******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240523_204004 produced at 2024-05-23 21:37:35.897012 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 JGB-SGX-mini False True 0.03 -0.08 -0.77 0.0 0.00 -0.08 -0.08 -0.08 -29.14 16.0 -3 -3 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.23 -0.39 0.0 0.76 -0.76 -0.23 -0.23 -5.11 10.0 -3 -3 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.37 0.0 0.00 0.00 0.00 0.00 -11.33 24.0 0 0 caleb_strategy_v3 SOFR False True 0.07 0.00 -0.33 0.0 0.00 0.00 0.00 0.00 -4.74 11.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.28 -0.29 0.0 999.00 -999.00 -0.28 -0.28 -65.11 999999999.0 -63 -63 caleb_strategy_v3 US2 False True 0.06 0.00 -0.26 0.0 0.00 0.00 0.00 0.00 -4.46 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.16 -0.20 0.0 0.52 -0.52 -0.16 -0.16 -4.97 13.0 -4 -4 caleb_strategy_v3 CAD False False 0.02 -0.04 -0.12 0.0 0.61 -0.61 -0.04 -0.06 -5.50 29.0 -2 -3 caleb_strategy_v3 LEANHOG False False 0.01 -0.07 -0.09 0.0 0.15 -0.15 -0.07 -0.07 -7.67 13.0 -6 -6 caleb_strategy_v3 US5 False False 0.03 -0.21 -0.06 0.0 0.76 -0.76 -0.21 -0.21 -1.95 25.0 -7 -7 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.06 0.0 0.09 -0.09 -0.06 -0.06 -2.01 3.0 -2 -2 caleb_strategy_v3 JPY False False 0.02 -0.07 -0.06 0.0 0.39 -0.39 -0.07 -0.09 -2.74 17.0 -3 -4 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.05 0.0 0.01 -0.01 0.00 0.00 -11.06 3.0 0 0 caleb_strategy_v3 BOBL False True 0.04 -0.11 -0.05 0.0 0.00 -0.11 -0.11 -0.11 -1.33 19.0 -3 -3 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.04 0.0 0.08 -0.08 -0.01 -0.01 -5.95 12.0 -2 -2 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -1.40 4.0 -1 -1 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.03 0.0 0.15 -0.15 -0.02 -0.01 -10.51 51.0 -6 -4 caleb_strategy_v3 BUND False True 0.04 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.65 10.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.02 -0.02 0.0 0.11 -0.11 -0.02 -0.02 -3.79 18.0 -3 -3 caleb_strategy_v3 SP400 False False 0.09 0.17 -0.02 0.0 0.17 -0.17 0.17 0.09 -0.21 2.0 2 1 caleb_strategy_v3 US10 False False 0.03 0.00 -0.02 0.0 0.54 -0.54 0.00 0.00 -0.75 17.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.02 0.0 0.12 -0.12 -0.03 -0.03 -2.01 11.0 -3 -3 caleb_strategy_v3 GOLD_micro False False 0.01 0.01 -0.01 0.0 0.38 -0.38 0.01 0.01 -0.86 56.0 2 1 caleb_strategy_v3 NIKKEI False False 0.01 -0.03 -0.01 0.0 0.26 -0.26 -0.03 -0.01 -1.34 36.0 -4 -1 caleb_strategy_v3 DOW False False 0.01 0.03 -0.01 0.0 0.37 -0.37 0.03 0.01 -2.05 66.0 5 1 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.12 -0.12 -0.02 -0.02 -0.48 7.0 -1 -1 caleb_strategy_v3 US10U False False 0.03 -0.16 -0.01 0.0 0.42 -0.42 -0.16 -0.16 -0.26 13.0 -5 -5 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.08 -0.08 -0.03 -0.02 -1.57 10.0 -4 -3 caleb_strategy_v3 OAT False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.38 10.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.41 2.0 0 0 caleb_strategy_v3 BUXL False True 0.04 -0.08 -0.01 0.0 0.00 -0.08 -0.08 -0.08 -0.34 4.0 -2 -2 caleb_strategy_v3 RUSSELL False False 0.00 -0.12 -0.01 0.0 0.20 -0.20 -0.12 -0.10 -4.21 68.0 -42 -34 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.57 9.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.02 -0.00 0.0 0.25 -0.25 -0.02 -0.01 -0.11 23.0 -2 -1 caleb_strategy_v3 OATIES False True 0.01 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.02 2.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 0.00 0.0 0.08 -0.08 0.00 0.00 0.36 8.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 0.00 0.00 0.0 0.10 -0.10 0.00 0.00 0.39 9.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.09 0.00 0.0 999.00 -999.00 0.09 0.06 0.15 999999999.0 3 2 caleb_strategy_v3 EUR False False 0.04 0.00 -0.00 0.0 0.55 -0.55 0.00 0.00 -0.02 14.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 0.00 0.0 0.22 -0.22 0.00 0.00 0.01 6.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.02 0.00 0.0 0.14 -0.14 0.02 0.02 0.06 6.0 1 1 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.59 -0.59 0.00 0.00 0.01 26.0 0 0 caleb_strategy_v3 BTP False True 0.04 0.04 -0.00 0.0 0.04 0.00 0.04 0.00 -0.12 10.0 1 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -2.14 59.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 -0.01 0.00 0.0 0.25 -0.25 -0.01 0.00 0.06 23.0 -1 0 caleb_strategy_v3 US20 False True 0.03 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.18 9.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.01 0.01 0.0 0.37 -0.37 0.01 0.04 1.30 48.0 1 5 caleb_strategy_v3 AUD False False 0.02 0.00 0.01 0.0 0.36 -0.36 0.00 0.00 0.75 19.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 0.01 0.0 0.06 -0.06 -0.01 0.00 4.12 26.0 -5 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 0.01 0.0 0.30 -0.30 0.00 0.04 0.26 8.0 0 1 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.06 -0.06 0.00 0.00 0.92 5.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 0.03 0.0 0.37 -0.37 0.00 0.00 1.89 21.0 0 0 caleb_strategy_v3 PLAT False False 0.01 0.04 0.03 0.0 0.15 -0.15 0.04 0.04 2.02 10.0 3 3 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.03 0.0 999.00 -999.00 0.00 0.00 1.35 999999999.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.00 0.04 0.0 0.50 -0.50 0.00 0.00 1.83 22.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.05 0.0 0.04 -0.04 0.00 0.00 5.02 4.0 0 0 caleb_strategy_v3 DX False False 0.03 0.00 0.05 0.0 999.00 -999.00 0.00 0.00 1.78 999999999.