******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240815_203931 produced at 2024-08-15 21:37:37.432388 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 DX False True 0.04 0.00 -0.11 0.0 0.00 0.00 0.00 0.00 -3.02 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 -1.86 8.0 -2 -2 caleb_strategy_v3 MXP False False 0.01 -0.07 -0.07 0.0 0.55 -0.55 -0.07 -0.06 -7.60 60.0 -8 -7 caleb_strategy_v3 CAD False False 0.03 0.00 -0.06 0.0 0.73 -0.73 0.00 0.00 -2.37 29.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -1.52 24.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.07 -0.05 0.0 0.10 -0.10 -0.07 -0.07 -1.39 3.0 -2 -2 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -25.67 59.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.26 12.0 0 0 caleb_strategy_v3 COPPER False False 0.04 -0.04 -0.04 0.0 999.00 -999.00 -0.04 -0.04 -1.19 999999999.0 -1 -1 caleb_strategy_v3 CORN False False 0.01 -0.02 -0.04 0.0 0.08 -0.08 -0.02 -0.02 -6.53 12.0 -3 -3 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.13 -0.13 -0.06 -0.06 -3.74 11.0 -5 -5 caleb_strategy_v3 BTP False False 0.05 0.00 -0.03 0.0 0.45 -0.45 0.00 0.00 -0.69 10.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.03 0.0 0.85 -0.85 0.00 0.00 -0.77 19.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.02 -0.03 0.0 0.32 -0.32 -0.02 -0.02 -3.65 36.0 -2 -2 caleb_strategy_v3 EUROSTX False False 0.02 -0.02 -0.03 0.0 0.37 -0.37 -0.02 -0.04 -1.39 20.0 -1 -2 caleb_strategy_v3 GASOIL False False 0.03 0.00 -0.03 0.0 0.10 -0.10 0.00 0.00 -1.07 4.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.00 -0.03 0.0 0.15 -0.15 -0.00 -0.00 -10.08 51.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.04 -2.01 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 -4.10 999999999.0 -2 -2 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.57 2.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.02 0.0 0.31 -0.31 -0.01 -0.01 -1.47 23.0 -1 -1 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.03 -0.02 0.0 0.00 -0.03 -0.03 -0.03 -11.73 26.0 -15 -14 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.08 -0.08 -0.02 -0.02 -2.51 8.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.08 -0.02 0.0 0.12 -0.12 -0.08 -0.08 -1.11 7.0 -5 -5 caleb_strategy_v3 SP400 False False 0.10 -0.10 -0.02 0.0 0.21 -0.21 -0.10 -0.10 -0.17 2.0 -1 -1 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.02 0.0 0.46 -0.46 0.00 0.00 -2.21 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 -2.51 18.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 -0.01 0.0 0.46 -0.46 0.00 0.00 -1.26 66.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 -0.01 0.0 0.40 -0.40 0.00 0.00 -1.62 58.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.00 -0.01 0.0 0.25 -0.25 -0.00 -0.00 -2.31 68.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.10 -0.10 -0.01 -0.01 -1.10 9.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -1.22 10.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.01 0.0 0.17 -0.17 -0.02 -0.02 -0.60 10.0 -1 -1 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 SILVER-mini False False 0.02 -0.02 -0.01 0.0 999.00 -999.00 -0.02 -0.02 -0.28 999999999.0 -1 -1 caleb_strategy_v3 NZD False False 0.02 0.00 -0.01 0.0 0.43 -0.43 0.00 0.00 -0.25 21.0 0 0 caleb_strategy_v3 RICE False True 0.01 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.03 4.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.00 0.0 0.06 -0.06 -0.03 -0.03 -0.11 2.0 -1 -1 caleb_strategy_v3 OAT False False 0.05 0.00 -0.00 0.0 0.48 -0.48 0.00 0.00 -0.10 10.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.00 0.0 0.43 -0.43 0.00 0.00 -0.15 19.0 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 -0.47 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 0.05 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 0.03 10.0 0 0 caleb_strategy_v3 CHF False False 0.05 0.15 0.01 0.0 0.64 -0.64 0.15 0.15 0.26 13.0 3 3 caleb_strategy_v3 COCOA False False 0.02 0.00 0.01 0.0 0.62 -0.62 0.00 0.00 0.22 26.0 0 0 caleb_strategy_v3 MILK False False 0.02 0.00 0.01 0.0 0.08 -0.08 0.00 0.00 0.94 5.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.48 999999999.0 0 0 caleb_strategy_v3 US30 False True 0.05 0.18 0.01 0.0 0.18 0.00 0.18 0.18 0.16 6.0 4 4 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.01 0.0 0.35 -0.35 0.00 0.00 0.50 23.0 0 0 caleb_strategy_v3 JPY False False 0.03 0.06 0.01 0.0 0.49 -0.49 0.06 0.06 0.32 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 1.60 13.0 1 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 US10U False True 0.04 0.08 0.02 0.0 0.08 0.00 0.08 0.08 0.58 13.0 2 2 caleb_strategy_v3 OJ False False 0.02 0.02 0.02 0.0 0.07 -0.07 0.02 0.02 0.88 3.0 1 1 caleb_strategy_v3 US10 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.58 17.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.01 0.03 0.0 0.48 -0.48 0.01 0.01 2.95 56.0 1 1 caleb_strategy_v3 US2 False True 0.07 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.48 13.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.11 0.03 0.0 0.93 -0.93 0.11 0.11 0.73 25.0 3 3 caleb_strategy_v3 GBP False False 0.03 0.00 0.03 0.0 0.61 -0.61 0.00 0.00 1.14 22.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.10 0.04 0.0 0.42 -0.42 0.10 0.10 1.52 17.0 4 4 caleb_strategy_v3 SMI False True 0.05 0.00 0.05 0.0 0.00 0.00 0.00 0.00 1.00 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 2.03 5.0 3 3 caleb_strategy_v3 EUR False False 0.05 0.09 0.08 0.0 0.66 -0.66 0.09 0.09 1.78 14.0 2 2 caleb_strategy_v3 JGB-SGX-mini False True 0.03 0.14 0.38 0.0 0.14 0.00 0.14 0.14 11.13 16.