******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240531_204006 produced at 2024-05-31 21:37:29.944619 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 0.00 -1.02 0.0 0.00 0.00 0.00 0.00 -36.80 16.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.64 -0.62 0.0 0.80 -0.80 -0.64 -0.64 -7.85 10.0 -8 -8 caleb_strategy_v3 SOFR False True 0.07 0.00 -0.43 0.0 0.00 0.00 0.00 0.00 -5.96 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.40 0.0 0.00 0.00 0.00 0.00 -11.71 24.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.22 -0.30 0.0 999.00 -999.00 -0.22 -0.22 -64.15 999999999.0 -48 -48 caleb_strategy_v3 US2 False True 0.06 0.00 -0.29 0.0 0.00 0.00 0.00 0.00 -4.76 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.21 -0.13 0.0 0.55 -0.55 -0.21 -0.21 -3.10 13.0 -5 -5 caleb_strategy_v3 LEANHOG False False 0.01 -0.08 -0.11 0.0 0.15 -0.15 -0.08 -0.08 -9.68 13.0 -7 -7 caleb_strategy_v3 JPY False False 0.02 -0.12 -0.08 0.0 0.41 -0.41 -0.12 -0.07 -3.35 17.0 -5 -3 caleb_strategy_v3 CAD False False 0.02 -0.07 -0.08 0.0 0.64 -0.64 -0.07 -0.07 -3.47 29.0 -3 -3 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.08 0.0 0.09 -0.09 -0.06 -0.06 -2.58 3.0 -2 -2 caleb_strategy_v3 US5 False False 0.03 -0.38 -0.07 0.0 0.80 -0.80 -0.38 -0.32 -2.05 25.0 -12 -10 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.06 0.0 0.72 -0.72 0.00 0.00 -1.56 19.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.06 -0.06 0.0 0.08 -0.08 -0.06 -0.06 -8.46 12.0 -8 -8 caleb_strategy_v3 DOW False False 0.01 0.00 -0.05 0.0 0.38 -0.38 0.00 0.00 -7.77 66.0 0 0 caleb_strategy_v3 OAT False False 0.04 0.00 -0.05 0.0 0.41 -0.41 0.00 0.00 -1.21 10.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.05 0.0 0.01 -0.01 0.00 0.00 -11.77 3.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.00 -0.04 0.0 0.38 -0.38 0.00 0.00 -1.12 10.0 0 0 caleb_strategy_v3 BUND False False 0.04 0.00 -0.04 0.0 0.42 -0.42 0.00 -0.08 -0.86 10.0 0 -2 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.04 0.0 0.15 -0.15 0.00 0.00 -11.71 51.0 0 0 caleb_strategy_v3 US10 False False 0.03 0.00 -0.03 0.0 0.56 -0.56 0.00 0.00 -0.82 17.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.00 -0.03 0.0 0.09 -0.09 0.00 -0.04 -1.43 4.0 0 -2 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.02 0.0 0.17 -0.17 0.00 -0.04 -0.45 4.0 0 -1 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 -0.02 0.0 0.40 -0.40 -0.01 -0.02 -2.27 56.0 -2 -3 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.02 0.0 0.18 -0.18 0.00 0.00 -0.25 2.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.01 -0.02 0.0 0.27 -0.27 -0.01 -0.03 -3.24 36.0 -2 -4 caleb_strategy_v3 COTTON2 False False 0.01 0.00 -0.02 0.0 0.12 -0.12 0.00 -0.01 -2.08 11.0 0 -1 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.02 0.0 0.31 -0.31 0.00 0.00 -0.51 8.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.02 0.0 0.11 -0.11 -0.01 -0.02 -3.77 18.0 -2 -4 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.02 0.0 0.13 -0.13 -0.02 -0.02 -0.95 7.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.01 0.0 0.08 -0.08 -0.02 -0.02 -1.60 10.0 -2 -2 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 -0.03 -0.45 2.0 0 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.01 0.0 0.26 -0.26 0.00 0.00 -0.73 23.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.80 9.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.01 0.0 999.00 -999.00 0.00 0.00 -0.24 999999999.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.01 0.0 0.21 -0.21 -0.03 -0.03 -4.49 68.0 -9 -9 caleb_strategy_v3 US10U False False 0.03 -0.17 -0.01 0.0 0.44 -0.44 -0.17 -0.17 -0.35 13.0 -5 -5 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.00 0.0 0.38 -0.38 0.00 0.00 -0.43 48.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 0.00 -0.00 0.0 0.05 -0.05 0.00 0.00 -1.24 26.0 0 0 caleb_strategy_v3 EUR False False 0.04 0.00 0.00 0.0 0.57 -0.57 0.00 0.00 0.08 14.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.41 2.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.10 9.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 0.00 0.0 0.15 -0.15 0.00 0.02 0.15 6.0 0 1 caleb_strategy_v3 COCOA False False 0.03 0.00 0.00 0.0 0.67 -0.67 0.00 0.00 0.12 26.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.01 0.00 0.0 0.09 -0.09 0.01 0.01 0.31 8.0 1 1 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.22 -0.22 0.00 0.00 -0.09 6.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.00 0.0 0.28 -0.28 0.01 0.00 0.39 23.0 1 0 caleb_strategy_v3 WHEAT False False 0.01 0.00 0.00 0.0 0.10 -0.10 0.00 0.00 0.23 9.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.06 -0.06 0.00 0.00 1.13 5.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 0.02 0.0 0.38 -0.38 0.00 0.00 0.87 19.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.02 0.02 0.0 0.16 -0.16 0.02 0.02 1.49 10.0 1 1 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.02 0.0 0.00 0.00 0.00 0.00 7.94 59.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.04 0.03 0.0 0.06 -0.06 0.04 0.04 1.71 3.0 2 2 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.03 0.0 999.00 -999.00 0.00 0.00 1.11 999999999.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.10 0.04 0.0 999.00 -999.00 0.10 0.10 1.02 999999999.0 3 3 caleb_strategy_v3 CAC True False 0.03 0.00 0.04 0.0 0.00 0.00 0.00 0.00 1.66 12.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.05 0.0 0.04 -0.04 0.00 0.00 4.82 4.0 0 0 caleb_strategy_v3 NZD False True 0.02 0.00 0.05 0.0 0.00 0.00 0.00 0.00 2.86 21.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.00 0.06 0.0 0.53 -0.53 0.00 0.00 2.53 22.