65 0.0 0.94 -0.94 0.00 0.00 6.92 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 30.8 Leverage 2.88 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2823021.46, 'annual_cash_vol_target': 705755.365, 'daily_cash_vol_target': 44109.7103125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0040 0.6709 0.5979 9.5670 BITCOIN 1630.5890 67755.0000 2.4066 38.5055 BOBL 0.2496 119.1900 0.2094 3.3501 BTP 0.5009 121.3500 0.4128 6.6042 BUND 0.4776 133.7300 0.3572 5.7147 BUXL 1.1692 134.6000 0.8687 13.8984 CAC 69.6126 7489.0000 0.9295 14.8725 CAD 0.0026 0.7263 0.3571 5.7140 CANOLA 8.4577 609.3000 1.3881 22.2097 CHF 0.0054 1.1669 0.4639 7.4219 COCOA 156.9399 7191.0000 2.1824 34.9192 COFFEE 5.0669 255.1500 1.9858 31.7736 COPPER 0.0608 4.3455 1.4000 22.3995 CORN 4.4915 437.0000 1.0278 16.4447 COTTON2 0.9905 70.6500 1.4020 22.4326 CRUDE_W 1.2563 67.7400 1.8546 29.6739 DAX 140.1894 19602.0000 0.7152 11.4429 DOW 258.0932 43060.0000 0.5994 9.5901 DX 0.3524 103.0450 0.3420 5.4714 EUR 0.0043 1.0916 0.3924 6.2777 EURIBOR-ICE 0.0462 97.9250 0.0472 0.7553 EUROSTX 47.9293 4946.0000 0.9691 15.5048 FEEDCOW 1.6937 244.2000 0.6936 11.0973 GASOIL 12.5677 664.0000 1.8927 30.2836 GASOLINE 0.0428 1.9966 2.1445 34.3126 GAS_US_mini 0.0858 2.9400 2.9188 46.7001 GBP 0.0062 1.3067 0.4783 7.6527 GOLD_micro 17.1083 2682.5000 0.6378 10.2044 HEATOIL 0.0458 2.2181 2.0637 33.0195 JGB-SGX-mini 0.2345 144.0300 0.1628 2.6049 JPY 0.0001 0.0068 0.7772 12.4352 LEANHOG 1.0046 79.1750 1.2688 20.3014 LIVECOW 1.0980 186.6250 0.5884 9.4138 LUMBER-new 7.8792 558.0000 1.4120 22.5927 MILK 0.2792 21.1200 1.3219 21.1505 MXP 0.0005 0.0501 0.8996 14.3930 NASDAQ_micro 177.9078 20330.0000 0.8751 14.0016 NIKKEI 588.3747 38995.0000 1.5088 24.1415 NZD 0.0042 0.6082 0.6964 11.1423 OAT 0.4689 126.3600 0.3711 5.9380 OATIES 5.5458 373.2500 1.4858 23.7732 OJ 8.7052 472.4000 1.8428 29.4841 PALLAD 24.8029 1016.5000 2.4400 39.0405 PLAT 15.4135 998.0000 1.5444 24.7111 REDWHEAT 9.6965 600.2500 1.6154 25.8467 RICE 0.1372 15.1800 0.9036 14.4573 ROBUSTA 90.2909 4816.0000 1.8748 29.9970 RUSSELL 21.9831 2278.2000 0.9649 15.4389 SHATZ 0.0889 106.8000 0.0833 1.3322 SILVER-mini 0.4904 31.8375 1.5403 24.6452 SMI 79.9358 12226.0000 0.6538 10.4611 SOFR 0.0581 96.6500 0.0601 0.9620 SOYBEAN 10.4551 1037.2500 1.0080 16.1274 SOYMEAL 4.6317 313.4000 1.4779 23.6464 SOYOIL 0.7427 42.4600 1.7491 27.9858 SP400 23.5894 3202.5000 0.7366 11.7855 SP500_micro 37.2344 5863.5000 0.6350 10.1603 SUGAR11 0.3232 21.0100 1.5385 24.6168 US10 0.3820 112.4219 0.3398 5.4369 US10U 0.5054 116.0625 0.4354 6.9666 US2 0.1200 103.4570 0.1160 1.8557 US20 0.7350 121.0625 0.6072 9.7146 US30 1.1133 128.9062 0.8637 13.8185 US5 0.2620 108.5547 0.2414 3.8617 VIX 0.6372 18.8500 3.3801 54.0820 WHEAT 8.8922 638.5000 1.3927 22.2828 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 670.90 0.60 401.16 1.00 401.16 44109.71 109.96 2.79 30.64 BITCOIN 67.76 2.41 163.06 1.00 163.06 44109.71 270.51 -2.99 -80.95 BOBL 1191.90 0.21 249.56 1.09 272.69 44109.71 161.76 -0.84 -13.66 BTP 1213.50 0.41 500.89 1.09 547.32 44109.71 80.59 5.06 40.74 BUND 1337.30 0.36 477.64 1.09 521.92 44109.71 84.51 -3.14 -26.56 BUXL 1346.00 0.87 1169.20 1.09 1277.59 44109.71 34.53 -3.42 -11.81 CAC 748.90 0.93 696.13 1.09 760.66 44109.71 57.99 -4.51 -26.15 CAD 726.30 0.36 259.38 1.00 259.38 44109.71 170.06 -8.96 -152.34 CANOLA 121.86 1.39 169.15 0.73 122.82 44109.71 359.15 -7.75 -278.37 CHF 1458.62 0.46 676.61 1.00 676.61 44109.71 65.19 -7.33 -47.79 COCOA 719.10 2.18 1569.40 1.00 1569.40 44109.71 28.11 10.49 29.50 COFFEE 956.81 1.99 1900.08 1.00 1900.08 44109.71 23.21 -0.70 -1.62 COPPER 1086.38 1.40 1520.89 1.00 1520.89 44109.71 29.00 2.61 7.58 CORN 218.50 1.03 224.57 1.00 224.57 44109.71 196.42 -17.38 -341.34 COTTON2 353.25 1.40 495.27 1.00 495.27 44109.71 89.06 -12.98 -115.62 CRUDE_W 677.40 1.85 1256.32 1.00 1256.32 44109.71 35.11 1.92 6.74 DAX 196.02 0.72 140.19 1.09 153.18 44109.71 287.95 12.03 346.41 DOW 215.30 0.60 129.05 1.00 129.05 44109.71 341.81 7.42 253.47 DX 1030.45 0.34 352.37 1.00 352.37 44109.71 125.18 0.20 2.55 EUR 1364.50 0.39 535.37 1.00 535.37 44109.71 82.39 -4.67 -38.49 EURIBOR-ICE 2448.12 0.05 115.57 1.09 126.29 44109.71 349.29 5.81 202.81 EUROSTX 494.60 0.97 479.29 1.09 523.72 44109.71 84.22 0.14 1.22 FEEDCOW 1221.00 0.69 846.86 1.00 846.86 44109.71 52.09 4.28 22.27 GASOIL 664.00 1.89 1256.77 1.00 1256.77 44109.71 35.10 -4.07 -14.29 GASOLINE 838.57 2.14 1798.35 1.00 1798.35 44109.71 24.53 4.13 10.12 