******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240717_203935 produced at 2024-07-17 21:38:52.115864 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 VIX False False 0.01 -0.31 -0.39 0.0 999.00 -999.00 -0.31 -0.31 -70.67 999999999.0 -56 -56 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.15 0.0 0.00 0.00 0.00 0.00 -4.19 24.0 0 0 caleb_strategy_v3 CAD False False 0.02 0.00 -0.07 0.0 0.65 -0.65 0.00 0.00 -3.12 29.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.04 -0.06 0.0 0.74 -0.74 -0.04 -0.04 -1.45 19.0 -1 -1 caleb_strategy_v3 CORN False False 0.01 -0.06 -0.05 0.0 0.08 -0.08 -0.06 -0.06 -7.89 12.0 -9 -9 caleb_strategy_v3 JPY False False 0.02 -0.10 -0.05 0.0 0.42 -0.42 -0.10 -0.07 -1.87 17.0 -4 -3 caleb_strategy_v3 CHF False False 0.04 -0.09 -0.05 0.0 0.57 -0.57 -0.09 -0.09 -1.13 13.0 -2 -2 caleb_strategy_v3 LEANHOG False False 0.01 -0.06 -0.04 0.0 0.12 -0.12 -0.06 -0.05 -4.81 13.0 -7 -6 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.04 0.0 0.15 -0.15 -0.01 -0.01 -14.90 51.0 -2 -2 caleb_strategy_v3 OAT False False 0.04 -0.04 -0.04 0.0 0.42 -0.42 -0.04 -0.04 -0.92 10.0 -1 -1 caleb_strategy_v3 HEATOIL False False 0.03 -0.07 -0.04 0.0 0.10 -0.10 -0.07 -0.07 -1.16 3.0 -2 -2 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -19.15 59.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.72 12.0 0 0 caleb_strategy_v3 DX False False 0.03 0.03 -0.03 0.0 999.00 -999.00 0.03 0.00 -1.02 999999999.0 1 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.07 -0.03 0.0 0.12 -0.12 -0.07 -0.06 -2.56 11.0 -6 -5 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.02 -0.03 0.0 0.00 -0.02 -0.02 -0.02 -17.28 26.0 -10 -10 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.03 0.0 0.32 -0.32 0.00 0.00 -0.70 8.0 0 0 caleb_strategy_v3 LUMBER-new False True 0.00 -0.01 -0.02 0.0 0.00 -0.01 -0.01 -0.01 -4.20 3.0 -2 -2 caleb_strategy_v3 OATIES False True 0.00 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.42 2.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 -0.03 -0.02 0.0 0.33 -0.33 -0.03 -0.05 -1.12 20.0 -2 -3 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.08 -0.08 -0.03 -0.03 -1.73 9.0 -3 -3 caleb_strategy_v3 SOYBEAN False False 0.02 -0.08 -0.02 0.0 0.11 -0.11 -0.08 -0.08 -1.51 7.0 -5 -5 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.02 0.0 0.09 -0.09 -0.01 0.00 -1.89 9.0 -1 0 caleb_strategy_v3 BTP False False 0.04 -0.08 -0.02 0.0 0.40 -0.40 -0.08 -0.08 -0.50 10.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.07 -0.07 -0.02 -0.02 -1.71 8.0 -2 -2 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.04 -0.04 0.00 0.00 -0.82 4.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -0.28 4.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.14 13.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.01 0.0 0.08 -0.08 -0.02 -0.02 -0.80 10.0 -2 -2 caleb_strategy_v3 BUXL False False 0.04 -0.04 -0.01 0.0 0.18 -0.18 -0.04 0.00 -0.25 4.0 -1 0 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.01 0.0 0.44 -0.44 -0.04 -0.04 -0.30 10.0 -1 -1 caleb_strategy_v3 NZD False False 0.02 0.00 -0.00 0.0 0.39 -0.39 0.00 0.00 -0.27 21.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.23 10.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.05 2.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.00 0.0 0.19 -0.19 0.00 0.00 -0.01 2.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.06 -0.00 0.0 0.28 -0.28 0.06 0.02 -0.31 23.0 5 2 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.03 -0.00 0.0 0.45 -0.45 -0.03 -0.03 -0.13 16.0 -1 -1 caleb_strategy_v3 MILK False False 0.01 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.27 5.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 -0.00 0.0 0.12 -0.12 0.01 0.00 -0.37 18.0 1 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.54 -0.54 0.00 0.00 0.13 26.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.04 0.00 0.0 0.24 -0.24 0.04 0.04 0.06 6.0 1 1 caleb_strategy_v3 US20 False True 0.04 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.30 9.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.01 0.0 0.17 -0.17 0.00 0.00 0.26 6.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.03 0.01 0.0 999.00 -999.00 0.03 0.03 0.28 999999999.0 1 1 caleb_strategy_v3 US5 False False 0.03 0.03 0.01 0.0 0.83 -0.83 0.03 0.03 0.34 25.0 1 1 caleb_strategy_v3 US10U False False 0.04 0.11 0.01 0.0 0.46 -0.46 0.11 0.14 0.37 13.0 3 4 caleb_strategy_v3 DAX False False 0.01 0.14 0.01 0.0 0.36 -0.36 0.14 0.12 2.01 58.0 22 19 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 US10 False False 0.03 0.00 0.01 0.0 0.58 -0.58 0.00 0.00 0.27 17.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.01 0.0 0.31 -0.31 0.00 0.01 0.88 23.0 0 1 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.06 -0.06 0.02 0.02 0.64 3.0 1 1 caleb_strategy_v3 DOW False False 0.01 0.03 0.02 0.0 0.42 -0.42 0.03 0.06 3.19 66.0 5 9 caleb_strategy_v3 RUSSELL False False 0.00 -0.02 0.02 0.0 0.24 -0.24 -0.02 -0.01 5.16 68.0 -6 -3 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.03 0.0 0.42 -0.42 0.00 0.00 3.91 56.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.03 0.0 0.42 -0.42 0.03 0.03 3.42 48.0 3 3 caleb_strategy_v3 MXP False False 0.01 0.03 0.04 0.0 0.52 -0.52 0.03 0.03 5.01 60.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.25 0.04 0.0 0.82 -0.82 -0.25 -0.08 0.50 10.0 -3 -1 caleb_strategy_v3 GASOLINE False False 0.03 0.12 0.04 0.0 999.00 -999.00 0.12 0.12 1.38 999999999.0 4 4 caleb_strategy_v3 EUR False False 0.04 0.00 0.05 0.0 0.59 -0.59 0.00 0.00 1.29 14.