******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240729_203930 produced at 2024-07-29 21:38:13.406304 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.22 -0.20 0.0 999.00 -999.00 -0.22 -0.22 -34.16 999999999.0 -37 -37 caleb_strategy_v3 CAD False False 0.02 -0.09 -0.18 0.0 0.68 -0.68 -0.09 -0.09 -7.49 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 -2.63 24.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.06 -0.07 0.0 0.52 -0.52 -0.06 -0.06 -8.60 60.0 -7 -7 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.06 0.0 999.00 -999.00 -0.03 -0.03 -1.75 999999999.0 -1 -1 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.05 0.0 0.78 -0.78 0.00 0.00 -1.10 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 -1.54 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 -1.80 12.0 0 0 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.05 0.0 0.40 -0.40 -0.02 -0.02 -2.75 21.0 -1 -1 caleb_strategy_v3 NIKKEI False False 0.01 -0.03 -0.05 0.0 0.29 -0.29 -0.03 -0.03 -6.49 36.0 -4 -4 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.05 0.0 0.33 -0.33 0.00 0.00 -1.23 8.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.03 -0.04 0.0 0.08 -0.08 -0.03 -0.03 -5.87 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 -3.53 11.0 -5 -5 caleb_strategy_v3 AUD False False 0.02 0.00 -0.03 0.0 0.40 -0.40 0.00 0.00 -1.23 19.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 -0.05 -0.03 0.0 0.34 -0.34 -0.05 -0.05 -1.79 20.0 -3 -3 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.03 0.0 0.05 -0.05 -0.03 -0.03 -19.34 26.0 -16 -16 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.02 -0.03 0.0 0.29 -0.29 -0.02 -0.02 -2.11 23.0 -2 -2 caleb_strategy_v3 OAT False False 0.04 0.00 -0.03 0.0 0.44 -0.44 0.00 0.00 -0.74 10.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.10 -0.10 -0.02 -0.02 -1.11 4.0 -1 -1 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.02 0.0 0.45 -0.45 -0.03 -0.03 -0.59 17.0 -1 -1 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.03 -0.02 0.0 0.48 -0.48 -0.03 -0.03 -0.80 16.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.07 -0.07 -0.02 -0.02 -1.88 8.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.02 0.0 0.12 -0.12 -0.05 -0.05 -0.98 7.0 -3 -3 caleb_strategy_v3 SP500_micro False False 0.01 -0.05 -0.02 0.0 0.43 -0.43 -0.05 -0.05 -2.54 48.0 -6 -6 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.04 -1.81 9.0 -4 -4 caleb_strategy_v3 DX False False 0.03 0.00 -0.02 0.0 999.00 -999.00 0.00 0.00 -0.45 999999999.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.15 -0.15 -0.01 -0.01 -6.91 51.0 -2 -2 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.75 10.0 -1 -1 caleb_strategy_v3 BUXL False False 0.05 -0.05 -0.01 0.0 0.19 -0.19 -0.05 -0.05 -0.20 4.0 -1 -1 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.01 0.0 0.06 -0.06 -0.03 -0.03 -0.28 2.0 -1 -1 caleb_strategy_v3 BTP False False 0.04 0.00 -0.01 0.0 0.42 -0.42 0.00 0.00 -0.26 10.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -2.42 2.0 0 0 caleb_strategy_v3 CHF False False 0.05 0.00 -0.01 0.0 0.60 -0.60 0.00 0.00 -0.17 13.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -0.94 10.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -1.19 9.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -6.04 59.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -1.91 18.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 -0.01 -0.01 0.0 0.01 -0.01 -0.01 -0.01 -2.46 3.0 -2 -2 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.00 0.0 999.00 -999.00 0.00 0.00 -0.08 999999999.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.17 -0.17 0.00 0.00 0.07 6.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.57 -0.57 0.00 0.00 0.17 26.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.01 0.00 0.0 0.13 -0.13 -0.01 -0.01 0.45 13.0 -1 -1 caleb_strategy_v3 US30 False False 0.04 0.00 0.00 0.0 0.25 -0.25 0.00 0.00 0.03 6.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.00 0.0 0.47 -0.47 0.00 0.00 -0.09 10.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.10 0.01 0.0 0.20 -0.20 0.10 0.10 0.08 2.0 1 1 caleb_strategy_v3 US10 False False 0.04 0.00 0.01 0.0 0.61 -0.61 0.00 0.00 0.37 17.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.15 0.01 0.0 0.48 -0.48 0.15 0.15 0.36 13.0 4 4 caleb_strategy_v3 RICE False False 0.01 0.00 0.01 0.0 0.04 -0.04 0.00 0.00 1.20 4.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.31 -0.31 0.01 0.01 0.58 23.0 1 1 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.06 -0.06 0.02 0.02 0.47 3.0 1 1 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.07 -0.07 0.00 0.00 0.97 5.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.01 0.0 0.38 -0.38 0.00 0.00 1.69 58.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.28 9.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.70 999999999.0 0 0 caleb_strategy_v3 US5 False False 0.03 0.03 0.02 0.0 0.87 -0.87 0.03 0.03 0.57 25.0 1 1 caleb_strategy_v3 US2 False True 0.07 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.23 13.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.02 0.0 0.44 -0.44 0.00 0.00 2.37 66.0 0 0 caleb_strategy_v3 EUR False False 0.04 0.00 0.02 0.0 0.62 -0.62 0.00 0.00 0.50 14.