******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240510_204008 produced at 2024-05-10 21:37:56.513735 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.77 0.0 0.00 0.00 0.00 0.00 -10.99 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.37 0.0 0.00 0.00 0.00 0.00 -10.98 24.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.54 -0.36 0.0 0.77 -0.77 -0.54 -0.46 -4.67 10.0 -7 -6 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.08 -0.34 0.0 0.44 -0.44 -0.08 -0.08 -12.54 16.0 -3 -3 caleb_strategy_v3 VIX False False 0.00 -0.25 -0.28 0.0 999.00 -999.00 -0.25 -0.25 -59.70 999999999.0 -53 -54 caleb_strategy_v3 US2 False True 0.06 0.00 -0.26 0.0 0.00 0.00 0.00 0.00 -4.41 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.20 -0.15 0.0 0.53 -0.53 -0.20 -0.20 -3.59 13.0 -5 -5 caleb_strategy_v3 CAD False False 0.02 -0.04 -0.09 0.0 0.62 -0.62 -0.04 -0.04 -4.03 29.0 -2 -2 caleb_strategy_v3 US5 False False 0.03 -0.28 -0.07 0.0 0.77 -0.77 -0.28 -0.28 -2.42 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 -1.40 19.0 -7 -7 caleb_strategy_v3 NIKKEI False False 0.01 -0.01 -0.05 0.0 0.26 -0.26 -0.01 -0.01 -6.91 36.0 -1 -2 caleb_strategy_v3 JPY False False 0.02 -0.05 -0.05 0.0 0.40 -0.40 -0.05 -0.05 -2.20 17.0 -2 -2 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.05 0.0 0.01 -0.01 0.00 0.00 -11.43 3.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.04 0.0 0.29 -0.29 0.00 0.00 -1.10 8.0 0 0 caleb_strategy_v3 US10 False False 0.03 0.00 -0.04 0.0 0.54 -0.54 0.00 0.00 -1.14 17.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.02 -0.04 0.0 0.15 -0.15 -0.02 -0.02 -3.50 13.0 -2 -2 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.04 0.0 0.09 -0.09 -0.06 -0.06 -1.40 3.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.04 0.0 0.15 -0.15 -0.02 -0.02 -12.07 51.0 -6 -6 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.04 -0.03 0.0 0.25 -0.25 -0.04 -0.03 -2.79 23.0 -4 -3 caleb_strategy_v3 EUR False False 0.04 -0.12 -0.03 0.0 0.55 -0.55 -0.12 -0.12 -0.63 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 -19.28 59.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.04 -0.03 0.0 0.05 -0.05 -0.04 -0.04 -16.06 26.0 -21 -20 caleb_strategy_v3 GBP False False 0.02 0.00 -0.03 0.0 0.51 -0.51 0.00 0.00 -1.42 22.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.03 0.0 0.09 -0.09 -0.01 -0.01 -4.85 12.0 -2 -2 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.02 0.0 0.37 -0.37 -0.01 -0.01 -2.70 48.0 -1 -1 caleb_strategy_v3 SP400 False False 0.09 -0.09 -0.02 0.0 0.18 -0.18 -0.09 -0.09 -0.18 2.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.04 -2.29 10.0 -5 -5 caleb_strategy_v3 RUSSELL False False 0.00 -0.05 -0.02 0.0 0.21 -0.21 -0.05 -0.05 -6.48 68.0 -18 -17 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.02 0.0 0.11 -0.11 -0.01 -0.02 -2.81 18.0 -2 -3 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.02 0.0 0.09 -0.09 -0.02 -0.02 -0.78 4.0 -1 -1 caleb_strategy_v3 US10U False False 0.03 -0.16 -0.02 0.0 0.43 -0.43 -0.16 -0.16 -0.59 13.0 -5 -5 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.02 0.0 0.13 -0.13 -0.03 -0.03 -2.18 11.0 -3 -3 caleb_strategy_v3 BUND False False 0.04 0.00 -0.02 0.0 0.41 -0.41 0.00 0.00 -0.57 10.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.07 -0.01 0.0 0.37 -0.37 0.07 0.04 -0.16 10.0 2 1 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.12 -0.12 -0.02 -0.02 -0.54 7.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.52 9.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.38 2.0 0 0 caleb_strategy_v3 BUXL False False 0.04 -0.08 -0.01 0.0 0.16 -0.16 -0.08 -0.08 -0.29 4.0 -2 -2 caleb_strategy_v3 OAT False False 0.04 0.04 -0.01 0.0 0.40 -0.40 0.04 0.04 -0.26 10.0 1 1 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 DOW False False 0.01 0.00 -0.01 0.0 0.38 -0.38 0.00 0.00 -2.31 66.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.04 -0.00 0.0 0.39 -0.39 -0.04 -0.03 -0.05 56.0 -6 -4 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.64 -0.64 0.00 0.00 0.06 26.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.04 6.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 0.00 0.0 0.06 -0.06 0.00 0.00 0.27 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 0.13 8.0 0 0 caleb_strategy_v3 US20 False True 0.03 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.13 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 -0.04 23.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.00 0.0 0.37 -0.37 0.00 0.00 -0.12 21.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 0.00 0.00 0.0 0.09 -0.09 0.00 0.00 0.15 9.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 0.01 0.0 0.37 -0.37 0.00 0.00 0.30 19.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.01 0.0 0.00 0.00 0.00 0.00 1.40 2.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.12 0.01 0.0 999.00 -999.00 0.12 0.12 0.48 999999999.0 4 4 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 1.00 999999999.