******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241210_204457 produced at 2024-12-10 21:41:06.815357 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 False 0.03 -0.38 -1.21 0.0 0.51 -0.51 -0.38 -0.45 -37.83 16.0 -12 -14 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.77 0.0 0.00 0.00 0.00 0.00 -9.42 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.17 -0.23 0.0 999.00 -999.00 -0.17 -0.17 -39.99 999999999.0 -30 -30 caleb_strategy_v3 US2 False True 0.07 0.00 -0.18 0.0 0.00 0.00 0.00 0.00 -2.58 13.0 0 0 caleb_strategy_v3 CAD False False 0.02 -0.07 -0.16 0.0 0.70 -0.70 -0.07 -0.10 -6.70 29.0 -3 -4 caleb_strategy_v3 CHF False False 0.05 -0.34 -0.10 0.0 0.63 -0.63 -0.34 -0.34 -2.00 13.0 -7 -7 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.06 0.0 0.13 -0.13 -0.06 -0.06 -4.71 11.0 -5 -5 caleb_strategy_v3 AUD False False 0.02 -0.04 -0.05 0.0 0.41 -0.41 -0.04 -0.04 -2.16 19.0 -2 -2 caleb_strategy_v3 US5 False False 0.04 -0.15 -0.05 0.0 0.91 -0.91 -0.15 -0.15 -1.36 25.0 -4 -4 caleb_strategy_v3 EUR False False 0.04 -0.13 -0.05 0.0 0.63 -0.63 -0.13 -0.09 -1.20 14.0 -3 -2 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.05 0.0 0.09 -0.09 -0.05 -0.05 -7.03 12.0 -7 -7 caleb_strategy_v3 COPPER False False 0.04 -0.11 -0.05 0.0 999.00 -999.00 -0.11 -0.11 -1.33 999999999.0 -3 -3 caleb_strategy_v3 NZD False False 0.02 0.00 -0.04 0.0 0.42 -0.42 0.00 0.00 -1.99 21.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.04 0.0 0.09 -0.09 -0.03 -0.06 -1.39 3.0 -1 -2 caleb_strategy_v3 CAC True False 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.32 12.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.05 24.0 0 0 caleb_strategy_v3 RICE False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -2.85 4.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -2.68 8.0 -4 -4 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.03 0.0 0.12 -0.12 -0.05 -0.05 -1.77 7.0 -3 -3 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.01 -2.46 9.0 -2 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.03 0.0 0.64 -0.64 0.00 0.00 -0.74 17.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.65 9.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.03 0.0 0.09 -0.09 -0.03 -0.03 -3.07 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 -8.86 51.0 -7 -7 caleb_strategy_v3 GASOIL False False 0.02 -0.04 -0.02 0.0 0.09 -0.09 -0.04 -0.04 -0.97 4.0 -2 -2 caleb_strategy_v3 CRUDE_W False False 0.02 -0.02 -0.02 0.0 0.11 -0.11 -0.02 -0.02 -0.75 5.0 -1 -1 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.02 0.0 0.16 -0.16 0.00 0.00 -1.16 10.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.02 0.0 0.48 -0.48 -0.03 -0.03 -0.61 17.0 -1 -1 caleb_strategy_v3 US10U False False 0.04 -0.04 -0.02 0.0 0.51 -0.51 -0.04 -0.04 -0.41 13.0 -1 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.02 0.0 0.07 -0.07 -0.02 -0.02 -8.27 26.0 -8 -8 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.07 -0.07 0.00 0.00 -0.18 2.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.01 0.0 0.07 -0.07 0.00 0.00 -0.44 5.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 -0.03 -0.01 0.0 999.00 -999.00 -0.03 -0.03 -0.18 999999999.0 -1 -1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.62 2.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 -0.01 0.0 0.60 -0.60 0.00 0.00 -0.47 22.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 -0.00 0.0 0.52 -0.52 -0.01 -0.03 -0.32 56.0 -1 -3 caleb_strategy_v3 US30 False False 0.04 -0.04 -0.00 0.0 0.26 -0.26 -0.04 -0.04 -0.07 6.0 -1 -1 caleb_strategy_v3 US20 False True 0.04 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.10 9.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.00 0.0 0.02 -0.02 0.00 0.00 -0.21 3.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.49 10.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.00 0.0 0.49 -0.49 0.00 0.00 0.04 10.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.00 0.0 0.41 -0.41 0.00 0.00 0.19 23.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.25 18.0 0 0 caleb_strategy_v3 SP400 False True 0.11 0.23 0.01 0.0 0.23 0.00 0.23 0.23 0.09 2.0 2 2 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 0.25 -0.25 0.00 0.00 0.18 6.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.01 0.01 0.0 0.50 -0.50 0.01 0.01 1.59 66.0 1 1 caleb_strategy_v3 NASDAQ_micro False True 0.01 0.04 0.01 0.0 0.04 0.00 0.04 0.04 0.90 23.0 3 3 caleb_strategy_v3 EUROSTX False True 0.02 -0.02 0.01 0.0 0.00 -0.02 -0.02 -0.02 0.49 20.0 -1 -1 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.30 999999999.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.01 0.02 0.0 0.49 -0.49 0.01 0.01 1.90 48.0 1 1 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.28 -0.28 0.00 0.00 3.73 68.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 0.02 0.0 0.81 -0.81 0.00 0.00 0.53 19.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.01 0.02 0.0 0.50 -0.50 -0.01 -0.01 2.75 60.0 -1 -1 caleb_strategy_v3 COCOA False False 0.04 0.07 0.03 0.0 0.95 -0.95 0.07 0.07 0.82 26.0 2 2 caleb_strategy_v3 OJ False False 0.02 0.02 0.04 0.0 0.07 -0.07 0.02 0.02 1.62 3.0 1 1 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.04 0.0 0.00 0.00 0.00 0.00 13.56 59.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.05 0.0 0.44 -0.44 0.03 0.03 2.02 17.0 1 1 caleb_strategy_v3 DX False False 0.04 0.00 0.06 0.0 999.00 -999.00 0.00 0.00 1.63 999999999.