******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241030_203906 produced at 2024-10-30 21:37:29.431256 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 0.08 0.00 -0.95 0.0 0.00 0.00 0.00 0.00 -11.27 11.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.08 -0.18 0.0 0.73 -0.73 -0.08 -0.08 -7.12 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 -1.97 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.05 -0.10 0.0 999.00 -999.00 -0.05 -0.05 -15.67 999999999.0 -7 -8 caleb_strategy_v3 MXP False False 0.01 -0.06 -0.10 0.0 0.52 -0.52 -0.06 -0.06 -11.92 60.0 -7 -7 caleb_strategy_v3 CHF False False 0.05 -0.15 -0.09 0.0 0.66 -0.66 -0.15 -0.15 -1.83 13.0 -3 -3 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.08 0.0 0.00 0.00 0.00 0.00 -1.93 24.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.14 -0.07 0.0 0.67 -0.67 -0.14 -0.14 -1.40 14.0 -3 -3 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.07 0.0 0.09 -0.09 -0.05 -0.05 -9.12 12.0 -7 -7 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.04 -0.06 0.0 0.07 -0.07 -0.04 -0.04 -23.62 26.0 -16 -16 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.06 0.0 0.94 -0.94 -0.04 -0.04 -1.52 25.0 -1 -1 caleb_strategy_v3 RICE False True 0.01 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -5.01 4.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.05 -0.05 0.0 0.14 -0.14 -0.05 -0.05 -3.55 11.0 -4 -4 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.04 0.0 0.49 -0.49 -0.03 -0.06 -1.53 17.0 -1 -2 caleb_strategy_v3 COPPER False False 0.04 0.00 -0.04 0.0 999.00 -999.00 0.00 0.00 -1.09 999999999.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.04 0.0 0.66 -0.66 0.00 0.00 -1.03 17.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.35 12.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.03 0.0 0.13 -0.13 -0.05 -0.05 -1.48 7.0 -3 -3 caleb_strategy_v3 NZD False False 0.02 0.00 -0.03 0.0 0.44 -0.44 0.00 0.00 -1.49 21.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 -0.03 0.0 0.52 -0.52 0.00 0.00 -0.84 13.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.03 0.0 0.50 -0.50 0.00 0.00 -0.51 10.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.03 0.0 0.10 -0.10 -0.03 -0.03 -0.94 3.0 -1 -1 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.03 0.0 0.44 -0.44 -0.02 -0.02 -1.34 19.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -2.06 9.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.02 0.0 0.08 -0.08 0.00 0.00 -2.00 8.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.38 9.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.10 -0.10 -0.03 -0.03 -2.03 9.0 -3 -3 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.17 -0.17 -0.01 -0.01 -6.00 51.0 -2 -2 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.02 0.0 0.09 -0.09 -0.02 -0.02 -0.80 4.0 -1 -1 caleb_strategy_v3 EUROSTX False False 0.02 0.00 -0.01 0.0 0.37 -0.37 0.00 0.00 -0.33 20.0 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 -0.31 5.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.01 0.0 0.85 -0.85 0.00 0.00 -0.20 19.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.13 -0.01 0.0 0.26 -0.26 -0.13 -0.18 -0.28 6.0 -3 -4 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.20 -0.20 0.00 0.00 -0.18 4.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.00 0.0 0.36 -0.36 0.00 0.00 0.01 23.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.07 999999999.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.02 0.00 0.0 0.15 -0.15 0.02 0.02 0.61 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 -0.36 10.0 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 MILK False False 0.01 0.01 0.00 0.0 0.07 -0.07 0.01 0.01 0.21 5.0 1 1 caleb_strategy_v3 GBP False False 0.03 -0.03 -0.00 0.0 0.63 -0.63 -0.03 -0.03 -0.09 22.0 -1 -1 caleb_strategy_v3 DOW False False 0.01 0.00 0.01 0.0 0.49 -0.49 0.00 0.00 1.48 66.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.02 0.01 0.0 0.18 -0.18 0.02 0.02 0.29 10.0 1 1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.01 0.01 0.0 0.33 -0.33 0.01 0.01 0.80 23.0 1 1 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.01 0.0 0.00 0.00 0.00 0.00 4.06 59.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.13 0.01 0.0 0.34 -0.34 0.13 0.13 0.29 8.0 3 3 caleb_strategy_v3 LUMBER-new False False 0.01 -0.01 0.01 0.0 0.02 -0.02 -0.01 -0.01 1.24 3.0 -2 -1 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.01 0.0 0.08 -0.08 0.00 0.00 0.27 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 0.16 2.0 2 2 caleb_strategy_v3 COCOA False False 0.02 0.02 0.02 0.0 0.63 -0.63 0.02 0.02 0.62 26.0 1 1 caleb_strategy_v3 BTP False False 0.05 0.00 0.02 0.0 0.46 -0.46 0.00 0.00 0.48 10.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.27 -0.27 0.00 0.00 4.05 68.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.14 0.02 0.0 0.47 -0.47 0.14 0.14 0.48 10.0 3 3 caleb_strategy_v3 OATIES False True 0.01 0.00 0.02 0.0 0.00 0.00 0.00 0.00 2.33 2.0 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 0.85 999999999.0 1 1 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.03 0.03 0.0 0.53 -0.53 -0.03 -0.03 0.79 16.0 -1 -1 caleb_strategy_v3 SMI False True 0.05 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0.64 9.0 0 0 caleb_strategy_v3 OJ False False 0.03 0.03 0.03 0.0 0.08 -0.08 0.03 0.03 1.08 3.0 1 1 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.04 0.0 0.49 -0.49 0.00 0.00 3.63 48.