******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241213_204502 produced at 2024-12-13 21:41:12.980928 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.51 -1.09 0.0 0.51 -0.51 -0.51 -0.51 -34.46 16.0 -16 -16 caleb_strategy_v3 SOFR False True 0.08 0.00 -1.08 0.0 0.00 0.00 0.00 0.00 -13.23 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.18 -0.25 0.0 999.00 -999.00 -0.18 -0.19 -41.75 999999999.0 -30 -32 caleb_strategy_v3 US2 False True 0.07 0.00 -0.19 0.0 0.00 0.00 0.00 0.00 -2.77 13.0 0 0 caleb_strategy_v3 CAD False False 0.02 -0.07 -0.17 0.0 0.69 -0.69 -0.07 -0.10 -7.26 29.0 -3 -4 caleb_strategy_v3 CHF False False 0.05 -0.48 -0.11 0.0 0.62 -0.62 -0.48 -0.48 -2.35 13.0 -10 -10 caleb_strategy_v3 US5 False False 0.04 -0.22 -0.06 0.0 0.91 -0.91 -0.22 -0.22 -1.62 25.0 -6 -6 caleb_strategy_v3 EUR False False 0.04 -0.04 -0.06 0.0 0.62 -0.62 -0.04 -0.04 -1.30 14.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.07 -0.06 0.0 0.13 -0.13 -0.07 -0.07 -4.75 11.0 -6 -6 caleb_strategy_v3 COPPER False False 0.04 -0.07 -0.06 0.0 999.00 -999.00 -0.07 -0.07 -1.63 999999999.0 -2 -2 caleb_strategy_v3 AUD False False 0.02 -0.04 -0.05 0.0 0.41 -0.41 -0.04 -0.04 -2.52 19.0 -2 -2 caleb_strategy_v3 NZD False False 0.02 0.00 -0.05 0.0 0.41 -0.41 0.00 0.00 -2.61 21.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.29 24.0 0 0 caleb_strategy_v3 RICE False True 0.01 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -4.53 4.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.04 0.0 0.09 -0.09 -0.05 -0.05 -6.00 12.0 -7 -7 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.04 0.0 0.10 -0.10 -0.06 -0.06 -1.09 3.0 -2 -2 caleb_strategy_v3 SMI False True 0.04 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.60 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.03 -0.03 0.0 0.12 -0.12 -0.03 -0.05 -1.71 7.0 -2 -3 caleb_strategy_v3 JPY False False 0.03 -0.06 -0.03 0.0 0.47 -0.47 -0.06 -0.03 -0.95 17.0 -2 -1 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.03 0.0 0.09 -0.09 -0.01 -0.01 -2.52 9.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.03 0.0 0.63 -0.63 0.00 0.00 -0.89 17.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 -0.03 0.0 0.59 -0.59 0.00 0.00 -1.03 22.0 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 CAC True False 0.03 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -1.14 12.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.03 0.0 0.15 -0.15 -0.01 -0.01 -8.70 51.0 -4 -4 caleb_strategy_v3 REDWHEAT False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.04 -2.60 8.0 -4 -4 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.02 0.0 0.07 -0.07 -0.02 -0.02 -6.29 26.0 -7 -7 caleb_strategy_v3 US10U False False 0.04 -0.04 -0.02 0.0 0.50 -0.50 -0.04 -0.04 -0.57 13.0 -1 -1 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.02 0.0 0.16 -0.16 -0.02 -0.02 -1.58 10.0 -1 -1 caleb_strategy_v3 US30 False False 0.04 -0.08 -0.01 0.0 0.25 -0.25 -0.08 -0.08 -0.14 6.0 -2 -2 caleb_strategy_v3 US20 False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.20 9.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -1.13 18.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.21 2.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.43 2.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 -0.05 -0.01 0.0 0.09 -0.09 -0.05 -0.05 -0.45 4.0 -2 -2 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -1.21 3.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 -0.00 0.0 0.50 -0.50 0.00 0.00 -0.36 66.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.09 -0.09 0.00 0.00 -0.48 10.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.00 0.0 0.07 -0.07 0.00 0.00 -0.06 5.