******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20251215_204013 produced at 2025-12-15 21:36:13.897488 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 JGB-SGX-mini False True 0.04 0.00 -2.25 0.0 0.00 0.00 0.00 0.00 -52.32 16.0 0 0 caleb_strategy_v3 SOFR False True 0.12 0.00 -1.89 0.0 0.00 0.00 0.00 0.00 -15.66 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.06 0.00 -0.38 0.0 0.00 0.00 0.00 0.00 -6.05 24.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.26 -0.34 0.0 999.00 -999.00 -0.26 -0.26 -33.44 999999999.0 -25 -25 caleb_strategy_v3 EURIBOR-ICE False False 0.14 0.00 -0.32 0.0 1.43 -1.43 0.00 0.00 -2.26 10.0 0 0 caleb_strategy_v3 US2 False True 0.10 0.00 -0.15 0.0 0.00 0.00 0.00 0.00 -1.40 13.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.10 0.0 0.00 0.00 0.00 0.00 -22.23 59.0 0 0 caleb_strategy_v3 JPY False False 0.04 -0.12 -0.09 0.0 0.69 -0.69 -0.12 -0.12 -2.20 17.0 -3 -3 caleb_strategy_v3 CRUDE_W False False 0.03 0.00 -0.08 0.0 0.14 -0.14 0.00 0.00 -2.67 5.0 0 0 caleb_strategy_v3 US5 False False 0.05 0.00 -0.08 0.0 1.37 -1.37 0.00 0.00 -1.45 25.0 0 0 caleb_strategy_v3 CHF False False 0.08 -0.24 -0.08 0.0 1.03 -1.03 -0.24 -0.24 -0.98 13.0 -3 -3 caleb_strategy_v3 COTTON2 False False 0.02 -0.08 -0.08 0.0 0.18 -0.18 -0.08 -0.08 -4.96 11.0 -5 -5 caleb_strategy_v3 BOBL False False 0.07 0.00 -0.06 0.0 1.29 -1.29 0.00 0.00 -0.93 19.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -6.41 2.0 0 0 caleb_strategy_v3 RICE False True 0.01 -0.03 -0.05 0.0 0.00 -0.03 -0.03 -0.03 -4.77 4.0 -3 -3 caleb_strategy_v3 US10 False False 0.06 0.00 -0.05 0.0 0.96 -0.96 0.00 0.00 -0.87 17.0 0 0 caleb_strategy_v3 BUND False False 0.07 -0.30 -0.05 0.0 0.75 -0.75 -0.30 -0.37 -0.69 10.0 -4 -5 caleb_strategy_v3 CORN False False 0.01 0.00 -0.04 0.0 0.14 -0.14 0.00 0.00 -3.04 12.0 0 0 caleb_strategy_v3 US10U False False 0.06 0.00 -0.04 0.0 0.75 -0.75 0.00 0.00 -0.66 13.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.04 0.0 0.02 -0.02 0.00 0.00 -4.79 3.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 0.00 -0.03 0.0 0.13 -0.13 0.00 -0.03 -2.15 9.0 0 -2 caleb_strategy_v3 DX False False 0.05 0.05 -0.03 0.0 999.00 -999.00 0.05 0.00 -0.62 999999999.0 1 0 caleb_strategy_v3 CANOLA False False 0.00 -0.00 -0.03 0.0 0.23 -0.23 -0.00 -0.00 -7.27 51.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 -0.03 -0.03 0.0 0.15 -0.15 -0.03 -0.03 -3.40 18.0 -4 -4 caleb_strategy_v3 BUXL False False 0.06 -0.19 -0.03 0.0 0.26 -0.26 -0.19 -0.19 -0.49 4.0 -3 -3 caleb_strategy_v3 US20 False True 0.06 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.29 9.0 0 0 caleb_strategy_v3 US30 False False 0.06 -0.18 -0.02 0.0 0.35 -0.35 -0.18 -0.18 -0.31 6.0 -3 -3 caleb_strategy_v3 GASOLINE False False 0.04 -0.04 -0.02 0.0 999.00 -999.00 -0.04 -0.04 -0.65 999999999.0 -1 -1 caleb_strategy_v3 NASDAQ_micro False False 0.03 0.00 -0.02 0.0 0.58 -0.58 0.00 -0.03 -0.98 23.0 0 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.04 -0.02 0.0 0.10 -0.10 -0.04 -0.04 -1.74 8.0 -3 -3 caleb_strategy_v3 OJ False False 0.01 -0.02 -0.02 0.0 0.03 -0.03 -0.02 -0.02 -1.45 3.0 -2 -2 caleb_strategy_v3 SOYOIL False False 0.02 -0.09 -0.02 0.0 0.15 -0.15 -0.09 -0.11 -1.51 10.0 -6 -7 caleb_strategy_v3 SOYMEAL False False 0.02 -0.02 -0.02 0.0 0.14 -0.14 -0.02 -0.02 -1.00 9.0 -1 -1 caleb_strategy_v3 SOYBEAN False False 0.03 0.00 -0.01 0.0 0.19 -0.19 0.00 0.00 -0.48 7.0 0 0 caleb_strategy_v3 SP500_micro False False 0.02 0.00 -0.01 0.0 0.83 -0.83 0.00 -0.17 -0.78 48.0 0 -10 caleb_strategy_v3 HEATOIL False False 0.05 0.00 -0.01 0.0 0.14 -0.14 0.00 0.00 -0.24 3.0 0 0 caleb_strategy_v3 GAS_US_mini False True 0.00 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -2.32 26.0 0 0 caleb_strategy_v3 COCOA False False 0.03 -0.03 -0.01 0.0 0.76 -0.76 -0.03 -0.03 -0.33 26.0 -1 -1 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 -0.00 0.0 0.45 -0.45 0.00 0.00 -0.19 23.0 0 0 caleb_strategy_v3 BTP False False 0.07 0.00 -0.00 0.0 0.70 -0.70 0.00 0.00 -0.05 10.0 0 0 caleb_strategy_v3 LIVECOW False False 0.05 -0.05 0.00 0.0 0.78 -0.78 -0.05 0.00 0.10 17.0 -1 0 caleb_strategy_v3 DOW False False 0.01 0.10 0.01 0.0 0.81 -0.81 0.10 0.02 1.14 66.0 8 2 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.01 0.0 0.12 -0.12 0.00 0.00 0.40 4.0 0 0 caleb_strategy_v3 COFFEE False False 0.07 0.07 0.01 0.0 0.41 -0.41 0.07 0.00 0.10 6.0 1 0 caleb_strategy_v3 SP400 False False 0.17 0.00 0.01 0.0 0.34 -0.34 0.00 0.17 0.08 2.0 0 1 caleb_strategy_v3 FEEDCOW False False 0.08 0.00 0.02 0.0 0.67 -0.67 0.00 0.08 0.22 8.0 0 1 caleb_strategy_v3 PALLAD False False 0.08 0.00 0.02 0.0 0.16 -0.16 0.00 0.00 0.30 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.01 0.02 0.03 0.0 0.44 -0.44 0.02 0.01 4.68 68.0 3 1 caleb_strategy_v3 DAX False True 0.01 -0.01 0.03 0.0 0.00 -0.01 -0.01 -0.01 2.08 58.0 -1 -1 caleb_strategy_v3 GOLD_micro False False 0.02 0.00 0.04 0.0 1.22 -1.22 0.00 0.00 1.81 56.0 0 0 caleb_strategy_v3 CAD False False 0.04 -0.04 0.04 0.0 1.06 -1.06 -0.04 0.00 1.06 29.0 -1 0 caleb_strategy_v3 OAT False False 0.07 0.14 0.04 0.0 0.71 -0.71 0.14 0.14 0.50 10.0 2 2 caleb_strategy_v3 PLAT False False 0.05 0.00 0.04 0.0 0.45 -0.45 0.00 0.00 0.94 10.0 0 0 caleb_strategy_v3 NZD False False 0.03 0.00 0.04 0.0 0.61 -0.61 0.00 0.00 1.44 21.0 0 0 caleb_strategy_v3 LEANHOG False False 0.02 0.05 0.05 0.0 0.23 -0.23 0.05 0.04 2.94 13.0 3 2 caleb_strategy_v3 SILVER-mini False False 0.08 0.24 0.06 0.0 999.00 -999.00 0.24 0.24 0.71 999999999.0 3 3 caleb_strategy_v3 GBP False False 0.04 0.13 0.07 0.0 0.92 -0.92 0.13 0.13 1.76 22.0 3 3 caleb_strategy_v3 CAC False True 0.05 0.00 0.08 0.0 0.00 0.00 0.00 0.00 1.66 12.0 0 0 caleb_strategy_v3 EUR False False 0.07 0.07 0.10 0.0 1.03 -1.03 0.07 0.00 1.34 14.0 1 0 caleb_strategy_v3 EUROSTX False False 0.03 0.17 0.10 0.0 0.67 -0.67 0.17 0.13 3.01 20.0 5 4 caleb_strategy_v3 NIKKEI False False 0.02 0.23 0.14 0.0 0.58 -0.58 0.23 0.21 8.89 36.0 14 13 caleb_strategy_v3 COPPER False False 0.07 0.27 0.15 0.0 999.00 -999.00 0.27 0.34 2.24 999999999.0 4 5 caleb_strategy_v3 AUD False False 0.03 0.00 0.15 0.0 0.63 -0.63 0.00 0.00 4.55 19.0 0 0 caleb_strategy_v3 SMI False True 0.08 0.00 0.18 0.0 0.00 0.00 0.00 0.00 2.18 9.