******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241024_203927 produced at 2024-10-24 21:38:25.962918 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 SOFR False True 0.09 0.00 -0.70 0.0 0.00 0.00 0.00 0.00 -8.09 11.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.08 -0.15 0.0 0.75 -0.75 -0.08 -0.08 -5.72 29.0 -3 -3 caleb_strategy_v3 US2 False True 0.07 0.00 -0.13 0.0 0.00 0.00 0.00 0.00 -1.74 13.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.03 -0.12 0.0 0.54 -0.54 -0.03 -0.03 -3.55 16.0 -1 -1 caleb_strategy_v3 VIX False False 0.01 -0.05 -0.09 0.0 999.00 -999.00 -0.05 -0.05 -12.91 999999999.0 -7 -7 caleb_strategy_v3 CHF False False 0.05 -0.16 -0.09 0.0 0.67 -0.67 -0.16 -0.16 -1.69 13.0 -3 -3 caleb_strategy_v3 EUR False False 0.05 -0.15 -0.08 0.0 0.68 -0.68 -0.15 -0.15 -1.74 14.0 -3 -3 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -1.72 24.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.06 -0.07 0.0 0.10 -0.10 -0.06 -0.06 -8.38 12.0 -7 -7 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.04 -0.06 0.0 0.00 -0.04 -0.04 -0.04 -23.14 26.0 -16 -16 caleb_strategy_v3 MXP False False 0.01 -0.05 -0.06 0.0 0.53 -0.53 -0.05 -0.05 -6.78 60.0 -6 -6 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.05 0.0 0.96 -0.96 -0.04 -0.04 -1.19 25.0 -1 -1 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.04 0.0 0.50 -0.50 -0.03 -0.03 -1.22 17.0 -1 -1 caleb_strategy_v3 CAC True False 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.29 12.0 0 0 caleb_strategy_v3 RICE False True 0.01 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -3.44 4.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.06 -0.03 0.0 0.13 -0.13 -0.06 -0.06 -1.40 7.0 -3 -3 caleb_strategy_v3 US10U False False 0.04 0.00 -0.03 0.0 0.53 -0.53 0.00 0.00 -0.69 13.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.03 0.0 0.67 -0.67 0.00 0.00 -0.81 17.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.03 0.0 0.10 -0.10 -0.03 -0.03 -0.96 3.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.03 0.0 0.14 -0.14 -0.05 -0.05 -2.58 11.0 -4 -4 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.02 0.0 0.09 -0.09 -0.02 -0.02 -0.74 4.0 -1 -1 caleb_strategy_v3 NZD False False 0.02 0.00 -0.02 0.0 0.45 -0.45 0.00 0.00 -0.90 21.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.10 -0.10 -0.03 -0.03 -1.77 9.0 -3 -3 caleb_strategy_v3 COPPER False False 0.04 0.00 -0.02 0.0 999.00 -999.00 0.00 0.00 -0.51 999999999.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.17 -0.17 -0.01 -0.01 -5.36 51.0 -2 -2 caleb_strategy_v3 BUND False False 0.05 0.00 -0.02 0.0 0.51 -0.51 0.00 0.00 -0.36 10.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -1.66 8.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -1.60 9.0 -2 -2 caleb_strategy_v3 LUMBER-new False False 0.01 -0.01 -0.01 0.0 0.02 -0.02 -0.01 -0.01 -0.95 3.0 -2 -2 caleb_strategy_v3 US20 False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.32 9.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.13 -0.01 0.0 0.27 -0.27 -0.13 -0.13 -0.27 6.0 -3 -3 caleb_strategy_v3 AUD False False 0.02 0.00 -0.01 0.0 0.45 -0.45 0.00 0.00 -0.42 19.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.20 -0.20 0.00 0.00 -0.14 4.0 0 0 caleb_strategy_v3 GBP False False 0.03 -0.03 -0.01 0.0 0.64 -0.64 -0.03 -0.03 -0.44 22.0 -1 -1 caleb_strategy_v3 EUROSTX False False 0.02 0.00 -0.01 0.0 0.38 -0.38 0.00 0.00 -0.44 20.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.10 6.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.02 0.00 0.0 0.15 -0.15 0.02 0.02 0.54 18.0 2 2 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.39 10.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.00 0.0 0.87 -0.87 0.00 0.00 -0.01 19.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -2.00 59.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.00 0.0 0.36 -0.36 0.00 0.00 0.10 23.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.00 0.0 0.33 -0.33 0.00 0.00 -0.22 23.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.26 999999999.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.01 0.0 0.08 -0.08 0.00 0.00 0.18 2.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.02 0.01 0.0 0.18 -0.18 0.02 0.02 0.45 10.0 1 1 caleb_strategy_v3 COCOA False False 0.02 0.02 0.01 0.0 0.58 -0.58 0.02 0.02 0.51 26.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.00 0.01 0.0 0.12 -0.12 0.00 0.00 0.33 5.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.01 0.01 0.0 0.07 -0.07 0.01 0.01 0.72 5.0 1 1 caleb_strategy_v3 OATIES False True 0.01 0.00 0.01 0.0 0.00 0.00 0.00 0.00 1.55 2.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.22 0.02 0.0 0.22 -0.22 0.22 0.22 0.21 2.0 2 2 caleb_strategy_v3 OJ False False 0.03 0.03 0.02 0.0 0.08 -0.08 0.03 0.03 0.93 3.0 1 1 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.27 -0.27 0.00 0.00 4.02 68.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.03 0.0 0.50 -0.50 0.00 0.00 3.90 66.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.13 0.03 0.0 0.35 -0.35 0.13 0.13 0.62 8.0 3 3 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.03 0.0 0.50 -0.50 0.00 0.00 2.64 48.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.03 0.03 0.03 0.0 999.00 -999.00 0.03 0.03 0.83 999999999.0 1 1 caleb_strategy_v3 NIKKEI False False 0.01 0.04 0.04 0.0 0.32 -0.32 0.04 0.04 4.91 36.0 4 4 caleb_strategy_v3 OAT False False 0.05 0.15 0.04 0.0 0.49 -0.49 0.15 0.15 0.91 10.0 3 3 caleb_strategy_v3 DX False False 0.04 0.00 0.05 0.0 999.00 -999.00 0.00 0.00 1.32 999999999.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.00 0.05 0.0 0.47 -0.47 0.00 0.00 1.08 10.