******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240425_204014 produced at 2024-04-25 21:38:10.642735 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.31 0.0 0.00 0.00 0.00 0.00 -19.19 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.21 -0.48 0.0 0.42 -0.42 -0.21 -0.21 -18.12 16.0 -8 -8 caleb_strategy_v3 EURIBOR-ICE False False 0.07 -0.15 -0.35 0.0 0.74 -0.74 -0.15 -0.07 -4.74 10.0 -2 -1 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.32 0.0 0.00 0.00 0.00 0.00 -10.00 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 -4.89 13.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.15 -0.23 0.0 999.00 -999.00 -0.15 -0.17 -48.37 999999999.0 -31 -35 caleb_strategy_v3 CHF False False 0.04 -0.35 -0.19 0.0 0.51 -0.51 -0.35 -0.35 -4.94 13.0 -9 -9 caleb_strategy_v3 JPY False False 0.02 -0.05 -0.17 0.0 0.39 -0.39 -0.05 -0.05 -7.21 17.0 -2 -2 caleb_strategy_v3 CAD False False 0.02 -0.02 -0.10 0.0 0.60 -0.60 -0.02 -0.02 -4.63 29.0 -1 -1 caleb_strategy_v3 US5 False False 0.03 -0.39 -0.10 0.0 0.75 -0.75 -0.39 -0.39 -3.28 25.0 -13 -13 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.06 0.0 0.08 -0.08 -0.07 -0.07 -8.36 12.0 -10 -10 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.04 -0.06 0.0 0.04 -0.04 -0.04 -0.04 -38.20 26.0 -25 -25 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.13 -0.13 -0.02 -0.02 -18.82 51.0 -6 -6 caleb_strategy_v3 BOBL False False 0.04 -0.46 -0.05 0.0 0.67 -0.67 -0.46 -0.43 -1.41 19.0 -13 -12 caleb_strategy_v3 US10 False False 0.03 0.00 -0.05 0.0 0.52 -0.52 0.00 0.00 -1.76 17.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 -0.05 0.0 0.36 -0.36 0.00 0.00 -8.43 66.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.05 0.0 0.01 -0.01 0.00 0.00 -11.49 3.0 0 0 caleb_strategy_v3 EUR False False 0.04 -0.15 -0.05 0.0 0.54 -0.54 -0.15 -0.15 -1.39 14.0 -4 -4 caleb_strategy_v3 RUSSELL False False 0.00 -0.04 -0.04 0.0 0.19 -0.19 -0.04 -0.04 -12.70 68.0 -15 -15 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.06 -0.04 0.0 0.23 -0.23 -0.06 -0.06 -4.20 23.0 -6 -6 caleb_strategy_v3 GBP False False 0.02 0.00 -0.04 0.0 0.49 -0.49 0.00 0.00 -1.62 22.0 0 0 caleb_strategy_v3 NZD False False 0.02 -0.05 -0.04 0.0 0.36 -0.36 -0.05 -0.05 -2.15 21.0 -3 -3 caleb_strategy_v3 SP500_micro False False 0.01 -0.04 -0.04 0.0 0.35 -0.35 -0.04 -0.04 -5.88 48.0 -5 -5 caleb_strategy_v3 AUD False False 0.02 -0.06 -0.03 0.0 0.35 -0.35 -0.06 -0.06 -1.61 19.0 -3 -3 caleb_strategy_v3 NIKKEI False False 0.01 -0.03 -0.03 0.0 0.25 -0.25 -0.03 -0.03 -4.33 36.0 -5 -5 caleb_strategy_v3 SP400 False False 0.08 0.00 -0.03 0.0 0.17 -0.17 0.00 0.00 -0.38 2.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.03 0.0 0.13 -0.13 -0.03 -0.03 -2.27 11.0 -3 -3 caleb_strategy_v3 US10U False False 0.03 -0.13 -0.03 0.0 0.41 -0.41 -0.13 -0.16 -0.99 13.0 -4 -5 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -8.28 59.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -4.89 2.0 0 0 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.02 0.0 0.40 -0.40 -0.04 -0.04 -0.46 10.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -1.82 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 -2.38 10.0 -6 -6 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.02 0.0 0.11 -0.11 -0.01 -0.01 -3.26 18.0 -1 -1 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.02 0.0 0.12 -0.12 -0.05 -0.05 -1.45 7.0 -3 -3 caleb_strategy_v3 US30 False False 0.03 -0.03 -0.01 0.0 0.20 -0.20 -0.03 -0.03 -0.39 6.0 -1 -1 caleb_strategy_v3 OAT False False 0.04 0.04 -0.01 0.0 0.38 -0.38 0.04 0.04 -0.23 10.0 1 1 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.24 2.0 0 0 caleb_strategy_v3 US20 False True 0.03 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.41 9.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.07 -0.01 0.0 0.08 -0.08 -0.07 -0.07 -0.62 9.0 -7 -7 caleb_strategy_v3 MILK False False 0.01 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -1.10 5.0 0 0 caleb_strategy_v3 BUXL False False 0.04 -0.08 -0.01 0.0 0.16 -0.16 -0.08 -0.08 -0.25 4.0 -2 -2 caleb_strategy_v3 HEATOIL False False 0.03 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -0.18 3.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.01 0.0 0.29 -0.29 -0.04 -0.04 -0.34 8.0 -1 -1 caleb_strategy_v3 BTP False False 0.04 0.14 0.00 0.0 0.35 -0.35 0.14 0.14 0.01 10.0 4 4 caleb_strategy_v3 PLAT False False 0.01 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.07 10.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.00 0.0 0.07 -0.07 -0.01 -0.01 -0.39 8.0 -1 -1 caleb_strategy_v3 COCOA False False 0.03 0.06 0.01 0.0 0.80 -0.80 0.06 0.06 0.45 26.0 2 2 caleb_strategy_v3 COFFEE False False 0.02 0.05 0.01 0.0 0.14 -0.14 0.05 0.05 0.51 6.0 2 2 caleb_strategy_v3 GASOIL False False 0.02 0.00 0.01 0.0 0.09 -0.09 0.00 0.00 0.65 4.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.01 0.0 0.37 -0.37 0.00 0.00 1.75 56.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.01 0.0 0.03 -0.03 0.00 0.00 1.57 4.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.02 0.0 0.28 -0.28 0.00 0.00 1.62 23.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.02 0.0 0.05 -0.05 0.00 0.00 0.96 3.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.03 0.0 999.00 -999.00 0.00 0.00 1.28 999999999.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.04 0.05 0.0 0.34 -0.34 0.04 0.04 2.51 17.0 2 2 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.06 0.0 0.16 -0.16 0.05 0.05 4.60 13.0 4 4 caleb_strategy_v3 GASOLINE False False 0.03 0.19 0.07 0.0 999.00 -999.00 0.19 0.19 2.31 999999999.0 6 6 caleb_strategy_v3 EUROSTX False False 0.01 0.16 0.09 0.0 0.30 -0.30 0.16 0.16 5.68 20.0 11 11 caleb_strategy_v3 SMI False True 0.04 0.25 0.10 0.0 0.25 0.00 0.25 0.25 2.82 9.0 7 7 caleb_strategy_v3 DAX False False 0.01 0.05 0.10 0.0 0.32 -0.32 0.05 0.05 17.85 58.0 9 9 caleb_strategy_v3 CAC True False 0.02 0.00 0.10 0.0 0.00 0.00 0.00 0.00 4.29 12.0 0 0 caleb_strategy_v3 DX False False 0.03 0.00 0.16 0.0 999.00 -999.00 0.00 0.00 5.45 999999999.