******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240624_204013 produced at 2024-06-24 21:38:29.264563 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 VIX False False 0.01 -0.28 -0.34 0.0 999.00 -999.00 -0.28 -0.28 -67.42 999999999.0 -56 -56 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.13 0.0 0.00 0.00 0.00 0.00 -3.71 24.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.65 -0.12 0.0 0.81 -0.81 -0.65 -0.65 -1.48 10.0 -8 -8 caleb_strategy_v3 JPY False False 0.02 -0.07 -0.11 0.0 0.42 -0.42 -0.07 -0.07 -4.40 17.0 -3 -3 caleb_strategy_v3 US2 False True 0.06 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -1.70 13.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.10 -0.10 0.0 0.12 -0.12 -0.10 -0.10 -10.80 13.0 -11 -11 caleb_strategy_v3 OAT False False 0.04 0.00 -0.09 0.0 0.42 -0.42 0.00 0.00 -2.06 10.0 0 0 caleb_strategy_v3 BTP False False 0.04 -0.04 -0.08 0.0 0.39 -0.39 -0.04 -0.04 -2.15 10.0 -1 -1 caleb_strategy_v3 CAD False False 0.02 -0.05 -0.08 0.0 0.67 -0.67 -0.05 -0.05 -3.49 29.0 -2 -2 caleb_strategy_v3 EUR False False 0.04 -0.04 -0.07 0.0 0.59 -0.59 -0.04 -0.04 -1.55 14.0 -1 -1 caleb_strategy_v3 MXP False False 0.01 -0.09 -0.06 0.0 0.52 -0.52 -0.09 -0.08 -6.41 60.0 -10 -9 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.06 0.0 0.08 -0.08 -0.05 -0.05 -8.45 12.0 -7 -7 caleb_strategy_v3 CANOLA False False 0.00 -0.03 -0.05 0.0 0.14 -0.14 -0.03 -0.03 -18.16 51.0 -9 -9 caleb_strategy_v3 CAC True False 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.69 12.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.09 -0.04 0.0 0.57 -0.57 -0.09 -0.09 -1.00 13.0 -2 -2 caleb_strategy_v3 LUMBER-new False False 0.00 -0.00 -0.03 0.0 0.01 -0.01 -0.00 -0.00 -7.16 3.0 -1 -1 caleb_strategy_v3 HEATOIL False False 0.03 0.00 -0.03 0.0 0.10 -0.10 0.00 0.00 -0.99 3.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.03 0.0 0.13 -0.13 -0.03 -0.05 -2.84 11.0 -3 -4 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.03 0.0 0.19 -0.19 0.00 0.00 -0.37 2.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.09 -0.03 0.0 0.12 -0.12 -0.09 -0.09 -1.57 7.0 -5 -5 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.03 0.0 0.74 -0.74 0.00 0.00 -0.86 19.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -15.01 59.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.01 -0.03 0.0 0.27 -0.27 -0.01 -0.01 -4.51 36.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 -0.06 -0.03 0.0 0.22 -0.22 -0.06 -0.07 -10.14 68.0 -18 -21 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.02 0.0 0.08 -0.08 -0.02 -0.02 -1.63 9.0 -2 -2 caleb_strategy_v3 OATIES False True 0.00 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.50 2.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.01 -0.02 0.0 0.08 -0.08 -0.01 -0.02 -1.89 10.0 -1 -2 caleb_strategy_v3 DOW False False 0.01 0.00 -0.02 0.0 0.41 -0.41 0.00 0.00 -3.82 66.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.02 -0.02 0.0 0.33 -0.33 0.02 0.00 -1.12 20.0 1 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -1.23 9.0 0 0 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.01 0.0 0.44 -0.44 -0.04 -0.04 -0.21 10.0 -1 -1 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.01 0.0 0.18 -0.18 0.00 0.00 -0.19 4.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 -0.02 -1.45 8.0 0 -2 caleb_strategy_v3 PALLAD False False 0.03 -0.06 -0.01 0.0 0.06 -0.06 -0.06 -0.06 -0.31 2.0 -2 -2 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 -0.01 0.0 0.41 -0.41 -0.01 -0.05 -1.77 56.0 -2 -7 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.01 0.0 0.33 -0.33 -0.04 0.00 -0.24 8.0 -1 0 caleb_strategy_v3 COPPER False False 0.03 0.03 -0.00 0.0 999.00 -999.00 0.03 0.00 -0.05 999999999.0 1 0 caleb_strategy_v3 DAX False False 0.01 0.02 0.00 0.0 0.36 -0.36 0.02 0.02 0.43 58.0 3 3 caleb_strategy_v3 GAS_US_mini False False 0.00 0.01 0.00 0.0 0.06 -0.06 0.01 0.01 1.09 26.0 4 5 caleb_strategy_v3 US5 False False 0.03 -0.07 -0.00 0.0 0.83 -0.83 -0.07 -0.03 -0.13 25.0 -2 -1 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.00 0.0 0.12 -0.12 -0.01 -0.01 -0.13 18.0 -1 -1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.19 999999999.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.64 -0.64 0.00 0.02 0.20 26.0 0 1 caleb_strategy_v3 MILK False False 0.01 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.25 5.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.01 0.0 0.17 -0.17 0.00 0.00 0.24 6.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.31 -0.31 0.03 0.01 0.73 23.0 2 1 caleb_strategy_v3 US30 False False 0.04 0.04 0.01 0.0 0.24 -0.24 0.04 0.04 0.21 6.0 1 1 caleb_strategy_v3 PLAT False False 0.02 0.00 0.01 0.0 0.16 -0.16 0.00 0.03 0.37 10.0 0 2 caleb_strategy_v3 GASOIL False False 0.02 -0.02 0.01 0.0 0.10 -0.10 -0.02 0.00 0.32 4.0 -1 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.06 -0.06 0.02 0.02 0.56 3.0 1 1 caleb_strategy_v3 GBP False False 0.02 0.00 0.01 0.0 0.55 -0.55 0.00 0.00 0.57 22.0 0 0 caleb_strategy_v3 US10 False False 0.03 0.00 0.01 0.0 0.59 -0.59 0.00 0.00 0.24 17.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.53 9.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.07 0.02 0.0 0.46 -0.46 0.07 0.07 0.54 13.0 2 2 caleb_strategy_v3 GASOLINE False False 0.03 0.03 0.02 0.0 999.00 -999.00 0.03 0.03 0.54 999999999.0 1 1 caleb_strategy_v3 AUD False False 0.02 0.10 0.03 0.0 0.40 -0.40 0.10 0.10 1.43 19.0 5 5 caleb_strategy_v3 NZD False False 0.02 0.04 0.03 0.0 0.40 -0.40 0.04 0.04 1.82 21.0 2 2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.04 0.03 0.0 0.28 -0.28 0.04 0.04 2.55 23.0 3 3 caleb_strategy_v3 RICE False True 0.01 0.00 0.04 0.0 0.00 0.00 0.00 0.00 4.11 4.