******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241211_204446 produced at 2024-12-11 21:41:17.370184 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.45 -1.26 0.0 0.51 -0.51 -0.45 -0.48 -39.49 16.0 -14 -15 caleb_strategy_v3 SOFR False True 0.08 0.00 -0.90 0.0 0.00 0.00 0.00 0.00 -10.93 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.17 -0.24 0.0 999.00 -999.00 -0.17 -0.17 -41.00 999999999.0 -30 -30 caleb_strategy_v3 US2 False True 0.07 0.00 -0.19 0.0 0.00 0.00 0.00 0.00 -2.69 13.0 0 0 caleb_strategy_v3 CAD False False 0.02 -0.10 -0.17 0.0 0.70 -0.70 -0.10 -0.14 -6.90 29.0 -4 -6 caleb_strategy_v3 CHF False False 0.05 -0.34 -0.10 0.0 0.63 -0.63 -0.34 -0.39 -2.13 13.0 -7 -8 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.06 0.0 0.13 -0.13 -0.06 -0.06 -4.66 11.0 -5 -5 caleb_strategy_v3 EUR False False 0.04 -0.09 -0.06 0.0 0.63 -0.63 -0.09 -0.04 -1.28 14.0 -2 -1 caleb_strategy_v3 COPPER False False 0.04 -0.11 -0.05 0.0 999.00 -999.00 -0.11 -0.07 -1.39 999999999.0 -3 -2 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.05 0.0 0.09 -0.09 -0.05 -0.05 -6.16 12.0 -7 -7 caleb_strategy_v3 US5 False False 0.04 -0.15 -0.05 0.0 0.91 -0.91 -0.15 -0.22 -1.49 25.0 -4 -6 caleb_strategy_v3 AUD False False 0.02 -0.04 -0.05 0.0 0.41 -0.41 -0.04 -0.04 -2.31 19.0 -2 -2 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.04 0.0 0.10 -0.10 -0.06 -0.06 -1.23 3.0 -2 -2 caleb_strategy_v3 RICE False True 0.01 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -3.51 4.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.04 0.0 0.41 -0.41 0.00 0.00 -2.23 21.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.66 9.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.89 24.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.03 0.0 0.09 -0.09 -0.01 -0.01 -2.49 9.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.03 0.0 0.64 -0.64 0.00 0.00 -0.80 17.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.03 0.0 0.12 -0.12 -0.05 -0.03 -1.68 7.0 -3 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.03 0.0 0.09 -0.09 -0.03 -0.03 -2.89 9.0 -3 -3 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.03 0.0 0.15 -0.15 -0.02 -0.01 -8.57 51.0 -7 -4 caleb_strategy_v3 CAC True False 0.03 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -1.09 12.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.02 0.0 0.16 -0.16 0.00 -0.02 -1.24 10.0 0 -1 caleb_strategy_v3 GASOIL False False 0.02 -0.05 -0.02 0.0 0.09 -0.09 -0.05 -0.05 -0.73 4.0 -2 -2 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.02 0.0 0.07 -0.07 -0.02 -0.02 -6.86 26.0 -8 -7 caleb_strategy_v3 US10U False False 0.04 -0.04 -0.02 0.0 0.50 -0.50 -0.04 -0.04 -0.48 13.0 -1 -1 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.02 0.0 0.48 -0.48 -0.03 -0.03 -0.73 17.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.04 -2.50 8.0 -4 -4 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.07 -0.07 0.00 0.00 -0.16 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 -0.46 22.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.54 2.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.14 9.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 -0.02 -0.01 0.0 0.11 -0.11 -0.02 0.00 -0.25 5.0 -1 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.00 0.0 0.49 -0.49 0.00 0.00 0.02 10.0 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 -0.46 3.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.00 0.0 0.07 -0.07 0.00 0.00 -0.29 5.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.31 18.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.03 0.00 0.0 0.52 -0.52 -0.03 -0.01 0.46 56.0 -3 -1 caleb_strategy_v3 GASOLINE False False 0.03 -0.03 -0.00 0.0 999.00 -999.00 -0.03 0.00 -0.05 999999999.0 -1 0 caleb_strategy_v3 US30 False False 0.04 -0.04 -0.00 0.0 0.26 -0.26 -0.04 -0.04 -0.10 6.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.50 10.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.00 0.0 0.40 -0.40 0.00 0.00 0.16 23.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 0.01 0.0 0.20 -0.20 0.00 0.00 0.12 4.0 0 0 caleb_strategy_v3 SP400 False True 0.11 0.22 0.01 0.0 0.22 0.00 0.22 0.22 0.07 2.0 2 2 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.41 999999999.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 -0.02 0.01 0.0 0.36 -0.36 -0.02 0.00 0.80 20.0 -1 0 caleb_strategy_v3 DOW False False 0.01 0.01 0.01 0.0 0.50 -0.50 0.01 0.01 1.06 66.0 1 1 caleb_strategy_v3 COFFEE False False 0.04 0.00 0.01 0.0 0.24 -0.24 0.00 0.04 0.14 6.0 0 1 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.28 -0.28 0.00 0.00 3.87 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 NASDAQ_micro False True 0.01 0.04 0.02 0.0 0.04 0.00 0.04 0.04 1.14 23.0 3 3 caleb_strategy_v3 SP500_micro False False 0.01 0.01 0.02 0.0 0.50 -0.50 0.01 0.02 2.05 48.0 1 2 caleb_strategy_v3 COCOA False False 0.04 0.07 0.03 0.0 0.93 -0.93 0.07 0.07 0.89 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 1.71 3.0 1 1 caleb_strategy_v3 MXP False False 0.01 -0.01 0.05 0.0 0.50 -0.50 -0.01 0.00 5.72 60.0 -1 0 caleb_strategy_v3 LEANHOG False False 0.01 0.08 0.05 0.0 0.16 -0.16 0.08 0.06 3.96 13.0 7 5 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.05 0.0 0.00 0.00 0.00 0.00 14.56 59.