******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240723_203931 produced at 2024-07-23 21:38:02.279886 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.33 -0.35 0.0 999.00 -999.00 -0.33 -0.33 -62.35 999999999.0 -58 -58 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.13 0.0 0.00 0.00 0.00 0.00 -3.65 24.0 0 0 caleb_strategy_v3 CAD False False 0.02 -0.02 -0.13 0.0 0.67 -0.67 -0.02 -0.05 -5.77 29.0 -1 -2 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.03 -0.09 0.0 0.47 -0.47 -0.03 -0.03 -3.15 16.0 -1 -1 caleb_strategy_v3 BOBL False False 0.04 -0.04 -0.06 0.0 0.77 -0.77 -0.04 -0.04 -1.40 19.0 -1 -1 caleb_strategy_v3 HEATOIL False False 0.03 -0.07 -0.05 0.0 0.10 -0.10 -0.07 -0.07 -1.52 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 -1.70 12.0 0 0 caleb_strategy_v3 DX False False 0.03 0.00 -0.04 0.0 999.00 -999.00 0.00 0.00 -1.33 999999999.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.12 -0.12 -0.06 -0.06 -3.23 11.0 -5 -5 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.04 0.0 0.08 -0.08 -0.05 -0.05 -6.68 12.0 -8 -7 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.04 0.0 0.33 -0.33 0.00 0.00 -0.99 8.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.09 -0.04 0.0 0.59 -0.59 -0.09 -0.05 -0.79 13.0 -2 -1 caleb_strategy_v3 OAT False False 0.04 -0.04 -0.04 0.0 0.43 -0.43 -0.04 0.00 -0.96 10.0 -1 0 caleb_strategy_v3 EUROSTX False False 0.02 -0.03 -0.03 0.0 0.34 -0.34 -0.03 -0.05 -1.47 20.0 -2 -3 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.03 0.0 999.00 -999.00 0.00 0.00 -0.92 999999999.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.03 0.0 0.44 -0.44 -0.03 -0.05 -1.13 17.0 -1 -2 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.03 0.0 0.05 -0.05 -0.02 -0.02 -16.12 26.0 -12 -12 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.03 0.0 0.40 -0.40 -0.02 -0.02 -1.56 21.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.07 -0.07 -0.02 -0.02 -1.65 8.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.09 -0.02 0.0 0.12 -0.12 -0.09 -0.07 -1.14 7.0 -5 -4 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -1.51 9.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -0.88 4.0 -1 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.02 0.0 0.29 -0.29 0.00 -0.01 -1.20 23.0 0 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.08 -0.08 -0.03 -0.03 -1.70 9.0 -3 -3 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.16 -0.16 -0.01 -0.01 -7.32 51.0 -2 -3 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -9.93 59.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -2.21 2.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.01 0.0 0.15 -0.15 -0.02 -0.02 -0.54 10.0 -1 -1 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.21 2.0 0 0 caleb_strategy_v3 BUND False False 0.05 -0.05 -0.01 0.0 0.46 -0.46 -0.05 0.00 -0.27 10.0 -1 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.18 -0.18 0.00 -0.05 -0.26 4.0 0 -1 caleb_strategy_v3 LUMBER-new False False 0.00 -0.01 -0.01 0.0 0.01 -0.01 -0.01 -0.01 -3.09 3.0 -2 -2 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.04 -0.04 0.00 0.00 -0.56 4.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.04 -0.01 0.0 0.13 -0.13 -0.04 -0.04 -1.51 13.0 -4 -4 caleb_strategy_v3 BTP False False 0.04 -0.12 -0.01 0.0 0.41 -0.41 -0.12 -0.12 -0.36 10.0 -3 -3 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.01 0.0 0.09 -0.09 -0.02 -0.01 -0.83 10.0 -2 -1 caleb_strategy_v3 US2 False True 0.07 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.13 13.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -2.03 18.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.03 -0.00 0.0 0.52 -0.52 0.03 0.01 -0.50 60.0 4 1 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.61 -0.61 0.00 0.00 0.17 26.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.00 0.00 0.0 0.20 -0.20 0.00 0.10 0.04 2.0 0 1 caleb_strategy_v3 US30 False False 0.04 0.00 0.00 0.0 0.24 -0.24 0.00 0.00 0.01 6.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.26 5.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 0.01 0.0 0.60 -0.60 0.00 0.00 0.19 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 0.31 999999999.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.32 -0.32 0.01 0.01 0.80 23.0 1 1 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.01 0.0 0.43 -0.43 0.03 0.01 0.82 48.0 3 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 0.25 13.0 4 4 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.01 0.0 0.17 -0.17 0.00 0.00 0.18 6.0 0 0 caleb_strategy_v3 US5 False False 0.03 0.03 0.01 0.0 0.86 -0.86 0.03 0.03 0.24 25.0 1 1 caleb_strategy_v3 DAX False False 0.01 0.02 0.01 0.0 0.38 -0.38 0.02 0.01 1.69 58.0 3 1 caleb_strategy_v3 OJ False True 0.02 0.02 0.01 0.0 0.02 0.00 0.02 0.02 0.51 3.0 1 1 caleb_strategy_v3 RUSSELL False False 0.00 -0.00 0.02 0.0 0.25 -0.25 -0.00 0.00 5.60 68.0 -1 0 caleb_strategy_v3 DOW False False 0.01 0.07 0.02 0.0 0.43 -0.43 0.07 0.03 2.49 66.0 10 4 caleb_strategy_v3 GASOLINE False False 0.03 0.09 0.02 0.0 999.00 -999.00 0.09 0.06 0.77 999999999.0 3 2 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.03 0.0 0.44 -0.44 0.00 0.00 3.60 56.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.15 0.04 0.0 0.41 -0.41 0.15 0.06 1.97 19.0 7 3 caleb_strategy_v3 NIKKEI False False 0.01 0.14 0.04 0.0 0.29 -0.29 0.14 0.07 5.53 36.0 17 9 caleb_strategy_v3 EUR False False 0.04 0.00 0.04 0.0 0.61 -0.61 0.00 0.00 0.94 14.