******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240513_204003 produced at 2024-05-13 21:37:35.044345 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.73 0.0 0.00 0.00 0.00 0.00 -10.45 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False True 0.03 -0.08 -0.42 0.0 0.00 -0.08 -0.08 -0.08 -15.57 16.0 -3 -3 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.37 0.0 0.00 0.00 0.00 0.00 -11.17 24.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.46 -0.37 0.0 0.77 -0.77 -0.46 -0.38 -4.85 10.0 -6 -5 caleb_strategy_v3 VIX False False 0.00 -0.25 -0.28 0.0 999.00 -999.00 -0.25 -0.26 -60.91 999999999.0 -54 -56 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 CHF False False 0.04 -0.20 -0.15 0.0 0.52 -0.52 -0.20 -0.16 -3.76 13.0 -5 -4 caleb_strategy_v3 CAD False False 0.02 -0.04 -0.08 0.0 0.62 -0.62 -0.04 -0.04 -3.75 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 -2.41 25.0 -9 -9 caleb_strategy_v3 JPY False False 0.02 -0.05 -0.05 0.0 0.40 -0.40 -0.05 -0.05 -2.30 17.0 -2 -2 caleb_strategy_v3 LEANHOG False False 0.01 -0.02 -0.05 0.0 0.15 -0.15 -0.02 -0.03 -4.16 13.0 -2 -3 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.05 0.0 0.01 -0.01 0.00 0.00 -10.92 3.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.01 -0.05 0.0 0.26 -0.26 -0.01 -0.03 -6.72 36.0 -2 -4 caleb_strategy_v3 BOBL False False 0.04 -0.26 -0.05 0.0 0.70 -0.70 -0.26 -0.26 -1.45 19.0 -7 -7 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.04 0.0 0.09 -0.09 -0.06 -0.06 -1.48 3.0 -2 -2 caleb_strategy_v3 US10 False False 0.03 0.00 -0.04 0.0 0.54 -0.54 0.00 0.00 -1.12 17.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.04 0.0 0.29 -0.29 0.00 0.00 -1.19 8.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.03 0.0 0.09 -0.09 -0.01 -0.01 -4.31 12.0 -2 -2 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.03 0.0 0.12 -0.12 -0.03 -0.03 -2.25 11.0 -3 -3 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.03 -0.03 0.0 0.25 -0.25 -0.03 -0.03 -2.58 23.0 -3 -3 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.03 0.0 0.15 -0.15 -0.02 -0.02 -10.78 51.0 -6 -6 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -15.03 59.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.00 -0.03 0.0 0.50 -0.50 0.00 0.00 -1.10 22.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.04 -2.07 10.0 -5 -5 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.02 0.0 0.37 -0.37 -0.01 -0.01 -2.18 48.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 -0.02 -0.02 0.0 0.11 -0.11 -0.02 -0.02 -3.17 18.0 -3 -3 caleb_strategy_v3 RUSSELL False False 0.00 -0.05 -0.02 0.0 0.21 -0.21 -0.05 -0.05 -5.64 68.0 -17 -17 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.02 0.0 0.09 -0.09 -0.02 -0.02 -0.91 4.0 -1 -1 caleb_strategy_v3 EUR False False 0.04 -0.12 -0.02 0.0 0.55 -0.55 -0.12 -0.12 -0.38 14.0 -3 -3 caleb_strategy_v3 US10U False False 0.03 -0.16 -0.02 0.0 0.42 -0.42 -0.16 -0.16 -0.57 13.0 -5 -5 caleb_strategy_v3 BUND False False 0.04 0.00 -0.02 0.0 0.41 -0.41 0.00 0.00 -0.61 10.0 0 0 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.04 -0.02 0.0 0.00 -0.04 -0.04 -0.04 -12.70 26.0 -20 -20 caleb_strategy_v3 BTP False False 0.04 0.04 -0.01 0.0 0.37 -0.37 0.04 0.04 -0.23 10.0 1 1 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.12 -0.12 -0.02 -0.02 -0.49 7.0 -1 -1 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.42 2.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.53 9.0 0 0 caleb_strategy_v3 OAT False False 0.04 0.04 -0.01 0.0 0.40 -0.40 0.04 0.04 -0.36 10.0 1 1 caleb_strategy_v3 BUXL False False 0.04 -0.08 -0.01 0.0 0.16 -0.16 -0.08 -0.08 -0.32 4.0 -2 -2 caleb_strategy_v3 SP400 False False 0.09 -0.09 -0.01 0.0 0.18 -0.18 -0.09 -0.09 -0.12 2.0 -1 -1 caleb_strategy_v3 US30 False False 0.04 0.00 -0.01 0.0 0.22 -0.22 0.00 0.00 -0.17 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 -1.49 66.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 0.00 0.0 0.37 -0.37 0.00 0.00 0.05 21.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.07 6.0 0 0 caleb_strategy_v3 US20 False True 0.03 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.10 9.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 0.00 0.0 0.08 -0.08 0.00 0.00 0.24 8.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.03 -0.00 0.0 0.38 -0.38 -0.03 -0.01 -0.36 56.0 -4 -2 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 -0.00 0.0 0.22 -0.22 0.00 0.00 -0.06 23.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.51 -0.51 0.00 0.00 0.02 26.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 0.00 0.00 0.0 0.10 -0.10 0.00 0.00 0.25 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 0.47 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 2.06 2.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.06 -0.06 0.00 0.00 0.43 5.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.12 0.01 0.0 999.00 -999.00 0.12 0.12 0.43 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 1.08 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 3.56 4.0 0 0 caleb_strategy_v3 PLAT False False 0.01 0.01 0.03 0.0 0.15 -0.15 0.01 0.03 2.09 10.0 1 2 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.05 -0.05 0.00 0.00 2.47 3.