******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240507_204015 produced at 2024-05-07 21:37:50.865115 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.90 0.0 0.00 0.00 0.00 0.00 -12.62 11.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.16 -0.34 0.0 0.78 -0.78 -0.16 -0.16 -4.33 10.0 -2 -2 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.33 0.0 0.00 0.00 0.00 0.00 -9.91 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 -4.51 13.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.23 -0.26 0.0 999.00 -999.00 -0.23 -0.23 -56.50 999999999.0 -51 -51 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.14 -0.17 0.0 0.45 -0.45 -0.14 -0.08 -6.19 16.0 -5 -3 caleb_strategy_v3 CHF False False 0.04 -0.33 -0.15 0.0 0.53 -0.53 -0.33 -0.29 -3.76 13.0 -8 -7 caleb_strategy_v3 CAD False False 0.02 0.00 -0.10 0.0 0.63 -0.63 0.00 0.00 -4.77 29.0 0 0 caleb_strategy_v3 US5 False False 0.03 -0.31 -0.08 0.0 0.79 -0.79 -0.31 -0.31 -2.62 25.0 -10 -10 caleb_strategy_v3 JPY False False 0.02 -0.07 -0.06 0.0 0.41 -0.41 -0.07 -0.05 -2.29 17.0 -3 -2 caleb_strategy_v3 BOBL False False 0.04 -0.26 -0.05 0.0 0.71 -0.71 -0.26 -0.26 -1.29 19.0 -7 -7 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.05 0.0 0.01 -0.01 0.00 0.00 -10.61 3.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.04 0.0 0.09 -0.09 -0.06 -0.06 -1.21 3.0 -2 -2 caleb_strategy_v3 EUR False False 0.04 -0.12 -0.04 0.0 0.56 -0.56 -0.12 -0.12 -1.00 14.0 -3 -3 caleb_strategy_v3 US10 False False 0.03 0.00 -0.04 0.0 0.55 -0.55 0.00 0.00 -1.29 17.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.04 -0.04 0.0 0.05 -0.05 -0.04 -0.04 -20.98 26.0 -23 -23 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.04 0.0 0.09 -0.09 -0.01 -0.01 -5.63 12.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.04 0.0 0.15 -0.15 -0.02 -0.02 -13.35 51.0 -6 -6 caleb_strategy_v3 DOW False False 0.01 0.00 -0.03 0.0 0.38 -0.38 0.00 0.00 -5.67 66.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.03 0.0 0.37 -0.37 -0.01 -0.01 -3.28 48.0 -1 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.02 -0.03 0.0 0.25 -0.25 -0.02 -0.04 -2.62 23.0 -2 -4 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.03 0.0 0.30 -0.30 0.00 0.00 -0.72 8.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -18.14 59.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.03 0.0 0.13 -0.13 -0.05 -0.05 -2.34 11.0 -4 -4 caleb_strategy_v3 GBP False False 0.02 0.00 -0.02 0.0 0.51 -0.51 0.00 0.00 -1.02 22.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.01 -0.02 0.0 0.16 -0.16 -0.01 -0.01 -2.03 13.0 -1 -1 caleb_strategy_v3 SP400 False False 0.09 -0.09 -0.02 0.0 0.18 -0.18 -0.09 -0.09 -0.26 2.0 -1 -1 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.02 0.0 0.09 -0.09 -0.02 -0.02 -0.73 4.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 -0.02 -0.02 0.0 0.12 -0.12 -0.02 -0.02 -2.70 18.0 -3 -3 caleb_strategy_v3 US10U False False 0.03 -0.17 -0.02 0.0 0.43 -0.43 -0.17 -0.17 -0.69 13.0 -5 -5 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 SOYOIL False False 0.01 -0.03 -0.02 0.0 0.08 -0.08 -0.03 -0.03 -2.53 10.0 -4 -4 caleb_strategy_v3 RUSSELL False False 0.00 -0.05 -0.02 0.0 0.21 -0.21 -0.05 -0.05 -6.94 68.0 -17 -17 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 -0.01 0.0 0.39 -0.39 -0.01 -0.04 -1.16 56.0 -2 -6 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.39 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 -0.22 9.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.04 -0.01 0.0 0.22 -0.22 -0.04 -0.04 -0.24 6.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.54 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.13 -0.13 -0.02 -0.02 -0.55 7.0 -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 NZD False False 0.02 -0.02 -0.01 0.0 0.37 -0.37 -0.02 -0.02 -0.74 21.0 -1 -1 caleb_strategy_v3 AUD False False 0.02 -0.04 -0.00 0.0 0.37 -0.37 -0.04 -0.04 -0.06 19.0 -2 -2 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.00 0.0 0.23 -0.23 0.00 0.00 0.07 23.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 0.00 0.0 0.08 -0.08 0.00 0.00 0.10 8.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.05 0.00 0.0 0.09 -0.09 -0.05 -0.03 0.05 9.0 -5 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.20 2.0 0 0 caleb_strategy_v3 OAT False False 0.04 0.00 -0.00 0.0 0.41 -0.41 0.00 0.00 -0.04 10.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.00 -0.00 0.0 0.27 -0.27 0.00 0.00 -0.37 36.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.63 -0.63 0.00 0.00 0.05 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 -0.30 5.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.02 0.00 0.0 0.13 -0.13 0.02 0.02 0.03 6.0 1 1 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 SILVER-mini False False 0.02 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.73 999999999.0 0 0 caleb_strategy_v3 PLAT False False 0.01 0.00 0.02 0.0 0.15 -0.15 0.00 0.00 1.22 10.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.03 0.0 0.04 -0.04 0.00 0.00 2.74 4.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.03 0.0 0.05 -0.05 0.00 0.00 1.65 3.