******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240722_203936 produced at 2024-07-22 21:38:26.151510 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.34 -0.39 0.0 999.00 -999.00 -0.34 -0.34 -67.24 999999999.0 -58 -58 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.14 0.0 0.00 0.00 0.00 0.00 -3.77 24.0 0 0 caleb_strategy_v3 CAD False False 0.02 -0.02 -0.10 0.0 0.68 -0.68 -0.02 -0.02 -4.25 29.0 -1 -1 caleb_strategy_v3 BOBL False False 0.04 -0.04 -0.06 0.0 0.78 -0.78 -0.04 -0.04 -1.35 19.0 -1 -1 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.03 -0.05 0.0 0.47 -0.47 -0.03 -0.03 -1.87 16.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.05 0.0 0.33 -0.33 0.00 0.00 -1.15 8.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.05 0.0 0.08 -0.08 -0.05 -0.05 -7.69 12.0 -8 -8 caleb_strategy_v3 HEATOIL False False 0.03 -0.07 -0.05 0.0 0.10 -0.10 -0.07 -0.07 -1.35 3.0 -2 -2 caleb_strategy_v3 CAC True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.84 12.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.09 -0.04 0.0 0.59 -0.59 -0.09 -0.09 -0.82 13.0 -2 -2 caleb_strategy_v3 OAT False False 0.04 -0.04 -0.04 0.0 0.44 -0.44 -0.04 -0.04 -0.83 10.0 -1 -1 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.04 0.0 0.44 -0.44 -0.03 -0.03 -1.56 17.0 -1 -1 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 CANOLA False False 0.00 -0.01 -0.03 0.0 0.16 -0.16 -0.01 -0.01 -11.23 51.0 -2 -2 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -12.60 59.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.03 0.0 0.05 -0.05 -0.02 -0.02 -16.56 26.0 -12 -12 caleb_strategy_v3 EUROSTX False False 0.02 -0.03 -0.03 0.0 0.34 -0.34 -0.03 -0.03 -1.65 20.0 -2 -2 caleb_strategy_v3 LEANHOG False False 0.01 -0.04 -0.03 0.0 0.13 -0.13 -0.04 -0.04 -3.20 13.0 -4 -4 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.03 0.0 0.13 -0.13 -0.06 -0.06 -2.61 11.0 -5 -5 caleb_strategy_v3 SOYBEAN False False 0.02 -0.08 -0.03 0.0 0.12 -0.12 -0.08 -0.08 -1.51 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 -1.95 9.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.02 0.0 999.00 -999.00 0.00 0.00 -0.52 999999999.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -0.65 4.0 -1 -1 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.02 0.0 0.41 -0.41 -0.02 -0.02 -0.93 21.0 -1 -1 caleb_strategy_v3 BTP False False 0.04 -0.12 -0.02 0.0 0.41 -0.41 -0.12 -0.12 -0.48 10.0 -3 -3 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.04 -0.04 0.00 0.00 -1.36 4.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.01 0.0 0.09 -0.09 -0.02 -0.02 -0.85 10.0 -2 -2 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -1.08 18.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.01 0.0 0.29 -0.29 0.00 0.00 -0.96 23.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 -0.01 -0.01 0.0 0.01 -0.01 -0.01 -0.01 -3.03 3.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.01 0.0 0.08 -0.08 -0.02 -0.02 -1.54 8.0 -2 -2 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -2.73 2.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.01 0.0 0.08 -0.08 -0.03 -0.03 -1.62 9.0 -3 -3 caleb_strategy_v3 BUND False False 0.05 -0.05 -0.01 0.0 0.46 -0.46 -0.05 -0.05 -0.27 10.0 -1 -1 caleb_strategy_v3 US2 False True 0.07 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.20 13.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.18 -0.18 0.00 0.00 -0.25 4.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.06 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 0.14 26.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 0.00 0.0 0.24 -0.24 0.00 0.00 0.03 6.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.15 2.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.00 0.0 0.16 -0.16 -0.02 -0.02 -0.26 10.0 -1 -1 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.01 2.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.03 -0.00 0.0 0.37 -0.37 0.03 0.02 -0.01 58.0 4 3 caleb_strategy_v3 DOW False False 0.01 0.07 0.01 0.0 0.43 -0.43 0.07 0.07 2.16 66.0 10 10 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.01 0.0 0.17 -0.17 0.00 0.00 0.23 6.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 0.01 0.0 0.61 -0.61 0.00 0.00 0.18 17.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.34 999999999.0 0 0 caleb_strategy_v3 US5 False False 0.03 0.03 0.01 0.0 0.87 -0.87 0.03 0.03 0.22 25.0 1 1 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.01 0.0 0.43 -0.43 0.03 0.03 1.14 48.0 3 3 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.32 -0.32 0.01 0.01 0.83 23.0 1 1 caleb_strategy_v3 OJ False True 0.02 0.02 0.01 0.0 0.02 0.00 0.02 0.02 0.57 3.0 1 1 caleb_strategy_v3 US20 False True 0.04 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.25 9.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.15 0.01 0.0 0.48 -0.48 0.15 0.15 0.26 13.0 4 4 caleb_strategy_v3 MXP False False 0.01 0.04 0.01 0.0 0.53 -0.53 0.04 0.04 1.14 60.0 4 4 caleb_strategy_v3 RUSSELL False False 0.00 -0.00 0.02 0.0 0.24 -0.24 -0.00 -0.00 4.49 68.0 -1 -1 caleb_strategy_v3 GASOLINE False False 0.03 0.09 0.03 0.0 999.00 -999.00 0.09 0.09 1.06 999999999.0 3 3 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.03 0.0 0.44 -0.44 0.00 0.00 3.28 56.