******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240816_203937 produced at 2024-08-16 21:37:38.979436 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -3.25 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.08 -0.07 0.0 0.32 -0.32 -0.08 -0.08 -1.82 8.0 -2 -2 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -1.63 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 -1.51 3.0 -2 -2 caleb_strategy_v3 CORN False False 0.01 -0.02 -0.05 0.0 0.08 -0.08 -0.02 -0.02 -6.83 12.0 -3 -3 caleb_strategy_v3 CAD False False 0.03 0.00 -0.05 0.0 0.73 -0.73 0.00 0.00 -1.87 29.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.06 -0.05 0.0 0.55 -0.55 -0.06 -0.06 -5.94 60.0 -7 -7 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -25.86 59.0 0 0 caleb_strategy_v3 COPPER False False 0.04 -0.04 -0.04 0.0 999.00 -999.00 -0.04 -0.04 -1.12 999999999.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.13 -0.13 -0.06 -0.06 -3.78 11.0 -5 -5 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.04 0.0 0.85 -0.85 0.00 0.00 -0.80 19.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.27 12.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.02 -0.03 0.0 0.31 -0.31 -0.02 -0.02 -3.67 36.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.00 -0.03 0.0 0.15 -0.15 -0.00 -0.00 -10.41 51.0 -1 -1 caleb_strategy_v3 GASOIL False False 0.02 0.00 -0.03 0.0 0.10 -0.10 0.00 0.00 -1.14 4.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.01 -0.03 0.0 999.00 -999.00 -0.01 -0.01 -4.45 999999999.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.03 0.0 0.08 -0.08 -0.02 -0.02 -2.61 8.0 -2 -2 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.03 -0.03 0.0 0.00 -0.03 -0.03 -0.03 -13.28 26.0 -14 -14 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.02 0.0 0.31 -0.31 -0.01 -0.01 -1.48 23.0 -1 -1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.67 2.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.08 -0.02 0.0 0.12 -0.12 -0.08 -0.08 -1.18 7.0 -5 -5 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.09 -0.09 -0.04 -0.04 -2.09 9.0 -4 -4 caleb_strategy_v3 EUROSTX False False 0.02 -0.04 -0.02 0.0 0.37 -0.37 -0.04 -0.04 -1.20 20.0 -2 -2 caleb_strategy_v3 BTP False False 0.05 0.00 -0.02 0.0 0.45 -0.45 0.00 0.00 -0.43 10.0 0 0 caleb_strategy_v3 SP400 False False 0.10 -0.10 -0.02 0.0 0.21 -0.21 -0.10 -0.10 -0.16 2.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.02 0.0 0.13 -0.13 0.00 0.00 -2.32 18.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.02 0.0 0.46 -0.46 0.00 0.00 -2.12 48.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -1.25 10.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.11 4.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.00 -0.01 0.0 0.25 -0.25 -0.00 -0.01 -2.34 68.0 -1 -3 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.01 0.0 0.17 -0.17 -0.02 -0.02 -0.59 10.0 -1 -1 caleb_strategy_v3 DOW False False 0.01 0.00 -0.01 0.0 0.47 -0.47 0.00 0.00 -0.94 66.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.01 0.0 0.09 -0.09 -0.01 -0.01 -1.17 9.0 -1 -1 caleb_strategy_v3 DAX False False 0.01 0.00 -0.01 0.0 0.40 -0.40 0.00 0.00 -0.73 58.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.19 -0.19 0.00 0.00 0.09 6.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.00 0.0 0.06 -0.06 -0.03 -0.03 -0.10 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 -0.30 4.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.03 -0.03 -0.00 0.0 999.00 -999.00 -0.03 -0.03 -0.17 999999999.0 -1 -1 caleb_strategy_v3 NZD False False 0.02 0.00 0.00 0.0 0.44 -0.44 0.00 0.00 0.11 21.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 0.00 0.0 0.48 -0.48 0.00 0.00 0.04 10.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.00 0.0 0.51 -0.51 0.00 0.00 0.04 10.0 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 -0.34 3.0 -2 -2 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.01 0.0 0.35 -0.35 0.00 0.00 0.54 23.0 0 0 caleb_strategy_v3 US30 False True 0.05 0.18 0.01 0.0 0.18 0.00 0.18 0.18 0.18 6.0 4 4 caleb_strategy_v3 AUD False False 0.02 0.00 0.01 0.0 0.44 -0.44 0.00 0.05 0.33 19.0 0 2 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 LEANHOG False False 0.01 0.01 0.01 0.0 0.12 -0.12 0.01 0.01 1.55 13.0 1 1 caleb_strategy_v3 JPY False False 0.03 0.06 0.01 0.0 0.50 -0.50 0.06 0.06 0.28 17.0 2 2 caleb_strategy_v3 CHF False False 0.05 0.15 0.01 0.0 0.65 -0.65 0.15 0.15 0.11 13.0 3 3 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.36 999999999.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.01 0.0 0.64 -0.64 0.00 0.00 0.24 26.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.42 9.0 0 0 caleb_strategy_v3 US10U False True 0.04 0.08 0.02 0.0 0.08 0.00 0.08 0.04 0.61 13.0 2 1 caleb_strategy_v3 US10 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.59 17.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.02 0.0 0.07 -0.07 0.02 0.02 0.97 3.0 1 1 caleb_strategy_v3 US5 False False 0.04 0.11 0.03 0.0 0.94 -0.94 0.11 0.11 0.69 25.0 3 3 caleb_strategy_v3 US2 False True 0.07 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.36 13.