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.03 0.0 0.04 -0.04 0.00 0.00 3.35 4.0 0 0 caleb_strategy_v3 PLAT False False 0.01 0.01 0.03 0.0 0.15 -0.15 0.01 0.01 1.82 10.0 1 1 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.05 -0.05 0.00 0.00 2.30 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 2.31 17.0 2 2 caleb_strategy_v3 EUROSTX False False 0.02 0.18 0.08 0.0 0.32 -0.32 0.18 0.18 5.14 20.0 11 11 caleb_strategy_v3 CRUDE_W False False 0.02 0.04 0.10 0.0 0.11 -0.11 0.04 0.04 4.48 5.0 2 2 caleb_strategy_v3 DX False True 0.03 0.00 0.11 0.0 0.00 0.00 0.00 0.00 3.61 999999999.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.06 0.11 0.0 0.35 -0.35 0.06 0.06 18.45 58.0 10 10 caleb_strategy_v3 SMI False True 0.04 0.27 0.11 0.0 0.27 0.00 0.27 0.27 2.80 9.0 7 7 caleb_strategy_v3 CAC True False 0.03 0.00 0.13 0.0 0.00 0.00 0.00 0.00 4.89 12.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.14 0.14 0.0 999.00 -999.00 0.14 0.14 3.99 999999999.0 4 4 caleb_strategy_v3 MXP False False 0.01 0.31 0.45 0.0 0.52 -0.52 0.31 0.33 52.12 60.0 36 38 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 16.5 Shocked risk 46.6 Sum abs risk 49.9 Leverage 4.96 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3406478.87, 'annual_cash_vol_target': 851619.7175, 'daily_cash_vol_target': 53226.23234375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6614 0.6440 10.3044 BITCOIN 1761.7800 61035.0000 2.8865 46.1841 BOBL 0.2616 116.7700 0.2240 3.5842 BTP 0.5990 117.5200 0.5097 8.1555 BUND 0.5289 130.8300 0.4043 6.4681 BUXL 1.2496 129.8400 0.9624 15.3987 CAC 52.0483 8163.0000 0.6376 10.2018 CAD 0.0029 0.7318 0.3943 6.3094 CANOLA 7.8246 679.6000 1.1514 18.4217 CHF 0.0048 1.1081 0.4349 6.9587 COCOA 386.4363 8400.0000 4.6004 73.6069 COFFEE 4.2295 199.1500 2.1238 33.9804 COPPER 0.0520 4.6565 1.1162 17.8599 CORN 5.2202 490.5000 1.0643 17.0281 COTTON2 1.3894 77.4500 1.7939 28.7023 CRUDE_W 0.8632 75.4700 1.1438 18.3001 DAX 136.4434 18890.0000 0.7223 11.5569 DOW 247.3399 39628.0000 0.6242 9.9865 DX 0.3515 105.1600 0.3343 5.3486 EUR 0.0043 1.0790 0.3994 6.3908 EURIBOR-ICE 0.0500 97.3950 0.0513 0.8208 EUROSTX 38.8815 5073.0000 0.7664 12.2631 FEEDCOW 2.0913 250.5000 0.8349 13.3579 GASOIL 10.2571 754.2500 1.3599 21.7585 GASOLINE 0.0362 2.4608 1.4693 23.5080 GAS_US_mini 0.0804 2.4850 3.2349 51.7584 GBP 0.0058 1.2530 0.4599 7.3592 GOLD_micro 20.2575 2372.6000 0.8538 13.6610 HEATOIL 0.0326 2.4638 1.3252 21.2028 JGB-SGX-mini 0.2184 144.1800 0.1514 2.4231 JPY 0.0000 0.0065 0.7585 12.1360 LEANHOG 1.2026 100.5750 1.1957 19.1314 LIVECOW 1.4078 173.9250 0.8094 12.9505 LUMBER-new 7.1049 534.5000 1.3293 21.2683 MILK 0.2633 19.9000 1.3232 21.1705 MXP 0.0004 0.0592 0.6246 9.9928 NASDAQ_micro 161.5896 18253.5000 0.8853 14.1640 NIKKEI 389.5701 38160.0000 1.0209 16.3342 NZD 0.0038 0.6020 0.6337 10.1398 OAT 0.5272 126.0600 0.4182 6.6914 OATIES 4.9585 389.7500 1.2722 20.3558 OJ 5.2409 394.4000 1.3288 21.2613 PALLAD 22.8236 983.0000 2.3218 37.1492 PLAT 14.5322 1007.6000 1.4423 23.0762 REDWHEAT 11.5646 685.5000 1.6870 26.9924 RICE 0.1889 15.5000 1.2188 19.5004 ROBUSTA 77.0986 3430.0000 2.2478 35.9644 RUSSELL 21.4013 2065.7000 1.0360 16.5765 SHATZ 0.0792 105.2100 0.0752 1.2039 SILVER-mini 0.4747 28.6000 1.6599 26.5576 SMI 84.8275 11744.0000 0.7223 11.5569 SOFR 0.0640 96.0300 0.0667 1.0669 SOYBEAN 11.1520 1205.2500 0.9253 14.8045 SOYMEAL 5.2460 369.5000 1.4198 22.7163 SOYOIL 0.7213 44.7100 1.6132 25.8114 SP400 24.2530 3004.6000 0.8072 12.9151 SP500_micro 35.5780 5245.2500 0.6783 10.8526 SUGAR11 0.2910 19.3100 1.5070 24.1113 US10 0.3924 108.7031 0.3609 5.7752 US10U 0.5157 111.7031 0.4617 7.3865 US2 0.1018 101.6367 0.1002 1.6031 US20 0.7548 116.0000 0.6507 10.4105 US30 1.1143 122.3750 0.9105 14.5684 US5 0.2534 105.5859 0.2400 3.8400 VIX 0.4401 15.7500 2.7944 44.7104 WHEAT 10.3092 703.7500 1.4649 23.4384 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 661.40 0.64 425.96 1.00 425.96 53226.23 124.96 0.92 11.48 BITCOIN 61.04 2.89 176.18 1.00 176.18 53226.23 302.12 -5.89 -178.05 BOBL 1167.70 0.22 261.58 1.07 281.03 53226.23 189.40 -7.28 -137.91 BTP 1175.20 0.51 599.02 1.07 643.56 53226.23 82.71 -0.57 -4.74 BUND 1308.30 0.40 528.89 1.07 568.22 53226.23 93.67 -5.96 -55.79 BUXL 1298.40 0.96 1249.60 1.07 1342.51 53226.23 39.65 -7.33 -29.07 CAC 816.30 0.64 520.48 1.07 559.18 53226.23 95.19 15.07 143.45 CAD 731.85 0.39 288.60 1.00 288.60 53226.23 184.43 -8.43 -155.44 CANOLA 135.92 1.15 156.49 0.73 113.99 53226.23 466.95 -10.62 -496.14 CHF 1385.12 0.43 602.42 1.00 602.42 53226.23 88.35 -15.67 -138.41 COCOA 840.00 4.60 3864.36 1.00 3864.36 53226.23 13.77 2.01 2.77 COFFEE 746.81 2.12 1586.06 1.00 1586.06 53226.23 33.56 -0.90 -3.01 COPPER 1164.13 1.12 1299.45 1.00 1299.45 53226.23 40.96 9.00 36.86 CORN 245.25 1.06 261.01 1.00 261.01 53226.23 203.93 -9.78 -199.46 COTTON2 387.25 1.79 694.68 1.00 694.68 53226.23 76.62 -13.30 -101.88 CRUDE_W 754.70 1.14 863.19 1.00 863.19 53226.23 61.66 6.71 41.37 DAX 188.90 0.72 136.44 1.07 146.59 53226.23 363.10 14.90 540.89 DOW 198.14 0.62 123.67 1.00 123.67 53226.23 430.39 -2.31 -99.23 DX 1051.60 0.33 351.54 1.00 351.54 53226.23 151.41 9.19 139.22 EUR 1348.75 0.40 538.72 1.00 538.72 53226.23 98.80 -2.47 -24.39 EURIBOR-ICE 2434.88 0.05 124.91 1.07 134.20 53226.23 396.63 -3.45 -136.88 EUROSTX 507.30 0.77 388.82 1.07 417.72 53226.23 127.42 11.82 150.58 FEEDCOW 1252.50 0.83 1045.67 1.00 1045.67 53226.23 50.90 -6.53 -33.22 GASOIL 