******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231115_204334 produced at 2023-11-15 21:39:44.187758 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.38 0.0 0.00 0.00 0.00 0.00 -4.34 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 -4.57 24.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.17 0.0 0.11 -0.11 -0.11 -0.11 -26.90 17.0 -17 -17 caleb_strategy_v3 CAD False False 0.03 0.00 -0.12 0.0 0.78 -0.78 0.00 0.00 -4.62 29.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.31 -0.12 0.0 0.68 -0.68 -0.31 -0.26 -2.29 13.0 -6 -5 caleb_strategy_v3 US2 False True 0.07 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -1.48 13.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.10 -0.10 0.0 0.21 -0.21 -0.10 -0.07 -3.07 6.0 -3 -2 caleb_strategy_v3 LIVECOW False False 0.03 -0.11 -0.08 0.0 0.45 -0.45 -0.11 -0.11 -2.99 17.0 -4 -4 caleb_strategy_v3 JPY False False 0.03 -0.15 -0.08 0.0 0.52 -0.52 -0.15 -0.15 -2.78 17.0 -5 -5 caleb_strategy_v3 GOLD_micro False False 0.01 -0.02 -0.07 0.0 0.41 -0.41 -0.02 -0.04 -9.73 56.0 -3 -6 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.06 0.0 0.34 -0.34 -0.04 -0.04 -1.51 8.0 -1 -1 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.06 -0.06 0.00 0.00 -4.17 5.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.20 -0.20 -0.02 -0.02 -12.65 51.0 -6 -6 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.05 0.0 0.11 -0.11 -0.05 -0.05 -5.71 12.0 -5 -5 caleb_strategy_v3 COTTON2 False False 0.01 -0.07 -0.05 0.0 0.16 -0.16 -0.07 -0.07 -3.04 11.0 -5 -5 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -5.14 2.0 0 0 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.02 -0.04 0.0 0.00 -0.02 -0.02 -0.02 -13.01 26.0 -6 -6 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.04 0.0 0.19 -0.19 0.00 0.00 -0.46 2.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.16 -0.04 0.0 0.97 -0.97 -0.16 -0.16 -1.13 25.0 -4 -4 caleb_strategy_v3 REDWHEAT False False 0.01 -0.05 -0.03 0.0 0.10 -0.10 -0.05 -0.05 -2.46 8.0 -4 -4 caleb_strategy_v3 SMI False False 0.04 0.00 -0.03 0.0 0.40 -0.40 0.00 0.00 -0.70 9.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.03 -0.03 0.0 0.40 -0.40 -0.03 -0.02 -3.63 48.0 -3 -2 caleb_strategy_v3 PALLAD False False 0.04 -0.08 -0.03 0.0 0.08 -0.08 -0.08 -0.08 -0.75 2.0 -2 -2 caleb_strategy_v3 RUSSELL False False 0.00 -0.04 -0.03 0.0 0.23 -0.23 -0.04 -0.04 -10.12 68.0 -12 -11 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.11 -0.11 -0.04 -0.04 -2.81 9.0 -3 -3 caleb_strategy_v3 DOW False False 0.01 -0.05 -0.03 0.0 0.43 -0.43 -0.05 -0.05 -5.00 66.0 -8 -7 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.02 0.0 0.27 -0.27 -0.01 0.00 -1.31 23.0 -1 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -2.91 3.0 0 0 caleb_strategy_v3 US10 False True 0.04 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.50 17.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.12 -0.12 -0.03 -0.03 -0.71 10.0 -3 -3 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.53 0.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.01 0.0 0.46 -0.46 0.00 0.00 -0.46 19.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.01 0.0 0.89 -0.89 0.00 0.00 -0.21 19.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.28 3.0 0 0 caleb_strategy_v3 US10U False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.24 13.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.00 0.00 0.0 0.70 -0.70 0.00 0.05 0.07 14.0 0 1 caleb_strategy_v3 DX False True 0.04 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.13 999999999.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.00 0.0 0.52 -0.52 0.00 0.00 -0.09 10.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.08 9.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.02 0.00 0.00 0.0 0.15 -0.15 0.00 0.00 0.30 9.0 0 0 caleb_strategy_v3 US30 False True 0.04 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.07 6.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.05 4.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.00 0.0 0.17 -0.17 -0.02 -0.02 -0.23 10.0 -1 -1 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.06 4.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.15 -0.15 0.00 0.00 -0.06 6.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.02 0.01 0.0 0.19 -0.19 0.02 0.02 1.24 18.0 2 2 caleb_strategy_v3 SOYBEAN False False 0.02 0.00 0.01 0.0 0.17 -0.17 0.00 0.00 0.35 7.0 0 0 caleb_strategy_v3 CAC False False 0.03 0.09 0.01 0.0 0.35 -0.35 0.09 0.14 0.22 12.0 3 5 caleb_strategy_v3 RICE False False 0.01 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.54 4.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.0 0.22 -0.22 0.02 0.02 1.01 23.0 2 2 caleb_strategy_v3 GBP False False 0.03 0.00 0.01 0.0 0.63 -0.63 0.00 0.00 0.41 22.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.04 0.01 0.0 0.47 -0.47 0.04 0.04 0.42 21.0 2 2 caleb_strategy_v3 BTP False False 0.05 0.00 0.02 0.0 0.45 -0.45 0.00 0.00 0.38 10.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.02 0.0 0.12 -0.12 0.00 0.00 0.63 4.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.03 0.0 0.07 -0.07 0.00 0.00 1.49 3.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.04 0.0 0.37 -0.37 0.00 0.00 6.37 58.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.03 0.04 0.0 0.38 -0.38 0.03 0.03 2.71 26.0 2 2 caleb_strategy_v3 LEANHOG False False 0.01 0.02 0.04 0.0 0.14 -0.14 0.02 0.02 3.85 13.0 2 2 caleb_strategy_v3 EUROSTX False False 0.02 0.02 0.05 0.0 0.35 -0.35 0.02 0.02 2.67 20.