******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240415_204012 produced at 2024-04-15 21:37:51.416170 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 0.07 0.00 -1.21 0.0 0.00 0.00 0.00 0.00 -17.88 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.19 -0.33 0.0 0.42 -0.42 -0.19 -0.21 -12.28 16.0 -7 -8 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.25 0.0 0.00 0.00 0.00 0.00 -7.78 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.25 0.0 0.00 0.00 0.00 0.00 -4.41 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.08 -0.20 0.0 0.09 -0.09 -0.08 -0.09 -38.80 17.0 -16 -17 caleb_strategy_v3 CHF False False 0.04 -0.35 -0.18 0.0 0.51 -0.51 -0.35 -0.35 -4.52 13.0 -9 -9 caleb_strategy_v3 CAD False False 0.02 0.00 -0.15 0.0 0.60 -0.60 0.00 0.00 -7.20 29.0 0 0 caleb_strategy_v3 JPY False False 0.02 0.00 -0.15 0.0 0.39 -0.39 0.00 0.00 -6.47 17.0 0 0 caleb_strategy_v3 US5 False False 0.03 -0.42 -0.09 0.0 0.74 -0.74 -0.42 -0.42 -3.10 25.0 -14 -14 caleb_strategy_v3 EUR False False 0.04 0.00 -0.07 0.0 0.53 -0.53 0.00 -0.04 -1.87 14.0 0 -1 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.03 -0.06 0.0 0.00 -0.03 -0.03 -0.03 -46.90 26.0 -22 -22 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.06 0.0 0.28 -0.28 -0.04 -0.04 -1.61 8.0 -1 -1 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.06 0.0 0.08 -0.08 -0.07 -0.08 -8.92 12.0 -11 -12 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.06 0.0 0.35 -0.35 -0.01 -0.08 -10.58 66.0 -2 -15 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.05 0.0 0.01 -0.01 0.00 0.00 -11.03 3.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.13 -0.13 -0.02 -0.02 -18.24 51.0 -6 -6 caleb_strategy_v3 US10 False False 0.03 0.00 -0.05 0.0 0.52 -0.52 0.00 0.00 -1.63 17.0 0 0 caleb_strategy_v3 OATIES False True 0.00 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -8.32 2.0 0 0 caleb_strategy_v3 NZD False False 0.02 -0.03 -0.04 0.0 0.35 -0.35 -0.03 -0.03 -2.40 21.0 -2 -2 caleb_strategy_v3 GBP False False 0.02 0.00 -0.04 0.0 0.48 -0.48 0.00 0.00 -1.79 22.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.04 0.0 0.35 -0.35 0.00 -0.05 -1.93 19.0 0 -3 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.03 0.0 0.19 -0.19 -0.03 -0.01 -9.93 68.0 -10 -3 caleb_strategy_v3 US10U False False 0.03 -0.06 -0.03 0.0 0.41 -0.41 -0.06 -0.06 -0.89 13.0 -2 -2 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.05 -0.05 0.00 0.00 -2.89 5.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.64 -0.03 0.0 0.67 -0.67 -0.64 -0.64 -0.92 19.0 -18 -18 caleb_strategy_v3 RICE False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.32 4.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.01 -0.02 0.0 0.35 -0.35 0.01 -0.02 -2.71 48.0 1 -3 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.02 0.0 0.12 -0.12 -0.02 -0.03 -1.42 7.0 -1 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.02 0.0 0.23 -0.23 -0.01 -0.01 -2.12 23.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.22 9.0 0 0 caleb_strategy_v3 SP400 False False 0.08 0.08 -0.02 0.0 0.16 -0.16 0.08 0.00 -0.25 2.0 1 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.08 -0.08 -0.03 -0.03 -2.29 9.0 -4 -4 caleb_strategy_v3 COTTON2 False False 0.01 -0.04 -0.02 0.0 0.13 -0.13 -0.04 -0.04 -1.47 11.0 -3 -3 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -3.38 59.0 0 0 caleb_strategy_v3 US30 False False 0.03 0.00 -0.01 0.0 0.20 -0.20 0.00 0.00 -0.32 6.0 0 0 caleb_strategy_v3 US20 False True 0.03 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.31 9.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.11 -0.11 0.00 0.00 -2.13 18.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.04 -0.01 0.0 0.08 -0.08 -0.04 -0.04 -1.82 10.0 -5 -5 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.01 0.0 0.07 -0.07 -0.01 -0.01 -1.41 8.0 -1 -1 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.00 0.0 0.40 -0.40 -0.04 -0.04 -0.06 10.0 -1 -1 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.00 0.0 0.16 -0.16 0.00 0.00 -0.07 4.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.09 2.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.04 0.02 0.0 0.33 -0.33 0.04 0.04 0.79 17.0 2 2 caleb_strategy_v3 BTP False False 0.04 0.14 0.02 0.0 0.35 -0.35 0.14 0.18 0.54 10.0 4 5 caleb_strategy_v3 OJ False False 0.02 0.00 0.02 0.0 0.05 -0.05 0.00 0.00 1.22 3.0 0 0 caleb_strategy_v3 PLAT False False 0.01 0.01 0.02 0.0 0.14 -0.14 0.01 0.01 1.59 10.0 1 1 caleb_strategy_v3 COFFEE False False 0.02 0.02 0.02 0.0 0.15 -0.15 0.02 0.05 0.62 6.0 1 2 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.02 0.0 0.26 -0.26 0.01 0.01 2.04 23.0 1 1 caleb_strategy_v3 HEATOIL False False 0.03 0.10 0.03 0.0 0.10 -0.10 0.10 0.10 0.95 3.0 3 3 caleb_strategy_v3 OAT False False 0.04 0.00 0.03 0.0 0.38 -0.38 0.00 0.00 0.79 10.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.07 0.07 0.03 0.0 0.74 -0.74 0.07 0.22 0.46 10.0 1 3 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.04 0.0 0.15 -0.15 0.07 0.06 3.38 13.0 6 5 caleb_strategy_v3 COCOA False False 0.03 0.15 0.04 0.0 0.78 -0.78 0.15 0.15 1.20 26.0 5 5 caleb_strategy_v3 GOLD_micro False False 0.01 0.01 0.05 0.0 0.38 -0.38 0.01 0.01 6.91 56.0 1 1 caleb_strategy_v3 GASOIL False False 0.02 0.05 0.05 0.0 0.09 -0.09 0.05 0.07 2.36 4.0 2 3 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.05 0.0 0.00 -0.00 0.00 0.00 2.19 0.