******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240730_203932 produced at 2024-07-30 21:37:44.777350 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.23 -0.20 0.0 999.00 -999.00 -0.23 -0.22 -32.57 999999999.0 -37 -36 caleb_strategy_v3 CAD False False 0.02 -0.09 -0.18 0.0 0.68 -0.68 -0.09 -0.09 -7.61 29.0 -4 -4 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.09 0.0 0.00 0.00 0.00 0.00 -2.36 24.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.06 -0.09 0.0 0.52 -0.52 -0.06 -0.09 -11.00 60.0 -7 -11 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.06 0.0 0.33 -0.33 0.00 0.00 -1.43 8.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.06 0.0 0.10 -0.10 -0.03 -0.03 -1.71 3.0 -1 -1 caleb_strategy_v3 NIKKEI False False 0.01 -0.03 -0.06 0.0 0.29 -0.29 -0.03 -0.03 -7.25 36.0 -4 -4 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.06 0.0 999.00 -999.00 -0.03 -0.03 -1.82 999999999.0 -1 -1 caleb_strategy_v3 CAC True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.75 12.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.03 -0.05 0.0 0.48 -0.48 -0.03 -0.03 -1.55 16.0 -1 -1 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.05 0.0 0.40 -0.40 -0.02 -0.02 -2.77 21.0 -1 -1 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.04 0.0 0.79 -0.79 0.00 0.00 -1.02 19.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.03 -0.04 0.0 0.08 -0.08 -0.03 -0.03 -5.94 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 -3.40 11.0 -5 -5 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -1.20 4.0 -1 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.03 0.0 0.05 -0.05 -0.03 -0.03 -18.27 26.0 -16 -16 caleb_strategy_v3 AUD False False 0.02 0.00 -0.03 0.0 0.41 -0.41 0.00 0.00 -1.43 19.0 0 0 caleb_strategy_v3 OAT False False 0.04 0.00 -0.03 0.0 0.44 -0.44 0.00 0.00 -0.61 10.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.05 -0.03 0.0 0.43 -0.43 -0.05 -0.11 -2.96 48.0 -6 -12 caleb_strategy_v3 EUROSTX False False 0.02 -0.05 -0.03 0.0 0.34 -0.34 -0.05 -0.05 -1.69 20.0 -3 -3 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.02 -0.03 0.0 0.28 -0.28 -0.02 -0.04 -2.29 23.0 -2 -3 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.07 -0.07 -0.02 -0.02 -1.95 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 -1.01 7.0 -3 -3 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.04 -1.88 9.0 -4 -4 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.15 -0.15 -0.01 -0.01 -7.52 51.0 -2 -3 caleb_strategy_v3 BUXL False False 0.05 -0.05 -0.01 0.0 0.19 -0.19 -0.05 -0.05 -0.19 4.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -1.00 10.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -6.06 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 -1.75 18.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.03 -0.62 10.0 -1 -2 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.01 0.0 0.06 -0.06 -0.03 -0.03 -0.32 2.0 -1 -1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -2.44 2.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -1.20 9.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.00 -0.01 0.0 0.42 -0.42 0.00 0.00 -0.18 10.0 0 0 caleb_strategy_v3 DX False False 0.03 0.00 -0.01 0.0 999.00 -999.00 0.00 0.00 -0.35 999999999.0 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 -2.50 3.0 -2 -2 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.01 0.0 0.45 -0.45 -0.03 -0.03 -0.50 17.0 -1 -1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.00 0.0 999.00 -999.00 0.00 0.00 -0.06 999999999.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.00 0.0 0.47 -0.47 0.00 0.00 -0.04 10.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 0.00 0.0 0.25 -0.25 0.00 0.00 0.04 6.0 0 0 caleb_strategy_v3 CHF False False 0.05 0.00 -0.00 0.0 0.60 -0.60 0.00 0.00 -0.08 13.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.60 -0.60 0.00 0.00 0.18 26.0 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 LEANHOG False False 0.01 -0.01 0.00 0.0 0.13 -0.13 -0.01 -0.01 0.50 13.0 -1 -1 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.06 -0.06 0.02 0.02 0.45 3.0 1 1 caleb_strategy_v3 US20 False True 0.04 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.31 9.0 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 SP400 False False 0.10 0.10 0.01 0.0 0.20 -0.20 0.10 0.10 0.10 2.0 1 1 caleb_strategy_v3 EUR False False 0.04 0.00 0.01 0.0 0.62 -0.62 0.00 0.00 0.26 14.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.30 13.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.04 0.02 0.0 0.88 -0.88 0.04 0.04 0.66 25.0 1 1 caleb_strategy_v3 US10 False False 0.04 0.00 0.02 0.0 0.62 -0.62 0.00 0.00 0.42 17.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.15 0.02 0.0 0.49 -0.49 0.15 0.15 0.41 13.0 4 4 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.58 999999999.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.25 -0.25 0.00 0.00 5.99 68.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.02 0.0 0.04 -0.04 0.00 0.00 1.61 4.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 0.02 0.0 0.07 -0.07 0.00 0.00 1.24 5.