******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231109_204342 produced at 2023-11-09 21:39:35.094081 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.52 0.0 0.00 0.00 0.00 0.00 -5.96 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 -4.65 24.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.13 -0.18 0.0 0.20 -0.20 -0.13 -0.13 -5.37 6.0 -4 -4 caleb_strategy_v3 CHF False False 0.05 -0.35 -0.17 0.0 0.66 -0.66 -0.35 -0.35 -3.28 13.0 -7 -7 caleb_strategy_v3 US2 False True 0.07 0.00 -0.15 0.0 0.00 0.00 0.00 0.00 -2.01 13.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.05 -0.15 0.0 0.77 -0.77 -0.05 -0.05 -5.57 29.0 -2 -2 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.14 0.0 0.11 -0.11 -0.11 -0.11 -21.12 17.0 -17 -17 caleb_strategy_v3 JPY False False 0.03 -0.15 -0.09 0.0 0.51 -0.51 -0.15 -0.15 -3.00 17.0 -5 -5 caleb_strategy_v3 LIVECOW False False 0.03 -0.05 -0.08 0.0 0.43 -0.43 -0.05 -0.05 -3.06 17.0 -2 -2 caleb_strategy_v3 SP400 False False 0.09 -0.09 -0.07 0.0 0.18 -0.18 -0.09 -0.09 -0.79 2.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.06 0.0 0.33 -0.33 -0.04 -0.04 -1.54 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 -4.74 5.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.04 -0.06 0.0 0.21 -0.21 -0.04 -0.04 -19.60 68.0 -12 -12 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.06 0.0 0.11 -0.11 -0.05 -0.05 -6.45 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 -1.49 25.0 -4 -4 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.28 -0.06 0.0 0.56 -0.56 -0.28 -0.28 -1.67 16.0 -8 -8 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.05 0.0 0.16 -0.16 -0.06 -0.06 -3.15 11.0 -4 -4 caleb_strategy_v3 DOW False False 0.01 -0.02 -0.05 0.0 0.41 -0.41 -0.02 -0.02 -8.04 66.0 -3 -3 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.19 -0.19 -0.02 -0.02 -14.77 51.0 -6 -6 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.05 0.0 0.38 -0.38 -0.01 -0.01 -6.39 48.0 -1 -1 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 -0.05 0.0 0.40 -0.40 -0.01 -0.01 -7.63 56.0 -2 -2 caleb_strategy_v3 SMI False False 0.04 -0.09 -0.04 0.0 0.39 -0.39 -0.09 -0.09 -0.95 9.0 -2 -2 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -5.74 2.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 -0.04 0.0 0.08 -0.08 -0.01 -0.02 -12.03 26.0 -4 -5 caleb_strategy_v3 REDWHEAT False False 0.01 -0.06 -0.03 0.0 0.10 -0.10 -0.06 -0.06 -2.34 8.0 -5 -5 caleb_strategy_v3 PALLAD False False 0.04 -0.04 -0.03 0.0 0.07 -0.07 -0.04 -0.04 -0.88 2.0 -1 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.06 -0.03 0.0 0.26 -0.26 -0.06 -0.06 -2.85 23.0 -5 -5 caleb_strategy_v3 US10 False False 0.04 0.00 -0.03 0.0 0.67 -0.67 0.00 0.00 -0.70 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 -2.61 9.0 -3 -3 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.02 0.0 0.44 -0.44 -0.02 -0.02 -1.02 19.0 -1 -1 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -4.16 3.0 0 0 caleb_strategy_v3 SILVER-mini False True 0.02 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.86 0.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.02 0.0 0.05 -0.05 0.00 0.00 -1.98 4.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.02 0.0 0.68 -0.68 -0.05 -0.05 -0.45 14.0 -1 -1 caleb_strategy_v3 US20 False False 0.04 -0.04 -0.01 0.0 0.37 -0.37 -0.04 -0.04 -0.14 9.0 -1 -1 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 US10U False False 0.04 -0.04 -0.01 0.0 0.52 -0.52 -0.04 -0.04 -0.36 13.0 -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 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 CAC False True 0.03 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.49 12.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 -0.04 -0.01 0.0 0.12 -0.12 -0.04 -0.04 -0.30 3.0 -1 -1 caleb_strategy_v3 GBP False False 0.03 0.00 -0.01 0.0 0.61 -0.61 0.00 0.00 -0.26 22.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.02 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.24 9.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.05 -0.00 0.0 0.19 -0.19 -0.05 -0.05 -0.09 4.0 -1 -1 caleb_strategy_v3 SOYBEAN False False 0.02 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.14 7.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.26 -0.26 0.00 0.00 -0.11 6.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.14 6.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.12 4.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.00 0.0 0.16 -0.16 -0.02 -0.02 -0.28 10.0 -1 -1 caleb_strategy_v3 NZD False False 0.02 0.00 -0.00 0.0 0.45 -0.45 0.00 0.00 -0.17 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 0.75 23.0 2 2 caleb_strategy_v3 DAX False False 0.01 -0.01 0.01 0.0 0.35 -0.35 -0.01 -0.01 1.06 58.0 -2 -2 caleb_strategy_v3 BTP False False 0.04 0.00 0.01 0.0 0.44 -0.44 0.00 0.00 0.15 10.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.02 0.0 0.06 -0.06 0.00 0.00 0.91 3.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.02 0.0 0.11 -0.11 0.03 0.03 0.62 4.0 1 1 caleb_strategy_v3 EUROSTX False False 0.02 0.03 0.02 0.0 0.33 -0.33 0.03 0.03 1.41 20.0 2 2 caleb_strategy_v3 OAT False False 0.05 0.15 0.03 0.0 0.49 -0.49 0.15 0.15 0.58 10.0 3 3 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.03 0.0 0.19 -0.19 0.00 0.00 2.39 18.