******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240606_204007 produced at 2024-06-06 21:38:25.308397 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 False 0.03 -0.03 -0.59 0.0 0.45 -0.45 -0.03 -0.08 -21.08 16.0 -1 -3 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.65 -0.42 0.0 0.81 -0.81 -0.65 -0.65 -5.24 10.0 -8 -8 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.36 0.0 0.00 0.00 0.00 0.00 -10.14 24.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.24 -0.30 0.0 999.00 -999.00 -0.24 -0.24 -64.96 999999999.0 -52 -53 caleb_strategy_v3 US2 False True 0.06 0.00 -0.21 0.0 0.00 0.00 0.00 0.00 -3.33 13.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.10 -0.13 0.0 0.15 -0.15 -0.10 -0.10 -11.35 13.0 -9 -9 caleb_strategy_v3 CAD False False 0.02 -0.02 -0.09 0.0 0.65 -0.65 -0.02 -0.02 -4.05 29.0 -1 -1 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.07 0.0 0.09 -0.09 -0.06 -0.06 -2.43 3.0 -2 -2 caleb_strategy_v3 JPY False False 0.02 -0.05 -0.06 0.0 0.42 -0.42 -0.05 -0.05 -2.58 17.0 -2 -2 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.06 0.0 0.73 -0.73 0.00 0.00 -1.58 19.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.17 -0.06 0.0 0.56 -0.56 -0.17 -0.17 -1.50 13.0 -4 -4 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.06 0.0 0.09 -0.09 -0.07 -0.07 -8.73 12.0 -10 -10 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.05 0.0 0.01 -0.01 0.00 0.00 -10.33 3.0 0 0 caleb_strategy_v3 OAT False False 0.04 0.00 -0.04 0.0 0.42 -0.42 0.00 0.00 -0.88 10.0 0 0 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.04 0.0 0.39 -0.39 -0.01 -0.01 -5.96 66.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.04 -0.08 -0.04 0.0 0.31 -0.31 -0.08 -0.08 -1.10 8.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.03 -0.04 0.0 0.15 -0.15 -0.03 -0.03 -13.18 51.0 -11 -10 caleb_strategy_v3 GASOIL False False 0.02 -0.04 -0.04 0.0 0.09 -0.09 -0.04 -0.04 -1.69 4.0 -2 -2 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.03 0.0 0.18 -0.18 0.00 0.00 -0.39 2.0 0 0 caleb_strategy_v3 BUND False False 0.04 -0.22 -0.03 0.0 0.44 -0.44 -0.22 -0.17 -0.67 10.0 -5 -4 caleb_strategy_v3 BTP False False 0.04 0.00 -0.03 0.0 0.39 -0.39 0.00 0.00 -0.87 10.0 0 0 caleb_strategy_v3 US5 False False 0.03 -0.10 -0.03 0.0 0.82 -0.82 -0.10 -0.10 -0.79 25.0 -3 -3 caleb_strategy_v3 COTTON2 False False 0.01 -0.02 -0.03 0.0 0.12 -0.12 -0.02 -0.02 -2.58 11.0 -2 -2 caleb_strategy_v3 SUGAR11 False False 0.01 -0.03 -0.02 0.0 0.12 -0.12 -0.03 -0.02 -2.34 18.0 -4 -3 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.02 0.0 0.12 -0.12 -0.05 -0.05 -1.35 7.0 -3 -3 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.02 0.0 0.06 -0.06 -0.03 -0.03 -0.55 2.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 -0.02 -0.02 0.0 0.21 -0.21 -0.02 -0.03 -5.82 68.0 -7 -10 caleb_strategy_v3 BUXL False False 0.04 -0.04 -0.02 0.0 0.17 -0.17 -0.04 -0.04 -0.37 4.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -1.05 9.0 -1 -1 caleb_strategy_v3 CRUDE_W False False 0.02 0.00 -0.01 0.0 0.11 -0.11 0.00 0.00 -0.23 5.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.01 0.0 0.08 -0.08 -0.02 -0.02 -1.63 10.0 -2 -2 caleb_strategy_v3 GASOLINE False False 0.03 -0.03 -0.01 0.0 999.00 -999.00 -0.03 -0.03 -0.17 999999999.0 -1 -1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.68 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 -0.19 8.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.02 0.00 0.0 0.27 -0.27 -0.02 -0.01 0.26 36.0 -2 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.01 -0.00 0.0 0.09 -0.09 -0.01 -0.01 -0.38 9.0 -1 -1 caleb_strategy_v3 US10 False False 0.03 0.00 -0.00 0.0 0.57 -0.57 0.00 0.00 -0.08 17.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 -0.00 0.0 0.41 -0.41 -0.01 -0.01 -0.66 56.0 -1 -1 caleb_strategy_v3 DX False False 0.03 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.02 999999999.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.06 -0.00 0.0 0.52 -0.52 0.06 0.03 -0.19 60.0 7 4 caleb_strategy_v3 COCOA False False 0.03 0.00 0.01 0.0 0.72 -0.72 0.00 0.00 0.20 26.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.01 0.0 0.16 -0.16 0.00 0.00 0.30 6.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.30 -0.30 0.03 0.03 0.74 23.0 2 2 caleb_strategy_v3 US30 False False 0.04 0.04 0.01 0.0 0.23 -0.23 0.04 0.04 0.14 6.0 1 1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 0.01 0.0 0.27 -0.27 0.00 0.00 0.79 23.0 0 0 caleb_strategy_v3 US10U False False 0.03 0.00 0.01 0.0 0.45 -0.45 0.00 0.00 0.36 13.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 0.01 0.01 0.0 0.06 -0.06 0.01 0.01 2.85 26.0 3 3 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.06 -0.06 0.00 0.00 0.84 5.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.02 0.01 0.0 0.15 -0.15 0.02 0.02 0.75 10.0 1 1 caleb_strategy_v3 SP500_micro False False 0.01 0.02 0.02 0.0 0.39 -0.39 0.02 0.02 2.75 48.0 3 3 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.74 999999999.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.85 12.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.44 9.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.02 0.03 0.0 0.39 -0.39 0.02 0.06 1.32 19.0 1 3 caleb_strategy_v3 RICE False True 0.01 0.00 0.03 0.0 0.00 0.00 0.00 0.00 3.66 4.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.04 0.03 0.0 0.06 -0.06 0.04 0.04 1.34 3.0 2 2 caleb_strategy_v3 EUR False False 0.04 0.04 0.03 0.0 0.59 -0.59 0.04 0.04 0.75 14.0 1 1 caleb_strategy_v3 COPPER False False 0.04 0.07 0.03 0.0 999.00 -999.00 0.07 0.07 0.82 999999999.0 2 2 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.05 0.0 0.00 0.00 0.00 0.00 22.76 59.