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.19 0.07 0.0 0.26 -0.26 0.19 0.10 10.12 36.0 26 14 caleb_strategy_v3 CAC True False 0.02 0.00 0.09 0.0 0.00 0.00 0.00 0.00 3.74 12.0 0 0 caleb_strategy_v3 EUROSTX False False 0.01 0.21 0.10 0.0 0.30 -0.30 0.21 0.21 6.71 20.0 14 14 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.10 0.0 0.13 -0.13 0.13 0.13 3.10 4.0 4 4 caleb_strategy_v3 SMI False True 0.03 0.31 0.11 0.0 0.31 0.00 0.31 0.31 3.22 9.0 9 9 caleb_strategy_v3 DAX False False 0.01 0.10 0.12 0.0 0.32 -0.32 0.10 0.10 21.79 58.0 18 18 caleb_strategy_v3 DX False False 0.03 0.00 0.15 0.0 999.00 -999.00 0.00 0.00 4.96 999999999.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.19 0.17 0.0 0.19 -0.19 0.19 0.19 5.35 6.0 6 6 caleb_strategy_v3 CRUDE_W False False 0.02 0.09 0.35 0.0 0.11 -0.11 0.09 0.11 15.45 5.0 4 5 caleb_strategy_v3 MXP False False 0.01 0.50 0.69 0.0 0.50 -0.50 0.50 0.49 82.87 60.0 60 59 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 19.6 Shocked risk 70.8 Sum abs risk 63.3 Leverage 6.17 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3533195.13, 'annual_cash_vol_target': 883298.7825, 'daily_cash_vol_target': 55206.17390625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0046 0.6452 0.7122 11.3952 BITCOIN 2153.8008 63600.0000 3.3865 54.1837 BOBL 0.2893 117.5800 0.2461 3.9373 BTP 0.6551 117.4300 0.5578 8.9254 BUND 0.5845 131.8800 0.4432 7.0912 BUXL 1.3721 132.1600 1.0382 16.6110 CAC 45.5705 7925.0000 0.5750 9.2004 CAD 0.0029 0.7257 0.4059 6.4941 CANOLA 7.4556 632.2000 1.1793 18.8691 CHF 0.0051 1.1032 0.4601 7.3617 COCOA 164.5387 10550.0000 1.5596 24.9537 COFFEE 3.1841 229.3500 1.3883 22.2129 COPPER 0.0415 4.3830 0.9467 15.1465 CORN 5.1099 468.7500 1.0901 17.4418 COTTON2 1.3160 85.2300 1.5441 24.7050 CRUDE_W 0.7739 80.4800 0.9616 15.3851 DAX 116.9809 18130.0000 0.6452 10.3237 DOW 258.0743 37975.0000 0.6796 10.8734 DX 0.3864 106.0250 0.3645 5.8314 EUR 0.0049 1.0650 0.4643 7.4287 EURIBOR-ICE 0.0543 97.5100 0.0557 0.8916 EUROSTX 33.5973 4898.0000 0.6859 10.9750 FEEDCOW 2.2128 249.8000 0.8858 14.1735 GASOIL 10.8572 819.7500 1.3245 21.1913 GASOLINE 0.0315 2.7275 1.1540 18.4639 GAS_US_mini 0.0763 1.9450 3.9224 62.7585 GBP 0.0064 1.2443 0.5169 8.2709 GOLD_micro 18.2311 2396.6000 0.7607 12.1713 HEATOIL 0.0358 2.6713 1.3391 21.4253 JGB-SGX-mini 0.2480 144.2300 0.1719 2.7507 JPY 0.0000 0.0065 0.5280 8.4482 LEANHOG 1.3366 103.7250 1.2886 20.6182 LIVECOW 1.4917 173.8750 0.8579 13.7267 LUMBER-new 6.5092 559.5000 1.1634 18.6143 MILK 0.2648 17.2200 1.5375 24.6004 MXP 0.0004 0.0592 0.6055 9.6877 NASDAQ_micro 159.8188 17866.0000 0.8945 14.3127 NIKKEI 371.7604 38725.0000 0.9600 15.3600 NZD 0.0040 0.5905 0.6766 10.8261 OAT 0.5730 126.6700 0.4523 7.2375 OATIES 5.2666 343.2500 1.5343 24.5491 OJ 5.7842 372.7500 1.5518 24.8280 PALLAD 26.7227 1040.5000 2.5683 41.0921 PLAT 15.4512 983.8000 1.5706 25.1290 REDWHEAT 9.5210 592.0000 1.6083 25.7324 RICE 0.2883 18.3500 1.5710 25.1354 ROBUSTA 47.1350 3971.0000 1.1870 18.9917 RUSSELL 24.2012 1986.7000 1.2182 19.4905 SHATZ 0.0898 105.5600 0.0851 1.3609 SILVER-mini 0.4427 29.1875 1.5167 24.2675 SMI 71.3819 11257.0000 0.6341 10.1458 SOFR 0.0728 95.9100 0.0759 1.2145 SOYBEAN 9.6088 1167.0000 0.8234 13.1740 SOYMEAL 4.0067 340.3000 1.1774 18.8383 SOYOIL 0.6729 46.1200 1.4591 23.3454 SP400 26.5143 2889.2000 0.9177 14.6833 SP500_micro 36.4080 5104.7500 0.7132 11.4115 SUGAR11 0.2971 19.8600 1.4958 23.9335 US10 0.4505 107.8594 0.4177 6.6826 US10U 0.5921 110.7188 0.5348 8.5568 US2 0.1238 101.5859 0.1219 1.9506 US20 0.8875 114.2188 0.7770 12.4321 US30 1.2777 120.4062 1.0611 16.9783 US5 0.2964 105.1250 0.2819 4.5111 VIX 0.4601 18.5500 2.4801 39.6810 WHEAT 7.7781 607.2500 1.2809 20.4939 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 645.20 0.71 459.51 1.00 459.51 55206.17 120.14 -6.18 -74.26 BITCOIN 63.60 3.39 215.38 1.00 215.38 55206.17 256.32 -1.22 -31.18 BOBL 1175.80 0.25 289.34 1.07 309.77 55206.17 178.22 -5.10 -90.89 BTP 1174.30 0.56 655.07 1.07 701.32 55206.17 78.72 2.00 15.75 BUND 1318.80 0.44 584.49 1.07 625.75 55206.17 88.22 -0.70 -6.19 BUXL 1321.60 1.04 1372.07 1.07 1468.93 55206.17 37.58 -1.85 -6.94 CAC 792.50 0.58 455.71 1.07 487.88 55206.17 113.16 9.68 109.54 CAD 725.70 0.41 294.55 1.00 294.55 55206.17 187.43 -14.81 -277.59 CANOLA 126.44 1.18 149.11 0.73 108.74 55206.17 507.70 -14.77 -749.73 CHF 1378.94 0.46 634.46 1.00 634.46 55206.17 87.01 -20.00 -174.03 COCOA 1055.00 1.56 1645.39 1.00 1645.39 55206.17 33.55 16.63 55.80 COFFEE 860.06 1.39 1194.03 1.00 1194.03 55206.17 46.24 11.43 52.86 COPPER 1095.75 0.95 1037.30 1.00 1037.30 55206.17 53.22 9.29 49.44 CORN 234.38 1.09 255.49 1.00 255.49 55206.17 216.08 -16.98 -366.85 COTTON2 426.15 1.54 658.00 1.00 658.00 55206.17 83.90 -8.19 -68.75 CRUDE_W 804.80 0.96 773.87 1.00 773.87 55206.17 71.34 20.00 142.68 DAX 181.30 0.65 116.98 1.07 125.24 55206.17 440.80 14.49 638.70 DOW 189.88 0.68 129.04 1.00 129.04 55206.17 427.83 -10.64 -455.14 DX 1060.25 0.36 386.42 1.00 386.42 55206.17 142.87 13.38 191.16 EUR 1331.31 0.46 618.12 1.00 618.12 55206.17 89.31 -8.07 -72.11 EURIBOR-ICE 2437.75 0.06 135.84 1.07 145.43 55206.17 379.60 0.36 13.61 EUROSTX 489.80 0.69 335.97 1.07 359.69 55206.17 153.48 12.81 196.65 FEEDCOW 1249.00 0.89 1106.42 1.00 1106.42 55206.17 49.90 -9.72 -48.52 GASOIL 819.75 1.32 1085.72 1.00 1085.72 55206.17 50.85 10.73 54.54 GASOLINE 1145.55 1.15 1321.96 1.00 1321.96 55206.17 41.76 17.13 71.54 GAS_US_mini 48.62 3.92 190.73 1.00 190.73 55206.17 289.45 -14.96 -433.14 GBP 777.69 0.52 402.01 1.00 402.01 55206.17 137.33 -5.03 -69.03 GOLD_micro 239.66 0.76 182.31 1.00 182.31 55206.17 302.81 6.69 202.46 HEATOIL 1121.95 1.34 1502.38 1.00 1502.38 55206.17 36.75 5.97 21.95 JGB-SGX-mini 144230.00 0.17 24795.88 0.01 161.77 55206.17 341.27 -3.32 -113.36 JPY 818.62 0.53 432.24 1.00 432.24 55206.17 127.72 -19.52 -249.35 LEANHOG 414.90 1.29 534.66 1.00 534.66 55206.17 103.26 5.39 