******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240625_204005 produced at 2024-06-25 21:38:17.551650 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 0.00 -0.28 -0.34 0.0 999.00 -999.00 -0.28 -0.28 -68.43 999999999.0 -56 -56 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.65 -0.16 0.0 0.82 -0.82 -0.65 -0.65 -1.91 10.0 -8 -8 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.14 0.0 0.00 0.00 0.00 0.00 -3.87 24.0 0 0 caleb_strategy_v3 JPY False False 0.02 -0.07 -0.11 0.0 0.42 -0.42 -0.07 -0.10 -4.60 17.0 -3 -4 caleb_strategy_v3 US2 False True 0.06 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -1.72 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 -11.12 13.0 -11 -11 caleb_strategy_v3 BTP False False 0.04 -0.04 -0.09 0.0 0.39 -0.39 -0.04 -0.04 -2.21 10.0 -1 -1 caleb_strategy_v3 OAT False False 0.04 0.00 -0.09 0.0 0.42 -0.42 0.00 0.00 -2.09 10.0 0 0 caleb_strategy_v3 EUR False False 0.04 -0.04 -0.07 0.0 0.59 -0.59 -0.04 -0.04 -1.60 14.0 -1 -1 caleb_strategy_v3 CAD False False 0.02 -0.05 -0.07 0.0 0.66 -0.66 -0.05 -0.05 -3.15 29.0 -2 -2 caleb_strategy_v3 MXP False False 0.01 -0.08 -0.06 0.0 0.51 -0.51 -0.08 -0.08 -6.53 60.0 -9 -9 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.06 0.0 0.08 -0.08 -0.05 -0.05 -8.53 12.0 -7 -7 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.14 -0.14 -0.02 -0.02 -18.03 51.0 -9 -9 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.05 0.0 0.18 -0.18 0.00 0.00 -0.49 2.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.09 -0.05 0.0 0.57 -0.57 -0.09 -0.04 -1.09 13.0 -2 -1 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 BOBL False False 0.04 0.00 -0.04 0.0 0.74 -0.74 0.00 0.00 -0.92 19.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -18.79 59.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.07 -0.04 0.0 0.22 -0.22 -0.07 -0.07 -12.17 68.0 -21 -22 caleb_strategy_v3 LUMBER-new False False 0.00 -0.00 -0.03 0.0 0.01 -0.01 -0.00 -0.00 -7.10 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 -0.95 3.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.03 0.0 0.13 -0.13 -0.05 -0.05 -2.45 11.0 -4 -4 caleb_strategy_v3 SOYBEAN False False 0.02 -0.09 -0.03 0.0 0.12 -0.12 -0.09 -0.10 -1.55 7.0 -5 -6 caleb_strategy_v3 DOW False False 0.01 0.00 -0.03 0.0 0.41 -0.41 0.00 0.00 -4.47 66.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.01 -0.02 0.0 0.28 -0.28 -0.01 -0.01 -2.10 36.0 -1 -1 caleb_strategy_v3 OATIES False True 0.00 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.80 2.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.02 0.0 0.08 -0.08 -0.02 -0.02 -1.73 9.0 -2 -2 caleb_strategy_v3 GOLD_micro False False 0.01 -0.05 -0.02 0.0 0.41 -0.41 -0.05 -0.05 -2.09 56.0 -7 -7 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.02 0.0 0.08 -0.08 -0.02 -0.02 -1.97 10.0 -2 -2 caleb_strategy_v3 EUROSTX False False 0.02 0.00 -0.02 0.0 0.33 -0.33 0.00 0.00 -1.12 20.0 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 PALLAD False False 0.03 -0.06 -0.01 0.0 0.06 -0.06 -0.06 -0.06 -0.30 2.0 -2 -2 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.01 0.0 0.32 -0.32 0.00 0.00 -0.24 8.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -1.23 9.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.01 0.0 0.07 -0.07 -0.02 -0.02 -1.57 8.0 -2 -2 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.01 0.0 999.00 -999.00 0.00 0.00 -0.21 999999999.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.02 0.00 0.0 0.63 -0.63 0.02 0.02 0.17 26.0 1 1 caleb_strategy_v3 US5 False False 0.03 -0.03 -0.00 0.0 0.83 -0.83 -0.03 -0.03 -0.11 25.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.00 0.0 0.12 -0.12 -0.01 -0.01 -0.10 18.0 -1 -1 caleb_strategy_v3 DAX False False 0.01 0.02 0.00 0.0 0.36 -0.36 0.02 0.04 0.01 58.0 3 6 caleb_strategy_v3 MILK False False 0.01 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.06 5.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.00 0.00 0.0 0.10 -0.10 0.00 0.00 0.15 4.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 0.01 0.00 0.0 0.06 -0.06 0.01 0.01 0.90 26.0 5 5 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.15 999999999.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.01 0.0 0.16 -0.16 0.00 0.00 0.22 6.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.06 -0.06 0.02 0.02 0.67 3.0 1 1 caleb_strategy_v3 US10 False False 0.03 0.00 0.01 0.0 0.59 -0.59 0.00 0.00 0.27 17.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.03 0.01 0.0 0.16 -0.16 0.03 0.03 0.33 10.0 2 2 caleb_strategy_v3 US30 False False 0.04 0.04 0.01 0.0 0.24 -0.24 0.04 0.04 0.23 6.0 1 1 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.30 -0.30 0.01 0.01 0.66 23.0 1 1 caleb_strategy_v3 US10U False False 0.04 0.07 0.02 0.0 0.46 -0.46 0.07 0.07 0.58 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 0.77 999999999.0 1 1 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.56 9.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.00 0.02 0.0 0.54 -0.54 0.00 0.00 0.61 22.