******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230926_204335 produced at 2023-09-26 21:39:56.094319 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 0.08 0.00 -1.85 0.0 0.00 0.00 0.00 0.00 -22.67 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.37 0.0 0.00 0.00 0.00 0.00 -5.36 13.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.31 0.0 0.00 0.00 0.00 0.00 -8.30 24.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.10 -0.25 0.0 0.11 -0.11 -0.10 -0.11 -38.08 17.0 -16 -17 caleb_strategy_v3 GOLD_micro False False 0.01 -0.17 -0.21 0.0 0.36 -0.36 -0.17 -0.14 -32.31 56.0 -26 -22 caleb_strategy_v3 COPPER False False 0.03 -0.12 -0.20 0.0 0.19 -0.19 -0.12 -0.15 -6.56 6.0 -4 -5 caleb_strategy_v3 CHF False False 0.05 -0.47 -0.20 0.0 0.61 -0.61 -0.47 -0.42 -4.36 13.0 -10 -9 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.15 0.0 0.89 -0.89 -0.04 0.00 -4.16 25.0 -1 0 caleb_strategy_v3 JPY False False 0.03 -0.12 -0.11 0.0 0.49 -0.49 -0.12 -0.09 -3.99 17.0 -4 -3 caleb_strategy_v3 EUR False False 0.04 -0.31 -0.11 0.0 0.63 -0.63 -0.31 -0.49 -2.34 14.0 -7 -11 caleb_strategy_v3 CAD False False 0.03 0.00 -0.08 0.0 0.73 -0.73 0.00 0.00 -3.27 29.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.06 -0.08 0.0 0.07 -0.07 -0.06 -0.06 -27.53 26.0 -22 -22 caleb_strategy_v3 RUSSELL False False 0.00 -0.02 -0.08 0.0 0.21 -0.21 -0.02 -0.02 -26.69 68.0 -8 -8 caleb_strategy_v3 BOBL False False 0.04 -0.33 -0.08 0.0 0.79 -0.79 -0.33 -0.33 -2.00 19.0 -8 -8 caleb_strategy_v3 US10 False False 0.04 0.00 -0.08 0.0 0.62 -0.62 0.00 0.00 -2.18 17.0 0 0 caleb_strategy_v3 SP400 False False 0.08 -0.08 -0.08 0.0 0.17 -0.17 -0.08 -0.08 -0.98 2.0 -1 -1 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.07 0.0 0.35 -0.35 -0.01 -0.01 -9.59 48.0 -1 -1 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.07 0.0 0.38 -0.38 -0.01 -0.10 -11.51 66.0 -2 -17 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 -0.06 0.0 0.87 -0.87 0.00 0.00 -0.69 10.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 -0.06 0.0 0.57 -0.57 0.00 0.00 -2.47 22.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.06 0.0 0.41 -0.41 0.00 0.00 -2.96 19.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.00 -0.06 0.0 0.39 -0.39 0.00 0.00 -1.42 10.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 -0.04 -0.06 0.0 0.05 -0.05 -0.04 -0.04 -64.19 59.0 -43 -43 caleb_strategy_v3 US10U False False 0.04 -0.11 -0.05 0.0 0.49 -0.49 -0.11 -0.11 -1.32 13.0 -3 -3 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.05 0.0 0.23 -0.23 0.00 -0.01 -4.59 23.0 0 -1 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.04 0.0 0.01 -0.01 0.00 0.00 -8.48 3.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.04 0.0 0.06 -0.06 0.00 0.00 -3.48 5.0 0 0 caleb_strategy_v3 CORN False False 0.01 0.00 -0.03 0.0 0.10 -0.10 0.00 0.00 -3.84 12.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.04 -0.03 0.0 0.10 -0.10 -0.04 -0.04 -2.17 8.0 -3 -3 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.03 0.0 0.19 -0.19 0.00 0.00 -9.09 51.0 0 0 caleb_strategy_v3 US20 False False 0.04 -0.16 -0.03 0.0 0.35 -0.35 -0.16 -0.16 -0.70 9.0 -4 -4 caleb_strategy_v3 PALLAD False False 0.04 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -0.68 2.0 -1 -1 caleb_strategy_v3 OAT False False 0.04 0.00 -0.03 0.0 0.44 -0.44 0.00 0.00 -0.72 10.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.03 0.0 0.42 -0.42 0.00 0.00 -1.24 21.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -0.95 0.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.16 -0.02 0.0 0.24 -0.24 -0.16 -0.12 -0.50 6.0 -4 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.15 2.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.10 -0.10 -0.03 -0.03 -2.14 9.0 -3 -3 caleb_strategy_v3 BUND False False 0.05 0.00 -0.02 0.0 0.46 -0.46 0.00 0.00 -0.50 10.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 -0.04 -0.02 0.0 0.12 -0.12 -0.04 -0.04 -1.02 6.0 -2 -2 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.04 -0.04 0.00 0.00 -0.58 4.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -0.73 9.0 0 0 caleb_strategy_v3 BUXL False False 0.04 -0.18 -0.01 0.0 0.18 -0.18 -0.18 -0.18 -0.32 4.0 -4 -4 caleb_strategy_v3 COTTON2 False False 0.01 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.03 11.0 0 0 caleb_strategy_v3 CAC False False 0.03 0.10 0.00 0.0 0.31 -0.31 0.10 0.08 0.16 12.0 4 3 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.00 0.0 0.16 -0.16 0.00 -0.05 -0.23 10.0 0 -3 caleb_strategy_v3 DAX False False 0.01 0.00 0.00 0.0 0.32 -0.32 0.00 0.00 0.82 58.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 0.00 0.0 0.12 -0.12 0.00 0.01 0.02 10.0 0 1 caleb_strategy_v3 SOYBEAN False False 0.02 0.00 -0.00 0.0 0.15 -0.15 0.00 0.00 -0.17 7.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.16 0.00 0.0 0.37 -0.37 0.16 0.16 0.09 9.0 4 4 caleb_strategy_v3 EUROSTX False False 0.01 0.00 0.01 0.0 0.30 -0.30 0.00 0.00 0.72 20.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.01 0.0 0.17 -0.17 0.00 0.00 1.38 18.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.00 0.01 0.0 0.31 -0.31 0.00 0.00 0.51 26.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.18 -0.18 0.03 0.03 1.05 23.0 4 4 caleb_strategy_v3 GASOLINE False False 0.04 0.14 0.04 0.0 0.14 -0.14 0.14 0.14 1.21 4.0 4 4 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.04 0.0 0.13 -0.13 0.00 0.00 0.85 3.0 0 0 caleb_strategy_v3 OJ False True 0.02 0.00 0.05 0.0 0.00 0.00 0.00 0.00 2.79 3.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.06 0.05 0.0 0.13 -0.13 0.06 0.05 5.02 13.0 6 5 caleb_strategy_v3 LIVECOW False False 0.03 0.05 0.05 0.0 0.44 -0.44 0.05 0.03 1.78 17.0 2 1 caleb_strategy_v3 GASOIL False False 0.03 0.06 0.07 0.0 0.12 -0.12 0.06 0.06 2.42 4.0 2 2 caleb_strategy_v3 FEEDCOW False False 0.04 0.35 0.07 0.0 0.35 -0.35 0.35 0.35 1.70 8.0 8 8 caleb_strategy_v3 DX False False 0.04 0.00 0.14 0.0 35948301.41 -35948301.41 0.00 0.00 3.86 999999999.