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.48 0.0 0.93 -0.93 0.00 0.00 5.19 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 0.93 0.0 0.00 0.00 0.00 0.00 11.15 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 6.9 Shocked risk 13.0 Sum abs risk 33.9 Leverage 3.41 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2908582.69, 'annual_cash_vol_target': 727145.6725, 'daily_cash_vol_target': 45446.60453125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0037 0.6620 0.5579 8.9270 BITCOIN 2037.7264 58395.0000 3.4896 55.8329 BOBL 0.2605 117.6500 0.2214 3.5428 BTP 0.4989 119.1000 0.4189 6.7022 BUND 0.5157 134.1500 0.3844 6.1507 BUXL 1.2531 135.9600 0.9217 14.7466 CAC 70.3108 7458.0000 0.9428 15.0841 CAD 0.0023 0.7293 0.3179 5.0864 CANOLA 9.2382 588.3000 1.5703 25.1252 CHF 0.0063 1.1508 0.5439 8.7028 COCOA 241.3194 6978.0000 3.4583 55.3326 COFFEE 4.8623 237.7500 2.0451 32.7221 COPPER 0.0616 4.1455 1.4857 23.7720 CORN 5.5567 396.7500 1.4006 22.4090 COTTON2 0.9486 67.1800 1.4121 22.5935 CRUDE_W 1.1879 75.3600 1.5763 25.2210 DAX 169.1002 18259.0000 0.9261 14.8179 DOW 336.3658 40659.0000 0.8273 13.2366 DX 0.3788 102.8250 0.3683 5.8935 EUR 0.0044 1.0993 0.4008 6.4121 EURIBOR-ICE 0.0462 97.7800 0.0473 0.7563 EUROSTX 51.9292 4841.0000 1.0727 17.1631 FEEDCOW 2.0746 237.0750 0.8751 14.0010 GASOIL 11.1978 732.7500 1.5282 24.4510 GASOLINE 0.0373 2.1367 1.7468 27.9480 GAS_US_mini 0.0824 2.3350 3.5278 56.4450 GBP 0.0060 1.2867 0.4678 7.4852 GOLD_micro 20.6563 2472.9000 0.8353 13.3649 HEATOIL 0.0382 2.4085 1.5856 25.3689 JGB-SGX-mini 0.4101 144.6800 0.2834 4.5348 JPY 0.0001 0.0067 0.8120 12.9916 LEANHOG 1.2587 68.1250 1.8477 29.5628 LIVECOW 1.3623 180.6750 0.7540 12.0643 LUMBER-new 9.0476 540.0000 1.6755 26.8078 MILK 0.2869 22.4000 1.2809 20.4949 MXP 0.0005 0.0534 0.9839 15.7428 NASDAQ_micro 265.0757 19583.7500 1.3535 21.6568 NIKKEI 936.3316 37630.0000 2.4883 39.8121 NZD 0.0039 0.5992 0.6436 10.2975 OAT 0.4558 126.2700 0.3610 5.7760 OATIES 5.3738 305.5000 1.7590 28.1442 OJ 7.4740 447.9000 1.6687 26.6990 PALLAD 23.7257 936.5000 2.5334 40.5351 PLAT 17.1683 964.0000 1.7809 28.4951 REDWHEAT 9.1506 551.0000 1.6607 26.5715 RICE 0.1666 14.8900 1.1188 17.9012 ROBUSTA 77.1307 4374.0000 1.7634 28.2142 RUSSELL 32.1544 2153.5000 1.4931 23.8900 SHATZ 0.0918 106.1400 0.0865 1.3835 SILVER-mini 0.5252 28.7875 1.8245 29.1922 SMI 103.6457 12184.0000 0.8507 13.6107 SOFR 0.0682 96.7950 0.0705 1.1275 SOYBEAN 12.9585 967.7500 1.3390 21.4245 SOYMEAL 5.0271 307.1000 1.6370 26.1915 SOYOIL 0.7127 38.5100 1.8506 29.6093 SP400 34.6341 3026.2000 1.1445 18.3116 SP500_micro 53.5326 5565.5000 0.9619 15.3898 SUGAR11 0.2973 18.1500 1.6380 26.2087 US10 0.4417 112.9531 0.3910 6.2565 US10U 0.5971 117.1406 0.5097 8.1553 US2 0.1301 103.0820 0.1262 2.0193 US20 0.9124 123.3125 0.7399 11.8383 US30 1.3554 131.6250 1.0298 16.4763 US5 0.2924 108.6641 0.2691 4.3060 VIX 1.2129 17.4500 6.9509 111.2140 WHEAT 9.0004 548.5000 1.6409 26.2547 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 662.05 0.56 369.38 1.00 369.38 45446.6 123.03 -0.47 -5.77 BITCOIN 58.40 3.49 203.77 1.00 203.77 45446.6 223.03 -10.63 -237.10 BOBL 1176.50 0.22 260.51 1.10 286.27 45446.6 158.75 -4.76 -75.58 BTP 1191.00 0.42 498.90 1.10 548.24 45446.6 82.90 -2.44 -20.21 BUND 1341.50 0.38 515.69 1.10 566.70 45446.6 80.20 0.38 3.05 BUXL 1359.60 0.92 1253.09 1.10 1377.02 45446.6 33.00 -3.79 -12.50 CAC 745.80 0.94 703.11 1.10 772.65 45446.6 58.82 -6.30 -37.08 CAD 729.30 0.32 231.84 1.00 231.84 45446.6 196.02 -4.66 -91.35 CANOLA 117.66 1.57 184.76 0.73 134.68 45446.6 337.43 -12.28 -414.24 CHF 1438.44 0.54 782.41 1.00 782.41 45446.6 58.09 1.71 9.92 COCOA 697.80 3.46 2413.19 1.00 2413.19 45446.6 18.83 5.39 10.15 COFFEE 891.56 2.05 1823.36 1.00 1823.36 45446.6 24.92 1.86 4.64 COPPER 1036.38 1.49 1539.79 1.00 1539.79 45446.6 29.51 -3.71 -10.95 CORN 198.38 1.40 277.84 1.00 277.84 45446.6 163.57 -16.40 -268.23 COTTON2 335.90 1.41 474.32 1.00 474.32 45446.6 95.81 -18.25 -174.82 CRUDE_W 753.60 1.58 1187.91 1.00 1187.91 45446.6 38.26 4.89 18.73 DAX 182.59 0.93 169.10 1.10 185.82 45446.6 244.57 -1.94 -47.41 DOW 203.30 0.83 168.18 1.00 168.18 45446.6 270.22 -2.01 -54.20 DX 1028.25 0.37 378.75 1.00 378.75 45446.6 119.99 -9.69 -116.23 EUR 1374.12 0.40 550.69 1.00 550.69 45446.6 82.53 8.29 68.45 EURIBOR-ICE 2444.50 0.05 115.55 1.10 126.98 45446.6 357.90 4.25 152.14 EUROSTX 484.10 1.07 519.29 1.10 570.65 45446.6 79.64 -5.10 -40.63 FEEDCOW 1185.38 0.88 1037.28 1.00 1037.28 45446.6 43.81 -12.82 -56.17 GASOIL 732.75 1.53 1119.78 1.00 1119.78 45446.6 40.59 -6.10 -24.76 GASOLINE 897.41 1.75 1567.56 1.00 1567.56 45446.6 28.99 3.83 11.10 GAS_US_mini 58.38 3.53 205.94 1.00 205.94 45446.6 220.68 -4.91 -108.32 GBP 804.19 0.47 376.22 1.00 376.22 45446.6 120.80 3.64 44.02 GOLD_micro 247.29 0.84 206.56 1.00 206.56 45446.6 220.01 3.94 86.59 HEATOIL 1011.57 1.59 1603.90 1.00 1603.90 45446.6 28.34 -11.35 -32.16 JGB-SGX-mini 144680.00 0.28 41005.86 0.01 278.91 45446.6 162.95 6.31 102.76 JPY 842.62 0.81 684.19 1.00 684.19 45446.6 66.42 1.85 12.32 LEANHOG 272.50 1.85 503.49 1.00 503.49 45446.6 90.26 2.91 26.30 LIVECOW 722.70 0.75 544.93 1.00 544.93 45446.6 83.40 5.51 45.92 LUMBER-new 148.50 1.68 248.81 1.00 