******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240718_203937 produced at 2024-07-18 21:38:33.156437 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -69.48 999999999.0 -56 -56 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.14 0.0 0.00 0.00 0.00 0.00 -3.97 24.0 0 0 caleb_strategy_v3 CAD False False 0.02 0.00 -0.08 0.0 0.66 -0.66 0.00 0.00 -3.67 29.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.04 -0.06 0.0 0.76 -0.76 -0.04 -0.04 -1.41 19.0 -1 -1 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.03 -0.05 0.0 0.46 -0.46 -0.03 -0.03 -1.76 16.0 -1 -1 caleb_strategy_v3 CAC True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.81 12.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.06 -0.05 0.0 0.08 -0.08 -0.06 -0.06 -7.84 12.0 -9 -9 caleb_strategy_v3 HEATOIL False False 0.03 -0.07 -0.04 0.0 0.10 -0.10 -0.07 -0.07 -1.20 3.0 -2 -2 caleb_strategy_v3 JPY False False 0.02 -0.07 -0.04 0.0 0.42 -0.42 -0.07 -0.05 -1.72 17.0 -3 -2 caleb_strategy_v3 DX False False 0.03 0.00 -0.04 0.0 999.00 -999.00 0.00 0.00 -1.18 999999999.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.06 -0.04 0.0 0.12 -0.12 -0.06 -0.05 -4.08 13.0 -6 -5 caleb_strategy_v3 OAT False False 0.04 -0.04 -0.04 0.0 0.43 -0.43 -0.04 -0.04 -0.87 10.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.04 0.0 0.32 -0.32 0.00 0.00 -0.94 8.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.09 -0.04 0.0 0.57 -0.57 -0.09 -0.09 -0.87 13.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.04 0.0 0.15 -0.15 -0.01 -0.01 -12.34 51.0 -2 -2 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -17.53 59.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.03 0.0 0.12 -0.12 -0.06 -0.06 -2.59 11.0 -5 -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 -16.79 26.0 -10 -10 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.07 -0.07 -0.02 -0.02 -1.70 8.0 -2 -2 caleb_strategy_v3 LUMBER-new False False 0.00 -0.01 -0.02 0.0 0.01 -0.01 -0.01 -0.01 -3.62 3.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.08 -0.02 0.0 0.11 -0.11 -0.08 -0.08 -1.52 7.0 -5 -5 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -1.94 9.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.06 2.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.08 -0.08 -0.03 -0.03 -1.74 9.0 -3 -3 caleb_strategy_v3 EUROSTX False False 0.02 -0.05 -0.02 0.0 0.33 -0.33 -0.05 -0.05 -1.45 20.0 -3 -3 caleb_strategy_v3 BTP False False 0.04 -0.08 -0.02 0.0 0.40 -0.40 -0.08 -0.08 -0.46 10.0 -2 -2 caleb_strategy_v3 US2 False True 0.06 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.16 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 -0.83 10.0 -2 -2 caleb_strategy_v3 COPPER False False 0.03 0.03 -0.01 0.0 999.00 -999.00 0.03 0.03 -0.24 999999999.0 1 1 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.01 0.0 0.18 -0.18 0.00 0.00 -0.25 4.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.01 0.0 0.40 -0.40 0.00 0.00 -0.52 21.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.44 4.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.04 -0.04 0.00 0.00 -1.25 4.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.02 -0.01 0.0 0.28 -0.28 0.02 0.01 -0.73 23.0 2 1 caleb_strategy_v3 BUND False False 0.05 -0.05 -0.01 0.0 0.45 -0.45 -0.05 -0.05 -0.28 10.0 -1 -1 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.00 0.0 0.15 -0.15 0.00 0.00 -0.04 10.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.00 0.0 0.12 -0.12 0.00 0.00 -0.67 18.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.10 2.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.04 0.00 0.0 0.24 -0.24 0.04 0.04 0.05 6.0 1 1 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.00 0.0 0.19 -0.19 0.00 0.00 -0.00 2.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.05 5.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.57 -0.57 0.00 0.00 0.13 26.0 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 ROBUSTA False False 0.01 0.01 0.01 0.0 0.31 -0.31 0.01 0.01 0.83 23.0 1 1 caleb_strategy_v3 US10U False False 0.04 0.14 0.01 0.0 0.46 -0.46 0.14 0.14 0.33 13.0 4 4 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.49 999999999.0 0 0 caleb_strategy_v3 US5 False False 0.03 0.03 0.01 0.0 0.84 -0.84 0.03 0.03 0.32 25.0 1 1 caleb_strategy_v3 DAX False False 0.01 0.12 0.01 0.0 0.36 -0.36 0.12 0.08 1.04 58.0 19 13 caleb_strategy_v3 US20 False True 0.04 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.28 9.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.06 -0.06 0.02 0.02 0.60 3.0 1 1 caleb_strategy_v3 US10 False False 0.03 0.00 0.01 0.0 0.59 -0.59 0.00 0.00 0.25 17.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.02 0.0 0.42 -0.42 0.03 0.03 2.08 48.0 3 3 caleb_strategy_v3 MXP False False 0.01 0.03 0.02 0.0 0.51 -0.51 0.03 0.03 2.80 60.0 4 4 caleb_strategy_v3 DOW False False 0.01 0.06 0.02 0.0 0.42 -0.42 0.06 0.06 2.89 66.0 9 9 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 0.02 0.0 0.23 -0.23 -0.01 -0.01 4.67 68.0 -3 -2 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.03 0.0 0.43 -0.43 0.00 0.00 4.36 56.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.12 0.04 0.0 999.00 -999.00 0.12 0.12 1.47 999999999.0 4 4 caleb_strategy_v3 AUD False False 0.02 0.21 0.05 0.0 0.40 -0.40 0.21 0.19 2.41 19.0 10 9 caleb_strategy_v3 EUR False False 0.04 0.00 0.05 0.0 0.60 -0.60 0.00 0.00 1.21 14.