******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240802_203931 produced at 2024-08-02 21:38:17.515377 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 CAD False False 0.02 -0.09 -0.17 0.0 0.69 -0.69 -0.09 -0.09 -7.21 29.0 -4 -4 caleb_strategy_v3 VIX False False 0.01 -0.17 -0.15 0.0 999.00 -999.00 -0.17 -0.16 -22.75 999999999.0 -27 -25 caleb_strategy_v3 MXP False False 0.01 -0.09 -0.13 0.0 0.51 -0.51 -0.09 -0.10 -14.78 60.0 -11 -12 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.06 0.0 999.00 -999.00 -0.03 -0.03 -1.65 999999999.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.06 0.0 0.32 -0.32 0.00 -0.04 -1.55 8.0 0 -1 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.05 0.0 0.10 -0.10 -0.03 -0.06 -1.41 3.0 -1 -2 caleb_strategy_v3 DX False False 0.03 0.00 -0.05 0.0 999.00 -999.00 0.00 0.00 -1.42 999999999.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.32 24.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.93 12.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.04 -0.05 0.0 0.27 -0.27 -0.04 -0.04 -6.29 36.0 -5 -5 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.12 -0.12 -0.06 -0.06 -3.59 11.0 -5 -5 caleb_strategy_v3 CORN False False 0.01 -0.03 -0.04 0.0 0.08 -0.08 -0.03 -0.03 -6.14 12.0 -4 -4 caleb_strategy_v3 AUD False False 0.02 0.00 -0.04 0.0 0.41 -0.41 0.00 0.00 -1.89 19.0 0 0 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.04 0.0 0.41 -0.41 -0.02 -0.02 -2.09 21.0 -1 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.04 0.0 0.04 -0.04 -0.03 -0.03 -21.55 26.0 -17 -17 caleb_strategy_v3 OAT False False 0.04 0.00 -0.03 0.0 0.45 -0.45 0.00 0.00 -0.56 10.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.03 0.0 0.15 -0.15 -0.01 -0.00 -8.64 51.0 -2 -1 caleb_strategy_v3 SP500_micro False False 0.01 -0.07 -0.03 0.0 0.42 -0.42 -0.07 -0.04 -3.15 48.0 -8 -4 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.03 0.0 0.80 -0.80 0.00 0.00 -0.69 19.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 -0.07 -0.03 0.0 0.33 -0.33 -0.07 -0.08 -2.11 20.0 -4 -5 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -12.40 59.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -1.22 4.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.08 -0.08 -0.02 -0.02 -1.99 8.0 -2 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.04 -0.02 0.0 0.28 -0.28 -0.04 -0.02 -2.06 23.0 -3 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.08 -0.02 0.0 0.12 -0.12 -0.08 -0.08 -1.02 7.0 -5 -5 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.04 -1.89 9.0 -4 -4 caleb_strategy_v3 BTP False False 0.04 0.00 -0.02 0.0 0.42 -0.42 0.00 0.00 -0.39 10.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.01 0.0 0.06 -0.06 -0.03 -0.03 -0.30 2.0 -1 -1 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.01 0.0 0.16 -0.16 0.00 0.00 -0.49 10.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -1.93 18.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -2.59 2.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -1.09 10.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -1.10 9.0 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 -2.35 3.0 -2 -2 caleb_strategy_v3 DAX False False 0.01 0.01 -0.01 0.0 0.37 -0.37 0.01 0.01 -1.44 58.0 2 1 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.20 -0.20 0.00 0.00 -0.13 4.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.56 -0.56 0.00 0.00 0.16 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 BUND False False 0.05 0.05 0.00 0.0 0.48 -0.48 0.05 0.05 0.09 10.0 1 1 caleb_strategy_v3 JPY False False 0.03 0.00 0.00 0.0 0.48 -0.48 0.00 0.03 0.15 17.0 0 1 caleb_strategy_v3 SP400 False False 0.10 0.10 -0.00 0.0 0.19 -0.19 0.10 0.00 -0.01 2.0 1 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.00 0.0 0.43 -0.43 0.00 0.00 0.54 66.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 -0.02 -0.00 0.0 999.00 -999.00 -0.02 -0.02 -0.08 999999999.0 -1 -1 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.07 -0.07 0.00 0.00 0.76 5.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.06 -0.06 0.02 0.02 0.52 3.0 1 1 caleb_strategy_v3 US30 False False 0.04 0.00 0.01 0.0 0.26 -0.26 0.00 0.04 0.13 6.0 0 1 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.45 999999999.0 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 RUSSELL False False 0.00 0.00 0.01 0.0 0.24 -0.24 0.00 0.00 2.67 68.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.19 0.02 0.0 0.50 -0.50 0.19 0.16 0.64 13.0 5 4 caleb_strategy_v3 RICE False False 0.01 0.00 0.02 0.0 0.04 -0.04 0.00 0.00 1.63 4.0 0 0 caleb_strategy_v3 CHF False False 0.05 0.05 0.02 0.0 0.62 -0.62 0.05 0.05 0.45 13.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.02 0.0 0.12 -0.12 0.05 0.07 0.94 5.0 2 3 caleb_strategy_v3 LEANHOG False False 0.01 0.00 0.02 0.0 0.13 -0.13 0.00 0.01 1.62 13.0 0 1 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.40 9.0 0 0 caleb_strategy_v3 EUR False False 0.04 -0.04 0.03 0.0 0.63 -0.63 -0.04 0.00 0.59 14.0 -1 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.03 0.03 0.0 0.45 -0.45 0.03 0.03 3.47 56.0 4 4 caleb_strategy_v3 US10 False False 0.04 0.00 0.03 0.0 0.64 -0.64 0.00 0.00 0.69 17.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.04 0.04 0.0 0.90 -0.90 0.04 0.04 1.11 25.0 1 1 caleb_strategy_v3 GBP False False 0.03 0.00 0.04 0.0 0.58 -0.58 0.00 0.00 1.42 22.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 0.07 0.0 0.00 0.00 0.00 0.00 1.08 13.