GAS_US_mini 73.50 2.92 214.53 1.00 214.53 44109.71 205.61 -11.65 -239.62 GBP 816.69 0.48 390.62 1.00 390.62 44109.71 112.92 1.88 21.21 GOLD_micro 268.25 0.64 171.08 1.00 171.08 44109.71 257.83 8.75 225.61 HEATOIL 931.60 2.06 1922.56 1.00 1922.56 44109.71 22.94 -8.82 -20.23 JGB-SGX-mini 144030.00 0.16 23448.74 0.01 157.15 44109.71 280.68 0.95 26.66 JPY 844.25 0.78 656.15 1.00 656.15 44109.71 67.22 -6.08 -40.87 LEANHOG 316.70 1.27 401.84 1.00 401.84 44109.71 109.77 13.40 147.06 LIVECOW 746.50 0.59 439.21 1.00 439.21 44109.71 100.43 12.04 120.88 LUMBER-new 153.45 1.41 216.68 1.00 216.68 44109.71 203.57 -0.66 -13.47 MILK 422.40 1.32 558.37 1.00 558.37 44109.71 79.00 6.15 48.59 MXP 250.60 0.90 225.43 1.00 225.43 44109.71 195.67 -1.19 -23.22 NASDAQ_micro 406.60 0.88 355.82 1.00 355.82 44109.71 123.97 -1.13 -14.00 NIKKEI 38995.00 1.51 58837.47 0.01 394.33 44109.71 111.86 4.76 53.29 NZD 608.15 0.70 423.51 1.00 423.51 44109.71 104.15 -0.82 -8.59 OAT 1263.60 0.37 468.95 1.09 512.42 44109.71 86.08 2.20 18.95 OATIES 186.62 1.49 277.29 1.00 277.29 44109.71 159.07 2.95 46.92 OJ 708.60 1.84 1305.78 1.00 1305.78 44109.71 33.78 9.03 30.50 PALLAD 1016.50 2.44 2480.29 1.00 2480.29 44109.71 17.78 1.12 2.00 PLAT 499.00 1.54 770.68 1.00 770.68 44109.71 57.24 -1.07 -6.15 REDWHEAT 300.12 1.62 484.83 1.00 484.83 44109.71 90.98 -11.46 -104.27 RICE 303.60 0.90 274.33 1.00 274.33 44109.71 160.79 -7.84 -126.09 ROBUSTA 481.60 1.87 902.91 1.00 902.91 44109.71 48.85 4.12 20.14 RUSSELL 113.91 0.96 109.92 1.00 109.92 44109.71 401.31 3.41 136.89 SHATZ 1068.00 0.08 88.92 1.09 97.17 44109.71 453.96 -4.74 -215.40 SILVER-mini 795.94 1.54 1226.00 1.00 1226.00 44109.71 35.98 4.74 17.06 SMI 1222.60 0.65 799.36 1.17 931.29 44109.71 47.36 5.89 27.91 SOFR 2416.25 0.06 145.28 1.00 145.28 44109.71 303.61 -1.31 -39.70 SOYBEAN 518.62 1.01 522.75 1.00 522.75 44109.71 84.38 -14.20 -119.81 SOYMEAL 313.40 1.48 463.17 1.00 463.17 44109.71 95.23 -13.72 -130.67 SOYOIL 254.76 1.75 445.60 1.00 445.60 44109.71 98.99 -3.48 -34.42 SP400 3202.50 0.74 2358.94 1.00 2358.94 44109.71 18.70 5.09 9.51 SP500_micro 293.18 0.64 186.17 1.00 186.17 44109.71 236.93 3.91 92.69 SUGAR11 235.31 1.54 362.04 1.00 362.04 44109.71 121.84 5.68 69.25 US10 1124.22 0.34 382.02 1.00 382.02 44109.71 115.46 -3.21 -37.08 US10U 1160.62 0.44 505.35 1.00 505.35 44109.71 87.28 -3.22 -28.09 US2 2069.14 0.12 239.99 1.00 239.99 44109.71 183.80 -5.23 -96.19 US20 1210.62 0.61 735.05 1.00 735.05 44109.71 60.01 -2.17 -13.02 US30 1289.06 0.86 1113.31 1.00 1113.31 44109.71 39.62 -3.88 -15.37 US5 1085.55 0.24 262.00 1.00 262.00 44109.71 168.36 -3.33 -56.01 VIX 188.50 3.38 637.15 1.00 637.15 44109.71 69.23 -4.96 -34.31 WHEAT 319.25 1.39 444.61 1.00 444.61 44109.71 99.21 -10.34 -102.63 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 30.636 0.010 2.5 0.795 BITCOIN -80.952 0.043 2.5 -8.766 BOBL -13.660 0.004 2.5 -0.139 BTP 40.745 0.014 2.5 1.390 BUND -26.563 0.004 2.5 -0.269 BUXL -11.810 0.004 2.5 -0.120 CAC -26.147 0.014 2.5 -0.892 CAD -152.344 0.010 2.5 -3.953 CANOLA -278.369 0.010 2.5 -6.772 CHF -47.787 0.010 2.5 -1.240 COCOA 29.497 0.009 2.5 0.632 COFFEE -1.622 0.005 2.5 -0.019 COPPER 7.579 0.043 2.5 0.821 CORN -341.339 0.010 2.5 -8.304 COTTON2 -115.621 0.009 2.5 -2.476 CRUDE_W 6.742 0.043 2.5 0.730 DAX 346.413 0.014 2.5 11.816 DOW 253.469 0.009 2.5 5.891 DX 2.547 0.010 2.5 0.066 EUR -38.487 0.010 2.5 -0.999 EURIBOR-ICE 202.812 0.014 2.5 6.918 EUROSTX 1.217 0.014 2.5 0.042 FEEDCOW 22.270 0.013 2.5 0.738 GASOIL -14.289 0.017 2.5 -0.619 GASOLINE 10.120 0.017 2.5 0.439 GAS_US_mini -239.617 0.043 2.5 -25.947 GBP 21.205 0.010 2.5 0.550 GOLD_micro 225.607 0.014 2.5 7.695 HEATOIL -20.234 0.017 2.5 -0.877 JGB-SGX-mini 26.665 0.043 2.5 2.887 JPY -40.870 0.010 2.5 -1.060 LEANHOG 147.060 0.024 2.5 8.937 LIVECOW 120.880 0.013 2.5 4.006 LUMBER-new -13.469 0.009 2.5 -0.288 MILK 48.594 0.009 2.5 1.041 MXP -23.217 0.059 2.5 -3.408 NASDAQ_micro -14.005 0.009 2.5 -0.325 NIKKEI 53.290 0.043 2.5 5.771 NZD -8.589 0.010 2.5 -0.223 OAT 18.954 0.014 2.5 0.646 OATIES 46.916 0.010 2.5 1.141 OJ 30.500 0.009 2.5 0.653 PALLAD 2.000 0.014 2.5 0.068 PLAT -6.149 0.014 2.5 -0.210 REDWHEAT -104.274 0.005 2.5 -1.383 RICE -126.091 0.010 2.5 -3.068 ROBUSTA 20.139 0.005 2.5 0.235 RUSSELL 136.886 0.013 2.5 4.536 SHATZ -215.403 0.004 2.5 -2.184 SILVER-mini 17.055 0.014 2.5 0.582 SMI 27.908 0.014 2.5 0.952 SOFR -39.700 0.024 2.5 -2.413 SOYBEAN -119.807 0.004 2.5 -1.114 SOYMEAL -130.666 0.004 2.5 -1.215 SOYOIL -34.418 