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.19 0.18 0.0 999.00 -999.00 0.19 0.19 5.42 999999999.0 6 6 caleb_strategy_v3 MXP False False 0.01 0.32 0.26 0.0 0.49 -0.49 0.32 0.31 31.31 60.0 39 38 caleb_strategy_v3 CRUDE_W False False 0.02 0.09 0.26 0.0 0.11 -0.11 0.09 0.09 11.70 5.0 4 4 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 17.1 Shocked risk 51.8 Sum abs risk 57.1 Leverage 6.07 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3514670.93, 'annual_cash_vol_target': 878667.7325, 'daily_cash_vol_target': 54916.73328125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6528 0.6459 10.3340 BITCOIN 1908.2705 65325.0000 2.9212 46.7391 BOBL 0.2702 116.3500 0.2323 3.7163 BTP 0.6366 116.1800 0.5480 8.7676 BUND 0.5439 129.7000 0.4194 6.7102 BUXL 1.2787 127.3200 1.0043 16.0692 CAC 51.1677 7977.5000 0.6414 10.2624 CAD 0.0029 0.7328 0.3922 6.2754 CANOLA 7.4523 636.7000 1.1705 18.7273 CHF 0.0046 1.1027 0.4188 6.7015 COCOA 283.4355 10809.0000 2.6222 41.9555 COFFEE 3.9414 226.0000 1.7440 27.9036 COPPER 0.0466 4.5565 1.0232 16.3719 CORN 4.9330 475.7500 1.0369 16.5904 COTTON2 1.2383 80.9900 1.5290 24.4635 CRUDE_W 0.8298 78.9600 1.0510 16.8155 DAX 131.4994 18124.0000 0.7256 11.6089 DOW 245.2486 38277.0000 0.6407 10.2515 DX 0.3676 105.4150 0.3487 5.5794 EUR 0.0046 1.0754 0.4321 6.9135 EURIBOR-ICE 0.0497 97.2900 0.0511 0.8170 EUROSTX 37.4010 4919.0000 0.7603 12.1654 FEEDCOW 2.2006 258.4250 0.8515 13.6245 GASOIL 10.7945 788.0000 1.3699 21.9178 GASOLINE 0.0335 2.6397 1.2693 20.3092 GAS_US_mini 0.0793 2.3300 3.4050 54.4793 GBP 0.0063 1.2519 0.5021 8.0333 GOLD_micro 20.4873 2345.3000 0.8735 13.9767 HEATOIL 0.0348 2.5819 1.3465 21.5438 JGB-SGX-mini 0.2325 143.7400 0.1617 2.5878 JPY 0.0000 0.0065 0.4884 7.8152 LEANHOG 1.3437 107.9000 1.2453 19.9255 LIVECOW 1.4859 175.9500 0.8445 13.5123 LUMBER-new 7.4400 526.0000 1.4144 22.6310 MILK 0.2672 18.5600 1.4395 23.0326 MXP 0.0004 0.0577 0.6863 10.9805 NASDAQ_micro 163.7490 17563.0000 0.9324 14.9176 NIKKEI 427.8917 37675.0000 1.1357 18.1719 NZD 0.0037 0.5950 0.6229 9.9670 OAT 0.5372 124.7900 0.4305 6.8873 OATIES 4.9466 355.2500 1.3924 22.2790 OJ 5.4970 370.2500 1.4847 23.7547 PALLAD 24.1698 991.5000 2.4377 39.0032 PLAT 14.6167 925.4000 1.5795 25.2721 REDWHEAT 10.1614 652.7500 1.5567 24.9073 RICE 0.2381 15.1300 1.5737 25.1786 ROBUSTA 58.2017 4307.0000 1.3513 21.6213 RUSSELL 21.8737 1994.0000 1.0970 17.5516 SHATZ 0.0828 105.1500 0.0788 1.2606 SILVER-mini 0.4823 27.8875 1.7294 27.6703 SMI 81.3059 11264.0000 0.7218 11.5491 SOFR 0.0675 95.8100 0.0704 1.1268 SOYBEAN 9.4034 1175.2500 0.8001 12.8019 SOYMEAL 3.8706 348.3000 1.1113 17.7805 SOYOIL 0.6288 45.6900 1.3762 22.0191 SP400 24.3398 2907.8000 0.8371 13.3929 SP500_micro 35.4695 5082.2500 0.6979 11.1665 SUGAR11 0.2905 19.2100 1.5125 24.1992 US10 0.4107 107.3906 0.3824 6.1191 US10U 0.5390 110.0625 0.4897 7.8351 US2 0.1114 101.4258 0.1098 1.7569 US20 0.7933 113.3438 0.6999 11.1981 US30 1.1510 119.0312 0.9670 15.4719 US5 0.2716 104.7969 0.2592 4.1474 VIX 0.4923 16.7500 2.9389 47.0220 WHEAT 9.0577 662.0000 1.3682 21.8918 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 652.80 0.65 421.63 1.00 421.63 54916.73 130.25 -4.77 -62.10 BITCOIN 65.32 2.92 190.83 1.00 190.83 54916.73 287.78 -2.66 -76.42 BOBL 1163.50 0.23 270.25 1.07 289.26 54916.73 189.85 -7.34 -139.28 BTP 1161.80 0.55 636.64 1.07 681.42 54916.73 80.59 0.03 0.24 BUND 1297.00 0.42 543.94 1.07 582.21 54916.73 94.32 -4.81 -45.36 BUXL 1273.20 1.00 1278.71 1.07 1368.66 54916.73 40.12 -6.07 -24.36 CAC 797.75 0.64 511.68 1.07 547.67 54916.73 100.27 12.55 125.86 CAD 732.80 0.39 287.41 1.00 287.41 54916.73 191.07 -9.33 -178.31 CANOLA 127.34 1.17 149.05 0.73 109.08 54916.73 503.44 -15.36 -773.49 CHF 1378.38 0.42 577.32 1.00 577.32 54916.73 95.12 -20.00 -190.25 COCOA 1080.90 2.62 2834.35 1.00 2834.35 54916.73 19.38 10.91 21.15 COFFEE 847.50 1.74 1478.02 1.00 1478.02 54916.73 37.16 11.72 43.55 COPPER 1139.12 1.02 1165.60 1.00 1165.60 54916.73 47.11 10.62 50.05 CORN 237.88 1.04 246.65 1.00 246.65 54916.73 222.65 -15.44 -343.67 COTTON2 404.95 1.53 619.16 1.00 619.16 54916.73 88.70 -11.92 -105.77 CRUDE_W 789.60 1.05 829.85 1.00 829.85 54916.73 66.18 16.33 108.04 DAX 181.24 0.73 131.50 1.07 140.75 54916.73 390.17 13.41 523.39 DOW 191.38 0.64 122.62 1.00 122.62 54916.73 447.85 -8.10 -362.58 DX 1054.15 0.35 367.60 1.00 367.60 54916.73 149.39 14.07 210.23 EUR 1344.25 0.43 580.84 1.00 580.84 54916.73 94.55 -5.68 -53.73 EURIBOR-ICE 2432.25 0.05 124.20 1.07 132.94 54916.73 413.10 -3.36 -138.94 EUROSTX 491.90 0.76 374.01 1.07 400.32 54916.73 137.18 12.13 166.39 FEEDCOW 1292.12 0.85 1100.28 1.00 1100.28 54916.73 49.91 -2.06 -10.29 GASOIL 788.00 1.37 1079.45 1.00 1079.45 54916.73 50.87 2.94 14.94 GASOLINE 1108.67 1.27 1407.27 1.00 1407.27 54916.73 39.02 13.63 53.20 GAS_US_mini 58.25 3.40 198.34 1.00 198.34 54916.73 276.88 -12.74 -352.72 GBP 782.44 0.50 392.85 1.00 392.85 54916.73 139.79 -4.46 -62.33 GOLD_micro 234.53 0.87 204.87 1.00 204.87 54916.73 268.05 1.92 51.37 HEATOIL 1084.40 1.35 1460.13 1.00 1460.13 54916.73 37.61 -1.08 -4.05 JGB-SGX-mini 143740.00 0.16 23247.83 0.01 150.10 54916.73 365.87 -4.57 -167.37 JPY 809.69 0.49 395.49 1.00 395.49 54916.73 138.86 -20.00 -277.71 LEANHOG 431.60 1.25 537.49 1.00 537.49 54916.73 102.17 7.41 75.70 LIVECOW 703.80 0.84 594.37 