******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240708_203935 produced at 2024-07-08 21:38:32.509382 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.26 -0.33 0.0 999.00 -999.00 -0.26 -0.26 -71.13 999999999.0 -56 -56 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.64 -0.23 0.0 0.80 -0.80 -0.64 -0.64 -2.86 10.0 -8 -8 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.00 -0.17 0.0 0.43 -0.43 0.00 -0.05 -6.34 16.0 0 -2 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.16 0.0 0.00 0.00 0.00 0.00 -4.54 24.0 0 0 caleb_strategy_v3 JPY False False 0.02 -0.17 -0.13 0.0 0.41 -0.41 -0.17 -0.17 -5.27 17.0 -7 -7 caleb_strategy_v3 CHF False False 0.04 -0.04 -0.09 0.0 0.56 -0.56 -0.04 -0.04 -2.07 13.0 -1 -1 caleb_strategy_v3 US2 False True 0.06 0.00 -0.09 0.0 0.00 0.00 0.00 0.00 -1.44 13.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.08 -0.08 0.0 0.12 -0.12 -0.08 -0.08 -9.12 13.0 -9 -9 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -40.47 59.0 0 0 caleb_strategy_v3 BTP False False 0.04 -0.08 -0.07 0.0 0.38 -0.38 -0.08 -0.08 -1.73 10.0 -2 -2 caleb_strategy_v3 OAT False False 0.04 -0.04 -0.07 0.0 0.41 -0.41 -0.04 -0.04 -1.79 10.0 -1 -1 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.06 0.0 0.18 -0.18 0.00 0.00 -0.66 2.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.05 0.0 0.73 -0.73 0.00 0.00 -1.41 19.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.05 0.0 0.07 -0.07 -0.05 -0.06 -8.13 12.0 -8 -9 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.04 0.0 0.15 -0.15 -0.01 -0.01 -13.01 51.0 -2 -2 caleb_strategy_v3 CAC True False 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.60 12.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 -0.03 0.0 0.40 -0.40 0.00 0.00 -4.47 66.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.03 0.0 0.12 -0.12 -0.05 -0.06 -2.48 11.0 -5 -6 caleb_strategy_v3 CAD False False 0.02 0.00 -0.03 0.0 0.65 -0.65 0.00 0.00 -1.20 29.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.10 -0.03 0.0 0.21 -0.21 -0.10 -0.10 -9.85 68.0 -33 -33 caleb_strategy_v3 OATIES False True 0.00 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -4.04 2.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.08 -0.02 0.0 0.12 -0.12 -0.08 -0.07 -1.31 7.0 -5 -4 caleb_strategy_v3 LUMBER-new False False 0.00 -0.01 -0.02 0.0 0.01 -0.01 -0.01 -0.01 -5.01 3.0 -2 -2 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 -0.02 0.0 0.05 -0.05 -0.01 -0.01 -13.71 26.0 -6 -8 caleb_strategy_v3 BUND False False 0.04 0.00 -0.02 0.0 0.43 -0.43 0.00 0.00 -0.39 10.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.01 0.0 0.07 -0.07 -0.02 -0.02 -1.63 8.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -1.50 9.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.03 -0.01 0.0 0.50 -0.50 -0.03 -0.03 -1.57 60.0 -4 -4 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.01 0.0 0.08 -0.08 -0.03 -0.03 -1.56 9.0 -3 -3 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.01 0.0 0.10 -0.10 -0.03 -0.03 -0.27 3.0 -1 -1 caleb_strategy_v3 BUXL False False 0.04 -0.13 -0.01 0.0 0.17 -0.17 -0.13 -0.09 -0.26 4.0 -3 -2 caleb_strategy_v3 EUROSTX False False 0.02 -0.03 -0.01 0.0 0.33 -0.33 -0.03 -0.03 -0.43 20.0 -2 -2 caleb_strategy_v3 US5 False False 0.03 -0.03 -0.01 0.0 0.81 -0.81 -0.03 -0.03 -0.28 25.0 -1 -1 caleb_strategy_v3 GOLD_micro False False 0.01 -0.06 -0.00 0.0 0.40 -0.40 -0.06 -0.05 -0.12 56.0 -9 -7 caleb_strategy_v3 US30 False False 0.04 0.04 0.00 0.0 0.23 -0.23 0.04 0.04 0.02 6.0 1 1 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.00 0.0 0.09 -0.09 -0.02 -0.01 -0.42 10.0 -2 -1 caleb_strategy_v3 MILK False False 0.01 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.28 5.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.54 -0.54 0.00 0.00 0.08 26.0 0 0 caleb_strategy_v3 EUR False False 0.04 -0.12 -0.00 0.0 0.58 -0.58 -0.12 -0.12 -0.02 14.0 -3 -3 caleb_strategy_v3 PALLAD False False 0.03 0.00 0.00 0.0 0.06 -0.06 0.00 0.00 0.11 2.0 0 0 caleb_strategy_v3 US10 False False 0.03 0.00 0.00 0.0 0.57 -0.57 0.00 0.00 0.02 17.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.03 0.01 0.0 0.16 -0.16 0.03 0.00 0.21 6.0 1 0 caleb_strategy_v3 US10U False False 0.03 0.07 0.01 0.0 0.45 -0.45 0.07 0.07 0.19 13.0 2 2 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.52 999999999.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.01 0.0 0.30 -0.30 0.00 0.00 0.84 23.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 0.01 0.0 0.15 -0.15 0.00 0.00 0.40 10.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.06 -0.06 0.02 0.02 0.68 3.0 1 1 caleb_strategy_v3 US20 False True 0.04 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.22 9.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.08 0.01 0.0 0.32 -0.32 0.08 0.12 0.13 8.0 2 3 caleb_strategy_v3 RICE False False 0.01 0.00 0.01 0.0 0.04 -0.04 0.00 0.00 0.61 4.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.03 0.01 0.0 0.13 -0.13 0.03 0.04 0.97 18.0 5 6 caleb_strategy_v3 DAX False False 0.01 0.06 0.02 0.0 0.36 -0.36 0.06 0.10 3.21 58.0 10 17 caleb_strategy_v3 GASOIL False False 0.02 0.00 0.02 0.0 0.10 -0.10 0.00 0.00 0.70 4.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.02 0.03 0.0 0.39 -0.39 0.02 0.02 1.50 21.0 1 1 caleb_strategy_v3 COPPER False False 0.03 0.03 0.03 0.0 999.00 -999.00 0.03 0.03 0.79 999999999.0 1 1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.08 0.04 0.0 0.29 -0.29 0.08 0.08 3.16 23.0 6 6 caleb_strategy_v3 DX False False 0.03 0.16 0.05 0.0 999.00 -999.00 0.16 0.16 1.56 999999999.0 5 5 caleb_strategy_v3 GASOLINE False False 0.03 0.12 0.05 0.0 999.00 -999.00 0.12 0.12 1.59 999999999.0 4 4 caleb_strategy_v3 AUD False False 0.02 0.21 0.07 0.0 0.39 -0.39 0.21 0.21 3.24 19.0 10 10 caleb_strategy_v3 GBP False False 0.02 0.00 0.07 0.0 0.54 -0.54 0.00 0.02 2.71 22.0 0 1 caleb_strategy_v3 SP500_micro False False 0.01 0.09 0.07 0.0 0.41 -0.41 0.09 0.09 8.11 48.0 10 10 caleb_strategy_v3 SMI False True 0.04 0.00 0.11 0.0 0.00 0.00 0.00 0.00 2.57 9.