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.10 0.06 0.0 0.42 -0.42 0.10 0.09 7.48 48.0 11 10 caleb_strategy_v3 DX False False 0.03 0.13 0.08 0.0 999.00 -999.00 0.13 0.13 2.40 999999999.0 4 4 caleb_strategy_v3 CRUDE_W False False 0.02 0.07 0.12 0.0 0.12 -0.12 0.07 0.10 5.06 5.0 3 4 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.03 0.13 0.0 0.45 -0.45 -0.03 0.00 4.76 16.0 -1 0 caleb_strategy_v3 LIVECOW False False 0.02 0.18 0.14 0.0 0.39 -0.39 0.18 0.18 5.89 17.0 8 8 caleb_strategy_v3 SMI False True 0.04 0.00 0.16 0.0 0.00 0.00 0.00 0.00 3.65 9.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 0.56 0.0 0.00 0.00 0.00 0.00 7.46 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 13.4 Shocked risk 42.6 Sum abs risk 43.9 Leverage 3.48 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3199055.44, 'annual_cash_vol_target': 799763.86, 'daily_cash_vol_target': 49985.24125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0039 0.6676 0.5788 9.2613 BITCOIN 1551.2578 60735.0000 2.5541 40.8663 BOBL 0.2819 116.7600 0.2414 3.8629 BTP 0.5853 116.5600 0.5022 8.0348 BUND 0.5773 132.4900 0.4357 6.9716 BUXL 1.4259 132.4800 1.0763 17.2205 CAC 70.7831 7706.0000 0.9185 14.6967 CAD 0.0025 0.7340 0.3446 5.5129 CANOLA 7.9078 616.6000 1.2825 20.5199 CHF 0.0051 1.1312 0.4474 7.1591 COCOA 339.7578 7884.0000 4.3095 68.9513 COFFEE 4.5952 237.1000 1.9381 31.0093 COPPER 0.0744 4.4290 1.6808 26.8935 CORN 5.2536 451.5000 1.1636 18.6176 COTTON2 1.1487 73.4400 1.5642 25.0267 CRUDE_W 1.0046 78.5500 1.2789 20.4630 DAX 137.8713 18421.0000 0.7484 11.9751 DOW 230.4306 39854.0000 0.5782 9.2510 DX 0.3816 105.1050 0.3630 5.8084 EUR 0.0046 1.0780 0.4231 6.7703 EURIBOR-ICE 0.0517 97.4550 0.0531 0.8490 EUROSTX 44.6156 4983.0000 0.8954 14.3257 FEEDCOW 1.8532 260.6500 0.7110 11.3757 GASOIL 10.5116 783.7500 1.3412 21.4590 GASOLINE 0.0349 2.4648 1.4167 22.6680 GAS_US_mini 0.1047 2.9200 3.5860 57.3760 GBP 0.0055 1.2700 0.4293 6.8690 GOLD_micro 22.6856 2346.6000 0.9667 15.4679 HEATOIL 0.0350 2.5648 1.3632 21.8113 JGB-SGX-mini 0.2376 143.4600 0.1656 2.6495 JPY 0.0000 0.0063 0.5894 9.4302 LEANHOG 1.1316 74.0500 1.5282 24.4509 LIVECOW 1.3107 184.8750 0.7089 11.3431 LUMBER-new 9.7630 477.0000 2.0467 32.7479 MILK 0.2934 20.8300 1.4088 22.5400 MXP 0.0006 0.0550 1.1539 18.4617 NASDAQ_micro 141.9589 19818.2500 0.7163 11.4609 NIKKEI 320.5531 38785.0000 0.8265 13.2238 NZD 0.0036 0.6130 0.5826 9.3211 OAT 0.5213 124.3900 0.4191 6.7056 OATIES 7.3572 316.7500 2.3227 37.1633 OJ 8.2568 420.9500 1.9615 31.3834 PALLAD 23.6113 978.5000 2.4130 38.6082 PLAT 15.9570 1013.2000 1.5749 25.1986 REDWHEAT 11.5583 601.7500 1.9208 30.7324 RICE 0.1456 15.5450 0.9367 14.9872 ROBUSTA 72.3701 4250.0000 1.7028 27.2452 RUSSELL 20.0950 2062.4000 0.9744 15.5896 SHATZ 0.0921 105.7800 0.0871 1.3932 SILVER-mini 0.6264 29.9500 2.0916 33.4658 SMI 79.9849 12193.0000 0.6560 10.4958 SOFR 0.0671 96.3950 0.0696 1.1132 SOYBEAN 10.6594 1130.0000 0.9433 15.0930 SOYMEAL 4.6380 343.5000 1.3502 21.6035 SOYOIL 0.6175 43.7000 1.4129 22.6070 SP400 23.7911 2997.0000 0.7938 12.7013 SP500_micro 28.8736 5534.2500 0.5217 8.3476 SUGAR11 0.3019 19.7000 1.5323 24.5169 US10 0.4057 110.4844 0.3672 5.8758 US10U 0.5510 114.3594 0.4818 7.7090 US2 0.1032 102.1719 0.1010 1.6157 US20 0.8121 119.9375 0.6771 10.8337 US30 1.2083 127.9688 0.9442 15.1077 US5 0.2632 106.8125 0.2464 3.9432 VIX 0.3660 16.0500 2.2803 36.4852 WHEAT 10.5151 594.7500 1.7680 28.2877 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 667.60 0.58 386.43 1.00 386.43 49985.24 129.35 4.26 55.08 BITCOIN 60.74 2.55 155.13 1.00 155.13 49985.24 322.22 -4.30 -138.61 BOBL 1167.60 0.24 281.89 1.07 302.16 49985.24 165.43 -5.14 -85.08 BTP 1165.60 0.50 585.33 1.07 627.42 49985.24 79.67 -7.92 -63.07 BUND 1324.90 0.44 577.29 1.07 618.80 49985.24 80.78 -2.56 -20.65 BUXL 1324.80 1.08 1425.86 1.07 1528.38 49985.24 32.70 -5.71 -18.68 CAC 770.60 0.92 707.83 1.07 758.72 49985.24 65.88 -7.52 -49.51 CAD 733.95 0.34 252.89 1.00 252.89 49985.24 197.66 -6.80 -134.43 CANOLA 123.32 1.28 158.16 0.73 115.65 49985.24 432.20 -17.27 -746.37 CHF 1414.00 0.45 632.68 1.00 632.68 49985.24 79.01 -4.89 -38.66 COCOA 788.40 4.31 3397.58 1.00 3397.58 49985.24 14.71 6.33 9.31 COFFEE 889.12 1.94 1723.20 1.00 1723.20 49985.24 29.01 6.97 20.22 COPPER 1107.25 1.68 1861.12 1.00 1861.12 49985.24 26.86 -0.16 -0.44 CORN 225.75 1.16 262.68 1.00 262.68 49985.24 190.29 -18.25 -347.36 COTTON2 367.20 1.56 574.36 1.00 574.36 49985.24 87.03 -15.23 -132.57 CRUDE_W 785.50 1.28 1004.61 1.00 1004.61 49985.24 49.76 9.40 46.76 DAX 184.21 0.75 137.87 1.07 147.78 49985.24 338.23 0.37 12.63 DOW 199.27 0.58 115.22 1.00 115.22 49985.24 433.84 -3.79 -164.39 DX 1051.05 0.36 381.56 1.00 381.56 49985.24 131.00 7.05 92.33 EUR 1347.50 0.42 570.19 1.00 570.19 49985.24 87.66 -6.82 -59.80 EURIBOR-ICE 2436.38 0.05 129.28 1.07 138.58 49985.24 360.70 -1.21 -43.47 EUROSTX 498.30 0.90 446.16 1.07 478.23 49985.24 104.52 -3.14 -32.86 FEEDCOW 1303.25 0.71 926.59 1.00 926.59 49985.24 53.95 -1.35 -7.27 GASOIL 783.75 1.34 1051.16 1.00 1051.16 49985.24 47.55 1.55 7.36 GASOLINE 1035.22 1.42 1466.64 1.00 1466.64 49985.24 34.08 3.63 12.36 GAS_US_mini 73.00 3.59 261.78 1.00 261.78 49985.24 190.95 0.53 10.05 GBP 793.75 0.43 340.76 1.00 340.76 49985.24 146.69 1.50 21.97 GOLD_micro 234.66 0.97 226.86 1.00 226.86 49985.24 220.34 -2.35 -51.77 HEATOIL 1077.22 1.36 1468.47 1.00 1468.47 49985.24 34.04 -6.70 -22.81 JGB-SGX-mini 143460.00 0.17 23755.68 0.01 149.42 49985.24 334.52 1.31 43.97 JPY 793.25 0.59 467.53 1.00 467.53 49985.24 106.91 -15.86 -169.55 LEANHOG 296.20 1.53 452.65 1.00 452.65 49985.24 110.43 -16.10 -177.75 LIVECOW 739.50 0.71 524.26 1.00 524.26 49985.24 95.34 18.63 177.61 LUMBER-new 131.18 2.05 268.48 1.00 268.48 49985.24 186.18 -17.96 -334.45 MILK 416.60 1.41 586.89 1.00 586.89 49985.24 85.17 1.39 11.86 MXP 274.85 1.15 317.14 1.00 317.14 49985.24 157.61 -2.77 -43.68 NASDAQ_micro 396.36 0.72 283.92 1.00 283.92 49985.24 176.06 6.24 109.93 NIKKEI 38785.00 0.83 32055.31 0.01 201.63 49985.24 247.91 -1.68 -41.67 NZD 613.00 0.58 357.12 1.00 357.12 49985.24 139.97 5.00 70.02 OAT 1243.90 0.42 521.32 1.07 558.80 49985.24 89.45 -6.75 -60.35 OATIES 158.38 2.32 367.86 1.00 367.86 49985.24 135.88 -10.60 -143.97 OJ 631.43 1.96 1238.52 1.00 1238.52 49985.24 40.36 6.45 26.04 PALLAD 978.50 2.41 2361.13 1.00 2361.13 49985.24 21.17 -4.30 -9.10 PLAT 506.60 1.57 797.85 1.00 797.85 49985.24 62.65 1.73 10.83 REDWHEAT 300.88 1.92 577.91 1.00 577.91 49985.24 86.49 -12.67 -109.60 RICE 310.90 0.94 291.22 1.00 291.22 49985.24 171.64 9.84 168.89 ROBUSTA 425.00 1.70 723.70 1.00 723.70 49985.24 69.07 9.03 62.35 RUSSELL 103.12 0.97 100.48 1.00 100.48 49985.24 497.49 -6.15 -306.10 SHATZ 1057.80 0.09 92.10 1.07 98.73 49985.24 506.30 -7.23 -366.22 SILVER-mini 748.75 2.09 1566.10 1.00 1566.10 49985.24 31.92 1.74 5.54 SMI 1219.30 0.66 799.85 1.12 897.15 49985.24 55.72 19.21 107.01 SOFR 2409.88 0.07 167.67 1.00 167.67 49985.24 298.13 4.12 122.81 SOYBEAN 565.00 0.94 532.97 1.00 532.97 49985.24 93.79 -18.05 -169.27 SOYMEAL 343.50 1.35 463.80 1.00 463.80 49985.24 107.77 -12.29 -132.44 SOYOIL 262.20 1.41 370.47 1.00 370.47 49985.24 134.92 -15.07 -203.29 SP400 2997.00 0.79 2379.11 1.00 2379.11 49985.24 21.01 -5.36 -11.25 SP500_micro 276.71 0.52 144.37 1.00 144.37 49985.24 346.23 9.30 321.92 SUGAR11 220.64 1.53 338.09 1.00 338.09 49985.24 147.85 -0.42 -6.17 US10 1104.84 0.37 405.74 1.00 405.74 49985.24 123.19 1.53 18.88 US10U 1143.59 0.48 550.99 1.00 550.99 49985.24 90.72 4.70 42.65 US2 2043.44 0.10 206.35 1.00 206.35 49985.24 242.24 -5.52 -133.83 US20 1199.38 0.68 812.11 1.00 812.11 49985.24 61.55 6.81 41.90 US30 1279.69 0.94 1208.32 1.00 1208.32 49985.24 41.37 4.09 16.94 US5 1068.12 0.25 263.24 1.00 263.24 49985.24 189.89 -0.52 -9.95 VIX 160.50 2.28 365.99 1.00 365.99 49985.24 136.57 -20.00 -273.15 WHEAT 297.38 1.77 525.75 1.00 525.75 49985.24 95.07 -12.91 -122.72 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 55.079 0.010 2.5 1.429 BITCOIN -138.612 0.043 2.5 -15.010 BOBL -85.078 0.004 2.5 -0.863 BTP -63.065 0.014 2.5 -2.151 BUND -20.650 0.004 2.5 -0.209 BUXL -18.677 0.004 2.5 -0.189 CAC -49.512 0.014 2.5 -1.689 CAD -134.430 0.010 2.5 -3.488 CANOLA -746.374 0.010 2.5 -18.158 CHF -38.656 0.010 2.5 -1.003 COCOA 9.310 0.009 2.5 0.199 COFFEE 20.224 0.005 2.5 0.236 COPPER -0.435 0.043 2.5 -0.047 CORN -347.358 0.010 2.5 -8.451 COTTON2 -132.569 0.009 2.5 -2.839 CRUDE_W 46.758 0.043 2.5 5.063 DAX 12.626 0.014 2.5 0.431 DOW -164.387 0.009 2.5 -3.820 DX 92.328 0.010 2.5 2.396 EUR -59.798 0.010 2.5 -1.552 EURIBOR-ICE -43.465 0.014 2.5 -1.483 EUROSTX -32.855 0.014 2.5 -1.121 FEEDCOW -7.274 0.013 2.5 -0.241 GASOIL 7.358 0.017 2.5 0.319 GASOLINE 12.362 0.017 2.5 0.536 GAS_US_mini 10.048 0.043 2.5 1.088 GBP 21.972 0.010 2.5 0.570 GOLD_micro -51.772 0.014 2.5 -1.766 HEATOIL -22.810 0.017 2.5 -0.989 JGB-SGX-mini 43.970 0.043 2.5 4.761 JPY -169.546 0.010 2.5 -4.399 LEANHOG -177.752 0.024 2.5 -10.803 LIVECOW 177.608 0.013 2.5 5.885 LUMBER-new -334.446 0.009 2.5 -7.160 MILK 11.861 0.009 2.5 0.254 MXP -43.683 0.059 2.5 -6.411 NASDAQ_micro 109.932 0.009 2.5 2.555 NIKKEI -41.669 0.043 2.5 -4.512 NZD 70.018 0.010 2.5 1.817 OAT -60.348 0.014 2.5 -2.058 OATIES -143.969 0.010 2.5 -3.503 OJ 26.036 0.009 2.5 0.558 PALLAD -9.102 0.014 2.5 -0.310 PLAT 10.835 0.014 2.5 0.370 REDWHEAT -109.601 0.005 2.5 -1.454 RICE 168.891 0.010 2.5 4.109 ROBUSTA 62.350 0.005 2.5 0.728 RUSSELL -306.098 0.013 2.5 -10.143 SHATZ -366.222 0.004 2.5 -3.714 SILVER-mini 5.542 0.014 2.5 0.189 SMI 107.006 0.014 2.5 3.650 SOFR 122.806 0.024 2.5 7.463 SOYBEAN -169.274 0.004 2.5 -1.574 SOYMEAL -132.444 0.004 2.5 -1.232 SOYOIL -203.289 0.004 2.5 -1.892 SP400 -11.255 0.013 2.5 -0.373 SP500_micro 321.916 0.009 2.5 7.481 SUGAR11 -6.172 0.009 2.5 -0.131 US10 18.882 0.005 2.5 0.239 US10U 42.652 0.005 2.5 0.540 US2 -133.833 0.005 2.5 -1.696 US20 41.901 0.005 2.5 0.531 US30 16.937 0.005 2.5 0.215 US5 -9.955 0.005 2.5 -0.126 VIX -273.149 0.099 2.5 -67.424 WHEAT -122.719 0.005 2.5 -1.628 ===================== Position diags ===================== AUD 3.36 BITCOIN 34.89 BOBL 1.68 BTP 2.72 BUND 0.82 BUXL 0.33 CAC 2.25 CAD 5.13 CANOLA 10.51 CHF 2.05 COCOA 0.32 COFFEE 0.34 COPPER 2.91 CORN 4.63 COTTON2 1.86 CRUDE_W 5.39 DAX 11.54 DOW 10.08 DX 3.40 EUR 2.27 EURIBOR-ICE 12.30 EUROSTX 3.57 FEEDCOW 1.79 GASOIL 2.06 GASOLINE 1.48 GAS_US_mini 20.68 GBP 3.81 GOLD_micro 7.52 HEATOIL 1.48 JGB-SGX-mini 36.22 JPY 2.77 LEANHOG 6.71 LIVECOW 3.16 LUMBER-new 3.99 MILK 1.82 MXP 23.13 NASDAQ_micro 4.09 NIKKEI 26.85 NZD 3.63 OAT 3.05 OATIES 3.31 OJ 0.86 PALLAD 0.72 PLAT 2.14 REDWHEAT 1.15 RICE 4.18 ROBUSTA 0.81 RUSSELL 16.49 SHATZ 5.13 SILVER-mini 1.09 SMI 1.90 SOFR 18.12 SOYBEAN 0.87 SOYMEAL 1.00 SOYOIL 1.26 SP400 0.70 SP500_micro 8.05 SUGAR11 3.14 US10 1.56 US10U 1.15 US2 3.07 US20 0.78 US30 0.52 US5 2.41 VIX 33.71 WHEAT 1.26 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.4 1.1 1.8 5.0 5 BITCOIN -15.0 -18.5 -11.5 0.0 0 BOBL -0.9 -1.0 -0.7 0.0 0 BTP -2.2 -2.4 -1.9 -1.0 -1 BUND -0.2 -0.3 -0.1 -1.0 -1 BUXL -0.2 -0.2 -0.2 0.0 0 CAC -1.7 -1.9 -1.5 0.0 0 CAD -3.5 -4.0 -3.0 -2.0 -2 CANOLA -18.2 -19.2 -17.1 -9.0 -9 CHF -1.0 -1.2 -0.8 -2.0 -2 COCOA 0.2 0.2 0.2 0.0 0 COFFEE 0.2 0.2 0.3 0.0 0 COPPER -0.0 -0.3 0.2 1.0 1 CORN -8.5 -8.9 -8.0 -7.0 -7 COTTON2 -2.8 -3.0 -2.7 -3.0 -3 CRUDE_W 5.1 4.5 5.6 3.0 3 DAX 0.4 -0.7 1.6 3.0 3 DOW -3.8 -4.8 -2.8 0.0 0 DX 2.4 2.1 2.7 4.0 4 EUR -1.6 -1.8 -1.3 -1.0 -1 EURIBOR-ICE -1.5 -2.7 -0.3 -8.0 -8 EUROSTX -1.1 -1.5 -0.8 1.0 1 FEEDCOW -0.2 -0.4 -0.1 -1.0 -1 GASOIL 0.3 0.1 0.5 -1.0 -1 GASOLINE 0.5 0.4 0.7 1.0 1 GAS_US_mini 1.1 -1.0 3.2 4.0 4 GBP 0.6 0.2 1.0 0.0 0 GOLD_micro -1.8 -2.5 -1.0 -2.0 -2 HEATOIL -1.0 -1.1 -0.8 0.0 0 JGB-SGX-mini 4.8 1.1 8.4 -1.0 -1 JPY -4.4 -4.7 -4.1 -3.0 -3 LEANHOG -10.8 -11.5 -10.1 -11.0 -11 LIVECOW 5.9 5.6 6.2 8.0 8 LUMBER-new -7.2 -7.6 -6.8 -1.0 -1 MILK 0.3 0.1 0.4 NaN 0 MXP -6.4 -8.7 -4.1 -10.0 -10 NASDAQ_micro 2.6 2.1 3.0 3.0 3 NIKKEI -4.5 -7.2 -1.8 -1.0 -1 NZD 1.8 1.5 2.2 2.0 2 OAT -2.1 -2.4 -1.8 0.0 0 OATIES -3.5 -3.8 -3.2 NaN 0 OJ 0.6 0.5 0.6 1.0 1 PALLAD -0.3 -0.4 -0.2 -2.0 -2 PLAT 0.4 0.2 0.6 0.0 0 REDWHEAT -1.5 -1.6 -1.3 0.0 0 RICE 4.1 3.7 4.5 NaN 0 ROBUSTA 0.7 0.6 0.8 2.0 2 RUSSELL -10.1 -11.8 -8.5 -18.0 -18 SHATZ -3.7 -4.2 -3.2 NaN 0 SILVER-mini 0.2 0.1 0.3 0.0 0 SMI 3.6 3.5 3.8 0.0 0 SOFR 7.5 5.7 9.3 NaN 0 SOYBEAN -1.6 -1.7 -1.5 -5.0 -5 SOYMEAL -1.2 -1.3 -1.1 0.0 0 SOYOIL -1.9 -2.0 -1.8 -1.0 -1 SP400 -0.4 -0.4 -0.3 0.0 0 SP500_micro 7.5 6.7 8.3 11.0 11 SUGAR11 -0.1 -0.4 0.2 -1.0 -1 US10 0.2 0.1 0.4 0.0 0 US10U 0.5 0.4 0.7 2.0 2 US2 -1.7 -2.0 -1.4 NaN 0 US20 0.5 0.5 0.6 0.0 0 US30 0.2 0.2 0.3 1.0 1 US5 -0.1 -0.4 0.1 -2.0 -2 VIX -67.4 -70.8 -64.1 -56.0 -56 WHEAT -1.6 -1.8 -1.5 -2.0 -2 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 0.2 0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.1 -0.2 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.0 0.0 0.5 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 0.4 0.2 0.2 0.4 0.0 -0.2 0.1 -0.0 BITCOIN -0.4 -0.2 0.2 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.2 0.4 -0.2 0.7 -0.0 0.0 -0.2 -0.1 -0.2 -0.2 0.0 0.2 -0.2 0.5 -0.2 -2.7 0.0 -0.2 0.3 -0.1 0.6 -0.1 -0.2 -0.5 0.5 0.4 0.6 -0.6 -0.1 0.0 0.0 BOBL 0.6 0.1 -0.2 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.2 0.1 -0.2 0.0 -0.0 -0.4 -0.2 -0.2 -0.2 -0.0 -0.0 0.1 -0.1 0.0 0.5 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.4 0.2 0.0 -0.2 -0.0 -0.7 -0.5 -0.2 -0.3 BTP -0.1 -0.2 -0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.2 0.0 0.3 -0.0 -0.1 -0.0 0.1 0.0 0.1 -0.0 0.0 -0.0 0.1 -0.0 -2.7 -0.0 0.0 0.0 -0.0 0.2 -0.0 0.7 -0.3 -0.6 -0.6 0.2 -0.5 -0.4 0.1 0.1 BUND 0.5 0.1 -0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.1 -0.1 0.0 0.2 0.0 0.0 -0.0 0.0 -0.0 0.0 0.2 0.2 -0.0 -0.2 0.1 -0.7 -0.6 -0.2 -0.4 BUXL 0.4 0.0 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.3 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 -0.2 -0.3 0.1 -0.7 -0.7 -0.5 -0.3 CAC -0.6 -0.6 -0.6 0.1 0.1 0.2 0.1 0.3 0.0 -0.0 0.3 -0.1 0.5 -0.1 -0.1 -0.2 0.0 -0.0 0.0 -0.1 0.0 -0.2 0.3 -0.2 -1.3 -0.0 -0.0 0.0 -0.1 0.2 -0.1 0.7 -0.5 -0.6 -0.6 -0.3 -0.1 0.3 -0.3 0.4 CAD -0.0 0.0 -0.2 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 0.2 -0.5 0.0 -0.5 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.3 -0.0 -0.1 -0.1 0.1 -0.2 0.1 -0.2 -0.0 -0.0 0.5 0.1 -0.3 -0.3 0.0 -0.3 -0.1 -0.2 CANOLA -0.6 -0.0 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.3 -0.2 -0.3 -0.3 -0.1 -0.0 -0.1 -0.2 -0.1 -2.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.1 -0.3 -0.4 -0.1 0.1 -0.3 -0.6 0.1 -0.2 CHF 0.6 0.5 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.4 0.1 -0.5 0.1 -0.0 -0.3 -0.3 -0.3 -0.3 0.0 -0.1 0.0 -0.3 0.1 0.6 0.0 -0.0 -0.1 0.0 -0.1 0.1 -1.1 0.3 0.6 0.4 -0.5 0.1 -0.5 0.0 -0.4 COCOA 0.3 -0.2 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 0.2 0.0 0.0 0.4 0.3 0.4 0.4 0.0 0.1 -0.0 0.2 0.0 -2.3 0.0 -0.0 0.1 -0.0 0.2 0.0 1.1 -0.0 0.5 -0.1 0.6 0.3 0.1 0.4 0.3 COFFEE 0.1 0.1 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 0.3 0.1 0.4 0.1 0.1 0.0 0.1 0.1 0.1 0.2 0.2 0.1 0.4 0.1 -2.7 0.0 0.0 0.2 0.0 0.2 0.0 0.5 0.5 0.6 -0.0 0.6 0.2 -0.4 0.5 -0.1 COPPER -0.6 -0.5 0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.0 -0.1 0.0 -0.0 0.0 0.1 -0.0 0.1 -0.0 -1.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.3 -0.1 -0.1 0.2 0.5 -0.0 -0.0 0.4 0.3 CORN -0.5 -0.0 0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.2 -0.6 -0.1 -0.1 -0.3 -0.2 -0.4 -0.3 -0.1 -0.1 -0.2 -0.4 -0.2 -1.9 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -1.1 0.0 0.1 0.2 0.2 -0.7 -0.6 -0.7 -0.0 COTTON2 -0.2 -0.5 -0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.2 -0.2 -0.0 -0.2 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.3 -0.0 -0.5 -0.6 -0.1 -0.3 0.4 -0.0 CRUDE_W 0.2 -0.3 -0.1 -0.0 0.1 -0.0 0.1 0.1 0.0 0.2 0.2 0.2 0.5 0.1 0.0 0.2 0.2 0.3 0.3 0.0 0.0 0.2 0.3 0.1 -0.6 -0.0 0.1 -0.0 0.1 0.1 -0.0 0.1 0.1 -0.4 -0.5 -0.0 0.7 0.6 0.7 0.7 DAX -0.6 -0.3 -0.3 0.1 0.1 0.2 0.1 0.3 0.0 -0.1 0.4 -0.1 0.6 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.1 0.5 -0.1 1.5 0.0 -0.0 0.2 -0.1 0.4 -0.1 -0.5 -0.5 -0.6 -0.6 0.3 0.1 0.2 -0.1 0.3 DOW -0.0 -0.1 -0.4 0.0 0.1 0.2 0.0 0.3 0.0 0.1 0.3 0.1 0.5 -0.0 -0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.1 0.1 0.4 0.0 -1.8 0.0 0.1 0.1 0.0 0.3 0.0 -0.5 -0.1 -0.3 -0.4 -0.4 0.3 -0.1 0.4 -0.2 DX 0.1 -0.2 0.2 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 0.1 0.4 0.2 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 -2.7 0.0 0.0 0.1 0.1 0.2 0.1 0.9 0.5 0.6 -0.3 0.6 -0.1 0.3 -0.0 0.5 EUR -0.3 0.1 -0.1 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.1 -0.3 -0.2 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 2.7 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.4 -0.2 -0.5 -0.1 0.0 -0.3 -0.7 -0.3 -0.5 EURIBOR-ICE 0.5 -0.0 -0.5 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.0 0.0 1.5 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.2 -0.1 -0.7 -0.7 -0.1 0.2 EUROSTX -0.6 -0.4 -0.4 0.1 0.1 0.2 0.1 0.3 0.0 -0.0 0.4 -0.1 0.6 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.1 -0.1 0.5 -0.1 -0.3 0.0 0.0 0.2 -0.0 0.4 -0.0 0.3 -0.5 -0.6 -0.6 0.2 -0.4 0.1 -0.7 0.2 FEEDCOW -0.0 0.2 -0.