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.06 0.0 0.06 -0.06 0.00 0.02 2.86 3.0 0 1 caleb_strategy_v3 EUROSTX False False 0.02 0.17 0.07 0.0 0.31 -0.31 0.17 0.17 4.62 20.0 11 11 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.08 0.0 0.11 -0.11 0.02 0.02 3.50 5.0 1 1 caleb_strategy_v3 COPPER False False 0.03 0.24 0.08 0.0 999.00 -999.00 0.24 0.17 2.39 999999999.0 7 5 caleb_strategy_v3 CAC True False 0.03 0.00 0.08 0.0 0.00 0.00 0.00 0.00 3.05 12.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.09 0.11 0.0 0.34 -0.34 0.09 0.09 19.17 58.0 15 15 caleb_strategy_v3 LIVECOW False False 0.02 0.10 0.12 0.0 0.36 -0.36 0.10 0.13 5.58 17.0 5 6 caleb_strategy_v3 SMI False True 0.04 0.26 0.16 0.0 0.26 0.00 0.26 0.26 4.25 9.0 7 7 caleb_strategy_v3 MXP False False 0.01 0.50 0.68 0.0 0.52 -0.52 0.50 0.51 79.44 60.0 58 59 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 18.9 Shocked risk 54.5 Sum abs risk 49.9 Leverage 5.18 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3457598.69, 'annual_cash_vol_target': 864399.6725, 'daily_cash_vol_target': 54024.97953125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6604 0.6200 9.9200 BITCOIN 1815.4612 68000.0000 2.6698 42.7167 BOBL 0.2687 116.1900 0.2313 3.7007 BTP 0.5930 117.3100 0.5055 8.0881 BUND 0.5337 130.0200 0.4105 6.5672 BUXL 1.2405 128.4800 0.9655 15.4480 CAC 49.4746 8034.0000 0.6158 9.8530 CAD 0.0027 0.7282 0.3696 5.9137 CANOLA 7.4628 692.1000 1.0783 17.2524 CHF 0.0044 1.0959 0.4058 6.4921 COCOA 401.4371 7802.0000 5.1453 82.3250 COFFEE 4.3765 214.9000 2.0365 32.5846 COPPER 0.0807 4.7680 1.6923 27.0764 CORN 5.1363 486.5000 1.0558 16.8924 COTTON2 1.3678 78.3700 1.7454 27.9258 CRUDE_W 0.8419 74.5100 1.1299 18.0784 DAX 125.7212 18631.0000 0.6748 10.7967 DOW 253.3247 39137.0000 0.6473 10.3564 DX 0.3415 104.6200 0.3264 5.2231 EUR 0.0041 1.0816 0.3791 6.0652 EURIBOR-ICE 0.0521 97.2800 0.0535 0.8562 EUROSTX 35.0416 5006.0000 0.7000 11.1999 FEEDCOW 1.9876 262.4000 0.7575 12.1198 GASOIL 9.8709 742.5000 1.3294 21.2706 GASOLINE 0.0348 2.4317 1.4290 22.8648 GAS_US_mini 0.0893 2.9400 3.0371 48.5930 GBP 0.0055 1.2690 0.4315 6.9042 GOLD_micro 22.1489 2357.3000 0.9396 15.0334 HEATOIL 0.0306 2.4408 1.2546 20.0733 JGB-SGX-mini 0.2048 143.6000 0.1426 2.2818 JPY 0.0000 0.0064 0.6845 10.9514 LEANHOG 1.0944 97.0500 1.1276 18.0419 LIVECOW 1.3345 181.0250 0.7372 11.7949 LUMBER-new 6.7868 548.5000 1.2373 19.7975 MILK 0.2619 19.8900 1.3168 21.0688 MXP 0.0003 0.0595 0.5801 9.2816 NASDAQ_micro 144.8067 18650.7500 0.7764 12.4226 NIKKEI 345.1726 38475.0000 0.8971 14.3542 NZD 0.0037 0.6096 0.6104 9.7662 OAT 0.5294 125.4500 0.4220 6.7524 OATIES 7.2787 372.5000 1.9540 31.2644 OJ 5.3943 448.8500 1.2018 19.2289 PALLAD 23.2432 979.0000 2.3742 37.9869 PLAT 17.2238 1028.6000 1.6745 26.7918 REDWHEAT 12.9014 728.5000 1.7710 28.3352 RICE 0.1614 15.6950 1.0286 16.4579 ROBUSTA 80.8356 3745.0000 2.1585 34.5359 RUSSELL 20.4302 2049.0000 0.9971 15.9533 SHATZ 0.0796 104.9800 0.0758 1.2130 SILVER-mini 0.5847 30.7000 1.9045 30.4717 SMI 78.9798 11916.0000 0.6628 10.6049 SOFR 0.0639 96.0650 0.0665 1.0639 SOYBEAN 10.1223 1215.2500 0.8329 13.3271 SOYMEAL 4.7498 371.0000 1.2803 20.4841 SOYOIL 0.7416 45.6300 1.6253 26.0044 SP400 23.2741 2957.9000 0.7868 12.5895 SP500_micro 33.2810 5276.5000 0.6307 10.0919 SUGAR11 0.2951 18.2800 1.6146 25.8330 US10 0.3786 109.0156 0.3473 5.5564 US10U 0.4952 112.4062 0.4406 7.0492 US2 0.0977 101.8398 0.0960 1.5355 US20 0.7311 116.9688 0.6250 10.0003 US30 1.0776 123.9062 0.8697 13.9146 US5 0.2462 105.4844 0.2334 3.7343 VIX 0.4096 15.3500 2.6687 42.6987 WHEAT 11.7038 740.2500 1.5811 25.2969 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 660.35 0.62 409.42 1.00 409.42 54024.98 131.96 2.20 29.03 BITCOIN 68.00 2.67 181.55 1.00 181.55 54024.98 297.58 -0.66 -19.74 BOBL 1161.90 0.23 268.74 1.09 291.80 54024.98 185.14 -7.07 -130.85 BTP 1173.10 0.51 593.01 1.09 643.89 54024.98 83.90 -0.44 -3.66 BUND 1300.20 0.41 533.67 1.09 579.46 54024.98 93.23 -6.84 -63.81 BUXL 1284.80 0.97 1240.48 1.09 1346.91 54024.98 40.11 -8.36 -33.55 CAC 803.40 0.62 494.75 1.09 537.20 54024.98 100.57 8.89 89.41 CAD 728.15 0.37 269.13 1.00 269.13 54024.98 200.74 -10.55 -211.86 CANOLA 138.42 1.08 149.26 0.73 109.42 54024.98 493.74 -8.75 -432.09 CHF 1369.88 0.41 555.84 1.00 555.84 54024.98 97.20 -19.69 -191.40 COCOA 780.20 5.15 4014.37 1.00 4014.37 54024.98 13.46 0.48 0.64 COFFEE 805.88 2.04 1641.20 1.00 1641.20 54024.98 32.92 1.55 5.11 COPPER 1192.00 1.69 2017.19 1.00 2017.19 54024.98 26.78 8.25 22.11 CORN 243.25 1.06 256.82 1.00 256.82 54024.98 210.36 -11.63 -244.67 COTTON2 391.85 1.75 683.92 1.00 683.92 54024.98 78.99 -11.87 -93.77 CRUDE_W 745.10 1.13 841.89 1.00 841.89 54024.98 64.17 5.04 32.33 DAX 186.31 0.67 125.72 1.09 136.51 54024.98 395.76 14.20 561.95 DOW 195.68 0.65 126.66 1.00 126.66 54024.98 426.53 -2.07 -88.42 DX 1046.20 0.33 341.52 1.00 341.52 54024.98 158.19 4.34 68.72 EUR 1351.94 0.38 512.48 1.00 512.48 54024.98 105.42 -0.06 -0.60 EURIBOR-ICE 2432.00 0.05 130.15 1.09 141.32 54024.98 382.30 -3.92 -149.78 EUROSTX 500.60 0.70 350.42 1.09 380.48 54024.98 141.99 9.53 135.33 FEEDCOW 1312.00 0.76 993.82 1.00 993.82 54024.98 54.36 1.45 7.87 GASOIL 742.50 1.33 987.09 1.00 987.09 54024.98 54.73 -5.90 -32.31 GASOLINE 1021.31 1.43 1459.51 1.00 1459.51 54024.98 37.02 0.91 3.36 GAS_US_mini 73.50 3.04 223.22 1.00 223.22 54024.98 242.02 1.57 38.04 GBP 793.12 0.43 342.25 1.00 342.25 54024.98 157.85 4.48 70.67 GOLD_micro 235.73 0.94 221.49 1.00 221.49 54024.98 243.92 -1.03 -25.21 HEATOIL 1025.14 1.25 1286.12 1.00 1286.12 54024.98 42.01 -11.03 -46.34 JGB-SGX-mini 143600.00 0.14 20478.79 0.01 131.01 54024.98 412.36 -6.53 -269.07 JPY 799.38 