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.27 0.06 0.0 0.34 -0.34 0.27 0.27 3.30 20.0 16 16 caleb_strategy_v3 NZD False True 0.02 0.00 0.08 0.0 0.00 0.00 0.00 0.00 4.06 21.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.02 0.08 0.0 0.54 -0.54 0.02 0.02 3.35 22.0 1 1 caleb_strategy_v3 DAX False False 0.01 0.02 0.08 0.0 0.36 -0.36 0.02 0.02 13.59 58.0 3 3 caleb_strategy_v3 LIVECOW False False 0.02 0.17 0.10 0.0 0.37 -0.37 0.17 0.17 4.61 17.0 8 8 caleb_strategy_v3 SMI False True 0.04 0.00 0.17 0.0 0.00 0.00 0.00 0.00 3.98 9.0 0 0 caleb_strategy_v3 SOFR False True 0.07 0.00 0.24 0.0 0.00 0.00 0.00 0.00 3.19 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 14.8 Shocked risk 42.9 Sum abs risk 44.3 Leverage 4.12 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3270331.98, 'annual_cash_vol_target': 817582.995, 'daily_cash_vol_target': 51098.9371875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0037 0.6690 0.5572 8.9156 BITCOIN 1586.6409 71655.0000 2.2143 35.4284 BOBL 0.2598 115.8700 0.2242 3.5871 BTP 0.5764 117.0600 0.4924 7.8782 BUND 0.5268 131.1000 0.4018 6.4295 BUXL 1.2469 130.8800 0.9527 15.2429 CAC 51.7860 8037.0000 0.6443 10.3095 CAD 0.0027 0.7333 0.3650 5.8399 CANOLA 9.0936 662.4000 1.3728 21.9653 CHF 0.0050 1.1358 0.4424 7.0778 COCOA 329.9447 9069.0000 3.6382 58.2106 COFFEE 4.3940 232.3500 1.8911 30.2580 COPPER 0.0772 4.6720 1.6514 26.4218 CORN 5.5307 470.2500 1.1761 18.8178 COTTON2 1.2613 73.7400 1.7105 27.3673 CRUDE_W 1.0079 73.4300 1.3725 21.9606 DAX 122.2541 18670.0000 0.6548 10.4770 DOW 268.2085 38969.0000 0.6883 11.0122 DX 0.3349 103.7150 0.3229 5.1666 EUR 0.0041 1.0944 0.3706 5.9290 EURIBOR-ICE 0.0509 97.3500 0.0523 0.8362 EUROSTX 37.5004 5073.0000 0.7392 11.8274 FEEDCOW 1.8791 254.1000 0.7395 11.8324 GASOIL 11.2926 730.5000 1.5459 24.7341 GASOLINE 0.0377 2.3435 1.6096 25.7535 GAS_US_mini 0.1051 2.8950 3.6300 58.0795 GBP 0.0052 1.2803 0.4096 6.5529 GOLD_micro 20.8966 2391.5000 0.8738 13.9806 HEATOIL 0.0357 2.3929 1.4936 23.8984 JGB-SGX-mini 0.2210 143.3500 0.1542 2.4670 JPY 0.0000 0.0065 0.6538 10.4612 LEANHOG 1.0800 91.7250 1.1774 18.8390 LIVECOW 1.2052 177.5500 0.6788 10.8609 LUMBER-new 7.7044 521.0000 1.4788 23.6602 MILK 0.2853 20.2800 1.4070 22.5123 MXP 0.0006 0.0570 1.0051 16.0808 NASDAQ_micro 147.2137 19316.2500 0.7621 12.1940 NIKKEI 339.8968 38610.0000 0.8803 14.0853 NZD 0.0034 0.6204 0.5439 8.7028 OAT 0.5224 125.2700 0.4170 6.6723 OATIES 7.4734 364.2500 2.0517 32.8275 OJ 7.7263 437.6500 1.7654 28.2465 PALLAD 22.3166 940.0000 2.3741 37.9856 PLAT 16.9109 1012.2000 1.6707 26.7314 REDWHEAT 12.0487 691.0000 1.7437 27.8985 RICE 0.1532 15.4600 0.9909 15.8541 ROBUSTA 76.4326 4296.0000 1.7792 28.4665 RUSSELL 20.6232 2054.5000 1.0038 16.0609 SHATZ 0.0762 105.3650 0.0723 1.1570 SILVER-mini 0.6117 31.7625 1.9259 30.8152 SMI 78.0613 12243.0000 0.6376 10.2016 SOFR 0.0631 96.3150 0.0655 1.0480 SOYBEAN 10.8340 1166.5000 0.9288 14.8602 SOYMEAL 4.6675 352.8000 1.3230 21.1677 SOYOIL 0.7271 44.6900 1.6270 26.0313 SP400 24.9602 2945.7000 0.8473 13.5575 SP500_micro 32.5959 5363.0000 0.6078 9.7247 SUGAR11 0.2836 19.1000 1.4849 23.7587 US10 0.3840 110.3750 0.3479 5.5665 US10U 0.5138 114.1094 0.4503 7.2048 US2 0.0931 102.2109 0.0911 1.4581 US20 0.7617 119.4375 0.6377 10.2038 US30 1.1417 127.0312 0.8987 14.3797 US5 0.2444 106.8125 0.2288 3.6607 VIX 0.3883 15.1000 2.5718 41.1485 WHEAT 10.9897 687.0000 1.5997 25.5946 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 669.05 0.56 372.81 1.00 372.81 51098.94 137.06 3.72 51.04 BITCOIN 71.66 2.21 158.66 1.00 158.66 51098.94 322.06 6.53 210.16 BOBL 1158.70 0.22 259.77 1.09 282.58 51098.94 180.83 -8.61 -155.61 BTP 1170.60 0.49 576.39 1.09 627.00 51098.94 81.50 -3.11 -25.37 BUND 1311.00 0.40 526.82 1.09 573.07 51098.94 89.17 -7.39 -65.90 BUXL 1308.80 0.95 1246.87 1.09 1356.35 51098.94 37.67 -9.63 -36.29 CAC 803.70 0.64 517.86 1.09 563.33 51098.94 90.71 2.73 24.78 CAD 733.35 0.36 267.67 1.00 267.67 51098.94 190.90 -8.18 -156.20 CANOLA 132.48 1.37 181.87 0.73 133.01 51098.94 384.18 -14.11 -541.89 CHF 1419.81 0.44 628.07 1.00 628.07 51098.94 81.36 -7.09 -57.66 COCOA 906.90 3.64 3299.45 1.00 3299.45 51098.94 15.49 6.16 9.54 COFFEE 871.31 1.89 1647.76 1.00 1647.76 51098.94 31.01 8.36 25.91 COPPER 1168.00 1.65 1928.79 1.00 1928.79 51098.94 26.49 2.86 7.59 CORN 235.12 1.18 276.53 1.00 276.53 51098.94 184.78 -19.41 -358.68 COTTON2 368.70 1.71 630.65 1.00 630.65 51098.94 81.03 -14.88 -120.60 CRUDE_W 734.30 1.37 1007.86 1.00 1007.86 51098.94 50.70 -0.41 -2.10 DAX 186.70 0.65 122.25 1.09 132.99 51098.94 384.24 10.37 398.58 DOW 194.84 0.69 134.10 1.00 134.10 51098.94 381.04 -6.73 -256.60 DX 1037.15 0.32 334.91 1.00 334.91 51098.94 152.57 0.06 0.87 EUR 1368.00 0.37 506.93 1.00 506.93 51098.94 100.80 2.88 29.08 EURIBOR-ICE 2433.75 0.05 127.19 1.09 138.36 51098.94 369.33 -4.16 -153.52 EUROSTX 507.30 0.74 375.00 1.09 407.93 51098.94 125.26 7.71 96.61 FEEDCOW 1270.50 0.74 939.57 1.00 939.57 51098.94 54.39 -6.09 -33.12 GASOIL 730.50 1.55 1129.26 1.00 1129.26 51098.94 45.25 -8.60 -38.90 GASOLINE 984.27 1.61 1584.28 1.00 1584.28 51098.94 32.25 -1.24 -3.99 GAS_US_mini 72.38 3.63 262.72 1.00 262.72 51098.94 194.50 1.36 26.36 GBP 800.19 0.41 327.72 1.00 327.72 51098.94 155.92 8.27 128.96 GOLD_micro 239.15 0.87 208.97 1.00 208.97 51098.94 244.53 -0.79 -19.25 HEATOIL 1005.02 1.49 1501.14 1.00 1501.14 51098.94 34.04 -16.47 -56.07 JGB-SGX-mini 143350.00 0.15 22102.52 0.01 141.93 51098.94 360.02 -5.41 -194.68 JPY 815.19 0.65 532.99 1.00 532.99 51098.94 95.87 -10.36 -99.35 LEANHOG 366.90 1.18 432.00 1.00 432.00 51098.94 118.28 -15.79 -186.75 LIVECOW 710.20 0.68 482.09 1.00 482.09 51098.94 105.99 13.12 139.08 LUMBER-new 143.28 1.48 211.87 1.00 211.87 51098.94 241.18 -20.00 -482.36 MILK 405.60 1.41 570.69 1.00 570.69 51098.94 89.54 4.37 39.09 MXP 284.80 1.01 286.24 1.00 286.24 51098.94 178.52 -0.07 -1.29 NASDAQ_micro 386.32 0.76 294.43 1.00 294.43 51098.94 173.55 1.96 34.00 NIKKEI 38610.00 0.88 33989.68 0.01 218.27 51098.94 234.11 0.10 2.41 NZD 620.45 0.54 337.48 1.00 337.48 51098.94 151.41 10.33 156.44 OAT 1252.70 0.42 522.40 1.09 568.26 51098.94 89.92 -2.88 -25.87 OATIES 182.12 2.05 373.67 1.00 373.67 51098.94 136.75 -2.05 -28.07 OJ 656.48 1.77 1158.95 1.00 1158.95 51098.94 44.09 14.18 62.50 PALLAD 940.00 2.37 2231.66 1.00 2231.66 51098.94 22.90 -7.07 -16.19 PLAT 506.10 1.67 845.55 1.00 845.55 51098.94 60.43 3.62 21.86 REDWHEAT 345.50 1.74 602.43 1.00 602.43 51098.94 84.82 -1.69 -14.30 RICE 309.20 0.99 306.38 1.00 306.38 51098.94 166.78 9.02 150.50 ROBUSTA 429.60 1.78 764.33 1.00 764.33 51098.94 66.85 9.43 63.03 RUSSELL 102.72 1.00 103.12 1.00 103.12 51098.94 495.55 -3.54 -175.57 SHATZ 1053.65 0.07 76.20 1.09 82.89 51098.94 616.50 -16.21 -999.57 SILVER-mini 794.06 1.93 1529.32 1.00 1529.32 51098.94 33.41 6.51 21.75 SMI 1224.30 0.64 780.61 1.12 875.89 51098.94 58.34 20.00 116.68 SOFR 2407.88 0.07 157.72 1.00 157.72 51098.94 323.99 1.62 52.52 SOYBEAN 583.25 0.93 541.70 1.00 541.70 51098.94 94.33 -15.40 -145.24 SOYMEAL 352.80 1.32 466.75 1.00 466.75 51098.94 109.48 -10.36 -113.40 SOYOIL 268.14 1.63 436.25 1.00 436.25 51098.94 117.13 -14.99 -175.58 SP400 2945.70 0.85 2496.02 1.00 2496.02 51098.94 20.47 -5.69 -11.64 SP500_micro 268.15 0.61 162.98 1.00 162.98 51098.94 313.53 3.77 118.21 SUGAR11 213.92 1.48 317.65 1.00 317.65 51098.94 160.86 -6.83 -109.80 US10 1103.75 0.35 384.00 1.00 384.00 51098.94 133.07 -0.50 -6.63 US10U 1141.09 0.45 513.83 1.00 513.83 51098.94 99.45 2.83 28.15 US2 2044.22 0.09 186.29 1.00 186.29 51098.94 274.29 -9.57 -262.53 US20 1194.38 0.64 761.70 1.00 761.70 51098.94 67.09 5.15 34.54 US30 1270.31 0.90 1141.67 1.00 1141.67 51098.94 44.76 2.43 10.87 US5 1068.12 0.23 244.38 1.00 244.38 51098.94 209.10 -2.98 -62.38 VIX 151.00 2.57 388.34 1.00 388.34 51098.94 131.58 -20.00 -263.17 WHEAT 343.50 1.60 549.48 1.00 549.48 51098.94 92.99 -3.11 -28.89 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 51.042 0.010 2.5 1.324 BITCOIN 210.162 0.043 2.5 22.758 BOBL -155.606 0.004 2.5 -1.578 BTP -25.365 0.014 2.5 -0.865 BUND -65.895 0.004 2.5 -0.668 BUXL -36.288 0.004 2.5 -0.368 CAC 24.783 0.014 2.5 0.845 CAD -156.203 0.010 2.5 -4.053 CANOLA -541.892 0.010 2.5 -13.183 CHF -57.659 0.010 2.5 -1.496 COCOA 9.537 0.009 2.5 0.204 COFFEE 25.912 0.005 2.5 0.303 COPPER 7.587 0.043 2.5 0.822 CORN -358.676 0.010 2.5 -8.726 COTTON2 -120.597 0.009 2.5 -2.583 CRUDE_W -2.096 0.043 2.5 -0.227 DAX 398.580 0.014 2.5 13.595 DOW -256.600 0.009 2.5 -5.963 DX 0.868 0.010 2.5 0.023 EUR 29.077 0.010 2.5 0.754 EURIBOR-ICE -153.522 0.014 2.5 -5.236 EUROSTX 96.614 0.014 2.5 3.295 FEEDCOW -33.122 0.013 2.5 -1.098 GASOIL -38.899 0.017 2.5 -1.686 GASOLINE -3.992 0.017 2.5 -0.173 GAS_US_mini 26.365 0.043 2.5 2.855 GBP 128.956 0.010 2.5 3.346 GOLD_micro -19.252 0.014 2.5 -0.657 HEATOIL -56.072 0.017 2.5 -2.431 JGB-SGX-mini -194.682 0.043 2.5 -21.082 JPY -99.348 0.010 2.5 -2.578 LEANHOG -186.752 0.024 2.5 -11.350 LIVECOW 139.084 0.013 2.5 4.609 LUMBER-new -482.361 0.009 2.5 -10.326 MILK 39.088 0.009 2.5 0.837 MXP -1.289 0.059 2.5 -0.189 NASDAQ_micro 33.997 0.009 2.5 0.790 NIKKEI 2.412 0.043 2.5 0.261 NZD 156.437 0.010 2.5 4.059 OAT -25.868 0.014 2.5 -0.882 OATIES -28.065 0.010 2.5 -0.683 OJ 62.501 0.009 2.5 1.339 PALLAD -16.191 0.014 2.5 -0.552 PLAT 21.859 0.014 2.5 0.746 REDWHEAT -14.301 0.005 2.5 -0.190 RICE 150.499 0.010 2.5 3.661 ROBUSTA 63.029 0.005 2.5 0.736 RUSSELL -175.572 0.013 2.5 -5.818 SHATZ -999.574 0.004 2.5 -10.136 SILVER-mini 21.753 0.014 2.5 0.742 SMI 116.679 0.014 2.5 3.980 SOFR 52.522 0.024 2.5 3.192 SOYBEAN -145.241 0.004 2.5 -1.351 SOYMEAL -113.397 0.004 2.5 -1.055 SOYOIL -175.577 0.004 2.5 -1.634 SP400 -11.643 0.013 2.5 -0.386 SP500_micro 118.206 0.009 2.5 2.747 SUGAR11 -109.803 0.009 2.5 -2.335 US10 -6.629 0.005 2.5 -0.084 US10U 28.148 0.005 2.5 0.357 US2 -262.532 0.005 2.5 -3.327 US20 34.543 0.005 2.5 0.438 US30 10.871 0.005 2.5 0.138 US5 -62.384 0.005 2.5 -0.791 VIX -263.167 0.099 2.5 -64.960 WHEAT -28.887 0.005 2.5 -0.383 ===================== Position diags ===================== AUD 3.56 BITCOIN 34.87 BOBL 1.83 BTP 2.78 BUND 0.90 BUXL 0.38 CAC 3.09 CAD 4.95 CANOLA 9.35 CHF 2.11 COCOA 0.33 COFFEE 0.36 COPPER 2.87 CORN 4.50 COTTON2 1.74 CRUDE_W 5.49 DAX 13.11 DOW 8.86 DX 3.96 EUR 2.62 EURIBOR-ICE 12.60 EUROSTX 4.27 FEEDCOW 1.80 GASOIL 1.96 GASOLINE 1.40 GAS_US_mini 21.06 GBP 4.05 GOLD_micro 8.34 HEATOIL 1.48 JGB-SGX-mini 38.99 JPY 2.49 LEANHOG 7.19 LIVECOW 3.51 LUMBER-new 5.16 MILK 1.92 MXP 26.20 NASDAQ_micro 4.03 NIKKEI 25.35 NZD 3.93 OAT 3.07 OATIES 3.33 OJ 0.94 PALLAD 0.78 PLAT 2.06 REDWHEAT 1.13 RICE 4.06 ROBUSTA 0.78 RUSSELL 16.42 SHATZ 6.25 SILVER-mini 1.14 SMI 1.99 SOFR 19.69 SOYBEAN 0.88 SOYMEAL 1.02 SOYOIL 1.09 SP400 0.68 SP500_micro 7.29 SUGAR11 3.42 US10 1.69 US10U 1.26 US2 3.48 US20 0.85 US30 0.57 US5 2.65 VIX 32.48 WHEAT 1.23 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.3 1.0 1.7 1.0 1 BITCOIN 22.8 19.3 26.2 0.0 0 BOBL -1.6 -1.8 -1.4 0.0 0 BTP -0.9 -1.1 -0.6 0.0 0 BUND -0.7 -0.8 -0.6 -5.0 -5 BUXL -0.4 -0.4 -0.3 -1.0 -1 CAC 0.8 0.5 1.2 0.0 0 CAD -4.1 -4.5 -3.6 -1.0 -1 CANOLA -13.2 -14.1 -12.2 -11.0 -11 CHF -1.5 -1.7 -1.3 -4.0 -4 COCOA 0.2 0.2 0.2 0.0 0 COFFEE 0.3 0.3 0.3 0.0 0 COPPER 0.8 0.5 1.1 2.0 2 CORN -8.7 -9.2 -8.3 -10.0 -10 COTTON2 -2.6 -2.8 -2.4 -2.0 -2 CRUDE_W -0.2 -0.8 0.3 0.0 0 DAX 13.6 12.3 14.9 3.0 3 DOW -6.0 -6.8 -5.1 -1.0 -1 DX 0.0 -0.4 0.4 NaN 0 EUR 0.8 0.5 1.0 1.0 1 EURIBOR-ICE -5.2 -6.5 -4.0 -8.0 -8 EUROSTX 3.3 2.9 3.7 16.0 16 FEEDCOW -1.1 -1.3 -0.9 -2.0 -2 GASOIL -1.7 -1.9 -1.5 -2.0 -2 GASOLINE -0.2 -0.3 -0.0 -1.0 -1 GAS_US_mini 2.9 0.7 5.0 3.0 3 GBP 3.3 2.9 3.8 1.0 1 GOLD_micro -0.7 -1.5 0.2 -1.0 -1 HEATOIL -2.4 -2.6 -2.3 -2.0 -2 JGB-SGX-mini -21.1 -25.0 -17.2 -1.0 -1 JPY -2.6 -2.8 -2.3 -2.0 -2 LEANHOG -11.3 -12.1 -10.6 -9.0 -9 LIVECOW 4.6 4.3 5.0 8.0 8 LUMBER-new -10.3 -10.8 -9.8 NaN 0 MILK 0.8 0.6 1.0 NaN 0 MXP -0.2 -2.8 2.4 7.0 7 NASDAQ_micro 0.8 0.4 1.2 0.0 0 NIKKEI 0.3 -2.3 2.8 -2.0 -2 NZD 4.1 3.7 4.5 0.0 0 OAT -0.9 -1.2 -0.6 0.0 0 OATIES -0.7 -1.0 -0.4 NaN 0 OJ 1.3 1.2 1.4 2.0 2 PALLAD -0.6 -0.6 -0.5 -1.0 -1 PLAT 0.7 0.5 1.0 1.0 1 REDWHEAT -0.2 -0.3 -0.1 0.0 0 RICE 3.7 3.3 4.1 NaN 0 ROBUSTA 0.7 0.7 0.8 2.0 2 RUSSELL -5.8 -7.5 -4.2 -7.0 -7 SHATZ -10.1 -10.8 -9.5 NaN 0 SILVER-mini 0.7 0.6 0.9 0.0 0 SMI 4.0 3.8 4.2 0.0 0 SOFR 3.2 1.2 5.2 NaN 0 SOYBEAN -1.4 -1.4 -1.3 -3.0 -3 SOYMEAL -1.1 -1.2 -1.0 -1.0 -1 SOYOIL -1.6 -1.7 -1.5 -2.0 -2 SP400 -0.4 -0.5 -0.3 0.0 0 SP500_micro 2.7 2.0 3.5 3.0 3 SUGAR11 -2.3 -2.7 -2.0 -4.0 -4 US10 -0.1 -0.3 0.1 0.0 0 US10U 0.4 0.2 0.5 0.0 0 US2 -3.3 -3.7 -3.0 NaN 0 US20 0.4 0.4 0.5 0.0 0 US30 0.1 0.1 0.2 1.0 1 US5 -0.8 -1.1 -0.5 -3.0 -3 VIX -65.0 -68.2 -61.7 -52.0 -52 WHEAT -0.4 -0.5 -0.3 -1.0 -1 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.8 3.8 3.8 3.8 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 0.1 0.4 0.1 0.0 0.1 -0.0 0.1 0.0 0.1 0.1 -0.0 0.1 -0.2 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 0.5 0.1 0.0 0.1 0.0 -0.0 0.1 -0.0 -0.1 -0.2 0.3 0.3 -0.2 -0.2 -0.0 -0.0 BITCOIN 0.4 -0.2 0.3 0.0 -0.0 0.1 -0.1 0.1 -0.0 0.2 0.5 0.2 0.7 0.2 0.1 -0.1 -0.1 -0.1 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.4 0.1 0.6 0.1 -0.2 0.5 0.6 -0.1 0.6 -0.4 -0.1 0.3 0.1 BOBL -0.1 -0.2 -0.4 -0.0 0.1 -0.0 0.0 -0.1 0.0 0.0 -0.2 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 -0.1 -0.1 0.0 -0.2 -0.0 0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.2 -0.3 -0.2 -0.1 -0.7 -0.6 -0.1 -0.3 BTP -0.1 -0.2 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 0.2 -0.0 0.3 -0.0 -0.1 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 -0.4 -0.2 -0.0 0.5 -0.4 -0.3 0.3 0.1 BUND -0.1 -0.2 -0.3 -0.0 0.1 -0.0 0.0 -0.1 0.0 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.2 -0.2 -0.2 0.1 -0.7 -0.6 0.0 -0.3 BUXL -0.1 -0.2 -0.1 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -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 -0.0 -0.3 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.3 -0.3 -0.2 0.2 -0.7 -0.7 -0.4 -0.3 CAC -0.4 -0.2 0.1 0.1 0.0 0.2 0.0 0.3 0.0 -0.0 0.5 -0.1 0.7 0.0 0.1 -0.1 0.0 0.0 0.1 0.1 0.2 -0.1 0.5 -0.0 -1.8 0.1 0.0 0.3 -0.0 0.4 -0.0 0.8 -0.5 -0.6 0.2 0.4 -0.3 0.2 -0.5 0.4 CAD 0.1 0.1 -0.2 0.0 0.1 -0.0 0.1 0.0 0.1 0.0 -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 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.2 -0.4 -0.2 -0.3 -0.1 -0.3 -0.1 -0.2 CANOLA -0.1 0.5 0.6 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.1 -0.3 -0.2 -0.3 -0.3 0.0 -0.0 -0.1 -0.2 -0.0 -2.7 0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -1.1 -0.3 -0.2 -0.1 0.2 -0.6 -0.5 -0.1 -0.1 CHF 0.5 0.3 -0.6 0.0 0.1 -0.0 0.1 0.0 0.1 0.1 -0.5 0.2 -0.5 0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.2 0.2 -0.4 0.1 0.4 -0.0 0.1 -0.2 0.1 -0.1 0.1 -1.1 0.5 0.1 0.1 -0.6 0.1 -0.5 0.2 -0.4 COCOA 0.2 -0.6 -0.2 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 0.1 0.1 0.2 -0.0 0.0 0.4 0.3 0.4 0.4 0.0 0.1 0.1 0.2 0.0 -2.1 0.0 0.0 0.1 0.0 0.2 0.0 1.1 0.4 0.1 -0.1 0.6 0.3 0.1 0.4 0.3 COFFEE 0.6 -0.1 0.4 0.0 -0.1 0.1 -0.1 0.0 -0.0 0.1 0.3 0.2 0.4 0.1 0.1 0.1 0.2 0.1 0.2 0.2 0.2 0.2 0.3 0.2 -2.7 0.0 0.0 0.1 0.0 0.2 0.0 0.5 0.5 0.6 0.5 0.6 0.1 -0.5 0.5 -0.2 COPPER -0.6 -0.0 0.6 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 -0.1 0.2 0.0 0.1 0.0 -0.1 -0.0 -0.0 0.1 0.1 -0.0 0.2 0.0 -1.1 0.0 -0.0 0.1 -0.0 0.1 0.0 0.2 -0.1 0.1 0.6 0.5 -0.2 -0.1 0.3 0.2 CORN -0.4 0.3 0.5 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.1 -0.2 -0.1 -0.6 -0.1 0.0 -0.4 -0.2 -0.4 -0.3 -0.0 -0.1 -0.1 -0.4 -0.1 -2.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -1.1 -0.2 -0.4 -0.0 -0.1 -0.7 -0.7 -0.7 -0.0 COTTON2 0.1 -0.6 -0.6 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -2.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.2 -0.3 -0.6 -0.3 -0.2 -0.4 0.3 -0.0 CRUDE_W -0.3 -0.6 0.0 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.1 -0.2 0.5 -0.2 -0.1 0.2 0.2 0.3 0.3 -0.1 0.0 -0.2 0.3 -0.2 -0.7 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.5 -0.6 -0.5 0.1 0.7 0.6 0.7 0.7 DAX -0.3 0.0 0.2 0.0 0.0 0.2 0.0 0.3 0.0 -0.0 0.5 -0.1 0.7 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.0 0.5 0.0 1.8 0.1 0.0 0.3 -0.0 0.4 0.0 -0.5 -0.3 -0.3 0.2 0.6 0.0 0.2 -0.1 0.4 DOW -0.3 -0.2 -0.5 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.3 -0.1 0.4 -0.0 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.0 0.3 -0.0 -1.5 0.0 0.0 0.1 -0.0 0.2 -0.0 -0.5 -0.2 -0.4 -0.1 -0.4 0.2 -0.2 0.4 -0.3 DX -0.4 -0.2 0.2 0.0 0.1 -0.0 0.1 0.0 0.1 -0.2 0.4 -0.2 0.5 -0.2 0.1 0.2 0.1 0.2 0.1 0.0 0.1 -0.1 0.3 -0.1 -2.7 0.0 -0.1 0.1 -0.1 0.2 -0.1 0.9 -0.5 -0.6 0.1 0.6 0.1 0.3 0.2 0.6 EUR 0.3 0.2 -0.1 0.0 0.1 -0.0 0.1 0.0 0.1 0.2 -0.2 0.2 -0.3 0.2 0.0 -0.2 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.1 0.1 2.7 0.0 0.1 0.0 0.1 -0.0 0.1 -0.4 0.0 0.1 0.3 0.3 -0.6 -0.6 -0.5 -0.5 EURIBOR-ICE -0.0 -0.3 -0.6 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 -0.0 1.6 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.2 -0.1 -0.7 -0.7 0.1 0.3 EUROSTX -0.3 -0.2 0.1 0.1 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 0.1 0.2 0.0 0.5 0.1 -0.3 0.1 0.1 0.3 0.0 0.5 0.0 0.4 -0.0 -0.2 0.2 0.6 -0.5 0.2 -0.7 0.2 FEEDCOW 0.3 0.1 -0.3 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.2 0.0 -0.1 -0.1 0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.0 -0.1 -0.0 -0.0 -0.9 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -1.1 -0.5 -0.1 -0.0 -0.4 0.5 0.7 0.7 0.7 GASOIL -0.2 -0.6 -0.2 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.0 -0.2 0.5 -0.2 -0.2 -0.1 0.3 0.0 0.2 -0.2 -0.0 -0.2 0.2 -0.2 0.9 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 0.0 -0.0 -0.0 -0.3 -0.4 -0.6 -0.4 -0.7 -0.7 GASOLINE -0.4 -0.6 0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.2 -0.2 0.5 -0.2 -0.1 0.4 0.3 0.4 0.3 -0.1 0.0 -0.2 0.3 -0.2 -2.7 -0.1 -0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.3 -0.3 0.1 0.7 0.7 0.7 0.7 GAS_US_mini 0.4 0.6 0.6 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.3 0.0 -0.5 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.1 -0.0 0.0 -0.5 0.1 2.7 0.0 0.0 -0.1 0.0 -0.2 0.0 -1.1 0.1 0.6 0.6 -0.1 -0.2 -0.2 -0.4 -0.4 GBP 0.5 0.3 -0.1 0.0 0.1 -0.0 0.1 0.0 0.1 0.2 0.4 0.2 0.2 0.2 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.2 0.1 0.2 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.0 0.6 0.6 0.5 -0.4 -0.6 -0.4 -0.3 GOLD_micro -0.4 -0.2 0.6 0.0 -0.0 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 0.0 0.3 0.0 -0.4 0.0 0.0 0.1 -0.0 0.2 -0.0 -0.8 0.3 -0.0 -0.0 0.6 -0.2 -0.4 0.1 -0.2 HEATOIL -0.2 -0.6 -0.2 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.2 -0.2 0.2 -0.2 -0.2 -0.2 0.3 -0.0 0.1 -0.2 -0.1 -0.2 0.1 -0.2 -2.7 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 -0.5 -0.6 -0.6 -0.6 0.2 0.2 -0.0 0.0 JGB-SGX-mini -0.1 -0.5 -0.6 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 -0.1 -0.0 0.0 -0.1 -0.1 0.4 0.4 0.4 0.3 -0.1 -0.1 0.0 -0.1 -0.1 -1.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 1.1 -0.2 -0.5 -0.5 -0.3 -0.6 -0.2 -0.0 0.5 JPY 0.0 0.2 -0.1 0.0 0.0 -0.0 0.0 0.0 0.0 0.0 -0.3 -0.0 -0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 0.0 -0.4 -0.0 2.7 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -1.1 -0.1 -0.4 -0.5 -0.5 -0.7 -0.4 -0.6 -0.3 LEANHOG -0.6 -0.6 0.2 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.2 0.1 -0.2 -0.1 -0.2 -0.2 0.1 -0.4 -0.4 -0.4 -0.2 -0.1 -0.2 -0.1 -0.2 1.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -1.1 -0.5 -0.6 -0.6 -0.2 -0.4 -0.3 -0.2 0.2 LIVECOW 0.5 0.2 -0.0 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.2 0.2 0.0 0.0 0.1 0.0 0.4 0.2 0.4 0.3 0.1 0.0 -0.0 0.1 0.1 -1.0 0.0 -0.1 0.1 -0.0 0.2 0.0 0.9 -0.2 0.6 0.4 0.3 0.5 0.7 0.7 0.7 LUMBER-new -0.0 -0.6 -0.6 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.1 -0.4 -0.2 -0.5 -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 -0.0 -0.1 -0.1 -0.1 -0.1 -1.2 -0.6 -0.7 -0.7 -0.7 -0.5 -0.4 -0.2 -0.3 MILK 0.2 0.6 0.6 0.0 -0.1 0.1 -0.1 0.0 -0.0 0.0 0.1 0.1 -0.3 0.1 0.1 0.0 -0.4 -0.2 -0.4 0.2 0.1 0.1 -0.1 0.2 2.1 0.0 0.0 0.0 0.0 -0.0 0.1 -1.1 0.5 0.6 0.6 0.4 -0.6 -0.7 -0.5 -0.7 MXP -0.4 -0.4 -0.6 0.0 0.0 -0.0 0.1 0.0 0.0 -0.1 0.3 -0.1 0.5 -0.1 -0.0 0.3 0.3 0.3 0.3 -0.0 0.0 -0.2 0.3 -0.1 -2.7 -0.0 -0.1 0.0 -0.1 0.1 -0.1 1.1 -0.5 -0.6 -0.6 0.4 0.7 0.7 0.7 0.7 NASDAQ_micro 0.5 0.2 -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 0.2 0.1 0.5 0.2 -2.7 0.0 0.1 0.1 0.1 0.3 0.0 -0.4 0.3 0.5 0.2 -0.2 -0.0 0.1 -0.1 0.1 NIKKEI 0.1 -0.4 -0.0 0.0 0.0 0.2 0.0 0.2 0.0 0.0 0.3 0.0 0.6 0.0 0.0 0.1 0.2 0.1 0.1 0.0 0.2 0.0 0.5 0.0 -2.4 0.0 -0.0 0.2 -0.0 0.5 0.0 1.1 -0.3 -0.1 -0.5 -0.1 -0.2 -0.2 -0.2 -0.4 NZD 0.6 0.5 -0.1 0.0 0.1 -0.0 0.1 0.0 0.1 0.2 0.0 0.2 -0.1 0.2 0.1 0.0 0.0 0.0 0.0 0.1 0.0 0.2 -0.1 0.2 0.1 0.1 0.1 0.0 0.1 -0.0 0.1 0.3 0.3 0.6 0.6 0.2 0.0 -0.2 0.1 0.2 OAT -0.1 -0.2 -0.3 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 -0.1 -0.0 -0.0 -0.0 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.0 0.0 -0.1 -0.0 0.3 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.9 -0.3 -0.2 -0.1 0.1 -0.7 -0.6 0.0 -0.1 OATIES -0.4 0.6 0.4 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 -0.2 0.0 0.0 0.0 0.0 0.1 0.1 0.0 0.0 -0.1 -0.1 0.0 -2.7 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 0.2 0.0 0.6 0.1 -0.2 -0.0 0.2 0.4 OJ 0.6 0.6 0.1 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.1 0.4 0.1 0.6 0.1 0.2 0.3 0.3 0.2 0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.1 0.0 0.2 0.1 0.9 -0.4 0.6 0.6 0.6 0.1 0.3 0.6 0.7 PALLAD -0.2 -0.2 0.1 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.3 -0.1 1.9 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.3 -0.0 -0.3 -0.4 -0.4 -0.7 -0.7 -0.7 -0.5 PLAT -0.0 0.4 0.4 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.1 0.1 0.0 1.2 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.1 -0.1 0.1 0.3 0.0 -0.7 -0.3 0.1 0.2 REDWHEAT 0.1 0.6 0.6 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.1 0.2 -0.0 -0.4 0.1 0.1 -0.2 -0.0 -0.2 -0.1 0.2 0.1 -0.0 -0.1 0.1 -0.9 0.0 -0.0 0.1 -0.0 -0.0 0.0 -0.6 -0.2 0.5 0.6 0.5 -0.4 -0.7 -0.0 -0.6 RICE 0.0 0.6 0.0 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.1 0.4 -0.1 0.5 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 -0.0 0.4 0.1 -1.6 0.0 -0.0 0.1 -0.0 0.1 0.0 1.1 0.2 0.3 0.6 -0.1 -0.3 -0.2 -0.2 -0.0 ROBUSTA 0.6 -0.6 -0.1 0.0 -0.1 0.0 -0.0 0.0 -0.0 0.1 0.2 0.1 0.3 0.1 0.1 0.3 0.4 0.4 0.4 0.1 0.2 0.2 0.4 0.2 -2.7 0.0 0.0 0.1 0.0 0.2 0.0 1.1 0.5 0.6 0.6 0.6 -0.0 -0.4 0.2 0.1 RUSSELL -0.1 0.0 0.0 0.0 0.0 0.1 0.0 0.2 0.0 -0.0 0.3 -0.1 0.4 0.1 0.0 -0.2 -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 -0.3 -0.1 -0.3 -0.1 -0.7 -0.1 -0.7 SHATZ 0.0 -0.2 -0.6 -0.0 0.1 -0.0 0.0 -0.1 0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.0 -0.3 -0.1 1.