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.21 0.06 0.0 0.39 -0.39 0.21 0.21 2.89 19.0 10 10 caleb_strategy_v3 NIKKEI False False 0.01 0.20 0.09 0.0 0.28 -0.28 0.20 0.16 11.34 36.0 26 21 caleb_strategy_v3 GBP False False 0.03 0.08 0.11 0.0 0.55 -0.55 0.08 0.08 4.38 22.0 3 3 caleb_strategy_v3 LIVECOW False False 0.02 0.18 0.11 0.0 0.39 -0.39 0.18 0.16 4.99 17.0 8 7 caleb_strategy_v3 SMI False True 0.04 0.00 0.13 0.0 0.00 0.00 0.00 0.00 3.08 9.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.12 0.16 0.0 0.12 -0.12 0.12 0.12 6.48 5.0 5 5 caleb_strategy_v3 SOFR False True 0.07 0.00 0.68 0.0 0.00 0.00 0.00 0.00 9.09 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 15.2 Shocked risk 56.0 Sum abs risk 42.2 Leverage 3.12 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3250047.12, 'annual_cash_vol_target': 812511.78, 'daily_cash_vol_target': 50781.98625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0034 0.6736 0.5052 8.0825 BITCOIN 1797.8605 65420.0000 2.7482 43.9709 BOBL 0.2532 116.7500 0.2169 3.4702 BTP 0.5535 118.4200 0.4674 7.4784 BUND 0.5275 132.6000 0.3978 6.3645 BUXL 1.2892 132.7400 0.9712 15.5392 CAC 67.4730 7599.5000 0.8879 14.2058 CAD 0.0024 0.7316 0.3321 5.3141 CANOLA 8.0212 638.3000 1.2567 20.1064 CHF 0.0050 1.1396 0.4362 6.9787 COCOA 284.4579 6792.0000 4.1881 67.0101 COFFEE 4.6328 242.4500 1.9108 30.5733 COPPER 0.0601 4.4040 1.3642 21.8274 CORN 6.2661 412.5000 1.5190 24.3048 COTTON2 1.0433 72.1000 1.4470 23.1523 CRUDE_W 0.9065 78.0900 1.1608 18.5727 DAX 140.8472 18580.0000 0.7581 12.1289 DOW 238.7256 41462.0000 0.5758 9.2123 DX 0.3454 103.4550 0.3338 5.3415 EUR 0.0041 1.0966 0.3710 5.9364 EURIBOR-ICE 0.0485 97.6100 0.0497 0.7956 EUROSTX 45.5818 4916.0000 0.9272 14.8354 FEEDCOW 1.7241 259.1000 0.6654 10.6464 GASOIL 10.3711 769.5000 1.3478 21.5644 GASOLINE 0.0308 2.2748 1.3546 21.6734 GAS_US_mini 0.0934 2.0750 4.5021 72.0332 GBP 0.0054 1.3012 0.4169 6.6712 GOLD_micro 21.1976 2461.8000 0.8611 13.7770 HEATOIL 0.0334 2.5213 1.3241 21.1853 JGB-SGX-mini 0.2369 143.1600 0.1655 2.6473 JPY 0.0000 0.0065 0.6706 10.7295 LEANHOG 1.3229 73.4750 1.8005 28.8083 LIVECOW 1.1524 185.4500 0.6214 9.9427 LUMBER-new 9.6175 480.0000 2.0036 32.0583 MILK 0.2656 20.4500 1.2986 20.7780 MXP 0.0005 0.0559 0.8796 14.0729 NASDAQ_micro 182.6014 20027.7500 0.9117 14.5879 NIKKEI 411.1908 40170.0000 1.0236 16.3780 NZD 0.0035 0.6075 0.5686 9.0971 OAT 0.5144 125.2800 0.4106 6.5699 OATIES 6.6996 317.5000 2.1101 33.7619 OJ 8.9874 431.0000 2.0852 33.3639 PALLAD 23.0493 954.0000 2.4161 38.6571 PLAT 15.2505 1007.8000 1.5133 24.2120 REDWHEAT 11.6276 579.0000 2.0082 32.1315 RICE 0.1466 14.6850 0.9980 15.9682 ROBUSTA 75.7755 4408.0000 1.7190 27.5047 RUSSELL 26.2273 2264.1000 1.1584 18.5344 SHATZ 0.0836 105.7650 0.0790 1.2641 SILVER-mini 0.5776 30.7250 1.8800 30.0798 SMI 75.6751 12351.0000 0.6127 9.8033 SOFR 0.0623 96.5850 0.0645 1.0314 SOYBEAN 11.9836 1042.2500 1.1498 18.3965 SOYMEAL 4.3242 312.2000 1.3851 22.1613 SOYOIL 0.7831 44.0100 1.7794 28.4712 SP400 28.4603 3109.3000 0.9153 14.6453 SP500_micro 31.3690 5641.2500 0.5561 8.8970 SUGAR11 0.2972 19.7500 1.5048 24.0767 US10 0.3814 111.4375 0.3422 5.4759 US10U 0.5362 115.2344 0.4653 7.4446 US2 0.0911 102.6289 0.0887 1.4197 US20 0.8294 120.5000 0.6883 11.0121 US30 1.2705 128.0938 0.9918 15.8693 US5 0.2394 107.6719 0.2224 3.5580 VIX 0.3547 17.8000 1.9929 31.8858 WHEAT 11.3601 565.5000 2.0089 32.1417 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 673.60 0.51 340.27 1.00 340.27 50781.99 149.24 7.45 111.24 BITCOIN 65.42 2.75 179.79 1.00 179.79 50781.99 282.46 -6.26 -176.82 BOBL 1167.50 0.22 253.22 1.09 275.67 50781.99 184.22 -7.75 -142.72 BTP 1184.20 0.47 553.50 1.09 602.56 50781.99 84.28 -1.73 -14.60 BUND 1326.00 0.40 527.46 1.09 574.22 50781.99 88.44 -3.33 -29.43 BUXL 1327.40 0.97 1289.17 1.09 1403.46 50781.99 36.18 -6.71 -24.29 CAC 759.95 0.89 674.73 1.09 734.54 50781.99 69.13 -7.31 -50.50 CAD 731.55 0.33 242.97 1.00 242.97 50781.99 209.00 -5.76 -120.35 CANOLA 127.66 1.26 160.42 0.73 117.18 50781.99 433.37 -14.13 -612.46 CHF 1424.44 0.44 621.29 1.00 621.29 50781.99 81.74 -5.33 -43.59 COCOA 679.20 4.19 2844.58 1.00 2844.58 50781.99 17.85 3.37 6.02 COFFEE 909.19 1.91 1737.30 1.00 1737.30 50781.99 29.23 7.73 22.60 COPPER 1101.00 1.36 1502.00 1.00 1502.00 50781.99 33.81 0.76 2.56 CORN 206.25 1.52 313.30 1.00 313.30 50781.99 162.09 -20.00 -324.17 COTTON2 360.50 1.45 521.65 1.00 521.65 50781.99 97.35 -12.27 -119.46 CRUDE_W 780.90 1.16 906.46 1.00 906.46 50781.99 56.02 10.69 59.87 DAX 185.80 0.76 140.85 1.09 153.33 50781.99 331.19 1.78 58.83 DOW 207.31 0.58 119.36 1.00 119.36 50781.99 425.44 3.23 137.32 DX 1034.55 0.33 345.38 1.00 345.38 50781.99 147.03 -2.67 -39.27 EUR 1370.81 0.37 508.61 1.00 508.61 50781.99 99.85 4.96 49.54 EURIBOR-ICE 2440.25 0.05 121.34 1.09 132.10 50781.99 384.43 0.38 14.57 EUROSTX 491.60 0.93 455.82 1.09 496.23 50781.99 102.34 -3.21 -32.87 FEEDCOW 1295.50 0.67 862.03 1.00 862.03 50781.99 58.91 -3.60 -21.23 GASOIL 769.50 1.35 1037.11 1.00 1037.11 50781.99 48.96 -1.31 -6.40 GASOLINE 955.42 1.35 1294.19 1.00 1294.19 50781.99 39.24 8.13 31.90 GAS_US_mini 51.88 4.50 233.55 1.00 233.55 50781.99 217.44 -7.34 -159.56 GBP 813.25 0.42 339.08 1.00 339.08 50781.99 149.76 11.28 168.88 GOLD_micro 246.18 0.86 211.98 1.00 211.98 50781.99 239.56 4.79 114.70 HEATOIL 1058.95 1.32 1402.13 1.00 1402.13 50781.99 36.22 -7.42 -26.87 JGB-SGX-mini 143160.00 0.17 23686.86 0.01 149.28 50781.99 340.18 -0.03 -1.19 JPY 808.19 0.67 541.97 1.00 541.97 50781.99 93.70 -7.69 -72.03 LEANHOG 293.90 1.80 529.17 1.00 529.17 50781.99 95.96 -8.25 -79.16 LIVECOW 741.80 0.62 460.97 1.00 460.97 50781.99 110.16 13.68 