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.04 0.07 0.0 0.32 -0.32 0.04 0.04 7.74 36.0 4 4 caleb_strategy_v3 DX False False 0.04 0.00 0.07 0.0 999.00 -999.00 0.00 0.00 1.80 999999999.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.08 0.0 0.45 -0.45 0.03 0.03 3.22 17.0 1 1 caleb_strategy_v3 DAX False False 0.01 0.07 0.10 0.0 0.43 -0.43 0.07 0.05 13.57 58.0 9 7 caleb_strategy_v3 GOLD_micro False False 0.01 0.03 0.10 0.0 0.55 -0.55 0.03 0.04 10.03 56.0 3 4 caleb_strategy_v3 LEANHOG False False 0.01 0.10 0.13 0.0 0.16 -0.16 0.10 0.10 10.97 13.0 8 8 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.66 0.0 0.93 -0.93 0.00 0.00 7.12 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 9.3 Shocked risk 24.0 Sum abs risk 36.1 Leverage 4.07 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2845917.38, 'annual_cash_vol_target': 711479.345, 'daily_cash_vol_target': 44467.4590625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6580 0.5798 9.2773 BITCOIN 1588.7227 72660.0000 2.1865 34.9843 BOBL 0.2794 118.0500 0.2367 3.7873 BTP 0.5787 119.7000 0.4835 7.7357 BUND 0.5111 131.6400 0.3883 6.2124 BUXL 1.2235 131.1000 0.9332 14.9320 CAC 60.9039 7447.5000 0.8178 13.0844 CAD 0.0024 0.7206 0.3309 5.2939 CANOLA 7.6247 641.6000 1.1884 19.0142 CHF 0.0046 1.1602 0.3973 6.3573 COCOA 149.4338 6943.0000 2.1523 34.4367 COFFEE 4.3995 248.9000 1.7676 28.2811 COPPER 0.0512 4.3615 1.1742 18.7867 CORN 4.0910 440.7500 0.9282 14.8509 COTTON2 0.9113 72.3300 1.2599 20.1583 CRUDE_W 1.2224 66.5800 1.8360 29.3762 DAX 131.4506 19358.0000 0.6791 10.8648 DOW 252.3856 42339.0000 0.5961 9.5377 DX 0.3512 103.9300 0.3379 5.4064 EUR 0.0042 1.0880 0.3874 6.1977 EURIBOR-ICE 0.0495 97.7950 0.0506 0.8092 EUROSTX 41.9303 4897.0000 0.8562 13.6999 FEEDCOW 1.6927 239.8000 0.7059 11.2944 GASOIL 12.3752 661.7500 1.8701 29.9212 GASOLINE 0.0419 1.9497 2.1504 34.4072 GAS_US_mini 0.0928 3.0850 3.0093 48.1483 GBP 0.0060 1.2968 0.4646 7.4344 GOLD_micro 17.1110 2799.2000 0.6113 9.7805 HEATOIL 0.0433 2.2200 1.9516 31.2258 JGB-SGX-mini 0.2159 143.9700 0.1499 2.3990 JPY 0.0000 0.0066 0.7146 11.4332 LEANHOG 0.9327 85.6000 1.0896 17.4342 LIVECOW 1.0518 187.0750 0.5622 8.9960 LUMBER-new 7.3948 581.5000 1.2717 20.3467 MILK 0.2533 19.7100 1.2849 20.5588 MXP 0.0004 0.0492 0.7862 12.5787 NASDAQ_micro 154.7596 20536.0000 0.7536 12.0576 NIKKEI 497.6616 39315.0000 1.2658 20.2533 NZD 0.0038 0.5980 0.6274 10.0384 OAT 0.5163 124.5500 0.4146 6.6330 OATIES 5.1920 390.2500 1.3304 21.2868 OJ 7.3512 482.0000 1.5251 24.4022 PALLAD 31.0838 1155.5000 2.6901 43.0412 PLAT 16.4517 1021.0000 1.6113 25.7813 REDWHEAT 9.6949 588.5000 1.6474 26.3582 RICE 0.1318 14.7300 0.8947 14.3156 ROBUSTA 80.5277 4452.0000 1.8088 28.9408 RUSSELL 21.3515 2246.0000 0.9506 15.2103 SHATZ 0.0980 106.5450 0.0920 1.4721 SILVER-mini 0.5470 34.1250 1.6030 25.6482 SMI 83.3019 11961.0000 0.6964 11.1431 SOFR 0.0562 96.3300 0.0584 0.9341 SOYBEAN 9.8954 1029.0000 0.9617 15.3864 SOYMEAL 3.9012 306.3000 1.2737 20.3786 SOYOIL 0.7413 44.0100 1.6844 26.9510 SP400 22.4437 3153.1000 0.7118 11.3887 SP500_micro 32.0305 5858.0000 0.5468 8.7485 SUGAR11 0.2970 20.5900 1.4425 23.0795 US10 0.3608 110.5625 0.3263 5.2208 US10U 0.4822 113.7812 0.4238 6.7806 US2 0.1046 102.9727 0.1016 1.6252 US20 0.7204 117.7812 0.6116 9.7862 US30 1.1009 125.2500 0.8790 14.0635 US5 0.2402 107.2812 0.2239 3.5823 VIX 0.5673 18.8000 3.0176 48.2808 WHEAT 8.3756 637.7500 1.3133 21.0128 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 657.95 0.58 381.50 1.00 381.50 44467.46 116.56 -4.43 -51.68 BITCOIN 72.66 2.19 158.87 1.00 158.87 44467.46 279.89 1.34 37.51 BOBL 1180.50 0.24 279.43 1.08 302.06 44467.46 147.21 -1.36 -19.95 BTP 1197.00 0.48 578.72 1.08 625.60 44467.46 71.08 1.97 14.01 BUND 1316.40 0.39 511.12 1.08 552.52 44467.46 80.48 -6.20 -49.87 BUXL 1311.00 0.93 1223.49 1.08 1322.59 44467.46 33.62 -5.16 -17.34 CAC 744.75 0.82 609.04 1.08 658.37 44467.46 67.54 -5.86 -39.59 CAD 720.55 0.33 238.41 1.00 238.41 44467.46 186.52 -14.71 -274.44 CANOLA 128.32 1.19 152.49 0.72 109.79 44467.46 405.04 -6.09 -246.68 CHF 1450.19 0.40 576.21 1.00 576.21 44467.46 77.17 -9.12 -70.36 COCOA 694.30 2.15 1494.34 1.00 1494.34 44467.46 29.76 9.75 29.01 COFFEE 933.38 1.77 1649.81 1.00 1649.81 44467.46 26.95 -3.24 -8.73 COPPER 1090.38 1.17 1280.29 1.00 1280.29 44467.46 34.73 -2.88 -10.02 CORN 220.38 0.93 204.55 1.00 204.55 44467.46 217.39 -17.25 -374.92 COTTON2 361.65 1.26 455.64 1.00 455.64 44467.46 97.59 -16.99 -165.78 CRUDE_W 665.80 1.84 1222.42 1.00 1222.42 44467.46 36.38 -0.80 -2.91 DAX 193.58 0.68 131.45 1.08 142.10 44467.46 312.93 12.72 397.96 DOW 211.70 0.60 126.19 1.00 126.19 44467.46 352.38 1.80 63.55 DX 1039.30 0.34 351.18 1.00 351.18 44467.46 126.62 5.48 69.44 EUR 1359.94 0.39 526.78 1.00 526.78 44467.46 84.41 -6.38 -53.89 EURIBOR-ICE 2444.88 0.05 123.64 1.08 133.66 44467.46 332.70 6.27 208.64 EUROSTX 489.70 0.86 419.30 1.08 453.27 44467.46 98.10 -0.99 -9.67 FEEDCOW 1199.00 0.71 846.37 1.00 846.37 44467.46 52.54 1.65 8.66 GASOIL 661.75 1.87 1237.52 1.00 1237.52 44467.46 35.93 -5.14 -18.48 GASOLINE 818.87 2.15 1760.95 1.00 1760.95 44467.46 25.25 0.63 1.58 GAS_US_mini 77.12 3.01 232.09 1.00 232.09 44467.46 191.60 -11.38 -218.08 GBP 810.50 0.46 376.60 1.00 376.60 44467.46 118.08 -0.31 -3.61 GOLD_micro 279.92 0.61 171.11 1.00 171.11 44467.46 259.88 11.32 294.06 HEATOIL 932.40 1.95 1819.69 1.00 1819.69 44467.46 24.44 -8.88 -21.70 JGB-SGX-mini 143970.00 0.15 21586.92 0.01 141.01 44467.46 315.34 0.23 7.28 JPY 820.25 0.71 586.13 1.00 586.13 44467.46 75.87 -7.78 -59.02 