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.02 0.0 0.38 -0.38 0.00 0.00 2.47 58.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.02 0.0 0.44 -0.44 0.00 0.00 2.65 66.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.01 0.02 0.0 0.44 -0.44 0.01 0.02 2.36 56.0 1 2 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.03 0.0 0.12 -0.12 0.05 0.05 1.35 5.0 2 2 caleb_strategy_v3 GBP False False 0.03 0.03 0.06 0.0 0.57 -0.57 0.03 0.03 2.48 22.0 1 1 caleb_strategy_v3 SMI False True 0.05 0.00 0.11 0.0 0.00 0.00 0.00 0.00 2.55 9.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.10 0.12 0.0 0.41 -0.41 0.10 0.10 4.82 17.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.41 0.0 0.86 -0.86 0.00 0.00 4.73 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 0.93 0.0 0.00 0.00 0.00 0.00 11.80 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.4 Shocked risk 22.9 Sum abs risk 36.0 Leverage 3.40 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3071346.24, 'annual_cash_vol_target': 767836.56, 'daily_cash_vol_target': 47989.785} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0034 0.6547 0.5196 8.3133 BITCOIN 1704.3278 66265.0000 2.5720 41.1518 BOBL 0.2313 117.4000 0.1970 3.1519 BTP 0.5069 118.5900 0.4274 6.8384 BUND 0.4743 133.4500 0.3554 5.6867 BUXL 1.1800 133.6000 0.8832 14.1314 CAC 66.2051 7493.5000 0.8835 14.1360 CAD 0.0022 0.7230 0.3086 4.9376 CANOLA 10.0717 625.1000 1.6112 25.7795 CHF 0.0049 1.1377 0.4266 6.8259 COCOA 265.3847 7069.0000 3.7542 60.0673 COFFEE 4.2197 229.3000 1.8403 29.4443 COPPER 0.0553 4.0915 1.3516 21.6249 CORN 6.2763 404.2500 1.5526 24.8412 COTTON2 1.0084 69.5700 1.4495 23.1926 CRUDE_W 0.9413 72.9700 1.2900 20.6395 DAX 140.0808 18535.0000 0.7558 12.0922 DOW 274.0659 40874.0000 0.6705 10.7282 DX 0.3208 104.3200 0.3075 4.9195 EUR 0.0039 1.0835 0.3637 5.8191 EURIBOR-ICE 0.0439 97.7250 0.0449 0.7189 EUROSTX 45.1085 4866.0000 0.9270 14.8322 FEEDCOW 1.6261 254.5500 0.6388 10.2213 GASOIL 10.7347 728.0000 1.4745 23.5927 GASOLINE 0.0307 2.1098 1.4542 23.2666 GAS_US_mini 0.0875 2.2350 3.9135 62.6152 GBP 0.0054 1.2838 0.4171 6.6742 GOLD_micro 20.6002 2425.8000 0.8492 13.5874 HEATOIL 0.0338 2.3878 1.4135 22.6154 JGB-SGX-mini 0.2202 143.0100 0.1540 2.4637 JPY 0.0000 0.0066 0.6389 10.2221 LEANHOG 1.3207 74.6250 1.7697 28.3159 LIVECOW 1.1981 187.3250 0.6396 10.2336 LUMBER-new 9.2059 508.5000 1.8104 28.9665 MILK 0.2340 21.4500 1.0909 17.4547 MXP 0.0005 0.0530 0.8822 14.1145 NASDAQ_micro 201.8409 18947.7500 1.0653 17.0440 NIKKEI 433.4030 38075.0000 1.1383 18.2126 NZD 0.0034 0.5901 0.5801 9.2809 OAT 0.4607 125.5100 0.3671 5.8733 OATIES 6.6770 316.0000 2.1130 33.8076 OJ 7.7798 420.7500 1.8490 29.5844 PALLAD 21.3674 877.5000 2.4350 38.9606 PLAT 14.5964 970.7000 1.5037 24.0592 REDWHEAT 10.4777 564.5000 1.8561 29.6975 RICE 0.1590 15.4850 1.0265 16.4237 ROBUSTA 71.0236 4120.0000 1.7239 27.5820 RUSSELL 26.8740 2253.2000 1.1927 19.0833 SHATZ 0.0785 106.0550 0.0740 1.1838 SILVER-mini 0.5140 28.9000 1.7786 28.4577 SMI 80.5002 12292.0000 0.6549 10.4784 SOFR 0.0559 96.6000 0.0578 0.9251 SOYBEAN 14.1164 1020.0000 1.3840 22.1434 SOYMEAL 4.8843 317.4000 1.5388 24.6215 SOYOIL 0.7976 41.9300 1.9021 30.4342 SP400 28.7589 3090.5000 0.9306 14.8889 SP500_micro 38.2644 5463.7500 0.7003 11.2053 SUGAR11 0.3260 19.4600 1.6751 26.8014 US10 0.3460 111.5469 0.3102 4.9634 US10U 0.4859 115.2031 0.4217 6.7479 US2 0.0832 102.6445 0.0810 1.2968 US20 0.7592 120.1562 0.6318 10.1092 US30 1.1737 127.2188 0.9226 14.7614 US5 0.2169 107.7500 0.2013 3.2206 VIX 0.4937 18.7000 2.6401 42.2418 WHEAT 10.3610 547.5000 1.8924 30.2789 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 654.70 0.52 340.17 1.00 340.17 47989.78 141.08 -3.90 -54.96 BITCOIN 66.26 2.57 170.43 1.00 170.43 47989.78 281.58 -1.99 -55.99 BOBL 1174.00 0.20 231.27 1.09 251.12 47989.78 191.10 -5.24 -100.18 BTP 1185.90 0.43 506.86 1.09 550.37 47989.78 87.20 -0.61 -5.35 BUND 1334.50 0.36 474.31 1.09 515.03 47989.78 93.18 -0.43 -4.02 BUXL 1336.00 0.88 1179.97 1.09 1281.27 47989.78 37.45 -4.94 -18.51 CAC 749.35 0.88 662.05 1.09 718.89 47989.78 66.76 -7.67 -51.21 CAD 723.00 0.31 223.12 1.00 223.12 47989.78 215.09 -13.63 -293.15 CANOLA 125.02 1.61 201.43 0.72 145.70 47989.78 329.37 -9.38 -308.90 CHF 1422.12 0.43 606.71 1.00 606.71 47989.78 79.10 -0.38 -2.98 COCOA 706.90 3.75 2653.85 1.00 2653.85 47989.78 18.08 4.74 8.57 COFFEE 859.88 1.84 1582.40 1.00 1582.40 47989.78 30.33 1.88 5.69 COPPER 1022.88 1.35 1382.48 1.00 1382.48 47989.78 34.71 -4.85 -16.84 CORN 202.12 1.55 313.81 1.00 313.81 47989.78 152.92 -15.97 -244.14 COTTON2 347.85 1.45 504.22 1.00 504.22 47989.78 95.18 -16.66 -158.59 CRUDE_W 729.70 1.29 941.29 1.00 941.29 47989.78 50.98 2.45 12.50 DAX 185.35 0.76 140.08 1.09 152.11 47989.78 315.50 2.29 72.32 DOW 204.37 0.67 137.03 1.00 137.03 47989.78 350.21 3.25 113.91 DX 1043.20 0.31 320.75 1.00 320.75 47989.78 149.62 -0.90 -13.42 EUR 1354.38 0.36 492.58 1.00 492.58 47989.78 97.43 1.01 9.88 EURIBOR-ICE 2443.12 0.04 109.78 1.09 119.20 47989.78 402.60 3.44 138.62 EUROSTX 486.60 0.93 451.08 1.09 489.81 47989.78 97.98 -5.05 -49.52 FEEDCOW 1272.75 0.64 813.07 1.00 