******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241202_204454 produced at 2024-12-02 21:40:55.560894 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.92 0.0 0.00 0.00 0.00 0.00 -28.76 16.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.72 0.0 0.00 0.00 0.00 0.00 -8.90 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.16 -0.22 0.0 999.00 -999.00 -0.16 -0.17 -38.90 999999999.0 -29 -30 caleb_strategy_v3 US2 False True 0.07 0.00 -0.21 0.0 0.00 0.00 0.00 0.00 -3.10 13.0 0 0 caleb_strategy_v3 CAD False False 0.02 -0.05 -0.14 0.0 0.70 -0.70 -0.05 -0.05 -5.75 29.0 -2 -2 caleb_strategy_v3 CHF False True 0.05 -0.38 -0.11 0.0 0.00 -0.38 -0.38 -0.38 -2.24 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 -11.55 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 -2.70 12.0 0 0 caleb_strategy_v3 EUR False False 0.04 -0.13 -0.07 0.0 0.62 -0.62 -0.13 -0.18 -1.48 14.0 -3 -4 caleb_strategy_v3 US5 False False 0.04 -0.11 -0.06 0.0 0.91 -0.91 -0.11 -0.11 -1.55 25.0 -3 -3 caleb_strategy_v3 COPPER False False 0.03 -0.07 -0.06 0.0 999.00 -999.00 -0.07 -0.10 -1.69 999999999.0 -2 -3 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.05 0.0 0.13 -0.13 -0.06 -0.06 -4.02 11.0 -5 -5 caleb_strategy_v3 GBP False True 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.49 22.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.04 0.0 0.09 -0.09 -0.03 -0.03 -1.33 3.0 -1 -1 caleb_strategy_v3 MXP False True 0.01 -0.02 -0.04 0.0 0.00 -0.02 -0.02 -0.01 -4.84 60.0 -2 -1 caleb_strategy_v3 AUD False True 0.02 -0.02 -0.03 0.0 0.00 -0.02 -0.02 -0.02 -1.44 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 -0.56 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 -1.78 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 -0.82 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 -1.54 21.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.07 -0.07 -0.03 -0.04 -2.91 8.0 -3 -4 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.03 0.0 0.09 -0.09 -0.03 -0.03 -3.30 9.0 -3 -3 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.03 0.0 0.15 -0.15 -0.02 -0.02 -10.72 51.0 -7 -7 caleb_strategy_v3 EUROSTX False False 0.02 -0.05 -0.03 0.0 0.35 -0.35 -0.05 -0.05 -2.01 20.0 -3 -3 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 GASOIL False False 0.02 -0.02 -0.02 0.0 0.09 -0.09 -0.02 -0.04 -0.79 4.0 -1 -2 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.02 0.0 0.09 -0.09 -0.02 -0.02 -2.34 9.0 -2 -2 caleb_strategy_v3 RICE False False 0.01 0.00 -0.02 0.0 0.04 -0.04 0.00 0.00 -1.97 4.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.06 -0.02 0.0 0.48 -0.48 -0.06 -0.03 -0.61 17.0 -2 -1 caleb_strategy_v3 CRUDE_W False False 0.02 -0.04 -0.02 0.0 0.11 -0.11 -0.04 -0.04 -1.12 5.0 -2 -2 caleb_strategy_v3 MILK False False 0.01 0.00 -0.02 0.0 0.06 -0.06 0.00 0.00 -1.28 5.0 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 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.77 2.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.01 0.0 0.16 -0.16 0.00 0.00 -0.90 10.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.02 -0.01 0.0 0.50 -0.50 -0.02 -0.01 -1.30 56.0 -2 -1 caleb_strategy_v3 US20 False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.14 9.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 -0.03 -0.01 0.0 999.00 -999.00 -0.03 -0.03 -0.38 999999999.0 -1 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.01 0.0 0.07 -0.07 -0.02 -0.02 -5.73 26.0 -8 -7 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.08 -0.08 0.00 0.00 -0.52 10.0 0 0 caleb_strategy_v3 BUND False False 0.05 -0.05 0.00 0.0 0.49 -0.49 -0.05 0.00 0.02 10.0 -1 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.02 24.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.00 0.0 0.37 -0.37 0.00 0.00 0.25 23.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.09 -0.00 0.0 0.26 -0.26 -0.09 -0.04 -0.09 6.0 -2 -1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.60 18.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.03 0.00 0.0 0.33 -0.33 0.03 0.04 0.20 23.0 2 3 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 LUMBER-new False False 0.01 0.00 0.01 0.0 0.02 -0.02 0.00 0.00 2.04 3.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 0.01 0.0 0.20 -0.20 0.00 0.00 0.16 4.0 0 0 caleb_strategy_v3 COFFEE False False 0.04 0.00 0.01 0.0 0.22 -0.22 0.00 0.00 0.14 6.0 0 0 caleb_strategy_v3 COCOA False False 0.03 0.06 0.03 0.0 0.83 -0.83 0.06 0.06 0.95 26.0 2 2 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.03 0.0 0.28 -0.28 0.00 0.00 7.42 68.0 0 0 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 SP500_micro False False 0.01 0.01 0.03 0.0 0.49 -0.49 0.01 0.01 2.92 48.0 1 1 caleb_strategy_v3 SP400 False False 0.11 0.23 0.03 0.0 0.23 -0.23 0.23 0.23 0.30 2.0 2 2 caleb_strategy_v3 OJ False False 0.02 0.02 0.04 0.0 0.07 -0.07 0.02 0.02 1.65 3.0 1 1 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 NIKKEI False False 0.01 0.03 0.05 0.0 0.31 -0.31 0.03 0.02 6.00 36.0 4 2 caleb_strategy_v3 BOBL False False 0.04 0.00 0.05 0.0 0.80 -0.80 0.00 0.00 1.12 19.