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 0.07 0.0 999.00 -999.00 0.00 0.00 1.99 999999999.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.07 0.0 0.44 -0.44 0.03 0.00 2.76 17.0 1 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.18 0.10 0.0 0.35 -0.35 0.18 0.18 2.34 8.0 4 4 caleb_strategy_v3 OAT False False 0.05 0.14 0.12 0.0 0.45 -0.45 0.14 0.14 2.72 10.0 3 3 caleb_strategy_v3 DAX False False 0.01 0.07 0.14 0.0 0.43 -0.43 0.07 0.05 18.33 58.0 10 7 caleb_strategy_v3 BTP False False 0.04 0.18 0.17 0.0 0.44 -0.44 0.18 0.18 3.84 10.0 4 4 caleb_strategy_v3 NIKKEI False False 0.01 0.09 0.17 0.0 0.32 -0.32 0.09 0.12 19.10 36.0 10 13 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 1.49 0.0 0.88 -0.88 0.00 0.00 16.92 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 15.4 Shocked risk 43.1 Sum abs risk 44.9 Leverage 6.40 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2938131.99, 'annual_cash_vol_target': 734532.9975, 'daily_cash_vol_target': 45908.31234375} ====================================================================== Vol calculation ====================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6372 0.6776 10.8420 BITCOIN 2288.5284 101940.0000 2.2450 35.9196 BOBL 0.2222 118.8600 0.1870 2.9913 BTP 0.4553 122.9400 0.3704 5.9256 BUND 0.4331 135.8000 0.3189 5.1030 BUXL 1.0787 138.1000 0.7811 12.4973 CAC 60.1936 7455.0000 0.8074 12.9188 CAD 0.0028 0.7088 0.3977 6.3633 CANOLA 9.3901 631.8000 1.4862 23.7799 CHF 0.0053 1.1422 0.4647 7.4346 COCOA 187.0695 10507.0000 1.7804 28.4868 COFFEE 6.8031 317.3000 2.1441 34.3051 COPPER 0.0515 4.2640 1.2084 19.3342 CORN 3.8221 443.7500 0.8613 13.7812 COTTON2 0.8437 70.1900 1.2021 19.2328 CRUDE_W 1.0094 67.5500 1.4942 23.9080 DAX 138.2819 20629.0000 0.6703 10.7252 DOW 273.4983 44758.0000 0.6111 9.7770 DX 0.4061 106.4100 0.3816 6.1060 EUR 0.0053 1.0536 0.5032 8.0506 EURIBOR-ICE 0.0417 98.1500 0.0425 0.6804 EUROSTX 40.0413 4978.0000 0.8044 12.8698 FEEDCOW 1.6495 259.3500 0.6360 10.1760 GASOIL 10.3297 670.7500 1.5400 24.6404 GASOLINE 0.0351 2.0172 1.7413 27.8603 GAS_US_mini 0.1153 3.1350 3.6764 58.8222 GBP 0.0063 1.2737 0.4931 7.8903 GOLD_micro 24.2982 2753.3000 0.8825 14.1202 HEATOIL 0.0371 2.2249 1.6682 26.6912 JGB-SGX-mini 0.1954 142.2400 0.1374 2.1978 JPY 0.0000 0.0066 0.7032 11.2512 LEANHOG 1.1545 88.1750 1.3093 20.9484 LIVECOW 1.1426 191.4500 0.5968 9.5487 LUMBER-new 7.4786 593.5000 1.2601 20.1613 MILK 0.2478 19.5700 1.2663 20.2606 MXP 0.0004 0.0490 0.7660 12.2556 NASDAQ_micro 164.9061 21797.7500 0.7565 12.1045 NIKKEI 382.7678 40105.0000 0.9544 15.2706 NZD 0.0040 0.5792 0.6874 10.9978 OAT 0.4017 126.0300 0.3187 5.0995 OATIES 6.7941 358.7500 1.8938 30.3012 OJ 6.5213 484.2500 1.3467 21.5469 PALLAD 24.8924 1008.5000 2.4683 39.4922 PLAT 13.6149 950.8000 1.4319 22.9111 REDWHEAT 8.1846 573.5000 1.4271 22.8342 RICE 0.1326 15.1300 0.8766 14.0255 ROBUSTA 126.1856 5101.0000 2.4737 39.5799 RUSSELL 24.3403 2438.4000 0.9982 15.9713 SHATZ 0.0793 107.2700 0.0739 1.1831 SILVER-mini 0.4753 32.8375 1.4474 23.1589 SMI 81.5408 11694.0000 0.6973 11.1566 SOFR 0.0549 96.3150 0.0570 0.9114 SOYBEAN 8.4399 1014.5000 0.8319 13.3109 SOYMEAL 3.4238 303.1000 1.1296 18.0737 SOYOIL 0.7869 42.9500 1.8322 29.3145 SP400 26.9814 3301.4000 0.8173 13.0763 SP500_micro 33.0132 6098.2500 0.5414 8.6617 SUGAR11 0.2824 19.8300 1.4240 22.7839 US10 0.3636 110.7031 0.3284 5.2547 US10U 0.5214 114.0469 0.4572 7.3149 US2 0.0857 103.0625 0.0832 1.3308 US20 0.7678 118.1562 0.6498 10.3975 US30 1.2372 125.0625 0.9893 15.8288 US5 0.2230 107.3438 0.2078 3.3241 VIX 0.4641 17.0000 2.7303 43.6846 WHEAT 7.1642 606.7500 1.1808 18.8921 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 637.15 0.68 431.75 1.00 431.75 45908.31 106.33 -8.36 -88.91 BITCOIN 101.94 2.24 228.85 1.00 228.85 45908.31 200.60 6.70 134.46 BOBL 1188.60 0.19 222.22 1.06 234.75 45908.31 195.56 2.65 51.81 BTP 1229.40 0.37 455.31 1.06 480.99 45908.31 95.45 11.81 112.72 BUND 1358.00 0.32 433.12 1.06 457.55 45908.31 100.34 0.21 2.07 BUXL 1381.00 0.78 1078.67 1.06 1139.51 45908.31 40.29 2.95 11.88 CAC 745.50 0.81 601.94 1.06 635.88 45908.31 72.20 -4.43 -32.01 CAD 708.80 0.40 281.90 1.00 281.90 45908.31 162.86 -16.33 -266.01 CANOLA 126.36 1.49 187.80 0.71 132.54 45908.31 346.37 -10.18 -352.44 CHF 1427.81 0.46 663.45 1.00 663.45 45908.31 69.20 -11.85 -81.98 COCOA 1050.70 1.78 1870.70 1.00 1870.70 45908.31 24.54 16.93 41.54 COFFEE 1189.88 2.14 2551.18 1.00 2551.18 45908.31 17.99 6.59 11.86 COPPER 1066.00 1.21 1288.14 1.00 1288.14 45908.31 35.64 -3.61 -12.85 CORN 221.88 0.86 191.11 1.00 191.11 45908.31 240.22 -10.55 -253.40 COTTON2 350.95 1.20 421.86 1.00 421.86 45908.31 108.82 -20.00 -217.65 CRUDE_W 675.50 1.49 1009.36 1.00 1009.36 45908.31 45.48 -0.51 -2.30 DAX 206.29 0.67 138.28 1.06 146.08 45908.31 314.27 17.10 537.47 DOW 223.79 0.61 136.75 1.00 136.75 45908.31 335.71 1.36 45.75 DX 1064.10 0.38 406.09 1.00 406.09 45908.31 113.05 6.77 76.52 EUR 1317.00 0.50 662.67 1.00 662.67 45908.31 69.28 -7.12 -49.34 EURIBOR-ICE 2453.75 0.04 104.35 1.06 110.23 45908.31 416.47 11.91 496.19 EUROSTX 497.80 0.80 400.41 1.06 423.00 45908.31 108.53 2.16 23.44 FEEDCOW 1296.75 0.64 824.73 1.00 824.73 45908.31 55.66 12.66 70.50 GASOIL 670.75 1.54 1032.97 1.00 1032.97 45908.31 44.44 -3.76 -16.73 GASOLINE 847.22 1.74 1475.25 