1.00 594.37 54916.73 92.39 8.19 75.68 LUMBER-new 144.65 1.41 204.60 1.00 204.60 54916.73 268.41 -20.00 -536.82 MILK 371.20 1.44 534.36 1.00 534.36 54916.73 102.77 -4.98 -51.14 MXP 288.35 0.69 197.89 1.00 197.89 54916.73 277.51 7.69 213.33 NASDAQ_micro 351.26 0.93 327.50 1.00 327.50 54916.73 167.69 -10.77 -180.59 NIKKEI 37675.00 1.14 42789.17 0.01 276.27 54916.73 198.78 -2.01 -39.97 NZD 595.00 0.62 370.65 1.00 370.65 54916.73 148.16 -5.60 -83.01 OAT 1247.90 0.43 537.17 1.07 574.96 54916.73 95.51 -0.70 -6.66 OATIES 177.62 1.39 247.33 1.00 247.33 54916.73 222.04 -9.05 -200.84 OJ 555.38 1.48 824.55 1.00 824.55 54916.73 66.60 6.74 44.87 PALLAD 991.50 2.44 2416.98 1.00 2416.98 54916.73 22.72 -3.08 -7.00 PLAT 462.70 1.58 730.84 1.00 730.84 54916.73 75.14 -0.29 -2.19 REDWHEAT 326.38 1.56 508.07 1.00 508.07 54916.73 108.09 -2.70 -29.14 RICE 302.60 1.57 476.19 1.00 476.19 54916.73 115.33 5.60 64.60 ROBUSTA 430.70 1.35 582.02 1.00 582.02 54916.73 94.36 14.72 138.90 RUSSELL 99.70 1.10 109.37 1.00 109.37 54916.73 502.13 -7.63 -383.34 SHATZ 1051.50 0.08 82.84 1.07 88.67 54916.73 619.32 -15.93 -986.61 SILVER-mini 697.19 1.73 1205.71 1.00 1205.71 54916.73 45.55 8.26 37.60 SMI 1126.40 0.72 813.06 1.10 891.44 54916.73 61.60 13.40 82.53 SOFR 2395.25 0.07 168.68 1.00 168.68 54916.73 325.56 -9.70 -315.77 SOYBEAN 587.62 0.80 470.17 1.00 470.17 54916.73 116.80 -13.32 -155.53 SOYMEAL 348.30 1.11 387.06 1.00 387.06 54916.73 141.88 -13.78 -195.54 SOYOIL 274.14 1.38 377.27 1.00 377.27 54916.73 145.56 -17.58 -255.90 SP400 2907.80 0.84 2433.98 1.00 2433.98 54916.73 22.56 -5.15 -11.61 SP500_micro 254.11 0.70 177.35 1.00 177.35 54916.73 309.66 -8.17 -252.98 SUGAR11 215.15 1.51 325.41 1.00 325.41 54916.73 168.76 -9.08 -153.18 US10 1073.91 0.38 410.71 1.00 410.71 54916.73 133.71 -10.39 -138.86 US10U 1100.62 0.49 538.97 1.00 538.97 54916.73 101.89 -7.63 -77.73 US2 2028.52 0.11 222.75 1.00 222.75 54916.73 246.54 -15.66 -386.04 US20 1133.44 0.70 793.27 1.00 793.27 54916.73 69.23 -4.62 -31.99 US30 1190.31 0.97 1151.03 1.00 1151.03 54916.73 47.71 -6.39 -30.47 US5 1047.97 0.26 271.65 1.00 271.65 54916.73 202.16 -12.81 -259.01 VIX 167.50 2.94 492.26 1.00 492.26 54916.73 111.56 -17.56 -195.94 WHEAT 331.00 1.37 452.89 1.00 452.89 54916.73 121.26 -3.84 -46.60 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -62.098 0.010 2.5 -1.611 BITCOIN -76.419 0.043 2.5 -8.275 BOBL -139.281 0.004 2.5 -1.412 BTP 0.241 0.014 2.5 0.008 BUND -45.355 0.004 2.5 -0.460 BUXL -24.356 0.004 2.5 -0.247 CAC 125.862 0.014 2.5 4.293 CAD -178.309 0.010 2.5 -4.626 CANOLA -773.493 0.010 2.5 -18.818 CHF -190.247 0.010 2.5 -4.936 COCOA 21.145 0.009 2.5 0.453 COFFEE 43.546 0.005 2.5 0.509 COPPER 50.045 0.043 2.5 5.419 CORN -343.673 0.010 2.5 -8.361 COTTON2 -105.769 0.009 2.5 -2.265 CRUDE_W 108.036 0.043 2.5 11.699 DAX 523.395 0.014 2.5 17.852 DOW -362.579 0.009 2.5 -8.426 DX 210.234 0.010 2.5 5.455 EUR -53.732 0.010 2.5 -1.394 EURIBOR-ICE -138.938 0.014 2.5 -4.739 EUROSTX 166.385 0.014 2.5 5.675 FEEDCOW -10.286 0.013 2.5 -0.341 GASOIL 14.943 0.017 2.5 0.648 GASOLINE 53.198 0.017 2.5 2.306 GAS_US_mini -352.723 0.043 2.5 -38.195 GBP -62.334 0.010 2.5 -1.617 GOLD_micro 51.372 0.014 2.5 1.752 HEATOIL -4.052 0.017 2.5 -0.176 JGB-SGX-mini -167.375 0.043 2.5 -18.125 JPY -277.714 0.010 2.5 -7.206 LEANHOG 75.702 0.024 2.5 4.601 LIVECOW 75.675 0.013 2.5 2.508 LUMBER-new -536.824 0.009 2.5 -11.488 MILK -51.141 0.009 2.5 -1.095 MXP 213.329 0.059 2.5 31.311 NASDAQ_micro -180.591 0.009 2.5 -4.197 NIKKEI -39.968 0.043 2.5 -4.328 NZD -83.012 0.010 2.5 -2.154 OAT -6.663 0.014 2.5 -0.227 OATIES -200.837 0.010 2.5 -4.886 OJ 44.865 0.009 2.5 0.961 PALLAD -7.003 0.014 2.5 -0.239 PLAT -2.194 0.014 2.5 -0.075 REDWHEAT -29.140 0.005 2.5 -0.387 RICE 64.602 0.010 2.5 1.572 ROBUSTA 138.897 0.005 2.5 1.622 RUSSELL -383.336 0.013 2.5 -12.703 SHATZ -986.613 0.004 2.5 -10.005 SILVER-mini 37.602 0.014 2.5 1.283 SMI 82.534 0.014 2.5 2.815 SOFR -315.767 0.024 2.5 -19.190 SOYBEAN -155.534 0.004 2.5 -1.447 SOYMEAL -195.537 0.004 2.5 -1.819 SOYOIL -255.902 0.004 2.5 -2.382 SP400 -11.614 0.013 2.5 -0.385 SP500_micro -252.978 0.009 2.5 -5.879 SUGAR11 -153.183 0.009 2.5 -3.258 US10 -138.861 0.005 2.5 -1.760 US10U -77.733 0.005 2.5 -0.985 US2 -386.037 0.005 2.5 -4.892 US20 -31.989 0.005 2.5 -0.405 US30 -30.467 0.005 2.5 -0.386 US5 -259.009 0.005 2.5 -3.282 VIX -195.936 0.099 2.5 -48.365 WHEAT -46.600 0.005 2.5 -0.618 ===================== Position diags ===================== AUD 3.38 BITCOIN 31.16 BOBL 1.93 BTP 2.75 BUND 0.96 BUXL 0.41 CAC 3.42 CAD 4.96 CANOLA 12.25 CHF 2.47 COCOA 0.41 COFFEE 0.43 COPPER 5.10 CORN 5.42 COTTON2 1.90 CRUDE_W 7.17 DAX 13.31 DOW 10.41 DX 3.88 EUR 2.45 EURIBOR-ICE 14.09 EUROSTX 4.68 FEEDCOW 1.65 GASOIL 2.21 GASOLINE 1.69 GAS_US_mini 29.98 GBP 3.63 GOLD_micro 9.14 HEATOIL 1.63 JGB-SGX-mini 39.62 JPY 3.60 LEANHOG 6.21 LIVECOW 3.06 LUMBER-new 5.74 MILK 2.20 MXP 40.73 NASDAQ_micro 3.90 NIKKEI 21.53 NZD 3.84 OAT 3.26 OATIES 5.40 OJ 1.43 PALLAD 0.77 PLAT 2.56 REDWHEAT 1.43 RICE 2.81 ROBUSTA 1.10 RUSSELL 16.64 SHATZ 6.28 SILVER-mini 1.55 SMI 2.10 SOFR 19.79 SOYBEAN 1.09 SOYMEAL 1.32 SOYOIL 1.36 SP400 0.75 SP500_micro 7.20 SUGAR11 3.59 US10 1.69 US10U 1.29 US2 3.12 US20 0.88 US30 0.60 US5 2.56 VIX 27.54 WHEAT 1.61 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.6 -1.9 -1.3 -3.0 -3 BITCOIN -8.3 -11.4 -5.2 0.0 0 BOBL -1.4 -1.6 -1.2 -13.0 -13 BTP 0.0 -0.3 0.3 4.0 4 BUND -0.5 -0.6 -0.4 -1.0 -1 BUXL -0.2 -0.3 -0.2 -2.0 -2 CAC 4.3 4.0 4.6 0.0 0 CAD -4.6 -5.1 -4.1 -1.0 -1 CANOLA -18.8 -20.0 -17.6 -6.0 -6 CHF -4.9 -5.2 -4.7 -9.0 -9 COCOA 0.5 0.4 0.5 2.0 2 COFFEE 0.5 0.5 0.6 2.0 2 COPPER 5.4 4.9 5.9 6.0 6 CORN -8.4 -8.9 -7.8 -10.0 -10 COTTON2 -2.3 -2.5 -2.1 -3.0 -3 CRUDE_W 11.7 11.0 12.4 4.0 4 DAX 17.9 16.5 19.2 9.0 9 DOW -8.4 -9.5 -7.4 0.0 0 DX 5.5 5.1 5.8 NaN 0 EUR -1.4 -1.6 -1.1 -4.0 -4 EURIBOR-ICE -4.7 -6.1 -3.3 -2.0 -2 EUROSTX 5.7 5.2 6.1 11.0 11 FEEDCOW -0.3 -0.5 -0.2 -1.0 -1 GASOIL 0.6 0.4 0.9 0.0 0 GASOLINE 2.3 2.1 2.5 6.0 6 GAS_US_mini -38.2 -41.2 -35.2 -25.0 -25 GBP -1.6 -2.0 -1.3 0.0 0 GOLD_micro 1.8 0.8 2.7 0.0 0 HEATOIL -0.2 -0.3 -0.0 0.0 0 JGB-SGX-mini -18.1 -22.1 -14.2 -8.0 -8 JPY -7.2 -7.6 -6.8 -2.0 -2 LEANHOG 4.6 4.0 5.2 4.0 4 LIVECOW 2.5 2.2 2.8 2.0 2 LUMBER-new -11.5 -12.1 -10.9 NaN 0 MILK -1.1 -1.3 -0.9 NaN 0 MXP 31.3 27.2 35.4 39.0 39 NASDAQ_micro -4.2 -4.6 -3.8 -6.0 -6 NIKKEI -4.3 -6.5 -2.2 -5.0 -5 NZD -2.2 -2.5 -1.8 -3.0 -3 OAT -0.2 -0.6 0.1 1.0 1 OATIES -4.9 -5.4 -4.3 NaN 0 OJ 1.0 0.8 1.1 NaN 0 PALLAD -0.2 -0.3 -0.2 0.0 0 PLAT -0.1 -0.3 0.2 0.0 0 REDWHEAT -0.4 -0.5 -0.2 -1.0 -1 RICE 1.6 1.3 1.9 NaN 0 ROBUSTA 1.6 1.5 1.7 0.0 0 RUSSELL -12.7 -14.4 -11.0 -15.0 -15 SHATZ -10.0 -10.6 -9.4 NaN 0 SILVER-mini 1.3 1.1 1.4 NaN 0 SMI 2.8 2.6 3.0 7.0 7 SOFR -19.2 -21.2 -17.2 NaN 0 SOYBEAN -1.4 -1.6 -1.3 -3.0 -3 SOYMEAL -1.8 -2.0 -1.7 0.0 0 SOYOIL -2.4 -2.5 -2.2 -6.0 -6 SP400 -0.4 -0.5 -0.3 0.0 0 SP500_micro -5.9 -6.6 -5.2 -5.0 -5 SUGAR11 -3.3 -3.6 -2.9 -1.0 -1 US10 -1.8 -1.9 -1.6 0.0 0 US10U -1.0 -1.1 -0.9 -4.0 -4 US2 -4.9 -5.2 -4.6 NaN 0 US20 -0.4 -0.5 -0.3 0.0 0 US30 -0.4 -0.4 -0.3 -1.0 -1 US5 -3.3 -3.5 -3.0 -13.0 -13 VIX -48.4 -51.1 -45.6 -31.0 -31 WHEAT -0.6 -0.8 -0.5 -7.0 -7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.1 -0.1 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 -0.1 0.3 -0.0 0.1 -0.0 0.0 -0.1 -0.0 -0.0 0.2 0.4 0.2 -0.1 -0.7 -0.3 -0.4 -0.1 BITCOIN -0.6 -0.3 0.4 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.4 -0.1 0.6 -0.0 0.1 -0.1 -0.1 -0.2 -0.2 0.1 0.2 -0.1 0.5 -0.0 -2.7 0.1 -0.0 0.2 -0.0 0.3 0.0 -0.2 -0.3 -0.6 0.2 0.6 -0.3 -0.0 0.5 0.1 BOBL -0.2 -0.3 -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 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.7 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.5 0.0 0.2 0.2 -0.1 -0.6 -0.7 0.2 -0.5 BTP -0.5 -0.4 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 -0.1 0.3 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.0 0.1 -0.1 0.2 -0.1 -2.5 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.8 0.2 0.6 0.6 0.6 -0.2 -0.4 0.7 0.1 BUND -0.3 -0.3 -0.2 -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 -0.1 -0.0 -0.1 -0.1 -0.1 0.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.1 0.0 0.4 0.3 0.1 -0.6 -0.7 0.4 -0.3 BUXL -0.3 -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 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.0 -0.0 0.5 0.5 0.2 -0.7 -0.7 -0.1 -0.1 CAC -0.6 -0.2 0.6 0.0 -0.0 0.2 -0.1 0.2 -0.1 0.1 0.5 -0.0 0.7 -0.0 0.2 0.4 0.0 0.3 0.1 0.2 0.2 0.0 0.5 0.0 -1.6 0.1 0.0 0.3 0.0 0.3 0.0 0.9 0.5 0.6 0.6 0.3 -0.3 0.3 -0.2 0.5 CAD -0.3 -0.3 -0.1 -0.1 0.0 -0.0 -0.1 0.0 -0.1 0.2 -0.3 -0.1 -0.3 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.0 -0.2 -0.1 -0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.1 0.0 0.5 0.2 -0.0 -0.1 -0.7 -0.5 -0.2 -0.4 CANOLA -0.1 0.6 0.2 0.0 0.1 0.0 0.1 -0.0 0.0 0.0 -0.2 -0.0 -0.3 0.0 0.0 -0.3 -0.1 -0.3 -0.3 -0.0 -0.1 0.0 -0.3 0.0 -2.7 0.0 0.0 -0.1 0.0 -0.2 0.0 -1.1 -0.2 -0.2 0.4 -0.4 -0.7 -0.6 -0.4 -0.1 CHF -0.2 -0.6 -0.6 -0.1 0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.5 -0.2 -0.4 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.3 -0.2 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -1.1 0.2 -0.0 -0.6 -0.6 -0.2 -0.6 0.1 -0.5 COCOA -0.6 0.4 0.0 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 0.3 0.4 0.4 0.2 0.2 0.1 0.3 0.2 -2.0 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.2 0.6 0.6 0.6 0.0 -0.0 0.2 0.3 COFFEE 0.6 0.6 0.4 0.0 0.1 0.0 0.1 -0.1 0.0 -0.1 0.5 0.1 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 0.0 0.1 0.1 0.1 0.1 0.7 0.5 0.6 0.6 0.6 -0.1 -0.7 0.2 -0.3 COPPER 0.6 0.6 0.6 0.1 -0.0 0.1 0.0 0.0 0.0 0.1 0.5 0.2 0.2 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.3 0.2 -2.1 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.5 0.6 0.6 0.6 -0.7 -0.1 0.2 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 -0.0 -0.1 0.1 -0.5 0.0 -2.1 -0.0 0.1 -0.2 0.1 -0.4 0.0 -1.1 -0.0 0.0 0.3 -0.6 -0.4 -0.7 -0.4 0.0 COTTON2 -0.6 -0.6 0.4 0.0 0.1 0.0 0.1 -0.0 0.0 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 0.3 0.1 0.2 0.1 -0.1 -0.0 -0.2 0.0 -0.2 -2.7 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.2 -0.5 -0.6 -0.6 0.6 -0.4 -0.5 0.0 0.1 CRUDE_W -0.1 0.5 0.3 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.3 -0.0 0.6 0.2 0.2 0.4 0.2 0.3 0.3 0.2 0.2 -0.0 0.5 0.1 -0.7 0.1 0.0 0.2 -0.0 0.2 0.0 -0.1 -0.0 0.2 0.4 0.0 0.7 0.6 0.7 0.7 DAX -0.6 -0.2 0.4 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.0 0.5 -0.1 0.7 -0.1 0.1 -0.2 -0.2 -0.3 -0.3 0.1 0.2 -0.0 0.5 -0.0 1.9 0.1 0.0 0.2 -0.0 0.3 0.0 -0.6 0.5 0.6 0.6 0.5 -0.1 0.3 0.2 0.7 DOW -0.6 -0.6 -0.1 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.3 -0.1 0.5 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.1 0.4 -0.1 -1.6 0.0 -0.0 0.1 -0.0 0.3 -0.0 -0.5 0.3 0.2 -0.3 -0.2 -0.1 -0.3 0.2 -0.5 DX 0.4 0.5 0.3 -0.1 0.0 -0.0 -0.0 0.0 -0.1 -0.1 0.3 0.1 0.3 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.1 0.1 0.2 0.2 -2.7 0.1 -0.0 0.1 0.0 0.1 0.1 0.8 0.5 0.6 0.6 0.6 0.7 0.2 0.7 0.4 EUR -0.3 -0.3 -0.2 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 2.4 -0.0 0.0 -0.1 -0.0 -0.0 -0.1 -0.4 0.3 0.2 0.1 0.1 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.6 -0.6 -0.4 -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 0.0 0.1 -0.0 -0.7 -0.7 0.3 0.5 EUROSTX -0.6 -0.2 