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.10 0.08 0.0 0.12 -0.12 0.10 0.07 3.25 5.0 4 3 caleb_strategy_v3 GBP False False 0.03 0.08 0.09 0.0 0.57 -0.57 0.08 0.08 3.67 22.0 3 3 caleb_strategy_v3 LIVECOW False False 0.02 0.12 0.10 0.0 0.40 -0.40 0.12 0.10 4.31 17.0 5 4 caleb_strategy_v3 SMI False True 0.04 0.00 0.12 0.0 0.00 0.00 0.00 0.00 2.72 9.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.00 0.15 0.0 0.85 -0.85 0.00 0.00 1.79 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 0.61 0.0 0.00 0.00 0.00 0.00 7.86 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 13.3 Shocked risk 45.2 Sum abs risk 38.3 Leverage 3.00 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3126680.72, 'annual_cash_vol_target': 781670.18, 'daily_cash_vol_target': 48854.38625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0034 0.6693 0.5073 8.1161 BITCOIN 1807.7435 66825.0000 2.7052 43.2830 BOBL 0.2463 116.6500 0.2112 3.3785 BTP 0.5354 118.0000 0.4537 7.2592 BUND 0.5053 132.2200 0.3821 6.1142 BUXL 1.2278 131.3000 0.9351 14.9612 CAC 65.7270 7590.5000 0.8659 13.8546 CAD 0.0023 0.7270 0.3231 5.1695 CANOLA 9.3228 681.7000 1.3676 21.8814 CHF 0.0049 1.1293 0.4334 6.9350 COCOA 281.5256 7318.0000 3.8470 61.5525 COFFEE 4.4012 237.4500 1.8535 29.6567 COPPER 0.0593 4.1610 1.4253 22.8047 CORN 6.2650 417.0000 1.5024 24.0385 COTTON2 1.0189 69.5300 1.4654 23.4457 CRUDE_W 0.9576 74.6400 1.2830 20.5283 DAX 145.9467 18679.0000 0.7813 12.5015 DOW 266.9184 40743.0000 0.6551 10.4820 DX 0.3439 104.1850 0.3301 5.2819 EUR 0.0041 1.0880 0.3788 6.0601 EURIBOR-ICE 0.0471 97.5900 0.0483 0.7726 EUROSTX 45.4381 4937.0000 0.9204 14.7258 FEEDCOW 1.7019 257.6250 0.6606 10.5700 GASOIL 10.0969 745.5000 1.3544 21.6702 GASOLINE 0.0318 2.1971 1.4491 23.1859 GAS_US_mini 0.0916 2.3450 3.9069 62.5098 GBP 0.0055 1.2909 0.4274 6.8382 GOLD_micro 21.1583 2430.3000 0.8706 13.9296 HEATOIL 0.0332 2.4472 1.3556 21.6894 JGB-SGX-mini 0.2220 142.8400 0.1554 2.4869 JPY 0.0000 0.0065 0.6645 10.6316 LEANHOG 1.2717 77.1000 1.6494 26.3901 LIVECOW 1.2137 186.1750 0.6519 10.4306 LUMBER-new 9.4546 503.5000 1.8778 30.0445 MILK 0.2540 21.0700 1.2055 19.2878 MXP 0.0005 0.0546 0.9033 14.4524 NASDAQ_micro 178.5021 19976.2500 0.8936 14.2971 NIKKEI 377.8851 39580.0000 0.9547 15.2758 NZD 0.0035 0.5954 0.5874 9.3981 OAT 0.4915 124.5800 0.3945 6.3123 OATIES 6.6168 334.5000 1.9781 31.6497 OJ 8.2615 432.0500 1.9122 30.5947 PALLAD 22.7264 912.0000 2.4919 39.8709 PLAT 15.0547 957.3000 1.5726 25.1619 REDWHEAT 11.0490 583.5000 1.8936 30.2972 RICE 0.1591 14.9950 1.0607 16.9719 ROBUSTA 72.7151 4322.0000 1.6824 26.9191 RUSSELL 26.8412 2271.5000 1.1817 18.9064 SHATZ 0.0832 105.7600 0.0786 1.2581 SILVER-mini 0.5229 29.7375 1.7584 28.1343 SMI 78.7930 12287.0000 0.6413 10.2603 SOFR 0.0601 96.4850 0.0623 0.9970 SOYBEAN 13.3664 1076.0000 1.2422 19.8757 SOYMEAL 4.8044 319.3000 1.5047 24.0747 SOYOIL 0.7474 45.1100 1.6567 26.5078 SP400 28.5178 3086.2000 0.9240 14.7847 SP500_micro 32.8325 5612.2500 0.5850 9.3602 SUGAR11 0.2946 18.5500 1.5883 25.4134 US10 0.3659 110.8438 0.3301 5.2813 US10U 0.5118 114.3594 0.4475 7.1607 US2 0.0887 102.5078 0.0866 1.3852 US20 0.7885 118.9688 0.6628 10.6042 US30 1.2093 125.6250 0.9626 15.4020 US5 0.2312 107.3125 0.2154 3.4465 VIX 0.3868 17.6500 2.1915 35.0635 WHEAT 10.8375 566.7500 1.9122 30.5956 ============================================================================================================================================ 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 48854.39 143.90 5.28 76.02 BITCOIN 66.82 2.71 180.77 1.00 180.77 48854.39 270.25 -3.39 -91.66 BOBL 1166.50 0.21 246.32 1.09 268.26 48854.39 182.11 -7.58 -138.02 BTP 1180.00 0.45 535.36 1.09 583.07 48854.39 83.79 -1.26 -10.58 BUND 1322.20 0.38 505.26 1.09 550.28 48854.39 88.78 -2.97 -26.39 BUXL 1313.00 0.94 1227.76 1.09 1337.15 48854.39 36.54 -6.89 -25.18 CAC 759.05 0.87 657.27 1.09 715.83 48854.39 68.25 -7.32 -49.93 CAD 727.05 0.32 234.90 1.00 234.90 48854.39 207.98 -10.69 -222.36 CANOLA 136.34 1.37 186.46 0.73 135.53 48854.39 360.47 -8.35 -300.95 CHF 1411.62 0.43 611.85 1.00 611.85 48854.39 79.85 -3.81 -30.44 COCOA 731.80 3.85 2815.26 1.00 2815.26 48854.39 17.35 4.51 7.83 COFFEE 890.44 1.85 1650.47 1.00 1650.47 48854.39 29.60 5.25 15.53 COPPER 1040.25 1.43 1482.66 1.00 1482.66 48854.39 32.95 -2.59 -8.54 CORN 208.50 1.50 313.25 1.00 313.25 48854.39 155.96 -17.62 -274.73 COTTON2 347.65 1.47 509.43 1.00 509.43 48854.39 95.90 -15.75 -151.04 CRUDE_W 746.40 1.28 957.65 1.00 957.65 48854.39 51.02 5.88 30.00 DAX 186.79 0.78 145.95 1.09 158.95 48854.39 307.36 1.61 49.45 DOW 203.72 0.66 133.46 1.00 133.46 48854.39 366.06 2.93 107.10 DX 1041.85 0.33 343.94 1.00 343.94 48854.39 142.04 -3.60 -51.19 EUR 1360.06 0.38 515.13 1.00 515.13 48854.39 94.84 3.84 36.41 EURIBOR-ICE 2439.75 0.05 117.80 1.09 128.30 48854.39 380.79 1.38 52.56 EUROSTX 493.70 0.92 454.38 1.09 494.87 48854.39 98.72 -4.36 -43.08 FEEDCOW 1288.12 0.66 850.97 1.00 850.97 48854.39 57.41 -5.23 -30.01 GASOIL 745.50 1.35 1009.69 1.00 1009.69 48854.39 48.39 -4.21 -20.37 GASOLINE 922.78 1.45 1337.22 1.00 1337.22 48854.39 36.53 4.87 17.78 GAS_US_mini 58.63 3.91 229.04 1.00 229.04 48854.39 213.30 -6.98 -148.86 GBP 806.81 0.43 344.82 1.00 344.82 48854.39 141.68 9.98 141.41 GOLD_micro 243.03 0.87 211.58 1.00 211.58 48854.39 230.90 4.57 105.50 HEATOIL 1027.82 