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.25 0.06 0.0 0.33 -0.33 0.25 0.28 3.77 20.0 15 17 caleb_strategy_v3 DX False False 0.03 0.00 0.06 0.0 999.00 -999.00 0.00 0.00 1.89 999999999.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.06 0.0 0.11 -0.11 0.02 0.02 2.76 5.0 1 1 caleb_strategy_v3 LIVECOW False False 0.02 0.13 0.10 0.0 0.37 -0.37 0.13 0.15 4.81 17.0 6 7 caleb_strategy_v3 DAX False False 0.01 0.01 0.11 0.0 0.35 -0.35 0.01 0.05 17.75 58.0 1 8 caleb_strategy_v3 SMI False True 0.04 0.00 0.16 0.0 0.00 0.00 0.00 0.00 4.06 9.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.43 0.42 0.0 0.53 -0.53 0.43 0.43 47.32 60.0 48 48 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 16.6 Shocked risk 47.4 Sum abs risk 49.6 Leverage 5.67 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3306405.72, 'annual_cash_vol_target': 826601.43, 'daily_cash_vol_target': 51662.589375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0039 0.6647 0.5799 9.2784 BITCOIN 1699.7446 67765.0000 2.5083 40.1327 BOBL 0.2603 115.2900 0.2258 3.6125 BTP 0.5831 115.9400 0.5030 8.0474 BUND 0.5263 129.7600 0.4056 6.4889 BUXL 1.2456 127.5400 0.9766 15.6256 CAC 52.2485 8003.5000 0.6528 10.4451 CAD 0.0028 0.7339 0.3809 6.0943 CANOLA 7.1107 683.9000 1.0397 16.6357 CHF 0.0048 1.1096 0.4304 6.8857 COCOA 360.4471 8527.0000 4.2271 67.6340 COFFEE 4.6907 219.7000 2.1350 34.1607 COPPER 0.0785 4.6070 1.7031 27.2501 CORN 5.2731 466.7500 1.1297 18.0759 COTTON2 1.3317 75.0300 1.7749 28.3980 CRUDE_W 0.8388 75.1800 1.1157 17.8514 DAX 118.8148 18567.0000 0.6399 10.2388 DOW 267.6315 38454.0000 0.6960 11.1357 DX 0.3418 104.2250 0.3279 5.2468 EUR 0.0041 1.0853 0.3772 6.0345 EURIBOR-ICE 0.0498 97.2250 0.0512 0.8190 EUROSTX 34.4013 4998.0000 0.6883 11.0128 FEEDCOW 2.0183 258.1250 0.7819 12.5108 GASOIL 9.9352 736.2500 1.3494 21.5910 GASOLINE 0.0350 2.3648 1.4789 23.6617 GAS_US_mini 0.0995 2.6650 3.7346 59.7530 GBP 0.0053 1.2734 0.4201 6.7213 GOLD_micro 21.1463 2342.8000 0.9026 14.4418 HEATOIL 0.0312 2.4205 1.2877 20.6031 JGB-SGX-mini 0.2072 143.0900 0.1448 2.3165 JPY 0.0000 0.0064 0.6349 10.1579 LEANHOG 1.0282 96.5000 1.0655 17.0483 LIVECOW 1.3030 178.4500 0.7302 11.6825 LUMBER-new 6.8356 525.5000 1.3008 20.8125 MILK 0.2553 20.5300 1.2435 19.8957 MXP 0.0003 0.0588 0.5731 9.1700 NASDAQ_micro 148.5332 18381.0000 0.8081 12.9293 NIKKEI 352.4637 38435.0000 0.9170 14.6726 NZD 0.0035 0.6142 0.5705 9.1286 OAT 0.5249 124.1300 0.4229 6.7663 OATIES 6.9232 390.5000 1.7729 28.3667 OJ 7.1550 426.9500 1.6758 26.8133 PALLAD 23.3337 916.5000 2.5460 40.7353 PLAT 16.9874 1044.8000 1.6259 26.0143 REDWHEAT 12.3972 725.5000 1.7088 27.3405 RICE 0.1544 15.8000 0.9775 15.6393 ROBUSTA 79.4889 3983.0000 1.9957 31.9313 RUSSELL 20.0999 2062.8000 0.9744 15.5904 SHATZ 0.0759 105.2100 0.0721 1.1536 SILVER-mini 0.5779 30.8125 1.8756 30.0102 SMI 79.1112 12009.0000 0.6588 10.5403 SOFR 0.0630 96.0600 0.0656 1.0498 SOYBEAN 10.0377 1184.7500 0.8472 13.5558 SOYMEAL 4.9334 355.9000 1.3862 22.1790 SOYOIL 0.6871 45.7800 1.5009 24.0149 SP400 23.4325 2969.7000 0.7891 12.6249 SP500_micro 32.5114 5244.0000 0.6200 9.9196 SUGAR11 0.2837 18.3100 1.5496 24.7941 US10 0.3761 108.8281 0.3456 5.5297 US10U 0.4962 112.0781 0.4427 7.0839 US2 0.0938 101.8672 0.0921 1.4737 US20 0.7376 116.1250 0.6352 10.1633 US30 1.0892 122.4688 0.8894 14.2303 US5 0.2425 105.8359 0.2291 3.6653 VIX 0.3976 15.3500 2.5902 41.4428 WHEAT 11.1854 725.7500 1.5412 24.6595 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 664.70 0.58 385.46 1.00 385.46 51662.59 134.03 2.50 33.46 BITCOIN 67.76 2.51 169.97 1.00 169.97 51662.59 303.94 2.41 73.31 BOBL 1152.90 0.23 260.30 1.08 280.93 51662.59 183.90 -8.36 -153.66 BTP 1159.40 0.50 583.13 1.08 629.35 51662.59 82.09 -3.99 -32.79 BUND 1297.60 0.41 526.25 1.08 567.96 51662.59 90.96 -9.34 -85.00 BUXL 1275.40 0.98 1245.55 1.08 1344.26 51662.59 38.43 -11.51 -44.23 CAC 800.35 0.65 522.49 1.08 563.89 51662.59 91.62 5.32 48.70 CAD 733.90 0.38 279.54 1.00 279.54 51662.59 184.81 -7.23 -133.69 CANOLA 136.78 1.04 142.21 0.73 103.57 51662.59 498.83 -9.65 -481.41 CHF 1387.06 0.43 596.93 1.00 596.93 51662.59 86.55 -13.82 -119.64 COCOA 852.70 4.23 3604.47 1.00 3604.47 51662.59 14.33 3.96 5.68 COFFEE 823.88 2.14 1759.01 1.00 1759.01 51662.59 29.37 4.39 12.89 COPPER 1151.75 1.70 1961.58 1.00 1961.58 51662.59 26.34 3.57 9.40 CORN 233.38 1.13 263.65 1.00 263.65 51662.59 195.95 -17.74 -347.56 COTTON2 375.15 1.77 665.84 1.00 665.84 51662.59 77.59 -12.52 -97.11 CRUDE_W 751.80 1.12 838.79 1.00 838.79 51662.59 61.59 4.14 25.52 DAX 185.67 0.64 118.81 1.08 128.23 51662.59 402.89 12.92 520.48 DOW 192.27 0.70 133.82 1.00 133.82 51662.59 386.07 -8.66 -334.32 DX 1042.25 0.33 341.78 1.00 341.78 51662.59 151.16 4.82 72.81 EUR 1356.62 0.38 511.66 1.00 511.66 51662.59 100.97 0.31 3.14 EURIBOR-ICE 2430.62 0.05 124.42 1.08 134.29 51662.59 384.72 -5.98 -230.00 EUROSTX 499.80 0.69 344.01 1.08 371.28 51662.59 139.15 7.95 110.60 FEEDCOW 1290.62 0.78 1009.17 1.00 1009.17 51662.59 51.19 -3.02 -15.46 GASOIL 736.25 1.35 993.52 1.00 993.52 51662.59 52.00 -6.33 -32.90 GASOLINE 993.22 1.48 1468.82 1.00 1468.82 51662.59 35.17 -1.59 -5.60 GAS_US_mini 66.62 3.73 248.82 1.00 248.82 51662.59 207.63 -0.55 -11.41 GBP 795.88 0.42 334.33 1.00 334.33 51662.59 154.52 6.31 97.44 GOLD_micro 234.28 0.90 211.46 1.00 211.46 51662.59 244.31 -2.73 -66.61 HEATOIL 1016.61 1.29 1309.08 1.00 1309.08 51662.59 39.46 -15.08 -59.50 JGB-SGX-mini 143090.00 0.14 20716.65 0.01 132.06 51662.59 391.22 -8.69 -339.84 JPY 796.88 0.63 505.91 1.00 505.91 51662.59 102.12 -12.63 -128.99 LEANHOG 386.00 1.07 411.29 1.00 411.29 51662.59 125.61 -12.68 -159.33 LIVECOW 713.80 0.73 521.19 1.00 521.19 51662.59 99.13 14.64 145.17 LUMBER-new 144.51 1.30 187.98 1.00 187.98 51662.59 274.83 -20.00 -549.66 MILK 410.60 1.24 510.57 1.00 510.57 51662.59 101.19 5.20 52.57 MXP 293.85 0.57 168.41 1.00 168.41 51662.59 306.76 10.51 322.43 NASDAQ_micro 367.62 0.81 297.07 1.00 297.07 51662.59 173.91 -1.82 -31.59 NIKKEI 38435.00 0.92 35246.37 0.01 224.67 51662.59 229.94 -1.30 -29.93 NZD 614.15 0.57 350.40 1.00 350.40 51662.59 147.44 7.48 110.29 OAT 1241.30 0.42 524.94 1.08 566.54 51662.59 91.19 -3.89 -35.46 OATIES 195.25 1.77 346.16 1.00 346.16 51662.59 149.24 1.13 16.80 OJ 640.43 1.68 1073.24 1.00 1073.24 51662.59 48.14 16.61 79.97 PALLAD 916.50 2.55 2333.37 1.00 2333.37 51662.59 22.14 -5.91 -13.09 PLAT 522.40 1.63 849.37 1.00 849.37 51662.59 60.82 7.20 43.79 REDWHEAT 362.75 1.71 619.86 1.00 619.86 51662.59 83.35 2.78 23.20 RICE 316.00 0.98 308.88 1.00 308.88 51662.59 167.26 11.86 198.30 ROBUSTA 398.30 2.00 794.89 1.00 794.89 51662.59 64.99 5.17 33.60 RUSSELL 103.14 0.97 100.50 1.00 100.50 51662.59 514.06 -2.64 -135.60 SHATZ 1052.10 0.07 75.86 1.08 81.87 51662.59 631.05 -18.31 -1155.18 SILVER-mini 770.31 1.88 1444.83 1.00 1444.83 51662.59 35.76 9.09 32.51 SMI 1200.90 0.66 791.11 1.10 867.22 51662.59 59.57 20.00 119.15 SOFR 2401.50 0.07 157.57 1.00 157.57 51662.59 327.87 -2.99 -98.02 SOYBEAN 592.38 0.85 501.88 1.00 501.88 51662.59 102.94 -9.91 -102.01 SOYMEAL 355.90 1.39 493.34 1.00 493.34 51662.59 104.72 -8.16 -85.48 SOYOIL 274.68 1.50 412.28 1.00 412.28 51662.59 125.31 -13.75 -172.28 SP400 2969.70 0.79 2343.25 1.00 2343.25 51662.59 22.05 -3.49 -7.69 SP500_micro 262.20 0.62 162.56 1.00 162.56 51662.59 317.81 -0.58 -18.56 SUGAR11 205.07 1.55 317.79 1.00 317.79 51662.59 162.57 -10.91 -177.33 US10 1088.28 0.35 376.12 1.00 376.12 51662.59 137.36 -4.72 -64.80 US10U 1120.78 0.44 496.22 1.00 496.22 51662.59 104.11 -2.67 -27.78 US2 2037.34 0.09 187.66 1.00 187.66 51662.59 275.31 -13.66 -375.95 US20 1161.25 0.64 737.64 1.00 737.64 51662.59 70.04 1.08 7.56 US30 1224.69 0.89 1089.23 1.00 1089.23 51662.59 47.43 -1.54 -7.30 US5 1058.36 0.23 242.45 1.00 242.45 51662.59 213.08 -7.60 -162.02 VIX 153.50 2.59 397.59 1.00 397.59 51662.59 129.94 -20.00 -259.88 WHEAT 362.88 1.54 559.27 1.00 559.27 51662.59 92.37 1.84 17.01 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 33.460 0.010 2.5 0.868 BITCOIN 73.308 0.043 2.5 7.938 BOBL -153.660 0.004 2.5 -1.558 BTP -32.789 0.014 2.5 -1.118 BUND -84.999 0.004 2.5 -0.862 BUXL -44.231 0.004 2.5 -0.449 CAC 48.703 0.014 2.5 1.661 CAD -133.685 0.010 2.5 -3.469 CANOLA -481.407 0.010 2.5 -11.712 CHF -119.645 0.010 2.5 -3.104 COCOA 5.675 0.009 2.5 0.122 COFFEE 12.892 0.005 2.5 0.151 COPPER 9.397 0.043 2.5 1.018 CORN -347.563 0.010 2.5 -8.456 COTTON2 -97.105 0.009 2.5 -2.080 CRUDE_W 25.517 0.043 2.5 2.763 DAX 520.482 0.014 2.5 17.753 DOW -334.323 0.009 2.5 -7.770 DX 72.810 0.010 2.5 1.889 EUR 3.143 0.010 2.5 0.082 EURIBOR-ICE -230.004 0.014 2.5 -7.845 EUROSTX 110.604 0.014 2.5 3.772 FEEDCOW -15.456 0.013 2.5 -0.512 GASOIL -32.896 0.017 2.5 -1.426 GASOLINE -5.599 0.017 2.5 -0.243 GAS_US_mini -11.407 0.043 2.5 -1.235 GBP 97.444 0.010 2.5 2.528 GOLD_micro -66.614 0.014 2.5 -2.272 HEATOIL -59.500 0.017 2.5 -2.579 JGB-SGX-mini -339.841 0.043 2.5 -36.800 JPY -128.986 0.010 2.5 -3.347 LEANHOG -159.326 0.024 2.5 -9.683 LIVECOW 145.166 0.013 2.5 4.810 LUMBER-new -549.664 0.009 2.5 -11.766 MILK 52.572 0.009 2.5 1.126 MXP 322.426 0.059 2.5 47.323 NASDAQ_micro -31.593 0.009 2.5 -0.734 NIKKEI -29.934 0.043 2.5 -3.241 NZD 110.292 0.010 2.5 2.862 OAT -35.464 0.014 2.5 -1.210 OATIES 16.803 0.010 2.5 0.409 OJ 79.966 0.009 2.5 1.713 PALLAD -13.089 0.014 2.5 -0.446 PLAT 43.794 0.014 2.5 1.494 REDWHEAT 23.204 0.005 2.5 0.308 RICE 198.301 0.010 2.5 4.824 ROBUSTA 33.603 0.005 2.5 0.392 RUSSELL -135.596 0.013 2.5 -4.493 SHATZ -1155.180 0.004 2.5 -11.714 SILVER-mini 32.509 0.014 2.5 1.109 SMI 119.146 0.014 2.5 4.064 SOFR -98.015 0.024 2.5 -5.957 SOYBEAN -102.012 0.004 2.5 -0.949 SOYMEAL -85.483 0.004 2.5 -0.795 SOYOIL -172.283 0.004 2.5 -1.604 SP400 -7.690 0.013 2.5 -0.255 SP500_micro -18.561 0.009 2.5 -0.431 SUGAR11 -177.329 0.009 2.5 -3.771 US10 -64.803 0.005 2.5 -0.821 US10U -27.781 0.005 2.5 -0.352 US2 -375.955 0.005 2.5 -4.764 US20 7.556 0.005 2.5 0.096 US30 -7.301 0.005 2.5 -0.093 US5 -162.020 0.005 2.5 -2.053 VIX -259.878 0.099 2.5 -64.148 WHEAT 17.015 0.005 2.5 0.226 ===================== Position diags ===================== AUD 3.48 BITCOIN 32.91 BOBL 1.86 BTP 2.80 BUND 0.92 BUXL 0.39 CAC 3.12 CAD 4.80 CANOLA 12.14 CHF 2.25 COCOA 0.31 COFFEE 0.34 COPPER 2.85 CORN 4.77 COTTON2 1.66 CRUDE_W 6.67 DAX 13.74 DOW 8.97 DX 3.92 EUR 2.62 EURIBOR-ICE 13.12 EUROSTX 4.75 FEEDCOW 1.70 GASOIL 2.25 GASOLINE 1.52 GAS_US_mini 22.48 GBP 4.01 GOLD_micro 8.33 HEATOIL 1.71 JGB-SGX-mini 42.36 JPY 2.65 LEANHOG 7.63 LIVECOW 3.28 LUMBER-new 5.88 MILK 2.17 MXP 45.02 NASDAQ_micro 4.04 NIKKEI 24.90 NZD 3.83 OAT 3.11 OATIES 3.63 OJ 1.03 PALLAD 0.76 PLAT 2.07 REDWHEAT 1.11 RICE 4.07 ROBUSTA 0.76 RUSSELL 17.03 SHATZ 6.40 SILVER-mini 1.22 SMI 2.03 SOFR 19.93 SOYBEAN 0.96 SOYMEAL 0.97 SOYOIL 1.17 SP400 0.73 SP500_micro 7.39 SUGAR11 3.46 US10 1.74 US10U 1.32 US2 3.49 US20 0.89 US30 0.60 US5 2.70 VIX 32.07 WHEAT 1.23 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.9 0.5 1.2 0.0 0 BITCOIN 7.9 4.6 11.2 0.0 0 BOBL -1.6 -1.7 -1.4 0.0 0 BTP -1.1 -1.4 -0.8 0.0 0 BUND -0.9 -1.0 -0.8 0.0 0 BUXL -0.4 -0.5 -0.4 0.0 0 CAC 1.7 1.3 2.0 0.0 0 CAD -3.5 -3.9 -3.0 -3.0 -3 CANOLA -11.7 -12.9 -10.5 0.0 0 CHF -3.1 -3.3 -2.9 -5.0 -5 COCOA 0.1 0.1 0.2 0.0 0 COFFEE 0.2 0.1 0.2 0.0 0 COPPER 1.0 0.7 1.3 3.0 