0.6 0.0 -0.0 0.1 -0.1 0.2 -0.0 0.0 0.5 -0.1 0.7 -0.0 0.2 -0.1 0.0 -0.1 -0.0 0.2 0.2 -0.0 0.5 0.0 -0.1 0.1 0.0 0.3 0.0 0.3 0.0 0.5 0.5 0.6 0.6 0.6 -0.5 0.3 -0.5 0.5 FEEDCOW -0.2 -0.6 0.3 0.0 0.1 0.0 0.1 -0.1 0.0 0.1 -0.1 0.1 -0.1 -0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.1 -0.0 0.1 -0.0 -0.0 -0.8 -0.0 0.1 -0.0 0.1 0.1 0.0 -1.1 0.5 0.1 -0.6 0.2 0.7 0.7 0.7 0.7 GASOIL -0.3 0.1 0.3 0.1 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.3 -0.2 0.5 -0.1 0.1 0.1 0.4 0.3 0.4 0.1 0.1 -0.1 0.5 -0.1 0.9 0.0 -0.0 0.2 -0.1 0.3 -0.0 0.7 -0.3 -0.4 -0.4 -0.1 -0.4 -0.3 -0.7 -0.6 GASOLINE -0.2 0.5 0.5 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.0 0.5 -0.0 0.7 0.2 0.2 0.4 0.2 0.3 0.2 0.2 0.2 0.0 0.5 0.1 -2.7 0.1 0.0 0.2 -0.0 0.3 0.0 -0.2 0.2 0.1 0.3 0.3 0.7 0.7 0.7 0.7 GAS_US_mini 0.2 0.2 -0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 -0.5 -0.0 -0.7 -0.1 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.0 -0.5 -0.0 2.7 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -1.1 0.3 -0.3 -0.6 -0.6 -0.7 -0.1 -0.7 -0.3 GBP -0.4 -0.4 -0.2 -0.1 0.0 -0.0 -0.0 0.0 -0.1 0.1 0.1 -0.1 0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.2 0.2 -0.0 0.1 0.0 -0.0 0.1 -0.1 0.2 0.2 0.2 0.1 0.4 -0.7 -0.3 -0.7 -0.1 GOLD_micro -0.1 0.6 0.5 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.4 0.0 0.4 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.0 0.3 0.2 -0.5 0.1 -0.0 0.1 0.0 0.1 0.0 -0.8 -0.2 0.6 0.6 0.6 -0.7 -0.7 -0.3 -0.4 HEATOIL -0.3 0.1 0.2 0.1 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.0 -0.2 0.4 -0.1 0.1 0.0 0.4 0.2 0.3 0.0 0.1 -0.1 0.3 -0.1 -2.7 0.0 -0.1 0.1 -0.1 0.3 -0.1 0.6 -0.3 -0.5 -0.6 -0.2 0.6 0.2 0.5 0.1 JGB-SGX-mini -0.6 -0.5 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.2 -0.1 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.0 -0.1 0.0 -0.1 -1.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 1.1 -0.1 -0.2 -0.2 0.1 -0.4 -0.4 0.0 0.3 JPY -0.5 -0.6 -0.6 -0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.2 -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 -0.0 -0.2 -0.1 -0.2 -0.1 -1.1 -0.4 -0.5 -0.5 -0.6 -0.7 -0.4 -0.7 -0.4 LEANHOG -0.2 0.1 0.6 0.0 0.2 0.0 0.1 -0.1 0.1 0.1 0.5 0.1 -0.1 0.1 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 0.2 0.1 0.2 1.5 0.1 0.1 0.2 0.1 0.1 0.1 -1.1 -0.4 0.5 0.6 0.6 -0.3 -0.3 0.0 0.5 LIVECOW -0.3 -0.5 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 -0.1 -0.7 -0.0 0.0 0.0 0.0 0.1 0.0 0.7 0.1 -0.1 -0.3 0.4 0.7 0.5 0.7 0.7 LUMBER-new -0.7 -0.7 0.0 0.0 0.2 0.1 0.1 -0.1 0.1 -0.1 0.0 -0.2 -0.4 -0.2 -0.2 -0.5 -0.4 -0.5 -0.4 -0.2 -0.1 -0.2 -0.1 -0.2 NaN -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -1.2 -0.6 -0.7 -0.7 -0.7 -0.5 -0.5 -0.2 -0.3 MILK 0.6 0.4 0.6 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.2 0.1 -0.4 0.0 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.1 -0.4 0.1 1.5 -0.0 0.0 -0.1 0.1 -0.2 0.0 -1.1 0.5 0.6 -0.3 -0.2 -0.7 -0.7 -0.7 -0.7 MXP -0.6 -0.3 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.2 0.4 -0.2 0.7 -0.1 0.1 0.3 0.3 0.3 0.3 0.0 0.2 -0.2 0.5 -0.1 -2.7 0.0 -0.1 0.1 -0.1 0.3 -0.0 1.1 -0.5 -0.1 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro -0.6 -0.6 -0.2 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.3 -0.1 0.5 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.1 0.4 -0.1 -2.7 -0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.4 -0.4 -0.0 -0.4 0.1 0.0 -0.0 0.2 -0.1 NIKKEI -0.6 -0.6 0.2 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.3 -0.1 0.5 -0.1 0.1 0.0 0.2 0.1 0.2 0.0 0.2 -0.1 0.5 -0.1 -1.8 0.0 -0.0 0.2 -0.0 0.3 -0.0 1.1 -0.3 -0.1 -0.2 0.6 -0.6 -0.3 -0.3 -0.3 NZD -0.1 -0.5 -0.2 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 0.1 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.2 0.1 0.3 -0.2 -0.2 -0.4 -0.2 -0.2 0.2 OAT -0.3 -0.4 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.4 -0.0 -0.1 0.0 -0.1 0.0 -0.0 0.8 0.0 0.4 0.4 0.1 -0.6 -0.7 0.5 0.0 OATIES 0.1 -0.1 -0.2 0.0 0.1 0.0 0.1 -0.1 0.0 0.2 -0.5 0.2 -0.6 0.0 -0.0 0.1 -0.0 0.1 0.1 -0.1 -0.2 0.2 -0.4 0.0 -2.7 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.1 0.5 -0.0 -0.3 -0.3 -0.5 -0.0 -0.1 0.6 OJ -0.1 0.0 -0.0 0.0 0.1 0.0 0.1 -0.1 0.0 0.0 0.2 0.1 0.6 0.1 0.2 0.1 0.3 0.1 0.2 0.1 0.2 0.0 0.5 0.1 -2.7 0.0 0.0 0.2 0.0 0.6 0.0 0.8 -0.2 -0.3 -0.3 0.1 0.3 0.3 0.7 0.7 PALLAD 0.0 0.3 0.4 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.3 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.3 -0.0 1.6 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.4 -0.1 -0.3 -0.2 -0.1 -0.7 -0.5 -0.7 -0.3 PLAT 0.1 0.3 0.1 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 -0.0 -0.1 -0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 -0.1 -0.0 1.4 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.2 -0.5 -0.3 -0.3 -0.2 -0.6 -0.2 0.7 0.3 REDWHEAT 0.6 0.5 0.2 0.0 0.1 0.0 0.1 -0.1 0.0 0.2 -0.4 0.2 -0.7 0.2 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.1 0.2 -0.5 0.2 -1.0 0.0 0.2 -0.1 0.2 -0.3 0.1 -0.2 0.5 0.6 0.4 -0.6 -0.3 -0.7 0.0 -0.7 RICE 0.6 -0.6 -0.3 0.0 0.1 0.0 0.0 -0.0 0.0 0.1 0.0 0.1 0.2 0.1 0.0 0.4 0.1 0.4 0.3 0.0 0.0 0.1 0.1 0.1 -0.9 -0.0 0.0 -0.0 0.0 0.0 0.0 0.6 0.5 0.5 -0.3 -0.2 0.1 -0.1 0.3 0.2 ROBUSTA 0.6 0.6 0.6 0.0 0.1 0.0 0.1 -0.1 0.0 0.1 0.5 0.2 0.6 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 0.0 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 -0.4 0.2 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.2 -0.1 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.1 -0.1 -0.2 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.1 0.1 0.3 -0.2 -0.4 -0.4 -0.7 -0.4 -0.7 SHATZ -0.1 -0.3 -0.6 -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 -0.3 -0.1 1.