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.17 0.09 0.0 0.29 -0.29 0.17 0.15 10.73 36.0 21 19 caleb_strategy_v3 LIVECOW False False 0.02 0.16 0.09 0.0 0.39 -0.39 0.16 0.16 3.96 17.0 7 7 caleb_strategy_v3 GBP False False 0.03 0.08 0.10 0.0 0.55 -0.55 0.08 0.08 4.06 22.0 3 3 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.08 0.10 0.0 0.83 -0.83 -0.08 -0.08 1.18 10.0 -1 -1 caleb_strategy_v3 SMI False True 0.04 0.00 0.12 0.0 0.00 0.00 0.00 0.00 2.79 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 6.60 5.0 5 5 caleb_strategy_v3 SOFR False True 0.08 0.00 0.65 0.0 0.00 0.00 0.00 0.00 8.64 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 14.6 Shocked risk 54.3 Sum abs risk 41.4 Leverage 3.12 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3212880.62, 'annual_cash_vol_target': 803220.155, 'daily_cash_vol_target': 50201.2596875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0034 0.6714 0.5079 8.1257 BITCOIN 1772.2178 64250.0000 2.7583 44.1331 BOBL 0.2485 116.7600 0.2128 3.4052 BTP 0.5464 118.2500 0.4621 7.3931 BUND 0.5176 132.4100 0.3909 6.2541 BUXL 1.2689 131.8600 0.9623 15.3967 CAC 66.1210 7594.0000 0.8707 13.9312 CAD 0.0024 0.7306 0.3297 5.2759 CANOLA 8.4411 653.8000 1.2911 20.6573 CHF 0.0051 1.1351 0.4468 7.1493 COCOA 282.3039 7097.0000 3.9778 63.6447 COFFEE 4.5525 239.0500 1.9044 30.4708 COPPER 0.0638 4.2630 1.4960 23.9353 CORN 6.2345 405.2500 1.5384 24.6148 COTTON2 1.0231 71.9200 1.4225 22.7605 CRUDE_W 0.9037 77.9500 1.1593 18.5483 DAX 140.5110 18436.0000 0.7622 12.1945 DOW 264.6077 41025.0000 0.6450 10.3199 DX 0.3570 103.9100 0.3435 5.4965 EUR 0.0042 1.0928 0.3818 6.1090 EURIBOR-ICE 0.0477 97.6150 0.0488 0.7815 EUROSTX 44.6767 4888.0000 0.9140 14.6241 FEEDCOW 1.7361 256.8750 0.6759 10.8136 GASOIL 10.1252 765.7500 1.3223 21.1561 GASOLINE 0.0306 2.2804 1.3425 21.4798 GAS_US_mini 0.0932 2.1600 4.3148 69.0367 GBP 0.0056 1.2954 0.4321 6.9136 GOLD_micro 20.7768 2478.2000 0.8384 13.4141 HEATOIL 0.0331 2.5103 1.3173 21.0769 JGB-SGX-mini 0.2330 143.0500 0.1629 2.6059 JPY 0.0000 0.0064 0.6785 10.8559 LEANHOG 1.3001 74.0250 1.7563 28.1000 LIVECOW 1.2326 183.0500 0.6734 10.7743 LUMBER-new 9.7235 492.0000 1.9763 31.6211 MILK 0.2646 20.7300 1.2763 20.4215 MXP 0.0005 0.0551 0.9274 14.8392 NASDAQ_micro 181.6121 19843.2500 0.9152 14.6437 NIKKEI 409.2360 39965.0000 1.0240 16.3838 NZD 0.0035 0.6047 0.5821 9.3129 OAT 0.5051 125.1200 0.4037 6.4594 OATIES 6.6604 322.5000 2.0652 33.0437 OJ 8.7842 431.7500 2.0346 32.5529 PALLAD 23.2943 923.0000 2.5238 40.3802 PLAT 15.7770 981.9000 1.6068 25.7085 REDWHEAT 11.3848 577.7500 1.9705 31.5287 RICE 0.1468 14.5150 1.0112 16.1792 ROBUSTA 75.9781 4314.0000 1.7612 28.1792 RUSSELL 27.7174 2218.4000 1.2494 19.9909 SHATZ 0.0821 105.7900 0.0776 1.2419 SILVER-mini 0.5519 30.5250 1.8080 28.9278 SMI 78.4483 12243.0000 0.6408 10.2522 SOFR 0.0618 96.5350 0.0640 1.0239 SOYBEAN 11.7945 1043.7500 1.1300 18.0803 SOYMEAL 4.2404 311.5000 1.3613 21.7806 SOYOIL 0.7698 44.3300 1.7365 27.7847 SP400 29.4573 3064.9000 0.9611 15.3779 SP500_micro 32.3417 5592.5000 0.5783 9.2529 SUGAR11 0.2995 19.3800 1.5456 24.7303 US10 0.3774 111.2031 0.3393 5.4295 US10U 0.5315 114.8281 0.4629 7.4057 US2 0.0907 102.5586 0.0885 1.4157 US20 0.8227 119.7500 0.6870 10.9920 US30 1.2604 127.0000 0.9925 15.8793 US5 0.2372 107.5234 0.2206 3.5291 VIX 0.3567 18.0000 1.9817 31.7065 WHEAT 11.1201 559.2500 1.9884 31.8143 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 671.40 0.51 340.97 1.00 340.97 50201.26 147.23 6.32 92.99 BITCOIN 64.25 2.76 177.22 1.00 177.22 50201.26 283.27 -5.72 -161.93 BOBL 1167.60 0.21 248.49 1.09 270.89 50201.26 185.32 -7.49 -138.85 BTP 1182.50 0.46 546.40 1.09 595.66 50201.26 84.28 -1.61 -13.58 BUND 1324.10 0.39 517.56 1.09 564.22 50201.26 88.97 -3.15 -28.03 BUXL 1318.60 0.96 1268.88 1.09 1383.27 50201.26 36.29 -6.81 -24.73 CAC 759.40 0.87 661.21 1.09 720.82 50201.26 69.64 -7.62 -53.09 CAD 730.60 0.33 240.91 1.00 240.91 50201.26 208.38 -6.79 -141.57 CANOLA 130.76 1.29 168.82 0.73 123.44 50201.26 406.69 -12.47 -507.20 CHF 1418.88 0.45 634.00 1.00 634.00 50201.26 79.18 -4.22 -33.43 COCOA 709.70 3.98 2823.04 1.00 2823.04 50201.26 17.78 3.54 6.30 COFFEE 896.44 1.90 1707.20 1.00 1707.20 50201.26 29.41 7.47 21.96 COPPER 1065.75 1.50 1594.32 1.00 1594.32 50201.26 31.49 -0.71 -2.23 CORN 202.62 1.54 311.72 1.00 311.72 50201.26 161.04 -20.00 -322.09 COTTON2 359.60 1.42 511.54 1.00 511.54 50201.26 98.14 -12.34 -121.14 CRUDE_W 779.50 1.16 903.65 1.00 903.65 50201.26 55.55 10.97 60.96 DAX 184.36 0.76 140.51 1.09 153.18 50201.26 327.73 0.93 30.36 DOW 205.12 0.64 132.30 1.00 132.30 50201.26 379.44 3.28 124.48 DX 1039.10 0.34 356.96 1.00 356.96 50201.26 140.63 -3.23 -45.48 EUR 1366.00 0.38 521.55 1.00 521.55 50201.26 96.25 4.84 46.58 EURIBOR-ICE 2440.38 0.05 119.19 1.09 129.94 50201.26 386.35 0.89 34.47 EUROSTX 488.80 0.91 446.77 1.09 487.04 50201.26 103.07 -4.13 -42.59 FEEDCOW 1284.38 0.68 868.05 1.00 868.05 50201.26 57.83 -4.93 -28.48 GASOIL 765.75 1.32 1012.52 1.00 1012.52 50201.26 49.58 -2.05 -10.18 GASOLINE 957.77 1.34 1285.79 1.00 