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.10 0.03 0.0 0.42 -0.42 0.10 0.10 1.10 17.0 4 4 caleb_strategy_v3 GOLD_micro False False 0.01 0.01 0.03 0.0 0.49 -0.49 0.01 0.01 3.36 56.0 1 1 caleb_strategy_v3 GBP False False 0.03 0.00 0.04 0.0 0.61 -0.61 0.00 0.00 1.56 22.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 0.05 0.0 0.00 0.00 0.00 0.00 0.98 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 1.77 5.0 3 3 caleb_strategy_v3 EUR False False 0.05 0.10 0.09 0.0 0.67 -0.67 0.10 0.10 1.88 14.0 2 2 caleb_strategy_v3 JGB-SGX-mini False True 0.03 0.13 0.38 0.0 0.13 0.00 0.13 0.13 11.28 16.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.50 0.0 0.93 -0.93 0.00 0.00 5.38 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 0.96 0.0 0.00 0.00 0.00 0.00 11.52 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 7.0 Shocked risk 13.4 Sum abs risk 33.7 Leverage 3.44 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2895360.07, 'annual_cash_vol_target': 723840.0175, 'daily_cash_vol_target': 45240.00109375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6675 0.5739 9.1822 BITCOIN 2105.3109 60090.0000 3.5036 56.0575 BOBL 0.2525 117.7800 0.2144 3.4304 BTP 0.4891 119.2000 0.4103 6.5648 BUND 0.5087 134.3400 0.3787 6.0586 BUXL 1.2490 136.3400 0.9161 14.6578 CAC 68.7990 7478.5000 0.9200 14.7193 CAD 0.0023 0.7312 0.3205 5.1276 CANOLA 9.2561 575.3000 1.6089 25.7427 CHF 0.0063 1.1575 0.5453 8.7241 COCOA 236.1761 7099.0000 3.3269 53.2303 COFFEE 4.8660 244.2000 1.9926 31.8820 COPPER 0.0601 4.1535 1.4475 23.1601 CORN 5.4964 392.2500 1.4012 22.4199 COTTON2 0.9344 67.2400 1.3896 22.2339 CRUDE_W 1.1942 73.9500 1.6148 25.8375 DAX 167.0468 18400.0000 0.9079 14.5258 DOW 331.0222 40832.0000 0.8107 12.9711 DX 0.3808 102.3250 0.3721 5.9537 EUR 0.0045 1.1034 0.4034 6.4547 EURIBOR-ICE 0.0449 97.8000 0.0459 0.7349 EUROSTX 50.6105 4862.0000 1.0409 16.6550 FEEDCOW 2.1598 232.2750 0.9298 14.8773 GASOIL 11.6508 718.0000 1.6227 25.9628 GASOLINE 0.0375 2.0960 1.7905 28.6483 GAS_US_mini 0.0839 2.2400 3.7461 59.9370 GBP 0.0062 1.2948 0.4764 7.6217 GOLD_micro 21.6396 2517.9000 0.8594 13.7509 HEATOIL 0.0384 2.3592 1.6277 26.0430 JGB-SGX-mini 0.3889 144.8600 0.2684 4.2952 JPY 0.0001 0.0068 0.8207 13.1305 LEANHOG 1.2467 67.2250 1.8545 29.6725 LIVECOW 1.4080 178.0500 0.7908 12.6525 LUMBER-new 8.8751 540.0000 1.6435 26.2966 MILK 0.2868 22.0300 1.3017 20.8280 MXP 0.0005 0.0534 0.9618 15.3888 NASDAQ_micro 257.7887 19620.2500 1.3139 21.0223 NIKKEI 904.5704 37670.0000 2.4013 38.4208 NZD 0.0041 0.6055 0.6707 10.7309 OAT 0.4520 126.3700 0.3577 5.7233 OATIES 5.2815 306.0000 1.7260 27.6155 OJ 7.4034 447.0500 1.6560 26.4968 PALLAD 23.3062 938.0000 2.4847 39.7546 PLAT 16.7104 959.8000 1.7410 27.8564 REDWHEAT 9.0740 554.7500 1.6357 26.1710 RICE 0.1656 14.7300 1.1241 17.9850 ROBUSTA 75.9691 4450.0000 1.7072 27.3147 RUSSELL 31.1150 2154.4000 1.4443 23.1080 SHATZ 0.0875 106.2050 0.0824 1.3182 SILVER-mini 0.5243 29.3250 1.7880 28.6082 SMI 101.2369 12204.0000 0.8295 13.2726 SOFR 0.0662 96.8250 0.0684 1.0943 SOYBEAN 12.7828 955.2500 1.3382 21.4106 SOYMEAL 4.9957 301.9000 1.6548 26.4760 SOYOIL 0.7015 38.6300 1.8160 29.0556 SP400 33.7152 3025.4000 1.1144 17.8305 SP500_micro 52.3275 5582.0000 0.9374 14.9989 SUGAR11 0.2956 18.4100 1.6059 25.6946 US10 0.4293 113.1250 0.3795 6.0716 US10U 0.5818 117.4219 0.4955 7.9279 US2 0.1268 103.1406 0.1230 1.9674 US20 0.8891 123.7188 0.7186 11.4979 US30 1.3275 132.1250 1.0047 16.0752 US5 0.2856 108.7734 0.2626 4.2013 VIX 1.1841 17.4500 6.7856 108.5693 WHEAT 8.8826 551.2500 1.6114 25.7816 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 667.50 0.57 383.07 1.00 383.07 45240.0 118.10 1.09 12.90 BITCOIN 60.09 3.50 210.53 1.00 210.53 45240.0 214.89 -11.11 -238.83 BOBL 1177.80 0.21 252.52 1.10 278.07 45240.0 162.69 -4.83 -78.63 BTP 1192.00 0.41 489.08 1.10 538.57 45240.0 84.00 -1.52 -12.73 BUND 1343.40 0.38 508.70 1.10 560.18 45240.0 80.76 0.48 3.89 BUXL 1363.40 0.92 1249.03 1.10 1375.43 45240.0 32.89 -3.43 -11.28 CAC 747.85 0.92 687.99 1.10 757.61 45240.0 59.71 -6.21 -37.11 CAD 731.20 0.32 234.33 1.00 234.33 45240.0 193.06 -3.74 -72.26 CANOLA 115.06 1.61 185.12 0.73 135.01 45240.0 335.09 -12.76 -427.73 CHF 1446.88 0.55 788.91 1.00 788.91 45240.0 57.34 0.75 4.31 COCOA 709.90 3.33 2361.76 1.00 2361.76 45240.0 19.16 5.78 11.08 COFFEE 915.75 1.99 1824.75 1.00 1824.75 45240.0 24.79 3.00 7.43 COPPER 1038.38 1.45 1503.05 1.00 1503.05 45240.0 30.10 -3.44 -10.36 CORN 196.12 1.40 274.82 1.00 274.82 45240.0 164.62 -17.06 -280.87 COTTON2 336.20 1.39 467.19 1.00 467.19 45240.0 96.83 -18.22 -176.44 CRUDE_W 739.50 1.61 1194.18 1.00 1194.18 45240.0 37.88 4.32 16.38 DAX 184.00 0.91 167.05 1.10 183.95 45240.0 245.93 -0.88 -21.53 DOW 204.16 0.81 165.51 1.00 165.51 45240.0 273.34 -1.47 -40.25 DX 1023.25 0.37 380.76 1.00 380.76 45240.0 118.82 -10.53 -125.17 EUR 1379.25 0.40 556.42 1.00 556.42 45240.0 81.31 8.90 72.39 EURIBOR-ICE 2445.00 0.05 112.31 