0.68 547.14 1.00 547.14 54024.98 98.74 -10.70 -105.64 LEANHOG 388.20 1.13 437.74 1.00 437.74 54024.98 123.42 -10.23 -126.21 LIVECOW 724.10 0.74 533.79 1.00 533.79 54024.98 101.21 16.65 168.51 LUMBER-new 150.84 1.24 186.64 1.00 186.64 54024.98 289.46 -17.85 -516.77 MILK 397.80 1.32 523.82 1.00 523.82 54024.98 103.14 4.14 42.74 MXP 297.60 0.58 172.64 1.00 172.64 54024.98 312.94 17.30 541.28 NASDAQ_micro 373.02 0.78 289.61 1.00 289.61 54024.98 186.54 -0.25 -4.69 NIKKEI 38475.00 0.90 34517.26 0.01 220.82 54024.98 244.65 -0.51 -12.36 NZD 609.55 0.61 372.06 1.00 372.06 54024.98 145.20 5.03 72.98 OAT 1254.50 0.42 529.43 1.09 574.86 54024.98 93.98 -1.18 -11.13 OATIES 186.25 1.95 363.94 1.00 363.94 54024.98 148.45 0.07 0.98 OJ 673.28 1.20 809.15 1.00 809.15 54024.98 66.77 20.00 133.54 PALLAD 979.00 2.37 2324.32 1.00 2324.32 54024.98 23.24 -5.13 -11.93 PLAT 514.30 1.67 861.19 1.00 861.19 54024.98 62.73 9.42 59.11 REDWHEAT 364.25 1.77 645.07 1.00 645.07 54024.98 83.75 3.23 27.04 RICE 313.90 1.03 322.88 1.00 322.88 54024.98 167.32 12.33 206.28 ROBUSTA 374.50 2.16 808.36 1.00 808.36 54024.98 66.83 0.77 5.14 RUSSELL 102.45 1.00 102.15 1.00 102.15 54024.98 528.87 -2.40 -126.97 SHATZ 1049.80 0.08 79.59 1.09 86.42 54024.98 625.16 -17.87 -1117.43 SILVER-mini 767.50 1.90 1461.69 1.00 1461.69 54024.98 36.96 10.68 39.49 SMI 1191.60 0.66 789.80 1.10 866.84 54024.98 62.32 20.00 124.65 SOFR 2401.62 0.07 159.69 1.00 159.69 54024.98 338.31 -2.30 -77.95 SOYBEAN 607.62 0.83 506.12 1.00 506.12 54024.98 106.74 -4.83 -51.56 SOYMEAL 371.00 1.28 474.98 1.00 474.98 54024.98 113.74 -5.39 -61.32 SOYOIL 273.78 1.63 444.97 1.00 444.97 54024.98 121.41 -13.90 -168.71 SP400 2957.90 0.79 2327.41 1.00 2327.41 54024.98 23.21 -2.77 -6.42 SP500_micro 263.82 0.63 166.41 1.00 166.41 54024.98 324.66 1.72 55.88 SUGAR11 204.74 1.61 330.56 1.00 330.56 54024.98 163.44 -10.91 -178.26 US10 1090.16 0.35 378.58 1.00 378.58 54024.98 142.70 -4.16 -59.31 US10U 1124.06 0.44 495.23 1.00 495.23 54024.98 109.09 -1.91 -20.79 US2 2036.80 0.10 195.47 1.00 195.47 54024.98 276.39 -12.74 -352.21 US20 1169.69 0.63 731.08 1.00 731.08 54024.98 73.90 1.90 14.05 US30 1239.06 0.87 1077.57 1.00 1077.57 54024.98 50.14 0.09 0.46 US5 1054.84 0.23 246.19 1.00 246.19 54024.98 219.44 -7.00 -153.72 VIX 153.50 2.67 409.64 1.00 409.64 54024.98 131.88 -20.00 -263.77 WHEAT 370.12 1.58 585.19 1.00 585.19 54024.98 92.32 3.17 29.30 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 29.030 0.010 2.5 0.753 BITCOIN -19.738 0.043 2.5 -2.137 BOBL -130.847 0.004 2.5 -1.327 BTP -3.656 0.014 2.5 -0.125 BUND -63.810 0.004 2.5 -0.647 BUXL -33.551 0.004 2.5 -0.340 CAC 89.409 0.014 2.5 3.050 CAD -211.855 0.010 2.5 -5.497 CANOLA -432.091 0.010 2.5 -10.512 CHF -191.401 0.010 2.5 -4.966 COCOA 0.642 0.009 2.5 0.014 COFFEE 5.110 0.005 2.5 0.060 COPPER 22.105 0.043 2.5 2.394 CORN -244.673 0.010 2.5 -5.953 COTTON2 -93.767 0.009 2.5 -2.008 CRUDE_W 32.326 0.043 2.5 3.501 DAX 561.953 0.014 2.5 19.167 DOW -88.421 0.009 2.5 -2.055 DX 68.723 0.010 2.5 1.783 EUR -0.598 0.010 2.5 -0.016 EURIBOR-ICE -149.777 0.014 2.5 -5.109 EUROSTX 135.335 0.014 2.5 4.616 FEEDCOW 7.875 0.013 2.5 0.261 GASOIL -32.313 0.017 2.5 -1.401 GASOLINE 3.361 0.017 2.5 0.146 GAS_US_mini 38.043 0.043 2.5 4.120 GBP 70.673 0.010 2.5 1.834 GOLD_micro -25.214 0.014 2.5 -0.860 HEATOIL -46.342 0.017 2.5 -2.009 JGB-SGX-mini -269.072 0.043 2.5 -29.137 JPY -105.644 0.010 2.5 -2.741 LEANHOG -126.208 0.024 2.5 -7.670 LIVECOW 168.509 0.013 2.5 5.584 LUMBER-new -516.771 0.009 2.5 -11.062 MILK 42.744 0.009 2.5 0.915 MXP 541.277 0.059 2.5 79.445 NASDAQ_micro -4.687 0.009 2.5 -0.109 NIKKEI -12.358 0.043 2.5 -1.338 NZD 72.978 0.010 2.5 1.893 OAT -11.128 0.014 2.5 -0.380 OATIES 0.980 0.010 2.5 0.024 OJ 133.536 0.009 2.5 2.860 PALLAD -11.929 0.014 2.5 -0.407 PLAT 59.114 0.014 2.5 2.016 REDWHEAT 27.036 0.005 2.5 0.359 RICE 206.279 0.010 2.5 5.018 ROBUSTA 5.143 0.005 2.5 0.060 RUSSELL -126.970 0.013 2.5 -4.207 SHATZ -1117.428 0.004 2.5 -11.331 SILVER-mini 39.486 0.014 2.5 1.347 SMI 124.648 0.014 2.5 4.252 SOFR -77.947 0.024 2.5 -4.737 SOYBEAN -51.560 0.004 2.5 -0.480 SOYMEAL -61.316 0.004 2.5 -0.570 SOYOIL -168.714 0.004 2.5 -1.571 SP400 -6.420 0.013 2.5 -0.213 SP500_micro 55.875 0.009 2.5 1.299 SUGAR11 -178.262 0.009 2.5 -3.791 US10 -59.313 0.005 2.5 -0.752 US10U -20.793 0.005 2.5 -0.263 US2 -352.213 0.005 2.5 -4.463 US20 14.053 0.005 2.5 0.178 US30 0.461 0.005 2.5 0.006 US5 -153.718 0.005 2.5 -1.948 VIX -263.768 0.099 2.5 -65.109 WHEAT 29.299 0.005 2.5 0.389 ===================== Position diags ===================== AUD 3.42 BITCOIN 32.22 BOBL 1.88 BTP 2.86 BUND 0.95 BUXL 0.41 CAC 3.43 CAD 5.21 CANOLA 12.01 CHF 2.52 COCOA 0.29 COFFEE 0.38 COPPER 2.90 CORN 5.12 COTTON2 1.69 CRUDE_W 6.95 DAX 13.50 DOW 9.91 DX 4.10 EUR 2.74 EURIBOR-ICE 13.04 EUROSTX 4.84 FEEDCOW 1.80 GASOIL 2.37 GASOLINE 1.60 GAS_US_mini 26.21 GBP 4.10 GOLD_micro 8.32 HEATOIL 1.82 JGB-SGX-mini 44.65 JPY 2.56 LEANHOG 7.50 LIVECOW 3.35 LUMBER-new 6.20 MILK 2.21 MXP 45.93 NASDAQ_micro 4.34 NIKKEI 26.49 NZD 3.77 OAT 3.21 OATIES 3.61 OJ 1.43 PALLAD 0.79 PLAT 2.14 REDWHEAT 1.11 RICE 4.07 ROBUSTA 0.78 RUSSELL 17.53 SHATZ 6.34 SILVER-mini 1.26 SMI 2.13 SOFR 20.56 SOYBEAN 0.99 SOYMEAL 1.06 SOYOIL 1.13 SP400 0.77 SP500_micro 7.55 SUGAR11 3.48 US10 1.81 US10U 1.38 US2 3.50 US20 0.94 US30 0.64 US5 2.78 VIX 32.55 WHEAT 1.22 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.8 0.4 1.1 0.0 0 BITCOIN -2.1 -5.4 1.1 0.0 0 BOBL -1.3 -1.5 -1.1 -3.0 -3 BTP -0.1 -0.4 0.2 1.0 1 BUND -0.6 -0.7 -0.6 0.0 0 BUXL -0.3 -0.4 -0.3 -2.0 -2 CAC 3.0 2.7 3.4 0.0 0 CAD -5.5 -6.0 -5.0 -2.0 -2 CANOLA -10.5 -11.7 -9.3 -6.0 -6 CHF -5.0 -5.2 -4.7 -4.0 -4 COCOA 0.0 -0.0 0.0 0.0 0 COFFEE 0.1 0.0 0.1 1.0 1 COPPER 2.4 2.1 2.7 7.0 7 CORN -6.0 -6.5 -5.4 -2.0 -2 COTTON2 -2.0 -2.2 -1.8 -3.0 -3 CRUDE_W 3.5 2.8 4.2 1.0 1 DAX 19.2 17.8 20.5 15.0 15 DOW -2.1 -3.0 -1.1 5.0 5 DX 1.8 1.4 2.2 NaN 0 EUR -0.0 -0.3 0.3 0.0 0 EURIBOR-ICE -5.1 -6.4 -3.8 -3.0 -3 EUROSTX 4.6 4.1 5.1 11.0 11 FEEDCOW 0.3 0.1 0.4 0.0 0 GASOIL -1.4 -1.6 -1.2 -1.0 -1 GASOLINE 0.1 -0.0 0.3 3.0 3 GAS_US_mini 4.1 1.5 6.7 -5.0 -5 GBP 1.8 1.4 2.2 0.0 0 GOLD_micro -0.9 -1.7 -0.0 2.0 2 HEATOIL -2.0 -2.2 -1.8 -2.0 -2 JGB-SGX-mini -29.1 -33.6 -24.7 -3.0 -3 JPY -2.7 -3.0 -2.5 -3.0 -3 LEANHOG -7.7 -8.4 -6.9 -6.0 -6 LIVECOW 5.6 5.2 5.9 5.0 5 LUMBER-new -11.1 -11.7 -10.4 NaN 0 MILK 0.9 0.7 1.1 NaN 0 MXP 79.4 74.9 84.0 58.0 58 NASDAQ_micro -0.1 -0.5 0.3 -2.0 -2 NIKKEI -1.3 -4.0 1.3 -4.0 -4 NZD 1.9 1.5 2.3 0.0 0 OAT -0.4 -0.7 -0.1 0.0 0 OATIES 0.0 -0.3 0.4 NaN 0 OJ 2.9 2.7 3.0 NaN 0 PALLAD -0.4 -0.5 -0.3 0.0 0 PLAT 2.0 1.8 2.2 3.0 3 REDWHEAT 0.4 0.2 0.5 0.0 0 RICE 5.0 4.6 5.4 NaN 0 ROBUSTA 0.1 -0.0 0.1 -1.0 -1 RUSSELL -4.2 -6.0 -2.5 -42.0 -42 SHATZ -11.3 -12.0 -10.7 NaN 0 SILVER-mini 1.3 1.2 1.5 0.0 0 SMI 4.3 4.0 4.5 7.0 7 SOFR -4.7 -6.8 -2.7 NaN 0 SOYBEAN -0.5 -0.6 -0.4 -1.0 -1 SOYMEAL -0.6 -0.7 -0.5 0.0 0 SOYOIL -1.6 -1.7 -1.5 -4.0 -4 SP400 -0.2 -0.3 -0.1 2.0 2 SP500_micro 1.3 0.5 2.1 1.0 1 SUGAR11 -3.8 -4.1 -3.4 -3.0 -3 US10 -0.8 -0.9 -0.6 0.0 0 US10U -0.3 -0.4 -0.1 -5.0 -5 US2 -4.5 -4.8 -4.1 NaN 0 US20 0.2 0.1 0.3 0.0 0 US30 0.0 -0.1 0.1 0.0 0 US5 -1.9 -2.2 -1.7 -7.0 -7 VIX -65.1 -68.4 -61.9 -63.0 -63 WHEAT 0.4 0.3 0.5 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 0.1 0.1 -0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 -0.1 0.1 -0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.1 0.1 0.4 0.0 -0.1 0.0 0.0 -0.0 0.0 -0.0 -0.1 0.3 0.5 0.3 -0.4 -0.3 -0.1 -0.0 BITCOIN 0.1 -0.4 0.0 0.1 -0.0 0.1 0.1 0.1 0.1 0.1 0.4 0.2 0.6 0.1 0.1 -0.1 -0.1 -0.1 -0.2 0.1 0.2 0.2 0.5 0.1 -2.7 0.1 0.0 0.3 0.1 0.5 0.0 -0.2 0.0 -0.4 -0.6 0.6 -0.4 -0.1 0.4 0.1 BOBL 0.1 -0.3 -0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 0.3 -0.1 0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.3 -0.0 -0.1 -0.7 -0.6 -0.0 -0.4 BTP 0.1 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.3 0.0 0.3 0.0 -0.0 0.1 0.1 0.1 0.1 0.0 0.0 -0.0 0.2 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.2 0.0 0.9 0.1 -0.2 0.3 0.6 -0.4 -0.3 0.5 0.1 BUND 0.1 -0.3 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.2 -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 -0.0 -0.3 0.1 0.1 -0.7 -0.7 0.1 -0.3 BUXL 0.1 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -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 -0.0 -0.0 -0.3 0.2 0.3 -0.7 -0.7 -0.3 -0.2 CAC 0.2 -0.3 0.4 0.1 -0.0 0.2 0.0 0.3 0.1 -0.2 0.5 0.1 0.7 0.2 0.2 0.0 0.0 0.2 0.1 0.2 0.2 -0.0 0.5 0.1 -1.8 0.1 -0.1 0.3 -0.0 0.4 0.1 0.9 -0.4 -0.3 0.6 0.5 -0.3 0.2 -0.4 0.4 CAD 0.2 -0.2 -0.2 -0.0 -0.0 -0.1 0.0 0.0 0.0 -0.2 -0.3 -0.0 -0.4 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 0.0 -0.3 -0.5 -0.1 -0.2 -0.3 -0.4 -0.0 -0.3 CANOLA 0.6 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 0.1 -0.0 0.1 -0.3 0.1 -2.7 0.0 0.0 -0.0 0.0 -0.2 0.0 -1.1 0.0 0.3 0.1 -0.0 -0.7 -0.5 -0.2 -0.1 CHF 0.3 -0.3 -0.6 -0.0 -0.0 -0.0 0.0 0.0 0.0 -0.2 -0.5 -0.1 -0.5 -0.1 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.1 0.3 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 -1.1 -0.5 -0.6 -0.5 -0.6 0.0 -0.5 0.3 -0.4 COCOA -0.6 -0.6 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 -0.0 0.2 -0.1 0.0 0.3 0.3 0.4 0.4 0.0 0.1 -0.0 0.2 -0.0 -2.0 0.0 0.0 0.1 -0.0 0.1 -0.0 1.1 -0.2 -0.6 0.1 0.6 0.2 0.0 0.4 0.3 COFFEE -0.6 -0.1 0.2 0.0 0.1 0.1 0.1 -0.0 0.1 0.1 0.2 0.0 0.3 -0.0 0.0 0.1 0.2 0.2 0.2 0.1 0.1 0.1 0.2 0.0 -2.4 0.0 0.0 0.1 0.0 0.1 0.0 0.5 0.5 -0.6 0.6 0.6 0.0 -0.6 0.3 -0.2 COPPER -0.2 0.3 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.3 0.1 0.3 0.1 0.1 0.1 -0.1 -0.0 -0.0 0.2 0.2 0.1 0.2 0.2 -1.5 0.1 -0.0 0.1 0.0 0.1 0.0 0.2 0.3 0.6 0.6 0.6 -0.5 -0.1 0.3 0.2 CORN 0.4 0.4 0.6 0.1 0.1 0.1 0.1 -0.0 0.1 0.0 -0.2 0.1 -0.6 0.1 0.1 -0.4 -0.2 -0.4 -0.3 0.1 -0.0 0.0 -0.4 0.1 -2.1 0.0 0.0 -0.0 0.0 -0.2 0.0 -1.1 -0.1 0.2 0.2 -0.3 -0.6 -0.7 -0.6 -0.0 COTTON2 -0.0 -0.6 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.2 -0.0 -0.1 -0.1 -0.1 0.0 0.1 0.1 0.1 -0.1 -0.1 0.0 -0.1 -0.1 -2.4 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 -0.5 -0.6 0.0 -0.3 -0.5 0.2 -0.0 CRUDE_W -0.5 -0.4 0.2 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.2 0.2 -0.2 0.6 -0.2 0.1 0.3 0.2 0.3 0.3 -0.0 0.1 -0.1 0.4 -0.1 -0.7 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.0 -0.1 -0.4 -0.0 0.1 0.7 0.6 0.7 0.6 DAX 0.4 -0.2 0.4 0.0 -0.0 0.2 0.0 0.2 0.1 -0.2 0.5 0.1 0.7 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 1.8 0.1 -0.0 0.3 0.0 0.3 0.1 -0.5 -0.2 -0.1 0.6 0.6 -0.0 0.2 0.0 0.5 DOW 0.6 -0.4 -0.2 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.4 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.0 0.4 0.1 -1.8 0.0 -0.1 0.1 0.0 0.3 0.0 -0.5 -0.2 -0.1 0.2 -0.3 0.2 -0.2 0.4 -0.4 DX -0.6 0.2 0.3 -0.0 -0.0 -0.0 0.0 0.0 0.0 0.1 0.4 -0.1 0.5 -0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.3 -0.0 -2.7 0.0 0.0 0.1 -0.0 0.2 -0.0 0.9 -0.3 -0.6 0.6 0.6 0.3 0.2 0.4 0.5 EUR 0.5 -0.1 -0.1 -0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 -0.2 0.1 -0.3 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.1 -0.2 0.1 2.7 0.0 -0.1 -0.0 0.0 -0.0 0.1 -0.4 0.1 0.2 0.3 0.2 -0.7 -0.6 -0.7 -0.4 EURIBOR-ICE 0.2 -0.5 -0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 1.