******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240509_204009 produced at 2024-05-09 21:38:05.873393 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.82 0.0 0.00 0.00 0.00 0.00 -11.52 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.35 0.0 0.00 0.00 0.00 0.00 -10.52 24.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.46 -0.31 0.0 0.77 -0.77 -0.46 -0.54 -4.08 10.0 -6 -7 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.08 -0.27 0.0 0.44 -0.44 -0.08 -0.08 -10.00 16.0 -3 -3 caleb_strategy_v3 US2 False True 0.06 0.00 -0.27 0.0 0.00 0.00 0.00 0.00 -4.49 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 -58.72 999999999.0 -52 -53 caleb_strategy_v3 CHF False False 0.04 -0.24 -0.15 0.0 0.53 -0.53 -0.24 -0.20 -3.60 13.0 -6 -5 caleb_strategy_v3 CAD False False 0.02 0.00 -0.09 0.0 0.63 -0.63 0.00 -0.04 -4.38 29.0 0 -2 caleb_strategy_v3 US5 False False 0.03 -0.28 -0.08 0.0 0.78 -0.78 -0.28 -0.28 -2.50 25.0 -9 -9 caleb_strategy_v3 BOBL False False 0.04 -0.26 -0.05 0.0 0.70 -0.70 -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 -10.99 3.0 0 0 caleb_strategy_v3 JPY False False 0.02 -0.02 -0.05 0.0 0.40 -0.40 -0.02 -0.05 -2.28 17.0 -1 -2 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.04 0.0 0.09 -0.09 -0.06 -0.06 -1.22 3.0 -2 -2 caleb_strategy_v3 US10 False False 0.03 0.00 -0.04 0.0 0.55 -0.55 0.00 0.00 -1.18 17.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.04 0.0 0.08 -0.08 -0.01 -0.01 -6.30 12.0 -2 -2 caleb_strategy_v3 LEANHOG False False 0.01 -0.02 -0.04 0.0 0.15 -0.15 -0.02 -0.02 -3.05 13.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.04 0.0 0.15 -0.15 -0.02 -0.02 -12.98 51.0 -6 -6 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.04 0.0 0.30 -0.30 0.00 0.00 -0.99 8.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.06 -0.03 0.0 0.25 -0.25 -0.06 -0.04 -2.82 23.0 -6 -4 caleb_strategy_v3 GBP False False 0.02 0.00 -0.03 0.0 0.51 -0.51 0.00 0.00 -1.51 22.0 0 0 caleb_strategy_v3 EUR False False 0.04 -0.12 -0.03 0.0 0.56 -0.56 -0.12 -0.12 -0.79 14.0 -3 -3 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -16.93 59.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.00 -0.03 0.0 0.26 -0.26 0.00 -0.01 -4.15 36.0 0 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.04 -0.03 0.0 0.05 -0.05 -0.04 -0.04 -16.45 26.0 -21 -21 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.02 0.0 0.18 -0.18 0.00 -0.09 -0.22 2.0 0 -1 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.02 0.0 0.37 -0.37 -0.01 -0.01 -3.11 48.0 -1 -1 caleb_strategy_v3 DOW False False 0.01 0.00 -0.02 0.0 0.38 -0.38 0.00 0.00 -3.51 66.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.02 0.0 0.12 -0.12 -0.01 -0.01 -2.61 18.0 -2 -2 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.02 0.0 0.13 -0.13 -0.05 -0.03 -2.10 11.0 -4 -3 caleb_strategy_v3 US10U False False 0.03 -0.17 -0.02 0.0 0.43 -0.43 -0.17 -0.17 -0.61 13.0 -5 -5 caleb_strategy_v3 RUSSELL False False 0.00 -0.06 -0.02 0.0 0.21 -0.21 -0.06 -0.06 -6.09 68.0 -18 -18 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 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.04 -2.50 10.0 -5 -5 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.01 0.0 0.09 -0.09 -0.02 -0.02 -0.51 4.0 -1 -1 caleb_strategy_v3 GOLD_micro False False 0.01 -0.07 -0.01 0.0 0.39 -0.39 -0.07 -0.04 -0.83 56.0 -10 -6 caleb_strategy_v3 US30 False False 0.04 0.00 -0.01 0.0 0.22 -0.22 0.00 0.00 -0.19 6.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.52 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.12 -0.12 -0.02 -0.02 -0.53 7.0 -1 -1 caleb_strategy_v3 BUXL False False 0.04 -0.12 -0.01 0.0 0.17 -0.17 -0.12 -0.08 -0.25 4.0 -3 -2 caleb_strategy_v3 NZD False False 0.02 0.00 -0.01 0.0 0.37 -0.37 0.00 0.00 -0.29 21.0 0 0 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 AUD False False 0.02 -0.02 0.00 0.0 0.37 -0.37 -0.02 0.00 0.16 19.0 -1 0 caleb_strategy_v3 US20 False True 0.03 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.14 9.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 -0.00 0.0 0.23 -0.23 0.00 0.00 -0.01 23.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.01 0.00 0.0 0.09 -0.09 -0.01 0.00 0.05 9.0 -1 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.75 2.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.11 0.00 0.0 0.37 -0.37 0.11 0.07 0.06 10.0 3 2 caleb_strategy_v3 OAT False False 0.04 0.08 -0.00 0.0 0.40 -0.40 0.08 0.04 -0.03 10.0 2 1 caleb_strategy_v3 COCOA False False 0.02 0.02 0.00 0.0 0.63 -0.63 0.02 0.00 0.06 26.0 1 0 caleb_strategy_v3 MILK False False 0.01 0.00 0.00 0.0 0.06 -0.06 0.00 0.00 0.11 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 0.05 8.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.02 6.0 0 0 caleb_strategy_v3 PLAT False False 0.01 0.01 0.02 0.0 0.15 -0.15 0.01 0.01 1.60 10.0 1 1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.97 999999999.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.12 0.02 0.0 999.00 -999.00 0.12 0.12 0.61 999999999.0 4 4 caleb_strategy_v3 RICE False False 0.01 0.00 0.03 0.0 0.04 -0.04 0.00 0.00 3.13 4.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.05 -0.05 0.00 0.00 2.07 3.