******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240607_204007 produced at 2024-06-07 21:38:07.171261 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.08 -0.56 0.0 0.45 -0.45 -0.08 -0.08 -19.95 16.0 -3 -3 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.65 -0.49 0.0 0.81 -0.81 -0.65 -0.65 -5.99 10.0 -8 -8 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.35 0.0 0.00 0.00 0.00 0.00 -9.97 24.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.24 -0.30 0.0 999.00 -999.00 -0.24 -0.25 -65.79 999999999.0 -53 -54 caleb_strategy_v3 US2 False True 0.06 0.00 -0.18 0.0 0.00 0.00 0.00 0.00 -2.85 13.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.09 -0.11 0.0 0.13 -0.13 -0.09 -0.09 -11.43 13.0 -9 -9 caleb_strategy_v3 CAD False False 0.02 -0.02 -0.11 0.0 0.65 -0.65 -0.02 -0.02 -4.89 29.0 -1 -1 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.08 0.0 0.09 -0.09 -0.06 -0.06 -2.47 3.0 -2 -2 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.07 0.0 0.73 -0.73 0.00 0.00 -1.70 19.0 0 0 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 CORN False False 0.01 -0.07 -0.06 0.0 0.09 -0.09 -0.07 -0.07 -8.93 12.0 -10 -10 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 LUMBER-new False False 0.00 0.00 -0.05 0.0 0.01 -0.01 0.00 0.00 -10.24 3.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.00 -0.05 0.0 0.39 -0.39 0.00 0.00 -1.20 10.0 0 0 caleb_strategy_v3 OAT False False 0.04 0.00 -0.05 0.0 0.42 -0.42 0.00 0.00 -1.15 10.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 -0.04 -0.04 0.0 0.09 -0.09 -0.04 -0.04 -1.77 4.0 -2 -2 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 SP400 False True 0.09 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -0.46 2.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.03 -0.04 0.0 0.15 -0.15 -0.03 -0.03 -13.67 51.0 -10 -10 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.03 0.0 0.21 -0.21 -0.03 -0.04 -8.26 68.0 -10 -13 caleb_strategy_v3 BUND False False 0.04 -0.17 -0.03 0.0 0.44 -0.44 -0.17 -0.17 -0.72 10.0 -4 -4 caleb_strategy_v3 US5 False False 0.03 -0.10 -0.03 0.0 0.81 -0.81 -0.10 -0.10 -0.80 25.0 -3 -3 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.03 0.0 0.39 -0.39 -0.01 -0.01 -5.71 66.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.02 -0.03 0.0 0.12 -0.12 -0.02 -0.02 -2.72 11.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.02 0.0 0.12 -0.12 -0.05 -0.05 -1.38 7.0 -3 -3 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 -0.02 0.0 0.40 -0.40 -0.01 -0.01 -2.25 56.0 -1 -1 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.02 0.0 0.06 -0.06 -0.03 -0.03 -0.56 2.0 -1 -1 caleb_strategy_v3 BUXL False False 0.04 -0.04 -0.02 0.0 0.17 -0.17 -0.04 -0.04 -0.39 4.0 -1 -1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.04 2.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.01 -0.01 0.0 0.09 -0.09 -0.01 -0.01 -0.56 9.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.01 0.0 0.08 -0.08 -0.02 -0.01 -1.65 10.0 -2 -1 caleb_strategy_v3 GASOLINE False False 0.03 -0.03 -0.01 0.0 999.00 -999.00 -0.03 -0.03 -0.20 999999999.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 -0.02 -0.01 0.0 0.12 -0.12 -0.02 -0.01 -2.24 18.0 -3 -2 caleb_strategy_v3 US10 False False 0.03 0.00 -0.01 0.0 0.57 -0.57 0.00 0.00 -0.16 17.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.00 -0.01 0.0 0.11 -0.11 0.00 0.00 -0.28 5.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -1.09 9.0 -1 -1 caleb_strategy_v3 EUR False False 0.04 0.04 0.00 0.0 0.58 -0.58 0.04 0.04 0.02 14.0 1 1 caleb_strategy_v3 MXP False False 0.01 0.03 -0.00 0.0 0.52 -0.52 0.03 0.02 -0.19 60.0 4 2 caleb_strategy_v3 US30 False False 0.04 0.04 0.00 0.0 0.23 -0.23 0.04 0.04 0.09 6.0 1 1 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.34 8.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.45 999999999.0 0 0 caleb_strategy_v3 US10U False False 0.03 0.00 0.01 0.0 0.45 -0.45 0.00 0.00 0.23 13.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.35 9.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.29 -0.29 0.03 0.03 0.63 23.0 2 2 caleb_strategy_v3 AUD False False 0.02 0.06 0.01 0.0 0.38 -0.38 0.06 0.06 0.42 19.0 3 3 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 0.01 0.0 0.27 -0.27 0.00 0.00 0.92 23.0 0 0 caleb_strategy_v3 COCOA False False 0.03 0.00 0.01 0.0 0.73 -0.73 0.00 0.00 0.23 26.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.06 -0.06 0.00 0.00 0.76 5.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.01 0.0 0.16 -0.16 0.00 0.00 0.24 6.0 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 5.71 26.0 3 3 caleb_strategy_v3 PLAT False False 0.01 0.01 0.01 0.0 0.15 -0.15 0.01 0.01 0.38 10.0 1 1 caleb_strategy_v3 DX False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.44 999999999.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.04 0.02 0.0 0.06 -0.06 0.04 0.04 1.07 3.0 2 2 caleb_strategy_v3 NIKKEI False False 0.01 -0.01 0.02 0.0 0.27 -0.27 -0.01 -0.01 2.44 36.0 -1 -1 caleb_strategy_v3 CAC True False 0.03 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.68 12.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.07 0.02 0.0 999.00 -999.00 0.07 0.07 0.54 999999999.0 2 2 caleb_strategy_v3 SP500_micro False True 0.01 0.02 0.03 0.0 0.02 0.00 0.02 0.02 3.23 48.0 3 3 caleb_strategy_v3 RICE False True 0.01 0.00 0.04 0.0 0.00 0.00 0.00 0.00 3.98 4.