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.10 0.03 0.0 0.39 -0.39 0.10 0.10 1.40 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 1.67 21.0 2 2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.04 0.03 0.0 0.29 -0.29 0.04 0.02 2.33 23.0 3 2 caleb_strategy_v3 RICE False True 0.01 0.00 0.04 0.0 0.00 0.00 0.00 0.00 3.93 4.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.09 0.06 0.0 0.41 -0.41 0.09 0.09 7.13 48.0 10 10 caleb_strategy_v3 DX False False 0.03 0.13 0.09 0.0 999.00 -999.00 0.13 0.13 2.74 999999999.0 4 4 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.00 0.11 0.0 0.45 -0.45 0.00 0.00 3.88 16.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.10 0.13 0.0 0.12 -0.12 0.10 0.10 5.39 5.0 4 4 caleb_strategy_v3 LIVECOW False False 0.02 0.18 0.14 0.0 0.39 -0.39 0.18 0.18 6.16 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 3.77 9.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 0.60 0.0 0.00 0.00 0.00 0.00 7.93 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 13.6 Shocked risk 43.1 Sum abs risk 44.6 Leverage 3.56 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3208053.86, 'annual_cash_vol_target': 802013.465, 'daily_cash_vol_target': 50125.8415625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6662 0.5730 9.1679 BITCOIN 1721.8389 62695.0000 2.7464 43.9420 BOBL 0.2771 116.7300 0.2374 3.7980 BTP 0.5750 116.5000 0.4936 7.8971 BUND 0.5674 132.5000 0.4282 6.8511 BUXL 1.4062 132.6800 1.0599 16.9581 CAC 70.0597 7700.0000 0.9099 14.5579 CAD 0.0025 0.7337 0.3404 5.4470 CANOLA 8.2406 600.0000 1.3734 21.9750 CHF 0.0050 1.1289 0.4424 7.0789 COCOA 326.9964 7773.0000 4.2068 67.3092 COFFEE 4.5911 229.8000 1.9979 31.9658 COPPER 0.0728 4.3640 1.6684 26.6946 CORN 5.5215 441.5000 1.2506 20.0101 COTTON2 1.1849 75.1100 1.5775 25.2402 CRUDE_W 1.0027 77.9700 1.2860 20.5752 DAX 140.8944 18371.0000 0.7669 12.2710 DOW 236.0785 39528.0000 0.5972 9.5559 DX 0.3706 105.2650 0.3521 5.6332 EUR 0.0045 1.0758 0.4185 6.6965 EURIBOR-ICE 0.0508 97.4350 0.0521 0.8343 EUROSTX 44.1926 4985.0000 0.8865 14.1842 FEEDCOW 1.8094 260.5000 0.6946 11.1135 GASOIL 10.2657 778.5000 1.3187 21.0984 GASOLINE 0.0343 2.2763 1.5076 24.1215 GAS_US_mini 0.1043 2.8350 3.6787 58.8591 GBP 0.0054 1.2700 0.4230 6.7681 GOLD_micro 22.2551 2330.9000 0.9548 15.2766 HEATOIL 0.0347 2.5475 1.3604 21.7662 JGB-SGX-mini 0.2342 143.4100 0.1633 2.6126 JPY 0.0000 0.0063 0.5809 9.2951 LEANHOG 1.1073 73.5250 1.5060 24.0961 LIVECOW 1.2816 184.2500 0.6956 11.1293 LUMBER-new 9.6099 473.0000 2.0317 32.5069 MILK 0.3221 20.0900 1.6032 25.6513 MXP 0.0006 0.0544 1.1515 18.4239 NASDAQ_micro 145.7759 19948.7500 0.7308 11.6920 NIKKEI 326.6928 39270.0000 0.8319 13.3106 NZD 0.0035 0.6120 0.5759 9.2138 OAT 0.5102 124.4200 0.4101 6.5615 OATIES 7.1225 314.0000 2.2683 36.2928 OJ 8.1056 429.0000 1.8894 30.2309 PALLAD 23.7559 937.0000 2.5353 40.5650 PLAT 15.8686 998.4000 1.5894 25.4304 REDWHEAT 11.3086 595.7500 1.8982 30.3713 RICE 0.1441 15.4600 0.9322 14.9153 ROBUSTA 74.6926 4122.0000 1.8120 28.9928 RUSSELL 19.5703 2041.9000 0.9584 15.3350 SHATZ 0.0907 105.7550 0.0858 1.3721 SILVER-mini 0.6118 29.9000 2.0462 32.7391 SMI 79.5498 12175.0000 0.6534 10.4542 SOFR 0.0659 96.4000 0.0683 1.0933 SOYBEAN 11.1022 1111.2500 0.9991 15.9852 SOYMEAL 4.6230 339.1000 1.3633 21.8131 SOYOIL 0.6263 42.8100 1.4629 23.4070 SP400 23.7538 2950.7000 0.8050 12.8804 SP500_micro 28.8072 5531.5000 0.5208 8.3326 SUGAR11 0.2996 19.5400 1.5330 24.5285 US10 0.3980 110.5781 0.3600 5.7592 US10U 0.5407 114.4844 0.4723 7.5570 US2 0.1010 102.1758 0.0989 1.5822 US20 0.7985 120.1250 0.6648 10.6360 US30 1.1918 128.2500 0.9293 14.8687 US5 0.2579 106.8594 0.2414 3.8619 VIX 0.3616 15.9500 2.2671 36.2736 WHEAT 10.4494 581.0000 1.7985 28.7762 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 666.25 0.57 381.76 1.00 381.76 50125.84 131.30 4.10 53.86 BITCOIN 62.70 2.75 172.18 1.00 172.18 50125.84 291.12 -5.96 -173.48 BOBL 1167.30 0.24 277.09 1.07 296.49 50125.84 169.07 -5.36 -90.60 BTP 1165.00 0.49 575.01 1.07 615.26 50125.84 81.47 -7.95 -64.77 BUND 1325.00 0.43 567.36 1.07 607.08 50125.84 82.57 -2.53 -20.85 BUXL 1326.80 1.06 1406.25 1.07 1504.68 50125.84 33.31 -5.74 -19.14 CAC 770.00 0.91 700.60 1.07 749.64 50125.84 66.87 -7.42 -49.64 CAD 733.70 0.34 249.78 1.00 249.78 50125.84 200.68 -6.05 -121.42 CANOLA 120.00 1.37 164.81 0.73 120.39 50125.84 416.35 -17.80 -741.02 CHF 1411.19 0.44 624.35 1.00 624.35 50125.84 80.28 -5.22 -41.93 COCOA 777.30 4.21 3269.96 1.00 3269.96 50125.84 15.33 5.22 8.00 COFFEE 861.75 2.00 1721.66 1.00 1721.66 50125.84 29.11 6.48 18.86 COPPER 1091.00 1.67 1820.24 1.00 1820.24 50125.84 27.54 -0.70 -1.92 CORN 220.75 1.25 276.08 1.00 276.08 50125.84 181.57 -19.32 -350.75 COTTON2 375.55 1.58 592.43 1.00 592.43 50125.84 84.61 -13.51 -114.34 CRUDE_W 779.70 1.29 1002.66 1.00 1002.66 50125.84 49.99 9.95 49.76 DAX 183.71 0.77 140.89 1.07 150.76 50125.84 332.49 0.01 0.26 DOW 197.64 0.60 118.04 1.00 118.04 50125.84 424.65 -4.53 -192.20 DX 1052.65 0.35 370.61 1.00 370.61 50125.84 135.25 7.82 105.79 EUR 1344.69 0.42 562.80 1.00 562.80 50125.84 89.07 -6.93 -61.75 EURIBOR-ICE 2435.88 0.05 