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.50 0.16 0.0 0.53 -0.53 0.50 0.50 4.83 16.0 15 15 caleb_strategy_v3 MXP False False 0.01 0.34 0.19 0.0 0.57 -0.57 0.34 0.34 20.05 60.0 35 35 caleb_strategy_v3 NIKKEI False False 0.01 0.26 0.27 0.0 0.27 -0.27 0.26 0.23 37.02 36.0 35 31 caleb_strategy_v3 CRUDE_W False False 0.03 0.12 0.28 0.0 0.15 -0.15 0.12 0.15 9.32 5.0 4 5 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 18.5 Shocked risk 53.3 Sum abs risk 63.4 Leverage 6.70 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2946314.45, 'annual_cash_vol_target': 736578.6125, 'daily_cash_vol_target': 46036.16328125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0039 0.6412 0.6043 9.6689 BITCOIN 683.3587 26315.0000 2.5968 41.5495 BOBL 0.2422 115.7200 0.2093 3.3485 BTP 0.6448 109.7400 0.5875 9.4007 BUND 0.5168 128.7900 0.4013 6.4206 BUXL 1.2552 122.7200 1.0228 16.3647 CAC 57.2461 7079.0000 0.8087 12.9388 CAD 0.0027 0.7405 0.3653 5.8454 CANOLA 7.6824 723.1000 1.0624 16.9988 CHF 0.0044 1.1024 0.3980 6.3673 COCOA 43.7116 3490.0000 1.2525 20.0397 COFFEE 2.6293 151.2500 1.7384 27.8141 COPPER 0.0366 3.6440 1.0033 16.0534 CORN 6.3412 508.5000 1.2470 19.9525 COTTON2 1.1701 88.3700 1.3241 21.1850 CRUDE_W 0.9277 88.8600 1.0440 16.7036 DAX 114.5332 15350.0000 0.7461 11.9383 DOW 207.0008 33869.0000 0.6112 9.7789 DX 0.3613 105.9150 0.3411 5.4584 EUR 0.0047 1.0607 0.4466 7.1461 EURIBOR-ICE 0.0482 96.9350 0.0497 0.7956 EUROSTX 37.8318 4144.0000 0.9129 14.6069 FEEDCOW 1.7978 260.3250 0.6906 11.0494 GASOIL 13.8385 897.7500 1.5415 24.6634 GASOLINE 0.0330 2.4564 1.3453 21.5246 GAS_US_mini 0.0792 3.2650 2.4266 38.8253 GBP 0.0060 1.2165 0.4908 7.8529 GOLD_micro 9.7195 1899.2000 0.5118 8.1883 HEATOIL 0.0430 3.0270 1.4194 22.7097 JGB-SGX-mini 0.2045 145.2400 0.1408 2.2525 JPY 0.0000 0.0068 0.5572 8.9144 LEANHOG 1.3399 72.4000 1.8507 29.6109 LIVECOW 1.2305 188.5250 0.6527 10.4436 LUMBER-new 8.3858 507.0000 1.6540 26.4641 MILK 0.2349 17.5300 1.3401 21.4409 MXP 0.0004 0.0564 0.7700 12.3206 NASDAQ_micro 143.1849 14704.2500 0.9738 15.5802 NIKKEI 275.4589 32480.0000 0.8481 13.5694 NZD 0.0035 0.5948 0.5914 9.4625 OAT 0.5422 123.3300 0.4396 7.0335 OATIES 7.9114 450.0000 1.7581 28.1293 OJ 4.5960 349.4000 1.3154 21.0461 PALLAD 18.0789 1226.0000 1.4746 23.5940 PLAT 12.8416 913.9000 1.4051 22.4823 REDWHEAT 11.2356 717.7500 1.5654 25.0463 RICE 0.1715 16.5000 1.0396 16.6343 ROBUSTA 30.6229 2349.0000 1.3037 20.8585 RUSSELL 16.0639 1783.1000 0.9009 14.4144 SHATZ 0.0754 104.9500 0.0718 1.1493 SILVER-mini 0.3274 23.4875 1.3941 22.3053 SMI 74.1071 10987.0000 0.6745 10.7920 SOFR 0.0616 96.0450 0.0642 1.0264 SOYBEAN 13.2149 1266.2500 1.0436 16.6980 SOYMEAL 4.9242 390.1000 1.2623 20.1966 SOYOIL 0.8069 56.9500 1.4169 22.6708 SP400 20.5761 2496.0000 0.8244 13.1898 SP500_micro 32.5658 4312.0000 0.7552 12.0838 SUGAR11 0.3278 25.0000 1.3110 20.9760 US10 0.3704 108.1250 0.3425 5.4806 US10U 0.5337 111.7344 0.4777 7.6426 US2 0.0916 101.3008 0.0904 1.4468 US20 0.8406 114.4062 0.7347 11.7559 US30 1.2604 119.0625 1.0586 16.9374 US5 0.2325 105.2734 0.2209 3.5340 VIX 0.4982 19.0000 2.6219 41.9499 WHEAT 10.5630 672.5000 1.5707 25.1312 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 641.15 0.60 387.45 1.00 387.45 46036.16 118.82 -9.60 -114.05 BITCOIN 26.32 2.60 68.34 1.00 68.34 46036.16 673.67 -8.80 -592.75 BOBL 1157.20 0.21 242.18 1.06 257.80 46036.16 178.57 -11.03 -197.04 BTP 1097.40 0.59 644.77 1.06 686.36 46036.16 67.07 -6.19 -41.51 BUND 1287.90 0.40 516.82 1.06 550.15 46036.16 83.68 -5.85 -48.99 BUXL 1227.20 1.02 1255.17 1.06 1336.13 46036.16 34.45 -9.21 -31.74 CAC 707.90 0.81 572.46 1.06 609.38 46036.16 75.55 0.63 4.75 CAD 740.45 0.37 270.51 1.00 270.51 46036.16 170.18 -7.40 -125.86 CANOLA 144.62 1.06 153.65 0.74 113.91 46036.16 404.13 -9.25 -373.81 CHF 1377.94 0.40 548.36 1.00 548.36 46036.16 83.95 -20.00 -167.90 COCOA 349.00 1.25 437.12 1.00 437.12 46036.16 105.32 2.25 23.71 COFFEE 567.19 1.74 985.99 1.00 985.99 46036.16 46.69 -18.62 -86.94 COPPER 911.00 1.00 914.04 1.00 914.04 46036.16 50.37 -12.03 -60.59 CORN 254.25 1.25 317.06 1.00 317.06 46036.16 145.20 -10.86 -157.75 COTTON2 441.85 1.32 585.04 1.00 585.04 46036.16 78.69 0.15 1.18 CRUDE_W 888.60 1.04 927.67 1.00 927.67 46036.16 49.63 17.34 86.03 DAX 153.50 0.75 114.53 1.06 121.92 46036.16 377.59 0.63 23.93 DOW 169.34 0.61 103.50 1.00 103.50 46036.16 444.79 -11.13 -495.23 DX 1059.15 0.34 361.33 1.00 361.33 46036.16 127.41 11.67 148.71 EUR 1325.81 0.45 592.15 1.00 592.15 46036.16 77.74 -11.62 -90.31 EURIBOR-ICE 2423.38 0.05 120.51 1.06 128.28 46036.16 358.88 -0.56 -20.23 EUROSTX 414.40 0.91 378.32 1.06 402.72 46036.16 114.31 1.85 21.11 FEEDCOW 1301.62 0.69 898.88 1.00 898.88 46036.16 51.21 10.00 51.21 GASOIL 897.75 1.54 1383.85 1.00 1383.85 46036.16 33.27 16.76 55.76 GASOLINE 1031.69 1.35 1387.92 1.00 1387.92 46036.16 33.17 8.44 27.99 GAS_US_mini 81.62 2.43 198.07 1.00 198.07 46036.16 232.42 -10.94 -254.19 GBP 760.31 0.49 373.17 1.00 373.17 46036.16 123.37 -7.71 -95.11 GOLD_micro 189.92 0.51 97.20 1.00 97.20 46036.16 473.65 -20.00 -947.29 HEATOIL 1271.34 1.42 1804.49 1.00 1804.49 46036.16 25.51 7.66 19.54 JGB-SGX-mini 145240.00 0.14 20447.22 0.01 137.81 46036.16 334.05 1.34 44.61 JPY 849.75 0.56 473.44 1.00 473.44 46036.16 97.24 -15.80 -153.61 LEANHOG 289.60 1.85 535.96 1.00 535.96 46036.16 85.90 9.62 82.61 LIVECOW 754.10 0.65 492.22 1.00 492.22 46036.16 93.53 5.74 53.70 LUMBER-new 139.43 1.65 230.61 1.00 230.61 46036.16 199.63 -20.00 -399.26 MILK 350.60 1.34 469.82 1.00 469.82 46036.16 97.99 -16.58 -162.42 MXP 282.10 0.77 217.23 1.00 217.23 46036.16 211.93 6.44 136.59 