150.70 LUMBER-new 132.00 2.00 264.48 1.00 264.48 50781.99 192.01 -10.20 -195.93 MILK 409.00 1.30 531.14 1.00 531.14 50781.99 95.61 -1.33 -12.76 MXP 279.60 0.88 245.92 1.00 245.92 50781.99 206.49 1.65 34.12 NASDAQ_micro 400.56 0.91 365.20 1.00 365.20 50781.99 139.05 -0.97 -13.50 NIKKEI 40170.00 1.02 41119.08 0.01 259.14 50781.99 195.97 5.34 104.68 NZD 607.50 0.57 345.40 1.00 345.40 50781.99 147.02 -0.70 -10.26 OAT 1252.80 0.41 514.42 1.09 560.03 50781.99 90.68 -2.97 -26.90 OATIES 158.75 2.11 334.98 1.00 334.98 50781.99 151.60 -9.28 -140.61 OJ 646.50 2.09 1348.11 1.00 1348.11 50781.99 37.67 7.93 29.89 PALLAD 954.00 2.42 2304.93 1.00 2304.93 50781.99 22.03 -0.62 -1.37 PLAT 503.90 1.51 762.53 1.00 762.53 50781.99 66.60 1.01 6.76 REDWHEAT 289.50 2.01 581.38 1.00 581.38 50781.99 87.35 -14.78 -129.09 RICE 293.70 1.00 293.12 1.00 293.12 50781.99 173.25 -1.94 -33.64 ROBUSTA 440.80 1.72 757.75 1.00 757.75 50781.99 67.02 11.24 75.31 RUSSELL 113.20 1.16 131.14 1.00 131.14 50781.99 387.25 4.02 155.79 SHATZ 1057.65 0.08 83.56 1.09 90.97 50781.99 558.22 -7.40 -413.00 SILVER-mini 768.12 1.88 1444.07 1.00 1444.07 50781.99 35.17 4.34 15.26 SMI 1235.10 0.61 756.75 1.12 845.56 50781.99 60.06 15.05 90.37 SOFR 2414.62 0.06 155.66 1.00 155.66 50781.99 326.24 4.59 149.63 SOYBEAN 521.12 1.15 599.18 1.00 599.18 50781.99 84.75 -19.13 -162.17 SOYMEAL 312.20 1.39 432.42 1.00 432.42 50781.99 117.44 -17.31 -203.34 SOYOIL 264.06 1.78 469.88 1.00 469.88 50781.99 108.07 -7.98 -86.26 SP400 3109.30 0.92 2846.03 1.00 2846.03 50781.99 17.84 -0.10 -0.19 SP500_micro 282.06 0.56 156.84 1.00 156.84 50781.99 323.77 4.54 147.04 SUGAR11 221.20 1.50 332.86 1.00 332.86 50781.99 152.56 -1.15 -17.59 US10 1114.38 0.34 381.39 1.00 381.39 50781.99 133.15 1.62 21.57 US10U 1152.34 0.47 536.17 1.00 536.17 50781.99 94.71 3.05 28.89 US2 2052.58 0.09 182.12 1.00 182.12 50781.99 278.83 -0.39 -10.99 US20 1205.00 0.69 829.35 1.00 829.35 50781.99 61.23 3.89 23.81 US30 1280.94 0.99 1270.47 1.00 1270.47 50781.99 39.97 1.27 5.10 US5 1076.72 0.22 239.44 1.00 239.44 50781.99 212.09 1.25 26.56 VIX 178.00 1.99 354.73 1.00 354.73 50781.99 143.16 -20.00 -286.31 WHEAT 282.75 2.01 568.00 1.00 568.00 50781.99 89.40 -14.55 -130.06 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 111.242 0.010 2.5 2.886 BITCOIN -176.817 0.043 2.5 -19.147 BOBL -142.719 0.004 2.5 -1.447 BTP -14.598 0.014 2.5 -0.498 BUND -29.427 0.004 2.5 -0.298 BUXL -24.285 0.004 2.5 -0.246 CAC -50.503 0.014 2.5 -1.723 CAD -120.346 0.010 2.5 -3.122 CANOLA -612.459 0.010 2.5 -14.900 CHF -43.588 0.010 2.5 -1.131 COCOA 6.019 0.009 2.5 0.129 COFFEE 22.603 0.005 2.5 0.264 COPPER 2.563 0.043 2.5 0.278 CORN -324.171 0.010 2.5 -7.887 COTTON2 -119.456 0.009 2.5 -2.558 CRUDE_W 59.871 0.043 2.5 6.483 DAX 58.828 0.014 2.5 2.007 DOW 137.315 0.009 2.5 3.191 DX -39.268 0.010 2.5 -1.019 EUR 49.537 0.010 2.5 1.285 EURIBOR-ICE 14.569 0.014 2.5 0.497 EUROSTX -32.868 0.014 2.5 -1.121 FEEDCOW -21.225 0.013 2.5 -0.703 GASOIL -6.401 0.017 2.5 -0.277 GASOLINE 31.903 0.017 2.5 1.383 GAS_US_mini -159.557 0.043 2.5 -17.278 GBP 168.884 0.010 2.5 4.382 GOLD_micro 114.703 0.014 2.5 3.912 HEATOIL -26.873 0.017 2.5 -1.165 JGB-SGX-mini -1.186 0.043 2.5 -0.128 JPY -72.025 0.010 2.5 -1.869 LEANHOG -79.161 0.024 2.5 -4.811 LIVECOW 150.701 0.013 2.5 4.994 LUMBER-new -195.935 0.009 2.5 -4.195 MILK -12.757 0.009 2.5 -0.273 MXP 34.125 0.059 2.5 5.009 NASDAQ_micro -13.501 0.009 2.5 -0.314 NIKKEI 104.679 0.043 2.5 11.335 NZD -10.265 0.010 2.5 -0.266 OAT -26.902 0.014 2.5 -0.918 OATIES -140.610 0.010 2.5 -3.421 OJ 29.890 0.009 2.5 0.640 PALLAD -1.371 0.014 2.5 -0.047 PLAT 6.755 0.014 2.5 0.230 REDWHEAT -129.091 0.005 2.5 -1.712 RICE -33.638 0.010 2.5 -0.818 ROBUSTA 75.313 0.005 2.5 0.879 RUSSELL 155.790 0.013 2.5 5.162 SHATZ -412.996 0.004 2.5 -4.188 SILVER-mini 15.255 0.014 2.5 0.520 SMI 90.373 0.014 2.5 3.082 SOFR 149.626 0.024 2.5 9.093 SOYBEAN -162.169 0.004 2.5 -1.508 SOYMEAL -203.337 0.004 2.5 -1.891 SOYOIL -86.257 0.004 2.5 -0.803 SP400 -0.187 0.013 2.5 -0.006 SP500_micro 147.039 0.009 2.5 3.417 SUGAR11 -17.587 0.009 2.5 -0.374 US10 21.570 0.005 2.5 0.273 US10U 28.891 0.005 2.5 0.366 US2 -10.992 0.005 2.5 -0.139 US20 23.812 0.005 2.5 0.302 US30 5.095 0.005 2.5 0.065 US5 26.555 0.005 2.5 0.336 VIX -286.314 0.099 2.5 -70.674 WHEAT -130.061 0.005 2.5 -1.725 ===================== Position diags ===================== AUD 3.87 BITCOIN 30.59 BOBL 1.87 BTP 2.87 BUND 0.90 BUXL 0.37 CAC 2.36 CAD 5.42 CANOLA 10.54 CHF 2.12 COCOA 0.38 COFFEE 0.34 COPPER 3.66 CORN 3.94 COTTON2 2.08 CRUDE_W 6.07 DAX 11.30 DOW 9.89 DX 3.81 EUR 2.59 EURIBOR-ICE 13.11 EUROSTX 3.49 FEEDCOW 1.95 GASOIL 2.12 GASOLINE 1.70 GAS_US_mini 23.55 GBP 3.89 GOLD_micro 8.17 HEATOIL 1.57 JGB-SGX-mini 36.84 JPY 2.43 LEANHOG 5.83 LIVECOW 3.65 LUMBER-new 4.11 MILK 2.05 MXP 30.31 NASDAQ_micro 3.23 NIKKEI 21.22 NZD 3.81 OAT 3.09 OATIES 3.69 OJ 0.81 PALLAD 0.75 PLAT 2.27 REDWHEAT 1.16 RICE 4.21 ROBUSTA 0.78 RUSSELL 12.83 SHATZ 5.66 SILVER-mini 1.20 SMI 2.05 SOFR 19.83 SOYBEAN 0.79 SOYMEAL 1.09 SOYOIL 1.01 SP400 0.59 SP500_micro 7.52 SUGAR11 3.24 US10 1.69 US10U 1.20 US2 3.53 US20 0.78 US30 0.51 US5 2.69 VIX 35.34 WHEAT 1.19 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 2.9 2.5 3.3 10.0 10 BITCOIN -19.1 -22.2 -16.1 0.0 0 BOBL -1.4 -1.6 -1.3 -1.0 -1 BTP -0.5 -0.8 -0.2 -2.0 -2 BUND -0.3 -0.4 -0.2 -1.0 -1 BUXL -0.2 -0.3 -0.2 -1.0 -1 CAC -1.7 -2.0 -1.5 0.0 0 CAD -3.1 -3.7 -2.6 0.0 0 CANOLA -14.9 -16.0 -13.8 -2.0 -2 CHF -1.1 -1.3 -0.9 -2.0 -2 COCOA 0.1 0.1 0.2 0.0 0 COFFEE 0.3 0.2 0.3 0.0 0 COPPER 0.3 -0.1 0.6 1.0 1 CORN -7.9 -8.3 -7.5 -9.0 -9 COTTON2 -2.6 -2.8 -2.3 -6.0 -6 CRUDE_W 6.5 5.9 7.1 5.0 5 DAX 2.0 0.9 3.1 22.0 22 DOW 3.2 2.2 4.2 5.0 5 DX -1.0 -1.4 -0.6 1.0 1 EUR 1.3 1.0 1.5 0.0 0 EURIBOR-ICE 0.5 -0.8 1.8 -3.0 -3 EUROSTX -1.1 -1.5 -0.8 -2.0 -2 FEEDCOW -0.7 -0.9 -0.5 0.0 0 GASOIL -0.3 -0.5 -0.1 0.0 0 GASOLINE 1.4 1.2 1.6 4.0 4 GAS_US_mini -17.3 -19.6 -14.9 -10.0 -10 GBP 4.4 4.0 4.8 3.0 3 GOLD_micro 3.9 3.1 4.7 0.0 0 HEATOIL -1.2 -1.3 -1.0 -2.0 -2 JGB-SGX-mini -0.1 -3.8 3.6 -1.0 -1 JPY -1.9 -2.1 -1.6 -4.0 -4 LEANHOG -4.8 -5.4 -4.2 -7.0 -7 LIVECOW 5.0 4.6 5.4 8.0 8 LUMBER-new -4.2 -4.6 -3.8 -2.0 -2 MILK -0.3 -0.5 -0.1 NaN 0 MXP 5.0 2.0 8.0 4.0 4 NASDAQ_micro -0.3 -0.6 0.0 5.0 5 NIKKEI 11.3 9.2 13.5 26.0 26 NZD -0.3 -0.6 0.1 0.0 0 OAT -0.9 -1.2 -0.6 -1.0 -1 OATIES -3.4 -3.8 -3.1 NaN 0 OJ 0.6 0.6 0.7 1.0 1 PALLAD -0.0 -0.1 0.0 0.0 0 PLAT 0.2 0.0 0.5 0.0 0 REDWHEAT -1.7 -1.8 -1.6 -2.0 -2 RICE -0.8 -1.2 -0.4 NaN 0 ROBUSTA 0.9 0.8 1.0 0.0 0 RUSSELL 5.2 3.9 6.4 -6.0 -6 SHATZ -4.2 -4.8 -3.6 NaN 0 SILVER-mini 0.5 0.4 0.6 0.0 0 SMI 3.1 2.9 3.3 0.0 0 SOFR 9.1 7.1 11.1 NaN 0 SOYBEAN -1.5 -1.6 -1.4 -5.0 -5 SOYMEAL -1.9 -2.0 -1.8 -1.0 -1 SOYOIL -0.8 -0.9 -0.7 -2.0 -2 SP400 -0.0 -0.1 0.1 0.0 0 SP500_micro 3.4 2.7 4.2 3.0 3 SUGAR11 -0.4 -0.7 -0.0 1.0 1 US10 0.3 0.1 0.4 0.0 0 US10U 0.4 0.2 0.5 3.0 3 US2 -0.1 -0.5 0.2 NaN 0 US20 0.3 0.2 0.4 0.0 0 US30 0.1 0.0 0.1 1.0 1 US5 0.3 0.1 0.6 1.0 1 VIX -70.7 -74.2 -67.1 -56.0 -56 WHEAT -1.7 -1.8 -1.6 -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 0.3 0.2 0.3 0.0 0.1 -0.0 0.1 0.0 0.1 -0.1 0.1 0.1 -0.1 0.2 0.2 -0.0 -0.1 -0.0 -0.1 0.1 0.1 0.1 0.0 0.2 0.5 0.1 -0.0 0.1 0.0 0.1 0.1 -0.0 -0.4 0.5 0.3 0.6 0.2 -0.2 0.3 -0.0 BITCOIN -0.3 -0.6 -0.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.1 0.2 0.1 0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.1 0.4 -0.1 -2.7 -0.0 0.1 0.1 0.1 0.3 -0.0 -0.2 0.5 0.1 0.6 -0.2 -0.6 -0.2 -0.1 -0.0 BOBL 0.0 0.3 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.2 0.0 -0.0 -0.4 -0.2 -0.4 -0.3 -0.0 -0.0 0.1 -0.2 0.0 0.5 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.9 -0.1 -0.1 -0.1 -0.1 -0.7 -0.5 -0.3 -0.4 BTP 0.3 -0.1 -0.2 0.0 0.1 0.0 0.1 -0.1 0.1 0.1 0.1 0.2 0.3 0.1 -0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.2 0.1 0.1 -2.7 0.0 0.1 0.0 0.1 0.1 0.1 0.6 0.2 0.3 -0.3 -0.0 -0.6 -0.5 -0.1 0.1 BUND -0.0 0.2 -0.1 0.0 0.0 0.0 0.1 -0.0 0.0 0.1 -0.2 0.1 -0.1 0.0 -0.0 0.1 0.0 0.0 -0.0 0.0 -0.0 0.1 -0.1 0.0 0.1 0.0 0.1 -0.0 0.0 -0.0 0.0 0.3 -0.1 -0.1 -0.2 -0.0 -0.7 -0.7 -0.3 -0.4 BUXL -0.1 0.1 -0.1 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.2 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 0.0 -0.4 -0.0 0.1 -0.0 0.0 -0.0 0.0 0.0 -0.1 -0.3 -0.3 0.0 -0.7 -0.7 -0.5 -0.4 CAC -0.1 -0.6 -0.6 0.1 0.0 0.1 0.1 0.2 0.1 -0.0 0.0 -0.0 0.3 -0.1 -0.1 -0.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 -1.2 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.5 -0.5 -0.6 -0.6 -0.6 0.1 0.2 -0.0 0.3 CAD 0.2 0.1 -0.1 0.0 0.1 -0.0 0.1 0.0 0.1 -0.2 -0.5 0.0 -0.6 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.3 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.0 -0.5 0.0 -0.1 -0.1 0.2 -0.2 -0.1 -0.2 CANOLA 0.1 -0.5 0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.3 -0.1 -0.0 -0.3 -0.2 -0.3 -0.3 -0.1 -0.1 -0.0 -0.2 -0.1 -2.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.3 -0.2 -0.4 -0.1 -0.1 -0.5 0.2 -0.1 CHF -0.1 0.5 -0.1 0.0 0.1 -0.0 0.1 0.0 0.1 0.2 -0.4 0.0 -0.5 0.0 -0.0 -0.4 -0.3 -0.4 -0.3 -0.0 -0.1 0.1 -0.3 0.0 0.8 0.0 0.2 -0.1 0.1 -0.2 0.0 -1.1 0.3 -0.5 0.4 -0.2 0.3 -0.4 -0.0 -0.4 COCOA -0.5 -0.2 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.4 0.3 0.4 0.4 -0.0 0.0 -0.0 0.2 -0.0 -2.4 0.0 -0.0 0.1 -0.0 0.3 -0.0 1.1 0.0 -0.2 0.3 0.5 0.4 0.1 0.6 0.3 COFFEE 0.2 0.2 0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 0.4 0.1 0.4 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.4 0.2 -2.7 0.1 0.0 0.2 0.0 0.3 0.0 0.6 0.5 0.6 0.6 0.6 0.0 -0.4 0.3 -0.1 COPPER -0.0 -0.4 0.3 -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 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.2 -0.0 -1.6 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.3 -0.0 0.0 -0.0 0.6 0.2 0.0 0.5 0.3 CORN -0.6 -0.6 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.1 -0.3 -0.2 -1.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.3 -0.6 -0.6 -0.2 -0.7 -0.5 -0.6 -0.1 COTTON2 0.1 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.4 -0.1 -0.4 -0.1 -0.2 -0.2 0.0 -0.1 -0.0 -0.2 -0.2 -0.0 -0.4 -0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.1 0.2 0.3 0.2 -0.6 -0.1 -0.3 0.4 -0.0 CRUDE_W 0.2 0.2 -0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.1 0.4 -0.1 0.6 0.2 0.1 0.3 0.3 0.3 0.3 0.1 0.1 -0.0 0.3 0.1 -0.6 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.4 0.2 0.3 -0.2 -0.1 0.7 0.7 0.7 0.7 DAX 0.1 -0.6 -0.3 0.1 0.0 0.2 0.1 0.2 0.1 -0.0 0.3 0.1 0.6 -0.0 -0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.1 0.0 0.4 0.0 1.5 0.0 -0.0 0.2 0.0 0.4 0.0 -0.4 -0.5 -0.6 -0.6 -0.1 0.2 0.2 -0.2 0.2 DOW 0.6 0.1 -0.2 0.1 0.0 0.2 0.1 0.2 0.1 0.2 0.4 0.2 0.6 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.1 0.2 0.4 0.2 -1.9 0.1 0.2 0.1 0.2 0.2 0.1 -0.5 0.5 0.2 -0.5 -0.3 0.5 -0.1 0.4 -0.1 DX -0.4 -0.1 0.1 0.0 0.1 -0.0 0.1 0.0 0.1 -0.2 0.4 -0.2 0.6 -0.1 0.0 0.1 0.1 0.1 0.1 -0.0 0.1 -0.2 0.3 -0.2 -2.7 -0.0 -0.2 0.1 -0.2 0.2 -0.1 0.9 -0.5 -0.6 -0.1 0.6 -0.2 0.2 -0.2 0.4 EUR 0.4 0.0 -0.0 0.0 0.1 -0.0 0.1 0.0 0.1 0.2 -0.3 0.2 -0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.2 -0.1 0.2 2.7 0.0 0.1 0.0 0.1 -0.0 0.1 -0.4 0.2 0.6 0.0 0.1 -0.0 -0.7 -0.1 -0.6 EURIBOR-ICE 0.3 0.3 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.0 