******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240726_203930 produced at 2024-07-26 21:38:06.753480 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 VIX False False 0.01 -0.31 -0.20 0.0 999.00 -999.00 -0.31 -0.23 -31.69 999999999.0 -50 -37 caleb_strategy_v3 CAD False False 0.02 -0.10 -0.17 0.0 0.69 -0.69 -0.10 -0.10 -7.05 29.0 -4 -4 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.10 0.0 0.00 0.00 0.00 0.00 -2.76 24.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.03 -0.08 0.0 0.49 -0.49 -0.03 -0.03 -2.76 16.0 -1 -1 caleb_strategy_v3 MXP False False 0.01 -0.03 -0.06 0.0 0.53 -0.53 -0.03 -0.06 -6.67 60.0 -3 -7 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.05 0.0 0.79 -0.79 0.00 0.00 -1.16 19.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.05 0.0 0.10 -0.10 -0.03 -0.03 -1.34 3.0 -1 -1 caleb_strategy_v3 CAC True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.70 12.0 0 0 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.05 0.0 0.41 -0.41 -0.02 -0.02 -2.39 21.0 -1 -1 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.05 0.0 999.00 -999.00 -0.03 -0.03 -1.54 999999999.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.04 0.0 0.34 -0.34 0.00 0.00 -0.97 8.0 0 0 caleb_strategy_v3 OAT False False 0.04 0.00 -0.04 0.0 0.45 -0.45 0.00 0.00 -0.87 10.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.01 -0.04 0.0 0.29 -0.29 0.01 -0.03 -4.76 36.0 1 -4 caleb_strategy_v3 CORN False False 0.01 -0.03 -0.04 0.0 0.08 -0.08 -0.03 -0.03 -5.96 12.0 -5 -5 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.12 -0.12 -0.06 -0.06 -3.68 11.0 -5 -5 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.03 0.0 0.05 -0.05 -0.03 -0.03 -19.07 26.0 -15 -16 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.03 -0.03 0.0 0.29 -0.29 -0.03 -0.03 -2.01 23.0 -2 -2 caleb_strategy_v3 EUROSTX False False 0.02 -0.05 -0.03 0.0 0.35 -0.35 -0.05 -0.05 -1.70 20.0 -3 -3 caleb_strategy_v3 JPY False False 0.03 -0.05 -0.02 0.0 0.46 -0.46 -0.05 -0.03 -0.64 17.0 -2 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.07 -0.07 -0.02 -0.02 -1.83 8.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.07 -0.02 0.0 0.12 -0.12 -0.07 -0.05 -0.93 7.0 -4 -3 caleb_strategy_v3 SP500_micro False False 0.01 -0.05 -0.02 0.0 0.43 -0.43 -0.05 -0.05 -2.52 48.0 -5 -6 caleb_strategy_v3 AUD False False 0.02 0.04 -0.02 0.0 0.41 -0.41 0.04 0.00 -0.91 19.0 2 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.04 -1.79 9.0 -4 -4 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.16 -0.16 -0.01 -0.01 -6.22 51.0 -3 -2 caleb_strategy_v3 BTP False False 0.04 -0.08 -0.02 0.0 0.42 -0.42 -0.08 0.00 -0.46 10.0 -2 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -7.70 59.0 0 0 caleb_strategy_v3 DX False False 0.03 0.00 -0.02 0.0 999.00 -999.00 0.00 0.00 -0.68 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 -0.99 4.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -1.19 9.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -2.14 18.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.47 -0.47 0.00 0.00 -0.15 10.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.90 10.0 -1 -1 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 -0.03 -0.26 2.0 0 -1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -2.35 2.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -0.85 10.0 0 0 caleb_strategy_v3 CHF False False 0.05 0.00 -0.01 0.0 0.61 -0.61 0.00 0.00 -0.14 13.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.05 -0.01 0.0 0.19 -0.19 -0.05 -0.05 -0.24 4.0 -1 -1 caleb_strategy_v3 LUMBER-new False False 0.00 -0.01 -0.01 0.0 0.01 -0.01 -0.01 -0.01 -2.51 3.0 -2 -2 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.17 -0.17 0.00 0.00 0.08 6.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 0.00 0.0 0.25 -0.25 0.00 0.00 0.01 6.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.00 999999999.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.59 -0.59 0.00 0.00 0.17 26.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.03 0.00 0.0 0.13 -0.13 -0.03 -0.01 0.37 13.0 -3 -1 caleb_strategy_v3 SP400 False False 0.10 0.10 0.00 0.0 0.20 -0.20 0.10 0.10 0.04 2.0 1 1 caleb_strategy_v3 RICE False False 0.01 0.00 0.01 0.0 0.04 -0.04 0.00 0.00 0.66 4.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.06 -0.06 0.02 0.02 0.45 3.0 1 1 caleb_strategy_v3 US10 False False 0.04 0.00 0.01 0.0 0.62 -0.62 0.00 0.00 0.27 17.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.01 0.01 0.0 0.44 -0.44 0.01 0.00 1.75 66.0 1 0 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.07 -0.07 0.00 0.00 0.79 5.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.19 13.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.24 9.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.15 0.01 0.0 0.49 -0.49 0.15 0.15 0.27 13.0 4 4 caleb_strategy_v3 DAX False False 0.01 0.01 0.01 0.0 0.38 -0.38 0.01 0.00 1.54 58.0 1 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.31 -0.31 0.01 0.01 0.59 23.0 1 1 caleb_strategy_v3 US5 False False 0.04 0.04 0.02 0.0 0.88 -0.88 0.04 0.04 0.43 25.0 1 1 caleb_strategy_v3 GASOLINE False False 0.03 0.03 0.02 0.0 999.00 -999.00 0.03 0.00 0.80 999999999.0 1 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.25 -0.25 0.00 0.00 5.52 68.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.02 0.02 0.0 0.44 -0.44 0.02 0.01 2.29 56.0 2 1 caleb_strategy_v3 EUR False False 0.04 0.00 0.03 0.0 0.63 -0.63 0.00 0.00 0.73 14.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.05 0.0 0.12 -0.12 0.05 0.05 2.14 5.0 2 2 caleb_strategy_v3 GBP False False 0.03 0.08 0.07 0.0 0.58 -0.58 0.08 0.03 2.80 22.0 3 1 caleb_strategy_v3 SMI False True 0.05 0.00 0.10 0.0 0.00 0.00 0.00 0.00 2.26 9.