248.81 45446.6 182.66 -1.19 -21.76 MILK 448.00 1.28 573.86 1.00 573.86 45446.6 79.20 5.57 44.10 MXP 267.10 0.98 262.81 1.00 262.81 45446.6 172.93 -2.99 -51.76 NASDAQ_micro 391.68 1.35 530.15 1.00 530.15 45446.6 85.72 -7.39 -63.31 NIKKEI 37630.00 2.49 93633.16 0.01 636.86 45446.6 71.36 -4.72 -33.71 NZD 599.20 0.64 385.64 1.00 385.64 45446.6 117.85 -0.81 -9.49 OAT 1262.70 0.36 455.84 1.10 500.92 45446.6 90.73 -0.31 -2.83 OATIES 152.75 1.76 268.69 1.00 268.69 45446.6 169.14 -8.68 -146.75 OJ 671.85 1.67 1121.11 1.00 1121.11 45446.6 40.54 10.13 41.06 PALLAD 936.50 2.53 2372.57 1.00 2372.57 45446.6 19.16 -1.68 -3.21 PLAT 482.00 1.78 858.42 1.00 858.42 45446.6 52.94 -3.33 -17.61 REDWHEAT 275.50 1.66 457.53 1.00 457.53 45446.6 99.33 -19.03 -189.04 RICE 297.80 1.12 333.19 1.00 333.19 45446.6 136.40 0.10 1.30 ROBUSTA 437.40 1.76 771.31 1.00 771.31 45446.6 58.92 7.21 42.48 RUSSELL 107.68 1.49 160.77 1.00 160.77 45446.6 282.68 -2.46 -69.56 SHATZ 1061.40 0.09 91.78 1.10 100.86 45446.6 450.60 -3.32 -149.54 SILVER-mini 719.69 1.82 1313.08 1.00 1313.08 45446.6 34.61 -2.37 -8.20 SMI 1218.40 0.85 1036.46 1.16 1198.46 45446.6 37.92 7.73 29.32 SOFR 2419.88 0.07 170.53 1.00 170.53 45446.6 266.51 6.88 183.47 SOYBEAN 483.88 1.34 647.92 1.00 647.92 45446.6 70.14 -17.07 -119.74 SOYMEAL 307.10 1.64 502.71 1.00 502.71 45446.6 90.40 -13.10 -118.44 SOYOIL 231.06 1.85 427.60 1.00 427.60 45446.6 106.28 -12.34 -131.12 SP400 3026.20 1.14 3463.41 1.00 3463.41 45446.6 13.12 -3.80 -4.99 SP500_micro 278.28 0.96 267.66 1.00 267.66 45446.6 169.79 -5.61 -95.21 SUGAR11 203.28 1.64 332.98 1.00 332.98 45446.6 136.48 -8.66 -118.24 US10 1129.53 0.39 441.68 1.00 441.68 45446.6 102.89 4.43 45.53 US10U 1171.41 0.51 597.07 1.00 597.07 45446.6 76.12 5.99 45.60 US2 2061.64 0.13 260.19 1.00 260.19 45446.6 174.66 2.15 37.50 US20 1233.12 0.74 912.38 1.00 912.38 45446.6 49.81 6.32 31.49 US30 1316.25 1.03 1355.44 1.00 1355.44 45446.6 33.53 3.81 12.76 US5 1086.64 0.27 292.44 1.00 292.44 45446.6 155.41 3.73 57.98 VIX 174.50 6.95 1212.93 1.00 1212.93 45446.6 37.47 -4.44 -16.63 WHEAT 274.25 1.64 450.02 1.00 450.02 45446.6 100.99 -15.01 -151.59 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -5.766 0.010 2.5 -0.150 BITCOIN -237.098 0.043 2.5 -25.675 BOBL -75.579 0.004 2.5 -0.766 BTP -20.214 0.014 2.5 -0.689 BUND 3.055 0.004 2.5 0.031 BUXL -12.502 0.004 2.5 -0.127 CAC -37.077 0.014 2.5 -1.265 CAD -91.351 0.010 2.5 -2.370 CANOLA -414.236 0.010 2.5 -10.078 CHF 9.917 0.010 2.5 0.257 COCOA 10.147 0.009 2.5 0.217 COFFEE 4.637 0.005 2.5 0.054 COPPER -10.954 0.043 2.5 -1.186 CORN -268.233 0.010 2.5 -6.526 COTTON2 -174.821 0.009 2.5 -3.744 CRUDE_W 18.725 0.043 2.5 2.028 DAX -47.413 0.014 2.5 -1.617 DOW -54.198 0.009 2.5 -1.260 DX -116.234 0.010 2.5 -3.016 EUR 68.445 0.010 2.5 1.776 EURIBOR-ICE 152.135 0.014 2.5 5.189 EUROSTX -40.627 0.014 2.5 -1.386 FEEDCOW -56.173 0.013 2.5 -1.861 GASOIL -24.762 0.017 2.5 -1.073 GASOLINE 11.098 0.017 2.5 0.481 GAS_US_mini -108.317 0.043 2.5 -11.729 GBP 44.024 0.010 2.5 1.142 GOLD_micro 86.588 0.014 2.5 2.953 HEATOIL -32.160 0.017 2.5 -1.394 JGB-SGX-mini 102.764 0.043 2.5 11.128 JPY 12.316 0.010 2.5 0.320 LEANHOG 26.299 0.024 2.5 1.598 LIVECOW 45.919 0.013 2.5 1.522 LUMBER-new -21.761 0.009 2.5 -0.466 MILK 44.104 0.009 2.5 0.945 MXP -51.763 0.059 2.5 -7.597 NASDAQ_micro -63.315 0.009 2.5 -1.471 NIKKEI -33.711 0.043 2.5 -3.650 NZD -9.489 0.010 2.5 -0.246 OAT -2.835 0.014 2.5 -0.097 OATIES -146.755 0.010 2.5 -3.570 OJ 41.061 0.009 2.5 0.879 PALLAD -3.215 0.014 2.5 -0.110 PLAT -17.612 0.014 2.5 -0.601 REDWHEAT -189.036 0.005 2.5 -2.508 RICE 1.303 0.010 2.5 0.032 ROBUSTA 42.481 0.005 2.5 0.496 RUSSELL -69.562 0.013 2.5 -2.305 SHATZ -149.538 0.004 2.5 -1.516 SILVER-mini -8.204 0.014 2.5 -0.280 SMI 29.322 0.014 2.5 1.000 SOFR 183.473 0.024 2.5 11.150 SOYBEAN -119.739 0.004 2.5 -1.114 SOYMEAL -118.441 0.004 2.5 -1.102 SOYOIL -131.115 0.004 2.5 -1.221 SP400 -4.988 0.013 2.5 -0.165 SP500_micro -95.211 0.009 2.5 -2.213 SUGAR11 -118.245 0.009 2.5 -2.515 US10 45.534 0.005 2.5 0.577 US10U 45.599 0.005 2.5 0.578 US2 37.497 0.005 2.5 0.475 US20 31.491 0.005 2.5 0.399 US30 12.759 0.005 2.5 0.162 US5 57.985 0.005 2.5 0.735 VIX -16.626 0.099 2.5 -4.104 WHEAT -151.592 0.005 2.5 -2.011 ===================== Position diags ===================== AUD 3.19 BITCOIN 24.15 BOBL 1.61 BTP 2.83 BUND 0.81 BUXL 0.33 CAC 2.01 CAD 5.09 CANOLA 8.21 CHF 1.51 COCOA 0.40 COFFEE 0.29 COPPER 3.20 CORN 3.98 COTTON2 2.05 CRUDE_W 4.14 DAX 8.34 DOW 6.28 DX 3.11 EUR 2.14 EURIBOR-ICE 12.21 EUROSTX 2.72 FEEDCOW 1.45 GASOIL 1.76 GASOLINE 1.26 GAS_US_mini 23.90 GBP 3.13 GOLD_micro 7.50 HEATOIL 1.23 JGB-SGX-mini 17.64 JPY 1.72 LEANHOG 5.49 LIVECOW 2.76 LUMBER-new 3.91 MILK 1.70 MXP 25.38 NASDAQ_micro 1.99 NIKKEI 7.73 NZD 3.06 OAT 3.09 OATIES 4.11 OJ 0.87 PALLAD 0.65 PLAT 1.81 REDWHEAT 1.32 RICE 3.32 ROBUSTA 0.69 RUSSELL 9.37 SHATZ 4.57 SILVER-mini 1.18 SMI 1.29 SOFR 16.20 SOYBEAN 0.65 SOYMEAL 0.84 SOYOIL 0.99 SP400 0.43 SP500_micro 3.95 SUGAR11 2.90 US10 1.30 US10U 0.96 US2 2.21 US20 0.63 US30 0.42 US5 1.97 VIX 9.25 WHEAT 1.34 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.1 -0.5 0.2 0.0 0 BITCOIN -25.7 -28.1 -23.3 0.0 0 BOBL -0.8 -0.9 -0.6 0.0 0 BTP -0.7 -1.0 -0.4 0.0 0 BUND 0.0 -0.1 0.1 0.0 0 BUXL -0.1 -0.2 -0.1 0.0 0 CAC -1.3 -1.5 -1.1 0.0 0 CAD -2.4 -2.9 -1.9 0.0 0 CANOLA -10.1 -10.9 -9.3 -1.0 -1 CHF 0.3 0.1 0.4 3.0 3 COCOA 0.2 0.2 0.3 0.0 0 COFFEE 0.1 