LEANHOG 342.40 1.09 373.09 1.00 373.09 44467.46 119.19 15.15 180.55 LIVECOW 748.30 0.56 420.73 1.00 420.73 44467.46 105.69 9.21 97.31 LUMBER-new 159.91 1.27 203.36 1.00 203.36 44467.46 218.67 2.65 58.03 MILK 394.20 1.28 506.52 1.00 506.52 44467.46 87.79 1.14 10.03 MXP 245.85 0.79 193.28 1.00 193.28 44467.46 230.07 -3.53 -81.21 NASDAQ_micro 410.72 0.75 309.52 1.00 309.52 44467.46 143.67 2.40 34.42 NIKKEI 39315.00 1.27 49766.16 0.01 325.09 44467.46 136.78 5.23 71.50 NZD 598.05 0.63 375.22 1.00 375.22 44467.46 118.51 -4.85 -57.45 OAT 1245.50 0.41 516.34 1.08 558.16 44467.46 79.67 1.75 13.94 OATIES 195.12 1.33 259.60 1.00 259.60 44467.46 171.29 5.59 95.76 OJ 723.00 1.53 1102.68 1.00 1102.68 44467.46 40.33 12.52 50.50 PALLAD 1155.50 2.69 3108.38 1.00 3108.38 44467.46 14.31 5.63 8.05 PLAT 510.50 1.61 822.58 1.00 822.58 44467.46 54.06 1.56 8.42 REDWHEAT 294.25 1.65 484.74 1.00 484.74 44467.46 91.73 -16.45 -150.88 RICE 294.60 0.89 263.59 1.00 263.59 44467.46 168.70 -12.21 -205.92 ROBUSTA 445.20 1.81 805.28 1.00 805.28 44467.46 55.22 0.20 1.13 RUSSELL 112.30 0.95 106.76 1.00 106.76 44467.46 416.53 2.94 122.30 SHATZ 1065.45 0.09 98.03 1.08 105.97 44467.46 419.64 -4.52 -189.87 SILVER-mini 853.12 1.60 1367.57 1.00 1367.57 44467.46 32.52 7.64 24.83 SMI 1196.10 0.70 833.02 1.16 962.39 44467.46 46.21 4.09 18.88 SOFR 2408.25 0.06 140.59 1.00 140.59 44467.46 316.28 -5.86 -185.44 SOYBEAN 514.50 0.96 494.77 1.00 494.77 44467.46 89.87 -17.73 -159.31 SOYMEAL 306.30 1.27 390.12 1.00 390.12 44467.46 113.98 -19.39 -221.06 SOYOIL 264.06 1.68 444.79 1.00 444.79 44467.46 99.97 -3.84 -38.43 SP400 3153.10 0.71 2244.37 1.00 2244.37 44467.46 19.81 2.41 4.77 SP500_micro 292.90 0.55 160.15 1.00 160.15 44467.46 277.66 5.63 156.25 SUGAR11 230.61 1.44 332.64 1.00 332.64 44467.46 133.68 2.15 28.78 US10 1105.62 0.33 360.77 1.00 360.77 44467.46 123.26 -6.58 -81.12 US10U 1137.81 0.42 482.19 1.00 482.19 44467.46 92.22 -7.23 -66.66 US2 2059.45 0.10 209.19 1.00 209.19 44467.46 212.57 -7.30 -155.17 US20 1177.81 0.61 720.40 1.00 720.40 44467.46 61.73 -4.88 -30.10 US30 1252.50 0.88 1100.91 1.00 1100.91 44467.46 40.39 -5.42 -21.90 US5 1072.81 0.22 240.20 1.00 240.20 44467.46 185.13 -6.48 -119.89 VIX 188.00 3.02 567.30 1.00 567.30 44467.46 78.38 -8.10 -63.47 WHEAT 318.88 1.31 418.78 1.00 418.78 44467.46 106.18 -14.43 -153.24 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -51.682 0.010 2.5 -1.341 BITCOIN 37.510 0.043 2.5 4.062 BOBL -19.949 0.004 2.5 -0.202 BTP 14.014 0.014 2.5 0.478 BUND -49.867 0.004 2.5 -0.506 BUXL -17.335 0.004 2.5 -0.176 CAC -39.586 0.014 2.5 -1.350 CAD -274.438 0.010 2.5 -7.121 CANOLA -246.681 0.010 2.5 -6.001 CHF -70.362 0.010 2.5 -1.826 COCOA 29.005 0.009 2.5 0.621 COFFEE -8.726 0.005 2.5 -0.102 COPPER -10.020 0.043 2.5 -1.085 CORN -374.920 0.010 2.5 -9.121 COTTON2 -165.784 0.009 2.5 -3.551 CRUDE_W -2.908 0.043 2.5 -0.315 DAX 397.965 0.014 2.5 13.574 DOW 63.550 0.009 2.5 1.477 DX 69.442 0.010 2.5 1.802 EUR -53.889 0.010 2.5 -1.398 EURIBOR-ICE 208.644 0.014 2.5 7.116 EUROSTX -9.666 0.014 2.5 -0.330 FEEDCOW 8.664 0.013 2.5 0.287 GASOIL -18.477 0.017 2.5 -0.801 GASOLINE 1.582 0.017 2.5 0.069 GAS_US_mini -218.081 0.043 2.5 -23.615 GBP -3.611 0.010 2.5 -0.094 GOLD_micro 294.059 0.014 2.5 10.030 HEATOIL -21.699 0.017 2.5 -0.941 JGB-SGX-mini 7.275 0.043 2.5 0.788 JPY -59.019 0.010 2.5 -1.531 LEANHOG 180.547 0.024 2.5 10.973 LIVECOW 97.312 0.013 2.5 3.225 LUMBER-new 58.035 0.009 2.5 1.243 MILK 10.031 0.009 2.5 0.215 MXP -81.215 0.059 2.5 -11.920 NASDAQ_micro 34.424 0.009 2.5 0.800 NIKKEI 71.504 0.043 2.5 7.743 NZD -57.451 0.010 2.5 -1.491 OAT 13.943 0.014 2.5 0.476 OATIES 95.763 0.010 2.5 2.330 OJ 50.498 0.009 2.5 1.082 PALLAD 8.053 0.014 2.5 0.275 PLAT 8.415 0.014 2.5 0.287 REDWHEAT -150.876 0.005 2.5 -2.001 RICE -205.917 0.010 2.5 -5.010 ROBUSTA 1.128 0.005 2.5 0.013 RUSSELL 122.303 0.013 2.5 4.053 SHATZ -189.874 0.004 2.5 -1.925 SILVER-mini 24.833 0.014 2.5 0.847 SMI 18.877 0.014 2.5 0.644 SOFR -185.442 0.024 2.5 -11.270 SOYBEAN -159.310 0.004 2.5 -1.482 SOYMEAL -221.062 0.004 2.5 -2.056 SOYOIL -38.431 0.004 2.5 -0.358 SP400 4.770 0.013 2.5 0.158 SP500_micro 156.248 0.009 2.5 3.631 SUGAR11 28.779 0.009 2.5 0.612 US10 -81.119 0.005 2.5 -1.028 US10U -66.659 0.005 2.5 -0.845 US2 -155.173 0.005 2.5 -1.966 US20 -30.101 0.005 2.5 -0.381 US30 -21.898 0.005 2.5 -0.277 US5 -119.893 0.005 2.5 -1.519 VIX -63.466 0.099 2.5 -15.666 WHEAT -153.237 0.005 2.5 -2.033 ===================== Position diags ===================== AUD 3.02 BITCOIN 30.31 BOBL 1.49 BTP 2.42 BUND 0.82 BUXL 0.34 CAC 2.30 CAD 4.84 CANOLA 9.85 CHF 2.00 COCOA 0.64 COFFEE 0.31 COPPER 3.76 CORN 5.29 COTTON2 2.09 CRUDE_W 3.94 DAX 10.67 DOW 8.19 DX 3.29 EUR 2.19 EURIBOR-ICE 11.35 EUROSTX 3.35 FEEDCOW 1.74 GASOIL 1.56 GASOLINE 1.09 GAS_US_mini 20.75 GBP 3.06 GOLD_micro 8.86 HEATOIL 1.06 JGB-SGX-mini 34.15 JPY 1.97 LEANHOG 7.24 LIVECOW 3.50 LUMBER-new 4.68 MILK 1.88 MXP 33.77 NASDAQ_micro 3.34 NIKKEI 14.81 NZD 3.07 OAT 2.72 OATIES 4.17 OJ 0.86 PALLAD 0.49 PLAT 1.84 REDWHEAT 1.22 RICE 4.10 ROBUSTA 0.64 RUSSELL 13.80 SHATZ 4.26 SILVER-mini 1.11 SMI 1.58 SOFR 19.22 SOYBEAN 0.84 SOYMEAL 1.06 SOYOIL 0.93 SP400 0.66 SP500_micro 6.45 SUGAR11 2.84 US10 1.56 US10U 1.17 US2 2.69 US20 0.78 US30 0.51 US5 2.35 VIX 19.35 WHEAT 1.41 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.3 -1.6 -1.0 -1.0 -1 BITCOIN 4.1 1.0 7.1 0.0 0 BOBL -0.2 -0.4 -0.1 0.0 0 BTP 0.5 0.2 0.7 0.0 0 BUND -0.5 -0.6 -0.4 0.0 0 BUXL -0.2 -0.2 -0.1 0.0 0 CAC -1.4 -1.6 -1.1 0.0 0 CAD -7.1 -7.6 -6.6 -3.0 -3 CANOLA -6.0 -7.0 -5.0 -2.0 -2 CHF -1.8 -2.0 -1.6 -3.0 -3 COCOA 0.6 0.6 0.7 1.0 1 COFFEE -0.1 -0.1 -0.1 0.0 0 COPPER -1.1 -1.5 -0.7 0.0 0 CORN -9.1 -9.7 -8.6 -7.0 -7 COTTON2 -3.6 -3.8 -3.3 -4.0 -4 CRUDE_W -0.3 -0.7 0.1 0.0 0 DAX 13.6 12.5 14.6 9.0 9 DOW 1.5 0.7 2.3 0.0 0 DX 1.8 1.5 2.1 0.0 0 EUR -1.4 -1.6 -1.2 -3.0 -3 EURIBOR-ICE 7.1 6.0 8.3 0.0 0 EUROSTX -0.3 -0.7 0.0 0.0 0 FEEDCOW 0.3 0.1 0.5 3.0 3 GASOIL -0.8 -1.0 -0.6 -1.0 -1 GASOLINE 0.1 -0.0 0.2 0.0 0 GAS_US_mini -23.6 -25.7 -21.5 -16.0 -16 GBP -0.1 -0.4 0.2 -1.0 -1 GOLD_micro 10.0 9.1 10.9 3.0 3 HEATOIL -0.9 -1.0 -0.8 -1.0 -1 JGB-SGX-mini 0.8 -2.6 4.2 -1.0 -1 JPY -1.5 -1.7 -1.3 -1.0 -1 LEANHOG 11.0 10.2 11.7 8.0 8 LIVECOW 3.2 2.9 3.6 1.0 1 LUMBER-new 1.2 0.8 1.7 -2.0 -2 MILK 0.2 0.0 0.4 1.0 1 MXP -11.9 -15.3 -8.5 -7.0 -7 NASDAQ_micro 0.8 0.5 1.1 1.0 1 NIKKEI 7.7 6.3 9.2 4.0 4 NZD -1.5 -1.8 -1.2 0.0 0 OAT 0.5 0.2 0.7 3.0 3 OATIES 2.3 1.9 2.7 NaN 0 OJ 1.1 1.0 1.2 1.0 1 PALLAD 0.3 0.2 0.3 0.0 0 PLAT 0.3 0.1 0.5 1.0 1 REDWHEAT -2.0 -2.1 -1.9 0.0 0 RICE -5.0 -5.4 -4.6 NaN 0 ROBUSTA 0.0 -0.1 0.1 0.0 0 RUSSELL 4.1 2.7 5.4 0.0 0 SHATZ -1.9 -2.4 -1.5 NaN 0 SILVER-mini 0.8 0.7 1.0 1.0 1 SMI 0.6 0.5 0.8 0.0 0 SOFR -11.3 -13.2 -9.3 NaN 0 SOYBEAN -1.5 -1.6 -1.4 -3.0 -3 SOYMEAL -2.1 -2.2 -1.9 -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 3.6 3.0 4.3 0.0 0 SUGAR11 0.6 0.3 0.9 2.0 2 US10 -1.0 -1.2 -0.9 0.0 0 US10U -0.8 -1.0 -0.7 0.0 0 US2 -2.0 -2.2 -1.7 NaN 0 US20 -0.4 -0.5 -0.3 0.0 0 US30 -0.3 -0.3 -0.2 -3.0 -3 US5 -1.5 -1.8 -1.3 -1.0 -1 VIX -15.7 -17.6 -13.7 -7.0 -7 WHEAT -2.0 -2.2 -1.9 -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 -0.1 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 0.1 -0.2 0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.1 -0.2 0.4 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.2 -0.4 -0.1 -0.2 0.2 -0.2 0.3 -0.1 BITCOIN 0.5 0.4 -0.3 0.1 0.1 0.1 0.1 0.0 0.1 0.2 0.0 0.2 0.4 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.3 0.2 -2.7 0.1 0.1 0.1 0.1 0.2 0.1 -0.1 -0.2 0.5 -0.4 -0.1 0.1 -0.1 0.1 0.1 BOBL -0.5 -0.3 0.5 -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 0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.5 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -0.1 0.1 0.2 0.1 -0.6 -0.5 0.0 -0.0 BTP -0.3 -0.1 0.2 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.1 0.4 -0.1 0.6 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.3 -0.0 -2.7 0.0 -0.1 0.2 -0.1 0.2 0.0 0.8 0.1 0.6 0.6 0.3 -0.7 -0.4 0.2 0.4 BUND -0.5 -0.3 0.4 -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 -0.1 -0.3 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.4 -0.1 0.1 0.2 -0.0 -0.7 -0.6 -0.0 -0.0 BUXL -0.4 -0.3 0.2 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -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 -0.1 0.2 0.1 0.3 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 -0.1 -1.0 -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 -0.4 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.2 -0.3 -0.2 -0.6 -0.2 -0.2 -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 -0.3 -0.4 -0.6 -0.6 -0.5 0.0 -0.3 -0.1 -0.2 CANOLA 0.3 0.5 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 0.0 0.0 -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 0.4 0.5 0.3 0.2 -0.2 -0.4 0.1 -0.3 CHF -0.6 -0.5 0.5 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 0.2 -0.2 -0.1 -0.2 0.0 -0.3 -0.3 -0.3 -0.3 -0.1 0.0 -0.1 0.1 -0.2 0.7 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -1.1 0.1 -0.0 -0.4 0.5 -0.4 -0.4 -0.7 -0.4 COCOA 0.3 0.1 0.3 -0.0 0.0 -0.0 -0.0 -0.1 0.0 0.0 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 0.3 0.1 0.3 0.7 0.6 0.7 0.7 COFFEE -0.3 -0.1 0.0 -0.0 0.0 -0.1 -0.0 -0.2 0.0 -0.0 0.4 -0.1 0.6 -0.0 0.0 0.0 0.1 0.1 0.1 0.0 0.1 -0.1 0.5 -0.0 -2.7 0.0 -0.0 0.2 -0.0 0.4 -0.0 0.3 -0.4 -0.4 -0.0 0.6 -0.3 -0.2 0.0 -0.0 COPPER -0.4 0.4 -0.2 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 -2.2 0.0 -0.0 0.1 -0.0 0.1 0.0 0.2 -0.5 -0.6 -0.1 -0.2 0.6 0.3 0.5 0.7 CORN -0.3 0.3 -0.4 -0.0 0.0 -0.1 -0.0 -0.2 0.0 0.0 -0.4 -0.1 -0.7 -0.1 -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 -0.3 -0.0 -0.5 -0.1 -1.1 0.0 -0.6 -0.4 -0.5 0.2 -0.1 0.3 0.0 COTTON2 -0.3 0.3 0.2 -0.0 0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.4 -0.2 -0.6 0.0 0.0 -0.3 -0.1 -0.3 -0.2 -0.0 -0.1 -0.1 -0.4 -0.0 -2.7 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.9 -0.2 -0.4 -0.1 0.1 -0.6 -0.4 -0.3 -0.3 CRUDE_W -0.0 0.1 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.0 -0.0 -0.1 0.1 0.2 0.1 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.5 -0.0 -0.2 0.0 0.1 -0.1 0.3 -0.1 0.4 DAX 0.2 0.5 0.1 0.0 -0.0 0.2 -0.0 0.3 0.0 -0.1 0.5 0.0 0.7 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.0 0.5 0.1 1.4 0.1 -0.1 0.2 -0.0 0.3 0.0 -0.3 0.1 0.3 0.4 0.2 0.7 0.3 0.2 0.1 DOW -0.2 0.3 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 0.0 -1.8 0.1 -0.0 0.2 -0.0 0.3 0.0 -0.4 -0.4 0.1 0.5 0.6 0.4 0.2 -0.3 -0.2 DX 0.6 0.6 -0.4 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.1 -0.0 0.2 0.2 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 0.7 0.5 0.6 0.6 -0.5 0.1 0.3 0.0 0.4 EUR -0.6 -0.5 0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 0.0 -0.2 2.7 -0.1 0.0 -0.0 -0.0 0.0 -0.1 -0.5 0.2 -0.2 -0.6 0.1 -0.2 -0.6 -0.4 -0.7 EURIBOR-ICE -0.4 -0.3 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.2 -0.0 0.2 -0.0 0.1 0.1 -0.0 0.1 0.0 0.0 0.1 -0.0 0.2 -0.0 1.