******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231108_204336 produced at 2023-11-08 21:39:36.386084 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 SOFR False True 0.09 0.00 -0.56 0.0 0.00 0.00 0.00 0.00 -6.39 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.19 0.0 0.00 0.00 0.00 0.00 -4.54 24.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.36 -0.16 0.0 0.66 -0.66 -0.36 -0.36 -3.20 13.0 -7 -7 caleb_strategy_v3 COPPER False False 0.03 -0.13 -0.16 0.0 0.20 -0.20 -0.13 -0.13 -4.87 6.0 -4 -4 caleb_strategy_v3 US2 False True 0.07 0.00 -0.15 0.0 0.00 0.00 0.00 0.00 -1.99 13.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.14 0.0 0.77 -0.77 -0.03 -0.05 -5.44 29.0 -1 -2 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.13 0.0 0.11 -0.11 -0.11 -0.11 -20.89 17.0 -17 -17 caleb_strategy_v3 JGB-SGX-mini False False 0.04 -0.28 -0.11 0.0 0.56 -0.56 -0.28 -0.28 -3.10 16.0 -8 -8 caleb_strategy_v3 JPY False False 0.03 -0.15 -0.09 0.0 0.52 -0.52 -0.15 -0.15 -2.91 17.0 -5 -5 caleb_strategy_v3 LIVECOW False False 0.03 -0.05 -0.08 0.0 0.44 -0.44 -0.05 -0.05 -3.05 17.0 -2 -2 caleb_strategy_v3 SP400 False False 0.09 -0.18 -0.07 0.0 0.18 -0.18 -0.18 -0.09 -0.75 2.0 -2 -1 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.07 0.0 0.34 -0.34 -0.04 -0.04 -1.65 8.0 -1 -1 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -4.57 5.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.06 0.0 0.21 -0.21 -0.03 -0.04 -18.60 68.0 -9 -12 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.06 0.0 0.11 -0.11 -0.05 -0.05 -5.93 12.0 -5 -5 caleb_strategy_v3 US5 False False 0.04 -0.15 -0.06 0.0 0.96 -0.96 -0.15 -0.15 -1.56 25.0 -4 -4 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.05 0.0 0.41 -0.41 -0.01 -0.02 -7.92 66.0 -1 -3 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.19 -0.19 -0.02 -0.02 -14.57 51.0 -6 -6 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.05 0.0 0.38 -0.38 0.00 -0.01 -6.51 48.0 0 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.05 0.0 0.16 -0.16 -0.06 -0.06 -3.21 11.0 -4 -4 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 -0.05 0.0 0.40 -0.40 -0.01 -0.01 -7.43 56.0 -1 -2 caleb_strategy_v3 SMI False False 0.04 -0.04 -0.04 0.0 0.39 -0.39 -0.04 -0.09 -0.99 9.0 -1 -2 caleb_strategy_v3 PALLAD False False 0.04 -0.04 -0.04 0.0 0.08 -0.08 -0.04 -0.04 -0.99 2.0 -1 -1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -5.50 2.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.03 0.0 0.05 -0.05 0.00 0.00 -2.47 4.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.06 -0.03 0.0 0.10 -0.10 -0.06 -0.06 -2.30 8.0 -5 -5 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.07 -0.03 0.0 0.26 -0.26 -0.07 -0.06 -3.04 23.0 -6 -5 caleb_strategy_v3 US10 False False 0.04 0.00 -0.03 0.0 0.67 -0.67 0.00 0.00 -0.77 17.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.11 -0.11 -0.04 -0.04 -2.56 9.0 -3 -3 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 -0.03 0.0 0.08 -0.08 -0.01 -0.01 -9.55 26.0 -2 -4 caleb_strategy_v3 AUD False False 0.02 0.00 -0.02 0.0 0.44 -0.44 0.00 -0.02 -0.84 19.0 0 -1 caleb_strategy_v3 SILVER-mini False True 0.02 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.85 0.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.79 12.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -4.62 3.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.02 0.0 0.68 -0.68 -0.05 -0.05 -0.48 14.0 -1 -1 caleb_strategy_v3 US10U False False 0.04 -0.04 -0.02 0.0 0.53 -0.53 -0.04 -0.04 -0.42 13.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.11 -0.11 -0.03 -0.03 -0.91 10.0 -3 -3 caleb_strategy_v3 BUXL False False 0.05 -0.05 -0.01 0.0 0.20 -0.20 -0.05 -0.05 -0.10 4.0 -1 -1 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.51 -0.51 0.00 0.00 -0.14 10.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.01 0.0 0.86 -0.86 0.00 0.00 -0.31 19.0 0 0 caleb_strategy_v3 US20 False False 0.04 -0.04 -0.01 0.0 0.38 -0.38 -0.04 -0.04 -0.18 9.0 -1 -1 caleb_strategy_v3 US30 False False 0.04 0.00 -0.01 0.0 0.26 -0.26 0.00 0.00 -0.15 6.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 -0.01 0.0 0.12 -0.12 0.00 -0.04 -0.18 3.0 0 -1 caleb_strategy_v3 BTP False False 0.04 0.00 0.00 0.0 0.44 -0.44 0.00 0.00 0.03 10.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.02 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.23 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.18 7.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.16 6.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 -0.00 0.0 0.62 -0.62 0.00 0.00 -0.17 22.0 0 0 caleb_strategy_v3 DAX False False 0.01 -0.01 -0.00 0.0 0.35 -0.35 -0.01 -0.01 -0.41 58.0 -1 -2 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.00 0.0 0.16 -0.16 0.00 -0.02 -0.03 10.0 0 -1 caleb_strategy_v3 GASOLINE False False 0.03 0.03 -0.00 0.0 0.13 -0.13 0.03 0.00 -0.13 4.0 1 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.00 0.0 0.45 -0.45 0.00 0.00 -0.21 21.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.0 0.20 -0.20 0.02 0.02 0.61 23.0 2 2 caleb_strategy_v3 OJ False False 0.02 0.00 0.02 0.0 0.06 -0.06 0.00 0.00 0.88 3.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.02 0.0 0.19 -0.19 0.00 0.00 2.12 18.