1285.79 50201.26 39.04 8.67 33.84 GAS_US_mini 54.00 4.31 233.00 1.00 233.00 50201.26 215.46 -7.20 -155.08 GBP 809.62 0.43 349.84 1.00 349.84 50201.26 143.50 10.92 156.64 GOLD_micro 247.82 0.84 207.77 1.00 207.77 50201.26 241.62 5.29 127.91 HEATOIL 1054.33 1.32 1388.87 1.00 1388.87 50201.26 36.15 -7.67 -27.73 JGB-SGX-mini 143050.00 0.16 23298.42 0.01 147.53 50201.26 340.27 -0.48 -16.25 JPY 801.62 0.68 543.90 1.00 543.90 50201.26 92.30 -7.18 -66.24 LEANHOG 296.10 1.76 520.03 1.00 520.03 50201.26 96.54 -6.95 -67.13 LIVECOW 732.20 0.67 493.06 1.00 493.06 50201.26 101.82 11.75 119.62 LUMBER-new 135.30 1.98 267.40 1.00 267.40 50201.26 187.74 -8.99 -168.86 MILK 414.60 1.28 529.17 1.00 529.17 50201.26 94.87 -0.23 -2.23 MXP 275.35 0.93 255.37 1.00 255.37 50201.26 196.58 0.97 19.07 NASDAQ_micro 396.86 0.92 363.22 1.00 363.22 50201.26 138.21 -2.27 -31.34 NIKKEI 39965.00 1.02 40923.60 0.01 259.14 50201.26 193.72 5.12 99.10 NZD 604.70 0.58 351.97 1.00 351.97 50201.26 142.63 -1.39 -19.89 OAT 1251.20 0.40 505.13 1.09 550.67 50201.26 91.16 -2.81 -25.58 OATIES 161.25 2.07 333.02 1.00 333.02 50201.26 150.75 -8.33 -125.61 OJ 647.62 2.03 1317.63 1.00 1317.63 50201.26 38.10 7.33 27.94 PALLAD 923.00 2.52 2329.43 1.00 2329.43 50201.26 21.55 -1.30 -2.79 PLAT 490.95 1.61 788.85 1.00 788.85 50201.26 63.64 -0.17 -1.11 REDWHEAT 288.88 1.97 569.24 1.00 569.24 50201.26 88.19 -14.54 -128.19 RICE 290.30 1.01 293.55 1.00 293.55 50201.26 171.01 -3.01 -51.43 ROBUSTA 431.40 1.76 759.78 1.00 759.78 50201.26 66.07 10.78 71.26 RUSSELL 110.92 1.25 138.59 1.00 138.59 50201.26 362.24 3.89 140.88 SHATZ 1057.90 0.08 82.11 1.09 89.52 50201.26 560.80 -6.98 -391.57 SILVER-mini 763.12 1.81 1379.72 1.00 1379.72 50201.26 36.39 3.97 14.45 SMI 1224.30 0.64 784.48 1.12 878.15 50201.26 57.17 14.32 81.85 SOFR 2413.38 0.06 154.44 1.00 154.44 50201.26 325.05 4.37 142.19 SOYBEAN 521.88 1.13 589.73 1.00 589.73 50201.26 85.13 -19.21 -163.56 SOYMEAL 311.50 1.36 424.04 1.00 424.04 50201.26 118.39 -17.66 -209.08 SOYOIL 265.98 1.74 461.89 1.00 461.89 50201.26 108.69 -8.16 -88.67 SP400 3064.90 0.96 2945.73 1.00 2945.73 50201.26 17.04 -0.02 -0.03 SP500_micro 279.62 0.58 161.71 1.00 161.71 50201.26 310.44 2.88 89.41 SUGAR11 217.06 1.55 335.49 1.00 335.49 50201.26 149.64 -2.11 -31.52 US10 1112.03 0.34 377.36 1.00 377.36 50201.26 133.03 1.50 19.97 US10U 1148.28 0.46 531.49 1.00 531.49 50201.26 94.45 2.72 25.70 US2 2051.17 0.09 181.49 1.00 181.49 50201.26 276.61 -0.47 -13.00 US20 1197.50 0.69 822.68 1.00 822.68 50201.26 61.02 3.63 22.16 US30 1270.00 0.99 1260.42 1.00 1260.42 50201.26 39.83 0.89 3.55 US5 1075.23 0.22 237.16 1.00 237.16 50201.26 211.67 1.20 25.31 VIX 180.00 1.98 356.70 1.00 356.70 50201.26 140.74 -20.00 -281.48 WHEAT 279.62 1.99 556.00 1.00 556.00 50201.26 90.29 -14.55 -131.35 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 92.992 0.010 2.5 2.413 BITCOIN -161.931 0.043 2.5 -17.535 BOBL -138.846 0.004 2.5 -1.408 BTP -13.577 0.014 2.5 -0.463 BUND -28.029 0.004 2.5 -0.284 BUXL -24.728 0.004 2.5 -0.251 CAC -53.092 0.014 2.5 -1.811 CAD -141.570 0.010 2.5 -3.673 CANOLA -507.200 0.010 2.5 -12.339 CHF -33.431 0.010 2.5 -0.867 COCOA 6.297 0.009 2.5 0.135 COFFEE 21.958 0.005 2.5 0.256 COPPER -2.231 0.043 2.5 -0.242 CORN -322.088 0.010 2.5 -7.836 COTTON2 -121.142 0.009 2.5 -2.595 CRUDE_W 60.964 0.043 2.5 6.602 DAX 30.357 0.014 2.5 1.035 DOW 124.481 0.009 2.5 2.893 DX -45.484 0.010 2.5 -1.180 EUR 46.579 0.010 2.5 1.209 EURIBOR-ICE 34.470 0.014 2.5 1.176 EUROSTX -42.590 0.014 2.5 -1.453 FEEDCOW -28.482 0.013 2.5 -0.944 GASOIL -10.184 0.017 2.5 -0.441 GASOLINE 33.839 0.017 2.5 1.467 GAS_US_mini -155.084 0.043 2.5 -16.794 GBP 156.640 0.010 2.5 4.064 GOLD_micro 127.908 0.014 2.5 4.363 HEATOIL -27.735 0.017 2.5 -1.202 JGB-SGX-mini -16.253 0.043 2.5 -1.760 JPY -66.240 0.010 2.5 -1.719 LEANHOG -67.128 0.024 2.5 -4.080 LIVECOW 119.625 0.013 2.5 3.964 LUMBER-new -168.863 0.009 2.5 -3.615 MILK -2.226 0.009 2.5 -0.048 MXP 19.071 0.059 2.5 2.799 NASDAQ_micro -31.338 0.009 2.5 -0.728 NIKKEI 99.098 0.043 2.5 10.731 NZD -19.895 0.010 2.5 -0.516 OAT -25.584 0.014 2.5 -0.873 OATIES -125.609 0.010 2.5 -3.056 OJ 27.936 0.009 2.5 0.598 PALLAD -2.795 0.014 2.5 -0.095 PLAT -1.106 0.014 2.5 -0.038 REDWHEAT -128.192 0.005 2.5 -1.700 RICE -51.432 0.010 2.5 -1.251 ROBUSTA 71.258 0.005 2.5 0.832 RUSSELL 140.880 0.013 2.5 4.668 SHATZ -391.572 0.004 2.5 -3.971 SILVER-mini 14.454 0.014 2.5 0.493 SMI 81.853 0.014 2.5 2.792 SOFR 142.188 0.024 2.5 8.641 SOYBEAN -163.556 0.004 2.5 -1.521 SOYMEAL -209.079 0.004 2.5 -1.945 SOYOIL -88.672 0.004 2.5 -0.825 SP400 -0.034 0.013 2.5 -0.001 SP500_micro 89.409 0.009 2.5 2.078 SUGAR11 -31.520 0.009 2.5 -0.670 US10 19.969 0.005 2.5 0.253 US10U 25.698 0.005 2.5 0.326 US2 -12.998 0.005 2.5 -0.165 US20 22.156 0.005 2.5 0.281 US30 3.555 0.005 2.5 0.045 US5 25.307 0.005 2.5 0.321 VIX -281.477 0.099 2.5 -69.480 WHEAT -131.348 0.005 2.5 -1.742 ===================== Position diags ===================== AUD 3.82 BITCOIN 30.67 BOBL 1.88 BTP 2.87 BUND 0.90 BUXL 0.37 CAC 2.38 CAD 5.41 CANOLA 9.89 CHF 2.05 COCOA 0.38 COFFEE 0.34 COPPER 3.41 CORN 3.92 COTTON2 2.10 CRUDE_W 6.02 DAX 11.18 DOW 8.82 DX 3.65 EUR 2.50 EURIBOR-ICE 13.18 EUROSTX 3.52 FEEDCOW 1.92 GASOIL 