******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231117_204330 produced at 2023-11-17 21:39:27.088604 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.31 0.0 0.00 0.00 0.00 0.00 -3.50 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.19 0.0 0.11 -0.11 -0.11 -0.11 -30.94 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.17 0.0 0.00 0.00 0.00 0.00 -4.08 24.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 -0.13 0.0 0.77 -0.77 0.00 0.00 -4.79 29.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -1.44 13.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.21 -0.11 0.0 0.67 -0.67 -0.21 -0.16 -2.17 13.0 -4 -3 caleb_strategy_v3 LIVECOW False False 0.03 -0.08 -0.08 0.0 0.44 -0.44 -0.08 -0.08 -2.92 17.0 -3 -3 caleb_strategy_v3 JPY False False 0.03 -0.15 -0.08 0.0 0.52 -0.52 -0.15 -0.15 -2.49 17.0 -5 -5 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.08 0.0 0.21 -0.21 -0.03 -0.03 -2.20 6.0 -1 -1 caleb_strategy_v3 GOLD_micro False False 0.01 -0.02 -0.07 0.0 0.41 -0.41 -0.02 -0.04 -9.15 56.0 -3 -5 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.07 0.0 0.34 -0.34 -0.04 -0.04 -1.54 8.0 -1 -1 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.06 0.0 0.11 -0.11 -0.05 -0.05 -6.16 12.0 -5 -5 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.19 -0.19 -0.02 -0.02 -12.79 51.0 -6 -6 caleb_strategy_v3 COTTON2 False False 0.01 -0.07 -0.05 0.0 0.16 -0.16 -0.07 -0.07 -3.11 11.0 -5 -5 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.06 -0.06 0.00 0.00 -4.29 5.0 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 -14.14 26.0 -6 -6 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -5.58 2.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.04 0.0 0.19 -0.19 0.00 0.00 -0.44 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 -1.09 25.0 -4 -4 caleb_strategy_v3 PALLAD False False 0.04 -0.08 -0.03 0.0 0.08 -0.08 -0.08 -0.08 -0.67 2.0 -2 -2 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.03 0.0 0.40 -0.40 -0.01 -0.01 -3.12 48.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.03 0.0 0.22 -0.22 -0.03 -0.03 -9.93 68.0 -10 -8 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.09 -0.09 -0.03 -0.03 -2.49 8.0 -3 -3 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.11 -0.11 -0.04 -0.04 -2.88 9.0 -3 -3 caleb_strategy_v3 DOW False False 0.01 -0.04 -0.03 0.0 0.42 -0.42 -0.04 -0.03 -4.65 66.0 -7 -5 caleb_strategy_v3 SMI False False 0.04 -0.04 -0.02 0.0 0.40 -0.40 -0.04 -0.04 -0.51 9.0 -1 -1 caleb_strategy_v3 HEATOIL False False 0.04 -0.04 -0.02 0.0 0.12 -0.12 -0.04 -0.04 -0.37 3.0 -1 -1 caleb_strategy_v3 US10 False True 0.04 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.45 17.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.01 0.0 0.45 -0.45 0.00 0.00 -0.41 19.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.01 0.0 0.27 -0.27 0.00 0.00 -0.87 23.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.11 -0.11 -0.03 -0.03 -0.70 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 -0.23 0.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -2.67 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 -0.20 13.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 -0.01 0.0 999.00 -999.00 0.00 0.00 -0.19 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 -0.05 10.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.00 0.0 0.88 -0.88 0.00 0.00 -0.06 19.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.06 9.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.02 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.20 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.05 7.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.04 4.0 0 0 caleb_strategy_v3 US30 False True 0.04 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.06 6.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.00 0.0 0.17 -0.17 0.00 0.00 -0.15 10.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.15 4.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.17 6.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 0.01 0.0 0.63 -0.63 0.00 0.00 0.49 22.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.00 0.01 0.0 0.70 -0.70 0.00 0.00 0.17 14.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.02 0.01 0.0 0.19 -0.19 0.02 0.01 1.24 18.0 2 1 caleb_strategy_v3 NZD False False 0.02 0.02 0.01 0.0 0.46 -0.46 0.02 0.02 0.32 21.0 1 1 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.01 0.0 0.11 -0.11 0.03 0.03 0.45 4.0 1 1 caleb_strategy_v3 CAC False False 0.03 0.14 0.01 0.0 0.35 -0.35 0.14 0.20 0.50 12.0 5 7 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.0 0.21 -0.21 0.02 0.02 1.03 23.0 2 2 caleb_strategy_v3 RICE False False 0.01 0.00 0.02 0.0 0.05 -0.05 0.00 0.00 1.40 4.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.05 0.03 0.0 0.45 -0.45 0.05 0.09 0.59 10.0 1 2 caleb_strategy_v3 CRUDE_W False False 0.03 0.03 0.04 0.0 0.13 -0.13 0.03 0.03 1.47 5.0 1 1 caleb_strategy_v3 LEANHOG False False 0.01 0.02 0.04 0.0 0.14 -0.14 0.02 0.02 3.94 13.0 2 2 caleb_strategy_v3 COCOA False False 0.02 0.03 0.04 0.0 0.39 -0.39 0.03 0.03 2.81 26.0 2 2 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.07 -0.07 0.00 0.00 1.74 3.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.10 0.05 0.0 0.50 -0.50 0.10 0.10 1.05 10.0 2 2 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.05 0.0 0.35 -0.35 0.00 0.00 3.14 20.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.06 0.0 0.37 -0.37 0.00 0.00 9.43 58.