0.004 2.5 -0.320 SP400 9.510 0.013 2.5 0.315 SP500_micro 92.693 0.009 2.5 2.154 SUGAR11 69.252 0.009 2.5 1.473 US10 -37.084 0.005 2.5 -0.470 US10U -28.093 0.005 2.5 -0.356 US2 -96.187 0.005 2.5 -1.219 US20 -13.020 0.005 2.5 -0.165 US30 -15.366 0.005 2.5 -0.195 US5 -56.008 0.005 2.5 -0.710 VIX -34.314 0.099 2.5 -8.470 WHEAT -102.629 0.005 2.5 -1.361 ===================== Position diags ===================== AUD 2.85 BITCOIN 29.29 BOBL 1.64 BTP 2.75 BUND 0.86 BUXL 0.35 CAC 1.98 CAD 4.41 CANOLA 8.74 CHF 1.69 COCOA 0.60 COFFEE 0.27 COPPER 3.14 CORN 4.78 COTTON2 1.91 CRUDE_W 3.80 DAX 9.82 DOW 7.94 DX 3.25 EUR 2.14 EURIBOR-ICE 11.91 EUROSTX 2.87 FEEDCOW 1.73 GASOIL 1.52 GASOLINE 1.06 GAS_US_mini 22.27 GBP 2.93 GOLD_micro 8.79 HEATOIL 0.99 JGB-SGX-mini 30.39 JPY 1.74 LEANHOG 6.67 LIVECOW 3.33 LUMBER-new 4.36 MILK 1.69 MXP 28.72 NASDAQ_micro 2.88 NIKKEI 12.11 NZD 2.70 OAT 2.94 OATIES 3.87 OJ 0.72 PALLAD 0.61 PLAT 1.95 REDWHEAT 1.21 RICE 3.91 ROBUSTA 0.57 RUSSELL 13.30 SHATZ 4.60 SILVER-mini 1.23 SMI 1.62 SOFR 18.45 SOYBEAN 0.78 SOYMEAL 0.89 SOYOIL 0.92 SP400 0.62 SP500_micro 5.51 SUGAR11 2.59 US10 1.46 US10U 1.11 US2 2.33 US20 0.76 US30 0.50 US5 2.13 VIX 17.09 WHEAT 1.32 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.8 0.5 1.1 0.0 0 BITCOIN -8.8 -11.7 -5.8 0.0 0 BOBL -0.1 -0.3 0.0 0.0 0 BTP 1.4 1.1 1.7 0.0 0 BUND -0.3 -0.4 -0.2 -1.0 -1 BUXL -0.1 -0.2 -0.1 0.0 0 CAC -0.9 -1.1 -0.7 0.0 0 CAD -4.0 -4.4 -3.5 -1.0 -1 CANOLA -6.8 -7.6 -5.9 -2.0 -2 CHF -1.2 -1.4 -1.1 -1.0 -1 COCOA 0.6 0.6 0.7 1.0 1 COFFEE -0.0 -0.0 0.0 0.0 0 COPPER 0.8 0.5 1.1 2.0 2 CORN -8.3 -8.8 -7.8 -5.0 -5 COTTON2 -2.5 -2.7 -2.3 -4.0 -4 CRUDE_W 0.7 0.3 1.1 0.0 0 DAX 11.8 10.8 12.8 4.0 4 DOW 5.9 5.1 6.7 0.0 0 DX 0.1 -0.3 0.4 0.0 0 EUR -1.0 -1.2 -0.8 -1.0 -1 EURIBOR-ICE 6.9 5.7 8.1 0.0 0 EUROSTX 0.0 -0.2 0.3 0.0 0 FEEDCOW 0.7 0.6 0.9 2.0 2 GASOIL -0.6 -0.8 -0.5 0.0 0 GASOLINE 0.4 0.3 0.5 0.0 0 GAS_US_mini -25.9 -28.2 -23.7 -16.0 -16 GBP 0.6 0.3 0.8 0.0 0 GOLD_micro 7.7 6.8 8.6 1.0 1 HEATOIL -0.9 -1.0 -0.8 0.0 0 JGB-SGX-mini 2.9 -0.2 5.9 8.0 8 JPY -1.1 -1.2 -0.9 -2.0 -2 LEANHOG 8.9 8.3 9.6 6.0 6 LIVECOW 4.0 3.7 4.3 3.0 3 LUMBER-new -0.3 -0.7 0.1 -2.0 -2 MILK 1.0 0.9 1.2 1.0 1 MXP -3.4 -6.3 -0.5 -4.0 -4 NASDAQ_micro -0.3 -0.6 -0.0 -1.0 -1 NIKKEI 5.8 4.6 7.0 4.0 4 NZD -0.2 -0.5 0.0 0.0 0 OAT 0.6 0.4 0.9 1.0 1 OATIES 1.1 0.8 1.5 NaN 0 OJ 0.7 0.6 0.7 1.0 1 PALLAD 0.1 0.0 0.1 0.0 0 PLAT -0.2 -0.4 -0.0 0.0 0 REDWHEAT -1.4 -1.5 -1.3 0.0 0 RICE -3.1 -3.5 -2.7 NaN 0 ROBUSTA 0.2 0.2 0.3 0.0 0 RUSSELL 4.5 3.2 5.9 0.0 0 SHATZ -2.2 -2.6 -1.7 NaN 0 SILVER-mini 0.6 0.5 0.7 0.0 0 SMI 1.0 0.8 1.1 0.0 0 SOFR -2.4 -4.3 -0.6 NaN 0 SOYBEAN -1.1 -1.2 -1.0 -3.0 -3 SOYMEAL -1.2 -1.3 -1.1 -1.0 -1 SOYOIL -0.3 -0.4 -0.2 0.0 0 SP400 0.3 0.3 0.4 2.0 2 SP500_micro 2.2 1.6 2.7 0.0 0 SUGAR11 1.5 1.2 1.7 3.0 3 US10 -0.5 -0.6 -0.3 0.0 0 US10U -0.4 -0.5 -0.2 0.0 0 US2 -1.2 -1.5 -1.0 NaN 0 US20 -0.2 -0.2 -0.1 0.0 0 US30 -0.2 -0.2 -0.1 0.0 0 US5 -0.7 -0.9 -0.5 -1.0 -1 VIX -8.5 -10.2 -6.8 -5.0 -5 WHEAT -1.4 -1.5 -1.2 -2.0 -2 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.8 3.8 3.8 3.8 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -0.2 0.1 0.1 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.2 0.1 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.0 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 0.2 -0.1 0.1 0.3 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.2 0.2 0.1 -2.7 0.0 0.2 0.0 0.1 0.3 0.0 -0.1 0.5 0.4 -0.6 -0.3 0.0 -0.1 -0.0 0.1 BOBL -0.4 0.0 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 -0.0 0.3 0.1 0.0 -0.7 -0.6 -0.1 -0.1 BTP -0.2 0.2 0.4 0.0 -0.0 0.1 -0.1 0.1 -0.1 0.0 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 -0.0 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 -0.0 0.1 -0.0 -0.2 0.1 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 -0.0 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 0.0 0.1 -0.0 0.1 -0.0 0.2 0.3 0.4 -0.0 -0.3 -0.7 -0.7 -0.2 -0.2 CAC 0.2 0.2 -0.4 0.0 0.0 0.1 0.0 0.2 0.0 -0.1 -0.2 -0.1 0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.9 -0.0 -0.1 -0.1 -0.0 0.0 0.0 0.2 -0.5 -0.3 -0.2 -0.6 0.3 0.2 -0.1 -0.0 CAD -0.5 -0.0 0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 -0.0 -0.2 -0.5 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.0 -0.1 0.0 -0.2 -0.0 -0.1 -0.2 -0.5 -0.4 -0.3 -0.2 0.2 -0.3 0.0 -0.1 CANOLA 0.6 0.2 0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 0.0 -0.2 0.1 -0.0 -0.3 -0.2 -0.3 -0.3 0.0 -0.0 -0.0 -0.2 0.0 -1.9 0.0 -0.0 -0.0 