******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240731_203928 produced at 2024-07-31 21:37:43.235792 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.21 -0.18 0.0 999.00 -999.00 -0.21 -0.20 -31.16 999999999.0 -36 -35 caleb_strategy_v3 CAD False False 0.02 -0.09 -0.16 0.0 0.68 -0.68 -0.09 -0.09 -6.70 29.0 -4 -4 caleb_strategy_v3 MXP False False 0.01 -0.10 -0.09 0.0 0.52 -0.52 -0.10 -0.10 -10.01 60.0 -11 -11 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.08 0.0 0.00 0.00 0.00 0.00 -2.17 24.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.06 0.0 0.33 -0.33 0.00 0.00 -1.42 8.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.05 0.0 0.10 -0.10 -0.03 -0.03 -1.51 3.0 -1 -1 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.05 0.0 999.00 -999.00 -0.03 -0.03 -1.55 999999999.0 -1 -1 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.05 0.0 0.40 -0.40 -0.02 -0.02 -2.36 21.0 -1 -1 caleb_strategy_v3 NIKKEI False False 0.01 -0.03 -0.05 0.0 0.30 -0.30 -0.03 -0.03 -6.06 36.0 -4 -4 caleb_strategy_v3 CAC True False 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.65 12.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.03 -0.04 0.0 0.08 -0.08 -0.03 -0.03 -6.21 12.0 -5 -4 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.12 -0.12 -0.06 -0.06 -3.49 11.0 -5 -5 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.04 0.0 0.78 -0.78 0.00 0.00 -0.94 19.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.04 -0.03 0.0 0.29 -0.29 -0.04 -0.04 -2.05 23.0 -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 -19.40 26.0 -16 -16 caleb_strategy_v3 AUD False False 0.02 0.00 -0.03 0.0 0.40 -0.40 0.00 0.00 -1.53 19.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -1.00 4.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.07 -0.07 -0.02 -0.02 -2.04 8.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.02 0.0 0.12 -0.12 -0.05 -0.07 -1.04 7.0 -3 -4 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.03 -0.02 0.0 0.48 -0.48 -0.03 -0.03 -0.59 16.0 -1 -1 caleb_strategy_v3 SP500_micro False False 0.01 -0.11 -0.02 0.0 0.43 -0.43 -0.11 -0.08 -2.59 48.0 -12 -9 caleb_strategy_v3 OAT False False 0.04 0.00 -0.02 0.0 0.44 -0.44 0.00 0.00 -0.47 10.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.04 -1.93 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 -0.69 999999999.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 -0.05 -0.02 0.0 0.34 -0.34 -0.05 -0.05 -1.38 20.0 -3 -3 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.15 -0.15 -0.01 -0.01 -7.96 51.0 -3 -3 caleb_strategy_v3 BUXL False False 0.05 -0.05 -0.01 0.0 0.19 -0.19 -0.05 -0.05 -0.17 4.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -1.66 18.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -4.44 59.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -1.01 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 -1.27 9.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.03 -0.01 0.0 0.16 -0.16 -0.03 -0.02 -0.41 10.0 -2 -1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -2.39 2.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.01 0.0 0.06 -0.06 -0.03 -0.03 -0.23 2.0 -1 -1 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.01 0.0 0.46 -0.46 -0.03 -0.03 -0.28 17.0 -1 -1 caleb_strategy_v3 LUMBER-new False False 0.00 -0.01 -0.01 0.0 0.01 -0.01 -0.01 -0.01 -2.04 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 -0.01 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 0.01 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 0.06 6.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.00 -0.00 0.0 0.42 -0.42 0.00 0.00 -0.03 10.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.59 -0.59 0.00 0.00 0.20 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 0.06 6.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.01 0.01 0.0 0.13 -0.13 -0.01 -0.01 0.86 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 CHF False False 0.05 0.00 0.01 0.0 0.60 -0.60 0.00 0.00 0.14 13.0 0 0 caleb_strategy_v3 EUR False False 0.04 0.00 0.01 0.0 0.61 -0.61 0.00 0.00 0.13 14.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.31 -0.31 0.01 0.01 0.63 23.0 1 1 caleb_strategy_v3 US20 False True 0.04 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.35 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 0.73 999999999.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.10 0.02 0.0 0.20 -0.20 0.10 0.10 0.15 2.0 1 1 caleb_strategy_v3 US10U False False 0.04 0.15 0.02 0.0 0.49 -0.49 0.15 0.15 0.49 13.0 4 4 caleb_strategy_v3 GOLD_micro False False 0.01 0.02 0.02 0.0 0.44 -0.44 0.02 0.02 2.89 56.0 2 2 caleb_strategy_v3 US10 False False 0.04 0.00 0.02 0.0 0.62 -0.62 0.00 0.00 0.52 17.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 0.02 0.0 0.07 -0.07 0.00 0.00 1.20 5.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.02 0.0 0.04 -0.04 0.00 0.00 1.90 4.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.02 0.0 0.44 -0.44 0.00 0.00 2.66 66.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.02 0.0 0.38 -0.38 0.00 0.01 3.34 58.0 0 2 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.26 -0.26 0.00 0.00 6.51 68.