******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240502_204005 produced at 2024-05-02 21:37:45.593581 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.18 0.0 0.00 0.00 0.00 0.00 -16.87 11.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.08 -0.44 0.0 0.76 -0.76 -0.08 -0.38 -5.78 10.0 -1 -5 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.22 -0.41 0.0 0.43 -0.43 -0.22 -0.22 -14.98 16.0 -8 -8 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.34 0.0 0.00 0.00 0.00 0.00 -10.46 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 -4.79 13.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.21 -0.26 0.0 999.00 -999.00 -0.21 -0.22 -53.71 999999999.0 -45 -46 caleb_strategy_v3 CHF False False 0.04 -0.32 -0.18 0.0 0.52 -0.52 -0.32 -0.32 -4.38 13.0 -8 -8 caleb_strategy_v3 JPY False False 0.02 -0.07 -0.12 0.0 0.40 -0.40 -0.07 -0.07 -5.10 17.0 -3 -3 caleb_strategy_v3 CAD False False 0.02 0.00 -0.10 0.0 0.62 -0.62 0.00 0.00 -4.52 29.0 0 0 caleb_strategy_v3 US5 False False 0.03 -0.37 -0.09 0.0 0.77 -0.77 -0.37 -0.37 -3.00 25.0 -12 -12 caleb_strategy_v3 EUR False False 0.04 -0.20 -0.05 0.0 0.55 -0.55 -0.20 -0.16 -1.39 14.0 -5 -4 caleb_strategy_v3 DOW False False 0.01 0.00 -0.05 0.0 0.37 -0.37 0.00 0.00 -8.61 66.0 0 0 caleb_strategy_v3 US10 False False 0.03 0.00 -0.05 0.0 0.54 -0.54 0.00 0.00 -1.56 17.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.33 -0.05 0.0 0.69 -0.69 -0.33 -0.33 -1.48 19.0 -9 -9 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.05 0.0 0.08 -0.08 -0.04 -0.04 -7.68 12.0 -6 -6 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.14 -0.14 -0.02 -0.02 -18.26 51.0 -6 -6 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.04 -0.05 0.0 0.04 -0.04 -0.04 -0.04 -31.27 26.0 -25 -25 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.05 0.0 0.01 -0.01 0.00 0.00 -11.16 3.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.04 0.0 0.17 -0.17 0.00 -0.09 -0.42 2.0 0 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.07 -0.04 0.0 0.24 -0.24 -0.07 -0.04 -3.53 23.0 -7 -4 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.04 0.0 0.36 -0.36 -0.01 -0.01 -4.95 48.0 -2 -2 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -20.28 59.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.08 -0.03 0.0 0.20 -0.20 -0.08 -0.06 -10.58 68.0 -28 -19 caleb_strategy_v3 COTTON2 False False 0.01 -0.04 -0.03 0.0 0.12 -0.12 -0.04 -0.04 -2.52 11.0 -4 -4 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.03 0.0 0.37 -0.37 -0.02 -0.02 -1.66 21.0 -1 -1 caleb_strategy_v3 US10U False False 0.03 -0.16 -0.03 0.0 0.42 -0.42 -0.16 -0.16 -0.92 13.0 -5 -5 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.03 0.0 0.09 -0.09 -0.03 -0.06 -1.00 3.0 -1 -2 caleb_strategy_v3 NIKKEI False False 0.01 -0.02 -0.02 0.0 0.26 -0.26 -0.02 -0.01 -3.12 36.0 -3 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.02 0.0 0.12 -0.12 -0.05 -0.03 -1.07 7.0 -3 -2 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.02 0.0 0.30 -0.30 0.00 0.00 -0.57 8.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.00 -0.02 0.0 0.50 -0.50 0.00 0.00 -1.08 22.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.04 -2.58 10.0 -5 -5 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.02 0.0 0.11 -0.11 -0.01 -0.01 -3.38 18.0 -2 -2 caleb_strategy_v3 BUND False False 0.04 0.00 -0.02 0.0 0.41 -0.41 0.00 0.00 -0.54 10.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.01 -0.01 0.0 0.16 -0.16 0.01 0.00 -0.65 13.0 1 0 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.01 0.0 0.09 -0.09 -0.02 -0.04 -0.49 4.0 -1 -2 caleb_strategy_v3 MILK False False 0.01 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.78 5.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.88 9.0 0 0 caleb_strategy_v3 US20 False True 0.03 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.35 9.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.04 -0.01 0.0 0.21 -0.21 -0.04 -0.04 -0.36 6.0 -1 -1 caleb_strategy_v3 OAT False False 0.04 0.00 -0.01 0.0 0.39 -0.39 0.00 0.00 -0.22 10.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.50 2.0 0 0 caleb_strategy_v3 BUXL False False 0.04 -0.12 -0.01 0.0 0.16 -0.16 -0.12 -0.12 -0.26 4.0 -3 -3 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -0.43 2.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.07 -0.01 0.0 0.38 -0.38 -0.07 -0.05 -1.73 56.0 -10 -7 caleb_strategy_v3 AUD False False 0.02 -0.04 -0.01 0.0 0.36 -0.36 -0.04 -0.04 -0.73 19.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.06 -0.00 0.0 0.09 -0.09 -0.06 -0.06 -0.47 9.0 -6 -6 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.00 0.0 0.08 -0.08 0.00 0.00 -0.21 8.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.02 0.00 0.0 0.56 -0.56 0.02 0.00 0.07 26.0 1 0 caleb_strategy_v3 COFFEE False False 0.02 0.02 0.00 0.0 0.14 -0.14 0.02 0.02 0.17 6.0 1 1 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.00 0.0 0.25 -0.25 0.00 0.00 0.26 23.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.73 999999999.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.18 0.01 0.0 0.37 -0.37 0.18 0.15 0.19 10.0 5 4 caleb_strategy_v3 PLAT False False 0.01 0.00 0.01 0.0 0.14 -0.14 0.00 0.00 0.84 10.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.02 0.0 0.04 -0.04 0.00 0.00 2.18 4.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.02 0.0 0.05 -0.05 0.00 0.00 1.50 3.