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.1 -0.7 -0.7 0.1 0.3 EUROSTX 0.2 -0.3 0.4 0.1 -0.0 0.2 0.0 0.2 0.1 -0.2 0.5 0.1 0.7 0.2 0.2 -0.2 -0.0 -0.1 -0.0 0.2 0.2 0.0 0.5 0.1 -0.2 0.1 -0.0 0.3 0.0 0.4 0.1 0.4 -0.2 -0.3 0.6 0.6 -0.5 0.2 -0.7 0.3 FEEDCOW 0.3 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.0 0.1 0.1 -0.0 0.2 -0.1 0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.0 0.2 -0.0 0.1 -0.9 0.0 0.1 -0.0 0.1 0.1 0.1 -1.1 0.5 0.1 -0.1 -0.0 0.7 0.7 0.7 0.7 GASOIL -0.4 -0.6 -0.0 -0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.1 -0.2 0.5 -0.2 -0.1 -0.1 0.3 0.1 0.2 -0.1 0.0 -0.1 0.4 -0.2 0.9 -0.1 -0.1 -0.0 -0.1 0.2 -0.1 0.2 -0.1 -0.1 -0.4 -0.3 -0.5 -0.3 -0.7 -0.7 GASOLINE -0.6 -0.5 0.3 -0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.2 0.3 -0.2 0.6 -0.2 0.0 0.4 0.3 0.4 0.3 -0.0 0.1 -0.1 0.4 -0.2 -2.7 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.0 -0.1 -0.5 -0.2 0.2 0.7 0.7 0.7 0.7 GAS_US_mini 0.6 0.6 0.4 -0.0 -0.1 0.1 -0.0 0.1 -0.0 0.1 -0.5 0.2 -0.7 0.2 0.0 -0.4 -0.4 -0.4 -0.4 0.1 -0.1 0.2 -0.5 0.2 2.7 0.0 0.1 -0.1 0.1 -0.2 0.1 -1.1 0.5 0.6 0.6 -0.6 -0.3 -0.2 -0.6 -0.3 GBP 0.5 -0.1 -0.1 -0.0 -0.0 -0.1 0.0 0.0 0.0 0.2 0.2 0.2 0.2 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 0.2 0.1 0.2 0.2 0.0 0.0 0.1 0.1 0.1 0.1 0.2 0.5 0.6 0.4 0.4 -0.7 -0.5 -0.7 -0.3 GOLD_micro -0.2 -0.2 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.3 0.0 0.4 0.1 0.1 -0.2 -0.3 -0.3 -0.3 0.2 0.2 0.0 0.3 0.1 -0.5 0.0 -0.0 0.1 0.0 0.1 0.0 -0.8 -0.3 -0.2 0.4 0.6 -0.3 -0.5 0.0 -0.2 HEATOIL -0.4 -0.5 -0.1 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.2 -0.1 -0.2 0.3 -0.2 -0.2 -0.2 0.3 0.0 0.2 -0.2 -0.0 -0.1 0.2 -0.2 -2.7 -0.1 -0.1 -0.0 -0.1 0.2 -0.1 0.1 -0.1 -0.3 -0.6 -0.4 0.4 0.2 0.1 0.0 JGB-SGX-mini -0.1 -0.6 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.4 0.3 0.4 0.3 -0.1 -0.1 -0.1 -0.0 -0.1 -1.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 -0.2 -0.5 -0.4 -0.1 -0.6 -0.3 -0.0 0.4 JPY 0.3 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.0 -0.4 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.2 -0.4 -0.4 -0.4 -0.7 -0.4 -0.6 -0.4 LEANHOG -0.6 -0.5 0.5 0.1 0.1 0.1 0.1 -0.0 0.1 -0.2 0.3 -0.2 -0.1 -0.2 -0.1 -0.2 -0.4 -0.4 -0.4 -0.1 0.0 -0.2 0.0 -0.2 1.2 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 -0.6 0.2 -0.3 -0.3 -0.1 0.3 LIVECOW 0.5 -0.0 0.0 0.1 0.1 0.1 0.1 -0.0 0.1 0.1 0.0 0.2 0.0 0.1 0.0 0.4 0.2 0.4 0.3 0.1 0.0 0.2 0.0 0.2 -0.9 0.0 0.1 0.1 0.1 0.1 0.1 0.7 0.5 0.5 0.0 0.5 0.7 0.7 0.7 0.7 LUMBER-new 0.3 -0.7 -0.4 0.1 0.1 0.1 0.1 0.0 0.1 0.1 -0.3 0.1 -0.5 -0.2 -0.2 -0.5 -0.4 -0.5 -0.4 -0.2 -0.2 -0.0 -0.3 -0.2 NaN -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -1.2 -0.3 -0.1 -0.7 -0.7 -0.5 -0.4 -0.2 -0.3 MILK 0.6 0.6 0.6 0.0 0.1 0.1 0.1 -0.0 0.1 -0.0 -0.0 0.1 -0.3 0.1 0.1 0.4 -0.4 -0.2 -0.4 0.2 0.0 0.1 -0.2 0.2 2.0 0.0 0.0 0.0 0.0 -0.1 0.0 -1.1 -0.0 0.6 0.6 0.3 -0.7 -0.7 -0.6 -0.7 MXP 0.4 -0.4 -0.1 -0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 0.5 0.2 0.7 0.1 0.1 0.3 0.3 0.3 0.3 0.1 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 0.1 0.4 0.1 1.1 0.4 0.6 0.5 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro 0.6 -0.5 -0.1 0.0 -0.0 0.1 0.0 0.1 0.0 0.1 0.3 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.2 0.5 0.2 -2.7 0.0 0.0 0.1 0.1 0.3 0.1 -0.4 0.4 0.2 0.1 -0.2 -0.0 0.0 -0.0 0.0 NIKKEI 0.1 -0.6 -0.0 0.0 -0.0 0.1 0.0 0.2 0.0 -0.0 0.3 0.1 0.5 -0.0 0.0 0.0 0.2 0.1 0.1 0.0 0.2 0.0 0.5 0.0 -2.2 0.0 -0.0 0.2 0.0 0.4 0.0 1.1 0.1 -0.5 -0.4 0.1 -0.2 -0.2 -0.2 -0.3 NZD 0.6 0.1 -0.2 -0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.2 0.1 -0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 0.3 0.4 0.4 0.1 -0.1 -0.2 0.1 0.2 OAT 0.2 -0.3 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.1 -0.0 0.3 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.9 -0.0 -0.2 0.1 0.2 -0.7 -0.6 0.2 -0.1 OATIES 0.4 0.6 0.3 0.0 0.0 0.1 0.1 -0.0 0.0 -0.1 -0.1 -0.0 -0.3 0.0 0.1 0.2 0.1 0.2 0.1 0.1 0.0 -0.0 -0.1 0.0 -2.7 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 -0.3 0.5 0.4 0.1 -0.4 -0.1 0.1 0.5 OJ 0.6 0.6 0.4 0.1 0.1 0.1 0.1 -0.0 0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.3 0.3 0.2 0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.1 0.1 0.2 0.1 0.7 0.5 0.6 0.6 0.6 0.1 0.3 0.6 0.7 PALLAD 0.1 -0.0 0.3 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 -0.1 0.0 -0.3 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.3 0.0 1.9 -0.0 -0.0 -0.0 0.0 -0.1 0.0 0.3 -0.3 -0.4 -0.4 -0.3 -0.7 -0.7 -0.7 -0.5 PLAT 0.6 0.5 0.4 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.1 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.0 0.2 1.3 0.0 -0.0 0.1 0.0 0.0 0.1 0.1 0.1 0.6 0.3 -0.0 -0.7 -0.2 0.3 0.2 REDWHEAT 0.5 0.6 0.6 0.0 0.1 0.1 0.1 -0.0 0.1 0.1 0.1 0.2 -0.4 0.2 0.1 -0.2 -0.0 -0.1 -0.1 0.2 0.1 0.2 -0.2 0.2 -0.8 0.0 0.0 0.0 0.1 -0.0 0.1 -0.6 0.5 0.6 0.6 0.2 -0.4 -0.7 0.0 -0.6 RICE 0.5 0.6 -0.1 0.0 0.1 0.1 0.1 -0.0 0.1 0.1 0.3 0.2 0.4 0.2 0.1 0.4 0.4 0.4 0.4 0.2 0.1 0.1 0.3 0.2 -1.4 0.0 0.0 0.0 0.0 0.0 0.0 1.1 0.0 0.3 0.6 0.0 -0.2 -0.2 -0.1 0.1 ROBUSTA -0.6 -0.6 -0.4 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.2 -0.0 0.3 -0.0 0.0 0.3 0.4 0.4 0.4 0.0 0.1 0.1 0.3 0.0 -2.7 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.4 -0.5 0.5 0.6 -0.2 -0.5 0.2 0.1 RUSSELL 0.5 -0.3 0.2 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.3 0.1 0.4 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.2 0.1 -0.3 0.0 -0.1 0.1 0.0 0.2 0.0 -0.0 -0.2 -0.2 0.1 -0.4 -0.2 -0.7 -0.3 -0.7 SHATZ 0.1 -0.2 -0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.3 -0.1 1.