0.0 -0.1 0.0 -1.1 0.1 0.2 0.2 0.1 -0.2 -0.4 0.1 -0.3 CHF -0.6 -0.1 0.6 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.1 -0.0 -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 -0.1 -0.3 -0.2 0.4 -0.2 -0.4 -0.5 -0.4 COCOA 0.3 0.0 0.3 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.1 0.0 0.1 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 0.1 0.1 0.0 0.3 0.0 1.1 0.5 0.2 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 -0.2 -0.4 0.2 0.6 -0.2 -0.3 0.1 -0.0 COPPER 0.5 0.4 -0.4 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.0 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.0 0.1 0.0 -1.8 0.0 -0.0 0.0 -0.0 0.1 0.0 0.2 -0.4 0.4 0.3 0.0 0.7 0.3 0.6 0.7 CORN 0.2 0.5 -0.4 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.2 -0.4 -0.1 -0.7 0.1 -0.1 -0.2 -0.3 -0.3 -0.3 -0.1 -0.2 -0.2 -0.5 -0.0 -1.7 -0.0 -0.2 -0.2 -0.1 -0.5 -0.0 -1.1 -0.5 -0.6 -0.2 -0.6 0.1 -0.1 0.2 0.0 COTTON2 0.1 0.6 0.1 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.4 -0.1 -0.5 0.1 0.0 -0.3 -0.1 -0.2 -0.2 0.0 -0.1 -0.1 -0.4 0.0 -2.7 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.8 -0.3 -0.2 0.2 0.2 -0.5 -0.4 -0.2 -0.2 CRUDE_W 0.5 -0.2 -0.6 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.2 0.0 0.0 0.0 -0.1 0.1 0.2 0.2 0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.2 -0.0 -0.1 -0.1 0.0 -0.1 0.0 0.5 -0.2 -0.2 0.2 0.1 -0.0 0.3 -0.0 0.5 DAX 0.4 0.4 -0.1 0.1 0.0 0.1 0.1 0.3 0.1 0.1 0.3 0.1 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.1 0.2 0.4 0.2 1.3 0.1 0.1 0.1 0.1 0.2 0.1 -0.3 0.1 0.4 0.4 -0.1 0.5 0.2 0.1 0.1 DOW 0.2 0.4 0.2 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 0.2 0.5 0.2 -1.8 0.1 0.0 0.2 0.1 0.2 0.1 -0.4 0.3 0.3 0.6 0.6 0.4 0.1 -0.2 -0.2 DX 0.6 0.1 -0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 -0.2 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 0.7 0.5 0.6 -0.2 -0.6 -0.0 0.3 -0.0 0.4 EUR -0.6 -0.2 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.2 -0.2 -0.1 -0.2 0.0 -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 -0.2 -0.5 -0.6 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 -0.0 0.2 -0.1 0.2 -0.0 0.1 0.1 -0.0 0.1 0.0 0.1 0.1 -0.0 0.2 -0.0 1.5 0.0 0.0 0.1 -0.0 0.1 -0.0 0.3 0.1 0.3 0.3 0.2 -0.5 -0.7 0.2 0.1 EUROSTX 0.3 0.2 -0.4 0.0 0.0 0.1 0.0 0.2 0.0 -0.0 0.1 0.0 0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 0.2 0.1 -0.3 0.0 -0.0 0.1 0.0 0.2 0.0 0.2 -0.3 0.0 -0.1 -0.5 0.2 0.1 -0.7 -0.3 FEEDCOW 0.6 0.5 -0.6 0.0 -0.1 -0.1 -0.0 -0.2 0.0 0.0 -0.3 0.2 -0.5 0.2 -0.0 0.4 -0.2 0.4 0.1 0.1 -0.1 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 0.6 -0.6 0.3 0.7 0.7 0.7 GASOIL 0.6 -0.1 -0.6 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.3 0.1 -0.0 0.0 -0.1 0.0 0.2 0.0 0.1 -0.1 -0.1 0.0 -0.1 0.0 0.5 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 -0.0 -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 0.0 -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 0.0 -0.0 0.1 -2.7 0.0 -0.0 -0.0 0.0 -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 0.1 0.3 0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.2 -0.5 -0.2 -0.7 -0.1 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.2 -0.5 -0.1 2.7 -0.0 -0.2 -0.1 -0.1 -0.3 -0.1 -1.1 -0.5 -0.6 -0.0 -0.1 -0.3 -0.7 -0.1 -0.6 GBP -0.5 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 -0.1 0.4 -0.1 -0.3 0.0 -0.0 0.2 -0.1 0.2 -0.0 0.1 -0.0 0.2 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 0.3 0.1 -0.7 -0.0 0.6 0.5 0.6 0.7 -0.0 0.4 0.2 HEATOIL 0.6 -0.0 -0.5 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.3 0.0 -0.2 0.0 -0.1 -0.1 0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 0.0 -2.6 -0.0 -0.1 -0.1 0.0 -0.1 0.0 -0.5 -0.1 -0.0 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 0.1 0.2 0.0 -0.1 -0.5 -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 -0.1 -0.1 2.7 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.1 -0.4 -0.2 0.2 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.2 0.6 0.3 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.1 -0.1 0.1 -0.2 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.1 0.1 -0.3 0.2 0.6 0.1 -0.0 0.0 0.0 -0.1 0.1 1.1 0.5 0.5 0.6 0.6 -0.0 -0.2 0.2 0.1 LIVECOW 0.6 0.5 0.0 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -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 0.2 0.1 -0.4 -0.4 -0.4 -0.4 0.1 -0.0 0.1 -0.3 0.1 NaN 0.0 0.0 -0.0 0.1 -0.2 0.1 -1.2 0.5 0.3 -0.0 0.6 0.1 0.0 0.3 0.1 MILK -0.6 0.1 0.6 0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.0 