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 0.05 0.07 0.0 0.08 -0.08 0.05 0.05 48.62 59.0 36 36 caleb_strategy_v3 NIKKEI False False 0.01 0.16 0.16 0.0 0.29 -0.29 0.16 0.16 19.20 36.0 20 20 caleb_strategy_v3 MXP False False 0.01 0.24 0.25 0.0 0.63 -0.63 0.24 0.26 23.89 60.0 23 25 caleb_strategy_v3 JGB-SGX-mini False True 0.04 -0.07 0.48 0.0 0.00 -0.07 -0.07 -0.04 13.67 16.0 -2 -1 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.10 0.85 0.0 0.97 -0.97 0.10 0.10 8.84 10.0 1 1 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 13.2 Shocked risk 30.6 Sum abs risk 49.8 Leverage 4.33 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2730773.36, 'annual_cash_vol_target': 682693.34, 'daily_cash_vol_target': 42668.33375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0048 0.6514 0.7409 11.8542 BITCOIN 958.7644 36985.0000 2.5923 41.4769 BOBL 0.2633 116.8000 0.2254 3.6071 BTP 0.6612 113.9300 0.5803 9.2851 BUND 0.5503 131.0000 0.4200 6.7207 BUXL 1.3661 127.4600 1.0718 17.1483 CAC 58.4293 7252.0000 0.8057 12.8912 CAD 0.0032 0.7293 0.4356 6.9702 CANOLA 7.9354 700.5000 1.1328 18.1251 CHF 0.0054 1.1324 0.4726 7.5620 COCOA 41.3149 4115.0000 1.0040 16.0641 COFFEE 3.1266 167.0000 1.8722 29.9552 COPPER 0.0356 3.7355 0.9538 15.2602 CORN 5.0741 511.2500 0.9925 15.8797 COTTON2 1.0802 81.3000 1.3287 21.2594 CRUDE_W 1.2964 73.5400 1.7629 28.2064 DAX 120.1570 15989.0000 0.7515 12.0240 DOW 229.4624 35027.0000 0.6551 10.4816 DX 0.4799 103.4350 0.4639 7.4229 EUR 0.0059 1.0911 0.5395 8.6327 EURIBOR-ICE 0.0509 97.3750 0.0522 0.8358 EUROSTX 37.6400 4355.0000 0.8643 13.8287 FEEDCOW 2.3134 230.8250 1.0022 16.0359 GASOIL 13.9526 780.0000 1.7888 28.6206 GASOLINE 0.0446 2.1553 2.0680 33.0878 GAS_US_mini 0.1039 3.1350 3.3135 53.0158 GBP 0.0080 1.2450 0.6394 10.2312 GOLD_micro 13.4657 1982.5000 0.6792 10.8677 HEATOIL 0.0474 2.6819 1.7664 28.2621 JGB-SGX-mini 0.2769 145.7500 0.1900 3.0402 JPY 0.0000 0.0067 0.6204 9.9268 LEANHOG 1.1516 75.5000 1.5254 24.4058 LIVECOW 1.6975 176.5500 0.9615 15.3841 LUMBER-new 7.7048 550.0000 1.4009 22.4140 MILK 0.2128 16.7900 1.2677 20.2825 MXP 0.0005 0.0577 0.7941 12.7051 NASDAQ_micro 140.8846 15906.2500 0.8857 14.1715 NIKKEI 314.5852 33525.0000 0.9384 15.0138 NZD 0.0047 0.5984 0.7910 12.6563 OAT 0.5759 125.9500 0.4573 7.3161 OATIES 6.6430 361.0000 1.8402 29.4427 OJ 5.9067 417.7500 1.4139 22.6228 PALLAD 21.5778 1060.0000 2.0356 32.5702 PLAT 14.5220 902.9000 1.6084 25.7339 REDWHEAT 9.0799 628.5000 1.4447 23.1151 RICE 0.1481 17.5800 0.8426 13.4820 ROBUSTA 38.1086 2525.0000 1.5093 24.1480 RUSSELL 24.7429 1801.7000 1.3733 21.9729 SHATZ 0.0771 105.1400 0.0733 1.1731 SILVER-mini 0.3414 24.1625 1.4130 22.6081 SMI 76.6032 10754.0000 0.7123 11.3972 SOFR 0.0896 96.2300 0.0931 1.4890 SOYBEAN 11.3034 1284.5000 0.8800 14.0798 SOYMEAL 6.2099 424.7000 1.4622 23.3948 SOYOIL 0.7644 50.8200 1.5041 24.0654 SP400 27.5374 2541.4000 1.0836 17.3368 SP500_micro 33.2980 4528.5000 0.7353 11.7648 SUGAR11 0.3238 25.8800 1.2511 20.0180 US10 0.5428 108.7500 0.4991 7.9860 US10U 0.7388 112.4062 0.6572 10.5159 US2 0.1298 101.4961 0.1279 2.0458 US20 1.0900 115.4375 0.9442 15.1076 US30 1.5950 120.1875 1.3271 21.2329 US5 0.3414 105.8203 0.3226 5.1617 VIX 0.5776 17.1500 3.3679 53.8869 WHEAT 7.8735 639.0000 1.2322 19.7146 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 651.40 0.74 482.61 1.00 482.61 42668.33 88.41 -1.80 -15.90 BITCOIN 36.98 2.59 95.88 1.00 95.88 42668.33 445.03 10.09 448.95 BOBL 1168.00 0.23 263.32 1.08 285.40 42668.33 149.51 -0.40 -5.95 BTP 1139.30 0.58 661.16 1.08 716.60 42668.33 59.54 2.89 17.22 BUND 1310.00 0.42 550.25 1.08 596.39 42668.33 71.54 -0.67 -4.78 BUXL 1274.60 1.07 1366.07 1.08 1480.62 42668.33 28.82 -1.48 -4.26 CAC 725.20 0.81 584.29 1.08 633.29 42668.33 67.38 2.16 14.56 CAD 729.30 0.44 317.71 1.00 317.71 42668.33 134.30 -13.75 -184.63 CANOLA 140.10 1.13 158.71 0.73 115.91 42668.33 368.12 -14.28 -525.79 CHF 1415.50 0.47 669.00 1.00 669.00 42668.33 63.78 -13.11 -83.64 COCOA 411.50 1.00 413.15 1.00 413.15 42668.33 103.28 12.70 131.15 COFFEE 626.25 1.87 1172.47 1.00 1172.47 42668.33 36.39 -4.08 -14.85 COPPER 933.88 0.95 890.69 1.00 890.69 42668.33 47.90 -4.24 -20.31 CORN 255.62 0.99 253.70 1.00 253.70 42668.33 168.18 -15.06 -253.28 COTTON2 406.50 1.33 540.12 1.00 540.12 42668.33 79.00 -18.37 -145.15 CRUDE_W 735.40 1.76 1296.44 1.00 1296.44 42668.33 32.91 4.12 13.57 DAX 159.89 0.75 120.16 1.08 130.23 42668.33 327.63 8.43 276.34 DOW 175.14 0.66 114.73 1.00 114.73 42668.33 371.90 -5.38 -200.22 DX 1034.35 0.46 479.87 1.00 479.87 42668.33 88.92 -0.84 -7.44 EUR 1363.88 0.54 735.87 1.00 735.87 42668.33 57.98 1.13 6.58 EURIBOR-ICE 2434.38 0.05 127.17 1.08 137.84 42668.33 309.56 8.37 259.16 EUROSTX 435.50 0.86 376.40 1.08 407.96 42668.33 104.59 8.81 92.11 FEEDCOW 1154.12 1.00 1156.71 1.00 1156.71 42668.33 36.89 -12.61 -46.52 GASOIL 780.00 1.79 1395.26 1.00 1395.26 42668.33 30.58 3.36 10.27 GASOLINE 905.23 2.07 1872.00 1.00 1872.00 42668.33 22.79 -1.48 -3.37 GAS_US_mini 78.37 3.31 259.69 1.00 259.69 42668.33 164.30 -7.95 -130.58 GBP 778.12 0.64 497.57 1.00 497.57 42668.33 85.75 2.19 18.81 GOLD_micro 198.25 0.68 134.66 1.00 134.66 42668.33 316.87 -8.47 -268.27 HEATOIL 1126.40 1.77 1989.65 1.00 1989.65 42668.33 21.45 -3.95 -8.48 JGB-SGX-mini 145750.00 0.19 27694.35 0.01 182.96 42668.33 233.21 5.41 126.24 JPY 838.81 0.62 520.42 1.00 520.42 42668.33 81.99 -11.70 -95.94 