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.10 0.12 0.0 0.42 -0.42 0.10 0.10 4.89 17.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.31 0.0 0.87 -0.87 0.00 0.00 3.53 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 0.77 0.0 0.00 0.00 0.00 0.00 9.67 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.3 Shocked risk 23.1 Sum abs risk 34.7 Leverage 3.11 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3040049.81, 'annual_cash_vol_target': 760012.4525, 'daily_cash_vol_target': 47500.77828125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0035 0.6560 0.5346 8.5537 BITCOIN 1749.0562 68235.0000 2.5633 41.0125 BOBL 0.2364 117.0200 0.2020 3.2324 BTP 0.5160 118.0200 0.4372 6.9959 BUND 0.4830 132.6900 0.3640 5.8246 BUXL 1.1850 131.8200 0.8990 14.3838 CAC 67.7180 7544.0000 0.8976 14.3623 CAD 0.0023 0.7236 0.3156 5.0496 CANOLA 9.7934 655.2000 1.4947 23.9155 CHF 0.0049 1.1384 0.4347 6.9555 COCOA 270.2899 6955.0000 3.8863 62.1803 COFFEE 4.4124 229.4000 1.9234 30.7751 COPPER 0.0576 4.1025 1.4052 22.4837 CORN 6.2993 410.0000 1.5364 24.5828 COTTON2 0.9911 68.0500 1.4565 23.3034 CRUDE_W 0.9658 74.0500 1.3043 20.8685 DAX 143.7102 18555.0000 0.7745 12.3922 DOW 282.5661 40813.0000 0.6923 11.0775 DX 0.3274 104.0700 0.3146 5.0337 EUR 0.0040 1.0882 0.3647 5.8350 EURIBOR-ICE 0.0446 97.6350 0.0457 0.7308 EUROSTX 46.1941 4896.0000 0.9435 15.0961 FEEDCOW 1.6390 256.8500 0.6381 10.2095 GASOIL 10.3320 744.2500 1.3882 22.2118 GASOLINE 0.0312 2.1527 1.4512 23.2186 GAS_US_mini 0.0888 2.1750 4.0838 65.3408 GBP 0.0055 1.2877 0.4244 6.7899 GOLD_micro 21.0363 2405.4000 0.8745 13.9927 HEATOIL 0.0344 2.4459 1.4070 22.5121 JGB-SGX-mini 0.2174 142.8700 0.1522 2.4350 JPY 0.0000 0.0066 0.6548 10.4764 LEANHOG 1.2056 78.1500 1.5426 24.6819 LIVECOW 1.1995 188.5000 0.6363 10.1812 LUMBER-new 9.2149 525.0000 1.7552 28.0836 MILK 0.2420 21.2600 1.1382 18.2115 MXP 0.0005 0.0537 0.8894 14.2308 NASDAQ_micro 206.0122 19130.7500 1.0769 17.2298 NIKKEI 434.8537 38190.0000 1.1387 18.2185 NZD 0.0034 0.5890 0.5855 9.3675 OAT 0.4707 124.9100 0.3768 6.0289 OATIES 6.8878 312.2500 2.2059 35.2938 OJ 8.2080 435.1500 1.8862 30.1798 PALLAD 22.0358 883.5000 2.4942 39.9064 PLAT 14.4357 942.6000 1.5315 24.5037 REDWHEAT 10.7259 562.0000 1.9085 30.5363 RICE 0.1657 15.4050 1.0755 17.2074 ROBUSTA 74.0721 4162.0000 1.7797 28.4756 RUSSELL 27.2645 2268.3000 1.2020 19.2317 SHATZ 0.0803 105.9200 0.0758 1.2136 SILVER-mini 0.5251 28.4125 1.8482 29.5708 SMI 83.9646 12288.0000 0.6833 10.9329 SOFR 0.0576 96.5550 0.0597 0.9546 SOYBEAN 14.3640 1046.5000 1.3726 21.9612 SOYMEAL 4.9598 324.0000 1.5308 24.4927 SOYOIL 0.8314 41.9000 1.9842 31.7468 SP400 29.8752 3088.8000 0.9672 15.4753 SP500_micro 38.9442 5489.0000 0.7095 11.3519 SUGAR11 0.3171 18.8100 1.6856 26.9696 US10 0.3565 111.2188 0.3205 5.1281 US10U 0.4999 114.7344 0.4357 6.9715 US2 0.0844 102.5977 0.0823 1.3164 US20 0.7820 119.3750 0.6550 10.4806 US30 1.2064 126.0938 0.9568 15.3086 US5 0.2223 107.5703 0.2066 3.3061 VIX 0.4896 18.7500 2.6114 41.7827 WHEAT 10.5814 547.7500 1.9318 30.9088 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 656.05 0.53 350.73 1.00 350.73 47500.78 135.43 -2.58 -34.90 BITCOIN 68.24 2.56 174.91 1.00 174.91 47500.78 271.58 -2.62 -71.11 BOBL 1170.20 0.20 236.41 1.08 256.41 47500.78 185.25 -6.18 -114.47 BTP 1180.20 0.44 516.04 1.08 559.69 47500.78 84.87 -1.59 -13.50 BUND 1326.90 0.36 483.04 1.08 523.91 47500.78 90.67 -1.63 -14.78 BUXL 1318.20 0.90 1185.05 1.08 1285.30 47500.78 36.96 -6.27 -23.18 CAC 754.40 0.90 677.18 1.08 734.47 47500.78 64.67 -7.69 -49.73 CAD 723.65 0.32 228.38 1.00 228.38 47500.78 207.99 -13.06 -271.61 CANOLA 131.04 1.49 195.87 0.72 141.68 47500.78 335.28 -7.62 -255.55 CHF 1423.00 0.43 618.61 1.00 618.61 47500.78 76.79 -0.68 -5.22 COCOA 695.50 3.89 2702.90 1.00 2702.90 47500.78 17.57 4.61 8.10 COFFEE 860.25 1.92 1654.64 1.00 1654.64 47500.78 28.71 2.30 6.60 COPPER 1025.62 1.41 1441.24 1.00 1441.24 47500.78 32.96 -4.30 -14.18 CORN 205.00 1.54 314.97 1.00 314.97 47500.78 150.81 -16.25 -245.06 COTTON2 340.25 1.46 495.56 1.00 495.56 47500.78 95.85 -17.95 -172.04 CRUDE_W 740.50 1.30 965.82 1.00 965.82 47500.78 49.18 4.01 19.73 DAX 185.55 0.77 143.71 1.08 155.87 47500.78 304.75 1.48 45.25 DOW 204.06 0.69 141.28 1.00 141.28 47500.78 336.21 2.25 75.50 DX 1040.70 0.31 327.41 1.00 327.41 47500.78 145.08 -1.80 -26.08 EUR 1360.25 0.36 496.06 1.00 496.06 47500.78 95.76 2.95 28.21 EURIBOR-ICE 2440.88 0.05 111.49 1.08 120.92 47500.78 392.82 2.63 103.45 EUROSTX 489.60 0.94 461.94 1.08 501.02 47500.78 94.81 -5.26 -49.86 FEEDCOW 1284.25 0.64 819.48 1.00 819.48 47500.78 57.96 -5.06 -29.33 GASOIL 744.25 1.39 1033.20 1.00 1033.20 47500.78 45.97 -4.96 -22.82 GASOLINE 904.13 1.45 1312.05 1.00 1312.05 47500.78 36.20 5.07 18.37 GAS_US_mini 54.38 4.08 222.06 1.00 222.06 47500.78 213.91 -8.23 -176.12 GBP 804.81 0.42 341.54 1.00 341.54 47500.78 139.08 7.77 108.08 GOLD_micro 240.54 0.87 210.36 1.00 210.36 47500.78 225.80 2.98 67.25 HEATOIL 1027.28 1.41 1445.38 1.00 1445.38 47500.78 32.86 -9.43 -30.99 JGB-SGX-mini 142870.00 0.15 21742.88 0.01 141.25 47500.78 336.28 -0.76 -25.45 JPY 819.25 0.65 536.42 1.00 536.42 47500.78 88.55 -2.77 -24.51 LEANHOG 312.60 1.54 482.22 1.00 482.22 47500.78 98.50 0.62 6.11 LIVECOW 754.00 0.64 479.79 1.00 479.79 47500.78 99.00 14.91 147.57 LUMBER-new 144.38 1.76 253.41 1.00 253.41 47500.78 187.45 -6.26 -117.29 MILK 425.20 1.14 483.97 1.00 483.97 47500.78 98.15 3.77 37.00 MXP 268.50 0.89 238.81 1.00 