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.07 0.0 0.43 -0.43 0.03 0.03 2.64 17.0 1 1 caleb_strategy_v3 DAX False False 0.01 0.00 0.07 0.0 0.41 -0.41 0.00 0.03 9.18 58.0 0 4 caleb_strategy_v3 DX False False 0.04 0.00 0.07 0.0 999.00 -999.00 0.00 0.00 1.86 999999999.0 0 0 caleb_strategy_v3 OAT False False 0.04 0.13 0.09 0.0 0.45 -0.45 0.13 0.13 2.12 10.0 3 3 caleb_strategy_v3 FEEDCOW False False 0.04 0.13 0.09 0.0 0.34 -0.34 0.13 0.17 2.16 8.0 3 4 caleb_strategy_v3 LEANHOG False False 0.01 0.09 0.10 0.0 0.15 -0.15 0.09 0.09 8.52 13.0 8 8 caleb_strategy_v3 BTP False False 0.04 0.00 0.11 0.0 0.43 -0.43 0.00 0.04 2.46 10.0 0 1 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 1.29 0.0 0.87 -0.87 0.00 0.00 14.80 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 14.6 Shocked risk 36.5 Sum abs risk 46.3 Leverage 5.58 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2968777.1, 'annual_cash_vol_target': 742194.275, 'daily_cash_vol_target': 46387.1421875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6472 0.6440 10.3036 BITCOIN 2364.8660 96765.0000 2.4439 39.1028 BOBL 0.2321 119.4500 0.1943 3.1092 BTP 0.4975 122.5200 0.4060 6.4968 BUND 0.4558 137.1200 0.3324 5.3187 BUXL 1.1377 141.4400 0.8044 12.8704 CAC 60.0361 7255.5000 0.8275 13.2393 CAD 0.0027 0.7124 0.3804 6.0872 CANOLA 9.6888 593.5000 1.6325 26.1199 CHF 0.0057 1.1294 0.5037 8.0586 COCOA 171.9447 9439.0000 1.8216 29.1463 COFFEE 6.5424 295.2000 2.2162 35.4600 COPPER 0.0566 4.1410 1.3673 21.8763 CORN 3.6892 431.5000 0.8550 13.6795 COTTON2 0.8841 71.4900 1.2367 19.7872 CRUDE_W 1.0411 66.0600 1.5760 25.2157 DAX 155.1910 19975.0000 0.7769 12.4308 DOW 301.3364 44954.0000 0.6703 10.7251 DX 0.4349 106.0650 0.4100 6.5604 EUR 0.0057 1.0497 0.5436 8.6970 EURIBOR-ICE 0.0443 98.1950 0.0451 0.7216 EUROSTX 43.5472 4865.0000 0.8951 14.3218 FEEDCOW 1.6720 255.6500 0.6540 10.4642 GASOIL 10.5332 658.5000 1.5996 25.5933 GASOLINE 0.0358 1.9410 1.8457 29.5315 GAS_US_mini 0.1255 3.0650 4.0934 65.4950 GBP 0.0068 1.2651 0.5388 8.6204 GOLD_micro 26.0874 2660.8000 0.9804 15.6870 HEATOIL 0.0379 2.1696 1.7473 27.9569 JGB-SGX-mini 0.2141 142.7800 0.1500 2.3993 JPY 0.0000 0.0067 0.7414 11.8619 LEANHOG 1.0739 88.0000 1.2203 19.5248 LIVECOW 0.9718 188.0500 0.5168 8.2683 LUMBER-new 7.8607 624.5000 1.2587 20.1396 MILK 0.2544 18.5300 1.3729 21.9668 MXP 0.0004 0.0489 0.8447 13.5155 NASDAQ_micro 169.0768 21219.7500 0.7968 12.7486 NIKKEI 397.2839 38645.0000 1.0280 16.4486 NZD 0.0039 0.5885 0.6673 10.6769 OAT 0.4408 126.0700 0.3496 5.5939 OATIES 6.8861 367.2500 1.8750 30.0008 OJ 7.0212 486.8000 1.4423 23.0772 PALLAD 26.7654 994.5000 2.6913 43.0614 PLAT 14.8337 950.1000 1.5613 24.9804 REDWHEAT 8.4629 541.0000 1.5643 25.0289 RICE 0.1465 15.3950 0.9516 15.2261 ROBUSTA 135.3916 4795.0000 2.8236 45.1776 RUSSELL 26.7673 2443.8000 1.0953 17.5250 SHATZ 0.0814 107.4650 0.0758 1.2126 SILVER-mini 0.4938 30.8875 1.5987 25.5792 SMI 89.4847 11853.0000 0.7550 12.0793 SOFR 0.0591 96.3900 0.0613 0.9805 SOYBEAN 8.9185 1004.0000 0.8883 14.2127 SOYMEAL 3.6834 294.0000 1.2529 20.0456 SOYOIL 0.8582 41.6500 2.0605 32.9682 SP400 29.4725 3370.9000 0.8743 13.9892 SP500_micro 35.9321 6063.5000 0.5926 9.4816 SUGAR11 0.2815 19.8200 1.4204 22.7261 US10 0.3909 111.1250 0.3518 5.6286 US10U 0.5654 114.7969 0.4926 7.8810 US2 0.0926 103.0000 0.0899 1.4392 US20 0.8195 119.6875 0.6847 10.9557 US30 1.3177 127.5312 1.0332 16.5313 US5 0.2407 107.5156 0.2239 3.5820 VIX 0.5092 16.5000 3.0860 49.3753 WHEAT 7.4488 590.5000 1.2614 20.1830 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 647.15 0.64 416.75 1.00 416.75 46387.14 111.31 -4.98 -55.43 BITCOIN 96.76 2.44 236.49 1.00 236.49 46387.14 196.15 7.17 140.70 BOBL 1194.50 0.19 232.12 1.06 245.60 46387.14 188.87 5.86 110.69 BTP 1225.20 0.41 497.49 1.06 526.37 46387.14 88.13 8.19 72.21 BUND 1371.20 0.33 455.81 1.06 482.27 46387.14 96.18 0.22 2.12 BUXL 1414.40 0.80 1137.75 1.06 1203.79 46387.14 38.53 4.05 15.60 CAC 725.55 0.83 600.36 1.06 635.21 46387.14 73.03 -10.83 -79.06 CAD 712.35 0.38 271.01 1.00 271.01 46387.14 171.16 -12.95 -221.70 CANOLA 118.70 1.63 193.78 0.71 138.52 46387.14 334.87 -13.16 -440.70 CHF 1411.75 0.50 711.05 1.00 711.05 46387.14 65.24 -13.24 -86.36 COCOA 943.90 1.82 1719.45 1.00 1719.45 46387.14 26.98 16.36 44.13 COFFEE 1107.00 2.22 2453.39 1.00 2453.39 46387.14 18.91 6.49 12.27 COPPER 1035.25 1.37 1415.46 1.00 1415.46 46387.14 32.77 -4.75 -15.58 CORN 215.75 0.85 184.46 1.00 184.46 46387.14 251.48 -18.89 -474.93 COTTON2 357.45 1.24 442.06 1.00 442.06 46387.14 104.93 -17.87 -187.53 CRUDE_W 660.60 1.58 1041.09 1.00 1041.09 46387.14 44.56 -2.32 -10.33 DAX 199.75 0.78 155.19 1.06 164.20 46387.14 282.50 9.52 269.07 DOW 224.77 0.67 150.67 1.00 150.67 46387.14 307.88 5.84 179.81 DX 1060.65 0.41 434.89 1.00 434.89 46387.14 106.66 6.74 71.84 EUR 1312.12 0.54 713.22 1.00 713.22 46387.14 65.04 -8.79 -57.15 EURIBOR-ICE 2454.87 0.05 110.72 1.06 117.15 46387.14 395.97 10.96 433.93 EUROSTX 486.50 0.90 435.47 1.06 460.75 46387.14 100.68 -5.85 -58.90 FEEDCOW 1278.25 0.65 835.99 1.00 835.99 46387.14 55.49 11.76 65.25 GASOIL 658.50 1.60 1053.32 1.00 1053.32 46387.14 44.04 -4.12 -18.16 GASOLINE 815.22 1.85 1504.66 1.00 1504.66 46387.14 30.83 -2.87 -8.84 GAS_US_mini 76.62 4.09 313.66 1.00 313.66 