127.02 1.07 135.91 50125.84 368.81 -1.52 -56.02 EUROSTX 498.50 0.89 441.93 1.07 472.86 50125.84 106.01 -3.09 -32.78 FEEDCOW 1302.50 0.69 904.71 1.00 904.71 50125.84 55.41 -1.29 -7.15 GASOIL 778.50 1.32 1026.57 1.00 1026.57 50125.84 48.83 0.71 3.47 GASOLINE 956.05 1.51 1441.33 1.00 1441.33 50125.84 34.78 5.13 17.85 GAS_US_mini 70.88 3.68 260.73 1.00 260.73 50125.84 192.25 0.43 8.31 GBP 793.75 0.42 335.76 1.00 335.76 50125.84 149.29 1.59 23.70 GOLD_micro 233.09 0.95 222.55 1.00 222.55 50125.84 225.23 -2.72 -61.30 HEATOIL 1069.95 1.36 1455.54 1.00 1455.54 50125.84 34.44 -6.34 -21.82 JGB-SGX-mini 143410.00 0.16 23417.04 0.01 146.61 50125.84 341.90 1.05 35.83 JPY 792.69 0.58 460.51 1.00 460.51 50125.84 108.85 -16.28 -177.26 LEANHOG 294.10 1.51 442.92 1.00 442.92 50125.84 113.17 -16.17 -182.95 LIVECOW 737.00 0.70 512.64 1.00 512.64 50125.84 97.78 19.00 185.79 LUMBER-new 130.07 2.03 264.27 1.00 264.27 50125.84 189.68 -17.48 -331.63 MILK 401.80 1.60 644.17 1.00 644.17 50125.84 77.81 -0.37 -2.88 MXP 272.20 1.15 313.44 1.00 313.44 50125.84 159.92 -2.78 -44.49 NASDAQ_micro 398.98 0.73 291.55 1.00 291.55 50125.84 171.93 5.83 100.21 NIKKEI 39270.00 0.83 32669.28 0.01 204.54 50125.84 245.07 -0.79 -19.43 NZD 611.95 0.58 352.40 1.00 352.40 50125.84 142.24 4.51 64.22 OAT 1244.20 0.41 510.24 1.07 545.95 50125.84 91.81 -6.67 -61.21 OATIES 157.00 2.27 356.12 1.00 356.12 50125.84 140.75 -11.10 -156.24 OJ 643.50 1.89 1215.85 1.00 1215.85 50125.84 41.23 7.63 31.47 PALLAD 937.00 2.54 2375.59 1.00 2375.59 50125.84 21.10 -4.17 -8.81 PLAT 499.20 1.59 793.43 1.00 793.43 50125.84 63.18 1.53 9.67 REDWHEAT 297.88 1.90 565.43 1.00 565.43 50125.84 88.65 -13.32 -118.04 RICE 309.20 0.93 288.24 1.00 288.24 50125.84 173.90 9.28 161.39 ROBUSTA 412.20 1.81 746.93 1.00 746.93 50125.84 67.11 8.38 56.23 RUSSELL 102.10 0.96 97.85 1.00 97.85 50125.84 512.26 -7.17 -367.25 SHATZ 1057.55 0.09 90.69 1.07 97.04 50125.84 516.54 -7.38 -381.17 SILVER-mini 747.50 2.05 1529.53 1.00 1529.53 50125.84 32.77 1.31 4.28 SMI 1217.50 0.65 795.50 1.12 890.48 50125.84 56.29 19.62 110.45 SOFR 2410.00 0.07 164.68 1.00 164.68 50125.84 304.38 4.28 130.42 SOYBEAN 555.62 1.00 555.11 1.00 555.11 50125.84 90.30 -18.51 -167.16 SOYMEAL 339.10 1.36 462.30 1.00 462.30 50125.84 108.43 -12.25 -132.79 SOYOIL 256.86 1.46 375.77 1.00 375.77 50125.84 133.40 -15.87 -211.69 SP400 2950.70 0.81 2375.38 1.00 2375.38 50125.84 21.10 -7.06 -14.89 SP500_micro 276.58 0.52 144.04 1.00 144.04 50125.84 348.01 8.81 306.60 SUGAR11 218.85 1.53 335.50 1.00 335.50 50125.84 149.41 -0.31 -4.65 US10 1105.78 0.36 398.03 1.00 398.03 50125.84 125.94 1.68 21.13 US10U 1144.84 0.47 540.72 1.00 540.72 50125.84 92.70 4.90 45.40 US2 2043.52 0.10 202.07 1.00 202.07 50125.84 248.06 -5.47 -135.67 US20 1201.25 0.66 798.53 1.00 798.53 50125.84 62.77 7.02 44.04 US30 1282.50 0.93 1191.82 1.00 1191.82 50125.84 42.06 4.36 18.33 US5 1068.59 0.24 257.93 1.00 257.93 50125.84 194.34 -0.44 -8.48 VIX 159.50 2.27 361.60 1.00 361.60 50125.84 138.62 -20.00 -277.24 WHEAT 290.50 1.80 522.47 1.00 522.47 50125.84 95.94 -13.63 -130.72 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 53.860 0.010 2.5 1.397 BITCOIN -173.481 0.043 2.5 -18.786 BOBL -90.602 0.004 2.5 -0.919 BTP -64.769 0.014 2.5 -2.209 BUND -20.855 0.004 2.5 -0.211 BUXL -19.136 0.004 2.5 -0.194 CAC -49.639 0.014 2.5 -1.693 CAD -121.415 0.010 2.5 -3.150 CANOLA -741.024 0.010 2.5 -18.028 CHF -41.930 0.010 2.5 -1.088 COCOA 7.997 0.009 2.5 0.171 COFFEE 18.858 0.005 2.5 0.220 COPPER -1.917 0.043 2.5 -0.208 CORN -350.754 0.010 2.5 -8.533 COTTON2 -114.337 0.009 2.5 -2.449 CRUDE_W 49.759 0.043 2.5 5.388 DAX 0.257 0.014 2.5 0.009 DOW -192.204 0.009 2.5 -4.467 DX 105.793 0.010 2.5 2.745 EUR -61.747 0.010 2.5 -1.602 EURIBOR-ICE -56.016 0.014 2.5 -1.911 EUROSTX -32.779 0.014 2.5 -1.118 FEEDCOW -7.152 0.013 2.5 -0.237 GASOIL 3.472 0.017 2.5 0.151 GASOLINE 17.851 0.017 2.5 0.774 GAS_US_mini 8.313 0.043 2.5 0.900 GBP 23.701 0.010 2.5 0.615 GOLD_micro -61.297 0.014 2.5 -2.091 HEATOIL -21.820 0.017 2.5 -0.946 JGB-SGX-mini 35.831 0.043 2.5 3.880 JPY -177.258 0.010 2.5 -4.599 LEANHOG -182.950 0.024 2.5 -11.119 LIVECOW 185.787 0.013 2.5 6.156 LUMBER-new -331.628 0.009 2.5 -7.100 MILK -2.880 0.009 2.5 -0.062 MXP -44.485 0.059 2.5 -6.529 NASDAQ_micro 100.205 0.009 2.5 2.329 NIKKEI -19.435 0.043 2.5 -2.105 NZD 64.221 0.010 2.5 1.666 OAT -61.214 0.014 2.5 -2.088 OATIES -156.242 0.010 2.5 -3.801 OJ 31.473 0.009 2.5 0.674 PALLAD -8.807 0.014 2.5 -0.300 PLAT 9.667 0.014 2.5 0.330 REDWHEAT -118.044 0.005 2.5 -1.566 RICE 161.386 0.010 2.5 3.926 ROBUSTA 56.230 0.005 2.5 0.657 RUSSELL -367.251 0.013 2.5 -12.170 SHATZ -381.169 0.004 2.5 -3.865 SILVER-mini 4.285 0.014 2.5 0.146 SMI 110.453 0.014 2.5 3.767 SOFR 130.419 0.024 2.5 7.926 SOYBEAN -167.159 0.004 2.5 -1.555 SOYMEAL -132.788 0.004 2.5 -1.235 SOYOIL -211.691 0.004 2.5 -1.971 SP400 -14.890 0.013 2.5 -0.493 SP500_micro 306.605 0.009 2.5 7.125 SUGAR11 -4.648 0.009 2.5 -0.099 US10 21.130 0.005 2.5 0.268 US10U 45.403 0.005 2.5 0.575 US2 -135.674 0.005 2.5 -1.719 US20 44.044 0.005 2.5 0.558 US30 