813.07 47989.78 59.02 -7.30 -43.09 GASOIL 728.00 1.47 1073.47 1.00 1073.47 47989.78 44.71 -6.18 -27.61 GASOLINE 886.12 1.45 1288.56 1.00 1288.56 47989.78 37.24 3.61 13.46 GAS_US_mini 55.88 3.91 218.66 1.00 218.66 47989.78 219.47 -7.69 -168.76 GBP 802.38 0.42 334.70 1.00 334.70 47989.78 143.38 6.66 95.43 GOLD_micro 242.58 0.85 206.00 1.00 206.00 47989.78 232.96 2.97 69.26 HEATOIL 1002.88 1.41 1417.53 1.00 1417.53 47989.78 33.85 -11.67 -39.52 JGB-SGX-mini 143010.00 0.15 22020.53 0.01 143.59 47989.78 334.21 -0.43 -14.34 JPY 821.56 0.64 524.88 1.00 524.88 47989.78 91.43 -2.09 -19.09 LEANHOG 298.50 1.77 528.27 1.00 528.27 47989.78 90.84 0.91 8.28 LIVECOW 749.30 0.64 479.25 1.00 479.25 47989.78 100.13 14.52 145.43 LUMBER-new 139.84 1.81 253.16 1.00 253.16 47989.78 189.56 -6.15 -116.53 MILK 429.00 1.09 468.00 1.00 468.00 47989.78 102.54 5.64 57.83 MXP 264.85 0.88 233.64 1.00 233.64 47989.78 205.40 -3.65 -74.93 NASDAQ_micro 378.96 1.07 403.68 1.00 403.68 47989.78 118.88 -8.30 -98.62 NIKKEI 38075.00 1.14 43340.30 0.01 282.62 47989.78 169.81 -3.94 -66.91 NZD 590.10 0.58 342.29 1.00 342.29 47989.78 140.20 -7.62 -106.82 OAT 1255.10 0.37 460.72 1.09 500.27 47989.78 95.93 -1.86 -17.84 OATIES 158.00 2.11 333.85 1.00 333.85 47989.78 143.75 -6.99 -100.41 OJ 631.12 1.85 1166.97 1.00 1166.97 47989.78 41.12 5.07 20.85 PALLAD 877.50 2.44 2136.74 1.00 2136.74 47989.78 22.46 -4.16 -9.34 PLAT 485.35 1.50 729.82 1.00 729.82 47989.78 65.76 -2.78 -18.31 REDWHEAT 282.25 1.86 523.88 1.00 523.88 47989.78 91.60 -16.01 -146.64 RICE 309.70 1.03 317.90 1.00 317.90 47989.78 150.96 4.37 66.04 ROBUSTA 412.00 1.72 710.24 1.00 710.24 47989.78 67.57 7.35 49.67 RUSSELL 112.66 1.19 134.37 1.00 134.37 47989.78 357.15 5.06 180.61 SHATZ 1060.55 0.07 78.46 1.09 85.20 47989.78 563.26 -4.13 -232.83 SILVER-mini 722.50 1.78 1285.04 1.00 1285.04 47989.78 37.34 -0.49 -1.82 SMI 1229.20 0.65 805.00 1.13 911.38 47989.78 52.66 14.18 74.64 SOFR 2415.00 0.06 139.63 1.00 139.63 47989.78 343.69 5.65 194.21 SOYBEAN 510.00 1.38 705.82 1.00 705.82 47989.78 67.99 -15.99 -108.73 SOYMEAL 317.40 1.54 488.43 1.00 488.43 47989.78 98.25 -13.16 -129.34 SOYOIL 251.58 1.90 478.54 1.00 478.54 47989.78 100.28 -10.76 -107.91 SP400 3090.50 0.93 2875.89 1.00 2875.89 47989.78 16.69 1.78 2.97 SP500_micro 273.19 0.70 191.32 1.00 191.32 47989.78 250.83 -5.08 -127.49 SUGAR11 217.95 1.68 365.09 1.00 365.09 47989.78 131.45 -6.25 -82.16 US10 1115.47 0.31 346.03 1.00 346.03 47989.78 138.69 2.40 33.33 US10U 1152.03 0.42 485.86 1.00 485.86 47989.78 98.77 3.27 32.33 US2 2052.89 0.08 166.39 1.00 166.39 47989.78 288.42 0.82 23.73 US20 1201.56 0.63 759.18 1.00 759.18 47989.78 63.21 3.88 24.50 US30 1272.19 0.92 1173.70 1.00 1173.70 47989.78 40.89 0.81 3.33 US5 1077.50 0.20 216.89 1.00 216.89 47989.78 221.27 2.35 52.11 VIX 187.00 2.64 493.70 1.00 493.70 47989.78 97.20 -13.57 -131.94 WHEAT 273.75 1.89 518.05 1.00 518.05 47989.78 92.64 -15.29 -141.65 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -54.962 0.010 2.5 -1.426 BITCOIN -55.994 0.043 2.5 -6.063 BOBL -100.180 0.004 2.5 -1.016 BTP -5.349 0.014 2.5 -0.182 BUND -4.019 0.004 2.5 -0.041 BUXL -18.510 0.004 2.5 -0.188 CAC -51.213 0.014 2.5 -1.747 CAD -293.151 0.010 2.5 -7.606 CANOLA -308.898 0.010 2.5 -7.515 CHF -2.985 0.010 2.5 -0.077 COCOA 8.569 0.009 2.5 0.184 COFFEE 5.695 0.005 2.5 0.067 COPPER -16.840 0.043 2.5 -1.824 CORN -244.144 0.010 2.5 -5.940 COTTON2 -158.590 0.009 2.5 -3.397 CRUDE_W 12.499 0.043 2.5 1.353 DAX 72.316 0.014 2.5 2.467 DOW 113.906 0.009 2.5 2.647 DX -13.425 0.010 2.5 -0.348 EUR 9.883 0.010 2.5 0.256 EURIBOR-ICE 138.623 0.014 2.5 4.728 EUROSTX -49.517 0.014 2.5 -1.689 FEEDCOW -43.092 0.013 2.5 -1.428 GASOIL -27.607 0.017 2.5 -1.197 GASOLINE 13.463 0.017 2.5 0.584 GAS_US_mini -168.765 0.043 2.5 -18.275 GBP 95.428 0.010 2.5 2.476 GOLD_micro 69.258 0.014 2.5 2.362 HEATOIL -39.520 0.017 2.5 -1.713 JGB-SGX-mini -14.344 0.043 2.5 -1.553 JPY -19.090 0.010 2.5 -0.495 LEANHOG 8.278 0.024 2.5 0.503 LIVECOW 145.432 0.013 2.5 4.819 LUMBER-new -116.535 0.009 2.5 -2.495 MILK 57.827 0.009 2.5 1.238 MXP -74.934 0.059 2.5 -10.998 NASDAQ_micro -98.622 0.009 2.5 -2.292 NIKKEI -66.914 0.043 2.5 -7.246 NZD -106.820 0.010 2.5 -2.772 OAT -17.837 0.014 2.5 -0.608 OATIES -100.409 0.010 2.5 -2.443 OJ 20.845 0.009 2.5 0.446 PALLAD -9.343 0.014 2.5 -0.319 PLAT -18.306 0.014 2.5 -0.624 REDWHEAT -146.637 0.005 2.5 -1.945 RICE 66.042 0.010 2.5 1.607 ROBUSTA 49.672 0.005 2.5 0.580 RUSSELL 180.614 0.013 2.5 5.985 SHATZ -232.829 0.004 2.5 -2.361 SILVER-mini -1.824 0.014 2.5 -0.062 SMI 74.642 0.014 2.5 2.546 SOFR 194.207 0.024 2.5 11.803 SOYBEAN -108.726 0.004 2.5 -1.011 SOYMEAL -129.336 0.004 2.5 -1.203 SOYOIL -107.908 0.004 2.5 -1.004 SP400 2.968 0.013 2.5 0.098 SP500_micro -127.491 0.009 2.5 -2.963 SUGAR11 -82.158 0.009 2.5 -1.747 US10 33.326 0.005 2.5 0.422 US10U 32.327 0.005 2.5 0.410 US2 23.733 0.005 2.5 0.301 US20 24.500 0.005 2.5 0.310 US30 3.331 0.005 2.5 0.042 US5 52.106 0.005 2.5 0.660 VIX -131.938 0.099 2.5 -32.568 WHEAT -141.648 0.005 2.5 -1.879 ===================== Position diags ===================== AUD 3.66 