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.44 0.82 0.0 0.83 -0.83 0.44 0.50 59.60 60.0 32 36 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 26.0 Shocked risk 77.0 Sum abs risk 65.8 Leverage 8.83 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 1998581.4, 'annual_cash_vol_target': 499645.35, 'daily_cash_vol_target': 31227.834375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0033 0.6642 0.4906 7.8488 BITCOIN 2353.1150 86780.0000 2.7116 43.3854 BOBL 0.1803 116.0200 0.1554 2.4860 BTP 0.4117 119.8700 0.3435 5.4955 BUND 0.3551 127.5000 0.2785 4.4559 BUXL 0.7805 110.1400 0.7086 11.3376 CAC 53.8420 8126.0000 0.6626 10.6014 CAD 0.0026 0.7290 0.3624 5.7977 CANOLA 6.5806 615.3000 1.0695 17.1118 CHF 0.0051 1.2678 0.4051 6.4813 COCOA 148.2391 5875.0000 2.5232 40.3715 COFFEE 6.1876 360.9000 1.7145 27.4320 COPPER 0.0685 5.4160 1.2652 20.2432 CORN 3.8003 461.0000 0.8244 13.1897 COTTON2 0.6135 63.9300 0.9597 15.3551 CRUDE_W 0.7723 56.9900 1.3551 21.6816 DAX 163.1781 24184.0000 0.6747 10.7958 DOW 324.6706 48824.0000 0.6650 10.6397 DX 0.3266 97.9650 0.3334 5.3341 EUR 0.0040 1.1802 0.3424 5.4789 EURIBOR-ICE 0.0369 97.5850 0.0378 0.6047 EUROSTX 40.0819 5747.0000 0.6974 11.1591 FEEDCOW 3.8147 334.8000 1.1394 18.2304 GASOIL 11.3163 616.0000 1.8371 29.3930 GASOLINE 0.0285 1.7533 1.6261 26.0176 GAS_US_mini 0.1515 3.7550 4.0357 64.5714 GBP 0.0058 1.3368 0.4368 6.9885 GOLD_micro 34.2823 4342.8000 0.7894 12.6305 HEATOIL 0.0399 2.1491 1.8564 29.7028 JGB-SGX-mini 0.1793 133.3700 0.1344 2.1507 JPY 0.0000 0.0065 0.5511 8.8169 LEANHOG 1.1423 88.9000 1.2850 20.5593 LIVECOW 2.4840 230.5750 1.0773 17.2372 LUMBER-new 7.5274 588.0000 1.2802 20.4828 MXP 0.0003 0.0551 0.5000 8.0006 NASDAQ_micro 216.8654 25376.5000 0.8546 13.6735 NIKKEI 529.7972 50090.0000 1.0577 16.9230 NZD 0.0032 0.5807 0.5512 8.8187 OAT 0.3623 120.4500 0.3008 4.8120 OATIES 4.7465 291.7500 1.6269 26.0308 OJ 5.5154 152.6500 3.6131 57.8095 PALLAD 34.4019 1618.5000 2.1255 34.0086 PLAT 27.5651 1815.2000 1.5186 24.2971 REDWHEAT 7.4413 524.5000 1.4187 22.6998 RICE 0.1452 9.9950 1.4532 23.2512 ROBUSTA 73.3142 3924.0000 1.8684 29.8937 RUSSELL 27.9232 2560.9000 1.0904 17.4459 SHATZ 0.0537 106.7250 0.0503 0.8045 SILVER-mini 1.0214 64.1000 1.5934 25.4940 SMI 77.8754 12951.0000 0.6013 9.6209 SOFR 0.0463 96.5650 0.0479 0.7669 SOYBEAN 8.2579 1089.5000 0.7580 12.1272 SOYMEAL 3.9302 310.9000 1.2642 20.2264 SOYOIL 0.5614 50.4400 1.1130 17.8082 SP400 30.3169 3371.6000 0.8992 14.3869 SP500_micro 43.8824 6884.7500 0.6374 10.1982 SUGAR11 0.2193 14.5700 1.5051 24.0819 US10 0.3038 112.2812 0.2705 4.3287 US10U 0.4020 114.6875 0.3505 5.6084 US2 0.0748 104.3477 0.0717 1.1476 US20 0.6247 114.8438 0.5440 8.7033 US30 0.8899 117.5625 0.7570 12.1114 US5 0.2002 109.1719 0.1833 2.9335 VIX 0.4617 20.4000 2.2634 36.2137 WHEAT 6.7870 567.7500 1.1954 19.1268 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 664.25 0.49 325.85 1.00 325.85 31227.83 95.84 18.25 174.93 BITCOIN 86.78 2.71 235.31 1.00 235.31 31227.83 132.71 -15.44 -204.95 BOBL 1160.20 0.16 180.26 1.17 211.59 31227.83 147.59 -6.24 -92.07 BTP 1198.70 0.34 411.72 1.17 483.26 31227.83 64.62 -0.21 -1.33 BUND 1275.00 0.28 355.08 1.17 416.78 31227.83 74.93 -9.02 -67.60 BUXL 1101.40 0.71 780.46 1.17 916.08 31227.83 34.09 -14.06 -47.94 CAC 812.60 0.66 538.42 1.17 631.98 31227.83 49.41 9.82 48.54 CAD 729.00 0.36 264.16 1.00 264.16 31227.83 118.22 3.46 40.89 CANOLA 123.06 1.07 131.61 0.73 95.56 31227.83 326.79 -9.13 -298.38 CHF 1584.81 0.41 641.97 1.00 641.97 31227.83 48.64 -7.73 -37.62 COCOA 587.50 2.52 1482.39 1.00 1482.39 31227.83 21.07 -6.35 -13.37 COFFEE 1353.38 1.71 2320.36 1.00 2320.36 31227.83 13.46 5.71 7.68 COPPER 1354.00 1.27 1713.08 1.00 1713.08 31227.83 18.23 11.33 20.66 CORN 230.50 0.82 190.01 1.00 190.01 31227.83 164.34 -7.60 -124.91 COTTON2 319.65 0.96 306.77 1.00 306.77 31227.83 101.80 -20.00 -203.59 CRUDE_W 569.90 1.36 772.27 1.00 772.27 31227.83 40.44 -6.10 -24.65 DAX 241.84 0.67 163.18 1.17 191.53 31227.83 163.04 3.74 60.94 DOW 244.12 0.66 162.34 1.00 162.34 31227.83 192.37 2.55 48.96 DX 979.65 0.33 326.59 1.00 326.59 31227.83 95.62 -2.51 -24.01 EUR 1475.25 0.34 505.17 1.00 505.17 31227.83 61.82 8.36 51.67 EURIBOR-ICE 2439.62 0.04 92.20 1.17 108.22 31227.83 288.57 -2.29 -66.20 EUROSTX 574.70 0.70 400.82 1.17 470.47 31227.83 66.38 13.29 88.21 FEEDCOW 1674.00 1.14 1907.35 1.00 1907.35 31227.83 16.37 4.04 6.61 GASOIL 616.00 1.84 1131.63 1.00 1131.63 31227.83 27.60 3.30 9.11 GASOLINE 736.39 1.63 1197.44 1.00 1197.44 31227.83 26.08 -5.72 -14.92 GAS_US_mini 93.88 4.04 378.85 1.00 378.85 31227.83 82.43 -2.60 -21.39 GBP 835.50 0.44 364.93 1.00 364.93 31227.83 85.57 7.91 67.66 GOLD_micro 434.28 0.79 342.82 1.00 342.82 31227.83 91.09 5.80 52.87 HEATOIL 902.62 1.86 1675.65 1.00 1675.65 31227.83 18.64 -3.02 -5.63 JGB-SGX-mini 133370.00 0.13 17927.80 0.01 115.17 31227.83 271.14 -17.79 -482.46 JPY 811.88 0.55 447.39 1.00 447.39 31227.83 69.80 -12.15 -84.80 LEANHOG 355.60 1.28 456.93 1.00 456.93 31227.83 68.34 7.06 48.27 LIVECOW 922.30 1.08 993.62 1.00 993.62 31227.83 31.43 0.93 