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 0.06 0.0 0.00 0.00 0.00 0.00 1.23 9.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.03 0.09 0.0 0.55 -0.55 0.03 0.03 8.73 56.0 3 3 caleb_strategy_v3 DAX False False 0.01 0.07 0.11 0.0 0.44 -0.44 0.07 0.07 14.29 58.0 9 9 caleb_strategy_v3 LEANHOG False False 0.01 0.09 0.12 0.0 0.15 -0.15 0.09 0.09 10.22 13.0 8 8 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.12 0.0 0.46 -0.46 0.03 0.03 4.37 17.0 1 1 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.83 0.0 0.94 -0.94 0.00 0.00 8.82 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.1 Shocked risk 21.9 Sum abs risk 33.3 Leverage 3.91 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2802522.46, 'annual_cash_vol_target': 700630.615, 'daily_cash_vol_target': 43789.4134375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0040 0.6644 0.5959 9.5352 BITCOIN 1503.9098 68375.0000 2.1995 35.1920 BOBL 0.2532 119.1800 0.2124 3.3991 BTP 0.5655 121.3400 0.4661 7.4571 BUND 0.4980 133.2900 0.3736 5.9782 BUXL 1.2765 132.9000 0.9605 15.3679 CAC 62.3168 7501.0000 0.8308 13.2925 CAD 0.0025 0.7230 0.3390 5.4237 CANOLA 7.7952 652.3000 1.1950 19.1205 CHF 0.0049 1.1615 0.4185 6.6955 COCOA 149.3714 6215.0000 2.4034 38.4544 COFFEE 4.6670 243.6000 1.9159 30.6536 COPPER 0.0556 4.3645 1.2733 20.3734 CORN 4.2718 443.7500 0.9627 15.4026 COTTON2 0.9495 73.6500 1.2892 20.6266 CRUDE_W 1.1369 67.7300 1.6786 26.8575 DAX 131.8588 19534.0000 0.6750 10.8004 DOW 255.2254 42555.0000 0.5998 9.5961 DX 0.3634 103.8950 0.3498 5.5963 EUR 0.0042 1.0847 0.3918 6.2689 EURIBOR-ICE 0.0453 97.9450 0.0462 0.7395 EUROSTX 42.3573 4943.0000 0.8569 13.7106 FEEDCOW 1.6105 243.6750 0.6609 10.5745 GASOIL 12.4149 664.7500 1.8676 29.8817 GASOLINE 0.0393 1.9810 1.9833 31.7334 GAS_US_mini 0.0863 3.0300 2.8466 45.5456 GBP 0.0062 1.2973 0.4814 7.7027 GOLD_micro 17.6850 2748.9000 0.6433 10.2936 HEATOIL 0.0417 2.2310 1.8669 29.8701 JGB-SGX-mini 0.2204 143.9500 0.1531 2.4503 JPY 0.0001 0.0066 0.7546 12.0733 LEANHOG 0.9669 82.7250 1.1688 18.7012 LIVECOW 1.0261 189.8750 0.5404 8.6467 LUMBER-new 7.1040 551.0000 1.2893 20.6286 MILK 0.2722 20.3500 1.3377 21.4024 MXP 0.0004 0.0499 0.8073 12.9162 NASDAQ_micro 160.0546 20368.2500 0.7858 12.5729 NIKKEI 515.4103 38035.0000 1.3551 21.6815 NZD 0.0039 0.6019 0.6550 10.4805 OAT 0.5064 126.0700 0.4017 6.4273 OATIES 5.2841 375.7500 1.4063 22.5003 OJ 7.7351 481.9500 1.6050 25.6794 PALLAD 29.4005 1159.0000 2.5367 40.5874 PLAT 15.1416 1036.6000 1.4607 23.3711 REDWHEAT 9.1812 603.0000 1.5226 24.3615 RICE 0.1269 15.0750 0.8420 13.4714 ROBUSTA 83.0237 4340.0000 1.9130 30.6078 RUSSELL 21.5437 2226.8000 0.9675 15.4795 SHATZ 0.0869 106.9400 0.0813 1.3001 SILVER-mini 0.5729 34.0125 1.6844 26.9503 SMI 76.4860 12173.0000 0.6283 10.0532 SOFR 0.0582 96.4500 0.0603 0.9651 SOYBEAN 10.0007 1036.7500 0.9646 15.4339 SOYMEAL 4.1449 311.5000 1.3306 21.2901 SOYOIL 0.7302 44.2800 1.6491 26.3850 SP400 22.9301 3141.3000 0.7300 11.6793 SP500_micro 34.0238 5840.5000 0.5825 9.3208 SUGAR11 0.3184 20.4500 1.5571 24.9129 US10 0.3784 111.2656 0.3401 5.4410 US10U 0.5098 114.5156 0.4452 7.1226 US2 0.1095 103.1914 0.1061 1.6980 US20 0.7662 118.7500 0.6452 10.3229 US30 1.1620 125.7812 0.9238 14.7812 US5 0.2496 107.8047 0.2315 3.7041 VIX 0.5767 18.8000 3.0676 49.0814 WHEAT 8.4048 637.7500 1.3179 21.0861 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 664.35 0.60 395.92 1.00 395.92 43789.41 110.60 -1.46 -16.19 BITCOIN 68.38 2.20 150.39 1.00 150.39 43789.41 291.17 -0.64 -18.52 BOBL 1191.80 0.21 253.19 1.08 273.53 43789.41 160.09 -0.06 -0.89 BTP 1213.40 0.47 565.53 1.08 610.97 43789.41 71.67 4.40 31.53 BUND 1332.90 0.37 498.02 1.08 538.04 43789.41 81.39 -4.31 -35.06 BUXL 1329.00 0.96 1276.50 1.08 1379.07 43789.41 31.75 -4.50 -14.29 CAC 750.10 0.83 623.17 1.08 673.24 43789.41 65.04 -5.82 -37.83 CAD 723.05 0.34 245.10 1.00 245.10 43789.41 178.66 -12.35 -220.58 CANOLA 130.46 1.20 155.90 0.72 112.81 43789.41 388.15 -5.67 -220.26 CHF 1451.81 0.42 607.54 1.00 607.54 43789.41 72.08 -9.06 -65.30 COCOA 621.50 2.40 1493.71 1.00 1493.71 43789.41 29.32 8.08 23.69 COFFEE 913.50 1.92 1750.13 1.00 1750.13 43789.41 25.02 -3.36 -8.40 COPPER 1091.12 1.27 1389.37 1.00 1389.37 43789.41 31.52 -1.50 -4.72 CORN 221.88 0.96 213.59 1.00 213.59 43789.41 205.02 -16.80 -344.49 COTTON2 368.25 1.29 474.73 1.00 474.73 43789.41 92.24 -13.05 -120.38 CRUDE_W 677.30 1.68 1136.91 1.00 1136.91 43789.41 38.52 0.80 3.08 DAX 195.34 0.68 131.86 1.08 142.45 43789.41 307.39 13.63 419.05 DOW 212.78 0.60 127.61 1.00 127.61 43789.41 343.14 4.89 167.69 DX 1038.95 0.35 363.40 1.00 363.40 43789.41 120.50 4.21 50.70 EUR 1355.88 0.39 531.24 1.00 531.24 43789.41 82.43 -8.12 -66.91 EURIBOR-ICE 2448.62 0.05 113.18 1.08 122.27 43789.41 358.14 7.22 258.58 EUROSTX 494.30 0.86 423.57 1.08 457.61 43789.41 95.69 -1.35 -12.97 FEEDCOW 1218.38 0.66 805.23 1.00 805.23 43789.41 54.38 3.47 18.86 GASOIL 664.75 1.87 1241.49 1.00 1241.49 43789.41 35.27 -4.83 -17.05 GASOLINE 832.02 1.98 1650.18 1.00 1650.18 43789.41 26.54 2.22 5.88 GAS_US_mini 75.75 2.85 215.63 1.00 215.63 43789.41 203.08 -10.52 -213.65 GBP 810.81 0.48 390.34 1.00 390.34 43789.41 112.18 -1.52 -17.00 GOLD_micro 274.89 0.64 176.85 1.00 176.85 43789.41 247.61 10.34 255.98 HEATOIL 937.02 1.87 1749.31 1.00 1749.31 43789.41 25.03 -8.83 -22.10 JGB-SGX-mini 143950.00 0.15 22044.63 0.01 144.76 43789.41 302.49 -1.08 -32.78 JPY 828.88 0.75 625.45 1.00 625.45 43789.41 70.01 -6.73 -47.14 LEANHOG 330.90 1.17 386.76 1.00 386.76 43789.41 113.22 14.85 168.13 LIVECOW 759.50 0.54 410.45 1.00 410.45 43789.41 106.69 12.36 131.90 LUMBER-new 151.52 1.29 195.36 1.00 195.36 43789.41 224.15 -1.98 -44.37 MILK 407.00 1.34 544.42 1.00 544.42 43789.41 