NASDAQ_micro 294.08 0.97 286.37 1.00 286.37 46036.16 160.76 -12.28 -197.48 NIKKEI 32480.00 0.85 27545.89 0.01 185.96 46036.16 247.56 13.81 341.84 NZD 594.75 0.59 351.74 1.00 351.74 46036.16 130.88 -3.65 -47.82 OAT 1233.30 0.44 542.15 1.06 577.12 46036.16 79.77 -2.64 -21.05 OATIES 225.00 1.76 395.57 1.00 395.57 46036.16 116.38 -7.61 -88.53 OJ 524.10 1.32 689.39 1.00 689.39 46036.16 66.78 19.52 130.35 PALLAD 1226.00 1.47 1807.89 1.00 1807.89 46036.16 25.46 -7.87 -20.05 PLAT 456.95 1.41 642.08 1.00 642.08 46036.16 71.70 -0.92 -6.61 REDWHEAT 358.88 1.57 561.78 1.00 561.78 46036.16 81.95 -20.00 -163.89 RICE 330.00 1.04 343.08 1.00 343.08 46036.16 134.18 -1.78 -23.87 ROBUSTA 234.90 1.30 306.23 1.00 306.23 46036.16 150.33 5.99 90.02 RUSSELL 89.16 0.90 80.32 1.00 80.32 46036.16 573.16 -14.05 -805.50 SHATZ 1049.50 0.07 75.39 1.06 80.25 46036.16 573.65 -14.27 -818.37 SILVER-mini 587.19 1.39 818.59 1.00 818.59 46036.16 56.24 -4.96 -27.92 SMI 1098.70 0.67 741.07 1.10 815.92 46036.16 56.42 0.47 2.65 SOFR 2401.12 0.06 154.03 1.00 154.03 46036.16 298.87 -12.48 -373.07 SOYBEAN 633.12 1.04 660.75 1.00 660.75 46036.16 69.67 -2.60 -18.12 SOYMEAL 390.10 1.26 492.42 1.00 492.42 46036.16 93.49 -8.36 -78.12 SOYOIL 341.70 1.42 484.16 1.00 484.16 46036.16 95.08 0.25 2.35 SP400 2496.00 0.82 2057.61 1.00 2057.61 46036.16 22.37 -13.28 -29.71 SP500_micro 215.60 0.76 162.83 1.00 162.83 46036.16 282.73 -14.59 -412.50 SUGAR11 280.00 1.31 367.08 1.00 367.08 46036.16 125.41 5.17 64.85 US10 1081.25 0.34 370.37 1.00 370.37 46036.16 124.30 -13.85 -172.19 US10U 1117.34 0.48 533.71 1.00 533.71 46036.16 86.26 -12.04 -103.81 US2 2026.02 0.09 183.21 1.00 183.21 46036.16 251.28 -16.83 -423.03 US20 1144.06 0.73 840.59 1.00 840.59 46036.16 54.77 -10.12 -55.42 US30 1190.62 1.06 1260.38 1.00 1260.38 46036.16 36.53 -10.90 -39.81 US5 1052.73 0.22 232.52 1.00 232.52 46036.16 197.98 -16.60 -328.61 VIX 190.00 2.62 498.15 1.00 498.15 46036.16 92.41 -16.69 -154.25 WHEAT 336.25 1.57 528.15 1.00 528.15 46036.16 87.17 -18.51 -161.38 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -114.049 0.010 2.5 -2.959 BITCOIN -592.746 0.043 2.5 -64.191 BOBL -197.042 0.004 2.5 -1.998 BTP -41.506 0.014 2.5 -1.416 BUND -48.989 0.004 2.5 -0.497 BUXL -31.743 0.004 2.5 -0.322 CAC 4.755 0.014 2.5 0.162 CAD -125.855 0.010 2.5 -3.266 CANOLA -373.809 0.010 2.5 -9.095 CHF -167.905 0.010 2.5 -4.357 COCOA 23.710 0.009 2.5 0.508 COFFEE -86.941 0.005 2.5 -1.015 COPPER -60.590 0.043 2.5 -6.562 CORN -157.748 0.010 2.5 -3.838 COTTON2 1.175 0.009 2.5 0.025 CRUDE_W 86.031 0.043 2.5 9.317 DAX 23.925 0.014 2.5 0.816 DOW -495.231 0.009 2.5 -11.510 DX 148.712 0.010 2.5 3.859 EUR -90.313 0.010 2.5 -2.343 EURIBOR-ICE -20.234 0.014 2.5 -0.690 EUROSTX 21.106 0.014 2.5 0.720 FEEDCOW 51.214 0.013 2.5 1.697 GASOIL 55.763 0.017 2.5 2.417 GASOLINE 27.994 0.017 2.5 1.214 GAS_US_mini -254.190 0.043 2.5 -27.527 GBP -95.114 0.010 2.5 -2.468 GOLD_micro -947.290 0.014 2.5 -32.313 HEATOIL 19.545 0.017 2.5 0.847 JGB-SGX-mini 44.605 0.043 2.5 4.831 JPY -153.608 0.010 2.5 -3.986 LEANHOG 82.612 0.024 2.5 5.021 LIVECOW 53.699 0.013 2.5 1.780 LUMBER-new -399.255 0.008 2.5 -8.476 MILK -162.420 0.009 2.5 -3.479 MXP 136.586 0.059 2.5 20.048 NASDAQ_micro -197.479 0.009 2.5 -4.590 NIKKEI 341.842 0.043 2.5 37.020 NZD -47.816 0.010 2.5 -1.241 OAT -21.051 0.014 2.5 -0.718 OATIES -88.526 0.010 2.5 -2.154 OJ 130.345 0.009 2.5 2.792 PALLAD -20.051 0.014 2.5 -0.684 PLAT -6.614 0.014 2.5 -0.226 REDWHEAT -163.894 0.005 2.5 -2.174 RICE -23.869 0.010 2.5 -0.581 ROBUSTA 90.022 0.005 2.5 1.051 RUSSELL -805.499 0.013 2.5 -26.694 SHATZ -818.366 0.004 2.5 -8.299 SILVER-mini -27.919 0.014 2.5 -0.952 SMI 2.654 0.014 2.5 0.091 SOFR -373.070 0.024 2.5 -22.675 SOYBEAN -18.120 0.004 2.5 -0.169 SOYMEAL -78.117 0.004 2.5 -0.727 SOYOIL 2.347 0.004 2.5 0.022 SP400 -29.705 0.013 2.5 -0.984 SP500_micro -412.498 0.009 2.5 -9.587 SUGAR11 64.847 0.009 2.5 1.379 US10 -172.186 0.005 2.5 -2.182 US10U -103.811 0.005 2.5 -1.316 US2 -423.029 0.005 2.5 -5.361 US20 -55.425 0.005 2.5 -0.702 US30 -39.808 0.005 2.5 -0.504 US5 -328.611 0.005 2.5 -4.164 VIX -154.251 0.099 2.5 -38.078 WHEAT -161.375 0.005 2.5 -2.141 ===================== Position diags ===================== AUD 3.08 BITCOIN 72.96 BOBL 1.81 BTP 2.29 BUND 0.85 BUXL 0.35 CAC 2.58 CAD 4.42 CANOLA 9.83 CHF 2.18 COCOA 2.26 COFFEE 0.55 COPPER 5.45 CORN 3.53 COTTON2 1.69 CRUDE_W 5.37 DAX 12.88 DOW 10.34 DX 3.31 EUR 2.02 EURIBOR-ICE 12.24 EUROSTX 3.90 FEEDCOW 1.70 GASOIL 1.44 GASOLINE 1.44 GAS_US_mini 25.17 GBP 3.20 GOLD_micro 16.16 HEATOIL 1.11 JGB-SGX-mini 36.18 JPY 2.52 LEANHOG 5.22 LIVECOW 3.10 LUMBER-new 4.24 MILK 2.10 MXP 31.11 NASDAQ_micro 3.74 NIKKEI 26.81 NZD 3.40 OAT 2.72 OATIES 2.83 OJ 1.43 PALLAD 0.87 PLAT 2.45 REDWHEAT 1.09 RICE 3.26 ROBUSTA 1.76 RUSSELL 18.99 SHATZ 5.82 SILVER-mini 1.92 SMI 1.92 SOFR 18.16 SOYBEAN 0.65 SOYMEAL 0.87 SOYOIL 0.89 SP400 0.74 SP500_micro 6.57 SUGAR11 2.67 US10 1.58 US10U 1.09 US2 3.18 US20 0.69 US30 0.46 US5 2.51 VIX 22.81 WHEAT 1.16 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -3.0 -3.3 -2.7 NaN 0 BITCOIN -64.2 -71.5 -56.9 -43.0 -43 BOBL -2.0 -2.2 -1.8 -8.0 -8 BTP -1.4 -1.6 -1.2 0.0 0 BUND -0.5 -0.6 -0.4 0.0 0 BUXL -0.3 -0.4 -0.3 -4.0 -4 CAC 0.2 -0.1 0.4 4.0 4 CAD -3.3 -3.7 -2.8 0.0 0 CANOLA -9.1 -10.1 -8.1 NaN 0 CHF -4.4 -4.6 -4.1 -10.0 -10 COCOA 0.5 0.3 0.7 0.0 0 COFFEE -1.0 -1.1 -1.0 -2.0 -2 COPPER -6.6 -7.1 -6.0 -4.0 -4 CORN -3.8 -4.2 -3.5 0.0 0 COTTON2 0.0 -0.1 0.2 0.0 0 CRUDE_W 9.3 8.8 9.9 4.0 4 DAX 0.8 -0.5 2.1 0.0 0 DOW -11.5 -12.5 -10.5 -2.0 -2 DX 3.9 3.5 4.2 NaN 0 EUR -2.3 -2.5 -2.1 -7.0 -7 EURIBOR-ICE -0.7 -1.9 0.5 0.0 0 EUROSTX 0.7 0.3 1.1 0.0 0 FEEDCOW 1.7 1.5 1.9 8.0 8 GASOIL 2.4 2.3 2.6 2.0 2 GASOLINE 1.2 1.1 1.4 4.0 4 GAS_US_mini -27.5 -30.0 -25.0 -22.0 -22 GBP -2.5 -2.8 -2.1 0.0 0 GOLD_micro -32.3 -33.9 -30.7 -26.0 -26 HEATOIL 0.8 0.7 1.0 0.0 0 JGB-SGX-mini 4.8 1.2 8.4 15.0 15 JPY -4.0 -4.2 -3.7 -4.0 -4 LEANHOG 5.0 4.5 5.5 6.0 6 LIVECOW 1.8 1.5 2.1 2.0 2 LUMBER-new -8.5 -8.9 -8.1 NaN 0 MILK -3.5 -3.7 -3.3 NaN 0 MXP 20.0 16.9 23.2 35.0 35 NASDAQ_micro -4.6 -5.0 -4.2 0.0 0 NIKKEI 37.0 34.3 39.7 35.0 35 NZD -1.2 -1.6 -0.9 0.0 0 OAT -0.7 -1.0 -0.4 0.0 0 OATIES -2.2 -2.4 -1.9 NaN 0 OJ 2.8 2.6 2.9 NaN 0 PALLAD -0.7 -0.8 -0.6 -1.0 -1 PLAT -0.2 -0.5 0.0 0.0 0 REDWHEAT -2.2 -2.3 -2.1 -3.0 -3 RICE -0.6 -0.9 -0.3 NaN 0 ROBUSTA 1.1 0.9 1.2 4.0 4 RUSSELL -26.7 -28.6 -24.8 -8.0 -8 SHATZ -8.3 -8.9 -7.7 NaN 0 SILVER-mini -1.0 -1.1 -0.8 NaN 0 SMI 0.1 -0.1 0.3 4.0 4 SOFR -22.7 -24.5 -20.9 NaN 0 SOYBEAN -0.2 -0.2 -0.1 0.0 0 SOYMEAL -0.7 -0.8 -0.6 0.0 0 SOYOIL 0.0 -0.1 0.1 0.0 0 SP400 -1.0 -1.1 -0.9 -1.0 -1 SP500_micro -9.6 -10.2 -8.9 -1.0 -1 SUGAR11 1.4 1.1 1.6 0.0 0 US10 -2.2 -2.3 -2.0 NaN 0 US10U -1.3 -1.4 -1.2 -3.0 -3 US2 -5.4 -5.7 -5.0 NaN 0 US20 -0.7 -0.8 -0.6 -4.0 -4 US30 -0.5 -0.6 -0.5 -4.0 -4 US5 -4.2 -4.4 -3.9 -1.0 -1 VIX -38.1 -40.4 -35.8 -16.0 -16 WHEAT -2.1 -2.3 -2.0 -3.0 -3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 3.8 3.8 3.7 1.3 1.1 3.2 1.3 4.2 1.3 1.1 3.0 1.3 3.3 1.3 1.3 2.3 2.3 2.3 2.3 1.3 1.3 1.1 3.2 1.3 0.0 1.3 1.1 3.2 1.3 4.2 1.3 6.2 2.8 3.8 3.8 3.7 3.9 3.9 3.9 3.9 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 0.1 -0.4 -0.3 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.1 -0.4 -0.1 -0.4 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.3 -0.1 0.5 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 0.2 -0.2 -0.5 -0.3 -0.7 -0.2 0.1 BITCOIN 0.0 -0.6 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 0.1 0.0 0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 0.3 0.2 -0.3 -0.2 -0.3 0.7 -0.2 0.7 BOBL -0.4 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.0 -0.2 -0.3 -0.3 -0.1 -0.1 -0.1 -0.3 -0.1 1.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.7 0.0 0.0 0.1 0.1 -0.7 -0.7 -0.7 -0.6 BTP -0.5 -0.4 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.0 -0.2 -0.1 -0.1 -0.9 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.9 -0.2 -0.2 0.0 0.4 -0.4 -0.7 0.0 0.3 BUND -0.4 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.0 0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.3 -0.1 0.9 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 0.8 -0.0 0.0 0.1 0.1 -0.7 -0.7 -0.6 -0.1 BUXL -0.5 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.4 -0.1 0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.3 -0.2 -0.2 -0.1 0.1 -0.7 -0.7 -0.2 0.6 CAC -0.2 -0.3 -0.4 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 0.2 -0.2 0.7 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.2 0.4 -0.1 -0.7 -0.0 -0.2 0.0 -0.1 0.2 -0.1 0.3 0.2 -0.0 0.5 0.1 0.7 0.0 0.7 0.2 CAD 0.3 -0.5 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.0 -0.1 0.2 -0.4 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.1 -0.2 0.0 0.2 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 0.5 0.6 -0.1 -0.4 -0.7 -0.7 -0.7 -0.6 CANOLA -0.6 -0.4 0.6 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.0 -0.2 0.2 -0.1 0.1 -0.1 0.0 -0.2 -0.0 -0.2 -2.7 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.3 -0.5 -0.6 -0.3 0.5 -0.3 0.1 0.3 0.5 CHF -0.6 -0.6 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 -0.0 -0.2 0.4 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.2 0.2 -0.2 -1.5 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 -0.6 -0.4 -0.7 -0.7 -0.7 -0.7 COCOA -0.3 -0.1 0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 0.5 -0.1 0.7 0.0 0.2 -0.1 -0.0 -0.1 -0.1 0.2 0.2 -0.2 0.5 0.0 -1.8 0.1 -0.1 0.3 -0.1 0.4 -0.0 -0.5 -0.5 0.6 0.6 0.6 -0.0 -0.3 0.6 0.0 COFFEE 0.3 -0.1 -0.5 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.4 -0.1 -0.5 -0.1 -0.2 -0.1 0.0 -0.0 0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -2.7 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.3 0.6 -0.1 -0.6 -0.7 -0.7 -0.6 -0.3 COPPER -0.3 -0.2 -0.1 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.2 -0.3 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.1 -0.8 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.5 -0.3 -0.1 0.2 0.2 -0.7 0.4 -0.7 CORN -0.0 -0.5 -0.6 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.1 -1.5 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.2 0.2 0.2 -0.2 -0.0 -0.2 0.1 0.0 0.3 COTTON2 -0.1 0.1 0.4 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.3 -0.0 -0.3 0.0 0.1 -0.0 0.1 0.0 0.1 0.1 0.1 0.0 0.0 0.0 -2.7 0.1 0.1 0.1 0.0 0.1 0.0 0.1 0.3 0.6 0.6 0.3 -0.6 -0.5 0.3 0.4 CRUDE_W 0.6 0.6 0.6 0.1 -0.0 0.2 0.0 0.1 0.1 0.1 0.5 0.2 0.1 0.2 0.2 0.4 0.2 0.3 0.2 0.2 0.2 0.2 0.5 0.2 -1.0 0.1 0.0 0.2 0.0 0.2 0.1 -1.1 0.5 0.6 0.0 -0.0 0.7 0.4 0.7 0.3 DAX -0.2 -0.5 -0.5 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 0.0 -0.2 0.6 -0.2 -0.2 -0.2 -0.1 -0.2 -0.2 -0.1 -0.0 -0.2 0.2 -0.2 2.5 -0.1 -0.2 -0.1 -0.1 0.1 -0.1 -0.2 -0.1 -0.2 0.0 -0.3 0.7 0.0 0.7 0.3 DOW -0.4 -0.6 0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.2 -0.2 0.4 -0.2 -0.0 -0.2 -0.2 -0.2 -0.2 -0.1 0.0 -0.2 0.1 -0.2 -1.4 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.3 -0.3 0.0 0.1 0.6 -0.5 -0.2 -0.7 -0.3 DX 0.5 0.6 0.3 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.2 0.4 0.2 -0.3 0.2 0.2 0.2 0.1 0.1 0.1 0.2 0.2 0.2 0.2 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 0.7 0.5 0.6 0.6 0.2 0.0 0.3 0.1 0.7 EUR -0.5 -0.6 -0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 -0.3 -0.2 0.3 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 1.9 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.4 -0.4 -0.6 -0.5 -0.5 -0.2 -0.6 -0.1 -0.1 EURIBOR-ICE -0.3 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.2 -0.0 2.