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.03 0.02 0.0 0.33 -0.33 0.03 0.03 0.98 20.0 2 2 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.02 0.0 0.11 -0.11 0.03 0.03 0.71 4.0 1 1 caleb_strategy_v3 OAT False False 0.05 0.10 0.03 0.0 0.49 -0.49 0.10 0.15 0.57 10.0 2 3 caleb_strategy_v3 LEANHOG False False 0.01 0.02 0.04 0.0 0.14 -0.14 0.02 0.02 3.94 13.0 2 2 caleb_strategy_v3 COCOA False False 0.01 0.03 0.04 0.0 0.37 -0.37 0.03 0.03 2.57 26.0 2 2 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.05 0.0 0.13 -0.13 0.05 0.05 1.76 5.0 2 2 caleb_strategy_v3 DX False False 0.04 0.00 0.05 0.0 38426044.68 -38426044.68 0.00 0.00 1.26 999999999.0 0 0 caleb_strategy_v3 BITCOIN False True 0.00 0.02 0.08 0.0 0.02 0.00 0.02 0.02 57.38 59.0 16 16 caleb_strategy_v3 NIKKEI False False 0.01 0.06 0.08 0.0 0.28 -0.28 0.06 0.11 10.73 36.0 8 14 caleb_strategy_v3 MXP False False 0.01 0.17 0.21 0.0 0.62 -0.62 0.17 0.19 20.61 60.0 16 18 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.19 0.81 0.0 0.95 -0.95 0.19 0.38 8.58 10.0 2 4 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 9.7 Shocked risk 21.5 Sum abs risk 47.9 Leverage 4.37 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2743842.12, 'annual_cash_vol_target': 685960.53, 'daily_cash_vol_target': 42872.533125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6408 0.7017 11.2272 BITCOIN 782.9161 36025.0000 2.1733 34.7721 BOBL 0.2553 116.6700 0.2188 3.5007 BTP 0.6726 112.8700 0.5959 9.5339 BUND 0.5474 130.8000 0.4185 6.6963 BUXL 1.4049 127.5200 1.1017 17.6269 CAC 57.2318 7029.5000 0.8142 13.0267 CAD 0.0032 0.7250 0.4360 6.9768 CANOLA 7.4910 707.0000 1.0596 16.9528 CHF 0.0049 1.1159 0.4425 7.0805 COCOA 39.7616 3941.0000 1.0089 16.1428 COFFEE 3.0670 172.5500 1.7775 28.4394 COPPER 0.0347 3.6365 0.9540 15.2637 CORN 4.9484 513.7500 0.9632 15.4110 COTTON2 1.0819 77.7400 1.3917 22.2680 CRUDE_W 1.2478 72.3600 1.7244 27.5902 DAX 114.9147 15277.0000 0.7522 12.0353 DOW 237.7920 34132.0000 0.6967 11.1469 DX 0.4237 105.4350 0.4019 6.4301 EUR 0.0053 1.0720 0.4902 7.8436 EURIBOR-ICE 0.0489 97.3100 0.0503 0.8043 EUROSTX 37.2139 4192.0000 0.8877 14.2038 FEEDCOW 2.1394 234.6500 0.9117 14.5878 GASOIL 14.5955 776.5000 1.8797 30.0745 GASOLINE 0.0412 2.1211 1.9441 31.1060 GAS_US_mini 0.1055 3.3950 3.1068 49.7082 GBP 0.0072 1.2286 0.5840 9.3436 GOLD_micro 14.0113 1954.6000 0.7168 11.4694 HEATOIL 0.0469 2.6668 1.7604 28.1668 JGB-SGX-mini 0.2554 144.7800 0.1764 2.8223 JPY 0.0000 0.0067 0.6173 9.8760 LEANHOG 1.2200 75.1000 1.6244 25.9911 LIVECOW 1.5923 179.2500 0.8883 14.2128 LUMBER-new 8.1169 531.0000 1.5286 24.4578 MILK 0.2000 17.2500 1.1594 18.5506 MXP 0.0005 0.0566 0.8159 13.0537 NASDAQ_micro 142.3489 15359.2500 0.9268 14.8287 NIKKEI 344.7827 32280.0000 1.0681 17.0896 NZD 0.0043 0.5908 0.7343 11.7485 OAT 0.5729 125.4600 0.4567 7.3067 OATIES 6.5997 357.7500 1.8448 29.5163 OJ 6.1747 362.7500 1.7022 27.2352 PALLAD 18.9131 1055.5000 1.7919 28.6699 PLAT 14.5885 871.5000 1.6740 26.7833 REDWHEAT 9.9034 662.7500 1.4943 23.9086 RICE 0.1554 16.6900 0.9313 14.9012 ROBUSTA 37.1289 2406.0000 1.5432 24.6909 RUSSELL 20.6881 1718.6000 1.2038 19.2605 SHATZ 0.0744 105.1300 0.0708 1.1325 SILVER-mini 0.3360 22.8125 1.4729 23.5664 SMI 77.3446 10605.0000 0.7293 11.6692 SOFR 0.0835 96.1550 0.0869 1.3900 SOYBEAN 10.1162 1292.7500 0.7825 12.5205 SOYMEAL 5.5544 431.0000 1.2887 20.6198 SOYOIL 0.7723 49.2900 1.5668 25.0680 SP400 24.7655 2445.8000 1.0126 16.2011 SP500_micro 33.4378 4394.2500 0.7609 12.1751 SUGAR11 0.3226 25.8800 1.2464 19.9431 US10 0.5039 108.3750 0.4649 7.4387 US10U 0.6988 111.9375 0.6243 9.9891 US2 0.1176 101.4688 0.1159 1.8543 US20 1.0660 114.9375 0.9275 14.8395 US30 1.5680 119.4062 1.3131 21.0101 US5 0.3139 105.5938 0.2973 4.7561 VIX 0.6382 17.4000 3.6677 58.6835 WHEAT 8.4155 674.0000 1.2486 19.9774 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 640.75 0.70 449.61 1.00 449.61 42872.53 95.35 -3.41 -32.49 BITCOIN 36.02 2.17 78.29 1.00 78.29 42872.53 547.60 9.68 529.82 BOBL 1166.70 0.22 255.27 1.07 273.10 42872.53 156.98 -1.92 -30.17 BTP 1128.70 0.60 672.56 1.07 719.54 42872.53 59.58 0.15 0.89 BUND 1308.00 0.42 547.43 1.07 585.66 42872.53 73.20 -1.91 -13.98 BUXL 1275.20 1.10 1404.86 1.07 1502.99 42872.53 28.52 -3.50 -9.98 CAC 702.95 0.81 572.32 1.07 612.29 42872.53 70.02 -3.32 -23.24 CAD 724.95 0.44 316.11 1.00 316.11 42872.53 135.62 -15.46 -209.62 CANOLA 141.40 1.06 149.82 0.73 109.10 42872.53 392.95 -15.24 -598.91 CHF 1394.88 0.44 617.28 1.00 617.28 42872.53 69.45 -17.78 -123.46 COCOA 394.10 1.01 397.62 1.00 397.62 42872.53 107.82 11.15 120.19 COFFEE 647.06 1.78 1150.13 1.00 1150.13 42872.53 37.28 -3.70 -13.80 COPPER 909.12 0.95 867.29 1.00 867.29 42872.53 49.43 -9.09 -44.94 CORN 256.88 0.96 247.42 1.00 247.42 42872.53 173.28 -14.08 -243.93 COTTON2 388.70 1.39 540.97 1.00 540.97 42872.53 79.25 -18.90 -149.81 CRUDE_W 723.60 1.72 1247.77 1.00 1247.77 42872.53 34.36 4.72 16.23 DAX 152.77 0.75 114.91 1.07 122.94 42872.53 348.72 -0.34 -11.90 DOW 170.66 0.70 118.90 1.00 118.90 42872.53 360.59 -9.45 -340.92 DX 1054.35 0.40 423.72 1.00 423.72 42872.53 101.18 4.80 48.54 EUR 1339.94 0.49 656.87 1.00 656.87 42872.53 65.27 -2.81 -18.33 EURIBOR-ICE 2432.75 0.05 122.29 1.07 130.84 42872.53 327.68 7.68 251.64 EUROSTX 419.20 0.89 372.14 1.07 398.13 42872.53 107.68 2.68 28.84 FEEDCOW 1173.25 0.91 1069.70 1.00 1069.70 42872.53 40.08 -12.41 -49.72 GASOIL 776.50 1.88 1459.55 1.00 1459.55 42872.53 29.37 5.55 16.32 GASOLINE 890.86 1.94 1731.95 1.00 1731.95 42872.53 24.75 -1.26 -3.11 GAS_US_mini 84.88 3.11 263.69 1.00 263.69 42872.53 162.59 -5.42 -88.15 GBP 767.88 0.58 448.42 1.00 448.42 42872.53 95.61 -0.70 -6.74 GOLD_micro 195.46 0.72 140.11 1.00 140.11 42872.53 305.99 -7.12 -217.72 HEATOIL 1120.06 1.76 1971.78 1.00 1971.78 42872.53 21.74 -1.86 -4.04 JGB-SGX-mini 144780.00 0.18 25537.95 0.01 169.82 42872.53 252.46 -1.13 -28.64 JPY 832.69 0.62 513.98 1.00 513.98 42872.53 83.41 -13.45 -112.22 LEANHOG 300.40 1.62 487.98 1.00 487.98 42872.53 87.86 7.38 64.81 LIVECOW 717.00 0.89 636.91 1.00 636.91 42872.53 67.31 -13.66 -91.92 LUMBER-new 146.02 1.53 223.22 1.00 223.22 42872.53 192.07 -11.30 -217.01 MILK 345.00 1.16 400.00 1.00 400.00 42872.53 107.18 -19.91 -213.38 MXP 283.00 0.82 230.89 1.00 230.89 42872.53 185.69 7.56 140.44 NASDAQ_micro 307.18 0.93 284.70 1.00 284.70 42872.53 150.59 -8.70 -131.01 NIKKEI 32280.00 1.07 34478.27 0.01 229.27 42872.53 187.00 5.30 99.08 NZD 590.80 0.73 433.81 1.00 433.81 42872.53 98.83 -0.82 -8.10 OAT 1254.60 0.46 572.94 1.07 612.96 42872.53 69.94 2.41 16.83 OATIES 178.88 1.84 329.98 1.00 329.98 42872.53 129.92 -17.40 -226.05 OJ 544.12 1.70 926.21 1.00 926.21 42872.53 46.29 8.84 40.91 PALLAD 1055.50 1.79 1891.31 1.00 1891.31 42872.53 22.67 -12.78 -28.97 PLAT 435.75 1.67 729.43 1.00 729.43 42872.53 58.78 -0.16 -0.96 REDWHEAT 331.38 1.49 495.17 1.00 495.17 42872.53 86.58 -20.00 -173.16 RICE 333.80 0.93 310.88 1.00 310.88 42872.53 137.91 -7.36 -101.56 ROBUSTA 240.60 1.54 371.29 1.00 371.29 42872.53 115.47 4.49 51.81 RUSSELL 85.93 1.20 103.44 1.00 103.44 42872.53 414.46 -13.54 -561.22 SHATZ 1051.30 0.07 74.41 1.07 79.61 42872.53 538.53 -8.32 -448.11 SILVER-mini 570.31 1.47 840.01 1.00 840.01 42872.53 51.04 -4.89 -24.94 SMI 1060.50 0.73 773.45 1.11 858.56 42872.53 49.94 -5.82 -29.08 SOFR 2403.88 0.09 208.83 1.00 208.83 42872.53 205.30 -5.12 -105.18 SOYBEAN 646.38 0.78 505.81 1.00 505.81 42872.53 84.76 2.28 19.30 SOYMEAL 431.00 1.29 555.44 1.00 555.44 42872.53 77.19 3.15 24.31 SOYOIL 295.74 1.57 463.35 1.00 463.35 42872.53 92.53 -10.51 -97.28 SP400 2445.80 1.01 2476.55 1.00 2476.55 42872.53 17.31 -13.01 -22.52 SP500_micro 219.71 0.76 167.19 1.00 167.19 42872.53 256.43 -10.92 -280.09 SUGAR11 289.86 1.25 361.29 1.00 361.29 42872.53 118.67 8.41 99.83 US10 1083.75 0.46 503.85 1.00 503.85 42872.53 85.09 -7.15 -60.81 US10U 1119.38 0.62 698.85 1.00 698.85 42872.53 61.35 -5.42 -33.23 US2 2029.38 0.12 235.19 1.00 235.19 42872.53 182.29 -8.59 -156.65 US20 1149.38 0.93 1066.01 1.00 1066.01 42872.53 40.22 -3.62 -14.57 US30 1194.06 1.31 1567.96 1.00 1567.96 42872.53 27.34 -4.37 -11.94 US5 1055.94 0.30 313.88 1.00 313.88 42872.53 136.59 -9.04 -123.49 VIX 174.00 3.67 638.18 1.00 638.18 42872.53 67.18 -12.60 -84.62 WHEAT 337.00 1.25 420.77 1.00 420.77 42872.53 101.89 -18.97 -193.31 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -32.491 0.010 2.5 -0.843 BITCOIN 529.821 0.043 2.5 57.375 BOBL -30.168 0.004 2.5 -0.306 BTP 0.891 0.014 2.5 0.030 BUND -13.983 0.004 2.5 -0.142 BUXL -9.978 0.004 2.5 -0.101 CAC -23.241 0.014 2.5 -0.793 CAD -209.619 0.010 2.5 -5.439 CANOLA -598.905 0.010 2.5 -14.571 CHF -123.460 0.010 2.5 -3.203 COCOA 120.190 0.009 2.5 2.574 COFFEE -13.799 0.005 2.5 -0.161 COPPER -44.941 0.043 2.5 -4.867 CORN -243.933 0.010 2.5 -5.935 COTTON2 -149.814 0.009 2.5 -3.209 CRUDE_W 16.228 0.043 2.5 1.757 DAX -11.904 0.014 2.5 -0.406 DOW -340.918 0.009 2.5 -7.923 DX 48.537 0.010 2.5 1.259 EUR -18.331 0.010 2.5 -0.476 EURIBOR-ICE 251.645 0.014 2.5 8.584 EUROSTX 28.839 0.014 2.5 0.984 FEEDCOW -49.724 0.013 2.5 -1.648 GASOIL 16.316 0.017 2.5 0.707 GASOLINE -3.113 0.017 2.5 -0.135 GAS_US_mini -88.149 0.043 2.5 -9.546 GBP -6.737 0.010 2.5 -0.175 GOLD_micro -217.718 0.014 2.5 -7.426 HEATOIL -4.041 0.017 2.5 -0.175 JGB-SGX-mini -28.642 0.043 2.5 -3.102 JPY -112.222 0.010 2.5 -2.912 LEANHOG 64.813 0.024 2.5 3.939 LIVECOW -91.919 0.013 2.5 -3.046 LUMBER-new -217.011 0.009 2.5 -4.623 MILK -213.378 0.009 2.5 -4.570 MXP 140.439 0.059 2.5 20.613 NASDAQ_micro -131.006 0.009 2.5 -3.045 NIKKEI 99.077 0.043 2.5 10.729 NZD -8.095 0.010 2.5 -0.210 OAT 16.826 0.014 2.5 0.574 OATIES -226.047 0.010 2.5 -5.500 OJ 40.906 0.009 2.5 0.876 PALLAD -28.973 0.014 2.5 -0.988 PLAT -0.958 0.014 2.5 -0.033 REDWHEAT -173.163 0.005 2.5 -2.297 RICE -101.558 0.010 2.5 -2.471 ROBUSTA 51.806 0.005 2.5 0.605 RUSSELL -561.217 0.013 2.5 -18.598 SHATZ -448.110 0.004 2.5 -4.544 SILVER-mini -24.938 0.014 2.5 -0.851 SMI -29.082 0.014 2.5 -0.992 SOFR -105.184 0.024 2.5 -6.393 SOYBEAN 19.298 0.004 2.5 0.179 SOYMEAL 24.306 0.004 2.5 0.226 SOYOIL -97.275 0.004 2.5 -0.906 SP400 -22.518 0.013 2.5 -0.746 SP500_micro -280.086 0.009 2.5 -6.509 SUGAR11 99.831 0.009 2.5 2.123 US10 -60.808 0.005 2.5 -0.771 US10U -33.231 0.005 2.5 -0.421 US2 -156.650 0.005 2.5 -1.985 US20 -14.575 0.005 2.5 -0.185 US30 -11.935 0.005 2.5 -0.151 US5 -123.494 0.005 2.5 -1.565 VIX -84.620 0.099 2.5 -20.888 WHEAT -193.314 0.005 2.5 -2.564 ===================== Position diags ===================== AUD 2.47 BITCOIN 59.30 BOBL 1.59 BTP 2.03 BUND 0.74 BUXL 0.29 CAC 2.39 CAD 3.52 CANOLA 9.56 CHF 1.80 COCOA 2.31 COFFEE 0.44 COPPER 5.35 CORN 4.22 COTTON2 1.70 CRUDE_W 3.72 DAX 11.89 DOW 8.38 DX 2.63 EUR 1.69 EURIBOR-ICE 11.18 EUROSTX 3.67 FEEDCOW 1.33 GASOIL 1.27 GASOLINE 1.07 GAS_US_mini 17.61 GBP 2.48 GOLD_micro 10.44 HEATOIL 0.94 JGB-SGX-mini 27.34 JPY 2.16 LEANHOG 5.34 LIVECOW 2.23 LUMBER-new 4.09 MILK 2.30 MXP 27.25 NASDAQ_micro 3.50 NIKKEI 20.25 NZD 2.56 OAT 2.39 OATIES 3.16 OJ 0.99 PALLAD 0.77 PLAT 2.00 REDWHEAT 1.15 RICE 3.36 ROBUSTA 1.35 RUSSELL 13.73 SHATZ 5.46 SILVER-mini 1.74 SMI 1.70 SOFR 12.48 SOYBEAN 0.79 SOYMEAL 0.72 SOYOIL 0.86 SP400 0.57 SP500_micro 5.96 SUGAR11 2.52 US10 1.08 US10U 0.78 US2 2.31 US20 0.51 US30 0.35 US5 1.73 VIX 16.58 WHEAT 1.35 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.8 -1.1 -0.6 0.0 0 BITCOIN 57.4 51.4 63.3 16.0 16 BOBL -0.3 -0.5 -0.1 0.0 0 BTP 0.0 -0.2 0.2 0.0 0 BUND -0.1 -0.2 -0.1 0.0 0 BUXL -0.1 -0.1 -0.1 -1.0 -1 CAC -0.8 -1.0 -0.6 0.0 0 CAD -5.4 -5.8 -5.1 -1.0 -1 CANOLA -14.6 -15.5 -13.6 -6.0 -6 CHF -3.2 -3.4 -3.0 -7.0 -7 COCOA 2.6 2.3 2.8 2.0 2 COFFEE -0.2 -0.2 -0.1 0.0 0 COPPER -4.9 -5.4 -4.3 -4.0 -4 CORN -5.9 -6.4 -5.5 -5.0 -5 COTTON2 -3.2 -3.4 -3.0 -4.0 -4 CRUDE_W 1.8 1.4 2.1 2.0 2 DAX -0.4 -1.6 0.8 -1.0 -1 DOW -7.9 -8.8 -7.1 -1.0 -1 DX 1.3 1.0 1.5 NaN 0 EUR -0.5 -0.6 -0.3 -1.0 -1 EURIBOR-ICE 8.6 7.5 9.7 2.0 2 EUROSTX 1.0 0.6 1.4 2.0 2 FEEDCOW -1.6 -1.8 -1.5 -1.0 -1 GASOIL 0.7 0.6 0.8 1.0 1 GASOLINE -0.1 -0.2 -0.0 1.0 1 GAS_US_mini -9.5 -11.3 -7.8 -2.0 -2 GBP -0.2 -0.4 0.1 0.0 0 GOLD_micro -7.4 -8.5 -6.4 -1.0 -1 HEATOIL -0.2 -0.3 -0.1 0.0 0 JGB-SGX-mini -3.1 -5.8 -0.4 -8.0 -8 JPY -2.9 -3.1 -2.7 -5.0 -5 LEANHOG 3.9 3.4 4.5 2.0 2 LIVECOW -3.0 -3.3 -2.8 -2.0 -2 LUMBER-new -4.6 -5.0 -4.2 NaN 0 MILK -4.6 -4.8 -4.3 NaN 0 MXP 20.6 17.9 23.3 16.0 16 NASDAQ_micro -3.0 -3.4 -2.7 -6.0 -6 NIKKEI 10.7 8.7 12.8 8.0 8 NZD -0.2 -0.5 0.0 0.0 0 OAT 0.6 0.3 0.8 2.0 2 OATIES -5.5 -5.8 -5.2 NaN 0 OJ 0.9 0.8 1.0 NaN 0 PALLAD -1.0 -1.1 -0.9 -1.0 -1 PLAT -0.0 -0.2 0.2 0.0 0 REDWHEAT -2.3 -2.4 -2.2 -5.0 -5 RICE -2.5 -2.8 -2.1 NaN 0 ROBUSTA 0.6 0.5 0.7 2.0 2 RUSSELL -18.6 -20.0 -17.2 -9.0 -9 SHATZ -4.5 -5.1 -4.0 NaN 0 SILVER-mini -0.9 -1.0 -0.7 NaN 0 SMI -1.0 -1.2 -0.8 -1.0 -1 SOFR -6.4 -7.6 -5.1 NaN 0 SOYBEAN 0.2 0.1 0.3 0.0 0 SOYMEAL 0.2 0.2 0.3 0.0 0 SOYOIL -0.9 -1.0 -0.8 -3.0 -3 SP400 -0.7 -0.8 -0.7 -2.0 -2 SP500_micro -6.5 -7.1 -5.9 0.0 0 SUGAR11 2.1 1.9 2.4 0.0 0 US10 -0.8 -0.9 -0.7 NaN 0 US10U -0.4 -0.5 -0.3 -1.0 -1 US2 -2.0 -2.2 -1.8 NaN 0 US20 -0.2 -0.2 -0.1 -1.0 -1 US30 -0.2 -0.2 -0.1 0.0 0 US5 -1.6 -1.7 -1.4 -4.0 -4 VIX -20.9 -22.5 -19.2 -17.0 -17 WHEAT -2.6 -2.7 -2.4 -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 1.0 3.1 1.3 4.2 1.3 1.0 3.1 1.3 3.6 1.3 1.2 2.3 2.3 2.3 2.3 1.3 1.3 1.0 3.1 1.3 0.0 1.3 1.0 3.1 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 0.3 0.2 -0.3 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.3 0.0 -0.4 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.3 0.0 0.4 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.1 0.1 0.2 0.2 -0.2 -0.2 -0.7 -0.0 0.2 BITCOIN 0.6 0.6 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 0.0 0.2 0.4 0.2 0.4 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 0.0 0.1 0.1 0.0 0.1 -0.0 0.5 0.6 0.6 0.6 -0.1 0.7 -0.0 0.7 BOBL 0.4 0.2 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.3 0.1 -0.0 0.2 -0.1 0.1 -0.1 -0.0 -0.0 0.1 -0.2 0.1 1.2 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.2 -0.0 0.2 0.3 -0.7 -0.7 -0.5 -0.6 BTP 0.6 -0.2 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.1 0.0 -0.1 0.2 0.2 0.1 0.1 -0.0 -0.1 0.1 -0.2 0.1 -0.9 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.8 0.1 0.2 0.2 0.2 -0.4 -0.7 -0.0 0.2 BUND 0.4 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.0 -0.0 -0.1 0.1 -0.0 0.0 -0.0 -0.1 0.1 -0.3 0.0 0.8 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.5 -0.1 0.0 0.2 0.2 -0.7 -0.7 -0.7 -0.1 BUXL 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 -0.0 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.1 0.1 -0.3 0.0 0.2 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.2 -0.0 0.0 -0.0 -0.0 -0.6 -0.7 -0.4 0.6 CAC -0.0 -0.5 -0.6 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.2 0.0 0.5 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.1 0.1 -0.1 -0.7 -0.1 0.0 -0.1 0.0 0.0 -0.0 0.2 -0.4 -0.2 0.0 0.2 0.3 0.1 0.5 0.3 CAD -0.1 -0.2 -0.4 -0.0 0.0 -0.1 0.0 0.0 -0.0 -0.0 -0.4 -0.1 -0.5 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.0 -0.3 -0.1 0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.4 -0.5 -0.2 -0.5 -0.6 -0.7 -0.4 -0.7 CANOLA -0.1 -0.6 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 -0.0 -0.2 -0.1 -0.1 -0.4 0.1 -0.2 -0.1 -0.2 -0.1 -0.0 -0.2 -0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.1 -0.3 -0.6 -0.4 -0.3 -0.1 0.2 0.3 CHF 0.4 -0.3 -0.6 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.1 -0.3 -0.0 0.2 0.0 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 0.0 -0.0 -0.0 -1.2 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -1.1 -0.5 0.3 -0.4 -0.3 -0.7 -0.7 -0.7 -0.7 COCOA 0.6 0.1 0.2 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.2 0.5 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 -2.6 0.1 0.0 0.2 0.1 0.3 0.1 -0.3 0.5 0.6 0.6 0.6 0.2 -0.2 0.7 0.3 COFFEE 0.6 0.5 0.1 -0.1 0.0 -0.1 0.0 -0.2 -0.0 0.1 -0.3 0.2 -0.5 0.2 0.1 0.0 0.0 0.0 0.0 0.1 -0.0 0.2 -0.3 0.2 -2.7 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 0.5 0.6 0.6 0.3 -0.7 -0.7 -0.7 -0.4 COPPER 0.4 -0.2 -0.4 -0.0 -0.1 -0.1 -0.0 -0.0 0.0 0.0 -0.5 0.1 -0.2 -0.1 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.3 0.0 -0.9 -0.0 -0.0 -0.1 0.0 -0.2 0.0 0.0 0.5 -0.1 -0.3 0.1 0.0 -0.7 0.3 -0.7 CORN 0.1 0.2 -0.6 -0.1 0.0 -0.2 0.0 -0.2 -0.0 -0.0 -0.5 -0.1 -0.7 -0.0 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.5 -0.0 -2.6 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.1 -0.0 -0.2 0.5 -0.1 -0.2 -0.1 0.1 0.2 COTTON2 -0.6 -0.5 0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.1 0.1 -0.2 -0.3 -0.2 -0.1 -0.2 0.0 -0.1 -0.0 -0.2 -0.0 -0.2 -0.1 -0.2 -2.7 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.0 -0.5 -0.6 -0.5 0.2 -0.7 -0.5 0.0 0.2 CRUDE_W -0.3 -0.6 0.4 -0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.3 -0.1 0.3 -0.1 0.1 0.2 0.2 0.3 0.2 0.1 0.1 -0.2 0.3 -0.1 -0.7 0.0 -0.1 0.2 -0.1 0.2 -0.0 -1.1 -0.1 0.2 0.5 0.0 0.7 0.3 0.7 0.3 DAX -0.1 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.3 0.0 0.3 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 0.1 -0.1 -0.1 2.2 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -0.2 -0.2 -0.2 -0.2 -0.1 0.3 0.1 0.5 0.4 DOW 0.2 -0.5 -0.5 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.1 0.1 0.2 -0.0 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 0.1 -0.0 0.0 -1.1 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.3 0.0 0.2 -0.1 0.2 -0.5 -0.3 -0.7 -0.3 DX -0.5 0.1 0.6 -0.0 0.0 -0.1 0.0 0.0 -0.0 -0.1 0.4 -0.1 -0.1 0.0 0.2 0.1 0.1 0.1 0.1 0.1 0.2 -0.1 0.3 -0.0 -2.7 0.0 -0.0 0.2 -0.1 0.2 -0.0 0.8 -0.5 -0.1 0.6 0.6 0.2 0.3 0.3 0.7 EUR 0.5 -0.1 -0.5 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.3 0.1 0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.2 0.0 1.5 -0.0 0.0 -0.1 0.1 -0.1 0.0 -0.4 0.1 0.4 -0.0 -0.3 -0.4 -0.6 -0.3 -0.2 EURIBOR-ICE 0.6 0.4 0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.0 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.2 0.1 2.3 0.0 0.0 