80.43 4.19 33.73 MXP 249.60 0.81 201.49 1.00 201.49 43789.41 217.32 -2.13 -46.22 NASDAQ_micro 407.36 0.79 320.11 1.00 320.11 43789.41 136.80 -0.68 -9.34 NIKKEI 38035.00 1.36 51541.03 0.01 338.46 43789.41 129.38 3.50 45.30 NZD 601.90 0.66 394.26 1.00 394.26 43789.41 111.07 -3.12 -34.69 OAT 1260.70 0.40 506.43 1.08 547.13 43789.41 80.04 3.33 26.66 OATIES 187.88 1.41 264.20 1.00 264.20 43789.41 165.74 3.86 63.91 OJ 722.92 1.60 1160.27 1.00 1160.27 43789.41 37.74 11.53 43.51 PALLAD 1159.00 2.54 2940.05 1.00 2940.05 43789.41 14.89 3.60 5.36 PLAT 518.30 1.46 757.08 1.00 757.08 43789.41 57.84 2.28 13.16 REDWHEAT 301.50 1.52 459.06 1.00 459.06 43789.41 95.39 -13.12 -125.15 RICE 301.50 0.84 253.85 1.00 253.85 43789.41 172.50 -8.19 -141.20 ROBUSTA 434.00 1.91 830.24 1.00 830.24 43789.41 52.74 1.59 8.41 RUSSELL 111.34 0.97 107.72 1.00 107.72 43789.41 406.52 2.98 121.30 SHATZ 1069.40 0.08 86.89 1.08 93.88 43789.41 466.46 -3.63 -169.45 SILVER-mini 850.31 1.68 1432.26 1.00 1432.26 43789.41 30.57 7.98 24.39 SMI 1217.30 0.63 764.86 1.15 882.04 43789.41 49.65 7.29 36.20 SOFR 2411.25 0.06 145.44 1.00 145.44 43789.41 301.09 -4.42 -133.05 SOYBEAN 518.38 0.96 500.04 1.00 500.04 43789.41 87.57 -17.15 -150.18 SOYMEAL 311.50 1.33 414.49 1.00 414.49 43789.41 105.65 -16.32 -172.46 SOYOIL 265.68 1.65 438.12 1.00 438.12 43789.41 99.95 -4.14 -41.39 SP400 3141.30 0.73 2293.01 1.00 2293.01 43789.41 19.10 3.25 6.21 SP500_micro 292.03 0.58 170.12 1.00 170.12 43789.41 257.40 4.41 113.55 SUGAR11 229.04 1.56 356.63 1.00 356.63 43789.41 122.79 2.05 25.16 US10 1112.66 0.34 378.37 1.00 378.37 43789.41 115.73 -5.55 -64.24 US10U 1145.16 0.45 509.78 1.00 509.78 43789.41 85.90 -6.30 -54.14 US2 2063.83 0.11 219.03 1.00 219.03 43789.41 199.93 -6.87 -137.36 US20 1187.50 0.65 766.15 1.00 766.15 43789.41 57.15 -4.42 -25.24 US30 1257.81 0.92 1162.00 1.00 1162.00 43789.41 37.68 -5.63 -21.23 US5 1078.05 0.23 249.57 1.00 249.57 43789.41 175.46 -5.35 -93.83 VIX 188.00 3.07 576.71 1.00 576.71 43789.41 75.93 -6.89 -52.30 WHEAT 318.88 1.32 420.24 1.00 420.24 43789.41 104.20 -12.81 -133.47 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -16.190 0.010 2.5 -0.420 BITCOIN -18.515 0.043 2.5 -2.005 BOBL -0.890 0.004 2.5 -0.009 BTP 31.532 0.014 2.5 1.076 BUND -35.056 0.004 2.5 -0.355 BUXL -14.294 0.004 2.5 -0.145 CAC -37.834 0.014 2.5 -1.290 CAD -220.575 0.010 2.5 -5.723 CANOLA -220.259 0.010 2.5 -5.359 CHF -65.305 0.010 2.5 -1.694 COCOA 23.688 0.009 2.5 0.507 COFFEE -8.399 0.005 2.5 -0.098 COPPER -4.720 0.043 2.5 -0.511 CORN -344.492 0.010 2.5 -8.381 COTTON2 -120.381 0.009 2.5 -2.578 CRUDE_W 3.085 0.043 2.5 0.334 DAX 419.050 0.014 2.5 14.293 DOW 167.692 0.009 2.5 3.897 DX 50.703 0.010 2.5 1.316 EUR -66.906 0.010 2.5 -1.736 EURIBOR-ICE 258.581 0.014 2.5 8.820 EUROSTX -12.966 0.014 2.5 -0.442 FEEDCOW 18.855 0.013 2.5 0.625 GASOIL -17.051 0.017 2.5 -0.739 GASOLINE 5.883 0.017 2.5 0.255 GAS_US_mini -213.647 0.043 2.5 -23.135 GBP -16.997 0.010 2.5 -0.441 GOLD_micro 255.976 0.014 2.5 8.731 HEATOIL -22.096 0.017 2.5 -0.958 JGB-SGX-mini -32.784 0.043 2.5 -3.550 JPY -47.138 0.010 2.5 -1.223 LEANHOG 168.129 0.024 2.5 10.218 LIVECOW 131.898 0.013 2.5 4.371 LUMBER-new -44.372 0.009 2.5 -0.950 MILK 33.726 0.009 2.5 0.722 MXP -46.221 0.059 2.5 -6.784 NASDAQ_micro -9.342 0.009 2.5 -0.217 NIKKEI 45.297 0.043 2.5 4.905 NZD -34.694 0.010 2.5 -0.900 OAT 26.663 0.014 2.5 0.909 OATIES 63.908 0.010 2.5 1.555 OJ 43.513 0.009 2.5 0.932 PALLAD 5.364 0.014 2.5 0.183 PLAT 13.160 0.014 2.5 0.449 REDWHEAT -125.148 0.005 2.5 -1.660 RICE -141.204 0.010 2.5 -3.435 ROBUSTA 8.409 0.005 2.5 0.098 RUSSELL 121.303 0.013 2.5 4.020 SHATZ -169.452 0.004 2.5 -1.718 SILVER-mini 24.387 0.014 2.5 0.832 SMI 36.199 0.014 2.5 1.235 SOFR -133.051 0.024 2.5 -8.086 SOYBEAN -150.176 0.004 2.5 -1.397 SOYMEAL -172.458 0.004 2.5 -1.604 SOYOIL -41.394 0.004 2.5 -0.385 SP400 6.207 0.013 2.5 0.206 SP500_micro 113.554 0.009 2.5 2.639 SUGAR11 25.165 0.009 2.5 0.535 US10 -64.238 0.005 2.5 -0.814 US10U -54.141 0.005 2.5 -0.686 US2 -137.357 0.005 2.5 -1.741 US20 -25.239 0.005 2.5 -0.320 US30 -21.225 0.005 2.5 -0.269 US5 -93.831 0.005 2.5 -1.189 VIX -52.303 0.099 2.5 -12.910 WHEAT -133.473 0.005 2.5 -1.771 ===================== Position diags ===================== AUD 2.87 BITCOIN 31.53 BOBL 1.62 BTP 2.44 BUND 0.83 BUXL 0.32 CAC 2.22 CAD 4.64 CANOLA 9.44 CHF 1.87 COCOA 0.63 COFFEE 0.29 COPPER 3.41 CORN 4.99 COTTON2 1.98 CRUDE_W 4.17 DAX 10.48 DOW 7.97 DX 3.13 EUR 2.14 EURIBOR-ICE 12.22 EUROSTX 3.26 FEEDCOW 1.80 GASOIL 1.53 GASOLINE 1.15 GAS_US_mini 21.99 GBP 2.91 GOLD_micro 8.45 HEATOIL 1.09 JGB-SGX-mini 32.76 JPY 1.82 LEANHOG 6.88 LIVECOW 3.54 LUMBER-new 4.80 MILK 1.72 MXP 31.90 NASDAQ_micro 3.18 NIKKEI 14.01 NZD 2.88 OAT 2.73 OATIES 4.03 OJ 0.81 PALLAD 0.51 PLAT 1.97 REDWHEAT 1.27 RICE 4.20 ROBUSTA 0.62 RUSSELL 13.47 SHATZ 4.73 SILVER-mini 1.04 SMI 1.69 SOFR 18.30 SOYBEAN 0.81 SOYMEAL 0.98 SOYOIL 0.93 SP400 0.63 SP500_micro 5.98 SUGAR11 2.61 US10 1.47 US10U 1.09 US2 2.53 US20 0.72 US30 0.48 US5 2.22 VIX 18.74 WHEAT 1.38 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.4 -0.7 -0.1 0.0 0 BITCOIN -2.0 -5.2 1.1 0.0 0 BOBL -0.0 -0.2 0.2 0.0 0 BTP 1.1 0.8 1.3 0.0 0 BUND -0.4 -0.4 -0.3 0.0 0 BUXL -0.1 -0.2 -0.1 0.0 0 CAC -1.3 -1.5 -1.1 0.0 0 CAD -5.7 -6.2 -5.3 -3.0 -3 CANOLA -5.4 -6.3 -4.4 -2.0 -2 CHF -1.7 -1.9 -1.5 -3.0 -3 COCOA 0.5 0.4 0.6 1.0 1 COFFEE -0.1 -0.1 -0.1 0.0 0 COPPER -0.5 -0.9 -0.2 0.0 0 CORN -8.4 -8.9 -7.9 -7.0 -7 COTTON2 -2.6 -2.8 -2.4 -4.0 -4 CRUDE_W 0.3 -0.1 0.8 0.0 0 DAX 14.3 13.2 15.3 9.0 9 DOW 3.9 3.1 4.7 0.0 0 DX 1.3 1.0 1.6 0.0 0 EUR -1.7 -1.9 -1.5 -3.0 -3 EURIBOR-ICE 8.8 7.6 10.0 0.0 0 EUROSTX -0.4 -0.8 -0.1 0.0 0 FEEDCOW 0.6 0.4 0.8 