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.12 0.03 0.0 999.00 -999.00 0.12 0.12 0.83 999999999.0 4 4 caleb_strategy_v3 LIVECOW False False 0.02 0.02 0.05 0.0 0.35 -0.35 0.02 0.02 2.43 17.0 1 1 caleb_strategy_v3 EUROSTX False False 0.02 0.14 0.06 0.0 0.32 -0.32 0.14 0.14 3.72 20.0 9 9 caleb_strategy_v3 SMI False True 0.04 0.19 0.08 0.0 0.19 0.00 0.19 0.19 2.24 9.0 5 5 caleb_strategy_v3 DAX False False 0.01 0.05 0.08 0.0 0.34 -0.34 0.05 0.04 13.18 58.0 8 6 caleb_strategy_v3 CAC True False 0.03 0.00 0.09 0.0 0.00 0.00 0.00 0.00 3.53 12.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.07 0.12 0.0 0.11 -0.11 0.07 0.07 5.28 5.0 3 3 caleb_strategy_v3 COPPER False False 0.03 0.17 0.13 0.0 999.00 -999.00 0.17 0.17 3.93 999999999.0 5 5 caleb_strategy_v3 DX False False 0.03 0.00 0.13 0.0 999.00 -999.00 0.00 0.00 4.04 999999999.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.27 0.35 0.0 0.52 -0.52 0.27 0.28 40.44 60.0 31 32 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 15.8 Shocked risk 41.7 Sum abs risk 48.1 Leverage 4.68 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3365909.99, 'annual_cash_vol_target': 841477.4975, 'daily_cash_vol_target': 52592.34359375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6603 0.6621 10.5936 BITCOIN 1854.0144 63585.0000 2.9158 46.6529 BOBL 0.2712 117.2000 0.2314 3.7026 BTP 0.6226 118.3600 0.5260 8.4167 BUND 0.5428 131.6500 0.4123 6.5966 BUXL 1.2561 132.2400 0.9499 15.1978 CAC 53.8745 8071.0000 0.6675 10.6801 CAD 0.0030 0.7286 0.4055 6.4885 CANOLA 7.8685 667.6000 1.1786 18.8581 CHF 0.0050 1.1050 0.4555 7.2881 COCOA 418.4133 8128.0000 5.1478 82.3648 COFFEE 4.4226 196.1500 2.2547 36.0751 COPPER 0.0525 4.5960 1.1429 18.2857 CORN 4.7652 488.7500 0.9750 15.5996 COTTON2 1.3329 77.3900 1.7223 27.5566 CRUDE_W 0.8785 75.9200 1.1572 18.5148 DAX 142.0801 18578.0000 0.7648 12.2364 DOW 253.0836 39019.0000 0.6486 10.3779 DX 0.3614 105.2700 0.3433 5.4928 EUR 0.0044 1.0772 0.4115 6.5840 EURIBOR-ICE 0.0522 97.4650 0.0536 0.8570 EUROSTX 40.8926 4997.0000 0.8183 13.0935 FEEDCOW 2.1994 254.4500 0.8644 13.8297 GASOIL 10.4550 759.0000 1.3775 22.0395 GASOLINE 0.0372 2.4862 1.4947 23.9157 GAS_US_mini 0.0814 2.4700 3.2956 52.7298 GBP 0.0060 1.2513 0.4780 7.6481 GOLD_micro 20.3361 2323.6000 0.8752 14.0032 HEATOIL 0.0328 2.4938 1.3165 21.0633 JGB-SGX-mini 0.2168 144.8200 0.1497 2.3957 JPY 0.0001 0.0065 0.7896 12.6332 LEANHOG 1.2483 101.7750 1.2265 19.6237 LIVECOW 1.4767 175.4500 0.8417 13.4670 LUMBER-new 7.4231 537.5000 1.3810 22.0966 MILK 0.2456 19.2900 1.2734 20.3744 MXP 0.0004 0.0587 0.6535 10.4567 NASDAQ_micro 172.7310 18200.0000 0.9491 15.1851 NIKKEI 388.7623 38705.0000 1.0044 16.0708 NZD 0.0039 0.5999 0.6548 10.4772 OAT 0.5395 126.8800 0.4252 6.8029 OATIES 4.9874 381.2500 1.3082 20.9307 OJ 4.9468 371.1000 1.3330 21.3279 PALLAD 23.5352 976.5000 2.4102 38.5626 PLAT 15.0958 988.3000 1.5275 24.4393 REDWHEAT 11.1724 676.2500 1.6521 26.4337 RICE 0.2007 15.4400 1.2998 20.7972 ROBUSTA 83.2793 3373.0000 2.4690 39.5040 RUSSELL 22.0527 2080.3000 1.0601 16.9612 SHATZ 0.0837 105.3250 0.0795 1.2719 SILVER-mini 0.4776 27.8000 1.7179 27.4860 SMI 85.1351 11497.0000 0.7405 11.8480 SOFR 0.0663 96.0950 0.0690 1.1036 SOYBEAN 10.8205 1226.2500 0.8824 14.1185 SOYMEAL 5.3298 378.9000 1.4067 22.5066 SOYOIL 0.6450 44.6600 1.4441 23.1063 SP400 25.1705 2999.7000 0.8391 13.4256 SP500_micro 37.6524 5212.2500 0.7224 11.5581 SUGAR11 0.2991 19.9200 1.5015 24.0235 US10 0.4054 109.0156 0.3718 5.9494 US10U 0.5287 112.1562 0.4714 7.5422 US2 0.1063 101.7148 0.1045 1.6721 US20 0.7692 116.6875 0.6592 10.5465 US30 1.1295 123.3125 0.9160 14.6560 US5 0.2626 105.7734 0.2483 3.9722 VIX 0.4595 15.4500 2.9742 47.5865 WHEAT 9.9557 690.0000 1.4429 23.0858 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 660.30 0.66 437.18 1.00 437.18 52592.34 120.30 -0.21 -2.48 BITCOIN 63.58 2.92 185.40 1.00 185.40 52592.34 283.67 -5.91 -167.56 BOBL 1172.00 0.23 271.21 1.08 291.92 52592.34 180.16 -7.04 -126.85 BTP 1183.60 0.53 622.62 1.08 670.16 52592.34 78.48 0.76 5.97 BUND 1316.50 0.41 542.77 1.08 584.21 52592.34 90.02 -5.35 -48.17 BUXL 1322.40 0.95 1256.10 1.08 1352.00 52592.34 38.90 -6.01 -23.40 CAC 807.10 0.67 538.75 1.08 579.88 52592.34 90.70 11.40 103.39 CAD 728.60 0.41 295.47 1.00 295.47 52592.34 177.99 -10.32 -183.75 CANOLA 133.52 1.18 157.37 0.73 115.02 52592.34 457.24 -12.00 -548.87 CHF 1381.31 0.46 629.20 1.00 629.20 52592.34 83.59 -17.36 -145.07 COCOA 812.80 5.15 4184.13 1.00 4184.13 52592.34 12.57 2.04 2.56 COFFEE 735.56 2.25 1658.47 1.00 1658.47 52592.34 31.71 0.73 2.31 COPPER 1149.00 1.14 1313.14 1.00 1313.14 52592.34 40.05 9.07 36.32 CORN 244.38 0.97 238.26 1.00 238.26 52592.34 220.73 -10.49 -231.58 COTTON2 386.95 1.72 666.44 1.00 666.44 52592.34 78.92 -13.86 -109.41 CRUDE_W 759.20 1.16 878.53 1.00 878.53 52592.34 59.86 8.14 48.74 DAX 185.78 0.76 142.08 1.08 152.93 52592.34 343.90 11.24 386.52 DOW 195.10 0.65 126.54 1.00 126.54 52592.34 415.61 -5.87 -244.10 DX 1052.70 0.34 361.39 1.00 361.39 52592.34 145.53 10.69 155.62 EUR 1346.56 0.41 554.11 1.00 554.11 52592.34 94.91 -4.07 -38.63 EURIBOR-ICE 2436.62 0.05 130.52 1.08 140.48 52592.34 374.36 -3.39 -126.93 EUROSTX 499.70 0.82 408.93 1.08 440.15 52592.34 119.49 9.13 109.07 FEEDCOW 1272.25 0.86 1099.68 1.00 1099.68 52592.34 47.83 -4.51 -21.59 GASOIL 759.00 1.38 1045.50 1.00 1045.50 52592.34 50.30 -3.36 -16.93 GASOLINE 1044.20 1.49 1560.81 1.00 1560.81 52592.34 33.70 5.66 19.07 