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.04 0.05 0.0 0.35 -0.35 0.04 0.04 2.34 17.0 2 2 caleb_strategy_v3 EUROSTX False False 0.02 0.14 0.08 0.0 0.32 -0.32 0.14 0.18 4.90 20.0 9 11 caleb_strategy_v3 SMI False True 0.04 0.19 0.10 0.0 0.19 0.00 0.19 0.19 2.61 9.0 5 5 caleb_strategy_v3 DAX False False 0.01 0.04 0.10 0.0 0.35 -0.35 0.04 0.06 16.96 58.0 6 10 caleb_strategy_v3 CRUDE_W False False 0.02 0.04 0.11 0.0 0.11 -0.11 0.04 0.04 5.09 5.0 2 2 caleb_strategy_v3 DX False True 0.03 0.00 0.12 0.0 0.00 0.00 0.00 0.00 3.92 999999999.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 0.12 0.0 0.00 0.00 0.00 0.00 4.64 12.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.14 0.13 0.0 999.00 -999.00 0.14 0.14 3.75 999999999.0 4 4 caleb_strategy_v3 MXP False False 0.01 0.29 0.42 0.0 0.52 -0.52 0.29 0.31 48.33 60.0 33 36 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 16.4 Shocked risk 44.9 Sum abs risk 48.8 Leverage 4.80 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3394528.15, 'annual_cash_vol_target': 848632.0375, 'daily_cash_vol_target': 53039.50234375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6626 0.6516 10.4256 BITCOIN 1776.3101 62705.0000 2.8328 45.3249 BOBL 0.2653 117.0000 0.2267 3.6278 BTP 0.6067 117.8500 0.5148 8.2372 BUND 0.5353 131.2800 0.4077 6.5239 BUXL 1.2524 131.0400 0.9558 15.2924 CAC 53.4984 8147.0000 0.6567 10.5066 CAD 0.0029 0.7316 0.4008 6.4130 CANOLA 7.8567 671.4000 1.1702 18.7232 CHF 0.0049 1.1087 0.4427 7.0826 COCOA 396.5009 8269.0000 4.7950 76.7205 COFFEE 4.2873 200.2000 2.1415 34.2638 COPPER 0.0524 4.5990 1.1394 18.2308 CORN 4.8915 480.5000 1.0180 16.2879 COTTON2 1.4158 78.3800 1.8063 28.9003 CRUDE_W 0.8574 76.2700 1.1241 17.9862 DAX 140.5725 18836.0000 0.7463 11.9408 DOW 250.6683 39522.0000 0.6343 10.1480 DX 0.3575 105.1000 0.3402 5.4431 EUR 0.0044 1.0799 0.4049 6.4786 EURIBOR-ICE 0.0509 97.4400 0.0522 0.8357 EUROSTX 39.6507 5052.0000 0.7849 12.5576 FEEDCOW 2.1366 251.1500 0.8507 13.6118 GASOIL 10.1769 766.7500 1.3273 21.2364 GASOLINE 0.0362 2.4919 1.4521 23.2333 GAS_US_mini 0.0808 2.5400 3.1799 50.8782 GBP 0.0059 1.2527 0.4673 7.4761 GOLD_micro 20.0531 2343.6000 0.8557 13.6905 HEATOIL 0.0322 2.5069 1.2831 20.5292 JGB-SGX-mini 0.2159 144.3500 0.1496 2.3936 JPY 0.0000 0.0065 0.7708 12.3321 LEANHOG 1.2241 100.3500 1.2199 19.5179 LIVECOW 1.4366 173.8750 0.8262 13.2198 LUMBER-new 7.2662 533.5000 1.3620 21.7917 MILK 0.2690 19.8900 1.3525 21.6406 MXP 0.0004 0.0591 0.6370 10.1915 NASDAQ_micro 165.3889 18227.2500 0.9074 14.5179 NIKKEI 398.5737 38420.0000 1.0374 16.5986 NZD 0.0039 0.6033 0.6403 10.2455 OAT 0.5325 126.4700 0.4211 6.7371 OATIES 4.8612 380.5000 1.2776 20.4412 OJ 5.0374 383.0000 1.3153 21.0440 PALLAD 23.1385 973.5000 2.3768 38.0294 PLAT 14.6326 994.2000 1.4718 23.5488 REDWHEAT 11.2546 665.0000 1.6924 27.0788 RICE 0.1931 15.4600 1.2492 19.9868 ROBUSTA 79.3747 3442.0000 2.3061 36.8970 RUSSELL 21.3960 2081.3000 1.0280 16.4482 SHATZ 0.0806 105.2700 0.0765 1.2247 SILVER-mini 0.4683 28.5500 1.6404 26.2458 SMI 84.8254 11574.0000 0.7329 11.7263 SOFR 0.0643 96.0800 0.0669 1.0701 SOYBEAN 11.2845 1201.7500 0.9390 15.0241 SOYMEAL 5.3247 371.2000 1.4345 22.9513 SOYOIL 0.6584 43.2200 1.5234 24.3736 SP400 24.4378 3005.7000 0.8130 13.0088 SP500_micro 36.2351 5234.7500 0.6922 11.0753 SUGAR11 0.2927 19.5900 1.4942 23.9070 US10 0.3947 109.0312 0.3620 5.7926 US10U 0.5180 112.1250 0.4620 7.3923 US2 0.1023 101.7305 0.1005 1.6087 US20 0.7566 116.7188 0.6482 10.3710 US30 1.1197 123.2500 0.9085 14.5361 US5 0.2545 105.7812 0.2406 3.8488 VIX 0.4459 15.2500 2.9240 46.7843 WHEAT 9.8581 682.2500 1.4449 23.1191 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 662.60 0.65 431.75 1.00 431.75 53039.5 122.85 0.51 6.28 BITCOIN 62.70 2.83 177.63 1.00 177.63 53039.5 298.59 -5.24 -156.37 BOBL 1170.00 0.23 265.29 1.07 285.02 53039.5 186.09 -6.81 -126.78 BTP 1178.50 0.51 606.72 1.07 651.86 53039.5 81.37 0.22 1.82 BUND 1312.80 0.41 535.29 1.07 575.11 53039.5 92.22 -5.28 -48.70 BUXL 1310.40 0.96 1252.45 1.07 1345.63 53039.5 39.42 -6.29 -24.78 CAC 814.70 0.66 534.98 1.07 574.79 53039.5 92.28 14.76 136.17 CAD 731.65 0.40 293.25 1.00 293.25 53039.5 180.87 -9.34 -168.89 CANOLA 134.28 1.17 157.13 0.73 114.25 53039.5 464.22 -11.49 -533.47 CHF 1385.88 0.44 613.48 1.00 613.48 53039.5 86.46 -16.06 -138.82 COCOA 826.90 4.80 3965.01 1.00 3965.01 53039.5 13.38 2.20 2.95 COFFEE 750.75 2.14 1607.72 1.00 1607.72 53039.5 32.99 -0.53 -1.75 COPPER 1149.75 1.14 1310.06 1.00 1310.06 53039.5 40.49 8.54 34.59 CORN 240.25 1.02 244.57 1.00 244.57 53039.5 216.87 -11.93 -258.82 COTTON2 391.90 1.81 707.88 1.00 707.88 53039.5 74.93 -13.10 -98.16 CRUDE_W 762.70 1.12 857.38 1.00 857.38 53039.5 61.86 7.60 47.02 DAX 188.36 0.75 140.57 1.07 151.03 53039.5 351.18 14.16 497.36 DOW 197.61 0.63 125.33 1.00 125.33 53039.5 423.18 -3.57 -150.90 DX 1051.00 0.34 357.55 1.00 357.55 53039.5 148.34 10.18 150.95 EUR 1349.88 0.40 546.58 1.00 546.58 53039.5 97.04 -3.15 -30.57 EURIBOR-ICE 2436.00 0.05 127.24 1.07 136.70 53039.5 387.99 -3.08 -119.57 EUROSTX 505.20 0.78 396.51 1.07 426.01 53039.5 124.50 11.55 143.79 FEEDCOW 1255.75 0.85 1068.32 1.00 1068.32 53039.5 49.65 -6.01 -29.83 GASOIL 766.75 1.33 1017.69 1.00 1017.69 53039.5 52.12 -2.27 -11.82 GASOLINE 1046.60 1.45 1519.74 1.00 1519.74 53039.5 34.90 4.02 14.03 GAS_US_mini 63.50 3.18 201.92 1.00 201.92 53039.5 262.67 -5.78 -151.94 GBP 782.94 0.47 365.83 1.00 365.83 53039.5 144.98 -4.02 -58.29 GOLD_micro 234.36 0.86 200.53 1.00 200.53 53039.5 264.50 -0.92 -24.24 HEATOIL 1052.90 1.28 1350.95 1.00 1350.95 53039.5 39.26 -7.16 -28.10 JGB-SGX-mini 144350.00 0.15 21594.76 0.01 139.15 53039.5 381.16 -2.42 -92.33 JPY 808.62 0.77 623.25 1.00 623.25 53039.5 85.10 -10.32 -87.78 LEANHOG 401.40 1.22 489.66 1.00 489.66 53039.5 108.32 -4.64 -50.24 LIVECOW 695.50 0.83 574.65 1.00 574.65 53039.5 92.30 7.65 70.64 LUMBER-new 146.71 1.36 199.82 1.00 199.82 53039.5 265.44 -19.35 -513.61 MILK 397.80 1.35 538.04 1.00 538.04 53039.5 98.58 0.52 5.15 MXP 295.65 0.64 188.32 1.00 188.32 53039.5 281.65 11.69 329.29 NASDAQ_micro 364.54 0.91 330.78 1.00 330.78 53039.5 160.35 -7.57 -121.39 NIKKEI 38420.00 1.04 39857.37 0.01 256.83 53039.5 206.51 -1.86 -38.35 NZD 603.30 0.64 386.32 1.00 386.32 53039.5 137.29 -0.81 -11.10 OAT 1264.70 0.42 532.53 1.07 572.15 53039.5 92.70 -0.09 -0.86 OATIES 190.25 1.28 243.06 1.00 243.06 53039.5 218.22 1.41 30.72 OJ 574.50 1.32 755.61 1.00 755.61 53039.5 70.19 13.78 96.69 PALLAD 973.50 2.38 2313.85 1.00 2313.85 53039.5 22.92 -4.99 -11.43 PLAT 497.10 1.47 731.63 1.00 731.63 53039.5 72.49 6.45 46.77 REDWHEAT 332.50 1.69 562.73 1.00 562.73 53039.5 94.25 0.36 3.42 RICE 309.20 1.25 386.24 1.00 386.24 53039.5 137.32 9.36 128.58 ROBUSTA 344.20 2.31 793.75 1.00 793.75 53039.5 66.82 -0.18 -1.19 RUSSELL 104.06 1.03 106.98 1.00 106.98 53039.5 495.79 -3.71 -183.74 SHATZ 1052.70 0.08 80.58 1.07 86.58 53039.5 612.64 -16.94 -1037.89 SILVER-mini 713.75 1.64 1170.81 1.00 1170.81 53039.5 45.30 6.25 28.32 SMI 1157.40 0.73 848.25 1.10 934.82 53039.5 56.74 13.47 76.45 SOFR 2402.00 0.07 160.65 1.00 160.65 53039.5 330.15 -5.74 -189.63 SOYBEAN 600.88 0.94 564.23 1.00 564.23 53039.5 94.00 -6.08 -57.13 SOYMEAL 371.20 1.43 532.47 1.00 532.47 53039.5 99.61 -5.61 -55.92 SOYOIL 259.32 1.52 395.04 1.00 395.04 53039.5 134.27 -20.00 -268.53 SP400 3005.70 0.81 2443.78 1.00 2443.78 53039.5 21.70 -3.12 -6.76 SP500_micro 261.74 0.69 181.18 1.00 181.18 53039.5 292.75 -4.57 -133.90 SUGAR11 219.41 1.49 327.84 1.00 327.84 53039.5 161.79 -7.58 -122.69 US10 1090.31 0.36 394.73 1.00 394.73 53039.5 134.37 -6.90 -92.78 US10U 1121.25 0.46 518.04 1.00 518.04 53039.5 102.39 -4.68 -47.90 US2 2034.61 0.10 204.56 1.00 204.56 53039.5 259.28 -13.66 -354.06 US20 1167.19 0.65 756.56 1.00 756.56 53039.5 70.11 -1.57 -11.02 US30 1232.50 0.91 1119.74 1.00 1119.74 53039.5 47.37 -3.17 -15.03 US5 1057.81 0.24 254.46 1.00 254.46 53039.5 208.44 -9.47 -197.40 VIX 152.50 2.92 445.91 1.00 445.91 53039.5 118.95 -20.00 -237.89 WHEAT 341.12 1.44 492.91 1.00 492.91 53039.5 107.61 0.38 4.04 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 6.280 0.010 2.5 0.163 BITCOIN -156.367 0.043 2.5 -16.932 BOBL -126.784 0.004 2.5 -1.286 BTP 1.820 0.014 2.5 0.062 BUND -48.700 0.004 2.5 -0.494 BUXL -24.779 0.004 2.5 -0.251 CAC 136.165 0.014 2.5 4.644 CAD -168.893 0.010 2.5 -4.382 CANOLA -533.468 0.010 2.5 -12.979 CHF -138.823 0.010 2.5 -3.602 COCOA 2.949 0.009 2.5 0.063 COFFEE -1.750 0.005 2.5 -0.020 COPPER 34.587 0.043 2.5 3.745 CORN -258.816 0.010 2.5 -6.297 COTTON2 -98.162 0.009 2.5 -2.102 CRUDE_W 47.015 0.043 2.5 5.091 DAX 497.361 0.014 2.5 16.964 DOW -150.897 0.009 2.5 -3.507 DX 150.947 0.010 2.5 3.916 EUR -30.567 0.010 2.5 -0.793 EURIBOR-ICE -119.567 0.014 2.5 -4.078 EUROSTX 143.789 0.014 2.5 4.904 FEEDCOW -29.830 0.013 2.5 -0.988 GASOIL -11.820 0.017 2.5 -0.512 GASOLINE 14.025 0.017 2.5 0.608 GAS_US_mini -151.937 0.043 2.5 -16.453 GBP -58.285 0.010 2.5 -1.512 GOLD_micro -24.239 0.014 2.5 -0.827 HEATOIL -28.095 0.017 2.5 -1.218 JGB-SGX-mini -92.330 0.043 2.5 -9.998 JPY -87.785 0.010 2.5 -2.278 LEANHOG -50.237 0.024 2.5 -3.053 LIVECOW 70.641 0.013 2.5 2.341 LUMBER-new -513.613 0.009 2.5 -10.993 MILK 5.150 0.009 2.5 0.110 MXP 329.286 0.059 2.5 48.330 NASDAQ_micro -121.389 0.009 2.5 -2.821 NIKKEI -38.351 0.043 2.5 -4.153 NZD -11.102 0.010 2.5 -0.288 OAT -0.862 0.014 2.5 -0.029 OATIES 30.717 0.010 2.5 0.747 OJ 96.692 0.009 2.5 2.071 PALLAD -11.434 0.014 2.5 -0.390 PLAT 46.773 0.014 2.5 1.595 REDWHEAT 3.422 0.005 2.5 0.045 RICE 128.581 0.010 2.5 3.128 ROBUSTA -1.193 0.005 2.5 -0.014 RUSSELL -183.735 0.013 2.5 -6.088 SHATZ -1037.891 0.004 2.5 -10.525 SILVER-mini 28.319 0.014 2.5 0.966 SMI 76.450 0.014 2.5 2.608 SOFR -189.635 0.024 2.5 -11.525 SOYBEAN -57.131 0.004 2.5 -0.531 SOYMEAL -55.920 0.004 2.5 -0.520 SOYOIL -268.530 0.004 2.5 -2.500 SP400 -6.762 0.013 2.5 -0.224 SP500_micro -133.904 0.009 2.5 -3.112 SUGAR11 -122.693 0.009 2.5 -2.609 US10 -92.779 0.005 2.5 -1.176 US10U -47.903 0.005 2.5 -0.607 US2 -354.058 0.005 2.5 -4.487 US20 -11.021 0.005 2.5 -0.140 US30 -15.033 0.005 2.5 -0.190 US5 -197.402 0.005 2.5 -2.501 VIX -237.892 0.099 2.5 -58.721 WHEAT 4.038 0.005 2.5 0.054 ===================== Position diags ===================== AUD 3.19 BITCOIN 32.33 BOBL 1.89 BTP 2.78 BUND 0.94 BUXL 0.40 CAC 3.15 CAD 4.69 CANOLA 11.29 CHF 2.24 COCOA 0.29 COFFEE 0.39 COPPER 4.38 CORN 5.28 COTTON2 1.60 CRUDE_W 6.70 DAX 11.98 DOW 9.83 DX 3.85 EUR 2.52 EURIBOR-ICE 13.23 EUROSTX 4.25 FEEDCOW 1.65 GASOIL 2.26 GASOLINE 1.51 GAS_US_mini 28.44 GBP 3.76 GOLD_micro 9.02 HEATOIL 1.70 JGB-SGX-mini 41.27 JPY 2.21 LEANHOG 6.58 LIVECOW 3.06 LUMBER-new 5.68 MILK 2.11 MXP 41.34 NASDAQ_micro 3.73 NIKKEI 22.36 NZD 3.56 OAT 3.16 OATIES 5.31 OJ 1.50 PALLAD 0.78 PLAT 2.47 REDWHEAT 1.25 RICE 3.34 ROBUSTA 0.78 RUSSELL 16.43 SHATZ 6.21 SILVER-mini 1.55 SMI 1.94 SOFR 20.06 SOYBEAN 0.87 SOYMEAL 0.93 SOYOIL 1.25 SP400 0.72 SP500_micro 6.80 SUGAR11 3.44 US10 1.70 US10U 1.30 US2 3.29 US20 0.89 US30 0.60 US5 2.64 VIX 29.36 WHEAT 1.43 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.2 -0.2 0.5 -1.0 -1 