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.17 0.04 0.0 0.41 -0.41 0.17 0.15 1.92 19.0 8 7 caleb_strategy_v3 EUR False False 0.04 0.00 0.05 0.0 0.62 -0.62 0.00 0.00 1.05 14.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.15 0.07 0.0 0.29 -0.29 0.15 0.14 8.72 36.0 19 17 caleb_strategy_v3 LIVECOW False False 0.02 0.14 0.09 0.0 0.40 -0.40 0.14 0.12 3.71 17.0 6 5 caleb_strategy_v3 GBP False False 0.03 0.08 0.10 0.0 0.57 -0.57 0.08 0.08 3.70 22.0 3 3 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.10 0.0 0.86 -0.86 0.00 0.00 1.13 10.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.10 0.11 0.0 0.12 -0.12 0.10 0.07 4.59 5.0 4 3 caleb_strategy_v3 SMI False True 0.04 0.00 0.12 0.0 0.00 0.00 0.00 0.00 2.80 9.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 0.57 0.0 0.00 0.00 0.00 0.00 7.36 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 13.7 Shocked risk 51.4 Sum abs risk 39.9 Leverage 2.97 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3094961.54, 'annual_cash_vol_target': 773740.385, 'daily_cash_vol_target': 48358.7740625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0034 0.6693 0.5073 8.1161 BITCOIN 1817.4501 67680.0000 2.6854 42.9657 BOBL 0.2521 116.5700 0.2162 3.4596 BTP 0.5593 117.8300 0.4747 7.5951 BUND 0.5229 132.0300 0.3961 6.3369 BUXL 1.2771 130.7600 0.9767 15.6268 CAC 65.4690 7556.5000 0.8664 13.8623 CAD 0.0024 0.7294 0.3276 5.2414 CANOLA 8.4165 652.4000 1.2901 20.6413 CHF 0.0050 1.1322 0.4453 7.1256 COCOA 276.1996 6820.0000 4.0498 64.7976 COFFEE 4.4717 236.6000 1.8900 30.2398 COPPER 0.0621 4.2355 1.4663 23.4603 CORN 6.1156 405.5000 1.5082 24.1307 COTTON2 1.0313 70.7800 1.4570 23.3122 CRUDE_W 0.9692 75.9600 1.2759 20.4142 DAX 140.5147 18298.0000 0.7679 12.2868 DOW 279.0565 40544.0000 0.6883 11.0125 DX 0.3537 104.1150 0.3397 5.4356 EUR 0.0042 1.0908 0.3805 6.0876 EURIBOR-ICE 0.0486 97.5700 0.0498 0.7970 EUROSTX 44.1709 4858.0000 0.9092 14.5478 FEEDCOW 1.7194 254.9500 0.6744 10.7902 GASOIL 10.5010 748.7500 1.4025 22.4395 GASOLINE 0.0321 2.2270 1.4432 23.0911 GAS_US_mini 0.0912 2.2950 3.9749 63.5989 GBP 0.0056 1.2915 0.4354 6.9664 GOLD_micro 22.3005 2424.2000 0.9199 14.7186 HEATOIL 0.0341 2.4538 1.3914 22.2621 JGB-SGX-mini 0.2292 142.9600 0.1603 2.5648 JPY 0.0000 0.0064 0.6712 10.7399 LEANHOG 1.2762 74.5000 1.7131 27.4094 LIVECOW 1.2062 183.2750 0.6581 10.5301 LUMBER-new 9.6838 515.0000 1.8803 30.0855 MILK 0.2622 20.7400 1.2642 20.2277 MXP 0.0005 0.0547 0.9159 14.6551 NASDAQ_micro 178.8064 19721.5000 0.9067 14.5065 NIKKEI 395.5033 39610.0000 0.9985 15.9759 NZD 0.0035 0.6009 0.5894 9.4308 OAT 0.5114 124.7200 0.4100 6.5607 OATIES 6.5609 325.7500 2.0141 32.2257 OJ 8.5463 431.4500 1.9808 31.6933 PALLAD 23.0658 903.0000 2.5543 40.8696 PLAT 15.5156 974.1000 1.5928 25.4851 REDWHEAT 11.5070 589.2500 1.9528 31.2451 RICE 0.1438 14.4700 0.9939 15.9025 ROBUSTA 74.0111 4345.0000 1.7034 27.2538 RUSSELL 27.2847 2204.0000 1.2380 19.8074 SHATZ 0.0828 105.7300 0.0783 1.2524 SILVER-mini 0.5506 29.7750 1.8492 29.5880 SMI 76.7259 12209.0000 0.6284 10.0550 SOFR 0.0621 96.4700 0.0644 1.0307 SOYBEAN 11.5767 1035.5000 1.1180 17.8876 SOYMEAL 4.1953 307.4000 1.3648 21.8364 SOYOIL 0.7548 43.9100 1.7189 27.5021 SP400 29.3147 3040.5000 0.9641 15.4262 SP500_micro 32.2154 5560.2500 0.5794 9.2702 SUGAR11 0.3019 18.9900 1.5898 25.4367 US10 0.3787 110.8281 0.3417 5.4665 US10U 0.5304 114.3906 0.4637 7.4186 US2 0.0908 102.4766 0.0886 1.4182 US20 0.8181 119.1250 0.6867 10.9878 US30 1.2515 126.1562 0.9920 15.8719 US5 0.2384 107.2812 0.2222 3.5559 VIX 0.3551 18.1500 1.9563 31.3004 WHEAT 11.2431 570.2500 1.9716 31.5458 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 669.30 0.51 339.51 1.00 339.51 48358.77 142.44 5.19 73.89 BITCOIN 67.68 2.69 181.75 1.00 181.75 48358.77 266.08 -4.37 -116.40 BOBL 1165.70 0.22 252.06 1.09 275.64 48358.77 175.44 -7.57 -132.87 BTP 1178.30 0.47 559.33 1.09 611.66 48358.77 79.06 -1.77 -14.01 BUND 1320.30 0.40 522.91 1.09 571.83 48358.77 84.57 -3.19 -26.98 BUXL 1307.60 0.98 1277.10 1.09 1396.58 48358.77 34.63 -7.06 -24.43 CAC 755.65 0.87 654.69 1.09 715.94 48358.77 67.55 -7.97 -53.83 CAD 729.40 0.33 238.94 1.00 238.94 48358.77 202.39 -8.10 -163.99 CANOLA 130.48 1.29 168.33 0.73 123.05 48358.77 393.01 -11.75 -461.64 CHF 1415.31 0.45 630.31 1.00 630.31 48358.77 76.72 -4.13 -31.66 COCOA 682.00 4.05 2762.00 1.00 2762.00 48358.77 17.51 3.63 6.35 COFFEE 887.25 1.89 1676.89 1.00 1676.89 48358.77 28.84 6.98 20.12 COPPER 1058.88 1.47 1552.60 1.00 1552.60 48358.77 31.15 -1.54 -4.81 CORN 202.75 1.51 305.78 1.00 305.78 48358.77 158.15 -19.98 -316.02 COTTON2 353.90 1.46 515.64 1.00 515.64 48358.77 93.78 -13.02 -122.10 CRUDE_W 759.60 1.28 969.16 1.00 969.16 48358.77 49.90 8.50 42.40 DAX 182.98 0.77 140.51 1.09 153.66 48358.77 314.71 -0.01 -0.18 DOW 202.72 0.69 139.53 1.00 139.53 48358.77 346.59 2.69 93.11 DX 1041.15 0.34 353.70 1.00 353.70 48358.77 136.72 -3.33 -45.59 EUR 1363.44 0.38 518.76 1.00 518.76 48358.77 93.22 4.36 40.63 EURIBOR-ICE 2439.25 0.05 121.51 1.09 132.88 48358.77 363.94 0.91 33.10 EUROSTX 485.80 0.91 441.71 1.09 483.03 48358.77 100.12 -4.83 -48.31 FEEDCOW 1274.75 0.67 859.68 1.00 859.68 48358.77 56.25 -6.19 -34.83 GASOIL 748.75 1.40 1050.10 1.00 1050.10 48358.77 46.05 -3.24 -14.92 GASOLINE 935.34 1.44 1349.88 1.00 1349.88 48358.77 35.82 6.84 24.51 