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.04 0.05 0.0 0.34 -0.34 0.04 0.04 2.23 17.0 2 2 caleb_strategy_v3 EUROSTX False False 0.02 0.18 0.09 0.0 0.32 -0.32 0.18 0.18 5.42 20.0 11 11 caleb_strategy_v3 DX False True 0.03 0.00 0.10 0.0 0.00 0.00 0.00 0.00 3.25 999999999.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.04 0.10 0.0 0.11 -0.11 0.04 0.04 4.62 5.0 2 2 caleb_strategy_v3 SMI False True 0.04 0.26 0.11 0.0 0.26 0.00 0.26 0.26 2.96 9.0 7 7 caleb_strategy_v3 DAX False False 0.01 0.06 0.12 0.0 0.34 -0.34 0.06 0.07 19.41 58.0 10 12 caleb_strategy_v3 CAC True False 0.03 0.00 0.13 0.0 0.00 0.00 0.00 0.00 5.16 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 4.09 999999999.0 4 4 caleb_strategy_v3 MXP False False 0.01 0.33 0.49 0.0 0.52 -0.52 0.33 0.36 56.76 60.0 38 42 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 16.9 Shocked risk 48.5 Sum abs risk 50.0 Leverage 5.06 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3425702.14, 'annual_cash_vol_target': 856425.535, 'daily_cash_vol_target': 53526.5959375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6614 0.6334 10.1339 BITCOIN 1772.5096 63180.0000 2.8055 44.8879 BOBL 0.2577 116.8100 0.2206 3.5297 BTP 0.5868 117.6100 0.4989 7.9830 BUND 0.5201 130.8600 0.3975 6.3595 BUXL 1.2277 129.9600 0.9447 15.1153 CAC 51.2328 8160.0000 0.6279 10.0456 CAD 0.0028 0.7318 0.3881 6.2097 CANOLA 7.7790 687.5000 1.1315 18.1039 CHF 0.0048 1.1054 0.4306 6.8891 COCOA 462.5231 6706.0000 6.8972 110.3545 COFFEE 4.2298 194.6000 2.1736 34.7777 COPPER 0.0537 4.7630 1.1277 18.0434 CORN 5.2454 492.2500 1.0656 17.0497 COTTON2 1.3703 77.6300 1.7652 28.2437 CRUDE_W 0.8685 75.9800 1.1430 18.2884 DAX 134.1431 18843.0000 0.7119 11.3904 DOW 243.1047 39558.0000 0.6146 9.8328 DX 0.3461 105.1200 0.3292 5.2677 EUR 0.0043 1.0803 0.3936 6.2983 EURIBOR-ICE 0.0495 97.4050 0.0508 0.8130 EUROSTX 38.2009 5069.0000 0.7536 12.0579 FEEDCOW 2.0471 252.3750 0.8111 12.9780 GASOIL 10.2384 757.0000 1.3525 21.6400 GASOLINE 0.0360 2.4736 1.4540 23.2637 GAS_US_mini 0.0819 2.5750 3.1800 50.8794 GBP 0.0057 1.2557 0.4546 7.2743 GOLD_micro 20.2608 2342.6000 0.8649 13.8381 HEATOIL 0.0322 2.4732 1.3033 20.8534 JGB-SGX-mini 0.2195 143.9100 0.1525 2.4403 JPY 0.0000 0.0064 0.7474 11.9579 LEANHOG 1.1977 99.3000 1.2061 19.2983 LIVECOW 1.3831 173.5500 0.7969 12.7509 LUMBER-new 7.0786 540.0000 1.3109 20.9738 MILK 0.2616 20.2300 1.2929 20.6862 MXP 0.0004 0.0592 0.6140 9.8244 NASDAQ_micro 158.0112 18287.5000 0.8640 13.8246 NIKKEI 382.1785 38195.0000 1.0006 16.0096 NZD 0.0038 0.6016 0.6243 9.9883 OAT 0.5181 126.1100 0.4108 6.5731 OATIES 5.9438 411.2500 1.4453 23.1247 OJ 5.3113 404.2000 1.3140 21.0246 PALLAD 22.6186 965.5000 2.3427 37.4829 PLAT 14.2120 1009.7000 1.4075 22.5207 REDWHEAT 12.0924 711.5000 1.6996 27.1931 RICE 0.1850 15.5000 1.1934 19.0938 ROBUSTA 75.0052 3334.0000 2.2497 35.9953 RUSSELL 20.9950 2075.4000 1.0116 16.1858 SHATZ 0.0785 105.2250 0.0746 1.1938 SILVER-mini 0.4638 28.6000 1.6215 25.9448 SMI 83.3083 11717.0000 0.7110 11.3761 SOFR 0.0628 96.0550 0.0654 1.0459 SOYBEAN 10.9866 1211.5000 0.9069 14.5097 SOYMEAL 5.2078 365.9000 1.4233 22.7724 SOYOIL 0.7332 45.5800 1.6085 25.7360 SP400 23.7462 3009.5000 0.7890 12.6247 SP500_micro 34.8301 5244.7500 0.6641 10.6255 SUGAR11 0.3078 18.6500 1.6504 26.4068 US10 0.3849 108.7812 0.3538 5.6614 US10U 0.5052 111.8438 0.4517 7.2273 US2 0.1000 101.6484 0.0984 1.5742 US20 0.7382 116.2812 0.6348 10.1571 US30 1.0932 122.7812 0.8904 14.2461 US5 0.2483 105.6328 0.2351 3.7608 VIX 0.4338 15.6500 2.7722 44.3550 WHEAT 10.7729 727.5000 1.4808 23.6931 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 661.45 0.63 418.94 1.00 418.94 53526.6 127.77 1.42 18.18 BITCOIN 63.18 2.81 177.25 1.00 177.25 53526.6 301.98 -4.60 -138.79 BOBL 1168.10 0.22 257.69 1.08 277.75 53526.6 192.72 -7.40 -142.61 BTP 1176.10 0.50 586.80 1.08 632.48 53526.6 84.63 -0.78 -6.62 BUND 1308.60 0.40 520.13 1.08 560.62 53526.6 95.48 -6.26 -59.77 BUXL 1299.60 0.94 1227.74 1.08 1323.32 53526.6 40.45 -7.79 -31.49 CAC 816.00 0.63 512.33 1.08 552.21 53526.6 96.93 15.61 151.31 CAD 731.85 0.39 284.03 1.00 284.03 53526.6 188.45 -7.66 -144.35 CANOLA 137.50 1.13 155.58 0.73 113.69 53526.6 470.82 -9.41 -443.12 CHF 1381.75 0.43 594.93 1.00 594.93 53526.6 89.97 -16.10 -144.82 COCOA 670.60 6.90 4625.23 1.00 4625.23 53526.6 11.57 0.91 1.05 COFFEE 729.75 2.17 1586.19 1.00 1586.19 53526.6 33.75 -1.84 -6.20 COPPER 1190.75 1.13 1342.82 1.00 1342.82 53526.6 39.86 9.47 37.73 CORN 246.12 1.07 262.27 1.00 262.27 53526.6 204.09 -8.68 -177.24 COTTON2 388.15 1.77 685.17 1.00 685.17 53526.6 78.12 -13.45 -105.11 CRUDE_W 759.80 1.14 868.47 1.00 868.47 53526.6 61.63 6.92 42.63 DAX 188.43 0.71 134.14 1.08 144.59 53526.6 370.21 15.37 569.06 DOW 197.79 0.61 121.55 1.00 121.55 53526.6 440.36 -1.45 -64.01 DX 1051.20 0.33 346.09 1.00 346.09 53526.6 154.66 8.09 125.17 EUR 1350.38 