18.329 0.005 2.5 0.232 US5 -8.485 0.005 2.5 -0.108 VIX -277.242 0.099 2.5 -68.435 WHEAT -130.722 0.005 2.5 -1.734 ===================== Position diags ===================== AUD 3.41 BITCOIN 31.52 BOBL 1.71 BTP 2.78 BUND 0.84 BUXL 0.34 CAC 2.28 CAD 5.21 CANOLA 10.13 CHF 2.08 COCOA 0.33 COFFEE 0.34 COPPER 2.98 CORN 4.42 COTTON2 1.81 CRUDE_W 5.41 DAX 11.34 DOW 9.87 DX 3.51 EUR 2.31 EURIBOR-ICE 12.58 EUROSTX 3.62 FEEDCOW 1.84 GASOIL 2.12 GASOLINE 1.51 GAS_US_mini 20.82 GBP 3.87 GOLD_micro 7.68 HEATOIL 1.49 JGB-SGX-mini 37.02 JPY 2.82 LEANHOG 6.88 LIVECOW 3.24 LUMBER-new 4.06 MILK 1.67 MXP 23.47 NASDAQ_micro 4.00 NIKKEI 26.54 NZD 3.69 OAT 3.13 OATIES 3.42 OJ 0.88 PALLAD 0.72 PLAT 2.15 REDWHEAT 1.18 RICE 4.23 ROBUSTA 0.78 RUSSELL 16.97 SHATZ 5.24 SILVER-mini 1.12 SMI 1.92 SOFR 18.50 SOYBEAN 0.84 SOYMEAL 1.01 SOYOIL 1.24 SP400 0.70 SP500_micro 8.09 SUGAR11 3.18 US10 1.60 US10U 1.17 US2 3.14 US20 0.80 US30 0.53 US5 2.46 VIX 34.22 WHEAT 1.27 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.4 1.1 1.7 5.0 5 BITCOIN -18.8 -21.9 -15.6 0.0 0 BOBL -0.9 -1.1 -0.7 0.0 0 BTP -2.2 -2.5 -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 -3.2 -3.7 -2.6 -2.0 -2 CANOLA -18.0 -19.0 -17.0 -9.0 -9 CHF -1.1 -1.3 -0.9 -2.0 -2 COCOA 0.2 0.1 0.2 1.0 1 COFFEE 0.2 0.2 0.3 0.0 0 COPPER -0.2 -0.5 0.1 0.0 0 CORN -8.5 -9.0 -8.1 -7.0 -7 COTTON2 -2.4 -2.6 -2.3 -4.0 -4 CRUDE_W 5.4 4.8 5.9 4.0 4 DAX 0.0 -1.1 1.1 3.0 3 DOW -4.5 -5.5 -3.5 0.0 0 DX 2.7 2.4 3.1 4.0 4 EUR -1.6 -1.8 -1.4 -1.0 -1 EURIBOR-ICE -1.9 -3.2 -0.7 -8.0 -8 EUROSTX -1.1 -1.5 -0.8 0.0 0 FEEDCOW -0.2 -0.4 -0.1 0.0 0 GASOIL 0.2 -0.1 0.4 0.0 0 GASOLINE 0.8 0.6 0.9 1.0 1 GAS_US_mini 0.9 -1.2 3.0 5.0 5 GBP 0.6 0.2 1.0 0.0 0 GOLD_micro -2.1 -2.9 -1.3 -7.0 -7 HEATOIL -0.9 -1.1 -0.8 0.0 0 JGB-SGX-mini 3.9 0.2 7.6 0.0 0 JPY -4.6 -4.9 -4.3 -3.0 -3 LEANHOG -11.1 -11.8 -10.4 -11.0 -11 LIVECOW 6.2 5.8 6.5 8.0 8 LUMBER-new -7.1 -7.5 -6.7 -1.0 -1 MILK -0.1 -0.2 0.1 NaN 0 MXP -6.5 -8.9 -4.2 -9.0 -9 NASDAQ_micro 2.3 1.9 2.7 3.0 3 NIKKEI -2.1 -4.8 0.5 -1.0 -1 NZD 1.7 1.3 2.0 2.0 2 OAT -2.1 -2.4 -1.8 0.0 0 OATIES -3.8 -4.1 -3.5 NaN 0 OJ 0.7 0.6 0.8 1.0 1 PALLAD -0.3 -0.4 -0.2 -2.0 -2 PLAT 0.3 0.1 0.5 2.0 2 REDWHEAT -1.6 -1.7 -1.4 -2.0 -2 RICE 3.9 3.5 4.3 NaN 0 ROBUSTA 0.7 0.6 0.7 1.0 1 RUSSELL -12.2 -13.9 -10.5 -21.0 -21 SHATZ -3.9 -4.4 -3.3 NaN 0 SILVER-mini 0.1 0.0 0.3 0.0 0 SMI 3.8 3.6 4.0 0.0 0 SOFR 7.9 6.1 9.8 NaN 0 SOYBEAN -1.6 -1.6 -1.5 -5.0 -5 SOYMEAL -1.2 -1.3 -1.1 0.0 0 SOYOIL -2.0 -2.1 -1.8 -2.0 -2 SP400 -0.5 -0.6 -0.4 0.0 0 SP500_micro 7.1 6.3 7.9 10.0 10 SUGAR11 -0.1 -0.4 0.2 -1.0 -1 US10 0.3 0.1 0.4 0.0 0 US10U 0.6 0.5 0.7 2.0 2 US2 -1.7 -2.0 -1.4 NaN 0 US20 0.6 0.5 0.6 0.0 0 US30 0.2 0.2 0.3 1.0 1 US5 -0.1 -0.4 0.1 -1.0 -1 VIX -68.4 -71.9 -65.0 -56.0 -56 WHEAT -1.7 -1.9 -1.6 -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 -0.1 0.0 -0.0 0.0 -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 -0.5 -0.2 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 0.4 -0.2 0.6 -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 -0.1 0.3 -0.1 0.6 -0.1 -0.2 -0.5 0.4 0.4 0.5 -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 -0.5 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 0.0 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 -0.1 -0.6 -0.6 0.2 -0.5 -0.4 0.1 0.1 BUND 0.5 0.1 -0.2 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.1 0.0 -0.0 0.1 -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 0.0 -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 0.0 0.2 0.0 0.3 0.0 -0.0 0.3 -0.1 0.5 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.1 0.0 -0.1 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 -0.0 0.3 -0.2 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 0.1 -0.5 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.3 -0.0 -0.1 -0.0 0.1 -0.2 0.1 -0.2 0.0 -0.0 0.5 0.2 -0.3 -0.2 0.0 -0.3 -0.1 -0.2 CANOLA -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 -0.2 -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 -0.4 -0.5 -0.1 0.1 -0.3 -0.6 0.1 -0.2 CHF 0.6 0.6 -0.4 -0.0 -0.0 -0.0 -0.1 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 0.0 -1.1 0.3 0.6 0.4 -0.5 0.2 -0.5 0.0 -0.4 COCOA 0.1 -0.2 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 0.2 0.0 0.0 0.3 0.3 0.4 0.4 0.0 0.1 -0.1 0.2 -0.0 -2.3 0.0 -0.0 0.1 -0.0 0.2 -0.0 1.1 -0.1 0.4 -0.1 0.6 0.3 0.1 0.5 0.3 COFFEE 0.0 0.1 0.