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.01 0.02 0.0 0.44 -0.44 0.01 0.01 2.23 56.0 1 1 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.25 -0.25 0.00 0.00 5.59 68.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.04 0.0 0.12 -0.12 0.05 0.05 1.73 5.0 2 2 caleb_strategy_v3 GBP False False 0.03 0.03 0.07 0.0 0.57 -0.57 0.03 0.03 2.75 22.0 1 1 caleb_strategy_v3 LIVECOW False False 0.02 0.10 0.11 0.0 0.41 -0.41 0.10 0.10 4.72 17.0 4 4 caleb_strategy_v3 SMI False True 0.04 0.00 0.11 0.0 0.00 0.00 0.00 0.00 2.42 9.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.37 0.0 0.86 -0.86 0.00 0.00 4.26 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 0.87 0.0 0.00 0.00 0.00 0.00 11.05 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.6 Shocked risk 23.3 Sum abs risk 35.8 Leverage 3.24 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3083912.62, 'annual_cash_vol_target': 770978.155, 'daily_cash_vol_target': 48186.1346875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0034 0.6552 0.5258 8.4121 BITCOIN 1710.5854 67920.0000 2.5185 40.2965 BOBL 0.2340 117.2200 0.1996 3.1937 BTP 0.5161 118.5500 0.4354 6.9658 BUND 0.4815 133.1900 0.3615 5.7841 BUXL 1.1950 133.2000 0.8971 14.3540 CAC 66.6027 7474.5000 0.8911 14.2571 CAD 0.0023 0.7228 0.3124 4.9979 CANOLA 9.7490 646.0000 1.5091 24.1461 CHF 0.0049 1.1347 0.4346 6.9531 COCOA 263.8315 6790.0000 3.8856 62.1694 COFFEE 4.3176 229.0000 1.8854 30.1667 COPPER 0.0564 4.0835 1.3813 22.1003 CORN 6.2200 413.0000 1.5060 24.0968 COTTON2 1.0194 69.1800 1.4735 23.5759 CRUDE_W 0.9545 73.5700 1.2974 20.7583 DAX 140.8847 18460.0000 0.7632 12.2110 DOW 279.5247 40798.0000 0.6851 10.9623 DX 0.3271 104.3350 0.3135 5.0166 EUR 0.0040 1.0847 0.3673 5.8767 EURIBOR-ICE 0.0441 97.6800 0.0452 0.7231 EUROSTX 45.4880 4850.0000 0.9379 15.0063 FEEDCOW 1.6608 254.4750 0.6526 10.4420 GASOIL 10.4124 735.5000 1.4157 22.6511 GASOLINE 0.0311 2.1282 1.4595 23.3514 GAS_US_mini 0.0874 2.1650 4.0354 64.5663 GBP 0.0054 1.2869 0.4182 6.6917 GOLD_micro 20.7408 2401.2000 0.8638 13.8203 HEATOIL 0.0342 2.4141 1.4152 22.6435 JGB-SGX-mini 0.2216 143.1600 0.1548 2.4765 JPY 0.0000 0.0065 0.6471 10.3535 LEANHOG 1.3477 74.9500 1.7982 28.7707 LIVECOW 1.2236 186.9750 0.6544 10.4705 LUMBER-new 9.1842 513.0000 1.7903 28.6446 MILK 0.2370 21.2500 1.1153 17.8442 MXP 0.0005 0.0533 0.8904 14.2460 NASDAQ_micro 202.8176 19222.0000 1.0551 16.8821 NIKKEI 435.3096 38360.0000 1.1348 18.1568 NZD 0.0034 0.5875 0.5775 9.2396 OAT 0.4671 125.2900 0.3728 5.9652 OATIES 6.8253 316.7500 2.1548 34.4767 OJ 7.9637 424.2500 1.8771 30.0339 PALLAD 21.6172 888.5000 2.4330 38.9281 PLAT 14.6477 960.6000 1.5248 24.3975 REDWHEAT 10.6839 568.5000 1.8793 30.0691 RICE 0.1623 15.4650 1.0494 16.7910 ROBUSTA 72.8524 4118.0000 1.7691 28.3059 RUSSELL 27.6804 2246.6000 1.2321 19.7137 SHATZ 0.0789 105.9700 0.0744 1.1907 SILVER-mini 0.5129 28.3000 1.8124 28.9989 SMI 80.9346 12238.0000 0.6613 10.5814 SOFR 0.0567 96.5750 0.0587 0.9388 SOYBEAN 14.0618 1040.2500 1.3518 21.6283 SOYMEAL 4.8581 323.4000 1.5022 24.0353 SOYOIL 0.8157 42.0700 1.9389 31.0226 SP400 29.4294 3086.8000 0.9534 15.2543 SP500_micro 38.5551 5507.7500 0.7000 11.2003 SUGAR11 0.3313 19.3100 1.7156 27.4499 US10 0.3507 111.3750 0.3149 5.0387 US10U 0.4928 114.9688 0.4286 6.8581 US2 0.0831 102.6016 0.0810 1.2961 US20 0.7702 119.7500 0.6431 10.2901 US30 1.1914 126.7188 0.9402 15.0435 US5 0.2188 107.6406 0.2033 3.2523 VIX 0.4947 18.3000 2.7031 43.2493 WHEAT 10.5454 554.5000 1.9018 30.4286 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 655.25 0.53 344.50 1.00 344.50 48186.13 139.87 -3.39 -47.37 BITCOIN 67.92 2.52 171.06 1.00 171.06 48186.13 281.69 -1.98 -55.74 BOBL 1172.20 0.20 233.98 1.09 253.95 48186.13 189.75 -5.69 -108.06 BTP 1185.50 0.44 516.12 1.09 560.17 48186.13 86.02 -0.90 -7.77 BUND 1331.90 0.36 481.49 1.09 522.59 48186.13 92.21 -0.93 -8.55 BUXL 1332.00 0.90 1194.97 1.09 1296.96 48186.13 37.15 -5.42 -20.15 CAC 747.45 0.89 666.03 1.09 722.87 48186.13 66.66 -7.91 -52.70 CAD 722.85 0.31 225.79 1.00 225.79 48186.13 213.41 -13.52 -288.51 CANOLA 129.20 1.51 194.98 0.72 141.15 48186.13 341.39 -8.32 -284.02 CHF 1418.38 0.43 616.38 1.00 616.38 48186.13 78.18 -0.83 -6.46 COCOA 679.00 3.89 2638.31 1.00 2638.31 48186.13 18.26 4.27 7.79 COFFEE 858.75 1.89 1619.10 1.00 1619.10 48186.13 29.76 2.09 6.23 COPPER 1020.88 1.38 1410.10 1.00 1410.10 48186.13 34.17 -4.72 -16.13 CORN 206.50 1.51 311.00 1.00 311.00 48186.13 154.94 -15.56 -241.12 COTTON2 345.90 1.47 509.68 1.00 509.68 48186.13 94.54 -17.44 -164.85 CRUDE_W 735.70 1.30 954.49 1.00 954.49 48186.13 50.48 3.17 16.01 DAX 184.60 0.76 140.88 1.09 152.91 48186.13 315.13 1.57 49.53 DOW 203.99 0.69 139.76 1.00 139.76 48186.13 344.77 2.96 102.04 DX 1043.35 0.31 327.13 1.00 327.13 48186.13 147.30 -1.18 -17.39 EUR 1355.88 0.37 498.00 1.00 498.00 48186.13 96.76 2.00 19.37 EURIBOR-ICE 2442.00 0.05 110.36 1.09 119.78 48186.13 402.29 3.10 124.78 EUROSTX 485.00 0.94 454.88 1.09 493.70 48186.13 97.60 -5.36 -52.34 FEEDCOW 1272.38 0.65 830.38 1.00 830.38 48186.13 58.03 -6.38 -37.05 GASOIL 735.50 1.42 1041.24 1.00 1041.24 48186.13 46.28 -5.55 -25.68 GASOLINE 893.84 1.46 1304.53 1.00 1304.53 48186.13 36.94 4.36 16.11 GAS_US_mini 54.12 4.04 218.42 1.00 218.42 48186.13 220.62 -8.10 -178.62 GBP 