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.47 13.0 0 0 caleb_strategy_v3 US5 False False 0.03 0.03 0.03 0.0 0.87 -0.87 0.03 0.03 0.80 25.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.04 0.0 0.12 -0.12 0.05 0.05 1.63 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 2.52 22.0 1 1 caleb_strategy_v3 LIVECOW False False 0.02 0.10 0.12 0.0 0.41 -0.41 0.10 0.10 4.79 17.0 4 4 caleb_strategy_v3 SMI False True 0.05 0.00 0.12 0.0 0.00 0.00 0.00 0.00 2.66 9.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.47 0.0 0.86 -0.86 0.00 0.00 5.44 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.00 0.0 0.00 0.00 0.00 0.00 12.83 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.8 Shocked risk 22.0 Sum abs risk 36.1 Leverage 3.45 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3090255.1, 'annual_cash_vol_target': 772563.775, 'daily_cash_vol_target': 48285.2359375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0034 0.6554 0.5146 8.2338 BITCOIN 1653.8648 67020.0000 2.4677 39.4835 BOBL 0.2279 117.5500 0.1939 3.1016 BTP 0.5067 119.0600 0.4256 6.8093 BUND 0.4699 133.8000 0.3512 5.6192 BUXL 1.1825 134.7800 0.8773 14.0373 CAC 66.6214 7565.5000 0.8806 14.0895 CAD 0.0023 0.7258 0.3191 5.1059 CANOLA 9.9402 630.6000 1.5763 25.2210 CHF 0.0048 1.1427 0.4234 6.7743 COCOA 258.4507 6994.0000 3.6953 59.1251 COFFEE 4.1349 227.7500 1.8155 29.0484 COPPER 0.0590 4.1985 1.4044 22.4710 CORN 6.1729 400.0000 1.5432 24.6915 COTTON2 0.9970 68.8900 1.4472 23.1559 CRUDE_W 1.0615 75.5400 1.4053 22.4841 DAX 139.7459 18677.0000 0.7482 11.9716 DOW 289.0983 41405.0000 0.6982 11.1715 DX 0.3284 103.8750 0.3161 5.0578 EUR 0.0039 1.0848 0.3584 5.7343 EURIBOR-ICE 0.0431 97.7500 0.0441 0.7061 EUROSTX 45.4229 4921.0000 0.9230 14.7687 FEEDCOW 1.5989 255.1500 0.6267 10.0266 GASOIL 11.8292 750.2500 1.5767 25.2273 GASOLINE 0.0342 2.1902 1.5615 24.9841 GAS_US_mini 0.0873 2.1650 4.0306 64.4891 GBP 0.0053 1.2860 0.4113 6.5800 GOLD_micro 20.7559 2455.2000 0.8454 13.5262 HEATOIL 0.0361 2.4598 1.4679 23.4871 JGB-SGX-mini 0.2401 142.8300 0.1681 2.6897 JPY 0.0000 0.0067 0.6768 10.8283 LEANHOG 1.3148 75.8250 1.7340 27.7438 LIVECOW 1.1821 186.7500 0.6330 10.1279 LUMBER-new 9.2859 525.5000 1.7671 28.2729 MILK 0.2366 21.1200 1.1201 17.9222 MXP 0.0005 0.0535 0.8935 14.2959 NASDAQ_micro 237.7834 19553.7500 1.2161 19.4568 NIKKEI 429.0993 38915.0000 1.1027 17.6425 NZD 0.0036 0.5954 0.6032 9.6514 OAT 0.4578 125.8800 0.3637 5.8191 OATIES 6.5765 319.0000 2.0616 32.9858 OJ 7.6149 415.8000 1.8314 29.3023 PALLAD 23.0449 923.0000 2.4967 39.9478 PLAT 14.7528 986.2000 1.4959 23.9347 REDWHEAT 10.2941 565.0000 1.8220 29.1513 RICE 0.1560 15.4650 1.0088 16.1410 ROBUSTA 69.3564 4100.0000 1.6916 27.0659 RUSSELL 27.6676 2317.8000 1.1937 19.0992 SHATZ 0.0766 106.0800 0.0722 1.1558 SILVER-mini 0.5165 29.4500 1.7539 28.0623 SMI 79.7102 12355.0000 0.6452 10.3226 SOFR 0.0550 96.6350 0.0570 0.9115 SOYBEAN 13.8881 1023.5000 1.3569 21.7108 SOYMEAL 4.7890 315.8000 1.5165 24.2634 SOYOIL 0.7880 42.3500 1.8608 29.7721 SP400 29.8154 3162.7000 0.9427 15.0835 SP500_micro 45.1888 5585.5000 0.8090 12.9446 SUGAR11 0.3189 19.3900 1.6448 26.3167 US10 0.3429 111.8281 0.3067 4.9067 US10U 0.4823 115.6094 0.4172 6.6748 US2 0.0819 102.6914 0.0797 1.2755 US20 0.7536 120.8125 0.6238 9.9806 US30 1.1609 127.9688 0.9071 14.5144 US5 0.2146 107.9141 0.1988 3.1811 VIX 0.5396 17.9000 3.0145 48.2319 WHEAT 10.2356 551.2500 1.8568 29.7088 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 655.35 0.51 337.25 1.00 337.25 48285.24 143.17 -4.13 -59.15 BITCOIN 67.02 2.47 165.39 1.00 165.39 48285.24 291.95 -1.41 -41.03 BOBL 1175.50 0.19 227.87 1.08 246.54 48285.24 195.85 -4.71 -92.25 BTP 1190.60 0.43 506.70 1.08 548.20 48285.24 88.08 -0.09 -0.80 BUND 1338.00 0.35 469.90 1.08 508.39 48285.24 94.98 0.12 1.15 BUXL 1347.80 0.88 1182.46 1.08 1279.31 48285.24 37.74 -4.31 -16.28 CAC 756.55 0.88 666.21 1.08 720.78 48285.24 66.99 -7.22 -48.34 CAD 725.75 0.32 231.60 1.00 231.60 48285.24 208.49 -12.39 -258.35 CANOLA 126.12 1.58 198.80 0.72 143.59 48285.24 336.26 -9.73 -327.06 CHF 1428.38 0.42 604.77 1.00 604.77 48285.24 79.84 0.66 5.27 COCOA 699.40 3.70 2584.51 1.00 2584.51 48285.24 18.68 5.00 9.34 COFFEE 854.06 1.82 1550.57 1.00 1550.57 48285.24 31.14 1.63 5.07 COPPER 1049.62 1.40 1474.13 1.00 1474.13 48285.24 32.75 -4.37 -14.31 CORN 200.00 1.54 308.64 1.00 308.64 48285.24 156.44 -16.31 -255.17 COTTON2 344.45 1.45 498.50 1.00 498.50 48285.24 96.86 -16.80 -162.73 CRUDE_W 755.40 1.41 1061.53 1.00 1061.53 48285.24 45.49 3.31 15.06 DAX 186.77 0.75 139.75 1.08 151.19 48285.24 319.37 3.06 97.84 DOW 207.02 0.70 144.55 1.00 144.55 48285.24 334.04 3.43 114.49 DX 1038.75 0.32 328.36 1.00 328.36 48285.24 147.05 -1.80 -26.43 EUR 1355.94 0.36 485.96 1.00 485.96 48285.24 99.36 0.51 5.10 EURIBOR-ICE 2443.75 0.04 107.85 1.08 116.68 48285.24 413.83 3.85 159.46 EUROSTX 492.10 0.92 454.23 1.08 491.43 48285.24 98.25 -4.11 -40.42 FEEDCOW 1275.75 0.63 799.47 1.00 799.47 48285.24 60.40 -7.12 -43.00 GASOIL 750.25 1.58 1182.92 1.00 1182.92 48285.24 40.82 -5.63 -22.98 GASOLINE 919.88 1.56 1436.40 1.00 1436.40 48285.24 33.62 4.98 16.75 GAS_US_mini 54.12 4.03 218.15 1.00 218.15 48285.24 221.33 -8.09 -179.14 GBP 803.75 0.41 330.54 1.00 330.54 48285.24 146.08 6.65 97.21 GOLD_micro 