1.36 1393.31 1.00 1393.31 48854.39 35.06 -10.02 -35.12 JGB-SGX-mini 142840.00 0.16 22201.99 0.01 141.38 48854.39 345.55 -0.84 -29.10 JPY 809.81 0.66 538.10 1.00 538.10 48854.39 90.79 -4.81 -43.66 LEANHOG 308.40 1.65 508.67 1.00 508.67 48854.39 96.04 -2.59 -24.85 LIVECOW 744.70 0.65 485.48 1.00 485.48 48854.39 100.63 12.93 130.12 LUMBER-new 138.46 1.88 260.00 1.00 260.00 48854.39 187.90 -7.68 -144.26 MILK 421.40 1.21 507.99 1.00 507.99 48854.39 96.17 1.25 12.01 MXP 273.15 0.90 246.73 1.00 246.73 48854.39 198.01 -0.17 -3.41 NASDAQ_micro 399.52 0.89 357.00 1.00 357.00 48854.39 136.85 -3.77 -51.61 NIKKEI 39580.00 0.95 37788.51 0.01 240.64 48854.39 203.02 2.52 51.11 NZD 595.35 0.59 349.70 1.00 349.70 48854.39 139.70 -4.30 -60.05 OAT 1245.80 0.39 491.49 1.09 535.28 48854.39 91.27 -3.09 -28.19 OATIES 167.25 1.98 330.84 1.00 330.84 48854.39 147.67 -6.14 -90.67 OJ 648.08 1.91 1239.23 1.00 1239.23 48854.39 39.42 6.07 23.93 PALLAD 912.00 2.49 2272.64 1.00 2272.64 48854.39 21.50 -2.91 -6.26 PLAT 478.65 1.57 752.73 1.00 752.73 48854.39 64.90 -2.44 -15.85 REDWHEAT 291.75 1.89 552.45 1.00 552.45 48854.39 88.43 -14.07 -124.46 RICE 299.90 1.06 318.12 1.00 318.12 48854.39 153.57 -1.49 -22.94 ROBUSTA 432.20 1.68 727.15 1.00 727.15 48854.39 67.19 10.18 68.37 RUSSELL 113.58 1.18 134.21 1.00 134.21 48854.39 364.02 4.64 169.02 SHATZ 1057.60 0.08 83.16 1.09 90.57 48854.39 539.39 -6.68 -360.36 SILVER-mini 743.44 1.76 1307.26 1.00 1307.26 48854.39 37.37 2.44 9.12 SMI 1228.70 0.64 787.93 1.12 885.63 48854.39 55.16 14.46 79.76 SOFR 2412.12 0.06 150.30 1.00 150.30 48854.39 325.04 3.98 129.32 SOYBEAN 538.00 1.24 668.32 1.00 668.32 48854.39 73.10 -16.74 -122.40 SOYMEAL 319.30 1.50 480.44 1.00 480.44 48854.39 101.69 -15.94 -162.08 SOYOIL 270.66 1.66 448.41 1.00 448.41 48854.39 108.95 -8.14 -88.68 SP400 3086.20 0.92 2851.78 1.00 2851.78 48854.39 17.13 0.76 1.30 SP500_micro 280.61 0.59 164.16 1.00 164.16 48854.39 297.60 1.19 35.35 SUGAR11 207.76 1.59 329.99 1.00 329.99 48854.39 148.05 -6.46 -95.60 US10 1108.44 0.33 365.87 1.00 365.87 48854.39 133.53 1.09 14.62 US10U 1143.59 0.45 511.81 1.00 511.81 48854.39 95.45 2.03 19.40 US2 2050.16 0.09 177.50 1.00 177.50 48854.39 275.24 -0.36 -10.03 US20 1189.69 0.66 788.48 1.00 788.48 48854.39 61.96 3.13 19.42 US30 1256.25 0.96 1209.30 1.00 1209.30 48854.39 40.40 0.20 0.79 US5 1073.12 0.22 231.16 1.00 231.16 48854.39 211.35 0.90 18.92 VIX 176.50 2.19 386.79 1.00 386.79 48854.39 126.31 -20.00 -252.61 WHEAT 283.38 1.91 541.88 1.00 541.88 48854.39 90.16 -14.22 -128.20 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 76.016 0.010 2.5 1.972 BITCOIN -91.664 0.043 2.5 -9.926 BOBL -138.020 0.004 2.5 -1.400 BTP -10.576 0.014 2.5 -0.361 BUND -26.386 0.004 2.5 -0.268 BUXL -25.177 0.004 2.5 -0.255 CAC -49.930 0.014 2.5 -1.703 CAD -222.361 0.010 2.5 -5.769 CANOLA -300.949 0.010 2.5 -7.322 CHF -30.442 0.010 2.5 -0.790 COCOA 7.833 0.009 2.5 0.168 COFFEE 15.528 0.005 2.5 0.181 COPPER -8.535 0.043 2.5 -0.924 CORN -274.728 0.010 2.5 -6.684 COTTON2 -151.036 0.009 2.5 -3.235 CRUDE_W 30.004 0.043 2.5 3.249 DAX 49.454 0.014 2.5 1.687 DOW 107.097 0.009 2.5 2.489 DX -51.187 0.010 2.5 -1.328 EUR 36.411 0.010 2.5 0.945 EURIBOR-ICE 52.559 0.014 2.5 1.793 EUROSTX -43.079 0.014 2.5 -1.469 FEEDCOW -30.011 0.013 2.5 -0.994 GASOIL -20.367 0.017 2.5 -0.883 GASOLINE 17.780 0.017 2.5 0.771 GAS_US_mini -148.862 0.043 2.5 -16.120 GBP 141.413 0.010 2.5 3.669 GOLD_micro 105.496 0.014 2.5 3.598 HEATOIL -35.122 0.017 2.5 -1.522 JGB-SGX-mini -29.102 0.043 2.5 -3.151 JPY -43.665 0.010 2.5 -1.133 LEANHOG -24.853 0.024 2.5 -1.510 LIVECOW 130.115 0.013 2.5 4.312 LUMBER-new -144.260 0.009 2.5 -3.089 MILK 12.010 0.009 2.5 0.257 MXP -3.408 0.059 2.5 -0.500 NASDAQ_micro -51.614 0.009 2.5 -1.199 NIKKEI 51.111 0.043 2.5 5.535 NZD -60.054 0.010 2.5 -1.558 OAT -28.187 0.014 2.5 -0.961 OATIES -90.675 0.010 2.5 -2.206 OJ 23.926 0.009 2.5 0.512 PALLAD -6.260 0.014 2.5 -0.214 PLAT -15.852 0.014 2.5 -0.541 REDWHEAT -124.459 0.005 2.5 -1.651 RICE -22.939 0.010 2.5 -0.558 ROBUSTA 68.367 0.005 2.5 0.798 RUSSELL 169.025 0.013 2.5 5.601 SHATZ -360.356 0.004 2.5 -3.654 SILVER-mini 9.116 0.014 2.5 0.311 SMI 79.763 0.014 2.5 2.721 SOFR 129.321 0.024 2.5 7.859 SOYBEAN -122.399 0.004 2.5 -1.138 SOYMEAL -162.079 0.004 2.5 -1.507 SOYOIL -88.678 0.004 2.5 -0.825 SP400 1.303 0.013 2.5 0.043 SP500_micro 35.346 0.009 2.5 0.821 SUGAR11 -95.597 0.009 2.5 -2.033 US10 14.617 0.005 2.5 0.185 US10U 19.402 0.005 2.5 0.246 US2 -10.027 0.005 2.5 -0.127 US20 19.422 0.005 2.5 0.246 US30 0.788 0.005 2.5 0.010 US5 18.924 0.005 2.5 0.240 VIX -252.611 0.099 2.5 -62.355 WHEAT -128.203 0.005 2.5 -1.701 ===================== Position diags ===================== AUD 3.73 BITCOIN 29.26 BOBL 1.85 BTP 2.86 BUND 0.90 BUXL 0.37 CAC 2.33 CAD 5.40 CANOLA 8.77 CHF 2.07 COCOA 0.37 COFFEE 0.35 COPPER 3.57 CORN 3.79 COTTON2 2.05 CRUDE_W 5.52 DAX 10.48 DOW 8.51 DX 3.69 EUR 2.46 EURIBOR-ICE 12.99 EUROSTX 3.37 FEEDCOW 1.90 GASOIL 2.10 GASOLINE 1.58 GAS_US_mini 23.10 GBP 3.68 GOLD_micro 7.88 HEATOIL 1.52 JGB-SGX-mini 37.42 JPY 2.36 LEANHOG 5.84 LIVECOW 3.33 LUMBER-new 4.02 MILK 2.06 MXP 29.06 NASDAQ_micro 3.18 NIKKEI 21.98 NZD 3.62 OAT 3.11 OATIES 3.59 OJ 0.84 PALLAD 0.73 PLAT 2.21 REDWHEAT 1.17 RICE 3.74 ROBUSTA 0.78 RUSSELL 12.06 SHATZ 5.47 SILVER-mini 1.27 SMI 1.88 SOFR 19.75 SOYBEAN 0.68 SOYMEAL 0.95 SOYOIL 1.01 SP400 0.57 SP500_micro 6.92 SUGAR11 3.15 US10 1.69 