******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240506_204010 produced at 2024-05-06 21:37:49.538103 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.96 0.0 0.00 0.00 0.00 0.00 -13.46 11.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.23 -0.34 0.0 0.78 -0.78 -0.23 -0.16 -4.40 10.0 -3 -2 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.33 0.0 0.00 0.00 0.00 0.00 -9.67 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.27 0.0 0.00 0.00 0.00 0.00 -4.47 13.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.23 -0.26 0.0 999.00 -999.00 -0.23 -0.24 -55.91 999999999.0 -49 -51 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.14 -0.24 0.0 0.45 -0.45 -0.14 -0.14 -8.44 16.0 -5 -5 caleb_strategy_v3 CHF False False 0.04 -0.33 -0.16 0.0 0.54 -0.54 -0.33 -0.33 -3.82 13.0 -8 -8 caleb_strategy_v3 CAD False False 0.02 0.00 -0.10 0.0 0.63 -0.63 0.00 0.00 -4.39 29.0 0 0 caleb_strategy_v3 US5 False False 0.03 -0.38 -0.08 0.0 0.79 -0.79 -0.38 -0.31 -2.68 25.0 -12 -10 caleb_strategy_v3 JPY False False 0.02 -0.07 -0.06 0.0 0.41 -0.41 -0.07 -0.07 -2.39 17.0 -3 -3 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.05 0.0 0.01 -0.01 0.00 0.00 -10.42 3.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.30 -0.05 0.0 0.71 -0.71 -0.30 -0.26 -1.31 19.0 -8 -7 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.04 0.0 0.15 -0.15 -0.02 -0.02 -14.51 51.0 -6 -6 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.04 0.0 0.09 -0.09 -0.04 -0.01 -6.08 12.0 -5 -2 caleb_strategy_v3 US10 False False 0.03 0.00 -0.04 0.0 0.55 -0.55 0.00 0.00 -1.35 17.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -18.61 59.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 -0.04 0.0 0.38 -0.38 0.00 0.00 -6.34 66.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.04 0.0 0.09 -0.09 -0.06 -0.06 -1.19 3.0 -2 -2 caleb_strategy_v3 EUR False False 0.04 -0.16 -0.04 0.0 0.56 -0.56 -0.16 -0.12 -1.03 14.0 -4 -3 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.04 0.0 0.05 -0.05 -0.05 -0.04 -22.89 26.0 -25 -23 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.03 -0.03 0.0 0.25 -0.25 -0.03 -0.02 -2.77 23.0 -3 -2 caleb_strategy_v3 SP400 False False 0.09 -0.09 -0.03 0.0 0.18 -0.18 -0.09 -0.09 -0.34 2.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 -0.06 -0.03 0.0 0.21 -0.21 -0.06 -0.05 -8.34 68.0 -19 -17 caleb_strategy_v3 US10U False False 0.03 -0.17 -0.03 0.0 0.43 -0.43 -0.17 -0.17 -0.76 13.0 -5 -5 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.03 0.0 0.13 -0.13 -0.05 -0.05 -2.29 11.0 -4 -4 caleb_strategy_v3 SP500_micro False False 0.01 -0.02 -0.03 0.0 0.37 -0.37 -0.02 -0.01 -3.72 48.0 -2 -1 caleb_strategy_v3 BUND False False 0.04 0.00 -0.02 0.0 0.42 -0.42 0.00 0.00 -0.49 10.0 0 0 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.02 0.0 0.38 -0.38 -0.02 -0.02 -0.89 21.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.02 0.0 0.12 -0.12 -0.01 -0.02 -3.32 18.0 -2 -3 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.02 0.0 0.30 -0.30 0.00 0.00 -0.66 8.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.00 -0.02 0.0 0.51 -0.51 0.00 0.00 -0.66 22.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.03 -2.55 10.0 -5 -4 caleb_strategy_v3 LEANHOG False False 0.01 0.00 -0.02 0.0 0.16 -0.16 0.00 -0.01 -1.84 13.0 0 -1 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.36 2.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.97 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 -0.27 9.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.59 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.01 0.0 0.13 -0.13 -0.04 -0.02 -0.67 7.0 -2 -1 caleb_strategy_v3 US30 False False 0.04 -0.04 -0.01 0.0 0.22 -0.22 -0.04 -0.04 -0.29 6.0 -1 -1 caleb_strategy_v3 BUXL False False 0.04 -0.13 -0.01 0.0 0.17 -0.17 -0.13 -0.13 -0.24 4.0 -3 -3 caleb_strategy_v3 GASOIL False False 0.02 -0.05 -0.01 0.0 0.09 -0.09 -0.05 -0.02 -0.64 4.0 -2 -1 caleb_strategy_v3 GOLD_micro False False 0.01 -0.03 -0.01 0.0 0.39 -0.39 -0.03 -0.01 -1.34 56.0 -5 -2 caleb_strategy_v3 AUD False False 0.02 -0.04 -0.00 0.0 0.37 -0.37 -0.04 -0.04 -0.09 19.0 -2 -2 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.00 0.0 0.24 -0.24 0.00 0.00 0.20 23.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.06 -0.00 0.0 0.09 -0.09 -0.06 -0.05 -0.05 9.0 -6 -5 caleb_strategy_v3 OAT False False 0.04 0.00 -0.00 0.0 0.41 -0.41 0.00 0.00 -0.10 10.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.01 0.00 0.0 0.27 -0.27 -0.01 0.00 0.23 36.0 -1 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.59 -0.59 0.00 0.00 0.06 26.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.41 5.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 0.00 0.0 0.08 -0.08 0.00 0.00 0.04 8.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.02 0.00 0.0 0.13 -0.13 0.02 0.02 0.07 6.0 1 1 caleb_strategy_v3 PLAT False False 0.01 0.00 0.01 0.0 0.14 -0.14 0.00 0.00 1.02 10.0 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 0.68 999999999.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.11 0.01 0.0 0.38 -0.38 0.11 0.11 0.20 10.0 3 3 caleb_strategy_v3 RICE False False 0.01 0.00 0.02 0.0 0.04 -0.04 0.00 0.00 2.50 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 1.51 3.