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.05 0.0 0.14 -0.14 0.05 0.05 1.84 5.0 2 2 caleb_strategy_v3 OAT False False 0.05 0.10 0.05 0.0 0.50 -0.50 0.10 0.10 0.90 10.0 2 2 caleb_strategy_v3 JGB-SGX-mini False True 0.04 -0.11 0.07 0.0 0.00 -0.11 -0.11 -0.11 2.07 16.0 -3 -3 caleb_strategy_v3 BITCOIN False False 0.00 0.04 0.08 0.0 0.08 -0.08 0.04 0.05 54.41 59.0 31 36 caleb_strategy_v3 NIKKEI False False 0.01 0.10 0.10 0.0 0.29 -0.29 0.10 0.09 12.70 36.0 12 11 caleb_strategy_v3 MXP False False 0.01 0.24 0.22 0.0 0.64 -0.64 0.24 0.24 20.97 60.0 23 23 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.00 0.80 0.0 0.98 -0.98 0.00 0.00 8.20 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 11.2 Shocked risk 25.7 Sum abs risk 47.3 Leverage 3.89 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2712470.5, 'annual_cash_vol_target': 678117.625, 'daily_cash_vol_target': 42382.3515625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0049 0.6515 0.7495 11.9917 BITCOIN 897.1593 38380.0000 2.3376 37.4011 BOBL 0.2650 116.6000 0.2272 3.6358 BTP 0.6658 113.2100 0.5881 9.4103 BUND 0.5643 130.5400 0.4323 6.9170 BUXL 1.4254 125.8200 1.1329 18.1264 CAC 58.6263 7227.0000 0.8112 12.9794 CAD 0.0032 0.7310 0.4323 6.9167 CANOLA 7.6661 724.2000 1.0586 16.9369 CHF 0.0055 1.1296 0.4877 7.8033 COCOA 40.9947 4009.0000 1.0226 16.3611 COFFEE 3.0391 176.0000 1.7268 27.6283 COPPER 0.0360 3.7150 0.9693 15.5094 CORN 5.1757 512.7500 1.0094 16.1503 COTTON2 1.1146 81.0300 1.3756 22.0090 CRUDE_W 1.1749 73.8900 1.5901 25.4420 DAX 122.8459 15810.0000 0.7770 12.4322 DOW 238.9866 35070.0000 0.6815 10.9033 DX 0.4958 104.2850 0.4755 7.6075 EUR 0.0061 1.0859 0.5586 8.9378 EURIBOR-ICE 0.0512 97.3350 0.0526 0.8418 EUROSTX 38.0064 4324.0000 0.8790 14.0634 FEEDCOW 2.3529 233.5750 1.0073 16.1173 GASOIL 13.6418 796.2500 1.7133 27.4120 GASOLINE 0.0395 2.1776 1.8143 29.0291 GAS_US_mini 0.1056 3.3450 3.1573 50.5164 GBP 0.0082 1.2417 0.6630 10.6075 GOLD_micro 13.5050 1965.1000 0.6872 10.9959 HEATOIL 0.0449 2.7447 1.6351 26.1615 JGB-SGX-mini 0.2528 144.6600 0.1747 2.7957 JPY 0.0000 0.0066 0.6197 9.9152 LEANHOG 1.1923 74.9250 1.5913 25.4606 LIVECOW 1.6839 178.7250 0.9422 15.0747 LUMBER-new 7.8531 544.0000 1.4436 23.0974 MILK 0.1991 17.5200 1.1366 18.1856 MXP 0.0005 0.0574 0.8269 13.2307 NASDAQ_micro 146.7569 15897.5000 0.9231 14.7703 NIKKEI 325.7481 32710.0000 0.9959 15.9339 NZD 0.0048 0.6024 0.7909 12.6545 OAT 0.5904 125.4800 0.4705 7.5280 OATIES 6.8373 369.5000 1.8504 29.6068 OJ 5.9980 399.9500 1.4997 23.9952 PALLAD 22.0515 1019.0000 2.1640 34.6245 PLAT 15.1099 901.5000 1.6761 26.8173 REDWHEAT 9.1339 648.2500 1.4090 22.5440 RICE 0.1439 17.1200 0.8403 13.4443 ROBUSTA 38.2655 2541.0000 1.5059 24.0948 RUSSELL 25.2763 1810.1000 1.3964 22.3425 SHATZ 0.0771 105.0800 0.0733 1.1732 SILVER-mini 0.3518 23.8500 1.4751 23.6021 SMI 77.2510 10728.0000 0.7201 11.5214 SOFR 0.0907 96.1400 0.0944 1.5100 SOYBEAN 10.6658 1315.0000 0.8111 12.9774 SOYMEAL 6.1127 437.6000 1.3969 22.3499 SOYOIL 0.7490 52.0500 1.4391 23.0249 SP400 28.3674 2552.8000 1.1112 17.7797 SP500_micro 34.7016 4524.2500 0.7670 12.2722 SUGAR11 0.3373 25.8400 1.3055 20.8876 US10 0.5554 108.2500 0.5130 8.2088 US10U 0.7543 111.6094 0.6758 10.8133 US2 0.1316 101.4727 0.1297 2.0752 US20 1.1234 114.2500 0.9833 15.7331 US30 1.6348 118.4688 1.3800 22.0797 US5 0.3488 105.5625 0.3304 5.2868 VIX 0.5981 17.4000 3.4373 54.9966 WHEAT 8.0116 650.0000 1.2326 19.7210 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 651.50 0.75 488.29 1.00 488.29 42382.35 86.80 -2.06 -17.84 BITCOIN 38.38 2.34 89.72 1.00 89.72 42382.35 472.41 10.64 502.46 BOBL 1166.00 0.23 264.96 1.07 283.56 42382.35 149.47 -1.41 -21.10 BTP 1132.10 0.59 665.84 1.07 712.58 42382.35 59.48 1.87 11.10 BUND 1305.40 0.43 564.34 1.07 603.96 42382.35 70.17 -1.24 -8.73 BUXL 1258.20 1.13 1425.42 1.07 1525.48 42382.35 27.78 -1.95 -5.42 CAC 722.70 0.81 586.26 1.07 627.42 42382.35 67.55 0.96 6.50 CAD 731.00 0.43 316.01 1.00 316.01 42382.35 134.12 -13.28 -178.06 CANOLA 144.84 1.06 153.32 0.72 110.99 42382.35 381.86 -13.61 -519.82 CHF 1411.94 0.49 688.61 1.00 688.61 42382.35 61.55 -14.35 -88.32 COCOA 400.90 1.02 409.95 1.00 409.95 42382.35 103.38 12.25 126.68 COFFEE 660.00 1.73 1139.67 1.00 1139.67 42382.35 37.19 -1.37 -5.10 COPPER 928.75 0.97 900.27 1.00 900.27 42382.35 47.08 -6.01 -28.31 CORN 256.38 1.01 258.78 1.00 258.78 42382.35 163.78 -14.33 -234.61 COTTON2 405.15 1.38 557.31 1.00 557.31 42382.35 76.05 -18.65 -141.86 CRUDE_W 738.90 1.59 1174.94 1.00 1174.94 42382.35 36.07 4.70 16.96 DAX 158.10 0.78 122.85 1.07 131.47 42382.35 322.37 5.80 186.82 DOW 175.35 0.68 119.49 1.00 119.49 42382.35 354.68 -6.06 -214.94 DX 1042.85 0.48 495.84 1.00 495.84 42382.35 85.48 0.57 4.90 EUR 1357.38 0.56 758.25 1.00 758.25 42382.35 55.90 0.45 2.54 EURIBOR-ICE 2433.37 0.05 128.03 1.07 137.02 42382.35 309.32 7.77 240.44 EUROSTX 432.40 0.88 380.06 1.07 406.74 42382.35 104.20 7.52 78.36 FEEDCOW 1167.88 1.01 1176.44 1.00 1176.44 42382.35 36.03 -12.61 -45.44 GASOIL 796.25 1.71 1364.18 1.00 1364.18 42382.35 31.07 4.66 14.48 GASOLINE 914.59 1.81 1659.36 1.00 1659.36 42382.35 25.54 -0.58 -1.48 GAS_US_mini 83.62 3.16 264.03 1.00 264.03 42382.35 160.52 -7.49 -120.18 GBP 776.06 0.66 514.50 1.00 514.50 42382.35 82.38 1.91 15.77 GOLD_micro 196.51 0.69 135.05 1.00 135.05 42382.35 313.83 -9.09 -285.36 HEATOIL 1152.77 1.64 1884.90 1.00 1884.90 42382.35 22.49 -2.87 -6.45 JGB-SGX-mini 144660.00 0.17 25276.72 0.01 166.57 42382.35 254.44 0.75 19.16 JPY 830.06 0.62 514.39 1.00 514.39 42382.35 82.39 -12.99 -107.02 LEANHOG 299.70 1.59 476.91 1.00 476.91 42382.35 88.87 7.14 63.43 LIVECOW 714.90 0.94 673.55 1.00 673.55 42382.35 62.92 -14.32 -90.08 LUMBER-new 149.60 1.44 215.96 1.00 215.96 42382.35 196.25 -6.96 -136.54 MILK 350.40 1.14 398.26 1.00 398.26 42382.35 106.42 -18.31 -194.82 MXP 287.20 0.83 