GAS_US_mini 61.75 3.30 203.50 1.00 203.50 52592.34 258.43 -7.50 -193.70 GBP 782.06 0.48 373.83 1.00 373.83 52592.34 140.68 -2.79 -39.23 GOLD_micro 232.36 0.88 203.36 1.00 203.36 52592.34 258.62 -1.32 -34.10 HEATOIL 1047.40 1.32 1378.85 1.00 1378.85 52592.34 38.14 -7.33 -27.97 JGB-SGX-mini 144820.00 0.15 21683.87 0.01 140.90 52592.34 373.27 -1.53 -57.13 JPY 813.12 0.79 642.02 1.00 642.02 52592.34 81.92 -10.76 -88.12 LEANHOG 407.10 1.23 499.30 1.00 499.30 52592.34 105.33 -3.17 -33.41 LIVECOW 701.80 0.84 590.69 1.00 590.69 52592.34 89.03 8.25 73.43 LUMBER-new 147.81 1.38 204.13 1.00 204.13 52592.34 257.64 -19.23 -495.53 MILK 385.80 1.27 491.28 1.00 491.28 52592.34 107.05 -1.31 -14.03 MXP 293.65 0.65 191.91 1.00 191.91 52592.34 274.04 10.05 275.50 NASDAQ_micro 364.00 0.95 345.46 1.00 345.46 52592.34 152.24 -7.40 -112.61 NIKKEI 38705.00 1.00 38876.23 0.01 252.61 52592.34 208.20 -0.17 -3.44 NZD 599.90 0.65 392.83 1.00 392.83 52592.34 133.88 -2.14 -28.71 OAT 1268.80 0.43 539.47 1.08 580.66 52592.34 90.57 -0.13 -1.18 OATIES 190.62 1.31 249.37 1.00 249.37 52592.34 210.90 0.39 8.14 OJ 556.65 1.33 742.01 1.00 742.01 52592.34 70.88 10.89 77.19 PALLAD 976.50 2.41 2353.52 1.00 2353.52 52592.34 22.35 -5.16 -11.53 PLAT 494.15 1.53 754.79 1.00 754.79 52592.34 69.68 5.14 35.82 REDWHEAT 338.12 1.65 558.62 1.00 558.62 52592.34 94.15 0.81 7.61 RICE 308.80 1.30 401.39 1.00 401.39 52592.34 131.03 8.60 112.70 ROBUSTA 337.30 2.47 832.79 1.00 832.79 52592.34 63.15 0.93 5.87 RUSSELL 104.02 1.06 110.26 1.00 110.26 52592.34 476.97 -4.39 -209.46 SHATZ 1053.25 0.08 83.73 1.08 90.12 52592.34 583.60 -16.74 -976.78 SILVER-mini 695.00 1.72 1193.93 1.00 1193.93 52592.34 44.05 4.89 21.54 SMI 1149.70 0.74 851.35 1.10 939.34 52592.34 55.99 11.70 65.53 SOFR 2402.38 0.07 165.70 1.00 165.70 52592.34 317.39 -6.54 -207.69 SOYBEAN 613.12 0.88 541.03 1.00 541.03 52592.34 97.21 -6.09 -59.18 SOYMEAL 378.90 1.41 532.98 1.00 532.98 52592.34 98.68 -5.90 -58.18 SOYOIL 267.96 1.44 386.97 1.00 386.97 52592.34 135.91 -20.00 -271.81 SP400 2999.70 0.84 2517.05 1.00 2517.05 52592.34 20.89 -3.80 -7.94 SP500_micro 260.61 0.72 188.26 1.00 188.26 52592.34 279.36 -5.06 -141.32 SUGAR11 223.10 1.50 334.98 1.00 334.98 52592.34 157.00 -8.07 -126.73 US10 1090.16 0.37 405.36 1.00 405.36 52592.34 129.74 -7.85 -101.89 US10U 1121.56 0.47 528.69 1.00 528.69 52592.34 99.48 -5.47 -54.40 US2 2034.30 0.10 212.59 1.00 212.59 52592.34 247.38 -14.40 -356.24 US20 1166.88 0.66 769.15 1.00 769.15 52592.34 68.38 -2.52 -17.23 US30 1233.12 0.92 1129.54 1.00 1129.54 52592.34 46.56 -4.04 -18.83 US5 1057.73 0.25 262.60 1.00 262.60 52592.34 200.28 -10.33 -206.93 VIX 154.50 2.97 459.51 1.00 459.51 52592.34 114.45 -20.00 -228.91 WHEAT 345.00 1.44 497.79 1.00 497.79 52592.34 105.65 0.36 3.82 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -2.480 0.010 2.5 -0.064 BITCOIN -167.560 0.043 2.5 -18.145 BOBL -126.846 0.004 2.5 -1.286 BTP 5.969 0.014 2.5 0.204 BUND -48.174 0.004 2.5 -0.489 BUXL -23.396 0.004 2.5 -0.237 CAC 103.390 0.014 2.5 3.526 CAD -183.745 0.010 2.5 -4.767 CANOLA -548.869 0.010 2.5 -13.353 CHF -145.066 0.010 2.5 -3.764 COCOA 2.559 0.009 2.5 0.055 COFFEE 2.315 0.005 2.5 0.027 COPPER 36.315 0.043 2.5 3.932 CORN -231.583 0.010 2.5 -5.634 COTTON2 -109.412 0.009 2.5 -2.343 CRUDE_W 48.744 0.043 2.5 5.278 DAX 386.516 0.014 2.5 13.183 DOW -244.102 0.009 2.5 -5.673 DX 155.620 0.010 2.5 4.038 EUR -38.626 0.010 2.5 -1.002 EURIBOR-ICE -126.931 0.014 2.5 -4.329 EUROSTX 109.070 0.014 2.5 3.720 FEEDCOW -21.591 0.013 2.5 -0.715 GASOIL -16.926 0.017 2.5 -0.734 GASOLINE 19.066 0.017 2.5 0.826 GAS_US_mini -193.704 0.043 2.5 -20.976 GBP -39.230 0.010 2.5 -1.018 GOLD_micro -34.100 0.014 2.5 -1.163 HEATOIL -27.971 0.017 2.5 -1.212 JGB-SGX-mini -57.126 0.043 2.5 -6.186 JPY -88.117 0.010 2.5 -2.286 LEANHOG -33.407 0.024 2.5 -2.030 LIVECOW 73.430 0.013 2.5 2.433 LUMBER-new -495.527 0.009 2.5 -10.606 MILK -14.028 0.009 2.5 -0.300 MXP 275.496 0.059 2.5 40.435 NASDAQ_micro -112.610 0.009 2.5 -2.617 NIKKEI -3.435 0.043 2.5 -0.372 NZD -28.713 0.010 2.5 -0.745 OAT -1.181 0.014 2.5 -0.040 OATIES 8.142 0.010 2.5 0.198 OJ 77.186 0.009 2.5 1.653 PALLAD -11.529 0.014 2.5 -0.393 PLAT 35.818 0.014 2.5 1.222 REDWHEAT 7.606 0.005 2.5 0.101 RICE 112.699 0.010 2.5 2.742 ROBUSTA 5.874 0.005 2.5 0.069 RUSSELL -209.465 0.013 2.5 -6.941 SHATZ -976.782 0.004 2.5 -9.905 SILVER-mini 21.538 0.014 2.5 0.735 SMI 65.531 0.014 2.5 2.235 SOFR -207.688 0.024 2.5 -12.622 SOYBEAN -59.181 0.004 2.5 -0.550 SOYMEAL -58.178 0.004 2.5 -0.541 SOYOIL -271.814 0.004 2.5 -2.530 SP400 -7.940 0.013 2.5 -0.263 SP500_micro -141.318 0.009 2.5 -3.284 SUGAR11 -126.729 0.009 2.5 -2.695 US10 -101.890 0.005 2.5 -1.291 US10U -54.402 0.005 2.5 -0.689 US2 -356.243 0.005 2.5 -4.514 US20 -17.227 0.005 2.5 -0.218 US30 -18.833 0.005 2.5 -0.239 US5 -206.931 0.005 2.5 -2.622 VIX -228.908 0.099 2.5 -56.504 WHEAT 3.820 0.005 2.5 0.051 ===================== Position diags ===================== AUD 3.12 BITCOIN 30.72 BOBL 1.83 BTP 2.68 BUND 0.91 BUXL 0.39 CAC 3.09 CAD 4.62 CANOLA 11.12 CHF 2.17 COCOA 0.27 COFFEE 0.37 COPPER 4.34 CORN 5.37 COTTON2 1.69 CRUDE_W 6.48 DAX 11.73 DOW 9.66 DX 3.78 EUR 2.46 EURIBOR-ICE 12.77 EUROSTX 4.08 FEEDCOW 1.58 GASOIL 2.18 GASOLINE 1.46 GAS_US_mini 27.99 GBP 3.65 GOLD_micro 8.82 HEATOIL 