754.25 1.36 1025.71 1.00 1025.71 53226.23 51.89 -3.47 -18.01 GASOLINE 1033.54 1.47 1518.52 1.00 1518.52 53226.23 35.05 3.19 11.17 GAS_US_mini 62.12 3.23 200.97 1.00 200.97 53226.23 264.85 -5.60 -148.32 GBP 783.12 0.46 360.20 1.00 360.20 53226.23 147.77 -3.71 -54.81 GOLD_micro 237.26 0.85 202.58 1.00 202.58 53226.23 262.75 -0.05 -1.39 HEATOIL 1034.80 1.33 1371.28 1.00 1371.28 53226.23 38.81 -8.33 -32.32 JGB-SGX-mini 144180.00 0.15 21835.19 0.01 140.27 53226.23 379.44 -3.05 -115.84 JPY 806.88 0.76 612.02 1.00 612.02 53226.23 86.97 -9.77 -84.98 LEANHOG 402.30 1.20 481.03 1.00 481.03 53226.23 110.65 -5.21 -57.66 LIVECOW 695.70 0.81 563.10 1.00 563.10 53226.23 94.52 7.39 69.82 LUMBER-new 146.99 1.33 195.39 1.00 195.39 53226.23 272.42 -19.60 -533.99 MILK 398.00 1.32 526.62 1.00 526.62 53226.23 101.07 1.26 12.77 MXP 296.15 0.62 184.96 1.00 184.96 53226.23 287.77 12.34 355.12 NASDAQ_micro 365.07 0.89 323.18 1.00 323.18 53226.23 164.70 -7.30 -120.16 NIKKEI 38160.00 1.02 38957.01 0.01 250.27 53226.23 212.68 -3.00 -63.85 NZD 602.05 0.63 381.54 1.00 381.54 53226.23 139.50 -0.32 -4.46 OAT 1260.60 0.42 527.20 1.07 566.39 53226.23 93.97 -0.82 -7.69 OATIES 194.88 1.27 247.93 1.00 247.93 53226.23 214.69 2.69 57.68 OJ 591.60 1.33 786.14 1.00 786.14 53226.23 67.71 15.89 107.60 PALLAD 983.00 2.32 2282.36 1.00 2282.36 53226.23 23.32 -4.79 -11.17 PLAT 503.80 1.44 726.61 1.00 726.61 53226.23 73.25 7.28 53.34 REDWHEAT 342.75 1.69 578.23 1.00 578.23 53226.23 92.05 1.05 9.62 RICE 310.00 1.22 377.82 1.00 377.82 53226.23 140.88 9.76 137.53 ROBUSTA 343.00 2.25 770.99 1.00 770.99 53226.23 69.04 -0.47 -3.23 RUSSELL 103.28 1.04 107.01 1.00 107.01 53226.23 497.41 -3.93 -195.69 SHATZ 1052.10 0.08 79.16 1.07 85.05 53226.23 625.83 -17.31 -1083.26 SILVER-mini 715.00 1.66 1186.79 1.00 1186.79 53226.23 44.85 6.57 29.45 SMI 1174.40 0.72 848.28 1.10 933.70 53226.23 57.01 14.39 82.06 SOFR 2400.75 0.07 160.08 1.00 160.08 53226.23 332.50 -5.44 -180.87 SOYBEAN 602.62 0.93 557.60 1.00 557.60 53226.23 95.46 -6.09 -58.10 SOYMEAL 369.50 1.42 524.60 1.00 524.60 53226.23 101.46 -5.52 -56.04 SOYOIL 268.26 1.61 432.76 1.00 432.76 53226.23 122.99 -20.00 -245.98 SP400 3004.60 0.81 2425.30 1.00 2425.30 53226.23 21.95 -2.43 -5.33 SP500_micro 262.26 0.68 177.89 1.00 177.89 53226.23 299.21 -3.88 -116.06 SUGAR11 216.27 1.51 325.91 1.00 325.91 53226.23 163.31 -8.10 -132.32 US10 1087.03 0.36 392.36 1.00 392.36 53226.23 135.66 -6.62 -89.85 US10U 1117.03 0.46 515.68 1.00 515.68 53226.23 103.21 -4.53 -46.81 US2 2032.73 0.10 203.67 1.00 203.67 53226.23 261.34 -13.33 -348.26 US20 1160.00 0.65 754.76 1.00 754.76 53226.23 70.52 -1.47 -10.34 US30 1223.75 0.91 1114.26 1.00 1114.26 53226.23 47.77 -3.06 -14.64 US5 1055.86 0.24 253.41 1.00 253.41 53226.23 210.04 -9.08 -190.73 VIX 157.50 2.79 440.12 1.00 440.12 53226.23 120.94 -20.00 -241.87 WHEAT 351.88 1.46 515.46 1.00 515.46 53226.23 103.26 1.12 11.57 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 11.480 0.010 2.5 0.298 BITCOIN -178.051 0.043 2.5 -19.281 BOBL -137.913 0.004 2.5 -1.399 BTP -4.742 0.014 2.5 -0.162 BUND -55.791 0.004 2.5 -0.566 BUXL -29.066 0.004 2.5 -0.295 CAC 143.454 0.014 2.5 4.893 CAD -155.441 0.010 2.5 -4.033 CANOLA -496.135 0.010 2.5 -12.070 CHF -138.412 0.010 2.5 -3.591 COCOA 2.773 0.009 2.5 0.059 COFFEE -3.012 0.005 2.5 -0.035 COPPER 36.861 0.043 2.5 3.992 CORN -199.456 0.010 2.5 -4.852 COTTON2 -101.879 0.009 2.5 -2.182 CRUDE_W 41.374 0.043 2.5 4.480 DAX 540.887 0.014 2.5 18.449 DOW -99.227 0.009 2.5 -2.306 DX 139.219 0.010 2.5 3.612 EUR -24.390 0.010 2.5 -0.633 EURIBOR-ICE -136.880 0.014 2.5 -4.669 EUROSTX 150.576 0.014 2.5 5.136 FEEDCOW -33.225 0.013 2.5 -1.101 GASOIL -18.006 0.017 2.5 -0.781 GASOLINE 11.166 0.017 2.5 0.484 GAS_US_mini -148.319 0.043 2.5 -16.061 GBP -54.815 0.010 2.5 -1.422 GOLD_micro -1.387 0.014 2.5 -0.047 HEATOIL -32.316 0.017 2.5 -1.401 JGB-SGX-mini -115.840 0.043 2.5 -12.544 JPY -84.975 0.010 2.5 -2.205 LEANHOG -57.660 0.024 2.5 -3.504 LIVECOW 69.821 0.013 2.5 2.314 LUMBER-new -533.995 0.009 2.5 -11.429 MILK 12.768 0.009 2.5 0.273 MXP 355.123 0.059 2.5 52.122 NASDAQ_micro -120.162 0.009 2.5 -2.793 NIKKEI -63.849 0.043 2.5 -6.914 NZD -4.460 0.010 2.5 -0.116 OAT -7.693 0.014 2.5 -0.262 OATIES 57.677 0.010 2.5 1.403 OJ 107.604 0.009 2.5 2.305 PALLAD -11.169 0.014 2.5 -0.381 PLAT 53.341 0.014 2.5 1.819 REDWHEAT 9.621 0.005 2.5 0.128 RICE 137.533 0.010 2.5 3.346 ROBUSTA -3.229 0.005 2.5 -0.038 RUSSELL -195.691 0.013 2.5 -6.485 SHATZ -1083.264 0.004 2.5 -10.985 SILVER-mini 29.454 0.014 2.5 1.005 SMI 82.056 0.014 2.5 2.799 SOFR -180.866 0.024 2.5 -10.992 SOYBEAN -58.099 0.004 2.5 -0.540 SOYMEAL -56.037 0.004 2.5 -0.521 SOYOIL -245.985 0.004 2.5 -2.290 SP400 -5.328 0.013 2.5 -0.177 SP500_micro -116.060 0.009 2.5 -2.697 SUGAR11 -132.315 0.009 2.5 -2.814 US10 -89.846 0.005 2.5 -1.139 US10U -46.805 0.005 2.5 -0.593 US2 -348.258 0.005 2.5 -4.413 US20 -10.338 0.005 2.5 -0.131 US30 -14.636 0.005 2.5 -0.185 US5 -190.735 0.005 2.5 -2.417 VIX -241.873 0.099 2.5 -59.704 WHEAT 11.570 0.005 2.5 0.153 ===================== Position diags ===================== AUD 3.24 BITCOIN 32.72 BOBL 1.92 BTP 2.82 BUND 0.95 BUXL 0.40 CAC 3.25 CAD 4.79 CANOLA 11.36 CHF 2.29 COCOA 0.29 COFFEE 