0.0 0.0 -0.1 0.0 -0.5 0.0 0.2 0.5 0.5 -0.7 -0.7 0.2 0.7 EUROSTX 0.0 -0.4 -0.6 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.2 0.1 0.4 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.6 -0.0 0.1 -0.1 0.1 0.0 0.0 0.2 -0.1 0.1 0.3 0.2 0.2 0.2 0.3 0.5 FEEDCOW -0.6 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.3 -0.2 -0.1 -0.3 -0.4 -0.3 -0.4 -0.2 -0.0 -0.2 0.3 -0.2 -0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.1 -1.1 -0.4 -0.6 -0.6 0.0 0.5 -0.1 0.7 0.2 GASOIL -0.5 -0.6 0.6 -0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.1 0.3 -0.1 0.1 0.4 0.4 0.4 0.4 0.0 0.1 -0.2 0.4 -0.1 1.1 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.0 -0.0 0.0 0.2 0.4 -0.3 0.0 -0.4 -0.2 GASOLINE -0.1 -0.6 -0.1 -0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.2 -0.1 0.2 -0.1 -0.1 0.0 0.4 0.4 0.4 -0.1 0.0 -0.1 0.3 -0.1 -2.7 -0.0 -0.1 0.0 -0.1 0.2 -0.1 0.8 0.1 0.2 -0.5 -0.6 0.7 0.3 0.7 0.2 GAS_US_mini -0.2 0.4 0.6 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.2 -0.4 -0.2 -0.7 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 -0.1 -0.5 -0.1 2.7 -0.0 -0.2 -0.0 -0.1 -0.1 -0.0 -1.1 0.5 -0.4 0.6 -0.6 -0.3 0.2 -0.5 0.1 GBP 0.4 -0.3 -0.6 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.0 -0.3 0.1 0.2 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.1 -0.1 0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 0.2 0.2 -0.2 -0.3 -0.2 0.2 -0.0 0.7 GOLD_micro 0.6 0.4 -0.3 -0.0 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 -0.0 -0.0 -0.0 0.1 -0.9 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.9 -0.2 0.6 0.3 0.2 -0.4 -0.7 -0.3 -0.7 HEATOIL -0.5 -0.6 0.4 -0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.3 -0.1 0.3 -0.1 0.1 0.4 0.4 0.4 0.4 0.0 0.1 -0.2 0.4 -0.1 -2.7 -0.0 -0.1 0.1 -0.1 0.3 -0.1 0.1 -0.1 0.1 -0.0 0.3 0.2 -0.1 0.0 -0.2 JGB-SGX-mini -0.2 -0.3 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 -0.0 0.1 -0.0 -0.1 0.2 0.4 0.3 0.3 -0.1 -0.1 0.0 -0.1 -0.1 -0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 1.1 -0.5 -0.5 -0.2 -0.1 0.1 -0.6 0.5 0.5 JPY 0.3 0.1 -0.5 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.4 -0.1 -0.5 -0.1 -0.1 -0.4 -0.3 -0.4 -0.4 -0.2 -0.2 -0.1 -0.5 -0.1 2.7 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -1.1 -0.5 -0.4 -0.3 -0.5 -0.2 -0.7 -0.1 -0.7 LEANHOG 0.1 -0.3 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.0 0.1 -0.2 -0.0 -0.1 -0.3 0.4 0.4 0.4 -0.1 -0.1 0.1 -0.3 0.0 1.7 -0.0 0.0 -0.1 0.0 -0.3 0.0 1.1 0.5 -0.0 -0.0 -0.1 -0.3 -0.1 0.4 0.6 LIVECOW -0.6 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.2 -0.1 0.4 -0.1 -0.1 -0.2 -0.1 -0.3 -0.2 -0.1 0.0 -0.2 0.3 -0.2 0.0 -0.0 -0.1 0.0 -0.1 0.2 -0.1 -0.5 -0.3 -0.6 -0.4 0.1 -0.3 -0.7 -0.1 -0.4 LUMBER-new 0.4 0.1 -0.3 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.2 -0.6 0.2 -0.7 0.1 -0.2 -0.4 -0.3 -0.4 -0.4 -0.1 -0.2 0.2 -0.5 0.1 NaN -0.0 0.2 -0.2 0.2 -0.2 0.1 -1.2 0.6 0.6 0.5 -0.7 -0.6 -0.8 -0.3 -0.7 MILK -0.0 -0.3 -0.1 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.1 -0.2 -0.2 -0.5 -0.2 -0.1 -0.3 -0.4 -0.4 -0.4 -0.1 -0.2 -0.1 -0.5 -0.1 0.6 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -1.1 -0.5 -0.3 -0.4 0.3 -0.7 -0.7 -0.7 -0.7 MXP 0.4 -0.6 -0.6 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 0.1 0.1 0.4 0.0 -0.1 0.3 0.3 0.3 0.3 -0.0 0.0 0.1 0.3 0.1 -2.7 -0.0 0.0 0.0 0.1 0.2 0.0 1.1 0.5 0.6 0.0 0.1 0.4 0.4 0.6 0.7 NASDAQ_micro -0.1 -0.5 -0.6 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 0.1 0.1 0.3 0.0 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 0.0 0.1 0.2 0.0 -2.7 -0.0 0.1 0.0 0.1 0.1 0.0 -0.3 0.2 0.0 0.1 0.2 0.1 -0.4 0.1 -0.5 NIKKEI 0.1 -0.6 -0.5 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 0.2 0.1 0.4 0.0 -0.0 0.1 0.2 0.1 0.2 0.0 0.0 0.1 0.3 0.1 -1.0 -0.0 0.0 0.1 0.1 0.2 0.0 1.1 -0.0 0.5 0.3 0.4 -0.1 0.1 -0.1 0.4 NZD -0.0 0.2 -0.3 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.3 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.2 0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 0.2 -0.2 0.2 -0.1 0.1 -0.5 0.3 0.3 OAT 0.4 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.0 -0.0 0.1 0.2 0.1 0.1 -0.0 -0.1 0.1 -0.3 0.1 1.1 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.8 -0.0 0.1 0.2 0.2 -0.7 -0.7 -0.3 0.4 OATIES -0.4 -0.6 -0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.2 -0.1 -0.2 0.0 -0.2 -2.7 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -1.1 -0.5 -0.6 -0.6 -0.2 0.4 0.4 0.7 0.7 OJ -0.6 -0.3 -0.1 -0.1 0.0 -0.1 0.0 -0.2 -0.0 -0.1 0.5 -0.1 0.7 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 -0.0 0.2 -0.0 0.3 0.0 1.1 -0.5 0.3 0.6 0.6 0.1 0.3 0.6 0.7 PALLAD -0.2 -0.1 -0.2 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 -0.4 -0.1 -0.5 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.5 -0.2 0.5 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.2 -0.5 -0.6 -0.5 -0.2 -0.3 -0.3 0.2 -0.2 PLAT 0.4 0.1 -0.2 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 -0.3 -0.0 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.0 1.8 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.2 -0.1 -0.1 0.0 0.2 0.0 -0.6 0.3 -0.5 REDWHEAT -0.0 -0.5 -0.6 -0.1 0.0 -0.1 0.0 -0.2 -0.0 0.1 -0.5 -0.1 -0.7 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.1 -0.5 -0.2 -2.5 -0.1 0.0 -0.2 -0.0 -0.2 -0.1 -0.1 -0.2 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.4 RICE -0.2 -0.2 0.1 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.1 0.2 -0.0 0.2 -0.1 -0.0 -0.4 0.1 -0.3 -0.0 -0.0 0.0 0.0 0.1 -0.1 -2.7 -0.0 0.1 0.0 0.0 0.0 -0.0 0.4 -0.2 -0.3 0.2 0.5 -0.1 -0.7 0.5 -0.3 ROBUSTA 0.4 -0.3 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 0.2 -0.0 0.4 -0.0 -0.0 0.4 0.4 0.4 0.4 0.0 0.1 0.0 0.3 0.0 -2.2 0.0 0.0 0.1 0.0 0.2 0.0 1.1 -0.5 0.6 0.4 0.2 -0.1 -0.4 0.5 0.0 RUSSELL 0.0 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.2 0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.1 -0.