******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241018_203927 produced at 2024-10-18 21:38:06.269303 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.32 0.0 0.00 0.00 0.00 0.00 -3.80 11.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.08 -0.12 0.0 0.74 -0.74 -0.08 -0.08 -4.61 29.0 -3 -3 caleb_strategy_v3 US2 False True 0.07 0.00 -0.10 0.0 0.00 0.00 0.00 0.00 -1.35 13.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.07 -0.09 0.0 0.54 -0.54 0.07 -0.03 -2.76 16.0 2 -1 caleb_strategy_v3 CHF False False 0.05 -0.05 -0.08 0.0 0.67 -0.67 -0.05 -0.10 -1.46 13.0 -1 -2 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.04 -0.08 0.0 0.00 -0.04 -0.04 -0.04 -31.30 26.0 -17 -16 caleb_strategy_v3 MXP False False 0.01 -0.04 -0.08 0.0 0.53 -0.53 -0.04 -0.04 -9.35 60.0 -5 -5 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.07 0.0 0.67 -0.67 -0.05 -0.10 -1.38 14.0 -1 -2 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.07 0.0 0.09 -0.09 -0.05 -0.05 -9.30 12.0 -6 -6 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -1.66 24.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.04 -0.07 0.0 999.00 -999.00 -0.04 -0.05 -11.34 999999999.0 -6 -7 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.04 0.0 0.14 -0.14 -0.05 -0.05 -2.89 11.0 -4 -4 caleb_strategy_v3 RICE False True 0.01 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -3.38 4.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 0.00 -0.03 0.0 0.10 -0.10 0.00 -0.03 -1.00 3.0 0 -1 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.03 0.0 0.96 -0.96 -0.04 -0.04 -0.82 25.0 -1 -1 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.03 0.0 0.51 -0.51 -0.03 0.00 -1.04 17.0 -1 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.02 0.0 0.13 -0.13 -0.05 -0.05 -1.33 7.0 -3 -3 caleb_strategy_v3 GASOIL False False 0.02 0.00 -0.02 0.0 0.09 -0.09 0.00 -0.02 -0.89 4.0 0 -1 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.02 0.0 0.10 -0.10 -0.01 -0.02 -1.36 9.0 -1 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.03 -1.55 9.0 -2 -3 caleb_strategy_v3 US10U False False 0.04 0.00 -0.02 0.0 0.53 -0.53 0.00 0.00 -0.48 13.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.02 0.0 0.08 -0.08 0.00 0.00 -1.48 8.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.16 -0.16 -0.01 -0.01 -7.44 51.0 -2 -2 caleb_strategy_v3 CAC True False 0.03 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.77 12.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.02 0.0 0.67 -0.67 0.00 0.00 -0.57 17.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.24 9.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.01 0.0 0.45 -0.45 0.00 0.00 -0.50 21.0 0 0 caleb_strategy_v3 BUND False False 0.05 -0.05 -0.01 0.0 0.51 -0.51 -0.05 0.00 -0.19 10.0 -1 0 caleb_strategy_v3 US30 False False 0.05 -0.05 -0.01 0.0 0.27 -0.27 -0.05 -0.05 -0.23 6.0 -1 -1 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -2.12 59.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.01 0.0 0.33 -0.33 -0.01 -0.01 -0.44 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 -0.41 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 -0.50 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 -0.13 20.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 0.00 0.0 0.18 -0.18 0.00 0.00 0.08 10.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.00 0.00 0.0 0.12 -0.12 0.00 0.00 0.18 5.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.01 6.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.21 -0.21 0.00 0.00 -0.09 4.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.00 0.0 0.37 -0.37 0.00 0.00 0.23 23.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.02 0.01 0.0 0.15 -0.15 0.02 0.02 0.65 18.0 3 3 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.01 0.0 0.08 -0.08 0.00 0.00 0.14 2.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 0.01 0.0 0.45 -0.45 0.00 0.00 0.38 19.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.01 0.0 0.00 0.00 0.00 0.00 1.87 2.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 0.01 0.0 0.87 -0.87 0.00 0.00 0.15 19.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.02 0.01 0.0 0.61 -0.61 0.02 0.02 0.62 26.0 1 1 caleb_strategy_v3 COPPER False False 0.04 0.08 0.01 0.0 999.00 -999.00 0.08 0.04 0.32 999999999.0 2 1 caleb_strategy_v3 GBP False False 0.03 0.00 0.01 0.0 0.63 -0.63 0.00 0.00 0.20 22.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.30 999999999.0 0 0 caleb_strategy_v3 MILK False False 0.02 0.02 0.02 0.0 0.08 -0.08 0.02 0.02 1.46 5.0 1 1 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.78 999999999.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.02 0.0 0.07 -0.07 0.02 0.02 0.65 3.0 1 1 caleb_strategy_v3 DX False False 0.04 0.00 0.03 0.0 999.00 -999.00 0.00 0.00 0.85 999999999.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.03 0.0 0.50 -0.50 0.00 0.00 2.76 48.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.09 0.03 0.0 0.35 -0.35 0.09 0.13 0.65 8.0 2 3 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.03 0.0 0.28 -0.28 0.00 0.00 6.96 68.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.23 0.05 0.0 0.23 -0.23 0.23 0.23 0.41 2.0 2 2 caleb_strategy_v3 DOW False False 0.01 0.00 0.05 0.0 0.51 -0.51 0.00 0.00 6.94 66.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.04 0.05 0.0 0.33 -0.33 0.04 0.06 5.90 36.0 4 6 caleb_strategy_v3 OAT False False 0.05 0.10 0.07 0.0 0.49 -0.49 0.10 0.15 1.34 10.0 2 3 caleb_strategy_v3 SMI False True 0.05 0.00 0.08 0.0 0.00 0.00 0.00 0.00 1.54 9.