0.39 COPPER 4.44 CORN 4.96 COTTON2 1.64 CRUDE_W 6.68 DAX 12.38 DOW 10.00 DX 3.93 EUR 2.56 EURIBOR-ICE 13.53 EUROSTX 4.35 FEEDCOW 1.69 GASOIL 2.25 GASOLINE 1.52 GAS_US_mini 28.68 GBP 3.83 GOLD_micro 8.96 HEATOIL 1.68 JGB-SGX-mini 41.09 JPY 2.26 LEANHOG 6.72 LIVECOW 3.13 LUMBER-new 5.83 MILK 2.16 MXP 42.24 NASDAQ_micro 3.83 NIKKEI 23.03 NZD 3.62 OAT 3.21 OATIES 5.22 OJ 1.45 PALLAD 0.80 PLAT 2.50 REDWHEAT 1.22 RICE 3.43 ROBUSTA 0.81 RUSSELL 16.48 SHATZ 6.35 SILVER-mini 1.53 SMI 1.94 SOFR 20.21 SOYBEAN 0.89 SOYMEAL 0.94 SOYOIL 1.14 SP400 0.73 SP500_micro 6.95 SUGAR11 3.47 US10 1.72 US10U 1.31 US2 3.31 US20 0.89 US30 0.61 US5 2.66 VIX 29.85 WHEAT 1.37 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.3 -0.0 0.6 0.0 0 BITCOIN -19.3 -22.6 -16.0 0.0 0 BOBL -1.4 -1.6 -1.2 -7.0 -7 BTP -0.2 -0.4 0.1 2.0 2 BUND -0.6 -0.7 -0.5 0.0 0 BUXL -0.3 -0.3 -0.3 -2.0 -2 CAC 4.9 4.6 5.2 0.0 0 CAD -4.0 -4.5 -3.6 -2.0 -2 CANOLA -12.1 -13.2 -10.9 -6.0 -6 CHF -3.6 -3.8 -3.4 -5.0 -5 COCOA 0.1 0.0 0.1 0.0 0 COFFEE -0.0 -0.1 0.0 0.0 0 COPPER 4.0 3.5 4.4 4.0 4 CORN -4.9 -5.3 -4.4 -2.0 -2 COTTON2 -2.2 -2.3 -2.0 -3.0 -3 CRUDE_W 4.5 3.8 5.1 2.0 2 DAX 18.4 17.2 19.7 10.0 10 DOW -2.3 -3.3 -1.3 0.0 0 DX 3.6 3.2 4.0 NaN 0 EUR -0.6 -0.9 -0.4 -3.0 -3 EURIBOR-ICE -4.7 -6.0 -3.3 -7.0 -7 EUROSTX 5.1 4.7 5.6 11.0 11 FEEDCOW -1.1 -1.3 -0.9 0.0 0 GASOIL -0.8 -1.0 -0.6 -1.0 -1 GASOLINE 0.5 0.3 0.6 4.0 4 GAS_US_mini -16.1 -18.9 -13.2 -21.0 -21 GBP -1.4 -1.8 -1.0 0.0 0 GOLD_micro -0.0 -0.9 0.8 -6.0 -6 HEATOIL -1.4 -1.6 -1.2 -2.0 -2 JGB-SGX-mini -12.5 -16.7 -8.4 -3.0 -3 JPY -2.2 -2.4 -2.0 -2.0 -2 LEANHOG -3.5 -4.2 -2.8 -2.0 -2 LIVECOW 2.3 2.0 2.6 2.0 2 LUMBER-new -11.4 -12.0 -10.8 NaN 0 MILK 0.3 0.1 0.5 NaN 0 MXP 52.1 47.9 56.3 36.0 36 NASDAQ_micro -2.8 -3.2 -2.4 -4.0 -4 NIKKEI -6.9 -9.2 -4.6 -1.0 -1 NZD -0.1 -0.5 0.2 0.0 0 OAT -0.3 -0.6 0.1 1.0 1 OATIES 1.4 0.9 1.9 NaN 0 OJ 2.3 2.2 2.4 NaN 0 PALLAD -0.4 -0.5 -0.3 0.0 0 PLAT 1.8 1.6 2.1 1.0 1 REDWHEAT 0.1 0.0 0.2 0.0 0 RICE 3.3 3.0 3.7 NaN 0 ROBUSTA -0.0 -0.1 0.0 0.0 0 RUSSELL -6.5 -8.1 -4.8 -18.0 -18 SHATZ -11.0 -11.6 -10.4 NaN 0 SILVER-mini 1.0 0.9 1.2 0.0 0 SMI 2.8 2.6 3.0 7.0 7 SOFR -11.0 -13.0 -9.0 NaN 0 SOYBEAN -0.5 -0.6 -0.5 -1.0 -1 SOYMEAL -0.5 -0.6 -0.4 0.0 0 SOYOIL -2.3 -2.4 -2.2 -5.0 -5 SP400 -0.2 -0.2 -0.1 -1.0 -1 SP500_micro -2.7 -3.4 -2.0 -1.0 -1 SUGAR11 -2.8 -3.2 -2.5 -2.0 -2 US10 -1.1 -1.3 -1.0 0.0 0 US10U -0.6 -0.7 -0.5 -5.0 -5 US2 -4.4 -4.7 -4.1 NaN 0 US20 -0.1 -0.2 -0.0 0.0 0 US30 -0.2 -0.2 -0.1 0.0 0 US5 -2.4 -2.7 -2.2 -9.0 -9 VIX -59.7 -62.7 -56.7 -53.0 -53 WHEAT 0.2 0.0 0.3 0.0 0 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 0.4 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 0.4 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 -0.5 -0.4 0.3 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.3 -0.0 0.5 -0.1 0.1 -0.1 -0.1 -0.1 -0.2 0.0 0.2 -0.1 0.5 -0.1 -2.7 0.0 -0.0 0.2 -0.0 0.4 -0.0 -0.2 -0.4 -0.6 -0.6 0.6 -0.3 -0.0 0.4 0.1 BOBL -0.1 -0.3 -0.4 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.3 -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 -0.2 -0.2 -0.2 0.1 -0.0 -0.7 -0.7 0.1 -0.4 BTP -0.0 -0.5 -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 0.3 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 -0.2 0.2 0.1 -0.7 -0.7 0.3 -0.3 BUXL -0.1 -0.3 -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 -0.1 -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 -0.2 0.3 0.3 -0.7 -0.7 -0.2 -0.2 CAC -0.0 -0.6 0.5 0.0 0.1 0.2 0.1 0.2 0.0 0.2 0.5 0.2 0.7 0.1 0.2 0.3 0.1 0.3 0.2 0.2 0.2 0.2 0.5 0.2 -1.7 0.1 0.1 0.3 0.1 0.3 0.1 1.0 0.0 0.6 0.6 0.6 -0.3 0.3 -0.3 0.4 CAD 0.2 -0.2 -0.2 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.1 -0.3 0.1 -0.4 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.1 -0.1 -0.1 0.0 -0.1 0.0 -0.2 -0.0 0.0 -0.3 0.1 0.0 -0.1 -0.5 -0.5 -0.1 -0.4 CANOLA 0.3 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -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 -0.0 0.0 -0.2 0.0 -1.1 0.4 0.0 0.3 -0.2 -0.7 -0.6 -0.3 -0.1 CHF 0.4 -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 0.1 0.1 -0.6 -0.6 -0.1 -0.6 0.2 -0.5 COCOA -0.6 -0.6 -0.5 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.1 -0.0 0.2 -0.0 0.0 0.3 0.3 0.4 0.4 0.1 0.1 -0.0 0.2 -0.0 -2.0 0.0 0.0 0.1 -0.0 0.1 0.0 1.1 -0.5 -0.4 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 0.2 -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 -2.3 0.0 -0.0 0.1 -0.0 0.1 0.0 0.5 -0.5 -0.4 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 0.1 0.4 0.1 0.3 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 0.2 0.6 0.6 0.6 -0.7 -0.1 0.3 0.2 CORN 0.4 0.5 0.5 0.0 0.0 0.1 0.1 -0.0 0.1 0.1 -0.2 0.2 -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 0.1 -0.1 0.1 -0.3 0.1 -1.1 0.5 0.4 0.4 -0.6 -0.5 -0.7 -0.5 0.0 COTTON2 -0.4 -0.6 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.2 -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 -2.