55.64 LIVECOW 695.50 0.86 596.68 1.00 596.68 55206.17 92.52 2.59 23.98 LUMBER-new 153.86 1.16 179.00 1.00 179.00 55206.17 308.41 -16.72 -515.67 MILK 344.40 1.54 529.52 1.00 529.52 55206.17 104.26 -12.95 -134.97 MXP 295.90 0.61 179.16 1.00 179.16 55206.17 308.14 18.32 564.63 NASDAQ_micro 357.32 0.89 319.64 1.00 319.64 55206.17 172.71 -5.29 -91.42 NIKKEI 38725.00 0.96 37176.04 0.01 242.54 55206.17 227.62 4.11 93.47 NZD 590.50 0.68 399.55 1.00 399.55 55206.17 138.17 -6.69 -92.42 OAT 1266.70 0.45 572.98 1.07 613.43 55206.17 90.00 2.56 23.02 OATIES 171.62 1.53 263.33 1.00 263.33 55206.17 209.65 -16.31 -341.85 OJ 559.12 1.55 867.62 1.00 867.62 55206.17 63.63 8.98 57.16 PALLAD 1040.50 2.57 2672.27 1.00 2672.27 55206.17 20.66 -1.27 -2.62 PLAT 491.90 1.57 772.56 1.00 772.56 55206.17 71.46 6.51 46.55 REDWHEAT 296.00 1.61 476.05 1.00 476.05 55206.17 115.97 -9.18 -106.49 RICE 367.00 1.57 576.54 1.00 576.54 55206.17 95.75 -9.96 -95.41 ROBUSTA 397.10 1.19 471.35 1.00 471.35 55206.17 117.12 14.91 174.59 RUSSELL 99.34 1.22 121.01 1.00 121.01 55206.17 456.23 -6.57 -299.65 SHATZ 1055.60 0.09 89.79 1.07 96.12 55206.17 574.32 -13.37 -767.67 SILVER-mini 729.69 1.52 1106.73 1.00 1106.73 55206.17 49.88 12.86 64.14 SMI 1125.70 0.63 713.82 1.10 783.13 55206.17 70.49 13.38 94.34 SOFR 2397.75 0.08 182.01 1.00 182.01 55206.17 303.32 -9.70 -294.16 SOYBEAN 583.50 0.82 480.44 1.00 480.44 55206.17 114.91 -13.27 -152.47 SOYMEAL 340.30 1.18 400.67 1.00 400.67 55206.17 137.79 -17.30 -238.36 SOYOIL 276.72 1.46 403.76 1.00 403.76 55206.17 136.73 -14.33 -195.98 SP400 2889.20 0.92 2651.43 1.00 2651.43 55206.17 20.82 -3.62 -7.54 SP500_micro 255.24 0.71 182.04 1.00 182.04 55206.17 303.26 -3.85 -116.80 SUGAR11 222.43 1.50 332.72 1.00 332.72 55206.17 165.92 -6.03 -100.01 US10 1078.59 0.42 450.49 1.00 450.49 55206.17 122.55 -10.50 -128.65 US10U 1107.19 0.53 592.13 1.00 592.13 55206.17 93.23 -7.50 -69.90 US2 2031.72 0.12 247.69 1.00 247.69 55206.17 222.89 -15.60 -347.69 US20 1142.19 0.78 887.49 1.00 887.49 55206.17 62.20 -3.89 -24.19 US30 1204.06 1.06 1277.68 1.00 1277.68 55206.17 43.21 -5.82 -25.13 US5 1051.25 0.28 296.39 1.00 296.39 55206.17 186.26 -13.14 -244.81 VIX 185.50 2.48 460.05 1.00 460.05 55206.17 120.00 -13.10 -157.18 WHEAT 303.62 1.28 388.90 1.00 388.90 55206.17 141.95 -12.15 -172.40 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -74.264 0.010 2.5 -1.927 BITCOIN -31.183 0.043 2.5 -3.377 BOBL -90.891 0.004 2.5 -0.922 BTP 15.750 0.014 2.5 0.537 BUND -6.190 0.004 2.5 -0.063 BUXL -6.937 0.004 2.5 -0.070 CAC 109.540 0.014 2.5 3.736 CAD -277.587 0.010 2.5 -7.202 CANOLA -749.731 0.010 2.5 -18.240 CHF -174.025 0.010 2.5 -4.515 COCOA 55.796 0.009 2.5 1.195 COFFEE 52.859 0.005 2.5 0.617 COPPER 49.436 0.043 2.5 5.353 CORN -366.849 0.010 2.5 -8.925 COTTON2 -68.755 0.009 2.5 -1.473 CRUDE_W 142.675 0.043 2.5 15.450 DAX 638.704 0.014 2.5 21.785 DOW -455.136 0.009 2.5 -10.577 DX 191.162 0.010 2.5 4.960 EUR -72.114 0.010 2.5 -1.871 EURIBOR-ICE 13.606 0.014 2.5 0.464 EUROSTX 196.651 0.014 2.5 6.707 FEEDCOW -48.523 0.013 2.5 -1.608 GASOIL 54.539 0.017 2.5 2.364 GASOLINE 71.537 0.017 2.5 3.101 GAS_US_mini -433.144 0.043 2.5 -46.904 GBP -69.032 0.010 2.5 -1.791 GOLD_micro 202.465 0.014 2.5 6.906 HEATOIL 21.948 0.017 2.5 0.951 JGB-SGX-mini -113.358 0.043 2.5 -12.275 JPY -249.355 0.010 2.5 -6.470 LEANHOG 55.640 0.024 2.5 3.381 LIVECOW 23.980 0.013 2.5 0.795 LUMBER-new -515.673 0.009 2.5 -11.035 MILK -134.973 0.009 2.5 -2.891 MXP 564.634 0.059 2.5 82.873 NASDAQ_micro -91.424 0.009 2.5 -2.125 NIKKEI 93.469 0.043 2.5 10.121 NZD -92.424 0.010 2.5 -2.398 OAT 23.022 0.014 2.5 0.785 OATIES -341.848 0.010 2.5 -8.317 OJ 57.161 0.009 2.5 1.224 PALLAD -2.621 0.014 2.5 -0.089 PLAT 46.554 0.014 2.5 1.588 REDWHEAT -106.487 0.005 2.5 -1.413 RICE -95.410 0.010 2.5 -2.321 ROBUSTA 174.589 0.005 2.5 2.039 RUSSELL -299.651 0.013 2.5 -9.930 SHATZ -767.671 0.004 2.5 -7.785 SILVER-mini 64.139 0.014 2.5 2.188 SMI 94.344 0.014 2.5 3.218 SOFR -294.164 0.024 2.5 -17.878 SOYBEAN -152.473 0.004 2.5 -1.418 SOYMEAL -238.363 0.004 2.5 -2.217 SOYOIL -195.978 0.004 2.5 -1.824 SP400 -7.539 0.013 2.5 -0.250 SP500_micro -116.800 0.009 2.5 -2.714 SUGAR11 -100.008 0.009 2.5 -2.127 US10 -128.652 0.005 2.5 -1.630 US10U -69.899 0.005 2.5 -0.886 US2 -347.689 0.005 2.5 -4.406 US20 -24.191 0.005 2.5 -0.307 US30 -25.126 0.005 2.5 -0.318 US5 -244.813 0.005 2.5 -3.102 VIX -157.177 0.099 2.5 -38.798 WHEAT -172.403 0.005 2.5 -2.287 ===================== Position diags ===================== AUD 3.12 BITCOIN 27.76 BOBL 1.81 BTP 2.68 BUND 0.89 BUXL 0.38 CAC 3.86 CAD 4.86 CANOLA 12.35 CHF 2.26 COCOA 0.72 COFFEE 0.54 COPPER 5.76 CORN 5.26 COTTON2 1.80 CRUDE_W 7.72 DAX 15.04 DOW 9.94 DX 3.71 EUR 2.32 EURIBOR-ICE 12.95 EUROSTX 5.23 FEEDCOW 1.65 GASOIL 2.20 GASOLINE 1.81 GAS_US_mini 31.34 GBP 3.56 GOLD_micro 10.33 HEATOIL 1.59 JGB-SGX-mini 36.95 JPY 3.31 LEANHOG 6.28 LIVECOW 3.07 LUMBER-new 6.60 MILK 2.23 MXP 45.23 NASDAQ_micro 4.01 NIKKEI 24.65 NZD 3.58 OAT 3.07 OATIES 5.10 OJ 1.36 PALLAD 0.70 PLAT 2.44 REDWHEAT 1.54 RICE 2.33 ROBUSTA 1.37 RUSSELL 15.12 SHATZ 5.82 SILVER-mini 1.70 SMI 2.40 SOFR 18.43 SOYBEAN 1.07 SOYMEAL 1.28 SOYOIL 1.27 SP400 0.69 SP500_micro 7.05 SUGAR11 3.53 US10 1.55 US10U 1.18 US2 2.82 US20 0.79 US30 0.55 US5 2.36 VIX 29.62 WHEAT 1.88 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.9 -2.2 -1.6 0.0 0 BITCOIN -3.4 -6.2 -0.6 0.0 0 BOBL -0.9 -1.1 -0.7 -18.0 -18 BTP 0.5 0.3 0.8 4.0 4 BUND -0.1 -0.2 0.0 -1.0 -1 BUXL -0.1 -0.1 -0.0 0.0 0 CAC 3.7 3.4 4.1 0.0 0 CAD -7.2 -7.7 -6.7 0.0 0 CANOLA -18.2 -19.5 -17.0 -6.0 -6 CHF -4.5 -4.7 -4.3 -9.0 -9 COCOA 1.2 1.1 1.3 5.0 5 COFFEE 0.6 0.6 0.7 1.0 1 COPPER 