GAS_US_mini 57.38 3.97 228.06 1.00 228.06 48358.77 212.04 -7.21 -152.96 GBP 807.19 0.44 351.45 1.00 351.45 48358.77 137.60 10.36 142.52 GOLD_micro 242.42 0.92 223.00 1.00 223.00 48358.77 216.85 4.43 96.15 HEATOIL 1030.60 1.39 1433.95 1.00 1433.95 48358.77 33.72 -9.25 -31.20 JGB-SGX-mini 142960.00 0.16 22916.05 0.01 146.79 48358.77 329.44 -0.52 -17.29 JPY 800.56 0.67 537.37 1.00 537.37 48358.77 89.99 -6.69 -60.25 LEANHOG 298.00 1.71 510.50 1.00 510.50 48358.77 94.73 -5.55 -52.59 LIVECOW 733.10 0.66 482.48 1.00 482.48 48358.77 100.23 11.18 112.01 LUMBER-new 141.62 1.88 266.30 1.00 266.30 48358.77 181.59 -7.79 -141.41 MILK 414.80 1.26 524.40 1.00 524.40 48358.77 92.22 0.29 2.68 MXP 273.70 0.92 250.69 1.00 250.69 48358.77 192.90 0.40 7.80 NASDAQ_micro 394.43 0.91 357.61 1.00 357.61 48358.77 135.23 -3.06 -41.42 NIKKEI 39610.00 1.00 39550.33 0.01 253.34 48358.77 190.88 4.22 80.55 NZD 600.90 0.59 354.19 1.00 354.19 48358.77 136.53 -2.61 -35.66 OAT 1247.20 0.41 511.41 1.09 559.25 48358.77 86.47 -2.82 -24.39 OATIES 162.88 2.01 328.05 1.00 328.05 48358.77 147.41 -7.60 -112.05 OJ 647.18 1.98 1281.94 1.00 1281.94 48358.77 37.72 7.05 26.58 PALLAD 903.00 2.55 2306.58 1.00 2306.58 48358.77 20.97 -2.12 -4.44 PLAT 487.05 1.59 775.78 1.00 775.78 48358.77 62.34 -1.23 -7.65 REDWHEAT 294.62 1.95 575.35 1.00 575.35 48358.77 84.05 -13.80 -115.98 RICE 289.40 0.99 287.64 1.00 287.64 48358.77 168.12 -3.33 -56.03 ROBUSTA 434.50 1.70 740.11 1.00 740.11 48358.77 65.34 10.83 70.78 RUSSELL 110.20 1.24 136.42 1.00 136.42 48358.77 354.48 3.82 135.49 SHATZ 1057.30 0.08 82.76 1.09 90.50 48358.77 534.33 -6.95 -371.37 SILVER-mini 744.38 1.85 1376.54 1.00 1376.54 48358.77 35.13 2.87 10.10 SMI 1220.90 0.63 767.26 1.12 867.96 48358.77 55.72 14.74 82.11 SOFR 2411.75 0.06 155.36 1.00 155.36 48358.77 311.27 3.89 121.05 SOYBEAN 517.75 1.12 578.83 1.00 578.83 48358.77 83.55 -19.48 -162.75 SOYMEAL 307.40 1.36 419.53 1.00 419.53 48358.77 115.27 -18.23 -210.16 SOYOIL 263.46 1.72 452.86 1.00 452.86 48358.77 106.79 -8.54 -91.15 SP400 3040.50 0.96 2931.47 1.00 2931.47 48358.77 16.50 -0.20 -0.34 SP500_micro 278.01 0.58 161.08 1.00 161.08 48358.77 300.22 1.63 49.05 SUGAR11 212.69 1.59 338.13 1.00 338.13 48358.77 143.02 -3.55 -50.76 US10 1108.28 0.34 378.65 1.00 378.65 48358.77 127.71 1.14 14.55 US10U 1143.91 0.46 530.39 1.00 530.39 48358.77 91.18 2.26 20.61 US2 2049.53 0.09 181.66 1.00 181.66 48358.77 266.20 -0.61 -16.11 US20 1191.25 0.69 818.07 1.00 818.07 48358.77 59.11 3.31 19.58 US30 1261.56 0.99 1251.46 1.00 1251.46 48358.77 38.64 0.56 2.17 US5 1072.81 0.22 238.43 1.00 238.43 48358.77 202.82 0.86 17.41 VIX 181.50 1.96 355.06 1.00 355.06 48358.77 136.20 -20.00 -272.39 WHEAT 285.12 1.97 562.16 1.00 562.16 48358.77 86.02 -14.19 -122.09 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 73.891 0.010 2.5 1.917 BITCOIN -116.404 0.043 2.5 -12.605 BOBL -132.867 0.004 2.5 -1.347 BTP -14.013 0.014 2.5 -0.478 BUND -26.978 0.004 2.5 -0.274 BUXL -24.434 0.004 2.5 -0.248 CAC -53.826 0.014 2.5 -1.836 CAD -163.994 0.010 2.5 -4.255 CANOLA -461.642 0.010 2.5 -11.231 CHF -31.665 0.010 2.5 -0.822 COCOA 6.349 0.009 2.5 0.136 COFFEE 20.119 0.005 2.5 0.235 COPPER -4.810 0.043 2.5 -0.521 CORN -316.023 0.010 2.5 -7.688 COTTON2 -122.098 0.009 2.5 -2.615 CRUDE_W 42.400 0.043 2.5 4.591 DAX -0.176 0.014 2.5 -0.006 DOW 93.112 0.009 2.5 2.164 DX -45.587 0.010 2.5 -1.183 EUR 40.634 0.010 2.5 1.054 EURIBOR-ICE 33.102 0.014 2.5 1.129 EUROSTX -48.314 0.014 2.5 -1.648 FEEDCOW -34.834 0.013 2.5 -1.154 GASOIL -14.924 0.017 2.5 -0.647 GASOLINE 24.508 0.017 2.5 1.062 GAS_US_mini -152.959 0.043 2.5 -16.563 GBP 142.520 0.010 2.5 3.698 GOLD_micro 96.151 0.014 2.5 3.280 HEATOIL -31.199 0.017 2.5 -1.352 JGB-SGX-mini -17.293 0.043 2.5 -1.873 JPY -60.248 0.010 2.5 -1.563 LEANHOG -52.592 0.024 2.5 -3.196 LIVECOW 112.011 0.013 2.5 3.712 LUMBER-new -141.412 0.009 2.5 -3.028 MILK 2.676 0.009 2.5 0.057 MXP 7.799 0.059 2.5 1.145 NASDAQ_micro -41.424 0.009 2.5 -0.963 NIKKEI 80.554 0.043 2.5 8.723 NZD -35.656 0.010 2.5 -0.925 OAT -24.394 0.014 2.5 -0.832 OATIES -112.045 0.010 2.5 -2.726 OJ 26.577 0.009 2.5 0.569 PALLAD -4.437 0.014 2.5 -0.151 PLAT -7.652 0.014 2.5 -0.261 REDWHEAT -115.984 0.005 2.5 -1.539 RICE -56.027 0.010 2.5 -1.363 ROBUSTA 70.779 0.005 2.5 0.827 RUSSELL 135.488 0.013 2.5 4.490 SHATZ -371.374 0.004 2.5 -3.766 SILVER-mini 10.096 0.014 2.5 0.344 SMI 82.111 0.014 2.5 2.801 SOFR 121.047 0.024 2.5 7.357 SOYBEAN -162.752 0.004 2.5 -1.514 SOYMEAL -210.159 0.004 2.5 -1.955 SOYOIL -91.152 0.004 2.5 -0.849 SP400 -0.338 0.013 2.5 -0.011 SP500_micro 49.050 0.009 2.5 1.140 SUGAR11 -50.758 0.009 2.5 -1.079 US10 14.550 0.005 2.5 0.184 US10U 20.606 0.005 2.5 0.261 US2 -16.106 0.005 2.5 -0.204 US20 19.580 0.005 2.5 0.248 US30 2.173 0.005 2.5 0.028 US5 17.414 0.005 2.5 0.221 VIX -272.394 0.099 2.5 -67.238 WHEAT -122.093 0.005 2.5 -1.620 ===================== Position diags ===================== AUD 3.70 BITCOIN 28.81 BOBL 1.78 BTP 2.70 BUND 0.86 BUXL 0.35 CAC 2.30 CAD 5.25 CANOLA 9.56 CHF 1.99 COCOA 0.37 COFFEE 0.34 COPPER 3.37 CORN 3.85 COTTON2 2.01 CRUDE_W 5.40 DAX 10.73 DOW 8.05 DX 3.55 EUR 2.42 EURIBOR-ICE 12.41 EUROSTX 3.41 FEEDCOW 1.86 GASOIL 2.00 GASOLINE 1.55 GAS_US_mini 22.96 GBP 3.57 GOLD_micro 7.40 HEATOIL 1.46 JGB-SGX-mini 35.67 JPY 