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.02 0.04 0.0 0.14 -0.14 0.02 0.02 3.95 13.0 2 2 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.04 0.0 0.13 -0.13 0.05 0.05 1.64 5.0 2 2 caleb_strategy_v3 COCOA False False 0.01 0.03 0.04 0.0 0.38 -0.38 0.03 0.03 2.63 26.0 2 2 caleb_strategy_v3 DX False False 0.04 0.00 0.05 0.0 38503449.34 -38503449.34 0.00 0.00 1.25 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 58.72 59.0 16 16 caleb_strategy_v3 NIKKEI False False 0.01 0.11 0.10 0.0 0.28 -0.28 0.11 0.12 12.12 36.0 14 15 caleb_strategy_v3 MXP False False 0.01 0.19 0.21 0.0 0.62 -0.62 0.19 0.20 20.53 60.0 18 19 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.38 0.80 0.0 0.95 -0.95 0.38 0.28 8.49 10.0 4 3 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 9.8 Shocked risk 22.0 Sum abs risk 48.8 Leverage 4.32 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2746117.6, 'annual_cash_vol_target': 686529.4, 'daily_cash_vol_target': 42908.0875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6378 0.6988 11.1807 BITCOIN 775.0483 36560.0000 2.1199 33.9190 BOBL 0.2570 116.3700 0.2209 3.5338 BTP 0.6637 112.4600 0.5902 9.4430 BUND 0.5634 129.8500 0.4339 6.9419 BUXL 1.4822 123.9800 1.1956 19.1289 CAC 56.7908 7075.5000 0.8026 12.8423 CAD 0.0031 0.7245 0.4283 6.8527 CANOLA 7.6695 693.7000 1.1056 17.6896 CHF 0.0050 1.1112 0.4470 7.1518 COCOA 39.3326 3979.0000 0.9885 15.8161 COFFEE 3.0028 173.8500 1.7272 27.6355 COPPER 0.0341 3.6295 0.9386 15.0172 CORN 4.9270 509.5000 0.9670 15.4726 COTTON2 1.1195 79.0900 1.4155 22.6476 CRUDE_W 1.2230 72.6500 1.6834 26.9337 DAX 113.3200 15335.0000 0.7390 11.8234 DOW 235.7466 33964.0000 0.6941 11.1057 DX 0.4199 105.7350 0.3972 6.3545 EUR 0.0052 1.0688 0.4903 7.8442 EURIBOR-ICE 0.0490 97.2700 0.0503 0.8052 EUROSTX 36.7896 4215.0000 0.8728 13.9652 FEEDCOW 2.4062 226.7500 1.0612 16.9788 GASOIL 14.1317 767.5000 1.8413 29.4601 GASOLINE 0.0405 2.1339 1.8975 30.3604 GAS_US_mini 0.1039 3.3350 3.1147 49.8356 GBP 0.0072 1.2228 0.5860 9.3753 GOLD_micro 13.7140 1964.7000 0.6980 11.1683 HEATOIL 0.0460 2.6393 1.7428 27.8845 JGB-SGX-mini 0.2648 144.4200 0.1833 2.9333 JPY 0.0000 0.0066 0.6086 9.7382 LEANHOG 1.1961 75.1750 1.5911 25.4576 LIVECOW 1.7278 174.4000 0.9907 15.8515 LUMBER-new 8.0219 535.0000 1.4994 23.9906 MILK 0.1940 17.1500 1.1311 18.0980 MXP 0.0005 0.0566 0.8153 13.0448 NASDAQ_micro 140.5453 15262.2500 0.9209 14.7339 NIKKEI 339.8990 32570.0000 1.0436 16.6975 NZD 0.0043 0.5910 0.7203 11.5252 OAT 0.5846 124.5200 0.4695 7.5123 OATIES 6.4584 354.5000 1.8218 29.1495 OJ 6.1929 371.8000 1.6657 26.6504 PALLAD 20.5425 1003.0000 2.0481 32.7697 PLAT 14.3264 862.9000 1.6603 26.5642 REDWHEAT 9.7272 659.0000 1.4761 23.6170 RICE 0.1493 16.6900 0.8946 14.3143 ROBUSTA 36.5275 2429.0000 1.5038 24.0609 RUSSELL 20.6452 1694.7000 1.2182 19.4916 SHATZ 0.0737 105.0800 0.0701 1.1221 SILVER-mini 0.3294 22.8375 1.4424 23.0786 SMI 76.2266 10641.0000 0.7163 11.4616 SOFR 0.0856 96.0400 0.0891 1.4255 SOYBEAN 10.1070 1284.2500 0.7870 12.5920 SOYMEAL 5.5357 426.9000 1.2967 20.7476 SOYOIL 0.7613 49.6200 1.5342 24.5479 SP400 24.5730 2419.3000 1.0157 16.2513 SP500_micro 33.1977 4364.7500 0.7606 12.1694 SUGAR11 0.3325 26.4100 1.2590 20.1435 US10 0.5234 107.5312 0.4867 7.7877 US10U 0.7327 110.7969 0.6613 10.5813 US2 0.1189 101.2969 0.1174 1.8779 US20 1.1313 113.0312 1.0009 16.0139 US30 1.6681 117.0312 1.4254 22.8058 US5 0.3226 105.1094 0.3070 4.9113 VIX 0.6348 17.7500 3.5763 57.2204 WHEAT 8.4127 666.0000 1.2632 20.2107 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 637.80 0.70 445.69 1.00 445.69 42908.09 96.27 -4.07 -39.21 BITCOIN 36.56 2.12 77.50 1.00 77.50 42908.09 553.62 9.80 542.29 BOBL 1163.70 0.22 257.02 1.07 274.58 42908.09 156.27 -1.95 -30.43 BTP 1124.60 0.59 663.72 1.07 709.09 42908.09 60.51 0.70 4.26 BUND 1298.50 0.43 563.38 1.07 601.88 42908.09 71.29 -1.99 -14.16 BUXL 1239.80 1.20 1482.25 1.07 1583.56 42908.09 27.10 -3.29 -8.90 CAC 707.55 0.80 567.91 1.07 606.72 42908.09 70.72 -2.05 -14.48 CAD 724.50 0.43 310.30 1.00 310.30 42908.09 138.28 -15.52 -214.68 CANOLA 138.74 1.11 153.39 0.73 111.35 42908.09 385.33 -15.75 -607.06 CHF 1388.94 0.45 620.83 1.00 620.83 42908.09 69.11 -18.28 -126.33 COCOA 397.90 0.99 393.33 1.00 393.33 42908.09 109.09 11.24 122.59 COFFEE 651.94 1.73 1126.04 1.00 1126.04 42908.09 38.11 -3.14 -11.96 COPPER 907.38 0.94 851.64 1.00 851.64 42908.09 50.38 -9.84 -49.60 CORN 254.75 0.97 246.35 1.00 246.35 42908.09 174.17 -15.23 -265.31 COTTON2 395.45 1.42 559.75 1.00 559.75 42908.09 76.66 -19.20 -147.17 CRUDE_W 726.50 1.68 1222.96 1.00 1222.96 42908.09 35.09 4.33 15.18 DAX 153.35 0.74 113.32 1.07 121.07 42908.09 354.42 0.88 31.15 DOW 169.82 0.69 117.87 1.00 117.87 42908.09 364.02 -9.51 -346.12 DX 1057.35 0.40 419.94 1.00 419.94 42908.09 102.18 4.73 48.33 EUR 1336.00 0.49 654.99 1.00 654.99 42908.09 65.51 -2.65 -17.37 EURIBOR-ICE 2431.75 0.05 122.38 1.07 130.74 42908.09 328.19 7.58 248.84 EUROSTX 421.50 0.87 367.90 1.07 393.04 42908.09 109.17 3.77 41.19 FEEDCOW 1133.75 1.06 1203.10 1.00 1203.10 42908.09 35.66 -13.07 -46.60 GASOIL 767.50 1.84 1413.17 1.00 1413.17 42908.09 30.36 4.72 14.33 GASOLINE 896.24 