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.10 0.06 0.0 0.16 -0.16 0.10 0.08 4.89 13.0 8 7 caleb_strategy_v3 FEEDCOW False False 0.04 0.18 0.10 0.0 0.35 -0.35 0.18 0.18 2.20 8.0 4 4 caleb_strategy_v3 OAT False False 0.05 0.14 0.13 0.0 0.45 -0.45 0.14 0.14 2.76 10.0 3 3 caleb_strategy_v3 DAX False False 0.01 0.07 0.13 0.0 0.43 -0.43 0.07 0.07 17.28 58.0 10 10 caleb_strategy_v3 NIKKEI False False 0.01 0.07 0.15 0.0 0.32 -0.32 0.07 0.09 16.39 36.0 8 10 caleb_strategy_v3 BTP False False 0.04 0.18 0.17 0.0 0.44 -0.44 0.18 0.18 3.75 10.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 1.40 0.0 0.88 -0.88 0.00 0.00 15.84 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 14.9 Shocked risk 40.6 Sum abs risk 44.3 Leverage 6.02 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2938133.07, 'annual_cash_vol_target': 734533.2675, 'daily_cash_vol_target': 45908.32921875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6382 0.6868 10.9885 BITCOIN 2249.3763 96480.0000 2.3314 37.3031 BOBL 0.2266 118.9600 0.1905 3.0484 BTP 0.4615 122.8700 0.3756 6.0101 BUND 0.4379 136.1000 0.3218 5.1484 BUXL 1.0751 139.1200 0.7728 12.3649 CAC 60.9969 7398.0000 0.8245 13.1921 CAD 0.0029 0.7086 0.4025 6.4395 CANOLA 9.5964 628.2000 1.5276 24.4417 CHF 0.0054 1.1453 0.4697 7.5157 COCOA 198.1414 10685.0000 1.8544 29.6702 COFFEE 6.2815 331.4000 1.8954 30.3271 COPPER 0.0525 4.2715 1.2298 19.6760 CORN 3.8611 442.0000 0.8735 13.9768 COTTON2 0.8346 69.4900 1.2011 19.2175 CRUDE_W 1.0024 66.4100 1.5094 24.1509 DAX 141.4064 20543.0000 0.6883 11.0135 DOW 278.2282 44476.0000 0.6256 10.0091 DX 0.4103 106.0800 0.3868 6.1892 EUR 0.0054 1.0574 0.5072 8.1155 EURIBOR-ICE 0.0425 98.1500 0.0434 0.6936 EUROSTX 40.7573 4959.0000 0.8219 13.1502 FEEDCOW 1.6614 257.4250 0.6454 10.3260 GASOIL 10.3028 657.5000 1.5670 25.0714 GASOLINE 0.0347 1.9734 1.7590 28.1444 GAS_US_mini 0.1143 3.0000 3.8101 60.9618 GBP 0.0064 1.2768 0.4982 7.9713 GOLD_micro 24.2025 2718.3000 0.8904 14.2457 HEATOIL 0.0366 2.1769 1.6829 26.9268 JGB-SGX-mini 0.1988 142.2900 0.1397 2.2350 JPY 0.0000 0.0067 0.7065 11.3040 LEANHOG 1.1706 88.8000 1.3183 21.0925 LIVECOW 1.0781 189.0750 0.5702 9.1228 LUMBER-new 7.6127 595.0000 1.2794 20.4711 MILK 0.2440 19.3000 1.2640 20.2242 MXP 0.0004 0.0488 0.7795 12.4722 NASDAQ_micro 157.5008 21409.5000 0.7357 11.7705 NIKKEI 370.6009 39435.0000 0.9398 15.0364 NZD 0.0041 0.5806 0.6977 11.1636 OAT 0.4035 126.2200 0.3197 5.1150 OATIES 6.8789 354.7500 1.9391 31.0253 OJ 6.6998 482.0000 1.3900 22.2399 PALLAD 24.6934 980.5000 2.5184 40.2952 PLAT 13.8424 948.9000 1.4588 23.3406 REDWHEAT 8.3228 573.0000 1.4525 23.2400 RICE 0.1345 15.2000 0.8848 14.1570 ROBUSTA 127.0122 5218.0000 2.4341 38.9459 RUSSELL 24.5834 2427.0000 1.0129 16.2066 SHATZ 0.0813 107.2800 0.0758 1.2125 SILVER-mini 0.4843 32.5875 1.4861 23.7780 SMI 83.3622 11631.0000 0.7167 11.4676 SOFR 0.0549 96.3700 0.0569 0.9109 SOYBEAN 8.4996 1010.0000 0.8415 13.4648 SOYMEAL 3.4763 302.5000 1.1492 18.3869 SOYOIL 0.8038 43.2000 1.8607 29.7709 SP400 26.7719 3315.8000 0.8074 12.9185 SP500_micro 32.7876 6053.2500 0.5417 8.6664 SUGAR11 0.2828 19.6600 1.4386 23.0182 US10 0.3669 110.9688 0.3307 5.2905 US10U 0.5250 114.4688 0.4586 7.3377 US2 0.0875 103.0820 0.0849 1.3580 US20 0.7670 119.0000 0.6445 10.3123 US30 1.2324 126.5000 0.9742 15.5872 US5 0.2253 107.4922 0.2096 3.3536 VIX 0.4722 17.0000 2.7778 44.4441 WHEAT 7.2757 605.7500 1.2011 19.2177 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 638.20 0.69 438.30 1.00 438.30 45908.33 104.74 -7.94 -83.17 BITCOIN 96.48 2.33 224.94 1.00 224.94 45908.33 204.09 6.14 125.24 BOBL 1189.60 0.19 226.65 1.05 239.05 45908.33 192.05 2.70 51.89 BTP 1228.70 0.38 461.54 1.05 486.78 45908.33 94.31 11.67 110.04 BUND 1361.00 0.32 437.93 1.05 461.89 45908.33 99.39 0.41 4.04 BUXL 1391.20 0.77 1075.13 1.05 1133.94 45908.33 40.49 3.88 15.70 CAC 739.80 0.82 609.97 1.05 643.33 45908.33 71.36 -5.42 -38.65 CAD 708.65 0.40 285.21 1.00 285.21 45908.33 160.96 -16.04 -258.15 CANOLA 125.64 1.53 191.93 0.71 135.43 45908.33 338.99 -10.74 -363.99 CHF 1431.62 0.47 672.48 1.00 672.48 45908.33 68.27 -11.30 -77.16 COCOA 1068.50 1.85 1981.41 1.00 1981.41 45908.33 23.17 16.45 38.11 COFFEE 1242.75 1.90 2355.56 1.00 2355.56 45908.33 19.49 7.97 15.54 COPPER 1067.87 1.23 1313.22 1.00 1313.22 45908.33 34.96 -3.52 -12.31 CORN 221.00 0.87 193.05 1.00 193.05 45908.33 237.80 -12.14 -288.76 COTTON2 347.45 1.20 417.32 1.00 417.32 45908.33 110.01 -20.00 -220.02 CRUDE_W 664.10 1.51 1002.41 1.00 1002.41 45908.33 45.80 -1.51 -6.91 DAX 205.43 0.69 141.41 1.05 149.14 45908.33 307.82 16.46 506.53 DOW 222.38 0.63 139.11 1.00 139.11 45908.33 330.00 2.07 68.39 DX 1060.80 0.39 410.34 1.00 410.34 45908.33 111.88 5.61 62.71 EUR 1321.69 0.51 670.38 1.00 670.38 45908.33 68.48 -6.73 -46.09 EURIBOR-ICE 2453.75 0.04 106.37 1.05 112.19 45908.33 409.20 11.35 464.31 EUROSTX 495.90 0.82 407.57 1.05 429.87 45908.33 106.80 1.34 14.28 FEEDCOW 1287.12 0.65 830.68 1.00 830.68 45908.33 55.27 12.02 66.45 GASOIL 657.50 1.57 1030.28 1.00 1030.28 45908.33 44.56 -5.04 -22.44 GASOLINE 828.83 1.76 1457.93 1.00 1457.93 45908.33 31.49 -1.35 -4.25 GAS_US_mini 75.00 3.81 285.76 1.00 285.76 45908.33 160.65 -4.75 -76.33 GBP 798.00 0.50 397.57 1.00 397.57 45908.33 115.47 -1.58 -18.19 GOLD_micro 271.83 0.89 242.02 1.00 242.02 45908.33 189.68 -0.50 -9.40 HEATOIL 914.30 1.68 1538.70 1.00 1538.70 45908.33 29.84 -10.71 -31.95 JGB-SGX-mini 142290.00 0.14 19875.92 0.01 132.33 45908.33 346.92 -10.07 -349.36 JPY 832.69 0.71 588.30 1.00 588.30 45908.33 78.04 -3.01 -23.47 LEANHOG 355.20 1.32 468.25 1.00 468.25 45908.33 98.04 8.20 80.41 LIVECOW 756.30 0.57 431.22 1.00 431.22 45908.33 106.46 5.71 60.82 LUMBER-new 163.62 1.28 209.35 1.00 209.35 45908.33 219.29 -0.44 -9.75 MILK 386.00 1.26 487.91 1.00 487.91 45908.33 94.09 -2.20 -20.71 MXP 244.05 0.78 190.24 1.00 190.24 45908.33 241.32 0.78 18.73 NASDAQ_micro 428.19 0.74 315.00 1.00 315.00 45908.33 145.74 2.66 38.76 NIKKEI 39435.00 0.94 37060.09 0.01 246.74 45908.33 186.06 8.14 151.38 NZD 580.65 0.70 405.13 1.00 405.13 45908.33 113.32 -6.76 -76.63 OAT 1262.20 0.32 403.51 1.05 425.58 45908.33 107.87 7.50 80.95 OATIES 177.38 1.94 343.94 1.00 343.94 45908.33 133.48 -4.98 -66.51 OJ 723.00 1.39 1004.97 1.00 1004.97 45908.33 45.68 16.56 75.63 PALLAD 980.50 2.52 2469.34 1.00 2469.34 45908.33 18.59 -2.83 -5.27 PLAT 474.45 1.46 692.12 1.00 692.12 45908.33 66.33 -5.13 -34.02 REDWHEAT 286.50 1.45 416.14 1.00 416.14 45908.33 110.32 -18.31 -201.99 RICE 304.00 0.88 268.98 1.00 268.98 45908.33 170.67 -6.85 -116.95 ROBUSTA 521.80 2.43 1270.12 1.00 1270.12 45908.33 36.14 4.56 16.48 RUSSELL 121.35 1.01 122.92 1.00 122.92 45908.33 373.49 3.01 112.50 SHATZ 1072.80 0.08 81.30 1.05 85.75 45908.33 535.40 -1.94 -103.69 SILVER-mini 814.69 1.49 1210.73 1.00 1210.73 45908.33 37.92 2.29 8.68 SMI 1163.10 0.72 833.62 1.14 947.62 45908.33 48.45 -3.96 -19.20 SOFR 2409.25 0.06 137.16 1.00 137.16 45908.33 334.71 -4.63 -155.06 SOYBEAN 505.00 0.84 424.98 1.00 424.98 45908.33 108.02 -17.62 -190.37 SOYMEAL 302.50 1.15 347.63 1.00 347.63 45908.33 132.06 -20.00 -264.12 SOYOIL 259.20 1.86 482.29 1.00 482.29 45908.33 95.19 -5.53 -52.60 SP400 3315.80 0.81 2677.19 1.00 2677.19 45908.33 17.15 1.53 2.63 SP500_micro 302.66 0.54 163.94 1.00 163.94 45908.33 280.03 2.92 81.70 SUGAR11 220.19 1.44 316.78 1.00 316.78 45908.33 144.92 -0.80 -11.66 US10 1109.69 0.33 366.92 1.00 366.92 45908.33 125.12 -4.67 -58.39 US10U 1144.69 0.46 524.96 1.00 524.96 45908.33 87.45 -3.73 -32.61 US2 2061.64 0.08 174.98 1.00 174.98 45908.33 262.36 -7.76 -203.47 US20 1190.00 0.64 766.97 1.00 766.97 45908.33 59.86 -1.33 -7.98 US30 1265.00 0.97 1232.37 1.00 1232.37 45908.33 37.25 -1.54 -5.74 US5 1074.92 0.21 225.31 1.00 225.31 45908.33 203.76 -5.27 -107.35 VIX 170.00 2.78 472.22 1.00 472.22 45908.33 97.22 -16.66 -161.99 WHEAT 302.88 1.20 363.79 1.00 363.79 45908.33 126.20 -18.32 -231.23 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -83.174 0.010 2.5 -2.158 BITCOIN 125.235 0.043 2.5 13.561 BOBL 51.892 0.004 2.5 0.526 BTP 110.041 0.014 2.5 3.753 BUND 4.038 0.004 2.5 0.041 BUXL 15.700 0.004 2.5 0.159 CAC -38.652 0.014 2.5 -1.318 CAD -258.155 0.010 2.5 -6.698 CANOLA -363.988 0.010 2.5 -8.855 CHF -77.163 0.010 2.5 -2.002 COCOA 38.113 0.009 2.5 0.816 COFFEE 15.539 0.005 2.5 0.181 COPPER -12.314 0.043 2.5 -1.333 CORN -288.756 0.010 2.5 -7.025 COTTON2 -220.015 0.009 2.5 -4.712 CRUDE_W -6.909 0.043 2.5 -0.748 DAX 506.529 0.014 2.5 17.277 DOW 68.393 0.009 2.5 1.589 DX 62.708 0.010 2.5 1.627 EUR -46.093 0.010 2.5 -1.196 EURIBOR-ICE 464.307 0.014 2.5 15.837 EUROSTX 14.284 0.014 2.5 0.487 FEEDCOW 66.446 0.013 2.5 2.202 GASOIL -22.445 0.017 2.5 -0.973 GASOLINE -4.247 0.017 2.5 -0.184 GAS_US_mini -76.331 0.043 2.5 -8.266 GBP -18.189 0.010 2.5 -0.472 GOLD_micro -9.402 0.014 2.5 -0.321 HEATOIL -31.952 0.017 2.5 -1.385 JGB-SGX-mini -349.360 0.043 2.5 -37.831 JPY -23.467 0.010 2.5 -0.609 LEANHOG 80.414 0.024 2.5 4.887 LIVECOW 60.817 0.013 2.5 2.015 LUMBER-new -9.747 0.009 2.5 -0.209 MILK -20.712 0.009 2.5 -0.444 MXP 18.733 0.059 2.5 2.750 NASDAQ_micro 38.764 0.009 2.5 0.901 NIKKEI 151.379 0.043 2.5 16.392 NZD -76.632 0.010 2.5 -1.988 OAT 80.948 0.014 2.5 2.761 OATIES -66.508 0.010 2.5 -1.618 OJ 75.635 0.009 2.5 1.620 PALLAD -5.268 0.014 2.5 -0.180 PLAT -34.025 0.014 2.5 -1.161 REDWHEAT -201.991 0.005 2.5 -2.679 RICE -116.951 0.010 2.5 -2.845 ROBUSTA 16.479 0.005 2.5 0.192 RUSSELL 112.500 0.013 2.5 3.728 SHATZ -103.694 0.004 2.5 -1.052 SILVER-mini 8.684 0.014 2.5 0.296 SMI -19.196 0.014 2.5 -0.655 SOFR -155.059 0.024 2.5 -9.423 SOYBEAN -190.371 0.004 2.5 -1.771 SOYMEAL -264.124 0.004 2.5 -2.456 SOYOIL -52.601 0.004 2.5 -0.490 SP400 2.631 0.013 2.5 0.087 SP500_micro 81.697 0.009 2.5 1.899 SUGAR11 -11.656 0.009 2.5 -0.248 US10 -58.393 0.005 2.5 -0.740 US10U -32.609 0.005 2.5 -0.413 US2 -203.469 0.005 2.5 -2.578 US20 -7.975 0.005 2.5 -0.101 US30 -5.745 0.005 2.5 -0.073 US5 -107.347 0.005 2.5 -1.360 VIX -161.989 0.099 2.5 -39.985 WHEAT -231.234 0.005 2.5 -3.067 ===================== Position diags ===================== AUD 2.72 BITCOIN 22.10 BOBL 1.95 BTP 3.22 BUND 1.01 BUXL 0.41 CAC 2.43 CAD 4.18 CANOLA 8.25 CHF 1.77 COCOA 0.50 COFFEE 0.23 COPPER 3.79 CORN 5.79 COTTON2 2.36 CRUDE_W 4.96 DAX 10.50 DOW 7.67 DX 2.90 EUR 1.78 EURIBOR-ICE 13.96 EUROSTX 3.64 FEEDCOW 1.83 GASOIL 1.93 GASOLINE 1.36 GAS_US_mini 17.40 GBP 3.00 GOLD_micro 6.47 HEATOIL 1.29 JGB-SGX-mini 37.57 JPY 2.02 LEANHOG 5.96 LIVECOW 3.53 LUMBER-new 4.70 MILK 2.02 MXP 35.42 NASDAQ_micro 3.39 NIKKEI 20.15 NZD 2.94 OAT 3.68 OATIES 3.25 OJ 0.98 PALLAD 0.63 PLAT 2.26 REDWHEAT 1.46 RICE 4.15 ROBUSTA 0.42 RUSSELL 12.38 SHATZ 5.43 SILVER-mini 1.29 SMI 1.65 SOFR 20.34 SOYBEAN 1.00 SOYMEAL 1.23 SOYOIL 0.89 SP400 0.57 SP500_micro 6.51 SUGAR11 3.08 US10 1.59 US10U 1.11 US2 3.32 US20 0.76 US30 0.47 US5 2.58 VIX 24.00 WHEAT 1.67 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.2 -2.4 -1.9 -2.0 -2 BITCOIN 13.6 11.4 15.8 0.0 0 BOBL 0.5 0.3 0.7 0.0 0 BTP 3.8 3.4 4.1 4.0 4 BUND 0.0 -0.1 0.1 0.0 0 BUXL 0.2 0.1 0.2 0.0 0 CAC -1.3 -1.6 -1.1 0.0 0 CAD -6.7 -7.1 -6.3 -3.0 -3 CANOLA -8.9 -9.7 -8.0 -7.0 -7 CHF -2.0 -2.2 -1.8 -7.0 -7 COCOA 0.8 0.8 0.9 2.0 2 COFFEE 0.2 0.2 0.2 0.0 0 COPPER -1.3 -1.7 -1.0 -3.0 -3 CORN -7.0 -7.6 -6.4 -7.0 -7 COTTON2 -4.7 -4.9 -4.5 -5.0 -5 CRUDE_W -0.7 -1.2 -0.3 -1.0 -1 DAX 17.3 16.2 18.3 10.0 10 DOW 1.6 0.8 2.4 1.0 1 DX 1.6 1.3 1.9 0.0 0 EUR -1.2 -1.4 -1.0 -3.0 -3 EURIBOR-ICE 15.8 14.4 17.2 0.0 0 EUROSTX 0.5 0.1 0.9 -1.0 -1 FEEDCOW 2.2 2.0 2.4 4.0 4 GASOIL -1.0 -1.2 -0.8 -2.0 -2 GASOLINE -0.2 -0.3 -0.0 -1.0 -1 GAS_US_mini -8.3 -10.0 -6.5 -8.0 -8 GBP -0.5 -0.8 -0.2 0.0 0 GOLD_micro -0.3 -1.0 0.3 -1.0 -1 HEATOIL -1.4 -1.5 -1.3 -1.0 -1 JGB-SGX-mini -37.8 -41.6 -34.1 -12.0 -12 JPY -0.6 -0.8 -0.4 -1.0 -1 LEANHOG 4.9 4.3 5.5 8.0 8 LIVECOW 2.0 1.7 2.4 1.0 1 LUMBER-new -0.2 -0.7 0.3 0.0 0 MILK -0.4 -0.6 -0.2 0.0 0 MXP 2.7 -0.8 6.3 -1.0 -1 NASDAQ_micro 0.9 0.6 1.2 3.0 3 NIKKEI 16.4 14.4 18.4 8.0 8 NZD -2.0 -2.3 -1.7 0.0 0 OAT 2.8 2.4 3.1 3.0 3 OATIES -1.6 -1.9 -1.3 NaN 0 OJ 1.6 1.5 1.7 1.0 1 PALLAD -0.2 -0.2 -0.1 0.0 0 PLAT -1.2 -1.4 -0.9 0.0 0 REDWHEAT -2.7 -2.8 -2.5 -4.0 -4 RICE -2.8 -3.3 -2.4 NaN 0 ROBUSTA 0.2 0.2 0.2 0.0 0 RUSSELL 3.7 2.5 5.0 0.0 0 SHATZ -1.1 -1.6 -0.5 NaN 0 SILVER-mini 0.3 0.2 0.4 0.0 0 SMI -0.7 -0.8 -0.5 0.0 0 SOFR -9.4 -11.5 -7.4 NaN 0 SOYBEAN -1.8 -1.9 -1.7 -3.0 -3 SOYMEAL -2.5 -2.6 -2.3 -2.0 -2 SOYOIL -0.5 -0.6 -0.4 0.0 0 SP400 0.1 0.0 0.1 2.0 2 SP500_micro 1.9 1.2 2.5 1.0 1 SUGAR11 -0.2 -0.6 0.1 0.0 0 US10 -0.7 -0.9 -0.6 0.0 0 US10U -0.4 -0.5 -0.3 -1.0 -1 US2 -2.6 -2.9 -2.2 NaN 0 US20 -0.1 -0.2 -0.0 0.0 0 US30 -0.1 -0.1 -0.0 -1.0 -1 US5 -1.4 -1.6 -1.1 -4.0 -4 VIX -40.0 -42.4 -37.6 -30.0 -30 WHEAT -3.1 -3.2 -2.9 -3.0 -3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.8 3.8 3.8 3.8 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -0.1 -0.6 -0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.1 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.5 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.5 -0.4 -0.2 -0.0 -0.1 -0.2 -0.1 -0.1 BITCOIN 0.4 0.6 0.5 -0.0 0.1 0.0 0.0 -0.0 -0.0 -0.1 0.5 0.1 0.6 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.2 0.1 -0.2 -0.1 0.6 0.6 0.6 0.0 -0.1 -0.1 0.0 BOBL 0.6 -0.1 0.1 0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 0.1 0.1 -0.0 0.1 0.0 -0.4 -0.1 -0.1 -0.1 0.1 0.0 0.1 0.0 0.1 0.5 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 -0.1 0.1 0.3 0.3 -0.3 -0.4 0.3 0.0 BTP 0.6 0.1 0.2 0.0 0.0 -0.0 0.1 0.0 0.0 0.2 0.4 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 0.8 0.5 0.6 0.6 0.6 -0.2 -0.4 0.4 0.4 BUND 0.6 -0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 0.1 0.1 0.1 0.1 0.0 -0.1 -0.1 -0.2 -0.2 0.1 0.0 0.1 0.0 0.1 0.1 0.0 -0.0 0.0 0.0 0.0 0.1 -0.5 -0.0 0.2 0.4 0.3 -0.7 -0.7 0.1 -0.0 BUXL 0.6 0.3 0.1 0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 0.2 0.1 0.1 0.1 0.1 0.0 -0.0 0.0 -0.0 0.2 0.1 0.1 0.0 0.2 -0.4 0.0 -0.0 0.1 0.0 0.0 0.1 0.3 0.0 0.4 0.6 0.4 -0.7 -0.7 -0.3 -0.3 CAC 0.1 -0.3 -0.2 0.1 0.0 0.1 0.1 0.3 0.1 0.1 -0.4 0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.2 0.0 -0.9 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.2 0.3 -0.2 -0.6 -0.6 0.2 0.2 -0.1 -0.1 CAD -0.1 -0.4 -0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -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 -0.4 -0.2 0.2 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.3 -0.5 -0.6 -0.4 -0.4 -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 -0.1 -0.0 -0.2 -0.0 -0.0 -0.3 -0.2 -0.3 -0.3 -0.0 -0.0 0.0 -0.1 -0.0 -1.5 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -1.1 0.2 -0.4 0.1 0.2 -0.3 -0.4 -0.1 -0.2 CHF 0.1 -0.6 -0.4 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.2 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 -0.1 -0.0 -0.0 -0.0 -1.1 0.0 -0.0 -0.2 -0.2 -0.3 -0.3 -0.5 -0.5 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 -0.0 0.4 0.3 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 0.4 0.0 -0.0 0.1 -0.1 0.0 -0.2 -0.0 0.1 0.4 0.2 0.6 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 0.1 0.1 0.3 0.5 0.6 0.6 0.6 -0.2 -0.2 -0.0 0.1 COPPER -0.1 -0.4 -0.1 -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 -0.0 -2.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 0.1 -0.1 -0.3 -0.0 0.3 0.4 0.2 0.7 CORN -0.1 0.1 0.0 -0.0 0.1 -0.1 0.0 -0.3 -0.0 0.2 -0.5 0.1 -0.7 -0.1 -0.1 -0.1 -0.3 -0.2 -0.2 -0.1 -0.2 0.1 -0.5 -0.0 -1.4 -0.1 0.1 -0.3 0.0 -0.5 -0.0 -1.1 0.5 -0.6 -0.5 -0.5 0.4 -0.1 0.7 0.1 COTTON2 -0.0 -0.2 0.1 -0.0 0.1 -0.1 0.0 -0.3 -0.0 -0.2 -0.5 -0.1 -0.7 -0.1 -0.1 -0.3 -0.2 -0.3 -0.2 -0.1 -0.1 -0.1 -0.5 -0.1 -2.7 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.9 -0.5 -0.5 -0.5 -0.1 -0.6 -0.6 -0.5 -0.4 CRUDE_W -0.0 -0.0 -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.1 -0.3 -0.1 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.4 0.2 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.4 DAX 0.6 0.0 0.2 0.1 0.0 0.1 0.1 0.3 0.1 0.1 0.4 0.2 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.4 0.2 1.0 0.1 0.1 0.1 0.1 0.2 0.1 -0.3 0.5 0.6 0.2 0.3 0.7 0.5 0.5 0.1 DOW 0.4 0.2 0.5 0.0 0.0 0.1 0.0 0.2 0.1 -0.1 0.4 0.1 0.5 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.0 0.5 0.2 -1.8 0.1 -0.0 0.2 0.0 0.2 0.0 -0.4 -0.5 0.0 0.4 0.6 -0.1 0.0 -0.5 -0.3 DX -0.0 0.6 0.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 0.3 0.0 0.3 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.0 0.2 0.1 -2.7 0.0 0.0 0.1 0.0 0.1 0.0 0.7 -0.4 0.6 0.6 0.6 -0.1 0.1 -0.1 0.2 EUR -0.1 -0.6 -0.