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.18 0.13 0.0 0.38 -0.38 0.18 0.18 5.94 17.0 8 8 caleb_strategy_v3 CRUDE_W False False 0.02 0.12 0.18 0.0 0.12 -0.12 0.12 0.12 7.53 5.0 5 5 caleb_strategy_v3 NIKKEI False False 0.01 0.19 0.23 0.0 0.28 -0.28 0.19 0.22 29.10 36.0 24 28 caleb_strategy_v3 SOFR False True 0.07 0.00 0.32 0.0 0.00 0.00 0.00 0.00 4.30 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 16.2 Shocked risk 53.2 Sum abs risk 47.4 Leverage 3.52 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3286250.36, 'annual_cash_vol_target': 821562.59, 'daily_cash_vol_target': 51347.661875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0036 0.6748 0.5285 8.4553 BITCOIN 1619.2755 56600.0000 2.8609 45.7746 BOBL 0.2670 116.1700 0.2298 3.6774 BTP 0.5616 116.9100 0.4803 7.6855 BUND 0.5583 131.3700 0.4250 6.7998 BUXL 1.3820 130.1000 1.0623 16.9961 CAC 66.3201 7725.5000 0.8585 13.7353 CAD 0.0026 0.7345 0.3492 5.5876 CANOLA 7.8517 648.5000 1.2108 19.3720 CHF 0.0047 1.1239 0.4201 6.7219 COCOA 301.0116 6842.0000 4.3995 70.3915 COFFEE 4.2073 232.0000 1.8135 29.0162 COPPER 0.0671 4.5975 1.4603 23.3647 CORN 6.1462 407.5000 1.5083 24.1324 COTTON2 1.1001 71.0300 1.5488 24.7809 CRUDE_W 0.9623 79.1400 1.2160 19.4561 DAX 131.4694 18608.0000 0.7065 11.3043 DOW 207.5020 39659.0000 0.5232 8.3714 DX 0.3486 104.6750 0.3330 5.3279 EUR 0.0043 1.0860 0.3915 6.2633 EURIBOR-ICE 0.0490 97.4100 0.0503 0.8048 EUROSTX 40.9267 4999.0000 0.8187 13.0992 FEEDCOW 1.8168 260.4750 0.6975 11.1600 GASOIL 10.8077 786.2500 1.3746 21.9935 GASOLINE 0.0331 2.3128 1.4303 22.8842 GAS_US_mini 0.0974 2.3900 4.0733 65.1728 GBP 0.0054 1.2819 0.4210 6.7354 GOLD_micro 21.3740 2363.8000 0.9042 14.4676 HEATOIL 0.0354 2.5939 1.3630 21.8082 JGB-SGX-mini 0.2433 142.7000 0.1705 2.7285 JPY 0.0000 0.0063 0.5423 8.6769 LEANHOG 1.1040 72.7500 1.5176 24.2813 LIVECOW 1.2581 185.3500 0.6788 10.8607 LUMBER-new 8.9601 474.0000 1.8903 30.2452 MILK 0.2968 20.7000 1.4338 22.9414 MXP 0.0005 0.0551 0.9881 15.8095 NASDAQ_micro 132.3796 20645.0000 0.6412 10.2595 NIKKEI 297.8216 40910.0000 0.7280 11.6479 NZD 0.0034 0.6128 0.5532 8.8507 OAT 0.5149 124.3600 0.4140 6.6243 OATIES 6.5735 316.2500 2.0786 33.2572 OJ 8.0668 431.5000 1.8695 29.9118 PALLAD 24.2495 1016.5000 2.3856 38.1694 PLAT 17.2224 1012.5000 1.7010 27.2156 REDWHEAT 11.3408 595.5000 1.9044 30.4707 RICE 0.1396 14.9950 0.9311 14.8975 ROBUSTA 67.1267 4327.0000 1.5513 24.8215 RUSSELL 18.2951 2057.4000 0.8892 14.2278 SHATZ 0.0856 105.5400 0.0811 1.2973 SILVER-mini 0.5802 31.2750 1.8553 29.6848 SMI 73.7870 12079.0000 0.6109 9.7739 SOFR 0.0669 96.4150 0.0694 1.1104 SOYBEAN 12.0816 1099.5000 1.0988 17.5813 SOYMEAL 4.6625 318.8000 1.4625 23.4002 SOYOIL 0.7441 48.4500 1.5359 24.5745 SP400 21.6413 2936.2000 0.7371 11.7928 SP500_micro 26.0828 5623.0000 0.4639 7.4217 SUGAR11 0.2848 20.5300 1.3873 22.1971 US10 0.4075 110.6250 0.3684 5.8939 US10U 0.5712 114.1719 0.5003 8.0047 US2 0.0933 102.3008 0.0912 1.4585 US20 0.8840 119.0000 0.7429 11.8860 US30 1.3322 126.2188 1.0554 16.8871 US5 0.2539 107.0078 0.2372 3.7959 VIX 0.3564 15.1500 2.3525 37.6395 WHEAT 11.0857 594.0000 1.8663 29.8604 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 674.75 0.53 356.58 1.00 356.58 51347.66 144.00 8.66 124.69 BITCOIN 56.60 2.86 161.93 1.00 161.93 51347.66 317.10 -11.79 -373.73 BOBL 1161.70 0.23 267.00 1.08 288.97 51347.66 177.69 -7.85 -139.46 BTP 1169.10 0.48 561.57 1.08 607.79 51347.66 84.48 -6.01 -50.81 BUND 1313.70 0.42 558.30 1.08 604.25 51347.66 84.98 -4.53 -38.51 BUXL 1301.00 1.06 1381.99 1.08 1495.73 51347.66 34.33 -7.61 -26.13 CAC 772.55 0.86 663.20 1.08 717.78 51347.66 71.54 -6.54 -46.81 CAD 734.50 0.35 256.51 1.00 256.51 51347.66 200.18 -2.32 -46.35 CANOLA 129.70 1.21 157.03 0.74 115.44 51347.66 444.80 -12.03 -534.94 CHF 1404.88 0.42 590.21 1.00 590.21 51347.66 87.00 -9.19 -79.92 COCOA 684.20 4.40 3010.12 1.00 3010.12 51347.66 17.06 2.17 3.69 COFFEE 870.00 1.81 1577.75 1.00 1577.75 51347.66 32.54 5.42 17.63 COPPER 1149.38 1.46 1678.43 1.00 1678.43 51347.66 30.59 2.38 7.28 CORN 203.75 1.51 307.31 1.00 307.31 51347.66 167.09 -20.00 -334.17 COTTON2 355.15 1.55 550.06 1.00 550.06 51347.66 93.35 -12.41 -115.80 CRUDE_W 791.40 1.22 962.35 1.00 962.35 51347.66 53.36 13.04 69.57 DAX 186.08 0.71 131.47 1.08 142.29 51347.66 360.87 2.61 94.04 DOW 198.30 0.52 103.75 1.00 103.75 51347.66 494.91 -3.89 -192.39 DX 1046.75 0.33 348.56 1.00 348.56 51347.66 147.31 4.07 59.99 EUR 1357.56 0.39 531.43 1.00 531.43 51347.66 96.62 -0.09 -0.88 EURIBOR-ICE 2435.25 0.05 122.49 1.08 132.58 51347.66 387.31 -2.17 -83.95 EUROSTX 499.90 0.82 409.27 1.08 442.95 51347.66 115.92 -1.10 -12.69 FEEDCOW 1302.38 0.70 908.41 1.00 908.41 51347.66 56.53 0.69 3.90 GASOIL 786.25 1.37 1080.77 1.00 1080.77 51347.66 47.51 3.40 16.13 GASOLINE 971.38 1.43 1389.32 1.00 1389.32 51347.66 36.96 9.91 36.61 GAS_US_mini 59.75 4.07 243.38 1.00 243.38 51347.66 210.98 -6.00 -126.62 GBP 801.19 0.42 337.27 1.00 337.27 51347.66 152.25 6.86 104.38 GOLD_micro 236.38 0.90 213.74 1.00 213.74 51347.66 240.23 -0.15 -3.63 HEATOIL 1089.44 1.36 1484.92 1.00 1484.92 51347.66 34.58 -1.77 -6.12 JGB-SGX-mini 142700.00 0.17 24334.83 0.01 151.49 51347.66 338.94 -1.73 -58.58 JPY 785.69 0.54 426.08 