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.04 0.0 0.00 0.00 0.00 0.00 19.28 59.0 0 0 caleb_strategy_v3 EUROSTX False True 0.02 0.27 0.05 0.0 0.27 0.00 0.27 0.27 3.25 20.0 16 16 caleb_strategy_v3 NZD False False 0.02 0.00 0.05 0.0 0.39 -0.39 0.00 0.02 2.49 21.0 0 1 caleb_strategy_v3 GBP False False 0.02 0.02 0.06 0.0 0.54 -0.54 0.02 0.02 2.62 22.0 1 1 caleb_strategy_v3 DAX False True 0.01 0.02 0.08 0.0 0.02 0.00 0.02 0.01 12.63 58.0 3 2 caleb_strategy_v3 LIVECOW False False 0.02 0.17 0.10 0.0 0.37 -0.37 0.17 0.17 4.66 17.0 8 8 caleb_strategy_v3 SOFR False True 0.07 0.00 0.12 0.0 0.00 0.00 0.00 0.00 1.68 11.0 0 0 caleb_strategy_v3 SMI False True 0.04 0.00 0.17 0.0 0.00 0.00 0.00 0.00 4.01 9.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 14.6 Shocked risk 42.3 Sum abs risk 44.3 Leverage 3.97 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3260428.03, 'annual_cash_vol_target': 815107.0075, 'daily_cash_vol_target': 50944.18796875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6606 0.6193 9.9084 BITCOIN 1589.4259 69485.0000 2.2874 36.5990 BOBL 0.2670 115.4000 0.2313 3.7012 BTP 0.5813 116.3900 0.4995 7.9916 BUND 0.5384 130.2400 0.4134 6.6141 BUXL 1.2571 129.2600 0.9725 15.5604 CAC 51.5570 8001.0000 0.6444 10.3101 CAD 0.0028 0.7292 0.3815 6.1043 CANOLA 8.9638 649.6000 1.3799 22.0784 CHF 0.0052 1.1284 0.4587 7.3388 COCOA 321.0751 9189.0000 3.4941 55.9060 COFFEE 4.6111 224.7000 2.0521 32.8337 COPPER 0.0827 4.4725 1.8482 29.5704 CORN 5.3733 467.5000 1.1494 18.3898 COTTON2 1.2371 72.8300 1.6987 27.1789 CRUDE_W 0.9904 73.2900 1.3513 21.6212 DAX 121.4858 18587.0000 0.6536 10.4577 DOW 262.2888 38995.0000 0.6726 10.7619 DX 0.3677 104.4900 0.3519 5.6311 EUR 0.0045 1.0854 0.4112 6.5789 EURIBOR-ICE 0.0529 97.2450 0.0544 0.8700 EUROSTX 37.2335 5051.0000 0.7372 11.7944 FEEDCOW 1.8750 255.7500 0.7332 11.7305 GASOIL 10.7906 728.5000 1.4812 23.6994 GASOLINE 0.0372 2.3315 1.5942 25.5069 GAS_US_mini 0.1050 2.9950 3.5060 56.0959 GBP 0.0054 1.2732 0.4279 6.8471 GOLD_micro 24.5928 2318.3000 1.0608 16.9730 HEATOIL 0.0352 2.3858 1.4734 23.5738 JGB-SGX-mini 0.2283 142.9200 0.1597 2.5555 JPY 0.0000 0.0065 0.6576 10.5222 LEANHOG 1.0612 79.0500 1.3424 21.4791 LIVECOW 1.1806 177.4000 0.6655 10.6484 LUMBER-new 7.7475 524.0000 1.4785 23.6565 MILK 0.2793 20.3400 1.3731 21.9698 MXP 0.0006 0.0570 1.0051 16.0808 NASDAQ_micro 144.0481 19302.5000 0.7463 11.9403 NIKKEI 335.8696 38655.0000 0.8689 13.9022 NZD 0.0039 0.6110 0.6413 10.2613 OAT 0.5299 124.5200 0.4256 6.8094 OATIES 7.5352 355.0000 2.1226 33.9614 OJ 8.2589 418.7000 1.9725 31.5602 PALLAD 22.2218 916.0000 2.4260 38.8154 PLAT 18.0026 972.3000 1.8515 29.6247 REDWHEAT 12.0626 699.0000 1.7257 27.6111 RICE 0.1511 15.5500 0.9719 15.5509 ROBUSTA 81.4700 4125.0000 1.9750 31.6005 RUSSELL 20.7587 2028.8000 1.0232 16.3712 SHATZ 0.0789 105.2150 0.0750 1.2001 SILVER-mini 0.6980 29.6875 2.3510 37.6161 SMI 77.2333 12241.0000 0.6309 10.0950 SOFR 0.0706 96.1450 0.0734 1.1743 SOYBEAN 10.8165 1156.7500 0.9351 14.9612 SOYMEAL 4.5949 351.0000 1.3091 20.9454 SOYOIL 0.7240 43.8900 1.6495 26.3923 SP400 24.6946 2926.0000 0.8440 13.5035 SP500_micro 31.8851 5368.7500 0.5939 9.5024 SUGAR11 0.2820 18.8400 1.4970 23.9519 US10 0.4308 109.3281 0.3941 6.3053 US10U 0.5750 112.7969 0.5098 8.1567 US2 0.1075 101.9141 0.1054 1.6871 US20 0.8471 117.5625 0.7205 11.5283 US30 1.2419 124.5938 0.9967 15.9476 US5 0.2760 106.1172 0.2601 4.1611 VIX 0.3823 14.9500 2.5573 40.9160 WHEAT 11.0058 674.7500 1.6311 26.0975 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 660.65 0.62 409.12 1.00 409.12 50944.19 124.52 1.31 16.30 BITCOIN 69.48 2.29 158.94 1.00 158.94 50944.19 320.52 5.56 178.08 BOBL 1154.00 0.23 266.95 1.09 290.51 50944.19 175.36 -9.58 -167.93 BTP 1163.90 0.50 581.34 1.09 632.64 50944.19 80.53 -4.38 -35.25 BUND 1302.40 0.41 538.39 1.09 585.90 50944.19 86.95 -8.15 -70.90 BUXL 1292.60 0.97 1257.08 1.09 1368.02 50944.19 37.24 -10.31 -38.40 CAC 800.10 0.64 515.57 1.09 561.07 50944.19 90.80 2.20 19.95 CAD 729.20 0.38 278.21 1.00 278.21 50944.19 183.12 -10.29 -188.34 CANOLA 129.92 1.38 179.28 0.73 131.06 50944.19 388.71 -14.46 -562.09 CHF 1410.50 0.46 646.96 1.00 646.96 50944.19 78.74 -7.34 -57.77 COCOA 918.90 3.49 3210.75 1.00 3210.75 50944.19 15.87 6.75 10.70 COFFEE 842.62 2.05 1729.16 1.00 1729.16 50944.19 29.46 6.98 20.57 COPPER 1118.12 1.85 2066.46 1.00 2066.46 50944.19 24.65 2.02 4.97 CORN 233.75 1.15 268.66 1.00 268.66 50944.19 189.62 -19.35 -366.95 COTTON2 364.15 1.70 618.57 1.00 618.57 50944.19 82.36 -15.39 -126.77 CRUDE_W 732.90 1.35 990.39 1.00 990.39 50944.19 51.44 -0.50 -2.55 DAX 185.87 0.65 121.49 1.09 132.21 50944.19 385.34 9.61 370.32 DOW 194.98 0.67 131.14 1.00 131.14 50944.19 388.46 -6.32 -245.64 DX 1044.90 0.35 367.75 1.00 367.75 50944.19 138.53 1.23 17.03 EUR 1356.81 0.41 557.90 1.00 557.90 50944.19 91.31 0.08 0.77 EURIBOR-ICE 2431.12 0.05 132.19 1.09 143.86 50944.19 354.13 -4.96 -175.72 EUROSTX 505.10 0.74 372.34 1.09 405.19 50944.19 125.73 7.58 95.25 FEEDCOW 1278.75 0.73 937.52 1.00 937.52 50944.19 54.34 -6.13 -33.32 GASOIL 728.50 1.48 1079.06 1.00 1079.06 50944.19 47.21 -8.67 -40.93 GASOLINE 979.23 1.59 1561.07 1.00 1561.07 50944.19 32.63 -1.41 -4.61 GAS_US_mini 74.88 3.51 262.51 1.00 262.51 50944.19 194.06 2.72 52.71 GBP 795.75 0.43 