238.81 47500.78 198.91 -2.29 -45.46 NASDAQ_micro 382.62 1.08 412.02 1.00 412.02 47500.78 115.29 -7.50 -86.45 NIKKEI 38190.00 1.14 43485.37 0.01 282.50 47500.78 168.14 -2.62 -43.98 NZD 589.00 0.59 344.84 1.00 344.84 47500.78 137.75 -6.70 -92.24 OAT 1249.10 0.38 470.67 1.08 510.49 47500.78 93.05 -2.74 -25.51 OATIES 156.12 2.21 344.39 1.00 344.39 47500.78 137.93 -6.99 -96.47 OJ 652.72 1.89 1231.20 1.00 1231.20 47500.78 38.58 5.48 21.15 PALLAD 883.50 2.49 2203.58 1.00 2203.58 47500.78 21.56 -3.54 -7.64 PLAT 471.30 1.53 721.79 1.00 721.79 47500.78 65.81 -4.03 -26.50 REDWHEAT 281.00 1.91 536.29 1.00 536.29 47500.78 88.57 -15.58 -138.03 RICE 308.10 1.08 331.35 1.00 331.35 47500.78 143.36 1.89 27.04 ROBUSTA 416.20 1.78 740.72 1.00 740.72 47500.78 64.13 7.94 50.93 RUSSELL 113.42 1.20 136.32 1.00 136.32 47500.78 348.44 4.78 166.65 SHATZ 1059.20 0.08 80.34 1.08 87.13 47500.78 545.15 -4.99 -271.76 SILVER-mini 710.31 1.85 1312.78 1.00 1312.78 47500.78 36.18 0.00 0.01 SMI 1228.80 0.68 839.65 1.13 952.45 47500.78 49.87 13.29 66.30 SOFR 2413.88 0.06 144.02 1.00 144.02 47500.78 329.82 4.83 159.15 SOYBEAN 523.25 1.37 718.20 1.00 718.20 47500.78 66.14 -15.17 -100.35 SOYMEAL 324.00 1.53 495.98 1.00 495.98 47500.78 95.77 -13.37 -128.08 SOYOIL 251.40 1.98 498.82 1.00 498.82 47500.78 95.23 -9.61 -91.55 SP400 3088.80 0.97 2987.52 1.00 2987.52 47500.78 15.90 0.73 1.15 SP500_micro 274.45 0.71 194.72 1.00 194.72 47500.78 243.94 -4.44 -108.43 SUGAR11 210.67 1.69 355.11 1.00 355.11 47500.78 133.76 -7.52 -100.65 US10 1112.19 0.32 356.46 1.00 356.46 47500.78 133.26 1.63 21.67 US10U 1147.34 0.44 499.92 1.00 499.92 47500.78 95.02 2.27 21.61 US2 2051.95 0.08 168.83 1.00 168.83 47500.78 281.35 0.53 14.84 US20 1193.75 0.66 781.95 1.00 781.95 47500.78 60.75 3.13 19.04 US30 1260.94 0.96 1206.45 1.00 1206.45 47500.78 39.37 0.11 0.44 US5 1075.70 0.21 222.27 1.00 222.27 47500.78 213.70 1.60 34.16 VIX 187.50 2.61 489.64 1.00 489.64 47500.78 97.01 -13.23 -128.39 WHEAT 273.88 1.93 529.07 1.00 529.07 47500.78 89.78 -15.00 -134.66 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -34.898 0.010 2.5 -0.905 BITCOIN -71.111 0.043 2.5 -7.700 BOBL -114.468 0.004 2.5 -1.161 BTP -13.501 0.014 2.5 -0.460 BUND -14.775 0.004 2.5 -0.150 BUXL -23.178 0.004 2.5 -0.235 CAC -49.725 0.014 2.5 -1.696 CAD -271.610 0.010 2.5 -7.047 CANOLA -255.553 0.010 2.5 -6.217 CHF -5.215 0.010 2.5 -0.135 COCOA 8.100 0.009 2.5 0.173 COFFEE 6.595 0.005 2.5 0.077 COPPER -14.184 0.043 2.5 -1.536 CORN -245.064 0.010 2.5 -5.962 COTTON2 -172.041 0.009 2.5 -3.685 CRUDE_W 19.732 0.043 2.5 2.137 DAX 45.245 0.014 2.5 1.543 DOW 75.496 0.009 2.5 1.755 DX -26.084 0.010 2.5 -0.677 EUR 28.206 0.010 2.5 0.732 EURIBOR-ICE 103.454 0.014 2.5 3.529 EUROSTX -49.861 0.014 2.5 -1.701 FEEDCOW -29.330 0.013 2.5 -0.972 GASOIL -22.821 0.017 2.5 -0.989 GASOLINE 18.371 0.017 2.5 0.796 GAS_US_mini -176.121 0.043 2.5 -19.072 GBP 108.077 0.010 2.5 2.804 GOLD_micro 67.250 0.014 2.5 2.294 HEATOIL -30.991 0.017 2.5 -1.343 JGB-SGX-mini -25.454 0.043 2.5 -2.756 JPY -24.511 0.010 2.5 -0.636 LEANHOG 6.106 0.024 2.5 0.371 LIVECOW 147.573 0.013 2.5 4.890 LUMBER-new -117.295 0.009 2.5 -2.511 MILK 37.000 0.009 2.5 0.792 MXP -45.461 0.059 2.5 -6.672 NASDAQ_micro -86.447 0.009 2.5 -2.009 NIKKEI -43.978 0.043 2.5 -4.762 NZD -92.244 0.010 2.5 -2.393 OAT -25.509 0.014 2.5 -0.870 OATIES -96.467 0.010 2.5 -2.347 OJ 21.154 0.009 2.5 0.453 PALLAD -7.641 0.014 2.5 -0.261 PLAT -26.501 0.014 2.5 -0.904 REDWHEAT -138.033 0.005 2.5 -1.831 RICE 27.042 0.010 2.5 0.658 ROBUSTA 50.928 0.005 2.5 0.595 RUSSELL 166.647 0.013 2.5 5.522 SHATZ -271.758 0.004 2.5 -2.756 SILVER-mini 0.008 0.014 2.5 0.000 SMI 66.303 0.014 2.5 2.261 SOFR 159.152 0.024 2.5 9.672 SOYBEAN -100.346 0.004 2.5 -0.933 SOYMEAL -128.083 0.004 2.5 -1.191 SOYOIL -91.551 0.004 2.5 -0.852 SP400 1.153 0.013 2.5 0.038 SP500_micro -108.427 0.009 2.5 -2.520 SUGAR11 -100.654 0.009 2.5 -2.141 US10 21.666 0.005 2.5 0.275 US10U 21.612 0.005 2.5 0.274 US2 14.839 0.005 2.5 0.188 US20 19.038 0.005 2.5 0.241 US30 0.444 0.005 2.5 0.006 US5 34.158 0.005 2.5 0.433 VIX -128.386 0.099 2.5 -31.691 WHEAT -134.660 0.005 2.5 -1.786 ===================== Position diags ===================== AUD 3.51 BITCOIN 29.41 BOBL 1.88 BTP 2.89 BUND 0.92 BUXL 0.37 CAC 2.21 CAD 5.40 CANOLA 8.16 CHF 1.99 COCOA 0.38 COFFEE 0.34 COPPER 3.57 CORN 3.67 COTTON2 2.05 CRUDE_W 5.33 DAX 10.39 DOW 7.81 DX 3.76 EUR 2.48 EURIBOR-ICE 13.40 EUROSTX 3.23 FEEDCOW 1.92 GASOIL 1.99 GASOLINE 1.57 GAS_US_mini 23.16 GBP 3.61 GOLD_micro 7.70 HEATOIL 1.42 JGB-SGX-mini 36.41 JPY 2.30 LEANHOG 5.99 LIVECOW 3.28 LUMBER-new 4.01 MILK 2.10 MXP 29.19 NASDAQ_micro 2.68 NIKKEI 18.21 NZD 3.57 OAT 3.17 OATIES 3.36 OJ 0.83 PALLAD 0.74 PLAT 2.24 REDWHEAT 1.17 RICE 3.49 ROBUSTA 0.75 RUSSELL 11.55 SHATZ 5.53 SILVER-mini 1.23 SMI 1.70 SOFR 20.04 SOYBEAN 0.62 SOYMEAL 0.89 SOYOIL 0.89 SP400 0.53 SP500_micro 5.67 SUGAR11 2.84 US10 1.69 US10U 1.20 US2 3.57 US20 0.77 US30 0.50 US5 2.71 VIX 23.95 WHEAT 1.19 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.9 -1.3 -0.6 2.0 2 BITCOIN -7.7 -10.6 -4.8 0.0 0 BOBL -1.2 -1.3 -1.0 0.0 0 BTP -0.5 -0.7 -0.2 -2.0 -2 BUND -0.1 -0.2 -0.1 0.0 0 BUXL -0.2 -0.3 -0.2 -1.0 -1 CAC -1.7 -1.9 -1.5 0.0 0 CAD -7.0 -7.6 -6.5 -4.0 -4 CANOLA -6.2 -7.0 -5.4 -3.0 -3 CHF -0.1 -0.3 0.1 0.0 0 COCOA 0.2 0.1 0.2 0.0 0 COFFEE 0.1 0.0 0.1 0.0 0 COPPER -1.5 -1.9 -1.2 -1.0 -1 CORN -6.0 -6.3 -5.6 -5.0 -5 COTTON2 -3.7 -3.9 -3.5 -5.0 -5 CRUDE_W 2.1 1.6 2.7 2.0 2 DAX 1.5 0.5 2.6 1.0 1 DOW 1.8 1.0 2.5 1.0 1 DX -0.7 -1.1 -0.3 0.0 0 EUR 0.7 0.5 1.0 0.0 0 EURIBOR-ICE 3.5 2.2 4.9 0.0 0 EUROSTX -1.7 -2.0 -1.4 -3.0 -3 FEEDCOW -1.0 -1.2 -0.8 0.0 0 GASOIL -1.0 -1.2 -0.8 -1.0 -1 GASOLINE 0.8 0.6 1.0 1.0 1 GAS_US_mini -19.1 -21.4 -16.8 -15.0 -15 GBP 2.8 2.4 3.2 3.0 3 GOLD_micro 2.3 1.5 3.1 2.0 2 HEATOIL -1.3 -1.5 -1.2 -1.0 -1 JGB-SGX-mini -2.8 -6.4 0.9 -1.0 -1 JPY -0.6 -0.9 -0.4 -2.0 -2 LEANHOG 0.4 -0.2 1.0 -3.0 -3 LIVECOW 4.9 4.6 5.2 4.0 4 LUMBER-new -2.5 -2.9 -2.1 -2.0 -2 MILK 0.8 0.6 1.0 NaN 0 MXP -6.7 -9.6 -3.8 -3.0 -3 NASDAQ_micro -2.0 -2.3 -1.7 -2.0 -2 NIKKEI -4.8 -6.6 -2.9 1.0 1 NZD -2.4 -2.8 -2.0 -1.0 -1 OAT -0.9 -1.2 -0.6 0.0 0 OATIES -2.3 -2.7 -2.0 NaN 0 OJ 0.5 0.4 0.5 1.0 1 PALLAD -0.3 -0.3 -0.2 0.0 0 PLAT -0.9 -1.1 -0.7 -1.0 -1 REDWHEAT -1.8 -1.9 -1.7 -2.0 -2 RICE 0.7 0.3 1.0 NaN 0 ROBUSTA 0.6 0.5 0.7 1.0 1 RUSSELL 5.5 4.4 6.7 0.0 0 SHATZ -2.8 -3.3 -2.2 NaN 0 SILVER-mini 0.0 -0.1 0.1 0.0 0 SMI 2.3 2.1 2.4 0.0 0 SOFR 9.7 7.7 11.7 NaN 0 SOYBEAN -0.9 -1.0 -0.9 -4.0 -4 SOYMEAL -1.2 -1.3 -1.1 0.0 0 SOYOIL -0.9 -0.9 -0.8 0.0 0 SP400 0.0 -0.0 0.1 1.0 1 SP500_micro -2.5 -3.1 -2.0 -5.0 -5 SUGAR11 -2.1 -2.4 -1.9 0.0 0 US10 0.3 0.1 0.4 0.0 0 US10U 0.3 0.2 0.4 4.0 4 US2 0.2 -0.2 0.5 NaN 0 US20 0.2 0.2 0.3 0.0 0 US30 0.0 -0.0 0.1 0.0 0 US5 0.4 0.2 0.7 1.0 1 VIX -31.7 -34.1 -29.3 -50.0 -50 WHEAT -1.8 -1.9 -1.7 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.8 3.8 3.8 3.8 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -0.3 0.1 0.3 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.2 0.0 -0.2 -0.1 -0.1 0.1 -0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.2 0.0 -0.2 0.5 -0.0 -0.2 0.1 -0.2 0.0 -0.1 -0.0 -0.5 -0.6 0.0 0.5 0.3 -0.2 0.3 -0.0 BITCOIN 0.3 -0.6 -0.4 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 0.2 0.2 0.5 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 0.2 0.4 0.1 -2.7 0.0 0.0 0.1 0.1 0.4 0.0 -0.2 0.5 0.6 0.6 0.2 -0.7 -0.2 -0.2 -0.0 BOBL 0.3 0.4 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.2 0.1 0.0 -0.4 -0.3 -0.4 -0.3 0.0 -0.0 0.1 -0.2 0.1 0.6 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.0 0.2 -0.1 -0.0 -0.1 -0.7 -0.6 -0.4 -0.4 BTP 0.6 0.1 -0.1 0.0 0.0 0.0 0.0 -0.1 0.0 -0.0 0.1 0.1 0.4 0.1 0.1 0.0 0.1 0.0 0.1 0.1 0.0 0.1 0.2 0.1 -2.7 0.0 0.0 0.1 0.0 0.1 0.1 0.6 0.0 0.4 -0.3 -0.0 -0.6 -0.5 -0.2 0.1 BUND 0.3 0.3 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.1 0.1 0.0 0.1 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 0.3 0.2 -0.1 -0.1 -0.1 -0.7 -0.7 -0.3 -0.4 BUXL 0.2 0.2 -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 0.1 -0.2 -0.2 -0.1 -0.7 -0.7 -0.5 -0.4 CAC 0.0 -0.6 -0.6 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 -0.1 -0.1 0.3 -0.2 -0.2 -0.2 -0.0 -0.1 -0.0 -0.2 -0.1 -0.1 0.1 -0.1 -1.2 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 0.4 -0.1 -0.6 -0.6 -0.6 0.2 0.2 0.1 0.3 CAD -0.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.2 -0.5 -0.2 -0.6 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.3 -0.2 -0.2 -0.1 -0.2 -0.1 -0.2 -0.2 -0.1 -0.1 -0.5 -0.6 -0.3 -0.2 0.2 -0.2 -0.1 -0.2 CANOLA 0.4 -0.1 0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.2 -0.2 -0.3 -0.3 0.0 -0.0 0.1 -0.1 0.0 -2.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 0.5 0.2 -0.1 -0.1 -0.1 -0.4 0.2 -0.1 CHF 0.3 0.4 0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 0.1 -0.4 0.1 -0.5 0.1 0.1 -0.4 -0.3 -0.3 -0.3 0.0 -0.1 0.1 -0.3 0.1 0.8 0.0 0.1 -0.0 0.1 -0.1 0.1 -1.1 0.5 0.5 0.6 0.1 0.3 -0.4 -0.1 -0.4 COCOA -0.1 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 -0.0 -0.0 0.4 0.3 0.4 0.4 -0.0 0.0 -0.0 0.2 -0.0 -2.5 0.0 -0.0 0.1 -0.0 0.3 -0.0 1.1 -0.1 0.1 0.2 0.3 0.5 0.2 0.6 0.3 COFFEE 0.1 0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.4 -0.0 0.5 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 -0.1 0.4 0.1 -2.7 0.0 -0.1 0.2 -0.0 0.3 0.0 0.4 -0.5 0.3 0.6 0.6 -0.0 -0.4 0.3 -0.1 COPPER -0.5 -0.5 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 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.2 0.2 -0.2 -1.5 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.3 -0.5 -0.2 -0.1 0.5 0.2 0.1 0.5 0.4 CORN -0.0 -0.6 0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.3 -0.0 -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 0.0 -0.5 -0.4 -0.2 -0.5 -0.4 -0.4 -0.1 COTTON2 -0.2 -0.3 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 -0.2 -0.5 -0.2 -0.2 -0.2 -0.0 -0.1 -0.1 -0.2 -0.2 -0.1 -0.4 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.4 -0.4 -0.4 0.0 -0.6 -0.2 -0.3 0.3 -0.0 CRUDE_W -0.5 0.1 -0.3 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 0.3 -0.2 0.6 0.0 0.1 0.3 0.3 0.3 0.3 -0.0 0.1 -0.2 0.3 -0.2 -0.5 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 0.5 -0.5 -0.1 -0.1 -0.2 0.7 0.7 0.7 0.7 DAX 0.1 -0.5 -0.2 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.0 0.3 -0.1 0.5 -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 -0.3 -0.6 -0.4 0.2 0.1 -0.2 0.2 DOW 0.4 0.2 -0.2 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.0 0.3 0.0 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.0 0.3 0.1 -1.5 0.0 0.0 0.1 0.0 0.2 0.0 -0.5 0.5 0.5 0.0 -0.1 0.5 -0.0 0.3 -0.1 DX -0.6 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 0.1 0.4 -0.1 0.6 -0.1 -0.1 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 -0.0 0.2 -0.1 0.9 0.5 -0.6 -0.0 0.5 -0.3 0.2 -0.3 0.3 EUR 0.4 0.1 0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.2 -0.3 0.1 -0.4 0.1 0.1 -0.2 -0.1 -0.2 -0.1 0.0 -0.0 -0.0 -0.1 0.1 2.7 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.4 0.3 0.6 0.2 0.2 0.1 -0.6 -0.0 -0.5 EURIBOR-ICE 0.6 0.4 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 0.0 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 -0.0 0.1 1.