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.4 0.1 0.3 0.4 0.3 -0.3 -0.6 0.3 0.2 EUROSTX -0.1 0.2 -0.2 0.0 -0.0 0.2 -0.0 0.3 0.0 -0.1 0.1 -0.1 0.5 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 0.2 -0.0 -0.4 0.0 -0.1 0.1 -0.0 0.3 -0.0 0.2 0.1 -0.2 -0.1 -0.4 0.2 0.1 -0.7 -0.3 FEEDCOW 0.3 0.6 -0.5 -0.0 0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.2 -0.0 -0.5 0.2 0.0 0.3 -0.1 0.3 0.1 0.1 -0.1 -0.0 -0.4 0.1 -1.4 0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 -0.3 0.6 0.6 -0.6 0.4 0.7 0.7 0.7 GASOIL 0.0 0.1 -0.5 -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 -0.2 -0.1 0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.1 -0.1 -0.3 -0.3 -0.0 -0.3 0.0 -0.5 GASOLINE -0.0 0.3 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.0 -0.0 -0.0 0.1 0.4 0.3 0.4 -0.0 -0.0 -0.1 -0.0 -0.0 -2.5 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 1.1 -0.1 0.0 0.2 0.3 0.1 0.4 0.2 0.6 GAS_US_mini -0.4 0.2 0.2 -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 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -1.1 0.2 -0.6 -0.1 0.1 -0.4 -0.7 -0.2 -0.6 GBP -0.6 -0.3 0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 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 -0.1 -0.3 -0.0 -0.0 0.1 -0.0 0.2 -0.1 0.1 0.3 0.0 0.1 0.5 0.2 -0.7 0.4 -0.7 GOLD_micro 0.3 0.6 0.6 0.1 0.0 0.1 0.1 0.0 0.1 0.2 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 -2.1 0.1 0.1 0.2 0.1 0.2 0.1 -0.7 0.5 0.6 0.6 0.6 0.7 0.0 0.5 0.2 HEATOIL 0.0 0.3 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -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 -0.0 -0.2 -0.0 -2.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.5 0.1 0.0 0.0 -0.0 -0.1 0.1 -0.1 0.2 JGB-SGX-mini -0.5 -0.1 0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.1 0.0 0.3 0.3 0.3 0.3 -0.0 0.0 -0.0 0.1 -0.0 -1.5 -0.0 0.0 0.0 -0.0 0.0 -0.0 1.1 0.4 0.3 0.2 0.1 -0.6 -0.3 -0.7 -0.1 JPY -0.6 -0.6 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 -0.2 -0.2 -0.3 0.3 -0.7 -0.7 -0.6 -0.7 LEANHOG 0.4 0.6 0.5 -0.0 0.0 -0.1 -0.0 -0.3 0.0 0.2 0.1 0.2 -0.1 0.2 0.2 -0.3 0.4 0.4 0.4 0.2 0.2 0.2 -0.1 0.2 0.4 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 0.2 0.0 LIVECOW 0.1 0.6 0.1 -0.0 0.0 -0.1 -0.0 -0.3 0.0 -0.1 0.5 0.0 0.6 0.2 0.2 -0.0 0.2 0.1 0.1 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 -0.1 0.2 0.0 0.2 0.1 0.6 -0.0 0.6 0.6 0.5 -0.2 0.7 0.1 0.7 LUMBER-new 0.3 0.5 0.3 -0.0 0.0 -0.1 -0.0 -0.2 0.0 0.2 -0.3 0.2 -0.5 0.2 0.2 -0.5 -0.4 -0.4 -0.4 0.1 -0.0 0.2 -0.3 0.2 NaN 0.1 0.2 0.0 0.1 -0.2 0.1 -1.2 0.6 0.7 0.4 0.7 0.2 0.0 0.4 0.2 MILK -0.6 -0.3 0.5 -0.0 0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.3 -0.1 0.3 -0.1 0.0 0.3 -0.0 0.4 0.3 0.0 0.1 -0.2 0.3 -0.1 1.8 -0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 -0.5 -0.6 -0.4 0.5 -0.1 -0.7 0.1 -0.7 MXP -0.2 -0.0 -0.6 -0.0 -0.0 0.0 -0.0 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 -0.2 -0.1 -0.3 -0.1 -2.7 -0.1 -0.0 -0.2 -0.1 -0.1 -0.0 1.1 -0.0 0.4 0.1 -0.6 0.5 0.6 0.7 0.7 NASDAQ_micro 0.3 0.5 0.2 0.0 -0.0 0.1 -0.0 0.2 0.0 0.1 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 0.1 0.0 0.1 0.0 0.3 0.0 -0.3 0.5 0.4 0.5 -0.2 0.2 0.1 -0.3 -0.1 NIKKEI 0.1 0.3 -0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 0.1 0.1 0.0 0.2 0.1 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 0.1 0.0 1.1 0.1 0.1 0.0 -0.5 0.6 0.2 0.6 0.2 NZD -0.6 -0.3 0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 0.0 -0.2 0.0 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.2 0.1 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.3 -0.2 -0.2 0.1 -0.3 0.1 -0.1 OAT -0.3 -0.3 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 -0.1 -0.0 -0.1 0.5 -0.0 -0.1 0.0 -0.1 0.0 -0.0 0.8 0.0 0.3 0.2 -0.1 -0.3 -0.5 0.3 0.2 OATIES -0.3 0.6 0.6 -0.0 0.0 -0.1 -0.0 -0.2 0.0 0.1 0.1 0.1 -0.5 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.1 0.1 -0.1 0.2 -2.7 0.1 0.1 0.1 0.0 0.0 0.0 0.1 0.4 0.1 0.6 0.6 0.7 0.1 0.7 0.4 OJ 0.1 0.0 0.1 -0.0 0.0 -0.1 -0.0 -0.2 0.0 0.0 0.5 0.1 0.7 0.1 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.5 0.1 0.9 -0.0 0.6 0.3 0.6 0.5 0.4 0.7 0.7 PALLAD 0.3 0.4 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 -0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 -0.0 0.1 2.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.3 0.3 0.3 0.1 0.1 -0.4 -0.7 -0.7 -0.7 PLAT 0.2 0.3 -0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.1 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 0.0 0.1 0.8 0.0 -0.0 0.0 0.0 0.0 0.1 0.1 -0.3 -0.2 -0.1 -0.2 0.1 -0.3 -0.2 -0.0 REDWHEAT -0.2 0.3 0.1 -0.0 0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.3 -0.1 -0.6 -0.1 0.0 -0.2 -0.1 -0.2 -0.2 -0.0 -0.1 -0.1 -0.4 -0.1 -0.6 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -1.0 -0.4 -0.4 -0.1 -0.2 -0.7 -0.7 -0.7 -0.7 RICE -0.3 -0.1 -0.2 -0.0 0.0 -0.1 -0.0 -0.2 0.0 -0.2 0.3 -0.2 0.5 -0.2 -0.0 -0.2 0.4 -0.0 0.3 -0.1 -0.0 -0.2 0.2 -0.1 -2.2 -0.1 -0.2 -0.0 -0.2 0.1 -0.1 1.1 -0.5 -0.6 -0.5 0.0 -0.7 -0.7 -0.7 -0.7 ROBUSTA -0.6 -0.5 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 0.0 -0.0 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 -0.4 -0.6 -0.1 0.6 0.4 -0.0 0.6 0.2 RUSSELL 0.1 0.2 0.2 0.0 -0.0 0.1 -0.0 0.3 0.0 -0.0 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 0.3 0.0 0.0 -0.1 0.2 0.3 0.6 -0.0 -0.5 -0.6 -0.7 SHATZ -0.5 -0.2 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.0 0.0 -0.4 -0.4 -0.4 -0.4 0.0 0.0 -0.1 0.0 -0.0 0.8 0.0 -0.1 0.1 -0.0 0.0 -0.0 -1.1 0.1 0.1 0.3 0.2 -0.5 -0.5 -0.1 -0.2 