340.53 1.00 340.53 50944.19 149.60 6.76 101.14 GOLD_micro 231.83 1.06 245.93 1.00 245.93 50944.19 207.15 -3.19 -66.10 HEATOIL 1002.04 1.47 1476.37 1.00 1476.37 50944.19 34.51 -16.50 -56.94 JGB-SGX-mini 142920.00 0.16 22826.58 0.01 146.48 50944.19 347.79 -5.30 -184.24 JPY 810.00 0.66 532.69 1.00 532.69 50944.19 95.64 -10.39 -99.38 LEANHOG 316.20 1.34 424.48 1.00 424.48 50944.19 120.02 -15.66 -187.99 LIVECOW 709.60 0.67 472.25 1.00 472.25 50944.19 107.87 13.02 140.49 LUMBER-new 144.10 1.48 213.06 1.00 213.06 50944.19 239.11 -20.00 -478.22 MILK 406.80 1.37 558.58 1.00 558.58 50944.19 91.20 3.89 35.44 MXP 284.80 1.01 286.24 1.00 286.24 50944.19 177.98 -0.07 -1.31 NASDAQ_micro 386.05 0.75 288.10 1.00 288.10 50944.19 176.83 2.24 39.63 NIKKEI 38655.00 0.87 33586.96 0.01 215.53 50944.19 236.37 0.95 22.52 NZD 611.05 0.64 391.89 1.00 391.89 50944.19 130.00 7.38 95.91 OAT 1245.20 0.43 529.94 1.09 576.71 50944.19 88.34 -3.81 -33.64 OATIES 177.50 2.12 376.76 1.00 376.76 50944.19 135.22 -3.15 -42.58 OJ 628.05 1.97 1238.84 1.00 1238.84 50944.19 41.12 12.12 49.85 PALLAD 916.00 2.43 2222.18 1.00 2222.18 50944.19 22.93 -7.15 -16.40 PLAT 486.15 1.85 900.13 1.00 900.13 50944.19 56.60 1.95 11.06 REDWHEAT 349.50 1.73 603.13 1.00 603.13 50944.19 84.47 -3.06 -25.84 RICE 311.00 0.97 302.27 1.00 302.27 50944.19 168.54 9.71 163.67 ROBUSTA 412.50 1.98 814.70 1.00 814.70 50944.19 62.53 8.63 53.98 RUSSELL 101.44 1.02 103.79 1.00 103.79 50944.19 490.82 -5.08 -249.12 SHATZ 1052.15 0.08 78.92 1.09 85.88 50944.19 593.18 -16.58 -983.65 SILVER-mini 742.19 2.35 1744.89 1.00 1744.89 50944.19 29.20 4.50 13.13 SMI 1224.10 0.63 772.33 1.12 866.52 50944.19 58.79 20.00 117.58 SOFR 2403.62 0.07 176.41 1.00 176.41 50944.19 288.79 0.96 27.63 SOYBEAN 578.38 0.94 540.82 1.00 540.82 50944.19 94.20 -15.74 -148.30 SOYMEAL 351.00 1.31 459.49 1.00 459.49 50944.19 110.87 -10.59 -117.43 SOYOIL 263.34 1.65 434.38 1.00 434.38 50944.19 117.28 -15.10 -177.06 SP400 2926.00 0.84 2469.46 1.00 2469.46 50944.19 20.63 -6.80 -14.03 SP500_micro 268.44 0.59 159.43 1.00 159.43 50944.19 319.55 4.34 138.78 SUGAR11 211.01 1.50 315.88 1.00 315.88 50944.19 161.28 -6.54 -105.55 US10 1093.28 0.39 430.84 1.00 430.84 50944.19 118.24 -1.10 -13.00 US10U 1127.97 0.51 575.03 1.00 575.03 50944.19 88.59 2.03 17.98 US2 2038.28 0.11 214.93 1.00 214.93 50944.19 237.03 -9.49 -225.03 US20 1175.62 0.72 847.06 1.00 847.06 50944.19 60.14 4.55 27.39 US30 1245.94 1.00 1241.86 1.00 1241.86 50944.19 41.02 1.80 7.37 US5 1061.17 0.26 275.98 1.00 275.98 50944.19 184.59 -3.42 -63.16 VIX 149.50 2.56 382.31 1.00 382.31 50944.19 133.25 -20.00 -266.51 WHEAT 337.38 1.63 550.29 1.00 550.29 50944.19 92.58 -4.59 -42.50 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 16.303 0.010 2.5 0.423 BITCOIN 178.081 0.043 2.5 19.284 BOBL -167.932 0.004 2.5 -1.703 BTP -35.252 0.014 2.5 -1.202 BUND -70.904 0.004 2.5 -0.719 BUXL -38.402 0.004 2.5 -0.389 CAC 19.951 0.014 2.5 0.680 CAD -188.342 0.010 2.5 -4.887 CANOLA -562.091 0.010 2.5 -13.675 CHF -57.772 0.010 2.5 -1.499 COCOA 10.702 0.009 2.5 0.229 COFFEE 20.570 0.005 2.5 0.240 COPPER 4.972 0.043 2.5 0.538 CORN -366.953 0.010 2.5 -8.927 COTTON2 -126.773 0.009 2.5 -2.715 CRUDE_W -2.547 0.043 2.5 -0.276 DAX 370.323 0.014 2.5 12.631 DOW -245.636 0.009 2.5 -5.709 DX 17.029 0.010 2.5 0.442 EUR 0.771 0.010 2.5 0.020 EURIBOR-ICE -175.722 0.014 2.5 -5.994 EUROSTX 95.252 0.014 2.5 3.249 FEEDCOW -33.322 0.013 2.5 -1.104 GASOIL -40.931 0.017 2.5 -1.774 GASOLINE -4.608 0.017 2.5 -0.200 GAS_US_mini 52.711 0.043 2.5 5.708 GBP 101.142 0.010 2.5 2.624 GOLD_micro -66.098 0.014 2.5 -2.254 HEATOIL -56.936 0.017 2.5 -2.468 JGB-SGX-mini -184.241 0.043 2.5 -19.951 JPY -99.381 0.010 2.5 -2.579 LEANHOG -187.993 0.024 2.5 -11.425 LIVECOW 140.493 0.013 2.5 4.656 LUMBER-new -478.223 0.009 2.5 -10.237 MILK 35.443 0.009 2.5 0.759 MXP -1.314 0.059 2.5 -0.193 NASDAQ_micro 39.634 0.009 2.5 0.921 NIKKEI 22.516 0.043 2.5 2.438 NZD 95.906 0.010 2.5 2.488 OAT -33.639 0.014 2.5 -1.147 OATIES -42.584 0.010 2.5 -1.036 OJ 49.851 0.009 2.5 1.068 PALLAD -16.400 0.014 2.5 -0.559 PLAT 11.058 0.014 2.5 0.377 REDWHEAT -25.844 0.005 2.5 -0.343 RICE 163.673 0.010 2.5 3.982 ROBUSTA 53.976 0.005 2.5 0.630 RUSSELL -249.124 0.013 2.5 -8.255 SHATZ -983.647 0.004 2.5 -9.975 SILVER-mini 13.131 0.014 2.5 0.448 SMI 117.584 0.014 2.5 4.011 SOFR 27.627 0.024 2.5 1.679 SOYBEAN -148.305 0.004 2.5 -1.379 SOYMEAL -117.431 0.004 2.5 -1.092 SOYOIL -177.062 0.004 2.5 -1.648 SP400 -14.027 0.013 2.5 -0.465 SP500_micro 138.775 0.009 2.5 3.225 SUGAR11 -105.553 0.009 2.5 -2.245 US10 -12.995 0.005 2.5 -0.165 US10U 17.981 0.005 2.5 0.228 US2 -225.027 0.005 2.5 -2.851 US20 27.389 0.005 2.5 0.347 US30 7.369 0.005 2.5 0.093 US5 -63.159 0.005 2.5 -0.800 VIX -266.508 0.099 2.5 -65.785 WHEAT -42.495 0.005 2.5 -0.564 ===================== Position diags ===================== AUD 3.23 BITCOIN 34.71 BOBL 1.78 BTP 2.75 BUND 0.88 BUXL 0.38 CAC 3.10 CAD 4.75 CANOLA 9.46 CHF 2.04 COCOA 0.34 COFFEE 0.34 COPPER 2.67 CORN 4.61 COTTON2 1.76 CRUDE_W 5.57 DAX 13.14 DOW 9.03 DX 3.59 EUR 2.37 EURIBOR-ICE 12.08 EUROSTX 4.29 FEEDCOW 1.80 GASOIL 2.05 GASOLINE 1.41 GAS_US_mini 21.01 GBP 3.88 GOLD_micro 7.07 HEATOIL 1.50 JGB-SGX-mini 37.66 JPY 2.48 LEANHOG 7.29 LIVECOW 3.57 LUMBER-new 5.12 MILK 1.95 MXP 26.12 NASDAQ_micro 4.11 NIKKEI 25.60 NZD 3.37 OAT 