2.33 LEANHOG 5.76 LIVECOW 3.32 LUMBER-new 3.89 MILK 1.98 MXP 28.31 NASDAQ_micro 3.14 NIKKEI 20.67 NZD 3.54 OAT 2.95 OATIES 3.59 OJ 0.81 PALLAD 0.72 PLAT 2.13 REDWHEAT 1.11 RICE 4.09 ROBUSTA 0.76 RUSSELL 11.75 SHATZ 5.42 SILVER-mini 1.20 SMI 1.90 SOFR 18.92 SOYBEAN 0.78 SOYMEAL 1.07 SOYOIL 0.99 SP400 0.55 SP500_micro 6.98 SUGAR11 3.04 US10 1.62 US10U 1.16 US2 3.37 US20 0.75 US30 0.49 US5 2.57 VIX 33.62 WHEAT 1.14 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.9 1.5 2.3 8.0 8 BITCOIN -12.6 -15.5 -9.7 0.0 0 BOBL -1.3 -1.5 -1.2 -1.0 -1 BTP -0.5 -0.7 -0.2 -3.0 -3 BUND -0.3 -0.4 -0.2 -1.0 -1 BUXL -0.2 -0.3 -0.2 0.0 0 CAC -1.8 -2.1 -1.6 0.0 0 CAD -4.3 -4.8 -3.7 -1.0 -1 CANOLA -11.2 -12.2 -10.3 -2.0 -2 CHF -0.8 -1.0 -0.6 -2.0 -2 COCOA 0.1 0.1 0.2 0.0 0 COFFEE 0.2 0.2 0.3 0.0 0 COPPER -0.5 -0.9 -0.2 0.0 0 CORN -7.7 -8.1 -7.3 -8.0 -8 COTTON2 -2.6 -2.8 -2.4 -5.0 -5 CRUDE_W 4.6 4.1 5.1 4.0 4 DAX -0.0 -1.1 1.1 4.0 4 DOW 2.2 1.4 3.0 10.0 10 DX -1.2 -1.5 -0.8 0.0 0 EUR 1.1 0.8 1.3 0.0 0 EURIBOR-ICE 1.1 -0.1 2.4 0.0 0 EUROSTX -1.6 -2.0 -1.3 -2.0 -2 FEEDCOW -1.2 -1.3 -1.0 0.0 0 GASOIL -0.6 -0.8 -0.4 -1.0 -1 GASOLINE 1.1 0.9 1.2 3.0 3 GAS_US_mini -16.6 -18.9 -14.3 -12.0 -12 GBP 3.7 3.3 4.1 3.0 3 GOLD_micro 3.3 2.5 4.0 0.0 0 HEATOIL -1.4 -1.5 -1.2 -2.0 -2 JGB-SGX-mini -1.9 -5.4 1.7 -1.0 -1 JPY -1.6 -1.8 -1.3 -1.0 -1 LEANHOG -3.2 -3.8 -2.6 -4.0 -4 LIVECOW 3.7 3.4 4.0 6.0 6 LUMBER-new -3.0 -3.4 -2.6 -2.0 -2 MILK 0.1 -0.1 0.3 NaN 0 MXP 1.1 -1.7 4.0 4.0 4 NASDAQ_micro -1.0 -1.3 -0.6 0.0 0 NIKKEI 8.7 6.7 10.8 19.0 19 NZD -0.9 -1.3 -0.6 -1.0 -1 OAT -0.8 -1.1 -0.5 -1.0 -1 OATIES -2.7 -3.1 -2.4 NaN 0 OJ 0.6 0.5 0.6 1.0 1 PALLAD -0.2 -0.2 -0.1 0.0 0 PLAT -0.3 -0.5 -0.0 -1.0 -1 REDWHEAT -1.5 -1.7 -1.4 -2.0 -2 RICE -1.4 -1.8 -1.0 NaN 0 ROBUSTA 0.8 0.8 0.9 1.0 1 RUSSELL 4.5 3.3 5.7 -1.0 -1 SHATZ -3.8 -4.3 -3.2 NaN 0 SILVER-mini 0.3 0.2 0.5 0.0 0 SMI 2.8 2.6 3.0 0.0 0 SOFR 7.4 5.5 9.2 NaN 0 SOYBEAN -1.5 -1.6 -1.4 -5.0 -5 SOYMEAL -2.0 -2.1 -1.8 0.0 0 SOYOIL -0.8 -0.9 -0.7 -2.0 -2 SP400 -0.0 -0.1 0.0 0.0 0 SP500_micro 1.1 0.4 1.8 3.0 3 SUGAR11 -1.1 -1.4 -0.8 0.0 0 US10 0.2 0.0 0.3 0.0 0 US10U 0.3 0.1 0.4 4.0 4 US2 -0.2 -0.5 0.1 NaN 0 US20 0.2 0.2 0.3 0.0 0 US30 0.0 -0.0 0.1 0.0 0 US5 0.2 -0.0 0.5 1.0 1 VIX -67.2 -70.6 -63.9 -58.0 -58 WHEAT -1.6 -1.7 -1.5 -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 0.0 0.0 0.0 -0.2 0.1 -0.0 -0.1 0.1 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 0.2 0.3 0.6 0.2 -0.2 0.3 -0.0 BITCOIN -0.1 -0.6 -0.3 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.2 0.2 0.1 0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.2 0.4 0.0 -2.7 -0.0 0.1 0.1 0.1 0.3 0.0 -0.2 0.5 0.6 0.6 -0.1 -0.6 -0.2 -0.2 -0.0 BOBL 0.1 0.4 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.2 0.1 -0.2 0.0 -0.0 -0.4 -0.2 -0.4 -0.3 0.0 -0.0 0.0 -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 -0.0 -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 0.1 0.1 0.1 -2.7 0.0 0.0 0.1 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 0.3 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.2 0.1 -0.1 0.0 -0.0 0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 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 0.0 -0.0 0.0 0.0 -0.2 0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.4 -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 -0.0 -0.6 -0.6 0.1 -0.0 0.1 0.0 0.2 0.1 -0.1 -0.0 -0.1 0.3 -0.2 -0.1 -0.2 -0.0 -0.1 -0.0 -0.1 -0.1 -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 -0.1 -0.0 0.0 0.0 0.0 -0.2 -0.5 -0.1 -0.6 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.3 -0.0 -0.2 -0.0 -0.2 -0.1 -0.1 -0.2 -0.0 -0.1 -0.5 -0.2 -0.1 -0.1 0.2 -0.2 -0.1 -0.2 CANOLA 0.3 -0.3 0.3 -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 -0.0 0.0 -0.2 -0.0 -2.5 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.1 -0.0 -0.0 -0.3 -0.1 -0.1 -0.4 0.2 -0.1 CHF -0.0 0.4 -0.0 0.0 -0.0 -0.0 0.0 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 0.4 -0.2 0.6 -0.1 0.3 -0.4 -0.0 -0.4 COCOA -0.3 -0.3 -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 0.1 -0.2 0.3 0.4 0.5 0.2 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 0.1 -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 -0.1 0.1 -0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.1 0.2 -0.1 -1.5 -0.0 -0.1 0.0 -0.1 0.1 -0.0 0.3 -0.4 -0.1 -0.1 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 -0.2 -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 -0.0 -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 -0.1 -0.0 -0.2 0.3 0.3 0.1 -0.6 -0.2 -0.3 0.4 -0.0 CRUDE_W 0.0 0.2 -0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 0.4 -0.2 0.6 0.1 0.1 0.3 0.3 0.3 0.3 0.1 0.1 -0.1 0.3 -0.0 -0.6 -0.0 -0.1 -0.0 -0.1 0.1 -0.0 0.4 -0.0 0.2 -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 0.0 0.2 0.1 -0.1 0.3 -0.1 0.6 -0.0 -0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.1 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 0.1 0.0 0.2 0.1 0.0 0.3 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.2 0.3 0.2 -1.8 0.1 0.0 0.1 0.1 0.2 0.1 -0.5 0.5 0.4 -0.3 -0.2 0.5 -0.0 0.4 -0.1 DX -0.5 -0.1 0.0 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.0 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 -0.1 -2.7 -0.0 -0.0 0.1 -0.1 0.2 -0.1 0.9 -0.5 -0.6 -0.2 0.5 -0.2 0.2 -0.3 0.3 EUR 0.5 0.0 0.0 0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.3 0.2 -0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.1 -0.1 0.1 2.7 0.0 0.0 0.0 0.1 -0.0 0.1 -0.4 0.2 0.6 0.1 0.2 0.0 -0.6 -0.1 -0.6 EURIBOR-ICE 0.4 0.3 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -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 0.0 -0.0 0.0 -0.1 0.2 0.1 -0.0 -0.1 -0.7 -0.7 -0.3 0.1 EUROSTX -0.1 -0.6 -0.5 0.1 -0.0 0.1 0.0 0.2 0.1 -0.1 0.3 -0.1 0.6 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.1 0.4 -0.1 -0.3 -0.0 -0.1 0.2 -0.1 0.4 -0.0 0.3 -0.5 -0.6 -0.6 -0.3 -0.1 0.1 -0.5 0.1 FEEDCOW -0.3 -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 -0.2 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -1.