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 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 0.4 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 -0.1 0.1 -0.1 0.1 -0.1 0.0 0.0 -0.1 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.1 -1.1 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 -0.1 0.5 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.5 -0.1 -0.1 -0.3 -0.3 -0.4 -0.3 -0.1 -0.1 -0.2 -0.3 -0.2 -1.8 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -1.1 -0.1 0.0 0.2 0.2 -0.7 -0.6 -0.7 -0.0 COTTON2 -0.1 -0.4 -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 0.4 0.1 -0.4 -0.6 -0.1 -0.3 0.4 -0.0 CRUDE_W 0.3 -0.3 -0.1 -0.0 0.0 -0.0 0.1 0.1 0.0 0.1 0.2 0.2 0.5 0.1 0.0 0.2 0.2 0.3 0.3 0.0 0.1 0.2 0.3 0.1 -0.6 -0.0 0.0 -0.0 0.1 0.1 0.0 0.1 0.1 -0.3 -0.5 -0.0 0.7 0.6 0.7 0.7 DAX -0.6 -0.4 -0.4 0.1 0.0 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 -0.0 0.4 -0.0 -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 0.1 0.0 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 0.0 0.1 0.0 0.3 0.0 -0.5 -0.2 -0.4 -0.4 -0.4 0.3 -0.1 0.4 -0.2 DX 0.2 -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 0.1 0.0 0.1 0.1 0.2 0.1 0.9 0.5 0.6 -0.3 0.6 -0.1 0.3 -0.1 0.5 EUR -0.3 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.3 -0.2 -0.4 -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 -0.0 -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 -0.5 -0.5 -0.5 0.1 0.0 0.2 0.0 0.3 0.0 0.0 0.4 -0.0 0.6 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.1 -0.0 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 0.1 -0.4 0.1 -0.6 0.2 FEEDCOW 0.0 0.2 -0.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 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 0.4 0.5 0.2 -0.4 0.3 0.7 0.6 0.7 GASOIL 0.4 -0.3 -0.3 -0.0 0.0 -0.0 0.1 0.1 0.0 0.1 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 0.0 -0.0 0.1 0.1 0.0 0.0 0.2 0.2 -0.0 -0.3 -0.7 -0.4 -0.7 -0.7 GASOLINE 0.2 -0.4 -0.1 -0.0 0.0 -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 0.1 -2.7 -0.0 0.0 -0.0 0.1 0.1 0.0 0.4 -0.1 -0.2 -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 0.0 0.1 0.0 -0.1 -0.2 -0.0 -0.4 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 0.1 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 0.0 -0.0 0.1 -0.0 0.2 0.0 0.2 -0.1 0.0 0.4 0.4 -0.1 -0.7 -0.2 -0.4 GOLD_micro -0.5 -0.5 0.3 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 -0.0 0.3 -0.1 0.0 -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 0.0 0.2 0.0 0.6 0.0 -0.3 0.3 -0.1 HEATOIL 0.4 -0.2 -0.3 -0.0 0.0 -0.0 0.1 0.1 0.0 0.1 -0.2 0.2 0.2 0.1 -0.1 -0.2 0.2 -0.1 0.1 -0.0 -0.1 0.2 0.1 0.1 -2.7 -0.0 0.0 -0.1 0.1 0.0 0.0 -0.2 0.1 -0.2 -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 -0.1 -0.3 -0.3 -0.4 -0.2 -0.0 0.5 JPY -0.1 -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 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 2.7 -0.1 -0.0 -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 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 0.4 -0.4 0.3 -0.4 -0.2 -0.2 -0.2 -0.3 -0.2 0.8 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -1.1 -0.0 -0.5 -0.6 -0.6 -0.4 -0.3 -0.3 0.2 LIVECOW 0.3 0.5 -0.0 -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 0.2 0.7 0.5 0.7 LUMBER-new -0.1 -0.3 -0.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.4 -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 -0.2 -0.2 -0.4 -0.7 -0.3 -0.4 0.0 -0.2 MILK -0.4 0.6 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.2 -0.0 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 -0.0 -0.0 0.1 1.7 0.0 -0.0 0.1 -0.0 -0.0 0.0 -1.1 -0.3 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 0.0 -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 -0.2 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 0.1 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 -0.3 0.1 NIKKEI -0.0 -0.2 -0.3 0.1 0.0 0.2 0.1 0.3 0.1 0.1 0.3 0.1 0.6 0.1 -0.0 0.3 0.2 0.2 0.2 0.0 0.2 0.1 0.5 0.0 -2.7 0.0 0.1 0.2 0.0 0.6 0.0 1.1 -0.4 -0.3 -0.6 -0.5 -0.0 -0.3 -0.3 -0.4 NZD -0.0 0.5 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.0 0.1 0.1 0.0 0.0 0.0 0.0 0.1 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 0.2 0.1 -0.2 0.2 0.1 OAT -0.0 -0.2 -0.4 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.0 0.1 0.0 0.1 -0.1 -0.1 -0.0 -0.1 -0.0 0.3 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.7 -0.1 -0.6 -0.5 -0.1 -0.7 -0.6 -0.1 -0.1 OATIES -0.6 -0.3 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -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 -0.0 -0.0 -0.0 0.0 -0.4 -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 0.1 -2.7 0.0 0.0 0.1 -0.0 0.2 0.0 0.9 0.2 -0.4 0.6 0.6 0.2 0.3 0.7 0.7 PALLAD -0.1 -0.1 0.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.0 -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 -0.1 0.1 REDWHEAT -0.6 0.0 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 -0.2 -0.2 -0.8 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.5 -0.5 -0.6 0.0 0.4 -0.5 -0.7 -0.2 -0.6 RICE -0.3 0.3 0.2 -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 0.1 0.1 -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 0.4 0.4 0.4 0.4 0.1 0.2 0.0 0.5 0.1 -2.7 0.0 0.0 0.2 0.0 0.3 0.0 1.1 0.3 0.6 0.2 0.6 0.1 -0.3 0.3 0.1 RUSSELL -0.4 -0.1 -0.1 0.0 0.0 0.2 0.0 0.2 0.0 -0.0 0.3 -0.1 0.4 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.2 -0.1 -0.2 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 -0.3 -0.6 -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 -0.0 0.0 -0.1 0.0 -1.1 0.3 0.2 -0.2 -0.2 -0.7 -0.5 -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 0.0 -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 0.4 -0.2 -0.3 0.2 0.1 SMI -0.1 0.6 0.3 0.1 0.0 0.2 0.1 0.3 0.0 0.1 0.5 0.1 0.6 0.2 