3.01 OATIES 3.29 OJ 0.88 PALLAD 0.78 PLAT 1.93 REDWHEAT 1.12 RICE 4.10 ROBUSTA 0.73 RUSSELL 16.26 SHATZ 6.02 SILVER-mini 1.00 SMI 2.01 SOFR 17.55 SOYBEAN 0.88 SOYMEAL 1.03 SOYOIL 1.09 SP400 0.68 SP500_micro 7.43 SUGAR11 3.43 US10 1.50 US10U 1.12 US2 3.00 US20 0.76 US30 0.52 US5 2.34 VIX 32.89 WHEAT 1.23 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.4 0.1 0.7 3.0 3 BITCOIN 19.3 15.8 22.8 0.0 0 BOBL -1.7 -1.9 -1.5 0.0 0 BTP -1.2 -1.5 -0.9 0.0 0 BUND -0.7 -0.8 -0.6 -4.0 -4 BUXL -0.4 -0.4 -0.4 -1.0 -1 CAC 0.7 0.4 1.0 0.0 0 CAD -4.9 -5.4 -4.4 -1.0 -1 CANOLA -13.7 -14.6 -12.7 -10.0 -10 CHF -1.5 -1.7 -1.3 -4.0 -4 COCOA 0.2 0.2 0.3 0.0 0 COFFEE 0.2 0.2 0.3 0.0 0 COPPER 0.5 0.3 0.8 2.0 2 CORN -8.9 -9.4 -8.5 -10.0 -10 COTTON2 -2.7 -2.9 -2.5 -2.0 -2 CRUDE_W -0.3 -0.8 0.3 0.0 0 DAX 12.6 11.3 13.9 3.0 3 DOW -5.7 -6.6 -4.8 -1.0 -1 DX 0.4 0.1 0.8 NaN 0 EUR 0.0 -0.2 0.3 1.0 1 EURIBOR-ICE -6.0 -7.2 -4.8 -8.0 -8 EUROSTX 3.2 2.8 3.7 16.0 16 FEEDCOW -1.1 -1.3 -0.9 -2.0 -2 GASOIL -1.8 -2.0 -1.6 -2.0 -2 GASOLINE -0.2 -0.3 -0.1 -1.0 -1 GAS_US_mini 5.7 3.6 7.8 3.0 3 GBP 2.6 2.2 3.0 1.0 1 GOLD_micro -2.3 -3.0 -1.5 -1.0 -1 HEATOIL -2.5 -2.6 -2.3 -2.0 -2 JGB-SGX-mini -20.0 -23.7 -16.2 -3.0 -3 JPY -2.6 -2.8 -2.3 -2.0 -2 LEANHOG -11.4 -12.2 -10.7 -9.0 -9 LIVECOW 4.7 4.3 5.0 8.0 8 LUMBER-new -10.2 -10.7 -9.7 NaN 0 MILK 0.8 0.6 1.0 NaN 0 MXP -0.2 -2.8 2.4 4.0 4 NASDAQ_micro 0.9 0.5 1.3 0.0 0 NIKKEI 2.4 -0.1 5.0 -1.0 -1 NZD 2.5 2.2 2.8 0.0 0 OAT -1.1 -1.4 -0.8 0.0 0 OATIES -1.0 -1.4 -0.7 NaN 0 OJ 1.1 1.0 1.2 2.0 2 PALLAD -0.6 -0.6 -0.5 -1.0 -1 PLAT 0.4 0.2 0.6 1.0 1 REDWHEAT -0.3 -0.5 -0.2 0.0 0 RICE 4.0 3.6 4.4 NaN 0 ROBUSTA 0.6 0.6 0.7 2.0 2 RUSSELL -8.3 -9.9 -6.6 -10.0 -10 SHATZ -10.0 -10.6 -9.4 NaN 0 SILVER-mini 0.4 0.3 0.5 0.0 0 SMI 4.0 3.8 4.2 0.0 0 SOFR 1.7 -0.1 3.4 NaN 0 SOYBEAN -1.4 -1.5 -1.3 -3.0 -3 SOYMEAL -1.1 -1.2 -1.0 -1.0 -1 SOYOIL -1.6 -1.8 -1.5 -2.0 -2 SP400 -0.5 -0.5 -0.4 0.0 0 SP500_micro 3.2 2.5 4.0 3.0 3 SUGAR11 -2.2 -2.6 -1.9 -3.0 -3 US10 -0.2 -0.3 -0.0 0.0 0 US10U 0.2 0.1 0.3 0.0 0 US2 -2.9 -3.2 -2.6 NaN 0 US20 0.3 0.3 0.4 0.0 0 US30 0.1 0.0 0.1 1.0 1 US5 -0.8 -1.0 -0.6 -3.0 -3 VIX -65.8 -69.1 -62.5 -53.0 -53 WHEAT -0.6 -0.7 -0.4 -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 0.0 0.3 0.1 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 -0.0 -0.0 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.0 -0.1 0.0 0.5 0.0 -0.1 0.1 -0.0 -0.0 0.0 -0.0 -0.2 -0.2 0.3 0.3 -0.2 -0.2 -0.0 -0.0 BITCOIN 0.4 -0.2 0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.0 0.5 0.2 0.7 0.2 0.1 -0.1 -0.1 -0.1 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.4 0.0 0.6 0.1 -0.2 0.5 0.6 0.1 0.6 -0.5 -0.1 0.2 0.1 BOBL -0.1 -0.2 -0.4 -0.0 0.0 -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 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.3 -0.3 -0.1 -0.7 -0.6 -0.1 -0.3 BTP -0.2 -0.2 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.2 -0.0 0.3 -0.0 -0.1 0.0 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 0.8 -0.3 -0.2 -0.1 0.5 -0.4 -0.3 0.3 0.1 BUND -0.1 -0.2 -0.3 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -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 0.0 -0.7 -0.6 -0.0 -0.3 BUXL -0.1 -0.2 -0.1 -0.0 0.0 -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 -0.0 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.3 -0.3 -0.3 0.2 -0.7 -0.7 -0.4 -0.3 CAC -0.5 -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 0.5 -0.0 0.8 -0.5 -0.6 0.1 0.4 -0.2 0.2 -0.5 0.3 CAD 0.1 0.1 -0.2 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 -0.4 -0.1 -0.5 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.2 -0.0 0.0 -0.3 -0.5 -0.2 -0.3 -0.1 -0.3 -0.1 -0.2 CANOLA -0.2 0.4 0.6 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 -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 -0.2 -0.2 -0.1 0.2 -0.5 -0.5 -0.1 -0.1 CHF 0.5 0.4 -0.6 0.0 -0.0 -0.0 0.0 0.0 0.0 0.1 -0.5 0.1 -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 0.0 -0.1 0.1 -0.1 0.0 -1.1 0.5 0.2 0.1 -0.6 0.1 -0.5 0.2 -0.4 COCOA 0.3 -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 0.4 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 -0.2 0.3 0.0 -0.1 0.1 -0.1 0.0 -0.0 0.0 0.3 0.1 0.4 0.1 0.1 0.1 0.2 0.1 0.2 0.2 0.2 0.1 0.3 0.2 -2.7 0.0 -0.0 0.1 0.0 0.2 0.0 0.5 0.4 0.6 0.4 0.6 0.1 -0.5 0.5 -0.2 COPPER -0.6 -0.2 0.6 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.2 -0.1 0.2 -0.0 0.0 0.0 -0.1 -0.0 -0.0 0.1 0.1 -0.1 0.1 -0.0 -1.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.2 -0.0 0.1 0.5 0.5 -0.2 -0.1 0.4 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 -0.1 -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 0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -2.5 -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 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 0.1 -0.1 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 -0.0 -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 -0.4 -0.4 0.1 0.6 0.0 0.2 -0.1 0.4 DOW -0.4 -0.2 -0.5 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.3 -0.0 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 -0.1 -0.4 -0.1 -0.4 0.2 -0.2 0.4 -0.3 DX -0.3 -0.2 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 0.2 0.1 0.2 0.1 0.0 0.1 -0.0 0.3 -0.1 -2.7 0.0 0.0 0.1 -0.0 0.2 -0.0 0.9 -0.2 -0.6 -0.1 0.5 0.1 0.3 0.2 0.6 EUR 0.2 0.3 -0.1 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 -0.2 0.1 -0.3 0.2 0.0 -0.2 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.1 0.1 2.7 0.0 -0.1 0.0 0.0 -0.0 0.1 -0.4 -0.2 0.1 0.3 0.2 -0.6 -0.6 -0.5 -0.5 EURIBOR-ICE -0.1 -0.3 -0.6 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 1.