804.31 0.42 336.39 1.00 336.39 48186.13 143.25 7.39 105.86 GOLD_micro 240.12 0.86 207.41 1.00 207.41 48186.13 232.33 2.82 65.44 HEATOIL 1013.92 1.42 1434.92 1.00 1434.92 48186.13 33.58 -10.59 -35.56 JGB-SGX-mini 143160.00 0.15 22158.19 0.01 144.25 48186.13 334.03 -0.22 -7.38 JPY 817.75 0.65 529.16 1.00 529.16 48186.13 91.06 -2.48 -22.62 LEANHOG 299.80 1.80 539.09 1.00 539.09 48186.13 89.38 0.83 7.43 LIVECOW 747.90 0.65 489.43 1.00 489.43 48186.13 98.45 14.48 142.56 LUMBER-new 141.08 1.79 252.57 1.00 252.57 48186.13 190.79 -6.01 -114.68 MILK 425.00 1.12 473.99 1.00 473.99 48186.13 101.66 4.47 45.47 MXP 266.45 0.89 237.24 1.00 237.24 48186.13 203.11 -2.89 -58.62 NASDAQ_micro 384.44 1.06 405.64 1.00 405.64 48186.13 118.79 -7.63 -90.58 NIKKEI 38360.00 1.13 43530.96 0.01 283.40 48186.13 170.03 -3.52 -59.89 NZD 587.50 0.58 339.27 1.00 339.27 48186.13 142.03 -7.48 -106.18 OAT 1252.90 0.37 467.11 1.09 506.98 48186.13 95.05 -2.29 -21.78 OATIES 158.38 2.15 341.27 1.00 341.27 48186.13 141.20 -7.04 -99.43 OJ 636.38 1.88 1194.55 1.00 1194.55 48186.13 40.34 5.39 21.74 PALLAD 888.50 2.43 2161.72 1.00 2161.72 48186.13 22.29 -3.66 -8.16 PLAT 480.30 1.52 732.38 1.00 732.38 48186.13 65.79 -3.35 -22.02 REDWHEAT 284.25 1.88 534.20 1.00 534.20 48186.13 90.20 -15.72 -141.78 RICE 309.30 1.05 324.59 1.00 324.59 48186.13 148.45 3.31 49.13 ROBUSTA 411.80 1.77 728.52 1.00 728.52 48186.13 66.14 7.54 49.90 RUSSELL 112.33 1.23 138.40 1.00 138.40 48186.13 348.16 4.84 168.68 SHATZ 1059.70 0.07 78.86 1.09 85.59 48186.13 562.99 -4.60 -258.91 SILVER-mini 707.50 1.81 1282.30 1.00 1282.30 48186.13 37.58 -0.60 -2.25 SMI 1223.80 0.66 809.35 1.13 918.53 48186.13 52.46 13.52 70.92 SOFR 2414.38 0.06 141.67 1.00 141.67 48186.13 340.13 5.35 181.88 SOYBEAN 520.12 1.35 703.09 1.00 703.09 48186.13 68.53 -15.41 -105.62 SOYMEAL 323.40 1.50 485.81 1.00 485.81 48186.13 99.19 -12.92 -128.10 SOYOIL 252.42 1.94 489.42 1.00 489.42 48186.13 98.46 -10.30 -101.43 SP400 3086.80 0.95 2942.94 1.00 2942.94 48186.13 16.37 1.54 2.51 SP500_micro 275.39 0.70 192.78 1.00 192.78 48186.13 249.96 -4.38 -109.42 SUGAR11 216.27 1.72 371.04 1.00 371.04 48186.13 129.87 -6.91 -89.76 US10 1113.75 0.31 350.74 1.00 350.74 48186.13 137.38 2.11 29.01 US10U 1149.69 0.43 492.79 1.00 492.79 48186.13 97.78 2.89 28.22 US2 2052.03 0.08 166.23 1.00 166.23 48186.13 289.88 0.63 18.25 US20 1197.50 0.64 770.15 1.00 770.15 48186.13 62.57 3.56 22.28 US30 1267.19 0.94 1191.43 1.00 1191.43 48186.13 40.44 0.55 2.21 US5 1076.41 0.20 218.80 1.00 218.80 48186.13 220.23 2.05 45.20 VIX 183.00 2.70 494.66 1.00 494.66 48186.13 97.41 -14.20 -138.37 WHEAT 277.25 1.90 527.27 1.00 527.27 48186.13 91.39 -14.96 -136.74 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -47.368 0.010 2.5 -1.229 BITCOIN -55.742 0.043 2.5 -6.036 BOBL -108.059 0.004 2.5 -1.096 BTP -7.766 0.014 2.5 -0.265 BUND -8.549 0.004 2.5 -0.087 BUXL -20.152 0.004 2.5 -0.204 CAC -52.696 0.014 2.5 -1.797 CAD -288.513 0.010 2.5 -7.486 CANOLA -284.020 0.010 2.5 -6.910 CHF -6.462 0.010 2.5 -0.168 COCOA 7.792 0.009 2.5 0.167 COFFEE 6.228 0.005 2.5 0.073 COPPER -16.130 0.043 2.5 -1.747 CORN -241.121 0.010 2.5 -5.866 COTTON2 -164.845 0.009 2.5 -3.531 CRUDE_W 16.009 0.043 2.5 1.734 DAX 49.529 0.014 2.5 1.689 DOW 102.035 0.009 2.5 2.371 DX -17.389 0.010 2.5 -0.451 EUR 19.374 0.010 2.5 0.503 EURIBOR-ICE 124.778 0.014 2.5 4.256 EUROSTX -52.344 0.014 2.5 -1.785 FEEDCOW -37.049 0.013 2.5 -1.228 GASOIL -25.678 0.017 2.5 -1.113 GASOLINE 16.107 0.017 2.5 0.698 GAS_US_mini -178.621 0.043 2.5 -19.342 GBP 105.856 0.010 2.5 2.747 GOLD_micro 65.436 0.014 2.5 2.232 HEATOIL -35.562 0.017 2.5 -1.542 JGB-SGX-mini -7.377 0.043 2.5 -0.799 JPY -22.624 0.010 2.5 -0.587 LEANHOG 7.431 0.024 2.5 0.452 LIVECOW 142.564 0.013 2.5 4.724 LUMBER-new -114.681 0.009 2.5 -2.455 MILK 45.473 0.009 2.5 0.974 MXP -58.623 0.059 2.5 -8.604 NASDAQ_micro -90.584 0.009 2.5 -2.105 NIKKEI -59.888 0.043 2.5 -6.485 NZD -106.182 0.010 2.5 -2.755 OAT -21.777 0.014 2.5 -0.743 OATIES -99.430 0.010 2.5 -2.419 OJ 21.740 0.009 2.5 0.466 PALLAD -8.158 0.014 2.5 -0.278 PLAT -22.020 0.014 2.5 -0.751 REDWHEAT -141.779 0.005 2.5 -1.881 RICE 49.131 0.010 2.5 1.195 ROBUSTA 49.903 0.005 2.5 0.583 RUSSELL 168.678 0.013 2.5 5.590 SHATZ -258.906 0.004 2.5 -2.625 SILVER-mini -2.249 0.014 2.5 -0.077 SMI 70.924 0.014 2.5 2.419 SOFR 181.882 0.024 2.5 11.054 SOYBEAN -105.618 0.004 2.5 -0.982 SOYMEAL -128.104 0.004 2.5 -1.191 SOYOIL -101.425 0.004 2.5 -0.944 SP400 2.514 0.013 2.5 0.083 SP500_micro -109.420 0.009 2.5 -2.543 SUGAR11 -89.757 0.009 2.5 -1.909 US10 29.006 0.005 2.5 0.368 US10U 28.224 0.005 2.5 0.358 US2 18.247 0.005 2.5 0.231 US20 22.280 0.005 2.5 0.282 US30 2.212 0.005 2.5 0.028 US5 45.195 0.005 2.5 0.573 VIX -138.372 0.099 2.5 -34.156 WHEAT -136.742 0.005 2.5 -1.814 ===================== Position diags ===================== AUD 3.63 BITCOIN 30.50 BOBL 1.92 BTP 2.93 BUND 0.94 BUXL 0.38 CAC 2.27 CAD 5.54 CANOLA 8.31 CHF 2.03 COCOA 0.39 COFFEE 0.35 COPPER 3.70 CORN 3.77 COTTON2 2.02 CRUDE_W 5.47 DAX 10.75 DOW 8.01 DX 3.82 EUR 2.51 EURIBOR-ICE 13.72 EUROSTX 3.33 FEEDCOW 1.92 GASOIL 2.01 GASOLINE 1.60 GAS_US_mini 23.89 GBP 3.72 GOLD_micro 7.92 HEATOIL 1.46 JGB-SGX-mini 36.17 JPY 2.36 LEANHOG 5.43 LIVECOW 3.26 LUMBER-new 4.09 MILK 2.18 MXP 