3 CORN -8.5 -8.9 -8.0 -8.0 -8 COTTON2 -2.1 -2.2 -1.9 0.0 0 CRUDE_W 2.8 2.1 3.4 1.0 1 DAX 17.8 16.4 19.1 1.0 1 DOW -7.8 -8.7 -6.9 0.0 0 DX 1.9 1.5 2.3 NaN 0 EUR 0.1 -0.2 0.3 0.0 0 EURIBOR-ICE -7.8 -9.2 -6.5 -8.0 -8 EUROSTX 3.8 3.3 4.2 15.0 15 FEEDCOW -0.5 -0.7 -0.3 0.0 0 GASOIL -1.4 -1.7 -1.2 0.0 0 GASOLINE -0.2 -0.4 -0.1 0.0 0 GAS_US_mini -1.2 -3.5 1.0 0.0 0 GBP 2.5 2.1 2.9 0.0 0 GOLD_micro -2.3 -3.1 -1.4 -2.0 -2 HEATOIL -2.6 -2.8 -2.4 -2.0 -2 JGB-SGX-mini -36.8 -41.0 -32.6 0.0 0 JPY -3.3 -3.6 -3.1 -5.0 -5 LEANHOG -9.7 -10.4 -8.9 -7.0 -7 LIVECOW 4.8 4.5 5.1 6.0 6 LUMBER-new -11.8 -12.4 -11.2 NaN 0 MILK 1.1 0.9 1.3 NaN 0 MXP 47.3 42.8 51.8 48.0 48 NASDAQ_micro -0.7 -1.1 -0.3 0.0 0 NIKKEI -3.2 -5.7 -0.8 -2.0 -2 NZD 2.9 2.5 3.2 0.0 0 OAT -1.2 -1.5 -0.9 0.0 0 OATIES 0.4 0.0 0.8 NaN 0 OJ 1.7 1.6 1.8 2.0 2 PALLAD -0.4 -0.5 -0.4 0.0 0 PLAT 1.5 1.3 1.7 1.0 1 REDWHEAT 0.3 0.2 0.4 1.0 1 RICE 4.8 4.4 5.2 NaN 0 ROBUSTA 0.4 0.3 0.5 1.0 1 RUSSELL -4.5 -6.2 -2.8 -9.0 -9 SHATZ -11.7 -12.4 -11.1 NaN 0 SILVER-mini 1.1 1.0 1.2 0.0 0 SMI 4.1 3.9 4.3 0.0 0 SOFR -6.0 -7.9 -4.0 NaN 0 SOYBEAN -0.9 -1.0 -0.9 -1.0 -1 SOYMEAL -0.8 -0.9 -0.7 0.0 0 SOYOIL -1.6 -1.7 -1.5 -2.0 -2 SP400 -0.3 -0.3 -0.2 0.0 0 SP500_micro -0.4 -1.2 0.3 0.0 0 SUGAR11 -3.8 -4.1 -3.4 -2.0 -2 US10 -0.8 -1.0 -0.6 0.0 0 US10U -0.4 -0.5 -0.2 -5.0 -5 US2 -4.8 -5.1 -4.4 NaN 0 US20 0.1 0.0 0.2 0.0 0 US30 -0.1 -0.2 -0.0 0.0 0 US5 -2.1 -2.3 -1.8 -12.0 -12 VIX -64.1 -67.4 -60.9 -48.0 -48 WHEAT 0.2 0.1 0.3 0.0 0 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.8 3.8 3.8 3.8 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 0.2 0.3 0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -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 0.0 0.1 0.0 -0.0 0.0 -0.0 -0.2 0.0 0.4 0.3 -0.2 -0.2 -0.0 0.0 BITCOIN 0.3 -0.3 0.2 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.1 0.4 0.1 0.6 0.1 0.1 -0.1 -0.1 -0.1 -0.2 0.1 0.2 0.1 0.5 0.1 -2.7 0.1 -0.0 0.3 0.0 0.5 0.0 -0.2 0.5 0.5 -0.5 0.6 -0.4 -0.1 0.3 0.1 BOBL -0.2 -0.4 -0.4 -0.0 -0.0 -0.1 -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 -0.2 -0.1 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.2 -0.2 -0.1 -0.7 -0.6 -0.0 -0.4 BTP -0.1 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 0.3 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.0 0.0 -0.1 0.2 -0.1 -2.7 -0.0 -0.1 0.1 -0.1 0.2 -0.1 0.8 -0.1 -0.2 0.2 0.6 -0.4 -0.3 0.4 0.1 BUND -0.1 -0.3 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.0 -0.1 -0.2 -0.1 0.1 -0.7 -0.7 0.0 -0.3 BUXL -0.2 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -0.3 -0.0 0.3 -0.7 -0.7 -0.4 -0.2 CAC -0.1 -0.2 0.2 0.1 -0.0 0.2 -0.0 0.3 0.0 -0.1 0.5 -0.1 0.7 0.1 0.2 -0.1 0.0 0.1 0.1 0.1 0.2 -0.1 0.5 -0.0 -1.8 0.1 -0.1 0.3 -0.1 0.4 -0.0 0.8 -0.2 -0.3 0.3 0.5 -0.3 0.2 -0.5 0.4 CAD 0.2 0.0 -0.2 -0.0 0.0 -0.0 0.0 0.0 0.0 0.1 -0.4 0.0 -0.5 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 0.0 -0.1 -0.3 -0.2 -0.2 -0.2 -0.4 -0.0 -0.2 CANOLA 0.4 0.6 0.6 0.0 -0.0 0.1 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 0.0 -0.3 0.1 -2.7 0.0 -0.0 -0.0 0.0 -0.2 0.0 -1.1 -0.0 0.2 0.0 0.2 -0.7 -0.5 -0.2 -0.1 CHF 0.3 -0.0 -0.6 -0.0 0.0 -0.0 0.0 0.0 0.0 0.1 -0.5 0.0 -0.6 -0.1 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 0.1 -0.4 -0.1 0.4 -0.1 0.1 -0.2 0.0 -0.2 -0.0 -1.1 0.3 -0.3 -0.3 -0.6 0.1 -0.5 0.3 -0.4 COCOA -0.4 -0.6 -0.1 0.0 -0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.2 -0.0 0.0 0.3 0.3 0.4 0.4 0.0 0.1 0.0 0.2 0.0 -2.1 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.2 -0.2 -0.1 0.6 0.2 0.1 0.4 0.3 COFFEE 0.2 -0.3 0.3 0.0 -0.0 0.1 0.0 0.0 0.0 0.0 0.3 0.1 0.3 0.0 0.1 0.1 0.2 0.2 0.2 0.1 0.1 0.2 0.3 0.2 -2.6 0.0 -0.0 0.1 0.0 0.1 0.0 0.5 0.3 -0.1 0.6 0.6 0.1 -0.5 0.4 -0.2 COPPER -0.4 0.1 0.6 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.2 -0.0 0.2 0.0 0.1 0.1 -0.1 -0.0 -0.0 0.1 0.1 -0.1 0.2 0.0 -1.1 0.0 -0.0 0.1 -0.0 0.1 0.0 0.2 -0.3 0.1 0.6 0.6 -0.3 -0.1 0.3 0.2 CORN -0.0 0.4 0.5 0.1 -0.0 0.1 0.0 0.0 0.1 -0.1 -0.1 -0.1 -0.6 0.0 0.1 -0.4 -0.2 -0.4 -0.3 0.0 -0.0 -0.1 -0.4 -0.0 -2.1 0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -1.1 -0.4 -0.3 0.0 -0.2 -0.7 -0.7 -0.7 -0.0 COTTON2 0.2 -0.6 -0.5 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 -0.2 0.0 -0.2 -0.1 -0.1 -0.0 0.1 0.1 0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -2.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.3 -0.6 -0.1 -0.2 -0.4 0.2 -0.0 CRUDE_W -0.2 -0.4 0.2 -0.0 -0.1 0.0 -0.1 0.2 -0.1 -0.1 0.2 -0.1 0.6 -0.2 0.0 0.2 0.2 0.3 0.3 -0.0 0.1 -0.1 0.4 -0.1 -0.7 -0.0 -0.1 0.0 -0.1 0.2 -0.1 -0.0 -0.4 -0.4 -0.3 0.2 0.7 0.5 0.7 0.6 DAX 0.1 -0.0 0.3 0.0 -0.0 0.2 -0.0 0.3 0.0 -0.1 0.5 0.0 0.7 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.1 0.5 0.1 1.8 0.1 -0.0 0.3 -0.0 0.4 0.0 -0.5 0.0 0.0 0.3 0.6 0.0 0.2 -0.0 0.4 DOW 0.0 -0.3 -0.5 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.3 -0.1 0.5 -0.0 -0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.2 0.3 -0.1 -1.6 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.5 -0.5 -0.4 -0.1 -0.4 0.2 -0.2 0.4 -0.4 DX -0.5 -0.0 0.2 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 0.4 -0.1 0.5 -0.1 0.1 0.1 0.1 0.1 0.1 0.0 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 0.5 0.6 0.2 0.2 0.3 0.6 EUR 0.4 0.1 -0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 0.0 -0.2 0.1 -0.3 0.2 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.2 0.1 2.7 0.0 0.0 0.0 0.0 -0.0 0.0 -0.4 -0.1 0.2 0.3 0.2 -0.7 -0.6 -0.6 -0.5 EURIBOR-ICE -0.1 -0.5 -0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 1.