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.3 -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 0.2 0.2 0.1 0.5 0.1 -0.3 0.1 0.0 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 0.2 0.1 -0.3 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.1 0.1 -0.1 -0.1 0.0 -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 0.1 -0.4 0.5 0.7 0.7 0.7 GASOIL -0.2 -0.6 -0.2 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.0 -0.2 0.4 -0.2 -0.2 -0.1 0.3 0.0 0.2 -0.2 -0.1 -0.2 0.2 -0.2 0.9 -0.1 -0.0 -0.1 -0.1 0.1 -0.1 0.0 -0.0 -0.1 -0.3 -0.4 -0.6 -0.4 -0.7 -0.7 GASOLINE -0.4 -0.6 0.1 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 0.2 -0.1 0.5 -0.2 -0.1 0.4 0.3 0.4 0.3 -0.1 0.0 -0.1 0.3 -0.2 -2.7 -0.1 -0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.2 -0.2 -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 0.0 -0.1 0.1 -0.3 0.1 -0.5 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.1 -0.0 0.1 -0.5 0.1 2.7 0.0 0.1 -0.1 0.0 -0.2 0.0 -1.1 0.4 0.6 0.6 -0.1 -0.1 -0.2 -0.4 -0.4 GBP 0.5 0.3 -0.1 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.0 0.4 0.2 0.2 0.2 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 0.1 0.2 0.2 0.1 -0.0 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 -0.5 -0.4 0.4 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 -0.1 0.3 -0.0 0.1 -0.2 -0.3 -0.2 -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 0.2 -0.1 -0.0 0.6 -0.2 -0.4 0.1 -0.2 HEATOIL -0.2 -0.6 -0.2 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.2 -0.1 0.2 -0.2 -0.2 -0.2 0.3 -0.1 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 -0.2 -0.5 -0.6 -0.6 -0.6 0.2 0.2 -0.0 0.0 JGB-SGX-mini -0.1 -0.4 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -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 -0.1 0.5 JPY 0.0 0.3 -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 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.0 -0.3 -0.5 -0.5 -0.7 -0.4 -0.6 -0.3 LEANHOG -0.6 -0.6 0.2 0.0 -0.2 0.1 -0.1 0.0 -0.0 -0.2 0.0 -0.2 -0.1 -0.2 -0.2 0.3 -0.4 -0.4 -0.4 -0.2 -0.1 -0.2 -0.1 -0.2 1.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -1.1 -0.4 -0.6 -0.6 -0.3 -0.4 -0.3 -0.2 0.2 LIVECOW 0.4 0.3 -0.1 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 0.4 0.1 0.0 -0.1 0.1 0.1 -1.0 0.0 -0.1 0.1 -0.0 0.2 0.0 1.0 -0.1 0.6 0.4 0.2 0.5 0.7 0.7 0.7 LUMBER-new 0.0 -0.5 -0.6 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.0 -0.4 -0.1 -0.5 -0.2 -0.2 -0.4 -0.4 -0.5 -0.4 -0.2 -0.2 -0.1 -0.3 -0.2 NaN -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -1.2 -0.2 -0.7 -0.7 -0.7 -0.5 -0.4 -0.2 -0.3 MILK 0.1 0.6 0.6 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 0.1 0.0 -0.3 0.1 0.1 -0.0 -0.4 -0.2 -0.4 0.2 0.1 0.1 -0.1 0.2 2.0 0.0 -0.0 0.1 0.0 -0.0 0.0 -1.1 0.5 0.6 0.6 0.4 -0.6 -0.7 -0.4 -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 0.3 -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 0.2 0.2 0.1 0.5 0.2 -2.7 0.0 0.1 0.1 0.1 0.3 0.1 -0.4 0.1 0.6 0.2 -0.2 -0.0 0.1 -0.1 0.1 NIKKEI 0.1 -0.3 -0.0 0.0 0.0 0.2 0.0 0.2 0.0 0.1 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 0.6 0.0 1.1 -0.1 -0.0 -0.5 -0.1 -0.1 -0.2 -0.2 -0.4 NZD 0.4 0.5 -0.1 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.1 0.2 0.1 0.0 0.0 0.0 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 0.0 -0.0 0.0 0.0 -0.0 0.1 0.3 0.1 0.5 0.5 0.1 0.0 -0.2 0.2 0.2 OAT -0.1 -0.2 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -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 -0.2 -0.2 -0.2 0.1 -0.7 -0.6 0.0 -0.1 OATIES -0.5 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 0.1 -0.1 0.5 0.1 -0.2 -0.0 0.2 0.4 OJ 0.2 0.5 -0.0 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.1 0.4 0.0 0.6 0.1 0.1 0.3 0.3 0.2 0.2 0.2 0.2 -0.0 0.5 0.2 -2.7 0.1 -0.0 0.1 -0.0 0.2 0.0 0.9 -0.5 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 -0.1 -0.1 -0.1 -0.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 1.9 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.3 0.1 -0.2 -0.3 -0.4 -0.7 -0.7 -0.7 -0.5 PLAT -0.2 0.4 0.4 0.0 -0.1 0.0 -0.1 0.0 -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 0.0 0.0 1.1 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.1 -0.1 0.0 0.2 0.0 -0.7 -0.3 0.1 0.2 REDWHEAT 0.0 0.6 0.6 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.1 0.2 -0.1 -0.4 0.1 0.1 -0.2 -0.1 -0.2 -0.1 0.2 0.1 -0.1 -0.1 0.1 -1.0 0.0 -0.0 0.1 -0.0 -0.0 0.0 -0.6 -0.3 0.4 0.6 0.5 -0.4 -0.7 -0.1 -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 -1.7 0.0 -0.0 0.1 0.0 0.1 0.0 1.1 0.5 0.3 0.6 -0.1 -0.3 -0.2 -0.2 -0.0 ROBUSTA 0.6 -0.6 -0.2 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.0 0.2 0.1 0.3 0.1 0.1 0.3 0.4 0.4 0.4 0.1 0.1 0.1 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 -0.2 0.0 -0.0 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 -0.1 -0.1 -0.1 0.0 0.1 -0.1 0.2 -0.0 -0.2 0.0 -0.1 0.1 -0.0 0.2 -0.0 -0.0 -0.3 -0.3 -0.1 -0.3 -0.1 -0.7 -0.1 -0.7 SHATZ 0.0 -0.2 -0.5 -0.0 0.0 -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 -0.4 -0.4 -0.7 -0.6 -0.5 -0.5 SILVER-mini -0.1 0.0 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 -0.1 -0.1 0.1 0.1 -0.0 0.1 0.1 0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.0 0.4 0.3 0.5 -0.3 -0.4 0.3 0.1 SMI 0.5 0.6 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 0.0 -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 0.3 0.3 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.4 0.0 0.0 -0.0 0.0 -0.0 0.0 0.2 0.2 0.4 0.2 0.1 -0.0 -0.7 0.4 -0.0 SOYBEAN -0.4 0.3 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 -0.1 0.3 -0.4 -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 -0.2 -0.0 -2.7 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.1 -0.1 -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 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.5 -0.0 -0.0 -0.6 -0.3 -0.7 -0.6 -0.1 0.0 SP400 -0.4 -0.2 0.0 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 -0.1 -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 -0.3 -0.4 -0.2 -0.0 -0.1 -0.4 -0.1 -0.7 SP500_micro 0.3 0.2 -0.0 0.0 0.0 0.2 0.0 0.2 0.0 0.2 0.5 0.2 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 0.2 0.5 0.2 0.1 0.1 -0.0 0.2 -0.0 SUGAR11 0.2 -0.3 -0.6 0.0 -0.1 0.1 -0.1 0.0 -0.0 0.1 -0.4 0.0 -0.3 -0.1 -0.2 0.0 0.2 0.1 0.2 -0.2 -0.2 0.0 -0.3 -0.1 -2.7 -0.1 0.0 -0.2 0.0 -0.1 -0.0 0.7 0.5 -0.4 -0.6 -0.6 0.7 0.6 0.7 0.7 US10 0.3 0.2 -0.1 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.2 0.0 0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.3 0.2 0.3 0.2 0.1 -0.2 -0.7 0.2 0.1 US10U 0.3 0.2 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.3 0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.1 -0.3 0.1 0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 0.2 0.4 0.3 0.1 -0.2 -0.6 0.6 0.3 US2 0.2 0.1 -0.4 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.0 -0.3 -0.0 1.8 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -1.1 0.1 0.0 -0.0 -0.3 -0.4 -0.7 -0.3 -0.6 US20 0.3 0.2 -0.1 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.3 0.2 0.4 0.3 0.2 -0.4 -0.4 0.7 0.5 US30 0.3 0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -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 0.0 0.0 0.1 -0.0 0.0 -0.1 0.2 0.4 0.3 0.3 -0.6 -0.4 0.3 0.5 US5 0.3 0.2 -0.2 -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 -0.0 -0.1 0.0 -0.2 0.0 0.8 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.5 0.2 0.2 0.1 -0.0 -0.2 -0.7 0.1 -0.2 VIX -0.1 -0.8 0.3 -0.1 -0.0 -0.3 -0.1 -0.5 -0.1 -0.3 -0.9 -0.3 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.1 -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 -0.1 0.6 0.6 0.0 -0.1 0.0 -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 0.0 0.1 0.0 -0.0 0.1 -0.0 -0.0 0.0 -1.1 -0.4 0.2 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 0.8 10.4 4.0 1.1 -3.6 -0.4 2.5 1.1 3.6 -7.9 -0.5 -3.6 -6.6 12.2 11.7 -2.6 -2.8 -2.7 -2.7 5.7 2.5 -1.7 -2.2 4.5 3.5 4.0 -8.8 2.4 -1.6 -0.2 2.8 -0.2 -7.2 -6.4 8.6 9.7 -4.7 -7.1 -0.6 -0.1 BITCOIN 11.8 -4.9 7.5 1.7 -11.6 3.7 -9.7 2.6 -4.3 2.4 17.0 17.4 18.7 16.2 12.3 -7.4 -7.3 -7.5 -7.7 16.0 20.0 11.1 20.0 14.0 -20.0 7.6 -0.1 13.6 3.7 16.9 5.1 -3.6 20.0 20.0 1.9 20.0 -13.7 -2.7 7.2 2.3 BOBL -3.8 -6.9 -11.4 -0.9 0.6 -1.6 2.0 -1.9 0.8 -2.7 -7.6 -4.2 -5.8 -6.3 -7.8 -7.3 -6.2 0.7 -2.9 -7.1 -7.0 -2.9 -6.2 -5.0 4.4 -2.9 -2.3 -2.5 -1.4 -1.9 -2.3 -1.8 -7.9 -8.6 -8.7 -3.5 -20.0 -16.6 -2.3 -10.2 BTP -4.7 -5.3 -5.2 -1.5 1.1 -2.7 3.4 -3.2 1.3 -1.9 8.9 -4.4 9.4 -3.3 -6.5 1.9 5.5 3.6 4.4 -1.8 2.7 -2.4 5.9 -2.9 -20.0 -0.6 -3.7 3.4 -1.9 5.7 -2.3 15.5 -14.2 -7.3 -2.2 14.8 -13.0 -10.4 8.8 2.5 BUND -3.5 -5.9 -7.9 -1.0 0.7 -1.8 2.2 -2.1 0.9 -0.7 -4.9 -2.8 -3.0 -5.3 -7.4 -3.2 -1.3 -5.8 -4.4 -5.5 -4.9 -1.8 -4.4 -3.9 1.6 -2.5 -2.1 -1.6 -1.2 -1.1 -2.2 2.2 -8.7 -7.5 -6.5 1.5 -20.0 -19.2 -0.3 -9.9 BUXL -4.2 -6.6 -4.4 -1.2 0.9 -2.2 2.7 -2.6 1.1 2.0 -3.0 -1.9 -3.2 -5.9 -8.3 -5.5 -3.3 -6.5 -5.2 -6.0 -4.8 -1.0 -5.3 -4.4 -2.3 -2.5 -0.8 -0.9 -0.8 -0.7 -2.6 -0.6 -11.2 -9.3 -7.8 5.8 -20.0 -20.0 -11.1 -7.6 CAC -14.4 -7.5 3.0 5.1 3.7 8.0 2.7 9.0 3.2 -4.7 20.0 -11.5 20.0 1.0 12.9 -6.6 1.2 2.0 2.7 8.2 20.0 -6.7 20.0 -3.7 -13.7 5.0 -0.9 10.9 -3.6 12.6 -1.5 14.4 -20.0 -20.0 3.8 13.0 -7.4 7.2 -14.4 10.5 CAD 1.7 1.9 -5.5 1.4 -4.4 -0.5 3.0 1.3 4.4 -13.7 -13.7 -7.8 -13.2 1.3 -9.7 -3.5 -2.6 -3.1 -2.8 -6.0 -8.2 -6.9 -8.7 -3.9 -0.9 -4.4 -12.4 -5.6 -6.0 -5.8 -3.4 0.0 -13.1 -15.3 -7.0 -9.9 -4.1 -10.3 -2.6 -6.4 CANOLA -6.3 13.6 20.0 0.8 -6.9 1.2 -5.3 0.1 -1.6 -5.7 -2.7 -5.5 -6.5 0.2 5.5 -14.7 -9.2 -15.2 -13.8 1.2 -1.1 -9.6 -6.3 -3.3 -20.0 0.0 -4.7 -0.9 -4.9 -3.4 -2.1 -20.0 -10.1 -7.7 -3.3 4.7 -16.2 -16.2 -1.7 -4.5 CHF 16.5 11.0 -19.9 1.1 -3.6 -0.4 2.5 1.1 3.6 9.7 -16.9 12.2 -13.8 7.9 -11.1 -16.6 -16.3 -16.7 -16.4 -5.9 -15.8 19.1 -13.0 10.2 3.3 -1.8 5.0 -5.3 8.4 -4.1 4.6 -20.0 20.0 5.6 2.2 -20.0 2.9 -15.6 6.1 -12.4 COCOA 8.6 -20.0 -3.1 0.5 -4.6 0.8 -3.5 0.1 -1.1 5.9 3.4 6.4 4.8 -0.7 1.8 18.7 15.4 20.0 20.0 3.9 7.0 7.2 8.0 4.4 -16.1 1.7 0.9 3.7 0.8 4.6 0.6 20.0 17.9 3.8 -3.4 20.0 8.0 2.0 11.8 7.7 COFFEE 17.0 -5.9 10.1 1.2 -11.2 1.9 -8.6 0.2 -2.7 0.4 10.5 12.7 9.8 8.1 8.1 3.6 7.8 7.2 8.4 15.3 14.4 12.6 11.2 16.4 -20.0 4.3 -1.1 5.4 1.3 4.7 2.7 9.3 16.2 20.0 12.8 20.0 3.8 -15.2 14.3 -5.1 COPPER -20.0 -5.3 19.6 0.6 -4.1 1.3 -3.4 0.9 -1.5 -6.0 6.1 -6.3 4.4 -0.8 4.5 1.8 -3.3 -0.1 -2.1 5.9 7.8 -6.8 5.5 -0.9 -7.8 2.0 -2.0 2.6 -1.7 1.9 -0.1 4.4 -1.5 