1.00 1475.25 45908.31 31.12 -0.37 -1.15 GAS_US_mini 78.37 3.68 288.14 1.00 288.14 45908.31 159.33 -3.98 -63.38 GBP 796.06 0.49 392.57 1.00 392.57 45908.31 116.94 -1.53 -17.85 GOLD_micro 275.33 0.88 242.98 1.00 242.98 45908.31 188.94 0.71 13.41 HEATOIL 934.46 1.67 1558.87 1.00 1558.87 45908.31 29.45 -9.66 -28.45 JGB-SGX-mini 142240.00 0.14 19538.89 0.01 129.19 45908.31 355.34 -10.26 -364.72 JPY 828.50 0.70 582.60 1.00 582.60 45908.31 78.80 -3.58 -28.21 LEANHOG 352.70 1.31 461.78 1.00 461.78 45908.31 99.42 6.56 65.20 LIVECOW 765.80 0.60 457.02 1.00 457.02 45908.31 100.45 8.30 83.38 LUMBER-new 163.21 1.26 205.66 1.00 205.66 45908.31 223.22 -0.96 -21.45 MILK 391.40 1.27 495.62 1.00 495.62 45908.31 92.63 -1.47 -13.65 MXP 244.85 0.77 187.55 1.00 187.55 45908.31 244.78 1.59 38.98 NASDAQ_micro 435.96 0.76 329.81 1.00 329.81 45908.31 139.20 3.52 48.95 NIKKEI 40105.00 0.95 38276.78 0.01 253.09 45908.31 181.39 9.73 176.41 NZD 579.15 0.69 398.09 1.00 398.09 45908.31 115.32 -7.44 -85.80 OAT 1260.30 0.32 401.68 1.06 424.34 45908.31 108.19 7.38 79.86 OATIES 179.38 1.89 339.71 1.00 339.71 45908.31 135.14 -4.68 -63.21 OJ 726.38 1.35 978.20 1.00 978.20 45908.31 46.93 17.04 79.96 PALLAD 1008.50 2.47 2489.24 1.00 2489.24 45908.31 18.44 -2.55 -4.70 PLAT 475.40 1.43 680.75 1.00 680.75 45908.31 67.44 -5.40 -36.40 REDWHEAT 286.75 1.43 409.23 1.00 409.23 45908.31 112.18 -16.79 -188.39 RICE 302.60 0.88 265.26 1.00 265.26 45908.31 173.07 -8.34 -144.39 ROBUSTA 510.10 2.47 1261.86 1.00 1261.86 45908.31 36.38 3.70 13.47 RUSSELL 121.92 1.00 121.70 1.00 121.70 45908.31 377.22 3.10 116.86 SHATZ 1072.70 0.07 79.32 1.06 83.79 45908.31 547.89 -1.60 -87.80 SILVER-mini 820.94 1.45 1188.25 1.00 1188.25 45908.31 38.64 3.12 12.07 SMI 1169.40 0.70 815.41 1.14 929.28 45908.31 49.40 -3.94 -19.48 SOFR 2407.88 0.06 137.16 1.00 137.16 45908.31 334.71 -5.37 -179.80 SOYBEAN 507.25 0.83 422.00 1.00 422.00 45908.31 108.79 -16.63 -180.89 SOYMEAL 303.10 1.13 342.38 1.00 342.38 45908.31 134.08 -20.00 -268.17 SOYOIL 257.70 1.83 472.15 1.00 472.15 45908.31 97.23 -5.47 -53.21 SP400 3301.40 0.82 2698.14 1.00 2698.14 45908.31 17.01 1.22 2.08 SP500_micro 304.91 0.54 165.07 1.00 165.07 45908.31 278.12 3.17 88.06 SUGAR11 222.10 1.42 316.26 1.00 316.26 45908.31 145.16 -1.01 -14.70 US10 1107.03 0.33 363.57 1.00 363.57 45908.31 126.27 -5.02 -63.34 US10U 1140.47 0.46 521.40 1.00 521.40 45908.31 88.05 -4.33 -38.13 US2 2061.25 0.08 171.45 1.00 171.45 45908.31 267.77 -7.93 -212.23 US20 1181.56 0.65 767.83 1.00 767.83 45908.31 59.79 -1.85 -11.08 US30 1250.62 0.99 1237.25 1.00 1237.25 45908.31 37.11 -2.15 -7.99 US5 1073.44 0.21 223.02 1.00 223.02 45908.31 205.85 -5.71 -117.59 VIX 170.00 2.73 464.15 1.00 464.15 45908.31 98.91 -16.79 -166.12 WHEAT 303.38 1.18 358.21 1.00 358.21 45908.31 128.16 -17.01 -217.99 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -88.911 0.010 2.5 -2.307 BITCOIN 134.458 0.043 2.5 14.560 BOBL 51.814 0.004 2.5 0.525 BTP 112.722 0.014 2.5 3.845 BUND 2.068 0.004 2.5 0.021 BUXL 11.882 0.004 2.5 0.120 CAC -32.010 0.014 2.5 -1.092 CAD -266.013 0.010 2.5 -6.902 CANOLA -352.442 0.010 2.5 -8.574 CHF -81.982 0.010 2.5 -2.127 COCOA 41.538 0.009 2.5 0.890 COFFEE 11.855 0.005 2.5 0.138 COPPER -12.851 0.043 2.5 -1.392 CORN -253.404 0.010 2.5 -6.165 COTTON2 -217.647 0.009 2.5 -4.661 CRUDE_W -2.301 0.043 2.5 -0.249 DAX 537.472 0.014 2.5 18.332 DOW 45.752 0.009 2.5 1.063 DX 76.520 0.010 2.5 1.985 EUR -49.336 0.010 2.5 -1.280 EURIBOR-ICE 496.192 0.014 2.5 16.924 EUROSTX 23.438 0.014 2.5 0.799 FEEDCOW 70.497 0.013 2.5 2.336 GASOIL -16.725 0.017 2.5 -0.725 GASOLINE -1.150 0.017 2.5 -0.050 GAS_US_mini -63.382 0.043 2.5 -6.863 GBP -17.846 0.010 2.5 -0.463 GOLD_micro 13.411 0.014 2.5 0.457 HEATOIL -28.450 0.017 2.5 -1.233 JGB-SGX-mini -364.720 0.043 2.5 -39.494 JPY -28.211 0.010 2.5 -0.732 LEANHOG 65.205 0.024 2.5 3.963 LIVECOW 83.379 0.013 2.5 2.763 LUMBER-new -21.453 0.009 2.5 -0.459 MILK -13.653 0.009 2.5 -0.292 MXP 38.982 0.059 2.5 5.721 NASDAQ_micro 48.949 0.009 2.5 1.138 NIKKEI 176.415 0.043 2.5 19.103 NZD -85.798 0.010 2.5 -2.226 OAT 79.861 0.014 2.5 2.724 OATIES -63.210 0.010 2.5 -1.538 OJ 79.959 0.009 2.5 1.712 PALLAD -4.698 0.014 2.5 -0.160 PLAT -36.402 0.014 2.5 -1.242 REDWHEAT -188.391 0.005 2.5 -2.499 RICE -144.391 0.010 2.5 -3.513 ROBUSTA 13.473 0.005 2.5 0.157 RUSSELL 116.859 0.013 2.5 3.872 SHATZ -87.801 0.004 2.5 -0.890 SILVER-mini 12.066 0.014 2.5 0.412 SMI -19.481 0.014 2.5 -0.664 SOFR -179.804 0.024 2.5 -10.927 SOYBEAN -180.893 0.004 2.5 -1.682 SOYMEAL -268.169 0.004 2.5 -2.494 SOYOIL -53.212 0.004 2.5 -0.495 SP400 2.082 0.013 2.5 0.069 SP500_micro 88.064 0.009 2.5 2.047 SUGAR11 -14.701 0.009 2.5 -0.313 US10 -63.340 0.005 2.5 -0.803 US10U -38.126 0.005 2.5 -0.483 US2 -212.233 0.005 2.5 -2.689 US20 -11.077 0.005 2.5 -0.140 US30 -7.988 0.005 2.5 -0.101 US5 -117.585 0.005 2.5 -1.490 VIX -166.115 0.099 2.5 -41.004 WHEAT -217.987 0.005 2.5 -2.892 ===================== Position diags ===================== AUD 2.76 BITCOIN 21.72 BOBL 1.98 BTP 3.26 BUND 1.02 BUXL 0.41 CAC 2.46 CAD 4.23 CANOLA 8.43 CHF 1.80 COCOA 0.53 COFFEE 0.21 COPPER 3.86 CORN 5.84 COTTON2 2.33 CRUDE_W 4.93 DAX 10.72 DOW 7.80 DX 2.93 EUR 1.80 EURIBOR-ICE 14.20 EUROSTX 3.70 FEEDCOW 1.84 GASOIL 1.93 GASOLINE 1.35 GAS_US_mini 17.25 GBP 3.03 