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.2 -0.1 -0.7 -0.7 0.1 0.3 EUROSTX 0.0 -0.2 0.3 0.0 -0.0 0.2 -0.0 0.3 0.0 -0.1 0.5 0.0 0.7 0.1 0.2 -0.2 -0.0 -0.1 -0.1 0.2 0.2 -0.1 0.5 0.0 -0.3 0.1 -0.0 0.3 -0.0 0.5 0.0 0.4 0.0 -0.1 0.3 0.6 -0.5 0.2 -0.7 0.3 FEEDCOW 0.5 0.2 -0.2 0.1 -0.0 0.1 0.0 0.0 0.1 -0.1 0.0 0.1 -0.1 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.0 -0.0 0.0 -0.0 0.1 -0.9 0.0 -0.1 -0.0 -0.1 0.1 0.0 -1.1 -0.5 -0.3 -0.0 -0.3 0.6 0.7 0.7 0.7 GASOIL -0.2 -0.6 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 0.1 -0.2 0.5 -0.2 -0.2 -0.1 0.3 0.1 0.2 -0.1 -0.0 -0.1 0.3 -0.2 0.9 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.1 0.2 -0.1 -0.4 -0.4 -0.6 -0.4 -0.7 -0.7 GASOLINE -0.4 -0.6 0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 0.3 -0.2 0.6 -0.2 -0.0 0.4 0.3 0.4 0.3 -0.1 0.1 -0.2 0.4 -0.2 -2.7 -0.0 -0.1 0.0 -0.1 0.2 -0.1 0.0 -0.4 -0.6 -0.4 0.2 0.7 0.7 0.7 0.7 GAS_US_mini 0.5 0.6 0.6 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.1 -0.4 -0.0 -0.6 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.1 -0.1 -0.0 -0.5 0.1 2.7 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -1.1 0.2 0.6 0.6 -0.5 -0.2 -0.2 -0.4 -0.3 GBP 0.5 0.1 -0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 0.1 0.3 0.2 0.2 0.2 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 0.1 0.2 0.2 0.1 0.0 0.1 0.1 0.1 0.1 0.2 0.3 0.5 0.5 0.5 -0.5 -0.6 -0.5 -0.3 GOLD_micro -0.3 -0.3 0.6 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.1 0.3 -0.1 0.3 -0.0 0.1 -0.2 -0.3 -0.3 -0.3 0.1 0.1 -0.1 0.3 0.0 -0.4 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.8 -0.1 -0.2 0.0 0.6 -0.2 -0.5 0.1 -0.2 HEATOIL -0.2 -0.6 -0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 -0.2 -0.2 0.3 -0.2 -0.2 -0.2 0.3 -0.0 0.1 -0.2 -0.1 -0.2 0.2 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 -0.5 -0.6 -0.6 -0.6 0.3 0.2 0.0 0.0 JGB-SGX-mini -0.4 -0.6 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 0.4 0.3 0.4 0.3 -0.1 -0.1 -0.1 -0.1 -0.2 -1.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 1.1 -0.2 -0.6 -0.5 -0.2 -0.6 -0.2 -0.0 0.4 JPY -0.1 -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 -0.2 -0.1 -0.4 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.2 -0.4 -0.5 -0.5 -0.7 -0.4 -0.6 -0.3 LEANHOG -0.6 -0.6 0.4 0.1 -0.1 0.1 0.0 0.0 0.1 -0.2 0.2 -0.2 -0.1 -0.2 -0.2 -0.0 -0.4 -0.4 -0.4 -0.2 -0.0 -0.2 -0.0 -0.2 1.1 -0.1 -0.0 0.0 -0.1 0.0 -0.1 -1.1 -0.5 -0.6 -0.6 -0.1 -0.4 -0.3 -0.2 0.3 LIVECOW 0.6 0.2 -0.0 0.1 -0.1 0.1 0.0 0.0 0.1 -0.1 0.1 0.1 0.0 0.2 0.1 0.4 0.2 0.4 0.3 0.1 0.0 0.1 0.1 0.2 -1.0 0.1 -0.0 0.1 0.0 0.1 0.1 0.8 -0.1 0.4 0.2 0.3 0.6 0.7 0.7 0.7 LUMBER-new 0.1 -0.7 -0.5 0.1 -0.1 0.1 0.0 0.0 0.1 -0.2 -0.4 -0.2 -0.6 -0.2 -0.2 -0.4 -0.4 -0.5 -0.4 -0.2 -0.2 -0.2 -0.3 -0.2 NaN -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -1.2 -0.6 -0.7 -0.7 -0.7 -0.6 -0.4 -0.2 -0.3 MILK 0.5 0.6 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 0.1 0.1 0.1 -0.3 0.1 0.1 0.2 -0.4 -0.2 -0.4 0.2 0.1 0.1 -0.2 0.2 2.1 0.0 0.0 0.0 0.1 -0.1 0.1 -1.1 0.3 0.6 0.6 0.3 -0.6 -0.7 -0.5 -0.7 MXP 0.2 -0.2 -0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.2 0.5 -0.1 0.7 0.0 0.1 0.3 0.3 0.3 0.3 0.1 0.2 -0.1 0.5 0.0 -2.7 0.0 -0.1 0.2 -0.1 0.4 0.0 1.1 -0.5 0.0 0.0 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro 0.6 -0.1 -0.2 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.4 0.0 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.0 0.5 0.1 -2.7 0.0 -0.1 0.1 -0.0 0.3 0.0 -0.4 0.1 0.2 0.2 -0.2 -0.0 0.0 -0.1 0.0 NIKKEI 0.1 -0.6 -0.1 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.3 -0.0 0.6 -0.0 0.0 0.0 0.2 0.1 0.1 0.0 0.2 -0.0 0.5 -0.0 -2.3 0.0 -0.0 0.2 -0.0 0.5 -0.0 1.1 0.2 -0.5 -0.4 0.1 -0.2 -0.2 -0.2 -0.3 NZD 0.6 0.3 -0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 0.1 -0.0 0.2 -0.1 0.2 0.1 0.0 0.0 0.0 0.0 0.1 0.0 0.1 -0.1 0.1 0.1 0.0 0.0 0.0 0.1 -0.0 0.1 0.3 0.1 0.5 0.6 0.1 -0.0 -0.2 0.1 0.2 OAT -0.1 -0.3 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 0.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.8 -0.1 -0.2 0.0 0.2 -0.7 -0.6 0.1 -0.1 OATIES -0.0 0.6 0.4 0.0 -0.0 0.1 0.0 0.0 0.0 0.1 -0.1 -0.0 -0.3 0.0 0.1 0.1 0.1 0.2 0.1 0.1 0.0 0.1 -0.1 0.1 -2.7 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.2 0.3 0.5 0.2 -0.3 -0.0 0.2 0.4 OJ 0.6 0.6 0.2 0.1 -0.1 0.1 0.0 0.0 0.1 -0.1 0.5 0.1 0.7 0.2 0.2 0.4 0.3 0.3 0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 -0.0 0.1 0.0 0.2 0.1 0.8 -0.4 0.6 0.6 0.6 0.1 0.3 0.5 0.7 PALLAD 0.0 -0.1 0.4 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 1.9 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.3 -0.0 -0.3 -0.4 -0.4 -0.7 -0.7 -0.7 -0.5 PLAT 0.5 0.4 0.5 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.0 0.1 0.0 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.1 0.1 1.2 0.0 -0.0 0.1 -0.0 0.0 0.0 0.1 -0.0 0.4 0.4 0.0 -0.7 -0.3 0.2 0.2 REDWHEAT 0.5 0.6 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 0.0 0.2 0.1 -0.4 0.2 0.2 -0.2 -0.0 -0.1 -0.1 0.2 0.1 0.1 -0.2 0.2 -0.9 0.1 0.0 0.1 0.0 -0.0 0.1 -0.6 0.5 0.6 0.6 0.4 -0.4 -0.7 -0.0 -0.6 RICE 0.3 0.6 0.0 0.1 -0.0 0.1 0.0 0.0 0.1 0.1 0.3 0.1 0.5 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.1 0.4 0.2 -1.6 0.0 0.0 0.1 0.0 0.1 0.1 1.1 0.2 0.2 0.6 -0.0 -0.2 -0.2 -0.2 0.0 ROBUSTA 0.1 -0.6 -0.4 0.0 -0.0 0.0 0.0 0.0 0.0 0.1 0.2 0.1 0.3 0.0 0.0 0.3 0.4 0.4 0.4 0.1 0.1 0.1 0.3 0.1 -2.7 0.0 0.0 0.1 0.0 0.2 0.0 1.1 0.5 0.1 0.5 0.6 -0.1 -0.4 0.2 0.1 RUSSELL 0.2 -0.1 0.1 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.3 -0.0 0.4 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.0 0.2 0.0 -0.3 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.0 0.1 -0.2 -0.0 -0.3 -0.2 -0.7 -0.2 -0.7 SHATZ -0.1 -0.4 -0.6 -0.0 -0.0 -0.1 -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 -0.1 -0.3 -0.3 -0.4 -0.7 -0.7 -0.6 -0.5 SILVER-mini 0.5 0.2 0.6 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.0 0.2 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.2 0.2 0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.1 0.6 0.5 0.6 -0.3 -0.4 0.3 0.1 SMI 0.6 0.3 0.4 0.0 -0.0 0.2 -0.0 0.2 0.0 0.1 0.5 0.2 0.5 0.2 0.2 -0.1 0.1 -0.0 0.0 0.2 0.2 0.1 0.4 0.2 2.0 0.1 0.0 0.2 0.0 0.2 0.1 0.8 0.4 0.6 0.6 0.3 0.4 0.0 0.4 -0.0 SOFR 0.3 -0.1 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.4 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.2 0.2 0.3 0.1 0.0 -0.1 -0.7 0.4 -0.0 SOYBEAN 0.1 0.5 0.3 0.1 -0.0 0.1 0.0 0.0 0.1 -0.2 -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 0.0 -2.7 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.2 -0.2 0.0 0.0 -0.0 -0.6 -0.7 -0.5 -0.7 SOYMEAL -0.0 0.6 0.3 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 -0.2 -0.1 -0.3 0.0 0.1 0.1 0.1 0.0 0.0 0.1 -0.0 -0.1 -0.1 0.0 -2.7 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 -0.1 0.1 0.6 0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.5 -0.1 0.3 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 -0.2 0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.3 0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.6 -0.1 0.0 -0.6 -0.2 -0.7 -0.6 -0.2 0.1 SP400 0.0 -0.2 0.2 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.0 0.4 -0.1 0.5 0.0 0.1 -0.2 -0.1 -0.1 -0.1 0.1 0.1 -0.1 0.4 -0.0 -1.8 0.0 -0.0 0.2 -0.0 0.3 0.0 0.0 0.0 -0.2 -0.1 0.0 -0.2 -0.4 -0.1 -0.7 SP500_micro 0.4 -0.2 -0.0 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.5 0.0 0.6 0.1 0.1 -0.2 -0.2 -0.3 -0.2 0.2 0.2 -0.0 0.5 0.1 -2.7 0.1 -0.0 0.2 -0.0 0.4 0.0 -0.5 -0.0 0.2 0.1 0.1 0.1 -0.0 0.2 -0.0 SUGAR11 -0.2 -0.6 -0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 -0.4 -0.1 -0.2 -0.2 -0.2 0.0 0.3 0.1 0.2 -0.2 -0.2 -0.1 -0.3 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.7 -0.2 -0.6 -0.6 -0.6 0.7 0.5 0.7 0.7 US10 0.2 -0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 0.4 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.3 0.2 0.2 0.1 0.0 -0.3 -0.7 0.1 0.1 US10U 0.3 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.3 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.3 0.4 0.1 0.1 -0.3 -0.6 0.6 0.3 US2 0.1 -0.3 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.4 -0.1 1.8 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.0 -0.1 -0.2 -0.3 -0.5 -0.7 -0.3 -0.7 US20 0.3 -0.1 -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 -0.0 -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 0.4 0.2 0.2 -0.5 -0.4 0.7 0.5 US30 0.3 -0.1 -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 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.3 -0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.2 0.4 0.2 0.3 -0.6 -0.4 0.4 0.6 US5 0.2 -0.1 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -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 0.2 -0.0 -0.1 -0.3 -0.7 0.0 -0.2 VIX -0.4 -0.6 0.4 -0.1 -0.0 -0.3 -0.0 -0.5 -0.1 0.2 -0.9 -0.2 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.1 -0.9 -0.3 NaN -0.1 -0.0 -0.3 -0.1 -0.6 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.5 0.6 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.2 0.1 -0.3 0.2 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.1 -0.1 0.2 0.1 0.1 -0.0 0.1 0.0 -0.0 0.1 -1.1 0.3 0.6 0.6 0.3 -0.3 -0.7 -0.2 -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 6.9 7.9 3.8 -0.3 2.1 -1.1 2.3 0.8 2.0 -0.3 -1.1 1.2 -7.1 11.7 10.3 -2.8 -2.8 -2.7 -2.8 6.0 2.0 2.5 -2.8 6.4 3.3 3.9 1.1 2.0 1.4 -0.5 3.7 -0.4 -7.7 0.8 13.0 10.0 -7.2 -7.4 -0.7 0.0 BITCOIN 8.5 -8.7 6.0 4.3 -12.6 4.3 -6.8 2.5 0.3 -13.9 15.3 12.1 17.2 8.2 10.7 -6.6 -7.2 -7.2 -7.6 12.1 20.0 5.8 20.0 9.6 -20.0 6.4 -1.6 12.2 1.8 15.0 3.6 -3.5 20.0 16.5 -16.1 20.0 -12.8 -2.2 8.7 2.5 BOBL -4.8 -11.0 -11.6 -1.9 -2.1 -1.9 -2.3 -1.9 -1.7 -8.0 -7.2 -8.0 -5.3 -8.1 -8.6 13.6 -4.6 8.6 0.6 -8.4 -7.2 -9.1 -6.1 -8.5 4.4 -3.1 -3.5 -2.3 -3.9 -1.7 -3.5 0.7 -5.6 -7.0 -5.0 -2.6 -20.0 -17.5 -1.0 -10.6 BTP -4.1 -7.3 -3.7 -3.2 -3.5 -3.2 -3.9 -3.2 -2.9 -12.8 8.9 -12.0 9.3 -6.3 -6.5 4.6 5.8 4.8 5.0 -2.3 3.0 -10.6 6.1 -6.1 -20.0 -0.8 -9.8 3.5 -8.2 5.6 -4.6 15.0 -4.9 -4.7 5.8 17.8 -12.4 -10.1 11.1 2.5 BUND -4.3 -9.4 -7.6 -2.1 -2.3 -2.1 -2.5 -2.1 -1.9 -8.3 -4.2 -8.5 -2.8 -8.2 -8.7 -9.2 -1.6 -8.1 -5.4 -6.8 -5.0 -9.5 -4.4 -7.8 1.7 -2.8 -5.3 -1.4 -5.2 -0.9 -4.0 0.1 -6.0 -5.9 -1.7 2.8 -20.0 -19.8 1.4 -9.7 BUXL -6.2 -9.5 -3.3 -2.6 -2.8 -2.6 -3.1 -2.6 -2.3 -9.8 -2.6 -10.7 -3.0 -9.8 -9.9 -8.8 -3.4 -7.6 -5.7 -7.4 -4.9 -12.1 -5.2 -9.4 -2.1 -2.8 -7.1 -0.7 -6.9 -0.5 -5.0 -1.7 -7.5 -9.0 -0.3 8.1 -20.0 -20.0 -11.4 -7.2 CAC -1.9 -6.4 7.0 4.7 -5.1 7.4 -2.8 8.2 1.7 -11.7 20.0 -6.1 20.0 4.9 16.9 -4.3 1.7 4.3 3.9 12.5 20.0 -14.8 20.0 -1.3 -13.5 6.6 -7.6 10.9 -6.5 11.4 -0.1 15.4 -9.3 -8.4 9.3 15.6 -8.3 7.1 -14.1 10.7 CAD 5.9 0.2 -5.2 -0.4 2.6 -1.4 2.8 1.0 2.5 11.2 -13.0 3.4 -12.5 0.7 -9.4 -3.2 -2.5 -3.0 -2.7 -5.6 -8.2 1.6 -8.5 -1.1 -0.9 -3.8 5.6 -5.4 0.9 -5.5 -1.0 0.0 -4.1 -8.8 -5.6 -6.9 -5.8 -11.2 -0.4 -7.2 CANOLA 12.0 18.3 20.0 3.3 -3.2 2.2 1.0 0.3 3.2 -6.8 -2.8 6.7 -7.9 10.2 10.5 -15.1 -9.0 -15.3 -13.8 8.4 -0.1 4.0 -9.7 9.3 -20.0 2.9 -1.7 -0.4 0.9 -4.6 3.0 -20.0 -1.4 7.6 1.3 4.8 -20.0 -16.4 -4.7 -4.3 CHF 8.0 -0.5 -20.0 -0.4 2.4 -1.2 2.6 0.9 2.3 16.2 -20.0 2.0 -15.5 -6.7 -19.1 -17.2 -16.2 -16.9 -16.4 -17.9 -20.0 6.8 -16.6 -5.6 3.1 -6.5 10.2 -8.0 3.3 -5.2 -2.0 -20.0 10.7 -9.7 -10.0 -20.0 2.4 -15.5 9.0 -12.5 COCOA -11.3 -20.0 -3.1 1.8 -1.8 1.2 0.6 0.2 1.8 5.7 3.3 4.9 4.8 -2.6 1.2 15.2 15.0 19.8 19.7 1.8 5.9 5.3 