******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241025_203924 produced at 2024-10-25 21:38:09.314412 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.81 0.0 0.00 0.00 0.00 0.00 -9.38 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 -5.96 29.0 -3 -3 caleb_strategy_v3 US2 False True 0.07 0.00 -0.14 0.0 0.00 0.00 0.00 0.00 -1.91 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.05 -0.09 0.0 999.00 -999.00 -0.05 -0.05 -12.94 999999999.0 -7 -7 caleb_strategy_v3 EUR False False 0.05 -0.15 -0.09 0.0 0.68 -0.68 -0.15 -0.15 -1.79 14.0 -3 -3 caleb_strategy_v3 CHF False False 0.05 -0.16 -0.09 0.0 0.67 -0.67 -0.16 -0.16 -1.77 13.0 -3 -3 caleb_strategy_v3 CORN False False 0.01 -0.06 -0.07 0.0 0.09 -0.09 -0.06 -0.06 -8.56 12.0 -7 -7 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 MXP False False 0.01 -0.05 -0.07 0.0 0.53 -0.53 -0.05 -0.05 -7.62 60.0 -6 -6 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.04 -0.06 0.0 0.07 -0.07 -0.04 -0.04 -21.58 26.0 -16 -16 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.05 0.0 0.96 -0.96 -0.04 -0.04 -1.33 25.0 -1 -1 caleb_strategy_v3 CAC True False 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.39 12.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.04 0.0 0.50 -0.50 -0.03 -0.03 -1.29 17.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.04 0.0 0.67 -0.67 0.00 0.00 -0.90 17.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.04 0.0 0.14 -0.14 -0.05 -0.05 -2.82 11.0 -4 -4 caleb_strategy_v3 RICE False True 0.01 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -3.60 4.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.03 -0.03 0.0 0.54 -0.54 -0.03 -0.03 -0.96 16.0 -1 -1 caleb_strategy_v3 COPPER False False 0.04 0.00 -0.03 0.0 999.00 -999.00 0.00 0.00 -0.64 999999999.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.03 0.0 0.10 -0.10 -0.03 -0.03 -0.95 3.0 -1 -1 caleb_strategy_v3 SOYBEAN False False 0.02 -0.06 -0.03 0.0 0.13 -0.13 -0.06 -0.06 -1.43 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 -0.75 13.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.02 0.0 0.08 -0.08 0.00 0.00 -1.74 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 -1.72 9.0 -2 -2 caleb_strategy_v3 NZD False False 0.02 0.00 -0.02 0.0 0.45 -0.45 0.00 0.00 -1.14 21.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.02 0.0 0.45 -0.45 0.00 0.00 -0.71 19.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.10 -0.10 -0.03 -0.03 -1.88 9.0 -3 -3 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -0.68 4.0 -1 -1 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.17 -0.17 -0.01 -0.01 -5.05 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 -0.37 10.0 0 0 caleb_strategy_v3 GBP False False 0.03 -0.03 -0.01 0.0 0.64 -0.64 -0.03 -0.03 -0.40 22.0 -1 -1 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -4.11 59.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.13 -0.01 0.0 0.27 -0.27 -0.13 -0.13 -0.29 6.0 -3 -3 caleb_strategy_v3 EUROSTX False False 0.02 0.00 -0.01 0.0 0.38 -0.38 0.00 0.00 -0.43 20.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.35 9.0 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 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 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.36 10.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.02 0.00 0.0 0.15 -0.15 0.02 0.02 0.49 18.0 2 2 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.00 0.0 0.36 -0.36 0.00 0.00 0.08 23.0 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 -0.76 3.0 -2 -2 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.00 0.0 0.87 -0.87 0.00 0.00 -0.06 19.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 0.00 0.0 0.34 -0.34 0.00 0.00 0.20 23.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.02 0.01 0.0 0.59 -0.59 0.02 0.02 0.50 26.0 1 1 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.01 0.0 0.27 -0.27 0.00 0.00 3.70 68.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.29 999999999.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.00 0.01 0.0 0.12 -0.12 0.00 0.00 0.52 5.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.02 0.01 0.0 0.18 -0.18 0.02 0.02 0.46 10.0 1 1 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.01 0.0 0.09 -0.09 0.00 0.00 0.25 2.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.01 0.01 0.0 0.07 -0.07 0.01 0.01 0.65 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 1.63 2.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.02 0.0 0.50 -0.50 0.00 0.00 3.06 66.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.22 0.02 0.0 0.22 -0.22 0.22 0.22 0.15 2.0 2 2 caleb_strategy_v3 SILVER-mini False False 0.03 0.03 0.02 0.0 999.00 -999.00 0.03 0.03 0.82 999999999.0 1 1 caleb_strategy_v3 OAT False False 0.05 0.15 0.03 0.0 0.48 -0.48 0.15 0.15 0.71 10.0 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 3.09 48.0 0 0 caleb_strategy_v3 OJ False False 0.03 0.03 0.03 0.0 0.08 -0.08 0.03 0.03 1.06 3.0 1 1 caleb_strategy_v3 FEEDCOW False False 0.04 0.13 0.03 0.0 0.35 -0.35 0.13 0.13 0.66 8.0 3 3 caleb_strategy_v3 NIKKEI False False 0.01 0.04 0.04 0.0 0.32 -0.32 0.04 0.04 4.95 36.0 4 4 caleb_strategy_v3 BTP False False 0.05 0.00 0.04 0.0 0.47 -0.47 0.00 0.00 0.93 10.