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 1.9 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.5 -0.0 -0.2 -0.3 -0.4 0.0 -0.3 0.0 -0.4 EURIBOR-ICE 0.5 0.0 0.3 0.0 0.0 -0.0 0.0 0.0 0.0 0.0 0.2 0.1 0.3 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 0.0 0.1 0.0 0.1 0.0 0.5 0.1 0.1 0.4 0.5 -0.1 -0.4 0.5 0.2 EUROSTX 0.3 -0.2 -0.2 0.1 0.0 0.1 0.1 0.2 0.1 0.1 -0.0 0.2 0.4 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.2 0.1 0.1 -0.4 -0.0 0.1 -0.0 0.1 0.1 0.1 0.3 0.5 0.3 -0.6 -0.5 0.2 0.1 -0.4 -0.3 FEEDCOW 0.6 0.6 0.5 -0.0 0.1 -0.1 0.0 -0.3 -0.0 0.1 0.2 0.2 -0.3 0.2 0.2 0.2 -0.1 0.2 0.2 0.2 0.1 0.2 -0.1 0.2 -1.8 0.1 0.0 0.1 0.1 -0.0 0.1 0.2 -0.0 0.6 0.6 0.6 0.6 0.6 0.7 0.7 GASOIL -0.0 0.1 -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.1 -0.3 -0.1 -0.1 0.0 0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.6 -0.0 -0.0 -0.2 -0.0 -0.2 -0.0 0.0 -0.2 -0.0 -0.0 -0.2 0.0 -0.2 0.1 -0.4 GASOLINE -0.0 -0.0 -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 0.4 0.0 0.2 -0.1 -0.1 -0.0 -0.1 -0.0 -2.7 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 1.1 0.3 0.1 0.0 0.2 0.1 0.3 0.3 0.5 GAS_US_mini 0.2 0.2 0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.5 -0.0 -0.0 -0.1 -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 -0.4 0.2 -0.1 -0.0 -0.3 -0.5 -0.3 -0.4 GBP -0.0 -0.6 -0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.2 -0.1 0.1 0.2 -0.1 -0.1 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 0.5 -0.1 -0.1 0.1 0.2 -0.4 0.6 -0.4 GOLD_micro -0.1 -0.6 -0.2 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 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 -1.3 0.0 0.0 0.1 0.0 0.2 -0.0 -0.6 0.0 0.0 0.1 0.3 0.7 0.1 0.7 0.3 HEATOIL -0.1 0.0 -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.4 -0.1 -0.4 -0.1 -0.1 0.1 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.3 -0.1 -0.1 -0.1 0.0 -0.0 0.1 0.0 0.1 JGB-SGX-mini -0.3 -0.6 -0.1 0.0 0.0 -0.0 0.0 0.0 0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 0.4 0.3 0.3 0.3 -0.1 -0.1 -0.1 -0.0 -0.1 -1.7 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 -0.4 -0.6 -0.4 -0.1 -0.7 -0.6 -0.7 -0.4 JPY 0.5 -0.4 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.2 0.0 -0.1 -0.2 -0.3 -0.2 -0.2 -0.0 -0.1 0.0 -0.2 0.0 2.7 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -1.0 0.1 0.3 0.1 -0.1 -0.4 -0.7 -0.3 -0.7 LEANHOG -0.2 0.3 0.6 -0.0 0.1 -0.1 0.0 -0.3 -0.0 -0.2 0.3 0.0 0.2 0.2 0.2 -0.4 0.1 -0.3 0.1 0.2 0.2 -0.0 0.2 0.1 -0.1 0.1 -0.1 0.2 0.0 0.1 0.1 0.7 -0.3 0.4 0.6 0.6 0.2 -0.2 0.4 0.0 LIVECOW 0.0 -0.2 0.4 -0.0 0.1 -0.1 0.0 -0.3 -0.0 0.1 0.5 0.1 0.7 0.0 0.2 -0.1 0.1 -0.1 0.0 0.1 0.2 0.0 0.5 0.1 -2.7 0.1 0.1 0.2 0.0 0.3 0.0 0.3 0.1 0.5 0.1 0.5 -0.1 0.6 0.1 0.7 LUMBER-new -0.5 0.7 0.7 -0.0 0.1 -0.1 0.0 -0.3 -0.0 -0.2 0.2 -0.2 -0.2 0.0 0.1 -0.5 -0.4 -0.5 -0.4 0.2 0.1 -0.2 -0.0 -0.0 NaN 0.0 -0.1 0.1 -0.1 0.0 -0.0 -1.2 -0.6 -0.6 0.7 0.7 0.5 0.2 0.8 0.5 MILK -0.0 -0.6 -0.1 -0.0 0.0 -0.1 0.0 -0.2 -0.0 0.1 0.1 0.0 0.2 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.1 -0.0 0.0 0.1 -0.1 1.9 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 0.3 -0.0 -0.6 -0.2 -0.3 -0.7 -0.2 -0.7 MXP 0.2 -0.0 -0.4 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.4 0.1 -0.4 -0.0 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.2 0.1 -0.3 -0.0 -2.7 -0.0 0.0 -0.2 0.0 -0.2 -0.0 1.1 0.2 0.3 0.2 -0.3 0.5 0.7 0.7 0.7 NASDAQ_micro 0.3 0.3 0.5 0.0 0.0 0.1 0.0 0.2 0.1 0.1 0.4 0.1 0.5 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.3 0.1 -0.3 -0.0 -0.1 0.2 0.3 0.3 0.1 -0.1 -0.3 NIKKEI 0.0 0.1 0.2 0.0 0.0 0.1 0.0 0.2 0.1 0.1 0.2 0.1 0.3 0.0 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 -1.3 0.0 0.0 -0.0 0.1 0.1 0.0 1.1 0.1 -0.3 -0.3 -0.4 0.7 0.5 0.7 0.6 NZD -0.0 -0.5 -0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.2 -0.2 -0.1 -0.0 -0.2 -0.2 -0.2 -0.0 OAT 0.6 -0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.1 0.1 0.2 -0.1 0.1 0.0 -0.1 0.1 0.0 0.1 0.0 0.0 0.1 -0.0 0.1 0.6 0.0 0.0 0.0 0.1 0.0 0.1 0.7 0.1 0.1 0.3 0.2 -0.1 -0.5 0.6 0.2 OATIES -0.3 -0.3 0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.1 0.0 -0.4 -0.0 -0.2 -0.1 -0.0 0.0 -0.1 -0.0 -0.0 -2.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.2 -0.3 -0.2 -0.2 0.3 0.7 0.2 0.7 0.5 OJ 0.5 0.2 0.4 -0.0 0.1 -0.1 0.0 -0.3 -0.0 -0.0 0.5 0.2 0.7 0.2 0.2 0.4 0.3 0.4 0.3 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.4 0.1 1.1 0.0 0.6 0.6 0.6 0.6 0.3 0.7 0.7 PALLAD -0.2 -0.3 0.4 -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 -0.1 -0.1 1.9 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.3 -0.2 -0.1 -0.0 0.0 -0.5 -0.7 -0.7 -0.7 PLAT -0.2 -0.4 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 -0.0 -0.0 -0.1 0.8 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 0.1 -0.4 -0.5 -0.3 -0.3 0.3 -0.3 0.1 -0.1 REDWHEAT -0.1 -0.4 0.1 -0.0 0.1 -0.1 0.0 -0.3 -0.0 0.2 -0.5 -0.0 -0.7 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 0.0 -0.5 -0.1 -0.5 -0.1 0.1 -0.2 0.0 -0.2 -0.0 -0.9 0.1 -0.3 -0.6 -0.4 -0.7 -0.7 -0.6 -0.7 RICE 0.3 -0.2 -0.2 -0.0 0.1 -0.1 0.0 -0.3 -0.0 -0.1 0.0 0.1 0.3 0.1 -0.0 -0.2 0.3 -0.1 0.1 -0.0 -0.0 -0.0 0.1 0.0 -2.