0.0 0.1 0.0 0 COPPER -1.2 -1.5 -0.9 -1.0 -1 CORN -6.5 -6.9 -6.1 -3.0 -3 COTTON2 -3.7 -3.9 -3.5 -5.0 -5 CRUDE_W 2.0 1.6 2.4 3.0 3 DAX -1.6 -2.5 -0.8 0.0 0 DOW -1.3 -1.9 -0.6 0.0 0 DX -3.0 -3.3 -2.7 0.0 0 EUR 1.8 1.6 2.0 2.0 2 EURIBOR-ICE 5.2 4.0 6.4 0.0 0 EUROSTX -1.4 -1.7 -1.1 -1.0 -1 FEEDCOW -1.9 -2.0 -1.7 -2.0 -2 GASOIL -1.1 -1.2 -0.9 0.0 0 GASOLINE 0.5 0.4 0.6 0.0 0 GAS_US_mini -11.7 -14.1 -9.3 -15.0 -15 GBP 1.1 0.8 1.5 0.0 0 GOLD_micro 3.0 2.2 3.7 1.0 1 HEATOIL -1.4 -1.5 -1.3 -2.0 -2 JGB-SGX-mini 11.1 9.4 12.9 4.0 4 JPY 0.3 0.1 0.5 2.0 2 LEANHOG 1.6 1.0 2.1 1.0 1 LIVECOW 1.5 1.2 1.8 4.0 4 LUMBER-new -0.5 -0.9 -0.1 -2.0 -2 MILK 0.9 0.8 1.1 NaN 0 MXP -7.6 -10.1 -5.1 -8.0 -8 NASDAQ_micro -1.5 -1.7 -1.3 -1.0 -1 NIKKEI -3.7 -4.4 -2.9 -2.0 -2 NZD -0.2 -0.6 0.1 0.0 0 OAT -0.1 -0.4 0.2 0.0 0 OATIES -3.6 -4.0 -3.2 NaN 0 OJ 0.9 0.8 1.0 1.0 1 PALLAD -0.1 -0.2 -0.0 -1.0 -1 PLAT -0.6 -0.8 -0.4 -1.0 -1 REDWHEAT -2.5 -2.6 -2.4 -2.0 -2 RICE 0.0 -0.3 0.4 NaN 0 ROBUSTA 0.5 0.4 0.6 0.0 0 RUSSELL -2.3 -3.2 -1.4 -1.0 -1 SHATZ -1.5 -2.0 -1.1 NaN 0 SILVER-mini -0.3 -0.4 -0.2 -1.0 -1 SMI 1.0 0.9 1.1 0.0 0 SOFR 11.2 9.5 12.8 NaN 0 SOYBEAN -1.1 -1.2 -1.0 -5.0 -5 SOYMEAL -1.1 -1.2 -1.0 -1.0 -1 SOYOIL -1.2 -1.3 -1.1 0.0 0 SP400 -0.2 -0.2 -0.1 -1.0 -1 SP500_micro -2.2 -2.6 -1.8 0.0 0 SUGAR11 -2.5 -2.8 -2.2 0.0 0 US10 0.6 0.4 0.7 0.0 0 US10U 0.6 0.5 0.7 2.0 2 US2 0.5 0.3 0.7 NaN 0 US20 0.4 0.3 0.5 0.0 0 US30 0.2 0.1 0.2 4.0 4 US5 0.7 0.5 0.9 3.0 3 VIX -4.1 -5.0 -3.2 -2.0 -2 WHEAT -2.0 -2.1 -1.9 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.8 3.8 3.8 3.8 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -0.4 -0.2 0.1 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.1 -0.0 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 0.1 -0.0 -0.1 0.5 -0.0 0.1 -0.0 0.0 -0.0 -0.0 -0.0 0.5 -0.5 -0.1 0.2 0.4 -0.2 0.4 -0.0 BITCOIN -0.3 -0.4 -0.5 -0.0 0.0 -0.1 0.0 -0.0 -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 -0.1 -2.7 -0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.2 -0.5 -0.1 0.1 0.2 -0.4 -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 0.1 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -1.1 -0.2 0.0 -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 0.0 0.0 0.1 0.0 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 0.0 0.1 0.1 0.1 0.1 0.6 -0.4 -0.6 -0.2 -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 -0.0 -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 0.1 0.1 0.0 -0.0 0.0 0.0 0.0 0.0 0.4 -0.2 -0.1 -0.1 -0.2 -0.7 -0.7 -0.3 -0.3 BUXL 0.6 0.4 0.1 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 -0.1 0.1 -0.0 0.1 0.1 -0.0 -0.0 -0.0 -0.1 0.1 0.0 0.1 -0.1 0.1 -0.4 0.0 -0.0 0.1 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 -0.3 -0.5 -0.6 -0.0 0.0 0.1 -0.0 0.2 -0.0 0.1 -0.2 -0.0 0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.0 -0.0 -0.2 -1.0 -0.1 0.0 -0.1 -0.0 0.0 -0.0 0.4 0.2 0.1 -0.6 -0.6 0.3 0.2 0.1 0.2 CAD -0.0 -0.1 -0.1 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.2 -0.5 0.2 -0.7 -0.0 -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 -0.6 -0.1 0.1 -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 -0.3 -0.1 -0.1 -0.1 -0.2 -0.1 -2.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.0 0.0 -0.0 -0.1 -0.0 -0.4 0.3 -0.1 CHF 0.6 0.6 0.5 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.2 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.0 0.0 -0.1 0.1 0.5 0.0 -0.0 0.0 0.0 -0.0 0.0 -1.1 0.1 0.6 0.6 0.5 0.1 -0.4 -0.2 -0.4 COCOA -0.1 -0.3 0.2 -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 -0.4 -0.2 0.2 -0.1 -0.0 -0.1 -0.0 -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 0.2 0.6 0.5 -0.1 -0.4 0.1 -0.1 COPPER -0.4 -0.6 -0.4 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.1 -0.0 0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 0.1 -0.1 -1.4 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.3 0.1 -0.3 -0.2 0.2 0.3 0.1 0.6 0.5 CORN 0.0 -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 -0.4 -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 -0.2 -0.3 -0.2 -0.0 COTTON2 -0.1 -0.3 -0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.5 -0.1 -0.5 -0.2 -0.2 -0.2 -0.0 -0.2 -0.1 -0.2 -0.2 -0.1 -0.5 -0.1 -2.7 -0.1 -0.0 -0.2 -0.0 -0.1 -0.0 -0.5 0.1 -0.3 0.1 -0.6 -0.3 -0.3 0.1 -0.1 CRUDE_W -0.3 -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 0.2 0.3 0.3 0.3 -0.1 -0.0 0.0 0.1 -0.1 -0.3 -0.1 0.0 -0.1 0.0 0.0 -0.0 0.5 0.2 -0.2 -0.0 -0.3 0.5 0.7 0.5 0.7 DAX -0.5 -0.5 -0.6 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 -0.0 0.4 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.1 -0.0 -0.0 0.2 -0.1 1.2 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.4 0.0 0.1 -0.4 -0.5 0.3 0.1 -0.1 0.1 DOW -0.5 -0.1 -0.4 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 0.0 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 0.1 0.1 0.0 0.1 0.0 -0.4 0.1 0.3 0.3 0.0 0.4 -0.0 0.1 -0.1 DX -0.4 -0.6 -0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 0.2 -0.2 0.4 -0.2 -0.2 0.1 0.1 0.1 0.1 -0.1 -0.0 -0.1 0.1 -0.2 -2.7 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.9 -0.5 -0.4 -0.6 -0.4 -0.2 0.2 -0.3 0.3 EUR 0.2 0.4 0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.1 0.2 -0.3 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.1 0.2 2.7 0.1 0.1 0.1 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 0.2 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.1 0.1 0.1 -0.0 -0.1 -0.0 -0.1 0.1 0.1 0.1 0.0 0.1 1.7 0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.2 0.0 0.1 -0.1 -0.7 -0.7 -0.2 0.0 EUROSTX -0.4 -0.6 -0.6 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 -0.0 0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 0.2 -0.1 -0.2 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.3 0.2 0.1 -0.5 -0.5 0.1 0.0 -0.5 -0.0 FEEDCOW -0.6 -0.6 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.2 -0.1 0.2 -0.4 -0.0 -0.2 -0.2 -0.1 -0.2 -0.2 -0.2 -0.9 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -1.1 -0.5 -0.6 -0.6 -0.3 0.1 0.7 0.3 0.7 GASOIL -0.3 -0.3 -0.4 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.1 -0.1 -0.0 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 -0.0 -0.2 -0.1 -0.1 -0.4 -0.5 -0.7 -0.7 GASOLINE -0.2 -0.2 -0.4 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.0 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 -0.1 0.0 0.2 -0.2 0.7 0.7 0.7 0.7 GAS_US_mini 0.0 -0.6 0.4 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.3 0.1 -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 0.5 0.4 -0.3 0.4 -0.1 -0.4 -0.3 -0.6 GBP -0.4 0.1 0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.2 0.3 -0.0 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 0.1 -0.2 0.5 0.6 0.3 -0.7 0.3 -0.5 GOLD_micro -0.0 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 0.3 0.1 0.4 0.1 0.1 -0.2 -0.3 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 -0.7 0.0 0.0 0.1 0.0 0.3 0.0 -0.7 0.1 0.4 0.6 0.5 0.3 -0.1 0.6 0.1 HEATOIL -0.3 -0.2 -0.4 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.1 -0.3 -0.0 0.1 -0.1 -0.1 -0.1 0.1 -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 -0.0 -0.3 -0.1 -0.2 -0.1 -0.4 -0.1 0.2 -0.4 0.1 JGB-SGX-mini 0.6 0.6 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.0 0.3 0.4 0.4 0.4 0.0 0.0 0.1 -0.0 0.1 -0.9 0.0 0.0 0.0 0.0 -0.0 0.0 1.1 0.5 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 -0.1 -0.1 0.0 -0.2 0.1 0.0 -0.2 -0.3 -0.3 -0.3 0.1 -0.0 0.0 -0.2 0.1 2.7 0.0 -0.0 -0.0 0.0 -0.1 0.0 -1.1 0.1 0.6 0.6 0.1 -0.7 -0.5 -0.7 -0.5 LEANHOG 0.4 0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.2 0.0 -0.1 0.4 0.2 0.4 0.4 -0.1 -0.1 -0.0 -0.2 -0.0 0.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 1.1 0.0 0.5 0.2 -0.5 -0.0 -0.2 0.1 0.1 LIVECOW -0.6 -0.1 0.4 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 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 -0.0 0.2 -0.0 0.9 -0.3 0.0 0.6 0.6 -0.0 0.7 0.1 0.7 LUMBER-new 0.7 0.4 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 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 0.1 -0.2 0.0 -1.2 0.6 0.7 0.6 -0.2 0.1 -0.1 0.3 -0.0 MILK -0.0 0.0 0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.3 0.2 0.1 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.2 0.1 0.1 2.3 0.0 0.1 0.1 0.1 0.0 0.1 -1.1 0.5 0.6 0.5 0.6 -0.1 -0.7 0.0 -0.7 MXP -0.4 -0.2 -0.6 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.2 -0.0 -0.0 -0.0 -0.1 0.2 0.3 0.2 0.3 -0.1 -0.1 0.0 -0.0 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 1.1 -0.0 -0.5 -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 0.1 0.1 0.0 0.2 -0.0 -0.0 -0.1 -0.2 -0.2 -0.2 -0.0 0.0 0.0 0.2 -0.0 -2.1 -0.0 0.0 0.0 0.0 0.1 -0.0 -0.4 0.3 -0.1 -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 0.1 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 -1.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 -0.5 -0.6 -0.4 -0.3 0.3 -0.1 0.1 -0.2 NZD -0.0 -0.3 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.2 0.1 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.2 0.2 0.0 -0.4 0.1 0.3 -0.2 0.3 0.0 OAT 0.6 0.5 -0.1 0.0 0.0 0.1 0.0 0.0 0.0 0.0 -0.2 0.1 -0.1 0.1 0.1 0.0 0.1 0.0 0.0 0.1 -0.0 0.1 -0.1 0.1 0.3 0.0 0.0 0.0 0.0 -0.0 0.1 0.6 -0.2 -0.3 -0.2 -0.5 -0.6 -0.7 -0.2 -0.1 OATIES -0.1 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.2 0.0 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 0.1 -0.2 -0.0 0.2 -0.0 0.6 0.3 OJ -0.2 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 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 0.1 -2.7 0.0 0.1 0.2 0.1 0.5 0.0 0.8 0.5 0.5 0.5 0.6 0.5 0.4 0.7 0.7 PALLAD -0.1 -0.0 0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.2 0.1 -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 0.2 0.1 0.4 0.1 -0.7 -0.7 -0.7 -0.7 PLAT -0.2 -0.4 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 0.8 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.2 -0.1 0.1 0.3 -0.4 -0.3 -0.2 0.1 REDWHEAT -0.1 -0.6 -0.4 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.4 -0.2 -0.6 -0.2 -0.2 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.5 -0.2 -0.9 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.8 -0.0 0.1 -0.5 0.1 -0.7 -0.7 -0.5 -0.6 RICE 0.3 -0.6 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 0.0 0.4 -0.0 0.0 -0.1 0.4 0.4 0.4 -0.0 0.0 -0.1 0.2 -0.0 -1.