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 0.05 0.0 999.00 -999.00 0.00 0.00 1.45 999999999.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 0.06 0.0 0.00 0.00 0.00 0.00 1.29 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 9.06 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 14.53 58.0 9 9 caleb_strategy_v3 LEANHOG False False 0.01 0.10 0.12 0.0 0.15 -0.15 0.10 0.10 10.20 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 4.47 17.0 1 1 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.81 0.0 0.95 -0.95 0.00 0.00 8.51 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.0 Shocked risk 21.8 Sum abs risk 33.7 Leverage 3.98 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2798051.7, 'annual_cash_vol_target': 699512.925, 'daily_cash_vol_target': 43719.5578125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0039 0.6611 0.5951 9.5216 BITCOIN 1504.8531 67765.0000 2.2207 35.5311 BOBL 0.2643 118.9300 0.2222 3.5558 BTP 0.5787 120.8600 0.4788 7.6613 BUND 0.5132 132.9000 0.3861 6.1782 BUXL 1.2929 132.1000 0.9787 15.6600 CAC 61.2579 7492.0000 0.8176 13.0823 CAD 0.0024 0.7215 0.3364 5.3823 CANOLA 7.6342 656.5000 1.1629 18.6057 CHF 0.0048 1.1607 0.4117 6.5864 COCOA 145.5028 6328.0000 2.2993 36.7896 COFFEE 4.5515 246.7000 1.8449 29.5191 COPPER 0.0545 4.3690 1.2464 19.9431 CORN 4.2427 441.0000 0.9621 15.3929 COTTON2 0.9477 72.8800 1.3004 20.8065 CRUDE_W 1.1338 68.8000 1.6480 26.3683 DAX 129.8260 19530.0000 0.6648 10.6360 DOW 253.6313 42376.0000 0.5985 9.5764 DX 0.3565 104.1100 0.3424 5.4789 EUR 0.0042 1.0825 0.3899 6.2390 EURIBOR-ICE 0.0462 97.9200 0.0472 0.7545 EUROSTX 41.6482 4944.0000 0.8424 13.4784 FEEDCOW 1.5787 243.9250 0.6472 10.3553 GASOIL 12.3189 676.2500 1.8216 29.1463 GASOLINE 0.0392 2.0202 1.9386 31.0174 GAS_US_mini 0.0850 3.0600 2.7767 44.4279 GBP 0.0062 1.2966 0.4744 7.5898 GOLD_micro 17.3107 2754.8000 0.6284 10.0541 HEATOIL 0.0412 2.2641 1.8201 29.1212 JGB-SGX-mini 0.2222 144.1700 0.1541 2.4657 JPY 0.0000 0.0066 0.7425 11.8796 LEANHOG 0.9537 83.2750 1.1453 18.3245 LIVECOW 1.0090 189.8250 0.5316 8.5050 LUMBER-new 7.0352 553.0000 1.2722 20.3549 MILK 0.2681 19.9900 1.3410 21.4559 MXP 0.0004 0.0496 0.8158 13.0528 NASDAQ_micro 158.6355 20543.2500 0.7722 12.3552 NIKKEI 503.6354 38090.0000 1.3222 21.1556 NZD 0.0039 0.5981 0.6554 10.4871 OAT 0.5349 125.3100 0.4268 6.8293 OATIES 5.2255 379.2500 1.3779 22.0457 OJ 7.6870 493.4500 1.5578 24.9249 PALLAD 29.7929 1201.0000 2.4807 39.6908 PLAT 14.9443 1033.3000 1.4463 23.1403 REDWHEAT 9.5601 587.0000 1.6286 26.0581 RICE 0.1248 15.0550 0.8289 13.2620 ROBUSTA 82.5623 4413.0000 1.8709 29.9342 RUSSELL 21.2360 2224.0000 0.9549 15.2777 SHATZ 0.0907 106.8550 0.0849 1.3576 SILVER-mini 0.5612 33.9500 1.6530 26.4488 SMI 75.2675 12183.0000 0.6178 9.8849 SOFR 0.0566 96.4200 0.0587 0.9392 SOYBEAN 9.8519 1032.2500 0.9544 15.2706 SOYMEAL 4.0975 308.6000 1.3278 21.2445 SOYOIL 0.7158 44.2800 1.6166 25.8662 SP400 22.5753 3129.6000 0.7213 11.5416 SP500_micro 33.3354 5856.5000 0.5692 9.1073 SUGAR11 0.3118 20.4200 1.5271 24.4338 US10 0.3687 111.0000 0.3322 5.3149 US10U 0.4979 114.1875 0.4360 6.9762 US2 0.1070 103.1211 0.1037 1.6595 US20 0.7471 118.1875 0.6321 10.1141 US30 1.1364 125.0312 0.9089 14.5421 US5 0.2436 107.6406 0.2263 3.6213 VIX 0.5697 18.9000 3.0142 48.2265 WHEAT 8.4087 629.5000 1.3358 21.3724 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 661.10 0.60 393.42 1.00 393.42 43719.56 111.13 -2.48 -27.55 BITCOIN 67.76 2.22 150.49 1.00 150.49 43719.56 290.52 -1.31 -37.97 BOBL 1189.30 0.22 264.31 1.08 285.15 43719.56 153.32 -0.36 -5.56 BTP 1208.60 0.48 578.72 1.08 624.35 43719.56 70.02 3.89 27.25 BUND 1329.00 0.39 513.18 1.08 553.64 43719.56 78.97 -4.60 -36.33 BUXL 1321.00 0.98 1292.93 1.08 1394.87 43719.56 31.34 -4.54 -14.23 CAC 749.20 0.82 612.58 1.08 660.88 43719.56 66.15 -6.15 -40.68 CAD 721.50 0.34 242.71 1.00 242.71 43719.56 180.13 -12.76 -229.84 CANOLA 131.30 1.16 152.68 0.72 110.46 43719.56 395.81 -5.24 -207.53 CHF 1450.88 0.41 597.25 1.00 597.25 43719.56 73.20 -9.30 -68.06 COCOA 632.80 2.30 1455.03 1.00 1455.03 43719.56 30.05 7.80 23.45 COFFEE 925.12 1.84 1706.80 1.00 1706.80 43719.56 25.61 -3.27 -8.37 COPPER 1092.25 1.25 1361.43 1.00 1361.43 43719.56 32.11 -1.85 -5.93 CORN 220.50 0.96 212.13 1.00 212.13 43719.56 206.09 -17.06 -351.68 COTTON2 364.40 1.30 473.87 1.00 473.87 43719.56 92.26 -14.28 -131.75 CRUDE_W 688.00 1.65 1133.84 1.00 1133.84 43719.56 38.56 1.25 4.82 DAX 195.30 0.66 129.83 1.08 140.06 43719.56 312.14 13.65 426.10 DOW 211.88 0.60 126.82 1.00 126.82 43719.56 344.75 3.81 131.49 DX 1041.10 0.34 356.51 1.00 356.51 43719.56 122.63 4.55 55.80 EUR 1353.12 0.39 527.63 1.00 527.63 43719.56 82.86 -8.32 -68.95 EURIBOR-ICE 2448.00 0.05 115.44 1.08 124.54 