1.65 JGB-SGX-mini 40.42 JPY 2.13 LEANHOG 6.40 LIVECOW 2.95 LUMBER-new 5.51 MILK 2.29 MXP 40.22 NASDAQ_micro 3.54 NIKKEI 22.54 NZD 3.47 OAT 3.09 OATIES 5.13 OJ 1.52 PALLAD 0.76 PLAT 2.38 REDWHEAT 1.25 RICE 3.19 ROBUSTA 0.74 RUSSELL 15.81 SHATZ 5.92 SILVER-mini 1.50 SMI 1.91 SOFR 19.29 SOYBEAN 0.90 SOYMEAL 0.92 SOYOIL 1.27 SP400 0.69 SP500_micro 6.49 SUGAR11 3.34 US10 1.64 US10U 1.26 US2 3.13 US20 0.87 US30 0.59 US5 2.54 VIX 28.25 WHEAT 1.40 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 -18.1 -21.2 -15.1 0.0 0 BOBL -1.3 -1.5 -1.1 -7.0 -7 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 3.5 3.2 3.8 0.0 0 CAD -4.8 -5.2 -4.3 0.0 0 CANOLA -13.4 -14.5 -12.2 -6.0 -6 CHF -3.8 -4.0 -3.5 -8.0 -8 COCOA 0.1 0.0 0.1 0.0 0 COFFEE 0.0 -0.0 0.1 1.0 1 COPPER 3.9 3.5 4.4 5.0 5 CORN -5.6 -6.2 -5.1 -2.0 -2 COTTON2 -2.3 -2.5 -2.2 -4.0 -4 CRUDE_W 5.3 4.6 5.9 3.0 3 DAX 13.2 12.0 14.4 8.0 8 DOW -5.7 -6.6 -4.7 0.0 0 DX 4.0 3.7 4.4 NaN 0 EUR -1.0 -1.2 -0.8 -3.0 -3 EURIBOR-ICE -4.3 -5.6 -3.1 -2.0 -2 EUROSTX 3.7 3.3 4.1 9.0 9 FEEDCOW -0.7 -0.9 -0.6 0.0 0 GASOIL -0.7 -1.0 -0.5 -1.0 -1 GASOLINE 0.8 0.7 1.0 4.0 4 GAS_US_mini -21.0 -23.8 -18.2 -23.0 -23 GBP -1.0 -1.4 -0.7 0.0 0 GOLD_micro -1.2 -2.0 -0.3 -2.0 -2 HEATOIL -1.2 -1.4 -1.0 -2.0 -2 JGB-SGX-mini -6.2 -10.2 -2.1 -5.0 -5 JPY -2.3 -2.5 -2.1 -3.0 -3 LEANHOG -2.0 -2.7 -1.4 -1.0 -1 LIVECOW 2.4 2.1 2.7 1.0 1 LUMBER-new -10.6 -11.2 -10.1 NaN 0 MILK -0.3 -0.5 -0.1 NaN 0 MXP 40.4 36.4 44.5 31.0 31 NASDAQ_micro -2.6 -3.0 -2.3 -2.0 -2 NIKKEI -0.4 -2.6 1.9 0.0 0 NZD -0.7 -1.1 -0.4 -1.0 -1 OAT -0.0 -0.3 0.3 0.0 0 OATIES 0.2 -0.3 0.7 NaN 0 OJ 1.7 1.5 1.8 NaN 0 PALLAD -0.4 -0.5 -0.3 0.0 0 PLAT 1.2 1.0 1.5 0.0 0 REDWHEAT 0.1 -0.0 0.2 0.0 0 RICE 2.7 2.4 3.1 NaN 0 ROBUSTA 0.1 -0.0 0.1 0.0 0 RUSSELL -6.9 -8.5 -5.4 -17.0 -17 SHATZ -9.9 -10.5 -9.3 NaN 0 SILVER-mini 0.7 0.6 0.9 0.0 0 SMI 2.2 2.0 2.4 5.0 5 SOFR -12.6 -14.6 -10.7 NaN 0 SOYBEAN -0.6 -0.6 -0.5 -1.0 -1 SOYMEAL -0.5 -0.6 -0.4 0.0 0 SOYOIL -2.5 -2.7 -2.4 -4.0 -4 SP400 -0.3 -0.3 -0.2 -1.0 -1 SP500_micro -3.3 -3.9 -2.6 -1.0 -1 SUGAR11 -2.7 -3.0 -2.4 -3.0 -3 US10 -1.3 -1.5 -1.1 0.0 0 US10U -0.7 -0.8 -0.6 -5.0 -5 US2 -4.5 -4.8 -4.2 NaN 0 US20 -0.2 -0.3 -0.1 0.0 0 US30 -0.2 -0.3 -0.2 -1.0 -1 US5 -2.6 -2.9 -2.4 -10.0 -10 VIX -56.5 -59.3 -53.7 -51.0 -51 WHEAT 0.1 -0.1 0.2 -5.0 -5 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.8 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 -0.0 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.3 0.1 -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 0.3 0.4 0.4 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 0.1 0.3 -0.1 0.5 -0.1 0.1 -0.1 -0.1 -0.2 -0.2 0.0 0.2 -0.0 0.5 -0.1 -2.7 0.0 0.0 0.2 -0.0 0.3 -0.0 -0.2 -0.3 -0.6 -0.6 0.6 -0.3 -0.0 0.4 0.1 BOBL -0.2 -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 -0.1 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 -0.3 -0.3 -0.1 0.1 -0.0 -0.7 -0.7 0.1 -0.4 BTP -0.1 -0.5 -0.0 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.1 0.2 0.1 0.3 -0.0 -0.1 0.1 0.1 0.1 0.1 -0.0 0.0 0.1 0.2 0.0 -2.6 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 -0.2 -0.3 -0.3 -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 -0.0 0.3 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.3 -0.0 0.2 0.1 -0.7 -0.7 0.3 -0.3 BUXL -0.2 -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 0.0 0.4 0.3 -0.7 -0.7 -0.2 -0.1 CAC -0.5 -0.6 0.4 0.0 0.1 0.2 0.1 0.2 -0.0 0.1 0.5 0.1 0.7 -0.0 0.2 0.4 0.1 0.3 0.2 0.1 0.2 0.0 0.5 0.0 -1.6 0.1 0.1 0.3 0.1 0.4 0.0 1.0 -0.3 0.6 0.6 0.5 -0.3 0.3 -0.3 0.4 CAD 0.0 -0.3 -0.2 -0.1 0.0 -0.1 0.0 0.0 -0.0 -0.0 -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 -0.4 0.1 0.0 -0.1 -0.5 -0.5 -0.1 -0.4 CANOLA 0.0 0.6 0.5 0.0 0.1 0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.3 0.0 0.0 -0.4 -0.2 -0.3 -0.3 0.0 -0.1 0.1 -0.3 0.1 -2.7 0.0 0.1 -0.1 0.1 -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 -0.0 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 -0.2 0.6 0.6 0.1 0.0 0.3 0.3 COFFEE -0.6 0.4 0.3 0.0 0.1 0.0 0.1 -0.0 0.0 -0.1 0.3 -0.1 0.3 -0.0 0.1 0.2 0.2 0.2 0.2 0.1 0.1 -0.2 0.3 -0.0 -2.5 0.0 -0.1 0.1 -0.0 0.1 0.0 0.6 -0.5 0.1 0.6 0.6 -0.0 -0.7 0.3 -0.2 COPPER 0.1 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 0.3 0.5 0.4 0.0 0.1 0.1 0.1 -0.0 0.1 0.2 -0.3 0.2 -0.7 0.2 0.1 -0.4 -0.2 -0.4 -0.3 0.0 -0.1 0.2 -0.5 0.1 -2.3 0.0 0.1 -0.1 0.1 -0.3 0.1 -1.1 0.5 0.3 0.4 -0.6 -0.5 -0.7 -0.5 0.0 COTTON2 -0.6 -0.6 0.1 0.0 0.1 0.0 0.1 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.1 -0.2 -0.1 -0.1 -0.0 -0.2 -2.