3.0 3 GASOIL -0.7 -0.9 -0.6 -1.0 -1 GASOLINE 0.3 0.1 0.4 0.0 0 GAS_US_mini -23.1 -25.3 -20.9 -16.0 -16 GBP -0.4 -0.7 -0.1 -1.0 -1 GOLD_micro 8.7 7.9 9.6 3.0 3 HEATOIL -1.0 -1.1 -0.8 -1.0 -1 JGB-SGX-mini -3.6 -6.8 -0.3 -1.0 -1 JPY -1.2 -1.4 -1.0 -1.0 -1 LEANHOG 10.2 9.5 10.9 8.0 8 LIVECOW 4.4 4.0 4.7 1.0 1 LUMBER-new -1.0 -1.4 -0.5 -2.0 -2 MILK 0.7 0.6 0.9 1.0 1 MXP -6.8 -10.0 -3.6 -6.0 -6 NASDAQ_micro -0.2 -0.5 0.1 0.0 0 NIKKEI 4.9 3.5 6.3 4.0 4 NZD -0.9 -1.2 -0.6 0.0 0 OAT 0.9 0.6 1.2 3.0 3 OATIES 1.6 1.2 2.0 NaN 0 OJ 0.9 0.9 1.0 1.0 1 PALLAD 0.2 0.1 0.2 0.0 0 PLAT 0.4 0.3 0.6 1.0 1 REDWHEAT -1.7 -1.8 -1.5 0.0 0 RICE -3.4 -3.9 -3.0 NaN 0 ROBUSTA 0.1 0.0 0.2 0.0 0 RUSSELL 4.0 2.7 5.4 0.0 0 SHATZ -1.7 -2.2 -1.2 NaN 0 SILVER-mini 0.8 0.7 0.9 1.0 1 SMI 1.2 1.1 1.4 0.0 0 SOFR -8.1 -9.9 -6.3 NaN 0 SOYBEAN -1.4 -1.5 -1.3 -3.0 -3 SOYMEAL -1.6 -1.7 -1.5 -2.0 -2 SOYOIL -0.4 -0.5 -0.3 0.0 0 SP400 0.2 0.1 0.3 2.0 2 SP500_micro 2.6 2.0 3.2 0.0 0 SUGAR11 0.5 0.3 0.8 2.0 2 US10 -0.8 -1.0 -0.7 0.0 0 US10U -0.7 -0.8 -0.6 0.0 0 US2 -1.7 -2.0 -1.5 NaN 0 US20 -0.3 -0.4 -0.2 0.0 0 US30 -0.3 -0.3 -0.2 -3.0 -3 US5 -1.2 -1.4 -1.0 -1.0 -1 VIX -12.9 -14.8 -11.0 -7.0 -7 WHEAT -1.8 -1.9 -1.6 -3.0 -3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.8 3.8 3.8 3.8 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -0.6 -0.0 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 0.2 -0.2 0.1 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.2 0.1 -0.1 0.3 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.0 -0.1 0.0 0.0 -0.1 0.2 -0.2 0.4 -0.1 BITCOIN 0.4 0.3 -0.3 0.1 0.1 0.0 0.1 -0.0 0.1 0.1 -0.1 0.2 0.4 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 0.3 0.2 -2.7 0.0 0.0 0.1 0.1 0.3 0.1 -0.1 0.3 0.2 -0.5 -0.2 0.1 -0.1 0.0 0.1 BOBL -0.6 -0.1 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.1 -0.0 -0.1 0.0 0.3 -0.1 0.1 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 0.2 0.2 0.1 -0.7 -0.5 0.0 -0.1 BTP -0.3 0.1 0.3 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.0 0.4 -0.0 0.6 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.3 0.1 -2.7 0.1 -0.0 0.2 0.0 0.2 0.0 0.8 0.5 0.6 0.6 0.3 -0.7 -0.4 0.1 0.3 BUND -0.6 -0.2 0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.4 -0.1 -0.3 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.2 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.3 0.1 0.3 0.2 -0.1 -0.7 -0.6 -0.0 -0.0 BUXL -0.4 -0.2 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.1 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.3 -0.0 -0.0 0.0 -0.1 0.0 -0.0 0.2 -0.0 0.4 0.1 -0.2 -0.7 -0.7 -0.2 -0.2 CAC -0.1 0.2 -0.3 0.0 -0.1 0.2 -0.0 0.3 0.0 -0.1 -0.2 -0.2 0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.9 -0.0 -0.1 -0.1 -0.0 0.0 -0.0 0.2 -0.1 -0.3 -0.3 -0.6 0.2 0.2 -0.2 -0.1 CAD -0.6 -0.3 0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 -0.2 -0.2 -0.5 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.5 -0.6 -0.4 0.1 -0.3 -0.0 -0.2 CANOLA 0.5 0.4 -0.2 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.0 -0.3 -0.2 -0.3 -0.3 0.0 -0.0 0.1 -0.2 0.1 -2.1 0.0 0.0 0.0 0.0 -0.1 0.0 -1.1 0.5 0.5 0.4 0.2 -0.2 -0.4 0.1 -0.3 CHF -0.6 -0.4 0.6 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 0.2 -0.2 -0.0 -0.2 0.0 -0.3 -0.3 -0.3 -0.3 -0.1 0.1 -0.2 0.1 -0.2 0.6 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -1.1 -0.1 -0.1 -0.4 0.5 -0.3 -0.4 -0.7 -0.4 COCOA 0.2 0.1 0.3 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.0 0.1 0.0 0.0 0.4 0.4 0.4 0.4 0.0 0.1 -0.0 0.3 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.3 0.0 1.1 -0.1 0.0 0.1 0.3 0.7 0.6 0.7 0.7 COFFEE -0.5 -0.1 0.0 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 0.4 -0.1 0.5 -0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.1 -0.1 0.5 -0.0 -2.7 0.0 -0.1 0.2 -0.1 0.3 -0.0 0.3 -0.1 -0.6 0.0 0.6 -0.3 -0.2 0.1 -0.0 COPPER -0.3 0.5 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.0 0.1 -0.0 -2.0 0.0 -0.0 0.1 -0.0 0.1 0.0 0.2 -0.5 -0.4 0.1 -0.1 0.6 0.3 0.5 0.7 CORN -0.2 0.3 -0.4 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.0 -0.4 -0.1 -0.7 -0.0 -0.1 -0.2 -0.3 -0.3 -0.3 -0.1 -0.2 -0.1 -0.5 -0.1 -1.7 -0.1 0.0 -0.2 -0.0 -0.4 -0.1 -1.1 -0.3 -0.4 -0.1 -0.6 0.1 -0.1 0.3 0.0 COTTON2 -0.2 0.6 0.2 0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.0 -0.4 -0.0 -0.6 0.1 0.1 -0.3 -0.1 -0.2 -0.2 0.0 -0.1 -0.0 -0.4 0.0 -2.7 0.0 0.0 -0.1 -0.0 -0.1 0.0 -0.9 0.0 -0.2 0.1 0.2 -0.5 -0.4 -0.3 -0.3 CRUDE_W 0.3 0.0 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.0 -0.0 0.0 -0.1 0.1 0.2 0.2 0.2 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.5 0.0 -0.2 0.1 0.1 -0.1 0.3 -0.1 0.5 DAX 0.2 0.5 0.0 0.0 -0.1 0.2 -0.0 0.3 0.0 -0.1 0.4 0.1 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 1.4 0.1 -0.0 0.1 0.0 0.2 0.1 -0.3 0.4 0.6 0.4 0.1 0.6 0.3 0.2 0.1 DOW -0.0 0.5 0.3 0.0 -0.1 0.1 -0.0 0.3 0.0 -0.1 0.4 -0.0 0.6 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.0 0.5 0.1 -1.8 0.1 -0.1 0.2 -0.0 0.2 0.0 -0.4 0.0 0.3 0.6 0.6 0.4 0.1 -0.3 -0.2 DX 0.6 0.5 -0.5 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.1 -0.1 0.2 0.2 0.2 0.0 0.1 0.1 0.1 0.1 0.1 -0.0 0.2 -0.1 0.2 -2.7 0.0 0.1 -0.0 0.1 -0.0 0.1 0.7 0.5 0.6 0.6 -0.6 0.0 0.3 0.0 0.4 EUR -0.6 -0.4 0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 0.0 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.2 0.0 -0.2 2.7 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.5 -0.3 -0.6 -0.6 0.1 -0.1 -0.7 -0.4 -0.7 EURIBOR-ICE -0.6 -0.1 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 -0.0 0.2 0.0 0.1 0.1 -0.0 0.1 0.0 0.1 0.1 0.0 0.2 0.0 1.5 0.0 -0.0 0.1 0.0 0.1 0.0 0.3 0.3 0.3 0.4 0.3 -0.3 -0.6 0.2 0.2 EUROSTX -0.0 0.2 -0.3 0.0 -0.1 0.1 -0.0 0.3 0.0 -0.1 0.1 -0.1 0.4 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.0 0.2 0.0 -0.3 0.0 -0.0 0.1 -0.0 0.2 0.0 0.2 -0.1 -0.1 -0.1 -0.5 0.2 0.1 -0.7 -0.3 FEEDCOW 0.6 0.6 -0.5 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.0 -0.2 0.1 -0.5 0.2 0.0 0.4 -0.1 0.3 0.1 0.1 -0.1 0.1 -0.4 0.2 -1.4 0.0 0.0 -0.1 0.0 -0.1 0.1 -0.2 -0.1 0.6 0.6 -0.6 0.4 0.7 0.7 0.7 GASOIL 0.4 0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.3 -0.1 -0.1 -0.0 -0.1 0.0 0.1 0.0 0.1 -0.1 -0.1 -0.0 -0.1 -0.0 0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.2 -0.3 -0.2 -0.1 -0.3 0.0 -0.5 GASOLINE 0.4 0.2 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.0 -0.0 0.0 -0.0 0.1 0.4 0.4 0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -2.7 0.0 -0.0 -0.0 -0.0 -0.0 0.0 1.1 -0.1 -0.0 0.3 0.3 0.1 0.4 0.3 0.7 GAS_US_mini -0.4 0.2 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.1 -0.5 -0.1 -0.7 -0.1 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.5 -0.1 2.7 -0.0 0.1 -0.1 -0.0 -0.2 -0.1 -1.1 0.1 -0.6 -0.1 0.0 -0.4 -0.7 -0.2 -0.6 GBP -0.6 -0.2 0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 0.3 -0.2 0.5 -0.2 0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.2 0.3 -0.2 -0.3 0.0 -0.0 0.1 -0.1 0.2 -0.1 0.1 0.1 -0.2 0.1 0.5 0.2 -0.7 0.4 -0.7 GOLD_micro 0.0 0.5 0.6 0.1 0.1 0.0 0.1 -0.0 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.2 0.5 0.2 -2.0 0.1 0.0 0.2 0.1 0.3 0.1 -0.7 0.5 0.6 0.6 0.6 0.7 -0.0 0.5 0.2 HEATOIL 0.5 0.1 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.3 -0.1 -0.2 -0.0 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -2.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.5 -0.1 -0.1 0.1 -0.0 -0.2 0.1 -0.1 0.2 JGB-SGX-mini -0.6 0.0 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.2 0.3 0.2 0.3 -0.0 0.0 -0.1 0.1 -0.1 -1.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 0.1 0.0 0.1 -0.0 -0.5 -0.3 -0.6 -0.1 JPY -0.6 -0.5 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 0.0 -0.2 -0.3 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 2.7 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.1 -0.2 -0.2 0.3 -0.7 -0.7 -0.7 -0.7 LEANHOG 0.4 0.6 0.4 0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.2 0.0 0.2 -0.1 0.2 0.2 -0.1 0.4 0.4 0.4 0.2 0.1 0.2 -0.2 0.2 0.5 0.1 0.1 0.1 0.1 -0.0 0.1 1.1 0.5 0.6 0.6 0.6 -0.0 -0.2 0.1 0.0 LIVECOW 0.4 0.6 0.1 0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.2 0.5 0.2 0.5 0.2 0.2 0.0 0.2 0.1 0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.1 0.1 0.2 0.1 0.6 0.4 0.6 0.6 0.5 -0.1 0.7 0.1 0.7 LUMBER-new 0.2 0.4 0.2 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.3 0.1 -0.5 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.1 -0.0 0.0 -0.3 0.1 NaN 0.0 -0.0 -0.0 -0.0 -0.2 0.0 -1.2 0.0 0.3 0.3 0.7 0.2 0.0 0.4 0.2 MILK -0.6 -0.1 0.6 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.3 -0.1 0.3 -0.1 0.1 0.4 -0.1 0.4 0.3 0.1 0.1 -0.1 0.3 -0.0 1.8 0.0 -0.1 0.1 -0.0 0.1 -0.0 0.2 -0.1 -0.4 -0.0 0.6 -0.1 -0.7 0.2 -0.7 MXP 0.0 0.1 -0.6 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 -0.3 -0.1 -0.3 -0.0 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.1 -0.1 -0.2 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 1.1 -0.1 0.4 0.0 -0.6 0.5 0.5 0.7 0.7 NASDAQ_micro 0.2 0.5 -0.1 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.2 0.0 0.4 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.0 0.4 0.1 -2.7 0.0 -0.0 0.1 0.0 0.3 0.0 -0.3 0.0 0.1 0.4 -0.1 0.2 0.1 -0.3 -0.1 NIKKEI 0.2 0.3 -0.6 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.1 -0.0 0.1 0.0 0.0 0.0 0.2 0.1 0.1 0.0 0.0 -0.0 0.1 0.0 -0.9 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.2 0.0 -0.0 -0.5 0.6 0.2 0.6 0.2 NZD -0.6 -0.2 0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.0 0.1 0.0 -0.2 -0.1 -0.1 0.1 -0.3 0.2 -0.1 OAT -0.4 -0.1 0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.1 -0.1 -0.0 -0.1 0.0 0.2 0.1 0.1 0.1 -0.0 0.0 -0.0 -0.0 -0.0 0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.8 0.2 0.5 0.2 -0.1 -0.4 -0.5 0.2 0.2 OATIES -0.2 0.6 0.5 0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.0 0.0 -0.0 -0.5 0.1 0.2 0.1 0.1 0.1 0.1 0.2 0.1 -0.0 -0.1 0.1 -2.7 0.1 -0.0 0.1 -0.0 -0.0 0.0 0.1 -0.0 0.3 0.6 0.6 0.6 0.1 0.7 0.4 OJ -0.0 -0.0 0.1 0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.1 0.4 0.1 0.6 0.1 0.1 0.2 0.2 0.2 0.2 0.1 0.2 0.1 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.5 0.0 0.8 0.5 0.1 0.3 0.6 0.5 0.4 0.7 0.7 PALLAD 0.0 0.5 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 -0.2 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 -0.1 0.1 2.1 0.0 0.1 0.0 0.0 -0.0 0.0 0.3 -0.1 0.1 0.0 0.2 -0.4 -0.7 -0.7 -0.7 PLAT 0.1 0.4 -0.1 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 0.0 0.1 0.0 0.1 0.7 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 0.1 0.0 -0.1 -0.2 0.1 -0.3 -0.3 -0.0 REDWHEAT 0.1 0.5 -0.0 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.4 -0.1 -0.6 0.0 0.0 -0.2 -0.1 -0.2 -0.2 0.0 -0.1 -0.0 -0.5 0.0 -0.7 0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -1.0 -0.4 0.3 0.4 -0.2 -0.7 -0.7 -0.7 -0.7 RICE -0.2 -0.0 -0.1 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.2 0.3 -0.2 0.5 -0.1 -0.0 -0.2 0.4 -0.0 0.3 -0.0 0.0 -0.1 0.2 -0.1 -2.