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.04 0.04 0.0 0.34 -0.34 0.04 0.02 1.84 17.0 2 1 caleb_strategy_v3 GASOLINE False False 0.03 0.19 0.04 0.0 999.00 -999.00 0.19 0.15 1.26 999999999.0 6 5 caleb_strategy_v3 EUROSTX False False 0.02 0.15 0.05 0.0 0.31 -0.31 0.15 0.15 3.37 20.0 10 10 caleb_strategy_v3 DAX False False 0.01 0.05 0.07 0.0 0.33 -0.33 0.05 0.05 11.81 58.0 8 9 caleb_strategy_v3 CAC True False 0.02 0.00 0.07 0.0 0.00 0.00 0.00 0.00 2.99 12.0 0 0 caleb_strategy_v3 SMI False True 0.04 0.21 0.08 0.0 0.21 0.00 0.21 0.18 2.20 9.0 6 5 caleb_strategy_v3 COPPER False False 0.03 0.13 0.12 0.0 999.00 -999.00 0.13 0.13 3.71 999999999.0 4 4 caleb_strategy_v3 CRUDE_W False False 0.02 0.07 0.14 0.0 0.11 -0.11 0.07 0.07 6.44 5.0 3 3 caleb_strategy_v3 DX False False 0.03 0.00 0.14 0.0 999.00 -999.00 0.00 0.00 4.52 999999999.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.26 0.32 0.0 0.51 -0.51 0.26 0.26 37.98 60.0 30 31 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 15.4 Shocked risk 40.4 Sum abs risk 53.0 Leverage 5.53 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3426088.3, 'annual_cash_vol_target': 856522.075, 'daily_cash_vol_target': 53532.6296875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6579 0.6786 10.8577 BITCOIN 1901.7240 59670.0000 3.1871 50.9931 BOBL 0.2757 116.7300 0.2362 3.7786 BTP 0.6514 117.5500 0.5542 8.8666 BUND 0.5543 130.6600 0.4242 6.7873 BUXL 1.2941 130.2600 0.9935 15.8957 CAC 53.0787 7923.0000 0.6699 10.7189 CAD 0.0030 0.7319 0.4039 6.4628 CANOLA 7.7062 636.8000 1.2102 19.3624 CHF 0.0051 1.1040 0.4593 7.3492 COCOA 412.2410 7340.0000 5.6164 89.8618 COFFEE 4.5257 206.3000 2.1938 35.1002 COPPER 0.0542 4.5100 1.2015 19.2237 CORN 4.8667 479.5000 1.0150 16.2393 COTTON2 1.2781 75.5500 1.6917 27.0673 CRUDE_W 0.9058 75.8800 1.1937 19.0995 DAX 138.3212 18114.0000 0.7636 12.2178 DOW 253.2332 38412.0000 0.6593 10.5481 DX 0.3734 105.2100 0.3549 5.6784 EUR 0.0046 1.0747 0.4234 6.7747 EURIBOR-ICE 0.0519 97.3500 0.0534 0.8536 EUROSTX 40.7952 4885.0000 0.8351 13.3618 FEEDCOW 2.3184 255.4000 0.9077 14.5240 GASOIL 10.7436 754.2500 1.4244 22.7906 GASOLINE 0.0379 2.5215 1.5018 24.0282 GAS_US_mini 0.0821 2.3350 3.5149 56.2376 GBP 0.0061 1.2537 0.4874 7.7988 GOLD_micro 21.2801 2314.4000 0.9195 14.7114 HEATOIL 0.0339 2.4763 1.3690 21.9032 JGB-SGX-mini 0.2194 144.4600 0.1519 2.4301 JPY 0.0000 0.0064 0.6480 10.3678 LEANHOG 1.3073 103.3750 1.2646 20.2340 LIVECOW 1.5541 173.8000 0.8942 14.3072 LUMBER-new 7.4690 530.5000 1.4079 22.5268 MILK 0.2553 19.0300 1.3416 21.4660 MXP 0.0004 0.0585 0.6826 10.9223 NASDAQ_micro 172.9132 17678.0000 0.9781 15.6500 NIKKEI 406.6293 37905.0000 1.0728 17.1641 NZD 0.0040 0.5962 0.6672 10.6752 OAT 0.5555 125.9200 0.4412 7.0590 OATIES 5.1611 372.5000 1.3855 22.1684 OJ 5.1809 373.2000 1.3882 22.2118 PALLAD 23.4604 941.0000 2.4931 39.8902 PLAT 15.4460 965.0000 1.6006 25.6099 REDWHEAT 10.5514 649.7500 1.6239 25.9827 RICE 0.2133 15.1800 1.4053 22.4847 ROBUSTA 82.6411 3679.0000 2.2463 35.9407 RUSSELL 22.7886 2027.4000 1.1240 17.9845 SHATZ 0.0838 105.2100 0.0797 1.2746 SILVER-mini 0.4535 27.1000 1.6735 26.7758 SMI 80.5906 11231.0000 0.7176 11.4812 SOFR 0.0681 95.9700 0.0709 1.1350 SOYBEAN 10.5812 1187.7500 0.8909 14.2538 SOYMEAL 4.9857 365.1000 1.3656 21.8492 SOYOIL 0.6439 43.4200 1.4830 23.7277 SP400 25.3680 2919.0000 0.8691 13.9050 SP500_micro 37.6311 5095.2500 0.7386 11.8168 SUGAR11 0.2964 19.3000 1.5355 24.5683 US10 0.4176 108.2969 0.3856 6.1701 US10U 0.5397 111.1406 0.4856 7.7699 US2 0.1109 101.6211 0.1091 1.7462 US20 0.7823 115.0312 0.6800 10.8808 US30 1.1330 120.7812 0.9381 15.0091 US5 0.2726 105.3828 0.2586 4.1382 VIX 0.4703 16.3000 2.8856 46.1693 WHEAT 8.8534 649.2500 1.3636 21.8182 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 657.90 0.68 446.46 1.00 446.46 53532.63 119.91 -2.35 -28.22 BITCOIN 59.67 3.19 190.17 1.00 190.17 53532.63 281.50 -6.65 -187.24 BOBL 1167.30 0.24 275.67 1.07 293.73 53532.63 182.25 -8.00 -145.75 BTP 1175.50 0.55 651.42 1.07 694.09 53532.63 77.13 0.72 5.56 BUND 1306.60 0.42 554.27 1.07 590.58 53532.63 90.64 -5.90 -53.49 BUXL 1302.60 0.99 1294.11 1.07 1378.88 53532.63 38.82 -6.49 -25.21 CAC 792.30 0.67 530.79 1.07 565.55 53532.63 94.66 9.27 87.72 CAD 731.90 0.40 295.63 1.00 295.63 53532.63 181.08 -9.62 -174.25 CANOLA 127.36 1.21 154.12 0.73 111.83 53532.63 478.68 -15.68 -750.64 CHF 1379.94 0.46 633.84 1.00 633.84 53532.63 84.46 -20.00 -168.92 COCOA 734.00 5.62 4122.41 1.00 4122.41 53532.63 12.99 2.66 3.46 COFFEE 773.62 2.19 1697.15 1.00 1697.15 53532.63 31.54 4.63 14.61 COPPER 1127.50 1.20 1354.67 1.00 1354.67 53532.63 39.52 8.67 34.27 CORN 239.75 1.01 243.34 1.00 243.34 53532.63 219.99 -14.35 -315.74 COTTON2 377.75 1.69 639.04 1.00 639.04 53532.63 83.77 -14.03 -117.53 CRUDE_W 758.80 1.19 905.80 1.00 905.80 53532.63 59.10 10.06 59.44 DAX 181.14 0.76 138.32 1.07 147.38 53532.63 363.23 9.53 346.26 DOW 192.06 0.66 126.62 1.00 126.62 53532.63 422.79 -8.76 -370.36 DX 1052.10 0.35 373.39 1.00 373.39 53532.63 143.37 12.15 174.14 EUR 1343.38 0.42 568.81 1.00 568.81 53532.63 94.11 -5.68 -53.44 EURIBOR-ICE 2433.75 0.05 129.84 1.07 138.35 53532.63 386.95 -4.38 -169.40 EUROSTX 488.50 0.84 407.95 1.07 434.67 53532.63 123.16 8.01 98.69 FEEDCOW 1277.00 0.91 1159.20 1.00 1159.20 53532.63 46.18 -3.72 -17.20 GASOIL 754.25 1.42 1074.36 1.00 1074.36 53532.63 49.83 -2.28 -11.36 GASOLINE 1059.03 1.50 1590.41 1.00 1590.41 53532.63 33.66 8.62 29.03 GAS_US_mini 58.38 3.51 205.18 1.00 205.18 53532.63 260.91 -11.07 -288.81 GBP 783.56 0.49 381.93 1.00 381.93 53532.63 140.16 -2.96 -41.44 GOLD_micro 231.44 0.92 212.80 