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.07 0.07 0.0 0.41 -0.41 0.07 0.07 2.81 17.0 3 3 caleb_strategy_v3 SMI False True 0.04 0.00 0.11 0.0 0.00 0.00 0.00 0.00 2.39 9.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.00 0.14 0.0 0.51 -0.51 0.00 0.00 4.32 16.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.50 0.0 0.87 -0.87 0.00 0.00 5.81 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.09 0.0 0.00 0.00 0.00 0.00 13.75 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.5 Shocked risk 16.5 Sum abs risk 37.8 Leverage 3.71 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3052370.36, 'annual_cash_vol_target': 763092.59, 'daily_cash_vol_target': 47693.286875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0034 0.6525 0.5204 8.3258 BITCOIN 1642.1692 63230.0000 2.5971 41.5542 BOBL 0.2428 118.4000 0.2051 3.2808 BTP 0.4889 119.2200 0.4101 6.5616 BUND 0.4878 135.3000 0.3605 5.7686 BUXL 1.1999 137.9200 0.8700 13.9198 CAC 70.7883 7281.0000 0.9722 15.5557 CAD 0.0024 0.7222 0.3265 5.2236 CANOLA 9.8873 621.1000 1.5919 25.4705 CHF 0.0059 1.1700 0.5001 8.0010 COCOA 254.1715 6556.0000 3.8769 62.0309 COFFEE 3.9906 228.8500 1.7438 27.9002 COPPER 0.0610 4.1165 1.4819 23.7105 CORN 6.0243 403.7500 1.4921 23.8734 COTTON2 0.9781 68.3300 1.4315 22.9035 CRUDE_W 1.2365 71.5300 1.7286 27.6582 DAX 165.0657 17803.0000 0.9272 14.8349 DOW 314.9243 39743.0000 0.7924 12.6784 DX 0.4016 103.0050 0.3899 6.2384 EUR 0.0047 1.0936 0.4279 6.8463 EURIBOR-ICE 0.0434 97.8650 0.0443 0.7094 EUROSTX 50.5362 4675.0000 1.0810 17.2958 FEEDCOW 1.9800 244.7500 0.8090 12.9440 GASOIL 12.1513 713.5000 1.7031 27.2490 GASOLINE 0.0389 2.0748 1.8739 29.9819 GAS_US_mini 0.0851 2.0850 4.0832 65.3318 GBP 0.0059 1.2813 0.4612 7.3786 GOLD_micro 20.7435 2448.8000 0.8471 13.5534 HEATOIL 0.0405 2.3447 1.7258 27.6126 JGB-SGX-mini 0.4060 144.8000 0.2804 4.4864 JPY 0.0001 0.0069 0.7319 11.7104 LEANHOG 1.2898 76.5500 1.6849 26.9590 LIVECOW 1.3209 181.9250 0.7260 11.6168 LUMBER-new 8.7406 518.0000 1.6874 26.9981 MILK 0.2475 20.6400 1.1991 19.1848 MXP 0.0005 0.0518 0.9309 14.8941 NASDAQ_micro 258.0286 18514.7500 1.3936 22.2982 NIKKEI 692.8615 34760.0000 1.9933 31.8924 NZD 0.0035 0.5961 0.5840 9.3445 OAT 0.4482 126.5400 0.3542 5.6669 OATIES 6.3123 315.7500 1.9991 31.9863 OJ 7.2899 421.4500 1.7297 27.6754 PALLAD 22.3993 884.5000 2.5324 40.5188 PLAT 14.4785 967.9000 1.4959 23.9339 REDWHEAT 10.2190 578.7500 1.7657 28.2511 RICE 0.1567 15.1700 1.0326 16.5224 ROBUSTA 66.2054 4089.0000 1.6191 25.9057 RUSSELL 32.1586 2119.8000 1.5171 24.2729 SHATZ 0.0850 106.4350 0.0799 1.2785 SILVER-mini 0.4963 28.9875 1.7122 27.3960 SMI 79.4150 11881.0000 0.6684 10.6947 SOFR 0.0658 96.9650 0.0679 1.0861 SOYBEAN 13.6962 1029.0000 1.3310 21.2963 SOYMEAL 4.9415 324.8000 1.5214 24.3425 SOYOIL 0.7697 40.8400 1.8847 30.1553 SP400 34.4951 2958.2000 1.1661 18.6573 SP500_micro 48.6661 5363.5000 0.9074 14.5177 SUGAR11 0.3235 18.4900 1.7494 27.9899 US10 0.4281 114.0625 0.3753 6.0049 US10U 0.5818 118.3750 0.4915 7.8643 US2 0.1282 103.5664 0.1237 1.9798 US20 0.8993 124.9688 0.7196 11.5143 US30 1.3613 133.5625 1.0192 16.3079 US5 0.2834 109.5469 0.2587 4.1386 VIX 0.5611 19.5000 2.8777 46.0424 WHEAT 10.0969 563.5000 1.7918 28.6691 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 652.50 0.52 339.54 1.00 339.54 47693.29 140.47 -5.19 -72.90 BITCOIN 63.23 2.60 164.22 1.00 164.22 47693.29 290.43 -3.94 -114.54 BOBL 1184.00 0.21 242.78 1.08 262.86 47693.29 181.44 -3.76 -68.31 BTP 1192.20 0.41 488.92 1.08 529.36 47693.29 90.10 -1.27 -11.44 BUND 1353.00 0.36 487.81 1.08 528.15 47693.29 90.30 0.99 8.92 BUXL 1379.20 0.87 1199.88 1.08 1299.11 47693.29 36.71 -3.54 -12.98 CAC 728.10 0.97 707.88 1.08 766.43 47693.29 62.23 -9.08 -56.50 CAD 722.25 0.33 235.80 1.00 235.80 47693.29 202.27 -13.73 -277.72 CANOLA 124.22 1.59 197.75 0.72 143.17 47693.29 333.12 -10.66 -355.19 CHF 1462.44 0.50 731.31 1.00 731.31 47693.29 65.22 2.66 17.34 COCOA 655.60 3.88 2541.72 1.00 2541.72 47693.29 18.76 3.90 7.32 COFFEE 858.19 1.74 1496.48 1.00 1496.48 47693.29 31.87 1.67 5.32 COPPER 1029.12 1.48 1525.06 1.00 1525.06 47693.29 31.27 -4.86 -15.20 CORN 201.88 1.49 301.22 1.00 301.22 47693.29 158.34 -15.93 -252.24 COTTON2 341.65 1.43 489.06 1.00 489.06 47693.29 97.52 -17.17 -167.47 CRUDE_W 715.30 1.73 1236.50 1.00 1236.50 47693.29 38.57 2.25 8.67 DAX 178.03 0.93 165.07 1.08 178.72 47693.29 266.87 -1.59 -42.31 DOW 198.72 0.79 157.46 1.00 157.46 47693.29 302.89 0.77 23.36 DX 1030.05 0.39 401.62 1.00 401.62 47693.29 118.75 -4.61 -54.79 EUR 1367.06 0.43 584.96 1.00 584.96 47693.29 81.53 2.77 22.56 EURIBOR-ICE 2446.62 0.04 108.47 1.08 117.44 47693.29 406.09 4.19 170.21 EUROSTX 467.50 1.08 505.36 1.08 547.16 47693.29 87.17 -7.10 -61.91 FEEDCOW 1223.75 0.81 990.01 1.00 990.01 47693.29 48.17 -9.70 -46.72 GASOIL 713.50 1.70 1215.13 1.00 1215.13 47693.29 39.25 -7.14 -28.04 GASOLINE 871.42 1.87 1632.92 1.00 1632.92 47693.29 29.21 3.55 10.38 GAS_US_mini 52.12 4.08 212.84 1.00 212.84 47693.29 224.08 -8.88 -199.02 GBP 800.81 0.46 369.30 1.00 369.30 47693.29 129.14 4.24 54.73 GOLD_micro 244.88 0.85 207.43 1.00 207.43 47693.29 229.92 4.42 101.73 HEATOIL 984.77 1.73 1699.51 1.00 1699.51 47693.29 28.06 -11.63 -32.64 JGB-SGX-mini 144800.00 0.28 40601.61 0.01 271.28 47693.29 175.81 2.27 39.91 JPY 859.00 0.73 628.70 1.00 628.70 47693.29 75.86 0.77 5.81 LEANHOG 306.20 1.68 515.93 1.00 515.93 47693.29 92.44 2.88 26.64 LIVECOW 727.70 0.73 528.35 1.00 528.35 47693.29 90.27 9.38 84.71 LUMBER-new 142.45 1.69 240.37 1.00 240.37 47693.29 198.42 -5.52 -109.54 MILK 412.80 