0.39 531.57 1.00 531.57 53526.6 100.70 -1.46 -14.71 EURIBOR-ICE 2435.12 0.05 123.73 1.08 133.36 53526.6 401.37 -3.54 -142.14 EUROSTX 506.90 0.75 382.01 1.08 411.75 53526.6 130.00 12.23 158.94 FEEDCOW 1261.88 0.81 1023.54 1.00 1023.54 53526.6 52.30 -6.89 -36.05 GASOIL 757.00 1.35 1023.84 1.00 1023.84 53526.6 52.28 -4.03 -21.04 GASOLINE 1038.91 1.45 1510.56 1.00 1510.56 53526.6 35.43 2.78 9.85 GAS_US_mini 64.38 3.18 204.71 1.00 204.71 53526.6 261.48 -4.49 -117.30 GBP 784.81 0.45 356.81 1.00 356.81 53526.6 150.01 -2.84 -42.58 GOLD_micro 234.26 0.86 202.61 1.00 202.61 53526.6 264.19 -0.40 -10.50 HEATOIL 1038.74 1.30 1353.83 1.00 1353.83 53526.6 39.54 -8.63 -34.13 JGB-SGX-mini 143910.00 0.15 21948.59 0.01 141.09 53526.6 379.37 -3.79 -143.82 JPY 804.56 0.75 601.31 1.00 601.31 53526.6 89.02 -9.98 -88.81 LEANHOG 397.20 1.21 479.08 1.00 479.08 53526.6 111.73 -6.13 -68.50 LIVECOW 694.20 0.80 553.23 1.00 553.23 53526.6 96.75 6.97 67.40 LUMBER-new 148.50 1.31 194.66 1.00 194.66 53526.6 274.97 -18.56 -510.29 MILK 404.60 1.29 523.10 1.00 523.10 53526.6 102.33 1.98 20.29 MXP 295.85 0.61 181.66 1.00 181.66 53526.6 294.66 13.13 386.74 NASDAQ_micro 365.75 0.86 316.02 1.00 316.02 53526.6 169.38 -6.56 -111.15 NIKKEI 38195.00 1.00 38217.85 0.01 245.68 53526.6 217.87 -2.85 -62.04 NZD 601.65 0.62 375.59 1.00 375.59 53526.6 142.51 0.14 2.02 OAT 1261.10 0.41 518.08 1.08 558.42 53526.6 95.85 -1.11 -10.68 OATIES 205.62 1.45 297.19 1.00 297.19 53526.6 180.11 4.70 84.65 OJ 606.30 1.31 796.70 1.00 796.70 53526.6 67.19 17.17 115.36 PALLAD 965.50 2.34 2261.86 1.00 2261.86 53526.6 23.66 -5.16 -12.21 PLAT 504.85 1.41 710.60 1.00 710.60 53526.6 75.33 8.13 61.21 REDWHEAT 355.75 1.70 604.62 1.00 604.62 53526.6 88.53 2.08 18.37 RICE 310.00 1.19 369.94 1.00 369.94 53526.6 144.69 10.12 146.47 ROBUSTA 333.40 2.25 750.05 1.00 750.05 53526.6 71.36 -0.68 -4.86 RUSSELL 103.77 1.01 104.98 1.00 104.98 53526.6 509.90 -3.34 -170.05 SHATZ 1052.25 0.07 78.51 1.08 84.62 53526.6 632.52 -17.42 -1101.87 SILVER-mini 715.00 1.62 1159.41 1.00 1159.41 53526.6 46.17 6.85 31.62 SMI 1171.70 0.71 833.08 1.10 919.22 53526.6 58.23 14.88 86.65 SOFR 2401.38 0.07 156.97 1.00 156.97 53526.6 341.00 -5.04 -171.96 SOYBEAN 605.75 0.91 549.33 1.00 549.33 53526.6 97.44 -5.40 -52.58 SOYMEAL 365.90 1.42 520.78 1.00 520.78 53526.6 102.78 -5.55 -57.03 SOYOIL 273.48 1.61 439.89 1.00 439.89 53526.6 121.68 -18.28 -222.47 SP400 3009.50 0.79 2374.62 1.00 2374.62 53526.6 22.54 -1.58 -3.57 SP500_micro 262.24 0.66 174.15 1.00 174.15 53526.6 307.36 -3.05 -93.60 SUGAR11 208.88 1.65 344.74 1.00 344.74 53526.6 155.27 -9.61 -149.28 US10 1087.81 0.35 384.91 1.00 384.91 53526.6 139.06 -6.36 -88.39 US10U 1118.44 0.45 505.21 1.00 505.21 53526.6 105.95 -4.24 -44.91 US2 2032.97 0.10 200.02 1.00 200.02 53526.6 267.61 -13.25 -354.60 US20 1162.81 0.63 738.18 1.00 738.18 53526.6 72.51 -1.14 -8.25 US30 1227.81 0.89 1093.22 1.00 1093.22 53526.6 48.96 -2.75 -13.47 US5 1056.33 0.24 248.29 1.00 248.29 53526.6 215.58 -8.82 -190.08 VIX 156.50 2.77 433.85 1.00 433.85 53526.6 123.38 -20.00 -246.75 WHEAT 363.75 1.48 538.65 1.00 538.65 53526.6 99.37 1.89 18.81 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 18.176 0.010 2.5 0.472 BITCOIN -138.794 0.043 2.5 -15.030 BOBL -142.607 0.004 2.5 -1.446 BTP -6.616 0.014 2.5 -0.226 BUND -59.774 0.004 2.5 -0.606 BUXL -31.493 0.004 2.5 -0.319 CAC 151.313 0.014 2.5 5.161 CAD -144.355 0.010 2.5 -3.745 CANOLA -443.122 0.010 2.5 -10.781 CHF -144.824 0.010 2.5 -3.758 COCOA 1.049 0.009 2.5 0.022 COFFEE -6.200 0.005 2.5 -0.072 COPPER 37.731 0.043 2.5 4.086 CORN -177.243 0.010 2.5 -4.312 COTTON2 -105.110 0.009 2.5 -2.251 CRUDE_W 42.626 0.043 2.5 4.616 DAX 569.062 0.014 2.5 19.410 DOW -64.011 0.009 2.5 -1.488 DX 125.171 0.010 2.5 3.248 EUR -14.709 0.010 2.5 -0.382 EURIBOR-ICE -142.145 0.014 2.5 -4.848 EUROSTX 158.943 0.014 2.5 5.421 FEEDCOW -36.049 0.013 2.5 -1.195 GASOIL -21.044 0.017 2.5 -0.912 GASOLINE 9.850 0.017 2.5 0.427 GAS_US_mini -117.299 0.043 2.5 -12.702 GBP -42.580 0.010 2.5 -1.105 GOLD_micro -10.503 0.014 2.5 -0.358 HEATOIL -34.126 0.017 2.5 -1.479 JGB-SGX-mini -143.817 0.043 2.5 -15.573 JPY -88.814 0.010 2.5 -2.304 LEANHOG -68.495 0.024 2.5 -4.163 LIVECOW 67.399 0.013 2.5 2.233 LUMBER-new -510.294 0.009 2.5 -10.922 MILK 20.288 0.009 2.5 0.435 MXP 386.740 0.059 2.5 56.763 NASDAQ_micro -111.150 0.009 2.5 -2.583 NIKKEI -62.035 0.043 2.5 -6.718 NZD 2.020 0.010 2.5 0.052 OAT -10.680 0.014 2.5 -0.364 OATIES 84.651 0.010 2.5 2.059 OJ 115.361 0.009 2.5 2.471 PALLAD -12.209 0.014 2.5 -0.416 PLAT 61.208 0.014 2.5 2.088 REDWHEAT 18.374 0.005 2.5 0.244 RICE 146.467 0.010 2.5 3.563 ROBUSTA -4.863 0.005 2.5 -0.057 RUSSELL -170.054 0.013 2.5 -5.635 SHATZ -1101.871 0.004 2.5 -11.173 SILVER-mini 31.616 0.014 2.5 1.078 SMI 86.646 0.014 2.5 2.955 SOFR -171.961 0.024 2.5 -10.451 SOYBEAN -52.582 0.004 2.5 -0.489 SOYMEAL -57.033 0.004 2.5 -0.530 SOYOIL -222.466 0.004 2.5 -2.071 SP400 -3.569 0.013 2.5 -0.118 SP500_micro -93.600 0.009 2.5 -2.175 SUGAR11 -149.280 0.009 2.5 -3.175 US10 -88.393 0.005 