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 1.1 -0.1 -0.3 -0.3 0.1 -0.7 -0.7 -0.7 -0.7 ROBUSTA -0.6 -0.2 0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.2 -0.1 0.3 -0.1 0.0 0.4 0.4 0.4 0.4 0.0 0.1 -0.1 0.5 -0.1 -2.7 0.0 -0.0 0.1 -0.0 0.2 -0.0 1.1 -0.3 -0.6 -0.0 0.6 0.4 -0.0 0.7 0.2 RUSSELL 0.0 0.2 0.2 0.0 -0.1 0.1 -0.0 0.3 0.0 -0.1 0.3 -0.0 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.3 0.1 -0.0 0.1 -0.0 0.2 -0.0 0.2 0.0 0.0 0.3 0.0 0.2 0.6 0.0 -0.4 -0.5 -0.7 SHATZ -0.6 -0.0 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 -0.0 -0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.0 0.1 0.0 0.0 0.0 0.8 0.0 0.0 0.1 0.0 0.0 0.0 -1.1 0.3 0.3 0.3 0.2 -0.6 -0.5 -0.2 -0.2 SILVER-mini 0.2 0.5 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.3 0.1 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.2 0.2 0.2 0.2 0.0 0.0 0.1 0.1 0.1 0.1 -0.1 0.4 0.4 0.3 0.2 0.2 -0.1 -0.1 0.3 SMI 0.1 -0.1 -0.2 0.0 -0.1 0.2 -0.0 0.3 0.0 -0.1 0.3 0.0 0.6 -0.0 0.1 0.0 0.0 -0.0 -0.0 0.0 0.1 0.0 0.4 0.1 1.6 0.0 -0.0 0.2 0.0 0.4 0.0 0.5 0.3 0.2 -0.4 0.2 -0.1 0.1 -0.7 -0.2 SOFR -0.6 -0.6 0.5 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.2 0.3 -0.2 -0.0 0.0 0.0 0.0 0.0 -0.1 0.0 -0.2 0.2 -0.2 -0.8 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.4 -0.3 -0.5 -0.5 -0.2 0.1 -0.4 0.7 0.5 SOYBEAN -0.5 0.2 -0.6 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.3 -0.1 -0.5 -0.1 -0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.5 -0.1 -2.7 -0.0 -0.0 -0.2 -0.0 -0.2 -0.1 -0.3 -0.4 -0.6 -0.2 -0.6 0.1 -0.4 0.3 -0.2 SOYMEAL -0.6 0.2 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.0 -0.0 0.1 -0.0 -0.0 -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 -0.3 -0.1 -0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.1 0.5 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.1 -0.1 0.0 -0.3 0.0 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.2 0.0 -2.5 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.1 0.1 0.3 0.0 0.0 -0.2 0.3 -0.1 SP400 0.1 0.4 0.2 0.0 -0.1 0.2 -0.0 0.3 0.0 -0.1 0.4 -0.0 0.6 0.1 0.2 -0.2 -0.1 -0.1 -0.1 0.2 0.1 -0.0 0.4 0.1 -1.8 0.1 -0.1 0.2 -0.0 0.3 0.0 -0.0 0.2 0.2 0.5 0.6 0.2 -0.2 -0.3 -0.7 SP500_micro 0.2 0.6 0.1 0.0 -0.1 0.2 -0.0 0.3 0.0 -0.1 0.5 0.1 0.7 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.3 0.1 -0.5 0.2 0.4 0.6 0.3 0.4 0.1 -0.3 -0.2 SUGAR11 -0.4 0.6 0.5 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 0.1 -0.1 -0.2 0.1 0.1 0.4 0.3 0.4 0.4 0.1 0.1 -0.0 0.0 0.1 -2.7 0.0 -0.0 0.1 -0.0 -0.0 0.0 1.1 0.0 -0.4 0.6 0.6 -0.6 0.2 -0.5 0.3 US10 -0.6 -0.6 0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 0.1 -0.2 0.2 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.3 -0.2 -0.5 -0.4 -0.2 0.0 -0.7 0.7 0.3 US10U -0.6 -0.6 0.5 -0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.2 0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 0.1 -0.2 -0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.3 -0.6 -0.6 -0.4 0.0 -0.6 0.7 0.6 US2 -0.6 -0.6 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.0 -0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 0.0 -0.1 0.0 -0.1 1.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -1.1 -0.1 -0.4 -0.2 0.1 -0.1 -0.7 0.2 -0.4 US20 -0.6 -0.6 0.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.2 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.2 -0.3 -0.4 -0.5 -0.3 0.1 -0.4 0.7 0.7 US30 -0.6 -0.6 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.2 -0.3 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.2 -0.3 -0.5 -0.5 -0.0 -0.3 0.7 0.7 US5 -0.6 -0.6 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.1 0.0 -0.1 0.1 -0.2 0.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.6 -0.2 -0.5 -0.4 -0.1 0.1 -0.7 0.7 0.1 VIX 0.0 0.1 1.0 0.0 0.0 0.1 -0.0 -0.2 -0.0 -0.0 -0.3 -0.1 -0.6 -0.0 -0.1 -0.1 -0.6 -0.2 -0.5 0.0 0.0 -0.0 -0.3 -0.0 NaN 0.0 0.0 0.1 -0.0 -0.2 -0.0 NaN NaN NaN NaN NaN -1.0 -1.1 NaN NaN WHEAT -0.1 0.5 -0.1 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.3 -0.2 -0.6 0.0 0.0 -0.2 -0.3 -0.3 -0.3 -0.0 -0.1 -0.1 -0.4 -0.0 0.5 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -1.1 -0.5 -0.1 0.3 -0.3 -0.7 -0.6 -0.7 -0.5 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -20.0 -0.5 3.4 -1.6 -4.9 0.9 -7.1 1.3 -5.8 -15.6 7.1 -17.8 3.8 -14.3 1.6 -0.2 -1.9 -0.6 -1.2 -2.6 3.4 -17.5 2.8 -12.6 2.5 -1.0 -7.1 1.7 -8.1 1.6 -5.7 -0.0 -4.5 0.5 0.4 -3.2 6.9 -6.7 10.9 -1.5 BITCOIN 11.7 9.4 -9.0 5.4 7.1 1.8 7.4 -0.3 7.0 13.4 -2.0 17.3 10.1 19.9 9.7 -6.1 -6.7 -6.1 -6.4 10.4 4.1 17.6 10.5 19.0 -20.0 3.9 4.0 2.0 7.8 7.6 8.1 -2.1 13.1 5.2 -16.3 -5.6 3.1 -2.0 0.7 2.6 BOBL -19.3 -3.6 18.3 -0.7 -2.3 1.4 -3.2 1.2 -2.9 -3.9 4.8 -8.1 -0.9 -4.9 4.1 16.9 -7.0 6.0 -2.3 1.1 3.8 -4.1 1.3 -3.4 4.0 0.8 -0.8 2.4 -2.0 1.6 -1.5 -2.7 6.3 7.5 7.7 1.6 -20.0 -16.3 0.0 -2.1 BTP -9.6 1.7 8.5 -1.1 -3.8 2.3 -5.4 2.1 -4.8 -3.5 14.8 -3.8 16.3 7.8 14.1 7.3 4.8 5.9 4.8 10.1 12.3 0.9 11.7 5.2 -20.0 5.6 -0.2 6.5 0.6 6.2 3.0 14.6 19.2 20.0 20.0 9.1 -20.0 -12.3 4.4 10.3 BUND -17.1 -5.3 13.3 -0.8 -2.6 1.6 -3.7 1.4 -3.3 -5.2 5.4 -9.8 1.6 -7.7 4.0 -20.0 -5.4 -15.6 -10.1 -0.2 3.4 -6.9 1.8 -5.3 1.2 0.1 -2.6 2.4 -3.9 2.2 -2.9 -6.1 3.1 9.6 6.0 -1.7 -20.0 -17.3 -1.0 -1.1 BUXL -12.8 -6.6 9.5 -0.9 -3.0 1.8 -4.2 1.6 -3.7 -5.9 3.1 -10.7 0.7 -10.1 1.5 -0.0 -1.6 -0.4 -1.2 -3.1 0.4 -9.3 -0.7 -7.6 -2.1 -1.5 -3.9 1.1 -5.8 1.3 -4.4 4.0 -0.4 13.2 2.7 -7.6 -20.0 -20.0 -5.2 -6.1 CAC -3.3 6.7 -10.2 4.2 -6.6 5.8 -2.5 7.9 2.0 -15.5 -7.3 -15.2 0.1 -5.3 1.8 -5.5 -3.2 -5.6 -4.5 -2.9 -5.5 -6.8 -2.1 -3.0 -7.0 -1.3 -7.0 -2.8 -4.3 0.3 -1.3 4.4 -3.5 -9.6 -9.5 -20.0 6.6 5.4 -5.5 -1.7 CAD -20.0 -9.5 4.7 -2.1 -6.3 1.1 -9.2 1.7 -7.5 -20.0 -7.4 -20.0 -15.1 -20.0 -12.0 -5.5 -3.9 -5.0 -4.5 -16.9 -7.1 -20.0 -6.8 -20.0 -0.8 -5.1 -7.1 -1.8 -10.2 -1.6 -9.8 -4.5 -6.9 -15.5 -17.9 -11.7 2.7 -8.2 -1.3 -4.7 CANOLA 14.0 11.9 -5.1 0.1 -0.0 -1.7 -0.1 -2.4 0.6 8.4 -2.0 7.4 -7.2 7.9 1.1 -14.2 -11.5 -13.5 -13.2 3.7 -2.4 10.6 -7.2 8.1 -15.9 2.4 4.8 0.1 4.5 -2.2 3.9 -20.0 20.0 14.0 11.5 4.9 -5.0 -12.2 1.7 -7.9 CHF -20.0 -11.9 18.8 -1.5 -4.5 0.8 -6.5 1.2 -5.3 -15.0 6.3 -17.4 -1.2 -16.1 2.7 -14.7 -16.0 -14.9 -15.3 -5.5 4.6 -16.8 3.6 -17.6 4.8 -1.6 -2.9 2.1 -5.6 1.9 -5.8 -20.0 -4.9 -2.7 -11.8 14.0 -9.3 -12.3 -19.5 -12.5 COCOA 5.6 4.1 9.3 0.0 -0.0 -1.3 -0.1 -1.9 0.4 -6.3 1.5 -1.1 3.5 2.0 2.7 20.0 20.0 20.0 20.0 3.6 5.7 -3.6 10.8 2.0 -20.0 1.8 -4.2 3.5 -1.5 7.2 0.8 20.0 -3.8 0.1 3.6 8.0 20.0 17.2 20.0 20.0 COFFEE -15.3 -2.1 1.4 0.1 -0.1 -3.0 -0.2 -4.4 1.0 -13.7 13.2 -10.4 14.8 -1.7 5.8 2.2 5.3 3.1 4.1 5.7 13.5 -9.5 16.7 -2.8 -20.0 2.4 -8.1 6.5 -5.1 9.3 -1.8 4.7 -3.9 -19.6 0.9 20.0 -7.6 -7.4 1.8 -0.9 COPPER -10.2 14.6 -8.5 2.7 3.6 0.9 3.8 -0.2 3.5 -7.6 -2.6 -10.0 -0.0 1.1 2.1 -4.2 -3.2 -3.6 -3.1 2.4 2.4 -5.3 3.6 -1.2 -14.7 2.0 -1.0 1.9 -1.4 2.0 0.4 4.0 -20.0 -12.6 1.7 -2.6 18.8 9.9 15.3 20.0 CORN -6.1 9.9 -12.3 0.1 -0.1 -3.8 -0.3 -5.6 1.3 -0.1 -15.6 -10.3 -20.0 -3.1 -7.8 -10.5 -14.9 -14.4 -16.1 -9.5 -19.9 -6.7 -20.0 -8.6 -12.4 -5.7 3.1 -8.7 -3.9 -11.9 -5.5 -20.0 -13.4 -13.5 -4.3 -20.0 4.2 -3.5 8.5 0.5 COTTON2 -4.8 17.5 5.2 0.1 -0.1 -3.3 -0.2 -4.8 1.1 4.4 -14.7 -4.1 -15.5 5.9 5.1 -13.9 -5.6 -12.1 -9.3 1.1 -7.2 -0.5 -15.0 0.6 -20.0 0.9 0.5 -1.9 -0.3 -3.4 0.1 -16.1 0.2 -7.5 4.6 5.6 -15.1 -12.5 -8.2 -7.6 CRUDE_W 8.2 1.0 -15.9 -1.2 -0.2 -3.1 -0.3 -2.1 0.5 -6.4 -6.8 -3.1 -0.3 1.6 -6.4 5.0 11.3 8.3 10.2 -5.1 -7.2 -2.7 -3.2 -2.2 -1.5 -1.3 -0.7 -3.6 -1.3 -2.2 -0.3 10.0 1.0 -6.4 3.2 3.0 -3.0 9.1 -2.4 13.8 DAX 6.9 14.8 1.0 4.6 -7.3 6.4 -2.7 8.7 2.2 -9.6 15.7 7.9 17.8 15.9 18.0 -8.5 -10.0 -8.5 -9.0 19.4 16.2 6.8 16.7 17.2 10.2 6.2 -1.4 5.4 2.2 6.6 5.7 -5.8 17.2 17.6 13.7 2.2 18.0 7.6 4.9 1.9 DOW -1.4 14.0 10.5 4.0 -6.3 5.5 -2.3 7.5 1.9 -14.6 16.1 -0.3 17.0 12.9 16.3 -10.1 -10.6 -9.8 -10.1 19.0 19.7 -2.7 19.2 11.8 -13.7 6.0 -5.6 6.5 -0.9 6.7 3.6 -7.2 1.6 9.0 20.0 20.0 13.2 4.4 -7.9 -6.9 DX 20.0 14.7 -14.7 -1.8 -5.4 1.0 -7.9 1.4 -6.4 12.4 -4.1 19.7 4.3 19.4 2.4 6.1 6.6 6.0 6.3 13.6 -1.8 20.0 -2.7 20.0 -20.0 3.6 5.8 -0.6 8.8 -0.9 8.4 13.8 20.0 20.0 20.0 -20.0 1.0 8.5 0.4 11.7 EUR -20.0 -13.2 6.8 -2.0 -5.9 1.1 -8.5 1.5 -7.0 -13.9 1.1 -20.0 -3.3 -20.0 -8.6 -7.0 -7.1 -6.8 -6.8 -15.1 -1.4 -20.0 1.5 -20.0 20.0 -4.6 -4.7 0.1 -9.4 1.4 -9.5 -9.2 -13.0 -20.0 -20.0 2.7 -4.2 -19.9 -10.7 -20.0 EURIBOR-ICE -18.5 -3.1 20.0 -0.6 -2.0 1.2 -2.8 1.1 -2.5 -0.0 6.5 -1.7 5.5 0.7 6.4 5.6 -1.2 3.6 1.2 5.6 8.0 0.2 6.3 1.5 11.3 2.3 -0.0 3.2 0.1 2.6 0.6 6.5 12.9 10.8 13.1 9.0 -10.4 -17.9 7.0 5.0 EUROSTX -1.0 6.1 -8.8 4.0 -6.4 5.5 -2.4 7.6 1.9 -12.8 5.0 -12.2 11.9 4.0 7.8 -3.8 -3.2 -4.1 -4.0 3.1 2.9 -4.7 7.7 0.8 -2.6 1.7 -4.2 2.2 -2.9 6.4 0.5 4.5 -5.0 -2.9 -4.6 -14.0 5.9 2.0 -20.0 -8.7 FEEDCOW 20.0 20.0 -16.7 0.2 -0.1 -4.1 -0.3 -6.1 1.4 -3.3 -7.6 10.4 -13.2 19.1 1.1 19.3 -7.3 17.3 7.3 9.5 -10.1 8.8 -15.9 18.7 -10.2 2.3 0.7 -2.7 2.2 -3.6 4.7 -4.6 -5.8 20.0 20.0 -20.0 11.4 20.0 20.0 20.0 GASOIL 12.9 2.4 -17.8 -1.0 -0.2 -2.7 -0.2 -1.8 0.4 -5.1 -10.5 -6.2 -2.7 -0.7 -9.0 0.6 7.5 1.7 3.0 -6.9 -9.5 -3.2 -5.5 -3.6 3.5 -3.4 -0.6 -4.7 -1.6 -3.0 -1.8 0.1 -4.5 -7.5 -8.9 -7.7 -1.8 -9.3 0.6 -14.6 GASOLINE 12.7 5.8 -14.2 -1.0 -0.2 -2.7 -0.2 -1.8 0.4 -8.3 -6.3 -2.9 -0.2 2.5 -3.1 5.1 20.0 17.7 20.0 -1.8 -4.1 -2.8 -1.3 -0.2 -19.9 1.2 -1.7 -0.8 -0.9 -0.0 1.4 20.0 -2.2 -0.8 10.1 8.8 2.6 12.0 7.5 20.0 GAS_US_mini -11.9 7.6 2.7 -1.5 -0.3 -3.8 -0.3 -2.6 0.6 10.7 -17.7 -10.2 -20.0 -11.1 -15.1 -20.0 -20.0 -20.0 -20.0 -10.3 -12.7 -6.7 -20.0 -12.1 20.0 -4.5 5.8 -4.4 -3.3 -6.6 -5.9 -20.0 5.4 -20.0 -2.1 1.3 -10.8 -20.0 -5.0 -17.7 GBP -20.0 -6.3 5.7 -1.9 -5.7 1.0 -8.2 1.5 -6.7 -10.5 12.2 -20.0 13.7 -18.1 2.6 0.5 -0.3 0.4 0.0 -0.7 10.3 -17.9 12.3 -14.5 -2.2 0.2 -4.9 5.1 -7.5 6.0 -5.8 2.4 2.6 -7.6 1.7 14.7 5.0 -20.0 10.9 -20.0 GOLD_micro 0.6 16.6 19.0 4.8 6.4 1.6 6.6 -0.3 6.2 13.4 20.0 17.4 20.0 19.8 20.0 -14.1 -13.5 -13.4 -13.0 20.0 20.0 20.0 20.0 20.0 -15.1 7.7 5.4 7.3 7.2 7.0 7.6 -13.4 20.0 18.0 20.0 20.0 20.0 -0.1 13.8 5.6 HEATOIL 15.2 3.4 -14.4 -1.0 -0.2 -2.7 -0.2 -1.8 0.4 -5.4 -10.7 -7.8 -6.5 -2.8 -8.8 -3.8 3.2 -4.8 -3.1 -6.0 -9.2 -3.1 -6.8 -3.0 -17.7 -1.3 -0.3 -3.8 -0.9 -3.2 -0.1 -9.0 -4.9 -2.0 2.5 -1.1 -5.7 3.7 -4.3 5.1 JGB-SGX-mini -20.0 0.0 17.6 -0.6 -2.2 1.3 -3.1 1.2 -2.7 -1.4 4.6 -8.7 3.1 -8.1 4.1 10.9 15.9 12.3 14.0 -0.0 3.5 -5.6 2.7 -5.6 -10.6 -0.2 -0.2 1.1 -2.4 0.3 -2.5 20.0 3.1 0.8 2.7 -0.0 -16.2 -7.7 -18.0 -1.7 JPY -20.0 -14.2 20.0 -0.7 -2.2 0.4 -3.1 0.6 -2.6 -5.4 1.5 -8.1 -3.3 -8.2 0.3 -10.3 -14.1 -11.2 -12.4 -5.0 -0.3 -11.3 -2.7 -11.1 20.0 -1.2 -2.4 0.1 -3.1 -0.8 -3.0 -20.0 -4.5 -5.2 -6.9 8.8 -20.0 -20.0 -20.0 -20.0 LEANHOG 11.2 20.0 13.6 0.2 -0.1 -4.4 -0.3 -6.5 1.5 18.9 0.2 20.0 -3.8 20.0 20.0 -4.9 20.0 20.0 20.0 20.0 10.3 20.0 -6.6 20.0 3.5 7.7 6.5 3.3 8.5 -0.8 9.1 20.0 20.0 20.0 20.0 20.0 -0.6 -5.2 4.5 1.1 LIVECOW 11.7 20.0 2.9 0.2 -0.1 -4.6 -0.3 -6.7 1.6 20.0 19.5 20.0 14.4 20.0 20.0 0.5 8.3 4.3 7.9 20.0 20.0 20.0 16.9 20.0 -20.0 6.9 7.7 5.0 6.3 5.0 7.5 11.3 17.6 20.0 20.0 16.6 -4.1 20.0 3.9 20.0 LUMBER-new 6.2 9.8 5.7 0.1 -0.1 -3.3 -0.2 -4.6 1.1 -8.7 -9.2 4.8 -11.3 13.0 14.0 -19.4 -18.1 -18.7 -18.3 5.1 -3.2 0.4 -11.1 5.5 NaN 4.0 -2.1 -0.8 -0.1 -5.8 3.5 -20.0 0.1 7.0 7.3 18.5 4.7 0.8 9.9 5.0 MILK -20.0 -3.7 17.3 0.1 -0.1 -2.4 -0.2 -3.5 0.8 -11.9 11.0 -10.2 8.7 -7.4 5.4 20.0 -2.8 20.0 12.9 4.7 12.6 -10.2 10.0 -4.6 13.6 1.6 -6.1 4.7 -4.2 3.5 -2.0 2.9 -5.6 -13.4 -0.9 18.9 -1.9 -20.0 4.8 -20.0 MXP 0.4 3.4 -20.0 -1.2 -3.5 0.6 -5.0 0.9 -4.1 -7.9 -11.0 -9.8 -8.1 -4.1 -9.4 11.5 13.4 11.0 11.6 -9.6 -13.2 -7.8 -8.9 -7.5 -20.0 -4.0 -1.3 -5.5 -3.5 -3.5 -3.3 20.0 -2.2 13.6 1.4 -19.8 13.7 16.1 19.5 20.0 NASDAQ_micro 7.0 14.0 -2.3 3.2 -5.1 4.4 -1.9 6.1 1.5 -6.7 7.0 4.6 10.6 12.2 7.2 -8.8 -9.6 -8.4 -8.9 10.5 10.7 3.3 15.1 9.2 -20.0 4.3 -1.3 5.0 1.0 7.4 3.3 -5.3 1.1 4.6 12.2 -4.2 6.2 3.8 -9.6 -2.8 NIKKEI 6.6 7.9 -17.0 1.9 -3.0 2.6 -1.1 3.6 0.9 -7.7 2.9 -2.9 3.9 4.2 3.4 1.3 7.5 3.3 5.4 2.5 1.8 -3.9 3.7 1.4 -6.5 -0.4 -3.2 -0.8 -1.7 1.3 -0.1 20.0 -6.5 1.4 -0.4 -14.1 