BITCOIN -16.9 -20.2 -13.7 0.0 0 BOBL -1.3 -1.5 -1.1 -7.0 -7 BTP 0.1 -0.2 0.3 3.0 3 BUND -0.5 -0.6 -0.4 0.0 0 BUXL -0.3 -0.3 -0.2 -3.0 -3 CAC 4.6 4.3 5.0 0.0 0 CAD -4.4 -4.9 -3.9 0.0 0 CANOLA -13.0 -14.1 -11.8 -6.0 -6 CHF -3.6 -3.8 -3.4 -6.0 -6 COCOA 0.1 0.0 0.1 1.0 1 COFFEE -0.0 -0.1 0.0 0.0 0 COPPER 3.7 3.3 4.2 4.0 4 CORN -6.3 -6.8 -5.8 -2.0 -2 COTTON2 -2.1 -2.3 -1.9 -4.0 -4 CRUDE_W 5.1 4.4 5.8 2.0 2 DAX 17.0 15.8 18.2 6.0 6 DOW -3.5 -4.5 -2.5 0.0 0 DX 3.9 3.5 4.3 NaN 0 EUR -0.8 -1.0 -0.5 -3.0 -3 EURIBOR-ICE -4.1 -5.4 -2.8 -6.0 -6 EUROSTX 4.9 4.5 5.3 9.0 9 FEEDCOW -1.0 -1.2 -0.8 0.0 0 GASOIL -0.5 -0.7 -0.3 -1.0 -1 GASOLINE 0.6 0.5 0.8 4.0 4 GAS_US_mini -16.5 -19.3 -13.6 -21.0 -21 GBP -1.5 -1.9 -1.1 0.0 0 GOLD_micro -0.8 -1.7 0.1 -10.0 -10 HEATOIL -1.2 -1.4 -1.0 -2.0 -2 JGB-SGX-mini -10.0 -14.1 -5.9 -3.0 -3 JPY -2.3 -2.5 -2.1 -1.0 -1 LEANHOG -3.1 -3.7 -2.4 -2.0 -2 LIVECOW 2.3 2.0 2.6 2.0 2 LUMBER-new -11.0 -11.6 -10.4 NaN 0 MILK 0.1 -0.1 0.3 NaN 0 MXP 48.3 44.2 52.5 33.0 33 NASDAQ_micro -2.8 -3.2 -2.4 -6.0 -6 NIKKEI -4.2 -6.4 -1.9 0.0 0 NZD -0.3 -0.6 0.1 0.0 0 OAT -0.0 -0.3 0.3 2.0 2 OATIES 0.7 0.2 1.3 NaN 0 OJ 2.1 1.9 2.2 NaN 0 PALLAD -0.4 -0.5 -0.3 0.0 0 PLAT 1.6 1.3 1.8 1.0 1 REDWHEAT 0.0 -0.1 0.2 0.0 0 RICE 3.1 2.8 3.5 NaN 0 ROBUSTA -0.0 -0.1 0.1 0.0 0 RUSSELL -6.1 -7.7 -4.4 -18.0 -18 SHATZ -10.5 -11.1 -9.9 NaN 0 SILVER-mini 1.0 0.8 1.1 0.0 0 SMI 2.6 2.4 2.8 5.0 5 SOFR -11.5 -13.5 -9.5 NaN 0 SOYBEAN -0.5 -0.6 -0.4 -1.0 -1 SOYMEAL -0.5 -0.6 -0.4 0.0 0 SOYOIL -2.5 -2.6 -2.4 -5.0 -5 SP400 -0.2 -0.3 -0.2 0.0 0 SP500_micro -3.1 -3.8 -2.4 -1.0 -1 SUGAR11 -2.6 -3.0 -2.3 -2.0 -2 US10 -1.2 -1.3 -1.0 0.0 0 US10U -0.6 -0.7 -0.5 -5.0 -5 US2 -4.5 -4.8 -4.2 NaN 0 US20 -0.1 -0.2 -0.1 0.0 0 US30 -0.2 -0.3 -0.1 0.0 0 US5 -2.5 -2.8 -2.2 -9.0 -9 VIX -58.7 -61.7 -55.8 -52.0 -52 WHEAT 0.1 -0.1 0.2 -1.0 -1 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 0.3 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 0.0 -0.0 0.1 -0.1 0.0 -0.0 0.2 0.4 0.4 0.1 -0.6 -0.3 -0.3 -0.0 BITCOIN -0.6 -0.4 0.3 0.0 0.0 0.1 -0.0 0.1 0.0 0.1 0.3 -0.0 0.5 -0.1 0.1 -0.1 -0.1 -0.1 -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 -0.2 -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 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.3 -0.1 0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.3 -0.2 -0.2 0.1 -0.0 -0.7 -0.7 0.1 -0.4 BTP -0.0 -0.4 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 0.2 0.1 0.3 -0.0 -0.0 0.1 0.1 0.1 0.1 0.0 0.0 0.0 0.2 0.0 -2.6 0.0 0.0 0.1 0.0 0.2 0.0 0.8 -0.3 0.0 0.4 0.6 -0.3 -0.3 0.7 0.1 BUND -0.1 -0.3 -0.3 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -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 -0.2 -0.1 0.2 0.1 -0.7 -0.7 0.3 -0.3 BUXL -0.1 -0.2 -0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 -0.0 -0.2 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.2 -0.1 0.4 0.3 -0.7 -0.7 -0.2 -0.1 CAC -0.1 -0.6 0.4 0.0 0.1 0.2 0.1 0.2 0.0 0.2 0.5 0.2 0.7 0.1 0.2 0.4 0.1 0.3 0.2 0.2 0.2 0.2 0.5 0.1 -1.7 0.1 0.1 0.3 0.1 0.4 0.1 1.0 0.1 0.6 0.6 0.5 -0.3 0.3 -0.3 0.4 CAD 0.1 -0.3 -0.2 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.0 -0.3 0.1 -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 0.2 0.6 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.3 0.1 0.1 -0.3 -0.2 -0.3 -0.3 0.0 -0.0 0.1 -0.3 0.1 -2.7 0.0 0.0 -0.1 0.0 -0.2 0.0 -1.1 0.3 -0.0 0.3 -0.2 -0.7 -0.6 -0.3 -0.1 CHF 0.3 -0.5 -0.6 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.1 -0.5 0.1 -0.4 -0.1 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 0.0 -0.3 -0.1 0.1 -0.1 0.0 -0.2 0.0 -0.1 -0.0 -1.1 0.0 0.2 -0.6 -0.6 -0.1 -0.6 0.2 -0.5 COCOA -0.6 -0.6 -0.4 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.0 0.4 0.3 0.4 0.4 0.1 0.1 -0.0 0.2 -0.0 -1.9 0.0 -0.0 0.1 -0.0 0.1 0.0 1.1 -0.5 -0.3 0.6 0.6 0.1 0.0 0.3 0.3 COFFEE -0.6 0.3 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.3 -0.1 0.3 -0.0 0.0 0.2 0.2 0.2 0.2 0.1 0.1 -0.2 0.2 -0.1 -2.4 0.0 -0.0 0.1 -0.0 0.1 0.0 0.6 -0.5 -0.3 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 0.1 0.0 -0.0 0.4 0.1 0.3 0.1 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 0.3 0.6 0.6 0.6 -0.7 -0.1 0.3 0.2 CORN 0.4 0.5 0.4 0.0 0.0 0.1 0.1 -0.0 0.1 0.0 -0.2 0.1 -0.7 0.2 0.1 -0.4 -0.2 -0.4 -0.3 0.0 -0.1 0.1 -0.5 0.1 -2.2 0.0 0.0 -0.1 0.1 -0.3 0.1 -1.1 0.3 0.3 0.4 -0.6 -0.5 -0.7 -0.5 0.0 COTTON2 -0.5 -0.6 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -2.7 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.2 -0.6 -0.6 0.2 -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 -0.1 0.2 -0.2 0.6 -0.1 0.1 0.3 0.2 0.3 0.3 0.1 0.2 -0.2 0.5 -0.1 -0.7 0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.1 -0.3 -0.3 0.2 0.1 0.7 0.6 0.7 0.6 DAX -0.2 -0.6 0.3 0.0 0.1 0.1 0.1 0.2 0.0 0.2 0.5 0.2 0.6 0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.2 0.2 0.5 0.1 1.7 0.1 0.1 0.2 0.1 0.3 0.1 -0.6 0.1 0.5 0.6 0.6 -0.1 0.2 0.1 0.6 DOW 0.1 -0.6 -0.3 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.3 0.1 0.5 -0.0 -0.0 -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 0.1 0.3 0.0 -0.5 -0.1 0.2 0.1 -0.2 0.1 -0.2 0.3 -0.5 DX -0.1 0.4 0.3 -0.0 0.0 -0.1 0.0 0.0 -0.0 -0.1 0.4 -0.1 0.4 0.1 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 0.1 -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 2.7 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.4 0.0 0.2 0.0 0.1 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.2 -0.6 -0.5 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 0.0 -0.0 1.6 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.2 -0.1 -0.0 -0.7 -0.7 0.2 0.4 EUROSTX -0.3 -0.6 0.4 0.0 0.1 0.1 0.1 0.2 0.0 0.2 0.5 0.2 0.7 0.0 0.2 -0.1 -0.0 -0.1 -0.0 0.2 0.2 0.2 0.5 0.1 -0.2 0.1 0.1 0.3 0.1 0.3 0.1 0.5 -0.1 0.5 0.6 0.6 -0.5 0.2 -0.6 0.4 FEEDCOW 0.3 -0.6 0.0 0.0 0.0 0.1 0.1 -0.0 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.0 -0.1 -0.8 -0.0 -0.1 -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 -0.3 0.2 0.0 -0.0 0.1 -0.1 0.2 -0.0 -0.1 0.2 -0.2 0.5 -0.2 0.0 -0.0 0.4 0.2 0.3 -0.1 0.1 -0.1 0.4 -0.2 0.9 -0.0 -0.0 0.1 -0.1 0.2 -0.1 0.4 0.1 -0.4 -0.4 -0.2 -0.5 -0.3 -0.7 -0.6 GASOLINE -0.6 -0.1 0.4 0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.2 0.4 -0.2 0.6 -0.1 0.1 0.4 0.3 0.4 0.2 0.0 0.2 -0.2 0.5 -0.1 -2.7 0.0 -0.1 0.1 -0.1 0.3 -0.1 -0.0 -0.5 -0.3 0.0 0.3 0.7 0.7 0.7 0.7 GAS_US_mini 0.4 0.4 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 -0.5 0.1 -0.7 0.1 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 0.1 -0.5 0.0 2.7 -0.0 0.1 -0.3 0.1 -0.4 0.0 -1.1 0.5 0.6 -0.3 -0.6 -0.5 -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 0.1 -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 -0.1 0.1 0.0 0.3 -0.7 -0.4 -0.7 -0.2 GOLD_micro -0.6 0.3 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 0.0 -0.4 0.0 0.0 0.1 -0.0 0.1 0.0 -0.8 -0.0 -0.1 0.6 0.6 -0.5 -0.6 -0.1 -0.3 HEATOIL -0.6 -0.2 0.0 0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.1 -0.0 -0.2 0.3 -0.2 -0.1 -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 0.3 -0.1 -0.5 -0.6 -0.3 0.6 0.2 0.3 0.0 JGB-SGX-mini -0.1 -0.5 -0.3 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.0 0.0 -0.0 0.1 -0.1 -0.1 0.3 0.3 0.3 0.3 -0.1 -0.0 -0.0 0.0 -0.0 -1.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 -0.2 -0.2 -0.1 -0.0 -0.5 -0.3 0.0 0.4 JPY 0.3 -0.1 -0.1 -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 -0.1 -0.3 -0.5 -0.4 -0.7 -0.4 -0.7 -0.4 LEANHOG -0.5 -0.1 0.6 0.1 0.0 0.1 0.1 -0.0 0.1 -0.2 0.4 -0.2 -0.1 -0.2 0.1 -0.4 -0.4 -0.4 -0.4 0.0 0.1 -0.2 0.1 -0.1 1.3 0.0 -0.1 0.2 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 -0.3 0.6 -0.3 -0.3 0.0 0.4 LIVECOW 0.2 -0.5 0.1 0.0 0.0 0.1 0.0 -0.0 0.0 0.0 -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 0.6 -0.2 0.0 -0.4 0.4 0.7 0.7 0.7 0.7 LUMBER-new -0.5 -0.7 -0.2 0.0 0.0 0.1 0.1 -0.0 0.1 -0.0 -0.2 -0.1 -0.4 -0.2 -0.2 -0.5 -0.4 -0.5 -0.5 -0.2 -0.2 -0.1 -0.2 -0.2 NaN -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -1.2 0.3 -0.7 -0.7 -0.7 -0.5 -0.4 -0.2 -0.3 MILK 0.6 0.6 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.4 0.1 0.1 -0.3 -0.4 -0.4 -0.4 0.1 -0.0 0.2 -0.3 0.2 1.8 0.0 0.1 -0.0 0.1 -0.1 0.1 -1.1 0.5 0.6 0.5 -0.0 -0.7 -0.7 -0.7 -0.7 MXP -0.4 -0.4 -0.1 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.2 0.4 0.0 0.7 -0.1 0.0 0.3 0.3 0.3 0.3 0.0 0.1 0.1 0.5 0.0 -2.7 0.0 0.1 0.2 0.0 0.3 0.0 1.1 0.5 -0.5 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro -0.2 -0.6 -0.3 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.3 0.1 0.4 0.0 0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.1 0.1 0.4 0.0 -2.7 0.0 0.0 0.1 0.0 0.3 0.0 -0.4 -0.2 -0.2 -0.2 -0.1 -0.1 -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 0.0 0.3 0.0 0.5 -0.1 0.0 0.0 0.2 0.1 0.1 0.0 0.1 0.0 0.5 -0.0 -1.8 0.0 0.0 0.1 0.0 0.3 -0.0 1.1 -0.4 -0.4 -0.1 0.4 -0.4 -0.2 -0.2 -0.3 NZD 0.3 -0.3 -0.2 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.2 -0.0 -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 0.1 -0.1 0.0 0.2 0.2 0.3 -0.1 -0.1 -0.3 -0.2 -0.1 0.2 OAT -0.0 -0.4 -0.2 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 0.1 0.1 0.1 0.1 -0.0 -0.0 0.0 -0.0 -0.0 0.3 -0.0 0.0 0.0 0.0 0.0 -0.0 0.8 -0.2 -0.1 0.2 0.2 -0.7 -0.7 0.3 -0.0 OATIES 0.6 0.4 -0.0 0.0 0.0 0.1 0.1 -0.0 0.1 0.2 -0.4 0.2 -0.6 0.2 0.1 0.4 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 0.3 -0.1 -0.5 -0.1 -0.0 0.5 OJ 0.1 0.1 0.2 0.0 0.0 0.1 0.1 -0.0 0.1 0.2 0.3 0.2 0.6 0.2 0.2 0.1 0.2 0.1 0.2 0.1 0.2 0.2 0.5 0.1 -2.7 0.0 0.1 0.2 0.1 0.7 0.1 0.6 0.5 0.2 0.0 0.5 0.2 0.3 0.7 0.7 PALLAD -0.4 0.0 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 -0.0 1.7 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.3 -0.1 -0.2 -0.3 -0.2 -0.7 -0.6 -0.7 -0.4 PLAT -0.0 0.3 0.2 0.0 0.0 0.1 -0.0 0.0 0.0 0.1 0.0 0.1 -0.3 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.0 0.1 1.4 0.0 0.1 0.1 0.1 0.0 0.0 0.2 0.5 0.2 0.1 -0.1 -0.6 -0.2 0.4 0.2 REDWHEAT 0.6 0.6 0.5 0.0 0.0 0.1 0.1 -0.0 0.1 0.0 -0.2 0.1 -0.6 0.2 0.1 -0.2 -0.0 -0.1 -0.0 0.2 -0.0 0.2 -0.4 0.2 -1.0 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.4 0.4 0.6 0.6 -0.2 -0.3 -0.7 0.1 -0.7 RICE 0.6 -0.0 -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 0.4 0.4 0.4 0.4 0.1 0.1 0.1 0.1 0.1 -1.0 0.0 0.0 0.0 0.0 0.0 0.0 1.1 0.2 0.6 -0.0 -0.1 -0.1 -0.1 0.1 0.1 ROBUSTA -0.6 -0.5 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.2 -0.1 0.3 -0.0 0.1 0.4 0.4 0.4 0.4 0.1 0.2 -0.2 0.4 -0.1 -2.7 0.0 -0.0 0.1 -0.0 0.1 0.0 1.1 -0.5 0.1 0.6 0.6 -0.3 -0.6 0.1 0.1 RUSSELL 0.0 -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 -0.3 -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 -0.1 -0.3 -0.7 -0.7 -0.6 -0.7 SILVER-mini -0.5 0.5 0.5 0.0 0.0 0.1 -0.0 0.0 0.0 0.1 0.2 -0.0 0.2 0.0 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 0.1 0.0 0.1 0.0 -0.1 0.2 0.0 0.5 0.5 -0.3 -0.5 0.6 0.2 SMI -0.2 -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 0.0 0.1 0.0 0.1 0.1 0.2 0.0 1.7 0.0 0.1 0.1 0.1 0.2 0.0 0.8 0.1 0.4 0.2 -0.1 0.4 -0.0 0.6 -0.1 SOFR 0.1 -0.5 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 0.1 -0.2 -0.0 -0.