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.1 -0.1 -0.3 -0.3 -0.4 -0.7 -0.6 -0.5 -0.5 SILVER-mini 0.2 0.2 0.6 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 0.0 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.2 0.1 0.3 0.0 0.0 0.1 -0.0 0.1 0.0 -0.1 0.0 0.4 0.3 0.6 -0.3 -0.4 0.3 0.1 SMI 0.5 0.5 0.4 0.0 0.0 0.2 0.0 0.3 0.0 0.2 0.5 0.2 0.6 0.2 0.2 -0.1 0.1 -0.0 0.0 0.2 0.2 0.2 0.4 0.2 2.0 0.1 0.1 0.2 0.1 0.2 0.1 0.8 0.5 0.6 0.6 0.5 0.3 0.0 0.3 -0.0 SOFR 0.4 0.2 -0.3 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.1 -0.2 0.1 -0.4 0.0 0.1 -0.0 0.1 -0.0 0.0 0.2 0.3 0.4 0.2 0.1 -0.0 -0.7 0.4 -0.0 SOYBEAN -0.3 0.4 0.3 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.1 -0.2 -0.2 -0.2 -0.1 0.0 0.0 0.2 0.0 0.1 -0.0 -0.0 -0.2 -0.2 -0.1 -2.7 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.3 -0.5 -0.5 -0.1 -0.0 -0.6 -0.7 -0.5 -0.7 SOYMEAL -0.4 0.6 0.3 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.0 0.0 0.1 0.1 0.0 0.0 0.0 -0.0 -0.1 -0.1 -0.0 -2.7 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.1 0.0 -0.2 0.6 0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.2 -0.0 0.3 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -0.2 -0.0 -0.3 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.5 -0.1 0.0 -0.6 -0.3 -0.7 -0.6 -0.2 0.0 SP400 -0.3 -0.2 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 -0.2 -0.1 -0.1 -0.1 0.0 0.1 -0.1 0.4 -0.0 -1.7 0.0 -0.0 0.2 -0.0 0.2 -0.0 0.0 -0.1 -0.4 -0.2 0.0 -0.1 -0.4 -0.1 -0.7 SP500_micro 0.3 0.1 -0.0 0.0 0.0 0.2 0.0 0.2 0.0 0.1 0.5 0.1 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.4 0.1 -0.5 0.3 0.4 0.1 0.1 0.1 -0.0 0.2 -0.0 SUGAR11 0.1 -0.4 -0.6 0.0 -0.1 0.1 -0.1 0.0 -0.0 0.1 -0.4 0.0 -0.2 -0.1 -0.2 0.0 0.3 0.1 0.2 -0.2 -0.2 0.1 -0.3 -0.1 -2.7 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.7 0.5 -0.5 -0.6 -0.6 0.7 0.5 0.7 0.7 US10 0.3 0.2 -0.2 -0.0 0.1 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.2 0.1 0.4 0.0 0.1 -0.0 0.1 -0.1 0.0 -0.3 0.2 0.3 0.2 0.1 -0.3 -0.7 0.2 0.1 US10U 0.4 0.2 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.1 -0.3 0.1 0.1 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 0.3 0.5 0.3 0.1 -0.2 -0.6 0.6 0.3 US2 0.2 -0.0 -0.5 -0.0 0.1 -0.0 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.1 -0.4 0.0 1.9 -0.0 0.1 -0.1 0.0 -0.1 0.0 -1.1 0.1 0.1 -0.0 -0.3 -0.4 -0.7 -0.3 -0.6 US20 0.4 0.2 -0.1 -0.0 0.1 -0.0 0.0 -0.1 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.2 0.1 -0.1 0.0 0.1 0.0 0.1 -0.0 0.0 0.3 0.2 0.5 0.3 0.2 -0.4 -0.4 0.7 0.5 US30 0.4 0.2 -0.1 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.0 0.1 -0.2 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.2 0.1 -0.0 0.0 0.1 0.0 0.1 -0.0 0.1 -0.1 0.2 0.5 0.3 0.3 -0.6 -0.4 0.3 0.5 US5 0.3 0.1 -0.3 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.0 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 -0.1 0.1 -0.3 0.0 0.8 0.0 0.1 -0.0 0.1 -0.1 0.0 -0.5 0.2 0.3 0.1 -0.1 -0.2 -0.7 0.0 -0.2 VIX -0.2 -0.8 0.3 -0.1 -0.0 -0.3 -0.1 -0.5 -0.1 -0.2 -0.9 -0.3 -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 -0.4 -0.1 -0.6 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.0 0.6 0.6 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.1 0.2 -0.1 -0.3 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.1 -0.1 -0.1 0.1 0.1 0.0 -0.0 0.1 -0.0 -0.0 0.0 -1.1 -0.4 0.4 0.6 0.4 -0.4 -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 4.2 10.8 3.8 1.4 7.0 -0.4 6.9 1.1 5.1 13.2 -0.3 4.8 -6.8 14.3 12.7 -2.6 -2.8 -2.7 -2.7 7.4 3.0 6.1 -2.4 8.1 3.6 4.8 4.1 2.6 3.8 -0.2 4.9 -0.2 -3.6 -4.7 9.9 10.3 -5.2 -7.2 -0.7 -0.1 BITCOIN 13.1 -5.5 8.0 2.6 -3.7 4.1 -6.8 2.7 -2.7 19.4 16.9 20.0 18.5 16.4 12.6 -7.2 -7.3 -7.4 -7.6 16.5 20.0 18.5 20.0 16.4 -20.0 7.6 6.1 13.3 6.2 16.3 5.8 -3.6 20.0 20.0 -2.0 20.0 -13.4 -2.6 7.8 2.4 BOBL -3.0 -7.6 -11.7 -0.8 5.7 -1.6 3.7 -1.9 1.1 4.9 -7.5 -2.1 -5.7 -5.7 -7.7 -5.0 -5.9 1.8 -2.5 -7.1 -7.1 0.3 -6.3 -4.3 4.4 -2.9 1.8 -2.5 0.2 -1.9 -1.9 -1.2 -7.3 -8.3 -7.5 -3.4 -20.0 -16.8 -2.0 -10.2 BTP -3.1 -6.1 -4.8 -1.4 9.5 -2.7 6.1 -3.1 1.8 7.3 9.0 -1.6 9.5 -1.9 -5.9 3.5 5.7 4.3 4.7 -1.4 3.0 1.1 6.1 -1.9 -20.0 -0.2 3.9 3.6 0.8 5.7 -1.4 16.0 -16.8 -7.2 -0.8 15.5 -12.8 -10.3 9.3 2.5 BUND -2.4 -6.5 -8.0 -0.9 6.3 -1.7 4.0 -2.1 1.2 6.1 -4.6 -0.8 -3.0 -4.9 -7.3 -4.0 -1.3 -6.2 -4.6 -5.4 -4.9 1.3 -4.5 -3.2 1.7 -2.4 3.3 -1.5 0.8 -1.1 -1.8 2.1 -8.3 -7.3 -5.3 1.7 -20.0 -19.3 0.0 -9.9 BUXL -3.4 -7.2 -4.3 -1.1 7.6 -2.1 4.9 -2.5 1.4 8.3 -2.8 -0.4 -3.1 -5.8 -8.2 -6.0 -3.3 -6.7 -5.3 -5.9 -4.8 1.6 -5.3 -3.9 -2.3 -2.4 4.6 -0.8 0.9 -0.6 -2.3 -0.6 -11.7 -10.0 -6.3 6.3 -20.0 -20.0 -11.1 -7.5 CAC -13.9 -6.8 3.8 5.0 5.2 7.9 2.4 8.9 2.9 -1.4 20.0 -10.9 20.0 1.4 13.6 -6.1 1.3 2.4 3.0 8.8 20.0 -7.0 20.0 -3.5 -13.6 5.2 1.2 10.9 -3.7 12.3 -1.4 14.6 -20.0 -20.0 5.3 13.8 -7.6 7.1 -14.4 10.5 CAD 3.3 1.6 -5.8 1.7 8.2 -0.5 8.2 1.3 6.0 2.9 -13.4 0.5 -13.0 4.0 -8.8 -3.4 -2.6 -3.1 -2.8 -5.4 -8.3 -0.8 -9.0 -1.5 -0.9 -3.7 -0.7 -5.4 -0.9 -5.7 -1.4 0.0 -8.3 -13.7 -6.9 -9.4 -4.4 -10.4 -2.2 -6.6 CANOLA -4.1 14.6 20.0 1.2 -6.6 1.4 -4.8 0.2 -0.9 -4.3 -2.7 -4.6 -6.7 1.6 6.3 -14.9 -9.2 -15.2 -13.8 2.0 -0.9 -8.9 -6.4 -2.1 -20.0 0.4 -4.6 -0.8 -4.8 -3.6 -1.7 -20.0 -12.6 -6.1 -2.9 4.7 -17.0 -16.2 -2.2 -4.4 CHF 16.1 8.9 -20.0 1.4 7.0 -0.4 6.9 1.1 5.1 15.8 -17.5 14.8 -14.1 7.8 -12.0 -16.8 -16.3 -16.8 -16.4 -7.1 -17.2 20.0 -13.8 11.1 3.3 -2.2 11.8 -5.6 10.9 -4.2 4.7 -20.0 20.0 4.5 1.6 -20.0 2.8 -15.6 6.6 -12.5 COCOA 5.0 -20.0 -4.8 0.8 -4.3 0.9 -3.1 0.1 -0.6 5.7 3.3 6.2 4.8 -1.1 1.7 17.9 15.3 20.0 20.0 3.5 6.7 6.6 7.7 3.7 -16.0 1.6 0.7 3.6 0.7 4.5 0.5 20.0 16.2 2.7 -2.6 20.0 7.9 1.9 11.7 7.7 COFFEE 17.2 -3.9 11.0 2.0 -10.6 2.2 -7.7 0.3 -1.5 13.5 10.6 14.7 9.9 8.4 8.0 3.8 7.9 7.4 8.6 16.5 15.3 19.5 11.9 19.4 -20.0 4.5 2.2 5.4 2.6 4.7 3.2 9.2 20.0 20.0 15.7 20.0 3.6 -15.5 14.0 -5.2 COPPER -20.0 -1.0 20.0 1.0 -1.3 1.5 -2.4 1.0 -1.0 -2.9 6.5 -5.3 4.6 0.3 5.2 2.0 -3.3 -0.1 -2.1 7.4 9.0 -4.6 6.1 0.7 -7.9 2.3 -0.6 2.7 -1.2 1.9 0.3 4.4 -2.5 3.6 17.7 16.1 -7.4 -2.1 10.5 7.2 CORN -12.9 10.2 16.0 2.2 -11.8 2.5 -8.6 0.3 -1.7 -8.1 -6.6 -13.2 -16.0 -7.0 3.0 -17.9 -12.0 -18.6 -16.8 -3.0 -5.1 -15.2 -13.0 -10.1 -14.9 -0.8 -1.0 -2.3 -6.7 -5.9 -4.3 -20.0 -7.1 -11.0 -1.4 -4.5 -20.0 -20.0 -20.0 -1.2 COTTON2 2.8 -20.0 -17.4 1.3 -6.9 1.5 -5.0 0.2 -1.0 -8.7 -8.3 -8.0 -5.2 -9.2 -9.9 -4.3 2.6 2.7 3.1 -12.5 -9.6 -8.7 -4.9 -10.1 -18.3 -3.0 -1.8 -1.3 -2.5 0.3 -3.0 -0.6 -9.3 -9.4 -20.0 -8.9 -6.0 -11.8 8.3 -0.4 CRUDE_W -10.0 -18.6 0.5 -4.7 -6.3 -0.3 -10.5 2.3 -8.8 -11.4 3.7 -14.6 14.0 -19.0 -6.2 11.1 12.0 13.1 12.7 -9.3 2.3 -20.0 10.0 -20.0 -5.0 -6.1 -6.4 -0.6 -11.7 2.8 -11.2 -0.2 -20.0 -19.2 -14.8 3.5 20.0 16.7 20.0 20.0 DAX -8.1 0.4 5.4 4.5 4.7 7.1 2.2 8.0 2.6 -0.7 20.0 -7.9 20.0 7.8 15.7 -10.8 -11.5 -11.5 -11.9 15.0 20.0 -3.0 20.0 3.4 13.4 6.6 0.7 11.3 -1.6 11.7 1.0 -9.3 -13.8 -10.3 5.4 20.0 0.1 5.8 -2.0 12.3 DOW -8.9 -5.6 -15.4 3.0 3.1 4.7 1.4 5.2 1.7 6.4 10.9 -5.1 11.6 -2.4 -1.5 -10.8 -11.2 -11.5 -11.6 -0.2 5.8 -4.2 10.9 -4.4 -11.4 0.9 1.8 4.0 -1.4 6.4 -1.3 -8.7 -9.2 -11.0 -3.6 -11.6 7.0 -4.7 12.2 -10.0 DX -12.4 -5.8 7.5 1.6 8.0 -0.5 8.0 1.3 5.8 -19.2 13.7 -17.8 13.7 -14.7 6.2 7.8 6.9 7.6 7.2 0.6 8.9 -14.0 10.7 -9.6 -20.0 0.2 -8.2 4.2 -7.5 5.2 -5.1 16.6 -20.0 -20.0 1.8 17.5 3.7 8.1 5.4 16.8 EUR 9.5 7.4 -2.5 1.7 8.3 -0.5 8.2 1.3 6.0 17.0 -6.6 17.9 -9.0 19.8 4.2 -7.6 -7.0 -7.3 -7.0 4.6 -2.3 11.3 -4.9 10.6 20.0 4.4 7.0 1.2 7.4 -0.4 7.1 -7.4 0.2 3.8 8.2 8.1 -19.3 -19.0 -15.5 -14.2 EURIBOR-ICE -1.3 -10.2 -17.4 -0.8 5.3 -1.5 3.3 -1.7 1.0 4.5 -2.1 -0.9 0.2 -4.1 -6.6 -7.3 -4.8 -5.9 -4.8 -5.6 -4.1 1.7 -1.5 -2.8 11.8 -2.4 1.9 -1.5 0.7 -0.3 -1.3 -0.9 -5.0 -5.9 -7.6 -3.7 -20.0 -20.0 2.1 8.2 EUROSTX -8.7 -5.7 2.9 4.7 4.9 7.3 2.2 8.2 2.7 14.9 20.0 1.6 20.0 9.5 17.8 -8.4 -1.7 -6.3 -3.5 13.9 20.0 4.6 20.0 4.7 -2.3 7.1 7.2 12.7 1.4 14.2 1.9 7.0 -0.6 -6.9 7.4 20.0 -15.8 4.7 -20.0 7.4 FEEDCOW 9.2 3.4 -8.9 2.6 -13.6 2.9 -9.8 0.4 -1.9 -19.1 1.8 -6.5 -3.0 4.9 -1.7 -18.3 -20.0 -20.0 -20.0 -1.0 -3.0 -15.5 -0.8 -3.0 -7.0 -2.3 -13.1 -1.2 -10.4 1.7 -5.4 -20.0 -20.0 -1.6 -0.0 -12.8 15.3 20.0 20.0 20.0 GASOIL -5.5 -20.0 -6.8 -4.2 -5.7 -0.2 -9.4 2.1 -7.9 -10.4 0.3 -15.9 12.6 -20.0 -18.0 -4.6 14.9 2.1 9.0 -15.5 -3.9 -20.0 8.0 -20.0 6.4 -6.2 -6.7 -1.9 -9.4 2.2 -8.5 0.4 -1.6 -1.1 -9.9 -11.9 -18.2 -11.4 -20.0 -20.0 GASOLINE -12.3 -20.0 1.8 -4.2 -5.7 -0.2 -9.4 2.1 -7.9 -8.1 7.4 -15.0 14.0 -19.6 -9.1 18.7 14.1 18.1 13.6 -11.8 1.8 -18.9 10.5 -20.0 -20.0 -5.5 -2.3 -0.3 -7.8 3.4 -9.1 1.5 -3.0 -8.0 -10.4 4.0 20.0 20.0 20.0 20.0 GAS_US_mini 11.5 20.0 20.0 -2.9 -3.9 -0.2 -6.5 1.4 -5.4 8.7 -11.7 1.7 -14.4 5.7 3.1 -20.0 -20.0 -20.0 -20.0 5.0 -4.6 5.3 -17.0 7.0 20.0 2.0 3.6 -2.1 2.0 -5.3 3.1 -20.0 5.4 20.0 20.0 -4.5 -4.6 -5.7 -11.0 -10.7 GBP 16.4 9.1 -2.9 1.8 8.7 -0.5 8.6 1.4 6.3 20.0 13.1 20.0 5.7 20.0 10.7 -0.9 -0.8 -0.9 -0.8 12.6 5.7 18.2 4.6 19.9 1.4 6.9 6.1 4.4 8.6 3.2 9.5 3.2 1.3 20.0 17.1 14.6 -12.6 -18.4 -12.6 -9.3 GOLD_micro -11.5 -6.4 18.4 1.3 -1.8 2.1 -3.4 1.3 -1.3 7.3 9.7 -5.1 9.5 -1.7 8.4 -11.3 -14.0 -12.5 -13.4 8.3 13.3 0.0 12.1 1.2 -3.2 2.5 1.2 4.7 -0.9 4.5 -0.5 -14.3 12.2 -1.3 -0.4 19.9 -5.1 -12.8 3.2 -5.4 HEATOIL -6.4 -19.7 -7.2 -4.4 -5.9 -0.2 -9.8 2.2 -8.2 -10.2 -8.5 -15.6 6.7 -20.0 -20.0 -10.3 13.9 -2.5 6.1 -19.7 -8.7 -20.0 2.8 -20.0 -20.0 -7.3 -3.8 -2.8 -9.3 1.2 -10.2 -2.7 -20.0 -20.0 -20.0 -18.8 6.8 5.9 -0.1 0.7 JGB-SGX-mini -4.0 -14.1 -17.6 -1.0 6.8 -1.9 4.3 -2.2 1.3 9.1 -2.8 -0.6 0.6 -6.9 -9.7 20.0 17.7 19.4 17.4 -10.6 -7.9 1.7 -2.6 -7.3 -9.6 -3.6 4.1 -2.9 0.5 -1.7 -2.4 20.0 -9.6 -15.8 -16.2 -8.3 -18.1 -6.1 -1.3 13.7 JPY 1.3 6.9 -3.4 0.8 3.7 -0.2 3.7 0.6 2.7 2.3 -11.0 -0.7 -11.4 -7.1 -10.1 -14.2 -16.2 -15.3 -15.8 -9.7 -13.0 0.6 -15.5 -4.5 20.0 -3.7 1.2 -4.8 0.4 -5.3 -1.5 -20.0 -4.7 -11.6 -14.5 -16.7 -20.0 -10.8 -17.8 -10.4 LEANHOG -20.0 -20.0 6.6 3.1 -16.6 3.5 -12.0 0.5 -2.4 -20.0 2.2 -20.0 -3.8 -20.0 -19.1 4.1 -20.0 -20.0 -20.0 -20.0 -7.6 -20.0 -4.0 -20.0 8.0 -6.9 -12.5 -1.0 -12.3 0.2 -11.3 -20.0 -20.0 -20.0 -20.0 -7.2 -12.6 -10.3 -6.3 7.5 LIVECOW 14.3 7.7 -1.5 2.7 -14.2 3.0 -10.3 0.4 -2.0 -19.8 6.0 3.7 1.3 11.5 4.6 20.0 9.6 20.0 17.3 8.3 3.7 -4.3 3.0 7.8 -7.7 4.3 -6.7 3.7 -3.0 4.9 2.4 17.0 -10.0 19.5 11.2 8.4 15.0 20.0 20.0 20.0 LUMBER-new -0.6 -15.6 -15.6 2.2 -11.9 2.5 -8.6 0.7 -1.7 -6.9 -12.1 -12.9 -13.0 -15.6 -16.0 -18.5 -17.9 -20.0 -19.2 -20.0 -16.5 -20.0 -9.7 -20.0 NaN -6.0 -2.0 -4.3 -5.0 -2.1 -5.9 -20.0 -20.0 -20.0 -20.0 -20.0 -13.4 -11.0 -4.3 -6.9 MILK 6.6 20.0 20.0 1.7 -9.1 1.9 -6.6 0.3 -1.3 0.4 4.0 5.8 -7.7 12.5 12.6 1.1 -20.0 -9.4 -19.9 18.6 8.3 10.9 -5.2 18.6 15.7 4.5 0.1 1.8 3.0 -1.3 4.9 -20.0 20.0 20.0 20.0 11.3 -17.4 -20.0 -13.7 -20.0 MXP -13.1 -13.6 -20.0 1.1 5.4 -0.3 5.3 0.9 3.9 -7.1 9.8 -9.8 13.7 -5.9 -0.8 14.2 16.9 15.9 16.2 -3.1 3.7 -20.0 9.5 -12.7 -20.0 -1.5 -9.4 1.6 -10.5 3.7 -6.1 20.0 -20.0 -20.0 -20.0 11.9 20.0 20.0 20.0 20.0 NASDAQ_micro 15.1 6.6 -5.2 3.0 3.1 4.7 1.5 5.3 1.8 10.7 14.3 10.8 14.8 13.1 12.3 -11.0 -10.5 -10.9 -10.8 13.4 14.6 14.4 19.2 14.9 -20.0 4.0 6.8 5.2 5.0 7.9 4.6 -7.3 10.6 15.2 5.5 -5.9 -0.8 1.8 -3.0 1.8 NIKKEI 2.9 -11.4 -1.5 3.7 3.9 5.8 1.8 6.6 2.2 3.9 12.4 2.6 15.6 2.9 0.2 5.9 8.5 4.7 6.3 3.8 15.1 0.3 20.0 0.7 -17.9 1.9 -0.4 8.7 -0.0 15.1 0.1 