GOLD_micro 6.44 HEATOIL 1.28 JGB-SGX-mini 38.48 JPY 2.04 LEANHOG 6.04 LIVECOW 3.33 LUMBER-new 4.78 MILK 1.98 MXP 35.93 NASDAQ_micro 3.23 NIKKEI 19.64 NZD 2.99 OAT 3.69 OATIES 3.29 OJ 1.01 PALLAD 0.63 PLAT 2.30 REDWHEAT 1.49 RICE 4.21 ROBUSTA 0.42 RUSSELL 12.50 SHATZ 5.56 SILVER-mini 1.32 SMI 1.69 SOFR 20.34 SOYBEAN 1.01 SOYMEAL 1.25 SOYOIL 0.91 SP400 0.56 SP500_micro 6.46 SUGAR11 3.09 US10 1.60 US10U 1.12 US2 3.39 US20 0.76 US30 0.47 US5 2.61 VIX 24.41 WHEAT 1.70 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.3 -2.6 -2.0 -2.0 -2 BITCOIN 14.6 12.4 16.7 0.0 0 BOBL 0.5 0.3 0.7 0.0 0 BTP 3.8 3.5 4.2 4.0 4 BUND 0.0 -0.1 0.1 0.0 0 BUXL 0.1 0.1 0.2 0.0 0 CAC -1.1 -1.3 -0.8 0.0 0 CAD -6.9 -7.3 -6.5 -4.0 -4 CANOLA -8.6 -9.4 -7.7 -7.0 -7 CHF -2.1 -2.3 -1.9 -7.0 -7 COCOA 0.9 0.8 0.9 2.0 2 COFFEE 0.1 0.1 0.2 0.0 0 COPPER -1.4 -1.8 -1.0 -3.0 -3 CORN -6.2 -6.7 -5.6 -7.0 -7 COTTON2 -4.7 -4.9 -4.4 -5.0 -5 CRUDE_W -0.2 -0.7 0.2 -1.0 -1 DAX 18.3 17.3 19.4 10.0 10 DOW 1.1 0.3 1.8 1.0 1 DX 2.0 1.7 2.3 0.0 0 EUR -1.3 -1.5 -1.1 -2.0 -2 EURIBOR-ICE 16.9 15.5 18.3 0.0 0 EUROSTX 0.8 0.4 1.2 -1.0 -1 FEEDCOW 2.3 2.2 2.5 4.0 4 GASOIL -0.7 -0.9 -0.5 -2.0 -2 GASOLINE -0.0 -0.2 0.1 -1.0 -1 GAS_US_mini -6.9 -8.6 -5.1 -8.0 -8 GBP -0.5 -0.8 -0.2 0.0 0 GOLD_micro 0.5 -0.2 1.1 -3.0 -3 HEATOIL -1.2 -1.4 -1.1 -2.0 -2 JGB-SGX-mini -39.5 -43.3 -35.6 -14.0 -14 JPY -0.7 -0.9 -0.5 -1.0 -1 LEANHOG 4.0 3.4 4.6 7.0 7 LIVECOW 2.8 2.4 3.1 1.0 1 LUMBER-new -0.5 -0.9 0.0 0.0 0 MILK -0.3 -0.5 -0.1 0.0 0 MXP 5.7 2.1 9.3 -1.0 -1 NASDAQ_micro 1.1 0.8 1.5 3.0 3 NIKKEI 19.1 17.1 21.1 10.0 10 NZD -2.2 -2.5 -1.9 0.0 0 OAT 2.7 2.4 3.1 3.0 3 OATIES -1.5 -1.9 -1.2 NaN 0 OJ 1.7 1.6 1.8 1.0 1 PALLAD -0.2 -0.2 -0.1 0.0 0 PLAT -1.2 -1.5 -1.0 0.0 0 REDWHEAT -2.5 -2.6 -2.4 -4.0 -4 RICE -3.5 -3.9 -3.1 NaN 0 ROBUSTA 0.2 0.1 0.2 0.0 0 RUSSELL 3.9 2.6 5.1 0.0 0 SHATZ -0.9 -1.4 -0.3 NaN 0 SILVER-mini 0.4 0.3 0.5 0.0 0 SMI -0.7 -0.8 -0.5 0.0 0 SOFR -10.9 -13.0 -8.9 NaN 0 SOYBEAN -1.7 -1.8 -1.6 -3.0 -3 SOYMEAL -2.5 -2.6 -2.4 -1.0 -1 SOYOIL -0.5 -0.6 -0.4 0.0 0 SP400 0.1 0.0 0.1 2.0 2 SP500_micro 2.0 1.4 2.7 1.0 1 SUGAR11 -0.3 -0.6 -0.0 0.0 0 US10 -0.8 -1.0 -0.6 0.0 0 US10U -0.5 -0.6 -0.4 -1.0 -1 US2 -2.7 -3.0 -2.4 NaN 0 US20 -0.1 -0.2 -0.1 0.0 0 US30 -0.1 -0.1 -0.1 -1.0 -1 US5 -1.5 -1.8 -1.2 -4.0 -4 VIX -41.0 -43.4 -38.6 -30.0 -30 WHEAT -2.9 -3.1 -2.7 -3.0 -3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.8 3.8 3.8 3.8 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -0.2 -0.6 -0.3 -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 -0.2 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 0.3 0.6 0.5 -0.0 0.1 0.0 0.1 -0.0 0.0 0.1 0.5 0.2 0.6 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.2 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 -0.0 0.1 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 0.1 0.1 -0.0 0.1 0.0 -0.4 -0.1 -0.1 -0.1 0.1 0.0 0.0 0.0 0.1 0.5 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.0 0.1 0.3 0.3 -0.2 -0.4 0.3 0.0 BTP 0.6 0.2 0.2 0.0 -0.0 -0.0 0.0 0.0 0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.1 0.1 0.2 0.1 0.8 0.5 0.6 0.6 0.6 -0.1 -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 -0.1 0.1 0.1 0.1 0.1 0.0 -0.0 -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 0.1 0.0 -0.4 -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 -0.1 0.2 0.1 0.1 0.1 0.1 0.0 -0.0 0.0 -0.0 0.1 0.1 0.1 0.0 0.2 -0.4 0.0 -0.0 0.1 0.0 0.1 0.1 0.3 -0.1 0.3 0.6 0.4 -0.7 -0.7 -0.3 -0.3 CAC 0.2 -0.3 -0.2 0.1 0.0 0.2 0.1 0.3 0.1 0.1 -0.4 0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 -0.2 0.0 -0.9 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.2 0.4 -0.1 -0.6 -0.6 0.2 0.2 -0.1 -0.1 CAD -0.1 -0.4 -0.4 -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 -0.5 -0.4 -0.2 -0.2 -0.3 -0.3 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 0.4 -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 -0.1 -0.2 0.0 -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 -0.1 -0.2 -0.3 -0.3 -0.3 -0.4 -0.5 COCOA 0.6 0.6 0.3 -0.0 0.1 -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 0.3 -0.0 -0.0 0.1 -0.1 0.0 -0.2 0.0 0.1 0.4 0.1 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 0.3 0.1 0.6 0.6 0.6 -0.2 -0.2 -0.0 0.1 COPPER -0.1 -0.4 -0.1 -0.0 0.1 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 0.1 0.0 -0.0 -2.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 0.0 -0.1 -0.3 -0.0 0.3 0.4 0.2 0.7 CORN -0.0 0.1 0.0 -0.0 0.1 -0.1 0.1 -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 0.1 -0.5 -0.0 -1.1 0.5 -0.4 -0.4 -0.4 0.5 -0.0 0.7 0.1 COTTON2 0.0 -0.2 0.1 -0.0 0.1 -0.1 0.1 -0.3 0.0 -0.1 -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 -0.0 -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 0.1 -0.1 0.0 -0.1 -0.0 0.1 -0.3 -0.0 -0.3 -0.1 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.1 0.0 -0.2 -0.0 -0.2 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.4 0.1 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.4 DAX 0.6 0.0 0.3 0.1 0.0 0.1 0.1 0.3 0.1 0.2 0.4 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 1.0 0.1 0.1 0.1 0.1 0.2 0.1 -0.2 0.5 0.6 0.3 0.4 0.7 0.5 0.5 0.1 DOW 0.3 0.2 0.5 0.0 0.0 0.1 0.1 0.2 0.1 -0.1 0.4 0.1 0.6 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.0 0.5 0.1 -1.8 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.4 -0.5 -0.2 0.3 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 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.2 0.1 -2.7 0.1 0.0 0.1 0.0 0.1 0.0 0.7 0.1 0.5 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 -0.1 -0.2 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.2 -0.1 2.