29.81 NASDAQ_micro 2.76 NIKKEI 18.41 NZD 3.69 OAT 3.24 OATIES 3.44 OJ 0.86 PALLAD 0.76 PLAT 2.24 REDWHEAT 1.20 RICE 3.61 ROBUSTA 0.77 RUSSELL 11.54 SHATZ 5.71 SILVER-mini 1.28 SMI 1.79 SOFR 20.67 SOYBEAN 0.64 SOYMEAL 0.92 SOYOIL 0.92 SP400 0.54 SP500_micro 5.81 SUGAR11 2.76 US10 1.74 US10U 1.24 US2 3.67 US20 0.79 US30 0.51 US5 2.79 VIX 24.05 WHEAT 1.21 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.2 -1.6 -0.9 0.0 0 BITCOIN -6.0 -9.1 -3.0 0.0 0 BOBL -1.1 -1.3 -0.9 0.0 0 BTP -0.3 -0.6 0.0 0.0 0 BUND -0.1 -0.2 0.0 0.0 0 BUXL -0.2 -0.2 -0.2 -1.0 -1 CAC -1.8 -2.0 -1.6 0.0 0 CAD -7.5 -8.0 -6.9 -4.0 -4 CANOLA -6.9 -7.7 -6.1 -2.0 -2 CHF -0.2 -0.4 0.0 0.0 0 COCOA 0.2 0.1 0.2 0.0 0 COFFEE 0.1 0.0 0.1 0.0 0 COPPER -1.7 -2.1 -1.4 -1.0 -1 CORN -5.9 -6.2 -5.5 -5.0 -5 COTTON2 -3.5 -3.7 -3.3 -5.0 -5 CRUDE_W 1.7 1.2 2.3 2.0 2 DAX 1.7 0.6 2.8 0.0 0 DOW 2.4 1.6 3.2 0.0 0 DX -0.5 -0.8 -0.1 0.0 0 EUR 0.5 0.3 0.8 0.0 0 EURIBOR-ICE 4.3 2.9 5.6 0.0 0 EUROSTX -1.8 -2.1 -1.5 -3.0 -3 FEEDCOW -1.2 -1.4 -1.0 0.0 0 GASOIL -1.1 -1.3 -0.9 -1.0 -1 GASOLINE 0.7 0.5 0.9 0.0 0 GAS_US_mini -19.3 -21.7 -17.0 -16.0 -16 GBP 2.7 2.4 3.1 1.0 1 GOLD_micro 2.2 1.4 3.0 1.0 1 HEATOIL -1.5 -1.7 -1.4 -1.0 -1 JGB-SGX-mini -0.8 -4.4 2.8 -1.0 -1 JPY -0.6 -0.8 -0.4 -1.0 -1 LEANHOG 0.5 -0.1 1.0 -1.0 -1 LIVECOW 4.7 4.4 5.1 4.0 4 LUMBER-new -2.5 -2.9 -2.0 -2.0 -2 MILK 1.0 0.8 1.2 NaN 0 MXP -8.6 -11.6 -5.6 -7.0 -7 NASDAQ_micro -2.1 -2.4 -1.8 -2.0 -2 NIKKEI -6.5 -8.3 -4.6 -4.0 -4 NZD -2.8 -3.1 -2.4 -1.0 -1 OAT -0.7 -1.1 -0.4 0.0 0 OATIES -2.4 -2.8 -2.1 NaN 0 OJ 0.5 0.4 0.6 1.0 1 PALLAD -0.3 -0.4 -0.2 -1.0 -1 PLAT -0.8 -1.0 -0.5 -1.0 -1 REDWHEAT -1.9 -2.0 -1.8 -2.0 -2 RICE 1.2 0.8 1.6 NaN 0 ROBUSTA 0.6 0.5 0.7 1.0 1 RUSSELL 5.6 4.4 6.7 0.0 0 SHATZ -2.6 -3.2 -2.1 NaN 0 SILVER-mini -0.1 -0.2 0.1 0.0 0 SMI 2.4 2.2 2.6 0.0 0 SOFR 11.1 9.0 13.1 NaN 0 SOYBEAN -1.0 -1.0 -0.9 -3.0 -3 SOYMEAL -1.2 -1.3 -1.1 0.0 0 SOYOIL -0.9 -1.0 -0.9 0.0 0 SP400 0.1 0.0 0.1 1.0 1 SP500_micro -2.5 -3.1 -2.0 -6.0 -6 SUGAR11 -1.9 -2.2 -1.6 0.0 0 US10 0.4 0.2 0.5 0.0 0 US10U 0.4 0.2 0.5 4.0 4 US2 0.2 -0.1 0.6 NaN 0 US20 0.3 0.2 0.4 0.0 0 US30 0.0 -0.0 0.1 0.0 0 US5 0.6 0.3 0.9 1.0 1 VIX -34.2 -36.6 -31.8 -37.0 -37 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 -0.4 0.0 0.2 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -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 -0.1 0.0 -0.2 0.0 -0.1 -0.0 -0.5 -0.6 -0.0 0.4 0.3 -0.2 0.3 -0.0 BITCOIN 0.4 -0.6 -0.3 -0.1 -0.0 -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 0.5 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 -0.3 -0.2 -0.0 BOBL 0.4 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 0.1 -0.0 0.1 -0.1 0.0 -1.1 0.2 -0.0 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 0.1 0.1 0.2 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 0.1 0.1 0.1 0.6 -0.0 0.3 -0.3 -0.0 -0.6 -0.5 -0.2 0.1 BUND 0.3 0.3 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.1 0.1 0.0 0.1 0.0 0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 0.0 0.1 0.0 0.1 -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 0.1 -0.2 0.1 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.1 -0.1 0.0 -0.4 0.0 0.1 -0.0 0.0 -0.0 0.0 0.0 0.1 -0.2 -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 -0.1 -0.2 -0.1 -0.1 0.1 -0.2 -1.2 -0.1 -0.0 -0.0 -0.0 0.1 -0.1 0.4 0.0 -0.6 -0.6 -0.6 0.2 0.2 0.1 0.3 CAD -0.3 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 -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 -0.3 0.2 -0.2 -0.1 -0.2 CANOLA 0.3 -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 0.0 -0.1 0.0 -2.3 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -1.1 0.4 0.1 -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 0.0 -0.4 0.1 -0.5 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.0 -0.1 0.1 -0.3 0.1 0.8 0.0 0.0 -0.0 0.1 -0.1 0.1 -1.1 0.5 0.6 0.6 0.2 0.3 -0.4 -0.1 -0.4 COCOA -0.1 -0.5 -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 0.0 0.1 0.3 -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 0.0 -2.7 0.0 -0.1 0.2 -0.1 0.3 -0.0 0.4 -0.4 0.3 0.6 0.6 -0.0 -0.4 0.2 -0.1 COPPER -0.6 -0.6 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 -0.2 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 0.2 -0.3 -0.4 -0.2 -0.5 -0.4 -0.4 -0.1 COTTON2 -0.1 -0.2 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 -0.1 -0.5 -0.2 -0.2 -0.2 -0.0 -0.1 -0.1 -0.2 -0.2 -0.1 -0.4 -0.1 -2.7 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.4 -0.4 -0.3 0.1 -0.6 -0.2 -0.3 0.3 -0.0 CRUDE_W -0.6 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 0.0 0.3 0.3 0.3 0.3 -0.0 0.0 -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 0.0 -0.4 -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 0.2 -0.4 -0.6 -0.4 0.2 0.1 -0.2 0.2 DOW 0.4 0.2 -0.1 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 0.1 0.3 0.1 -1.5 0.0 0.0 0.1 0.0 0.2 0.0 -0.5 0.5 0.5 0.1 -0.1 0.5 -0.0 0.3 -0.1 DX -0.5 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 0.2 0.4 -0.1 0.6 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.0 0.0 -0.0 0.3 -0.1 -2.7 -0.0 0.0 0.1 -0.0 0.2 -0.1 0.9 0.5 -0.6 0.1 0.5 -0.3 0.2 -0.3 0.3 EUR 0.3 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 -0.2 -0.3 0.0 -0.4 0.1 0.1 -0.2 -0.1 -0.2 -0.1 0.0 -0.0 -0.0 -0.1 