******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240418_204012 produced at 2024-04-18 21:37:44.413105 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.24 0.0 0.00 0.00 0.00 0.00 -17.79 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.22 -0.42 0.0 0.43 -0.43 -0.22 -0.22 -15.65 16.0 -8 -8 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.28 0.0 0.00 0.00 0.00 0.00 -8.59 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.28 0.0 0.00 0.00 0.00 0.00 -4.70 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.09 -0.19 0.0 0.09 -0.09 -0.09 -0.09 -36.56 17.0 -17 -17 caleb_strategy_v3 CHF False False 0.04 -0.36 -0.18 0.0 0.52 -0.52 -0.36 -0.36 -4.60 13.0 -9 -9 caleb_strategy_v3 JPY False False 0.02 0.00 -0.15 0.0 0.40 -0.40 0.00 0.00 -6.25 17.0 0 0 caleb_strategy_v3 CAD False False 0.02 0.00 -0.15 0.0 0.61 -0.61 0.00 -0.02 -7.06 29.0 0 -1 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.00 -0.14 0.0 0.75 -0.75 0.00 0.00 -1.91 10.0 0 0 caleb_strategy_v3 US5 False False 0.03 -0.43 -0.10 0.0 0.76 -0.76 -0.43 -0.43 -3.13 25.0 -14 -14 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.04 -0.08 0.0 0.04 -0.04 -0.04 -0.04 -46.20 26.0 -25 -26 caleb_strategy_v3 EUR False False 0.04 -0.12 -0.08 0.0 0.54 -0.54 -0.12 -0.12 -1.98 14.0 -3 -3 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.07 0.0 0.08 -0.08 -0.07 -0.07 -10.34 12.0 -11 -11 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.13 -0.13 -0.02 -0.02 -21.85 51.0 -6 -6 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.06 0.0 0.01 -0.01 0.00 0.00 -13.08 3.0 0 0 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.06 0.0 0.36 -0.36 -0.01 -0.01 -10.30 66.0 -2 -1 caleb_strategy_v3 US10 False False 0.03 0.00 -0.05 0.0 0.53 -0.53 0.00 0.00 -1.64 17.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.00 -0.05 0.0 0.50 -0.50 0.00 0.00 -2.00 22.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.05 0.0 0.29 -0.29 -0.04 -0.04 -1.37 8.0 -1 -1 caleb_strategy_v3 NZD False False 0.02 -0.03 -0.04 0.0 0.36 -0.36 -0.03 -0.05 -2.51 21.0 -2 -3 caleb_strategy_v3 OATIES False True 0.00 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -7.11 2.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.62 -0.04 0.0 0.69 -0.69 -0.62 -0.62 -1.12 19.0 -17 -17 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.04 0.0 0.19 -0.19 -0.01 -0.01 -12.79 68.0 -4 -4 caleb_strategy_v3 AUD False False 0.02 -0.06 -0.04 0.0 0.35 -0.35 -0.06 -0.06 -2.37 19.0 -3 -3 caleb_strategy_v3 US10U False False 0.03 -0.10 -0.03 0.0 0.42 -0.42 -0.10 -0.13 -0.88 13.0 -3 -4 caleb_strategy_v3 SOYBEAN False False 0.02 -0.07 -0.03 0.0 0.12 -0.12 -0.07 -0.07 -1.78 7.0 -4 -4 caleb_strategy_v3 SP400 False False 0.08 0.00 -0.03 0.0 0.16 -0.16 0.00 -0.08 -0.41 2.0 0 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.03 -0.03 0.0 0.23 -0.23 -0.03 -0.01 -2.75 23.0 -3 -1 caleb_strategy_v3 SP500_micro False False 0.01 -0.10 -0.03 0.0 0.35 -0.35 -0.10 -0.10 -4.09 48.0 -14 -14 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.30 9.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.05 -0.02 0.0 0.08 -0.08 -0.05 -0.05 -2.10 10.0 -6 -6 caleb_strategy_v3 MILK False False 0.01 0.00 -0.02 0.0 0.05 -0.05 0.00 0.00 -2.12 5.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.02 0.0 0.11 -0.11 0.00 0.00 -2.86 18.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.06 -2.85 9.0 -5 -7 caleb_strategy_v3 COTTON2 False False 0.01 -0.04 -0.02 0.0 0.13 -0.13 -0.04 -0.04 -1.83 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 -6.18 59.0 0 0 caleb_strategy_v3 US30 False False 0.03 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.33 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 -0.33 9.0 0 0 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.01 0.0 0.41 -0.41 -0.04 -0.04 -0.21 10.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.01 0.0 0.07 -0.07 -0.01 -0.01 -1.61 8.0 -1 -1 caleb_strategy_v3 BUXL False False 0.04 -0.04 -0.00 0.0 0.16 -0.16 -0.04 -0.04 -0.12 4.0 -1 -1 caleb_strategy_v3 RICE False False 0.01 0.00 -0.00 0.0 0.03 -0.03 0.00 0.00 -0.40 4.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 0.09 0.00 0.0 0.09 -0.09 0.09 0.09 0.14 3.0 3 3 caleb_strategy_v3 NIKKEI False False 0.01 0.06 0.00 0.0 0.26 -0.26 0.06 0.05 0.64 36.0 9 7 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 PLAT False False 0.01 0.00 0.01 0.0 0.14 -0.14 0.00 0.00 1.05 10.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.18 0.01 0.0 0.36 -0.36 0.18 0.11 0.22 10.0 5 3 caleb_strategy_v3 OAT False False 0.04 0.04 0.01 0.0 0.39 -0.39 0.04 0.16 0.31 10.0 1 4 caleb_strategy_v3 COFFEE False False 0.03 0.05 0.01 0.0 0.15 -0.15 0.05 0.05 0.51 6.0 2 2 caleb_strategy_v3 OJ False False 0.02 0.00 0.02 0.0 0.05 -0.05 0.00 0.00 1.02 3.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.02 0.0 0.27 -0.27 0.00 0.00 1.34 23.0 0 0 caleb_strategy_v3 COCOA False False 0.03 0.10 0.02 0.0 0.83 -0.83 0.10 0.06 0.51 26.0 3 2 caleb_strategy_v3 LIVECOW False False 0.02 0.02 0.03 0.0 0.35 -0.35 0.02 0.02 1.33 17.0 1 1 caleb_strategy_v3 LEANHOG False False 0.01 0.04 0.03 0.0 0.16 -0.16 0.04 0.04 2.36 13.0 3 3 caleb_strategy_v3 GASOIL False False 0.02 0.05 0.03 0.0 0.09 -0.09 0.05 0.02 1.18 4.0 2 1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.04 0.0 0.00 -0.00 0.00 0.00 2.03 0.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.05 0.0 0.39 -0.39 0.00 0.00 6.70 56.