237.49 1.00 237.49 42382.35 178.46 8.01 142.87 NASDAQ_micro 317.95 0.92 293.51 1.00 293.51 42382.35 144.40 -3.91 -56.43 NIKKEI 32710.00 1.00 32574.81 0.01 214.66 42382.35 197.44 5.94 117.25 NZD 602.45 0.79 476.48 1.00 476.48 42382.35 88.95 1.84 16.36 OAT 1254.80 0.47 590.39 1.07 631.83 42382.35 67.08 3.93 26.37 OATIES 184.75 1.85 341.87 1.00 341.87 42382.35 123.97 -17.06 -211.46 OJ 599.93 1.50 899.71 1.00 899.71 42382.35 47.11 14.77 69.59 PALLAD 1019.00 2.16 2205.15 1.00 2205.15 42382.35 19.22 -11.48 -22.06 PLAT 450.75 1.68 755.49 1.00 755.49 42382.35 56.10 -1.18 -6.63 REDWHEAT 324.12 1.41 456.69 1.00 456.69 42382.35 92.80 -20.00 -185.61 RICE 342.40 0.84 287.71 1.00 287.71 42382.35 147.31 1.52 22.40 ROBUSTA 254.10 1.51 382.66 1.00 382.66 42382.35 110.76 7.81 86.45 RUSSELL 90.50 1.40 126.38 1.00 126.38 42382.35 335.35 -9.11 -305.46 SHATZ 1050.80 0.07 77.05 1.07 82.46 42382.35 513.97 -8.77 -450.97 SILVER-mini 596.25 1.48 879.55 1.00 879.55 42382.35 48.19 -3.24 -15.62 SMI 1072.80 0.72 772.51 1.11 856.64 42382.35 49.48 -4.14 -20.50 SOFR 2403.50 0.09 226.83 1.00 226.83 42382.35 186.85 -3.82 -71.36 SOYBEAN 657.50 0.81 533.29 1.00 533.29 42382.35 79.47 4.80 38.14 SOYMEAL 437.60 1.40 611.27 1.00 611.27 42382.35 69.33 4.61 31.99 SOYOIL 312.30 1.44 449.42 1.00 449.42 42382.35 94.30 -8.08 -76.19 SP400 2552.80 1.11 2836.74 1.00 2836.74 42382.35 14.94 -9.39 -14.02 SP500_micro 226.21 0.77 173.51 1.00 173.51 42382.35 244.27 -6.39 -156.05 SUGAR11 289.41 1.31 377.81 1.00 377.81 42382.35 112.18 5.20 58.31 US10 1082.50 0.51 555.38 1.00 555.38 42382.35 76.31 -5.13 -39.16 US10U 1116.09 0.68 754.29 1.00 754.29 42382.35 56.19 -3.40 -19.08 US2 2029.45 0.13 263.22 1.00 263.22 42382.35 161.02 -7.23 -116.46 US20 1142.50 0.98 1123.44 1.00 1123.44 42382.35 37.73 -1.74 -6.56 US30 1184.69 1.38 1634.85 1.00 1634.85 42382.35 25.92 -2.26 -5.87 US5 1055.62 0.33 348.81 1.00 348.81 42382.35 121.51 -7.35 -89.32 VIX 174.00 3.44 598.09 1.00 598.09 42382.35 70.86 -15.38 -108.98 WHEAT 325.00 1.23 400.58 1.00 400.58 42382.35 105.80 -20.00 -211.60 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -17.839 0.010 2.5 -0.463 BITCOIN 502.464 0.043 2.5 54.412 BOBL -21.100 0.004 2.5 -0.214 BTP 11.096 0.014 2.5 0.378 BUND -8.734 0.004 2.5 -0.089 BUXL -5.421 0.004 2.5 -0.055 CAC 6.498 0.014 2.5 0.222 CAD -178.061 0.010 2.5 -4.620 CANOLA -519.820 0.010 2.5 -12.647 CHF -88.321 0.010 2.5 -2.292 COCOA 126.680 0.009 2.5 2.713 COFFEE -5.105 0.005 2.5 -0.060 COPPER -28.313 0.043 2.5 -3.066 CORN -234.611 0.010 2.5 -5.708 COTTON2 -141.860 0.009 2.5 -3.038 CRUDE_W 16.961 0.043 2.5 1.837 DAX 186.817 0.014 2.5 6.372 DOW -214.943 0.009 2.5 -4.995 DX 4.901 0.010 2.5 0.127 EUR 2.539 0.010 2.5 0.066 EURIBOR-ICE 240.439 0.014 2.5 8.201 EUROSTX 78.357 0.014 2.5 2.673 FEEDCOW -45.442 0.013 2.5 -1.506 GASOIL 14.477 0.017 2.5 0.628 GASOLINE -1.481 0.017 2.5 -0.064 GAS_US_mini -120.182 0.043 2.5 -13.015 GBP 15.769 0.010 2.5 0.409 GOLD_micro -285.356 0.014 2.5 -9.733 HEATOIL -6.449 0.017 2.5 -0.280 JGB-SGX-mini 19.158 0.043 2.5 2.075 JPY -107.016 0.010 2.5 -2.777 LEANHOG 63.426 0.024 2.5 3.855 LIVECOW -90.077 0.013 2.5 -2.985 LUMBER-new -136.535 0.009 2.5 -2.910 MILK -194.825 0.009 2.5 -4.173 MXP 142.875 0.059 2.5 20.971 NASDAQ_micro -56.429 0.009 2.5 -1.311 NIKKEI 117.247 0.043 2.5 12.697 NZD 16.365 0.010 2.5 0.425 OAT 26.365 0.014 2.5 0.899 OATIES -211.464 0.010 2.5 -5.145 OJ 69.586 0.009 2.5 1.490 PALLAD -22.064 0.014 2.5 -0.753 PLAT -6.628 0.014 2.5 -0.226 REDWHEAT -185.605 0.005 2.5 -2.462 RICE 22.395 0.010 2.5 0.545 ROBUSTA 86.451 0.005 2.5 1.010 RUSSELL -305.457 0.013 2.5 -10.122 SHATZ -450.965 0.004 2.5 -4.573 SILVER-mini -15.622 0.014 2.5 -0.533 SMI -20.496 0.014 2.5 -0.699 SOFR -71.361 0.024 2.5 -4.337 SOYBEAN 38.136 0.004 2.5 0.355 SOYMEAL 31.990 0.004 2.5 0.298 SOYOIL -76.194 0.004 2.5 -0.709 SP400 -14.024 0.013 2.5 -0.465 SP500_micro -156.051 0.009 2.5 -3.627 SUGAR11 58.307 0.009 2.5 1.240 US10 -39.161 0.005 2.5 -0.496 US10U -19.083 0.005 2.5 -0.242 US2 -116.462 0.005 2.5 -1.476 US20 -6.557 0.005 2.5 -0.083 US30 -5.865 0.005 2.5 -0.074 US5 -89.319 0.005 2.5 -1.132 VIX -108.981 0.099 2.5 -26.902 WHEAT -211.604 0.005 2.5 -2.807 ===================== Position diags ===================== AUD 2.25 BITCOIN 51.16 BOBL 1.52 BTP 2.03 BUND 0.71 BUXL 0.28 CAC 2.30 CAD 3.48 CANOLA 9.29 CHF 1.60 COCOA 2.21 COFFEE 0.43 COPPER 5.10 CORN 3.98 COTTON2 1.63 CRUDE_W 3.91 DAX 11.00 DOW 8.24 DX 2.22 EUR 1.45 EURIBOR-ICE 10.55 EUROSTX 3.55 FEEDCOW 1.19 GASOIL 1.35 GASOLINE 1.11 GAS_US_mini 17.38 GBP 2.14 GOLD_micro 10.70 HEATOIL 0.97 JGB-SGX-mini 27.55 JPY 2.14 LEANHOG 5.40 LIVECOW 2.09 LUMBER-new 4.18 MILK 2.28 MXP 26.19 NASDAQ_micro 3.36 NIKKEI 21.38 NZD 2.31 OAT 2.29 OATIES 3.02 OJ 1.01 PALLAD 0.66 PLAT 1.91 REDWHEAT 1.23 RICE 3.58 ROBUSTA 1.29 RUSSELL 11.11 SHATZ 5.21 SILVER-mini 1.64 SMI 1.69 SOFR 11.36 SOYBEAN 0.74 SOYMEAL 0.64 SOYOIL 0.88 SP400 0.50 SP500_micro 5.68 SUGAR11 2.39 US10 0.97 US10U 0.71 US2 2.04 US20 0.48 US30 0.33 US5 1.54 VIX 17.49 WHEAT 1.40 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.5 -0.7 -0.2 0.0 0 BITCOIN 54.4 49.3 59.5 31.0 31 BOBL -0.2 -0.4 -0.1 0.0 0 BTP 0.4 0.2 0.6 0.0 0 BUND -0.1 -0.2 -0.0 0.0 0 BUXL -0.1 -0.1 -0.0 0.0 0 CAC 0.2 -0.0 0.5 3.0 3 CAD -4.6 -5.0 -4.3 0.0 0 CANOLA -12.6 -13.6 -11.7 -6.0 -6 CHF -2.3 -2.5 -2.1 -6.0 -6 COCOA 2.7 2.5 2.9 2.0 2 COFFEE -0.1 -0.1 -0.0 0.0 0 COPPER -3.1 -3.6 -2.6 -3.0 -3 CORN -5.7 -6.1 -5.3 -5.0 -5 COTTON2 -3.0 -3.2 -2.9 -5.0 -5 CRUDE_W 1.8 1.4 2.2 2.0 2 DAX 6.4 5.3 7.5 0.0 0 DOW -5.0 -5.8 -4.2 -8.0 -8 DX 0.1 -0.1 0.3 NaN 0 EUR 0.1 -0.1 0.2 0.0 0 EURIBOR-ICE 8.2 7.1 9.3 0.0 0 EUROSTX 2.7 2.3 3.0 1.0 1 FEEDCOW -1.5 -1.6 -1.4 -1.0 -1 GASOIL 