1.20 494.97 1.00 494.97 47693.29 96.36 3.67 35.35 MXP 258.95 0.93 241.05 1.00 241.05 47693.29 197.86 -5.09 -100.70 NASDAQ_micro 370.30 1.39 516.06 1.00 516.06 47693.29 92.42 -9.58 -88.55 NIKKEI 34760.00 1.99 69286.15 0.01 462.94 47693.29 103.02 -5.64 -58.08 NZD 596.10 0.58 348.14 1.00 348.14 47693.29 136.99 -5.89 -80.64 OAT 1265.40 0.35 448.18 1.08 485.25 47693.29 98.29 -1.68 -16.54 OATIES 157.88 2.00 315.61 1.00 315.61 47693.29 151.11 -7.05 -106.52 OJ 632.18 1.73 1093.48 1.00 1093.48 47693.29 43.62 5.62 24.51 PALLAD 884.50 2.53 2239.93 1.00 2239.93 47693.29 21.29 -4.18 -8.90 PLAT 483.95 1.50 723.93 1.00 723.93 47693.29 65.88 -2.20 -14.47 REDWHEAT 289.38 1.77 510.95 1.00 510.95 47693.29 93.34 -16.08 -150.08 RICE 303.40 1.03 313.31 1.00 313.31 47693.29 152.23 4.39 66.83 ROBUSTA 408.90 1.62 662.05 1.00 662.05 47693.29 72.04 7.47 53.79 RUSSELL 105.99 1.52 160.79 1.00 160.79 47693.29 296.61 2.72 80.68 SHATZ 1064.35 0.08 85.05 1.08 92.08 47693.29 517.95 -2.51 -130.01 SILVER-mini 724.69 1.71 1240.85 1.00 1240.85 47693.29 38.44 -0.63 -2.43 SMI 1188.10 0.67 794.15 1.14 905.53 47693.29 52.67 13.32 70.14 SOFR 2424.12 0.07 164.56 1.00 164.56 47693.29 289.83 7.81 226.22 SOYBEAN 514.50 1.33 684.81 1.00 684.81 47693.29 69.64 -15.80 -110.07 SOYMEAL 324.80 1.52 494.15 1.00 494.15 47693.29 96.52 -12.30 -118.67 SOYOIL 245.04 1.88 461.83 1.00 461.83 47693.29 103.27 -11.39 -117.60 SP400 2958.20 1.17 3449.51 1.00 3449.51 47693.29 13.83 -0.32 -0.45 SP500_micro 268.18 0.91 243.33 1.00 243.33 47693.29 196.00 -6.92 -135.60 SUGAR11 207.09 1.75 362.27 1.00 362.27 47693.29 131.65 -6.90 -90.85 US10 1140.62 0.38 428.08 1.00 428.08 47693.29 111.41 4.87 54.21 US10U 1183.75 0.49 581.84 1.00 581.84 47693.29 81.97 6.18 50.62 US2 2071.33 0.12 256.30 1.00 256.30 47693.29 186.08 4.58 85.22 US20 1249.69 0.72 899.33 1.00 899.33 47693.29 53.03 6.02 31.93 US30 1335.62 1.02 1361.33 1.00 1361.33 47693.29 35.03 2.88 10.10 US5 1095.47 0.26 283.35 1.00 283.35 47693.29 168.32 5.19 87.36 VIX 195.00 2.88 561.14 1.00 561.14 47693.29 84.99 -10.84 -92.15 WHEAT 281.75 1.79 504.84 1.00 504.84 47693.29 94.47 -15.05 -142.14 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -72.900 0.010 2.5 -1.891 BITCOIN -114.536 0.043 2.5 -12.403 BOBL -68.309 0.004 2.5 -0.693 BTP -11.438 0.014 2.5 -0.390 BUND 8.915 0.004 2.5 0.090 BUXL -12.981 0.004 2.5 -0.132 CAC -56.504 0.014 2.5 -1.927 CAD -277.722 0.010 2.5 -7.206 CANOLA -355.187 0.010 2.5 -8.641 CHF 17.340 0.010 2.5 0.450 COCOA 7.315 0.009 2.5 0.157 COFFEE 5.324 0.005 2.5 0.062 COPPER -15.199 0.043 2.5 -1.646 CORN -252.235 0.010 2.5 -6.137 COTTON2 -167.472 0.009 2.5 -3.587 CRUDE_W 8.673 0.043 2.5 0.939 DAX -42.308 0.014 2.5 -1.443 DOW 23.356 0.009 2.5 0.543 DX -54.786 0.010 2.5 -1.421 EUR 22.557 0.010 2.5 0.585 EURIBOR-ICE 170.212 0.014 2.5 5.806 EUROSTX -61.910 0.014 2.5 -2.112 FEEDCOW -46.722 0.013 2.5 -1.548 GASOIL -28.042 0.017 2.5 -1.216 GASOLINE 10.377 0.017 2.5 0.450 GAS_US_mini -199.023 0.043 2.5 -21.552 GBP 54.730 0.010 2.5 1.420 GOLD_micro 101.729 0.014 2.5 3.470 HEATOIL -32.638 0.017 2.5 -1.415 JGB-SGX-mini 39.905 0.043 2.5 4.321 JPY 5.808 0.010 2.5 0.151 LEANHOG 26.641 0.024 2.5 1.619 LIVECOW 84.707 0.013 2.5 2.807 LUMBER-new -109.537 0.009 2.5 -2.345 MILK 35.351 0.009 2.5 0.757 MXP -100.702 0.059 2.5 -14.780 NASDAQ_micro -88.550 0.009 2.5 -2.058 NIKKEI -58.076 0.043 2.5 -6.289 NZD -80.641 0.010 2.5 -2.092 OAT -16.544 0.014 2.5 -0.564 OATIES -106.522 0.010 2.5 -2.592 OJ 24.512 0.009 2.5 0.525 PALLAD -8.901 0.014 2.5 -0.304 PLAT -14.474 0.014 2.5 -0.494 REDWHEAT -150.075 0.005 2.5 -1.991 RICE 66.835 0.010 2.5 1.626 ROBUSTA 53.793 0.005 2.5 0.628 RUSSELL 80.682 0.013 2.5 2.674 SHATZ -130.014 0.004 2.5 -1.318 SILVER-mini -2.426 0.014 2.5 -0.083 SMI 70.138 0.014 2.5 2.392 SOFR 226.224 0.024 2.5 13.749 SOYBEAN -110.072 0.004 2.5 -1.024 SOYMEAL -118.667 0.004 2.5 -1.104 SOYOIL -117.600 0.004 2.5 -1.095 SP400 -0.447 0.013 2.5 -0.015 SP500_micro -135.602 0.009 2.5 -3.151 SUGAR11 -90.847 0.009 2.5 -1.932 US10 54.208 0.005 2.5 0.687 US10U 50.623 0.005 2.5 0.641 US2 85.219 0.005 2.5 1.080 US20 31.928 0.005 2.5 0.405 US30 10.095 0.005 2.5 0.128 US5 87.364 0.005 2.5 1.107 VIX -92.145 0.099 2.5 -22.745 WHEAT -142.139 0.005 2.5 -1.886 ===================== Position diags ===================== AUD 3.64 BITCOIN 31.45 BOBL 1.84 BTP 3.07 BUND 0.92 BUXL 0.37 CAC 2.12 CAD 5.25 CANOLA 8.10 CHF 1.69 COCOA 0.40 COFFEE 0.37 COPPER 3.39 CORN 3.85 COTTON2 2.09 CRUDE_W 4.18 DAX 9.10 DOW 7.04 DX 3.08 EUR 2.12 EURIBOR-ICE 13.85 EUROSTX 2.97 FEEDCOW 1.60 GASOIL 1.70 GASOLINE 1.27 GAS_US_mini 24.27 GBP 3.35 GOLD_micro 7.84 HEATOIL 1.22 JGB-SGX-mini 19.04 JPY 1.97 LEANHOG 5.62 LIVECOW 2.99 LUMBER-new 4.25 MILK 2.06 MXP 29.04 NASDAQ_micro 2.15 NIKKEI 11.16 NZD 3.55 OAT 3.35 OATIES 3.68 OJ 0.93 PALLAD 0.73 PLAT 2.25 REDWHEAT 1.24 RICE 3.70 ROBUSTA 0.84 RUSSELL 9.83 SHATZ 5.25 SILVER-mini 1.31 SMI 1.80 SOFR 17.61 SOYBEAN 0.65 SOYMEAL 0.90 SOYOIL 0.96 SP400 0.46 SP500_micro 4.56 SUGAR11 2.80 US10 1.41 US10U 1.04 US2 2.36 US20 0.67 US30 0.44 US5 2.13 VIX 20.98 WHEAT 1.25 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.9 -2.3 -1.5 0.0 0 BITCOIN -12.4 -15.5 -9.3 0.0 0 BOBL -0.7 -0.9 -0.5 0.0 0 BTP -0.4 -0.7 -0.1 0.0 0 BUND 0.1 -0.0 0.2 1.0 1 BUXL -0.1 -0.2 -0.1 0.0 0 CAC -1.9 -2.1 -1.7 0.0 0 CAD -7.2 -7.7 -6.7 -4.0 -4 CANOLA -8.6 -9.5 -7.8 -2.0 -2 CHF 0.4 0.3 0.6 1.0 1 COCOA 0.2 0.1 0.2 0.0 0 COFFEE 0.1 0.0 0.1 0.0 0 COPPER -1.6 -2.0 -1.3 -1.0 -1 CORN -6.1 -6.5 -5.8 -4.0 -4 COTTON2 -3.6 -3.8 -3.4 -5.0 -5 CRUDE_W 0.9 0.5 1.4 2.0 2 DAX -1.4 -2.4 -0.5 2.0 2 DOW 0.5 -0.2 1.2 0.0 0 DX -1.4 -1.7 -1.1 0.0 0 EUR 0.6 0.4 0.8 -1.0 -1 EURIBOR-ICE 5.8 4.4 7.2 0.0 0 EUROSTX -2.1 -2.4 -1.8 -4.0 -4 FEEDCOW -1.5 -1.7 -1.4 0.0 0 GASOIL -1.2 -1.4 -1.0 -1.0 -1 GASOLINE 0.4 0.3 0.6 0.0 0 GAS_US_mini -21.6 -24.0 -19.1 -17.0 -17 GBP 1.4 1.1 1.8 0.0 0 GOLD_micro 3.5 2.7 4.3 4.0 4 HEATOIL -1.4 -1.5 -1.3 -1.0 -1 JGB-SGX-mini 4.3 2.4 6.2 0.0 0 JPY 0.2 -0.0 0.3 0.0 0 LEANHOG 1.6 1.1 2.2 0.0 0 LIVECOW 2.8 2.5 3.1 3.0 3 LUMBER-new -2.3 -2.8 -1.9 -2.0 -2 MILK 0.8 0.6 1.0 NaN 0 MXP -14.8 -17.7 -11.9 -11.0 -11 NASDAQ_micro -2.1 -2.3 -1.8 -3.0 -3 NIKKEI -6.3 -7.4 -5.2 -5.0 -5 NZD -2.1 -2.4 -1.7 -1.0 -1 OAT -0.6 -0.9 -0.2 0.0 0 OATIES -2.6 -3.0 -2.2 NaN 0 OJ 0.5 0.4 0.6 1.0 1 PALLAD -0.3 -0.4 -0.2 -1.0 -1 PLAT -0.5 -0.7 -0.3 0.0 0 REDWHEAT -2.0 -2.1 -1.9 -2.0 -2 RICE 1.6 1.3 2.0 NaN 0 ROBUSTA 0.6 0.5 0.7 1.0 1 RUSSELL 2.7 1.7 3.7 0.0 0 SHATZ -1.3 -1.8 -0.8 NaN 0 SILVER-mini -0.1 -0.2 0.0 -1.0 -1 SMI 2.4 2.2 2.6 0.0 0 SOFR 13.7 12.0 15.5 NaN 0 SOYBEAN -1.0 -1.1 -1.0 -5.0 -5 SOYMEAL -1.1 -1.2 -1.0 0.0 0 SOYOIL -1.1 -1.2 -1.0 0.0 0 SP400 -0.0 -0.1 0.0 1.0 1 SP500_micro -3.2 -3.6 -2.7 -8.0 -8 SUGAR11 -1.9 -2.2 -1.7 0.0 0 US10 0.7 0.5 0.8 0.0 0 US10U 0.6 0.5 0.7 5.0 5 US2 1.1 0.8 1.3 NaN 0 US20 0.4 0.3 0.5 0.0 0 US30 0.1 0.1 0.2 0.0 0 US5 1.1 0.9 1.3 1.0 1 VIX -22.7 -24.8 -20.6 -27.0 -27 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 -0.6 -0.1 0.2 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 0.0 -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 -0.2 0.3 0.3 -0.2 0.4 -0.0 BITCOIN 0.6 -0.5 -0.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.2 0.2 0.1 0.5 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.0 0.5 0.0 -2.7 0.0 -0.1 0.1 -0.0 0.4 0.0 -0.2 -0.1 0.6 0.6 0.3 -0.7 -0.3 -0.2 -0.1 BOBL 0.6 0.4 0.0 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.2 0.1 -0.2 0.1 0.1 -0.4 -0.3 -0.4 -0.4 0.1 -0.0 0.2 -0.1 0.2 0.6 0.0 0.1 0.0 0.1 -0.0 0.1 -1.1 0.1 0.1 0.1 -0.1 -0.7 -0.6 -0.4 -0.4 BTP 0.6 0.2 -0.0 0.0 0.2 0.0 0.1 -0.0 0.1 0.2 0.1 0.2 0.4 0.2 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.2 0.2 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 0.6 -0.5 -0.2 -0.3 -0.2 -0.6 -0.5 -0.2 0.1 BUND 0.6 0.3 0.1 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 -0.1 0.1 -0.1 0.1 0.1 0.1 0.0 0.1 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 0.3 -0.0 0.0 -0.0 -0.1 -0.7 -0.7 -0.4 -0.4 BUXL 0.5 0.2 0.0 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 -0.2 0.2 -0.1 0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 0.2 -0.1 0.1 -0.5 0.0 0.1 0.0 0.1 -0.0 0.1 0.0 -0.1 -0.1 -0.2 -0.2 -0.7 -0.7 -0.5 -0.4 CAC -0.1 -0.6 -0.6 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 -0.1 -0.2 0.2 -0.2 -0.2 -0.2 -0.0 -0.1 -0.1 -0.2 -0.1 -0.2 0.1 -0.2 -1.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 0.4 -0.1 -0.6 -0.6 -0.6 0.2 0.2 0.1 0.3 CAD -0.5 -0.1 -0.1 -0.0 -0.0 -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 -0.2 -0.1 -0.2 -0.3 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.5 -0.6 -0.3 -0.3 0.3 -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 -0.1 -0.2 -0.0 -0.0 -0.2 -0.2 -0.3 -0.3 -0.0 -0.0 -0.1 -0.1 -0.0 -2.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.4 0.2 -0.1 CHF 0.5 0.4 0.2 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.2 -0.3 0.2 -0.4 0.2 0.1 -0.3 -0.3 -0.3 -0.3 0.1 -0.0 0.2 -0.2 0.2 0.7 0.0 0.2 0.0 0.1 -0.1 0.1 -1.1 0.5 0.6 0.6 0.4 0.3 -0.4 -0.1 -0.4 COCOA -0.1 -0.6 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 0.0 0.1 0.1 0.1 0.5 0.2 0.7 0.3 COFFEE -0.2 -0.0 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.4 -0.1 0.5 -0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.2 -0.1 0.5 -0.0 -2.7 0.0 -0.0 0.2 -0.1 0.4 -0.0 0.4 -0.2 0.5 0.5 0.6 -0.1 -0.4 0.2 -0.1 COPPER -0.6 -0.6 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -1.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.3 -0.2 -0.4 -0.2 0.4 0.3 0.1 0.6 0.4 CORN 0.1 -0.6 -0.1 -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 0.1 -0.2 -0.4 -0.3 -0.4 -0.4 -0.3 -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 -0.2 -0.2 -0.2 -0.0 -0.2 -0.1 -0.2 -0.2 -0.1 -0.4 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.4 -0.3 -0.1 0.1 -0.6 -0.3 -0.3 0.2 -0.1 CRUDE_W -0.6 -0.1 -0.3 -0.1 -0.1 -0.0 -0.1 0.0 -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 -0.4 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.5 -0.3 -0.3 -0.0 -0.3 0.7 0.7 0.7 0.7 DAX -0.1 -0.4 -0.3 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.2 -0.1 0.5 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 0.0 -0.2 0.3 -0.1 1.4 -0.0 -0.2 0.1 -0.1 0.3 -0.1 -0.4 0.1 -0.3 -0.6 -0.4 0.3 0.1 -0.2 0.2 DOW 0.2 0.2 -0.2 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.2 -0.0 0.4 0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 -0.0 0.3 0.0 -1.4 0.0 -0.1 0.1 -0.0 0.2 0.0 -0.5 0.1 0.6 0.2 -0.0 0.5 -0.0 0.2 -0.1 DX -0.4 -0.2 -0.1 -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 0.2 -0.1 -2.7 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.9 0.0 -0.6 0.1 0.3 -0.3 0.2 -0.3 0.3 EUR 0.1 0.1 0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.1 -0.3 -0.1 -0.4 0.1 0.1 -0.2 -0.1 -0.2 -0.1 0.0 -0.0 0.0 -0.1 0.0 2.7 0.0 0.1 0.0 0.0 -0.0 0.0 -0.4 0.3 0.4 0.2 0.3 0.1 -0.6 0.0 -0.6 EURIBOR-ICE 0.6 0.6 -0.0 0.0 0.1 0.0 0.1 -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 0.2 -0.0 0.2 1.6 0.0 0.1 0.0 0.1 0.0 0.0 -0.1 -0.0 0.2 0.1 -0.1 -0.7 -0.7 -0.3 0.0 EUROSTX -0.4 -0.5 -0.5 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.2 -0.2 0.5 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 0.3 -0.1 -0.2 -0.0 -0.1 0.1 -0.1 0.2 -0.1 0.3 0.0 -0.6 -0.6 -0.5 -0.0 0.0 -0.5 0.0 FEEDCOW -0.4 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.2 -0.2 -0.2 -0.1 0.1 -0.4 -0.1 -0.3 -0.1 -0.1 -0.2 -0.1 -0.2 -1.1 -0.1 -0.2 -0.1 -0.2 -0.0 -0.1 -1.1 -0.5 -0.6 0.3 0.2 0.0 0.7 0.3 0.7 GASOIL -0.5 0.0 -0.4 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.2 0.4 -0.1 -0.1 -0.0 0.2 -0.0 0.1 -0.1 -0.0 -0.2 0.1 -0.2 0.6 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.1 0.1 -0.1 -0.5 -0.5 -0.7 -0.7 GASOLINE -0.4 0.0 -0.4 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 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 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 1.1 0.1 0.3 0.1 -0.1 0.7 0.7 0.7 0.7 GAS_US_mini -0.5 -0.6 0.5 -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 0.0 0.2 -0.4 0.3 -0.1 -0.3 -0.3 -0.6 GBP 0.0 0.1 0.2 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 0.4 -0.1 0.3 0.0 0.2 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.1 0.2 0.0 -0.0 0.1 -0.1 0.2 -0.1 0.2 0.0 0.2 -0.3 0.5 0.6 0.6 0.2 -0.7 0.1 -0.4 GOLD_micro 0.2 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 0.3 0.0 0.4 0.0 0.0 -0.2 -0.3 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 -0.6 0.0 0.0 0.1 0.0 0.2 0.0 -0.7 0.2 0.6 0.6 0.5 0.3 -0.2 0.6 0.1 HEATOIL -0.5 0.1 -0.4 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.2 -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 -0.0 -0.2 0.1 -0.4 0.0 0.2 -0.3 0.1 JGB-SGX-mini 0.4 0.2 -0.2 0.0 0.1 0.0 0.1 -0.0 0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.4 0.4 0.4 0.4 -0.0 -0.0 0.1 -0.0 0.0 -1.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 1.1 -0.1 -0.3 -0.3 -0.4 -0.1 -0.2 0.0 0.5 JPY 0.6 0.6 0.0 -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 -0.3 0.2 2.7 0.0 0.1 -0.0 0.1 -0.1 0.0 -1.1 0.5 0.6 0.4 -0.2 -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 0.1 0.4 0.4 -0.1 -0.1 0.1 -0.3 0.0 0.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 1.1 0.4 0.5 0.1 -0.6 -0.1 -0.3 0.0 0.1 LIVECOW -0.2 0.4 0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 0.5 -0.1 0.4 0.1 0.2 0.0 0.2 0.2 0.2 0.2 0.2 -0.1 0.3 0.1 -1.7 0.1 -0.1 0.2 -0.1 0.2 0.0 0.8 0.2 0.1 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 0.0 -0.3 0.1 -0.4 0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.1 -0.3 0.0 NaN -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.2 0.2 0.5 0.3 -0.7 0.1 -0.2 0.3 -0.1 MILK -0.0 0.1 0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.3 0.1 -0.0 0.0 0.1 -0.2 -0.4 -0.3 -0.4 0.1 0.1 -0.0 0.1 0.1 2.5 0.0 -0.1 0.1 -0.0 0.0 0.0 -1.1 0.2 0.6 0.6 0.6 -0.2 -0.7 -0.0 -0.7 MXP -0.2 -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 -0.2 0.0 -0.1 -2.7 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 1.1 -0.5 -0.4 -0.4 -0.6 0.6 0.4 0.7 0.7 NASDAQ_micro -0.6 -0.6 -0.1 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.3 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.1 0.2 -0.1 -2.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.4 -0.2 -0.6 -0.1 0.1 0.1 0.2 -0.1 0.2 NIKKEI -0.6 -0.4 -0.6 0.0 -0.1 0.1 -0.0 0.2 -0.0 -0.1 0.2 -0.1 0.3 -0.1 -0.0 0.3 0.2 0.2 0.2 -0.0 0.0 -0.2 0.2 -0.1 -1.6 -0.0 -0.1 0.1 -0.1 0.1 -0.0 1.1 -0.5 -0.6 -0.3 -0.3 0.3 -0.1 -0.0 -0.2 NZD -0.6 -0.4 0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 0.1 -0.2 -0.1 -0.1 -0.2 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 0.1 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.2 -0.1 -0.6 -0.5 0.1 0.3 -0.2 0.2 0.0 OAT 0.6 0.2 -0.2 0.0 0.1 0.0 0.1 -0.0 0.1 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 0.1 0.6 -0.4 -0.2 -0.4 -0.3 -0.7 -0.7 -0.3 -0.1 OATIES 0.3 -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 -0.1 -0.0 -0.0 -0.0 0.1 -0.4 0.0 0.2 -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 0.5 -0.0 0.1 0.1 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 0.0 0.2 0.1 0.6 0.4 0.3 0.7 0.7 PALLAD -0.5 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 -0.1 -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 0.0 -0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.1 1.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 0.1 -0.1 0.2 0.3 -0.5 -0.3 -0.2 0.1 REDWHEAT -0.2 -0.6 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -0.1 -0.0 -0.3 -0.2 -0.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.7 0.0 -0.3 -0.6 0.2 -0.6 -0.7 -0.4 -0.6 RICE 0.1 -0.5 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.3 0.1 0.5 0.0 0.1 -0.0 0.4 0.4 0.4 -0.0 0.0 0.1 0.3 0.0 -1.5 0.0 -0.0 0.1 0.1 0.1 0.0 1.1 0.5 0.6 0.6 0.6 -0.7 -0.4 -0.7 -0.3 ROBUSTA -0.1 0.0 0.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 0.3 -0.1 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 0.3 0.0 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.1 0.2 0.0 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.1 0.1 -0.1 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.1 0.6 0.4 0.1 0.1 -0.7 -0.0 -0.7 SHATZ 0.6 0.6 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 -0.4 -0.4 -0.4 -0.4 0.1 -0.0 0.2 -0.2 0.1 0.9 0.0 0.1 0.0 0.1 -0.1 0.0 -1.1 0.1 0.2 0.2 -0.1 -0.7 -0.5 -0.6 -0.4 SILVER-mini -0.6 -0.3 0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.1 -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 -0.1 -0.1 0.1 0.4 0.0 -0.2 0.3 0.2 SMI -0.2 -0.2 0.5 0.0 -0.1 0.2 -0.1 0.3 -0.0 -0.1 0.5 -0.1 0.6 0.0 0.2 -0.1 0.0 -0.1 -0.0 0.1 0.2 -0.2 0.5 -0.0 2.0 0.1 0.0 0.3 0.0 0.3 0.0 0.6 0.5 0.6 -0.1 0.5 0.1 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 0.1 0.1 -0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.2 -0.0 0.2 -0.6 0.0 0.1 0.1 0.1 0.0 0.1 0.2 0.2 0.0 0.1 0.2 0.3 -0.5 0.7 0.1 SOYBEAN -0.1 -0.6 -0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -2.