******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240813_203931 produced at 2024-08-13 21:37:52.856217 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 MXP False False 0.01 -0.12 -0.11 0.0 0.54 -0.54 -0.12 -0.09 -11.97 60.0 -13 -10 caleb_strategy_v3 DX False True 0.04 0.00 -0.10 0.0 0.00 0.00 0.00 0.00 -2.94 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.08 -0.08 0.0 0.33 -0.33 -0.08 -0.08 -1.87 8.0 -2 -2 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.07 0.0 0.73 -0.73 -0.03 0.00 -2.77 29.0 -1 0 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.06 0.0 999.00 -999.00 -0.03 -0.03 -1.68 999999999.0 -1 -1 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -22.06 59.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.07 -0.05 0.0 0.10 -0.10 -0.07 -0.07 -1.36 3.0 -2 -2 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.36 24.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.13 -0.13 -0.06 -0.06 -3.49 11.0 -5 -5 caleb_strategy_v3 CAC True False 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.52 12.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.02 -0.04 0.0 0.08 -0.08 -0.02 -0.02 -6.51 12.0 -3 -3 caleb_strategy_v3 GASOIL False False 0.03 -0.03 -0.03 0.0 0.10 -0.10 -0.03 0.00 -1.19 4.0 -1 0 caleb_strategy_v3 EUROSTX False False 0.02 -0.04 -0.03 0.0 0.35 -0.35 -0.04 -0.02 -1.90 20.0 -2 -1 caleb_strategy_v3 CANOLA False False 0.00 -0.00 -0.03 0.0 0.15 -0.15 -0.00 -0.00 -9.62 51.0 -1 -1 caleb_strategy_v3 NIKKEI False False 0.01 -0.03 -0.03 0.0 0.30 -0.30 -0.03 -0.03 -3.94 36.0 -3 -3 caleb_strategy_v3 BTP False False 0.04 0.00 -0.03 0.0 0.45 -0.45 0.00 0.00 -0.70 10.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.03 0.0 0.84 -0.84 0.00 0.00 -0.74 19.0 0 0 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.03 -0.03 0.0 0.00 -0.03 -0.03 -0.03 -15.99 26.0 -17 -16 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.08 -0.08 -0.02 -0.02 -2.29 8.0 -2 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.03 -0.02 0.0 0.30 -0.30 -0.03 -0.01 -1.59 23.0 -2 -1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.03 2.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.09 -0.09 -0.04 -0.04 -1.90 9.0 -4 -4 caleb_strategy_v3 VIX False False 0.01 -0.01 -0.02 0.0 999.00 -999.00 -0.01 -0.01 -3.33 999999999.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.08 -0.02 0.0 0.12 -0.12 -0.08 -0.08 -1.06 7.0 -5 -5 caleb_strategy_v3 SP400 False False 0.10 -0.20 -0.02 0.0 0.20 -0.20 -0.20 -0.10 -0.19 2.0 -2 -1 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.02 0.0 0.45 -0.45 0.00 0.00 -2.48 48.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.02 0.0 0.13 -0.13 0.00 0.00 -2.25 18.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 -0.02 0.0 0.39 -0.39 0.00 0.00 -2.86 58.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 -0.02 -0.01 0.0 999.00 -999.00 -0.02 -0.02 -0.34 999999999.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 -0.01 -1.14 9.0 0 -1 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.80 10.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -1.08 10.0 0 0 caleb_strategy_v3 OAT False False 0.05 -0.05 -0.01 0.0 0.48 -0.48 -0.05 0.00 -0.21 10.0 -1 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.01 0.0 0.24 -0.24 0.00 -0.01 -2.27 68.0 1 -2 caleb_strategy_v3 AUD False False 0.02 0.00 -0.01 0.0 0.43 -0.43 0.00 0.00 -0.44 19.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.13 4.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 -0.01 0.0 0.45 -0.45 0.00 0.00 -1.70 66.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 -0.01 -0.00 0.0 0.02 -0.02 -0.01 -0.01 -0.77 3.0 -2 -2 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.18 -0.18 0.00 0.00 0.03 6.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.00 0.0 0.51 -0.51 0.00 0.00 0.07 10.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.64 -0.64 0.00 0.00 0.20 26.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.00 0.0 0.06 -0.06 -0.03 -0.03 -0.15 2.0 -1 -1 caleb_strategy_v3 RICE False True 0.01 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.17 4.0 0 0 caleb_strategy_v3 NZD False False 0.02 -0.04 0.00 0.0 0.44 -0.44 -0.04 0.00 0.04 21.0 -2 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.01 0.0 0.33 -0.33 0.00 0.00 0.43 23.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.14 0.01 0.0 0.27 -0.27 0.14 0.14 0.13 6.0 3 3 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.07 -0.07 0.00 0.00 0.88 5.0 0 0 caleb_strategy_v3 JPY False False 0.03 0.06 0.01 0.0 0.50 -0.50 0.06 0.06 0.48 17.0 2 2 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.01 0.0 0.12 -0.12 0.01 0.01 1.21 13.0 1 1 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.07 -0.07 0.02 0.02 0.62 3.0 1 1 caleb_strategy_v3 GBP False False 0.03 0.00 0.02 0.0 0.61 -0.61 0.00 0.00 0.60 22.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.56 999999999.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.38 9.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.08 0.02 0.0 0.52 -0.52 0.08 0.08 0.60 13.0 2 2 caleb_strategy_v3 CHF False False 0.05 0.10 0.02 0.0 0.65 -0.65 0.10 0.15 0.46 13.0 2 3 caleb_strategy_v3 US10 False False 0.04 0.00 0.03 0.0 0.66 -0.66 0.00 0.00 0.64 17.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.07 0.03 0.0 0.42 -0.42 0.07 0.10 1.27 17.0 3 4 caleb_strategy_v3 GOLD_micro False False 0.01 0.01 0.03 0.0 0.48 -0.48 0.01 0.01 3.29 56.0 1 1 caleb_strategy_v3 US5 False False 0.04 0.11 0.04 0.0 0.94 -0.94 0.11 0.11 0.96 25.0 3 3 caleb_strategy_v3 SMI False True 0.05 0.00 0.04 0.0 0.00 0.00 0.00 0.00 0.93 9.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.05 0.0 0.13 -0.13 0.08 0.08 1.82 5.0 3 3 caleb_strategy_v3 US2 False True 0.07 0.00 0.06 0.0 0.00 0.00 0.00 0.00 0.83 13.