2.15 GASOLINE 1.69 GAS_US_mini 23.33 GBP 3.72 GOLD_micro 8.24 HEATOIL 1.57 JGB-SGX-mini 36.85 JPY 2.39 LEANHOG 5.87 LIVECOW 3.37 LUMBER-new 4.02 MILK 2.03 MXP 28.85 NASDAQ_micro 3.21 NIKKEI 20.98 NZD 3.70 OAT 3.11 OATIES 3.67 OJ 0.82 PALLAD 0.74 PLAT 2.17 REDWHEAT 1.17 RICE 4.16 ROBUSTA 0.77 RUSSELL 12.00 SHATZ 5.69 SILVER-mini 1.24 SMI 1.95 SOFR 19.75 SOYBEAN 0.79 SOYMEAL 1.10 SOYOIL 1.01 SP400 0.56 SP500_micro 7.21 SUGAR11 3.18 US10 1.69 US10U 1.20 US2 3.51 US20 0.77 US30 0.50 US5 2.68 VIX 34.74 WHEAT 1.20 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 2.4 2.0 2.8 10.0 10 BITCOIN -17.5 -20.6 -14.5 0.0 0 BOBL -1.4 -1.6 -1.2 -1.0 -1 BTP -0.5 -0.8 -0.2 -2.0 -2 BUND -0.3 -0.4 -0.2 -1.0 -1 BUXL -0.3 -0.3 -0.2 0.0 0 CAC -1.8 -2.0 -1.6 0.0 0 CAD -3.7 -4.2 -3.1 0.0 0 CANOLA -12.3 -13.3 -11.4 -2.0 -2 CHF -0.9 -1.1 -0.7 -2.0 -2 COCOA 0.1 0.1 0.2 0.0 0 COFFEE 0.3 0.2 0.3 0.0 0 COPPER -0.2 -0.6 0.1 1.0 1 CORN -7.8 -8.2 -7.4 -9.0 -9 COTTON2 -2.6 -2.8 -2.4 -5.0 -5 CRUDE_W 6.6 6.0 7.2 5.0 5 DAX 1.0 -0.1 2.2 19.0 19 DOW 2.9 2.0 3.8 9.0 9 DX -1.2 -1.5 -0.8 0.0 0 EUR 1.2 1.0 1.5 0.0 0 EURIBOR-ICE 1.2 -0.1 2.5 -1.0 -1 EUROSTX -1.5 -1.8 -1.1 -3.0 -3 FEEDCOW -0.9 -1.1 -0.8 0.0 0 GASOIL -0.4 -0.7 -0.2 0.0 0 GASOLINE 1.5 1.3 1.6 4.0 4 GAS_US_mini -16.8 -19.1 -14.5 -10.0 -10 GBP 4.1 3.7 4.4 3.0 3 GOLD_micro 4.4 3.5 5.2 0.0 0 HEATOIL -1.2 -1.4 -1.0 -2.0 -2 JGB-SGX-mini -1.8 -5.4 1.9 -1.0 -1 JPY -1.7 -2.0 -1.5 -3.0 -3 LEANHOG -4.1 -4.7 -3.5 -6.0 -6 LIVECOW 4.0 3.6 4.3 7.0 7 LUMBER-new -3.6 -4.0 -3.2 -2.0 -2 MILK -0.0 -0.3 0.2 NaN 0 MXP 2.8 -0.1 5.7 4.0 4 NASDAQ_micro -0.7 -1.0 -0.4 2.0 2 NIKKEI 10.7 8.6 12.8 21.0 21 NZD -0.5 -0.9 -0.1 0.0 0 OAT -0.9 -1.2 -0.6 -1.0 -1 OATIES -3.1 -3.4 -2.7 NaN 0 OJ 0.6 0.5 0.7 1.0 1 PALLAD -0.1 -0.2 -0.0 0.0 0 PLAT -0.0 -0.3 0.2 0.0 0 REDWHEAT -1.7 -1.8 -1.6 -2.0 -2 RICE -1.3 -1.7 -0.8 NaN 0 ROBUSTA 0.8 0.8 0.9 1.0 1 RUSSELL 4.7 3.5 5.9 -3.0 -3 SHATZ -4.0 -4.5 -3.4 NaN 0 SILVER-mini 0.5 0.4 0.6 0.0 0 SMI 2.8 2.6 3.0 0.0 0 SOFR 8.6 6.7 10.6 NaN 0 SOYBEAN -1.5 -1.6 -1.4 -5.0 -5 SOYMEAL -1.9 -2.1 -1.8 0.0 0 SOYOIL -0.8 -0.9 -0.7 -2.0 -2 SP400 -0.0 -0.1 0.1 0.0 0 SP500_micro 2.1 1.4 2.8 3.0 3 SUGAR11 -0.7 -1.0 -0.4 0.0 0 US10 0.3 0.1 0.4 0.0 0 US10U 0.3 0.2 0.4 4.0 4 US2 -0.2 -0.5 0.2 NaN 0 US20 0.3 0.2 0.4 0.0 0 US30 0.0 -0.0 0.1 1.0 1 US5 0.3 0.1 0.6 1.0 1 VIX -69.5 -73.0 -66.0 -56.0 -56 WHEAT -1.7 -1.9 -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 0.2 0.2 0.3 0.0 0.0 -0.0 0.1 0.0 0.1 -0.2 0.1 0.1 -0.1 0.2 0.2 -0.0 -0.1 -0.0 -0.1 0.1 0.1 0.0 0.0 0.1 0.5 0.1 -0.1 0.1 0.0 0.1 0.1 -0.0 -0.5 0.3 0.3 0.6 0.2 -0.2 0.3 -0.0 BITCOIN -0.2 -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 -0.0 -2.7 -0.0 0.1 0.1 0.1 0.3 -0.0 -0.2 0.5 0.3 0.6 -0.1 -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 0.0 -0.1 -0.1 -0.1 -0.7 -0.5 -0.3 -0.4 BTP 0.4 -0.1 -0.2 0.0 0.0 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 0.0 -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 0.0 -0.0 0.0 -0.0 0.0 0.3 -0.0 -0.1 -0.2 -0.0 -0.7 -0.7 -0.3 -0.4 BUXL -0.1 0.1 -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 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 0.0 -0.4 -0.0 0.0 -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 0.0 0.2 0.1 -0.1 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 0.1 0.1 -0.1 0.0 0.0 -0.0 0.1 0.0 0.1 -0.2 -0.5 -0.0 -0.6 0.0 -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 -0.1 -0.5 -0.1 -0.1 -0.1 0.2 -0.2 -0.1 -0.2 CANOLA 0.2 -0.4 0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.3 -0.0 -0.0 -0.3 -0.2 -0.3 -0.3 -0.0 -0.1 0.0 -0.2 -0.0 -2.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.1 -0.1 -0.3 -0.1 -0.1 -0.5 0.2 -0.1 CHF -0.1 0.4 -0.1 0.0 0.0 -0.0 0.1 0.0 0.0 0.1 -0.4 0.1 -0.5 0.0 -0.0 -0.4 -0.3 -0.4 -0.3 -0.0 -0.1 0.1 -0.3 0.1 0.8 0.0 0.1 -0.1 0.1 -0.2 0.0 -1.1 0.5 -0.4 0.5 -0.2 0.3 -0.4 -0.0 -0.4 COCOA -0.4 -0.3 -0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 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 0.1 -0.2 0.3 0.4 0.5 0.1 0.6 0.3 COFFEE 0.2 0.2 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.4 0.1 0.5 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 -0.1 -0.5 0.2 -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 -0.1 0.2 -0.0 -1.5 -0.0 -0.1 0.1 -0.0 0.1 -0.0 0.3 -0.3 -0.1 -0.0 0.6 0.2 0.0 0.5 0.3 CORN -0.6 -0.6 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.3 -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 -0.6 -0.5 -0.6 -0.1 COTTON2 0.0 -0.3 -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 0.1 0.2 -0.2 -0.0 -0.0 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 -0.1 -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 -0.1 0.3 -0.0 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 -0.1 0.2 -0.0 0.4 0.0 -0.4 -0.5 -0.6 -0.6 -0.2 0.2 0.2 -0.2 0.2 DOW 0.5 0.1 -0.2 0.1 -0.0 0.2 0.1 0.2 0.1 0.1 0.4 0.2 0.6 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.2 0.4 0.2 -1.9 0.1 0.1 0.1 0.1 0.2 0.1 -0.5 0.5 0.4 -0.4 -0.2 0.5 -0.1 0.4 -0.1 DX -0.4 -0.1 0.1 0.0 0.0 -0.0 0.1 0.0 0.1 -0.1 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 -0.1 0.1 -0.1 0.2 -0.1 0.9 -0.5 -0.6 -0.2 0.6 -0.2 0.2 -0.3 0.3 EUR 0.5 0.0 0.0 0.0 0.0 -0.0 0.1 0.0 0.1 0.1 -0.3 0.2 -0.4 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 -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 0.1 0.1 -0.0 -0.6 -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 0.0 -0.0 0.1 -0.0 0.0 -0.1 0.2 0.1 -0.0 -0.1 -0.7 -0.7 -0.3 0.1 EUROSTX -0.0 -0.6 -0.5 0.1 -0.0 0.1 0.0 0.2 0.1 -0.1 0.4 -0.1 0.6 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.1 0.4 -0.0 -0.3 0.0 -0.1 0.2 -0.1 0.5 -0.0 0.3 -0.5 -0.6 -0.6 -0.3 -0.1 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 -0.1 0.2 -0.1 -0.1 -0.1 0.0 -0.0 -0.4 -0.3 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -1.