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.5 -0.1 -0.2 -0.3 -0.4 0.0 -0.3 0.0 -0.4 EURIBOR-ICE 0.5 0.1 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 1.5 0.0 0.0 0.1 0.0 0.1 0.0 0.5 0.2 0.1 0.4 0.5 -0.1 -0.4 0.5 0.3 EUROSTX 0.4 -0.2 -0.2 0.1 0.0 0.1 0.1 0.2 0.1 0.1 -0.0 0.2 0.4 0.1 -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 0.2 0.5 0.4 -0.5 -0.5 0.2 0.1 -0.4 -0.3 FEEDCOW 0.6 0.6 0.6 -0.0 0.1 -0.1 0.1 -0.3 0.0 0.2 0.2 0.2 -0.3 0.2 0.2 0.1 -0.1 0.2 0.2 0.2 0.2 0.2 -0.1 0.2 -1.8 0.1 0.1 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 0.1 -0.1 0.0 -0.1 -0.0 0.1 -0.3 -0.1 -0.3 -0.1 -0.1 0.0 0.1 0.0 0.1 -0.1 -0.1 -0.0 -0.2 -0.0 0.6 -0.0 0.0 -0.2 -0.0 -0.2 -0.0 0.0 -0.1 -0.0 0.0 -0.2 0.0 -0.2 0.1 -0.4 GASOLINE -0.0 -0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.1 -0.2 -0.0 -0.1 -0.1 -0.0 -0.2 0.4 0.0 0.2 -0.0 -0.1 0.0 -0.1 -0.0 -2.7 -0.0 0.1 -0.0 0.0 -0.0 -0.0 1.1 0.2 0.1 -0.0 0.3 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 0.0 -0.3 -0.1 -0.5 -0.0 -0.0 0.0 -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 -0.3 0.0 -0.1 -0.0 -0.3 -0.5 -0.2 -0.4 GBP 0.0 -0.6 -0.3 -0.1 -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 -0.1 -0.1 0.0 0.1 -0.1 -0.1 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 0.4 0.0 -0.0 0.1 0.2 -0.4 0.6 -0.4 GOLD_micro 0.0 -0.6 -0.1 -0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.2 0.1 0.3 -0.0 0.0 -0.2 -0.3 -0.2 -0.2 0.0 0.1 0.1 0.3 0.0 -1.4 0.0 0.1 0.1 0.0 0.2 0.0 -0.6 0.1 0.2 0.1 0.3 0.7 0.1 0.7 0.3 HEATOIL -0.1 0.0 -0.2 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.1 -0.4 -0.1 -0.4 -0.1 -0.1 0.1 0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.3 -0.1 -2.7 -0.0 0.1 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.0 0.0 -0.0 0.1 0.0 0.1 JGB-SGX-mini -0.3 -0.6 -0.2 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 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 -0.3 -0.6 -0.4 -0.1 -0.7 -0.6 -0.7 -0.4 JPY 0.5 -0.3 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.0 -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 -0.0 0.3 0.1 -0.1 -0.4 -0.7 -0.3 -0.7 LEANHOG -0.2 0.2 0.6 -0.0 0.1 -0.1 0.1 -0.3 0.0 -0.2 0.3 -0.0 0.2 0.1 0.2 -0.4 0.1 -0.3 0.1 0.2 0.2 -0.1 0.2 0.1 -0.1 0.1 -0.1 0.2 -0.0 0.1 0.1 0.7 -0.5 0.1 0.6 0.6 0.2 -0.2 0.4 0.0 LIVECOW 0.1 -0.3 0.4 -0.0 0.1 -0.1 0.1 -0.3 0.0 0.2 0.5 0.2 0.7 0.1 0.2 -0.1 0.1 -0.1 0.0 0.1 0.2 0.2 0.4 0.1 -2.7 0.1 0.2 0.2 0.1 0.3 0.1 0.3 0.4 0.6 0.2 0.6 -0.1 0.6 0.1 0.7 LUMBER-new -0.6 0.6 0.7 -0.0 0.1 -0.1 0.1 -0.3 0.0 -0.2 0.2 -0.2 -0.2 0.0 0.1 -0.5 -0.4 -0.5 -0.4 0.1 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 -0.7 0.7 0.7 0.5 0.2 0.8 0.5 MILK 0.0 -0.6 -0.2 -0.0 0.1 -0.1 0.0 -0.2 0.0 0.1 0.1 0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.1 -0.0 0.1 0.1 -0.0 1.9 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 0.4 0.1 -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 0.5 0.4 0.2 -0.2 0.5 0.7 0.7 0.7 NASDAQ_micro 0.3 0.3 0.4 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 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 -0.3 0.2 -0.1 0.3 0.3 0.3 0.1 -0.1 -0.3 NIKKEI 0.1 0.1 0.2 0.0 0.0 0.1 0.1 0.2 0.1 0.1 0.2 0.1 0.3 0.1 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 -1.3 0.0 0.1 -0.0 0.1 0.1 0.1 1.1 0.3 -0.1 -0.2 -0.3 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 0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.3 -0.3 -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 -0.2 0.1 0.0 0.0 0.1 0.0 0.1 -0.0 0.1 0.6 0.0 0.0 0.0 0.1 0.0 0.1 0.7 0.3 0.1 0.3 0.2 -0.1 -0.5 0.6 0.2 OATIES -0.2 -0.4 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 -0.2 -0.2 -0.2 0.3 0.7 0.2 0.7 0.5 OJ 0.6 0.2 0.4 -0.0 0.1 -0.1 0.1 -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 -0.4 0.4 -0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -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 -0.0 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 0.1 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 -0.1 -0.0 -0.0 -0.0 -0.1 0.8 -0.0 0.0 -0.1 -0.0 -0.0 -0.1 0.1 -0.5 -0.5 -0.4 -0.3 0.3 -0.3 0.1 -0.1 REDWHEAT -0.1 -0.4 0.1 -0.0 0.1 -0.1 0.1 -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 0.1 -0.5 -0.1 -0.5 -0.1 0.1 -0.2 0.0 -0.3 -0.0 -0.9 0.4 -0.2 -0.6 -0.4 -0.7 -0.7 -0.6 -0.7 RICE 0.2 -0.1 -0.2 -0.0 0.1 -0.1 0.1 -0.3 0.0 -0.2 -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 1.0 -0.4 0.2 -0.4 -0.4 -0.3 -0.7 -0.4 -0.7 ROBUSTA 0.4 -0.4 -0.6 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 0.2 0.0 0.2 0.0 0.0 0.1 0.4 0.2 0.4 0.1 0.1 0.0 0.2 0.1 -2.7 0.0 0.0 0.1 0.0 0.1 0.0 1.1 -0.3 0.6 0.3 0.4 0.2 0.1 0.3 0.3 RUSSELL 0.2 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 -0.3 0.5 0.5 -0.3 -0.4 -0.7 -0.7 SHATZ 0.4 -0.1 0.3 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 -0.0 -0.1 0.2 0.3 -0.2 -0.5 0.1 -0.2 SILVER-mini -0.0 -0.4 0.1 -0.0 0.1 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 0.3 0.0 -0.4 0.0 