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.3 -0.1 -0.4 -0.5 -0.7 -0.7 SHATZ 0.3 0.3 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.2 0.1 -0.3 0.0 -0.0 -0.4 -0.3 -0.4 -0.4 -0.0 -0.1 0.0 -0.4 0.0 1.4 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -1.1 -0.3 -0.2 0.2 0.3 -0.6 -0.7 -0.3 -0.7 SILVER-mini 0.4 -0.1 -0.3 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 0.0 0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.9 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.1 0.1 -0.5 -0.7 -0.1 -0.7 SMI -0.5 -0.5 -0.5 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.2 -0.1 0.0 -0.1 -0.1 0.1 0.0 0.1 0.0 -0.2 -0.1 0.0 -0.2 -0.1 0.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.7 -0.2 -0.6 -0.0 0.2 -0.3 -0.4 -0.2 -0.2 SOFR 0.4 0.1 -0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.2 0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.0 -0.1 0.0 0.0 -0.7 -0.7 -0.2 -0.3 SOYBEAN 0.4 -0.1 0.0 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.1 0.2 0.2 0.2 0.1 -0.1 0.4 0.4 0.3 0.3 0.0 0.0 0.2 0.0 0.1 -2.7 0.0 0.1 0.0 0.1 0.0 0.1 1.1 0.5 0.6 0.3 0.2 -0.7 -0.3 -0.7 -0.1 SOYMEAL 0.6 0.3 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.3 0.3 0.3 0.3 0.1 0.0 0.2 0.1 0.2 -2.7 0.0 0.1 0.1 0.1 0.1 0.1 1.1 0.5 0.6 0.6 0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.4 -0.6 -0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.2 0.2 0.2 -0.2 -0.1 -0.1 -0.1 -0.2 -2.7 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.0 -0.3 -0.5 -0.6 -0.3 -0.2 0.1 0.4 0.6 SP400 -0.0 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.2 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 -1.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.0 -0.2 -0.2 -0.1 -0.2 -0.5 -0.5 -0.7 SP500_micro 0.0 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.0 0.1 0.2 -0.0 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 0.1 0.1 0.0 -2.1 -0.0 0.1 -0.0 0.0 0.1 0.0 -0.4 0.2 0.0 -0.1 0.1 -0.0 -0.4 -0.0 -0.6 SUGAR11 -0.0 -0.1 0.1 -0.1 0.0 -0.1 0.0 -0.2 -0.0 0.0 0.5 0.1 0.7 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.0 0.5 0.1 -2.7 0.1 -0.0 0.3 0.0 0.5 0.0 1.1 -0.2 0.4 0.6 0.6 -0.6 -0.6 0.3 0.1 US10 0.4 0.2 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.1 -0.3 0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.5 -0.0 -0.1 -0.1 -0.1 -0.7 -0.7 -0.0 0.0 US10U 0.4 0.0 -0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 0.1 -0.3 0.0 -0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.0 -0.2 -0.2 -0.2 -0.7 -0.7 0.2 0.5 US2 0.5 0.6 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.0 -0.4 0.0 1.1 -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.1 -0.2 -0.1 0.2 0.1 -0.7 -0.7 -0.3 -0.7 US20 0.5 -0.1 -0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.2 -0.0 -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 0.0 -0.1 -0.2 -0.2 -0.4 -0.7 0.5 0.7 US30 0.4 -0.1 -0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.0 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.2 -0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.7 0.7 0.7 US5 0.4 0.3 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.3 0.0 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 -0.1 0.1 -0.3 0.0 0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.9 -0.0 -0.1 0.0 0.0 -0.7 -0.7 -0.4 -0.6 VIX -0.2 1.0 1.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.0 -0.2 -0.5 -0.2 -0.7 -0.1 -0.0 -0.6 -0.6 -0.6 -0.6 -0.1 -0.1 -0.2 -0.6 -0.1 NaN -0.0 -0.1 -0.1 -0.1 -0.4 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.2 -0.0 -0.6 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.1 -0.5 0.0 -0.7 -0.0 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 0.0 -0.5 -0.0 -0.8 -0.1 0.1 -0.2 0.0 -0.3 -0.0 -1.0 0.2 0.0 0.2 -0.4 -0.7 -0.6 -0.7 -0.5 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 9.7 5.2 -9.9 -2.7 1.7 -1.7 2.6 0.2 -0.3 -0.0 -12.4 4.2 -10.9 1.8 -10.9 -3.0 -3.0 -3.2 -3.2 -4.1 -8.9 6.2 -10.1 3.1 3.3 -2.2 -0.1 -4.5 4.0 -4.8 1.9 -1.3 3.7 5.1 5.8 -5.1 -6.8 -20.0 -1.0 5.1 BITCOIN 20.0 20.0 -0.7 -1.8 -12.9 -2.9 -2.9 -1.0 0.8 20.0 14.6 20.0 12.5 20.0 16.6 -8.0 -5.0 -6.9 -6.1 20.0 16.7 20.0 6.9 20.0 -20.0 7.2 4.5 3.2 8.0 1.3 10.0 -0.6 20.0 20.0 20.0 20.0 -3.2 20.0 -0.9 20.0 BOBL 11.8 5.4 2.1 -1.5 3.3 -2.5 3.0 -2.6 0.9 5.4 -5.2 7.0 -8.0 5.4 -0.2 11.0 -3.5 2.9 -2.9 -0.2 -4.5 7.2 -9.2 4.9 9.3 -0.1 2.7 -1.8 3.6 -3.3 2.4 -3.6 -7.2 -0.7 7.5 9.0 -19.6 -20.0 -14.3 -18.7 BTP 18.3 -7.5 -10.2 -2.1 4.6 -3.4 4.2 -3.6 1.2 10.3 -5.6 10.5 -1.9 2.4 -5.1 7.8 7.6 6.9 6.7 -2.9 -6.1 16.6 -6.1 7.7 -6.8 -1.0 6.3 -2.0 6.0 -1.7 2.8 15.2 4.3 6.6 4.7 5.6 -13.5 -20.0 -0.5 6.8 BUND 11.7 0.7 -2.4 -1.5 3.5 -2.6 3.2 -2.7 0.9 7.6 -6.3 7.4 -8.7 2.5 -3.5 -2.5 5.0 -0.7 1.7 -2.0 -6.0 9.7 -9.8 4.5 6.1 -0.8 4.9 -2.3 4.4 -3.1 2.0 8.9 -3.6 0.8 5.1 5.5 -20.0 -20.0 -20.0 -3.2 BUXL 11.9 -2.5 -5.0 -1.6 3.7 -2.7 3.3 -2.9 1.0 8.4 -8.1 6.3 -9.7 -1.3 -6.3 0.6 0.8 0.6 0.8 -5.6 -9.5 11.4 -12.5 2.5 1.4 -1.9 6.5 -3.0 4.3 -3.3 1.0 4.6 -0.3 0.3 -0.3 -1.2 -18.0 -20.0 -11.8 16.9 CAC -1.5 -16.8 -18.9 -4.3 5.4 -3.6 4.3 -1.1 -0.8 11.9 -8.9 2.6 12.8 -10.1 -14.8 -4.1 -2.6 -5.2 -4.5 -15.3 -10.9 6.3 2.5 -6.7 -5.4 -5.5 3.8 -3.9 2.5 0.2 -2.3 4.3 -15.2 -7.0 1.4 5.9 8.7 3.6 14.5 9.7 CAD -3.9 -7.4 -12.1 -3.7 2.4 -2.4 3.7 0.3 -0.4 -3.1 -14.4 -5.6 -14.4 -12.5 -17.4 -2.6 -2.2 -2.5 -2.4 -14.8 -12.8 -3.9 -10.2 -10.5 2.1 -6.4 -1.8 -5.4 -1.3 -3.8 -4.5 0.0 -17.2 -14.5 -5.6 -13.9 -19.5 -20.0 -13.2 -20.0 CANOLA -3.4 -20.0 -11.4 -2.9 0.5 -3.1 0.2 -3.0 -1.5 8.6 -2.3 -2.6 -4.2 -8.7 -10.1 -17.6 3.3 -12.1 -4.5 -15.4 -10.8 -0.0 -6.8 -11.0 -20.0 -3.4 2.0 -2.7 0.1 -2.2 -2.4 -0.1 3.1 -9.4 -20.0 -11.8 -10.2 -3.6 6.9 8.4 CHF 11.0 -8.0 -18.5 -3.5 2.2 -2.2 3.4 0.3 -0.3 8.9 -9.6 -1.8 5.1 0.2 -11.4 -16.6 -14.8 -16.7 -15.8 -9.9 -9.1 0.0 -1.7 -4.0 -8.6 -3.9 1.1 -3.5 -0.2 -0.9 -1.8 -20.0 -20.0 8.1 -11.0 -9.1 -20.0 -20.0 -20.0 -20.0 COCOA 20.0 4.4 7.2 -5.8 1.1 -6.2 0.3 -6.1 -2.9 19.4 20.0 20.0 20.0 20.0 20.0 -4.3 -2.7 -4.0 -3.4 20.0 20.0 20.0 20.0 20.0 -19.6 7.8 5.0 8.3 8.2 9.5 9.1 -5.2 20.0 20.0 20.0 20.0 7.2 -4.8 20.0 7.6 COFFEE 20.0 16.5 2.1 -4.8 0.9 -5.1 0.3 -5.0 -2.4 16.2 -11.5 17.1 -13.4 15.2 9.1 2.1 1.5 0.2 0.5 9.5 -2.7 20.0 -9.7 20.0 -20.0 4.1 8.0 0.5 8.5 -1.3 7.5 1.6 20.0 20.0 20.0 9.1 -20.0 -20.0 -20.0 -12.2 COPPER 11.9 -6.3 -10.9 -1.5 -10.8 -2.5 -2.5 -0.9 0.7 0.9 -16.8 11.6 -6.8 -5.2 -14.9 -8.8 -4.1 -7.3 -5.8 -8.5 -13.3 6.8 -12.2 2.0 -6.4 -2.8 -2.5 -5.0 4.0 -4.6 2.0 0.6 20.0 -2.7 -9.9 2.2 1.4 -20.0 7.5 -20.0 CORN 1.7 5.5 -18.8 -5.2 1.0 -5.6 0.3 -5.4 -2.6 -1.8 -19.8 -10.3 -19.2 -1.7 -17.9 -5.6 1.1 -5.7 -3.8 -7.6 -18.1 -1.5 -20.0 -2.3 -19.8 -1.8 -0.8 -4.7 -0.8 -7.9 -1.1 -2.4 -0.2 -4.9 15.2 -1.7 -7.4 -2.0 3.3 5.2 COTTON2 -20.0 -16.8 1.2 -4.4 0.8 -4.7 0.2 -4.6 -2.2 -16.1 2.4 -17.4 -8.7 -17.2 -9.9 -9.5 2.1 -5.4 -1.8 -15.8 -4.3 -20.0 -1.9 -20.0 -20.0 -4.5 -12.4 -0.9 -11.0 0.6 -8.4 0.1 -20.0 -20.0 -16.1 6.5 -20.0 -13.7 0.7 6.2 CRUDE_W -10.0 -19.0 13.8 -0.3 -9.1 3.6 -6.9 4.2 -4.6 -15.7 12.4 -11.9 7.9 -5.2 7.7 9.1 11.3 12.9 12.2 5.2 13.5 -17.7 12.9 -7.3 -5.1 1.9 -11.4 6.1 -7.4 6.9 -3.5 -20.0 -2.2 4.8 14.4 0.8 19.6 10.1 20.0 9.3 DAX -2.3 -17.9 -20.0 -3.9 4.9 -3.3 3.9 -1.0 -0.8 15.9 -12.3 1.3 9.3 -9.8 -15.2 -9.5 -8.1 -9.6 -9.1 -17.5 -14.3 9.0 -2.3 -7.0 16.6 -5.3 5.0 -4.6 3.0 -1.4 -2.0 -4.5 -7.8 -5.1 -4.8 -2.7 8.8 2.3 16.0 10.8 DOW 6.7 -16.1 -16.5 -3.0 3.8 -2.5 3.0 -0.8 -0.6 11.8 -4.1 10.9 6.0 -2.0 -7.2 -9.7 -9.0 -10.7 -10.4 -7.1 -6.2 14.0 -1.6 1.7 -8.5 -2.7 4.9 -1.8 4.0 0.2 -0.0 -6.4 1.6 5.8 -2.4 6.8 -16.5 -7.5 -20.0 -8.3 DX -16.4 2.4 20.0 -3.5 2.3 -2.2 3.5 0.3 -0.3 -7.7 16.4 -7.4 -3.2 2.3 16.4 7.1 5.9 7.2 6.6 11.8 15.5 -11.3 11.3 -1.2 -20.0 4.6 -4.7 6.0 -5.0 4.8 -0.7 14.7 -20.0 -2.5 20.0 20.0 6.7 8.3 10.3 20.0 EUR 15.2 -3.0 -16.7 -2.8 1.8 -1.8 2.8 0.2 -0.3 9.0 -11.3 9.9 3.2 3.3 -10.9 -6.3 -6.8 -6.6 -6.6 -5.8 -8.7 10.3 -5.8 3.5 11.6 -2.7 4.6 -3.9 4.9 -2.5 1.7 -7.6 4.1 12.1 -1.2 -9.1 -12.2 -17.8 -9.6 -5.6 EURIBOR-ICE 20.0 13.7 8.8 -1.4 3.1 -2.3 2.8 -2.4 0.8 5.2 -1.7 7.2 -6.6 6.8 5.3 -3.3 -7.2 -5.8 -7.1 5.9 0.1 12.7 -6.5 11.6 17.2 1.8 2.2 0.2 4.0 -1.6 3.6 -9.8 2.0 7.5 15.5 15.1 -20.0 -20.0 5.3 19.6 EUROSTX 1.5 -11.8 -17.2 -4.0 5.0 -3.4 3.9 -1.0 -0.8 15.5 -8.8 7.7 11.3 -5.6 -13.9 -5.5 -2.5 -5.4 -4.5 -10.3 -8.5 11.7 2.3 -0.7 4.5 -4.2 7.1 -3.7 5.6 0.1 0.1 4.3 -5.3 3.6 9.1 6.4 5.6 4.9 9.5 14.3 FEEDCOW -20.0 -20.0 -20.0 -3.8 0.7 -4.0 0.2 -4.0 -1.9 -11.1 2.3 -12.7 9.4 -14.1 -11.0 -12.9 -20.0 -13.1 -20.0 -19.3 -2.1 -20.0 10.7 -20.0 -2.1 -3.5 -4.1 0.4 -4.5 3.3 -5.3 -20.0 -15.0 -20.0 -20.0 1.3 14.0 -2.0 20.0 7.4 GASOIL -15.6 -20.0 17.3 -0.3 -7.2 2.9 -5.5 3.4 -3.7 -13.1 10.6 -13.0 7.5 -9.0 6.4 20.0 20.0 20.0 20.0 1.9 12.1 -17.2 13.5 -10.1 8.4 1.0 -8.6 4.9 -5.9 5.1 -3.4 0.0 -0.2 0.6 5.7 11.3 -8.1 0.4 -12.7 -5.0 GASOLINE -4.0 -20.0 -2.8 -0.3 -9.1 3.6 -6.9 4.2 -4.6 -15.7 7.2 -12.5 6.4 -13.7 -7.0 2.3 20.0 20.0 20.0 -7.2 3.4 -16.6 11.2 -13.3 -20.0 -3.1 -7.7 1.4 -5.8 5.3 -5.1 14.4 3.7 6.3 -15.5 -19.9 20.0 9.9 20.0 5.7 GAS_US_mini -5.5 13.4 17.7 -0.4 -10.7 4.3 -8.1 5.0 -5.4 -18.6 -14.7 -14.1 -20.0 -9.7 -12.5 -20.0 -20.0 -20.0 -20.0 -4.1 -9.9 -15.5 -20.0 -6.8 20.0 -0.2 -18.1 -0.3 -9.3 -2.6 -3.2 -20.0 20.0 -11.0 20.0 -20.0 -9.2 6.3 -14.6 2.0 GBP 11.3 -8.6 -17.6 -3.0 1.9 -1.9 3.0 0.2 -0.3 4.7 -9.4 5.1 6.3 -2.8 -12.8 -0.7 -0.8 -0.6 -0.5 -7.8 -7.9 8.5 -2.9 1.1 0.6 -3.4 3.5 -3.6 4.2 -1.9 0.7 2.9 6.5 6.4 -7.6 -10.4 -7.0 5.5 -0.6 20.0 GOLD_micro 20.0 13.0 -9.0 -1.2 -8.4 -1.9 -1.9 -0.7 0.5 -14.4 -4.0 7.2 2.6 11.3 7.3 -15.1 -14.7 -16.6 -16.2 7.6 -0.4 -0.9 -1.1 11.4 -6.7 1.9 -5.0 0.1 -0.2 0.1 2.9 -17.7 -7.6 20.0 8.2 5.9 -10.9 -20.0 -9.3 -20.0 HEATOIL -14.3 -20.0 13.4 -0.3 -9.0 3.6 -6.9 4.2 -4.6 -15.6 11.5 -13.6 7.8 -10.9 6.0 20.0 20.0 20.0 20.0 0.7 12.5 -20.0 14.8 -12.9 -20.0 -0.0 -12.1 5.3 -8.2 7.3 -5.0 1.2 -5.5 2.0 -1.2 9.0 7.1 -2.2 1.0 -6.8 JGB-SGX-mini -4.7 -9.7 -18.5 -1.5 3.3 -2.5 3.0 -2.6 0.9 6.9 -4.9 -1.9 1.5 -3.9 -7.5 10.3 19.3 13.7 15.6 -7.9 -6.3 1.2 -2.3 -5.3 -1.6 -2.9 2.8 -2.3 0.0 -1.4 -2.1 20.0 -20.0 -15.8 -4.6 -3.2 1.6 -17.8 14.3 14.7 JPY 9.2 4.2 -15.5 -2.5 1.6 -1.6 2.5 0.2 -0.2 -5.5 -14.6 -5.4 -14.1 -10.1 -13.8 -19.0 -15.9 -18.9 -17.7 -14.5 -20.0 -5.9 -20.0 -8.7 20.0 -5.4 -2.9 -6.6 -2.8 -7.0 -3.8 -20.0 -20.0 -10.9 -10.3 -15.6 -7.2 -20.0 -3.4 -20.0 LEANHOG 2.3 -8.3 0.7 -3.1 0.6 -3.4 0.2 -3.3 -1.6 7.9 -1.2 8.8 -6.1 -3.2 -5.7 -16.8 20.0 20.0 20.0 -4.9 -7.1 6.6 -10.1 0.6 13.1 -2.1 2.2 -4.6 3.4 -7.3 0.8 20.0 20.0 -0.8 -0.2 -1.7 -8.4 -3.5 11.3 19.2 LIVECOW -20.0 -20.0 -19.2 -3.7 0.7 -4.0 0.2 -3.9 -1.9 -10.6 7.1 -10.3 11.1 -10.7 -7.2 -11.4 -5.0 -16.2 -9.5 -9.5 2.0 -19.0 10.0 -16.5 0.0 -3.0 -6.2 1.4 -5.8 4.5 -5.5 -10.1 -12.3 -20.0 -11.9 2.6 -9.6 -20.0 -3.3 -11.1 LUMBER-new 9.6 3.0 -7.4 -6.1 1.1 -6.4 0.3 -5.3 -3.1 20.0 -20.0 19.4 -20.0 9.9 -16.5 -16.9 -14.8 -16.6 -15.6 -5.4 -14.9 20.0 -16.2 11.5 NaN -1.5 16.4 -5.3 15.1 -5.1 6.6 -20.0 20.0 14.7 14.6 -17.5 -14.4 -20.0 -7.6 -18.2 MILK -1.3 -8.6 -2.8 -4.0 0.7 -4.3 0.2 -4.2 -2.0 -8.3 -8.9 -14.3 -13.0 -15.0 -6.2 -15.6 -20.0 -18.3 -20.0 -11.4 -14.2 -14.6 -20.0 -13.7 4.2 -4.1 -4.2 -6.0 -5.8 -9.3 -4.8 -20.0 -20.0 -7.9 -12.7 9.9 -20.0 -20.0 -20.0 -20.0 MXP 12.4 -18.7 -19.6 -2.5 1.6 -1.6 2.4 0.2 -0.2 9.0 4.9 10.6 10.7 0.7 -4.7 12.9 16.4 14.0 15.1 -1.4 1.3 15.9 10.5 7.1 -20.0 -0.5 4.7 0.6 6.1 4.3 2.8 20.0 20.0 18.4 1.5 3.9 11.0 12.3 18.1 20.0 NASDAQ_micro -2.7 -16.4 -20.0 -2.6 3.2 -2.2 2.5 -0.7 -0.5 10.8 4.5 8.0 7.5 0.6 -4.8 -9.2 -8.7 -9.7 -9.6 -2.5 1.9 15.7 7.8 3.5 -20.0 -1.1 7.2 1.0 5.1 3.9 0.9 -5.4 9.9 1.3 3.6 5.3 3.8 -13.1 2.5 -15.7 NIKKEI 2.4 -18.7 -15.4 -2.9 3.6 -2.4 2.9 -0.7 -0.6 9.5 8.1 8.8 9.8 1.5 -0.8 3.2 10.1 6.1 8.6 0.2 3.7 12.0 9.3 4.9 -7.4 -0.4 4.4 1.9 