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.04 0.09 0.0 0.54 -0.54 0.04 0.06 9.65 56.0 4 6 caleb_strategy_v3 BTP False False 0.05 0.00 0.10 0.0 0.47 -0.47 0.00 0.05 2.13 10.0 0 1 caleb_strategy_v3 LIVECOW False False 0.03 0.08 0.10 0.0 0.45 -0.45 0.08 0.03 3.82 17.0 3 1 caleb_strategy_v3 DAX False False 0.01 0.05 0.11 0.0 0.44 -0.44 0.05 0.07 15.08 58.0 7 9 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.11 0.0 0.15 -0.15 0.07 0.08 9.74 13.0 6 7 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.92 0.0 0.94 -0.94 0.00 0.00 9.76 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.7 Shocked risk 23.9 Sum abs risk 34.1 Leverage 3.56 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2832436.96, 'annual_cash_vol_target': 708109.24, 'daily_cash_vol_target': 44256.8275} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0040 0.6710 0.5887 9.4197 BITCOIN 1585.9263 69700.0000 2.2754 36.4058 BOBL 0.2449 119.5700 0.2048 3.2764 BTP 0.4956 122.3800 0.4049 6.4789 BUND 0.4724 134.1700 0.3521 5.6335 BUXL 1.1925 135.0000 0.8833 14.1329 CAC 65.3480 7635.0000 0.8559 13.6944 CAD 0.0026 0.7256 0.3535 5.6556 CANOLA 8.1282 623.1000 1.3045 20.8717 CHF 0.0052 1.1631 0.4458 7.1321 COCOA 157.5536 6652.0000 2.3685 37.8962 COFFEE 4.7540 254.5500 1.8676 29.8816 COPPER 0.0586 4.3925 1.3340 21.3447 CORN 4.3307 435.0000 0.9956 15.9290 COTTON2 0.9610 71.0600 1.3524 21.6380 CRUDE_W 1.1971 66.5200 1.7996 28.7939 DAX 134.3171 19773.0000 0.6793 10.8687 DOW 251.4476 43533.0000 0.5776 9.2416 DX 0.3529 103.2950 0.3416 5.4658 EUR 0.0043 1.0892 0.3903 6.2453 EURIBOR-ICE 0.0451 98.0300 0.0460 0.7367 EUROSTX 44.8592 5003.0000 0.8966 14.3463 FEEDCOW 1.6382 244.9750 0.6687 10.6996 GASOIL 12.5180 650.2500 1.9251 30.8016 GASOLINE 0.0411 1.9498 2.1090 33.7437 GAS_US_mini 0.0840 2.7750 3.0254 48.4065 GBP 0.0062 1.3043 0.4784 7.6551 GOLD_micro 16.7299 2735.7000 0.6115 9.7846 HEATOIL 0.0436 2.1725 2.0087 32.1399 JGB-SGX-mini 0.2300 143.9300 0.1598 2.5568 JPY 0.0001 0.0067 0.7486 11.9775 LEANHOG 1.0135 81.6500 1.2412 19.8598 LIVECOW 1.0577 187.1000 0.5653 9.0446 LUMBER-new 7.5044 554.5000 1.3534 21.6538 MILK 0.2726 21.3200 1.2785 20.4556 MXP 0.0004 0.0498 0.8541 13.6652 NASDAQ_micro 166.7113 20492.5000 0.8135 13.0164 NIKKEI 552.4966 39155.0000 1.4110 22.5768 NZD 0.0040 0.6071 0.6671 10.6728 OAT 0.4681 126.9600 0.3687 5.8994 OATIES 5.5367 378.2500 1.4638 23.4205 OJ 8.5255 463.6000 1.8390 29.4236 PALLAD 25.0936 1088.0000 2.3064 36.9024 PLAT 15.1847 1025.6000 1.4806 23.6891 REDWHEAT 9.7865 595.5000 1.6434 26.2945 RICE 0.1335 15.1300 0.8822 14.1149 ROBUSTA 87.8224 4613.0000 1.9038 30.4608 RUSSELL 21.5804 2293.7000 0.9409 15.0537 SHATZ 0.0865 107.0000 0.0808 1.2935 SILVER-mini 0.5013 33.5125 1.4958 23.9323 SMI 77.9530 12371.0000 0.6301 10.0820 SOFR 0.0561 96.6200 0.0581 0.9296 SOYBEAN 10.2498 1021.0000 1.0039 16.0624 SOYMEAL 4.4352 313.9000 1.4129 22.6067 SOYOIL 0.7296 41.7700 1.7466 27.9458 SP400 22.7005 3217.5000 0.7055 11.2885 SP500_micro 35.2063 5905.2500 0.5962 9.5390 SUGAR11 0.3261 20.4200 1.5969 25.5509 US10 0.3744 112.2344 0.3336 5.3373 US10U 0.5009 115.7188 0.4329 6.9264 US2 0.1139 103.4492 0.1101 1.7615 US20 0.7446 120.2500 0.6192 9.9073 US30 1.1428 127.7812 0.8944 14.3098 US5 0.2525 108.4688 0.2328 3.7248 VIX 0.6059 18.3500 3.3019 52.8305 WHEAT 8.9462 631.2500 1.4172 22.6755 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 671.00 0.59 395.04 1.00 395.04 44256.83 112.03 1.32 14.76 BITCOIN 69.70 2.28 158.59 1.00 158.59 44256.83 279.06 -0.70 -19.57 BOBL 1195.70 0.20 244.85 1.09 265.73 44256.83 166.55 0.92 15.27 BTP 1223.80 0.40 495.56 1.09 537.80 44256.83 82.29 7.57 62.31 BUND 1341.70 0.35 472.41 1.09 512.68 44256.83 86.32 -2.16 -18.66 BUXL 1350.00 0.88 1192.46 1.09 1294.12 44256.83 34.20 -2.62 -8.96 CAC 763.50 0.86 653.48 1.09 709.19 44256.83 62.40 -3.62 -22.61 CAD 725.60 0.35 256.48 1.00 256.48 44256.83 172.55 -10.30 -177.69 CANOLA 124.62 1.30 162.56 0.73 118.11 44256.83 374.71 -8.16 -305.77 CHF 1453.88 0.45 648.07 1.00 648.07 44256.83 68.29 -8.26 -56.41 COCOA 665.20 2.37 1575.54 1.00 1575.54 44256.83 28.09 10.30 28.93 COFFEE 954.56 1.87 1782.74 1.00 1782.74 44256.83 24.83 -0.41 -1.01 COPPER 1098.12 1.33 1464.94 1.00 1464.94 44256.83 30.21 0.99 2.98 CORN 217.50 1.00 216.53 1.00 216.53 44256.83 204.39 -18.70 -382.16 COTTON2 355.30 1.35 480.50 1.00 480.50 44256.83 92.11 -14.67 -135.12 CRUDE_W 665.20 1.80 1197.11 1.00 1197.11 44256.83 36.97 0.44 1.63 DAX 197.73 0.68 134.32 1.09 145.77 44256.83 303.61 14.56 442.15 DOW 217.66 0.58 125.72 1.00 125.72 44256.83 352.02 8.48 298.68 DX 1032.95 0.34 352.87 1.00 352.87 44256.83 125.42 2.62 32.83 EUR 1361.56 0.39 531.46 1.00 531.46 44256.83 83.27 -6.37 -53.09 EURIBOR-ICE 2450.75 0.05 112.85 1.09 122.47 44256.83 361.38 7.92 286.24 EUROSTX 500.30 0.90 448.59 1.09 486.83 44256.83 90.91 -0.42 -3.79 FEEDCOW 1224.88 0.67 819.10 1.00 819.10 44256.83 54.03 3.61 19.49 GASOIL 650.25 1.93 1251.80 1.00 1251.80 44256.83 35.35 -5.84 -20.64 GASOLINE 818.92 2.11 1727.08 1.00 1727.08 44256.83 25.63 2.66 6.82 GAS_US_mini 69.38 3.03 209.89 1.00 209.89 44256.83 210.86 -13.71 -289.06 GBP 815.19 0.48 390.02 1.00 390.02 44256.83 113.47 0.68 7.72 GOLD_micro 273.57 0.61 167.30 1.00 167.30 44256.83 264.54 10.69 282.84 HEATOIL 912.45 2.01 1832.88 1.00 1832.88 44256.83 24.15 -9.60 -23.18 JGB-SGX-mini 143930.00 0.16 22999.77 0.01 153.89 44256.83 287.59 -0.89 -25.51 JPY 842.38 0.75 630.60 1.00 630.60 44256.83 70.18 -5.73 -40.23 LEANHOG 326.60 1.24 405.39 1.00 405.39 44256.83 109.17 14.69 160.32 LIVECOW 748.40 0.57 