******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241129_204450 produced at 2024-11-29 21:40:56.186210 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 JGB-SGX-mini False True 0.03 0.00 -0.85 0.0 0.00 0.00 0.00 0.00 -26.23 16.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.69 0.0 0.00 0.00 0.00 0.00 -8.49 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.15 -0.22 0.0 999.00 -999.00 -0.15 -0.16 -38.50 999999999.0 -27 -29 caleb_strategy_v3 US2 False True 0.07 0.00 -0.21 0.0 0.00 0.00 0.00 0.00 -3.00 13.0 0 0 caleb_strategy_v3 CAD False False 0.02 -0.05 -0.13 0.0 0.70 -0.70 -0.05 -0.05 -5.38 29.0 -2 -2 caleb_strategy_v3 CHF False False 0.05 -0.38 -0.11 0.0 0.63 -0.63 -0.38 -0.38 -2.19 13.0 -8 -8 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.08 0.0 0.09 -0.09 -0.05 -0.05 -11.25 12.0 -7 -7 caleb_strategy_v3 CAC True False 0.03 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -2.76 12.0 0 0 caleb_strategy_v3 EUR False False 0.04 -0.13 -0.06 0.0 0.63 -0.63 -0.13 -0.13 -1.43 14.0 -3 -3 caleb_strategy_v3 US5 False False 0.04 -0.11 -0.05 0.0 0.91 -0.91 -0.11 -0.11 -1.48 25.0 -3 -3 caleb_strategy_v3 COPPER False False 0.04 -0.07 -0.05 0.0 999.00 -999.00 -0.07 -0.07 -1.55 999999999.0 -2 -2 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.05 0.0 0.13 -0.13 -0.06 -0.06 -3.90 11.0 -5 -5 caleb_strategy_v3 EUROSTX False False 0.02 -0.03 -0.04 0.0 0.34 -0.34 -0.03 -0.05 -2.42 20.0 -2 -3 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.04 0.0 0.09 -0.09 -0.03 -0.03 -1.18 3.0 -1 -1 caleb_strategy_v3 GBP False False 0.03 0.00 -0.04 0.0 0.59 -0.59 0.00 0.00 -1.45 22.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.02 -0.04 0.0 0.50 -0.50 -0.02 -0.02 -4.98 60.0 -2 -2 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.03 0.0 0.42 -0.42 -0.02 -0.02 -1.24 19.0 -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 SOYBEAN False False 0.02 -0.05 -0.03 0.0 0.12 -0.12 -0.05 -0.05 -1.67 7.0 -3 -3 caleb_strategy_v3 US10 False False 0.04 0.00 -0.03 0.0 0.64 -0.64 0.00 0.00 -0.80 17.0 0 0 caleb_strategy_v3 NZD False True 0.02 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -1.51 21.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.07 -0.07 -0.03 -0.03 -2.85 8.0 -3 -3 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.03 0.0 0.09 -0.09 -0.03 -0.03 -3.24 9.0 -3 -3 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.03 0.0 0.14 -0.14 -0.02 -0.02 -10.59 51.0 -7 -7 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.02 0.0 0.09 -0.09 -0.02 -0.02 -0.69 4.0 -1 -1 caleb_strategy_v3 RICE False False 0.01 0.00 -0.02 0.0 0.04 -0.04 0.00 0.00 -2.24 4.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.04 -0.02 0.0 0.50 -0.50 -0.04 -0.04 -0.42 13.0 -1 -1 caleb_strategy_v3 JPY False False 0.03 -0.06 -0.02 0.0 0.48 -0.48 -0.06 -0.06 -0.75 17.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.02 0.0 0.09 -0.09 -0.02 -0.02 -2.38 9.0 -2 -2 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.56 24.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 -0.04 -0.02 0.0 0.11 -0.11 -0.04 -0.04 -0.91 5.0 -2 -2 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.01 0.0 0.16 -0.16 0.00 0.00 -0.86 10.0 0 0 caleb_strategy_v3 BUND False False 0.05 -0.05 -0.01 0.0 0.49 -0.49 -0.05 -0.05 -0.14 10.0 -1 -1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.78 2.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 -0.01 0.0 999.00 -999.00 0.00 0.00 -0.27 999999999.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.15 9.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.02 -0.01 0.0 0.51 -0.51 -0.02 -0.02 -1.16 56.0 -2 -2 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.01 0.0 0.07 -0.07 -0.02 -0.02 -5.50 26.0 -9 -8 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.01 0.0 999.00 -999.00 0.00 -0.03 -0.32 999999999.0 0 -1 caleb_strategy_v3 MILK False False 0.01 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -1.04 5.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.46 10.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.46 18.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.07 -0.07 0.00 0.00 -0.12 2.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.09 -0.00 0.0 0.26 -0.26 -0.09 -0.09 -0.09 6.0 -2 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.04 0.00 0.0 0.33 -0.33 0.04 0.03 0.05 23.0 3 2 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 0.01 0.0 0.02 -0.02 0.00 0.00 1.70 3.0 0 0 caleb_strategy_v3 COFFEE False False 0.04 0.00 0.01 0.0 0.24 -0.24 0.00 0.00 0.26 6.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 0.01 0.0 0.20 -0.20 0.00 0.00 0.13 4.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.01 0.0 0.42 -0.42 0.00 0.00 0.52 23.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.01 0.03 0.0 0.49 -0.49 0.01 0.01 2.80 48.0 1 1 caleb_strategy_v3 COCOA False False 0.03 0.06 0.03 0.0 0.83 -0.83 0.06 0.06 0.89 26.0 2 2 caleb_strategy_v3 DOW False False 0.01 0.01 0.03 0.0 0.50 -0.50 0.01 0.01 4.18 66.0 1 1 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.03 0.0 0.28 -0.28 0.00 0.00 7.21 68.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.04 0.0 0.07 -0.07 0.02 0.02 1.58 3.0 1 1 caleb_strategy_v3 SP400 False False 0.11 0.23 0.04 0.0 0.23 -0.23 0.23 0.23 0.31 2.0 2 2 caleb_strategy_v3 BOBL False False 0.04 0.00 0.04 0.0 0.81 -0.81 0.00 0.00 0.98 19.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.03 0.05 0.0 0.31 -0.31 0.03 0.03 5.74 36.0 4 4 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.05 0.0 0.00 0.00 0.00 0.00 15.24 59.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.06 0.0 0.41 -0.41 0.00 0.00 7.92 58.