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.07 0.0 0.13 -0.13 0.13 0.13 2.16 4.0 4 4 caleb_strategy_v3 EUROSTX False False 0.02 0.18 0.08 0.0 0.30 -0.30 0.18 0.18 5.34 20.0 12 12 caleb_strategy_v3 DAX False False 0.01 0.05 0.09 0.0 0.32 -0.32 0.05 0.05 16.26 58.0 9 9 caleb_strategy_v3 SMI False True 0.04 0.25 0.09 0.0 0.25 0.00 0.25 0.25 2.40 9.0 7 7 caleb_strategy_v3 CAC True False 0.02 0.00 0.09 0.0 0.00 0.00 0.00 0.00 3.54 12.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.19 0.16 0.0 0.19 -0.19 0.19 0.19 4.89 6.0 6 6 caleb_strategy_v3 DX False False 0.03 0.00 0.16 0.0 999.00 -999.00 0.00 0.00 5.21 999999999.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.11 0.28 0.0 0.11 -0.11 0.11 0.11 12.30 5.0 5 5 caleb_strategy_v3 MXP False False 0.01 0.46 0.42 0.0 0.50 -0.50 0.46 0.46 50.02 60.0 55 55 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 16.4 Shocked risk 51.9 Sum abs risk 57.9 Leverage 5.91 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3450049.68, 'annual_cash_vol_target': 862512.42, 'daily_cash_vol_target': 53907.02625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6435 0.6855 10.9682 BITCOIN 2021.9870 63935.0000 3.1626 50.6011 BOBL 0.2822 117.0400 0.2411 3.8583 BTP 0.6302 116.9000 0.5391 8.6259 BUND 0.5683 131.1200 0.4334 6.9344 BUXL 1.3307 130.8800 1.0167 16.2677 CAC 50.0880 7935.5000 0.6312 10.0990 CAD 0.0029 0.7268 0.3934 6.2944 CANOLA 7.2090 621.0000 1.1609 18.5738 CHF 0.0049 1.1038 0.4405 7.0481 COCOA 260.6802 11020.0000 2.3655 37.8483 COFFEE 3.8763 232.2500 1.6690 26.7046 COPPER 0.0462 4.4560 1.0362 16.5793 CORN 4.9331 460.5000 1.0713 17.1401 COTTON2 1.2967 80.8800 1.6033 25.6528 CRUDE_W 0.8614 78.1400 1.1024 17.6387 DAX 123.0746 17960.0000 0.6853 10.9643 DOW 243.9557 38009.0000 0.6418 10.2694 DX 0.3763 105.9600 0.3552 5.6827 EUR 0.0048 1.0672 0.4515 7.2236 EURIBOR-ICE 0.0535 97.3900 0.0549 0.8788 EUROSTX 35.2383 4872.0000 0.7233 11.5725 FEEDCOW 2.1466 254.1000 0.8448 13.5165 GASOIL 11.6940 782.0000 1.4954 23.9263 GASOLINE 0.0351 2.6407 1.3305 21.2885 GAS_US_mini 0.0743 2.2950 3.2356 51.7699 GBP 0.0061 1.2446 0.4928 7.8848 GOLD_micro 18.3585 2398.4000 0.7654 12.2471 HEATOIL 0.0373 2.5534 1.4620 23.3920 JGB-SGX-mini 0.2314 144.2200 0.1605 2.5675 JPY 0.0000 0.0065 0.5144 8.2302 LEANHOG 1.2592 104.2500 1.2079 19.3265 LIVECOW 1.4340 175.2750 0.8181 13.0901 LUMBER-new 6.4122 538.5000 1.1907 19.0520 MILK 0.2604 17.6400 1.4761 23.6169 MXP 0.0004 0.0580 0.6911 11.0570 NASDAQ_micro 153.3377 17565.5000 0.8729 13.9672 NIKKEI 363.7695 37790.0000 0.9626 15.4017 NZD 0.0039 0.5906 0.6529 10.4470 OAT 0.5569 126.0300 0.4419 7.0702 OATIES 5.2045 341.2500 1.5251 24.4020 OJ 5.6590 361.9000 1.5637 25.0192 PALLAD 25.5715 1033.0000 2.4755 39.6074 PLAT 15.3422 951.1000 1.6131 25.8096 REDWHEAT 9.4483 587.0000 1.6096 25.7536 RICE 0.2671 14.9450 1.7875 28.6005 ROBUSTA 60.5832 4070.0000 1.4885 23.8165 RUSSELL 22.6603 1961.0000 1.1555 18.4888 SHATZ 0.0865 105.3600 0.0821 1.3139 SILVER-mini 0.4441 28.5875 1.5535 24.8559 SMI 74.8228 11127.0000 0.6724 10.7591 SOFR 0.0728 95.8700 0.0759 1.2144 SOYBEAN 9.6079 1148.5000 0.8366 13.3850 SOYMEAL 3.9402 338.0000 1.1657 18.6517 SOYOIL 0.6619 44.6500 1.4823 23.7173 SP400 24.9939 2845.7000 0.8783 14.0529 SP500_micro 34.5603 5050.2500 0.6843 10.9492 SUGAR11 0.2951 19.6100 1.5049 24.0782 US10 0.4439 107.7344 0.4121 6.5929 US10U 0.5793 110.6562 0.5235 8.3756 US2 0.1201 101.4844 0.1183 1.8928 US20 0.8546 114.2500 0.7480 11.9688 US30 1.2285 120.4688 1.0198 16.3167 US5 0.2933 104.9688 0.2794 4.4708 VIX 0.4677 18.1000 2.5839 41.3428 WHEAT 7.7121 595.0000 1.2962 20.7384 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 643.50 0.69 441.13 1.00 441.13 53907.03 122.20 -7.48 -91.35 BITCOIN 63.94 3.16 202.20 1.00 202.20 53907.03 266.60 -2.14 -57.10 BOBL 1170.40 0.24 282.24 1.06 299.43 53907.03 180.03 -6.12 -110.17 BTP 1169.00 0.54 630.23 1.06 668.61 53907.03 80.63 0.81 6.51 BUND 1311.20 0.43 568.28 1.06 602.88 53907.03 89.42 -2.34 -20.92 BUXL 1308.80 1.02 1330.70 1.06 1411.74 53907.03 38.18 -3.15 -12.03 CAC 793.55 0.63 500.88 1.06 531.38 53907.03 101.45 10.23 103.76 CAD 726.85 0.39 285.94 1.00 285.94 53907.03 188.52 -14.44 -272.27 CANOLA 124.20 1.16 144.18 0.72 104.21 53907.03 517.28 -17.37 -898.29 CHF 1379.75 0.44 607.79 1.00 607.79 53907.03 88.69 -20.00 -177.39 COCOA 1102.00 2.37 2606.80 1.00 2606.80 53907.03 20.68 11.58 23.95 COFFEE 870.94 1.67 1453.63 1.00 1453.63 53907.03 37.08 11.70 43.38 COPPER 1114.00 1.04 1154.34 1.00 1154.34 53907.03 46.70 9.67 45.14 CORN 230.25 1.07 246.66 1.00 246.66 53907.03 218.55 -19.45 -425.04 COTTON2 404.40 1.60 648.37 1.00 648.37 53907.03 83.14 -10.30 -85.67 CRUDE_W 781.40 1.10 861.43 1.00 861.43 53907.03 62.58 18.16 113.62 DAX 179.60 0.69 123.07 1.06 130.57 53907.03 412.86 11.55 476.86 DOW 190.04 0.64 121.98 1.00 121.98 53907.03 441.94 -10.03 -443.39 DX 1059.60 0.36 376.34 1.00 376.34 53907.03 143.24 14.03 200.98 EUR 1334.06 0.45 602.30 1.00 602.30 53907.03 89.50 -8.53 -76.30 EURIBOR-ICE 2434.75 0.05 133.72 1.06 141.87 53907.03 379.98 -1.47 -56.04 EUROSTX 487.20 0.72 352.38 1.06 373.84 53907.03 144.20 10.85 156.46 FEEDCOW 1270.50 0.84 1073.29 1.00 1073.29 53907.03 50.23 -8.25 -41.42 GASOIL 782.00 1.50 1169.40 1.00 1169.40 53907.03 46.10 5.91 27.25 GASOLINE 1109.09 1.33 1475.69 1.00 1475.69 53907.03 36.53 13.63 49.78 GAS_US_mini 57.38 3.24 185.64 1.00 185.64 53907.03 290.38 -14.69 -426.62 GBP 777.88 0.49 383.34 1.00 383.34 53907.03 140.63 -5.48 -77.06 GOLD_micro 239.84 0.77 183.58 1.00 183.58 53907.03 293.64 6.69 196.44 HEATOIL 1072.43 1.46 1567.89 1.00 1567.89 53907.03 34.38 0.93 3.19 JGB-SGX-mini 144220.00 0.16 23142.72 0.01 149.69 53907.03 360.13 -4.01 -144.57 JPY 815.75 0.51 419.61 1.00 419.61 53907.03 128.47 -18.74 -240.79 LEANHOG 417.00 1.21 503.70 1.00 503.70 53907.03 107.02 3.62 