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.05 0.08 0.0 0.66 -0.66 0.05 0.09 1.65 14.0 1 2 caleb_strategy_v3 JGB-SGX-mini False True 0.03 0.14 0.37 0.0 0.14 0.00 0.14 0.14 10.85 16.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.61 0.0 0.92 -0.92 0.00 0.00 6.68 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.06 0.0 0.00 0.00 0.00 0.00 12.76 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.8 Shocked risk 14.7 Sum abs risk 35.0 Leverage 3.76 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2918373.04, 'annual_cash_vol_target': 729593.26, 'daily_cash_vol_target': 45599.57875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0037 0.6640 0.5563 8.9007 BITCOIN 2121.5407 61175.0000 3.4680 55.4878 BOBL 0.2349 118.2100 0.1987 3.1794 BTP 0.4884 119.7200 0.4080 6.5273 BUND 0.4880 134.9600 0.3616 5.7859 BUXL 1.2372 137.3200 0.9009 14.4151 CAC 69.7823 7320.5000 0.9532 15.2519 CAD 0.0024 0.7302 0.3236 5.1783 CANOLA 9.3531 580.0000 1.6126 25.8015 CHF 0.0062 1.1622 0.5324 8.5181 COCOA 255.7277 7138.0000 3.5826 57.3220 COFFEE 4.9553 229.0500 2.1634 34.6145 COPPER 0.0606 4.0620 1.4923 23.8767 CORN 5.6399 397.0000 1.4206 22.7302 COTTON2 0.9660 67.9200 1.4223 22.7565 CRUDE_W 1.2151 75.1000 1.6180 25.8883 DAX 166.2929 17918.0000 0.9281 14.8492 DOW 336.1277 39853.0000 0.8434 13.4947 DX 0.3761 102.4050 0.3673 5.8764 EUR 0.0045 1.1016 0.4052 6.4829 EURIBOR-ICE 0.0412 97.8800 0.0421 0.6737 EUROSTX 50.3549 4723.0000 1.0662 17.0586 FEEDCOW 2.1130 238.9250 0.8844 14.1502 GASOIL 11.5774 734.5000 1.5762 25.2197 GASOLINE 0.0378 2.1468 1.7596 28.1534 GAS_US_mini 0.0835 2.2900 3.6450 58.3204 GBP 0.0061 1.2874 0.4749 7.5982 GOLD_micro 21.2311 2484.4000 0.8546 13.6732 HEATOIL 0.0393 2.4207 1.6232 25.9712 JGB-SGX-mini 0.4062 145.4000 0.2794 4.4703 JPY 0.0001 0.0069 0.7847 12.5546 LEANHOG 1.2078 64.9250 1.8604 29.7657 LIVECOW 1.3781 181.0500 0.7612 12.1784 LUMBER-new 9.4124 531.5000 1.7709 28.3345 MILK 0.2551 21.6100 1.1807 18.8912 MXP 0.0005 0.0524 0.9980 15.9688 NASDAQ_micro 266.8432 19081.2500 1.3985 22.3753 NIKKEI 958.0509 36350.0000 2.6356 42.1701 NZD 0.0036 0.6080 0.5875 9.3997 OAT 0.4389 126.8600 0.3459 5.5350 OATIES 5.5785 307.7500 1.8127 29.0026 OJ 7.4782 427.9000 1.7477 27.9624 PALLAD 24.4100 927.5000 2.6318 42.1089 PLAT 16.1867 946.5000 1.7102 27.3626 REDWHEAT 9.1864 562.0000 1.6346 26.1535 RICE 0.1651 14.9650 1.1034 17.6549 ROBUSTA 78.1444 4188.0000 1.8659 29.8546 RUSSELL 31.5129 2099.6000 1.5009 24.0144 SHATZ 0.0809 106.3850 0.0760 1.2164 SILVER-mini 0.5189 28.2625 1.8360 29.3763 SMI 104.3119 11955.0000 0.8725 13.9606 SOFR 0.0652 96.9100 0.0673 1.0765 SOYBEAN 13.2382 961.0000 1.3775 22.0406 SOYMEAL 5.0126 299.0000 1.6765 26.8235 SOYOIL 0.7429 38.9900 1.9055 30.4875 SP400 34.2363 2962.3000 1.1557 18.4917 SP500_micro 53.9378 5453.5000 0.9890 15.8248 SUGAR11 0.3005 18.6400 1.6122 25.7948 US10 0.4284 113.6250 0.3770 6.0319 US10U 0.5871 117.8125 0.4984 7.9739 US2 0.1216 103.3906 0.1176 1.8818 US20 0.9111 123.9688 0.7350 11.7595 US30 1.3702 132.0000 1.0380 16.6083 US5 0.2780 109.2188 0.2545 4.0719 VIX 1.2658 18.3000 6.9169 110.6700 WHEAT 9.0899 552.0000 1.6467 26.3476 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 664.00 0.56 369.38 1.00 369.38 45599.58 123.45 -1.38 -17.07 BITCOIN 61.18 3.47 212.15 1.00 212.15 45599.58 214.94 -9.48 -203.71 BOBL 1182.10 0.20 234.90 1.09 256.48 45599.58 177.79 -4.10 -72.84 BTP 1197.20 0.41 488.41 1.09 533.29 45599.58 85.51 -2.39 -20.41 BUND 1349.60 0.36 488.04 1.09 532.89 45599.58 85.57 0.75 6.44 BUXL 1373.20 0.90 1237.17 1.09 1350.87 45599.58 33.76 -3.81 -12.85 CAC 732.05 0.95 697.82 1.09 761.95 45599.58 59.85 -7.42 -44.42 CAD 730.15 0.32 236.31 1.00 236.31 45599.58 192.97 -5.54 -106.91 CANOLA 116.00 1.61 187.06 0.73 136.23 45599.58 334.72 -11.81 -395.32 CHF 1452.75 0.53 773.42 1.00 773.42 45599.58 58.96 2.98 17.59 COCOA 713.80 3.58 2557.28 1.00 2557.28 45599.58 17.83 5.21 9.29 COFFEE 858.94 2.16 1858.23 1.00 1858.23 45599.58 24.54 1.00 2.46 COPPER 1015.50 1.49 1515.43 1.00 1515.43 45599.58 30.09 -5.16 -15.54 CORN 198.50 1.42 282.00 1.00 282.00 45599.58 161.70 -16.55 -267.58 COTTON2 339.60 1.42 483.01 1.00 483.01 45599.58 94.41 -17.28 -163.11 CRUDE_W 751.00 1.62 1215.13 1.00 1215.13 45599.58 37.53 4.49 16.85 DAX 179.18 0.93 166.29 1.09 181.58 45599.58 251.13 -3.34 -83.87 DOW 199.26 0.84 168.06 1.00 168.06 45599.58 271.32 -2.70 -73.31 DX 1024.05 0.37 376.11 1.00 376.11 45599.58 121.24 -9.34 -113.18 EUR 1376.94 0.41 557.91 1.00 557.91 45599.58 81.73 7.77 63.49 EURIBOR-ICE 2447.00 0.04 103.03 1.09 112.50 45599.58 405.34 4.83 195.86 EUROSTX 472.30 1.07 503.55 1.09 549.83 45599.58 82.93 -6.71 -55.68 FEEDCOW 1194.62 0.88 1056.51 1.00 1056.51 45599.58 43.16 -13.07 -56.40 GASOIL 734.50 1.58 1157.74 1.00 1157.74 45599.58 39.39 -6.97 -27.46 GASOLINE 901.66 1.76 1586.54 1.00 1586.54 45599.58 28.74 4.52 12.98 GAS_US_mini 57.25 3.65 208.68 1.00 208.68 45599.58 218.52 -6.76 -147.69 GBP 804.62 0.47 382.10 1.00 382.10 45599.58 119.34 1.94 23.14 GOLD_micro 248.44 0.85 212.31 1.00 212.31 45599.58 214.78 4.49 96.37 HEATOIL 1016.69 1.62 1650.30 1.00 1650.30 45599.58 27.63 -11.39 -31.48 JGB-SGX-mini 145400.00 0.28 40624.27 0.01 276.00 45599.58 165.22 6.06 100.16 JPY 856.50 0.78 672.06 1.00 672.06 45599.58 67.85 2.75 18.69 LEANHOG 259.70 1.86 483.13 1.00 483.13 45599.58 94.38 2.10 19.84 LIVECOW 724.20 0.76 551.23 1.00 551.23 45599.58 82.72 4.62 38.25 LUMBER-new 146.16 1.77 258.84 1.00 258.84 45599.58 176.17 -2.05 -36.06 MILK 432.20 1.18 510.30 1.00 510.30 45599.58 89.36 4.61 41.16 MXP 261.95 1.00 261.44 1.00 261.44 45599.58 174.42 -4.67 -81.53 