5.4 4.8 5.9 6.0 6 CORN -8.9 -9.5 -8.4 -11.0 -11 COTTON2 -1.5 -1.7 -1.3 -3.0 -3 CRUDE_W 15.4 14.7 16.2 4.0 4 DAX 21.8 20.3 23.3 18.0 18 DOW -10.6 -11.6 -9.6 -2.0 -2 DX 5.0 4.6 5.3 NaN 0 EUR -1.9 -2.1 -1.6 0.0 0 EURIBOR-ICE 0.5 -0.8 1.8 1.0 1 EUROSTX 6.7 6.2 7.2 14.0 14 FEEDCOW -1.6 -1.8 -1.4 -1.0 -1 GASOIL 2.4 2.1 2.6 2.0 2 GASOLINE 3.1 2.9 3.3 4.0 4 GAS_US_mini -46.9 -50.0 -43.8 -22.0 -22 GBP -1.8 -2.1 -1.4 0.0 0 GOLD_micro 6.9 5.9 7.9 1.0 1 HEATOIL 1.0 0.8 1.1 3.0 3 JGB-SGX-mini -12.3 -16.0 -8.6 -7.0 -7 JPY -6.5 -6.8 -6.1 0.0 0 LEANHOG 3.4 2.8 4.0 6.0 6 LIVECOW 0.8 0.5 1.1 2.0 2 LUMBER-new -11.0 -11.7 -10.4 NaN 0 MILK -2.9 -3.1 -2.7 NaN 0 MXP 82.9 78.4 87.4 60.0 60 NASDAQ_micro -2.1 -2.5 -1.7 -1.0 -1 NIKKEI 10.1 7.7 12.6 26.0 26 NZD -2.4 -2.8 -2.0 -2.0 -2 OAT 0.8 0.5 1.1 0.0 0 OATIES -8.3 -8.8 -7.8 NaN 0 OJ 1.2 1.1 1.4 NaN 0 PALLAD -0.1 -0.2 -0.0 0.0 0 PLAT 1.6 1.3 1.8 1.0 1 REDWHEAT -1.4 -1.6 -1.3 -1.0 -1 RICE -2.3 -2.6 -2.1 NaN 0 ROBUSTA 2.0 1.9 2.2 1.0 1 RUSSELL -9.9 -11.4 -8.4 -10.0 -10 SHATZ -7.8 -8.4 -7.2 NaN 0 SILVER-mini 2.2 2.0 2.4 NaN 0 SMI 3.2 3.0 3.5 9.0 9 SOFR -17.9 -19.7 -16.0 NaN 0 SOYBEAN -1.4 -1.5 -1.3 -1.0 -1 SOYMEAL -2.2 -2.3 -2.1 0.0 0 SOYOIL -1.8 -2.0 -1.7 -5.0 -5 SP400 -0.2 -0.3 -0.2 1.0 1 SP500_micro -2.7 -3.4 -2.0 1.0 1 SUGAR11 -2.1 -2.5 -1.8 0.0 0 US10 -1.6 -1.8 -1.5 0.0 0 US10U -0.9 -1.0 -0.8 -2.0 -2 US2 -4.4 -4.7 -4.1 NaN 0 US20 -0.3 -0.4 -0.2 0.0 0 US30 -0.3 -0.4 -0.3 0.0 0 US5 -3.1 -3.3 -2.9 -14.0 -14 VIX -38.8 -41.8 -35.8 -16.0 -16 WHEAT -2.3 -2.5 -2.1 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 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 -0.1 0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 0.4 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.3 0.3 0.2 -0.1 -0.7 -0.4 -0.5 -0.1 BITCOIN -0.6 -0.0 0.2 0.0 0.0 0.1 0.1 0.0 0.1 -0.1 0.4 -0.1 0.6 0.1 0.1 -0.2 -0.1 -0.2 -0.2 0.2 0.2 -0.1 0.5 0.1 -2.7 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.2 -0.5 -0.6 0.6 0.6 -0.3 -0.0 0.6 0.1 BOBL 0.1 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.3 -0.2 -0.1 -0.2 -0.0 -0.0 -0.0 -0.1 -0.0 0.8 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.8 0.3 0.4 0.1 -0.1 -0.6 -0.7 0.3 -0.6 BTP -0.4 -0.2 0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 0.3 -0.1 0.4 -0.0 -0.0 0.1 0.1 0.1 0.1 0.0 0.1 -0.0 0.2 -0.0 -2.6 0.0 -0.0 0.2 -0.0 0.2 0.0 0.7 0.5 0.3 0.6 0.4 -0.2 -0.4 0.7 0.1 BUND 0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.4 0.0 0.0 0.0 0.0 -0.0 0.0 0.2 0.4 0.5 0.3 -0.0 -0.5 -0.7 0.5 -0.3 BUXL 0.0 -0.1 0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 0.1 0.0 0.0 0.0 0.0 0.5 0.6 0.5 0.1 -0.7 -0.7 -0.1 -0.0 CAC -0.6 0.3 0.6 0.1 -0.1 0.2 -0.1 0.2 -0.0 -0.2 0.5 -0.2 0.7 0.1 0.2 0.4 0.0 0.3 0.1 0.2 0.2 -0.2 0.5 -0.0 -1.6 0.1 -0.1 0.3 -0.0 0.3 0.0 0.8 0.5 0.0 0.4 0.0 -0.3 0.3 -0.2 0.5 CAD -0.3 -0.2 -0.1 -0.0 -0.2 0.0 -0.2 0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 0.0 -0.4 -0.1 -0.4 -0.2 -0.7 -0.6 -0.2 -0.5 CANOLA 0.2 0.6 0.0 0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.0 -0.3 0.1 0.0 -0.3 -0.1 -0.3 -0.2 0.0 -0.1 -0.0 -0.4 0.0 -2.7 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -1.0 -0.1 0.3 0.5 -0.5 -0.7 -0.6 -0.5 -0.2 CHF -0.5 -0.6 -0.6 -0.0 -0.2 0.0 -0.1 0.1 -0.1 -0.1 -0.4 -0.2 -0.2 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -1.1 0.0 -0.6 -0.6 -0.6 -0.2 -0.6 0.0 -0.5 COCOA 0.6 0.6 0.5 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 0.3 0.1 0.4 0.1 0.1 0.4 0.3 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.5 0.6 0.6 0.6 0.0 -0.0 0.2 0.3 COFFEE 0.6 0.4 0.4 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.2 0.5 0.2 0.5 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.1 0.1 0.2 0.1 0.1 0.7 0.5 0.6 0.6 0.6 -0.1 -0.7 0.2 -0.4 COPPER 0.6 0.6 0.5 0.1 0.0 0.1 0.1 0.0 0.1 0.2 0.4 0.2 0.1 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.2 0.2 -2.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.5 0.5 0.6 0.5 -0.7 -0.1 0.3 0.2 CORN 0.2 0.6 0.1 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.0 -0.3 -0.0 -0.6 0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.0 -0.1 -0.0 -0.5 -0.0 -2.1 -0.0 -0.0 -0.2 0.0 -0.3 0.0 -1.1 -0.1 0.2 0.1 -0.6 -0.4 -0.7 -0.3 0.0 COTTON2 -0.6 -0.4 0.6 0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.0 0.4 0.1 0.2 0.1 -0.0 0.0 -0.2 0.1 -0.2 -2.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.2 -0.5 -0.6 0.1 0.6 -0.3 -0.5 -0.0 0.1 CRUDE_W 0.5 0.6 0.4 0.1 0.0 0.2 0.1 0.1 0.1 0.2 0.3 0.2 0.5 0.2 0.2 0.4 0.2 0.3 0.3 0.2 0.2 0.2 0.5 0.2 -0.7 0.1 0.0 0.2 0.1 0.2 0.1 -0.1 0.3 0.5 0.6 -0.0 0.7 0.7 0.7 0.7 DAX -0.6 0.3 0.6 0.1 -0.1 0.2 -0.1 0.2 -0.0 -0.2 0.5 -0.2 0.7 0.1 0.2 -0.2 -0.2 -0.3 -0.3 0.2 0.2 -0.2 0.5 0.1 2.2 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.6 0.3 0.6 0.6 0.3 -0.1 0.3 0.2 0.7 DOW -0.6 -0.6 0.1 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.4 -0.2 0.5 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.2 0.4 -0.1 -1.6 0.0 -0.1 0.2 -0.1 0.3 -0.0 -0.5 -0.4 -0.0 -0.6 -0.2 -0.1 -0.2 0.1 -0.5 DX 0.5 0.2 0.2 -0.0 -0.2 0.0 -0.1 0.1 -0.1 0.2 0.2 0.2 0.2 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.1 0.2 0.2 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 0.8 0.5 0.6 0.6 0.6 0.7 0.1 0.7 0.3 EUR -0.4 -0.1 -0.1 -0.0 -0.2 0.0 -0.1 0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 2.4 -0.0 -0.2 -0.0 -0.1 -0.0 -0.1 -0.4 0.0 -0.2 0.1 0.0 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.2 -0.4 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 0.1 -0.1 1.7 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.1 0.1 0.1 -0.0 -0.7 -0.7 0.4 0.6 EUROSTX -0.6 0.2 0.6 0.1 -0.1 0.2 -0.1 0.2 -0.0 -0.2 0.5 -0.2 0.7 0.1 0.2 -0.1 0.0 -0.0 0.0 0.2 0.2 -0.2 0.5 0.1 -0.0 0.1 -0.0 0.3 -0.0 0.3 0.0 0.6 0.5 0.6 0.6 0.5 -0.5 0.4 -0.4 0.6 FEEDCOW -0.6 -0.6 0.4 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -0.0 -0.2 -0.0 -0.4 -0.4 -0.4 -0.4 -0.2 -0.1 -0.2 0.0 -0.2 -0.8 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -1.1 -0.2 -0.6 -0.6 0.2 0.7 0.7 0.7 0.7 GASOIL 0.1 0.2 0.3 0.1 0.0 0.1 0.0 0.1 0.1 -0.1 0.3 0.1 0.5 0.1 0.2 0.2 0.4 0.4 0.4 0.2 0.2 0.1 0.5 0.2 0.9 0.1 -0.0 0.2 0.0 0.3 0.1 0.9 0.0 -0.2 -0.3 0.0 -0.4 -0.3 -0.7 -0.6 GASOLINE 0.3 0.6 0.6 0.1 0.0 0.2 0.1 0.1 0.1 0.1 0.5 0.2 0.6 0.2 0.2 0.4 0.2 0.2 0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.2 0.1 -0.3 0.1 0.1 0.6 0.3 0.7 0.7 0.7 0.6 GAS_US_mini 0.2 0.1 -0.4 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 -0.4 -0.0 -0.5 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.0 -0.5 -0.1 2.7 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 -1.1 -0.5 -0.6 -0.6 -0.6 -0.7 -0.1 -0.7 -0.3 GBP -0.4 -0.2 -0.0 -0.0 -0.2 0.0 -0.1 0.1 -0.1 -0.2 0.2 -0.2 0.2 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.1 -0.1 0.3 -0.0 -0.2 0.1 -0.1 0.1 -0.1 0.1 0.2 -0.1 0.2 0.3 -0.7 -0.3 -0.7 -0.1 GOLD_micro 0.6 0.6 0.5 0.1 0.0 0.1 0.1 0.0 0.1 0.1 0.5 0.2 0.5 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.2 0.4 0.2 -0.6 0.1 0.0 0.1 0.1 0.1 0.1 -0.8 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.6 -0.4 HEATOIL 0.1 0.2 0.2 0.1 0.0 0.1 0.0 0.1 0.1 -0.1 0.1 0.1 0.4 0.1 0.2 0.1 0.4 0.3 0.4 0.1 0.1 0.0 0.3 0.1 -2.7 0.1 -0.0 0.2 -0.0 0.3 0.0 0.9 -0.2 -0.6 -0.3 -0.0 0.6 0.2 0.5 0.1 JGB-SGX-mini -0.3 -0.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.1 0.2 0.3 0.2 0.2 -0.0 0.0 -0.1 0.1 -0.1 -1.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 1.1 -0.4 -0.2 -0.1 0.1 -0.4 -0.5 0.0 0.3 JPY -0.4 -0.2 -0.5 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.2 -0.5 -0.2 2.7 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -1.1 -0.2 -0.6 -0.5 -0.6 -0.7 -0.4 -0.6 -0.4 LEANHOG -0.0 0.3 0.6 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.2 0.5 0.0 -0.2 0.1 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 -0.1 0.0 0.1 1.7 0.1 -0.1 0.2 -0.0 0.1 0.0 -1.1 -0.1 0.1 0.6 0.6 -0.3 -0.3 0.0 0.5 LIVECOW -0.6 -0.3 0.4 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.0 0.0 -0.2 0.0 -0.2 0.0 0.4 0.1 0.4 0.2 -0.1 -0.0 -0.2 0.0 -0.2 -0.7 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.6 -0.3 -0.6 -0.3 0.4 0.7 0.4 0.7 0.7 LUMBER-new -0.7 -0.1 0.3 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.2 0.4 -0.2 -0.4 -0.2 -0.1 -0.5 -0.4 -0.4 -0.4 -0.1 0.0 -0.2 0.1 -0.2 NaN -0.0 -0.1 0.0 -0.2 0.1 -0.1 -1.2 -0.6 -0.7 -0.3 -0.0 -0.5 -0.5 -0.3 -0.3 MILK 0.2 -0.1 0.6 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.0 -0.3 0.0 -0.5 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.0 -0.4 -0.1 1.6 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -1.1 0.3 -0.1 -0.6 -0.5 -0.7 -0.7 -0.7 -0.7 MXP 0.1 0.2 0.2 -0.0 -0.2 0.0 -0.2 0.1 -0.1 -0.2 0.5 0.0 0.7 0.2 0.2 0.4 0.3 0.4 0.3 0.2 0.2 -0.0 0.5 0.2 -2.7 0.1 -0.1 0.2 0.0 0.3 0.1 1.1 0.5 0.6 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro -0.5 -0.4 0.0 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.1 0.4 -0.1 0.5 0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.2 -0.1 0.5 -0.0 -2.7 0.0 -0.1 0.2 -0.0 0.4 -0.0 -0.4 0.2 0.1 -0.4 0.1 0.1 -0.1 0.3 -0.1 NIKKEI -0.6 -0.3 0.6 0.0 -0.1 0.2 -0.1 0.2 -0.0 -0.1 0.5 -0.1 0.6 0.0 0.2 0.0 0.2 0.1 0.2 0.2 0.2 -0.1 0.5 0.0 -2.2 0.1 -0.0 0.2 -0.0 0.3 0.0 1.1 0.4 0.4 0.1 0.6 -0.6 -0.2 -0.3 -0.3 NZD -0.3 -0.3 -0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 0.0 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 0.3 -0.1 -0.3 -0.2 -0.4 -0.2 -0.1 0.2 OAT -0.2 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.0 0.0 -0.0 -0.0 -0.0 0.5 0.0 -0.0 0.0 0.0 0.0 0.0 0.7 0.4 0.4 0.3 0.0 -0.5 -0.7 0.5 0.1 OATIES -0.4 -0.1 -0.3 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.4 -0.0 -0.5 -0.1 -0.1 0.2 0.0 0.2 0.1 -0.1 -0.2 -0.0 -0.4 -0.1 -2.7 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.3 -0.6 -0.6 -0.3 -0.5 -0.0 -0.2 0.5 OJ 0.1 0.1 -0.2 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.1 0.2 0.2 0.5 0.1 0.1 0.1 0.3 0.1 0.2 0.1 0.2 0.1 0.5 0.1 -2.7 0.0 0.1 0.2 0.0 0.6 0.0 1.0 0.2 0.1 -0.1 -0.2 0.4 0.3 0.7 0.7 PALLAD 0.1 0.6 0.2 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 -0.1 0.0 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.2 0.0 1.5 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.4 -0.2 -0.2 -0.2 -0.1 -0.7 -0.4 -0.7 -0.3 PLAT 0.4 0.4 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.0 0.1 -0.3 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 1.4 0.0 0.0 0.0 0.1 0.0 0.1 0.2 0.2 0.1 -0.2 -0.1 -0.5 -0.2 0.7 0.3 REDWHEAT 0.3 0.4 -0.0 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.4 0.1 -0.7 0.1 -0.1 -0.0 0.0 0.1 0.0 -0.1 -0.2 0.0 -0.5 0.0 -1.0 -0.0 0.0 -0.2 0.0 -0.4 0.0 0.0 0.3 0.5 -0.1 -0.6 -0.4 -0.7 -0.1 -0.7 RICE -0.4 -0.6 -0.3 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.0 0.0 0.3 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.1 -0.0 0.1 0.1 -0.1 -1.6 -0.0 0.1 -0.0 0.0 0.0 -0.0 -0.8 0.5 -0.6 -0.6 -0.5 0.2 -0.1 0.6 0.3 ROBUSTA 0.6 0.5 0.6 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.1 0.5 0.2 0.7 0.2 0.2 0.3 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 0.3 0.1 1.1 0.5 0.6 0.6 0.6 -0.6 -0.7 -0.2 0.1 RUSSELL -0.4 -0.0 0.3 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.1 0.3 -0.1 0.3 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.1 0.2 -0.1 -0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 -0.1 0.1 -0.3 -0.4 -0.4 -0.6 -0.4 -0.7 SHATZ 0.2 -0.3 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.0 -0.2 -0.1 1.