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 0.06 0.0 999.00 -999.00 0.00 0.00 1.56 999999999.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.07 0.0 0.43 -0.43 0.03 0.03 2.59 17.0 1 1 caleb_strategy_v3 OAT False False 0.05 0.05 0.09 0.0 0.45 -0.45 0.05 0.14 1.92 10.0 1 3 caleb_strategy_v3 BTP False False 0.04 0.00 0.09 0.0 0.44 -0.44 0.00 0.00 2.11 10.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.13 0.10 0.0 0.35 -0.35 0.13 0.13 2.31 8.0 3 3 caleb_strategy_v3 LEANHOG False False 0.01 0.09 0.10 0.0 0.15 -0.15 0.09 0.09 8.51 13.0 8 8 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 1.18 0.0 0.88 -0.88 0.00 0.00 13.42 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 14.4 Shocked risk 36.2 Sum abs risk 45.2 Leverage 5.30 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2956890.08, 'annual_cash_vol_target': 739222.52, 'daily_cash_vol_target': 46201.4075} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6526 0.6293 10.0685 BITCOIN 2378.9576 98545.0000 2.4141 38.6253 BOBL 0.2330 119.1900 0.1955 3.1282 BTP 0.5086 122.3500 0.4157 6.6516 BUND 0.4509 136.5100 0.3303 5.2846 BUXL 1.1278 140.0200 0.8055 12.8876 CAC 60.9829 7240.0000 0.8423 13.4769 CAD 0.0027 0.7147 0.3802 6.0831 CANOLA 9.7350 585.6000 1.6624 26.5984 CHF 0.0056 1.1382 0.4905 7.8475 COCOA 176.3733 9392.0000 1.8779 30.0466 COFFEE 4.7841 320.3500 1.4934 23.8946 COPPER 0.0578 4.1430 1.3953 22.3248 CORN 3.7367 431.2500 0.8665 13.8636 COTTON2 0.8937 71.9500 1.2421 19.8734 CRUDE_W 1.0597 66.4500 1.5948 25.5166 DAX 150.4395 19689.0000 0.7641 12.2253 DOW 306.6339 45055.0000 0.6806 10.8892 DX 0.4442 105.4000 0.4215 6.7434 EUR 0.0056 1.0583 0.5298 8.4760 EURIBOR-ICE 0.0442 98.1350 0.0450 0.7204 EUROSTX 43.1095 4809.0000 0.8964 14.3430 FEEDCOW 1.5768 258.3000 0.6105 9.7676 GASOIL 10.7039 661.2500 1.6187 25.8998 GASOLINE 0.0365 1.9479 1.8749 29.9980 GAS_US_mini 0.1261 3.1850 3.9579 63.3264 GBP 0.0068 1.2734 0.5304 8.4864 GOLD_micro 26.6167 2674.1000 0.9954 15.9256 HEATOIL 0.0382 2.2018 1.7360 27.7763 JGB-SGX-mini 0.2132 143.0400 0.1491 2.3852 JPY 0.0001 0.0067 0.7556 12.0897 LEANHOG 1.0575 86.4000 1.2239 19.5825 LIVECOW 0.9821 188.5750 0.5208 8.3327 LUMBER-new 7.9338 618.5000 1.2827 20.5240 MILK 0.2544 18.6800 1.3618 21.7882 MXP 0.0004 0.0490 0.8578 13.7255 NASDAQ_micro 168.5615 20991.5000 0.8030 12.8480 NIKKEI 395.9204 38235.0000 1.0355 16.5679 NZD 0.0039 0.5926 0.6605 10.5673 OAT 0.4534 126.8400 0.3575 5.7195 OATIES 6.9104 361.0000 1.9142 30.6276 OJ 7.1473 477.4000 1.4971 23.9541 PALLAD 27.3379 995.5000 2.7461 43.9383 PLAT 15.1325 954.8000 1.5849 25.3582 REDWHEAT 8.6150 542.5000 1.5880 25.4083 RICE 0.1493 15.3500 0.9729 15.5665 ROBUSTA 94.8432 5385.0000 1.7612 28.1800 RUSSELL 27.3565 2446.8000 1.1181 17.8888 SHATZ 0.0816 107.3650 0.0760 1.2163 SILVER-mini 0.5041 31.0375 1.6242 25.9871 SMI 90.0985 11788.0000 0.7643 12.2292 SOFR 0.0602 96.4050 0.0625 0.9993 SOYBEAN 8.9345 1012.2500 0.8826 14.1221 SOYMEAL 3.6086 298.9000 1.2073 19.3169 SOYOIL 0.8775 42.0700 2.0858 33.3722 SP400 30.0512 3378.0000 0.8896 14.2338 SP500_micro 36.7647 6051.5000 0.6075 9.7205 SUGAR11 0.2874 19.8400 1.4487 23.1790 US10 0.3989 111.1719 0.3588 5.7404 US10U 0.5771 114.7969 0.5027 8.0433 US2 0.0944 103.0469 0.0916 1.4655 US20 0.8358 119.5312 0.6992 11.1875 US30 1.3431 127.2188 1.0557 16.8919 US5 0.2450 107.6094 0.2277 3.6427 VIX 0.5093 16.7500 3.0405 48.6481 WHEAT 7.5667 594.0000 1.2739 20.3818 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 652.60 0.63 410.67 1.00 410.67 46201.41 112.50 -4.23 -47.61 BITCOIN 98.54 2.41 237.90 1.00 237.90 46201.41 194.21 7.24 140.69 BOBL 1191.90 0.20 233.03 1.05 245.73 46201.41 188.02 5.14 96.69 BTP 1223.50 0.42 508.64 1.05 536.36 46201.41 86.14 7.17 61.73 BUND 1365.10 0.33 450.88 1.05 475.45 46201.41 97.17 -1.44 -13.96 BUXL 1400.20 0.81 1127.82 1.05 1189.29 46201.41 38.85 3.18 12.36 CAC 724.00 0.84 609.83 1.05 643.06 46201.41 71.85 -11.26 -80.91 CAD 714.70 0.38 271.73 1.00 271.73 46201.41 170.03 -12.20 -207.37 CANOLA 117.12 1.66 194.70 0.71 138.81 46201.41 332.83 -13.08 -435.20 CHF 1422.69 0.49 697.78 1.00 697.78 46201.41 66.21 -12.75 -84.39 COCOA 939.20 1.88 1763.73 1.00 1763.73 46201.41 26.20 15.90 41.66 COFFEE 1201.31 1.49 1794.05 1.00 1794.05 46201.41 25.75 8.79 22.64 COPPER 1035.75 1.40 1445.18 1.00 1445.18 46201.41 31.97 -4.47 -14.30 CORN 215.62 0.87 186.83 1.00 186.83 46201.41 247.29 -18.70 -462.43 COTTON2 359.75 1.24 446.84 1.00 446.84 46201.41 103.40 -17.60 -181.98 CRUDE_W 664.50 1.59 1059.74 1.00 1059.74 46201.41 43.60 -1.93 -8.43 DAX 196.89 0.76 150.44 1.05 158.64 46201.41 291.24 7.97 232.15 DOW 225.28 0.68 153.32 1.00 153.32 46201.41 301.35 5.98 180.06 DX 1054.00 0.42 444.22 1.00 444.22 46201.41 104.01 5.78 60.12 EUR 1322.94 0.53 700.83 1.00 700.83 46201.41 65.92 -8.39 -55.30 EURIBOR-ICE 2453.38 0.05 110.46 1.05 116.48 46201.41 396.66 9.92 393.40 EUROSTX 480.90 0.90 431.10 1.05 454.59 46201.41 101.63 -6.99 -71.06 FEEDCOW 1291.50 0.61 788.42 1.00 788.42 46201.41 58.60 11.88 69.63 GASOIL 661.25 1.62 1070.39 1.00 1070.39 46201.41 43.16 -3.71 -16.00 GASOLINE 818.12 1.87 1533.87 1.00 1533.87 46201.41 30.12 -2.45 -7.37 GAS_US_mini 79.62 3.96 315.15 1.00 315.15 46201.41 146.60 -3.47 -50.83 GBP 795.88 0.53 422.13 1.00 422.13 46201.41 109.45 -5.09 -55.72 GOLD_micro 267.41 1.00 266.17 1.00 266.17 46201.41 173.58 -1.96 -34.02 HEATOIL 924.76 1.74 1605.39 1.00 1605.39 46201.41 28.78 -9.48 -27.29 JGB-SGX-mini 143040.00 0.15 21323.96 0.01 140.16 46201.41 329.62 -7.35 -242.27 JPY 837.06 0.76 632.49 1.00 632.49 46201.41 73.05 -3.97 -29.00 LEANHOG 345.60 1.22 422.98 1.00 422.98 46201.41 109.23 12.82 140.06 LIVECOW 754.30 0.52 392.84 1.00 392.84 46201.41 117.61 6.66 