NASDAQ_micro 381.62 1.40 533.69 1.00 533.69 45599.58 85.44 -8.01 -68.45 NIKKEI 36350.00 2.64 95805.09 0.01 650.90 45599.58 70.06 -5.20 -36.41 NZD 608.00 0.59 357.19 1.00 357.19 45599.58 127.66 0.12 1.54 OAT 1268.60 0.35 438.86 1.09 479.19 45599.58 95.16 -0.65 -6.23 OATIES 153.88 1.81 278.92 1.00 278.92 45599.58 163.48 -7.63 -124.73 OJ 641.85 1.75 1121.73 1.00 1121.73 45599.58 40.65 7.10 28.84 PALLAD 927.50 2.63 2441.00 1.00 2441.00 45599.58 18.68 -2.36 -4.40 PLAT 473.25 1.71 809.33 1.00 809.33 45599.58 56.34 -4.15 -23.39 REDWHEAT 281.00 1.63 459.32 1.00 459.32 45599.58 99.28 -17.42 -172.91 RICE 299.30 1.10 330.26 1.00 330.26 45599.58 138.07 0.50 6.88 ROBUSTA 418.80 1.87 781.44 1.00 781.44 45599.58 58.35 6.26 36.55 RUSSELL 104.98 1.50 157.56 1.00 157.56 45599.58 289.40 -2.37 -68.62 SHATZ 1063.85 0.08 80.88 1.09 88.31 45599.58 516.37 -2.60 -134.29 SILVER-mini 706.56 1.84 1297.26 1.00 1297.26 45599.58 35.15 -2.82 -9.92 SMI 1195.50 0.87 1043.12 1.15 1202.66 45599.58 37.92 7.18 27.23 SOFR 2422.75 0.07 163.00 1.00 163.00 45599.58 279.75 7.50 209.94 SOYBEAN 480.50 1.38 661.91 1.00 661.91 45599.58 68.89 -16.49 -113.57 SOYMEAL 299.00 1.68 501.26 1.00 501.26 45599.58 90.97 -13.45 -122.36 SOYOIL 233.94 1.91 445.77 1.00 445.77 45599.58 102.29 -11.38 -116.43 SP400 2962.30 1.16 3423.63 1.00 3423.63 45599.58 13.32 -4.23 -5.63 SP500_micro 272.68 0.99 269.69 1.00 269.69 45599.58 169.08 -6.30 -106.60 SUGAR11 208.77 1.61 336.57 1.00 336.57 45599.58 135.48 -7.81 -105.88 US10 1136.25 0.38 428.36 1.00 428.36 45599.58 106.45 4.76 50.72 US10U 1178.12 0.50 587.14 1.00 587.14 45599.58 77.66 6.05 47.01 US2 2067.81 0.12 243.20 1.00 243.20 45599.58 187.50 3.51 65.79 US20 1239.69 0.73 911.13 1.00 911.13 45599.58 50.05 5.99 29.96 US30 1320.00 1.04 1370.18 1.00 1370.18 45599.58 33.28 3.13 10.43 US5 1092.19 0.25 277.95 1.00 277.95 45599.58 164.05 4.63 75.90 VIX 183.00 6.92 1265.79 1.00 1265.79 45599.58 36.02 -3.74 -13.48 WHEAT 276.00 1.65 454.50 1.00 454.50 45599.58 100.33 -14.24 -142.92 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -17.072 0.010 2.5 -0.443 BITCOIN -203.710 0.043 2.5 -22.059 BOBL -72.838 0.004 2.5 -0.739 BTP -20.411 0.014 2.5 -0.696 BUND 6.445 0.004 2.5 0.065 BUXL -12.854 0.004 2.5 -0.130 CAC -44.424 0.014 2.5 -1.515 CAD -106.908 0.010 2.5 -2.774 CANOLA -395.322 0.010 2.5 -9.618 CHF 17.592 0.010 2.5 0.456 COCOA 9.291 0.009 2.5 0.199 COFFEE 2.460 0.005 2.5 0.029 COPPER -15.541 0.043 2.5 -1.683 CORN -267.577 0.010 2.5 -6.510 COTTON2 -163.109 0.009 2.5 -3.493 CRUDE_W 16.850 0.043 2.5 1.825 DAX -83.869 0.014 2.5 -2.861 DOW -73.312 0.009 2.5 -1.704 DX -113.180 0.010 2.5 -2.937 EUR 63.490 0.010 2.5 1.647 EURIBOR-ICE 195.865 0.014 2.5 6.681 EUROSTX -55.681 0.014 2.5 -1.899 FEEDCOW -56.401 0.013 2.5 -1.869 GASOIL -27.458 0.017 2.5 -1.190 GASOLINE 12.984 0.017 2.5 0.563 GAS_US_mini -147.688 0.043 2.5 -15.993 GBP 23.136 0.010 2.5 0.600 GOLD_micro 96.373 0.014 2.5 3.287 HEATOIL -31.475 0.017 2.5 -1.364 JGB-SGX-mini 100.162 0.043 2.5 10.846 JPY 18.693 0.010 2.5 0.485 LEANHOG 19.840 0.024 2.5 1.206 LIVECOW 38.251 0.013 2.5 1.268 LUMBER-new -36.057 0.009 2.5 -0.772 MILK 41.155 0.009 2.5 0.881 MXP -81.534 0.059 2.5 -11.967 NASDAQ_micro -68.450 0.009 2.5 -1.591 NIKKEI -36.415 0.043 2.5 -3.943 NZD 1.542 0.010 2.5 0.040 OAT -6.226 0.014 2.5 -0.212 OATIES -124.735 0.010 2.5 -3.035 OJ 28.843 0.009 2.5 0.618 PALLAD -4.402 0.014 2.5 -0.150 PLAT -23.395 0.014 2.5 -0.798 REDWHEAT -172.913 0.005 2.5 -2.294 RICE 6.877 0.010 2.5 0.167 ROBUSTA 36.550 0.005 2.5 0.427 RUSSELL -68.621 0.013 2.5 -2.274 SHATZ -134.292 0.004 2.5 -1.362 SILVER-mini -9.919 0.014 2.5 -0.338 SMI 27.233 0.014 2.5 0.929 SOFR 209.936 0.024 2.5 12.759 SOYBEAN -113.575 0.004 2.5 -1.056 SOYMEAL -122.358 0.004 2.5 -1.138 SOYOIL -116.431 0.004 2.5 -1.084 SP400 -5.634 0.013 2.5 -0.187 SP500_micro -106.596 0.009 2.5 -2.477 SUGAR11 -105.876 0.009 2.5 -2.252 US10 50.718 0.005 2.5 0.643 US10U 47.014 0.005 2.5 0.596 US2 65.786 0.005 2.5 0.834 US20 29.962 0.005 2.5 0.380 US30 10.428 0.005 2.5 0.132 US5 75.898 0.005 2.5 0.962 VIX -13.482 0.099 2.5 -3.328 WHEAT -142.917 0.005 2.5 -1.896 ===================== Position diags ===================== AUD 3.20 BITCOIN 23.27 BOBL 1.80 BTP 2.92 BUND 0.87 BUXL 0.34 CAC 2.04 CAD 5.01 CANOLA 8.14 CHF 1.53 COCOA 0.38 COFFEE 0.29 COPPER 3.26 CORN 3.93 COTTON2 2.02 CRUDE_W 4.06 DAX 8.57 DOW 6.31 DX 3.15 EUR 2.12 EURIBOR-ICE 13.83 EUROSTX 2.83 FEEDCOW 1.43 GASOIL 1.71 GASOLINE 1.25 GAS_US_mini 23.66 GBP 3.10 GOLD_micro 7.33 HEATOIL 1.20 JGB-SGX-mini 17.89 JPY 1.76 LEANHOG 5.74 LIVECOW 2.74 LUMBER-new 3.77 MILK 1.91 MXP 25.60 NASDAQ_micro 1.99 NIKKEI 7.59 NZD 3.31 OAT 3.25 OATIES 3.98 OJ 0.87 PALLAD 0.64 PLAT 1.92 REDWHEAT 1.32 RICE 3.36 ROBUSTA 0.68 RUSSELL 9.59 SHATZ 5.24 SILVER-mini 1.20 SMI 1.29 SOFR 17.00 SOYBEAN 0.64 SOYMEAL 0.85 SOYOIL 0.95 SP400 0.44 SP500_micro 3.93 SUGAR11 2.88 US10 1.35 US10U 0.98 US2 2.38 US20 0.63 US30 0.42 US5 2.08 VIX 8.89 WHEAT 1.33 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.4 -0.8 -0.1 0.0 0 BITCOIN -22.1 -24.4 -19.7 0.0 0 BOBL -0.7 -0.9 -0.6 0.0 0 BTP -0.7 -1.0 -0.4 0.0 0 BUND 0.1 -0.0 0.2 0.0 0 BUXL -0.1 -0.2 -0.1 0.0 0 CAC -1.5 -1.7 -1.3 0.0 0 CAD -2.8 -3.3 -2.3 -1.0 -1 CANOLA -9.6 -10.4 -8.8 -1.0 -1 CHF 0.5 0.3 0.6 2.0 2 COCOA 0.2 0.2 0.2 0.0 0 COFFEE 0.0 0.0 0.1 0.0 0 COPPER -1.7 -2.0 -1.4 -1.0 -1 CORN -6.5 -6.9 -6.1 -3.0 -3 COTTON2 -3.5 -3.7 -3.3 -5.0 -5 CRUDE_W 1.8 1.4 2.2 3.0 3 DAX -2.9 -3.7 -2.0 0.0 0 DOW -1.7 -2.3 -1.1 0.0 0 DX -2.9 -3.3 -2.6 0.0 0 EUR 1.6 1.4 1.9 1.0 1 EURIBOR-ICE 6.7 5.3 8.1 0.0 0 EUROSTX -1.9 -2.2 -1.6 -2.0 -2 FEEDCOW -1.9 -2.0 -1.7 -2.0 -2 GASOIL -1.2 -1.4 -1.0 -1.0 -1 GASOLINE 0.6 0.4 0.7 0.0 0 GAS_US_mini -16.0 -18.4 -13.6 -17.0 -17 GBP 0.6 0.3 0.9 0.0 0 GOLD_micro 3.3 2.6 4.0 1.0 1 HEATOIL -1.4 -1.5 -1.2 -2.0 -2 JGB-SGX-mini 10.8 9.1 12.6 4.0 4 JPY 0.5 0.3 0.7 2.0 2 LEANHOG 1.2 0.6 1.8 1.0 1 LIVECOW 1.3 1.0 1.5 3.0 3 LUMBER-new -0.8 -1.1 -0.4 -2.0 -2 MILK 0.9 0.7 1.1 NaN 0 MXP -12.0 -14.5 -9.4 -13.0 -13 NASDAQ_micro -1.6 -1.8 -1.4 -2.0 -2 NIKKEI -3.9 -4.7 -3.2 -3.0 -3 NZD 0.0 -0.3 0.4 -2.0 -2 OAT -0.2 -0.5 0.1 -1.0 -1 OATIES -3.0 -3.4 -2.6 NaN 0 OJ 0.6 0.5 0.7 1.0 1 PALLAD -0.2 -0.2 -0.1 -1.0 -1 PLAT -0.8 -1.0 -0.6 -1.0 -1 REDWHEAT -2.3 -2.4 -2.2 -2.0 -2 RICE 0.2 -0.2 0.5 NaN 0 ROBUSTA 0.4 0.4 0.5 0.0 0 RUSSELL -2.3 -3.2 -1.3 1.0 1 SHATZ -1.4 -1.9 -0.8 NaN 0 SILVER-mini -0.3 -0.5 -0.2 -1.0 -1 SMI 0.9 0.8 1.1 0.0 0 SOFR 12.8 11.1 14.5 NaN 0 SOYBEAN -1.1 -1.1 -1.0 -5.0 -5 SOYMEAL -1.1 -1.2 -1.1 0.0 0 SOYOIL -1.1 -1.2 -1.0 0.0 0 SP400 -0.2 -0.2 -0.1 -2.0 -2 SP500_micro -2.5 -2.9 -2.1 0.0 0 SUGAR11 -2.3 -2.5 -2.0 0.0 0 US10 0.6 0.5 0.8 0.0 0 US10U 0.6 0.5 0.7 2.0 2 US2 0.8 0.6 1.1 NaN 0 US20 0.4 0.3 0.4 0.0 0 US30 0.1 0.1 0.2 3.0 3 US5 1.0 0.8 1.2 3.0 3 VIX -3.3 -4.2 -2.4 -2.0 -2 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 -0.2 0.1 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.2 -0.1 -0.1 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.1 0.5 -0.0 0.1 -0.0 0.0 -0.0 -0.0 -0.0 0.3 -0.6 -0.1 0.2 0.4 -0.2 0.4 -0.0 BITCOIN -0.1 -0.4 -0.5 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.1 -0.0 0.3 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.2 -0.1 -2.7 -0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.2 -0.5 0.2 0.1 0.3 -0.5 -0.2 -0.2 -0.0 BOBL 0.6 0.6 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.2 0.1 0.1 -0.4 -0.3 -0.4 -0.4 0.1 0.0 0.1 -0.1 0.2 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 -0.2 0.1 0.0 -0.2 -0.7 -0.7 -0.3 -0.4 BTP 0.3 0.4 0.0 0.1 0.0 0.1 0.1 0.0 0.1 0.1 0.2 0.2 0.5 0.2 0.2 0.0 0.1 0.0 0.0 0.1 0.1 0.1 0.2 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 0.6 -0.5 -0.6 -0.3 -0.5 -0.7 -0.5 -0.1 0.1 BUND 0.6 0.5 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 0.1 0.0 0.1 0.0 0.1 0.0 0.1 -0.0 0.2 0.1 0.0 0.0 0.0 0.0 0.0 0.1 0.4 -0.2 -0.0 -0.1 -0.2 -0.7 -0.7 -0.3 -0.4 BUXL 0.6 0.3 0.1 0.0 0.0 0.1 0.0 0.0 0.1 0.0 -0.1 0.1 -0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.1 0.1 0.0 0.1 -0.1 0.1 -0.5 0.0 0.0 0.0 0.0 0.0 0.1 0.1 -0.3 -0.2 -0.3 -0.4 -0.7 -0.7 -0.4 -0.3 CAC -0.4 -0.6 -0.6 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 -0.2 -0.1 0.1 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 0.0 -0.2 -1.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.4 0.2 0.2 -0.6 -0.6 0.3 0.2 0.1 0.2 CAD -0.2 -0.1 -0.1 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.2 -0.5 0.1 -0.7 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.3 -0.0 -0.2 -0.1 0.1 -0.2 0.1 -0.2 -0.0 -0.1 0.5 -0.1 0.0 -0.3 0.3 -0.2 -0.0 -0.1 CANOLA -0.5 -0.0 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -2.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.0 0.2 -0.1 -0.1 -0.0 -0.4 0.3 -0.1 CHF 0.6 0.6 0.4 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.3 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.0 0.1 -0.1 0.2 0.5 0.0 0.0 0.0 0.0 -0.0 0.1 -1.1 0.5 0.6 0.6 0.5 0.2 -0.4 -0.2 -0.4 COCOA -0.1 -0.4 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 0.4 0.4 0.4 -0.0 0.0 0.0 0.2 -0.0 -2.6 0.0 0.0 0.1 0.0 0.4 0.0 1.1 0.2 0.2 0.0 0.0 0.6 0.2 0.7 0.4 COFFEE -0.5 -0.2 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.3 -0.0 0.5 -0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.4 0.0 -2.7 0.0 -0.0 0.2 0.0 0.4 0.0 0.4 0.5 0.1 0.6 0.5 -0.1 -0.4 0.1 -0.1 COPPER -0.6 -0.6 -0.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -1.4 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.3 -0.1 -0.5 -0.2 0.2 0.3 0.1 0.6 0.4 CORN 0.1 -0.6 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.1 -0.4 -0.1 -1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.1 0.1 -0.6 -0.3 -0.3 -0.3 -0.2 -0.0 COTTON2 -0.1 -0.3 -0.6 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.5 -0.1 -0.5 -0.2 -0.2 -0.2 -0.0 -0.2 -0.1 -0.2 -0.2 -0.0 -0.5 -0.1 -2.7 -0.1 -0.0 -0.2 -0.0 -0.1 -0.0 -0.5 0.2 -0.1 0.1 -0.6 -0.3 -0.3 0.1 -0.1 CRUDE_W -0.4 -0.3 -0.4 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.1 0.1 -0.0 0.4 -0.1 -0.1 0.3 0.3 0.3 0.3 -0.1 -0.0 0.0 0.1 -0.1 -0.3 -0.1 0.1 -0.1 0.0 0.0 -0.0 0.5 0.2 -0.3 -0.1 -0.3 0.5 0.7 0.6 0.7 DAX -0.5 -0.5 -0.6 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.1 -0.1 0.4 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.1 -0.0 -0.1 0.2 -0.1 1.2 -0.0 0.0 0.0 -0.0 0.1 -0.1 -0.4 -0.0 0.1 -0.4 -0.4 0.3 0.1 -0.1 0.1 DOW -0.6 -0.1 -0.3 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.1 -0.1 0.3 -0.0 0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.0 -0.0 0.2 -0.0 -1.1 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.4 0.1 0.5 0.3 -0.0 0.4 -0.0 0.1 -0.1 DX -0.3 -0.5 -0.2 -0.0 0.1 -0.1 0.0 -0.0 -0.0 -0.1 0.2 -0.2 0.5 -0.2 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.0 -0.2 0.1 -0.2 -2.7 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.9 -0.5 -0.5 -0.5 -0.3 -0.3 0.2 -0.3 0.3 EUR 0.1 0.3 0.1 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.2 -0.1 0.2 -0.3 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 2.7 0.1 0.1 0.1 0.1 0.0 0.1 -0.4 0.5 0.6 0.6 0.4 0.1 -0.6 -0.0 -0.6 EURIBOR-ICE 0.6 0.6 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.1 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.0 0.2 1.7 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 0.1 0.1 -0.1 -0.7 -0.7 -0.2 0.0 EUROSTX -0.6 -0.6 -0.6 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.1 -0.1 0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.2 -0.2 -0.2 -0.0 0.0 -0.0 -0.0 0.1 -0.1 0.3 0.1 -0.0 -0.6 -0.5 0.0 0.0 -0.5 -0.0 FEEDCOW -0.6 -0.6 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 0.2 -0.4 -0.0 -0.2 -0.2 -0.1 -0.2 -0.1 -0.2 -0.9 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -1.1 -0.5 -0.6 -0.6 -0.2 0.1 0.7 0.3 0.7 GASOIL -0.4 -0.2 -0.4 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.1 -0.1 -0.1 0.3 -0.1 -0.1 0.0 0.2 0.0 0.1 -0.1 -0.1 -0.0 0.1 -0.1 0.6 -0.1 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 -0.3 -0.1 -0.1 -0.4 -0.5 -0.7 -0.7 GASOLINE -0.3 -0.1 -0.4 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.1 0.1 0.0 0.4 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 -0.0 0.0 0.1 -0.1 -2.7 -0.0 0.0 -0.1 0.0 0.1 -0.0 1.1 -0.0 0.1 0.2 -0.1 0.7 0.7 0.7 0.7 GAS_US_mini -0.1 -0.6 0.4 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.3 0.0 -0.5 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.0 -0.5 -0.1 2.7 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -1.1 -0.0 0.2 -0.4 0.4 -0.1 -0.4 -0.3 -0.6 GBP -0.5 0.1 0.2 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.1 0.3 -0.1 0.3 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.0 0.2 -0.0 -0.1 0.0 0.1 0.1 -0.0 0.2 -0.0 0.2 -0.3 -0.3 0.4 0.6 0.3 -0.7 0.2 -0.5 GOLD_micro -0.1 0.0 -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 -0.2 -0.3 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 -0.6 0.0 0.1 0.1 0.1 0.2 0.0 -0.7 0.4 0.5 0.6 0.5 0.3 -0.1 0.6 0.1 HEATOIL -0.3 -0.1 -0.4 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.0 -0.2 -0.1 0.1 -0.1 -0.1 -0.1 0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -2.7 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 -0.3 -0.2 -0.3 -0.1 -0.4 -0.1 0.2 -0.4 0.1 JGB-SGX-mini 0.6 0.5 -0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.0 0.0 0.0 0.3 0.4 0.4 0.4 0.0 0.0 0.1 -0.0 0.1 -1.0 0.0 0.0 -0.0 0.0 -0.0 0.0 1.1 0.2 0.2 -0.1 -0.3 -0.2 -0.2 -0.1 0.4 JPY 0.6 0.6 0.4 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.3 0.1 0.0 -0.2 -0.3 -0.3 -0.3 0.1 -0.0 0.1 -0.2 0.2 2.7 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 0.5 0.6 0.6 0.0 -0.7 -0.5 -0.7 -0.5 LEANHOG 0.5 0.0 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.2 0.0 -0.1 0.4 0.2 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 0.0 0.5 0.1 -0.5 -0.0 -0.2 0.1 0.1 LIVECOW -0.6 -0.1 0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.4 -0.1 0.3 -0.1 0.1 0.3 0.2 0.3 0.3 0.0 0.1 -0.1 0.2 -0.1 -1.6 0.0 -0.0 0.1 -0.1 0.2 -0.1 0.9 -0.5 -0.1 0.6 0.6 -0.0 0.7 0.1 0.7 LUMBER-new 0.7 0.3 -0.4 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 0.1 -0.3 0.1 -0.4 0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.1 -0.3 0.1 NaN -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.2 0.6 0.7 0.6 -0.3 0.1 -0.2 0.3 -0.0 MILK 0.0 0.1 0.6 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.3 0.1 0.0 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.1 0.1 0.1 2.4 0.0 0.1 0.1 0.1 0.0 0.0 -1.1 0.5 0.6 0.4 0.6 -0.1 -0.7 0.0 -0.7 MXP -0.6 -0.3 -0.6 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.2 -0.1 0.0 -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 -0.3 -0.6 -0.2 -0.6 0.6 0.4 0.7 0.6 NASDAQ_micro -0.6 -0.6 -0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.3 -0.1 -0.0 -0.1 -0.2 -0.2 -0.2 -0.0 0.0 -0.0 0.2 -0.1 -2.1 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.4 0.5 -0.3 -0.3 0.1 0.1 0.2 -0.2 0.1 NIKKEI -0.6 -0.6 -0.6 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.2 -0.0 -0.0 0.2 0.2 0.2 0.2 -0.0 -0.0 -0.0 0.1 -0.1 -1.1 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.1 -0.4 -0.6 -0.4 -0.3 0.3 -0.1 0.1 -0.2 NZD -0.2 -0.4 0.1 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.2 -0.2 0.1 -0.2 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 0.1 -0.1 -0.0 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.0 0.2 0.5 0.0 -0.4 0.1 0.3 -0.2 0.3 -0.0 OAT 0.5 0.4 -0.1 0.0 0.0 0.0 0.0 0.0 0.1 0.1 -0.2 0.1 -0.1 0.1 0.1 0.0 0.1 0.0 0.0 0.1 -0.0 0.1 -0.1 0.1 0.3 0.0 0.0 0.0 0.1 -0.0 0.1 0.6 -0.3 -0.3 -0.3 -0.5 -0.7 -0.7 -0.2 -0.1 OATIES 0.0 -0.4 -0.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.2 0.0 0.1 0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.1 0.2 -0.2 0.0 0.2 -0.0 0.6 0.3 OJ -0.4 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.3 -0.0 0.5 -0.1 0.1 0.1 0.2 0.2 0.2 0.1 0.2 -0.0 0.5 -0.0 -2.7 0.0 0.0 0.2 -0.0 0.5 -0.0 0.8 0.5 0.0 0.4 0.6 0.5 0.3 0.7 0.7 PALLAD -0.2 0.0 0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 0.0 -0.3 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.2 -0.0 1.8 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.3 0.1 0.0 0.4 0.0 -0.7 -0.7 -0.7 -0.7 PLAT -0.4 -0.4 0.0 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 0.8 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 -0.2 0.1 0.3 -0.4 -0.3 -0.2 0.1 REDWHEAT -0.1 -0.6 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.4 -0.1 -0.6 -0.2 -0.2 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.5 -0.2 -0.8 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.8 0.4 0.2 -0.6 0.2 -0.7 -0.7 -0.5 -0.6 RICE 0.4 -0.6 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 0.0 0.5 -0.0 0.0 -0.1 0.4 0.4 0.4 -0.0 0.0 -0.1 0.2 -0.0 -1.4 0.0 -0.1 0.1 -0.1 0.1 -0.0 1.1 -0.2 0.6 0.4 0.6 -0.7 -0.4 -0.7 -0.4 ROBUSTA -0.6 -0.2 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.3 0.0 0.4 0.0 0.1 0.4 0.4 0.4 0.4 0.1 0.2 0.0 0.5 0.0 -2.7 0.0 0.0 0.2 0.0 0.3 0.0 1.1 0.5 0.1 0.6 0.6 0.1 -0.2 0.3 0.1 RUSSELL -0.5 0.1 -0.1 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.1 -0.1 0.2 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 0.1 -0.0 -0.1 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 -0.2 0.4 0.4 0.1 0.2 -0.7 -0.1 -0.7 SHATZ 0.6 0.6 0.5 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.1 -0.2 0.2 0.9 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 -0.0 0.2 0.2 -0.1 -0.7 -0.5 -0.6 -0.4 SILVER-mini -0.6 -0.5 0.0 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.1 -0.1 0.3 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -0.1 -0.1 -0.4 -0.0 0.2 0.1 -0.2 0.3 0.2 SMI -0.6 -0.6 0.2 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.2 -0.0 0.4 -0.0 0.1 -0.1 0.0 -0.1 -0.0 -0.0 0.1 -0.1 0.2 -0.1 1.3 0.0 0.0 0.2 0.0 0.2 0.0 0.5 0.5 0.6 0.2 0.4 0.1 0.1 -0.2 -0.0 SOFR 0.4 0.6 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.0 0.1 0.1 0.0 -0.0 -0.0 -0.0 0.2 0.1 0.1 0.0 0.2 -0.5 0.0 0.0 0.1 0.0 0.0 0.0 0.2 0.1 0.0 0.1 0.2 0.3 -0.5 0.7 0.2 SOYBEAN -0.2 -0.5 -0.4 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.2 0.1 -0.1 -0.0 -0.2 -0.1 -0.1 -0.2 -0.2 -2.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.2 -0.5 -0.3 -0.2 -0.7 -0.0 -0.7 SOYMEAL 0.3 -0.4 -0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.0 0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -2.5 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.2 -0.1 0.2 -0.2 0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.6 0.0 -0.0 -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 -2.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.4 -0.0 -0.2 -0.2 -0.4 0.1 -0.1 SP400 -0.4 -0.2 -0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.1 -0.1 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.1 -0.1 -1.1 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.0 -0.1 0.4 0.3 -0.0 0.2 -0.3 -0.0 -0.7 SP500_micro -0.6 -0.6 -0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.2 -0.0 0.4 -0.1 0.0 -0.2 -0.2 -0.2 -0.3 -0.0 0.1 -0.0 0.3 -0.1 -1.9 -0.0 0.0 0.1 -0.0 0.2 -0.0 -0.6 0.4 -0.2 -0.1 0.2 0.4 0.1 -0.1 0.1 SUGAR11 -0.3 0.0 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.1 -0.0 -0.3 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.2 0.0 -0.3 0.3 -0.1 -0.1 0.6 0.0 0.7 US10 0.5 0.6 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 -0.1 0.1 0.1 -0.2 -0.2 -0.2 -0.1 0.1 0.1 0.1 -0.0 0.1 0.3 0.0 0.0 0.1 0.0 0.0 0.0 -0.4 0.1 0.1 0.0 0.1 0.2 -0.7 0.6 0.1 US10U 0.4 0.5 0.6 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 -0.1 -0.1 -0.1 0.1 0.1 0.1 -0.1 0.2 -0.0 0.0 0.0 0.1 0.0 0.0 0.1 0.0 0.0 -0.0 -0.1 0.1 0.2 -0.6 0.7 0.4 US2 0.6 0.6 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.1 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.1 -0.1 0.2 1.6 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 0.4 0.3 0.3 0.1 0.1 -0.7 0.2 -0.4 US20 0.4 0.3 0.5 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.0 -0.0 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 -0.0 0.1 -0.2 0.0 0.0 0.1 0.0 0.0 0.0 0.2 0.0 -0.1 -0.1 0.1 0.2 -0.3 0.7 0.7 US30 0.3 0.3 0.5 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 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.0 0.1 -0.1 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 -0.1 -0.2 -0.2 0.0 0.1 -0.3 0.5 0.7 US5 0.5 0.6 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 -0.2 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 -0.0 0.2 0.7 0.0 0.0 0.0 0.0 0.0 0.0 -0.7 0.2 0.2 0.1 0.2 0.2 -0.7 0.5 -0.1 VIX 1.0 1.0 1.0 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.2 -0.0 -0.6 0.0 -0.1 -0.6 -0.6 -0.6 -0.6 0.1 -0.0 0.0 -0.2 0.1 NaN 0.0 0.0 -0.0 0.1 -0.1 0.1 NaN NaN NaN NaN NaN -0.8 -1.1 NaN NaN WHEAT -0.0 -0.6 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.0 -0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.0 -0.3 -0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.4 0.2 -0.4 0.1 -0.6 -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 -19.0 -6.6 3.6 -4.0 8.6 -3.0 1.2 -0.6 -3.4 19.2 -4.3 -7.0 -4.3 -13.2 -4.0 -2.0 -2.6 -2.2 -2.4 -7.9 -1.9 5.4 -1.7 -9.0 3.5 -3.8 10.4 -1.0 2.6 -0.3 -4.0 -0.0 14.1 -20.0 -3.6 5.8 10.9 -4.8 12.6 -0.8 BITCOIN -4.3 -13.7 -14.3 -4.1 1.9 -2.8 -0.7 -1.1 -3.2 1.1 3.0 -3.9 7.8 -4.2 -5.3 -5.4 -7.1 -6.4 -6.9 -5.0 0.6 -6.1 7.5 -7.4 -20.0 -2.4 -0.5 1.2 -3.8 5.6 -3.9 -2.9 -20.0 7.2 4.3 7.9 -14.8 -6.9 -5.2 -0.8 BOBL 20.0 18.4 5.5 3.1 2.5 1.5 3.5 0.1 4.0 5.5 -3.9 8.3 -5.3 9.6 8.0 -20.0 -15.8 -20.0 -20.0 11.2 3.0 12.2 -3.6 15.6 4.4 3.3 2.2 1.2 3.5 -0.2 4.4 -20.0 -6.6 2.8 0.6 -6.5 -20.0 -19.7 -10.2 -11.0 BTP 9.5 12.1 0.4 5.3 4.3 2.6 6.1 0.2 6.9 15.7 7.8 16.2 13.1 18.8 16.1 1.2 3.9 1.5 2.4 13.1 9.0 14.1 8.7 15.8 -20.0 5.7 8.0 4.1 6.4 4.1 6.9 11.1 -20.0 -20.0 -8.7 -13.9 -19.9 -16.2 -4.1 4.2 BUND 19.6 14.1 5.0 3.4 2.7 1.6 3.9 0.1 4.4 5.7 -3.1 8.6 -2.0 10.3 8.8 6.7 1.2 3.9 1.5 10.5 3.7 11.4 -1.8 14.3 1.0 3.6 2.5 1.7 3.8 0.4 4.7 7.3 -10.1 -1.4 -3.0 -7.4 -20.0 -20.0 -9.0 -10.7 BUXL 17.5 9.4 3.0 3.8 3.1 1.9 4.4 0.1 5.0 4.8 -4.7 8.6 -1.6 10.2 7.0 -0.6 -2.4 -1.7 -2.6 8.4 2.1 10.9 -3.2 13.0 -3.4 3.7 2.8 1.7 4.3 0.4 5.2 1.2 -12.8 -5.8 -8.9 -12.0 -20.0 -20.0 -13.1 -10.3 CAC -11.8 -17.8 -20.0 -0.6 -0.1 2.5 -4.3 4.0 -4.1 -4.3 -7.6 -8.7 3.7 -11.6 -14.0 -5.5 -1.7 -5.2 -2.9 -18.5 -10.6 -12.6 0.3 -19.1 -7.4 -5.1 -0.4 -2.5 -3.3 0.8 -5.1 7.1 9.0 5.8 -20.0 -20.0 7.8 5.2 2.2 6.1 CAD -5.6 -2.0 -3.3 -4.5 9.7 -3.4 1.4 -0.7 -3.8 20.0 -20.0 6.3 -19.2 -6.6 -11.5 -4.9 -3.3 -4.5 -3.9 -9.8 -11.4 10.6 -12.2 -3.0 -1.3 -5.6 10.6 -5.8 6.0 -5.5 -1.9 -1.8 20.0 -2.5 0.8 -7.9 9.2 -6.5 -0.2 -4.3 CANOLA -14.9 -1.5 4.9 -2.3 -3.1 -1.6 -2.8 -1.0 -2.5 -6.7 -4.5 -7.1 -6.2 -6.2 -5.0 -10.0 -10.2 -12.2 -12.7 -6.3 -4.6 -12.3 -5.4 -10.0 -15.1 -2.1 -2.9 -2.1 -2.5 -2.6 -2.3 -20.0 -1.1 4.7 -2.2 -2.6 -0.6 -11.3 7.6 -4.2 CHF 19.8 18.7 13.1 -2.4 5.1 -1.8 0.7 -0.3 -2.0 0.2 -5.3 5.3 -7.0 8.1 8.3 -14.8 -16.6 -16.4 -16.5 11.1 2.6 10.3 -2.7 15.3 3.7 3.8 0.8 