BITCOIN 30.49 BOBL 1.94 BTP 2.97 BUND 0.94 BUXL 0.38 CAC 2.28 CAD 5.58 CANOLA 8.01 CHF 2.05 COCOA 0.39 COFFEE 0.35 COPPER 3.76 CORN 3.72 COTTON2 2.04 CRUDE_W 5.52 DAX 10.76 DOW 8.14 DX 3.88 EUR 2.53 EURIBOR-ICE 13.73 EUROSTX 3.34 FEEDCOW 1.96 GASOIL 1.94 GASOLINE 1.61 GAS_US_mini 23.77 GBP 3.72 GOLD_micro 7.95 HEATOIL 1.47 JGB-SGX-mini 36.19 JPY 2.37 LEANHOG 5.52 LIVECOW 3.32 LUMBER-new 4.06 MILK 2.20 MXP 30.15 NASDAQ_micro 2.76 NIKKEI 18.39 NZD 3.64 OAT 3.27 OATIES 3.50 OJ 0.88 PALLAD 0.77 PLAT 2.24 REDWHEAT 1.22 RICE 3.67 ROBUSTA 0.79 RUSSELL 11.83 SHATZ 5.71 SILVER-mini 1.27 SMI 1.80 SOFR 20.89 SOYBEAN 0.63 SOYMEAL 0.91 SOYOIL 0.93 SP400 0.55 SP500_micro 5.83 SUGAR11 2.80 US10 1.76 US10U 1.25 US2 3.65 US20 0.80 US30 0.52 US5 2.80 VIX 23.99 WHEAT 1.23 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.4 -1.8 -1.1 0.0 0 BITCOIN -6.1 -9.1 -3.0 0.0 0 BOBL -1.0 -1.2 -0.8 0.0 0 BTP -0.2 -0.5 0.1 0.0 0 BUND -0.0 -0.1 0.1 0.0 0 BUXL -0.2 -0.2 -0.1 -1.0 -1 CAC -1.7 -2.0 -1.5 0.0 0 CAD -7.6 -8.2 -7.0 -4.0 -4 CANOLA -7.5 -8.3 -6.7 -2.0 -2 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 -1.8 -2.2 -1.4 -1.0 -1 CORN -5.9 -6.3 -5.6 -5.0 -5 COTTON2 -3.4 -3.6 -3.2 -5.0 -5 CRUDE_W 1.4 0.8 1.9 2.0 2 DAX 2.5 1.4 3.5 0.0 0 DOW 2.6 1.8 3.5 0.0 0 DX -0.3 -0.7 0.0 0.0 0 EUR 0.3 0.0 0.5 0.0 0 EURIBOR-ICE 4.7 3.4 6.1 0.0 0 EUROSTX -1.7 -2.0 -1.4 -3.0 -3 FEEDCOW -1.4 -1.6 -1.2 0.0 0 GASOIL -1.2 -1.4 -1.0 -1.0 -1 GASOLINE 0.6 0.4 0.7 0.0 0 GAS_US_mini -18.3 -20.7 -15.9 -16.0 -16 GBP 2.5 2.1 2.8 1.0 1 GOLD_micro 2.4 1.6 3.2 1.0 1 HEATOIL -1.7 -1.9 -1.6 -1.0 -1 JGB-SGX-mini -1.6 -5.2 2.1 -1.0 -1 JPY -0.5 -0.7 -0.3 -1.0 -1 LEANHOG 0.5 -0.0 1.1 -1.0 -1 LIVECOW 4.8 4.5 5.2 4.0 4 LUMBER-new -2.5 -2.9 -2.1 -2.0 -2 MILK 1.2 1.0 1.5 NaN 0 MXP -11.0 -14.0 -8.0 -7.0 -7 NASDAQ_micro -2.3 -2.6 -2.0 -2.0 -2 NIKKEI -7.2 -9.1 -5.4 -4.0 -4 NZD -2.8 -3.1 -2.4 -1.0 -1 OAT -0.6 -0.9 -0.3 0.0 0 OATIES -2.4 -2.8 -2.1 NaN 0 OJ 0.4 0.4 0.5 1.0 1 PALLAD -0.3 -0.4 -0.2 -1.0 -1 PLAT -0.6 -0.8 -0.4 -1.0 -1 REDWHEAT -1.9 -2.1 -1.8 -2.0 -2 RICE 1.6 1.2 2.0 NaN 0 ROBUSTA 0.6 0.5 0.7 1.0 1 RUSSELL 6.0 4.8 7.2 0.0 0 SHATZ -2.4 -2.9 -1.8 NaN 0 SILVER-mini -0.1 -0.2 0.1 0.0 0 SMI 2.5 2.4 2.7 0.0 0 SOFR 11.8 9.7 13.9 NaN 0 SOYBEAN -1.0 -1.1 -0.9 -3.0 -3 SOYMEAL -1.2 -1.3 -1.1 0.0 0 SOYOIL -1.0 -1.1 -0.9 0.0 0 SP400 0.1 0.0 0.2 1.0 1 SP500_micro -3.0 -3.5 -2.4 -6.0 -6 SUGAR11 -1.7 -2.0 -1.5 0.0 0 US10 0.4 0.2 0.6 0.0 0 US10U 0.4 0.3 0.5 4.0 4 US2 0.3 -0.1 0.7 NaN 0 US20 0.3 0.2 0.4 0.0 0 US30 0.0 -0.0 0.1 0.0 0 US5 0.7 0.4 0.9 1.0 1 VIX -32.6 -35.0 -30.2 -37.0 -37 WHEAT -1.9 -2.0 -1.8 -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 -0.5 -0.0 0.2 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 -0.2 -0.0 -0.2 -0.1 -0.2 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 0.5 -0.6 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.2 0.2 0.5 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 0.1 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 0.3 -0.7 -0.3 -0.2 -0.0 BOBL 0.5 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 0.3 0.0 0.0 -0.1 -0.7 -0.6 -0.4 -0.4 BTP 0.6 0.2 -0.1 0.0 0.1 0.0 0.1 -0.1 0.1 0.1 0.1 0.2 0.4 0.2 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.2 0.1 -2.7 0.0 0.1 0.1 0.1 0.1 0.1 0.6 -0.0 0.3 -0.2 -0.0 -0.6 -0.5 -0.2 0.1 BUND 0.4 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 0.1 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 -0.0 -0.0 -0.1 -0.7 -0.7 -0.4 -0.4 BUXL 0.3 0.1 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 0.1 -0.1 0.1 -0.4 0.0 0.1 0.0 0.1 -0.0 0.0 0.0 0.1 -0.1 -0.2 -0.1 -0.7 -0.7 -0.5 -0.4 CAC -0.1 -0.6 -0.6 0.1 -0.0 0.2 -0.0 0.2 0.0 -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 0.2 -0.6 -0.6 -0.6 0.2 0.2 0.1 0.3 CAD -0.4 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 -0.2 -0.5 -0.2 -0.7 -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 -0.1 -0.1 -0.2 -0.2 -0.1 -0.1 -0.4 -0.6 -0.3 -0.3 0.2 -0.2 -0.1 -0.2 CANOLA 0.2 -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 -2.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.2 0.0 -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 -0.1 0.1 -0.4 0.1 -0.5 0.1 0.1 -0.3 -0.3 -0.4 -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 -0.0 -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 0.0 0.1 0.2 0.2 0.5 0.2 0.6 0.3 COFFEE -0.0 0.0 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.4 -0.1 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 -1.6 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.3 -0.4 -0.2 -0.2 0.5 0.2 0.1 0.5 0.4 CORN 0.0 -0.6 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -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 0.1 -0.3 -0.4 -0.2 -0.4 -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 -0.0 -0.4 -0.1 -0.5 -0.1 -0.2 -0.2 -0.0 -0.1 -0.1 -0.2 -0.2 -0.1 -0.4 -0.1 -2.7 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.4 -0.3 -0.2 0.1 -0.6 -0.2 -0.3 0.3 -0.0 CRUDE_W -0.6 0.0 -0.2 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 0.2 -0.2 0.6 -0.1 0.0 0.3 0.3 0.3 0.3 -0.1 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 -0.2 -0.1 -0.2 0.7 0.7 0.7 0.7 DAX 0.0 -0.3 -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 0.3 -0.3 -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 0.4 0.6 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 0.2 0.1 0.1 0.1 -0.0 0.0 -0.0 0.3 -0.1 -2.7 -0.0 0.0 0.0 -0.0 0.2 -0.1 0.9 0.5 -0.6 0.2 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 -0.1 -0.4 0.1 0.1 -0.2 -0.1 -0.2 -0.1 0.0 -0.0 -0.1 -0.1 0.0 2.7 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.4 0.1 0.5 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 -0.0 -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 -0.3 -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 -0.0 0.1 -0.1 0.3 -0.1 0.3 -0.0 -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 -0.1 -0.1 -0.1 -0.2 0.1 -0.2 -0.2 -0.2 -0.0 0.1 -0.4 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -1.2 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 -1.1 -0.4 -0.3 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 0.0 -0.1 -0.1 0.0 -0.2 0.4 -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 -0.1 0.0 0.2 -0.1 -0.6 -0.5 -0.7 -0.7 GASOLINE -0.4 0.1 -0.3 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 0.2 -0.2 0.5 -0.0 -0.1 0.4 0.4 0.4 0.4 -0.1 0.0 -0.2 0.3 -0.1 -2.7 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 1.1 0.0 0.3 0.1 -0.2 0.7 0.7 0.7 0.7 GAS_US_mini -0.6 -0.6 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 -0.3 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 0.0 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 -0.1 0.2 -0.0 0.2 0.0 0.2 0.0 0.6 0.6 0.6 0.2 -0.7 0.1 -0.4 GOLD_micro 0.2 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.0 0.4 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 0.0 0.6 0.6 0.5 0.2 -0.2 0.5 0.0 HEATOIL -0.5 0.1 -0.4 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.1 -0.2 0.2 -0.1 -0.1 -0.1 0.2 -0.1 0.0 -0.1 -0.1 -0.2 0.0 -0.2 -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 0.2 0.0 -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 -0.2 -0.2 -0.2 -0.5 -0.1 -0.2 0.1 0.6 JPY 0.6 0.3 -0.0 -0.0 -0.0 -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 -0.5 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 0.0 -0.3 0.0 0.5 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.8 0.5 0.3 -0.1 -0.6 -0.2 -0.3 0.0 0.1 LIVECOW -0.1 0.6 0.5 -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 0.0 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 0.0 -0.3 0.1 -0.3 -0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.0 -0.2 0.0 NaN -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.2 0.4 0.4 0.3 -0.7 0.1 -0.2 0.3 -0.1 MILK 0.1 0.1 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.3 0.2 -0.0 0.0 0.1 -0.2 -0.4 -0.4 -0.4 0.2 0.2 0.1 0.1 0.1 2.5 0.0 0.1 0.1 0.1 0.0 0.0 -1.1 0.5 0.6 0.6 0.6 -0.2 -0.7 -0.1 -0.7 MXP 0.1 -0.3 -0.6 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 0.1 -0.1 -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 -0.4 -0.2 -0.6 -0.5 0.6 0.4 0.7 0.7 NASDAQ_micro -0.6 -0.3 0.1 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.2 -0.1 0.4 -0.1 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 -0.0 0.2 0.1 0.2 -0.1 0.2 NIKKEI -0.6 -0.2 -0.3 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.2 -0.1 0.4 -0.1 -0.0 0.3 0.2 0.2 0.2 0.0 0.1 -0.2 0.4 -0.1 -2.0 0.0 -0.1 0.1 -0.1 0.2 -0.0 1.1 -0.5 -0.6 -0.3 -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 -0.1 -0.1 -0.2 -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 -0.6 0.1 0.3 -0.2 0.2 0.0 OAT 0.5 0.1 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.1 0.1 -0.0 0.0 0.1 0.0 0.0 -0.0 -0.0 0.1 -0.1 0.1 0.3 0.0 0.1 -0.0 0.1 -0.1 0.0 0.6 0.0 0.1 -0.4 -0.3 -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 -0.1 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 0.4 -0.0 0.8 -0.3 0.1 0.1 0.6 0.4 0.3 0.7 0.7 PALLAD -0.4 0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 1.9 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.0 0.1 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 -0.0 -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 -0.0 0.0 -0.1 0.1 0.0 -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 0.0 -0.5 -0.6 0.2 -0.6 -0.7 -0.4 -0.6 RICE -0.2 -0.6 0.2 -0.1 -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 0.2 0.3 0.0 -1.4 0.0 0.1 0.1 0.1 0.1 0.0 1.1 0.5 0.5 0.6 0.6 -0.7 -0.3 -0.7 -0.3 ROBUSTA 0.1 0.1 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 -0.1 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 0.1 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 0.4 0.6 0.3 0.1 0.1 -0.7 -0.0 -0.7 SHATZ 0.5 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 0.1 -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 0.3 0.1 0.2 -0.1 -0.7 -0.5 -0.6 -0.4 SILVER-mini -0.5 -0.2 0.2 -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 -0.0 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 0.3 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 0.5 0.1 -0.1 0.4 0.2 0.1 -0.1 0.0 SOFR 0.4 0.5 0.3 0.0 0.1 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 -0.6 0.0 0.0 0.1 0.0 0.0 0.0 0.2 0.0 -0.0 0.1 0.2 0.3 -0.5 0.7 0.1 SOYBEAN -0.3 -0.6 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -2.