1.10 123.67 45240.0 365.81 4.31 157.84 EUROSTX 486.20 1.04 506.10 1.10 557.32 45240.0 81.17 -4.33 -35.14 FEEDCOW 1161.38 0.93 1079.88 1.00 1079.88 45240.0 41.89 -13.11 -54.92 GASOIL 718.00 1.62 1165.08 1.00 1165.08 45240.0 38.83 -6.78 -26.33 GASOLINE 880.32 1.79 1576.23 1.00 1576.23 45240.0 28.70 2.86 8.22 GAS_US_mini 56.00 3.75 209.78 1.00 209.78 45240.0 215.65 -5.69 -122.67 GBP 809.25 0.48 385.49 1.00 385.49 45240.0 117.36 5.13 60.22 GOLD_micro 251.79 0.86 216.40 1.00 216.40 45240.0 209.06 4.71 98.48 HEATOIL 990.86 1.63 1612.81 1.00 1612.81 45240.0 28.05 -12.41 -34.81 JGB-SGX-mini 144860.00 0.27 38887.58 0.01 264.31 45240.0 171.16 6.08 104.15 JPY 850.19 0.82 697.71 1.00 697.71 45240.0 64.84 1.66 10.79 LEANHOG 268.90 1.85 498.68 1.00 498.68 45240.0 90.72 2.81 25.46 LIVECOW 712.20 0.79 563.19 1.00 563.19 45240.0 80.33 4.13 33.14 LUMBER-new 148.50 1.64 244.07 1.00 244.07 45240.0 185.36 -0.87 -16.08 MILK 440.60 1.30 573.55 1.00 573.55 45240.0 78.88 5.58 44.03 MXP 267.20 0.96 256.99 1.00 256.99 45240.0 176.04 -2.30 -40.47 NASDAQ_micro 392.40 1.31 515.58 1.00 515.58 45240.0 87.75 -7.27 -63.80 NIKKEI 37670.00 2.40 90457.04 0.01 614.81 45240.0 73.58 -4.60 -33.85 NZD 605.50 0.67 406.10 1.00 406.10 45240.0 111.40 0.39 4.38 OAT 1263.70 0.36 452.04 1.10 497.78 45240.0 90.88 0.12 1.10 OATIES 153.00 1.73 264.07 1.00 264.07 45240.0 171.32 -8.80 -150.79 OJ 670.58 1.66 1110.51 1.00 1110.51 45240.0 40.74 11.11 45.27 PALLAD 938.00 2.48 2330.62 1.00 2330.62 45240.0 19.41 -1.45 -2.81 PLAT 479.90 1.74 835.52 1.00 835.52 45240.0 54.15 -3.18 -17.21 REDWHEAT 277.38 1.64 453.70 1.00 453.70 45240.0 99.71 -19.76 -196.99 RICE 294.60 1.12 331.15 1.00 331.15 45240.0 136.62 -0.89 -12.21 ROBUSTA 445.00 1.71 759.69 1.00 759.69 45240.0 59.55 7.83 46.65 RUSSELL 107.72 1.44 155.57 1.00 155.57 45240.0 290.79 -2.43 -70.57 SHATZ 1062.05 0.08 87.50 1.10 96.35 45240.0 469.53 -3.43 -161.20 SILVER-mini 733.12 1.79 1310.84 1.00 1310.84 45240.0 34.51 -1.48 -5.10 SMI 1220.40 0.83 1012.37 1.16 1169.84 45240.0 38.67 7.44 28.78 SOFR 2420.62 0.07 165.56 1.00 165.56 45240.0 273.26 6.94 189.51 SOYBEAN 477.62 1.34 639.14 1.00 639.14 45240.0 70.78 -17.96 -127.12 SOYMEAL 301.90 1.65 499.57 1.00 499.57 45240.0 90.56 -13.85 -125.45 SOYOIL 231.78 1.82 420.91 1.00 420.91 45240.0 107.48 -12.49 -134.26 SP400 3025.40 1.11 3371.52 1.00 3371.52 45240.0 13.42 -3.59 -4.82 SP500_micro 279.10 0.94 261.64 1.00 261.64 45240.0 172.91 -5.29 -91.42 SUGAR11 206.19 1.61 331.13 1.00 331.13 45240.0 136.62 -7.99 -109.23 US10 1131.25 0.38 429.28 1.00 429.28 45240.0 105.39 4.43 46.66 US10U 1174.22 0.50 581.82 1.00 581.82 45240.0 77.76 6.15 47.80 US2 2062.81 0.12 253.65 1.00 253.65 45240.0 178.36 1.58 28.23 US20 1237.19 0.72 889.06 1.00 889.06 45240.0 50.88 6.57 33.41 US30 1321.25 1.00 1327.46 1.00 1327.46 45240.0 34.08 4.11 14.00 US5 1087.73 0.26 285.62 1.00 285.62 45240.0 158.39 3.44 54.46 VIX 174.50 6.79 1184.08 1.00 1184.08 45240.0 38.21 -4.72 -18.02 WHEAT 275.62 1.61 444.13 1.00 444.13 45240.0 101.86 -15.48 -157.71 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 12.899 0.010 2.5 0.335 BITCOIN -238.834 0.043 2.5 -25.863 BOBL -78.626 0.004 2.5 -0.797 BTP -12.731 0.014 2.5 -0.434 BUND 3.891 0.004 2.5 0.039 BUXL -11.279 0.004 2.5 -0.114 CAC -37.109 0.014 2.5 -1.266 CAD -72.261 0.010 2.5 -1.875 CANOLA -427.727 0.010 2.5 -10.406 CHF 4.314 0.010 2.5 0.112 COCOA 11.077 0.009 2.5 0.237 COFFEE 7.434 0.005 2.5 0.087 COPPER -10.357 0.043 2.5 -1.122 CORN -280.872 0.010 2.5 -6.833 COTTON2 -176.445 0.009 2.5 -3.779 CRUDE_W 16.379 0.043 2.5 1.774 DAX -21.531 0.014 2.5 -0.734 DOW -40.245 0.009 2.5 -0.935 DX -125.170 0.010 2.5 -3.248 EUR 72.387 0.010 2.5 1.878 EURIBOR-ICE 157.836 0.014 2.5 5.383 EUROSTX -35.137 0.014 2.5 -1.198 FEEDCOW -54.922 0.013 2.5 -1.820 GASOIL -26.334 0.017 2.5 -1.142 GASOLINE 8.218 0.017 2.5 0.356 GAS_US_mini -122.670 0.043 2.5 -13.284 GBP 60.217 0.010 2.5 1.562 GOLD_micro 98.483 0.014 2.5 3.359 HEATOIL -34.805 0.017 2.5 -1.509 JGB-SGX-mini 104.152 0.043 2.5 11.278 JPY 10.790 0.010 2.5 0.280 LEANHOG 25.463 0.024 2.5 1.547 LIVECOW 33.138 0.013 2.5 1.098 LUMBER-new -16.075 0.009 2.5 -0.344 MILK 44.035 0.009 2.5 0.943 MXP -40.473 0.059 2.5 -5.940 NASDAQ_micro -63.796 0.009 2.5 -1.483 NIKKEI -33.852 0.043 2.5 -3.666 NZD 4.384 0.010 2.5 0.114 OAT 1.101 0.014 2.5 0.038 OATIES -150.792 0.010 2.5 -3.669 OJ 45.267 0.009 2.5 0.969 PALLAD -2.807 0.014 2.5 -0.096 PLAT -17.214 0.014 2.5 -0.587 REDWHEAT -196.990 0.005 2.5 -2.613 RICE -12.208 0.010 2.5 -0.297 ROBUSTA 46.646 0.005 2.5 0.545 RUSSELL -70.567 0.013 2.5 -2.338 SHATZ -161.203 0.004 2.5 -1.635 SILVER-mini -5.105 0.014 2.5 -0.174 SMI 28.782 0.014 2.5 0.982 SOFR 189.507 0.024 2.5 11.517 SOYBEAN -127.118 0.004 2.5 -1.182 SOYMEAL -125.446 0.004 2.5 -1.167 SOYOIL -134.261 0.004 2.5 -1.250 SP400 -4.822 0.013 2.5 -0.160 SP500_micro -91.415 0.009 2.5 -2.124 SUGAR11 -109.231 0.009 2.5 -2.323 US10 46.657 0.005 2.5 0.591 US10U 47.799 0.005 2.5 0.606 US2 28.235 0.005 2.5 0.358 US20 33.407 0.005 2.5 0.423 US30 13.997 0.005 2.5 0.177 