7.0 0.9 -15.7 1.5 0.6 3.4 0.4 4.1 0.2 20.0 8.2 -5.3 -1.7 20.0 7.3 1.6 11.2 7.8 COFFEE 4.9 -8.2 7.8 4.3 -4.3 2.9 1.3 0.4 4.3 5.3 9.4 10.7 9.1 4.4 5.0 4.5 8.0 8.1 9.0 12.2 12.5 17.8 10.1 15.1 -19.9 3.9 -1.7 4.8 1.4 4.1 2.5 8.7 11.5 -3.0 20.0 20.0 2.4 -16.5 12.7 -5.6 COPPER -11.9 4.1 20.0 1.8 -5.3 1.8 -2.9 1.1 0.1 -8.4 7.9 -3.6 5.2 3.0 7.1 2.7 -3.4 -0.2 -2.3 10.8 10.5 -5.7 6.6 4.4 -8.5 2.9 -2.8 2.9 -1.7 1.8 1.1 4.0 -11.0 4.6 20.0 17.4 -10.1 -2.5 10.1 7.0 CORN -1.5 13.6 16.6 5.1 -5.0 3.4 1.6 0.5 5.1 -16.1 -5.5 -12.2 -16.4 2.5 8.4 -18.2 -11.8 -18.7 -16.8 2.1 -3.8 -15.7 -14.0 -3.0 -15.5 1.9 -12.1 -1.7 -7.7 -6.3 -0.7 -20.0 -15.2 -9.6 0.3 -6.4 -20.0 -20.0 -20.0 -0.8 COTTON2 5.1 -20.0 -14.3 2.9 -2.8 1.9 0.9 0.3 2.8 -6.0 -7.5 0.7 -4.5 -6.8 -9.0 -1.8 3.1 4.5 4.0 -10.7 -8.3 -2.6 -3.9 -6.1 -18.4 -2.6 -2.4 -1.0 -1.5 0.5 -2.2 -0.5 -2.7 -8.6 -20.0 -3.9 -6.7 -12.4 6.9 -0.4 CRUDE_W -6.6 -13.9 4.8 -3.0 -10.8 1.7 -7.8 4.4 -6.4 -10.3 7.5 -5.9 15.5 -16.6 2.4 12.5 12.1 13.8 13.0 -2.1 7.7 -6.1 14.5 -7.5 -5.4 -4.3 -12.7 1.8 -13.2 5.6 -10.3 -0.2 -16.6 -13.8 -7.7 5.2 20.0 16.5 20.0 19.2 DAX 4.3 -1.3 9.4 4.2 -4.6 6.6 -2.5 7.4 1.5 -16.6 20.0 1.8 20.0 9.9 17.0 -10.7 -11.5 -11.5 -12.0 18.9 20.0 -7.5 20.0 6.9 13.6 7.3 -5.4 10.8 -3.0 10.6 2.0 -9.5 1.7 0.9 8.9 20.0 0.3 6.1 -1.0 13.2 DOW 0.6 -7.8 -14.1 2.9 -3.2 4.7 -1.8 5.2 1.1 -11.6 11.9 -10.0 12.6 -3.0 -0.8 -11.2 -11.2 -11.6 -11.7 0.4 7.0 -20.0 12.1 -8.1 -12.2 1.1 -6.7 4.1 -7.8 6.1 -2.7 -9.0 -20.0 -13.6 -4.1 -12.5 6.4 -5.3 11.9 -11.1 DX -14.0 -0.5 7.4 -0.4 2.6 -1.3 2.8 1.0 2.4 -5.0 14.5 -7.0 13.6 -6.2 8.9 7.2 6.8 7.3 7.0 4.4 10.7 -4.0 11.1 -3.7 -20.0 2.2 -1.5 5.0 -2.0 5.3 -1.9 16.3 14.4 -20.0 16.4 20.0 5.5 7.4 8.0 16.6 EUR 11.6 3.2 -2.7 -0.4 2.7 -1.4 2.8 1.0 2.5 0.5 -7.5 8.7 -9.2 15.0 0.6 -7.5 -7.0 -7.2 -6.9 1.7 -4.0 3.6 -5.6 6.5 20.0 2.8 0.5 0.2 2.2 -0.8 4.6 -7.4 -5.5 5.6 7.9 7.5 -20.0 -18.3 -17.9 -13.5 EURIBOR-ICE -3.6 -15.1 -17.4 -1.8 -2.0 -1.8 -2.2 -1.8 -1.6 -6.9 -1.6 -7.3 0.3 -7.3 -7.7 -7.0 -4.7 -5.6 -4.6 -7.4 -4.5 -8.3 -1.4 -7.8 11.9 -2.8 -2.7 -1.5 -3.2 -0.2 -3.0 -2.0 -6.0 -5.3 -7.1 -3.1 -20.0 -20.0 2.4 9.0 EUROSTX 1.4 -5.9 8.0 4.4 -4.8 7.0 -2.7 7.8 1.6 -12.5 20.0 1.7 20.0 9.2 19.0 -8.4 -1.5 -5.9 -3.1 17.3 20.0 -8.0 20.0 4.3 -2.1 7.6 -5.4 12.6 -3.6 13.4 1.6 7.3 1.1 -4.6 9.8 20.0 -15.0 5.2 -20.0 8.3 FEEDCOW 14.4 5.3 -6.5 5.5 -5.4 3.6 1.7 0.5 5.4 -14.9 1.1 6.3 -2.6 11.2 0.3 -19.5 -20.0 -20.0 -20.0 2.8 -1.9 3.1 -0.4 8.8 -7.0 0.4 -11.5 -0.2 -5.4 2.2 0.1 -20.0 -20.0 -7.9 -1.5 -8.3 18.0 20.0 20.0 20.0 GASOIL -6.0 -20.0 -3.1 -2.7 -9.8 1.5 -7.1 4.0 -5.8 -18.4 2.8 -15.1 14.1 -20.0 -17.0 -4.0 15.6 3.3 10.1 -12.7 -1.1 -13.3 11.6 -15.4 6.9 -5.5 -8.4 -1.0 -5.6 3.8 -6.4 1.6 6.3 -2.3 -12.6 -11.6 -16.9 -10.9 -20.0 -20.0 GASOLINE -12.9 -19.1 5.3 -2.7 -9.8 1.5 -7.1 4.0 -5.8 -18.0 10.5 -18.2 15.7 -20.0 -3.2 18.9 13.9 18.0 13.3 -7.6 5.9 -18.0 13.8 -17.3 -20.0 -4.4 -9.1 1.4 -11.0 5.2 -9.5 0.7 -16.0 -20.0 -11.5 5.3 20.0 20.0 20.0 20.0 GAS_US_mini 16.4 20.0 17.8 -1.9 -6.9 1.1 -5.0 2.8 -4.1 -13.4 -13.4 -1.7 -16.0 5.9 1.8 -20.0 -20.0 -20.0 -20.0 5.1 -6.6 -2.7 -20.0 7.2 20.0 1.8 -5.3 -2.7 -1.8 -5.7 2.9 -20.0 7.3 20.0 20.0 -14.5 -6.1 -5.6 -12.9 -10.5 GBP 16.8 3.8 -3.3 -0.4 2.8 -1.4 3.0 1.1 2.6 6.7 10.8 20.0 5.3 20.0 6.0 -1.0 -0.8 -1.0 -0.8 9.0 3.3 13.9 3.5 16.5 1.4 5.9 2.7 3.7 7.0 3.0 8.7 3.1 12.5 16.3 16.9 14.2 -15.8 -17.2 -15.3 -8.4 GOLD_micro -8.0 -8.2 20.0 2.2 -6.5 2.3 -3.6 1.3 0.1 -9.8 9.9 -6.4 9.4 -1.0 8.6 -11.4 -14.1 -12.7 -13.5 9.4 13.7 -6.7 11.8 0.6 -3.2 2.8 -3.5 4.4 -3.2 4.0 -0.5 -14.5 -3.6 -5.5 1.3 18.0 -6.6 -13.5 2.1 -6.0 HEATOIL -6.3 -18.7 -4.8 -2.9 -10.3 1.6 -7.5 4.2 -6.1 -20.0 -5.9 -16.9 8.2 -20.0 -20.0 -9.3 14.8 -1.0 7.5 -16.9 -6.4 -19.4 5.7 -20.0 -20.0 -7.2 -12.8 -2.1 -13.4 2.8 -11.0 -1.1 -20.0 -19.5 -20.0 -17.5 7.5 5.8 0.6 0.9 JGB-SGX-mini -13.5 -18.6 -17.0 -2.5 -2.7 -2.4 -2.9 -2.4 -2.2 -9.8 -2.5 -11.1 1.3 -11.5 -11.4 20.0 17.5 19.0 17.1 -13.7 -8.7 -14.9 -2.5 -15.0 -9.9 -4.1 -4.0 -2.9 -4.4 -1.6 -4.4 20.0 -9.8 -19.4 -16.1 -6.3 -17.3 -6.7 -0.2 13.0 JPY -4.5 -0.4 -3.0 -0.2 1.2 -0.6 1.3 0.5 1.1 -5.8 -11.0 -9.4 -11.3 -10.0 -10.5 -14.1 -16.3 -15.4 -15.9 -11.9 -14.1 -5.9 -16.2 -8.6 20.0 -3.9 -1.0 -4.4 -1.7 -4.7 -2.7 -20.0 -6.6 -13.4 -15.6 -16.6 -20.0 -10.8 -18.1 -10.4 LEANHOG -20.0 -17.9 11.2 7.0 -6.9 4.6 2.2 0.6 6.9 -16.8 6.2 -20.0 -3.1 -20.0 -14.4 -1.0 -20.0 -20.0 -20.0 -20.0 -1.8 -20.0 -1.7 -20.0 8.4 -5.6 -2.3 0.8 -7.9 1.1 -9.9 -20.0 -20.0 -20.0 -20.0 -1.7 -12.1 -10.4 -5.3 8.4 LIVECOW 18.3 6.7 -0.3 5.7 -5.6 3.7 1.8 0.5 5.6 -13.0 4.4 11.2 1.0 14.3 4.8 20.0 8.7 20.0 16.2 9.5 3.1 8.3 2.5 15.7 -7.3 4.9 -5.1 3.3 1.8 4.2 5.9 14.4 -5.2 13.1 6.9 10.6 18.3 20.0 20.0 20.0 LUMBER-new 3.4 -20.0 -13.2 5.6 -5.5 3.7 1.7 0.9 5.5 -17.9 -11.9 -16.6 -14.0 -16.5 -16.6 -19.3 -17.9 -20.0 -19.3 -20.0 -18.1 -16.4 -10.6 -17.9 NaN -6.1 -5.8 -4.6 -4.9 -2.2 -5.2 -20.0 -20.0 -20.0 -20.0 -20.0 -14.5 -10.9 -5.7 -6.9 MILK 15.0 20.0 20.0 3.9 -3.8 2.6 1.2 0.3 3.8 9.4 1.9 11.1 -8.7 13.4 12.6 9.8 -20.0 -8.4 -20.0 19.5 7.1 15.0 -7.6 20.0 15.9 4.3 4.3 1.4 4.7 -1.8 5.3 -20.0 10.9 20.0 20.0 8.3 -18.7 -20.0 -15.4 -20.0 MXP 5.3 -5.0 -3.6 -0.4 2.6 -1.3 2.8 1.0 2.5 -20.0 18.0 -10.2 20.0 2.1 7.9 16.3 17.1 16.8 16.7 9.2 16.6 -12.2 20.0 1.4 -20.0 4.5 -11.2 8.0 -6.4 11.7 0.2 20.0 -20.0 0.0 0.7 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro 17.8 -3.3 -7.7 2.7 -3.0 4.3 -1.6 4.8 1.0 -11.9 13.6 3.6 14.3 11.1 10.8 -10.8 -10.4 -10.8 -10.8 10.9 13.0 1.0 18.2 10.7 -20.0 3.1 -5.9 4.9 -1.1 7.9 2.5 -7.4 3.8 6.4 5.3 -7.0 -0.8 1.4 -2.1 1.5 NIKKEI 2.1 -19.5 -4.3 3.4 -3.7 5.3 -2.0 5.9 1.2 -6.9 12.2 -2.6 15.4 -0.1 1.6 1.5 8.3 3.1 5.7 3.4 14.9 -4.3 20.0 -0.8 -17.3 1.6 -4.1 8.0 -2.2 13.6 -0.7 20.0 9.3 -14.3 -11.5 2.1 -5.6 -7.3 -6.7 -10.1 