38.77 LIVECOW 701.10 0.82 573.59 1.00 573.59 53907.03 93.98 4.28 40.19 LUMBER-new 148.09 1.19 176.34 1.00 176.34 53907.03 305.71 -20.00 -611.42 MILK 352.80 1.48 520.75 1.00 520.75 53907.03 103.52 -9.55 -98.88 MXP 289.95 0.69 200.37 1.00 200.37 53907.03 269.03 12.67 340.77 NASDAQ_micro 351.31 0.87 306.68 1.00 306.68 53907.03 175.78 -6.73 -118.38 NIKKEI 37790.00 0.96 36376.95 0.01 235.29 53907.03 229.11 0.26 5.89 NZD 590.65 0.65 385.66 1.00 385.66 53907.03 139.78 -6.93 -96.88 OAT 1260.30 0.44 556.91 1.06 590.83 53907.03 91.24 0.99 9.01 OATIES 170.62 1.53 260.22 1.00 260.22 53907.03 207.16 -14.11 -292.27 OJ 542.85 1.56 848.85 1.00 848.85 53907.03 63.51 7.47 47.46 PALLAD 1033.00 2.48 2557.15 1.00 2557.15 53907.03 21.08 -1.25 -2.64 PLAT 475.55 1.61 767.11 1.00 767.11 53907.03 70.27 4.38 30.80 REDWHEAT 293.50 1.61 472.42 1.00 472.42 53907.03 114.11 -10.66 -121.65 RICE 298.90 1.79 534.29 1.00 534.29 53907.03 100.89 -1.61 -16.25 ROBUSTA 407.00 1.49 605.83 1.00 605.83 53907.03 88.98 12.89 114.68 RUSSELL 98.05 1.16 113.30 1.00 113.30 53907.03 475.78 -8.11 -386.08 SHATZ 1053.60 0.08 86.52 1.06 91.79 53907.03 587.27 -14.42 -847.05 SILVER-mini 714.69 1.55 1110.26 1.00 1110.26 53907.03 48.55 12.26 59.52 SMI 1112.70 0.67 748.23 1.10 819.46 53907.03 65.78 10.70 70.39 SOFR 2396.75 0.08 181.92 1.00 181.92 53907.03 296.32 -9.88 -292.66 SOYBEAN 574.25 0.84 480.39 1.00 480.39 53907.03 112.21 -17.03 -191.12 SOYMEAL 338.00 1.17 394.02 1.00 394.02 53907.03 136.81 -18.09 -247.52 SOYOIL 267.90 1.48 397.12 1.00 397.12 53907.03 135.75 -16.61 -225.53 SP400 2845.70 0.88 2499.39 1.00 2499.39 53907.03 21.57 -5.73 -12.36 SP500_micro 252.51 0.68 172.80 1.00 172.80 53907.03 311.96 -5.64 -176.08 SUGAR11 219.63 1.50 330.52 1.00 330.52 53907.03 163.10 -8.26 -134.67 US10 1077.34 0.41 443.92 1.00 443.92 53907.03 121.43 -10.65 -129.29 US10U 1106.56 0.52 579.26 1.00 579.26 53907.03 93.06 -7.50 -69.83 US2 2029.69 0.12 240.11 1.00 240.11 53907.03 224.51 -16.53 -371.04 US20 1142.50 0.75 854.64 1.00 854.64 53907.03 63.08 -4.12 -25.98 US30 1204.69 1.02 1228.53 1.00 1228.53 53907.03 43.88 -5.88 -25.80 US5 1049.69 0.28 293.31 1.00 293.31 53907.03 183.79 -13.43 -246.84 VIX 181.00 2.58 467.69 1.00 467.69 53907.03 115.26 -12.85 -148.12 WHEAT 297.50 1.30 385.61 1.00 385.61 53907.03 139.80 -15.38 -215.00 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -91.353 0.010 2.5 -2.370 BITCOIN -57.102 0.043 2.5 -6.183 BOBL -110.169 0.004 2.5 -1.117 BTP 6.509 0.014 2.5 0.222 BUND -20.922 0.004 2.5 -0.212 BUXL -12.025 0.004 2.5 -0.122 CAC 103.761 0.014 2.5 3.539 CAD -272.273 0.010 2.5 -7.064 CANOLA -898.291 0.010 2.5 -21.854 CHF -177.387 0.010 2.5 -4.602 COCOA 23.946 0.009 2.5 0.513 COFFEE 43.382 0.005 2.5 0.507 COPPER 45.140 0.043 2.5 4.888 CORN -425.040 0.010 2.5 -10.341 COTTON2 -85.672 0.009 2.5 -1.835 CRUDE_W 113.616 0.043 2.5 12.303 DAX 476.860 0.014 2.5 16.265 DOW -443.394 0.009 2.5 -10.305 DX 200.983 0.010 2.5 5.215 EUR -76.304 0.010 2.5 -1.980 EURIBOR-ICE -56.037 0.014 2.5 -1.911 EUROSTX 156.456 0.014 2.5 5.336 FEEDCOW -41.420 0.013 2.5 -1.373 GASOIL 27.251 0.017 2.5 1.181 GASOLINE 49.777 0.017 2.5 2.158 GAS_US_mini -426.620 0.043 2.5 -46.197 GBP -77.060 0.010 2.5 -1.999 GOLD_micro 196.436 0.014 2.5 6.700 HEATOIL 3.193 0.017 2.5 0.138 JGB-SGX-mini -144.567 0.043 2.5 -15.655 JPY -240.789 0.010 2.5 -6.248 LEANHOG 38.772 0.024 2.5 2.356 LIVECOW 40.194 0.013 2.5 1.332 LUMBER-new -611.416 0.009 2.5 -13.084 MILK -98.884 0.009 2.5 -2.118 MXP 340.770 0.059 2.5 50.016 NASDAQ_micro -118.385 0.009 2.5 -2.751 NIKKEI 5.892 0.043 2.5 0.638 NZD -96.882 0.010 2.5 -2.514 OAT 9.014 0.014 2.5 0.307 OATIES -292.268 0.010 2.5 -7.110 OJ 47.458 0.009 2.5 1.016 PALLAD -2.645 0.014 2.5 -0.090 PLAT 30.799 0.014 2.5 1.050 REDWHEAT -121.650 0.005 2.5 -1.614 RICE -16.247 0.010 2.5 -0.395 ROBUSTA 114.680 0.005 2.5 1.339 RUSSELL -386.077 0.013 2.5 -12.794 SHATZ -847.049 0.004 2.5 -8.589 SILVER-mini 59.517 0.014 2.5 2.030 SMI 70.391 0.014 2.5 2.401 SOFR -292.662 0.024 2.5 -17.786 SOYBEAN -191.121 0.004 2.5 -1.778 SOYMEAL -247.519 0.004 2.5 -2.302 SOYOIL -225.527 0.004 2.5 -2.099 SP400 -12.359 0.013 2.5 -0.410 SP500_micro -176.083 0.009 2.5 -4.092 SUGAR11 -134.675 0.009 2.5 -2.864 US10 -129.285 0.005 2.5 -1.638 US10U -69.835 0.005 2.5 -0.885 US2 -371.038 0.005 2.5 -4.702 US20 -25.979 0.005 2.5 -0.329 US30 -25.805 0.005 2.5 -0.327 US5 -246.842 0.005 2.5 -3.128 VIX -148.118 0.099 2.5 -36.562 WHEAT -215.002 0.005 2.5 -2.852 ===================== Position diags ===================== AUD 3.17 BITCOIN 28.87 BOBL 1.83 BTP 2.75 BUND 0.91 BUXL 0.39 CAC 3.46 CAD 4.89 CANOLA 12.58 CHF 2.30 COCOA 0.44 COFFEE 0.43 COPPER 5.06 CORN 5.32 COTTON2 1.78 CRUDE_W 6.78 DAX 14.08 DOW 10.27 DX 3.72 EUR 2.32 EURIBOR-ICE 12.96 EUROSTX 4.92 FEEDCOW 1.66 GASOIL 2.00 GASOLINE 1.58 GAS_US_mini 31.44 GBP 3.65 GOLD_micro 10.02 HEATOIL 1.49 JGB-SGX-mini 39.00 JPY 3.33 LEANHOG 6.50 LIVECOW 3.11 LUMBER-new 6.54 MILK 2.22 MXP 39.49 NASDAQ_micro 4.09 NIKKEI 24.81 NZD 3.63 OAT 3.11 OATIES 5.04 OJ 1.36 PALLAD 0.72 PLAT 2.40 REDWHEAT 1.51 RICE 2.45 ROBUSTA 1.04 RUSSELL 15.77 SHATZ 5.96 SILVER-mini 1.66 SMI 2.24 SOFR 18.01 SOYBEAN 1.04 SOYMEAL 1.27 SOYOIL 1.26 SP400 0.71 SP500_micro 7.25 SUGAR11 3.47 US10 1.54 US10U 1.18 US2 2.84 US20 0.80 US30 0.56 US5 2.33 VIX 28.45 WHEAT 1.85 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.4 -2.7 -2.1 -3.0 -3 BITCOIN -6.2 -9.1 -3.3 0.0 0 BOBL -1.1 -1.3 -0.9 -17.0 -17 BTP 0.2 -0.1 0.5 5.0 5 BUND -0.2 -0.3 -0.1 -1.0 -1 BUXL -0.1 -0.2 -0.1 -1.0 -1 CAC 3.5 3.2 3.9 0.0 0 CAD -7.1 -7.6 -6.6 0.0 0 CANOLA -21.9 -23.1 -20.6 -6.0 -6 CHF -4.6 -4.8 -4.4 -9.0 -9 COCOA 