43719.56 351.04 7.11 249.52 EUROSTX 494.40 0.84 416.48 1.08 449.32 43719.56 97.30 -1.31 -12.74 FEEDCOW 1219.62 0.65 789.35 1.00 789.35 43719.56 55.39 3.58 19.80 GASOIL 676.25 1.82 1231.89 1.00 1231.89 43719.56 35.49 -4.41 -15.66 GASOLINE 848.48 1.94 1644.86 1.00 1644.86 43719.56 26.58 2.49 6.63 GAS_US_mini 76.50 2.78 212.42 1.00 212.42 43719.56 205.82 -9.68 -199.25 GBP 810.38 0.47 384.41 1.00 384.41 43719.56 113.73 -1.36 -15.50 GOLD_micro 275.48 0.63 173.11 1.00 173.11 43719.56 252.56 10.51 265.52 HEATOIL 950.92 1.82 1730.75 1.00 1730.75 43719.56 25.26 -8.66 -21.88 JGB-SGX-mini 144170.00 0.15 22217.65 0.01 145.84 43719.56 299.77 -0.30 -8.90 JPY 826.50 0.74 613.66 1.00 613.66 43719.56 71.24 -6.97 -49.67 LEANHOG 333.10 1.15 381.49 1.00 381.49 43719.56 114.60 14.65 167.84 LIVECOW 759.30 0.53 403.62 1.00 403.62 43719.56 108.32 12.44 134.79 LUMBER-new 152.08 1.27 193.47 1.00 193.47 43719.56 225.98 -1.58 -35.60 MILK 399.80 1.34 536.13 1.00 536.13 43719.56 81.55 3.70 30.15 MXP 248.05 0.82 202.36 1.00 202.36 43719.56 216.05 -2.40 -51.93 NASDAQ_micro 410.86 0.77 317.27 1.00 317.27 43719.56 137.80 0.62 8.54 NIKKEI 38090.00 1.32 50363.54 0.01 330.60 43719.56 132.24 3.46 45.71 NZD 598.10 0.66 392.02 1.00 392.02 43719.56 111.52 -3.95 -44.01 OAT 1253.10 0.43 534.86 1.08 577.03 43719.56 75.77 2.75 20.84 OATIES 189.62 1.38 261.28 1.00 261.28 43719.56 167.33 4.02 67.20 OJ 740.18 1.56 1153.05 1.00 1153.05 43719.56 37.92 13.09 49.61 PALLAD 1201.00 2.48 2979.29 1.00 2979.29 43719.56 14.67 5.06 7.43 PLAT 516.65 1.45 747.21 1.00 747.21 43719.56 58.51 2.29 13.42 REDWHEAT 293.50 1.63 478.00 1.00 478.00 43719.56 91.46 -14.35 -131.22 RICE 301.10 0.83 249.57 1.00 249.57 43719.56 175.18 -8.44 -147.92 ROBUSTA 441.30 1.87 825.62 1.00 825.62 43719.56 52.95 1.37 7.27 RUSSELL 111.20 0.95 106.18 1.00 106.18 43719.56 411.75 2.71 111.65 SHATZ 1068.55 0.08 90.67 1.08 97.82 43719.56 446.94 -3.79 -169.25 SILVER-mini 848.75 1.65 1403.02 1.00 1403.02 43719.56 31.16 7.71 24.01 SMI 1218.30 0.62 752.67 1.16 869.41 43719.56 50.29 7.50 37.72 SOFR 2410.50 0.06 141.50 1.00 141.50 43719.56 308.97 -4.99 -154.27 SOYBEAN 516.12 0.95 492.60 1.00 492.60 43719.56 88.75 -17.31 -153.62 SOYMEAL 308.60 1.33 409.75 1.00 409.75 43719.56 106.70 -17.30 -184.64 SOYOIL 265.68 1.62 429.51 1.00 429.51 43719.56 101.79 -3.84 -39.07 SP400 3129.60 0.72 2257.53 1.00 2257.53 43719.56 19.37 2.35 4.55 SP500_micro 292.82 0.57 166.68 1.00 166.68 43719.56 262.30 5.08 133.15 SUGAR11 228.70 1.53 349.26 1.00 349.26 43719.56 125.18 1.85 23.20 US10 1110.00 0.33 368.72 1.00 368.72 43719.56 118.57 -6.00 -71.18 US10U 1141.88 0.44 497.87 1.00 497.87 43719.56 87.81 -6.78 -59.53 US2 2062.42 0.10 213.91 1.00 213.91 43719.56 204.38 -7.36 -150.53 US20 1181.88 0.63 747.10 1.00 747.10 43719.56 58.52 -4.66 -27.27 US30 1250.31 0.91 1136.38 1.00 1136.38 43719.56 38.47 -5.88 -22.64 US5 1076.41 0.23 243.63 1.00 243.63 43719.56 179.45 -5.87 -105.28 VIX 189.00 3.01 569.68 1.00 569.68 43719.56 76.74 -6.83 -52.42 WHEAT 314.75 1.34 420.43 1.00 420.43 43719.56 103.99 -13.61 -141.57 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -27.547 0.010 2.5 -0.715 BITCOIN -37.966 0.043 2.5 -4.111 BOBL -5.555 0.004 2.5 -0.056 BTP 27.253 0.014 2.5 0.930 BUND -36.327 0.004 2.5 -0.368 BUXL -14.228 0.004 2.5 -0.144 CAC -40.684 0.014 2.5 -1.388 CAD -229.844 0.010 2.5 -5.963 CANOLA -207.531 0.010 2.5 -5.049 CHF -68.063 0.010 2.5 -1.766 COCOA 23.452 0.009 2.5 0.502 COFFEE -8.375 0.005 2.5 -0.098 COPPER -5.929 0.043 2.5 -0.642 CORN -351.685 0.010 2.5 -8.556 COTTON2 -131.752 0.009 2.5 -2.822 CRUDE_W 4.818 0.043 2.5 0.522 DAX 426.101 0.014 2.5 14.534 DOW 131.492 0.009 2.5 3.056 DX 55.802 0.010 2.5 1.448 EUR -68.947 0.010 2.5 -1.789 EURIBOR-ICE 249.522 0.014 2.5 8.511 EUROSTX -12.736 0.014 2.5 -0.434 FEEDCOW 19.804 0.013 2.5 0.656 GASOIL -15.656 0.017 2.5 -0.679 GASOLINE 6.631 0.017 2.5 0.287 GAS_US_mini -199.247 0.043 2.5 -21.576 GBP -15.501 0.010 2.5 -0.402 GOLD_micro 265.519 0.014 2.5 9.056 HEATOIL -21.877 0.017 2.5 -0.948 JGB-SGX-mini -8.901 0.043 2.5 -0.964 JPY -49.670 0.010 2.5 -1.289 LEANHOG 167.836 0.024 2.5 10.200 LIVECOW 134.786 0.013 2.5 4.466 LUMBER-new -35.597 0.009 2.5 -0.762 MILK 30.145 0.009 2.5 0.646 MXP -51.928 0.059 2.5 -7.622 NASDAQ_micro 8.535 0.009 2.5 0.198 NIKKEI 45.711 0.043 2.5 4.950 NZD -44.011 0.010 2.5 -1.142 OAT 20.840 0.014 2.5 0.711 OATIES 67.198 0.010 2.5 1.635 OJ 49.614 0.009 2.5 1.063 PALLAD 7.426 0.014 2.5 0.253 PLAT 13.421 0.014 2.5 0.458 REDWHEAT -131.220 0.005 2.5 -1.741 RICE -147.915 0.010 2.5 -3.599 ROBUSTA 7.266 0.005 2.5 0.085 RUSSELL 111.653 0.013 2.5 3.700 SHATZ -169.252 0.004 2.5 -1.716 SILVER-mini 24.013 0.014 2.5 0.819 SMI 37.717 0.014 2.5 1.286 SOFR -154.271 0.024 2.5 -9.376 SOYBEAN -153.616 0.004 2.5 -1.429 SOYMEAL -184.639 0.004 2.5 -1.717 SOYOIL -39.069 0.004 2.5 -0.364 SP400 4.550 0.013 2.5 0.151 SP500_micro 133.154 0.009 2.5 3.094 SUGAR11 23.199 0.009 2.5 0.493 US10 -71.182 0.005 2.5 -0.902 US10U -59.530 0.005 2.5 -0.754 US2 -150.526 