0.1 0.1 0.1 0.2 0.0 -0.1 0.3 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 0.1 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 -0.1 -0.0 0.1 -0.1 1.2 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.6 -0.4 -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 -0.1 -0.1 0.1 0.1 -0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.1 -0.1 0.0 -0.0 -0.0 -0.8 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.4 -0.4 -0.4 -0.6 -0.6 -0.1 -0.2 0.5 0.5 SOYBEAN -0.2 -0.1 -0.4 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.1 -0.5 -0.1 -0.7 -0.2 -0.2 -0.0 0.0 -0.0 -0.0 -0.2 -0.2 -0.0 -0.5 -0.1 -2.7 -0.1 0.0 -0.2 -0.0 -0.4 -0.0 -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 0.1 -0.2 0.0 0.1 -0.5 -0.0 -0.7 -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 -0.1 -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 -0.0 -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 0.0 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 -1.4 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 0.1 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 -0.4 -0.2 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 0.1 -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 0.2 -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 -0.1 -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 -0.5 0.3 0.3 US10U 0.6 -0.4 -0.4 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 -0.1 0.1 -0.0 -0.0 -0.1 -0.1 -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 -0.0 -0.3 -0.3 -0.4 -0.5 -0.1 -0.4 0.6 0.5 US2 0.5 -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 -0.3 -0.4 -0.4 -0.4 -0.1 -0.1 0.0 -0.2 -0.0 2.4 -0.0 -0.0 -0.1 0.0 -0.0 -0.0 -1.1 -0.1 -0.4 -0.5 -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 -0.1 -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 -0.3 -0.3 -0.2 -0.3 -0.0 -0.2 0.7 0.6 US30 0.5 -0.2 -0.3 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.1 -0.1 0.1 0.0 0.0 -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 -0.3 -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 -0.1 -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 -0.4 0.3 0.2 VIX -0.2 -0.6 -0.3 -0.1 0.0 -0.1 0.0 -0.2 -0.0 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 -0.3 -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 0.1 -0.3 0.0 0.2 -0.5 -0.0 -0.7 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 0.0 -0.5 -0.1 0.8 -0.1 0.1 -0.2 0.0 -0.2 -0.1 -1.1 0.2 -0.5 -0.6 -0.4 -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 -5.2 -17.3 -7.9 -3.8 -2.1 -2.8 -1.1 -1.0 -2.4 -13.5 -10.0 -13.6 -4.0 -14.7 -14.4 -0.4 -1.5 -0.4 -0.8 -13.8 -8.6 -14.5 -3.7 -14.7 3.6 -5.0 -5.8 -3.0 -5.6 -1.1 -5.5 -0.0 -18.8 -12.6 -6.7 -1.5 -3.3 -5.0 -2.5 -4.0 BITCOIN 8.9 20.0 15.8 -0.5 10.5 0.3 5.6 -0.1 0.2 12.4 18.6 17.6 17.9 20.0 20.0 -10.3 -7.4 -8.4 -7.6 20.0 20.0 20.0 20.0 20.0 -20.0 8.0 2.3 6.1 3.4 4.8 6.6 -3.6 -5.6 20.0 20.0 20.0 0.6 -2.8 -2.9 0.3 BOBL 20.0 -1.1 3.6 0.0 -1.5 -0.1 1.7 0.4 1.9 -7.1 5.0 5.0 -1.1 6.2 2.0 -20.0 -6.1 -4.0 -3.5 5.5 3.5 5.5 1.3 8.5 3.9 2.4 -0.2 1.8 2.1 1.3 3.4 -1.5 -0.7 2.2 8.5 8.3 -7.2 -13.4 8.5 1.2 BTP 20.0 4.7 6.4 0.1 -2.6 -0.2 2.9 0.7 3.3 17.9 16.9 20.0 19.5 19.6 16.0 5.0 5.3 6.0 5.4 20.0 18.1 20.0 17.5 20.0 -20.0 6.7 3.7 5.4 8.0 5.1 8.8 15.8 20.0 20.0 20.0 20.0 -4.4 -11.6 13.3 10.8 BUND 20.0 0.0 1.0 0.0 -1.8 -0.1 2.1 0.5 2.3 -10.8 5.4 7.0 1.7 7.8 2.4 -2.5 -7.2 -11.4 -10.6 7.0 3.7 6.6 1.6 11.7 0.8 2.9 -1.7 1.8 2.4 1.4 4.4 -8.4 -1.9 5.8 11.1 8.3 -20.0 -19.8 3.9 -1.2 BUXL 20.0 9.6 3.3 0.1 -2.2 -0.1 2.4 0.6 2.8 -12.8 8.0 9.5 2.3 12.5 9.2 0.7 -1.1 0.3 -0.4 13.8 6.6 8.3 1.1 18.7 -3.3 4.5 -3.5 2.5 2.5 1.4 5.9 5.4 -5.8 9.2 20.0 12.2 -20.0 -20.0 -7.9 -8.6 CAC 6.3 -8.2 -7.4 5.5 4.0 5.6 6.0 7.1 6.4 13.3 -15.2 12.2 -5.5 -3.6 -11.0 -5.8 -3.8 -5.6 -4.9 -8.8 -12.3 17.2 -7.5 3.2 -6.4 -3.4 8.7 -4.7 8.1 -2.1 1.8 3.8 16.3 -1.7 -20.0 -20.0 4.8 7.1 -4.1 -2.8 CAD -3.3 -13.7 -11.1 -5.4 -3.1 -4.0 -1.6 -1.5 -3.5 -17.7 -19.3 -20.0 -18.9 -20.0 -20.0 -6.1 -4.6 -5.9 -5.3 -20.0 -19.8 -20.0 -14.0 -20.0 1.3 -7.8 -5.7 -6.0 -7.0 -4.0 -7.5 -6.4 -20.0 -20.0 -14.4 -12.4 -5.9 -7.0 -7.8 -7.5 CANOLA -20.0 -4.5 6.9 -0.3 4.0 -1.4 2.1 -2.5 0.5 7.0 -2.0 -0.0 -5.4 -2.5 -1.1 -12.6 -12.5 -14.1 -13.9 -3.2 -2.6 4.6 -4.2 -2.2 -11.2 -0.2 3.6 0.0 1.9 -1.1 -0.2 -20.0 15.0 -11.7 1.9 5.5 -8.5 -10.9 -2.9 -5.3 CHF 2.4 -20.0 -11.7 -3.3 -1.9 -2.5 -1.0 -0.9 -2.1 -6.6 -6.0 4.1 -6.0 -7.2 -10.3 -14.8 -16.0 -15.2 -15.4 -12.5 -8.5 -2.7 -3.8 -8.2 4.1 -3.9 -1.7 -2.4 -0.9 -0.8 -2.6 -20.0 -1.1 -1.7 -6.9 -7.7 -9.8 -9.2 -13.4 -14.4 COCOA 20.0 20.0 10.0 -0.4 5.9 -2.2 3.1 -3.8 0.8 10.0 8.4 11.4 8.5 11.9 11.8 -1.2 20.0 15.9 20.0 20.0 20.0 20.0 19.9 20.0 -20.0 4.2 3.3 3.5 3.8 4.1 4.4 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 COFFEE 17.3 9.7 -1.1 -0.6 8.4 -3.1 4.4 -5.4 1.2 7.4 14.7 12.4 15.1 13.9 13.7 3.2 4.6 2.8 3.4 20.0 18.8 20.0 15.3 20.0 -20.0 5.6 1.8 4.0 4.8 3.4 6.4 6.4 5.1 20.0 20.0 20.0 -6.7 -6.0 -0.4 2.2 COPPER -1.8 -13.7 -3.6 -0.3 5.6 0.2 3.0 -0.1 0.1 10.8 -8.1 7.3 -2.2 -6.7 -8.0 -6.1 -3.8 -5.0 -4.2 -6.3 -4.2 5.7 0.3 -2.3 -15.3 -1.4 4.1 -0.1 2.9 1.8 -0.3 2.5 0.0 -2.1 -9.4 -0.8 8.5 13.4 5.4 20.0 CORN -0.9 2.5 0.9 -0.9 12.4 -4.5 6.5 -7.9 1.7 20.0 -20.0 11.8 -20.0 -5.1 -8.1 -7.1 -13.2 -9.7 -12.4 -9.8 -20.0 14.3 -20.0 -0.8 -10.3 -6.5 14.1 -9.5 6.1 -13.2 -2.3 -20.0 