0.5 0.5 0.6 3.0 3 COFFEE 0.5 0.5 0.5 2.0 2 COPPER 4.9 4.4 5.4 6.0 6 CORN -10.3 -10.9 -9.8 -11.0 -11 COTTON2 -1.8 -2.0 -1.7 -3.0 -3 CRUDE_W 12.3 11.6 13.0 5.0 5 DAX 16.3 14.9 17.7 9.0 9 DOW -10.3 -11.3 -9.3 -2.0 -2 DX 5.2 4.8 5.6 NaN 0 EUR -2.0 -2.2 -1.7 -3.0 -3 EURIBOR-ICE -1.9 -3.2 -0.6 0.0 0 EUROSTX 5.3 4.8 5.8 12.0 12 FEEDCOW -1.4 -1.5 -1.2 -1.0 -1 GASOIL 1.2 1.0 1.4 2.0 2 GASOLINE 2.2 2.0 2.3 4.0 4 GAS_US_mini -46.2 -49.3 -43.1 -25.0 -25 GBP -2.0 -2.4 -1.6 0.0 0 GOLD_micro 6.7 5.7 7.7 0.0 0 HEATOIL 0.1 -0.0 0.3 3.0 3 JGB-SGX-mini -15.7 -19.6 -11.8 -8.0 -8 JPY -6.2 -6.6 -5.9 0.0 0 LEANHOG 2.4 1.7 3.0 3.0 3 LIVECOW 1.3 1.0 1.6 1.0 1 LUMBER-new -13.1 -13.7 -12.4 NaN 0 MILK -2.1 -2.3 -1.9 NaN 0 MXP 50.0 46.1 54.0 55.0 55 NASDAQ_micro -2.8 -3.2 -2.3 -3.0 -3 NIKKEI 0.6 -1.8 3.1 9.0 9 NZD -2.5 -2.9 -2.2 -2.0 -2 OAT 0.3 -0.0 0.6 1.0 1 OATIES -7.1 -7.6 -6.6 NaN 0 OJ 1.0 0.9 1.2 NaN 0 PALLAD -0.1 -0.2 -0.0 0.0 0 PLAT 1.1 0.8 1.3 0.0 0 REDWHEAT -1.6 -1.8 -1.5 -1.0 -1 RICE -0.4 -0.6 -0.1 NaN 0 ROBUSTA 1.3 1.2 1.4 0.0 0 RUSSELL -12.8 -14.4 -11.2 -4.0 -4 SHATZ -8.6 -9.2 -8.0 NaN 0 SILVER-mini 2.0 1.9 2.2 NaN 0 SMI 2.4 2.2 2.6 7.0 7 SOFR -17.8 -19.6 -16.0 NaN 0 SOYBEAN -1.8 -1.9 -1.7 -4.0 -4 SOYMEAL -2.3 -2.4 -2.2 0.0 0 SOYOIL -2.1 -2.2 -2.0 -6.0 -6 SP400 -0.4 -0.5 -0.3 0.0 0 SP500_micro -4.1 -4.8 -3.4 -14.0 -14 SUGAR11 -2.9 -3.2 -2.5 0.0 0 US10 -1.6 -1.8 -1.5 0.0 0 US10U -0.9 -1.0 -0.8 -3.0 -3 US2 -4.7 -5.0 -4.4 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 -3.4 -2.9 -14.0 -14 VIX -36.6 -39.4 -33.7 -17.0 -17 WHEAT -2.9 -3.0 -2.7 -5.0 -5 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 0.3 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 0.0 0.2 0.1 -0.1 -0.7 -0.3 -0.4 -0.1 BITCOIN -0.6 0.1 0.3 0.0 0.0 0.1 0.0 0.0 0.1 -0.1 0.4 -0.1 0.5 0.0 0.1 -0.2 -0.1 -0.2 -0.2 0.2 0.2 -0.1 0.5 -0.0 -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 -0.0 -0.2 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 -0.2 -0.0 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 0.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.7 0.1 0.3 0.2 -0.1 -0.6 -0.7 0.2 -0.5 BTP -0.5 -0.2 0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.3 -0.1 0.3 -0.1 -0.0 0.1 0.1 0.1 0.1 0.0 0.1 -0.1 0.2 -0.1 -2.5 0.0 -0.0 0.2 -0.0 0.2 -0.0 0.7 0.4 0.4 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 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 0.4 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.2 0.2 0.5 0.3 0.0 -0.6 -0.7 0.5 -0.3 BUXL -0.1 -0.1 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 -0.2 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.0 0.1 -0.0 0.0 0.0 0.0 0.4 0.6 0.5 0.1 -0.7 -0.7 -0.1 -0.1 CAC -0.6 0.1 0.6 0.0 -0.1 0.2 -0.1 0.2 -0.1 -0.1 0.5 -0.2 0.7 -0.0 0.2 0.4 0.0 0.3 0.1 0.2 0.2 -0.2 0.5 -0.1 -1.6 0.1 -0.0 0.3 -0.1 0.3 -0.0 0.8 0.4 0.6 0.5 0.1 -0.3 0.3 -0.2 0.5 CAD -0.4 -0.3 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.2 -0.2 -0.3 -0.2 -0.2 -0.1 -0.0 -0.0 -0.0 -0.2 -0.1 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 -0.3 -0.2 -0.7 -0.6 -0.2 -0.5 CANOLA -0.1 0.6 0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 0.0 -0.0 -0.3 -0.1 -0.3 -0.2 -0.0 -0.1 -0.1 -0.4 -0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.0 -0.2 -0.1 0.4 -0.5 -0.7 -0.6 -0.4 -0.1 CHF -0.3 -0.6 -0.6 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.4 -0.2 -0.3 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.2 -0.2 -0.2 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -1.1 0.3 -0.4 -0.6 -0.6 -0.2 -0.6 0.1 -0.5 COCOA -0.6 0.5 -0.2 -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 0.4 0.2 -2.4 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 0.5 0.4 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 0.1 0.5 0.2 0.5 0.2 0.2 0.3 0.2 0.2 0.2 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 0.8 0.5 0.6 0.6 0.6 -0.1 -0.7 0.2 -0.3 COPPER 0.5 0.6 0.5 0.1 0.0 0.1 0.0 0.0 0.1 0.1 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 0.6 0.6 0.6 -0.7 -0.1 0.3 0.2 CORN 0.1 0.5 0.2 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.3 -0.1 -0.7 0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.1 -0.1 -0.1 -0.5 -0.1 -2.1 -0.0 -0.1 -0.2 -0.1 -0.4 -0.0 -1.1 -0.2 -0.0 0.2 -0.6 -0.4 -0.7 -0.3 0.0 COTTON2 -0.6 -0.5 0.5 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 0.4 0.1 0.2 0.1 -0.1 0.0 -0.2 0.1 -0.2 -2.7 -0.0 -0.0 0.1 -0.1 0.1 -0.0 0.2 -0.5 -0.6 -0.3 0.6 -0.3 -0.5 0.0 0.1 CRUDE_W 0.3 0.6 0.3 0.1 -0.1 0.2 -0.0 0.2 0.0 -0.2 0.3 0.1 0.5 0.2 0.2 0.4 0.2 0.3 0.3 0.2 0.2 -0.0 0.5 0.2 -0.7 0.1 -0.1 0.2 -0.0 0.2 0.1 -0.1 0.1 0.4 0.5 -0.0 0.7 0.7 0.7 0.7 DAX -0.6 0.0 0.5 0.0 -0.1 0.2 -0.1 0.2 -0.0 -0.2 0.5 -0.2 0.7 0.0 0.2 -0.2 -0.2 -0.3 -0.3 0.2 0.2 -0.2 0.5 -0.1 2.0 0.1 -0.1 0.2 -0.0 0.2 0.0 -0.6 -0.1 0.6 0.6 0.4 -0.1 0.3 0.2 0.7 DOW -0.6 -0.6 0.1 0.0 -0.1 0.1 -0.1 0.1 -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 -0.2 -1.6 0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.5 0.2 0.0 -0.5 -0.2 -0.1 -0.2 0.2 -0.5 DX 0.5 0.3 0.3 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.2 0.3 0.2 0.3 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 -0.2 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 2.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 -0.0 -0.1 0.1 0.0 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.3 -0.5 -0.3 -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 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.0 -0.1 1.