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -1.1 -0.4 -0.0 0.4 -0.0 0.1 0.7 0.4 0.7 GASOIL 0.1 0.2 -0.3 -0.0 -0.0 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 -0.1 0.1 0.2 -0.2 -0.7 -0.5 -0.7 -0.7 GASOLINE 0.2 0.1 -0.2 -0.0 -0.0 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 -0.0 0.3 0.0 -2.7 -0.0 -0.0 -0.0 -0.0 0.2 -0.0 1.1 0.3 0.4 -0.0 -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 -0.1 -0.3 -0.2 2.7 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -1.1 0.1 -0.6 -0.3 0.1 -0.1 -0.3 -0.3 -0.5 GBP 0.4 0.2 0.1 0.0 0.0 -0.0 0.1 0.0 0.1 0.1 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 0.1 0.1 0.1 0.2 0.5 0.6 0.6 0.6 0.1 -0.7 0.0 -0.4 GOLD_micro 0.5 -0.2 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 -0.2 -0.3 -0.2 -0.3 0.1 0.1 0.2 0.3 0.1 -0.5 0.0 0.0 0.1 0.1 0.2 0.0 -0.7 0.5 0.6 0.5 0.6 0.2 -0.2 0.4 0.0 HEATOIL 0.1 0.2 -0.3 -0.0 -0.0 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 -0.0 -0.1 -0.1 0.0 -0.0 -0.2 -0.1 0.0 -0.2 -0.6 0.0 0.2 -0.3 0.1 JGB-SGX-mini -0.1 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 -0.1 -0.4 -0.3 -0.4 -0.1 -0.1 0.1 0.6 JPY 0.4 0.0 0.1 0.0 0.0 -0.0 0.0 0.0 0.0 0.1 -0.3 0.1 -0.5 -0.0 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.2 0.1 -0.5 -0.0 2.7 -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.1 0.4 -0.1 -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 0.4 -0.2 -0.2 0.0 -0.3 -0.1 0.5 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.0 -0.2 -0.6 -0.6 -0.3 -0.3 -0.1 0.1 LIVECOW 0.0 0.5 0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.5 -0.0 0.3 0.1 0.2 -0.0 0.2 0.2 0.3 0.2 0.2 0.0 0.3 0.1 -1.5 0.1 -0.0 0.2 -0.0 0.2 0.0 1.1 -0.5 0.6 0.6 0.6 0.1 0.7 0.2 0.7 LUMBER-new 0.2 -0.2 -0.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 0.0 -0.3 -0.1 -0.1 -0.3 -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 0.1 0.1 -0.1 -0.7 -0.0 -0.3 0.2 -0.1 MILK -0.3 0.1 0.6 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 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 0.2 -0.0 0.6 0.6 -0.2 -0.7 -0.1 -0.7 MXP 0.5 -0.6 -0.6 0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 -0.1 0.1 0.2 -0.0 -0.0 0.2 0.3 0.2 0.3 -0.0 -0.0 0.0 0.1 0.0 -2.7 -0.0 -0.0 -0.0 0.0 0.0 0.0 1.1 -0.0 0.3 -0.6 -0.3 0.5 0.5 0.7 0.7 NASDAQ_micro -0.3 0.3 0.1 0.1 -0.0 0.1 0.0 0.2 0.1 -0.1 0.4 -0.0 0.6 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.1 0.5 0.1 -2.7 0.1 -0.1 0.1 -0.0 0.2 0.0 -0.4 -0.5 -0.6 0.5 0.4 -0.0 0.2 -0.3 0.2 NIKKEI 0.5 0.1 -0.3 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 0.0 0.5 0.2 -2.6 0.1 -0.1 0.2 0.0 0.3 0.1 1.1 -0.5 0.5 0.3 -0.2 0.2 -0.2 -0.2 -0.3 NZD -0.3 0.0 0.2 0.0 0.0 -0.0 0.1 0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.0 0.3 -0.5 -0.6 -0.1 0.3 0.3 -0.2 0.3 0.0 OAT 0.3 -0.1 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.1 0.0 -0.1 -0.0 0.1 0.0 0.0 -0.0 -0.1 0.1 -0.1 0.0 0.2 -0.0 0.0 -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 -0.0 -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 -0.0 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 0.0 -0.2 -0.4 -0.1 0.1 -0.0 0.4 0.4 OJ -0.1 -0.2 -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 0.3 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 -0.1 0.5 0.4 -0.1 -0.7 -0.7 -0.7 -0.7 PLAT -0.0 -0.2 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.0 0.1 -0.0 1.0 -0.0 -0.1 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 -0.4 -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 -0.1 -0.0 -0.5 -0.4 -0.5 -0.6 0.2 -0.5 -0.7 -0.3 -0.6 RICE -0.6 -0.5 0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 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 -0.6 0.3 0.6 -0.6 -0.3 -0.6 -0.2 ROBUSTA 0.3 0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.3 0.1 0.4 0.1 0.1 0.4 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 -0.0 -0.1 0.0 -0.0 0.1 0.0 0.2 0.1 0.1 0.2 0.1 0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 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 -0.0 -0.1 0.1 -0.7 0.0 -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 0.1 -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 0.0 -0.1 0.0 -0.1 -0.7 -0.5 -0.6 -0.4 SILVER-mini 0.1 -0.2 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.2 0.0 0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.2 0.0 0.3 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.1 0.2 0.3 0.6 -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 0.0 0.5 0.1 0.7 0.1 0.2 -0.1 0.0 -0.1 -0.0 0.2 0.2 0.1 0.5 0.2 2.1 0.1 0.0 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 0.3 0.6 0.1 0.0 0.0 0.0 0.1 -0.0 