LEANHOG 302.00 1.53 460.66 1.00 460.66 42668.33 92.62 7.00 64.85 LIVECOW 706.20 0.96 679.02 1.00 679.02 42668.33 62.84 -14.03 -88.16 LUMBER-new 151.25 1.40 211.88 1.00 211.88 42668.33 201.38 -6.21 -125.08 MILK 335.80 1.27 425.68 1.00 425.68 42668.33 100.24 -20.00 -200.47 MXP 288.65 0.79 229.21 1.00 229.21 42668.33 186.16 8.74 162.74 NASDAQ_micro 318.12 0.89 281.77 1.00 281.77 42668.33 151.43 -2.46 -37.26 NIKKEI 33525.00 0.94 31458.52 0.01 207.83 42668.33 205.30 8.64 177.35 NZD 598.45 0.79 473.39 1.00 473.39 42668.33 90.13 1.37 12.34 OAT 1259.50 0.46 575.92 1.08 624.21 42668.33 68.36 4.50 30.74 OATIES 180.50 1.84 332.15 1.00 332.15 42668.33 128.46 -17.86 -229.43 OJ 626.62 1.41 886.00 1.00 886.00 42668.33 48.16 16.90 81.40 PALLAD 1060.00 2.04 2157.78 1.00 2157.78 42668.33 19.77 -9.96 -19.69 PLAT 451.45 1.61 726.10 1.00 726.10 42668.33 58.76 -0.74 -4.33 REDWHEAT 314.25 1.44 453.99 1.00 453.99 42668.33 93.98 -20.00 -187.97 RICE 351.60 0.84 296.27 1.00 296.27 42668.33 144.02 3.99 57.48 ROBUSTA 252.50 1.51 381.09 1.00 381.09 42668.33 111.97 7.89 88.34 RUSSELL 90.08 1.37 123.71 1.00 123.71 42668.33 344.89 -8.69 -299.69 SHATZ 1051.40 0.07 77.09 1.08 83.55 42668.33 510.67 -7.88 -402.39 SILVER-mini 604.06 1.41 853.55 1.00 853.55 42668.33 49.99 -1.33 -6.64 SMI 1075.40 0.71 766.03 1.13 862.32 42668.33 49.48 -3.01 -14.90 SOFR 2405.75 0.09 223.88 1.00 223.88 42668.33 190.59 -3.02 -57.56 SOYBEAN 642.25 0.88 565.17 1.00 565.17 42668.33 75.50 0.72 5.44 SOYMEAL 424.70 1.46 620.99 1.00 620.99 42668.33 68.71 3.13 21.48 SOYOIL 304.92 1.50 458.63 1.00 458.63 42668.33 93.04 -8.13 -75.66 SP400 2541.40 1.08 2753.74 1.00 2753.74 42668.33 15.49 -8.64 -13.39 SP500_micro 226.42 0.74 166.49 1.00 166.49 42668.33 256.28 -5.23 -134.07 SUGAR11 289.86 1.25 362.65 1.00 362.65 42668.33 117.66 4.97 58.44 US10 1087.50 0.50 542.80 1.00 542.80 42668.33 78.61 -4.55 -35.75 US10U 1124.06 0.66 738.79 1.00 738.79 42668.33 57.75 -2.69 -15.56 US2 2029.92 0.13 259.56 1.00 259.56 42668.33 164.39 -6.91 -113.67 US20 1154.38 0.94 1089.99 1.00 1089.99 42668.33 39.15 -1.18 -4.62 US30 1201.88 1.33 1594.96 1.00 1594.96 42668.33 26.75 -1.69 -4.52 US5 1058.20 0.32 341.39 1.00 341.39 42668.33 124.99 -6.86 -85.69 VIX 171.50 3.37 577.60 1.00 577.60 42668.33 73.87 -16.97 -125.34 WHEAT 319.50 1.23 393.68 1.00 393.68 42668.33 108.38 -20.00 -216.77 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -15.901 0.010 2.5 -0.413 BITCOIN 448.946 0.043 2.5 48.617 BOBL -5.947 0.004 2.5 -0.060 BTP 17.217 0.014 2.5 0.587 BUND -4.783 0.004 2.5 -0.049 BUXL -4.261 0.004 2.5 -0.043 CAC 14.561 0.014 2.5 0.497 CAD -184.630 0.010 2.5 -4.791 CANOLA -525.785 0.010 2.5 -12.792 CHF -83.641 0.010 2.5 -2.170 COCOA 131.151 0.009 2.5 2.809 COFFEE -14.849 0.005 2.5 -0.173 COPPER -20.310 0.043 2.5 -2.199 CORN -253.284 0.010 2.5 -6.162 COTTON2 -145.147 0.009 2.5 -3.109 CRUDE_W 13.574 0.043 2.5 1.470 DAX 276.336 0.014 2.5 9.426 DOW -200.223 0.009 2.5 -4.653 DX -7.435 0.010 2.5 -0.193 EUR 6.575 0.010 2.5 0.171 EURIBOR-ICE 259.155 0.014 2.5 8.840 EUROSTX 92.115 0.014 2.5 3.142 FEEDCOW -46.525 0.013 2.5 -1.542 GASOIL 10.269 0.017 2.5 0.445 GASOLINE -3.369 0.017 2.5 -0.146 GAS_US_mini -130.575 0.043 2.5 -14.140 GBP 18.805 0.010 2.5 0.488 GOLD_micro -268.268 0.014 2.5 -9.151 HEATOIL -8.478 0.017 2.5 -0.368 JGB-SGX-mini 126.240 0.043 2.5 13.671 JPY -95.937 0.010 2.5 -2.489 LEANHOG 64.848 0.024 2.5 3.941 LIVECOW -88.155 0.013 2.5 -2.921 LUMBER-new -125.077 0.009 2.5 -2.666 MILK -200.472 0.009 2.5 -4.294 MXP 162.740 0.059 2.5 23.887 NASDAQ_micro -37.258 0.009 2.5 -0.866 NIKKEI 177.346 0.043 2.5 19.205 NZD 12.336 0.010 2.5 0.320 OAT 30.737 0.014 2.5 1.048 OATIES -229.429 0.010 2.5 -5.582 OJ 81.395 0.009 2.5 1.743 PALLAD -19.686 0.014 2.5 -0.671 PLAT -4.326 0.014 2.5 -0.148 REDWHEAT -187.968 0.005 2.5 -2.494 RICE 57.481 0.010 2.5 1.398 ROBUSTA 88.339 0.005 2.5 1.032 RUSSELL -299.693 0.013 2.5 -9.931 SHATZ -402.394 0.004 2.5 -4.081 SILVER-mini -6.636 0.014 2.5 -0.226 SMI -14.901 0.014 2.5 -0.508 SOFR -57.562 0.024 2.5 -3.498 SOYBEAN 5.437 0.004 2.5 0.051 SOYMEAL 21.484 0.004 2.5 0.200 SOYOIL -75.658 0.004 2.5 -0.704 SP400 -13.390 0.013 2.5 -0.444 SP500_micro -134.074 0.009 2.5 -3.116 SUGAR11 58.441 0.009 2.5 1.243 US10 -35.751 0.005 2.5 -0.453 US10U -15.559 0.005 2.5 -0.197 US2 -113.667 0.005 2.5 -1.440 US20 -4.620 0.005 2.5 -0.059 US30 -4.517 0.005 2.5 -0.057 US5 -85.692 0.005 2.5 -1.086 VIX -125.338 0.099 2.5 -30.940 WHEAT -216.769 0.005 2.5 -2.876 ===================== Position diags ===================== AUD 2.29 BITCOIN 48.19 BOBL 1.52 BTP 2.03 BUND 0.73 BUXL 0.29 CAC 2.30 CAD 3.48 CANOLA 8.96 CHF 1.65 COCOA 2.21 COFFEE 0.42 COPPER 5.19 CORN 4.09 COTTON2 1.69 CRUDE_W 3.56 DAX 11.18 DOW 8.64 DX 2.31 EUR 1.50 EURIBOR-ICE 10.56 EUROSTX 3.57 FEEDCOW 1.22 GASOIL 1.33 GASOLINE 0.99 GAS_US_mini 17.79 GBP 2.23 GOLD_micro 10.81 HEATOIL 0.93 JGB-SGX-mini 25.25 JPY 2.13 LEANHOG 5.63 LIVECOW 2.08 LUMBER-new 4.29 MILK 2.15 MXP 27.32 NASDAQ_micro 3.52 NIKKEI 22.23 NZD 2.34 OAT 2.33 OATIES 3.13 OJ 1.03 PALLAD 0.67 PLAT 2.00 REDWHEAT 1.25 RICE 3.50 ROBUSTA 1.31 RUSSELL 11.43 SHATZ 5.18 SILVER-mini 1.71 SMI 1.69 SOFR 11.58 SOYBEAN 0.70 SOYMEAL 0.64 SOYOIL 0.87 SP400 0.51 SP500_micro 5.96 SUGAR11 2.50 US10 1.00 US10U 0.73 US2 2.08 US20 0.50 US30 0.34 US5 1.58 VIX 18.24 WHEAT 1.44 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.4 -0.6 -0.2 0.0 0 BITCOIN 48.6 43.8 53.4 36.0 36 BOBL -0.1 -0.2 0.1 0.0 0 BTP 0.6 0.4 