0.3 -0.1 0.3 -0.0 0.1 0.4 -0.1 0.4 0.3 0.1 0.2 -0.0 0.3 -0.0 1.9 0.0 0.0 0.1 -0.0 0.1 -0.0 0.2 -0.2 -0.6 0.2 0.6 -0.0 -0.7 0.2 -0.7 MXP 0.3 0.0 -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 0.2 -0.4 -0.6 0.4 0.5 0.6 0.7 NASDAQ_micro 0.4 0.2 -0.4 0.0 0.0 0.1 0.0 0.2 0.0 0.0 0.2 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 0.1 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 0.0 0.1 0.1 -0.8 -0.0 0.0 -0.0 0.0 0.0 0.0 1.1 -0.0 0.2 -0.0 -0.4 0.5 0.1 0.5 0.1 NZD -0.4 0.1 0.1 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 -0.1 0.0 -0.1 0.1 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.1 -0.2 0.0 0.0 -0.1 0.1 -0.2 0.1 -0.0 OAT -0.4 0.0 0.3 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.1 -0.1 -0.0 -0.1 0.1 0.2 0.1 0.1 0.1 -0.0 0.0 -0.0 -0.0 -0.1 0.5 0.0 0.0 0.0 -0.0 0.0 -0.0 0.7 0.3 0.2 0.1 -0.2 -0.4 -0.5 0.2 0.1 OATIES 0.3 0.6 0.4 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.0 0.0 -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 -0.0 0.1 -0.0 -0.0 0.0 0.1 -0.5 0.2 0.6 0.6 0.6 0.1 0.7 0.4 OJ -0.3 -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 0.0 0.2 0.0 0.4 0.0 0.8 0.4 -0.3 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 0.0 0.0 0.0 -0.1 0.0 2.1 0.0 -0.0 0.0 0.0 -0.0 0.0 0.3 0.1 -0.3 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 0.4 0.6 -0.2 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.1 -0.4 0.0 -0.6 0.1 0.0 -0.2 -0.1 -0.2 -0.2 0.0 -0.1 -0.0 -0.4 0.1 -0.7 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.9 0.1 -0.0 0.2 -0.3 -0.7 -0.7 -0.7 -0.7 RICE -0.2 0.0 -0.2 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.1 0.3 -0.1 0.5 -0.0 -0.0 -0.2 0.4 -0.0 0.4 -0.0 0.0 -0.1 0.2 -0.0 -1.9 -0.0 -0.0 0.0 -0.1 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 0.0 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 -0.4 -0.4 0.4 0.6 0.4 -0.1 0.7 0.2 RUSSELL 0.1 0.1 0.2 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.2 0.1 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 0.1 0.2 0.0 -0.0 0.2 -0.1 0.2 0.5 0.0 -0.4 -0.4 -0.7 SHATZ -0.4 0.1 0.6 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.0 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 0.3 -0.1 -0.0 0.3 SMI 0.1 -0.3 -0.3 0.0 0.0 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 0.4 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 -0.1 0.3 -0.1 0.1 0.0 0.0 0.0 0.0 -0.0 0.1 -0.2 0.2 -0.2 -0.8 -0.0 -0.0 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 0.2 0.4 -0.5 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.3 -0.1 -0.4 0.0 -0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.5 -0.1 -2.7 -0.0 -0.1 -0.2 -0.1 -0.2 -0.0 -0.3 -0.5 -0.4 -0.0 -0.6 0.1 -0.4 0.4 -0.3 SOYMEAL -0.0 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 -0.1 -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 -2.5 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 0.2 0.3 0.1 -0.0 -0.3 0.3 -0.1 SP400 0.3 0.2 0.1 0.0 0.0 0.1 0.0 0.3 0.0 0.1 0.3 0.2 0.6 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.2 0.3 0.2 -1.7 0.1 0.1 0.2 0.1 0.2 0.1 0.0 0.4 0.2 0.4 0.5 0.2 -0.2 -0.3 -0.7 SP500_micro 0.3 0.3 -0.4 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 0.2 0.5 0.2 -2.7 0.1 0.0 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 0.4 0.6 0.5 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 0.1 0.0 -0.2 0.1 0.1 0.4 0.2 0.4 0.3 0.2 0.1 0.0 -0.0 0.2 -2.7 0.0 0.0 0.0 0.0 -0.0 0.0 0.9 -0.1 0.6 0.6 0.6 -0.5 0.3 -0.5 0.4 US10 -0.6 -0.3 0.6 0.0 -0.0 0.1 -0.0 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 -0.0 -0.3 -0.2 -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 0.0 -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 -0.0 -0.3 -0.5 -0.4 -0.3 0.1 -0.6 0.7 0.7 US2 -0.6 -0.2 0.6 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.0 -0.1 0.0 -0.4 -0.4 -0.4 -0.4 -0.0 0.0 -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 0.1 -0.0 -0.7 0.2 -0.4 US20 -0.6 -0.3 0.