46387.14 147.89 -3.58 -52.88 GBP 790.69 0.54 426.00 1.00 426.00 46387.14 108.89 -5.27 -57.38 GOLD_micro 266.08 0.98 260.87 1.00 260.87 46387.14 177.81 -2.14 -38.12 HEATOIL 911.23 1.75 1592.20 1.00 1592.20 46387.14 29.13 -10.50 -30.60 JGB-SGX-mini 142780.00 0.15 21410.43 0.01 141.20 46387.14 328.51 -8.09 -265.63 JPY 837.38 0.74 620.80 1.00 620.80 46387.14 74.72 -3.16 -23.58 LEANHOG 352.00 1.22 429.55 1.00 429.55 46387.14 107.99 12.99 140.25 LIVECOW 752.20 0.52 388.72 1.00 388.72 46387.14 119.33 6.68 79.66 LUMBER-new 171.74 1.26 216.17 1.00 216.17 46387.14 214.59 4.45 95.46 MILK 370.60 1.37 508.81 1.00 508.81 46387.14 91.17 -6.57 -59.85 MXP 244.60 0.84 206.62 1.00 206.62 46387.14 224.51 -1.47 -32.99 NASDAQ_micro 424.40 0.80 338.15 1.00 338.15 46387.14 137.18 0.63 8.64 NIKKEI 38645.00 1.03 39728.39 0.01 264.96 46387.14 175.07 3.17 55.45 NZD 588.50 0.67 392.71 1.00 392.71 46387.14 118.12 -5.01 -59.20 OAT 1260.70 0.35 440.77 1.06 466.35 46387.14 99.47 6.25 62.17 OATIES 183.62 1.88 344.31 1.00 344.31 46387.14 134.73 -5.41 -72.87 OJ 730.20 1.44 1053.18 1.00 1053.18 46387.14 44.04 17.45 76.87 PALLAD 994.50 2.69 2676.54 1.00 2676.54 46387.14 17.33 -2.10 -3.63 PLAT 475.05 1.56 741.68 1.00 741.68 46387.14 62.54 -4.21 -26.32 REDWHEAT 270.50 1.56 423.14 1.00 423.14 46387.14 109.62 -20.00 -219.25 RICE 307.90 0.95 293.01 1.00 293.01 46387.14 158.31 -5.11 -80.94 ROBUSTA 479.50 2.82 1353.92 1.00 1353.92 46387.14 34.26 6.35 21.76 RUSSELL 122.19 1.10 133.84 1.00 133.84 46387.14 346.60 6.46 223.80 SHATZ 1074.65 0.08 81.44 1.06 86.17 46387.14 538.32 0.04 2.10 SILVER-mini 772.19 1.60 1234.50 1.00 1234.50 46387.14 37.58 -2.09 -7.85 SMI 1185.30 0.75 894.85 1.14 1016.23 46387.14 45.65 -3.60 -16.42 SOFR 2409.75 0.06 147.67 1.00 147.67 46387.14 314.12 -4.66 -146.43 SOYBEAN 502.00 0.89 445.92 1.00 445.92 46387.14 104.02 -18.36 -190.94 SOYMEAL 294.00 1.25 368.34 1.00 368.34 46387.14 125.94 -20.00 -251.87 SOYOIL 249.90 2.06 514.92 1.00 514.92 46387.14 90.09 -6.19 -55.75 SP400 3370.90 0.87 2947.25 1.00 2947.25 46387.14 15.74 5.73 9.01 SP500_micro 303.18 0.59 179.66 1.00 179.66 46387.14 258.19 4.86 125.47 SUGAR11 221.98 1.42 315.30 1.00 315.30 46387.14 147.12 -1.93 -28.38 US10 1111.25 0.35 390.92 1.00 390.92 46387.14 118.66 -5.45 -64.67 US10U 1147.97 0.49 565.45 1.00 565.45 46387.14 82.04 -4.04 -33.13 US2 2060.00 0.09 185.29 1.00 185.29 46387.14 250.35 -9.76 -244.27 US20 1196.88 0.68 819.54 1.00 819.54 46387.14 56.60 -2.01 -11.36 US30 1275.31 1.03 1317.66 1.00 1317.66 46387.14 35.20 -1.97 -6.95 US5 1075.16 0.22 240.70 1.00 240.70 46387.14 192.72 -6.33 -121.98 VIX 165.00 3.09 509.18 1.00 509.18 46387.14 91.10 -17.30 -157.60 WHEAT 295.25 1.26 372.44 1.00 372.44 46387.14 124.55 -20.00 -249.10 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -55.430 0.010 2.5 -1.438 BITCOIN 140.704 0.043 2.5 15.236 BOBL 110.690 0.004 2.5 1.122 BTP 72.214 0.014 2.5 2.463 BUND 2.123 0.004 2.5 0.022 BUXL 15.603 0.004 2.5 0.158 CAC -79.062 0.014 2.5 -2.697 CAD -221.702 0.010 2.5 -5.752 CANOLA -440.696 0.010 2.5 -10.721 CHF -86.365 0.010 2.5 -2.241 COCOA 44.134 0.009 2.5 0.945 COFFEE 12.269 0.005 2.5 0.143 COPPER -15.578 0.043 2.5 -1.687 CORN -474.926 0.010 2.5 -11.554 COTTON2 -187.534 0.009 2.5 -4.016 CRUDE_W -10.325 0.043 2.5 -1.118 DAX 269.071 0.014 2.5 9.178 DOW 179.807 0.009 2.5 4.179 DX 71.840 0.010 2.5 1.864 EUR -57.149 0.010 2.5 -1.483 EURIBOR-ICE 433.928 0.014 2.5 14.800 EUROSTX -58.896 0.014 2.5 -2.009 FEEDCOW 65.250 0.013 2.5 2.162 GASOIL -18.155 0.017 2.5 -0.787 GASOLINE -8.838 0.017 2.5 -0.383 GAS_US_mini -52.876 0.043 2.5 -5.726 GBP -57.375 0.010 2.5 -1.489 GOLD_micro -38.122 0.014 2.5 -1.300 HEATOIL -30.600 0.017 2.5 -1.326 JGB-SGX-mini -265.633 0.043 2.5 -28.764 JPY -23.579 0.010 2.5 -0.612 LEANHOG 140.248 0.024 2.5 8.523 LIVECOW 79.657 0.013 2.5 2.640 LUMBER-new 95.462 0.009 2.5 2.044 MILK -59.855 0.009 2.5 -1.282 MXP -32.992 0.059 2.5 -4.842 NASDAQ_micro 8.636 0.009 2.5 0.201 NIKKEI 55.453 0.043 2.5 6.005 NZD -59.204 0.010 2.5 -1.536 OAT 62.166 0.014 2.5 2.120 OATIES -72.873 0.010 2.5 -1.773 OJ 76.867 0.009 2.5 1.646 PALLAD -3.631 0.014 2.5 -0.124 PLAT -26.323 0.014 2.5 -0.898 REDWHEAT -219.249 0.005 2.5 -2.908 RICE -80.941 0.010 2.5 -1.969 ROBUSTA 21.756 0.005 2.5 0.254 RUSSELL 223.804 0.013 2.5 7.416 SHATZ 2.105 0.004 2.5 0.021 SILVER-mini -7.855 0.014 2.5 -0.268 SMI -16.418 0.014 2.5 -0.560 SOFR -146.435 0.024 2.5 -8.899 SOYBEAN -190.945 0.004 2.5 -1.776 SOYMEAL -251.872 0.004 2.5 -2.343 SOYOIL -55.749 0.004 2.5 -0.519 SP400 9.015 0.013 2.5 0.299 SP500_micro 125.466 0.009 2.5 2.916 SUGAR11 -28.377 0.009 2.5 -0.603 US10 -64.672 0.005 2.5 -0.820 US10U -33.135 0.005 2.5 -0.420 US2 -244.269 0.005 2.5 -3.095 US20 -11.360 0.005 2.5 -0.144 US30 -6.950 0.005 2.5 -0.088 US5 -121.979 0.005 2.5 -1.546 VIX -157.600 0.099 2.5 -38.902 WHEAT -249.099 0.005 2.5 -3.304 ===================== Position diags ===================== AUD 2.89 BITCOIN 21.24 BOBL 1.92 BTP 3.01 BUND 0.98 BUXL 0.39 CAC 2.49 CAD 4.44 CANOLA 8.15 CHF 1.69 COCOA 0.58 COFFEE 0.22 COPPER 3.55 CORN 6.12 COTTON2 2.25 CRUDE_W 4.82 DAX 9.64 DOW 7.16 DX 2.77 EUR 1.69 EURIBOR-ICE 13.51 EUROSTX 3.43 FEEDCOW 1.84 GASOIL 1.91 GASOLINE 1.34 