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.1 -0.6 -0.4 -0.3 -0.3 -0.7 -0.1 -0.7 SOYMEAL 0.2 -0.6 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.2 0.0 -0.3 -0.1 -0.1 0.0 0.1 0.1 0.1 -0.1 -0.1 0.0 -0.2 -0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.3 0.5 -0.1 -0.2 0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.6 0.2 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 -0.1 -0.1 -0.1 -0.2 -0.1 -2.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.3 -0.5 0.1 -0.2 -0.3 -0.4 0.0 -0.1 SP400 0.4 -0.1 -0.2 0.0 -0.1 0.1 -0.0 0.2 -0.0 -0.1 0.2 0.0 0.4 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.2 0.0 -1.3 0.0 -0.1 0.1 -0.0 0.1 0.0 0.0 0.2 0.6 0.1 -0.1 0.2 -0.3 0.1 -0.7 SP500_micro -0.6 -0.5 -0.1 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.3 -0.1 0.5 -0.1 0.1 -0.2 -0.3 -0.3 -0.3 0.0 0.1 -0.1 0.4 -0.1 -2.6 0.0 -0.1 0.2 -0.1 0.3 -0.0 -0.6 -0.2 -0.5 0.1 0.2 0.4 0.1 0.0 0.1 SUGAR11 -0.5 0.4 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.1 -0.3 -0.1 -0.1 -0.1 0.2 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.1 -0.5 0.6 -0.4 -0.0 0.7 0.1 0.7 US10 0.4 0.5 0.4 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 0.2 -0.1 0.2 0.4 0.0 0.1 0.1 0.1 0.0 0.1 -0.4 0.2 0.0 0.0 0.1 0.2 -0.7 0.5 0.1 US10U 0.3 0.4 0.4 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 -0.0 0.2 -0.2 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.1 0.2 0.0 0.0 0.2 0.1 0.1 0.0 0.1 0.0 0.1 -0.1 -0.1 0.1 0.2 -0.5 0.7 0.4 US2 0.5 0.6 0.5 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.1 0.1 -0.3 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.2 -0.2 0.2 2.1 0.0 0.1 0.0 0.1 -0.0 0.1 -1.1 0.5 0.3 0.2 0.0 0.1 -0.7 0.3 -0.4 US20 0.3 0.3 0.4 0.0 0.1 0.0 0.1 -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 0.0 0.1 -0.1 0.1 -0.2 0.0 0.1 0.1 0.1 0.0 0.0 0.2 0.0 -0.1 -0.1 0.1 0.2 -0.3 0.7 0.7 US30 0.2 0.2 0.4 0.0 0.1 0.0 0.1 -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 0.1 -0.1 0.1 -0.1 0.0 0.1 0.1 0.1 0.0 0.0 -0.1 -0.1 -0.3 -0.2 0.1 0.1 -0.3 0.4 0.7 US5 0.5 0.6 0.5 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 -0.0 0.1 -0.3 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.0 0.2 -0.1 0.2 1.0 0.0 0.1 0.0 0.1 -0.0 0.1 -0.7 0.3 0.1 0.1 0.1 0.2 -0.7 0.5 -0.1 VIX 1.0 0.9 0.4 -0.0 0.1 -0.3 0.1 -0.6 0.1 0.2 -0.9 0.2 -1.2 0.1 -0.3 -0.6 -0.6 -0.6 -0.6 -0.0 -0.2 0.2 -0.9 0.1 NaN -0.1 0.2 -0.4 0.1 -0.8 0.1 NaN NaN NaN NaN NaN -0.8 -1.1 NaN NaN WHEAT -0.3 -0.6 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.0 -0.2 -0.1 0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.1 0.1 -0.4 -0.6 0.1 -0.5 -0.7 -0.5 -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 -20.0 -3.2 5.7 -3.7 -3.4 -2.4 -6.8 -0.1 -5.8 -18.3 -2.5 -20.0 -3.6 -18.7 1.2 -2.1 -2.7 -2.3 -2.5 -8.8 0.3 -20.0 -0.9 -20.0 3.7 -3.8 -8.6 -0.1 -12.3 0.2 -9.8 -0.0 -20.0 -20.0 -4.7 8.5 9.1 -5.0 10.6 -0.9 BITCOIN 18.4 -16.9 -8.1 -6.1 -1.0 -3.6 -3.1 -1.1 -5.8 -18.6 7.4 7.6 13.0 2.0 -2.2 -6.4 -7.2 -6.9 -7.2 0.4 6.3 -3.2 17.2 2.9 -20.0 0.3 -7.6 4.6 -1.2 11.5 1.2 -3.1 -6.1 20.0 19.9 10.0 -20.0 -8.2 -7.2 -1.5 BOBL 20.0 13.5 1.3 2.6 10.3 1.0 7.0 -0.4 4.4 10.3 -5.9 11.3 -6.3 10.5 5.8 -20.0 -14.2 -20.0 -18.0 7.1 -0.2 20.0 -5.1 14.9 4.4 2.7 10.4 0.5 7.9 -0.8 5.3 -20.0 2.7 3.3 2.9 -4.4 -20.0 -18.3 -11.9 -12.5 BTP 17.1 7.6 -1.4 4.4 17.0 1.7 11.6 -0.6 7.3 16.9 4.3 18.3 11.5 17.3 12.2 1.4 4.1 1.6 2.5 10.7 6.5 18.1 7.3 16.8 -20.0 4.8 7.9 3.2 8.2 3.6 7.4 11.4 -20.0 -5.5 -10.1 -5.1 -19.4 -15.9 -6.1 3.4 BUND 18.2 10.2 1.5 2.9 11.4 1.1 7.7 -0.4 4.9 11.3 -5.5 12.4 -3.0 11.0 6.8 6.3 0.9 3.1 0.8 7.1 0.9 20.0 -3.3 14.6 1.0 3.0 11.5 1.0 8.8 -0.1 5.8 6.4 -1.5 0.9 -0.3 -3.8 -20.0 -20.0 -10.9 -12.9 BUXL 15.2 5.0 0.2 3.4 13.1 1.3 8.9 -0.5 5.7 13.1 -7.4 13.9 -2.6 8.5 2.8 -0.5 -2.5 -2.0 -2.8 4.7 -0.8 20.0 -4.8 13.0 -3.4 2.8 14.3 0.9 10.7 -0.1 6.3 0.9 -6.1 -4.0 -6.2 -7.0 -20.0 -20.0 -16.1 -12.0 CAC -2.9 -17.9 -20.0 3.4 -12.0 5.4 -6.1 6.1 -0.6 -14.5 -5.3 -14.4 6.6 -16.0 -15.5 -8.4 -1.7 -5.9 -2.9 -15.4 -7.6 -19.9 3.0 -17.1 -8.4 -5.1 -8.6 -2.0 -6.3 1.9 -5.6 7.4 -2.5 -20.0 -20.0 -20.0 6.3 5.5 3.0 7.7 CAD -14.8 -2.0 -3.9 -4.0 -3.7 -2.7 -7.5 -0.1 -6.3 -20.0 -20.0 -20.0 -18.9 -20.0 -18.9 -4.9 -3.2 -4.4 -3.8 -15.6 -12.4 -20.0 -12.3 -20.0 -1.2 -7.6 -8.7 -5.3 -12.0 -4.7 -11.2 -1.5 -19.9 -20.0 -8.2 -8.9 7.8 -6.6 -2.0 -4.8 CANOLA 4.7 -0.3 11.1 -2.2 -1.9 -1.5 -2.1 -0.9 -2.1 -6.3 -3.3 -5.3 -6.1 -2.6 -2.5 -9.8 -10.2 -12.6 -13.0 -2.2 -2.8 -7.8 -4.7 -3.5 -16.0 -1.8 -3.4 -2.0 -2.6 -2.6 -1.6 -20.0 -5.7 -2.7 -3.5 -3.1 -1.6 -12.1 6.6 -4.3 CHF 16.8 12.9 6.6 -3.0 -2.8 -2.0 -5.6 -0.1 -4.7 17.3 -11.5 17.9 -12.1 14.6 10.7 -16.8 -16.8 -17.3 -17.0 8.7 -1.7 20.0 -6.8 19.0 5.5 4.3 19.9 0.2 13.3 -1.8 8.5 -20.0 20.0 20.0 20.0 12.0 8.9 -11.5 -2.9 -12.1 COCOA -3.8 -17.5 1.8 -1.9 -1.6 -1.3 -1.8 -0.8 -1.8 -5.5 2.0 -4.2 3.5 -4.4 -3.2 20.0 17.0 20.0 20.0 -1.1 3.6 -3.7 7.7 -2.8 -18.7 0.5 -2.1 4.8 -1.4 9.4 -0.9 20.0 0.4 3.7 3.5 4.6 15.9 5.6 20.0 9.8 COFFEE -7.3 -0.1 10.5 -5.0 -4.3 -3.5 -4.8 -2.2 -4.9 -12.9 13.6 -12.5 14.0 -2.5 10.3 2.4 6.4 3.9 5.7 10.7 18.4 -10.0 18.3 -1.4 -20.0 2.7 -3.7 8.0 -5.2 10.2 -2.4 7.3 -8.8 15.7 17.0 20.0 -1.7 -10.6 6.0 -3.7 COPPER -20.0 -20.0 -4.2 -2.9 -0.5 -1.7 -1.4 -0.5 -2.7 -3.8 -0.3 -9.1 2.0 -9.5 -7.4 -2.5 -2.6 -1.0 -1.6 -8.6 0.1 -10.6 4.9 -13.2 -11.5 -2.5 -0.9 -0.1 -2.5 1.4 -3.5 5.7 -6.3 -13.8 -5.6 12.3 7.6 2.3 17.3 11.9 CORN 4.6 -20.0 -2.5 -3.0 -2.6 -2.1 -2.9 -1.3 -3.0 -7.4 -9.8 -7.7 -10.8 -10.1 -10.3 -17.1 -13.5 -17.2 -16.7 -14.7 -13.4 -7.8 -12.1 -11.4 -8.0 -3.5 -1.4 -3.1 -1.9 -2.7 -2.8 -20.0 2.9 -7.3 -13.6 -8.3 -11.2 -11.3 -9.5 -1.6 COTTON2 -0.8 -6.2 -20.0 -4.3 -3.7 -3.0 -4.1 -1.9 -4.2 -10.6 -15.9 -12.0 -13.2 -13.9 -15.8 -11.6 -1.2 -7.7 -3.8 -18.9 -20.0 -11.3 -16.5 -14.1 -20.0 -5.4 -3.4 -5.0 -4.1 -2.2 -4.4 -7.6 -11.3 -3.0 3.4 -20.0 -7.7 -8.9 6.8 -1.8 CRUDE_W -20.0 -2.1 -10.1 -4.7 -9.9 -1.7 -8.0 1.1 -7.1 -14.2 6.0 -18.0 13.9 -9.7 -2.4 13.7 12.8 14.1 13.5 -6.6 0.7 -20.0 6.1 -15.6 -3.2 -5.8 -10.6 -2.8 -9.1 1.0 -8.0 9.7 -13.0 -8.2 -1.1 -8.2 20.0 20.0 20.0 20.0 DAX -4.4 -12.0 -10.3 3.4 -12.0 5.5 -6.1 6.1 -0.6 -13.3 8.9 -11.5 13.7 -7.8 -6.7 -8.5 -10.9 -9.6 -10.5 -2.9 4.2 -17.4 10.9 -8.3 10.6 -1.5 -20.0 4.2 -10.6 9.2 -5.2 -7.9 5.2 -10.0 -20.0 -12.8 8.7 3.8 -6.0 5.5 DOW 5.3 4.9 -5.0 2.8 -10.0 4.6 -5.1 5.1 -0.5 -9.4 8.6 -2.9 11.9 3.6 6.0 -10.4 -11.3 -11.1 -11.4 7.3 7.6 -4.5 9.3 4.6 -10.5 3.7 -6.8 4.0 -1.2 4.9 2.6 -8.8 6.0 20.0 5.3 -1.1 13.5 -1.0 6.7 -3.5 DX -11.9 -7.4 -4.3 -3.5 -3.2 -2.3 -6.6 -0.1 -5.6 -12.4 13.2 -10.4 15.7 -12.7 -8.5 7.5 7.1 7.5 7.3 -5.3 2.2 -13.7 7.0 -10.4 -20.0 -3.7 -16.5 0.8 -9.0 3.9 -6.8 16.8 0.5 -20.0 4.5 8.1 -9.3 5.6 -10.0 8.6 EUR 4.0 3.8 3.2 -3.7 -3.4 -2.5 -6.9 -0.1 -5.9 7.6 -9.8 -6.0 -11.0 5.7 7.1 -7.6 -7.3 -7.6 -7.3 2.2 -1.0 1.3 -3.7 1.9 20.0 2.2 10.7 0.9 1.1 -0.4 1.5 -8.0 12.1 12.6 6.8 8.3 3.1 -17.7 0.0 -16.7 EURIBOR-ICE 20.0 17.3 -1.0 2.2 8.6 0.8 5.8 -0.3 3.7 8.6 -2.9 9.4 0.6 9.4 6.1 -1.9 -4.5 -3.7 -4.1 8.8 2.6 18.9 -0.0 15.2 12.2 2.5 6.4 0.8 5.6 0.2 4.3 -1.6 -1.5 6.2 4.3 -3.5 -20.0 -20.0 -9.6 1.3 EUROSTX -11.5 -15.6 -15.9 3.1 -11.1 5.1 -5.6 5.7 -0.5 -13.3 8.3 -14.1 12.8 -13.1 -10.7 -4.4 -2.7 -5.2 -4.2 -7.3 1.6 -19.9 9.9 -13.7 -1.9 -3.3 -14.3 2.1 -9.6 6.9 -6.6 5.0 0.9 -20.0 -20.0 -15.0 -1.0 1.0 -14.3 0.3 FEEDCOW -10.9 -5.5 -2.2 -6.3 -5.4 -4.4 -6.0 -2.7 -6.2 -19.9 -0.3 -20.0 -4.6 -19.5 -4.8 5.9 -20.0 -5.6 -15.5 -11.5 -6.3 -20.0 -2.5 -20.0 -8.5 -5.5 -20.0 -3.1 -16.5 -0.0 -9.4 -20.0 -20.0 -20.0 9.3 5.9 0.5 20.0 7.7 20.0 GASOIL -15.8 0.2 -13.5 -4.3 -9.1 -1.5 -7.4 1.0 -6.5 -11.9 -0.6 -16.1 11.2 -9.7 -8.0 -1.6 10.3 -0.5 3.9 -8.2 -2.9 -19.0 4.1 -14.5 4.9 -4.5 -11.8 -1.9 -10.1 1.3 -7.7 0.1 -5.3 -4.3 4.3 -3.9 -16.5 -15.1 -20.0 -20.0 GASOLINE -11.9 0.4 -11.0 -4.4 -9.4 -1.6 -7.7 1.0 -6.8 -12.4 5.8 -15.4 12.7 -4.6 -6.2 20.0 20.0 20.0 20.0 -4.5 0.6 -13.2 6.9 -9.1 -20.0 -4.7 -10.7 -2.1 -7.3 2.7 -6.0 20.0 3.6 8.0 3.9 -4.6 20.0 20.0 20.0 20.0 GAS_US_mini -16.5 -20.0 16.1 -2.5 -5.3 -0.9 -4.3 0.6 -3.8 -11.1 -11.0 -12.0 -11.5 -12.5 -11.4 -20.0 -20.0 -20.0 -20.0 -13.3 -10.5 -12.3 -15.4 -15.3 20.0 -3.2 -3.8 -2.5 -4.1 -3.5 -4.3 -20.0 1.9 4.7 -13.2 9.1 -4.2 -9.9 -10.3 -17.4 GBP 0.2 4.3 6.8 -3.9 -3.6 -2.6 -7.3 -0.1 -6.1 -11.5 16.0 -10.5 8.5 4.5 16.0 -0.6 -0.8 -0.8 -0.8 10.2 10.3 -10.9 8.0 1.8 -0.3 5.5 -8.5 6.1 -6.1 5.0 0.8 3.1 -11.0 14.5 19.8 20.0 5.6 -20.0 4.2 -13.3 GOLD_micro 4.8 -0.2 1.0 -3.5 -0.6 -2.1 -1.8 -0.7 -3.3 6.8 9.5 1.8 10.1 3.9 4.4 -11.6 -13.4 -11.8 -12.4 7.1 10.3 6.1 12.0 5.8 -4.5 1.2 3.4 4.1 2.8 6.8 1.3 -12.9 9.7 20.0 20.0 14.7 7.6 -4.9 17.1 1.7 HEATOIL -15.3 2.4 -11.2 -4.5 -9.5 -1.6 -7.7 1.0 -6.8 -14.1 -6.2 -17.8 5.2 -10.2 -8.3 -4.7 8.4 -4.6 0.4 -8.9 -5.0 -19.5 0.4 -14.6 -20.0 -5.9 -11.1 -4.4 -8.7 -0.6 -7.1 -4.6 -1.7 -7.1 2.9 -13.8 0.2 6.5 -9.8 2.4 JGB-SGX-mini 13.5 6.5 -7.0 2.2 8.4 0.8 5.7 -0.3 3.6 4.7 -5.5 3.2 -2.2 -0.1 -3.0 19.7 19.0 20.0 19.6 -0.6 -2.2 7.4 -1.8 2.5 -8.8 -0.6 11.6 -2.0 5.2 -2.1 1.7 20.0 -4.8 -8.5 -8.1 -13.5 -2.9 -4.8 0.9 16.0 JPY 20.0 20.0 0.5 -1.6 -1.5 -1.1 -3.0 -0.1 -2.5 9.5 -7.8 10.4 -9.9 8.4 0.8 -13.8 -16.0 -14.9 -15.4 4.0 -5.4 20.0 -11.3 15.6 20.0 1.2 8.5 -1.5 7.1 -3.0 4.6 -20.0 20.0 20.0 11.6 -6.7 -20.0 -15.0 -20.0 -14.0 LEANHOG 20.0 -5.7 -20.0 -3.8 -3.3 -2.7 -3.6 -1.6 -3.8 1.8 -8.4 9.2 -7.0 3.9 -8.4 20.0 4.1 20.0 20.0 -9.4 -12.8 6.1 -10.0 1.5 4.0 -2.6 1.1 -3.4 1.6 -2.4 0.5 20.0 17.9 15.4 2.3 -20.0 -3.5 -7.7 1.1 3.2 LIVECOW -7.2 12.6 13.5 -6.5 -5.6 -4.5 -6.1 -2.8 -6.4 -17.4 19.4 -7.0 9.8 12.4 18.6 2.5 9.1 9.6 12.0 17.2 17.2 -11.8 12.2 6.8 -12.6 6.3 -15.6 7.1 -5.2 6.7 2.1 15.2 7.2 2.3 20.0 20.0 -0.2 20.0 4.5 20.0 LUMBER-new 20.0 -1.2 -15.5 -2.9 -2.5 -2.0 -2.8 -1.2 -2.9 4.5 -8.5 7.7 -8.7 0.3 -6.8 -16.2 -17.3 -16.7 -17.2 -5.7 -10.1 4.9 -8.9 1.7 NaN -1.8 1.5 -4.3 2.0 -3.8 1.3 -20.0 8.8 13.7 8.9 -18.8 2.5 -4.8 7.9 -2.0 MILK -0.9 1.6 20.0 -4.8 -4.1 -3.3 -4.5 -2.1 -4.7 -9.6 11.9 5.0 -0.7 0.2 12.7 -9.1 -20.0 -16.8 -20.0 12.3 13.9 -0.7 2.6 6.0 19.0 4.3 -6.4 5.2 -0.9 0.4 1.6 -20.0 8.6 17.0 19.2 20.0 -5.2 -20.0 -0.9 -20.0 MXP -6.1 -9.0 -20.0 -1.8 -1.7 -1.2 -3.4 -0.1 -2.9 -10.5 -5.2 -11.0 2.1 -7.6 -7.4 10.5 15.0 11.6 13.2 -10.5 -6.9 -19.2 0.4 -13.6 -20.0 -3.3 -6.1 -2.2 -5.2 0.2 -3.9 20.0 -20.0 -12.3 -13.8 -19.4 17.3 12.9 20.0 19.7 NASDAQ_micro -20.0 -20.0 -4.6 2.1 -7.3 3.3 -3.7 3.7 -0.4 -8.4 6.7 -9.0 9.6 -6.4 3.1 -9.1 -10.7 -10.6 -10.8 -0.2 6.1 -14.3 8.9 -9.0 -18.8 0.3 -4.1 2.6 -4.2 3.9 -2.8 -7.8 -8.7 -20.0 -2.4 3.3 3.3 6.1 -4.1 5.4 NIKKEI -20.0 -12.3 -20.0 2.3 -8.3 3.8 -4.2 4.3 -0.4 -9.4 6.5 -9.9 9.5 -7.5 -2.1 12.7 10.5 11.9 10.5 -2.3 3.2 -19.5 7.1 -10.5 -12.3 -0.5 -11.0 1.9 -7.4 3.9 -3.9 20.0 -20.0 -20.0 -9.2 -9.9 7.8 -3.4 -0.4 -7.2 NZD -20.0 -12.3 2.7 -2.9 -2.7 -2.0 -5.5 -0.1 -4.6 7.5 -7.0 -10.5 -3.6 -14.4 -7.1 -0.4 0.1 -0.2 -0.0 -12.3 -5.1 -10.2 -2.9 -17.8 