1.00 426.08 51347.66 120.51 -16.85 -203.08 LEANHOG 291.00 1.52 441.62 1.00 441.62 51347.66 116.27 -12.91 -150.08 LIVECOW 741.40 0.68 503.26 1.00 503.26 51347.66 102.03 17.56 179.11 LUMBER-new 130.35 1.89 246.40 1.00 246.40 51347.66 208.39 -11.22 -233.81 MILK 414.00 1.43 593.61 1.00 593.61 51347.66 86.50 -1.50 -12.94 MXP 275.30 0.99 272.02 1.00 272.02 51347.66 188.76 -0.57 -10.68 NASDAQ_micro 412.90 0.64 264.76 1.00 264.76 51347.66 193.94 7.01 136.01 NIKKEI 40910.00 0.73 29782.16 0.01 185.41 51347.66 276.95 9.70 268.77 NZD 612.75 0.55 338.96 1.00 338.96 51347.66 151.49 3.80 57.64 OAT 1243.60 0.41 514.88 1.08 557.25 51347.66 92.14 -5.69 -52.42 OATIES 158.12 2.08 328.67 1.00 328.67 51347.66 156.23 -10.62 -165.95 OJ 647.25 1.87 1210.03 1.00 1210.03 51347.66 42.44 7.46 31.64 PALLAD 1016.50 2.39 2424.95 1.00 2424.95 51347.66 21.17 1.59 3.36 PLAT 506.25 1.70 861.12 1.00 861.12 51347.66 59.63 1.96 11.71 REDWHEAT 297.75 1.90 567.04 1.00 567.04 51347.66 90.55 -13.61 -123.21 RICE 299.90 0.93 279.23 1.00 279.23 51347.66 183.89 1.35 24.91 ROBUSTA 432.70 1.55 671.27 1.00 671.27 51347.66 76.49 9.43 72.17 RUSSELL 102.87 0.89 91.48 1.00 91.48 51347.66 561.33 -5.29 -297.17 SHATZ 1055.40 0.08 85.57 1.08 92.61 51347.66 554.42 -8.08 -448.20 SILVER-mini 781.88 1.86 1450.61 1.00 1450.61 51347.66 35.40 4.31 15.27 SMI 1207.90 0.61 737.87 1.11 821.47 51347.66 62.51 12.06 75.40 SOFR 2410.38 0.07 167.29 1.00 167.29 51347.66 306.95 2.30 70.72 SOYBEAN 549.75 1.10 604.08 1.00 604.08 51347.66 85.00 -16.58 -140.91 SOYMEAL 318.80 1.46 466.25 1.00 466.25 51347.66 110.13 -14.61 -160.92 SOYOIL 290.70 1.54 446.49 1.00 446.49 51347.66 115.00 -3.94 -45.28 SP400 2936.20 0.74 2164.13 1.00 2164.13 51347.66 23.73 -8.35 -19.81 SP500_micro 281.15 0.46 130.41 1.00 130.41 51347.66 393.73 8.86 349.00 SUGAR11 229.94 1.39 318.99 1.00 318.99 51347.66 160.97 2.85 45.82 US10 1106.25 0.37 407.51 1.00 407.51 51347.66 126.00 0.15 1.91 US10U 1141.72 0.50 571.19 1.00 571.19 51347.66 89.90 1.65 14.79 US2 2046.02 0.09 186.51 1.00 186.51 51347.66 275.31 -4.12 -113.50 US20 1190.00 0.74 884.02 1.00 884.02 51347.66 58.08 2.96 17.20 US30 1262.19 1.06 1332.17 1.00 1332.17 51347.66 38.54 0.42 1.63 US5 1070.08 0.24 253.87 1.00 253.87 51347.66 202.26 -1.10 -22.19 VIX 151.50 2.35 356.40 1.00 356.40 51347.66 144.07 -20.00 -288.15 WHEAT 297.00 1.87 554.28 1.00 554.28 51347.66 92.64 -12.68 -117.46 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 124.694 0.010 2.5 3.235 BITCOIN -373.734 0.043 2.5 -40.470 BOBL -139.457 0.004 2.5 -1.414 BTP -50.808 0.014 2.5 -1.733 BUND -38.510 0.004 2.5 -0.391 BUXL -26.131 0.004 2.5 -0.265 CAC -46.808 0.014 2.5 -1.597 CAD -46.352 0.010 2.5 -1.203 CANOLA -534.943 0.010 2.5 -13.014 CHF -79.921 0.010 2.5 -2.074 COCOA 3.693 0.009 2.5 0.079 COFFEE 17.634 0.005 2.5 0.206 COPPER 7.280 0.043 2.5 0.788 CORN -334.174 0.010 2.5 -8.130 COTTON2 -115.803 0.009 2.5 -2.480 CRUDE_W 69.575 0.043 2.5 7.534 DAX 94.039 0.014 2.5 3.207 DOW -192.390 0.009 2.5 -4.471 DX 59.994 0.010 2.5 1.557 EUR -0.876 0.010 2.5 -0.023 EURIBOR-ICE -83.951 0.014 2.5 -2.863 EUROSTX -12.695 0.014 2.5 -0.433 FEEDCOW 3.897 0.013 2.5 0.129 GASOIL 16.130 0.017 2.5 0.699 GASOLINE 36.612 0.017 2.5 1.587 GAS_US_mini -126.622 0.043 2.5 -13.711 GBP 104.381 0.010 2.5 2.708 GOLD_micro -3.632 0.014 2.5 -0.124 HEATOIL -6.125 0.017 2.5 -0.266 JGB-SGX-mini -58.576 0.043 2.5 -6.343 JPY -203.082 0.010 2.5 -5.269 LEANHOG -150.083 0.024 2.5 -9.121 LIVECOW 179.114 0.013 2.5 5.935 LUMBER-new -233.808 0.009 2.5 -5.006 MILK -12.936 0.009 2.5 -0.277 MXP -10.680 0.059 2.5 -1.568 NASDAQ_micro 136.012 0.009 2.5 3.161 NIKKEI 268.768 0.043 2.5 29.104 NZD 57.635 0.010 2.5 1.495 OAT -52.419 0.014 2.5 -1.788 OATIES -165.954 0.010 2.5 -4.037 OJ 31.642 0.009 2.5 0.678 PALLAD 3.361 0.014 2.5 0.115 PLAT 11.715 0.014 2.5 0.400 REDWHEAT -123.210 0.005 2.5 -1.634 RICE 24.913 0.010 2.5 0.606 ROBUSTA 72.165 0.005 2.5 0.843 RUSSELL -297.174 0.013 2.5 -9.848 SHATZ -448.202 0.004 2.5 -4.545 SILVER-mini 15.270 0.014 2.5 0.521 SMI 75.405 0.014 2.5 2.572 SOFR 70.722 0.024 2.5 4.298 SOYBEAN -140.910 0.004 2.5 -1.311 SOYMEAL -160.921 0.004 2.5 -1.497 SOYOIL -45.284 0.004 2.5 -0.422 SP400 -19.814 0.013 2.5 -0.657 SP500_micro 349.004 0.009 2.5 8.111 SUGAR11 45.824 0.009 2.5 0.975 US10 1.913 0.005 2.5 0.024 US10U 14.792 0.005 2.5 0.187 US2 -113.498 0.005 2.5 -1.438 US20 17.199 0.005 2.5 0.218 US30 1.633 0.005 2.5 0.021 US5 -22.192 0.005 2.5 -0.281 VIX -288.147 0.099 2.5 -71.126 WHEAT -117.460 0.005 2.5 -1.558 ===================== Position diags ===================== AUD 3.74 BITCOIN 34.34 BOBL 1.80 BTP 2.88 BUND 0.86 BUXL 0.35 CAC 2.44 CAD 5.19 CANOLA 10.82 CHF 2.26 COCOA 0.37 COFFEE 0.38 COPPER 3.31 CORN 4.06 COTTON2 2.00 CRUDE_W 5.78 DAX 12.31 DOW 11.50 DX 3.82 EUR 2.51 EURIBOR-ICE 13.21 EUROSTX 3.95 FEEDCOW 1.87 GASOIL 2.06 GASOLINE 1.60 GAS_US_mini 22.85 GBP 3.95 GOLD_micro 8.19 HEATOIL 1.50 JGB-SGX-mini 36.70 JPY 3.13 LEANHOG 7.07 LIVECOW 3.38 LUMBER-new 4.46 MILK 1.85 MXP 27.71 NASDAQ_micro 4.51 NIKKEI 29.99 NZD 3.93 OAT 3.14 OATIES 3.80 OJ 0.91 PALLAD 0.72 PLAT 2.03 REDWHEAT 1.20 RICE 4.47 ROBUSTA 0.89 RUSSELL 18.60 SHATZ 5.62 SILVER-mini 1.21 SMI 2.13 SOFR 18.65 SOYBEAN 0.79 SOYMEAL 1.02 SOYOIL 1.07 SP400 0.79 SP500_micro 9.15 SUGAR11 3.42 US10 1.60 US10U 1.14 US2 3.49 US20 0.74 US30 0.49 US5 2.56 VIX 35.56 WHEAT 1.23 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 3.2 2.9 3.6 10.0 10 BITCOIN -40.5 -43.9 -37.0 0.0 0 BOBL -1.4 -1.6 -1.2 0.0 0 BTP -1.7 -2.0 -1.4 -2.0 -2 BUND -0.4 -0.5 -0.3 0.0 0 BUXL -0.3 -0.3 -0.2 -3.0 -3 CAC -1.6 -1.8 -1.4 0.0 0 CAD -1.2 -1.7 -0.7 0.0 0 CANOLA -13.0 -14.1 -11.9 -2.0 -2 CHF -2.1 -2.3 -1.8 -1.0 -1 COCOA 0.1 0.0 0.1 0.0 0 COFFEE 0.2 0.2 0.2 1.0 1 COPPER 0.8 0.5 1.1 1.0 1 CORN -8.1 -8.5 -7.7 -8.0 -8 COTTON2 -2.5 -2.7 -2.3 -5.0 -5 CRUDE_W 7.5 7.0 8.1 5.0 5 DAX 3.2 2.0 4.4 10.0 10 DOW -4.5 -5.6 -3.3 0.0 0 DX 1.6 1.2 1.9 5.0 5 EUR -0.0 -0.3 0.2 -3.0 -3 EURIBOR-ICE -2.9 -4.2 -1.5 -8.0 -8 EUROSTX -0.4 -0.8 -0.0 -2.0 -2 FEEDCOW 0.1 -0.1 0.3 2.0 2 GASOIL 0.7 0.5 0.9 0.0 0 GASOLINE 1.6 1.4 1.7 4.0 4 GAS_US_mini -13.7 -16.0 -11.4 -6.0 -6 GBP 2.7 2.3 3.1 0.0 0 GOLD_micro -0.1 -0.9 0.7 -9.0 -9 HEATOIL -0.3 -0.4 -0.1 -1.0 -1 JGB-SGX-mini -6.3 -10.0 -2.7 0.0 0 JPY -5.3 -5.6 -5.0 -7.0 -7 LEANHOG -9.1 -9.8 -8.4 -9.0 -9 LIVECOW 5.9 5.6 6.3 8.0 8 LUMBER-new -5.0 -5.5 -4.6 -2.0 -2 MILK -0.3 -0.5 -0.1 NaN 0 MXP -1.6 -4.3 1.2 -4.0 -4 NASDAQ_micro 3.2 2.7 3.6 6.0 6 NIKKEI 29.1 26.1 32.1 24.0 24 NZD 1.5 1.1 1.9 1.0 1 OAT -1.8 -2.1 -1.5 -1.0 -1 OATIES -4.0 -4.4 -3.7 NaN 0 OJ 0.7 0.6 0.8 1.0 1 PALLAD 0.1 0.0 0.2 0.0 0 PLAT 0.4 0.2 0.6 0.0 0 REDWHEAT -1.6 -1.8 -1.5 -2.0 -2 RICE 0.6 0.2 1.1 NaN 0 ROBUSTA 0.8 0.8 0.9 0.0 0 RUSSELL -9.8 -11.7 -8.0 -33.0 -33 SHATZ -4.5 -5.1 -4.0 NaN 0 SILVER-mini 0.5 0.4 0.6 0.0 0 SMI 2.6 2.4 2.8 0.0 0 SOFR 4.3 2.4 6.2 NaN 0 SOYBEAN -1.3 -1.4 -1.2 -5.0 -5 SOYMEAL -1.5 -1.6 -1.4 0.0 0 SOYOIL -0.4 -0.5 -0.3 -2.0 -2 SP400 -0.7 -0.7 -0.6 0.0 0 SP500_micro 8.1 7.2 9.0 10.0 10 SUGAR11 1.0 0.6 1.3 5.0 5 US10 0.0 -0.1 0.2 0.0 0 US10U 0.2 0.1 0.3 2.0 2 US2 -1.4 -1.8 -1.1 NaN 0 US20 0.2 0.1 0.3 0.0 0 US30 0.0 -0.0 0.1 1.0 1 US5 -0.3 -0.5 -0.0 -1.0 -1 VIX -71.1 -74.7 -67.6 -56.0 -56 WHEAT -1.6 -1.7 -1.4 -3.0 -3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.8 3.8 3.8 3.8 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 0.2 0.2 0.2 -0.0 0.1 -0.1 0.0 0.0 -0.0 0.1 0.0 0.2 -0.1 0.2 0.2 -0.0 -0.1 -0.0 -0.1 0.1 0.1 0.2 -0.0 0.1 0.5 0.1 0.1 0.1 0.1 0.0 0.1 -0.0 0.5 0.6 0.4 0.6 0.1 -0.2 0.2 -0.1 BITCOIN -0.6 -0.5 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 0.2 -0.2 0.5 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.1 -0.2 0.5 -0.2 -2.7 -0.0 -0.1 0.1 -0.1 0.3 -0.1 -0.2 -0.1 -0.6 0.2 -0.1 -0.6 -0.2 -0.1 0.0 BOBL 0.2 0.2 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.2 -0.0 -0.2 0.0 -0.0 -0.4 -0.2 -0.3 -0.2 -0.0 -0.0 -0.0 -0.1 -0.0 0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.7 -0.1 0.1 -0.1 -0.0 -0.7 -0.5 -0.3 -0.4 BTP -0.0 -0.3 -0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.1 0.1 0.3 -0.1 -0.1 -0.0 0.1 0.0 0.1 -0.0 -0.0 0.0 0.1 -0.0 -2.7 -0.0 0.1 0.0 0.0 0.1 -0.0 0.6 0.2 -0.2 -0.4 0.0 -0.6 -0.5 -0.0 0.1 BUND 0.1 0.1 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.2 -0.0 -0.1 -0.0 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.1 0.0 -0.2 0.0 -0.7 -0.7 -0.3 -0.4 BUXL 0.0 0.0 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.2 -0.1 -0.1 -0.0 -0.1 -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 -0.1 -0.2 0.1 -0.7 -0.7 -0.5 -0.3 CAC -0.4 -0.6 -0.6 0.1 0.1 0.2 0.1 0.3 0.1 0.1 0.1 -0.1 0.4 -0.1 -0.1 -0.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.2 -0.1 -1.3 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.6 -0.4 -0.6 -0.6 -0.6 0.0 0.3 -0.1 0.4 CAD 0.2 0.1 -0.2 -0.0 0.1 -0.1 0.0 0.0 -0.0 0.1 -0.5 0.2 -0.6 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.3 0.0 -0.1 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.0 0.1 0.6 0.0 -0.1 0.1 -0.2 -0.1 -0.2 CANOLA -0.1 -0.3 0.5 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.2 -0.0 -0.0 -0.3 -0.2 -0.3 -0.3 -0.0 -0.0 0.1 -0.2 0.0 -2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.1 -0.1 -0.2 0.1 -0.2 -0.5 0.2 -0.2 CHF -0.1 0.6 -0.3 -0.0 0.1 -0.1 0.0 0.0 -0.0 0.0 -0.4 -0.1 -0.5 -0.0 -0.1 -0.3 -0.3 -0.3 -0.3 -0.0 -0.1 -0.0 -0.3 -0.0 0.7 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.4 -0.0 0.2 -0.4 0.2 -0.5 -0.0 -0.4 COCOA -0.6 -0.1 -0.6 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.0 0.3 0.3 0.3 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 -0.1 -0.1 0.1 0.6 0.4 0.1 0.5 0.3 COFFEE -0.1 0.2 0.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.4 0.0 0.4 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.4 0.1 -2.7 0.0 0.0 0.2 0.0 0.3 0.0 0.6 -0.1 0.2 0.6 0.6 0.1 -0.4 0.5 -0.1 COPPER -0.2 -0.4 0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 0.1 0.0 0.1 -0.1 0.0 0.0 -0.1 0.0 -0.0 0.0 0.1 0.1 0.2 0.0 -1.3 0.0 0.0 0.1 -0.0 0.1 -0.0 0.3 0.3 0.2 0.1 0.6 0.1 0.0 0.4 0.3 CORN -0.6 -0.5 0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.5 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.2 -0.3 -0.2 -1.5 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -1.1 -0.5 -0.6 -0.5 -0.0 -0.7 -0.5 -0.7 -0.1 COTTON2 0.2 -0.3 -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 -0.2 0.0 -0.1 -0.0 -0.2 -0.2 -0.1 -0.3 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.3 -0.1 -0.6 -0.1 -0.3 0.4 -0.0 CRUDE_W 0.6 0.0 -0.2 0.0 -0.0 0.0 0.0 0.1 0.1 0.1 0.3 0.2 0.6 0.2 0.1 0.3 0.2 0.3 0.3 0.1 0.1 0.2 0.3 0.2 -0.6 0.0 -0.0 -0.0 0.1 0.1 0.0 0.3 0.2 0.3 -0.3 -0.1 0.7 0.7 0.7 0.7 DAX -0.2 -0.6 -0.2 0.1 0.1 0.2 0.1 0.3 0.1 0.2 0.4 0.0 0.6 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 0.1 0.5 -0.0 1.6 0.0 0.1 0.2 0.0 0.4 -0.0 -0.4 -0.2 -0.6 -0.6 0.1 0.2 0.2 -0.2 0.3 DOW 0.2 -0.2 -0.3 0.1 0.1 0.2 0.1 0.3 0.1 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 0.1 -2.0 0.0 0.0 0.1 0.0 0.4 0.0 -0.5 -0.5 -0.6 -0.6 -0.4 0.4 -0.1 0.4 -0.2 DX 0.2 -0.0 0.2 -0.0 0.1 -0.1 0.0 0.0 -0.0 -0.2 0.5 -0.0 0.6 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.3 0.0 -2.7 0.0 -0.1 0.2 -0.1 0.2 0.0 0.9 -0.5 0.6 0.0 0.6 -0.2 0.3 -0.2 0.4 EUR -0.1 -0.0 -0.1 -0.0 0.1 -0.1 0.0 0.0 -0.0 0.2 -0.3 0.1 -0.4 