1.90 1700.64 1.00 1700.64 42908.09 25.23 -1.10 -2.77 GAS_US_mini 83.38 3.11 259.69 1.00 259.69 42908.09 165.23 -6.72 -111.06 GBP 764.25 0.59 447.82 1.00 447.82 42908.09 95.82 -1.03 -9.84 GOLD_micro 196.47 0.70 137.14 1.00 137.14 42908.09 312.88 -7.15 -223.60 HEATOIL 1108.51 1.74 1931.89 1.00 1931.89 42908.09 22.21 -3.10 -6.89 JGB-SGX-mini 144420.00 0.18 26477.02 0.01 175.74 42908.09 244.16 -0.63 -15.40 JPY 830.94 0.61 505.74 1.00 505.74 42908.09 84.84 -13.63 -115.60 LEANHOG 300.70 1.59 478.44 1.00 478.44 42908.09 89.68 7.25 65.01 LIVECOW 697.60 0.99 691.12 1.00 691.12 42908.09 62.08 -14.88 -92.40 LUMBER-new 147.12 1.50 220.60 1.00 220.60 42908.09 194.51 -10.05 -195.39 MILK 343.00 1.13 387.98 1.00 387.98 42908.09 110.59 -20.00 -221.19 MXP 283.05 0.82 230.77 1.00 230.77 42908.09 185.93 7.52 139.84 NASDAQ_micro 305.24 0.92 281.09 1.00 281.09 42908.09 152.65 -8.03 -122.62 NIKKEI 32570.00 1.04 33989.90 0.01 225.61 42908.09 190.19 5.88 111.88 NZD 591.05 0.72 425.75 1.00 425.75 42908.09 100.78 -0.63 -6.37 OAT 1245.20 0.47 584.65 1.07 624.61 42908.09 68.70 2.46 16.89 OATIES 177.25 1.82 322.92 1.00 322.92 42908.09 132.87 -17.74 -235.72 OJ 557.70 1.67 928.93 1.00 928.93 42908.09 46.19 9.16 42.30 PALLAD 1003.00 2.05 2054.25 1.00 2054.25 42908.09 20.89 -12.31 -25.72 PLAT 431.45 1.66 716.32 1.00 716.32 42908.09 59.90 -1.35 -8.11 REDWHEAT 329.50 1.48 486.36 1.00 486.36 42908.09 88.22 -20.00 -176.45 RICE 333.80 0.89 298.63 1.00 298.63 42908.09 143.68 -5.66 -81.31 ROBUSTA 242.90 1.50 365.27 1.00 365.27 42908.09 117.47 5.50 64.60 RUSSELL 84.74 1.22 103.23 1.00 103.23 42908.09 415.67 -14.23 -591.52 SHATZ 1050.80 0.07 73.70 1.07 78.73 42908.09 544.98 -8.42 -458.92 SILVER-mini 570.94 1.44 823.53 1.00 823.53 42908.09 52.10 -4.83 -25.18 SMI 1064.10 0.72 762.27 1.11 845.62 42908.09 50.74 -5.46 -27.71 SOFR 2401.00 0.09 213.91 1.00 213.91 42908.09 200.59 -4.89 -98.10 SOYBEAN 642.12 0.79 505.35 1.00 505.35 42908.09 84.91 1.75 14.86 SOYMEAL 426.90 1.30 553.57 1.00 553.57 42908.09 77.51 3.30 25.58 SOYOIL 297.72 1.53 456.78 1.00 456.78 42908.09 93.94 -10.41 -97.74 SP400 2419.30 1.02 2457.30 1.00 2457.30 42908.09 17.46 -13.71 -23.94 SP500_micro 218.24 0.76 165.99 1.00 165.99 42908.09 258.50 -10.64 -274.92 SUGAR11 295.79 1.26 372.39 1.00 372.39 42908.09 115.22 9.76 112.41 US10 1075.31 0.49 523.39 1.00 523.39 42908.09 81.98 -6.73 -55.13 US10U 1107.97 0.66 732.74 1.00 732.74 42908.09 58.56 -4.83 -28.31 US2 2025.94 0.12 237.79 1.00 237.79 42908.09 180.45 -8.77 -158.26 US20 1130.31 1.00 1131.30 1.00 1131.30 42908.09 37.93 -2.86 -10.86 US30 1170.31 1.43 1668.12 1.00 1668.12 42908.09 25.72 -3.50 -9.00 US5 1051.09 0.31 322.64 1.00 322.64 42908.09 132.99 -8.86 -117.79 VIX 177.50 3.58 634.79 1.00 634.79 42908.09 67.59 -12.66 -85.57 WHEAT 333.00 1.26 420.64 1.00 420.64 42908.09 102.01 -19.30 -196.83 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -39.213 0.010 2.5 -1.017 BITCOIN 542.287 0.043 2.5 58.725 BOBL -30.428 0.004 2.5 -0.309 BTP 4.255 0.014 2.5 0.145 BUND -14.158 0.004 2.5 -0.144 BUXL -8.904 0.004 2.5 -0.090 CAC -14.485 0.014 2.5 -0.494 CAD -214.677 0.010 2.5 -5.570 CANOLA -607.059 0.010 2.5 -14.769 CHF -126.332 0.010 2.5 -3.278 COCOA 122.594 0.009 2.5 2.626 COFFEE -11.957 0.005 2.5 -0.140 COPPER -49.598 0.043 2.5 -5.371 CORN -265.306 0.010 2.5 -6.455 COTTON2 -147.168 0.009 2.5 -3.152 CRUDE_W 15.179 0.043 2.5 1.644 DAX 31.153 0.014 2.5 1.063 DOW -346.125 0.009 2.5 -8.044 DX 48.326 0.010 2.5 1.254 EUR -17.374 0.010 2.5 -0.451 EURIBOR-ICE 248.843 0.014 2.5 8.488 EUROSTX 41.195 0.014 2.5 1.405 FEEDCOW -46.596 0.013 2.5 -1.544 GASOIL 14.332 0.017 2.5 0.621 GASOLINE -2.773 0.017 2.5 -0.120 GAS_US_mini -111.057 0.043 2.5 -12.027 GBP -9.842 0.010 2.5 -0.255 GOLD_micro -223.602 0.014 2.5 -7.627 HEATOIL -6.894 0.017 2.5 -0.299 JGB-SGX-mini -15.401 0.043 2.5 -1.668 JPY -115.603 0.010 2.5 -3.000 LEANHOG 65.009 0.024 2.5 3.951 LIVECOW -92.403 0.013 2.5 -3.062 LUMBER-new -195.393 0.009 2.5 -4.163 MILK -221.189 0.009 2.5 -4.737 MXP 139.837 0.059 2.5 20.525 NASDAQ_micro -122.616 0.009 2.5 -2.850 NIKKEI 111.875 0.043 2.5 12.115 NZD -6.368 0.010 2.5 -0.165 OAT 16.888 0.014 2.5 0.576 OATIES -235.722 0.010 2.5 -5.735 OJ 42.300 0.009 2.5 0.906 PALLAD -25.717 0.014 2.5 -0.877 PLAT -8.106 0.014 2.5 -0.276 REDWHEAT -176.445 0.005 2.5 -2.341 RICE -81.309 0.010 2.5 -1.978 ROBUSTA 64.597 0.005 2.5 0.754 RUSSELL -591.525 0.013 2.5 -19.602 SHATZ -458.924 0.004 2.5 -4.654 SILVER-mini -25.176 0.014 2.5 -0.859 SMI -27.709 0.014 2.5 -0.945 SOFR -98.100 0.024 2.5 -5.962 SOYBEAN 14.856 0.004 2.5 0.138 SOYMEAL 25.581 0.004 2.5 0.238 SOYOIL -97.742 0.004 2.5 -0.910 SP400 -23.944 0.013 2.5 -0.793 SP500_micro -274.916 0.009 2.5 -6.389 SUGAR11 112.409 0.009 2.5 2.391 US10 -55.134 0.005 2.5 -0.699 US10U -28.310 0.005 2.5 -0.359 US2 -158.259 0.005 2.5 -2.005 US20 -10.863 0.005 2.5 -0.138 US30 -8.996 0.005 2.5 -0.114 US5 -117.793 0.005 2.5 -1.493 VIX -85.572 0.099 2.5 -21.124 WHEAT -196.828 0.005 2.5 -2.611 ===================== Position diags ===================== AUD 2.50 BITCOIN 59.95 BOBL 1.58 BTP 2.06 BUND 0.72 BUXL 0.27 CAC 2.41 CAD 3.59 CANOLA 9.37 CHF 1.79 COCOA 2.34 COFFEE 0.45 COPPER 5.46 CORN 4.24 COTTON2 1.64 CRUDE_W 3.80 DAX 12.09 DOW 8.46 DX 