16.8 4.7 17.2 5.1 NZD -20.0 -4.9 4.9 -1.2 -3.5 0.6 -5.1 0.9 -4.2 -10.4 2.5 -13.3 1.8 -11.9 -0.1 -0.6 -0.0 -0.3 -0.2 -4.5 0.8 -13.8 1.1 -12.2 0.6 -1.4 -3.9 0.5 -5.3 0.6 -4.5 2.5 0.5 -5.3 -2.7 -4.4 2.8 -8.0 4.6 -1.7 OAT -11.4 -3.8 10.9 -0.8 -2.7 1.6 -3.8 1.4 -3.3 -5.1 2.5 -8.1 -0.8 -7.9 4.1 7.8 4.7 6.0 4.7 -0.7 1.1 -3.9 -0.4 -3.4 3.5 -0.0 -1.4 1.4 -2.3 1.0 -1.9 14.4 8.9 15.5 6.3 -2.8 -11.2 -13.8 7.4 4.7 OATIES -6.6 20.0 14.8 0.1 -0.1 -3.6 -0.3 -5.3 1.2 0.1 0.9 -3.7 -13.2 13.4 14.5 3.6 2.8 3.9 3.9 20.0 11.5 -0.5 -3.7 11.4 -20.0 4.9 -1.6 3.0 -0.4 -0.2 2.7 2.1 -1.9 8.5 20.0 20.0 19.4 2.7 20.0 12.7 OJ -1.4 -0.9 2.8 0.1 -0.1 -3.1 -0.2 -4.6 1.1 10.7 15.3 10.5 16.4 8.2 11.8 10.7 12.0 11.2 10.9 12.5 19.0 7.7 20.0 8.1 -20.0 5.2 4.6 8.5 3.3 13.9 3.3 15.6 20.0 4.1 10.0 20.0 14.3 13.5 20.0 20.0 PALLAD 0.9 14.9 18.6 2.3 3.0 0.8 3.1 -0.1 2.9 8.1 3.5 7.3 -4.8 5.5 5.7 -2.2 -2.0 -2.0 -1.9 5.3 2.7 9.4 -2.5 6.5 15.8 2.7 7.2 1.4 4.5 -0.8 3.2 5.9 -3.0 1.8 1.2 5.5 -11.4 -20.0 -20.0 -20.0 PLAT 3.9 11.5 -1.9 3.3 4.4 1.1 4.6 -0.2 4.3 10.5 -3.1 11.8 -2.7 12.0 4.9 -4.1 -4.4 -4.3 -4.5 5.7 2.3 12.3 0.4 9.6 5.5 3.2 6.1 0.9 6.3 -0.1 5.1 1.6 3.4 1.5 -3.0 -5.1 1.7 -7.8 -9.7 -1.0 REDWHEAT 2.4 15.8 -1.4 0.1 -0.1 -3.7 -0.3 -5.4 1.3 -9.8 -13.0 -9.2 -17.7 3.6 4.4 -10.8 -7.2 -10.6 -9.5 0.8 -7.0 -5.1 -16.8 0.1 -5.2 0.2 -1.3 -3.5 -2.9 -7.2 -0.1 -18.0 -17.0 8.6 11.4 -7.4 -20.0 -20.0 -20.0 -20.0 RICE -6.8 -0.6 -4.1 0.1 -0.1 -4.0 -0.3 -5.9 1.4 -16.8 11.3 -17.5 13.9 -10.5 -0.7 -9.4 20.0 -1.8 15.0 -4.2 0.3 -8.6 8.3 -7.3 -15.6 -3.9 -6.6 -0.6 -6.3 3.0 -5.9 20.0 -4.1 -9.4 -9.8 2.6 -20.0 -20.0 -20.0 -20.0 ROBUSTA -20.0 -7.4 1.1 0.1 -0.0 -1.7 -0.1 -2.5 0.6 -8.4 7.4 -9.2 8.8 -5.7 3.5 18.4 20.0 20.0 20.0 3.8 13.2 -14.6 17.6 -7.8 -20.0 0.9 -4.1 4.0 -3.9 6.6 -2.2 20.0 -14.4 -20.0 -0.7 20.0 12.3 -1.2 20.0 5.0 RUSSELL 1.2 7.0 5.2 3.7 -5.9 5.2 -2.2 7.0 1.8 -11.9 9.3 -2.3 12.7 8.6 9.1 -6.4 -6.4 -6.0 -6.1 8.5 9.7 -3.3 10.0 5.1 -0.2 5.0 -5.5 6.4 -1.4 6.6 2.6 0.0 11.0 1.5 7.6 20.0 0.0 -13.4 -15.4 -20.0 SHATZ -19.8 -0.6 20.0 -0.5 -1.8 1.1 -2.6 1.0 -2.3 3.3 4.9 -3.1 -0.3 -0.8 4.9 -20.0 -20.0 -20.0 -20.0 3.9 5.4 0.7 1.0 0.4 6.1 1.8 1.2 2.5 0.3 1.1 0.2 -20.0 11.1 8.1 10.6 6.4 -18.0 -16.4 -4.7 -7.5 SILVER-mini 5.3 14.2 -2.4 3.2 4.2 1.1 4.4 -0.2 4.1 5.4 10.3 8.9 9.3 11.5 11.2 -6.2 -6.4 -6.3 -6.2 12.7 9.7 18.0 8.7 16.4 1.7 4.2 4.0 2.9 5.9 2.5 5.4 -1.6 16.5 11.7 8.9 6.3 6.2 -2.0 -3.6 9.8 SMI 4.1 -4.2 -6.4 4.4 -7.0 6.0 -2.6 8.3 2.1 -13.6 11.9 2.8 15.9 -0.0 7.6 0.9 0.2 -0.3 -0.7 4.2 8.2 0.6 14.2 4.7 11.8 4.4 -5.0 8.4 0.4 12.1 3.1 10.2 13.4 5.5 -13.5 5.2 -3.7 1.8 -20.0 -5.9 SOFR -20.0 -20.0 15.0 -0.9 -3.2 1.9 -4.5 1.7 -4.0 -10.4 7.3 -14.1 7.7 -14.1 -1.1 2.2 0.2 1.9 1.0 -8.8 4.5 -20.0 6.3 -20.0 -6.2 -3.0 -4.8 0.5 -6.1 1.7 -5.9 7.5 -14.6 -16.9 -16.6 -6.9 4.0 -12.7 20.0 13.6 SOYBEAN -14.2 4.6 -18.3 0.1 -0.1 -2.7 -0.2 -4.0 0.9 -2.8 -11.1 -10.7 -12.5 -7.8 -8.8 -2.1 0.7 -3.9 -3.4 -11.5 -17.2 -11.2 -20.0 -12.1 -20.0 -4.5 -0.5 -5.7 -4.1 -6.1 -4.8 -6.4 -15.4 -20.0 -5.7 -20.0 2.8 -11.1 9.4 -6.4 SOYMEAL -17.7 6.2 -2.4 0.1 -0.1 -2.2 -0.2 -3.2 0.8 -10.1 -7.7 -11.8 -10.1 -8.7 -3.8 -1.0 2.6 -1.6 -0.5 -5.2 -6.8 -9.0 -9.8 -8.1 -20.0 -2.3 -3.1 -2.6 -3.9 -3.1 -3.4 -2.1 -4.3 -8.9 -1.9 -6.9 -20.0 -20.0 -20.0 -20.0 SOYOIL 3.5 14.5 -1.6 0.1 -0.0 -1.7 -0.1 -2.5 0.6 7.2 -4.1 1.1 -8.1 4.2 -2.1 -1.1 1.0 0.3 0.5 1.7 -2.5 4.4 -6.6 3.1 -19.1 1.3 4.2 -0.5 2.0 -2.2 1.6 -2.8 4.8 2.3 8.3 0.1 1.2 -7.4 10.2 -2.1 SP400 4.4 12.3 5.5 4.3 -6.8 5.9 -2.5 8.1 2.0 -14.6 13.8 -0.8 16.7 13.6 14.8 -7.6 -6.2 -6.8 -6.4 14.0 13.6 -2.9 14.6 9.9 -13.6 6.1 -6.1 6.8 -1.2 7.2 3.6 -0.0 8.1 5.7 14.8 20.0 7.1 -6.3 -10.3 -20.0 SP500_micro 6.3 17.3 3.1 4.4 -6.9 6.0 -2.6 8.2 2.1 -13.8 18.4 8.3 19.1 17.2 18.7 -10.9 -11.6 -10.6 -11.0 20.0 20.0 5.2 20.0 17.3 -20.0 6.7 -3.0 7.7 1.3 9.5 5.0 -8.9 8.7 12.5 20.0 10.7 10.9 3.6 -9.2 -4.7 SUGAR11 -11.8 20.0 16.6 0.1 -0.1 -2.7 -0.2 -4.0 0.9 -3.5 5.4 -9.8 -6.3 7.3 9.3 20.0 14.2 20.0 17.9 13.1 8.7 -3.0 0.3 5.0 -20.0 3.3 -0.1 2.1 -0.8 -0.1 1.2 20.0 1.9 -12.7 20.0 18.9 -17.9 6.7 -16.1 10.0 US10 -20.0 -20.0 16.1 -0.7 -2.4 1.4 -3.4 1.3 -3.0 -7.8 4.3 -10.6 3.6 -10.5 -2.0 -5.5 -7.2 -6.3 -6.7 -7.5 1.8 -16.9 2.1 -16.5 1.7 -2.3 -3.0 0.2 -4.3 0.9 -4.4 -5.3 -9.7 -14.5 -12.5 -6.1 0.1 -20.0 20.0 8.1 US10U -20.0 -19.3 14.8 -1.0 -3.4 2.1 -4.8 1.9 -4.3 -11.0 5.6 -15.1 3.9 -15.1 -3.3 -4.6 -3.5 -4.5 -4.2 -10.7 1.7 -20.0 1.9 -20.0 -1.3 -3.5 -4.2 0.0 -6.3 1.0 -6.4 -0.2 -13.9 -17.9 -17.7 -11.6 0.8 -18.9 20.0 18.7 US2 -20.0 -17.2 20.0 -0.5 -1.8 1.1 -2.6 1.0 -2.3 -6.6 3.1 -8.3 1.1 -7.9 -0.0 -20.0 -20.0 -20.0 -20.0 -4.6 2.3 -12.1 0.7 -12.1 11.7 -1.1 -2.0 0.7 -2.9 0.7 -2.9 -20.0 -4.5 -13.5 -5.7 2.7 -1.8 -20.0 5.7 -10.5 US20 -20.0 -20.0 11.6 -0.7 -2.5 1.5 -3.5 1.3 -3.1 -7.6 3.5 -10.9 4.3 -11.1 -3.4 -2.4 -1.3 -2.1 -1.6 -8.4 0.7 -16.7 1.6 -16.8 -3.1 -2.7 -2.7 -0.1 -4.5 0.9 -4.7 4.3 -10.5 -12.4 -14.3 -10.7 1.6 -11.4 20.0 20.0 US30 -20.0 -18.2 10.0 -0.8 -2.8 1.7 -4.0 1.5 -3.5 -8.7 2.7 -12.1 2.3 -12.4 -4.9 -2.0 -4.8 -3.8 -4.4 -9.2 -0.5 -16.8 -0.1 -17.2 -2.1 -3.2 -2.9 -0.4 -4.9 0.6 -5.3 -1.3 -9.7 -10.0 -14.4 -14.1 -1.3 -10.0 20.0 20.0 US5 -20.0 -20.0 19.0 -0.7 -2.3 1.4 -3.3 1.3 -2.9 -8.0 4.2 -10.4 2.5 -10.3 -1.4 -7.6 -10.4 -9.3 -9.9 -7.2 2.0 -16.4 2.0 -16.1 5.5 -2.0 -2.9 0.4 -4.0 0.9 -4.1 -10.9 -8.2 -15.6 -11.1 -3.1 2.4 -20.0 20.0 2.4 VIX 0.2 1.8 20.0 1.8 1.3 1.5 -0.7 -2.8 -0.2 -0.1 -7.4 -7.0 -10.5 -0.1 -7.0 -3.0 -20.0 -6.8 -16.6 1.9 0.8 -1.5 -6.6 -0.4 NaN 1.9 1.5 1.7 -0.8 -3.4 -0.3 NaN NaN NaN NaN NaN -19.0 -20.0 NaN NaN WHEAT -3.4 16.7 -3.2 0.1 -0.1 -3.6 -0.3 -5.3 1.2 -11.9 -11.3 -15.0 -15.5 2.4 3.4 -10.7 -14.4 -12.9 -14.0 -0.5 -6.9 -10.3 -15.7 -3.9 4.0 -1.0 -3.1 -3.3 -5.8 -5.9 -2.8 -20.0 -20.0 -3.9 9.3 -9.3 -20.0 -17.8 -20.0 -15.6 End of report for caleb_strategy_v3