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 -1.1 -0.5 -0.1 0.3 0.0 0.1 0.7 0.4 0.7 GASOIL -0.0 0.2 -0.4 -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 -0.2 0.2 -0.1 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 0.1 0.1 -0.3 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.2 0.3 -0.1 0.6 0.1 -0.0 0.4 0.4 0.4 0.4 0.0 0.1 -0.1 0.3 -0.0 -2.7 -0.0 -0.1 -0.0 -0.1 0.2 -0.0 1.1 0.2 0.3 -0.0 -0.2 0.7 0.7 0.7 0.7 GAS_US_mini -0.6 -0.2 0.6 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.1 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.4 -0.2 2.7 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.1 0.2 -0.5 -0.3 0.1 -0.1 -0.3 -0.3 -0.5 GBP 0.5 0.2 0.2 0.0 -0.1 -0.0 0.0 0.0 0.0 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 0.0 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 0.4 -0.3 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 0.1 0.3 0.1 0.1 -0.2 -0.3 -0.2 -0.3 0.1 0.1 0.1 0.3 0.1 -0.5 0.0 -0.0 0.1 0.0 0.2 0.0 -0.7 0.5 0.6 0.5 0.6 0.2 -0.2 0.4 0.0 HEATOIL -0.0 0.2 -0.3 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.2 -0.1 -0.2 0.2 0.1 -0.0 -0.1 0.2 -0.1 0.0 -0.0 -0.0 -0.2 0.1 -0.1 -2.7 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 -0.3 -0.3 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 -0.2 -0.4 -0.3 -0.4 -0.1 -0.1 0.1 0.6 JPY 0.5 0.0 0.2 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 -0.0 -0.3 -0.6 -0.7 -0.4 -0.7 -0.4 LEANHOG 0.2 -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 -0.0 0.2 -0.2 -0.5 -0.6 -0.3 -0.3 -0.1 0.1 LIVECOW -0.1 0.5 0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.5 -0.1 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 1.0 -0.4 0.6 0.6 0.6 0.1 0.7 0.2 0.7 LUMBER-new 0.3 -0.1 -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 -0.0 NaN -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.2 0.3 0.3 -0.1 -0.7 -0.0 -0.2 0.2 -0.1 MILK -0.2 0.2 0.6 -0.0 -0.0 -0.1 -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 0.3 -0.0 0.6 0.6 -0.2 -0.7 -0.1 -0.7 MXP 0.5 -0.5 -0.6 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 -0.1 0.0 0.1 -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 0.2 -0.6 -0.4 0.5 0.5 0.7 0.7 NASDAQ_micro -0.4 0.4 0.1 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.4 -0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.1 0.5 0.1 -2.7 0.0 -0.1 0.1 -0.0 0.2 0.0 -0.4 -0.5 -0.6 0.4 0.4 0.0 0.2 -0.3 0.2 NIKKEI 0.5 0.1 -0.2 0.1 -0.0 0.2 0.0 0.2 0.1 -0.1 0.4 0.0 0.6 0.1 0.1 0.3 0.2 0.2 0.2 0.2 0.2 -0.1 0.5 0.1 -2.6 0.1 -0.1 0.2 -0.0 0.3 0.0 1.1 -0.5 0.5 0.2 -0.2 0.2 -0.2 -0.2 -0.3 NZD -0.3 -0.0 0.2 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.2 -0.0 -0.2 -0.0 -0.1 0.1 -0.0 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 -0.1 0.3 -0.5 -0.6 -0.1 0.3 0.3 -0.2 0.3 0.0 OAT 0.4 -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 -0.0 -0.0 0.1 0.0 0.0 -0.0 -0.1 0.1 -0.1 0.0 0.3 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.6 0.0 0.1 -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 0.1 -0.2 0.0 -0.3 -0.1 -0.1 -0.0 0.0 0.0 0.0 -0.1 -0.1 0.0 -0.2 -0.1 -2.7 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.1 -0.4 -0.1 0.1 -0.0 0.4 0.4 OJ -0.1 -0.3 -0.1 -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 0.9 0.2 0.3 0.2 0.6 0.4 0.3 0.7 0.7 PALLAD 0.3 0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.0 1.9 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.3 -0.3 0.5 0.4 -0.1 -0.7 -0.7 -0.7 -0.7 PLAT -0.1 -0.3 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 -0.1 0.1 -0.0 1.0 -0.0 -0.1 0.0 -0.1 0.0 -0.0 0.1 -0.2 0.2 0.2 0.3 -0.6 -0.3 -0.2 0.1 REDWHEAT -0.4 -0.6 0.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.7 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.6 -0.2 -0.3 -0.6 0.2 -0.5 -0.7 -0.3 -0.6 RICE -0.6 -0.6 0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 0.3 -0.2 0.5 -0.2 0.1 0.4 0.4 0.4 0.4 -0.1 0.0 -0.2 0.3 -0.2 -1.7 -0.0 -0.1 0.0 -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 0.0 0.0 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 0.0 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 0.0 -0.2 0.1 -0.3 0.0 0.0 -0.4 -0.4 -0.4 -0.4 0.0 -0.0 0.0 -0.2 0.0 0.9 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 0.1 -0.1 0.1 -0.1 -0.7 -0.5 -0.6 -0.4 SILVER-mini 0.0 -0.2 0.4 -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 -0.1 0.2 0.0 0.3 -0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.1 -0.1 0.2 0.2 0.5 -0.0 -0.3 0.2 0.2 SMI -0.1 0.1 0.5 0.1 -0.0 0.2 0.0 