0.6 0.5 0.8 0.0 0 GASOLINE -0.1 -0.2 0.0 0.0 0 GAS_US_mini -13.0 -14.8 -11.3 -6.0 -6 GBP 0.4 0.2 0.6 0.0 0 GOLD_micro -9.7 -10.8 -8.7 -3.0 -3 HEATOIL -0.3 -0.4 -0.2 0.0 0 JGB-SGX-mini 2.1 -0.7 4.8 -3.0 -3 JPY -2.8 -3.0 -2.6 -5.0 -5 LEANHOG 3.9 3.3 4.4 2.0 2 LIVECOW -3.0 -3.2 -2.8 -4.0 -4 LUMBER-new -2.9 -3.3 -2.5 NaN 0 MILK -4.2 -4.4 -3.9 NaN 0 MXP 21.0 18.4 23.6 23.0 23 NASDAQ_micro -1.3 -1.6 -1.0 -1.0 -1 NIKKEI 12.7 10.6 14.8 12.0 12 NZD 0.4 0.2 0.7 2.0 2 OAT 0.9 0.7 1.1 2.0 2 OATIES -5.1 -5.4 -4.8 NaN 0 OJ 1.5 1.4 1.6 NaN 0 PALLAD -0.8 -0.8 -0.7 -2.0 -2 PLAT -0.2 -0.4 -0.0 -1.0 -1 REDWHEAT -2.5 -2.6 -2.3 -4.0 -4 RICE 0.5 0.2 0.9 NaN 0 ROBUSTA 1.0 0.9 1.1 2.0 2 RUSSELL -10.1 -11.2 -9.0 -12.0 -12 SHATZ -4.6 -5.1 -4.1 NaN 0 SILVER-mini -0.5 -0.7 -0.4 NaN 0 SMI -0.7 -0.9 -0.5 0.0 0 SOFR -4.3 -5.5 -3.2 NaN 0 SOYBEAN 0.4 0.3 0.4 0.0 0 SOYMEAL 0.3 0.2 0.4 0.0 0 SOYOIL -0.7 -0.8 -0.6 -3.0 -3 SP400 -0.5 -0.5 -0.4 0.0 0 SP500_micro -3.6 -4.2 -3.1 -3.0 -3 SUGAR11 1.2 1.0 1.5 2.0 2 US10 -0.5 -0.6 -0.4 NaN 0 US10U -0.2 -0.3 -0.2 0.0 0 US2 -1.5 -1.7 -1.3 NaN 0 US20 -0.1 -0.1 -0.0 0.0 0 US30 -0.1 -0.1 -0.0 0.0 0 US5 -1.1 -1.3 -1.0 -4.0 -4 VIX -26.9 -28.7 -25.2 -17.0 -17 WHEAT -2.8 -2.9 -2.7 -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 3.7 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 3.7 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 0.5 0.2 -0.2 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.3 0.1 -0.4 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.2 0.0 0.4 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.1 -0.1 0.1 0.1 -0.1 -0.3 -0.7 -0.1 0.2 BITCOIN 0.6 0.6 0.1 -0.0 0.1 -0.1 -0.0 -0.0 -0.0 0.1 0.5 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 0.5 0.2 0.2 -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 -0.0 0.0 -0.0 0.0 -0.2 0.0 1.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.2 -0.1 0.2 0.3 -0.6 -0.7 -0.5 -0.6 BTP 0.6 0.0 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.0 0.1 -0.0 0.2 0.2 0.1 0.1 0.0 -0.0 0.1 -0.2 0.1 -0.9 0.0 0.0 -0.0 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 0.6 0.1 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.3 0.1 -0.0 -0.1 0.1 -0.0 0.0 -0.0 -0.1 0.1 -0.2 0.1 0.8 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.4 -0.0 -0.0 0.1 0.2 -0.7 -0.7 -0.7 -0.1 BUXL 0.6 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.3 0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.1 0.1 -0.3 0.0 0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 0.1 -0.1 0.0 -0.0 -0.6 -0.7 -0.4 0.5 CAC 0.5 -0.3 -0.6 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.2 -0.2 0.2 0.5 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 -0.8 -0.0 0.1 -0.1 0.1 0.0 0.0 0.2 -0.3 0.0 -0.1 0.2 0.3 0.1 0.4 0.3 CAD 0.1 -0.2 -0.4 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.4 0.0 -0.5 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.3 -0.1 0.3 -0.1 0.1 -0.2 0.0 -0.2 -0.0 0.0 -0.1 -0.6 -0.5 -0.5 -0.6 -0.7 -0.4 -0.6 CANOLA 0.3 -0.6 -0.4 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.3 0.1 -0.2 -0.1 -0.1 -0.1 0.1 -0.2 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.1 -0.5 -0.6 -0.5 -0.4 -0.2 0.2 0.2 CHF 0.2 0.1 -0.6 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.2 0.1 0.2 0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 0.1 -0.0 0.0 -1.1 -0.0 0.1 -0.1 0.1 -0.0 0.0 -1.1 0.1 -0.1 -0.1 -0.3 -0.7 -0.7 -0.7 -0.7 COCOA 0.6 0.5 0.2 -0.0 0.1 -0.2 0.1 -0.2 0.0 0.1 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 0.0 0.2 0.1 0.3 0.1 -0.2 0.5 0.6 0.6 0.6 0.3 -0.1 0.7 0.3 COFFEE 0.5 0.6 0.2 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.1 -0.2 0.2 -0.5 0.2 0.1 0.1 0.0 0.0 0.0 0.2 0.0 0.2 -0.2 0.2 -2.7 0.1 0.0 0.0 0.1 -0.0 0.1 0.2 0.5 0.6 0.6 0.5 -0.7 -0.7 -0.7 -0.4 COPPER 0.5 -0.1 -0.3 -0.0 0.1 -0.1 -0.0 -0.0 -0.0 0.1 -0.4 0.1 -0.2 0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 0.1 -0.3 0.0 -0.8 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.0 0.4 0.4 -0.1 0.1 -0.0 -0.7 0.2 -0.7 CORN 0.0 0.2 -0.5 -0.0 0.1 -0.1 0.1 -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 -0.4 -0.3 0.4 -0.1 -0.2 -0.1 0.1 0.2 COTTON2 -0.6 -0.6 -0.1 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.1 -0.0 -0.1 -0.3 -0.1 -0.1 -0.2 0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.1 -0.2 -2.7 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.5 -0.6 -0.6 0.0 -0.7 -0.4 -0.0 0.2 CRUDE_W -0.5 -0.6 0.4 -0.0 -0.0 0.1 -0.0 0.1 -0.1 -0.0 0.3 -0.1 0.3 -0.1 0.0 0.2 0.2 0.2 0.2 0.0 0.1 -0.1 0.4 -0.1 -0.7 0.0 -0.0 0.1 -0.0 0.3 -0.0 -1.1 0.0 0.2 0.4 0.1 0.6 0.3 0.7 0.3 DAX 0.6 -0.3 -0.6 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.2 -0.3 0.2 0.3 0.0 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 0.2 -0.1 0.1 2.2 -0.0 0.1 -0.1 0.1 -0.0 0.0 -0.2 0.1 0.1 -0.1 -0.0 0.3 0.1 0.5 0.4 DOW 0.6 -0.2 -0.5 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.1 -0.1 0.2 0.2 0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 0.2 -0.0 0.1 -1.2 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.3 0.1 0.1 -0.0 0.1 -0.6 -0.2 -0.7 -0.3 DX -0.6 -0.2 0.5 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.1 0.3 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.1 -0.1 0.2 -0.1 -2.7 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.8 -0.5 -0.6 0.3 0.6 0.3 0.3 0.4 0.7 EUR 0.6 0.2 -0.5 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.3 0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.1 1.4 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.4 0.3 0.4 0.2 -0.2 -0.5 -0.6 -0.4 -0.2 EURIBOR-ICE 0.6 0.5 0.4 -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 -0.1 0.1 2.