0.005 2.5 -1.907 US20 -27.268 0.005 2.5 -0.346 US30 -22.641 0.005 2.5 -0.287 US5 -105.281 0.005 2.5 -1.334 VIX -52.416 0.099 2.5 -12.938 WHEAT -141.571 0.005 2.5 -1.878 ===================== Position diags ===================== AUD 2.88 BITCOIN 31.46 BOBL 1.55 BTP 2.39 BUND 0.80 BUXL 0.32 CAC 2.26 CAD 4.67 CANOLA 9.63 CHF 1.90 COCOA 0.64 COFFEE 0.30 COPPER 3.48 CORN 5.01 COTTON2 1.98 CRUDE_W 4.18 DAX 10.65 DOW 8.01 DX 3.18 EUR 2.15 EURIBOR-ICE 11.97 EUROSTX 3.32 FEEDCOW 1.84 GASOIL 1.54 GASOLINE 1.15 GAS_US_mini 22.29 GBP 2.95 GOLD_micro 8.61 HEATOIL 1.10 JGB-SGX-mini 32.46 JPY 1.85 LEANHOG 6.96 LIVECOW 3.59 LUMBER-new 4.84 MILK 1.75 MXP 31.71 NASDAQ_micro 3.20 NIKKEI 14.32 NZD 2.89 OAT 2.58 OATIES 4.07 OJ 0.81 PALLAD 0.50 PLAT 2.00 REDWHEAT 1.21 RICE 4.26 ROBUSTA 0.62 RUSSELL 13.64 SHATZ 4.53 SILVER-mini 1.06 SMI 1.72 SOFR 18.78 SOYBEAN 0.83 SOYMEAL 0.99 SOYOIL 0.95 SP400 0.64 SP500_micro 6.10 SUGAR11 2.66 US10 1.50 US10U 1.11 US2 2.59 US20 0.74 US30 0.49 US5 2.27 VIX 18.94 WHEAT 1.38 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.7 -1.0 -0.4 0.0 0 BITCOIN -4.1 -7.3 -1.0 0.0 0 BOBL -0.1 -0.2 0.1 0.0 0 BTP 0.9 0.7 1.2 0.0 0 BUND -0.4 -0.4 -0.3 0.0 0 BUXL -0.1 -0.2 -0.1 0.0 0 CAC -1.4 -1.6 -1.2 0.0 0 CAD -6.0 -6.4 -5.5 -3.0 -3 CANOLA -5.0 -6.0 -4.1 -2.0 -2 CHF -1.8 -2.0 -1.6 -3.0 -3 COCOA 0.5 0.4 0.6 1.0 1 COFFEE -0.1 -0.1 -0.1 0.0 0 COPPER -0.6 -1.0 -0.3 0.0 0 CORN -8.6 -9.1 -8.1 -7.0 -7 COTTON2 -2.8 -3.0 -2.6 -4.0 -4 CRUDE_W 0.5 0.1 0.9 0.0 0 DAX 14.5 13.5 15.6 9.0 9 DOW 3.1 2.3 3.9 0.0 0 DX 1.4 1.1 1.8 0.0 0 EUR -1.8 -2.0 -1.6 -3.0 -3 EURIBOR-ICE 8.5 7.3 9.7 0.0 0 EUROSTX -0.4 -0.8 -0.1 0.0 0 FEEDCOW 0.7 0.5 0.8 3.0 3 GASOIL -0.7 -0.8 -0.5 -1.0 -1 GASOLINE 0.3 0.2 0.4 0.0 0 GAS_US_mini -21.6 -23.8 -19.3 -16.0 -16 GBP -0.4 -0.7 -0.1 -1.0 -1 GOLD_micro 9.1 8.2 9.9 3.0 3 HEATOIL -0.9 -1.1 -0.8 -1.0 -1 JGB-SGX-mini -1.0 -4.2 2.3 -1.0 -1 JPY -1.3 -1.5 -1.1 -1.0 -1 LEANHOG 10.2 9.5 10.9 8.0 8 LIVECOW 4.5 4.1 4.8 1.0 1 LUMBER-new -0.8 -1.2 -0.3 -2.0 -2 MILK 0.6 0.5 0.8 1.0 1 MXP -7.6 -10.8 -4.5 -6.0 -6 NASDAQ_micro 0.2 -0.1 0.5 0.0 0 NIKKEI 4.9 3.5 6.4 4.0 4 NZD -1.1 -1.4 -0.9 0.0 0 OAT 0.7 0.5 1.0 3.0 3 OATIES 1.6 1.2 2.0 NaN 0 OJ 1.1 1.0 1.1 1.0 1 PALLAD 0.3 0.2 0.3 0.0 0 PLAT 0.5 0.3 0.7 1.0 1 REDWHEAT -1.7 -1.9 -1.6 0.0 0 RICE -3.6 -4.0 -3.2 NaN 0 ROBUSTA 0.1 0.0 0.1 0.0 0 RUSSELL 3.7 2.3 5.1 0.0 0 SHATZ -1.7 -2.2 -1.3 NaN 0 SILVER-mini 0.8 0.7 0.9 1.0 1 SMI 1.3 1.1 1.5 0.0 0 SOFR -9.4 -11.3 -7.5 NaN 0 SOYBEAN -1.4 -1.5 -1.3 -3.0 -3 SOYMEAL -1.7 -1.8 -1.6 -2.0 -2 SOYOIL -0.4 -0.5 -0.3 0.0 0 SP400 0.2 0.1 0.2 2.0 2 SP500_micro 3.1 2.5 3.7 0.0 0 SUGAR11 0.5 0.2 0.8 2.0 2 US10 -0.9 -1.1 -0.8 0.0 0 US10U -0.8 -0.9 -0.6 0.0 0 US2 -1.9 -2.2 -1.6 NaN 0 US20 -0.3 -0.4 -0.3 0.0 0 US30 -0.3 -0.3 -0.2 -3.0 -3 US5 -1.3 -1.6 -1.1 -1.0 -1 VIX -12.9 -14.8 -11.0 -7.0 -7 WHEAT -1.9 -2.0 -1.7 -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 -0.2 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 -0.2 0.3 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.0 -0.2 -0.1 -0.0 -0.1 0.2 -0.2 0.3 -0.1 BITCOIN 0.4 0.3 -0.3 0.1 0.1 0.1 0.1 -0.0 0.1 0.0 -0.0 0.2 0.4 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 0.3 0.2 -2.7 0.0 0.0 0.1 0.1 0.3 0.1 -0.1 0.1 0.0 -0.5 -0.2 0.1 -0.1 0.0 0.1 BOBL -0.6 -0.2 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 0.3 -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 0.1 0.2 0.2 0.1 -0.7 -0.5 0.0 -0.1 BTP -0.3 0.0 0.3 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.1 0.4 -0.1 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.3 0.0 -2.7 0.1 -0.0 0.2 -0.0 0.2 0.0 0.8 0.4 0.6 0.6 0.3 -0.7 -0.4 0.2 0.4 BUND -0.6 -0.2 0.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.0 -0.4 -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 -0.0 -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 -0.0 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 -0.1 0.0 -0.0 0.2 -0.1 -0.4 -0.3 -0.6 0.2 0.2 -0.2 -0.1 CAD -0.6 -0.3 0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 -0.2 -0.2 -0.6 -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 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.5 -0.6 -0.4 0.1 -0.3 -0.1 -0.2 CANOLA 0.5 0.4 -0.2 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.1 -0.0 0.1 -0.3 0.1 0.0 -0.3 -0.2 -0.3 -0.3 0.1 -0.0 0.1 -0.2 0.1 -2.2 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 0.0 -0.1 0.1 -0.2 0.7 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -1.1 -0.1 -0.2 -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 -0.2 -0.1 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 0.1 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 -0.0 -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 -0.5 0.0 -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 -0.4 -0.5 -0.1 -0.6 0.1 -0.1 0.3 0.0 COTTON2 -0.2 0.5 0.2 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.4 -0.1 -0.6 0.1 0.1 -0.3 -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 -0.1 -0.3 0.1 0.2 -0.5 -0.4 -0.3 -0.3 CRUDE_W 0.2 0.1 -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 0.2 0.0 0.2 0.1 -0.3 0.4 0.5 0.4 0.1 0.6 0.3 0.2 0.1 DOW -0.1 0.4 0.3 0.0 -0.0 0.1 -0.0 0.3 0.0 -0.1 0.4 -0.1 0.6 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.1 0.5 0.1 -1.8 0.1 -0.1 0.2 -0.0 0.2 0.0 -0.4 -0.2 0.2 0.6 0.6 0.4 0.2 -0.3 -0.2 DX 0.6 0.5 -0.5 -0.0 -0.1 0.0 -0.1 0.0 -0.1 0.1 -0.1 0.2 0.2 0.2 0.0 0.1 0.1 0.1 0.1 0.2 -0.0 0.2 -0.1 0.2 -2.7 0.0 0.0 -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 -0.5 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 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.5 -0.2 -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 0.4 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 -0.0 0.2 -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 -0.4 0.0 -0.0 0.1 -0.0 0.2 0.0 0.2 -0.1 -0.2 -0.1 -0.4 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 0.3 0.1 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.3 -0.0 -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 -0.3 -0.1 -0.3 0.0 -0.5 GASOLINE 0.3 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 0.3 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 0.2 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 -0.0 -0.5 -0.1 2.7 -0.0 0.1 -0.1 -0.0 -0.2 -0.1 -1.1 0.3 -0.6 -0.1 0.1 -0.4 -0.7 -0.2 -0.6 GBP -0.6 -0.2 0.2 -0.0 -0.1 0.0 -0.1 0.0 -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 -0.1 0.3 -0.2 -0.3 -0.0 -0.0 0.1 -0.1 0.2 -0.1 0.1 0.2 -0.2 0.1 0.5 0.2 -0.7 0.4 -0.7 GOLD_micro 0.0 0.6 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 0.3 0.2 -0.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -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 0.1 0.1 -0.1 0.1 -0.1 0.0 0.2 0.3 0.2 0.3 0.0 0.0 -0.0 0.1 -0.0 -1.4 -0.0 0.0 0.0 -0.0 0.0 -0.0 1.1 0.2 0.2 0.1 0.0 -0.6 -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 -0.1 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 -0.2 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 0.5 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 0.0 -0.3 0.1 -0.5 0.2 0.2 -0.5 -0.4 -0.4 -0.4 0.1 -0.0 0.0 -0.4 0.1 NaN 0.1 0.0 -0.0 0.0 -0.2 0.0 -1.2 0.0 0.2 0.3 0.7 0.2 0.0 0.4 0.2 MILK -0.6 -0.1 0.5 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 0.0 0.1 -0.1 0.3 -0.1 1.8 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 -0.2 -0.5 -0.1 0.6 -0.1 -0.7 0.1 -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 -0.1 -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 -0.2 -0.0 -0.1 -0.0 1.1 -0.2 0.5 0.1 -0.6 0.5 0.5 0.7 0.7 NASDAQ_micro 0.3 0.5 -0.1 0.0 -0.0 0.1 -0.0 0.2 0.0 0.0 0.2 0.1 0.4 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.4 0.1 -2.7 0.0 0.0 0.1 0.0 0.3 0.0 -0.3 0.2 0.3 0.5 -0.1 0.2 0.1 -0.3 -0.1 NIKKEI 0.2 0.3 -0.5 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 0.1 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 -0.1 -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 -0.1 0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.3 -0.1 -0.2 0.1 -0.3 0.2 -0.1 OAT -0.4 -0.2 0.3 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 0.0 0.2 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 0.1 0.5 0.2 -0.1 -0.4 -0.5 0.3 0.2 OATIES -0.3 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 0.1 0.1 0.6 0.6 0.7 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 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.1 0.2 0.1 0.5 0.0 0.8 0.5 0.4 0.4 0.6 0.5 0.4 0.7 0.7 PALLAD 0.1 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 0.1 -0.0 0.0 0.3 0.2 0.2 0.1 0.2 -0.4 -0.7 -0.7 -0.7 PLAT 0.1 0.4 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 0.0 0.1 0.7 0.0 0.0 0.0 0.1 -0.0 0.1 0.1 0.0 -0.0 -0.1 -0.2 0.1 -0.3 -0.3 -0.0 REDWHEAT -0.0 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 -0.1 -0.4 -0.0 -0.7 -0.0 -0.1 -0.1 -0.1 -0.3 -0.0 -1.0 -0.5 0.2 0.3 -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 -0.1 -0.0 -0.1 0.2 -0.1 -2.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 1.1 -0.0 -0.3 -0.3 0.1 -0.7 -0.7 -0.7 -0.7 ROBUSTA -0.6 -0.3 -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 0.3 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 -0.1 0.6 0.4 -0.0 0.7 0.2 RUSSELL 0.0 0.2 0.2 0.0 -0.0 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 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.2 0.0 0.0 0.1 0.1 0.3 0.6 -0.0 -0.5 -0.5 -0.7 SHATZ -0.6 -0.1 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 0.2 0.3 0.3 0.2 -0.6 -0.5 -0.1 -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 0.1 0.2 0.2 0.2 0.0 0.0 0.1 0.1 0.1 0.1 -0.1 0.3 0.3 0.3 0.2 0.2 -0.1 -0.1 0.3 SMI 0.2 -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 0.0 1.6 0.0 -0.0 0.2 0.0 0.5 0.0 0.6 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 0.0 -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 -0.4 -0.6 -0.6 -0.2 0.1 -0.4 0.7 0.5 SOYBEAN -0.5 0.1 -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 -0.3 -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 -0.1 -0.1 -0.0 -0.1 -0.1 -0.5 -0.1 -0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.1 0.5 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.1 -0.1 0.0 -0.3 0.1 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.1 -0.2 0.0 -2.6 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 0.3 -0.1 SP400 0.1 0.4 0.2 0.0 -0.1 0.2 -0.0 0.3 0.0 -0.2 0.4 -0.1 0.6 0.1 0.2 -0.2 -0.1 -0.1 -0.1 0.1 0.1 -0.1 0.4 0.1 -1.8 0.1 -0.1 0.2 -0.0 0.3 0.0 -0.0 -0.0 0.2 0.5 0.6 0.2 -0.2 -0.4 -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 0.4 0.1 -0.5 0.3 0.5 0.6 0.4 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 0.2 -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 -0.6 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 -0.3 -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 -0.0 0.1 -0.0 -0.1 0.1 -0.2 0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 0.0 -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 -0.1 0.0 -0.1 0.0 -0.1 1.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -1.1 -0.2 -0.5 -0.2 0.1 -0.1 -0.7 0.2 -0.3 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 0.1 -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 -0.2 -0.4 -0.5 -0.4 0.0 -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 -0.2 0.0 -0.2 0.8 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.6 -0.3 -0.6 -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 0.1 -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 -0.2 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 -0.1 0.5 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -1.1 -0.5 -0.2 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 -1.2 3.4 -2.0 -5.5 0.7 -7.1 1.2 -6.0 -16.9 6.4 -18.5 3.6 -15.4 0.4 -0.2 -1.8 -0.6 -1.2 -3.9 2.8 -19.8 2.6 -14.4 2.6 -1.6 -8.7 1.3 -8.9 1.4 -6.3 -0.0 -8.8 -3.2 -0.5 -3.9 6.5 -6.7 10.4 -1.6 BITCOIN 12.8 10.3 -9.3 5.6 6.4 2.0 7.4 -0.2 7.2 2.1 -1.6 17.5 10.2 20.0 10.6 -6.1 -6.7 -6.1 -6.4 11.0 4.6 15.8 10.6 18.7 -20.0 4.2 2.5 2.2 7.0 7.7 8.0 -2.0 5.2 0.2 -16.6 -5.1 3.3 -1.9 1.0 2.6 BOBL -19.7 -5.2 17.9 -0.8 -1.9 1.3 -2.9 1.2 -2.8 -6.3 4.7 -8.3 -0.9 -5.1 3.8 17.0 -7.0 6.1 -2.3 0.8 3.5 -4.1 1.2 -3.3 3.9 0.7 -2.0 2.3 -2.1 1.5 -1.6 -2.7 5.0 7.0 7.6 1.9 -20.0 -16.1 0.3 -2.0 BTP -10.1 0.7 7.9 -1.3 -3.2 2.1 -5.0 2.0 -4.8 -7.7 14.4 -4.9 16.0 7.3 13.5 7.3 4.9 6.0 4.8 9.3 11.7 -0.4 11.2 4.2 -20.0 5.4 -1.9 6.5 -0.1 6.2 2.6 14.7 16.4 20.0 20.0 9.3 -20.0 -12.2 4.7 10.5 BUND -17.4 -6.6 12.8 -0.9 -2.2 1.5 -3.4 1.4 -3.3 -6.5 5.1 -9.7 1.5 -8.0 3.5 -20.0 -5.5 -15.7 -10.2 -0.5 3.0 -6.5 1.6 -5.2 1.2 -0.0 -3.1 2.3 -3.8 2.1 -2.9 -6.3 2.5 9.1 5.9 -1.3 -20.0 -17.4 -0.8 -1.0 BUXL -13.0 -7.6 9.0 -1.0 -2.5 1.6 -3.8 1.5 -3.7 -5.9 2.8 -10.1 0.7 -9.8 0.9 0.0 -1.6 -0.4 -1.2 -3.2 0.2 -8.2 -0.8 -7.4 -2.0 -1.7 -3.5 0.9 -5.1 1.3 -4.4 4.1 -0.0 13.0 2.8 -7.1 -20.0 -20.0 -5.2 -6.1 CAC -2.9 7.0 -9.9 4.1 -5.5 5.9 -2.8 8.2 1.5 -16.5 -7.5 -16.4 -0.0 -6.2 1.6 -5.5 -3.2 -5.6 -4.5 -3.4 -5.8 -7.9 -2.3 -3.9 -7.1 -1.6 -7.1 -2.9 -4.9 0.2 -1.9 4.4 -2.7 -13.1 -9.7 -19.9 6.4 5.4 -5.7 -1.9 CAD -20.0 -10.7 4.6 -2.6 -7.2 0.9 -9.3 1.5 -7.8 -20.0 -8.4 -20.0 -15.5 -20.0 -13.5 -5.7 -4.0 -5.0 -4.6 -18.6 -8.1 -20.0 -7.3 -20.0 -0.7 -5.5 -8.4 -2.0 -10.5 -1.7 -10.0 -4.6 -2.8 -15.8 -19.8 -12.2 2.3 -8.2 -1.7 -4.8 CANOLA 14.1 13.8 -4.8 0.0 -0.5 -1.7 -0.3 -2.6 0.5 8.7 -1.7 8.3 -7.3 8.5 1.7 -14.7 -11.5 -13.8 -13.4 4.7 -2.0 12.7 -7.4 9.8 -16.3 2.6 4.7 0.3 4.6 -2.0 4.1 -20.0 20.0 16.1 12.8 5.7 -4.8 -12.2 1.7 -7.8 CHF -20.0 -12.3 18.5 -1.9 -5.2 0.6 -6.7 1.1 -5.6 -16.1 6.1 -18.1 -1.3 -17.0 2.1 -15.0 -16.0 -15.0 -15.4 -6.5 4.3 -16.3 3.6 -18.2 4.9 -1.9 -2.7 1.9 -5.4 1.9 -5.9 -20.0 -2.5 -4.9 -11.7 14.6 -9.6 -12.5 -20.0 -12.6 COCOA 5.7 4.1 9.9 0.0 -0.4 -1.3 -0.2 -1.9 0.4 -5.7 1.3 -1.6 3.5 1.5 2.5 20.0 20.0 20.0 20.0 3.4 5.7 -3.9 11.1 1.3 -20.0 1.7 -3.1 3.5 -1.6 7.4 0.6 20.0 -8.0 -2.1 3.7 8.1 20.0 17.6 20.0 20.0 COFFEE -14.3 -2.6 1.4 0.1 -0.9 -3.1 -0.5 -4.6 0.9 -12.2 13.2 -11.0 14.9 -2.4 5.3 2.1 5.3 3.0 4.1 5.3 13.6 -9.5 17.2 -3.6 -20.0 2.2 -5.8 6.6 -5.1 9.6 -2.2 4.7 -3.1 -20.0 2.2 20.0 -7.8 -7.4 1.5 -0.9 COPPER -10.3 14.4 -8.1 2.9 3.3 1.1 3.8 -0.1 3.7 -2.3 -2.7 -10.2 -0.0 0.9 2.1 -4.2 -3.2 -3.6 -3.1 2.2 2.5 -4.6 3.7 -1.3 -15.1 2.0 -0.5 2.0 -1.2 2.1 0.4 4.0 -20.0 -16.5 0.7 -3.6 18.6 9.9 15.1 20.0 CORN -7.2 9.9 -11.9 0.1 -1.2 -3.9 -0.7 -5.8 1.1 4.9 -15.8 -10.4 -20.0 -4.5 -7.3 -10.3 -14.8 -14.2 -15.9 -9.7 -20.0 -6.6 -20.0 -8.4 -12.4 -5.8 0.2 -8.9 -3.8 -12.1 -5.4 -20.0 -16.7 -14.9 -4.3 -19.4 4.4 -3.4 8.7 0.5 COTTON2 -5.7 16.1 4.8 0.1 -1.0 -3.4 -0.6 -5.0 0.9 -7.2 -14.8 -8.2 -15.6 4.8 4.8 -14.1 -5.7 -12.3 -9.4 0.5 -7.3 -4.1 -15.1 -0.9 -20.0 0.5 -5.2 -2.0 -2.8 -3.4 -0.9 -16.3 -5.2 -8.7 4.6 5.6 -15.4 -12.6 -8.4 -7.7 CRUDE_W 6.8 2.3 -15.7 -1.0 2.3 -3.1 0.9 -2.2 0.9 8.7 -6.9 -1.9 -0.5 2.5 -6.3 4.1 11.2 7.8 9.9 -4.8 -7.1 0.4 -3.3 -1.1 -1.5 -1.1 3.7 -3.6 0.7 -2.3 0.4 9.8 0.3 -6.0 3.5 2.8 -3.2 8.9 -2.7 13.6 DAX 7.5 15.5 1.4 4.5 -6.1 6.5 -3.1 9.0 1.7 -12.2 16.0 7.2 18.0 15.8 18.2 -8.5 -10.0 -8.5 -9.0 19.6 16.7 5.9 17.3 16.5 