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 -0.2 0.5 -0.3 -0.4 -0.4 -0.7 -0.4 -0.7 ROBUSTA 0.4 -0.5 -0.6 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 0.2 0.0 0.3 0.0 0.0 0.1 0.4 0.2 0.4 0.1 0.1 0.1 0.2 0.1 -2.7 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.1 0.6 0.3 0.4 0.2 0.1 0.3 0.3 RUSSELL 0.3 0.4 0.4 0.0 0.0 0.1 0.0 0.2 0.1 -0.1 0.3 0.1 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.0 0.3 0.1 0.1 0.1 -0.0 0.1 0.0 0.2 0.0 0.0 -0.5 -0.2 0.5 0.5 -0.3 -0.4 -0.7 -0.7 SHATZ 0.4 -0.1 0.4 0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 0.2 0.0 0.0 0.0 0.0 -0.4 -0.4 -0.4 -0.4 0.0 0.1 0.0 0.1 0.0 0.8 0.0 0.0 0.1 0.0 0.1 0.0 -1.1 -0.2 -0.1 0.2 0.3 -0.2 -0.5 0.1 -0.2 SILVER-mini -0.1 -0.4 0.1 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.1 0.1 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 0.1 0.2 0.0 -0.4 0.0 0.1 0.1 0.1 0.2 0.0 -0.1 0.2 0.2 0.2 0.2 0.2 -0.1 -0.0 0.2 SMI -0.0 -0.6 -0.5 0.0 0.0 0.1 0.0 0.2 0.1 -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 1.2 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.6 -0.3 -0.5 -0.6 -0.6 -0.2 0.1 -0.6 -0.3 SOFR 0.6 -0.6 -0.6 0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 -0.1 0.1 0.1 -0.0 -0.1 -0.0 -0.0 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 0.4 -0.3 -0.4 -0.6 -0.6 -0.0 -0.2 0.5 0.5 SOYBEAN -0.2 -0.1 -0.4 -0.0 0.1 -0.1 0.0 -0.2 -0.0 0.0 -0.5 -0.1 -0.7 -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 -0.4 -0.1 -0.2 -0.1 -0.6 -0.6 -0.5 0.1 -0.2 0.3 -0.0 SOYMEAL 0.2 -0.4 -0.3 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.0 -0.5 -0.1 -0.6 -0.2 -0.2 -0.3 -0.0 -0.2 -0.1 -0.2 -0.2 -0.0 -0.5 -0.1 -2.7 -0.1 0.0 -0.2 -0.0 -0.2 -0.0 -0.3 0.1 -0.2 -0.6 -0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.6 0.1 0.4 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.2 -0.1 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.9 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.5 -0.0 0.2 0.1 -0.2 0.4 0.0 SP400 0.3 0.3 0.4 0.0 0.0 0.1 0.1 0.2 0.1 -0.1 0.3 0.0 0.5 0.1 0.1 -0.2 -0.1 -0.1 -0.1 0.2 0.2 0.0 0.4 0.1 -1.5 0.1 -0.0 0.1 0.0 0.2 0.0 -0.0 -0.5 -0.1 0.5 0.6 -0.1 -0.2 -0.6 -0.7 SP500_micro 0.4 0.2 0.6 0.1 0.0 0.2 0.1 0.3 0.1 0.0 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.4 0.1 -0.5 -0.5 -0.1 0.3 0.6 0.1 0.1 -0.5 -0.4 SUGAR11 -0.3 -0.2 0.6 -0.0 0.1 -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 0.1 0.2 -0.1 0.6 -0.7 0.0 -0.7 0.2 US10 0.6 -0.5 -0.5 0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 -0.1 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.0 0.2 -0.0 -0.0 -0.1 0.0 -0.0 -0.0 -0.2 -0.2 -0.3 -0.4 -0.4 -0.2 -0.6 0.3 0.3 US10U 0.6 -0.4 -0.4 0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 -0.1 0.1 -0.0 -0.0 -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 -0.0 -0.3 -0.3 -0.4 -0.5 -0.1 -0.4 0.6 0.5 US2 0.4 -0.6 -0.4 0.0 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.1 -0.0 -0.1 -0.3 -0.4 -0.4 -0.4 -0.1 -0.1 0.1 -0.2 -0.0 2.4 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -1.1 -0.2 -0.4 -0.6 -0.4 -0.3 -0.5 0.0 -0.2 US20 0.6 -0.3 -0.4 0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 -0.1 0.1 0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.4 -0.0 -0.0 -0.1 0.0 -0.0 -0.0 0.2 -0.2 -0.3 -0.2 -0.3 -0.0 -0.3 0.7 0.6 US30 0.5 -0.2 -0.3 0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 -0.1 0.1 0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.3 -0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.2 -0.3 -0.2 -0.3 -0.0 -0.2 0.7 0.5 US5 0.6 -0.6 -0.5 0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 0.0 -0.1 -0.0 1.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.0 -0.4 -0.2 -0.3 -0.5 -0.5 -0.1 -0.5 0.3 0.2 VIX -0.3 -0.6 -0.3 -0.1 0.0 -0.1 0.0 -0.2 -0.1 0.2 -0.7 -0.1 -0.9 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.2 -0.1 -0.0 -0.5 -0.2 NaN -0.1 0.0 -0.1 -0.0 -0.2 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.2 -0.4 0.0 -0.0 0.1 -0.1 0.0 -0.3 -0.0 0.2 -0.5 -0.1 -0.7 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.0 -0.5 -0.2 0.8 -0.1 0.0 -0.2 -0.0 -0.2 -0.1 -1.1 0.0 -0.6 -0.6 -0.5 -0.7 -0.7 -0.5 -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 -4.0 -17.3 -7.3 -3.8 -0.8 -2.7 -0.3 -1.0 -2.2 -11.9 -9.8 -12.5 -3.7 -14.5 -14.3 -0.4 -1.5 -0.4 -0.8 -13.1 -8.1 -13.0 -3.5 -13.7 3.5 -5.0 -5.7 -3.0 -5.3 -1.1 -5.3 -0.0 -20.0 -11.7 -6.5 -0.9 -3.1 -5.1 -2.3 -4.0 BITCOIN 12.4 20.0 15.6 -1.1 7.1 0.2 3.0 -0.2 -1.2 -11.8 18.0 12.9 17.5 20.0 20.0 -10.1 -7.3 -8.3 -7.5 20.0 20.0 15.7 20.0 20.0 -20.0 7.9 -1.0 6.0 2.4 4.7 6.4 -3.6 -3.2 20.0 20.0 20.0 0.6 -2.7 -3.0 0.4 BOBL 20.0 -1.7 3.9 0.1 0.3 -0.1 2.9 0.4 2.3 -2.5 4.9 5.7 -1.1 6.3 1.8 -20.0 -5.8 -2.9 -2.9 5.4 3.3 7.0 1.2 9.1 3.8 2.3 0.5 1.7 2.7 1.2 3.7 -0.9 -3.2 2.3 8.2 7.9 -7.9 -13.5 7.8 1.1 BTP 20.0 3.9 6.2 0.1 0.6 -0.2 4.9 0.7 3.8 17.5 16.3 20.0 19.1 18.7 15.1 5.2 5.3 6.1 5.5 20.0 17.1 20.0 16.7 20.0 -20.0 6.5 4.5 5.2 8.8 5.0 8.9 15.9 20.0 20.0 20.0 20.0 -4.9 -11.8 13.1 10.7 BUND 20.0 -0.5 1.2 0.1 0.4 -0.1 3.5 0.5 2.8 -2.6 5.2 8.5 1.6 8.3 2.3 -4.1 -7.3 -12.2 -11.0 7.1 3.5 10.3 1.6 13.2 0.8 2.9 -0.0 1.7 3.7 1.4 4.9 -8.9 -1.6 6.6 11.1 7.9 -20.0 -19.8 3.1 -1.2 BUXL 20.0 9.0 3.4 0.1 0.5 -0.1 4.2 0.6 3.3 -3.4 7.8 12.2 2.2 13.5 9.2 0.7 -1.1 0.3 -0.4 14.4 6.5 15.0 1.0 20.0 -3.3 4.6 -0.9 2.4 4.5 1.4 6.7 5.4 0.1 12.5 20.0 11.8 -20.0 -20.0 -8.9 -8.5 CAC 3.5 -8.5 -7.6 5.4 2.2 5.5 5.9 7.2 6.3 11.5 -15.3 9.9 -5.5 -5.5 -11.8 -5.7 -3.7 -5.6 -4.9 -10.0 -12.6 15.6 -7.5 0.9 -6.4 -4.0 8.1 -4.8 7.4 -2.1 0.8 3.9 13.6 -7.0 -20.0 -20.0 5.0 7.1 -4.0 -2.8 CAD -1.6 -13.9 -10.5 -5.3 -1.1 -3.9 -0.5 -1.4 -3.2 -19.1 -19.1 -20.0 -18.8 -20.0 -20.0 -6.1 -4.5 -5.9 -5.3 -20.0 -19.1 -20.0 -13.6 -20.0 1.2 -7.7 -7.3 -6.0 -7.2 -4.0 -7.4 -6.3 -20.0 -20.0 -13.2 -11.7 -5.9 -7.1 -8.0 -7.5 CANOLA -20.0 -3.8 6.5 -0.5 2.7 -1.5 1.0 -2.6 -0.0 6.8 -2.1 -1.2 -5.4 -3.2 -1.3 -12.9 -12.5 -14.2 -14.0 -3.7 -2.7 3.0 -4.1 -3.5 -11.2 -0.4 3.7 -0.0 1.3 -1.1 -0.6 -20.0 9.7 -12.5 1.6 5.3 -8.8 -11.1 -2.9 -5.4 CHF 2.1 -20.0 -10.9 -3.2 -0.7 -2.4 -0.3 -0.8 -1.9 1.8 -5.7 6.0 -5.7 -6.8 -10.0 -14.8 -16.0 -15.2 -15.4 -12.1 -8.1 -0.1 -3.5 -7.4 4.0 -3.8 -0.1 -2.3 -0.1 -0.7 -2.4 -20.0 0.7 -1.5 -6.9 -7.2 -9.8 -9.3 -13.8 -14.2 COCOA 20.0 20.0 7.0 -0.7 4.0 -2.2 1.4 -3.7 -0.0 10.0 7.8 11.0 8.0 11.3 11.2 -1.0 20.0 16.5 20.0 20.0 19.6 20.0 17.6 20.0 -20.0 4.0 4.0 3.3 3.8 4.0 4.3 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 