78.27 LUMBER-new 170.09 1.28 218.18 1.00 218.18 46201.41 211.76 3.74 79.29 MILK 373.60 1.36 508.75 1.00 508.75 46201.41 90.81 -5.36 -48.64 MXP 245.10 0.86 210.26 1.00 210.26 46201.41 219.74 -1.54 -33.94 NASDAQ_micro 419.83 0.80 337.12 1.00 337.12 46201.41 137.05 0.14 1.95 NIKKEI 38235.00 1.04 39592.04 0.01 261.11 46201.41 176.94 2.99 52.96 NZD 592.60 0.66 391.39 1.00 391.39 46201.41 118.05 -4.93 -58.23 OAT 1268.40 0.36 453.41 1.05 478.12 46201.41 96.63 5.84 56.43 OATIES 180.50 1.91 345.52 1.00 345.52 46201.41 133.72 -5.47 -73.14 OJ 716.10 1.50 1072.10 1.00 1072.10 46201.41 43.09 17.10 73.67 PALLAD 995.50 2.75 2733.79 1.00 2733.79 46201.41 16.90 -2.12 -3.58 PLAT 477.40 1.58 756.63 1.00 756.63 46201.41 61.06 -4.11 -25.10 REDWHEAT 271.25 1.59 430.75 1.00 430.75 46201.41 107.26 -20.00 -214.52 RICE 307.00 0.97 298.68 1.00 298.68 46201.41 154.68 -5.96 -92.15 ROBUSTA 538.50 1.76 948.43 1.00 948.43 46201.41 48.71 9.14 44.55 RUSSELL 122.34 1.12 136.78 1.00 136.78 46201.41 337.77 6.44 217.51 SHATZ 1073.65 0.08 81.62 1.05 86.07 46201.41 536.80 -1.03 -55.13 SILVER-mini 775.94 1.62 1260.27 1.00 1260.27 46201.41 36.66 -2.19 -8.04 SMI 1178.80 0.76 900.99 1.13 1019.82 46201.41 45.30 -4.14 -18.74 SOFR 2410.12 0.06 150.53 1.00 150.53 46201.41 306.93 -4.55 -139.71 SOYBEAN 506.12 0.88 446.72 1.00 446.72 46201.41 103.42 -17.40 -179.95 SOYMEAL 298.90 1.21 360.86 1.00 360.86 46201.41 128.03 -20.00 -256.06 SOYOIL 252.42 2.09 526.49 1.00 526.49 46201.41 87.75 -5.57 -48.91 SP400 3378.00 0.89 3005.12 1.00 3005.12 46201.41 15.37 6.03 9.26 SP500_micro 302.58 0.61 183.82 1.00 183.82 46201.41 251.34 4.80 120.54 SUGAR11 222.21 1.45 321.91 1.00 321.91 46201.41 143.52 -1.51 -21.67 US10 1111.72 0.36 398.85 1.00 398.85 46201.41 115.84 -5.42 -62.83 US10U 1147.97 0.50 577.09 1.00 577.09 46201.41 80.06 -4.09 -32.75 US2 2060.94 0.09 188.77 1.00 188.77 46201.41 244.76 -9.67 -236.59 US20 1195.31 0.70 835.79 1.00 835.79 46201.41 55.28 -2.08 -11.49 US30 1272.19 1.06 1343.11 1.00 1343.11 46201.41 34.40 -2.14 -7.35 US5 1076.09 0.23 244.99 1.00 244.99 46201.41 188.58 -6.21 -117.04 VIX 167.50 3.04 509.28 1.00 509.28 46201.41 90.72 -17.19 -155.95 WHEAT 297.00 1.27 378.34 1.00 378.34 46201.41 122.12 -20.00 -244.23 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -47.611 0.010 2.5 -1.235 BITCOIN 140.692 0.043 2.5 15.235 BOBL 96.689 0.004 2.5 0.980 BTP 61.730 0.014 2.5 2.105 BUND -13.964 0.004 2.5 -0.142 BUXL 12.357 0.004 2.5 0.125 CAC -80.909 0.014 2.5 -2.760 CAD -207.369 0.010 2.5 -5.380 CANOLA -435.200 0.010 2.5 -10.588 CHF -84.389 0.010 2.5 -2.190 COCOA 41.660 0.009 2.5 0.892 COFFEE 22.636 0.005 2.5 0.264 COPPER -14.296 0.043 2.5 -1.548 CORN -462.433 0.010 2.5 -11.250 COTTON2 -181.976 0.009 2.5 -3.897 CRUDE_W -8.426 0.043 2.5 -0.912 DAX 232.153 0.014 2.5 7.918 DOW 180.064 0.009 2.5 4.185 DX 60.116 0.010 2.5 1.560 EUR -55.300 0.010 2.5 -1.435 EURIBOR-ICE 393.398 0.014 2.5 13.418 EUROSTX -71.059 0.014 2.5 -2.424 FEEDCOW 69.633 0.013 2.5 2.307 GASOIL -15.995 0.017 2.5 -0.693 GASOLINE -7.371 0.017 2.5 -0.320 GAS_US_mini -50.827 0.043 2.5 -5.504 GBP -55.716 0.010 2.5 -1.446 GOLD_micro -34.022 0.014 2.5 -1.160 HEATOIL -27.289 0.017 2.5 -1.183 JGB-SGX-mini -242.272 0.043 2.5 -26.235 JPY -28.999 0.010 2.5 -0.752 LEANHOG 140.058 0.024 2.5 8.512 LIVECOW 78.272 0.013 2.5 2.594 LUMBER-new 79.293 0.009 2.5 1.698 MILK -48.639 0.009 2.5 -1.042 MXP -33.941 0.059 2.5 -4.982 NASDAQ_micro 1.947 0.009 2.5 0.045 NIKKEI 52.963 0.043 2.5 5.735 NZD -58.228 0.010 2.5 -1.511 OAT 56.425 0.014 2.5 1.925 OATIES -73.139 0.010 2.5 -1.779 OJ 73.673 0.009 2.5 1.578 PALLAD -3.576 0.014 2.5 -0.122 PLAT -25.097 0.014 2.5 -0.856 REDWHEAT -214.516 0.005 2.5 -2.846 RICE -92.148 0.010 2.5 -2.242 ROBUSTA 44.547 0.005 2.5 0.520 RUSSELL 217.508 0.013 2.5 7.208 SHATZ -55.125 0.004 2.5 -0.559 SILVER-mini -8.037 0.014 2.5 -0.274 SMI -18.741 0.014 2.5 -0.639 SOFR -139.708 0.024 2.5 -8.491 SOYBEAN -179.949 0.004 2.5 -1.674 SOYMEAL -256.060 0.004 2.5 -2.381 SOYOIL -48.906 0.004 2.5 -0.455 SP400 9.265 0.013 2.5 0.307 SP500_micro 120.537 0.009 2.5 2.801 SUGAR11 -21.669 0.009 2.5 -0.461 US10 -62.828 0.005 2.5 -0.796 US10U -32.751 0.005 2.5 -0.415 US2 -236.594 0.005 2.5 -2.998 US20 -11.493 0.005 2.5 -0.146 US30 -7.351 0.005 2.5 -0.093 US5 -117.037 0.005 2.5 -1.483 VIX -155.953 0.099 2.5 -38.495 WHEAT -244.234 0.005 2.5 -3.240 ===================== Position diags ===================== AUD 2.92 BITCOIN 21.03 BOBL 1.91 BTP 2.94 BUND 0.99 BUXL 0.39 CAC 2.45 CAD 4.41 CANOLA 8.10 CHF 1.72 COCOA 0.56 COFFEE 0.30 COPPER 3.46 CORN 6.02 COTTON2 2.21 CRUDE_W 4.72 DAX 9.93 DOW 7.00 DX 2.70 EUR 1.71 EURIBOR-ICE 13.53 EUROSTX 3.47 FEEDCOW 1.94 GASOIL 1.87 GASOLINE 1.31 GAS_US_mini 15.88 GBP 2.84 GOLD_micro 5.92 HEATOIL 1.25 JGB-SGX-mini 35.69 JPY 1.90 LEANHOG 6.64 LIVECOW 3.90 LUMBER-new 4.53 MILK 1.94 MXP 32.25 NASDAQ_micro 3.18 NIKKEI 19.16 NZD 3.06 OAT 3.30 OATIES 3.25 OJ 0.92 PALLAD 0.58 PLAT 2.08 REDWHEAT 1.42 RICE 3.76 ROBUSTA 0.57 RUSSELL 11.19 SHATZ 5.44 SILVER-mini 1.25 SMI 1.55 SOFR 18.65 SOYBEAN 0.96 SOYMEAL 1.19 SOYOIL 0.82 SP400 0.51 SP500_micro 5.84 SUGAR11 3.05 US10 1.47 US10U 1.01 US2 3.10 US20 0.70 US30 0.44 US5 2.39 VIX 22.39 WHEAT 1.62 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.2 -1.5 -0.9 -1.0 -1 BITCOIN 15.2 13.1 17.3 0.0 0 BOBL 1.0 0.8 1.2 0.0 0 BTP 2.1 1.8 2.4 0.0 0 BUND -0.1 -0.2 -0.0 -1.0 -1 BUXL 0.1 0.1 0.2 0.0 0 CAC -2.8 -3.0 -2.5 0.0 0 CAD -5.4 -5.8 -4.9 -2.0 -2 CANOLA -10.6 -11.4 -9.8 -7.0 -7 CHF -2.2 -2.4 -2.0 -8.0 -8 COCOA 0.9 0.8 0.9 2.0 2 COFFEE 0.3 0.2 0.3 0.0 0 COPPER -1.5 -1.9 -1.2 -2.0 -2 CORN -11.3 -11.9 -10.6 -7.0 -7 COTTON2 -3.9 -4.1 -3.7 -5.0 -5 CRUDE_W -0.9 -1.4 -0.4 -2.0 -2 DAX 