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.2 -0.5 -0.2 -0.3 -0.7 -0.7 -0.6 -0.6 SILVER-mini 0.2 0.3 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 0.0 0.3 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.2 0.2 0.3 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.4 0.5 0.6 0.6 -0.3 -0.4 0.5 0.2 SMI 0.6 0.0 0.4 0.0 -0.0 0.1 0.0 0.2 0.0 0.0 0.4 0.2 0.5 0.2 0.2 -0.1 0.1 -0.0 0.0 0.2 0.2 0.2 0.3 0.2 1.9 0.1 0.0 0.2 0.1 0.1 0.1 0.8 0.5 0.5 0.6 0.1 0.4 -0.0 0.5 -0.0 SOFR 0.6 -0.2 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.1 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.4 -0.0 -0.0 -0.0 0.0 -0.0 0.0 0.3 0.2 0.2 0.0 -0.0 -0.2 -0.7 0.4 -0.0 SOYBEAN 0.6 0.5 0.2 0.1 0.1 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 -0.0 0.1 -0.2 0.1 -2.7 0.0 0.0 0.0 0.1 -0.1 0.1 0.2 -0.1 0.5 0.1 -0.2 -0.5 -0.7 -0.5 -0.7 SOYMEAL 0.6 0.6 0.1 0.0 0.1 0.1 0.1 -0.0 0.1 0.1 -0.2 0.1 -0.3 0.1 0.1 0.1 0.1 0.0 0.0 0.1 -0.0 0.1 -0.2 0.1 -2.7 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.3 0.6 0.6 -0.0 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.3 -0.2 0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.2 0.1 -0.3 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.6 0.2 -0.2 -0.6 -0.2 -0.7 -0.5 -0.3 0.1 SP400 0.5 -0.4 0.4 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.4 0.1 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.2 -0.0 0.4 0.1 -1.8 0.0 -0.1 0.2 -0.0 0.2 0.0 0.0 -0.3 -0.2 0.1 -0.0 -0.2 -0.4 -0.2 -0.7 SP500_micro 0.6 -0.5 0.1 0.0 -0.0 0.1 0.0 0.2 0.0 0.0 0.5 0.2 0.6 0.2 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.3 0.1 -0.5 0.3 0.2 0.1 0.1 0.1 -0.1 0.2 -0.1 SUGAR11 -0.1 -0.6 -0.6 0.0 0.1 0.1 0.1 -0.0 0.1 -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 -0.1 0.7 -0.5 -0.6 -0.6 -0.6 0.7 0.4 0.7 0.7 US10 0.6 -0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 0.0 0.4 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.3 0.1 0.1 0.0 0.0 -0.4 -0.7 0.1 0.1 US10U 0.6 -0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 -0.3 -0.0 -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 0.2 0.2 0.1 0.1 -0.4 -0.6 0.6 0.3 US2 0.5 -0.3 -0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 0.0 -0.3 -0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.0 -0.3 -0.0 1.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.1 -0.1 -0.1 -0.3 -0.5 -0.7 -0.3 -0.7 US20 0.6 -0.2 -0.2 -0.0 -0.0 -0.1 -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 -0.0 -0.1 0.0 -0.2 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.3 0.2 0.2 0.1 0.2 -0.5 -0.5 0.7 0.5 US30 0.6 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.1 -0.2 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.3 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.3 0.2 0.1 0.3 -0.6 -0.4 0.5 0.6 US5 0.6 -0.2 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 0.0 -0.3 -0.0 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.0 -0.3 0.0 0.8 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.6 0.1 0.1 -0.0 -0.1 -0.4 -0.7 -0.1 -0.2 VIX -0.9 -0.2 0.4 -0.1 -0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.9 -0.3 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.2 -0.9 -0.3 NaN -0.1 -0.0 -0.3 -0.1 -0.5 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.6 0.6 0.6 0.0 0.1 0.1 0.1 -0.0 0.1 0.1 0.2 0.1 -0.3 0.2 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.2 -0.1 0.2 0.1 0.0 0.0 0.0 0.1 -0.0 0.1 -1.1 0.5 0.6 0.6 0.2 -0.3 -0.7 -0.1 -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 13.9 4.4 2.4 -1.1 -3.6 -1.4 1.2 0.7 1.5 -13.2 -1.9 7.8 -7.6 12.2 8.7 -2.6 -2.8 -2.7 -2.7 5.6 1.0 2.0 -3.0 8.4 3.0 3.6 -6.4 1.3 0.9 -0.7 4.6 -0.4 -4.5 8.3 15.3 8.1 -10.7 -7.8 -3.0 -0.5 BITCOIN 2.9 -12.3 1.2 5.7 -2.3 4.0 4.8 2.0 6.4 10.2 14.0 15.4 16.1 4.9 9.6 -6.5 -7.2 -7.3 -7.6 9.6 19.1 16.7 20.0 10.2 -20.0 5.5 2.6 10.7 5.3 12.7 3.9 -3.6 0.1 -11.6 -20.0 20.0 -11.4 -1.7 10.9 2.8 BOBL 3.6 -8.2 -11.7 -1.4 -2.7 -1.7 -0.8 -1.7 -0.4 -7.9 -6.3 -5.2 -4.6 -6.5 -8.1 13.8 -5.3 7.7 -0.6 -6.4 -5.9 -6.1 -5.2 -5.2 4.5 -2.8 -4.9 -2.2 -3.3 -1.7 -2.7 -0.3 -4.5 -10.0 -1.0 -1.7 -20.0 -18.9 -0.1 -11.3 BTP 4.4 -9.5 -1.8 -2.3 -4.5 -2.7 -1.3 -2.8 -0.6 -9.1 9.5 1.4 9.5 0.6 -2.5 4.6 5.9 4.8 5.0 0.8 4.4 -1.8 6.6 0.2 -20.0 1.7 -5.3 4.7 -1.6 5.9 0.1 16.0 4.8 -5.6 8.4 18.7 -11.1 -9.9 14.4 2.5 BUND 4.4 -8.1 -7.4 -1.6 -3.0 -1.8 -0.9 -1.9 -0.4 -8.5 -3.0 -3.6 -2.2 -5.1 -7.5 -9.5 -1.2 -8.0 -5.0 -4.7 -3.9 -4.6 -3.7 -3.7 1.9 -1.9 -5.3 -0.9 -3.2 -0.7 -2.3 1.6 -1.9 -8.0 3.1 3.9 -20.0 -20.0 3.6 -9.4 BUXL 2.6 -8.0 -2.6 -1.9 -3.7 -2.2 -1.1 -2.3 -0.5 -10.2 -1.3 -5.5 -2.7 -6.1 -8.2 -8.6 -3.2 -7.4 -5.3 -4.9 -3.5 -5.2 -4.6 -4.5 -2.0 -1.2 -5.1 0.3 -3.7 -0.2 -2.6 -0.2 -1.7 -9.8 6.3 9.4 -20.0 -20.0 -9.7 -6.5 CAC 7.3 -9.0 13.5 5.4 -4.1 6.9 3.3 7.3 5.5 -20.0 20.0 10.1 20.0 14.0 20.0 0.1 2.3 7.5 5.5 20.0 20.0 -0.9 20.0 13.2 -13.3 8.7 -7.6 10.7 -0.4 10.2 5.3 16.7 -18.2 -9.7 19.4 16.5 -8.9 7.4 -13.0 11.2 CAD 6.1 -5.3 -6.5 -1.5 -4.9 -1.9 1.6 1.0 2.1 -18.7 -12.8 -0.5 -12.1 -2.4 -11.4 -3.2 -2.5 -2.9 -2.6 -7.2 -9.2 -7.2 -8.9 -3.0 -0.9 -4.4 -16.0 -5.5 -5.8 -5.2 -2.2 0.0 -13.0 -14.8 -3.7 -4.9 -8.1 -12.3 -0.6 -8.5 CANOLA 17.8 18.0 20.0 2.9 4.5 1.8 4.3 -0.0 3.8 9.7 -3.9 10.0 -7.4 9.0 8.4 -14.8 -8.6 -15.2 -13.6 6.3 -1.7 10.9 -9.4 10.1 -20.0 2.3 3.2 -1.0 3.9 -4.3 3.7 -20.0 1.6 8.0 2.1 -0.2 -20.0 -16.5 -6.7 -4.1 CHF 10.6 -7.9 -20.0 -1.4 -4.4 -1.7 1.5 0.9 1.8 -19.7 -19.5 -7.8 -14.3 -11.4 -19.4 -16.9 -16.1 -16.6 -16.3 -20.0 -20.0 -15.1 -16.8 -13.1 2.1 -7.0 -7.8 -7.4 -5.5 -4.4 -4.5 -20.0 -20.0 -19.4 -15.7 -20.0 1.3 -15.8 8.1 -13.3 COCOA -20.0 -20.0 -9.8 1.8 2.8 1.1 2.7 -0.0 2.3 -0.1 3.5 -4.5 5.1 -4.7 1.1 13.0 14.8 20.0 19.9 0.3 5.5 -2.7 