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.0 0.1 0.0 -0.3 -0.7 -0.7 -0.5 -0.7 SILVER-mini 0.3 0.6 0.4 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.2 0.0 0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 -0.0 0.1 0.1 0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 -0.2 0.4 0.6 0.5 -0.4 -0.5 0.6 0.1 SMI -0.6 -0.2 0.3 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.0 0.4 -0.1 0.4 -0.1 0.0 -0.1 0.1 0.0 0.1 0.0 0.1 -0.0 0.2 -0.1 1.8 0.0 0.0 0.2 -0.0 0.2 -0.0 0.9 0.4 0.6 0.4 -0.0 0.4 -0.0 0.7 -0.1 SOFR -0.6 -0.6 -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 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 0.1 -0.1 -0.1 0.0 -0.5 -0.7 0.2 -0.1 SOYBEAN -0.1 0.4 -0.3 0.0 0.1 0.0 0.1 -0.1 0.0 0.2 -0.4 0.0 -0.3 0.0 -0.1 -0.1 0.2 0.0 0.1 -0.1 -0.1 0.0 -0.4 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.2 -0.0 0.5 -0.2 -0.5 0.4 -0.6 -0.4 -0.7 -0.3 -0.7 SOYMEAL 0.4 0.4 -0.6 0.0 0.1 0.0 0.1 -0.1 0.0 0.1 -0.5 0.2 -0.6 0.1 -0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.2 0.1 -0.5 0.1 -2.7 -0.0 0.1 -0.2 0.1 -0.2 0.0 0.1 0.2 0.2 0.3 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.6 0.4 -0.0 0.0 0.1 0.0 0.1 -0.0 0.0 -0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -2.7 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.4 -0.5 -0.6 -0.0 -0.3 -0.7 -0.4 -0.3 0.2 SP400 -0.6 -0.4 0.4 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 0.3 -0.1 0.4 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.1 0.4 -0.1 -1.5 0.0 0.0 0.1 -0.0 0.2 -0.0 0.1 0.1 0.2 0.2 -0.0 -0.4 -0.3 -0.4 -0.7 SP500_micro -0.6 -0.6 0.2 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.4 -0.1 0.6 -0.1 0.1 -0.2 -0.2 -0.3 -0.2 0.0 0.2 -0.1 0.5 -0.1 -2.7 0.0 -0.0 0.2 -0.0 0.3 -0.0 -0.6 -0.3 0.0 -0.1 0.4 -0.1 -0.1 0.2 -0.2 SUGAR11 -0.6 -0.4 -0.4 0.0 0.1 0.0 0.1 -0.1 0.0 -0.1 -0.3 -0.2 0.0 -0.2 -0.1 0.1 0.3 0.2 0.3 -0.2 -0.2 -0.2 -0.1 -0.2 -2.7 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 1.1 -0.5 -0.6 -0.6 -0.6 0.7 0.3 0.7 0.7 US10 -0.6 -0.6 -0.1 -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 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.4 0.1 -0.0 -0.0 0.1 -0.7 -0.7 -0.3 0.1 US10U -0.6 -0.5 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.3 -0.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.1 -0.0 0.0 0.1 -0.7 -0.7 0.6 0.4 US2 -0.4 -0.6 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -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 -0.1 -0.0 -1.1 0.2 -0.1 -0.1 -0.1 -0.7 -0.7 -0.6 -0.7 US20 -0.6 -0.5 -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 -0.1 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 0.1 -0.0 0.1 0.2 -0.7 -0.5 0.7 0.6 US30 -0.6 -0.5 -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 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.3 0.0 0.0 0.1 0.2 -0.7 -0.5 0.7 0.7 US5 -0.5 -0.6 -0.3 -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 0.1 -0.1 -0.1 -0.0 -0.7 -0.7 -0.4 -0.2 VIX 0.5 0.8 0.8 -0.1 -0.2 -0.3 -0.1 -0.7 -0.0 -0.3 -0.9 -0.2 -1.2 -0.1 -0.2 -0.6 -0.6 -0.6 -0.6 -0.1 -0.2 -0.2 -0.9 -0.1 NaN -0.1 -0.2 -0.4 -0.1 -0.9 -0.0 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.5 0.6 0.2 0.0 0.1 0.0 0.1 -0.1 0.0 0.2 -0.2 0.2 -0.7 0.2 0.0 -0.4 -0.3 -0.3 -0.3 0.0 -0.1 0.2 -0.5 0.2 0.2 0.0 0.2 -0.1 0.1 -0.2 0.1 -1.1 0.5 0.6 0.3 -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 -3.9 -3.9 -3.1 -3.7 0.6 -1.2 -3.4 0.9 -5.0 10.4 -5.9 -5.5 -9.4 -7.7 -12.0 -2.6 -2.9 -2.7 -2.8 -6.1 -4.3 0.1 -4.6 -5.8 2.6 -2.6 6.1 -1.7 0.4 -1.9 -2.7 -0.8 7.6 12.6 7.2 -1.8 -20.0 -9.8 -12.1 -1.9 BITCOIN -18.0 -8.0 11.0 4.6 -0.8 2.8 0.7 1.0 3.7 -0.0 14.3 -6.4 15.5 -2.8 10.2 -7.4 -7.4 -8.3 -8.2 12.5 20.0 -6.2 20.0 -1.7 -20.0 5.1 -0.7 8.0 -0.9 7.6 0.9 -3.2 -14.3 -20.0 7.6 20.0 -9.1 -0.4 16.0 3.2 BOBL -7.4 -9.4 -10.5 -2.4 -3.1 -1.3 -3.3 -1.0 -3.2 -7.9 -3.7 -8.3 -3.0 -8.1 -8.7 13.3 -9.0 1.3 -6.7 -7.2 -4.8 -10.4 -4.0 -8.5 5.1 -2.2 -6.5 -1.3 -4.6 -1.1 -3.0 -10.0 0.9 6.8 6.8 -1.9 -18.9 -20.0 6.6 -15.1 BTP -14.8 -12.2 0.1 -3.9 -5.0 -2.1 -5.3 -1.6 -5.1 -11.6 9.0 -11.9 9.1 -10.6 -7.1 4.6 6.0 4.8 5.1 -1.8 5.0 -9.2 6.6 -7.0 -18.8 1.8 -8.7 5.3 -5.4 5.6 -2.1 14.4 8.0 17.7 20.0 17.1 -6.8 -11.0 20.0 2.5 BUND -8.6 -9.7 -5.4 -2.7 -3.5 -1.4 -3.7 -1.1 -3.6 -8.9 -1.3 -9.5 -1.3 -9.1 -9.5 -9.3 0.3 -6.5 -3.3 -6.0 -2.9 -10.8 -2.8 -8.3 2.6 -1.1 -8.6 -0.0 -5.7 -0.3 -2.8 2.5 0.8 10.9 10.6 2.4 -18.1 -20.0 13.3 -8.2 BUXL -8.9 -8.6 0.0 -3.3 -4.2 -1.7 -4.4 -1.4 -4.3 -11.0 0.4 -11.8 -2.7 -11.1 -11.4 -7.4 -2.1 -6.0 -4.0 -5.6 -2.1 -13.2 -3.7 -9.2 -1.2 0.5 -10.6 1.4 -6.6 0.1 -2.1 0.0 -1.9 16.9 16.2 7.2 -20.0 -20.0 -4.0 -2.7 CAC -20.0 -4.8 18.8 1.1 -1.9 6.0 -5.2 6.2 -4.9 8.7 20.0 -1.7 20.0 -1.8 17.6 20.0 2.5 14.6 7.2 15.1 20.0 1.8 20.0 1.0 -12.2 6.7 1.0 10.1 1.0 9.4 1.6 17.2 20.0 20.0 20.0 10.2 -9.3 9.2 -6.8 13.9 CAD -8.9 -9.2 -4.6 -5.3 0.9 -1.7 -4.9 1.2 -7.2 17.6 -10.1 -4.9 -9.0 -12.7 -18.4 -2.8 -2.3 -2.5 -2.4 -14.1 -9.5 -0.6 -7.2 -12.3 -0.6 -6.2 6.2 -4.2 0.1 -3.1 -5.4 0.0 19.4 5.7 -1.4 -3.9 -20.0 -16.3 -6.1 -13.0 CANOLA -2.7 20.0 7.1 1.1 7.3 0.7 4.9 -1.0 2.0 2.7 -7.1 -0.4 -8.1 3.6 1.9 -16.1 -7.3 -15.0 -12.7 -0.2 -6.5 0.8 -12.1 0.7 -20.0 0.0 1.0 -2.8 0.4 -5.5 0.4 -20.0 -9.2 -6.3 12.4 -12.0 -20.0 -17.1 -11.8 -3.7 CHF -5.9 -20.0 -20.0 -4.6 0.8 -1.5 -4.3 1.1 -6.3 -6.0 -17.1 -16.7 -9.8 -20.0 -20.0 -16.1 -15.8 -16.1 -15.9 -20.0 -20.0 -13.5 -11.4 -20.0 -0.6 -7.0 -1.6 -5.0 -3.1 -1.9 -5.6 -20.0 7.3 -0.7 -20.0 -20.0 -4.8 -17.1 3.2 -16.0 COCOA -20.0 11.3 0.0 0.8 5.4 0.5 3.6 -0.7 1.4 2.2 8.0 4.4 8.1 6.9 7.7 19.5 14.8 20.0 20.0 19.8 17.2 10.2 11.9 16.6 -15.2 2.8 0.3 3.0 1.0 2.7 2.0 20.0 8.3 20.0 20.0 20.0 1.4 -0.5 6.8 8.5 COFFEE 20.0 18.4 12.8 2.3 14.6 1.5 9.7 -1.9 3.9 -7.0 