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 -0.5 -0.6 -0.6 0.3 -0.3 -0.5 0.1 0.0 CRUDE_W -0.6 0.1 0.3 0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.2 0.3 -0.2 0.6 -0.0 0.1 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 0.2 -0.1 -0.1 -0.2 -0.2 0.2 0.0 0.7 0.6 0.7 0.6 DAX -0.5 -0.6 0.3 0.0 0.1 0.1 0.0 0.2 -0.0 0.1 0.5 0.1 0.6 -0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.2 0.1 0.5 0.0 1.7 0.1 0.1 0.2 0.0 0.3 0.0 -0.6 -0.1 0.2 0.6 0.6 -0.1 0.2 0.2 0.6 DOW -0.2 -0.6 -0.3 0.0 0.1 0.1 0.0 0.2 -0.0 0.1 0.3 0.1 0.4 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 0.1 0.4 -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 0.1 -0.2 0.3 -0.5 DX 0.1 0.5 0.3 -0.0 0.0 -0.1 0.0 0.0 -0.0 -0.1 0.4 0.0 0.4 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 -0.0 0.3 0.1 -2.7 0.1 -0.0 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 -0.0 -0.3 -0.2 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.1 -0.2 0.1 -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 0.0 -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 -0.3 -0.6 -0.5 -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 0.4 EUROSTX -0.6 -0.6 0.4 0.0 0.1 0.1 0.0 0.2 -0.0 0.1 0.5 0.0 0.7 -0.0 0.2 -0.1 -0.0 -0.1 -0.0 0.1 0.2 0.1 0.5 0.0 -0.1 0.1 0.1 0.3 0.0 0.4 0.0 0.5 -0.2 0.4 0.6 0.6 -0.5 0.2 -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 -0.5 0.1 -0.6 0.1 0.7 0.7 0.7 0.7 GASOIL -0.6 -0.2 0.2 0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.1 0.2 -0.2 0.5 -0.2 0.0 -0.0 0.4 0.2 0.3 -0.1 0.1 -0.2 0.4 -0.2 0.9 -0.0 -0.1 0.1 -0.1 0.2 -0.1 0.5 -0.1 -0.6 -0.5 -0.2 -0.5 -0.3 -0.7 -0.6 GASOLINE -0.6 -0.0 0.4 0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.2 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 -0.1 -0.1 -0.3 -0.1 0.1 0.3 0.7 0.7 0.7 0.7 GAS_US_mini 0.3 0.4 -0.0 0.0 -0.0 0.1 -0.1 0.1 -0.0 0.1 -0.5 0.1 -0.6 0.0 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 0.1 -0.5 0.0 2.7 -0.1 0.1 -0.3 0.0 -0.4 -0.0 -1.1 0.5 0.6 -0.5 -0.6 -0.6 -0.2 -0.7 -0.3 GBP -0.0 -0.4 -0.2 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.1 0.1 0.1 0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 0.0 -0.0 0.2 -0.0 -0.0 0.0 0.0 0.1 -0.0 0.2 0.2 0.2 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 -0.0 0.1 -0.1 0.2 -0.1 -0.1 -0.0 -0.2 0.3 -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 -0.0 0.0 -0.1 0.2 -0.1 0.4 -0.2 -0.6 -0.6 -0.3 0.6 0.2 0.3 0.0 JGB-SGX-mini -0.2 -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 -0.0 -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 0.0 -0.3 -0.0 -0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 0.0 -0.3 -0.1 2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.2 -0.2 -0.5 -0.5 -0.7 -0.4 -0.7 -0.4 LEANHOG -0.4 -0.0 0.6 0.0 0.2 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 -0.2 0.6 -0.3 -0.3 0.0 0.4 LIVECOW 0.2 -0.6 0.2 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.1 -0.0 0.4 0.1 0.4 0.3 -0.0 -0.0 0.0 0.0 -0.0 -0.7 0.0 0.0 0.0 0.0 0.1 -0.0 0.7 -0.2 0.0 -0.4 0.4 0.7 0.6 0.7 0.7 LUMBER-new -0.7 -0.7 -0.2 0.0 0.1 0.1 0.1 -0.0 0.1 0.1 -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 0.4 0.0 0.1 0.0 0.1 -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 -0.0 0.2 -0.4 0.2 1.8 0.0 0.0 -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 -0.4 -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 -0.0 -2.7 0.0 0.0 0.2 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 -0.4 -0.6 -0.3 0.0 0.1 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 0.1 0.3 -0.0 -2.7 -0.0 0.1 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 0.1 0.1 0.0 0.1 -0.0 0.1 0.3 -0.0 0.5 -0.1 0.0 0.0 0.2 0.1 0.1 0.0 0.2 0.0 0.5 -0.0 -1.8 0.0 0.0 0.1 0.0 0.3 -0.0 1.1 0.1 -0.2 -0.2 0.5 -0.4 -0.2 -0.2 -0.3 NZD 0.1 -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 -0.1 -0.0 0.0 0.0 0.0 -0.1 -0.1 0.1 -0.1 -0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.2 0.1 0.3 -0.1 -0.1 -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 -0.0 -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 0.0 0.3 0.2 -0.6 -0.7 0.3 -0.0 OATIES 0.6 0.3 -0.1 0.0 0.1 0.1 0.1 -0.0 0.1 0.2 -0.4 0.2 -0.6 0.2 0.1 0.3 0.0 0.2 0.1 0.1 -0.1 0.2 -0.4 0.2 -2.7 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.0 0.5 0.6 0.2 -0.1 -0.6 -0.1 -0.1 0.5 OJ -0.0 0.1 0.2 0.0 0.1 0.1 0.1 -0.0 0.1 0.1 0.3 0.1 0.6 0.2 0.2 0.1 0.2 0.1 0.2 0.1 0.2 0.1 0.5 0.1 -2.7 0.0 0.0 0.2 0.0 0.7 0.0 0.7 0.1 0.1 -0.1 0.4 0.2 0.3 0.7 0.7 PALLAD -0.4 0.1 0.4 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 -0.1 0.3 0.1 0.0 0.0 0.1 -0.0 0.0 0.0 0.1 -0.0 0.1 -0.3 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 -0.0 0.1 1.4 0.0 0.1 0.0 0.1 0.0 0.0 0.2 0.5 0.2 0.0 -0.2 -0.6 -0.2 0.5 0.2 REDWHEAT 0.6 0.6 0.5 0.0 0.1 0.1 0.1 -0.0 0.1 0.1 -0.2 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 -0.4 0.5 0.6 0.6 -0.3 -0.3 -0.7 0.1 -0.7 RICE 0.6 -0.2 -0.2 0.0 0.1 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 0.2 0.1 0.0 0.4 0.4 0.4 0.4 0.1 0.0 0.1 0.1 0.1 -1.0 0.0 0.0 0.0 0.0 0.0 0.0 1.1 0.1 0.6 -0.1 -0.1 -0.0 -0.1 0.1 0.1 ROBUSTA -0.6 -0.4 -0.2 0.0 0.1 0.0 0.0 -0.0 0.0 -0.1 0.3 -0.1 0.4 0.0 0.1 0.4 0.4 0.4 0.4 0.1 0.2 -0.2 0.4 -0.0 -2.7 0.0 -0.0 0.1 -0.0 0.1 0.0 1.1 -0.5 0.3 0.6 0.6 -0.4 -0.6 0.0 0.1 RUSSELL -0.2 -0.4 0.1 0.0 0.1 0.1 0.0 0.1 -0.0 0.1 0.2 0.1 0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 0.1 0.1 0.0 -0.2 0.0 0.1 0.1 0.1 0.1 0.0 -0.1 0.1 0.1 -0.0 -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 0.1 -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 1.