3.1 16.6 15.6 -6.7 -2.0 10.5 7.3 CORN -13.3 9.5 15.9 1.4 -12.6 2.1 -9.6 0.3 -3.0 -6.8 -6.7 -12.0 -15.9 -7.6 2.2 -17.8 -12.1 -18.5 -16.8 -3.6 -5.4 -13.0 -13.3 -10.1 -14.9 -1.0 -0.3 -2.4 -5.4 -5.9 -4.2 -20.0 -4.0 -12.4 -0.9 -3.4 -20.0 -20.0 -20.0 -1.3 COTTON2 1.9 -20.0 -18.4 0.8 -7.5 1.3 -5.8 0.2 -1.8 -9.6 -8.6 -9.2 -5.5 -9.8 -10.2 -4.9 2.5 2.3 2.9 -13.2 -10.2 -9.8 -5.2 -11.0 -18.5 -3.1 -2.2 -1.4 -2.6 0.2 -3.1 -0.6 -8.7 -8.6 -20.0 -10.1 -5.9 -11.6 8.6 -0.4 CRUDE_W -10.7 -19.3 0.2 -4.8 -3.8 -0.5 -8.7 2.2 -8.4 -9.7 3.2 -12.9 13.8 -18.2 -7.2 10.9 12.0 13.0 12.7 -10.0 1.8 -20.0 9.8 -19.7 -5.0 -6.3 -4.1 -0.9 -9.8 2.5 -10.6 -0.2 -20.0 -19.5 -15.6 3.0 20.0 16.8 20.0 20.0 DAX -8.5 0.1 5.2 4.6 3.3 7.2 2.4 8.1 2.8 -4.3 20.0 -9.1 20.0 7.4 15.4 -10.9 -11.5 -11.5 -11.9 14.4 20.0 -3.5 20.0 2.8 13.3 6.5 -0.9 11.5 -1.8 12.1 0.7 -9.3 -17.5 -13.7 4.5 20.0 0.1 5.8 -2.3 12.0 DOW -11.1 -5.3 -15.9 3.1 2.2 4.8 1.6 5.4 1.9 11.1 10.9 -4.3 11.6 -2.1 -1.5 -10.8 -11.2 -11.4 -11.6 -0.2 5.9 -2.4 11.1 -3.7 -11.5 1.0 2.1 4.1 -0.6 6.6 -1.0 -8.6 -4.4 -11.3 -2.8 -11.7 7.2 -4.6 12.4 -9.7 DX -10.1 -7.4 6.6 1.3 -4.2 -0.5 2.9 1.2 4.2 3.4 13.5 -8.6 13.5 -12.8 6.3 7.8 6.9 7.6 7.2 1.0 7.9 -3.9 9.6 -5.8 -20.0 0.5 5.1 4.2 -2.2 5.2 -3.4 16.6 -6.8 -20.0 -2.5 16.9 3.2 8.2 4.8 16.8 EUR 6.6 8.0 -2.2 1.3 -4.3 -0.5 3.0 1.3 4.3 -9.0 -6.7 4.7 -8.9 17.1 3.6 -7.6 -7.0 -7.3 -7.0 3.3 -2.2 1.4 -4.4 6.4 20.0 3.7 -8.9 1.1 0.8 -0.4 4.8 -7.4 -7.2 1.6 7.9 7.7 -18.4 -19.2 -14.9 -14.4 EURIBOR-ICE -2.4 -9.1 -17.7 -0.8 0.6 -1.5 1.9 -1.8 0.7 -2.2 -2.4 -3.0 0.1 -4.7 -6.8 -7.2 -4.8 -6.0 -4.8 -5.6 -4.1 -1.9 -1.5 -3.7 11.8 -2.5 -2.1 -1.6 -0.9 -0.3 -1.7 -1.0 -5.4 -6.5 -8.4 -3.8 -20.0 -20.0 1.9 8.0 EUROSTX -9.0 -5.6 3.4 4.8 3.4 7.4 2.5 8.4 2.9 13.1 20.0 3.7 20.0 10.5 17.9 -8.4 -1.8 -6.3 -3.6 13.9 20.0 6.0 20.0 5.7 -2.3 7.2 5.3 12.8 2.2 14.4 2.3 6.9 -2.0 -7.5 7.2 19.4 -16.1 4.6 -20.0 7.2 FEEDCOW 7.0 2.9 -9.3 1.6 -14.7 2.5 -11.2 0.3 -3.5 -15.6 1.9 -7.8 -3.1 2.5 -2.2 -17.6 -20.0 -20.0 -20.0 -1.8 -3.2 -14.7 -1.0 -4.4 -7.0 -2.8 -8.4 -1.4 -9.4 1.6 -5.8 -20.0 -20.0 1.9 2.2 -13.8 14.8 20.0 20.0 20.0 GASOIL -6.5 -20.0 -7.0 -4.3 -3.4 -0.4 -7.8 2.0 -7.6 -8.8 -0.2 -14.3 12.4 -20.0 -18.0 -4.6 14.7 1.9 8.8 -16.7 -4.7 -20.0 7.9 -20.0 6.4 -6.3 -4.2 -2.1 -8.2 2.1 -8.3 0.1 -0.2 -1.6 -10.1 -12.0 -18.3 -11.5 -20.0 -20.0 GASOLINE -12.6 -20.0 1.6 -4.3 -3.4 -0.4 -7.8 2.0 -7.6 -7.6 7.0 -13.4 13.7 -18.9 -9.8 18.7 14.1 18.1 13.7 -12.3 1.3 -16.1 10.3 -20.0 -20.0 -5.6 -1.7 -0.5 -6.5 3.2 -8.6 1.6 -8.6 -7.3 -10.6 3.7 20.0 20.0 20.0 20.0 GAS_US_mini 10.8 20.0 20.0 -3.0 -2.4 -0.3 -5.4 1.4 -5.3 12.3 -11.5 4.9 -14.3 7.2 4.2 -20.0 -20.0 -20.0 -20.0 5.8 -4.1 9.2 -16.9 8.7 20.0 2.3 6.0 -1.9 3.6 -5.2 3.7 -20.0 18.2 20.0 20.0 -2.6 -4.2 -5.7 -10.6 -10.7 GBP 14.0 9.5 -3.1 1.4 -4.6 -0.5 3.2 1.4 4.6 -1.1 13.3 19.8 5.7 20.0 10.9 -0.9 -0.8 -0.9 -0.8 11.7 5.6 10.3 4.5 16.5 1.4 6.8 -2.2 4.5 5.0 3.3 8.3 3.2 0.2 20.0 17.1 14.8 -11.8 -18.7 -12.0 -9.5 GOLD_micro -16.9 -12.3 13.1 0.8 -5.5 1.7 -4.5 1.2 -2.0 -4.5 9.0 -6.9 8.9 -3.5 7.6 -11.1 -13.9 -12.4 -13.3 5.8 10.4 -4.6 9.7 -0.8 -3.0 2.0 -3.1 4.3 -2.3 4.3 -1.1 -14.2 10.4 -2.5 -0.8 19.2 -4.6 -12.6 3.6 -5.1 HEATOIL -6.8 -19.9 -7.7 -4.5 -3.5 -0.4 -8.1 2.1 -7.9 -8.5 -8.9 -13.3 6.5 -20.0 -19.7 -10.3 13.7 -2.7 5.9 -20.0 -9.3 -19.8 2.5 -20.0 -20.0 -7.3 -2.2 -3.0 -7.6 1.1 -9.6 -3.0 -20.0 -20.0 -20.0 -18.8 6.6 5.9 -0.3 0.7 JGB-SGX-mini -3.3 -12.8 -17.8 -1.0 0.7 -1.9 2.3 -2.2 0.9 3.5 -2.9 -1.1 0.5 -6.5 -9.4 20.0 17.7 19.4 17.4 -9.9 -7.5 0.0 -2.6 -6.7 -9.4 -3.5 1.2 -2.9 -0.0 -1.7 -2.3 20.0 -7.7 -14.1 -14.7 -8.4 -18.4 -6.0 -1.7 13.9 JPY 1.4 8.0 -3.2 0.6 -2.0 -0.2 1.4 0.6 2.0 -2.5 -11.0 -2.5 -11.4 -7.3 -10.1 -14.2 -16.2 -15.2 -15.8 -9.6 -12.9 -1.1 -15.5 -4.7 20.0 -3.7 -0.6 -4.8 -0.2 -5.4 -1.6 -20.0 -0.5 -10.1 -14.9 -16.6 -20.0 -10.8 -17.7 -10.4 LEANHOG -20.0 -20.0 5.3 1.9 -17.2 2.9 -13.1 0.4 -4.1 -20.0 1.1 -20.0 -3.9 -20.0 -19.1 17.4 -20.0 -20.0 -20.0 -20.0 -8.8 -20.0 -4.5 -20.0 7.6 -6.8 -9.7 -1.2 -11.1 0.0 -10.8 -20.0 -17.9 -20.0 -20.0 -8.7 -12.7 -10.2 -6.5 7.3 LIVECOW 12.1 7.9 -1.9 1.7 -15.5 2.6 -11.8 0.3 -3.7 -20.0 6.4 2.0 1.3 10.2 4.3 20.0 9.9 20.0 17.8 7.7 3.7 -6.5 3.1 5.8 -7.9 4.0 -6.7 3.8 -3.9 5.1 1.5 17.9 -5.8 20.0 13.7 7.4 14.3 20.0 20.0 20.0 LUMBER-new 0.3 -13.5 -16.3 1.4 -12.3 2.1 -9.4 0.6 -2.9 -2.1 -11.8 -9.0 -12.6 -13.6 -15.3 -17.7 -17.9 -19.9 -19.0 -20.0 -16.0 -13.3 -9.5 -19.0 NaN -5.8 -0.0 -4.3 -3.5 -2.2 -5.3 -20.0 -5.8 -20.0 -20.0 -20.0 -13.5 -11.0 -4.3 -7.0 MILK 4.5 20.0 20.0 1.1 -9.7 1.6 -7.4 0.2 -2.3 -0.3 4.3 3.9 -7.4 11.7 12.2 -1.5 -20.0 -10.0 -20.0 18.4 8.6 8.6 -4.9 17.3 15.4 4.4 -0.1 1.9 2.4 -1.2 4.5 -20.0 20.0 20.0 20.0 11.9 -17.0 -20.0 -13.3 -20.0 MXP -13.1 -13.6 -20.0 1.1 5.3 -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 14.5 8.5 -5.0 3.1 2.2 4.8 1.6 5.5 1.9 11.5 14.5 11.9 14.9 13.6 12.7 -11.1 -10.5 -10.9 -10.9 14.3 15.3 15.3 19.8 16.0 -20.0 4.2 5.6 5.2 5.2 7.8 4.9 -7.3 6.2 17.8 5.6 -5.3 -0.9 1.8 -3.3 1.9 NIKKEI 2.1 -8.6 -0.9 3.9 2.7 6.0 2.0 6.8 2.4 7.1 12.6 4.3 15.8 4.5 0.1 6.7 8.6 5.0 6.5 4.1 15.3 1.4 20.0 1.3 -18.1 2.1 0.5 8.9 0.6 15.6 0.4 20.0 -4.0 -0.2 -15.7 -3.2 -4.4 -7.5 -7.1 -10.9 NZD 12.9 14.2 -2.5 1.1 -3.4 -0.4 2.4 1.0 3.4 -5.8 0.9 12.5 -3.0 16.6 9.7 0.1 0.2 0.1 0.2 8.9 2.2 8.0 -1.6 13.2 1.0 4.3 -3.3 1.4 3.7 -0.0 6.2 4.9 2.5 14.3 16.8 4.5 0.5 -4.9 4.7 5.0 OAT -3.7 -5.5 -8.7 -1.1 0.8 -1.9 2.4 -2.3 0.9 -0.7 -2.5 -3.1 -1.2 -4.9 -7.7 3.2 5.8 