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.0 -0.1 0.1 0.0 -0.3 -0.4 -0.4 -0.4 0.0 -0.0 0.0 -0.0 0.1 -0.9 -0.0 -0.0 -0.0 0.0 0.1 0.0 -1.1 0.5 0.4 0.2 -0.4 0.3 0.7 0.6 0.7 GASOIL 0.3 -0.3 -0.3 -0.0 0.1 -0.0 0.1 0.1 0.0 0.2 0.0 0.2 0.5 0.1 -0.1 -0.0 0.3 0.0 0.1 -0.0 -0.0 0.2 0.2 0.1 0.8 -0.0 0.1 -0.0 0.1 0.1 0.0 0.0 0.5 0.3 0.0 -0.3 -0.7 -0.4 -0.7 -0.7 GASOLINE 0.1 -0.5 -0.1 -0.0 0.1 -0.0 0.1 0.1 0.0 0.2 0.2 0.2 0.5 -0.0 -0.1 0.4 0.3 0.4 0.3 -0.0 0.0 0.2 0.3 0.0 -2.7 -0.0 0.1 -0.0 0.1 0.1 -0.0 0.3 -0.2 -0.4 -0.6 -0.1 0.7 0.7 0.7 0.7 GAS_US_mini 0.1 0.6 0.6 -0.0 0.0 -0.0 0.1 0.1 0.0 -0.1 -0.2 -0.0 -0.5 0.1 0.1 -0.2 -0.4 -0.4 -0.4 0.1 -0.0 -0.0 -0.4 0.1 2.7 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 -0.5 -0.0 0.6 0.1 -0.1 -0.2 -0.2 -0.4 GBP -0.1 0.3 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 0.4 -0.2 0.2 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.1 0.1 0.0 0.2 0.1 -0.0 0.1 -0.1 0.2 0.0 0.2 -0.1 0.0 0.5 0.4 -0.2 -0.7 -0.2 -0.3 GOLD_micro -0.5 -0.4 0.3 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 -0.0 0.3 -0.1 0.1 -0.2 -0.3 -0.2 -0.3 0.0 0.1 -0.0 0.2 -0.0 -0.4 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.7 0.1 0.2 -0.0 0.6 0.0 -0.3 0.3 -0.1 HEATOIL 0.4 -0.3 -0.3 -0.0 0.1 -0.0 0.1 0.1 0.0 0.2 -0.2 0.2 0.2 0.1 -0.1 -0.2 0.2 -0.1 0.1 -0.1 -0.1 0.2 0.1 0.1 -2.7 -0.1 0.1 -0.1 0.1 0.0 -0.0 -0.2 0.1 -0.3 -0.4 -0.6 0.1 0.2 -0.1 0.1 JGB-SGX-mini 0.6 -0.1 -0.5 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.0 -0.0 0.0 -0.0 0.4 0.4 0.4 0.4 -0.0 -0.0 0.0 -0.1 0.0 -1.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 1.1 0.0 -0.0 -0.3 -0.3 -0.4 -0.2 -0.0 0.5 JPY -0.0 -0.3 -0.3 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.4 -0.1 -0.5 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.1 2.7 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 -1.1 -0.4 -0.3 -0.5 -0.6 -0.6 -0.4 -0.6 -0.4 LEANHOG -0.6 -0.6 -0.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 0.4 -0.4 0.2 -0.4 -0.2 -0.2 -0.2 -0.2 -0.2 0.8 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -1.1 -0.1 -0.5 -0.6 -0.6 -0.4 -0.3 -0.3 0.2 LIVECOW 0.2 0.4 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 0.3 0.2 0.1 0.2 0.1 0.4 0.2 0.4 0.4 0.2 0.1 0.2 0.1 0.2 -1.1 0.1 0.1 0.1 0.1 0.2 0.1 1.1 0.5 0.6 0.6 0.4 0.3 0.7 0.5 0.7 LUMBER-new -0.1 -0.2 -0.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.2 -0.1 -0.2 -0.2 -0.2 NaN -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.2 -0.4 -0.3 -0.4 -0.7 -0.4 -0.4 -0.0 -0.3 MILK -0.1 0.6 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 -0.4 -0.4 -0.4 -0.4 0.2 0.1 0.0 -0.0 0.1 1.8 0.0 -0.0 0.1 -0.0 -0.0 0.0 -1.1 0.0 0.6 0.6 0.6 -0.4 -0.7 -0.3 -0.7 MXP -0.6 -0.6 -0.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.2 -0.1 -0.1 0.2 0.3 0.3 0.3 -0.1 -0.0 -0.0 0.1 -0.1 -2.7 -0.0 0.0 -0.0 -0.0 0.0 -0.0 1.1 0.2 -0.6 -0.6 -0.1 0.6 0.6 0.7 0.7 NASDAQ_micro 0.6 0.6 -0.1 0.0 0.0 0.2 0.0 0.2 0.0 0.0 0.4 0.1 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.1 0.1 0.2 0.1 -0.4 0.5 0.6 0.6 0.2 -0.1 0.1 -0.2 0.1 NIKKEI -0.0 -0.1 -0.2 0.1 0.1 0.2 0.1 0.3 0.0 0.0 0.3 0.0 0.6 0.1 -0.0 0.3 0.2 0.2 0.2 0.0 0.2 0.0 0.5 -0.0 -2.6 0.0 0.0 0.2 -0.0 0.6 -0.0 1.1 -0.5 -0.4 -0.5 -0.5 -0.1 -0.3 -0.3 -0.4 NZD 0.0 0.5 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.1 0.1 0.1 0.0 0.0 0.0 0.0 0.1 0.0 -0.0 -0.0 0.0 0.1 0.0 -0.0 0.1 -0.0 0.0 0.0 0.3 0.1 0.2 0.5 0.1 0.1 -0.2 0.2 0.1 OAT -0.0 -0.2 -0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 0.1 0.0 0.1 -0.1 -0.1 -0.0 -0.1 -0.1 0.3 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.7 -0.3 -0.6 -0.5 -0.1 -0.7 -0.6 -0.1 -0.1 OATIES -0.6 -0.2 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 0.0 0.0 0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -2.7 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.0 -0.5 -0.4 -0.0 -0.0 -0.1 -0.0 0.3 0.4 OJ -0.6 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.2 -0.1 0.4 0.0 0.1 0.2 0.3 0.2 0.2 0.1 0.2 -0.0 0.5 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.2 0.0 0.9 -0.1 -0.4 0.6 0.6 0.2 0.3 0.7 0.7 PALLAD -0.2 -0.1 0.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.3 -0.0 2.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.3 0.2 0.2 -0.1 -0.3 -0.7 -0.7 -0.7 -0.6 PLAT -0.6 0.1 0.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 0.1 -0.1 -0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.0 1.1 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 0.3 0.1 0.4 0.1 -0.7 -0.3 -0.0 0.1 REDWHEAT -0.6 0.1 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.3 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.1 0.0 -0.2 -0.1 -0.2 -0.8 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.5 -0.5 -0.6 0.1 0.4 -0.5 -0.7 -0.2 -0.6 RICE -0.3 0.4 0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.5 0.0 0.6 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.0 0.5 0.1 -1.8 0.1 0.0 0.1 0.0 0.1 0.0 1.1 0.5 0.6 0.6 0.1 -0.4 -0.2 -0.4 -0.1 ROBUSTA 0.2 0.1 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.2 0.0 0.3 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.2 0.1 0.5 0.1 -2.7 0.0 0.0 0.2 0.0 0.2 0.0 1.1 0.3 0.6 0.2 0.6 0.1 -0.3 0.3 0.1 RUSSELL -0.3 -0.1 -0.1 0.0 0.0 0.2 0.0 0.2 0.0 0.0 0.3 -0.1 0.4 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 0.2 -0.1 -0.2 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.0 -0.2 -0.5 -0.5 -0.4 0.0 -0.7 -0.0 -0.7 SHATZ 0.6 0.4 -0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.2 0.1 -0.3 0.0 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.1 -0.2 0.1 0.9 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 0.4 0.2 -0.2 -0.2 -0.7 -0.6 -0.5 -0.4 SILVER-mini -0.6 0.0 0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 -0.1 0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.1 0.0 0.2 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 -0.1 0.0 0.3 0.5 -0.2 -0.3 0.2 0.1 SMI -0.0 0.6 0.3 0.1 0.1 0.2 0.1 0.3 0.0 0.0 0.5 0.1 0.6 0.2 0.2 -0.1 0.0 -0.0 -0.0 0.2 0.2 0.1 0.5 0.2 1.9 0.1 0.0 0.2 0.0 0.2 0.0 0.7 -0.4 0.2 0.6 0.6 0.3 0.1 0.1 -0.0 SOFR 0.6 0.5 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -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 0.1 0.3 0.3 0.1 0.1 -0.6 0.5 0.0 SOYBEAN -0.6 -0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.3 -0.2 -0.2 -0.2 -0.1 -0.0 0.1 -0.0 0.0 -0.1 -0.1 -0.2 -0.2 -0.2 -2.7 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.3 -0.1 -0.5 -0.0 0.2 -0.7 -0.7 -0.5 -0.7 SOYMEAL -0.6 0.0 0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.0 0.2 0.1 0.1 0.1 -0.1 -0.0 -0.1 -0.2 -0.1 -2.7 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.3 -0.1 -0.0 0.5 0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.2 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.3 0.1 0.2 -0.2 -0.2 -0.5 -0.6 -0.0 -0.0 SP400 -0.3 -0.2 -0.2 0.0 0.0 0.2 0.0 0.3 0.0 0.1 0.3 -0.0 0.4 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 0.0 0.3 -0.0 -1.7 0.0 0.1 0.1 0.0 0.2 -0.0 0.0 -0.0 -0.4 -0.4 -0.1 0.1 -0.3 0.1 -0.7 SP500_micro 0.6 0.6 0.0 0.1 0.1 0.2 0.1 0.3 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.3 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 -0.6 0.5 0.6 0.6 0.4 0.2 0.0 0.1 -0.0 SUGAR11 0.6 0.0 -0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.4 0.1 -0.3 0.0 -0.1 -0.0 0.2 0.0 0.1 -0.1 -0.2 0.1 -0.3 0.0 -2.7 -0.0 0.0 -0.2 0.0 -0.1 0.0 0.7 0.5 0.6 -0.1 -0.6 0.4 0.7 0.7 0.7 US10 0.6 0.5 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.2 0.1 0.0 -0.2 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.1 0.1 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.3 0.0 0.2 0.2 0.1 -0.0 -0.6 0.3 0.1 US10U 0.6 0.5 0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 0.0 -0.1 -0.0 -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 0.1 0.1 0.1 0.3 0.3 0.2 -0.0 -0.5 0.6 0.3 US2 0.6 0.4 -0.2 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.2 0.1 -0.3 0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.0 -0.3 0.0 1.7 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 -0.0 0.1 -0.1 -0.2 -0.2 -0.7 -0.0 -0.5 US20 0.6 0.5 0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.0 0.1 -0.1 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.3 0.1 0.2 0.3 0.2 -0.1 -0.4 0.7 0.5 US30 0.6 0.5 0.1 0.0 0.0 -0.0 0.0 -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 -0.1 0.1 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 0.2 0.3 0.2 -0.3 -0.4 0.3 0.5 US5 0.6 0.5 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.3 0.1 -0.0 -0.2 -0.2 -0.2 -0.2 0.0 -0.0 0.0 -0.2 0.1 0.7 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.6 0.0 0.2 0.1 0.0 -0.0 -0.7 0.2 -0.2 VIX 0.3 -0.5 0.1 -0.1 -0.0 -0.4 -0.0 -0.7 -0.1 0.1 -0.9 0.1 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 0.1 -0.9 -0.1 NaN -0.2 -0.0 -0.5 -0.0 -0.8 -0.1 NaN NaN NaN NaN NaN -0.9 -1.1 NaN NaN WHEAT -0.6 0.1 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.2 -0.1 0.0 -0.3 -0.3 -0.3 -0.3 -0.1 0.0 -0.2 -0.1 -0.2 0.1 -0.0 -0.0 0.0 -0.1 -0.0 -0.0 -1.1 -0.5 -0.6 0.2 0.4 -0.4 -0.7 -0.3 -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 -1.8 7.2 4.8 -1.0 -4.4 -0.8 -4.6 0.8 -2.1 6.6 -0.4 7.7 -5.1 10.5 12.0 -2.4 -2.8 -2.6 -2.7 4.7 3.0 3.1 -1.5 3.7 3.5 3.1 2.6 2.5 2.0 0.2 2.2 -0.0 16.1 5.6 7.4 11.1 0.6 -6.7 2.1 -0.9 BITCOIN -12.4 -5.3 5.3 -3.3 -3.3 0.6 -6.0 1.4 -7.0 -20.0 14.8 -20.0 18.1 -0.3 0.8 -7.5 -7.4 -7.6 -7.7 1.3 18.8 -20.0 20.0 -15.7 -20.0 1.4 -18.7 11.4 -13.5 17.5 -6.9 -3.7 -20.0 16.3 12.1 18.0 -16.9 -4.2 1.1 1.1 BOBL 20.0 3.6 -6.5 0.9 0.7 -0.5 2.2 -1.3 2.4 4.9 -6.2 5.6 -5.3 3.8 -2.9 -20.0 -8.5 -9.2 -7.8 -0.9 -4.0 7.0 -4.9 4.5 3.8 -0.1 2.3 -1.3 3.5 -1.5 2.3 -8.0 9.3 0.7 -7.0 -1.2 -20.0 -15.5 -7.0 -10.1 BTP -1.8 -7.1 -9.9 1.6 1.2 -0.8 3.8 -2.2 4.1 8.4 5.9 0.9 8.4 -3.5 -7.2 -0.1 4.9 2.2 3.4 -3.1 0.7 -0.1 4.4 -2.7 -20.0 -2.0 1.6 1.6 -0.2 4.6 -2.3 13.6 -10.5 -20.0 -17.3 6.8 -15.5 -11.8 2.6 2.5 BUND 16.4 2.4 -4.6 1.0 0.8 -0.5 2.4 -1.4 2.6 5.2 -4.8 5.9 -2.8 4.2 -2.1 2.2 -0.7 -2.4 -2.7 -0.1 -2.5 6.7 -3.4 4.5 1.3 0.4 2.5 -0.5 3.9 -0.7 2.7 3.2 7.7 -1.4 -6.8 1.9 -20.0 -18.9 -5.5 -11.1 BUXL 13.8 0.3 -1.8 1.2 0.9 -0.6 2.7 -1.6 3.0 3.2 -3.4 4.7 -2.4 3.3 -2.6 -2.3 -3.1 -4.7 -4.4 -0.5 -2.3 4.8 -3.7 3.5 -2.1 0.4 0.9 -0.0 3.3 -0.4 2.4 -0.6 3.8 -4.7 -9.2 3.9 -20.0 -20.0 -14.3 -9.2 CAC -20.0 -20.0 -18.3 4.7 5.9 6.7 4.7 7.7 4.1 -2.0 10.3 -10.0 14.0 -11.6 -6.0 -7.7 0.3 -1.2 0.9 -10.7 2.7 -16.8 11.0 -20.0 -10.0 -3.1 -1.1 1.7 -6.0 4.3 -6.9 12.3 -20.0 -20.0 -20.0 -7.7 -1.6 7.7 -7.6 10.9 CAD -1.0 0.9 -6.4 -1.2 -5.6 -1.1 -5.9 1.1 -2.7 20.0 -16.8 2.1 -15.2 -6.1 -12.4 -4.2 -2.8 -3.6 -3.1 -6.8 -9.5 5.3 -10.4 -1.9 -0.8 -4.9 12.0 -6.4 4.6 -6.6 -1.4 -0.3 20.0 2.1 -9.7 -8.2 0.5 -8.6 -3.9 -5.6 CANOLA -20.0 -1.4 18.6 -1.5 -0.4 -0.3 -2.3 -0.2 -2.8 -7.6 -4.1 -8.6 -6.3 -7.6 -2.6 -12.6 -9.5 -14.1 -13.5 -5.9 -4.1 -12.1 -7.1 -11.2 -19.8 -2.0 -2.6 -1.5 -3.6 -2.6 -3.5 -20.0 -12.8 -13.0 -3.4 4.5 -9.4 -16.8 2.2 -5.2 CHF 20.0 16.8 -13.2 -1.0 -4.4 -0.8 -4.6 0.8 -2.1 -8.0 -14.3 9.4 -13.0 11.7 -4.0 -16.6 -16.4 -16.8 -16.5 1.9 -9.9 4.5 -11.3 10.3 4.3 1.4 -3.2 -3.1 2.2 -3.5 4.8 -20.0 11.1 20.0 11.0 -15.9 4.2 -14.6 1.4 -12.3 COCOA 8.5 -6.1 -10.1 -1.1 -0.3 -0.2 -1.7 -0.2 -2.1 -5.9 3.6 -1.8 4.7 1.1 2.2 17.6 15.7 20.0 19.9 4.1 6.8 -4.3 7.7 1.4 -17.0 1.8 -2.2 4.1 -0.9 5.5 0.3 20.0 -1.6 15.2 -3.6 20.0 9.8 2.8 13.5 7.8 COFFEE 1.8 2.2 10.4 -3.0 -0.9 -0.5 -4.5 -0.5 -5.5 11.5 12.6 8.3 11.8 12.9 11.2 1.9 7.2 5.3 7.2 15.4 16.4 11.8 13.5 12.7 -20.0 4.5 4.2 6.8 1.8 6.7 2.0 10.1 18.9 20.0 -0.8 20.0 5.4 -12.6 16.1 -3.7 COPPER -20.0 -14.5 15.2 -1.0 -1.1 0.2 -1.9 0.5 -2.2 -5.2 3.9 -6.9 3.6 -6.4 1.5 1.5 -2.9 0.4 -1.5 1.4 5.8 -5.0 5.3 -4.0 -7.9 0.8 -1.7 2.4 -2.2 2.1 -1.4 5.2 -2.7 -1.7 6.3 14.5 -1.1 -0.7 11.2 7.9 CORN -14.7 -0.2 15.6 -2.9 -0.8 -0.5 -4.3 -0.4 -5.3 -15.4 -8.5 -15.2 -15.3 -13.2 -6.5 -16.7 -12.5 -17.9 -16.8 -8.1 -7.3 -19.5 -13.0 -14.2 -14.1 -2.1 -4.8 -3.0 -4.8 -6.4 -3.9 -20.0 1.1 4.1 6.9 6.3 -20.0 -18.9 -20.0 -0.6 COTTON2 -7.0 -16.0 -20.0 -2.2 -0.6 -0.4 -3.2 -0.3 -4.0 8.6 -11.5 -9.1 -8.1 -10.7 -12.8 -7.1 1.6 -0.9 1.1 -16.4 -14.6 -2.4 -8.6 -10.4 -20.0 -3.9 1.5 -2.5 -0.3 -0.3 -2.7 -0.5 11.3 -0.4 -14.7 -20.0 -3.8 -10.4 11.7 -0.7 CRUDE_W 5.2 -9.6 -2.6 -1.3 8.0 -0.1 7.7 2.5 2.4 20.0 6.2 20.0 14.1 11.8 2.1 11.9 12.0 12.8 12.6 3.1 4.3 20.0 9.6 12.6 -4.6 -3.8 8.1 -1.3 7.0 2.6 -0.0 2.4 3.5 -12.8 -14.8 -1.2 20.0 18.1 20.0 20.0 DAX -20.0 -9.3 -9.5 5.0 6.1 7.0 4.9 8.0 4.3 -7.4 15.2 -11.8 16.7 -10.6 -0.6 -9.7 -11.4 -10.8 -11.5 -0.7 12.2 -11.3 18.6 -11.4 11.3 0.5 -0.7 7.2 -4.9 10.0 -4.9 -8.8 -20.0 -20.0 -20.0 9.3 2.7 5.6 -3.5 10.0 DOW -0.7 -2.6 -12.9 4.5 5.6 6.4 4.4 7.3 3.9 15.8 11.8 12.7 13.3 -0.2 -2.1 -10.6 -11.2 -11.2 -11.5 0.6 6.4 12.0 13.7 3.1 -13.4 0.9 7.0 5.0 3.8 9.1 0.6 -8.5 -4.3 -10.7 -11.9 -13.5 9.1 -3.2 11.6 -7.5 DX 4.3 -7.0 6.5 -1.0 -4.4 -0.8 -4.7 0.9 -2.2 10.5 13.8 15.4 13.2 5.7 11.1 7.0 6.9 7.3 7.1 7.1 8.2 11.6 8.6 9.0 -20.0 4.2 4.2 4.7 6.8 5.0 5.3 16.7 20.0 19.1 -8.8 18.3 -1.9 8.0 -1.4 14.1 EUR -9.0 4.2 -3.8 -1.0 -4.7 -0.9 -5.0 0.9 -2.3 -10.3 -10.2 -16.3 -9.6 -11.3 -6.9 -7.3 -7.0 -7.3 -7.0 -6.1 -4.9 -12.0 -4.9 -10.5 20.0 -3.2 -3.1 -1.4 -7.7 -1.1 -6.6 -7.3 -7.6 -15.6 -3.3 0.4 -9.4 -20.0 -9.4 -15.3 EURIBOR-ICE 16.9 -0.8 -15.8 0.9 0.7 -0.4 2.2 -1.2 2.3 5.3 -3.7 5.8 -0.1 3.5 -4.1 -6.0 -4.9 -5.8 -5.0 -1.6 -2.9 5.3 -1.6 3.0 11.4 -0.7 1.8 -1.2 2.6 -0.4 1.4 -1.9 4.9 -1.8 -7.7 -3.2 -20.0 -20.0 -3.5 6.0 EUROSTX -17.4 -13.1 -13.2 4.8 5.9 6.7 4.7 7.7 4.1 -1.5 15.9 -6.0 17.1 -5.5 0.9 -6.8 -2.2 -6.4 -4.1 0.6 11.7 -6.9 18.4 -7.4 -2.1 1.2 0.2 8.2 -3.9 11.6 -3.9 6.1 -20.0 -20.0 -19.2 5.2 -11.5 4.0 -19.9 5.4 FEEDCOW -0.3 6.7 -8.5 -3.7 -1.1 -0.7 -5.5 -0.6 -6.8 -4.0 5.1 1.6 -3.0 5.0 0.8 -13.6 -20.0 -20.0 -20.0 2.6 -1.0 3.7 -0.3 5.4 -7.0 -1.0 -0.6 -1.2 1.3 1.9 0.4 -20.0 19.1 12.2 6.1 -12.2 9.1 20.0 19.0 20.0 GASOIL 10.5 -10.0 -9.8 -1.2 7.4 -0.1 7.1 2.3 2.2 16.9 1.1 19.3 12.5 10.2 -7.6 -1.5 13.4 1.3 7.3 -2.6 -2.0 20.0 7.6 9.8 6.3 -1.7 7.4 -1.5 8.5 2.3 3.6 0.1 18.9 8.1 0.8 -10.4 -19.9 -12.4 -20.0 -20.0 GASOLINE 3.2 -15.2 -4.1 -1.3 7.6 -0.1 7.3 2.3 2.3 20.0 6.6 20.0 13.8 -2.6 -7.4 18.0 14.5 18.0 14.3 -4.3 1.3 18.7 10.1 4.2 -20.0 -4.1 7.2 -1.1 6.1 3.4 -0.7 4.9 -6.4 -10.8 -17.5 -3.6 20.0 20.0 20.0 20.0 GAS_US_mini 4.2 20.0 20.0 -0.8 5.0 -0.1 4.8 1.5 1.5 -8.3 -8.5 -0.7 -12.5 6.4 6.3 -11.6 -20.0 -20.0 -20.0 7.1 -0.9 -0.1 -14.0 5.8 20.0 3.4 2.6 -0.3 2.8 -4.0 4.0 -20.0 -18.9 -0.4 20.0 2.7 -1.6 -6.1 -7.0 -12.0 GBP -2.6 10.0 -2.0 -1.2 -5.6 -1.1 -6.0 1.1 -2.8 -14.4 13.6 -16.7 5.5 10.1 10.6 -1.0 -0.8 -1.0 -0.9 6.4 5.7 -7.8 5.0 0.8 1.3 4.7 -4.4 5.2 -5.0 4.4 0.5 3.3 -4.5 0.1 14.2 13.4 -4.6 -20.0 -5.6 -10.5 GOLD_micro -14.2 -13.4 8.2 -1.3 -1.4 0.3 -2.5 0.6 -2.8 -0.3 6.9 -2.1 7.6 -5.4 4.7 -10.5 -13.7 -11.8 -12.8 2.5 7.8 -0.9 8.8 -1.5 -2.8 0.4 -1.7 3.4 -2.5 4.2 -2.2 -13.6 3.3 7.6 -0.4 17.8 0.5 -9.7 8.0 -2.8 HEATOIL 11.6 -8.2 -9.5 -1.3 7.6 -0.1 7.3 2.3 2.3 18.2 -6.4 20.0 6.3 9.8 -8.7 -7.9 12.1 -4.0 3.8 -4.9 -5.9 20.0 2.1 8.5 -20.0 -4.8 6.4 -3.5 6.0 0.8 -0.1 -4.0 5.0 -10.1 -12.6 -20.0 3.3 6.8 -3.5 1.6 JGB-SGX-mini 20.0 -3.1 -16.4 1.0 0.8 -0.5 2.4 -1.4 2.6 0.2 -2.9 4.3 -0.1 3.2 -3.9 20.0 18.1 20.0 18.1 -2.2 -4.3 3.4 -2.1 3.0 -8.5 -1.1 -1.1 -2.2 1.5 -1.7 1.2 20.0 0.5 -1.0 -9.6 -8.6 -12.1 -4.9 -0.5 16.0 JPY -0.4 -9.5 -9.4 -0.6 -2.9 -0.6 -3.1 0.6 -1.4 -12.0 -13.8 -13.1 -13.9 -13.1 -13.5 -14.9 -16.2 -15.3 -15.7 -14.7 -18.1 -14.2 -20.0 -12.7 20.0 -5.0 -5.6 -6.0 -5.1 -6.7 -4.4 -20.0 -14.9 -9.4 -15.1 -19.9 -19.2 -11.1 -18.1 -10.8 LEANHOG -20.0 -20.0 -6.3 -3.5 -1.0 -0.6 -5.3 -0.5 -6.5 -16.2 -7.6 -18.4 -6.0 -20.0 -19.4 20.0 -20.0 12.4 -20.0 -20.0 -17.3 -20.0 -8.8 -20.0 6.1 -6.5 -3.3 -2.8 -4.6 -1.0 -7.1 -20.0 -4.2 -15.0 -20.0 -20.0 -13.1 -9.8 -7.5 5.3 LIVECOW 5.8 13.8 -1.5 -3.7 -1.1 -0.7 -5.5 -0.6 -6.8 19.4 11.5 19.1 2.8 19.0 12.1 20.0 12.1 20.0 20.0 14.8 7.8 20.0 4.8 20.0 -8.3 6.4 11.0 4.4 11.6 4.5 9.0 20.0 20.0 20.0 20.0 11.3 7.7 20.0 14.6 20.0 LUMBER-new -2.0 -6.1 -20.0 -1.9 -0.5 -0.3 -2.8 -0.2 -3.4 -7.8 -8.7 -8.9 -8.5 -8.8 -10.2 -15.8 -17.7 -18.4 -18.3 -13.0 -10.0 -16.0 -6.2 -14.0 NaN -3.9 -2.2 -3.2 -2.9 -1.8 -3.4 -20.0 -13.2 -7.1 -11.2 -20.0 -9.5 -10.5 -0.4 -6.6 MILK -3.7 20.0 20.0 -2.1 -0.6 -0.4 -3.1 -0.3 -3.8 -3.2 6.5 1.7 -4.6 7.8 10.3 -20.0 -20.0 -19.8 -20.0 14.9 9.7 2.3 -1.5 10.0 13.4 3.8 -0.9 2.3 -0.1 -0.5 2.5 -20.0 0.1 20.0 20.0 17.2 -12.7 -20.0 -8.5 -20.0 MXP -20.0 -20.0 -20.0 -0.4 -2.0 -0.4 -2.1 0.4 -1.0 7.6 -0.1 -4.1 5.3 -5.5 -4.8 10.3 16.2 13.6 14.9 -8.1 -2.7 -2.2 2.5 -9.3 -20.0 -2.2 1.2 -0.6 -1.0 0.8 -2.7 20.0 7.5 -20.0 -19.0 -2.9 18.2 17.2 20.0 20.0 NASDAQ_micro 20.0 20.0 -4.1 4.1 5.1 5.8 4.1 6.7 3.6 1.6 16.1 11.1 16.2 14.9 15.3 -11.7 -10.7 -11.3 -11.1 20.0 20.0 18.5 20.0 20.0 -20.0 5.4 1.5 4.7 5.5 5.5 6.7 -7.6 20.0 20.0 20.0 4.8 -3.4 2.8 -7.5 2.4 NIKKEI -0.8 -4.6 -6.5 5.1 6.3 7.3 5.1 8.3 4.4 3.8 12.7 1.6 16.6 5.0 -2.3 12.7 9.3 8.4 8.1 3.2 14.7 0.4 20.0 -0.1 -19.7 1.3 