1.00 212.80 53532.63 251.56 -2.02 -50.73 HEATOIL 1040.05 1.37 1423.77 1.00 1423.77 53532.63 37.60 -6.17 -23.18 JGB-SGX-mini 144460.00 0.15 21941.00 0.01 138.97 53532.63 385.21 -3.59 -138.32 JPY 800.88 0.65 518.96 1.00 518.96 53532.63 103.15 -19.07 -196.73 LEANHOG 413.50 1.26 522.92 1.00 522.92 53532.63 102.37 -1.04 -10.63 LIVECOW 695.20 0.89 621.65 1.00 621.65 53532.63 86.11 6.44 55.48 LUMBER-new 145.89 1.41 205.40 1.00 205.40 53532.63 260.63 -20.00 -521.26 MILK 380.60 1.34 510.62 1.00 510.62 53532.63 104.84 -3.48 -36.46 MXP 292.65 0.68 199.78 1.00 199.78 53532.63 267.96 9.66 258.75 NASDAQ_micro 353.56 0.98 345.83 1.00 345.83 53532.63 154.80 -9.81 -151.80 NIKKEI 37905.00 1.07 40662.93 0.01 257.55 53532.63 207.85 -1.39 -28.85 NZD 596.25 0.67 397.82 1.00 397.82 53532.63 134.57 -4.77 -64.16 OAT 1259.20 0.44 555.54 1.07 591.93 53532.63 90.44 -0.70 -6.31 OATIES 186.25 1.39 258.05 1.00 258.05 53532.63 207.45 -2.97 -61.58 OJ 559.80 1.39 777.14 1.00 777.14 53532.63 68.88 10.14 69.83 PALLAD 941.00 2.49 2346.04 1.00 2346.04 53532.63 22.82 -5.58 -12.72 PLAT 482.50 1.60 772.30 1.00 772.30 53532.63 69.32 3.55 24.63 REDWHEAT 324.88 1.62 527.57 1.00 527.57 53532.63 101.47 -1.56 -15.82 RICE 303.60 1.41 426.65 1.00 426.65 53532.63 125.47 7.15 89.76 ROBUSTA 367.90 2.25 826.41 1.00 826.41 53532.63 64.78 3.45 22.36 RUSSELL 101.37 1.12 113.94 1.00 113.94 53532.63 469.82 -6.79 -319.16 SHATZ 1052.10 0.08 83.81 1.07 89.30 53532.63 599.46 -17.21 -1031.77 SILVER-mini 677.50 1.67 1133.79 1.00 1133.79 53532.63 47.22 4.53 21.41 SMI 1123.10 0.72 805.91 1.09 874.85 53532.63 61.19 10.52 64.37 SOFR 2399.25 0.07 170.20 1.00 170.20 53532.63 314.53 -8.83 -277.63 SOYBEAN 593.88 0.89 529.06 1.00 529.06 53532.63 101.18 -11.39 -115.25 SOYMEAL 365.10 1.37 498.57 1.00 498.57 53532.63 107.37 -8.77 -94.20 SOYOIL 260.52 1.48 386.35 1.00 386.35 53532.63 138.56 -20.00 -277.12 SP400 2919.00 0.87 2536.80 1.00 2536.80 53532.63 21.10 -6.05 -12.76 SP500_micro 254.76 0.74 188.16 1.00 188.16 53532.63 284.51 -7.49 -213.20 SUGAR11 216.16 1.54 331.92 1.00 331.92 53532.63 161.28 -9.86 -159.05 US10 1082.97 0.39 417.63 1.00 417.63 53532.63 128.18 -9.63 -123.48 US10U 1111.41 0.49 539.72 1.00 539.72 53532.63 99.19 -7.33 -72.65 US2 2032.42 0.11 221.82 1.00 221.82 53532.63 241.34 -15.66 -377.86 US20 1150.31 0.68 782.27 1.00 782.27 53532.63 68.43 -4.07 -27.83 US30 1207.81 0.94 1133.01 1.00 1133.01 53532.63 47.25 -5.98 -28.24 US5 1053.83 0.26 272.56 1.00 272.56 53532.63 196.41 -12.07 -237.08 VIX 163.00 2.89 470.35 1.00 470.35 53532.63 113.81 -19.12 -217.59 WHEAT 324.62 1.36 442.67 1.00 442.67 53532.63 120.93 -2.92 -35.29 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -28.222 0.010 2.5 -0.732 BITCOIN -187.237 0.043 2.5 -20.275 BOBL -145.751 0.004 2.5 -1.478 BTP 5.559 0.014 2.5 0.190 BUND -53.491 0.004 2.5 -0.542 BUXL -25.209 0.004 2.5 -0.256 CAC 87.720 0.014 2.5 2.992 CAD -174.246 0.010 2.5 -4.521 CANOLA -750.640 0.010 2.5 -18.262 CHF -168.916 0.010 2.5 -4.383 COCOA 3.456 0.009 2.5 0.074 COFFEE 14.614 0.005 2.5 0.171 COPPER 34.266 0.043 2.5 3.711 CORN -315.739 0.010 2.5 -7.681 COTTON2 -117.529 0.009 2.5 -2.517 CRUDE_W 59.445 0.043 2.5 6.437 DAX 346.261 0.014 2.5 11.810 DOW -370.360 0.009 2.5 -8.607 DX 174.140 0.010 2.5 4.518 EUR -53.437 0.010 2.5 -1.386 EURIBOR-ICE -169.402 0.014 2.5 -5.778 EUROSTX 98.687 0.014 2.5 3.366 FEEDCOW -17.195 0.013 2.5 -0.570 GASOIL -11.356 0.017 2.5 -0.492 GASOLINE 29.031 0.017 2.5 1.258 GAS_US_mini -288.807 0.043 2.5 -31.274 GBP -41.445 0.010 2.5 -1.075 GOLD_micro -50.726 0.014 2.5 -1.730 HEATOIL -23.182 0.017 2.5 -1.005 JGB-SGX-mini -138.318 0.043 2.5 -14.978 JPY -196.732 0.010 2.5 -5.104 LEANHOG -10.633 0.024 2.5 -0.646 LIVECOW 55.483 0.013 2.5 1.839 LUMBER-new -521.256 0.009 2.5 -11.156 MILK -36.465 0.009 2.5 -0.781 MXP 258.750 0.059 2.5 37.977 NASDAQ_micro -151.803 0.009 2.5 -3.528 NIKKEI -28.845 0.043 2.5 -3.124 NZD -64.162 0.010 2.5 -1.665 OAT -6.308 0.014 2.5 -0.215 OATIES -61.580 0.010 2.5 -1.498 OJ 69.833 0.009 2.5 1.496 PALLAD -12.724 0.014 2.5 -0.434 PLAT 24.631 0.014 2.5 0.840 REDWHEAT -15.825 0.005 2.5 -0.210 RICE 89.760 0.010 2.5 2.184 ROBUSTA 22.362 0.005 2.5 0.261 RUSSELL -319.156 0.013 2.5 -10.576 SHATZ -1031.767 0.004 2.5 -10.463 SILVER-mini 21.410 0.014 2.5 0.730 SMI 64.369 0.014 2.5 2.196 SOFR -277.629 0.024 2.5 -16.873 SOYBEAN -115.253 0.004 2.5 -1.072 SOYMEAL -94.200 0.004 2.5 -0.876 SOYOIL -277.123 0.004 2.5 -2.580 SP400 -12.762 0.013 2.5 -0.423 SP500_micro -213.198 0.009 2.5 -4.955 SUGAR11 -159.054 0.009 2.5 -3.383 US10 -123.478 0.005 2.5 -1.565 US10U -72.654 0.005 2.5 -0.921 US2 -377.861 0.005 2.5 -4.788 US20 -27.834 0.005 2.5 -0.353 US30 -28.235 0.005 2.5 -0.358 US5 -237.082 0.005 2.5 -3.004 VIX -217.594 0.099 2.5 -53.711 WHEAT -35.285 0.005 2.5 -0.468 ===================== Position diags ===================== AUD 3.11 BITCOIN 30.48 BOBL 1.85 BTP 2.63 BUND 0.92 BUXL 0.39 CAC 3.23 CAD 4.70 CANOLA 11.65 CHF 2.19 COCOA 0.28 COFFEE 0.37 COPPER 4.28 CORN 5.35 COTTON2 1.79 CRUDE_W 6.40 DAX 12.39 DOW 9.83 DX 3.72 EUR 2.44 EURIBOR-ICE 13.20 EUROSTX 4.20 FEEDCOW 1.53 GASOIL 2.16 GASOLINE 1.46 GAS_US_mini 28.25 GBP 3.64 GOLD_micro 8.58 HEATOIL 1.63 JGB-SGX-mini 41.71 JPY 2.68 LEANHOG 6.22 LIVECOW 2.85 LUMBER-new 5.58 MILK 2.25 MXP 39.33 NASDAQ_micro 3.60 NIKKEI 22.51 NZD 3.49 OAT 3.08 OATIES 5.05 OJ 1.48 PALLAD 0.78 PLAT 2.36 REDWHEAT 1.35 RICE 3.05 ROBUSTA 0.76 RUSSELL 15.57 SHATZ 6.08 SILVER-mini 1.61 SMI 2.09 SOFR 19.12 SOYBEAN 0.94 SOYMEAL 1.00 SOYOIL 1.29 SP400 