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.2 0.0 0.0 -0.1 -0.0 -0.3 -0.7 0.3 -0.0 SOYBEAN 0.4 0.4 -0.0 0.0 0.0 0.1 0.1 -0.0 0.1 0.1 -0.3 0.1 -0.2 0.1 0.1 -0.0 0.2 0.0 0.1 0.0 -0.1 0.2 -0.3 0.1 -2.7 0.0 0.0 -0.0 0.1 -0.1 0.1 0.3 0.5 0.4 0.4 -0.5 -0.5 -0.7 -0.4 -0.7 SOYMEAL 0.6 0.6 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.3 0.1 -0.4 0.1 0.0 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.2 -0.2 0.2 -2.7 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.5 0.6 0.6 -0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.5 -0.2 -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 -0.2 -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 -0.5 -0.4 -0.7 -0.5 -0.2 0.1 SP400 -0.1 -0.5 0.3 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.3 0.1 0.4 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.4 0.1 -1.6 0.0 0.1 0.1 0.1 0.2 0.0 0.1 -0.1 -0.0 0.2 0.0 -0.5 -0.3 -0.4 -0.7 SP500_micro -0.2 -0.6 0.0 0.0 0.1 0.1 0.1 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 0.1 0.3 0.0 -0.6 -0.2 -0.2 -0.0 0.2 -0.1 -0.1 0.2 -0.1 SUGAR11 -0.2 -0.5 -0.6 0.0 0.0 0.1 0.0 -0.0 0.0 0.0 -0.4 -0.1 -0.0 -0.1 -0.1 0.0 0.3 0.1 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 0.9 0.2 -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 0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.2 -0.0 0.3 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.4 0.0 0.0 -0.0 0.0 -0.6 -0.7 -0.1 0.1 US10U 0.1 -0.5 -0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.3 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.0 0.0 -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 0.1 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.0 -0.3 -0.0 1.5 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.1 -0.1 -0.0 -0.1 -0.2 -0.6 -0.7 -0.4 -0.7 US20 0.1 -0.5 -0.2 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.0 0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.1 -0.2 -0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 0.0 0.0 0.0 0.2 -0.7 -0.5 0.7 0.6 US30 0.0 -0.4 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 0.1 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.2 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -0.0 0.2 -0.6 -0.4 0.7 0.7 US5 0.1 -0.5 -0.5 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.2 0.1 -0.2 -0.0 -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 0.0 -0.1 -0.1 -0.5 -0.7 -0.2 -0.3 VIX -0.7 0.4 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 -0.1 -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 0.0 0.1 0.1 -0.0 0.1 0.1 0.0 0.2 -0.5 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 0.0 0.0 0.1 -0.1 0.1 -1.1 0.5 0.6 0.6 -0.3 -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 9.0 0.2 -0.5 -3.1 2.9 -1.7 1.3 0.6 -1.6 10.6 -4.4 11.5 -8.7 7.7 -0.4 -2.5 -2.8 -2.7 -2.7 0.6 -1.9 10.2 -3.8 6.2 2.6 1.2 5.5 -0.4 6.5 -1.5 4.3 -0.6 8.8 12.2 11.5 3.5 -19.1 -8.6 -8.0 -1.2 BITCOIN -17.6 -11.0 8.7 3.7 1.8 3.3 -0.1 1.5 1.2 7.9 12.0 -4.0 14.3 -8.4 6.5 -6.0 -7.3 -7.5 -7.8 3.7 17.9 -4.8 20.0 -7.6 -20.0 3.4 0.3 8.5 -1.1 9.5 -1.0 -3.0 -9.5 -17.8 -20.0 20.0 -10.1 -1.0 12.6 2.9 BOBL -4.6 -7.6 -13.1 -1.7 2.1 -1.5 1.9 -1.3 -0.2 3.5 -4.8 -1.8 -3.7 -4.3 -7.7 13.5 -7.1 5.0 -3.4 -6.5 -5.5 0.5 -4.7 -3.7 4.7 -2.4 -0.1 -1.8 -0.5 -1.4 -1.8 -4.8 -9.2 -4.9 3.1 -0.8 -20.0 -20.0 3.6 -12.7 BTP -0.9 -13.7 -1.0 -2.7 3.4 -2.4 3.1 -2.1 -0.4 5.2 9.0 7.8 9.0 -2.1 -4.0 4.6 5.9 4.7 5.0 0.2 4.6 4.3 6.5 1.0 -19.6 2.1 0.1 5.0 1.4 5.7 0.9 15.2 -12.1 0.1 11.2 19.0 -8.7 -10.1 20.0 2.5 BUND -3.7 -7.9 -7.9 -1.9 2.3 -1.6 2.1 -1.5 -0.2 4.2 -2.1 0.0 -1.7 -3.6 -7.5 -9.2 -0.4 -7.2 -4.1 -4.9 -3.5 2.0 -3.3 -2.4 2.2 -1.2 0.8 -0.4 0.5 -0.5 -0.9 2.1 -7.7 -3.5 6.8 4.2 -20.0 -20.0 8.4 -8.4 BUXL -3.8 -7.2 -2.6 -2.4 2.9 -2.0 2.7 -1.8 -0.3 3.8 -0.2 0.8 -2.6 -3.5 -8.0 -7.7 -2.6 -6.5 -4.6 -4.3 -2.8 2.6 -4.2 -2.0 -1.6 0.3 0.4 1.2 0.7 0.0 -0.2 0.0 -9.1 -4.4 11.5 9.8 -20.0 -20.0 -6.7 -4.5 CAC -3.2 -18.2 13.6 2.1 11.8 5.9 7.9 6.8 2.0 20.0 20.0 17.7 20.0 5.7 18.2 18.3 3.5 15.2 8.5 14.2 20.0 20.0 20.0 11.2 -12.4 8.0 14.9 10.2 11.1 9.8 7.4 19.3 4.3 20.0 19.2 16.3 -10.1 8.0 -9.2 12.3 CAD 4.4 -7.7 -6.0 -4.5 4.2 -2.4 1.9 0.8 -2.2 5.3 -12.0 5.4 -10.6 -9.5 -14.8 -3.0 -2.4 -2.7 -2.5 -10.7 -9.5 -1.7 -7.8 -6.5 -0.7 -5.9 0.8 -5.2 -1.3 -4.1 -3.8 0.0 -16.2 1.8 -0.5 -2.8 -14.4 -14.6 -2.1 -11.0 CANOLA 5.5 18.8 16.2 1.9 1.0 1.2 2.8 -0.5 2.5 5.2 -5.5 5.8 -7.5 4.6 4.8 -16.5 -8.2 -15.8 -13.5 2.2 -4.1 8.8 -9.9 5.8 -20.0 1.0 3.1 -1.9 3.8 -4.8 2.5 -20.0 10.7 -0.5 8.7 -7.0 -20.0 -16.7 -10.1 -3.9 CHF 10.0 -15.9 -20.0 -3.7 3.5 -2.0 1.6 0.7 -1.8 12.1 -16.8 8.3 -11.2 -12.6 -17.7 -16.0 -15.9 -16.2 -16.0 -20.0 -20.0 3.2 -12.2 -9.0 0.6 -6.0 2.1 -5.7 0.8 -2.8 -2.7 -20.0 0.3 5.1 -20.0 -20.0 -2.2 -16.8 5.4 -15.1 COCOA -20.0 -20.0 -13.6 1.3 0.7 0.8 1.9 -0.4 1.7 -2.0 5.3 -3.8 6.2 -0.5 3.6 17.7 15.1 20.0 20.0 4.9 8.4 -5.5 7.3 -2.5 -14.6 1.9 -0.2 3.0 -0.7 3.0 0.2 20.0 -20.0 -8.0 20.0 20.0 4.1 0.3 9.5 8.1 COFFEE -20.0 10.0 8.9 2.8 1.4 1.7 4.0 -0.8 3.7 -10.0 9.3 -11.9 8.5 -1.9 3.4 10.7 8.7 11.6 10.8 8.2 12.3 -20.0 9.1 -6.6 -17.7 3.1 -2.6 3.5 -3.2 2.6 0.2 10.7 -20.0 -8.1 20.0 19.0 -0.8 -20.0 8.5 -7.1 COPPER 3.5 20.0 20.0 3.4 1.7 3.1 -0.1 1.4 1.1 -0.8 14.8 8.4 7.1 13.5 15.6 -3.4 -4.8 -4.5 -5.0 20.0 20.0 11.6 11.8 20.0 -13.9 5.9 1.0 4.8 2.4 2.6 4.8 1.5 10.7 20.0 20.0 20.0 -20.0 -2.7 8.3 6.7 CORN 11.3 15.5 13.3 4.0 2.1 2.4 5.7 -1.1 5.2 5.1 -9.2 13.8 -18.9 14.1 6.8 -19.2 -10.9 -19.1 -16.4 3.5 -8.6 12.5 -19.9 11.4 -16.8 2.2 1.6 -4.3 7.2 -8.7 6.9 -20.0 13.4 8.9 11.6 -19.7 -14.6 -20.0 -14.1 0.7 COTTON2 -16.3 -20.0 1.2 2.2 1.1 1.3 3.1 -0.6 2.9 0.2 -5.6 -5.8 -2.3 -9.6 -9.3 9.9 4.0 10.3 6.4 -13.6 -6.1 -7.5 -1.6 -15.0 -20.0 -2.4 0.2 -0.1 -1.7 1.1 -3.3 1.9 -10.0 -20.0 -20.0 7.0 -9.9 -14.2 3.3 0.3 CRUDE_W -20.0 2.5 9.1 0.6 -0.5 4.2 -5.9 4.9 -5.2 -13.4 9.1 -19.3 15.6 -8.6 11.5 14.7 12.1 15.0 13.3 4.7 14.0 -17.9 16.8 -12.1 -5.5 1.2 -2.6 5.4 -7.8 6.9 -5.7 -1.1 -14.4 -8.9 5.8 1.7 20.0 17.5 20.0 18.9 DAX -5.2 -19.9 8.2 1.7 9.4 4.7 6.3 5.5 1.6 17.6 17.3 14.9 17.9 4.0 12.5 -9.9 -11.5 -11.8 -12.3 13.3 19.3 20.0 19.8 12.5 12.6 6.6 9.4 8.3 7.2 7.4 5.3 -10.5 5.5 14.2 20.0 18.2 -1.6 7.2 4.0 17.1 DOW 3.1 -20.0 -9.7 1.3 7.6 3.8 5.1 4.4 1.3 14.5 11.3 12.0 12.6 -3.5 -4.2 -10.7 -11.1 -11.6 -11.7 0.0 7.4 16.6 13.5 4.0 -12.1 1.4 11.2 5.0 7.4 7.7 2.4 -9.6 -2.3 5.5 1.6 -6.1 2.3 -7.3 9.7 -14.9 DX -2.2 13.7 10.4 -4.3 4.0 -2.3 1.8 0.8 -2.1 -12.7 15.1 -6.7 11.5 13.6 17.2 7.3 6.6 7.2 6.9 16.5 15.0 -4.4 10.8 7.5 -20.0 6.0 -2.7 5.1 -1.5 3.7 2.9 15.8 -20.0 20.0 20.0 20.0 17.1 5.4 20.0 12.3 EUR 3.9 -8.9 -5.9 -4.2 4.0 -2.3 1.8 0.8 -2.1 16.4 -8.7 12.3 -8.2 -7.6 -11.9 -6.9 -6.8 -6.8 -6.7 -8.6 -8.6 7.0 -6.2 -1.5 20.0 -3.2 6.1 -2.8 4.6 -1.7 0.1 -7.3 0.9 7.1 0.4 1.7 -20.0 -15.6 -20.0 -12.3 EURIBOR-ICE -5.3 -17.8 -14.3 -1.6 2.0 -1.4 1.8 -1.2 -0.2 4.5 0.2 -0.4 1.3 -4.2 -6.8 -5.6 -4.3 -4.4 -3.7 -6.1 -2.6 1.6 0.2 -3.6 12.3 -2.2 0.4 -0.6 -0.1 0.5 -1.7 -1.0 -7.3 -6.1 -1.7 -0.9 -20.0 -20.0 5.7 12.8 EUROSTX -7.8 -19.8 11.4 1.8 10.1 5.0 6.7 5.8 1.7 18.4 19.7 14.2 20.0 4.4 16.9 -7.2 -0.4 -3.8 -1.3 14.3 20.0 17.9 20.0 9.8 -1.1 7.3 8.8 10.0 7.0 9.7 5.4 9.0 -2.7 15.7 19.9 20.0 -15.1 7.2 -16.6 11.9 FEEDCOW 10.4 -19.7 0.4 3.3 1.7 2.0 4.7 -0.9 4.3 -14.2 -3.3 -0.3 -2.2 -6.0 -5.0 -20.0 -20.0 -20.0 -20.0 -7.5 -5.1 -9.0 -0.9 -7.3 -6.1 -2.0 -5.7 -1.1 -3.6 1.6 -2.2 -20.0 -20.0 1.6 -20.0 3.1 20.0 20.0 20.0 20.0 GASOIL -20.0 -8.7 5.4 0.5 -0.4 3.7 -5.2 4.3 -4.6 -5.9 6.8 -17.7 14.8 -17.6 2.2 -1.0 18.4 8.9 14.6 -6.7 6.6 -16.3 15.5 -19.1 6.7 -3.1 -0.2 2.0 -6.5 5.2 -7.7 7.6 4.6 -12.1 -13.4 -6.0 -14.4 -9.0 -20.0 -18.6 GASOLINE -20.0 -2.2 12.2 0.5 -0.5 3.9 -5.4 4.5 -4.8 -19.0 15.8 -20.0 17.2 -10.6 12.1 20.0 13.4 18.7 12.2 4.5 15.0 -20.0 17.1 -13.6 -20.0 1.0 -6.3 5.5 -9.6 7.2 -6.2 -0.8 -20.0 -8.2 0.4 8.6 20.0 20.0 20.0 20.0 GAS_US_mini 12.9 13.5 1.3 0.4 -0.3 2.9 -4.0 3.3 -3.5 15.3 -17.7 13.3 -18.5 6.0 -14.0 -20.0 -20.0 -20.0 -20.0 -6.0 -18.7 11.4 -20.0 4.0 20.0 -4.3 9.1 -9.4 6.5 -11.2 1.6 -20.0 20.0 20.0 -10.2 -20.0 -15.4 -4.9 -20.0 -9.8 GBP 1.4 -11.2 -5.1 -4.4 4.1 -2.4 1.9 0.8 -2.2 -7.0 4.2 8.6 4.1 -7.8 -11.0 -1.1 -0.7 -1.0 -0.8 -7.1 -3.6 0.6 1.2 -3.6 1.5 -2.3 -0.7 0.2 0.5 2.0 -1.2 2.9 -5.7 3.5 0.6 10.0 -20.0 -12.2 -20.0 -5.5 GOLD_micro -20.0 10.4 18.2 2.5 1.2 2.2 -0.1 1.0 0.8 5.1 10.8 -5.3 9.5 4.7 9.1 -11.8 -14.3 -13.4 -14.0 14.1 16.3 -0.7 12.0 4.6 -3.2 3.5 0.7 4.1 -0.2 3.1 1.1 -14.5 -0.4 -2.2 20.0 20.0 -15.6 -16.9 -4.1 -9.2 HEATOIL -20.0 -7.5 1.3 0.5 -0.5 3.9 -5.5 4.6 -4.8 -7.8 -1.7 -18.3 9.6 -18.9 -5.8 -4.5 18.3 5.4 12.8 -10.3 1.3 -17.8 9.9 -20.0 -20.0 -4.1 -1.1 1.3 -6.9 5.4 -8.4 6.1 -3.6 -14.7 -20.0 -10.3 16.6 5.7 9.0 1.4 JGB-SGX-mini -2.8 -15.8 -8.8 -2.0 2.5 -1.7 2.3 -1.6 -0.3 -2.1 1.0 -0.0 3.7 -5.6 -7.8 16.4 15.8 13.3 12.9 -6.8 -3.6 -0.6 0.5 -4.5 -8.6 -2.8 -1.1 -1.9 -0.3 -0.9 -1.9 20.0 -9.4 -6.9 -2.2 -0.6 -14.0 -9.6 0.9 11.0 JPY 9.6 -2.1 -2.0 -2.0 1.8 -1.1 0.8 0.4 -1.0 -1.1 -10.0 -1.5 -10.5 -6.9 -8.9 -14.9 -16.5 -16.3 -16.5 -9.4 -10.4 -2.8 -11.8 -6.2 20.0 -3.4 -0.7 -3.4 -0.9 -3.5 -2.4 -20.0 -6.1 -8.8 -14.8 -13.4 -20.0 -11.6 -20.0 -11.0 LEANHOG -14.1 -1.5 20.0 4.7 2.5 2.9 6.8 -1.3 6.2 -20.0 14.8 -20.0 -2.0 -14.4 9.2 -20.0 -20.0 -20.0 -20.0 3.8 11.3 -20.0 2.6 -13.7 9.6 1.4 -10.6 6.3 -10.5 3.0 -6.1 -20.0 -20.0 -20.0 -8.8 20.0 -7.9 -9.1 0.1 12.4 LIVECOW 6.1 -16.8 3.9 3.2 1.7 1.9 4.6 -0.9 4.2 0.8 -0.9 4.9 -0.2 -6.5 -3.6 20.0 7.3 20.0 15.2 -4.6 -2.7 -0.5 0.3 -3.2 -5.4 0.0 -1.4 1.2 -0.1 3.7 -0.4 12.0 -6.9 0.1 -13.3 11.1 20.0 19.9 20.0 20.0 LUMBER-new -13.9 -20.0 -5.5 3.6 1.8 2.2 5.1 -0.4 4.7 -0.3 -5.2 -5.7 -10.7 -12.8 -12.6 -20.0 -17.8 -20.0 -19.5 -20.0 -12.5 -6.1 -5.8 -20.0 NaN -5.0 -0.4 -2.6 -1.4 -0.8 -4.3 -20.0 10.9 -20.0 -20.0 -20.0 -11.8 -11.3 -4.3 -6.8 MILK 20.0 20.0 15.1 2.5 1.3 1.5 3.6 -0.7 3.3 10.5 -5.6 12.6 -10.8 12.1 7.2 -14.4 -20.0 -20.0 -20.0 9.9 -2.2 20.0 -11.8 20.0 13.6 2.6 6.2 -0.8 6.6 -3.6 5.5 -20.0 20.0 20.0 14.5 -0.0 -20.0 -20.0 -19.5 -20.0 MXP -12.6 -11.7 -2.7 -4.0 3.7 -2.2 1.7 0.7 -2.0 17.9 14.7 2.1 18.8 -6.0 3.0 15.5 17.1 16.7 16.6 4.0 12.3 8.8 20.0 1.4 -20.0 2.6 6.6 6.0 3.6 9.0 0.8 20.0 20.0 -16.0 19.4 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -6.5 -20.0 -10.0 1.1 6.1 3.0 4.1 3.5 1.0 11.2 10.2 7.3 11.9 1.9 3.1 -9.4 -10.3 -10.4 -10.6 0.5 7.2 9.8 13.5 2.0 -20.0 0.1 4.5 3.7 3.4 7.1 0.2 -7.9 -6.9 -5.9 -6.4 -2.1 -1.5 -0.2 2.0 -0.6 NIKKEI -18.2 -20.0 2.3 1.2 6.9 3.4 4.6 4.0 1.1 1.5 10.1 0.1 12.7 -5.5 4.0 1.7 9.2 4.2 7.0 1.9 13.1 0.8 19.1 -3.2 -13.3 0.8 0.9 5.5 0.1 8.0 -1.4 20.0 -15.5 -13.4 -4.4 12.0 -11.0 -7.1 -5.0 -8.4 NZD 7.8 -8.4 -6.8 -3.0 2.8 -1.6 1.3 0.6 -1.5 12.7 -4.9 10.2 -5.1 -3.3 -8.9 0.0 0.2 0.1 0.2 -5.2 -5.4 8.4 -4.0 1.3 0.7 -2.6 6.0 -2.6 4.7 -1.5 0.8 4.5 6.9 7.9 -1.7 -3.2 -9.6 -4.9 -2.0 7.1 OAT -1.5 -11.2 -6.9 -2.1 2.6 -1.8 2.4 -1.6 -0.3 4.0 -0.3 2.1 -0.1 -3.0 -7.5 6.3 6.1 5.6 5.4 -4.5 -2.5 3.0 -1.8 -1.7 2.6 -1.0 1.1 0.3 1.4 0.4 -0.3 15.6 -6.5 -1.9 6.5 6.1 -19.6 -20.0 9.4 -0.3 OATIES 20.0 11.6 -1.3 4.3 2.2 2.6 6.1 -1.2 5.6 19.4 -14.3 20.0 -16.9 20.0 12.4 19.3 2.1 12.0 6.8 12.4 -6.0 20.0 -14.5 20.0 -20.0 4.2 7.7 -0.4 10.6 -2.4 9.1 0.3 20.0 20.0 9.5 -1.8 -16.2 -1.8 -1.4 15.4 OJ 2.6 2.8 6.1 4.4 2.3 2.6 6.3 -1.2 5.8 19.5 10.3 17.5 17.8 18.8 20.0 3.9 12.3 5.3 8.0 12.8 19.0 16.8 20.0 12.4 -20.0 3.3 14.4 7.3 8.4 19.4 4.6 11.9 20.0 6.1 1.4 15.8 6.7 8.7 20.0 20.0 PALLAD -12.5 1.0 12.0 1.9 0.9 1.7 -0.1 0.8 0.6 2.7 -4.2 -5.4 -7.9 -6.1 -0.8 -2.2 -2.1 -2.0 -2.0 -3.0 -4.2 -3.4 -10.0 -4.6 12.8 -1.3 0.1 -1.6 -1.9 -3.8 -2.4 6.5 -3.2 -6.6 -9.0 -6.8 -20.0 -18.1 -20.0 -11.6 PLAT -1.1 9.6 5.3 2.8 1.4 2.5 -0.1 1.2 0.9 12.4 0.3 9.5 -7.6 6.9 4.5 -5.0 -3.8 -4.7 -4.3 5.3 1.9 12.5 -1.6 8.3 10.8 3.3 7.1 2.0 6.2 0.7 4.4 3.1 20.0 7.7 2.9 -4.4 -19.3 -6.4 13.4 7.0 REDWHEAT 20.0 20.0 16.5 3.7 1.9 2.2 5.2 -1.0 4.8 2.5 -6.3 13.1 -16.0 14.9 10.3 -10.0 -0.9 -4.0 -1.9 15.0 -1.5 20.0 -15.6 20.0 -7.4 4.5 2.0 -0.0 5.9 -3.2 7.2 -8.2 17.1 20.0 20.0 -5.1 -8.6 -20.0 2.6 -20.0 RICE 20.0 -0.1 -6.4 2.1 1.1 1.3 3.0 -0.6 2.8 9.2 4.3 10.9 6.5 10.7 5.8 20.0 20.0 20.0 20.0 7.8 4.7 10.6 5.1 12.3 -7.7 1.3 1.6 0.5 2.5 0.6 2.7 20.0 8.8 20.0 -0.8 -2.1 -2.1 -4.2 2.3 3.4 ROBUSTA -20.0 -15.3 -5.7 1.8 0.9 1.1 2.5 -0.5 2.3 -7.3 7.9 -7.4 8.8 -0.9 4.7 20.0 20.0 20.0 20.0 8.6 14.1 -20.0 13.5 -5.8 -20.0 2.7 -2.4 3.6 -2.3 3.5 0.4 20.0 -20.0 1.7 20.0 20.0 -10.3 -17.6 2.3 4.0 RUSSELL 0.9 -12.4 4.3 1.2 6.9 3.4 4.6 4.0 1.1 12.6 9.2 10.3 8.7 -1.1 -1.2 -6.5 -6.4 -6.6 -6.5 0.3 4.1 12.4 5.5 3.6 -1.8 1.1 7.3 2.9 6.1 3.7 2.4 -1.0 -2.5 2.1 0.0 -9.7 -12.5 -20.0 -13.7 -20.0 SHATZ -4.9 -8.1 -20.0 -1.7 2.1 -1.4 1.9 -1.3 -0.2 3.7 -8.2 -3.2 -8.0 -5.4 -8.2 -20.0 -20.0 -20.0 -20.0 -10.2 -10.5 -1.8 -10.4 -6.4 7.6 -3.1 -0.6 -2.7 -1.2 -2.4 -2.4 -20.0 -13.5 -7.2 -3.1 -8.5 -20.0 -20.0 -16.6 -20.0 SILVER-mini -16.5 14.9 16.8 2.6 1.3 2.3 -0.1 1.1 0.9 10.8 8.0 -1.8 4.7 4.3 7.8 -6.4 -6.7 -6.7 -6.7 10.1 9.9 4.2 5.6 4.9 2.6 3.5 3.1 3.6 1.2 2.4 1.6 -1.5 8.4 0.2 15.0 14.1 -8.7 -14.1 18.0 4.9 SMI -4.7 -14.6 7.9 1.0 7.3 3.9 4.2 4.6 0.4 13.3 12.0 8.5 10.4 -1.1 4.2 -2.8 3.5 0.1 2.5 2.9 6.8 12.9 6.7 3.2 12.6 4.0 11.6 5.4 8.3 4.5 4.3 15.7 4.0 11.5 7.4 -1.9 11.5 -0.6 19.3 -2.1 SOFR 2.7 -16.6 -13.8 -2.2 2.7 -1.9 2.5 -1.7 -0.3 9.2 -3.0 7.0 -3.5 -4.9 -8.7 -3.3 -0.7 -2.1 -1.2 -9.1 -8.2 6.9 -6.0 -2.3 -2.5 -2.4 2.9 -1.9 2.5 -1.1 -0.4 4.4 0.2 0.3 -3.3 -0.2 -10.3 -20.0 9.7 -1.3 SOYBEAN 12.9 11.0 -1.0 3.7 1.9 2.2 5.2 -1.0 4.8 6.8 -9.7 11.8 -6.3 9.1 5.3 -1.8 9.3 0.3 4.0 3.5 -5.8 18.3 -9.6 13.0 -20.0 2.2 4.6 -1.5 8.9 -2.7 6.4 5.6 20.0 11.2 11.0 -16.1 -14.6 -20.0 -12.4 -20.0 SOYMEAL 20.0 20.0 -4.4 2.8 1.4 1.7 4.0 -0.8 3.7 6.7 -10.2 10.6 -10.3 11.3 2.3 -0.0 6.0 -2.2 0.4 7.7 -4.2 20.0 -7.7 19.6 -20.0 3.0 4.2 -0.5 7.3 -1.3 6.4 -0.3 20.0 20.0 20.0 -13.4 -20.0 -20.0 -20.0 -20.0 SOYOIL -16.4 -7.6 -1.6 2.5 1.3 1.5 3.6 -0.7 3.3 -9.1 -12.2 -10.3 -10.8 -11.4 -10.1 -7.7 -0.2 -7.2 -4.8 -12.3 -11.4 -11.9 -11.9 -14.3 -20.0 -3.4 -3.4 -2.3 -3.8 -2.0 -4.5 -10.2 -20.0 -20.0 -16.7 -13.3 -20.0 -14.2 -7.3 4.0 SP400 -4.0 -16.7 10.1 1.3 7.7 3.8 5.1 4.4 1.3 14.1 11.9 11.0 11.9 -0.7 4.0 -5.5 -5.4 -5.3 -5.4 4.9 11.5 15.9 13.0 5.7 -12.1 2.6 7.9 5.0 6.1 5.6 2.6 1.0 -3.1 -0.3 4.7 0.3 -13.8 -10.4 -12.2 -20.0 SP500_micro -7.3 -20.0 0.9 1.4 7.7 3.8 5.1 4.4 1.3 14.5 13.6 10.2 14.6 1.4 6.7 -11.2 -11.7 -12.2 -12.2 4.3 13.6 14.3 18.8 4.3 -19.5 2.0 6.8 6.2 4.9 8.7 1.3 -10.5 -8.2 -5.0 -0.7 7.2 -1.7 -3.2 4.5 -3.5 SUGAR11 -6.9 -14.9 -17.8 3.2 1.7 1.9 4.6 -0.9 4.2 2.6 -13.7 -7.3 -1.4 -13.7 -13.9 1.7 14.6 7.0 11.2 -19.8 -17.2 -3.9 -7.0 -15.2 -20.0 -5.2 0.8 -4.6 -0.9 -1.9 -4.0 16.7 7.4 -20.0 -20.0 -20.0 20.0 10.3 20.0 20.0 US10 3.3 -14.1 -10.0 -1.8 2.2 -1.5 2.0 -1.4 -0.2 8.0 -3.2 5.8 -4.9 -3.8 -7.1 -4.6 -7.4 -6.0 -6.9 -6.9 -6.9 5.8 -7.2 -1.5 2.4 -1.9 2.9 -1.7 2.3 -1.6 -0.2 -6.7 0.0 0.9 -1.5 0.9 -18.2 -20.0 -2.6 2.9 US10U 2.5 -13.9 -9.8 -2.6 3.2 -2.3 3.0 -2.0 -0.3 11.2 -4.4 8.0 -6.9 -6.0 -10.9 -5.7 -1.7 -4.4 -2.8 -10.4 -10.4 7.6 -11.2 -2.9 0.2 -2.9 4.3 -2.4 3.4 -2.4 -0.4 2.2 -1.2 0.3 -1.5 3.1 -17.8 -19.8 18.9 10.8 US2 2.0 -15.7 -18.0 -1.7 2.1 -1.5 1.9 -1.3 -0.2 7.7 -7.3 5.4 -7.9 -4.7 -7.8 -20.0 -20.0 -20.0 -20.0 -10.0 -10.5 3.4 -11.2 -3.9 11.5 -2.4 1.6 -2.2 1.1 -2.0 -0.9 -20.0 -4.8 -0.7 -4.6 -6.1 -18.0 -20.0 -13.1 -20.0 US20 2.1 -14.8 -6.9 -1.9 2.3 -1.6 2.2 -1.5 -0.3 8.3 -0.6 5.9 -3.2 -4.0 -7.2 -0.4 -0.7 -0.3 -0.4 -6.5 -6.0 6.4 -6.8 -1.4 -0.9 -1.5 4.0 -1.1 3.1 -1.3 0.1 4.8 1.2 0.9 0.2 5.1 -19.5 -14.8 20.0 16.5 US30 0.7 -13.7 -5.5 -2.3 2.8 -2.0 2.6 -1.8 -0.3 9.1 -2.1 6.1 -5.1 -5.6 -9.0 -1.0 -5.1 -3.5 -4.8 -8.0 -7.5 5.8 -8.9 -2.8 -0.4 -2.2 4.3 -1.6 3.1 -1.9 -0.4 -2.9 -1.7 -1.1 -0.3 6.5 -17.4 -13.1 20.0 19.7 US5 3.1 -15.2 -14.1 -1.9 2.3 -1.6 2.1 -1.4 -0.2 8.4 -5.9 6.0 -6.6 -4.6 -8.0 -8.8 -10.0 -9.4 -9.7 -8.6 -8.7 5.5 -8.5 -2.4 5.3 -2.3 2.5 -2.0 1.9 -1.6 -0.5 -11.3 -1.4 0.5 -3.1 -2.2 -15.9 -20.0 -7.1 -7.6 VIX -14.4 7.8 13.4 -5.2 -7.5 -5.8 -8.8 -8.4 -7.0 -17.5 -19.6 -19.2 -20.0 -18.1 -16.4 -20.0 -20.0 -20.0 -20.0 -13.0 -16.2 -20.0 -20.0 -17.9 NaN -5.9 -8.5 -6.7 -9.9 -10.1 -8.0 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 20.0 20.0 15.6 3.5 1.8 2.1 5.1 -1.0 4.7 9.4 1.4 15.1 -14.9 15.8 10.8 -18.8 -13.7 -17.6 -15.6 15.9 0.7 20.0 -13.4 20.0 1.5 4.3 4.9 0.3 7.6 -2.4 7.5 -20.0 20.0 20.0 20.0 -8.6 -6.5 -20.0 -0.2 -20.0 End of report for caleb_strategy_v3