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.3 -0.6 -0.6 0.2 -0.3 -0.5 0.1 0.0 CRUDE_W -0.6 0.0 0.3 0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.2 0.2 -0.2 0.6 -0.1 0.1 0.3 0.2 0.3 0.3 0.0 0.1 -0.2 0.4 -0.1 -0.7 0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.1 -0.4 -0.3 0.2 0.1 0.7 0.6 0.7 0.6 DAX -0.0 -0.6 0.3 0.0 0.1 0.1 0.1 0.2 0.0 0.2 0.5 0.2 0.7 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 1.7 0.1 0.1 0.2 0.1 0.3 0.1 -0.6 0.0 0.5 0.6 0.6 -0.1 0.2 0.1 0.6 DOW 0.2 -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 0.2 0.4 0.1 -1.6 0.0 0.1 0.1 0.1 0.3 0.0 -0.5 0.0 0.3 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 0.3 0.6 0.6 0.6 0.2 0.7 0.4 EUR 0.2 -0.3 -0.2 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.2 -0.2 0.2 -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 0.0 -0.1 0.1 -0.1 0.0 -0.4 0.1 0.3 0.0 0.1 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.1 -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 -0.0 -0.2 -0.2 -0.1 -0.0 -0.7 -0.7 0.2 0.4 EUROSTX -0.1 -0.6 0.4 0.0 0.1 0.1 0.1 0.2 0.0 0.2 0.5 0.2 0.7 0.1 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 -0.2 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 0.0 -0.0 0.0 -0.1 -0.1 -0.1 -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 0.1 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 -0.0 0.0 -0.1 0.2 -0.1 0.4 0.0 -0.4 -0.5 -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 -0.2 -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 0.5 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 -0.5 0.1 -0.7 0.1 -0.1 -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 -0.2 -0.6 -0.5 -0.2 -0.7 -0.3 GBP 0.1 -0.4 -0.2 -0.0 0.0 -0.1 0.0 0.0 -0.0 -0.0 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 0.1 0.3 -0.0 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 -0.5 -0.6 -0.1 -0.3 HEATOIL -0.6 -0.3 0.0 0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.2 -0.1 -0.2 0.3 -0.2 -0.1 -0.1 0.4 0.1 0.2 -0.1 0.0 -0.2 0.3 -0.2 -2.7 -0.0 -0.1 0.0 -0.1 0.2 -0.1 0.3 -0.1 -0.5 -0.6 -0.3 0.5 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 -0.1 0.0 -0.0 0.1 -0.1 -0.1 0.4 0.3 0.3 0.3 -0.1 -0.0 -0.0 0.0 -0.1 -1.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 -0.3 -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 -0.2 1.3 0.0 -0.1 0.2 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 -0.4 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 0.0 -0.0 -0.1 -0.0 0.4 0.1 0.4 0.3 -0.1 -0.0 -0.0 0.0 -0.0 -0.7 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.6 -0.3 0.1 -0.4 0.4 0.7 0.7 0.7 0.7 LUMBER-new -0.4 -0.7 -0.2 0.0 0.0 0.1 0.1 -0.0 0.1 -0.0 -0.2 -0.1 -0.5 -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 0.1 -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 -0.1 0.1 -0.4 0.1 0.1 -0.2 -0.4 -0.4 -0.4 0.1 -0.0 0.2 -0.3 0.2 1.8 0.0 0.0 -0.0 0.1 -0.1 0.1 -1.1 0.5 0.6 0.5 0.0 -0.7 -0.7 -0.6 -0.7 MXP -0.3 -0.4 -0.1 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.2 0.4 0.1 0.7 -0.1 0.0 0.3 0.3 0.3 0.3 0.0 0.1 0.1 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 -0.1 -0.6 -0.3 0.0 0.1 0.1 0.1 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 -0.3 -0.2 -0.1 -0.1 -0.0 0.1 -0.0 NIKKEI -0.5 -0.6 0.1 0.0 0.1 0.1 0.1 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 0.1 -0.0 0.5 -0.0 -1.8 0.0 -0.0 0.1 -0.0 0.3 -0.0 1.1 -0.5 -0.6 -0.2 0.3 -0.4 -0.2 -0.2 -0.3 NZD 0.3 -0.2 -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 0.0 -0.1 0.1 -0.1 0.0 0.2 0.2 0.2 -0.0 -0.1 -0.3 -0.2 -0.1 0.2 OAT -0.0 -0.4 -0.2 -0.0 0.0 -0.1 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 -0.1 -0.0 0.0 -0.1 -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 0.5 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 0.3 0.1 0.2 -0.0 0.2 -0.4 0.2 -2.7 0.1 0.1 0.0 0.1 -0.1 0.1 0.0 0.5 0.6 0.4 -0.0 -0.5 -0.1 -0.0 0.5 OJ 0.2 0.1 0.3 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 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.2 0.2 0.2 0.7 0.1 0.6 0.5 0.5 0.1 0.6 0.2 0.3 0.7 0.7 PALLAD -0.4 0.0 0.3 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.1 -0.0 -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 0.0 -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 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.0 0.1 1.5 0.0 0.1 0.1 0.1 0.0 0.1 0.2 0.5 0.2 0.1 -0.1 -0.6 -0.2 0.4 0.2 REDWHEAT 0.6 0.6 0.6 0.0 0.0 0.1 0.1 -0.0 0.1 0.1 -0.1 0.2 -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 0.1 0.0 0.0 0.1 -0.1 0.1 -0.5 0.4 0.6 0.6 -0.1 -0.3 -0.7 0.1 -0.7 RICE 0.6 0.1 -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 0.2 0.1 -1.1 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 0.0 0.4 0.4 0.4 0.4 0.1 0.1 -0.2 0.4 -0.1 -2.7 0.0 -0.0 0.1 -0.0 0.1 0.0 1.1 -0.5 -0.0 0.6 0.6 -0.3 -0.6 0.1 0.1 RUSSELL 0.1 -0.4 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.1 0.3 0.1 0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 0.2 0.0 -0.2 0.0 0.0 0.1 0.1 0.1 0.0 -0.1 -0.2 0.0 0.0 -0.3 -0.4 -0.7 -0.5 -0.7 SHATZ -0.1 -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 -0.3 -0.1 -0.3 -0.7 -0.7 -0.6 -0.7 SILVER-mini -0.6 0.5 0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.2 0.0 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 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 0.1 -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 0.1 -0.1 0.1 0.0 0.0 0.1 0.1 0.2 0.2 0.1 1.7 0.0 0.1 0.1 0.1 0.2 0.0 0.8 0.0 0.3 0.2 -0.1 0.4 -0.0 0.6 -0.1 SOFR 0.2 -0.5 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.2 -0.0 -0.