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.2 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 0.1 -0.2 -0.5 -0.0 -0.0 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 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 0.0 -0.2 -0.3 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.4 -0.4 -0.4 -0.0 -0.3 0.7 0.7 US5 -0.6 -0.3 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 -0.1 0.1 -0.1 0.7 -0.0 -0.0 0.0 -0.0 0.0 -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 0.0 -0.1 0.1 -0.6 -0.2 -0.6 0.1 0.0 -0.0 -0.2 0.0 NaN 0.0 -0.0 0.1 -0.0 -0.1 0.0 NaN NaN NaN NaN NaN -0.9 -1.1 NaN NaN WHEAT 0.4 0.6 -0.2 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.1 -0.3 -0.0 -0.6 0.1 0.0 -0.2 -0.3 -0.3 -0.3 0.1 -0.1 -0.0 -0.4 0.1 0.5 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -1.1 -0.1 -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 -4.7 3.7 3.7 1.3 -6.4 2.3 -7.0 1.8 -3.2 -16.0 10.2 -14.3 4.0 -2.2 8.2 -0.1 -1.9 -0.6 -1.3 4.6 6.4 -13.8 3.5 -4.1 2.3 2.3 -7.1 3.1 -6.2 1.9 -1.7 -0.0 -5.5 10.9 2.9 0.5 9.8 -6.4 14.9 -0.8 BITCOIN 8.3 1.3 -10.8 3.6 1.0 0.6 1.1 -1.0 3.5 18.7 -4.3 12.0 8.5 12.9 1.0 -6.5 -6.8 -6.2 -6.4 1.8 -0.2 17.5 7.9 8.7 -20.0 0.2 18.5 0.2 9.7 7.9 4.3 -2.2 20.0 11.3 -18.4 -9.3 1.3 -2.4 -0.7 2.2 BOBL -13.1 1.0 19.2 0.3 -0.9 2.0 -3.3 1.4 -2.5 -6.8 5.0 -9.0 -1.1 -3.8 5.3 16.1 -8.8 2.4 -5.2 2.6 4.8 -7.8 1.3 -4.2 4.1 1.4 -1.1 2.5 -3.2 1.4 -1.6 -6.7 -0.3 9.0 4.1 0.5 -20.0 -17.6 -2.3 -3.4 BTP -5.4 5.0 11.3 0.5 -1.6 3.7 -6.1 2.5 -4.7 2.1 16.0 -9.7 17.5 6.3 15.5 7.3 4.7 5.5 4.5 12.7 14.9 1.4 13.8 5.3 -20.0 6.0 4.9 6.9 1.0 6.3 2.8 14.0 20.0 20.0 20.0 3.8 -20.0 -12.6 2.2 9.2 BUND -12.3 -0.8 14.5 0.4 -1.0 2.4 -4.0 1.7 -3.0 -7.1 6.2 -10.6 1.6 -5.1 6.2 -20.0 -4.2 -13.5 -8.3 2.1 5.1 -7.8 2.2 -4.8 1.3 1.3 -0.7 3.1 -3.8 2.3 -2.2 -3.8 4.0 11.3 2.5 -3.1 -20.0 -17.4 -2.5 -2.2 BUXL -10.0 -2.7 10.0 0.4 -1.2 2.8 -4.6 1.9 -3.5 -6.5 4.8 -12.0 1.1 -8.6 5.3 0.2 -1.8 -0.5 -1.3 -0.7 2.2 -7.2 -0.4 -6.0 -2.3 0.1 0.1 2.3 -4.0 1.9 -3.2 3.6 10.9 11.9 -1.5 -10.0 -20.0 -20.0 -5.7 -6.0 CAC 6.4 7.4 -12.3 4.1 3.3 4.9 4.3 6.7 4.3 -7.1 -6.5 -8.6 0.4 -1.8 1.0 -5.4 -3.0 -5.6 -4.4 -1.8 -4.7 -4.0 -1.6 -0.7 -6.6 -0.6 -5.8 -2.3 -1.9 0.3 0.4 4.4 -20.0 -8.2 -7.2 -20.0 8.1 5.3 -3.8 -0.8 CAD -14.4 -1.0 5.4 1.7 -8.4 3.1 -9.2 2.3 -4.2 -20.0 -0.5 -20.0 -12.9 -15.7 -0.2 -4.7 -3.8 -4.6 -4.3 -6.7 -1.3 -20.0 -4.4 -20.0 -1.0 -2.0 -14.4 0.2 -15.2 -1.1 -8.9 -4.0 -20.0 -11.9 -9.5 -6.2 5.8 -8.1 1.3 -4.2 CANOLA 18.7 7.4 0.2 0.2 -2.3 -1.4 -0.1 -1.9 1.2 -7.0 -2.9 2.1 -6.8 5.4 -0.6 -13.8 -11.2 -13.2 -13.1 1.0 -3.5 -1.3 -6.7 3.6 -14.5 1.3 -0.7 -1.0 0.9 -3.2 2.2 -20.0 3.4 5.7 6.9 2.0 -5.3 -11.8 2.5 -7.5 CHF -20.0 -2.5 20.0 1.1 -5.3 1.9 -5.8 1.4 -2.6 -13.4 7.4 -13.7 -0.5 -8.2 6.8 -14.1 -16.0 -14.7 -15.3 1.7 7.3 -16.0 3.9 -10.1 4.0 0.9 -5.9 3.3 -6.2 2.2 -3.8 -20.0 -5.6 -10.5 -7.6 12.6 -7.3 -11.4 -16.3 -11.8 COCOA 8.3 0.7 7.8 0.2 -2.0 -1.2 -0.1 -1.6 1.0 6.5 1.8 5.4 3.5 4.2 2.2 20.0 20.0 20.0 20.0 4.2 5.5 11.9 10.5 6.8 -20.0 2.1 6.3 3.4 4.5 7.0 2.8 20.0 20.0 6.7 6.6 6.7 20.0 14.9 20.0 20.0 COFFEE -6.6 -2.6 1.8 0.4 -4.4 -2.7 -0.2 -3.6 2.3 5.7 13.4 -3.3 14.3 2.3 8.0 2.6 5.5 3.4 4.4 8.4 13.5 0.4 15.0 2.1 -20.0 3.6 2.1 6.2 -0.1 7.9 0.7 5.1 -8.2 -10.9 7.1 20.0 -6.0 -7.6 4.4 -1.2 COPPER 14.4 13.3 -12.5 1.8 0.5 0.3 0.6 -0.5 1.8 -9.9 -1.7 -2.2 0.0 4.3 3.1 -3.4 -3.1 -3.2 -2.8 5.0 2.8 -5.2 3.2 3.6 -13.8 2.5 -3.3 1.6 -1.0 1.5 1.9 4.2 -17.1 10.9 8.9 0.6 20.0 9.5 18.2 20.0 CORN 6.3 14.2 -12.7 0.6 -5.9 -3.6 -0.3 -4.9 3.0 -19.5 -14.8 -9.5 -20.0 9.6 -9.3 -10.5 -15.1 -15.3 -16.7 -4.9 -18.7 -17.0 -20.0 -3.1 -12.9 -3.7 -20.0 -9.0 -11.3 -12.9 -3.4 -20.0 -20.0 -18.1 -5.2 -20.0 2.8 -3.9 7.1 0.2 COTTON2 3.0 18.2 1.7 0.4 -4.5 -2.8 -0.2 -3.7 2.3 -14.8 -13.4 -8.2 -13.8 6.9 3.4 -12.9 -5.0 -11.3 -8.5 2.2 -6.7 -8.2 -13.5 1.0 -20.0 1.4 -9.1 -1.5 -5.0 -2.7 0.2 -15.0 -12.2 -7.6 6.9 7.0 -14.1 -12.1 -6.3 -6.9 CRUDE_W 15.4 -4.7 -17.3 -0.7 -3.7 -2.7 1.8 -1.6 2.6 -11.3 -6.1 4.6 1.3 3.6 -5.1 6.1 11.8 9.6 11.1 -3.3 -6.1 1.1 -2.3 2.9 -1.4 -0.2 -5.9 -3.0 0.9 -1.7 2.8 10.2 -7.7 -6.9 5.4 3.3 -1.3 10.3 -0.2 15.4 DAX 12.7 11.1 -3.7 4.6 3.7 5.5 4.8 7.5 4.8 15.2 12.8 13.6 15.8 14.6 15.4 -8.0 -10.0 -8.3 -9.0 15.8 12.1 17.7 13.5 18.1 9.9 5.4 6.9 4.4 6.6 5.9 6.5 -6.1 3.3 11.4 12.4 -3.8 15.4 6.7 3.3 1.6 DOW 5.2 10.9 6.3 4.4 3.5 5.2 4.5 7.1 4.5 9.5 16.3 14.5 17.1 17.2 17.7 -9.6 -10.6 -9.6 -10.1 20.0 19.0 18.5 18.3 19.4 -13.7 6.5 4.7 6.3 5.4 6.4 5.9 -7.4 13.1 8.8 20.0 20.0 12.2 3.4 -6.3 -6.2 DX 20.0 2.3 -18.8 1.4 -6.9 2.5 -7.6 1.9 -3.4 18.3 -9.1 20.0 3.0 14.6 -7.7 5.5 6.6 5.8 6.2 1.4 -8.8 20.0 -5.0 20.0 -20.0 0.3 7.2 -2.9 9.4 -1.7 6.6 13.9 20.0 20.0 -6.0 -20.0 -0.2 7.7 -1.0 10.8 EUR -19.6 -4.9 10.4 1.6 -7.7 2.8 -8.4 2.1 -3.8 -20.0 7.3 -20.0 -1.8 -17.8 4.0 -6.3 -7.0 -6.5 -6.7 -3.8 5.1 -20.0 3.8 -19.6 20.0 -1.1 -10.5 2.9 -11.6 2.7 -7.9 -8.9 -8.5 -16.4 -17.6 7.4 -2.5 -20.0 -9.2 -20.0 EURIBOR-ICE -14.7 1.8 20.0 0.3 -0.7 1.7 -2.8 1.2 -2.2 -3.0 6.2 -5.4 5.1 -0.9 6.4 5.1 -1.6 3.0 0.6 5.7 8.1 -3.5 5.8 -0.9 11.4 2.1 0.7 2.9 -1.1 2.2 -0.2 5.4 3.4 9.8 9.2 6.9 -14.8 -19.5 5.0 4.1 