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.5 -0.1 0.2 0.5 0.5 -0.7 -0.7 0.2 0.7 EUROSTX 0.6 -0.1 -0.5 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.2 -0.2 0.2 0.4 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.2 0.1 0.1 0.6 -0.0 0.1 -0.1 0.1 0.0 0.1 0.2 -0.1 0.3 0.3 0.3 0.1 0.2 0.3 0.5 FEEDCOW -0.6 -0.6 -0.6 -0.0 0.1 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -0.1 0.2 -0.1 -0.1 -0.2 -0.4 -0.3 -0.4 -0.2 -0.1 -0.1 0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -1.1 -0.5 -0.6 -0.6 -0.1 0.5 -0.0 0.7 0.3 GASOIL -0.6 -0.6 0.4 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.3 -0.1 0.3 -0.1 0.0 0.3 0.4 0.4 0.4 -0.0 0.1 -0.1 0.4 -0.1 1.1 -0.0 -0.0 0.1 -0.0 0.2 -0.0 0.0 -0.1 -0.0 0.1 0.4 -0.3 -0.0 -0.4 -0.2 GASOLINE -0.3 -0.6 -0.2 -0.0 -0.0 0.1 -0.0 0.1 -0.1 -0.0 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 -0.0 0.0 -0.0 0.2 -0.0 0.7 0.2 0.3 -0.4 -0.6 0.7 0.3 0.7 0.2 GAS_US_mini -0.2 0.3 0.5 -0.0 -0.0 0.1 -0.0 0.1 -0.1 -0.1 -0.4 -0.2 -0.7 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.2 -0.5 -0.2 2.7 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -1.1 -0.5 0.0 0.6 -0.6 -0.4 0.2 -0.5 0.1 GBP 0.5 0.0 -0.6 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.2 0.1 0.2 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.2 0.1 0.2 -0.0 -0.2 -0.3 0.2 -0.1 0.7 GOLD_micro 0.2 0.6 -0.2 -0.0 0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -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 0.0 -0.9 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.9 -0.3 0.2 0.2 0.2 -0.4 -0.7 -0.3 -0.7 HEATOIL -0.6 -0.6 0.3 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.3 -0.1 0.3 -0.1 -0.0 0.4 0.4 0.4 0.4 -0.0 0.1 -0.1 0.4 -0.2 -2.7 -0.0 -0.0 0.1 -0.0 0.2 -0.1 0.1 -0.2 -0.1 -0.0 0.2 0.3 -0.1 0.1 -0.2 JGB-SGX-mini 0.1 -0.2 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.0 0.0 -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 -0.1 -0.0 1.1 -0.1 -0.6 -0.2 -0.1 0.1 -0.6 0.5 0.5 JPY 0.3 0.3 -0.4 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.1 -0.4 -0.1 -0.5 -0.1 -0.1 -0.4 -0.3 -0.4 -0.4 -0.1 -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 -0.6 -0.4 -0.5 -0.2 -0.7 -0.1 -0.7 LEANHOG 0.5 -0.2 0.1 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.0 0.1 -0.2 -0.0 -0.0 -0.4 0.4 0.2 0.4 -0.0 -0.1 0.0 -0.3 0.0 2.0 -0.0 -0.0 -0.1 0.0 -0.3 0.0 1.1 -0.1 0.2 -0.1 -0.0 -0.3 -0.1 0.3 0.6 LIVECOW -0.6 -0.6 -0.6 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.0 0.1 -0.1 0.3 -0.1 -0.1 -0.2 -0.1 -0.3 -0.2 -0.1 -0.0 -0.1 0.2 -0.2 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.1 -0.5 -0.5 -0.6 -0.6 -0.1 -0.2 -0.6 -0.0 -0.3 LUMBER-new 0.8 0.3 -0.2 -0.0 0.1 -0.2 0.1 -0.2 0.0 0.2 -0.6 0.3 -0.7 0.2 -0.1 -0.4 -0.3 -0.4 -0.4 0.0 -0.1 0.2 -0.5 0.2 NaN 0.0 0.0 -0.1 0.1 -0.2 0.1 -1.2 0.6 0.8 0.7 -0.3 -0.6 -0.8 -0.3 -0.7 MILK -0.3 -0.1 -0.0 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.1 -0.3 -0.1 -0.5 -0.1 -0.1 -0.3 -0.4 -0.3 -0.4 -0.1 -0.2 -0.0 -0.5 -0.1 0.7 -0.0 0.1 -0.2 0.0 -0.4 -0.0 -1.1 -0.2 -0.6 -0.3 0.2 -0.7 -0.7 -0.7 -0.7 MXP 0.6 -0.3 -0.6 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 0.1 0.1 0.4 0.1 -0.0 0.3 0.3 0.3 0.3 0.0 0.0 0.1 0.3 0.1 -2.7 0.0 0.1 0.0 0.1 0.2 0.0 1.1 0.1 0.5 -0.0 0.2 0.3 0.4 0.6 0.7 NASDAQ_micro 0.5 -0.2 -0.6 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 0.2 0.1 0.3 0.1 0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.0 0.2 0.2 0.2 -2.7 0.0 0.1 0.0 0.1 0.1 0.0 -0.3 0.3 0.2 0.3 0.2 0.2 -0.4 0.1 -0.5 NIKKEI 0.4 -0.4 -0.4 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.1 0.3 0.1 0.4 0.1 0.0 0.1 0.2 0.1 0.2 0.0 0.1 0.1 0.3 0.1 -1.1 0.0 0.0 0.1 0.1 0.2 0.0 1.1 -0.3 0.2 0.2 0.5 -0.2 0.1 -0.2 0.3 NZD 0.3 0.2 -0.2 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.3 0.1 -0.1 0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.2 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.2 0.1 0.0 0.2 -0.0 0.0 -0.5 0.2 0.3 OAT 0.6 0.1 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.1 -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 -0.0 0.0 -0.1 0.0 0.8 0.1 0.0 0.2 0.2 -0.7 -0.7 -0.3 0.4 OATIES -0.3 -0.6 -0.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.2 -0.1 -0.1 -0.0 -0.2 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.5 -0.6 -0.6 -0.3 0.3 0.4 0.7 0.7 OJ -0.6 -0.3 0.5 -0.0 0.1 -0.1 0.1 -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 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.0 0.4 0.0 1.1 0.0 0.4 0.6 0.6 0.2 0.3 0.6 0.7 PALLAD -0.2 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.3 -0.1 -0.4 -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 -0.0 -0.1 -0.1 -0.1 -0.1 0.3 -0.5 -0.6 -0.6 -0.3 -0.2 -0.3 0.2 -0.1 PLAT 0.2 0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.3 -0.0 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 1.6 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.3 -0.2 -0.1 0.1 -0.0 -0.5 0.3 -0.4 REDWHEAT -0.0 -0.5 -0.6 -0.0 0.1 -0.1 0.1 -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 -0.5 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.4 RICE 0.1 -0.1 0.2 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.2 0.3 0.2 0.2 0.1 0.0 -0.4 0.1 -0.3 -0.1 0.1 0.1 0.2 0.2 0.2 -2.7 0.0 0.2 0.0 0.2 0.1 0.1 0.3 0.5 0.4 0.5 0.6 -0.1 -0.7 0.4 -0.2 ROBUSTA 0.1 -0.3 -0.3 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 0.2 0.1 0.4 0.1 0.0 0.4 0.4 0.4 0.4 0.1 0.1 0.1 0.3 0.1 -2.2 0.0 0.1 0.1 0.1 0.2 0.0 1.1 0.5 0.6 0.3 0.3 -0.2 -0.4 0.4 0.0 RUSSELL 0.6 -0.2 -0.5 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 -0.2 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 -0.2 -0.0 0.1 -0.1 0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.3 -0.2 -0.5 -0.5 -0.7 -0.7 SHATZ 0.3 