0.8 1.0 1 BUND -0.0 -0.1 0.0 0.0 0 BUXL -0.0 -0.1 -0.0 0.0 0 CAC 0.5 0.3 0.7 5.0 5 CAD -4.8 -5.1 -4.4 0.0 0 CANOLA -12.8 -13.7 -11.9 -6.0 -6 CHF -2.2 -2.3 -2.0 -4.0 -4 COCOA 2.8 2.6 3.0 2.0 2 COFFEE -0.2 -0.2 -0.1 0.0 0 COPPER -2.2 -2.7 -1.7 -1.0 -1 CORN -6.2 -6.6 -5.8 -5.0 -5 COTTON2 -3.1 -3.3 -2.9 -5.0 -5 CRUDE_W 1.5 1.1 1.8 1.0 1 DAX 9.4 8.3 10.5 0.0 0 DOW -4.7 -5.5 -3.8 -7.0 -7 DX -0.2 -0.4 0.0 NaN 0 EUR 0.2 0.0 0.3 0.0 0 EURIBOR-ICE 8.8 7.8 9.9 1.0 1 EUROSTX 3.1 2.8 3.5 0.0 0 FEEDCOW -1.5 -1.7 -1.4 -1.0 -1 GASOIL 0.4 0.3 0.6 1.0 1 GASOLINE -0.1 -0.2 -0.0 0.0 0 GAS_US_mini -14.1 -15.9 -12.4 -6.0 -6 GBP 0.5 0.3 0.7 0.0 0 GOLD_micro -9.2 -10.2 -8.1 -3.0 -3 HEATOIL -0.4 -0.5 -0.3 -1.0 -1 JGB-SGX-mini 13.7 11.1 16.2 -2.0 -2 JPY -2.5 -2.7 -2.3 -5.0 -5 LEANHOG 3.9 3.4 4.5 2.0 2 LIVECOW -2.9 -3.1 -2.7 -3.0 -3 LUMBER-new -2.7 -3.1 -2.2 NaN 0 MILK -4.3 -4.5 -4.1 NaN 0 MXP 23.9 21.2 26.6 23.0 23 NASDAQ_micro -0.9 -1.2 -0.5 0.0 0 NIKKEI 19.2 17.0 21.4 20.0 20 NZD 0.3 0.1 0.6 1.0 1 OAT 1.0 0.8 1.3 2.0 2 OATIES -5.6 -5.9 -5.3 NaN 0 OJ 1.7 1.6 1.8 NaN 0 PALLAD -0.7 -0.7 -0.6 -2.0 -2 PLAT -0.1 -0.3 0.1 0.0 0 REDWHEAT -2.5 -2.6 -2.4 -3.0 -3 RICE 1.4 1.0 1.7 NaN 0 ROBUSTA 1.0 0.9 1.2 2.0 2 RUSSELL -9.9 -11.1 -8.8 -10.0 -10 SHATZ -4.1 -4.6 -3.6 NaN 0 SILVER-mini -0.2 -0.4 -0.1 NaN 0 SMI -0.5 -0.7 -0.3 -1.0 -1 SOFR -3.5 -4.7 -2.3 NaN 0 SOYBEAN 0.1 -0.0 0.1 0.0 0 SOYMEAL 0.2 0.1 0.3 0.0 0 SOYOIL -0.7 -0.8 -0.6 -3.0 -3 SP400 -0.4 -0.5 -0.4 0.0 0 SP500_micro -3.1 -3.7 -2.5 -1.0 -1 SUGAR11 1.2 1.0 1.5 2.0 2 US10 -0.5 -0.6 -0.4 NaN 0 US10U -0.2 -0.3 -0.1 0.0 0 US2 -1.4 -1.6 -1.2 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 -1.2 -0.9 -4.0 -4 VIX -30.9 -32.8 -29.1 -17.0 -17 WHEAT -2.9 -3.0 -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 0.3 -0.1 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.3 0.1 -0.3 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.2 0.1 0.4 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.3 0.1 0.1 -0.1 -0.3 -0.7 -0.1 0.2 BITCOIN 0.5 0.6 0.1 -0.0 0.1 -0.1 0.1 -0.0 0.0 -0.0 0.5 0.2 0.5 0.2 0.2 -0.2 -0.1 -0.2 -0.1 0.2 0.2 0.2 0.2 0.2 -2.7 0.1 0.0 0.1 0.0 0.1 0.1 -0.0 0.5 0.6 0.6 0.6 -0.1 0.7 -0.0 0.7 BOBL 0.6 0.3 0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.3 0.1 0.0 0.2 -0.1 0.1 -0.0 0.0 -0.0 0.1 -0.2 0.1 1.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 -0.1 0.2 0.3 -0.6 -0.7 -0.4 -0.6 BTP 0.6 0.2 -0.2 -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 0.2 -0.1 0.1 -0.9 0.0 0.0 -0.0 0.1 -0.0 0.0 0.8 0.2 0.2 0.2 0.2 -0.4 -0.7 0.0 0.2 BUND 0.6 0.3 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 -0.0 -0.1 0.1 -0.0 0.0 0.0 -0.0 0.1 -0.2 0.1 0.8 0.0 0.0 -0.0 0.0 -0.1 0.0 0.4 -0.0 -0.1 0.1 0.2 -0.7 -0.7 -0.7 -0.1 BUXL 0.6 0.2 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.1 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.1 0.1 -0.3 0.1 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 0.6 -0.2 -0.6 -0.0 0.1 -0.1 0.1 -0.0 0.1 0.2 -0.2 0.2 0.5 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.2 0.1 0.1 -0.8 -0.0 0.1 -0.1 0.1 0.0 0.0 0.2 -0.1 -0.1 -0.2 0.2 0.2 0.1 0.4 0.3 CAD 0.2 -0.2 -0.3 -0.0 0.1 -0.0 0.1 0.0 0.1 0.0 -0.4 0.1 -0.5 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.3 -0.0 0.3 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.0 -0.5 -0.6 -0.6 -0.5 -0.6 -0.7 -0.3 -0.6 CANOLA 0.5 -0.6 -0.4 -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 0.1 -0.2 -0.1 -0.1 -0.1 0.0 -0.2 -0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.4 -0.6 -0.5 -0.4 -0.2 0.2 0.2 CHF 0.3 0.2 -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 -0.0 -0.1 0.1 -0.0 0.1 -1.0 -0.0 0.1 -0.1 0.1 -0.0 0.0 -1.1 0.2 -0.4 -0.0 -0.3 -0.7 -0.7 -0.7 -0.7 COCOA 0.6 0.6 0.2 -0.0 0.0 -0.2 0.1 -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 -0.2 0.5 0.6 0.6 0.6 0.3 -0.1 0.7 0.3 COFFEE 0.4 0.6 0.3 -0.0 0.0 -0.1 0.1 -0.2 0.0 -0.1 -0.2 0.1 -0.4 0.2 0.1 0.1 0.0 0.1 0.0 0.1 0.0 0.1 -0.2 0.2 -2.7 0.1 -0.0 0.0 0.0 -0.0 0.1 0.2 -0.1 0.6 0.6 0.5 -0.7 -0.7 -0.7 -0.4 COPPER 0.5 -0.0 -0.3 -0.0 0.1 -0.1 0.0 -0.0 0.0 0.2 -0.4 0.2 -0.2 0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.0 -0.1 0.1 -0.3 0.1 -0.9 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.0 0.4 0.5 0.0 0.1 -0.0 -0.7 0.2 -0.6 CORN 0.1 0.2 -0.5 -0.0 0.0 -0.1 0.1 -0.2 0.0 -0.0 -0.5 -0.0 -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 -0.4 0.3 -0.1 -0.2 -0.1 0.1 0.1 COTTON2 -0.6 -0.6 -0.1 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.1 -0.1 -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 -0.4 -0.6 -0.6 -0.0 -0.7 -0.4 -0.0 0.2 CRUDE_W -0.6 -0.4 0.3 -0.0 -0.0 0.1 -0.1 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 0.3 -0.1 -0.7 -0.0 -0.0 0.1 -0.1 0.2 -0.1 -1.1 0.1 0.2 0.3 0.1 0.7 0.4 0.7 0.3 DAX 0.6 -0.1 -0.6 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.2 -0.3 0.2 0.3 0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 -0.1 0.2 -0.0 0.2 2.2 -0.0 0.1 -0.1 0.1 -0.0 0.1 -0.3 0.5 0.2 -0.1 -0.0 0.2 0.1 0.5 0.4 DOW 0.6 0.0 -0.5 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.2 0.2 0.1 -0.0 -0.2 -0.2 -0.2 -0.2 0.0 -0.0 0.2 -0.0 0.2 -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 -0.3 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 -0.2 0.2 -0.1 -2.7 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.8 -0.5 -0.6 0.1 0.6 0.3 0.2 0.4 0.7 EUR 0.6 0.3 -0.4 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.2 0.1 