US10U 1.21 US2 3.49 US20 0.79 US30 0.51 US5 2.68 VIX 31.18 WHEAT 1.20 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 2.0 1.6 2.3 7.0 7 BITCOIN -9.9 -12.9 -7.0 0.0 0 BOBL -1.4 -1.6 -1.2 -1.0 -1 BTP -0.4 -0.6 -0.1 -3.0 -3 BUND -0.3 -0.4 -0.2 -1.0 -1 BUXL -0.3 -0.3 -0.2 0.0 0 CAC -1.7 -1.9 -1.5 0.0 0 CAD -5.8 -6.3 -5.2 -1.0 -1 CANOLA -7.3 -8.2 -6.4 -2.0 -2 CHF -0.8 -1.0 -0.6 -2.0 -2 COCOA 0.2 0.1 0.2 0.0 0 COFFEE 0.2 0.1 0.2 0.0 0 COPPER -0.9 -1.3 -0.6 0.0 0 CORN -6.7 -7.1 -6.3 -8.0 -8 COTTON2 -3.2 -3.4 -3.0 -5.0 -5 CRUDE_W 3.2 2.7 3.8 4.0 4 DAX 1.7 0.6 2.7 3.0 3 DOW 2.5 1.6 3.3 10.0 10 DX -1.3 -1.7 -1.0 0.0 0 EUR 0.9 0.7 1.2 0.0 0 EURIBOR-ICE 1.8 0.5 3.1 0.0 0 EUROSTX -1.5 -1.8 -1.1 -2.0 -2 FEEDCOW -1.0 -1.2 -0.8 0.0 0 GASOIL -0.9 -1.1 -0.7 -1.0 -1 GASOLINE 0.8 0.6 0.9 3.0 3 GAS_US_mini -16.1 -18.4 -13.8 -12.0 -12 GBP 3.7 3.3 4.0 3.0 3 GOLD_micro 3.6 2.8 4.4 0.0 0 HEATOIL -1.5 -1.7 -1.4 -2.0 -2 JGB-SGX-mini -3.2 -6.9 0.6 -1.0 -1 JPY -1.1 -1.4 -0.9 -1.0 -1 LEANHOG -1.5 -2.1 -0.9 -4.0 -4 LIVECOW 4.3 4.0 4.6 5.0 5 LUMBER-new -3.1 -3.5 -2.7 -2.0 -2 MILK 0.3 0.1 0.5 NaN 0 MXP -0.5 -3.4 2.4 4.0 4 NASDAQ_micro -1.2 -1.5 -0.9 0.0 0 NIKKEI 5.5 3.3 7.7 17.0 17 NZD -1.6 -1.9 -1.2 -1.0 -1 OAT -1.0 -1.3 -0.7 -1.0 -1 OATIES -2.2 -2.6 -1.8 NaN 0 OJ 0.5 0.4 0.6 1.0 1 PALLAD -0.2 -0.3 -0.1 0.0 0 PLAT -0.5 -0.8 -0.3 -1.0 -1 REDWHEAT -1.7 -1.8 -1.5 -2.0 -2 RICE -0.6 -0.9 -0.2 NaN 0 ROBUSTA 0.8 0.7 0.9 1.0 1 RUSSELL 5.6 4.4 6.8 -1.0 -1 SHATZ -3.7 -4.2 -3.1 NaN 0 SILVER-mini 0.3 0.2 0.4 0.0 0 SMI 2.7 2.5 2.9 0.0 0 SOFR 7.9 5.9 9.8 NaN 0 SOYBEAN -1.1 -1.2 -1.1 -5.0 -5 SOYMEAL -1.5 -1.6 -1.4 0.0 0 SOYOIL -0.8 -0.9 -0.7 -2.0 -2 SP400 0.0 -0.0 0.1 0.0 0 SP500_micro 0.8 0.1 1.5 3.0 3 SUGAR11 -2.0 -2.3 -1.7 0.0 0 US10 0.2 0.0 0.4 0.0 0 US10U 0.2 0.1 0.4 4.0 4 US2 -0.1 -0.5 0.2 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 -62.4 -65.5 -59.2 -58.0 -58 WHEAT -1.7 -1.8 -1.6 -3.0 -3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.8 3.8 3.8 3.8 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 0.2 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 0.1 0.2 0.2 0.4 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 0.2 0.4 0.1 -2.7 -0.0 0.1 0.1 0.1 0.3 0.0 -0.2 0.5 0.6 0.6 -0.0 -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 0.1 -0.0 -0.4 -0.3 -0.4 -0.3 0.0 -0.0 0.0 -0.2 0.0 0.6 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.9 0.1 -0.1 -0.1 -0.1 -0.7 -0.6 -0.4 -0.4 BTP 0.5 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.1 0.0 0.1 0.1 0.1 0.4 0.1 0.0 0.0 0.1 0.0 0.1 0.1 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 0.4 -0.3 0.0 -0.6 -0.5 -0.1 0.1 BUND 0.1 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 0.1 -0.1 -0.1 -0.0 -0.7 -0.7 -0.3 -0.4 BUXL 0.0 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 -0.0 -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 -0.0 -0.2 -0.3 -0.0 -0.7 -0.7 -0.5 -0.4 CAC 0.1 -0.6 -0.6 0.1 0.0 0.2 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 -0.3 -0.6 -0.6 -0.6 0.1 0.2 0.0 0.3 CAD 0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.2 -0.5 -0.2 -0.6 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.3 -0.1 -0.2 -0.0 -0.2 -0.1 -0.2 -0.2 -0.1 -0.1 -0.5 -0.6 -0.2 -0.2 0.2 -0.2 -0.1 -0.2 CANOLA 0.5 -0.2 0.4 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.2 -0.0 -0.0 -0.2 -0.2 -0.3 -0.3 -0.0 -0.0 0.1 -0.2 0.0 -2.4 -0.0 0.1 -0.1 0.0 -0.1 -0.0 -1.1 0.4 0.2 -0.2 -0.1 -0.1 -0.4 0.2 -0.1 CHF 0.1 0.4 0.0 0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.0 -0.4 0.1 -0.5 0.1 0.0 -0.4 -0.3 -0.3 -0.3 0.0 -0.1 0.1 -0.3 0.1 0.8 0.0 0.0 -0.1 0.1 -0.2 0.0 -1.1 0.4 -0.1 0.6 -0.0 0.3 -0.4 -0.0 -0.4 COCOA -0.1 -0.4 -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 -0.0 0.3 0.3 0.5 0.2 0.6 0.3 COFFEE 0.2 0.2 0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.4 0.1 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.0 0.4 0.1 -2.7 0.1 -0.0 0.2 0.0 0.3 0.0 0.4 -0.2 0.5 0.6 0.6 0.0 -0.4 0.3 -0.1 COPPER -0.2 -0.4 0.1 -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 0.0 -0.2 0.2 -0.1 -1.5 -0.0 -0.0 0.0 -0.1 0.1 -0.0 0.3 -0.5 -0.1 -0.1 0.5 0.2 0.0 0.5 0.3 CORN -0.3 -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 -0.0 -0.3 -0.1 -1.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.1 -0.6 -0.5 -0.2 -0.6 -0.5 -0.5 -0.1 COTTON2 -0.1 -0.3 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.4 -0.1 -0.4 -0.1 -0.2 -0.2 -0.0 -0.1 -0.1 -0.2 -0.2 -0.1 -0.4 -0.1 -2.7 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.3 -0.2 -0.1 0.1 -0.6 -0.2 -0.3 0.3 -0.0 CRUDE_W -0.2 0.2 -0.2 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 0.3 -0.2 0.6 0.1 0.1 0.3 0.3 0.3 0.3 0.0 0.1 -0.2 0.3 -0.1 -0.5 -0.0 -0.2 -0.0 -0.1 0.1 -0.1 0.4 -0.3 0.0 -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 0.0 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 0.0 0.2 0.0 0.4 -0.0 -0.4 -0.1 -0.5 -0.6 -0.3 0.2 0.1 -0.2 0.2 DOW 0.5 0.2 -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 0.1 0.3 0.2 -1.7 0.1 0.0 0.1 0.1 0.2 0.1 -0.5 0.5 0.3 -0.2 -0.2 0.5 -0.0 0.4 -0.1 DX -0.6 -0.1 0.0 0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.0 0.4 -0.1 0.6 -0.1 -0.0 0.1 0.1 0.1 0.1 -0.0 0.1 -0.1 0.3 -0.1 -2.7 -0.0 0.0 0.1 -0.1 0.2 -0.1 0.9 -0.5 -0.6 -0.1 0.4 -0.3 0.2 -0.3 0.3 EUR 0.5 0.0 0.0 0.0 -0.1 -0.0 -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 0.1 -0.0 0.1 -0.1 0.1 2.7 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.4 