245.52 0.85 207.56 1.00 207.56 48285.24 232.63 3.65 84.87 HEATOIL 1033.12 1.47 1516.55 1.00 1516.55 48285.24 31.84 -10.92 -34.76 JGB-SGX-mini 142830.00 0.17 24010.79 0.01 155.27 48285.24 310.98 -0.17 -5.44 JPY 836.50 0.68 566.12 1.00 566.12 48285.24 85.29 -1.25 -10.65 LEANHOG 303.30 1.73 525.92 1.00 525.92 48285.24 91.81 1.54 14.13 LIVECOW 747.00 0.63 472.85 1.00 472.85 48285.24 102.12 14.15 144.53 LUMBER-new 144.51 1.77 255.36 1.00 255.36 48285.24 189.09 -5.04 -95.39 MILK 422.40 1.12 473.14 1.00 473.14 48285.24 102.05 5.47 55.80 MXP 267.60 0.89 239.10 1.00 239.10 48285.24 201.95 -3.38 -68.19 NASDAQ_micro 391.08 1.22 475.57 1.00 475.57 48285.24 101.53 -8.70 -88.30 NIKKEI 38915.00 1.10 42909.93 0.01 277.48 48285.24 174.01 -3.22 -55.97 NZD 595.40 0.60 359.15 1.00 359.15 48285.24 134.44 -6.75 -90.77 OAT 1258.80 0.36 457.81 1.08 495.31 48285.24 97.49 -1.43 -13.90 OATIES 159.50 2.06 328.83 1.00 328.83 48285.24 146.84 -6.69 -98.30 OJ 623.70 1.83 1142.24 1.00 1142.24 48285.24 42.27 5.00 21.14 PALLAD 923.00 2.50 2304.49 1.00 2304.49 48285.24 20.95 -3.19 -6.68 PLAT 493.10 1.50 737.64 1.00 737.64 48285.24 65.46 -1.82 -11.92 REDWHEAT 282.50 1.82 514.70 1.00 514.70 48285.24 93.81 -16.39 -153.80 RICE 309.30 1.01 312.03 1.00 312.03 48285.24 154.75 5.03 77.91 ROBUSTA 410.00 1.69 693.56 1.00 693.56 48285.24 69.62 7.79 54.27 RUSSELL 115.89 1.19 138.34 1.00 138.34 48285.24 349.04 5.63 196.47 SHATZ 1060.80 0.07 76.63 1.08 82.90 48285.24 582.42 -3.67 -213.61 SILVER-mini 736.25 1.75 1291.31 1.00 1291.31 48285.24 37.39 -0.10 -0.39 SMI 1235.50 0.65 797.10 1.13 898.65 48285.24 53.73 14.51 77.98 SOFR 2415.88 0.06 137.62 1.00 137.62 48285.24 350.85 6.02 211.14 SOYBEAN 511.75 1.36 694.40 1.00 694.40 48285.24 69.53 -16.14 -112.24 SOYMEAL 315.80 1.52 478.90 1.00 478.90 48285.24 100.83 -13.59 -136.98 SOYOIL 254.10 1.86 472.82 1.00 472.82 48285.24 102.12 -10.58 -108.02 SP400 3162.70 0.94 2981.54 1.00 2981.54 48285.24 16.19 2.74 4.44 SP500_micro 279.28 0.81 225.94 1.00 225.94 48285.24 213.70 -5.21 -111.37 SUGAR11 217.17 1.64 357.20 1.00 357.20 48285.24 135.18 -5.78 -78.11 US10 1118.28 0.31 342.94 1.00 342.94 48285.24 140.80 2.90 40.83 US10U 1156.09 0.42 482.30 1.00 482.30 48285.24 100.12 3.87 38.73 US2 2053.83 0.08 163.73 1.00 163.73 48285.24 294.91 1.26 37.17 US20 1208.12 0.62 753.61 1.00 753.61 48285.24 64.07 4.36 27.93 US30 1279.69 0.91 1160.87 1.00 1160.87 48285.24 41.59 1.23 5.12 US5 1079.14 0.20 214.55 1.00 214.55 48285.24 225.05 2.81 63.15 VIX 179.00 3.01 539.59 1.00 539.59 48285.24 89.48 -14.11 -126.22 WHEAT 275.62 1.86 511.78 1.00 511.78 48285.24 94.35 -15.40 -145.27 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -59.146 0.010 2.5 -1.535 BITCOIN -41.033 0.043 2.5 -4.443 BOBL -92.248 0.004 2.5 -0.935 BTP -0.802 0.014 2.5 -0.027 BUND 1.153 0.004 2.5 0.012 BUXL -16.284 0.004 2.5 -0.165 CAC -48.338 0.014 2.5 -1.649 CAD -258.351 0.010 2.5 -6.703 CANOLA -327.064 0.010 2.5 -7.957 CHF 5.268 0.010 2.5 0.137 COCOA 9.342 0.009 2.5 0.200 COFFEE 5.070 0.005 2.5 0.059 COPPER -14.310 0.043 2.5 -1.550 CORN -255.168 0.010 2.5 -6.208 COTTON2 -162.730 0.009 2.5 -3.485 CRUDE_W 15.059 0.043 2.5 1.631 DAX 97.841 0.014 2.5 3.337 DOW 114.490 0.009 2.5 2.661 DX -26.430 0.010 2.5 -0.686 EUR 5.098 0.010 2.5 0.132 EURIBOR-ICE 159.458 0.014 2.5 5.439 EUROSTX -40.423 0.014 2.5 -1.379 FEEDCOW -42.998 0.013 2.5 -1.425 GASOIL -22.976 0.017 2.5 -0.996 GASOLINE 16.753 0.017 2.5 0.726 GAS_US_mini -179.136 0.043 2.5 -19.398 GBP 97.207 0.010 2.5 2.522 GOLD_micro 84.873 0.014 2.5 2.895 HEATOIL -34.763 0.017 2.5 -1.507 JGB-SGX-mini -5.438 0.043 2.5 -0.589 JPY -10.646 0.010 2.5 -0.276 LEANHOG 14.132 0.024 2.5 0.859 LIVECOW 144.532 0.013 2.5 4.789 LUMBER-new -95.391 0.009 2.5 -2.042 MILK 55.805 0.009 2.5 1.195 MXP -68.186 0.059 2.5 -10.008 NASDAQ_micro -88.303 0.009 2.5 -2.052 NIKKEI -55.974 0.043 2.5 -6.061 NZD -90.769 0.010 2.5 -2.355 OAT -13.899 0.014 2.5 -0.474 OATIES -98.299 0.010 2.5 -2.391 OJ 21.138 0.009 2.5 0.453 PALLAD -6.676 0.014 2.5 -0.228 PLAT -11.916 0.014 2.5 -0.406 REDWHEAT -153.802 0.005 2.5 -2.040 RICE 77.906 0.010 2.5 1.895 ROBUSTA 54.267 0.005 2.5 0.634 RUSSELL 196.469 0.013 2.5 6.510 SHATZ -213.607 0.004 2.5 -2.166 SILVER-mini -0.391 0.014 2.5 -0.013 SMI 77.976 0.014 2.5 2.660 SOFR 211.144 0.024 2.5 12.832 SOYBEAN -112.242 0.004 2.5 -1.044 SOYMEAL -136.976 0.004 2.5 -1.274 SOYOIL -108.024 0.004 2.5 -1.006 SP400 4.437 0.013 2.5 0.147 SP500_micro -111.371 0.009 2.5 -2.588 SUGAR11 -78.106 0.009 2.5 -1.661 US10 40.825 0.005 2.5 0.517 US10U 38.727 0.005 2.5 0.491 US2 37.168 0.005 2.5 0.471 US20 27.928 0.005 2.5 0.354 US30 5.116 0.005 2.5 0.065 US5 63.147 0.005 2.5 0.800 VIX -126.219 0.099 2.5 -31.156 WHEAT -145.272 0.005 2.5 -1.927 ===================== Position diags ===================== AUD 3.71 BITCOIN 31.61 BOBL 1.99 BTP 3.00 BUND 0.96 BUXL 0.38 CAC 2.28 CAD 5.41 CANOLA 8.18 CHF 2.07 COCOA 0.40 COFFEE 0.36 COPPER 3.55 CORN 3.81 COTTON2 2.07 CRUDE_W 4.93 DAX 10.89 DOW 7.76 DX 3.82 EUR 2.58 EURIBOR-ICE 14.11 EUROSTX 3.35 FEEDCOW 2.00 GASOIL 1.77 GASOLINE 1.46 GAS_US_mini 23.97 GBP 3.79 GOLD_micro 7.93 HEATOIL 1.38 JGB-SGX-mini 33.68 JPY 2.21 LEANHOG 5.58 LIVECOW 3.38 LUMBER-new 4.05 MILK 2.19 MXP 29.64 NASDAQ_micro 