0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.2 -0.1 0.1 1.4 0.0 0.1 -0.1 0.1 -0.1 0.1 -0.4 0.2 0.3 0.2 -0.2 -0.5 -0.6 -0.4 -0.2 EURIBOR-ICE 0.6 0.6 0.5 -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 0.0 -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 -0.0 0.2 0.1 0.2 0.6 0.0 0.1 -0.0 0.1 0.0 0.1 0.2 0.1 0.2 0.2 0.3 0.1 0.2 0.3 0.5 FEEDCOW -0.5 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.1 0.2 -0.1 -0.1 -0.2 -0.4 -0.3 -0.4 -0.2 -0.1 -0.1 0.1 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -1.1 -0.5 -0.6 -0.6 -0.2 0.5 -0.0 0.7 0.3 GASOIL -0.6 -0.6 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.3 -0.1 -0.0 0.3 0.4 0.4 0.4 -0.0 0.1 -0.1 0.3 -0.2 1.1 -0.0 -0.0 0.1 -0.0 0.2 -0.0 0.0 -0.0 -0.0 0.0 0.3 -0.2 -0.0 -0.4 -0.2 GASOLINE -0.3 -0.6 -0.3 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.0 0.1 -0.1 0.2 -0.1 -0.1 0.0 0.4 0.3 0.4 -0.1 0.0 -0.1 0.2 -0.1 -2.7 -0.0 -0.0 0.0 -0.0 0.2 -0.1 0.6 0.3 0.3 -0.3 -0.6 0.7 0.3 0.7 0.2 GAS_US_mini -0.3 0.3 0.5 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.2 -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 0.4 0.6 -0.6 -0.4 0.2 -0.6 0.1 GBP 0.6 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 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.1 0.1 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.2 -0.0 0.1 0.0 -0.2 -0.3 0.1 -0.1 0.7 GOLD_micro 0.1 0.6 -0.2 -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 -0.2 -0.1 0.2 0.2 -0.4 -0.7 -0.3 -0.7 HEATOIL -0.6 -0.6 0.2 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.1 0.2 -0.1 0.2 -0.1 -0.0 0.4 0.4 0.4 0.4 -0.1 0.1 -0.1 0.3 -0.2 -2.6 -0.0 -0.0 0.1 -0.1 0.2 -0.1 0.1 -0.1 -0.1 -0.1 0.2 0.3 -0.1 0.1 -0.2 JGB-SGX-mini 0.5 0.0 -0.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.1 0.0 0.0 -0.0 0.4 0.4 0.3 0.3 -0.0 -0.0 0.1 -0.1 0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.0 0.0 1.1 0.4 -0.4 -0.1 -0.1 0.1 -0.7 0.5 0.5 JPY 0.4 0.3 -0.3 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.4 -0.0 -0.5 -0.1 -0.1 -0.4 -0.3 -0.4 -0.4 -0.1 -0.2 -0.0 -0.5 -0.1 2.7 -0.1 0.0 -0.2 -0.0 -0.2 -0.0 -1.1 -0.4 -0.6 -0.4 -0.5 -0.2 -0.7 -0.0 -0.7 LEANHOG 0.5 -0.1 0.0 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.1 0.0 0.1 -0.3 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 -0.2 0.3 -0.1 -0.0 -0.3 -0.1 0.3 0.6 LIVECOW -0.5 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 0.1 -0.1 0.3 -0.1 -0.1 -0.2 -0.1 -0.3 -0.2 -0.1 -0.0 -0.1 0.1 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -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 -0.5 0.3 -0.7 0.3 -0.0 -0.4 -0.3 -0.4 -0.4 0.1 -0.1 0.2 -0.5 0.3 NaN 0.0 0.1 -0.1 0.1 -0.2 0.1 -1.2 0.5 0.8 0.7 -0.1 -0.6 -0.8 -0.3 -0.7 MILK -0.3 -0.1 0.0 -0.0 0.0 -0.1 0.1 -0.2 0.0 -0.1 -0.3 -0.1 -0.5 -0.1 -0.1 -0.2 -0.4 -0.3 -0.4 -0.1 -0.1 -0.1 -0.5 -0.1 0.7 -0.0 -0.1 -0.2 -0.0 -0.3 -0.0 -1.1 -0.5 -0.6 -0.4 0.1 -0.7 -0.7 -0.7 -0.7 MXP 0.6 -0.2 -0.6 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 0.2 0.1 0.4 0.1 0.0 0.3 0.3 0.3 0.3 0.0 0.0 0.2 0.3 0.1 -2.7 0.0 0.1 0.0 0.1 0.2 0.0 1.1 -0.1 0.5 -0.1 0.2 0.3 0.4 0.6 0.7 NASDAQ_micro 0.6 -0.1 -0.5 -0.0 0.0 -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 0.1 0.1 0.2 0.2 0.2 -2.7 0.0 0.0 0.0 0.1 0.1 0.1 -0.3 0.3 0.2 0.3 0.2 0.2 -0.4 0.2 -0.5 NIKKEI 0.6 -0.1 -0.4 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.1 0.3 0.2 0.4 0.1 0.1 0.1 0.2 0.1 0.2 0.1 0.1 0.2 0.3 0.2 -1.2 0.0 0.1 0.1 0.1 0.2 0.1 1.1 -0.1 0.1 0.2 0.5 -0.2 0.1 -0.2 0.3 NZD 0.4 0.3 -0.1 -0.0 0.1 -0.0 0.1 0.0 0.0 0.0 -0.2 0.1 -0.1 0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.1 0.0 0.1 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.2 -0.2 0.0 0.1 -0.0 0.0 -0.5 0.2 0.3 OAT 0.6 0.3 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 -0.0 0.1 0.2 0.1 0.1 0.0 -0.0 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 -0.4 -0.6 -0.6 -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 0.6 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.2 0.5 0.2 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 0.1 0.4 0.1 1.1 0.5 0.6 0.6 0.6 0.2 0.3 0.6 0.7 PALLAD -0.2 -0.3 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.3 -0.0 -0.4 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.2 -0.1 -0.5 -0.1 0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.5 -0.6 -0.6 -0.3 -0.2 -0.3 0.2 -0.1 PLAT 0.1 0.1 -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 -0.1 -0.5 0.3 -0.4 REDWHEAT -0.1 -0.5 -0.6 -0.0 0.0 -0.1 0.1 -0.2 0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.2 -0.5 -0.2 -2.5 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.5 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.4 RICE 0.3 0.1 0.2 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.2 0.3 0.2 0.3 0.2 0.1 -0.4 0.1 -0.3 -0.1 0.1 0.1 0.2 0.2 0.2 -2.7 0.0 0.2 0.1 0.2 0.1 0.1 0.3 0.5 0.6 0.6 0.6 -0.1 -0.6 0.5 -0.2 ROBUSTA 0.2 -0.2 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.3 0.1 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 0.2 0.3 0.1 -2.2 0.0 0.0 0.1 0.1 0.2 0.1 1.1 0.5 0.5 0.4 0.4 -0.2 -0.4 0.4 0.0 RUSSELL 0.6 -0.1 -0.5 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.2 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.5 -0.5 -0.7 -0.7 SHATZ 0.3 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 -0.0 -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 -0.2 -0.3 0.2 0.3 -0.5 -0.7 -0.3 -0.7 SILVER-mini 0.2 0.1 -0.2 -0.0 0.1 -0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 0.1 0.9 0.0 0.1 -0.0 0.1 0.0 0.0 -0.1 0.3 -0.0 0.0 0.1 -0.5 -0.7 -0.1 -0.7 SMI 0.4 -0.3 -0.5 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.1 -0.2 0.1 -0.0 -0.0 -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 -0.4 -0.5 -0.5 0.1 -0.3 -0.3 -0.2 -0.2 SOFR 0.6 0.4 -0.2 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -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 0.0 -0.1 0.1 -0.2 0.0 -0.1 0.2 0.1 0.2 0.1 -0.0 0.4 0.4 0.3 0.3 0.1 0.0 0.1 0.0 0.1 -2.7 0.0 -0.0 0.1 0.0 0.0 0.1 1.1 -0.2 0.5 0.5 0.2 -0.7 -0.4 -0.7 -0.2 SOYMEAL 0.6 0.6 0.1 -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 0.4 0.3 0.3 0.1 0.1 0.1 0.1 0.2 -2.7 0.0 -0.0 0.1 0.0 0.1 0.0 1.1 0.1 0.6 0.6 0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.1 -0.6 -0.