0.70 SP500_micro 6.61 SUGAR11 3.43 US10 1.62 US10U 1.26 US2 3.06 US20 0.87 US30 0.60 US5 2.49 VIX 28.09 WHEAT 1.60 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.7 -1.0 -0.4 -2.0 -2 BITCOIN -20.3 -23.3 -17.2 0.0 0 BOBL -1.5 -1.7 -1.3 -9.0 -9 BTP 0.2 -0.1 0.5 5.0 5 BUND -0.5 -0.6 -0.5 0.0 0 BUXL -0.3 -0.3 -0.2 -3.0 -3 CAC 3.0 2.7 3.3 0.0 0 CAD -4.5 -5.0 -4.1 0.0 0 CANOLA -18.3 -19.4 -17.1 -6.0 -6 CHF -4.4 -4.6 -4.2 -8.0 -8 COCOA 0.1 0.0 0.1 1.0 1 COFFEE 0.2 0.1 0.2 1.0 1 COPPER 3.7 3.3 4.1 4.0 4 CORN -7.7 -8.2 -7.1 -6.0 -6 COTTON2 -2.5 -2.7 -2.3 -4.0 -4 CRUDE_W 6.4 5.8 7.1 3.0 3 DAX 11.8 10.6 13.0 8.0 8 DOW -8.6 -9.6 -7.6 0.0 0 DX 4.5 4.1 4.9 NaN 0 EUR -1.4 -1.6 -1.1 -5.0 -5 EURIBOR-ICE -5.8 -7.1 -4.5 -1.0 -1 EUROSTX 3.4 2.9 3.8 10.0 10 FEEDCOW -0.6 -0.7 -0.4 0.0 0 GASOIL -0.5 -0.7 -0.3 -1.0 -1 GASOLINE 1.3 1.1 1.4 6.0 6 GAS_US_mini -31.3 -34.1 -28.4 -25.0 -25 GBP -1.1 -1.4 -0.7 0.0 0 GOLD_micro -1.7 -2.6 -0.9 -10.0 -10 HEATOIL -1.0 -1.2 -0.8 -1.0 -1 JGB-SGX-mini -15.0 -19.1 -10.8 -8.0 -8 JPY -5.1 -5.4 -4.8 -3.0 -3 LEANHOG -0.6 -1.3 -0.0 1.0 1 LIVECOW 1.8 1.6 2.1 2.0 2 LUMBER-new -11.2 -11.7 -10.6 NaN 0 MILK -0.8 -1.0 -0.6 NaN 0 MXP 38.0 34.0 41.9 30.0 30 NASDAQ_micro -3.5 -3.9 -3.2 -7.0 -7 NIKKEI -3.1 -5.4 -0.9 -3.0 -3 NZD -1.7 -2.0 -1.3 -1.0 -1 OAT -0.2 -0.5 0.1 0.0 0 OATIES -1.5 -2.0 -1.0 NaN 0 OJ 1.5 1.3 1.6 NaN 0 PALLAD -0.4 -0.5 -0.4 0.0 0 PLAT 0.8 0.6 1.1 0.0 0 REDWHEAT -0.2 -0.3 -0.1 0.0 0 RICE 2.2 1.9 2.5 NaN 0 ROBUSTA 0.3 0.2 0.3 0.0 0 RUSSELL -10.6 -12.1 -9.0 -28.0 -28 SHATZ -10.5 -11.1 -9.9 NaN 0 SILVER-mini 0.7 0.6 0.9 0.0 0 SMI 2.2 2.0 2.4 6.0 6 SOFR -16.9 -18.8 -15.0 NaN 0 SOYBEAN -1.1 -1.2 -1.0 -3.0 -3 SOYMEAL -0.9 -1.0 -0.8 0.0 0 SOYOIL -2.6 -2.7 -2.5 -5.0 -5 SP400 -0.4 -0.5 -0.4 0.0 0 SP500_micro -5.0 -5.6 -4.3 -2.0 -2 SUGAR11 -3.4 -3.7 -3.0 -2.0 -2 US10 -1.6 -1.7 -1.4 0.0 0 US10U -0.9 -1.0 -0.8 -5.0 -5 US2 -4.8 -5.1 -4.5 NaN 0 US20 -0.4 -0.4 -0.3 0.0 0 US30 -0.4 -0.4 -0.3 -1.0 -1 US5 -3.0 -3.3 -2.8 -12.0 -12 VIX -53.7 -56.5 -50.9 -45.0 -45 WHEAT -0.5 -0.6 -0.3 -6.0 -6 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 3.8 3.8 3.8 3.8 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 -0.0 0.1 -0.1 0.0 -0.3 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 0.0 0.3 -0.0 0.1 -0.0 0.0 -0.1 0.0 -0.0 0.4 0.4 0.3 0.0 -0.7 -0.3 -0.4 -0.1 BITCOIN -0.6 -0.4 0.3 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.3 -0.1 0.5 -0.1 0.1 -0.1 -0.1 -0.2 -0.2 0.0 0.2 -0.2 0.5 -0.1 -2.7 0.0 -0.0 0.2 -0.1 0.3 -0.0 -0.2 -0.2 -0.6 -0.4 0.6 -0.3 -0.0 0.5 0.1 BOBL -0.3 -0.2 -0.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 -0.2 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.4 -0.3 -0.0 0.2 -0.0 -0.7 -0.7 0.2 -0.5 BTP -0.3 -0.4 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.2 -0.0 0.3 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.0 0.0 -0.0 0.2 -0.0 -2.5 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.8 -0.1 0.4 0.6 0.6 -0.3 -0.3 0.7 0.1 BUND -0.3 -0.3 -0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.3 0.1 0.3 0.1 -0.7 -0.7 0.4 -0.3 BUXL -0.3 -0.3 -0.1 -0.0 0.0 -0.1 -0.0 -0.1 -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 -0.0 -0.1 -0.1 -0.2 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.3 0.2 0.5 0.3 -0.7 -0.7 -0.2 -0.1 CAC -0.6 -0.5 0.5 -0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.2 0.5 -0.0 0.7 -0.1 0.2 0.4 0.1 0.3 0.2 0.1 0.2 -0.1 0.5 -0.0 -1.6 0.1 -0.0 0.3 -0.0 0.4 0.0 1.0 -0.1 0.6 0.6 0.5 -0.3 0.3 -0.3 0.4 CAD -0.2 -0.3 -0.2 -0.1 0.0 -0.1 -0.0 0.0 -0.1 0.1 -0.3 -0.0 -0.4 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.2 0.0 0.0 -0.1 -0.6 -0.5 -0.2 -0.4 CANOLA -0.3 0.6 0.3 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 -0.2 -0.0 -0.3 -0.0 0.0 -0.3 -0.2 -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 0.1 -0.2 0.3 -0.3 -0.7 -0.6 -0.4 -0.1 CHF 0.0 -0.6 -0.6 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.5 -0.1 -0.4 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.3 -0.2 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -1.1 -0.3 -0.0 -0.6 -0.6 -0.1 -0.6 0.1 -0.5 COCOA -0.6 -0.5 -0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.2 -0.1 0.2 0.0 0.1 0.4 0.3 0.4 0.4 0.1 0.1 -0.1 0.2 -0.0 -1.9 0.0 -0.0 0.1 -0.0 0.1 0.0 1.1 -0.5 0.1 0.6 0.6 0.1 0.0 0.3 0.3 COFFEE -0.1 0.5 0.3 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 0.4 -0.1 0.4 0.1 0.1 0.3 0.2 0.3 0.2 0.2 0.2 -0.1 0.3 0.1 -2.7 0.1 -0.0 0.1 -0.0 0.1 0.0 0.7 -0.5 0.6 0.6 0.6 -0.1 -0.7 0.2 -0.3 COPPER 0.2 0.6 0.6 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.4 0.1 0.2 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.1 0.3 0.2 -1.9 0.1 -0.0 0.1 0.0 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 0.3 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.1 -0.3 0.1 -0.7 0.1 -0.0 -0.4 -0.2 -0.4 -0.3 -0.0 -0.1 0.1 -0.5 0.0 -2.2 -0.0 0.1 -0.2 0.1 -0.4 0.0 -1.1 0.5 0.1 0.3 -0.6 -0.5 -0.7 -0.4 0.0 COTTON2 -0.6 -0.6 0.2 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 0.1 0.2 0.1 -0.2 -0.1 -0.2 -0.0 -0.2 -2.7 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.2 -0.5 -0.6 -0.6 0.4 -0.4 -0.5 0.1 0.0 CRUDE_W -0.6 0.3 0.3 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.2 0.3 -0.2 0.6 0.1 0.2 0.3 0.2 0.3 0.3 0.1 0.2 -0.2 0.5 -0.1 -0.7 0.0 -0.1 0.2 -0.1 0.3 -0.0 -0.1 -0.2 0.0 0.3 0.0 0.7 0.6 0.7 0.6 DAX -0.6 -0.5 0.3 -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 -0.2 -0.3 0.1 0.2 -0.0 0.5 -0.0 1.7 0.1 -0.0 0.2 0.0 0.3 0.0 -0.6 -0.1 0.2 0.6 0.6 -0.1 0.3 0.2 0.6 DOW -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 -0.2 -0.2 -0.2 -0.2 -0.1 0.1 -0.1 0.4 -0.1 -1.6 -0.0 -0.0 0.1 -0.0 0.3 -0.0 -0.5 0.0 0.1 -0.1 -0.2 0.0 -0.3 0.3 -0.5 DX 0.4 0.5 0.3 -0.1 0.0 -0.1 -0.0 0.0 -0.1 -0.1 0.4 0.1 0.4 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.0 0.3 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 -0.1 0.0 -0.1 -0.0 0.0 -0.1 0.1 -0.2 -0.1 -0.3 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 2.5 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.4 0.2 0.2 -0.0 0.1 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.5 -0.6 -0.