6.3 -4.5 -15.2 1.4 0.4 3.2 -0.4 3.7 -0.3 20.0 -9.8 -20.0 3.1 20.0 6.3 1.2 10.7 7.9 COFFEE -20.0 -2.4 7.6 4.0 6.2 2.4 5.9 -0.0 5.1 10.2 7.9 1.9 8.0 -1.4 1.3 5.7 8.3 9.1 9.5 6.6 10.5 12.4 9.0 4.4 -18.3 3.2 4.4 4.1 3.1 3.5 2.0 8.9 18.9 -20.0 20.0 20.0 0.6 -18.0 10.4 -6.1 COPPER -5.5 9.6 20.0 3.6 -1.4 2.5 3.0 1.3 4.0 -3.2 12.2 5.2 7.3 10.6 12.4 4.9 -3.5 -0.1 -2.5 18.9 14.9 8.0 8.5 17.5 -11.4 4.7 -1.7 3.8 2.2 2.2 4.3 3.8 11.3 20.0 20.0 20.0 -15.2 -3.3 9.2 6.6 CORN 11.0 13.9 18.9 5.2 8.1 3.1 7.7 -0.0 6.7 1.5 -5.7 5.7 -16.8 10.6 10.9 -18.3 -11.5 -18.8 -16.6 5.8 -3.9 4.1 -15.1 7.6 -15.7 3.5 2.5 -1.7 2.5 -6.3 4.6 -20.0 -3.5 7.0 7.2 -8.5 -18.4 -20.0 -18.1 -0.4 COTTON2 -0.1 -20.0 -10.0 2.8 4.3 1.7 4.1 -0.0 3.6 7.7 -6.9 -1.1 -3.8 -8.1 -9.1 2.3 3.6 6.9 5.1 -12.2 -7.8 0.9 -3.3 -8.6 -17.9 -2.4 2.4 -0.7 0.2 0.6 -2.0 0.3 -5.9 -14.3 -20.0 0.3 -8.0 -13.5 5.7 -0.4 CRUDE_W -15.8 -11.0 6.4 -1.5 -10.1 2.8 -5.9 4.9 -4.9 -20.0 7.6 -20.0 15.5 -19.8 5.6 12.9 12.1 14.1 13.1 -2.1 9.1 -16.2 15.2 -12.6 -5.5 -1.7 -11.4 3.7 -7.8 6.9 -6.3 -0.1 -4.6 -11.0 -0.6 3.7 20.0 16.6 20.0 18.8 DAX 11.9 -7.4 11.9 4.6 -3.4 5.8 2.7 6.2 4.7 -17.1 20.0 10.7 20.0 13.1 17.2 -10.3 -11.5 -11.5 -12.0 20.0 20.0 5.6 20.0 16.3 13.2 7.7 -3.5 9.6 1.1 8.8 4.8 -9.8 -8.8 -2.9 20.0 20.0 -0.0 6.5 0.9 14.7 DOW 20.0 -12.2 -6.7 3.7 -2.8 4.8 2.3 5.1 3.8 -10.8 14.2 10.1 14.5 9.3 5.3 -11.4 -11.2 -11.8 -11.8 9.0 11.2 4.2 15.4 11.8 -13.5 4.1 -7.7 5.4 1.2 7.1 4.5 -9.3 -6.4 -2.1 5.2 -9.6 5.0 -6.1 10.7 -12.6 DX -17.4 6.0 8.5 -1.5 -4.6 -1.8 1.5 0.9 2.0 7.9 14.7 -11.2 12.9 -3.4 10.6 7.3 6.7 7.3 7.0 6.9 12.2 -4.1 11.2 -4.1 -20.0 2.9 4.4 5.0 -1.9 4.6 -1.8 16.1 -14.5 -20.0 20.0 20.0 8.9 6.6 12.1 14.7 EUR 14.5 -2.7 -3.5 -1.5 -4.8 -1.8 1.6 1.0 2.0 -6.5 -7.6 12.7 -9.0 12.0 -2.1 -7.3 -6.9 -7.1 -6.8 0.1 -5.5 5.8 -6.0 8.4 20.0 1.9 -5.8 -0.6 3.3 -1.1 5.6 -7.4 3.8 7.4 7.8 5.9 -20.0 -17.1 -20.0 -13.1 EURIBOR-ICE 7.0 -16.7 -15.7 -1.3 -2.6 -1.6 -0.8 -1.6 -0.4 -7.1 -0.6 -3.2 0.8 -5.1 -6.8 -6.3 -4.5 -5.1 -4.2 -5.4 -3.1 -5.1 -0.6 -4.2 12.0 -2.4 -4.3 -1.1 -2.5 0.1 -2.2 -0.6 -3.6 -7.4 -3.8 -2.0 -20.0 -20.0 2.1 10.3 EUROSTX 7.6 -10.0 13.4 4.9 -3.7 6.3 3.0 6.6 5.0 -18.3 20.0 11.8 20.0 14.1 20.0 -8.0 -1.1 -5.2 -2.5 20.0 20.0 2.5 20.0 13.6 -1.7 8.4 -5.0 11.4 0.4 11.4 4.8 7.9 -9.8 -9.3 18.8 20.0 -14.5 5.9 -20.0 9.6 FEEDCOW 8.6 -3.0 -4.5 5.3 8.3 3.2 7.9 -0.0 6.8 15.1 -1.3 14.4 -2.7 9.8 -2.0 -20.0 -20.0 -20.0 -20.0 -0.3 -3.7 20.0 -0.9 10.4 -6.9 1.2 9.6 -0.2 9.5 2.0 5.3 -20.0 20.0 2.3 -4.3 -1.1 20.0 20.0 20.0 20.0 GASOIL -13.7 -17.3 -1.0 -1.3 -9.1 2.6 -5.3 4.4 -4.5 -15.7 4.3 -16.0 14.5 -20.0 -11.9 -3.1 16.6 5.2 11.7 -11.8 1.3 -13.3 13.4 -16.8 6.9 -5.0 -7.6 -0.0 -5.4 4.2 -6.7 3.7 -5.2 -4.5 -13.9 -10.2 -16.2 -9.9 -20.0 -20.0 GASOLINE -20.0 -15.3 8.2 -1.3 -9.2 2.6 -5.3 4.4 -4.5 -19.4 12.4 -19.6 16.4 -18.6 4.6 19.3 13.7 17.9 12.8 -4.1 9.1 -16.5 15.3 -15.5 -20.0 -2.3 -7.5 3.1 -6.9 6.5 -6.7 -0.0 -2.2 -16.9 -7.4 6.7 20.0 20.0 20.0 20.0 GAS_US_mini 20.0 20.0 13.2 -1.1 -7.9 2.2 -4.6 3.8 -3.9 15.3 -17.2 18.7 -20.0 18.1 1.9 -20.0 -20.0 -20.0 -20.0 8.4 -10.9 20.0 -20.0 20.0 20.0 2.8 10.9 -3.4 12.4 -6.6 9.1 -20.0 20.0 20.0 20.0 -20.0 -8.8 -5.5 -16.9 -10.4 GBP 14.3 -4.1 -4.1 -1.6 -5.0 -1.9 1.6 1.0 2.1 18.3 7.9 20.0 4.8 17.8 -0.2 -1.1 -0.8 -1.0 -0.8 4.1 0.4 19.3 2.4 15.0 1.4 4.1 5.1 2.5 10.8 2.5 8.9 3.0 20.0 17.6 13.3 11.5 -20.0 -15.3 -20.0 -7.6 GOLD_micro -6.9 -5.1 19.8 3.5 -1.4 2.4 2.9 1.2 3.9 -6.9 11.7 3.4 10.4 7.3 10.8 -11.7 -14.2 -13.0 -13.7 14.0 15.9 1.8 12.4 8.7 -3.5 4.0 -3.2 4.9 0.4 4.0 2.2 -14.8 -13.2 -7.5 11.6 20.0 -9.4 -14.8 0.2 -7.1 HEATOIL -12.6 -16.8 -2.9 -1.4 -9.6 2.7 -5.6 4.6 -4.7 -19.3 -4.4 -19.6 8.7 -20.0 -17.2 -7.7 16.0 1.0 9.2 -15.2 -4.1 -15.0 7.4 -18.9 -20.0 -5.7 -7.5 -0.9 -5.9 4.2 -7.2 1.2 -5.2 -8.4 -18.5 -13.2 10.6 5.8 3.1 1.1 JGB-SGX-mini -4.3 -20.0 -13.3 -1.8 -3.4 -2.1 -1.0 -2.1 -0.5 -9.5 -0.9 -10.6 2.4 -10.7 -10.6 19.9 16.9 17.9 16.0 -11.0 -6.7 -11.4 -1.2 -11.7 -9.5 -3.7 -3.3 -2.6 -3.6 -1.4 -3.8 20.0 -10.1 -15.0 -13.3 -3.5 -16.9 -7.6 -0.5 12.0 JPY 9.0 -1.1 -2.2 -0.6 -1.9 -0.7 0.6 0.4 0.8 -8.6 -9.4 -6.7 -9.9 -7.4 -8.7 -13.8 -16.3 -15.5 -16.0 -9.7 -11.3 -5.5 -13.0 -6.9 20.0 -3.3 -1.7 -3.7 -1.6 -3.9 -2.3 -20.0 -8.8 -11.7 -13.2 -13.7 -20.0 -11.1 -18.9 -10.6 LEANHOG -20.0 -16.5 16.2 6.8 10.7 4.2 10.2 -0.1 8.8 -20.0 9.7 -20.0 -2.4 -20.0 -5.8 -8.7 -20.0 -20.0 -20.0 -11.3 3.8 -20.0 0.4 -20.0 8.8 -3.9 -11.4 2.3 -11.4 1.7 -9.7 -20.0 -20.0 -20.0 -20.0 5.4 -10.3 -10.3 -2.7 10.0 LIVECOW 15.5 -1.1 1.0 5.3 8.2 3.2 7.9 -0.0 6.8 16.0 1.8 18.1 0.4 11.2 1.3 19.7 8.1 20.0 15.5 5.5 0.6 20.0 1.4 17.1 -6.6 4.1 11.5 2.6 12.0 3.7 8.0 12.9 20.0 14.9 1.0 14.4 20.0 20.0 20.0 20.0 LUMBER-new 6.9 -20.0 -10.1 5.6 8.7 3.4 8.3 0.4 7.2 11.7 -9.6 6.3 -13.1 -13.8 -14.8 -20.0 -17.9 -20.0 -19.4 -20.0 -16.8 -0.5 -9.4 -13.5 NaN -5.5 1.3 -4.0 -0.1 -1.8 -3.3 -20.0 -12.2 -2.6 -20.0 -20.0 -13.1 -10.9 -5.0 -6.8 MILK 20.0 20.0 20.0 3.7 5.7 2.2 5.5 -0.0 4.8 -1.0 -0.6 9.9 -9.2 12.7 11.2 19.6 -20.0 -9.1 -20.0 17.5 4.4 12.6 -8.7 20.0 14.9 3.7 0.3 0.8 2.7 -2.2 4.6 -20.0 -0.6 20.0 20.0 7.9 -20.0 -20.0 -17.0 -20.0 MXP 12.2 -12.1 -1.8 -1.4 -4.6 -1.8 1.5 0.9 1.9 1.8 17.8 16.5 20.0 7.8 9.6 16.1 17.1 16.7 16.6 13.1 17.2 14.1 20.0 15.2 -20.0 6.0 -0.2 7.6 5.6 10.3 6.3 20.0 15.5 19.9 14.0 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro 20.0 -14.0 -4.5 3.1 -2.3 3.9 1.8 4.1 3.1 8.0 13.0 13.1 13.9 12.1 10.0 -10.3 -10.4 -10.6 -10.7 10.2 12.3 16.8 18.0 15.7 -20.0 3.1 2.0 4.6 5.4 7.4 4.7 -7.6 18.2 7.2 2.4 -6.7 -1.0 0.8 -0.7 0.6 NIKKEI 2.3 -20.0 -1.0 3.7 -2.8 4.7 2.2 5.0 3.8 -0.8 11.9 7.4 15.0 -2.2 3.7 1.6 8.6 3.5 6.1 4.0 15.9 3.5 20.0 1.8 -16.4 1.7 -1.4 7.4 1.2 11.8 0.4 20.0 5.4 -15.3 -13.5 3.3 -7.4 -7.1 -6.2 -9.3 NZD 