2.4 8.4 -0.4 16.2 -0.7 20.0 -19.5 -11.3 -16.6 -14.5 -1.6 -7.6 -9.9 -12.5 NZD 0.6 14.7 0.6 -0.9 -4.0 -0.8 -4.2 0.8 -2.0 -13.3 1.8 -8.0 -1.4 11.4 10.9 0.0 0.2 0.1 0.1 7.1 3.7 -1.9 -0.4 4.6 0.6 3.7 -2.1 2.2 -1.3 0.5 2.1 5.0 5.2 6.2 14.9 4.5 4.0 -5.0 6.6 3.1 OAT -0.9 -6.7 -10.6 1.2 0.9 -0.6 2.8 -1.6 3.0 7.5 -5.5 -2.4 -2.1 -5.4 -8.0 -0.7 5.1 2.4 3.7 -6.5 -5.3 -1.4 -3.9 -4.7 1.9 -3.0 1.1 -1.9 -0.9 -0.9 -2.6 14.0 -10.6 -18.7 -16.2 -1.6 -20.0 -18.6 -3.8 -3.4 OATIES -20.0 -4.8 9.6 -1.4 -0.4 -0.2 -2.0 -0.2 -2.5 -6.4 -4.0 -7.9 -6.1 -7.4 -4.4 -4.9 1.1 1.8 2.8 -7.8 -3.6 -18.4 -3.3 -15.4 -20.0 -1.2 -3.2 -0.2 -4.7 -0.4 -3.4 0.5 -19.3 -12.2 -0.0 -0.9 -2.9 -1.2 8.0 11.5 OJ -20.0 9.3 -0.7 -2.2 -0.6 -0.4 -3.3 -0.3 -4.1 6.2 8.7 -7.3 11.1 3.1 6.2 8.3 12.8 9.9 10.3 12.8 15.6 -0.9 17.2 4.1 -20.0 3.0 -1.0 3.8 -1.2 5.0 0.6 17.1 -4.8 -13.4 20.0 20.0 5.7 9.1 20.0 20.0 PALLAD -6.3 -4.0 2.8 -1.3 -1.4 0.3 -2.5 0.6 -2.9 9.0 -6.9 -1.4 -8.9 -6.5 -7.2 -2.4 -2.3 -2.4 -2.3 -5.6 -6.0 3.8 -10.0 -3.5 14.9 -2.9 3.9 -2.3 0.4 -2.8 -2.5 5.5 10.2 6.5 -4.3 -9.7 -20.0 -20.0 -20.0 -18.0 PLAT -20.0 4.5 11.9 -1.6 -1.7 0.3 -3.0 0.7 -3.5 11.1 2.4 -5.2 -3.6 -3.7 0.4 -5.1 -4.1 -5.0 -4.7 1.4 3.8 0.9 1.6 -2.5 8.1 -0.1 2.1 1.4 -0.3 1.1 -1.8 1.8 12.3 3.2 13.7 2.4 -20.0 -8.0 -1.4 4.2 REDWHEAT -20.0 4.0 20.0 -2.3 -0.7 -0.4 -3.4 -0.3 -4.2 -12.2 1.0 -13.5 -8.5 -9.6 -0.6 -10.8 -3.3 -8.7 -5.7 -5.0 1.0 -20.0 -5.3 -20.0 -5.8 -0.6 -5.5 0.6 -7.4 -0.8 -4.8 -10.0 -20.0 -20.0 3.5 12.3 -14.0 -20.0 -5.4 -17.4 RICE -8.2 11.5 3.9 -3.5 -1.0 -0.6 -5.2 -0.5 -6.4 2.7 17.2 4.1 16.7 10.7 18.9 20.0 20.0 20.0 20.0 15.2 17.8 2.3 17.5 8.2 -13.2 4.9 1.7 4.2 3.2 3.5 4.0 20.0 18.9 20.0 20.0 3.2 -11.5 -6.1 -10.8 -2.5 ROBUSTA 7.0 2.6 -8.8 -1.8 -0.5 -0.3 -2.6 -0.3 -3.2 7.2 8.8 2.5 9.4 6.6 7.5 20.0 20.0 19.9 20.0 13.5 17.0 7.5 17.9 9.7 -20.0 3.5 2.7 5.8 1.6 6.9 1.8 20.0 11.0 20.0 4.9 20.0 1.7 -8.6 9.2 3.9 RUSSELL -10.4 -2.8 -3.6 4.2 5.1 5.9 4.1 6.7 3.6 0.7 9.9 -6.5 10.4 -3.8 -2.2 -7.2 -6.7 -7.1 -6.9 -2.5 2.9 -3.9 5.7 -5.6 -1.4 -0.4 3.2 2.5 -0.2 4.1 -1.8 -0.6 -7.9 -15.3 -14.0 -12.4 0.6 -20.0 -0.5 -20.0 SHATZ 20.0 12.7 -4.0 0.9 0.7 -0.4 2.1 -1.2 2.3 5.0 -7.0 5.7 -7.6 4.0 -2.7 -20.0 -20.0 -20.0 -20.0 -0.5 -6.1 9.3 -8.7 6.5 6.8 -0.1 2.3 -1.9 3.6 -2.4 2.5 -20.0 15.5 7.1 -5.9 -5.6 -20.0 -16.5 -16.4 -12.8 SILVER-mini -19.7 1.3 16.5 -1.2 -1.2 0.2 -2.1 0.5 -2.5 -1.8 5.8 -4.9 5.0 1.4 4.9 -5.4 -6.5 -6.0 -6.3 5.0 7.0 -1.0 5.4 0.8 1.8 1.1 -2.2 2.7 -2.6 2.5 -1.4 -1.8 -2.2 0.6 8.8 13.9 -5.0 -10.4 6.3 4.0 SMI -1.3 20.0 9.6 5.1 6.3 7.2 5.0 8.2 4.4 3.9 18.3 6.2 16.4 14.9 16.1 -3.9 1.9 -2.4 -0.0 20.0 20.0 5.8 17.5 14.0 14.6 6.7 2.2 7.8 1.7 6.4 3.9 13.2 -17.0 5.1 17.2 18.7 8.7 2.1 4.5 -0.1 SOFR 19.9 16.5 -4.8 1.2 0.9 -0.6 2.8 -1.6 3.0 7.4 -2.0 9.2 -3.3 9.2 1.7 -3.0 -1.3 -2.9 -2.1 4.2 -1.1 7.8 -3.8 8.7 -2.7 2.6 2.5 0.7 3.9 -0.3 4.1 3.6 4.3 8.6 9.3 3.9 2.8 -17.3 15.3 0.9 SOYBEAN -20.0 -5.8 3.4 -2.9 -0.8 -0.5 -4.3 -0.4 -5.3 -8.5 -10.9 -14.9 -6.9 -15.2 -8.5 -1.2 7.2 -0.2 2.3 -13.3 -8.9 -20.0 -9.0 -20.0 -20.0 -3.6 -0.7 -2.1 -5.1 -2.0 -6.0 5.5 -5.7 -14.0 -0.4 5.0 -20.0 -20.0 -16.2 -20.0 SOYMEAL -20.0 0.1 11.6 -2.3 -0.7 -0.4 -3.5 -0.4 -4.3 -4.0 -8.9 -11.1 -8.9 -10.2 -3.8 8.9 6.3 4.2 3.2 -4.9 -3.9 -12.0 -6.1 -11.4 -20.0 0.9 0.7 0.6 -2.2 -0.6 -1.7 5.1 -4.3 -1.5 14.9 13.2 -20.0 -20.0 -20.0 -20.0 SOYOIL -7.6 1.3 -4.6 -2.2 -0.6 -0.4 -3.3 -0.3 -4.1 -6.4 -11.3 -9.0 -11.8 -7.5 -10.0 1.0 -0.5 -2.9 -3.3 -8.2 -10.8 -3.9 -12.9 -6.1 -20.0 -4.0 -1.1 -3.9 -1.6 -3.5 -3.1 -6.3 5.7 5.4 -5.4 -6.4 -14.9 -19.1 -1.1 -0.7 SP400 -10.6 -7.3 -5.1 4.3 5.3 6.1 4.3 7.0 3.7 12.5 11.5 -1.1 12.4 -4.1 -2.0 -6.7 -6.0 -6.9 -6.4 -0.7 7.4 1.7 12.3 -3.5 -12.8 1.0 6.7 4.7 3.0 6.9 -0.1 0.6 -0.7 -11.2 -12.9 -3.4 1.6 -9.5 1.8 -20.0 SP500_micro 17.8 18.4 0.1 5.6 6.9 7.9 5.5 9.0 4.8 11.0 20.0 18.5 20.0 20.0 20.0 -14.0 -12.3 -13.3 -12.9 20.0 20.0 20.0 20.0 20.0 -20.0 7.8 4.6 8.1 8.3 9.3 8.9 -10.5 20.0 20.0 20.0 11.5 4.9 0.0 2.1 -0.3 SUGAR11 20.0 1.1 -18.7 -2.8 -0.8 -0.5 -4.1 -0.4 -5.1 10.3 -14.8 9.4 -8.6 2.4 -11.1 -0.8 11.4 2.3 6.6 -8.8 -16.2 9.6 -11.3 2.8 -20.0 -3.9 5.0 -6.2 3.9 -4.1 0.6 13.3 20.0 20.0 -2.9 -20.0 12.3 19.9 20.0 20.0 US10 18.7 14.5 -1.0 1.0 0.8 -0.5 2.4 -1.4 2.6 4.9 -2.5 7.5 -5.0 7.5 0.4 -7.7 -7.4 -6.9 -7.1 2.6 -1.8 5.4 -5.4 6.2 2.4 2.1 1.7 0.5 3.1 -0.8 3.4 -6.1 1.6 5.6 6.0 3.1 -1.5 -19.0 9.2 2.1 US10U 18.7 15.2 0.1 1.4 1.1 -0.7 3.4 -1.9 3.6 7.5 -3.3 10.6 -6.6 10.5 1.1 -4.9 -2.5 -4.8 -3.8 3.8 -2.4 7.9 -7.5 8.8 0.3 3.1 2.8 0.8 4.7 -1.0 5.0 1.2 3.0 7.7 8.3 5.2 -1.2 -15.5 19.1 9.5 US2 20.0 12.2 -6.6 1.0 0.7 -0.5 2.4 -1.4 2.6 3.3 -6.9 6.3 -8.4 5.8 -4.1 -20.0 -20.0 -20.0 -20.0 -1.6 -6.7 3.6 -10.6 3.3 12.4 -0.1 1.4 -2.0 2.5 -3.1 2.1 -20.0 -1.0 1.7 -1.7 -5.3 -5.4 -20.0 -0.9 -15.4 US20 18.3 15.5 1.1 1.0 0.8 -0.5 2.5 -1.4 2.6 5.8 0.1 7.8 -2.7 7.9 2.3 -1.1 -0.8 -0.8 -0.6 4.0 -0.2 6.5 -4.1 7.4 -1.0 2.7 2.1 1.3 3.4 -0.0 3.8 5.2 3.5 7.4 9.2 7.2 -4.2 -10.9 20.0 15.1 US30 18.2 14.9 1.8 1.2 0.9 -0.6 2.9 -1.6 3.1 6.1 -1.2 8.8 -4.4 8.9 2.0 -6.2 -5.2 -5.0 -5.1 4.1 -0.8 7.3 -5.5 8.2 -0.4 3.1 2.6 1.3 4.2 -0.3 4.5 -2.6 3.8 7.5 8.7 7.3 -9.0 -10.6 9.8 16.4 US5 19.2 14.8 -3.5 1.0 0.8 -0.5 2.5 -1.4 2.7 4.7 -4.9 7.5 -7.0 7.5 -1.1 -9.9 -10.1 -9.8 -9.9 1.6 -3.3 4.9 -6.7 5.6 5.5 1.7 1.7 -0.2 3.1 -1.3 3.3 -10.9 0.6 4.7 4.4 0.4 -1.0 -20.0 6.5 -6.1 VIX 6.2 -9.2 1.9 -7.5 -3.2 -9.5 -1.7 -11.5 -4.0 6.1 -20.0 7.3 -20.0 -17.3 -20.0 -20.0 -20.0 -20.0 -20.0 -19.7 -20.0 4.9 -20.0 -6.2 NaN -8.9 -2.7 -10.7 -2.5 -13.3 -5.4 NaN NaN NaN NaN NaN -17.6 -20.0 NaN NaN WHEAT -20.0 2.7 20.0 -2.0 -0.6 -0.4 -3.0 -0.3 -3.7 -10.8 2.3 -11.9 -6.1 -8.3 0.1 -15.4 -14.1 -16.1 -15.4 -4.8 1.6 -20.0 -3.4 -20.0 0.7 -0.3 -4.8 0.8 -6.2 -0.2 -3.9 -20.0 -20.0 -20.0 6.8 11.5 -12.3 -20.0 -8.6 -20.0 End of report for caleb_strategy_v3