0.1 1.6 0.0 0.1 -0.0 0.1 -0.0 0.0 -0.1 0.1 0.1 -0.1 -0.1 -0.7 -0.7 -0.3 0.1 EUROSTX -0.0 -0.6 -0.5 0.1 0.0 0.1 0.1 0.2 0.1 -0.1 0.4 -0.0 0.6 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.0 0.4 -0.0 -0.3 0.0 -0.1 0.2 -0.0 0.5 -0.0 0.3 -0.5 -0.6 -0.6 -0.2 -0.2 0.1 -0.5 0.1 FEEDCOW -0.2 0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.2 -0.0 -0.1 -0.1 0.0 -0.0 -0.4 -0.3 -0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -1.1 -0.0 0.0 -0.0 0.0 0.1 -0.0 -1.1 -0.2 0.1 0.4 -0.0 0.1 0.7 0.4 0.7 GASOIL 0.2 0.1 -0.3 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.2 0.1 -0.2 0.5 0.1 -0.0 -0.0 0.2 0.0 0.1 0.0 0.0 -0.1 0.2 -0.0 0.8 0.0 -0.1 0.0 -0.1 0.1 -0.0 0.0 0.0 0.1 0.3 -0.2 -0.7 -0.5 -0.7 -0.7 GASOLINE 0.3 0.0 -0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.1 0.3 -0.1 0.6 0.2 0.0 0.4 0.4 0.4 0.4 0.0 0.1 -0.1 0.3 0.0 -2.7 -0.0 -0.0 -0.0 -0.0 0.2 -0.0 1.1 0.2 0.4 -0.1 -0.2 0.7 0.7 0.7 0.7 GAS_US_mini -0.6 -0.1 0.6 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.1 -0.1 -0.4 -0.4 -0.4 -0.1 -0.1 -0.2 -0.3 -0.2 2.7 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -1.1 0.0 -0.6 -0.2 0.1 -0.1 -0.3 -0.3 -0.5 GBP 0.4 0.2 0.1 0.0 0.1 -0.0 0.1 0.0 0.1 0.2 0.5 0.2 0.3 0.2 0.2 -0.0 -0.0 -0.0 -0.0 0.2 0.1 0.2 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.1 0.1 0.2 0.5 0.6 0.6 0.6 0.1 -0.7 0.0 -0.4 GOLD_micro 0.4 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.2 0.1 0.3 0.1 0.1 -0.2 -0.3 -0.2 -0.3 0.1 0.1 0.2 0.3 0.1 -0.5 0.0 0.1 0.1 0.1 0.2 0.0 -0.7 0.5 0.6 0.4 0.6 0.2 -0.2 0.4 -0.0 HEATOIL 0.2 0.2 -0.3 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.1 -0.0 -0.2 0.3 0.1 -0.0 -0.1 0.2 -0.1 0.0 0.0 -0.0 -0.1 0.1 -0.0 -2.7 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 -0.2 -0.2 0.1 -0.2 -0.6 0.0 0.2 -0.3 0.1 JGB-SGX-mini -0.2 0.2 -0.5 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.4 0.4 0.4 0.4 -0.0 -0.1 0.0 -0.1 -0.0 -1.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 1.1 -0.0 -0.4 -0.3 -0.4 -0.1 -0.1 0.1 0.6 JPY 0.3 0.1 0.1 0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.4 0.1 -0.5 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.2 0.1 -0.5 -0.0 2.7 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -1.1 0.3 -0.2 -0.4 -0.6 -0.7 -0.4 -0.7 -0.4 LEANHOG 0.1 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.3 -0.0 -0.3 -0.1 -0.1 0.4 -0.2 0.4 0.3 -0.2 -0.2 -0.0 -0.3 -0.2 0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.3 -0.1 -0.3 -0.6 -0.6 -0.3 -0.3 -0.1 0.1 LIVECOW 0.2 0.5 0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.5 0.1 0.3 0.2 0.2 -0.0 0.2 0.3 0.3 0.2 0.2 0.1 0.3 0.2 -1.5 0.1 0.0 0.2 0.0 0.2 0.1 1.1 -0.3 0.6 0.6 0.6 0.1 0.7 0.2 0.7 LUMBER-new 0.1 -0.3 -0.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.3 -0.1 -0.3 -0.1 -0.1 -0.3 -0.4 -0.4 -0.4 -0.1 -0.1 -0.0 -0.2 -0.1 NaN -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.2 -0.0 -0.0 -0.2 -0.7 -0.0 -0.3 0.2 -0.1 MILK -0.3 0.1 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.0 -0.1 -0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 -0.0 0.0 0.0 1.9 0.0 0.0 0.1 -0.0 -0.0 -0.0 -1.1 0.0 -0.2 0.6 0.6 -0.3 -0.7 -0.1 -0.7 MXP 0.4 -0.6 -0.6 0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.1 0.1 0.2 -0.0 -0.0 0.2 0.3 0.2 0.3 -0.0 -0.0 0.1 0.1 0.0 -2.7 -0.0 0.0 -0.0 0.0 0.0 0.0 1.1 0.1 0.4 -0.6 -0.3 0.5 0.5 0.7 0.7 NASDAQ_micro -0.2 0.4 0.0 0.1 0.0 0.1 0.1 0.2 0.1 -0.1 0.4 0.0 0.6 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 -0.0 0.1 -0.0 0.2 0.0 -0.4 -0.5 -0.6 0.6 0.4 -0.0 0.2 -0.3 0.1 NIKKEI 0.6 0.1 -0.4 0.1 0.0 0.2 0.1 0.2 0.1 -0.1 0.4 0.1 0.6 0.1 0.1 0.3 0.2 0.2 0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.3 0.1 1.1 -0.5 0.5 0.3 -0.2 0.1 -0.2 -0.2 -0.4 NZD -0.3 0.1 0.2 0.0 0.1 -0.0 0.1 0.0 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.3 -0.5 -0.6 -0.0 0.3 0.3 -0.2 0.3 0.0 OAT 0.3 -0.1 -0.3 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.2 0.1 -0.1 0.0 -0.1 -0.0 0.1 0.0 0.0 -0.0 -0.1 0.1 -0.1 0.0 0.2 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.6 0.0 0.0 -0.4 -0.2 -0.7 -0.6 -0.3 -0.1 OATIES -0.2 -0.6 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 -0.1 0.0 -0.0 0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -2.7 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.3 -0.4 -0.1 0.1 -0.0 0.4 0.4 OJ -0.1 -0.3 -0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 0.3 0.0 0.4 0.0 0.1 0.2 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 0.3 0.0 1.0 0.1 0.4 0.5 0.6 0.3 0.3 0.7 0.7 PALLAD 0.4 0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.0 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 0.0 1.9 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.0 0.5 0.4 -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 -0.1 0.0 -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 1.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 0.1 0.3 0.2 0.3 -0.7 -0.3 -0.2 0.1 REDWHEAT -0.5 -0.6 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 -0.