0.3 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 -0.3 -0.4 -0.4 -0.0 -0.1 -0.0 -0.3 -0.0 1.4 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.4 -0.3 0.2 0.3 -0.5 -0.7 -0.3 -0.7 SILVER-mini 0.2 -0.0 -0.3 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.1 0.0 0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 0.0 0.9 -0.0 0.1 -0.0 0.0 0.0 0.0 -0.1 0.4 -0.0 -0.0 0.1 -0.5 -0.7 -0.1 -0.7 SMI 0.1 -0.4 -0.5 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.1 -0.2 0.1 -0.0 -0.1 -0.1 0.1 0.0 0.1 0.0 -0.1 -0.1 0.1 -0.2 -0.0 0.8 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.7 -0.5 -0.6 -0.3 0.2 -0.3 -0.3 -0.2 -0.2 SOFR 0.6 0.3 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.0 -0.0 -0.0 0.0 -0.7 -0.7 -0.2 -0.3 SOYBEAN 0.5 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.2 0.2 0.2 0.2 0.2 -0.0 0.4 0.4 0.3 0.3 0.1 0.0 0.2 0.0 0.2 -2.7 0.0 0.1 0.1 0.1 0.0 0.1 1.1 0.5 0.6 0.6 0.2 -0.7 -0.3 -0.7 -0.1 SOYMEAL 0.6 0.6 0.1 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.4 0.3 0.3 0.1 0.1 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 0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.0 -0.6 -0.5 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 -0.0 0.0 -0.1 -0.1 -0.1 0.1 0.2 0.2 0.2 -0.2 -0.1 0.0 -0.1 -0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 1.0 0.1 -0.5 -0.6 -0.4 -0.2 0.1 0.3 0.6 SP400 0.5 -0.3 -0.6 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 -0.2 0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 0.0 -1.1 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.1 0.0 -0.1 -0.2 -0.1 -0.3 -0.5 -0.5 -0.7 SP500_micro 0.6 -0.3 -0.6 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.1 0.0 0.1 0.2 0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 0.2 0.1 0.1 -2.2 -0.0 0.1 -0.0 0.1 0.1 0.0 -0.4 0.3 0.1 0.0 0.1 -0.0 -0.4 0.0 -0.5 SUGAR11 -0.2 -0.1 0.0 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.1 0.5 -0.0 0.7 0.1 0.2 0.4 0.4 0.4 0.4 0.1 0.2 -0.0 0.5 0.1 -2.7 0.1 -0.0 0.3 -0.0 0.6 0.0 1.1 -0.5 -0.2 0.4 0.6 -0.5 -0.6 0.3 0.1 US10 0.6 0.5 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.2 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.5 0.0 -0.1 -0.1 -0.1 -0.7 -0.7 -0.1 0.0 US10U 0.6 0.4 -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 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.3 0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.0 -0.1 -0.2 -0.2 -0.7 -0.7 0.2 0.5 US2 0.5 0.6 0.5 -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 -0.3 0.0 1.0 -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.1 -0.1 -0.1 0.1 0.1 -0.6 -0.7 -0.3 -0.7 US20 0.6 0.3 -0.2 -0.0 0.0 -0.0 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 0.0 -0.2 0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.1 -0.1 -0.2 -0.2 -0.4 -0.7 0.4 0.7 US30 0.6 0.2 -0.2 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.2 0.0 -0.2 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.3 0.1 -0.1 -0.2 -0.2 -0.2 -0.7 0.7 0.7 US5 0.6 0.5 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 -0.2 -0.2 -0.2 -0.2 -0.0 -0.1 0.0 -0.2 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 -0.9 0.8 0.8 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.2 -0.5 -0.2 -0.8 -0.2 -0.1 -0.6 -0.6 -0.6 -0.6 -0.1 -0.2 -0.2 -0.7 -0.2 NaN -0.0 -0.1 -0.2 -0.1 -0.4 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.1 -0.0 -0.6 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.1 -0.5 -0.1 -0.7 -0.0 -0.2 -0.3 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.5 -0.1 -0.7 -0.1 -0.1 -0.2 -0.1 -0.4 -0.0 -1.0 -0.5 -0.4 0.1 -0.5 -0.7 -0.7 -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 14.1 6.7 -5.4 -1.1 10.0 -1.2 5.9 0.2 1.9 8.9 -10.9 5.6 -10.1 3.3 -8.8 -2.8 -3.0 -3.1 -3.1 -2.0 -6.6 8.1 -8.3 3.8 3.1 -1.0 9.1 -3.6 5.6 -4.3 2.7 -1.2 -5.0 4.2 3.1 -3.9 -8.2 -20.0 -1.5 5.4 BITCOIN 20.0 20.0 1.8 -2.9 9.1 -3.3 -0.0 -1.3 -1.6 15.0 17.1 20.0 14.2 20.0 20.0 -8.7 -5.2 -7.4 -6.5 20.0 19.4 20.0 8.6 20.0 -20.0 7.8 4.9 4.1 6.8 1.8 9.2 -0.5 20.0 20.0 20.0 20.0 -3.6 20.0 -0.8 20.0 BOBL 15.3 6.7 5.7 -0.9 1.9 -2.4 2.2 -2.8 1.3 2.9 -4.9 5.9 -8.0 6.0 0.7 11.6 -2.8 4.4 -1.6 0.5 -3.6 3.7 -8.6 3.7 9.2 0.2 2.0 -1.6 2.0 -3.5 2.0 -2.2 -9.1 -3.1 6.3 8.2 -18.3 -20.0 -13.9 -19.0 BTP 20.0 1.5 -8.2 -1.3 2.6 -3.3 3.1 -3.9 1.8 9.4 -4.2 11.2 -1.2 8.2 -1.9 8.1 7.7 7.2 6.9 1.1 -4.2 14.2 -5.6 10.7 -7.0 0.4 4.2 -1.3 5.1 -1.5 3.8 15.2 6.8 7.6 5.6 5.7 -13.3 -20.0 0.0 6.7 BUND 18.5 4.4 1.3 -1.0 1.9 -2.5 2.3 -2.9 1.3 4.3 -5.6 6.9 -8.5 5.4 -1.7 -3.1 4.6 -1.2 1.3 -0.3 -4.8 6.1 -9.1 4.7 6.0 -0.1 2.5 -1.9 3.1 -3.1 2.4 8.1 -1.6 -1.5 4.3 5.1 -20.0 -20.0 -20.0 -4.0 BUXL 20.0 3.5 -1.1 -1.0 2.0 -2.5 2.4 -3.0 1.4 4.4 -7.1 6.2 -9.2 3.7 -4.4 0.4 0.8 0.5 0.8 -2.7 -7.8 7.5 -11.6 4.4 1.3 -0.9 2.3 -2.7 3.2 -3.3 1.9 4.3 6.0 -2.0 0.5 -1.2 -17.7 -20.0 -12.5 15.9 CAC 15.1 -9.7 -18.4 -1.9 11.1 -3.0 8.9 -1.1 3.4 18.2 -7.7 17.2 12.8 0.4 -10.2 -6.0 -2.8 -5.7 -4.9 -7.3 -8.4 20.0 2.4 7.1 -5.7 -2.7 12.0 -3.3 9.2 0.3 3.0 3.7 -14.2 0.1 -3.0 6.4 7.6 4.1 13.4 9.8 CAD 1.9 -7.5 -11.0 -1.7 15.0 -1.8 8.9 0.3 2.9 8.8 -14.6 4.1 -14.6 -10.1 -16.3 -2.5 -2.2 -2.5 -2.4 -12.4 -12.5 4.5 -10.4 -5.5 2.3 -5.8 6.8 -5.7 2.4 -4.3 -2.4 0.0 -5.9 -18.3 -14.1 -14.0 -18.3 -20.0 -11.3 -19.0 CANOLA 10.1 -20.0 -12.9 -1.7 5.9 -2.8 4.1 -3.1 1.0 10.3 -2.4 6.1 -4.1 -3.4 -8.9 -15.0 2.8 -11.8 -4.9 -11.3 -9.7 9.2 -6.7 -3.1 -20.0 -3.1 2.4 -2.8 1.2 -2.3 -1.5 -0.1 6.1 -14.1 -17.8 -14.2 -10.7 -4.8 5.1 7.1 CHF 6.0 2.4 -19.3 -1.5 13.4 -1.6 7.9 0.2 2.6 15.3 -9.1 8.2 4.5 6.7 -9.4 -16.0 -14.9 -16.5 -15.8 -5.3 -6.8 12.3 -1.6 2.9 -8.1 -2.6 10.6 -3.2 5.4 -1.0 1.0 -20.0 5.1 -2.8 -4.4 -10.5 -20.0 -20.0 -20.0 -20.0 COCOA 20.0 14.3 5.8 -3.6 12.5 -6.0 8.8 -6.6 2.2 9.1 20.0 20.0 20.0 