2.5 -1.120 US10U -44.911 0.005 2.5 -0.569 US2 -354.599 0.005 2.5 -4.493 US20 -8.249 0.005 2.5 -0.105 US30 -13.469 0.005 2.5 -0.171 US5 -190.080 0.005 2.5 -2.409 VIX -246.753 0.099 2.5 -60.909 WHEAT 18.807 0.005 2.5 0.249 ===================== Position diags ===================== AUD 3.32 BITCOIN 32.70 BOBL 1.95 BTP 2.89 BUND 0.97 BUXL 0.41 CAC 3.31 CAD 4.89 CANOLA 11.45 CHF 2.33 COCOA 0.25 COFFEE 0.39 COPPER 4.32 CORN 4.97 COTTON2 1.67 CRUDE_W 6.67 DAX 12.63 DOW 10.23 DX 4.01 EUR 2.61 EURIBOR-ICE 13.69 EUROSTX 4.43 FEEDCOW 1.73 GASOIL 2.27 GASOLINE 1.54 GAS_US_mini 28.31 GBP 3.89 GOLD_micro 9.01 HEATOIL 1.71 JGB-SGX-mini 41.08 JPY 2.31 LEANHOG 6.79 LIVECOW 3.21 LUMBER-new 5.89 MILK 2.19 MXP 43.25 NASDAQ_micro 3.94 NIKKEI 23.59 NZD 3.70 OAT 3.27 OATIES 4.38 OJ 1.44 PALLAD 0.81 PLAT 2.57 REDWHEAT 1.17 RICE 3.52 ROBUSTA 0.83 RUSSELL 16.90 SHATZ 6.41 SILVER-mini 1.57 SMI 1.99 SOFR 20.72 SOYBEAN 0.91 SOYMEAL 0.96 SOYOIL 1.13 SP400 0.75 SP500_micro 7.14 SUGAR11 3.30 US10 1.76 US10U 1.34 US2 3.39 US20 0.92 US30 0.62 US5 2.73 VIX 30.45 WHEAT 1.32 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.5 0.1 0.8 0.0 0 BITCOIN -15.0 -18.3 -11.8 0.0 0 BOBL -1.4 -1.6 -1.3 -7.0 -7 BTP -0.2 -0.5 0.1 1.0 1 BUND -0.6 -0.7 -0.5 0.0 0 BUXL -0.3 -0.4 -0.3 -2.0 -2 CAC 5.2 4.8 5.5 0.0 0 CAD -3.7 -4.2 -3.3 -2.0 -2 CANOLA -10.8 -11.9 -9.6 -6.0 -6 CHF -3.8 -4.0 -3.5 -5.0 -5 COCOA 0.0 -0.0 0.0 0.0 0 COFFEE -0.1 -0.1 -0.0 0.0 0 COPPER 4.1 3.7 4.5 4.0 4 CORN -4.3 -4.8 -3.8 -2.0 -2 COTTON2 -2.3 -2.4 -2.1 -3.0 -3 CRUDE_W 4.6 3.9 5.3 2.0 2 DAX 19.4 18.1 20.7 10.0 10 DOW -1.5 -2.5 -0.5 0.0 0 DX 3.2 2.8 3.6 NaN 0 EUR -0.4 -0.6 -0.1 -3.0 -3 EURIBOR-ICE -4.8 -6.2 -3.5 -6.0 -6 EUROSTX 5.4 5.0 5.9 11.0 11 FEEDCOW -1.2 -1.4 -1.0 0.0 0 GASOIL -0.9 -1.1 -0.7 -1.0 -1 GASOLINE 0.4 0.3 0.6 4.0 4 GAS_US_mini -12.7 -15.5 -9.9 -20.0 -20 GBP -1.1 -1.5 -0.7 0.0 0 GOLD_micro -0.4 -1.3 0.5 -4.0 -4 HEATOIL -1.5 -1.7 -1.3 -2.0 -2 JGB-SGX-mini -15.6 -19.7 -11.5 -3.0 -3 JPY -2.3 -2.5 -2.1 -2.0 -2 LEANHOG -4.2 -4.8 -3.5 -2.0 -2 LIVECOW 2.2 1.9 2.6 2.0 2 LUMBER-new -10.9 -11.5 -10.3 NaN 0 MILK 0.4 0.2 0.7 NaN 0 MXP 56.8 52.4 61.1 38.0 38 NASDAQ_micro -2.6 -3.0 -2.2 -3.0 -3 NIKKEI -6.7 -9.1 -4.4 -2.0 -2 NZD 0.1 -0.3 0.4 0.0 0 OAT -0.4 -0.7 -0.0 1.0 1 OATIES 2.1 1.6 2.5 NaN 0 OJ 2.5 2.3 2.6 NaN 0 PALLAD -0.4 -0.5 -0.3 0.0 0 PLAT 2.1 1.8 2.3 1.0 1 REDWHEAT 0.2 0.1 0.4 0.0 0 RICE 3.6 3.2 3.9 NaN 0 ROBUSTA -0.1 -0.1 0.0 0.0 0 RUSSELL -5.6 -7.3 -3.9 -17.0 -17 SHATZ -11.2 -11.8 -10.5 NaN 0 SILVER-mini 1.1 0.9 1.2 0.0 0 SMI 3.0 2.8 3.2 7.0 7 SOFR -10.5 -12.5 -8.4 NaN 0 SOYBEAN -0.5 -0.6 -0.4 -1.0 -1 SOYMEAL -0.5 -0.6 -0.4 0.0 0 SOYOIL -2.1 -2.2 -2.0 -5.0 -5 SP400 -0.1 -0.2 -0.0 -1.0 -1 SP500_micro -2.2 -2.9 -1.5 -1.0 -1 SUGAR11 -3.2 -3.5 -2.8 -3.0 -3 US10 -1.1 -1.3 -0.9 0.0 0 US10U -0.6 -0.7 -0.4 -5.0 -5 US2 -4.5 -4.8 -4.2 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 -2.1 -9.0 -9 VIX -60.9 -64.0 -57.9 -54.0 -54 WHEAT 0.2 0.1 0.4 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 0.1 -0.0 0.2 0.4 0.4 0.1 -0.6 -0.3 -0.2 -0.0 BITCOIN -0.5 -0.5 0.2 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 0.4 -0.0 -0.2 -0.2 -0.4 -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 -0.1 -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 -0.1 -0.0 -0.1 -0.0 -0.2 -0.2 -0.3 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 0.1 0.0 0.2 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.8 -0.3 -0.1 0.3 0.6 -0.3 -0.3 0.6 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 0.2 -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 -0.3 0.3 0.3 -0.7 -0.7 -0.2 -0.2 CAC 0.1 -0.6 0.5 0.0 0.1 0.2 0.1 0.3 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 0.2 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 -0.1 0.2 0.0 -0.1 -0.4 -0.5 -0.1 -0.3 CANOLA 0.4 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 0.1 -0.2 0.0 -1.1 0.5 0.2 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 -0.4 -0.1 0.1 -0.1 0.0 -0.2 0.0 -0.1 -0.0 -1.1 0.1 0.0 -0.6 -0.6 -0.0 -0.6 0.2 -0.5 COCOA -0.6 -0.6 -0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.0 0.3 0.3 0.4 0.4 0.0 0.1 -0.1 0.2 -0.0 -2.0 0.0 -0.0 0.1 -0.0 0.1 0.0 1.1 -0.4 -0.5 0.6 0.6 0.2 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 -0.6 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 -0.0 -0.1 -0.1 -0.1 0.2 0.2 0.2 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 0.5 0.4 0.6 0.0 0.0 0.1 0.1 -0.0 0.1 0.2 -0.2 0.2 -0.7 0.2 0.1 -0.4 -0.2 -0.4 -0.3 0.1 -0.1 0.2 -0.5 0.2 -2.2 0.0 0.1 -0.1 0.1 -0.3 0.1 -1.1 0.5 0.5 0.4 -0.5 -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 -0.1 -0.2 -2.