0.4 -4.6 2.2 -1.8 -3.7 -0.7 -6.6 4.5 -3.0 -20.0 -16.4 2.3 8.6 -5.1 7.0 0.1 OAT 17.5 5.5 -6.6 3.1 11.9 1.2 8.1 -0.4 5.1 11.8 -7.7 12.7 -3.5 10.2 0.9 0.3 3.9 0.7 2.0 2.6 -3.3 16.0 -5.3 10.6 2.2 1.6 9.7 -0.6 8.0 -1.0 5.2 10.8 -16.3 -4.8 -12.9 -10.5 -20.0 -20.0 -9.2 -2.9 OATIES 10.8 -19.2 -3.7 -2.5 -2.1 -1.7 -2.3 -1.1 -2.4 -5.5 -7.1 -2.0 -7.9 -6.3 -7.5 4.4 1.1 2.3 2.4 -8.3 -8.8 -2.6 -7.4 -4.6 -20.0 -2.3 -0.8 -2.0 -0.9 -1.5 -1.5 -0.6 -0.3 2.2 -11.5 0.9 5.0 -0.9 15.7 9.3 OJ -9.8 -2.6 -2.5 -4.3 -3.7 -3.0 -4.0 -1.8 -4.2 -7.4 10.5 -11.7 13.0 -4.3 6.6 7.5 11.9 8.7 9.4 7.4 16.3 -6.3 20.0 -2.4 -20.0 1.9 -1.0 6.1 -2.4 11.0 -1.6 14.6 0.7 4.8 4.5 20.0 12.3 10.4 20.0 20.0 PALLAD -14.4 4.8 2.7 -2.6 -0.4 -1.5 -1.3 -0.5 -2.5 -4.5 -7.3 -8.0 -8.6 -7.6 -7.3 -1.6 -2.1 -1.8 -1.9 -4.8 -5.0 -5.4 -8.8 -5.9 14.4 -2.7 -1.6 -2.7 -2.3 -3.3 -2.7 6.0 0.9 -3.1 11.0 -0.3 -20.0 -20.0 -20.0 -20.0 PLAT -12.5 -8.2 5.8 -4.0 -0.7 -2.4 -2.0 -0.8 -3.8 2.6 -1.8 -6.9 -4.2 -8.9 -6.4 -5.3 -4.4 -5.2 -4.9 -4.8 0.1 -3.8 1.0 -7.4 7.6 -3.6 0.2 -1.4 -1.5 0.1 -3.8 1.4 3.4 -1.7 6.6 10.0 -16.4 -10.5 -6.3 2.2 REDWHEAT -5.8 -20.0 1.6 -4.0 -3.4 -2.8 -3.8 -1.7 -3.9 0.5 -10.4 -7.9 -12.1 -13.3 -13.4 -10.6 -4.9 -9.9 -7.6 -17.2 -12.7 -5.1 -12.2 -14.0 -5.5 -4.0 0.9 -2.8 -1.2 -2.4 -3.3 -14.0 2.0 -9.7 -20.0 4.9 -18.1 -20.0 -12.3 -17.9 RICE 4.5 -16.7 3.6 -5.0 -4.3 -3.5 -4.7 -2.1 -4.9 5.2 10.5 11.3 13.3 0.7 8.2 -0.6 20.0 20.0 20.0 -0.6 3.9 9.2 9.8 3.8 -10.9 2.4 -0.8 2.5 5.1 3.0 4.2 20.0 20.0 20.0 18.8 20.0 -20.0 -10.5 -20.0 -9.2 ROBUSTA -3.9 1.3 14.9 -3.1 -2.7 -2.1 -2.9 -1.3 -3.0 -9.9 9.9 -5.9 10.4 1.3 7.9 20.0 20.0 20.0 20.0 11.8 19.1 -7.7 20.0 1.5 -20.0 3.2 -2.1 6.0 -1.8 8.1 0.5 20.0 -12.8 17.6 20.0 20.0 3.0 -5.8 9.8 2.8 RUSSELL 17.5 7.8 0.7 2.2 -7.9 3.6 -4.0 4.1 -0.4 -8.5 7.6 3.4 8.5 5.9 6.5 -6.2 -6.8 -6.8 -6.9 8.0 5.9 -3.6 4.4 6.5 -1.0 3.2 -4.8 2.5 -0.5 1.9 2.6 -0.9 5.8 20.0 12.4 3.8 3.6 -20.0 -0.6 -20.0 SHATZ 20.0 19.5 9.2 2.1 8.3 0.8 5.7 -0.3 3.6 8.3 -5.1 9.2 -6.8 8.7 6.2 -20.0 -20.0 -20.0 -20.0 7.0 -0.6 19.3 -7.1 13.6 7.1 2.2 7.8 0.1 5.9 -1.4 4.2 -20.0 5.8 5.4 7.4 -3.1 -20.0 -15.1 -17.9 -11.3 SILVER-mini -20.0 -8.9 7.5 -3.2 -0.5 -1.9 -1.6 -0.6 -3.0 -0.8 5.4 -7.8 6.1 -8.0 -1.1 -5.7 -6.4 -5.9 -6.1 -1.9 5.6 -8.0 7.8 -8.5 2.4 -2.3 -0.8 0.6 -2.7 2.3 -3.6 -1.4 -5.2 -3.3 2.3 11.5 1.1 -6.4 8.0 5.9 SMI -5.4 -5.1 15.7 3.8 -13.6 6.2 -6.9 6.9 -0.7 -13.5 17.5 -4.7 17.6 1.9 15.4 -3.3 0.7 -3.2 -1.5 12.4 20.0 -20.0 19.7 -0.2 14.9 6.8 4.6 9.6 3.1 9.6 4.1 10.4 20.0 20.0 -3.5 15.1 4.1 2.0 -4.5 -0.2 SOFR 13.2 16.9 13.1 3.3 12.9 1.3 8.7 -0.5 5.5 12.8 2.6 13.8 -1.5 13.8 13.0 -0.6 -1.3 -1.6 -1.6 13.6 6.6 20.0 -0.3 18.9 -4.2 4.3 13.3 2.7 9.0 1.0 5.8 3.2 8.1 0.9 3.6 7.2 10.3 -14.0 20.0 4.3 SOYBEAN -4.4 -18.1 -6.8 -2.7 -2.3 -1.9 -2.5 -1.1 -2.6 -6.2 -8.9 -8.0 -6.9 -8.8 -9.1 -4.3 4.9 -2.5 -0.0 -12.7 -10.5 -9.4 -7.7 -11.8 -18.1 -3.2 -1.4 -2.6 -2.1 -1.7 -2.8 0.6 2.9 -19.1 -13.5 -8.5 -8.7 -20.0 -3.3 -20.0 SOYMEAL 6.9 -17.7 -3.8 -2.9 -2.5 -2.1 -2.8 -1.3 -2.9 2.0 -9.1 1.1 -8.8 -6.1 -8.4 0.2 6.4 4.1 4.1 -9.4 -9.2 0.4 -7.8 -5.2 -20.0 -2.5 1.6 -2.0 0.4 -1.4 -1.4 5.0 20.0 -3.1 -7.5 4.7 -20.0 -20.0 -20.0 -20.0 SOYOIL -17.8 6.2 5.0 -2.3 -2.0 -1.6 -2.2 -1.0 -2.3 -7.4 -6.3 -8.0 -7.5 -6.9 -5.9 5.2 1.0 2.7 0.4 -4.9 -4.7 -11.1 -6.0 -8.0 -18.5 -2.3 -4.2 -2.0 -4.2 -2.0 -3.2 -3.1 -10.6 -16.9 2.2 -6.8 -9.3 -12.3 1.5 -2.0 SP400 12.7 -2.0 -7.3 2.5 -9.0 4.1 -4.6 4.6 -0.4 -8.0 8.1 1.3 10.1 3.2 4.0 -4.9 -5.8 -5.6 -5.8 4.7 5.1 -4.1 6.5 3.6 -10.0 3.4 -6.9 3.5 -1.1 3.7 2.5 0.9 8.2 20.0 4.5 -1.9 5.2 -9.6 1.6 -20.0 SP500_micro -20.0 -16.3 -1.9 3.0 -10.6 4.8 -5.4 5.4 -0.5 -11.4 12.9 -11.6 15.0 -5.0 8.5 -12.1 -12.7 -13.4 -13.3 4.6 12.5 -15.3 16.1 -6.5 -19.1 2.3 -7.1 5.7 -5.6 7.4 -2.4 -11.5 -6.4 -16.3 2.2 6.2 12.0 3.0 0.8 2.6 SUGAR11 -14.4 11.6 -5.5 -3.9 -3.4 -2.7 -3.7 -1.7 -3.8 -3.9 -11.0 -6.9 -9.5 -6.5 -7.9 -4.4 8.0 -2.2 2.2 -7.0 -9.3 -8.7 -8.4 -8.0 -20.0 -2.7 -5.0 -4.2 -3.4 -3.9 -2.9 5.7 -2.3 -14.7 17.1 -10.8 -0.7 20.0 3.7 20.0 US10 12.0 14.6 13.7 2.7 10.7 1.0 7.2 -0.4 4.6 10.6 0.4 11.2 -4.7 11.0 10.0 -7.9 -7.5 -7.4 -7.3 9.0 3.4 20.0 -2.9 14.1 2.8 3.3 12.7 1.9 8.2 0.3 4.9 -7.0 8.1 0.1 0.9 4.3 6.4 -20.0 16.4 3.2 US10U 10.6 12.2 13.7 3.6 14.0 1.4 9.5 -0.5 6.0 13.9 -0.9 14.5 -6.0 13.9 12.7 -3.3 -2.8 -4.2 -3.8 9.9 3.3 20.0 -4.4 16.1 0.2 4.1 17.0 2.5 10.8 0.3 6.2 0.0 4.2 -4.1 -2.3 4.0 6.8 -16.2 20.0 12.7 US2 16.8 20.0 16.9 2.7 10.6 1.0 7.2 -0.4 4.6 10.5 -4.1 11.1 -9.1 11.0 8.7 -20.0 -20.0 -20.0 -20.0 9.1 1.2 20.0 -6.5 15.6 16.1 2.9 13.9 0.8 8.5 -0.9 5.1 -20.0 20.0 9.4 5.8 0.6 4.0 -20.0 7.8 -10.8 US20 8.4 8.3 13.2 2.4 9.3 0.9 6.3 -0.3 4.0 9.2 0.2 9.2 -1.7 8.3 8.0 -0.9 -0.8 -0.8 -0.7 5.4 2.3 16.6 -1.9 9.3 -1.5 2.7 11.1 2.1 6.9 0.8 3.8 4.4 0.5 -4.5 -3.1 3.9 5.4 -10.0 20.0 20.0 US30 6.0 6.4 12.7 2.7 10.4 1.0 7.1 -0.4 4.5 10.2 -1.5 9.6 -3.3 7.2 7.1 -3.3 -4.9 -4.2 -4.6 4.2 1.2 15.3 -3.1 7.8 -0.9 2.7 12.8 2.1 7.6 0.5 3.9 -2.7 -5.4 -9.4 -6.0 1.9 2.3 -9.3 13.0 20.0 US5 14.1 17.7 14.4 3.0 11.5 1.1 7.8 -0.4 5.0 11.4 -0.9 12.2 -7.4 12.1 10.7 -12.1 -10.6 -11.3 -10.7 10.6 3.5 20.0 -3.9 16.7 7.2 3.5 13.7 1.7 8.9 -0.0 5.4 -12.7 13.3 4.1 3.5 4.1 6.5 -19.8 13.7 -3.7 VIX 19.1 17.8 7.9 -2.8 9.6 -7.7 7.8 -11.2 3.6 13.5 -20.0 11.4 -20.0 6.7 -15.9 -20.0 -20.0 -20.0 -20.0 -2.8 -12.5 12.3 -20.0 6.4 NaN -3.3 10.8 -9.2 8.5 -13.6 3.9 NaN NaN NaN NaN NaN -15.6 -20.0 NaN NaN WHEAT -9.1 -20.0 0.9 -2.8 -2.4 -1.9 -2.6 -1.2 -2.7 0.5 -6.9 -6.6 -7.7 -9.3 -9.4 -15.9 -14.6 -16.0 -15.6 -13.1 -9.0 -4.4 -7.5 -11.1 1.2 -2.8 0.5 -1.7 -0.9 -1.2 -2.4 -20.0 2.7 -10.8 -19.2 2.8 -16.0 -20.0 -13.6 -20.0 End of report for caleb_strategy_v3