10.3 6.3 -1.1 5.6 1.9 6.8 5.5 -5.7 16.4 14.0 13.8 2.9 18.4 7.7 5.2 2.0 DOW -2.3 13.3 10.1 3.8 -5.1 5.5 -2.6 7.7 1.4 -15.7 15.8 -4.7 17.0 11.3 15.7 -10.1 -10.6 -9.9 -10.1 17.7 19.4 -7.5 19.3 8.6 -13.8 5.7 -6.8 6.6 -2.3 6.9 2.7 -7.2 -7.5 7.3 20.0 20.0 13.1 4.5 -8.2 -7.1 DX 20.0 16.2 -14.3 -2.2 -6.2 0.7 -8.0 1.3 -6.7 14.3 -3.3 20.0 4.6 19.8 4.1 6.3 6.6 6.1 6.3 15.3 -0.8 20.0 -2.4 20.0 -20.0 3.9 5.4 -0.4 8.4 -0.8 8.4 13.8 20.0 20.0 20.0 -20.0 1.2 8.5 0.6 11.8 EUR -20.0 -14.0 6.4 -2.4 -6.6 0.8 -8.6 1.4 -7.2 -14.6 0.2 -20.0 -3.5 -20.0 -9.9 -7.1 -7.1 -6.8 -6.9 -16.2 -2.2 -20.0 1.1 -20.0 20.0 -4.8 -4.5 -0.1 -8.6 1.2 -9.3 -9.3 -9.9 -20.0 -20.0 2.1 -4.4 -19.8 -10.9 -20.0 EURIBOR-ICE -18.1 -4.6 20.0 -0.7 -1.7 1.1 -2.6 1.0 -2.5 -1.2 6.5 -1.7 5.5 0.8 6.4 5.6 -1.1 3.7 1.3 5.3 7.8 0.0 6.1 1.4 11.2 2.3 -0.5 3.3 -0.0 2.7 0.6 6.6 10.8 10.7 13.1 9.3 -9.8 -17.6 7.3 5.1 EUROSTX -0.9 6.6 -8.4 3.9 -5.3 5.7 -2.7 7.9 1.5 -12.5 5.1 -12.7 12.1 3.7 7.8 -3.8 -3.2 -4.1 -4.0 2.9 3.0 -4.4 7.9 0.5 -2.7 1.6 -3.3 2.3 -2.8 6.7 0.3 4.5 -4.0 -5.2 -4.5 -13.8 6.0 2.1 -20.0 -8.8 FEEDCOW 20.0 20.0 -16.5 0.1 -1.2 -4.2 -0.7 -6.2 1.2 -0.5 -7.3 11.2 -13.2 19.4 1.6 18.4 -7.1 17.1 7.3 10.1 -9.7 9.4 -16.0 18.7 -10.3 2.4 1.3 -2.6 2.5 -3.7 4.7 -4.4 -5.5 20.0 20.0 -20.0 11.6 20.0 20.0 20.0 GASOIL 9.9 4.3 -17.8 -0.9 2.0 -2.7 0.8 -1.8 0.8 -0.4 -10.5 -3.9 -2.9 0.4 -8.8 0.4 7.4 1.6 2.9 -6.5 -9.4 -0.3 -5.5 -2.5 3.5 -3.3 1.9 -4.8 -0.3 -3.1 -1.3 0.1 -3.8 -6.8 -8.6 -7.8 -1.6 -9.1 0.9 -14.3 GASOLINE 9.6 7.1 -14.0 -0.9 2.0 -2.7 0.8 -1.9 0.8 6.2 -6.3 -1.6 -0.3 3.1 -2.8 4.4 20.0 17.0 20.0 -1.5 -4.0 -0.1 -1.3 0.6 -20.0 1.3 1.7 -0.7 0.5 -0.0 1.8 20.0 -3.4 -0.0 9.9 8.8 2.4 11.8 7.1 19.9 GAS_US_mini -12.7 7.6 3.1 -1.3 2.8 -3.8 1.1 -2.6 1.1 16.0 -17.7 -7.5 -20.0 -9.6 -14.0 -20.0 -20.0 -20.0 -20.0 -9.9 -12.8 -1.6 -20.0 -9.8 20.0 -4.3 7.9 -4.5 -0.8 -6.8 -4.9 -20.0 11.5 -20.0 -1.7 2.1 -10.9 -20.0 -5.1 -17.7 GBP -20.0 -6.7 5.5 -2.3 -6.4 0.8 -8.3 1.4 -7.0 -8.7 11.9 -19.6 13.7 -18.4 1.8 0.4 -0.3 0.4 0.0 -1.5 10.0 -16.5 12.4 -14.8 -2.2 -0.1 -3.6 4.9 -6.8 6.1 -5.9 2.4 6.4 -6.8 2.0 14.5 4.9 -20.0 11.2 -20.0 GOLD_micro 1.5 17.6 19.9 5.0 5.7 1.8 6.6 -0.2 6.4 15.5 20.0 18.2 20.0 20.0 20.0 -14.2 -13.5 -13.4 -13.0 20.0 20.0 20.0 20.0 20.0 -15.3 7.8 5.3 7.3 7.0 7.0 7.6 -13.4 20.0 17.4 20.0 20.0 20.0 0.0 14.0 5.7 HEATOIL 10.7 4.7 -14.2 -0.9 2.0 -2.7 0.8 -1.8 0.8 7.6 -10.8 -6.7 -6.7 -2.3 -8.7 -3.6 3.1 -4.7 -3.0 -5.7 -9.3 -0.6 -7.0 -2.1 -17.9 -1.2 2.0 -3.9 0.3 -3.3 0.3 -8.9 -5.6 -2.4 2.5 -1.3 -5.4 3.7 -3.9 5.2 JGB-SGX-mini -20.0 -0.5 17.3 -0.8 -1.9 1.2 -2.9 1.2 -2.8 6.8 4.6 -6.4 3.1 -7.1 4.2 10.9 15.9 12.3 14.0 0.2 3.5 -1.9 2.7 -4.1 -10.7 -0.1 2.6 1.1 -0.7 0.3 -1.9 20.0 7.2 4.9 3.5 0.4 -16.6 -7.9 -18.4 -1.9 JPY -20.0 -16.3 20.0 -0.9 -2.5 0.3 -3.2 0.5 -2.7 -5.8 1.3 -8.1 -3.4 -8.3 -0.0 -10.4 -14.1 -11.2 -12.4 -5.6 -0.6 -11.3 -2.9 -11.6 20.0 -1.3 -2.2 0.0 -3.1 -0.8 -3.0 -20.0 -2.8 -6.9 -6.7 9.1 -20.0 -20.0 -20.0 -20.0 LEANHOG 11.0 20.0 12.0 0.1 -1.3 -4.5 -0.8 -6.7 1.2 20.0 0.6 20.0 -3.5 20.0 20.0 -8.4 20.0 20.0 20.0 20.0 11.3 20.0 -6.2 20.0 3.4 7.9 6.8 3.5 8.5 -0.7 9.2 20.0 20.0 20.0 20.0 20.0 -0.6 -5.2 4.4 1.1 LIVECOW 11.4 20.0 3.6 0.1 -1.4 -4.6 -0.8 -6.9 1.3 20.0 20.0 20.0 14.8 20.0 20.0 -0.2 8.2 3.9 7.6 20.0 20.0 20.0 17.6 20.0 -20.0 7.1 7.3 5.2 6.9 5.0 7.8 11.0 20.0 20.0 20.0 16.7 -4.3 20.0 3.7 20.0 LUMBER-new 5.6 10.2 5.2 0.1 -1.0 -3.4 -0.6 -4.8 0.9 1.9 -9.2 7.0 -11.4 13.8 14.7 -20.0 -18.2 -19.1 -18.5 5.4 -3.0 1.9 -11.2 5.9 NaN 4.2 0.3 -0.7 1.1 -5.8 3.7 -20.0 1.8 5.8 9.0 19.2 5.0 0.9 10.3 5.2 MILK -20.0 -3.4 16.9 0.0 -0.7 -2.4 -0.4 -3.6 0.7 -12.1 10.8 -11.3 8.7 -8.6 4.8 20.0 -2.6 20.0 13.0 3.7 12.1 -12.6 10.0 -6.3 13.6 1.2 -6.8 4.5 -5.2 3.4 -2.7 3.3 -6.7 -13.9 -2.5 18.4 -2.1 -20.0 4.4 -20.0 MXP -0.9 3.1 -20.0 -1.4 -3.9 0.5 -5.1 0.8 -4.3 -10.2 -11.2 -10.6 -8.3 -4.7 -9.7 11.6 13.4 11.1 11.6 -9.8 -13.4 -8.1 -9.0 -7.8 -20.0 -4.2 -2.8 -5.6 -3.7 -3.6 -3.5 20.0 -7.3 15.7 2.5 -19.7 13.9 16.4 19.9 20.0 NASDAQ_micro 7.7 14.6 -2.3 3.1 -4.2 4.5 -2.1 6.3 1.2 2.3 7.3 6.9 10.7 12.6 7.5 -8.9 -9.6 -8.4 -8.9 10.9 11.1 5.7 15.4 9.9 -20.0 4.5 1.7 5.1 1.9 7.5 3.6 -5.2 10.1 8.7 13.9 -4.2 6.4 3.8 -9.5 -2.9 NIKKEI 5.1 8.5 -15.4 1.9 -2.5 2.7 -1.3 3.8 0.7 -7.6 3.0 -3.8 4.0 3.8 3.4 1.4 7.5 3.3 5.3 2.3 1.8 -4.1 3.8 0.8 -6.6 -0.5 -2.6 -0.9 -1.8 1.4 -0.3 20.0 -5.8 -0.7 -0.2 -14.8 17.2 4.9 17.7 5.3 NZD -20.0 -5.8 5.1 -1.4 -4.0 0.5 -5.2 0.9 -4.3 -12.1 2.0 -13.7 1.6 -12.6 -0.9 -0.7 -0.1 -0.4 -0.2 -5.5 0.3 -15.6 0.9 -13.4 0.6 -1.8 -5.3 0.3 -5.9 0.6 -4.8 2.5 -3.3 -8.3 -4.1 -4.7 2.7 -8.1 4.7 -1.8 OAT -11.4 -5.2 10.7 -0.9 -2.2 1.5 -3.4 1.4 -3.3 -8.6 2.3 -9.1 -0.8 -8.4 3.5 7.8 4.7 6.1 4.7 -1.0 0.8 -5.3 -0.5 -3.9 3.5 -0.3 -4.6 1.2 -3.4 1.0 -2.3 14.5 5.1 14.2 5.9 -2.6 -10.8 -13.8 7.7 4.9 OATIES -7.8 20.0 15.5 0.1 -1.1 -3.7 -0.6 -5.5 1.0 4.7 1.1 -3.7 -13.3 12.9 14.8 3.5 2.8 3.9 3.9 20.0 11.9 0.7 -3.6 11.3 -20.0 5.0 -0.0 3.1 0.0 -0.2 2.7 2.2 4.4 4.6 20.0 20.0 19.6 2.8 20.0 12.8 OJ 0.7 1.4 2.7 0.1 -1.0 -3.2 -0.6 -4.8 0.9 15.4 15.9 13.8 17.0 10.7 12.9 11.4 12.1 11.4 11.0 13.9 19.9 14.1 20.0 