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 0.0 0.3 0.1 0.6 0.3 -0.4 -0.1 0.5 0.2 0.1 -0.0 0.0 SOFR 0.2 0.6 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 0.1 0.0 0.1 -0.1 0.1 -0.5 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 -0.1 -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 0.2 -0.5 -0.6 -0.6 -0.3 -0.4 -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 0.1 0.1 0.1 0.1 -0.2 -0.1 -0.2 -0.3 -0.2 -2.7 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 0.5 -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 -0.1 -0.2 -0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.5 0.1 0.2 -0.2 -0.4 -0.5 -0.1 -0.1 SP400 0.4 -0.2 -0.3 0.1 -0.0 0.1 0.0 0.2 0.0 0.0 0.3 0.1 0.4 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.1 -1.5 0.0 0.0 0.1 0.1 0.1 0.1 0.0 0.5 0.3 -0.2 -0.2 0.2 -0.3 0.1 -0.7 SP500_micro -0.1 0.4 0.3 0.1 -0.0 0.2 0.0 0.2 0.1 -0.2 0.5 0.0 0.7 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 -0.0 0.5 0.2 -2.7 0.1 -0.1 0.2 -0.0 0.3 0.1 -0.6 -0.5 -0.4 0.6 0.5 0.3 0.1 -0.0 0.1 SUGAR11 0.1 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 -0.1 -0.2 -0.0 0.5 -0.5 0.5 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 0.0 -0.0 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.1 0.1 0.3 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.4 -0.1 -0.1 0.1 0.1 0.1 -0.6 0.4 0.1 US10U 0.1 0.4 0.2 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 -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 0.2 -0.5 0.7 0.4 US2 0.6 0.6 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.2 0.1 -0.3 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.1 -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 0.1 -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 -0.1 -0.2 0.1 0.1 0.1 -0.3 0.7 0.6 US30 -0.1 0.3 0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 0.1 0.1 -0.1 -0.1 -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 -0.3 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 0.0 -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 0.0 0.1 0.1 0.1 -0.7 0.4 -0.1 VIX 0.1 0.1 -0.7 -0.1 0.1 -0.5 0.0 -0.7 -0.1 0.3 -0.9 -0.1 -1.2 -0.2 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 0.1 -0.9 -0.1 NaN -0.2 0.1 -0.5 0.0 -0.9 -0.1 NaN NaN NaN NaN NaN -0.8 -1.1 NaN NaN WHEAT -0.4 -0.6 0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -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 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.3 -0.4 -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 6.5 6.0 8.9 0.6 -5.3 -0.9 3.3 0.6 3.7 -20.0 4.1 -0.0 -2.0 11.9 19.3 -2.2 -2.7 -2.4 -2.5 11.8 8.6 -3.4 1.4 8.6 3.9 6.7 -12.4 5.2 -2.6 1.9 4.7 -0.0 -20.0 7.2 9.6 19.9 6.8 -5.8 8.2 -1.4 BITCOIN -2.6 -20.0 -10.2 -5.2 -5.9 -2.3 -5.4 -0.3 -6.0 17.2 6.3 13.3 12.2 -5.3 -8.7 -6.2 -7.3 -7.0 -7.3 -5.5 4.1 18.1 15.2 0.4 -20.0 -1.9 11.1 3.4 7.0 9.4 0.0 -3.3 20.0 17.6 20.0 -3.5 -19.1 -6.6 -4.5 -0.5 BOBL 1.7 11.2 -4.6 1.8 0.6 0.3 2.8 -1.1 2.9 5.2 -6.8 6.0 -6.3 4.3 -0.7 -20.0 -12.2 -20.0 -14.8 0.3 -3.3 5.3 -5.7 3.7 4.1 0.5 1.9 -1.1 3.1 -2.0 2.2 -17.0 1.7 -3.6 -3.1 -2.7 -20.0 -16.5 -10.3 -11.7 BTP 12.7 -1.4 -5.8 3.0 1.0 0.5 4.7 -1.8 4.8 8.8 2.8 14.1 9.4 10.9 1.9 1.0 4.3 1.6 2.7 4.1 2.4 14.1 4.7 11.3 -20.0 2.5 2.7 1.9 7.7 3.2 6.2 11.8 7.7 10.6 -10.1 0.2 -18.6 -15.0 -3.8 2.5 BUND 0.6 7.7 -3.2 1.9 0.6 0.3 3.0 -1.1 3.0 5.2 -6.1 6.7 -3.2 4.0 -0.2 5.2 0.3 1.5 -0.4 0.6 -1.9 5.2 -3.7 3.5 1.0 0.8 1.6 -0.2 3.3 -0.8 2.3 5.2 1.3 -4.3 -4.7 -0.5 -20.0 -20.0 -9.3 -12.6 BUXL -1.7 3.6 -3.1 2.2 0.7 0.4 3.4 -1.3 3.5 3.9 -7.1 5.0 -2.8 -0.4 -3.8 -0.8 -2.7 -2.6 -3.3 -1.4 -3.0 3.8 -4.7 1.6 -2.8 -0.1 0.4 -0.4 2.6 -0.7 1.3 0.5 -2.1 -8.3 -8.9 -0.7 -20.0 -20.0 -14.9 -11.3 CAC -1.2 -20.0 -20.0 5.5 -3.7 5.5 2.4 5.5 5.3 -11.1 -0.2 -6.8 9.4 -14.0 -13.2 -8.8 -1.1 -4.8 -1.8 -13.6 -4.9 -8.6 6.3 -12.3 -9.1 -4.4 -3.1 -0.9 -2.6 3.0 -4.1 8.9 -20.0 -20.0 -20.0 -20.0 3.5 6.4 -0.1 9.1 CAD 3.1 1.9 -2.6 0.7 -5.7 -1.0 3.6 0.6 4.0 -20.0 -17.4 -8.3 -16.2 -0.5 -6.1 -4.4 -3.0 -4.0 -3.5 -2.8 -6.9 -11.0 -10.0 -3.1 -1.1 -2.4 -18.0 -4.8 -10.5 -6.7 -3.3 -1.0 -20.0 -6.7 -3.8 -4.4 5.9 -6.6 -2.9 -4.7 CANOLA 9.2 -10.8 10.6 -2.3 -0.8 -1.4 -1.2 -0.8 -2.1 5.0 -4.8 2.0 -7.0 -3.3 -3.4 -13.9 -10.4 -14.8 -14.1 -3.7 -4.5 3.4 -6.9 -1.6 -19.0 -2.5 2.9 -2.3 0.4 -2.8 -1.9 -20.0 -0.2 -0.3 -9.3 -3.1 -1.9 -13.4 6.9 -3.9 CHF -0.1 12.6 -1.1 0.5 -4.7 -0.8 2.9 0.5 3.3 6.1 -15.2 6.1 -14.4 4.6 0.5 -17.8 -16.7 -17.5 -17.0 0.1 -8.2 11.8 -11.1 6.2 5.9 1.1 8.3 -3.1 8.1 -4.5 4.6 -20.0 17.7 -6.6 17.7 -3.9 8.7 -12.3 -1.1 -12.1 COCOA -9.0 -8.8 -13.2 -1.7 -0.6 -1.0 -0.9 -0.6 -1.6 -2.8 2.4 -1.4 3.8 -3.1 -2.3 20.0 16.1 19.4 19.4 -0.4 4.4 -1.8 7.8 -2.0 -18.1 0.8 -0.8 4.5 -0.5 7.9 -0.5 20.0 5.2 -5.2 8.3 12.7 13.9 4.6 17.8 9.0 COFFEE 5.6 4.9 7.7 -4.2 -1.4 -2.5 -2.2 -1.5 -3.9 -2.5 13.7 6.8 12.7 10.7 13.4 3.2 6.8 4.7 6.3 16.9 17.8 6.4 15.2 13.8 -20.0 5.3 -2.4 7.4 1.4 7.8 3.7 10.3 20.0 20.0 20.0 20.0 0.7 -10.7 9.5 -3.1 COPPER -2.8 -14.5 5.3 -2.6 -3.0 -1.1 -2.7 -0.1 -3.0 -9.4 2.6 -6.4 3.6 -7.6 -1.8 0.5 -2.4 0.3 -1.0 -1.2 5.1 -13.0 7.1 -6.6 -11.3 -1.2 -6.5 1.6 -4.8 2.7 -3.4 6.1 -18.4 -2.7 -1.6 17.2 5.1 1.2 14.4 10.0 CORN -18.9 -20.0 1.9 -2.9 -1.0 -1.7 -1.5 -1.0 -2.7 -7.0 -9.7 -10.1 -11.1 -11.1 -10.6 -15.6 -13.0 -16.9 -16.5 -17.7 -12.9 -10.8 -11.2 -17.7 -8.8 -3.7 -1.2 -2.6 -2.4 -2.2 -3.9 -20.0 -10.3 -20.0 -17.6 -6.6 -18.2 -14.2 -16.6 -2.1 COTTON2 0.2 -9.2 -20.0 -3.8 -1.3 -2.3 -2.0 -1.3 -3.5 -4.9 -14.9 -9.8 -11.8 -12.6 -15.2 -10.8 -0.2 -5.7 -2.2 -15.7 -18.5 -3.9 -13.7 -8.2 -20.0 -4.2 -1.8 -4.3 -0.4 -1.5 -1.5 -3.2 10.9 9.3 4.3 -20.0 -4.5 -9.1 11.0 -0.7 CRUDE_W 0.2 5.8 -6.5 -1.4 -13.7 0.4 -10.1 2.9 -4.6 -19.8 13.7 -15.9 16.9 12.8 12.3 15.8 12.7 14.5 13.6 6.8 8.7 -13.6 11.8 -0.0 -4.2 -2.0 -14.2 -0.7 -7.7 3.5 -2.9 7.7 -1.0 6.0 -5.0 -3.1 20.0 20.0 20.0 20.0 DAX 3.5 -17.9 -8.5 5.8 -3.9 5.8 2.5 5.8 5.5 -13.9 11.9 -6.0 15.6 -4.1 -3.5 -9.2 -11.1 -10.1 -10.9 0.7 8.2 -6.9 15.7 -1.5 11.5 0.9 -11.9 7.0 -4.1 12.1 -1.1 -8.2 -20.0 -20.0 -20.0 -6.2 6.3 4.7 -4.8 7.1 DOW 15.5 3.7 -7.6 5.5 -3.7 5.5 2.4 5.5 5.3 3.0 12.8 9.9 14.7 11.3 8.4 -11.4 -11.4 -11.6 -11.6 12.4 9.8 20.0 12.6 19.6 -13.2 4.8 2.6 4.1 8.1 5.4 7.4 -8.9 20.0 11.4 -8.6 -6.6 13.9 -1.5 10.7 -4.2 DX -15.0 -3.5 1.2 0.6 -5.1 -0.9 3.2 0.6 3.5 -4.1 15.4 -15.7 16.2 -10.6 -1.1 7.2 7.0 7.3 7.2 -2.6 6.0 -16.8 9.6 -13.3 -20.0 -1.8 -2.8 2.7 -9.4 4.7 -7.5 16.7 -20.0 -20.0 -4.8 16.2 -7.4 6.7 -7.8 10.2 EUR 14.8 1.1 0.5 0.6 -5.3 -0.9 3.4 0.6 3.7 2.9 -10.1 17.5 -11.1 13.7 7.6 -7.5 -7.2 -7.5 -7.2 5.2 -1.7 14.8 -4.8 13.8 20.0 3.7 1.3 0.7 8.6 -0.5 8.1 -7.8 10.1 20.0 2.4 5.2 0.1 -19.2 -2.5 -16.6 EURIBOR-ICE 10.9 10.2 -8.9 1.6 0.5 0.3 2.5 -0.9 2.6 5.3 -4.3 7.2 -0.1 6.9 0.4 -3.5 -4.8 -4.8 -4.6 2.4 -0.9 8.9 -1.3 7.0 11.7 1.2 2.6 -0.2 4.3 -0.2 3.3 -2.2 6.6 3.9 -0.7 -3.8 -20.0 -20.0 -8.4 2.6 EUROSTX -2.0 -18.6 -15.1 5.5 -3.7 5.5 2.4 5.5 5.3 -16.0 12.8 -11.9 15.7 -7.3 -5.4 -4.9 -2.6 -5.6 -4.2 -2.0 6.9 -14.3 15.4 -6.9 -2.1 -0.6 -14.6 6.3 -8.3 12.2 -4.1 5.4 -20.0 -20.0 -20.0 -8.6 -4.2 2.0 -15.7 1.9 FEEDCOW -9.0 -0.1 -1.0 -5.8 -1.9 -3.5 -3.0 -2.0 -5.3 -14.9 6.0 -12.0 -3.5 -11.7 1.0 -1.5 -20.0 -12.1 -20.0 -4.3 -2.8 -12.8 -0.9 -8.9 -8.3 -2.9 -9.9 -2.0 -5.5 1.3 -3.9 -20.0 -20.0 -2.5 9.8 0.5 2.9 20.0 10.6 20.0 GASOIL -0.8 5.7 -11.4 -1.3 -12.4 0.4 -9.1 2.6 -4.2 -19.9 4.1 -20.0 13.3 5.0 -1.7 -1.8 11.4 0.1 5.0 -0.4 1.1 -18.2 7.7 -5.9 5.7 -0.5 -13.8 -0.0 -9.4 2.8 -3.1 0.1 -3.3 1.5 7.1 -5.1 -20.0 -14.0 -20.0 -20.0 GASOLINE 3.4 2.7 -8.9 -1.3 -13.1 0.4 -9.6 2.7 -4.4 -17.7 9.8 -13.1 15.3 11.9 -0.2 20.0 20.0 20.0 20.0 2.5 5.0 -10.0 11.5 -0.5 -20.0 -1.6 -10.4 -0.3 -5.7 4.4 -1.9 20.0 8.3 9.7 -1.2 -5.6 20.0 20.0 20.0 20.0 GAS_US_mini -20.0 -6.4 20.0 -0.7 -6.5 0.2 -4.8 1.3 -2.2 -6.4 -9.4 -11.1 -10.7 -11.5 -8.4 -6.1 -20.0 -19.0 -20.0 -9.4 -6.8 -14.1 -13.2 -15.2 20.0 -2.1 -2.6 -1.7 -4.5 -3.4 -4.2 -20.0 8.6 -16.0 -8.1 3.8 -2.6 -8.1 -8.4 -16.0 GBP 13.9 6.5 5.1 0.7 -5.7 -1.0 3.5 0.6 4.0 6.0 17.4 18.6 7.6 20.0 20.0 -0.7 -0.8 -0.8 -0.8 17.9 11.3 20.0 7.7 20.0 0.4 7.6 0.7 5.4 8.7 3.8 10.0 3.2 20.0 20.0 20.0 20.0 2.9 -20.0 1.3 -12.1 GOLD_micro 12.4 -8.2 2.6 -3.1 -3.5 -1.4 -3.2 -0.2 -3.6 -0.6 9.1 7.1 9.7 5.2 6.8 -11.5 -13.5 -11.8 -12.5 8.0 9.9 8.1 11.0 9.5 -3.9 1.3 -1.9 3.9 2.4 5.8 1.9 -13.1 20.0 20.0 16.9 17.7 5.5 -6.2 13.4 0.2 HEATOIL -0.2 7.7 -10.2 -1.3 -12.9 0.4 -9.5 2.7 -4.4 -20.0 -2.1 -19.6 6.9 5.6 -2.1 -6.8 9.5 -5.0 1.2 -1.5 -1.8 -18.7 2.8 -6.4 -20.0 -3.7 -12.1 -3.5 -8.1 0.6 -4.1 -4.7 -11.8 0.5 -6.1 -17.0 0.8 7.1 -8.2 2.7 JGB-SGX-mini -2.0 5.0 -14.2 1.7 0.5 0.3 2.7 -1.0 2.7 0.7 -5.5 1.2 -1.8 -1.6 -5.1 20.0 18.8 20.0 19.5 -3.8 -5.1 1.2 -3.2 -0.7 -8.9 -1.9 -0.5 -2.8 0.6 -2.5 -0.3 20.0 -6.5 -11.2 -8.7 -12.3 -3.5 -4.3 2.9 17.5 JPY 14.5 0.3 4.7 0.3 -2.7 -0.5 1.7 0.3 1.9 5.8 -12.1 6.0 -12.7 -3.0 -9.1 -14.9 -16.2 -15.4 -15.7 -8.6 -14.2 7.5 -17.9 0.1 20.0 -3.1 3.0 -5.1 3.4 -6.1 0.4 -20.0 18.0 -1.4 -9.2 -19.4 -20.0 -13.3 -20.0 -12.5 LEANHOG 5.8 -20.0 -20.0 -3.4 -1.1 -2.0 -1.8 -1.2 -3.1 11.8 -9.6 3.1 -7.0 -7.9 -11.9 20.0 -7.6 20.0 19.9 -19.7 -16.0 3.4 -9.8 -11.5 3.9 -4.3 3.3 -3.3 0.9 -1.7 -2.3 -0.3 9.2 -5.6 -15.1 -20.0 -7.6 -9.4 -2.8 3.4 LIVECOW -2.1 15.2 11.2 -6.0 -2.0 -3.6 -3.1 -2.1 -5.5 -16.6 18.5 -8.1 7.7 12.4 18.2 -1.5 9.6 11.8 13.5 20.0 17.6 -2.4 11.4 11.3 -11.6 6.9 -4.1 6.8 -1.3 6.2 3.2 18.8 -16.9 20.0 20.0 20.0 1.7 20.0 6.6 20.0 LUMBER-new 7.4 -3.0 -19.1 -2.3 -0.8 -1.3 -1.2 -0.7 -2.1 7.3 -7.9 3.1 -7.6 -5.4 -8.1 -14.1 -17.2 -16.3 -17.1 -8.8 -9.5 3.3 -6.9 -3.6 NaN -2.7 3.3 -3.5 1.6 -2.6 -0.4 -20.0 11.2 6.8 -1.6 -20.0 -0.3 -6.4 5.7 -3.1 MILK -7.3 4.7 20.0 -3.4 -1.1 -2.0 -1.7 -1.2 -3.1 5.4 8.0 0.7 -2.4 -2.0 8.8 -20.0 -20.0 -20.0 -20.0 8.7 9.8 1.9 0.5 2.6 14.6 2.7 1.2 3.3 0.2 -0.2 0.2 -20.0 10.6 -0.1 20.0 20.0 -7.3 -20.0 -3.4 -20.0 MXP 14.1 -16.5 -20.0 0.3 -2.5 -0.4 1.6 0.3 1.7 -6.7 -2.3 4.0 4.1 -1.7 -3.6 10.2 15.3 12.0 13.6 -4.3 -4.1 1.1 2.0 1.1 -20.0 -1.9 -2.3 -1.5 0.0 0.7 -0.3 20.0 0.8 6.6 -20.0 -10.9 16.2 13.7 20.0 20.0 NASDAQ_micro -12.1 11.2 3.8 4.5 -3.0 4.5 1.9 4.5 4.3 -13.0 14.0 -6.2 14.9 6.8 12.3 -11.5 -10.9 -11.6 -11.4 17.5 20.0 -12.1 20.0 6.4 -20.0 4.4 -6.8 5.1 -3.3 5.6 1.4 -8.2 -20.0 -20.0 13.7 12.2 0.1 5.3 -7.6 4.8 NIKKEI 14.3 3.4 -6.9 5.7 -3.8 5.7 2.5 5.7 5.5 -16.2 14.9 0.3 16.6 8.0 9.5 14.7 10.3 11.8 10.2 16.5 17.7 -6.9 20.0 12.6 -19.4 5.3 -9.0 5.6 -1.3 7.4 4.4 20.0 -20.0 14.3 6.7 -4.9 4.8 -5.2 -5.5 -10.0 NZD -8.5 -1.0 5.1 0.5 -4.4 -0.8 2.7 0.5 3.1 -17.0 -0.8 -15.6 -1.2 -13.6 5.9 -0.0 0.2 0.0 0.1 -1.2 1.2 -14.2 -0.6 -7.7 0.4 -1.2 -14.5 0.9 -10.3 0.4 -5.8 4.8 -20.0 -20.0 -4.0 7.8 8.1 -5.3 8.9 0.7 OAT 10.8 -1.9 -9.1 2.1 0.7 0.4 3.3 -1.2 3.3 6.0 -7.7 9.3 -3.3 3.4 -4.6 -0.7 4.1 0.5 2.2 -2.3 -4.9 7.0 -4.8 3.7 1.9 -1.0 1.5 -1.9 4.0 -1.4 