19.8 1.9 -5.5 -1.0 -3.3 -1.3 1.1 0.7 1.4 4.0 -2.7 11.5 -4.4 10.2 -0.0 0.1 0.2 0.1 0.2 2.9 -2.1 10.4 -3.2 10.5 0.9 1.7 1.5 -0.5 5.2 -0.9 5.3 4.7 11.0 12.8 11.6 2.0 -3.7 -4.7 2.4 7.0 OAT 5.6 -9.0 -7.1 -1.7 -3.3 -2.0 -1.0 -2.1 -0.5 -8.5 -1.0 -2.7 -0.5 -3.6 -7.0 5.7 6.1 5.6 5.4 -4.1 -2.9 -3.8 -2.2 -2.9 2.3 -1.5 -5.5 -0.2 -2.9 0.2 -1.8 16.6 -0.3 -6.0 4.2 5.8 -20.0 -19.0 4.8 -1.7 OATIES 11.0 20.0 9.5 3.4 5.3 2.0 5.0 -0.0 4.4 -7.9 -4.5 -4.4 -8.8 4.1 5.3 10.7 2.6 10.7 7.0 5.8 0.5 -4.1 -3.9 4.3 -20.0 2.7 -1.4 0.9 -0.2 -0.5 2.5 0.7 -10.6 16.9 11.6 4.4 -11.3 -1.7 2.5 13.6 OJ 20.0 20.0 12.3 6.4 10.0 3.9 9.6 -0.1 8.3 20.0 17.0 20.0 20.0 20.0 20.0 15.3 13.1 10.1 10.2 20.0 20.0 20.0 20.0 20.0 -20.0 7.0 10.1 4.7 13.0 6.3 11.2 13.6 20.0 20.0 20.0 20.0 4.3 8.8 17.0 20.0 PALLAD 1.6 -0.2 9.4 2.8 -1.1 1.9 2.3 1.0 3.1 -4.6 -4.1 2.3 -8.3 -3.2 0.6 -2.7 -2.2 -2.3 -2.2 -1.2 -3.7 -0.0 -10.0 0.0 14.3 -0.2 -4.1 -1.3 0.1 -4.0 0.3 5.6 -11.1 -11.8 -13.8 -10.8 -20.0 -20.0 -20.0 -13.5 PLAT 20.0 14.5 11.3 3.7 -1.5 2.6 3.1 1.3 4.1 -3.2 4.8 7.2 -5.1 9.2 8.8 -4.9 -3.9 -4.8 -4.4 12.8 6.5 9.7 1.1 16.1 10.1 4.1 -1.3 2.4 3.2 1.0 5.0 2.2 3.5 20.0 9.5 -0.8 -20.0 -7.2 8.2 6.6 REDWHEAT 16.1 20.0 20.0 4.2 6.5 2.5 6.2 -0.0 5.4 13.6 2.7 14.1 -11.1 14.2 12.5 -10.7 -1.7 -6.1 -3.4 17.6 5.2 20.0 -7.5 20.0 -6.3 4.6 4.4 1.5 5.0 -1.3 5.7 -10.6 20.0 20.0 20.0 5.3 -10.8 -20.0 1.3 -19.2 RICE 15.6 20.0 -2.3 4.2 6.6 2.5 6.3 -0.0 5.4 10.6 10.0 14.7 10.8 16.3 12.9 20.0 20.0 20.0 20.0 16.6 11.9 13.4 10.7 18.5 -10.6 3.2 2.6 1.7 3.4 1.4 4.2 20.0 2.0 9.4 18.5 1.3 -5.0 -4.5 -2.4 1.5 ROBUSTA -20.0 -20.0 -11.2 2.2 3.5 1.3 3.3 -0.0 2.9 5.5 5.7 -1.4 7.2 -2.5 1.5 15.4 20.0 19.5 20.0 4.1 9.8 6.9 11.2 0.7 -20.0 2.2 3.0 3.6 1.8 4.0 1.1 20.0 16.6 -16.1 14.6 20.0 -4.7 -13.9 4.8 4.1 RUSSELL 16.2 -8.9 5.1 3.6 -2.7 4.6 2.1 4.8 3.6 -9.9 12.0 8.6 11.1 6.1 4.3 -7.2 -6.6 -6.9 -6.7 5.9 7.0 1.3 7.4 7.4 -2.1 3.4 -8.1 4.1 0.1 4.4 3.5 -0.8 -9.6 -5.9 3.3 -12.0 -7.1 -20.0 -8.3 -20.0 SHATZ 3.1 -7.1 -19.4 -1.4 -2.7 -1.6 -0.8 -1.7 -0.4 -7.9 -8.8 -6.8 -8.5 -7.6 -8.8 -20.0 -20.0 -20.0 -20.0 -10.3 -11.3 -8.1 -11.4 -7.8 7.6 -3.3 -3.9 -3.1 -2.9 -2.7 -2.8 -20.0 -7.4 -14.2 -7.1 -10.3 -20.0 -20.0 -18.2 -18.4 SILVER-mini 6.9 9.0 19.6 3.3 -1.3 2.3 2.8 1.2 3.7 2.8 9.5 8.3 6.3 9.6 10.3 -6.4 -6.7 -6.6 -6.7 15.2 11.3 16.7 6.4 18.0 2.3 4.1 1.1 3.4 4.3 2.2 4.5 -2.2 16.2 15.9 17.7 17.3 -8.8 -13.5 14.6 5.0 SMI 20.0 0.9 11.5 4.0 -3.0 5.2 2.4 5.4 4.1 5.4 16.2 16.0 13.6 15.7 14.2 -2.9 3.1 -0.7 1.7 20.0 16.4 20.0 11.5 20.0 14.4 6.6 2.0 5.7 6.5 4.1 7.8 15.1 20.0 14.9 20.0 2.2 10.7 -0.1 13.5 -1.4 SOFR 20.0 -7.5 -11.2 -1.9 -3.6 -2.2 -1.1 -2.3 -0.5 -5.3 -2.8 5.0 -3.9 0.3 -6.2 -3.7 -0.9 -2.6 -1.6 -3.8 -6.5 2.5 -6.1 2.4 -2.6 -0.8 -1.9 -1.5 1.2 -1.3 1.4 4.8 8.3 7.0 0.7 -0.1 -5.1 -20.0 11.8 -0.8 SOYBEAN 17.9 14.1 5.8 5.3 8.2 3.2 7.9 -0.0 6.8 12.9 -7.1 11.7 -5.7 11.7 10.8 0.7 8.7 0.8 3.7 8.3 -2.3 11.7 -8.8 13.3 -20.0 4.1 3.8 0.2 5.3 -1.9 6.1 4.3 -3.6 16.9 3.3 -5.7 -16.5 -20.0 -13.9 -20.0 SOYMEAL 20.0 20.0 4.2 3.8 5.9 2.3 5.6 -0.0 4.9 10.1 -7.7 4.9 -8.9 7.5 5.5 3.9 6.0 0.1 1.2 9.7 -0.6 7.2 -6.2 12.3 -20.0 3.4 1.4 0.6 2.2 -0.7 3.9 -0.3 -10.9 20.0 19.1 -1.3 -20.0 -20.0 -20.0 -20.0 SOYOIL 8.5 -6.5 5.7 2.8 4.3 1.7 4.1 -0.0 3.6 3.8 -8.6 5.6 -8.6 -3.4 -5.3 -6.2 -0.6 -6.7 -4.9 -4.6 -7.1 4.6 -8.2 -0.2 -20.0 -1.9 1.0 -2.1 1.7 -2.0 -0.4 -11.2 8.5 -6.4 -17.5 -7.5 -20.0 -16.0 -8.3 2.5 SP400 14.6 -13.9 11.3 3.8 -2.9 4.9 2.3 5.2 3.9 -13.9 14.6 7.6 14.1 6.8 8.8 -7.4 -5.6 -6.3 -5.9 10.7 15.1 -0.6 16.2 8.6 -13.8 4.4 -8.3 6.1 -0.7 6.6 3.2 0.8 -14.5 -7.2 3.2 -0.5 -7.5 -10.6 -6.7 -20.0 SP500_micro 20.0 -17.0 4.0 3.9 -3.0 5.0 2.4 5.3 4.0 1.2 17.1 15.2 17.3 14.5 13.8 -12.1 -11.8 -12.4 -12.3 15.4 19.9 15.2 20.0 18.2 -20.0 5.0 -1.2 7.2 4.6 9.3 5.5 -10.2 11.9 5.3 4.4 4.0 1.6 -2.1 5.7 -2.1 SUGAR11 -4.3 -20.0 -20.0 4.1 6.4 2.5 6.1 -0.0 5.3 -11.3 -14.0 -12.4 -4.1 -14.6 -14.5 0.2 13.4 4.8 9.4 -20.0 -18.8 -15.8 -9.1 -20.0 -20.0 -5.3 -2.7 -4.6 -3.9 -2.2 -5.0 13.7 -20.0 -20.0 -20.0 -20.0 20.0 12.8 20.0 20.0 US10 19.1 -6.5 -8.5 -1.6 -3.1 -1.9 -0.9 -1.9 -0.4 -6.9 -3.3 3.9 -5.5 -0.2 -5.7 -5.0 -7.2 -5.8 -6.7 -3.5 -6.1 1.0 -7.9 1.2 2.7 -0.8 -2.1 -1.6 0.5 -2.0 0.9 -5.4 4.5 3.8 0.7 0.5 -11.9 -20.0 2.1 2.3 US10U 18.9 -6.6 -8.3 -2.4 -4.6 -2.8 -1.3 -2.9 -0.7 -7.4 -4.5 6.9 -7.9 -0.3 -8.7 -6.0 -2.0 -4.9 -3.4 -5.3 -9.3 2.6 -12.3 2.1 0.3 -1.0 -2.3 -2.1 1.4 -2.9 1.7 2.4 9.1 5.9 2.2 2.8 -11.7 -18.0 18.6 9.6 US2 15.4 -9.1 -17.5 -1.5 -2.9 -1.8 -0.9 -1.8 -0.4 -8.4 -7.8 0.1 -8.8 -4.0 -7.6 -20.0 -20.0 -20.0 -20.0 -8.2 -10.8 -4.0 -12.7 -3.5 12.7 -2.4 -3.7 -2.7 -1.5 -2.8 -1.1 -20.0 -2.9 -3.5 -4.6 -8.0 -14.7 -20.0 -9.5 -20.0 US20 20.0 -6.8 -5.0 -1.7 -3.3 -2.0 -1.0 -2.1 -0.5 -1.5 -0.2 6.2 -3.5 1.2 -4.7 -0.6 -0.7 -0.4 -0.5 -2.0 -4.7 4.0 -7.1 3.3 -1.0 0.4 -0.4 -0.4 2.2 -1.3 2.3 5.8 9.6 7.3 3.7 6.0 -15.2 -13.5 20.0 15.0 US30 18.7 -6.8 -4.3 -2.0 -3.9 -2.4 -1.2 -2.5 -0.6 -0.8 -1.9 7.4 -5.6 0.4 -6.0 -1.0 -4.8 -2.9 -4.3 -3.1 -6.2 4.5 -9.4 3.1 -0.4 0.1 -0.1 -0.9 2.7 -2.1 2.5 -1.3 12.1 6.4 4.0 7.8 -17.1 -12.3 14.2 17.5 US5 19.4 -7.1 -12.3 -1.6 -3.2 -1.9 -0.9 -2.0 -0.5 -7.8 -6.4 2.9 -7.5 -1.6 -6.9 -10.0 -10.1 -9.8 -9.9 -5.2 -8.0 -0.3 -9.3 0.1 5.9 -1.4 -2.8 -2.1 -0.1 -2.2 0.3 -10.6 2.8 2.5 -1.2 -3.0 -10.6 -20.0 -1.9 -7.3 VIX -18.2 -3.6 7.3 -6.4 -0.1 -6.1 -4.5 -7.4 -6.8 -4.8 -20.0 -18.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -15.9 -20.0 -20.0 NaN -7.2 -0.1 -7.0 -5.1 -9.0 -7.6 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 20.0 20.0 20.0 4.0 6.3 2.4 6.0 -0.0 5.2 12.8 6.6 13.7 -9.2 14.0 12.5 -15.6 -13.8 -16.6 -15.4 19.8 7.5 20.0 -5.1 20.0 1.1 4.5 3.5 1.7 4.9 -0.5 5.7 -20.0 20.0 20.0 20.0 5.5 -9.1 -20.0 -3.1 -20.0 End of report for caleb_strategy_v3