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.0 -0.1 -0.1 -0.1 0.1 0.2 0.2 0.2 -0.1 -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 -0.4 -0.6 -0.4 -0.2 0.1 0.3 0.6 SP400 0.6 -0.1 -0.6 -0.0 0.0 -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 -0.0 -0.1 0.1 -0.1 0.1 -1.1 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 -0.1 -0.1 -0.2 -0.1 -0.3 -0.5 -0.5 -0.7 SP500_micro 0.6 -0.1 -0.6 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 0.0 0.2 0.2 0.1 -0.0 -0.2 -0.2 -0.2 -0.2 0.0 -0.0 0.2 0.1 0.2 -2.2 0.0 0.1 0.0 0.1 0.1 0.0 -0.4 0.2 0.2 0.1 0.1 -0.0 -0.4 0.0 -0.5 SUGAR11 -0.2 -0.1 0.1 -0.0 0.0 -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 0.0 -2.7 0.1 -0.0 0.3 -0.0 0.6 0.0 1.1 -0.5 -0.1 0.2 0.6 -0.5 -0.6 0.3 0.1 US10 0.6 0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.2 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -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 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.0 -0.0 -0.0 -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 0.1 0.0 -0.1 -0.2 -0.2 -0.7 -0.7 0.1 0.5 US2 0.6 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 -0.2 0.1 0.1 -0.6 -0.7 -0.3 -0.7 US20 0.6 0.4 -0.2 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 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 0.0 0.0 -0.0 -0.2 -0.2 -0.4 -0.7 0.4 0.7 US30 0.6 0.3 -0.1 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.2 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.2 0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.3 0.0 -0.1 -0.2 -0.2 -0.2 -0.7 0.7 0.7 US5 0.6 0.6 0.1 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.2 0.0 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.1 0.1 -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 -1.0 0.4 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 -0.2 -0.2 -0.2 -0.7 -0.3 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 0.0 -0.0 -0.6 -0.0 0.0 -0.1 0.1 -0.2 0.0 -0.2 -0.5 -0.2 -0.7 -0.1 -0.2 -0.3 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.5 -0.1 -0.7 -0.1 -0.1 -0.2 -0.1 -0.4 -0.1 -1.0 -0.5 -0.6 -0.1 -0.6 -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 16.5 8.5 -4.0 -0.1 8.1 -0.7 6.8 0.2 3.3 9.7 -10.0 8.0 -9.6 5.6 -7.3 -2.8 -3.0 -3.1 -3.1 -0.8 -5.8 8.5 -7.8 5.0 3.0 -0.2 6.1 -3.0 5.6 -3.9 3.4 -1.2 -10.8 2.0 1.7 -3.2 -8.8 -20.0 -2.1 5.5 BITCOIN 15.6 20.0 3.3 -1.8 11.7 -2.9 5.4 -1.2 1.2 -0.3 16.9 16.9 14.2 20.0 19.5 -9.0 -5.3 -7.6 -6.6 20.0 18.5 18.1 8.5 20.0 -20.0 7.5 0.9 4.3 4.5 2.0 8.0 -0.5 20.0 20.0 20.0 20.0 -3.8 20.0 -0.8 20.0 BOBL 17.0 9.8 5.6 -0.5 2.5 -2.2 2.9 -2.7 1.8 5.4 -4.5 7.0 -7.8 6.9 1.6 11.6 -2.5 4.8 -1.2 1.4 -3.1 6.0 -8.3 5.0 9.1 0.7 3.2 -1.3 3.3 -3.2 2.6 -1.7 -4.9 -4.3 6.0 7.7 -18.0 -20.0 -13.3 -18.9 BTP 20.0 6.2 -7.1 -0.7 3.4 -3.0 4.0 -3.8 2.6 9.7 -3.3 11.8 -0.7 9.8 0.0 8.0 7.7 7.2 6.9 3.3 -3.1 17.1 -5.3 13.4 -7.1 1.1 4.8 -0.9 5.7 -1.3 4.5 15.2 6.5 7.3 6.5 5.8 -13.3 -20.0 0.4 6.7 BUND 20.0 8.0 0.6 -0.5 2.5 -2.2 3.0 -2.8 1.9 6.6 -5.2 8.0 -8.4 6.8 -0.6 -3.3 4.5 -1.4 1.1 0.8 -4.3 7.9 -9.1 6.2 6.0 0.4 3.2 -1.6 3.7 -2.9 2.9 7.7 -1.1 -2.6 4.1 4.9 -20.0 -20.0 -20.0 -4.2 BUXL 20.0 7.0 -2.1 -0.5 2.7 -2.3 3.1 -2.9 2.0 8.4 -6.7 8.4 -9.2 6.0 -3.4 0.5 0.8 0.5 0.8 -1.4 -7.5 9.4 -11.9 6.2 1.3 -0.4 3.1 -2.4 3.7 -3.3 2.5 4.3 4.7 -2.9 0.6 -1.0 -17.8 -20.0 -12.7 15.4 CAC 20.0 -6.1 -18.1 -0.8 8.5 -2.5 9.0 -1.0 4.8 17.2 -6.9 18.4 13.0 6.7 -8.2 -5.8 -2.8 -5.7 -4.8 -4.3 -7.3 20.0 2.6 11.0 -5.8 -1.5 9.9 -2.8 9.6 0.4 4.6 3.6 -6.0 -2.0 -5.6 5.8 7.2 4.2 13.2 9.9 CAD 5.9 -5.2 -10.3 -0.1 12.5 -1.1 10.5 0.4 5.1 4.9 -14.4 5.0 -14.5 -9.2 -15.6 -2.5 -2.2 -2.5 -2.4 -11.2 -12.0 3.2 -10.2 -4.2 2.3 -5.5 2.8 -5.8 1.9 -4.4 -1.9 0.0 -20.0 -20.0 -18.7 -14.4 -18.0 -20.0 -10.4 -18.4 CANOLA 14.5 -17.9 -13.7 -1.3 2.1 -2.7 3.2 -3.1 1.3 -3.3 -2.5 3.1 -4.0 -2.9 -8.5 -13.4 2.7 -11.5 -5.0 -10.1 -9.1 1.2 -6.4 -3.7 -20.0 -3.2 -2.2 -2.8 -1.1 -2.4 -1.9 -0.1 -2.7 -12.7 -17.2 -14.9 -10.8 -5.3 4.5 6.6 CHF 8.5 6.1 -18.6 -0.1 11.0 -0.9 9.3 0.3 4.5 15.4 -8.4 13.1 4.5 10.3 -7.3 -15.9 -14.9 -16.5 -15.8 -2.8 -5.8 16.5 -1.4 7.1 -7.8 -1.5 9.0 -2.7 7.1 -0.9 2.9 -20.0 10.0 -12.2 -0.7 -10.2 -20.0 -20.0 -20.0 -20.0 COCOA 20.0 17.4 5.7 -2.9 4.6 -5.9 7.0 -6.8 2.9 19.2 20.0 20.0 20.0 20.0 20.0 -4.8 -2.9 -4.3 -3.6 20.0 20.0 20.0 20.0 20.0 -20.0 8.6 7.8 8.3 8.3 8.9 9.3 -4.5 20.0 20.0 20.0 20.0 9.7 -3.8 20.0 9.5 COFFEE 13.3 20.0 8.8 -2.3 3.6 -4.6 5.5 -5.3 2.3 -11.1 -8.5 9.9 -12.2 15.2 12.7 6.7 2.1 2.6 1.7 12.7 1.2 7.3 -7.3 16.6 -20.0 4.8 -3.2 1.6 2.5 -0.5 5.8 4.1 -4.5 17.9 20.0 15.2 -20.0 -20.0 -20.0 -12.3 COPPER 16.7 -0.3 -7.8 -1.5 9.9 -2.4 4.6 -1.0 1.0 17.1 -15.7 15.9 -6.8 6.4 -12.7 -9.7 -4.5 -8.1 -6.4 -3.8 -10.6 13.8 -11.2 6.4 -6.4 -0.7 11.5 -4.1 8.5 -4.5 4.4 0.5 15.8 15.6 1.1 2.2 -1.2 -20.0 6.2 -19.1 CORN 2.2 6.9 -14.2 -2.5 3.9 -5.0 5.9 -5.8 2.5 -0.9 -19.7 -2.9 -19.1 -3.6 -16.5 -6.5 0.6 -6.1 -4.2 -6.2 -15.9 -1.1 -20.0 -1.5 -19.7 -1.7 -2.7 -4.6 -0.4 -8.0 -0.6 -2.2 -15.5 -13.7 9.2 -3.4 -7.1 -3.3 3.6 4.4 COTTON2 -18.1 -20.0 -2.8 -2.0 3.2 -4.1 4.8 -4.7 2.0 12.4 -1.9 -5.2 -8.9 -11.5 -10.4 -8.6 1.5 -5.9 -2.5 -16.5 -7.4 -6.8 -3.6 -18.1 -20.0 -4.6 1.5 -1.8 -2.1 0.0 -5.3 0.1 -16.0 -20.0 -20.0 -0.4 -19.5 -13.0 -1.0 5.2 CRUDE_W -17.9 -12.5 9.0 -2.1 -4.7 2.0 -5.4 3.3 -5.2 -5.5 10.3 -10.0 7.6 -10.3 1.4 7.5 11.0 11.5 11.5 -0.2 9.3 -11.2 11.0 -9.6 -4.9 -0.4 -3.7 4.6 -5.3 6.4 -4.7 -20.0 3.9 7.4 9.9 3.7 19.6 10.6 20.0 10.3 DAX 20.0 -2.9 -20.0 -0.7 7.7 -2.3 8.2 -0.9 4.3 17.2 -9.5 17.9 9.7 7.7 -8.5 -9.5 -8.2 -9.6 -9.2 -2.8 -9.0 20.0 -1.6 17.5 16.8 -0.8 13.0 -2.9 11.5 -1.1 5.6 -4.7 20.0 7.1 -2.4 -0.8 7.2 3.1 14.4 11.5 DOW 20.0 0.1 -14.8 -0.5 6.0 -1.8 6.3 -0.7 3.4 12.8 -1.8 14.5 6.6 9.5 -1.6 -9.6 -9.0 -10.5 -10.3 2.2 -2.8 20.0 -0.8 15.7 -9.0 0.2 6.3 -0.8 7.3 0.4 4.3 -6.5 4.0 2.8 -0.8 4.3 -17.6 -6.8 -20.0 -7.9 DX -20.0 -10.2 15.5 -0.1 9.1 -0.8 7.7 0.3 3.7 -11.9 10.9 -11.3 -2.5 -7.6 8.4 6.7 6.0 7.0 6.6 1.5 7.6 -17.3 6.9 -9.6 -20.0 0.5 -7.8 3.2 -7.5 3.3 -4.3 14.8 -20.0 -20.0 1.8 20.0 9.1 7.5 13.0 20.0 EUR 20.0 9.0 -13.4 -0.1 8.8 -0.8 7.4 0.3 3.6 11.7 -8.3 12.0 3.2 10.2 -4.5 -5.9 -6.8 -6.4 -6.5 1.2 -4.3 16.9 -4.0 10.9 10.3 0.6 7.9 -1.9 7.8 -1.7 5.0 -7.4 9.3 9.9 5.5 -5.0 -14.6 -16.6 -12.2 -5.4 EURIBOR-ICE 20.0 19.6 14.4 -0.5 2.3 -2.0 2.6 -2.5 1.7 5.4 -0.2 7.4 -5.9 7.5 6.5 -3.5 -7.0 -5.3 -6.7 7.5 2.0 9.1 -5.1 10.4 17.0 2.2 2.2 0.7 2.8 -1.2 3.1 -9.5 -2.6 6.2 14.3 14.9 -20.0 -20.0 4.6 20.0 EUROSTX 20.0 0.1 -15.1 -0.7 8.0 -2.4 8.5 -0.9 4.5 17.1 -6.2 18.5 12.0 11.5 -6.6 -5.6 -2.7 -5.5 -4.7 1.6 -4.0 20.0 3.1 18.0 4.2 1.0 11.4 -1.5 11.7 0.5 7.2 3.9 5.7 7.2 7.6 8.9 4.0 5.6 8.2 14.4 FEEDCOW -16.3 -20.0 -20.0 -1.4 2.2 -2.9 3.4 -3.3 1.4 -4.3 -2.1 -7.6 5.7 -10.7 -9.9 -11.9 -20.0 -12.7 -20.0 -18.3 -5.9 -13.8 5.1 -20.0 -1.6 -3.3 -1.0 -0.6 -2.6 1.9 -4.0 -20.0 -20.0 -20.0 -20.0 -4.9 14.4 -0.8 20.0 8.1 GASOIL -20.0 -20.0 10.2 -1.8 -4.0 1.7 -4.5 2.8 -4.4 -9.2 9.2 -11.8 7.3 -11.9 -0.4 14.7 20.0 20.0 20.0 -3.9 8.6 -13.9 12.8 -14.0 8.4 -0.9 -3.6 3.6 -4.6 4.6 -4.5 0.0 -1.4 -0.9 1.4 10.3 -7.4 -0.2 -12.0 -5.5 GASOLINE -7.8 -20.0 -10.2 -2.1 -4.6 1.9 -5.3 3.3 -5.1 -3.7 5.1 -9.5 5.7 -13.3 -10.8 0.4 20.0 17.5 20.0 -8.2 0.6 -9.6 8.4 -11.2 -20.0 -3.7 -3.2 0.4 -4.0 4.6 -4.7 12.0 10.5 8.4 -8.2 -18.8 20.0 10.3 20.0 6.3 GAS_US_mini -10.8 8.5 16.6 -2.2 -5.0 2.1 -5.7 3.5 -5.5 -16.9 -14.8 -17.4 -20.0 -15.9 -15.1 -20.0 -20.0 -20.0 -20.0 -11.0 -11.6 -20.0 -20.0 -17.6 20.0 -3.8 -10.9 -1.8 -10.4 -2.2 -7.6 -20.0 -20.0 12.5 20.0 -20.0 -11.1 6.5 -16.7 2.5 GBP 19.3 3.4 -17.3 -0.1 8.4 -0.7 7.1 0.2 3.4 6.8 -7.4 7.8 5.1 5.4 -7.1 -0.7 -0.8 -0.6 -0.6 -1.5 -4.1 10.6 -1.9 6.0 0.6 -0.7 5.2 -2.1 5.6 -1.5 3.3 2.9 -2.0 4.2 0.6 -6.4 -9.0 4.4 -3.7 20.0 GOLD_micro 3.9 20.0 -5.3 -1.3 8.2 -2.0 3.8 -0.9 0.8 10.4 -3.3 -1.8 2.9 9.6 8.2 -15.2 -14.8 -16.4 -16.1 5.8 0.2 4.0 -0.8 6.2 -6.9 1.6 3.2 0.2 1.2 0.2 1.8 -17.0 -7.4 -4.0 7.2 5.2 -11.5 -20.0 -10.3 -20.0 HEATOIL -20.0 -20.0 5.6 -2.0 -4.5 1.9 -5.1 3.1 -4.9 -9.8 8.6 -12.0 6.7 -12.4 -3.1 18.5 20.0 20.0 20.0 -5.5 7.0 -14.7 11.7 -15.1 -19.8 -2.1 -3.7 3.0 -5.1 5.6 -5.4 2.1 -3.9 -3.3 -1.7 5.1 9.1 -2.0 3.5 -7.0 JGB-SGX-mini 15.4 1.1 -16.0 -0.4 2.2 -2.0 2.6 -2.5 1.7 7.4 -4.2 6.5 1.2 2.9 -3.6 17.9 19.5 16.8 16.8 -2.6 -4.2 11.2 -1.9 3.7 -1.7 -1.4 5.2 -2.0 3.8 -1.4 1.0 20.0 14.9 -11.8 -3.1 -3.4 3.0 -19.9 15.1 16.0 JPY 12.4 9.1 -10.6 -0.1 8.0 -0.7 6.7 0.2 3.2 6.1 -13.5 -4.0 -13.2 -8.7 -12.6 -18.1 -16.0 -18.6 -17.6 -12.4 -18.1 -1.1 -20.0 -6.6 20.0 -5.0 2.2 -6.4 -0.6 -6.8 -2.9 -20.0 -17.1 -20.0 -13.8 -16.1 -6.2 -20.0 -1.2 -20.0 LEANHOG 16.0 -4.2 0.8 -1.8 2.8 -3.6 4.3 -4.2 1.8 -7.1 0.2 9.0 -7.1 0.2 -4.4 -20.0 18.3 8.9 20.0 -2.8 -7.2 3.6 -11.9 2.5 15.2 -1.1 -0.0 -5.1 2.1 -9.3 1.8 20.0 -7.1 9.7 -3.7 -1.3 -9.2 -4.1 9.7 16.9 LIVECOW -16.2 -20.0 -20.0 -1.5 2.3 -3.0 3.5 -3.4 1.5 -5.8 1.9 -8.9 7.4 -10.3 -8.7 -7.8 -4.9 -13.7 -8.9 -12.4 -2.4 -12.9 5.5 -16.8 0.1 -3.2 -1.3 -0.1 -3.2 2.5 -4.4 -8.8 -20.0 -20.0 -20.0 -3.3 -5.4 -17.6 0.1 -8.8 LUMBER-new 20.0 8.7 -5.8 -3.1 4.9 -6.0 7.4 -5.9 3.1 20.0 -17.4 20.0 -20.0 20.0 -2.1 -15.5 -14.8 -16.1 -15.4 5.1 -10.1 20.0 -15.5 20.0 NaN 3.2 6.9 -2.2 10.5 -3.7 9.5 -20.0 16.8 20.0 20.0 -2.9 -14.8 -20.0 -8.2 -17.7 MILK -8.7 -1.7 0.3 -2.0 3.1 -3.9 4.7 -4.6 2.0 -10.3 -9.5 -11.8 -13.1 -12.7 -10.3 -12.1 -20.0 -16.3 -20.0 -11.2 -13.8 -10.7 -20.0 -11.0 5.1 -4.4 -8.5 -6.1 -4.6 -9.3 -4.2 -20.0 -20.0 -20.0 -11.4 4.5 -20.0 -20.0 -20.0 -20.0 MXP 20.0 -6.1 -20.0 -0.1 8.7 -0.7 7.4 0.3 3.5 12.6 5.9 13.1 11.1 8.4 0.2 12.8 16.2 13.8 14.9 4.0 3.4 17.7 11.0 12.6 -20.0 1.5 5.8 1.4 6.4 4.3 4.6 20.0 -2.4 15.7 -1.5 5.1 9.3 12.6 17.0 20.0 NASDAQ_micro 20.0 -2.0 -15.7 -0.5 5.2 -1.5 5.5 -0.6 2.9 11.4 6.3 12.4 8.4 9.9 2.1 -9.3 -8.7 -9.7 -9.6 6.6 5.4 20.0 9.0 17.1 -20.0 1.7 5.4 1.7 6.8 3.6 4.7 -5.6 11.5 6.0 10.4 7.6 5.0 -11.8 4.5 -14.4 NIKKEI 20.0 -3.9 -12.2 -0.6 6.5 -1.9 6.9 -0.7 3.6 13.8 11.3 15.4 12.2 11.9 7.0 3.6 9.8 5.7 8.1 8.4 7.8 20.0 12.6 17.4 -9.2 2.5 6.8 2.9 8.0 5.3 5.8 20.0 -2.9 3.2 4.7 16.5 -5.6 1.6 -4.5 9.4 NZD 13.9 8.0 -3.6 -0.1 7.1 -0.6 6.0 0.2 2.9 4.9 -8.5 6.5 -2.6 2.4 -5.7 -0.3 0.2 -0.2 0.0 -1.0 -4.3 6.6 -5.4 3.6 0.8 -0.1 4.0 -2.0 4.7 -2.5 2.8 4.2 -7.4 0.1 3.7 -0.7 0.5 -14.8 6.3 8.3 OAT 20.0 7.7 0.2 -0.5 2.7 -2.4 3.2 -3.0 2.0 7.5 -5.0 8.8 -8.6 7.2 -0.5 5.3 7.6 5.8 6.3 1.5 -4.1 10.5 -8.5 8.1 8.3 0.7 3.7 -1.3 4.4 -2.6 3.4 14.8 2.1 0.1 4.9 5.6 -20.0 -20.0 -8.0 11.0 OATIES -12.8 -20.0 -18.6 -1.2 1.9 -2.5 3.0 -2.9 1.2 -4.4 -3.2 -6.9 -3.0 -8.7 -9.4 -18.9 -9.7 -18.7 -16.2 -18.5 -8.9 -13.6 -0.7 -19.2 -20.0 -3.2 -1.7 -1.5 -2.5 -0.2 -3.4 -20.0 -20.0 -20.0 -20.0 -10.6 9.0 11.0 20.0 20.0 OJ -20.0 -8.1 17.3 -2.4 3.7 -4.8 5.7 -5.5 2.4 18.0 19.4 14.4 20.0 13.8 17.