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 1.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.3 -0.2 0.1 -0.0 -0.7 -0.7 0.2 0.5 EUROSTX -0.6 -0.5 0.4 -0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.1 0.5 -0.1 0.7 -0.1 0.2 -0.1 -0.0 -0.1 -0.0 0.1 0.2 -0.1 0.5 -0.0 -0.1 0.1 -0.0 0.3 0.0 0.3 0.0 0.5 -0.1 0.5 0.6 0.6 -0.5 0.3 -0.5 0.4 FEEDCOW 0.3 -0.6 0.1 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.0 -0.4 -0.4 -0.4 -0.4 -0.1 -0.0 -0.0 -0.0 -0.0 -0.8 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -1.1 -0.0 0.1 -0.6 0.2 0.7 0.7 0.7 0.7 GASOIL -0.6 -0.1 0.2 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.2 0.2 -0.2 0.5 -0.2 0.1 0.0 0.4 0.2 0.3 -0.0 0.1 -0.2 0.4 -0.2 0.9 -0.0 -0.1 0.1 -0.1 0.2 -0.1 0.5 -0.3 -0.5 -0.5 -0.2 -0.5 -0.3 -0.7 -0.6 GASOLINE -0.6 0.2 0.4 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.5 -0.2 0.7 0.1 0.2 0.4 0.3 0.4 0.2 0.1 0.2 -0.2 0.5 -0.0 -2.7 0.1 -0.1 0.2 -0.1 0.3 -0.0 -0.1 -0.0 0.1 0.3 0.3 0.7 0.7 0.7 0.7 GAS_US_mini 0.2 0.3 -0.1 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 -0.5 -0.1 -0.6 -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 -0.4 -0.0 -1.1 0.4 0.3 -0.6 -0.6 -0.6 -0.1 -0.7 -0.3 GBP -0.2 -0.5 -0.2 -0.1 0.0 -0.1 -0.0 0.0 -0.1 0.1 0.1 0.0 0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 0.0 -0.1 0.2 -0.0 0.0 0.0 0.0 0.1 -0.0 0.2 0.2 0.3 0.1 0.4 -0.7 -0.4 -0.7 -0.1 GOLD_micro -0.6 0.4 0.5 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.3 -0.1 0.3 0.1 0.1 -0.2 -0.3 -0.3 -0.3 0.2 0.2 -0.0 0.3 0.1 -0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.8 -0.3 0.2 0.6 0.6 -0.7 -0.6 -0.2 -0.3 HEATOIL -0.6 -0.1 0.1 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.2 0.0 -0.2 0.4 -0.2 0.0 -0.0 0.4 0.2 0.3 -0.1 0.1 -0.2 0.3 -0.2 -2.7 -0.0 -0.1 0.1 -0.1 0.2 -0.1 0.5 -0.2 -0.6 -0.6 -0.3 0.6 0.2 0.4 0.1 JGB-SGX-mini -0.5 -0.5 -0.2 -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 0.3 0.2 0.2 -0.1 -0.0 -0.0 0.0 -0.1 -1.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 1.1 -0.0 -0.2 -0.1 0.1 -0.4 -0.4 0.0 0.4 JPY -0.3 -0.4 -0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.4 -0.1 -0.6 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.2 -0.5 -0.2 2.7 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -1.1 -0.5 -0.6 -0.6 -0.6 -0.7 -0.4 -0.7 -0.4 LEANHOG -0.5 0.0 0.6 0.0 -0.1 0.1 -0.0 -0.1 0.0 -0.2 0.5 -0.2 -0.1 -0.0 0.2 -0.4 -0.4 -0.4 -0.4 0.1 0.2 -0.2 0.1 -0.0 1.4 0.1 -0.1 0.2 -0.1 0.1 -0.0 -1.1 -0.3 -0.3 0.1 0.6 -0.3 -0.3 0.0 0.5 LIVECOW 0.1 -0.6 0.2 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.0 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 -0.2 -0.1 -0.4 0.4 0.7 0.6 0.7 0.7 LUMBER-new -0.7 -0.7 -0.1 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.1 -0.1 -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 -0.0 -0.0 -0.1 -1.2 -0.5 -0.7 -0.7 -0.7 -0.5 -0.5 -0.2 -0.3 MILK 0.6 0.5 0.3 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.1 -0.2 0.1 -0.4 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.0 -0.1 0.1 -0.4 0.1 1.7 0.0 0.0 -0.1 0.1 -0.2 0.0 -1.1 0.5 0.6 0.1 -0.2 -0.7 -0.7 -0.7 -0.7 MXP -0.6 -0.4 -0.1 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.1 0.4 -0.1 0.7 -0.1 0.0 0.3 0.3 0.3 0.3 0.0 0.1 -0.0 0.5 -0.1 -2.7 0.0 0.0 0.1 -0.0 0.3 -0.0 1.1 0.0 -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 -0.0 0.4 -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 -0.1 0.1 -0.3 0.0 -0.0 -0.0 0.1 -0.0 NIKKEI -0.6 -0.6 0.1 -0.0 -0.0 0.1 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-0.1 1.6 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.4 -0.2 -0.3 -0.3 -0.2 -0.7 -0.6 -0.7 -0.4 PLAT -0.1 0.2 0.1 0.0 -0.0 0.1 -0.0 0.0 0.0 0.1 -0.0 -0.0 -0.3 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 -0.1 0.0 1.4 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.4 0.1 -0.1 -0.2 -0.6 -0.2 0.6 0.2 REDWHEAT 0.6 0.6 0.4 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.1 -0.3 0.1 -0.6 0.2 0.1 -0.2 -0.0 -0.1 -0.0 0.1 -0.1 0.2 -0.5 0.2 -1.0 0.0 0.0 -0.0 0.1 -0.2 0.1 -0.3 0.5 0.6 0.6 -0.4 -0.3 -0.7 0.1 -0.7 RICE 0.6 -0.4 -0.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.1 0.1 0.1 0.2 0.1 0.0 0.4 0.3 0.4 0.4 0.0 0.0 0.1 0.1 0.1 -0.9 0.0 0.0 0.0 0.0 0.0 0.0 1.1 0.0 0.6 -0.1 -0.1 -0.0 -0.1 0.2 0.2 ROBUSTA -0.6 -0.2 -0.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.3 -0.0 0.5 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 -0.1 0.5 0.1 -2.7 0.0 -0.0 0.1 -0.0 0.2 0.0 1.1 -0.5 0.6 0.6 0.6 -0.5 -0.7 -0.0 0.1 RUSSELL -0.6 -0.5 0.1 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 0.2 -0.0 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 0.1 -0.1 -0.2 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 0.2 -0.1 -0.3 -0.4 -0.7 -0.4 -0.7 SHATZ -0.2 -0.3 -0.6 -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 -0.3 -0.1 1.