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.4 -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 -0.1 0.2 -0.2 0.6 -0.1 0.1 0.3 0.2 0.3 0.3 0.0 0.1 -0.1 0.4 -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 0.1 -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 0.2 -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 0.1 0.4 0.6 0.6 -0.0 0.2 0.1 0.6 DOW 0.3 -0.6 -0.2 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.3 0.2 0.5 0.0 -0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.1 0.2 0.4 0.1 -1.7 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 -0.2 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 -0.0 0.6 0.6 0.5 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 0.1 -0.1 0.1 -0.1 0.0 -0.4 0.3 0.4 0.1 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 -0.3 -0.1 -0.0 -0.7 -0.7 0.2 0.4 EUROSTX -0.0 -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 0.2 -0.2 0.1 0.1 0.3 0.1 0.3 0.1 0.5 -0.1 0.4 0.6 0.6 -0.5 0.2 -0.6 0.4 FEEDCOW 0.2 -0.6 -0.0 0.0 0.0 0.1 0.1 -0.0 0.1 -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 -0.0 -0.0 -0.0 0.1 -0.0 -1.1 -0.5 0.0 -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 -0.5 -0.4 -0.2 -0.5 -0.3 -0.7 -0.6 GASOLINE -0.6 -0.2 0.3 -0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.2 0.4 -0.2 0.6 -0.2 0.1 0.4 0.3 0.4 0.2 0.0 0.1 -0.2 0.4 -0.2 -2.7 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.0 -0.5 -0.3 -0.1 0.2 0.7 0.7 0.7 0.7 GAS_US_mini 0.5 0.5 0.1 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 -0.5 0.2 -0.7 0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.0 -0.2 0.1 -0.5 0.1 2.7 -0.0 0.1 -0.2 0.1 -0.4 0.0 -1.1 0.5 0.6 -0.1 -0.6 -0.5 -0.2 -0.7 -0.3 GBP 0.2 -0.3 -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 0.0 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 -0.0 -0.1 0.6 0.6 -0.5 -0.5 -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 0.2 -0.2 -2.7 -0.1 -0.0 0.0 -0.1 0.2 -0.1 0.3 -0.1 -0.4 -0.6 -0.4 0.5 0.2 0.3 0.0 JGB-SGX-mini -0.1 -0.6 -0.3 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 0.4 0.3 0.3 0.3 -0.1 -0.0 -0.1 0.0 -0.1 -1.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 -0.3 -0.2 -0.2 -0.1 -0.5 -0.3 0.0 0.4 JPY 0.4 -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 0.0 -0.4 -0.5 -0.4 -0.7 -0.4 -0.7 -0.4 LEANHOG -0.5 -0.1 0.6 0.1 0.1 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 0.1 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 -0.5 0.6 -0.3 -0.3 -0.0 0.4 LIVECOW 0.2 -0.5 0.1 0.0 0.0 0.1 0.1 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.4 0.1 0.4 0.3 -0.1 -0.0 -0.0 0.0 -0.0 -0.7 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.6 -0.3 0.0 -0.5 0.4 0.7 0.7 0.7 0.7 LUMBER-new -0.2 -0.7 -0.2 0.1 0.0 0.1 0.1 -0.0 0.1 0.1 -0.2 -0.0 -0.5 -0.2 -0.2 -0.5 -0.4 -0.5 -0.5 -0.2 -0.2 -0.0 -0.2 -0.2 NaN -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -1.2 0.2 -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 1.9 0.0 0.0 -0.0 0.1 -0.1 0.1 -1.1 0.5 0.6 0.6 0.1 -0.7 -0.7 -0.6 -0.7 MXP -0.2 -0.4 -0.0 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.2 0.4 0.1 0.7 -0.0 0.0 0.3 0.3 0.3 0.3 0.1 0.1 0.1 0.5 0.0 -2.7 0.0 0.1 0.2 0.1 0.3 0.0 1.1 0.5 -0.4 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro 0.1 -0.6 -0.3 0.0 0.0 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 -0.2 -0.2 -0.1 -0.1 0.0 0.0 -0.0 NIKKEI -0.4 -0.6 0.0 0.0 0.0 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 0.2 -0.0 0.3 -0.0 1.1 -0.5 -0.6 -0.2 0.3 -0.3 -0.2 -0.2 -0.3 NZD 0.4 -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 -0.0 -0.1 0.1 -0.1 0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 0.2 0.2 0.0 -0.1 -0.3 -0.2 -0.0 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 -0.2 0.2 0.2 -0.7 -0.7 0.3 -0.0 OATIES 0.6 0.6 0.1 0.0 0.0 0.1 0.1 -0.0 0.1 0.2 -0.3 0.2 -0.6 0.2 0.2 0.4 0.1 0.3 0.2 0.2 -0.0 0.2 -0.3 0.2 -2.7 0.1 0.2 0.0 0.2 -0.1 0.1 0.0 0.5 0.6 0.6 0.1 -0.5 -0.1 -0.0 0.5 OJ 0.3 0.1 0.2 0.1 0.0 0.1 0.1 -0.0 0.1 0.2 0.3 0.2 0.7 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 0.6 0.1 0.6 0.5 0.6 0.3 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 0.0 -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 0.1 0.4 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 0.2 -0.0 0.1 1.5 0.0 0.1 0.1 0.1 0.0 0.1 0.2 0.5 0.3 0.2 -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 -0.5 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 0.1 0.0 0.1 -0.1 0.1 -0.5 0.5 0.6 0.6 -0.1 -0.3 -0.7 0.1 -0.7 RICE 0.6 0.2 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 0.3 0.1 0.1 0.4 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 -0.0 -0.1 -0.1 0.0 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 -0.2 0.6 0.6 -0.3 -0.6 0.1 0.1 RUSSELL 0.2 -0.4 0.2 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 0.1 -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 -0.4 -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 -0.4 -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 0.2 -0.5 0.3 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.3 0.1 0.4 0.1 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 0.1 0.8 0.0 0.3 0.2 -0.1 0.4 -0.0 0.6 -0.1 SOFR 0.3 -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 0.1 -0.1 0.1 -0.2 0.1 -2.7 0.0 0.0 -0.0 0.1 -0.1 0.1 0.3 0.5 0.4 0.3 -0.4 -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 -0.2 0.1 -0.3 0.1 0.0 0.0 0.1 -0.0 0.0 0.1 -0.0 0.1 -0.2 0.2 -2.7 0.0 0.0 -0.0 0.0 -0.0 0.1 -0.0 0.5 0.6 0.6 -0.3 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.2 -0.2 0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.3 -0.0 -0.4 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.6 -0.1 -0.6 -0.6 -0.4 -0.7 -0.5 -0.3 0.1 SP400 0.2 -0.5 0.4 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 -1.7 0.0 0.1 0.1 0.1 0.2 0.0 0.1 -0.1 0.1 0.2 -0.0 -0.4 -0.3 -0.4 -0.7 SP500_micro 0.1 -0.6 0.1 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.4 0.2 0.5 0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.2 0.1 0.5 0.1 -2.7 0.0 0.1 0.2 0.1 0.3 0.0 -0.6 -0.2 -0.1 -0.0 0.2 -0.0 -0.1 0.2 -0.1 SUGAR11 -0.1 -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 -0.1 -0.1 -0.0 -0.1 -0.0 0.8 -0.5 -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 0.1 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 0.0 -0.3 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.1 0.1 -0.0 0.1 -0.6 -0.6 0.6 0.3 US2 0.2 -0.5 -0.6 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.2 0.1 -0.3 -0.0 -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 0.2 -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 0.0 -0.2 -0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.3 0.1 0.1 0.0 0.2 -0.6 -0.5 0.7 0.5 US30 0.1 -0.5 -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 -0.3 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.1 0.0 0.1 -0.0 0.2 -0.6 -0.4 0.6 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 0.1 0.1 -0.1 -0.1 -0.5 -0.7 -0.2 -0.3 VIX -1.0 0.3 0.5 -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 -0.3 -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 0.1 -0.0 0.1 0.1 0.1 0.2 -0.5 0.2 0.1 -0.4 -0.3 -0.3 -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 -0.1 -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 12.9 1.5 -0.3 -3.1 1.0 -1.8 0.9 0.6 -1.4 10.7 -4.1 12.7 -8.6 9.9 2.0 -2.5 -2.8 -2.6 -2.7 1.6 -1.5 9.1 -3.8 7.0 2.7 1.7 3.4 -0.1 5.6 -1.4 4.6 -0.6 7.2 12.9 12.9 4.6 -17.3 -8.4 -6.9 -1.0 BITCOIN -15.9 -14.0 7.7 4.1 4.8 3.6 2.5 1.7 2.4 11.6 12.0 -1.9 14.5 -8.2 6.3 -6.0 -7.2 -7.4 -7.7 3.0 17.5 -4.2 20.0 -7.3 -20.0 3.3 0.5 8.9 -1.1 10.3 -1.1 -3.1 -6.4 -13.4 -20.0 20.0 -10.3 -1.1 12.1 2.8 BOBL -2.9 -9.1 -13.4 -1.8 0.0 -1.6 0.8 -1.5 -0.4 -0.9 -5.3 -2.0 -4.0 -5.0 -7.9 13.6 -6.7 5.6 -2.8 -6.9 -5.9 -2.1 -5.1 -4.5 4.8 -2.7 -1.8 -1.9 -1.8 -1.5 -2.3 -3.8 -9.7 -8.4 2.5 -0.7 -20.0 -20.0 2.9 -12.4 BTP 0.7 -13.9 -1.0 -2.8 0.0 -2.5 1.3 -2.3 -0.6 -1.2 9.1 5.3 9.2 -2.4 -4.1 4.6 5.9 4.7 5.0 0.1 4.7 1.0 6.8 0.1 -20.0 1.7 -2.4 4.9 -0.8 5.7 -0.0 15.4 -14.1 -2.5 8.9 19.1 -9.1 -10.0 19.5 2.5 BUND -2.3 -9.3 -8.1 -1.9 0.0 -1.7 0.9 -1.6 -0.4 -0.9 -2.3 -0.2 -1.9 -4.1 -7.7 -9.3 -0.6 -7.4 -4.3 -5.2 -3.8 -1.0 -3.5 -3.2 2.2 -1.6 -1.9 -0.6 -1.4 -0.5 -1.7 2.0 -8.9 -6.9 6.1 4.4 -20.0 -20.0 7.4 -8.5 BUXL -3.2 -8.7 -2.7 -2.4 0.0 -2.2 1.1 -2.0 -0.5 -4.6 -0.4 -0.7 -2.7 -4.6 -8.2 -8.0 -2.7 -6.7 -4.8 -4.8 -3.1 -1.9 -4.4 -3.4 -1.7 -0.3 -3.3 0.9 -2.2 -0.0 -1.5 0.0 -12.1 -8.9 10.1 9.7 -20.0 -20.0 -7.2 -4.9 CAC 2.6 -18.2 15.1 3.1 9.4 6.1 9.0 7.0 4.0 20.0 20.0 20.0 20.0 12.7 20.0 13.5 3.3 13.6 8.0 18.3 20.0 20.0 20.0 19.0 -12.6 8.6 11.0 9.9 11.3 9.3 8.8 18.8 7.5 20.0 18.2 18.8 -9.7 7.9 -9.8 12.1 CAD 6.9 -7.5 -6.5 -4.4 1.4 -2.6 1.3 0.8 -2.0 14.1 -12.2 12.1 -10.9 -7.9 -14.0 -2.9 -2.4 -2.7 -2.5 -10.1 -9.7 1.6 -8.2 -4.6 -0.8 -5.7 3.1 -5.4 0.8 -4.4 -2.7 0.0 -5.0 4.7 0.3 -2.8 -13.0 -14.1 -1.6 -10.4 CANOLA 11.6 17.4 18.6 2.2 2.3 1.3 2.9 -0.5 2.7 8.7 -5.1 8.2 -7.5 6.6 6.0 -15.8 -8.3 -15.6 -13.5 3.7 -3.4 11.9 -9.7 8.3 -20.0 1.5 5.2 -1.5 4.8 -4.4 3.3 -20.0 19.2 4.8 8.5 -5.8 -20.0 -16.7 -9.5 -3.9 CHF 11.6 -13.9 -20.0 -3.7 1.2 -2.2 1.1 0.7 -1.7 9.0 -17.2 9.6 -11.7 -11.7 -17.6 -16.2 -16.0 -16.3 -16.1 -20.0 -20.0 1.8 -13.1 -8.0 0.9 -6.1 0.1 -6.0 0.4 -3.1 -2.4 -20.0 2.7 0.4 -20.0 -20.0 -1.4 -16.6 6.0 -14.7 COCOA -20.0 -20.0 -20.0 1.4 1.5 0.9 1.9 -0.3 1.8 -3.6 4.9 -4.5 6.0 -1.9 3.0 16.4 15.1 20.0 20.0 3.1 6.7 -6.9 6.1 -3.3 -14.7 1.8 -1.2 3.0 -0.9 3.1 0.0 20.0 -17.9 -16.5 20.0 20.0 4.6 0.5 9.8 8.1 COFFEE -20.0 7.8 8.2 3.0 3.2 1.8 4.0 -0.6 3.8 -10.7 8.4 -12.0 8.0 -3.2 1.8 9.2 8.6 11.0 10.5 5.9 11.2 -17.4 8.8 -8.0 -17.3 2.8 -2.5 3.5 -2.9 2.7 -0.3 9.9 -20.0 -19.9 20.0 18.1 -0.5 -20.0 8.9 -6.8 COPPER 1.7 20.0 20.0 3.7 4.3 3.2 2.2 1.6 2.1 12.8 15.3 13.0 7.8 14.9 16.2 -2.2 -4.7 -4.0 -4.7 20.0 20.0 20.0 12.4 20.0 -14.2 6.0 5.4 4.9 4.3 2.7 5.3 1.7 9.4 20.0 20.0 20.0 -19.6 -3.0 8.8 6.7 CORN 15.1 12.4 17.2 4.2 4.5 2.6 5.7 -0.9 5.4 16.8 -7.9 17.3 -18.2 16.3 9.4 -18.6 -11.0 -18.9 -16.4 5.7 -6.4 19.1 -17.4 14.6 -16.4 3.2 10.9 -2.9 10.2 -7.0 7.9 -20.0 20.0 15.5 13.9 -15.5 -15.3 -20.0 -14.8 0.5 COTTON2 -11.7 -20.0 -1.3 2.3 2.5 1.4 3.1 -0.5 2.9 -1.5 -5.9 -5.7 -2.7 -9.3 -9.3 9.0 4.0 10.0 6.4 -13.7 -6.7 -7.8 -2.0 -14.3 -19.5 -2.4 -0.7 -0.2 -1.7 1.0 -3.1 1.3 -15.5 -20.0 -20.0 5.2 -10.2 -14.3 3.2 0.0 CRUDE_W -20.0 -0.3 8.0 -0.2 -3.3 3.8 -6.3 4.8 -5.7 -13.1 8.7 -20.0 15.5 -13.4 9.8 14.3 12.1 14.8 13.3 2.5 12.6 -16.3 16.1 -12.9 -5.5 0.3 -3.2 5.0 -7.3 6.9 -6.2 -1.1 -10.6 -9.0 4.9 2.1 20.0 17.2 20.0 18.7 DAX 3.0 -20.0 10.4 2.5 7.6 5.0 7.3 5.6 3.2 17.2 