2.36 NIKKEI 18.84 NZD 3.49 OAT 3.33 OATIES 3.57 OJ 0.91 PALLAD 0.71 PLAT 2.23 REDWHEAT 1.24 RICE 3.76 ROBUSTA 0.81 RUSSELL 11.57 SHATZ 5.91 SILVER-mini 1.28 SMI 1.83 SOFR 21.32 SOYBEAN 0.65 SOYMEAL 0.94 SOYOIL 0.95 SP400 0.54 SP500_micro 4.97 SUGAR11 2.87 US10 1.78 US10U 1.27 US2 3.74 US20 0.81 US30 0.53 US5 2.85 VIX 22.09 WHEAT 1.25 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.5 -1.9 -1.2 0.0 0 BITCOIN -4.4 -7.6 -1.3 0.0 0 BOBL -0.9 -1.1 -0.7 0.0 0 BTP -0.0 -0.3 0.3 0.0 0 BUND 0.0 -0.1 0.1 0.0 0 BUXL -0.2 -0.2 -0.1 -1.0 -1 CAC -1.6 -1.9 -1.4 0.0 0 CAD -6.7 -7.2 -6.2 -4.0 -4 CANOLA -8.0 -8.8 -7.1 -3.0 -3 CHF 0.1 -0.1 0.3 0.0 0 COCOA 0.2 0.2 0.2 0.0 0 COFFEE 0.1 0.0 0.1 0.0 0 COPPER -1.5 -1.9 -1.2 -1.0 -1 CORN -6.2 -6.6 -5.8 -5.0 -5 COTTON2 -3.5 -3.7 -3.3 -5.0 -5 CRUDE_W 1.6 1.1 2.1 2.0 2 DAX 3.3 2.2 4.4 0.0 0 DOW 2.7 1.9 3.4 0.0 0 DX -0.7 -1.1 -0.3 0.0 0 EUR 0.1 -0.1 0.4 0.0 0 EURIBOR-ICE 5.4 4.0 6.9 0.0 0 EUROSTX -1.4 -1.7 -1.0 -3.0 -3 FEEDCOW -1.4 -1.6 -1.2 0.0 0 GASOIL -1.0 -1.2 -0.8 -1.0 -1 GASOLINE 0.7 0.6 0.9 0.0 0 GAS_US_mini -19.4 -21.8 -17.0 -16.0 -16 GBP 2.5 2.1 2.9 1.0 1 GOLD_micro 2.9 2.1 3.7 2.0 2 HEATOIL -1.5 -1.6 -1.4 -1.0 -1 JGB-SGX-mini -0.6 -4.0 2.8 -1.0 -1 JPY -0.3 -0.5 -0.1 -1.0 -1 LEANHOG 0.9 0.3 1.4 -1.0 -1 LIVECOW 4.8 4.5 5.1 4.0 4 LUMBER-new -2.0 -2.4 -1.6 -2.0 -2 MILK 1.2 1.0 1.4 NaN 0 MXP -10.0 -13.0 -7.0 -11.0 -11 NASDAQ_micro -2.1 -2.3 -1.8 -3.0 -3 NIKKEI -6.1 -7.9 -4.2 -4.0 -4 NZD -2.4 -2.7 -2.0 -1.0 -1 OAT -0.5 -0.8 -0.1 0.0 0 OATIES -2.4 -2.7 -2.0 NaN 0 OJ 0.5 0.4 0.5 1.0 1 PALLAD -0.2 -0.3 -0.2 -1.0 -1 PLAT -0.4 -0.6 -0.2 -2.0 -2 REDWHEAT -2.0 -2.2 -1.9 -2.0 -2 RICE 1.9 1.5 2.3 NaN 0 ROBUSTA 0.6 0.6 0.7 1.0 1 RUSSELL 6.5 5.4 7.7 0.0 0 SHATZ -2.2 -2.8 -1.6 NaN 0 SILVER-mini -0.0 -0.1 0.1 0.0 0 SMI 2.7 2.5 2.8 0.0 0 SOFR 12.8 10.7 15.0 NaN 0 SOYBEAN -1.0 -1.1 -1.0 -3.0 -3 SOYMEAL -1.3 -1.4 -1.2 0.0 0 SOYOIL -1.0 -1.1 -0.9 0.0 0 SP400 0.1 0.1 0.2 1.0 1 SP500_micro -2.6 -3.1 -2.1 -12.0 -12 SUGAR11 -1.7 -1.9 -1.4 0.0 0 US10 0.5 0.3 0.7 0.0 0 US10U 0.5 0.4 0.6 4.0 4 US2 0.5 0.1 0.8 NaN 0 US20 0.4 0.3 0.4 0.0 0 US30 0.1 0.0 0.1 0.0 0 US5 0.8 0.5 1.1 1.0 1 VIX -31.2 -33.4 -28.9 -36.0 -36 WHEAT -1.9 -2.1 -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 -0.6 -0.0 0.2 -0.0 -0.0 -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 -0.1 0.0 -0.2 -0.0 -0.2 0.5 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.5 -0.6 -0.1 0.4 0.3 -0.2 0.3 -0.0 BITCOIN 0.6 -0.6 -0.3 -0.1 0.0 -0.1 -0.0 -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 -0.0 0.0 0.1 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 0.1 -0.0 0.1 -0.2 0.1 0.6 0.0 0.1 0.0 0.1 -0.0 0.1 -1.1 0.3 0.1 0.1 -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 -0.0 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 0.2 -0.2 -0.1 -0.6 -0.5 -0.2 0.1 BUND 0.5 0.3 -0.0 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.2 0.1 -0.1 0.1 0.1 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 0.1 0.3 0.2 0.0 -0.0 -0.1 -0.7 -0.7 -0.4 -0.4 BUXL 0.4 0.1 -0.0 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.2 0.1 -0.1 0.1 -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 0.1 0.1 0.1 -0.1 -0.2 -0.2 -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 -0.0 -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 -0.1 -1.2 -0.1 0.0 -0.0 -0.0 0.1 -0.0 0.4 0.0 -0.6 -0.6 -0.6 0.2 0.2 0.1 0.3 CAD -0.4 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 -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 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -0.6 -0.2 -0.3 0.2 -0.2 -0.1 -0.2 CANOLA 0.2 -0.0 0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -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 0.1 -0.0 -0.1 -0.1 -0.1 -0.4 0.2 -0.1 CHF 0.4 0.4 0.1 -0.0 -0.0 -0.1 -0.1 0.0 -0.1 0.1 -0.4 0.2 -0.5 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 -0.1 0.1 -0.3 0.1 0.8 0.0 0.1 -0.0 0.1 -0.1 0.1 -1.1 0.5 0.6 0.6 0.3 0.3 -0.4 -0.1 -0.4 COCOA -0.0 -0.5 0.1 -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 0.2 0.5 0.2 0.7 0.3 COFFEE -0.1 0.0 0.3 -0.1 -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 0.5 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 -0.0 0.0 -0.1 0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.2 -0.2 -1.6 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.3 -0.3 -0.3 -0.2 0.4 0.2 0.1 0.6 0.4 CORN 0.1 -0.6 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.1 -0.3 -0.1 -1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.0 -0.3 -0.4 -0.3 -0.4 -0.4 -0.4 -0.1 COTTON2 -0.0 -0.2 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 -0.1 -0.5 -0.1 -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 -0.1 CRUDE_W -0.6 0.0 -0.3 -0.0 0.0 -0.0 -0.1 0.1 -0.1 -0.1 0.2 -0.2 0.5 -0.1 0.0 0.3 0.3 0.3 0.3 -0.1 0.0 -0.2 0.2 -0.2 -0.5 -0.1 -0.0 -0.1 -0.1 0.1 -0.1 0.5 -0.5 -0.3 -0.1 -0.3 0.7 0.7 0.7 0.7 DAX 0.1 -0.3 -0.2 0.1 0.0 0.2 0.0 0.2 0.0 0.1 0.3 -0.0 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 0.1 0.2 0.0 0.4 -0.0 -0.4 0.3 -0.3 -0.6 -0.4 0.3 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 0.1 0.3 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 -1.5 0.0 0.1 0.1 0.1 0.2 0.1 -0.5 0.1 0.6 0.1 -0.1 0.4 -0.0 