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.4 -0.1 -0.0 -0.3 -0.7 -0.7 -0.5 -0.7 SILVER-mini -0.3 0.6 0.5 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.2 -0.1 0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.1 0.1 0.0 0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 -0.3 0.1 0.5 0.5 -0.3 -0.5 0.6 0.1 SMI -0.6 -0.4 0.3 -0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.1 0.3 -0.1 0.4 -0.1 0.0 -0.1 0.1 0.0 0.1 0.0 0.1 -0.1 0.2 -0.1 1.7 0.0 -0.0 0.2 -0.0 0.2 -0.0 0.9 0.1 0.2 0.4 -0.0 0.4 -0.0 0.7 -0.1 SOFR -0.5 -0.6 -0.4 -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 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.2 0.0 -0.2 -0.1 0.0 -0.4 -0.7 0.3 -0.1 SOYBEAN -0.0 0.4 -0.2 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.1 -0.4 0.1 -0.3 0.0 -0.0 -0.1 0.2 0.0 0.1 -0.0 -0.1 0.0 -0.3 -0.0 -2.7 -0.0 0.1 -0.1 0.0 -0.2 0.0 0.4 0.5 -0.2 0.4 -0.6 -0.4 -0.7 -0.4 -0.7 SOYMEAL 0.6 0.6 -0.4 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.1 -0.4 0.2 -0.5 0.1 -0.1 -0.1 0.1 -0.1 -0.0 -0.0 -0.1 0.2 -0.3 0.1 -2.7 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 0.5 0.6 0.6 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.6 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.2 0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.3 -0.2 -2.7 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.4 -0.5 -0.6 -0.2 -0.4 -0.7 -0.4 -0.3 0.2 SP400 -0.6 -0.5 0.3 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 0.3 -0.1 0.4 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.0 0.3 -0.1 -1.6 0.0 0.0 0.1 -0.0 0.2 -0.0 0.1 0.2 0.1 0.1 -0.0 -0.5 -0.3 -0.4 -0.7 SP500_micro -0.6 -0.6 0.1 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.4 -0.1 0.5 -0.1 0.1 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.1 0.5 -0.1 -2.6 0.0 -0.0 0.2 -0.0 0.3 -0.0 -0.6 -0.0 0.0 -0.0 0.3 -0.1 -0.1 0.1 -0.1 SUGAR11 -0.6 -0.4 -0.5 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.1 -0.3 -0.2 -0.0 -0.2 -0.1 0.1 0.3 0.2 0.2 -0.2 -0.2 -0.1 -0.2 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 1.1 -0.3 -0.6 -0.6 -0.6 0.7 0.3 0.7 0.7 US10 -0.4 -0.5 -0.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 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-0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.0 -0.2 -0.1 0.7 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.6 0.0 -0.2 -0.1 -0.0 -0.6 -0.7 -0.3 -0.3 VIX 0.0 0.6 0.8 -0.1 -0.1 -0.3 -0.1 -0.7 -0.1 -0.2 -0.9 -0.3 -1.2 -0.2 -0.2 -0.6 -0.6 -0.6 -0.6 -0.1 -0.2 -0.2 -0.9 -0.2 NaN -0.1 -0.1 -0.4 -0.1 -0.8 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.6 0.6 0.3 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.1 -0.1 0.1 -0.6 0.2 0.1 -0.4 -0.3 -0.4 -0.3 0.1 -0.1 0.2 -0.5 0.2 0.2 0.0 0.0 -0.0 0.1 -0.1 0.1 -1.1 0.5 0.6 0.6 -0.6 -0.2 -0.7 0.0 -0.7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -2.9 -2.6 -2.2 -3.6 0.9 -1.5 -1.3 0.6 -3.6 11.8 -5.5 2.4 -9.2 -1.3 -8.4 -2.5 -2.9 -2.7 -2.8 -3.1 -3.3 6.2 -4.2 0.4 2.6 -1.1 6.8 -1.4 4.3 -1.9 0.9 -0.7 15.6 13.1 10.0 0.6 -20.0 -9.2 -10.7 -1.6 BITCOIN -20.0 -13.1 8.0 3.7 -5.0 2.8 -2.8 1.2 1.2 -10.6 12.1 -13.4 14.0 -10.9 6.8 -6.5 -7.3 -7.8 -8.0 4.6 17.7 -20.0 19.1 -12.0 -20.0 3.4 -4.8 7.6 -4.7 7.9 -1.8 -3.0 -7.0 -20.0 -11.6 20.0 -9.6 -0.7 14.1 3.0 BOBL -8.3 -7.7 -12.6 -2.4 1.4 -1.5 -0.7 -1.2 -2.3 -1.2 -4.4 -6.2 -3.4 -7.5 -8.5 13.5 -8.2 3.0 -5.3 -7.6 -5.3 -6.1 -4.3 -7.9 4.8 -2.4 -3.2 -1.5 -3.5 -1.2 -3.1 -7.9 -12.2 -1.0 5.8 -1.1 -19.9 -20.0 4.9 -13.8 BTP -9.8 -13.8 -1.2 -3.8 2.2 -2.3 -1.1 -1.8 -3.6 8.7 8.6 -2.0 8.7 -7.6 -6.6 4.5 6.0 4.8 5.0 -1.5 4.2 -0.2 6.0 -3.6 -18.7 1.6 -0.1 5.0 -1.4 5.4 -1.2 14.6 -3.4 13.1 19.3 18.8 -7.7 -10.5 20.0 2.5 BUND -9.0 -8.5 -7.5 -2.6 1.6 -1.6 -0.8 -1.3 -2.5 1.3 -1.8 -5.7 -1.5 -7.6 -9.0 -9.0 -0.0 -6.7 -3.6 -6.3 -3.4 -5.0 -3.0 -7.1 2.4 -1.6 -3.3 -0.3 -3.9 -0.4 -2.9 2.3 -11.4 2.4 9.4 3.6 -19.7 -20.0 10.8 -8.2 BUXL -9.1 -7.9 -2.6 -3.2 1.9 -2.0 -1.0 -1.6 -3.0 5.6 -0.1 -5.4 -2.7 -8.4 -10.3 -6.7 -2.3 -6.0 -4.2 -5.8 -2.7 -4.0 -3.9 -7.0 -1.4 -0.1 -2.3 1.2 -3.8 0.0 -2.3 0.0 -12.1 7.1 14.6 8.8 -20.0 -20.0 -5.3 -3.5 CAC -19.1 -14.0 15.4 -0.0 -0.1 5.3 -3.6 6.3 -4.6 -19.7 20.0 -4.3 20.0 -5.3 16.5 19.4 3.0 15.0 7.9 11.5 20.0 -9.5 20.0 -2.2 -12.2 6.5 -2.8 10.4 -0.3 10.0 1.5 18.2 -5.4 18.0 20.0 14.4 -10.3 8.5 -8.4 13.1 CAD -5.2 -8.5 -5.6 -5.3 1.3 -2.2 -1.9 0.9 -5.2 8.8 -11.1 -3.4 -9.8 -10.5 -16.0 -2.9 -2.3 -2.6 -2.4 -12.0 -9.4 -1.5 -7.4 -8.4 -0.7 -6.0 1.3 -4.6 -1.0 -3.6 -4.2 0.0 8.1 0.9 0.8 -2.7 -18.2 -15.8 -4.5 -12.5 CANOLA -8.2 20.0 9.5 1.0 -3.4 0.8 -0.8 -0.8 0.7 0.4 -6.6 -2.8 -7.8 -0.0 2.1 -17.2 -7.8 -15.6 -13.2 -1.1 -5.9 -2.0 -11.0 -1.2 -20.0 -0.4 0.5 -2.9 -1.0 -5.7 -0.5 -20.0 2.9 -5.6 9.4 -10.0 -20.0 -16.9 -11.4 -3.8 CHF 0.3 -20.0 -20.0 -4.6 1.2 -1.9 -1.6 0.8 -4.5 4.9 -17.6 -11.4 -10.9 -18.5 -20.0 -15.9 -15.9 -16.1 -16.0 -20.0 -20.0 -8.5 -11.6 -19.2 0.0 -6.9 0.1 -5.4 -2.4 -2.3 -5.1 -20.0 -13.2 -0.5 -20.0 -20.0 -3.4 -17.2 4.2 -16.0 COCOA -20.0 -16.5 -18.5 0.7 -2.4 0.5 -0.5 -0.6 0.5 -6.2 6.4 -4.8 6.9 2.2 5.2 20.0 15.0 20.0 20.0 7.9 9.6 -12.2 7.5 -0.2 -14.5 2.3 -2.3 2.9 -1.2 2.8 0.6 20.0 -20.0 1.6 20.0 20.0 3.3 0.1 8.4 8.4 COFFEE -1.8 14.7 9.9 1.8 -6.1 1.4 -1.4 -1.5 1.2 -15.9 13.8 -6.0 11.5 7.0 10.5 13.2 8.8 12.6 11.2 20.0 17.9 -10.9 11.3 11.6 -20.0 5.3 -5.3 4.3 -1.0 2.9 3.8 13.0 -20.0 20.0 20.0 20.0 -1.8 -20.0 7.5 -7.8 COPPER 6.8 20.0 18.8 3.9 -5.2 3.0 -2.9 1.2 1.3 -4.4 15.6 9.3 6.4 15.6 17.2 -4.1 -4.9 -4.9 -5.2 20.0 20.0 15.9 10.6 20.0 -14.5 6.3 -0.2 4.6 3.4 2.4 6.0 1.4 20.0 20.0 20.0 20.0 -20.0 -2.7 7.2 6.2 CORN 4.0 14.6 8.5 2.1 -6.9 1.6 -1.6 -1.7 1.4 