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.2 0.1 -0.1 -0.3 -0.7 -0.7 -0.4 -0.7 SILVER-mini 0.6 0.6 0.3 0.0 0.0 0.1 0.1 0.0 0.1 0.1 0.3 0.2 0.1 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.1 0.2 0.5 0.1 0.0 0.1 0.1 0.1 0.1 -0.1 0.5 0.6 0.6 0.5 -0.5 -0.6 0.6 0.1 SMI -0.6 0.2 0.5 0.0 -0.1 0.2 -0.1 0.2 -0.0 -0.2 0.5 -0.2 0.5 -0.0 0.1 -0.0 0.1 0.0 0.1 0.1 0.2 -0.2 0.3 -0.1 2.0 0.1 -0.1 0.2 -0.1 0.2 0.0 0.9 0.4 -0.0 0.1 -0.1 0.5 -0.1 0.7 -0.1 SOFR -0.4 -0.3 -0.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 -0.2 -0.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -0.3 -0.2 -0.1 0.0 -0.6 -0.7 0.1 -0.1 SOYBEAN 0.0 0.6 -0.4 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.4 -0.2 -0.2 0.1 -0.1 -0.0 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.4 -0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.7 -0.2 -0.0 0.2 -0.6 -0.4 -0.7 -0.3 -0.7 SOYMEAL 0.2 0.3 -0.6 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.5 -0.0 -0.5 -0.0 -0.2 -0.1 0.1 -0.1 0.0 -0.1 -0.2 0.0 -0.5 -0.0 -2.7 -0.0 0.0 -0.2 0.0 -0.2 0.0 0.3 0.2 0.4 -0.1 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.1 0.6 -0.0 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.3 -0.1 -2.7 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.5 -0.4 0.2 -0.1 -0.7 -0.4 -0.3 0.2 SP400 -0.5 0.1 0.5 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.4 -0.1 0.5 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.2 -0.2 0.4 -0.0 -1.6 0.0 -0.1 0.2 -0.1 0.2 0.0 0.1 -0.2 0.3 0.1 -0.0 -0.4 -0.3 -0.3 -0.7 SP500_micro -0.6 -0.2 0.4 0.0 -0.1 0.2 -0.1 0.2 -0.0 -0.1 0.5 -0.1 0.7 0.1 0.2 -0.3 -0.2 -0.3 -0.3 0.2 0.2 -0.2 0.5 -0.0 -2.7 0.1 -0.1 0.2 -0.1 0.3 -0.0 -0.6 -0.1 0.1 0.0 0.4 -0.1 -0.1 0.2 -0.2 SUGAR11 -0.2 -0.2 -0.3 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.2 -0.2 0.1 -0.1 -0.1 0.2 0.3 0.3 0.3 -0.1 -0.1 -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 -0.5 -0.4 0.7 0.2 0.7 0.7 US10 -0.4 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 0.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.5 -0.2 -0.2 -0.1 0.0 -0.7 -0.7 -0.4 0.2 US10U -0.4 -0.2 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.1 -0.3 -0.2 -0.0 0.1 -0.7 -0.7 0.6 0.5 US2 -0.3 -0.4 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.2 -0.1 1.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.1 -0.2 -0.3 -0.1 -0.7 -0.7 -0.7 -0.7 US20 -0.4 -0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.2 -0.2 -0.1 0.1 0.1 -0.7 -0.6 0.7 0.7 US30 -0.4 -0.2 0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.2 -0.1 0.1 0.1 -0.6 -0.5 0.7 0.7 US5 -0.4 -0.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.2 -0.1 0.7 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.7 -0.2 -0.2 -0.2 -0.0 -0.7 -0.7 -0.6 -0.2 VIX 0.5 0.8 0.5 -0.1 0.3 -0.4 0.2 -0.9 0.1 0.3 -0.9 0.3 -1.2 0.1 -0.2 -0.6 -0.6 -0.6 -0.6 -0.1 -0.3 0.2 -0.9 0.1 NaN -0.1 0.3 -0.5 0.2 -1.1 0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.5 0.3 -0.1 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.4 0.0 -0.7 0.1 -0.1 -0.4 -0.3 -0.3 -0.3 -0.0 -0.2 0.0 -0.5 0.0 0.2 -0.0 -0.0 -0.2 0.0 -0.3 0.0 -1.1 0.0 0.6 -0.2 -0.6 -0.2 -0.7 -0.0 -0.7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -2.3 0.6 -2.4 -2.4 -16.3 0.1 -10.7 2.1 -5.4 -14.5 -4.1 -10.1 -9.3 -5.7 -11.9 -2.7 -2.9 -2.8 -2.8 -3.6 -2.6 -11.9 -3.8 -5.8 2.7 -1.0 -15.5 -0.9 -7.9 -1.7 -2.4 -1.0 13.3 8.0 4.8 -3.5 -20.0 -10.7 -14.1 -2.2 BITCOIN -19.0 -0.3 7.1 4.6 2.6 2.0 5.5 0.5 6.1 -12.5 15.7 -4.8 16.2 8.3 13.0 -8.4 -7.4 -8.8 -8.4 19.1 20.0 -8.1 19.1 6.0 -20.0 5.9 -3.8 7.1 -0.8 6.0 2.6 -3.3 -20.0 -19.9 20.0 20.0 -8.0 -0.1 17.7 3.5 BOBL 4.3 -5.9 -7.5 -2.1 -4.6 -1.0 -4.2 -1.1 -3.2 0.5 -2.5 -2.8 -2.4 -4.9 -8.2 12.6 -10.6 -2.8 -9.7 -4.5 -3.2 -2.4 -3.3 -3.6 5.8 -1.0 0.4 -0.9 0.2 -1.0 -0.1 -14.6 11.8 11.6 3.4 -3.9 -19.2 -20.0 7.7 -17.4 BTP -12.9 -5.1 3.0 -3.4 -7.3 -1.6 -6.6 -1.8 -5.0 -4.9 10.7 -8.1 10.2 -3.1 -1.9 4.7 6.1 4.9 5.2 2.3 7.9 -5.4 7.8 -3.2 -19.4 4.5 -2.8 6.3 -0.6 5.6 2.0 13.8 20.0 10.6 20.0 13.0 -6.0 -11.9 20.0 2.6 BUND 1.6 -5.1 -2.9 -2.4 -5.1 -1.1 -4.6 -1.3 -3.5 -0.4 -0.1 -3.8 -0.8 -5.2 -8.6 -9.6 0.9 -5.6 -2.4 -3.0 -1.2 -2.4 -2.0 -3.0 3.2 0.9 0.0 0.7 1.2 -0.1 1.7 3.1 16.3 15.7 8.3 -0.6 -16.3 -20.0 15.7 -8.4 BUXL 0.1 -3.0 2.2 -2.9 -6.3 -1.3 -5.7 -1.6 -4.3 -3.6 1.8 -6.0 -3.0 -6.5 -10.3 -7.8 -1.8 -5.7 -3.5 -1.8 -0.1 -1.9 -3.1 -2.2 -0.8 3.0 -0.1 2.1 2.8 0.1 4.0 0.0 20.0 20.0 15.6 3.0 -20.0 -20.0 -2.2 -1.4 CAC -20.0 10.7 20.0 5.6 -11.3 8.2 -7.9 6.7 -1.2 -20.0 20.0 -20.0 20.0 6.4 20.0 20.0 1.3 13.4 5.6 20.0 20.0 -20.0 20.0 -2.5 -12.0 7.8 -6.4 9.5 -4.6 7.8 1.4 14.8 19.0 1.2 13.4 0.4 -8.4 10.5 -5.8 15.5 CAD -8.4 -6.7 -2.4 -3.3 -20.0 0.2 -14.5 2.8 -7.3 -20.0 -6.4 -20.0 -6.8 -19.8 -20.0 -2.6 -2.3 -2.4 -2.3 -12.3 -6.6 -20.0 -5.5 -19.7 -0.4 -5.8 -20.0 -3.1 -15.7 -2.6 -9.7 0.0 -17.2 -3.9 -11.1 -5.2 -20.0 -16.7 -5.8 -13.5 CANOLA 7.4 20.0 0.7 0.6 0.6 0.7 -1.0 -1.2 -0.6 -6.9 -8.4 -4.3 -9.2 7.2 0.5 -14.8 -6.6 -14.2 -12.0 1.5 -8.0 -2.0 -14.3 3.7 -20.0 0.7 -3.3 -2.9 -0.8 -5.5 1.5 -18.3 -2.1 7.7 15.3 -15.3 -20.0 -18.2 -14.8 -4.9 CHF -15.3 -20.0 -20.0 -2.6 -17.4 0.2 -11.5 2.2 -5.8 -15.3 -13.3 -17.4 -6.4 -17.9 -18.9 -15.8 -15.8 -15.9 -15.8 -20.0 -18.1 -20.0 -6.8 -20.0 -1.5 -6.3 -3.9 -3.6 -5.0 -1.0 -6.5 -20.0 0.4 -20.0 -20.0 -20.0 -7.2 -16.8 1.1 -15.7 COCOA 20.0 20.0 14.4 0.6 0.6 0.7 -1.0 -1.2 -0.6 10.5 12.4 11.5 12.3 11.8 12.2 20.0 15.1 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 4.3 2.4 4.2 2.7 3.5 3.6 20.0 20.0 20.0 20.0 20.0 0.9 -0.3 6.2 9.9 COFFEE 20.0 13.0 11.8 1.3 1.2 1.4 -2.0 -2.5 -1.2 20.0 18.8 20.0 14.1 20.0 18.0 8.3 7.9 10.5 9.8 20.0 20.0 