GAS_US_mini 16.01 GBP 2.83 GOLD_micro 6.06 HEATOIL 1.26 JGB-SGX-mini 35.57 JPY 1.94 LEANHOG 6.56 LIVECOW 3.95 LUMBER-new 4.60 MILK 1.95 MXP 32.95 NASDAQ_micro 3.19 NIKKEI 18.96 NZD 3.06 OAT 3.39 OATIES 3.28 OJ 0.94 PALLAD 0.59 PLAT 2.13 REDWHEAT 1.45 RICE 3.85 ROBUSTA 0.40 RUSSELL 11.49 SHATZ 5.46 SILVER-mini 1.28 SMI 1.56 SOFR 19.09 SOYBEAN 0.97 SOYMEAL 1.17 SOYOIL 0.84 SP400 0.52 SP500_micro 6.00 SUGAR11 3.13 US10 1.50 US10U 1.04 US2 3.17 US20 0.72 US30 0.45 US5 2.44 VIX 22.49 WHEAT 1.65 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.4 -1.7 -1.1 -1.0 -1 BITCOIN 15.2 13.1 17.4 0.0 0 BOBL 1.1 0.9 1.3 0.0 0 BTP 2.5 2.2 2.8 0.0 0 BUND 0.0 -0.1 0.1 -1.0 -1 BUXL 0.2 0.1 0.2 0.0 0 CAC -2.7 -2.9 -2.4 0.0 0 CAD -5.8 -6.2 -5.3 -2.0 -2 CANOLA -10.7 -11.5 -9.9 -7.0 -7 CHF -2.2 -2.4 -2.1 -8.0 -8 COCOA 0.9 0.9 1.0 2.0 2 COFFEE 0.1 0.1 0.2 0.0 0 COPPER -1.7 -2.0 -1.3 -2.0 -2 CORN -11.6 -12.2 -10.9 -7.0 -7 COTTON2 -4.0 -4.2 -3.8 -5.0 -5 CRUDE_W -1.1 -1.6 -0.6 -2.0 -2 DAX 9.2 8.2 10.1 0.0 0 DOW 4.2 3.5 4.9 1.0 1 DX 1.9 1.6 2.1 0.0 0 EUR -1.5 -1.7 -1.3 -3.0 -3 EURIBOR-ICE 14.8 13.4 16.2 0.0 0 EUROSTX -2.0 -2.4 -1.7 -3.0 -3 FEEDCOW 2.2 2.0 2.3 3.0 3 GASOIL -0.8 -1.0 -0.6 -1.0 -1 GASOLINE -0.4 -0.5 -0.2 -1.0 -1 GAS_US_mini -5.7 -7.3 -4.1 -8.0 -8 GBP -1.5 -1.8 -1.2 0.0 0 GOLD_micro -1.3 -1.9 -0.7 -2.0 -2 HEATOIL -1.3 -1.5 -1.2 -1.0 -1 JGB-SGX-mini -28.8 -32.3 -25.2 0.0 0 JPY -0.6 -0.8 -0.4 -2.0 -2 LEANHOG 8.5 7.9 9.2 8.0 8 LIVECOW 2.6 2.2 3.0 1.0 1 LUMBER-new 2.0 1.6 2.5 0.0 0 MILK -1.3 -1.5 -1.1 0.0 0 MXP -4.8 -8.1 -1.5 -2.0 -2 NASDAQ_micro 0.2 -0.1 0.5 2.0 2 NIKKEI 6.0 4.1 7.9 4.0 4 NZD -1.5 -1.8 -1.2 0.0 0 OAT 2.1 1.8 2.5 3.0 3 OATIES -1.8 -2.1 -1.4 NaN 0 OJ 1.6 1.6 1.7 1.0 1 PALLAD -0.1 -0.2 -0.1 0.0 0 PLAT -0.9 -1.1 -0.7 0.0 0 REDWHEAT -2.9 -3.1 -2.8 -3.0 -3 RICE -2.0 -2.4 -1.6 NaN 0 ROBUSTA 0.3 0.2 0.3 0.0 0 RUSSELL 7.4 6.3 8.6 0.0 0 SHATZ 0.0 -0.5 0.6 NaN 0 SILVER-mini -0.3 -0.4 -0.1 0.0 0 SMI -0.6 -0.7 -0.4 0.0 0 SOFR -8.9 -10.8 -7.0 NaN 0 SOYBEAN -1.8 -1.9 -1.7 -3.0 -3 SOYMEAL -2.3 -2.5 -2.2 -2.0 -2 SOYOIL -0.5 -0.6 -0.4 0.0 0 SP400 0.3 0.2 0.4 2.0 2 SP500_micro 2.9 2.3 3.5 1.0 1 SUGAR11 -0.6 -0.9 -0.3 0.0 0 US10 -0.8 -1.0 -0.7 0.0 0 US10U -0.4 -0.5 -0.3 -1.0 -1 US2 -3.1 -3.4 -2.8 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 -1.8 -1.3 -3.0 -3 VIX -38.9 -41.2 -36.7 -29.0 -29 WHEAT -3.3 -3.5 -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 -0.1 -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 -0.1 -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 0.0 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 0.0 0.1 0.1 -0.2 0.5 0.6 0.6 0.6 0.0 -0.1 -0.1 0.0 BOBL 0.6 -0.3 0.2 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 0.1 0.1 -0.1 0.1 -0.0 0.1 -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 0.0 0.2 0.5 0.3 0.2 -0.3 -0.5 0.2 0.0 BTP 0.5 -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 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.3 0.2 -2.7 0.1 0.1 0.1 0.1 0.2 0.1 0.6 0.1 0.6 0.6 0.6 -0.3 -0.4 0.4 0.3 BUND 0.6 -0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 0.1 0.1 0.0 0.1 -0.0 -0.3 -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 -0.8 0.4 0.6 0.4 0.2 -0.7 -0.7 0.0 -0.0 BUXL 0.6 0.0 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 0.4 0.6 0.6 0.3 -0.7 -0.7 -0.3 -0.3 CAC -0.3 -0.4 -0.3 0.0 0.1 0.1 0.1 0.3 0.0 0.1 -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 -0.3 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -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 -0.2 -0.0 -0.1 -0.1 -0.3 -0.2 0.1 -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 -0.0 -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 0.1 -0.3 -0.4 -0.1 -0.2 CHF -0.4 -0.6 -0.2 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -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 -0.1 -0.4 -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 0.2 0.1 0.3 0.1 0.1 0.1 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.5 0.6 0.6 0.6 0.7 0.7 0.7 0.7 COFFEE 0.6 0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.0 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 0.0 0.1 0.1 0.2 0.1 0.3 0.5 0.6 0.6 0.6 -0.3 -0.2 -0.1 0.0 COPPER -0.6 -0.5 -0.2 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 -1.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.2 0.0 -0.1 -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 0.1 -0.5 0.0 -0.7 -0.1 -0.1 -0.3 -0.2 -0.3 -0.2 -0.1 -0.1 0.0 -0.5 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.9 0.5 -0.1 -0.5 0.0 -0.6 -0.6 -0.5 -0.4 CRUDE_W -0.1 -0.0 -0.3 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.3 -0.1 -0.2 -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 -0.1 -0.1 -0.1 -0.0 0.4 0.2 -0.0 -0.1 0.1 -0.1 0.2 -0.0 0.4 DAX -0.1 -0.2 0.1 0.0 0.1 0.1 0.1 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 0.2 0.3 0.1 1.0 0.0 0.2 0.1 0.1 0.3 0.0 -0.3 0.3 -0.4 -0.1 0.2 0.7 0.4 0.4 0.1 DOW 0.5 0.1 0.3 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.4 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 0.2 0.6 0.6 0.6 -0.0 0.1 -0.5 -0.3 DX 0.5 0.6 0.4 -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 -0.2 0.6 0.6 0.6 -0.1 0.2 -0.1 0.2 EUR -0.5 -0.6 -0.