2.92 LUMBER-new 161.70 1.28 207.00 1.00 207.00 31227.83 150.86 -13.03 -196.57 MXP 275.45 0.50 137.74 1.00 137.74 31227.83 226.72 17.88 405.47 NASDAQ_micro 507.53 0.85 433.73 1.00 433.73 31227.83 72.00 -5.85 -42.14 NIKKEI 50090.00 1.06 52979.72 0.01 340.35 31227.83 91.75 8.94 82.00 NZD 580.70 0.55 320.06 1.00 320.06 31227.83 97.57 5.68 55.38 OAT 1204.50 0.30 362.25 1.17 425.20 31227.83 73.44 2.00 14.68 OATIES 145.88 1.63 237.33 1.00 237.33 31227.83 131.58 -20.00 -263.16 OJ 228.98 3.61 827.31 1.00 827.31 31227.83 37.75 -15.79 -59.61 PALLAD 1618.50 2.13 3440.19 1.00 3440.19 31227.83 9.08 9.84 8.93 PLAT 907.60 1.52 1378.25 1.00 1378.25 31227.83 22.66 12.18 27.59 REDWHEAT 262.25 1.42 372.06 1.00 372.06 31227.83 83.93 -15.56 -130.62 RICE 199.90 1.45 290.49 1.00 290.49 31227.83 107.50 -18.20 -195.63 ROBUSTA 392.40 1.87 733.14 1.00 733.14 31227.83 42.59 -3.27 -13.94 RUSSELL 128.05 1.09 139.62 1.00 139.62 31227.83 223.67 6.31 141.04 SHATZ 1067.25 0.05 53.66 1.17 62.99 31227.83 495.78 -12.02 -595.80 SILVER-mini 1602.50 1.59 2553.38 1.00 2553.38 31227.83 12.23 17.00 20.79 SMI 1295.10 0.60 778.75 1.26 979.90 31227.83 31.87 20.00 63.74 SOFR 2414.12 0.05 115.71 1.00 115.71 31227.83 269.89 -9.53 -257.25 SOYBEAN 544.75 0.76 412.89 1.00 412.89 31227.83 75.63 -6.85 -51.83 SOYMEAL 310.90 1.26 393.02 1.00 393.02 31227.83 79.46 -13.45 -106.87 SOYOIL 302.64 1.11 336.84 1.00 336.84 31227.83 92.71 -17.49 -162.18 SP400 3371.60 0.90 3031.69 1.00 3031.69 31227.83 10.30 2.26 2.33 SP500_micro 344.24 0.64 219.41 1.00 219.41 31227.83 142.33 -2.36 -33.55 SUGAR11 163.18 1.51 245.61 1.00 245.61 31227.83 127.14 -10.97 -139.52 US10 1122.81 0.27 303.77 1.00 303.77 31227.83 102.80 -6.66 -68.48 US10U 1146.88 0.35 402.01 1.00 402.01 31227.83 77.68 -6.68 -51.86 US2 2086.95 0.07 149.69 1.00 149.69 31227.83 208.62 -5.28 -110.16 US20 1148.44 0.54 624.70 1.00 624.70 31227.83 49.99 -4.62 -23.08 US30 1175.62 0.76 889.90 1.00 889.90 31227.83 35.09 -6.90 -24.23 US5 1091.72 0.18 200.16 1.00 200.16 31227.83 156.01 -7.33 -114.34 VIX 204.00 2.26 461.72 1.00 461.72 31227.83 67.63 -20.00 -135.27 WHEAT 283.88 1.20 339.35 1.00 339.35 31227.83 92.02 -17.56 -161.59 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 174.933 0.010 2.5 4.545 BITCOIN -204.954 0.043 2.5 -22.225 BOBL -92.068 0.004 2.5 -0.935 BTP -1.333 0.014 2.5 -0.046 BUND -67.598 0.004 2.5 -0.686 BUXL -47.941 0.004 2.5 -0.487 CAC 48.542 0.014 2.5 1.658 CAD 40.892 0.010 2.5 1.062 CANOLA -298.379 0.010 2.5 -7.269 CHF -37.615 0.010 2.5 -0.977 COCOA -13.370 0.010 2.5 -0.326 COFFEE 7.685 0.005 2.5 0.102 COPPER 20.656 0.043 2.5 2.240 CORN -124.906 0.010 2.5 -3.043 COTTON2 -203.594 0.010 2.5 -4.960 CRUDE_W -24.653 0.043 2.5 -2.673 DAX 60.937 0.014 2.5 2.081 DOW 48.960 0.009 2.5 1.139 DX -24.012 0.010 2.5 -0.624 EUR 51.666 0.010 2.5 1.342 EURIBOR-ICE -66.196 0.014 2.5 -2.261 EUROSTX 88.205 0.014 2.5 3.013 FEEDCOW 6.614 0.013 2.5 0.219 GASOIL 9.108 0.017 2.5 0.395 GASOLINE -14.917 0.017 2.5 -0.648 GAS_US_mini -21.392 0.043 2.5 -2.320 GBP 67.658 0.010 2.5 1.758 GOLD_micro 52.870 0.014 2.5 1.806 HEATOIL -5.630 0.017 2.5 -0.244 JGB-SGX-mini -482.455 0.043 2.5 -52.317 JPY -84.804 0.010 2.5 -2.203 LEANHOG 48.266 0.024 2.5 2.937 LIVECOW 2.916 0.013 2.5 0.097 LUMBER-new -196.569 0.010 2.5 -4.789 MXP 405.467 0.059 2.5 59.595 NASDAQ_micro -42.142 0.009 2.5 -0.981 NIKKEI 81.998 0.043 2.5 8.892 NZD 55.377 0.010 2.5 1.439 OAT 14.677 0.014 2.5 0.501 OATIES -263.163 0.010 2.5 -6.411 OJ -59.610 0.010 2.5 -1.452 PALLAD 8.929 0.014 2.5 0.305 PLAT 27.591 0.014 2.5 0.942 REDWHEAT -130.621 0.005 2.5 -1.735 RICE -195.635 0.010 2.5 -4.766 ROBUSTA -13.943 0.005 2.5 -0.185 RUSSELL 141.038 0.013 2.5 4.680 SHATZ -595.805 0.004 2.5 -6.050 SILVER-mini 20.791 0.014 2.5 0.710 SMI 63.737 0.014 2.5 2.177 SOFR -257.253 0.024 2.5 -15.656 SOYBEAN -51.831 0.004 2.5 -0.483 SOYMEAL -106.875 0.004 2.5 -0.995 SOYOIL -162.183 0.004 2.5 -1.512 SP400 2.326 0.013 2.5 0.077 SP500_micro -33.551 0.009 2.5 -0.781 SUGAR11 -139.520 0.010 2.5 -3.399 US10 -68.479 0.005 2.5 -0.869 US10U -51.856 0.005 2.5 -0.658 US2 -110.165 0.005 2.5 -1.398 US20 -23.079 0.005 2.5 -0.293 US30 -24.229 0.005 2.5 -0.307 US5 -114.336 0.005 2.5 -1.451 VIX -135.266 0.099 2.5 -33.436 WHEAT -161.593 0.005 2.5 -2.147 ===================== Position diags ===================== AUD 2.49 BITCOIN 14.39 BOBL 1.50 BTP 2.21 BUND 0.76 BUXL 0.35 CAC 1.69 CAD 3.07 CANOLA 7.96 CHF 1.26 COCOA 0.51 COFFEE 0.18 COPPER 1.98 CORN 4.00 COTTON2 2.48 CRUDE_W 4.38 DAX 5.57 DOW 4.48 DX 2.48 EUR 1.61 EURIBOR-ICE 9.86 EUROSTX 2.27 FEEDCOW 0.54 GASOIL 1.20 GASOLINE 1.13 GAS_US_mini 8.94 GBP 2.22 GOLD_micro 3.11 HEATOIL 0.81 JGB-SGX-mini 29.40 JPY 1.81 LEANHOG 4.16 LIVECOW 1.04 LUMBER-new 3.68 MXP 33.32 NASDAQ_micro 1.68 NIKKEI 9.95 NZD 2.54 OAT 2.51 OATIES 3.21 OJ 0.92 PALLAD 0.31 PLAT 0.77 REDWHEAT 1.11 RICE 2.62 ROBUSTA 0.57 RUSSELL 7.42 SHATZ 5.03 SILVER-mini 0.42 SMI 1.09 SOFR 16.43 SOYBEAN 0.70 SOYMEAL 0.74 SOYOIL 0.86 SP400 0.34 SP500_micro 3.31 SUGAR11 3.10 US10 1.30 US10U 0.99 US2 2.65 US20 0.63 US30 0.45 US5 1.98 VIX 16.72 WHEAT 1.22 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 4.5 4.3 4.8 0.0 0 BITCOIN -22.2 -23.7 -20.8 0.0 0 BOBL -0.9 -1.1 -0.8 0.0 0 BTP -0.0 -0.3 0.2 0.0 0 BUND -0.7 -0.8 -0.6 -4.0 -4 BUXL -0.5 -0.5 -0.5 -3.0 -3 CAC 1.7 1.5 1.8 0.0 0 CAD 1.1 0.8 1.4 -1.0 -1 CANOLA -7.3 -8.1 -6.5 -1.0 -1 CHF -1.0 -1.1 -0.9 -3.0 -3 COCOA -0.3 -0.4 -0.3 -1.0 -1 COFFEE 0.1 0.1 0.1 1.0 1 COPPER 2.2 2.0 2.4 4.0 4 CORN -3.0 -3.4 -2.6 0.0 0 COTTON2 -5.0 -5.2 -4.7 -5.0 -5 CRUDE_W -2.7 -3.1 -2.2 0.0 0 DAX 2.1 1.5 2.6 -1.0 -1 DOW 1.1 0.7 1.6 8.0 8 DX -0.6 -0.9 -0.4 1.0 1 EUR 1.3 1.2 1.5 1.0 1 EURIBOR-ICE -2.3 -3.2 -1.3 0.0 0 EUROSTX 3.0 2.8 3.2 5.0 5 FEEDCOW 0.2 0.2 0.3 0.0 0 GASOIL 0.4 0.3 0.5 0.0 0 GASOLINE -0.6 -0.8 -0.5 -1.0 -1 GAS_US_mini -2.3 -3.2 -1.4 0.0 0 GBP 1.8 1.5 2.0 3.0 3 GOLD_micro 1.8 1.5 2.1 0.0 0 HEATOIL -0.2 -0.3 -0.2 0.0 0 JGB-SGX-mini -52.3 -55.3 -49.4 0.0 0 JPY -2.2 -2.4 -2.0 -3.0 -3 LEANHOG 2.9 2.5 3.4 3.0 3 LIVECOW 0.1 -0.0 0.2 -1.0 -1 LUMBER-new -4.8 -5.2 -4.4 0.0 0 MXP 59.6 56.3 62.9 32.0 32 NASDAQ_micro -1.0 -1.1 -0.8 0.0 0 NIKKEI 8.9 7.9 9.9 14.0 14 NZD 1.4 1.2 1.7 0.0 0 OAT 0.5 0.3 0.8 2.0 2 OATIES -6.4 -6.7 -6.1 NaN 0 OJ -1.5 -1.5 -1.4 -2.0 -2 PALLAD 0.3 0.3 0.3 0.0 0 PLAT 0.9 0.9 1.0 0.0 0 REDWHEAT -1.7 -1.8 -1.6 -3.0 -3 RICE -4.8 -5.0 -4.5 -3.0 -3 ROBUSTA -0.2 -0.2 -0.1 0.0 0 RUSSELL 4.7 3.9 5.4 3.0 3 SHATZ -6.1 -6.6 -5.5 NaN 0 SILVER-mini 0.7 0.7 0.8 3.0 3 SMI 2.2 2.1 2.3 0.0 0 SOFR -15.7 -17.3 -14.0 NaN 0 SOYBEAN -0.5 -0.6 -0.4 0.0 0 SOYMEAL -1.0 -1.1 -0.9 -1.0 -1 SOYOIL -1.5 -1.6 -1.4 -6.0 -6 SP400 0.1 0.0 0.1 0.0 0 SP500_micro -0.8 -1.1 -0.4 0.0 0 SUGAR11 -3.4 -3.7 -3.1 -4.0 -4 US10 -0.9 -1.0 -0.7 0.0 0 US10U -0.7 -0.8 -0.6 0.0 0 US2 -1.4 -1.7 -1.1 NaN 0 US20 -0.3 -0.4 -0.2 0.0 0 US30 -0.3 -0.4 -0.3 -3.0 -3 US5 -1.5 -1.6 -1.3 0.0 0 VIX -33.4 -35.1 -31.8 -25.0 -25 WHEAT -2.1 -2.3 -2.0 0.0 0 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 4.2 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 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 0.6 0.1 0.0 -0.1 0.2 -0.2 0.2 0.1 0.1 0.1 0.3 0.2 0.2 0.2 0.1 0.0 -0.0 -0.0 -0.0 0.1 0.1 0.2 0.1 0.2 2.3 0.1 0.1 0.1 0.2 0.0 0.2 0.2 0.2 0.5 0.6 0.5 0.2 0.7 0.3 0.7 BITCOIN 0.1 -0.6 -0.6 0.2 0.2 0.5 0.2 0.7 0.1 -0.1 -0.2 -0.0 0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.1 -0.0 -0.2 -2.7 -0.2 -0.1 -0.4 -0.1 -0.1 -0.2 -0.0 -0.5 -0.6 -0.6 -0.6 0.2 -0.1 -0.7 -0.5 BOBL -0.5 -0.4 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.3 -0.2 -0.1 -0.2 -0.1 -0.2 0.1 0.2 0.2 -0.2 -0.1 -0.2 -0.1 -0.2 0.4 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 0.5 -0.5 -0.6 -0.6 -0.3 0.2 0.7 0.6 0.7 BTP -0.4 -0.2 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 0.4 -0.2 0.7 -0.2 0.1 0.2 0.2 0.2 0.2 -0.0 0.1 -0.1 0.3 -0.1 -2.7 -0.1 -0.1 0.2 -0.2 0.4 -0.2 0.5 -0.1 -0.1 0.2 0.2 0.0 0.7 0.3 0.7 BUND -0.5 -0.4 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.2 -0.3 -0.2 -0.1 0.2 0.1 0.1 0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.0 -0.5 -0.6 -0.5 -0.2 0.1 0.7 0.3 0.7 BUXL -0.5 -0.4 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.4 -0.2 -0.7 -0.2 -0.2 0.1 0.1 0.1 0.1 -0.2 -0.2 -0.2 -0.5 -0.2 0.0 -0.2 -0.2 -0.5 -0.2 -0.6 -0.2 0.0 -0.2 -0.6 -0.5 -0.3 -0.2 0.6 -0.1 0.2 CAC -0.0 -0.2 0.3 0.1 0.0 0.3 0.1 0.5 0.1 0.1 0.4 0.1 0.6 -0.0 0.1 -0.1 -0.0 -0.1 -0.0 0.1 0.1 0.0 0.3 0.0 0.7 0.0 0.1 0.2 0.0 0.1 0.0 0.3 -0.3 -0.5 -0.2 -0.3 0.5 0.7 0.4 0.7 CAD 0.6 0.3 -0.3 -0.1 0.2 -0.2 0.2 0.1 0.1 0.2 -0.3 0.2 -0.3 0.2 -0.0 -0.2 -0.2 -0.2 -0.2 0.0 -0.1 0.2 -0.2 0.2 2.7 0.0 0.2 -0.2 0.2 -0.2 0.2 -0.4 0.5 0.6 0.6 -0.2 -0.7 -0.7 -0.6 -0.7 CANOLA -0.5 0.2 -0.4 -0.2 -0.1 -0.5 -0.1 -0.7 -0.1 -0.1 -0.3 -0.2 -0.1 -0.1 -0.1 -0.4 -0.3 -0.4 -0.3 -0.1 -0.1 -0.2 -0.1 -0.2 1.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.8 -0.5 -0.6 -0.0 0.1 0.6 0.7 0.7 0.7 CHF 0.1 -0.4 -0.3 -0.1 0.1 -0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.0 0.1 0.2 0.0 -0.2 -0.0 0.1 0.0 0.1 0.3 0.0 -1.1 0.0 -0.4 -0.1 0.1 -0.3 -0.7 -0.3 -0.7 COCOA 0.6 0.1 -0.6 -0.1 -0.1 -0.4 -0.1 -0.5 -0.1 0.0 -0.2 0.1 -0.1 0.0 -0.1 -0.1 0.2 -0.0 0.0 -0.1 -0.1 0.1 -0.1 0.0 -2.7 -0.1 0.0 -0.2 0.1 -0.0 -0.0 1.0 0.5 0.2 -0.0 -0.2 -0.3 -0.1 -0.0 0.1 COFFEE -0.3 -0.2 0.2 -0.2 -0.1 -0.5 -0.1 -0.7 -0.2 -0.1 0.4 -0.1 0.5 -0.1 0.1 0.4 0.3 0.4 0.4 0.1 0.2 -0.1 0.5 -0.1 -2.7 0.1 -0.1 0.5 -0.1 0.7 -0.1 1.1 -0.3 0.0 0.3 0.6 0.6 0.5 0.7 0.7 COPPER 0.4 0.3 0.3 0.1 0.2 0.5 0.2 0.7 0.1 0.0 0.0 0.1 0.0 0.1 0.1 -0.2 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.2 -0.7 0.1 0.0 0.2 0.1 0.3 0.1 -0.0 -0.1 0.1 0.2 -0.5 0.7 0.6 0.7 0.7 CORN -0.1 0.2 0.2 -0.2 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.1 -0.1 -0.4 -0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.0 -0.0 -0.1 -0.3 -0.0 1.3 0.0 -0.1 0.0 -0.1 -0.3 -0.1 -1.1 -0.1 -0.1 0.6 0.6 -0.3 -0.2 0.2 -0.1 COTTON2 0.0 -0.2 -0.2 -0.2 -0.2 -0.5 -0.2 -0.7 -0.2 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.1 -0.5 -0.1 -1.7 -0.2 -0.0 -0.5 -0.1 -0.7 -0.2 -0.9 -0.0 0.2 -0.0 0.3 -0.2 -0.4 -0.1 -0.4 CRUDE_W -0.1 -0.1 -0.2 -0.1 -0.2 0.0 -0.2 0.1 -0.1 -0.2 -0.3 -0.2 -0.5 -0.2 -0.2 -0.0 0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.3 -0.1 1.1 -0.2 -0.2 -0.5 -0.2 -0.6 -0.2 -0.7 0.1 0.2 -0.5 -0.6 0.7 0.7 0.4 0.7 DAX 0.4 -0.3 -0.4 0.1 0.0 0.3 0.1 0.4 0.1 0.1 0.2 0.2 0.6 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 0.3 0.1 -1.5 -0.0 0.1 -0.0 0.1 0.2 0.1 -0.1 0.3 0.1 -0.2 -0.6 0.2 0.7 0.1 0.7 DOW 0.4 -0.1 0.2 0.1 0.0 0.2 0.1 0.3 0.1 0.1 0.4 0.1 0.5 0.1 0.1 -0.1 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 -1.4 0.1 0.1 0.2 0.1 0.3 0.1 -0.2 0.3 0.2 0.4 0.2 -0.2 -0.7 -0.3 -0.7 DX -0.5 0.3 0.4 -0.1 0.2 -0.2 0.2 0.1 0.1 -0.2 0.1 -0.2 -0.5 -0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.0 -0.2 -0.2 -0.1 -2.7 0.0 -0.2 0.1 -0.2 -0.1 -0.1 0.9 -0.5 -0.6 0.4 0.5 0.1 0.5 0.2 0.6 EUR 0.5 -0.2 -0.2 -0.1 0.2 -0.2 0.2 0.1 0.1 0.2 0.2 0.2 0.6 0.2 -0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.0 0.2 0.4 0.2 2.0 0.1 0.2 0.1 0.2 0.5 0.2 -0.4 0.3 0.5 0.4 0.1 -0.1 -0.7 -0.1 -0.7 EURIBOR-ICE -0.5 -0.5 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 -0.1 -0.1 0.2 0.2 0.3 0.3 -0.1 -0.0 -0.2 0.0 -0.2 0.3 -0.1 -0.1 -0.1 -0.2 -0.0 -0.2 0.8 -0.5 -0.6 -0.5 -0.2 0.2 0.7 0.4 0.7 EUROSTX 0.2 -0.1 0.3 0.1 0.0 0.3 0.1 