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 1.1 -0.3 0.6 0.3 0.6 -0.7 -0.4 -0.7 -0.4 ROBUSTA -0.5 -0.2 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.3 0.0 0.4 0.0 0.1 0.4 0.4 0.4 0.4 0.1 0.2 0.1 0.5 0.1 -2.7 0.0 0.0 0.2 0.0 0.3 0.0 1.1 0.5 0.2 0.6 0.6 0.1 -0.2 0.3 0.1 RUSSELL -0.6 0.1 -0.1 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.2 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.0 0.1 -0.0 -0.1 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.0 -0.2 0.2 0.4 0.1 0.1 -0.6 -0.1 -0.7 SHATZ 0.6 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 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.0 -0.1 0.1 0.9 0.0 -0.0 0.0 0.0 -0.0 0.0 -1.1 -0.1 0.1 0.1 -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 -0.0 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.1 0.3 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.3 -0.1 0.2 0.1 -0.2 0.2 0.2 SMI -0.6 -0.6 0.1 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.2 0.0 0.4 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.0 0.1 0.0 0.2 -0.0 1.2 0.0 0.1 0.2 0.1 0.2 0.0 0.5 0.5 0.6 0.3 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 -0.3 -0.5 -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 0.1 -0.1 -0.0 -0.2 -0.1 -0.1 -0.3 -0.2 -2.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.2 -0.5 -0.3 -0.2 -0.7 -0.0 -0.7 SOYMEAL 0.2 -0.4 -0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -2.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 -0.0 0.2 -0.2 0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.6 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.1 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 -0.2 -0.4 -0.1 -0.2 -0.2 -0.4 0.1 -0.1 SP400 -0.4 -0.1 -0.4 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 -0.0 0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 0.0 0.1 -0.0 -1.1 0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 -0.1 0.2 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 0.1 0.2 0.0 0.3 -0.0 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 0.1 0.2 -0.0 -1.8 0.0 0.0 0.1 0.0 0.2 -0.0 -0.6 0.2 -0.0 -0.1 0.2 0.3 0.1 -0.1 0.0 SUGAR11 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.2 -0.2 -0.2 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 -0.0 0.1 0.0 0.1 0.2 -0.7 0.6 0.1 US10U 0.5 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 -0.0 0.1 -0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 0.2 -0.6 0.7 0.5 US2 0.5 0.6 0.6 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.1 -0.1 0.1 1.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -1.1 0.1 0.3 0.3 0.1 0.1 -0.7 0.2 -0.4 US20 0.5 0.4 0.5 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 0.1 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 -0.0 -0.1 0.1 0.2 -0.3 0.7 0.7 US30 0.4 0.3 0.5 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 0.1 0.0 0.1 -0.0 0.1 -0.1 0.0 0.0 0.1 0.0 0.0 0.0 -0.1 -0.0 -0.1 -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 -0.1 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 -0.0 0.1 0.7 0.0 -0.0 0.0 0.0 0.0 0.0 -0.7 0.0 0.2 0.1 0.2 0.2 -0.7 0.5 -0.1 VIX 0.8 1.0 1.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.2 -0.1 -0.5 -0.0 -0.1 -0.6 -0.6 -0.6 -0.6 0.0 -0.0 -0.1 -0.1 0.0 NaN 0.0 -0.0 -0.0 0.0 -0.1 0.0 NaN NaN NaN NaN NaN -0.7 -1.1 NaN NaN WHEAT 0.0 -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 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.1 -0.3 -0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.1 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 -12.9 -6.8 3.1 -3.3 4.9 -2.8 2.6 -0.6 -1.7 13.7 -3.9 -1.9 -4.3 -10.8 -4.4 -2.0 -2.6 -2.2 -2.4 -6.6 -1.8 6.4 -1.7 -5.4 3.4 -3.3 6.1 -1.0 3.2 -0.3 -2.5 -0.0 20.0 -16.7 -4.6 5.0 11.2 -4.7 12.9 -0.7 BITCOIN -8.3 -12.8 -15.1 -3.9 2.1 -2.9 0.1 -1.2 -2.6 -2.0 2.4 -5.5 7.3 -5.1 -5.9 -5.5 -7.1 -6.3 -6.9 -5.8 0.1 -8.0 7.2 -8.2 -20.0 -2.7 -2.9 0.8 -4.0 5.2 -4.0 -2.8 -20.0 -3.1 3.5 7.2 -13.5 -6.6 -4.8 -0.6 BOBL 19.8 18.8 7.4 3.1 0.2 1.6 2.5 0.2 3.6 -4.7 -3.2 7.1 -5.0 9.0 8.1 -20.0 -16.1 -20.0 -20.0 10.0 3.1 6.0 -2.8 12.0 4.3 3.2 -1.4 1.3 1.9 -0.1 3.8 -20.0 -8.7 0.4 -0.7 -6.6 -20.0 -20.0 -9.7 -10.6 BTP 9.3 13.8 0.4 5.4 0.3 2.8 4.4 0.3 6.3 4.9 8.8 14.1 13.3 18.4 16.5 1.3 3.9 1.5 2.3 13.4 9.4 11.4 8.8 15.3 -20.0 5.8 2.0 4.3 5.2 4.1 6.7 11.0 -15.5 -20.0 -7.3 -15.0 -20.0 -16.1 -3.7 4.4 BUND 17.7 15.4 6.1 3.4 0.2 1.7 2.8 0.2 4.0 -4.5 -2.2 7.9 -1.7 10.0 9.1 6.8 1.3 4.1 1.7 10.0 4.0 7.1 -1.4 12.1 1.0 3.6 -0.7 1.8 2.5 0.5 4.2 7.6 -9.8 -3.0 -3.9 -7.6 -20.0 -20.0 -8.5 -10.2 BUXL 17.6 11.5 3.8 3.9 0.2 2.0 3.2 0.2 4.6 -1.8 -3.6 8.5 -1.4 10.5 7.9 -0.8 -2.4 -1.7 -2.6 8.7 2.6 8.0 -2.8 12.0 -3.3 3.8 -0.1 1.9 3.1 0.5 4.8 1.2 -11.7 -6.7 -9.7 -12.4 -20.0 -20.0 -12.3 -9.8 CAC -8.9 -16.1 -20.0 -0.5 5.4 2.6 -0.5 4.2 -2.7 11.0 -7.9 -4.1 3.3 -9.1 -13.4 -5.2 -1.8 -5.1 -2.9 -17.3 -10.7 -2.2 -0.1 -14.2 -7.5 -5.0 3.7 -2.7 -0.6 0.7 -4.0 7.0 7.0 4.5 -20.0 -20.0 8.2 5.2 2.1 5.7 CAD -0.9 -2.3 -3.3 -3.8 5.6 -3.3 3.0 -0.7 -1.9 19.0 -20.0 14.3 -19.2 -3.4 -9.2 -5.0 -3.4 -4.6 -4.0 -8.2 -11.0 10.1 -12.3 -0.3 -1.3 -4.9 5.9 -5.8 5.9 -5.8 -0.4 -1.9 20.0 2.7 -0.3 -8.2 9.5 -6.4 0.2 -4.1 CANOLA -20.0 -4.0 3.7 -2.3 -1.2 -1.6 -2.1 -1.0 -2.4 -4.0 -4.7 -6.6 -6.3 -6.3 -5.4 -10.3 -10.2 -12.1 -12.7 -7.2 -5.1 -10.4 -5.7 -10.2 -15.0 -2.2 -1.4 -2.2 -2.1 -2.6 -2.3 -20.0 0.7 1.0 -1.5 -2.6 -0.2 -11.1 8.2 -4.2 CHF 17.1 19.9 14.2 -1.9 2.9 -1.7 1.5 -0.3 -1.0 -9.0 -4.7 2.1 -6.5 6.2 7.4 -14.6 -16.6 -16.2 -16.4 9.9 2.8 2.9 -2.3 11.1 3.6 3.6 -2.0 1.3 1.6 -0.2 4.1 -20.0 6.2 20.0 20.0 14.9 4.2 -11.0 -6.2 -12.0 COCOA -2.5 -9.1 4.6 -2.1 -1.1 -1.5 -1.9 -0.9 -2.1 0.3 1.9 0.0 3.2 -2.6 -3.1 20.0 19.2 20.0 20.0 -0.6 3.1 0.7 7.5 -0.5 -19.4 0.6 0.4 5.1 0.6 11.0 0.0 20.0 8.6 6.0 0.7 -0.0 17.1 6.6 20.0 10.7 COFFEE -11.6 -5.1 6.0 -4.9 -2.5 -3.5 -4.4 -2.1 -5.1 5.3 11.9 2.9 12.5 0.2 9.4 3.6 6.3 4.1 5.5 7.0 12.2 3.2 13.1 2.9 -20.0 2.9 3.5 7.2 2.1 9.8 1.2 7.0 20.0 7.7 17.6 15.3 -3.1 -10.6 4.0 -3.9 COPPER -12.3 -20.0 -11.9 -2.6 1.4 -1.9 0.1 -0.8 -1.7 6.0 -2.2 -2.1 0.5 -7.3 -7.9 -2.5 -2.6 -1.5 -1.7 -9.2 -2.6 -1.4 2.7 -8.7 -10.8 -2.5 1.7 -0.8 -0.3 0.8 -2.2 5.4 2.8 -8.8 -7.2 5.7 10.3 3.5 18.8 13.7 CORN 0.9 -17.3 -12.7 -3.6 -1.9 -2.6 -3.3 -1.6 -3.8 -6.2 -11.3 -9.2 -11.9 -11.3 -11.7 -20.0 -14.2 -18.7 -17.6 -16.1 -16.4 -6.1 -15.2 -11.1 -8.3 -4.0 -1.0 -4.0 -1.6 -3.6 -2.8 -20.0 5.2 3.6 -18.7 -9.0 -7.0 -9.3 -5.0 -1.1 COTTON2 -2.2 -9.2 -20.0 -5.0 -2.6 -3.6 -4.6 -2.2 -5.2 -12.0 -17.1 -13.6 -14.7 -15.2 -16.7 -11.3 -2.0 -8.6 -4.9 -19.9 -20.0 -9.1 -19.3 -13.4 -20.0 -5.9 -3.5 -5.8 -3.5 -3.0 -4.5 -9.1 2.1 -7.7 2.9 -17.5 -9.4 -9.4 2.9 -2.6 CRUDE_W -8.5 -10.0 -11.0 -4.4 1.4 -2.4 -0.1 0.3 -3.5 11.8 2.0 4.5 11.6 -6.2 -5.1 12.5 12.7 13.5 13.3 -6.3 -1.5 3.9 4.3 -5.1 -2.5 -5.0 4.0 -3.5 1.5 0.2 -3.0 9.8 7.6 -6.1 -0.6 -8.4 14.2 20.0 15.9 20.0 DAX -14.7 -14.9 -18.4 -0.4 4.8 2.4 -0.4 3.8 -2.4 9.6 3.1 -1.6 9.8 -5.7 -7.1 -7.3 -10.6 -8.8 -9.9 -7.9 -0.7 -0.1 6.6 -9.1 8.6 -3.0 5.2 0.5 -0.6 3.9 -3.8 -7.3 1.5 3.6 -11.1 -14.3 10.3 4.1 -3.3 4.0 DOW -14.0 -1.8 -11.4 -0.3 4.0 1.9 -0.3 3.1 -2.0 8.6 3.5 0.8 8.9 -2.0 0.8 -8.6 -11.0 -10.2 -10.8 1.2 3.7 4.4 6.2 -0.4 -8.4 1.3 5.8 2.7 1.5 4.1 0.1 -8.3 3.4 8.7 9.0 0.1 12.0 -0.3 2.0 -3.9 DX -11.7 -17.8 -7.5 -2.9 4.4 -2.5 2.3 -0.5 -1.5 -1.6 5.8 -15.3 12.1 -17.4 -14.5 6.6 7.0 7.1 7.1 -12.8 -3.2 -16.6 4.0 -18.5 -20.0 -5.5 -3.2 -1.6 -6.9 1.3 -7.8 16.5 -20.0 -12.0 -19.9 -12.2 -7.3 5.3 -8.6 8.1 EUR 4.7 11.1 4.7 -3.4 5.0 -2.9 2.7 -0.6 -1.7 10.2 -3.2 17.8 -9.2 18.2 15.4 -7.1 -7.2 -7.4 -7.3 9.0 2.7 17.0 -2.0 14.2 20.0 5.7 8.2 2.7 10.0 0.6 8.5 -8.1 20.0 20.0 20.0 13.1 2.8 -17.3 -1.4 -17.9 EURIBOR-ICE 19.4 20.0 5.1 2.6 0.2 1.4 2.2 0.2 3.1 -3.1 -0.5 7.1 1.6 8.9 8.1 -0.2 -4.1 -2.5 -3.3 11.3 5.5 7.7 1.6 12.9 12.6 3.0 -0.4 1.5 2.1 0.6 3.4 -0.8 -6.8 0.6 3.6 -4.0 -20.0 -20.0 -5.8 1.4 EUROSTX -13.8 -19.1 -20.0 -0.4 4.7 2.3 -0.4 3.7 -2.4 9.7 3.3 -1.6 9.3 -7.4 -8.8 -3.7 -2.8 -4.6 -4.1 -10.0 -2.5 0.2 6.0 -10.0 -1.7 -3.5 5.1 -0.1 -0.2 3.4 -3.7 4.9 6.7 3.0 -16.2 -16.8 1.8 0.9 -13.9 -1.1 FEEDCOW -20.0 -20.0 -7.4 -5.4 -2.8 -3.8 -4.9 -2.4 -5.6 -2.6 -6.5 -11.9 -6.3 -14.6 -11.1 9.5 -20.0 -0.9 -11.6 -20.0 -13.7 -20.0 -6.1 -20.0 -6.6 -5.2 -0.8 -3.0 -4.9 -0.9 -6.6 -20.0 -20.0 -20.0 -20.0 -7.9 1.9 20.0 8.9 20.0 GASOIL -9.6 -8.8 -13.1 -4.1 1.3 -2.3 -0.1 0.3 -3.3 13.5 -4.7 -1.9 9.3 -11.4 -10.6 2.5 10.0 1.1 4.2 -10.7 -5.8 -2.7 2.2 -10.5 4.4 -5.2 1.8 -3.0 -1.6 0.3 -5.0 0.1 -1.7 -7.1 -2.3 -2.7 -11.6 -14.7 -20.0 -20.0 GASOLINE -5.5 -5.9 -10.9 -4.2 1.3 -2.3 -0.1 0.3 -3.4 2.1 3.1 -0.7 10.4 -6.8 -7.5 20.0 20.0 20.0 20.0 -5.2 -1.2 -2.0 5.2 -5.2 -20.0 -4.4 -0.6 -2.7 -1.0 1.7 -3.3 20.0 -3.7 0.5 6.5 -4.7 20.0 20.0 20.0 20.0 GAS_US_mini 1.2 -18.9 10.8 -3.1 1.0 -1.7 -0.1 0.2 -2.5 11.8 -12.4 7.4 -13.6 -9.3 -11.6 -20.0 -20.0 -20.0 -20.0 -11.3 -12.5 5.2 -18.8 -4.8 20.0 -2.8 3.6 -3.4 2.8 -4.9 -0.7 -20.0 20.0 12.7 -9.2 13.3 -3.9 -11.8 -8.8 -17.9 GBP -13.4 3.6 6.1 -3.5 5.2 -3.0 2.8 -0.6 -1.8 17.9 12.6 -0.6 8.0 -1.0 10.1 -0.5 -0.8 -0.7 -0.7 4.5 7.4 5.0 7.0 0.5 -0.7 2.8 8.5 5.2 2.5 5.2 -0.1 3.1 4.7 -7.4 14.7 20.0 8.0 -20.0 7.6 -13.9 GOLD_micro -0.8 2.2 -1.4 -3.5 1.9 -2.6 0.1 -1.1 -2.3 6.9 10.2 6.7 10.6 6.8 5.9 -11.4 -13.3 -11.7 -12.3 7.5 10.4 7.7 12.3 7.0 -5.0 2.0 3.7 4.3 4.2 7.1 2.9 -12.8 4.9 11.2 20.0 14.8 9.5 -4.0 17.3 2.2 HEATOIL -8.2 -7.1 -10.9 -4.3 1.3 -2.4 -0.1 0.3 -3.4 8.6 -9.3 -2.9 3.6 -11.0 -10.4 -4.9 7.5 -4.7 -0.4 -10.7 -7.4 -3.1 -1.3 -10.0 -20.0 -5.8 0.9 -4.9 -1.3 -1.4 -4.5 -6.0 -3.9 -5.7 -2.6 -10.9 -2.7 5.7 -12.9 2.2 JGB-SGX-mini 20.0 17.5 -0.5 1.9 0.1 1.0 1.6 0.1 2.3 -2.9 -1.5 3.9 -0.5 4.0 2.0 14.8 18.4 18.2 18.2 4.2 0.7 5.8 -0.4 7.3 -7.0 1.5 0.2 0.1 2.3 -0.5 2.7 20.0 19.6 4.7 -3.2 -7.8 -5.2 -4.9 -3.0 12.2 JPY 20.0 20.0 13.4 -1.2 1.8 -1.1 1.0 -0.2 -0.6 -5.6 -3.4 3.5 -6.7 5.4 3.6 -12.1 -15.7 -13.9 -14.8 7.6 -0.1 4.6 -6.4 10.9 20.0 1.9 -0.9 -0.0 1.3 -1.4 2.7 -20.0 2.9 20.0 18.1 1.6 -20.0 -15.9 -20.0 -15.5 LEANHOG 12.1 3.6 -20.0 -3.5 -1.8 -2.5 -3.2 -1.5 -3.6 2.6 -7.0 -2.0 -6.0 3.0 -6.7 20.0 8.6 20.0 20.0 -7.3 -10.1 -1.0 -8.8 -2.6 3.3 -2.5 1.7 -3.3 -0.4 -2.6 -1.0 20.0 1.3 14.9 5.2 -15.9 -0.9 -6.6 3.5 3.2 LIVECOW -20.0 -4.5 11.1 -6.4 -3.3 -4.5 -5.8 -2.8 -6.6 4.8 13.4 -10.1 8.4 -7.8 8.2 15.0 10.3 13.6 13.8 1.7 9.0 -9.4 9.1 -9.6 -12.0 0.2 -0.5 3.7 -4.0 5.1 -4.2 17.6 -13.6 0.8 19.8 20.0 -1.0 20.0 3.9 20.0 LUMBER-new 20.0 11.3 -8.8 -3.5 -1.8 -2.5 -3.2 -1.5 -3.7 10.0 -7.8 10.7 -8.8 8.9 -1.7 -16.9 -17.4 -17.0 -17.3 -0.6 -7.5 9.1 -8.4 6.9 NaN 0.2 3.5 -3.3 4.1 -3.9 3.4 -20.0 20.0 20.0 17.4 -4.3 3.6 -3.8 8.6 -1.2 MILK -0.4 0.7 20.0 -4.9 -2.6 -3.5 -4.4 -2.1 -5.1 14.3 12.2 13.9 1.8 10.0 12.6 -20.0 -20.0 -20.0 -20.0 11.4 11.6 18.9 3.3 11.8 17.6 4.5 13.8 4.7 8.5 0.9 4.8 -20.0 20.0 20.0 16.9 20.0 -3.5 -20.0 1.0 -20.0 MXP -12.8 -7.2 -20.0 -1.5 2.3 -1.3 1.2 -0.3 -0.8 8.6 -5.7 -1.6 -0.1 -4.4 -6.9 10.0 14.7 11.2 12.7 -9.8 -7.4 0.2 -1.1 -7.4 -20.0 -3.1 2.4 -2.4 -0.1 -0.3 -2.3 20.0 -1.2 -14.6 -5.1 -19.2 17.5 12.6 20.0 19.2 NASDAQ_micro -20.0 -20.0 -13.2 -0.3 3.0 1.5 -0.3 2.4 -1.5 7.4 3.1 0.9 6.9 -3.6 -0.6 -7.2 -10.4 -9.4 -10.1 -2.7 2.4 3.8 6.1 -3.9 -15.4 -0.6 3.5 1.4 0.8 3.0 -1.3 -7.2 11.6 -3.1 -8.9 3.7 2.7 5.7 -6.0 3.8 NIKKEI -20.0 -20.0 -20.0 -0.2 2.6 1.3 -0.2 2.0 -1.3 5.7 2.0 0.8 4.7 -2.1 -1.8 8.8 10.2 10.5 9.9 -3.9 -0.5 -0.3 2.4 -5.1 -7.6 -1.6 -0.3 0.0 -2.4 1.3 -3.0 20.0 -20.0 -20.0 -11.8 -10.3 8.8 -1.8 3.5 -4.7 NZD -0.2 -10.1 1.5 -2.6 3.9 -2.3 2.1 -0.5 -1.3 -2.0 -6.9 4.8 -4.1 -2.9 -5.3 -0.2 0.1 -0.1 -0.0 -5.8 -4.2 4.0 -2.9 -1.9 0.2 -2.9 0.2 -2.0 2.4 -1.0 -0.7 4.4 8.1 0.1 -11.4 