SILVER-mini 0.3 0.5 0.0 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 0.2 0.1 0.1 0.3 0.2 0.2 0.0 0.0 0.1 0.0 0.1 0.1 -0.1 0.2 0.2 0.3 0.1 0.2 -0.1 -0.2 0.3 SMI 0.1 -0.1 -0.3 0.0 -0.0 0.2 -0.0 0.3 0.0 -0.1 0.3 -0.1 0.6 -0.0 0.1 0.0 0.0 -0.0 -0.0 0.0 0.1 -0.1 0.3 -0.0 1.5 0.0 -0.2 0.2 -0.1 0.4 -0.0 0.6 -0.2 -0.0 -0.5 0.2 -0.1 0.1 -0.7 -0.2 SOFR -0.6 -0.6 0.3 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.1 0.2 -0.2 0.3 -0.2 -0.1 0.0 0.0 0.0 0.0 -0.2 0.0 -0.2 0.1 -0.2 -0.9 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.4 -0.3 -0.6 -0.6 -0.3 0.1 -0.4 0.7 0.5 SOYBEAN -0.5 0.1 -0.5 -0.0 0.0 -0.1 -0.0 -0.2 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 -0.1 -0.0 -0.2 -0.0 -0.2 -0.1 -0.3 -0.1 -0.6 -0.5 -0.6 0.1 -0.3 0.3 -0.2 SOYMEAL -0.6 0.1 -0.1 -0.0 0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.1 0.0 -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 -0.1 -0.1 -0.3 -0.6 -0.3 -0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.0 0.6 0.1 -0.0 0.0 -0.0 -0.0 -0.1 0.0 0.0 -0.1 0.0 -0.3 0.1 -0.0 -0.0 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 0.2 0.1 0.2 -0.0 0.1 -0.2 0.4 -0.1 SP400 0.1 0.4 0.2 0.0 -0.0 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 0.1 0.1 -0.0 0.4 0.1 -1.8 0.1 -0.0 0.2 -0.0 0.3 0.0 -0.0 -0.2 0.2 0.5 0.6 0.2 -0.2 -0.4 -0.7 SP500_micro 0.2 0.6 0.4 0.0 -0.0 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 0.0 -0.5 0.2 0.6 0.6 0.4 0.4 0.1 -0.3 -0.2 SUGAR11 -0.5 0.6 0.6 -0.0 0.0 -0.1 -0.0 -0.2 0.0 0.1 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 0.0 -2.7 0.0 0.0 0.1 -0.0 0.0 0.0 1.1 -0.0 -0.3 0.6 0.6 -0.6 0.2 -0.6 0.3 US10 -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 -0.1 -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 -0.0 0.0 -0.0 -0.3 -0.2 -0.5 -0.5 -0.2 -0.0 -0.7 0.6 0.3 US10U -0.6 -0.6 0.3 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.1 0.1 -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 -0.2 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.2 -0.5 -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 -0.2 1.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -1.1 -0.0 -0.4 -0.3 0.1 -0.1 -0.7 0.2 -0.3 US20 -0.6 -0.6 0.3 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.2 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.2 -0.1 -0.3 -0.5 -0.4 0.0 -0.4 0.7 0.7 US30 -0.6 -0.6 0.2 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 -0.3 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 0.0 -0.2 -0.4 -0.5 -0.1 -0.3 0.7 0.7 US5 -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 -0.1 -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 -0.1 -0.5 -0.5 -0.1 0.1 -0.7 0.6 0.1 VIX -0.2 0.1 0.9 0.0 0.0 0.1 -0.0 -0.2 -0.0 -0.0 -0.3 -0.2 -0.6 -0.1 -0.1 -0.2 -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 -1.1 -1.1 NaN NaN WHEAT -0.3 0.3 -0.0 -0.0 0.0 -0.1 -0.0 -0.2 0.0 0.0 -0.3 -0.1 -0.6 -0.1 0.0 -0.2 -0.3 -0.3 -0.3 -0.0 -0.1 -0.1 -0.4 -0.1 0.6 -0.0 0.0 -0.1 -0.1 -0.2 -0.0 -1.1 -0.2 -0.5 -0.0 -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 -4.4 3.3 -2.8 -3.5 0.1 -6.3 0.9 -6.2 -15.4 4.2 -18.9 3.0 -17.7 -3.7 -0.3 -1.8 -0.6 -1.1 -8.2 0.7 -20.0 1.9 -20.0 2.7 -3.1 -7.4 0.4 -9.5 1.0 -7.7 -0.0 -10.3 -11.7 -2.6 -6.2 5.1 -6.8 8.5 -1.9 BITCOIN 16.6 13.3 -9.3 6.2 6.2 2.6 8.0 0.1 8.0 18.5 1.0 20.0 11.0 20.0 14.6 -6.2 -6.7 -6.2 -6.4 15.7 7.1 20.0 11.1 20.0 -20.0 5.6 14.1 2.9 12.8 6.7 10.2 -2.1 -6.4 17.0 -12.8 -3.7 4.1 -1.8 1.6 2.8 BOBL -15.8 -8.8 15.9 -1.2 -3.3 0.8 -3.4 1.0 -3.1 -9.0 4.1 -9.4 -1.0 -7.3 2.0 17.5 -6.2 7.6 -0.9 -1.0 2.4 -10.5 0.9 -6.1 3.8 -0.3 -8.8 1.6 -5.3 1.3 -3.0 -0.7 -2.1 2.2 6.9 2.3 -18.3 -15.7 1.1 -1.5 BTP -9.6 -2.8 6.6 -2.1 -5.5 1.4 -5.6 1.7 -5.2 -14.8 13.4 -10.8 15.6 0.5 11.0 7.2 4.9 6.1 5.0 6.9 10.5 -9.1 10.7 -0.4 -20.0 4.3 -10.0 6.3 -4.7 6.3 0.2 15.0 5.8 20.0 20.0 9.6 -20.0 -12.2 5.5 11.0 BUND -15.4 -9.8 11.0 -1.4 -3.8 1.0 -3.9 1.2 -3.6 -10.4 4.3 -11.0 1.3 -9.7 1.1 -20.0 -5.9 -16.2 -10.8 -2.4 2.0 -12.0 1.3 -8.1 1.1 -1.0 -9.1 1.5 -6.4 1.7 -4.2 -7.0 -2.2 4.5 5.8 -0.8 -20.0 -17.6 -0.4 -0.5 BUXL -12.1 -10.0 7.3 -1.6 -4.3 1.1 -4.4 1.3 -4.1 -10.5 1.8 -11.2 0.5 -10.8 -1.8 0.2 -1.6 -0.2 -1.1 -4.6 -0.6 -9.6 -1.1 -8.7 -2.0 -2.3 -5.2 0.4 -5.4 1.0 -4.8 4.3 2.4 10.5 4.0 -6.0 -20.0 -20.0 -5.3 -6.2 CAC -3.3 7.4 -8.7 3.6 -4.5 6.0 -2.6 8.5 0.7 -15.8 -8.0 -14.7 -0.3 -8.2 1.3 -5.6 -3.3 -5.7 -4.6 -4.3 -6.2 -9.1 -2.5 -5.2 -7.3 -2.2 -9.7 -3.1 -6.0 0.1 -2.9 4.3 5.2 -11.2 -10.1 -17.5 6.0 5.5 -6.2 -2.3 CAD -20.0 -13.8 3.2 -3.6 -4.5 0.1 -8.1 1.2 -8.0 -18.9 -11.1 -20.0 -16.5 -20.0 -17.1 -6.1 -4.0 -5.3 -4.7 -20.0 -11.1 -20.0 -8.6 -20.0 -0.6 -6.4 -5.9 -2.7 -9.5 -1.9 -10.1 -4.8 -16.4 -20.0 -20.0 -14.1 0.9 -8.3 -2.9 -4.9 CANOLA 10.2 15.8 -3.5 -0.0 0.5 -1.8 -0.1 -2.8 0.4 2.5 -1.2 5.7 -7.3 8.4 2.3 -15.9 -11.8 -14.4 -13.7 5.2 -1.3 6.0 -7.1 8.4 -16.7 2.8 -0.0 0.6 2.2 -1.9 3.4 -20.0 16.6 15.0 10.4 7.4 -4.7 -12.3 1.5 -7.7 CHF -20.0 -15.4 16.6 -2.8 -3.5 0.1 -6.2 0.9 -6.2 -11.2 5.7 -18.8 -1.7 -19.1 0.3 -15.5 -16.1 -15.2 -15.5 -9.0 3.0 -14.4 3.4 -19.1 5.4 -2.7 -2.0 1.5 -4.7 1.9 -6.1 -20.0 5.9 -1.2 -12.2 16.7 -10.8 -12.9 -20.0 -12.8 COCOA 9.2 3.6 9.2 -0.0 0.4 -1.4 -0.1 -2.1 0.3 5.0 1.2 2.0 3.7 2.7 3.2 20.0 20.0 20.0 20.0 4.0 5.9 4.6 11.1 3.6 -20.0 2.0 4.2 3.6 1.9 7.4 1.6 20.0 -2.7 9.0 4.1 8.8 20.0 18.5 20.0 20.0 COFFEE -9.3 -4.3 0.4 -0.0 1.0 -3.3 -0.2 -5.1 0.7 -4.7 13.3 -8.1 15.4 -3.2 4.5 1.9 5.2 2.9 4.0 4.5 13.7 -5.9 18.2 -3.7 -20.0 1.8 -1.6 6.9 -3.3 10.6 -2.3 4.7 -15.5 -13.2 -0.9 18.3 -8.8 -7.3 0.5 -0.6 COPPER -12.5 13.5 -4.9 3.5 3.5 1.4 4.5 