0.3 0.6 0.1 0.2 0.0 -0.6 -0.1 -0.5 EURIBOR-ICE 0.5 0.4 -0.2 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 0.2 0.0 -0.1 -0.7 -0.7 -0.3 0.1 EUROSTX -0.1 -0.6 -0.4 0.1 0.0 0.1 0.0 0.2 0.1 -0.1 0.3 -0.1 0.5 -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 -0.0 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 -0.0 0.0 0.1 -0.1 -0.1 -0.1 0.0 -0.0 -0.4 -0.2 -0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -1.1 -0.0 0.0 -0.1 -0.0 0.0 -0.0 -1.1 -0.3 -0.2 0.3 0.1 0.1 0.7 0.3 0.7 GASOIL -0.2 0.2 -0.4 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 0.1 -0.2 0.5 0.0 -0.0 -0.0 0.2 -0.0 0.1 -0.0 0.0 -0.2 0.2 -0.1 0.7 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 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 -0.1 -0.2 0.2 -0.2 0.5 0.1 -0.0 0.4 0.4 0.4 0.4 -0.0 0.0 -0.2 0.3 -0.1 -2.7 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 1.1 -0.0 0.3 -0.0 -0.2 0.7 0.7 0.7 0.7 GAS_US_mini -0.6 -0.3 0.6 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.2 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.4 -0.1 2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.2 -0.4 -0.2 0.2 -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 -0.0 0.5 0.2 0.3 0.2 0.2 -0.0 -0.0 -0.0 -0.0 0.2 0.1 0.1 0.2 0.2 0.0 0.1 -0.0 0.2 0.1 0.1 0.1 0.2 0.5 0.6 0.6 0.6 0.1 -0.7 0.1 -0.4 GOLD_micro 0.4 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 0.0 0.3 0.0 0.1 -0.2 -0.3 -0.2 -0.3 0.1 0.1 0.0 0.3 0.1 -0.5 0.0 -0.0 0.1 0.0 0.2 0.0 -0.7 0.5 0.6 0.6 0.5 0.2 -0.2 0.5 0.0 HEATOIL -0.2 0.2 -0.3 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 -0.1 -0.2 0.2 0.0 -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 -0.1 -0.3 -0.1 0.0 -0.1 -0.5 0.0 0.2 -0.3 0.1 JGB-SGX-mini 0.0 0.1 -0.5 0.0 -0.0 0.0 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 -0.0 -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 -0.3 -0.3 -0.4 -0.1 -0.1 0.1 0.6 JPY 0.6 0.1 0.2 0.0 -0.0 -0.0 -0.0 0.0 0.0 0.1 -0.3 0.1 -0.4 -0.0 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 0.1 -0.5 0.0 2.7 -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.1 0.5 0.2 -0.2 -0.6 -0.7 -0.5 -0.7 -0.4 LEANHOG 0.3 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.3 0.1 -0.3 -0.1 -0.1 0.4 -0.1 0.4 0.4 -0.2 -0.2 0.1 -0.3 -0.1 0.5 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.5 0.1 -0.3 -0.6 -0.2 -0.3 -0.1 0.1 LIVECOW -0.1 0.5 0.4 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.5 -0.0 0.3 0.2 0.2 -0.0 0.2 0.2 0.3 0.2 0.2 0.1 0.3 0.1 -1.6 0.1 0.1 0.2 0.0 0.2 0.0 0.8 0.2 0.4 0.6 0.6 0.0 0.7 0.2 0.7 LUMBER-new 0.4 -0.2 -0.7 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.2 0.0 -0.3 -0.1 -0.1 -0.3 -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 0.2 0.3 -0.0 -0.7 0.0 -0.2 0.2 -0.1 MILK -0.1 0.1 0.6 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 0.2 0.1 -0.1 -0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.1 0.0 0.0 2.1 0.0 0.0 0.1 0.0 -0.0 0.0 -1.1 0.1 0.1 0.6 0.6 -0.2 -0.7 -0.1 -0.7 MXP 0.5 -0.4 -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 -0.1 0.1 -0.6 -0.4 0.5 0.5 0.7 0.7 NASDAQ_micro -0.5 0.3 0.2 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 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.4 -0.5 -0.6 0.3 0.3 0.0 0.2 -0.2 0.2 NIKKEI 0.3 0.1 -0.1 0.1 0.0 0.2 0.0 0.2 0.1 -0.1 0.4 -0.1 0.6 0.0 0.1 0.3 0.2 0.2 0.2 0.1 0.2 -0.1 0.5 0.1 -2.5 0.0 -0.1 0.1 -0.0 0.3 0.0 1.1 -0.5 0.1 0.1 -0.2 0.2 -0.2 -0.2 -0.3 NZD -0.4 -0.1 0.2 0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.2 -0.1 -0.2 -0.1 -0.2 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.2 -0.0 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.3 -0.5 -0.6 -0.3 0.2 0.3 -0.2 0.3 0.0 OAT 0.5 -0.1 -0.3 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 0.0 0.0 -0.0 -0.1 0.0 -0.1 0.0 0.3 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.6 0.0 0.0 -0.4 -0.2 -0.7 -0.6 -0.3 -0.1 OATIES 0.2 -0.6 0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.2 0.1 -0.3 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.1 0.1 -0.2 -0.0 -2.7 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 0.3 0.1 -0.3 -0.1 0.1 -0.0 0.4 0.3 OJ -0.1 -0.2 -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 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.3 0.0 0.8 -0.2 0.2 0.1 0.6 0.4 0.3 0.7 0.7 PALLAD 0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.0 1.9 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.2 0.3 0.4 -0.1 -0.7 -0.7 -0.7 -0.7 PLAT -0.2 -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 -0.1 0.0 -0.1 1.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.2 0.0 0.1 0.3 -0.6 -0.3 -0.2 0.1 REDWHEAT -0.3 -0.6 0.4 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.2 -0.0 -0.4 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.0 -0.2 -0.1 -0.7 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.7 -0.2 -0.3 -0.6 0.2 -0.5 -0.7 -0.3 -0.6 RICE -0.6 -0.6 0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.3 -0.1 0.5 -0.2 0.1 0.3 0.4 0.4 0.4 -0.1 0.0 -0.1 0.3 -0.2 -1.6 -0.0 0.1 0.0 -0.0 0.1 -0.0 1.1 -0.0 -0.5 0.3 0.6 -0.6 -0.3 -0.6 -0.2 ROBUSTA 0.4 0.3 -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 -0.0 0.6 0.6 0.6 0.1 -0.2 0.4 0.1 RUSSELL 0.6 0.1 -0.0 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.2 0.1 0.3 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 0.2 -0.0 0.1 -0.7 0.0 -0.7 SHATZ 0.1 0.6 0.1 