0.5 0.1 0.1 0.5 0.2 0.7 0.1 0.2 -0.1 -0.0 -0.1 -0.1 0.1 0.2 0.1 0.5 0.1 -0.9 0.1 0.1 0.3 0.1 0.4 0.1 0.3 0.1 -0.0 0.2 0.0 0.4 0.7 0.3 0.7 FEEDCOW 0.6 -0.6 -0.6 -0.1 -0.1 -0.4 -0.1 -0.5 -0.1 0.0 0.0 0.1 0.2 -0.0 -0.0 0.3 0.2 0.3 0.3 -0.0 0.0 0.1 0.2 0.1 -2.7 -0.0 0.0 0.1 0.1 0.4 0.0 1.1 0.5 0.4 -0.5 0.3 0.7 0.7 0.7 0.7 GASOIL -0.6 -0.0 0.1 -0.0 -0.2 0.0 -0.1 0.0 -0.1 -0.1 0.2 -0.2 0.2 -0.1 -0.0 0.3 0.3 0.4 0.4 -0.0 0.0 -0.1 0.1 -0.1 -0.2 -0.0 -0.1 0.1 -0.2 0.2 -0.1 0.5 -0.0 -0.2 0.1 0.3 0.3 0.5 -0.1 0.3 GASOLINE -0.4 -0.0 -0.0 -0.0 -0.2 0.0 -0.2 0.1 -0.1 -0.2 0.0 -0.2 0.0 -0.1 -0.1 -0.2 0.3 0.1 0.3 -0.1 -0.0 -0.2 -0.0 -0.1 -2.5 -0.1 -0.2 -0.2 -0.2 -0.1 -0.2 0.3 -0.3 -0.3 -0.2 -0.3 0.7 0.7 0.7 0.7 GAS_US_mini -0.2 0.5 0.4 -0.0 -0.2 0.0 -0.2 0.0 -0.1 -0.1 -0.1 -0.1 -0.3 -0.0 0.1 0.3 -0.4 -0.4 -0.4 0.0 0.0 -0.2 -0.1 -0.0 2.7 0.0 -0.2 0.0 -0.2 -0.0 -0.0 -1.1 -0.2 0.2 0.4 0.3 0.1 -0.7 -0.5 -0.7 GBP 0.6 -0.1 -0.5 -0.1 0.2 -0.2 0.2 0.1 0.1 0.2 -0.1 0.2 0.4 0.2 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 0.2 0.1 0.1 0.3 0.0 0.1 -0.1 0.2 0.2 0.2 0.3 0.2 0.6 0.1 0.0 0.4 -0.2 0.4 -0.2 GOLD_micro 0.5 0.6 0.1 0.1 0.1 0.4 0.1 0.6 0.1 0.1 0.3 0.1 0.4 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.2 0.1 0.5 0.1 0.7 0.1 -0.3 -0.1 0.0 0.1 0.6 0.1 0.1 -0.4 -0.5 HEATOIL -0.6 -0.0 0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.1 0.2 -0.1 0.2 -0.1 -0.0 0.3 0.2 0.3 0.3 -0.0 0.0 -0.1 0.1 -0.1 -2.2 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.0 -0.0 -0.2 0.2 0.0 0.7 0.4 -0.2 -0.3 JGB-SGX-mini -0.6 -0.6 -0.6 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.4 -0.1 -0.5 -0.1 -0.2 0.4 0.3 0.3 0.3 -0.2 -0.2 -0.2 -0.5 -0.2 -0.7 -0.2 -0.1 -0.5 -0.2 -0.7 -0.2 1.0 -0.2 -0.6 -0.6 -0.6 -0.3 -0.7 -0.0 -0.7 JPY 0.2 -0.4 -0.6 -0.1 0.1 -0.1 0.1 0.0 0.0 0.1 -0.4 0.0 -0.5 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.0 -0.5 -0.1 2.7 -0.2 0.0 -0.5 -0.0 -0.6 -0.1 -0.6 -0.4 -0.5 -0.6 -0.6 -0.2 -0.4 -0.2 -0.5 LEANHOG 0.6 -0.4 -0.6 -0.2 -0.1 -0.5 -0.1 -0.7 -0.2 0.1 0.0 0.2 0.3 0.1 -0.1 -0.4 0.4 0.1 0.4 -0.0 -0.0 0.2 0.1 0.1 -0.3 -0.0 0.2 -0.2 0.2 0.1 0.1 1.1 0.5 0.6 0.0 0.6 0.1 0.4 0.4 0.7 LIVECOW 0.5 -0.6 -0.6 -0.1 -0.1 -0.4 -0.1 -0.5 -0.1 0.1 0.0 0.1 0.2 -0.0 -0.0 -0.1 0.2 -0.0 0.1 -0.0 0.0 0.1 0.2 0.0 -2.7 -0.0 0.0 0.0 0.1 0.2 0.0 1.1 0.5 0.3 -0.5 0.2 0.7 0.5 0.7 0.7 LUMBER-new 0.2 -0.7 -0.7 -0.2 -0.1 -0.6 -0.1 -0.8 -0.2 0.1 -0.5 0.1 -0.6 -0.1 -0.2 -0.5 -0.5 -0.5 -0.5 -0.2 -0.2 0.1 -0.6 -0.1 NaN -0.2 0.1 -0.6 0.1 -0.6 -0.1 -1.2 0.6 0.3 -0.7 -0.5 0.2 0.8 0.3 0.8 MXP 0.3 -0.0 0.1 -0.1 0.2 -0.2 0.2 0.1 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 -2.7 0.2 0.2 0.5 0.2 0.7 0.2 1.1 0.4 0.6 0.6 0.6 0.3 0.3 0.4 0.4 NASDAQ_micro 0.2 -0.4 -0.2 0.1 0.0 0.2 0.1 0.3 0.1 -0.1 0.3 0.1 0.5 0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 -0.0 0.4 0.0 -2.7 0.0 -0.1 0.2 -0.0 0.4 -0.0 -0.3 -0.4 -0.2 0.0 0.2 -0.1 -0.7 -0.1 -0.7 NIKKEI -0.1 -0.1 0.5 0.0 0.0 0.2 0.1 0.3 0.0 -0.0 0.3 0.1 0.4 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.0 0.5 0.0 -1.7 0.1 -0.0 0.5 -0.0 0.7 0.0 1.0 -0.1 -0.2 0.3 0.6 -0.1 0.2 -0.1 0.3 NZD 0.6 0.1 -0.4 -0.1 0.1 -0.1 0.2 0.1 0.0 0.1 -0.2 0.2 -0.4 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.3 0.1 2.0 -0.1 0.0 -0.3 0.1 -0.4 0.1 0.0 -0.1 0.4 0.1 -0.3 0.1 0.7 0.2 0.7 OAT -0.4 -0.1 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 0.1 -0.2 -0.1 -0.1 0.0 0.3 0.3 0.3 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.2 1.0 -0.2 -0.2 0.0 0.0 0.0 0.7 0.3 0.7 OATIES -0.3 -0.0 -0.4 -0.2 -0.1 -0.5 -0.1 -0.7 -0.1 -0.1 -0.4 -0.2 -0.5 -0.1 -0.2 -0.3 -0.2 -0.4 -0.3 -0.2 -0.2 -0.2 -0.4 -0.2 -0.9 -0.2 -0.2 -0.5 -0.2 -0.5 -0.2 -0.8 -0.5 -0.6 -0.3 -0.1 -0.3 -0.5 -0.1 -0.5 OJ 0.2 -0.6 -0.6 -0.1 -0.0 -0.3 -0.0 -0.4 -0.1 0.0 -0.2 0.0 -0.2 -0.0 -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.3 -0.1 -2.7 -0.1 0.0 -0.3 -0.0 -0.3 -0.1 0.6 0.1 -0.1 -0.3 -0.2 -0.5 -0.6 -0.2 -0.5 PALLAD 0.2 0.1 0.3 0.1 0.1 0.4 0.1 0.6 0.1 0.1 0.2 0.1 0.2 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.3 0.1 2.3 0.1 0.1 0.4 0.1 0.5 0.1 0.3 0.1 -0.1 -0.1 -0.0 0.0 -0.3 -0.7 -0.7 PLAT 0.6 0.0 0.1 0.1 0.2 0.5 0.2 0.7 0.1 0.1 0.3 0.2 0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.5 0.2 0.1 0.1 0.2 0.4 0.2 0.6 0.1 0.2 0.3 0.1 -0.2 -0.2 0.7 0.4 -0.6 -0.4 REDWHEAT -0.2 0.3 0.2 -0.2 -0.2 -0.5 -0.1 -0.7 -0.2 -0.2 -0.4 -0.2 -0.7 -0.1 -0.0 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.1 -0.5 -0.1 0.9 -0.0 -0.2 -0.2 -0.2 -0.5 -0.1 -1.0 -0.1 -0.1 0.6 0.6 -0.7 -0.7 -0.7 -0.7 RICE 0.0 0.1 -0.6 -0.1 -0.1 -0.4 -0.1 -0.5 -0.1 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.4 -0.3 -0.4 -0.4 -0.1 -0.2 -0.1 -0.5 -0.1 0.0 -0.1 -0.1 -0.4 -0.1 -0.6 -0.1 -1.0 -0.2 -0.2 -0.3 -0.4 -0.3 -0.5 0.1 -0.4 ROBUSTA -0.5 -0.2 0.2 -0.1 -0.1 -0.4 -0.1 -0.5 -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.3 0.3 0.2 0.2 -0.0 0.0 -0.1 0.0 -0.1 -2.7 -0.0 -0.1 0.0 -0.1 0.0 -0.1 1.1 -0.5 -0.1 -0.0 0.6 -0.1 0.6 0.4 0.7 RUSSELL 0.6 -0.2 0.2 0.1 0.0 0.2 0.1 0.3 0.1 0.0 0.4 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 0.8 0.1 0.0 0.2 0.1 0.3 0.1 0.0 0.1 0.5 0.0 0.1 -0.2 -0.7 -0.4 -0.7 SHATZ -0.4 -0.3 -0.3 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.4 -0.2 -0.2 -0.2 -0.2 -0.4 -0.3 -0.3 -0.3 -0.2 -0.1 -0.2 -0.2 -0.2 1.1 -0.2 -0.1 -0.4 -0.2 -0.3 -0.2 -1.1 -0.5 -0.6 -0.6 -0.5 0.5 0.7 0.7 0.7 SILVER-mini 0.6 0.5 0.1 0.1 0.2 0.5 0.2 0.7 0.1 0.1 0.4 0.1 0.5 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.5 0.2 -1.4 0.2 0.2 0.5 0.2 0.7 0.2 0.0 0.5 0.6 0.6 0.6 0.2 0.7 -0.3 -0.0 SMI 0.5 0.3 0.4 0.1 0.0 0.3 0.1 0.5 0.1 0.1 0.5 0.2 0.5 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.4 0.2 1.6 0.2 0.1 0.5 