0.0 2.7 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.4 0.2 0.6 0.2 0.2 0.1 -0.6 -0.0 -0.5 EURIBOR-ICE 0.6 0.5 -0.1 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 0.1 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 -0.5 -0.4 0.0 -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 -0.1 0.0 -0.1 0.3 -0.1 -0.3 -0.0 -0.1 0.1 -0.1 0.4 -0.1 0.3 -0.2 -0.6 -0.6 -0.5 -0.1 0.0 -0.5 0.0 FEEDCOW -0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 0.1 -0.2 -0.1 -0.2 -0.0 0.1 -0.4 -0.2 -0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -1.2 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 -1.1 -0.2 -0.2 0.5 0.2 0.0 0.7 0.3 0.7 GASOIL -0.5 0.1 -0.4 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.0 -0.2 0.5 -0.0 -0.1 -0.0 0.2 -0.0 0.1 -0.1 -0.0 -0.2 0.2 -0.2 0.7 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.0 -0.0 0.2 0.2 -0.1 -0.6 -0.5 -0.7 -0.7 GASOLINE -0.3 0.1 -0.4 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 0.2 -0.2 0.5 0.0 -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 0.2 -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 0.2 -0.1 -0.2 0.3 -0.1 -0.3 -0.3 -0.6 GBP 0.3 0.2 0.2 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 -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 0.1 -0.0 0.1 -0.0 0.2 -0.0 0.2 0.1 0.2 0.2 0.6 0.6 0.6 0.2 -0.7 0.1 -0.4 GOLD_micro 0.2 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.2 -0.0 0.3 0.0 0.0 -0.2 -0.3 -0.2 -0.2 0.1 0.1 -0.0 0.3 0.0 -0.6 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 -0.5 0.2 -0.4 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 -0.1 -0.2 0.2 -0.0 -0.1 -0.1 0.2 -0.1 0.0 -0.1 -0.0 -0.2 0.0 -0.1 -2.7 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 -0.0 0.0 0.1 -0.5 0.0 0.2 -0.3 0.1 JGB-SGX-mini 0.2 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 -0.2 -0.5 -0.1 -0.1 0.1 0.6 JPY 0.6 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 0.1 -0.3 0.1 -0.4 0.1 -0.0 -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 0.1 -0.4 -0.7 -0.5 -0.7 -0.4 LEANHOG 0.6 -0.3 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 0.1 -0.3 -0.0 -0.1 0.4 -0.0 0.4 0.4 -0.1 -0.1 0.1 -0.3 0.0 0.6 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.7 0.5 0.3 -0.1 -0.6 -0.2 -0.3 -0.0 0.1 LIVECOW -0.2 0.6 0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 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 0.6 -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 -0.4 -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 0.5 0.4 0.2 -0.7 0.1 -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 0.2 -0.1 0.0 0.1 -0.3 -0.4 -0.4 -0.4 0.1 0.2 0.1 0.1 0.1 2.4 0.0 0.0 0.1 0.0 0.0 0.0 -1.1 0.5 0.4 0.6 0.6 -0.2 -0.7 -0.1 -0.7 MXP 0.2 -0.3 -0.6 -0.0 -0.1 -0.0 -0.1 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 -0.1 -0.0 0.0 -0.0 1.1 -0.3 -0.1 -0.6 -0.5 0.6 0.4 0.7 0.7 NASDAQ_micro -0.6 -0.2 0.1 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 0.0 0.1 -0.2 0.4 -0.1 -2.7 0.0 -0.0 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 -0.6 -0.2 -0.3 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.3 -0.1 0.5 -0.1 0.0 0.3 0.2 0.2 0.2 0.0 0.1 -0.2 0.4 -0.1 -2.1 0.0 -0.1 0.1 -0.1 0.2 -0.0 1.1 -0.5 -0.6 -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 -0.1 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.2 -0.1 -0.2 0.1 -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 0.1 -0.2 0.1 -0.1 0.1 -0.0 -0.0 0.1 0.0 0.0 -0.0 -0.1 0.1 -0.1 0.0 0.3 -0.0 0.0 -0.0 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 0.0 -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 -0.1 -0.4 -0.0 0.1 -0.0 0.5 0.3 OJ -0.2 -0.1 -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 -0.3 0.2 0.1 0.6 0.4 0.3 0.7 0.7 PALLAD -0.3 0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 1.9 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 0.0 0.2 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 -0.1 0.0 -0.1 0.0 -0.1 1.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.0 0.1 0.3 -0.6 -0.3 -0.2 0.1 REDWHEAT -0.3 -0.6 0.2 -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 -0.1 -0.5 -0.6 0.2 -0.6 -0.7 -0.4 -0.6 RICE -0.3 -0.6 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.3 0.1 0.5 -0.0 0.1 0.1 0.4 0.4 0.4 -0.0 0.0 0.1 0.3 -0.0 -1.4 0.0 0.1 0.1 0.1 0.1 0.0 1.1 0.5 0.3 0.5 0.6 -0.7 -0.3 -0.7 -0.3 ROBUSTA 0.1 0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 0.3 0.0 0.4 0.0 0.1 0.4 0.4 0.4 0.4 0.1 0.2 -0.0 0.5 0.1 -2.7 0.0 -0.0 0.1 -0.0 0.3 0.0 1.1 -0.4 0.6 0.6 0.6 0.1 -0.2 0.3 0.1 RUSSELL 0.6 0.3 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 0.0 -0.1 0.5 0.6 0.3 0.1 0.1 -0.7 0.0 -0.7 SHATZ 0.4 0.6 0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.3 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.0 -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 0.2 -0.1 -0.7 -0.5 -0.6 -0.4 SILVER-mini -0.4 -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 -0.0 0.0 -0.1 0.1 -0.0 -0.1 -0.4 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 0.4 -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 0.1 0.0 0.1 -0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 -0.0 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 -0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -2.