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 -0.0 -0.0 -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 0.0 0.2 0.2 0.2 -0.5 0.7 0.1 SOYBEAN -0.5 -0.6 -0.1 -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 -0.3 -0.2 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.3 -0.5 -0.6 -0.6 -0.2 -0.5 -0.7 -0.2 -0.7 SOYMEAL -0.6 -0.6 0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.2 0.1 0.2 0.1 -0.2 -0.1 -0.2 -0.3 -0.2 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.6 -0.5 -0.6 -0.5 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 0.4 -0.3 -0.3 0.1 -0.0 0.1 0.0 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 0.1 -1.6 0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.5 0.3 -0.3 -0.2 0.2 -0.3 0.1 -0.7 SP500_micro 0.0 0.4 0.3 0.1 -0.0 0.2 0.1 0.2 0.1 -0.1 0.5 0.1 0.7 0.2 0.2 -0.3 -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 0.3 0.1 -0.6 -0.4 -0.3 0.6 0.6 0.3 0.1 -0.0 0.1 SUGAR11 0.3 0.6 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 0.0 -0.1 -0.1 0.2 -0.0 0.1 -0.0 -0.1 -0.1 -0.3 -0.0 -2.7 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 0.6 -0.5 0.6 0.6 -0.4 0.1 0.7 0.3 0.7 US10 0.2 0.5 0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 -0.2 0.1 0.1 -0.1 -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 0.0 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 -0.2 0.1 0.1 0.1 -0.5 0.7 0.4 US2 0.6 0.6 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.3 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.1 -0.0 0.1 -0.3 0.1 2.1 0.0 0.0 -0.0 0.0 -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 0.0 -0.0 0.1 -0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 0.0 -0.2 0.0 0.0 0.1 0.0 0.0 0.0 0.2 -0.2 -0.2 0.1 0.2 0.1 -0.3 0.7 0.6 US30 -0.1 0.4 0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.1 0.1 0.1 -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 0.0 0.1 -0.0 -0.3 0.4 0.6 US5 0.3 0.6 0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.3 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 -0.1 0.1 0.1 0.1 0.1 -0.7 0.4 -0.2 VIX 0.0 0.0 -0.5 -0.1 0.1 -0.4 -0.0 -0.7 -0.1 0.3 -0.9 -0.2 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 0.0 -0.9 -0.2 NaN -0.2 0.1 -0.5 -0.0 -0.8 -0.1 NaN NaN NaN NaN NaN -0.8 -1.1 NaN NaN WHEAT -0.4 -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 -0.6 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 7.6 6.4 8.7 0.9 2.9 -0.9 7.9 0.6 5.1 -19.4 4.1 6.4 -2.1 14.9 20.0 -2.2 -2.7 -2.4 -2.5 12.8 8.8 2.6 1.3 11.7 3.9 7.2 -8.0 5.2 1.2 1.9 6.6 -0.0 -19.4 9.9 9.9 20.0 6.5 -6.0 8.0 -1.4 BITCOIN -6.6 -20.0 -9.5 -5.0 -3.9 -2.1 -4.3 -0.2 -5.7 13.6 6.0 9.1 12.1 -8.0 -10.0 -6.3 -7.3 -7.0 -7.3 -7.5 3.8 12.1 15.5 -4.0 -20.0 -2.6 7.5 3.2 4.8 9.2 -1.5 -3.4 20.0 8.9 19.9 -4.5 -18.9 -6.4 -4.3 -0.4 BOBL 1.5 10.6 -5.3 1.7 3.0 0.2 3.9 -1.1 3.0 8.9 -6.8 6.4 -6.3 4.0 -1.1 -20.0 -12.0 -19.9 -14.4 0.0 -3.5 6.4 -5.8 3.6 4.1 0.4 4.4 -1.2 3.8 -2.0 2.2 -16.6 0.2 -3.4 -3.6 -2.6 -20.0 -16.4 -10.1 -11.5 BTP 11.2 -1.6 -6.0 2.9 5.0 0.4 6.5 -1.8 5.1 13.3 2.8 15.4 9.3 10.7 0.8 1.0 4.3 1.6 2.7 3.7 2.1 17.6 4.7 11.8 -20.0 2.3 7.2 1.7 9.6 3.2 6.4 11.8 7.6 10.0 -10.4 0.1 -18.6 -14.9 -3.6 2.4 BUND 0.2 7.5 -3.7 1.8 3.1 0.3 4.0 -1.1 3.2 8.7 -6.1 7.1 -3.2 3.6 -0.7 5.1 0.3 1.3 -0.5 0.3 -2.1 6.5 -3.8 3.5 1.1 0.6 4.6 -0.3 4.1 -0.8 2.3 5.0 -0.2 -4.2 -4.9 -0.3 -20.0 -20.0 -9.2 -12.5 BUXL -2.1 3.6 -3.5 2.1 3.6 0.3 4.6 -1.3 3.7 8.4 -6.9 5.1 -2.8 -0.4 -4.0 -0.7 -2.7 -2.8 -3.4 -1.5 -3.0 5.7 -4.7 1.7 -2.7 -0.2 4.6 -0.4 3.9 -0.7 1.5 0.4 -3.1 -8.2 -8.7 -0.3 -20.0 -20.0 -14.9 -11.2 CAC -2.3 -20.0 -20.0 5.6 -0.6 5.4 4.5 5.3 6.0 -7.2 0.4 -4.2 9.6 -13.3 -12.7 -8.8 -1.0 -4.7 -1.7 -13.2 -4.5 -6.9 6.4 -11.6 -9.1 -4.3 -2.1 -0.7 -2.1 3.0 -3.9 9.1 -20.0 -20.0 -20.0 -20.0 3.2 6.6 -0.5 9.3 CAD 4.1 2.1 -2.5 0.9 3.1 -1.0 8.5 0.6 5.5 -20.0 -17.1 -1.7 -16.1 3.6 -5.1 -4.3 -3.0 -4.0 -3.5 -1.9 -6.6 -7.0 -9.9 -0.7 -1.1 -1.5 -13.9 -4.5 -6.8 -6.5 -1.1 -1.0 -20.0 -3.5 -3.3 -3.7 5.7 -6.7 -3.1 -4.6 CANOLA 7.1 -12.2 13.6 -2.3 -0.1 -1.3 -1.0 -0.8 -2.1 1.3 -4.9 0.4 -7.0 -4.0 -3.7 -14.8 -10.5 -15.1 -14.2 -4.3 -4.7 1.1 -6.9 -3.0 -19.2 -2.6 2.6 -2.3 -0.5 -2.8 -2.3 -20.0 -3.2 -2.7 -10.3 -3.2 -2.1 -13.6 6.8 -3.9 CHF -1.7 13.4 -1.9 0.8 2.6 -0.8 7.1 0.5 4.6 12.5 -15.7 6.0 -14.8 4.1 -0.4 -17.9 -16.7 -17.5 -17.0 -0.3 -8.6 14.5 -11.4 6.1 6.0 0.8 14.2 -3.4 9.5 -4.6 4.3 -20.0 19.5 -11.0 15.4 -5.3 8.6 -12.5 -0.9 -12.1 COCOA -11.8 -7.9 -14.3 -1.7 -0.1 -1.0 -0.8 -0.6 -1.5 -0.8 2.4 -1.5 3.8 -2.7 -2.1 20.0 16.0 19.2 19.3 -0.2 4.5 -0.9 7.8 -1.7 -18.1 0.9 -0.3 4.5 -0.3 7.7 -0.3 20.0 4.1 -5.0 8.5 13.9 13.6 4.5 17.5 8.9 COFFEE 5.6 5.5 7.5 -4.1 -0.1 -2.4 -1.9 -1.4 -3.8 4.6 13.5 8.5 12.6 12.0 13.5 3.3 6.9 4.7 6.4 16.9 17.4 10.0 14.7 15.2 -20.0 5.3 -0.5 7.2 2.7 7.6 4.2 11.4 20.0 19.8 20.0 20.0 1.1 -10.7 9.9 -3.1 COPPER -1.7 -14.0 6.3 -2.6 -2.0 -1.1 -2.2 -0.1 -2.9 -9.3 2.9 -4.4 3.8 -6.9 -1.1 0.9 -2.4 0.4 -1.0 -0.1 5.6 -9.5 7.2 -4.2 -11.4 -0.9 -6.6 2.0 -4.2 2.9 -3.0 6.1 -12.2 -2.2 -1.1 17.8 4.9 1.1 14.2 9.9 CORN -20.0 -20.0 3.5 -2.9 -0.1 -1.7 -1.3 -1.0 -2.7 -6.8 -9.6 -9.9 -11.1 -11.1 -10.6 -15.5 -13.0 -16.9 -16.5 -17.4 -12.5 -11.1 -10.9 -18.0 -8.9 -3.8 -1.2 -2.6 -2.6 -2.2 -4.1 -20.0 -14.0 -20.0 -17.4 -6.0 -19.0 -14.4 -17.5 -2.1 COTTON2 1.1 -10.4 -20.0 -3.8 -0.1 -2.2 -1.7 -1.3 -3.5 6.0 -14.7 -7.7 -11.6 -12.0 -15.0 -10.6 -0.1 -5.5 -2.0 -15.8 -18.5 -1.4 -13.6 -7.7 -20.0 -4.1 1.5 -4.2 0.9 -1.4 -1.1 -2.0 9.8 10.3 4.7 -20.0 -4.3 -9.1 11.3 -0.6 CRUDE_W 4.1 6.1 -5.1 -0.5 -5.2 0.8 -6.7 3.1 -2.8 -11.5 14.2 -10.1 17.0 15.8 13.8 15.8 12.7 14.5 13.6 9.6 10.1 -4.4 12.9 5.2 -4.3 -1.0 -3.0 -0.3 -2.7 3.7 -0.5 7.4 9.1 8.0 -4.1 -2.7 20.0 20.0 20.0 20.0 DAX 4.2 -18.0 -8.3 5.9 -0.6 5.7 4.8 5.6 6.4 -9.2 12.3 -0.5 15.7 -2.0 -2.6 -9.2 -11.1 -10.1 -10.9 1.6 8.7 -1.0 15.9 1.1 11.5 1.4 -7.1 7.4 -0.6 12.3 0.5 -8.2 -20.0 -20.0 -20.0 -5.2 6.2 4.8 -4.8 7.2 DOW 16.9 4.1 -7.3 5.9 -0.6 5.7 4.8 5.7 6.4 11.2 13.7 15.7 15.4 13.2 9.0 -11.6 -11.4 -11.7 -11.7 13.9 10.7 20.0 13.8 20.0 -13.9 4.9 10.6 4.2 11.8 5.5 8.5 -8.9 20.0 11.0 -11.5 -7.5 13.8 -1.5 10.8 -4.3 DX -13.7 -3.6 1.9 0.8 2.7 -0.9 7.6 0.6 4.9 -11.3 15.6 -18.7 16.3 -10.7 -0.1 7.2 7.0 7.3 7.2 -2.1 6.3 -20.0 9.7 -14.2 -20.0 -1.5 -9.0 2.9 -12.2 4.8 -8.0 16.7 -20.0 -20.0 -5.8 17.5 -7.2 6.9 -7.5 10.4 EUR 14.0 1.1 0.0 0.9 2.9 -0.9 8.0 0.6 5.2 11.1 -10.4 20.0 -11.1 14.0 7.0 -7.5 -7.2 -7.5 -7.2 4.9 -2.0 20.0 -4.9 15.0 20.0 3.5 7.0 0.5 11.6 -0.6 8.7 -7.7 9.7 20.0 2.0 4.5 -0.3 -19.4 -2.8 -16.6 EURIBOR-ICE 9.9 9.6 -9.6 1.6 2.7 0.2 3.5 -1.0 2.7 8.0 -4.4 8.0 -0.1 7.0 -0.1 -3.7 -4.8 -4.9 -4.7 2.1 -1.1 10.6 -1.4 7.1 11.7 1.0 5.1 -0.3 5.1 -0.3 3.4 -2.3 7.0 3.8 -1.4 -3.9 -20.0 -20.0 -8.2 2.7 EUROSTX -1.2 -20.0 -14.8 5.6 -0.6 5.4 4.6 5.4 6.1 -15.0 13.2 -8.6 15.9 -5.2 -4.2 -5.0 -2.6 -5.6 -4.2 -0.8 7.4 -9.8 15.6 -4.3 -2.2 0.1 -13.2 7.0 -6.0 13.0 -2.8 5.4 -20.0 -20.0 -20.0 -7.8 -4.4 2.1 -15.8 2.1 FEEDCOW -7.3 0.2 -0.8 -5.7 -0.2 -3.3 -2.6 -1.9 -5.3 -5.9 6.5 -6.9 -3.4 -9.2 1.5 -1.8 -20.0 -12.6 -20.0 -3.1 -2.3 -7.2 -0.7 -6.4 -8.2 -2.3 -3.3 -1.8 -2.1 1.4 -2.5 -20.0 -18.5 -0.2 11.2 -0.2 3.2 20.0 11.0 20.0 GASOIL 2.7 5.2 -10.6 -0.5 -4.7 0.7 -6.0 2.8 -2.6 -18.4 4.5 -18.5 13.4 7.4 -0.7 -1.5 11.5 0.2 5.1 1.3 1.8 -12.7 8.3 -2.4 5.7 0.4 -7.2 0.2 -6.1 2.9 -1.2 0.1 -3.9 1.7 7.2 -5.4 -20.0 -13.9 -20.0 -20.0 GASOLINE 6.5 2.5 -7.7 -0.5 -5.0 0.7 -6.4 3.0 -2.7 -8.6 10.0 -7.2 15.5 14.3 0.6 20.0 20.0 20.0 20.0 4.1 5.8 -3.6 12.4 3.0 -20.0 -0.9 -1.7 -0.0 -2.0 4.6 -0.2 20.0 13.4 11.3 -1.1 -5.7 20.0 20.0 20.0 20.0 GAS_US_mini -20.0 -4.6 20.0 -0.3 -2.4 0.4 -3.1 1.5 -1.3 -7.3 -9.1 -11.2 -10.4 -11.4 -7.9 -5.6 -20.0 -19.3 -20.0 -8.7 -6.2 -15.0 -12.6 -14.9 20.0 -1.9 -3.8 -1.6 -4.9 -3.3 -4.2 -20.0 4.2 -17.8 -7.9 3.2 -2.6 -8.0 -8.4 -15.9 GBP 13.3 6.9 4.6 0.9 3.1 -1.0 8.5 0.6 5.5 14.4 17.3 20.0 7.4 20.0 20.0 -0.7 -0.8 -0.8 -0.8 18.1 11.1 20.0 7.5 20.0 0.5 7.6 6.3 5.2 11.9 3.7 10.9 3.2 20.0 20.0 20.0 20.0 2.6 -20.0 1.0 -12.1 GOLD_micro 14.3 -7.1 0.2 -3.1 -2.4 -1.3 -2.6 -0.1 -3.5 8.0 9.3 10.7 9.9 6.4 7.5 -11.5 -13.5 -11.8 -12.6 9.3 11.0 16.8 12.1 12.9 -4.0 1.5 5.1 4.0 5.4 5.8 2.7 -13.2 20.0 20.0 16.4 18.6 5.3 -6.4 13.1 0.0 HEATOIL 3.2 7.4 -9.9 -0.5 -4.9 0.7 -6.3 2.9 -2.7 -16.5 -1.6 -17.1 7.1 8.3 -1.1 -6.7 9.7 -4.9 1.3 0.4 -1.3 -12.1 3.2 -2.5 -20.0 -3.0 -5.5 -3.3 -5.1 0.8 -2.5 -4.7 -6.1 0.8 -5.7 -17.4 1.0 7.1 -7.9 2.7 JGB-SGX-mini -3.7 5.0 -14.5 1.6 2.8 0.2 3.6 -1.0 2.9 2.8 -5.4 1.1 -1.7 -1.5 -5.1 20.0 18.8 20.0 19.5 -3.8 -5.0 2.5 -3.1 -0.5 -8.8 -1.8 0.7 -2.8 1.1 -2.4 -0.2 20.0 -5.7 -12.2 -8.6 -11.9 -3.8 -4.3 2.7 17.4 JPY 11.8 1.0 4.1 0.4 1.5 -0.5 4.2 0.3 2.7 7.6 -12.6 6.5 -13.2 -3.7 -9.8 -15.1 -16.2 -15.5 -15.8 -9.3 -14.8 9.0 -18.4 -0.3 20.0 -3.3 4.7 -5.2 3.9 -6.2 0.2 -20.0 16.2 -4.3 -11.0 -20.0 -20.0 -13.1 -20.0 -12.4 LEANHOG 3.2 -20.0 -20.0 -3.3 -0.1 -2.0 -1.5 -1.1 -3.1 11.0 -9.6 -0.0 -7.0 -9.1 -12.3 20.0 -8.9 20.0 17.7 -20.0 -15.9 0.1 -9.6 -13.9 3.9 -4.4 3.1 -3.2 0.2 -1.7 -2.8 -2.3 1.0 -7.7 -17.8 -20.0 -7.9 -9.5 -3.0 3.4 LIVECOW 0.7 15.0 10.7 -5.9 -0.2 -3.5 -2.7 -2.0 -5.5 -14.6 18.5 -1.3 7.5 13.4 18.5 -1.2 9.7 12.4 13.8 20.0 17.4 0.4 11.1 13.2 -11.5 7.1 -3.3 6.7 -0.3 6.0 3.8 20.0 -20.0 20.0 20.0 20.0 1.9 20.0 6.9 20.0 LUMBER-new 5.7 -4.5 -19.8 -2.2 -0.1 -1.3 -1.0 -0.7 -2.0 5.6 -7.9 0.0 -7.5 -6.5 -8.3 -14.3 -17.2 -16.5 -17.2 -9.5 -9.6 0.2 -6.8 -5.4 NaN -2.9 2.1 -3.5 0.7 -2.5 -0.9 -20.0 3.8 1.8 -3.2 -20.0 -0.6 -6.6 5.5 -3.2 MILK -8.2 2.9 20.0 -3.3 -0.1 -1.9 -1.5 -1.1 -3.0 7.4 7.7 -0.1 -2.5 -2.1 8.6 -20.0 -20.0 -20.0 -20.0 8.6 9.6 1.9 0.4 2.4 14.3 2.6 2.2 3.2 0.1 -0.2 0.1 -20.0 6.6 -1.5 20.0 20.0 -7.4 -20.0 -3.5 -20.0 MXP 13.9 -17.6 -20.0 0.4 1.3 -0.4 3.7 0.3 2.4 -0.3 -2.2 6.6 4.2 -1.3 -3.5 10.2 15.4 12.0 13.6 -4.1 -3.9 4.8 2.1 2.3 -20.0 -1.8 -0.9 -1.4 1.0 0.7 0.0 20.0 -0.8 9.8 -20.0 -10.3 16.2 13.8 20.0 20.0 NASDAQ_micro -8.4 10.1 2.5 4.6 -0.5 4.5 3.8 4.5 5.0 -12.4 14.7 -2.6 15.3 8.8 13.2 -11.7 -10.9 -11.7 -11.4 19.4 20.0 -7.3 20.0 10.3 -20.0 4.8 -6.5 5.2 -2.2 5.6 2.3 -8.2 -20.0 -20.0 16.8 12.7 -0.3 5.1 -8.0 4.6 NIKKEI 16.8 2.9 -8.1 5.9 -0.6 5.7 4.8 5.7 6.4 -14.7 15.5 4.7 17.1 10.8 10.7 14.8 10.3 11.8 10.1 18.0 17.9 1.8 20.0 17.3 -19.8 5.7 -6.8 5.7 1.1 7.4 5.7 20.0 -20.0 16.4 8.2 -4.8 4.6 -5.4 -5.9 -10.3 NZD -7.8 0.6 5.1 0.7 2.4 -0.8 6.6 0.5 4.3 -15.1 -0.3 -13.5 -1.1 -12.1 7.1 0.0 0.2 0.1 0.1 0.1 1.7 -9.5 -0.4 -5.2 0.4 -0.3 -8.7 1.3 -7.1 0.6 -4.0 4.8 -20.0 -18.1 -2.1 8.0 8.0 -5.3 9.1 0.8 OAT 9.1 -2.3 -9.6 2.0 3.4 0.3 4.5 -1.2 3.5 9.8 -7.7 10.5 -3.3 2.8 -5.0 -1.4 4.1 0.4 2.1 -2.7 -5.1 8.9 -4.9 3.7 1.9 -1.2 4.7 -1.9 5.0 -1.4 2.1 11.2 1.7 1.3 -13.2 -5.5 -20.0 -18.8 -8.1 -3.3 OATIES -1.4 -20.0 