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.2 0.2 0.1 -0.1 -0.7 -0.7 -0.3 0.1 EUROSTX -0.2 -0.6 -0.4 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.3 -0.1 0.5 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.4 -0.1 -0.3 -0.0 -0.0 0.1 -0.1 0.4 -0.1 0.3 -0.3 -0.6 -0.6 -0.4 -0.1 0.0 -0.5 0.0 FEEDCOW -0.3 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.4 -0.2 -0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -1.2 -0.0 0.0 -0.1 -0.0 0.0 -0.0 -1.1 0.1 -0.3 0.5 0.1 0.0 0.7 0.3 0.7 GASOIL -0.4 0.2 -0.4 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.1 -0.2 0.5 -0.0 -0.1 -0.0 0.2 -0.0 0.1 -0.1 -0.0 -0.2 0.2 -0.1 0.7 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.0 -0.0 0.1 0.2 -0.1 -0.7 -0.5 -0.7 -0.7 GASOLINE -0.2 0.1 -0.4 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.2 -0.2 0.5 0.1 -0.0 0.4 0.4 0.4 0.4 -0.0 0.0 -0.1 0.3 -0.1 -2.7 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 1.1 0.1 0.3 0.1 -0.2 0.7 0.7 0.7 0.7 GAS_US_mini -0.6 -0.5 0.6 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.3 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.4 -0.2 2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.0 -0.2 -0.2 0.2 -0.1 -0.3 -0.3 -0.6 GBP 0.4 0.2 0.2 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.2 0.5 0.1 0.3 0.1 0.2 -0.0 -0.0 -0.0 -0.0 0.2 0.1 0.0 0.2 0.2 -0.0 0.1 -0.0 0.2 0.0 0.2 0.1 0.2 0.2 0.6 0.6 0.6 0.1 -0.7 0.1 -0.4 GOLD_micro 0.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.2 -0.0 0.3 0.0 0.0 -0.2 -0.3 -0.2 -0.2 0.1 0.1 -0.0 0.3 0.0 -0.5 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.7 0.2 0.6 0.6 0.5 0.2 -0.2 0.5 0.0 HEATOIL -0.4 0.2 -0.4 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.2 0.2 -0.0 -0.1 -0.1 0.2 -0.1 0.0 -0.1 -0.0 -0.1 0.0 -0.1 -2.7 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.2 0.1 0.1 0.1 -0.5 0.0 0.2 -0.3 0.1 JGB-SGX-mini 0.1 0.1 -0.4 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.2 0.0 -0.1 -0.0 -0.1 0.4 0.4 0.4 0.4 -0.0 -0.1 -0.0 -0.1 -0.0 -1.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 1.1 -0.1 -0.3 -0.3 -0.5 -0.1 -0.1 0.1 0.6 JPY 0.6 0.2 0.0 -0.0 -0.1 -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 -0.0 -0.1 0.1 -0.4 0.1 2.7 -0.0 0.0 -0.1 0.1 -0.2 0.0 -1.1 0.5 0.6 0.0 -0.4 -0.7 -0.5 -0.7 -0.4 LEANHOG 0.6 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 0.1 -0.3 -0.0 -0.1 0.4 -0.0 0.4 0.4 -0.2 -0.2 0.2 -0.3 0.0 0.6 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.6 0.5 0.3 -0.1 -0.6 -0.2 -0.3 -0.0 0.1 LIVECOW -0.1 0.6 0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.2 0.5 0.2 0.3 0.2 0.2 -0.0 0.2 0.2 0.2 0.2 0.2 0.2 0.4 0.2 -1.7 0.1 0.1 0.2 0.1 0.2 0.1 0.8 0.5 0.6 0.6 0.6 0.0 0.7 0.2 0.7 LUMBER-new 0.5 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.3 0.1 -0.3 -0.0 -0.1 -0.3 -0.4 -0.4 -0.4 -0.1 -0.1 0.1 -0.2 0.0 NaN -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.2 0.4 0.4 0.1 -0.7 0.0 -0.2 0.3 -0.1 MILK 0.0 0.1 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.3 0.1 -0.1 0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.1 0.0 0.1 2.3 0.0 0.0 0.1 0.0 0.0 0.0 -1.1 0.5 0.3 0.6 0.6 -0.2 -0.7 -0.1 -0.7 MXP 0.3 -0.3 -0.6 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 0.1 -0.0 -0.1 0.2 0.3 0.2 0.3 -0.1 -0.1 -0.1 0.0 -0.1 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.3 -0.0 -0.6 -0.5 0.6 0.4 0.7 0.7 NASDAQ_micro -0.6 -0.1 0.0 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.3 -0.1 0.4 -0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 -0.2 0.4 -0.1 -2.7 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.4 -0.5 -0.6 0.1 0.2 0.1 0.2 -0.2 0.2 NIKKEI -0.4 -0.1 -0.3 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.3 -0.1 0.5 -0.0 0.0 0.3 0.2 0.2 0.2 0.0 0.1 -0.2 0.4 -0.1 -2.2 0.0 -0.1 0.1 -0.1 0.2 -0.0 1.1 -0.5 -0.5 -0.2 -0.3 0.2 -0.1 -0.1 -0.3 NZD -0.6 -0.3 0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.2 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.2 -0.1 -0.2 0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -0.5 -0.6 -0.5 0.1 0.3 -0.2 0.3 0.0 OAT 0.5 0.0 -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 0.1 -0.4 -0.2 -0.7 -0.7 -0.3 -0.1 OATIES 0.4 -0.6 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 0.0 -0.3 -0.1 -0.1 0.1 0.0 0.0 0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 -0.4 -0.0 0.1 -0.0 0.5 0.3 OJ -0.2 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.3 -0.1 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 0.2 -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 -0.2 0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 1.9 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.1 0.3 0.4 -0.0 -0.7 -0.7 -0.7 -0.7 PLAT -0.4 -0.3 0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.2 0.0 -0.1 1.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.2 -0.1 0.1 0.3 -0.6 -0.3 -0.2 0.1 REDWHEAT -0.2 -0.6 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.3 -0.2 -0.