7.9 6.9 8.9 0.0 0 DOW 4.2 3.5 4.9 1.0 1 DX 1.6 1.3 1.8 0.0 0 EUR -1.4 -1.6 -1.3 -3.0 -3 EURIBOR-ICE 13.4 12.1 14.8 0.0 0 EUROSTX -2.4 -2.8 -2.1 -2.0 -2 FEEDCOW 2.3 2.1 2.5 3.0 3 GASOIL -0.7 -0.9 -0.5 -1.0 -1 GASOLINE -0.3 -0.5 -0.2 0.0 0 GAS_US_mini -5.5 -7.1 -3.9 -9.0 -9 GBP -1.4 -1.7 -1.2 0.0 0 GOLD_micro -1.2 -1.8 -0.6 -2.0 -2 HEATOIL -1.2 -1.3 -1.1 -1.0 -1 JGB-SGX-mini -26.2 -29.8 -22.7 0.0 0 JPY -0.8 -0.9 -0.6 -2.0 -2 LEANHOG 8.5 7.8 9.2 8.0 8 LIVECOW 2.6 2.2 3.0 1.0 1 LUMBER-new 1.7 1.2 2.2 0.0 0 MILK -1.0 -1.2 -0.8 0.0 0 MXP -5.0 -8.2 -1.8 -2.0 -2 NASDAQ_micro 0.0 -0.3 0.4 3.0 3 NIKKEI 5.7 3.8 7.7 4.0 4 NZD -1.5 -1.8 -1.2 0.0 0 OAT 1.9 1.6 2.3 1.0 1 OATIES -1.8 -2.1 -1.5 NaN 0 OJ 1.6 1.5 1.7 1.0 1 PALLAD -0.1 -0.2 -0.1 0.0 0 PLAT -0.9 -1.1 -0.6 0.0 0 REDWHEAT -2.8 -3.0 -2.7 -3.0 -3 RICE -2.2 -2.6 -1.9 NaN 0 ROBUSTA 0.5 0.5 0.6 0.0 0 RUSSELL 7.2 6.1 8.3 0.0 0 SHATZ -0.6 -1.1 -0.0 NaN 0 SILVER-mini -0.3 -0.4 -0.1 0.0 0 SMI -0.6 -0.8 -0.5 0.0 0 SOFR -8.5 -10.4 -6.6 NaN 0 SOYBEAN -1.7 -1.8 -1.6 -3.0 -3 SOYMEAL -2.4 -2.5 -2.3 -2.0 -2 SOYOIL -0.5 -0.5 -0.4 0.0 0 SP400 0.3 0.3 0.4 2.0 2 SP500_micro 2.8 2.2 3.4 1.0 1 SUGAR11 -0.5 -0.8 -0.2 0.0 0 US10 -0.8 -0.9 -0.6 0.0 0 US10U -0.4 -0.5 -0.3 -1.0 -1 US2 -3.0 -3.3 -2.7 NaN 0 US20 -0.1 -0.2 -0.1 0.0 0 US30 -0.1 -0.1 -0.0 -2.0 -2 US5 -1.5 -1.7 -1.2 -3.0 -3 VIX -38.5 -40.7 -36.3 -27.0 -27 WHEAT -3.2 -3.4 -3.1 -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 -0.3 -0.6 -0.2 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 0.4 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 0.2 -0.0 0.1 -0.0 -0.2 -0.0 -0.1 BITCOIN 0.6 0.6 0.3 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 0.4 0.2 0.6 0.2 0.2 -0.2 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 -0.2 0.5 0.6 0.6 0.6 0.0 -0.1 -0.1 0.0 BOBL 0.5 -0.3 0.2 -0.0 0.1 -0.0 0.0 0.0 0.0 0.1 0.1 0.1 -0.1 0.0 -0.0 0.2 -0.1 0.2 0.1 0.0 0.0 0.2 0.0 0.1 0.5 0.0 0.1 0.0 0.1 0.0 0.0 0.1 0.0 0.4 0.3 0.2 -0.3 -0.5 0.2 0.0 BTP 0.4 -0.2 0.1 -0.0 0.1 -0.0 0.1 0.0 0.0 0.2 0.3 0.2 0.6 0.1 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.2 0.3 0.2 -2.7 0.0 0.2 0.1 0.1 0.2 0.1 0.6 -0.0 0.6 0.6 0.6 -0.3 -0.4 0.4 0.3 BUND 0.5 -0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 0.1 0.1 0.0 0.0 -0.0 -0.4 -0.2 -0.4 -0.3 0.0 0.0 0.2 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.0 0.1 -0.9 0.2 0.5 0.4 0.2 -0.7 -0.7 0.0 -0.0 BUXL 0.6 -0.1 0.1 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 0.1 0.2 0.0 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 0.1 0.0 0.1 0.0 0.1 0.0 0.2 0.6 0.6 0.2 -0.7 -0.7 -0.3 -0.3 CAC -0.4 -0.4 -0.3 0.0 0.1 0.1 0.1 0.3 0.0 -0.0 -0.4 -0.1 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 -0.8 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.2 -0.5 -0.6 -0.6 -0.6 0.1 0.2 -0.2 -0.1 CAD -0.1 -0.6 -0.2 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.5 -0.1 -0.7 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.1 -0.3 -0.2 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.3 -0.1 0.2 -0.4 -0.2 -0.2 -0.2 -0.3 -0.2 CANOLA -0.6 0.1 0.2 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.0 -0.3 -0.3 -0.3 -0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -1.5 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.5 -0.5 0.0 0.2 -0.3 -0.4 -0.0 -0.2 CHF -0.4 -0.6 -0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.0 -0.1 -0.1 0.5 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.0 -0.3 -0.2 -0.2 -0.3 -0.3 -0.6 -0.4 COCOA 0.6 0.6 0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.1 0.1 0.2 0.1 0.1 0.1 0.4 0.4 0.4 0.2 0.2 0.2 0.4 0.2 -2.7 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.4 0.6 0.6 0.6 0.7 0.7 0.7 0.7 COFFEE 0.6 0.4 0.2 -0.0 0.0 -0.1 0.0 -0.3 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.1 0.1 0.2 0.1 0.3 0.5 0.6 0.6 0.6 -0.4 -0.3 -0.1 0.0 COPPER -0.6 -0.4 -0.2 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -1.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.2 -0.0 0.0 -0.3 -0.0 0.4 0.4 0.3 0.7 CORN -0.2 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.3 -0.0 -0.1 -0.5 -0.2 -0.7 -0.2 -0.1 -0.1 -0.3 -0.2 -0.3 -0.2 -0.2 -0.2 -0.5 -0.2 -1.5 -0.1 -0.1 -0.3 -0.1 -0.5 -0.1 -1.1 -0.5 -0.6 -0.6 -0.4 0.4 -0.1 0.6 0.1 COTTON2 -0.2 -0.1 0.2 -0.0 0.0 -0.1 0.0 -0.2 -0.0 0.2 -0.5 0.0 -0.6 -0.1 -0.1 -0.3 -0.2 -0.3 -0.2 -0.1 -0.1 0.0 -0.5 -0.1 -2.7 -0.0 0.1 -0.1 0.0 -0.1 -0.0 -1.0 0.4 -0.2 -0.5 0.0 -0.6 -0.5 -0.5 -0.4 CRUDE_W -0.1 -0.0 -0.3 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.2 -0.1 -0.1 0.1 0.2 0.1 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 0.4 0.1 -0.1 -0.2 0.1 -0.1 0.2 -0.0 0.4 DAX -0.2 -0.2 0.1 0.0 0.1 0.1 0.0 0.3 0.0 0.1 0.3 0.1 0.6 -0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.0 1.0 0.0 0.1 0.1 0.1 0.3 0.0 -0.3 0.1 -0.5 -0.1 0.2 0.7 0.4 0.4 0.1 DOW 0.5 0.1 0.3 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.3 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.4 0.2 -1.6 0.1 0.0 0.1 0.1 0.2 0.1 -0.4 0.3 0.6 0.6 0.6 0.0 0.1 -0.5 -0.3 DX 0.5 0.6 0.3 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 0.2 0.1 0.3 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.0 0.1 0.2 -2.7 0.0 -0.0 0.1 0.0 0.0 0.0 0.7 -0.5 0.6 0.6 0.6 -0.1 0.2 -0.1 0.2 EUR -0.6 -0.6 -0.