0.2 0.4 0.2 0.9 0.1 0.6 0.6 0.4 0.2 0.7 0.3 0.7 SOFR -0.3 -0.4 -0.2 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 0.3 -0.2 0.5 -0.2 -0.1 0.1 0.1 0.1 0.1 -0.1 0.0 -0.2 0.3 -0.2 -2.7 -0.1 -0.1 0.1 -0.2 0.4 -0.2 0.3 -0.3 0.2 0.1 0.2 -0.3 -0.5 -0.3 -0.7 SOYBEAN -0.4 0.3 0.3 -0.2 -0.2 -0.5 -0.1 -0.7 -0.2 -0.2 0.4 -0.2 0.2 0.0 0.1 -0.0 -0.1 -0.0 -0.1 0.1 0.1 -0.2 0.0 -0.1 -1.0 0.1 -0.2 0.4 -0.2 0.3 -0.1 0.1 -0.5 -0.4 0.6 0.6 -0.7 -0.2 -0.7 -0.1 SOYMEAL -0.6 0.5 0.6 -0.2 -0.1 -0.5 -0.1 -0.7 -0.1 -0.1 0.1 -0.1 -0.3 -0.0 0.0 -0.2 -0.3 -0.3 -0.3 0.0 0.0 -0.1 -0.1 -0.1 -1.7 0.1 -0.1 0.3 -0.1 0.0 -0.0 -0.9 -0.4 -0.4 0.6 0.6 -0.5 -0.7 -0.2 -0.7 SOYOIL 0.0 0.0 -0.3 -0.2 -0.2 -0.5 -0.1 -0.7 -0.2 -0.2 -0.0 -0.2 0.3 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.0 -0.0 -0.2 0.2 -0.1 -2.7 -0.1 -0.2 -0.1 -0.2 0.1 -0.2 0.0 -0.5 -0.2 0.1 0.4 -0.7 -0.6 -0.7 -0.7 SP400 0.6 -0.0 -0.0 0.1 0.0 0.2 0.1 0.3 0.1 0.0 0.3 0.1 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.0 0.0 0.1 0.1 0.1 -0.0 0.1 0.4 0.1 -0.3 -0.2 -0.7 -0.3 -0.7 SP500_micro 0.3 -0.2 -0.1 0.1 0.0 0.3 0.1 0.4 0.1 -0.1 0.4 0.1 0.6 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.2 0.0 0.5 0.1 -2.4 0.0 -0.1 0.3 0.0 0.5 0.0 -0.4 -0.3 -0.0 0.1 0.1 -0.1 -0.7 -0.1 -0.7 SUGAR11 0.5 0.0 -0.3 -0.2 -0.1 -0.5 -0.1 -0.7 -0.1 0.1 -0.4 0.1 -0.5 0.0 -0.1 0.4 0.2 0.3 0.2 -0.1 -0.2 0.0 -0.5 0.0 -2.7 -0.1 0.1 -0.5 0.1 -0.6 0.0 1.1 0.3 0.5 -0.1 0.0 -0.4 -0.6 -0.2 -0.5 US10 -0.2 -0.3 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 0.3 -0.1 0.2 -0.1 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.2 -0.1 -1.0 -0.0 -0.1 0.2 -0.1 0.3 -0.1 -0.2 -0.1 0.3 0.2 0.3 -0.6 -0.7 -0.4 -0.7 US10U -0.2 -0.3 0.2 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 0.4 -0.2 0.1 -0.2 0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.2 -0.1 -1.8 0.0 -0.1 0.3 -0.2 0.5 -0.1 -0.3 -0.2 0.4 0.2 0.6 -0.3 -0.4 -0.4 -0.7 US2 -0.1 -0.3 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.3 -0.2 -0.3 -0.1 -0.0 -0.0 0.0 -0.1 2.3 -0.0 0.1 0.0 -0.0 0.2 -0.1 -1.1 0.3 0.4 -0.0 0.1 -0.6 -0.4 -0.7 -0.7 US20 -0.3 -0.4 0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.2 -0.2 -0.1 -0.2 -0.0 0.1 0.1 0.1 0.1 -0.0 0.0 -0.1 0.1 -0.1 -1.2 -0.0 -0.1 0.1 -0.2 0.2 -0.1 0.0 -0.2 0.1 0.0 0.4 -0.0 0.5 -0.1 -0.6 US30 -0.3 -0.3 0.2 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 0.1 -0.2 -0.3 -0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.7 -0.1 -0.2 0.1 -0.2 0.1 -0.2 -0.4 -0.1 0.1 0.0 0.4 -0.0 0.3 -0.0 -0.5 US5 -0.2 -0.3 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 0.2 -0.1 0.2 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 0.2 -0.1 -0.4 -0.0 -0.0 0.1 -0.1 0.3 -0.1 -0.5 0.0 0.4 0.1 0.2 -0.7 -0.6 -0.7 -0.7 VIX -1.0 -0.1 -0.3 -0.2 -0.2 -0.4 -0.3 -0.2 -0.3 -0.3 -0.9 -0.3 -0.8 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.2 -0.3 -0.3 -0.3 NaN -0.2 -0.2 -0.4 -0.3 -0.3 -0.3 NaN NaN NaN NaN NaN -0.2 -1.1 NaN NaN WHEAT -0.3 0.2 0.1 -0.2 -0.2 -0.5 -0.1 -0.7 -0.2 -0.2 -0.5 -0.2 -0.7 -0.2 -0.1 -0.3 -0.4 -0.3 -0.3 -0.1 -0.1 -0.1 -0.5 -0.1 1.5 -0.1 -0.2 -0.2 -0.2 -0.4 -0.1 -1.1 -0.2 -0.4 0.5 0.6 -0.7 -0.7 -0.7 -0.7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 17.7 2.3 0.3 -8.0 18.8 -6.8 19.3 1.8 5.8 10.4 11.5 20.0 4.6 18.5 6.2 0.2 -1.1 -0.4 -0.8 10.7 5.8 20.0 3.4 19.8 17.0 10.0 7.0 5.0 20.0 1.2 20.0 4.7 9.7 15.8 19.4 14.4 6.6 20.0 9.3 20.0 BITCOIN 3.6 -20.0 -20.0 16.1 20.0 20.0 17.6 20.0 13.6 -9.7 -8.0 -4.6 4.9 -13.2 -15.0 -4.3 -6.7 -5.2 -6.0 -20.0 -15.9 -10.7 -1.6 -17.4 -20.0 -20.0 -15.6 -14.5 -9.5 -1.4 -15.4 -0.3 -20.0 -20.0 -20.0 -20.0 5.8 -2.7 -20.0 -15.2 BOBL -16.8 -12.5 -2.9 -9.0 -6.1 -3.0 -15.6 -2.6 -15.9 -11.1 -10.3 -15.0 -3.1 -17.0 -13.5 -11.8 7.0 10.7 11.7 -14.9 -7.5 -20.0 -4.5 -20.0 2.7 -18.7 -16.9 -9.0 -20.0 -4.5 -20.0 10.3 -20.0 -20.0 -18.2 -8.1 5.5 20.0 16.9 20.0 BTP -11.2 -7.6 1.6 -11.9 -8.1 -3.9 -20.0 -3.5 -20.0 -8.8 14.8 -16.4 19.4 -14.8 6.3 12.3 9.1 9.9 9.5 -3.0 5.8 -14.2 11.3 -12.5 -20.0 -6.0 -8.6 5.6 -20.0 12.2 -19.0 10.0 -5.5 -4.1 4.9 6.5 1.4 20.0 9.1 20.0 BUND -15.6 -11.4 0.9 -10.2 -7.0 -3.4 -17.7 -3.0 -18.1 -13.9 -8.7 -18.0 -9.5 -19.5 -13.6 10.2 3.4 3.1 3.1 -14.5 -7.3 -20.0 -7.0 -20.0 -0.5 -20.0 -19.1 -9.2 -20.0 -5.8 -20.0 -0.1 -20.0 -20.0 -15.2 -5.0 1.9 20.0 8.4 20.0 BUXL -14.2 -10.8 0.9 -10.4 -7.1 -3.4 -17.9 -3.0 -18.3 -15.2 -16.5 -19.7 -19.7 -20.0 -15.4 3.8 3.1 4.0 3.8 -18.1 -14.9 -20.0 -19.5 -20.0 0.3 -20.0 -19.4 -17.9 -20.0 -17.2 -20.0 0.0 -10.2 -19.0 -15.4 -9.3 -5.3 17.8 -2.0 7.5 CAC -1.1 -6.2 8.5 8.1 2.0 12.6 8.9 14.2 7.9 12.1 15.8 8.2 17.4 -3.6 9.6 -3.8 -1.8 -3.1 -2.4 5.5 10.7 2.0 11.3 1.2 5.4 3.8 8.4 6.4 2.0 3.7 0.4 5.9 -12.9 -16.3 -5.7 -8.5 13.9 20.0 11.5 20.0 CAD 20.0 7.8 -8.5 -7.8 18.5 -6.7 19.0 1.7 5.7 20.0 -11.0 20.0 -7.3 18.4 -2.5 -7.7 -7.5 -8.3 -8.0 4.6 -5.5 20.0 -7.3 20.0 20.0 2.2 20.0 -5.8 20.0 -5.7 18.1 -7.1 20.0 20.0 17.7 -6.3 -20.0 -20.0 -19.3 -20.0 CANOLA -15.7 4.7 -11.2 -18.8 -12.3 -20.0 -9.6 -20.0 -12.4 -14.2 -10.5 -14.7 -1.6 -10.9 -11.1 -20.0 -13.4 -20.0 -17.1 -10.0 -7.6 -20.0 -4.3 -17.0 8.3 -11.7 -20.0 -8.8 -20.0 -5.7 -19.0 -15.4 -20.0 -20.0 -0.0 2.8 18.3 20.0 20.0 20.0 CHF 2.4 -10.9 -9.2 -6.4 15.1 -5.5 15.6 1.4 4.7 13.1 2.6 5.8 11.8 -5.4 -12.0 -16.9 -16.1 -16.7 -16.1 -4.9 -0.7 10.0 7.5 0.7 -1.3 -4.5 15.5 0.3 10.4 7.8 0.5 -20.0 0.2 -12.5 -4.1 3.5 -8.6 -20.0 -8.9 -20.0 COCOA 20.0 3.0 -20.0 -10.9 -7.1 -14.2 -5.6 -14.0 -7.2 2.8 -8.1 6.0 -3.1 0.0 -5.9 -3.6 7.5 -2.3 1.7 -6.3 -10.1 9.2 -4.7 3.1 -20.0 -6.2 2.0 -6.9 5.0 -1.3 -0.5 18.4 20.0 6.1 -0.9 -7.4 -9.9 -1.5 -0.3 3.2 COFFEE -9.0 -5.6 7.5 -20.0 -14.8 -20.0 -11.5 -20.0 -14.9 -13.7 14.1 -13.5 15.3 -11.8 7.7 20.0 14.9 20.0 19.3 4.7 14.3 -10.9 19.9 -5.7 -20.0 5.3 -14.7 17.9 -9.6 20.0 -5.4 20.0 -12.8 0.1 8.3 20.0 18.1 15.5 20.0 20.0 COPPER 13.5 8.2 9.5 13.7 18.7 18.8 15.0 19.1 11.6 4.9 0.1 10.6 0.2 11.4 11.5 -8.1 -6.1 -7.1 -6.4 12.3 8.2 10.7 5.8 13.9 -5.0 9.1 2.8 8.2 7.8 9.7 10.1 -0.0 -4.2 4.2 7.6 -14.1 20.0 18.0 20.0 20.0 CORN -3.1 6.1 5.9 -20.0 -18.4 -20.0 -14.3 -20.0 -18.5 -20.0 -3.4 -13.7 -10.4 -1.4 11.1 -20.0 -19.5 -20.0 -20.0 1.9 -1.3 -6.7 -10.9 -1.9 9.6 1.1 -14.5 1.4 -10.6 -7.1 -5.2 -20.0 -5.5 -1.8 19.6 20.0 -8.1 -6.8 5.2 -3.0 COTTON2 0.9 -6.1 -5.9 -20.0 -19.8 -20.0 -15.4 -20.0 -19.9 -11.5 -20.0 -14.5 -20.0 -20.0 -20.0 -17.9 -15.5 -17.9 -16.9 -18.1 -20.0 -6.5 -20.0 -12.1 -13.1 -20.0 -4.4 -20.0 -10.5 -20.0 -19.7 -17.8 -1.3 6.2 -1.5 10.3 -5.9 -13.1 -4.2 -10.6 CRUDE_W -2.5 -3.9 -6.6 -4.9 -20.0 0.5 -20.0 1.7 -12.4 -20.0 -12.5 -19.5 -14.1 -18.3 -20.0 -0.9 4.9 0.9 2.8 -11.8 -11.4 -13.1 -11.7 -11.4 8.0 -19.1 -20.0 -17.7 -19.6 -16.5 -18.6 -13.4 5.4 6.8 -15.6 -19.8 20.0 20.0 11.1 19.7 DAX 11.7 -9.4 -12.2 6.7 1.6 10.4 7.4 11.7 6.5 12.1 9.2 14.8 15.5 7.5 -0.1 -6.4 -6.6 -6.3 -6.1 0.2 1.7 14.6 12.8 8.1 -11.2 -0.5 8.8 -1.5 13.3 6.5 7.3 -1.3 13.1 2.3 -7.1 -20.0 5.7 20.0 4.3 20.0 DOW 12.7 -2.4 5.0 5.2 1.3 8.1 5.7 9.1 5.1 7.8 13.9 12.0 13.3 10.6 10.6 -7.1 -8.2 -7.9 -7.9 11.8 12.6 15.1 12.5 13.3 -10.4 8.0 10.2 9.0 11.6 9.3 9.2 -4.4 12.5 7.2 11.1 5.4 -6.3 -20.0 -9.5 -20.0 DX -15.8 7.9 12.3 -7.2 16.9 -6.1 17.4 1.6 5.2 -18.9 5.0 -19.8 -13.6 -9.5 10.1 5.5 6.1 6.0 6.0 2.6 2.7 -19.9 -7.0 -10.0 -20.0 2.2 -20.0 4.5 -20.0 -3.1 -12.9 16.6 -20.0 -20.0 13.5 16.7 3.5 16.0 5.2 18.2 EUR 14.6 -5.0 -7.0 -8.3 19.5 -7.0 20.0 1.8 6.1 20.0 7.7 20.0 17.6 15.1 -7.6 -8.4 -7.9 -8.3 -8.0 2.2 3.7 20.0 14.5 14.0 15.2 5.1 20.0 4.1 20.0 12.5 19.8 -7.3 13.4 14.4 10.9 4.5 -3.5 -20.0 -2.8 -20.0 EURIBOR-ICE -16.1 -14.4 -7.7 -6.7 -4.6 -2.2 -11.6 -2.0 -11.9 -9.8 -4.6 -11.7 6.2 -12.7 -10.0 12.4 11.1 12.7 12.5 -10.6 -3.9 -19.6 1.6 -17.8 2.4 -11.8 -14.0 -4.6 -20.0 -0.0 -20.0 14.6 -20.0 -20.0 -15.4 -6.0 5.5 20.0 12.8 20.0 EUROSTX 6.6 -2.6 8.5 7.6 1.8 11.7 8.3 13.2 7.3 12.7 18.6 17.0 19.4 10.5 15.0 -3.7 -1.9 -3.4 -2.8 13.1 16.0 11.9 18.1 12.0 -6.6 11.8 9.0 12.1 11.8 10.9 11.4 5.5 3.2 -1.5 7.1 0.6 11.8 20.0 10.0 20.0 FEEDCOW 20.0 -20.0 -20.0 -10.3 -6.7 -13.4 -5.2 -13.2 -6.8 5.3 1.6 7.9 5.7 -0.8 -2.6 14.5 9.2 14.8 13.4 -0.8 2.2 9.8 8.4 5.0 -20.0 -2.4 3.9 2.6 5.0 10.0 0.9 20.0 20.0 11.3 -16.9 8.5 20.0 20.0 20.0 20.0 GASOIL -20.0 -1.5 4.0 -3.2 -17.2 0.3 -13.3 1.1 -8.0 -13.2 7.3 -14.1 5.9 -5.7 -1.4 15.5 15.7 19.5 18.3 -2.2 3.6 -15.1 4.0 -10.2 -1.6 -1.2 -16.1 5.0 -15.3 5.2 -9.8 8.8 -0.8 -7.0 4.5 8.1 9.4 16.2 -2.5 8.0 GASOLINE -10.9 -0.7 -1.4 -4.3 -20.0 0.4 -18.0 1.5 -10.8 -18.0 0.6 -19.2 0.8 -10.8 -6.1 -7.6 15.2 4.5 12.8 -5.8 -1.5 -19.1 -0.4 -12.4 -18.5 -12.4 -20.0 -6.9 -20.0 -3.9 -20.0 5.3 -11.2 -10.7 -5.9 -9.4 20.0 20.0 20.0 20.0 GAS_US_mini -7.4 16.0 12.7 -3.7 -20.0 0.3 -15.5 1.3 -9.4 -15.4 -4.3 -12.5 -9.5 -0.3 5.2 14.5 -20.0 -20.0 -20.0 3.4 0.9 -19.4 -3.0 -3.9 20.0 3.0 -20.0 1.6 -14.5 -1.1 -3.1 -20.0 -9.0 7.1 11.8 9.6 2.8 -20.0 -15.1 -20.0 GBP 20.0 -4.1 -15.4 -8.1 19.2 -6.9 19.7 1.8 5.9 18.2 -4.1 20.0 12.1 14.4 -4.6 0.1 -0.0 0.2 0.1 0.4 -3.1 17.6 5.0 13.3 2.0 1.9 12.1 -2.1 20.0 6.3 16.7 6.3 7.6 20.0 2.3 0.8 10.8 -5.3 12.6 -5.2 GOLD_micro 14.2 17.0 4.2 11.3 15.4 15.5 12.4 15.7 9.5 11.1 9.4 11.7 10.9 5.9 9.0 -8.2 -10.5 -8.8 -9.4 19.9 20.0 15.6 20.0 15.8 -20.0 19.3 13.6 20.0 11.0 20.0 11.5 -6.5 -3.5 1.5 2.5 20.0 4.3 3.2 -12.2 -15.7 HEATOIL -18.1 -0.3 1.5 -3.0 -16.5 0.3 -12.8 1.0 -7.7 -12.6 6.1 -13.9 5.7 -5.9 -2.0 16.5 11.1 15.1 12.8 -1.6 3.4 -13.6 4.0 -8.8 -16.2 -1.6 -14.5 2.7 -13.0 3.9 -8.4 0.6 -0.4 -6.3 6.6 0.7 20.0 10.8 -5.1 -9.2 JGB-SGX-mini -20.0 -18.8 -19.0 -7.0 -4.8 -2.3 -12.1 -2.0 -12.3 -7.5 -15.1 -12.2 -14.3 -13.7 -14.8 20.0 14.4 16.5 14.8 -20.0 -20.0 -18.8 -20.0 -20.0 -5.4 -20.0 -10.3 -20.0 -20.0 -18.1 -20.0 18.8 -9.0 -20.0 -20.0 -20.0 -9.1 -20.0 -1.0 -20.0 JPY 5.7 -12.4 -19.5 -5.6 13.2 -4.8 13.6 1.2 4.1 7.7 -16.3 2.7 -14.1 -11.2 -14.9 -9.9 -10.8 -10.1 -10.1 -18.5 -20.0 -1.3 -16.8 -9.5 20.0 -20.0 4.8 -20.0 -2.4 -16.2 -12.7 -11.5 -15.4 -14.0 -17.6 -19.5 -6.6 -12.3 -6.5 -14.3 LEANHOG 19.6 -11.8 -19.7 -20.0 -16.4 -20.0 -12.7 -20.0 -16.4 16.4 0.9 19.3 9.4 8.4 -9.5 -20.0 20.0 5.6 20.0 -3.7 -4.3 20.0 4.3 11.3 -2.0 -3.0 20.0 -5.8 20.0 1.5 12.7 20.0 20.0 20.0 0.0 19.6 1.7 11.7 12.2 20.0 LIVECOW 15.7 -20.0 -20.0 -10.0 -6.5 -13.0 -5.1 -12.8 -6.6 7.1 1.2 8.0 5.3 -0.2 -2.0 -2.6 7.9 -2.1 2.6 -1.7 0.3 10.0 5.8 4.4 -20.0 -3.5 5.3 0.1 5.2 6.4 0.2 20.0 20.0 7.7 -14.2 5.2 20.0 14.9 20.0 20.0 LUMBER-new 5.7 -20.0 -20.0 -19.2 -12.5 -20.0 -9.8 -20.0 -12.6 11.2 -15.4 7.7 -13.4 -11.9 -14.2 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 6.5 -19.5 -9.1 NaN -20.0 12.2 -20.0 8.9 -15.3 -7.7 -20.0 20.0 8.6 -20.0 -14.3 4.3 20.0 8.2 20.0 MXP 10.1 -0.6 2.5 -8.5 20.0 -7.3 20.0 1.9 6.3 20.0 20.0 20.0 20.0 20.0 20.0 12.8 12.8 12.8 12.6 20.0 20.0 20.0 20.0 20.0 -20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 17.9 20.0 20.0 20.0 8.4 9.3 11.3 13.1 NASDAQ_micro 6.4 -12.7 -5.2 5.0 1.2 7.7 5.4 8.6 4.8 -10.3 12.4 7.6 13.0 3.9 6.7 -7.7 -8.7 -8.4 -8.5 7.3 13.3 -3.0 16.7 3.1 -20.0 3.4 -12.6 9.0 -4.6 12.1 -0.6 -5.4 -16.1 -6.0 0.4 5.0 -2.1 -20.0 -2.7 -20.0 NIKKEI -2.2 -3.7 15.3 4.3 1.0 6.7 4.7 7.5 4.2 -2.1 10.7 6.3 11.0 1.7 8.2 4.8 6.6 3.3 4.7 12.1 19.4 0.6 18.9 4.5 -12.7 12.0 -4.2 20.0 -0.2 18.3 3.5 19.2 -4.8 -4.9 10.0 20.0 -3.3 5.0 -2.1 9.0 NZD 20.0 2.8 -13.0 -6.3 14.8 -5.3 15.2 1.4 4.6 7.1 -8.7 16.8 -10.6 14.1 -5.8 -4.0 -3.3 -4.3 -4.0 -1.3 -9.5 13.7 -9.4 11.4 14.8 -5.4 3.6 -12.2 12.9 -10.9 8.5 0.0 -2.6 11.4 3.3 -10.4 3.7 20.0 6.2 20.0 OAT -11.1 -3.7 3.7 -9.5 -6.5 -3.1 -16.4 -2.8 -16.7 -9.3 2.9 -15.1 -4.1 -13.7 1.3 15.5 12.5 16.8 15.7 -5.0 -1.3 -14.1 -2.9 -12.2 1.1 -6.9 -10.4 -1.4 -19.1 -1.3 -16.5 18.3 -9.1 -6.7 1.0 1.2 0.8 20.0 8.3 20.0 OATIES -9.3 -0.4 -11.4 -19.0 -12.4 -20.0 -9.7 -20.0 -12.5 -14.8 -15.3 -15.5 -13.1 -13.1 -14.5 -16.9 -11.5 -20.0 -17.4 -16.1 -15.5 -20.0 -13.4 -20.0 -6.9 -19.5 -20.0 -17.7 -20.0 -14.8 -20.0 -14.1 -20.0 -20.0 -9.9 -4.0 -8.5 -14.7 -3.7 -15.3 OJ 6.2 -18.7 -20.0 -8.0 -5.2 -10.4 -4.1 -10.2 -5.2 0.6 -6.4 1.4 -6.4 -4.4 -6.2 -6.1 2.3 -4.3 -1.7 -11.3 -12.6 -0.9 -11.1 -5.9 -20.0 -9.7 0.2 -9.9 -1.3 -7.9 -5.8 10.8 3.6 -2.3 -9.6 -5.7 -13.8 -16.7 -5.4 -15.6 PALLAD 5.9 1.7 10.6 11.0 15.0 15.1 12.1 15.3 9.3 10.5 6.3 10.7 6.0 3.2 4.5 -3.4 -3.0 -3.2 -3.1 9.0 10.7 11.6 9.5 8.8 17.0 9.2 14.5 13.5 9.1 13.9 6.6 5.4 4.0 -2.9 -3.1 -0.6 0.2 -10.5 -20.0 -20.0 PLAT 18.2 1.3 1.8 13.6 18.5 18.6 14.8 18.9 11.4 13.2 12.0 14.0 11.4 9.1 9.6 -5.6 -3.9 -4.5 -3.9 15.7 17.4 20.0 18.7 19.7 0.8 8.4 20.0 13.7 17.6 17.7 9.8 4.1 11.6 3.6 -5.6 -7.5 20.0 10.7 -19.4 -13.0 REDWHEAT -5.1 10.4 5.5 -20.0 -17.2 -20.0 -13.4 -20.0 -17.3 -20.0 -16.4 -20.0 -20.0 -4.9 -3.2 -13.9 -16.1 -15.5 -16.4 -5.1 -11.2 -13.1 -20.0 -7.2 6.7 -2.1 -20.0 -5.7 -15.7 -14.4 -6.8 -18.3 -5.3 -2.0 20.0 20.0 -20.0 -20.0 -20.0 -20.0 RICE 1.2 1.6 -20.0 -10.5 -6.9 -13.7 -5.3 -13.4 -6.9 -7.3 -9.5 -7.6 -9.4 -8.1 -9.2 -20.0 -13.0 -20.0 -18.8 -13.1 -17.1 -8.0 -17.9 -9.1 0.1 -12.2 -8.9 -15.3 -7.5 -16.5 -8.6 -17.9 -7.1 -5.8 -9.3 -11.3 -8.5 -14.3 2.5 -13.1 ROBUSTA -16.2 -6.5 7.6 -11.9 -7.8 -15.6 -6.1 -15.3 -7.8 -9.1 1.7 -9.1 -0.1 -7.4 -1.4 12.9 12.8 10.7 11.3 -3.0 0.6 -14.0 1.4 -9.8 -20.0 -2.8 -13.6 0.1 -11.6 1.3 -8.2 20.0 -18.8 -4.6 -1.2 20.0 -3.0 17.4 10.6 20.0 RUSSELL 19.7 -5.3 5.5 5.0 1.2 7.7 5.5 8.7 4.9 3.8 13.0 11.4 11.3 11.1 10.7 -4.3 -5.3 -4.7 -4.9 9.4 9.9 12.0 9.2 12.2 6.2 6.4 2.3 7.8 9.0 7.7 8.5 0.6 6.1 16.3 0.4 4.2 -6.6 -20.0 -12.1 -20.0 SHATZ -13.5 -9.5 -8.5 -8.4 -5.7 -2.8 -14.5 -2.5 -14.8 -10.0 -15.5 -14.2 -6.4 -16.3 -15.8 -19.7 -17.0 -15.7 -15.3 -16.6 -11.9 -20.0 -7.8 -20.0 8.5 -20.0 -14.8 -13.0 -20.0 -7.5 -20.0 -20.0 -20.0 -20.0 -19.7 -15.9 13.9 20.0 20.0 20.0 SILVER-mini 20.0 14.2 3.6 13.3 18.0 18.1 14.5 18.4 11.2 11.6 13.9 13.7 13.5 13.9 14.1 -5.3 -6.4 -5.7 -6.0 20.0 20.0 20.0 19.8 20.0 -10.3 20.0 17.5 20.0 20.0 20.0 20.0 0.0 20.0 20.0 20.0 20.0 4.9 20.0 -7.7 -1.4 SMI 14.5 10.3 13.1 7.3 1.8 11.3 8.0 12.7 7.1 10.5 18.5 17.2 14.2 19.1 19.4 7.5 4.2 6.2 4.9 20.0 18.7 15.3 13.9 20.0 12.3 20.0 14.3 17.3 15.9 11.1 20.0 17.0 4.6 18.6 18.3 12.1 5.9 20.0 7.6 20.0 SOFR -8.4 -11.2 -6.2 -10.6 -7.2 -3.5 -18.3 -3.1 -18.7 -14.3 9.9 -17.2 15.1 -15.0 -11.5 7.4 5.8 7.3 6.9 -6.9 3.7 -18.9 11.0 -15.3 -20.0 -6.1 -13.5 4.3 -19.1 10.7 -14.8 5.1 -13.7 7.2 1.7 4.9 -8.6 -15.9 -7.6 -20.0 SOYBEAN -11.9 8.8 10.8 -20.0 -17.7 -20.0 -13.7 -20.0 -17.7 -19.2 14.9 -19.9 4.8 2.5 10.8 -1.3 -5.2 -2.3 -4.5 7.2 10.1 -19.2 1.8 -6.6 -7.5 8.2 -20.0 16.1 -20.0 7.4 -11.1 1.1 -20.0 -12.5 20.0 20.0 -20.0 -7.3 -20.0 -3.0 SOYMEAL -20.0 16.3 20.0 -16.6 -10.8 -20.0 -8.4 -20.0 -10.9 -10.3 2.7 -13.5 -7.8 -1.4 3.2 -11.6 -15.1 -13.9 -15.5 2.9 4.0 -14.4 -3.3 -7.8 -12.4 9.8 -9.3 10.3 -12.4 0.2 -3.4 -16.9 -16.0 -13.4 20.0 20.0 -16.5 -20.0 -7.3 -20.0 SOYOIL 0.3 0.6 -8.5 -20.0 -17.8 -20.0 -13.8 -20.0 -17.9 -20.0 -1.8 -16.8 8.9 -0.0 -10.1 -8.1 -5.2 -7.9 -6.7 -2.4 -0.0 -19.0 6.4 -6.1 -20.0 -8.9 -20.0 -3.4 -20.0 2.3 -15.7 0.1 -20.0 -5.6 1.8 13.3 -20.0 -18.1 -20.0 -20.0 SP400 18.7 -0.7 -0.6 5.2 1.3 8.1 5.7 9.1 5.1 2.7 12.5 11.7 7.1 11.7 8.1 -5.5 -5.9 -5.7 -5.7 6.5 5.0 11.6 4.7 10.9 1.0 3.1 4.3 1.7 9.0 1.5 7.4 -0.6 2.7 13.3 2.5 -8.2 -6.0 -20.0 -9.2 -20.0 SP500_micro 9.4 -6.1 -3.7 6.1 1.5 9.4 6.7 10.6 5.9 -11.9 16.6 12.5 16.8 10.4 11.6 -8.6 -9.5 -9.1 -9.2 10.7 17.0 3.4 20.0 7.6 -17.6 4.1 -5.9 9.3 0.6 12.7 2.4 -6.6 -11.3 -1.0 1.6 1.8 -1.6 -20.0 -2.1 -20.0 SUGAR11 14.7 0.2 -9.5 -17.7 -11.6 -20.0 -9.0 -20.0 -11.6 5.9 -13.2 6.3 -14.4 0.3 -9.4 19.3 10.3 14.6 9.7 -8.3 -15.8 4.5 -17.7 0.6 -20.0 -9.2 6.5 -16.7 5.6 -17.4 0.8 20.0 11.8 15.4 -4.5 0.5 -12.5 -18.8 -4.7 -14.7 US10 -6.7 -8.7 2.2 -8.6 -5.9 -2.8 -14.9 -2.5 -15.2 -9.0 11.0 -12.6 5.4 -11.1 -1.2 1.9 0.4 2.0 1.6 -2.3 4.5 -10.9 6.4 -8.7 -7.8 -0.7 -6.6 6.6 -9.9 9.1 -7.3 -4.1 -3.5 10.2 4.7 10.7 -19.5 -20.0 -13.3 -20.0 US10U -6.8 -8.9 5.6 -11.7 -8.0 -3.9 -20.0 -3.4 -20.0 -18.7 15.4 -20.0 3.7 -17.3 3.1 1.5 -0.7 1.1 0.3 -1.6 7.2 -15.2 7.5 -11.0 -13.6 0.7 -14.5 12.3 -16.4 14.1 -10.9 -6.5 -6.7 12.0 7.5 20.0 -9.9 -12.4 -10.6 -20.0 US2 -3.6 -9.0 -1.0 -8.6 -5.9 -2.9 -15.0 -2.5 -15.3 4.6 -0.4 -4.6 -3.3 -10.5 -8.1 -11.4 -14.9 -12.3 -12.8 -5.0 -0.7 -2.6 1.0 -6.5 17.2 -4.3 8.0 0.7 -1.1 4.2 -5.5 -20.0 12.5 12.8 -0.2 2.9 -19.1 -11.1 -20.0 -20.0 US20 -9.9 -11.5 7.3 -7.9 -5.4 -2.6 -13.7 -2.3 -14.0 -12.6 7.6 -14.3 -3.8 -14.4 -0.2 3.9 3.1 4.0 3.8 -3.8 2.6 -12.8 2.1 -10.6 -9.1 -3.1 -14.0 5.5 -14.3 6.0 -11.3 0.1 -6.7 2.9 0.7 12.0 -0.7 13.8 -2.2 -16.9 US30 -9.2 -10.5 7.7 -9.3 -6.3 -3.1 -16.1 -2.7 -16.5 -15.8 4.7 -17.4 -8.8 -18.1 -1.6 1.2 -1.9 0.2 -0.8 -5.5 0.7 -14.6 -1.3 -12.4 -5.3 -5.2 -18.9 4.0 -17.7 3.3 -14.4 -8.4 -6.1 2.7 0.7 11.3 -0.6 8.2 -0.3 -14.5 US5 -5.6 -8.4 -1.0 -8.9 -6.0 -2.9 -15.4 -2.6 -15.7 -6.4 9.1 -11.4 5.3 -10.9 -4.9 -0.7 -3.0 -1.4 -1.9 -3.3 2.9 -8.9 5.6 -8.2 -3.2 -2.2 -2.4 4.5 -7.8 8.2 -7.2 -10.1 0.6 11.1 3.8 7.0 -20.0 -17.7 -20.0 -20.0 VIX -18.4 -2.7 -5.9 -12.0 -15.0 -8.6 -20.0 -3.8 -18.5 -18.3 -20.0 -20.0 -13.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -15.5 -11.4 -20.0 -7.5 -20.0 NaN -13.7 -15.2 -9.5 -20.0 -4.5 -20.0 NaN NaN NaN NaN NaN -4.3 -20.0 NaN NaN WHEAT -10.8 5.5 3.5 -20.0 -17.5 -20.0 -13.6 -20.0 -17.5 -19.8 -19.3 -20.0 -20.0 -15.9 -12.7 -15.6 -17.9 -16.7 -17.3 -10.0 -12.7 -15.3 -19.7 -12.9 11.1 -7.7 -20.0 -7.0 -17.6 -12.2 -13.3 -20.0 -6.9 -11.4 16.4 20.0 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3