20.0 20.0 -4.6 -2.8 -4.2 -3.5 20.0 20.0 20.0 20.0 20.0 -20.0 8.4 3.6 8.4 7.4 9.1 9.1 -4.6 20.0 20.0 20.0 20.0 8.9 -4.1 20.0 8.9 COFFEE 16.6 20.0 6.7 -2.9 10.1 -4.8 7.1 -5.3 1.8 16.0 -9.2 17.0 -12.7 17.5 13.1 5.6 1.9 1.9 1.4 14.1 0.8 20.0 -8.1 20.0 -20.0 5.0 5.3 1.4 6.6 -0.7 7.4 3.4 20.0 20.0 20.0 14.6 -20.0 -20.0 -20.0 -12.3 COPPER 14.7 -3.2 -8.5 -2.4 7.4 -2.7 -0.0 -1.1 -1.3 14.0 -16.2 11.7 -6.8 0.9 -13.8 -9.6 -4.4 -7.9 -6.2 -5.9 -11.4 9.3 -11.3 3.1 -6.3 -1.9 10.4 -4.6 5.9 -4.7 2.5 0.5 18.1 11.2 -2.5 3.1 -0.6 -20.0 6.5 -20.0 CORN 0.6 6.5 -14.6 -3.1 10.8 -5.1 7.6 -5.6 1.9 4.9 -19.7 -5.9 -19.1 -2.2 -17.4 -6.5 0.7 -6.1 -4.1 -6.3 -16.0 1.0 -20.0 -1.2 -19.7 -1.7 1.7 -4.6 1.2 -8.0 -0.3 -2.2 -14.7 -10.4 12.2 -3.4 -7.2 -2.9 3.5 4.6 COTTON2 -19.1 -20.0 -2.0 -2.5 8.6 -4.1 6.0 -4.5 1.5 5.7 -1.0 -7.6 -8.7 -12.7 -10.4 -8.9 1.6 -5.8 -2.3 -16.4 -6.5 -11.7 -3.0 -20.0 -20.0 -4.6 1.1 -1.6 -3.5 0.1 -6.0 0.1 -20.0 -20.0 -20.0 0.6 -19.7 -13.2 -0.7 5.4 CRUDE_W -15.8 -17.6 12.1 -1.6 -1.3 2.7 -3.9 3.9 -4.7 -4.9 11.4 -9.7 8.1 -8.6 3.6 8.1 11.1 11.9 11.7 1.8 12.0 -9.4 13.1 -8.7 -5.2 0.5 -1.9 5.5 -4.1 7.0 -4.0 -20.0 0.3 5.8 11.1 2.9 19.4 10.4 20.0 10.0 DAX 17.4 -7.8 -20.0 -1.7 10.2 -2.7 8.1 -1.0 3.1 16.9 -10.8 16.0 9.4 1.6 -11.1 -9.5 -8.1 -9.6 -9.2 -7.7 -10.7 20.0 -2.0 9.2 16.7 -2.6 13.5 -3.8 9.7 -1.4 3.3 -4.7 4.3 3.5 -3.5 -1.1 7.6 2.9 14.7 11.3 DOW 20.0 -5.1 -15.3 -1.3 7.8 -2.1 6.2 -0.7 2.4 13.1 -2.7 13.9 6.3 6.5 -3.4 -9.6 -9.0 -10.5 -10.3 -0.7 -3.9 20.0 -1.1 11.7 -8.8 -0.6 9.2 -1.2 7.5 0.3 3.3 -6.4 5.7 3.4 -1.4 4.6 -17.2 -7.1 -20.0 -8.1 DX -20.0 -7.7 16.2 -1.4 11.9 -1.4 7.0 0.2 2.3 -10.1 12.7 -9.2 -2.7 -4.8 11.1 6.6 6.0 7.0 6.6 4.2 9.2 -15.3 7.7 -6.7 -20.0 1.8 -9.8 4.2 -7.5 3.9 -3.4 14.7 -20.0 -20.0 10.8 20.0 8.5 7.7 12.4 20.0 EUR 17.7 5.5 -14.0 -1.2 10.9 -1.3 6.4 0.2 2.1 10.2 -9.5 10.9 3.2 8.7 -7.0 -6.0 -6.8 -6.5 -6.6 -0.9 -5.4 15.0 -4.4 8.2 10.8 -0.4 10.0 -2.6 7.8 -2.1 4.2 -7.5 10.5 13.8 4.8 -6.5 -14.2 -17.0 -11.5 -5.4 EURIBOR-ICE 20.0 16.6 13.6 -0.9 1.7 -2.2 2.1 -2.6 1.2 4.8 -0.7 7.0 -6.2 7.1 6.1 -3.4 -7.1 -5.4 -6.8 6.7 1.3 7.6 -5.5 9.5 17.1 2.1 1.8 0.5 2.4 -1.3 3.0 -9.6 -4.9 7.0 14.5 15.0 -20.0 -20.0 4.7 20.0 EUROSTX 17.8 -3.8 -15.7 -1.8 10.4 -2.8 8.3 -1.0 3.2 17.5 -7.3 17.5 11.7 7.2 -9.0 -5.5 -2.6 -5.5 -4.6 -2.0 -5.5 20.0 2.7 13.0 4.3 -0.4 13.6 -2.2 11.6 0.3 5.9 4.0 -3.4 9.1 9.1 9.0 4.4 5.4 8.4 14.4 FEEDCOW -20.0 -20.0 -20.0 -1.9 6.4 -3.1 4.5 -3.4 1.1 -4.0 -1.2 -8.3 6.3 -11.1 -10.0 -11.9 -20.0 -12.7 -20.0 -18.2 -5.1 -15.7 5.9 -20.0 -1.7 -3.3 -0.6 -0.4 -3.0 2.1 -4.3 -20.0 -20.0 -20.0 -20.0 -3.4 14.4 -1.1 20.0 7.9 GASOIL -20.0 -20.0 13.5 -1.3 -1.1 2.2 -3.2 3.2 -3.9 -2.2 9.9 -10.0 7.6 -10.8 2.4 15.9 20.0 20.0 20.0 -2.1 10.3 -11.1 13.8 -12.7 8.6 -0.3 -0.7 4.1 -3.6 5.0 -4.1 0.0 -3.2 -1.0 3.2 11.1 -7.6 -0.0 -12.0 -5.4 GASOLINE -8.4 -20.0 -6.6 -1.6 -1.3 2.6 -3.9 3.8 -4.7 -0.1 6.1 -8.9 6.2 -13.5 -10.2 0.8 20.0 18.8 20.0 -8.4 1.8 -6.1 10.6 -11.0 -20.0 -3.5 -0.4 0.9 -2.2 5.2 -4.3 12.7 8.4 10.4 -11.2 -20.0 20.0 10.1 20.0 6.0 GAS_US_mini -6.7 10.7 16.8 -1.7 -1.4 2.8 -4.1 4.1 -5.0 -13.2 -14.7 -15.2 -20.0 -14.1 -14.3 -20.0 -20.0 -20.0 -20.0 -8.7 -10.8 -17.5 -20.0 -14.0 20.0 -3.0 -6.4 -1.4 -9.0 -2.3 -6.8 -20.0 -20.0 0.3 20.0 -20.0 -10.6 6.5 -16.1 2.4 GBP 16.2 0.5 -17.2 -1.2 10.7 -1.3 6.3 0.2 2.1 6.6 -8.2 6.7 5.4 3.4 -9.1 -0.7 -0.8 -0.6 -0.6 -3.1 -4.9 10.7 -2.1 4.6 0.6 -1.5 7.4 -2.7 5.9 -1.7 2.6 2.9 4.3 7.3 -1.0 -7.4 -8.6 4.7 -2.9 20.0 GOLD_micro 7.5 17.3 -6.7 -1.9 6.0 -2.2 -0.0 -0.9 -1.1 -4.2 -3.7 -5.8 2.7 8.5 7.3 -15.1 -14.8 -16.4 -16.1 5.0 -0.4 -4.0 -1.0 3.8 -6.8 1.3 -0.6 0.1 -1.2 0.2 1.0 -17.2 -11.5 5.8 6.9 5.3 -11.3 -20.0 -10.0 -20.0 HEATOIL -20.0 -20.0 9.0 -1.5 -1.2 2.5 -3.7 3.6 -4.5 -3.6 9.6 -9.7 7.1 -11.2 -0.1 19.2 20.0 20.0 20.0 -4.0 9.1 -12.0 13.5 -14.6 -20.0 -1.5 -0.2 3.7 -4.1 6.2 -5.1 1.9 -7.3 -3.0 -1.2 6.5 8.4 -2.1 2.7 -7.0 JGB-SGX-mini 2.7 -6.9 -18.4 -1.0 2.4 -2.3 2.2 -2.6 1.1 4.3 -4.9 1.6 1.2 -2.2 -6.5 16.9 19.5 16.1 16.4 -6.6 -6.0 1.6 -2.4 -3.0 -1.7 -2.6 1.4 -2.4 0.4 -1.5 -1.4 20.0 -3.3 -20.0 -5.2 -4.3 3.0 -19.2 15.4 15.7 JPY 9.7 8.4 -12.2 -1.1 9.7 -1.1 5.7 0.2 1.9 -7.4 -14.0 -8.7 -13.5 -11.0 -13.3 -18.3 -16.0 -18.7 -17.7 -13.8 -19.2 -6.2 -20.0 -9.0 20.0 -5.2 -1.4 -6.4 -2.5 -6.7 -3.7 -20.0 -20.0 -18.5 -12.5 -15.7 -6.4 -20.0 -1.9 -20.0 LEANHOG 14.7 -6.0 1.9 -2.1 7.5 -3.5 5.2 -3.9 1.3 -6.6 -0.1 9.6 -6.9 -1.0 -4.6 -20.0 19.3 12.1 20.0 -3.0 -7.1 4.8 -11.2 2.6 14.6 -1.3 -0.8 -4.9 2.7 -8.6 1.9 20.0 -4.0 5.5 -3.2 -1.0 -8.9 -3.9 10.1 17.5 LIVECOW -20.0 -20.0 -20.0 -1.9 6.6 -3.2 4.7 -3.5 1.2 -5.0 3.0 -9.0 8.2 -10.4 -8.4 -8.4 -4.9 -14.3 -9.0 -12.2 -1.6 -14.7 6.4 -18.0 0.1 -3.2 -0.6 0.1 -3.8 2.8 -4.8 -9.1 -20.0 -20.0 -20.0 -2.4 -6.4 -18.6 -0.8 -9.4 LUMBER-new 20.0 6.8 -6.0 -3.8 13.3 -6.1 9.4 -5.7 2.3 14.4 -18.5 20.0 -20.0 18.7 -6.3 -16.2 -14.8 -16.4 -15.5 2.4 -11.5 20.0 -15.7 19.0 NaN 2.1 4.7 -3.0 10.7 -4.0 9.1 -20.0 20.0 20.0 20.0 -6.9 -14.7 -20.0 -8.1 -17.9 MILK -8.9 -4.0 -0.9 -2.6 8.9 -4.2 6.2 -4.6 1.6 10.5 -9.6 -8.6 -13.6 -11.7 -9.3 -12.5 -20.0 -16.7 -20.0 -11.2 -14.9 -0.0 -20.0 -8.8 5.0 -4.2 5.7 -6.5 0.7 -10.1 -2.9 -20.0 -10.2 -17.3 -10.7 6.7 -20.0 -20.0 -20.0 -20.0 MXP 20.0 -10.5 -20.0 -1.1 10.0 -1.2 5.9 0.2 1.9 11.5 5.2 11.3 10.6 5.1 -1.7 12.8 16.3 13.9 15.0 1.8 2.4 14.4 10.1 9.3 -20.0 0.7 6.1 1.1 5.7 4.3 3.7 20.0 2.8 14.7 -1.0 5.1 9.6 12.5 17.0 20.0 NASDAQ_micro 16.7 -7.2 -18.5 -1.1 6.7 -1.8 5.4 -0.6 2.1 11.3 5.6 11.8 8.1 8.2 0.1 -9.2 -8.7 -9.7 -9.6 4.0 4.1 20.0 8.2 14.0 -20.0 1.0 8.0 1.5 7.5 3.6 4.1 -5.5 11.4 5.6 8.8 7.2 4.7 -12.2 3.9 -14.9 NIKKEI 11.3 -13.7 -13.0 -1.9 7.5 -2.3 5.4 -0.8 1.6 9.8 9.4 12.6 10.8 7.1 2.7 3.4 9.9 5.9 8.3 3.6 5.3 14.4 10.8 9.8 -8.3 1.0 4.1 2.5 5.8 5.4 3.7 20.0 -12.1 7.4 5.7 14.8 -4.9 1.7 -5.1 10.1 NZD 10.2 7.0 -4.9 -1.0 8.9 -1.0 5.2 