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 -0.2 1.9 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.5 -0.2 -0.5 -0.3 -0.3 0.0 -0.4 -0.1 -0.5 EURIBOR-ICE 0.4 -0.1 0.3 -0.0 0.0 -0.0 0.0 0.0 0.0 0.1 0.2 0.1 0.2 0.1 0.1 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.1 1.5 0.0 0.1 0.1 0.1 0.1 0.0 0.3 -0.1 0.3 0.4 0.4 -0.1 -0.5 0.4 0.2 EUROSTX -0.3 -0.4 -0.3 0.0 0.1 0.1 0.0 0.3 0.0 0.1 -0.1 -0.1 0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 -0.3 -0.0 0.0 -0.1 -0.0 0.1 -0.0 0.3 -0.4 -0.6 -0.6 -0.4 0.1 0.1 -0.5 -0.3 FEEDCOW 0.6 0.6 0.3 -0.0 0.0 -0.1 0.0 -0.3 -0.0 0.2 0.1 0.2 -0.4 0.2 0.2 0.2 -0.1 0.3 0.2 0.2 0.1 0.2 -0.2 0.2 -1.8 0.1 0.1 0.0 0.2 -0.1 0.1 0.1 0.5 0.6 0.6 0.5 0.6 0.6 0.7 0.7 GASOIL 0.1 0.1 -0.3 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.3 -0.0 -0.1 0.1 0.1 0.0 0.1 -0.0 -0.1 -0.0 -0.2 -0.0 0.6 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 0.0 0.0 0.1 -0.0 -0.2 0.0 -0.2 0.1 -0.4 GASOLINE -0.1 -0.0 -0.3 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 0.4 0.1 0.3 -0.0 -0.1 -0.1 -0.1 -0.0 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 1.1 0.0 -0.1 -0.1 0.2 0.1 0.3 0.3 0.6 GAS_US_mini 0.5 0.2 0.6 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 0.1 -0.5 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 -0.2 0.0 -1.1 0.2 0.4 -0.4 0.1 -0.4 -0.6 -0.3 -0.5 GBP -0.5 -0.6 -0.2 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 -0.1 0.2 -0.1 -0.1 0.0 -0.0 0.0 0.0 -0.2 -0.1 -0.0 0.1 -0.2 -0.2 -0.1 0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.3 -0.2 0.1 0.2 -0.5 0.6 -0.5 GOLD_micro -0.6 -0.6 -0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.0 0.3 -0.0 0.0 -0.2 -0.3 -0.2 -0.2 0.0 0.1 -0.0 0.3 -0.0 -1.2 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.7 0.3 -0.2 0.1 0.3 0.7 0.1 0.7 0.3 HEATOIL -0.0 0.1 -0.3 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.0 0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -2.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.4 0.0 -0.0 -0.0 0.0 -0.0 0.1 0.1 0.1 JGB-SGX-mini -0.6 -0.6 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 0.0 -0.1 0.1 -0.1 -0.1 0.4 0.3 0.4 0.3 -0.1 -0.0 -0.1 0.0 -0.1 -1.5 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 1.1 -0.5 -0.5 -0.1 0.1 -0.7 -0.5 -0.7 -0.3 JPY 0.1 -0.6 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.2 -0.0 -0.1 -0.2 -0.3 -0.2 -0.2 -0.1 -0.1 0.1 -0.1 -0.0 2.7 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -1.1 0.2 0.3 0.0 -0.1 -0.4 -0.7 -0.3 -0.7 LEANHOG -0.3 0.5 0.6 -0.0 0.0 -0.1 0.0 -0.3 -0.0 0.1 0.3 0.1 0.1 0.2 0.2 -0.4 0.2 -0.1 0.3 0.2 0.2 0.2 0.1 0.2 -0.0 0.1 0.1 0.2 0.1 0.1 0.1 1.1 0.5 0.6 0.6 0.6 0.2 -0.2 0.3 0.0 LIVECOW -0.2 0.0 0.4 -0.0 0.0 -0.1 0.0 -0.3 -0.0 0.2 0.5 0.2 0.6 0.1 0.2 -0.2 0.1 -0.1 0.0 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.1 0.2 0.1 0.3 0.0 0.2 0.5 0.3 0.4 0.4 -0.2 0.7 0.0 0.7 LUMBER-new 0.1 0.7 0.6 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.0 0.1 0.0 -0.2 0.1 0.2 -0.5 -0.4 -0.5 -0.4 0.2 0.1 0.0 -0.1 0.2 NaN 0.1 -0.0 0.1 0.0 0.0 0.1 -1.2 -0.6 0.7 0.7 0.7 0.4 0.1 0.8 0.4 MILK -0.5 -0.6 0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 -0.1 -0.0 -0.1 0.1 -0.2 1.9 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.3 -0.6 -0.6 0.1 -0.2 -0.7 -0.1 -0.7 MXP -0.0 -0.1 -0.4 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.3 -0.1 -0.4 -0.1 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.1 -0.0 -0.3 -0.1 -2.7 -0.1 0.0 -0.2 -0.0 -0.2 -0.0 1.1 -0.2 0.2 0.3 -0.4 0.6 0.7 0.7 0.7 NASDAQ_micro 0.1 0.2 0.2 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.3 0.1 0.4 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.0 0.4 0.1 -2.7 0.0 -0.0 0.1 0.0 0.3 0.0 -0.3 -0.2 -0.0 0.2 0.3 0.3 0.1 -0.2 -0.2 NIKKEI -0.2 0.0 0.1 0.0 0.0 0.1 0.0 0.2 0.0 -0.0 0.1 -0.1 0.2 -0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.0 -0.0 0.2 -0.0 -1.2 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 1.1 -0.3 -0.5 -0.2 -0.5 0.7 0.4 0.7 0.4 NZD -0.2 -0.6 -0.2 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 0.2 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.1 0.1 -0.1 -0.2 -0.1 -0.0 OAT 0.3 -0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 0.0 0.1 -0.1 -0.0 -0.1 0.2 0.1 0.2 0.1 -0.0 -0.0 0.1 -0.1 0.1 0.5 -0.0 0.1 -0.0 0.1 0.0 0.0 0.6 -0.2 0.2 0.4 0.1 -0.1 -0.5 0.5 0.2 OATIES -0.6 -0.2 0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.1 0.1 -0.3 0.0 -0.1 -0.0 0.0 0.0 -0.1 -0.0 -0.0 -2.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.6 -0.2 0.4 0.7 0.2 0.7 0.5 OJ 0.4 0.1 0.2 -0.0 0.0 -0.1 0.0 -0.3 -0.0 0.1 0.5 0.2 0.7 0.2 0.2 0.4 0.3 0.4 0.3 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.4 0.1 1.1 0.5 0.6 0.6 0.6 0.5 0.3 0.7 0.7 PALLAD -0.6 -0.1 0.5 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 1.8 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.3 0.0 -0.1 0.1 0.1 -0.4 -0.7 -0.7 -0.7 PLAT -0.5 -0.2 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.7 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.1 -0.2 -0.1 -0.2 -0.2 0.3 -0.3 0.0 -0.1 REDWHEAT -0.4 -0.3 0.2 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.5 -0.2 -0.5 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.9 -0.3 -0.6 -0.6 -0.4 -0.7 -0.7 -0.7 -0.7 RICE 0.4 -0.3 -0.3 -0.0 0.0 -0.1 0.0 -0.2 -0.0 0.2 0.1 0.2 0.3 0.0 -0.0 -0.2 0.3 -0.1 0.1 -0.0 -0.0 0.1 0.1 0.0 -1.8 -0.0 0.0 -0.1 0.0 -0.0 -0.0 1.1 0.1 0.2 -0.4 -0.4 -0.5 -0.7 -0.5 -0.7 ROBUSTA 0.6 -0.4 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.2 0.1 0.4 0.1 0.1 0.1 0.4 0.3 0.4 0.1 0.1 0.2 0.5 0.2 -2.7 0.0 0.1 0.1 0.1 0.2 0.1 1.1 0.5 0.6 0.3 0.6 0.1 0.0 0.3 0.3 RUSSELL 0.5 0.3 0.2 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.3 0.1 0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.2 0.2 0.1 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.3 0.6 0.6 0.5 -0.2 -0.4 -0.7 -0.7 SHATZ 0.3 -0.2 0.5 -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 0.1 0.8 0.0 0.1 0.1 0.1 0.1 0.0 -1.1 -0.2 0.3 0.3 0.3 -0.3 -0.5 0.1 -0.2 SILVER-mini -0.6 -0.2 0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.3 