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.0 9.6 8.9 6.8 10.1 5.3 20.0 20.0 20.0 20.0 20.0 5.1 9.2 19.1 20.0 PALLAD -5.6 -9.1 -0.7 -0.8 5.1 -1.3 2.4 -0.5 0.5 1.2 -10.8 -2.8 -11.4 -7.7 -9.1 -1.9 -2.6 -2.5 -2.6 -14.3 -15.4 -6.6 -19.7 -13.3 3.8 -3.6 0.8 -3.1 -2.3 -2.8 -3.8 5.1 -20.0 -20.0 -20.0 -9.1 -6.2 -8.7 7.1 -3.4 PLAT 3.6 2.8 -3.9 -0.8 5.4 -1.3 2.5 -0.6 0.5 5.1 -9.4 -0.3 -5.4 -1.5 -5.5 -3.3 -2.8 -3.5 -3.3 -4.3 -6.0 -0.0 -5.5 -2.9 11.7 -1.3 2.8 -1.4 -0.3 -1.1 -1.4 4.4 -14.0 -5.3 -3.6 3.4 -1.5 -15.5 9.9 -11.3 REDWHEAT -2.0 -14.7 -20.0 -2.5 4.0 -5.1 6.1 -5.9 2.6 -18.5 -20.0 -17.7 -20.0 -19.7 -20.0 -7.0 -1.0 -5.7 -3.5 -20.0 -20.0 -20.0 -20.0 -20.0 -19.0 -7.9 -8.4 -7.7 -6.3 -5.6 -6.5 -2.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -13.1 RICE 9.6 1.9 5.7 -2.7 4.2 -5.4 6.4 -6.3 2.7 20.0 12.5 20.0 7.7 15.7 7.8 -17.8 4.6 -15.1 -3.4 13.2 8.6 20.0 6.4 20.0 -20.0 4.3 20.0 2.2 16.8 1.4 9.7 5.1 20.0 20.0 20.0 20.0 -3.7 -19.4 13.5 -6.8 ROBUSTA 5.7 -4.7 -10.5 -1.7 2.6 -3.4 4.0 -3.9 1.7 9.3 9.3 10.1 10.9 8.6 5.3 20.0 20.0 20.0 20.0 7.2 7.0 17.1 11.2 12.5 -16.8 3.1 5.3 2.9 6.4 4.3 5.1 20.0 20.0 13.9 11.9 11.0 -5.6 -12.0 12.3 0.5 RUSSELL 20.0 -2.2 -15.7 -0.4 4.3 -1.3 4.6 -0.5 2.4 8.1 -6.9 7.7 -5.9 2.8 -6.5 -6.0 -6.3 -6.9 -6.9 -4.6 -6.6 11.0 -4.9 3.5 -1.7 -1.4 4.4 -1.9 4.1 -1.0 1.4 -1.2 -4.5 -3.5 -6.9 -5.2 -15.3 -13.7 -20.0 -20.0 SHATZ 9.5 10.9 6.1 -0.5 2.4 -2.1 2.8 -2.7 1.8 4.4 -6.9 3.0 -8.5 2.9 -2.2 -20.0 -15.4 -20.0 -20.0 -1.3 -5.8 1.7 -12.5 1.0 10.4 -0.5 2.0 -2.4 1.0 -5.0 0.5 -20.0 -10.3 -10.3 5.9 7.7 -14.0 -20.0 -7.7 -20.0 SILVER-mini 7.7 4.0 -7.2 -1.1 7.3 -1.8 3.4 -0.8 0.7 13.7 -5.2 9.9 1.6 8.9 -1.8 -6.6 -6.5 -7.2 -7.0 -0.7 -3.9 13.2 -2.6 5.5 6.8 0.5 10.7 -0.2 6.8 0.2 2.9 -2.0 14.2 -1.0 0.3 4.1 -16.3 -20.0 -3.0 -20.0 SMI 10.9 -10.7 -13.9 -0.6 6.6 -1.9 7.0 -0.7 3.7 12.5 -8.7 11.8 -0.3 -4.0 -9.5 5.0 2.3 3.6 2.2 -10.5 -11.3 9.0 -6.5 -0.9 5.9 -3.3 4.2 -3.4 3.3 -2.5 -0.2 13.7 -14.7 -16.7 -13.9 4.6 -8.8 -10.1 -4.5 -5.7 SOFR 20.0 12.6 -5.4 -0.4 2.1 -1.8 2.4 -2.3 1.5 5.3 -5.0 6.3 -4.9 5.0 -1.6 0.5 -0.7 -0.2 -0.6 -0.6 -4.3 6.7 -5.1 4.3 -1.3 -0.4 2.7 -1.9 2.8 -2.2 1.7 1.5 -0.2 0.0 0.3 0.7 -20.0 -20.0 -5.6 -8.8 SOYBEAN 14.6 1.1 2.1 -2.4 3.8 -4.9 5.8 -5.6 2.4 -8.6 8.6 8.4 5.6 11.1 -3.7 19.0 18.1 15.9 15.4 6.2 3.4 6.4 1.6 10.3 -20.0 4.2 -4.1 2.3 4.1 1.4 6.3 20.0 -9.5 15.6 15.9 6.8 -20.0 -10.6 -20.0 -5.2 SOYMEAL 18.7 20.0 3.7 -1.4 2.2 -2.9 3.4 -3.3 1.4 -3.6 3.4 7.0 3.3 10.2 8.7 19.9 17.8 16.2 16.4 11.9 5.7 9.0 3.2 14.9 -20.0 3.6 -0.6 2.2 2.7 1.8 4.3 20.0 4.0 20.0 20.0 14.4 -20.0 -20.0 -20.0 -20.0 SOYOIL 3.4 -20.0 -16.5 -1.3 2.1 -2.7 3.2 -3.1 1.3 2.4 -2.0 1.4 -3.1 -7.8 -9.5 4.4 10.7 8.4 9.7 -13.5 -9.7 0.9 -4.2 -7.6 -20.0 -3.2 0.3 -2.4 0.2 -1.1 -1.7 18.2 5.4 -11.6 -20.0 -13.5 -6.8 2.8 9.1 16.7 SP400 20.0 -4.3 -19.5 -0.4 4.6 -1.4 4.9 -0.5 2.6 8.7 -6.0 8.7 -1.6 4.2 -5.6 -4.9 -5.1 -5.3 -5.3 -4.1 -6.2 13.5 -3.6 5.1 -8.2 -1.2 4.9 -1.7 4.8 -0.7 1.9 1.2 -2.8 -4.2 -5.4 -3.5 -9.1 -13.9 -14.9 -20.0 SP500_micro 20.0 -3.3 -19.2 -0.5 5.9 -1.7 6.3 -0.7 3.3 13.1 1.2 14.3 6.5 9.5 -1.2 -10.0 -9.9 -10.8 -10.8 2.9 -0.3 20.0 3.1 16.6 -16.5 0.6 6.4 0.1 7.4 1.6 4.5 -7.7 9.5 4.8 2.9 2.3 -0.4 -11.1 0.7 -15.5 SUGAR11 -6.0 -2.0 2.3 -2.4 3.7 -4.8 5.7 -5.5 2.4 -15.2 18.6 -3.9 18.9 9.1 16.7 20.0 19.1 20.0 20.0 12.5 20.0 -3.2 20.0 3.8 -20.0 5.4 -3.0 10.0 -2.0 16.3 1.5 20.0 -20.0 -4.3 7.3 20.0 -15.3 -17.0 9.6 4.3 US10 20.0 15.4 -1.4 -0.4 2.0 -1.7 2.3 -2.2 1.5 5.4 -5.9 5.9 -6.5 3.5 -3.1 -4.9 -6.9 -6.3 -7.2 -2.2 -6.3 6.0 -7.9 3.1 1.1 -1.0 2.2 -2.5 2.3 -2.8 1.1 -9.8 0.1 -2.2 -2.9 -2.5 -20.0 -20.0 -2.9 1.4 US10U 20.0 12.9 -4.0 -0.5 2.3 -2.0 2.7 -2.6 1.7 7.0 -7.0 7.2 -7.8 3.4 -4.2 -1.4 -0.6 -0.4 -0.7 -3.3 -8.2 7.1 -9.7 3.5 -1.7 -1.4 2.5 -3.1 2.5 -3.3 1.1 1.4 0.9 -3.2 -5.1 -5.1 -20.0 -20.0 4.2 15.3 US2 17.5 20.0 16.3 -0.4 2.1 -1.9 2.5 -2.3 1.6 3.4 -7.2 4.0 -7.6 3.4 -3.0 -20.0 -20.0 -20.0 -20.0 -1.8 -6.9 3.4 -11.4 1.9 7.7 -0.4 2.0 -2.8 2.3 -5.0 1.5 -20.0 -5.5 -6.5 3.8 4.0 -17.8 -20.0 -7.6 -20.0 US20 20.0 11.2 -6.3 -0.4 1.9 -1.6 2.2 -2.1 1.4 5.7 -5.4 5.9 -5.9 2.3 -3.4 -0.1 -1.5 -0.9 -1.5 -3.0 -7.2 6.2 -8.1 3.2 -1.7 -1.2 1.6 -2.4 1.8 -2.5 0.8 0.0 1.9 -1.2 -6.1 -7.0 -11.5 -20.0 13.0 20.0 US30 20.0 8.7 -3.9 -0.4 1.9 -1.7 2.2 -2.1 1.4 5.7 -5.8 5.8 -6.3 1.7 -3.9 -3.7 -4.0 -4.7 -4.8 -3.3 -7.2 5.6 -8.4 2.5 -1.3 -1.3 1.7 -2.6 1.8 -2.7 0.7 -4.9 1.6 -3.4 -6.1 -6.4 -6.9 -20.0 20.0 20.0 US5 20.0 17.3 2.6 -0.4 2.1 -1.8 2.4 -2.3 1.5 4.9 -6.3 5.7 -6.9 4.1 -2.8 -9.1 -10.4 -10.8 -11.4 -1.6 -5.8 5.6 -8.2 3.2 3.0 -0.7 2.5 -2.5 2.7 -3.3 1.6 -16.4 -1.7 -2.6 0.5 0.7 -20.0 -20.0 -12.6 -17.9 VIX -20.0 7.0 14.7 -2.5 -3.7 -3.2 -5.1 -5.4 -4.2 -12.4 -12.5 -13.7 -13.5 -12.2 -8.6 -20.0 -20.0 -20.0 -20.0 -9.6 -10.9 -16.1 -16.9 -14.6 NaN -2.9 -4.3 -3.7 -5.8 -6.4 -4.9 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 0.5 -0.9 -20.0 -2.6 4.0 -5.2 6.2 -6.0 2.6 -19.4 -20.0 -17.1 -20.0 -10.1 -20.0 -13.3 -10.6 -12.4 -11.7 -17.6 -20.0 -18.4 -20.0 -12.8 -5.3 -6.7 -15.6 -8.6 -10.8 -9.7 -6.7 -18.4 -20.0 -20.0 -2.1 -18.9 -20.0 -20.0 -20.0 -16.0 End of report for caleb_strategy_v3