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 0.1 -0.0 -0.7 -0.7 0.4 0.6 EUROSTX -0.6 -0.0 0.6 0.0 -0.1 0.2 -0.1 0.2 -0.1 -0.2 0.5 -0.2 0.7 0.0 0.2 -0.1 0.0 -0.0 0.0 0.2 0.2 -0.2 0.5 -0.0 -0.1 0.1 -0.0 0.3 -0.0 0.3 0.0 0.6 0.2 0.6 0.6 0.6 -0.5 0.3 -0.4 0.5 FEEDCOW -0.6 -0.6 0.3 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.2 -0.1 -0.0 0.0 -0.2 -0.8 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -1.1 0.1 -0.6 -0.6 0.2 0.7 0.7 0.7 0.7 GASOIL -0.0 0.2 0.3 0.1 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.3 -0.1 0.6 0.1 0.2 0.2 0.4 0.3 0.4 0.1 0.2 -0.1 0.5 0.0 0.9 0.1 -0.2 0.2 -0.1 0.3 0.0 0.8 -0.3 -0.4 -0.3 -0.0 -0.4 -0.3 -0.7 -0.6 GASOLINE 0.1 0.5 0.5 0.1 -0.1 0.2 -0.0 0.2 0.0 -0.2 0.5 0.1 0.6 0.2 0.2 0.4 0.2 0.3 0.2 0.2 0.2 -0.0 0.5 0.2 -2.7 0.1 -0.1 0.2 -0.0 0.3 0.1 -0.3 0.0 0.1 0.4 0.3 0.7 0.7 0.7 0.7 GAS_US_mini 0.2 0.0 -0.5 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 -0.4 -0.1 -0.6 -0.1 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.1 -0.5 -0.1 2.7 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -1.1 0.2 -0.6 -0.6 -0.6 -0.7 -0.1 -0.7 -0.3 GBP -0.4 -0.3 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 0.2 -0.2 0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 0.1 -0.2 0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.2 0.2 0.1 0.2 0.4 -0.7 -0.3 -0.7 -0.1 GOLD_micro 0.6 0.6 0.6 0.0 0.0 0.1 0.0 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 -0.5 0.1 0.0 0.1 0.0 0.1 0.1 -0.8 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.5 -0.4 HEATOIL -0.0 0.2 0.2 0.1 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.1 -0.1 0.4 0.0 0.2 0.1 0.4 0.3 0.4 0.1 0.1 -0.2 0.3 -0.0 -2.7 0.0 -0.2 0.2 -0.1 0.3 -0.0 0.8 -0.5 -0.6 -0.4 -0.1 0.6 0.2 0.5 0.1 JGB-SGX-mini -0.5 -0.4 -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 -0.1 -0.0 -0.1 0.1 -0.1 -1.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 1.1 -0.2 -0.3 -0.1 0.1 -0.4 -0.4 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 -0.4 -0.3 -0.3 -0.3 -0.2 -0.2 -0.2 -0.5 -0.2 2.7 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -1.1 -0.1 -0.3 -0.5 -0.6 -0.7 -0.4 -0.6 -0.4 LEANHOG -0.1 0.2 0.6 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.2 0.5 -0.1 -0.2 0.0 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 -0.1 0.0 0.0 1.7 0.1 -0.1 0.2 -0.1 0.1 0.0 -1.1 -0.3 0.4 0.6 0.6 -0.3 -0.3 0.0 0.5 LIVECOW -0.6 -0.4 0.3 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 0.1 -0.0 -0.1 0.0 -0.1 -0.0 0.4 0.1 0.4 0.3 -0.1 -0.0 -0.0 0.0 -0.2 -0.7 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.7 0.0 -0.6 -0.3 0.4 0.7 0.5 0.7 0.7 LUMBER-new -0.7 -0.4 0.2 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.2 0.2 -0.2 -0.4 -0.2 -0.1 -0.5 -0.4 -0.4 -0.4 -0.2 -0.0 -0.2 0.0 -0.2 NaN -0.1 -0.1 -0.0 -0.2 0.0 -0.1 -1.2 -0.6 -0.7 -0.7 -0.4 -0.5 -0.5 -0.3 -0.3 MILK 0.5 -0.0 0.6 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.3 0.1 -0.4 -0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.1 -0.4 0.0 1.5 -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.1 0.5 0.3 -0.5 -0.3 -0.7 -0.7 -0.7 -0.7 MXP -0.4 0.0 0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 0.5 -0.1 0.7 0.0 0.1 0.3 0.3 0.4 0.3 0.1 0.2 -0.2 0.5 -0.0 -2.7 0.1 -0.1 0.2 -0.1 0.3 0.0 1.1 -0.1 0.6 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro -0.6 -0.5 0.1 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.4 -0.1 0.5 -0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.2 0.5 -0.1 -2.7 0.0 -0.1 0.2 -0.1 0.3 -0.0 -0.4 0.3 0.1 -0.3 0.1 0.1 -0.1 0.2 -0.1 NIKKEI -0.6 -0.4 0.6 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.4 -0.2 0.6 -0.1 0.1 0.0 0.2 0.1 0.2 0.1 0.2 -0.2 0.5 -0.1 -2.1 0.0 -0.1 0.2 -0.1 0.3 -0.0 1.1 0.0 0.1 -0.0 0.6 -0.7 -0.3 -0.4 -0.3 NZD -0.3 -0.4 -0.2 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.2 0.2 0.1 -0.3 -0.2 -0.4 -0.2 -0.1 0.2 OAT -0.3 -0.3 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.7 0.3 0.4 0.3 0.1 -0.5 -0.7 0.5 0.0 OATIES -0.3 -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 -0.0 0.0 0.1 -0.4 -0.5 -0.3 -0.5 -0.0 -0.1 0.5 OJ -0.0 0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.0 0.2 0.0 0.5 0.1 0.1 0.1 0.3 0.1 0.2 0.1 0.2 0.0 0.5 0.0 -2.7 0.0 -0.0 0.2 -0.0 0.6 -0.0 1.0 0.1 0.2 -0.1 -0.0 0.3 0.3 0.7 0.7 PALLAD 0.1 0.6 0.3 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 -0.1 -0.2 -0.2 -0.1 -0.7 -0.5 -0.7 -0.3 PLAT 0.4 0.4 0.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.0 0.0 -0.3 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.1 0.1 1.4 0.0 -0.0 0.0 0.0 0.0 0.0 0.2 -0.1 0.0 -0.2 -0.1 -0.6 -0.2 0.7 0.3 REDWHEAT 0.2 0.4 0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.4 0.1 -0.7 0.1 -0.1 -0.1 0.0 0.0 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 0.4 0.0 -0.6 -0.4 -0.7 -0.0 -0.7 RICE 0.3 -0.6 -0.3 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 0.2 0.0 -0.0 0.4 -0.0 0.1 -0.0 -0.0 -0.0 0.2 0.1 0.1 -1.2 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.3 0.5 0.0 -0.5 -0.3 0.1 -0.1 0.4 0.2 ROBUSTA 0.5 0.1 0.5 -0.0 -0.1 0.0 -0.1 -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 0.2 0.1 1.1 0.5 0.6 0.6 0.6 -0.6 -0.7 -0.1 0.1 RUSSELL -0.6 -0.2 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.1 0.3 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.2 0.2 -0.1 -0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.1 0.2 -0.3 -0.4 -0.4 -0.6 -0.4 -0.7 SHATZ 0.1 -0.3 -0.5 -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 1.