NZD 17.9 8.6 -4.1 -0.3 2.0 -1.0 2.2 0.8 1.9 12.9 -1.1 16.0 -4.0 15.8 4.9 0.1 0.2 0.1 0.2 6.8 0.1 11.5 -2.8 13.3 1.0 3.4 3.5 0.5 5.3 -0.5 6.1 4.8 5.2 16.6 17.2 4.0 -1.4 -4.9 4.1 5.9 OAT -3.6 -8.7 -7.8 -2.3 -2.5 -2.3 -2.8 -2.3 -2.1 -8.6 -2.0 -9.0 -1.0 -7.7 -8.5 5.7 6.1 5.6 5.5 -6.3 -4.0 -9.7 -2.8 -7.5 2.1 -2.7 -6.1 -1.0 -6.0 -0.2 -4.3 15.6 -5.8 -5.5 0.4 4.8 -20.0 -18.6 2.5 -2.4 OATIES -0.5 20.0 10.9 3.1 -3.0 2.0 1.0 0.3 3.1 9.9 -2.4 -1.1 -7.7 4.3 4.6 6.7 2.5 9.2 6.5 6.3 1.4 7.4 -3.1 6.9 -20.0 2.8 2.5 1.2 2.5 -0.3 3.0 0.7 9.5 7.8 16.5 4.8 -7.8 -1.4 4.6 12.9 OJ 20.0 18.9 5.3 6.1 -6.0 4.0 1.9 0.5 6.1 -15.3 17.2 13.7 19.8 18.5 20.0 19.1 13.7 12.6 11.5 20.0 20.0 20.0 20.0 20.0 -20.0 6.9 -4.2 4.9 3.0 5.9 7.8 15.4 -16.2 20.0 20.0 20.0 4.2 8.9 16.4 20.0 PALLAD 0.2 -3.4 12.2 1.9 -5.5 1.9 -3.0 1.1 0.1 -8.9 -4.5 -6.8 -8.1 -6.6 -1.0 -2.8 -2.2 -2.4 -2.2 -3.1 -4.1 -9.1 -9.6 -5.1 14.2 -1.8 -8.8 -1.6 -7.3 -3.3 -4.1 5.6 -0.4 -8.2 -12.0 -11.0 -20.0 -20.0 -20.0 -15.1 PLAT 13.9 13.0 13.9 2.5 -7.2 2.5 -3.9 1.4 0.2 -3.8 5.4 3.5 -3.9 7.1 8.0 -4.9 -4.0 -4.8 -4.5 12.0 7.3 4.1 1.9 11.2 9.3 3.5 -2.3 2.5 -1.0 1.2 2.3 2.1 -1.4 12.9 11.2 0.7 -20.0 -7.5 5.2 5.9 REDWHEAT 14.3 20.0 20.0 4.5 -4.4 3.0 1.4 0.4 4.5 1.2 6.0 11.4 -10.7 15.1 14.5 -11.0 -2.2 -7.0 -4.1 20.0 9.2 15.8 -6.1 20.0 -6.9 5.2 0.3 2.2 2.9 -1.0 5.4 -11.1 20.0 20.0 20.0 11.1 -12.0 -20.0 -0.3 -18.6 RICE 8.9 20.0 0.1 4.8 -4.8 3.2 1.5 0.4 4.8 9.5 13.0 11.8 13.2 17.8 16.0 20.0 20.0 20.0 20.0 19.2 15.4 10.2 13.6 17.5 -12.0 4.1 3.8 2.5 3.9 1.9 4.9 20.0 10.3 6.3 20.0 -1.5 -6.7 -4.8 -4.8 0.5 ROBUSTA 1.8 -20.0 -11.4 2.4 -2.3 1.6 0.7 0.2 2.3 5.7 6.5 6.5 7.7 2.6 3.7 15.6 20.0 18.9 20.0 8.9 11.7 15.4 12.6 10.7 -20.0 2.8 0.8 4.0 1.9 4.4 2.0 20.0 20.0 4.1 14.5 20.0 -2.7 -12.2 5.6 4.0 RUSSELL 5.4 -2.0 2.7 3.1 -3.4 4.9 -1.9 5.5 1.1 -6.4 12.0 -4.2 11.1 5.7 3.4 -7.4 -6.6 -7.0 -6.8 4.0 6.5 -3.9 7.3 1.3 -2.0 2.6 -1.6 4.1 -1.9 4.7 0.9 -0.7 2.1 -7.1 -0.0 -9.5 -4.6 -20.0 -5.6 -20.0 SHATZ -3.6 -12.3 -18.4 -1.9 -2.1 -1.9 -2.3 -1.9 -1.7 -7.2 -9.1 -7.9 -8.8 -8.4 -9.1 -20.0 -20.0 -20.0 -20.0 -12.0 -12.7 -8.2 -12.8 -9.9 7.7 -3.4 -1.7 -3.2 -2.5 -2.7 -3.0 -20.0 -3.6 -8.4 -9.2 -11.0 -20.0 -20.0 -16.8 -16.3 SILVER-mini 14.2 6.7 20.0 2.2 -6.3 2.2 -3.5 1.3 0.1 -5.3 9.1 6.7 6.3 8.3 9.7 -6.2 -6.7 -6.5 -6.6 15.2 11.8 7.6 7.0 14.7 2.1 3.6 -2.9 3.4 -0.3 2.3 2.4 -2.1 5.7 20.0 14.5 17.7 -9.6 -13.1 10.4 4.2 SMI 20.0 9.4 11.7 3.7 -4.0 5.8 -2.2 6.4 1.3 8.3 17.5 14.8 14.9 15.7 15.9 -3.0 2.7 -1.2 1.2 20.0 19.3 12.4 13.6 20.0 15.0 6.9 3.0 6.6 2.9 4.9 5.6 14.7 17.6 20.0 20.0 9.1 10.6 0.4 11.0 -0.9 SOFR 9.8 -2.8 -11.0 -2.6 -2.8 -2.6 -3.1 -2.6 -2.3 -1.1 -3.5 -4.6 -4.4 -0.9 -6.4 -3.9 -1.1 -2.9 -1.8 -5.1 -6.9 -3.6 -6.6 -2.6 -2.8 -0.8 2.1 -1.6 0.9 -1.5 0.7 3.4 9.1 10.2 1.5 0.2 -2.8 -20.0 12.4 -0.4 SOYBEAN 2.5 14.9 9.9 5.5 -5.4 3.6 1.7 0.5 5.4 -17.9 -6.9 -11.3 -5.7 6.8 10.3 1.0 8.5 0.9 3.6 5.6 -2.0 -11.1 -8.5 2.2 -20.0 3.7 -7.2 0.5 -3.1 -1.9 2.6 4.2 -9.4 1.4 0.6 -1.0 -17.9 -20.0 -15.2 -20.0 SOYMEAL -0.9 20.0 10.6 3.7 -3.6 2.4 1.1 0.3 3.7 -12.1 -7.1 -9.1 -8.3 4.2 5.0 5.4 6.1 1.3 1.8 6.8 -0.0 -8.2 -5.2 3.2 -20.0 3.3 -2.1 0.9 -0.2 -0.5 2.7 0.5 -2.8 3.9 20.0 3.6 -20.0 -20.0 -20.0 -20.0 SOYOIL 15.5 -3.0 8.1 3.0 -3.0 2.0 0.9 0.3 3.0 -2.2 -8.6 6.4 -9.3 -2.2 -4.6 -5.2 -0.8 -6.2 -4.8 -3.7 -7.4 3.0 -9.4 0.9 -20.0 -2.0 -1.1 -2.5 -0.1 -2.5 -0.7 -11.0 -2.8 0.6 -20.0 -7.6 -20.0 -17.3 -7.1 1.6 SP400 1.2 -6.4 6.6 3.3 -3.6 5.2 -2.0 5.8 1.2 -5.1 14.0 -5.7 13.7 3.7 6.4 -8.1 -5.8 -6.8 -6.2 6.3 13.1 -7.5 15.3 -0.8 -13.6 3.6 -0.3 6.3 -1.8 7.1 0.7 0.7 0.7 -5.8 -2.4 0.9 -4.6 -11.0 -4.1 -20.0 SP500_micro 12.3 -4.8 -0.4 3.5 -3.8 5.5 -2.1 6.1 1.3 -16.3 17.6 2.0 17.8 12.6 13.4 -12.5 -11.9 -12.5 -12.4 14.2 20.0 -3.0 20.0 9.3 -20.0 4.7 -5.0 7.8 -2.0 10.3 2.4 -10.1 -1.2 4.6 3.2 2.3 2.8 -1.5 5.7 -1.4 SUGAR11 -6.8 -17.7 -20.0 4.2 -4.1 2.8 1.3 0.4 4.1 -8.1 -14.8 -13.2 -5.7 -15.0 -15.3 0.3 12.9 4.1 8.6 -20.0 -20.0 -10.4 -10.9 -18.0 -20.0 -5.7 -2.1 -5.0 -4.1 -2.5 -5.3 13.0 -10.1 -20.0 -20.0 -20.0 20.0 14.6 20.0 20.0 US10 7.1 -3.0 -7.8 -2.2 -2.4 -2.2 -2.7 -2.2 -2.0 -1.7 -3.9 -4.4 -6.0 -1.9 -6.1 -6.2 -7.2 -6.2 -6.8 -4.9 -6.6 -4.7 -8.3 -3.5 2.7 -0.9 1.4 -1.6 0.2 -2.1 0.2 -6.5 7.2 7.1 1.9 0.7 -9.3 -20.0 3.9 2.1 US10U 7.8 -2.8 -7.2 -3.3 -3.6 -3.3 -4.0 -3.3 -3.0 -2.4 -5.4 -5.9 -8.5 -2.3 -9.1 -5.5 -2.2 -4.9 -3.5 -7.1 -9.8 -6.3 -12.8 -4.6 0.4 -1.1 1.9 -2.2 0.3 -3.1 0.4 1.2 10.5 11.1 3.9 2.8 -9.2 -17.1 17.8 9.3 US2 3.4 -8.9 -18.0 -2.2 -2.4 -2.2 -2.6 -2.2 -2.0 -2.4 -8.8 -6.3 -9.5 -6.6 -8.8 -20.0 -20.0 -20.0 -20.0 -10.3 -12.4 -6.0 -14.4 -7.3 13.7 -3.0 0.2 -3.1 -1.8 -3.2 -2.2 -20.0 1.3 -1.6 -5.3 -9.0 -13.8 -20.0 -8.5 -20.0 US20 8.7 -2.1 -4.3 -2.4 -2.6 -2.3 -2.8 -2.3 -2.1 -2.3 -0.6 -3.9 -3.8 -0.2 -5.0 -0.9 -0.7 -0.6 -0.5 -3.5 -5.0 -4.9 -7.3 -2.4 -1.0 0.5 1.7 -0.3 1.2 -1.3 1.5 4.7 9.2 11.4 5.7 6.2 -14.0 -12.8 20.0 14.6 US30 8.4 -2.5 -3.7 -2.8 -3.0 -2.8 -3.3 -2.8 -2.5 -3.1 -2.4 -4.8 -5.9 -1.4 -6.6 -3.6 -4.9 -3.6 -4.5 -4.6 -6.4 -5.7 -9.5 -3.2 -0.3 0.1 1.4 -0.9 0.8 -2.2 1.4 -2.6 10.0 12.2 5.8 7.8 -18.0 -11.7 10.8 16.7 US5 7.1 -4.2 -11.7 -2.3 -2.5 -2.3 -2.8 -2.3 -2.1 -1.8 -7.4 -5.2 -8.2 -3.5 -7.6 -9.9 -10.1 -9.8 -9.9 -6.7 -8.7 -4.9 -10.1 -4.5 6.2 -1.7 1.1 -2.3 -0.4 -2.4 -0.6 -11.6 5.6 5.2 -0.6 -3.0 -8.4 -20.0 0.2 -7.2 VIX -8.7 -12.4 8.1 -6.8 -0.0 -6.9 -2.4 -8.2 -5.6 11.8 -20.0 -10.2 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -4.6 -20.0 -17.6 NaN -7.7 -0.7 -7.8 -3.2 -9.8 -6.7 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 14.2 20.0 20.0 4.1 -4.0 2.7 1.3 0.4 4.0 -7.0 8.6 10.3 -8.0 13.9 13.5 -14.9 -13.8 -16.2 -15.3 20.0 10.4 9.4 -3.6 20.0 1.0 4.7 -0.5 2.2 2.0 -0.3 4.6 -20.0 12.1 20.0 20.0 10.6 -10.3 -20.0 -5.0 -20.0 End of report for caleb_strategy_v3