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.5 -0.5 -0.5 -0.6 0.3 -0.5 -0.7 -0.3 -0.6 RICE -0.6 -0.5 0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.3 -0.2 0.6 -0.2 0.1 0.4 0.4 0.4 0.4 -0.1 0.1 -0.2 0.4 -0.2 -1.7 -0.0 -0.1 0.1 -0.1 0.1 -0.1 1.1 -0.2 -0.5 0.4 0.5 -0.6 -0.3 -0.6 -0.2 ROBUSTA 0.3 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.3 0.1 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 0.1 0.5 0.2 -2.7 0.0 0.0 0.1 0.0 0.2 0.0 1.1 0.5 0.6 0.6 0.6 0.1 -0.2 0.4 0.1 RUSSELL 0.6 -0.1 -0.1 0.1 0.0 0.1 0.1 0.2 0.1 0.1 0.3 0.1 0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.2 0.1 0.2 -0.1 0.0 0.1 0.1 0.1 0.1 0.1 -0.0 0.5 0.6 -0.1 -0.1 0.1 -0.7 0.1 -0.7 SHATZ 0.1 0.6 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.2 0.0 -0.3 0.0 0.0 -0.4 -0.4 -0.4 -0.4 0.0 -0.0 0.1 -0.2 0.0 0.9 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 -0.1 -0.1 -0.0 -0.1 -0.7 -0.5 -0.5 -0.4 SILVER-mini 0.0 -0.2 0.3 -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 0.0 0.2 0.0 0.3 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 0.2 0.3 0.5 -0.0 -0.3 0.2 0.2 SMI -0.1 0.1 0.5 0.1 0.0 0.2 0.1 0.2 0.1 0.1 0.5 0.1 0.7 0.2 0.2 -0.1 0.0 -0.1 -0.0 0.2 0.2 0.2 0.5 0.2 2.1 0.1 0.1 0.3 0.1 0.3 0.1 0.6 0.1 -0.6 -0.1 0.5 0.2 0.1 -0.0 0.0 SOFR 0.2 0.6 0.1 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 -0.1 0.1 -0.4 0.0 0.0 0.1 0.0 0.0 0.0 0.2 -0.1 0.1 0.2 0.2 0.2 -0.5 0.7 0.1 SOYBEAN -0.5 -0.6 -0.0 -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 0.1 -0.0 0.0 -0.2 -0.1 -0.2 -0.2 -0.2 -2.7 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.3 -0.5 -0.6 -0.6 -0.2 -0.5 -0.7 -0.3 -0.7 SOYMEAL -0.6 -0.6 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 0.2 0.2 0.2 0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.6 -0.5 -0.6 -0.4 0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.5 0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.0 -0.3 -0.0 -0.0 0.1 0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.2 0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.5 0.2 0.2 -0.2 -0.4 -0.5 -0.1 -0.1 SP400 0.3 -0.3 -0.3 0.1 0.0 0.1 0.1 0.2 0.1 0.1 0.3 0.1 0.4 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.2 0.2 0.2 -1.6 0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.5 0.2 -0.4 -0.2 0.2 -0.3 0.1 -0.7 SP500_micro 0.1 0.5 0.3 0.1 0.0 0.2 0.1 0.2 0.1 0.0 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 0.0 0.2 0.1 0.3 0.1 -0.6 -0.3 -0.2 0.6 0.6 0.3 0.1 -0.0 0.1 SUGAR11 0.4 0.6 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.0 -0.4 0.1 -0.1 -0.1 0.2 -0.0 0.1 -0.0 -0.1 -0.0 -0.3 0.0 -2.7 0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.6 -0.4 0.6 0.6 -0.4 0.1 0.7 0.3 0.7 US10 0.2 0.5 0.1 0.0 0.0 0.0 0.1 -0.0 0.0 0.1 -0.0 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.4 -0.1 -0.0 0.1 0.1 0.1 -0.6 0.4 0.1 US10U 0.1 0.5 0.2 0.0 0.1 0.0 0.1 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.2 0.1 0.0 0.0 0.0 0.1 0.0 -0.0 0.0 0.0 -0.2 -0.1 0.1 0.1 0.1 -0.5 0.7 0.4 US2 0.5 0.6 -0.1 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.2 0.1 -0.3 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.1 -0.0 0.1 -0.3 0.1 2.0 0.0 0.0 -0.0 0.1 -0.1 0.0 -1.1 0.0 0.2 0.1 -0.1 0.0 -0.7 0.2 -0.4 US20 -0.1 0.4 0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.0 0.1 -0.1 0.0 -0.2 0.0 0.0 0.1 0.0 0.0 0.0 0.2 -0.1 -0.1 0.1 0.2 0.1 -0.3 0.7 0.6 US30 -0.1 0.4 0.2 0.0 0.1 0.0 0.1 -0.0 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 -0.1 0.0 -0.1 0.0 0.0 0.1 0.0 0.0 0.0 -0.2 -0.2 -0.2 0.1 0.1 -0.0 -0.3 0.4 0.6 US5 0.3 0.6 0.1 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.1 0.1 -0.3 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 -0.0 0.1 -0.2 0.1 0.9 0.0 0.0 0.0 0.0 -0.0 0.0 -0.6 -0.0 0.1 0.1 0.1 0.1 -0.7 0.3 -0.2 VIX -0.1 -0.0 -0.6 -0.1 0.0 -0.4 -0.0 -0.7 -0.1 0.2 -0.9 -0.3 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.1 -0.9 -0.2 NaN -0.2 0.0 -0.5 -0.0 -0.8 -0.1 NaN NaN NaN NaN NaN -0.8 -1.1 NaN NaN WHEAT -0.5 -0.6 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.1 -0.1 -0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.5 -0.5 -0.5 0.2 -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 8.3 6.7 8.3 0.7 12.3 -1.0 11.1 0.6 5.6 -15.1 4.0 11.4 -2.3 17.2 20.0 -2.2 -2.7 -2.4 -2.5 13.5 8.8 8.0 1.2 14.3 3.9 7.4 -3.5 5.1 4.5 1.8 8.0 -0.0 -17.3 14.2 10.3 20.0 6.2 -6.1 7.7 -1.5 BITCOIN -9.4 -20.0 -9.1 -4.9 -1.3 -2.0 -3.4 -0.1 -5.5 16.5 6.1 6.8 12.2 -9.2 -10.6 -6.4 -7.3 -7.1 -7.4 -8.3 3.7 12.6 15.4 -5.9 -20.0 -2.9 11.2 3.1 4.8 9.0 -2.3 -3.4 20.0 3.1 18.4 -4.8 -18.6 -6.3 -3.9 -0.3 BOBL 0.9 10.3 -5.8 1.6 5.2 0.2 4.5 -1.1 3.0 8.6 -6.8 5.2 -6.3 3.3 -1.6 -20.0 -11.8 -19.5 -14.1 -0.3 -3.6 6.0 -5.7 2.9 4.0 0.2 5.0 -1.3 3.6 -2.0 1.8 -16.2 -3.5 -3.8 -4.2 -2.4 -20.0 -16.2 -10.0 -11.4 BTP 9.6 -2.2 -6.3 2.7 8.8 0.3 7.6 -1.8 5.1 14.9 2.8 15.6 9.1 9.6 -0.8 0.9 4.3 1.6 2.7 2.9 1.7 19.2 4.5 11.1 -20.0 1.9 10.5 1.6 10.8 3.2 6.3 11.8 7.3 9.4 -10.6 -0.0 -18.6 -14.8 -3.3 2.4 BUND -0.4 7.3 -4.1 1.7 5.4 0.2 4.7 -1.1 3.2 9.0 -6.0 5.9 -3.2 3.0 -1.3 5.1 0.2 1.2 -0.6 0.0 -2.2 6.6 -3.7 3.0 1.0 0.4 6.2 -0.4 4.2 -0.8 2.0 4.8 -2.1 -4.3 -5.2 -0.1 -20.0 -20.0 -9.0 -12.4 BUXL -2.9 3.5 -3.7 1.9 6.2 0.2 5.4 -1.3 3.6 10.4 -6.8 4.2 -2.8 -0.9 -4.3 -0.7 -2.7 -2.7 -3.4 -1.7 -3.0 6.3 -4.6 1.3 -2.7 -0.3 7.3 -0.5 4.2 -0.7 1.2 0.3 -3.0 -8.2 -8.5 0.0 -20.0 -20.0 -14.8 -11.0 CAC -2.9 -20.0 -20.0 5.6 3.3 5.3 6.5 5.2 6.6 -5.5 0.8 -2.4 9.7 -12.7 -12.2 -8.2 -0.9 -4.4 -1.5 -12.8 -4.0 -5.7 6.5 -11.0 -9.1 -4.2 -2.0 -0.6 -1.8 3.0 -3.8 9.4 -20.0 -20.0 -20.0 -20.0 3.0 6.7 -0.8 9.4 CAD 4.8 2.2 -2.7 0.7 13.2 -1.1 11.9 0.6 6.0 -20.0 -16.9 3.0 -15.9 6.2 -4.6 -4.3 -3.0 -4.0 -3.4 -1.3 -6.4 -4.0 -9.7 1.1 -1.1 -0.9 -11.0 -4.4 -4.1 -6.4 0.5 -0.9 -20.0 1.2 -3.6 -3.0 5.4 -6.7 -3.2 -4.6 CANOLA 4.4 -14.1 11.8 -2.3 -0.1 -1.3 -1.2 -0.7 -2.2 -3.7 -5.1 -2.1 -7.0 -4.8 -4.0 -15.6 -10.5 -15.3 -14.3 -5.2 -5.1 -3.7 -7.4 -5.1 -19.3 -2.8 0.1 -2.3 -1.9 -2.7 -2.9 -20.0 -12.1 -7.1 -10.8 -3.2 -2.3 -13.8 6.6 -4.0 CHF -3.8 14.2 -3.0 0.6 11.4 -0.9 10.3 0.5 5.1 19.5 -16.3 2.7 -15.3 2.2 -1.9 -17.9 -16.7 -17.5 -17.0 -1.5 -9.6 13.4 -12.2 4.2 6.1 0.1 18.4 -3.9 8.5 -5.0 3.1 -20.0 11.8 -16.5 13.1 -7.0 8.7 -12.6 -0.7 -12.2 COCOA -14.2 -6.7 -12.6 -1.7 -0.1 -0.9 -0.9 -0.5 -1.6 -2.8 2.5 -2.1 3.9 -2.6 -2.0 19.5 15.9 19.0 19.2 -0.2 4.6 -1.5 7.8 -1.9 -18.0 0.9 -1.2 4.5 -0.4 7.5 -0.4 20.0 1.6 -5.4 8.5 15.2 13.4 4.4 17.2 8.8 COFFEE 4.7 5.5 8.0 -4.1 -0.2 -2.3 -2.2 -1.3 -4.0 8.3 13.4 10.2 12.4 12.8 13.4 3.4 6.9 4.8 6.5 16.8 17.0 13.7 14.2 16.4 -20.0 5.3 1.8 7.0 4.1 7.3 4.6 11.7 20.0 20.0 20.0 20.0 1.4 -10.7 10.4 -3.0 COPPER -0.3 -13.3 8.8 -2.6 -0.7 -1.0 -1.8 -0.1 -2.9 -8.8 3.3 -1.5 4.0 -6.1 -0.4 1.3 -2.4 0.5 -1.0 1.1 6.6 -4.4 8.0 -1.7 -11.6 -0.6 -4.0 2.4 -2.8 3.3 -2.4 6.1 -1.7 0.1 -0.1 18.6 4.6 1.0 13.9 9.7 CORN -20.0 -20.0 4.8 -2.9 -0.2 -1.7 -1.6 -1.0 -2.8 -2.9 -9.6 -9.5 -11.3 -11.2 -10.6 -15.5 -12.9 -16.9 -16.5 -17.5 -12.4 -10.8 -10.9 -18.5 -9.1 -3.8 -0.4 -2.6 -2.6 -2.2 -4.3 -20.0 -12.8 -20.0 -17.0 -5.2 -20.0 -14.7 -18.4 -2.1 COTTON2 2.4 -11.0 -20.0 -3.7 -0.2 -2.1 -2.0 -1.2 -3.6 5.9 -14.5 -8.0 -11.4 -12.0 -14.8 -10.4 0.0 -5.2 -1.8 -15.8 -18.0 -2.0 -13.1 -8.2 -20.0 -4.1 1.9 -4.0 0.8 -1.3 -1.3 -1.6 6.8 9.9 5.2 -20.0 -4.1 -9.2 11.5 -0.6 CRUDE_W 5.6 4.7 -4.8 -0.3 -8.5 0.9 -7.8 3.1 -2.6 -13.8 14.1 -10.0 17.0 16.1 13.9 15.4 12.6 14.3 13.5 10.0 10.1 -5.3 12.9 5.9 -4.4 -0.9 -4.3 -0.3 -3.2 3.7 -0.4 7.0 6.7 8.5 -4.7 -2.5 20.0 20.0 20.0 20.0 DAX 4.3 -19.3 -8.2 5.9 3.5 5.6 6.9 5.6 7.0 -1.2 12.6 5.2 15.8 -0.3 -1.9 -9.2 -11.2 -10.2 -11.0 2.3 9.0 5.0 16.1 3.4 11.5 1.8 -1.5 7.5 2.8 12.3 1.7 -8.2 -20.0 -20.0 -20.0 -3.9 6.1 4.9 -4.7 7.4 DOW 17.0 4.3 -6.1 6.2 3.7 5.8 7.2 5.8 7.3 18.1 14.1 19.4 16.0 13.7 8.8 -11.8 -11.4 -11.7 -11.7 14.3 11.4 20.0 15.6 20.0 -14.5 4.9 18.9 4.3 14.4 6.0 9.0 -8.9 20.0 4.7 -16.4 -8.9 13.6 -1.6 11.0 -4.5 DX -11.7 -3.6 3.1 0.7 11.9 -1.0 10.7 0.6 5.4 -20.0 16.0 -20.0 16.5 -10.0 1.5 7.2 7.0 7.3 7.2 -1.2 7.1 -20.0 10.4 -14.5 -20.0 -1.0 -16.9 3.2 -14.5 5.0 -7.9 16.7 -20.0 -20.0 -3.5 19.5 -6.9 7.0 -7.3 10.7 EUR 12.3 0.9 -0.7 0.7 12.4 -1.0 11.2 0.6 5.6 20.0 -10.7 20.0 -11.2 13.3 5.8 -7.5 -7.2 -7.5 -7.2 4.3 -2.5 20.0 -5.2 15.4 20.0 3.1 13.8 0.3 13.8 -0.7 8.8 -7.7 10.3 20.0 1.1 3.7 -0.6 -19.6 -3.1 -16.6 EURIBOR-ICE 8.5 9.0 -10.2 1.5 4.7 0.1 4.1 -1.0 2.8 8.0 -4.5 7.6 -0.2 6.4 -0.8 -3.9 -4.8 -5.0 -4.7 1.5 -1.4 10.4 -1.5 6.3 11.7 0.8 6.2 -0.5 5.3 -0.3 3.2 -2.4 3.4 2.6 -2.4 -4.0 -20.0 -20.0 -8.0 2.8 EUROSTX -0.4 -20.0 -14.7 5.7 3.4 5.4 6.6 5.4 6.7 -11.7 13.7 -3.8 16.2 -2.5 -2.8 -5.0 -2.6 -5.6 -4.2 0.2 7.8 -4.4 15.6 -1.7 -2.2 0.7 -10.1 7.6 -2.9 13.6 -1.3 5.5 -20.0 -20.0 -20.0 -7.0 -4.6 2.2 -15.9 2.2 FEEDCOW -5.7 0.4 -0.9 -5.7 -0.3 -3.2 -3.0 -1.9 -5.5 1.9 6.7 -3.9 -3.3 -7.6 1.7 -1.9 -20.0 -13.0 -20.0 -2.4 -2.0 -3.5 -0.6 -5.1 -8.2 -1.9 4.4 -1.6 0.3 1.4 -1.7 -20.0 -10.0 2.0 13.2 -1.2 3.5 20.0 11.4 20.0 GASOIL 4.7 4.4 -10.5 -0.3 -7.6 0.8 -7.0 2.8 -2.4 -16.7 4.6 -15.8 13.4 8.7 -0.2 -1.4 11.6 0.3 5.3 2.3 2.1 -10.7 8.2 -0.3 5.7 0.8 -7.1 0.4 -5.2 3.0 -0.1 0.1 0.0 4.3 8.3 -5.6 -20.0 -13.8 -20.0 -20.0 GASOLINE 8.0 1.3 -7.3 -0.3 -8.0 0.8 -7.4 3.0 -2.5 -13.8 10.0 -8.0 15.4 14.3 0.5 20.0 20.0 20.0 20.0 4.1 5.7 -5.6 12.3 3.0 -20.0 -1.0 -4.8 -0.0 -3.2 4.7 -0.3 20.0 8.4 10.9 -1.5 -5.7 20.0 20.0 20.0 20.0 GAS_US_mini -20.0 -3.5 20.0 -0.1 -3.9 0.4 -3.6 1.5 -1.2 -10.6 -9.0 -11.9 -10.5 -11.6 -7.6 -5.3 -20.0 -19.6 -20.0 -8.2 -5.9 -17.0 -12.6 -15.2 20.0 -1.7 -6.2 -1.5 -5.7 -3.4 -4.3 -20.0 1.0 -18.3 -5.9 3.1 -2.5 -7.8 -8.3 -15.7 GBP 11.8 7.2 4.1 0.7 13.2 -1.1 11.9 0.6 6.0 20.0 17.1 20.0 7.1 20.0 20.0 -0.6 -0.8 -0.8 -0.8 18.0 10.9 20.0 7.5 20.0 0.6 7.4 12.9 5.1 14.6 3.7 11.4 3.2 20.0 20.0 20.0 20.0 2.3 -20.0 0.7 -12.0 GOLD_micro 11.3 -8.8 0.8 -2.9 -0.8 -1.2 -2.1 -0.1 -3.3 9.5 9.0 10.9 9.6 5.4 7.0 -11.4 -13.5 -11.8 -12.6 8.3 10.3 17.7 11.5 11.9 -3.8 1.2 7.3 3.8 5.7 5.7 2.4 -13.2 20.0 19.7 13.6 18.4 5.1 -6.5 12.8 -0.1 HEATOIL 5.4 6.1 -9.8 -0.3 -7.9 0.8 -7.3 2.9 -2.5 -16.4 -1.4 -16.3 7.1 9.4 -0.7 -6.5 9.8 -4.7 1.5 1.1 -1.1 -12.0 3.3 -1.1 -20.0 -2.7 -5.9 -3.2 -5.0 0.8 -2.0 -4.6 -7.4 2.6 -5.2 -17.6 1.2 7.1 -7.6 2.7 JGB-SGX-mini -4.8 6.5 -14.6 1.5 4.9 0.2 4.3 -1.0 2.9 5.2 -5.3 0.5 -1.7 -1.6 -5.1 20.0 18.8 20.0 19.5 -3.8 -5.0 3.5 -3.0 -0.5 -8.7 -1.9 2.3 -2.7 1.6 -2.3 -0.2 20.0 -0.4 -12.1 -8.2 -11.6 -4.2 -4.3 2.6 17.3 JPY 9.1 1.9 2.9 0.4 6.7 -0.6 6.1 0.3 3.0 10.6 -13.2 6.4 -13.7 -4.8 -10.7 -15.2 -16.2 -15.6 -15.8 -10.5 -15.7 10.4 -19.3 -1.3 20.0 -3.7 7.3 -5.4 4.3 -6.3 -0.2 -20.0 14.5 -7.1 -12.4 -20.0 -20.0 -12.9 -20.0 -12.2 LEANHOG 4.2 -20.0 -20.0 -3.4 -0.2 -1.9 -1.8 -1.1 -3.3 8.8 -9.8 -3.1 -7.0 -10.5 -12.9 20.0 -10.2 20.0 15.5 -20.0 -16.0 -4.3 -9.4 -16.7 3.9 -4.6 2.5 -3.2 -0.7 -1.6 -3.4 -5.0 -5.5 -10.1 -20.0 -20.0 -8.2 -9.5 -3.3 3.5 LIVECOW 6.3 16.8 11.4 -5.9 -0.3 -3.4 -3.2 -1.9 -5.8 -0.4 18.6 5.3 7.4 14.9 18.9 -0.6 9.8 13.1 14.2 20.0 18.9 7.5 11.8 17.5 -11.4 7.4 4.0 6.6 2.3 5.8 4.9 20.0 -10.5 20.0 20.0 20.0 2.2 20.0 7.2 20.0 LUMBER-new 2.1 -6.9 -20.0 -2.2 -0.1 -1.3 -1.2 -0.6 -2.2 0.3 -8.1 -4.6 -7.6 -7.4 -8.6 -14.6 -17.3 -16.6 -17.3 -10.4 -10.0 -3.2 -6.9 -7.1 NaN -3.1 0.4 -3.5 -0.2 -2.4 -1.3 -20.0 -1.7 -0.0 -4.3 -20.0 -0.9 -6.7 5.3 -3.4 MILK -9.7 4.4 20.0 -3.2 -0.2 -1.8 -1.7 -1.0 -3.1 -0.9 7.4 -4.2 -2.6 -2.8 8.3 -20.0 -20.0 -20.0 -20.0 8.2 9.2 -1.4 0.2 1.2 13.9 2.5 0.0 3.0 -1.0 -0.3 -0.3 -20.0 0.5 -4.9 19.4 20.0 -7.6 -20.0 -3.7 -20.0 MXP 13.1 -19.4 -20.0 0.3 5.7 -0.5 5.2 0.3 2.6 6.9 -2.1 9.3 4.3 -1.1 -3.5 10.1 15.4 12.0 13.7 -4.3 -4.1 9.4 2.2 3.5 -20.0 -1.8 1.6 -1.4 2.1 0.7 0.3 20.0 2.6 12.5 -20.0 -9.6 16.1 14.0 20.0 20.0 NASDAQ_micro -4.7 11.5 0.3 4.8 2.9 4.6 5.6 4.5 5.7 -10.1 15.5 2.8 15.9 11.2 14.4 -11.9 -11.0 -11.8 -11.4 20.0 20.0 0.7 20.0 15.3 -20.0 5.4 -4.7 5.4 -0.4 5.6 3.5 -8.2 -20.0 -17.4 20.0 13.6 -0.8 5.0 -8.5 4.5 NIKKEI 19.0 2.8 -12.4 6.0 3.6 5.7 7.0 5.7 7.1 -12.8 15.7 6.7 17.3 12.2 11.0 14.8 10.2 11.6 10.1 18.5 18.0 6.5 20.0 19.9 -20.0 5.8 -5.4 5.7 2.6 7.4 6.5 20.0 -20.0 14.8 10.0 -5.0 4.3 -5.5 -6.4 -10.6 NZD -8.5 1.8 4.8 0.6 10.4 -0.9 9.4 0.5 4.7 -11.2 -0.0 -11.4 -1.1 -10.7 7.8 -0.1 0.2 0.0 0.1 0.8 2.1 -8.1 -0.3 -4.2 0.4 0.2 -6.3 1.5 -5.9 0.6 -3.2 4.8 -20.0 -17.4 -0.4 8.0 7.9 -5.4 9.2 0.9 OAT 8.0 -2.6 -9.9 1.9 6.1 0.2 5.3 -1.3 3.5 10.2 -7.7 10.1 -3.3 1.9 -5.6 -1.6 4.1 0.4 2.2 -3.2 -5.2 9.3 -4.8 3.1 1.9 -1.4 6.3 -2.0 5.3 -1.3 1.8 11.2 0.5 1.0 -13.4 -5.4 -20.0 -18.7 -7.9 -3.2 OATIES -5.5 -20.0 2.6 -2.1 -0.1 -1.2 -1.1 -0.7 -2.1 0.7 -6.6 -2.4 -7.3 -7.7 -7.6 -2.9 0.4 -0.6 1.2 -11.1 -8.4 -3.3 -6.1 -9.2 -20.0 -2.4 0.1 -1.4 -1.1 -0.9 -2.4 1.1 -4.9 -8.0 -13.2 -2.8 2.3 -1.2 12.1 10.9 OJ -2.6 -8.0 -5.1 -3.4 -0.2 -1.9 -1.8 -1.1 -3.3 -5.7 9.7 3.8 11.6 3.1 8.1 9.6 12.4 9.7 10.0 11.9 14.6 3.3 16.8 8.1 -20.0 3.3 -2.5 5.1 0.1 7.5 1.5 18.9 3.3 12.5 14.0 20.0 10.3 10.0 20.0 20.0 PALLAD 12.5 2.6 3.4 -2.3 -0.6 -0.9 -1.6 -0.1 -2.6 -7.5 -5.6 -1.3 -8.3 0.9 -3.0 -1.1 -2.1 -1.7 -1.9 -0.4 -3.3 -2.8 -8.5 0.5 14.5 -1.3 -2.6 -2.2 -1.4 -3.5 -0.4 5.9 -0.3 16.1 11.3 -2.5 -20.0 -20.0 -20.0 -19.5 PLAT 1.5 -7.4 9.1 -3.2 -0.8 -1.3 -2.3 -0.1 -3.6 -6.5 1.8 -2.4 -3.2 -4.2 -0.2 -5.0 -4.3 -5.0 -4.8 2.2 3.8 0.0 2.2 0.7 7.8 -1.7 -1.5 0.5 -2.2 1.2 -2.9 1.6 5.3 9.8 7.0 9.7 -20.0 -8.8 -5.7 2.8 REDWHEAT -15.0 -20.0 20.0 -3.1 -0.2 -1.8 -1.7 -1.0 -3.0 -7.2 -6.1 -9.7 -9.5 -12.2 -10.1 -10.5 -4.2 -9.5 -6.9 -14.0 -7.2 -13.0 -7.7 -17.4 -5.2 -3.1 -1.7 -1.4 -3.2 -1.4 -4.2 -9.4 -20.0 -16.0 -18.6 7.9 -15.1 -20.0 -9.2 -17.6 RICE -20.0 -15.0 11.6 -5.2 -0.3 -2.9 -2.8 -1.7 -5.0 -14.2 12.8 -18.4 15.8 -17.7 10.1 20.0 20.0 20.0 20.0 -8.6 6.1 -20.0 13.8 -20.0 -12.9 -0.8 -8.6 2.7 -7.0 3.8 -5.2 20.0 -6.5 -14.7 12.0 16.9 -17.6 -8.4 -18.1 -6.3 ROBUSTA 7.8 8.2 -0.0 -2.6 -0.1 -1.5 -1.4 -0.9 -2.6 7.7 9.9 8.6 10.0 9.4 9.3 20.0 20.0 20.0 20.0 16.3 17.8 16.4 18.6 17.1 -20.0 3.9 2.3 5.1 4.0 6.2 3.9 20.0 20.0 20.0 20.0 20.0 3.6 -6.4 10.7 3.9 RUSSELL 19.5 -1.7 -3.3 4.8 2.9 4.6 5.6 4.5 5.7 12.5 9.4 13.4 10.6 7.7 4.7 -7.2 -6.9 -7.3 -7.1 9.2 5.2 20.0 4.9 20.0 -1.0 3.8 11.6 2.3 10.9 2.1 7.3 -0.9 20.0 19.7 -3.5 -4.2 3.7 -20.0 1.7 -20.0 SHATZ 2.2 20.0 -0.9 1.4 4.6 0.1 4.0 -1.0 2.7 7.5 -6.5 4.5 -7.4 3.6 0.1 -20.0 -20.0 -20.0 -20.0 0.5 -4.5 5.7 -8.7 3.6 6.9 0.5 3.3 -1.5 2.7 -2.9 1.8 -20.0 -3.2 -2.3 -0.0 -4.4 -20.0 -14.8 -16.5 -11.4 SILVER-mini 1.5 -7.6 9.8 -2.7 -0.7 -1.1 -1.9 -0.1 -3.0 -5.0 7.6 4.6 6.9 1.4 6.4 -5.7 -6.5 -5.9 -6.2 6.7 8.9 1.8 7.9 4.5 2.4 0.4 -3.0 3.2 -0.8 4.0 -0.8 -1.6 8.8 6.5 9.4 17.0 -0.7 -7.7 6.0 4.7 SMI -2.4 4.2 14.7 6.6 3.9 6.2 7.7 6.2 7.8 12.3 19.5 12.5 18.6 14.1 17.8 -4.1 1.1 -3.2 -1.1 20.0 20.0 20.0 20.0 18.0 15.9 7.4 6.9 9.3 7.8 8.7 6.6 11.4 2.7 -19.3 -1.8 14.7 6.0 2.5 -0.8 0.1 SOFR 6.9 18.8 3.3 2.0 6.4 0.2 5.6 -1.4 3.8 10.8 -0.5 11.4 -2.7 11.4 8.7 -1.5 -1.4 -2.3 -2.0 8.3 2.4 13.4 -2.5 12.1 -3.3 3.4 4.1 1.9 4.0 0.4 3.9 2.9 -2.2 2.0 7.0 4.9 6.9 -14.6 20.0 2.8 SOYBEAN -15.9 -20.0 -0.8 -3.1 -0.2 -1.8 -1.7 -1.0 -3.0 -10.5 -11.0 -11.7 -7.7 -12.5 -11.7 -3.1 5.9 -1.5 1.0 -18.1 -12.5 -20.0 -9.1 -20.0 -20.0 -4.1 -3.7 -2.6 -4.9 -1.6 -5.3 5.7 -20.0 -20.0 -18.8 -6.6 -14.3 -20.0 -7.6 -20.0 SOYMEAL -20.0 -20.0 6.2 -3.1 -0.2 -1.8 -1.7 -1.0 -3.1 -7.9 -11.2 -11.3 -10.0 -12.7 -11.4 9.7 7.5 8.3 6.0 -17.8 -11.8 -18.5 -9.2 -20.0 -20.0 -3.4 -2.1 -1.6 -4.4 -1.0 -5.2 10.7 -20.0 -20.0 -13.4 5.8 -20.0 -20.0 -20.0 -20.0 SOYOIL 16.2 7.0 3.7 -2.3 -0.1 -1.3 -1.3 -0.8 -2.3 -8.4 -5.9 -2.5 -8.2 -1.0 -2.9 5.8 0.5 1.4 -0.8 -0.2 -3.6 -4.7 -6.3 0.2 -20.0 -1.0 -4.6 -2.0 -2.3 -2.5 -0.5 -1.1 -20.0 6.5 6.7 -4.9 -13.3 -14.9 -1.7 -1.8 SP400 10.4 -9.3 -8.3 5.1 3.0 4.8 5.9 4.8 6.0 12.0 10.0 12.0 12.0 4.9 0.9 -5.0 -5.9 -6.0 -6.0 5.4 5.9 20.0 9.2 14.4 -12.3 3.9 11.8 3.4 11.2 4.2 7.2 0.9 20.0 5.3 -11.4 -5.9 5.0 -9.3 4.0 -20.0 SP500_micro 4.1 15.8 9.3 7.3 4.3 6.9 8.5 6.9 8.6 0.0 20.0 16.7 20.0 20.0 20.0 -15.6 -12.8 -14.6 -13.7 20.0 20.0 20.0 20.0 20.0 -20.0 9.0 0.1 9.0 4.8 9.3 7.9 -11.7 -13.6 -7.6 20.0 18.3 9.1 1.7 -0.3 1.6 SUGAR11 12.0 19.2 -11.2 -4.3 -0.2 -2.4 -2.3 -1.4 -4.1 -9.3 -12.1 -3.2 -9.7 5.9 -5.4 -4.4 9.3 -0.9 3.7 -0.1 -9.4 -4.5 -9.9 2.2 -20.0 0.3 -2.6 -4.2 -0.4 -4.3 2.1 11.5 -16.2 20.0 20.0 -11.4 4.0 20.0 9.7 20.0 US10 4.9 16.4 3.8 1.7 5.5 0.2 4.8 -1.1 3.2 9.1 -1.8 9.4 -5.0 9.3 6.2 -6.9 -7.3 -6.9 -7.0 5.1 0.5 9.5 -4.7 8.1 2.5 2.7 3.6 1.4 3.3 -0.4 3.0 -6.8 -4.0 -0.6 3.8 3.1 3.6 -18.5 12.8 2.7 US10U 1.6 15.1 4.7 2.3 7.3 0.2 6.4 -1.5 4.3 12.1 -3.0 11.9 -6.4 11.5 7.7 -4.4 -2.8 -4.7 -4.0 5.3 0.1 10.6 -6.3 8.5 0.2 3.4 4.9 1.9 3.9 -0.5 3.5 0.0 -6.7 -3.4 3.5 4.0 4.1 -15.1 19.6 11.1 US2 16.4 20.0 -3.0 1.8 5.9 0.2 5.1 -1.2 3.5 9.2 -6.5 10.5 -9.6 10.4 2.8 -20.0 -20.0 -20.0 -20.0 5.5 -3.7 16.3 -11.8 13.1 15.2 2.1 5.2 -0.5 5.6 -2.6 4.4 -20.0 1.7 6.5 2.2 -3.2 1.0 -20.0 4.7 -12.0 US20 -3.1 12.7 5.5 1.5 4.9 0.2 4.3 -1.0 2.9 8.1 -0.7 7.0 -2.2 6.5 5.4 -0.8 -0.8 -0.7 -0.7 3.1 0.7 5.9 -2.9 4.3 -1.2 2.4 2.9 1.9 2.1 0.4 1.9 4.5 -4.6 -4.2 3.1 4.8 2.5 -9.7 20.0 17.6 US30 -4.6 11.6 5.9 1.7 5.6 0.2 4.9 -1.2 3.3 9.0 -1.9 6.2 -3.7 5.6 4.5 -4.0 -5.1 -4.6 -4.9 2.4 0.0 5.1 -3.9 3.5 -0.6 2.4 3.1 1.9 2.0 0.1 1.8 -3.1 -7.1 -6.2 2.0 4.2 -0.7 -9.3 12.1 18.7 US5 9.4 18.7 1.9 1.9 6.0 0.2 5.2 -1.3 3.5 10.0 -3.6 10.7 -7.6 10.6 5.9 -10.6 -10.3 -10.4 -10.2 6.3 -0.3 12.8 -6.5 10.9 6.4 2.9 4.4 1.0 4.4 -0.9 3.9 -12.0 -1.8 2.5 4.2 1.6 3.8 -19.7 10.3 -4.6 VIX -1.3 -0.8 -11.1 -8.6 1.5 -10.2 -2.6 -12.0 -6.1 15.7 -20.0 -18.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -5.3 -20.0 -13.3 NaN -10.3 1.9 -11.9 -2.6 -14.1 -7.0 NaN NaN NaN NaN NaN -15.1 -20.0 NaN NaN WHEAT -14.3 -20.0 20.0 -2.4 -0.1 -1.4 -1.3 -0.8 -2.3 -6.5 -4.0 -8.0 -6.4 -9.2 -7.6 -15.0 -14.3 -15.7 -15.4 -11.0 -5.2 -12.3 -4.9 -14.3 0.8 -2.3 -1.9 -0.9 -2.9 -0.7 -3.3 -20.0 -20.0 -14.8 -16.5 7.3 -14.5 -20.0 -11.9 -20.0 End of report for caleb_strategy_v3