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 1.8 -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 -0.0 -0.5 EURIBOR-ICE 0.5 -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 1.4 0.0 0.1 0.1 0.1 0.1 0.0 0.3 0.0 0.4 0.4 0.4 -0.1 -0.5 0.4 0.2 EUROSTX -0.2 -0.4 -0.3 0.0 0.1 0.1 0.1 0.2 0.0 0.1 -0.1 -0.0 0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 0.1 -0.1 -0.3 -0.0 0.1 -0.1 0.0 0.1 -0.0 0.3 -0.3 -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 0.1 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 0.0 0.0 0.1 -0.0 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 -0.1 -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 -0.1 -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 -0.2 -0.0 -0.1 -0.1 -0.1 -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 -0.1 -2.7 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 1.1 0.0 -0.0 -0.0 0.2 0.1 0.3 0.3 0.6 GAS_US_mini 0.6 0.2 0.6 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 0.0 -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 -0.1 -0.1 -0.0 -0.2 0.0 -1.1 0.2 0.4 -0.3 0.1 -0.4 -0.6 -0.3 -0.5 GBP -0.5 -0.6 -0.3 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.1 -0.1 0.2 -0.1 -0.1 0.0 -0.0 0.0 0.0 -0.2 -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 -0.1 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 0.2 -0.2 0.1 0.3 0.7 0.1 0.7 0.3 HEATOIL -0.1 0.1 -0.3 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.0 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -2.6 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.4 -0.1 -0.1 -0.0 0.0 -0.0 0.1 0.1 0.1 JGB-SGX-mini -0.6 -0.6 -0.0 -0.0 0.1 -0.0 0.0 0.0 0.0 -0.0 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 -1.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 1.1 -0.5 -0.6 -0.1 0.0 -0.7 -0.5 -0.7 -0.3 JPY 0.2 -0.6 -0.1 -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 0.4 0.3 0.1 -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 0.2 0.3 0.2 0.2 0.2 0.2 -0.4 0.2 -0.1 0.2 0.2 0.2 0.2 0.1 0.2 -0.1 0.1 0.1 0.2 0.1 0.1 0.1 1.0 0.5 0.6 0.6 0.6 0.2 -0.2 0.3 0.0 LIVECOW -0.1 -0.0 0.4 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 0.1 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 0.0 0.2 0.1 0.3 0.1 0.2 0.5 0.4 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 -0.3 -0.0 0.0 0.2 0.0 -0.2 0.1 0.2 -0.5 -0.4 -0.5 -0.4 0.2 0.1 0.1 -0.0 0.2 NaN 0.1 0.0 0.1 0.0 0.0 0.1 -1.2 -0.2 0.6 0.7 0.7 0.4 0.1 0.8 0.4 MILK -0.4 -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 0.1 -0.1 -0.0 -0.1 0.1 -0.2 1.8 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.5 -0.6 -0.6 -0.0 -0.3 -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 -0.1 0.2 0.2 -0.3 0.6 0.7 0.7 0.7 NASDAQ_micro 0.1 0.2 0.3 0.0 0.1 0.1 0.1 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 0.1 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 0.1 0.1 0.1 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 -0.4 -0.6 -0.2 -0.5 0.7 0.4 0.7 0.5 NZD -0.2 -0.6 -0.2 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -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 0.0 -0.1 -0.2 -0.1 -0.0 OAT 0.4 -0.2 0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 0.0 0.1 -0.1 0.0 -0.0 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 0.7 -0.2 0.2 0.4 0.2 -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 0.0 0.0 -0.1 -0.2 -0.1 0.1 -0.3 -0.0 -0.1 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -2.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.3 -0.6 -0.2 0.4 0.7 0.2 0.7 0.5 OJ 0.5 0.1 0.3 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.4 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 -0.5 -0.2 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 -0.1 0.1 -0.3 -0.1 -0.2 -0.3 0.3 -0.3 0.0 -0.1 REDWHEAT -0.4 -0.4 0.2 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -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 -0.4 -0.6 -0.6 -0.4 -0.7 -0.7 -0.7 -0.7 RICE 0.5 -0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.2 0.1 0.2 0.3 0.1 -0.0 -0.2 0.3 -0.1 0.1 -0.0 -0.0 0.1 0.1 0.0 -1.9 -0.0 0.0 -0.1 0.0 -0.0 0.0 1.1 0.1 0.4 -0.3 -0.4 -0.4 -0.7 -0.4 -0.7 ROBUSTA 0.6 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.2 0.1 0.3 0.1 0.1 0.1 0.4 0.3 0.4 0.1 0.1 0.1 0.3 0.1 -2.7 0.0 -0.0 0.1 0.0 0.2 0.0 1.1 0.5 0.6 0.3 0.6 0.1 0.0 0.3 0.3 RUSSELL 0.4 0.3 0.3 0.0 0.1 0.1 0.1 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 0.3 0.2 0.1 0.0 0.0 0.1 0.0 0.1 0.1 0.0 0.2 0.6 0.6 0.5 -0.2 -0.4 -0.7 -0.7 SHATZ 0.4 -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 0.0 0.0 -1.1 0.0 0.3 0.3 0.3 -0.3 -0.5 0.1 -0.2 SILVER-mini -0.6 -0.3 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 -0.3 -0.6 -0.5 0.0 0.1 0.1 0.1 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 0.1 -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 -0.0 -0.8 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.4 -0.3 -0.5 -0.4 0.0 -0.3 0.6 0.5 SOYBEAN -0.2 -0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.4 -0.2 -0.6 -0.2 -0.2 -0.0 0.0 -0.0 -0.0 -0.2 -0.2 -0.1 -0.5 -0.2 -2.7 -0.1 -0.0 -0.2 -0.1 -0.3 -0.1 -0.2 -0.3 -0.4 -0.6 -0.6 0.1 -0.2 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 -0.1 -0.6 -0.2 -0.2 -0.2 0.0 -0.1 -0.1 -0.2 -0.2 -0.1 -0.5 -0.1 -2.7 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.3 0.1 -0.2 -0.6 -0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.6 0.3 0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -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 -0.3 -0.0 0.1 0.1 -0.2 0.4 -0.0 SP400 0.4 0.2 0.3 0.0 0.1 0.1 0.1 0.2 0.0 0.1 0.3 0.1 0.5 0.1 0.1 -0.2 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.3 0.2 -1.4 0.1 0.0 0.1 0.1 0.2 0.1 -0.0 0.3 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 0.2 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 0.4 0.1 -0.5 -0.0 0.4 0.5 0.6 0.2 0.1 -0.4 -0.3 SUGAR11 -0.4 -0.2 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 -0.1 -2.7 0.0 0.0 0.1 0.0 0.0 0.0 1.1 -0.0 -0.1 -0.2 0.6 -0.7 0.1 -0.7 0.2 US10 0.2 -0.6 -0.3 -0.0 0.0 -0.0 0.0 0.0 0.0 0.1 -0.1 0.1 0.0 -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 -0.2 -0.4 -0.3 -0.1 -0.6 0.3 0.3 US10U 0.2 -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 -0.3 -0.2 -0.4 -0.4 -0.1 -0.4 0.7 0.5 US2 -0.1 -0.6 -0.3 -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 2.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.5 -0.6 -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 -0.0 -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 0.2 -0.5 -0.2 -0.0 0.0 -0.0 0.0 0.0 0.0 0.1 -0.1 0.1 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -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 0.1 -0.6 -0.3 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.1 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 0.9 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.7 -0.3 -0.3 -0.5 -0.4 -0.1 -0.5 0.4 0.2 VIX -0.6 -0.5 -0.1 -0.1 -0.0 -0.1 -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 -0.2 -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 -0.5 -0.4 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 -0.4 -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 -8.6 -19.0 -5.5 -4.0 0.6 -2.4 -0.6 -0.7 -3.3 -7.4 -7.6 -10.8 -2.1 -13.5 -13.0 -0.4 -1.6 -0.5 -0.9 -12.1 -6.9 -5.9 -2.5 -11.1 3.3 -4.5 -1.9 -2.5 -2.2 -0.7 -4.1 -0.0 -5.3 5.5 -1.5 2.6 -1.7 -5.7 -1.2 -3.6 BITCOIN 20.0 20.0 8.6 -1.6 -1.9 0.3 -4.2 -0.1 -4.6 2.4 15.3 18.0 15.6 20.0 20.0 -8.6 -7.1 -7.4 -7.0 20.0 20.0 20.0 17.8 20.0 -20.0 7.5 1.3 4.9 4.4 3.9 7.7 -3.0 20.0 20.0 20.0 20.0 1.2 -2.5 -2.8 0.9 BOBL 17.2 -7.8 5.1 -1.2 6.3 -0.5 4.8 0.3 1.1 11.0 3.6 11.5 -1.6 4.7 -0.7 4.9 -3.2 8.6 2.7 3.0 1.8 20.0 0.5 10.6 3.9 1.5 10.4 1.1 8.4 1.0 4.4 0.8 9.2 15.2 10.3 6.9 -9.2 -14.2 5.9 0.4 BTP 14.2 -6.1 3.6 -1.9 10.0 -0.9 7.7 0.4 1.8 17.6 12.8 18.6 17.0 10.2 8.0 7.2 5.4 6.8 5.8 10.5 10.8 20.0 12.7 18.7 -20.0 4.8 15.5 4.9 13.4 5.6 8.1 11.7 4.0 20.0 20.0 20.0 -7.9 -12.6 11.2 10.2 BUND 18.5 -8.0 1.4 -1.5 7.6 -0.7 5.8 0.3 1.4 13.3 3.2 13.9 0.9 5.2 -2.0 -17.0 -8.4 -17.6 -13.5 2.9 1.1 20.0 0.6 13.5 0.9 1.6 13.1 0.9 10.7 1.1 5.6 -15.9 15.4 18.4 13.2 6.0 -20.0 -19.7 1.5 -1.1 BUXL 20.0 0.2 2.2 -1.7 8.7 -0.8 6.7 0.4 1.5 15.2 4.4 16.8 0.9 10.3 3.9 0.4 -1.2 0.1 -0.6 7.9 2.4 20.0 -0.7 20.0 -2.8 3.3 14.0 1.4 12.4 1.0 7.8 0.7 16.2 20.0 20.0 8.2 -20.0 -20.0 -8.7 -8.1 CAC -10.0 -12.0 -9.3 4.1 9.7 5.3 6.7 7.7 4.6 8.5 -14.8 -10.9 -4.7 -15.9 -14.6 -5.2 -3.6 -5.4 -4.7 -16.6 -13.7 -7.7 -7.1 -15.6 -6.2 -6.2 1.3 -4.7 -2.9 -1.8 -5.9 4.1 -20.0 -20.0 -20.0 -20.0 4.2 6.7 -4.8 -2.8 CAD -4.6 -17.9 -7.9 -5.7 0.9 -3.4 -0.8 -1.0 -4.7 -11.5 -17.6 -12.9 -18.3 -18.8 -20.0 -6.1 -4.5 -5.8 -5.2 -20.0 -18.1 -10.4 -12.9 -18.2 0.7 -7.3 -2.6 -5.6 -3.4 -3.7 -6.0 -6.1 -6.6 3.9 -11.4 -7.2 -5.1 -7.4 -8.6 -7.0 CANOLA -20.0 2.6 6.7 -0.6 -1.5 -1.5 -0.4 -2.5 -0.4 -4.5 -1.5 -6.4 -5.3 -5.5 -1.1 -14.6 -12.5 -14.9 -14.3 -4.4 -2.3 -11.7 -3.9 -9.8 -11.4 -0.5 -1.6 0.1 -3.2 -1.0 -2.4 -20.0 -20.0 -14.5 -0.2 4.5 -8.8 -11.8 -1.7 -6.1 CHF -11.7 -20.0 -6.8 -3.2 0.5 -1.9 -0.4 -0.5 -2.6 3.3 -4.2 -6.0 -4.7 -9.3 -9.6 -14.8 -16.0 -15.2 -15.4 -13.0 -6.9 -4.7 -2.5 -11.8 3.7 -3.7 -0.7 -1.8 -1.4 -0.4 -3.5 -20.0 -5.1 -11.5 -7.7 -5.6 -10.2 -10.2 -17.2 -13.5 COCOA 20.0 20.0 7.6 -0.8 -2.1 -2.1 -0.5 -3.5 -0.5 9.5 6.0 10.5 7.1 10.7 10.3 4.4 20.0 20.0 20.0 20.0 17.5 20.0 17.3 20.0 -20.0 3.7 1.7 3.0 3.7 4.0 4.4 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 COFFEE 20.0 2.3 -2.7 -1.5 -4.2 -4.2 -1.0 -6.8 -1.0 -0.3 17.8 14.1 18.6 16.4 16.2 2.8 4.7 2.6 3.4 20.0 19.3 20.0 17.3 20.0 -20.0 6.4 1.1 4.5 8.2 4.4 9.2 5.8 20.0 20.0 20.0 20.0 -10.4 -7.4 -2.2 1.2 COPPER -18.2 -14.1 -4.6 -0.7 -0.8 0.1 -1.9 -0.1 -2.0 -6.5 -5.9 -8.6 -1.4 -9.1 -5.8 -5.5 -3.6 -4.6 -3.8 -6.8 -3.1 -5.2 0.5 -8.3 -11.8 -1.8 -0.5 -0.1 -1.8 1.2 -2.7 2.9 1.0 -1.7 -10.7 -1.3 11.6 12.1 8.0 20.0 CORN -7.4 -1.2 -4.3 -1.8 -4.9 -4.9 -1.2 -7.9 -1.1 -13.4 -19.8 -19.8 -20.0 -20.0 -9.4 -7.3 -13.5 -10.4 -13.0 -15.2 -20.0 -18.4 -20.0 -17.4 -11.2 -8.0 -11.2 -9.5 -13.5 -13.0 -10.3 -20.0 -20.0 -19.0 -20.0 -13.7 11.5 -1.8 17.6 2.7 COTTON2 -5.6 -3.8 5.8 -1.5 -4.1 -4.1 -1.0 -6.7 -0.9 14.1 -16.8 3.2 -18.1 -6.7 -7.0 -14.2 -7.6 -14.0 -11.5 -7.8 -11.4 3.7 -17.3 -4.4 -20.0 -4.5 1.7 -4.3 0.7 -4.0 -3.5 -17.5 20.0 -4.6 -15.1 0.4 -18.0 -16.6 -14.3 -12.1 CRUDE_W -2.7 -1.0 -9.9 -2.0 -8.0 -3.5 -5.4 -3.1 -2.4 -17.5 -9.8 -7.9 -5.8 -11.0 -6.6 3.9 9.8 5.5 7.8 -6.4 -8.5 -6.3 -5.5 -5.0 -1.4 -3.3 -7.5 -4.6 -5.5 -3.3 -3.4 7.9 6.3 -1.1 -4.4 2.8 -1.8 6.9 -0.9 11.8 DAX -1.6 -5.5 1.7 4.0 9.2 5.1 6.4 7.3 4.4 16.0 12.7 12.5 15.6 3.0 12.6 -8.0 -9.7 -8.3 -8.8 6.7 8.8 19.2 11.8 8.8 7.5 3.2 18.4 4.6 10.6 7.3 4.6 -4.8 11.0 -10.9 -1.6 5.3 20.0 12.1 12.2 3.3 DOW 16.1 1.6 9.4 3.1 7.3 4.0 5.1 5.8 3.5 11.8 13.0 13.4 13.9 12.6 13.3 -10.0 -10.6 -10.0 -10.1 18.3 16.6 20.0 15.4 20.0 -12.1 5.0 2.5 5.0 4.7 5.1 5.1 -6.7 7.0 20.0 18.2 20.0 -0.2 2.2 -13.7 -8.6 DX 14.9 20.0 11.1 -3.6 0.6 -2.1 -0.5 -0.6 -2.9 -5.7 9.0 9.7 7.9 12.3 13.1 5.7 6.6 6.0 6.2 19.0 11.7 5.1 5.2 16.2 -20.0 4.4 -0.3 2.6 1.0 1.1 3.6 13.2 -6.9 20.0 20.0 18.3 -2.9 4.6 -2.7 6.7 EUR -15.8 -20.0 -11.4 -3.1 0.5 -1.8 -0.4 -0.5 -2.5 0.6 -7.9 -7.7 -5.8 -9.5 -10.7 -6.0 -7.0 -6.5 -6.7 -14.6 -9.1 -7.0 -4.1 -13.7 13.8 -4.0 -0.9 -2.3 -1.8 -0.8 -3.6 -9.5 -9.7 -15.6 -10.6 -8.3 0.4 -12.0 -1.2 -14.6 EURIBOR-ICE 14.4 -4.1 9.0 -1.0 5.0 -0.4 3.9 0.2 0.9 8.7 7.3 9.4 6.7 6.6 5.3 5.8 0.3 4.9 2.9 6.8 7.2 15.3 6.7 9.7 10.9 2.7 8.4 2.9 6.3 2.8 3.9 4.9 1.6 13.1 13.9 13.8 -4.3 -14.7 11.3 6.7 EUROSTX -6.1 -10.9 -8.8 3.7 8.7 4.8 6.1 6.9 4.2 13.0 -2.7 -0.9 9.0 -11.6 -5.8 -3.8 -3.4 -3.9 -4.0 -7.9 -4.2 2.7 3.0 -6.2 -2.6 -4.1 7.5 -2.0 1.5 2.5 -3.1 4.8 -12.9 -20.0 -20.0 -13.9 4.4 3.8 -14.1 -9.5 FEEDCOW 20.0 20.0 9.6 -1.8 -4.9 -4.9 -1.2 -8.0 -1.1 10.3 3.7 20.0 -10.6 20.0 18.2 9.8 -3.8 13.1 8.3 20.0 7.9 20.0 -6.7 20.0 -13.2 6.4 4.6 1.4 10.8 -1.2 10.5 2.6 20.0 20.0 20.0 16.7 17.0 19.1 20.0 20.0 GASOIL 1.7 2.9 -10.4 -1.8 -7.4 -3.2 -5.0 -2.8 -2.2 -15.6 -12.0 -8.2 -8.1 -2.6 -5.4 2.9 6.5 2.1 2.7 -4.1 -9.3 -7.5 -8.0 -2.3 4.2 -2.3 -7.0 -5.1 -4.1 -4.7 -1.3 0.1 0.6 3.0 0.1 -7.2 0.6 -7.3 2.7 -11.6 GASOLINE -3.8 -0.9 -7.6 -1.7 -6.9 -3.0 -4.6 -2.6 -2.1 -15.3 -8.5 -12.7 -3.1 -10.9 -3.3 -5.1 20.0 4.8 14.7 -4.1 -5.0 -8.4 -2.5 -5.0 -20.0 -0.8 -6.0 -1.1 -4.6 -0.2 -2.1 20.0 1.5 -1.0 -1.5 5.7 3.3 9.3 7.7 16.7 GAS_US_mini 17.1 5.9 17.5 -1.5 -6.0 -2.6 -4.0 -2.3 -1.8 -9.2 -11.1 3.2 -14.0 1.1 -2.5 -20.0 -20.0 -20.0 -20.0 -0.8 -4.8 1.2 -10.0 2.9 20.0 -1.1 -8.5 -3.0 -1.9 -4.7 0.9 -20.0 8.7 13.1 -9.3 2.0 -12.0 -17.5 -9.4 -14.8 GBP -15.7 -20.0 -7.9 -4.5 0.7 -2.7 -0.6 -0.8 -3.7 7.1 -2.1 -9.1 5.6 -12.8 -13.4 0.5 -0.2 0.4 0.2 -15.1 -5.4 -4.7 2.8 -15.3 -1.2 -4.7 1.0 -1.3 -1.4 1.6 -4.9 2.1 -2.8 -7.9 -4.1 3.8 5.2 -14.1 17.0 -13.6 GOLD_micro -20.0 -20.0 -2.4 -0.7 -0.8 0.1 -1.8 -0.1 -2.0 -5.5 5.8 -2.3 8.7 -3.6 2.3 -9.6 -13.0 -11.5 -12.1 1.1 6.9 -1.9 10.0 -2.6 -8.7 0.7 -0.4 2.9 -0.8 4.1 -1.0 -12.5 9.4 -5.8 2.9 10.2 20.0 2.8 20.0 8.1 HEATOIL -1.6 2.3 -7.8 -1.7 -7.0 -3.0 -4.7 -2.7 -2.1 -15.0 -11.9 -10.5 -10.5 -9.9 -6.8 1.8 2.6 -1.5 -1.8 -4.7 -8.6 -8.9 -8.5 -4.3 -19.7 -1.4 -10.2 -3.4 -6.3 -3.7 -2.1 -7.4 -3.1 -2.5 -1.1 0.7 -0.1 2.6 2.2 3.8 JGB-SGX-mini -18.8 -19.2 -0.3 -1.4 5.9 -0.6 3.8 0.2 0.4 -0.4 0.3 -8.7 1.6 -9.5 -5.9 20.0 17.1 18.1 16.8 -8.7 -3.0 -6.4 0.2 -10.7 -11.7 -2.9 -0.9 -1.2 -2.1 -0.5 -3.5 20.0 -20.0 -20.0 -4.1 1.2 -20.0 -14.5 -20.0 -10.3 JPY 6.2 -18.9 -1.6 -2.2 0.3 -1.3 -0.3 -0.4 -1.8 7.9 -3.2 6.6 -4.7 -2.0 -6.0 -10.5 -13.5 -10.9 -11.8 -5.5 -4.9 9.0 -5.1 0.2 20.0 -1.6 4.5 -1.3 3.1 -1.5 0.2 -19.7 15.4 10.4 1.7 -1.6 -12.8 -20.0 -10.0 -20.0 LEANHOG -8.7 15.4 20.0 -1.9 -5.1 -5.1 -1.3 -8.3 -1.2 16.9 10.0 16.6 4.3 20.0 20.0 -20.0 9.1 -6.9 11.7 20.0 20.0 20.0 4.9 20.0 -0.4 8.4 14.6 6.2 12.4 2.2 9.0 19.4 20.0 20.0 20.0 20.0 5.2 -5.4 10.0 0.5 LIVECOW -2.0 -0.1 12.2 -2.0 -5.4 -5.3 -1.3 -8.7 -1.2 6.3 20.0 17.9 18.0 4.9 19.5 -11.2 4.2 -5.7 0.5 14.5 19.1 11.4 19.5 10.9 -20.0 5.1 4.7 6.4 6.7 7.9 4.9 4.1 20.0 13.7 12.4 12.9 -5.8 20.0 1.3 20.0 LUMBER-new 3.2 20.0 17.0 -1.4 -3.9 -3.9 -1.0 -6.1 -0.9 2.7 5.3 2.6 -4.7 11.7 15.6 -19.9 -18.7 -19.7 -19.1 18.9 10.9 6.7 -1.5 14.2 NaN 5.9 1.0 3.6 1.2 0.1 4.3 -20.0 -7.2 16.5 20.0 20.0 11.5 3.6 19.8 10.7 MILK -12.7 -20.0 -1.4 -1.0 -2.7 -2.7 -0.7 -4.4 -0.6 -11.9 4.6 -11.7 6.2 -12.6 -8.8 -5.4 -3.1 8.2 6.9 -13.1 -1.0 -15.5 4.8 -17.8 13.6 -3.5 -2.3 -0.5 -3.5 0.8 -4.5 1.8 -20.0 -19.8 -20.0 -0.8 -8.2 -20.0 -2.8 -20.0 MXP -1.1 -3.2 -13.3 -3.3 0.5 -2.0 -0.4 -0.6 -2.7 1.0 -12.6 -5.0 -10.5 -8.9 -11.0 11.7 13.3 11.6 11.8 -9.9 -13.2 -1.6 -10.5 -5.9 -20.0 -4.6 1.1 -6.0 -0.9 -4.6 -2.9 20.0 -5.9 6.2 6.8 -10.5 18.9 20.0 20.0 20.0 NASDAQ_micro 2.4 5.7 8.0 3.2 7.4 4.1 5.2 5.9 3.6 12.6 11.2 9.9 12.2 9.0 12.2 -10.0 -9.8 -9.4 -9.3 11.8 12.7 10.2 15.5 10.0 -20.0 4.3 3.5 5.4 2.7 7.6 3.1 -5.3 -6.7 -1.5 7.1 9.5 9.0 4.0 -4.8 -6.9 NIKKEI -7.6 -0.1 3.4 3.0 7.0 3.9 4.9 5.6 3.4 4.1 5.2 -7.7 6.4 -5.6 7.6 4.1 6.6 3.2 4.4 0.4 2.7 -2.5 6.9 -2.7 -8.9 -1.3 2.1 -1.3 -1.1 2.1 -1.5 20.0 -15.3 -18.0 -6.8 -14.5 20.0 11.3 20.0 13.9 NZD -6.9 -19.7 -6.6 -3.5 0.5 -2.1 -0.5 -0.6 -2.9 4.0 -8.4 -6.5 -3.6 -11.3 -11.7 -1.2 -0.3 -0.9 -0.6 -12.0 -7.7 -1.8 -3.4 -9.5 1.5 -4.0 1.1 -2.5 -0.4 -1.0 -3.2 1.4 -1.1 2.9 -2.8 1.5 -3.2 -5.6 -3.1 -0.7 OAT 11.8 -7.1 1.2 -1.4 7.3 -0.6 5.6 0.3 1.3 12.6 0.5 12.7 -2.1 2.0 -4.0 9.0 5.6 7.8 6.2 -0.6 -1.8 15.7 -2.1 6.4 4.0 0.4 10.9 -0.1 8.9 0.2 4.0 12.2 -6.6 6.9 11.3 4.7 -3.1 -14.8 15.4 5.4 OATIES -19.1 -7.6 20.0 -0.9 -2.4 -2.3 -0.6 -3.8 -0.5 1.8 0.9 -6.6 -6.5 -6.7 4.9 -15.6 -0.0 -6.1 -1.8 0.4 2.7 -3.2 -0.4 -3.8 -20.0 -0.3 -1.5 1.0 -2.6 0.1 -2.5 -2.2 -10.7 -19.1 -7.5 12.1 20.0 