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.2 0.0 2.7 -0.0 0.1 -0.0 0.1 -0.1 0.0 -0.4 0.5 0.1 -0.0 0.0 -0.1 -0.7 -0.2 -0.5 EURIBOR-ICE 0.2 0.0 -0.5 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 -0.0 1.6 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 0.0 0.1 -0.1 -0.1 -0.7 -0.7 -0.2 0.1 EUROSTX -0.2 -0.6 -0.4 0.1 0.1 0.2 0.1 0.3 0.1 0.1 0.4 0.0 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.1 0.0 0.5 -0.0 -0.3 0.0 0.0 0.2 0.0 0.5 -0.0 0.3 -0.3 -0.6 -0.6 -0.1 -0.2 0.1 -0.6 0.1 FEEDCOW 0.1 0.2 -0.1 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.2 0.1 -0.1 0.1 0.0 -0.1 -0.4 -0.3 -0.4 0.0 0.0 0.0 0.0 0.0 -1.0 -0.0 0.0 -0.0 0.0 0.1 0.0 -1.1 0.3 0.6 0.6 -0.2 0.2 0.7 0.5 0.7 GASOIL 0.6 0.0 -0.3 0.0 -0.0 0.0 0.0 0.1 0.1 -0.1 0.1 0.1 0.5 0.2 0.0 -0.0 0.2 0.0 0.1 0.1 0.0 0.1 0.2 0.2 0.8 0.0 -0.0 0.0 0.1 0.1 0.1 0.0 0.3 0.4 0.2 -0.2 -0.7 -0.4 -0.7 -0.7 GASOLINE 0.6 -0.1 -0.2 0.0 -0.0 0.0 0.0 0.1 0.1 0.1 0.3 0.2 0.5 0.2 0.0 0.4 0.4 0.4 0.4 0.1 0.1 0.1 0.3 0.2 -2.7 -0.0 0.0 0.0 0.1 0.1 0.0 1.1 0.2 -0.0 -0.3 -0.2 0.7 0.7 0.7 0.7 GAS_US_mini -0.6 0.3 0.6 0.0 -0.0 0.0 0.0 0.1 0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.0 -0.1 -0.4 -0.4 -0.4 -0.0 -0.0 -0.2 -0.3 -0.1 2.7 0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -1.1 -0.5 -0.6 0.1 0.0 -0.1 -0.2 -0.3 -0.5 GBP -0.1 0.2 -0.0 -0.0 0.1 -0.1 0.0 0.0 -0.0 0.2 0.3 0.1 0.2 0.1 0.2 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.2 0.1 0.1 0.2 0.1 0.2 0.1 0.1 0.2 0.1 0.2 0.5 0.4 0.6 0.4 -0.0 -0.7 -0.0 -0.4 GOLD_micro -0.0 -0.4 0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 0.2 0.0 0.3 -0.0 0.0 -0.2 -0.3 -0.2 -0.3 0.0 0.1 0.1 0.3 0.0 -0.4 -0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.7 0.3 0.3 0.1 0.5 0.1 -0.3 0.4 -0.0 HEATOIL 0.6 0.1 -0.3 0.0 -0.0 0.0 0.0 0.1 0.1 0.0 -0.0 0.2 0.3 0.2 0.0 -0.1 0.2 -0.1 0.1 0.1 -0.0 0.1 0.1 0.2 -2.7 -0.0 -0.0 -0.1 0.1 0.0 0.0 -0.2 0.3 0.4 -0.2 -0.6 0.1 0.2 -0.2 0.1 JGB-SGX-mini -0.0 0.0 -0.6 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 0.4 0.4 0.4 0.4 -0.1 -0.1 -0.0 -0.1 -0.1 -1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 1.1 -0.3 -0.2 -0.4 -0.3 -0.2 -0.1 0.0 0.6 JPY -0.5 -0.4 -0.4 -0.0 0.1 -0.0 0.0 0.0 -0.0 -0.1 -0.4 -0.1 -0.6 -0.2 -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 -0.0 -0.2 -0.1 -1.1 -0.4 -0.6 -0.6 -0.6 -0.7 -0.4 -0.7 -0.4 LEANHOG -0.1 -0.6 -0.6 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.2 -0.3 -0.2 -0.2 0.4 -0.4 0.4 -0.0 -0.2 -0.2 -0.2 -0.3 -0.2 0.7 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -1.1 -0.1 -0.2 -0.6 -0.6 -0.4 -0.3 -0.2 0.1 LIVECOW 0.6 0.6 0.2 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.5 0.2 0.2 0.2 0.2 0.2 0.2 0.4 0.4 0.2 0.2 0.2 0.2 0.2 -1.4 0.1 -0.0 0.1 0.1 0.2 0.1 1.1 0.5 0.6 0.6 0.6 0.1 0.7 0.3 0.7 LUMBER-new -0.2 -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 -0.3 -0.4 -0.4 -0.4 -0.2 -0.1 -0.1 -0.2 -0.1 NaN -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.2 0.2 -0.0 -0.3 -0.7 -0.1 -0.3 0.1 -0.2 MILK -0.5 0.3 0.6 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.2 -0.1 -0.1 0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.0 -0.0 0.0 1.7 0.0 0.0 0.1 -0.0 -0.0 0.0 -1.1 -0.1 0.0 0.6 0.6 -0.3 -0.7 -0.2 -0.7 MXP -0.0 -0.6 -0.6 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 -0.0 -0.1 0.2 0.3 0.2 0.3 -0.1 -0.0 0.0 0.0 -0.0 -2.7 -0.0 0.0 -0.0 0.0 0.0 -0.0 1.1 0.0 0.0 -0.6 -0.2 0.5 0.5 0.7 0.7 NASDAQ_micro 0.5 0.6 0.1 0.1 0.1 0.2 0.1 0.2 0.1 0.1 0.5 0.2 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 0.4 -0.1 0.1 -0.3 0.1 NIKKEI 0.5 0.1 -0.1 0.1 0.1 0.2 0.1 0.3 0.1 0.2 0.5 0.2 0.7 0.2 0.1 0.3 0.2 0.2 0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.4 0.1 1.1 0.5 0.6 0.2 -0.2 0.1 -0.2 -0.3 -0.4 NZD -0.2 0.2 0.1 -0.0 0.1 -0.1 0.0 0.0 -0.0 0.1 0.0 -0.0 -0.0 0.0 0.1 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.0 0.0 0.1 0.0 0.0 0.0 0.3 -0.0 0.1 0.4 0.3 0.2 -0.2 0.3 0.1 OAT -0.0 -0.3 -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 -0.1 0.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.6 0.1 -0.3 -0.5 -0.1 -0.7 -0.6 -0.2 -0.1 OATIES -0.6 -0.6 0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.5 -0.4 -0.1 0.0 -0.0 0.4 0.4 OJ -0.2 -0.4 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.3 0.1 0.4 0.0 0.1 0.1 0.2 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 1.0 0.1 0.1 0.6 0.6 0.3 0.3 0.7 0.7 PALLAD 0.6 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.2 0.1 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.2 0.1 2.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.3 0.5 0.6 0.2 -0.1 -0.7 -0.7 -0.7 -0.6 PLAT 0.0 -0.2 0.3 -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 -0.1 -0.1 -0.1 0.0 0.0 0.0 0.0 0.0 1.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 0.2 0.4 0.3 0.2 -0.7 -0.3 -0.2 0.1 REDWHEAT -0.6 -0.6 0.6 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.4 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.8 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.5 -0.1 -0.6 -0.4 0.4 -0.5 -0.7 -0.3 -0.6 RICE -0.6 -0.1 0.4 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 -0.1 0.5 -0.2 0.6 -0.1 0.2 0.4 0.4 0.4 0.4 0.0 0.1 -0.2 0.5 -0.2 -1.8 0.0 0.0 0.1 -0.0 0.2 -0.0 1.1 -0.5 0.1 0.5 0.3 -0.5 -0.2 -0.5 -0.2 ROBUSTA -0.2 0.4 -0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.3 0.0 0.4 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 0.1 0.2 0.0 0.3 0.0 1.1 0.2 0.4 0.6 0.6 0.1 -0.2 0.4 0.1 RUSSELL -0.1 -0.3 -0.2 0.1 0.1 0.2 0.1 0.3 0.1 -0.0 0.2 -0.0 0.4 -0.1 -0.0 -0.2 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 0.2 -0.0 -0.2 0.0 0.1 0.1 0.0 0.2 0.0 -0.0 -0.2 -0.6 -0.6 -0.4 0.1 -0.7 0.1 -0.7 SHATZ 0.3 0.5 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.2 -0.0 -0.3 0.0 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 -0.0 -0.2 -0.0 0.9 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -1.1 -0.2 0.2 -0.0 -0.1 -0.7 -0.5 -0.5 -0.4 SILVER-mini -0.1 -0.1 0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 0.2 0.0 0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.0 0.3 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.1 0.4 0.2 0.4 0.5 -0.1 -0.3 0.2 0.1 SMI -0.4 0.2 0.4 0.1 0.1 0.2 0.1 0.3 0.1 -0.0 0.5 -0.1 0.6 0.1 0.2 -0.1 0.0 -0.1 -0.0 0.2 0.2 -0.0 0.5 0.1 2.0 0.1 -0.0 0.3 -0.0 0.3 0.0 0.6 -0.5 -0.6 0.2 0.4 0.2 0.1 0.0 0.0 SOFR 0.1 0.5 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.1 0.1 0.0 -0.0 -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 -0.0 0.1 0.3 0.1 0.2 -0.5 0.6 0.1 SOYBEAN -0.4 -0.5 0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.3 -0.2 -0.1 -0.0 0.1 -0.0 0.0 -0.2 -0.1 -0.1 -0.2 -0.2 -2.7 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 -0.3 -0.2 -0.3 0.0 -0.7 -0.7 -0.4 -0.7 SOYMEAL -0.6 -0.4 0.4 -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 0.2 0.2 0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -2.7 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.6 -0.5 -0.5 -0.2 0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 0.1 -0.4 0.1 -0.0 0.1 0.0 -0.0 -0.0 0.0 -0.1 0.2 -0.2 0.1 -2.7 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.2 0.5 0.6 0.4 -0.1 -0.5 -0.6 -0.0 -0.1 SP400 -0.2 -0.5 -0.3 0.1 0.1 0.2 0.1 0.3 0.1 -0.1 0.3 -0.1 0.5 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 0.4 -0.1 -1.8 -0.0 0.0 0.1 0.0 0.3 -0.0 0.0 -0.5 -0.6 -0.6 -0.3 0.1 -0.3 0.1 -0.7 SP500_micro 0.5 0.6 0.3 0.1 0.1 0.2 0.1 0.3 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.3 0.1 0.4 0.1 -0.6 0.2 0.6 0.6 0.6 0.2 0.0 -0.0 0.0 SUGAR11 0.6 0.5 -0.5 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.4 0.1 -0.3 0.2 -0.1 -0.1 0.2 0.0 0.1 0.0 -0.1 0.1 -0.3 0.2 -2.7 0.0 0.0 -0.1 0.1 -0.1 0.1 0.7 0.5 0.6 0.6 -0.4 0.2 0.7 0.5 0.7 US10 0.1 0.4 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.0 -0.2 0.1 0.0 -0.1 -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 -0.4 -0.0 0.0 0.2 0.1 0.1 -0.6 0.4 0.1 US10U 0.0 0.4 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.0 -0.2 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.2 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.1 -0.0 0.2 0.1 0.1 -0.5 0.6 0.3 US2 0.2 0.4 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.1 -0.3 0.0 1.9 0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 0.1 0.0 0.0 -0.1 -0.0 -0.7 0.1 -0.4 US20 -0.0 0.4 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 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.0 -0.0 0.0 0.0 0.2 -0.1 -0.0 0.2 0.2 0.0 -0.3 0.7 0.6 US30 -0.1 0.4 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 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.2 -0.2 -0.1 0.2 0.2 -0.1 -0.3 0.4 0.6 US5 0.1 0.4 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.0 -0.2 -0.2 -0.2 -0.2 0.0 -0.0 0.1 -0.2 0.0 0.8 0.0 0.0 0.0 0.0 -0.0 0.0 -0.6 0.0 0.0 0.2 0.0 0.1 -0.7 0.3 -0.2 VIX 0.2 -0.1 -0.2 -0.1 -0.1 -0.4 -0.1 -0.6 -0.1 -0.3 -0.9 -0.3 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.3 -0.9 -0.3 NaN -0.2 -0.1 -0.5 -0.2 -0.8 -0.2 NaN NaN NaN NaN NaN -0.8 -1.1 NaN NaN WHEAT -0.6 -0.6 0.6 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.0 -0.1 -0.1 -0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.0 -0.5 -0.2 0.4 -0.5 -0.7 -0.4 -0.7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 4.9 5.2 6.3 -3.2 8.9 -2.2 2.3 0.3 -2.6 16.4 1.2 19.0 -4.0 15.6 17.7 -2.2 -2.8 -2.5 -2.6 9.3 5.7 16.9 -0.4 12.3 3.9 6.2 12.8 4.2 12.2 1.1 8.5 -0.0 19.5 20.0 11.9 17.5 4.0 -6.8 5.4 -1.6 BITCOIN -20.0 -15.2 -3.2 -4.2 -8.5 -1.0 -5.9 0.5 -5.8 -18.3 7.9 -19.0 13.2 -16.0 -11.2 -7.3 -7.4 -7.5 -7.6 -11.8 6.6 -20.0 19.2 -20.0 -20.0 -3.6 -9.3 4.0 -9.7 9.5 -8.3 -3.7 -3.3 -20.0 5.3 -3.4 -16.9 -5.2 -1.8 0.4 BOBL 6.2 5.0 -6.0 0.5 2.2 -0.5 0.5 -1.4 0.5 -2.7 -6.6 -1.3 -5.8 0.2 -3.0 -20.0 -10.4 -15.8 -11.6 -1.9 -4.1 -2.7 -5.4 -1.2 3.8 -0.7 -0.3 -1.5 -1.5 -1.9 -0.6 -13.1 -5.6 2.3 -4.3 -1.1 -20.0 -15.6 -8.8 -10.6 BTP -0.7 -8.7 -9.5 0.8 3.9 -0.8 0.9 -2.6 1.0 13.1 3.1 5.7 8.5 -5.9 -9.1 -0.1 4.5 1.4 2.8 -4.2 -0.6 4.8 3.9 -2.1 -20.0 -2.6 11.4 0.4 4.0 3.9 -1.4 12.1 10.2 -6.3 -13.1 1.0 -18.1 -13.9 -1.3 2.6 BUND 3.5 2.8 -4.6 0.5 2.3 -0.5 0.5 -1.5 0.6 -1.8 -5.7 -2.1 -3.1 -0.7 -2.9 4.3 -0.1 -0.1 -1.4 -1.7 -2.7 -2.7 -3.6 -1.8 1.1 -0.6 0.4 -0.7 -1.6 -0.9 -1.0 4.0 -5.6 0.4 -4.8 1.2 -20.0 -19.5 -7.8 -11.5 BUXL 0.0 0.0 -3.1 0.5 2.6 -0.5 0.6 -1.7 0.6 -0.8 -5.6 -4.9 -2.6 -4.0 -5.1 -1.1 -2.9 -3.5 -3.8 -3.0 -3.0 -3.6 -4.0 -3.6 -2.3 -1.1 0.8 -0.6 -2.0 -0.6 -1.8 -0.6 -5.5 -2.6 -7.6 1.8 -20.0 -20.0 -14.6 -10.2 CAC -12.8 -20.0 -20.0 5.5 6.1 6.5 6.6 7.1 5.8 12.8 4.4 -4.6 11.4 -11.6 -10.2 -8.5 -0.4 -3.4 -0.6 -13.3 -2.0 -0.6 8.6 -13.0 -9.6 -3.9 2.4 0.1 -0.5 3.4 -4.2 10.6 -16.4 -20.0 -20.0 -18.9 1.3 7.5 -3.1 10.6 CAD 6.7 2.4 -4.7 -3.6 10.0 -2.5 2.6 0.3 -3.0 14.2 -16.9 15.0 -15.6 5.0 -7.9 -4.2 -2.9 -3.8 -3.3 -2.1 -7.2 9.3 -9.6 4.6 -0.9 -1.4 7.2 -5.0 7.9 -6.5 3.9 -0.7 2.7 20.0 1.0 -1.7 3.5 -7.3 -3.7 -4.8 CANOLA -3.9 -8.4 16.5 -2.1 0.5 -1.0 -0.7 -0.6 -2.2 6.4 -4.6 6.3 -6.9 -1.9 -2.1 -15.5 -10.1 -15.0 -14.0 -3.5 -4.4 7.2 -7.5 0.1 -20.0 -2.3 0.1 -2.1 -0.4 -3.0 -2.1 -20.0 5.6 -4.0 -6.7 2.2 -4.7 -15.7 5.3 -4.7 CHF -2.2 17.2 -8.6 -3.0 8.3 -2.1 2.2 0.3 -2.4 3.0 -15.7 -11.0 -14.3 -2.1 -6.7 -17.3 -16.5 -17.1 -16.7 -4.0 -11.2 -5.2 -12.7 -4.0 5.4 -1.2 1.7 -4.2 -2.2 -4.6 -1.5 -20.0 -16.7 -0.6 6.6 -12.9 6.9 -13.7 -0.1 -12.6 COCOA -20.0 -2.2 -20.0 -1.5 0.3 -0.7 -0.5 -0.4 -1.6 4.2 2.7 -4.6 4.1 -2.7 -0.9 13.4 15.3 17.2 18.4 -0.3 5.1 -4.1 7.8 -4.3 -17.6 0.9 -0.0 4.1 -0.9 6.4 -0.9 20.0 -3.9 -1.9 2.6 20.0 11.7 3.7 15.5 8.3 COFFEE -4.0 6.8 9.2 -3.9 0.9 -1.8 -1.3 -1.0 -4.1 10.2 13.0 3.0 12.4 11.9 11.8 3.9 7.1 5.3 6.9 13.4 17.0 8.4 15.1 8.4 -20.0 3.7 3.4 7.6 0.9 8.3 0.5 11.5 -5.2 7.6 20.0 20.0 3.7 -11.1 13.9 -2.5 COPPER -7.4 -13.3 11.0 -1.9 -3.8 -0.5 -2.7 0.2 -2.6 5.7 3.2 3.4 3.6 -5.5 0.2 0.8 -2.7 0.2 -1.3 1.1 5.7 7.0 6.3 0.3 -9.6 0.2 0.8 2.4 -0.1 2.7 -1.3 5.5 14.1 5.4 4.4 17.2 2.5 0.3 12.5 8.8 CORN -20.0 -16.0 7.3 -3.1 0.7 -1.4 -1.0 -0.8 -3.3 -12.0 -10.2 -13.7 -13.2 -14.0 -11.4 -16.3 -12.8 -17.5 -16.7 -18.0 -11.3 -20.0 -11.4 -20.0 -11.3 -4.1 -10.0 -2.5 -9.6 -2.6 -7.1 -20.0 -20.0 -20.0 -16.4 -1.4 -20.0 -16.4 -20.0 -1.5 COTTON2 7.1 -10.5 -20.0 -3.0 0.7 -1.4 -1.0 -0.8 -3.1 -11.9 -12.6 -10.4 -9.5 -10.7 -13.3 -8.7 0.8 -3.2 -0.5 -14.7 -15.5 -10.0 -10.4 -9.6 -20.0 -3.8 -1.7 -3.1 -1.5 -0.7 -2.1 -0.6 -1.0 8.2 -2.5 -20.0 -3.3 -9.8 12.9 -0.6 CRUDE_W 18.4 0.6 -4.8 2.5 -2.9 1.5 4.4 3.0 5.6 7.3 12.4 20.0 16.1 20.0 13.6 13.7 12.3 13.4 13.0 13.2 9.5 18.1 11.9 20.0 -4.6 0.0 -0.4 -0.2 5.3 3.2 4.5 4.8 6.4 7.7 -8.9 -2.3 20.0 20.0 20.0 20.0 DAX -6.9 -19.6 -6.8 6.0 6.6 7.1 7.2 7.8 6.4 17.4 13.6 1.3 16.6 -8.2 -4.4 -9.5 -11.3 -10.4 -11.2 -0.4 10.2 6.7 18.5 -1.5 11.7 0.5 5.6 7.4 3.2 11.8 -0.9 -8.4 -7.6 -20.0 -20.0 2.3 4.5 5.8 -4.5 8.7 DOW 7.5 -6.2 -8.8 6.0 6.6 7.1 7.2 7.8 6.3 12.5 12.4 10.0 15.1 0.6 -0.1 -11.6 -11.3 -11.5 -11.6 3.3 8.1 6.6 16.5 5.3 -14.6 1.0 2.0 5.4 1.8 10.7 0.6 -8.7 -20.0 -17.2 -20.0 -11.9 11.7 -2.2 11.1 -5.7 DX 5.0 -1.2 6.6 -3.2 8.9 -2.2 2.3 0.3 -2.6 -19.3 17.4 -0.4 16.3 8.3 14.3 7.1 6.9 7.3 7.2 8.5 10.8 -7.9 11.2 3.3 -20.0 4.5 -10.5 5.7 -4.8 6.0 1.5 16.7 -20.0 18.8 0.6 20.0 -5.1 7.9 -5.1 12.2 EUR -2.1 -0.5 -3.7 -3.3 9.1 -2.3 2.4 0.3 -2.7 18.1 -12.7 11.3 -11.3 -4.3 -7.0 -7.5 -7.1 -7.4 -7.2 -4.3 -5.7 12.9 -5.9 1.4 20.0 -1.9 12.7 -1.8 8.9 -1.5 1.3 -7.6 20.0 3.7 -0.1 0.7 -3.7 -20.0 -5.5 -16.2 EURIBOR-ICE 6.8 1.0 -15.3 0.4 2.1 -0.4 0.5 -1.4 0.5 2.9 -4.8 1.9 -0.3 1.6 -3.7 -5.4 -5.0 -5.6 -5.0 -1.8 -2.9 0.6 -1.9 -0.0 11.7 -1.1 2.0 -1.4 0.3 -0.7 -0.1 -2.6 0.5 1.8 -4.3 -4.1 -20.0 -20.0 -6.4 4.2 EUROSTX -6.1 -20.0 -11.5 5.9 6.5 6.9 7.1 7.6 6.2 9.6 15.1 1.7 17.4 -4.0 -2.7 -5.5 -2.4 -5.9 -4.2 0.1 10.5 4.1 19.4 -1.6 -2.4 0.8 3.5 8.4 2.2 13.9 -1.1 5.8 -11.8 -20.0 -20.0 -1.6 -7.1 3.3 -17.3 3.7 FEEDCOW 3.1 5.1 -3.1 -5.0 1.1 -2.3 -1.7 -1.3 -5.3 2.1 7.2 5.6 -2.9 4.7 2.2 -6.5 -20.0 -17.2 -20.0 3.2 0.1 1.4 0.1 3.9 -7.9 -0.1 2.2 -0.8 2.6 1.9 1.5 -20.0 11.7 20.0 20.0 -6.6 5.6 20.0 14.5 20.0 GASOIL 20.0 1.3 -10.5 2.3 -2.7 1.4 4.0 2.8 5.1 -6.3 4.7 13.6 13.5 17.8 0.9 -0.7 12.4 0.9 6.2 6.7 2.6 11.4 8.4 15.0 6.1 2.6 -1.6 0.5 5.4 2.7 6.6 0.1 12.8 13.7 5.7 -7.6 -20.0 -13.3 -20.0 -20.0 GASOLINE 19.0 -4.2 -7.2 2.4 -2.8 1.4 4.1 2.8 5.2 9.3 9.3 20.0 14.8 19.3 0.6 20.0 20.0 20.0 20.0 6.2 5.3 15.3 11.5 15.0 -20.0 -0.2 0.1 0.0 5.4 4.0 4.4 20.0 8.8 -0.3 -8.2 -5.5 20.0 20.0 20.0 20.0 GAS_US_mini -18.9 7.7 20.0 1.3 -1.5 0.8 2.2 1.5 2.8 -10.8 -7.8 -12.3 -10.7 -9.0 -2.2 -6.2 -20.0 -20.0 -20.0 -2.4 -3.1 -17.3 -12.5 -10.6 20.0 0.6 -3.6 -0.7 -4.8 -3.8 -2.1 -20.0 -20.0 -20.0 4.4 1.2 -1.8 -7.0 -7.7 -14.3 GBP -3.6 5.6 -1.0 -3.7 10.1 -2.5 2.7 0.3 -3.0 20.0 13.0 13.5 5.3 13.8 14.1 -0.8 -0.8 -0.9 -0.8 6.6 5.8 17.6 5.3 8.7 1.2 4.9 17.6 5.3 11.8 4.8 5.8 3.2 20.0 12.4 20.0 13.8 -0.1 -20.0 -1.3 -11.2 GOLD_micro -1.4 -13.4 1.9 -2.3 -4.7 -0.6 -3.3 0.3 -3.2 4.2 7.3 3.5 8.5 -4.1 3.6 -10.9 -13.5 -11.7 -12.6 2.9 8.1 5.8 10.1 1.9 -3.3 -0.5 -1.7 3.2 -1.5 5.0 -2.3 -13.4 11.8 8.6 3.0 16.6 3.4 -7.7 10.8 -1.2 HEATOIL 20.0 3.8 -9.8 2.4 -2.8 1.4 4.2 2.9 5.3 2.4 -1.5 17.0 7.2 20.0 0.9 -5.7 10.9 -4.0 2.7 6.5 -0.5 15.8 3.4 17.6 -20.0 -0.8 -1.5 -2.4 4.9 1.0 4.6 -4.2 10.6 12.0 -6.2 -19.6 2.1 7.1 -6.1 2.5 JGB-SGX-mini -1.2 0.2 -18.6 0.5 2.2 -0.5 0.5 -1.5 0.5 -1.5 -4.9 -4.6 -1.2 -4.1 -5.9 20.0 18.4 20.0 18.8 -5.5 -5.3 -4.8 -2.8 -5.4 -8.6 -2.3 -0.3 -2.5 -1.8 -1.9 -2.1 20.0 -10.5 -5.3 -10.9 -9.6 -6.8 -4.5 1.5 16.7 JPY -15.0 -13.0 -11.1 -2.3 6.2 -1.5 1.6 0.2 -1.8 -6.1 -16.7 -13.6 -16.7 -15.4 -16.4 -15.8 -16.3 -15.7 -15.9 -20.0 -20.0 -13.0 -20.0 -20.0 20.0 -6.0 -0.5 -6.4 -3.5 -6.8 -5.3 -20.0 -14.6 -20.0 -20.0 -20.0 -20.0 -11.9 -20.0 -11.4 LEANHOG -4.5 -20.0 -17.5 -4.0 0.9 -1.8 -1.3 -1.1 -4.2 -16.2 -11.2 -17.0 -7.7 -17.9 -17.9 20.0 -20.0 20.0 -2.4 -20.0 -20.0 -19.9 -11.7 -20.0 5.0 -5.9 -2.7 -3.5 -3.2 -1.5 -5.0 -20.0 -6.0 -6.9 -20.0 -20.0 -11.2 -9.7 -5.7 4.3 LIVECOW 19.2 17.6 6.4 -5.2 1.2 -2.4 -1.7 -1.4 -5.4 3.3 17.0 19.6 5.9 20.0 19.5 11.9 11.2 20.0 17.6 20.0 16.2 20.0 9.1 20.0 -10.3 7.8 -0.1 5.4 5.1 4.5 8.4 20.0 20.0 20.0 20.0 20.0 4.1 20.0 9.9 20.0 LUMBER-new -4.0 -8.7 -20.0 -2.1 0.5 -1.0 -0.7 -0.5 -2.2 -6.6 -8.0 -5.8 -7.7 -7.0 -8.8 -14.0 -17.3 -16.9 -17.5 -12.3 -10.7 -6.4 -7.0 -9.8 NaN -3.3 -0.4 -3.2 -0.5 -2.0 -1.8 -20.0 5.6 -0.3 -7.2 -20.0 -3.8 -8.4 3.6 -4.8 MILK -16.8 10.2 20.0 -2.5 0.6 -1.2 -0.8 -0.7 -2.6 7.3 6.4 -5.1 -3.2 0.5 7.9 -20.0 -20.0 -20.0 -20.0 8.8 8.1 1.4 -0.4 3.0 12.5 2.8 1.0 2.5 -0.4 -0.4 0.5 -20.0 -4.2 1.3 20.0 20.0 -9.1 -20.0 -4.9 -20.0 MXP -0.3 -20.0 -20.0 -1.3 3.7 -0.9 1.0 0.1 -1.1 6.8 -2.1 5.3 4.0 -4.4 -5.0 9.6 15.7 12.4 14.0 -7.6 -4.3 2.9 1.8 -4.1 -20.0 -2.3 1.3 -1.2 0.4 0.6 -1.4 20.0 1.1 1.5 -20.0 -6.1 16.3 15.1 20.0 20.0 NASDAQ_micro 16.1 20.0 4.1 5.1 5.6 6.0 6.1 6.6 5.4 15.3 17.2 16.3 17.2 16.6 16.8 -12.3 -10.9 -11.7 -11.3 20.0 20.0 20.0 20.0 20.0 -20.0 6.1 5.2 5.3 5.9 5.6 6.4 -7.9 19.6 20.0 20.0 13.8 -3.4 4.0 -9.0 3.4 NIKKEI 16.4 3.3 -4.4 6.7 7.4 7.9 8.1 8.7 7.1 20.0 16.8 20.0 19.3 20.0 9.7 15.2 9.9 10.8 9.5 20.0 20.0 20.0 20.0 20.0 -20.0 6.3 12.1 7.2 13.7 11.1 10.2 20.0 