US5 54.461 0.005 2.5 0.690 VIX -18.019 0.099 2.5 -4.448 WHEAT -157.711 0.005 2.5 -2.092 ===================== Position diags ===================== AUD 3.06 BITCOIN 23.27 BOBL 1.65 BTP 2.87 BUND 0.82 BUXL 0.33 CAC 2.04 CAD 5.01 CANOLA 8.15 CHF 1.49 COCOA 0.41 COFFEE 0.29 COPPER 3.26 CORN 4.00 COTTON2 2.07 CRUDE_W 4.10 DAX 8.39 DOW 6.35 DX 3.08 EUR 2.11 EURIBOR-ICE 12.48 EUROSTX 2.77 FEEDCOW 1.39 GASOIL 1.68 GASOLINE 1.24 GAS_US_mini 23.35 GBP 3.04 GOLD_micro 7.13 HEATOIL 1.22 JGB-SGX-mini 18.53 JPY 1.68 LEANHOG 5.51 LIVECOW 2.66 LUMBER-new 3.97 MILK 1.69 MXP 25.84 NASDAQ_micro 2.04 NIKKEI 7.97 NZD 2.89 OAT 3.10 OATIES 4.17 OJ 0.87 PALLAD 0.66 PLAT 1.85 REDWHEAT 1.32 RICE 3.32 ROBUSTA 0.70 RUSSELL 9.64 SHATZ 4.76 SILVER-mini 1.18 SMI 1.32 SOFR 16.61 SOYBEAN 0.66 SOYMEAL 0.84 SOYOIL 1.00 SP400 0.44 SP500_micro 4.02 SUGAR11 2.91 US10 1.34 US10U 0.99 US2 2.26 US20 0.64 US30 0.43 US5 2.01 VIX 9.43 WHEAT 1.35 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.3 0.0 0.6 0.0 0 BITCOIN -25.9 -28.2 -23.5 0.0 0 BOBL -0.8 -1.0 -0.6 0.0 0 BTP -0.4 -0.7 -0.1 0.0 0 BUND 0.0 -0.0 0.1 0.0 0 BUXL -0.1 -0.1 -0.1 0.0 0 CAC -1.3 -1.5 -1.1 0.0 0 CAD -1.9 -2.4 -1.4 0.0 0 CANOLA -10.4 -11.2 -9.6 -1.0 -1 CHF 0.1 -0.0 0.3 3.0 3 COCOA 0.2 0.2 0.3 0.0 0 COFFEE 0.1 0.1 0.1 0.0 0 COPPER -1.1 -1.4 -0.8 -1.0 -1 CORN -6.8 -7.2 -6.4 -3.0 -3 COTTON2 -3.8 -4.0 -3.6 -5.0 -5 CRUDE_W 1.8 1.4 2.2 3.0 3 DAX -0.7 -1.6 0.1 0.0 0 DOW -0.9 -1.6 -0.3 0.0 0 DX -3.2 -3.6 -2.9 0.0 0 EUR 1.9 1.7 2.1 2.0 2 EURIBOR-ICE 5.4 4.1 6.6 0.0 0 EUROSTX -1.2 -1.5 -0.9 -2.0 -2 FEEDCOW -1.8 -2.0 -1.7 -2.0 -2 GASOIL -1.1 -1.3 -1.0 0.0 0 GASOLINE 0.4 0.2 0.5 0.0 0 GAS_US_mini -13.3 -15.6 -10.9 -14.0 -14 GBP 1.6 1.3 1.9 0.0 0 GOLD_micro 3.4 2.6 4.1 1.0 1 HEATOIL -1.5 -1.6 -1.4 -2.0 -2 JGB-SGX-mini 11.3 9.4 13.1 4.0 4 JPY 0.3 0.1 0.4 2.0 2 LEANHOG 1.5 1.0 2.1 1.0 1 LIVECOW 1.1 0.8 1.4 4.0 4 LUMBER-new -0.3 -0.7 0.1 -2.0 -2 MILK 0.9 0.8 1.1 NaN 0 MXP -5.9 -8.5 -3.4 -7.0 -7 NASDAQ_micro -1.5 -1.7 -1.3 -1.0 -1 NIKKEI -3.7 -4.5 -2.9 -2.0 -2 NZD 0.1 -0.2 0.4 0.0 0 OAT 0.0 -0.3 0.3 0.0 0 OATIES -3.7 -4.1 -3.3 NaN 0 OJ 1.0 0.9 1.1 1.0 1 PALLAD -0.1 -0.2 -0.0 -1.0 -1 PLAT -0.6 -0.8 -0.4 -1.0 -1 REDWHEAT -2.6 -2.7 -2.5 -2.0 -2 RICE -0.3 -0.6 0.0 NaN 0 ROBUSTA 0.5 0.5 0.6 0.0 0 RUSSELL -2.3 -3.3 -1.4 -1.0 -1 SHATZ -1.6 -2.1 -1.2 NaN 0 SILVER-mini -0.2 -0.3 -0.1 -1.0 -1 SMI 1.0 0.8 1.1 0.0 0 SOFR 11.5 9.9 13.2 NaN 0 SOYBEAN -1.2 -1.2 -1.1 -5.0 -5 SOYMEAL -1.2 -1.3 -1.1 -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 -2.1 -2.5 -1.7 0.0 0 SUGAR11 -2.3 -2.6 -2.0 0.0 0 US10 0.6 0.5 0.7 0.0 0 US10U 0.6 0.5 0.7 2.0 2 US2 0.4 0.1 0.6 NaN 0 US20 0.4 0.4 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 -4.4 -5.4 -3.5 -2.0 -2 WHEAT -2.1 -2.2 -2.0 -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 -0.3 -0.2 0.1 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.2 -0.1 0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 0.1 -0.0 -0.0 0.4 -0.0 0.1 -0.0 0.1 -0.0 -0.0 -0.0 0.5 -0.4 -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 -0.1 -0.5 -0.4 0.1 0.2 -0.4 -0.2 -0.2 -0.0 BOBL 0.6 0.6 0.3 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 0.1 -0.2 0.1 0.1 -0.4 -0.3 -0.4 -0.4 0.1 0.0 0.0 -0.1 0.1 0.6 0.0 -0.0 0.0 0.0 -0.0 0.0 -1.1 -0.1 -0.0 -0.0 -0.2 -0.7 -0.7 -0.3 -0.3 BTP 0.3 0.5 0.0 0.1 -0.0 0.1 0.0 0.0 0.1 0.0 0.2 0.1 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 0.0 0.2 0.1 0.6 0.1 -0.6 -0.2 -0.5 -0.7 -0.5 -0.1 0.1 BUND 0.5 0.5 0.2 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.0 0.1 -0.1 0.1 0.1 0.1 0.0 0.1 0.0 0.1 0.0 0.0 -0.0 0.1 0.1 0.0 -0.0 0.1 0.0 0.0 0.0 0.4 -0.1 -0.1 -0.1 -0.3 -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 0.0 0.1 -0.1 -0.2 -0.3 -0.4 -0.7 -0.7 -0.4 -0.3 CAC -0.2 -0.5 -0.6 -0.0 0.1 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 -0.1 -1.0 -0.1 0.0 -0.1 0.0 0.0 -0.0 0.4 0.0 0.1 -0.6 -0.6 0.3 0.2 0.1 0.2 CAD 0.1 -0.1 -0.1 -0.0 0.1 -0.1 0.1 -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 -0.0 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 -0.2 0.1 -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 -0.1 -0.1 -0.2 -0.1 -2.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.4 0.3 -0.1 CHF 0.5 0.6 0.5 -0.0 0.1 -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 -0.3 0.6 0.6 0.5 0.1 -0.4 -0.2 -0.4 COCOA -0.0 -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 0.3 0.2 0.0 -0.0 0.6 0.2 0.7 0.4 COFFEE -0.3 -0.2 0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.3 0.1 0.5 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.1 -2.7 0.0 0.1 0.2 0.1 0.3 0.0 0.4 0.5 0.4 0.6 0.5 -0.1 -0.4 0.1 -0.1 COPPER -0.3 -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 -1.5 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.3 -0.0 -0.2 -0.2 0.2 0.4 0.1 0.6 0.5 CORN -0.0 -0.5 -0.5 -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 -0.0 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 -0.2 -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 -0.2 0.1 -0.5 -0.3 -0.3 0.1 -0.1 CRUDE_W -0.2 -0.4 -0.4 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 0.1 0.0 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 -0.4 -0.5 -0.6 -0.0 0.1 0.1 0.0 0.1 -0.0 0.1 0.1 0.0 0.4 -0.0 -0.1 -0.1 -0.2 -0.2 -0.2 -0.1 -0.0 0.1 0.2 -0.1 1.2 -0.0 0.1 0.0 0.0 0.1 -0.0 -0.4 0.1 0.2 -0.3 -0.5 0.3 0.1 -0.1 0.1 DOW -0.4 -0.0 -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 0.1 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 -0.3 -0.0 0.1 -0.1 0.1 -0.0 0.0 -0.1 0.1 -0.2 0.4 -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 -0.0 -0.0 -0.1 0.0 -0.1 0.9 -0.5 -0.6 -0.6 -0.5 -0.2 0.2 -0.3 0.3 EUR 0.2 0.4 0.2 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.2 -0.1 0.2 -0.3 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.0 0.2 2.7 0.1 0.1 0.1 0.1 0.0 0.1 -0.4 0.4 0.6 0.6 0.4 0.1 -0.6 -0.1 -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 -0.0 -0.0 0.1 -0.1 -0.7 -0.7 -0.2 0.0 EUROSTX -0.4 -0.6 -0.6 -0.0 0.1 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 0.1 -0.0 0.0 0.1 -0.0 0.3 0.2 0.1 -0.5 -0.6 0.1 0.0 -0.5 -0.0 FEEDCOW -0.6 -0.6 -0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -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 0.0 -0.1 -0.0 0.3 -0.1 -0.1 0.1 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 -0.1 -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 -0.1 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 0.1 -0.6 0.3 -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 0.2 0.3 -0.3 0.4 -0.1 -0.4 -0.3 -0.6 GBP -0.4 0.1 0.2 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.2 0.3 0.1 0.3 0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 0.2 0.0 -0.1 0.0 0.1 0.1 0.1 0.2 0.0 0.2 0.2 -0.2 0.5 0.6 0.3 -0.7 0.3 -0.5 GOLD_micro 0.1 0.1 -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 -0.7 0.0 0.1 0.1 0.1 0.2 0.0 -0.7 0.2 0.4 0.6 0.5 0.3 -0.1 0.6 0.1 HEATOIL -0.3 -0.3 -0.4 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.3 -0.1 0.1 -0.1 -0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -2.7 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.3 -0.2 -0.2 -0.1 -0.3 -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 0.1 0.0 0.1 -0.0 0.1 -0.9 0.0 0.0 0.0 0.0 -0.0 0.0 1.1 0.3 0.2 -0.1 -0.2 -0.2 -0.2 -0.1 0.4 JPY 0.6 0.6 0.5 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -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 -0.0 0.0 -1.1 -0.2 0.6 0.6 0.1 -0.7 -0.5 -0.7 -0.5 LEANHOG 0.3 0.2 -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 0.4 0.2 -0.5 -0.0 -0.2 0.1 0.1 LIVECOW -0.6 -0.2 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 -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 -0.1 0.1 -0.1 0.2 -0.1 1.0 -0.3 -0.1 0.5 0.6 -0.0 0.7 0.1 0.7 LUMBER-new 0.7 0.5 -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 0.0 -0.2 0.0 -1.2 0.6 0.7 0.7 -0.1 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 0.1 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 0.6 0.6 -0.1 -0.7 0.0 -0.7 MXP -0.3 -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 0.1 -0.4 -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 0.1 0.2 -0.0 -2.1 -0.0 0.0 0.0 0.0 0.1 -0.0 -0.4 0.2 -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 0.0 0.0 0.2 -0.0 -0.0 0.2 0.2 0.2 0.2 -0.0 -0.0 0.0 0.1 -0.0 -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 -0.1 NZD 0.1 -0.3 0.1 -0.0 0.1 -0.1 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.2 0.2 0.1 -0.4 0.1 0.3 -0.2 0.3 0.0 OAT 0.5 0.5 -0.1 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 -0.1 0.1 -0.1 0.1 0.1 0.0 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 0.1 -0.3 -0.2 -0.5 -0.6 -0.7 -0.1 -0.0 OATIES -0.1 -0.3 -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 -0.2 -0.1 -0.3 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.0 0.1 -0.1 -0.0 0.2 -0.0 0.6 0.3 OJ -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.3 0.1 0.5 0.0 0.1 0.2 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 0.6 0.6 0.6 0.5 0.4 0.7 0.7 PALLAD 0.0 -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 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.2 -0.0 1.9 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.3 0.1 0.1 0.4 0.1 -0.7 -0.7 -0.7 -0.7 PLAT -0.2 -0.4 -0.1 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -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 0.7 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.2 -0.2 0.1 0.3 -0.3 -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 -0.2 0.0 -0.5 0.0 -0.7 -0.7 -0.5 -0.6 RICE 0.2 -0.6 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.2 -0.1 0.4 -0.0 0.0 -0.2 0.4 0.4 0.4 -0.0 0.0 -0.1 0.2 -0.1 -1.