2.7 9.4 -4.9 7.9 0.1 OAT 17.2 16.0 -3.0 3.8 0.2 2.0 3.1 0.2 4.4 0.8 -5.6 10.4 -3.0 12.4 8.1 0.8 3.7 0.8 1.9 7.1 -0.0 9.2 -4.0 11.9 2.5 3.2 0.7 0.8 4.0 -0.3 5.1 10.5 -8.6 -9.9 -7.0 -16.1 -18.8 -19.8 -4.7 -1.5 OATIES -3.1 -11.5 -19.9 -3.5 -1.8 -2.5 -3.2 -1.5 -3.6 -10.3 -10.0 -10.5 -10.5 -9.3 -10.7 10.8 2.2 5.7 4.2 -12.1 -13.4 -7.9 -11.8 -8.7 -20.0 -3.4 -2.4 -3.1 -2.5 -2.4 -2.7 1.7 -2.3 3.9 -5.1 -0.1 7.2 -0.7 18.9 8.9 OJ -6.6 -5.3 -2.4 -5.3 -2.7 -3.7 -4.8 -2.3 -5.4 13.8 12.0 7.7 14.5 -0.8 7.9 7.5 11.6 8.4 9.1 8.1 16.2 11.9 20.0 5.2 -20.0 2.8 11.0 7.1 5.5 13.6 1.9 14.1 20.0 16.2 16.6 20.0 13.8 10.7 20.0 20.0 PALLAD -1.9 -0.7 4.1 -2.4 1.3 -1.8 0.1 -0.8 -1.6 7.8 -6.4 5.0 -8.1 -3.4 -4.9 -1.9 -2.1 -1.9 -1.9 -3.5 -4.5 3.7 -7.8 -1.1 13.9 -2.2 3.5 -2.7 1.8 -3.4 -0.6 5.9 6.3 3.5 11.8 2.1 -20.0 -20.0 -20.0 -20.0 PLAT -7.5 -11.6 -1.4 -3.2 1.7 -2.4 0.1 -1.0 -2.1 4.8 -4.0 -3.2 -4.1 -7.8 -8.2 -4.6 -4.4 -5.0 -4.8 -5.6 -2.0 -1.3 -0.4 -6.0 5.7 -3.3 2.0 -1.9 -0.8 -0.5 -3.0 1.4 -6.7 -4.5 2.8 9.2 -10.6 -9.2 -5.1 2.1 REDWHEAT -1.9 -20.0 -11.2 -5.6 -2.9 -4.0 -5.1 -2.5 -5.8 -16.0 -15.4 -15.8 -16.2 -17.5 -18.2 -11.1 -5.4 -10.4 -8.2 -20.0 -19.3 -13.1 -18.8 -16.9 -6.4 -5.3 -4.9 -4.4 -3.8 -3.9 -4.4 -14.9 -1.8 4.6 -15.6 2.5 -20.0 -20.0 -14.7 -18.9 RICE 9.3 -17.0 -3.4 -5.1 -2.7 -3.6 -4.6 -2.2 -5.3 -7.0 9.4 0.9 12.2 -1.9 1.7 -7.3 20.0 20.0 20.0 -1.9 2.5 -7.9 7.8 -4.0 -10.1 1.0 -6.3 2.2 -4.6 3.0 -1.1 20.0 -10.6 20.0 9.4 20.0 -20.0 -12.7 -20.0 -11.7 ROBUSTA -15.0 -7.1 3.5 -3.3 -1.7 -2.4 -3.0 -1.5 -3.5 8.2 9.8 4.1 10.2 4.2 8.1 20.0 20.0 20.0 20.0 9.2 15.1 6.5 18.5 5.3 -20.0 3.4 3.4 6.3 2.4 8.9 2.0 20.0 20.0 6.8 20.0 20.0 2.3 -5.7 8.9 2.1 RUSSELL -18.4 4.0 -3.3 -0.3 3.1 1.5 -0.3 2.5 -1.6 4.6 2.9 -3.6 6.1 -3.3 0.0 -5.1 -6.6 -6.2 -6.5 0.6 2.6 -2.5 2.9 -3.0 -0.8 1.3 1.5 1.9 -0.7 1.8 -0.3 -0.7 -6.3 5.4 13.0 3.7 4.4 -19.0 -2.9 -20.0 SHATZ 20.0 20.0 19.0 2.4 0.1 1.3 2.0 0.1 2.9 -4.4 -2.9 5.0 -5.3 6.8 6.9 -20.0 -20.0 -20.0 -20.0 9.5 2.6 4.8 -4.5 10.9 6.8 2.6 -1.4 0.9 1.3 -0.6 2.9 -20.0 -5.2 3.8 3.1 -3.3 -20.0 -16.1 -17.1 -11.0 SILVER-mini -19.4 -16.3 1.3 -2.9 1.5 -2.1 0.1 -0.9 -1.9 4.0 3.0 -3.2 4.5 -7.0 -5.2 -5.4 -6.3 -5.7 -6.0 -5.0 1.7 -2.6 5.3 -7.5 2.2 -2.6 1.5 -0.4 -0.8 1.4 -2.8 -1.4 -3.9 -9.6 -1.8 7.4 2.8 -5.3 7.4 6.2 SMI -20.0 -17.0 3.2 -0.4 4.2 2.1 -0.4 3.3 -2.1 10.1 8.5 2.6 10.3 -0.2 5.2 -2.6 0.5 -2.9 -1.6 0.2 6.3 3.8 8.3 -2.9 9.1 4.1 8.1 5.8 5.4 6.1 3.7 9.9 20.0 20.0 8.7 12.6 3.5 1.8 -7.3 -1.5 SOFR 12.4 20.0 17.7 3.3 0.2 1.7 2.7 0.2 3.8 -2.8 5.3 6.6 1.0 9.3 10.6 0.5 -1.1 -0.8 -1.2 14.0 8.5 8.8 1.8 14.2 -3.8 3.9 0.1 2.7 2.6 1.2 4.0 3.6 -2.7 1.4 1.8 7.1 10.2 -14.0 20.0 5.5 SOYBEAN -10.2 -16.9 -14.5 -2.8 -1.5 -2.0 -2.6 -1.2 -2.9 -7.1 -9.1 -8.5 -7.4 -9.1 -9.3 -8.6 3.7 -4.9 -1.7 -15.5 -12.8 -15.7 -9.4 -15.9 -16.8 -3.3 -2.8 -2.7 -3.3 -1.8 -3.3 -1.7 -10.5 -7.4 -15.4 -9.4 -5.6 -20.0 -0.6 -20.0 SOYMEAL 7.1 -11.1 -8.4 -2.8 -1.5 -2.0 -2.6 -1.2 -2.9 -5.0 -8.1 -5.6 -7.9 -6.7 -7.9 -2.9 5.5 1.6 2.8 -8.7 -8.5 -8.7 -7.3 -8.1 -18.2 -2.4 -2.0 -2.1 -2.7 -1.5 -2.5 3.3 -2.1 6.3 -6.9 3.2 -20.0 -20.0 -20.0 -20.0 SOYOIL -20.0 -6.6 -3.0 -2.5 -1.3 -1.8 -2.3 -1.1 -2.6 -7.3 -7.1 -7.7 -7.7 -7.9 -7.3 6.0 1.4 3.7 1.3 -9.3 -7.3 -12.7 -7.4 -12.1 -17.9 -2.6 -3.3 -2.1 -3.4 -1.8 -3.2 -2.0 -10.0 -12.4 -3.3 -5.7 -5.9 -10.6 3.6 -1.9 SP400 -12.1 -4.2 -13.5 -0.3 3.6 1.8 -0.3 2.9 -1.8 6.1 3.9 -2.2 7.6 -3.4 -2.0 -5.4 -5.8 -5.6 -5.8 -0.9 2.0 0.0 4.4 -2.9 -8.2 1.0 3.4 2.4 -0.0 3.3 -0.5 0.7 -3.8 7.7 8.0 -0.4 6.4 -8.4 -0.7 -20.0 SP500_micro -20.0 -20.0 -12.4 -0.3 3.7 1.8 -0.3 2.9 -1.9 9.1 6.7 2.3 9.7 -2.2 2.1 -9.3 -12.4 -11.9 -12.4 -0.6 5.1 5.8 9.1 -2.4 -13.5 0.1 5.2 2.8 1.3 4.7 -1.2 -10.8 9.7 -1.4 -3.4 5.5 10.3 3.3 -3.1 1.3 SUGAR11 -5.8 -1.6 -4.8 -4.4 -2.3 -3.1 -4.0 -1.9 -4.5 -11.5 -12.4 -11.1 -10.7 -11.4 -10.7 -4.2 7.1 -2.7 1.3 -10.2 -11.6 -10.1 -10.1 -10.6 -20.0 -3.8 -4.9 -4.8 -4.1 -4.4 -3.9 4.1 -6.7 -7.4 8.2 -2.7 -3.5 18.1 0.2 20.0 US10 14.6 19.5 18.8 2.6 0.1 1.3 2.1 0.2 3.0 -2.8 3.1 5.0 -2.3 6.9 7.8 -8.1 -7.5 -7.7 -7.4 9.9 5.3 6.9 -0.6 10.8 2.1 3.0 0.1 1.9 2.2 0.6 3.2 -7.2 -0.2 2.6 0.9 4.2 5.3 -20.0 18.8 4.1 US10U 14.7 16.8 18.3 3.5 0.2 1.8 2.9 0.2 4.1 -1.8 3.2 7.3 -3.2 9.4 10.5 -3.2 -2.9 -3.9 -3.7 12.0 6.1 9.4 -1.5 13.6 -0.0 4.0 0.6 2.6 3.2 0.8 4.4 0.0 -0.8 0.7 -2.5 3.5 5.5 -17.3 20.0 13.6 US2 14.4 20.0 20.0 2.3 0.1 1.2 1.9 0.1 2.7 -4.4 -0.4 3.9 -5.3 6.1 6.6 -20.0 -20.0 -20.0 -20.0 9.8 4.0 5.6 -2.8 10.9 11.7 2.5 -0.4 1.2 1.8 -0.0 2.9 -20.0 4.8 8.9 8.5 3.2 2.6 -20.0 6.7 -10.9 US20 14.9 12.9 16.5 2.4 0.1 1.3 2.0 0.1 2.9 -0.4 2.7 4.9 -0.3 6.0 6.9 -1.0 -0.8 -0.9 -0.8 7.5 4.1 6.8 -0.3 8.8 -1.5 2.8 0.8 2.1 2.4 0.9 3.0 4.3 -0.3 -0.9 -3.8 3.2 5.0 -10.4 20.0 20.0 US30 13.8 10.5 15.4 2.8 0.2 1.4 2.3 0.2 3.3 -0.5 1.6 5.3 -1.7 6.0 6.9 -3.5 -4.9 -4.0 -4.5 6.8 3.3 7.0 -1.5 8.5 -0.9 3.1 1.2 2.2 2.8 0.8 3.4 -2.5 -0.1 -4.2 -7.4 0.6 1.9 -9.7 15.7 20.0 US5 14.0 20.0 20.0 2.6 0.2 1.4 2.2 0.2 3.1 -5.0 2.5 4.8 -3.9 7.1 8.0 -12.4 -10.8 -11.7 -11.0 11.0 5.6 6.8 -1.0 11.7 5.4 3.0 -0.2 1.8 2.1 0.5 3.3 -13.1 0.2 4.7 4.1 4.8 5.6 -20.0 15.1 -2.7 VIX 16.1 20.0 20.0 1.6 -0.6 -0.1 1.5 -1.3 2.6 -8.0 -5.3 -4.7 -8.6 -2.1 -3.4 -20.0 -20.0 -20.0 -20.0 2.1 -0.4 -3.5 -3.4 1.8 NaN 1.7 -0.7 -0.1 1.6 -1.6 2.8 NaN NaN NaN NaN NaN -13.6 -20.0 NaN NaN WHEAT 0.3 -20.0 -11.8 -3.9 -2.0 -2.8 -3.5 -1.7 -4.1 -9.1 -10.2 -6.1 -10.5 -10.7 -12.2 -16.6 -14.8 -16.4 -15.9 -15.4 -13.3 -5.8 -11.8 -10.2 1.8 -3.5 -2.1 -2.8 -1.6 -2.2 -2.5 -20.0 5.0 6.5 -11.8 2.4 -17.2 -20.0 -15.0 -20.0 End of report for caleb_strategy_v3