2.65 EUR 1.70 EURIBOR-ICE 11.19 EUROSTX 3.72 FEEDCOW 1.18 GASOIL 1.32 GASOLINE 1.09 GAS_US_mini 17.89 GBP 2.49 GOLD_micro 10.67 HEATOIL 0.96 JGB-SGX-mini 26.44 JPY 2.20 LEANHOG 5.45 LIVECOW 2.06 LUMBER-new 4.14 MILK 2.37 MXP 27.29 NASDAQ_micro 3.55 NIKKEI 20.60 NZD 2.62 OAT 2.34 OATIES 3.23 OJ 0.99 PALLAD 0.71 PLAT 2.04 REDWHEAT 1.17 RICE 3.50 ROBUSTA 1.37 RUSSELL 13.77 SHATZ 5.53 SILVER-mini 1.78 SMI 1.73 SOFR 12.19 SOYBEAN 0.79 SOYMEAL 0.72 SOYOIL 0.87 SP400 0.58 SP500_micro 6.01 SUGAR11 2.45 US10 1.04 US10U 0.74 US2 2.29 US20 0.48 US30 0.33 US5 1.69 VIX 16.69 WHEAT 1.35 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.0 -1.3 -0.8 -1.0 -1 BITCOIN 58.7 52.7 64.7 16.0 16 BOBL -0.3 -0.5 -0.2 0.0 0 BTP 0.1 -0.1 0.4 0.0 0 BUND -0.1 -0.2 -0.1 0.0 0 BUXL -0.1 -0.1 -0.1 -1.0 -1 CAC -0.5 -0.7 -0.3 0.0 0 CAD -5.6 -5.9 -5.2 -2.0 -2 CANOLA -14.8 -15.7 -13.8 -6.0 -6 CHF -3.3 -3.5 -3.1 -7.0 -7 COCOA 2.6 2.4 2.9 2.0 2 COFFEE -0.1 -0.2 -0.1 0.0 0 COPPER -5.4 -5.9 -4.8 -4.0 -4 CORN -6.5 -6.9 -6.0 -5.0 -5 COTTON2 -3.2 -3.3 -3.0 -4.0 -4 CRUDE_W 1.6 1.3 2.0 2.0 2 DAX 1.1 -0.1 2.3 -2.0 -2 DOW -8.0 -8.9 -7.2 -3.0 -3 DX 1.3 1.0 1.5 NaN 0 EUR -0.5 -0.6 -0.3 -1.0 -1 EURIBOR-ICE 8.5 7.4 9.6 4.0 4 EUROSTX 1.4 1.0 1.8 2.0 2 FEEDCOW -1.5 -1.7 -1.4 -1.0 -1 GASOIL 0.6 0.5 0.8 1.0 1 GASOLINE -0.1 -0.2 -0.0 0.0 0 GAS_US_mini -12.0 -13.8 -10.2 -4.0 -4 GBP -0.3 -0.5 -0.0 0.0 0 GOLD_micro -7.6 -8.7 -6.6 -2.0 -2 HEATOIL -0.3 -0.4 -0.2 -1.0 -1 JGB-SGX-mini -1.7 -4.3 1.0 -8.0 -8 JPY -3.0 -3.2 -2.8 -5.0 -5 LEANHOG 4.0 3.4 4.5 2.0 2 LIVECOW -3.1 -3.3 -2.9 -2.0 -2 LUMBER-new -4.2 -4.6 -3.7 NaN 0 MILK -4.7 -5.0 -4.5 NaN 0 MXP 20.5 17.8 23.3 18.0 18 NASDAQ_micro -2.8 -3.2 -2.5 -5.0 -5 NIKKEI 12.1 10.1 14.2 14.0 14 NZD -0.2 -0.4 0.1 0.0 0 OAT 0.6 0.3 0.8 3.0 3 OATIES -5.7 -6.1 -5.4 NaN 0 OJ 0.9 0.8 1.0 NaN 0 PALLAD -0.9 -0.9 -0.8 -1.0 -1 PLAT -0.3 -0.5 -0.1 -1.0 -1 REDWHEAT -2.3 -2.5 -2.2 -5.0 -5 RICE -2.0 -2.3 -1.6 NaN 0 ROBUSTA 0.8 0.6 0.9 2.0 2 RUSSELL -19.6 -21.0 -18.2 -12.0 -12 SHATZ -4.7 -5.2 -4.1 NaN 0 SILVER-mini -0.9 -1.0 -0.7 NaN 0 SMI -0.9 -1.1 -0.8 -2.0 -2 SOFR -6.0 -7.2 -4.7 NaN 0 SOYBEAN 0.1 0.1 0.2 0.0 0 SOYMEAL 0.2 0.2 0.3 0.0 0 SOYOIL -0.9 -1.0 -0.8 -3.0 -3 SP400 -0.8 -0.9 -0.7 -1.0 -1 SP500_micro -6.4 -7.0 -5.8 -1.0 -1 SUGAR11 2.4 2.1 2.6 0.0 0 US10 -0.7 -0.8 -0.6 NaN 0 US10U -0.4 -0.4 -0.3 -1.0 -1 US2 -2.0 -2.2 -1.8 NaN 0 US20 -0.1 -0.2 -0.1 -1.0 -1 US30 -0.1 -0.1 -0.1 0.0 0 US5 -1.5 -1.7 -1.3 -4.0 -4 VIX -21.1 -22.8 -19.5 -17.0 -17 WHEAT -2.6 -2.7 -2.5 -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 0.0 -0.3 0.0 0.4 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.1 0.0 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 -0.1 -0.0 -0.0 0.2 0.4 0.2 0.5 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 0.1 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 0.0 -0.2 0.0 1.2 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.1 -0.0 0.2 0.3 -0.6 -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 -0.1 0.1 -0.1 0.0 -0.0 0.2 0.2 0.1 0.1 -0.0 -0.1 0.1 -0.2 0.1 -0.9 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.8 0.2 0.2 0.2 0.2 -0.4 -0.7 -0.0 0.2 BUND 0.4 0.1 -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 -0.1 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 0.1 0.2 -0.7 -0.7 -0.7 -0.1 BUXL 0.5 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.3 -0.0 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.1 0.1 -0.3 0.0 0.2 -0.0 0.0 -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 0.2 -0.2 0.1 0.5 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.1 0.1 -0.0 -0.7 -0.1 0.1 -0.1 0.0 0.0 -0.0 0.2 -0.3 -0.1 0.1 0.2 0.3 0.1 0.5 0.3 CAD -0.1 -0.3 -0.4 -0.0 -0.0 -0.1 0.0 0.0 -0.0 -0.1 -0.4 -0.1 -0.5 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.3 -0.1 0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.5 -0.2 -0.4 -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 0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.3 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 -0.4 -0.6 -0.4 -0.3 -0.1 0.2 0.3 CHF 0.3 -0.2 -0.6 -0.0 -0.0 -0.1 0.0 0.0 -0.0 0.0 -0.3 -0.0 0.2 0.0 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.0 -0.1 -0.0 -1.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -1.1 -0.5 0.2 -0.3 -0.3 -0.7 -0.7 -0.7 -0.7 COCOA 0.6 0.2 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 -2.7 0.1 0.1 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 0.6 0.1 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 0.2 -0.3 0.2 -0.5 0.2 0.1 0.1 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 0.4 -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 -0.1 -0.5 0.1 -0.2 -0.1 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.3 0.0 -0.9 -0.0 -0.1 -0.1 0.0 -0.2 0.0 0.0 0.5 -0.0 -0.3 0.1 0.0 -0.7 0.2 -0.7 CORN 0.0 0.2 -0.6 -0.1 0.0 -0.2 -0.0 -0.2 -0.0 -0.1 -0.5 -0.2 -0.7 -0.0 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.5 -0.0 -2.7 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 -0.1 -0.1 -0.3 0.5 -0.1 -0.2 -0.1 0.1 0.2 COTTON2 -0.6 -0.6 0.0 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.0 -0.2 -0.3 -0.2 -0.1 -0.2 0.0 -0.1 -0.0 -0.2 -0.1 -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 -0.6 0.2 -0.7 -0.5 0.0 