0.3 -0.1 DX -0.5 -0.2 -0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 0.4 -0.1 0.6 -0.1 -0.1 0.2 0.1 0.2 0.1 -0.1 0.0 -0.1 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 0.4 -0.3 0.2 -0.3 0.3 EUR 0.2 0.1 0.1 -0.0 -0.0 -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 0.4 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 0.1 -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 0.1 0.0 0.0 -0.1 0.2 0.2 0.1 -0.1 -0.7 -0.7 -0.3 0.0 EUROSTX -0.2 -0.4 -0.4 0.1 0.0 0.2 0.0 0.2 0.0 0.0 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 -0.0 0.4 -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 -0.1 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 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -1.1 -0.3 -0.4 0.5 0.2 0.0 0.7 0.3 0.7 GASOIL -0.5 0.1 -0.4 -0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.2 0.4 -0.1 -0.1 -0.1 0.2 -0.0 0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.7 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.0 -0.1 -0.1 0.2 -0.1 -0.6 -0.5 -0.7 -0.7 GASOLINE -0.4 0.1 -0.3 -0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.0 0.2 -0.2 0.5 0.0 -0.1 0.4 0.4 0.4 0.4 -0.0 0.0 -0.1 0.2 -0.1 -2.7 -0.0 0.0 -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 -0.0 0.0 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.4 -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 0.1 0.1 -0.4 0.3 -0.1 -0.3 -0.3 -0.6 GBP 0.2 0.2 0.3 -0.0 -0.0 -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 -0.0 0.2 -0.0 0.2 0.0 0.2 -0.1 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 -0.1 -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 0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.2 0.2 -0.1 -0.1 -0.1 0.2 -0.1 0.0 -0.1 -0.1 -0.1 0.0 -0.2 -2.7 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.2 -0.2 -0.2 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 0.4 -0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.2 0.1 -0.4 0.1 -0.0 -0.3 -0.3 -0.3 -0.3 0.0 -0.1 0.2 -0.4 0.1 2.7 0.0 0.1 -0.1 0.1 -0.2 0.0 -1.1 0.5 0.6 0.2 -0.3 -0.7 -0.5 -0.7 -0.5 LEANHOG 0.6 -0.2 -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 1.0 0.5 0.3 -0.0 -0.6 -0.1 -0.3 0.0 0.1 LIVECOW -0.0 0.6 0.5 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.5 0.1 0.4 0.2 0.2 0.0 0.2 0.2 0.2 0.2 0.2 0.1 0.4 0.2 -1.7 0.1 0.0 0.2 0.1 0.2 0.1 0.8 0.5 0.5 0.6 0.6 0.0 0.7 0.2 0.7 LUMBER-new 0.7 -0.0 -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 0.3 -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 0.1 -0.0 0.0 0.1 -0.2 -0.4 -0.3 -0.4 0.2 0.2 0.1 0.1 0.1 2.5 0.1 0.0 0.1 0.0 0.0 0.0 -1.1 0.5 0.6 0.6 0.6 -0.2 -0.7 -0.0 -0.7 MXP 0.0 -0.3 -0.6 -0.0 -0.0 -0.0 -0.0 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 -0.5 -0.6 0.6 0.4 0.7 0.7 NASDAQ_micro -0.6 -0.5 -0.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 0.2 -0.1 0.4 -0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.1 0.3 -0.1 -2.7 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.4 -0.5 -0.6 -0.1 0.1 0.1 0.2 -0.1 0.2 NIKKEI -0.6 -0.1 -0.3 0.0 0.0 0.1 0.0 0.2 0.0 -0.0 0.2 -0.1 0.4 -0.1 -0.0 0.3 0.2 0.2 0.2 0.0 0.1 -0.1 0.4 -0.1 -1.9 0.0 -0.0 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 -0.4 0.1 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -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 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 -0.3 -0.6 -0.6 0.1 0.3 -0.2 0.2 0.0 OAT 0.5 0.1 -0.2 0.0 0.1 0.0 0.1 -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 -0.0 0.0 0.6 0.0 0.0 -0.4 -0.3 -0.7 -0.7 -0.3 -0.1 OATIES 0.4 -0.6 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 0.1 0.0 0.0 0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.4 0.0 0.1 -0.0 0.5 0.3 OJ -0.3 -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 -0.1 0.5 -0.0 -2.7 0.0 -0.0 0.2 -0.0 0.4 -0.0 0.8 -0.1 0.0 0.1 0.6 0.4 0.3 0.7 0.7 PALLAD -0.4 0.2 0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -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 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 0.0 -0.1 1.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 0.0 0.1 0.2 0.3 -0.6 -0.3 -0.2 0.1 REDWHEAT -0.2 -0.6 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.2 -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 -0.0 -0.5 0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.3 0.2 0.5 0.0 0.1 0.1 0.4 0.4 0.4 -0.0 0.0 0.2 0.3 0.1 -1.5 0.0 0.1 0.1 0.1 0.1 0.1 1.1 0.5 0.6 0.6 0.6 -0.7 -0.3 -0.7 -0.3 ROBUSTA 0.0 0.0 0.4 -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 0.0 -2.7 0.0 -0.0 0.2 -0.0 0.3 0.0 1.1 -0.3 0.6 0.6 0.6 0.1 -0.2 0.3 0.1 RUSSELL 0.6 0.4 0.1 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.2 0.1 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.2 -0.