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.16 0.03 0.0 999.00 -999.00 0.16 0.13 1.00 999999999.0 5 4 caleb_strategy_v3 EUROSTX False False 0.02 0.16 0.05 0.0 0.32 -0.32 0.16 0.14 3.32 20.0 10 9 caleb_strategy_v3 LIVECOW False False 0.02 0.02 0.05 0.0 0.35 -0.35 0.02 0.02 2.30 17.0 1 1 caleb_strategy_v3 DAX False False 0.01 0.05 0.07 0.0 0.34 -0.34 0.05 0.05 11.99 58.0 8 8 caleb_strategy_v3 CAC True False 0.03 0.00 0.08 0.0 0.00 0.00 0.00 0.00 3.05 12.0 0 0 caleb_strategy_v3 SMI False True 0.04 0.19 0.08 0.0 0.19 0.00 0.19 0.19 2.11 9.0 5 5 caleb_strategy_v3 CRUDE_W False False 0.02 0.07 0.12 0.0 0.11 -0.11 0.07 0.07 5.47 5.0 3 3 caleb_strategy_v3 COPPER False False 0.03 0.14 0.13 0.0 999.00 -999.00 0.14 0.17 3.89 999999999.0 4 5 caleb_strategy_v3 DX False False 0.03 0.00 0.13 0.0 999.00 -999.00 0.00 0.00 4.05 999999999.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.27 0.35 0.0 0.52 -0.52 0.27 0.27 40.30 60.0 31 31 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 15.6 Shocked risk 41.0 Sum abs risk 49.0 Leverage 4.80 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3365493.14, 'annual_cash_vol_target': 841373.285, 'daily_cash_vol_target': 52585.8303125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6636 0.6601 10.5613 BITCOIN 1899.6716 63665.0000 2.9839 47.7417 BOBL 0.2776 117.1300 0.2370 3.7924 BTP 0.6355 118.1800 0.5377 8.6034 BUND 0.5545 131.4300 0.4219 6.7501 BUXL 1.2806 131.7000 0.9724 15.5579 CAC 53.1598 8004.5000 0.6641 10.6260 CAD 0.0029 0.7326 0.3935 6.2954 CANOLA 7.9369 660.2000 1.2022 19.2351 CHF 0.0051 1.1090 0.4571 7.3143 COCOA 401.0965 7596.0000 5.2804 84.4858 COFFEE 4.5116 195.1500 2.3119 36.9897 COPPER 0.0534 4.6100 1.1585 18.5364 CORN 4.8342 488.2500 0.9901 15.8416 COTTON2 1.3522 77.0400 1.7552 28.0828 CRUDE_W 0.8945 76.0000 1.1770 18.8318 DAX 138.9739 18358.0000 0.7570 12.1123 DOW 257.8388 38932.0000 0.6623 10.5965 DX 0.3648 104.9350 0.3476 5.5617 EUR 0.0045 1.0793 0.4147 6.6348 EURIBOR-ICE 0.0536 97.4550 0.0550 0.8798 EUROSTX 40.8537 4952.0000 0.8250 13.1999 FEEDCOW 2.2186 253.4000 0.8755 14.0085 GASOIL 10.5571 758.5000 1.3918 22.2694 GASOLINE 0.0376 2.5158 1.4930 23.8873 GAS_US_mini 0.0825 2.4600 3.3532 53.6509 GBP 0.0059 1.2570 0.4718 7.5481 GOLD_micro 20.7866 2334.9000 0.8903 14.2441 HEATOIL 0.0334 2.4946 1.3401 21.4423 JGB-SGX-mini 0.2202 144.7100 0.1522 2.4351 JPY 0.0001 0.0065 0.7957 12.7313 LEANHOG 1.2625 102.2500 1.2348 19.7562 LIVECOW 1.4989 174.8250 0.8574 13.7178 LUMBER-new 7.5391 543.0000 1.3884 22.2147 MILK 0.2473 19.4200 1.2732 20.3718 MXP 0.0004 0.0588 0.6617 10.5867 NASDAQ_micro 175.9187 18144.2500 0.9696 15.5129 NIKKEI 403.0973 38845.0000 1.0377 16.6033 NZD 0.0040 0.6013 0.6620 10.5920 OAT 0.5513 126.6700 0.4352 6.9635 OATIES 5.0810 372.0000 1.3659 21.8537 OJ 4.9964 367.2000 1.3607 21.7708 PALLAD 23.9941 985.0000 2.4359 38.9751 PLAT 14.8747 966.1000 1.5397 24.6346 REDWHEAT 10.8894 683.5000 1.5932 25.4910 RICE 0.2051 15.3600 1.3354 21.3662 ROBUSTA 83.2553 3541.0000 2.3512 37.6189 RUSSELL 22.4558 2070.1000 1.0848 17.3563 SHATZ 0.0858 105.3300 0.0814 1.3030 SILVER-mini 0.4858 28.0250 1.7334 27.7339 SMI 80.1177 11337.0000 0.7067 11.3071 SOFR 0.0675 96.0750 0.0703 1.1243 SOYBEAN 10.8983 1218.0000 0.8948 14.3163 SOYMEAL 5.2936 384.7000 1.3760 22.0164 SOYOIL 0.6398 44.0000 1.4540 23.2648 SP400 25.5095 2980.7000 0.8558 13.6932 SP500_micro 38.1534 5193.7500 0.7346 11.7536 SUGAR11 0.2888 19.4700 1.4833 23.7331 US10 0.4122 108.8594 0.3787 6.0585 US10U 0.5358 111.8750 0.4789 7.6623 US2 0.1085 101.7188 0.1067 1.7067 US20 0.7767 116.1562 0.6686 10.6981 US30 1.1361 122.4688 0.9277 14.8428 US5 0.2675 105.7031 0.2530 4.0487 VIX 0.4643 15.6000 2.9765 47.6238 WHEAT 9.8497 690.5000 1.4265 22.8233 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 663.55 0.66 438.00 1.00 438.00 52585.83 120.06 -0.28 -3.40 BITCOIN 63.66 2.98 189.97 1.00 189.97 52585.83 276.82 -6.21 -171.89 BOBL 1171.30 0.24 277.63 1.07 297.99 52585.83 176.47 -7.29 -128.73 BTP 1181.80 0.54 635.47 1.07 682.08 52585.83 77.10 0.76 5.88 BUND 1314.30 0.42 554.48 1.07 595.15 52585.83 88.36 -5.52 -48.79 BUXL 1317.00 0.97 1280.61 1.07 1374.54 52585.83 38.26 -6.25 -23.90 CAC 800.45 0.66 531.60 1.07 570.59 52585.83 92.16 9.69 89.32 CAD 732.55 0.39 288.23 1.00 288.23 52585.83 182.44 -9.26 -169.02 CANOLA 132.04 1.20 158.74 0.73 116.14 52585.83 452.77 -13.18 -596.58 CHF 1386.25 0.46 633.72 1.00 633.72 52585.83 82.98 -17.74 -147.23 COCOA 759.60 5.28 4010.96 1.00 4010.96 52585.83 13.11 2.00 2.62 COFFEE 731.81 2.31 1691.85 1.00 1691.85 52585.83 31.08 1.96 6.09 COPPER 1152.50 1.16 1335.20 1.00 1335.20 52585.83 39.38 9.12 35.91 CORN 244.12 0.99 241.71 1.00 241.71 52585.83 217.56 -11.48 -249.83 COTTON2 385.20 1.76 676.09 1.00 676.09 52585.83 77.78 -13.77 -107.14 CRUDE_W 760.00 1.18 894.51 1.00 894.51 52585.83 58.79 8.60 50.55 DAX 183.58 0.76 138.97 1.07 149.17 52585.83 352.53 9.97 351.53 DOW 194.66 0.66 128.92 1.00 128.92 52585.83 407.90 -6.69 -272.74 DX 1049.35 0.35 364.76 1.00 364.76 52585.83 144.17 10.82 155.94 EUR 1349.12 0.41 559.44 1.00 559.44 52585.83 94.00 -4.23 -39.81 EURIBOR-ICE 2436.38 0.05 133.98 1.07 143.80 52585.83 365.68 -3.52 -128.88 EUROSTX 495.20 0.82 408.54 1.07 438.50 52585.83 119.92 8.11 97.20 FEEDCOW 1267.00 0.88 1109.30 1.00 1109.30 52585.83 47.40 -4.21 -19.97 GASOIL 758.50 1.39 1055.71 1.00 1055.71 52585.83 49.81 -2.95 -14.70 GASOLINE 1056.64 1.49 1577.51 1.00 1577.51 52585.83 33.33 6.93 23.09 GAS_US_mini 61.50 3.35 206.22 1.00 206.22 52585.83 255.00 -8.29 -211.41 GBP 785.62 0.47 370.62 1.00 370.62 52585.83 141.88 -1.79 -25.46 GOLD_micro 233.49 0.89 207.87 1.00 207.87 52585.83 252.98 -1.55 -39.24 HEATOIL 1047.73 1.34 1404.11 1.00 1404.11 52585.83 37.45 -7.32 -27.41 JGB-SGX-mini 144710.00 0.15 22023.76 0.01 143.96 52585.83 365.29 -2.13 -77.92 JPY 817.38 0.80 650.39 1.00 650.39 52585.83 80.85 -11.38 -91.99 LEANHOG 409.00 1.23 505.02 1.00 505.02 52585.83 104.13 -2.91 -30.32 LIVECOW 699.30 0.86 599.56 1.00 599.56 52585.83 87.71 7.92 69.48 LUMBER-new 149.33 1.39 207.33 1.00 207.33 52585.83 253.64 -19.20 -487.05 MILK 388.40 1.27 494.53 1.00 494.53 52585.83 106.34 -1.80 -19.16 MXP 294.25 0.66 194.70 1.00 194.70 52585.83 270.09 10.17 274.59 NASDAQ_micro 362.88 0.97 351.84 1.00 351.84 52585.83 149.46 -7.97 -119.12 NIKKEI 38845.00 1.04 40309.73 0.01 263.48 52585.83 199.58 0.10 2.08 NZD 601.30 0.66 398.06 1.00 398.06 52585.83 132.10 -2.61 -34.48 OAT 1266.70 0.44 551.29 1.07 591.73 52585.83 88.87 -0.32 -2.87 OATIES 186.00 1.37 254.05 1.00 254.05 52585.83 206.99 -1.92 -39.77 OJ 550.80 1.36 749.46 1.00 749.46 52585.83 70.17 10.08 70.70 PALLAD 985.00 2.44 2399.41 1.00 2399.41 52585.83 21.92 -4.84 -10.60 PLAT 483.05 1.54 743.74 1.00 743.74 52585.83 70.71 4.23 29.94 REDWHEAT 341.75 1.59 544.47 1.00 544.47 52585.83 96.58 0.29 2.82 RICE 307.20 1.34 410.23 1.00 410.23 52585.83 128.19 8.03 102.96 ROBUSTA 354.10 2.35 832.55 1.00 832.55 52585.83 63.16 2.70 17.07 RUSSELL 103.50 1.08 112.28 1.00 112.28 52585.83 468.35 -5.38 -251.83 SHATZ 1053.30 0.08 85.78 1.07 92.07 52585.83 571.15 -16.70 -953.54 SILVER-mini 700.62 1.73 1214.44 1.00 1214.44 52585.83 43.30 4.60 19.93 SMI 1133.70 0.71 801.18 1.10 881.54 52585.83 59.65 10.38 61.93 SOFR 2401.88 0.07 168.78 1.00 168.78 52585.83 311.57 -7.11 -221.53 SOYBEAN 609.00 0.89 544.91 1.00 544.91 52585.83 96.50 -7.48 -72.19 SOYMEAL 384.70 1.38 529.36 1.00 529.36 52585.83 99.34 -6.37 -63.33 SOYOIL 264.00 1.45 383.87 1.00 383.87 52585.83 136.99 -20.00 -273.98 SP400 2980.70 0.86 2550.95 1.00 2550.95 52585.83 20.61 -5.04 -10.39 SP500_micro 259.69 0.73 190.77 1.00 190.77 52585.83 275.65 -5.81 -160.17 SUGAR11 218.06 1.48 323.46 1.00 323.46 52585.83 162.57 -9.60 -156.13 US10 1088.59 0.38 412.20 1.00 412.20 52585.83 127.57 -8.37 -106.72 US10U 1118.75 0.48 535.76 1.00 535.76 52585.83 98.15 -6.13 -60.14 US2 2034.38 0.11 217.01 1.00 217.01 52585.83 242.32 -14.55 -352.47 US20 1161.56 0.67 776.66 1.00 776.66 52585.83 67.71 -3.15 -21.34 US30 1224.69 0.93 1136.11 1.00 1136.11 52585.83 46.29 -4.88 -22.61 US5 1057.03 0.25 267.47 1.00 267.47 52585.83 196.60 -10.76 -211.61 VIX 156.00 2.98 464.33 1.00 464.33 52585.83 113.25 -20.00 -226.50 WHEAT 345.25 1.43 492.48 1.00 492.48 52585.83 106.78 -0.34 -3.62 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -3.403 0.010 2.5 -0.088 BITCOIN -171.890 0.043 2.5 -18.613 BOBL -128.725 0.004 2.5 -1.305 BTP 5.879 0.014 2.5 0.201 BUND -48.787 0.004 2.5 -0.495 BUXL -23.899 0.004 2.5 -0.242 CAC 89.322 0.014 2.5 3.047 CAD -169.021 0.010 2.5 -4.385 CANOLA -596.582 0.010 2.5 -14.514 CHF -147.233 0.010 2.5 -3.820 COCOA 2.617 0.009 2.5 0.056 COFFEE 6.094 0.005 2.5 0.071 COPPER 35.906 0.043 2.5 3.888 CORN -249.828 0.010 2.5 -6.078 COTTON2 -107.139 0.009 2.5 -2.295 CRUDE_W 50.548 0.043 2.5 5.474 DAX 351.533 0.014 2.5 11.990 DOW -272.741 0.009 2.5 -6.339 DX 155.943 0.010 2.5 4.046 EUR -39.806 0.010 2.5 -1.033 EURIBOR-ICE -128.885 0.014 2.5 -4.396 EUROSTX 97.201 0.014 2.5 3.315 FEEDCOW -19.967 0.013 2.5 -0.662 GASOIL -14.697 0.017 2.5 -0.637 GASOLINE 23.085 0.017 2.5 1.001 GAS_US_mini -211.411 0.043 2.5 -22.893 GBP -25.462 0.010 2.5 -0.661 GOLD_micro -39.244 0.014 2.5 -1.339 HEATOIL -27.410 0.017 2.5 -1.188 JGB-SGX-mini -77.916 0.043 2.5 -8.437 JPY -91.991 0.010 2.5 -2.387 LEANHOG -30.319 0.024 2.5 -1.843 LIVECOW 69.480 0.013 2.5 2.302 LUMBER-new -487.048 0.009 2.5 -10.424 MILK -19.162 0.009 2.5 -0.410 MXP 274.586 0.059 2.5 40.302 NASDAQ_micro -119.122 0.009 2.5 -2.768 NIKKEI 2.082 0.043 2.5 0.225 NZD -34.477 0.010 2.5 -0.895 OAT -2.874 0.014 2.5 -0.098 OATIES -39.769 0.010 2.5 -0.968 OJ 70.696 0.009 2.5 1.514 PALLAD -10.604 0.014 2.5 -0.362 PLAT 29.939 0.014 2.5 1.021 REDWHEAT 2.818 0.005 2.5 0.037 RICE 102.964 0.010 2.5 2.505 ROBUSTA 17.072 0.005 2.5 0.199 RUSSELL -251.827 0.013 2.5 -8.345 SHATZ -953.538 0.004 2.5 -9.669 SILVER-mini 19.932 0.014 2.5 0.680 SMI 61.927 0.014 2.5 2.112 SOFR -221.527 0.024 2.5 -13.463 SOYBEAN -72.188 0.004 2.5 -0.671 SOYMEAL -63.326 0.004 2.5 -0.589 SOYOIL -273.978 0.004 2.5 -2.550 SP400 -10.385 0.013 2.5 -0.344 SP500_micro -160.173 0.009 2.5 -3.722 SUGAR11 -156.129 0.009 2.5 -3.320 US10 -106.724 0.005 2.5 -1.352 US10U -60.140 0.005 2.5 -0.762 US2 -352.469 0.005 2.5 -4.466 US20 -21.344 0.005 2.5 -0.270 US30 -22.606 0.005 2.5 -0.286 US5 -211.610 0.005 2.5 -2.681 VIX -226.501 0.099 2.5 -55.910 WHEAT -3.616 0.005 2.5 -0.048 ===================== Position diags ===================== AUD 3.12 BITCOIN 29.98 BOBL 1.79 BTP 2.63 BUND 0.90 BUXL 0.39 CAC 3.14 CAD 4.73 CANOLA 11.02 CHF 2.15 COCOA 0.28 COFFEE 0.36 COPPER 4.26 CORN 5.29 COTTON2 1.67 CRUDE_W 6.37 DAX 12.02 DOW 9.48 DX 3.74 EUR 2.44 EURIBOR-ICE 12.47 EUROSTX 4.09 FEEDCOW 1.57 GASOIL 2.16 GASOLINE 1.45 GAS_US_mini 27.61 GBP 3.68 GOLD_micro 8.63 HEATOIL 1.62 JGB-SGX-mini 39.56 JPY 2.10 LEANHOG 6.33 LIVECOW 2.91 LUMBER-new 5.43 MILK 2.28 MXP 39.64 NASDAQ_micro 3.47 NIKKEI 21.61 NZD 3.43 OAT 3.03 OATIES 5.04 OJ 1.50 PALLAD 0.75 PLAT 2.41 REDWHEAT 1.28 RICE 3.12 ROBUSTA 0.74 RUSSELL 15.52 SHATZ 5.79 SILVER-mini 1.48 SMI 2.03 SOFR 18.94 SOYBEAN 0.90 SOYMEAL 0.92 SOYOIL 1.28 SP400 0.68 SP500_micro 6.41 SUGAR11 3.46 US10 1.62 US10U 1.24 US2 3.07 US20 0.86 US30 0.59 US5 2.49 VIX 27.95 WHEAT 1.42 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.1 -0.4 0.2 -2.0 -2 BITCOIN -18.6 -21.6 -15.6 0.0 0 BOBL -1.3 -1.5 -1.1 -8.0 -8 BTP 0.2 -0.1 0.5 3.0 3 BUND -0.5 -0.6 -0.4 0.0 0 BUXL -0.2 -0.3 -0.2 -3.0 -3 CAC 3.0 2.7 