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.3 -0.2 -0.1 -0.3 -0.7 -0.7 -0.5 -0.7 SILVER-mini -0.6 0.5 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 -0.0 0.1 0.0 0.3 0.0 0.0 0.1 -0.0 0.1 0.0 -0.1 0.0 -0.0 0.5 0.4 -0.3 -0.5 0.6 0.2 SMI -0.4 -0.5 0.2 0.0 0.1 0.1 0.0 0.2 -0.0 0.1 0.3 0.0 0.4 -0.1 0.0 -0.1 0.1 0.0 0.1 0.0 0.1 0.1 0.2 -0.0 1.7 0.0 0.1 0.2 0.1 0.2 0.0 0.8 -0.1 0.3 0.2 -0.1 0.4 -0.0 0.7 -0.1 SOFR -0.1 -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 0.1 -0.2 -0.0 -0.3 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 0.0 -0.1 -0.1 0.0 -0.4 -0.7 0.3 -0.0 SOYBEAN 0.3 0.3 -0.1 0.0 0.1 0.1 0.1 -0.0 0.1 0.2 -0.3 0.2 -0.2 0.1 0.0 -0.0 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 0.2 0.4 -0.6 -0.5 -0.7 -0.4 -0.7 SOYMEAL 0.6 0.6 -0.2 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.3 0.2 -0.4 0.1 0.0 -0.0 0.1 -0.1 0.0 0.1 -0.1 0.2 -0.2 0.2 -2.7 0.0 0.1 -0.0 0.1 -0.1 0.1 0.0 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 0.1 -0.0 0.0 -0.0 -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 -0.0 -0.1 -0.0 -0.5 -0.5 -0.6 -0.4 -0.4 -0.7 -0.5 -0.2 0.1 SP400 -0.4 -0.5 0.3 0.0 0.1 0.1 0.0 0.2 -0.0 0.1 0.3 0.1 0.4 -0.0 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 0.1 0.2 0.0 0.1 0.2 -0.1 0.1 0.0 -0.5 -0.3 -0.4 -0.7 SP500_micro -0.5 -0.6 0.1 0.0 0.1 0.1 0.0 0.2 -0.0 0.1 0.4 0.1 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 0.1 -0.1 -0.0 0.3 -0.1 -0.1 0.1 -0.1 SUGAR11 -0.5 -0.4 -0.5 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.4 -0.1 -0.0 -0.2 -0.1 0.0 0.3 0.2 0.2 -0.2 -0.2 -0.0 -0.2 -0.2 -2.7 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 1.0 -0.1 -0.6 -0.6 -0.6 0.7 0.3 0.7 0.7 US10 -0.1 -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 -0.0 0.3 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.4 -0.0 -0.1 -0.0 0.0 -0.6 -0.7 -0.1 0.1 US10U -0.1 -0.5 -0.3 -0.0 0.1 -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 0.1 -0.3 -0.1 0.0 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.1 -0.0 -0.1 -0.0 0.1 -0.6 -0.7 0.6 0.4 US2 -0.1 -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 -0.1 -0.1 -0.1 -0.2 -0.6 -0.7 -0.5 -0.7 US20 -0.1 -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 -0.0 -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 -0.2 -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 0.1 -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 -0.1 -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 -0.0 0.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.6 -0.0 -0.1 -0.1 -0.1 -0.6 -0.7 -0.3 -0.3 VIX -0.5 0.5 0.7 -0.1 -0.1 -0.3 -0.2 -0.5 -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 -0.3 NaN -0.1 -0.2 -0.3 -0.2 -0.6 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.6 0.6 0.5 0.0 0.1 0.1 0.1 -0.0 0.1 0.1 -0.0 0.2 -0.6 0.2 0.1 -0.4 -0.3 -0.4 -0.3 0.2 -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 -0.4 -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 4.5 -0.9 -1.1 -3.3 1.2 -1.6 0.7 0.6 -2.1 10.1 -4.7 10.3 -8.8 5.3 -3.1 -2.5 -2.8 -2.7 -2.7 -0.4 -2.4 11.6 -3.9 5.4 2.6 0.6 6.7 -0.7 7.3 -1.6 3.8 -0.7 13.8 12.4 11.2 2.4 -20.0 -8.8 -8.9 -1.3 BITCOIN -20.0 -15.9 7.5 3.6 0.4 3.1 -0.9 1.4 1.1 6.9 12.0 -6.1 14.1 -9.0 6.6 -6.2 -7.3 -7.6 -7.9 4.2 17.4 -5.4 19.8 -7.9 -20.0 3.5 1.6 8.1 -1.2 8.8 -1.1 -3.0 -10.6 -17.5 -17.5 20.0 -9.8 -0.8 13.3 2.9 BOBL -7.5 -7.6 -13.0 -1.9 3.9 -1.5 1.9 -1.2 -0.7 7.4 -4.6 -2.3 -3.6 -5.1 -7.9 13.6 -7.5 4.4 -4.0 -6.8 -5.3 0.5 -4.5 -4.7 4.7 -2.4 1.9 -1.6 -0.3 -1.3 -2.0 -5.9 -11.4 -3.5 3.9 -0.9 -20.0 -20.0 4.0 -13.2 BTP -4.3 -14.0 -1.1 -3.1 6.1 -2.3 3.0 -2.0 -1.2 12.6 8.8 7.1 8.9 -3.7 -4.8 4.5 6.0 4.7 5.0 -0.3 4.4 5.9 6.3 0.3 -19.1 2.1 4.9 5.0 2.8 5.6 0.9 14.9 -14.1 5.0 15.0 18.9 -8.3 -10.2 20.0 2.5 BUND -7.0 -8.2 -7.9 -2.2 4.3 -1.6 2.1 -1.4 -0.8 8.3 -2.0 -1.0 -1.7 -4.8 -8.1 -9.1 -0.3 -7.0 -3.9 -5.5 -3.5 1.9 -3.2 -3.7 2.3 -1.4 3.6 -0.4 0.6 -0.4 -1.4 2.1 -10.7 -1.5 7.6 4.0 -20.0 -20.0 9.2 -8.3 BUXL -7.0 -7.4 -2.9 -2.7 5.3 -2.0 2.6 -1.7 -1.0 10.6 -0.2 -0.1 -2.7 -5.0 -8.9 -7.1 -2.5 -6.2 -4.4 -5.0 -2.8 3.2 -4.1 -3.3 -1.5 0.1 4.7 1.2 1.2 0.0 -0.5 0.0 -11.9 0.3 12.6 9.6 -20.0 -20.0 -6.2 -4.1 CAC -14.1 -17.4 13.7 1.1 11.6 5.6 4.9 6.7 -0.6 14.3 20.0 7.8 20.0 -3.6 16.4 18.8 3.4 15.2 8.4 10.7 20.0 4.9 20.0 1.1 -12.3 7.2 9.5 10.7 6.0 10.5 4.1 19.0 -12.1 18.1 20.0 14.7 -10.3 8.2 -9.0 12.6 CAD 1.0 -8.2 -5.8 -4.7 1.7 -2.3 1.0 0.9 -3.1 -2.1 -11.6 0.2 -10.3 -9.8 -15.1 -2.9 -2.4 -2.7 -2.5 -11.1 -9.4 -2.8 -7.6 -7.1 -0.7 -5.9 -4.3 -4.9 -2.0 -3.9 -3.9 0.0 -18.1 1.8 0.1 -2.7 -15.9 -15.1 -2.9 -11.6 CANOLA 0.3 20.0 14.4 1.8 7.2 1.0 4.5 -0.6 2.7 8.8 -5.9 6.2 -7.5 4.1 4.1 -17.6 -8.1 -16.0 -13.5 1.4 -4.6 11.2 -10.1 5.0 -20.0 0.6 8.4 -2.1 4.8 -4.9 2.2 -20.0 7.6 -2.1 10.2 -8.1 -20.0 -16.8 -10.7 -3.9 CHF 7.3 -18.1 -20.0 -3.9 1.4 -1.9 0.8 0.7 -2.5 9.0 -16.8 2.6 -10.9 -14.4 -18.3 -16.0 -15.9 -16.1 -16.0 -20.0 -20.0 1.5 -11.6 -11.4 0.4 -6.2 1.4 -5.4 0.3 -2.6 -3.3 -20.0 -6.5 4.4 -20.0 -20.0 -2.7 -17.0 5.0 -15.4 COCOA -20.0 -20.0 -20.0 1.2 4.9 0.7 3.0 -0.4 1.8 -3.7 5.6 -4.8 6.5 0.2 4.0 19.0 15.2 20.0 20.0 5.4 8.4 -9.1 7.0 -2.8 -14.5 2.0 -0.7 2.9 -1.0 2.9 0.3 20.0 -20.0 -4.8 20.0 20.0 3.9 0.1 9.5 8.3 COFFEE -20.0 11.7 8.9 2.7 10.8 1.6 6.7 -0.9 4.1 -13.3 10.4 -12.2 9.2 -0.0 5.3 11.4 8.8 11.9 10.9 11.1 13.5 -20.0 9.4 -3.7 -18.5 3.7 -5.6 3.6 -3.8 2.6 0.8 11.6 -20.0 2.4 20.0 19.3 -1.3 -20.0 7.9 -7.5 COPPER 3.4 20.0 20.0 3.5 0.4 3.0 -0.9 1.3 1.1 2.7 15.0 9.6 6.8 14.4 16.1 -3.7 -4.9 -4.6 -5.1 20.0 20.0 15.7 11.4 20.0 -14.0 6.0 1.6 4.6 3.1 2.5 5.3 1.4 20.0 20.0 20.0 20.0 -20.0 -2.7 7.8 6.5 CORN 9.6 15.9 11.1 3.7 14.8 2.2 9.3 -1.2 5.6 18.8 -9.8 19.0 -19.1 16.2 5.3 -19.5 -10.8 -19.1 -16.3 2.9 -9.7 20.0 -20.0 13.4 -16.9 1.8 15.8 -4.7 12.7 -8.8 7.7 -20.0 20.0 10.6 11.9 -20.0 -14.2 -20.0 -13.7 0.7 COTTON2 -20.0 -20.0 3.9 2.1 8.5 1.2 5.3 -0.7 3.2 -4.8 -5.4 -9.4 -2.1 -11.3 -9.9 11.1 4.0 10.7 6.5 -15.8 -6.3 -15.4 -1.5 -20.0 -20.0 -2.5 -1.6 0.1 -3.3 1.2 -4.0 2.7 -20.0 -20.0 -20.0 8.2 -10.0 -14.2 3.1 0.5 CRUDE_W -20.0 4.4 9.1 1.1 -5.1 4.5 -8.7 4.9 -5.4 -17.0 9.3 -20.0 15.6 -3.4 13.2 15.2 12.1 15.1 13.3 6.7 14.9 -20.0 16.7 -11.7 -5.5 2.0 -7.6 5.8 -10.4 6.9 -5.5 -1.1 -9.0 -6.9 6.9 1.5 20.0 17.9 20.0 19.1 DAX -16.5 -18.8 8.2 0.9 9.3 4.5 3.9 5.3 -0.5 14.6 16.9 8.1 17.8 -3.4 10.8 -10.0 -11.6 -11.9 -12.4 10.2 18.3 10.5 19.3 4.6 12.7 6.1 7.0 8.4 4.3 7.6 3.4 -10.6 -3.0 7.1 20.0 17.1 -1.7 7.4 4.5 17.7 DOW -6.0 -20.0 -8.2 0.7 7.4 3.6 3.1 4.3 -0.4 14.0 10.9 6.5 12.4 -7.0 -5.9 -10.7 -11.1 -11.7 -11.8 -2.4 6.7 8.8 13.1 -1.6 -11.9 0.4 7.4 4.8 4.0 7.7 -0.0 -9.7 -7.8 1.6 -0.0 -5.6 1.6 -7.5 9.3 -15.4 DX 2.7 14.8 10.5 -4.5 1.6 -2.2 0.9 0.8 -2.9 -12.3 14.7 0.1 11.0 15.0 17.7 7.2 6.6 7.2 6.9 17.5 14.8 -5.0 10.4 9.3 -20.0 6.1 -3.0 4.9 -1.6 3.4 3.4 15.8 -20.0 20.0 20.0 20.0 18.2 5.2 20.0 12.0 EUR -0.2 -9.6 -6.1 -4.4 1.6 -2.2 0.9 0.8 -2.9 13.7 -8.6 4.7 -7.8 -9.5 -12.9 -6.8 -6.8 -6.8 -6.7 -9.6 -8.6 6.3 -6.0 -3.3 19.6 -3.7 5.0 -2.8 4.0 -1.6 -0.9 -7.3 4.6 4.6 0.2 1.8 -20.0 -15.4 -20.0 -12.2 EURIBOR-ICE -10.1 -18.3 -14.1 -1.8 3.7 -1.4 1.8 -1.2 -0.7 7.3 0.2 -1.5 1.4 -5.3 -7.2 -5.5 -4.3 -4.3 -3.6 -6.6 -2.5 1.2 0.3 -5.0 12.3 -2.3 1.6 -0.5 -0.1 0.5 -2.0 -1.2 -8.6 -6.4 -0.9 -0.9 -20.0 -20.0 6.2 13.4 EUROSTX -17.5 -18.8 11.5 0.9 9.9 4.8 4.2 5.7 -0.5 12.5 19.2 4.5 19.9 -3.9 15.5 -7.2 -0.3 -3.6 -1.1 11.7 20.0 5.9 20.0 2.9 -1.0 6.7 6.6 10.1 4.2 9.8 3.4 9.2 -8.5 12.3 19.6 20.0 -15.3 7.5 -16.4 12.4 FEEDCOW 12.6 -20.0 2.1 3.0 12.1 1.8 7.6 -1.0 4.6 -7.1 -3.1 3.3 -2.0 -4.6 -3.9 -20.0 -20.0 -20.0 -20.0 -6.3 -4.5 -3.8 -0.6 -4.5 -6.1 -1.5 -2.1 -0.9 -1.4 1.7 -1.0 -20.0 -20.0 3.8 -19.7 4.2 20.0 20.0 20.0 20.0 GASOIL -20.0 -7.0 6.4 1.0 -4.4 3.9 -7.6 4.2 -4.7 -13.3 7.2 -20.0 14.7 -17.5 4.0 -0.3 18.8 9.8 15.2 -5.5 7.5 -20.0 15.4 -20.0 6.7 -2.7 -5.7 2.4 -10.0 5.3 -8.5 8.4 -5.4 -17.2 -15.0 -6.4 -14.2 -8.9 -20.0 -18.4 GASOLINE -20.0 -0.1 12.7 1.0 -4.7 4.1 -8.1 4.5 -5.0 -18.9 16.7 -19.3 17.5 -4.2 14.5 20.0 13.3 18.6 11.9 7.4 16.2 -20.0 17.2 -10.9 -20.0 2.3 -10.2 6.2 -10.8 7.5 -5.3 -1.1 -11.5 -2.8 4.1 9.4 20.0 20.0 20.0 20.0 GAS_US_mini 9.5 11.2 -1.0 0.7 -3.3 2.9 -5.7 3.2 -3.6 14.1 -17.3 8.4 -17.9 0.3 -15.0 -20.0 -20.0 -20.0 -20.0 -7.7 -19.0 7.5 -20.0 0.8 20.0 -5.2 7.5 -9.3 4.1 -10.7 -0.3 -20.0 20.0 20.0 -16.2 -20.0 -16.9 -4.7 -20.0 -9.7 GBP -1.3 -11.7 -4.8 -4.6 1.6 -2.3 0.9 0.9 -3.0 6.1 4.4 6.1 4.2 -8.1 -11.0 -1.1 -0.7 -0.9 -0.8 -7.1 -3.3 3.3 1.4 -3.1 1.5 -2.3 -0.1 0.3 2.5 2.1 -0.7 2.9 7.4 6.6 1.6 11.3 -20.0 -11.6 -20.0 -5.0 GOLD_micro -20.0 12.7 17.6 2.5 0.3 2.1 -0.6 0.9 0.8 0.3 10.8 -6.2 9.4 4.8 9.2 -11.8 -14.3 -13.5 -14.1 14.7 16.2 -3.1 11.6 4.7 -3.1 3.5 -0.4 3.9 -0.7 2.9 1.2 -14.5 -2.7 -0.3 20.0 20.0 -17.3 -17.4 -5.2 -9.6 HEATOIL -20.0 -6.4 2.4 1.0 -4.7 4.1 -8.0 4.5 -5.0 -13.4 -1.2 -20.0 9.7 -18.8 -2.7 -3.8 18.7 6.3 13.5 -9.0 2.4 -20.0 10.1 -20.0 -20.0 -3.7 -5.5 1.7 -10.2 5.6 -9.2 7.1 -8.3 -18.2 -20.0 -9.9 17.5 5.8 10.3 1.4 JGB-SGX-mini -6.8 -15.5 -8.0 -2.3 4.5 -1.7 2.2 -1.5 -0.9 9.2 1.2 0.0 3.9 -5.1 -7.6 10.9 15.4 10.7 11.9 -6.7 -3.3 4.2 0.7 -3.8 -8.4 -2.7 3.4 -1.8 1.3 -0.8 -1.6 20.0 1.7 -5.4 -0.7 0.5 -13.4 -10.0 1.1 10.8 JPY 7.2 -2.7 -1.4 -2.3 0.8 -1.1 0.5 0.4 -1.5 3.6 -11.1 -0.4 -11.6 -7.6 -9.9 -15.4 -16.6 -16.6 -16.6 -10.1 -11.1 0.0 -12.5 -6.2 20.0 -3.7 0.9 -3.6 -0.3 -3.7 -2.6 -20.0 -7.0 -7.4 -15.3 -14.8 -20.0 -11.7 -20.0 -11.1 LEANHOG -13.4 -0.3 20.0 4.4 17.5 2.6 10.9 -1.5 6.6 -20.0 15.6 -20.0 -2.1 -10.0 11.4 -20.0 -20.0 -20.0 -20.0 6.9 12.4 -20.0 2.8 -9.6 9.8 2.7 -9.3 7.0 -9.7 3.2 -4.6 -20.0 -20.0 -20.0 -5.2 20.0 -7.7 -8.9 0.3 12.8 LIVECOW 6.6 -19.2 5.1 2.9 11.7 1.7 7.3 -1.0 4.4 6.0 -0.9 6.1 -0.1 -6.4 -2.7 20.0 7.1 20.0 15.2 -4.5 -2.5 2.0 0.4 -2.9 -5.2 0.1 3.6 1.2 1.4 3.5 -0.0 12.6 -10.0 0.4 -11.5 11.0 20.0 19.3 20.0 20.0 LUMBER-new -20.0 -20.0 -4.5 3.3 13.1 2.0 8.2 -0.5 4.9 12.8 -4.4 -7.0 -10.5 -13.1 -12.6 -20.0 -17.6 -20.0 -19.3 -20.0 -11.6 -5.6 -5.1 -20.0 NaN -4.9 0.8 -2.4 -1.3 -0.7 -4.7 -20.0 7.6 -20.0 -20.0 -20.0 -11.9 -11.5 -4.5 -6.8 MILK 20.0 20.0 11.0 2.4 9.5 1.4 5.9 -0.8 3.6 10.0 -6.8 12.7 -11.3 11.5 5.8 -20.0 -20.0 -20.0 -20.0 7.9 -4.2 20.0 -13.9 18.5 13.6 2.0 4.4 -1.4 5.9 -4.3 5.1 -20.0 12.8 20.0 10.4 -2.9 -20.0 -20.0 -20.0 -20.0 MXP -20.0 -10.8 -3.1 -4.1 1.5 -2.0 0.8 0.8 -2.7 15.5 14.5 -5.5 18.5 -8.0 2.4 15.4 17.1 16.7 16.6 2.8 11.9 4.3 20.0 -1.9 -20.0 2.1 4.2 5.6 1.6 8.4 -0.5 20.0 4.3 -9.9 20.0 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -13.7 -20.0 -9.1 0.5 5.9 2.8 2.5 3.4 -0.3 11.0 9.9 3.4 11.7 -0.2 2.3 -9.5 -10.3 -10.5 -10.7 -0.7 6.7 8.1 12.8 -0.7 -20.0 -0.3 5.8 3.5 2.7 6.7 -0.8 -8.0 7.3 -0.5 -7.1 -0.8 -1.3 -0.4 2.5 -0.8 NIKKEI -20.0 -20.0 4.5 0.6 6.8 3.3 2.9 3.9 -0.3 10.7 10.4 -0.6 12.9 -6.0 4.6 1.8 9.3 4.4 7.1 2.0 14.1 1.3 20.0 -4.3 -13.3 0.8 2.6 5.5 0.1 7.8 -1.7 20.0 2.6 -6.5 -5.9 15.8 -12.0 -7.2 -5.5 -8.4 NZD 3.3 -10.4 -6.8 -3.1 1.1 -1.5 0.6 0.6 -2.0 10.8 -5.0 5.5 -5.1 -6.5 -10.2 -0.0 0.2 0.1 0.2 -6.4 -5.7 6.8 -3.9 -0.8 0.7 -3.2 4.7 -2.7 3.6 -1.5 -0.3 4.5 5.6 8.7 -2.9 -4.3 -10.7 -5.1 -2.9 6.9 OAT -5.2 -11.8 -6.9 -2.4 4.7 -1.8 2.3 -1.5 -0.9 9.5 -0.3 1.0 -0.1 -4.6 -8.2 6.4 6.1 5.6 5.4 -5.2 -2.6 3.2 -1.7 -3.0 2.7 -1.3 5.0 0.2 1.9 0.4 -0.9 15.3 -9.2 0.5 7.7 5.8 -19.1 -20.0 