423.06 1.00 423.06 44256.83 104.61 11.01 115.20 LUMBER-new 152.49 1.35 206.37 1.00 206.37 44256.83 214.45 -0.89 -19.19 MILK 426.40 1.28 545.14 1.00 545.14 44256.83 81.18 8.40 68.23 MXP 249.00 0.85 212.66 1.00 212.66 44256.83 208.11 -3.06 -63.71 NASDAQ_micro 409.85 0.81 333.42 1.00 333.42 44256.83 132.73 -1.44 -19.11 NIKKEI 39155.00 1.41 55249.66 0.01 369.67 44256.83 119.72 4.55 54.49 NZD 607.10 0.67 404.97 1.00 404.97 44256.83 109.28 -1.78 -19.41 OAT 1269.60 0.37 468.12 1.09 508.03 44256.83 87.12 4.52 39.36 OATIES 189.12 1.46 276.84 1.00 276.84 44256.83 159.87 4.81 76.94 OJ 695.40 1.84 1278.82 1.00 1278.82 44256.83 34.61 8.79 30.42 PALLAD 1088.00 2.31 2509.36 1.00 2509.36 44256.83 17.64 2.35 4.14 PLAT 512.80 1.48 759.24 1.00 759.24 44256.83 58.29 0.41 2.40 REDWHEAT 297.75 1.64 489.32 1.00 489.32 44256.83 90.44 -12.37 -111.88 RICE 302.60 0.88 266.95 1.00 266.95 44256.83 165.79 -8.38 -138.88 ROBUSTA 461.30 1.90 878.22 1.00 878.22 44256.83 50.39 3.83 19.30 RUSSELL 114.68 0.94 107.90 1.00 107.90 44256.83 410.16 5.12 209.89 SHATZ 1070.00 0.08 86.51 1.09 93.88 44256.83 471.42 -3.47 -163.69 SILVER-mini 837.81 1.50 1253.17 1.00 1253.17 44256.83 35.32 6.44 22.75 SMI 1237.10 0.63 779.53 1.15 899.50 44256.83 49.20 9.17 45.12 SOFR 2415.50 0.06 140.34 1.00 140.34 44256.83 315.36 -1.98 -62.60 SOYBEAN 510.50 1.00 512.49 1.00 512.49 44256.83 86.36 -16.60 -143.38 SOYMEAL 313.90 1.41 443.52 1.00 443.52 44256.83 99.79 -14.63 -145.96 SOYOIL 250.62 1.75 437.74 1.00 437.74 44256.83 101.10 -5.34 -53.94 SP400 3217.50 0.71 2270.05 1.00 2270.05 44256.83 19.50 6.32 12.33 SP500_micro 295.26 0.60 176.03 1.00 176.03 44256.83 251.41 4.72 118.73 SUGAR11 228.70 1.60 365.22 1.00 365.22 44256.83 121.18 2.51 30.37 US10 1122.34 0.33 374.40 1.00 374.40 44256.83 118.21 -3.81 -45.04 US10U 1157.19 0.43 500.95 1.00 500.95 44256.83 88.35 -4.27 -37.73 US2 2068.98 0.11 227.79 1.00 227.79 44256.83 194.29 -5.49 -106.59 US20 1202.50 0.62 744.60 1.00 744.60 44256.83 59.44 -3.20 -19.04 US30 1277.81 0.89 1142.82 1.00 1142.82 44256.83 38.73 -4.65 -18.00 US5 1084.69 0.23 252.52 1.00 252.52 44256.83 175.26 -3.69 -64.64 VIX 183.50 3.30 605.90 1.00 605.90 44256.83 73.04 -6.29 -45.93 WHEAT 315.62 1.42 447.31 1.00 447.31 44256.83 98.94 -11.78 -116.55 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 14.762 0.010 2.5 0.383 BITCOIN -19.565 0.043 2.5 -2.119 BOBL 15.268 0.004 2.5 0.155 BTP 62.311 0.014 2.5 2.125 BUND -18.662 0.004 2.5 -0.189 BUXL -8.955 0.004 2.5 -0.091 CAC -22.613 0.014 2.5 -0.771 CAD -177.695 0.010 2.5 -4.610 CANOLA -305.767 0.010 2.5 -7.439 CHF -56.413 0.010 2.5 -1.464 COCOA 28.934 0.009 2.5 0.620 COFFEE -1.007 0.005 2.5 -0.012 COPPER 2.976 0.043 2.5 0.322 CORN -382.158 0.010 2.5 -9.297 COTTON2 -135.118 0.009 2.5 -2.894 CRUDE_W 1.626 0.043 2.5 0.176 DAX 442.155 0.014 2.5 15.081 DOW 298.681 0.009 2.5 6.941 DX 32.832 0.010 2.5 0.852 EUR -53.086 0.010 2.5 -1.377 EURIBOR-ICE 286.237 0.014 2.5 9.763 EUROSTX -3.794 0.014 2.5 -0.129 FEEDCOW 19.485 0.013 2.5 0.646 GASOIL -20.642 0.017 2.5 -0.895 GASOLINE 6.821 0.017 2.5 0.296 GAS_US_mini -289.064 0.043 2.5 -31.302 GBP 7.720 0.010 2.5 0.200 GOLD_micro 282.835 0.014 2.5 9.647 HEATOIL -23.179 0.017 2.5 -1.005 JGB-SGX-mini -25.510 0.043 2.5 -2.762 JPY -40.226 0.010 2.5 -1.044 LEANHOG 160.319 0.024 2.5 9.743 LIVECOW 115.196 0.013 2.5 3.817 LUMBER-new -19.193 0.009 2.5 -0.411 MILK 68.230 0.009 2.5 1.461 MXP -63.709 0.059 2.5 -9.351 NASDAQ_micro -19.106 0.009 2.5 -0.444 NIKKEI 54.487 0.043 2.5 5.900 NZD -19.412 0.010 2.5 -0.504 OAT 39.365 0.014 2.5 1.343 OATIES 76.944 0.010 2.5 1.872 OJ 30.420 0.009 2.5 0.652 PALLAD 4.136 0.014 2.5 0.141 PLAT 2.398 0.014 2.5 0.082 REDWHEAT -111.879 0.005 2.5 -1.484 RICE -138.881 0.010 2.5 -3.379 ROBUSTA 19.300 0.005 2.5 0.225 RUSSELL 209.893 0.013 2.5 6.955 SHATZ -163.690 0.004 2.5 -1.660 SILVER-mini 22.746 0.014 2.5 0.776 SMI 45.124 0.014 2.5 1.539 SOFR -62.597 0.024 2.5 -3.804 SOYBEAN -143.381 0.004 2.5 -1.334 SOYMEAL -145.963 0.004 2.5 -1.358 SOYOIL -53.944 0.004 2.5 -0.502 SP400 12.330 0.013 2.5 0.409 SP500_micro 118.728 0.009 2.5 2.759 SUGAR11 30.372 0.009 2.5 0.646 US10 -45.039 0.005 2.5 -0.571 US10U -37.731 0.005 2.5 -0.478 US2 -106.595 0.005 2.5 -1.351 US20 -19.037 0.005 2.5 -0.241 US30 -18.002 0.005 2.5 -0.228 US5 -64.642 0.005 2.5 -0.819 VIX -45.928 0.099 2.5 -11.337 WHEAT -116.552 0.005 2.5 -1.546 ===================== Position diags ===================== AUD 2.91 BITCOIN 30.22 BOBL 1.69 BTP 2.81 BUND 0.88 BUXL 0.35 CAC 2.13 CAD 4.48 CANOLA 9.12 CHF 1.77 COCOA 0.60 COFFEE 0.29 COPPER 3.27 CORN 4.97 COTTON2 1.97 CRUDE_W 4.00 DAX 10.36 DOW 8.18 DX 3.25 EUR 2.16 EURIBOR-ICE 12.33 EUROSTX 3.10 FEEDCOW 1.79 GASOIL 1.53 GASOLINE 1.11 GAS_US_mini 22.83 GBP 2.94 GOLD_micro 9.02 HEATOIL 1.05 JGB-SGX-mini 31.14 JPY 1.82 LEANHOG 6.63 LIVECOW 3.47 LUMBER-new 4.59 MILK 1.74 MXP 30.54 NASDAQ_micro 3.08 NIKKEI 12.96 NZD 2.84 OAT 2.97 OATIES 3.89 OJ 0.74 PALLAD 0.60 PLAT 1.99 REDWHEAT 1.20 RICE 4.03 ROBUSTA 0.59 RUSSELL 13.59 SHATZ 4.78 SILVER-mini 1.20 SMI 1.68 SOFR 19.17 SOYBEAN 0.80 SOYMEAL 0.93 SOYOIL 0.94 SP400 0.65 SP500_micro 5.84 SUGAR11 2.58 US10 1.50 US10U 1.12 US2 2.46 US20 0.75 US30 0.49 US5 2.22 VIX 18.03 WHEAT 1.31 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.4 0.1 0.7 0.0 0 BITCOIN -2.1 -5.1 0.9 0.0 0 BOBL 0.2 -0.0 0.3 0.0 0 BTP 2.1 1.8 2.4 0.0 0 BUND -0.2 -0.3 -0.1 -1.0 -1 BUXL -0.1 -0.1 -0.1 0.0 0 CAC -0.8 -1.0 -0.6 0.0 0 CAD -4.6 -5.1 -4.2 -3.0 -3 CANOLA -7.4 -8.4 -6.5 -2.0 -2 CHF -1.5 -1.6 -1.3 -1.0 -1 COCOA 0.6 0.6 0.7 1.0 1 COFFEE -0.0 -0.0 0.0 