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.2 -0.1 -0.3 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 -0.1 -0.1 0.0 0.1 0.3 -0.1 -0.0 0.3 SMI -0.4 -0.6 -0.5 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.0 -0.0 0.3 -0.1 -0.1 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.0 0.1 -0.1 1.0 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.6 -0.1 -0.6 -0.6 -0.4 -0.2 0.1 -0.6 -0.3 SOFR 0.0 -0.6 -0.4 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.0 0.1 0.1 -0.1 -0.1 -0.0 0.0 0.0 0.0 -0.1 -0.1 0.1 -0.0 -0.1 -0.8 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.3 -0.2 -0.5 -0.4 0.0 -0.3 0.6 0.5 SOYBEAN -0.1 -0.2 -0.3 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.1 -0.4 -0.1 -0.6 -0.2 -0.2 -0.0 0.0 -0.0 -0.0 -0.2 -0.2 -0.1 -0.5 -0.1 -2.7 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 -0.2 -0.2 -0.3 -0.6 -0.6 0.1 -0.3 0.3 -0.1 SOYMEAL -0.1 -0.5 -0.2 -0.0 0.0 -0.1 0.0 -0.2 -0.0 0.1 -0.5 -0.0 -0.6 -0.2 -0.2 -0.2 0.0 -0.1 -0.1 -0.2 -0.2 -0.0 -0.5 -0.1 -2.7 -0.1 0.0 -0.1 -0.0 -0.2 -0.1 -0.3 0.2 -0.2 -0.6 -0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.5 0.3 0.5 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 -1.9 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.5 -0.2 0.0 0.1 0.1 -0.2 0.4 -0.0 SP400 0.5 0.2 0.2 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.3 0.1 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.3 0.2 -1.4 0.1 0.0 0.1 0.1 0.2 0.1 -0.0 0.5 0.6 0.6 0.6 -0.1 -0.2 -0.6 -0.7 SP500_micro 0.3 0.1 0.4 0.0 0.1 0.1 0.1 0.3 0.0 0.1 0.5 0.2 0.7 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 -0.5 0.1 0.4 0.5 0.6 0.2 0.1 -0.4 -0.3 SUGAR11 -0.4 -0.1 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 0.4 0.4 0.4 0.0 0.1 -0.1 0.1 -0.0 -2.7 0.0 0.0 0.1 0.0 0.0 -0.0 1.1 0.1 -0.1 -0.2 0.6 -0.7 0.1 -0.7 0.2 US10 0.1 -0.6 -0.3 -0.0 0.1 -0.0 0.0 0.0 0.0 0.1 -0.1 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 0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.4 -0.2 -0.1 -0.4 -0.3 -0.1 -0.6 0.3 0.3 US10U 0.1 -0.6 -0.3 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.1 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 -0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.2 -0.2 -0.1 -0.4 -0.4 -0.1 -0.4 0.7 0.6 US2 -0.2 -0.6 -0.2 -0.0 0.1 -0.0 0.0 0.0 0.0 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.3 -0.4 -0.4 -0.4 -0.2 -0.1 0.0 -0.1 -0.1 2.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.5 -0.5 -0.6 -0.3 -0.2 -0.6 0.1 -0.3 US20 0.2 -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 -0.1 -0.0 -0.4 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.2 -0.1 -0.2 -0.3 0.0 -0.3 0.7 0.6 US30 0.1 -0.6 -0.2 -0.0 0.1 -0.0 0.0 0.0 0.0 0.1 -0.1 0.1 0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.1 -0.1 -0.0 -0.3 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.2 -0.2 -0.1 -0.1 -0.2 0.0 -0.3 0.7 0.6 US5 0.0 -0.6 -0.3 -0.0 0.1 -0.0 0.0 0.0 0.0 0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.1 -0.1 0.1 -0.1 -0.1 0.8 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.7 -0.2 -0.2 -0.5 -0.3 -0.1 -0.5 0.4 0.2 VIX -0.9 -0.5 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 -0.1 -0.2 -0.5 -0.3 -0.7 -0.3 -0.3 -0.6 -0.6 -0.4 -0.6 -0.2 -0.1 -0.1 -0.4 -0.2 NaN -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.4 -0.3 0.1 -0.0 0.0 -0.1 0.0 -0.3 -0.0 -0.2 -0.5 -0.2 -0.6 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.2 -0.5 -0.2 0.7 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -1.1 -0.3 -0.6 -0.6 -0.4 -0.7 -0.7 -0.7 -0.6 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -8.4 -19.3 -5.2 -4.0 3.2 -2.3 -0.1 -0.6 -3.4 7.2 -7.1 -9.0 -1.8 -13.0 -12.6 -0.4 -1.6 -0.5 -0.9 -12.0 -6.7 -3.7 -2.4 -10.8 3.2 -4.4 1.5 -2.4 -1.2 -0.6 -3.9 -0.0 -3.1 6.2 -1.3 2.8 -1.4 -5.8 -0.9 -3.6 BITCOIN 20.0 20.0 7.8 -1.4 -1.6 0.4 -4.5 -0.1 -4.6 6.8 15.0 18.5 15.5 20.0 20.0 -8.4 -7.0 -7.3 -6.9 20.0 20.0 20.0 17.2 20.0 -20.0 7.5 2.4 4.8 5.1 3.8 8.0 -2.9 20.0 20.0 20.0 20.0 1.4 -2.5 -2.5 1.0 BOBL 14.0 -9.0 4.9 -1.5 6.9 -0.6 4.4 0.2 0.5 10.9 3.2 11.0 -1.7 2.8 -1.7 11.8 -2.7 11.0 3.8 1.5 1.3 17.2 0.3 7.9 3.9 1.0 9.8 1.0 7.7 1.0 3.7 2.0 1.6 12.4 9.7 6.4 -9.5 -14.4 5.6 0.3 BTP 10.9 -6.7 2.9 -2.5 10.9 -1.0 7.0 0.4 0.8 17.5 12.2 17.8 16.7 7.8 6.6 7.6 5.4 6.9 5.8 8.4 9.8 20.0 12.1 15.1 -20.0 4.5 17.2 5.0 13.2 5.9 7.4 11.7 -0.7 17.2 20.0 20.0 -8.4 -12.7 10.9 10.2 BUND 15.7 -9.5 1.1 -1.9 8.3 -0.8 5.3 0.3 0.6 13.2 2.6 13.2 0.7 2.9 -3.5 -20.0 -8.6 -19.4 -14.2 1.0 0.4 20.0 0.3 10.2 1.0 0.9 12.4 0.7 10.0 1.1 4.7 -16.7 6.3 15.0 12.8 5.3 -20.0 -19.7 1.3 -1.1 BUXL 19.7 -1.6 1.9 -2.1 9.4 -0.9 6.0 0.3 0.7 15.0 3.6 16.4 0.7 8.5 2.3 0.4 -1.3 0.1 -0.6 5.8 1.5 20.0 -1.0 17.0 -2.7 2.8 13.9 1.2 12.3 0.9 7.4 0.6 8.8 20.0 20.0 7.1 -20.0 -20.0 -8.5 -8.0 CAC -11.1 -11.3 -9.0 3.7 6.6 5.2 4.7 7.7 3.6 -1.0 -14.4 -13.3 -4.5 -16.6 -14.4 -5.2 -3.6 -5.3 -4.7 -16.5 -13.3 -11.1 -6.7 -16.8 -6.2 -6.1 -0.5 -4.6 -4.2 -1.7 -6.4 4.1 -20.0 -20.0 -20.0 -20.0 4.1 6.6 -4.9 -2.8 CAD -4.6 -18.4 -7.1 -5.7 4.5 -3.3 -0.1 -0.9 -4.8 0.7 -17.3 -10.8 -18.1 -18.4 -19.7 -6.1 -4.4 -5.8 -5.2 -20.0 -17.7 -8.5 -12.5 -17.9 0.7 -7.2 -0.3 -5.5 -2.8 -3.6 -5.8 -6.0 -5.3 5.0 -10.9 -6.7 -4.9 -7.4 -8.5 -6.8 CANOLA -20.0 4.1 7.0 -0.5 0.1 -1.5 0.5 -2.5 -0.1 -6.0 -1.3 -7.0 -5.3 -5.5 -0.7 -14.8 -12.5 -15.0 -14.3 -4.0 -2.1 -14.0 -3.9 -10.1 -11.5 -0.4 -3.1 0.1 -3.9 -1.0 -2.5 -20.0 -20.0 -15.1 0.4 4.8 -8.6 -11.9 -1.3 -6.2 CHF -13.5 -20.0 -6.1 -3.2 2.5 -1.9 -0.1 -0.5 -2.7 10.6 -4.0 -5.1 -4.5 -9.3 -9.6 -14.9 -16.0 -15.2 -15.4 -13.3 -6.8 -2.8 -2.4 -12.1 3.8 -3.8 1.5 -1.8 -0.9 -0.3 -3.5 -20.0 -1.5 -10.3 -7.2 -5.0 -10.2 -10.3 -17.6 -13.4 COCOA 20.0 20.0 5.4 -0.6 0.1 -2.0 0.7 -3.3 -0.1 8.9 5.4 9.9 6.7 