2.1 11.2 1.3 1.9 -13.1 -5.5 -20.0 -18.9 -8.3 -3.2 OATIES 0.1 -20.0 2.0 -2.2 -0.7 -1.3 -1.1 -0.8 -2.0 6.9 -6.8 3.6 -7.5 -7.2 -7.5 -0.7 0.5 0.1 1.4 -10.5 -8.7 1.0 -6.5 -6.8 -20.0 -2.3 1.5 -1.5 -0.1 -1.0 -1.9 0.3 6.1 -2.2 -11.7 -2.6 2.6 -1.2 12.4 10.6 OJ -3.7 -7.8 -3.7 -3.4 -1.1 -2.0 -1.7 -1.2 -3.1 -9.7 9.6 -0.2 11.4 1.1 7.6 9.2 12.3 9.5 9.9 10.9 14.7 -1.7 17.3 5.2 -20.0 3.0 -2.8 5.1 -1.2 7.8 0.7 17.6 7.9 10.0 7.0 20.0 10.6 10.2 20.0 20.0 PALLAD 8.9 2.7 3.5 -2.4 -2.7 -1.0 -2.5 -0.1 -2.8 -8.5 -5.9 -5.9 -8.2 -1.8 -4.0 -1.3 -2.1 -1.7 -1.9 -1.6 -3.6 -7.7 -8.4 -2.6 14.3 -1.8 -6.2 -2.3 -3.8 -3.3 -1.8 5.9 -11.0 14.1 11.0 -2.4 -20.0 -20.0 -20.0 -19.8 PLAT -2.3 -7.9 8.7 -3.4 -3.8 -1.5 -3.5 -0.2 -3.9 -11.6 1.3 -8.6 -3.3 -6.8 -1.4 -5.1 -4.3 -5.1 -4.8 0.5 3.0 -8.1 2.0 -3.2 7.7 -2.4 -7.1 0.0 -5.1 0.9 -4.1 1.6 -9.1 5.7 6.0 9.7 -19.2 -9.0 -5.9 2.7 REDWHEAT -10.9 -20.0 16.4 -3.1 -1.0 -1.9 -1.6 -1.1 -2.9 0.4 -6.6 -6.0 -9.5 -11.6 -10.2 -10.4 -4.3 -9.5 -7.0 -13.8 -7.7 -7.8 -8.0 -15.1 -5.0 -3.1 0.4 -1.6 -1.9 -1.4 -3.6 -10.7 -7.7 -10.5 -20.0 7.1 -15.4 -20.0 -9.6 -17.7 RICE -20.0 -17.1 10.0 -5.1 -1.7 -3.0 -2.6 -1.8 -4.7 -17.9 11.3 -19.3 14.9 -18.6 8.1 20.0 20.0 20.0 20.0 -11.8 3.9 -20.0 12.7 -20.0 -12.4 -2.2 -11.6 1.6 -9.7 3.1 -6.8 20.0 -6.4 -20.0 8.6 18.9 -18.2 -8.7 -18.7 -6.8 ROBUSTA 9.6 6.6 -2.6 -2.7 -0.9 -1.6 -1.4 -0.9 -2.5 3.1 10.0 7.5 10.0 8.8 9.4 20.0 20.0 20.0 20.0 16.6 18.5 10.9 19.3 15.5 -20.0 3.9 0.6 5.2 2.7 6.3 3.6 20.0 20.0 20.0 20.0 20.0 3.6 -6.2 10.6 3.8 RUSSELL 20.0 0.7 -2.3 4.3 -2.9 4.3 1.9 4.3 4.1 5.3 8.6 8.6 9.8 6.8 5.0 -7.0 -6.9 -7.2 -7.0 9.5 5.5 20.0 4.7 18.0 -1.0 3.8 3.1 2.3 6.6 1.9 6.1 -0.9 20.0 20.0 1.5 -1.9 3.5 -20.0 1.2 -20.0 SHATZ 2.4 20.0 0.6 1.6 0.5 0.3 2.5 -0.9 2.5 5.2 -6.4 5.5 -7.4 4.5 1.0 -20.0 -20.0 -20.0 -20.0 1.1 -4.1 5.3 -8.7 4.3 6.9 0.7 1.6 -1.4 2.5 -2.8 2.1 -20.0 3.0 -2.5 1.6 -4.2 -20.0 -14.8 -16.6 -11.3 SILVER-mini 1.1 -6.8 10.9 -2.8 -3.2 -1.2 -2.9 -0.2 -3.3 -9.6 7.3 -1.6 6.8 -1.6 5.6 -5.7 -6.5 -5.9 -6.2 5.4 8.7 -5.8 8.1 0.8 2.4 -0.2 -6.8 2.7 -3.6 3.8 -2.1 -1.6 -5.1 6.1 7.6 16.6 -0.4 -7.5 6.2 4.8 SMI -1.6 2.2 15.0 6.4 -4.3 6.4 2.8 6.4 6.1 0.7 19.4 7.4 18.6 12.8 17.7 -4.0 1.0 -3.3 -1.2 20.0 20.0 9.5 20.0 14.8 15.9 7.3 -1.6 9.5 3.9 9.0 5.7 11.1 14.1 -12.6 -3.0 15.2 5.7 2.4 -1.3 0.2 SOFR 7.3 17.8 5.2 2.2 0.7 0.4 3.5 -1.3 3.6 1.5 -0.2 9.4 -2.6 11.1 9.3 -1.3 -1.3 -2.2 -1.9 8.5 2.9 7.2 -2.2 10.5 -3.4 3.5 -0.9 2.1 1.8 0.5 3.3 3.0 -4.1 -0.5 6.3 4.9 7.4 -14.5 20.0 3.0 SOYBEAN -15.3 -20.0 -3.4 -3.1 -1.0 -1.9 -1.6 -1.1 -2.9 -10.8 -11.1 -11.8 -7.9 -12.4 -11.8 -2.6 5.8 -1.4 1.0 -19.5 -13.7 -19.8 -9.8 -20.0 -20.0 -4.1 -2.8 -2.6 -4.1 -1.6 -4.9 4.4 -20.0 -20.0 -20.0 -8.3 -12.9 -20.0 -6.5 -20.0 SOYMEAL -20.0 -20.0 3.9 -3.2 -1.1 -1.9 -1.7 -1.1 -3.0 -10.4 -11.6 -11.7 -10.3 -12.9 -11.9 7.1 7.3 7.5 5.7 -19.4 -13.3 -17.6 -10.2 -20.0 -20.0 -3.6 -2.5 -1.9 -3.9 -1.1 -4.9 9.1 -20.0 -20.0 -15.8 4.7 -20.0 -20.0 -20.0 -20.0 SOYOIL 14.0 7.6 3.3 -2.3 -0.8 -1.4 -1.2 -0.8 -2.2 -8.2 -5.9 -4.0 -8.1 -2.5 -3.4 6.1 0.6 1.8 -0.5 -1.0 -3.8 -6.1 -6.4 -1.6 -20.0 -1.3 -3.7 -2.1 -2.8 -2.5 -1.3 -1.9 -20.0 4.3 6.1 -5.5 -13.3 -14.5 -1.8 -1.8 SP400 12.3 -6.9 -8.0 4.6 -3.1 4.6 2.0 4.6 4.5 3.1 9.3 6.4 11.3 4.0 1.6 -4.7 -5.8 -5.8 -5.9 5.5 5.8 13.8 8.5 11.4 -11.5 3.9 1.7 3.4 6.3 4.0 6.0 0.9 20.0 8.8 -7.0 -5.0 4.9 -9.4 3.6 -20.0 SP500_micro -3.0 13.5 9.8 6.8 -4.6 6.8 3.0 6.8 6.6 -18.2 20.0 2.1 20.0 16.7 20.0 -15.2 -12.9 -14.6 -13.7 20.0 20.0 -1.7 20.0 20.0 -20.0 8.1 -7.7 9.0 -0.8 9.4 5.1 -11.8 -19.3 -12.2 18.6 16.8 9.6 1.9 -0.2 1.8 SUGAR11 3.9 18.7 -10.0 -4.2 -1.4 -2.5 -2.2 -1.5 -3.9 -14.5 -11.9 -10.8 -9.7 1.2 -6.6 -4.5 9.0 -1.2 3.4 -2.6 -9.5 -15.0 -9.6 -4.1 -20.0 -0.8 -10.3 -4.3 -5.3 -4.3 -0.7 9.9 -20.0 15.0 20.0 -12.9 3.2 20.0 8.6 20.0 US10 5.7 15.4 5.6 1.9 0.6 0.3 3.0 -1.1 3.0 0.6 -1.6 7.6 -5.1 9.0 6.8 -7.0 -7.3 -7.0 -7.0 5.3 0.8 5.1 -4.6 7.0 2.6 2.8 -0.8 1.6 1.5 -0.3 2.6 -6.7 -4.5 -2.3 3.1 3.0 4.1 -18.7 13.2 2.7 US10U 2.4 13.9 6.3 2.5 0.8 0.4 4.0 -1.5 4.0 0.7 -2.9 9.8 -6.5 11.3 8.6 -4.6 -2.8 -4.8 -4.0 5.4 0.4 5.2 -6.2 7.2 0.2 3.4 -1.2 2.1 1.5 -0.4 2.9 0.0 -7.0 -5.9 2.3 3.8 4.5 -15.2 19.7 11.3 US2 17.6 20.0 -0.3 2.0 0.7 0.3 3.2 -1.2 3.2 2.5 -6.3 8.0 -9.7 9.8 3.9 -20.0 -20.0 -20.0 -20.0 6.1 -3.1 9.7 -11.7 11.7 15.5 2.3 -0.4 -0.3 3.0 -2.6 3.8 -20.0 0.7 4.9 2.8 -2.8 1.5 -20.0 5.2 -11.8 US20 -2.2 11.1 6.8 1.7 0.5 0.3 2.7 -1.0 2.7 -0.3 -0.7 5.8 -2.2 6.5 5.8 -0.8 -0.8 -0.8 -0.7 3.0 0.9 2.4 -2.9 3.4 -1.2 2.3 -0.8 2.0 0.6 0.5 1.5 4.5 -5.0 -6.1 1.8 4.4 3.1 -9.8 20.0 17.9 US30 -3.9 10.0 7.0 1.9 0.6 0.3 3.0 -1.1 3.0 -1.5 -2.0 4.4 -3.6 5.2 4.8 -4.1 -5.1 -4.7 -5.0 2.2 0.1 1.6 -3.9 2.5 -0.7 2.3 -1.1 2.0 0.3 0.2 1.3 -3.0 -7.0 -8.2 0.4 3.7 -0.1 -9.3 12.2 19.0 US5 10.3 18.1 4.0 2.1 0.7 0.3 3.3 -1.2 3.3 2.1 -3.4 8.7 -7.7 10.2 6.8 -11.0 -10.3 -10.6 -10.3 6.6 0.2 7.5 -6.3 9.7 6.6 3.0 -0.6 1.2 2.2 -0.8 3.4 -12.0 -2.5 0.8 4.0 1.7 4.3 -19.6 10.7 -4.5 VIX 1.5 1.0 -14.4 -8.2 6.7 -10.5 1.5 -12.7 -4.1 20.0 -20.0 -4.1 -20.0 -14.4 -20.0 -20.0 -20.0 -20.0 -20.0 -18.8 -20.0 4.6 -20.0 -7.5 NaN -9.7 7.3 -12.4 1.7 -15.0 -4.7 NaN NaN NaN NaN NaN -14.8 -20.0 NaN NaN WHEAT -11.4 -20.0 15.4 -2.4 -0.8 -1.4 -1.2 -0.8 -2.2 -3.6 -4.5 -6.7 -6.5 -8.9 -7.7 -15.1 -14.4 -15.7 -15.4 -11.2 -5.7 -9.1 -5.1 -13.2 0.8 -2.4 -0.6 -1.0 -2.1 -0.7 -3.0 -20.0 -13.0 -11.6 -17.9 6.0 -14.6 -20.0 -12.1 -20.0 End of report for caleb_strategy_v3