20.0 -10.9 -3.3 -13.9 -2.1 -4.6 -7.4 -7.1 -10.8 NZD 17.7 14.2 -2.9 1.4 6.7 -0.4 6.6 1.1 4.9 17.9 0.8 19.5 -3.2 19.2 10.2 0.1 0.2 0.1 0.2 11.5 2.6 20.0 -2.0 19.5 1.0 4.7 7.5 1.5 8.2 -0.0 7.7 4.9 11.3 17.4 18.8 5.0 0.1 -5.0 4.5 5.1 OAT -2.4 -6.0 -8.5 -1.0 6.8 -1.9 4.3 -2.2 1.3 6.2 -2.3 -1.1 -1.1 -4.3 -7.5 3.5 5.8 4.8 5.0 -5.0 -3.9 1.0 -3.0 -3.1 2.0 -2.3 3.3 -1.0 0.7 -0.3 -1.9 16.4 -10.5 -7.5 -3.9 3.4 -20.0 -18.5 1.2 -2.7 OATIES -12.7 20.0 12.1 1.3 -6.7 1.4 -4.8 0.2 -1.0 -6.4 -1.8 -6.4 -6.9 0.8 2.9 1.2 2.1 6.7 5.4 3.3 0.9 -5.7 -2.5 0.4 -20.0 2.1 -3.2 1.1 -1.6 -0.2 0.9 0.6 7.3 1.3 17.4 4.0 -6.3 -1.2 5.4 12.6 OJ 17.5 17.9 2.0 2.3 -12.3 2.6 -8.9 0.3 -1.8 -9.4 14.3 6.9 16.6 11.7 15.4 16.1 13.6 12.3 11.4 20.0 20.0 7.8 20.0 20.0 -20.0 5.6 -0.8 4.6 0.9 5.5 4.7 16.2 -17.3 20.0 20.0 20.0 4.2 8.9 16.8 20.0 PALLAD -5.6 -5.7 3.0 1.1 -1.5 1.7 -2.8 1.1 -1.1 -4.6 -5.0 -7.3 -8.1 -7.6 -3.5 -2.8 -2.3 -2.5 -2.3 -4.6 -4.9 -6.9 -10.0 -6.6 14.1 -2.5 -1.5 -1.8 -3.9 -2.9 -4.0 5.5 -1.2 -8.3 -11.0 -11.1 -20.0 -20.0 -20.0 -16.2 PLAT -1.1 12.7 13.8 1.4 -1.9 2.1 -3.5 1.4 -1.4 -7.8 4.8 -6.4 -3.5 3.3 5.7 -5.0 -4.0 -4.9 -4.5 8.3 6.4 -5.7 2.0 3.1 8.7 2.3 -2.9 2.3 -3.1 1.3 -0.2 2.1 -3.2 2.8 7.7 0.4 -20.0 -7.8 3.7 5.5 REDWHEAT 4.5 20.0 20.0 2.0 -10.7 2.3 -7.7 0.3 -1.5 -14.7 6.6 -2.1 -10.0 10.5 12.5 -11.3 -2.5 -7.7 -4.6 18.8 9.5 -5.2 -5.2 12.1 -7.0 4.6 -3.8 2.4 -1.4 -0.8 2.8 -10.9 -6.6 15.9 20.0 14.0 -12.9 -20.0 -1.5 -18.3 RICE 1.3 20.0 0.3 2.2 -11.9 2.5 -8.6 0.3 -1.7 -11.5 13.9 -6.8 14.0 16.0 16.4 20.0 20.0 20.0 20.0 16.8 15.7 -1.6 14.4 10.3 -12.2 4.0 -2.3 2.9 -0.3 2.2 2.9 20.0 9.0 8.9 20.0 -2.5 -7.8 -5.0 -6.3 -0.2 ROBUSTA 20.0 -20.0 -3.0 1.1 -6.0 1.3 -4.4 0.2 -0.9 7.9 7.5 8.8 8.4 6.4 5.9 16.9 20.0 19.0 20.0 13.6 14.5 20.0 14.7 16.9 -20.0 3.3 2.5 4.4 2.8 4.8 2.7 20.0 20.0 20.0 18.2 20.0 -1.4 -11.2 6.5 3.9 RUSSELL -1.9 0.6 0.3 3.3 3.4 5.2 1.6 5.8 1.9 -1.8 11.8 -7.4 11.0 5.2 2.7 -7.5 -6.7 -7.2 -6.9 2.6 5.8 -3.6 6.9 -0.4 -1.9 2.0 -1.6 3.8 -1.7 4.5 0.0 -0.6 -4.1 -9.3 -3.0 -9.9 -3.2 -20.0 -4.1 -20.0 SHATZ 0.1 -7.5 -18.1 -0.8 5.7 -1.6 3.6 -1.8 1.1 4.5 -9.1 -1.6 -8.9 -6.2 -8.3 -20.0 -20.0 -20.0 -20.0 -10.0 -12.3 1.0 -12.9 -4.8 7.7 -3.2 1.4 -3.5 0.4 -3.1 -1.6 -20.0 -4.5 -8.4 -10.0 -11.3 -20.0 -19.4 -15.1 -15.2 SILVER-mini 4.7 5.4 20.0 1.2 -1.6 1.8 -3.0 1.2 -1.2 -0.1 8.3 3.2 6.1 5.9 8.5 -6.1 -6.7 -6.5 -6.6 11.8 10.5 2.4 6.5 8.3 2.0 3.0 0.3 3.3 -0.6 2.4 1.1 -2.1 1.3 12.2 10.5 17.0 -10.1 -12.9 8.1 3.8 SMI 16.8 15.9 12.5 4.0 4.2 6.3 1.9 7.1 2.3 18.0 18.6 19.0 15.9 18.8 18.1 -3.2 2.5 -1.5 0.9 20.0 20.0 20.0 15.5 20.0 15.1 7.2 8.8 6.7 6.8 4.9 6.7 14.4 20.0 20.0 20.0 14.9 10.2 0.9 9.4 -0.6 SOFR 12.2 5.4 -10.0 -1.1 7.5 -2.1 4.7 -2.4 1.4 10.9 -3.0 8.8 -4.2 6.7 -3.2 -4.0 -1.2 -3.1 -2.0 -0.5 -5.0 14.3 -6.0 7.2 -2.8 1.4 7.4 -0.5 6.7 -0.9 4.4 4.6 11.4 13.7 6.9 1.9 -1.4 -20.0 12.9 -0.1 SOYBEAN -10.2 11.4 9.1 2.3 -12.2 2.6 -8.8 0.3 -1.7 -11.9 -7.8 -14.6 -5.8 -5.9 3.6 0.5 8.2 0.8 3.3 -2.4 -3.9 -20.0 -7.8 -11.7 -20.0 -0.1 -6.7 -0.6 -8.9 -1.9 -4.3 4.7 -20.0 -15.8 -2.4 -0.2 -18.7 -20.0 -15.3 -20.0 SOYMEAL -11.0 20.0 10.3 1.6 -8.8 1.8 -6.3 0.2 -1.2 -9.8 -7.4 -11.3 -8.3 -0.5 2.5 5.3 6.1 1.8 2.0 2.8 -1.0 -11.8 -5.5 -3.9 -20.0 2.6 -1.3 1.0 -1.7 -0.5 0.9 1.6 0.1 -6.7 18.5 6.3 -20.0 -20.0 -20.0 -20.0 SOYOIL 7.4 -0.6 9.2 1.3 -7.0 1.5 -5.1 0.2 -1.0 -4.1 -8.6 -3.0 -9.2 -4.3 -5.9 -4.6 -0.9 -5.9 -4.7 -4.9 -7.2 -5.8 -8.7 -4.0 -20.0 -2.7 -2.4 -2.6 -3.3 -2.4 -2.8 -10.1 -3.8 1.3 -18.9 -8.2 -20.0 -18.2 -4.9 1.0 SP400 -9.5 -5.2 1.3 3.3 3.5 5.2 1.6 5.9 1.9 -5.1 12.9 -9.3 12.8 1.8 3.6 -8.5 -6.0 -7.2 -6.4 3.4 10.4 -7.1 13.1 -3.2 -12.8 2.6 -2.3 5.7 -2.4 6.9 -0.5 0.6 -5.4 -11.6 -6.0 0.2 -3.0 -10.7 -2.6 -20.0 SP500_micro 8.6 3.0 -0.7 3.8 4.0 6.0 1.8 6.7 2.2 15.2 18.4 13.8 18.3 16.3 15.7 -12.7 -12.0 -12.6 -12.5 16.5 20.0 14.1 20.0 15.0 -20.0 5.7 6.7 8.1 5.1 10.4 5.1 -10.0 11.9 13.0 4.6 3.3 3.5 -1.1 6.2 -1.1 SUGAR11 2.3 -11.5 -20.0 2.0 -10.4 2.2 -7.5 0.3 -1.5 14.3 -15.2 0.8 -6.7 -9.9 -14.2 0.6 12.5 3.8 8.1 -18.7 -20.0 6.2 -11.6 -7.9 -20.0 -5.4 3.4 -5.5 0.7 -3.0 -3.0 13.2 20.0 -15.6 -20.0 -20.0 20.0 16.1 20.0 20.0 US10 10.0 4.9 -6.2 -0.9 6.3 -1.8 4.0 -2.1 1.2 9.3 -3.4 7.2 -5.8 5.0 -3.5 -6.2 -7.2 -6.2 -6.7 -1.2 -4.9 10.8 -7.5 4.8 2.7 1.1 6.7 -0.6 5.9 -1.5 3.8 -5.0 9.1 9.9 5.5 1.8 -7.6 -20.0 4.9 1.9 US10U 10.9 5.2 -5.3 -1.4 9.3 -2.6 5.9 -3.1 1.8 13.4 -4.5 10.9 -8.1 7.8 -4.9 -4.8 -2.2 -4.7 -3.5 -1.4 -7.1 15.9 -11.3 7.3 0.4 1.8 9.9 -0.6 8.8 -2.1 5.7 2.5 11.3 14.9 8.2 4.2 -7.5 -16.7 17.7 9.1 US2 7.0 -1.3 -16.2 -1.0 6.4 -1.8 4.1 -2.1 1.2 9.4 -8.6 5.1 -9.7 1.3 -7.1 -20.0 -20.0 -20.0 -20.0 -6.7 -11.3 9.2 -14.4 1.2 14.0 -1.5 6.2 -2.8 4.2 -3.3 1.3 -20.0 5.3 1.6 -1.5 -8.1 -13.2 -20.0 -8.2 -19.2 US20 11.4 5.6 -3.2 -1.0 6.6 -1.8 4.2 -2.2 1.3 9.7 -0.1 7.9 -3.5 6.2 -2.0 -0.8 -0.7 -0.6 -0.5 0.5 -3.2 12.0 -6.3 6.1 -1.0 2.1 6.9 0.5 6.3 -0.6 4.5 6.1 10.1 14.0 8.5 7.1 -12.1 -12.3 20.0 14.5 US30 10.9 4.8 -2.3 -1.2 7.8 -2.2 5.0 -2.6 1.5 11.4 -1.7 9.2 -5.5 6.7 -3.2 -4.5 -5.0 -4.0 -4.7 -0.2 -4.3 12.7 -8.2 6.1 -0.3 2.2 8.4 0.3 7.5 -1.2 5.2 -1.3 8.0 14.5 7.8 8.3 -17.6 -11.4 9.3 16.4 US5 10.0 3.8 -10.1 -1.0 6.7 -1.9 4.3 -2.2 1.3 9.8 -6.7 7.2 -8.1 4.4 -5.0 -9.2 -10.1 -9.6 -9.8 -2.6 -7.0 11.4 -9.4 4.4 6.2 0.4 7.1 -1.3 5.9 -2.0 3.4 -10.0 9.0 8.4 3.9 -1.7 -7.0 -20.0 1.5 -7.2 VIX -3.6 -15.7 5.7 -7.0 -1.6 -7.3 -3.1 -8.6 -5.6 -10.5 -20.0 -15.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -7.5 -20.0 -16.9 NaN -8.1 -1.8 -8.4 -3.7 -10.3 -6.7 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -0.1 20.0 20.0 1.8 -9.5 2.0 -6.9 0.3 -1.4 -13.4 8.4 -5.3 -7.2 9.6 11.5 -15.3 -13.9 -16.3 -15.4 16.5 9.9 -9.8 -2.8 8.0 0.9 4.0 -4.3 2.4 -1.8 -0.1 2.1 -20.0 -15.1 13.6 20.0 12.8 -10.9 -20.0 -6.0 -20.0 End of report for caleb_strategy_v3