0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 -0.2 0.1 -0.3 0.1 0.0 -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 -0.1 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.2 -0.1 0.2 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.1 0.2 -0.0 0.3 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 -0.2 0.2 0.2 0.5 -0.0 -0.2 0.2 0.2 SMI -0.0 -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 0.1 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 -0.1 0.0 SOFR 0.3 0.5 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 0.0 -0.1 0.1 -0.5 0.0 -0.0 0.1 0.0 0.0 0.0 0.2 -0.0 -0.0 0.2 0.2 0.3 -0.5 0.7 0.1 SOYBEAN -0.2 -0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.1 0.1 -0.0 0.0 -0.2 -0.1 -0.0 -0.2 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 -0.6 -0.6 -0.3 -0.4 -0.7 -0.2 -0.7 SOYMEAL -0.5 -0.6 0.2 -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 0.1 0.1 -0.2 -0.1 -0.0 -0.2 -0.2 -2.7 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.3 -0.1 -0.6 -0.5 0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.3 0.2 0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -0.3 -0.0 -0.0 0.1 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 -0.2 -0.3 0.2 0.2 -0.2 -0.4 -0.5 -0.1 -0.1 SP400 0.5 -0.2 -0.2 0.0 0.0 0.1 0.0 0.2 0.0 0.0 0.3 0.1 0.4 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 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 0.4 -0.1 -0.2 0.2 -0.3 0.1 -0.7 SP500_micro -0.2 0.3 0.3 0.1 0.0 0.2 0.0 0.2 0.1 -0.1 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 -0.0 0.2 -0.0 0.3 0.0 -0.6 -0.5 -0.3 0.5 0.5 0.3 0.1 -0.0 0.1 SUGAR11 -0.2 0.5 -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 -0.1 -0.1 -0.2 -0.3 -0.1 -2.7 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.4 -0.5 -0.1 0.6 -0.5 0.1 0.7 0.3 0.7 US10 0.3 0.4 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 0.4 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.4 -0.1 -0.1 0.1 0.1 0.2 -0.6 0.5 0.1 US10U 0.2 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 -0.1 -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 -0.4 0.1 0.1 -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 0.1 0.2 0.1 -0.1 0.1 -0.7 0.2 -0.4 US20 0.1 0.3 0.3 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 0.1 -0.0 -0.0 -0.0 -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 0.0 0.1 0.1 -0.3 0.7 0.6 US30 -0.0 0.3 0.3 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 -0.1 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 0.4 0.5 0.2 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 0.0 -0.2 0.1 0.9 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.6 -0.0 0.0 0.1 0.1 0.2 -0.7 0.4 -0.1 VIX 0.2 0.3 -0.5 -0.1 -0.0 -0.5 -0.0 -0.7 -0.1 -0.1 -0.9 -0.1 -1.2 -0.2 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.0 -0.9 -0.1 NaN -0.2 -0.0 -0.5 -0.0 -0.9 -0.1 NaN NaN NaN NaN NaN -0.8 -1.1 NaN NaN WHEAT -0.3 -0.6 0.4 -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 -0.3 -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 0.7 -4.2 -0.9 3.8 0.6 3.9 -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 6.8 9.5 19.8 7.3 -5.6 8.7 -1.2 BITCOIN 2.9 -20.0 -10.5 -5.5 -5.6 -2.5 -6.1 -0.5 -6.5 13.7 6.7 15.2 12.5 -1.0 -6.2 -6.1 -7.2 -6.9 -7.3 -2.4 4.9 20.0 15.5 6.1 -20.0 -0.8 7.6 3.7 8.0 9.6 2.1 -3.3 20.0 20.0 20.0 -0.6 -19.4 -6.9 -5.0 -0.7 BOBL 3.7 11.5 -3.8 1.8 -0.4 0.4 1.5 -1.1 2.5 3.6 -6.9 5.4 -6.5 4.7 -0.2 -20.0 -12.6 -20.0 -15.4 0.6 -3.2 3.7 -5.8 3.5 4.2 0.7 0.9 -1.0 2.2 -2.1 2.1 -17.7 3.4 -3.3 -2.5 -3.2 -20.0 -16.8 -10.6 -11.9 BTP 16.6 0.3 -4.3 3.1 -0.8 0.7 2.5 -1.8 4.1 6.1 2.8 13.5 9.7 11.9 4.1 1.1 4.3 1.6 2.7 5.2 3.1 11.2 5.2 11.5 -20.0 3.0 1.3 2.2 5.8 3.3 6.0 11.8 8.6 12.2 -9.3 0.2 -18.8 -15.2 -4.3 2.7 BUND 3.3 8.2 -2.7 2.0 -0.5 0.4 1.6 -1.1 2.6 3.6 -6.2 6.4 -3.3 4.4 0.5 5.4 0.4 1.8 -0.1 0.9 -1.8 3.8 -3.9 3.5 1.0 1.0 0.9 -0.1 2.4 -0.8 2.3 5.5 2.7 -3.9 -4.3 -1.0 -20.0 -20.0 -9.7 -12.9 BUXL 1.3 3.9 -3.0 2.3 -0.5 0.5 1.8 -1.3 3.0 1.9 -7.4 5.7 -2.9 -0.2 -3.4 -0.6 -2.6 -2.5 -3.2 -1.2 -3.0 2.5 -5.0 1.5 -2.9 -0.0 0.2 -0.4 1.6 -0.7 1.2 0.7 -0.2 -6.9 -8.7 -1.5 -20.0 -20.0 -15.2 -11.6 CAC 1.8 -20.0 -20.0 5.6 0.4 5.7 2.4 5.7 4.9 -8.8 -0.9 -5.5 9.1 -13.9 -13.7 -8.9 -1.2 -5.1 -2.1 -13.3 -5.2 -5.7 5.9 -11.0 -9.1 -4.4 -1.1 -1.0 -1.8 3.0 -3.8 8.6 -12.9 -20.0 -20.0 -20.0 3.9 6.2 0.4 8.8 CAD 0.8 0.9 -2.7 0.3 -9.2 -1.1 -1.4 0.6 1.8 -20.0 -18.3 -18.2 -16.7 -9.3 -9.1 -4.5 -3.1 -4.1 -3.5 -5.4 -7.8 -19.2 -10.5 -8.9 -1.2 -4.6 -20.0 -5.5 -17.4 -6.8 -8.3 -1.1 -20.0 -17.4 -6.3 -6.2 6.3 -6.6 -2.7 -4.7 CANOLA 15.8 -6.7 13.2 -2.1 1.3 -1.4 0.1 -0.8 -1.5 7.6 -3.8 5.8 -6.7 -0.4 -1.7 -12.2 -10.3 -14.1 -13.8 -1.2 -3.2 11.0 -5.7 3.3 -18.3 -1.8 6.1 -2.1 3.2 -2.7 -0.1 -20.0 14.6 7.7 -6.2 -2.4 -2.0 -13.1 6.6 -4.1 CHF 3.0 10.8 0.1 0.2 -7.4 -0.8 -1.1 0.5 1.5 -0.1 -14.8 4.9 -14.1 4.9 1.7 -17.6 -16.8 -17.5 -17.0 0.7 -7.7 6.7 -11.0 5.7 5.9 1.5 1.3 -2.8 5.1 -4.3 4.4 -20.0 17.8 -2.1 20.0 -1.5 9.0 -12.1 -1.3 -12.0 COCOA -3.0 -11.2 -11.8 -1.6 1.0 -1.1 0.0 -0.6 -1.1 2.8 2.4 2.3 3.8 -2.7 -2.2 20.0 16.2 19.7 19.6 0.0 4.3 1.2 7.6 -0.7 -18.3 1.0 1.2 4.7 0.4 8.2 -0.1 20.0 2.7 -0.3 8.8 10.6 14.3 4.8 18.3 9.1 COFFEE 5.8 5.1 7.8 -4.1 2.6 -2.7 0.1 -1.6 -2.9 -9.6 14.2 6.6 13.3 10.0 13.8 3.1 6.8 4.5 6.2 17.1 18.7 4.8 16.1 12.6 -20.0 5.4 -1.5 7.9 1.0 8.4 3.4 7.8 -6.3 14.8 20.0 20.0 0.2 -10.7 8.8 -3.3 COPPER -7.2 -13.5 3.9 -2.7 -2.8 -1.3 -3.0 -0.2 -3.2 -9.5 2.0 -8.7 3.3 -8.7 -3.4 -0.1 -2.5 0.1 -1.1 -3.6 4.1 -17.7 6.9 -10.8 -11.3 -1.7 -5.5 1.1 -5.1 2.2 -3.9 6.0 -20.0 -4.2 -3.1 16.4 5.6 1.4 14.9 10.4 CORN -9.6 -20.0 2.4 -2.7 1.7 -1.8 0.1 -1.1 -1.9 7.9 -9.5 -6.1 -10.9 -9.9 -10.1 -15.7 -13.1 -16.9 -16.5 -15.9 -12.5 -3.7 -11.0 -13.4 -8.5 -3.6 1.2 -2.7 -0.9 -2.3 -3.2 -20.0 3.0 -20.0 -16.7 -7.0 -16.6 -13.6 -15.0 -2.1 COTTON2 -1.9 -8.1 -20.0 -3.7 2.3 -2.4 0.1 -1.5 -2.6 -12.8 -15.2 -13.0 -12.2 -13.9 -15.5 -11.2 -0.4 -6.2 -2.6 -16.4 -19.0 -9.2 -14.3 -10.2 -20.0 -4.5 -5.6 -4.5 -2.9 -1.6 -2.5 -6.1 -7.3 -3.0 2.4 -20.0 -5.4 -8.9 10.3 -0.9 CRUDE_W -6.3 5.5 -7.3 -2.7 -13.3 -0.2 -11.8 2.4 -6.7 -20.0 12.3 -20.0 16.5 6.8 8.9 15.6 12.8 14.5 13.7 2.5 7.1 -20.0 11.2 -8.7 -4.1 -3.7 -18.2 -1.4 -12.7 2.8 -6.5 8.3 -11.9 1.0 -5.6 -4.2 20.0 20.0 20.0 20.0 DAX 4.1 -18.4 -7.7 5.7 0.4 5.8 2.5 5.8 5.0 0.6 11.6 -1.8 15.3 -1.9 -3.1 -9.1 -11.1 -10.0 -10.8 1.0 7.7 0.5 14.6 0.0 11.3 1.1 3.1 7.0 0.1 12.2 -0.2 -8.1 -5.9 -16.2 -20.0 -8.6 6.7 4.4 -4.8 6.7 DOW 16.6 5.4 -6.2 5.2 0.4 5.4 2.3 5.4 4.6 0.2 12.0 6.1 14.0 9.8 8.2 -11.2 -11.4 -11.5 -11.6 12.8 10.3 13.9 12.7 17.5 -12.5 4.7 1.5 4.1 5.4 5.1 6.4 -8.9 20.0 10.7 -5.1 -6.1 14.2 -1.3 10.5 -3.9 DX -17.0 -2.6 0.5 0.2 -8.3 -0.9 -1.2 0.5 1.7 -0.1 15.0 -13.3 16.2 -11.3 -3.3 7.3 7.0 7.4 7.2 -3.8 5.3 -11.5 9.6 -12.8 -20.0 -2.4 1.1 2.3 -6.3 4.6 -7.1 16.8 -20.0 -20.0 -3.3 13.8 -7.9 6.4 -8.4 9.8 EUR 15.4 1.1 1.2 0.2 -8.7 -1.0 -1.3 0.6 1.7 -9.1 -9.8 13.4 -11.0 12.8 8.7 -7.5 -7.2 -7.5 -7.2 5.4 -1.2 6.9 -4.6 11.2 20.0 3.9 -4.7 0.9 4.0 -0.4 6.8 -7.8 11.0 20.0 2.8 6.2 0.8 -18.7 -1.9 -16.5 EURIBOR-ICE 14.0 11.3 -7.6 1.6 -0.4 0.3 1.3 -0.9 2.2 4.4 -4.2 6.6 -0.0 7.0 1.3 -3.3 -4.7 -4.6 -4.5 3.0 -0.5 7.0 -1.2 7.0 11.8 1.4 1.5 -0.0 3.2 -0.2 3.2 -2.0 8.3 4.8 0.5 -3.9 -20.0 -20.0 -8.7 2.2 EUROSTX -1.9 -20.0 -13.7 5.4 0.4 5.5 2.3 5.5 4.8 -5.7 12.1 -8.1 15.2 -7.1 -5.8 -4.7 -2.6 -5.5 -4.2 -2.4 6.0 -8.3 14.3 -6.5 -2.1 -1.0 -2.5 5.9 -5.1 11.9 -4.1 5.3 -19.6 -20.0 -20.0 -10.6 -3.5 1.7 -14.9 1.5 FEEDCOW -8.0 0.3 -1.2 -5.5 3.5 -3.6 0.1 -2.2 -4.0 0.9 5.5 -11.7 -3.7 -12.1 0.8 -0.1 -20.0 -10.9 -19.5 -5.0 -3.3 -8.5 -1.1 -8.7 -8.4 -3.1 0.3 -2.2 -3.3 1.1 -3.7 -20.0 -10.5 -5.7 8.9 1.6 2.3 20.0 9.9 20.0 GASOIL -5.8 5.7 -11.8 -2.5 -12.1 -0.2 -10.8 2.2 -6.1 -20.0 3.3 -20.0 13.2 1.5 -3.3 -2.1 11.1 -0.2 4.7 -3.1 0.2 -20.0 7.5 -10.8 5.6 -1.8 -12.9 -0.5 -11.2 2.5 -5.4 0.1 -3.5 2.7 7.1 -4.7 -20.0 -14.2 -20.0 -20.0 GASOLINE -2.1 2.8 -9.9 -2.6 -12.7 -0.2 -11.2 2.3 -6.3 -20.0 9.0 -19.0 15.0 7.3 -2.0 20.0 20.0 20.0 20.0 -0.3 4.0 -17.9 11.0 -6.2 -20.0 -3.0 -14.4 -0.9 -9.9 4.1 -4.8 20.0 -1.4 9.3 -0.3 -5.7 20.0 20.0 20.0 20.0 GAS_US_mini -20.0 -8.7 20.0 -1.3 -6.6 -0.1 -5.8 1.2 -3.3 -0.1 -9.8 -9.2 -11.1 -11.2 -9.0 -10.5 -20.0 -19.8 -20.0 -9.8 -7.4 -8.9 -13.7 -13.5 20.0 -2.3 0.1 -1.9 -2.6 -3.6 -3.7 -20.0 8.5 -11.4 -6.5 5.3 -2.8 -8.4 -8.6 -16.3 GBP 15.6 6.8 6.2 0.3 -9.1 -1.0 -1.4 0.6 1.8 -3.0 17.6 15.7 8.0 18.1 20.0 -0.7 -0.8 -0.8 -0.8 18.3 12.1 13.2 8.2 20.0 0.2 7.7 -1.4 5.7 5.5 4.1 8.8 3.2 20.0 20.0 20.0 20.0 3.5 -20.0 1.8 -12.3 GOLD_micro 12.2 -1.5 2.3 -3.2 -3.3 -1.5 -3.6 -0.3 -3.8 -4.4 9.0 4.1 9.6 4.0 5.8 -11.5 -13.4 -11.8 -12.5 7.8 10.2 2.7 11.5 7.2 -4.0 1.2 -2.7 3.9 0.2 6.1 1.0 -13.1 19.3 20.0 18.6 16.9 5.9 -5.9 14.1 0.5 HEATOIL -6.2 7.3 -10.8 -2.5 -12.5 -0.2 -11.1 2.3 -6.3 -20.0 -3.0 -20.0 6.7 1.8 -3.9 -7.0 9.2 -5.2 0.9 -4.4 -3.0 -20.0 2.4 -11.3 -20.0 -4.6 -10.5 -3.8 -9.4 0.3 -5.8 -4.8 -5.6 0.9 -4.6 -16.6 0.5 7.0 -8.7 2.7 JGB-SGX-mini 1.1 3.6 -14.0 1.8 -0.4 0.4 1.4 -1.0 2.3 -6.8 -5.9 0.6 -2.0 -2.4 -5.4 20.0 19.0 20.0 19.9 -4.2 -5.4 -1.8 -3.5 -1.8 -9.1 -2.1 -2.1 -3.0 -0.8 -2.7 -0.8 20.0 -5.4 -10.6 -8.6 -13.1 -3.3 -4.3 2.5 17.7 JPY 20.0 2.1 7.0 0.1 -4.2 -0.5 -0.6 0.3 0.8 9.2 -11.3 8.2 -12.1 -0.7 -7.7 -14.7 -16.2 -15.3 -15.7 -6.5 -12.9 9.6 -17.0 2.5 20.0 -2.3 4.8 -4.7 4.2 -6.0 1.3 -20.0 20.0 5.2 -5.6 -17.5 -20.0 -13.6 -20.0 -12.8 LEANHOG 10.8 -20.0 -20.0 -3.3 2.1 -2.2 0.1 -1.3 -2.3 12.4 -9.4 9.2 -7.1 -5.0 -11.0 20.0 -5.1 20.0 20.0 -17.0 -15.6 12.0 -10.1 -5.1 4.0 -3.8 5.4 -3.3 3.0 -1.9 -1.0 2.7 20.0 3.6 -10.1 -20.0 -6.8 -9.1 -1.9 3.2 LIVECOW -3.6 15.6 11.9 -5.7 3.6 -3.8 0.2 -2.3 -4.1 13.9 19.0 -0.2 8.2 14.3 18.9 -1.9 9.3 10.8 12.9 20.0 18.0 8.2 11.8 13.6 -11.9 7.2 6.7 7.1 2.8 6.5 4.3 15.8 7.4 13.7 20.0 20.0 1.3 20.0 6.2 20.0 LUMBER-new 10.3 -4.4 -17.9 -2.2 1.4 -1.4 0.1 -0.8 -1.6 3.9 -7.9 3.8 -7.7 -4.8 -7.9 -14.6 -17.2 -16.4 -17.1 -8.2 -9.6 2.8 -7.2 -2.6 NaN -2.5 1.1 -3.7 1.4 -2.8 -0.1 -20.0 6.3 7.3 -0.2 -20.0 0.3 -6.1 6.1 -2.9 MILK -4.5 3.9 20.0 -3.4 2.2 -2.2 0.1 -1.4 -2.4 11.7 8.7 7.9 -2.2 -1.1 9.7 -20.0 -20.0 -20.0 -20.0 9.8 10.9 5.7 0.9 4.6 15.6 3.1 3.4 3.7 1.6 -0.1 0.9 -20.0 3.1 2.5 20.0 20.0 -6.9 -20.0 -2.9 -20.0 MXP 14.7 -13.0 -20.0 0.1 -4.1 -0.5 -0.6 0.3 0.8 -9.0 -2.5 1.6 4.0 -1.7 -3.7 10.2 15.3 11.8 13.5 -4.4 -4.2 -1.7 2.0 -0.2 -20.0 -2.0 -2.4 -1.6 -0.7 0.7 -0.6 20.0 -3.5 3.2 -20.0 -12.2 16.4 13.5 20.0 20.0 NASDAQ_micro -16.3 7.8 5.8 4.3 0.3 4.4 1.9 4.4 3.8 -7.6 13.0 -7.0 14.2 4.9 11.0 -11.1 -10.9 -11.5 -11.3 14.7 18.6 -9.6 19.5 3.3 -20.0 3.9 -2.9 5.1 -2.8 5.7 0.7 -8.2 -20.0 -20.0 9.2 10.7 0.8 5.5 -6.9 5.0 NIKKEI 8.1 3.1 -3.4 5.5 0.4 5.6 2.4 5.6 4.9 -15.7 13.9 -7.9 15.8 3.8 7.5 14.5 10.4 12.0 10.3 13.6 17.1 -15.1 20.0 5.2 -18.7 4.5 -8.0 5.5 -3.7 7.5 2.3 20.0 -20.0 4.0 1.7 -6.3 5.3 -4.9 -4.6 -9.5 NZD -10.8 -3.3 5.1 0.2 -7.0 -0.8 -1.0 0.5 1.4 -17.6 -2.0 -17.8 -1.6 -15.8 2.8 -0.1 0.2 -0.0 0.1 -4.4 -0.1 -20.0 -1.0 -13.7 0.4 -2.7 -16.6 -0.1 -13.2 0.1 -7.8 4.7 -20.0 -20.0 -8.7 6.6 8.3 -5.2 