10.2 9.8 5.8 20.0 20.0 20.0 20.0 15.6 20.0 15.9 20.0 -20.0 3.4 2.5 2.9 4.0 3.9 4.3 20.0 14.7 20.0 20.0 20.0 20.0 20.0 20.0 20.0 COFFEE 20.0 11.1 5.4 -1.4 0.3 -4.5 1.5 -7.4 -0.2 18.1 19.7 20.0 20.0 20.0 18.7 2.7 4.7 2.5 3.4 20.0 20.0 20.0 20.0 20.0 -20.0 6.8 14.1 4.8 13.6 4.7 10.8 5.5 20.0 20.0 20.0 20.0 -11.2 -7.7 -2.6 1.0 COPPER -18.5 -13.8 -4.8 -0.6 -0.7 0.2 -1.9 -0.0 -1.9 -5.6 -5.6 -8.4 -1.3 -8.7 -5.2 -5.3 -3.6 -4.5 -3.8 -6.5 -2.8 -5.6 0.6 -8.2 -11.4 -1.7 -0.6 -0.0 -2.0 1.2 -2.7 2.9 -2.0 1.0 -10.1 -1.4 12.0 12.0 8.3 20.0 CORN -5.5 -1.3 -3.6 -1.5 0.3 -4.8 1.6 -7.9 -0.2 -14.8 -19.6 -20.0 -20.0 -20.0 -8.5 -7.4 -13.6 -10.5 -13.2 -14.4 -20.0 -20.0 -20.0 -17.0 -11.3 -7.6 -15.8 -9.8 -13.3 -13.5 -9.3 -20.0 -20.0 -19.2 -20.0 -12.9 11.2 -1.8 17.3 2.7 COTTON2 -5.6 -3.9 6.1 -1.3 0.3 -4.0 1.3 -6.7 -0.2 18.3 -16.8 3.5 -17.9 -7.8 -7.0 -14.3 -7.6 -14.0 -11.5 -8.0 -11.3 5.4 -17.0 -4.9 -20.0 -4.5 6.4 -4.2 1.4 -3.8 -3.8 -17.8 17.1 -4.8 -15.2 0.9 -17.9 -16.4 -14.0 -11.8 CRUDE_W -1.9 -1.0 -10.2 -1.6 -7.6 -3.4 -4.3 -3.0 -1.6 -15.6 -9.6 -5.2 -5.5 -9.9 -6.3 3.7 9.9 5.5 7.8 -6.0 -8.2 -4.4 -5.3 -3.9 -1.4 -2.8 -4.6 -4.4 -2.4 -3.2 -2.1 8.0 5.9 -1.9 -5.3 2.8 -1.8 7.0 -0.9 11.8 DAX -4.7 -5.1 1.8 3.6 6.4 5.0 4.5 7.5 3.5 15.1 12.3 9.6 15.5 -0.4 11.8 -8.0 -9.7 -8.3 -8.8 5.1 8.5 11.1 11.9 4.6 7.6 2.6 12.5 4.9 6.7 8.2 2.5 -4.9 3.9 -14.4 -3.0 4.9 20.0 11.9 12.0 3.3 DOW 16.9 1.6 8.6 2.8 5.0 4.0 3.6 5.9 2.7 12.6 12.7 13.2 13.7 12.0 13.0 -9.9 -10.6 -9.9 -10.1 17.2 15.7 20.0 14.8 19.4 -11.9 4.8 4.8 4.9 5.3 5.0 5.0 -6.7 11.9 20.0 18.2 20.0 0.2 2.4 -13.6 -8.6 DX 15.2 20.0 10.2 -3.5 2.8 -2.0 -0.1 -0.6 -3.0 -12.0 8.6 8.5 7.6 11.9 12.8 5.8 6.6 6.0 6.2 18.3 11.0 2.6 4.8 15.7 -20.0 4.3 -2.4 2.5 0.5 1.0 3.6 13.2 -20.0 20.0 20.0 17.2 -2.8 4.8 -2.6 7.0 EUR -17.1 -20.0 -10.9 -3.1 2.5 -1.8 -0.1 -0.5 -2.6 6.9 -7.8 -7.0 -5.7 -9.5 -10.7 -6.0 -7.0 -6.5 -6.7 -14.8 -9.1 -5.3 -4.0 -14.0 13.9 -4.0 1.1 -2.3 -1.3 -0.8 -3.7 -9.5 -6.9 -14.2 -10.5 -7.9 0.2 -12.3 -1.5 -15.0 EURIBOR-ICE 12.0 -4.5 8.8 -1.2 5.5 -0.5 3.5 0.2 0.4 8.5 7.1 9.1 6.6 5.8 4.7 5.8 0.2 4.9 2.8 5.7 6.8 11.9 6.6 7.6 10.9 2.6 7.4 3.1 5.5 3.1 3.5 4.8 -5.6 10.4 13.2 13.5 -4.4 -14.9 11.1 6.5 EUROSTX -9.1 -11.3 -9.1 3.4 6.0 4.7 4.2 7.0 3.3 7.0 -2.7 -8.2 9.0 -13.3 -5.8 -3.8 -3.4 -3.9 -4.0 -8.9 -4.4 -3.7 3.0 -9.2 -2.6 -4.5 2.0 -2.0 -1.7 2.4 -4.5 4.7 -15.2 -20.0 -20.0 -13.6 4.4 3.7 -14.4 -9.5 FEEDCOW 20.0 20.0 8.0 -1.5 0.4 -4.9 1.6 -8.0 -0.2 20.0 2.9 20.0 -10.9 20.0 17.7 10.2 -3.9 13.3 8.4 20.0 7.1 20.0 -7.8 20.0 -13.1 6.1 13.3 1.1 13.9 -1.4 10.8 2.1 20.0 20.0 20.0 14.1 16.8 19.4 20.0 20.0 GASOIL 2.4 2.8 -10.6 -1.5 -6.9 -3.1 -3.9 -2.8 -1.4 -13.1 -11.8 -5.0 -7.9 -1.1 -5.0 2.9 6.5 2.1 2.7 -3.5 -9.0 -5.5 -7.8 -0.9 4.2 -2.0 -6.9 -5.0 -3.1 -4.6 -0.6 0.1 2.0 3.3 -0.9 -7.5 0.7 -7.3 2.8 -11.6 GASOLINE -2.8 -0.5 -7.9 -1.4 -6.5 -2.9 -3.7 -2.6 -1.3 -14.4 -8.2 -9.5 -2.9 -9.4 -2.9 -4.5 20.0 5.3 15.1 -3.5 -4.7 -7.0 -2.4 -3.7 -20.0 -0.5 -5.4 -1.0 -2.6 -0.2 -1.1 20.0 0.7 -1.8 -1.7 5.7 3.3 9.4 7.7 16.9 GAS_US_mini 16.4 5.0 17.5 -1.2 -6.0 -2.6 -3.4 -2.4 -1.2 -1.2 -11.6 6.0 -14.7 1.7 -2.5 -20.0 -20.0 -20.0 -20.0 -0.6 -5.1 5.2 -10.5 4.5 20.0 -0.8 -1.4 -3.0 4.0 -4.8 2.7 -20.0 8.3 12.8 -12.5 2.1 -12.4 -17.9 -9.7 -15.1 GBP -16.5 -20.0 -7.2 -4.5 3.6 -2.6 -0.1 -0.7 -3.8 15.4 -1.6 -8.9 5.8 -13.3 -13.3 0.5 -0.2 0.4 0.2 -15.4 -5.1 -3.8 3.1 -16.3 -1.3 -4.7 4.1 -1.1 -1.0 1.7 -5.1 2.1 -3.5 -8.1 -4.7 3.7 5.3 -14.5 17.0 -13.9 GOLD_micro -20.0 -20.0 -2.7 -0.6 -0.7 0.2 -1.9 -0.0 -2.0 -2.2 5.9 -2.2 8.8 -3.4 2.6 -9.7 -13.0 -11.6 -12.2 1.3 6.9 -1.6 9.9 -2.5 -8.7 0.7 0.0 2.9 -0.7 4.0 -1.0 -12.6 10.8 -5.3 2.9 10.6 20.0 2.7 20.0 8.0 HEATOIL -0.5 2.3 -8.0 -1.4 -6.6 -2.9 -3.8 -2.6 -1.4 -12.8 -11.7 -5.8 -10.4 -8.1 -6.2 1.4 2.6 -1.7 -1.9 -3.9 -8.4 -5.2 -8.4 -2.2 -19.7 -0.8 -4.9 -3.2 -1.5 -3.6 -0.2 -7.5 1.3 -1.3 -0.3 0.6 -0.1 2.7 2.4 3.9 JGB-SGX-mini -19.8 -19.1 0.2 -1.8 4.6 -0.7 2.7 0.2 -0.4 6.8 0.5 -8.0 1.7 -9.2 -5.3 20.0 17.1 18.0 16.7 -8.5 -2.7 -5.6 0.4 -10.7 -11.6 -2.8 0.8 -1.1 -1.8 -0.5 -3.5 20.0 -19.7 -15.2 -1.8 2.3 -20.0 -14.1 -20.0 -9.9 JPY 3.8 -20.0 -0.9 -2.2 1.7 -1.3 -0.1 -0.3 -1.9 7.6 -3.2 5.4 -4.7 -3.4 -6.3 -10.5 -13.6 -10.9 -11.8 -6.2 -5.0 7.4 -5.1 -1.4 20.0 -1.8 4.6 -1.4 2.6 -1.5 -0.3 -19.7 9.7 8.5 0.3 -1.6 -13.1 -20.0 -10.2 -20.0 LEANHOG -9.4 15.9 20.0 -1.6 0.4 -5.0 1.7 -8.3 -0.2 8.8 9.6 12.9 3.9 19.7 20.0 -20.0 9.5 -5.6 12.7 20.0 20.0 19.0 4.5 20.0 -0.3 8.1 11.6 6.2 8.4 2.1 7.1 20.0 20.0 19.6 20.0 20.0 4.9 -5.4 9.8 0.6 LIVECOW -5.2 0.1 11.8 -1.7 0.4 -5.3 1.7 -8.7 -0.2 20.0 20.0 18.8 17.9 4.8 19.2 -12.2 4.2 -5.8 0.5 14.3 18.9 15.1 19.2 11.2 -20.0 4.7 9.5 6.3 7.3 7.8 4.4 3.8 20.0 8.9 13.2 12.4 -6.0 20.0 1.4 20.0 LUMBER-new 4.0 20.0 16.6 -1.2 0.3 -3.8 1.3 -6.0 -0.2 -3.7 4.6 0.3 -4.9 11.0 15.3 -20.0 -18.7 -19.7 -19.1 18.4 10.4 2.5 -1.8 13.2 NaN 5.8 -1.9 3.5 0.1 0.1 4.3 -20.0 -20.0 19.0 20.0 20.0 11.1 3.5 19.5 10.5 MILK -16.8 -20.0 0.6 -1.1 2.9 -2.8 0.7 -4.5 -0.7 -8.4 5.2 -10.0 6.5 -12.5 -8.3 -2.5 -2.8 9.5 7.5 -12.7 -0.4 -13.0 5.2 -17.0 13.9 -3.6 -2.4 -0.5 -3.6 0.9 -4.7 1.8 -10.9 -20.0 -20.0 2.0 -7.3 -20.0 -1.7 -20.0 MXP -0.2 -3.4 -13.5 -3.3 2.6 -1.9 -0.1 -0.5 -2.8 0.8 -12.5 -5.7 -10.4 -9.1 -11.1 11.8 13.3 11.6 11.8 -10.0 -13.0 -2.6 -10.3 -6.5 -20.0 -4.7 1.3 -5.9 -1.4 -4.5 -3.1 20.0 -8.4 5.0 8.1 -10.9 19.0 20.0 20.0 20.0 NASDAQ_micro 3.8 5.9 7.6 2.9 5.1 4.0 3.6 6.0 2.8 11.1 10.9 6.9 12.0 7.3 11.7 -9.9 -9.8 -9.4 -9.3 11.1 12.4 5.5 15.4 8.1 -20.0 4.2 -0.1 5.3 1.0 7.5 2.5 -5.3 -7.9 -1.4 7.4 9.7 8.8 4.0 -5.0 -6.7 NIKKEI -7.3 0.3 3.8 2.7 4.8 3.8 3.4 5.6 2.6 -3.9 5.1 -9.3 6.2 -5.9 7.6 3.2 6.5 2.8 4.3 0.3 2.7 -5.5 6.8 -3.5 -8.7 -1.4 -1.7 -1.3 -2.7 2.1 -2.0 20.0 -14.2 -15.7 -5.0 -14.6 20.0 11.0 20.0 13.5 NZD -7.4 -20.0 -6.1 -3.5 2.8 -2.0 -0.1 -0.6 -3.0 9.8 -8.2 -6.3 -3.5 -11.5 -11.6 -1.2 -0.3 -0.9 -0.6 -12.3 -7.6 -1.2 -3.3 -10.1 1.5 -4.0 3.3 -2.4 -0.2 -0.9 -3.3 1.4 -1.9 2.0 -3.5 1.7 -3.0 -5.7 -2.8 -0.8 OAT 10.4 -7.7 1.3 -1.8 7.9 -0.7 5.0 0.3 0.6 12.5 0.1 11.8 -2.2 -0.0 -4.8 9.1 5.6 7.8 6.2 -1.5 -2.1 14.3 -2.2 4.7 3.9 -0.2 13.2 -0.3 8.6 0.1 3.2 12.2 -7.5 6.3 12.3 4.4 -3.3 -14.8 15.1 5.4 OATIES -20.0 -6.7 20.0 -0.7 0.2 -2.3 0.8 -3.9 -0.1 -6.4 0.9 -8.0 -6.6 -7.0 5.0 -14.6 0.2 -5.4 -1.4 0.4 2.8 -5.8 -0.4 -4.5 -20.0 -0.2 -3.4 1.1 -2.8 0.2 -2.3 -2.0 -10.1 -20.0 -6.9 12.3 20.0 5.1 20.0 14.1 OJ 11.9 2.9 7.0 -1.3 0.3 -4.2 1.4 -7.0 -0.2 11.4 19.7 16.8 20.0 16.3 17.8 20.0 14.1 18.3 15.1 20.0 20.0 20.0 20.0 20.0 -20.0 6.3 11.5 7.2 12.3 11.6 8.8 20.0 20.0 20.0 20.0 20.0 15.3 9.5 20.0 20.0 PALLAD -17.9 -4.1 15.6 -0.5 -0.6 0.1 -1.7 -0.0 -1.7 -4.9 0.4 -3.9 -3.0 -5.4 -1.4 -2.1 -2.1 -2.2 -2.1 -1.8 0.4 -3.8 -1.7 -4.4 13.2 0.1 -1.6 0.8 -1.5 -0.3 -1.3 5.5 1.6 -2.4 3.1 2.0 -13.2 -20.0 -20.0 -20.0 PLAT -16.4 -4.6 0.6 -0.8 -1.0 0.2 -2.6 -0.1 -2.7 -1.9 -6.0 -9.0 -3.0 -10.3 -4.7 -4.1 -4.4 -4.2 -4.4 -5.6 -1.9 -7.9 -0.7 -9.2 5.2 -2.3 -6.4 -0.8 -5.7 -0.4 -4.5 1.5 -9.6 -2.9 -5.0 -7.6 7.7 -8.5 0.3 -2.0 REDWHEAT -12.4 -9.6 5.6 -1.3 0.3 -4.2 1.4 -6.9 -0.2 -18.3 -17.9 -16.5 -18.8 -17.8 -13.4 -10.1 -7.8 -10.3 -9.7 -16.3 -14.8 -20.0 -19.5 -19.9 -3.8 -6.2 -9.1 -5.4 -7.2 -6.1 -7.2 -16.8 -12.8 -20.0 -20.0 -11.3 -20.0 -20.0 -20.0 -20.0 RICE 12.9 -7.7 -8.3 -1.2 0.3 -3.9 1.3 -6.3 -0.2 16.7 2.2 15.9 7.9 3.0 -4.5 -10.0 17.4 -7.0 6.0 -4.3 -4.1 9.5 2.1 2.4 -13.8 -3.5 3.4 -3.0 2.7 -0.4 -0.4 20.0 2.6 7.6 -11.4 -11.7 -13.7 -20.0 -14.0 -20.0 ROBUSTA 20.0 -13.2 -6.3 -0.8 0.2 -2.4 0.8 -3.9 -0.1 8.6 8.4 11.0 10.3 7.1 6.4 5.8 20.0 14.9 20.0 13.2 13.2 20.0 17.6 20.0 -20.0 3.1 6.7 3.1 7.7 5.0 5.4 20.0 20.0 20.0 10.4 20.0 3.4 0.9 8.0 7.5 RUSSELL 14.0 7.8 7.3 2.7 4.7 3.7 3.3 5.5 2.6 10.8 9.9 11.2 11.1 9.8 10.4 -6.3 -6.4 -6.2 -6.2 14.1 11.2 16.4 9.0 16.2 0.5 4.4 3.6 4.1 4.3 3.7 4.6 0.3 11.8 20.0 19.9 14.1 -6.5 -12.8 -20.0 -20.0 SHATZ 10.2 -6.0 14.5 -1.2 5.4 -0.5 3.4 0.2 0.4 8.1 5.1 8.2 0.3 3.2 1.4 -20.0 -20.0 -20.0 -20.0 3.3 4.0 9.4 1.4 5.4 5.9 1.8 6.2 2.3 4.8 1.4 2.7 -20.0 -6.5 7.8 9.1 9.9 -8.5 -15.3 1.6 -5.8 SILVER-mini -19.7 -7.5 2.2 -0.8 -0.9 0.2 -2.5 -0.1 -2.5 -3.9 3.2 -10.0 7.1 -10.8 0.0 -5.7 -6.4 -5.9 -6.0 -2.5 3.9 -7.4 7.3 -8.1 -2.2 -0.3 -0.9 1.9 -2.7 3.0 -2.7 -1.5 -4.2 -2.4 0.4 3.7 7.6 -1.9 -1.4 7.7 SMI -12.0 -17.1 -16.3 2.6 4.7 3.7 3.3 5.4 2.5 9.4 0.7 -3.7 8.1 -9.3 -7.8 0.7 0.3 0.3 -0.2 -9.4 -3.4 -1.5 3.6 -8.9 7.5 -3.2 2.7 -0.2 -0.5 3.1 -3.3 11.0 -5.6 -20.0 -17.8 -12.0 -6.3 1.7 -18.9 -8.7 SOFR 1.4 -20.0 -11.8 -1.8 8.0 -0.7 5.1 0.3 0.6 12.5 -1.6 7.7 2.9 -8.8 -11.4 -0.6 0.1 0.5 0.4 -13.6 -7.5 10.5 -1.0 -5.8 -5.7 -3.9 3.2 -2.3 1.0 -0.3 -2.4 2.8 -10.9 -7.5 -16.0 -13.0 0.5 -8.3 17.5 15.1 SOYBEAN -3.9 -5.3 -9.6 -1.2 0.3 -3.7 1.2 -6.0 -0.2 -7.3 -16.4 -13.7 -16.5 -16.2 -14.0 -1.3 0.4 -2.2 -2.5 -16.0 -20.0 -9.4 -20.0 -13.3 -20.0 -6.3 -1.3 -7.9 -4.2 -8.7 -5.5 -4.0 -9.7 -8.7 -20.0 -18.5 2.1 -7.5 7.8 -2.3 SOYMEAL -3.0 -15.6 -5.3 -1.2 0.3 -3.7 1.2 -6.1 -0.2 10.2 -17.1 -2.7 -17.3 -15.9 -16.8 -10.4 0.2 -6.6 -3.8 -18.1 -19.1 -1.1 -20.0 -12.6 -20.0 -6.0 3.2 -5.4 -0.8 -4.7 -4.7 -4.9 8.7 -7.0 -20.0 -15.4 -20.0 -20.0 -20.0 -20.0 SOYOIL -15.6 8.7 15.6 -0.5 0.1 -1.5 0.5 -2.5 -0.1 -4.6 -0.6 -6.2 -5.5 -4.5 0.4 -2.9 0.3 -1.4 -0.6 -0.0 0.0 -8.6 -2.7 -4.7 -14.5 0.6 -3.8 0.4 -3.4 -0.7 -1.3 -2.1 -20.0 -7.6 0.5 4.3 3.1 -6.0 12.2 -0.3 SP400 15.0 6.6 7.2 3.0 5.3 4.2 3.7 6.2 2.9 9.2 11.9 11.9 13.7 11.1 12.6 -7.2 -6.5 -7.2 -6.8 17.1 13.4 20.0 11.5 20.0 -10.2 5.0 4.8 4.5 5.9 4.3 5.5 -0.3 19.3 20.0 20.0 19.0 -1.6 -6.6 -17.2 -20.0 SP500_micro 10.1 3.8 10.9 3.7 6.6 5.2 4.6 7.7 3.6 16.1 17.8 16.5 18.5 15.2 17.7 -11.7 -11.8 -11.3 -11.3 20.0 20.0 18.0 20.0 18.4 -20.0 6.1 4.0 7.6 4.6 9.7 5.1 -8.8 3.4 13.4 15.7 20.0 5.2 3.9 -12.4 -9.4 SUGAR11 -11.2 -4.0 20.0 -1.1 0.3 -3.5 1.2 -5.8 -0.2 -13.5 7.5 -8.9 -5.6 -10.1 7.8 20.0 20.0 20.0 20.0 3.9 7.1 -6.3 2.2 -3.4 -20.0 2.0 3.0 3.0 0.1 0.7 -0.5 20.0 4.3 -3.9 -7.5 20.0 -20.0 2.7 -20.0 6.8 US10 2.7 -20.0 -9.7 -1.3 5.7 -0.5 3.6 0.2 0.4 9.0 -2.8 6.4 0.1 -6.2 -8.2 -2.9 -6.4 -4.4 -5.4 -9.4 -5.9 7.5 -2.5 -3.6 1.5 -2.8 2.4 -1.7 0.9 -0.4 -1.5 -7.9 -7.0 -4.1 -11.0 -9.2 -3.9 -19.1 10.4 8.9 US10U 4.5 -20.0 -7.8 -1.7 7.4 -0.7 4.7 0.3 0.5 11.5 -3.8 8.6 -0.1 -7.1 -10.2 -4.0 -3.6 -4.3 -4.2 -9.9 -6.5 9.9 -3.2 -3.0 -1.4 -3.5 3.6 -2.2 1.5 -0.7 -1.8 -4.4 -8.7 -3.9 -11.1 -11.0 -2.0 -13.5 20.0 16.6 US2 -6.0 -20.0 -7.1 -1.5 6.4 -0.6 4.1 0.2 0.5 10.1 -3.8 -0.7 -2.3 -9.1 -10.0 -16.1 -20.0 -20.0 -20.0 -15.7 -8.7 1.6 -4.9 -11.4 15.9 -3.2 1.1 -1.5 -0.6 -0.4 -2.7 -20.0 -18.8 -15.0 -17.4 -7.7 -6.2 -16.9 2.7 -7.5 US20 4.9 -20.0 -8.7 -1.2 5.4 -0.5 3.4 0.2 0.4 8.4 -2.7 6.3 1.6 -5.0 -7.5 -1.3 -1.3 -1.7 -1.5 -6.7 -4.5 7.5 -2.0 -1.6 -2.9 -2.6 2.5 -1.6 1.0 -0.3 -1.3 0.3 -8.1 -2.3 -6.5 -7.8 0.6 -8.4 20.0 18.5 US30 4.5 -17.1 -6.2 -1.3 5.7 -0.5 3.6 0.2 0.4 8.9 -3.8 6.1 0.1 -4.5 -7.7 -1.7 -4.2 -2.4 -3.3 -5.8 -4.2 7.4 -2.5 -1.1 -1.9 -2.7 3.3 -1.8 1.4 -0.6 -1.2 -4.1 -8.0 -2.2 -3.5 -7.0 0.0 -7.7 20.0 17.8 US5 0.7 -20.0 -10.0 -1.5 6.7 -0.6 4.3 0.2 0.5 10.5 -3.6 6.2 -1.7 -8.1 -10.0 -6.1 -9.7 -7.5 -8.7 -13.1 -8.0 6.9 -3.5 -6.7 6.3 -3.3 2.8 -1.9 0.7 -0.4 -2.1 -13.6 -8.8 -6.7 -14.6 -10.5 -1.7 -15.5 11.4 5.5 VIX -16.9 -9.6 -2.6 -3.0 -3.6 -1.1 -4.1 -2.7 -4.6 -14.3 -11.8 -15.2 -12.5 -14.8 -15.0 -17.5 -20.0 -13.8 -17.5 -8.8 -4.8 -10.2 -8.9 -11.9 NaN -3.5 -4.1 -1.3 -4.7 -3.2 -5.3 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -13.8 -10.0 4.3 -1.4 0.3 -4.5 1.5 -7.4 -0.2 -19.5 -16.7 -17.9 -17.5 -19.0 -9.6 -14.1 -14.4 -13.7 -14.1 -16.9 -15.2 -20.0 -20.0 -20.0 5.2 -6.6 -8.4 -5.4 -7.9 -5.7 -8.1 -20.0 -10.8 -20.0 -20.0 -10.9 -20.0 -19.5 -20.0 -17.0 End of report for caleb_strategy_v3