0.0 0 COPPER 0.3 -0.0 0.6 2.0 2 CORN -9.3 -9.8 -8.8 -6.0 -6 COTTON2 -2.9 -3.1 -2.7 -4.0 -4 CRUDE_W 0.2 -0.2 0.6 0.0 0 DAX 15.1 14.0 16.1 7.0 7 DOW 6.9 6.1 7.8 0.0 0 DX 0.9 0.5 1.2 0.0 0 EUR -1.4 -1.6 -1.2 -1.0 -1 EURIBOR-ICE 9.8 8.5 11.0 0.0 0 EUROSTX -0.1 -0.4 0.2 0.0 0 FEEDCOW 0.6 0.5 0.8 2.0 2 GASOIL -0.9 -1.0 -0.7 0.0 0 GASOLINE 0.3 0.2 0.4 0.0 0 GAS_US_mini -31.3 -33.6 -29.0 -17.0 -17 GBP 0.2 -0.1 0.5 0.0 0 GOLD_micro 9.6 8.7 10.5 4.0 4 HEATOIL -1.0 -1.1 -0.9 0.0 0 JGB-SGX-mini -2.8 -5.9 0.4 2.0 2 JPY -1.0 -1.2 -0.9 -1.0 -1 LEANHOG 9.7 9.1 10.4 6.0 6 LIVECOW 3.8 3.5 4.2 3.0 3 LUMBER-new -0.4 -0.9 0.0 -2.0 -2 MILK 1.5 1.3 1.6 1.0 1 MXP -9.4 -12.4 -6.3 -5.0 -5 NASDAQ_micro -0.4 -0.8 -0.1 -1.0 -1 NIKKEI 5.9 4.6 7.2 4.0 4 NZD -0.5 -0.8 -0.2 0.0 0 OAT 1.3 1.0 1.6 2.0 2 OATIES 1.9 1.5 2.3 NaN 0 OJ 0.7 0.6 0.7 1.0 1 PALLAD 0.1 0.1 0.2 0.0 0 PLAT 0.1 -0.1 0.3 0.0 0 REDWHEAT -1.5 -1.6 -1.4 0.0 0 RICE -3.4 -3.8 -3.0 NaN 0 ROBUSTA 0.2 0.2 0.3 0.0 0 RUSSELL 7.0 5.6 8.3 0.0 0 SHATZ -1.7 -2.1 -1.2 NaN 0 SILVER-mini 0.8 0.7 0.9 0.0 0 SMI 1.5 1.4 1.7 0.0 0 SOFR -3.8 -5.7 -1.9 NaN 0 SOYBEAN -1.3 -1.4 -1.3 -3.0 -3 SOYMEAL -1.4 -1.5 -1.3 -1.0 -1 SOYOIL -0.5 -0.6 -0.4 0.0 0 SP400 0.4 0.3 0.5 2.0 2 SP500_micro 2.8 2.2 3.3 0.0 0 SUGAR11 0.6 0.4 0.9 3.0 3 US10 -0.6 -0.7 -0.4 0.0 0 US10U -0.5 -0.6 -0.4 0.0 0 US2 -1.4 -1.6 -1.1 NaN 0 US20 -0.2 -0.3 -0.2 0.0 0 US30 -0.2 -0.3 -0.2 -1.0 -1 US5 -0.8 -1.0 -0.6 -1.0 -1 VIX -11.3 -13.1 -9.5 -6.0 -6 WHEAT -1.5 -1.7 -1.4 -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 -0.4 0.1 0.1 0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.1 0.2 -0.2 0.1 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.1 0.1 -0.1 0.3 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.0 -0.1 0.2 0.1 -0.0 0.3 -0.2 0.4 -0.0 BITCOIN 0.3 0.2 -0.3 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 -0.1 0.2 0.3 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 0.2 0.2 -2.7 0.0 0.1 0.0 0.1 0.3 0.1 -0.1 0.5 0.4 -0.5 -0.2 0.1 -0.1 -0.0 0.1 BOBL -0.4 0.1 0.6 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 -0.0 -0.0 -0.0 0.1 0.3 -0.2 0.1 -0.1 0.0 0.1 0.0 0.0 -0.0 0.5 0.0 0.0 0.1 0.0 0.1 -0.0 -0.3 0.1 0.3 0.2 0.0 -0.7 -0.6 -0.0 -0.1 BTP -0.1 0.2 0.4 0.0 0.0 0.1 -0.0 0.1 -0.0 0.2 0.5 0.1 0.6 0.1 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.4 0.1 -2.7 0.1 0.1 0.2 0.1 0.2 0.1 0.8 0.5 0.6 0.6 0.2 -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 -0.0 0.1 -0.4 -0.1 -0.3 -0.2 0.0 0.1 -0.0 0.1 -0.0 0.2 0.0 0.0 0.1 0.0 0.1 -0.0 -0.3 0.1 0.4 0.1 -0.1 -0.7 -0.6 -0.1 -0.1 BUXL -0.2 -0.1 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 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.3 0.0 0.0 0.1 -0.0 0.1 -0.0 0.2 0.0 0.5 0.0 -0.3 -0.7 -0.7 -0.2 -0.2 CAC 0.1 0.2 -0.4 0.1 0.0 0.1 0.1 0.2 0.1 0.1 -0.2 -0.1 0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.0 0.0 -0.9 -0.0 0.0 -0.1 0.0 0.0 0.0 0.2 -0.2 -0.2 -0.3 -0.6 0.2 0.2 -0.2 -0.0 CAD -0.6 -0.2 0.2 0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.2 -0.1 -0.2 -0.5 -0.2 -0.1 -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 -0.1 -0.0 -0.1 -0.2 -0.5 -0.2 -0.4 -0.3 0.1 -0.3 0.0 -0.1 CANOLA 0.4 0.3 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -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 -2.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 0.1 0.2 0.3 0.1 -0.2 -0.4 0.1 -0.3 CHF -0.6 -0.2 0.6 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 0.2 -0.2 -0.0 -0.1 0.1 -0.3 -0.3 -0.3 -0.3 -0.0 0.1 -0.2 0.1 -0.2 0.6 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -1.1 -0.1 -0.3 -0.3 0.4 -0.3 -0.4 -0.6 -0.4 COCOA 0.2 0.1 0.3 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.4 0.4 0.4 0.4 0.1 0.1 0.1 0.3 0.1 -2.7 0.0 -0.0 0.1 0.0 0.2 0.0 1.1 0.4 0.2 0.2 0.3 0.7 0.5 0.7 0.7 COFFEE -0.4 -0.1 0.1 0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.0 0.4 -0.0 0.5 0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.2 0.0 0.4 0.0 -2.7 0.0 -0.0 0.2 -0.0 0.3 0.0 0.3 0.1 -0.2 0.2 0.6 -0.2 -0.2 0.1 -0.0 COPPER 0.0 0.5 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.1 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 0.1 0.0 -1.8 0.0 -0.0 0.0 -0.0 0.1 0.0 0.2 -0.5 0.1 0.2 -0.0 0.7 0.3 0.6 0.7 CORN -0.0 0.4 -0.4 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.2 -0.4 -0.2 -0.7 0.0 -0.1 -0.2 -0.3 -0.3 -0.3 -0.1 -0.2 -0.2 -0.5 -0.1 -1.7 -0.1 -0.1 -0.2 -0.1 -0.4 -0.1 -1.1 -0.5 -0.6 -0.3 -0.6 0.1 -0.1 0.3 0.0 COTTON2 -0.1 0.5 0.1 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.4 -0.1 -0.5 0.0 0.0 -0.3 -0.1 -0.2 -0.2 0.0 -0.1 -0.1 -0.4 -0.0 -2.7 0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.8 -0.3 -0.4 0.1 0.2 -0.5 -0.4 -0.2 -0.2 CRUDE_W 0.4 -0.1 -0.5 -0.0 -0.1 -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 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.5 -0.0 -0.3 0.2 0.1 -0.1 0.3 -0.0 0.5 DAX 0.4 0.4 -0.0 0.1 0.0 0.2 0.1 0.3 0.1 0.2 0.4 0.2 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.4 0.2 1.4 0.1 0.1 0.1 0.1 0.2 0.1 -0.3 0.4 0.5 0.5 -0.0 0.5 0.2 0.1 0.1 DOW 0.2 0.4 0.3 0.1 0.0 0.1 0.1 0.3 0.1 0.1 0.5 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 0.4 0.4 0.6 0.6 0.4 0.1 -0.2 -0.2 DX 0.6 0.2 -0.5 0.0 -0.0 0.1 -0.1 0.1 -0.1 0.1 -0.2 0.2 0.1 0.2 -0.0 0.1 0.1 0.1 0.1 0.1 -0.1 0.2 -0.1 0.2 -2.7 0.0 0.1 -0.1 0.1 -0.0 0.1 0.7 0.5 0.6 0.5 -0.6 0.0 0.3 -0.0 0.4 EUR -0.6 -0.3 0.3 0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.1 0.1 -0.2 -0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 0.1 -0.2 2.7 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.5 -0.3 -0.6 -0.6 0.2 -0.1 -0.7 -0.3 -0.7 EURIBOR-ICE -0.4 0.1 0.6 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 0.2 0.0 0.2 0.0 0.1 0.1 -0.0 0.1 0.0 0.1 0.1 0.0 0.2 0.0 1.5 0.0 0.0 0.1 0.0 0.1 0.0 0.3 0.2 0.4 0.4 0.3 -0.4 -0.6 0.2 0.1 EUROSTX 0.2 0.1 -0.3 0.0 0.0 0.1 0.1 0.2 0.1 -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 -0.1 -0.1 -0.5 0.2 0.1 -0.7 -0.3 FEEDCOW 0.6 0.6 -0.6 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.2 0.1 -0.5 0.2 -0.0 0.4 -0.2 0.4 0.1 0.1 -0.1 0.1 -0.5 0.2 -1.3 0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.3 0.3 0.6 0.6 -0.6 0.3 0.7 0.7 0.7 GASOIL 0.5 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.3 -0.1 -0.1 -0.0 -0.1 0.0 0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.5 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.0 -0.3 -0.2 -0.3 -0.2 -0.1 -0.3 -0.0 -0.5 GASOLINE 0.5 0.0 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.0 0.0 0.0 -0.0 0.2 0.4 0.4 0.4 -0.0 -0.0 -0.0 -0.0 0.0 -2.6 0.0 -0.1 -0.0 -0.0 -0.0 0.0 1.1 0.0 -0.0 0.3 0.3 0.1 0.4 0.3 0.7 GAS_US_mini -0.2 0.3 -0.0 -0.0 -0.1 -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 -0.2 2.7 -0.0 -0.1 -0.1 -0.2 -0.2 -0.1 -1.1 -0.5 -0.6 -0.2 -0.1 -0.3 -0.7 -0.1 -0.6 GBP -0.6 -0.1 0.2 0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.1 0.4 -0.2 0.5 -0.1 0.1 0.0 -0.0 0.0 0.0 0.0 0.1 -0.1 0.3 -0.1 -0.3 0.0 -0.0 0.2 -0.1 0.2 -0.0 0.1 0.1 -0.0 0.2 0.5 0.2 -0.7 0.3 -0.7 GOLD_micro 0.0 0.6 0.6 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.2 0.5 0.2 -1.9 0.1 0.1 0.2 0.1 0.3 0.1 -0.7 0.4 0.6 0.6 0.6 0.7 -0.0 0.5 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 -0.1 -0.2 -0.0 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -2.4 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.5 -0.2 -0.0 0.1 -0.0 -0.2 0.1 -0.2 0.2 JGB-SGX-mini -0.6 0.1 0.6 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.1 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 0.0 0.0 -0.1 -0.5 -0.2 -0.5 -0.0 JPY -0.6 -0.2 0.6 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.3 -0.2 -0.2 -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 0.0 -0.3 -0.2 0.3 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.2 0.6 0.4 0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.2 -0.0 0.2 -0.2 0.2 0.2 0.2 0.4 0.4 0.4 0.2 0.1 0.2 -0.2 0.2 0.5 0.1 0.1 0.1 0.1 -0.1 0.1 1.1 0.5 0.6 0.6 0.6 -0.0 -0.2 0.2 0.0 LIVECOW 0.6 0.6 0.1 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 0.5 0.1 0.5 0.2 0.2 0.0 0.2 0.1 0.2 0.2 0.2 0.1 0.4 0.2 -2.7 0.1 -0.0 0.1 0.0 0.2 0.1 0.6 0.1 0.6 0.6 0.6 -0.1 0.7 0.2 0.7 LUMBER-new 0.4 0.4 0.2 0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.0 -0.3 0.2 -0.5 0.2 0.2 -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 0.0 -0.2 0.1 -1.2 0.3 0.4 0.1 0.7 0.1 0.0 0.3 0.2 MILK -0.6 0.0 0.6 0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.1 0.3 0.0 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 0.3 -0.4 0.2 0.6 -0.0 -0.7 0.2 -0.7 MXP 0.1 0.1 -0.6 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 -0.3 -0.1 -0.3 -0.0 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.1 -0.1 -0.2 -0.1 -2.7 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 1.1 -0.1 0.1 -0.2 -0.6 0.4 0.5 0.6 0.7 NASDAQ_micro 0.3 0.3 -0.3 0.0 0.0 0.1 0.0 0.2 0.0 0.0 0.2 0.1 0.4 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 -0.0 0.1 0.2 -0.1 0.2 0.1 -0.3 -0.1 NIKKEI 0.5 0.2 -0.6 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 0.1 0.0 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 -0.1 0.1 -0.0 -0.4 0.5 0.1 0.5 0.1 NZD -0.6 -0.0 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 -0.1 -0.0 -0.0 -0.1 0.1 -0.3 0.1 -0.1 OAT -0.3 0.0 0.4 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 -0.0 -0.0 -0.1 0.1 0.2 0.1 0.1 0.1 0.0 0.0 0.0 -0.0 -0.0 0.5 0.0 0.1 0.1 0.0 0.0 0.0 0.7 0.3 0.4 0.1 -0.2 -0.4 -0.5 0.2 0.1 OATIES 0.1 0.6 0.4 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.0 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 -0.1 0.5 0.6 0.6 0.6 0.1 0.7 0.4 OJ -0.2 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.0 0.4 0.1 0.5 0.1 0.1 0.2 0.2 0.2 0.2 0.1 0.2 0.0 0.5 0.1 -2.7 0.0 -0.0 0.2 0.0 0.4 0.0 0.8 0.3 -0.2 0.2 0.6 0.5 0.5 0.7 0.7 PALLAD -0.1 0.5 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.0 -0.2 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.0 -0.1 0.0 2.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.3 0.1 -0.2 0.0 0.2 -0.4 -0.7 -0.7 -0.7 PLAT 0.1 0.3 -0.1 0.0 0.1 0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.1 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 -0.0 0.1 0.7 0.0 0.1 0.0 0.0 -0.0 0.0 0.1 -0.0 -0.1 -0.2 -0.1 0.0 -0.2 -0.4 -0.0 REDWHEAT 0.3 0.6 -0.1 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.3 -0.0 -0.6 0.1 0.0 -0.2 -0.1 -0.2 -0.2 0.0 -0.1 -0.1 -0.4 0.0 -0.7 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -1.0 -0.3 0.2 0.3 -0.2 -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 -0.1 0.3 -0.2 0.5 -0.1 -0.0 -0.2 0.4 -0.0 0.3 -0.0 0.0 -0.1 0.2 -0.1 -2.0 -0.0 -0.1 0.0 -0.1 0.1 -0.1 1.1 -0.1 -0.6 -0.3 0.1 -0.7 -0.7 -0.7 -0.7 ROBUSTA -0.6 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.2 -0.1 0.3 -0.0 0.1 0.4 0.4 0.4 0.4 0.1 0.2 -0.1 0.5 -0.0 -2.7 0.0 -0.0 0.1 -0.0 0.2 -0.0 1.1 -0.2 -0.4 0.2 0.6 0.4 -0.1 0.7 0.2 RUSSELL 0.2 0.2 0.2 0.0 0.0 0.1 0.0 0.2 0.1 0.1 0.2 0.1 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.2 0.3 0.1 -0.1 0.1 0.1 0.2 0.1 0.2 0.1 -0.0 0.3 -0.1 0.3 0.6 0.0 -0.4 -0.5 -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 -0.0 -0.0 -0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.0 0.1 0.0 0.0 0.0 0.8 0.0 0.0 0.1 0.0 0.0 0.0 -1.1 0.1 0.3 0.3 0.2 -0.7 -0.6 -0.2 -0.3 SILVER-mini 0.1 0.4 -0.1 0.0 0.1 0.0 0.0 -0.0 0.0 0.1 0.3 0.1 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.3 0.1 0.3 0.0 0.1 0.1 0.1 0.1 0.0 -0.1 -0.0 0.2 0.2 0.2 0.3 -0.1 -0.1 0.4 SMI 0.2 -0.2 -0.2 0.1 0.0 0.2 0.1 0.3 0.1 0.2 0.3 0.2 0.6 0.0 0.1 0.0 0.0 -0.0 -0.0 0.0 0.1 0.2 0.4 0.1 1.6 0.0 0.1 0.2 0.1 0.4 0.1 0.5 0.4 0.1 -0.5 0.1 -0.1 0.1 -0.7 -0.2 SOFR -0.6 -0.4 0.6 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.0 0.3 -0.1 0.3 -0.1 0.0 0.0 0.0 0.0 0.0 -0.0 0.1 -0.1 0.2 -0.2 -0.9 -0.0 -0.0 0.0 -0.0 0.1 -0.1 0.4 -0.3 -0.6 -0.4 -0.2 0.2 -0.4 0.7 0.4 SOYBEAN -0.2 0.3 -0.6 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 -0.2 -0.5 -0.1 -2.7 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.3 -0.5 -0.6 -0.2 -0.6 0.1 -0.4 0.3 -0.2 SOYMEAL -0.2 0.3 -0.0 0.0 -0.0 -0.1 -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 -0.1 -0.1 -0.2 -0.1 -2.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.2 -0.0 -0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.2 0.5 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.3 0.0 -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 -0.3 0.1 0.3 0.1 0.0 -0.3 0.3 -0.1 SP400 0.3 0.3 0.2 0.1 0.0 0.2 0.1 0.3 0.1 0.2 0.4 0.2 0.6 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.4 0.2 -1.8 0.1 0.1 0.2 0.1 0.2 0.1 0.0 0.4 0.2 0.5 0.6 0.2 -0.2 -0.3 -0.7 SP500_micro 0.3 0.4 -0.2 0.1 0.0 0.1 0.1 0.3 0.1 0.1 0.5 0.2 0.7 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 0.3 0.3 0.6 0.3 0.3 0.1 -0.3 -0.1 SUGAR11 -0.1 0.6 0.5 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 0.1 0.1 0.4 0.3 0.4 0.3 0.2 0.1 -0.0 -0.0 0.1 -2.7 0.0 -0.0 0.1 -0.0 -0.0 0.0 1.0 -0.3 0.0 0.6 0.6 -0.6 0.2 -0.5 0.4 US10 -0.6 -0.4 0.6 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.0 0.2 -0.1 0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.3 -0.3 -0.5 -0.3 -0.2 0.0 -0.7 0.7 0.3 US10U -0.6 -0.3 0.6 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.2 0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.2 0.1 -0.2 -0.2 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.0 -0.4 -0.6 -0.5 -0.3 0.1 -0.6 0.7 0.6 US2 -0.6 -0.3 0.6 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 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 -0.1 -0.4 -0.1 0.1 -0.0 -0.7 0.2 -0.4 US20 -0.6 -0.4 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 -0.1 0.0 -0.1 0.1 -0.2 -0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.1 0.2 -0.4 -0.5 -0.4 -0.3 0.1 -0.4 0.7 0.7 US30 -0.6 -0.3 0.4 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.0 -0.2 -0.3 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 -0.3 -0.5 -0.4 -0.5 -0.0 -0.3 0.7 0.7 US5 -0.6 -0.4 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 -0.2 -0.2 -0.2 -0.2 -0.0 0.0 -0.1 0.1 -0.1 0.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.6 -0.2 -0.5 -0.3 -0.1 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 -0.2 -0.3 -0.1 -0.6 0.0 -0.1 0.0 -0.6 -0.2 -0.5 0.0 0.0 -0.1 -0.3 0.0 NaN 0.0 -0.1 0.1 -0.0 -0.2 0.0 NaN NaN NaN NaN NaN -0.9 -1.1 NaN NaN WHEAT 0.2 0.6 -0.1 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.3 -0.1 -0.6 0.1 0.0 -0.2 -0.3 -0.3 -0.3 0.0 -0.1 -0.1 -0.4 0.0 0.5 0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -1.1 -0.5 -0.0 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 -11.4 1.6 3.3 0.0 -4.5 1.8 -6.9 1.6 -4.5 -5.6 9.1 -14.9 4.0 -8.0 5.6 -0.1 -1.9 -0.6 -1.2 1.6 5.4 -14.1 3.3 -7.9 2.4 1.0 -3.9 2.6 -6.5 1.9 -3.5 -0.0 -5.5 7.5 1.8 -1.0 8.5 -6.6 13.1 -1.1 BITCOIN 9.4 5.1 -9.8 4.3 9.2 1.1 5.6 -0.8 5.2 20.0 -3.3 19.2 9.3 18.1 5.7 -6.2 -6.8 -6.1 -6.4 6.9 1.9 20.0 9.0 18.0 -20.0 2.6 15.3 1.2 13.1 7.3 8.1 -2.1 20.0 12.9 -15.9 -7.0 2.1 -2.2 -0.2 2.4 BOBL -13.2 1.6 19.2 0.2 0.7 2.0 -1.3 1.5 -1.9 8.0 5.2 -4.6 -0.9 -2.5 5.4 16.6 -8.1 3.9 -4.1 2.9 4.9 0.4 1.5 -1.3 4.1 1.6 3.2 2.7 0.3 1.6 -0.4 -5.2 3.6 10.7 5.8 0.5 -20.0 -17.1 -1.2 -2.9 BTP -2.5 7.3 11.7 0.4 1.2 3.6 -2.4 2.7 -3.5 17.5 16.7 8.8 17.8 12.0 16.8 7.4 4.7 5.8 4.6 15.2 16.0 17.3 14.5 12.9 -20.0 6.6 11.2 6.7 7.6 6.1 5.7 14.3 20.0 20.0 20.0 7.3 -20.0 -12.5 3.0 9.5 BUND -11.6 -0.3 14.5 0.2 0.8 2.4 -1.6 1.8 -2.3 8.3 6.4 -6.2 1.8 -3.8 6.2 -20.0 -4.9 -14.7 -9.3 2.2 5.0 -0.3 2.3 -2.0 1.3 1.6 3.5 3.3 0.2 2.5 -0.7 -5.1 3.1 12.6 4.2 -3.0 -20.0 -17.4 -1.8 -1.7 BUXL -7.7 -2.3 10.1 0.3 0.9 2.7 -1.8 2.0 -2.6 3.2 4.9 -7.9 1.1 -7.3 5.2 0.2 -1.7 -0.4 -1.2 -0.4 2.0 -1.3 -0.4 -3.4 -2.3 0.3 2.4 2.4 -0.2 2.1 -1.6 3.8 1.3 14.3 0.3 -9.6 -20.0 -20.0 -5.4 -6.0 CAC 1.9 6.3 -11.5 4.7 4.5 5.3 4.9 6.9 5.0 12.2 -6.7 -7.4 0.4 -1.4 2.2 -5.1 -3.1 -5.5 -4.4 -1.4 -4.9 1.7 -1.7 0.9 -6.8 -0.3 4.3 -2.3 1.5 0.4 1.3 4.4 -8.8 -7.3 -8.8 -20.0 7.5 5.3 -4.5 -1.2 CAD -20.0 -5.1 5.0 0.0 -5.9 2.3 -8.9 2.1 -5.8 -20.0 -3.2 -20.0 -13.7 -19.5 -5.1 -5.0 -3.8 -4.7 -4.4 -10.9 -3.6 -20.0 -5.2 -20.0 -0.9 -3.5 -8.7 -0.7 -11.9 -1.3 -9.4 -4.2 -20.0 -6.7 -11.8 -8.6 4.4 -8.2 0.1 -4.4 CANOLA 12.4 8.1 -4.3 0.1 -1.5 -1.5 -0.7 -2.1 0.6 -1.6 -2.8 0.9 -6.9 5.2 -0.4 -13.5 -11.3 -13.2 -13.1 0.9 -3.4 0.3 -7.0 2.7 -14.9 1.7 2.3 -0.7 2.4 -3.1 2.7 -20.0 3.7 7.1 8.3 2.8 -5.4 -12.0 1.8 -7.8 CHF -20.0 -6.9 20.0 0.0 -3.8 1.5 -5.8 1.4 -3.8 -13.4 6.8 -15.3 -0.7 -12.1 5.0 -14.1 -16.0 -14.7 -15.3 -1.7 6.1 -18.7 3.7 -14.4 4.3 -0.4 -5.1 2.7 -6.7 2.0 -5.1 -20.0 -3.9 -8.1 -9.9 12.1 -8.2 -11.8 -17.8 -12.1 COCOA 7.0 3.7 9.1 0.1 -1.3 -1.3 -0.6 -1.8 0.5 2.3 1.9 4.0 3.6 4.5 3.2 20.0 20.0 20.0 20.0 4.9 5.9 6.5 10.7 6.6 -20.0 2.3 -0.0 3.4 2.4 6.9 2.6 20.0 15.7 7.3 5.8 8.1 20.0 15.9 20.0 20.0 COFFEE -12.0 -2.0 1.7 0.1 -2.9 -2.9 -1.4 -4.0 1.2 4.6 13.5 -3.3 14.6 2.1 7.7 2.4 5.4 3.3 4.3 8.4 14.3 0.0 16.4 2.2 -20.0 3.6 -0.0 6.6 -0.2 8.7 0.8 4.9 3.4 -7.0 5.4 20.0 -6.7 -7.4 3.1 -1.0 COPPER 1.4 14.1 -10.5 2.2 4.6 0.5 2.8 -0.4 2.6 -6.6 -2.0 -7.2 0.0 2.4 2.5 -3.7 -3.1 -3.3 -2.9 3.6 2.6 -5.8 3.3 0.7 -13.9 2.2 -1.3 1.7 -1.3 1.6 1.0 4.2 -20.0 3.7 5.8 -0.3 19.9 9.6 16.8 20.0 CORN -0.4 10.9 -13.3 0.2 -3.7 -3.7 -1.8 -5.1 1.5 -18.9 -15.2 -17.3 -20.0 2.1 -9.5 -10.6 -15.0 -15.0 -16.4 -8.7 -19.8 -20.0 -20.0 -11.0 -12.6 -5.1 -13.7 -8.3 -12.5 -11.4 -6.9 -20.0 -20.0 -19.3 -8.5 -20.0 3.4 -3.8 7.7 0.2 COTTON2 -2.8 16.8 2.6 0.1 -2.9 -3.0 -1.4 -4.1 1.2 -11.5 -13.8 -12.0 -14.2 4.2 3.1 -13.4 -5.2 -11.7 -8.8 0.7 -7.2 -8.1 -14.1 -1.7 -20.0 0.6 -4.3 -1.8 -5.0 -3.0 -1.4 -15.5 -12.7 -12.5 2.0 5.2 -14.6 -12.3 -7.3 -7.2 CRUDE_W 11.0 -3.3 -16.8 -1.1 -5.8 -2.8 -2.0 -1.8 0.6 -14.8 -6.4 -2.9 0.5 0.6 -5.9 4.0 11.5 8.5 10.4 -4.7 -6.6 -7.7 -2.7 -2.2 -1.4 -1.0 -8.5 -3.2 -4.2 -1.9 -0.2 9.8 -0.2 -8.6 5.0 3.1 -2.0 9.7 -1.3 14.7 DAX 13.1 12.5 -0.2 5.3 5.1 5.9 5.5 7.7 5.6 17.9 14.7 18.3 17.0 17.9 17.6 -8.2 -10.0 -8.4 -9.0 19.7 14.8 20.0 15.5 20.0 10.2 6.1 7.2 4.8 7.6 6.0 7.5 -6.0 14.7 16.5 14.0 -1.3 16.3 7.1 3.6 1.7 DOW 6.6 12.9 10.0 4.7 4.6 5.3 4.9 6.9 5.0 16.0 16.8 16.7 17.3 17.9 18.2 -9.8 -10.6 -9.7 -10.1 20.0 20.0 20.0 19.5 20.0 -13.8 6.6 5.3 6.3 6.0 6.2 6.3 -7.4 15.3 11.1 20.0 20.0 13.0 3.9 -6.8 -6.5 DX 20.0 7.5 -16.8 0.0 -5.0 2.0 -7.6 1.8 -5.0 12.5 -7.3 19.9 3.5 17.7 -3.9 5.8 6.6 5.9 6.2 7.3 -6.0 20.0 -4.2 20.0 -20.0 2.0 5.8 -1.9 9.3 -1.4 7.8 13.9 20.0 20.0 16.6 -20.0 0.4 8.1 -0.3 11.2 EUR -20.0 -8.6 8.7 0.0 -5.4 2.2 -8.3 2.0 -5.4 -14.5 4.9 -20.0 -2.3 -20.0 -1.1 -6.6 -7.0 -6.6 -6.7 -9.0 2.4 -20.0 2.9 -20.0 20.0 -3.0 -7.6 1.6 -11.1 2.1 -9.1 -9.0 -11.9 -20.0 -20.0 6.0 -3.3 -20.0 -10.0 -20.0 EURIBOR-ICE -13.2 2.7 20.0 0.2 0.6 1.7 -1.1 1.3 -1.6 7.8 6.5 0.5 5.3 1.5 6.8 5.2 -1.4 3.2 0.9 6.6 8.5 5.4 6.2 3.0 11.4 2.4 4.0 3.0 1.8 2.3 1.1 5.8 10.4 13.3 11.1 7.7 -12.8 -18.8 6.0 4.5 EUROSTX 5.2 4.3 -10.3 4.6 4.4 5.1 4.7 6.7 4.8 -1.4 5.1 -1.8 11.6 6.6 8.1 -3.6 -3.2 -4.1 -4.0 4.4 3.0 1.0 7.2 4.7 -2.4 2.4 0.5 2.1 0.6 5.8 2.7 4.3 -12.3 -2.8 -4.6 -15.1 5.6 1.8 -20.0 -8.1 FEEDCOW 20.0 18.7 -18.2 0.2 -4.0 -4.0 -1.9 -5.6 1.6 -7.7 -8.6 11.3 -13.4 18.9 -0.3 20.0 -8.0 17.6 6.7 8.4 -12.4 10.7 -16.7 20.0 -9.9 1.9 -0.6 -3.1 2.4 -3.6 5.3 -6.0 10.6 20.0 20.0 -19.7 10.0 20.0 20.0 20.0 GASOIL 15.8 -1.7 -18.4 -1.1 -5.5 -2.7 -1.9 -1.7 0.5 -13.4 -10.8 -7.7 -1.9 -1.1 -9.2 1.3 7.8 2.0 3.3 -7.3 -9.9 -9.6 -5.4 -4.0 3.5 -3.3 -7.3 -4.6 -4.2 -2.7 -1.8 0.1 -10.9 -6.0 -9.1 -6.9 -3.0 -10.0 -0.9 -15.7 GASOLINE 15.7 1.5 -14.7 -1.0 -5.3 -2.6 -1.9 -1.6 0.5 -13.6 -6.2 -1.8 0.2 3.6 -2.8 9.0 20.0 20.0 20.0 -1.3 -4.1 -4.4 -1.1 1.3 -19.8 1.4 -6.2 -0.8 -1.4 -0.1 2.3 20.0 1.7 -1.1 10.7 8.9 3.8 12.8 9.2 20.0 GAS_US_mini -6.0 8.7 -0.2 -1.5 -7.6 -3.7 -2.7 -2.3 0.7 -19.8 -17.7 -20.0 -20.0 -13.5 -17.3 -20.0 -20.0 -20.0 -20.0 -9.9 -12.6 -20.0 -20.0 -17.5 20.0 -4.0 -15.1 -4.0 -14.1 -6.4 -8.1 -20.0 -20.0 -20.0 -6.1 -2.6 -9.9 -20.0 -4.1 -18.0 GBP -20.0 -2.3 7.4 0.0 -5.2 2.1 -7.9 1.9 -5.2 -5.6 13.9 -19.1 14.1 -13.2 6.9 0.7 -0.3 0.4 0.0 4.0 12.8 -15.6 12.9 -10.4 -2.1 2.2 -3.1 6.0 -6.2 6.2 -3.9 2.5 4.7 -0.8 4.6 16.0 5.4 -20.0 10.0 -20.0 GOLD_micro 0.1 17.8 19.9 4.0 8.5 1.0 5.1 -0.7 4.8 19.5 20.0 18.5 20.0 19.0 20.0 -13.7 -13.4 -13.1 -12.8 20.0 20.0 20.0 20.0 20.0 -14.4 7.4 9.8 7.3 7.0 7.3 6.6 -13.2 17.9 20.0 20.0 20.0 20.0 -0.5 13.5 5.2 HEATOIL 18.2 0.0 -14.4 -1.0 -5.3 -2.6 -1.8 -1.6 0.5 -13.4 -10.7 -8.6 -5.9 -2.3 -8.6 -4.9 3.3 -5.3 -3.2 -5.9 -9.0 -9.3 -6.4 -3.2 -17.8 -1.2 -7.2 -3.6 -3.4 -2.9 0.0 -9.3 -6.7 -1.4 2.9 -0.3 -6.9 3.8 -6.3 4.6 JGB-SGX-mini -19.3 3.4 17.0 0.2 0.6 1.7 -1.2 1.3 -1.7 -5.3 4.7 -8.1 2.9 -6.0 4.8 9.7 16.0 12.2 14.0 1.4 4.0 -6.5 2.7 -4.6 -9.8 0.4 -1.5 1.3 -2.8 0.3 -2.1 20.0 -7.2 0.4 1.0 -1.6 -14.6 -7.2 -16.0 -0.6 JPY -20.0 -6.3 20.0 0.0 -2.0 0.8 -3.0 0.7 -2.0 -4.4 2.4 -7.8 -3.0 -7.4 1.7 -10.1 -14.2 -11.2 -12.5 -2.6 1.1 -8.7 -2.2 -8.8 20.0 -0.5 -1.1 0.5 -2.5 -0.7 -2.4 -20.0 1.8 -9.0 -6.5 8.1 -20.0 -20.0 -20.0 -20.0 LEANHOG 6.9 20.0 10.8 0.2 -4.2 -4.2 -2.0 -5.8 1.7 20.0 -1.5 20.0 -4.9 20.0 20.0 11.3 20.0 20.0 20.0 20.0 6.6 18.2 -8.0 20.0 3.9 6.9 6.9 2.4 6.9 -1.5 8.0 20.0 20.0 20.0 20.0 20.0 -0.4 -5.2 5.2 1.4 LIVECOW 17.3 17.5 2.8 0.2 -4.4 -4.4 -2.1 -6.1 1.8 -8.0 17.4 13.2 13.2 20.0 18.7 2.1 8.7 5.2 8.6 20.0 18.9 10.2 15.0 20.0 -20.0 6.3 -0.2 4.4 2.6 4.5 6.7 12.2 5.5 20.0 20.0 19.4 -3.5 20.0 5.3 20.0 LUMBER-new 9.7 9.9 4.7 0.1 -3.0 -3.0 -1.4 -3.9 1.2 3.7 -8.9 12.0 -10.9 13.5 12.7 -18.2 -18.0 -18.2 -18.0 5.1 -3.4 5.5 -10.3 8.1 NaN 4.0 0.6 -0.9 3.2 -5.2 5.0 -20.0 11.6 11.8 1.4 17.9 3.8 0.3 8.8 4.2 MILK -18.0 1.1 19.5 0.1 -2.4 -2.5 -1.2 -3.4 1.0 8.2 12.1 1.5 9.2 0.4 7.4 20.0 -2.6 20.0 14.4 8.7 15.0 4.6 10.9 1.9 14.4 3.0 4.3 5.4 2.0 3.7 0.7 3.9 12.0 -12.5 6.0 20.0 -1.3 -20.0 6.1 -20.0 MXP 3.9 1.9 -20.0 0.0 -3.1 1.2 -4.7 1.1 -3.1 -11.1 -10.0 -9.0 -7.2 -1.7 -7.9 11.2 13.5 10.8 11.5 -7.6 -11.7 -9.4 -7.7 -5.1 -20.0 -3.3 -6.1 -5.1 -4.5 -3.2 -2.4 20.0 -6.1 4.5 -7.4 -19.3 13.2 15.1 18.3 20.0 NASDAQ_micro 8.8 9.0 -9.3 3.7 3.5 4.1 3.8 5.4 3.9 5.3 6.2 6.8 10.1 12.1 6.4 -8.3 -9.6 -8.1 -8.8 10.0 9.6 7.8 13.8 10.9 -20.0 4.2 1.8 4.6 2.7 6.8 4.0 -5.4 -0.6 1.8 6.2 -3.4 5.3 3.6 -9.6 -2.2 NIKKEI 14.8 5.8 -20.0 2.1 2.0 2.4 2.2 3.1 2.2 -3.0 2.8 4.3 3.7 6.1 3.4 1.3 7.7 3.6 5.7 3.5 1.7 2.8 3.3 5.0 -6.3 -0.0 -0.4 -0.6 0.8 1.2 1.3 20.0 -3.5 3.7 -1.0 -12.1 15.2 4.0 15.4 4.1 NZD -18.9 -0.9 4.2 0.0 -3.1 1.2 -4.7 1.1 -3.1 -9.5 4.1 -12.0 2.1 -8.8 2.5 -0.3 0.0 -0.2 -0.1 -1.4 2.3 -12.0 1.5 -9.0 0.5 -0.2 -2.9 1.1 -4.7 0.8 -3.4 2.7 -3.7 -0.2 -0.2 -3.7 3.3 -7.5 4.2 -1.5 OAT -8.3 0.5 10.8 0.2 0.8 2.4 -1.6 1.8 -2.3 10.3 2.7 -1.9 -0.7 -4.7 6.2 7.8 4.6 5.7 4.4 1.0 2.0 3.8 -0.3 -0.6 3.7 1.0 7.0 1.9 2.9 1.2 0.1 14.0 11.0 13.1 3.8 -4.7 -12.9 -14.0 6.1 4.0 OATIES 4.3 20.0 13.6 0.2 -3.4 -3.4 -1.6 -4.7 1.4 -2.6 0.0 4.3 -13.1 15.0 13.8 3.7 2.7 4.0 4.0 20.0 10.3 2.9 -4.4 15.0 -20.0 5.0 -0.0 2.6 0.6 -0.4 3.5 2.1 -4.4 14.5 20.0 20.0 18.9 2.4 20.0 12.3 OJ -6.8 -0.8 -0.2 0.1 -2.8 -2.8 -1.4 -3.9 1.1 2.8 14.0 6.2 15.2 7.1 10.3 10.3 12.0 11.1 10.8 10.7 16.3 4.1 20.0 6.4 -20.0 4.6 -2.7 7.5 1.5 12.3 2.6 15.5 12.3 -6.4 6.1 20.0 14.1 14.0 20.0 20.0 PALLAD -3.9 14.9 15.0 1.9 4.0 0.5 2.4 -0.3 2.2 5.9 2.5 2.4 -5.3 3.2 4.4 -2.1 -2.0 -1.9 -1.9 4.7 2.3 4.6 -3.5 4.2 15.9 2.4 4.0 1.2 2.1 -1.1 2.1 6.0 6.0 -6.5 1.4 7.5 -12.6 -20.0 -20.0 -20.0 PLAT 2.1 8.7 -4.0 2.7 5.7 0.6 3.4 -0.5 3.2 12.5 -4.1 7.4 -3.3 8.9 1.9 -4.0 -4.4 -4.4 -4.5 3.1 1.0 8.0 -0.1 5.2 5.4 2.1 7.4 0.2 4.5 -0.4 3.2 1.6 -1.0 -1.7 -5.3 -4.4 0.4 -7.4 -11.4 -0.6 REDWHEAT 10.1 18.4 -2.7 0.2 -3.5 -3.6 -1.7 -4.9 1.4 -15.2 -12.8 -2.4 -17.7 9.5 3.9 -10.9 -7.1 -10.6 -9.4 2.4 -6.6 -6.4 -15.9 3.3 -5.2 1.0 -8.1 -3.1 -3.4 -6.5 1.6 -17.9 -14.3 7.0 9.9 -7.6 -20.0 -20.0 -20.0 -20.0 RICE -5.2 0.3 -5.1 0.2 -3.8 -3.8 -1.8 -5.3 1.5 -16.4 11.4 -15.0 13.9 -6.4 -0.3 -11.7 20.0 -1.5 16.3 -2.5 1.2 -8.0 8.2 -5.5 -14.8 -2.8 -6.8 0.1 -6.0 3.2 -4.9 20.0 -4.8 -20.0 -10.8 2.3 -20.0 -20.0 -20.0 -20.0 ROBUSTA -20.0 -1.0 -1.0 0.1 -1.6 -1.7 -0.8 -2.3 0.7 -7.1 8.3 -8.0 9.1 -0.8 5.5 20.0 20.0 20.0 20.0 7.8 14.7 -7.3 17.4 -1.7 -20.0 2.0 -2.3 4.6 -2.1 6.8 -0.7 20.0 -7.9 -12.3 6.2 20.0 12.2 -1.6 20.0 4.8 RUSSELL 5.0 5.4 6.8 4.4 4.2 4.9 4.5 6.4 4.6 12.3 9.1 12.4 12.6 12.8 9.6 -6.0 -6.3 -5.8 -6.0 10.8 10.2 17.6 10.0 13.5 -0.4 5.6 6.3 6.0 6.6 6.0 5.6 -0.0 11.3 -2.7 8.1 18.5 0.5 -13.2 -13.6 -20.0 SHATZ -13.8 4.3 20.0 0.2 0.5 1.6 -1.0 1.2 -1.5 6.7 4.7 -3.0 -0.5 -0.7 5.2 -20.0 -20.0 -20.0 -20.0 4.5 5.8 1.3 0.9 0.3 6.2 1.8 2.7 2.4 0.5 0.9 0.2 -20.0 3.7 10.0 8.3 5.2 -20.0 -17.0 -6.5 -8.1 SILVER-mini 2.0 10.9 -3.0 2.9 6.2 0.7 3.7 -0.5 3.5 12.3 10.4 8.8 9.6 11.9 11.3 -6.7 -6.5 -6.4 -6.3 10.6 9.6 13.7 9.8 11.2 2.0 4.0 8.7 3.1 4.9 3.1 4.2 -1.6 -0.4 5.7 5.6 5.1 7.9 -1.9 -1.9 10.5 SMI 6.6 -7.4 -7.1 5.1 4.9 5.7 5.3 7.4 5.4 16.8 11.7 15.6 15.6 2.0 7.3 0.8 0.2 -0.5 -0.8 4.6 8.1 17.4 14.0 9.5 11.9 4.5 11.6 7.8 9.4 11.0 5.5 10.0 17.8 4.6 -14.5 2.7 -2.7 2.0 -20.0 -5.2 SOFR -20.0 -13.0 18.7 0.3 1.0 2.8 -1.9 2.1 -2.7 -3.5 9.3 -13.1 8.5 -12.9 3.8 2.3 0.1 1.9 0.9 -3.8 8.4 -15.0 8.1 -16.6 -6.4 -2.1 -1.8 1.6 -4.5 2.4 -5.3 7.3 -12.2 -17.6 -12.4 -4.8 5.2 -12.5 20.0 13.1 SOYBEAN -5.3 9.8 -17.1 0.1 -2.6 -2.6 -1.2 -3.6 1.0 -13.0 -10.2 -13.6 -11.9 -4.1 -7.4 -2.1 0.8 -4.2 -3.4 -9.6 -15.9 -20.0 -19.5 -12.4 -20.0 -3.9 -8.8 -5.3 -8.3 -5.8 -5.1 -6.4 -20.0 -18.1 -4.8 -19.8 2.9 -11.9 10.3 -7.2 SOYMEAL -6.8 10.7 -1.1 0.1 -1.9 -1.9 -0.9 -2.7 0.8 -7.4 -6.4 -10.1 -8.9 -4.5 -2.4 -1.5 2.6 -1.9 -0.5 -3.2 -5.2 -9.6 -8.1 -6.4 -18.9 -1.5 -2.8 -2.1 -4.2 -2.6 -2.7 -2.1 -14.4 -6.4 -1.3 -6.3 -20.0 -20.0 -20.0 -20.0 SOYOIL 6.8 14.5 -1.3 0.1 -1.6 -1.6 -0.8 -2.2 0.6 -7.5 -4.4 -4.2 -8.0 2.6 -2.5 -1.2 1.0 0.5 0.6 0.9 -3.0 -4.2 -6.7 0.6 -18.6 0.9 -2.9 -0.8 -1.8 -2.2 0.5 -2.7 -11.0 3.2 7.9 2.3 0.5 -7.8 10.1 -2.5 SP400 10.6 10.2 5.5 5.0 4.8 5.6 5.2 7.3 5.3 16.8 14.0 18.1 16.4 18.3 16.0 -6.9 -6.1 -6.4 -6.2 17.0 13.9 20.0 14.5 20.0 -13.6 6.6 6.2 6.3 7.2 6.5 6.9 0.0 15.0 6.5 14.9 17.3 7.0 -6.0 -9.1 -20.0 SP500_micro 8.8 12.3 -5.9 4.9 4.7 5.5 5.1 7.2 5.2 13.9 17.4 14.9 18.2 17.9 18.1 -10.4 -11.6 -10.3 -10.9 20.0 20.0 19.3 20.0 20.0 -20.0 6.6 4.4 7.0 5.6 8.7 6.4 -9.0 11.3 9.4 18.1 9.6 10.0 3.4 -9.1 -4.1 SUGAR11 -3.8 20.0 15.6 0.1 -2.6 -2.6 -1.3 -3.6 1.0 -11.2 4.6 -8.8 -6.5 8.7 9.7 20.0 12.7 20.0 15.2 15.3 8.6 -3.6 -0.2 8.4 -20.0 3.6 -1.8 1.9 -0.9 -0.2 1.9 18.7 -14.5 0.7 20.0 20.0 -16.6 7.5 -14.6 10.7 US10 -20.0 -11.5 18.8 0.2 0.7 2.1 -1.4 1.6 -2.0 -3.7 6.0 -9.8 4.1 -9.5 1.9 -5.9 -7.2 -6.6 -6.8 -4.0 4.3 -12.3 3.0 -13.3 1.7 -1.7 -1.5 0.9 -3.6 1.3 -4.1 -5.6 -11.3 -14.9 -10.6 -4.7 0.9 -20.0 20.0 8.3 US10U -20.0 -10.1 17.2 0.3 1.0 3.1 -2.0 2.3 -2.9 -6.8 8.1 -14.1 4.5 -13.9 2.3 -4.4 -3.4 -4.4 -4.2 -5.7 5.3 -17.3 3.2 -18.4 -1.4 -2.7 -2.5 1.1 -5.3 1.7 -6.1 -0.2 -16.5 -19.6 -15.5 -10.1 1.5 -18.4 20.0 19.3 US2 -20.0 -7.7 20.0 0.2 0.5 1.5 -1.0 1.1 -1.5 2.1 3.9 -6.9 1.3 -6.2 2.0 -20.0 -20.0 -20.0 -20.0 -1.9 3.8 -9.0 1.2 -9.5 11.4 -0.5 -0.8 1.1 -2.3 0.9 -2.5 -20.0 -6.2 -12.7 -4.0 3.8 -1.2 -20.0 5.9 -11.2 US20 -20.0 -11.2 14.1 0.2 0.8 2.3 -1.5 1.7 -2.2 -7.9 5.6 -11.0 5.0 -10.9 0.6 -2.6 -1.3 -2.1 -1.6 -5.2 3.5 -13.8 2.8 -14.4 -3.4 -2.3 -2.4 0.7 -4.3 1.5 -4.7 4.2 -14.6 -15.3 -13.3 -10.3 2.3 -11.3 20.0 20.0 US30 -20.0 -10.1 11.9 0.3 0.9 2.6 -1.7 1.9 -2.5 -6.7 5.0 -11.4 2.9 -11.9 -0.7 -2.6 -5.0 -4.3 -4.7 -6.0 2.1 -13.7 0.9 -14.6 -2.3 -2.8 -2.7 0.4 -4.7 1.2 -5.3 -1.8 -14.2 -14.0 -13.8 -14.3 -0.9 -10.0 20.0 20.0 US5 -20.0 -11.6 20.0 0.2 0.7 2.0 -1.3 1.5 -1.9 -2.3 5.5 -9.5 3.0 -8.9 2.0 -7.8 -10.5 -9.6 -10.2 -3.6 4.3 -11.5 2.7 -12.6 5.5 -1.3 -1.2 1.0 -3.2 1.2 -3.7 -11.3 -8.9 -15.4 -8.7 -1.6 3.2 -20.0 20.0 2.1 VIX 3.5 3.4 20.0 1.9 -3.4 1.4 -1.8 -2.4 0.2 -12.2 -6.6 -4.6 -9.6 1.1 -6.0 0.0 -20.0 -6.3 -17.0 2.5 0.9 -3.6 -5.9 0.5 NaN 2.1 -4.0 1.6 -2.1 -2.9 0.2 NaN NaN NaN NaN NaN -17.2 -20.0 NaN NaN WHEAT 5.3 19.6 -4.5 0.2 -3.5 -3.5 -1.7 -4.9 1.4 -15.9 -11.0 -9.9 -15.6 9.0 3.9 -10.8 -14.5 -13.2 -14.3 2.2 -6.1 -12.0 -14.8 0.5 4.0 0.4 -11.5 -2.8 -6.7 -5.4 -0.5 -20.0 -20.0 -0.9 7.6 -8.2 -20.0 -18.1 -20.0 -15.8 End of report for caleb_strategy_v3