20.0 19.1 7.2 -7.3 1.7 -6.7 -9.8 -12.5 NZD -6.9 7.6 3.0 -2.9 7.9 -2.0 2.1 0.2 -2.3 11.2 1.0 -4.5 -1.1 2.5 9.9 -0.0 0.2 0.1 0.1 3.9 3.3 2.6 -0.3 1.2 0.5 2.3 5.2 2.3 1.8 0.7 0.5 4.9 -1.6 2.5 12.9 7.8 6.6 -5.5 8.7 1.6 OAT -1.0 -8.3 -11.7 0.6 2.8 -0.6 0.6 -1.8 0.7 7.2 -7.9 2.0 -3.2 -6.6 -8.9 -2.2 4.4 0.8 2.6 -7.4 -6.6 1.1 -5.1 -4.7 1.9 -3.3 5.2 -2.4 0.7 -1.3 -2.3 11.9 4.9 -9.8 -14.5 -4.6 -20.0 -18.3 -6.6 -3.0 OATIES -20.0 -20.0 6.2 -1.9 0.4 -0.9 -0.6 -0.5 -2.0 -0.3 -5.8 -6.6 -6.9 -8.0 -6.9 -6.2 0.5 -0.6 1.4 -11.6 -7.2 -6.6 -5.3 -12.7 -20.0 -2.1 -2.2 -0.9 -2.6 -0.6 -2.9 0.6 -2.5 -16.7 -12.8 -2.4 0.6 -0.8 11.1 12.0 OJ -6.9 -11.5 -1.8 -3.2 0.7 -1.4 -1.0 -0.8 -3.3 6.2 9.3 6.8 11.9 1.7 6.6 7.1 12.4 8.9 9.7 12.1 16.4 5.1 19.1 6.2 -20.0 2.9 -0.3 4.7 -0.2 6.8 0.6 17.9 5.3 1.8 20.0 20.0 8.6 9.5 20.0 20.0 PALLAD 18.9 -0.3 3.9 -2.0 -4.0 -0.5 -2.8 0.2 -2.8 6.6 -5.9 8.2 -8.5 3.6 -3.0 -1.2 -2.1 -1.9 -2.0 0.2 -3.7 11.0 -8.7 6.3 14.7 -1.2 4.0 -2.1 4.5 -3.0 1.5 5.7 20.0 20.0 7.3 -4.4 -20.0 -20.0 -20.0 -18.7 PLAT 0.9 -5.3 10.2 -2.6 -5.2 -0.6 -3.6 0.3 -3.6 0.7 2.0 5.2 -3.3 -4.1 0.2 -4.9 -4.2 -5.0 -4.7 2.3 3.5 4.2 1.8 1.9 7.7 -0.5 -5.1 1.2 -2.9 1.3 -1.9 1.7 7.9 12.6 9.5 7.4 -20.0 -8.3 -4.6 3.3 REDWHEAT -20.0 -17.4 20.0 -3.2 0.7 -1.5 -1.1 -0.8 -3.3 -6.3 -3.7 -11.9 -10.0 -13.0 -8.1 -10.4 -3.8 -9.1 -6.4 -12.8 -4.7 -13.2 -7.6 -19.9 -6.1 -2.5 -4.6 -0.6 -4.7 -1.2 -4.7 -9.3 -5.0 -20.0 -10.9 12.7 -14.4 -20.0 -7.6 -17.2 RICE -17.3 -3.4 12.3 -4.8 1.1 -2.2 -1.6 -1.3 -5.1 -12.7 16.7 -17.5 17.7 -13.2 15.9 20.0 20.0 20.0 20.0 1.8 13.8 -20.0 17.9 -17.7 -13.8 2.4 0.3 4.3 -4.2 4.3 -2.1 20.0 -20.0 3.9 16.5 9.8 -15.6 -7.4 -15.7 -4.8 ROBUSTA -5.5 12.6 -5.3 -2.6 0.6 -1.2 -0.9 -0.7 -2.7 8.1 10.2 3.8 10.6 8.1 8.6 20.0 20.0 20.0 20.0 13.5 19.3 10.3 20.0 9.0 -20.0 3.9 5.6 7.2 3.1 9.3 2.3 20.0 9.0 11.6 20.0 20.0 3.5 -7.1 11.3 4.3 RUSSELL -3.3 -8.5 -5.6 5.6 6.1 6.6 6.7 7.2 5.9 -0.6 9.0 -2.9 11.5 -9.9 -4.1 -7.7 -6.8 -7.4 -7.1 -3.4 2.0 -1.4 6.2 -4.0 -1.3 0.0 6.1 2.5 3.5 4.6 0.5 -0.8 -8.6 -17.3 -19.7 -13.3 3.0 -20.0 1.9 -20.0 SHATZ 10.1 15.5 -1.0 0.4 2.1 -0.4 0.5 -1.3 0.5 -3.6 -6.8 -0.8 -7.5 1.0 -1.9 -20.0 -20.0 -20.0 -20.0 -1.1 -5.5 -3.0 -9.0 -0.0 6.8 -0.3 -1.1 -1.9 -1.1 -2.8 0.2 -20.0 -6.8 6.3 -1.4 -4.0 -20.0 -15.2 -16.2 -11.7 SILVER-mini -3.9 -3.8 13.2 -2.1 -4.2 -0.5 -2.9 0.2 -2.9 4.7 6.4 3.1 5.9 0.6 4.8 -5.5 -6.5 -5.9 -6.2 5.3 7.9 7.1 6.8 3.6 2.2 0.3 0.5 2.7 -0.3 3.1 -1.4 -1.7 14.8 6.1 11.2 15.4 -2.4 -8.7 5.6 4.1 SMI -11.2 6.7 12.7 6.2 6.9 7.3 7.5 8.1 6.6 -1.1 18.3 -11.3 17.4 6.8 14.8 -4.0 1.4 -2.9 -0.7 17.1 20.0 -1.0 20.0 5.3 15.3 6.2 -0.1 9.5 -0.3 8.9 1.7 12.2 -20.0 -20.0 6.3 12.9 6.9 2.8 1.0 0.1 SOFR 3.8 14.0 -1.1 0.6 2.7 -0.6 0.6 -1.8 0.7 9.6 -1.9 7.0 -3.1 7.7 4.2 -2.4 -1.4 -2.7 -2.1 3.7 -0.1 6.0 -3.2 5.0 -2.9 2.4 1.7 1.2 0.9 -0.0 2.0 2.9 -1.6 2.5 9.6 4.5 5.3 -15.6 18.0 1.8 SOYBEAN -11.8 -14.8 3.2 -3.6 0.8 -1.6 -1.2 -1.0 -3.8 -6.9 -12.7 -10.4 -8.4 -14.3 -12.6 -2.0 6.6 -0.8 1.7 -14.5 -10.9 -8.8 -9.2 -14.9 -20.0 -4.6 -7.3 -3.0 -5.8 -2.2 -5.7 6.0 -13.5 -6.7 -10.1 0.9 -20.0 -20.0 -12.7 -20.0 SOYMEAL -20.0 -13.7 11.8 -3.1 0.7 -1.4 -1.0 -0.8 -3.2 -11.1 -10.9 -12.7 -10.1 -13.4 -10.0 20.0 8.0 10.8 6.9 -11.6 -7.7 -18.0 -7.4 -17.5 -20.0 -2.1 -10.4 -0.6 -8.9 -0.8 -5.7 11.0 -20.0 -14.7 -5.7 12.2 -20.0 -20.0 -20.0 -20.0 SOYOIL 18.4 6.3 0.6 -2.7 0.6 -1.2 -0.9 -0.7 -2.8 9.4 -8.4 9.7 -10.6 5.0 -3.7 5.3 0.1 -0.0 -1.7 1.3 -5.4 20.0 -9.0 12.0 -20.0 -0.5 8.4 -2.3 8.2 -2.7 3.5 -2.9 20.0 20.0 13.7 -3.9 -14.1 -16.7 -1.3 -1.5 SP400 -5.8 -15.0 -8.1 5.6 6.1 6.5 6.7 7.2 5.9 -7.2 10.2 -11.3 13.0 -14.3 -6.7 -5.6 -5.9 -6.4 -6.2 -4.9 5.3 -8.5 13.0 -8.9 -13.8 -0.0 3.9 4.1 0.9 7.1 -1.2 0.8 -20.0 -20.0 -20.0 -9.1 4.2 -9.0 4.2 -20.0 SP500_micro 14.1 19.6 9.3 7.2 7.9 8.5 8.6 9.3 7.6 20.0 20.0 20.0 20.0 20.0 20.0 -15.3 -12.6 -14.1 -13.4 20.0 20.0 20.0 20.0 20.0 -20.0 9.0 6.7 9.3 7.7 10.1 8.6 -11.1 8.9 20.0 20.0 17.3 6.7 1.0 -0.3 0.6 SUGAR11 20.0 15.6 -16.4 -4.0 0.9 -1.8 -1.3 -1.1 -4.1 6.8 -13.7 13.7 -9.6 13.9 -5.1 -3.3 10.2 0.3 4.9 2.5 -11.6 15.5 -11.2 16.1 -20.0 0.4 5.1 -4.4 7.7 -3.9 6.0 12.6 20.0 20.0 20.0 -13.6 6.9 20.0 13.9 20.0 US10 2.9 12.7 2.0 0.5 2.3 -0.5 0.5 -1.5 0.6 7.9 -2.6 4.4 -4.9 5.7 2.0 -7.0 -7.3 -6.9 -7.0 1.9 -1.2 4.2 -4.8 3.0 2.4 1.9 1.6 0.8 0.6 -0.7 1.5 -6.7 -1.5 0.7 6.0 3.2 1.8 -18.4 11.4 2.3 US10U 1.3 12.8 3.1 0.6 3.1 -0.6 0.7 -2.0 0.7 7.8 -3.6 2.9 -6.3 6.0 2.4 -5.0 -2.7 -4.9 -3.9 2.0 -1.6 3.3 -6.4 2.5 0.3 2.4 1.4 1.1 0.1 -0.8 1.5 0.2 -5.0 -0.7 7.4 4.6 2.2 -15.0 19.3 10.4 US2 7.2 12.6 -5.1 0.5 2.5 -0.5 0.6 -1.7 0.6 8.6 -7.5 7.1 -9.4 6.9 -2.9 -20.0 -20.0 -20.0 -20.0 -0.5 -6.7 7.4 -12.4 4.1 14.2 0.1 1.9 -1.9 1.3 -3.6 1.2 -20.0 2.4 1.4 0.7 -3.8 -1.3 -20.0 2.6 -13.2 US20 -1.4 11.1 3.6 0.4 2.1 -0.4 0.5 -1.4 0.5 2.8 -0.8 0.2 -2.4 3.0 2.5 -1.0 -0.8 -0.8 -0.7 1.5 -0.1 0.6 -3.1 0.8 -1.0 1.9 0.6 1.4 -0.3 0.2 0.9 4.5 -6.0 -1.3 6.9 5.5 0.3 -10.1 20.0 16.6 US30 -1.6 10.9 4.3 0.5 2.4 -0.5 0.5 -1.6 0.6 2.0 -2.0 -0.8 -3.8 2.4 1.8 -6.1 -5.3 -5.3 -5.3 1.1 -0.7 -0.2 -4.1 0.3 -0.5 2.0 0.5 1.4 -0.6 -0.1 0.8 -3.4 -7.6 -1.8 6.7 5.2 -3.5 -9.8 11.6 17.8 US5 4.5 13.5 -0.2 0.5 2.5 -0.5 0.6 -1.6 0.6 8.9 -4.7 6.7 -7.3 7.0 0.8 -10.8 -10.2 -10.3 -10.1 1.7 -2.5 5.7 -6.7 3.9 5.9 1.6 1.9 0.2 1.0 -1.3 1.7 -11.8 0.4 1.3 5.3 1.4 2.0 -20.0 8.8 -5.4 VIX 3.3 -2.2 -3.5 -8.4 -5.4 -9.5 -6.8 -11.1 -7.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -17.6 -20.0 -16.4 NaN -9.9 -8.7 -10.9 -9.9 -13.1 -9.1 NaN NaN NaN NaN NaN -15.7 -20.0 NaN NaN WHEAT -20.0 -20.0 20.0 -2.4 0.6 -1.1 -0.8 -0.6 -2.6 0.4 -1.8 -6.7 -6.6 -8.8 -5.6 -15.1 -14.2 -15.9 -15.4 -9.4 -2.9 -8.0 -4.4 -14.0 0.7 -1.7 -3.0 -0.1 -3.1 -0.5 -3.3 -20.0 -1.9 -16.6 -7.4 12.2 -13.9 -20.0 -10.9 -20.0 End of report for caleb_strategy_v3