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.1 0.1 -0.1 -0.3 -0.7 -0.7 -0.4 -0.7 SILVER-mini 0.6 0.6 0.4 0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.3 0.1 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 0.0 0.1 0.1 -0.1 0.4 0.6 0.6 0.6 -0.5 -0.6 0.6 0.1 SMI -0.6 0.0 0.4 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.2 0.4 -0.2 0.4 -0.1 0.1 -0.0 0.1 0.0 0.1 0.0 0.1 -0.2 0.3 -0.1 1.9 0.0 -0.1 0.2 -0.1 0.2 -0.0 0.9 -0.2 0.4 0.1 -0.1 0.5 -0.1 0.7 -0.1 SOFR -0.6 -0.4 -0.2 -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 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.2 -0.3 -0.2 -0.1 0.0 -0.5 -0.7 0.2 -0.1 SOYBEAN -0.2 0.6 -0.4 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.2 -0.4 -0.2 -0.3 0.0 -0.1 -0.1 0.2 0.0 0.1 -0.1 -0.2 -0.2 -0.4 -0.1 -2.7 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 0.7 -0.5 -0.5 0.3 -0.6 -0.4 -0.7 -0.3 -0.7 SOYMEAL 0.1 0.3 -0.6 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.0 -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 0.3 0.2 0.0 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.4 0.6 0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.3 -0.1 -2.7 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.5 -0.6 0.1 -0.2 -0.7 -0.4 -0.3 0.2 SP400 -0.6 -0.1 0.5 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.4 -0.2 0.4 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.2 -0.2 0.4 -0.1 -1.5 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.1 -0.1 0.2 0.1 -0.1 -0.4 -0.3 -0.3 -0.7 SP500_micro -0.6 -0.4 0.4 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.5 -0.2 0.6 -0.1 0.1 -0.2 -0.2 -0.3 -0.3 0.1 0.2 -0.2 0.5 -0.1 -2.7 0.0 -0.1 0.2 -0.1 0.3 -0.0 -0.6 0.2 0.1 -0.0 0.4 -0.1 -0.1 0.2 -0.2 SUGAR11 -0.5 -0.2 -0.3 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.3 -0.2 0.1 -0.1 -0.1 0.2 0.3 0.2 0.3 -0.2 -0.1 -0.2 -0.1 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 1.1 -0.5 -0.6 -0.6 -0.5 0.7 0.2 0.7 0.7 US10 -0.5 -0.4 -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 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.5 -0.1 -0.1 -0.0 0.0 -0.7 -0.7 -0.3 0.2 US10U -0.5 -0.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 -0.0 0.1 -0.7 -0.7 0.6 0.5 US2 -0.4 -0.5 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -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 -0.2 -0.2 -0.2 -0.1 -0.7 -0.7 -0.7 -0.7 US20 -0.6 -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 -0.0 -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 -0.0 -0.0 0.2 -0.1 -0.0 0.1 0.1 -0.7 -0.6 0.7 0.7 US30 -0.5 -0.3 0.0 -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 -0.1 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.3 -0.0 -0.0 0.1 0.1 -0.6 -0.5 0.7 0.7 US5 -0.5 -0.4 -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 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.7 -0.2 -0.2 -0.1 -0.0 -0.7 -0.7 -0.5 -0.2 VIX 0.7 0.8 0.6 -0.0 0.1 -0.4 0.2 -0.8 0.1 0.1 -0.9 0.2 -1.2 0.1 -0.1 -0.6 -0.6 -0.6 -0.6 -0.0 -0.3 0.2 -0.9 0.1 NaN -0.0 0.1 -0.4 0.2 -1.1 0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.3 0.3 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.2 -0.4 -0.1 -0.7 0.1 -0.1 -0.4 -0.3 -0.3 -0.3 -0.1 -0.2 -0.1 -0.5 -0.0 0.3 -0.0 -0.1 -0.2 -0.1 -0.3 -0.0 -1.1 -0.3 0.4 -0.1 -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 -5.1 -0.7 -3.0 -3.1 -7.0 -0.5 -8.3 1.3 -5.9 -13.0 -5.0 -13.0 -9.0 -9.9 -12.5 -2.6 -2.9 -2.8 -2.8 -5.9 -3.6 -14.3 -4.1 -9.8 2.5 -2.5 -8.4 -1.4 -8.3 -1.7 -4.9 -0.9 1.4 7.4 3.6 -3.3 -20.0 -10.3 -13.3 -2.1 BITCOIN -18.6 1.8 8.4 4.4 0.2 2.2 2.7 0.6 4.9 -11.6 14.1 -11.5 15.0 3.6 10.6 -7.8 -7.4 -8.6 -8.3 14.3 20.0 -15.7 19.0 -2.0 -20.0 5.1 -2.9 7.0 -2.3 6.2 1.0 -3.2 -20.0 -20.0 20.0 20.0 -8.6 -0.2 17.3 3.4 BOBL -1.2 -6.2 -8.4 -2.2 -3.7 -1.1 -4.0 -1.0 -3.3 -7.5 -2.8 -7.0 -2.5 -6.8 -8.3 13.0 -10.0 -1.1 -8.5 -5.3 -3.6 -6.2 -3.4 -5.4 5.3 -1.5 -4.0 -1.0 -2.4 -1.0 -1.4 -12.8 6.2 10.6 4.9 -3.0 -18.7 -20.0 7.3 -16.5 BTP -16.4 -6.0 2.4 -3.6 -6.0 -1.7 -6.5 -1.6 -5.4 -11.6 9.8 -11.9 9.6 -8.1 -4.6 4.6 6.1 4.8 5.1 0.1 6.7 -9.1 7.4 -6.0 -18.9 3.3 -5.5 6.0 -3.9 5.7 -0.4 14.0 16.0 12.3 20.0 13.6 -6.3 -11.5 20.0 2.5 BUND -3.6 -5.9 -3.6 -2.5 -4.1 -1.2 -4.5 -1.1 -3.7 -8.2 -0.5 -7.9 -0.9 -7.4 -8.9 -9.3 0.7 -5.9 -2.7 -3.9 -1.7 -5.9 -2.2 -4.9 2.9 0.2 -3.9 0.5 -1.9 -0.1 -0.1 2.9 9.5 15.6 9.4 0.4 -16.7 -20.0 14.7 -8.3 BUXL -4.5 -4.1 1.6 -3.0 -5.0 -1.5 -5.5 -1.4 -4.5 -9.7 1.3 -9.6 -2.7 -8.7 -10.5 -7.6 -1.9 -5.8 -3.7 -2.9 -0.7 -6.0 -3.2 -4.5 -0.9 2.4 -3.8 2.0 -0.9 0.2 1.9 0.0 15.7 20.0 15.9 4.5 -20.0 -20.0 -3.0 -1.9 CAC -20.0 2.0 18.2 2.8 -12.2 6.8 -11.5 6.1 -5.1 -9.7 20.0 -18.5 20.0 -3.4 17.9 20.0 1.8 14.0 6.3 16.9 20.0 -18.7 20.0 -7.0 -12.0 6.5 -3.6 9.4 -4.9 8.3 -0.4 15.7 17.6 20.0 16.3 4.4 -8.4 10.0 -5.8 14.8 CAD -11.0 -8.0 -3.7 -4.5 -10.1 -0.8 -12.0 1.9 -8.6 -15.4 -8.6 -19.6 -7.9 -20.0 -20.0 -2.7 -2.3 -2.5 -2.3 -16.0 -8.8 -20.0 -6.6 -20.0 -0.5 -6.6 -7.2 -3.6 -11.2 -2.6 -9.8 0.0 -5.8 -2.4 -9.8 -5.9 -20.0 -16.7 -6.3 -13.5 CANOLA -2.5 20.0 2.4 -0.1 -3.6 0.4 -3.0 -1.2 -1.8 -9.9 -7.9 -9.1 -8.6 3.7 -0.2 -15.4 -6.9 -14.5 -12.3 -0.7 -7.9 -9.5 -13.7 -1.9 -20.0 -0.1 -5.0 -2.9 -3.6 -5.4 -0.6 -18.4 -9.6 -4.5 13.7 -14.2 -20.0 -17.7 -13.3 -4.4 CHF -10.1 -20.0 -20.0 -3.7 -8.2 -0.6 -9.7 1.5 -7.0 -13.4 -14.5 -16.6 -7.5 -18.4 -19.4 -16.1 -15.8 -16.0 -15.9 -20.0 -20.0 -16.4 -8.4 -20.0 -1.1 -6.4 -1.7 -4.0 -3.7 -1.3 -6.0 -20.0 14.6 -11.7 -20.0 -20.0 -6.3 -16.8 1.9 -15.7 COCOA -19.7 16.6 -5.1 -0.1 -3.0 0.3 -2.6 -1.0 -1.5 6.6 10.0 7.8 10.0 9.1 9.7 20.0 15.1 20.0 20.0 20.0 20.0 17.7 14.4 20.0 -17.7 3.5 1.4 3.5 1.7 3.0 2.7 20.0 20.0 20.0 20.0 20.0 1.2 -0.3 6.6 9.4 COFFEE 20.0 14.1 11.4 -0.1 -7.6 0.8 -6.4 -2.5 -3.7 13.8 19.4 20.0 14.7 20.0 19.2 12.6 8.3 12.0 10.7 20.0 20.0 20.0 13.7 20.0 -20.0 7.3 10.0 4.4 12.5 2.8 10.9 14.4 20.0 20.0 20.0 20.0 -3.5 -20.0 5.5 -9.8 COPPER 16.9 20.0 15.8 5.3 0.2 2.7 3.3 0.8 5.9 15.5 16.0 18.6 3.4 20.0 19.6 -5.2 -5.0 -5.4 -5.5 20.0 20.0 20.0 8.7 20.0 -15.6 7.0 6.6 4.5 6.9 2.0 7.9 1.2 20.0 18.4 20.0 17.1 -20.0 -2.6 9.2 5.9 CORN 2.7 15.3 5.1 -0.1 -6.2 0.7 -5.2 -2.1 -3.0 -16.4 -12.1 -10.6 -18.3 5.1 -7.9 -20.0 -9.7 -18.8 -15.5 -6.1 -13.9 -9.6 -20.0 -4.7 -15.7 -3.7 -9.0 -8.0 -4.7 -10.1 -1.8 -20.0 -9.0 -0.5 6.1 -20.0 -11.6 -20.0 -10.5 0.6 COTTON2 -20.0 -15.5 16.7 -0.1 -4.2 0.4 -3.6 -1.4 -2.1 -11.8 0.0 -13.0 1.5 -12.7 -4.7 18.1 3.3 11.4 5.6 -8.8 0.8 -20.0 2.1 -20.0 -20.0 -0.6 -5.5 2.2 -5.7 2.3 -4.3 4.6 -20.0 -20.0 -8.5 20.0 -10.5 -14.0 0.6 1.9 CRUDE_W 8.5 17.3 9.9 7.0 -10.3 5.9 -2.7 4.5 4.1 -19.0 11.3 11.0 14.8 20.0 20.0 18.3 11.6 15.2 12.9 20.0 20.0 -1.2 18.1 20.0 -5.5 8.4 -9.2 6.9 -1.3 6.0 5.9 -1.1 2.1 13.9 15.7 -0.1 20.0 19.5 20.0 20.0 DAX -20.0 0.3 15.7 2.5 -10.7 6.0 -10.2 5.4 -4.5 -19.8 20.0 -20.0 20.0 0.7 14.0 -11.5 -11.7 -13.1 -13.0 18.0 20.0 -20.0 20.0 -4.9 15.3 6.7 -5.8 8.1 -4.4 6.5 1.2 -11.3 -6.0 20.0 20.0 13.2 -2.3 9.0 5.7 20.0 DOW -20.0 -20.0 2.9 1.8 -7.7 4.3 -7.3 3.9 -3.2 -14.1 13.1 -15.6 14.1 -13.4 -2.5 -11.3 -11.1 -12.2 -12.0 -3.4 11.3 -20.0 16.3 -19.0 -11.9 0.4 -6.7 5.3 -8.1 6.9 -5.2 -9.9 7.4 0.6 -14.3 -4.8 -3.4 -7.4 5.0 -16.2 DX 15.2 8.5 8.0 -4.2 -9.3 -0.7 -11.0 1.7 -7.9 17.0 9.7 19.4 6.9 19.5 19.3 7.3 6.5 7.1 6.8 19.3 11.0 20.0 7.2 20.0 -20.0 6.3 7.6 3.3 10.3 2.2 9.3 15.4 20.0 20.0 20.0 20.0 20.0 4.3 20.0 10.5 EUR -13.2 -4.4 -5.4 -3.8 -8.6 -0.7 -10.2 1.6 -7.3 -14.4 -5.3 -16.3 -4.6 -15.3 -15.5 -6.7 -6.8 -6.7 -6.6 -11.8 -6.3 -20.0 -3.8 -18.2 17.4 -4.2 -7.2 -1.5 -9.7 -0.6 -7.7 -7.4 -1.5 -3.1 1.7 0.3 -20.0 -14.8 -20.0 -11.8 EURIBOR-ICE -10.6 -14.9 -8.2 -2.1 -3.4 -1.0 -3.7 -0.9 -3.1 -7.2 1.8 -7.2 2.3 -7.1 -7.2 -4.9 -4.1 -3.5 -3.1 -4.9 0.0 -9.3 1.8 -7.6 12.7 -1.6 -4.6 0.5 -3.9 1.2 -2.9 -1.7 -1.6 2.7 2.2 -0.6 -20.0 -20.0 11.0 17.7 EUROSTX -20.0 -0.9 20.0 2.6 -11.2 6.2 -10.6 5.7 -4.7 -18.8 20.0 -20.0 20.0 0.5 18.6 -7.0 0.5 -1.6 0.3 20.0 20.0 -19.1 20.0 -2.7 -0.5 7.1 -4.9 9.6 -4.1 8.4 0.8 10.9 10.1 20.0 20.0 18.1 -14.2 9.9 -13.0 16.1 FEEDCOW -20.0 -20.0 10.0 -0.1 -5.8 0.6 -5.0 -2.0 -2.9 13.1 -3.2 -8.0 -1.3 -12.1 -4.8 -20.0 -20.0 -20.0 -20.0 -14.7 -5.5 -4.0 0.1 -18.9 -6.2 -3.5 4.8 -1.1 -0.0 1.5 -4.1 -20.0 3.2 -20.0 -20.0 5.8 20.0 20.0 20.0 20.0 GASOIL -1.0 4.8 8.7 6.0 -8.9 5.1 -2.3 3.8 3.5 -19.7 11.8 -5.4 15.3 7.3 17.8 9.3 20.0 17.2 19.9 12.8 15.1 -12.2 16.8 3.9 6.9 5.8 -16.8 7.0 -6.4 7.6 1.6 14.9 -12.2 -11.3 -9.6 -0.9 -12.0 -9.0 -20.0 -17.1 GASOLINE 1.6 15.7 15.8 6.8 -10.0 5.7 -2.6 4.3 4.0 -18.4 19.0 4.7 17.9 20.0 20.0 20.0 11.5 13.2 7.8 20.0 20.0 -2.4 20.0 17.3 -20.0 8.5 -8.7 7.8 -1.5 7.0 5.1 -5.0 1.5 4.4 13.3 10.4 20.0 20.0 20.0 20.0 GAS_US_mini 5.5 0.7 -14.6 4.2 -6.2 3.5 -1.6 2.7 2.5 -10.9 -16.4 -10.4 -16.9 -12.9 -15.5 -20.0 -20.0 -20.0 -20.0 -13.7 -20.0 -6.4 -20.0 -7.6 20.0 -6.2 -2.5 -7.8 -3.4 -7.8 -4.4 -20.0 9.4 -17.7 -20.0 -20.0 -20.0 -3.4 -20.0 -8.3 GBP -13.0 -8.2 -2.2 -4.2 -9.5 -0.7 -11.2 1.7 -8.0 -19.1 6.7 -20.0 6.0 -19.1 -14.2 -1.1 -0.7 -0.8 -0.7 -9.1 -0.9 -19.7 3.1 -16.9 1.8 -2.7 -8.6 1.5 -10.5 2.6 -7.7 2.8 7.0 2.8 5.8 12.0 -20.0 -8.8 -20.0 -2.4 GOLD_micro 20.0 20.0 17.0 4.5 0.2 2.3 2.8 0.6 5.0 13.7 17.1 16.6 13.3 17.9 17.8 -13.7 -14.6 -14.7 -14.8 20.0 20.0 20.0 15.9 20.0 -4.1 6.2 2.0 4.5 4.1 2.7 6.2 -15.0 20.0 20.0 20.0 20.0 -20.0 -20.0 -14.4 -12.2 HEATOIL -0.6 5.1 5.5 6.2 -9.1 5.2 -2.4 3.9 3.6 -20.0 2.8 -11.9 10.3 3.7 15.1 3.0 20.0 13.3 18.4 8.2 9.8 -18.1 11.6 -0.9 -20.0 4.5 -19.1 6.8 -10.5 8.7 -1.5 14.2 -20.0 -18.2 -13.4 -2.5 17.5 5.5 14.0 1.9 JGB-SGX-mini -15.0 -13.6 -4.5 -2.5 -4.1 -1.2 -4.5 -1.1 -3.7 -8.9 2.9 -9.1 5.4 -7.8 -6.8 8.4 15.7 10.6 12.0 -6.2 -0.9 -14.5 2.1 -11.5 -7.6 -2.7 -4.8 -0.9 -5.9 -0.3 -4.7 20.0 -8.2 -8.1 -3.3 2.8 -11.9 -13.3 0.4 10.0 JPY -12.9 -7.5 -16.2 -3.5 -7.8 -0.6 -9.3 1.4 -6.7 -15.9 -18.7 -17.8 -18.6 -18.8 -19.2 -17.6 -16.6 -17.1 -16.8 -20.0 -20.0 -20.0 -20.0 -20.0 20.0 -6.4 -5.8 -5.5 -7.1 -6.2 -7.2 -20.0 -2.4 -8.5 -14.1 -20.0 -20.0 -11.2 -18.0 -11.1 LEANHOG -3.2 7.0 20.0 -0.1 -8.1 0.9 -6.9 -2.7 -4.0 -19.5 17.1 -7.5 -4.7 1.9 19.2 -20.0 -20.0 -20.0 -20.0 16.9 15.2 -13.0 1.2 4.4 12.4 6.2 -7.2 7.7 -6.1 2.4 0.0 -20.0 -11.8 11.6 20.0 20.0 -7.7 -8.8 1.1 14.7 LIVECOW -20.0 -13.3 10.6 -0.1 -5.8 0.6 -4.9 -1.9 -2.9 12.3 -0.3 -8.9 0.6 -11.7 -0.7 20.0 5.4 20.0 13.8 -9.3 -2.2 -5.5 1.3 -14.8 -5.2 -1.1 3.0 1.1 -0.5 3.1 -3.1 13.1 1.2 -20.0 -8.7 12.3 20.0 14.3 20.0 20.0 LUMBER-new -20.0 -11.6 5.3 -0.1 -8.1 0.9 -6.9 -1.8 -4.0 -20.0 7.2 -20.0 -10.2 -20.0 -10.3 -20.0 -16.4 -19.2 -17.4 -19.8 -1.6 -20.0 0.1 -20.0 NaN -4.9 -12.5 -0.3 -13.2 0.7 -10.6 -20.0 -20.0 -20.0 -20.0 -10.0 -13.5 -12.7 -7.0 -7.2 MILK 14.2 -1.2 20.0 -0.1 -3.9 0.4 -3.3 -1.3 -1.9 10.1 -10.7 8.8 -11.7 -4.0 -6.5 -20.0 -20.0 -20.0 -20.0 -6.1 -10.8 9.0 -15.0 1.0 11.4 -2.5 4.3 -4.2 3.1 -6.0 0.2 -20.0 20.0 7.7 -14.7 -10.6 -20.0 -20.0 -20.0 -20.0 MXP -11.6 0.2 1.6 -4.3 -9.5 -0.7 -11.3 1.8 -8.1 -19.2 20.0 -13.7 20.0 3.0 13.6 17.1 17.3 17.6 17.0 12.8 18.8 -20.0 20.0 -2.1 -20.0 5.5 -13.6 6.8 -8.3 7.6 0.2 20.0 -3.4 20.0 20.0 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -20.0 -14.3 4.2 1.6 -6.7 3.8 -6.4 3.4 -2.8 -12.7 13.2 -11.8 14.1 -6.0 8.4 -10.8 -10.4 -11.3 -11.0 2.7 13.9 -19.9 19.1 -9.8 -20.0 1.3 -9.4 6.3 -7.5 8.8 -3.9 -8.4 13.4 3.8 -9.1 3.6 2.2 -1.5 7.1 -2.4 NIKKEI -20.0 -11.9 18.0 2.0 -8.4 4.7 -8.0 4.3 -3.5 -15.7 15.5 -14.7 17.1 -6.3 12.2 2.2 10.2 5.9 8.5 13.1 20.0 -20.0 20.0 -8.9 -15.8 3.7 -8.8 7.8 -6.7 8.5 -2.3 20.0 1.4 2.8 -0.8 20.0 -19.8 -7.6 -10.9 -8.7 NZD -7.8 -12.2 -6.0 -3.0 -6.8 -0.5 -8.0 1.3 -5.8 -11.3 -3.1 -12.4 -3.9 -13.3 -13.4 0.0 0.3 0.2 0.2 -10.8 -5.4 -13.6 -3.0 -13.6 0.5 -4.4 -4.8 -2.0 -5.9 -0.8 -5.6 4.3 7.8 1.9 -9.8 -5.9 -12.0 -6.7 -4.4 5.5 OAT -8.6 -8.1 -2.9 -2.7 -4.5 -1.3 -4.9 -1.2 -4.1 -8.9 1.1 -9.0 0.6 -9.3 -9.7 4.5 6.0 4.7 5.0 -4.5 -0.7 -7.5 -0.7 -6.6 3.4 -0.1 -4.8 1.3 -3.1 0.9 -1.1 13.8 10.8 12.2 9.5 1.6 -16.4 -20.0 14.3 1.2 OATIES -8.8 -4.2 -9.4 0.2 -5.1 0.7 -4.0 -1.8 -2.2 12.2 -16.4 0.2 -14.2 -7.7 -10.0 10.1 0.1 8.3 3.9 -12.6 -14.8 -0.2 -14.4 -9.7 -20.0 -4.8 3.9 -4.5 0.2 -4.0 -4.0 0.4 5.4 -12.8 -15.6 -8.5 -15.5 -1.1 -3.8 15.7 OJ -0.3 1.0 -2.6 -0.1 -6.2 0.7 -5.3 -2.1 -3.1 -1.8 8.3 3.8 14.6 5.8 13.7 4.9 13.5 6.5 9.3 8.5 14.7 0.2 20.0 4.6 -20.0 1.1 -2.9 6.2 -1.3 16.2 -0.7 18.4 4.2 7.6 -4.3 -1.2 10.2 9.1 20.0 20.0 PALLAD 3.9 17.8 9.0 2.3 0.1 1.2 1.4 0.3 2.5 -4.2 -3.1 -1.5 -7.6 3.1 -0.1 -1.8 -2.1 -1.8 -1.9 1.6 -2.5 -0.2 -9.0 2.0 11.6 1.6 -1.1 -0.7 0.2 -3.7 1.6 7.0 -3.2 -6.8 -6.3 -3.5 -20.0 -13.9 -20.0 -8.7 PLAT 12.9 12.4 1.6 3.3 0.1 1.7 2.1 0.5 3.7 -5.9 -1.0 4.0 -7.6 7.2 -0.3 -4.5 -3.6 -4.3 -4.0 5.3 1.0 1.1 -2.3 6.9 10.4 3.2 -4.0 1.4 0.7 0.2 3.6 3.9 -3.1 0.5 -6.8 -3.9 -17.8 -5.2 20.0 7.9 REDWHEAT 6.6 12.3 0.6 -0.1 -6.3 0.7 -5.4 -2.1 -3.1 -7.3 -16.7 6.0 -18.9 8.1 -8.6 -3.3 0.7 1.5 1.2 -6.0 -17.0 -1.5 -20.0 -0.3 -7.6 -3.1 -3.0 -8.8 -0.1 -11.6 0.8 -0.4 11.0 13.8 0.9 -20.0 -10.7 -20.0 -0.7 -20.0 RICE 7.9 -20.0 -8.8 -0.1 -3.7 0.4 -3.2 -1.2 -1.8 10.4 -0.1 8.6 5.4 0.4 -3.0 20.0 -0.9 5.0 -1.8 -2.4 -0.5 17.9 2.7 4.8 -8.7 -1.3 5.9 -0.7 4.8 0.2 0.8 -4.9 20.0 1.0 -15.8 -10.3 4.2 -3.9 13.1 7.0 ROBUSTA 16.6 4.0 17.0 -0.1 -5.7 0.6 -4.8 -1.9 -2.8 10.9 18.5 16.1 18.3 17.6 18.3 12.9 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 6.9 7.0 6.5 7.4 5.9 7.3 20.0 20.0 20.0 20.0 20.0 -18.0 -20.0 -3.7 3.2 RUSSELL -20.0 -6.0 8.2 1.4 -6.2 3.5 -5.9 3.1 -2.6 -11.9 9.6 -12.4 8.4 -8.6 0.7 -6.4 -6.4 -6.5 -6.5 -1.5 5.6 -20.0 5.7 -12.5 -1.6 0.2 -8.6 3.0 -8.0 3.1 -4.3 -1.0 2.3 6.5 -7.8 -11.5 -12.7 -19.3 -13.1 -20.0 SHATZ 1.9 -8.0 -15.5 -2.1 -3.5 -1.0 -3.8 -1.0 -3.1 -6.6 -7.6 -6.2 -7.5 -6.9 -8.4 -20.0 -20.0 -20.0 -20.0 -8.8 -8.3 -6.3 -8.3 -6.9 7.7 -2.7 -2.6 -2.2 -2.1 -2.0 -2.3 -20.0 5.2 3.7 -2.2 -8.2 -20.0 -20.0 -13.1 -20.0 SILVER-mini 20.0 20.0 11.1 4.0 0.2 2.0 2.5 0.6 4.4 2.7 9.9 12.3 3.8 14.3 13.0 -6.5 -6.7 -6.7 -6.8 20.0 13.2 18.3 5.3 20.0 3.6 5.3 1.0 3.3 3.4 1.6 5.5 -1.2 15.3 20.0 20.0 17.9 -15.3 -17.0 17.5 2.4 SMI -20.0 0.4 12.9 2.2 -9.5 5.3 -9.0 4.8 -4.0 -17.8 15.6 -19.3 12.3 -9.2 6.1 -2.4 4.3 1.8 3.9 3.4 11.9 -20.0 9.6 -13.7 14.5 3.3 -9.8 5.9 -8.4 4.4 -2.9 17.4 -7.5 13.3 4.5 -1.7 13.7 -1.7 20.0 -3.7 SOFR -17.9 -12.9 -6.5 -2.7 -4.4 -1.3 -4.8 -1.2 -4.0 -8.0 -0.4 -9.5 -1.8 -10.1 -10.0 -2.6 -0.3 -1.1 -0.5 -10.6 -5.4 -15.4 -3.6 -14.9 -2.4 -2.9 -3.8 -1.0 -5.0 -0.5 -4.5 3.9 -10.9 -6.1 -2.3 0.7 -16.3 -20.0 5.2 -2.1 SOYBEAN -5.1 17.6 -12.3 -0.1 -6.9 0.7 -5.9 -2.3 -3.4 -18.3 -13.9 -19.3 -7.1 0.2 -9.5 -3.3 10.8 1.8 5.9 -8.2 -14.3 -17.8 -14.9 -9.3 -20.0 -2.8 -11.4 -4.6 -8.2 -4.2 -3.8 12.8 -20.0 -14.0 8.3 -20.0 -11.3 -20.0 -9.8 -20.0 SOYMEAL 4.4 10.6 -20.0 -0.1 -6.3 0.7 -5.3 -2.1 -3.1 -3.6 -18.1 -4.0 -15.1 -2.3 -15.9 -4.7 6.8 -4.0 0.4 -13.0 -20.0 -0.8 -18.6 -3.5 -20.0 -4.2 -0.6 -8.1 0.7 -5.8 0.1 5.0 13.3 4.8 1.1 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -12.2 19.8 0.8 -0.1 -4.5 0.5 -3.8 -1.5 -2.2 -12.6 -11.3 -13.5 -10.1 -5.7 -4.1 -7.1 0.9 -6.6 -3.8 -5.5 -8.0 -20.0 -11.0 -11.7 -20.0 -1.2 -9.5 -1.0 -8.2 -1.8 -4.4 -4.1 -20.0 -20.0 3.5 -5.5 -20.0 -11.7 -9.6 5.1 SP400 -20.0 -1.9 15.5 1.7 -7.4 4.1 -7.0 3.7 -3.1 -14.2 13.2 -14.4 12.4 -5.7 5.9 -4.7 -5.3 -5.1 -5.3 5.3 14.7 -20.0 13.5 -13.0 -11.4 2.3 -9.0 4.8 -7.8 4.4 -3.0 1.0 -3.6 6.9 4.1 -1.9 -12.3 -9.6 -10.1 -20.0 SP500_micro -20.0 -11.1 13.4 2.0 -8.4 4.7 -8.0 4.3 -3.6 -16.1 16.9 -15.9 17.2 -5.9 10.8 -12.4 -11.7 -12.9 -12.6 7.9 20.0 -20.0 20.0 -12.8 -20.0 2.9 -9.4 7.5 -8.3 8.3 -3.5 -10.8 6.3 2.5 -0.6 12.6 -2.1 -3.9 6.5 -5.0 SUGAR11 -16.3 -7.3 -9.5 -0.1 -5.6 0.6 -4.7 -1.9 -2.8 -13.2 -10.2 -15.9 2.8 -12.7 -8.4 8.9 16.7 12.0 14.7 -17.0 -12.3 -20.0 -2.8 -20.0 -20.0 -4.9 -8.9 -3.6 -10.8 -0.8 -7.8 20.0 -20.0 -20.0 -20.0 -15.0 20.0 7.0 20.0 20.0 US10 -16.7 -10.9 -1.1 -2.2 -3.7 -1.1 -4.0 -1.0 -3.3 -6.6 -1.1 -7.9 -3.7 -8.5 -8.3 -5.7 -7.7 -7.2 -7.7 -8.5 -5.1 -11.8 -5.4 -11.7 2.2 -2.4 -3.0 -1.0 -4.1 -1.0 -3.8 -9.0 -5.9 -3.9 -1.3 1.3 -20.0 -20.0 -9.9 4.6 US10U -16.3 -10.3 -0.8 -3.2 -5.2 -1.5 -5.7 -1.4 -4.7 -9.1 -1.5 -11.2 -5.1 -12.1 -11.9 -4.5 -1.0 -3.2 -1.8 -11.8 -7.2 -16.3 -8.1 -16.1 -0.2 -3.4 -4.4 -1.4 -5.9 -1.6 -5.4 2.2 -5.1 -3.7 -0.2 2.7 -20.0 -20.0 18.3 14.0 US2 -13.1 -14.6 -7.6 -2.0 -3.4 -1.0 -3.7 -0.9 -3.0 -7.0 -5.9 -7.5 -6.9 -7.9 -8.1 -20.0 -20.0 -20.0 -20.0 -10.5 -7.6 -10.9 -7.9 -12.1 10.4 -2.6 -2.2 -1.4 -3.1 -1.3 -3.3 -20.0 -8.4 -6.8 -6.5 -3.0 -20.0 -20.0 -20.0 -20.0 US20 -18.5 -9.8 1.3 -2.3 -3.8 -1.1 -4.1 -1.0 -3.4 -6.5 0.9 -8.1 -2.2 -8.5 -8.0 -0.4 -0.7 -0.2 -0.4 -7.4 -3.8 -11.9 -4.8 -11.2 -1.0 -2.0 -3.5 -0.4 -4.5 -0.8 -3.8 3.4 -2.5 -1.5 2.3 4.4 -20.0 -16.8 20.0 20.0 US30 -16.8 -8.8 1.3 -2.7 -4.5 -1.3 -4.9 -1.2 -4.0 -8.0 0.0 -9.7 -3.7 -10.2 -9.8 -3.9 -5.8 -5.9 -6.3 -8.4 -4.8 -13.4 -6.5 -12.6 -0.4 -2.3 -4.4 -0.6 -5.5 -1.3 -4.5 -6.0 -0.9 -0.1 3.6 4.6 -18.7 -13.9 20.0 20.0 US5 -15.9 -12.7 -4.6 -2.2 -3.7 -1.1 -4.0 -1.0 -3.3 -6.8 -3.1 -8.0 -5.0 -8.6 -8.5 -9.6 -10.2 -9.9 -10.1 -9.8 -6.1 -12.3 -5.9 -12.6 4.8 -2.6 -2.8 -1.2 -3.9 -1.0 -3.7 -13.1 -8.4 -5.9 -3.8 -0.6 -20.0 -20.0 -15.7 -7.4 VIX 13.7 15.8 11.2 -2.0 6.1 -8.6 8.9 -14.7 4.9 5.3 -20.0 11.0 -20.0 7.1 -8.2 -20.0 -20.0 -20.0 -20.0 -1.8 -16.4 12.3 -20.0 8.3 NaN -2.1 6.4 -10.2 8.9 -18.4 5.3 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 8.8 8.1 -2.0 -0.1 -7.0 0.7 -5.9 -2.3 -3.4 -17.7 -14.0 -11.7 -20.0 6.1 -8.6 -19.6 -12.9 -16.7 -14.6 -6.0 -16.6 -11.2 -20.0 -2.9 2.0 -3.4 -9.3 -6.9 -5.4 -8.8 -1.7 -20.0 -12.2 11.7 -2.8 -20.0 -5.6 -20.0 -0.5 -20.0 End of report for caleb_strategy_v3