20.0 -13.7 -12.7 -13.6 13.6 -1.5 20.0 3.2 COTTON2 1.0 -5.6 4.2 -0.8 11.1 -4.0 5.8 -7.1 1.5 -11.8 -17.9 -5.5 -19.5 -10.8 -10.8 -14.6 -8.1 -14.3 -11.9 -10.2 -13.2 -10.3 -19.1 -10.1 -20.0 -6.0 -4.6 -5.4 -6.0 -4.6 -6.4 -17.7 -20.0 -16.2 -16.6 -3.6 -18.7 -18.0 -16.0 -13.1 CRUDE_W 0.7 -1.4 -6.8 -2.4 7.5 -3.9 0.9 -3.4 -1.8 11.7 -10.9 -1.4 -7.3 -8.7 -6.6 3.6 9.5 5.1 7.3 -6.3 -8.9 1.4 -6.2 -3.1 -1.4 -3.3 7.6 -4.8 1.2 -3.7 -2.0 7.5 3.5 1.2 -1.7 3.2 -2.2 6.6 -1.1 11.6 DAX 20.0 1.2 8.7 5.5 4.0 5.5 6.0 7.1 6.4 17.9 16.6 19.7 18.3 16.6 18.0 -7.9 -9.6 -8.3 -8.7 20.0 17.5 20.0 17.3 20.0 7.9 5.8 7.0 4.4 10.3 5.0 8.9 -4.7 20.0 20.0 8.5 11.7 20.0 13.8 14.2 3.6 DOW 10.4 7.1 14.3 4.3 3.1 4.4 4.7 5.6 5.0 -14.2 14.6 4.7 15.6 11.7 14.1 -10.5 -10.7 -10.2 -10.2 20.0 20.0 -0.6 19.8 13.0 -13.7 5.3 -3.3 6.2 -0.7 6.4 2.9 -6.8 -20.0 -5.0 9.2 20.0 -2.5 1.3 -14.3 -8.8 DX -0.4 20.0 16.6 -3.8 -2.2 -2.8 -1.1 -1.0 -2.5 12.0 11.2 4.0 9.6 11.9 14.2 5.2 6.5 5.8 6.1 19.2 14.5 6.3 7.5 12.8 -20.0 4.7 2.5 3.5 1.5 1.7 3.1 12.9 6.1 14.4 20.0 20.0 -3.6 3.4 -2.8 5.2 EUR -2.4 -19.1 -15.4 -3.1 -1.8 -2.3 -0.9 -0.9 -2.0 -8.6 -9.0 -1.3 -6.8 -8.7 -10.9 -6.4 -7.0 -6.6 -6.7 -14.7 -11.1 -5.1 -5.7 -10.6 14.7 -4.1 -1.7 -3.0 -1.4 -1.2 -2.9 -9.7 -3.1 -7.0 -9.7 -12.0 1.5 -10.0 1.1 -12.2 EURIBOR-ICE 16.6 2.0 8.9 0.0 -1.2 -0.1 1.3 0.3 1.5 3.1 8.2 6.5 7.4 7.6 6.8 5.5 0.5 5.0 3.2 9.6 9.2 8.7 8.1 10.6 10.9 3.2 1.6 3.1 2.9 2.8 3.6 9.9 9.1 3.3 13.4 15.2 -3.9 -13.3 14.0 7.6 EUROSTX 12.5 -6.7 -5.0 5.3 3.8 5.3 5.7 6.7 6.1 14.6 -0.6 16.2 10.6 6.1 -0.8 -4.1 -3.4 -4.1 -4.0 1.2 -1.6 20.0 4.3 12.4 -3.0 0.5 7.1 -0.5 9.6 2.8 5.5 4.7 20.0 12.5 -16.9 -14.2 5.4 4.4 -11.4 -10.1 FEEDCOW 20.0 20.0 17.0 -0.9 12.3 -4.5 6.4 -7.9 1.7 16.8 8.2 20.0 -8.7 20.0 20.0 7.4 -3.2 11.6 8.1 20.0 14.1 20.0 -2.8 20.0 -13.9 7.2 6.1 2.8 6.1 -0.3 8.2 3.8 -0.7 20.0 20.0 20.0 17.9 17.3 20.0 20.0 GASOIL -0.5 3.5 -7.3 -2.3 6.9 -3.6 0.8 -3.2 -1.6 11.8 -12.9 -5.6 -9.6 -5.7 -5.6 2.4 6.2 2.1 2.6 -5.4 -9.9 -1.5 -8.8 -3.8 4.4 -3.1 4.6 -5.6 -0.7 -5.2 -2.1 0.1 -5.0 -1.2 0.8 -7.1 0.0 -7.4 2.2 -11.8 GASOLINE -0.4 -1.0 -4.2 -2.2 6.6 -3.4 0.8 -3.0 -1.5 13.3 -9.0 -0.5 -4.0 -7.3 -3.0 -7.6 18.5 1.6 11.9 -3.8 -5.3 3.1 -3.0 -1.7 -20.0 -0.6 7.9 -1.2 2.6 -0.3 -0.0 20.0 9.5 4.3 -0.1 7.8 3.0 8.7 7.6 15.6 GAS_US_mini 7.3 5.1 15.8 -1.6 4.9 -2.5 0.6 -2.2 -1.1 3.1 -10.4 -4.8 -12.8 -2.3 -4.0 0.2 -20.0 -20.0 -20.0 -2.1 -4.9 0.2 -9.8 -0.9 20.0 -2.4 2.8 -3.3 -0.9 -4.8 -1.9 -20.0 -10.5 1.3 -1.9 -1.4 -9.5 -15.1 -7.3 -12.7 GBP 0.6 -20.0 -10.5 -4.8 -2.7 -3.5 -1.4 -1.3 -3.1 11.7 -4.8 11.9 5.0 -6.9 -13.2 0.8 -0.1 0.6 0.3 -12.9 -6.7 4.8 2.2 -6.1 -1.1 -4.4 2.1 -1.8 1.9 1.7 -2.0 2.2 16.6 0.1 -0.6 3.9 5.4 -11.8 18.9 -11.3 GOLD_micro 0.4 -20.0 -2.6 -0.2 4.8 0.1 2.5 -0.1 0.1 9.4 5.9 5.4 9.4 -1.6 1.8 -9.1 -12.8 -11.0 -11.8 2.4 7.5 8.7 11.4 2.2 -10.3 1.1 6.4 3.3 3.1 5.0 0.7 -12.0 4.4 4.8 2.6 9.2 20.0 3.6 20.0 8.6 HEATOIL -2.7 1.3 -4.8 -2.1 6.5 -3.3 0.8 -3.0 -1.5 11.1 -13.1 -5.2 -11.8 -9.6 -8.5 3.3 2.8 -0.2 -1.0 -6.5 -9.5 -1.4 -9.3 -5.2 -20.0 -2.9 5.6 -4.1 -0.8 -4.2 -3.0 -6.5 -3.0 -4.6 -1.5 1.2 -1.2 2.1 1.0 2.9 JGB-SGX-mini -8.8 -20.0 -4.9 0.0 -1.5 -0.1 1.7 0.4 1.9 -10.7 -1.5 -11.4 0.8 -11.8 -9.9 18.1 13.9 15.7 14.7 -11.1 -5.5 -7.3 -1.0 -11.0 -13.1 -3.6 -2.2 -2.0 -2.5 -1.0 -3.6 20.0 -14.1 -20.0 -11.9 -4.2 -20.0 -16.9 -20.0 -12.7 JPY 16.1 -10.0 -5.9 -2.3 -1.3 -1.7 -0.7 -0.6 -1.5 -7.5 -3.4 3.1 -5.0 0.7 -5.7 -10.3 -13.4 -10.8 -11.6 -4.0 -4.8 -1.2 -5.8 -0.2 20.0 -1.2 -3.0 -1.4 -0.5 -1.9 0.0 -19.5 -1.8 8.8 3.6 -2.1 -11.1 -20.0 -8.1 -20.0 LEANHOG -6.4 6.9 20.0 -0.9 12.6 -4.6 6.5 -8.0 1.7 -20.0 12.9 -3.7 5.7 9.7 20.0 -20.0 6.2 -13.8 5.9 19.1 18.4 -12.3 5.9 6.1 -0.9 7.9 -9.1 6.8 -1.7 2.9 4.6 13.1 -20.0 3.6 20.0 20.0 7.0 -6.0 11.4 0.0 LIVECOW 1.8 -8.0 10.8 -0.9 13.4 -4.8 6.9 -8.5 1.8 19.7 20.0 14.7 18.6 6.4 20.0 -3.0 4.2 -3.5 0.9 12.3 15.8 17.9 16.6 10.7 -20.0 5.7 20.0 6.4 10.5 7.7 6.2 4.9 18.0 20.0 7.1 18.0 -3.5 18.5 2.2 20.0 LUMBER-new -15.9 17.1 17.6 -0.7 10.0 -3.6 5.2 -6.1 1.4 -17.6 6.7 -17.4 -3.8 2.2 11.0 -20.0 -18.9 -20.0 -19.3 10.9 9.8 -16.8 -0.9 -2.6 NaN 3.4 -6.5 3.5 -6.3 0.3 -1.7 -20.0 -20.0 -20.0 20.0 19.0 13.3 4.2 20.0 11.9 MILK 0.6 -20.0 -5.4 -0.5 7.2 -2.6 3.7 -4.6 1.0 11.3 3.0 4.9 6.0 -8.5 -9.2 -4.8 -3.2 5.4 5.6 -9.5 -1.9 5.9 4.1 -4.5 14.3 -2.9 3.2 -0.8 2.1 0.8 -1.0 1.6 18.4 1.7 -19.3 -6.0 -9.8 -20.0 -5.2 -20.0 MXP 7.4 0.8 -12.0 -3.6 -2.0 -2.6 -1.1 -1.0 -2.3 13.3 -13.8 11.7 -12.0 -1.4 -9.2 11.6 13.2 11.6 11.8 -7.4 -14.3 7.3 -12.8 0.9 -20.0 -3.7 5.2 -6.9 3.9 -5.9 0.5 20.0 20.0 11.8 6.8 -7.4 14.2 20.0 20.0 20.0 NASDAQ_micro 10.8 7.7 13.5 4.2 3.0 4.2 4.6 5.4 4.8 12.0 13.2 13.2 13.5 13.6 14.5 -10.8 -9.9 -9.9 -9.6 17.9 16.5 18.7 18.0 19.1 -20.0 5.4 5.7 5.7 5.3 7.3 5.4 -5.6 8.1 -1.7 8.2 9.7 10.2 4.4 -3.7 -8.0 NIKKEI 3.3 3.2 6.5 4.4 3.2 4.4 4.8 5.7 5.1 13.1 7.1 11.4 7.9 6.5 11.6 9.0 7.0 5.5 5.5 5.7 5.1 14.6 8.9 9.0 -9.9 1.8 11.1 -0.3 8.5 2.8 5.1 20.0 13.7 -4.0 -6.7 -10.2 20.0 14.0 20.0 17.4 NZD -1.3 -16.3 -9.6 -3.4 -1.9 -2.5 -1.0 -0.9 -2.2 -11.8 -10.1 -11.1 -5.1 -12.5 -12.8 -1.5 -0.5 -1.1 -0.8 -12.2 -8.7 -10.4 -4.4 -11.1 1.9 -4.3 -5.3 -3.0 -4.0 -1.3 -4.1 1.0 -12.0 -8.3 -4.4 -1.0 -5.2 -4.5 -4.9 -0.4 OAT 19.3 -0.5 0.1 0.0 -1.9 -0.1 2.1 0.5 2.4 6.6 3.1 14.3 -1.8 11.4 1.0 -8.7 3.7 0.4 2.4 5.1 0.7 12.2 -1.6 12.1 4.3 2.8 1.3 1.1 5.4 0.6 5.6 12.2 10.9 3.4 10.3 7.2 -1.9 -14.0 17.5 6.0 OATIES -7.3 -11.5 20.0 -0.4 5.5 -2.0 2.8 -3.5 0.7 -7.3 0.5 -7.4 -5.7 -7.6 3.6 -18.2 -1.1 -9.0 -3.7 -0.8 1.7 -5.6 -0.5 -4.2 -20.0 -1.2 -2.6 0.3 -3.2 -0.0 -2.9 -4.0 -6.9 -6.0 -7.2 9.7 20.0 5.4 20.0 13.9 OJ 17.1 5.6 12.7 -0.8 11.5 -4.2 6.0 -7.4 1.6 4.7 20.0 17.1 20.0 19.0 20.0 20.0 14.6 18.8 15.8 20.0 20.0 11.7 20.0 20.0 -20.0 7.7 2.0 7.8 4.6 10.9 7.5 20.0 0.7 20.0 20.0 20.0 17.5 8.9 20.0 20.0 PALLAD -6.0 -11.4 11.0 -0.2 4.0 0.1 2.1 -0.1 0.1 5.9 -0.8 -1.3 -3.5 -6.8 -3.9 -1.8 -2.1 -2.0 -2.0 -3.0 -0.6 -0.9 -2.4 -4.0 14.3 -0.8 1.7 0.4 -0.5 -0.4 -1.7 5.7 -9.1 -3.0 -1.0 0.8 -15.5 -20.0 -20.0 -20.0 PLAT -7.3 -12.2 0.0 -0.3 6.6 0.2 3.5 -0.1 0.1 4.6 -8.5 -5.5 -4.3 -12.0 -7.9 -4.8 -4.5 -4.5 -4.5 -7.6 -3.9 -3.3 -1.7 -8.0 6.0 -4.0 0.0 -2.0 -3.0 -0.9 -5.0 1.4 -18.9 -16.3 -11.3 -10.4 8.6 -8.6 2.4 -2.5 REDWHEAT -2.7 -11.5 2.2 -0.8 11.5 -4.2 6.0 -7.3 1.6 19.6 -20.0 3.8 -20.0 -14.1 -15.9 -10.6 -8.1 -10.6 -10.0 -16.3 -17.5 6.0 -20.0 -9.6 -3.4 -6.2 8.0 -6.4 3.1 -7.1 -3.3 -16.2 17.6 -5.1 -20.0 -11.9 -20.0 -20.0 -17.6 -20.0 RICE 7.0 -4.5 -7.5 -0.8 10.9 -3.9 5.7 -7.0 1.5 -17.0 -0.4 4.7 8.4 7.2 -2.6 -8.8 15.8 -7.2 4.3 -2.9 -4.0 -2.8 2.3 0.3 -15.2 -3.8 -5.2 -3.8 -2.9 -0.9 -2.0 19.5 -16.1 5.5 -12.0 -12.9 -10.2 -20.0 -10.6 -20.0 ROBUSTA 12.2 -12.7 -20.0 -0.3 4.1 -1.5 2.1 -2.6 0.6 1.1 5.6 1.6 6.9 2.7 3.2 4.1 20.0 11.9 18.6 5.9 6.7 5.3 8.9 6.2 -20.0 2.2 0.7 2.4 1.5 3.7 2.2 20.0 -12.6 20.0 10.0 13.0 5.7 1.9 9.8 8.1 RUSSELL 7.5 12.0 12.1 4.1 3.0 4.2 4.5 5.3 4.8 -7.0 12.1 5.0 13.1 10.5 12.2 -6.2 -6.3 -6.2 -6.1 16.0 15.2 1.5 12.6 10.7 1.0 5.0 -0.4 5.4 0.3 5.1 3.0 0.5 -20.0 -7.8 14.2 14.5 -7.7 -12.0 -20.0 -20.0 SHATZ 11.2 -2.7 10.7 0.0 -1.1 -0.1 1.3 0.3 1.5 -3.5 6.0 1.7 0.8 4.1 2.7 -20.0 -20.0 -20.0 -20.0 4.6 4.9 2.6 2.0 4.5 5.8 2.3 0.6 2.6 1.3 1.6 2.2 -20.0 -0.7 -3.6 7.4 10.2 -6.9 -13.9 4.0 -4.6 SILVER-mini -0.4 -11.1 3.9 -0.3 6.9 0.2 3.6 -0.1 0.1 14.2 3.5 12.5 8.8 -7.0 0.2 -5.8 -6.3 -5.9 -6.0 0.8 5.2 13.4 9.4 3.4 -3.2 1.3 9.1 2.8 6.5 4.3 2.3 -1.4 14.2 5.7 5.5 6.3 6.3 -1.9 -0.8 7.3 SMI 0.8 -19.6 -14.2 4.3 3.1 4.3 4.7 5.5 4.9 -7.4 -0.5 1.0 9.0 -9.1 -9.5 0.6 0.4 0.3 -0.1 -9.4 -4.9 -3.8 3.6 -6.4 9.0 -3.5 -3.0 -0.6 -1.8 3.8 -2.7 11.2 -16.7 -14.3 -20.0 -20.0 -6.3 1.7 -16.9 -10.1 SOFR 18.1 -18.2 -18.3 0.0 -1.9 -0.1 2.1 0.5 2.4 -9.8 -2.3 8.7 2.7 -3.5 -10.8 -0.9 -0.0 0.1 0.2 -9.6 -7.8 2.3 -1.8 -0.5 -6.3 -3.8 -2.4 -3.0 -0.3 -0.7 -1.4 7.1 -16.8 -13.7 -18.3 -18.0 -1.6 -6.6 16.0 14.8 SOYBEAN -4.8 -3.5 -12.3 -0.7 10.2 -3.7 5.3 -6.5 1.4 13.0 -18.8 -8.0 -18.5 -15.4 -17.2 -1.8 0.3 -2.2 -2.4 -17.9 -20.0 -2.3 -20.0 -11.4 -20.0 -7.0 3.8 -9.2 -0.4 -10.2 -4.4 -3.1 -2.5 -17.7 -17.5 -16.2 3.4 -6.9 7.7 -1.2 SOYMEAL 6.4 -12.6 -8.8 -0.7 9.8 -3.6 5.1 -6.3 1.3 8.1 -18.4 -0.7 -18.3 -15.0 -18.0 -12.7 -0.8 -8.6 -5.3 -17.0 -20.0 -0.3 -20.0 -9.2 -20.0 -5.8 2.9 -6.6 0.8 -6.0 -2.7 -5.8 -3.3 -4.1 -20.0 -14.8 -20.0 -20.0 -20.0 -20.0 SOYOIL -20.0 3.2 13.7 -0.3 4.1 -1.5 2.1 -2.6 0.6 3.0 -1.2 -3.4 -5.7 -5.1 -1.2 -3.3 0.0 -1.9 -1.0 -1.3 -0.8 -1.3 -3.2 -3.0 -14.6 -0.5 -0.1 -0.0 -1.1 -0.9 -1.6 -1.6 -0.6 -15.4 0.0 5.0 4.1 -5.4 11.0 0.5 SP400 8.2 9.6 12.2 4.3 1.5 4.4 4.6 5.7 5.0 -14.3 12.8 1.9 14.8 9.2 12.6 -7.7 -6.6 -7.5 -7.0 18.0 16.9 -1.3 14.8 12.0 -10.9 5.3 -3.0 5.5 -0.1 5.3 3.4 -0.5 -20.0 -2.7 16.1 18.6 -3.6 -6.6 -18.6 -20.0 SP500_micro 11.3 6.0 19.2 5.7 4.1 5.8 6.2 7.3 6.6 13.3 20.0 17.8 20.0 19.9 20.0 -12.9 -11.9 -12.0 -11.7 20.0 20.0 14.7 20.0 20.0 -20.0 7.6 2.2 9.2 3.2 11.5 5.6 -9.1 -18.6 -5.0 8.9 20.0 3.8 4.1 -13.7 -11.2 SUGAR11 -9.0 -7.6 19.5 -0.7 9.4 -3.4 4.9 -6.0 1.3 -8.0 7.1 -10.9 -5.7 -12.9 6.6 20.0 20.0 20.0 20.0 0.7 5.3 -5.9 2.1 -5.3 -20.0 2.9 -1.9 3.5 0.5 1.1 1.3 20.0 -2.0 6.7 -2.0 20.0 -20.0 1.3 -20.0 5.0 US10 19.1 -15.2 -15.2 0.0 -1.4 -0.1 1.5 0.4 1.7 -7.2 -3.4 6.3 -0.2 -1.4 -7.5 -3.1 -6.2 -4.1 -5.1 -6.1 -5.9 2.3 -3.3 0.6 1.8 -2.5 -1.6 -2.2 0.0 -0.8 -0.6 -3.0 -10.2 -8.2 -11.1 -12.5 -6.5 -16.4 7.5 9.0 US10U 18.4 -11.8 -12.7 0.0 -1.7 -0.1 1.9 0.5 2.2 -10.0 -4.3 7.8 -0.2 -0.3 -8.9 -4.4 -3.7 -4.4 -4.3 -6.0 -6.3 2.3 -4.0 1.4 -1.6 -3.0 -2.4 -2.8 0.0 -1.1 -0.5 -0.4 -13.4 -10.0 -11.7 -14.6 -4.5 -11.7 16.6 16.3 US2 14.3 -20.0 -14.9 0.0 -1.5 -0.1 1.7 0.4 1.9 -2.8 -4.8 8.4 -3.2 -4.3 -9.7 -15.7 -20.0 -19.0 -20.0 -12.1 -9.8 4.1 -6.6 -2.6 18.3 -3.1 -0.5 -2.1 0.3 -0.8 -1.2 -20.0 -4.2 -13.9 -16.1 -12.1 -9.0 -16.2 0.4 -7.4 US20 17.0 -9.3 -13.1 0.0 -1.3 -0.1 1.4 0.3 1.6 -6.9 -3.0 4.9 1.7 0.6 -6.5 -1.0 -1.3 -1.5 -1.4 -3.6 -4.1 1.1 -2.3 1.4 -3.2 -2.3 -2.6 -2.0 -0.5 -0.6 -0.6 4.6 -11.6 -9.6 -7.6 -10.6 -1.0 -7.4 20.0 18.3 US30 15.5 -5.7 -9.9 0.0 -1.3 -0.1 1.4 0.3 1.6 -8.1 -3.9 4.7 0.2 1.7 -6.2 -4.6 -4.3 -3.5 -3.8 -2.8 -3.6 0.4 -2.8 1.5 -2.2 -2.1 -3.1 -2.1 -0.4 -0.9 -0.3 -0.1 -11.5 -9.6 -4.8 -8.8 -1.0 -7.3 20.0 16.3 US5 17.9 -19.5 -16.6 0.0 -1.6 -0.1 1.8 0.4 2.0 -8.7 -4.5 7.4 -2.5 -3.8 -9.7 -4.9 -9.3 -6.7 -8.1 -9.9 -8.7 2.2 -4.8 -1.4 7.3 -3.0 -1.4 -2.4 0.2 -0.8 -0.8 -8.3 -10.4 -9.9 -14.0 -14.4 -4.1 -13.3 8.7 6.2 VIX -4.7 -12.3 -5.4 -3.7 2.2 -2.2 0.7 -3.9 -2.7 12.3 -15.8 -3.7 -15.7 -16.8 -18.0 -20.0 -20.0 -18.1 -19.3 -11.7 -8.2 -1.6 -12.3 -9.7 NaN -4.4 1.7 -2.5 0.1 -4.6 -3.5 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -5.6 -11.4 1.3 -0.8 12.0 -4.4 6.3 -7.7 1.6 19.9 -19.3 -3.1 -19.0 -16.6 -14.3 -14.7 -14.5 -14.1 -14.3 -18.6 -18.6 0.6 -20.0 -13.8 5.7 -7.1 5.6 -6.5 0.8 -6.5 -5.0 -20.0 9.3 -14.7 -20.0 -13.7 -20.0 -20.0 -14.9 -18.3 End of report for caleb_strategy_v3