1.2 3.6 -0.3 5.1 -20.0 20.0 20.0 20.0 14.8 5.1 -11.2 -5.6 -12.0 COCOA -1.8 -11.6 4.0 -2.0 -2.8 -1.4 -2.5 -0.9 -2.2 2.0 1.9 0.6 3.3 -3.0 -3.2 20.0 18.6 20.0 20.0 -0.6 3.1 1.7 7.2 -0.4 -19.2 0.6 1.7 5.0 1.0 10.5 0.1 20.0 9.1 5.1 0.7 0.6 16.9 6.4 20.0 10.5 COFFEE -15.0 -4.7 4.9 -5.0 -6.9 -3.5 -6.1 -2.1 -5.5 -2.6 12.4 -1.3 13.0 -1.0 9.5 3.7 6.4 4.1 5.6 7.1 12.7 -0.1 13.4 1.9 -20.0 2.8 -2.5 7.3 0.3 9.8 0.5 7.2 20.0 4.5 17.4 16.6 -2.9 -10.6 4.2 -3.9 COPPER -20.0 -20.0 -11.9 -2.6 1.2 -1.8 -0.4 -0.7 -2.1 -0.5 -2.0 -6.2 0.7 -8.1 -7.9 -2.9 -2.7 -1.5 -1.8 -9.9 -2.4 -5.8 3.0 -11.3 -10.6 -2.6 0.5 -0.7 -1.3 0.8 -2.7 5.4 -3.1 -13.9 -7.5 6.9 9.7 3.2 18.5 13.2 CORN 1.8 -20.0 -11.1 -3.5 -4.8 -2.4 -4.2 -1.5 -3.9 -6.0 -11.0 -9.2 -11.7 -11.2 -11.5 -19.3 -14.0 -18.2 -17.3 -16.0 -15.8 -7.2 -14.5 -11.6 -8.2 -3.9 -1.2 -3.8 -1.8 -3.3 -2.9 -20.0 3.9 2.4 -18.3 -8.8 -7.8 -9.7 -5.9 -1.2 COTTON2 -3.3 -9.1 -20.0 -5.0 -6.8 -3.5 -6.0 -2.1 -5.5 -1.2 -17.1 -10.9 -14.6 -14.4 -16.5 -11.3 -1.8 -8.4 -4.7 -19.5 -20.0 -5.4 -18.8 -12.4 -20.0 -5.8 -0.0 -5.7 -1.9 -2.9 -4.1 -8.7 8.5 -4.0 4.2 -19.5 -9.1 -9.3 3.6 -2.4 CRUDE_W -13.5 -8.5 -11.0 -4.4 5.1 -2.3 0.4 0.4 -3.9 12.1 2.3 -1.5 11.7 -7.8 -5.5 12.6 12.7 13.5 13.3 -7.1 -1.4 2.8 4.4 -7.5 -2.6 -5.2 5.9 -3.3 0.9 0.3 -4.0 9.7 6.9 -8.0 -1.8 -8.4 15.5 20.0 17.4 20.0 DAX -16.5 -15.7 -17.6 -0.6 -0.1 2.3 -3.9 3.7 -3.7 -2.9 3.4 -6.2 10.0 -8.0 -7.9 -7.4 -10.7 -8.9 -10.0 -9.0 -0.5 -10.2 6.9 -13.8 8.6 -3.2 0.2 0.6 -4.0 3.9 -5.2 -7.4 -1.2 2.9 -13.0 -13.5 10.2 4.1 -4.0 4.3 DOW -17.4 -1.9 -10.1 -0.5 -0.1 1.9 -3.3 3.0 -3.1 -1.8 3.5 -5.2 9.1 -4.4 0.1 -8.8 -11.1 -10.3 -10.9 0.2 3.6 -5.1 6.3 -4.4 -8.5 0.9 0.8 2.6 -2.1 4.0 -1.3 -8.4 3.8 16.0 8.2 -0.0 12.6 -0.4 2.8 -3.8 DX -10.6 -15.6 -6.6 -3.6 7.6 -2.7 1.1 -0.5 -3.0 -16.3 7.4 -16.2 12.7 -17.3 -13.8 6.7 7.0 7.2 7.1 -11.8 -2.1 -19.8 4.7 -18.6 -20.0 -5.3 -8.4 -1.2 -8.6 1.7 -8.2 16.5 -20.0 -14.3 -15.0 -9.3 -7.8 5.4 -9.0 8.2 EUR 1.9 9.6 4.4 -4.0 8.6 -3.0 1.2 -0.6 -3.4 18.4 -5.1 16.5 -9.6 16.7 13.9 -7.1 -7.2 -7.4 -7.3 7.2 1.7 15.5 -2.5 11.6 20.0 5.0 13.3 2.3 10.1 0.4 7.6 -8.0 20.0 20.0 20.0 12.3 2.9 -17.4 -1.2 -17.6 EURIBOR-ICE 20.0 20.0 4.3 2.6 2.1 1.3 3.0 0.1 3.4 7.5 -1.2 8.5 1.4 9.3 8.0 -0.4 -4.2 -2.7 -3.5 12.6 5.6 13.1 1.4 16.0 12.7 3.0 2.7 1.4 3.2 0.5 3.8 -0.9 -5.6 2.7 3.8 -4.2 -20.0 -20.0 -6.5 1.4 EUROSTX -17.7 -19.9 -20.0 -0.6 -0.1 2.2 -3.8 3.6 -3.6 -2.6 3.6 -6.9 9.5 -9.7 -9.9 -3.7 -2.7 -4.7 -4.1 -11.5 -2.4 -10.1 6.5 -15.2 -1.7 -3.7 0.1 -0.0 -3.5 3.4 -5.1 4.9 5.7 -0.4 -17.7 -16.0 1.4 0.9 -13.9 -0.8 FEEDCOW -20.0 -18.2 -6.1 -5.4 -7.4 -3.8 -6.6 -2.3 -6.0 -11.1 -5.8 -15.0 -6.0 -16.4 -11.0 8.9 -20.0 -1.9 -12.4 -20.0 -12.7 -20.0 -5.4 -20.0 -6.7 -5.2 -3.1 -2.8 -7.5 -0.8 -7.6 -20.0 -20.0 -20.0 -20.0 -6.9 1.7 20.0 8.7 20.0 GASOIL -12.3 -6.8 -13.7 -4.1 4.7 -2.1 0.4 0.4 -3.6 8.3 -3.8 -5.6 9.4 -11.8 -10.5 1.8 10.1 0.8 4.1 -10.7 -5.3 -4.9 2.4 -12.1 4.4 -5.1 2.7 -2.7 -2.6 0.4 -5.7 0.1 -9.7 -10.2 -1.7 -3.4 -12.5 -15.0 -20.0 -20.0 GASOLINE -7.8 -4.2 -11.1 -4.3 4.9 -2.2 0.4 0.4 -3.8 6.2 3.6 0.1 10.7 -6.3 -7.2 20.0 20.0 20.0 20.0 -5.1 -0.9 0.9 5.5 -5.1 -20.0 -4.5 4.0 -2.6 0.6 1.9 -3.3 20.0 -0.3 2.5 6.4 -4.2 20.0 20.0 20.0 20.0 GAS_US_mini -2.6 -20.0 13.2 -2.9 3.4 -1.5 0.3 0.3 -2.6 10.3 -12.1 3.3 -13.0 -10.1 -11.6 -20.0 -20.0 -20.0 -20.0 -12.1 -12.1 3.0 -17.8 -7.2 20.0 -3.1 3.1 -3.2 1.8 -4.5 -1.7 -20.0 -1.5 6.4 -11.6 12.0 -4.1 -11.4 -9.4 -17.7 GBP -14.2 3.1 6.3 -4.3 9.1 -3.2 1.3 -0.6 -3.6 13.4 12.6 -9.5 7.9 -3.3 10.4 -0.4 -0.8 -0.6 -0.7 3.9 7.3 -0.4 6.9 -2.7 -0.6 2.4 9.0 5.0 -0.8 4.9 -1.9 3.1 -14.1 -8.0 13.6 20.0 7.5 -20.0 7.0 -13.7 GOLD_micro -2.3 1.5 -1.8 -3.6 1.6 -2.4 -0.6 -1.0 -2.8 9.6 9.9 5.5 10.4 5.8 5.1 -11.4 -13.3 -11.7 -12.3 6.9 9.9 9.2 11.8 6.5 -4.8 1.7 8.1 4.1 5.0 6.8 2.5 -12.8 15.3 16.2 20.0 14.3 9.1 -4.2 17.3 2.1 HEATOIL -10.5 -4.4 -11.2 -4.3 4.9 -2.2 0.4 0.4 -3.8 5.4 -8.8 -4.8 3.8 -11.3 -10.3 -4.7 7.7 -4.7 -0.2 -10.8 -7.0 -3.6 -1.0 -11.3 -20.0 -5.8 3.3 -4.7 -1.5 -1.2 -5.0 -5.7 -6.3 -7.7 -2.5 -11.4 -2.0 5.8 -12.0 2.2 JGB-SGX-mini 20.0 14.5 -1.8 2.0 1.6 1.0 2.3 0.1 2.6 4.7 -2.0 4.9 -0.7 4.1 1.6 16.6 18.7 19.4 18.8 4.1 0.4 10.0 -0.6 8.6 -7.1 1.4 2.3 -0.1 3.5 -0.6 3.1 20.0 9.1 4.8 -2.9 -8.1 -4.8 -4.9 -2.4 12.9 JPY 20.0 20.0 10.8 -1.5 3.2 -1.1 0.5 -0.2 -1.3 0.8 -4.0 5.2 -7.1 6.4 3.6 -12.3 -15.8 -14.1 -14.9 8.2 -0.6 10.8 -7.0 14.1 20.0 1.9 0.7 -0.1 2.5 -1.5 3.3 -20.0 20.0 20.0 18.5 0.7 -20.0 -15.7 -20.0 -15.2 LEANHOG 15.6 0.0 -20.0 -3.5 -4.8 -2.4 -4.2 -1.5 -3.8 -10.1 -7.2 -4.4 -6.1 2.0 -7.2 20.0 7.5 20.0 20.0 -8.5 -11.1 -7.6 -9.3 -4.6 3.4 -2.7 -4.1 -3.3 -2.7 -2.5 -1.6 20.0 1.9 16.5 4.5 -16.4 -1.2 -6.8 3.2 3.3 LIVECOW -18.9 -2.1 11.5 -6.3 -8.6 -4.4 -7.6 -2.7 -7.0 -7.4 13.9 -12.5 8.4 -7.6 9.0 13.5 10.1 13.0 13.5 2.3 9.6 -15.6 9.2 -11.6 -11.9 0.5 -0.9 3.9 -6.2 5.0 -4.9 17.2 -20.0 -3.4 20.0 20.0 -0.8 20.0 4.1 20.0 LUMBER-new 19.7 9.2 -9.6 -3.4 -4.7 -2.4 -4.1 -1.4 -3.8 6.0 -8.0 9.2 -8.9 7.1 -3.0 -16.8 -17.3 -17.0 -17.3 -1.8 -7.8 7.7 -8.2 5.4 NaN -0.3 2.9 -3.7 3.6 -4.0 2.9 -20.0 20.0 20.0 15.5 -7.8 3.6 -4.0 8.7 -1.3 MILK 0.3 1.7 20.0 -4.9 -6.6 -3.4 -5.9 -2.1 -5.3 13.8 11.8 11.4 1.1 6.7 11.9 -20.0 -20.0 -20.0 -20.0 10.9 12.3 11.7 3.2 8.1 17.7 4.2 8.1 5.1 4.9 0.8 3.0 -20.0 19.8 20.0 11.4 20.0 -3.8 -20.0 0.7 -20.0 MXP -17.0 -8.7 -20.0 -1.9 3.9 -1.4 0.6 -0.3 -1.6 2.5 -5.8 -4.9 0.2 -5.9 -7.4 10.0 14.7 11.3 12.8 -11.0 -7.6 -6.2 -1.0 -10.9 -20.0 -3.3 0.1 -2.3 -1.7 -0.2 -3.1 20.0 -11.8 -19.0 -6.1 -19.8 17.6 12.6 20.0 19.3 NASDAQ_micro -20.0 -20.0 -11.6 -0.4 -0.1 1.5 -2.5 2.3 -2.3 1.9 3.2 -3.3 7.1 -5.4 -0.9 -7.4 -10.5 -9.6 -10.3 -3.7 2.4 -3.3 6.2 -7.9 -15.6 -0.8 1.8 1.4 -1.0 2.9 -2.2 -7.3 19.0 -10.0 -8.0 3.5 3.0 5.9 -5.6 4.1 NIKKEI -20.0 -20.0 -20.0 -0.3 -0.1 1.3 -2.2 2.1 -2.1 1.6 2.3 -1.9 5.2 -3.6 -2.4 9.6 10.3 10.8 10.1 -4.4 -0.3 -5.5 2.6 -7.9 -8.1 -1.5 -2.5 0.2 -4.1 1.4 -3.4 20.0 -18.4 -20.0 -11.6 -10.0 8.8 -2.1 2.9 -5.2 NZD -5.9 -11.1 1.7 -3.4 7.3 -2.6 1.1 -0.5 -2.9 17.4 -7.4 7.6 -4.2 -3.4 -5.7 -0.1 0.1 -0.1 -0.0 -7.2 -4.8 13.5 -3.3 -1.5 0.3 -3.2 11.6 -2.0 6.2 -1.0 -0.6 4.4 20.0 1.4 -11.3 3.3 9.2 -5.1 7.5 -0.0 OAT 16.7 13.2 -4.1 3.7 3.0 1.8 4.3 0.1 4.8 10.8 -6.4 11.6 -3.2 12.5 7.0 0.9 3.7 0.9 2.0 6.6 -0.7 12.3 -4.5 12.7 2.4 3.0 5.0 0.5 5.3 -0.5 5.3 10.6 -13.3 -9.4 -8.2 -15.7 -19.6 -20.0 -5.6 -1.8 OATIES 1.5 -12.3 -16.6 -3.2 -4.4 -2.2 -3.9 -1.4 -3.5 -9.4 -9.1 -8.6 -9.7 -7.5 -9.7 9.0 1.9 4.7 3.7 -10.7 -12.0 -6.1 -10.5 -7.1 -20.0 -3.0 -2.2 -2.8 -2.0 -2.2 -2.3 1.1 4.4 7.1 -6.4 0.3 6.8 -0.6 18.2 9.0 OJ -11.2 -6.9 -0.3 -5.0 -6.9 -3.5 -6.1 -2.2 -5.6 -0.0 11.3 -4.3 14.0 -4.7 6.8 7.2 11.6 8.3 9.1 6.3 15.5 -0.2 20.0 -0.1 -20.0 2.0 0.7 6.9 -0.2 13.4 -0.5 14.2 20.0 1.2 11.2 20.0 13.6 10.5 20.0 20.0 PALLAD -5.5 0.6 4.9 -2.5 1.1 -1.7 -0.4 -0.7 -1.9 6.8 -6.6 0.6 -8.1 -4.6 -5.7 -1.8 -2.1 -1.8 -1.9 -4.1 -4.6 1.6 -7.6 -2.7 13.6 -2.4 3.3 -2.6 0.8 -3.2 -1.4 5.9 5.3 1.5 10.9 1.5 -20.0 -20.0 -20.0 -20.0 PLAT -12.2 -11.9 0.3 -3.4 1.6 -2.3 -0.6 -0.9 -2.6 -2.2 -3.8 -6.5 -4.2 -8.7 -8.2 -4.8 -4.4 -5.0 -4.8 -6.3 -2.0 -4.6 -0.2 -8.1 5.9 -3.5 0.3 -1.8 -2.0 -0.4 -3.6 1.4 -9.7 -6.1 3.4 8.9 -11.5 -9.5 -5.1 2.1 REDWHEAT -1.8 -20.0 -9.8 -5.3 -7.3 -3.7 -6.4 -2.3 -5.9 -14.6 -14.4 -12.7 -15.5 -16.2 -17.2 -11.1 -5.3 -10.3 -8.1 -20.0 -18.1 -9.0 -17.7 -15.0 -6.3 -5.0 -2.8 -4.1 -2.5 -3.6 -3.7 -14.7 15.5 6.9 -18.0 4.8 -20.0 -20.0 -14.2 -18.6 RICE 11.5 -18.3 -1.7 -5.2 -7.1 -3.6 -6.3 -2.2 -5.7 -9.1 9.9 2.1 12.7 -1.2 3.2 -7.1 20.0 20.0 20.0 -1.3 3.0 -9.1 8.4 -3.0 -10.4 1.5 -9.1 2.4 -5.0 3.1 -0.2 20.0 -9.3 20.0 12.1 20.0 -20.0 -12.2 -20.0 -11.1 ROBUSTA -20.0 -6.6 2.9 -3.4 -4.6 -2.4 -4.1 -1.4 -3.7 2.3 9.9 0.3 10.4 2.8 7.9 20.0 20.0 20.0 20.0 8.9 15.4 2.6 18.8 3.6 -20.0 3.4 0.9 6.5 1.2 9.1 1.5 20.0 20.0 3.0 20.0 20.0 2.4 -5.7 9.0 2.2 RUSSELL -16.6 4.1 -2.3 -0.4 -0.1 1.5 -2.6 2.4 -2.4 -4.6 3.3 -5.5 6.3 -3.6 0.3 -5.2 -6.7 -6.3 -6.6 0.8 2.9 -8.0 3.1 -4.6 -0.8 1.3 -0.9 1.9 -2.0 1.8 -0.6 -0.7 -6.7 12.1 13.0 3.9 4.6 -19.5 -2.3 -20.0 SHATZ 20.0 20.0 15.9 2.4 2.0 1.2 2.8 0.1 3.2 3.7 -3.4 6.4 -5.6 7.5 7.1 -20.0 -20.0 -20.0 -20.0 11.2 2.6 11.6 -5.6 15.0 6.9 2.6 1.5 0.8 2.7 -0.7 3.5 -20.0 -1.7 6.5 4.9 -3.3 -20.0 -15.8 -17.3 -11.0 SILVER-mini -20.0 -15.1 1.5 -2.9 1.3 -2.0 -0.5 -0.8 -2.3 -0.3 3.2 -6.2 4.7 -7.6 -4.8 -5.4 -6.4 -5.7 -6.0 -5.2 2.1 -5.9 5.5 -9.2 2.1 -2.6 0.3 -0.3 -1.8 1.4 -3.2 -1.4 -5.8 -12.0 -1.5 7.5 2.6 -5.6 7.6 6.1 SMI -20.0 -17.2 4.8 -0.5 -0.1 2.1 -3.6 3.3 -3.4 -0.1 8.8 -2.3 10.7 -3.0 5.0 -2.7 0.5 -2.9 -1.5 -0.8 6.5 -5.8 8.7 -7.7 9.5 4.0 4.7 6.4 2.9 6.9 2.3 10.0 20.0 20.0 7.5 12.6 4.0 1.9 -6.8 -1.3 SOFR 13.5 19.9 17.1 3.3 2.7 1.6 3.8 0.1 4.2 4.9 4.7 7.1 0.5 9.6 10.8 0.4 -1.1 -1.0 -1.3 14.8 8.5 13.4 1.5 16.4 -3.8 4.0 3.0 2.6 3.8 1.2 4.4 3.5 2.6 1.0 2.4 7.2 10.5 -14.0 20.0 5.3 SOYBEAN -5.6 -15.9 -12.7 -2.8 -3.8 -2.0 -3.4 -1.2 -3.1 -8.5 -9.1 -8.9 -7.3 -9.2 -9.3 -7.5 4.0 -4.3 -1.2 -14.3 -12.1 -15.6 -8.9 -14.5 -17.1 -3.2 -4.4 -2.7 -3.5 -1.8 -3.2 -1.1 -8.9 -7.1 -14.8 -8.8 -6.3 -20.0 -1.3 -20.0 SOYMEAL 9.1 -12.7 -7.5 -2.9 -3.9 -2.0 -3.4 -1.2 -3.1 -8.5 -8.2 -6.1 -8.0 -6.8 -7.9 -2.5 5.7 2.1 3.1 -8.5 -8.4 -11.2 -7.2 -7.9 -18.8 -2.3 -5.8 -2.0 -3.5 -1.4 -2.3 3.7 -4.9 6.1 -7.4 3.8 -20.0 -20.0 -20.0 -20.0 SOYOIL -20.0 1.5 -1.0 -2.5 -3.4 -1.7 -3.0 -1.1 -2.7 -6.0 -6.9 -7.0 -7.7 -7.6 -7.0 5.9 1.3 3.5 1.1 -7.9 -6.5 -10.3 -6.9 -10.3 -18.2 -2.6 -3.2 -2.1 -3.1 -1.9 -3.1 -2.2 -4.2 -12.2 -1.5 -5.8 -6.7 -10.9 3.0 -2.0 SP400 -13.1 -5.2 -12.6 -0.4 -0.1 1.7 -3.0 2.8 -2.8 -3.8 4.0 -5.4 7.7 -4.7 -2.2 -5.3 -5.8 -5.6 -5.8 -1.3 2.1 -6.7 4.6 -5.4 -8.2 0.9 -0.3 2.3 -2.4 3.1 -1.3 0.7 -2.3 12.2 7.8 -0.2 6.3 -8.6 -0.3 -20.0 SP500_micro -20.0 -20.0 -10.9 -0.4 -0.1 1.8 -3.1 2.9 -2.9 2.0 6.9 -3.6 10.0 -5.1 1.6 -9.7 -12.5 -12.2 -12.6 -2.0 5.1 -3.4 9.3 -7.3 -13.9 -0.3 2.4 2.7 -1.5 4.6 -2.6 -11.0 18.1 -6.3 -3.0 5.4 11.0 3.3 -2.4 1.6 SUGAR11 -9.6 1.3 -5.6 -4.3 -5.9 -3.0 -5.2 -1.8 -4.7 -3.3 -11.9 -7.5 -10.4 -9.7 -9.7 -4.2 7.3 -2.6 1.5 -9.1 -11.0 -5.4 -9.7 -8.7 -20.0 -3.5 -0.4 -4.7 -2.0 -4.3 -3.2 4.5 0.6 -9.0 9.4 -4.1 -2.9 18.6 0.9 20.0 US10 14.4 18.2 17.9 2.6 2.1 1.3 3.0 0.1 3.4 3.3 2.6 5.4 -2.7 7.2 8.0 -8.0 -7.5 -7.6 -7.4 10.3 5.2 10.3 -0.9 12.4 2.2 3.0 2.2 1.9 3.2 0.5 3.6 -7.2 4.3 2.3 1.3 4.4 5.5 -20.0 18.3 3.9 US10U 13.5 15.1 17.5 3.5 2.9 1.7 4.0 0.1 4.5 4.1 2.4 7.2 -3.7 9.5 10.6 -3.1 -2.9 -3.9 -3.7 11.9 5.7 12.5 -2.0 14.7 -0.0 4.0 3.0 2.5 4.3 0.7 4.8 0.0 2.0 -0.6 -2.2 3.6 5.8 -17.2 20.0 13.5 US2 17.9 20.0 20.0 2.4 1.9 1.2 2.7 0.1 3.1 3.8 -0.8 5.2 -5.8 6.9 6.9 -20.0 -20.0 -20.0 -20.0 11.0 4.0 11.3 -3.5 14.1 12.2 2.6 1.7 1.2 3.0 -0.1 3.5 -20.0 15.6 9.9 9.1 3.3 2.9 -20.0 7.0 -10.9 US20 12.3 10.7 15.9 2.4 2.0 1.2 2.8 0.1 3.1 1.7 2.1 4.5 -0.6 5.8 6.9 -1.0 -0.8 -0.9 -0.8 7.1 3.7 7.8 -0.6 9.0 -1.5 2.8 2.0 2.0 2.8 0.9 3.2 4.3 0.1 -2.2 -3.6 3.3 5.0 -10.4 20.0 20.0 US30 10.6 8.2 15.0 2.7 2.2 1.3 3.2 0.1 3.6 0.7 0.9 4.6 -2.0 5.6 6.6 -3.3 -4.9 -4.0 -4.5 6.2 2.8 7.3 -1.8 8.2 -0.9 3.0 2.1 2.1 3.1 0.7 3.5 -2.5 -3.6 -6.0 -7.1 0.7 1.9 -9.7 15.1 20.0 US5 15.5 20.0 19.3 2.7 2.2 1.3 3.1 0.1 3.5 3.8 1.9 5.6 -4.4 7.7 8.3 -12.2 -10.7 -11.6 -10.9 11.8 5.6 11.6 -1.5 14.3 5.6 3.1 2.2 1.8 3.3 0.4 3.8 -13.0 7.9 5.0 4.5 5.0 5.9 -20.0 14.9 -3.0 VIX 20.0 20.0 20.0 1.7 0.2 -0.2 2.9 -1.5 3.4 -5.5 -5.8 -2.3 -9.7 0.2 -2.9 -20.0 -20.0 -20.0 -20.0 3.2 -0.3 0.5 -3.8 4.9 NaN 1.9 0.2 -0.3 3.2 -1.8 3.7 NaN NaN NaN NaN NaN -14.2 -20.0 NaN NaN WHEAT -0.4 -20.0 -9.9 -3.7 -5.1 -2.6 -4.5 -1.6 -4.1 -5.5 -9.5 -3.2 -10.0 -9.9 -11.5 -16.7 -14.8 -16.4 -15.8 -14.9 -12.5 -4.1 -11.0 -9.6 1.7 -3.3 -1.6 -2.6 -1.0 -2.0 -2.2 -20.0 15.1 5.4 -13.8 3.8 -16.9 -20.0 -14.7 -20.0 End of report for caleb_strategy_v3