17.2 10.8 13.5 14.8 15.6 12.0 8.5 12.0 10.8 20.0 20.0 20.0 14.2 20.0 -20.0 6.7 0.8 4.5 4.7 2.8 7.6 12.5 20.0 20.0 20.0 20.0 -2.9 -20.0 6.6 -8.6 COPPER 20.0 20.0 18.6 5.1 -0.9 3.1 0.8 1.1 4.1 16.5 17.1 18.9 5.5 20.0 20.0 -4.6 -5.0 -5.1 -5.4 20.0 20.0 20.0 11.2 20.0 -15.8 7.1 5.3 4.8 6.5 2.3 7.6 1.3 20.0 20.0 20.0 20.0 -20.0 -2.7 7.5 6.0 CORN 2.2 14.5 7.2 2.1 13.6 1.4 9.0 -1.8 3.6 16.3 -11.4 9.5 -18.4 9.0 -5.1 -20.0 -10.1 -19.1 -15.8 -3.5 -12.5 7.1 -20.0 2.0 -15.9 -2.1 8.2 -7.8 5.1 -10.9 2.1 -20.0 -1.7 0.8 7.9 -20.0 -12.5 -20.0 -11.4 1.3 COTTON2 -20.0 -20.0 11.8 1.5 9.3 0.9 6.2 -1.2 2.5 -9.8 -2.5 -12.3 0.1 -13.1 -8.3 17.0 3.7 11.9 6.3 -13.5 -2.4 -18.7 0.8 -20.0 -20.0 -1.6 -2.1 1.4 -3.8 2.0 -4.3 3.4 -20.0 -20.0 -20.0 18.1 -11.3 -14.4 1.5 1.5 CRUDE_W -2.6 16.1 10.6 5.7 -0.9 6.1 -2.6 5.1 1.2 -5.6 11.6 -4.5 15.5 15.7 20.0 17.8 11.9 15.6 13.3 20.0 20.0 -2.5 19.0 10.2 -5.5 7.2 0.5 7.4 -1.6 6.9 2.7 -1.1 -1.1 6.3 11.4 0.7 20.0 19.1 20.0 19.7 DAX -20.0 -6.4 12.8 0.9 -1.6 5.1 -4.4 5.3 -4.2 2.2 18.9 -10.2 19.8 -5.0 11.6 -10.8 -11.7 -12.6 -12.8 12.8 20.0 -3.4 20.0 -1.4 14.3 6.1 0.4 8.3 -0.3 7.1 1.5 -11.0 20.0 20.0 20.0 16.0 -1.8 8.4 6.0 20.0 DOW -20.0 -20.0 -3.5 0.7 -1.2 3.8 -3.3 4.0 -3.2 0.7 12.2 -9.7 13.5 -11.2 -5.3 -11.0 -11.1 -12.0 -12.0 -4.4 9.1 -7.1 15.3 -12.1 -12.1 0.0 -0.9 5.2 -2.1 7.4 -3.3 -9.8 11.2 7.5 -8.8 -4.8 -1.8 -7.6 6.9 -16.3 DX 12.9 14.7 9.6 -4.9 0.8 -1.6 -4.6 1.1 -6.6 -11.5 12.4 13.6 8.8 18.7 19.6 7.2 6.6 7.2 6.8 20.0 13.7 11.7 8.8 20.0 -20.0 6.6 -1.4 4.0 3.8 2.6 7.3 15.5 20.0 20.0 20.0 20.0 20.0 4.6 20.0 10.9 EUR -10.0 -8.9 -6.4 -4.6 0.8 -1.5 -4.3 1.1 -6.2 13.3 -7.1 -9.0 -6.0 -14.1 -15.6 -6.6 -6.8 -6.7 -6.6 -12.6 -8.0 -4.2 -4.8 -13.2 18.0 -4.6 4.6 -2.2 -1.6 -1.0 -5.4 -7.4 10.8 5.5 1.7 1.6 -20.0 -14.8 -20.0 -11.9 EURIBOR-ICE -18.1 -20.0 -11.3 -2.3 -3.0 -1.2 -3.1 -1.0 -3.0 -7.5 1.0 -8.1 1.9 -8.1 -8.0 -5.1 -4.2 -3.8 -3.3 -7.5 -1.6 -11.4 1.1 -10.5 12.7 -2.2 -4.4 -0.2 -4.0 0.7 -3.4 -1.5 -1.2 0.7 3.4 -0.9 -20.0 -20.0 9.9 15.9 EUROSTX -20.0 -6.8 19.5 1.0 -1.7 5.4 -4.6 5.6 -4.4 3.7 20.0 -7.3 20.0 -2.5 17.3 -7.3 0.1 -2.6 -0.3 16.9 20.0 -0.1 20.0 1.4 -0.7 6.8 1.5 10.1 0.6 9.3 1.7 10.1 20.0 20.0 20.0 20.0 -14.7 8.9 -13.9 14.7 FEEDCOW -5.3 -20.0 7.9 1.9 12.4 1.3 8.2 -1.6 3.3 13.0 -3.1 10.7 -1.5 -4.7 -3.3 -20.0 -20.0 -20.0 -20.0 -8.3 -4.5 11.9 -0.1 -3.1 -6.2 -1.8 5.8 -0.8 4.9 1.7 0.3 -20.0 20.0 3.6 -20.0 6.0 20.0 20.0 20.0 20.0 GASOIL -9.6 2.7 9.9 4.9 -0.7 5.2 -2.2 4.4 1.0 -15.3 10.4 -17.2 15.2 -4.7 13.4 4.8 20.0 14.2 18.1 6.3 13.3 -15.9 17.2 -6.8 6.8 2.5 -5.3 5.8 -8.1 7.5 -3.7 12.2 -11.1 -10.9 -13.1 -2.9 -12.9 -8.8 -20.0 -17.6 GASOLINE -6.2 14.6 16.3 5.5 -0.8 5.9 -2.5 4.9 1.2 -1.1 19.3 -3.4 18.4 15.6 20.0 20.0 12.2 15.7 9.5 20.0 20.0 0.2 20.0 9.8 -20.0 7.5 2.3 8.3 -0.5 8.0 2.8 -3.6 7.1 3.9 8.0 9.6 20.0 20.0 20.0 20.0 GAS_US_mini 7.6 5.5 -8.4 3.8 -0.6 4.0 -1.7 3.4 0.8 -4.6 -17.8 -3.0 -18.4 -11.7 -16.5 -20.0 -20.0 -20.0 -20.0 -11.6 -20.0 -1.0 -20.0 -4.2 20.0 -6.4 -1.1 -9.1 -0.9 -9.5 -3.2 -20.0 11.5 -9.0 -20.0 -20.0 -20.0 -3.9 -20.0 -8.9 GBP -11.4 -13.1 -4.7 -4.9 0.8 -1.6 -4.5 1.1 -6.6 12.1 4.5 -9.6 4.8 -16.5 -15.0 -1.0 -0.7 -0.8 -0.7 -10.8 -3.1 -6.1 1.8 -14.0 1.7 -3.8 5.8 0.2 -2.7 1.8 -6.2 2.9 6.4 6.9 3.7 12.3 -20.0 -9.8 -20.0 -3.4 GOLD_micro -1.6 20.0 16.4 3.6 -0.6 2.2 0.6 0.8 2.9 -9.1 13.5 4.1 10.9 11.4 13.0 -12.7 -14.5 -14.1 -14.5 20.0 20.0 0.6 12.6 16.9 -3.5 4.7 -1.4 4.0 0.1 2.6 3.2 -14.8 -6.5 20.0 20.0 20.0 -20.0 -19.6 -10.3 -11.4 HEATOIL -9.5 3.2 5.2 5.1 -0.8 5.4 -2.3 4.5 1.1 -13.3 1.6 -16.5 10.3 -6.1 10.2 0.1 20.0 10.5 16.5 2.5 7.9 -16.2 11.7 -8.8 -20.0 1.2 -5.7 5.3 -8.5 8.3 -5.2 11.3 -13.6 -15.9 -17.8 -5.5 17.9 5.8 13.9 1.7 JGB-SGX-mini -20.0 -16.5 -6.1 -2.7 -3.4 -1.4 -3.6 -1.1 -3.5 -8.6 1.8 -9.5 4.5 -8.9 -8.0 8.4 15.7 10.6 12.0 -8.2 -2.5 -13.0 1.2 -12.3 -7.6 -2.9 -4.0 -1.3 -4.3 -0.5 -4.2 20.0 -2.6 -7.4 -5.1 2.7 -11.8 -12.0 1.4 10.2 JPY -15.2 -17.3 -18.3 -4.4 0.7 -1.4 -4.0 1.0 -5.9 -17.6 -20.0 -19.5 -20.0 -20.0 -20.0 -18.1 -16.7 -17.5 -17.0 -20.0 -20.0 -20.0 -20.0 -20.0 20.0 -7.0 -5.2 -6.0 -6.4 -6.3 -7.3 -20.0 -15.4 -16.0 -16.9 -20.0 -20.0 -11.3 -19.8 -10.9 LEANHOG -5.3 4.4 20.0 2.7 17.5 1.8 11.6 -2.3 4.7 11.7 18.4 9.5 -3.0 10.6 20.0 -20.0 -20.0 -20.0 -20.0 19.0 15.9 16.7 2.7 15.7 11.4 7.3 5.6 8.2 5.9 3.0 4.9 -20.0 -16.1 14.1 18.7 20.0 -7.5 -8.6 1.2 14.8 LIVECOW -10.5 -16.5 9.6 1.9 12.5 1.3 8.2 -1.6 3.3 11.5 -0.6 5.1 0.4 -7.5 -0.8 20.0 6.5 20.0 15.1 -6.1 -2.2 4.4 1.0 -5.2 -5.4 -0.0 4.8 1.3 3.2 3.5 0.1 13.1 5.1 -3.1 -10.1 12.4 20.0 16.4 20.0 20.0 LUMBER-new -20.0 -20.0 0.1 2.4 15.5 1.6 10.2 -1.3 4.1 -13.8 0.0 -19.3 -10.7 -19.8 -14.0 -20.0 -17.1 -20.0 -18.6 -20.0 -8.7 -20.0 -3.0 -20.0 NaN -5.5 -4.5 -1.6 -8.4 -0.1 -8.8 -20.0 -20.0 -20.0 -20.0 -20.0 -12.2 -12.1 -5.0 -6.9 MILK 20.0 11.3 20.0 1.3 8.3 0.8 5.5 -1.1 2.2 8.0 -9.0 9.5 -11.0 4.4 -1.4 -20.0 -20.0 -20.0 -20.0 -0.1 -7.6 15.0 -13.3 9.3 11.6 -0.3 4.2 -3.0 5.2 -5.2 3.1 -20.0 20.0 17.4 -10.6 -6.8 -20.0 -20.0 -20.0 -20.0 MXP -20.0 -7.8 -0.0 -4.6 0.8 -1.5 -4.3 1.1 -6.2 -16.9 16.5 -17.4 19.7 -9.5 5.3 16.3 17.2 17.3 16.9 4.0 14.1 -20.0 20.0 -11.4 -20.0 2.4 -6.5 5.5 -7.4 7.3 -3.4 20.0 -20.0 -3.5 20.0 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -20.0 -20.0 -6.5 0.6 -1.0 3.1 -2.7 3.2 -2.6 -3.8 10.9 -7.3 12.7 -7.1 3.6 -10.2 -10.3 -11.0 -10.9 -3.0 8.8 -13.5 15.4 -13.0 -20.0 -0.8 -1.6 3.8 -4.6 6.5 -4.5 -8.2 -15.7 -1.1 -11.5 1.8 0.5 -1.2 5.2 -1.9 NIKKEI -20.0 -17.3 5.9 0.7 -1.1 3.5 -3.0 3.6 -2.9 -5.5 11.6 -9.1 13.8 -8.3 7.6 2.0 9.8 5.3 7.9 3.3 16.0 -13.8 19.7 -10.9 -13.4 1.3 -2.0 5.6 -4.3 7.0 -3.4 20.0 -11.0 -3.3 -6.0 20.0 -16.9 -7.6 -8.6 -8.8 NZD -4.2 -15.1 -7.0 -3.6 0.6 -1.1 -3.3 0.8 -4.9 8.6 -4.6 -7.6 -4.8 -12.4 -13.6 0.1 0.2 0.2 0.2 -11.4 -6.8 -3.9 -3.9 -10.6 0.6 -4.6 2.0 -2.6 -1.5 -1.1 -4.3 4.4 3.3 8.7 -7.7 -5.3 -13.0 -6.1 -5.2 5.9 OAT -10.5 -12.8 -5.0 -3.0 -3.8 -1.6 -4.0 -1.3 -3.9 -9.7 0.3 -10.2 0.2 -10.3 -10.3 5.6 6.0 5.1 5.1 -6.6 -2.1 -11.3 -1.3 -9.4 3.1 -1.5 -9.4 0.5 -6.4 0.6 -3.6 14.4 1.4 11.8 10.8 3.7 -17.1 -20.0 13.9 0.7 OATIES 1.9 -2.2 -7.7 1.4 11.7 1.1 6.6 -1.9 2.0 16.9 -17.1 16.0 -15.4 2.5 -4.5 4.9 -0.0 6.4 3.3 -7.0 -14.4 18.1 -15.8 4.3 -20.0 -2.5 9.4 -4.3 8.0 -4.5 2.0 -2.2 20.0 -0.2 -10.6 -9.2 -16.1 -1.5 -2.6 16.6 OJ -2.1 0.2 -1.3 2.2 14.1 1.4 9.3 -1.9 3.8 3.2 8.5 6.2 15.4 9.0 15.3 3.8 13.0 5.8 8.7 8.7 15.4 4.9 20.0 5.3 -20.0 1.2 4.3 6.2 1.6 17.0 0.3 15.3 -8.1 -9.1 -7.8 1.8 9.0 8.9 20.0 20.0 PALLAD 0.5 9.0 11.1 2.3 -0.4 1.4 0.4 0.5 1.9 -8.1 -3.2 -6.9 -7.7 0.2 0.9 -2.0 -2.1 -1.9 -1.9 0.5 -2.8 -4.4 -9.5 -0.9 12.2 0.9 -4.6 -0.8 -2.6 -3.9 -0.2 6.8 -5.0 -8.9 -7.2 -4.6 -20.0 -15.2 -20.0 -9.7 PLAT 3.2 7.7 2.1 3.3 -0.6 2.0 0.5 0.7 2.6 -9.3 -1.7 -8.0 -7.8 -0.8 -2.1 -5.0 -3.7 -4.6 -4.2 1.6 0.1 -10.2 -2.5 -2.3 10.4 1.6 -5.1 1.1 -4.6 0.2 -0.6 3.6 -19.3 -8.5 -10.1 -7.2 -18.9 -5.7 20.0 7.7 REDWHEAT 17.5 15.6 6.0 2.2 14.0 1.4 9.3 -1.9 3.7 18.0 -14.8 18.1 -18.8 15.9 0.1 -6.7 0.2 -0.7 0.1 3.3 -11.8 20.0 -20.0 18.1 -7.7 1.6 19.4 -4.1 14.1 -7.1 7.8 -3.7 20.0 20.0 12.8 -17.7 -9.9 -20.0 1.1 -20.0 RICE 20.0 -17.3 -8.0 1.0 6.4 0.6 4.2 -0.8 1.7 8.2 1.2 8.8 4.6 5.1 0.7 20.0 6.8 20.0 13.2 1.7 1.0 12.2 2.7 8.1 -6.7 -0.0 2.0 -0.2 3.1 0.3 1.8 10.8 20.0 16.7 -9.0 -5.9 1.6 -4.1 8.7 5.7 ROBUSTA 20.0 17.1 17.1 1.7 11.2 1.1 7.4 -1.5 3.0 14.0 16.8 15.0 16.6 15.9 16.6 15.8 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 6.2 4.6 5.7 5.5 5.0 6.2 20.0 20.0 20.0 20.0 20.0 -17.2 -20.0 -2.2 3.5 RUSSELL -20.0 -12.4 5.9 0.6 -1.0 3.2 -2.8 3.3 -2.6 1.1 8.8 -8.4 8.2 -8.7 -2.6 -6.4 -6.4 -6.5 -6.5 -3.8 4.0 -7.6 5.4 -10.5 -1.7 -0.6 0.0 2.5 -2.6 3.1 -3.5 -1.0 3.8 8.0 -5.7 -11.3 -12.8 -19.9 -13.1 -20.0 SHATZ -4.2 -10.8 -18.1 -2.3 -3.0 -1.2 -3.2 -1.0 -3.1 -7.6 -8.1 -7.8 -7.7 -8.0 -8.7 -20.0 -20.0 -20.0 -20.0 -10.5 -9.5 -10.4 -9.3 -9.8 7.6 -3.0 -4.1 -2.4 -3.3 -2.1 -2.9 -20.0 1.8 2.4 0.5 -8.2 -20.0 -20.0 -14.6 -20.0 SILVER-mini 10.8 20.0 13.3 3.3 -0.6 2.0 0.5 0.7 2.7 -10.3 8.6 4.2 4.0 9.1 10.0 -6.5 -6.7 -6.7 -6.8 15.4 10.7 -1.1 4.9 11.1 2.9 4.2 -2.0 3.2 -0.3 1.7 2.8 -1.3 -8.2 13.8 19.5 16.0 -12.8 -16.1 18.0 3.6 SMI -20.0 -6.7 10.4 0.8 -1.4 4.4 -3.8 4.6 -3.6 0.3 13.7 -6.7 11.4 -6.7 4.4 -2.5 4.0 1.1 3.3 2.2 8.9 -3.2 7.9 -5.4 13.6 3.1 0.1 5.8 -0.7 4.7 -0.7 16.7 17.6 20.0 10.9 -0.4 12.5 -1.2 20.0 -3.0 SOFR -20.0 -19.4 -10.0 -2.9 -3.8 -1.5 -4.0 -1.2 -3.9 -8.0 -1.8 -9.7 -2.5 -10.2 -10.3 -3.0 -0.4 -1.5 -0.7 -12.8 -7.4 -11.8 -4.7 -14.8 -2.4 -3.2 -2.6 -1.5 -3.3 -0.7 -4.0 4.1 5.1 -3.9 -1.7 0.7 -14.8 -20.0 6.5 -1.8 SOYBEAN -3.7 12.3 -10.2 2.4 15.1 1.5 9.9 -2.0 4.0 17.2 -13.7 3.1 -7.4 1.7 -6.1 -3.7 10.2 0.8 5.0 -6.7 -13.6 2.1 -15.0 -2.7 -20.0 -2.4 5.2 -4.9 1.4 -4.8 -0.8 9.4 -8.9 -15.0 13.4 -20.0 -12.3 -20.0 -10.4 -20.0 SOYMEAL 13.1 11.0 -20.0 2.2 14.1 1.4 9.3 -1.9 3.8 14.9 -18.2 15.2 -15.7 9.2 -12.8 -4.0 6.4 -3.8 0.2 -7.6 -20.0 14.4 -18.9 6.1 -20.0 -1.5 8.3 -7.1 7.8 -5.8 4.6 2.2 10.1 6.6 10.6 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -19.1 12.1 -0.7 1.6 10.1 1.0 6.7 -1.3 2.7 -2.4 -12.4 -10.2 -10.9 -9.0 -7.0 -6.9 0.5 -6.6 -4.1 -8.4 -9.8 -11.5 -12.3 -12.1 -20.0 -2.3 -1.5 -1.6 -4.2 -2.1 -4.3 -6.8 -20.0 -20.0 -0.4 -8.2 -20.0 -12.4 -8.3 5.6 SP400 -20.0 -11.5 12.9 0.7 -1.2 3.7 -3.2 3.8 -3.0 5.7 12.2 -8.2 12.0 -7.5 3.2 -4.9 -5.3 -5.2 -5.3 1.9 12.6 -7.6 13.2 -9.9 -11.6 1.4 1.4 4.6 -1.9 4.7 -2.3 1.0 4.0 7.2 5.8 -1.1 -13.1 -9.9 -10.7 -20.0 SP500_micro -20.0 -20.0 5.1 0.7 -1.3 4.0 -3.4 4.1 -3.3 -2.2 14.7 -9.6 15.8 -8.3 6.7 -11.9 -11.7 -12.7 -12.5 1.4 16.6 -13.7 20.0 -13.4 -20.0 1.0 -0.7 6.1 -4.1 7.8 -3.9 -10.7 -10.6 0.6 -2.9 10.9 -3.4 -4.2 4.7 -4.8 SUGAR11 -20.0 -11.1 -12.8 1.9 12.2 1.2 8.1 -1.6 3.3 -12.5 -12.0 -15.1 1.3 -14.4 -11.6 5.1 15.9 10.0 13.4 -20.0 -15.4 -20.0 -4.6 -20.0 -20.0 -5.4 -4.8 -3.9 -6.5 -1.2 -7.0 20.0 -20.0 -20.0 -20.0 -18.7 20.0 8.0 20.0 20.0 US10 -17.7 -17.0 -4.3 -2.4 -3.1 -1.3 -3.3 -1.0 -3.2 -6.6 -2.2 -8.0 -4.2 -8.4 -8.5 -5.1 -7.6 -6.7 -7.4 -10.1 -6.6 -9.0 -6.3 -11.4 2.2 -2.6 -2.3 -1.3 -2.8 -1.1 -3.3 -8.2 4.9 -1.4 -0.2 1.8 -20.0 -20.0 -7.9 4.0 US10U -17.5 -16.3 -3.6 -3.5 -4.5 -1.8 -4.7 -1.5 -4.6 -10.0 -2.9 -11.6 -5.7 -12.2 -12.3 -4.4 -1.2 -3.4 -2.0 -14.1 -9.4 -13.3 -9.5 -16.2 -0.1 -3.7 -3.8 -1.9 -4.3 -1.7 -4.8 2.3 5.1 -0.6 0.7 3.5 -20.0 -20.0 18.8 12.8 US2 -13.1 -18.7 -11.6 -2.3 -2.9 -1.2 -3.1 -1.0 -3.0 -5.4 -6.6 -7.6 -7.2 -8.1 -8.4 -20.0 -20.0 -20.0 -20.0 -11.8 -9.1 -7.7 -9.2 -11.4 10.6 -2.7 -1.4 -1.7 -2.0 -1.4 -2.8 -20.0 6.9 -2.1 -4.2 -3.0 -20.0 -20.0 -17.6 -20.0 US20 -19.8 -16.6 -1.2 -2.5 -3.2 -1.3 -3.4 -1.1 -3.3 -7.4 0.0 -8.3 -2.5 -8.6 -8.4 -0.3 -0.7 -0.2 -0.4 -9.2 -5.3 -9.8 -5.7 -11.5 -0.9 -2.3 -3.1 -0.8 -3.4 -0.9 -3.5 3.9 2.7 -0.3 2.3 4.8 -20.0 -16.0 20.0 19.3 US30 -18.7 -15.2 -0.4 -3.0 -3.8 -1.6 -4.0 -1.2 -3.9 -9.3 -1.0 -10.1 -4.2 -10.4 -10.2 -2.3 -5.5 -4.9 -5.7 -10.4 -6.5 -11.7 -7.5 -13.1 -0.4 -2.8 -4.2 -1.1 -4.3 -1.4 -4.3 -4.8 2.0 1.1 2.6 5.5 -19.7 -13.6 20.0 20.0 US5 -16.8 -18.2 -8.3 -2.4 -3.1 -1.3 -3.3 -1.0 -3.2 -6.3 -4.4 -8.1 -5.5 -8.6 -8.7 -9.0 -10.1 -9.6 -9.9 -11.3 -7.7 -8.9 -6.9 -12.1 4.8 -2.8 -1.8 -1.5 -2.5 -1.1 -3.2 -12.5 5.8 -2.7 -2.2 -0.3 -20.0 -20.0 -12.6 -7.4 VIX 9.7 14.9 15.5 -3.0 -11.3 -7.5 -6.5 -12.8 -1.8 -18.8 -20.0 -13.8 -20.0 -7.3 -10.5 -20.0 -20.0 -20.0 -20.0 -4.1 -13.4 -11.5 -20.0 -3.4 NaN -3.6 -13.6 -9.0 -8.2 -16.1 -2.7 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 15.8 17.3 6.0 2.2 14.1 1.4 9.3 -1.9 3.8 18.0 -8.4 15.1 -18.3 14.7 0.4 -19.0 -13.2 -17.0 -14.9 4.4 -8.8 20.0 -20.0 18.3 1.9 1.4 18.6 -3.1 13.2 -5.4 6.9 -20.0 20.0 20.0 10.1 -20.0 -5.5 -20.0 0.3 -20.0 End of report for caleb_strategy_v3