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.2 0.1 0.1 -0.1 -0.0 -0.3 -0.7 0.3 -0.0 SOYBEAN 0.5 0.4 -0.0 0.0 0.0 0.1 0.1 -0.0 0.1 0.1 -0.2 0.1 -0.2 0.1 0.1 -0.0 0.2 0.0 0.1 0.0 -0.1 0.1 -0.3 0.1 -2.7 0.0 0.0 -0.0 0.1 -0.1 0.1 0.3 0.5 0.3 0.3 -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 0.0 -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 -0.4 -0.2 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.6 -0.4 -0.6 -0.6 -0.4 -0.7 -0.5 -0.2 0.1 SP400 0.0 -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 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.2 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 -0.1 -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 0.1 0.2 0.1 0.5 0.1 -2.6 0.0 0.1 0.2 0.1 0.3 0.0 -0.6 -0.2 -0.2 -0.0 0.2 -0.0 -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 -0.1 -0.4 -0.1 -0.1 -0.2 -0.2 0.0 0.3 0.1 0.2 -0.2 -0.2 -0.1 -0.2 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.9 0.1 -0.6 -0.6 -0.6 0.7 0.4 0.7 0.7 US10 0.2 -0.5 -0.3 -0.0 0.0 -0.0 0.0 -0.1 -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 0.0 -0.2 -0.0 0.3 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.3 0.0 0.1 -0.0 0.0 -0.6 -0.7 -0.1 0.1 US10U 0.2 -0.4 -0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 0.1 -0.3 -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 0.1 -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 0.0 -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 1.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.1 -0.0 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 0.0 -0.0 0.1 -0.1 -0.0 -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 0.3 0.0 0.1 0.0 0.2 -0.6 -0.5 0.7 0.5 US30 0.1 -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 0.0 -0.2 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.1 0.0 0.0 -0.0 0.2 -0.6 -0.4 0.7 0.6 US5 0.2 -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 0.1 -0.1 -0.1 -0.5 -0.7 -0.2 -0.3 VIX -0.8 0.4 0.6 -0.1 -0.1 -0.3 -0.1 -0.5 -0.1 -0.3 -0.9 -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 0.6 0.0 0.0 0.1 0.0 -0.0 0.0 0.1 0.1 0.2 -0.5 0.2 0.1 -0.4 -0.3 -0.4 -0.3 0.2 0.0 0.2 -0.3 0.2 0.2 0.0 0.1 0.0 0.1 -0.1 0.1 -1.1 0.5 0.6 0.6 -0.2 -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 11.0 0.8 -0.3 -3.1 1.8 -1.8 1.1 0.6 -1.5 10.6 -4.2 12.2 -8.6 8.9 0.9 -2.5 -2.8 -2.7 -2.7 1.1 -1.7 9.7 -3.8 6.7 2.6 1.5 4.3 -0.2 6.1 -1.5 4.5 -0.6 7.0 12.6 12.3 4.1 -18.4 -8.5 -7.5 -1.1 BITCOIN -16.7 -12.5 8.9 3.9 5.0 3.4 1.8 1.6 1.9 4.9 12.0 -4.2 14.4 -8.8 6.3 -6.0 -7.3 -7.4 -7.7 3.0 17.6 -7.2 20.0 -8.4 -20.0 3.3 -1.7 8.6 -1.8 9.8 -1.3 -3.0 -17.2 -19.5 -20.0 20.0 -10.3 -1.0 12.3 2.8 BOBL -4.1 -8.5 -13.3 -1.8 0.2 -1.5 1.1 -1.4 -0.4 -0.4 -5.0 -2.4 -3.9 -4.8 -7.8 13.6 -6.9 5.3 -3.1 -6.7 -5.7 -1.5 -4.9 -4.3 4.8 -2.6 -2.1 -1.8 -1.5 -1.5 -2.2 -4.3 -9.3 -7.1 2.8 -0.7 -20.0 -20.0 3.4 -12.6 BTP -0.3 -14.2 -1.0 -2.8 0.3 -2.5 1.8 -2.2 -0.6 -1.0 9.0 5.7 9.1 -2.5 -4.2 4.6 5.9 4.7 5.0 0.1 4.6 1.7 6.6 0.3 -19.9 1.8 -2.8 4.9 -0.4 5.7 0.2 15.3 -13.0 -1.4 10.1 19.0 -9.0 -10.0 20.0 2.5 BUND -3.2 -8.7 -8.0 -1.9 0.2 -1.7 1.2 -1.5 -0.4 -0.0 -2.2 -0.3 -1.8 -4.0 -7.6 -9.3 -0.5 -7.3 -4.2 -5.1 -3.7 -0.2 -3.4 -3.0 2.2 -1.5 -2.0 -0.5 -1.0 -0.5 -1.5 2.0 -8.2 -5.7 6.4 4.4 -20.0 -20.0 7.9 -8.5 BUXL -3.8 -7.9 -2.6 -2.4 0.3 -2.1 1.5 -1.9 -0.5 -3.4 -0.3 -0.5 -2.6 -4.3 -8.2 -7.8 -2.7 -6.6 -4.7 -4.6 -2.9 -0.9 -4.2 -3.0 -1.7 -0.1 -3.6 1.0 -1.6 0.0 -1.1 0.0 -10.6 -7.4 10.6 9.7 -20.0 -20.0 -6.9 -4.7 CAC -0.0 -18.1 14.2 2.7 11.7 6.0 9.1 6.9 3.2 20.0 20.0 20.0 20.0 9.7 19.1 15.9 3.4 14.4 8.2 16.4 20.0 20.0 20.0 15.7 -12.5 8.3 13.7 10.0 11.7 9.5 8.3 19.1 1.4 20.0 18.3 17.5 -9.9 7.9 -9.3 12.2 CAD 6.0 -7.5 -6.2 -4.4 2.5 -2.5 1.5 0.8 -2.1 11.7 -12.1 9.4 -10.8 -8.6 -14.4 -3.0 -2.4 -2.7 -2.5 -10.4 -9.6 0.4 -8.0 -5.5 -0.8 -5.8 2.9 -5.3 0.0 -4.3 -3.2 0.0 -12.8 3.9 0.2 -2.9 -13.8 -14.3 -1.7 -10.7 CANOLA 8.3 18.3 17.6 2.0 1.2 1.2 2.6 -0.5 2.6 6.9 -5.3 6.7 -7.5 5.4 5.3 -16.2 -8.3 -15.7 -13.5 2.8 -3.8 9.7 -9.8 6.7 -20.0 1.2 3.9 -1.8 4.1 -4.7 2.9 -20.0 14.9 0.6 8.6 -6.4 -20.0 -16.7 -9.7 -3.9 CHF 11.4 -14.5 -20.0 -3.7 2.1 -2.1 1.3 0.7 -1.8 12.6 -16.9 10.4 -11.4 -11.8 -17.5 -16.1 -16.0 -16.2 -16.0 -20.0 -20.0 3.7 -12.7 -8.0 0.7 -6.0 1.9 -5.8 1.0 -2.9 -2.4 -20.0 4.4 3.7 -20.0 -20.0 -1.9 -16.7 5.7 -14.9 COCOA -20.0 -20.0 -14.5 1.3 0.8 0.8 1.7 -0.3 1.7 1.2 5.1 -3.3 6.1 -0.8 3.5 17.2 15.1 20.0 20.0 4.8 8.4 -4.0 7.4 -2.2 -14.6 1.9 0.0 3.0 -0.5 3.1 0.2 20.0 -20.0 -10.9 20.0 20.0 4.3 0.3 9.5 8.1 COFFEE -20.0 9.1 8.6 2.9 1.8 1.7 3.6 -0.7 3.6 -8.9 8.9 -11.4 8.3 -2.4 2.7 9.9 8.7 11.3 10.7 7.3 11.9 -17.3 9.1 -6.8 -17.6 3.0 -1.7 3.5 -2.7 2.7 0.0 10.2 -20.0 -12.0 20.0 18.8 -0.6 -20.0 8.8 -6.9 COPPER 4.0 20.0 20.0 3.6 4.6 3.2 1.6 1.5 1.8 7.6 15.1 10.8 7.5 14.2 15.9 -2.8 -4.8 -4.2 -4.8 20.0 20.0 15.2 12.3 20.0 -14.1 6.0 2.6 4.9 3.0 2.7 4.9 1.6 7.1 20.0 20.0 20.0 -20.0 -2.9 8.6 6.7 CORN 13.6 16.7 15.9 4.1 2.5 2.5 5.2 -1.0 5.2 13.9 -8.6 15.9 -18.6 15.3 8.2 -19.0 -11.0 -19.0 -16.4 4.5 -7.3 15.9 -18.0 12.6 -16.6 2.7 9.4 -3.6 9.2 -7.9 7.5 -20.0 20.0 11.7 12.5 -17.6 -14.9 -20.0 -14.4 0.6 COTTON2 -13.7 -20.0 -0.1 2.2 1.4 1.4 2.8 -0.6 2.8 -2.3 -5.7 -6.0 -2.5 -9.4 -9.3 9.4 4.0 10.1 6.4 -13.7 -6.4 -7.9 -1.8 -14.7 -19.7 -2.4 -0.7 -0.1 -1.8 1.0 -3.2 1.5 -12.0 -20.0 -20.0 6.1 -10.0 -14.3 3.3 0.2 CRUDE_W -20.0 1.1 8.5 0.1 -4.4 4.0 -6.7 4.9 -5.6 -18.6 8.8 -20.0 15.6 -11.6 10.5 14.6 12.1 14.9 13.3 3.4 13.2 -18.9 16.4 -13.1 -5.5 0.7 -5.6 5.1 -8.3 6.9 -6.2 -1.1 -16.3 -8.9 5.2 2.0 20.0 17.3 20.0 18.8 DAX -1.1 -20.0 9.1 2.1 9.4 4.8 7.3 5.5 2.6 18.0 17.7 16.8 18.2 7.3 13.6 -9.9 -11.5 -11.7 -12.2 15.4 20.0 20.0 20.0 16.3 12.7 6.9 9.1 8.3 7.8 7.3 6.0 -10.4 1.2 15.4 20.0 19.1 -1.5 7.2 3.9 16.9 DOW 7.7 -20.0 -10.1 1.7 7.6 3.9 5.9 4.5 2.1 14.6 11.6 13.5 12.7 -1.4 -3.0 -10.7 -11.1 -11.6 -11.7 1.5 7.9 20.0 13.8 7.1 -12.2 1.9 11.3 5.0 8.6 7.5 3.6 -9.6 1.3 8.4 3.2 -6.6 2.6 -7.2 9.9 -14.7 DX -4.6 13.2 10.5 -4.3 2.4 -2.4 1.5 0.8 -2.1 -13.4 15.3 -9.5 11.8 12.8 16.9 7.3 6.7 7.2 6.9 16.1 15.2 -4.7 11.1 6.5 -20.0 5.9 -2.4 5.3 -1.7 3.9 2.5 15.9 -20.0 10.7 20.0 20.0 16.6 5.5 20.0 12.5 EUR 5.8 -8.5 -5.7 -4.3 2.4 -2.4 1.4 0.8 -2.0 16.8 -8.8 15.0 -8.4 -6.7 -11.3 -6.9 -6.8 -6.9 -6.7 -8.1 -8.6 7.2 -6.3 -0.6 20.0 -3.0 5.1 -2.8 4.8 -1.7 0.6 -7.3 5.9 9.2 0.9 1.9 -20.0 -15.7 -20.0 -12.4 EURIBOR-ICE -4.0 -18.3 -14.7 -1.6 0.2 -1.4 1.1 -1.3 -0.3 1.5 0.0 -0.5 1.3 -4.4 -6.9 -5.7 -4.3 -4.5 -3.8 -6.2 -2.8 -0.2 0.1 -4.0 12.3 -2.3 -1.1 -0.7 -0.8 0.4 -1.9 -0.9 -7.5 -7.2 -1.9 -0.9 -20.0 -20.0 5.5 12.6 EUROSTX -4.6 -20.0 11.5 2.3 10.0 5.1 7.8 5.9 2.8 19.1 20.0 16.8 20.0 7.9 17.7 -7.2 -0.5 -4.0 -1.4 16.0 20.0 20.0 20.0 13.1 -1.2 7.5 8.9 10.0 7.7 9.6 6.1 8.9 -8.9 15.5 19.7 20.0 -14.9 7.0 -16.7 11.7 FEEDCOW 8.2 -19.2 -0.5 3.5 2.1 2.1 4.4 -0.9 4.4 -15.3 -3.4 -5.3 -2.4 -7.0 -5.7 -20.0 -20.0 -20.0 -20.0 -8.4 -5.6 -11.4 -1.1 -9.0 -6.2 -2.3 -6.3 -1.3 -4.5 1.6 -2.9 -20.0 -20.0 3.4 -20.0 2.5 20.0 20.0 20.0 20.0 GASOIL -20.0 -9.1 4.2 0.1 -3.9 3.5 -5.9 4.3 -4.9 -14.2 6.4 -19.1 14.8 -18.6 1.0 -1.3 18.2 8.5 14.3 -7.7 5.9 -17.9 15.1 -19.6 6.7 -3.5 -4.3 1.7 -7.2 5.0 -7.9 7.2 0.3 -12.7 -14.2 -6.1 -14.6 -9.0 -20.0 -18.7 GASOLINE -20.0 -3.8 11.4 0.1 -4.0 3.6 -6.1 4.5 -5.1 -20.0 15.3 -20.0 17.1 -13.1 10.9 20.0 13.5 18.6 12.3 2.9 14.1 -20.0 16.8 -15.1 -20.0 0.4 -7.8 5.1 -9.8 7.0 -6.7 -0.7 -20.0 -9.5 -0.8 8.2 20.0 20.0 20.0 20.0 GAS_US_mini 13.8 14.4 1.5 0.1 -3.0 2.7 -4.6 3.3 -3.8 11.9 -17.8 12.7 -18.7 7.1 -13.5 -20.0 -20.0 -20.0 -20.0 -5.5 -18.5 10.3 -20.0 4.5 20.0 -4.0 5.6 -9.4 5.9 -11.5 1.9 -20.0 20.0 20.0 -6.8 -20.0 -14.7 -5.0 -20.0 -9.9 GBP 2.9 -11.0 -5.2 -4.4 2.5 -2.5 1.5 0.8 -2.1 -4.4 4.2 10.4 4.0 -7.4 -10.9 -1.1 -0.8 -1.0 -0.8 -7.0 -3.7 1.0 1.2 -3.3 1.5 -2.2 0.5 0.2 0.8 2.0 -1.0 2.9 -3.1 3.6 0.7 9.7 -20.0 -12.5 -20.0 -5.7 GOLD_micro -20.0 9.3 18.3 2.6 3.3 2.3 1.2 1.1 1.3 9.8 10.9 -1.4 9.6 5.7 9.4 -11.8 -14.3 -13.3 -14.0 14.4 16.3 4.7 12.0 6.5 -3.3 3.6 2.4 4.2 0.9 3.2 1.5 -14.5 2.3 -0.6 20.0 20.0 -14.9 -16.7 -3.6 -9.0 HEATOIL -20.0 -8.5 0.2 0.1 -4.1 3.7 -6.2 4.5 -5.2 -17.1 -2.1 -20.0 9.5 -20.0 -7.7 -4.9 18.0 4.9 12.4 -11.3 0.5 -20.0 9.4 -20.0 -20.0 -4.4 -6.0 0.9 -8.0 5.2 -8.7 5.6 -5.1 -14.2 -20.0 -10.6 16.1 5.7 8.3 1.3 JGB-SGX-mini -2.7 -16.4 -9.3 -2.0 0.2 -1.8 1.3 -1.6 -0.4 -7.5 0.8 -3.3 3.6 -6.6 -8.1 17.6 16.0 14.7 13.6 -7.1 -3.8 -4.0 0.3 -5.7 -8.6 -2.9 -2.7 -2.0 -1.5 -0.9 -2.3 20.0 -12.3 -5.8 -3.4 -1.1 -14.3 -9.3 0.8 11.1 JPY 10.7 -2.1 -2.0 -1.9 1.1 -1.1 0.6 0.3 -0.9 -2.2 -9.7 -2.0 -10.2 -6.8 -8.6 -14.6 -16.5 -16.2 -16.4 -9.3 -10.3 -3.6 -11.7 -6.3 20.0 -3.3 -1.0 -3.3 -1.1 -3.4 -2.3 -20.0 3.7 -10.7 -14.4 -12.9 -20.0 -11.6 -20.0 -11.0 LEANHOG -14.7 -2.6 20.0 4.9 3.0 3.0 6.2 -1.3 6.2 -20.0 14.4 -20.0 -2.0 -16.4 8.1 -20.0 -20.0 -20.0 -20.0 2.3 10.7 -20.0 2.5 -15.5 9.5 0.7 -9.1 6.0 -10.3 3.0 -6.7 -20.0 -20.0 -20.0 -11.6 20.0 -8.0 -9.1 0.0 12.2 LIVECOW 5.9 -16.4 3.3 3.4 2.1 2.1 4.3 -0.9 4.3 2.5 -0.9 3.1 -0.3 -6.8 -4.1 20.0 7.3 20.0 15.3 -4.7 -2.9 -1.3 0.2 -3.5 -5.5 -0.1 -1.6 1.2 -0.6 3.8 -0.6 11.8 -12.8 3.1 -13.7 11.1 20.0 20.0 20.0 20.0 LUMBER-new -10.0 -20.0 -6.0 3.8 2.3 2.3 4.7 -0.4 4.7 -1.2 -5.7 -4.4 -11.0 -12.9 -12.9 -20.0 -17.8 -20.0 -19.6 -20.0 -13.2 -6.1 -6.2 -19.7 NaN -5.1 -0.5 -2.8 -1.3 -0.9 -4.2 -20.0 3.4 -20.0 -20.0 -20.0 -11.8 -11.3 -4.2 -6.7 MILK 20.0 20.0 15.6 2.6 1.6 1.6 3.3 -0.7 3.3 10.7 -5.1 12.7 -10.7 12.4 7.9 -9.1 -20.0 -20.0 -20.0 11.3 -1.5 20.0 -11.8 20.0 13.7 2.8 5.0 -0.6 6.3 -3.4 5.5 -20.0 20.0 20.0 16.9 1.3 -20.0 -20.0 -19.2 -20.0 MXP -9.0 -11.8 -2.8 -4.0 2.2 -2.3 1.4 0.7 -1.9 18.7 14.9 7.4 19.1 -5.0 3.4 15.4 17.1 16.6 16.6 4.6 12.8 10.6 20.0 2.9 -20.0 2.9 7.3 6.2 4.5 9.3 1.5 20.0 20.0 -14.6 18.9 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -2.3 -20.0 -9.8 1.4 6.0 3.1 4.7 3.6 1.7 11.6 10.4 9.3 12.0 2.8 3.5 -9.5 -10.3 -10.4 -10.6 1.1 7.6 10.4 14.0 3.1 -20.0 0.3 4.2 3.8 3.6 7.4 0.7 -7.8 -9.5 -8.1 -5.6 -3.3 -1.6 -0.1 1.8 -0.5 NIKKEI -16.6 -20.0 2.1 1.5 6.8 3.5 5.3 4.0 1.9 -5.8 10.0 -1.0 12.7 -6.2 3.5 1.7 9.2 4.1 6.9 1.4 13.0 -2.0 19.4 -4.3 -13.4 0.6 -0.6 5.5 -0.8 8.2 -1.7 20.0 -20.0 -20.0 -6.0 9.9 -10.6 -7.1 -4.9 -8.5 NZD 9.8 -7.4 -6.8 -3.0 1.7 -1.7 1.0 0.5 -1.4 11.9 -4.9 11.2 -5.2 -1.5 -8.4 -0.1 0.2 0.1 0.2 -4.7 -5.3 8.3 -4.0 2.0 0.8 -2.3 4.7 -2.6 4.7 -1.6 1.3 4.5 7.9 7.5 -0.4 -2.6 -9.1 -4.8 -1.6 7.2 OAT -0.8 -11.6 -7.0 -2.1 0.3 -1.9 1.4 -1.7 -0.4 -1.0 -0.5 1.3 -0.2 -3.4 -7.5 6.2 6.1 5.6 5.4 -4.7 -2.7 0.5 -1.9 -2.4 2.6 -1.3 -2.2 0.2 -0.5 0.4 -1.0 15.7 -7.4 -4.0 5.9 6.1 -19.9 -20.0 9.0 -0.4 OATIES 20.0 