18.1 17.6 18.4 9.7 14.5 -9.9 -11.5 -11.7 -12.2 17.0 20.0 20.0 20.0 18.6 12.7 7.1 6.9 8.3 7.4 7.4 6.3 -10.3 2.3 12.5 20.0 19.9 -1.2 7.1 3.5 16.6 DOW 10.6 -20.0 -5.5 2.0 6.1 4.0 5.9 4.6 2.6 14.1 11.8 14.2 12.9 0.1 -2.1 -10.7 -11.1 -11.6 -11.7 2.7 8.5 20.0 14.3 9.0 -12.4 2.3 8.8 5.1 8.5 7.5 4.2 -9.5 0.6 10.1 4.0 -7.0 2.9 -7.0 9.9 -14.5 DX -6.6 12.6 10.6 -4.3 1.4 -2.5 1.3 0.8 -1.9 -14.6 15.5 -12.0 12.1 11.7 16.6 7.3 6.7 7.3 7.0 15.7 15.4 -5.2 11.5 5.6 -20.0 5.8 -2.4 5.4 -1.9 4.1 2.2 15.9 -19.7 -0.0 20.0 20.0 15.4 5.6 20.0 12.7 EUR 7.7 -7.9 -5.5 -4.3 1.4 -2.5 1.2 0.8 -1.9 19.3 -8.8 17.7 -8.6 -5.6 -10.7 -7.0 -6.8 -6.9 -6.7 -7.5 -8.6 8.4 -6.5 0.5 20.0 -2.6 6.1 -2.7 5.6 -1.8 1.4 -7.4 12.9 11.4 1.9 2.0 -20.0 -15.8 -20.0 -12.4 EURIBOR-ICE -2.0 -18.8 -15.0 -1.6 0.0 -1.5 0.8 -1.3 -0.3 1.2 -0.1 -0.1 1.2 -4.4 -6.9 -5.7 -4.4 -4.5 -3.8 -6.2 -2.9 -0.7 -0.0 -4.0 12.3 -2.4 -0.9 -0.8 -1.0 0.4 -2.0 -0.8 -8.0 -7.8 -2.1 -0.9 -20.0 -20.0 5.0 12.3 EUROSTX -1.3 -20.0 13.4 2.7 8.1 5.3 7.8 6.0 3.4 18.9 20.0 18.3 20.0 10.6 18.3 -7.3 -0.5 -4.1 -1.6 17.4 20.0 20.0 20.0 15.4 -1.3 7.8 7.4 10.0 7.7 9.7 6.5 8.8 -4.9 11.8 20.0 20.0 -14.8 6.9 -17.4 11.4 FEEDCOW 7.2 -18.8 -1.4 3.7 4.0 2.3 5.0 -0.8 4.7 -14.1 -3.5 -8.9 -2.5 -7.6 -6.2 -20.0 -20.0 -20.0 -20.0 -9.0 -6.1 -10.9 -1.3 -9.6 -6.3 -2.5 -4.5 -1.4 -4.3 1.6 -3.1 -20.0 -20.0 1.2 -20.0 2.0 20.0 20.0 20.0 20.0 GASOIL -20.0 -9.9 3.2 -0.2 -2.9 3.3 -5.6 4.3 -5.0 -14.3 6.1 -19.7 14.7 -19.3 -0.8 -1.6 18.0 8.1 14.0 -8.5 5.2 -17.3 14.8 -19.6 6.7 -3.8 -3.8 1.5 -6.9 4.9 -7.9 6.8 -1.7 -14.0 -13.9 -5.8 -14.7 -9.1 -20.0 -18.8 GASOLINE -20.0 -5.1 10.7 -0.2 -3.0 3.5 -5.8 4.4 -5.2 -17.5 14.9 -20.0 17.0 -14.6 9.9 20.0 13.5 18.5 12.3 1.6 13.4 -20.0 16.6 -15.8 -20.0 -0.1 -5.9 4.8 -9.1 6.9 -6.9 -0.6 -20.0 -10.3 -1.8 7.7 20.0 20.0 20.0 20.0 GAS_US_mini 15.3 15.6 3.6 -0.2 -2.3 2.6 -4.4 3.4 -4.0 14.8 -17.9 14.6 -18.9 9.3 -12.6 -20.0 -20.0 -20.0 -20.0 -4.3 -17.8 12.6 -20.0 6.2 20.0 -3.4 8.8 -9.2 7.4 -11.5 3.0 -20.0 20.0 20.0 -2.8 -20.0 -14.0 -5.1 -20.0 -10.0 GBP 5.0 -10.6 -5.2 -4.4 1.5 -2.6 1.3 0.8 -2.0 6.8 4.3 13.8 4.0 -6.6 -10.5 -1.1 -0.8 -1.0 -0.8 -6.6 -3.6 3.2 1.2 -2.2 1.5 -1.9 3.9 0.2 2.3 2.1 -0.3 2.9 0.0 4.0 1.2 9.4 -20.0 -12.8 -20.0 -5.9 GOLD_micro -20.0 9.8 19.3 2.7 3.1 2.4 1.6 1.1 1.5 5.6 10.9 -2.0 9.6 5.6 9.3 -11.8 -14.3 -13.3 -14.0 13.9 16.2 3.2 12.1 6.0 -3.3 3.6 0.9 4.3 0.6 3.3 1.5 -14.5 -0.5 -4.3 20.0 20.0 -14.2 -16.5 -3.2 -8.8 HEATOIL -19.8 -9.3 -0.5 -0.2 -3.1 3.5 -5.9 4.5 -5.3 -16.9 -2.4 -20.0 9.4 -20.0 -9.4 -5.4 17.8 4.4 12.0 -12.2 -0.1 -20.0 9.2 -20.0 -20.0 -4.7 -5.3 0.6 -7.8 5.0 -8.6 5.1 -4.3 -12.8 -20.0 -10.9 15.6 5.7 7.7 1.3 JGB-SGX-mini -2.7 -17.3 -9.4 -2.0 0.0 -1.8 1.0 -1.7 -0.4 -8.8 0.6 -5.7 3.4 -7.4 -8.4 17.7 16.0 14.7 13.7 -7.5 -4.0 -7.0 0.2 -6.9 -8.6 -3.0 -4.2 -2.0 -2.5 -1.0 -2.7 20.0 -13.4 -6.8 -5.4 -1.8 -14.5 -9.1 0.6 11.2 JPY 11.1 -2.1 -3.1 -1.8 0.6 -1.1 0.5 0.3 -0.8 -3.7 -9.5 -3.0 -10.0 -6.8 -8.4 -14.5 -16.5 -16.1 -16.3 -9.3 -10.3 -4.6 -11.7 -6.6 20.0 -3.3 -1.3 -3.3 -1.3 -3.4 -2.3 -20.0 1.6 -11.3 -14.3 -12.6 -20.0 -11.5 -20.0 -10.9 LEANHOG -16.3 -4.0 20.0 5.2 5.6 3.2 7.0 -1.1 6.6 -20.0 13.8 -20.0 -2.1 -18.3 6.1 -20.0 -20.0 -20.0 -20.0 0.2 9.8 -20.0 2.2 -18.4 9.4 -0.1 -11.7 5.4 -11.6 2.8 -7.6 -20.0 -20.0 -20.0 -15.6 20.0 -8.2 -9.3 -0.1 12.0 LIVECOW 5.6 -16.0 2.8 3.6 3.9 2.2 4.8 -0.8 4.6 2.3 -0.9 1.6 -0.3 -7.0 -4.6 20.0 7.4 20.0 15.3 -4.9 -3.1 -2.2 0.2 -3.9 -5.6 -0.2 -2.4 1.2 -1.2 3.8 -0.8 11.7 -14.3 1.5 -15.1 11.2 20.0 20.0 20.0 20.0 LUMBER-new -5.3 -20.0 -6.3 4.0 4.3 2.5 5.4 -0.3 5.1 8.7 -6.1 -0.5 -11.2 -12.6 -12.9 -20.0 -17.8 -20.0 -19.6 -20.0 -13.6 -3.1 -6.6 -17.9 NaN -5.1 0.6 -2.9 -0.8 -1.0 -4.0 -20.0 7.3 -20.0 -20.0 -20.0 -11.8 -11.2 -4.2 -6.7 MILK 20.0 20.0 16.7 2.8 3.0 1.7 3.8 -0.6 3.6 11.7 -4.5 13.1 -10.6 12.9 8.6 -9.0 -20.0 -20.0 -20.0 12.8 -0.7 20.0 -11.6 20.0 14.0 3.0 5.4 -0.3 6.4 -3.1 5.7 -20.0 20.0 20.0 19.5 2.6 -20.0 -20.0 -18.9 -20.0 MXP -5.6 -11.7 -1.5 -4.0 1.3 -2.3 1.2 0.7 -1.8 18.3 15.1 11.8 19.3 -3.9 3.8 15.5 17.1 16.6 16.6 5.4 13.2 11.7 20.0 4.4 -20.0 3.2 6.5 6.4 4.9 9.6 2.1 20.0 20.0 -13.2 19.9 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro 3.1 -20.0 -7.8 1.6 4.9 3.2 4.7 3.6 2.1 11.8 10.6 10.7 12.2 3.8 4.0 -9.5 -10.3 -10.4 -10.6 1.8 7.9 10.9 14.5 4.2 -20.0 0.5 4.1 4.0 3.8 7.6 1.1 -7.8 -9.7 -7.6 -5.5 -4.1 -1.6 0.0 1.5 -0.4 NIKKEI -11.2 -20.0 1.2 1.8 5.5 3.6 5.3 4.1 2.4 -7.1 10.1 0.7 12.8 -6.2 3.3 1.7 9.1 4.1 6.8 1.3 13.2 -1.6 19.9 -4.1 -13.6 0.6 -0.3 5.6 -0.6 8.5 -1.6 20.0 -20.0 -20.0 -7.7 8.4 -10.2 -7.1 -5.1 -8.5 NZD 11.7 -6.4 -6.7 -3.0 1.0 -1.7 0.9 0.5 -1.3 11.1 -4.9 11.6 -5.2 -0.2 -7.9 0.0 0.2 0.1 0.2 -4.3 -5.3 7.7 -4.1 2.5 0.8 -2.1 3.3 -2.6 4.4 -1.6 1.5 4.5 7.6 7.7 0.6 -2.1 -8.2 -4.7 -0.9 7.3 OAT 0.2 -11.9 -7.1 -2.1 0.0 -1.9 1.0 -1.7 -0.4 -1.8 -0.5 1.2 -0.2 -3.5 -7.5 6.1 6.1 5.6 5.4 -4.8 -2.8 -0.3 -2.0 -2.6 2.6 -1.4 -2.1 0.1 -1.0 0.4 -1.3 15.9 -9.2 -5.0 5.4 6.2 -19.9 -20.0 8.5 -0.5 OATIES 20.0 17.2 4.1 4.6 4.9 2.8 6.1 -1.0 5.8 19.8 -12.0 20.0 -16.1 20.0 14.4 20.0 2.6 13.4 7.6 16.2 -1.7 20.0 -10.4 20.0 -20.0 4.9 17.9 0.6 14.1 -1.5 10.0 0.9 20.0 20.0 20.0 2.3 -15.8 -1.9 -0.9 15.0 OJ 8.7 3.5 7.7 4.9 5.2 3.0 6.5 -1.1 6.2 20.0 11.7 20.0 18.3 20.0 20.0 5.2 12.3 5.7 8.1 17.9 20.0 20.0 20.0 20.0 -20.0 5.3 20.0 6.9 18.3 16.1 9.7 11.4 20.0 20.0 9.9 20.0 6.3 8.7 20.0 20.0 PALLAD -12.4 0.4 10.1 2.1 2.4 1.8 1.3 0.9 1.2 3.1 -4.3 -4.3 -8.0 -6.2 -0.9 -2.3 -2.1 -2.1 -2.0 -3.1 -4.4 -2.6 -10.3 -4.1 13.1 -1.4 -0.4 -1.7 -1.4 -4.0 -2.2 6.4 -1.3 -7.6 -9.8 -7.6 -20.0 -18.7 -20.0 -12.0 PLAT 3.9 11.5 6.3 3.1 3.7 2.8 1.9 1.3 1.8 13.3 1.4 12.7 -7.7 10.0 6.7 -5.0 -3.8 -4.7 -4.4 7.6 3.0 17.2 -1.3 12.2 11.2 3.8 7.8 2.3 7.3 0.8 5.4 2.9 20.0 9.0 5.3 -3.7 -19.3 -6.6 12.2 7.0 REDWHEAT 20.0 20.0 20.0 3.9 4.2 2.4 5.2 -0.9 5.0 15.2 -3.8 16.2 -15.2 16.3 11.9 -10.1 -1.0 -4.5 -2.2 16.8 0.7 20.0 -13.2 20.0 -7.3 4.8 8.8 0.5 7.9 -2.6 7.5 -9.2 20.0 20.0 20.0 -1.7 -8.7 -20.0 2.7 -20.0 RICE 20.0 6.1 -5.2 2.5 2.6 1.5 3.3 -0.5 3.1 10.6 5.3 11.9 7.2 11.9 7.1 20.0 20.0 20.0 20.0 9.5 5.9 11.1 6.0 13.7 -8.2 1.7 1.6 0.7 2.6 0.7 3.0 20.0 6.3 20.0 0.8 -1.2 -2.7 -4.3 1.3 3.0 ROBUSTA -20.0 -14.1 -5.9 1.8 1.9 1.1 2.4 -0.4 2.3 -6.9 6.9 -7.5 8.1 -2.5 3.0 20.0 20.0 20.0 20.0 6.0 12.9 -17.3 13.1 -7.9 -20.0 2.3 -1.4 3.4 -1.9 3.5 -0.1 20.0 -20.0 -5.7 20.0 20.0 -8.8 -16.8 3.0 4.1 RUSSELL 7.6 -12.4 5.3 1.8 5.6 3.7 5.4 4.1 2.4 10.8 9.6 11.4 9.1 0.4 -0.4 -6.6 -6.4 -6.6 -6.5 1.5 4.5 11.1 5.8 5.2 -1.8 1.7 4.3 3.2 5.5 3.9 3.0 -0.9 -10.1 0.5 1.0 -10.4 -11.7 -20.0 -13.0 -20.0 SHATZ -2.9 -9.0 -20.0 -1.7 0.0 -1.5 0.8 -1.4 -0.4 -0.2 -8.4 -3.8 -8.2 -5.8 -8.3 -20.0 -20.0 -20.0 -20.0 -10.6 -11.0 -3.6 -10.9 -6.8 7.6 -3.2 -1.3 -2.8 -1.7 -2.4 -2.5 -20.0 -11.2 -10.8 -3.8 -8.6 -20.0 -20.0 -17.0 -20.0 SILVER-mini -17.5 14.9 17.8 2.8 3.3 2.5 1.7 1.2 1.6 9.6 8.5 2.7 5.2 6.0 8.6 -6.4 -6.7 -6.6 -6.7 11.0 10.5 7.9 6.1 7.4 2.6 3.7 2.8 3.8 2.2 2.5 2.2 -1.7 9.5 -1.3 14.6 14.9 -8.3 -13.9 17.9 5.1 SMI 7.5 -14.5 8.9 2.1 6.3 4.1 6.1 4.7 2.7 14.2 12.6 13.6 10.8 6.0 7.0 -2.5 3.4 -0.0 2.4 7.1 8.2 20.0 7.3 13.1 12.6 4.5 8.1 5.4 8.9 4.5 5.5 15.6 1.5 7.9 6.2 -1.6 11.0 -0.5 17.7 -1.9 SOFR 7.8 -16.5 -13.9 -2.2 0.0 -2.0 1.1 -1.8 -0.5 7.7 -3.2 7.9 -3.8 -4.2 -8.5 -3.4 -0.7 -2.2 -1.3 -8.6 -8.4 5.1 -6.4 -1.6 -2.5 -2.3 1.2 -2.0 1.9 -1.2 -0.2 4.5 4.2 3.2 -2.7 -0.3 -9.2 -20.0 10.3 -1.2 SOYBEAN 16.2 11.5 0.5 3.9 4.2 2.4 5.2 -0.9 5.0 7.9 -8.8 10.6 -6.0 9.2 6.5 -1.3 9.2 0.3 3.9 4.7 -4.9 15.1 -9.2 13.2 -20.0 2.7 4.2 -1.1 7.1 -2.4 6.3 4.9 20.0 12.8 9.6 -13.3 -14.9 -20.0 -12.6 -20.0 SOYMEAL 20.0 20.0 -2.4 2.9 3.1 1.7 3.8 -0.6 3.6 1.8 -9.1 7.1 -9.4 9.1 3.0 0.3 5.9 -2.0 0.4 8.0 -3.1 13.3 -7.0 16.4 -20.0 3.0 0.5 -0.2 4.4 -1.1 5.3 -0.9 20.0 20.0 20.0 -9.5 -20.0 -20.0 -20.0 -20.0 SOYOIL -7.6 -5.7 1.8 2.5 2.7 1.5 3.4 -0.6 3.2 8.6 -11.1 -1.9 -10.1 -8.7 -8.7 -7.3 -0.3 -7.1 -4.8 -9.3 -9.4 -1.3 -9.9 -8.3 -20.0 -3.0 3.1 -2.2 -0.6 -1.9 -3.1 -10.9 -2.4 -20.0 -18.1 -12.2 -20.0 -14.6 -7.8 3.7 SP400 4.9 -16.3 12.0 2.0 6.2 4.0 5.9 4.6 2.6 14.1 12.4 13.8 12.4 1.9 5.2 -5.9 -5.4 -5.5 -5.4 7.0 12.5 17.6 13.9 9.3 -12.5 3.3 6.2 5.3 6.5 5.7 3.8 0.9 -4.6 2.4 6.1 -0.0 -12.8 -10.4 -11.5 -20.0 SP500_micro 2.3 -20.0 3.2 2.0 6.2 4.1 6.0 4.6 2.7 15.0 14.1 14.0 15.1 4.3 7.8 -11.3 -11.7 -12.2 -12.2 6.3 14.8 16.5 20.0 7.9 -20.0 2.6 5.7 6.5 5.6 9.1 2.6 -10.4 -9.5 -3.1 -0.2 6.0 -1.0 -3.0 4.8 -3.2 SUGAR11 -2.6 -15.2 -17.9 3.4 3.7 2.1 4.6 -0.7 4.3 -12.1 -13.8 -10.9 -1.9 -14.5 -14.2 1.3 14.4 6.5 10.8 -19.2 -16.6 -13.2 -7.0 -16.6 -20.0 -5.3 -5.8 -4.6 -3.6 -1.9 -4.5 15.6 -18.8 -20.0 -20.0 -20.0 20.0 10.8 20.0 20.0 US10 7.6 -14.0 -10.8 -1.8 0.0 -1.7 0.9 -1.5 -0.4 6.2 -3.3 6.4 -5.1 -3.3 -7.0 -4.6 -7.3 -5.9 -6.8 -6.5 -7.1 4.1 -7.6 -1.0 2.5 -1.8 1.0 -1.7 1.6 -1.7 -0.1 -6.4 2.5 3.0 -1.2 0.8 -17.0 -20.0 -1.6 2.7 US10U 6.6 -13.9 -10.5 -2.7 0.0 -2.5 1.3 -2.2 -0.6 8.6 -4.6 8.9 -7.2 -5.3 -10.7 -5.9 -1.8 -4.5 -3.0 -9.9 -10.7 5.5 -11.8 -2.1 0.2 -2.7 1.6 -2.5 2.5 -2.6 -0.2 2.2 2.7 3.5 -1.1 3.0 -16.7 -19.4 19.0 10.5 US2 6.1 -15.3 -19.9 -1.7 0.0 -1.6 0.8 -1.4 -0.4 4.9 -7.5 5.2 -8.2 -4.6 -7.8 -20.0 -20.0 -20.0 -20.0 -9.9 -10.9 1.4 -11.8 -3.7 11.8 -2.5 0.0 -2.3 0.4 -2.2 -0.9 -20.0 0.2 0.3 -4.4 -6.6 -17.4 -20.0 -12.3 -20.0 US20 6.3 -15.0 -7.4 -2.0 0.0 -1.8 0.9 -1.6 -0.4 6.2 -0.7 6.6 -3.3 -3.4 -7.0 -0.5 -0.7 -0.3 -0.4 -6.0 -6.1 4.8 -7.2 -0.7 -0.9 -1.4 1.7 -1.1 2.4 -1.4 0.4 5.1 3.2 3.6 0.5 5.2 -18.7 -14.6 20.0 16.1 US30 4.5 -14.0 -5.9 -2.3 0.0 -2.1 1.1 -1.9 -0.5 7.1 -2.3 7.2 -5.3 -5.0 -8.7 -1.0 -5.0 -3.4 -4.7 -7.5 -7.6 4.5 -9.3 -1.9 -0.4 -2.0 2.0 -1.6 2.5 -2.1 -0.0 -2.5 1.9 2.1 -0.1 6.7 -17.3 -13.1 19.1 19.1 US5 7.7 -14.9 -15.0 -1.9 0.0 -1.7 0.9 -1.6 -0.4 6.3 -6.2 6.5 -6.9 -4.2 -7.9 -9.0 -10.0 -9.4 -9.7 -8.2 -8.9 3.9 -9.0 -1.8 5.5 -2.2 0.8 -2.1 1.4 -1.8 -0.4 -11.1 2.7 2.7 -2.6 -2.4 -14.8 -20.0 -5.9 -7.6 VIX -18.6 6.4 9.4 -5.6 -5.9 -5.9 -8.2 -8.1 -7.3 -18.2 -20.0 -20.0 -20.0 -19.6 -17.9 -20.0 -20.0 -20.0 -20.0 -15.6 -18.1 -20.0 -20.0 -20.0 NaN -6.4 -6.7 -6.8 -9.2 -9.8 -8.3 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 20.0 20.0 20.0 3.8 4.0 2.3 5.0 -0.8 4.8 15.5 3.2 16.7 -13.8 16.6 12.2 -18.0 -13.7 -17.5 -15.6 18.2 2.9 20.0 -10.8 20.0 1.4 4.6 10.1 0.8 9.2 -1.7 7.8 -20.0 20.0 20.0 20.0 -4.5 -7.0 -20.0 -0.6 -20.0 End of report for caleb_strategy_v3