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.4 0.6 0.4 0.1 0.1 -0.7 -0.0 -0.7 SHATZ 0.6 0.5 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 0.1 -0.0 0.1 -0.2 0.1 1.0 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 -0.3 0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.1 0.2 -0.1 -0.0 -0.1 -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 -0.2 0.1 0.1 0.4 0.0 -0.2 0.2 0.2 SMI -0.0 -0.1 0.5 0.1 0.0 0.2 0.0 0.3 0.0 0.1 0.5 0.1 0.6 0.1 0.2 -0.1 0.0 -0.1 -0.0 0.2 0.2 0.1 0.5 0.1 2.0 0.1 0.0 0.3 0.0 0.3 0.0 0.6 0.2 0.1 -0.2 0.4 0.2 0.1 -0.1 0.0 SOFR 0.4 0.5 0.4 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 0.0 0.2 -0.1 0.2 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 -0.0 0.1 -0.6 0.0 0.1 0.1 0.1 0.0 0.0 0.2 -0.0 -0.1 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 0.0 0.0 -0.6 -0.4 -0.3 -0.3 -0.7 -0.1 -0.7 SOYMEAL -0.0 -0.6 -0.0 -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 -0.5 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 0.1 0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -2.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.2 -0.4 0.1 -0.2 -0.3 -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 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.1 -1.4 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.6 0.1 -0.1 0.2 -0.3 0.1 -0.7 SP500_micro -0.6 -0.3 0.0 0.1 0.0 0.2 0.0 0.2 0.0 0.0 0.4 -0.1 0.6 -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 -0.0 0.3 -0.0 -0.6 -0.5 -0.6 0.1 0.2 0.4 0.1 0.0 0.1 SUGAR11 -0.4 0.4 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 -0.0 -0.3 -0.0 -0.1 -0.1 0.2 -0.0 0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.1 -0.4 0.6 -0.4 0.0 0.7 0.2 0.7 US10 0.3 0.4 0.3 0.0 0.1 0.0 0.1 -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 0.1 0.1 0.1 0.0 0.0 -0.4 -0.0 -0.1 -0.0 0.1 0.2 -0.7 0.5 0.1 US10U 0.3 0.3 0.3 0.0 0.1 0.0 0.1 -0.0 0.1 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 0.1 -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 0.1 0.0 0.1 -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 0.0 0.1 -0.1 0.1 -0.7 0.3 -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 0.1 -0.1 0.0 -0.2 0.0 0.1 0.1 0.0 0.0 0.0 0.2 -0.1 -0.2 -0.1 0.1 0.2 -0.3 0.7 0.7 US30 0.1 0.2 0.3 0.0 0.1 0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.1 0.0 0.0 0.0 -0.1 -0.1 -0.3 -0.2 0.1 0.1 -0.3 0.4 0.7 US5 0.4 0.5 0.3 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.1 0.1 -0.3 0.1 0.1 -0.3 -0.2 -0.2 -0.2 0.1 0.0 0.1 -0.2 0.1 1.1 0.0 0.1 0.1 0.1 -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 0.8 0.3 -0.1 -0.0 -0.4 0.1 -0.7 0.0 -0.1 -0.9 0.0 -1.2 0.0 -0.3 -0.6 -0.6 -0.6 -0.6 -0.1 -0.2 0.0 -0.9 0.0 NaN -0.1 -0.0 -0.4 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 -17.0 -0.8 6.6 -3.1 -3.0 -2.1 -7.6 0.0 -5.4 -19.9 -0.9 -20.0 -3.1 -16.1 4.7 -2.1 -2.7 -2.3 -2.5 -5.3 2.1 -20.0 -0.3 -20.0 3.7 -2.7 -9.2 0.7 -13.3 0.5 -9.3 -0.0 -20.0 -20.0 -2.4 11.0 8.6 -5.0 9.9 -0.9 BITCOIN 17.8 -18.0 -8.0 -6.1 0.8 -3.4 -3.8 -1.0 -6.3 3.1 7.8 15.3 13.2 4.1 -1.5 -6.4 -7.2 -6.9 -7.2 2.1 6.9 12.1 17.6 9.5 -20.0 0.9 1.4 4.7 4.8 11.2 3.6 -3.2 20.0 20.0 20.0 9.0 -20.0 -7.9 -6.6 -1.3 BOBL 16.6 11.1 -1.2 2.5 5.7 0.9 4.4 -0.8 3.6 10.2 -6.5 10.9 -6.6 9.6 4.3 -20.0 -13.8 -20.0 -17.4 4.7 -1.6 14.3 -5.9 10.5 4.4 2.3 7.4 0.0 6.4 -1.3 4.6 -20.0 10.6 2.3 1.8 -3.8 -20.0 -17.9 -11.8 -12.6 BTP 17.8 5.8 -2.0 4.1 9.2 1.5 7.2 -1.3 5.8 15.8 3.5 16.8 10.9 15.7 10.1 1.4 4.1 1.6 2.6 8.5 5.2 15.0 6.5 13.9 -20.0 4.3 8.7 3.0 7.5 3.6 6.7 11.6 -0.4 7.5 -7.1 -2.3 -19.3 -15.8 -6.2 3.1 BUND 14.4 8.5 -0.3 2.8 6.2 1.0 4.8 -0.8 3.9 11.1 -6.1 11.8 -3.3 9.7 5.2 6.1 0.7 2.8 0.6 4.5 -0.4 13.3 -3.9 9.6 1.0 2.6 8.4 0.7 6.9 -0.4 4.9 6.3 7.4 1.2 -0.7 -2.7 -20.0 -20.0 -11.0 -13.2 BUXL 10.9 3.4 -1.3 3.2 7.1 1.1 5.5 -1.0 4.5 12.3 -7.9 12.6 -2.9 5.0 -0.0 -0.4 -2.5 -2.0 -2.9 1.6 -2.1 12.0 -5.2 6.9 -3.3 1.8 11.1 0.4 8.0 -0.5 4.7 1.1 3.9 -2.4 -5.8 -5.0 -20.0 -20.0 -16.3 -12.1 CAC -0.6 -19.1 -20.0 5.0 3.9 6.1 1.3 6.5 2.8 -1.0 -4.0 -9.8 7.6 -15.3 -15.3 -8.8 -1.6 -5.8 -2.7 -14.6 -7.1 -8.1 4.1 -13.1 -8.8 -5.0 0.3 -1.8 -2.6 2.4 -4.5 7.6 1.7 -20.0 -20.0 -20.0 5.7 5.6 2.7 8.0 CAD -11.6 -1.3 -3.9 -3.4 -3.3 -2.4 -8.4 0.0 -5.9 -12.3 -20.0 -20.0 -18.4 -19.9 -16.9 -4.9 -3.2 -4.3 -3.7 -13.5 -11.4 -20.0 -12.0 -20.0 -1.2 -7.1 -3.3 -5.3 -11.6 -4.9 -11.0 -1.4 -6.9 -20.0 -7.2 -8.1 7.4 -6.6 -2.4 -4.8 CANOLA 5.7 -0.9 13.4 -2.2 -2.0 -1.5 -1.9 -0.9 -2.0 -5.7 -3.0 -2.8 -6.1 -0.7 -1.6 -10.0 -10.2 -12.9 -13.1 -1.2 -2.5 -5.0 -4.7 -1.0 -16.5 -1.5 -3.7 -2.0 -1.7 -2.7 -1.0 -20.0 5.5 -0.8 -2.8 -2.7 -1.8 -12.3 6.4 -4.3 CHF 11.9 11.7 2.8 -2.7 -2.6 -1.9 -6.6 0.0 -4.7 15.9 -13.4 16.5 -13.4 12.1 8.7 -17.2 -16.8 -17.4 -17.0 5.5 -4.7 14.8 -9.7 12.3 5.9 3.8 7.7 -1.0 8.1 -3.2 7.1 -20.0 20.0 20.0 20.0 8.3 9.7 -11.5 -2.0 -12.0 COCOA -0.6 -15.4 1.6 -1.8 -1.7 -1.2 -1.6 -0.8 -1.7 -1.3 2.2 -1.1 3.6 -3.6 -2.8 20.0 16.8 20.0 20.0 -0.5 3.9 -0.9 7.8 -1.5 -18.6 0.7 0.1 4.9 -0.3 9.3 -0.4 20.0 4.9 3.9 5.5 6.5 15.5 5.4 19.7 9.6 COFFEE -2.2 0.8 9.4 -4.7 -4.4 -3.2 -4.1 -2.0 -4.4 -15.6 13.5 -8.3 13.5 -0.3 10.9 2.5 6.5 4.0 5.8 11.8 18.0 -10.0 17.2 0.6 -20.0 3.3 -6.1 7.9 -5.3 9.6 -1.5 7.4 -15.5 10.6 18.6 20.0 -1.3 -10.6 6.6 -3.7 COPPER -20.0 -19.4 -1.2 -3.0 0.4 -1.7 -1.8 -0.5 -3.1 -1.1 0.2 -8.9 2.4 -9.5 -6.9 -2.1 -2.6 -0.8 -1.5 -8.4 1.0 -11.9 5.7 -14.4 -11.9 -2.5 0.0 0.1 -2.7 1.6 -3.7 5.7 -10.8 -7.9 -5.0 13.7 7.1 2.0 16.6 11.5 CORN 2.1 -20.0 -0.3 -2.9 -2.7 -2.0 -2.6 -1.3 -2.7 -8.8 -9.6 -6.6 -10.7 -9.7 -10.0 -16.5 -13.3 -17.1 -16.6 -14.3 -12.8 -7.6 -11.5 -10.9 -8.1 -3.5 -2.7 -3.0 -1.9 -2.6 -2.7 -20.0 -1.8 -10.2 -12.3 -7.8 -12.4 -11.9 -10.7 -1.7 COTTON2 -1.0 -5.1 -20.0 -4.1 -3.9 -2.9 -3.6 -1.8 -3.8 -6.7 -15.6 -9.6 -12.9 -13.1 -15.6 -11.6 -1.0 -7.4 -3.5 -18.1 -20.0 -9.8 -15.7 -13.2 -20.0 -5.2 -1.9 -4.8 -3.5 -2.1 -4.0 -7.2 -12.3 -6.1 3.4 -20.0 -7.2 -8.8 7.8 -1.6 CRUDE_W -18.7 0.1 -8.5 -4.6 1.5 -1.5 -6.2 1.4 -7.1 -7.0 8.1 -18.5 15.3 -5.7 0.5 14.5 12.8 14.4 13.7 -5.6 2.4 -18.3 8.3 -15.8 -3.6 -5.8 -0.8 -2.7 -8.2 1.4 -8.2 9.6 -20.0 -7.7 -2.4 -7.9 20.0 20.0 20.0 20.0 DAX 1.6 -9.8 -6.0 5.1 4.0 6.3 1.3 6.6 2.9 12.2 10.8 -2.5 15.1 -1.9 -4.0 -8.7 -11.0 -9.7 -10.6 0.4 7.0 2.3 14.5 -0.3 11.3 0.6 5.6 6.3 1.4 11.8 -0.3 -8.0 10.8 -9.7 -20.0 -13.0 7.6 3.8 -6.3 5.7 DOW 13.4 7.3 -2.8 4.2 3.3 5.2 1.1 5.5 2.4 8.6 10.1 6.1 12.6 7.7 7.8 -10.7 -11.3 -11.3 -11.4 10.9 9.4 12.9 10.9 12.6 -11.1 4.4 6.3 4.1 4.8 4.8 4.9 -8.9 3.3 20.0 3.7 -2.5 13.5 -1.2 7.7 -3.5 DX -14.0 -5.1 -1.3 -3.2 -3.0 -2.2 -7.7 0.0 -5.5 -7.8 14.7 -7.6 16.7 -11.2 -7.0 7.6 7.1 7.5 7.3 -4.9 4.0 -5.7 9.6 -9.2 -20.0 -3.1 -3.3 1.6 -3.4 4.7 -5.4 16.8 20.0 -20.0 7.6 13.7 -9.4 5.7 -10.0 8.8 EUR 6.6 2.7 2.1 -3.2 -3.1 -2.2 -8.0 0.0 -5.6 -19.7 -10.2 -12.0 -11.4 5.2 6.9 -7.7 -7.3 -7.6 -7.3 2.6 -1.4 -7.5 -4.7 0.9 20.0 2.2 -7.6 0.8 -5.2 -0.4 0.5 -8.0 -2.9 11.5 4.8 7.3 2.9 -17.8 0.1 -16.5 EURIBOR-ICE 20.0 15.1 -2.9 2.1 4.7 0.7 3.7 -0.6 3.0 8.5 -3.4 9.2 0.4 9.0 5.1 -2.3 -4.6 -4.0 -4.2 6.7 1.5 13.6 -0.5 11.8 12.1 2.3 5.1 0.6 4.7 0.1 4.0 -1.6 8.6 7.7 3.7 -3.3 -20.0 -20.0 -9.9 1.4 EUROSTX -7.1 -13.8 -12.5 4.6 3.7 5.7 1.2 6.1 2.7 3.2 10.0 -10.5 14.0 -11.0 -9.4 -4.5 -2.7 -5.3 -4.2 -5.2 3.5 -6.3 12.4 -8.6 -2.0 -2.6 1.7 3.9 -3.5 9.9 -4.9 5.1 1.5 -20.0 -20.0 -15.0 -2.0 1.1 -14.5 0.6 FEEDCOW -10.9 -3.9 -2.0 -6.4 -6.0 -4.4 -5.6 -2.7 -5.9 -14.7 2.2 -19.5 -4.3 -18.2 -1.1 5.1 -20.0 -6.7 -16.4 -8.5 -5.5 -12.2 -2.2 -12.2 -8.9 -4.7 -5.0 -3.2 -6.1 0.6 -5.7 -20.0 -12.0 -12.1 15.6 7.2 0.6 20.0 7.9 20.0 GASOIL -14.5 2.7 -13.0 -4.1 1.4 -1.3 -5.5 1.3 -6.4 -2.3 0.6 -15.1 12.0 -5.4 -6.4 -2.5 10.5 -0.7 4.0 -6.6 -2.0 -13.8 5.0 -12.0 5.1 -3.9 -4.6 -1.6 -8.1 1.7 -6.9 0.1 -6.0 -2.4 5.3 -4.0 -18.1 -15.0 -20.0 -20.0 GASOLINE -10.9 1.8 -9.6 -4.3 1.5 -1.4 -5.9 1.4 -6.8 -0.7 6.9 -15.3 13.9 0.0 -5.1 20.0 20.0 20.0 20.0 -3.8 1.6 -8.3 8.9 -8.2 -20.0 -4.5 2.9 -1.9 -4.8 3.3 -5.7 20.0 2.0 8.0 3.6 -5.0 20.0 20.0 20.0 20.0 GAS_US_mini -18.2 -18.0 18.8 -2.3 0.8 -0.7 -3.1 0.7 -3.6 -9.8 -10.8 -11.5 -11.5 -12.4 -11.0 -18.6 -20.0 -20.0 -20.0 -12.3 -9.7 -10.2 -15.0 -14.3 20.0 -3.1 -2.3 -2.4 -3.4 -3.6 -4.1 -20.0 4.7 2.4 -10.8 8.5 -3.7 -9.5 -10.0 -17.2 GBP 7.4 6.6 7.9 -3.4 -3.3 -2.3 -8.3 0.0 -5.8 -17.5 17.2 -1.4 8.7 9.6 18.2 -0.6 -0.8 -0.8 -0.8 14.8 12.6 -4.0 9.2 8.7 -0.2 6.9 -4.1 6.4 -1.8 4.9 4.0 3.1 -2.6 20.0 20.0 20.0 5.1 -20.0 3.5 -13.1 GOLD_micro 5.5 -0.8 1.7 -3.5 0.4 -1.9 -2.1 -0.6 -3.6 3.5 9.1 -0.9 9.9 2.1 3.6 -11.6 -13.4 -11.8 -12.5 6.3 9.9 3.0 11.8 3.8 -4.3 0.7 4.5 4.0 1.0 6.7 0.1 -13.0 2.0 20.0 19.5 14.9 7.2 -5.1 16.3 1.4 HEATOIL -15.3 3.7 -11.2 -4.3 1.5 -1.4 -5.8 1.4 -6.7 -4.7 -5.3 -18.2 5.8 -6.4 -7.1 -5.2 8.6 -4.8 0.5 -8.4 -4.9 -16.0 1.0 -13.9 -20.0 -5.9 -2.8 -4.6 -7.1 -0.4 -6.8 -4.5 -7.8 -6.5 2.9 -15.3 0.5 6.7 -9.8 2.5 JGB-SGX-mini 7.0 1.3 -11.5 2.3 5.1 0.8 3.9 -0.7 3.2 -1.2 -6.4 1.8 -2.4 -2.2 -4.8 20.0 19.3 20.0 20.0 -3.2 -4.9 0.7 -3.4 -0.7 -9.5 -1.9 -0.4 -3.3 0.5 -3.1 -0.3 20.0 -10.2 -6.5 -7.4 -14.7 -2.5 -4.6 1.6 16.9 JPY 20.0 13.8 -5.3 -1.4 -1.4 -1.0 -3.6 0.0 -2.5 9.9 -9.1 10.8 -10.9 7.5 -1.7 -14.2 -16.1 -15.1 -15.5 0.8 -8.3 18.7 -14.0 11.6 20.0 0.4 7.3 -2.7 6.4 -4.3 4.1 -20.0 20.0 20.0 6.5 -9.9 -20.0 -14.7 -20.0 -13.7 LEANHOG 20.0 -7.5 -20.0 -3.7 -3.5 -2.6 -3.3 -1.6 -3.4 -2.1 -8.7 8.0 -7.0 1.1 -8.9 20.0 1.9 20.0 20.0 -10.8 -13.2 4.2 -9.9 0.1 4.0 -2.9 -0.7 -3.4 1.1 -2.3 0.1 18.0 19.7 9.0 -1.5 -20.0 -4.3 -8.1 0.4 3.1 LIVECOW -1.1 17.0 15.1 -6.5 -6.1 -4.5 -5.7 -2.8 -6.0 9.4 20.0 12.2 10.0 19.2 20.0 0.5 9.1 9.4 12.0 20.0 20.0 15.0 14.2 20.0 -12.8 8.0 1.6 7.6 5.2 6.7 6.7 15.0 20.0 15.9 20.0 20.0 0.1 20.0 4.9 20.0 LUMBER-new 19.2 -1.1 -15.0 -2.7 -2.5 -1.9 -2.4 -1.1 -2.5 7.5 -8.2 7.8 -8.3 -0.2 -6.9 -15.3 -17.2 -16.4 -17.1 -5.7 -9.4 6.3 -8.0 1.6 NaN -1.8 3.0 -4.0 2.6 -3.4 1.3 -20.0 19.5 11.6 8.6 -19.8 1.9 -5.1 7.4 -2.2 MILK 1.3 2.8 20.0 -4.6 -4.3 -3.2 -4.1 -2.0 -4.3 6.6 11.8 13.5 -1.2 2.7 13.1 -9.6 -20.0 -17.5 -20.0 14.4 15.0 9.8 2.5 10.4 19.0 4.7 1.4 5.1 3.3 0.3 3.1 -20.0 20.0 17.8 20.0 20.0 -5.7 -20.0 -1.5 -20.0 MXP 1.5 -8.9 -20.0 -1.6 -1.5 -1.1 -3.8 0.0 -2.7 -7.0 -4.3 -9.2 2.8 -5.1 -6.3 10.6 15.1 11.7 13.2 -8.5 -6.0 -12.9 1.0 -9.5 -20.0 -3.0 -2.9 -2.1 -3.7 0.4 -3.0 20.0 -15.4 -6.7 -16.3 -17.1 17.0 13.0 20.0 19.9 NASDAQ_micro -20.0 -14.7 -2.0 3.2 2.5 3.9 0.8 4.1 1.8 -1.6 8.2 -8.0 10.8 -4.7 4.9 -9.7 -10.8 -10.9 -11.0 2.1 8.4 -11.3 11.0 -7.4 -20.0 0.9 -1.0 3.2 -3.8 4.5 -2.4 -8.0 -20.0 -20.0 -2.1 4.6 3.0 6.1 -4.1 5.5 NIKKEI -20.0 -4.6 -9.5 3.9 3.0 4.8 1.0 5.0 2.2 -2.9 8.8 -9.4 11.6 -6.4 -0.3 13.6 10.5 12.1 10.6 0.6 8.2 -15.3 14.3 -9.8 -14.5 0.7 -1.8 3.2 -5.0 5.5 -2.8 20.0 -20.0 -20.0 -9.0 -9.6 6.9 -3.9 -1.8 -7.9 NZD -20.0 -10.8 3.3 -2.5 -2.4 -1.7 -6.1 0.0 -4.3 -5.6 -6.3 -14.5 -3.3 -16.5 -6.3 -0.2 0.1 -0.1 0.0 -12.1 -4.4 -19.1 -2.6 -20.0 0.4 -4.6 -0.2 -1.6 -7.1 -0.6 -7.9 4.6 -13.5 -20.0 -17.3 2.9 8.5 -5.1 7.2 0.2 OAT 16.4 3.1 -7.5 2.9 6.5 1.0 5.0 -0.9 4.1 11.1 -8.0 11.6 -3.6 8.1 -1.4 0.1 3.9 0.6 2.1 0.4 -4.2 10.2 -5.4 6.7 2.1 0.6 7.9 -1.3 6.1 -1.3 3.9 11.1 0.7 1.4 -11.6 -8.6 -20.0 -19.9 -9.8 -3.2 OATIES 