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 1.1 -0.2 0.6 0.2 0.6 -0.7 -0.4 -0.7 -0.4 ROBUSTA -0.4 -0.2 0.1 -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 0.4 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 0.3 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 0.1 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 0.1 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 -0.1 -0.1 0.0 -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 -0.5 -0.5 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 0.1 0.0 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 0.0 0.1 -0.1 0.3 -0.0 0.0 -0.0 0.0 0.1 -0.0 -0.1 -0.1 -0.3 -0.0 0.2 0.1 -0.2 0.2 0.2 SMI -0.6 -0.5 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 0.1 0.2 -0.0 1.2 0.0 0.1 0.2 0.1 0.2 0.0 0.5 0.1 0.6 0.3 0.4 0.1 0.1 -0.3 -0.1 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 0.1 0.1 -0.5 0.0 -0.0 0.1 0.0 0.0 0.0 0.2 -0.1 0.1 0.0 0.2 0.3 -0.5 0.7 0.2 SOYBEAN -0.5 -0.6 -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 -0.4 -0.3 -0.5 -0.3 -0.2 -0.7 -0.0 -0.7 SOYMEAL 0.1 -0.3 -0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 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 -0.2 0.2 -0.2 0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.6 -0.3 -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 -0.3 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 0.1 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 0.1 -0.1 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 0.5 0.6 0.6 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 0.1 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 0.0 -0.1 0.1 1.5 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 0.5 0.4 0.5 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 0.0 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 -0.1 0.1 0.0 -0.1 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.0 -0.0 0.1 0.7 0.0 -0.0 0.1 0.0 0.0 0.0 -0.7 -0.1 0.1 0.1 0.2 0.2 -0.7 0.5 -0.1 VIX 0.7 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 -0.5 -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 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.1 0.2 -0.3 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 -8.0 -6.6 3.0 -2.6 11.6 -2.6 5.8 -0.5 0.0 17.7 -3.3 6.0 -4.1 -8.2 -3.6 -2.0 -2.6 -2.2 -2.4 -4.8 -1.4 12.1 -1.6 -1.5 3.3 -2.7 11.1 -0.9 5.9 -0.3 -0.8 -0.0 20.0 -13.0 -4.3 4.7 11.3 -4.7 13.0 -0.7 BITCOIN -9.0 -12.5 -15.6 -3.7 3.2 -2.8 1.0 -1.2 -2.0 3.1 2.1 -5.6 7.0 -5.3 -6.1 -5.3 -7.0 -6.3 -6.8 -5.7 -0.2 -6.7 6.6 -7.7 -20.0 -2.7 -1.3 0.7 -3.4 5.0 -3.9 -2.8 -20.0 -11.3 2.2 6.8 -12.9 -6.5 -4.6 -0.6 BOBL 18.8 19.6 8.0 3.0 -0.0 1.6 2.0 0.2 3.4 -6.5 -2.9 6.3 -4.8 8.5 8.0 -20.0 -16.3 -20.0 -20.0 9.9 3.3 4.2 -2.8 11.0 4.3 3.2 -1.5 1.4 1.3 -0.1 3.4 -20.0 -5.8 -0.8 -1.5 -6.7 -20.0 -20.0 -9.5 -10.4 BTP 9.3 14.4 0.7 5.4 -0.0 2.9 3.6 0.4 6.0 3.2 9.2 12.7 13.5 18.1 16.6 1.3 3.9 1.5 2.3 13.7 9.8 9.6 9.1 14.9 -20.0 5.9 0.9 4.4 4.4 4.2 6.4 11.0 5.4 -20.0 -6.9 -15.7 -20.0 -16.1 -3.4 4.4 BUND 16.7 16.0 6.6 3.3 -0.0 1.8 2.2 0.2 3.7 -6.0 -1.8 7.1 -1.6 9.6 9.0 6.8 1.4 4.2 1.8 9.9 4.2 5.3 -1.2 11.1 1.0 3.5 -0.9 1.9 1.8 0.5 3.8 7.7 -4.6 -3.8 -4.5 -7.8 -20.0 -20.0 -8.2 -9.9 BUXL 17.0 12.1 4.3 3.9 -0.0 2.1 2.6 0.3 4.3 -3.0 -3.2 7.7 -1.2 10.2 8.0 -0.8 -2.4 -1.7 -2.5 8.6 2.8 6.2 -2.7 11.0 -3.3 3.8 -0.3 2.0 2.4 0.5 4.4 1.3 -2.9 -6.9 -10.0 -12.7 -20.0 -20.0 -11.8 -9.6 CAC -6.6 -15.9 -20.0 -0.2 6.4 2.7 1.2 4.4 -1.9 13.5 -8.1 -1.6 3.2 -7.6 -13.0 -5.3 -1.8 -5.2 -2.9 -16.8 -11.0 2.2 -0.2 -11.8 -7.6 -4.9 4.6 -2.8 0.6 0.7 -3.4 6.9 1.1 2.3 -20.0 -20.0 8.4 5.1 2.1 5.5 CAD 2.0 -2.2 -3.0 -3.0 13.5 -3.0 6.7 -0.6 0.0 20.0 -19.6 18.0 -19.2 -1.3 -7.7 -5.0 -3.4 -4.6 -4.0 -6.9 -10.5 12.4 -12.1 1.8 -1.3 -4.2 9.6 -5.6 7.6 -5.8 0.9 -1.9 20.0 3.3 -1.5 -8.5 9.7 -6.3 0.4 -4.0 CANOLA -20.0 -5.4 3.3 -2.3 -1.1 -1.7 -2.0 -1.0 -2.4 -5.9 -4.9 -7.0 -6.3 -6.6 -5.6 -10.5 -10.3 -12.2 -12.7 -7.7 -5.4 -11.2 -5.8 -10.8 -14.9 -2.3 -2.4 -2.2 -2.5 -2.6 -2.5 -20.0 -1.7 -1.7 -1.7 -2.7 -0.0 -11.1 8.4 -4.2 CHF 15.0 20.0 15.0 -1.5 6.7 -1.5 3.3 -0.3 0.0 -6.9 -4.4 1.8 -6.2 5.6 7.0 -14.4 -16.5 -16.1 -16.4 9.4 2.8 2.5 -2.1 9.8 3.5 3.5 -0.8 1.4 1.4 -0.2 3.7 -20.0 -14.2 20.0 18.9 14.8 3.8 -11.0 -6.4 -12.0 COCOA -1.1 -8.7 4.7 -2.1 -1.0 -1.5 -1.8 -0.9 -2.1 0.7 1.9 0.6 3.2 -1.7 -2.9 20.0 19.4 20.0 20.0 -0.5 3.1 1.1 7.6 -0.2 -19.5 0.7 1.0 5.2 0.8 11.2 0.2 20.0 10.9 6.8 0.9 -0.1 17.3 6.7 20.0 10.8 COFFEE -9.6 -4.8 5.8 -4.9 -2.4 -3.5 -4.1 -2.2 -5.0 11.5 12.2 7.4 12.6 2.6 10.0 3.5 6.3 4.0 5.5 7.7 12.4 8.1 13.2 5.1 -20.0 3.3 8.9 7.1 4.9 9.6 2.4 6.9 20.0 12.3 19.8 15.6 -3.1 -10.5 3.9 -3.9 COPPER -9.2 -20.0 -13.3 -2.5 2.2 -2.0 0.7 -0.8 -1.4 7.9 -2.3 0.7 0.5 -6.7 -7.9 -2.2 -2.6 -1.4 -1.7 -9.0 -2.7 0.8 2.7 -7.5 -10.9 -2.5 2.0 -0.8 0.2 0.8 -1.9 5.5 -0.3 -7.4 -7.0 5.0 10.6 3.6 19.0 13.9 CORN -1.0 -16.2 -14.2 -3.7 -1.8 -2.6 -3.1 -1.6 -3.7 -9.3 -11.5 -10.2 -12.0 -11.6 -11.9 -20.0 -14.3 -19.1 -17.8 -16.4 -16.8 -7.9 -15.6 -11.7 -8.3 -4.0 -2.1 -4.0 -2.1 -3.6 -2.9 -20.0 -0.0 2.7 -19.1 -9.1 -6.6 -9.1 -4.7 -1.1 COTTON2 -1.6 -9.2 -20.0 -5.1 -2.5 -3.6 -4.3 -2.3 -5.2 -12.3 -17.3 -14.2 -14.9 -15.6 -16.9 -11.3 -2.1 -8.7 -5.0 -20.0 -20.0 -9.2 -19.9 -13.6 -20.0 -6.0 -2.8 -5.9 -3.5 -3.1 -4.5 -9.3 3.3 -6.8 2.7 -16.7 -9.5 -9.4 2.5 -2.6 CRUDE_W -7.5 -11.1 -11.3 -4.4 -1.8 -2.5 -1.1 0.3 -3.6 5.8 1.7 4.0 11.5 -6.5 -5.3 12.4 12.7 13.4 13.2 -6.4 -1.6 0.3 4.1 -5.5 -2.5 -5.0 -0.4 -3.6 0.0 0.1 -3.2 9.8 6.3 -5.2 -0.8 -8.5 13.6 20.0 