EUROSTX 9.9 4.6 -12.7 4.2 3.3 5.0 4.3 6.7 4.3 -4.8 4.9 3.0 11.3 7.8 7.8 -3.6 -3.2 -4.1 -4.0 4.6 2.7 2.8 6.7 6.3 -2.4 2.5 -3.2 2.0 1.7 5.4 3.6 4.3 -11.2 0.6 -1.9 -15.4 5.7 1.6 -20.0 -7.6 FEEDCOW 20.0 15.8 -19.0 0.6 -6.2 -3.9 -0.3 -5.2 3.2 4.4 -9.4 19.1 -13.6 20.0 -1.1 20.0 -8.6 17.9 6.3 8.0 -13.8 20.0 -16.8 20.0 -9.7 1.8 -0.5 -3.3 5.9 -3.5 6.9 -6.9 20.0 20.0 18.7 -18.7 9.3 20.0 20.0 20.0 GASOIL 20.0 -3.3 -18.3 -0.7 -3.8 -2.8 1.8 -1.7 2.7 -5.8 -11.4 6.7 -1.1 3.6 -8.9 2.2 8.0 2.4 3.5 -6.0 -10.4 2.2 -5.5 2.9 3.8 -2.8 -5.5 -4.7 0.9 -2.8 1.1 0.1 -7.3 -1.5 -8.0 -6.2 -4.7 -10.7 -2.8 -16.8 GASOLINE 19.4 -0.4 -15.2 -0.6 -3.5 -2.6 1.7 -1.6 2.5 -6.4 -6.4 5.1 0.6 6.4 -2.5 8.9 20.0 20.0 20.0 -0.4 -4.1 4.3 -1.0 6.0 -20.0 1.8 -3.1 -0.8 3.0 -0.1 4.7 20.0 4.1 1.6 10.6 9.1 4.6 13.5 10.7 20.0 GAS_US_mini 3.4 10.5 0.4 -0.9 -5.0 -3.6 2.4 -2.2 3.5 -19.3 -17.3 -15.9 -20.0 -5.7 -15.5 -20.0 -20.0 -20.0 -20.0 -4.9 -11.1 -20.0 -20.0 -8.2 20.0 -2.0 -17.6 -4.0 -12.9 -7.9 -4.8 -20.0 -20.0 -20.0 -1.1 -2.2 -8.8 -20.0 -3.1 -18.3 GBP -15.5 1.6 8.6 1.5 -7.4 2.7 -8.1 2.0 -3.6 -18.2 14.8 -19.7 14.1 -7.5 9.4 0.8 -0.3 0.4 0.0 7.5 14.3 -15.9 13.1 -7.2 -2.0 3.5 -3.9 6.3 -6.0 6.0 -2.4 2.5 -1.8 4.9 8.2 16.0 5.8 -20.0 9.7 -20.0 GOLD_micro 4.7 15.8 17.5 3.3 0.9 0.5 1.0 -0.9 3.2 14.6 20.0 11.1 20.0 15.5 19.2 -13.3 -13.3 -12.9 -12.7 20.0 20.0 11.0 20.0 20.0 -13.4 6.8 3.5 7.0 2.6 7.1 4.8 -13.1 -0.0 19.1 16.4 20.0 19.8 -1.0 13.1 4.8 HEATOIL 20.0 -0.8 -14.2 -0.7 -3.6 -2.6 1.7 -1.6 2.5 -11.4 -11.2 0.0 -5.7 1.8 -8.2 -5.0 3.5 -5.4 -3.1 -4.5 -9.0 -0.8 -6.3 2.4 -19.3 -0.5 -6.5 -3.6 0.8 -2.9 2.8 -9.5 -2.3 -0.2 3.6 0.1 -8.0 3.9 -7.8 4.4 JGB-SGX-mini -13.4 5.4 16.7 0.3 -0.7 1.7 -2.9 1.2 -2.2 -6.0 4.8 -7.1 2.9 -3.8 5.3 9.7 16.0 12.2 14.0 2.7 4.5 -7.6 2.7 -3.6 -9.5 0.9 -2.0 1.5 -3.2 0.4 -1.7 20.0 5.6 7.4 1.4 -1.9 -13.5 -6.8 -14.7 0.1 JPY -20.0 -2.7 20.0 0.6 -2.8 1.0 -3.0 0.8 -1.4 -6.0 2.9 -7.6 -2.9 -6.4 2.5 -10.0 -14.3 -11.2 -12.6 -1.1 1.9 -9.8 -1.9 -8.0 20.0 -0.1 -1.7 0.7 -2.8 -0.6 -2.2 -20.0 -6.0 -13.6 -6.9 7.5 -20.0 -20.0 -20.0 -20.0 LEANHOG 7.5 20.0 8.2 0.6 -6.5 -4.0 -0.3 -5.4 3.4 -11.6 -2.5 12.8 -5.7 20.0 20.0 20.0 20.0 20.0 20.0 19.2 4.7 8.4 -9.4 19.8 4.3 6.4 -2.8 1.8 3.2 -2.0 7.0 20.0 20.0 14.9 20.0 20.0 -0.1 -5.3 6.0 1.7 LIVECOW 20.0 15.9 1.4 0.6 -6.8 -4.2 -0.3 -5.6 3.5 -6.9 16.1 20.0 12.4 20.0 17.5 1.5 8.8 5.4 8.9 20.0 17.2 19.0 13.6 20.0 -20.0 6.2 -0.8 3.9 5.2 4.1 8.1 12.5 20.0 20.0 20.0 20.0 -2.7 20.0 6.8 20.0 LUMBER-new 12.1 8.7 4.5 0.4 -4.4 -2.7 -0.2 -3.5 2.3 11.5 -8.6 14.1 -10.5 12.3 10.9 -16.8 -17.8 -17.7 -17.8 4.4 -3.7 8.7 -9.7 8.6 NaN 3.5 3.7 -1.2 5.2 -5.0 5.5 -20.0 17.5 8.3 -0.4 16.1 3.0 0.0 8.2 3.6 MILK -20.0 2.1 19.6 0.4 -3.7 -2.3 -0.2 -3.1 1.9 0.2 11.8 -7.8 8.7 -0.8 6.8 20.0 -2.5 20.0 15.4 7.8 14.5 -4.9 10.2 -2.4 14.2 2.5 1.5 5.1 -1.8 3.3 -1.1 4.4 -8.6 -20.0 5.3 20.0 -0.7 -20.0 7.3 -20.0 MXP 8.5 0.7 -19.9 0.9 -4.5 1.6 -4.9 1.2 -2.2 -5.6 -9.7 -1.6 -6.8 1.0 -7.0 10.5 13.5 10.5 11.4 -5.9 -10.8 -1.9 -7.0 -0.4 -20.0 -2.6 -5.0 -5.0 -1.0 -3.0 -0.2 20.0 20.0 5.5 -12.5 -19.6 12.9 14.4 17.7 20.0 NASDAQ_micro 12.7 6.0 -11.5 3.3 2.6 3.9 3.4 5.3 3.4 4.7 5.6 10.3 9.7 12.3 5.6 -7.9 -9.6 -8.0 -8.7 9.0 8.5 9.6 12.6 11.1 -20.0 4.0 1.3 4.3 3.4 6.4 4.2 -5.4 6.3 4.3 6.4 -2.0 4.4 3.6 -9.7 -1.8 NIKKEI 17.5 4.5 -20.0 1.9 1.5 2.2 1.9 3.0 1.9 3.7 2.4 5.4 3.4 5.6 2.9 1.4 7.9 3.9 5.9 2.8 1.2 4.3 2.8 5.1 -6.0 -0.2 0.1 -0.7 1.3 1.1 1.3 20.0 -0.8 5.0 -1.5 -10.8 14.1 3.5 14.2 3.5 NZD -13.4 2.5 4.1 0.9 -4.3 1.6 -4.7 1.2 -2.1 -9.0 4.9 -9.9 2.2 -4.8 4.2 -0.2 0.0 -0.1 -0.1 0.7 3.1 -12.0 1.7 -6.6 0.4 0.6 -4.0 1.4 -4.9 0.9 -2.5 2.8 -8.1 0.8 1.2 -3.2 3.5 -7.2 3.7 -1.3 OAT -13.6 0.2 10.5 0.4 -1.1 2.5 -4.1 1.7 -3.1 -4.1 2.2 -9.6 -0.8 -8.8 5.7 7.6 4.5 5.4 4.2 -0.1 1.8 -5.5 -0.5 -5.2 3.7 0.2 2.1 1.7 -2.8 1.0 -2.6 13.7 11.7 7.4 1.7 -6.4 -13.4 -14.0 5.3 3.6 OATIES 8.8 20.0 12.1 0.5 -5.2 -3.2 -0.2 -4.3 2.7 -13.9 -0.9 4.4 -13.4 14.7 12.8 3.4 2.7 3.9 3.9 20.0 9.4 -3.3 -5.3 16.1 -20.0 4.8 -4.4 2.3 -1.3 -0.6 3.4 2.0 -20.0 5.2 20.0 17.5 18.5 2.1 20.0 11.8 OJ -9.1 -0.1 1.4 0.4 -4.3 -2.7 -0.2 -3.6 2.2 8.3 13.2 2.2 14.6 5.0 9.0 10.3 12.0 11.1 10.8 9.6 15.4 5.3 20.0 4.6 -20.0 4.2 4.1 7.3 2.3 11.9 1.9 15.5 16.1 -10.4 12.4 20.0 13.7 14.2 20.0 20.0 PALLAD -3.7 14.3 13.4 1.6 0.5 0.2 0.5 -0.4 1.5 -3.8 2.0 -3.4 -5.5 2.3 3.9 -2.0 -2.0 -1.9 -1.9 4.4 2.0 0.4 -3.8 3.1 15.5 2.2 -1.6 1.0 0.3 -1.2 1.6 5.9 3.7 -8.4 1.4 8.4 -13.7 -20.0 -20.0 -20.0 PLAT 3.4 5.9 -5.1 2.2 0.6 0.3 0.7 -0.6 2.1 3.6 -4.4 0.7 -3.4 5.9 0.4 -4.0 -4.4 -4.4 -4.5 1.8 0.3 2.0 -0.4 2.1 5.2 1.4 2.8 -0.1 1.2 -0.6 1.6 