5.1 5.0 1.7 20.0 -0.3 14.8 9.6 12.1 -3.8 2.1 -4.3 11.1 NZD -0.2 6.2 -9.1 -2.4 1.5 -1.5 2.3 0.2 -0.2 2.2 -10.9 1.0 -3.0 -2.7 -9.8 -0.1 0.2 -0.1 0.1 -4.4 -6.9 5.2 -7.2 0.4 0.9 -2.0 2.5 -3.1 3.6 -3.1 0.7 4.3 6.7 -5.9 7.3 -2.8 3.6 -15.6 9.6 8.8 OAT 12.7 -1.3 -3.4 -1.7 3.7 -2.8 3.4 -2.9 1.0 8.2 -6.7 7.8 -9.1 1.7 -4.2 5.8 7.7 6.0 6.5 -2.4 -6.3 11.3 -9.4 5.0 8.4 -0.9 5.7 -2.3 5.0 -3.0 2.2 15.3 -1.5 1.8 5.0 5.6 -20.0 -20.0 -8.0 11.1 OATIES -13.4 -20.0 -8.8 -3.1 0.6 -3.3 0.2 -3.2 -1.6 -11.4 -1.6 -11.6 -2.6 -12.0 -11.0 -19.6 -9.1 -18.7 -15.8 -19.7 -6.8 -20.0 1.7 -20.0 -20.0 -3.4 -7.4 -1.2 -5.6 0.2 -4.6 -20.0 -20.0 -20.0 -20.0 -5.8 10.5 11.2 20.0 20.0 OJ -20.0 -8.7 -3.4 -4.7 0.9 -5.1 0.2 -5.0 -2.4 -10.4 18.8 -10.9 19.9 6.3 15.4 20.0 20.0 20.0 20.0 20.0 20.0 -15.5 20.0 5.9 -20.0 6.2 -2.7 8.4 -2.7 9.4 1.7 20.0 -20.0 8.8 20.0 20.0 3.6 8.7 17.3 20.0 PALLAD -5.8 -4.2 -4.8 -1.0 -7.1 -1.6 -1.6 -0.6 0.4 -12.3 -14.2 -10.7 -14.7 -12.2 -12.8 -2.4 -2.7 -2.7 -2.8 -16.2 -20.0 -17.5 -20.0 -15.4 3.6 -4.8 -9.1 -4.5 -6.4 -4.7 -5.2 4.2 -19.6 -20.0 -16.6 -7.5 -9.9 -8.8 4.5 -4.7 PLAT 11.7 1.7 -5.6 -0.9 -6.6 -1.5 -1.5 -0.5 0.4 -10.3 -10.4 -1.7 -5.4 -0.6 -5.5 -3.5 -2.8 -3.6 -3.3 -3.0 -6.1 -7.3 -5.7 -1.1 13.2 -0.1 -12.2 -1.1 -4.0 -1.1 0.0 3.7 -4.3 -2.8 0.7 5.2 1.0 -16.9 9.7 -13.9 REDWHEAT -1.1 -15.7 -20.0 -5.0 0.9 -5.4 0.3 -5.3 -2.5 6.1 -20.0 -9.5 -20.0 -17.8 -20.0 -6.9 -0.6 -5.3 -3.0 -20.0 -20.0 -8.4 -20.0 -19.8 -18.9 -7.4 1.4 -6.9 -2.6 -4.8 -5.7 -2.8 -8.6 -19.7 -19.9 -20.0 -20.0 -20.0 -20.0 -11.9 RICE -5.8 -5.8 4.0 -5.4 1.0 -5.9 0.3 -5.7 -2.8 10.6 8.6 -4.3 5.5 -8.6 -2.0 -20.0 5.9 -14.9 -1.9 -1.7 3.1 0.3 4.2 -5.6 -20.0 -2.1 16.3 0.5 0.5 1.3 -3.8 6.7 -8.9 -8.2 5.3 16.7 -4.3 -20.0 14.5 -7.9 ROBUSTA 12.6 -10.6 -12.2 -3.5 0.7 -3.8 0.2 -3.7 -1.8 5.0 8.3 -0.0 10.7 -0.0 -0.8 20.0 20.0 20.0 20.0 1.7 5.3 2.4 11.3 1.9 -16.7 1.4 2.2 2.6 1.4 5.0 1.6 20.0 -20.0 20.0 13.6 6.8 -3.5 -11.9 16.1 0.1 RUSSELL 1.5 -17.4 -19.3 -2.6 3.2 -2.2 2.5 -0.6 -0.5 3.8 -9.0 1.5 -6.9 -6.2 -9.9 -6.6 -6.3 -7.3 -7.1 -12.7 -10.9 4.2 -6.8 -5.7 -1.9 -3.2 1.5 -2.5 1.4 -1.0 -1.4 -1.3 -1.4 -6.9 -10.1 -4.0 -13.2 -14.2 -20.0 -20.0 SHATZ 9.4 9.4 2.1 -1.5 3.3 -2.4 3.0 -2.5 0.9 -1.0 -7.0 4.8 -8.4 3.5 -2.1 -20.0 -14.1 -20.0 -20.0 -1.4 -6.6 2.7 -13.4 2.6 10.5 -0.4 -0.6 -2.5 1.3 -4.9 1.4 -20.0 -13.7 -5.7 7.4 10.0 -17.2 -20.0 -10.5 -20.0 SILVER-mini 11.4 -4.5 -9.6 -1.1 -7.9 -1.8 -1.8 -0.6 0.5 -9.4 -5.4 2.7 1.6 4.6 -3.8 -7.3 -6.5 -7.5 -7.1 -3.4 -5.1 -2.8 -2.7 -0.4 7.0 -0.6 -4.3 -0.6 -1.5 0.2 -0.0 -2.8 -1.3 4.5 -4.0 4.5 -14.6 -20.0 -3.4 -20.0 SMI -14.6 -16.1 -15.3 -3.1 4.0 -2.7 3.1 -0.8 -0.6 12.6 -7.8 -5.3 0.3 -9.1 -11.4 4.9 2.1 3.1 1.8 -15.0 -11.5 1.2 -5.6 -10.4 5.2 -4.1 2.1 -3.0 0.3 -1.8 -2.9 13.4 -7.1 -19.2 -0.6 6.5 -8.2 -11.5 -5.9 -6.2 SOFR 13.4 4.0 -12.0 -1.3 2.9 -2.2 2.7 -2.3 0.8 6.7 -6.1 6.5 -5.4 1.8 -4.0 0.6 -0.7 -0.3 -0.8 -3.5 -6.3 8.6 -6.2 2.9 -1.3 -1.4 3.2 -2.4 3.1 -2.2 0.9 1.6 1.1 -3.0 0.7 0.6 -20.0 -20.0 -5.2 -8.6 SOYBEAN 12.2 -3.8 1.4 -5.3 1.0 -5.6 0.3 -5.5 -2.6 12.2 7.9 16.6 4.7 6.5 -7.6 17.9 17.9 14.6 14.8 3.1 1.5 19.8 0.9 11.7 -20.0 2.7 8.7 1.3 11.5 1.0 7.3 20.0 20.0 20.0 10.8 6.7 -20.0 -7.7 -20.0 -2.3 SOYMEAL 20.0 10.7 -0.2 -3.4 0.6 -3.6 0.2 -3.5 -1.7 11.6 0.2 13.2 2.3 12.2 7.8 16.8 17.4 14.3 15.5 11.3 3.7 20.0 2.4 20.0 -20.0 3.6 6.2 1.9 6.9 1.9 5.9 20.0 20.0 20.0 20.0 12.8 -20.0 -20.0 -20.0 -20.0 SOYOIL -13.7 -20.0 -10.6 -2.6 0.5 -2.8 0.1 -2.7 -1.3 -6.8 -1.0 -9.2 -2.4 -10.3 -9.5 5.5 11.1 9.8 10.5 -16.3 -8.8 -11.2 -3.0 -16.6 -20.0 -3.3 -1.4 -1.9 -2.4 -0.7 -3.4 18.1 -12.3 -15.6 -20.0 -10.6 -6.5 3.5 10.8 18.4 SP400 -1.3 -18.3 -20.0 -2.5 3.2 -2.1 2.5 -0.6 -0.5 5.7 -7.7 1.6 -1.4 -5.1 -8.8 -5.1 -5.1 -5.4 -5.4 -11.6 -9.4 5.0 -4.3 -5.1 -8.6 -3.0 2.0 -2.2 1.5 -0.7 -1.3 1.3 -0.5 -5.3 -7.3 -2.0 -7.2 -15.3 -13.7 -20.0 SP500_micro 0.4 -19.7 -20.0 -3.0 3.7 -2.5 2.9 -0.8 -0.6 12.6 -0.3 9.0 5.8 -2.4 -7.2 -10.0 -9.8 -11.0 -10.9 -7.5 -4.0 15.9 2.2 1.1 -15.9 -2.4 6.1 -0.9 4.5 1.5 0.1 -7.6 9.0 1.4 -3.4 2.9 -1.5 -12.4 -1.5 -17.1 SUGAR11 -0.8 -2.0 1.8 -5.0 0.9 -5.3 0.3 -5.2 -2.5 0.1 19.4 9.7 19.2 14.1 18.2 20.0 17.6 20.0 19.5 16.5 20.0 5.0 20.0 10.6 -20.0 6.3 -2.9 9.5 2.1 14.7 4.3 20.0 -9.9 12.1 20.0 20.0 -18.4 -17.9 9.9 4.2 US10 12.9 5.3 -10.1 -1.2 2.8 -2.1 2.5 -2.2 0.7 6.4 -6.7 5.5 -7.1 -1.0 -5.1 -5.1 -7.0 -6.7 -7.5 -5.4 -8.5 7.2 -9.3 0.9 1.1 -1.9 2.8 -2.7 2.3 -2.7 0.2 -10.0 -0.7 -4.3 -3.1 -2.7 -20.0 -20.0 -1.2 0.5 US10U 12.4 1.4 -12.1 -1.5 3.4 -2.5 3.1 -2.6 0.9 8.0 -8.2 6.4 -8.6 -2.0 -6.6 -0.4 -0.5 0.1 -0.4 -7.5 -11.0 8.7 -11.3 0.5 -2.0 -2.4 3.4 -3.3 2.5 -3.1 -0.0 1.9 -1.6 -5.2 -5.4 -5.5 -20.0 -20.0 6.0 15.2 US2 14.2 20.0 4.4 -1.3 3.0 -2.2 2.7 -2.3 0.8 2.4 -7.7 3.9 -8.0 1.9 -4.5 -20.0 -20.0 -20.0 -20.0 -3.4 -9.1 4.2 -13.6 1.6 8.0 -1.1 1.9 -3.4 2.5 -5.3 1.2 -20.0 -8.1 -4.3 5.0 3.8 -20.0 -20.0 -9.4 -20.0 US20 14.5 -3.1 -13.9 -1.1 2.6 -1.9 2.3 -2.0 0.7 6.1 -6.1 5.0 -6.2 -1.8 -5.0 -0.0 -1.6 -1.2 -1.6 -6.3 -8.9 7.8 -8.7 0.5 -1.8 -1.8 2.6 -2.4 1.9 -2.2 -0.0 0.0 0.4 -2.4 -6.5 -7.2 -11.2 -20.0 15.2 20.0 US30 11.9 -3.4 -11.1 -1.2 2.6 -1.9 2.4 -2.0 0.7 6.2 -6.4 4.2 -6.5 -2.5 -5.5 -3.9 -4.0 -5.1 -5.0 -6.5 -8.8 6.4 -8.9 -0.4 -1.3 -2.0 2.6 -2.6 1.7 -2.3 -0.2 -4.8 -2.5 -4.0 -6.1 -6.5 -7.0 -20.0 20.0 20.0 US5 12.9 10.2 -6.4 -1.3 2.9 -2.2 2.7 -2.3 0.8 5.5 -7.0 5.3 -7.4 0.4 -4.8 -9.0 -10.4 -11.2 -11.7 -4.2 -7.9 6.7 -9.7 1.7 3.1 -1.6 2.9 -2.9 2.8 -3.3 0.7 -16.4 -2.1 -4.1 0.7 0.6 -20.0 -20.0 -10.7 -18.5 VIX -3.2 20.0 20.0 -0.8 -7.0 -2.8 -6.4 -5.7 -2.6 -12.0 -11.0 -11.7 -12.7 -5.7 -2.3 -20.0 -20.0 -20.0 -20.0 -3.8 -7.7 -17.3 -14.4 -8.6 NaN -0.9 -8.0 -3.2 -7.3 -6.8 -3.0 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 7.0 -1.4 -20.0 -5.2 1.0 -5.6 0.3 -5.4 -2.6 13.6 -20.0 3.6 -20.0 -0.2 -19.8 -12.4 -10.4 -11.9 -11.4 -15.1 -20.0 4.3 -20.0 -3.9 -5.7 -5.3 9.5 -8.4 3.1 -9.5 -1.3 -19.0 6.4 0.6 7.5 -12.1 -20.0 -18.3 -20.0 -14.4 End of report for caleb_strategy_v3