3.4 0.0 0 CAD -4.4 -4.9 -3.9 0.0 0 CANOLA -14.5 -15.6 -13.4 -6.0 -6 CHF -3.8 -4.0 -3.6 -8.0 -8 COCOA 0.1 0.0 0.1 0.0 0 COFFEE 0.1 0.0 0.1 1.0 1 COPPER 3.9 3.5 4.3 4.0 4 CORN -6.1 -6.6 -5.5 -5.0 -5 COTTON2 -2.3 -2.5 -2.1 -4.0 -4 CRUDE_W 5.5 4.8 6.1 3.0 3 DAX 12.0 10.8 13.2 8.0 8 DOW -6.3 -7.3 -5.4 0.0 0 DX 4.0 3.7 4.4 NaN 0 EUR -1.0 -1.3 -0.8 -4.0 -4 EURIBOR-ICE -4.4 -5.6 -3.1 -3.0 -3 EUROSTX 3.3 2.9 3.7 10.0 10 FEEDCOW -0.7 -0.8 -0.5 0.0 0 GASOIL -0.6 -0.9 -0.4 -2.0 -2 GASOLINE 1.0 0.9 1.1 5.0 5 GAS_US_mini -22.9 -25.7 -20.1 -25.0 -25 GBP -0.7 -1.0 -0.3 0.0 0 GOLD_micro -1.3 -2.2 -0.5 -5.0 -5 HEATOIL -1.2 -1.4 -1.0 -2.0 -2 JGB-SGX-mini -8.4 -12.4 -4.5 -5.0 -5 JPY -2.4 -2.6 -2.2 -3.0 -3 LEANHOG -1.8 -2.5 -1.2 0.0 0 LIVECOW 2.3 2.0 2.6 1.0 1 LUMBER-new -10.4 -11.0 -9.9 NaN 0 MILK -0.4 -0.6 -0.2 NaN 0 MXP 40.3 36.3 44.3 31.0 31 NASDAQ_micro -2.8 -3.1 -2.4 -3.0 -3 NIKKEI 0.2 -1.9 2.4 -1.0 -1 NZD -0.9 -1.2 -0.6 -1.0 -1 OAT -0.1 -0.4 0.2 0.0 0 OATIES -1.0 -1.5 -0.5 NaN 0 OJ 1.5 1.4 1.7 NaN 0 PALLAD -0.4 -0.4 -0.3 0.0 0 PLAT 1.0 0.8 1.3 0.0 0 REDWHEAT 0.0 -0.1 0.2 0.0 0 RICE 2.5 2.2 2.8 NaN 0 ROBUSTA 0.2 0.1 0.3 0.0 0 RUSSELL -8.3 -9.9 -6.8 -19.0 -19 SHATZ -9.7 -10.2 -9.1 NaN 0 SILVER-mini 0.7 0.5 0.8 0.0 0 SMI 2.1 1.9 2.3 5.0 5 SOFR -13.5 -15.4 -11.6 NaN 0 SOYBEAN -0.7 -0.8 -0.6 -2.0 -2 SOYMEAL -0.6 -0.7 -0.5 0.0 0 SOYOIL -2.6 -2.7 -2.4 -5.0 -5 SP400 -0.3 -0.4 -0.3 -1.0 -1 SP500_micro -3.7 -4.4 -3.1 -2.0 -2 SUGAR11 -3.3 -3.7 -3.0 -2.0 -2 US10 -1.4 -1.5 -1.2 0.0 0 US10U -0.8 -0.9 -0.6 -5.0 -5 US2 -4.5 -4.8 -4.2 NaN 0 US20 -0.3 -0.4 -0.2 0.0 0 US30 -0.3 -0.3 -0.2 -1.0 -1 US5 -2.7 -2.9 -2.4 -12.0 -12 VIX -55.9 -58.7 -53.1 -49.0 -49 WHEAT -0.0 -0.2 0.1 -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 -0.0 -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 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 0.1 0.3 0.0 0.1 -0.0 0.1 -0.1 0.0 -0.0 0.4 0.4 0.3 0.1 -0.7 -0.3 -0.3 -0.0 BITCOIN -0.6 -0.5 0.2 0.0 0.0 0.1 -0.0 0.0 0.0 0.0 0.3 -0.1 0.5 -0.1 0.1 -0.1 -0.1 -0.2 -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 -0.2 -0.2 -0.6 -0.5 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 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 0.3 -0.2 0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 0.6 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.4 -0.3 -0.1 0.1 -0.0 -0.7 -0.7 0.1 -0.4 BTP -0.2 -0.5 -0.0 -0.0 0.1 -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 -0.3 0.2 0.5 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 0.1 -0.1 -0.0 -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 -0.0 0.3 0.1 -0.7 -0.7 0.3 -0.3 BUXL -0.3 -0.2 -0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.3 0.1 0.4 0.3 -0.7 -0.7 -0.2 -0.1 CAC -0.5 -0.5 0.5 0.0 0.1 0.1 0.0 0.2 -0.0 0.0 0.5 -0.0 0.7 -0.1 0.2 0.4 0.1 0.3 0.2 0.1 0.2 -0.0 0.5 -0.0 -1.6 0.1 0.0 0.3 0.0 0.4 0.0 1.0 -0.4 0.5 0.6 0.5 -0.3 0.3 -0.3 0.4 CAD -0.0 -0.3 -0.2 -0.1 0.1 -0.1 0.0 0.0 -0.0 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 0.1 0.0 -0.1 -0.6 -0.5 -0.1 -0.4 CANOLA -0.1 0.6 0.4 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.2 0.0 -0.3 0.0 0.0 -0.3 -0.2 -0.3 -0.3 0.0 -0.1 0.1 -0.3 0.0 -2.7 0.0 0.1 -0.1 0.0 -0.2 0.0 -1.1 0.2 -0.1 0.3 -0.3 -0.7 -0.6 -0.4 -0.1 CHF 0.2 -0.6 -0.6 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.1 -0.5 0.0 -0.4 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 0.0 -0.3 -0.1 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -1.1 -0.2 0.1 -0.6 -0.6 -0.1 -0.6 0.2 -0.5 COCOA -0.6 -0.6 -0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.2 -0.1 0.2 0.0 0.0 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 -0.5 0.4 0.3 0.0 0.1 0.0 0.0 -0.0 0.0 -0.1 0.3 -0.1 0.4 0.0 0.1 0.2 0.2 0.2 0.2 0.1 0.2 -0.2 0.3 -0.0 -2.6 0.0 -0.1 0.1 -0.0 0.1 0.0 0.7 -0.5 0.4 0.6 0.6 -0.0 -0.7 0.3 -0.2 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 0.3 0.2 CORN 0.2 0.5 0.3 0.0 0.1 0.1 0.1 -0.1 0.0 0.2 -0.3 0.2 -0.7 0.2 0.0 -0.4 -0.2 -0.4 -0.3 0.0 -0.1 0.2 -0.5 0.1 -2.2 0.0 0.2 -0.1 0.1 -0.3 0.1 -1.1 0.5 0.3 0.4 -0.6 -0.5 -0.7 -0.4 0.0 COTTON2 -0.6 -0.6 0.2 0.0 0.1 0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.1 -0.2 -0.1 -0.2 -0.0 -0.2 -2.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.2 -0.5 -0.6 -0.6 0.3 -0.3 -0.5 0.1 0.0 CRUDE_W -0.6 0.2 0.3 0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.2 0.3 -0.2 0.6 0.0 0.2 0.3 0.2 0.3 0.3 0.1 0.2 -0.2 0.4 -0.1 -0.7 0.0 -0.1 0.2 -0.1 0.2 -0.1 -0.1 -0.2 -0.2 0.2 0.0 0.7 0.6 0.7 0.6 DAX -0.6 -0.6 0.3 0.0 0.1 0.1 0.0 0.2 -0.0 0.1 0.5 0.0 0.6 -0.1 0.1 -0.2 -0.2 -0.2 -0.2 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 0.1 0.6 0.5 -0.1 0.3 0.2 0.6 DOW -0.3 -0.6 -0.3 0.0 0.1 0.1 0.0 0.2 -0.0 0.1 0.3 0.0 0.4 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 0.1 0.3 -0.0 -1.6 0.0 0.1 0.1 0.0 0.3 -0.0 -0.5 -0.2 0.1 -0.0 -0.2 0.0 -0.3 0.3 -0.5 DX 0.2 0.5 0.3 -0.0 0.0 -0.1 0.0 0.0 -0.0 -0.2 0.4 0.1 0.4 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 -0.1 0.3 0.1 -2.7 0.1 -0.1 0.1 -0.0 0.1 0.0 0.8 -0.5 0.6 0.6 0.6 0.6 0.2 0.7 0.4 EUR -0.1 -0.3 -0.2 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.2 -0.2 -0.0 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.2 -0.0 2.6 -0.0 0.1 -0.1 0.0 -0.1 -0.0 -0.4 0.1 0.1 -0.0 0.1 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.4 -0.6 -0.4 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 0.0 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 1.6 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.2 -0.0 -0.0 -0.7 -0.7 0.2 0.5 EUROSTX -0.6 -0.6 0.4 0.0 0.1 0.1 