8.5 0.6 OAT 14.0 -1.5 -8.9 2.1 -0.5 0.5 1.7 -1.2 2.8 -0.3 -7.8 7.5 -3.4 3.7 -4.0 -0.6 4.0 0.5 2.1 -2.1 -4.9 3.7 -5.0 3.1 1.9 -0.9 -1.1 -1.9 2.0 -1.4 1.8 11.2 0.7 1.2 -13.0 -6.0 -20.0 -19.1 -8.7 -3.3 OATIES 6.7 -20.0 2.5 -2.1 1.4 -1.4 0.1 -0.9 -1.5 7.4 -6.8 6.4 -7.7 -6.2 -7.2 1.0 0.7 0.7 1.7 -9.0 -8.4 5.9 -6.7 -3.3 -20.0 -2.1 2.6 -1.6 1.2 -1.1 -1.1 -1.7 12.7 1.9 -10.0 -2.1 2.9 -1.2 12.9 10.2 OJ -1.8 -6.2 -2.3 -3.3 2.1 -2.2 0.1 -1.3 -2.3 -9.6 9.8 -0.8 11.7 0.7 7.7 9.1 12.2 9.4 9.9 10.8 15.3 -1.7 18.3 4.3 -20.0 3.0 -1.8 5.4 -1.1 8.4 0.4 15.1 -8.0 5.6 2.4 20.0 11.0 10.4 20.0 20.0 PALLAD 1.9 2.8 3.1 -2.5 -2.5 -1.2 -2.8 -0.2 -2.9 -6.5 -6.2 -7.1 -8.3 -4.0 -4.9 -1.4 -2.1 -1.7 -1.9 -2.7 -3.9 -8.6 -8.5 -4.5 14.3 -2.1 -3.8 -2.3 -3.9 -3.2 -2.5 5.9 -9.1 9.8 11.0 -2.1 -20.0 -20.0 -20.0 -20.0 PLAT -5.6 -7.7 8.6 -3.5 -3.6 -1.6 -4.0 -0.3 -4.2 -12.3 0.5 -11.5 -3.5 -9.3 -2.9 -5.2 -4.3 -5.1 -4.8 -1.5 2.2 -13.8 1.7 -7.3 7.6 -2.9 -7.4 -0.4 -6.4 0.6 -4.9 1.5 -8.8 0.7 4.4 9.5 -18.6 -9.2 -6.0 2.6 REDWHEAT -8.8 -20.0 13.3 -3.0 1.9 -2.0 0.1 -1.2 -2.1 0.9 -7.2 -4.2 -9.9 -11.4 -10.5 -10.3 -4.4 -9.6 -7.1 -14.2 -8.6 -5.5 -8.7 -13.9 -5.1 -3.2 0.1 -1.8 -1.3 -1.6 -3.3 -13.3 -7.8 -9.2 -20.0 6.9 -15.9 -20.0 -10.1 -17.6 RICE -20.0 -19.0 7.1 -4.6 2.9 -3.0 0.1 -1.8 -3.3 10.7 10.3 -10.3 13.9 -14.3 7.5 16.0 20.0 20.0 20.0 -9.4 2.8 -7.4 10.5 -16.0 -11.7 -1.7 7.5 1.5 -1.2 3.0 -4.0 20.0 -1.7 -16.0 10.4 20.0 -18.7 -9.1 -19.2 -7.3 ROBUSTA 11.4 8.0 -1.9 -2.6 1.7 -1.7 0.1 -1.0 -1.9 -3.3 10.3 7.7 10.4 8.8 9.7 20.0 20.0 20.0 20.0 17.2 19.4 8.7 20.0 14.8 -20.0 4.0 0.1 5.3 2.1 6.6 3.4 20.0 -0.5 20.0 20.0 20.0 3.6 -6.1 10.6 3.6 RUSSELL 20.0 3.8 -0.9 4.1 0.3 4.2 1.8 4.2 3.6 9.5 8.7 9.7 9.5 8.1 6.2 -6.8 -6.8 -7.1 -7.0 11.3 6.5 20.0 5.0 19.2 -0.9 3.8 4.2 2.4 5.7 1.8 5.6 -0.9 20.0 20.0 5.0 -0.4 3.4 -20.0 0.8 -20.0 SHATZ 3.7 20.0 2.7 1.6 -0.4 0.3 1.3 -0.9 2.1 4.0 -6.3 5.0 -7.3 4.7 1.5 -20.0 -20.0 -20.0 -20.0 1.3 -3.8 3.6 -8.5 3.9 7.0 0.8 0.9 -1.3 1.7 -2.9 2.0 -20.0 5.1 -2.2 2.4 -4.3 -20.0 -14.8 -16.8 -11.3 SILVER-mini -1.2 -2.0 10.6 -2.9 -3.0 -1.4 -3.3 -0.2 -3.5 -10.0 7.0 -6.1 6.7 -4.6 4.3 -5.7 -6.4 -5.9 -6.2 4.0 8.5 -9.4 8.4 -2.3 2.4 -0.8 -5.3 2.2 -4.5 3.5 -3.0 -1.5 -8.0 7.1 6.2 16.2 -0.1 -7.3 6.4 5.0 SMI -0.7 -1.6 15.4 6.3 0.5 6.4 2.8 6.4 5.6 1.9 19.2 8.6 18.4 13.1 17.7 -3.9 0.9 -3.3 -1.3 19.0 20.0 9.3 20.0 13.9 15.6 7.3 1.5 9.4 3.9 9.0 5.5 11.0 10.7 -11.2 -2.5 14.2 5.3 2.2 -1.8 0.1 SOFR 10.2 16.3 6.8 2.3 -0.6 0.5 1.9 -1.3 3.1 -0.6 -0.0 8.0 -2.6 10.7 9.8 -1.2 -1.3 -2.1 -1.9 8.7 3.4 4.2 -2.1 9.2 -3.6 3.6 -0.9 2.4 0.8 0.6 2.8 3.1 -1.8 -1.5 6.5 4.8 7.9 -14.3 20.0 3.2 SOYBEAN -5.3 -19.7 -0.5 -2.7 1.7 -1.8 0.1 -1.1 -2.0 7.2 -10.2 -6.2 -7.5 -9.9 -10.4 -2.7 5.7 -1.5 0.8 -14.7 -11.2 -5.2 -8.1 -13.8 -20.0 -3.7 2.1 -2.6 -1.2 -1.6 -3.5 1.7 -9.6 -18.8 -18.4 -8.1 -12.1 -20.0 -6.0 -20.0 SOYMEAL -14.7 -20.0 6.2 -2.9 1.8 -1.9 0.1 -1.1 -2.0 8.6 -10.7 -6.5 -9.7 -10.5 -10.7 5.1 7.1 6.7 5.4 -14.8 -11.0 -5.0 -8.5 -14.3 -20.0 -3.2 2.0 -1.9 -1.2 -1.1 -3.6 6.3 -3.8 -20.0 -14.6 4.4 -20.0 -20.0 -20.0 -20.0 SOYOIL 9.1 7.3 4.0 -2.3 1.4 -1.5 0.1 -0.9 -1.6 -1.2 -5.9 -3.7 -8.2 -2.6 -3.5 6.1 0.7 2.1 -0.2 -1.1 -3.8 -2.6 -6.5 -1.2 -20.0 -1.3 0.6 -2.3 -1.2 -2.7 -1.0 -4.1 -12.3 6.1 6.7 -6.0 -13.2 -14.1 -1.6 -2.0 SP400 15.6 -4.8 -7.0 4.5 0.3 4.6 2.0 4.6 4.0 5.4 9.3 6.7 11.1 5.0 2.9 -4.6 -5.8 -5.7 -5.9 6.7 6.4 13.4 8.7 12.0 -11.2 4.0 3.1 3.5 5.4 3.8 5.6 0.9 20.0 11.6 -4.3 -4.7 4.9 -9.5 3.2 -20.0 SP500_micro -6.1 10.3 10.7 6.5 0.5 6.7 2.9 6.7 5.8 -6.9 20.0 -1.1 20.0 14.2 19.6 -14.8 -12.9 -14.5 -13.7 20.0 20.0 -1.0 20.0 15.8 -20.0 7.5 -2.3 8.9 -0.7 9.5 4.0 -11.8 -20.0 -10.8 15.1 14.8 10.0 2.0 -0.2 2.1 SUGAR11 -5.8 16.8 -9.8 -3.9 2.5 -2.5 0.1 -1.5 -2.8 -14.7 -12.2 -13.8 -9.9 -4.4 -8.4 -4.5 8.8 -1.5 3.1 -5.9 -10.5 -20.0 -10.0 -10.8 -20.0 -1.9 -11.4 -4.3 -8.3 -4.1 -3.3 7.1 -20.0 -2.4 20.0 -14.8 2.4 20.0 7.6 20.0 US10 8.4 13.5 7.0 2.0 -0.5 0.4 1.6 -1.1 2.6 -2.2 -1.5 6.2 -5.2 8.6 7.3 -7.2 -7.4 -7.0 -7.1 5.4 1.0 2.4 -4.7 6.0 2.6 2.8 -1.3 1.7 0.3 -0.3 2.1 -6.7 -3.6 -3.1 3.0 2.9 4.6 -18.9 13.8 2.7 US10U 5.6 11.8 7.5 2.6 -0.6 0.6 2.1 -1.5 3.5 -4.3 -2.9 7.8 -6.6 10.8 9.1 -4.5 -2.9 -4.7 -4.0 5.4 0.6 1.9 -6.5 5.8 0.2 3.3 -2.0 2.2 -0.0 -0.4 2.2 0.0 -6.0 -7.3 2.0 3.5 5.0 -15.4 20.0 11.5 US2 18.9 17.7 1.5 2.1 -0.5 0.4 1.7 -1.2 2.8 1.5 -6.2 6.5 -9.8 9.2 4.7 -20.0 -20.0 -20.0 -20.0 6.4 -2.7 6.2 -11.8 10.3 15.9 2.3 -0.3 -0.2 1.7 -2.6 3.3 -20.0 3.6 5.0 3.9 -2.6 2.1 -20.0 5.8 -11.5 US20 1.8 9.3 7.8 1.7 -0.4 0.4 1.4 -1.0 2.3 -4.6 -0.8 4.3 -2.2 6.1 6.0 -0.8 -0.8 -0.8 -0.7 2.8 0.9 0.0 -2.9 2.4 -1.3 2.3 -1.6 2.2 -0.4 0.6 1.0 4.6 -5.2 -7.5 1.2 4.1 3.6 -9.8 20.0 18.3 US30 -0.2 8.1 7.8 1.9 -0.5 0.4 1.6 -1.1 2.6 -8.5 -2.2 2.7 -3.7 4.4 4.7 -3.9 -5.1 -4.6 -4.9 1.8 0.0 -1.3 -4.1 1.2 -0.7 2.1 -2.6 2.0 -1.1 0.2 0.6 -2.9 -7.7 -10.0 -0.4 3.2 0.5 -9.3 12.4 19.3 US5 12.4 15.7 5.6 2.2 -0.5 0.5 1.7 -1.2 2.9 -0.1 -3.3 7.2 -7.9 9.8 7.4 -11.1 -10.4 -10.6 -10.3 6.8 0.5 4.3 -6.5 8.5 6.8 3.0 -0.9 1.3 1.0 -0.8 2.8 -12.0 -1.0 0.4 4.4 1.7 4.7 -19.6 11.3 -4.3 VIX 3.2 4.9 -9.6 -8.0 -1.7 -10.7 -0.6 -13.0 -4.0 -6.4 -20.0 -6.1 -20.0 -14.1 -20.0 -20.0 -20.0 -20.0 -20.0 -16.4 -20.0 -1.0 -20.0 -6.7 NaN -9.5 -2.0 -12.6 -0.6 -15.6 -4.5 NaN NaN NaN NaN NaN -14.4 -20.0 NaN NaN WHEAT -10.8 -20.0 12.4 -2.2 1.4 -1.5 0.1 -0.9 -1.6 -2.8 -4.9 -5.7 -6.6 -8.7 -7.9 -15.3 -14.4 -15.8 -15.4 -11.5 -6.3 -6.7 -5.6 -12.2 0.9 -2.4 -0.3 -1.1 -1.5 -0.8 -2.7 -20.0 -12.5 -9.4 -18.9 5.2 -14.8 -20.0 -12.4 -20.0 End of report for caleb_strategy_v3