13.1 -19.7 -1.8 -2.3 -2.2 -1.6 -2.1 -1.0 -2.2 -3.9 -6.9 -0.9 -7.7 -6.3 -7.2 3.9 1.0 1.9 2.3 -7.9 -8.3 -2.0 -6.9 -4.2 -20.0 -2.2 -0.6 -1.9 -0.7 -1.3 -1.4 -0.9 6.0 -0.6 -11.9 0.7 4.4 -1.0 14.9 9.4 OJ -7.8 -3.9 -2.7 -3.9 -3.7 -2.7 -3.4 -1.7 -3.6 -10.3 10.1 -10.3 12.4 -3.3 6.7 7.7 12.0 8.8 9.5 7.8 15.5 -7.3 20.0 -1.5 -20.0 2.1 -3.2 5.8 -2.8 10.1 -1.3 14.7 -4.6 1.0 3.7 20.0 11.9 10.4 20.0 20.0 PALLAD -12.0 5.0 4.2 -2.6 0.3 -1.5 -1.6 -0.4 -2.7 2.4 -7.1 -7.5 -8.6 -7.0 -6.8 -1.6 -2.1 -1.8 -1.9 -4.3 -4.6 -4.7 -8.6 -5.5 14.5 -2.6 0.9 -2.6 -2.0 -3.3 -2.7 6.0 1.8 2.8 11.9 -0.5 -20.0 -20.0 -20.0 -20.0 PLAT -12.0 -7.8 6.4 -4.0 0.5 -2.2 -2.4 -0.6 -4.1 7.1 -1.3 -7.8 -4.2 -9.4 -5.9 -5.4 -4.4 -5.2 -4.9 -4.5 0.4 -3.9 1.1 -8.1 7.6 -3.5 3.3 -1.2 -1.6 0.2 -4.1 1.4 1.8 2.2 5.6 10.2 -17.0 -10.2 -6.3 2.3 REDWHEAT -7.4 -20.0 4.9 -3.6 -3.4 -2.5 -3.2 -1.6 -3.4 -9.5 -9.5 -10.9 -11.3 -13.2 -12.6 -10.5 -4.8 -9.8 -7.5 -17.0 -11.8 -10.5 -11.2 -15.8 -5.3 -3.8 -1.9 -2.5 -2.5 -2.1 -3.6 -13.8 0.3 -15.4 -20.0 5.0 -17.5 -20.0 -11.8 -17.8 RICE -1.0 -16.6 4.8 -4.8 -4.5 -3.3 -4.2 -2.1 -4.5 15.9 10.4 14.0 13.3 0.0 9.2 2.6 20.0 20.0 20.0 -1.3 3.9 19.2 10.0 4.7 -10.9 2.1 10.1 2.3 9.8 2.8 4.8 20.0 20.0 20.0 19.0 20.0 -20.0 -10.1 -20.0 -8.7 ROBUSTA 1.3 1.4 12.2 -2.9 -2.7 -2.0 -2.5 -1.2 -2.7 -9.7 9.7 -1.6 10.1 2.7 8.1 20.0 20.0 20.0 20.0 12.5 18.3 -6.7 20.0 3.5 -20.0 3.4 -2.6 5.7 -1.5 7.4 1.0 20.0 -14.5 18.6 20.0 20.0 3.1 -5.8 10.0 3.0 RUSSELL 20.0 11.0 2.7 3.4 2.7 4.2 0.9 4.4 1.9 9.5 8.9 10.6 9.3 9.8 8.2 -6.4 -6.8 -6.9 -6.9 12.8 8.0 16.1 5.6 16.9 -1.0 3.8 3.3 2.6 3.7 1.9 4.4 -1.0 14.7 20.0 11.7 3.6 3.3 -20.0 -0.3 -20.0 SHATZ 18.5 16.8 5.4 2.1 4.7 0.7 3.6 -0.6 2.9 8.3 -5.7 9.0 -7.1 8.2 5.3 -20.0 -20.0 -20.0 -20.0 5.3 -2.0 13.1 -8.5 10.4 7.1 2.0 4.8 -0.3 4.6 -2.0 3.7 -20.0 10.7 3.1 6.0 -3.1 -20.0 -15.0 -17.7 -11.3 SILVER-mini -16.5 -7.8 6.9 -3.1 0.4 -1.7 -1.9 -0.5 -3.2 -2.0 5.6 -7.8 6.1 -7.8 -0.3 -5.6 -6.4 -5.9 -6.1 -1.1 5.8 -9.3 7.5 -8.3 2.3 -2.1 -0.1 0.8 -3.3 2.4 -3.8 -1.4 -7.9 2.5 3.3 12.3 0.8 -6.6 7.5 5.6 SMI -0.5 -2.5 16.0 5.4 4.3 6.7 1.4 7.1 3.1 13.8 18.2 7.5 17.9 8.5 16.9 -3.4 0.7 -3.2 -1.5 15.8 20.0 7.6 20.0 9.6 15.0 6.8 5.4 9.6 3.4 9.6 4.3 10.5 9.3 3.9 -6.3 12.9 4.5 2.0 -3.5 0.1 SOFR 12.4 16.3 10.9 3.4 7.7 1.2 6.0 -1.0 4.8 13.4 1.4 14.0 -2.3 14.1 13.3 -0.9 -1.3 -1.8 -1.7 12.7 6.2 13.4 -1.4 13.8 -4.4 4.6 6.4 3.3 4.9 1.1 4.5 3.3 -0.9 -1.9 3.1 6.2 9.9 -14.0 20.0 3.9 SOYBEAN -7.8 -17.6 -4.2 -2.6 -2.5 -1.8 -2.3 -1.1 -2.4 -7.8 -9.0 -8.2 -6.9 -8.8 -9.1 -4.0 5.1 -2.3 0.2 -12.4 -10.2 -10.2 -7.5 -11.6 -18.6 -3.2 -2.7 -2.5 -2.4 -1.7 -2.9 0.9 0.5 -19.1 -13.4 -8.4 -9.6 -20.0 -4.1 -20.0 SOYMEAL -0.8 -19.4 -1.3 -2.9 -2.7 -2.0 -2.5 -1.2 -2.7 -0.9 -9.3 -1.0 -8.8 -6.6 -8.7 1.2 6.6 4.7 4.4 -10.6 -9.7 -1.9 -8.0 -6.8 -20.0 -2.6 -1.1 -2.0 -0.3 -1.3 -1.8 5.3 12.5 -8.1 -8.1 4.8 -20.0 -20.0 -20.0 -20.0 SOYOIL -13.9 8.2 5.4 -2.3 -2.1 -1.6 -2.0 -1.0 -2.1 -6.2 -6.1 -7.6 -7.6 -6.1 -5.4 5.3 0.9 2.5 0.2 -3.8 -4.2 -9.1 -5.8 -6.3 -19.0 -2.1 -3.3 -2.1 -3.9 -2.2 -2.9 -3.4 -6.9 -12.3 3.7 -6.9 -10.5 -12.7 0.7 -2.0 SP400 20.0 0.8 -5.0 3.8 3.0 4.7 1.0 4.9 2.2 11.3 9.3 9.3 10.8 7.4 5.7 -4.6 -5.8 -5.5 -5.7 8.2 7.0 15.1 8.2 12.2 -10.6 4.1 5.9 3.6 4.9 3.7 4.9 1.0 15.3 20.0 2.4 -2.7 4.8 -9.7 1.9 -20.0 SP500_micro -20.0 -10.8 0.7 4.7 3.7 5.8 1.2 6.1 2.7 3.3 15.3 -8.0 16.9 -0.3 11.3 -12.9 -12.8 -13.8 -13.4 8.8 16.5 -6.6 19.8 -2.0 -20.0 3.6 1.1 6.8 -3.2 8.3 -1.0 -11.7 -20.0 -20.0 2.4 7.4 11.6 2.7 1.1 2.7 SUGAR11 -13.4 11.9 -6.5 -3.9 -3.7 -2.7 -3.5 -1.7 -3.7 10.0 -11.2 -3.6 -9.6 -4.6 -7.5 -4.4 8.2 -2.0 2.4 -6.2 -9.3 -1.3 -8.7 -6.0 -20.0 -2.3 3.8 -4.2 -0.1 -4.0 -1.9 6.0 -3.2 -12.3 20.0 -12.5 0.1 20.0 4.6 20.0 US10 10.2 13.2 10.0 2.9 6.4 1.0 5.0 -0.9 4.0 10.9 -0.8 11.1 -5.6 11.0 10.1 -7.7 -7.4 -7.3 -7.2 7.8 2.6 10.6 -4.7 9.4 3.0 3.6 6.9 2.4 4.7 0.0 3.7 -6.8 -0.3 -3.5 -0.2 3.5 6.2 -19.8 15.7 2.9 US10U 7.7 10.5 10.4 3.7 8.2 1.3 6.4 -1.1 5.1 13.8 -2.4 13.6 -6.9 13.3 12.3 -4.1 -2.9 -4.5 -4.0 7.6 2.0 11.4 -6.6 9.3 0.2 4.2 9.1 2.9 5.7 -0.0 4.1 0.0 -2.4 -7.5 -3.1 3.4 6.6 -16.0 20.0 12.3 US2 19.0 19.1 4.7 3.0 6.7 1.0 5.2 -0.9 4.2 10.9 -5.9 11.3 -10.7 11.6 8.7 -20.0 -20.0 -20.0 -20.0 9.7 -0.8 11.6 -12.9 13.2 18.1 3.3 5.2 0.5 4.4 -2.4 4.3 -20.0 -3.0 1.0 2.4 -1.7 3.9 -20.0 7.7 -10.9 US20 4.5 7.0 10.7 2.4 5.4 0.8 4.2 -0.7 3.4 8.8 -0.7 8.0 -2.2 7.3 7.6 -0.9 -0.8 -0.8 -0.7 3.6 1.5 6.3 -2.9 4.2 -1.5 2.6 5.7 2.6 3.1 0.9 2.0 4.6 -3.1 -6.8 -3.1 3.7 5.2 -10.0 20.0 19.6 US30 2.1 5.0 10.3 2.7 5.9 0.9 4.6 -0.8 3.7 9.0 -2.4 7.1 -3.8 4.3 5.8 -3.5 -5.0 -4.3 -4.7 2.1 0.3 4.7 -4.2 2.5 -0.8 2.2 5.7 2.3 2.7 0.4 1.5 -2.6 -6.0 -10.3 -5.4 2.0 2.1 -9.3 12.7 20.0 US5 13.7 16.1 9.1 3.2 7.0 1.1 5.5 -1.0 4.4 12.0 -2.5 12.5 -8.7 12.6 10.9 -12.6 -10.6 -11.4 -10.8 10.2 2.6 12.6 -6.8 12.4 7.9 4.0 6.9 2.1 5.1 -0.5 4.4 -12.5 -0.5 -1.1 1.7 2.8 6.4 -19.6 13.2 -3.9 VIX 16.4 16.3 6.1 -3.9 -1.9 -8.4 3.5 -11.7 1.7 -7.5 -20.0 2.4 -20.0 0.9 -17.7 -20.0 -20.0 -20.0 -20.0 -4.9 -14.1 3.1 -20.0 2.6 NaN -4.6 -2.3 -10.0 3.6 -14.2 1.7 NaN NaN NaN NaN NaN -15.3 -20.0 NaN NaN WHEAT -11.3 -20.0 6.3 -2.6 -2.4 -1.8 -2.3 -1.1 -2.4 -6.6 -6.4 -8.4 -7.3 -9.5 -9.0 -15.7 -14.5 -15.9 -15.5 -13.0 -8.4 -8.4 -7.0 -12.5 1.1 -2.7 -1.2 -1.6 -1.8 -1.1 -2.7 -20.0 -0.4 -14.4 -20.0 2.8 -15.7 -20.0 -13.2 -20.0 End of report for caleb_strategy_v3