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.7 -0.2 -0.4 -0.6 0.2 -0.6 -0.7 -0.4 -0.6 RICE -0.5 -0.6 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.3 0.0 0.5 -0.1 0.1 0.2 0.4 0.4 0.4 -0.1 0.0 0.1 0.2 -0.0 -1.4 0.0 0.1 0.0 0.1 0.1 0.0 1.1 0.5 0.0 0.4 0.6 -0.7 -0.3 -0.7 -0.3 ROBUSTA 0.2 0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.3 0.0 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 -0.0 0.5 0.1 -2.7 0.0 -0.0 0.1 -0.0 0.2 0.0 1.1 -0.3 0.6 0.6 0.6 0.1 -0.2 0.3 0.1 RUSSELL 0.6 0.2 0.0 0.0 -0.0 0.1 -0.0 0.2 0.0 0.0 0.2 0.1 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.1 0.2 -0.1 0.0 0.0 0.1 0.0 0.1 0.1 -0.1 0.5 0.6 0.3 0.1 0.1 -0.7 0.0 -0.7 SHATZ 0.4 0.6 0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.3 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.0 -0.0 0.1 -0.2 0.1 0.9 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 0.2 -0.0 0.1 -0.1 -0.7 -0.5 -0.6 -0.4 SILVER-mini -0.3 -0.2 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.2 -0.1 0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.1 0.2 -0.1 0.3 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.1 -0.3 0.1 0.1 0.4 0.0 -0.2 0.2 0.2 SMI -0.1 -0.1 0.5 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.0 0.5 0.0 0.6 0.1 0.2 -0.1 0.0 -0.1 -0.0 0.2 0.2 0.0 0.5 0.1 2.0 0.1 0.0 0.3 0.0 0.3 0.0 0.6 0.2 -0.0 -0.1 0.4 0.2 0.1 -0.1 -0.0 SOFR 0.4 0.5 0.3 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 -0.0 -0.0 0.2 0.2 0.3 -0.5 0.7 0.1 SOYBEAN -0.1 -0.5 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.3 -0.1 -0.3 -0.1 -0.1 -0.1 0.1 -0.0 0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.0 -0.4 -0.5 -0.3 -0.4 -0.7 -0.2 -0.7 SOYMEAL -0.2 -0.6 0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.3 0.0 -0.3 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.1 0.0 -0.2 -0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.3 0.3 -0.4 -0.3 0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.0 0.3 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -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 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 -0.4 0.0 0.1 -0.2 -0.4 -0.4 -0.0 -0.1 SP400 0.5 -0.1 -0.3 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.0 0.2 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 -1.4 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.5 0.5 -0.1 -0.1 0.2 -0.3 0.1 -0.7 SP500_micro -0.6 -0.1 0.1 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.5 -0.1 0.7 0.0 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 -0.2 0.5 -0.0 -2.7 0.1 -0.1 0.2 -0.1 0.3 -0.0 -0.6 -0.5 -0.6 0.2 0.3 0.4 0.1 0.0 0.1 SUGAR11 -0.4 0.5 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.1 0.2 -0.0 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -2.7 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 0.3 -0.4 -0.5 0.6 -0.5 0.0 0.7 0.2 0.7 US10 0.3 0.4 0.3 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 0.1 0.0 -0.0 0.0 -0.4 -0.0 -0.1 0.1 0.1 0.2 -0.6 0.5 0.1 US10U 0.2 0.4 0.3 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 -0.3 -0.0 0.1 0.2 -0.5 0.7 0.4 US2 0.6 0.6 0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -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 2.3 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 0.3 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 -0.3 -0.0 0.1 0.1 -0.3 0.7 0.6 US30 0.0 0.2 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 -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 -0.4 -0.1 0.1 0.0 -0.3 0.4 0.7 US5 0.4 0.5 0.3 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 1.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.7 -0.0 0.0 0.1 0.1 0.2 -0.7 0.4 -0.1 VIX 0.7 0.7 0.1 -0.1 0.2 -0.4 0.2 -0.7 0.0 0.2 -0.9 0.2 -1.2 0.0 -0.3 -0.6 -0.6 -0.6 -0.6 -0.1 -0.3 0.2 -0.9 0.1 NaN -0.1 0.2 -0.5 0.2 -0.8 0.0 NaN NaN NaN NaN NaN -0.8 -1.1 NaN NaN WHEAT -0.3 -0.6 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.1 -0.2 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.2 -0.4 -0.6 0.1 -0.5 -0.7 -0.4 -0.7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -8.0 1.7 8.2 -1.8 -13.0 -1.6 -9.3 0.3 -3.6 -19.6 1.1 -19.8 -2.5 -9.5 9.8 -2.2 -2.7 -2.4 -2.5 0.2 4.4 -20.0 0.4 -15.0 3.7 -0.5 -19.4 1.9 -17.1 0.9 -7.9 -0.0 -20.0 -20.0 0.2 14.2 7.9 -5.3 9.1 -1.1 BITCOIN 9.8 -20.0 -11.5 -5.9 -6.0 -2.9 -6.8 -0.7 -7.0 11.6 7.2 15.1 12.7 1.9 -3.9 -6.1 -7.2 -6.8 -7.2 0.1 5.8 16.9 16.2 8.6 -20.0 0.1 5.5 4.2 6.7 10.3 3.2 -3.2 20.0 20.0 20.0 4.8 -19.9 -7.4 -5.7 -1.0 BOBL 10.1 12.9 -2.4 2.1 1.6 0.6 1.8 -1.0 2.4 9.4 -6.8 9.2 -6.6 7.4 1.6 -20.0 -13.4 -20.0 -16.8 2.1 -2.7 8.0 -6.0 6.1 4.3 1.5 4.8 -0.6 4.4 -1.8 3.4 -19.5 9.7 -2.2 -0.2 -3.5 -20.0 -17.3 -11.2 -12.3 BTP 17.3 3.4 -3.2 3.4 2.6 1.0 2.9 -1.7 4.0 -4.9 2.7 12.4 10.2 12.2 6.3 1.1 4.2 1.5 2.6 6.0 3.8 7.1 5.7 10.1 -20.0 3.4 1.0 2.6 3.7 3.7 5.3 11.7 1.3 11.2 -9.0 -0.6 -19.1 -15.5 -5.2 2.8 BUND 8.9 9.4 -1.6 2.2 1.7 0.6 1.9 -1.1 2.6 9.7 -6.3 9.8 -3.4 6.5 2.3 5.7 0.6 2.3 0.2 2.0 -1.4 6.3 -4.0 5.2 1.0 1.6 4.0 0.2 3.9 -0.7 3.2 5.9 7.0 -3.6 -2.4 -1.8 -20.0 -20.0 -10.3 -13.3 BUXL 5.9 4.6 -2.4 2.6 2.0 0.7 2.2 -1.3 3.0 2.0 -7.9 8.2 -3.0 0.6 -2.7 -0.5 -2.6 -2.3 -3.1 -0.7 -2.9 3.3 -5.3 2.2 -3.1 0.3 2.3 -0.2 2.2 -0.7 1.6 0.8 3.8 -7.7 -7.4 -3.1 -20.0 -20.0 -15.6 -12.0 CAC 0.0 -20.0 -20.0 5.0 -3.3 5.9 -1.3 6.1 2.7 -6.0 -2.6 -10.1 8.4 -15.1 -14.7 -8.8 -1.4 -5.5 -2.4 -13.9 -6.1 -11.3 4.9 -13.2 -9.0 -4.8 -3.1 -1.4 -3.7 2.7 -4.6 8.0 -3.3 -20.0 -20.0 -20.0 4.8 5.9 1.6 8.4 CAD -7.2 -0.5 -3.3 -2.0 -14.3 -1.8 -10.2 0.3 -3.9 -20.0 -19.9 -20.0 -17.6 -17.5 -14.3 -4.7 -3.1 -4.2 -3.6 -10.7 -10.0 -20.0 -11.5 -18.5 -1.2 -6.3 -19.1 -5.1 -18.1 -5.2 -11.5 -1.2 -20.0 -20.0 -9.0 -7.7 6.9 -6.6 -2.6 -4.8 CANOLA 13.4 -2.7 15.9 -2.1 -1.9 -1.5 -1.2 -0.9 -1.7 2.6 -2.8 4.4 -6.4 1.8 -0.5 -10.6 -10.2 -13.3 -13.4 0.1 -2.3 5.9 -5.0 3.9 -17.6 -1.3 0.2 -1.9 2.0 -2.8 0.5 -20.0 19.9 6.7 -4.1 -1.9 -2.1 -12.8 6.3 -4.2 CHF 9.6 11.9 2.8 -1.5 -11.2 -1.4 -8.0 0.2 -3.1 13.1 -13.8 13.7 -13.6 9.2 5.6 -17.5 -16.8 -17.5 -17.0 3.5 -5.9 14.4 -10.0 10.4 5.8 2.9 8.0 -1.7 8.6 -3.6 6.6 -20.0 20.0 14.6 20.0 3.7 9.5 -11.8 -1.6 -12.0 COCOA -1.9 -13.7 -0.9 -1.7 -1.5 -1.2 -0.9 -0.7 -1.3 -3.0 2.3 0.8 3.7 -3.3 -2.6 20.0 16.5 20.0 20.0 -0.3 4.1 -1.2 7.7 -1.4 -18.4 0.8 -0.8 4.8 -0.4 8.8 -0.4 20.0 -2.4 