0.2 CRUDE_W -0.4 -0.6 0.4 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.1 0.3 -0.1 0.3 -0.1 0.1 0.2 0.2 0.3 0.2 0.0 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 0.6 0.3 0.7 0.3 DAX 0.0 -0.5 -0.6 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.2 -0.3 0.1 0.3 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 0.1 -0.1 -0.0 2.2 -0.1 0.1 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.1 -0.1 0.3 0.1 0.5 0.4 DOW 0.2 -0.5 -0.6 -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 -0.6 -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 -0.0 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 -0.0 0.2 -0.0 0.8 -0.5 -0.2 0.6 0.6 0.2 0.3 0.4 0.7 EUR 0.5 -0.1 -0.5 -0.0 -0.0 -0.1 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 0.0 -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 0.5 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 0.3 0.5 0.5 -0.7 -0.7 0.2 0.7 EUROSTX 0.1 -0.3 -0.5 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.2 -0.2 0.1 0.4 -0.0 -0.1 -0.1 -0.1 -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 -0.0 0.2 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 0.0 -0.1 0.3 -0.1 -0.1 -0.3 -0.4 -0.3 -0.4 -0.2 -0.0 -0.2 0.2 -0.2 -0.3 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 -0.6 -0.0 0.5 -0.1 0.7 0.3 GASOIL -0.6 -0.6 0.5 -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 -0.2 -0.6 -0.1 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.1 0.2 -0.2 0.2 -0.2 -0.1 0.0 0.4 0.4 0.4 -0.1 0.0 -0.2 0.3 -0.2 -2.7 -0.0 -0.1 0.0 -0.1 0.2 -0.1 0.7 0.3 0.3 -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 -0.1 -0.1 -0.2 -0.5 -0.1 2.7 -0.0 -0.2 -0.0 -0.1 -0.1 -0.1 -1.1 0.3 -0.4 0.6 -0.6 -0.3 0.2 -0.5 0.1 GBP 0.4 -0.2 -0.6 -0.0 -0.0 -0.1 0.0 0.0 -0.0 -0.0 -0.3 0.0 0.2 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.1 0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 0.1 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 0.0 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 -0.1 0.6 0.3 0.2 -0.4 -0.7 -0.3 -0.7 HEATOIL -0.6 -0.6 0.4 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.1 0.3 -0.2 0.3 -0.1 0.0 0.4 0.4 0.4 0.4 -0.0 0.1 -0.2 0.4 -0.2 -2.7 -0.0 -0.1 0.1 -0.1 0.2 -0.1 0.1 -0.2 -0.0 -0.1 0.3 0.2 -0.1 0.0 -0.2 JGB-SGX-mini -0.1 -0.3 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 -0.0 0.1 -0.0 -0.1 0.3 0.4 0.3 0.3 -0.1 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 1.1 -0.4 -0.6 -0.1 -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 -0.1 -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 -0.2 -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 -0.4 0.4 0.4 0.4 -0.1 -0.1 0.1 -0.3 0.0 1.8 -0.0 0.0 -0.1 0.0 -0.3 0.0 1.1 0.4 -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 0.2 -0.2 0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.5 -0.5 -0.6 -0.5 0.0 -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 0.3 -0.7 0.2 -0.2 -0.4 -0.3 -0.4 -0.4 -0.0 -0.2 0.2 -0.5 0.2 NaN -0.0 0.2 -0.1 0.2 -0.2 0.1 -1.2 0.6 0.7 0.6 -0.6 -0.6 -0.8 -0.3 -0.7 MILK -0.3 -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 -0.2 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 -0.0 -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 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.0 0.1 0.2 0.0 -2.7 -0.0 0.0 0.0 0.1 0.1 0.0 -0.3 0.4 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 0.2 0.4 0.3 0.4 -0.1 0.1 -0.2 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 -0.1 0.2 -0.1 0.1 -0.5 0.3 0.3 OAT 0.5 0.0 -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 0.1 0.2 0.1 0.1 -0.0 -0.1 0.1 -0.2 0.1 1.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.8 0.0 0.0 0.1 0.2 -0.7 -0.7 -0.3 0.4 OATIES -0.5 -0.6 -0.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -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 -0.1 -1.1 -0.5 -0.6 -0.6 -0.2 0.3 0.4 0.7 0.7 OJ -0.6 -0.2 -0.1 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 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 -0.0 -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 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 -0.5 -0.6 -0.6 -0.3 -0.3 -0.3 0.2 -0.1 PLAT 0.3 0.0 -0.2 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.0 1.7 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.2 -0.2 -0.1 -0.0 0.2 0.0 -0.6 0.3 -0.4 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 0.2 0.2 0.0 0.2 -0.0 -0.0 -0.4 0.1 -0.3 -0.0 -0.0 0.0 0.1 0.1 -0.0 -2.7 -0.0 0.2 0.0 0.1 0.0 -0.0 0.3 -0.1 -0.1 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 0.1 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 -0.2 0.6 0.4 0.3 -0.1 -0.4 0.5 0.0 RUSSELL 0.0 -0.5 -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 -0.2 -0.2 -0.3 -0.1 -0.4 -0.5 -0.7 -0.7 SHATZ 0.3 0.3 0.0 -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 -0.3 -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 0.3 -0.1 -0.3 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 0.1 0.0 -0.0 -0.2 -0.1 -0.2 -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 0.1 0.2 -0.1 0.1 -0.5 -0.7 -0.1 -0.7 SMI -0.4 -0.5 -0.5 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.2 -0.0 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 0.5 0.2 -0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -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 0.1 -0.1 0.0 -0.2 -0.0 -0.2 -0.0 0.0 0.2 0.1 0.2 0.1 -0.1 0.4 0.4 0.3 0.3 0.0 0.0 0.1 0.0 0.1 -2.7 0.0 0.0 0.0 0.1 0.0 0.1 1.1 0.5 0.6 0.4 0.2 -0.7 -0.3 -0.7 -0.1 SOYMEAL 0.6 0.4 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 0.0 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 -0.