15.3 -11.1 13.4 -18.9 11.0 -0.9 -20.0 -10.6 -19.2 -16.2 -1.6 -11.5 8.0 -20.0 4.3 -16.5 -0.9 9.8 -7.5 6.0 -11.6 3.7 -20.0 20.0 3.9 10.4 -20.0 -13.5 -20.0 -12.8 1.1 COTTON2 -20.0 -20.0 7.0 1.3 -4.3 1.0 -1.0 -1.1 0.9 -11.4 -4.8 -12.6 -1.4 -13.0 -10.2 13.2 4.0 11.4 6.6 -16.6 -5.5 -20.0 -0.8 -20.0 -20.0 -2.4 -5.6 0.5 -5.1 1.4 -4.7 3.8 -20.0 -20.0 -20.0 11.7 -10.6 -14.3 2.5 0.8 CRUDE_W -18.7 8.0 9.2 2.9 -14.1 5.3 -10.4 5.1 -3.8 -20.0 10.7 -19.1 15.7 6.2 17.2 16.7 12.1 15.5 13.4 12.1 16.9 -20.0 16.9 -4.8 -5.5 4.3 -15.7 6.8 -10.8 7.1 -2.8 -1.1 -8.2 0.0 9.4 1.5 20.0 18.4 20.0 19.4 DAX -20.0 -15.0 9.0 -0.0 -0.1 4.3 -2.9 5.1 -3.7 -2.4 17.2 -7.6 18.2 -7.1 10.3 -10.3 -11.6 -12.2 -12.5 9.8 19.3 -4.4 20.0 -0.9 13.1 5.7 -1.1 8.2 0.1 7.2 1.6 -10.8 -2.7 6.4 20.0 17.3 -1.8 7.7 5.2 18.6 DOW -19.3 -20.0 -7.2 -0.0 -0.0 3.4 -2.3 4.1 -3.0 -1.5 11.1 -8.9 12.7 -11.8 -7.8 -10.9 -11.1 -11.9 -11.9 -5.4 6.6 -6.5 13.5 -10.3 -12.1 -0.7 -0.7 4.5 -2.7 7.4 -3.5 -9.8 1.9 3.2 -2.7 -5.6 0.5 -7.6 8.8 -15.9 DX 11.8 16.3 10.6 -5.0 1.3 -2.1 -1.8 0.9 -4.9 -13.7 14.4 12.3 10.4 18.4 19.7 7.3 6.6 7.2 6.9 20.0 14.9 3.0 9.9 16.6 -20.0 6.7 -4.3 4.6 1.0 3.1 5.6 15.7 -20.0 20.0 20.0 20.0 19.9 5.0 20.0 11.5 EUR -8.7 -10.3 -6.7 -4.8 1.2 -2.0 -1.7 0.8 -4.7 15.8 -8.4 -6.4 -7.3 -12.7 -15.1 -6.7 -6.8 -6.8 -6.6 -11.7 -8.8 -0.1 -5.6 -8.5 18.9 -4.6 3.0 -2.8 0.3 -1.4 -3.6 -7.4 6.7 5.2 -0.3 1.8 -20.0 -15.1 -20.0 -12.1 EURIBOR-ICE -15.5 -19.3 -13.2 -2.3 1.4 -1.4 -0.7 -1.1 -2.2 -0.5 0.4 -6.4 1.6 -7.6 -8.0 -5.5 -4.2 -4.1 -3.5 -7.8 -2.5 -6.6 0.5 -9.1 12.5 -2.3 -2.5 -0.4 -2.9 0.6 -3.1 -1.4 -11.1 -5.8 1.5 -0.6 -20.0 -20.0 7.4 14.3 EUROSTX -20.0 -16.8 13.3 -0.0 -0.1 4.6 -3.1 5.4 -4.0 -12.1 19.6 -9.0 20.0 -6.1 15.6 -7.3 -0.1 -3.2 -0.8 12.2 20.0 -6.5 20.0 -0.4 -1.0 6.3 -1.4 9.8 0.4 9.3 1.8 9.5 -2.9 14.9 20.0 20.0 -15.4 8.0 -15.5 13.2 FEEDCOW 10.6 -20.0 4.6 1.8 -5.8 1.3 -1.3 -1.4 1.2 -5.0 -3.1 6.0 -1.7 -3.6 -3.1 -20.0 -20.0 -20.0 -20.0 -5.8 -3.9 -1.0 -0.3 -2.7 -6.1 -1.2 -3.0 -0.7 -0.1 1.7 -0.0 -20.0 -0.9 3.8 -19.2 5.6 20.0 20.0 20.0 20.0 GASOIL -20.0 -3.4 7.7 2.5 -12.1 4.6 -9.0 4.4 -3.2 -20.0 8.6 -20.0 15.0 -14.5 7.7 1.6 19.4 11.5 16.3 -1.0 9.7 -20.0 16.0 -16.4 6.7 -1.0 -14.4 3.7 -12.3 6.2 -7.7 9.7 -11.3 -14.1 -15.0 -5.6 -13.8 -8.8 -20.0 -18.1 GASOLINE -18.5 4.7 13.3 2.8 -13.3 5.0 -9.9 4.8 -3.6 -16.0 18.4 -14.0 18.2 8.3 18.7 20.0 13.1 18.2 11.4 13.3 18.9 -19.4 18.0 -2.6 -20.0 4.9 -14.5 7.6 -9.2 8.1 -2.0 -1.8 -1.5 2.5 8.4 10.5 20.0 20.0 20.0 20.0 GAS_US_mini 6.9 8.4 -4.2 1.8 -8.9 3.3 -6.6 3.2 -2.4 -6.8 -17.1 -8.1 -17.6 -12.0 -16.0 -20.0 -20.0 -20.0 -20.0 -9.9 -19.7 -2.5 -20.0 -4.2 20.0 -6.1 -0.4 -9.0 -1.5 -9.8 -3.1 -20.0 17.9 10.6 -20.0 -20.0 -19.1 -4.4 -20.0 -9.5 GBP -7.3 -14.0 -5.2 -5.0 1.3 -2.1 -1.8 0.9 -4.9 14.3 4.3 0.7 4.3 -10.8 -12.2 -1.0 -0.7 -0.9 -0.7 -8.3 -3.3 4.0 1.5 -5.5 1.5 -2.8 4.9 0.2 2.9 1.9 -2.0 2.9 7.7 10.6 4.0 12.0 -20.0 -10.9 -20.0 -4.5 GOLD_micro -20.0 13.9 16.1 2.7 -3.6 2.1 -2.0 0.8 0.9 -7.3 11.4 -5.5 9.7 6.1 10.1 -12.0 -14.4 -13.7 -14.2 16.5 16.5 -5.0 11.2 6.6 -3.2 3.8 -1.6 3.9 -1.0 2.7 1.6 -14.5 -13.9 7.0 20.0 20.0 -20.0 -18.2 -7.0 -10.2 HEATOIL -20.0 -3.5 3.6 2.7 -12.8 4.8 -9.5 4.6 -3.4 -20.0 0.1 -20.0 10.0 -16.0 2.6 -2.4 19.4 7.9 14.6 -4.8 4.6 -20.0 10.8 -19.3 -20.0 -2.2 -15.8 3.0 -13.5 6.6 -8.9 8.5 -7.8 -19.5 -19.4 -8.5 18.3 5.9 12.3 1.5 JGB-SGX-mini -16.5 -16.0 -7.5 -2.8 1.6 -1.7 -0.8 -1.3 -2.6 6.8 1.2 -5.5 4.0 -7.6 -8.4 0.5 15.2 8.6 11.2 -8.1 -3.4 -2.5 0.8 -8.2 -8.1 -3.0 1.0 -1.7 -1.0 -0.7 -2.9 20.0 -0.4 -4.8 -2.0 1.6 -12.6 -10.7 1.3 10.6 JPY -8.3 -10.9 -7.7 -3.5 -0.6 -1.4 -2.0 0.6 -3.8 -10.5 -16.2 -13.8 -16.0 -15.5 -16.2 -17.1 -16.7 -17.2 -16.9 -20.0 -19.5 -19.2 -20.0 -20.0 20.0 -5.6 -4.4 -4.6 -5.7 -4.5 -6.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -11.6 -20.0 -11.0 LEANHOG -14.8 0.8 20.0 2.5 -8.3 1.9 -1.9 -2.0 1.7 -20.0 16.8 -16.2 -2.2 -1.8 15.0 -20.0 -20.0 -20.0 -20.0 11.8 13.9 -16.8 2.9 -1.1 10.2 4.9 -12.0 7.9 -7.3 3.3 -1.3 -20.0 -11.7 -8.0 3.6 20.0 -7.6 -8.7 0.6 14.0 LIVECOW 2.1 -18.4 7.2 1.7 -5.6 1.3 -1.3 -1.4 1.1 -4.7 -0.9 1.4 0.0 -7.6 -2.2 20.0 6.8 20.0 15.1 -5.3 -2.5 -4.7 0.5 -5.6 -5.2 -0.3 -3.6 1.1 -2.1 3.3 -1.1 13.4 -7.1 -3.9 -12.0 11.1 20.0 18.2 20.0 20.0 LUMBER-new -20.0 -20.0 -3.3 2.0 -6.7 1.6 -1.5 -1.0 1.3 6.4 -3.3 -12.9 -10.4 -15.5 -13.4 -20.0 -17.5 -20.0 -19.2 -20.0 -11.0 -18.4 -4.5 -20.0 NaN -5.1 -0.6 -2.2 -3.5 -0.5 -6.1 -20.0 -19.8 -20.0 -20.0 -20.0 -12.4 -11.7 -4.9 -6.8 MILK 20.0 16.0 10.2 1.3 -4.2 1.0 -1.0 -1.0 0.8 10.7 -7.7 11.4 -11.0 9.1 2.6 -20.0 -20.0 -20.0 -20.0 4.0 -5.8 16.6 -13.4 13.4 12.5 1.1 4.8 -2.1 5.4 -4.8 4.2 -20.0 20.0 20.0 2.0 -5.0 -20.0 -20.0 -20.0 -20.0 MXP -20.0 -11.0 -2.5 -4.5 1.1 -1.9 -1.6 0.8 -4.4 14.6 14.5 -10.6 18.4 -10.3 2.3 15.6 17.1 16.9 16.7 1.9 11.6 -2.5 19.7 -6.4 -20.0 1.7 3.5 5.3 -1.1 7.7 -2.2 20.0 1.9 -3.2 20.0 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -20.0 -20.0 -6.4 -0.0 -0.0 2.7 -1.8 3.2 -2.3 2.5 9.8 -4.1 11.8 -4.9 1.1 -9.7 -10.3 -10.7 -10.8 -3.1 6.5 -5.7 13.0 -8.0 -20.0 -1.1 -0.8 3.3 -2.3 6.4 -3.2 -8.1 -5.2 2.2 -9.3 0.4 -0.8 -0.7 3.5 -1.2 NIKKEI -20.0 -19.1 3.9 -0.0 -0.0 2.9 -2.0 3.5 -2.6 4.1 10.1 -4.6 12.4 -7.2 5.0 1.9 9.5 4.7 7.4 1.5 13.5 -5.0 18.5 -7.4 -12.6 0.7 -0.5 5.1 -1.8 6.9 -2.5 20.0 -9.0 -1.3 -8.0 20.0 -13.8 -7.4 -6.4 -8.5 NZD -3.1 -13.3 -7.1 -3.5 0.9 -1.5 -1.3 0.6 -3.5 5.6 -5.4 -5.1 -5.2 -10.8 -12.6 0.1 0.2 0.2 0.2 -9.1 -6.4 -0.4 -4.0 -6.1 0.6 -4.3 1.7 -2.9 -0.3 -1.4 -2.9 4.5 2.3 8.2 -5.0 -4.9 -12.4 -5.5 -4.6 6.5 OAT -8.1 -12.2 -6.5 -2.9 1.7 -1.8 -0.9 -1.4 -2.7 4.7 -0.2 -4.5 -0.0 -8.0 -9.4 6.1 6.1 5.4 5.3 -6.2 -2.6 -3.5 -1.5 -6.7 2.8 -1.7 -1.6 0.2 -3.2 0.4 -3.1 14.9 -8.0 5.6 9.8 5.3 -18.3 -20.0 11.9 0.3 OATIES 20.0 4.2 -4.1 2.1 -7.0 1.6 -1.6 -1.7 1.4 18.3 -16.0 19.9 -16.3 14.3 4.6 7.4 0.5 7.0 3.9 2.6 -10.2 20.0 -14.8 18.3 -20.0 1.6 13.3 -2.3 12.3 -3.5 7.4 -1.4 20.0 20.0 0.6 -6.9 -16.5 -1.6 -2.3 16.5 OJ 0.6 1.5 4.8 2.2 -7.3 1.7 -1.7 -1.8 1.5 14.1 9.2 13.1 16.5 14.2 17.6 4.0 12.6 5.6 8.4 10.3 17.2 8.1 20.0 7.8 -20.0 1.9 5.5 6.6 3.4 18.2 1.8 14.5 10.0 4.0 -5.8 8.3 7.9 8.9 20.0 20.0 PALLAD -10.5 2.6 12.2 2.0 -2.6 1.5 -1.5 0.6 0.6 -8.3 -3.8 -8.8 -7.7 -5.8 -0.4 -2.0 -2.1 -2.0 -2.0 -2.3 -3.7 -9.4 -9.8 -5.7 12.3 -0.9 -5.6 -1.2 -5.3 -3.6 -3.0 6.8 -8.0 -8.9 -8.4 -5.8 -20.0 -16.6 -20.0 -10.7 PLAT -2.9 6.6 3.2 2.7 -3.7 2.1 -2.0 0.9 0.9 10.9 -1.2 -0.1 -7.5 0.7 0.0 -5.0 -3.8 -4.7 -4.3 2.2 0.5 4.3 -2.0 2.0 10.2 2.0 5.5 1.4 2.7 0.3 1.7 3.4 14.6 3.1 -2.6 -6.1 -19.2 -6.1 17.3 7.3 REDWHEAT 20.0 20.0 11.2 2.1 -6.8 1.6 -1.6 -1.6 1.4 9.2 -11.3 13.0 -17.9 15.1 6.5 -9.0 -0.4 -2.6 -1.0 10.8 -6.4 20.0 -20.0 20.0 -7.7 3.7 3.2 -1.5 7.6 -4.7 7.8 -5.2 20.0 20.0 20.0 -12.2 -9.0 -20.0 2.0 -20.0 RICE 20.0 -11.2 -6.3 1.0 -3.1 0.7 -0.7 -0.8 0.6 6.1 2.4 9.2 5.1 8.0 3.0 20.0 14.4 20.0 20.0 4.4 2.5 9.2 3.5 9.5 -6.7 0.6 0.8 0.1 2.2 0.4 2.1 20.0 1.7 20.0 -4.5 -3.5 -0.4 -4.1 5.3 4.6 ROBUSTA -20.0 -7.6 -3.6 1.3 -4.2 1.0 -1.0 -1.0 0.9 -10.9 12.5 -1.3 12.8 7.8 11.0 20.0 20.0 20.0 20.0 20.0 20.0 -6.6 18.4 12.5 -20.0 4.5 -4.5 4.8 -0.6 4.4 2.8 20.0 -20.0 20.0 20.0 20.0 -14.7 -20.0 -0.3 3.5 RUSSELL -17.9 -14.0 3.9 -0.0 -0.0 2.9 -2.0 3.4 -2.5 8.8 8.3 -4.5 8.0 -7.4 -3.8 -6.4 -6.4 -6.5 -6.5 -3.5 2.9 -1.0 4.7 -6.1 -1.7 -0.7 2.8 2.3 -0.2 3.3 -2.2 -1.0 9.3 6.4 -3.2 -9.8 -13.0 -20.0 -13.4 -20.0 SHATZ -5.3 -7.8 -20.0 -2.3 1.4 -1.4 -0.7 -1.1 -2.2 -2.8 -8.3 -6.7 -7.9 -7.8 -8.8 -20.0 -20.0 -20.0 -20.0 -11.1 -10.1 -8.2 -9.7 -10.1 7.6 -3.1 -3.1 -2.4 -3.0 -2.1 -3.0 -20.0 -14.8 -4.6 -0.2 -8.0 -20.0 -20.0 -16.1 -20.0 SILVER-mini -10.0 18.0 15.0 2.7 -3.7 2.1 -2.0 0.9 0.9 -11.6 8.0 -8.6 4.2 4.1 8.0 -6.7 -6.7 -6.8 -6.8 11.6 10.3 -7.9 5.4 3.3 2.7 3.5 -2.7 3.3 -1.9 2.0 1.0 -1.4 -13.0 3.4 15.2 15.0 -10.2 -14.9 18.4 4.4 SMI -17.5 -12.4 8.8 -0.0 -0.0 3.7 -2.5 4.4 -3.2 -10.6 12.2 -6.7 10.6 -7.8 2.7 -2.8 3.8 0.5 2.9 0.7 7.2 -6.3 7.2 -5.5 12.9 2.7 -1.2 5.6 -1.0 4.7 -0.7 16.1 4.8 7.1 12.5 -1.3 12.0 -0.8 20.0 -2.4 SOFR -14.2 -18.6 -13.0 -3.0 1.7 -1.8 -0.9 -1.4 -2.8 7.2 -2.9 -6.4 -3.2 -9.5 -10.3 -3.3 -0.6 -1.9 -1.0 -12.3 -8.3 -2.9 -5.5 -10.6 -2.4 -3.2 1.9 -1.8 -0.8 -0.9 -2.9 4.0 1.9 -6.5 -2.8 0.5 -12.7 -20.0 8.3 -1.6 SOYBEAN -0.7 12.2 -6.6 2.2 -7.2 1.6 -1.7 -1.7 1.4 13.5 -13.1 7.6 -7.5 0.0 -2.2 -3.5 9.7 0.2 4.3 -4.5 -10.9 4.3 -12.8 -0.0 -20.0 -1.9 8.5 -4.8 2.6 -5.0 0.3 8.2 19.1 -6.9 13.1 -20.0 -13.4 -20.0 -11.5 -20.0 SOYMEAL 20.0 20.0 -11.6 1.9 -6.3 1.4 -1.4 -1.5 1.3 14.0 -15.6 14.6 -14.2 12.7 -5.8 -3.5 6.0 -3.7 -0.1 -0.3 -11.4 19.1 -12.6 11.4 -20.0 1.4 14.2 -3.8 10.4 -3.9 6.9 1.4 20.0 20.0 17.8 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -20.0 0.3 -0.2 1.4 -4.6 1.0 -1.1 -1.1 0.9 -11.0 -12.2 -12.4 -10.7 -11.5 -9.4 -7.7 0.1 -7.0 -4.5 -11.7 -10.9 -19.7 -12.0 -16.8 -20.0 -3.1 -6.0 -2.0 -6.4 -1.9 -5.3 -7.7 -20.0 -20.0 -6.7 -11.4 -20.0 -13.3 -7.7 4.9 SP400 -20.0 -16.6 10.3 -0.0 -0.0 3.3 -2.3 3.9 -2.9 6.7 11.3 -6.4 11.5 -7.9 1.8 -4.8 -5.3 -5.1 -5.2 0.4 10.2 -3.9 12.0 -7.0 -11.7 1.0 0.9 4.5 -1.3 5.1 -2.0 1.0 9.3 2.4 3.7 -0.0 -14.0 -10.2 -11.8 -20.0 SP500_micro -20.0 -20.0 4.3 -0.0 -0.0 3.4 -2.3 4.1 -3.0 1.9 13.3 -6.3 14.6 -7.2 4.7 -11.4 -11.7 -12.4 -12.3 -0.0 12.8 -7.2 18.2 -8.8 -19.5 0.5 -1.2 5.7 -2.6 8.0 -3.0 -10.6 -1.3 0.8 -1.4 9.3 -3.2 -3.9 4.2 -4.2 SUGAR11 -20.0 -13.5 -15.4 1.7 -5.6 1.3 -1.3 -1.4 1.1 -8.7 -12.8 -14.6 -0.2 -14.8 -13.2 2.8 15.3 8.3 12.2 -20.0 -16.3 -16.0 -5.8 -20.0 -20.0 -5.4 -2.0 -4.1 -4.0 -1.5 -5.7 20.0 -11.2 -20.0 -20.0 -20.0 20.0 9.1 20.0 20.0 US10 -12.5 -15.8 -8.8 -2.4 1.4 -1.5 -0.7 -1.2 -2.3 6.0 -3.1 -5.1 -4.6 -7.7 -8.4 -4.7 -7.5 -6.3 -7.1 -9.5 -7.0 -2.2 -6.7 -8.0 2.3 -2.6 1.6 -1.6 -0.6 -1.3 -2.4 -7.6 1.2 -3.1 -1.1 1.7 -20.0 -20.0 -4.9 3.4 US10U -12.9 -15.8 -8.8 -3.5 2.1 -2.2 -1.1 -1.7 -3.3 8.6 -4.1 -7.8 -6.3 -11.2 -12.3 -5.4 -1.4 -3.9 -2.4 -13.8 -10.4 -4.1 -10.3 -12.0 0.0 -3.8 1.8 -2.3 -1.2 -2.0 -3.6 2.1 -0.0 -3.2 -0.6 3.8 -20.0 -20.0 19.6 11.7 US2 -12.3 -16.2 -16.0 -2.3 1.4 -1.4 -0.7 -1.1 -2.2 4.6 -7.2 -5.3 -7.6 -7.8 -8.6 -20.0 -20.0 -20.0 -20.0 -11.8 -10.0 -3.1 -9.9 -9.3 11.0 -2.8 1.2 -2.0 -0.8 -1.7 -2.3 -20.0 0.3 -5.5 -4.5 -4.0 -19.7 -20.0 -15.3 -20.0 US20 -14.3 -16.7 -6.0 -2.5 1.5 -1.6 -0.8 -1.2 -2.4 7.1 -0.6 -5.2 -2.9 -7.8 -8.4 -0.3 -0.7 -0.2 -0.4 -9.0 -6.1 -2.6 -6.3 -8.2 -0.9 -2.4 1.5 -1.1 -0.7 -1.1 -2.5 4.3 0.5 -1.1 0.9 5.2 -20.0 -15.5 20.0 17.8 US30 -14.5 -15.8 -5.1 -3.0 1.8 -1.9 -0.9 -1.5 -2.9 5.0 -2.0 -7.4 -4.7 -9.8 -10.4 -1.5 -5.3 -4.2 -5.2 -10.8 -7.6 -4.8 -8.3 -10.4 -0.4 -3.0 0.7 -1.5 -1.6 -1.6 -3.4 -4.0 -2.4 -1.6 0.7 6.2 -18.3 -13.4 20.0 20.0 US5 -12.7 -16.6 -12.7 -2.5 1.5 -1.5 -0.8 -1.2 -2.4 5.6 -5.6 -5.7 -6.1 -8.2 -8.9 -8.3 -10.0 -9.3 -9.7 -10.9 -8.5 -2.3 -7.6 -8.9 5.0 -2.8 1.6 -1.8 -0.6 -1.3 -2.4 -12.0 1.9 -4.8 -2.7 -0.8 -18.2 -20.0 -9.7 -7.6 VIX 0.2 11.0 14.5 -4.5 -6.1 -7.1 -7.0 -11.5 -5.0 -15.8 -19.8 -17.0 -20.0 -14.4 -13.7 -20.0 -20.0 -20.0 -20.0 -7.6 -14.1 -13.1 -20.0 -9.5 NaN -5.2 -7.0 -8.3 -8.1 -14.0 -6.0 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 17.6 20.0 8.9 2.0 -6.7 1.5 -1.5 -1.6 1.3 8.0 -3.7 11.9 -17.1 14.3 6.4 -19.4 -13.5 -17.5 -15.4 10.2 -4.8 18.9 -18.8 20.0 1.7 3.1 1.9 -1.4 6.3 -4.1 6.8 -20.0 20.0 20.0 20.0 -17.3 -5.6 -20.0 0.6 -20.0 End of report for caleb_strategy_v3