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.1 -0.5 -0.5 -0.3 -0.3 -0.7 -0.2 -0.7 SOYMEAL -0.1 -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 0.0 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 0.5 -0.3 -0.3 0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.3 0.3 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.1 0.0 0.0 0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -2.6 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 -0.3 -0.1 0.1 -0.2 -0.4 -0.4 -0.0 -0.1 SP400 0.6 -0.1 -0.2 0.0 -0.0 0.1 -0.0 0.2 0.0 0.0 0.2 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 -1.4 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.5 0.6 -0.0 -0.1 0.2 -0.3 0.1 -0.7 SP500_micro -0.6 -0.1 0.2 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.5 -0.1 0.7 0.0 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.2 -0.1 0.5 -0.0 -2.7 0.0 -0.0 0.2 -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 -0.5 0.4 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.1 -0.3 -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 -0.0 -0.1 -0.0 0.3 -0.4 -0.4 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 0.1 -0.0 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 0.4 0.0 0.0 0.1 0.0 -0.0 0.0 -0.4 0.0 -0.1 0.0 0.1 0.2 -0.7 0.5 0.1 US10U 0.2 0.3 0.3 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.2 0.1 0.0 0.0 0.0 0.1 0.0 -0.0 0.0 0.0 -0.0 -0.2 -0.0 0.1 0.2 -0.5 0.7 0.4 US2 0.6 0.6 0.2 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 -0.1 0.1 0.1 -0.1 0.1 -0.7 0.2 -0.4 US20 0.1 0.2 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 0.0 0.0 0.0 -0.1 0.0 -0.2 0.0 0.0 0.1 0.0 0.0 0.0 0.2 -0.1 -0.2 -0.1 0.1 0.2 -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 0.1 -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 -0.1 -0.1 -0.3 -0.1 0.1 0.1 -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 0.1 -0.1 0.1 -0.3 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.0 0.1 -0.2 0.1 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 0.8 0.1 -0.1 0.1 -0.4 0.1 -0.7 0.0 0.0 -0.9 0.1 -1.2 0.0 -0.3 -0.6 -0.6 -0.6 -0.6 -0.1 -0.3 0.1 -0.9 0.1 NaN -0.1 0.1 -0.5 0.1 -0.8 0.0 NaN NaN NaN NaN NaN -0.8 -1.1 NaN NaN WHEAT -0.4 -0.6 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.3 -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 -0.0 -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 -11.7 0.7 7.4 -2.5 -13.8 -1.9 -10.8 0.2 -5.0 -20.0 0.4 -20.0 -2.7 -12.2 7.9 -2.1 -2.7 -2.3 -2.5 -2.0 3.6 -20.0 0.2 -18.2 3.7 -1.5 -15.5 1.4 -16.2 0.7 -8.7 -0.0 -20.0 -20.0 -0.7 13.1 8.1 -5.2 9.3 -1.0 BITCOIN 13.4 -19.4 -9.3 -6.0 -5.0 -3.1 -6.5 -0.8 -7.0 10.6 7.5 16.1 12.9 3.0 -2.8 -6.3 -7.2 -6.9 -7.2 1.1 6.3 17.0 16.8 9.8 -20.0 0.5 5.0 4.4 6.7 10.5 3.7 -3.2 20.0 20.0 20.0 6.4 -20.0 -7.6 -6.0 -1.1 BOBL 11.9 13.5 -2.1 2.2 3.3 0.7 2.7 -1.0 2.8 9.7 -6.7 9.9 -6.6 8.2 2.5 -20.0 -13.6 -20.0 -17.1 2.8 -2.4 9.9 -6.0 7.4 4.3 1.7 6.1 -0.4 5.2 -1.7 3.8 -19.9 9.3 -0.8 0.4 -3.5 -20.0 -17.5 -11.3 -12.4 BTP 17.3 4.3 -2.7 3.6 5.4 1.1 4.4 -1.6 4.6 9.6 2.9 14.5 10.4 13.6 7.7 1.2 4.2 1.6 2.6 6.7 4.2 10.2 5.9 11.3 -20.0 3.7 5.4 2.7 5.4 3.7 5.8 11.6 -0.3 10.5 -8.3 -1.0 -19.2 -15.6 -5.6 2.9 BUND 10.5 10.0 -1.1 2.4 3.5 0.7 2.9 -1.0 3.0 10.4 -6.3 10.6 -3.4 7.7 3.2 5.8 0.6 2.4 0.3 2.7 -1.1 8.7 -4.0 6.5 1.0 2.0 6.5 0.4 5.2 -0.6 3.9 6.0 7.6 -1.9 -1.8 -2.0 -20.0 -20.0 -10.5 -13.2 BUXL 7.4 5.2 -1.9 2.8 4.1 0.9 3.3 -1.2 3.5 8.7 -8.0 10.1 -3.0 1.8 -2.0 -0.5 -2.6 -2.3 -3.0 -0.0 -2.7 6.2 -5.3 3.5 -3.2 0.8 7.1 -0.0 4.5 -0.7 2.7 0.9 4.8 -5.9 -6.7 -3.6 -20.0 -20.0 -15.8 -12.1 CAC -1.3 -20.0 -20.0 4.9 -2.4 6.0 -1.3 6.3 2.4 -10.1 -3.2 -12.0 8.1 -15.6 -15.1 -8.8 -1.5 -5.6 -2.5 -14.7 -6.7 -13.3 4.6 -14.4 -8.9 -4.9 -4.2 -1.6 -4.2 2.6 -4.9 7.9 0.5 -20.0 -20.0 -20.0 5.1 5.8 1.9 8.2 CAD -9.5 -1.1 -4.0 -2.7 -15.2 -2.0 -11.9 0.2 -5.5 -20.0 -20.0 -20.0 -17.9 -19.4 -15.7 -4.7 -3.1 -4.2 -3.7 -12.4 -10.8 -20.0 -11.9 -20.0 -1.2 -6.7 -17.0 -5.0 -17.3 -4.9 -11.8 -1.3 -19.7 -20.0 -8.7 -7.9 7.1 -6.6 -2.5 -4.8 CANOLA 10.2 -2.1 14.3 -2.1 -2.3 -1.5 -1.6 -0.9 -1.9 -1.0 -2.8 2.2 -6.2 1.3 -0.7 -10.4 -10.2 -13.2 -13.3 -0.1 -2.3 1.9 -4.9 2.5 -17.2 -1.3 -1.9 -1.9 0.7 -2.8 0.1 -20.0 16.5 4.3 -3.3 -2.1 -2.1 -12.6 6.3 -4.3 CHF 9.5 11.9 2.2 -2.1 -11.9 -1.6 -9.3 0.1 -4.3 5.2 -13.7 12.5 -13.5 8.9 6.2 -17.4 -16.8 -17.5 -17.0 3.7 -5.6 10.8 -9.9 9.7 5.8 3.1 2.8 -1.6 6.6 -3.6 6.2 -20.0 20.0 18.1 20.0 5.2 9.6 -11.7 -1.7 -12.0 COCOA -1.6 -15.5 -1.0 -1.7 -1.9 -1.2 -1.3 -0.7 -1.5 -4.5 2.2 -1.0 3.6 -3.5 -2.7 20.0 16.6 20.0 20.0 -0.5 4.0 -2.0 7.8 -1.8 -18.5 0.7 -1.2 4.8 -0.7 8.9 -0.5 20.0 -4.8 3.3 6.6 7.9 15.2 5.2 19.3 9.5 COFFEE 0.6 1.8 7.9 -4.4 -4.7 -3.0 -3.3 -1.9 -3.8 -15.0 13.5 -3.6 13.2 2.4 11.6 2.7 6.6 4.2 5.9 12.9 17.5 -8.4 16.1 3.3 -20.0 3.9 -6.9 7.8 -4.6 9.1 -0.3 7.5 -17.8 10.4 20.0 20.0 -0.8 -10.6 7.3 -3.6 COPPER -20.0 -17.8 1.5 -2.9 -2.4 -1.5 -3.2 -0.4 -3.5 -9.1 0.7 -9.9 2.6 -9.8 -6.0 -1.5 -2.5 -0.5 -1.3 -8.0 1.8 -19.0 6.3 -16.3 -11.6 -2.4 -3.1 0.3 -4.3 1.6 -4.1 5.8 -19.7 -6.6 -4.8 14.2 6.6 1.8 16.0 11.1 CORN 1.0 -20.0 1.6 -2.9 -3.1 -2.0 -2.2 -1.2 -2.5 0.3 -9.5 -1.3 -10.8 -8.9 -9.7 -16.1 -13.2 -16.9 -16.6 -14.1 -12.6 -2.2 -11.3 -9.5 -8.3 -3.5 -0.3 -3.0 -0.6 -2.6 -2.4 -20.0 7.6 -10.8 -12.3 -7.4 -13.7 -12.4 -12.0 -1.8 COTTON2 -3.0 -6.0 -20.0 -3.9 -4.3 -2.7 -3.0 -1.7 -3.4 -8.3 -15.5 -12.2 -12.6 -14.1 -15.7 -11.6 -0.8 -7.0 -3.2 -17.9 -19.8 -13.0 -15.0 -13.8 -20.0 -5.0 -3.4 -4.6 -4.7 -1.9 -4.2 -6.9 -17.6 -10.0 2.4 -20.0 -6.6 -8.8 8.7 -1.4 CRUDE_W -17.6 2.2 -8.7 -4.4 -10.5 -1.2 -10.9 1.7 -8.2 -20.0 9.5 -20.0 15.8 -1.9 2.8 15.1 12.8 14.5 13.7 -4.3 4.0 -20.0 10.0 -18.0 -3.8 -5.5 -13.4 -2.4 -12.7 1.8 -8.9 9.2 -18.8 -4.5 -3.5 -6.7 20.0 20.0 20.0 20.0 DAX 1.0 -12.1 -6.1 5.0 -2.5 6.1 -1.3 6.4 2.5 -1.6 10.7 -6.4 14.9 -3.8 -4.4 -8.8 -11.0 -9.8 -10.7 -0.1 6.9 -3.4 14.4 -2.2 11.2 0.3 -2.5 6.3 -2.1 11.7 -1.5 -8.1 6.7 -12.1 -20.0 -12.2 7.2 4.0 -6.3 6.0 DOW 12.9 6.0 -4.2 4.3 -2.1 5.2 -1.1 5.4 2.1 -2.4 10.1 2.2 12.8 6.4 7.0 -10.8 -11.3 -11.3 -11.5 10.4 9.3 7.2 11.3 11.0 -11.4 4.4 2.7 4.1 3.1 5.0 4.6 -8.9 20.0 16.8 2.0 -3.8 14.0 -1.2 8.7 -3.6 DX -15.1 -3.4 -1.1 -2.5 -13.9 -1.9 -10.9 0.2 -5.0 19.8 14.9 -7.3 16.6 -10.1 -5.4 7.5 7.0 7.5 7.3 -4.2 4.6 -2.5 9.8 -9.0 -20.0 -2.7 4.5 2.0 -1.5 4.8 -5.2 16.8 20.0 -20.0 3.6 15.2 -8.9 5.9 -9.5 9.1 EUR 9.6 2.0 2.0 -2.6 -14.4 -1.9 -11.2 0.2 -5.2 -20.0 -9.9 1.2 -11.2 8.0 8.0 -7.7 -7.2 -7.6 -7.3 3.8 -1.2 -4.5 -4.6 4.1 20.0 3.0 -8.8 1.0 -3.1 -0.4 2.6 -7.9 8.3 18.9 5.6 7.3 2.2 -18.0 -0.6 -16.4 EURIBOR-ICE 19.7 14.8 -4.4 1.9 2.8 0.6 2.2 -0.8 2.4 8.2 -3.8 8.7 0.2 8.5 3.9 -2.6 -4.6 -4.2 -4.3 5.1 0.6 9.9 -0.8 9.4 12.0 2.0 3.8 0.4 3.9 0.0 3.6 -1.8 8.2 6.6 2.8 -3.6 -20.0 -20.0 -9.5 1.7 EUROSTX -7.2 -16.2 -12.1 4.6 -2.3 5.6 -1.2 5.9 2.3 -11.7 10.5 -12.8 14.2 -11.3 -8.9 -4.5 -2.7 -5.3 -4.2 -5.0 4.1 -12.4 12.9 -10.1 -2.0 -2.4 -6.3 4.1 -6.9 10.0 -5.7 5.1 -7.7 -20.0 -20.0 -14.0 -2.5 1.3 -14.8 0.9 FEEDCOW -11.6 -1.6 -1.9 -6.0 -6.6 -4.2 -4.6 -2.6 -5.2 -15.6 3.4 -17.1 -4.1 -15.6 -0.2 3.4 -20.0 -8.1 -17.5 -7.1 -4.6 -11.5 -1.7 -10.7 -8.7 -4.0 -7.5 -2.8 -5.6 0.8 -4.9 -20.0 -10.1 -6.0 14.5 5.3 1.1 20.0 8.6 20.0 GASOIL -14.7 3.7 -13.0 -4.0 -9.5 -1.1 -9.9 1.5 -7.5 -16.3 1.5 -19.0 12.6 -3.1 -5.7 -2.3 10.7 -0.5 4.2 -6.6 -1.6 -19.9 6.3 -13.9 5.4 -3.5 -10.6 -1.3 -10.0 2.0 -7.0 0.1 -1.9 4.7 5.7 -4.3 -19.5 -14.7 -20.0 -20.0 GASOLINE -9.9 2.4 -10.9 -4.2 -9.9 -1.1 -10.3 1.6 -7.8 -19.9 7.6 -20.0 14.3 2.7 -4.3 20.0 20.0 20.0 20.0 -3.5 2.4 -16.7 10.3 -10.0 -20.0 -4.4 -9.9 -1.6 -9.0 3.6 -6.4 20.0 4.5 9.7 4.8 -4.9 20.0 20.0 20.0 20.0 GAS_US_mini -20.0 -16.3 18.9 -2.2 -5.2 -0.6 -5.3 0.8 -4.0 -11.0 -10.4 -11.8 -11.2 -12.2 -10.4 -16.5 -20.0 -20.0 -20.0 -11.9 -9.1 -12.5 -14.6 -15.1 20.0 -2.9 -3.6 -2.2 -4.1 -3.5 -4.2 -20.0 6.3 -1.8 -7.3 7.8 -3.4 -9.1 -9.7 -17.0 GBP 10.6 6.2 7.5 -2.7 -15.0 -2.0 -11.7 0.2 -5.4 -19.2 17.5 6.8 8.5 12.3 19.0 -0.6 -0.8 -0.8 -0.8 16.2 12.6 -0.7 8.9 12.4 -0.1 7.3 -4.5 6.2 -0.3 4.6 5.5 3.1 7.0 20.0 20.0 20.0 4.6 -20.0 3.0 -12.8 GOLD_micro 5.5 -1.7 1.8 -3.4 -2.8 -1.8 -3.7 -0.5 -4.0 -8.2 8.8 -3.1 9.6 0.8 3.2 -11.6 -13.4 -11.8 -12.5 5.7 9.7 -4.5 11.6 1.8 -4.1 0.3 -4.0 3.7 -2.9 6.3 -1.1 -13.0 6.6 20.0 19.0 15.0 6.7 -5.4 15.6 1.1 HEATOIL -14.6 4.9 -11.6 -4.1 -9.9 -1.1 -10.3 1.6 -7.7 -19.3 -4.4 -20.0 6.2 -2.3 -6.0 -5.6 8.8 -4.9 0.6 -7.3 -4.3 -20.0 1.6 -13.7 -20.0 -5.6 -10.4 -4.4 -8.7 -0.1 -6.7 -4.6 -1.6 0.6 3.3 -15.5 0.5 6.9 -9.5 2.6 JGB-SGX-mini 4.6 3.1 -12.8 2.1 3.0 0.6 2.5 -0.9 2.6 0.8 -6.4 2.3 -2.4 -2.7 -5.4 20.0 19.0 20.0 19.9 -4.1 -5.6 0.4 -3.8 -1.6 -9.6 -2.2 2.5 -3.3 0.3 -3.1 -0.8 20.0 -4.4 -7.9 -7.3 -14.3 -2.9 -4.5 1.7 17.6 JPY 20.0 8.2 -1.2 -1.2 -6.6 -0.9 -5.1 0.1 -2.4 9.4 -9.9 10.4 -11.3 5.5 -4.2 -14.4 -16.1 -15.2 -15.5 -1.9 -10.4 14.4 -15.8 8.5 20.0 -0.5 4.0 -3.5 5.3 -5.1 3.3 -20.0 20.0 20.0 3.3 -12.4 -20.0 -14.3 -20.0 -13.4 LEANHOG 20.0 -8.6 -20.0 -3.7 -4.0 -2.5 -2.8 -1.6 -3.2 3.6 -9.2 10.5 -7.3 -0.5 -9.7 20.0 -0.4 20.0 20.0 -11.8 -13.8 9.4 -10.0 1.1 4.2 -3.0 -0.3 -3.4 2.6 -2.2 0.5 13.1 20.0 9.1 -4.2 -20.0 -5.1 -8.5 -0.4 3.1 LIVECOW -4.8 17.0 13.6 -6.2 -6.7 -4.2 -4.7 -2.6 -5.3 13.5 20.0 14.1 9.4 19.1 20.0 -0.2 9.1 9.8 12.3 20.0 20.0 20.0 13.2 20.0 -12.5 7.9 6.0 7.3 7.4 6.4 7.0 15.3 20.0 20.0 20.0 20.0 0.6 20.0 5.3 20.0 LUMBER-new 14.8 -1.4 -16.5 -2.5 -2.8 -1.7 -1.9 -1.0 -2.2 6.0 -8.3 7.0 -8.3 -1.6 -7.5 -15.3 -17.2 -16.5 -17.1 -6.8 -9.8 5.3 -8.0 0.4 NaN -2.1 1.7 -4.0 2.2 -3.3 0.8 -20.0 16.4 11.0 5.5 -20.0 1.4 -5.4 7.0 -2.5 MILK 1.4 2.2 20.0 -4.2 -4.5 -2.9 -3.2 -1.8 -3.6 14.3 10.8 14.5 -1.6 1.5 12.0 -15.5 -20.0 -20.0 -20.0 13.3 13.9 11.0 2.0 9.4 17.9 4.2 4.0 4.7 3.6 0.2 2.7 -20.0 20.0 12.9 20.0 20.0 -6.3 -20.0 -2.2 -20.0 MXP 6.3 -10.1 -20.0 -1.2 -6.9 -0.9 -5.4 0.1 -2.5 -10.6 -3.6 -9.0 3.2 -4.0 -5.3 10.4 15.1 11.7 13.3 -7.3 -5.5 -12.7 1.4 -7.4 -20.0 -2.7 -4.7 -1.9 -3.7 0.5 -2.5 20.0 -13.5 -2.9 -20.0 -15.1 16.8 13.1 20.0 20.0 NASDAQ_micro -20.0 -5.8 2.5 3.3 -1.6 4.1 -0.9 4.2 1.6 -8.5 9.5 -9.8 11.8 -3.4 6.3 -10.2 -10.8 -11.1 -11.1 4.6 11.5 -19.1 14.1 -8.4 -20.0 1.5 -4.6 3.7 -5.2 4.8 -2.3 -8.1 -20.0 -20.0 1.8 6.4 2.6 6.0 -4.8 5.4 NIKKEI -17.7 -5.8 -8.3 4.1 -2.0 5.0 -1.1 5.2 2.0 -10.3 10.0 -12.2 12.6 -5.8 1.0 13.9 10.5 12.1 10.5 2.1 9.4 -20.0 15.4 -10.9 -15.5 1.3 -7.6 3.6 -7.8 5.8 -2.8 20.0 -20.0 -19.9 -7.5 -8.6 6.5 -4.2 -2.7 -8.4 NZD -20.0 -9.6 3.5 -2.0 -11.3 -1.5 -8.8 0.1 -4.1 -17.5 -5.3 -19.2 -2.9 -18.3 -4.7 -0.3 0.1 -0.1 0.0 -12.0 -3.7 -20.0 -2.3 -20.0 0.4 -4.4 -11.0 -1.3 -12.2 -0.4 -9.1 4.6 -20.0 -20.0 -16.0 3.8 8.4 -5.2 7.6 0.3 OAT 15.5 1.3 -8.0 2.5 3.7 0.8 3.0 -1.1 3.2 6.7 -8.1 9.4 -3.6 5.6 -2.7 -0.1 4.0 0.6 2.1 -1.0 -4.7 5.6 -5.4 4.1 2.0 -0.2 4.4 -1.7 3.5 -1.5 2.5 