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.6 0.2 0.2 0.2 0.1 -0.7 -0.7 0.7 0.4 EUROSTX -0.2 -0.4 -0.5 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 0.1 -0.2 0.6 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.2 0.3 -0.2 0.7 -0.1 -0.2 -0.0 -0.1 0.1 -0.1 0.3 0.2 -0.1 0.2 -0.1 0.6 0.1 0.7 0.4 FEEDCOW 0.2 -0.1 0.5 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.5 0.1 0.7 0.2 0.2 -0.1 -0.4 -0.2 -0.4 0.2 0.2 0.1 0.5 0.2 -0.0 0.1 -0.1 0.3 0.0 0.4 0.1 -1.1 0.5 0.6 0.6 0.6 0.3 -0.3 0.7 0.0 GASOIL 0.1 0.6 0.6 0.1 -0.0 0.1 0.0 0.1 0.0 -0.1 0.5 0.1 0.2 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.1 0.5 0.2 1.6 0.1 -0.0 0.2 0.0 0.1 0.1 0.0 0.3 0.0 0.5 0.6 -0.7 0.1 -0.7 -0.1 GASOLINE -0.0 0.2 0.6 0.1 -0.0 0.2 0.0 0.1 0.1 -0.2 0.5 -0.1 0.3 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 -0.1 0.5 0.1 -2.7 0.1 -0.1 0.3 -0.0 0.3 0.0 1.1 -0.5 -0.6 -0.6 0.0 0.7 0.4 0.7 0.2 GAS_US_mini -0.3 -0.1 0.3 0.1 -0.0 0.2 0.0 0.1 0.0 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.1 -0.5 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.0 -0.6 -0.6 -0.6 0.0 0.2 -0.3 0.0 GBP -0.6 -0.6 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 0.0 -0.2 0.4 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -0.2 0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.5 -0.6 -0.5 -0.4 -0.0 0.5 0.1 0.7 GOLD_micro 0.0 -0.3 -0.5 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.2 -0.3 -0.2 0.2 -0.2 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.1 -0.1 -0.0 -0.1 -1.5 -0.0 -0.2 -0.1 -0.1 0.1 -0.0 -1.0 -0.3 0.2 -0.0 -0.3 -0.6 -0.7 -0.3 -0.7 HEATOIL 0.1 0.5 0.6 0.1 -0.0 0.1 0.0 0.1 0.0 -0.2 0.5 0.1 0.2 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.2 0.0 0.2 0.1 -0.6 0.1 0.6 0.2 -0.1 0.0 -0.2 JGB-SGX-mini -0.2 -0.5 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.2 -0.1 -0.1 0.4 0.4 0.3 0.3 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 0.2 0.2 0.0 0.1 -0.4 -0.3 0.3 0.3 JPY -0.1 -0.5 -0.5 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.4 -0.1 -0.5 -0.2 -0.2 -0.4 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 2.7 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 -1.1 -0.2 -0.3 -0.4 -0.6 -0.2 -0.7 -0.1 -0.7 LEANHOG 0.1 0.0 0.5 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 0.1 0.4 0.4 0.4 0.4 -0.0 -0.0 -0.1 -0.2 -0.0 1.7 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 1.1 -0.2 0.5 -0.0 -0.0 -0.4 -0.0 0.5 0.7 LIVECOW 0.3 -0.3 0.3 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 0.5 0.2 0.7 0.2 0.2 -0.4 -0.0 -0.4 -0.1 0.2 0.2 0.1 0.5 0.2 0.3 0.1 -0.0 0.3 0.0 0.4 0.1 -0.4 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.7 LUMBER-new -0.3 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.6 -0.2 -0.7 -0.3 -0.3 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 NaN -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -1.2 0.1 0.0 -0.3 -0.5 -0.6 -0.8 -0.2 -0.8 MILK -0.4 0.4 0.4 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.4 -0.1 0.0 -0.2 -0.4 -0.4 -0.4 -0.0 -0.1 -0.2 -0.4 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -1.1 -0.5 -0.1 0.2 -0.5 -0.7 -0.7 -0.5 -0.7 MXP -0.4 -0.4 -0.5 -0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.1 0.4 -0.0 0.6 -0.0 0.1 0.3 0.3 0.3 0.3 0.0 0.1 -0.1 0.5 -0.0 -2.7 0.0 -0.1 0.2 -0.0 0.4 -0.0 1.1 0.1 -0.3 0.3 0.4 0.7 0.3 0.7 0.7 NASDAQ_micro -0.4 -0.6 0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 0.2 -0.1 0.3 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.2 0.3 -0.1 -2.7 -0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.3 -0.2 -0.1 0.0 0.5 -0.1 -0.5 -0.3 -0.6 NIKKEI 0.2 -0.3 0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.5 0.0 0.6 0.1 0.1 0.2 0.2 0.2 0.2 0.1 0.2 -0.0 0.5 0.1 -1.2 0.1 -0.1 0.3 -0.0 0.4 0.0 1.1 0.5 0.6 0.6 0.6 0.1 0.1 -0.1 0.4 NZD 0.1 -0.5 -0.3 -0.0 -0.1 0.0 -0.1 0.1 -0.0 0.1 -0.4 0.1 -0.1 -0.1 -0.2 -0.0 0.0 0.0 0.0 -0.1 -0.1 0.0 -0.3 -0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.2 0.5 0.4 -0.1 -0.6 -0.0 -0.5 0.2 0.2 OAT -0.4 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 1.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.9 -0.0 0.0 0.1 0.1 -0.7 -0.7 -0.1 0.2 OATIES -0.6 -0.2 0.6 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.2 -0.1 -0.1 -0.1 0.0 -0.3 -0.1 -0.3 -0.3 0.0 0.1 -0.2 0.2 -0.2 -2.7 0.0 -0.0 0.1 -0.1 0.1 -0.0 -1.1 -0.5 -0.6 0.2 0.6 0.2 0.5 0.7 0.7 OJ 0.4 0.2 0.6 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.3 0.1 0.4 0.1 1.1 0.5 0.6 0.6 0.6 0.2 0.2 0.7 0.6 PALLAD 0.2 0.1 -0.5 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.1 -0.4 0.0 -0.6 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.5 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 0.1 0.0 0.1 0.3 -0.4 -0.5 -0.2 0.2 -0.0 PLAT -0.2 0.1 -0.4 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.1 -0.3 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 1.9 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 0.1 0.1 0.3 -0.2 0.0 -0.6 0.4 -0.5 REDWHEAT -0.1 -0.6 -0.4 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.4 -0.1 -0.6 -0.2 -0.2 -0.1 0.0 -0.1 -0.0 -0.2 -0.2 -0.1 -0.3 -0.2 -2.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 0.0 0.2 -0.6 -0.5 -0.7 -0.6 -0.6 -0.3 RICE -0.5 0.0 0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.2 -0.1 0.1 -0.0 0.1 -0.3 0.3 -0.1 0.2 0.1 0.1 -0.0 0.1 -0.0 -2.7 0.0 0.0 0.1 -0.0 0.0 -0.0 1.1 0.5 0.1 0.4 0.3 -0.2 -0.7 0.4 -0.3 ROBUSTA -0.0 -0.3 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 -0.1 0.5 0.0 -0.0 0.4 0.4 0.4 0.4 0.0 0.1 -0.1 0.5 -0.0 -2.3 0.0 -0.1 0.2 -0.0 0.4 -0.0 1.1 0.3 0.6 0.3 0.1 -0.0 -0.5 0.7 -0.1 RUSSELL -0.6 -0.6 0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.4 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.3 -0.1 -0.2 0.5 -0.4 -0.4 -0.7 -0.6 SHATZ -0.6 -0.1 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.1 -0.1 -0.1 -0.4 -0.1 1.