14.0 0.1 4.5 2.7 2.7 5.6 -1.1 5.6 20.0 -13.6 20.0 -16.9 20.0 13.7 20.0 2.4 13.0 7.4 15.0 -4.5 20.0 -13.8 20.0 -20.0 4.6 11.4 0.1 11.9 -2.1 9.6 0.7 20.0 20.0 13.3 -0.3 -15.9 -1.8 -0.9 15.3 OJ 5.2 2.5 8.3 4.6 2.8 2.8 5.8 -1.2 5.8 20.0 10.9 19.5 18.0 20.0 20.0 4.5 12.3 5.5 8.0 14.8 19.3 20.0 20.0 18.0 -20.0 4.7 20.0 7.8 15.5 19.7 8.1 11.5 20.0 14.6 4.3 18.1 6.6 8.7 20.0 20.0 PALLAD -12.1 1.0 10.3 2.0 2.6 1.8 0.9 0.8 1.0 6.4 -4.3 -4.2 -7.9 -5.9 -0.7 -2.3 -2.1 -2.1 -2.0 -3.0 -4.2 -2.1 -10.2 -4.0 13.0 -1.3 1.5 -1.6 -1.1 -4.0 -2.1 6.4 0.3 -7.5 -9.5 -7.2 -20.0 -18.4 -20.0 -11.8 PLAT 1.3 10.6 5.7 3.0 3.8 2.6 1.4 1.2 1.5 12.8 0.9 11.3 -7.6 8.5 5.6 -5.0 -3.8 -4.8 -4.4 6.4 2.4 15.4 -1.5 10.4 11.0 3.6 8.4 2.1 7.1 0.7 5.0 3.0 20.0 7.3 3.9 -4.0 -19.3 -6.5 12.8 7.0 REDWHEAT 20.0 20.0 18.3 3.8 2.3 2.3 4.7 -1.0 4.7 11.8 -5.1 15.0 -15.6 15.7 11.1 -10.1 -1.0 -4.3 -2.1 15.7 -0.5 20.0 -14.6 20.0 -7.3 4.7 5.0 0.2 6.5 -3.0 7.2 -8.8 15.8 20.0 20.0 -3.6 -8.6 -20.0 2.7 -20.0 RICE 20.0 3.0 -5.7 2.3 1.4 1.4 2.9 -0.6 2.9 10.1 4.8 11.4 6.8 11.3 6.4 20.0 20.0 20.0 20.0 8.7 5.3 11.0 5.6 13.1 -7.9 1.5 1.8 0.6 2.6 0.7 2.8 20.0 8.1 20.0 0.0 -1.6 -2.4 -4.3 1.8 3.2 ROBUSTA -20.0 -15.3 -5.8 1.8 1.1 1.1 2.2 -0.5 2.2 -7.0 7.4 -7.5 8.4 -1.8 3.8 20.0 20.0 20.0 20.0 7.2 13.5 -19.0 13.3 -7.1 -20.0 2.5 -1.8 3.5 -2.1 3.5 0.1 20.0 -20.0 -1.4 20.0 20.0 -9.5 -17.2 2.7 4.1 RUSSELL 4.4 -11.9 4.1 1.6 6.9 3.5 5.3 4.0 1.9 9.9 9.3 10.4 8.9 -0.4 -0.8 -6.6 -6.4 -6.6 -6.5 0.8 4.2 11.0 5.6 4.2 -1.8 1.4 4.3 3.0 5.5 3.8 2.6 -1.0 -9.5 0.3 0.2 -10.0 -12.5 -20.0 -13.8 -20.0 SHATZ -4.4 -9.0 -20.0 -1.7 0.2 -1.5 1.1 -1.3 -0.3 0.4 -8.3 -3.8 -8.1 -5.6 -8.3 -20.0 -20.0 -20.0 -20.0 -10.5 -10.8 -3.2 -10.7 -6.8 7.6 -3.2 -1.5 -2.8 -1.6 -2.4 -2.5 -20.0 -11.8 -9.2 -3.4 -8.5 -20.0 -20.0 -16.7 -20.0 SILVER-mini -17.1 14.7 17.2 2.7 3.5 2.4 1.2 1.1 1.3 9.6 8.2 0.9 4.9 5.3 8.2 -6.4 -6.7 -6.7 -6.7 10.4 9.9 6.9 5.7 6.3 2.6 3.6 3.4 3.7 1.9 2.4 2.0 -1.6 8.1 0.6 14.7 14.4 -8.5 -14.0 17.9 5.0 SMI 3.3 -14.8 8.4 1.8 7.8 4.0 6.1 4.6 2.2 14.9 12.2 12.1 10.6 3.1 5.7 -2.6 3.5 0.0 2.4 5.2 7.5 20.0 6.9 9.6 12.5 4.0 11.5 5.4 8.2 4.5 4.3 15.7 0.6 10.6 6.2 -1.6 11.1 -0.6 18.3 -2.0 SOFR 5.3 -16.5 -13.8 -2.2 0.3 -2.0 1.4 -1.8 -0.5 7.0 -3.1 7.1 -3.6 -4.6 -8.6 -3.3 -0.7 -2.2 -1.2 -8.8 -8.2 5.2 -6.2 -2.1 -2.5 -2.4 1.1 -1.9 1.9 -1.2 -0.4 4.4 2.8 2.2 -2.9 -0.3 -9.9 -20.0 9.9 -1.3 SOYBEAN 15.0 11.1 -0.3 3.8 2.3 2.3 4.7 -1.0 4.7 5.9 -9.2 10.3 -6.1 8.7 5.7 -1.5 9.2 0.3 4.0 4.0 -5.4 15.1 -9.3 12.6 -20.0 2.4 3.1 -1.3 7.4 -2.5 6.2 5.2 20.0 10.4 9.5 -14.5 -14.9 -20.0 -12.6 -20.0 SOYMEAL 20.0 20.0 -3.5 2.8 1.7 1.7 3.5 -0.7 3.5 4.4 -9.6 9.0 -9.8 10.3 2.8 0.2 5.9 -2.1 0.4 8.0 -3.6 18.6 -7.3 18.4 -20.0 3.0 2.2 -0.3 5.8 -1.2 5.9 -0.7 20.0 20.0 20.0 -11.2 -20.0 -20.0 -20.0 -20.0 SOYOIL -11.3 -6.1 0.9 2.5 1.5 1.5 3.2 -0.6 3.2 2.5 -11.7 -6.8 -10.4 -10.3 -9.6 -7.5 -0.2 -7.1 -4.8 -10.6 -10.1 -6.7 -10.5 -11.2 -20.0 -3.3 0.1 -2.3 -2.4 -2.0 -3.9 -10.6 -14.9 -20.0 -18.3 -12.7 -20.0 -14.4 -7.3 3.9 SP400 0.8 -15.5 9.9 1.7 7.6 3.9 5.9 4.5 2.1 13.5 12.1 12.4 12.1 0.7 4.6 -5.7 -5.4 -5.4 -5.4 5.9 11.9 17.1 13.3 7.7 -12.2 3.0 7.0 5.1 6.4 5.6 3.3 1.0 -4.0 0.6 5.3 0.1 -13.7 -10.4 -12.4 -20.0 SP500_micro -2.7 -20.0 0.5 1.7 7.7 3.9 6.0 4.5 2.1 14.7 13.9 12.4 14.8 3.1 7.3 -11.2 -11.7 -12.2 -12.2 5.4 14.2 16.3 19.4 6.5 -19.7 2.3 6.8 6.4 5.6 8.9 2.1 -10.4 -8.7 -4.9 -0.0 6.5 -1.4 -3.1 4.6 -3.4 SUGAR11 -5.2 -15.5 -18.0 3.3 2.0 2.0 4.2 -0.8 4.2 -7.4 -13.9 -8.5 -1.6 -14.2 -14.2 1.5 14.5 6.8 11.0 -19.9 -17.5 -6.4 -7.3 -15.4 -20.0 -5.3 -1.3 -4.7 -1.6 -1.9 -4.0 16.1 6.1 -20.0 -20.0 -20.0 20.0 10.5 20.0 20.0 US10 5.7 -14.0 -9.9 -1.8 0.2 -1.6 1.2 -1.4 -0.4 6.1 -3.3 5.9 -5.0 -3.6 -7.1 -4.6 -7.3 -6.0 -6.9 -6.7 -6.9 4.5 -7.4 -1.3 2.4 -1.9 1.3 -1.7 1.8 -1.6 -0.2 -6.5 1.9 2.3 -1.3 0.8 -17.8 -20.0 -2.2 2.8 US10U 4.7 -13.8 -9.7 -2.7 0.3 -2.4 1.8 -2.1 -0.6 8.1 -4.5 8.0 -7.1 -5.8 -10.8 -5.9 -1.7 -4.5 -2.9 -10.1 -10.4 5.7 -11.4 -2.7 0.2 -2.8 1.8 -2.5 2.6 -2.5 -0.4 2.2 1.2 2.2 -1.3 3.0 -17.5 -19.6 18.8 10.6 US2 4.3 -15.3 -17.8 -1.7 0.2 -1.5 1.1 -1.4 -0.4 5.4 -7.4 5.2 -8.0 -4.6 -7.8 -20.0 -20.0 -20.0 -20.0 -9.9 -10.6 2.0 -11.4 -3.8 11.6 -2.4 0.3 -2.3 0.6 -2.1 -0.9 -20.0 -2.0 0.6 -4.4 -6.4 -17.8 -20.0 -12.7 -20.0 US20 4.4 -14.8 -6.7 -1.9 0.2 -1.7 1.3 -1.5 -0.4 5.5 -0.7 5.8 -3.3 -3.8 -7.1 -0.4 -0.7 -0.3 -0.4 -6.2 -6.0 4.8 -6.9 -1.2 -0.9 -1.5 1.7 -1.1 2.4 -1.4 0.2 5.0 2.0 2.2 0.3 5.1 -19.3 -14.7 20.0 16.3 US30 2.8 -13.8 -5.4 -2.3 0.3 -2.0 1.5 -1.8 -0.5 6.2 -2.2 6.1 -5.2 -5.4 -8.9 -1.1 -5.0 -3.5 -4.8 -7.8 -7.5 4.4 -9.0 -2.5 -0.4 -2.1 1.9 -1.6 2.4 -2.0 -0.3 -2.8 0.2 0.5 -0.2 6.5 -17.5 -13.1 19.9 19.4 US5 5.6 -15.0 -14.0 -1.9 0.2 -1.7 1.2 -1.5 -0.4 6.3 -6.1 6.0 -6.7 -4.4 -7.9 -8.9 -10.0 -9.4 -9.7 -8.4 -8.7 4.3 -8.6 -2.1 5.4 -2.2 1.1 -2.0 1.5 -1.7 -0.5 -11.2 1.2 2.2 -2.8 -2.3 -15.5 -20.0 -6.6 -7.6 VIX -16.4 7.3 11.3 -5.5 -6.5 -5.9 -8.5 -8.3 -7.2 -18.0 -20.0 -19.9 -20.0 -19.0 -17.3 -20.0 -20.0 -20.0 -20.0 -14.4 -17.2 -20.0 -20.0 -19.5 NaN -6.2 -7.4 -6.8 -9.5 -10.0 -8.2 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 20.0 20.0 17.9 3.6 2.2 2.2 4.6 -0.9 4.6 14.2 2.3 16.2 -14.4 16.3 11.6 -18.5 -13.7 -17.6 -15.6 16.8 1.7 20.0 -12.1 20.0 1.5 4.5 7.4 0.6 8.2 -2.1 7.6 -20.0 20.0 20.0 20.0 -6.7 -6.8 -20.0 -0.3 -20.0 End of report for caleb_strategy_v3