0.2 1.7 9.3 -9.3 6.3 -2.7 1.1 -7.0 -0.2 0.2 -0.1 0.0 -1.8 -4.9 8.4 -5.8 3.2 0.8 -0.6 9.0 -2.3 5.7 -2.7 2.5 4.2 4.0 1.0 6.2 -1.0 1.4 -15.0 7.3 8.6 OAT 20.0 3.8 0.3 -1.0 2.0 -2.6 2.5 -3.1 1.4 5.8 -5.7 7.9 -8.8 5.7 -1.9 5.6 7.6 5.9 6.4 0.1 -4.8 8.8 -8.6 6.4 8.3 0.2 3.6 -1.7 4.0 -2.8 2.9 15.0 2.8 1.1 4.9 5.6 -20.0 -20.0 -8.1 11.2 OATIES -9.6 -20.0 -15.5 -1.6 5.5 -2.6 3.8 -2.9 1.0 -2.4 -2.8 -6.2 -2.8 -8.8 -9.5 -19.3 -9.6 -18.8 -16.1 -18.0 -8.0 -13.3 -0.1 -19.4 -20.0 -3.1 -1.0 -1.4 -2.6 -0.1 -3.6 -20.0 -20.0 -20.0 -20.0 -9.7 9.7 11.0 20.0 20.0 OJ -20.0 -8.8 16.8 -2.8 9.9 -4.7 7.0 -5.2 1.7 16.4 18.4 7.2 19.6 10.0 15.4 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 19.3 -20.0 6.4 7.1 8.8 3.8 10.1 3.6 20.0 0.7 13.0 20.0 20.0 4.6 9.1 18.4 20.0 PALLAD -6.3 -7.5 0.5 -1.5 -0.4 -1.5 -2.5 -0.6 -1.5 -5.5 -11.8 -8.3 -12.2 -10.3 -10.7 -2.2 -2.6 -2.6 -2.7 -15.6 -15.9 -19.8 -20.0 -18.3 3.6 -3.9 -3.7 -3.1 -5.6 -2.8 -5.0 4.8 -20.0 -20.0 -20.0 -8.9 -7.2 -8.8 6.5 -3.7 PLAT 5.4 1.0 -3.8 -1.3 4.1 -1.5 -0.0 -0.6 -0.7 0.2 -9.6 -2.7 -5.3 -3.1 -6.0 -3.4 -2.8 -3.6 -3.3 -4.6 -5.9 -3.9 -5.3 -4.6 11.8 -1.4 2.1 -1.3 -2.3 -1.1 -2.2 4.2 -12.9 -4.7 -2.9 3.5 -0.9 -16.0 9.9 -11.9 REDWHEAT -1.3 -15.7 -20.0 -3.1 10.9 -5.2 7.7 -5.7 1.9 -11.2 -20.0 -12.6 -20.0 -18.1 -20.0 -7.1 -0.9 -5.6 -3.4 -20.0 -20.0 -9.7 -20.0 -18.7 -19.1 -7.7 -2.3 -7.7 -3.0 -5.6 -5.3 -2.5 -19.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -12.8 RICE 3.4 -1.7 5.1 -3.3 11.6 -5.5 8.1 -6.0 2.0 20.0 11.0 19.0 6.7 11.6 4.0 -18.6 5.0 -15.1 -3.1 7.3 6.3 20.0 5.6 15.7 -20.0 2.8 17.6 1.8 14.8 1.5 7.3 5.5 20.0 13.2 15.4 18.4 -4.2 -20.0 13.5 -7.1 ROBUSTA 4.3 -7.9 -10.8 -2.1 7.2 -3.4 5.1 -3.8 1.3 11.9 8.8 8.4 10.7 6.5 3.5 20.0 20.0 20.0 20.0 5.3 6.2 15.8 10.9 9.7 -16.7 2.7 8.5 2.8 6.6 4.6 4.4 20.0 20.0 20.0 10.1 9.8 -4.9 -11.9 13.5 0.4 RUSSELL 19.6 -6.1 -16.1 -1.0 6.0 -1.6 4.8 -0.6 1.8 8.9 -7.7 6.2 -6.3 -0.1 -7.6 -6.2 -6.3 -7.1 -7.0 -6.3 -7.3 11.2 -5.1 1.4 -1.7 -2.1 6.9 -2.2 4.1 -1.1 0.6 -1.2 2.2 -3.3 -8.2 -5.2 -14.9 -13.8 -20.0 -20.0 SHATZ 9.2 9.1 6.1 -0.9 1.8 -2.4 2.2 -2.8 1.3 -0.9 -7.1 1.8 -8.5 1.9 -2.6 -20.0 -15.0 -20.0 -20.0 -1.8 -6.2 -1.2 -12.8 -0.2 10.5 -0.8 -0.4 -2.5 -0.9 -5.1 -0.2 -20.0 -18.5 -8.2 6.6 8.5 -14.8 -20.0 -8.5 -20.0 SILVER-mini 4.9 -0.5 -8.1 -1.7 5.4 -2.0 -0.0 -0.8 -1.0 10.0 -5.6 2.4 1.4 5.2 -3.4 -7.1 -6.5 -7.4 -7.1 -2.9 -4.6 4.6 -2.7 0.5 6.8 -0.6 8.2 -0.6 2.4 0.1 0.4 -2.3 14.6 -1.3 -0.2 3.7 -15.9 -20.0 -3.1 -20.0 SMI 4.4 -13.0 -14.5 -1.5 8.5 -2.3 6.8 -0.8 2.6 13.6 -8.5 8.0 -0.2 -6.0 -10.2 5.0 2.2 3.5 2.1 -11.8 -11.4 8.0 -6.2 -3.2 5.7 -3.6 4.6 -3.3 2.8 -2.3 -1.0 13.6 -20.0 -20.0 -9.0 5.9 -8.6 -10.5 -5.1 -5.8 SOFR 20.0 10.3 -6.9 -0.8 1.6 -2.0 1.9 -2.4 1.1 3.2 -5.4 5.4 -5.1 3.8 -2.5 0.4 -0.7 -0.3 -0.7 -1.7 -4.8 4.9 -5.3 2.9 -1.3 -0.9 2.2 -2.2 2.2 -2.3 1.2 1.5 -0.8 -0.8 -0.1 0.5 -20.0 -20.0 -5.5 -8.8 SOYBEAN 15.4 0.4 2.4 -3.1 10.9 -5.2 7.7 -5.7 1.9 18.6 8.8 17.9 5.6 14.0 -4.1 19.0 18.0 15.6 15.3 7.4 3.5 20.0 1.7 16.0 -20.0 4.4 12.4 2.1 11.5 1.3 8.5 20.0 20.0 20.0 17.9 7.1 -20.0 -9.7 -20.0 -4.4 SOYMEAL 20.0 17.2 2.9 -1.9 6.5 -3.1 4.6 -3.4 1.1 9.3 2.9 11.2 3.1 11.7 9.1 19.1 17.7 15.7 16.1 12.8 5.5 18.4 3.1 18.8 -20.0 3.7 3.4 2.1 4.9 1.8 5.1 20.0 20.0 20.0 20.0 14.6 -20.0 -20.0 -20.0 -20.0 SOYOIL -0.1 -20.0 -14.8 -1.7 5.8 -2.8 4.1 -3.0 1.0 10.0 -1.7 1.2 -3.0 -8.2 -9.6 4.4 10.8 8.7 9.8 -14.6 -9.8 4.3 -4.0 -8.6 -20.0 -3.2 3.3 -2.3 1.1 -1.0 -1.8 18.1 4.0 -14.8 -20.0 -13.1 -6.7 3.0 9.6 17.2 SP400 16.0 -8.1 -19.9 -1.1 6.2 -1.7 5.0 -0.6 1.9 9.6 -6.7 7.0 -1.6 1.1 -6.7 -5.0 -5.1 -5.3 -5.4 -5.9 -6.9 13.4 -3.7 2.7 -8.4 -1.8 7.7 -2.0 4.8 -0.7 1.1 1.2 1.4 -4.0 -6.5 -3.5 -8.4 -14.4 -14.3 -20.0 SP500_micro 19.3 -8.6 -20.0 -1.3 7.7 -2.1 6.1 -0.7 2.4 12.9 0.5 13.5 6.2 6.5 -3.1 -9.9 -9.9 -10.8 -10.8 -0.2 -1.5 20.0 2.6 12.4 -16.2 -0.2 9.0 -0.2 7.6 1.6 3.6 -7.6 11.7 3.3 0.4 2.3 -0.6 -11.6 0.1 -16.0 SUGAR11 -5.8 -4.1 0.8 -2.9 10.2 -4.8 7.2 -5.3 1.8 -14.6 18.7 -1.0 18.8 10.6 17.1 20.0 18.7 20.0 20.0 13.2 20.0 -2.2 20.0 5.5 -20.0 5.7 -4.8 9.7 -1.4 15.5 2.4 20.0 -20.0 -5.1 12.3 20.0 -16.1 -17.2 9.6 4.4 US10 20.0 14.0 -2.4 -0.8 1.5 -1.9 1.8 -2.2 1.0 2.8 -6.2 4.6 -6.7 1.7 -3.9 -4.9 -6.9 -6.4 -7.3 -3.2 -6.7 4.6 -8.0 1.8 1.1 -1.4 1.9 -2.6 1.8 -2.9 0.6 -9.9 1.1 -2.8 -3.4 -2.7 -20.0 -20.0 -2.5 1.2 US10U 20.0 11.1 -5.1 -0.9 1.8 -2.3 2.1 -2.7 1.2 2.9 -7.3 5.6 -8.0 1.0 -5.1 -1.1 -0.6 -0.3 -0.6 -4.5 -8.7 5.4 -9.8 1.9 -1.8 -1.8 1.9 -3.2 1.9 -3.3 0.6 1.6 1.5 -4.1 -5.7 -5.3 -20.0 -20.0 4.5 15.3 US2 16.4 20.0 14.3 -0.8 1.6 -2.1 1.9 -2.4 1.1 2.1 -7.4 2.7 -7.8 2.1 -3.7 -20.0 -20.0 -20.0 -20.0 -2.4 -7.3 2.5 -11.5 1.1 7.8 -0.8 2.6 -3.0 1.8 -5.1 1.0 -20.0 -5.0 -3.0 4.1 3.9 -18.7 -20.0 -8.0 -20.0 US20 20.0 9.1 -7.1 -0.7 1.4 -1.8 1.7 -2.1 1.0 2.4 -5.6 4.7 -6.0 0.4 -4.0 -0.0 -1.5 -1.0 -1.5 -3.9 -7.5 5.2 -8.0 2.1 -1.7 -1.4 1.2 -2.5 1.5 -2.4 0.5 0.0 3.3 -2.0 -6.8 -7.2 -11.3 -20.0 13.3 20.0 US30 20.0 7.5 -4.9 -0.7 1.4 -1.8 1.7 -2.2 1.0 2.2 -6.0 4.4 -6.3 -0.3 -4.5 -3.7 -4.0 -4.8 -4.8 -4.2 -7.5 4.4 -8.3 1.4 -1.3 -1.6 1.2 -2.6 1.4 -2.6 0.3 -4.9 2.2 -4.3 -6.6 -6.5 -6.9 -20.0 20.0 20.0 US5 20.0 16.4 1.4 -0.8 1.6 -2.0 1.9 -2.4 1.1 2.8 -6.6 4.4 -7.1 2.5 -3.6 -9.1 -10.4 -10.9 -11.5 -2.5 -6.2 4.1 -8.3 1.9 3.1 -1.1 2.4 -2.7 2.1 -3.4 1.0 -16.4 -1.3 -2.2 0.2 0.6 -20.0 -20.0 -12.1 -18.2 VIX -16.5 14.6 15.8 -2.1 -4.0 -3.1 -5.2 -5.5 -3.9 -12.1 -11.9 -13.1 -13.0 -10.8 -7.0 -20.0 -20.0 -20.0 -20.0 -7.8 -9.7 -15.6 -15.7 -12.9 NaN -2.4 -4.6 -3.5 -6.0 -6.5 -4.5 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 3.4 -1.1 -20.0 -3.2 11.1 -5.3 7.8 -5.8 2.0 -16.6 -20.0 -10.9 -20.0 -3.7 -20.0 -12.7 -10.5 -12.1 -11.5 -15.4 -20.0 -8.0 -20.0 -7.1 -5.4 -5.7 -9.3 -8.6 -4.7 -10.1 -3.4 -18.4 -20.0 -12.2 3.5 -16.6 -20.0 -19.9 -20.0 -15.6 End of report for caleb_strategy_v3