0.0 0.2 -0.0 0.0 0.5 -0.0 0.7 -0.1 0.2 -0.1 -0.0 -0.1 -0.0 0.1 0.2 -0.0 0.5 0.0 -0.1 0.1 0.0 0.3 0.0 0.3 0.0 0.5 -0.2 0.3 0.6 0.6 -0.5 0.3 -0.5 0.4 FEEDCOW 0.4 -0.6 0.1 0.0 0.1 0.0 0.1 -0.0 0.0 -0.1 -0.1 0.0 -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 -0.4 0.2 -0.6 0.1 0.7 0.7 0.7 0.7 GASOIL -0.6 -0.2 0.2 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 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 -0.2 -0.5 -0.5 -0.2 -0.5 -0.3 -0.7 -0.6 GASOLINE -0.6 0.0 0.4 0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.1 0.5 -0.2 0.6 0.0 0.2 0.4 0.3 0.4 0.2 0.1 0.2 -0.2 0.5 -0.1 -2.7 0.0 -0.1 0.2 -0.1 0.3 -0.0 -0.1 -0.1 0.0 0.2 0.3 0.7 0.7 0.7 0.7 GAS_US_mini 0.3 0.3 -0.1 0.0 -0.0 0.1 -0.1 0.1 -0.0 0.1 -0.5 0.0 -0.6 -0.0 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 0.0 -0.5 -0.0 2.7 -0.1 0.1 -0.2 0.0 -0.4 -0.0 -1.1 0.5 0.6 -0.6 -0.6 -0.6 -0.2 -0.7 -0.3 GBP -0.1 -0.4 -0.2 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.2 0.1 0.0 0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 0.0 -0.0 0.2 -0.0 0.1 0.0 0.1 0.1 -0.0 0.2 0.3 0.3 0.1 0.4 -0.7 -0.4 -0.7 -0.2 GOLD_micro -0.6 0.4 0.6 0.0 0.0 0.1 -0.0 0.0 0.0 0.0 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 -0.1 0.0 0.6 0.6 -0.6 -0.6 -0.2 -0.3 HEATOIL -0.6 -0.2 0.1 0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.1 -0.0 -0.2 0.4 -0.2 -0.0 -0.1 0.4 0.1 0.3 -0.1 0.0 -0.2 0.3 -0.2 -2.7 -0.0 -0.1 0.1 -0.1 0.2 -0.1 0.4 -0.3 -0.6 -0.6 -0.3 0.6 0.2 0.4 0.0 JGB-SGX-mini -0.3 -0.5 -0.3 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 0.0 -0.0 0.1 -0.1 -0.1 0.2 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 -0.0 0.0 -0.4 -0.3 0.0 0.4 JPY 0.2 -0.1 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.3 -0.0 -0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 0.0 -0.4 -0.1 2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.2 -0.3 -0.5 -0.5 -0.7 -0.4 -0.7 -0.4 LEANHOG -0.4 0.0 0.6 0.0 0.1 0.1 0.1 -0.1 0.1 -0.2 0.4 -0.2 -0.1 -0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 -0.2 0.1 -0.1 1.3 0.0 -0.1 0.2 -0.1 0.1 -0.0 -1.1 -0.5 -0.6 -0.1 0.6 -0.3 -0.3 0.0 0.5 LIVECOW 0.2 -0.6 0.2 0.0 0.1 0.0 0.1 -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 -0.0 -0.7 -0.0 0.0 0.0 0.0 0.1 -0.0 0.7 -0.3 0.1 -0.4 0.3 0.7 0.6 0.7 0.7 LUMBER-new -0.7 -0.7 -0.1 0.0 0.1 0.1 0.1 -0.0 0.0 0.2 -0.1 -0.1 -0.4 -0.2 -0.2 -0.5 -0.4 -0.5 -0.4 -0.2 -0.1 -0.1 -0.2 -0.2 NaN -0.1 0.0 -0.1 -0.0 -0.0 -0.1 -1.2 0.2 -0.7 -0.7 -0.7 -0.5 -0.4 -0.2 -0.3 MILK 0.6 0.6 0.3 0.0 0.1 0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.4 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 -0.1 0.2 -0.4 0.2 1.8 0.0 0.1 -0.0 0.1 -0.2 0.1 -1.1 0.3 0.6 0.3 -0.1 -0.7 -0.7 -0.7 -0.7 MXP -0.6 -0.3 -0.1 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.2 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 -0.0 -2.7 0.0 0.0 0.1 0.0 0.3 -0.0 1.1 0.1 -0.3 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro -0.6 -0.6 -0.3 0.0 0.0 0.1 0.0 0.1 -0.0 0.1 0.3 0.0 0.4 -0.0 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 0.0 0.3 -0.0 -2.7 -0.0 0.0 0.1 0.0 0.2 -0.0 -0.4 0.2 0.0 -0.2 -0.0 -0.0 -0.0 0.1 -0.0 NIKKEI -0.6 -0.6 0.1 0.0 0.0 0.1 0.0 0.1 -0.0 0.1 0.3 -0.0 0.5 -0.1 0.1 0.0 0.2 0.1 0.1 0.0 0.1 0.0 0.5 -0.0 -1.7 0.0 0.0 0.1 0.0 0.3 -0.0 1.1 0.1 -0.0 -0.2 0.6 -0.4 -0.2 -0.2 -0.3 NZD 0.0 -0.4 -0.2 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.0 -0.2 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.1 0.1 -0.1 -0.0 0.1 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.2 0.1 0.3 -0.1 -0.2 -0.4 -0.2 -0.1 0.2 OAT -0.2 -0.4 -0.2 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.0 -0.0 -0.0 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.0 0.0 -0.0 -0.0 0.4 -0.0 0.0 0.0 0.0 0.0 -0.0 0.8 -0.2 0.1 0.3 0.2 -0.6 -0.7 0.4 0.0 OATIES 0.6 0.2 -0.1 0.0 0.0 0.0 0.0 -0.1 0.0 0.2 -0.4 0.2 -0.6 0.2 0.1 0.2 0.0 0.2 0.1 0.0 -0.1 0.2 -0.4 0.2 -2.7 0.0 0.1 -0.1 0.1 -0.1 0.1 -0.1 0.5 0.6 0.1 -0.2 -0.6 -0.1 -0.1 0.5 OJ 0.0 0.1 0.2 0.0 0.1 0.1 0.1 -0.1 0.0 0.0 0.3 0.1 0.6 0.2 0.2 0.1 0.2 0.1 0.2 0.1 0.2 0.0 0.5 0.1 -2.7 0.0 -0.0 0.2 0.0 0.7 0.0 0.7 -0.1 0.2 -0.1 0.3 0.2 0.3 0.7 0.7 PALLAD -0.4 0.1 0.5 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 -0.1 -0.1 -0.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.3 -0.1 1.7 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.4 -0.1 -0.2 -0.3 -0.2 -0.7 -0.6 -0.7 -0.4 PLAT -0.2 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 0.1 -0.1 0.0 1.4 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.4 0.1 -0.0 -0.2 -0.6 -0.2 0.5 0.2 REDWHEAT 0.6 0.6 0.4 0.0 0.1 0.1 0.1 -0.1 0.0 0.2 -0.3 0.2 -0.6 0.2 0.1 -0.2 -0.0 -0.1 -0.0 0.2 -0.0 0.2 -0.5 0.2 -1.0 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.3 0.5 0.6 0.6 -0.3 -0.3 -0.7 0.1 -0.7 RICE 0.6 -0.3 -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 0.1 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 0.1 0.1 ROBUSTA -0.6 -0.3 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.3 -0.1 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 -0.1 0.5 0.1 -2.7 0.0 -0.0 0.1 -0.0 0.1 0.0 1.1 -0.5 0.6 0.6 0.6 -0.5 -0.6 0.0 0.1 RUSSELL -0.4 -0.4 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 0.1 0.1 -0.0 -0.2 0.0 0.1 0.1 0.0 0.1 0.0 -0.1 0.1 0.1 -0.1 -0.3 -0.4 -0.7 -0.5 -0.7 SHATZ -0.2 -0.2 -0.6 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.0 -0.3 -0.1 1.