1.5 -0.9 -5.6 -5.6 -2.7 -0.5 -7.3 -11.8 -0.1 REDWHEAT 13.2 20.0 -4.8 0.5 -5.6 -3.5 -0.2 -4.7 2.9 -15.8 -13.0 4.6 -17.9 12.6 3.2 -11.0 -7.0 -10.6 -9.4 4.0 -7.0 -0.6 -16.5 8.7 -5.3 1.6 -8.6 -3.0 -0.2 -6.2 4.1 -17.7 5.2 -1.0 7.4 -8.9 -20.0 -20.0 -20.0 -20.0 RICE -7.5 0.9 -7.5 0.6 -5.9 -3.6 -0.3 -4.9 3.0 -8.1 11.5 -11.4 14.0 -3.2 -0.4 -11.4 20.0 -0.3 17.9 -1.4 1.7 -6.1 8.3 -3.9 -14.5 -2.0 -4.2 0.6 -4.7 3.4 -4.0 20.0 -9.0 -20.0 -10.0 4.0 -20.0 -20.0 -20.0 -20.0 ROBUSTA -19.5 -7.0 1.4 0.2 -2.6 -1.6 -0.1 -2.2 1.3 1.8 8.8 -5.5 9.4 2.2 6.4 20.0 20.0 20.0 20.0 10.0 15.5 -2.9 17.4 1.3 -20.0 2.5 0.3 4.7 -0.9 6.5 0.1 20.0 -17.9 -11.4 11.4 20.0 11.7 -1.9 20.0 4.6 RUSSELL 1.9 2.9 6.5 3.9 3.1 4.6 4.0 6.2 4.0 13.7 7.5 8.0 11.6 9.7 6.8 -5.8 -6.3 -5.7 -5.9 7.7 8.5 11.6 8.9 7.9 -0.5 5.0 7.9 6.0 5.0 6.1 4.0 -0.1 8.4 -4.3 5.1 16.4 0.5 -13.2 -12.6 -20.0 SHATZ -12.3 4.3 20.0 0.2 -0.7 1.6 -2.6 1.1 -2.0 -6.0 4.5 -7.1 -0.7 -1.9 5.1 -20.0 -20.0 -20.0 -20.0 4.2 5.6 -6.5 0.7 -2.3 6.2 1.6 -1.0 2.2 -2.1 0.8 -0.7 -20.0 -1.7 8.5 6.9 5.3 -20.0 -17.3 -8.0 -8.6 SILVER-mini 5.0 8.8 -2.9 2.3 0.7 0.4 0.7 -0.6 2.3 1.3 9.0 1.1 8.5 9.1 9.2 -5.9 -6.4 -6.1 -6.1 8.7 8.4 1.8 9.0 6.6 1.9 3.3 0.7 2.7 0.5 2.8 2.5 -1.5 -0.2 2.6 4.9 4.0 7.6 -2.1 -1.2 10.5 SMI 4.6 -10.3 -8.8 4.5 3.6 5.4 4.6 7.2 4.7 10.2 10.6 8.1 14.8 -2.9 5.0 0.7 0.2 -0.7 -0.9 1.5 6.8 9.7 13.0 3.4 11.6 3.2 8.2 7.8 5.8 11.3 2.6 9.8 1.8 -8.3 -15.4 1.1 -2.1 1.9 -18.8 -4.9 SOFR -20.0 -9.7 20.0 0.4 -1.2 2.9 -4.7 2.0 -3.6 -10.3 10.0 -13.5 8.6 -11.7 5.2 2.5 0.1 1.9 0.8 -1.6 9.7 -20.0 8.3 -17.1 -6.3 -1.5 -2.4 2.1 -6.2 2.6 -5.7 7.1 -10.4 -15.2 -9.7 -3.0 6.3 -12.4 20.0 12.6 SOYBEAN 6.1 13.1 -14.9 0.4 -4.0 -2.4 -0.2 -3.3 2.0 -13.3 -9.6 -11.3 -11.6 3.0 -5.7 -1.9 0.9 -4.3 -3.5 -6.0 -14.6 -15.3 -18.7 -5.4 -20.0 -3.0 -10.1 -5.7 -7.0 -6.5 -3.0 -6.3 -20.0 -11.8 -1.3 -18.2 2.9 -12.6 10.8 -7.7 SOYMEAL -0.9 15.0 1.1 0.3 -2.9 -1.8 -0.1 -2.4 1.5 -9.5 -5.8 -9.7 -8.4 -1.6 -1.5 -1.6 2.7 -2.0 -0.5 -1.6 -4.4 -10.7 -7.3 -4.5 -18.2 -0.8 -5.5 -1.8 -4.7 -2.4 -1.9 -2.0 -20.0 -8.6 -0.6 -5.4 -20.0 -20.0 -20.0 -20.0 SOYOIL 18.2 15.2 -1.7 0.2 -2.5 -1.6 -0.1 -2.1 1.3 -6.8 -4.4 2.0 -8.1 4.7 -2.2 -1.0 1.1 0.7 0.7 1.9 -3.0 -1.4 -6.8 3.4 -19.0 1.3 -2.8 -0.7 -0.6 -2.1 1.6 -2.6 -1.0 7.7 9.5 3.0 -0.2 -8.0 10.0 -2.7 SP400 8.6 6.9 3.9 4.4 3.5 5.2 4.5 7.1 4.6 16.0 12.3 16.4 15.3 16.4 13.8 -6.5 -6.0 -6.2 -6.1 13.1 11.4 19.0 12.7 15.7 -13.0 6.1 8.3 6.2 6.7 6.5 6.0 0.1 16.1 7.1 12.2 14.4 6.3 -5.9 -8.8 -20.0 SP500_micro 10.1 9.0 -11.9 4.4 3.5 5.2 4.5 7.1 4.6 9.9 16.6 15.1 17.5 17.4 17.2 -10.0 -11.6 -10.2 -10.9 18.6 19.3 18.5 20.0 19.2 -20.0 6.2 4.8 6.8 5.8 8.6 6.1 -9.0 14.9 9.2 16.7 9.6 8.9 3.3 -9.2 -3.7 SUGAR11 12.3 20.0 14.4 0.4 -4.1 -2.5 -0.2 -3.4 2.1 -3.3 4.1 3.9 -6.9 10.7 10.4 20.0 11.6 20.0 13.1 18.1 8.8 2.8 -0.6 14.1 -20.0 3.9 0.6 1.8 0.6 -0.3 3.0 16.2 -4.4 20.0 20.0 20.0 -15.9 8.1 -13.7 11.3 US10 -20.0 -8.4 20.0 0.3 -0.9 2.2 -3.6 1.5 -2.7 -8.1 6.8 -10.4 4.2 -8.9 3.2 -6.2 -7.3 -6.7 -6.9 -2.3 5.6 -17.0 3.4 -14.0 1.7 -1.3 -2.3 1.3 -5.1 1.5 -4.5 -5.8 -10.2 -12.0 -8.7 -3.4 1.6 -20.0 20.0 8.2 US10U -20.0 -6.8 18.4 0.5 -1.4 3.1 -5.2 2.2 -4.0 -11.2 9.3 -15.0 4.6 -13.1 4.2 -4.4 -3.4 -4.4 -4.1 -3.5 7.2 -20.0 3.8 -19.5 -1.3 -2.1 -3.2 1.7 -7.5 1.9 -6.7 -0.2 -11.2 -15.6 -12.9 -8.5 2.3 -18.1 20.0 19.6 US2 -20.0 -4.9 20.0 0.2 -0.7 1.5 -2.6 1.1 -2.0 -5.6 4.3 -7.0 1.4 -5.4 2.9 -20.0 -20.0 -20.0 -20.0 -0.5 4.5 -12.1 1.3 -9.6 11.2 -0.2 -1.5 1.4 -3.2 0.9 -2.6 -20.0 -8.9 -8.3 -2.5 4.6 -0.9 -20.0 6.0 -11.9 US20 -20.0 -7.8 15.5 0.4 -1.0 2.4 -4.0 1.7 -3.1 -8.0 6.7 -11.6 5.3 -10.6 2.2 -2.5 -1.2 -2.0 -1.5 -3.6 5.1 -18.3 3.4 -15.6 -3.4 -1.9 -2.3 1.2 -5.7 1.7 -5.3 4.3 -7.0 -12.9 -11.5 -9.3 3.1 -11.2 20.0 20.0 US30 -20.0 -7.1 12.8 0.4 -1.2 2.8 -4.6 1.9 -3.5 -8.2 6.4 -12.9 3.0 -12.2 1.1 -3.4 -5.1 -4.7 -4.9 -4.7 3.7 -19.0 1.5 -16.6 -2.4 -2.5 -2.5 0.9 -6.5 1.4 -6.1 -2.1 -3.9 -12.4 -12.5 -13.6 -0.3 -10.0 20.0 20.0 US5 -20.0 -8.5 20.0 0.3 -0.9 2.0 -3.3 1.4 -2.5 -7.8 6.2 -9.7 3.1 -8.0 3.1 -8.1 -10.6 -9.8 -10.3 -1.9 5.3 -15.7 3.0 -13.1 5.4 -0.9 -2.0 1.4 -4.5 1.4 -4.0 -11.5 -10.7 -11.9 -6.9 -0.3 3.9 -20.0 20.0 1.8 VIX 3.8 4.5 20.0 2.1 -1.9 1.3 -0.2 -2.1 1.2 -8.4 -6.1 -0.1 -9.1 2.7 -5.4 3.5 -20.0 -5.9 -17.4 3.2 0.9 -0.1 -5.4 2.7 NaN 2.4 -2.2 1.5 -0.2 -2.6 1.3 NaN NaN NaN NaN NaN -16.0 -20.0 NaN NaN WHEAT 11.2 20.0 -6.5 0.5 -5.6 -3.4 -0.2 -4.6 2.9 -16.1 -11.1 -0.2 -16.0 13.0 3.9 -11.2 -14.6 -13.5 -14.5 4.9 -6.0 -4.4 -15.3 7.7 4.1 1.7 -11.5 -2.5 -2.5 -5.2 3.1 -20.0 -6.0 -2.7 6.3 -9.1 -20.0 -18.4 -20.0 -15.9 End of report for caleb_strategy_v3