0.2 -0.1 0.0 -0.1 -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 -0.2 0.2 0.5 0.6 0.3 0.1 0.1 -0.0 SOFR 0.6 0.6 -0.1 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 0.1 -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 -0.1 -0.0 -0.1 -0.1 -0.3 -0.2 -0.3 -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 -0.2 -0.4 -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 -0.1 -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 -0.0 -0.0 0.5 0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.3 -0.0 -0.2 -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 -0.1 -0.3 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.3 0.0 0.2 -0.1 -0.2 -0.5 -0.6 -0.0 -0.0 SP400 -0.4 -0.3 -0.2 0.0 0.0 0.2 0.0 0.3 0.0 0.0 0.3 -0.1 0.4 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.0 0.3 -0.1 -1.7 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.0 -0.2 -0.5 -0.5 -0.1 0.1 -0.3 0.1 -0.7 SP500_micro 0.6 0.6 -0.0 0.1 0.0 0.2 0.1 0.3 0.1 0.0 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 0.4 0.6 0.6 0.4 0.2 0.0 0.1 -0.0 SUGAR11 0.6 0.1 -0.6 -0.0 -0.0 -0.0 -0.1 -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 -0.2 0.0 0.7 0.5 0.6 -0.0 -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 0.0 -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 -0.0 -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 -0.0 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 0.1 -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 0.3 0.3 0.2 -0.3 -0.3 0.3 0.6 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 0.2 0.0 -0.0 -0.7 0.2 -0.2 VIX 0.3 -0.4 0.1 -0.1 -0.1 -0.4 -0.0 -0.7 -0.1 0.0 -0.9 0.1 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 0.0 -0.9 -0.1 NaN -0.2 -0.1 -0.5 -0.1 -0.8 -0.1 NaN NaN NaN NaN NaN -0.9 -1.1 NaN NaN WHEAT -0.6 -0.0 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -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 -2.5 6.9 5.1 -1.3 -5.3 -1.0 -5.2 0.8 -2.7 2.4 -0.4 7.1 -5.1 9.8 12.2 -2.4 -2.8 -2.6 -2.6 4.7 3.1 2.2 -1.4 3.5 3.6 3.1 0.5 2.6 1.3 0.2 2.0 -0.0 15.8 6.3 7.5 11.7 0.9 -6.6 2.4 -1.0 BITCOIN -14.9 -7.7 0.9 -3.5 -5.3 0.4 -6.5 1.3 -7.0 -11.3 13.7 -18.9 17.1 -2.8 -1.0 -7.6 -7.4 -7.6 -7.7 -0.7 15.3 -20.0 20.0 -15.9 -20.0 0.4 -13.3 9.8 -13.0 15.6 -7.6 -3.7 -20.0 11.9 11.8 14.6 -16.6 -4.2 0.9 1.0 BOBL 20.0 4.5 -6.7 1.0 0.8 -0.4 2.1 -1.2 2.4 3.6 -6.2 5.5 -5.3 4.1 -2.6 -20.0 -8.7 -9.9 -8.2 -0.6 -3.9 6.2 -5.0 4.5 3.8 0.0 1.6 -1.3 3.1 -1.5 2.3 -8.5 7.4 0.4 -6.8 -1.1 -20.0 -15.5 -7.3 -10.1 BTP -1.7 -7.2 -10.1 1.8 1.5 -0.7 3.7 -2.1 4.2 4.5 5.8 1.2 8.5 -3.3 -7.2 -0.2 4.8 2.0 3.3 -3.1 0.7 0.0 4.5 -2.5 -20.0 -2.0 1.2 1.6 -0.1 4.6 -2.1 13.4 -6.1 -20.0 -18.3 6.3 -15.7 -12.0 2.2 2.5 BUND 16.6 3.1 -4.8 1.1 0.9 -0.4 2.3 -1.3 2.6 4.0 -4.8 5.9 -2.7 4.5 -1.8 2.5 -0.6 -2.1 -2.6 0.2 -2.4 6.1 -3.4 4.6 1.3 0.6 2.0 -0.4 3.5 -0.7 2.7 3.3 7.3 -1.5 -6.7 1.9 -20.0 -18.9 -5.8 -11.1 BUXL 13.8 0.8 -2.1 1.3 1.1 -0.5 2.6 -1.5 3.0 1.1 -3.5 4.3 -2.3 3.3 -2.4 -2.1 -3.0 -4.5 -4.4 -0.4 -2.2 3.9 -3.7 3.3 -2.2 0.5 0.7 0.0 2.8 -0.4 2.3 -0.6 5.5 -5.0 -9.5 3.7 -20.0 -20.0 -14.4 -9.4 CAC -20.0 -20.0 -19.5 4.8 4.3 6.7 4.5 7.6 4.2 -0.5 9.7 -8.4 13.6 -10.9 -6.2 -7.3 0.4 -1.1 0.9 -10.8 2.3 -13.2 10.8 -18.9 -9.9 -3.2 -0.4 1.6 -4.8 4.2 -6.4 12.4 -20.0 -20.0 -20.0 -8.5 -1.2 7.7 -6.9 10.9 CAD -0.6 1.2 -6.3 -1.6 -6.7 -1.2 -6.6 1.0 -3.4 20.0 -16.8 6.4 -15.3 -3.7 -11.8 -4.2 -2.8 -3.6 -3.1 -6.1 -9.4 7.4 -10.4 -0.3 -0.8 -4.3 11.5 -6.2 6.3 -6.6 0.0 -0.3 20.0 4.8 -7.8 -7.1 0.8 -8.5 -3.9 -5.5 CANOLA -20.0 -3.2 18.3 -1.6 -1.9 -0.4 -2.6 -0.3 -2.9 -7.9 -4.3 -8.7 -6.4 -7.9 -3.2 -12.5 -9.5 -14.0 -13.4 -6.5 -4.3 -14.1 -6.8 -11.9 -19.5 -2.1 -4.3 -1.5 -4.1 -2.4 -3.6 -20.0 -16.7 -14.3 -3.6 4.0 -8.9 -16.8 2.5 -5.3 CHF 18.9 17.1 -12.5 -1.3 -5.2 -0.9 -5.1 0.8 -2.7 -14.6 -14.2 7.3 -13.0 10.2 -4.0 -16.6 -16.4 -16.8 -16.5 1.6 -9.8 1.0 -11.3 8.4 4.4 1.3 -4.2 -3.1 0.7 -3.6 4.1 -20.0 11.3 20.0 11.7 -15.3 4.5 -14.5 1.2 -12.3 COCOA 4.3 -6.4 -12.1 -1.2 -1.4 -0.3 -2.0 -0.2 -2.2 -6.0 3.5 -3.6 4.6 0.4 1.9 16.0 15.6 19.3 19.6 3.5 6.7 -6.9 7.9 -0.4 -17.0 1.7 -2.3 4.1 -1.4 5.7 -0.1 20.0 -6.0 13.7 -3.2 20.0 10.0 2.9 13.6 7.9 COFFEE 0.6 2.5 10.3 -3.2 -3.7 -0.7 -5.2 -0.5 -5.6 2.8 12.5 6.1 11.7 12.7 11.2 2.3 7.2 5.3 7.2 14.9 16.2 8.7 13.3 11.6 -20.0 4.4 1.0 6.9 0.9 6.8 1.7 10.2 17.8 20.0 0.8 20.0 5.4 -12.5 16.0 -3.6 COPPER -20.0 -16.2 14.9 -1.2 -1.8 0.1 -2.2 0.4 -2.3 -6.8 3.7 -7.4 3.5 -6.9 1.2 1.1 -2.9 0.3 -1.5 0.9 5.6 -6.4 5.3 -4.9 -7.9 0.6 -1.9 2.3 -2.4 2.1 -1.7 5.2 -4.6 -2.3 5.3 14.6 -0.7 -0.6 11.3 8.0 CORN -14.4 -2.7 15.5 -3.1 -3.6 -0.7 -5.0 -0.5 -5.4 -15.2 -8.8 -15.7 -15.1 -13.9 -7.6 -16.5 -12.5 -17.8 -16.8 -9.3 -7.5 -20.0 -12.3 -16.6 -13.8 -2.7 -10.7 -3.0 -8.1 -5.8 -5.4 -20.0 -6.0 1.4 5.7 6.2 -20.0 -18.5 -20.0 -0.5 COTTON2 -2.7 -13.6 -20.0 -2.3 -2.8 -0.5 -3.9 -0.4 -4.2 10.7 -11.6 -5.5 -8.2 -8.8 -12.7 -7.2 1.5 -1.1 0.9 -14.9 -14.0 2.6 -8.4 -7.4 -20.0 -3.7 3.6 -2.5 1.2 -0.3 -1.9 -0.5 18.2 3.8 -11.9 -20.0 -3.6 -10.3 11.8 -0.7 CRUDE_W 8.6 -8.2 -2.9 -1.0 5.3 -0.0 7.1 2.5 2.8 14.6 6.7 20.0 14.3 13.6 3.2 12.1 12.1 12.9 12.6 4.2 4.8 20.0 9.7 13.2 -4.6 -3.4 4.9 -1.2 6.2 2.6 0.6 