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.3 -0.2 -0.0 -0.3 -0.7 -0.7 -0.5 -0.7 SILVER-mini -0.5 0.5 0.5 0.0 0.0 0.1 -0.0 0.0 0.0 0.0 0.2 -0.1 0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.1 0.0 0.4 0.0 0.0 0.1 -0.0 0.1 0.0 -0.1 -0.1 -0.0 0.5 0.5 -0.3 -0.5 0.6 0.2 SMI -0.5 -0.5 0.3 0.0 0.1 0.1 0.0 0.2 -0.0 -0.0 0.3 -0.0 0.4 -0.1 0.0 -0.1 0.1 0.0 0.1 0.0 0.1 -0.0 0.2 -0.0 1.7 0.0 0.0 0.2 0.0 0.2 0.0 0.8 -0.2 0.2 0.3 -0.1 0.4 -0.0 0.7 -0.1 SOFR -0.2 -0.6 -0.4 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.1 -0.0 -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 -0.0 SOYBEAN 0.2 0.4 -0.1 0.0 0.1 0.1 0.1 -0.1 0.0 0.2 -0.3 0.2 -0.3 0.1 0.0 -0.1 0.2 0.0 0.1 -0.0 -0.1 0.2 -0.3 0.1 -2.7 0.0 0.2 -0.1 0.1 -0.1 0.1 0.4 0.5 0.1 0.4 -0.6 -0.5 -0.7 -0.4 -0.7 SOYMEAL 0.6 0.6 -0.3 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.4 0.2 -0.5 0.1 -0.0 -0.0 0.1 -0.1 0.0 0.0 -0.1 0.2 -0.3 0.2 -2.7 0.0 0.2 -0.0 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 -0.1 -0.0 0.0 0.1 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 -0.1 -0.3 -0.2 -2.7 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.4 -0.5 -0.6 -0.3 -0.4 -0.7 -0.5 -0.3 0.2 SP400 -0.6 -0.5 0.3 0.0 0.1 0.1 0.0 0.1 -0.0 0.1 0.3 -0.0 0.4 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 0.1 0.3 -0.0 -1.6 0.0 0.1 0.1 0.0 0.2 0.0 0.1 0.2 -0.0 0.1 0.0 -0.5 -0.3 -0.4 -0.7 SP500_micro -0.6 -0.6 0.1 0.0 0.1 0.1 0.0 0.2 -0.0 0.1 0.4 0.0 0.5 -0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 0.1 0.5 -0.0 -2.6 0.0 0.1 0.2 0.0 0.3 -0.0 -0.6 0.2 -0.1 -0.0 0.3 -0.1 -0.1 0.1 -0.1 SUGAR11 -0.6 -0.5 -0.5 0.0 0.1 0.0 0.1 -0.0 0.0 -0.0 -0.4 -0.2 -0.0 -0.2 -0.1 0.0 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 1.0 -0.3 -0.6 -0.6 -0.6 0.7 0.3 0.7 0.7 US10 -0.2 -0.5 -0.3 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.1 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.1 0.3 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.4 0.0 -0.1 -0.0 0.0 -0.7 -0.7 -0.1 0.1 US10U -0.2 -0.5 -0.3 -0.0 0.0 -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 -0.1 -0.1 -0.1 0.0 -0.3 -0.1 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 -0.1 -0.0 0.1 -0.6 -0.7 0.7 0.4 US2 -0.2 -0.5 -0.6 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.0 -0.3 -0.1 1.5 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.1 -0.0 -0.1 -0.1 -0.2 -0.6 -0.7 -0.5 -0.7 US20 -0.3 -0.5 -0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.2 -0.1 -0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 -0.0 -0.0 0.0 0.2 -0.7 -0.5 0.7 0.6 US30 -0.3 -0.5 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 -0.0 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -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 -0.2 -0.1 -0.1 0.0 0.2 -0.6 -0.4 0.7 0.7 US5 -0.2 -0.5 -0.4 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.2 -0.0 -0.2 -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 -0.1 0.0 -0.1 -0.0 -0.6 0.0 -0.1 -0.1 -0.0 -0.6 -0.7 -0.3 -0.3 VIX -0.3 0.5 0.7 -0.1 -0.1 -0.3 -0.2 -0.6 -0.1 -0.3 -0.8 -0.3 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.2 -0.3 -0.3 -0.9 -0.2 NaN -0.1 -0.2 -0.3 -0.2 -0.7 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.6 0.6 0.4 0.0 0.1 0.1 0.1 -0.1 0.0 0.1 -0.0 0.2 -0.6 0.2 0.1 -0.4 -0.3 -0.4 -0.3 0.1 -0.0 0.2 -0.4 0.2 0.2 0.0 0.1 -0.0 0.1 -0.1 0.1 -1.1 0.5 0.6 0.6 -0.5 -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 2.1 -1.6 -1.5 -3.3 3.9 -1.6 1.2 0.6 -2.2 14.3 -4.9 9.8 -8.9 4.1 -4.6 -2.5 -2.8 -2.7 -2.7 -1.0 -2.6 13.0 -4.0 4.8 2.6 0.2 11.4 -0.8 8.3 -1.6 3.5 -0.7 16.0 13.1 10.8 1.8 -20.0 -8.9 -9.4 -1.3 BITCOIN -20.0 -15.8 7.1 3.6 0.5 3.0 -1.3 1.3 1.1 2.1 11.9 -7.9 13.9 -9.5 6.6 -6.3 -7.3 -7.7 -7.9 4.1 17.1 -8.5 19.1 -9.0 -20.0 3.4 1.2 7.8 -2.0 8.4 -1.3 -3.0 -8.2 -20.0 -15.3 20.0 -9.7 -0.8 13.5 3.0 BOBL -8.2 -6.9 -12.6 -2.1 3.6 -1.5 1.2 -1.2 -1.2 6.0 -4.5 -3.5 -3.5 -5.9 -8.1 13.5 -7.8 3.7 -4.6 -7.0 -5.2 -1.2 -4.3 -5.7 4.7 -2.4 1.4 -1.6 -1.0 -1.2 -2.4 -6.9 -11.4 -2.8 4.5 -0.9 -20.0 -20.0 4.2 -13.4 BTP -6.2 -13.9 -1.1 -3.3 5.7 -2.4 2.0 -1.9 -2.0 12.1 8.7 3.8 8.8 -5.1 -5.5 4.5 6.0 4.7 5.0 -0.7 4.3 4.2 6.1 -1.0 -18.9 1.8 4.2 4.9 1.9 5.5 0.2 14.8 -11.2 7.3 16.7 18.8 -8.1 -10.3 20.0 2.5 BUND -8.1 -7.9 -7.7 -2.3 4.0 -1.6 1.4 -1.3 -1.4 7.1 -2.0 -2.6 -1.6 -5.8 -8.4 -9.0 -0.2 -6.9 -3.8 -5.8 -3.5 -0.1 -3.1 -4.9 2.3 -1.5 2.6 -0.4 -0.5 -0.4 -2.0 2.2 -11.5 -0.4 8.2 3.8 -20.0 -20.0 9.6 -8.2 BUXL -8.2 -7.3 -2.9 -2.9 4.9 -2.0 1.7 -1.7 -1.7 9.5 -0.2 -1.9 -2.7 -6.2 -9.4 -7.0 -2.4 -6.2 -4.3 -5.3 -2.8 0.9 -4.0 -4.6 -1.5 -0.0 3.4 1.1 -0.1 0.0 -1.2 0.0 -13.7 2.5 13.4 9.3 -20.0 -20.0 -6.0 -3.9 CAC -16.2 -16.7 14.4 0.6 8.9 5.5 2.1 6.6 -2.1 0.8 20.0 -0.1 20.0 -6.4 16.0 18.9 3.2 15.1 8.2 10.2 20.0 -3.7 20.0 -2.2 -12.2 6.8 5.1 10.7 3.1 10.5 2.6 18.7 -15.5 14.2 20.0 14.5 -10.3 8.3 -8.8 12.7 CAD -1.1 -8.7 -5.9 -4.8 5.6 -2.3 1.8 0.9 -3.2 15.7 -11.3 1.0 -10.1 -8.8 -14.9 -2.9 -2.4 -2.7 -2.5 -11.2 -9.5 1.8 -7.7 -6.1 -0.7 -5.7 3.6 -4.8 0.8 -3.8 -3.2 0.0 -10.2 2.3 0.6 -2.6 -16.6 -15.4 -3.4 -11.9 CANOLA -3.7 20.0 12.7 1.6 5.2 1.0 2.9 -0.7 2.0 8.2 -6.2 4.2 -7.6 2.6 3.4 -17.5 -8.0 -15.9 -13.4 0.4 -5.1 7.0 -10.2 2.6 -20.0 0.2 7.4 -2.5 3.2 -5.3 1.2 -20.0 7.7 -3.7 9.9 -9.0 -20.0 -16.8 -11.1 -3.9 CHF 5.5 -19.4 -20.0 -4.0 4.7 -1.9 1.5 0.8 -2.6 14.4 -16.9 0.3 -10.8 -15.0 -18.7 -16.0 -15.9 -16.1 -16.0 -20.0 -20.0 2.7 -11.5 -12.3 0.3 -6.3 3.8 -5.4 0.6 -2.5 -3.5 -20.0 -10.4 3.5 -20.0 -20.0 -2.9 -17.1 4.8 -15.6 COCOA -20.0 -20.0 -19.1 1.1 3.6 0.7 2.0 -0.5 1.4 -5.7 5.8 -5.5 6.6 0.5 4.3 20.0 15.2 20.0 20.0 6.2 9.0 -12.4 7.4 -2.9 -14.4 2.1 -1.6 2.9 -1.3 2.9 0.3 20.0 -20.0 -4.4 20.0 20.0 3.8 0.2 8.6 8.3 COFFEE -16.2 12.5 9.1 2.5 8.2 1.6 4.6 -1.2 3.2 -14.4 11.3 -11.3 9.8 1.8 6.7 12.1 8.8 12.2 11.0 13.5 