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.9 0.0 -0.1 0.1 -0.0 -0.7 -0.7 -0.7 -0.7 SILVER-mini -0.3 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.0 1.0 0.0 -0.0 0.0 0.0 0.1 0.0 -0.2 0.0 -0.0 0.2 0.2 -0.6 -0.7 -0.2 -0.7 SMI 0.1 -0.2 -0.3 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.0 -0.1 0.2 -0.0 -0.1 0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 0.8 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.6 0.5 0.6 0.6 -0.1 -0.2 -0.5 -0.4 -0.4 SOFR -0.3 -0.5 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.0 0.2 0.1 -0.1 -0.7 -0.7 -0.4 -0.2 SOYBEAN -0.5 -0.0 0.4 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.2 -0.1 0.0 -0.1 0.1 0.2 0.4 0.2 0.3 -0.0 0.0 -0.1 0.0 -0.1 -2.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 -0.1 -0.1 -0.0 0.6 -0.5 0.1 -0.4 0.4 SOYMEAL -0.4 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 0.1 -0.1 -0.0 0.2 0.4 0.2 0.3 -0.0 -0.0 -0.1 0.0 -0.1 -2.7 -0.0 0.0 0.0 -0.0 0.1 -0.0 1.1 -0.0 -0.1 0.0 0.4 -0.7 -0.7 -0.6 -0.6 SOYOIL -0.6 -0.1 0.6 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.2 -0.1 0.0 -0.1 0.1 0.3 0.2 0.3 0.2 0.0 0.1 -0.2 0.1 -0.1 -2.7 -0.0 -0.1 0.1 -0.1 0.1 -0.0 0.8 -0.3 -0.3 0.0 0.6 0.0 0.2 0.7 0.7 SP400 -0.6 -0.6 0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.2 0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 0.1 -0.2 -1.6 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.1 -0.3 -0.0 -0.1 0.6 -0.1 -0.4 -0.6 -0.7 SP500_micro -0.5 -0.6 0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 0.2 -0.1 0.4 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.1 0.1 -0.2 0.3 -0.2 -2.3 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.4 -0.4 -0.2 -0.1 0.6 -0.2 -0.4 -0.5 -0.6 SUGAR11 0.6 0.4 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.5 0.1 0.6 0.2 0.2 0.1 0.2 0.0 0.1 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 -0.1 0.2 -0.0 0.4 0.0 0.5 0.1 0.6 0.6 0.1 -0.7 -0.7 0.3 -0.0 US10 -0.3 -0.5 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.1 -0.1 -0.1 -0.4 -0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.5 -0.1 0.1 -0.0 -0.2 -0.7 -0.7 0.3 0.0 US10U -0.3 -0.5 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.0 -0.0 -0.0 -0.0 -0.2 -0.2 -0.2 -0.4 -0.2 -0.5 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.2 0.0 -0.1 -0.2 -0.7 -0.7 0.7 0.6 US2 -0.2 -0.2 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.1 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.1 -0.5 -0.1 1.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.0 0.2 0.1 -0.3 -0.7 -0.7 -0.7 -0.7 US20 -0.2 -0.4 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.3 -0.0 -0.2 -0.2 -0.7 -0.7 0.7 0.7 US30 -0.2 -0.4 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -0.4 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.3 -0.0 -0.2 -0.1 -0.6 -0.7 0.7 0.7 US5 -0.3 -0.5 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.3 -0.2 -0.3 -0.3 -0.2 -0.2 -0.1 -0.4 -0.1 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.9 -0.0 0.1 0.0 -0.2 -0.7 -0.7 -0.1 -0.6 VIX 0.2 0.6 -0.2 -0.1 0.2 -0.4 0.1 -0.7 -0.0 0.3 -0.9 0.2 -1.2 -0.1 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 0.2 -0.9 -0.1 NaN -0.1 0.2 -0.5 0.1 -0.9 -0.0 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.3 -0.6 -0.4 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.0 -0.4 -0.1 -0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.2 0.1 -0.4 -0.2 -0.7 -0.5 -0.7 -0.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 2.4 -13.9 -10.4 -2.8 -6.4 1.0 -4.9 2.5 -4.5 -12.2 -15.8 -5.3 -10.1 -13.9 -15.8 -3.5 -2.9 -3.2 -3.1 -13.7 -14.3 -4.4 -12.6 -7.8 3.6 -5.0 -3.9 -4.9 -2.1 -4.1 -3.1 -1.3 7.2 6.0 -4.8 -16.4 -8.5 -20.0 -5.3 3.6 BITCOIN 1.5 -18.6 -4.4 -3.0 -12.2 -1.1 -5.6 1.1 -3.2 -16.1 3.1 0.8 3.9 -12.6 -15.7 -5.0 -4.3 -5.8 -5.4 -12.0 -5.2 -3.2 -0.7 -7.6 -20.0 -5.7 -3.6 -3.5 -1.6 -0.6 -3.5 -1.2 10.8 5.3 -8.7 -6.2 -7.9 20.0 -6.4 20.0 BOBL -13.4 -4.6 -6.4 -2.9 -2.9 -2.5 -3.3 -2.6 -3.1 -7.9 -5.7 -8.6 -8.1 -8.0 -7.5 0.1 -8.1 -13.0 -12.9 -6.6 -6.7 -8.3 -10.8 -8.0 10.4 -2.8 -3.0 -2.3 -3.9 -3.4 -3.6 -13.8 1.5 0.8 4.5 2.4 -20.0 -20.0 -20.0 -16.7 BTP -16.2 -12.6 -1.5 -4.0 -4.1 -3.4 -4.5 -3.6 -4.3 -11.4 0.4 -12.3 0.2 -11.9 -8.9 5.4 7.6 5.4 6.1 -8.5 -3.3 -17.9 -3.3 -13.6 -6.5 -3.5 -9.3 -1.1 -7.5 -0.6 -5.6 16.2 -7.2 -5.2 0.8 11.0 -12.1 -20.0 1.0 9.8 BUND -12.3 -6.9 -4.2 -2.9 -3.0 -2.5 -3.3 -2.6 -3.2 -8.4 -7.1 -9.0 -8.6 -8.4 -8.0 -0.5 7.3 2.9 4.9 -7.0 -6.7 -10.1 -10.2 -8.6 6.5 -2.9 -4.9 -2.3 -4.6 -3.0 -3.8 14.9 -0.4 0.2 2.7 3.4 -20.0 -20.0 -17.8 -1.9 BUXL -14.1 -10.1 -2.3 -3.3 -3.4 -2.9 -3.8 -3.0 -3.6 -9.5 -9.8 -10.3 -10.5 -10.1 -9.5 0.3 0.9 0.6 1.0 -10.7 -9.8 -15.7 -13.4 -13.1 1.2 -3.5 -6.3 -2.6 -5.6 -2.8 -4.5 6.2 -7.6 -5.2 -2.4 3.1 -20.0 -20.0 -7.5 18.3 CAC -5.9 -10.4 -13.2 -4.6 -13.0 -1.0 -10.5 1.7 -7.3 -19.7 7.5 -17.0 18.6 -16.3 -10.3 -6.7 -1.7 -6.1 -4.2 -7.1 1.4 -20.0 13.1 -12.7 -5.1 -3.9 -20.0 0.7 -13.8 6.0 -7.4 5.3 7.4 -0.1 14.2 4.4 20.0 1.0 20.0 6.4 CAD 9.6 -14.0 -3.1 -3.8 -8.8 1.4 -6.8 3.5 -6.2 -1.5 -3.9 16.5 -12.0 -6.0 -12.7 -2.5 -2.1 -2.3 -2.3 -9.1 -8.1 6.5 -7.8 0.4 1.4 -3.7 -1.7 -3.1 2.9 -2.4 0.4 0.0 20.0 20.0 -2.0 -13.0 -20.0 -20.0 -20.0 -18.7 CANOLA -20.0 -11.9 20.0 -2.0 -3.7 -1.4 -5.0 -2.0 -4.0 -10.1 4.5 -11.6 -3.5 -11.0 2.9 -10.5 8.7 -4.2 3.0 -7.3 1.5 -20.0 -0.5 -20.0 -20.0 -1.5 -5.0 -0.2 -5.8 -1.1 -4.5 6.4 -20.0 -20.0 -9.6 16.8 -9.8 3.2 10.2 16.3 CHF -20.0 -20.0 -2.1 -3.6 -8.4 1.4 -6.5 3.3 -5.9 -20.0 -1.5 -20.0 12.1 -20.0 -18.2 -17.3 -14.0 -16.0 -15.0 -20.0 -5.8 -20.0 6.9 -20.0 -11.0 -6.2 -13.4 -1.2 -12.5 1.4 -10.4 -20.0 -20.0 -20.0 -20.0 -12.2 -20.0 -20.0 -20.0 -20.0 COCOA -8.2 -4.2 6.4 -3.5 -6.4 -2.4 -8.7 -3.5 -7.0 -18.6 19.3 -11.8 19.8 4.0 15.1 -2.9 -2.3 -3.9 -3.0 17.0 20.0 -18.8 20.0 0.7 -13.4 5.6 -9.8 10.3 -6.5 11.4 -0.4 -9.0 -20.0 20.0 18.2 20.0 -0.8 -9.8 18.0 1.1 COFFEE 10.7 -1.9 -15.6 -3.6 -6.4 -2.4 -8.8 -3.5 -7.1 -15.2 -15.7 -7.7 -13.9 -9.5 -17.3 -3.1 1.7 -1.7 0.2 -11.0 -16.1 -10.3 -16.2 -5.3 -20.0 -4.5 -10.5 -4.7 -5.7 -3.6 -3.1 -2.6 10.4 17.4 -2.8 -20.0 -20.0 -20.0 -18.5 -10.2 COPPER -7.8 -6.8 -3.8 -2.4 -9.8 -0.9 -4.5 0.9 -2.6 -16.8 -10.5 -16.0 -3.3 -14.0 -10.1 -6.2 -2.9 -5.4 -4.2 -9.6 -7.8 -20.0 -6.7 -13.7 -6.1 -3.7 -13.9 -2.9 -11.0 -2.7 -6.7 1.2 -20.0 -10.1 -2.8 5.5 6.5 -20.0 12.6 -20.0 CORN -0.8 -15.1 -20.0 -2.2 -4.0 -1.5 -5.4 -2.2 -4.4 4.8 -11.8 -5.0 -11.1 -10.3 -12.7 -6.9 2.9 -6.8 -3.0 -11.4 -13.8 -1.8 -11.8 -6.4 -11.5 -3.3 0.5 -3.9 -0.9 -4.6 -2.6 -4.3 8.4 6.7 -6.1 -1.1 -4.8 3.2 1.4 9.2 COTTON2 -4.4 2.8 13.7 -2.9 -5.3 -2.0 -7.2 -2.9 -5.8 12.0 10.9 -0.7 -8.5 2.1 11.0 -1.8 5.5 2.3 3.5 7.0 6.9 4.3 1.1 4.0 -20.0 5.4 5.9 4.9 3.5 3.1 4.0 2.6 12.4 20.0 19.8 9.9 -17.4 -16.1 9.3 10.8 CRUDE_W 20.0 20.0 20.0 7.8 -2.7 6.5 0.5 3.8 4.9 5.9 20.0 20.0 3.4 20.0 20.0 20.0 10.6 15.5 11.9 20.0 20.0 20.0 20.0 20.0 -7.5 9.3 1.5 7.5 4.2 5.1 8.0 -20.0 20.0 20.0 1.2 -1.1 20.0 11.8 20.0 8.5 DAX -7.3 -14.1 -14.5 -4.4 -12.4 -0.9 -10.0 1.7 -6.9 -19.0 1.0 -19.1 16.0 -19.5 -17.3 -9.9 -7.5 -9.3 -8.7 -12.7 -2.9 -20.0 8.4 -18.7 19.0 -5.8 -19.3 -1.9 -13.3 2.2 -8.6 -3.7 -6.2 -5.8 1.3 -8.2 20.0 0.4 20.0 8.6 DOW -13.2 -18.8 4.2 -3.8 -10.7 -0.8 -8.6 1.4 -6.0 -16.1 6.6 -14.9 11.9 -14.2 -4.3 -11.7 -8.4 -11.4 -10.3 -7.0 2.0 -20.0 5.4 -16.7 -10.5 -1.9 -14.0 2.2 -10.3 3.8 -6.2 -5.9 -10.7 0.4 3.4 20.0 -13.9 -7.2 -20.0 -7.8 DX 15.2 20.0 9.8 -3.5 -8.1 1.3 -6.2 3.2 -5.7 20.0 14.7 20.0 -8.5 20.0 20.0 7.6 5.5 6.9 6.1 20.0 16.4 20.0 7.1 20.0 -20.0 7.3 8.5 4.2 7.5 2.5 8.1 13.6 20.0 20.0 20.0 5.2 0.1 7.7 3.7 20.0 EUR -14.6 -20.0 -6.6 -2.9 -6.8 1.1 -5.2 2.7 -4.7 -16.9 -10.6 -18.2 7.7 -18.7 -17.5 -6.7 -6.8 -6.7 -6.7 -19.0 -9.2 -20.0 -2.4 -20.0 14.2 -5.8 -6.9 -2.6 -6.7 -0.6 -7.0 -7.8 -18.1 -18.3 -14.0 -14.4 -7.3 -19.5 -2.7 -2.1 EURIBOR-ICE -7.8 0.2 -2.0 -2.6 -2.6 -2.2 -2.9 -2.3 -2.8 -5.2 -3.9 -6.6 -6.9 -5.0 -2.0 -9.5 -8.1 -9.4 -9.2 -3.0 -4.2 -4.0 -9.2 -3.8 17.7 -1.3 -0.9 -1.6 -1.8 -3.6 -1.7 -10.9 6.4 6.0 7.5 3.4 -20.0 -20.0 19.7 12.3 EUROSTX -7.0 -13.0 -14.0 -4.1 -11.7 -0.9 -9.4 1.6 -6.5 -17.7 3.8 -17.3 15.9 -18.2 -16.5 -5.5 -1.5 -5.1 -3.8 -9.7 -0.8 -20.0 10.2 -14.1 5.4 -5.2 -17.1 -1.0 -11.4 3.9 -7.6 5.7 6.7 -2.2 6.9 -2.5 18.8 3.2 20.0 12.6 FEEDCOW 5.1 -3.2 14.2 -4.2 -7.6 -2.9 -10.5 -4.1 -8.4 -12.7 20.0 9.3 20.0 17.7 20.0 -5.3 -20.0 -11.5 -20.0 20.0 20.0 7.4 20.0 20.0 -0.3 9.1 -6.0 10.0 2.0 10.2 7.3 -20.0 20.0 20.0 20.0 20.0 9.7 -8.5 20.0 1.2 GASOIL 4.5 19.6 20.0 5.8 -2.1 4.9 0.4 2.9 3.7 -12.7 16.7 12.0 5.7 15.8 19.2 20.0 20.0 20.0 20.0 20.0 20.0 10.3 19.0 20.0 11.7 7.0 -1.2 6.0 1.9 3.5 4.9 0.0 13.4 0.2 14.7 20.0 -20.0 2.4 -20.0 -3.8 GASOLINE -0.4 7.6 20.0 7.5 -2.6 6.3 0.5 3.7 4.8 -18.1 20.0 -4.9 7.2 5.4 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -12.3 20.0 9.7 -20.0 7.8 -6.6 9.9 -4.0 9.7 2.2 20.0 -20.0 -20.0 -20.0 0.4 20.0 12.2 20.0 4.9 GAS_US_mini -8.1 -3.2 10.3 7.2 -2.5 6.1 0.4 3.5 4.6 -15.5 -20.0 -19.5 -20.0 -20.0 -16.1 -20.0 -20.0 -20.0 -20.0 -12.5 -20.0 -8.6 -20.0 -11.9 20.0 -2.0 -4.9 -2.3 -3.5 -4.6 -3.3 -20.0 1.7 -20.0 -20.0 -20.0 0.4 6.1 -7.5 0.0 GBP -20.0 -20.0 -2.7 -3.5 -8.0 1.3 -6.2 3.2 -5.6 -20.0 1.7 -20.0 12.1 -20.0 -17.9 -0.4 -0.7 -0.1 -0.4 -20.0 -4.5 -20.0 4.2 -20.0 -0.7 -6.3 -10.8 -1.5 -11.0 0.3 -9.8 2.8 -20.0 -20.0 -16.8 -11.0 -1.4 14.2 3.9 20.0 GOLD_micro 0.3 -9.0 -15.3 -3.3 -13.3 -1.2 -6.1 1.2 -3.5 -18.5 -12.9 -15.7 5.2 -14.1 -17.3 -19.7 -14.2 -18.4 -16.5 -15.5 -13.1 -16.0 -1.8 -11.7 -11.4 -2.7 -18.7 -1.9 -7.7 1.8 -2.5 -19.2 -10.9 7.7 -0.3 -9.1 -16.5 -20.0 -9.4 -20.0 HEATOIL 1.7 14.7 20.0 6.5 -2.3 5.5 0.4 3.2 4.1 -17.9 17.2 6.4 4.7 12.8 19.9 20.0 20.0 20.0 20.0 20.0 20.0 3.8 20.0 20.0 -20.0 7.4 -2.0 7.6 0.1 5.7 3.6 3.1 6.1 -20.0 4.6 20.0 4.8 -1.8 1.1 -5.2 JGB-SGX-mini -5.6 -14.3 -19.2 -3.5 -3.5 -3.0 -4.0 -3.1 -3.8 -6.8 1.3 -9.1 4.9 -10.0 -10.3 20.0 20.0 17.3 17.2 -8.7 -4.0 -7.1 1.6 -8.5 -0.5 -3.3 -2.5 -1.9 -2.9 -0.6 -3.3 20.0 7.9 5.3 0.9 3.4 -13.5 -10.1 10.0 9.1 JPY -3.7 -16.0 -15.7 -2.3 -5.2 0.8 -4.0 2.1 -3.7 -12.9 -15.0 -13.9 -13.9 -14.8 -15.2 -17.8 -14.5 -17.0 -16.0 -20.0 -20.0 -12.6 -20.0 -16.1 20.0 -5.5 -3.7 -5.7 -3.7 -5.6 -4.5 -20.0 -7.3 -8.0 -12.0 -20.0 -5.0 -20.0 -2.9 -20.0 LEANHOG 2.9 0.8 14.8 -2.1 -3.9 -1.5 -5.3 -2.1 -4.2 -10.6 -1.4 -7.0 -5.0 -3.3 5.2 20.0 20.0 20.0 20.0 -0.3 -3.2 -7.2 -8.2 -2.2 12.6 -1.5 -6.7 -4.9 -4.1 -8.4 -1.5 20.0 -7.3 15.3 -0.6 -0.5 -10.5 -0.5 14.0 20.0 LIVECOW 9.1 -7.8 10.7 -4.2 -7.7 -2.9 -10.5 -4.2 -8.5 -3.4 20.0 15.1 20.0 18.6 20.0 -20.0 -1.4 -19.3 -5.0 20.0 20.0 10.6 20.0 20.0 2.2 9.2 -4.1 11.7 3.1 12.4 7.1 -6.8 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -20.0 LUMBER-new -6.9 -7.7 -4.0 -4.2 -7.6 -2.6 -10.4 -3.0 -8.3 -7.1 -20.0 -15.7 -20.0 -20.0 -20.0 -17.8 -14.1 -16.3 -14.9 -19.5 -17.5 -11.5 -14.3 -17.9 NaN -7.5 -0.5 -5.7 -4.9 -3.8 -7.5 -20.0 3.4 0.9 -8.5 -14.8 -15.1 -20.0 -6.1 -20.0 MILK -11.2 11.5 11.1 -2.1 -3.9 -1.5 -5.3 -2.1 -4.3 -11.1 -4.2 -11.0 -10.0 -6.7 3.8 -8.6 -20.0 -18.4 -20.0 -2.2 -7.1 -18.1 -14.9 -8.9 -0.1 -1.7 -6.4 -3.7 -6.3 -6.1 -3.4 -20.0 -20.0 -2.7 7.7 -15.6 -20.0 -20.0 -14.6 -20.0 MXP -12.1 -12.5 -15.1 -2.6 -6.0 1.0 -4.6 2.4 -4.2 -12.9 13.8 -2.9 16.2 -1.1 5.6 14.5 17.3 16.1 16.7 2.7 12.9 -7.7 20.0 -2.9 -20.0 1.1 -9.1 6.7 -4.4 11.2 -2.0 20.0 4.1 -9.3 8.9 11.1 20.0 8.1 20.0 20.0 NASDAQ_micro -13.7 -20.0 1.9 -2.6 -7.2 -0.5 -5.8 1.0 -4.0 -10.5 8.5 -9.5 8.5 -7.7 -1.3 -9.6 -8.3 -10.0 -9.6 -1.8 8.7 -18.0 12.3 -10.9 -20.0 -0.7 -7.3 3.9 -6.4 6.1 -4.1 -5.2 -10.2 -2.5 0.6 15.7 -2.8 -14.8 -8.5 -17.5 NIKKEI 6.7 -8.1 3.6 -4.0 -9.3 -0.6 -8.3 1.9 -6.0 -12.2 16.9 0.7 17.2 8.4 9.0 8.1 12.2 11.9 12.4 10.8 20.0 -3.6 20.0 5.6 -8.7 5.2 -6.2 10.1 -1.9 12.3 2.3 20.0 20.0 20.0 20.0 20.0 2.5 3.6 -2.1 11.1 NZD 4.3 -14.7 -10.2 -2.8 -6.4 1.0 -4.9 2.5 -4.5 9.5 -14.8 9.3 -2.3 -10.8 -15.3 -0.0 0.3 0.0 0.2 -12.5 -13.4 5.0 -11.0 -3.8 0.6 -4.4 2.6 -4.5 2.6 -3.5 -1.0 4.2 20.0 12.7 -2.6 -17.4 -0.4 -14.6 5.0 7.3 OAT -12.3 -6.6 -2.9 -3.1 -3.2 -2.7 -3.5 -2.8 -3.4 -8.8 -7.3 -9.4 -8.8 -8.8 -8.1 6.0 8.2 6.1 6.9 -7.0 -6.2 -10.9 -9.1 -9.0 8.5 -3.0 -5.6 -2.2 -5.1 -2.9 -4.0 17.5 -0.5 0.0 3.2 4.6 -20.0 -20.0 -3.5 6.0 OATIES -20.0 -6.6 20.0 -2.1 -3.8 -1.4 -5.2 -2.1 -4.2 -7.6 7.5 -10.0 -1.5 -7.5 4.1 -16.0 -5.9 -16.8 -13.3 1.6 10.8 -20.0 8.7 -14.8 -20.0 0.5 -2.5 2.4 -5.0 1.8 -3.2 -20.0 -20.0 -20.0 6.9 20.0 5.9 14.9 20.0 20.0 OJ 10.9 4.8 17.1 -3.7 -6.7 -2.6 -9.2 -3.7 -7.4 17.3 20.0 19.8 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 8.4 4.4 9.5 4.8 10.7 6.5 20.0 20.0 20.0 20.0 20.0 5.2 6.0 20.0 18.4 PALLAD 5.5 3.4 -15.6 -2.0 -8.2 -0.7 -3.8 0.7 -2.1 -11.6 -14.8 3.2 -16.1 -2.5 -11.2 -2.9 -2.6 -2.8 -2.8 -7.9 -20.0 -2.9 -20.0 -1.3 -0.7 -2.3 -6.4 -5.0 -1.9 -6.9 -0.5 2.4 2.1 3.1 8.9 -13.7 -13.7 -5.3 5.4 -1.0 PLAT -6.3 1.6 -13.1 -1.9 -7.5 -0.7 -3.5 0.7 -2.0 -8.3 -10.7 -7.2 -3.3 -4.3 -8.7 -3.6 -2.4 -3.4 -3.0 -6.1 -7.9 -5.3 -5.6 -3.9 14.5 0.7 -5.3 -0.7 -1.1 -0.8 1.3 2.5 4.6 2.3 10.8 -6.4 0.4 -18.5 12.2 -14.5 REDWHEAT -1.9 -20.0 -12.3 -2.9 -5.2 -2.0 -7.1 -2.8 -5.7 -12.7 -13.7 -13.4 -15.6 -16.5 -16.4 -3.8 1.2 -2.8 -0.6 -18.0 -15.7 -11.1 -11.8 -14.7 -16.5 -5.1 -3.7 -4.0 -4.2 -2.4 -4.8 -3.6 1.6 5.0 -19.2 -15.2 -20.0 -19.2 -17.0 -8.9 RICE -13.9 1.0 9.5 -2.9 -5.3 -2.0 -7.2 -2.9 -5.8 9.3 7.2 -5.2 3.5 -4.2 7.6 -16.4 14.2 -3.4 11.7 4.7 5.8 -0.9 3.5 -0.6 -20.0 0.8 4.7 2.0 -0.9 1.3 -1.8 20.0 20.0 2.2 11.3 9.5 -5.6 -19.7 11.4 -9.5 ROBUSTA -0.3 -9.6 -1.2 -3.0 -5.4 -2.1 -7.4 -2.9 -6.0 -14.2 12.0 -6.5 13.4 0.8 -2.3 20.0 20.0 20.0 20.0 4.1 13.3 -7.6 20.0 -0.1 -17.4 1.8 -8.9 6.6 -4.3 10.7 -0.4 20.0 13.2 20.0 8.9 3.6 -0.3 -13.5 19.9 -3.6 RUSSELL -20.0 -20.0 4.0 -3.8 -10.7 -0.8 -8.6 1.4 -6.0 -15.8 -3.8 -17.7 -3.0 -18.2 -9.9 -8.5 -6.0 -8.0 -7.2 -17.4 -5.4 -20.0 -2.4 -20.0 -3.1 -3.5 -9.4 -0.1 -9.1 1.2 -6.9 -1.2 -13.6 -3.9 -6.2 15.0 -11.0 -11.5 -20.0 -17.0 SHATZ -18.5 -4.1 -12.5 -2.7 -2.7 -2.3 -3.1 -2.4 -2.9 -2.2 -7.3 -6.5 -8.1 -7.0 -7.1 -20.0 -9.3 -20.0 -16.3 -8.6 -9.7 -7.4 -14.8 -9.5 11.2 -2.6 -0.4 -2.5 -2.5 -3.6 -3.2 -17.2 1.1 -1.8 3.4 -1.3 -20.0 -20.0 -20.0 -20.0 SILVER-mini -10.6 -5.6 -5.8 -1.8 -5.0 -0.6 -1.4 0.9 -1.1 6.7 -0.4 -5.4 4.7 -6.7 -7.7 -7.2 -6.0 -7.1 -6.7 -5.3 -2.7 -1.1 0.6 -4.5 7.8 1.1 -0.5 1.5 1.2 1.6 1.1 -3.9 0.5 -1.4 5.7 7.4 -18.7 -20.0 -6.6 -20.0 SMI 3.6 -5.4 -10.4 -4.1 -11.5 -0.8 -9.3 1.5 -6.4 -15.4 1.7 -6.3 5.7 -4.2 -9.4 2.4 1.2 -0.4 -0.5 -4.3 -3.4 -5.6 0.0 -2.2 5.8 -0.6 -10.0 -1.0 -3.2 -1.6 0.0 10.7 20.0 17.3 20.0 -3.7 -6.6 -14.8 -13.3 -13.3 SOFR -8.0 -15.2 -17.5 -3.8 -3.9 -3.3 -4.3 -3.4 -4.1 -8.9 -9.6 -10.2 -6.2 -10.3 -10.6 -2.3 -1.1 -2.1 -1.7 -13.1 -11.8 -12.4 -9.6 -12.5 -1.9 -4.0 -4.0 -3.5 -4.5 -2.8 -4.0 1.9 0.0 5.9 1.6 -2.9 -20.0 -20.0 -11.0 -4.8 SOYBEAN -15.3 -0.7 11.9 -2.1 -3.8 -1.4 -5.2 -2.1 -4.2 -6.2 5.6 -9.9 1.1 -7.3 4.7 7.9 18.0 9.2 13.1 -0.6 2.5 -8.7 1.2 -7.0 -20.0 -0.2 -1.2 1.1 -3.4 0.7 -2.8 20.0 -4.3 -3.8 -0.6 19.4 -14.6 2.4 -11.1 11.0 SOYMEAL -10.9 -2.0 -0.3 -2.3 -4.2 -1.6 -5.7 -2.3 -4.6 -1.2 -5.5 -9.2 2.2 -6.5 -3.6 10.4 18.1 11.7 15.8 -3.5 -1.9 -5.8 1.6 -6.2 -20.0 -0.5 0.6 1.4 -2.7 3.6 -2.7 20.0 -1.8 -2.2 0.8 10.8 -20.0 -20.0 -19.1 -18.6 SOYOIL -20.0 -3.9 20.0 -2.4 -4.3 -1.6 -5.9 -2.3 -4.8 -12.1 8.8 -12.7 0.4 -10.8 7.7 14.8 11.7 14.0 12.0 0.3 7.3 -20.0 4.8 -12.5 -20.0 -0.1 -8.0 2.1 -7.2 1.4 -4.4 15.1 -13.7 -9.3 0.2 20.0 0.2 6.4 20.0 20.0 SP400 -20.0 -20.0 4.6 -3.5 -9.9 -0.7 -8.0 1.3 -5.5 -14.3 -0.4 -16.1 5.2 -16.6 -6.2 -5.1 -5.0 -5.7 -5.5 -13.5 -2.5 -20.0 2.1 -20.0 -12.2 -2.7 -10.0 0.4 -8.6 1.7 -5.9 1.2 -11.2 -0.7 -2.8 18.3 -4.4 -12.7 -18.4 -20.0 SP500_micro -16.0 -20.0 2.7 -3.3 -9.5 -0.7 -7.6 1.3 -5.3 -13.9 9.2 -13.2 9.8 -12.0 -2.8 -11.5 -9.5 -12.0 -11.2 -5.3 6.1 -20.0 9.7 -16.8 -17.3 -1.5 -11.4 3.0 -9.3 4.7 -5.8 -7.6 -18.6 -5.5 -2.8 20.0 -6.5 -13.2 -14.3 -19.3 SUGAR11 17.9 11.9 0.6 -3.6 -6.5 -2.4 -8.8 -3.5 -7.1 -16.4 18.0 6.5 17.7 15.6 16.5 5.1 10.3 1.2 4.3 20.0 20.0 1.8 20.0 20.0 -20.0 6.1 -7.5 7.5 -0.9 10.7 4.6 8.6 2.3 20.0 20.0 3.8 -20.0 -20.0 9.0 -0.7 US10 -9.6 -15.1 -19.3 -3.1 -3.2 -2.7 -3.6 -2.8 -3.4 -8.7 -9.4 -9.3 -9.3 -9.6 -9.9 -9.2 -7.4 -9.3 -9.0 -13.7 -13.8 -13.4 -13.9 -12.9 1.2 -3.5 -4.4 -3.4 -4.3 -3.2 -3.6 -10.1 -5.1 2.0 -0.9 -5.2 -20.0 -20.0 9.6 0.1 US10U -9.9 -15.0 -16.5 -4.0 -4.1 -3.4 -4.5 -3.6 -4.3 -11.0 -11.9 -12.0 -11.7 -12.3 -12.5 0.9 -1.0 -1.0 -1.5 -17.3 -16.6 -18.2 -16.3 -16.9 -3.5 -4.5 -6.4 -4.2 -5.7 -3.6 -4.6 1.8 -8.9 1.3 -3.7 -6.3 -20.0 -20.0 20.0 19.1 US2 -6.1 -5.7 -20.0 -3.0 -3.1 -2.6 -3.5 -2.7 -3.3 -4.8 -9.9 -7.5 -9.7 -8.6 -9.8 -20.0 -20.0 -20.0 -20.0 -14.8 -19.0 -9.2 -20.0 -11.3 9.8 -3.5 -1.7 -4.5 -2.7 -5.5 -2.9 -20.0 1.6 6.9 3.9 -8.8 -20.0 -20.0 -20.0 -20.0 US20 -6.8 -13.6 -13.7 -2.8 -2.8 -2.4 -3.2 -2.5 -3.0 -7.7 -8.1 -8.1 -7.5 -8.4 -8.4 -4.1 -2.1 -3.4 -2.8 -12.0 -11.1 -14.6 -10.4 -12.3 -3.1 -3.1 -5.4 -2.8 -4.4 -2.3 -3.3 0.0 -11.5 -1.4 -5.9 -4.9 -20.0 -20.0 20.0 20.0 US30 -6.8 -11.4 -9.5 -3.2 -3.3 -2.8 -3.6 -2.9 -3.5 -8.9 -9.4 -9.5 -8.9 -9.6 -9.5 -7.8 -4.0 -7.2 -5.6 -12.7 -12.0 -16.1 -12.2 -13.3 -2.7 -3.5 -6.3 -3.2 -5.1 -2.7 -3.7 -3.8 -12.6 -0.3 -5.5 -3.7 -17.1 -20.0 20.0 20.0 US5 -9.2 -14.2 -20.0 -3.4 -3.5 -2.9 -3.9 -3.0 -3.7 -8.6 -10.3 -9.8 -10.2 -10.3 -10.7 -15.8 -10.6 -14.8 -13.3 -14.6 -15.5 -12.3 -16.6 -13.1 4.3 -3.8 -3.4 -3.9 -4.0 -4.0 -3.7 -16.4 -1.6 4.6 1.3 -5.3 -20.0 -20.0 -2.1 -17.7 VIX 3.2 10.8 -3.8 -5.9 14.2 -10.1 6.7 -12.4 -0.7 20.0 -20.0 9.3 -20.0 -8.6 -19.0 -20.0 -20.0 -20.0 -20.0 -17.6 -20.0 15.3 -20.0 -3.1 NaN -6.8 16.1 -11.7 7.5 -15.0 -0.9 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -7.9 -20.0 -12.7 -2.0 -3.6 -1.4 -4.9 -2.0 -4.0 5.1 -10.8 -5.2 -11.8 -10.8 -11.6 -11.0 -9.8 -11.2 -10.8 -14.3 -13.9 -3.3 -13.8 -10.8 -4.1 -3.5 1.2 -3.1 -0.9 -2.9 -3.0 -20.0 8.6 2.4 -13.6 -5.5 -20.0 -13.6 -20.0 -9.3 End of report for caleb_strategy_v3