5.2 20.0 14.1 OJ 14.8 3.6 7.9 -1.6 -4.3 -4.3 -1.1 -7.0 -1.0 16.9 20.0 18.9 20.0 17.8 18.6 20.0 14.2 18.5 15.3 20.0 20.0 20.0 20.0 20.0 -20.0 6.7 11.8 7.0 13.4 10.9 9.8 20.0 20.0 20.0 20.0 20.0 15.7 9.4 20.0 20.0 PALLAD -15.8 -4.7 15.3 -0.6 -0.7 0.1 -1.6 -0.1 -1.7 -5.5 0.2 -3.5 -3.1 -5.6 -1.8 -2.1 -2.1 -2.1 -2.1 -2.0 0.3 -3.5 -1.8 -4.4 13.3 -0.1 -1.4 0.7 -1.8 -0.3 -1.5 5.5 0.6 -1.8 3.0 2.1 -13.5 -20.0 -20.0 -20.0 PLAT -15.2 -5.4 0.7 -0.9 -1.1 0.2 -2.5 -0.1 -2.7 -2.6 -6.3 -8.3 -3.1 -10.4 -5.1 -4.2 -4.4 -4.3 -4.4 -5.9 -2.2 -6.8 -0.8 -9.1 5.3 -2.6 -5.8 -1.0 -6.6 -0.4 -5.2 1.5 -11.2 -3.0 -5.0 -7.8 8.0 -8.5 0.5 -2.1 REDWHEAT -13.2 -10.9 4.7 -1.6 -4.3 -4.3 -1.1 -6.9 -1.0 -18.9 -18.2 -18.4 -18.9 -18.7 -14.4 -10.5 -7.9 -10.5 -9.8 -17.7 -15.6 -20.0 -20.0 -20.0 -3.7 -6.5 -9.5 -5.4 -9.5 -6.0 -8.2 -16.6 -18.7 -20.0 -20.0 -11.9 -20.0 -20.0 -20.0 -20.0 RICE 16.2 -7.1 -8.0 -1.5 -3.9 -3.9 -1.0 -6.4 -0.9 17.4 2.1 17.5 8.0 5.2 -3.6 -9.7 17.2 -7.0 5.8 -3.3 -3.9 11.7 2.2 4.2 -13.9 -3.1 5.0 -3.0 4.4 -0.5 0.5 20.0 3.3 11.3 -9.8 -11.2 -13.2 -20.0 -13.5 -20.0 ROBUSTA 20.0 -20.0 -19.9 -0.8 -2.2 -2.2 -0.5 -3.6 -0.5 -1.4 7.7 6.2 9.5 5.0 5.4 5.5 20.0 14.5 20.0 7.9 8.4 10.2 11.3 11.5 -20.0 2.8 -0.7 3.0 4.2 4.7 4.3 20.0 20.0 20.0 10.5 20.0 4.0 1.1 8.5 7.7 RUSSELL 12.4 8.2 8.1 3.0 6.9 3.8 4.8 5.5 3.3 10.6 10.3 11.8 11.4 10.6 10.9 -6.4 -6.4 -6.2 -6.2 15.1 11.9 15.5 9.5 16.9 0.5 4.6 2.2 4.2 4.0 3.8 4.7 0.3 7.6 20.0 19.9 14.3 -6.6 -12.6 -20.0 -20.0 SHATZ 12.7 -5.3 14.5 -1.0 4.9 -0.4 3.8 0.2 0.9 8.5 5.4 8.7 0.4 4.5 2.1 -20.0 -20.0 -20.0 -20.0 4.2 4.4 12.5 1.5 7.2 5.9 2.0 7.7 2.2 5.7 1.3 3.3 -20.0 1.1 10.1 9.4 10.1 -8.3 -15.1 1.8 -5.6 SILVER-mini -18.3 -8.5 2.6 -0.9 -1.1 0.1 -2.4 -0.1 -2.6 -4.3 3.0 -10.0 7.2 -11.2 -0.4 -5.6 -6.3 -5.9 -6.0 -2.9 3.8 -6.9 7.5 -8.2 -2.3 -0.5 -0.9 1.9 -2.6 3.1 -2.8 -1.5 -3.5 -2.0 0.3 4.0 7.8 -1.9 -1.1 7.6 SMI -9.5 -17.3 -15.6 2.9 6.8 3.8 4.8 5.4 3.3 11.3 0.6 -0.7 8.2 -8.5 -7.8 0.7 0.3 0.3 -0.2 -8.9 -3.4 1.8 3.6 -7.2 7.7 -3.1 4.5 -0.2 0.7 3.2 -2.7 11.1 -5.8 -20.0 -17.9 -13.1 -6.2 1.7 -18.5 -8.9 SOFR 4.1 -20.0 -12.4 -1.4 7.3 -0.6 5.6 0.3 1.3 11.6 -1.6 9.7 2.9 -7.1 -11.1 -0.8 0.0 0.4 0.4 -12.6 -7.5 11.5 -1.1 -3.6 -5.7 -3.8 2.5 -2.3 1.6 -0.3 -1.8 2.8 -15.5 -9.6 -16.5 -13.6 0.3 -8.0 17.5 15.1 SOYBEAN -6.0 -4.9 -9.8 -1.4 -3.7 -3.7 -0.9 -6.0 -0.9 -14.1 -16.6 -15.7 -16.7 -17.0 -14.7 -1.4 0.4 -2.2 -2.5 -16.6 -20.0 -12.1 -20.0 -14.4 -20.0 -6.5 -4.8 -7.9 -5.7 -8.7 -6.0 -3.7 -14.4 -11.0 -20.0 -18.4 2.2 -7.4 7.7 -2.2 SOYMEAL -2.0 -14.9 -5.1 -1.4 -3.7 -3.7 -0.9 -6.0 -0.8 -7.0 -16.9 -7.9 -17.1 -16.2 -16.8 -11.1 0.0 -7.0 -4.1 -17.6 -18.5 -5.7 -19.6 -12.9 -20.0 -5.9 -1.9 -5.4 -2.2 -4.7 -4.7 -4.8 4.2 -7.7 -20.0 -14.9 -20.0 -20.0 -20.0 -20.0 SOYOIL -20.0 7.9 15.2 -0.6 -1.5 -1.5 -0.4 -2.5 -0.4 -5.1 -0.8 -6.4 -5.5 -5.0 -0.0 -3.0 0.3 -1.5 -0.6 -0.6 -0.2 -8.4 -2.8 -5.3 -14.4 0.2 -4.0 0.3 -4.2 -0.7 -1.9 -1.8 -19.7 -9.1 -0.6 4.1 3.2 -5.9 12.0 -0.3 SP400 13.6 6.6 8.1 3.3 7.7 4.2 5.3 6.1 3.7 8.3 12.1 11.3 13.8 11.3 12.8 -7.6 -6.6 -7.3 -6.9 17.9 14.1 18.0 12.0 20.0 -10.3 5.1 2.4 4.6 5.0 4.4 5.6 -0.3 13.6 20.0 20.0 19.0 -1.9 -6.6 -17.4 -20.0 SP500_micro 9.2 4.0 12.2 4.1 9.6 5.3 6.7 7.6 4.6 16.8 18.3 17.7 18.9 16.3 18.2 -11.8 -11.8 -11.4 -11.4 20.0 20.0 19.8 20.0 20.0 -20.0 6.4 3.6 7.7 4.9 9.8 5.5 -8.8 -1.1 12.6 15.5 20.0 5.0 3.9 -12.6 -9.7 SUGAR11 -11.5 -4.6 19.8 -1.3 -3.6 -3.6 -0.9 -5.9 -0.8 -15.4 7.4 -11.2 -5.6 -11.5 7.6 20.0 20.0 20.0 20.0 3.1 6.9 -8.4 2.2 -4.8 -20.0 2.1 3.1 3.1 1.4 0.7 0.0 20.0 -1.6 -1.6 -6.4 20.0 -20.0 2.6 -20.0 6.7 US10 5.0 -20.0 -10.3 -1.0 5.3 -0.5 4.0 0.2 0.9 8.8 -2.9 7.7 0.0 -5.0 -8.0 -3.0 -6.4 -4.4 -5.4 -8.8 -5.9 8.3 -2.6 -2.1 1.5 -2.7 1.9 -1.7 1.3 -0.4 -1.2 -7.8 -9.9 -5.6 -11.3 -9.7 -4.1 -18.7 10.1 8.9 US10U 6.5 -20.0 -8.2 -1.3 6.7 -0.6 5.2 0.3 1.2 11.7 -3.8 10.4 -0.1 -5.3 -9.8 -4.1 -3.6 -4.3 -4.2 -9.0 -6.4 11.0 -3.3 -1.1 -1.4 -3.3 3.2 -2.3 2.3 -0.7 -1.2 -4.4 -10.9 -5.7 -11.5 -11.3 -2.2 -13.2 20.0 16.5 US2 -3.6 -20.0 -8.1 -1.1 5.9 -0.5 4.6 0.3 1.1 8.1 -3.9 1.2 -2.5 -8.4 -10.0 -15.9 -20.0 -19.9 -20.0 -15.5 -9.0 2.1 -5.1 -10.2 16.1 -3.2 0.4 -1.6 -0.5 -0.4 -2.6 -20.0 -20.0 -17.1 -17.7 -8.7 -6.5 -16.8 2.5 -7.5 US20 6.6 -20.0 -9.1 -1.0 4.9 -0.4 3.8 0.2 0.9 8.6 -2.7 7.7 1.6 -3.3 -7.2 -1.5 -1.3 -1.7 -1.6 -6.0 -4.4 9.0 -2.0 0.0 -2.9 -2.4 2.4 -1.7 1.7 -0.4 -0.8 0.3 -8.8 -3.9 -7.0 -8.1 0.5 -8.2 20.0 18.4 US30 5.7 -15.5 -6.6 -1.0 5.2 -0.5 4.0 0.2 0.9 9.1 -3.7 7.8 0.1 -2.6 -7.3 -2.1 -4.2 -2.5 -3.3 -5.1 -4.1 8.7 -2.6 0.5 -2.0 -2.5 3.3 -1.8 2.4 -0.6 -0.6 -4.2 -8.0 -4.1 -4.1 -7.1 -0.0 -7.6 20.0 17.5 US5 3.1 -20.0 -10.7 -1.2 6.1 -0.5 4.7 0.3 1.1 9.0 -3.7 7.6 -1.8 -7.1 -9.8 -5.8 -9.6 -7.4 -8.6 -12.6 -8.1 7.1 -3.6 -5.2 6.4 -3.2 2.0 -1.9 1.2 -0.5 -1.6 -13.4 -13.3 -8.5 -14.8 -11.1 -1.9 -15.2 11.2 5.6 VIX -11.7 -10.2 -2.9 -3.4 -2.0 -1.4 -3.6 -2.9 -4.6 -15.5 -12.5 -16.6 -13.0 -16.0 -15.8 -18.0 -20.0 -14.1 -17.6 -9.8 -5.4 -13.3 -9.3 -13.5 NaN -3.6 -4.3 -1.4 -4.8 -3.3 -5.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -15.3 -11.0 3.5 -1.7 -4.6 -4.5 -1.1 -7.4 -1.0 -20.0 -17.1 -19.9 -17.7 -20.0 -10.9 -14.2 -14.4 -13.8 -14.1 -18.5 -16.1 -20.0 -20.0 -20.0 5.2 -7.0 -9.8 -5.5 -10.2 -5.6 -9.0 -20.0 -16.4 -20.0 -20.0 -11.9 -20.0 -19.7 -19.9 -17.3 End of report for caleb_strategy_v3