14.5 -20.0 9.8 -0.2 -19.3 4.1 -6.8 3.8 -3.5 2.7 1.5 12.5 -20.0 12.5 20.0 20.0 -1.4 -20.0 7.8 -7.4 COPPER 4.8 20.0 20.0 3.6 0.5 2.9 -1.3 1.3 1.1 3.7 15.1 9.4 6.6 14.6 16.3 -3.8 -4.9 -4.7 -5.1 20.0 20.0 16.3 11.0 20.0 -14.0 6.1 2.0 4.6 3.3 2.4 5.5 1.4 20.0 20.0 20.0 20.0 -20.0 -2.7 7.6 6.4 CORN 7.6 15.5 10.5 3.2 10.6 2.0 6.0 -1.5 4.1 18.4 -10.3 17.7 -19.1 14.7 3.4 -19.7 -10.7 -19.2 -16.3 1.3 -10.3 19.4 -20.0 10.4 -16.7 1.0 17.7 -5.5 11.9 -9.6 6.7 -20.0 20.0 8.0 11.3 -20.0 -14.0 -20.0 -13.4 0.9 COTTON2 -20.0 -20.0 5.1 1.9 6.2 1.2 3.5 -0.9 2.4 -5.8 -5.2 -10.1 -1.8 -11.7 -9.9 11.9 4.0 11.0 6.5 -15.5 -5.9 -17.4 -1.2 -20.0 -20.0 -2.5 -2.3 0.2 -3.7 1.2 -4.2 3.5 -20.0 -20.0 -20.0 9.0 -10.2 -14.2 2.8 0.6 CRUDE_W -20.0 5.3 9.0 1.6 -7.4 4.7 -9.8 4.9 -5.2 -17.9 9.7 -20.0 15.6 0.0 14.3 15.7 12.1 15.3 13.4 8.1 15.3 -20.0 16.6 -10.4 -5.5 2.6 -10.1 6.0 -11.3 6.9 -5.0 -1.1 -7.6 -5.3 7.6 1.3 20.0 18.0 20.0 19.2 DAX -19.3 -17.0 8.4 0.5 7.1 4.4 1.7 5.3 -1.7 10.3 16.9 2.4 17.8 -6.6 10.1 -10.1 -11.6 -12.0 -12.4 9.4 18.6 2.3 19.7 0.9 12.8 5.8 3.4 8.4 1.9 7.6 2.2 -10.7 -4.1 2.0 20.0 16.9 -1.7 7.5 4.8 18.0 DOW -10.7 -20.0 -7.8 0.4 5.6 3.5 1.4 4.2 -1.4 13.1 10.9 1.2 12.4 -8.3 -6.4 -10.7 -11.1 -11.7 -11.8 -3.3 6.5 5.6 12.9 -3.9 -11.8 0.0 7.0 4.7 2.6 7.6 -1.0 -9.7 -6.7 2.4 -0.4 -5.3 1.2 -7.6 9.1 -15.6 DX 5.4 15.3 10.5 -4.5 5.3 -2.1 1.7 0.9 -3.0 -19.2 14.4 4.7 10.7 15.2 17.9 7.2 6.6 7.2 6.9 17.7 14.6 -7.5 10.1 9.8 -20.0 6.1 -6.8 4.7 -2.5 3.3 3.5 15.7 -20.0 20.0 20.0 20.0 18.8 5.1 20.0 11.8 EUR -3.1 -10.1 -6.2 -4.4 5.2 -2.1 1.7 0.8 -2.9 19.2 -8.4 -0.6 -7.6 -10.1 -13.4 -6.8 -6.8 -6.8 -6.6 -10.0 -8.6 6.9 -5.8 -4.2 19.3 -3.9 8.3 -2.7 4.3 -1.5 -1.3 -7.3 5.8 4.0 -0.1 1.8 -20.0 -15.3 -20.0 -12.1 EURIBOR-ICE -11.7 -18.4 -13.6 -2.0 3.4 -1.4 1.2 -1.2 -1.2 6.7 0.3 -3.1 1.4 -6.1 -7.5 -5.4 -4.3 -4.2 -3.6 -6.8 -2.5 -0.5 0.3 -6.1 12.3 -2.3 1.4 -0.5 -0.7 0.5 -2.4 -1.2 -8.2 -6.2 -0.1 -0.8 -20.0 -20.0 6.5 13.7 EUROSTX -19.8 -18.3 12.0 0.5 7.5 4.7 1.8 5.6 -1.8 2.6 19.2 -2.8 19.9 -6.8 15.2 -7.2 -0.2 -3.5 -1.0 11.2 20.0 -0.8 20.0 0.2 -1.0 6.4 3.6 10.0 2.2 9.7 2.4 9.3 -6.3 9.4 20.0 20.0 -15.4 7.6 -16.1 12.7 FEEDCOW 13.7 -20.0 2.9 2.6 8.8 1.7 4.9 -1.2 3.4 -8.1 -3.1 3.8 -1.9 -4.3 -3.7 -20.0 -20.0 -20.0 -20.0 -6.2 -4.3 -3.9 -0.5 -4.2 -6.1 -1.4 -3.6 -0.8 -1.4 1.7 -0.8 -20.0 -17.4 6.1 -19.1 4.4 20.0 20.0 20.0 20.0 GASOIL -20.0 -6.1 6.8 1.3 -6.4 4.0 -8.5 4.2 -4.5 -13.7 7.6 -20.0 14.8 -16.5 5.1 0.2 19.0 10.4 15.6 -4.1 8.2 -20.0 15.5 -19.5 6.7 -2.2 -8.0 2.8 -11.0 5.5 -8.4 8.9 -6.7 -16.0 -14.4 -6.1 -14.1 -8.9 -20.0 -18.3 GASOLINE -20.0 1.5 12.9 1.5 -6.9 4.3 -9.1 4.6 -4.9 -15.4 17.2 -17.3 17.7 0.3 15.9 20.0 13.3 18.5 11.8 9.2 17.0 -20.0 17.4 -8.5 -20.0 3.1 -10.2 6.7 -10.5 7.7 -4.4 -1.3 -5.8 0.6 6.2 9.7 20.0 20.0 20.0 20.0 GAS_US_mini 8.7 10.5 -1.7 1.0 -4.8 3.0 -6.3 3.2 -3.4 11.3 -17.2 4.0 -17.7 -3.5 -15.3 -20.0 -20.0 -20.0 -20.0 -8.4 -18.9 5.1 -20.0 -0.9 20.0 -5.5 7.0 -9.2 2.7 -10.3 -1.3 -20.0 20.0 20.0 -18.7 -20.0 -17.7 -4.6 -20.0 -9.6 GBP -3.2 -12.4 -4.6 -4.6 5.4 -2.2 1.7 0.9 -3.1 19.2 4.5 4.0 4.3 -8.2 -11.1 -1.1 -0.7 -0.9 -0.8 -7.2 -3.2 6.8 1.5 -2.7 1.5 -2.2 6.6 0.4 4.7 2.1 -0.3 2.9 14.5 8.2 2.0 11.6 -20.0 -11.3 -20.0 -4.8 GOLD_micro -20.0 12.4 17.1 2.5 0.4 2.1 -0.9 0.9 0.8 1.2 10.9 -5.9 9.4 5.1 9.4 -11.8 -14.4 -13.5 -14.1 15.1 16.1 -3.2 11.3 5.2 -3.1 3.6 -0.3 3.9 -0.7 2.8 1.3 -14.5 -5.7 1.0 20.0 20.0 -18.1 -17.7 -5.8 -9.8 HEATOIL -20.0 -5.5 2.7 1.4 -6.8 4.3 -9.0 4.5 -4.8 -15.6 -0.8 -20.0 9.8 -18.2 -1.1 -3.4 18.9 6.8 13.9 -7.9 3.0 -20.0 10.2 -20.0 -20.0 -3.3 -8.1 2.0 -11.6 5.8 -9.3 7.6 -12.0 -19.8 -19.9 -9.6 17.9 5.8 11.0 1.5 JGB-SGX-mini -10.3 -15.7 -7.9 -2.5 4.2 -1.7 1.4 -1.4 -1.4 8.7 1.1 -2.3 3.9 -6.1 -8.0 10.9 15.4 10.7 11.9 -7.2 -3.4 2.0 0.7 -5.4 -8.3 -2.8 2.9 -1.7 0.6 -0.8 -2.1 20.0 -0.2 -5.9 -0.7 0.8 -13.2 -10.2 1.1 10.8 JPY 5.9 -3.1 -1.5 -2.5 2.9 -1.2 0.9 0.5 -1.6 7.0 -11.9 -1.0 -12.3 -8.4 -10.9 -15.8 -16.6 -16.7 -16.7 -10.9 -11.6 1.1 -13.2 -6.9 20.0 -4.0 2.5 -3.8 -0.2 -3.8 -3.0 -20.0 -9.2 -8.9 -16.0 -15.8 -20.0 -11.7 -20.0 -11.1 LEANHOG -13.5 0.3 20.0 3.8 12.7 2.4 7.1 -1.8 4.9 -20.0 16.0 -20.0 -2.1 -7.8 12.5 -20.0 -20.0 -20.0 -20.0 8.4 13.0 -20.0 2.8 -7.7 9.9 3.3 -12.5 7.2 -10.0 3.2 -3.9 -20.0 -20.0 -20.0 -2.1 20.0 -7.7 -8.8 0.3 13.5 LIVECOW 6.0 -19.6 5.5 2.5 8.4 1.6 4.7 -1.2 3.2 3.4 -0.9 4.6 -0.1 -6.8 -2.5 20.0 7.0 20.0 15.2 -4.7 -2.5 0.0 0.4 -3.8 -5.2 -0.0 1.9 1.2 0.3 3.4 -0.4 13.3 -11.1 2.3 -11.2 10.7 20.0 18.9 20.0 20.0 LUMBER-new -20.0 -20.0 -4.0 2.9 9.5 1.9 5.3 -0.7 3.7 16.2 -4.0 -7.5 -10.4 -13.4 -12.6 -20.0 -17.6 -20.0 -19.3 -20.0 -11.2 -5.7 -4.8 -20.0 NaN -5.0 1.9 -2.3 -1.4 -0.6 -5.0 -20.0 8.8 -20.0 -20.0 -20.0 -12.0 -11.6 -4.6 -6.8 MILK 20.0 20.0 10.2 2.0 6.7 1.3 3.8 -1.0 2.6 11.8 -7.1 12.7 -11.2 11.0 4.9 -20.0 -20.0 -20.0 -20.0 6.8 -4.8 20.0 -13.8 17.6 13.2 1.8 6.0 -1.6 6.3 -4.4 4.9 -20.0 14.2 20.0 8.3 -3.6 -20.0 -20.0 -20.0 -20.0 MXP -20.0 -10.4 -2.9 -4.1 4.8 -1.9 1.6 0.8 -2.7 17.5 14.4 -6.8 18.4 -8.7 2.4 15.4 17.1 16.8 16.7 2.5 11.7 3.4 20.0 -3.1 -20.0 1.9 5.3 5.5 1.3 8.1 -0.9 20.0 6.0 -10.1 20.0 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -18.2 -20.0 -9.2 0.3 4.5 2.8 1.1 3.3 -1.1 10.5 9.8 1.3 11.6 -1.7 1.8 -9.5 -10.3 -10.6 -10.7 -1.5 6.4 4.9 12.6 -2.8 -20.0 -0.6 5.4 3.4 1.5 6.6 -1.6 -8.0 9.2 0.8 -7.5 -0.3 -1.2 -0.5 2.8 -1.0 NIKKEI -20.0 -20.0 3.5 0.3 5.1 3.1 1.2 3.7 -1.2 10.7 10.2 -0.8 12.7 -5.7 4.9 1.8 9.4 4.5 7.2 2.1 13.6 1.8 18.9 -4.2 -13.0 0.9 3.1 5.3 0.2 7.5 -1.7 20.0 2.3 -1.4 -5.5 17.6 -12.6 -7.3 -5.8 -8.4 NZD 0.9 -11.4 -6.7 -3.1 3.7 -1.5 1.2 0.6 -2.1 12.6 -5.1 2.5 -5.1 -7.4 -10.8 0.1 0.2 0.2 0.2 -7.0 -5.8 6.9 -3.9 -1.7 0.7 -3.4 6.8 -2.7 3.6 -1.4 -0.8 4.5 4.5 9.0 -3.7 -4.7 -11.3 -5.2 -3.4 6.8 OAT -6.6 -11.8 -6.7 -2.6 4.4 -1.8 1.5 -1.5 -1.5 8.8 -0.3 -0.8 -0.1 -5.9 -8.6 6.3 6.1 5.5 5.4 -5.6 -2.6 1.3 -1.6 -4.3 2.7 -1.6 4.1 0.2 0.8 0.4 -1.7 15.2 -9.6 2.1 8.5 5.6 -18.9 -20.0 10.7 0.1 OATIES 20.0 5.6 -3.5 2.6 3.1 1.8 2.1 -1.6 2.6 17.8 -15.7 20.0 -16.4 15.7 6.4 9.7 0.7 7.9 4.4 4.4 -9.5 20.0 -14.8 20.0 -20.0 2.2 10.7 -1.9 11.8 -3.3 7.8 -1.1 20.0 20.0 3.2 -6.3 -16.6 -1.7 -2.4 16.2 OJ 0.7 3.7 5.6 3.4 11.4 2.2 6.4 -1.6 4.4 3.4 9.5 8.7 17.0 14.8 18.3 3.9 12.5 5.4 8.2 10.6 18.0 4.3 20.0 7.1 -20.0 1.9 -0.7 6.7 1.5 18.5 1.5 13.9 -6.2 6.6 -3.5 10.1 7.5 8.8 20.0 20.0 PALLAD -12.3 1.9 14.5 1.9 0.3 1.6 -0.7 0.7 0.6 -2.1 -4.0 -7.1 -7.7 -5.9 -0.6 -2.1 -2.1 -2.0 -2.0 -2.6 -3.8 -5.4 -9.6 -5.1 12.5 -1.1 0.5 -1.4 -3.0 -3.6 -2.7 6.7 -4.5 -7.1 -8.2 -6.2 -20.0 -17.2 -20.0 -11.0 PLAT -5.0 7.3 3.9 2.7 0.4 2.2 -1.0 1.0 0.8 11.9 -0.8 2.0 -7.6 2.0 1.2 -5.1 -3.8 -4.7 -4.3 2.9 0.8 5.9 -2.0 3.6 10.4 2.4 4.3 1.6 3.4 0.5 2.5 3.2 18.5 4.2 -0.8 -5.5 -19.3 -6.2 15.6 7.2 REDWHEAT 20.0 20.0 13.6 3.1 10.4 2.0 5.8 -1.5 4.0 16.8 -9.5 16.8 -17.5 17.0 9.2 -9.4 -0.6 -3.2 -1.4 14.0 -4.1 20.0 -18.5 20.0 -7.8 4.3 9.8 -0.8 9.4 -4.0 8.3 -6.0 20.0 20.0 20.0 -9.6 -8.7 -20.0 2.2 -20.0 RICE 20.0 -8.0 -6.1 1.5 5.1 1.0 2.8 -0.7 1.9 8.5 3.1 9.8 5.5 9.1 4.0 20.0 17.1 20.0 20.0 5.6 3.2 9.5 4.0 10.4 -7.0 0.9 1.4 0.2 2.3 0.5 2.3 20.0 1.9 20.0 -2.8 -3.2 -1.1 -4.2 4.0 4.1 ROBUSTA -20.0 -9.5 -4.2 1.4 1.7 1.0 1.1 -0.9 1.4 -10.4 11.2 -4.7 11.7 5.1 9.2 20.0 20.0 20.0 20.0 17.5 19.4 -14.6 16.8 6.2 -20.0 3.9 -5.3 4.4 -1.9 4.1 1.8 20.0 -20.0 20.0 20.0 20.0 -13.7 -19.5 0.4 3.7 RUSSELL -11.5 -13.4 4.0 0.3 5.0 3.1 1.2 3.7 -1.2 12.1 8.5 1.2 8.2 -4.6 -2.8 -6.4 -6.4 -6.5 -6.5 -2.0 3.2 7.8 4.9 -1.4 -1.7 0.0 8.9 2.5 4.1 3.4 0.0 -1.0 5.6 4.1 -2.6 -9.3 -12.9 -20.0 -13.6 -20.0 SHATZ -6.5 -6.2 -20.0 -2.1 3.5 -1.4 1.2 -1.2 -1.2 4.2 -8.2 -4.1 -7.9 -6.5 -8.4 -20.0 -20.0 -20.0 -20.0 -10.3 -9.8 -2.9 -9.5 -7.7 7.5 -3.1 0.3 -2.5 -1.4 -2.2 -2.6 -20.0 -13.8 -5.7 -1.5 -8.1 -20.0 -20.0 -16.4 -20.0 SILVER-mini -16.0 15.0 15.1 2.6 0.4 2.2 -0.9 0.9 0.8 3.9 7.8 -7.1 4.3 3.3 7.5 -6.4 -6.7 -6.7 -6.7 9.7 9.3 -3.5 5.1 2.5 2.6 3.3 0.7 3.4 -0.9 2.1 0.9 -1.4 -2.7 -0.8 14.5 14.2 -9.5 -14.6 18.2 4.6 SMI -14.2 -14.2 8.2 0.4 6.2 3.9 1.5 4.6 -1.5 -1.4 11.9 -2.8 10.5 -7.8 2.2 -2.8 3.6 0.3 2.7 0.4 6.8 -2.0 7.1 -4.5 12.9 3.1 5.1 5.8 2.7 5.0 0.9 15.9 -8.1 6.0 8.5 -1.9 11.9 -0.7 20.0 -2.2 SOFR -6.1 -17.2 -13.2 -2.6 4.5 -1.8 1.5 -1.5 -1.5 9.7 -2.9 -0.8 -3.3 -7.3 -9.4 -3.2 -0.6 -2.0 -1.0 -10.6 -8.1 4.7 -5.5 -6.1 -2.4 -2.8 4.6 -1.8 1.7 -1.0 -1.6 4.2 2.0 -4.9 -2.9 0.3 -11.7 -20.0 8.9 -1.5 SOYBEAN 5.2 11.2 -4.3 3.2 10.5 2.0 5.9 -1.5 4.0 17.9 -11.7 14.8 -7.0 6.8 2.0 -2.7 9.5 0.2 4.2 -0.4 -8.6 20.0 -11.4 8.7 -20.0 0.5 20.0 -3.0 11.9 -3.8 5.0 7.6 20.0 1.8 13.2 -20.0 -13.9 -20.0 -12.1 -20.0 SOYMEAL 20.0 20.0 -8.2 2.6 8.7 1.7 4.9 -1.2 3.4 15.1 -13.2 15.5 -12.6 13.7 -1.0 -2.0 6.0 -3.1 0.1 4.5 -7.6 20.0 -10.1 19.1 -20.0 2.6 16.8 -1.7 12.2 -2.2 7.6 1.1 20.0 20.0 20.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -20.0 -3.1 -0.7 2.1 6.9 1.3 3.9 -1.0 2.7 -7.9 -12.3 -11.7 -10.8 -11.8 -10.0 -7.7 0.0 -7.1 -4.6 -12.6 -11.5 -15.6 -12.2 -16.6 -20.0 -3.3 -2.2 -2.1 -4.9 -1.9 -5.0 -8.3 -20.0 -20.0 -10.0 -12.8 -20.0 -13.7 -7.6 4.6 SP400 -18.7 -16.8 9.9 0.4 5.6 3.5 1.3 4.1 -1.4 13.3 11.3 -0.3 11.5 -5.1 2.5 -4.8 -5.3 -5.1 -5.2 1.9 10.2 7.9 12.0 -1.3 -11.7 1.6 8.1 4.7 3.2 5.3 0.0 1.0 6.5 -0.8 3.4 0.4 -14.1 -10.3 -12.0 -20.0 SP500_micro -20.0 -20.0 2.0 0.4 5.7 3.5 1.4 4.2 -1.4 13.2 13.1 0.7 14.3 -3.7 5.3 -11.2 -11.7 -12.3 -12.3 1.5 12.4 5.6 17.6 -2.8 -19.2 1.0 6.2 5.8 1.8 8.2 -1.1 -10.6 6.9 -2.0 -0.6 8.5 -2.7 -3.6 4.2 -4.0 SUGAR11 -20.0 -15.0 -16.6 2.6 8.6 1.6 4.8 -1.2 3.3 -3.7 -13.3 -14.0 -0.7 -15.1 -13.9 2.3 15.0 7.8 11.8 -20.0 -17.4 -12.1 -6.6 -20.0 -20.0 -5.4 -0.3 -4.3 -2.9 -1.6 -5.2 19.1 -11.6 -20.0 -20.0 -20.0 20.0 9.6 20.0 20.0 US10 -5.4 -14.7 -9.8 -2.2 3.7 -1.5 1.3 -1.2 -1.3 8.0 -3.1 -0.9 -4.7 -6.0 -7.8 -4.6 -7.4 -6.2 -7.0 -8.3 -6.9 3.4 -6.8 -4.7 2.3 -2.3 3.7 -1.6 1.3 -1.4 -1.3 -7.3 0.1 -2.3 -1.3 1.5 -19.6 -20.0 -3.9 3.2 US10U -6.2 -14.6 -9.7 -3.2 5.4 -2.2 1.8 -1.8 -1.9 11.6 -4.2 -2.4 -6.5 -9.1 -11.6 -5.8 -1.6 -4.2 -2.7 -12.2 -10.2 3.6 -10.5 -7.5 0.1 -3.4 5.3 -2.4 1.7 -2.1 -2.2 2.0 -2.2 -3.0 -1.0 3.7 -19.0 -20.0 19.5 11.3 US2 -5.2 -15.9 -17.0 -2.1 3.5 -1.5 1.2 -1.2 -1.2 7.2 -7.2 -1.4 -7.7 -6.2 -8.1 -20.0 -20.0 -20.0 -20.0 -10.7 -10.0 2.1 -10.2 -6.2 11.1 -2.6 2.4 -2.0 0.7 -1.8 -1.5 -20.0 -0.9 -4.4 -4.4 -4.7 -19.0 -20.0 -14.4 -20.0 US20 -7.7 -15.8 -7.0 -2.3 3.9 -1.6 1.3 -1.3 -1.3 8.5 -0.7 -1.7 -3.0 -6.4 -7.9 -0.3 -0.7 -0.3 -0.4 -8.0 -6.1 2.8 -6.4 -5.2 -0.9 -2.1 4.2 -1.2 1.5 -1.2 -1.4 4.5 -1.3 -1.3 0.4 5.2 -20.0 -15.2 20.0 17.3 US30 -8.4 -14.7 -6.0 -2.7 4.7 -1.9 1.6 -1.6 -1.6 9.7 -2.1 -3.5 -4.8 -8.3 -9.9 -1.2 -5.2 -3.9 -5.0 -9.7 -7.6 1.5 -8.5 -7.0 -0.4 -2.8 4.4 -1.6 1.0 -1.7 -2.2 -3.6 -5.2 -2.5 0.1 6.5 -17.5 -13.3 20.0 20.0 US5 -5.3 -15.7 -13.5 -2.2 3.8 -1.6 1.3 -1.3 -1.3 8.1 -5.7 -1.3 -6.2 -6.6 -8.4 -8.5 -10.0 -9.3 -9.7 -9.8 -8.4 3.4 -7.8 -5.5 5.1 -2.5 3.4 -1.9 1.2 -1.4 -1.5 -11.7 0.8 -3.7 -2.9 -1.3 -17.2 -20.0 -8.6 -7.6 VIX -5.6 9.7 13.6 -4.8 -10.4 -6.4 -9.2 -9.9 -6.3 -17.6 -19.6 -18.6 -20.0 -16.3 -14.9 -20.0 -20.0 -20.0 -20.0 -9.6 -14.6 -19.0 -20.0 -13.3 NaN -5.5 -11.8 -7.5 -10.4 -12.0 -7.3 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 20.0 20.0 12.9 3.0 10.0 1.9 5.6 -1.4 3.9 16.6 -1.3 16.3 -16.4 16.3 9.0 -19.2 -13.6 -17.6 -15.5 12.8 -2.1 20.0 -15.6 20.0 1.6 3.8 11.9 -0.5 9.7 -3.2 7.8 -20.0 20.0 20.0 20.0 -14.2 -5.8 -20.0 0.3 -20.0 End of report for caleb_strategy_v3