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -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 -0.2 -0.5 -0.6 -0.4 -0.2 0.1 0.4 0.6 SP400 -0.1 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -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 -0.2 -0.1 -0.3 -0.1 -0.2 -0.5 -0.5 -0.7 SP500_micro 0.1 -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 0.0 -0.0 0.0 0.1 0.0 -0.4 0.3 0.1 -0.1 0.1 -0.0 -0.4 -0.0 -0.6 SUGAR11 -0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 0.1 0.5 0.1 0.7 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.0 0.3 0.0 0.5 0.1 1.1 0.2 0.5 0.6 0.6 -0.6 -0.6 0.3 0.1 US10 0.5 0.3 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.0 -0.3 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 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 0.5 0.2 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.3 -0.0 -0.1 -0.0 -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 0.2 -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 0.1 0.1 -0.7 -0.7 -0.3 -0.7 US20 0.6 0.0 -0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.0 -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 0.5 0.0 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.0 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.3 -0.0 -0.1 -0.2 -0.2 -0.2 -0.7 0.7 0.7 US5 0.5 0.4 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 -0.1 0.0 -0.3 0.0 0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.9 -0.1 -0.1 0.0 0.0 -0.7 -0.7 -0.4 -0.6 VIX -0.3 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 -0.1 -0.6 -0.6 -0.6 -0.6 -0.1 -0.1 -0.2 -0.6 -0.2 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 0.0 -0.2 0.0 -0.3 -0.0 -1.0 -0.0 0.0 0.3 -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 5.5 -9.7 -2.7 -1.0 -1.7 1.3 0.2 -0.5 -5.4 -12.3 1.0 -10.9 0.4 -10.9 -3.0 -3.0 -3.2 -3.1 -4.2 -8.8 2.0 -10.0 1.7 3.3 -2.3 -3.7 -4.5 1.6 -4.8 1.2 -1.3 1.5 5.5 5.1 -4.9 -7.0 -20.0 -1.0 5.2 BITCOIN 20.0 20.0 -0.0 -2.3 -13.1 -3.1 -5.4 -1.1 -0.7 20.0 15.3 20.0 12.9 20.0 17.7 -8.1 -5.0 -7.0 -6.2 20.0 18.1 20.0 7.6 20.0 -20.0 7.4 5.2 3.4 8.0 1.4 9.9 -0.5 20.0 20.0 20.0 20.0 -3.3 20.0 -0.9 20.0 BOBL 13.3 6.7 2.0 -1.4 1.3 -2.5 2.4 -2.7 0.9 0.6 -5.2 6.0 -8.0 5.4 -0.1 11.2 -3.3 3.2 -2.6 -0.1 -4.4 5.0 -9.2 4.3 9.3 -0.1 0.1 -1.9 2.5 -3.4 2.2 -3.3 -6.1 -1.0 6.9 8.9 -19.3 -20.0 -14.3 -18.8 BTP 20.0 -5.6 -10.1 -1.9 1.8 -3.4 3.3 -3.7 1.3 9.4 -5.3 10.7 -1.8 4.0 -4.5 7.9 7.6 6.9 6.7 -2.0 -5.8 15.6 -6.1 8.5 -6.8 -0.7 4.5 -1.9 5.6 -1.6 3.1 15.2 9.5 7.0 4.8 5.7 -13.4 -20.0 -0.4 6.8 BUND 13.6 2.6 -1.8 -1.4 1.3 -2.6 2.5 -2.7 0.9 3.4 -6.2 6.3 -8.6 2.9 -3.3 -2.6 4.9 -0.8 1.6 -1.7 -5.7 6.8 -9.5 4.0 6.1 -0.8 1.5 -2.3 3.3 -3.2 1.9 8.8 -2.5 -0.0 4.4 5.4 -20.0 -20.0 -20.0 -3.3 BUXL 14.4 0.6 -3.2 -1.5 1.4 -2.7 2.6 -2.9 1.0 3.7 -7.9 4.7 -9.5 -0.7 -6.0 0.5 0.8 0.5 0.8 -4.9 -8.7 7.6 -11.6 2.1 1.4 -1.8 2.5 -3.0 3.2 -3.3 1.0 4.5 0.8 -1.2 -0.8 -1.3 -17.8 -20.0 -11.5 16.9 CAC 1.1 -15.5 -18.8 -4.2 3.8 -3.7 3.9 -1.2 -0.5 16.8 -8.8 9.1 12.9 -8.7 -14.1 -4.0 -2.6 -5.1 -4.5 -14.1 -10.8 10.1 2.4 -4.0 -5.5 -5.1 6.2 -3.9 4.0 0.2 -1.3 4.3 -12.1 -3.7 2.1 6.4 8.5 3.7 14.2 9.8 CAD -3.6 -8.1 -12.3 -3.8 -1.4 -2.4 1.8 0.3 -0.7 -6.0 -14.5 -7.1 -14.5 -12.9 -17.5 -2.6 -2.2 -2.5 -2.4 -15.0 -13.2 -6.0 -10.5 -11.0 2.1 -6.4 -2.9 -5.5 -2.1 -3.9 -4.6 0.0 -9.9 -14.0 -7.1 -13.8 -19.2 -20.0 -12.9 -20.0 CANOLA -2.3 -20.0 -11.6 -2.8 0.1 -3.1 -0.0 -3.1 -1.4 2.0 -2.4 -3.7 -4.2 -8.7 -10.0 -17.0 3.2 -12.0 -4.6 -14.8 -10.5 -2.9 -6.7 -10.7 -20.0 -3.4 -0.5 -2.7 -0.6 -2.2 -2.4 -0.2 2.3 -11.6 -20.0 -12.6 -10.4 -3.9 6.5 8.1 CHF 9.7 -6.1 -18.9 -3.5 -1.3 -2.3 1.7 0.2 -0.6 4.5 -9.8 -3.7 4.9 0.1 -11.5 -16.4 -14.8 -16.6 -15.8 -9.9 -9.2 -2.6 -1.9 -4.6 -8.6 -4.0 -1.8 -3.6 -1.2 -1.0 -2.1 -20.0 -20.0 6.6 -10.0 -9.6 -20.0 -20.0 -20.0 -20.0 COCOA 20.0 6.0 7.5 -5.8 0.3 -6.4 -0.0 -6.3 -2.9 20.0 20.0 20.0 20.0 20.0 20.0 -4.3 -2.7 -4.1 -3.4 20.0 20.0 20.0 20.0 20.0 -20.0 8.0 6.5 8.3 8.5 9.5 9.2 -5.0 20.0 20.0 20.0 20.0 7.5 -4.7 20.0 7.8 COFFEE 20.0 17.6 2.7 -4.8 0.2 -5.2 -0.0 -5.2 -2.4 17.3 -11.1 18.1 -13.3 16.3 10.3 2.8 1.5 0.5 0.6 11.1 -1.9 20.0 -9.6 20.0 -20.0 4.4 7.9 0.7 8.6 -1.1 7.7 2.0 20.0 20.0 20.0 11.1 -20.0 -20.0 -20.0 -12.2 COPPER 12.2 -5.7 -10.9 -1.9 -10.9 -2.6 -4.5 -0.9 -0.6 -12.6 -16.9 7.5 -6.9 -5.7 -15.1 -9.2 -4.2 -7.5 -5.9 -8.8 -13.5 2.0 -12.4 0.5 -6.4 -3.0 -5.7 -5.1 1.2 -4.7 1.1 0.5 20.0 -1.2 -10.2 2.6 0.9 -20.0 7.3 -20.0 CORN 0.8 5.9 -18.4 -5.2 0.2 -5.7 -0.0 -5.6 -2.6 -13.5 -19.9 -14.1 -19.3 -3.3 -18.2 -5.8 1.0 -5.8 -3.8 -7.9 -18.1 -4.6 -20.0 -3.5 -19.9 -2.2 -5.7 -4.8 -3.1 -8.0 -2.0 -2.3 -2.4 -8.4 15.1 -2.0 -7.4 -2.2 3.3 5.1 COTTON2 -20.0 -18.2 0.2 -4.3 0.2 -4.7 -0.0 -4.6 -2.1 -12.3 1.4 -15.7 -8.6 -16.4 -10.2 -9.6 2.0 -5.6 -2.0 -16.1 -4.9 -20.0 -2.1 -20.0 -20.0 -4.6 -7.9 -1.1 -9.5 0.5 -8.0 0.2 -20.0 -20.0 -17.8 5.1 -20.0 -13.6 0.3 6.0 CRUDE_W -12.6 -20.0 13.3 -0.8 -9.3 3.2 -7.7 3.9 -5.2 -15.5 12.0 -13.7 7.8 -7.1 6.6 8.6 11.3 12.6 12.0 3.8 12.9 -19.6 12.9 -9.5 -5.1 1.3 -9.7 5.7 -7.9 6.7 -4.2 -20.0 4.0 5.1 14.1 1.3 19.4 10.1 20.0 9.4 DAX 0.1 -16.5 -20.0 -3.8 3.4 -3.4 3.6 -1.0 -0.4 16.8 -12.3 7.3 9.4 -8.5 -14.7 -9.5 -8.1 -9.6 -9.1 -16.5 -14.3 11.8 -2.4 -4.4 16.8 -5.1 5.8 -4.6 3.9 -1.5 -1.2 -4.5 -0.6 -3.7 -3.8 -2.3 8.6 2.4 15.6 10.9 DOW 7.3 -14.4 -17.0 -2.9 2.6 -2.5 2.7 -0.8 -0.3 10.0 -4.0 10.7 6.0 -1.1 -6.8 -9.7 -9.0 -10.6 -10.3 -6.5 -6.1 11.5 -1.6 2.1 -8.6 -2.5 2.5 -1.8 3.3 0.2 0.1 -6.4 1.1 6.4 -3.0 6.3 -16.6 -7.5 -20.0 -8.4 DX -16.9 1.9 20.0 -3.5 -1.3 -2.3 1.7 0.2 -0.6 -2.5 16.1 -4.8 -3.1 1.9 15.9 7.0 6.0 7.2 6.6 11.3 15.2 -7.2 11.2 -0.7 -20.0 4.4 -1.3 6.0 -3.6 4.9 -0.6 14.8 -20.0 -5.7 20.0 20.0 7.0 8.3 10.7 20.0 EUR 15.9 -1.6 -16.6 -2.9 -1.1 -1.9 1.4 0.2 -0.5 5.6 -11.2 9.0 3.2 4.3 -10.6 -6.2 -6.8 -6.6 -6.6 -5.4 -8.6 8.1 -5.8 3.5 11.6 -2.6 1.9 -3.9 4.0 -2.6 1.7 -7.5 5.7 12.8 0.7 -8.8 -12.5 -17.8 -9.8 -5.6 EURIBOR-ICE 20.0 14.9 8.9 -1.3 1.2 -2.3 2.2 -2.5 0.8 2.8 -1.6 6.7 -6.5 6.7 5.4 -3.2 -7.2 -5.7 -7.0 6.1 0.4 10.2 -6.4 11.0 17.2 1.9 0.7 0.2 3.2 -1.6 3.4 -9.7 1.4 7.8 15.1 15.2 -20.0 -20.0 5.2 19.8 EUROSTX 3.8 -10.4 -16.6 -3.8 3.5 -3.4 3.6 -1.1 -0.4 16.8 -8.8 11.6 11.4 -3.7 -13.3 -5.5 -2.5 -5.4 -4.6 -9.1 -8.2 14.5 2.3 1.7 4.5 -3.6 8.7 -3.6 6.9 0.1 1.2 4.2 -2.1 5.4 10.0 7.2 5.3 4.9 9.2 14.5 FEEDCOW -20.0 -20.0 -20.0 -3.5 0.2 -3.9 -0.0 -3.8 -1.8 -12.3 1.3 -12.9 8.5 -13.6 -10.9 -12.7 -20.0 -13.1 -20.0 -18.1 -2.9 -20.0 8.4 -20.0 -1.9 -3.5 -6.6 0.1 -5.5 2.8 -5.4 -20.0 -20.0 -20.0 -20.0 -0.2 14.1 -1.8 20.0 7.5 GASOIL -18.1 -20.0 16.8 -0.7 -7.5 2.6 -6.2 3.2 -4.2 -13.4 10.3 -13.7 7.5 -10.3 5.4 19.9 20.0 20.0 20.0 0.4 11.7 -20.0 13.7 -12.8 8.5 0.5 -9.3 4.6 -6.9 4.9 -4.1 0.0 -1.8 -0.5 5.0 11.4 -8.0 0.3 -12.5 -5.1 GASOLINE -6.4 -20.0 -3.8 -0.8 -9.3 3.2 -7.7 3.9 -5.2 -15.2 6.8 -14.0 6.2 -14.5 -8.1 1.9 20.0 20.0 20.0 -8.1 2.9 -17.4 11.0 -14.5 -20.0 -3.3 -6.3 1.2 -5.9 5.1 -5.3 14.1 11.6 9.8 -14.4 -19.7 20.0 9.9 20.0 5.8 GAS_US_mini -7.2 12.6 17.5 -1.0 -10.8 3.7 -9.0 4.6 -6.1 -19.0 -14.9 -16.4 -20.0 -11.9 -13.3 -20.0 -20.0 -20.0 -20.0 -5.6 -10.3 -20.0 -20.0 -10.1 20.0 -1.2 -18.5 -0.6 -11.7 -2.5 -5.0 -20.0 12.4 -11.8 20.0 -20.0 -9.5 6.4 -14.9 2.1 GBP 12.0 -7.1 -17.7 -3.0 -1.1 -1.9 1.4 0.2 -0.6 -0.6 -9.4 2.5 6.1 -2.4 -12.6 -0.7 -0.8 -0.6 -0.6 -7.5 -7.7 4.7 -2.9 0.4 0.6 -3.3 0.2 -3.6 2.7 -1.9 0.5 2.9 5.0 6.3 -6.2 -9.7 -7.3 5.3 -1.1 20.0 GOLD_micro 20.0 13.2 -8.7 -1.5 -8.6 -2.0 -3.6 -0.7 -0.5 -12.2 -3.9 3.6 2.6 10.8 7.5 -15.1 -14.7 -16.5 -16.2 7.3 -0.3 -2.4 -1.1 9.8 -6.8 1.8 -3.8 0.1 -0.7 0.2 2.5 -17.6 -6.2 20.0 9.0 5.9 -11.0 -20.0 -9.4 -20.0 HEATOIL -17.6 -20.0 12.3 -0.8 -9.1 3.1 -7.6 3.9 -5.1 -16.0 10.8 -14.9 7.5 -12.2 4.3 20.0 20.0 20.0 20.0 -1.4 11.5 -20.0 14.4 -16.5 -20.0 -0.7 -11.9 4.6 -9.2 6.6 -5.8 1.3 -6.6 -0.9 -2.3 8.3 7.3 -2.2 1.4 -6.9 JGB-SGX-mini -2.5 -8.3 -18.3 -1.4 1.3 -2.4 2.3 -2.6 0.9 4.0 -4.9 -1.6 1.4 -3.4 -7.2 12.7 19.2 14.3 15.7 -7.2 -5.9 0.9 -2.2 -4.4 -1.6 -2.8 1.3 -2.4 -0.0 -1.4 -1.9 20.0 -15.3 -17.4 -4.3 -3.3 1.9 -18.1 14.4 15.0 JPY 8.9 4.4 -15.5 -2.5 -0.9 -1.6 1.2 0.2 -0.5 -8.9 -14.4 -7.4 -13.9 -10.6 -13.6 -18.8 -15.9 -18.9 -17.7 -14.6 -20.0 -7.5 -20.0 -9.3 20.0 -5.4 -3.5 -6.5 -3.3 -6.9 -3.9 -20.0 -18.8 -11.3 -10.4 -15.5 -7.0 -20.0 -3.1 -20.0 LEANHOG 4.2 -7.8 0.6 -3.2 0.1 -3.5 -0.0 -3.5 -1.6 5.7 -1.0 9.4 -6.3 -3.0 -5.6 -18.1 20.0 18.5 20.0 -4.7 -7.3 5.9 -10.6 0.8 13.4 -2.1 1.6 -4.7 3.1 -7.6 0.9 20.0 17.2 -0.1 0.2 -1.6 -8.5 -3.6 11.1 18.9 LIVECOW -20.0 -20.0 -20.0 -3.5 0.2 -3.8 -0.0 -3.8 -1.7 -12.1 5.9 -11.4 10.2 -11.1 -7.7 -10.4 -4.9 -15.7 -9.3 -10.1 0.8 -20.0 8.3 -18.2 0.0 -3.1 -8.5 0.9 -6.8 3.8 -5.6 -9.8 -20.0 -20.0 -16.3 0.8 -8.9 -20.0 -2.7 -10.8 LUMBER-new 11.8 4.0 -6.9 -6.2 0.3 -6.5 -0.0 -5.5 -3.1 20.0 -20.0 20.0 -20.0 12.9 -14.6 -16.4 -14.8 -16.4 -15.5 -3.5 -14.3 20.0 -16.2 14.4 NaN -0.5 15.7 -4.7 15.3 -4.8 7.8 -20.0 20.0 18.4 17.0 -15.3 -14.4 -20.0 -7.7 -18.1 MILK -7.9 -8.8 -3.7 -4.1 0.2 -4.5 -0.0 -4.4 -2.0 -8.1 -9.2 -14.5 -13.2 -15.3 -7.3 -15.0 -20.0 -18.0 -20.0 -12.5 -15.1 -14.9 -20.0 -14.7 4.3 -4.4 -4.0 -6.1 -5.7 -9.4 -5.1 -20.0 -20.0 -8.9 -13.3 9.6 -20.0 -20.0 -20.0 -20.0 MXP 12.4 -18.7 -19.6 -2.5 1.8 -1.6 2.6 0.2 -0.2 9.1 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 0.7 6.1 4.3 2.8 20.0 20.0 18.4 1.5 3.9 10.6 12.3 17.7 20.0 NASDAQ_micro -0.8 -14.3 -20.0 -2.5 2.2 -2.2 2.3 -0.7 -0.3 9.6 4.6 8.7 7.6 2.2 -4.2 -9.2 -8.7 -9.7 -9.6 -1.8 2.2 14.4 7.9 4.5 -20.0 -0.8 4.7 1.1 4.7 4.0 1.2 -5.5 14.6 1.4 4.1 5.7 4.1 -13.1 2.8 -15.7 NIKKEI 3.5 -17.0 -15.8 -2.8 2.5 -2.5 2.6 -0.8 -0.3 11.4 8.4 10.6 10.0 2.6 0.0 3.2 10.1 6.0 8.5 1.0 4.0 12.9 9.6 6.2 -7.6 -0.0 5.0 2.0 5.4 5.1 2.3 20.0 7.0 11.7 9.7 13.1 -4.0 1.9 -4.6 11.0 NZD 1.4 6.1 -9.0 -2.4 -0.9 -1.5 1.1 0.2 -0.4 1.3 -10.7 1.2 -3.0 -2.4 -9.5 -0.1 0.2 -0.1 0.1 -4.2 -6.8 3.9 -7.2 0.4 0.9 -1.9 1.4 -3.1 3.0 -3.2 0.8 4.3 7.5 -3.9 7.6 -2.4 3.2 -15.6 9.2 8.9 OAT 14.9 0.5 -3.0 -1.6 1.4 -2.7 2.7 -2.9 1.0 4.5 -6.6 7.0 -9.0 2.3 -3.9 5.8 7.7 6.0 6.5 -2.0 -6.0 8.5 -9.2 4.6 8.4 -0.8 2.3 -2.3 3.9 -3.1 2.2 15.2 0.2 1.0 4.4 5.5 -20.0 -20.0 -8.0 11.2 OATIES -14.0 -20.0 -10.3 -3.0 0.1 -3.2 -0.0 -3.2 -1.5 -11.0 -2.0 -11.6 -2.7 -11.8 -10.9 -19.8 -9.2 -18.8 -16.0 -20.0 -7.7 -20.0 1.2 -20.0 -20.0 -3.4 -6.6 -1.2 -5.7 0.1 -4.7 -20.0 -20.0 -20.0 -20.0 -7.1 10.5 11.2 20.0 20.0 OJ -20.0 -7.6 -4.5 -4.6 0.2 -5.1 -0.0 -5.0 -2.3 -5.0 18.2 -8.1 19.4 6.1 14.8 20.0 20.0 20.0 20.0 20.0 20.0 -6.9 20.0 6.9 -20.0 6.0 0.2 8.3 -1.4 9.4 1.8 20.0 -20.0 8.0 20.0 20.0 3.8 8.7 17.5 20.0 PALLAD -5.2 -2.0 -0.5 -1.2 -6.8 -1.6 -2.8 -0.6 -0.4 -11.9 -13.6 -11.3 -14.0 -12.1 -12.4 -2.3 -2.7 -2.7 -2.8 -15.7 -18.0 -20.0 -20.0 -17.1 3.6 -4.5 -11.0 -3.9 -7.7 -3.9 -5.5 4.3 -20.0 -20.0 -18.6 -7.9 -9.4 -8.9 5.0 -4.4 PLAT 9.3 1.3 -5.7 -1.1 -6.5 -1.5 -2.7 -0.5 -0.4 -11.0 -10.3 -5.3 -5.4 -2.8 -6.1 -3.5 -2.8 -3.6 -3.3 -4.0 -6.3 -11.9 -5.8 -3.9 12.8 -0.7 -12.8 -1.2 -6.3 -1.1 -1.5 3.8 -8.4 -3.7 -0.3 4.8 0.6 -16.9 9.8 -13.4 REDWHEAT -0.9 -15.5 -20.0 -5.0 0.2 -5.5 -0.0 -5.4 -2.5 10.0 -20.0 -7.9 -20.0 -17.3 -20.0 -7.0 -0.6 -5.4 -3.1 -20.0 -20.0 -6.3 -20.0 -18.5 -18.9 -7.4 1.4 -7.1 -1.8 -5.0 -5.3 -2.7 -9.1 -18.5 -19.7 -20.0 -20.0 -20.0 -20.0 -12.1 RICE -4.7 -5.0 4.0 -5.4 0.2 -6.0 -0.0 -5.9 -2.7 17.0 8.8 2.2 5.6 -4.2 -1.8 -20.0 5.7 -15.1 -2.2 -0.7 3.5 7.5 4.4 -2.3 -20.0 -1.4 18.7 0.6 5.3 1.3 -1.4 6.4 -2.5 -3.9 7.2 16.8 -4.4 -20.0 14.2 -7.8 ROBUSTA 12.7 -10.0 -12.4 -3.5 0.2 -3.8 -0.0 -3.8 -1.7 10.4 8.3 0.9 10.6 0.9 -0.2 20.0 20.0 20.0 20.0 2.3 5.5 5.3 11.4 3.2 -16.6 1.6 4.0 2.6 2.6 5.0 2.1 20.0 -8.3 20.0 13.5 7.8 -3.7 -11.9 15.7 0.2 RUSSELL 0.8 -16.2 -19.8 -2.4 2.2 -2.1 2.3 -0.7 -0.3 -0.0 -8.9 -0.0 -6.9 -6.3 -9.7 -6.5 -6.3 -7.2 -7.1 -12.5 -10.9 0.1 -6.8 -6.3 -1.9 -3.2 -0.8 -2.5 0.3 -1.1 -1.6 -1.3 -8.9 -5.7 -10.7 -4.5 -13.5 -14.4 -20.0 -20.0 SHATZ 10.7 10.3 1.4 -1.4 1.3 -2.4 2.4 -2.6 0.9 -5.5 -7.1 4.0 -8.5 3.2 -2.2 -20.0 -14.3 -20.0 -20.0 -1.4 -6.7 0.9 -13.6 1.9 10.6 -0.5 -2.2 -2.5 0.3 -5.0 1.0 -20.0 -12.8 -5.4 7.3 9.9 -16.7 -20.0 -10.1 -20.0 SILVER-mini 9.6 -4.3 -9.5 -1.4 -8.0 -1.9 -3.3 -0.7 -0.4 -9.3 -5.5 -1.7 1.6 4.4 -3.8 -7.5 -6.5 -7.5 -7.2 -3.6 -5.2 -3.3 -2.8 -1.0 7.0 -0.7 -3.4 -0.6 -1.8 0.1 -0.4 -2.7 3.8 5.0 -2.1 4.2 -14.9 -20.0 -3.3 -20.0 SMI -12.1 -15.9 -15.4 -3.1 2.8 -2.7 2.9 -0.9 -0.4 13.7 -8.1 -3.5 0.2 -8.6 -11.2 4.9 2.1 3.2 1.9 -14.7 -11.8 3.2 -5.9 -8.8 5.4 -4.0 2.7 -3.1 1.0 -2.0 -2.5 13.4 -7.7 -18.9 -0.9 6.8 -8.3 -11.3 -5.9 -6.0 SOFR 16.9 5.8 -11.1 -1.2 1.1 -2.2 2.1 -2.3 0.8 3.7 -6.0 5.8 -5.4 2.2 -3.7 0.5 -0.7 -0.3 -0.7 -3.1 -5.9 6.2 -6.0 2.7 -1.3 -1.3 1.1 -2.3 2.4 -2.2 0.9 1.5 0.5 -2.6 0.5 0.5 -20.0 -20.0 -5.2 -8.7 SOYBEAN 11.8 -3.2 1.6 -5.3 0.2 -5.8 -0.0 -5.7 -2.6 4.2 8.0 13.0 4.9 7.1 -7.5 18.1 17.9 14.8 14.9 3.4 1.7 14.4 1.0 10.7 -20.0 2.9 2.0 1.4 8.5 1.1 6.8 20.0 20.0 20.0 11.3 6.7 -20.0 -8.0 -20.0 -2.7 SOYMEAL 20.0 11.8 0.5 -3.4 0.1 -3.7 -0.0 -3.6 -1.7 9.2 0.8 12.5 2.5 12.2 8.2 17.0 17.5 14.5 15.6 12.0 4.3 20.0 2.7 20.0 -20.0 3.7 3.8 2.0 6.0 2.0 5.7 20.0 20.0 20.0 20.0 13.5 -20.0 -20.0 -20.0 -20.0 SOYOIL -13.5 -20.0 -11.6 -2.6 0.1 -2.9 -0.0 -2.8 -1.3 -4.8 -1.3 -8.9 -2.5 -10.3 -9.6 5.2 11.0 9.5 10.3 -16.5 -9.2 -9.6 -3.3 -16.1 -20.0 -3.4 -0.7 -2.0 -2.0 -0.8 -3.3 18.2 -9.5 -14.3 -20.0 -11.1 -6.6 3.4 10.5 18.1 SP400 -2.4 -17.2 -20.0 -2.4 2.2 -2.1 2.3 -0.7 -0.3 2.7 -7.7 0.5 -1.6 -5.0 -8.8 -5.2 -5.1 -5.4 -5.4 -11.5 -9.5 1.7 -4.5 -5.5 -8.6 -3.1 -0.1 -2.3 0.6 -0.7 -1.5 1.3 -7.9 -4.4 -7.9 -2.5 -7.3 -15.5 -13.7 -20.0 SP500_micro 1.6 -17.5 -20.0 -2.8 2.6 -2.5 2.7 -0.8 -0.3 10.6 -0.4 9.3 5.8 -1.3 -6.7 -10.0 -9.9 -10.9 -10.9 -6.8 -3.9 13.4 2.2 1.8 -16.0 -2.2 3.4 -0.9 3.9 1.5 0.3 -7.6 11.2 1.7 -3.5 2.8 -1.2 -12.5 -1.1 -17.1 SUGAR11 -2.4 -2.8 1.2 -5.0 0.2 -5.4 -0.0 -5.4 -2.5 8.1 19.5 10.9 19.2 14.6 18.4 20.0 17.9 20.0 19.9 16.1 20.0 7.2 20.0 10.8 -20.0 6.4 2.7 9.5 3.3 14.7 4.6 20.0 6.6 15.7 20.0 20.0 -18.0 -17.7 9.9 4.3 US10 16.5 8.1 -8.2 -1.2 1.1 -2.1 2.0 -2.2 0.7 3.4 -6.6 4.6 -7.0 -0.8 -4.9 -5.1 -7.0 -6.7 -7.5 -4.9 -8.0 4.9 -8.8 0.8 1.1 -1.8 0.9 -2.7 1.6 -2.7 0.2 -9.9 -1.0 -4.0 -3.2 -2.8 -20.0 -20.0 -1.5 0.6 US10U 16.4 4.8 -9.9 -1.4 1.3 -2.5 2.4 -2.7 0.9 4.3 -8.0 5.4 -8.4 -1.6 -6.3 -0.5 -0.5 0.0 -0.5 -6.6 -10.1 6.2 -10.6 0.6 -1.9 -2.3 1.3 -3.3 1.9 -3.1 0.0 1.9 -1.4 -4.7 -5.4 -5.5 -20.0 -20.0 5.7 15.2 US2 15.8 20.0 5.8 -1.3 1.2 -2.2 2.2 -2.4 0.8 -1.7 -7.7 2.3 -8.0 1.4 -4.5 -20.0 -20.0 -20.0 -20.0 -3.4 -8.8 1.5 -13.4 0.8 8.0 -1.1 -1.0 -3.3 1.1 -5.3 0.8 -20.0 -9.0 -4.4 4.5 3.7 -20.0 -20.0 -9.1 -20.0 US20 19.0 1.3 -11.0 -1.1 1.0 -1.9 1.8 -2.0 0.7 3.4 -6.0 4.3 -6.2 -1.5 -4.8 -0.0 -1.6 -1.1 -1.6 -5.5 -8.2 5.8 -8.1 0.7 -1.8 -1.8 1.2 -2.5 1.5 -2.3 0.0 0.0 0.7 -1.9 -6.5 -7.2 -11.2 -20.0 14.7 20.0 US30 16.1 0.7 -8.1 -1.1 1.0 -1.9 1.9 -2.1 0.7 3.4 -6.3 3.6 -6.5 -2.1 -5.2 -3.7 -4.0 -5.0 -4.9 -5.7 -8.1 5.0 -8.3 0.0 -1.3 -1.9 1.3 -2.6 1.4 -2.4 -0.1 -4.8 -1.3 -3.3 -6.0 -6.5 -7.0 -20.0 20.0 20.0 US5 15.9 12.4 -5.0 -1.2 1.1 -2.1 2.1 -2.3 0.8 2.4 -7.0 4.4 -7.4 0.6 -4.6 -9.0 -10.4 -11.1 -11.6 -3.9 -7.6 4.2 -9.3 1.3 3.1 -1.6 0.5 -2.9 1.9 -3.4 0.6 -16.4 -2.9 -3.9 0.5 0.5 -20.0 -20.0 -10.9 -18.6 VIX -5.6 20.0 20.0 -1.1 -4.6 -2.9 -5.7 -5.7 -2.8 -10.4 -11.1 -11.3 -12.6 -6.7 -3.2 -20.0 -20.0 -20.0 -20.0 -4.4 -7.9 -15.5 -14.3 -9.2 NaN -1.2 -5.2 -3.3 -6.5 -6.7 -3.3 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 7.2 -0.3 -20.0 -5.2 0.2 -5.7 -0.0 -5.6 -2.6 8.0 -20.0 4.3 -20.0 1.2 -19.7 -12.4 -10.4 -12.0 -11.4 -14.5 -20.0 3.9 -20.0 -3.2 -5.6 -5.1 5.3 -8.3 3.0 -9.6 -0.9 -18.8 -0.0 0.8 8.8 -12.5 -20.0 -18.6 -20.0 -14.7 End of report for caleb_strategy_v3