COFFEE 20.0 11.4 1.1 -1.1 6.1 -3.4 2.2 -5.7 -0.0 15.0 15.3 15.3 15.7 14.9 14.4 3.2 4.6 2.8 3.4 20.0 20.0 20.0 17.0 20.0 -20.0 5.8 5.0 4.1 6.3 3.5 7.1 6.4 20.0 20.0 20.0 20.0 -7.2 -6.2 -0.6 2.1 COPPER -3.3 -13.9 -3.6 -0.6 3.7 0.1 1.6 -0.1 -0.6 11.3 -7.8 4.9 -2.1 -7.2 -7.8 -6.0 -3.8 -5.0 -4.1 -6.5 -4.1 4.9 0.3 -3.2 -14.7 -1.6 4.8 -0.1 2.5 1.7 -0.7 2.5 3.8 -1.8 -9.8 -0.8 8.9 13.2 5.7 20.0 CORN -2.8 1.7 0.4 -1.6 8.6 -4.8 3.1 -8.0 -0.1 20.0 -20.0 5.4 -20.0 -9.3 -9.3 -7.0 -13.2 -9.7 -12.4 -11.4 -20.0 9.2 -20.0 -4.5 -10.4 -7.2 12.2 -9.6 3.1 -12.9 -4.4 -20.0 18.9 -17.9 -15.6 -14.2 13.3 -1.6 19.7 3.1 COTTON2 -0.4 -6.0 4.0 -1.4 7.7 -4.3 2.8 -7.1 -0.1 -18.9 -17.8 -6.6 -19.3 -10.4 -10.3 -14.6 -8.0 -14.3 -11.9 -10.1 -13.2 -12.4 -19.2 -10.3 -20.0 -5.9 -9.7 -5.2 -7.2 -4.5 -6.4 -17.6 -20.0 -16.0 -15.7 -2.4 -18.6 -17.9 -15.8 -13.0 CRUDE_W -0.1 -1.2 -7.3 -2.9 0.1 -4.0 -3.1 -3.4 -3.3 -3.7 -10.9 -7.9 -7.1 -11.8 -7.1 3.5 9.5 5.1 7.3 -7.1 -9.2 -4.0 -6.2 -5.4 -1.4 -3.9 -0.1 -4.9 -2.8 -3.7 -3.7 7.6 8.6 0.8 -1.6 3.2 -2.2 6.7 -1.1 11.7 DAX 20.0 0.2 7.5 5.3 2.2 5.4 5.8 7.0 6.2 16.4 16.0 18.7 17.8 15.2 17.1 -8.5 -9.7 -8.5 -8.8 20.0 15.9 20.0 16.2 20.0 7.8 5.6 7.5 4.3 10.9 5.0 8.7 -4.8 20.0 20.0 7.6 10.8 20.0 13.6 13.9 3.6 DOW 11.3 6.3 14.0 4.2 1.7 4.3 4.5 5.5 4.9 -12.9 14.5 7.4 15.3 12.5 14.3 -10.6 -10.7 -10.3 -10.2 20.0 20.0 3.5 19.1 15.4 -13.4 5.4 -2.3 5.9 0.4 6.1 3.6 -6.8 -20.0 0.3 11.8 20.0 -2.2 1.4 -14.2 -8.8 DX -0.5 20.0 15.7 -3.7 -0.8 -2.7 -0.3 -1.0 -2.2 6.9 10.7 0.6 9.3 11.0 13.7 5.5 6.5 5.9 6.1 18.5 13.8 2.6 7.0 11.6 -20.0 4.6 0.8 3.3 0.5 1.6 2.8 12.9 -17.0 19.0 20.0 20.0 -3.5 3.6 -2.8 5.4 EUR -3.0 -19.3 -14.8 -3.0 -0.7 -2.2 -0.3 -0.8 -1.8 -2.0 -8.7 0.0 -6.6 -8.2 -10.6 -6.3 -7.0 -6.5 -6.7 -14.3 -10.7 -2.9 -5.4 -10.0 14.5 -4.0 -0.4 -2.9 -0.8 -1.2 -2.8 -9.7 -0.2 -7.2 -9.8 -11.3 1.3 -10.3 0.8 -12.5 EURIBOR-ICE 16.1 1.3 8.0 0.0 0.3 -0.1 2.3 0.3 1.8 4.1 8.0 6.3 7.3 7.4 6.5 5.4 0.5 5.0 3.1 9.2 8.8 9.0 7.7 10.5 10.9 3.1 1.8 3.0 3.1 2.7 3.6 9.8 3.5 3.2 12.9 14.7 -4.3 -13.5 13.5 7.5 EUROSTX 9.9 -7.2 -5.6 5.1 2.1 5.2 5.5 6.7 5.9 13.9 -1.0 15.5 10.4 3.7 -1.6 -4.1 -3.4 -4.0 -4.0 0.0 -2.0 20.0 4.0 10.9 -2.9 -0.1 7.9 -0.7 10.0 2.8 4.9 4.7 20.0 9.0 -18.5 -14.1 5.2 4.3 -11.8 -10.0 FEEDCOW 20.0 20.0 15.9 -1.6 8.6 -4.7 3.1 -8.0 -0.1 6.9 7.4 17.9 -9.0 19.5 20.0 8.4 -3.2 12.0 8.2 20.0 12.9 20.0 -3.4 20.0 -13.7 7.0 3.3 2.6 4.9 -0.5 7.9 3.8 -1.2 20.0 20.0 20.0 17.7 17.5 20.0 20.0 GASOIL -0.8 2.7 -7.4 -2.7 0.1 -3.7 -2.9 -3.2 -3.0 -3.4 -12.9 -11.0 -9.4 -7.9 -6.3 2.2 6.2 2.0 2.6 -6.1 -10.1 -7.8 -8.8 -6.1 4.4 -3.4 -2.1 -5.6 -4.3 -5.2 -3.3 0.1 -7.1 -1.1 -0.1 -7.0 0.0 -7.4 2.3 -11.7 GASOLINE -1.2 -1.3 -4.7 -2.6 0.1 -3.5 -2.7 -3.0 -2.9 5.3 -9.2 -7.8 -3.9 -10.9 -3.7 -7.3 18.7 2.0 12.3 -4.6 -5.6 -2.2 -3.0 -4.0 -20.0 -1.1 1.6 -1.4 -0.8 -0.3 -1.5 20.0 12.0 3.5 0.0 7.5 3.0 8.8 7.6 15.7 GAS_US_mini 7.3 5.8 15.7 -1.9 0.1 -2.6 -2.0 -2.2 -2.1 -6.1 -10.3 -6.9 -12.6 -3.3 -4.4 -4.2 -20.0 -20.0 -20.0 -2.5 -5.0 -3.2 -9.7 -2.1 20.0 -2.5 -1.1 -3.2 -2.8 -4.6 -2.5 -20.0 -14.7 4.7 -2.5 -0.7 -9.9 -15.4 -7.6 -13.0 GBP -1.2 -20.0 -10.5 -4.6 -1.0 -3.4 -0.4 -1.2 -2.7 16.9 -4.4 10.0 5.1 -7.3 -13.1 0.7 -0.1 0.5 0.2 -13.0 -6.4 5.9 2.3 -6.6 -1.1 -4.4 3.9 -1.7 2.3 1.7 -2.1 2.1 19.0 -1.7 -1.7 3.9 5.3 -12.1 18.8 -11.6 GOLD_micro -2.3 -20.0 -4.7 -0.5 3.2 0.1 1.4 -0.1 -0.6 8.0 5.7 2.4 9.3 -3.0 1.3 -9.2 -12.8 -11.1 -11.8 1.4 7.2 3.7 11.3 -0.4 -10.0 0.8 3.8 3.3 1.3 5.0 -0.2 -12.1 0.3 1.4 2.3 9.0 20.0 3.5 20.0 8.5 HEATOIL -3.6 1.5 -5.5 -2.5 0.1 -3.4 -2.7 -3.0 -2.8 -0.4 -13.0 -10.8 -11.7 -12.3 -9.0 3.1 2.7 -0.4 -1.1 -7.2 -9.8 -7.3 -9.4 -7.6 -20.0 -3.2 -0.6 -4.1 -4.2 -4.1 -4.3 -6.6 -3.3 -4.1 -1.7 1.1 -1.0 2.2 1.2 3.0 JGB-SGX-mini -9.2 -20.0 -4.2 0.1 0.3 -0.1 2.8 0.4 2.2 -9.4 -1.2 -10.5 1.0 -11.3 -9.3 18.1 13.9 15.7 14.7 -10.6 -5.1 -6.4 -0.8 -10.5 -12.9 -3.5 -1.8 -1.9 -2.2 -0.9 -3.4 20.0 -17.6 -20.0 -12.1 -3.9 -20.0 -16.6 -20.0 -12.4 JPY 16.3 -11.0 -5.2 -2.2 -0.5 -1.6 -0.2 -0.6 -1.3 -5.1 -3.3 4.9 -4.9 1.2 -5.5 -10.4 -13.4 -10.8 -11.7 -3.8 -4.7 1.6 -5.6 1.0 20.0 -1.1 -1.8 -1.3 0.6 -1.8 0.5 -19.6 3.0 10.1 3.9 -1.9 -11.3 -20.0 -8.3 -20.0 LEANHOG -6.1 8.4 20.0 -1.6 8.9 -4.9 3.2 -8.2 -0.1 -19.2 12.8 3.7 5.7 14.3 20.0 -20.0 6.6 -13.1 6.6 20.0 18.9 -4.3 5.9 10.9 -0.9 8.4 -6.5 6.8 1.1 2.8 6.2 13.9 -12.2 13.2 20.0 20.0 6.7 -5.9 11.3 0.1 LIVECOW 0.6 -6.8 11.5 -1.7 9.4 -5.2 3.4 -8.7 -0.1 11.9 20.0 8.8 18.5 1.5 19.5 -4.0 4.2 -3.9 0.8 10.8 16.2 3.7 17.4 5.0 -20.0 4.6 8.4 6.3 2.8 8.0 3.0 4.8 5.5 16.4 4.5 15.4 -4.2 19.0 1.6 20.0 LUMBER-new -13.5 18.0 17.8 -1.3 6.9 -3.8 2.5 -6.1 -0.1 -17.2 6.6 -16.1 -3.9 3.8 11.8 -19.8 -18.8 -19.8 -19.2 12.2 10.0 -15.3 -0.8 -0.3 NaN 3.8 -7.1 3.6 -6.0 0.3 -1.0 -20.0 -20.0 -15.7 20.0 19.7 13.0 4.1 20.0 11.7 MILK -1.1 -20.0 -4.4 -0.9 4.9 -2.7 1.8 -4.6 -0.0 9.6 3.2 2.6 6.0 -9.2 -9.4 -4.9 -3.2 5.7 5.7 -10.5 -2.0 3.9 4.2 -6.4 14.1 -3.1 1.8 -0.8 1.4 0.7 -1.5 1.6 12.2 -0.6 -18.6 -5.3 -9.6 -20.0 -4.9 -20.0 MXP 7.3 -0.1 -11.7 -3.4 -0.7 -2.5 -0.3 -0.9 -2.0 12.5 -13.5 9.8 -11.7 -3.3 -9.7 11.6 13.2 11.6 11.8 -7.9 -14.2 5.8 -12.4 -0.3 -20.0 -3.9 3.8 -6.8 3.0 -5.7 -0.1 20.0 10.4 10.3 5.0 -8.7 14.8 20.0 20.0 20.0 NASDAQ_micro 10.1 8.8 14.9 4.1 1.7 4.2 4.5 5.4 4.8 7.6 13.0 11.8 13.4 12.8 14.2 -10.7 -9.9 -9.8 -9.6 17.6 16.6 15.1 18.6 17.9 -20.0 5.3 0.9 5.8 3.7 7.6 4.9 -5.5 -0.8 -3.5 6.7 9.4 10.1 4.4 -3.8 -7.8 NIKKEI 1.2 2.7 6.3 4.2 1.7 4.3 4.6 5.6 5.0 10.5 6.7 9.1 7.7 4.2 10.8 8.3 7.0 5.1 5.3 4.7 4.7 10.4 8.9 6.8 -9.8 1.1 5.1 -0.5 5.9 2.7 3.7 20.0 5.7 -7.9 -7.8 -11.1 20.0 13.6 20.0 16.8 NZD -0.2 -16.3 -9.0 -3.3 -0.7 -2.4 -0.3 -0.9 -2.0 -10.1 -9.9 -9.6 -4.9 -12.2 -12.7 -1.5 -0.5 -1.1 -0.8 -11.7 -8.4 -8.0 -4.2 -9.9 