11.2 -20.0 5.6 9.5 8.5 6.1 13.7 4.5 15.8 20.0 10.9 12.8 20.0 14.4 13.4 20.0 20.0 PALLAD 4.4 14.8 19.9 2.3 2.6 0.8 3.1 -0.1 3.0 8.8 3.9 8.2 -4.4 6.4 6.1 -2.2 -2.1 -2.0 -2.0 6.3 3.1 14.2 -2.2 9.0 15.7 2.8 8.6 1.4 5.8 -0.6 3.8 5.9 7.9 7.0 2.2 5.2 -11.4 -20.0 -20.0 -20.0 PLAT 4.6 11.9 -1.3 3.5 3.9 1.3 4.6 -0.1 4.5 9.7 -2.8 12.2 -2.5 12.5 5.9 -4.1 -4.4 -4.3 -4.5 6.3 2.6 11.8 0.5 10.2 5.6 3.4 4.4 1.1 5.9 -0.0 5.2 1.6 1.6 -0.2 -2.6 -5.7 2.0 -7.9 -9.2 -1.1 REDWHEAT -1.0 15.3 -0.1 0.1 -1.1 -3.7 -0.6 -5.5 1.0 -15.7 -13.0 -13.0 -17.5 0.1 3.7 -10.8 -7.2 -10.6 -9.6 -0.3 -6.9 -10.0 -15.9 -2.4 -5.2 -0.5 -9.3 -3.6 -6.0 -7.1 -1.7 -18.0 -20.0 5.2 9.8 -7.2 -20.0 -20.0 -20.0 -20.0 RICE -7.1 -1.2 -4.5 0.1 -1.2 -4.1 -0.7 -6.1 1.1 -19.6 11.2 -19.6 13.8 -13.1 -1.1 -8.6 20.0 -1.8 14.7 -5.0 -0.0 -10.3 8.3 -8.4 -15.8 -4.4 -8.2 -0.8 -7.6 2.9 -6.7 20.0 -1.9 -9.3 -7.9 2.9 -20.0 -20.0 -20.0 -20.0 ROBUSTA -20.0 -9.5 -0.1 0.0 -0.5 -1.7 -0.3 -2.5 0.5 -6.9 7.3 -8.8 8.8 -6.2 3.0 16.9 20.0 20.0 20.0 3.0 12.9 -13.4 17.6 -8.3 -20.0 0.7 -2.8 3.9 -3.6 6.6 -2.4 20.0 -12.3 -20.0 -1.7 20.0 12.4 -1.1 20.0 5.1 RUSSELL 1.4 7.4 5.1 3.6 -4.9 5.3 -2.5 7.3 1.3 -13.7 9.4 -4.0 12.9 7.9 9.0 -6.4 -6.4 -6.0 -6.1 8.1 9.8 -4.7 10.2 3.8 -0.1 4.9 -5.1 6.5 -2.0 6.9 2.0 0.1 5.5 2.6 7.8 20.0 -0.1 -13.5 -15.9 -20.0 SHATZ -20.0 -2.4 20.0 -0.6 -1.6 1.0 -2.4 1.0 -2.3 1.5 4.9 -3.1 -0.2 -0.7 4.9 -20.0 -20.0 -20.0 -20.0 3.6 5.1 0.3 1.0 0.4 6.1 1.7 -0.0 2.5 0.1 1.1 0.2 -20.0 9.9 7.9 10.6 6.8 -17.3 -16.3 -4.3 -7.3 SILVER-mini 5.0 15.3 -1.7 3.3 3.7 1.2 4.3 -0.1 4.2 4.4 10.2 8.0 9.3 11.1 11.1 -6.4 -6.5 -6.3 -6.3 13.1 10.1 15.7 8.9 16.3 1.6 4.2 2.7 2.9 5.0 2.5 5.2 -1.6 14.3 10.6 9.2 5.8 5.9 -2.0 -3.8 9.8 SMI 5.0 -3.5 -6.6 4.3 -5.7 6.2 -2.9 8.6 1.6 -15.3 12.1 2.2 16.1 -0.2 7.8 0.9 0.3 -0.2 -0.6 4.2 8.4 0.2 14.6 4.2 11.9 4.5 -3.7 8.7 0.1 12.6 2.9 10.3 13.4 5.3 -13.5 6.1 -4.0 1.7 -20.0 -6.0 SOFR -20.0 -20.0 14.4 -1.1 -2.8 1.8 -4.3 1.7 -4.1 -12.1 6.9 -14.6 7.6 -14.6 -2.4 2.1 0.2 1.9 1.0 -10.3 3.9 -20.0 6.3 -20.0 -6.3 -3.2 -4.4 0.3 -6.0 1.6 -6.0 7.6 -17.0 -18.6 -18.0 -7.6 3.8 -12.8 20.0 13.8 SOYBEAN -15.5 4.2 -18.1 0.0 -0.8 -2.8 -0.5 -4.1 0.8 -2.4 -11.3 -10.9 -12.8 -8.6 -9.0 -2.0 0.7 -3.8 -3.3 -12.0 -17.8 -10.9 -20.0 -12.3 -20.0 -4.6 -1.4 -5.8 -4.0 -6.3 -4.8 -6.3 -13.7 -20.0 -6.1 -20.0 2.8 -10.9 9.2 -6.3 SOYMEAL -18.5 5.3 -2.3 0.0 -0.7 -2.3 -0.4 -3.4 0.6 -11.2 -8.1 -12.4 -10.4 -9.8 -4.4 -1.3 2.5 -1.7 -0.5 -6.0 -7.3 -10.7 -10.3 -9.2 -20.0 -2.6 -4.8 -2.8 -4.8 -3.1 -3.9 -2.2 -5.8 -16.0 -2.3 -7.1 -20.0 -20.0 -20.0 -20.0 SOYOIL 2.5 15.7 -1.1 0.0 -0.5 -1.7 -0.3 -2.6 0.5 8.4 -4.0 2.9 -8.2 5.1 -1.8 -1.1 1.0 0.2 0.5 2.2 -2.3 5.9 -6.7 4.2 -19.5 1.5 4.2 -0.5 2.6 -2.2 2.0 -2.8 6.3 4.1 9.0 -0.2 1.4 -7.3 10.3 -2.0 SP400 3.5 12.6 5.2 4.1 -5.6 6.0 -2.8 8.3 1.5 -16.7 13.7 -4.8 16.8 12.2 14.4 -7.8 -6.2 -6.9 -6.5 13.1 13.6 -6.8 14.8 7.2 -13.7 5.8 -6.8 6.9 -2.7 7.4 2.7 -0.1 -1.5 5.4 14.4 20.0 7.1 -6.4 -10.7 -20.0 SP500_micro 6.9 18.1 3.4 4.2 -5.7 6.2 -2.9 8.5 1.6 -10.5 18.6 8.4 19.4 17.3 18.9 -11.1 -11.7 -10.6 -11.1 20.0 20.0 5.2 20.0 16.9 -20.0 6.8 -1.5 7.9 1.3 9.8 4.8 -8.9 12.1 16.1 20.0 11.0 11.1 3.6 -9.2 -4.9 SUGAR11 -13.5 20.0 16.2 0.1 -0.8 -2.8 -0.5 -4.1 0.8 -3.9 5.6 -9.5 -6.3 7.2 9.3 20.0 14.6 20.0 18.6 13.1 9.0 -2.6 0.4 4.8 -20.0 3.3 -0.2 2.2 -0.7 -0.0 1.2 20.0 0.7 -12.0 20.0 18.6 -18.3 6.5 -16.5 9.8 US10 -20.0 -20.0 15.4 -0.8 -2.1 1.4 -3.2 1.3 -3.0 -9.8 4.0 -11.1 3.5 -11.0 -3.1 -5.4 -7.1 -6.3 -6.7 -8.7 1.2 -17.7 1.9 -17.7 1.7 -2.5 -3.0 0.1 -4.3 0.8 -4.4 -5.2 -11.2 -15.8 -13.2 -6.5 -0.1 -20.0 20.0 8.0 US10U -20.0 -20.0 14.2 -1.2 -2.9 1.9 -4.5 1.8 -4.3 -13.3 5.1 -15.6 3.8 -15.6 -4.8 -4.8 -3.5 -4.6 -4.3 -12.1 1.0 -20.0 1.6 -20.0 -1.4 -3.7 -4.1 -0.2 -6.1 0.9 -6.4 -0.2 -14.3 -19.1 -18.4 -12.0 0.6 -19.0 20.0 18.4 US2 -20.0 -19.2 20.0 -0.7 -1.6 1.0 -2.5 1.0 -2.4 -7.9 2.9 -8.7 1.1 -8.3 -0.6 -20.0 -20.0 -20.0 -20.0 -5.5 1.9 -12.9 0.6 -13.0 11.9 -1.3 -2.1 0.6 -2.9 0.7 -3.0 -20.0 -7.7 -14.5 -6.5 2.4 -1.9 -20.0 5.6 -10.4 US20 -20.0 -20.0 11.1 -0.9 -2.1 1.4 -3.3 1.3 -3.1 -9.2 3.1 -11.2 4.2 -11.3 -4.3 -2.5 -1.3 -2.1 -1.6 -9.3 0.1 -16.8 1.4 -17.6 -3.1 -2.8 -2.7 -0.2 -4.3 0.8 -4.6 4.3 -9.9 -13.0 -14.6 -10.9 1.4 -11.4 20.0 20.0 US30 -20.0 -20.0 9.5 -1.0 -2.4 1.6 -3.7 1.5 -3.5 -10.3 2.2 -12.4 2.2 -12.6 -5.8 -2.0 -4.8 -3.8 -4.4 -10.1 -1.0 -16.8 -0.3 -17.8 -2.1 -3.3 -2.9 -0.5 -4.7 0.5 -5.2 -1.3 -7.9 -10.3 -14.6 -14.2 -1.5 -10.0 20.0 20.0 US5 -20.0 -20.0 18.4 -0.8 -2.0 1.3 -3.1 1.2 -3.0 -9.7 3.9 -10.9 2.4 -10.7 -2.4 -7.8 -10.4 -9.3 -9.9 -8.3 1.5 -17.3 1.8 -17.4 5.6 -2.2 -2.9 0.2 -4.0 0.8 -4.2 -10.9 -11.0 -17.0 -12.0 -3.6 2.2 -20.0 20.0 2.5 VIX -0.9 1.8 20.0 1.8 2.0 1.6 -0.1 -2.9 -0.1 8.5 -7.6 -7.1 -10.8 -0.7 -7.2 -3.7 -20.0 -6.9 -16.5 2.0 0.8 -0.5 -6.9 -0.2 NaN 1.9 2.3 1.8 -0.1 -3.6 -0.1 NaN NaN NaN NaN NaN -19.5 -20.0 NaN NaN WHEAT -6.1 15.7 -2.7 0.1 -1.1 -3.7 -0.6 -5.5 1.0 -16.5 -11.5 -17.0 -15.6 -1.7 3.1 -10.8 -14.3 -12.9 -14.0 -1.4 -7.2 -12.3 -15.8 -5.5 4.1 -1.5 -6.6 -3.5 -7.0 -5.9 -3.6 -20.0 -20.0 -5.6 8.8 -9.3 -20.0 -17.7 -20.0 -15.6 End of report for caleb_strategy_v3