2.3 7.4 8.6 15.0 5.1 19.1 9.4 COFFEE 1.8 2.5 5.7 -4.2 -3.9 -2.9 -2.3 -1.8 -3.4 -13.8 13.6 -1.5 13.1 4.2 12.1 2.8 6.6 4.3 6.0 13.7 17.5 -6.3 15.8 5.2 -20.0 4.3 -7.0 7.8 -3.8 8.9 0.5 7.5 -20.0 10.5 20.0 20.0 -0.5 -10.6 7.7 -3.5 COPPER -16.1 -16.9 0.1 -2.9 -2.9 -1.4 -3.3 -0.4 -3.4 -8.5 1.0 -9.5 2.8 -9.4 -5.4 -1.3 -2.5 -0.4 -1.3 -7.0 2.3 -19.2 6.3 -15.2 -11.4 -2.2 -3.5 0.5 -4.5 1.7 -4.1 5.8 -20.0 -5.8 -4.4 14.5 6.4 1.7 15.7 10.9 CORN -0.7 -20.0 2.2 -2.8 -2.5 -1.9 -1.5 -1.2 -2.2 1.5 -9.5 -1.5 -10.9 -9.0 -9.8 -15.9 -13.2 -16.9 -16.5 -14.3 -12.4 -1.9 -11.1 -10.0 -8.4 -3.5 -0.3 -2.9 -0.6 -2.5 -2.5 -20.0 1.6 -14.3 -13.4 -7.4 -14.4 -12.7 -12.7 -1.8 COTTON2 -4.7 -7.8 -20.0 -3.8 -3.5 -2.6 -2.1 -1.6 -3.0 -13.5 -15.5 -14.4 -12.6 -14.8 -15.9 -11.5 -0.7 -6.9 -3.1 -18.5 -20.0 -16.1 -15.3 -14.7 -20.0 -5.0 -7.1 -4.6 -5.7 -1.8 -4.3 -6.7 -15.6 -11.8 1.2 -20.0 -6.3 -8.8 9.2 -1.2 CRUDE_W -14.1 3.2 -9.0 -3.9 -7.8 -0.9 -9.9 1.9 -7.6 -20.0 10.4 -20.0 16.0 0.9 4.7 15.5 12.8 14.6 13.8 -2.2 4.9 -20.0 10.3 -14.7 -3.8 -5.1 -12.5 -2.2 -12.0 2.1 -8.2 9.0 -18.8 -3.0 -4.5 -6.0 20.0 20.0 20.0 20.0 DAX 2.2 -15.9 -7.2 5.1 -3.3 6.0 -1.3 6.2 2.8 -0.6 10.9 -4.9 14.9 -3.0 -4.0 -8.8 -11.0 -9.9 -10.7 0.3 7.0 -2.1 14.3 -1.5 11.1 0.6 -0.5 6.5 -1.3 11.8 -1.1 -8.1 2.5 -10.6 -20.0 -11.3 7.0 4.1 -6.0 6.2 DOW 12.8 5.1 -7.0 4.4 -2.9 5.2 -1.2 5.4 2.4 -4.9 10.3 1.2 13.0 6.3 6.9 -10.9 -11.3 -11.4 -11.5 10.2 9.1 5.3 11.3 10.7 -11.6 4.3 1.7 4.1 2.6 5.1 4.6 -8.9 20.0 13.9 0.2 -4.5 14.2 -1.2 9.2 -3.6 DX -17.1 -3.4 -0.5 -1.8 -13.0 -1.6 -9.3 0.3 -3.6 15.5 14.8 -9.9 16.5 -11.1 -5.4 7.4 7.0 7.4 7.3 -4.6 4.7 -6.8 9.8 -10.9 -20.0 -2.8 0.2 2.0 -3.8 4.7 -6.1 16.8 20.0 -20.0 -0.1 14.6 -8.7 6.0 -9.2 9.2 EUR 11.9 1.9 1.8 -1.9 -13.5 -1.7 -9.6 0.3 -3.7 -17.0 -9.8 5.7 -11.1 9.7 8.5 -7.6 -7.2 -7.6 -7.3 4.6 -1.1 -0.5 -4.6 6.5 20.0 3.5 -4.1 1.1 -0.4 -0.4 4.1 -7.9 12.2 20.0 5.6 7.2 1.9 -18.2 -0.9 -16.4 EURIBOR-ICE 18.7 13.8 -5.4 1.8 1.4 0.5 1.5 -0.9 2.1 7.9 -3.9 8.3 0.1 8.2 3.2 -2.7 -4.6 -4.3 -4.4 4.4 0.3 8.3 -0.9 8.4 11.9 1.8 2.6 0.3 3.4 -0.0 3.4 -1.9 9.1 5.8 2.4 -3.7 -20.0 -20.0 -9.2 1.8 EUROSTX -5.6 -19.0 -13.1 4.7 -3.1 5.6 -1.2 5.8 2.6 -8.3 10.9 -11.0 14.4 -10.0 -8.0 -4.6 -2.7 -5.3 -4.2 -4.2 4.5 -10.8 13.0 -8.9 -2.0 -2.0 -4.4 4.6 -6.2 10.5 -5.3 5.1 -11.7 -20.0 -20.0 -13.1 -2.7 1.3 -14.8 1.0 FEEDCOW -10.4 -1.2 -1.9 -5.9 -5.4 -4.0 -3.2 -2.5 -4.7 -3.8 4.1 -13.6 -4.0 -13.5 0.4 2.7 -20.0 -8.7 -18.0 -6.3 -4.2 -7.3 -1.6 -9.1 -8.7 -3.5 0.0 -2.6 -2.9 0.9 -3.9 -20.0 4.0 -8.0 13.9 4.2 1.4 20.0 8.9 20.0 GASOIL -13.1 4.6 -12.7 -3.6 -7.1 -0.8 -9.0 1.7 -6.9 -12.8 2.0 -18.5 12.7 -1.7 -5.0 -2.2 10.8 -0.4 4.3 -5.6 -1.1 -17.9 6.6 -12.6 5.4 -3.1 -7.4 -1.1 -9.0 2.2 -6.4 0.1 -1.3 1.7 7.0 -4.5 -20.0 -14.5 -20.0 -20.0 GASOLINE -7.2 2.7 -11.6 -3.7 -7.4 -0.9 -9.5 1.8 -7.3 -15.3 8.1 -18.9 14.6 4.8 -3.4 20.0 20.0 20.0 20.0 -2.2 3.0 -13.1 10.6 -7.8 -20.0 -3.8 -5.8 -1.3 -7.1 3.7 -5.3 20.0 3.7 10.0 4.2 -5.2 20.0 20.0 20.0 20.0 GAS_US_mini -20.0 -14.7 20.0 -1.9 -3.8 -0.4 -4.9 0.9 -3.7 -10.5 -10.2 -11.4 -11.1 -11.9 -10.1 -14.9 -20.0 -20.0 -20.0 -11.3 -8.6 -12.2 -14.2 -14.7 20.0 -2.7 -3.9 -2.2 -4.1 -3.5 -4.2 -20.0 -0.6 -7.2 -5.7 7.2 -3.2 -8.9 -9.4 -16.9 GBP 12.4 6.2 7.1 -1.9 -14.1 -1.8 -10.0 0.3 -3.9 -18.2 17.5 9.2 8.4 13.6 19.4 -0.8 -0.8 -0.8 -0.8 16.7 12.4 1.3 8.7 14.3 -0.0 7.4 -4.7 6.1 0.6 4.5 6.2 3.1 7.1 20.0 20.0 20.0 4.3 -20.0 2.7 -12.6 GOLD_micro 8.2 -2.1 -0.4 -3.4 -3.4 -1.7 -3.9 -0.4 -4.0 -8.5 8.8 -2.2 9.6 1.3 3.8 -11.6 -13.4 -11.8 -12.5 6.1 9.7 -4.1 11.4 2.6 -4.1 0.5 -4.7 3.7 -2.8 6.2 -0.8 -13.0 9.0 20.0 19.1 15.4 6.6 -5.5 15.2 0.9 HEATOIL -11.5 6.0 -11.5 -3.7 -7.4 -0.9 -9.4 1.8 -7.2 -15.1 -3.8 -19.8 6.4 -0.2 -5.1 -5.8 8.9 -4.9 0.7 -5.8 -3.7 -15.1 1.8 -11.0 -20.0 -5.2 -5.9 -4.3 -6.7 0.0 -5.8 -4.7 2.2 3.2 1.9 -15.8 0.5 7.0 -9.2 2.6 JGB-SGX-mini 4.1 2.8 -13.4 1.9 1.5 0.5 1.7 -1.0 2.3 -4.6 -6.4 0.3 -2.3 -3.2 -5.7 20.0 19.0 20.0 19.9 -4.6 -5.8 -2.4 -3.8 -2.6 -9.5 -2.3 -0.8 -3.3 -1.2 -3.0 -1.3 20.0 -5.8 -8.1 -8.2 -14.1 -3.0 -4.3 1.9 18.0 JPY 20.0 7.0 0.0 -0.9 -6.2 -0.8 -4.4 0.1 -1.7 10.0 -10.1 10.3 -11.4 4.5 -4.9 -14.4 -16.1 -15.2 -15.6 -2.7 -10.7 15.3 -15.7 7.9 20.0 -0.8 5.5 -3.7 5.7 -5.2 3.1 -20.0 20.0 17.9 1.5 -13.4 -20.0 -14.1 -20.0 -13.2 LEANHOG 20.0 -13.7 -20.0 -3.7 -3.4 -2.6 -2.1 -1.6 -3.0 13.6 -9.6 13.6 -7.6 -0.9 -10.2 20.0 -1.5 20.0 20.0 -14.1 -16.2 19.0 -11.5 2.7 4.3 -3.1 4.9 -3.5 4.7 -2.2 0.9 10.6 20.0 10.3 -4.4 -20.0 -5.6 -8.7 -0.8 3.1 LIVECOW -2.8 17.4 13.3 -6.0 -5.5 -4.1 -3.3 -2.6 -4.8 20.0 20.0 15.8 9.2 19.1 20.0 -0.5 9.2 10.1 12.5 20.0 20.0 20.0 13.2 20.0 -12.4 7.8 12.5 7.2 9.0 6.3 7.1 15.4 20.0 18.1 20.0 20.0 0.7 20.0 5.6 20.0 LUMBER-new 14.0 -2.3 -17.0 -2.4 -2.2 -1.7 -1.3 -0.9 -1.9 8.4 -8.2 7.6 -8.2 -2.0 -7.6 -15.1 -17.2 -16.4 -17.1 -7.0 -9.8 6.8 -7.9 0.3 NaN -2.2 3.7 -3.9 2.7 -3.1 0.8 -20.0 13.0 11.0 3.7 -20.0 1.1 -5.6 6.8 -2.6 MILK 0.1 2.6 20.0 -3.9 -3.6 -2.7 -2.2 -1.7 -3.1 13.6 10.2 13.2 -1.7 0.7 11.3 -18.9 -20.0 -20.0 -20.0 12.3 13.0 10.2 1.6 8.3 17.3 3.9 4.2 4.4 3.3 0.1 2.3 -20.0 20.0 10.2 20.0 20.0 -6.4 -20.0 -2.3 -20.0 MXP 8.5 -10.5 -20.0 -0.9 -6.4 -0.8 -4.6 0.1 -1.8 -10.5 -3.3 -7.4 3.4 -3.4 -4.9 10.2 15.2 11.7 13.3 -6.5 -5.1 -10.6 1.5 -5.7 -20.0 -2.5 -4.3 -1.8 -3.1 0.5 -2.1 20.0 -12.7 -1.1 -20.0 -14.1 16.7 13.2 20.0 20.0 NASDAQ_micro -20.0 -3.3 0.2 3.5 -2.3 4.1 -0.9 4.2 1.9 -10.1 10.1 -10.4 12.2 -2.2 7.1 -10.4 -10.9 -11.2 -11.1 5.8 12.2 -20.0 14.4 -7.6 -20.0 1.9 -6.6 3.9 -5.8 4.9 -2.0 -8.1 -20.0 -20.0 2.6 7.2 2.2 5.9 -5.3 5.3 NIKKEI -11.9 -4.5 -8.3 4.3 -2.8 5.1 -1.1 5.3 2.4 -11.9 10.9 -12.4 13.4 -4.2 2.4 14.0 10.4 12.1 10.5 4.1 10.7 -20.0 16.4 -8.7 -16.2 1.9 -10.8 4.0 -8.2 6.2 -2.1 20.0 -20.0 -16.4 -5.0 -8.0 6.2 -4.4 -3.2 -8.7 NZD -17.4 -7.9 4.3 -1.5 -10.6 -1.3 -7.6 0.2 -2.9 -17.1 -4.5 -18.8 -2.5 -17.7 -2.9 -0.2 0.1 -0.1 0.0 -10.0 -2.7 -20.0 -1.9 -20.0 0.4 -4.1 -12.9 -1.0 -12.9 -0.3 -9.0 4.6 -20.0 -20.0 -14.3 4.5 8.4 -5.2 7.9 0.4 OAT 15.6 0.2 -8.3 2.4 1.8 0.7 2.0 -1.2 2.8 -1.2 -8.0 7.8 -3.5 4.6 -3.2 -0.2 4.0 0.6 2.1 -1.5 -4.8 3.6 -5.3 3.2 2.0 -0.6 1.6 -1.9 2.1 -1.6 1.9 11.1 1.7 1.6 -12.4 -7.1 -20.0 -19.5 -9.3 -3.3 OATIES 11.7 -20.0 1.8 -2.2 -2.0 -1.5 -1.2 -0.9 -1.7 -3.1 -6.8 1.2 -7.6 -6.3 -7.1 2.5 0.9 1.3 2.0 -8.0 -7.9 -1.0 -6.4 -3.8 -20.0 -2.1 -1.8 -1.7 -0.5 -1.2 -1.3 -1.4 2.2 -1.4 -12.0 -0.7 3.5 -1.1 13.7 9.8 OJ -4.8 -4.6 -3.9 -3.5 -3.2 -2.4 -1.9 -1.5 -2.8 -4.5 10.0 -5.0 12.0 -1.3 7.3 8.3 12.1 9.1 9.7 9.0 14.9 -4.1 18.7 1.1 -20.0 2.5 -0.6 5.6 -1.8 9.2 -0.5 14.9 -10.2 5.2 3.7 20.0 11.3 10.4 20.0 20.0 PALLAD -6.9 3.0 2.0 -2.6 -2.6 -1.3 -3.0 -0.3 -3.1 -8.2 -6.6 -8.4 -8.4 -6.2 -6.1 -1.5 -2.1 -1.8 -1.9 -3.9 -4.5 -9.0 -8.8 -6.2 14.3 -2.5 -4.0 -2.4 -3.9 -3.2 -3.0 6.0 -3.2 7.8 11.8 -1.0 -20.0 -20.0 -20.0 -20.0 PLAT -11.5 -8.5 7.2 -3.8 -3.9 -1.9 -4.4 -0.5 -4.6 -12.5 -0.8 -13.3 -3.9 -11.8 -5.2 -5.3 -4.4 -5.2 -4.9 -4.6 0.9 -17.2 1.3 -11.9 7.5 -3.5 -5.7 -0.9 -6.2 0.3 -5.4 1.5 -9.4 -4.6 2.7 9.7 -18.0 -9.7 -6.3 2.4 REDWHEAT -7.6 -20.0 9.9 -3.3 -3.0 -2.3 -1.8 -1.4 -2.6 -8.0 -8.3 -8.0 -10.5 -12.2 -11.5 -10.4 -4.6 -9.7 -7.3 -15.4 -10.0 -9.8 -9.9 -14.8 -5.2 -3.5 -2.9 -2.1 -2.4 -1.8 -3.5 -13.6 -9.1 -13.0 -20.0 6.1 -16.7 -20.0 -10.9 -17.5 RICE -16.8 -18.8 5.0 -4.5 -4.1 -3.1 -2.5 -1.9 -3.5 15.6 9.7 4.6 13.0 -6.8 7.9 8.5 20.0 20.0 20.0 -5.3 2.7 11.7 9.2 -4.1 -10.9 0.2 16.3 1.8 8.1 2.9 1.3 20.0 20.0 0.1 13.8 20.0 -19.6 -9.6 -20.0 -8.0 ROBUSTA 6.0 2.7 -2.2 -2.7 -2.4 -1.8 -1.5 -1.1 -2.1 -8.4 9.9 3.1 10.1 5.6 8.9 20.0 20.0 20.0 20.0 14.3 18.0 -1.6 19.4 8.3 -20.0 3.7 -2.4 5.4 -0.3 6.8 2.1 20.0 -12.8 20.0 20.0 20.0 3.4 -5.9 10.4 3.3 RUSSELL 20.0 6.9 0.5 3.5 -2.3 4.1 -0.9 4.3 1.9 5.6 8.4 9.1 9.2 8.4 6.9 -6.5 -6.8 -7.0 -6.9 11.6 7.0 15.1 5.1 16.6 -1.0 3.7 2.3 2.5 3.8 1.8 4.7 -1.0 20.0 20.0 8.3 1.9 3.4 -20.0 0.2 -20.0 SHATZ 10.9 20.0 5.0 1.7 1.3 0.5 1.5 -0.9 2.1 8.0 -6.0 7.9 -7.2 6.8 3.5 -20.0 -20.0 -20.0 -20.0 2.9 -3.0 8.6 -8.4 6.7 7.0 1.4 4.0 -0.8 3.6 -2.5 2.9 -20.0 9.9 -0.7 4.4 -3.7 -20.0 -14.8 -17.1 -11.3 SILVER-mini -9.3 -5.7 7.9 -3.0 -3.1 -1.5 -3.5 -0.4 -3.6 -9.7 6.1 -9.5 6.3 -7.7 1.5 -5.5 -6.4 -5.8 -6.1 0.6 6.8 -15.8 7.7 -7.9 2.3 -1.7 -6.6 1.2 -5.8 2.6 -4.1 -1.5 -13.9 4.2 3.3 13.7 0.3 -6.9 6.8 5.3 SMI -2.8 -3.1 14.2 5.5 -3.6 6.5 -1.5 6.7 3.0 -0.1 18.2 3.3 17.8 7.9 16.7 -3.5 0.8 -3.2 -1.4 15.5 20.0 1.9 19.0 8.5 15.1 6.7 0.1 9.4 1.0 9.2 3.8 10.7 10.0 -1.4 -3.1 12.9 5.0 2.0 -2.7 -0.0 SOFR 12.0 16.6 9.0 2.7 2.1 0.8 2.3 -1.3 3.2 5.0 0.5 10.0 -2.5 11.5 11.1 -1.0 -1.3 -1.9 -1.8 9.9 4.4 6.5 -1.9 9.8 -3.9 3.9 3.1 2.8 2.1 0.8 3.1 3.2 -0.9 -1.0 5.4 5.0 8.8 -14.1 20.0 3.5 SOYBEAN -2.0 -16.1 0.6 -2.6 -2.4 -1.8 -1.5 -1.1 -2.1 -0.5 -9.4 -5.4 -7.1 -8.3 -9.2 -3.0 5.5 -1.8 0.6 -11.9 -9.8 -4.0 -7.3 -9.7 -20.0 -3.4 -0.7 -2.6 -1.0 -1.7 -2.7 1.4 -0.9 -13.9 -15.2 -8.0 -11.0 -20.0 -5.2 -20.0 SOYMEAL -5.4 -19.6 4.0 -2.8 -2.6 -1.9 -1.5 -1.2 -2.2 7.1 -9.8 0.7 -9.1 -7.1 -9.2 2.5 6.8 5.5 4.8 -11.3 -9.7 2.9 -7.9 -7.4 -20.0 -2.7 2.9 -1.9 1.1 -1.2 -1.9 5.7 14.6 -12.6 -9.8 4.9 -20.0 -20.0 -20.0 -20.0 SOYOIL -1.1 9.1 6.0 -2.2 -2.1 -1.6 -1.2 -1.0 -1.8 -7.4 -6.0 -6.9 -8.0 -4.5 -4.4 6.0 0.9 2.4 0.1 -2.2 -3.6 -7.9 -5.7 -3.9 -20.0 -1.8 -6.8 -2.2 -4.0 -2.5 -2.3 -3.7 -14.7 0.8 4.5 -6.7 -12.4 -13.4 -0.7 -2.1 SP400 16.2 -3.5 -7.9 3.8 -2.5 4.5 -1.0 4.7 2.1 -1.6 8.7 4.8 10.6 4.3 3.4 -4.3 -5.8 -5.5 -5.7 6.2 6.0 7.6 7.9 8.8 -10.6 3.9 2.1 3.5 3.3 3.8 4.5 1.0 20.0 16.0 -2.2 -3.8 4.9 -9.6 2.6 -20.0 SP500_micro -20.0 -1.6 2.7 5.2 -3.4 6.2 -1.4 6.4 2.8 -13.3 17.8 -12.1 19.0 3.6 14.1 -13.8 -12.9 -14.1 -13.6 14.2 20.0 -20.0 20.0 -1.8 -20.0 4.8 -8.5 7.5 -6.6 8.7 -0.6 -11.8 -20.0 -20.0 7.2 10.2 11.2 2.5 0.6 2.5 SUGAR11 -13.8 15.5 -8.4 -3.8 -3.5 -2.6 -2.1 -1.6 -3.0 -5.9 -11.9 -10.6 -9.8 -7.1 -9.1 -4.5 8.5 -1.7 2.8 -7.5 -10.1 -15.3 -9.1 -11.6 -20.0 -2.7 -2.4 -4.2 -5.5 -3.8 -3.9 6.5 -17.6 -13.9 20.0 -15.1 1.2 20.0 6.1 20.0 US10 9.4 13.4 8.7 2.3 1.7 0.6 1.9 -1.1 2.7 2.1 -1.4 7.0 -5.4 8.7 8.2 -7.3 -7.4 -7.1 -7.1 5.7 1.5 3.5 -4.8 5.7 2.8 2.8 2.4 1.9 1.2 -0.2 2.0 -6.7 -1.8 -3.3 1.7 2.9 5.3 -19.4 14.6 2.8 US10U 6.4 11.2 9.0 2.9 2.3 0.8 2.5 -1.5 3.5 0.7 -2.9 7.8 -6.8 10.0 10.0 -4.2 -2.9 -4.6 -4.0 5.4 0.9 2.3 -6.6 4.9 0.2 3.1 2.2 2.4 0.6 -0.3 1.7 0.0 -4.7 -8.1 -0.2 3.2 5.8 -15.7 20.0 11.8 US2 20.0 18.7 4.0 2.4 1.9 0.7 2.0 -1.2 2.8 2.9 -6.2 8.3 -10.3 9.8 6.5 -20.0 -20.0 -20.0 -20.0 7.8 -2.0 7.9 -12.6 11.1 17.1 2.7 3.0 0.1 2.7 -2.6 3.5 -20.0 0.6 5.3 3.8 -2.5 3.0 -20.0 6.7 -11.2 US20 2.4 8.1 9.1 1.9 1.5 0.5 1.6 -1.0 2.3 -0.4 -0.9 3.3 -2.2 4.7 6.1 -0.9 -0.8 -0.8 -0.7 2.4 0.9 -0.3 -3.0 1.3 -1.4 2.0 0.7 2.3 -0.4 0.7 0.5 4.6 -4.8 -8.1 -0.8 3.8 4.4 -9.9 20.0 18.8 US30 0.2 6.7 9.0 2.1 1.6 0.6 1.8 -1.1 2.5 -1.6 -2.5 1.3 -3.7 2.1 4.4 -4.0 -5.1 -4.5 -4.8 1.1 -0.1 -1.8 -4.1 -0.2 -0.8 1.7 0.0 2.0 -1.3 0.3 -0.2 -2.8 -7.2 -10.9 -2.7 2.5 1.3 -9.3 12.6 19.9 US5 13.6 16.0 7.7 2.5 1.9 0.7 2.1 -1.3 3.0 3.0 -3.1 8.7 -8.3 10.3 8.8 -11.8 -10.5 -11.0 -10.5 7.8 1.2 5.9 -6.8 8.8 7.4 3.2 3.0 1.6 2.0 -0.7 2.9 -12.3 -0.8 0.3 3.5 1.8 5.5 -19.6 12.2 -4.1 VIX 12.7 14.1 2.0 -4.9 11.0 -9.2 9.0 -12.2 2.0 12.8 -20.0 11.8 -20.0 2.4 -20.0 -20.0 -20.0 -20.0 -20.0 -7.0 -18.0 16.3 -20.0 5.2 NaN -5.7 12.1 -10.8 9.7 -14.6 2.1 NaN NaN NaN NaN NaN -15.2 -20.0 NaN NaN WHEAT -10.2 -20.0 8.9 -2.4 -2.2 -1.6 -1.3 -1.0 -1.9 -6.6 -5.6 -7.2 -7.0 -9.0 -8.4 -15.4 -14.5 -15.8 -15.5 -12.1 -7.3 -8.4 -6.2 -12.2 1.0 -2.5 -2.0 -1.3 -1.9 -1.0 -2.7 -20.0 -9.0 -11.5 -20.0 3.9 -15.2 -20.0 -12.7 -20.0 End of report for caleb_strategy_v3