0.1 4.5 0.1 -3.3 -11.1 -0.1 0.6 2.3 -4.2 -3.2 -3.7 -3.2 1.8 2.6 -3.8 4.3 -1.7 -16.6 2.0 -0.5 2.3 -1.0 2.5 0.3 3.9 -20.0 -20.0 -3.5 -7.0 17.9 10.1 14.2 20.0 CORN -9.6 8.5 -11.1 -0.1 1.2 -4.1 -0.3 -6.2 0.8 4.4 -16.4 -11.8 -20.0 -8.6 -6.7 -10.1 -14.7 -13.8 -15.6 -10.6 -20.0 -6.7 -20.0 -8.7 -12.5 -6.3 -0.8 -9.4 -3.8 -12.7 -5.5 -20.0 1.4 -20.0 -13.5 -16.3 5.0 -3.3 9.4 0.7 COTTON2 -8.5 10.1 5.7 -0.0 1.0 -3.6 -0.3 -5.5 0.7 -16.5 -15.4 -15.9 -16.2 1.6 3.5 -15.0 -6.0 -12.8 -9.8 -1.4 -8.2 -9.5 -16.1 -4.6 -20.0 -0.8 -7.5 -2.5 -6.4 -3.6 -3.3 -16.7 -8.7 -12.5 -2.2 4.5 -16.6 -12.9 -9.7 -8.1 CRUDE_W -0.9 3.8 -13.6 -1.8 -4.0 -3.2 -3.5 -2.2 -1.5 -8.0 -7.1 -10.6 -1.3 -1.1 -7.0 3.3 11.0 7.2 9.5 -5.8 -6.7 -8.1 -3.2 -5.3 -1.4 -2.3 -6.1 -3.7 -5.6 -2.3 -2.8 9.6 -0.3 -5.6 1.5 2.2 -2.9 8.7 -2.7 13.3 DAX 5.1 14.8 4.0 4.0 -5.0 6.5 -2.9 9.3 0.8 -15.2 16.7 3.7 18.7 14.9 18.5 -8.6 -9.9 -8.6 -9.1 18.4 17.0 -0.6 17.8 12.3 10.3 6.2 -5.9 6.0 -0.6 7.4 4.2 -5.6 2.3 9.3 13.5 5.5 20.0 8.2 6.5 2.1 DOW -5.1 10.1 10.7 3.3 -4.1 5.3 -2.4 7.6 0.6 -13.3 15.0 -10.5 16.7 8.1 14.1 -10.3 -10.7 -10.0 -10.2 14.3 18.3 -10.1 19.0 2.9 -13.8 5.0 -4.8 6.7 -3.4 7.3 1.0 -7.2 -15.4 1.6 15.3 20.0 12.4 4.9 -9.6 -7.4 DX 20.0 20.0 -12.1 -3.1 -3.9 0.1 -6.9 1.0 -6.9 8.2 -1.0 19.0 5.4 20.0 8.7 6.5 6.6 6.2 6.4 18.7 1.9 20.0 -1.3 20.0 -20.0 4.5 1.2 0.3 6.0 -0.5 7.9 13.8 20.0 20.0 20.0 -16.9 1.7 8.8 1.3 12.1 EUR -20.0 -16.2 5.5 -3.4 -4.2 0.1 -7.4 1.1 -7.4 7.2 -1.9 -16.8 -4.0 -20.0 -12.7 -7.3 -7.1 -6.9 -6.9 -17.1 -4.0 -13.9 0.3 -20.0 20.0 -5.2 1.9 -0.7 -4.4 1.0 -7.8 -9.4 8.9 -6.6 -17.8 1.7 -5.0 -19.5 -11.2 -20.0 EURIBOR-ICE -11.3 -8.5 17.2 -1.1 -2.9 0.8 -3.0 0.9 -2.8 -7.5 6.4 -4.1 5.6 -1.8 5.7 5.8 -0.9 4.0 1.6 3.8 6.8 -5.0 5.7 -0.9 11.1 1.9 -5.3 3.2 -2.3 2.8 -0.4 7.1 4.7 8.1 12.7 9.8 -8.6 -17.1 8.0 5.4 EUROSTX -2.9 6.6 -6.7 3.5 -4.4 5.7 -2.5 8.2 0.7 -11.3 5.2 -12.4 12.5 2.8 7.8 -3.8 -3.3 -4.1 -4.0 2.1 2.8 -6.4 7.9 -0.9 -2.9 1.2 -8.9 2.3 -4.4 7.1 -0.7 4.6 5.9 -6.0 -4.3 -12.4 6.5 2.3 -20.0 -9.2 FEEDCOW 8.9 20.0 -14.0 -0.1 1.3 -4.3 -0.3 -6.6 0.9 -15.9 -6.7 -3.4 -12.9 17.9 2.5 16.5 -6.7 16.5 7.5 8.0 -7.9 -4.3 -14.2 10.8 -10.4 2.1 -7.8 -2.5 -1.8 -3.7 2.9 -3.5 -12.9 20.0 20.0 -19.8 12.5 20.0 20.0 20.0 GASOIL 1.1 4.1 -16.6 -1.6 -3.5 -2.8 -3.1 -1.9 -1.3 -2.8 -10.7 -10.0 -3.7 -3.0 -9.5 0.0 7.2 1.3 2.7 -7.6 -9.6 -5.4 -5.7 -5.5 3.5 -3.9 -0.7 -5.0 -2.5 -3.2 -2.7 0.1 5.4 -4.4 -7.9 -8.3 -1.0 -8.8 1.1 -13.8 GASOLINE -0.3 8.2 -12.4 -1.6 -3.5 -2.8 -3.1 -1.9 -1.3 -6.7 -6.5 -9.2 -0.8 -0.5 -3.7 2.7 20.0 15.2 20.0 -2.9 -4.0 -7.0 -1.4 -3.5 -18.7 0.2 -4.5 -0.9 -3.9 -0.1 -0.9 20.0 -3.4 0.2 7.0 7.8 2.4 11.4 6.6 19.3 GAS_US_mini -13.2 7.0 6.4 -2.4 -5.1 -4.1 -4.6 -2.8 -1.9 -7.4 -18.0 -13.0 -20.0 -12.4 -14.5 -20.0 -20.0 -20.0 -20.0 -10.4 -12.3 -10.6 -20.0 -11.4 20.0 -5.0 -6.3 -4.8 -5.8 -6.8 -6.1 -20.0 7.3 -20.0 -3.3 2.9 -10.9 -20.0 -5.9 -17.6 GBP -19.0 -8.2 5.8 -3.3 -4.1 0.1 -7.3 1.1 -7.3 -2.4 11.1 -15.0 13.6 -18.6 -0.0 0.4 -0.3 0.3 0.0 -2.9 9.0 -10.5 12.4 -13.4 -2.3 -0.8 -1.2 4.7 -4.4 6.3 -5.5 2.3 10.9 1.4 3.0 14.3 4.6 -20.0 12.5 -20.0 GOLD_micro 8.0 19.6 20.0 5.5 5.5 2.3 7.1 0.1 7.1 19.7 20.0 20.0 20.0 20.0 20.0 -14.3 -13.5 -13.6 -13.1 20.0 20.0 20.0 20.0 20.0 -16.0 8.0 7.8 7.3 8.2 6.8 8.3 -13.6 20.0 20.0 20.0 20.0 20.0 0.4 14.3 6.0 HEATOIL 0.1 8.0 -13.1 -1.6 -3.5 -2.8 -3.1 -1.9 -1.3 -2.9 -10.7 -10.4 -7.0 -4.8 -9.1 -3.1 3.0 -4.4 -3.0 -6.2 -8.7 -5.2 -6.6 -4.5 -17.1 -1.8 -1.8 -3.8 -2.5 -3.3 -1.3 -8.6 4.5 0.3 1.2 -1.2 -4.0 3.8 -2.6 5.4 JGB-SGX-mini -16.0 -3.0 16.4 -1.3 -3.4 0.9 -3.5 1.0 -3.2 1.2 4.6 -6.9 3.2 -7.6 3.7 16.1 16.1 13.6 14.5 -0.3 3.2 -2.3 2.8 -4.0 -11.1 -0.3 0.3 1.0 -1.0 0.3 -1.9 20.0 16.8 8.9 5.2 1.8 -18.0 -8.4 -20.0 -2.7 JPY -20.0 -20.0 20.0 -1.3 -1.6 0.0 -2.8 0.4 -2.8 -8.0 0.5 -8.9 -3.7 -9.0 -1.4 -10.5 -14.1 -11.2 -12.3 -7.8 -1.9 -12.4 -3.6 -13.6 20.0 -1.7 -2.1 -0.3 -3.1 -0.9 -3.3 -20.0 -8.0 -6.7 -8.2 9.7 -20.0 -20.0 -19.0 -20.0 LEANHOG 12.2 20.0 14.6 -0.1 1.4 -4.7 -0.3 -7.2 1.0 20.0 2.3 20.0 -2.4 20.0 20.0 -13.3 19.1 20.0 20.0 20.0 15.0 20.0 -4.4 20.0 3.0 8.3 11.3 3.9 11.1 -0.1 10.4 20.0 20.0 20.0 20.0 20.0 -0.1 -5.3 4.6 0.9 LIVECOW 2.9 20.0 4.0 -0.1 1.4 -4.8 -0.4 -7.3 1.0 -11.0 20.0 3.0 15.5 20.0 20.0 -1.8 7.8 2.9 6.9 20.0 20.0 3.7 17.6 20.0 -20.0 7.0 -6.9 5.6 0.8 5.4 5.9 10.4 -0.9 20.0 20.0 16.3 -4.6 20.0 3.0 20.0 LUMBER-new 8.1 13.2 8.1 -0.0 1.1 -3.6 -0.3 -5.3 0.7 17.5 -8.7 16.3 -11.3 17.4 17.0 -20.0 -18.3 -19.3 -18.6 8.5 -1.3 19.8 -10.3 13.4 NaN 5.1 19.0 0.4 11.3 -4.2 7.4 -20.0 20.0 20.0 10.9 20.0 5.8 1.3 11.4 5.9 MILK -19.9 -8.5 16.1 -0.0 0.7 -2.5 -0.2 -3.9 0.5 -12.5 10.4 -13.2 8.7 -11.4 3.1 17.1 -2.3 20.0 12.7 0.7 11.3 -16.7 10.3 -11.0 13.8 -0.1 -6.5 3.7 -6.3 3.2 -4.2 3.7 -20.0 -18.6 -11.0 16.4 -2.9 -20.0 3.4 -20.0 MXP -6.9 -1.4 -20.0 -2.1 -2.6 0.0 -4.6 0.7 -4.6 -13.1 -12.2 -13.7 -9.2 -8.0 -11.3 11.6 13.4 11.1 11.6 -11.9 -15.1 -12.0 -10.3 -10.7 -20.0 -4.8 -5.3 -5.9 -5.2 -3.8 -4.5 20.0 -1.7 12.5 4.6 -20.0 14.5 17.3 20.0 20.0 NASDAQ_micro 7.8 15.0 6.1 2.8 -3.5 4.5 -2.0 6.5 0.5 5.6 8.0 9.3 11.2 13.5 8.7 -9.4 -9.7 -8.7 -9.0 11.8 12.1 7.8 16.4 10.9 -20.0 4.7 2.2 5.4 2.9 7.8 3.9 -5.3 19.3 13.4 16.0 -4.7 7.0 3.8 -9.5 -3.4 NIKKEI 2.7 9.5 -11.8 1.7 -2.1 2.8 -1.2 4.0 0.3 6.8 3.3 0.1 4.2 4.8 3.7 1.3 7.3 3.1 5.1 2.7 2.1 2.0 4.1 2.2 -6.9 -0.4 3.0 -0.8 0.9 1.5 0.4 20.0 5.3 3.2 1.2 -16.7 18.6 5.4 19.3 6.1 NZD -20.0 -8.9 4.8 -2.1 -2.6 0.0 -4.7 0.7 -4.7 -12.4 0.5 -14.6 1.2 -14.2 -3.1 -0.6 -0.1 -0.4 -0.2 -8.2 -1.1 -15.4 0.5 -15.8 0.8 -2.6 -3.3 -0.2 -5.4 0.4 -5.3 2.4 -4.4 -9.0 -5.3 -5.0 1.8 -8.5 4.1 -2.0 OAT -9.6 -8.5 9.7 -1.4 -3.8 1.0 -3.9 1.2 -3.6 -10.5 1.9 -10.6 -0.9 -9.8 0.9 7.8 4.8 6.3 4.9 -2.3 0.1 -9.6 -0.7 -6.2 3.4 -1.1 -8.7 0.7 -5.7 0.8 -3.6 14.9 0.7 10.7 6.0 -2.1 -10.1 -13.9 8.5 5.4 OATIES -9.3 20.0 18.4 -0.1 1.2 -4.0 -0.3 -6.1 0.8 16.6 2.0 5.0 -13.5 14.2 16.6 3.3 2.8 3.8 3.8 20.0 13.3 11.2 -2.8 14.3 -20.0 5.6 7.5 3.7 3.8 0.1 4.0 2.4 15.4 2.3 20.0 20.0 20.0 3.0 20.0 13.1 OJ 3.2 0.9 2.5 -0.0 1.0 -3.5 -0.3 -5.4 0.7 4.1 17.2 12.4 18.2 11.8 14.6 12.1 12.1 11.7 11.2 15.9 20.0 10.1 20.0 12.5 -20.0 6.2 0.5 9.1 4.1 14.7 4.9 16.3 -1.4 20.0 9.1 20.0 14.7 13.0 20.0 20.0 PALLAD 9.5 13.5 20.0 2.5 2.5 1.0 3.2 0.0 3.2 4.4 4.6 7.4 -3.7 7.4 6.9 -2.2 -2.1 -2.0 -2.0 7.9 4.0 12.7 -1.5 11.1 15.3 2.9 2.4 1.5 4.5 -0.3 4.0 5.8 11.2 10.1 2.7 4.4 -11.0 -20.0 -19.8 -20.0 PLAT 7.6 10.6 -0.3 3.9 3.9 1.6 4.9 0.1 4.9 0.6 -1.9 10.7 -1.9 12.5 8.0 -4.1 -4.4 -4.3 -4.5 7.0 3.3 8.2 0.9 9.9 5.6 3.8 -0.5 1.4 4.2 0.2 5.2 1.6 -11.2 -5.1 -3.0 -6.8 3.2 -8.0 -7.4 -1.3 REDWHEAT -7.1 10.5 2.0 -0.0 1.1 -3.7 -0.3 -5.6 0.7 -5.9 -12.9 -12.5 -16.8 -6.3 1.7 -10.6 -7.3 -10.6 -9.6 -2.8 -7.1 -11.9 -15.1 -6.5 -4.9 -1.9 -5.1 -3.8 -7.2 -6.8 -4.1 -17.9 -17.7 -11.1 -2.3 -6.3 -20.0 -20.0 -20.0 -20.0 RICE -8.6 -3.8 -6.6 -0.1 1.2 -4.3 -0.3 -6.5 0.9 -20.0 10.5 -20.0 13.4 -18.4 -4.0 -7.6 20.0 -2.0 13.8 -7.6 -1.5 -20.0 7.2 -13.5 -16.1 -5.7 -20.0 -1.7 -13.9 2.0 -9.5 20.0 -20.0 -19.5 -16.3 0.9 -20.0 -20.0 -20.0 -20.0 ROBUSTA -20.0 -15.5 -3.3 -0.0 0.5 -1.8 -0.1 -2.8 0.4 -2.8 7.0 -7.1 8.8 -7.0 2.1 13.9 20.0 20.0 20.0 1.6 12.3 -9.1 17.9 -8.2 -20.0 0.3 -0.8 3.9 -2.5 6.9 -2.4 20.0 -17.3 -20.0 -4.3 17.7 11.2 -0.8 18.7 5.4 RUSSELL 1.6 7.0 5.0 3.1 -3.9 5.2 -2.3 7.4 0.6 -4.4 9.9 -1.5 13.2 8.0 9.4 -6.5 -6.4 -6.1 -6.1 7.8 9.7 0.3 10.3 4.1 -0.1 5.0 0.3 6.9 0.3 7.4 2.3 0.1 -3.6 6.7 7.9 20.0 -0.9 -13.8 -17.4 -20.0 SHATZ -14.0 -5.1 20.0 -1.0 -2.7 0.7 -2.8 0.8 -2.6 -6.8 4.7 -5.2 -0.2 -3.0 4.1 -20.0 -20.0 -20.0 -20.0 2.2 4.2 -6.0 0.9 -2.1 6.0 1.2 -6.2 2.3 -2.8 1.1 -0.9 -20.0 4.6 4.6 10.2 7.5 -15.4 -15.9 -3.0 -6.8 SILVER-mini 8.9 15.8 0.3 3.6 3.6 1.5 4.6 0.1 4.6 4.5 10.7 8.3 9.7 11.1 11.4 -5.9 -6.4 -6.2 -6.2 14.5 11.3 13.1 9.8 16.4 1.6 4.4 1.8 3.2 4.0 2.6 5.0 -1.6 9.0 7.5 8.8 4.4 5.3 -2.0 -4.6 9.4 SMI 4.0 -4.3 -9.8 3.6 -4.5 5.9 -2.6 8.4 0.7 -16.2 11.4 -6.2 15.7 -2.4 6.6 0.9 0.3 -0.2 -0.6 1.9 6.7 -11.0 12.5 -1.7 11.4 3.0 -17.2 7.7 -7.2 11.8 -0.8 10.5 -10.4 -1.1 -14.3 6.8 -4.3 1.6 -20.0 -6.4 SOFR -20.0 -20.0 10.8 -1.9 -5.0 1.3 -5.1 1.5 -4.7 -13.4 5.7 -15.2 7.2 -15.5 -6.2 1.8 0.2 1.8 1.0 -13.9 1.4 -20.0 5.4 -20.0 -6.4 -3.8 -4.2 -0.3 -5.7 1.2 -6.1 7.7 -11.7 -19.1 -20.0 -9.0 2.8 -13.1 20.0 14.2 SOYBEAN -16.9 3.8 -16.2 -0.0 0.9 -2.9 -0.2 -4.5 0.6 -2.3 -12.1 -12.8 -13.3 -11.5 -10.0 -1.9 0.6 -3.6 -3.2 -13.5 -18.6 -11.9 -20.0 -13.6 -20.0 -5.0 -1.8 -6.0 -4.3 -6.4 -5.1 -6.1 -6.0 -20.0 -14.1 -20.0 2.6 -10.3 8.6 -5.8 SOYMEAL -19.6 1.9 -2.6 -0.0 0.7 -2.6 -0.2 -3.9 0.5 -12.1 -9.4 -13.9 -11.6 -12.5 -6.4 -2.6 2.3 -2.2 -0.8 -8.7 -9.2 -13.7 -12.0 -12.5 -20.0 -3.4 -4.8 -3.2 -5.8 -3.3 -5.0 -2.4 -11.7 -20.0 -9.7 -7.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -0.6 17.9 1.6 -0.0 0.5 -1.8 -0.1 -2.7 0.4 4.9 -3.6 1.7 -8.0 5.0 -0.7 -1.4 0.9 0.0 0.3 2.1 -1.9 3.0 -6.2 3.3 -19.1 1.5 1.7 -0.4 1.4 -2.2 1.7 -2.7 9.1 2.6 5.7 -0.8 2.1 -7.0 11.0 -1.7 SP400 1.9 12.2 5.7 3.6 -4.5 5.9 -2.6 8.4 0.7 -6.0 13.8 -3.5 17.1 11.5 14.1 -7.9 -6.3 -7.0 -6.5 12.1 13.6 -1.7 15.2 6.0 -13.9 5.7 -0.6 7.3 -0.7 8.1 2.4 -0.1 -6.9 7.5 14.0 20.0 6.6 -6.6 -12.1 -20.0 SP500_micro 6.6 17.4 11.9 3.8 -4.7 6.2 -2.8 8.9 0.7 -6.8 19.5 8.6 20.0 17.5 19.5 -11.6 -11.7 -10.9 -11.2 20.0 20.0 4.5 20.0 15.1 -20.0 7.0 -0.3 8.6 1.2 10.8 4.4 -8.9 9.2 17.2 20.0 11.1 11.1 3.7 -9.9 -5.4 SUGAR11 -14.1 20.0 17.3 -0.0 0.9 -3.0 -0.2 -4.6 0.6 9.4 6.3 -8.7 -6.3 7.4 9.6 20.0 15.7 20.0 20.0 12.9 9.7 -0.6 0.9 4.5 -20.0 3.4 1.0 2.5 -0.1 0.1 1.2 20.0 -1.5 -9.2 19.3 17.8 -19.5 6.0 -17.6 9.3 US10 -20.0 -20.0 11.6 -1.4 -3.7 1.0 -3.8 1.1 -3.5 -10.1 3.0 -11.5 3.2 -11.7 -5.6 -5.0 -7.1 -6.1 -6.5 -11.4 -0.6 -17.9 1.2 -19.6 1.8 -2.9 -2.8 -0.3 -4.0 0.6 -4.5 -5.0 -6.3 -14.5 -14.4 -7.4 -0.9 -20.0 18.8 7.8 US10U -20.0 -20.0 10.8 -2.0 -5.2 1.3 -5.4 1.6 -5.0 -14.4 3.6 -16.2 3.4 -16.5 -8.2 -4.8 -3.6 -4.6 -4.3 -15.5 -1.3 -20.0 0.7 -20.0 -1.4 -4.2 -3.3 -0.7 -5.4 0.6 -6.3 -0.2 -6.6 -16.6 -19.1 -12.9 -0.1 -19.0 20.0 17.8 US2 -20.0 -20.0 20.0 -1.1 -2.9 0.7 -3.0 0.9 -2.8 -7.8 2.2 -9.0 0.8 -9.0 -2.6 -19.7 -20.0 -20.0 -20.0 -7.6 0.6 -13.7 0.1 -14.8 12.5 -1.7 -2.3 0.3 -3.0 0.6 -3.2 -20.0 -1.8 -11.7 -8.0 2.0 -2.4 -19.6 5.4 -9.9 US20 -20.0 -20.0 8.1 -1.4 -3.8 1.0 -3.9 1.1 -3.6 -9.5 1.9 -11.4 3.9 -11.8 -6.5 -2.3 -1.3 -2.1 -1.6 -11.6 -1.5 -15.4 0.7 -18.5 -3.2 -3.1 -1.9 -0.6 -3.6 0.6 -4.5 4.3 -4.7 -10.5 -14.5 -11.3 0.7 -11.3 20.0 20.0 US30 -20.0 -20.0 7.1 -1.6 -4.2 1.1 -4.3 1.3 -4.0 -7.6 0.9 -12.0 1.9 -13.0 -7.9 -1.5 -4.7 -3.4 -4.2 -11.7 -2.5 -13.0 -0.9 -17.5 -2.2 -3.6 -1.1 -0.9 -3.4 0.3 -4.8 -1.0 0.7 -5.6 -13.6 -14.1 -2.0 -9.9 20.0 20.0 US5 -20.0 -20.0 13.9 -1.4 -3.6 0.9 -3.7 1.1 -3.4 -9.9 2.9 -11.3 2.0 -11.5 -5.0 -7.6 -10.3 -9.1 -9.8 -11.1 -0.3 -18.3 1.2 -19.6 5.9 -2.6 -3.0 -0.2 -4.0 0.6 -4.4 -10.6 -6.0 -15.5 -13.9 -4.6 1.6 -20.0 18.8 2.8 VIX -3.8 1.6 16.8 1.7 0.6 1.7 -0.4 -3.0 -0.1 -0.2 -8.0 -9.2 -11.1 -3.2 -7.6 -5.1 -20.0 -7.2 -16.1 1.7 0.8 -0.8 -7.0 -0.3 NaN 1.8 0.7 1.8 -0.4 -3.7 -0.2 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -10.2 10.3 -0.9 -0.1 1.1 -3.8 -0.3 -5.9 0.8 0.7 -11.9 -13.8 -15.7 -7.6 2.6 -11.1 -14.3 -12.8 -13.9 -3.0 -7.7 -8.2 -16.0 -6.5 4.1 -2.4 0.9 -3.9 -4.7 -6.2 -4.2 -20.0 -9.7 -15.4 -0.5 -8.6 -20.0 -17.6 -20.0 -15.6 End of report for caleb_strategy_v3