1.9 -4.3 -4.5 -2.9 -3.2 -1.3 -3.7 1.0 -8.8 -7.1 -3.9 -0.5 -5.0 -4.7 -4.7 -0.5 OAT 19.3 -1.2 0.3 0.1 0.4 -0.1 3.6 0.5 2.8 12.8 2.8 15.0 -1.9 10.8 0.5 -6.1 4.0 1.6 3.1 4.6 0.4 14.6 -1.6 12.4 4.3 2.6 3.6 0.9 6.6 0.5 5.8 12.9 5.8 3.0 10.0 6.6 -1.9 -14.2 17.5 5.9 OATIES -8.8 -10.8 20.0 -0.7 3.8 -2.1 1.4 -3.5 -0.0 -8.9 0.6 -7.3 -5.7 -7.2 3.8 -17.7 -0.9 -8.5 -3.4 -0.5 1.8 -6.1 -0.4 -4.0 -20.0 -1.1 -4.2 0.4 -3.5 0.0 -2.9 -3.6 -12.9 -7.0 -6.2 10.2 20.0 5.4 20.0 13.9 OJ 16.6 5.3 11.8 -1.5 8.0 -4.4 2.9 -7.4 -0.1 -2.8 20.0 16.2 20.0 18.4 20.0 20.0 14.5 18.6 15.6 20.0 20.0 10.7 20.0 20.0 -20.0 7.6 0.7 7.6 4.5 10.8 7.7 20.0 1.6 20.0 20.0 20.0 17.2 9.0 20.0 20.0 PALLAD -6.2 -9.9 11.7 -0.4 2.7 0.1 1.2 -0.1 -0.5 0.3 -0.8 -3.0 -3.5 -7.0 -3.9 -2.0 -2.1 -2.1 -2.0 -3.3 -0.6 -3.2 -2.4 -5.1 14.1 -0.8 -0.4 0.4 -1.5 -0.4 -2.0 5.6 -10.1 -2.9 -1.1 0.9 -15.2 -20.0 -20.0 -20.0 PLAT -7.3 -11.2 0.5 -0.7 4.4 0.1 1.9 -0.1 -0.8 2.9 -8.2 -6.5 -4.1 -11.9 -7.6 -4.6 -4.4 -4.4 -4.5 -7.5 -3.7 -4.4 -1.6 -8.4 5.9 -3.9 -0.7 -1.9 -3.7 -0.8 -5.3 1.4 -16.4 -14.2 -9.9 -9.9 8.5 -8.6 2.2 -2.4 REDWHEAT -3.8 -12.0 2.3 -1.5 7.9 -4.4 2.9 -7.4 -0.1 18.1 -19.8 -0.8 -20.0 -15.6 -16.2 -10.7 -8.1 -10.6 -10.0 -17.1 -17.3 2.4 -20.0 -12.3 -3.4 -6.5 7.9 -6.3 1.6 -6.9 -4.4 -16.3 6.2 -10.2 -20.0 -12.4 -20.0 -20.0 -18.0 -20.0 RICE 8.7 -4.8 -7.2 -1.4 7.5 -4.1 2.7 -7.0 -0.1 -12.4 0.1 7.6 8.3 7.3 -2.3 -8.8 16.0 -7.2 4.5 -2.5 -3.8 -0.2 2.4 1.6 -15.0 -3.5 -3.1 -3.6 -1.6 -0.8 -1.3 19.8 -6.5 14.3 -9.9 -12.5 -10.6 -20.0 -10.9 -20.0 ROBUSTA 12.7 -14.0 -19.0 -0.5 2.9 -1.6 1.1 -2.7 -0.0 2.0 5.7 2.0 7.0 2.6 3.3 4.1 20.0 12.2 18.8 5.9 6.7 6.3 9.0 6.4 -20.0 2.2 1.5 2.5 1.7 3.8 2.3 20.0 3.9 20.0 10.3 13.7 5.6 1.8 9.7 8.1 RUSSELL 7.9 11.3 11.7 4.0 1.6 4.1 4.3 5.3 4.6 -12.5 11.8 5.1 12.8 10.5 12.1 -6.2 -6.3 -6.2 -6.1 16.0 14.8 1.5 12.1 11.3 0.9 4.9 -1.3 5.2 0.3 4.9 3.1 0.5 -20.0 -6.6 16.3 14.5 -7.6 -12.0 -20.0 -20.0 SHATZ 11.0 -3.0 11.5 0.0 0.3 -0.1 2.2 0.3 1.7 -3.4 5.9 1.8 0.8 4.1 2.6 -20.0 -20.0 -20.0 -20.0 4.5 4.7 2.6 1.9 4.6 5.8 2.2 0.4 2.5 1.3 1.6 2.2 -20.0 -6.3 -3.2 6.9 10.0 -7.5 -14.1 3.4 -4.7 SILVER-mini -2.7 -10.8 3.4 -0.7 4.6 0.1 1.9 -0.1 -0.8 13.4 3.2 10.4 8.5 -8.2 -0.3 -5.7 -6.3 -5.9 -6.0 -0.3 4.6 10.0 8.9 1.0 -3.0 0.8 8.3 2.6 5.0 4.2 1.2 -1.4 10.2 5.7 4.9 6.0 6.6 -2.0 -0.8 7.3 SMI -0.9 -19.1 -14.2 4.1 1.7 4.2 4.4 5.4 4.8 -7.9 -0.3 0.7 8.8 -8.7 -9.1 0.6 0.4 0.3 -0.1 -9.1 -4.5 -3.6 3.6 -6.1 8.8 -3.4 -4.5 -0.5 -1.7 3.7 -2.6 11.2 -12.5 -14.9 -20.0 -20.0 -6.4 1.7 -17.1 -9.9 SOFR 18.0 -19.7 -17.6 0.1 0.4 -0.1 3.6 0.5 2.8 -0.8 -2.0 11.4 2.8 -3.0 -10.5 -0.9 -0.0 0.1 0.3 -9.4 -7.6 6.7 -1.6 0.9 -6.2 -3.6 -0.3 -2.9 0.8 -0.6 -1.0 7.1 -13.9 -13.0 -18.5 -17.4 -1.3 -6.8 16.4 14.9 SOYBEAN -6.0 -4.1 -12.4 -1.3 7.0 -3.9 2.5 -6.5 -0.1 3.0 -18.5 -12.1 -18.1 -16.6 -17.1 -1.6 0.3 -2.1 -2.4 -18.3 -20.0 -6.0 -20.0 -13.2 -20.0 -7.1 1.3 -8.9 -2.0 -9.8 -5.1 -3.1 -3.1 -19.7 -19.5 -16.3 3.1 -6.9 7.7 -1.4 SOYMEAL 4.8 -13.2 -8.3 -1.2 6.7 -3.7 2.4 -6.3 -0.1 -1.2 -18.1 -4.8 -17.9 -15.6 -17.8 -12.6 -0.7 -8.4 -5.1 -17.2 -20.0 -2.5 -20.0 -10.3 -20.0 -5.9 1.9 -6.3 -0.1 -5.7 -3.2 -5.7 3.1 -4.8 -20.0 -14.6 -20.0 -20.0 -20.0 -20.0 SOYOIL -20.0 3.9 13.6 -0.5 2.8 -1.5 1.0 -2.6 -0.0 5.0 -1.2 -3.6 -5.6 -5.0 -1.0 -3.2 0.1 -1.9 -0.9 -1.2 -0.7 -1.1 -3.1 -3.1 -14.4 -0.4 0.3 0.0 -1.1 -0.8 -1.6 -1.6 -2.7 -15.9 -0.1 4.9 4.0 -5.5 11.3 0.3 SP400 8.8 10.0 12.5 4.3 1.8 4.4 4.7 5.7 5.0 -14.3 12.9 2.8 14.8 9.5 12.8 -7.8 -6.7 -7.5 -7.0 18.5 17.2 0.2 15.0 12.8 -10.9 5.4 -2.1 5.5 0.3 5.4 3.6 -0.5 -20.0 -1.9 16.4 18.8 -3.4 -6.6 -18.4 -20.0 SP500_micro 11.2 6.4 19.7 5.5 2.3 5.7 6.0 7.3 6.5 1.9 20.0 15.9 20.0 19.1 20.0 -12.8 -11.9 -11.9 -11.6 20.0 20.0 12.7 20.0 20.0 -20.0 7.4 -1.7 9.1 2.2 11.4 5.4 -9.1 -19.6 -3.5 9.7 20.0 3.9 4.1 -13.5 -11.0 SUGAR11 -8.0 -7.2 19.8 -1.2 6.6 -3.6 2.4 -6.1 -0.0 -11.6 7.2 -10.9 -5.7 -12.8 6.9 20.0 20.0 20.0 20.0 1.1 5.6 -5.9 2.1 -5.0 -20.0 3.0 -3.1 3.6 1.0 1.1 1.7 20.0 3.6 6.6 -1.9 20.0 -20.0 1.5 -20.0 5.2 US10 19.1 -16.6 -14.4 0.1 0.3 -0.1 2.6 0.4 2.0 -1.0 -3.2 8.1 -0.1 -1.3 -7.3 -3.1 -6.2 -4.2 -5.2 -6.0 -5.8 5.1 -3.1 1.5 1.7 -2.4 -0.4 -2.1 0.8 -0.7 -0.4 -3.1 -9.9 -8.1 -11.4 -12.1 -6.1 -16.7 8.1 9.0 US10U 18.8 -13.1 -12.0 0.1 0.4 -0.1 3.3 0.4 2.6 -3.5 -4.0 10.4 -0.2 -0.1 -8.7 -4.3 -3.7 -4.3 -4.2 -5.8 -6.1 6.1 -3.8 2.7 -1.5 -2.9 -0.6 -2.6 1.2 -1.0 -0.1 -0.4 -11.9 -9.9 -11.9 -14.1 -4.1 -11.9 17.3 16.2 US2 13.2 -20.0 -13.8 0.1 0.3 -0.1 2.9 0.4 2.3 4.4 -4.6 9.1 -3.1 -4.3 -9.6 -15.4 -20.0 -19.0 -20.0 -12.0 -9.5 5.8 -6.3 -2.5 17.9 -3.0 0.1 -2.0 0.7 -0.7 -1.1 -20.0 -6.4 -13.3 -17.0 -11.7 -8.7 -16.3 0.8 -7.4 US20 17.6 -10.5 -12.5 0.0 0.3 -0.1 2.4 0.3 1.9 -1.1 -2.8 7.4 1.7 0.9 -6.3 -1.0 -1.3 -1.5 -1.4 -3.4 -4.0 4.6 -2.3 2.7 -3.2 -2.2 -0.8 -1.9 0.6 -0.6 -0.2 4.6 -10.3 -9.2 -7.6 -10.3 -0.7 -7.5 20.0 18.3 US30 16.0 -6.7 -9.3 0.0 0.3 -0.1 2.5 0.3 2.0 -3.1 -3.7 7.7 0.2 2.3 -6.0 -4.2 -4.3 -3.3 -3.7 -2.5 -3.6 4.3 -2.8 3.0 -2.2 -1.9 -0.9 -2.0 1.0 -0.8 0.3 -0.1 -9.4 -9.4 -4.7 -8.6 -0.8 -7.3 20.0 16.4 US5 17.7 -20.0 -15.7 0.1 0.3 -0.1 3.0 0.4 2.4 -2.9 -4.3 9.4 -2.4 -3.6 -9.5 -4.9 -9.4 -6.7 -8.1 -9.8 -8.4 5.1 -4.6 -0.6 7.2 -2.9 -0.1 -2.3 1.0 -0.8 -0.5 -8.4 -8.6 -9.7 -14.6 -13.9 -3.8 -13.6 9.2 6.1 VIX -5.2 -12.2 -5.2 -3.7 2.6 -2.1 0.5 -3.7 -3.0 11.6 -15.3 -5.1 -15.3 -16.8 -17.8 -20.0 -20.0 -17.5 -19.0 -11.6 -7.9 -2.4 -11.7 -10.4 NaN -4.4 2.1 -2.3 -0.2 -4.3 -3.9 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -6.7 -11.7 1.4 -1.5 8.3 -4.6 3.0 -7.7 -0.1 17.1 -19.0 -7.3 -18.8 -18.0 -14.3 -14.6 -14.5 -14.1 -14.3 -19.1 -18.3 -2.9 -20.0 -16.2 5.6 -7.2 5.0 -6.4 -0.6 -6.3 -5.9 -20.0 1.6 -20.0 -20.0 -14.0 -20.0 -20.0 -15.6 -18.2 End of report for caleb_strategy_v3