10.3 -0.0 OATIES 20.0 8.9 -2.5 3.8 15.3 2.2 9.5 -1.3 5.7 19.4 -15.0 20.0 -16.6 18.4 9.7 14.5 1.4 9.9 5.5 8.9 -7.6 20.0 -14.6 20.0 -20.0 3.4 11.8 -1.0 12.4 -2.7 8.9 -0.5 20.0 20.0 7.1 -3.9 -16.5 -1.7 -2.0 15.6 OJ -0.2 3.8 5.3 4.0 15.9 2.3 9.9 -1.3 6.0 8.3 9.6 9.9 17.2 15.7 18.7 4.0 12.4 5.4 8.1 10.9 18.4 5.6 20.0 7.6 -20.0 2.1 2.1 6.8 2.2 18.9 1.8 13.0 3.1 2.9 -2.3 11.5 7.2 8.8 20.0 20.0 PALLAD -12.5 1.6 11.0 1.9 0.2 1.6 -0.5 0.7 0.6 0.0 -4.0 -6.0 -7.8 -5.9 -0.6 -2.1 -2.1 -2.0 -2.0 -2.7 -3.9 -4.2 -9.8 -4.8 12.6 -1.1 0.7 -1.4 -2.3 -3.7 -2.6 6.6 -5.8 -7.4 -8.4 -6.4 -20.0 -17.5 -20.0 -11.2 PLAT -4.6 8.1 4.2 2.7 0.3 2.3 -0.7 1.0 0.8 12.2 -0.4 5.2 -7.6 3.9 2.4 -5.0 -3.8 -4.7 -4.3 3.7 1.2 9.5 -1.8 5.5 10.5 2.8 7.6 1.7 5.2 0.5 3.3 3.2 20.0 6.0 0.5 -5.0 -19.3 -6.3 14.8 7.1 REDWHEAT 20.0 20.0 15.6 3.5 14.1 2.1 8.8 -1.2 5.3 12.5 -8.2 16.5 -17.0 16.9 10.0 -9.6 -0.7 -3.4 -1.5 14.9 -2.9 20.0 -17.2 20.0 -7.7 4.5 7.6 -0.4 8.9 -3.6 8.2 -7.0 20.0 20.0 20.0 -7.8 -8.7 -20.0 2.2 -20.0 RICE 20.0 -5.8 -6.1 1.8 7.2 1.1 4.5 -0.6 2.7 9.1 3.5 10.2 5.8 9.7 4.6 20.0 18.3 20.0 20.0 6.4 3.7 10.5 4.4 11.3 -7.2 1.0 1.9 0.3 2.5 0.5 2.5 20.0 3.7 20.0 -2.0 -2.8 -1.4 -4.2 3.4 3.8 ROBUSTA -20.0 -12.2 -7.6 1.8 7.2 1.1 4.5 -0.6 2.7 -9.2 9.4 -6.7 10.0 2.1 6.9 20.0 20.0 20.0 20.0 12.7 16.1 -20.0 14.5 -0.7 -20.0 3.4 -4.7 3.9 -1.7 3.6 1.6 20.0 -20.0 8.4 20.0 20.0 -11.9 -18.5 1.4 3.9 RUSSELL -7.0 -12.3 4.1 0.6 6.6 3.2 2.8 3.8 -0.3 12.6 8.7 5.6 8.4 -3.0 -2.1 -6.4 -6.4 -6.5 -6.5 -1.0 3.6 11.5 5.1 1.0 -1.7 0.5 9.6 2.6 5.7 3.4 1.2 -1.0 5.5 2.7 -1.4 -9.3 -12.7 -20.0 -13.5 -20.0 SHATZ -6.5 -7.4 -20.0 -1.9 3.8 -1.4 1.9 -1.2 -0.7 6.6 -8.2 -3.2 -7.9 -5.8 -8.3 -20.0 -20.0 -20.0 -20.0 -10.2 -10.1 -1.6 -9.8 -7.0 7.5 -3.1 0.3 -2.6 -1.1 -2.2 -2.5 -20.0 -14.4 -6.1 -2.0 -8.2 -20.0 -20.0 -16.4 -20.0 SILVER-mini -17.4 14.8 15.8 2.6 0.3 2.2 -0.7 1.0 0.8 6.0 7.7 -5.9 4.4 3.2 7.4 -6.3 -6.7 -6.6 -6.7 9.6 9.4 -1.6 5.2 2.8 2.6 3.3 1.0 3.4 -0.4 2.2 1.0 -1.4 0.8 -0.7 14.7 13.8 -9.3 -14.4 18.1 4.7 SMI -11.0 -14.8 7.6 0.7 8.0 3.9 3.4 4.6 -0.4 9.5 11.9 3.9 10.4 -4.9 3.0 -2.7 3.6 0.2 2.6 1.4 6.5 6.1 6.6 -0.7 12.7 3.5 10.3 5.7 6.2 4.8 2.7 15.8 -5.4 8.8 7.4 -2.1 11.8 -0.7 19.8 -2.1 SOFR -2.4 -17.1 -13.5 -2.4 4.8 -1.8 2.4 -1.6 -0.9 9.9 -2.9 3.3 -3.3 -6.2 -9.1 -3.3 -0.6 -2.0 -1.1 -9.9 -8.1 6.9 -5.7 -4.2 -2.4 -2.6 4.6 -1.8 2.4 -1.0 -1.0 4.2 0.8 -4.2 -3.0 0.1 -11.2 -20.0 9.2 -1.4 SOYBEAN 8.8 10.7 -3.3 3.6 14.3 2.1 8.9 -1.2 5.4 18.1 -10.9 16.5 -6.8 9.3 3.9 -2.3 9.5 0.3 4.2 2.0 -7.6 20.0 -10.9 13.5 -20.0 1.5 20.0 -2.1 13.6 -3.1 6.5 6.7 20.0 6.8 13.2 -20.0 -14.2 -20.0 -12.2 -20.0 SOYMEAL 20.0 20.0 -7.0 2.8 11.4 1.7 7.1 -1.0 4.3 12.6 -12.0 14.4 -11.7 13.3 0.6 -1.0 6.0 -2.7 0.2 6.3 -6.1 20.0 -9.1 20.0 -20.0 2.8 12.2 -1.1 11.0 -1.8 7.3 0.5 20.0 20.0 20.0 -19.4 -20.0 -20.0 -20.0 -20.0 SOYOIL -20.0 -4.6 -0.6 2.4 9.5 1.4 5.9 -0.8 3.6 -1.8 -12.3 -9.8 -10.9 -11.2 -9.8 -7.8 -0.1 -7.1 -4.7 -12.2 -11.4 -10.3 -12.2 -14.6 -20.0 -3.3 0.6 -2.2 -3.3 -2.0 -4.6 -9.2 -20.0 -20.0 -11.9 -12.9 -20.0 -13.9 -7.4 4.3 SP400 -13.2 -15.6 10.0 0.7 7.4 3.6 3.1 4.2 -0.4 14.0 11.5 5.2 11.6 -3.1 3.2 -5.2 -5.3 -5.2 -5.3 3.1 10.7 13.3 12.3 2.0 -11.8 2.0 9.6 4.8 5.1 5.3 1.3 1.0 8.2 -1.6 4.2 0.5 -13.9 -10.3 -12.0 -20.0 SP500_micro -15.9 -20.0 1.8 0.7 7.4 3.6 3.1 4.3 -0.4 14.0 13.2 4.7 14.4 -1.7 5.8 -11.2 -11.7 -12.2 -12.3 2.5 12.7 10.2 17.8 0.2 -19.2 1.3 7.3 5.9 3.4 8.3 -0.1 -10.5 5.2 -3.0 -0.6 8.1 -2.4 -3.5 4.3 -3.8 SUGAR11 -14.6 -13.8 -16.5 3.0 11.9 1.7 7.4 -1.0 4.5 8.7 -13.4 -10.8 -0.9 -14.1 -13.7 2.2 14.9 7.5 11.6 -20.0 -16.7 -5.0 -6.5 -17.4 -20.0 -5.3 3.0 -4.4 -1.2 -1.7 -4.5 18.1 -4.8 -20.0 -20.0 -20.0 20.0 9.8 20.0 20.0 US10 -1.9 -14.7 -9.9 -2.0 4.0 -1.5 2.0 -1.3 -0.8 8.2 -3.1 2.5 -4.7 -5.1 -7.5 -4.6 -7.4 -6.1 -7.0 -7.7 -6.9 5.1 -6.9 -3.3 2.3 -2.2 3.9 -1.6 2.0 -1.5 -0.8 -7.1 -0.6 -2.2 -1.5 1.3 -19.1 -20.0 -3.5 3.1 US10U -2.8 -14.5 -9.8 -2.9 5.8 -2.2 2.9 -1.9 -1.1 12.0 -4.3 3.0 -6.6 -7.8 -11.3 -5.6 -1.6 -4.2 -2.7 -11.5 -10.3 6.7 -10.7 -5.4 0.1 -3.2 6.1 -2.4 2.9 -2.2 -1.3 2.0 -1.8 -2.8 -1.2 3.5 -18.6 -20.0 19.3 11.1 US2 -2.5 -16.2 -17.4 -1.9 3.8 -1.4 1.9 -1.2 -0.7 7.2 -7.2 1.7 -7.7 -5.6 -8.0 -20.0 -20.0 -20.0 -20.0 -10.5 -10.2 2.8 -10.5 -5.3 11.2 -2.5 2.0 -2.1 0.9 -1.9 -1.3 -20.0 -4.2 -4.6 -4.5 -5.3 -18.7 -20.0 -14.0 -20.0 US20 -4.1 -15.5 -7.0 -2.1 4.2 -1.6 2.1 -1.4 -0.8 8.7 -0.7 2.2 -3.1 -5.4 -7.6 -0.4 -0.7 -0.3 -0.4 -7.4 -6.1 5.3 -6.6 -3.5 -0.9 -1.9 5.2 -1.1 2.6 -1.2 -0.7 4.6 -0.4 -1.3 0.3 5.2 -20.0 -15.1 20.0 17.0 US30 -5.0 -14.4 -5.9 -2.5 5.1 -1.9 2.5 -1.6 -1.0 10.3 -2.1 1.7 -4.9 -7.1 -9.5 -1.2 -5.1 -3.8 -5.0 -9.1 -7.5 4.7 -8.6 -5.0 -0.4 -2.5 5.9 -1.6 2.5 -1.8 -1.3 -3.4 -3.1 -2.4 0.0 6.6 -17.5 -13.3 20.0 20.0 US5 -1.9 -15.8 -13.8 -2.1 4.1 -1.6 2.0 -1.3 -0.8 8.4 -5.7 2.3 -6.3 -5.7 -8.2 -8.6 -10.0 -9.3 -9.7 -9.3 -8.5 4.9 -8.0 -4.1 5.1 -2.4 3.4 -1.9 1.7 -1.5 -1.0 -11.6 -0.8 -3.5 -3.0 -1.6 -16.7 -20.0 -8.1 -7.6 VIX -9.6 9.0 13.8 -5.0 -9.8 -6.1 -9.4 -9.2 -6.7 -17.5 -19.5 -18.8 -20.0 -16.9 -15.4 -20.0 -20.0 -20.0 -20.0 -10.8 -15.0 -20.0 -20.0 -15.2 NaN -5.7 -11.1 -7.1 -10.6 -11.1 -7.7 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 20.0 20.0 14.4 3.4 13.5 2.0 8.4 -1.1 5.1 15.4 -0.2 16.6 -15.8 16.5 9.9 -19.0 -13.6 -17.6 -15.5 14.4 -0.9 20.0 -14.6 20.0 1.6 4.1 10.6 -0.1 9.9 -2.8 7.9 -20.0 20.0 20.0 20.0 -12.0 -6.1 -20.0 0.1 -20.0 End of report for caleb_strategy_v3