2.6 2.2 -8.7 -14.6 -1.4 20.0 18.2 20.0 20.0 DAX -20.0 -11.4 -11.5 5.0 4.5 7.0 4.8 8.0 4.4 -7.2 14.8 -10.0 16.5 -10.4 -1.3 -9.5 -11.4 -10.7 -11.5 -0.9 11.5 -8.8 17.9 -10.1 11.2 0.4 -1.0 7.1 -4.0 10.0 -4.5 -8.7 -20.0 -20.0 -20.0 8.3 3.0 5.7 -3.5 9.8 DOW 0.7 -3.7 -12.8 4.6 4.2 6.4 4.4 7.3 4.1 7.8 11.7 11.2 13.4 -0.2 -1.9 -10.7 -11.2 -11.2 -11.5 0.9 6.2 8.7 13.3 3.1 -13.4 0.8 0.9 5.0 1.8 9.4 0.3 -8.5 -9.4 -11.7 -12.3 -13.2 9.3 -3.1 11.5 -7.3 DX 6.3 -6.3 6.8 -1.3 -5.4 -1.0 -5.3 0.8 -2.8 13.4 14.5 17.4 13.7 9.0 12.4 7.1 6.9 7.3 7.1 8.4 9.0 13.7 9.2 11.0 -20.0 4.8 4.7 5.0 7.7 5.1 6.2 16.7 20.0 20.0 -9.1 19.6 -2.3 8.1 -1.8 13.9 EUR -10.7 3.7 -3.9 -1.4 -5.7 -1.0 -5.6 0.9 -2.9 -12.5 -10.7 -16.9 -9.8 -12.7 -7.7 -7.3 -7.1 -7.3 -7.0 -6.7 -5.3 -11.7 -5.1 -10.8 20.0 -3.5 -3.8 -1.6 -7.4 -1.1 -6.8 -7.3 -1.6 -15.3 -3.8 -0.0 -8.7 -20.0 -9.0 -15.4 EURIBOR-ICE 15.4 -0.2 -15.8 1.0 0.8 -0.4 2.1 -1.2 2.3 2.6 -3.8 5.4 -0.1 3.6 -4.0 -5.9 -4.9 -5.8 -5.0 -1.5 -2.9 4.1 -1.6 2.8 11.4 -0.7 0.8 -1.2 2.1 -0.4 1.4 -2.0 3.4 -2.3 -7.6 -3.4 -20.0 -20.0 -3.8 5.9 EUROSTX -16.7 -14.2 -14.3 4.9 4.4 6.7 4.6 7.7 4.3 0.2 15.7 -4.2 17.0 -4.8 0.6 -6.6 -2.2 -6.3 -4.1 0.6 11.6 -4.3 18.4 -6.3 -2.2 1.2 1.1 8.2 -2.7 11.8 -3.5 6.1 -20.0 -20.0 -20.0 4.6 -10.9 3.9 -19.4 5.3 FEEDCOW 0.4 7.4 -8.3 -4.0 -4.7 -0.9 -6.6 -0.6 -7.1 -5.8 5.3 3.6 -3.0 4.7 0.8 -12.8 -20.0 -20.0 -20.0 2.6 -1.0 2.2 -0.3 4.8 -7.1 -1.0 -0.9 -1.2 0.7 1.8 0.3 -20.0 18.3 14.5 7.1 -12.1 8.7 20.0 18.4 20.0 GASOIL 12.2 -8.9 -9.2 -0.9 4.9 -0.0 6.6 2.3 2.6 11.0 1.2 17.8 12.6 10.9 -7.2 -1.3 13.3 1.3 7.2 -2.3 -1.9 16.8 7.8 9.2 6.3 -1.6 4.4 -1.5 6.8 2.3 3.4 0.1 7.9 6.4 -0.1 -10.7 -19.9 -12.5 -20.0 -20.0 GASOLINE 6.3 -13.8 -4.5 -0.9 4.9 -0.0 6.6 2.4 2.6 18.9 6.7 20.0 13.6 1.5 -6.5 20.0 15.6 20.0 16.7 -3.2 1.6 17.5 10.1 5.7 -20.0 -3.6 5.1 -1.0 5.7 3.4 0.0 7.8 -3.4 -6.5 -17.3 -3.8 20.0 20.0 20.0 20.0 GAS_US_mini 3.5 20.0 20.0 -0.6 3.3 -0.0 4.4 1.6 1.7 -10.7 -8.3 -1.8 -12.4 5.8 6.0 -10.1 -20.0 -20.0 -20.0 6.7 -0.8 -1.4 -13.8 4.7 20.0 3.5 0.6 -0.2 2.0 -4.0 3.7 -20.0 -20.0 2.2 20.0 2.3 -1.5 -6.1 -7.0 -12.2 GBP -3.9 10.1 -1.9 -1.6 -6.7 -1.2 -6.6 1.0 -3.5 -11.9 13.4 -15.2 5.4 9.4 10.5 -1.0 -0.8 -1.0 -0.9 6.0 5.7 -6.3 5.1 0.6 1.3 4.6 -2.1 5.3 -4.1 4.5 0.3 3.3 -2.8 0.5 13.2 13.2 -4.0 -20.0 -5.1 -10.5 GOLD_micro -14.0 -14.4 7.8 -1.5 -2.3 0.2 -2.8 0.5 -3.0 -3.7 6.8 -3.3 7.6 -5.9 4.3 -10.5 -13.7 -11.8 -12.8 2.3 7.8 -2.1 8.9 -2.0 -2.8 0.1 -2.0 3.3 -2.7 4.2 -2.4 -13.6 0.7 7.5 0.1 17.2 0.8 -9.5 8.2 -2.7 HEATOIL 13.6 -6.9 -9.6 -0.9 5.0 -0.0 6.7 2.4 2.7 14.4 -6.1 20.0 6.4 12.0 -7.8 -7.6 11.9 -4.0 3.7 -3.9 -5.6 17.4 2.2 9.1 -20.0 -4.5 4.0 -3.5 5.4 0.8 0.4 -4.0 3.6 -5.9 -12.5 -20.0 3.2 6.9 -3.7 1.7 JGB-SGX-mini 20.0 -2.4 -16.4 1.1 0.9 -0.4 2.3 -1.3 2.6 -3.8 -3.0 3.6 -0.1 3.0 -3.7 20.0 18.2 20.0 18.5 -2.2 -4.3 1.9 -2.1 2.5 -8.5 -1.1 -1.4 -2.2 0.9 -1.8 1.0 20.0 -1.1 -2.1 -10.6 -8.7 -11.4 -4.9 -0.3 16.1 JPY -2.8 -9.8 -9.7 -0.9 -3.6 -0.6 -3.5 0.5 -1.8 -12.2 -14.1 -13.5 -14.2 -13.6 -13.9 -15.0 -16.2 -15.3 -15.7 -15.7 -19.0 -14.9 -20.0 -13.9 20.0 -5.1 -4.9 -6.0 -5.2 -6.8 -4.6 -20.0 -14.7 -9.2 -15.0 -20.0 -19.3 -11.1 -18.2 -10.9 LEANHOG -20.0 -20.0 -7.6 -3.7 -4.4 -0.8 -6.1 -0.6 -6.6 -17.6 -8.2 -18.9 -6.3 -20.0 -19.3 20.0 -20.0 16.3 -20.0 -20.0 -18.5 -20.0 -9.4 -20.0 5.9 -6.5 -4.0 -2.9 -5.1 -1.0 -7.1 -20.0 -0.8 -14.6 -20.0 -20.0 -13.1 -9.8 -7.5 5.2 LIVECOW 8.1 15.2 -0.9 -4.0 -4.7 -0.9 -6.6 -0.6 -7.1 19.9 12.2 20.0 3.1 20.0 13.4 20.0 12.0 20.0 20.0 16.9 8.9 20.0 5.3 20.0 -8.4 6.7 9.9 4.5 11.4 4.4 9.4 20.0 20.0 20.0 20.0 12.5 7.2 20.0 14.0 20.0 LUMBER-new -3.3 -6.8 -20.0 -1.9 -2.2 -0.4 -3.1 -0.2 -3.4 -8.0 -8.5 -8.9 -8.2 -8.7 -9.9 -15.8 -17.7 -18.3 -18.3 -13.1 -10.0 -15.5 -6.2 -14.3 NaN -3.8 -1.7 -3.1 -2.6 -1.7 -3.3 -20.0 -6.5 -6.2 -10.7 -20.0 -8.7 -10.3 0.1 -6.4 MILK -10.8 20.0 20.0 -2.2 -2.5 -0.5 -3.5 -0.3 -3.8 -8.2 6.3 -2.4 -4.4 6.2 9.6 -20.0 -20.0 -20.0 -20.0 12.1 8.4 -2.5 -1.2 6.4 13.0 3.5 -2.9 2.3 -1.3 -0.5 1.7 -20.0 -10.6 20.0 20.0 17.3 -12.2 -20.0 -8.1 -20.0 MXP -20.0 -20.0 -20.0 -0.6 -2.3 -0.4 -2.3 0.4 -1.2 5.6 -0.3 -3.6 5.1 -5.2 -4.7 10.2 16.1 13.4 14.8 -7.9 -2.8 -1.7 2.4 -8.4 -20.0 -2.2 0.6 -0.7 -0.9 0.7 -2.5 20.0 9.5 -20.0 -18.7 -3.3 17.9 17.0 20.0 20.0 NASDAQ_micro 19.6 20.0 -5.9 4.2 3.8 5.8 4.0 6.6 3.7 -1.5 15.9 10.4 16.1 14.4 14.9 -11.7 -10.7 -11.3 -11.1 20.0 20.0 15.1 20.0 20.0 -20.0 5.4 1.7 4.7 4.7 5.4 6.3 -7.6 19.6 20.0 20.0 5.2 -3.5 2.9 -7.7 2.5 NIKKEI -0.3 -4.6 -8.6 5.3 4.8 7.4 5.0 8.4 4.7 13.2 12.8 7.6 16.7 7.8 -1.7 13.0 9.3 8.7 8.2 4.1 14.7 7.1 20.0 2.6 -19.9 1.8 9.9 8.5 3.4 16.3 0.8 20.0 -17.2 -9.6 -17.9 -15.2 -1.3 -7.5 -10.0 -12.6 NZD -1.2 14.5 1.0 -1.2 -4.8 -0.9 -4.8 0.7 -2.5 -15.7 1.8 -10.4 -1.4 10.8 11.0 0.2 0.2 0.1 0.2 6.8 3.7 -2.9 -0.4 3.8 0.6 3.6 -2.9 2.3 -1.8 0.6 1.7 5.0 2.3 5.5 15.4 5.0 4.3 -5.0 6.8 2.9 OAT -1.4 -6.7 -11.0 1.3 1.1 -0.5 2.7 -1.6 3.1 8.4 -5.8 -2.1 -2.2 -5.3 -8.1 -1.0 5.0 2.2 3.6 -6.5 -5.5 -0.9 -4.1 -4.5 1.9 -3.1 1.5 -2.0 -0.5 -0.9 -2.5 13.8 -5.5 -18.8 -16.8 -2.0 -20.0 -18.5 -4.1 -3.3 OATIES -20.0 -8.9 8.9 -1.5 -1.7 -0.3 -2.4 -0.2 -2.6 -6.8 -4.2 -8.0 -6.1 -7.6 -4.9 -4.9 1.0 1.6 2.7 -8.8 -4.2 -18.0 -3.6 -16.3 -20.0 -1.4 -2.4 -0.3 -4.1 -0.4 -3.4 0.5 -17.8 -12.4 -1.3 -1.3 -2.5 -1.2 8.2 11.4 OJ -20.0 9.7 -0.6 -2.5 -2.9 -0.5 -4.0 -0.4 -4.4 10.7 8.9 -5.4 11.3 3.5 6.4 8.0 12.8 9.8 10.2 13.2 16.2 1.9 17.9 5.2 -20.0 3.1 0.1 4.0 -0.6 5.3 0.7 17.2 10.2 -12.7 20.0 20.0 6.0 9.1 20.0 20.0 PALLAD -4.2 -3.7 3.4 -1.5 -2.2 0.2 -2.7 0.5 -2.9 3.7 -6.9 -0.7 -8.8 -6.1 -7.0 -2.3 -2.3 -2.4 -2.3 -5.3 -5.8 2.6 -9.8 -3.1 14.7 -2.9 1.2 -2.4 -0.2 -2.8 -2.4 5.5 10.2 7.0 -3.5 -9.1 -20.0 -20.0 -20.0 -18.1 PLAT -19.5 3.4 12.1 -1.8 -2.8 0.2 -3.5 0.7 -3.7 6.3 2.3 -4.9 -3.7 -4.5 0.1 -5.1 -4.1 -5.0 -4.7 1.3 3.7 -0.2 1.6 -2.5 8.2 -0.2 0.1 1.3 -0.9 1.2 -1.9 1.8 13.6 3.3 13.5 3.2 -20.0 -8.1 -1.8 4.1 REDWHEAT -20.0 0.8 20.0 -2.4 -2.9 -0.5 -4.0 -0.4 -4.3 -12.1 0.3 -13.5 -8.6 -10.4 -1.8 -10.6 -3.3 -8.7 -5.8 -7.0 0.0 -20.0 -5.7 -20.0 -5.8 -1.0 -4.6 0.4 -6.8 -0.9 -5.0 -9.9 -20.0 -20.0 1.4 12.1 -14.0 -20.0 -5.7 -17.3 RICE -8.4 10.4 4.9 -3.8 -4.4 -0.8 -6.2 -0.6 -6.7 -3.1 17.4 0.1 16.9 8.6 19.0 20.0 20.0 20.0 20.0 14.6 17.8 -1.4 17.8 6.4 -13.3 4.9 -1.1 4.4 1.6 3.6 3.5 20.0 19.9 20.0 20.0 4.0 -11.8 -6.2 -11.3 -2.7 ROBUSTA 3.4 1.6 -9.2 -1.9 -2.2 -0.4 -3.1 -0.3 -3.3 2.3 8.8 1.0 9.3 6.6 7.5 20.0 20.0 20.0 20.0 12.7 16.3 5.5 17.3 8.7 -20.0 3.5 0.9 5.8 1.2 7.0 1.7 20.0 10.5 20.0 5.7 20.0 1.8 -8.5 9.4 3.9 RUSSELL -10.9 -3.4 -3.4 4.3 3.9 6.0 4.1 6.8 3.8 -5.4 9.6 -8.7 10.5 -5.6 -2.8 -7.2 -6.7 -7.2 -6.9 -3.1 2.7 -5.8 5.8 -6.6 -1.4 -0.6 -0.5 2.4 -1.6 4.1 -2.3 -0.6 -11.9 -18.0 -15.4 -13.0 0.8 -20.0 -0.3 -20.0 SHATZ 20.0 13.8 -3.9 1.0 0.8 -0.4 2.1 -1.2 2.3 3.6 -6.9 5.4 -7.5 4.2 -2.4 -20.0 -20.0 -20.0 -20.0 -0.2 -5.9 7.9 -8.8 6.4 6.8 0.0 1.5 -1.8 3.1 -2.4 2.5 -20.0 11.2 6.6 -5.4 -5.3 -20.0 -16.3 -16.4 -12.7 SILVER-mini -20.0 0.6 16.7 -1.3 -2.0 0.1 -2.4 0.5 -2.6 -5.5 5.7 -6.2 5.0 0.9 4.6 -5.3 -6.5 -6.0 -6.3 4.7 7.0 -2.7 5.5 -0.1 1.8 0.8 -2.4 2.6 -2.9 2.5 -1.7 -1.8 -3.1 -0.6 8.7 13.7 -4.8 -10.2 6.2 4.0 SMI -2.2 19.4 9.4 5.2 4.7 7.2 4.9 8.2 4.6 7.2 18.3 7.5 16.5 15.2 16.2 -4.1 1.8 -2.6 -0.2 20.0 20.0 7.0 17.8 14.2 14.6 6.7 2.3 7.9 2.1 6.5 4.0 12.9 -10.4 7.4 16.3 19.0 8.6 2.2 4.1 -0.1 SOFR 18.9 17.1 -4.6 1.3 1.1 -0.5 2.7 -1.6 3.0 7.0 -1.9 9.8 -3.3 9.7 2.2 -3.0 -1.3 -2.9 -2.1 4.7 -0.8 7.7 -3.8 9.0 -2.7 2.7 2.0 0.8 3.7 -0.2 4.2 3.5 4.4 8.9 9.7 4.1 3.1 -17.1 15.6 1.0 SOYBEAN -20.0 -6.8 3.5 -3.0 -3.6 -0.7 -5.0 -0.5 -5.4 -12.8 -11.1 -15.4 -7.0 -15.4 -9.3 -1.1 7.2 -0.2 2.3 -13.7 -9.0 -20.0 -8.7 -20.0 -20.0 -3.8 -4.3 -2.2 -6.0 -2.0 -6.2 5.6 -8.0 -13.9 -0.0 4.9 -20.0 -20.0 -16.1 -20.0 SOYMEAL -20.0 -1.3 11.8 -2.5 -2.9 -0.5 -4.1 -0.4 -4.4 -6.3 -9.0 -10.7 -9.0 -10.6 -4.3 10.2 6.4 4.8 3.6 -5.4 -4.2 -11.3 -6.1 -11.4 -20.0 0.7 -0.8 0.6 -2.4 -0.6 -1.8 5.6 -1.5 -0.9 14.0 13.5 -20.0 -20.0 -20.0 -20.0 SOYOIL -8.0 -1.2 -4.7 -2.4 -2.8 -0.5 -3.9 -0.4 -4.2 -10.1 -11.5 -10.5 -11.8 -8.7 -10.4 1.6 -0.4 -2.6 -3.1 -8.7 -10.9 -7.9 -12.8 -7.7 -20.0 -4.1 -4.4 -3.9 -3.5 -3.5 -3.8 -5.9 0.3 4.9 -4.1 -6.3 -14.6 -18.9 -1.0 -0.9 SP400 -10.9 -8.6 -5.0 4.5 4.0 6.2 4.2 7.0 3.9 2.7 11.3 -4.9 12.4 -6.0 -2.7 -6.6 -6.0 -6.8 -6.4 -1.5 7.0 -3.0 12.2 -5.0 -12.8 0.7 -0.6 4.5 -0.1 6.9 -1.0 0.6 -9.0 -14.9 -14.2 -4.4 1.9 -9.4 2.1 -20.0 SP500_micro 17.2 18.0 -0.1 5.8 5.2 8.0 5.4 9.1 5.1 2.2 20.0 17.1 20.0 20.0 20.0 -14.1 -12.3 -13.4 -12.9 20.0 20.0 20.0 20.0 20.0 -20.0 7.9 3.1 8.3 6.8 9.4 8.5 -10.5 17.8 20.0 20.0 11.8 4.9 0.1 1.7 -0.2 SUGAR11 20.0 2.2 -18.6 -3.0 -3.5 -0.7 -4.9 -0.5 -5.3 8.4 -14.6 10.6 -8.7 3.9 -10.6 -1.5 11.2 2.0 6.4 -7.8 -15.8 10.3 -11.3 4.0 -20.0 -3.6 3.7 -6.2 3.9 -4.2 1.1 13.2 20.0 20.0 -1.0 -20.0 11.8 20.0 20.0 20.0 US10 17.5 15.0 -0.9 1.1 0.9 -0.4 2.3 -1.3 2.6 4.3 -2.4 8.0 -5.0 7.9 0.7 -7.5 -7.4 -6.9 -7.0 3.0 -1.6 5.5 -5.4 6.5 2.4 2.3 1.6 0.6 3.0 -0.7 3.5 -6.2 1.8 5.8 6.3 3.3 -1.1 -18.9 9.5 2.1 US10U 17.4 15.7 0.1 1.6 1.3 -0.6 3.3 -1.9 3.7 7.4 -3.2 11.4 -6.6 11.2 1.7 -4.7 -2.5 -4.8 -3.7 4.4 -2.1 8.2 -7.6 9.3 0.3 3.3 2.5 1.0 4.5 -0.9 5.1 1.1 3.4 8.0 8.7 5.4 -0.8 -15.4 19.1 9.5 US2 19.0 12.3 -6.5 1.1 0.9 -0.4 2.3 -1.3 2.6 -0.2 -6.9 6.5 -8.5 6.1 -4.0 -20.0 -20.0 -20.0 -20.0 -1.3 -6.7 3.4 -10.8 3.4 12.6 0.1 1.1 -1.9 2.4 -3.1 2.2 -20.0 -1.2 2.0 -1.4 -5.2 -4.9 -20.0 -0.5 -15.1 US20 17.5 16.1 1.2 1.2 0.9 -0.4 2.4 -1.4 2.7 6.3 0.1 8.5 -2.7 8.4 2.8 -1.1 -0.8 -0.8 -0.6 4.5 0.1 6.8 -4.0 7.8 -1.0 2.8 1.9 1.4 3.3 0.0 3.8 5.1 4.3 7.6 9.5 7.4 -3.6 -10.8 20.0 15.3 US30 17.2 15.5 1.7 1.4 1.1 -0.5 2.8 -1.6 3.1 6.8 -1.1 9.6 -4.4 9.5 2.6 -6.1 -5.2 -5.0 -5.1 4.7 -0.5 7.7 -5.5 8.7 -0.4 3.3 2.4 1.4 4.1 -0.2 4.6 -2.7 4.5 7.7 9.1 7.4 -8.4 -10.5 10.0 16.5 US5 17.9 15.1 -3.4 1.2 1.0 -0.4 2.4 -1.4 2.7 2.5 -4.8 8.0 -7.0 7.9 -0.8 -9.8 -10.1 -9.8 -9.8 1.9 -3.1 5.0 -6.8 5.9 5.6 1.9 1.5 -0.0 3.0 -1.2 3.4 -11.0 0.7 4.9 4.7 0.6 -0.6 -20.0 6.8 -6.0 VIX 6.6 -8.4 1.9 -7.6 -4.5 -9.6 -2.8 -11.7 -4.4 0.3 -20.0 3.7 -20.0 -17.5 -20.0 -20.0 -20.0 -20.0 -20.0 -19.5 -20.0 1.9 -20.0 -6.5 NaN -9.0 -3.6 -10.9 -3.4 -13.5 -5.8 NaN NaN NaN NaN NaN -17.3 -20.0 NaN NaN WHEAT -20.0 -1.0 20.0 -2.1 -2.5 -0.5 -3.5 -0.3 -3.8 -10.6 1.6 -11.8 -6.2 -9.0 -1.1 -15.3 -14.1 -16.1 -15.4 -6.8 0.7 -20.0 -3.7 -20.0 0.7 -0.7 -4.8 0.6 -6.1 -0.3 -4.3 -20.0 -20.0 -20.0 4.6 11.2 -12.4 -20.0 -8.8 -20.0 End of report for caleb_strategy_v3