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.0 -0.5 -0.4 -0.3 -0.3 -0.7 -0.1 -0.7 SOYMEAL -0.1 -0.6 0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -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 0.3 -0.3 -0.3 0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.4 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 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.3 -0.3 0.1 -0.2 -0.4 -0.4 0.0 -0.1 SP400 0.6 -0.0 -0.2 0.0 -0.0 0.1 -0.0 0.2 0.0 0.1 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 0.3 0.6 0.0 -0.1 0.2 -0.3 0.1 -0.7 SP500_micro -0.6 -0.2 0.2 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.4 -0.1 0.6 -0.0 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.2 -0.2 0.5 -0.1 -2.7 0.0 -0.1 0.2 -0.1 0.3 -0.0 -0.6 -0.5 -0.6 0.1 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 0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.1 0.2 -0.0 0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.3 -0.4 0.6 -0.4 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 -0.2 -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 0.1 0.0 0.1 -0.0 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.2 0.1 0.0 0.0 0.1 0.1 0.0 -0.0 0.0 0.0 -0.1 -0.2 -0.1 0.1 0.2 -0.5 0.7 0.4 US2 0.6 0.6 0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -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 2.4 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 0.1 -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 0.1 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 0.8 0.7 0.2 -0.1 0.1 -0.4 0.1 -0.7 0.0 0.1 -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 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.3 -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 -0.5 -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 -14.5 -0.1 7.0 -3.0 -11.4 -2.0 -10.7 0.1 -5.8 -20.0 -0.3 -20.0 -2.9 -14.4 6.2 -2.0 -2.7 -2.3 -2.5 -3.8 2.8 -20.0 -0.1 -20.0 3.7 -2.2 -12.5 1.0 -14.9 0.6 -9.2 -0.0 -20.0 -20.0 -1.3 12.0 8.3 -5.1 9.6 -0.9 BITCOIN 16.1 -18.8 -9.2 -6.1 -2.8 -3.2 -5.5 -0.9 -6.8 1.2 7.5 14.8 13.0 3.1 -2.3 -6.3 -7.2 -6.9 -7.2 1.4 6.4 12.5 16.9 8.9 -20.0 0.7 1.0 4.5 5.0 10.8 3.4 -3.2 20.0 20.0 20.0 8.0 -20.0 -7.7 -6.3 -1.2 BOBL 13.9 11.0 -1.8 2.4 4.4 0.8 3.4 -0.9 3.1 10.0 -6.6 10.5 -6.6 9.0 3.4 -20.0 -13.6 -20.0 -17.1 3.7 -2.0 12.1 -5.9 8.9 4.4 2.0 7.0 -0.2 5.9 -1.5 4.3 -19.9 10.9 0.7 1.2 -3.6 -20.0 -17.7 -11.5 -12.5 BTP 17.0 5.0 -2.4 3.9 7.1 1.3 5.6 -1.5 5.1 14.1 3.1 15.9 10.7 14.7 8.9 1.3 4.2 1.6 2.6 7.5 4.7 11.7 6.2 12.2 -20.0 3.9 5.9 2.8 6.0 3.7 6.1 11.6 -1.2 8.8 -7.6 -1.5 -19.2 -15.7 -5.9 3.0 BUND 12.2 8.3 -0.8 2.6 4.7 0.9 3.7 -1.0 3.4 10.8 -6.2 11.3 -3.3 8.8 4.2 6.0 0.7 2.6 0.4 3.6 -0.8 10.9 -4.0 8.0 1.0 2.3 7.5 0.6 6.2 -0.5 4.4 6.2 8.5 -0.2 -1.2 -2.2 -20.0 -20.0 -10.7 -13.2 BUXL 8.7 3.3 -1.7 3.0 5.4 1.0 4.3 -1.1 3.9 11.3 -8.0 11.5 -3.0 3.2 -1.1 -0.5 -2.6 -2.2 -3.0 0.7 -2.4 8.7 -5.3 5.0 -3.3 1.3 8.8 0.2 6.3 -0.6 3.7 0.9 5.2 -3.9 -6.2 -4.1 -20.0 -20.0 -16.1 -12.1 CAC -1.8 -20.0 -20.0 4.8 -1.6 6.1 -1.2 6.4 2.2 -9.6 -3.7 -12.6 7.8 -15.9 -15.4 -8.6 -1.5 -5.6 -2.6 -15.0 -7.0 -12.9 4.3 -14.8 -8.9 -5.0 -3.2 -1.7 -4.1 2.5 -4.9 7.8 6.9 -20.0 -20.0 -20.0 5.4 5.7 2.3 8.1 CAD -11.4 -1.6 -4.3 -3.3 -12.5 -2.2 -11.7 0.1 -6.4 -20.0 -20.0 -20.0 -18.2 -20.0 -16.9 -4.9 -3.2 -4.3 -3.7 -13.9 -11.6 -20.0 -12.3 -20.0 -1.2 -7.0 -13.2 -5.1 -15.8 -4.8 -11.8 -1.4 -18.0 -20.0 -8.2 -8.1 7.2 -6.5 -2.5 -4.8 CANOLA 6.9 -1.6 14.5 -2.1 -2.1 -1.5 -1.8 -0.9 -1.9 -5.5 -2.9 -1.3 -6.2 -0.0 -1.2 -10.2 -10.2 -13.0 -13.2 -0.8 -2.4 -3.4 -4.7 0.2 -16.8 -1.5 -4.4 -1.9 -1.1 -2.7 -0.6 -20.0 8.3 1.0 -3.3 -2.5 -2.0 -12.5 6.3 -4.3 CHF 10.3 11.5 2.7 -2.6 -9.9 -1.8 -9.2 0.1 -5.0 7.2 -13.6 13.2 -13.5 9.7 7.2 -17.5 -16.8 -17.5 -17.1 4.4 -5.3 11.0 -9.9 10.3 5.8 3.4 3.8 -1.3 6.5 -3.5 6.4 -20.0 20.0 20.0 20.0 6.7 9.7 -11.6 -1.8 -12.0 COCOA -0.4 -16.2 0.5 -1.8 -1.8 -1.2 -1.5 -0.8 -1.6 -1.6 2.2 -1.0 3.6 -3.6 -2.8 20.0 16.7 20.0 20.0 -0.5 3.9 -1.2 7.7 -1.6 -18.5 0.7 -0.0 4.8 -0.4 9.1 -0.4 20.0 1.6 3.5 6.0 7.3 15.3 5.3 19.5 9.5 COFFEE -1.0 1.4 7.9 -4.5 -4.5 -3.1 -3.8 -1.9 -4.1 -15.2 13.5 -4.7 13.3 1.2 11.3 2.6 6.6 4.1 5.9 12.4 17.8 -8.8 16.7 2.1 -20.0 3.7 -5.7 7.9 -4.8 9.3 -0.8 7.4 -16.7 10.1 20.0 20.0 -1.0 -10.6 7.0 -3.6 COPPER -20.0 -18.8 0.4 -3.0 -1.4 -1.6 -2.7 -0.4 -3.4 -9.0 0.4 -10.1 2.5 -10.1 -6.7 -1.8 -2.5 -0.6 -1.4 -9.0 1.4 -18.0 6.3 -16.9 -11.9 -2.5 -2.4 0.2 -3.9 1.6 -4.1 5.8 -15.8 -7.7 -5.1 14.0 6.9 1.9 16.3 11.3 CORN 0.3 -20.0 1.5 -2.9 -2.9 -2.0 -2.4 -1.2 -2.6 -6.6 -9.5 -4.3 -10.8 -9.3 -9.8 -16.3 -13.3 -17.0 -16.6 -13.9 -12.5 -4.9 -11.2 -10.0 -8.2 -3.5 -1.8 -3.0 -1.3 -2.6 -2.6 -20.0 2.3 -10.0 -12.2 -7.6 -13.0 -12.1 -11.3 -1.7 COTTON2 -1.8 -5.5 -20.0 -4.0 -4.0 -2.8 -3.4 -1.7 -3.6 -4.8 -15.5 -9.6 -12.7 -13.2 -15.6 -11.6 -0.9 -7.2 -3.4 -17.9 -20.0 -9.9 -15.4 -13.1 -20.0 -5.1 -0.9 -4.7 -3.5 -2.0 -4.0 -7.1 -10.6 -7.2 3.4 -20.0 -6.9 -8.8 8.3 -1.4 CRUDE_W -19.9 1.1 -7.1 -4.7 -10.6 -1.4 -11.0 1.5 -8.5 -20.0 8.5 -20.0 15.5 -5.4 0.8 14.7 12.8 14.4 13.7 -6.5 3.0 -20.0 