11.1 0.1 1.8 -12.2 -7.5 -20.0 -19.7 -9.5 -3.3 OATIES 11.2 -20.0 1.1 -2.2 -2.4 -1.5 -1.7 -0.9 -1.9 -3.2 -6.7 0.0 -7.6 -6.3 -7.1 2.9 0.9 1.5 2.1 -7.9 -7.9 -1.9 -6.5 -4.0 -20.0 -2.2 -1.5 -1.8 -0.7 -1.2 -1.4 -1.2 3.5 -2.3 -12.4 -0.1 3.8 -1.1 14.0 9.6 OJ -5.4 -3.5 -3.3 -3.6 -4.0 -2.5 -2.8 -1.5 -3.1 -5.3 10.0 -6.3 12.1 -1.7 7.1 8.2 12.1 9.1 9.6 8.8 15.2 -4.3 19.3 0.6 -20.0 2.4 -1.0 5.7 -1.8 9.5 -0.7 14.8 -12.8 5.5 3.5 20.0 11.6 10.4 20.0 20.0 PALLAD -10.6 3.1 1.6 -2.6 -2.2 -1.4 -2.9 -0.4 -3.1 -8.5 -6.8 -8.8 -8.5 -7.0 -6.6 -1.5 -2.1 -1.8 -1.9 -4.4 -4.8 -8.7 -9.1 -6.6 14.4 -2.6 -3.1 -2.5 -3.6 -3.2 -3.1 6.0 1.0 6.7 12.3 -0.8 -20.0 -20.0 -20.0 -20.0 PLAT -13.6 -8.4 6.9 -3.9 -3.2 -2.0 -4.2 -0.5 -4.6 -8.7 -1.0 -12.0 -4.0 -11.5 -5.6 -5.3 -4.4 -5.2 -4.9 -4.8 0.6 -13.1 1.2 -11.1 7.5 -3.6 -2.2 -1.1 -4.9 0.3 -5.2 1.5 -2.8 -1.0 3.6 9.9 -17.7 -9.8 -6.3 2.4 REDWHEAT -7.9 -20.0 7.5 -3.4 -3.7 -2.3 -2.6 -1.4 -2.9 -6.9 -8.6 -8.8 -10.7 -12.4 -11.8 -10.4 -4.6 -9.7 -7.3 -15.6 -10.4 -9.8 -10.1 -14.8 -5.2 -3.6 -2.2 -2.2 -2.4 -1.9 -3.5 -13.7 -2.1 -14.7 -20.0 5.6 -17.0 -20.0 -11.2 -17.6 RICE -10.1 -17.5 4.9 -4.5 -4.9 -3.1 -3.5 -1.9 -3.9 15.9 9.9 9.0 13.0 -4.1 8.4 6.4 20.0 20.0 20.0 -3.8 3.1 16.4 9.4 -0.4 -10.8 1.0 15.4 1.9 9.7 2.8 2.9 20.0 20.0 8.9 15.5 20.0 -19.9 -9.8 -20.0 -8.2 ROBUSTA 3.4 1.4 1.4 -2.7 -2.9 -1.9 -2.1 -1.2 -2.3 -9.2 9.8 1.3 10.0 4.4 8.5 20.0 20.0 20.0 20.0 13.4 17.8 -4.4 19.6 6.2 -20.0 3.5 -2.9 5.5 -0.9 7.0 1.7 20.0 -15.1 20.0 20.0 20.0 3.3 -5.9 10.3 3.2 RUSSELL 20.0 7.7 1.4 3.3 -1.7 4.1 -0.9 4.3 1.6 2.6 8.4 9.0 9.1 8.5 7.2 -6.4 -6.8 -7.0 -6.9 11.5 7.1 13.0 5.2 15.6 -1.0 3.7 1.3 2.5 3.3 1.9 4.4 -1.0 20.0 20.0 9.2 2.4 3.3 -20.0 0.0 -20.0 SHATZ 13.0 20.0 4.5 1.8 2.7 0.6 2.2 -0.8 2.3 8.1 -5.9 8.3 -7.2 7.3 4.2 -20.0 -20.0 -20.0 -20.0 3.6 -2.8 10.0 -8.5 7.8 7.0 1.6 4.2 -0.7 4.0 -2.4 3.2 -20.0 9.3 0.3 4.9 -3.5 -20.0 -14.9 -17.2 -11.3 SILVER-mini -13.7 -6.2 8.1 -3.1 -2.5 -1.6 -3.3 -0.4 -3.6 -9.9 5.8 -10.0 6.1 -8.4 0.6 -5.6 -6.4 -5.9 -6.1 -0.5 6.4 -16.5 7.7 -9.4 2.3 -1.9 -5.5 1.0 -5.6 2.4 -4.2 -1.5 -14.9 3.2 2.8 13.0 0.4 -6.8 7.0 5.4 SMI -1.8 -2.3 15.1 5.4 -2.7 6.6 -1.4 6.9 2.6 -1.5 18.1 2.1 17.8 6.5 16.5 -3.5 0.8 -3.2 -1.4 15.4 20.0 1.0 19.6 7.7 15.1 6.7 -0.5 9.5 0.6 9.5 3.5 10.6 14.7 -1.5 -3.8 12.7 4.9 2.0 -2.9 -0.0 SOFR 11.8 16.3 9.8 2.9 4.3 0.9 3.5 -1.3 3.7 10.6 0.7 11.8 -2.4 12.5 11.8 -0.9 -1.3 -1.9 -1.8 10.7 4.9 8.7 -1.8 10.9 -4.1 4.1 4.3 2.9 3.1 0.9 3.5 3.2 0.4 -0.6 4.6 5.3 9.2 -14.1 20.0 3.6 SOYBEAN -4.4 -17.0 -1.4 -2.6 -2.9 -1.8 -2.0 -1.1 -2.3 -5.0 -9.2 -6.6 -7.0 -8.4 -9.2 -3.3 5.4 -1.9 0.5 -12.0 -10.0 -6.1 -7.4 -10.1 -19.6 -3.3 -1.7 -2.6 -1.4 -1.7 -2.7 1.2 3.1 -14.9 -14.1 -8.1 -10.5 -20.0 -4.9 -20.0 SOYMEAL -4.0 -19.7 3.3 -2.8 -3.1 -2.0 -2.2 -1.2 -2.4 5.6 -9.5 1.5 -9.0 -6.5 -8.9 2.0 6.7 5.3 4.7 -10.9 -9.7 2.9 -8.0 -6.4 -20.0 -2.6 2.0 -1.9 1.1 -1.2 -1.7 5.6 19.3 -9.9 -8.5 5.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -7.8 8.7 5.0 -2.2 -2.4 -1.5 -1.7 -1.0 -1.9 -7.2 -6.0 -7.3 -7.8 -5.2 -4.8 5.6 0.9 2.4 0.1 -2.8 -3.8 -9.4 -5.7 -5.1 -19.7 -1.9 -6.1 -2.1 -4.5 -2.3 -2.7 -3.6 -13.2 -4.0 4.0 -6.8 -11.7 -13.2 -0.2 -2.1 SP400 18.3 -2.5 -5.6 3.7 -1.9 4.6 -1.0 4.8 1.8 0.2 8.8 5.7 10.6 4.9 4.0 -4.3 -5.7 -5.5 -5.7 6.7 6.3 8.7 8.1 9.4 -10.6 4.0 2.3 3.6 3.4 3.8 4.5 1.0 20.0 19.8 -0.9 -3.5 4.9 -9.6 2.3 -20.0 SP500_micro -20.0 -3.2 5.8 5.0 -2.5 6.1 -1.3 6.4 2.5 -10.1 17.0 -10.9 18.4 2.3 13.1 -13.5 -12.8 -14.0 -13.5 12.8 20.0 -16.6 20.0 -2.5 -20.0 4.3 -5.2 7.3 -5.7 8.7 -0.9 -11.8 -20.0 -20.0 6.4 9.3 11.5 2.6 0.9 2.6 SUGAR11 -14.1 13.6 -7.2 -3.8 -4.1 -2.6 -2.9 -1.6 -3.3 -0.2 -11.6 -8.0 -9.6 -6.3 -8.6 -4.4 8.4 -1.8 2.7 -6.8 -9.4 -8.4 -8.5 -9.2 -20.0 -2.6 2.2 -4.2 -3.0 -3.8 -3.2 6.3 -15.8 -12.7 20.0 -14.1 0.8 20.0 5.6 20.0 US10 9.2 13.1 9.2 2.4 3.6 0.8 2.9 -1.1 3.1 7.4 -1.2 8.7 -5.5 9.5 8.9 -7.4 -7.4 -7.2 -7.1 6.3 1.8 5.6 -4.8 6.7 2.9 3.0 4.0 2.1 2.3 -0.1 2.5 -6.7 0.1 -3.1 1.0 3.0 5.6 -19.5 15.0 2.8 US10U 6.5 10.8 9.4 3.2 4.7 1.0 3.8 -1.4 4.0 7.2 -2.8 9.9 -6.8 11.0 10.7 -4.2 -2.9 -4.6 -4.0 5.9 1.2 5.0 -6.6 6.0 0.2 3.4 4.5 2.5 2.1 -0.2 2.3 0.0 -1.5 -7.6 -1.3 3.1 6.1 -15.8 20.0 11.9 US2 19.5 18.6 4.8 2.6 3.8 0.8 3.1 -1.1 3.3 5.2 -6.1 9.3 -10.5 10.4 7.3 -20.0 -20.0 -20.0 -20.0 8.4 -1.6 8.8 -12.8 11.7 17.5 2.9 3.2 0.2 3.2 -2.6 3.8 -20.0 -2.6 3.5 3.4 -2.4 3.3 -20.0 7.1 -11.1 US20 2.8 7.5 9.7 2.1 3.1 0.6 2.5 -0.9 2.6 3.1 -0.9 4.7 -2.2 5.3 6.5 -0.9 -0.8 -0.8 -0.7 2.6 1.0 1.6 -3.0 2.0 -1.4 2.1 2.3 2.3 0.6 0.8 0.9 4.6 -2.4 -7.5 -1.6 3.7 4.7 -9.9 20.0 19.1 US30 0.5 6.0 9.4 2.3 3.4 0.7 2.7 -1.0 2.9 2.0 -2.5 2.8 -3.7 2.4 4.7 -3.8 -5.0 -4.5 -4.8 1.3 -0.1 0.2 -4.1 0.4 -0.8 1.8 2.2 2.1 -0.1 0.3 0.2 -2.8 -4.0 -10.4 -3.6 2.3 1.6 -9.3 12.6 20.0 US5 13.2 15.8 8.5 2.7 4.0 0.8 3.2 -1.2 3.4 8.7 -2.9 10.4 -8.4 11.2 9.5 -11.9 -10.5 -11.1 -10.6 8.5 1.6 7.9 -6.8 9.8 7.5 3.5 4.2 1.8 3.0 -0.6 3.4 -12.3 -0.3 0.0 2.9 2.0 5.8 -19.6 12.5 -4.1 VIX 13.6 15.0 2.3 -4.6 3.7 -9.0 6.3 -12.1 1.7 1.5 -20.0 6.5 -20.0 1.1 -19.5 -20.0 -20.0 -20.0 -20.0 -6.5 -17.1 9.5 -20.0 3.9 NaN -5.5 4.0 -10.7 6.7 -14.6 1.8 NaN NaN NaN NaN NaN -15.3 -20.0 NaN NaN WHEAT -11.0 -20.0 7.9 -2.4 -2.7 -1.7 -1.9 -1.0 -2.1 -4.9 -5.9 -7.4 -7.1 -9.1 -8.5 -15.5 -14.5 -15.8 -15.5 -12.2 -7.5 -8.1 -6.4 -12.1 1.0 -2.6 -1.4 -1.4 -1.8 -1.0 -2.7 -20.0 -1.8 -13.3 -20.0 3.4 -15.3 -20.0 -12.9 -20.0 End of report for caleb_strategy_v3