2.4 -2.1 -0.1 -1.2 -1.0 -0.7 -2.0 4.9 -6.7 0.9 -7.4 -7.4 -7.6 -1.8 0.5 -0.3 1.3 -10.8 -8.5 -1.1 -6.3 -8.0 -20.0 -2.4 0.9 -1.5 -0.6 -0.9 -2.2 1.1 0.1 -5.9 -12.4 -2.8 2.4 -1.2 12.2 10.7 OJ -3.0 -7.5 -5.1 -3.3 -0.1 -1.9 -1.5 -1.1 -3.1 -8.7 9.6 1.3 11.4 1.9 7.8 9.4 12.3 9.6 9.9 11.3 14.5 0.0 16.9 6.3 -20.0 3.1 -3.1 5.1 -0.8 7.6 1.0 18.6 3.2 11.5 10.3 20.0 10.5 10.1 20.0 20.0 PALLAD 10.8 3.2 3.8 -2.3 -1.8 -1.0 -2.0 -0.1 -2.6 -8.4 -5.7 -4.1 -8.2 -0.4 -3.4 -1.2 -2.1 -1.7 -1.9 -0.9 -3.4 -5.3 -8.3 -1.0 14.4 -1.5 -4.9 -2.3 -2.7 -3.4 -1.1 5.9 -5.7 15.8 11.0 -2.4 -20.0 -20.0 -20.0 -19.6 PLAT -1.0 -7.4 8.8 -3.3 -2.6 -1.4 -2.8 -0.1 -3.7 -10.2 1.6 -6.0 -3.3 -5.4 -0.8 -5.1 -4.3 -5.1 -4.8 1.4 3.4 -4.4 2.0 -1.2 7.7 -2.0 -5.9 0.3 -4.0 1.1 -3.6 1.6 -2.5 8.7 6.5 9.7 -19.6 -8.9 -5.8 2.8 REDWHEAT -12.9 -20.0 19.2 -3.1 -0.1 -1.8 -1.4 -1.0 -2.8 -6.3 -6.4 -8.6 -9.5 -12.0 -10.2 -10.4 -4.3 -9.5 -6.9 -14.3 -7.6 -11.5 -8.0 -16.9 -5.1 -3.1 -1.1 -1.5 -2.7 -1.4 -4.0 -9.7 -16.9 -14.3 -19.8 7.3 -15.3 -20.0 -9.4 -17.6 RICE -20.0 -15.5 10.7 -5.1 -0.2 -3.0 -2.3 -1.7 -4.7 -17.0 12.0 -18.9 15.3 -18.2 9.1 20.0 20.0 20.0 20.0 -10.1 4.9 -20.0 13.0 -20.0 -12.6 -1.5 -11.8 2.1 -8.9 3.4 -6.1 20.0 -10.3 -19.4 9.7 17.9 -17.9 -8.6 -18.4 -6.5 ROBUSTA 8.1 6.5 -2.1 -2.6 -0.1 -1.5 -1.2 -0.9 -2.4 4.8 9.9 7.6 9.9 9.0 9.2 20.0 20.0 20.0 20.0 16.1 17.8 12.3 18.6 15.7 -20.0 3.9 0.7 5.1 3.1 6.2 3.7 20.0 20.0 20.0 20.0 20.0 3.6 -6.3 10.6 3.8 RUSSELL 20.0 -0.5 -3.1 4.6 -0.5 4.4 3.7 4.4 4.9 8.1 9.0 10.8 10.1 7.4 4.9 -7.1 -6.9 -7.3 -7.1 9.2 5.2 20.0 4.6 19.1 -1.0 3.8 6.1 2.3 8.5 2.0 6.7 -0.9 20.0 20.0 -0.5 -2.9 3.6 -20.0 1.4 -20.0 SHATZ 2.5 20.0 -0.1 1.5 2.6 0.2 3.4 -0.9 2.7 7.7 -6.4 5.7 -7.4 4.2 0.6 -20.0 -20.0 -20.0 -20.0 0.9 -4.3 6.3 -8.8 4.3 6.9 0.6 3.2 -1.4 2.9 -2.9 2.1 -20.0 1.4 -2.1 0.8 -4.3 -20.0 -14.8 -16.5 -11.3 SILVER-mini 2.4 -5.8 9.9 -2.8 -2.1 -1.2 -2.4 -0.1 -3.1 -8.5 7.6 2.5 6.9 0.4 6.2 -5.7 -6.5 -5.9 -6.2 6.5 9.2 -1.1 8.3 3.3 2.4 0.2 -4.5 3.1 -1.9 4.0 -1.2 -1.6 3.4 6.5 8.8 17.0 -0.6 -7.6 6.1 4.8 SMI -2.4 1.9 14.0 6.5 -0.7 6.3 5.3 6.2 7.0 5.5 19.3 9.6 18.5 13.3 17.6 -4.0 1.0 -3.2 -1.2 19.8 20.0 13.8 20.0 15.8 15.8 7.3 1.4 9.3 5.6 8.8 6.1 11.3 5.8 -17.4 -3.0 14.7 5.9 2.4 -1.0 0.2 SOFR 8.1 18.6 4.3 2.2 3.7 0.3 4.8 -1.3 3.8 8.2 -0.3 11.2 -2.7 11.6 9.2 -1.4 -1.4 -2.2 -1.9 8.7 2.8 11.3 -2.4 11.9 -3.4 3.5 2.0 2.1 3.2 0.4 3.8 3.0 -5.4 1.0 6.8 5.0 7.2 -14.5 20.0 2.9 SOYBEAN -15.4 -20.0 -2.1 -3.1 -0.1 -1.8 -1.4 -1.0 -2.8 -10.1 -11.0 -11.5 -7.7 -12.4 -11.6 -2.9 5.9 -1.5 1.0 -18.7 -13.0 -19.9 -9.4 -20.0 -20.0 -4.1 -2.7 -2.6 -4.4 -1.6 -5.0 5.4 -20.0 -20.0 -19.7 -7.4 -13.5 -20.0 -7.0 -20.0 SOYMEAL -20.0 -20.0 4.5 -3.2 -0.1 -1.9 -1.4 -1.1 -2.9 -8.0 -11.4 -11.0 -10.2 -12.6 -11.6 8.3 7.4 7.9 5.9 -18.6 -12.6 -17.0 -9.7 -20.0 -20.0 -3.5 -1.6 -1.7 -3.9 -1.0 -5.0 10.3 -20.0 -20.0 -14.2 5.3 -20.0 -20.0 -20.0 -20.0 SOYOIL 14.9 7.3 3.9 -2.3 -0.1 -1.4 -1.0 -0.8 -2.1 -7.7 -5.9 -3.2 -8.1 -1.7 -3.1 5.9 0.6 1.6 -0.6 -0.6 -3.6 -5.1 -6.3 -0.6 -20.0 -1.1 -3.5 -2.1 -2.5 -2.5 -0.9 -1.1 -20.0 5.5 6.3 -5.2 -13.3 -14.7 -1.7 -1.8 SP400 11.8 -7.7 -8.6 4.9 -0.5 4.7 4.0 4.7 5.3 6.7 9.7 9.2 11.6 4.6 1.5 -4.8 -5.9 -5.9 -6.0 5.5 5.8 20.0 8.7 13.0 -11.9 3.9 5.6 3.4 8.6 4.0 6.7 0.9 20.0 8.1 -8.7 -5.4 5.0 -9.3 3.8 -20.0 SP500_micro 0.2 13.4 8.4 7.1 -0.7 6.8 5.8 6.8 7.7 -13.8 20.0 9.1 20.0 19.5 20.0 -15.4 -12.9 -14.6 -13.7 20.0 20.0 8.9 20.0 20.0 -20.0 8.6 -4.9 9.0 1.8 9.3 6.6 -11.7 -15.5 -10.4 20.0 17.5 9.4 1.8 -0.2 1.7 SUGAR11 9.4 19.3 -10.5 -4.2 -0.1 -2.5 -1.9 -1.4 -3.9 -13.4 -12.0 -7.9 -9.7 4.0 -5.9 -4.5 9.2 -1.1 3.6 -1.1 -9.4 -9.1 -9.7 -0.5 -20.0 -0.1 -6.6 -4.3 -2.6 -4.4 1.0 11.1 -20.0 20.0 20.0 -12.1 3.6 20.0 9.1 20.0 US10 6.2 16.1 4.7 1.8 3.1 0.3 4.1 -1.1 3.2 6.6 -1.6 9.1 -5.0 9.4 6.7 -7.0 -7.3 -6.9 -7.0 5.4 0.7 8.2 -4.6 8.1 2.6 2.8 1.9 1.5 2.7 -0.3 3.0 -6.7 -6.1 -1.4 3.6 3.1 3.9 -18.6 13.0 2.7 US10U 2.8 14.6 5.5 2.5 4.2 0.3 5.4 -1.5 4.3 8.5 -2.9 11.8 -6.4 11.8 8.4 -4.5 -2.8 -4.8 -4.0 5.6 0.3 8.7 -6.3 8.3 0.2 3.5 2.2 2.0 3.1 -0.4 3.4 0.0 -9.7 -4.7 2.9 4.0 4.3 -15.2 19.6 11.2 US2 17.7 20.0 -1.6 2.0 3.4 0.3 4.4 -1.2 3.5 6.4 -6.4 9.6 -9.6 10.3 3.5 -20.0 -20.0 -20.0 -20.0 6.0 -3.4 13.6 -11.8 12.9 15.4 2.3 2.5 -0.4 4.5 -2.5 4.3 -20.0 -1.1 5.8 2.5 -2.9 1.3 -20.0 5.0 -11.9 US20 -1.8 12.0 6.2 1.6 2.8 0.2 3.6 -1.0 2.9 5.0 -0.7 7.0 -2.2 6.7 5.7 -0.8 -0.8 -0.8 -0.7 3.1 0.8 4.5 -2.9 4.1 -1.2 2.4 1.1 2.0 1.5 0.5 1.8 4.5 -7.0 -5.2 2.4 4.6 2.8 -9.7 20.0 17.8 US30 -3.5 10.9 6.4 1.9 3.2 0.3 4.1 -1.1 3.2 4.8 -1.9 5.7 -3.6 5.6 4.8 -4.2 -5.1 -4.7 -5.0 2.4 0.1 3.7 -3.9 3.2 -0.7 2.4 1.0 1.9 1.3 0.2 1.7 -3.1 -9.6 -7.3 1.1 4.0 -0.4 -9.3 12.2 18.9 US5 10.7 18.6 2.9 2.0 3.4 0.3 4.5 -1.2 3.5 7.7 -3.5 10.3 -7.7 10.7 6.5 -10.8 -10.3 -10.5 -10.2 6.7 0.0 11.2 -6.5 10.9 6.5 3.0 2.4 1.1 3.7 -0.8 3.8 -12.0 -4.1 1.9 4.2 1.8 4.0 -19.7 10.5 -4.6 VIX 0.1 0.2 -10.6 -8.4 4.7 -10.3 -0.4 -12.3 -5.1 20.0 -20.0 -12.0 -20.0 -18.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 0.1 -20.0 -10.3 NaN -10.0 5.2 -12.2 -0.3 -14.6 -5.9 NaN NaN NaN NaN NaN -15.0 -20.0 NaN NaN WHEAT -12.0 -20.0 19.2 -2.4 -0.1 -1.4 -1.1 -0.8 -2.2 -6.9 -4.3 -7.9 -6.4 -9.1 -7.7 -15.1 -14.3 -15.7 -15.4 -11.4 -5.6 -11.8 -5.1 -14.4 0.8 -2.4 -1.7 -0.9 -2.7 -0.7 -3.2 -20.0 -19.6 -14.0 -17.6 6.5 -14.6 -20.0 -12.0 -20.0 End of report for caleb_strategy_v3