15.1 20.0 DAX -12.3 -14.0 -19.2 -0.2 5.7 2.4 1.1 3.9 -1.7 12.0 3.2 1.7 9.8 -3.8 -6.3 -7.2 -10.6 -8.7 -9.9 -6.9 -0.5 5.8 6.6 -5.9 8.7 -2.7 7.3 0.6 1.6 4.0 -2.7 -7.3 5.4 5.0 -10.0 -14.8 10.4 4.1 -3.1 3.8 DOW -11.7 -1.4 -11.2 -0.2 4.7 2.0 0.9 3.2 -1.4 10.0 3.7 3.8 9.0 -0.5 1.4 -8.5 -11.0 -10.1 -10.8 2.0 4.0 8.3 6.4 2.0 -8.4 1.5 6.7 2.7 3.0 4.1 1.0 -8.3 2.2 8.2 9.5 0.3 11.7 -0.2 1.6 -3.9 DX -12.5 -18.4 -8.0 -2.3 10.3 -2.3 5.2 -0.5 0.0 -12.7 4.9 -16.9 11.7 -17.9 -15.1 6.5 7.0 7.1 7.1 -13.4 -3.7 -18.1 3.6 -19.2 -20.0 -5.6 -5.4 -1.8 -7.2 1.2 -7.8 16.5 -20.0 -18.1 -20.0 -14.0 -7.1 5.3 -8.4 8.1 EUR 6.0 11.3 4.9 -2.7 11.9 -2.7 6.0 -0.6 0.0 16.7 -2.1 19.3 -9.0 19.1 16.2 -7.1 -7.2 -7.4 -7.3 9.8 3.2 18.4 -1.7 15.4 20.0 5.9 9.8 2.8 10.4 0.7 8.8 -8.1 17.0 20.0 20.0 13.4 2.8 -17.3 -1.6 -18.1 EURIBOR-ICE 18.6 20.0 5.9 2.6 -0.0 1.4 1.8 0.2 2.9 -4.6 -0.3 6.3 1.7 8.5 8.0 -0.2 -4.1 -2.4 -3.3 11.4 5.8 5.9 1.8 12.2 12.5 2.9 -0.7 1.5 1.5 0.6 3.2 -0.7 -1.4 -0.7 3.2 -4.0 -20.0 -20.0 -5.4 1.4 EUROSTX -10.9 -18.5 -20.0 -0.2 5.6 2.4 1.1 3.8 -1.6 11.8 3.3 1.3 9.3 -5.9 -8.1 -3.7 -2.8 -4.6 -4.1 -9.4 -2.4 4.9 6.1 -7.5 -1.7 -3.3 6.2 -0.1 1.4 3.5 -2.9 4.8 7.4 3.9 -15.4 -17.4 2.1 0.9 -13.9 -1.3 FEEDCOW -20.0 -20.0 -7.8 -5.3 -2.6 -3.8 -4.5 -2.3 -5.4 -11.2 -6.9 -13.6 -6.4 -15.0 -11.6 9.5 -20.0 -0.5 -11.2 -20.0 -13.7 -20.0 -6.1 -20.0 -6.5 -5.1 -3.7 -3.0 -5.4 -1.0 -6.5 -20.0 -20.0 -20.0 -20.0 -9.2 2.1 20.0 9.1 20.0 GASOIL -8.6 -9.4 -13.5 -4.1 -1.7 -2.4 -1.0 0.3 -3.3 2.3 -5.2 -3.3 9.1 -11.8 -10.9 2.5 10.0 1.1 4.1 -10.4 -5.8 -5.4 2.0 -10.3 4.3 -5.2 -2.7 -3.1 -2.8 0.2 -5.1 0.1 -5.1 -7.5 -2.7 -2.5 -11.1 -14.5 -20.0 -20.0 GASOLINE -5.8 -7.0 -11.2 -4.2 -1.7 -2.4 -1.1 0.3 -3.4 -4.8 2.8 -3.7 10.1 -8.1 -7.9 20.0 20.0 20.0 20.0 -5.6 -1.4 -5.6 5.0 -6.3 -20.0 -4.5 -5.1 -2.8 -3.1 1.6 -3.9 20.0 -6.2 -0.6 5.4 -5.1 20.0 20.0 20.0 20.0 GAS_US_mini 3.1 -17.7 10.5 -3.1 -1.3 -1.8 -0.8 0.2 -2.5 6.0 -12.4 5.5 -13.6 -9.3 -11.5 -20.0 -20.0 -20.0 -20.0 -10.9 -12.2 2.0 -18.4 -4.9 20.0 -2.8 -0.6 -3.5 1.3 -5.0 -1.0 -20.0 10.0 9.6 -8.8 13.6 -3.8 -12.0 -8.5 -18.0 GBP -11.0 3.6 5.9 -2.8 12.4 -2.8 6.2 -0.6 0.0 20.0 12.9 7.3 8.2 2.0 10.8 -0.5 -0.7 -0.6 -0.7 5.6 7.5 12.0 7.0 4.0 -0.7 3.4 14.9 5.3 6.6 5.1 1.9 3.1 6.6 -4.9 15.9 20.0 8.2 -20.0 7.8 -14.0 GOLD_micro 2.2 2.1 -3.4 -3.4 3.0 -2.6 0.9 -1.1 -1.8 10.0 10.4 8.7 10.7 8.0 6.6 -11.4 -13.3 -11.7 -12.3 8.0 10.2 11.7 11.9 8.7 -5.1 2.4 8.8 4.1 6.2 6.5 3.8 -12.8 8.5 13.4 20.0 15.1 9.6 -3.9 17.2 2.3 HEATOIL -8.7 -8.3 -11.1 -4.3 -1.8 -2.4 -1.1 0.3 -3.5 -0.8 -9.7 -5.8 3.5 -11.9 -10.9 -5.1 7.3 -4.8 -0.5 -11.1 -7.7 -7.3 -1.5 -11.0 -20.0 -6.0 -3.7 -5.0 -3.1 -1.4 -4.9 -6.2 -7.2 -6.5 -3.2 -10.8 -3.0 5.7 -13.3 2.2 JGB-SGX-mini 20.0 19.2 0.2 1.9 -0.0 1.0 1.3 0.1 2.1 -4.0 -1.2 4.1 -0.4 4.2 2.4 14.3 18.3 17.7 17.9 4.7 1.0 5.7 -0.3 7.6 -7.0 1.5 0.2 0.1 2.1 -0.5 2.6 20.0 10.8 5.3 -2.5 -7.5 -5.3 -5.0 -3.3 11.8 JPY 20.0 20.0 14.9 -1.0 4.3 -1.0 2.1 -0.2 0.0 -3.9 -3.2 3.2 -6.5 5.1 3.6 -12.0 -15.7 -13.8 -14.7 7.3 0.1 3.9 -6.0 9.7 20.0 1.9 -0.3 0.0 1.1 -1.4 2.5 -20.0 -6.5 20.0 17.9 2.3 -20.0 -16.0 -20.0 -15.7 LEANHOG 10.1 4.9 -20.0 -3.5 -1.7 -2.5 -2.9 -1.5 -3.5 2.2 -6.9 -2.1 -6.0 3.1 -6.6 20.0 9.2 20.0 20.0 -7.1 -10.1 -0.7 -8.8 -2.4 3.3 -2.5 0.8 -3.3 -0.3 -2.7 -0.9 20.0 0.8 13.0 5.3 -15.3 -0.7 -6.5 3.6 3.2 LIVECOW -20.0 -7.1 10.2 -6.3 -3.0 -4.5 -5.3 -2.8 -6.4 -10.8 12.6 -13.6 8.1 -10.2 7.0 16.5 10.5 14.2 14.1 0.0 7.8 -15.6 8.4 -11.8 -11.9 -0.4 -7.3 3.3 -6.4 4.8 -5.1 17.9 -12.8 -2.5 16.4 20.0 -1.1 20.0 3.9 20.0 LUMBER-new 20.0 12.3 -8.3 -3.6 -1.7 -2.6 -3.0 -1.5 -3.7 10.5 -7.7 11.3 -8.9 9.7 -1.2 -17.1 -17.4 -17.1 -17.3 -0.1 -7.4 9.0 -8.6 7.4 NaN 0.4 3.0 -3.2 3.9 -3.9 3.5 -20.0 20.0 20.0 19.6 -3.0 3.6 -3.7 8.6 -1.1 MILK 0.2 1.3 20.0 -4.8 -2.3 -3.5 -4.1 -2.1 -4.9 11.1 12.1 12.7 2.1 10.1 12.5 -20.0 -20.0 -20.0 -20.0 11.9 11.7 18.2 3.5 12.7 17.2 4.6 9.7 4.6 8.1 0.9 5.1 -20.0 20.0 20.0 18.6 20.0 -3.4 -20.0 1.1 -20.0 MXP -10.3 -7.3 -20.0 -1.2 5.4 -1.2 2.7 -0.3 0.0 9.2 -5.7 -0.4 -0.2 -3.6 -6.7 10.0 14.6 11.1 12.6 -9.5 -7.5 2.2 -1.2 -6.0 -20.0 -3.1 2.5 -2.4 0.5 -0.3 -1.9 20.0 4.8 -13.7 -5.6 -19.2 17.5 12.6 20.0 19.2 NASDAQ_micro -20.0 -20.0 -13.4 -0.1 3.6 1.5 0.7 2.4 -1.0 7.9 3.1 2.6 6.9 -2.7 -0.4 -7.1 -10.4 -9.3 -10.1 -2.1 2.6 6.2 6.3 -2.2 -15.4 -0.4 3.5 1.4 1.4 3.1 -0.8 -7.1 7.9 -1.7 -9.1 3.7 2.6 5.6 -6.1 3.6 NIKKEI -20.0 -20.0 -20.0 -0.1 3.0 1.3 0.6 2.0 -0.9 6.5 1.9 1.6 4.5 -1.6 -1.6 8.6 10.2 10.3 9.8 -3.8 -0.5 0.6 2.4 -4.4 -7.5 -1.7 -0.1 -0.1 -2.0 1.2 -2.8 20.0 -20.0 -20.0 -12.2 -10.6 8.8 -1.7 3.8 -4.5 NZD 4.1 -9.4 1.6 -2.0 9.0 -2.0 4.5 -0.4 0.0 5.7 -6.4 7.2 -3.9 -1.3 -4.5 -0.2 0.1 -0.2 -0.0 -4.5 -3.6 6.6 -2.6 -0.1 0.2 -2.4 4.7 -1.8 3.7 -1.0 0.1 4.4 8.5 2.2 -11.0 2.5 9.4 -4.9 7.8 0.1 OAT 16.7 16.0 -2.6 3.8 -0.0 2.0 2.5 0.3 4.2 -1.5 -5.3 9.2 -2.9 12.0 8.3 0.8 3.6 0.8 1.9 7.1 0.2 7.1 -3.8 11.0 2.5 3.2 -0.1 0.9 3.1 -0.3 4.7 10.4 3.1 -10.5 -6.7 -16.3 -18.3 -19.7 -4.3 -1.4 OATIES -4.1 -10.8 -20.0 -3.6 -1.8 -2.6 -3.1 -1.6 -3.7 -10.1 -10.5 -11.1 -10.9 -10.0 -11.3 11.5 2.3 6.1 4.5 -12.8 -14.2 -7.8 -12.6 -9.2 -20.0 -3.5 -1.9 -3.3 -2.4 -2.5 -2.8 2.0 -1.4 1.9 -3.7 -0.3 7.4 -0.7 19.3 8.9 OJ -3.5 -4.2 -3.3 -5.4 -2.6 -3.8 -4.5 -2.4 -5.4 13.6 12.3 10.2 14.8 1.5 8.6 8.3 11.6 8.7 9.3 9.3 16.8 15.6 20.0 7.9 -20.0 3.3 10.5 7.1 7.0 13.5 3.1 14.2 20.0 20.0 18.8 20.0 14.0 10.8 20.0 20.0 PALLAD 0.3 -1.5 3.6 -2.4 2.1 -1.8 0.7 -0.8 -1.3 8.1 -6.3 6.5 -8.2 -2.7 -4.5 -1.9 -2.1 -1.9 -1.9 -3.1 -4.5 4.5 -8.0 -0.2 14.0 -2.0 3.4 -2.7 2.2 -3.5 -0.2 5.9 5.8 3.7 11.6 2.6 -20.0 -20.0 -20.0 -20.0 PLAT -5.1 -11.9 -2.0 -3.1 2.7 -2.4 0.9 -1.0 -1.7 7.7 -4.1 -1.4 -4.1 -7.2 -8.0 -4.6 -4.4 -4.9 -4.8 -5.4 -2.1 0.2 -0.4 -5.1 5.6 -3.3 2.1 -1.9 -0.2 -0.5 -2.6 1.4 -8.4 -4.9 1.6 9.2 -10.1 -9.1 -5.0 2.1 REDWHEAT -1.8 -20.0 -13.9 -5.7 -2.8 -4.1 -4.8 -2.5 -5.8 -13.7 -15.8 -15.7 -16.5 -17.7 -18.5 -11.2 -5.5 -10.5 -8.3 -20.0 -20.0 -13.5 -19.3 -17.5 -6.4 -5.5 -4.0 -4.6 -3.9 -4.0 -4.6 -15.1 -6.5 1.3 -14.1 0.9 -20.0 -20.0 -15.0 -19.0 RICE 5.3 -17.1 -4.3 -5.0 -2.4 -3.6 -4.3 -2.2 -5.1 -12.2 8.9 -4.9 11.9 -3.3 0.4 -7.5 20.0 20.0 20.0 -2.8 2.0 -11.5 7.5 -6.1 -9.9 0.4 -9.5 1.9 -6.5 2.9 -2.3 20.0 -9.9 20.0 7.6 20.0 -20.0 -13.0 -20.0 -12.1 ROBUSTA -12.6 -6.6 3.5 -3.4 -1.6 -2.4 -2.8 -1.5 -3.4 9.4 9.9 6.5 10.3 5.5 8.5 20.0 20.0 20.0 20.0 9.9 15.5 9.7 18.9 7.1 -20.0 3.6 4.6 6.3 3.3 8.8 2.5 20.0 20.0 9.3 20.0 20.0 2.4 -5.6 9.0 2.1 RUSSELL -19.1 4.3 -3.4 -0.1 3.7 1.6 0.7 2.5 -1.1 7.2 2.9 -2.5 6.1 -2.9 0.0 -5.0 -6.6 -6.1 -6.5 0.8 2.7 -0.3 3.1 -2.1 -0.8 1.3 1.9 2.0 -0.1 1.9 -0.1 -0.7 -6.4 3.0 13.0 3.5 4.4 -18.7 -3.2 -20.0 SHATZ 20.0 20.0 19.8 2.4 -0.0 1.3 1.6 0.2 2.7 -5.6 -2.6 4.5 -5.1 6.4 6.8 -20.0 -20.0 -20.0 -20.0 9.7 2.9 3.5 -4.5 10.3 6.8 2.6 -1.2 0.9 0.9 -0.6 2.7 -20.0 -4.3 2.6 2.3 -3.3 -20.0 -16.2 -17.0 -11.0 SILVER-mini -14.5 -15.6 0.2 -2.8 2.5 -2.1 0.8 -0.9 -1.5 7.9 3.0 0.4 4.6 -6.0 -5.0 -5.4 -6.3 -5.7 -6.0 -4.5 1.8 1.4 5.3 -5.6 2.2 -2.5 3.4 -0.4 0.4 1.4 -2.2 -1.4 -2.9 -7.8 -1.2 7.5 3.0 -5.2 7.4 6.2 SMI -18.7 -16.7 3.6 -0.2 5.0 2.1 0.9 3.4 -1.4 10.9 8.5 4.5 10.3 1.2 5.6 -2.5 0.4 -2.9 -1.6 0.9 6.5 6.7 8.5 -0.9 9.0 4.2 7.4 5.6 5.8 5.8 4.1 9.9 5.2 20.0 9.6 12.7 3.3 1.7 -7.6 -1.6 SOFR 12.6 20.0 18.4 3.2 -0.0 1.7 2.2 0.2 3.6 -2.5 5.5 6.2 1.2 9.1 10.5 0.5 -1.1 -0.8 -1.2 14.2 8.9 7.4 2.1 13.6 -3.8 3.9 -0.1 2.8 2.2 1.3 3.8 3.7 -3.1 2.0 1.5 7.2 10.0 -13.9 20.0 5.6 SOYBEAN -14.1 -18.5 -16.0 -2.8 -1.4 -2.0 -2.4 -1.3 -2.9 -8.0 -9.1 -8.8 -7.4 -9.2 -9.3 -9.1 3.6 -5.2 -1.9 -16.2 -13.4 -16.5 -9.7 -16.8 -16.7 -3.3 -3.0 -2.7 -3.4 -1.8 -3.4 -2.1 -15.2 -8.0 -16.1 -9.8 -5.3 -20.0 -0.3 -20.0 SOYMEAL 2.2 -10.7 -9.1 -2.8 -1.4 -2.0 -2.4 -1.3 -2.9 -6.2 -8.1 -6.3 -7.9 -7.0 -7.9 -3.2 5.4 1.4 2.6 -9.0 -8.6 -9.1 -7.3 -8.6 -18.0 -2.5 -2.6 -2.1 -2.9 -1.5 -2.6 3.1 -9.1 6.3 -7.2 3.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -20.0 -9.8 -4.1 -2.5 -1.2 -1.8 -2.1 -1.1 -2.6 -6.9 -7.2 -7.8 -7.8 -8.0 -7.5 6.0 1.4 3.8 1.4 -9.8 -7.7 -12.4 -7.7 -12.6 -17.9 -2.7 -2.5 -2.1 -3.2 -1.8 -3.2 -2.0 -7.2 -12.4 -4.0 -5.7 -5.5 -10.5 3.9 -2.0 SP400 -11.5 -3.6 -13.8 -0.2 4.3 1.8 0.8 2.9 -1.2 8.6 3.9 -0.7 7.7 -2.6 -1.7 -5.4 -5.8 -5.6 -5.7 -0.5 2.1 2.5 4.6 -1.6 -8.2 1.1 3.7 2.5 0.9 3.3 -0.1 0.7 -3.6 5.8 7.8 -0.5 6.5 -8.3 -1.0 -20.0 SP500_micro -20.0 -20.0 -12.8 -0.2 4.3 1.8 0.8 3.0 -1.3 9.6 6.7 4.8 9.6 -0.8 2.5 -9.2 -12.3 -11.7 -12.4 0.2 5.4 9.0 9.3 -0.1 -13.4 0.3 5.4 2.8 2.3 4.7 -0.5 -10.8 7.7 0.3 -3.3 5.5 9.9 3.3 -3.4 1.1 SUGAR11 -6.5 -2.8 -5.3 -4.5 -2.2 -3.2 -3.8 -2.0 -4.5 -6.7 -12.7 -10.7 -11.0 -11.8 -11.1 -4.2 7.0 -2.7 1.2 -10.3 -11.8 -8.4 -10.4 -10.2 -20.0 -3.9 -2.2 -4.9 -3.4 -4.5 -3.9 3.9 4.6 -3.6 8.0 -1.6 -3.8 17.8 -0.1 20.0 US10 15.1 20.0 19.4 2.6 -0.0 1.4 1.7 0.2 2.8 -3.0 3.3 4.7 -2.1 6.7 7.8 -8.2 -7.6 -7.7 -7.5 10.1 5.6 5.8 -0.4 10.4 2.1 3.0 0.0 2.0 1.9 0.7 3.1 -7.3 -2.2 2.9 0.8 4.3 5.1 -20.0 19.1 4.2 US10U 15.5 17.4 18.9 3.5 -0.0 1.9 2.4 0.3 3.9 -1.5 3.6 7.2 -3.0 9.4 10.5 -3.2 -2.9 -3.9 -3.7 12.3 6.5 8.6 -1.3 13.4 -0.1 4.1 0.6 2.7 2.9 0.9 4.3 0.0 -1.1 1.2 -2.6 3.6 5.4 -17.4 20.0 13.7 US2 14.0 20.0 20.0 2.3 -0.0 1.2 1.5 0.2 2.5 -5.3 -0.2 3.3 -5.1 5.7 6.3 -20.0 -20.0 -20.0 -20.0 9.7 4.1 3.9 -2.7 9.9 11.6 2.5 -0.5 1.3 1.4 0.0 2.7 -20.0 -3.1 8.7 8.2 3.3 2.4 -20.0 6.5 -10.9 US20 16.1 13.7 17.0 2.5 -0.0 1.3 1.7 0.2 2.7 0.0 2.9 5.1 -0.2 6.1 7.0 -1.1 -0.8 -0.9 -0.8 7.8 4.4 6.5 -0.2 8.9 -1.6 2.9 0.8 2.2 2.2 1.0 3.0 4.3 0.2 -0.4 -3.9 3.3 5.0 -10.4 20.0 20.0 US30 14.9 11.1 15.8 2.8 -0.0 1.5 1.9 0.2 3.1 0.0 1.9 5.5 -1.6 6.2 7.1 -3.7 -4.9 -4.1 -4.5 7.1 3.6 6.7 -1.4 8.6 -1.0 3.2 1.2 2.3 2.7 0.9 3.4 -2.5 1.4 -3.6 -7.5 0.7 1.9 -9.7 16.1 20.0 US5 13.9 20.0 20.0 2.6 -0.0 1.4 1.8 0.2 2.9 -5.9 2.7 4.3 -3.6 6.8 7.8 -12.5 -10.8 -11.7 -11.1 10.9 5.8 5.2 -0.9 10.9 5.3 3.0 -0.3 1.9 1.7 0.5 3.1 -13.1 -3.5 4.6 3.8 4.8 5.5 -20.0 15.3 -2.6 VIX 13.2 20.0 20.0 1.5 -0.5 -0.1 1.1 -1.3 2.3 -7.8 -5.1 -5.2 -8.2 -2.8 -3.5 -20.0 -20.0 -20.0 -20.0 1.7 -0.4 -3.9 -3.3 0.9 NaN 1.7 -0.6 -0.1 1.2 -1.5 2.5 NaN NaN NaN NaN NaN -13.4 -20.0 NaN NaN WHEAT 0.7 -20.0 -14.5 -4.0 -1.9 -2.9 -3.4 -1.8 -4.1 -8.7 -10.6 -7.3 -10.8 -11.2 -12.6 -16.7 -14.9 -16.4 -15.9 -15.8 -13.9 -6.0 -12.3 -10.5 1.9 -3.6 -1.7 -3.0 -1.7 -2.3 -2.6 -20.0 2.4 5.3 -10.7 1.7 -17.3 -20.0 -15.2 -20.0 End of report for caleb_strategy_v3