20.0 14.2 20.0 -20.0 7.1 14.9 4.5 14.2 3.0 11.3 13.0 20.0 20.0 20.0 17.2 -4.1 -20.0 4.7 -10.5 COPPER 17.9 20.0 14.7 5.4 3.1 2.4 6.5 0.6 7.2 19.1 15.5 20.0 2.0 20.0 19.7 -5.5 -5.0 -5.5 -5.6 20.0 20.0 20.0 8.3 20.0 -15.8 7.1 6.4 4.4 7.4 1.8 8.4 1.2 20.0 15.4 18.8 15.5 -20.0 -2.5 9.6 5.8 CORN 5.0 17.1 3.1 1.0 0.9 1.1 -1.6 -2.0 -1.0 -2.8 -11.7 -0.8 -18.0 9.1 -7.0 -20.0 -9.4 -18.5 -15.1 -4.6 -13.2 -2.0 -20.0 -0.8 -15.6 -2.9 -0.8 -7.6 0.1 -9.5 0.5 -20.0 -4.6 7.0 1.9 -20.0 -10.9 -20.0 -9.8 0.3 COTTON2 -20.0 -12.3 19.3 0.7 0.6 0.8 -1.1 -1.4 -0.7 -10.5 1.8 -12.6 2.4 -12.0 -1.6 19.9 3.0 11.2 5.2 -4.3 3.3 -19.1 3.0 -15.3 -20.0 0.6 -3.4 3.0 -4.5 2.7 -3.2 3.7 -20.0 -20.0 1.9 20.0 -10.4 -13.7 -0.2 1.6 CRUDE_W 16.9 20.0 11.4 7.8 1.7 5.7 4.8 4.2 7.4 20.0 10.6 20.0 14.3 20.0 20.0 18.7 11.5 15.0 12.6 20.0 20.0 20.0 19.6 20.0 -5.4 9.2 3.0 6.6 6.2 5.5 9.4 -1.1 12.2 15.4 20.0 -0.4 20.0 19.9 20.0 20.0 DAX -17.7 9.2 17.8 5.1 -10.3 7.4 -7.2 6.0 -1.1 -20.0 20.0 -18.5 20.0 9.6 18.0 -12.0 -11.8 -13.4 -13.1 20.0 20.0 -18.8 20.0 5.1 16.1 8.0 -5.1 8.2 -2.2 6.2 3.7 -11.4 12.4 20.0 20.0 10.5 -3.2 9.4 4.7 20.0 DOW -20.0 -19.2 3.3 3.6 -7.2 5.2 -5.0 4.2 -0.8 -14.8 14.4 -15.0 15.0 -10.8 2.4 -11.5 -11.1 -12.4 -12.1 1.4 13.5 -20.0 16.6 -13.8 -12.1 2.3 -13.0 6.8 -9.1 7.9 -3.6 -9.9 -15.4 -0.1 -17.5 -4.7 -4.4 -7.2 3.7 -16.0 DX 13.9 5.5 6.7 -3.1 -20.0 0.2 -13.5 2.6 -6.8 19.6 7.9 20.0 5.9 18.7 18.7 7.4 6.5 7.1 6.8 15.5 8.8 20.0 6.1 20.0 -20.0 5.9 16.6 3.0 13.3 2.2 9.5 15.3 20.0 20.0 20.0 20.0 20.0 4.1 20.0 10.3 EUR -11.3 -1.7 -4.4 -2.9 -19.1 0.2 -12.6 2.5 -6.4 -18.3 -3.7 -17.3 -3.7 -13.5 -14.7 -6.7 -6.8 -6.7 -6.6 -9.0 -4.7 -20.0 -3.1 -15.9 17.9 -3.1 -20.0 -0.8 -13.7 -0.4 -7.3 -7.5 0.8 -6.3 2.9 0.0 -20.0 -14.9 -20.0 -11.9 EURIBOR-ICE -4.7 -13.3 -6.7 -1.9 -4.1 -0.9 -3.7 -1.0 -2.8 -3.0 2.3 -4.7 2.6 -5.9 -6.6 -5.1 -4.1 -3.3 -3.0 -3.3 1.0 -5.3 2.2 -5.0 13.1 -1.0 -2.1 1.1 -2.3 1.7 -1.9 -2.0 3.3 3.7 2.0 -0.3 -20.0 -20.0 11.3 18.9 EUROSTX -17.7 7.0 20.0 5.3 -10.6 7.6 -7.4 6.2 -1.1 -20.0 20.0 -20.0 20.0 10.5 20.0 -6.9 0.7 -0.9 0.8 20.0 20.0 -17.1 20.0 5.1 -0.3 8.2 -5.1 9.6 -2.7 7.9 2.9 11.4 20.0 17.7 20.0 14.5 -14.5 10.5 -13.2 17.1 FEEDCOW -20.0 -19.8 10.8 1.0 0.9 1.1 -1.5 -1.9 -1.0 -5.8 -2.8 -15.9 -1.0 -16.1 -3.9 -20.0 -20.0 -20.0 -20.0 -16.2 -4.7 -20.0 0.6 -20.0 -6.3 -3.9 -1.3 -0.9 -5.2 1.6 -6.6 -20.0 -9.3 -20.0 -20.0 6.3 20.0 20.0 20.0 20.0 GASOIL 2.8 7.6 10.2 6.7 1.5 4.9 4.2 3.6 6.4 -8.1 12.1 8.3 15.2 13.9 19.4 12.3 20.0 19.0 20.0 17.6 17.3 6.7 18.4 14.0 7.1 7.3 -0.0 7.2 2.9 7.4 5.9 16.5 0.4 -7.0 -9.7 0.8 -11.9 -9.1 -20.0 -17.0 GASOLINE 9.0 19.7 18.0 7.6 1.6 5.6 4.7 4.1 7.3 16.6 18.6 20.0 17.5 20.0 20.0 20.0 11.0 11.6 6.7 20.0 20.0 19.6 20.0 20.0 -20.0 9.3 2.8 7.5 5.1 6.5 8.1 -5.9 5.0 4.2 17.2 10.6 20.0 20.0 20.0 19.2 GAS_US_mini 5.4 2.7 -12.4 4.2 0.9 3.0 2.6 2.2 4.0 -9.1 -14.3 -3.9 -15.0 -9.5 -13.3 -20.0 -20.0 -20.0 -20.0 -11.7 -20.0 -4.1 -20.0 -5.4 20.0 -5.4 -3.6 -6.9 -2.8 -6.9 -3.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -3.1 -20.0 -8.0 GBP -12.2 -5.8 -0.9 -3.1 -20.0 0.2 -13.7 2.7 -6.9 -19.3 8.3 -18.5 6.9 -16.4 -11.1 -1.0 -0.7 -0.8 -0.7 -5.9 0.9 -20.0 3.8 -13.6 1.9 -1.0 -18.5 2.8 -12.3 3.3 -6.1 2.8 8.1 -2.5 5.7 10.7 -20.0 -8.4 -20.0 -1.8 GOLD_micro 20.0 20.0 14.4 4.8 2.7 2.1 5.8 0.5 6.4 15.2 17.9 17.6 13.7 19.1 18.8 -14.0 -14.7 -14.9 -14.9 20.0 20.0 20.0 15.5 20.0 -4.2 6.7 3.8 4.5 5.8 2.7 7.4 -15.1 20.0 20.0 20.0 20.0 -20.0 -20.0 -16.8 -12.3 HEATOIL 4.0 6.9 6.7 7.0 1.5 5.1 4.3 3.7 6.6 -15.0 3.6 5.5 10.4 13.4 18.3 5.1 20.0 15.1 19.5 13.7 11.8 2.4 12.7 11.2 -20.0 7.3 -3.9 7.7 -0.2 9.0 4.5 16.0 -8.5 -19.8 -8.6 -0.8 17.9 5.4 14.7 2.0 JGB-SGX-mini -8.7 -10.7 -2.6 -2.4 -5.1 -1.1 -4.6 -1.3 -3.5 -8.9 3.8 -7.7 6.2 -6.2 -5.7 8.4 15.7 10.6 12.0 -4.2 0.2 -14.9 2.6 -9.2 -7.9 -2.4 -9.9 -0.6 -8.0 -0.1 -4.9 20.0 -15.9 -5.5 -2.2 2.8 -11.8 -14.2 0.1 9.9 JPY -11.8 -5.5 -15.5 -2.5 -16.5 0.1 -10.9 2.1 -5.5 -16.2 -18.1 -18.0 -18.2 -18.5 -18.6 -17.4 -16.6 -17.0 -16.7 -20.0 -20.0 -20.0 -20.0 -20.0 20.0 -6.1 -8.1 -5.6 -7.2 -6.6 -6.8 -20.0 -7.2 -19.7 -15.1 -19.6 -20.0 -11.2 -17.1 -11.3 LEANHOG -0.7 10.6 20.0 1.4 1.2 1.5 -2.1 -2.6 -1.3 -20.0 18.2 0.6 -5.4 11.1 20.0 -20.0 -20.0 -20.0 -20.0 20.0 15.5 -7.8 0.8 12.9 13.1 7.6 -14.1 7.8 -4.4 2.2 3.2 -20.0 -2.9 4.1 20.0 20.0 -7.8 -8.8 1.2 14.4 LIVECOW -20.0 -10.5 11.0 1.0 0.9 1.1 -1.5 -1.9 -1.0 -4.6 0.1 -14.8 0.9 -14.5 0.2 20.0 4.5 20.0 12.3 -9.8 -1.5 -19.3 1.7 -20.0 -5.2 -1.4 -1.9 1.2 -5.2 3.0 -5.1 10.7 -11.4 -20.0 -8.3 11.8 20.0 13.2 20.0 20.0 LUMBER-new -20.0 -3.6 7.2 1.4 1.3 1.6 -2.1 -1.8 -1.4 -20.0 11.3 -20.0 -9.7 -18.1 -4.9 -20.0 -16.0 -18.0 -16.8 -9.5 3.8 -20.0 2.0 -20.0 NaN -3.5 -13.4 1.2 -14.1 1.6 -10.5 -20.0 -20.0 -20.0 -7.6 -0.6 -13.0 -13.1 -7.3 -7.5 MILK 7.2 -4.6 17.7 0.7 0.6 0.7 -1.0 -1.3 -0.7 4.6 -11.9 2.3 -12.6 -7.6 -9.2 -20.0 -20.0 -20.0 -20.0 -9.4 -12.4 0.8 -16.0 -4.9 11.8 -3.5 1.5 -4.5 0.2 -6.0 -1.9 -20.0 14.3 -2.7 -18.7 -14.3 -20.0 -20.0 -20.0 -20.0 MXP 2.2 7.4 7.0 -3.4 -20.0 0.2 -15.0 2.9 -7.6 -18.4 20.0 4.3 20.0 16.7 20.0 18.3 17.3 18.0 17.2 20.0 20.0 -1.0 20.0 17.4 -20.0 8.6 -8.0 8.0 0.1 8.2 6.6 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -16.1 -13.2 0.6 3.2 -6.4 4.6 -4.4 3.8 -0.7 -9.6 14.4 -6.3 14.9 1.3 11.5 -11.1 -10.4 -11.4 -11.1 7.0 15.9 -9.4 19.7 -2.3 -20.0 3.4 -7.6 8.0 -4.3 10.2 -1.4 -8.4 9.0 1.6 -10.8 3.6 2.9 -1.6 7.8 -2.7 NIKKEI -18.0 -9.9 17.6 4.0 -8.0 5.7 -5.5 4.7 -0.8 -10.8 16.9 -8.6 18.0 2.7 14.6 2.3 10.4 6.3 8.8 19.8 20.0 -10.4 20.0 2.3 -16.2 5.4 -4.7 8.5 -2.8 8.6 0.5 20.0 15.8 11.3 2.7 20.0 -19.2 -7.4 -10.3 -8.1 NZD -8.5 -10.8 -5.1 -2.3 -15.2 0.1 -10.0 2.0 -5.1 -13.3 -1.9 -12.0 -3.4 -12.3 -13.0 -0.0 0.2 0.2 0.2 -9.1 -4.2 -13.0 -2.4 -11.4 0.4 -4.1 -9.8 -1.7 -6.3 -0.6 -5.1 4.3 12.7 -3.8 -8.1 -6.4 -11.4 -7.0 -3.8 5.3 OAT -4.8 -6.9 -2.0 -2.6 -5.6 -1.2 -5.0 -1.4 -3.8 -1.7 1.7 -5.9 0.8 -8.1 -9.5 4.9 6.0 4.8 5.0 -3.3 0.1 -4.0 -0.3 -4.6 3.7 0.9 -1.2 1.7 0.3 1.0 0.9 13.6 18.4 11.9 8.8 0.7 -16.3 -20.0 14.7 1.5 OATIES -10.9 -4.1 -9.9 0.9 0.8 1.0 -1.4 -1.8 -0.9 5.8 -16.5 -3.6 -14.1 -10.0 -10.8 11.0 0.0 8.4 3.8 -13.5 -14.9 -3.9 -14.2 -12.9 -20.0 -5.0 5.1 -4.3 -1.3 -3.8 -5.3 -0.2 -13.8 -20.0 -18.0 -9.2 -15.1 -0.8 -4.7 15.1 OJ 3.1 2.7 -6.5 1.0 0.9 1.1 -1.6 -2.0 -1.0 14.4 8.5 14.3 14.3 7.9 13.4 6.0 13.7 7.0 9.7 9.4 14.8 9.0 20.0 7.6 -20.0 1.5 5.8 6.5 2.1 16.3 0.4 18.7 6.8 3.2 -1.8 -5.1 10.8 9.2 20.0 20.0 PALLAD 3.6 17.6 7.5 2.2 1.3 1.0 2.7 0.2 3.0 -1.8 -3.2 0.9 -7.6 4.4 -0.8 -1.8 -2.1 -1.8 -1.9 1.8 -2.6 2.4 -8.8 3.3 11.3 1.6 -0.2 -0.7 1.7 -3.5 2.4 7.0 -9.1 -7.0 -6.0 -2.6 -20.0 -13.2 -20.0 -8.3 PLAT 13.4 11.7 0.7 3.3 1.9 1.5 4.0 0.3 4.4 8.3 -1.5 10.7 -7.8 10.3 -0.6 -4.4 -3.5 -4.3 -4.0 6.0 0.7 13.2 -2.5 11.6 10.6 3.4 3.1 1.2 5.7 0.1 5.6 3.9 7.0 3.3 -6.2 -2.5 -16.3 -4.9 20.0 7.7 REDWHEAT 8.2 13.3 -0.9 1.0 0.9 1.1 -1.6 -2.0 -1.0 11.1 -16.6 12.0 -18.7 9.2 -8.6 -0.0 1.1 3.1 1.9 -6.0 -17.4 4.2 -20.0 1.7 -7.6 -3.0 1.6 -8.4 3.4 -10.7 2.0 0.2 12.5 16.0 -4.4 -20.0 -11.1 -20.0 -1.9 -20.0 RICE -10.9 -20.0 -8.4 0.8 0.7 0.9 -1.3 -1.6 -0.8 13.0 -1.4 2.1 7.0 -7.0 -8.2 -9.1 -5.0 -11.4 -10.2 -8.2 -2.1 13.4 3.0 -4.7 -11.9 -3.3 11.0 -1.4 3.7 0.2 -2.1 -14.9 20.0 -20.0 -20.0 -16.7 6.5 -3.7 16.8 8.0 ROBUSTA 20.0 15.2 20.0 1.0 0.9 1.1 -1.5 -1.9 -1.0 16.6 19.2 18.1 19.1 18.6 19.2 15.6 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.5 7.7 7.5 6.8 7.1 7.2 20.0 20.0 20.0 20.0 20.0 -18.5 -19.9 -4.7 3.0 RUSSELL -11.9 -1.2 9.0 2.9 -5.9 4.2 -4.1 3.4 -0.6 -11.8 10.8 -10.6 9.0 -4.2 5.1 -6.5 -6.4 -6.6 -6.5 2.6 7.2 -15.2 6.1 -5.9 -1.7 2.3 -11.3 4.5 -6.8 3.9 -1.9 -1.0 -3.3 3.0 -9.8 -11.1 -12.6 -19.0 -13.0 -20.0 SHATZ 6.4 -8.3 -13.8 -1.9 -4.1 -0.9 -3.7 -1.0 -2.8 0.8 -7.5 -2.9 -7.4 -5.9 -8.2 -20.0 -20.0 -20.0 -20.0 -8.1 -7.7 -2.6 -7.9 -5.4 7.9 -2.6 0.5 -2.1 -0.9 -2.0 -1.9 -20.0 7.2 4.0 -4.4 -8.8 -20.0 -20.0 -11.7 -20.0 SILVER-mini 20.0 20.0 8.6 4.2 2.4 1.9 5.0 0.4 5.6 14.0 9.6 15.3 3.1 15.9 13.3 -6.6 -6.7 -6.8 -6.8 20.0 12.3 20.0 4.5 20.0 3.9 5.6 4.2 3.2 5.8 1.5 6.7 -1.2 20.0 20.0 20.0 16.9 -15.2 -16.9 18.4 1.7 SMI -18.8 6.1 15.1 4.6 -9.3 6.7 -6.4 5.4 -1.0 -19.3 18.0 -19.5 13.5 -0.3 11.6 -2.3 4.5 2.3 4.2 10.6 16.1 -20.0 11.3 -5.7 15.3 5.9 -8.0 7.1 -5.0 4.7 0.7 17.8 14.9 -1.5 4.4 -4.0 14.6 -2.1 20.0 -4.3 SOFR -12.8 -9.8 -4.7 -2.6 -5.6 -1.2 -5.0 -1.4 -3.8 -9.5 0.7 -10.6 -1.4 -11.0 -10.4 -2.4 -0.2 -0.9 -0.3 -9.4 -4.5 -17.9 -3.2 -14.5 -2.6 -2.8 -7.1 -0.8 -6.7 -0.3 -4.9 3.8 -13.5 -7.0 -3.0 0.8 -17.5 -20.0 4.3 -2.3 SOYBEAN 0.9 18.2 -13.8 1.2 1.0 1.2 -1.8 -2.2 -1.1 -10.9 -13.5 -15.5 -6.6 5.6 -8.2 -1.8 11.3 2.8 6.6 -5.4 -13.7 -8.8 -14.6 -2.9 -20.0 -1.3 -4.8 -4.2 -3.6 -4.0 -0.6 13.5 -10.0 -0.2 7.6 -20.0 -10.6 -20.0 -9.4 -20.0 SOYMEAL 5.8 8.9 -20.0 1.0 0.9 1.1 -1.6 -2.0 -1.0 8.2 -18.1 -2.6 -14.9 -2.2 -16.0 -5.5 7.0 -4.2 0.6 -13.8 -20.0 2.2 -18.3 -3.5 -20.0 -4.3 3.4 -7.8 2.4 -5.3 0.3 5.1 9.6 10.8 -2.6 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -3.6 20.0 -0.0 0.8 0.7 0.8 -1.2 -1.5 -0.8 -13.1 -11.2 -12.6 -10.2 0.2 -0.9 -7.2 1.1 -6.6 -3.7 -1.8 -7.0 -15.5 -10.9 -5.2 -20.0 0.4 -9.8 -0.5 -7.0 -1.9 -2.2 -4.1 -20.0 -13.2 6.2 -4.4 -20.0 -11.2 -10.2 5.0 SP400 -16.9 4.3 16.0 3.5 -7.0 5.1 -4.9 4.1 -0.7 -14.5 14.8 -11.4 13.4 2.5 10.3 -4.6 -5.3 -5.1 -5.3 11.6 17.1 -19.2 13.9 -2.6 -11.8 4.4 -9.8 5.8 -5.4 4.8 0.1 1.0 -9.1 8.3 4.5 -1.3 -11.5 -9.4 -9.4 -20.0 SP500_micro -20.0 -7.5 12.1 4.1 -8.2 5.9 -5.7 4.8 -0.9 -15.5 18.8 -11.3 18.6 4.9 15.1 -12.8 -11.7 -13.1 -12.6 14.9 20.0 -17.8 20.0 -1.9 -20.0 5.4 -9.9 8.9 -5.5 9.1 -0.3 -10.8 -2.3 4.2 0.1 13.6 -1.8 -3.8 7.3 -5.1 SUGAR11 -5.3 -5.8 -8.0 1.0 0.9 1.0 -1.5 -1.9 -0.9 -16.2 -9.1 -16.2 3.9 -9.4 -5.3 11.4 17.0 13.1 15.4 -11.3 -9.8 -20.0 -1.5 -18.2 -20.0 -4.5 -16.6 -4.0 -12.9 -0.6 -7.2 20.0 -20.0 -20.0 -15.7 -13.5 20.0 6.6 20.0 20.0 US10 -11.8 -7.9 0.6 -2.1 -4.6 -1.0 -4.2 -1.1 -3.2 -7.9 -0.3 -8.7 -3.6 -9.0 -8.5 -6.3 -7.8 -7.5 -7.9 -7.5 -4.4 -13.7 -5.2 -11.2 2.3 -2.3 -5.9 -0.8 -5.5 -1.1 -4.0 -9.5 -8.8 -4.7 -2.1 1.3 -20.0 -20.0 -11.4 5.0 US10U -11.5 -7.3 0.6 -3.0 -6.5 -1.4 -5.9 -1.6 -4.4 -11.1 -0.5 -12.3 -4.9 -12.8 -12.2 -4.6 -1.0 -3.1 -1.8 -10.2 -6.2 -18.6 -7.9 -15.2 -0.2 -3.1 -8.9 -1.1 -7.8 -1.7 -5.6 2.0 -10.4 -5.2 -1.2 2.5 -20.0 -20.0 17.0 14.8 US2 -9.0 -11.9 -3.7 -1.9 -4.1 -0.9 -3.7 -1.0 -2.8 -6.0 -5.6 -7.3 -7.0 -7.9 -8.2 -20.0 -20.0 -20.0 -20.0 -9.5 -6.8 -12.3 -7.5 -11.6 10.7 -2.5 -3.4 -1.3 -4.0 -1.3 -3.5 -20.0 -6.2 -6.2 -8.0 -3.1 -20.0 -20.0 -20.0 -20.0 US20 -12.9 -6.2 2.9 -2.2 -4.7 -1.0 -4.2 -1.2 -3.2 -8.0 1.6 -8.8 -2.0 -8.8 -8.0 -0.4 -0.7 -0.2 -0.4 -5.9 -2.9 -13.2 -4.5 -10.2 -1.0 -1.5 -7.3 0.0 -5.9 -0.8 -3.8 3.1 -8.4 -2.9 2.1 4.6 -20.0 -17.4 20.0 20.0 US30 -11.6 -5.1 2.6 -2.5 -5.5 -1.2 -5.0 -1.4 -3.8 -9.6 0.8 -10.5 -3.6 -10.4 -9.8 -4.8 -5.9 -6.4 -6.5 -6.7 -3.7 -14.6 -6.2 -11.2 -0.5 -1.8 -9.1 -0.1 -7.0 -1.4 -4.5 -6.6 -7.5 -2.7 3.6 4.4 -17.4 -14.3 20.0 20.0 US5 -11.2 -9.9 -2.4 -2.1 -4.6 -1.0 -4.1 -1.1 -3.1 -8.0 -2.2 -8.8 -4.9 -9.1 -8.8 -10.1 -10.2 -10.1 -10.2 -8.8 -5.4 -14.4 -5.7 -12.3 5.0 -2.5 -5.1 -1.1 -5.2 -1.0 -4.0 -13.5 -9.6 -6.0 -4.9 -0.6 -20.0 -20.0 -17.8 -7.5 VIX 9.4 14.6 9.7 -4.0 20.0 -9.9 11.6 -15.6 3.2 20.0 -20.0 15.2 -20.0 4.9 -14.0 -20.0 -20.0 -20.0 -20.0 -4.7 -19.1 17.3 -20.0 6.6 NaN -4.2 20.0 -11.7 11.8 -19.4 3.5 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 14.4 7.8 -3.7 1.2 1.0 1.2 -1.8 -2.2 -1.1 -10.4 -14.1 4.6 -20.0 11.2 -7.5 -19.0 -12.6 -16.2 -14.2 -3.9 -16.4 0.8 -20.0 4.2 1.9 -2.3 -3.0 -6.5 0.5 -8.3 1.7 -20.0 0.9 20.0 -5.3 -20.0 -6.0 -20.0 -1.3 -20.0 End of report for caleb_strategy_v3