4.6 5.0 -5.2 -4.0 -2.1 -3.0 -3.9 2.0 -2.5 -2.6 -1.2 -1.5 -0.4 -2.4 16.3 -10.1 -7.6 -5.2 3.1 -20.0 -18.5 0.9 -2.8 OATIES -14.1 20.0 11.7 0.8 -6.9 1.2 -5.3 0.1 -1.6 -8.0 -1.8 -7.5 -6.7 -0.4 2.3 -0.1 2.0 6.1 5.1 2.3 0.6 -7.8 -2.4 -1.3 -20.0 1.7 -3.9 1.0 -2.3 -0.2 0.3 0.6 3.4 -2.9 16.2 3.7 -5.9 -1.2 5.7 12.5 OJ 7.2 15.0 -0.4 1.4 -12.5 2.1 -9.6 0.3 -3.0 -13.9 13.3 2.7 15.6 9.6 13.6 15.2 13.5 12.1 11.4 20.0 20.0 -0.5 20.0 20.0 -20.0 5.2 -2.9 4.4 -0.2 5.3 3.8 16.4 -20.0 20.0 20.0 20.0 4.2 8.9 17.0 20.0 PALLAD -7.2 -6.2 3.1 0.7 -4.7 1.5 -3.9 1.0 -1.7 -7.5 -5.2 -8.2 -8.1 -8.1 -4.2 -2.7 -2.3 -2.5 -2.3 -5.1 -5.1 -7.8 -10.0 -7.2 14.1 -2.6 -2.8 -1.8 -4.0 -2.8 -4.0 5.5 3.7 -6.6 -10.5 -11.0 -20.0 -20.0 -20.0 -16.5 PLAT -7.7 11.7 12.9 0.8 -5.8 1.8 -4.8 1.3 -2.1 -9.8 4.4 -8.3 -3.4 1.7 4.7 -5.0 -4.0 -4.9 -4.5 6.3 5.5 -9.4 1.7 0.2 8.4 1.8 -5.5 2.1 -4.3 1.2 -1.1 2.0 -4.5 1.4 6.6 0.4 -20.0 -7.8 3.3 5.4 REDWHEAT 1.4 20.0 20.0 1.3 -11.7 2.0 -8.9 0.2 -2.8 -15.1 6.6 -6.4 -10.1 9.4 12.0 -11.4 -2.6 -7.8 -4.7 17.5 9.4 -9.4 -5.2 8.9 -7.2 4.4 -4.8 2.5 -2.4 -0.8 2.1 -10.8 -13.3 11.7 20.0 15.2 -13.0 -20.0 -1.8 -18.2 RICE 0.1 20.0 0.5 1.4 -13.0 2.2 -9.9 0.3 -3.1 -6.7 14.3 -6.3 14.3 14.9 16.7 20.0 20.0 20.0 20.0 16.8 16.2 -0.3 14.9 10.0 -12.4 4.0 -0.3 3.0 0.2 2.4 2.9 20.0 20.0 10.7 20.0 -2.1 -8.0 -5.1 -6.6 -0.4 ROBUSTA 20.0 -20.0 -6.4 0.7 -6.4 1.1 -4.9 0.1 -1.5 1.6 7.5 7.7 8.3 6.3 6.0 17.0 20.0 19.0 20.0 12.7 13.6 14.2 13.8 14.6 -20.0 3.2 0.4 4.4 2.0 4.8 2.5 20.0 20.0 20.0 17.2 20.0 -1.1 -11.0 6.7 3.9 RUSSELL -4.6 0.2 -0.3 3.3 2.4 5.2 1.7 5.9 2.1 -10.5 11.5 -10.4 10.9 3.8 2.0 -7.5 -6.7 -7.2 -6.9 1.7 5.3 -7.3 6.6 -2.3 -1.9 1.4 -5.9 3.5 -3.6 4.4 -1.0 -0.5 -13.6 -9.9 -4.3 -10.3 -2.9 -20.0 -3.8 -20.0 SHATZ 0.0 -5.8 -16.7 -0.9 0.6 -1.6 2.0 -1.9 0.8 -3.8 -9.1 -4.1 -8.9 -6.8 -8.4 -20.0 -20.0 -20.0 -20.0 -9.8 -11.9 -2.7 -12.5 -5.6 7.7 -3.2 -1.9 -3.5 -0.9 -3.2 -1.9 -20.0 -4.2 -8.8 -11.2 -11.3 -20.0 -19.1 -14.9 -14.9 SILVER-mini -2.9 1.4 18.8 0.7 -4.9 1.6 -4.1 1.1 -1.8 -6.2 7.7 0.4 5.8 4.5 7.7 -6.0 -6.6 -6.4 -6.6 9.1 8.5 -1.9 5.5 5.0 1.9 2.7 -2.3 3.2 -1.5 2.4 0.5 -2.0 0.3 11.3 9.6 16.1 -9.7 -12.7 7.8 3.8 SMI 15.0 17.6 12.6 4.2 3.0 6.5 2.2 7.3 2.6 17.6 19.0 19.3 16.2 19.3 18.6 -3.3 2.5 -1.6 0.8 20.0 20.0 20.0 16.2 20.0 15.2 7.3 7.8 6.7 7.1 4.9 7.0 14.3 20.0 20.0 20.0 16.2 10.1 1.0 9.1 -0.6 SOFR 10.4 7.8 -8.6 -1.1 0.8 -2.1 2.6 -2.5 1.0 4.4 -3.0 6.1 -4.1 6.1 -3.0 -4.0 -1.2 -3.1 -2.0 -0.4 -4.2 7.4 -5.1 5.1 -2.8 1.3 0.8 -0.4 4.2 -0.9 3.8 4.5 9.3 12.4 7.5 2.1 -1.1 -20.0 13.1 -0.1 SOYBEAN -11.9 10.7 9.2 1.4 -12.9 2.2 -9.8 0.3 -3.1 -12.7 -8.0 -14.6 -5.8 -7.6 2.4 0.4 8.1 0.7 3.2 -3.5 -4.3 -20.0 -7.8 -12.8 -20.0 -0.7 -6.7 -0.8 -8.5 -1.9 -4.8 4.8 -18.7 -15.0 -2.5 0.2 -19.1 -20.0 -15.5 -20.0 SOYMEAL -11.8 20.0 10.5 1.1 -9.6 1.6 -7.3 0.2 -2.3 -10.0 -7.6 -11.6 -8.4 -1.3 2.1 5.2 6.0 1.9 2.1 2.2 -1.2 -11.4 -5.6 -4.6 -20.0 2.6 -1.5 1.0 -1.7 -0.5 0.7 1.9 -3.0 -5.0 18.3 6.9 -20.0 -20.0 -20.0 -20.0 SOYOIL 5.6 -0.4 9.1 0.8 -7.4 1.3 -5.7 0.2 -1.8 -6.2 -8.5 -4.8 -9.1 -4.8 -6.1 -4.3 -0.9 -5.7 -4.6 -5.2 -7.2 -6.7 -8.7 -4.8 -20.0 -2.8 -3.1 -2.6 -3.4 -2.4 -3.0 -9.8 -0.7 -0.1 -17.4 -8.0 -20.0 -18.5 -4.5 0.9 SP400 -11.6 -5.6 0.8 3.4 2.4 5.3 1.8 6.0 2.1 -11.0 12.7 -11.5 12.6 0.8 2.7 -8.6 -6.0 -7.2 -6.5 2.5 10.0 -9.1 13.0 -4.5 -12.7 2.2 -4.4 5.6 -3.4 6.9 -1.1 0.5 -12.1 -13.1 -6.6 -0.3 -2.7 -10.6 -2.2 -20.0 SP500_micro 7.9 4.7 -0.8 3.9 2.8 6.1 2.1 6.9 2.4 16.7 18.7 15.8 18.5 17.2 16.3 -12.8 -12.0 -12.7 -12.5 17.7 20.0 15.9 20.0 16.5 -20.0 5.9 6.2 8.2 5.6 10.5 5.5 -10.0 10.1 15.5 5.6 3.8 3.7 -1.0 6.4 -1.0 SUGAR11 4.8 -10.5 -20.0 1.2 -11.2 1.9 -8.6 0.2 -2.7 9.1 -15.3 3.0 -7.0 -8.9 -14.1 0.9 12.5 3.8 8.1 -18.3 -20.0 4.7 -11.9 -7.2 -20.0 -5.4 1.4 -5.7 0.4 -3.1 -2.9 13.3 20.0 -12.3 -20.0 -20.0 20.0 16.5 20.0 20.0 US10 8.5 7.3 -4.0 -1.0 0.7 -1.8 2.2 -2.1 0.8 3.3 -3.3 4.7 -5.6 4.4 -3.3 -6.7 -7.3 -6.4 -6.8 -1.1 -4.2 5.1 -6.5 3.2 2.6 1.0 0.6 -0.5 3.6 -1.4 3.2 -5.2 6.4 8.6 5.8 1.9 -7.2 -20.0 5.3 1.8 US10U 9.5 7.6 -3.1 -1.4 1.0 -2.6 3.2 -3.0 1.2 5.0 -4.4 7.3 -7.8 6.8 -4.6 -4.9 -2.2 -4.7 -3.5 -1.3 -6.0 7.8 -9.7 5.0 0.4 1.8 1.1 -0.5 5.4 -2.0 4.8 2.3 9.0 13.2 8.5 4.3 -7.0 -16.6 17.9 9.1 US2 7.5 3.6 -11.2 -1.0 0.7 -1.8 2.2 -2.1 0.9 2.1 -8.4 2.4 -9.4 0.6 -7.0 -20.0 -20.0 -20.0 -20.0 -5.7 -9.5 3.1 -12.1 -0.1 13.6 -1.6 -0.7 -2.8 1.8 -3.3 0.7 -20.0 4.1 0.6 -1.0 -7.7 -13.1 -20.0 -8.1 -18.8 US20 9.5 7.5 -1.6 -1.0 0.7 -1.8 2.3 -2.2 0.9 4.4 -0.0 5.8 -3.4 5.7 -1.8 -1.1 -0.7 -0.7 -0.6 0.4 -2.7 6.5 -5.4 4.6 -0.9 2.1 1.4 0.6 4.3 -0.6 4.0 6.0 7.9 12.9 8.9 7.0 -11.5 -12.2 20.0 14.5 US30 9.3 6.6 -0.8 -1.2 0.8 -2.2 2.7 -2.6 1.0 5.3 -1.6 6.8 -5.3 6.2 -3.0 -4.8 -5.0 -4.1 -4.7 -0.2 -3.7 7.1 -7.2 4.7 -0.3 2.2 1.9 0.4 5.1 -1.1 4.6 -1.5 7.3 13.5 8.2 8.1 -17.3 -11.3 9.1 16.3 US5 8.9 6.9 -7.3 -1.0 0.7 -1.9 2.3 -2.2 0.9 3.4 -6.6 4.7 -7.9 3.8 -4.8 -9.3 -10.1 -9.6 -9.8 -2.3 -5.9 5.2 -8.1 2.8 6.0 0.3 0.4 -1.3 3.4 -2.0 2.7 -10.1 6.7 7.1 4.4 -1.5 -6.6 -20.0 1.8 -7.2 VIX -2.6 -15.9 5.3 -7.1 -2.4 -7.4 -3.5 -8.7 -5.7 -18.4 -20.0 -18.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.8 -20.0 -17.3 NaN -8.2 -2.7 -8.5 -4.0 -10.4 -6.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -4.5 20.0 20.0 1.1 -10.1 1.7 -7.7 0.2 -2.4 -13.2 8.1 -8.4 -7.1 8.0 10.5 -15.5 -13.9 -16.3 -15.4 14.4 9.4 -14.3 -2.8 4.1 0.8 3.6 -5.2 2.3 -2.8 -0.1 1.3 -20.0 -18.0 7.0 20.0 13.3 -11.0 -20.0 -6.2 -20.0 End of report for caleb_strategy_v3