9.7 -20.0 -3.7 -5.9 -13.5 -2.6 -13.0 1.5 -9.4 9.4 -20.0 -6.7 -3.2 -7.5 20.0 20.0 20.0 20.0 DAX 0.2 -10.7 -6.2 4.9 -1.6 6.2 -1.2 6.6 2.2 2.3 10.6 -6.0 15.0 -3.7 -4.5 -8.8 -11.0 -9.8 -10.6 -0.2 6.9 -2.3 14.5 -2.1 11.2 0.3 -0.1 6.2 -1.4 11.7 -1.4 -8.0 13.6 -8.9 -20.0 -12.3 7.4 3.9 -6.5 5.9 DOW 13.1 7.1 -3.4 4.1 -1.4 5.2 -1.0 5.5 1.9 -0.9 10.0 3.0 12.8 6.6 7.2 -10.8 -11.3 -11.3 -11.5 10.8 9.6 8.4 11.5 11.4 -11.3 4.4 3.0 4.1 3.4 5.0 4.6 -8.9 17.9 17.9 2.7 -3.2 13.9 -1.2 8.2 -3.5 DX -14.2 -4.0 -1.0 -3.0 -11.6 -2.1 -10.8 0.1 -5.9 20.0 14.9 -5.6 16.8 -10.1 -6.0 7.6 7.1 7.5 7.3 -4.4 4.5 -1.9 10.0 -8.5 -20.0 -2.8 4.4 1.8 -1.0 4.8 -4.8 16.8 20.0 -20.0 6.9 15.8 -9.2 5.8 -9.8 8.9 EUR 7.8 2.4 1.9 -3.1 -11.9 -2.1 -11.1 0.1 -6.0 -20.0 -10.1 -7.4 -11.3 6.1 7.2 -7.7 -7.2 -7.6 -7.3 3.0 -1.4 -7.8 -4.7 1.8 20.0 2.5 -11.0 0.9 -5.4 -0.4 1.1 -8.0 4.2 15.6 5.2 7.3 2.6 -17.9 -0.2 -16.5 EURIBOR-ICE 20.0 14.3 -3.9 2.0 3.7 0.7 2.9 -0.7 2.6 8.4 -3.6 9.0 0.3 8.8 4.5 -2.5 -4.6 -4.1 -4.3 5.8 1.0 11.7 -0.6 10.5 12.1 2.1 4.8 0.5 4.4 0.1 3.8 -1.7 8.8 7.1 3.3 -3.4 -20.0 -20.0 -9.7 1.5 EUROSTX -8.5 -14.5 -12.3 4.5 -1.5 5.7 -1.1 6.0 2.0 -9.1 10.1 -13.2 14.1 -12.0 -9.6 -4.6 -2.7 -5.3 -4.2 -5.5 3.7 -11.6 12.7 -10.4 -2.0 -2.6 -4.3 3.9 -6.3 9.7 -5.7 5.1 -0.7 -20.0 -20.0 -14.3 -2.2 1.2 -14.8 0.8 FEEDCOW -12.1 -3.0 -1.9 -6.2 -6.2 -4.3 -5.2 -2.6 -5.6 -19.1 2.8 -19.3 -4.2 -17.3 -0.8 4.2 -20.0 -7.4 -17.0 -8.0 -5.1 -13.3 -2.0 -11.9 -8.8 -4.4 -8.1 -3.0 -6.7 0.7 -5.6 -20.0 -16.7 -8.8 14.7 6.0 0.9 20.0 8.2 20.0 GASOIL -16.1 3.0 -12.4 -4.3 -9.6 -1.3 -10.0 1.3 -7.7 -15.5 1.0 -18.8 12.4 -4.3 -6.3 -2.4 10.6 -0.6 4.1 -7.2 -2.0 -20.0 5.9 -14.5 5.3 -3.9 -13.2 -1.5 -10.6 1.9 -7.4 0.1 -4.2 1.0 5.9 -4.1 -18.6 -14.8 -20.0 -20.0 GASOLINE -11.8 1.9 -8.3 -4.5 -10.1 -1.3 -10.4 1.4 -8.1 -20.0 7.1 -20.0 14.1 -0.6 -5.4 20.0 20.0 20.0 20.0 -4.9 1.8 -20.0 10.1 -12.5 -20.0 -4.9 -12.1 -1.9 -10.5 3.3 -7.3 20.0 1.5 8.2 4.0 -5.1 20.0 20.0 20.0 20.0 GAS_US_mini -19.7 -17.1 19.3 -2.4 -5.3 -0.7 -5.5 0.7 -4.2 -7.0 -10.7 -11.0 -11.4 -12.2 -10.7 -17.4 -20.0 -20.0 -20.0 -12.1 -9.4 -10.1 -14.9 -14.4 20.0 -3.0 -1.4 -2.4 -3.3 -3.6 -4.1 -20.0 8.2 3.3 -8.3 8.4 -3.5 -9.3 -9.9 -17.1 GBP 8.5 6.5 7.6 -3.2 -12.4 -2.2 -11.6 0.1 -6.3 -20.0 17.3 1.0 8.6 10.4 18.5 -0.6 -0.8 -0.8 -0.8 15.2 12.5 -4.3 9.0 9.8 -0.2 7.0 -6.5 6.3 -1.9 4.8 4.4 3.1 1.7 20.0 20.0 20.0 4.8 -20.0 3.2 -13.0 GOLD_micro 5.2 -1.1 2.1 -3.5 -1.6 -1.8 -3.2 -0.5 -3.9 -4.3 8.9 -3.3 9.8 1.0 3.2 -11.6 -13.4 -11.8 -12.5 5.8 9.8 -1.9 11.8 2.2 -4.2 0.4 -0.3 3.8 -1.6 6.6 -0.9 -13.0 1.7 20.0 19.3 14.9 6.9 -5.3 15.9 1.2 HEATOIL -16.6 3.8 -11.1 -4.4 -10.0 -1.3 -10.3 1.4 -8.0 -20.0 -5.1 -20.0 6.0 -5.4 -7.2 -5.4 8.7 -4.8 0.6 -9.0 -5.1 -20.0 1.2 -16.8 -20.0 -5.9 -12.7 -4.4 -10.3 -0.3 -7.5 -4.6 -5.3 -4.1 3.1 -15.4 0.5 6.8 -9.8 2.5 JGB-SGX-mini 5.3 0.5 -12.6 2.2 4.0 0.7 3.2 -0.8 2.9 2.2 -6.5 2.4 -2.5 -2.6 -5.3 20.0 19.3 20.0 20.0 -3.9 -5.6 0.8 -3.8 -1.3 -9.7 -2.1 1.6 -3.4 0.5 -3.2 -0.6 20.0 -7.8 -7.1 -7.4 -14.6 -2.8 -4.6 1.5 17.3 JPY 20.0 9.7 -0.4 -1.4 -5.4 -1.0 -5.1 0.0 -2.8 9.9 -9.7 10.8 -11.3 6.7 -3.3 -14.3 -16.1 -15.1 -15.5 -1.0 -10.0 14.7 -15.8 9.6 20.0 -0.2 4.2 -3.3 5.3 -5.0 3.6 -20.0 20.0 20.0 4.2 -11.4 -20.0 -14.5 -20.0 -13.5 LEANHOG 20.0 -7.9 -20.0 -3.7 -3.7 -2.5 -3.1 -1.6 -3.3 -3.1 -8.9 8.3 -7.1 0.1 -9.3 20.0 0.8 20.0 20.0 -11.5 -13.6 4.6 -10.0 0.0 4.1 -3.0 -2.0 -3.4 1.2 -2.2 0.1 15.6 20.0 7.9 -3.4 -20.0 -4.7 -8.3 0.0 3.1 LIVECOW -3.2 17.4 14.5 -6.3 -6.3 -4.4 -5.3 -2.7 -5.7 12.7 20.0 14.0 9.7 19.4 20.0 0.1 9.1 9.6 12.1 20.0 20.0 18.9 13.8 20.0 -12.7 8.0 4.4 7.4 6.6 6.5 7.0 15.1 20.0 19.5 20.0 20.0 0.4 20.0 5.1 20.0 LUMBER-new 16.0 -2.2 -15.8 -2.6 -2.6 -1.8 -2.2 -1.0 -2.3 1.2 -8.2 5.3 -8.2 -1.7 -7.3 -15.5 -17.2 -16.5 -17.2 -6.5 -9.6 3.2 -7.9 0.0 NaN -2.1 0.1 -4.0 1.4 -3.4 0.7 -20.0 15.5 9.6 6.7 -20.0 1.7 -5.3 7.2 -2.3 MILK 2.2 2.9 20.0 -4.4 -4.4 -3.1 -3.7 -1.9 -4.0 15.3 11.5 15.9 -1.4 3.0 12.8 -12.5 -20.0 -18.7 -20.0 14.6 14.9 13.8 2.3 11.3 18.6 4.6 5.7 4.9 4.7 0.3 3.3 -20.0 20.0 18.5 20.0 20.0 -6.0 -20.0 -1.8 -20.0 MXP 3.2 -9.9 -20.0 -1.5 -5.7 -1.0 -5.3 0.0 -2.9 -10.7 -4.1 -10.0 3.0 -5.0 -5.9 10.5 15.1 11.7 13.3 -8.3 -6.0 -15.2 1.2 -9.4 -20.0 -2.9 -5.1 -2.0 -4.2 0.4 -3.0 20.0 -18.2 -5.6 -18.2 -16.1 16.9 13.1 20.0 20.0 NASDAQ_micro -20.0 -9.2 1.9 3.2 -1.1 4.0 -0.8 4.3 1.4 -10.1 8.8 -10.5 11.4 -5.1 5.4 -10.0 -10.8 -11.0 -11.1 3.0 10.6 -20.0 13.7 -10.2 -20.0 1.1 -4.9 3.4 -5.3 4.6 -2.7 -8.0 -20.0 -20.0 -0.2 5.4 2.9 6.1 -4.3 5.5 NIKKEI -20.0 -7.0 -9.0 3.8 -1.3 4.8 -1.0 5.1 1.7 -10.0 9.2 -11.8 11.9 -6.8 -0.0 13.7 10.5 12.1 10.5 0.7 8.5 -20.0 14.6 -11.8 -14.8 0.8 -6.1 3.3 -7.1 5.5 -3.1 20.0 -20.0 -20.0 -9.1 -9.1 6.7 -4.0 -2.3 -8.2 NZD -20.0 -10.5 3.2 -2.4 -9.3 -1.7 -8.7 0.1 -4.7 -14.7 -6.0 -18.1 -3.2 -18.1 -5.9 -0.3 0.1 -0.1 0.0 -12.9 -4.3 -20.0 -2.6 -20.0 0.4 -4.6 -6.6 -1.5 -10.3 -0.5 -8.8 4.6 -19.9 -20.0 -17.1 3.2 8.5 -5.2 7.4 0.2 OAT 15.5 1.9 -7.9 2.7 5.0 0.9 4.0 -1.0 3.6 10.0 -8.1 10.7 -3.6 6.8 -2.1 0.0 3.9 0.6 2.1 -0.4 -4.5 7.7 -5.4 5.2 2.0 0.1 6.0 -1.5 4.7 -1.5 3.1 11.1 1.4 1.8 -11.8 -8.0 -20.0 -19.8 -9.7 -3.2 OATIES 11.5 -20.0 -1.2 -2.3 -2.3 -1.6 -1.9 -1.0 -2.0 -4.7 -6.8 -0.9 -7.6 -6.3 -7.2 3.5 1.0 1.7 2.2 -8.0 -8.1 -2.5 -6.7 -4.3 -20.0 -2.2 -1.3 -1.8 -0.9 -1.3 -1.4 -1.0 6.2 -1.8 -12.4 0.4 4.1 -1.1 14.4 9.5 OJ -6.5 -3.2 -2.5 -3.8 -3.8 -2.6 -3.1 -1.6 -3.4 -5.8 10.1 -8.0 12.2 -2.3 7.0 8.2 12.1 9.1 9.6 8.4 15.4 -5.3 19.9 -0.3 -20.0 2.3 -1.9 5.8 -2.1 9.8 -0.9 14.9 -14.0 2.0 3.7 20.0 11.8 10.4 20.0 20.0 PALLAD -13.3 3.2 1.7 -2.7 -1.2 -1.4 -2.4 -0.4 -3.0 -8.5 -7.0 -9.1 -8.6 -7.5 -7.0 -1.6 -2.1 -1.8 -1.9 -4.8 -5.0 -9.1 -9.3 -7.2 14.5 -2.7 -3.4 -2.5 -3.7 -3.2 -3.2 6.0 -0.4 3.5 11.9 -0.8 -20.0 -20.0 -20.0 -20.0 PLAT -13.4 -8.2 6.5 -4.0 -1.9 -2.1 -3.6 -0.6 -4.4 -4.6 -1.2 -10.4 -4.1 -10.8 -5.9 -5.3 -4.4 -5.2 -4.9 -4.9 0.4 -9.2 1.1 -10.1 7.6 -3.6 0.3 -1.2 -3.5 0.2 -4.8 1.4 0.7 -0.1 4.5 10.0 -17.4 -10.0 -6.3 2.3 REDWHEAT -8.2 -20.0 6.1 -3.5 -3.5 -2.4 -2.9 -1.5 -3.2 -8.9 -9.0 -10.0 -11.0 -12.8 -12.1 -10.4 -4.7 -9.8 -7.4 -16.3 -11.1 -10.5 -10.6 -15.4 -5.2 -3.7 -2.2 -2.3 -2.5 -2.0 -3.6 -13.8 1.6 -15.4 -20.0 5.4 -17.2 -20.0 -11.5 -17.7 RICE -5.6 -17.2 4.8 -4.7 -4.6 -3.2 -3.9 -2.0 -4.2 16.1 10.1 12.1 13.1 -1.8 8.8 4.6 20.0 20.0 20.0 -2.4 3.5 18.9 9.7 2.6 -10.8 1.6 13.1 2.1 10.2 2.8 4.1 20.0 20.0 16.2 17.7 20.0 -20.0 -9.9 -20.0 -8.4 ROBUSTA 2.0 2.0 1.5 -2.8 -2.8 -1.9 -2.3 -1.2 -2.5 -9.5 9.7 0.3 10.0 3.5 8.3 20.0 20.0 20.0 20.0 13.0 18.1 -5.6 20.0 4.9 -20.0 3.4 -2.6 5.6 -1.2 7.2 1.3 20.0 -14.8 19.0 20.0 20.0 3.2 -5.8 10.2 3.1 RUSSELL 20.0 9.8 2.3 3.3 -1.1 4.1 -0.8 4.4 1.5 3.9 8.6 9.2 9.2 8.9 7.6 -6.5 -6.8 -7.0 -6.9 12.1 7.7 12.2 5.5 15.7 -1.0 3.7 1.1 2.6 3.0 1.9 4.3 -1.0 17.0 20.0 10.5 2.8 3.3 -20.0 -0.2 -20.0 SHATZ 15.5 17.1 5.0 2.0 3.6 0.6 2.9 -0.7 2.6 8.2 -5.8 8.7 -7.1 7.8 4.8 -20.0 -20.0 -20.0 -20.0 4.4 -2.4 11.9 -8.4 9.1 7.1 1.8 5.0 -0.5 4.5 -2.2 3.5 -20.0 11.2 1.6 5.5 -3.2 -20.0 -14.9 -17.3 -11.3 SILVER-mini -15.1 -7.0 7.5 -3.1 -1.4 -1.6 -2.8 -0.5 -3.5 -6.9 5.7 -9.2 6.1 -8.3 0.0 -5.6 -6.4 -5.9 -6.1 -0.9 6.0 -13.4 7.6 -9.2 2.3 -2.0 -2.8 0.9 -4.6 2.4 -4.1 -1.4 -13.5 3.5 3.1 12.6 0.6 -6.7 7.2 5.5 SMI -1.6 -2.6 15.3 5.2 -1.8 6.6 -1.3 7.0 2.4 4.2 18.1 3.6 17.8 6.7 16.5 -3.4 0.7 -3.2 -1.4 15.3 20.0 3.2 19.7 8.0 15.0 6.7 2.0 9.6 1.6 9.6 3.6 10.6 20.0 1.9 -4.6 13.0 4.7 2.0 -3.2 0.0 SOFR 11.8 16.1 10.4 3.2 5.8 1.0 4.6 -1.2 4.2 12.2 1.0 12.9 -2.4 13.3 12.5 -0.9 -1.3 -1.8 -1.7 11.6 5.5 10.6 -1.6 12.1 -4.2 4.4 5.1 3.1 3.8 1.0 3.9 3.2 0.2 -0.9 3.9 5.5 9.6 -14.1 20.0 3.8 SOYBEAN -8.0 -17.1 -1.7 -2.6 -2.6 -1.8 -2.2 -1.1 -2.4 -7.7 -9.1 -7.7 -6.9 -8.7 -9.1 -3.7 5.2 -2.1 0.3 -12.2 -10.0 -9.4 -7.3 -11.1 -19.1 -3.3 -3.1 -2.5 -2.2 -1.7 -2.9 1.0 -1.0 -16.9 -13.8 -8.3 -10.0 -20.0 -4.5 -20.0 SOYMEAL -3.2 -19.4 3.2 -2.8 -2.8 -2.0 -2.4 -1.2 -2.6 1.4 -9.4 0.3 -8.9 -6.5 -8.7 1.6 6.6 5.0 4.6 -10.5 -9.6 0.2 -7.9 -6.5 -20.0 -2.6 -0.1 -1.9 0.3 -1.2 -1.7 5.5 14.5 -8.3 -8.0 4.8 -20.0 -20.0 -20.0 -20.0 SOYOIL -12.7 8.3 5.0 -2.2 -2.2 -1.6 -1.9 -1.0 -2.0 -7.5 -6.1 -7.7 -7.7 -5.8 -5.1 5.4 0.9 2.5 0.2 -3.4 -4.1 -10.0 -5.8 -6.0 -19.2 -2.0 -5.1 -2.1 -4.5 -2.2 -2.9 -3.5 -12.7 -8.3 3.7 -6.9 -11.1 -12.9 0.3 -2.1 SP400 19.7 -0.6 -5.1 3.7 -1.2 4.7 -0.9 4.9 1.6 6.0 8.9 6.4 10.6 5.5 4.5 -4.4 -5.7 -5.4 -5.7 7.2 6.7 9.1 8.3 9.8 -10.6 4.0 2.2 3.6 3.3 3.8 4.4 1.0 13.4 20.0 0.6 -3.4 4.8 -9.7 2.1 -20.0 SP500_micro -20.0 -5.3 5.5 4.8 -1.6 6.0 -1.2 6.4 2.1 -12.3 16.2 -12.5 17.9 -0.7 12.0 -13.3 -12.8 -13.9 -13.5 10.9 20.0 -18.2 20.0 -4.8 -20.0 3.8 -6.2 7.0 -6.1 8.6 -1.6 -11.8 -20.0 -20.0 4.0 8.1 11.8 2.8 1.4 2.8 SUGAR11 -14.3 13.2 -6.8 -3.9 -3.8 -2.7 -3.2 -1.6 -3.5 5.6 -11.3 -5.5 -9.6 -5.2 -8.1 -4.4 8.3 -1.9 2.5 -6.4 -9.3 -3.4 -8.5 -7.2 -20.0 -2.4 4.4 -4.2 -1.0 -3.9 -2.4 6.2 -10.4 -12.2 20.0 -13.2 0.4 20.0 5.1 20.0 US10 9.3 13.0 9.5 2.6 4.9 0.9 3.8 -1.0 3.5 9.6 -1.1 9.9 -5.5 10.3 9.5 -7.6 -7.4 -7.2 -7.2 6.9 2.2 7.6 -4.8 7.7 2.9 3.3 5.1 2.2 3.3 -0.0 3.0 -6.8 -0.4 -3.3 0.3 3.1 5.9 -19.7 15.3 2.9 US10U 6.7 10.5 9.9 3.4 6.3 1.1 5.0 -1.3 4.5 11.8 -2.7 12.0 -6.9 12.2 11.5 -4.2 -2.9 -4.6 -4.0 6.6 1.5 7.6 -6.6 7.2 0.2 3.7 6.2 2.7 3.5 -0.1 3.0 0.0 -2.1 -7.6 -2.3 3.1 6.4 -15.9 20.0 12.1 US2 18.8 19.0 5.0 2.8 5.1 0.9 4.0 -1.0 3.7 8.7 -6.0 10.1 -10.5 10.9 7.9 -20.0 -20.0 -20.0 -20.0 8.8 -1.3 9.5 -12.7 12.0 17.7 3.1 4.0 0.4 3.6 -2.5 3.9 -20.0 -3.5 1.9 2.9 -2.3 3.6 -20.0 7.4 -11.0 US20 3.2 7.1 10.1 2.2 4.1 0.7 3.3 -0.8 3.0 6.6 -0.8 6.3 -2.2 6.2 7.0 -0.8 -0.8 -0.8 -0.7 3.0 1.2 3.5 -3.0 2.8 -1.5 2.3 3.7 2.4 1.6 0.8 1.3 4.6 -2.9 -7.0 -2.4 3.6 4.9 -10.0 20.0 19.4 US30 0.9 5.3 9.8 2.5 4.5 0.8 3.6 -0.9 3.3 5.4 -2.5 4.4 -3.7 3.1 5.2 -3.6 -5.0 -4.3 -4.7 1.6 0.1 2.2 -4.2 1.2 -0.8 2.0 3.8 2.2 1.1 0.4 0.7 -2.7 -4.9 -10.1 -4.5 2.1 1.8 -9.3 12.6 20.0 US5 13.1 15.9 8.9 2.9 5.4 1.0 4.2 -1.1 3.9 10.4 -2.7 11.4 -8.6 11.8 10.2 -12.0 -10.5 -11.1 -10.6 9.2 2.1 9.6 -6.8 10.7 7.7 3.8 5.3 2.0 3.9 -0.6 3.8 -12.3 -0.6 -0.7 2.3 2.1 6.1 -19.6 12.8 -4.0 VIX 15.4 14.4 3.0 -4.1 5.2 -8.8 6.5 -12.1 2.3 4.7 -20.0 7.6 -20.0 2.8 -18.6 -20.0 -20.0 -20.0 -20.0 -5.6 -16.4 10.0 -20.0 4.7 NaN -4.9 5.7 -10.4 7.0 -14.7 2.4 NaN NaN NaN NaN NaN -15.4 -20.0 NaN NaN WHEAT -11.9 -20.0 7.0 -2.5 -2.5 -1.7 -2.1 -1.1 -2.3 -7.4 -6.1 -8.2 -7.2 -9.3 -8.8 -15.6 -14.5 -15.9 -15.5 -12.7 -8.0 -8.9 -6.7 -12.5 1.0 -2.6 -1.7 -1.5 -2.0 -1.0 -2.7 -20.0 -0.4 -14.3 -20.0 3.1 -15.5 -20.0 -13.1 -20.0 End of report for caleb_strategy_v3