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 -0.00 0.0 999.00 -999.00 0.00 0.00 -0.04 999999999.0 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 0.00 0.0 0.19 -0.19 0.00 0.00 0.05 4.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.22 -0.00 0.0 0.22 -0.22 0.22 0.11 -0.00 2.0 2 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.00 0.00 0.0 0.12 -0.12 0.00 0.00 0.19 5.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.02 999999999.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 -0.00 0.0 0.51 -0.51 0.00 0.00 -0.30 56.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.00 0.0 0.48 -0.48 0.00 0.00 -0.10 10.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 0.01 0.0 0.80 -0.80 0.00 0.00 0.22 19.0 0 0 caleb_strategy_v3 COFFEE False False 0.04 0.00 0.01 0.0 0.24 -0.24 0.00 0.00 0.13 6.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.01 0.0 0.27 -0.27 0.00 0.03 1.70 68.0 0 8 caleb_strategy_v3 SP500_micro False False 0.01 0.01 0.02 0.0 0.50 -0.50 0.01 0.01 2.02 48.0 1 1 caleb_strategy_v3 EUROSTX False False 0.02 0.04 0.02 0.0 0.35 -0.35 0.04 0.07 1.10 20.0 2 4 caleb_strategy_v3 COCOA False False 0.04 0.08 0.03 0.0 0.99 -0.99 0.08 0.08 0.91 26.0 2 2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.06 0.03 0.0 0.34 -0.34 0.06 0.06 1.77 23.0 4 4 caleb_strategy_v3 MXP False False 0.01 0.00 0.05 0.0 0.50 -0.50 0.00 0.01 6.60 60.0 0 1 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.05 0.0 0.16 -0.16 0.05 0.05 3.90 13.0 4 4 caleb_strategy_v3 OJ False False 0.03 0.03 0.05 0.0 0.08 -0.08 0.03 0.03 1.85 3.0 1 1 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.06 0.0 0.00 0.00 0.00 0.00 15.95 59.0 0 0 caleb_strategy_v3 OAT False False 0.04 0.13 0.07 0.0 0.44 -0.44 0.13 0.13 1.53 10.0 3 3 caleb_strategy_v3 DX False False 0.04 0.00 0.09 0.0 999.00 -999.00 0.00 0.00 2.37 999999999.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.09 0.0 0.44 -0.44 0.03 0.03 3.34 17.0 1 1 caleb_strategy_v3 FEEDCOW False False 0.04 0.17 0.10 0.0 0.35 -0.35 0.17 0.22 2.33 8.0 4 5 caleb_strategy_v3 BTP False False 0.04 0.17 0.10 0.0 0.43 -0.43 0.17 0.17 2.34 10.0 4 4 caleb_strategy_v3 DAX False False 0.01 0.05 0.15 0.0 0.42 -0.42 0.05 0.05 20.14 58.0 7 7 caleb_strategy_v3 NIKKEI False False 0.01 0.11 0.20 0.0 0.32 -0.32 0.11 0.14 22.76 36.0 13 16 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 1.13 0.0 0.87 -0.87 0.00 0.00 13.03 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 15.5 Shocked risk 45.0 Sum abs risk 44.7 Leverage 6.09 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2951454.77, 'annual_cash_vol_target': 737863.6925, 'daily_cash_vol_target': 46116.48078125} ====================================================================== Vol calculation ====================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6358 0.6568 10.5090 BITCOIN 2241.4078 103510.0000 2.1654 34.6464 BOBL 0.2383 118.1800 0.2017 3.2268 BTP 0.5351 121.1200 0.4418 7.0682 BUND 0.4738 134.4100 0.3525 5.6400 BUXL 1.1375 135.1200 0.8419 13.4697 CAC 57.5592 7417.0000 0.7760 12.4167 CAD 0.0028 0.7052 0.3947 6.3155 CANOLA 9.0431 623.5000 1.4504 23.2059 CHF 0.0054 1.1320 0.4786 7.6583 COCOA 185.9407 11280.0000 1.6484 26.3746 COFFEE 6.4946 315.7000 2.0572 32.9155 COPPER 0.0505 4.1925 1.2034 19.2549 CORN 3.7873 439.5000 0.8617 13.7875 COTTON2 0.8321 69.3000 1.2007 19.2113 CRUDE_W 0.9751 68.0800 1.4322 22.9158 DAX 133.4044 20634.0000 0.6465 10.3444 DOW 266.7341 44348.0000 0.6015 9.6233 DX 0.3927 106.7000 0.3680 5.8880 EUR 0.0052 1.0537 0.4918 7.8684 EURIBOR-ICE 0.0465 98.0000 0.0474 0.7586 EUROSTX 38.5411 5000.0000 0.7708 12.3332 FEEDCOW 1.6152 257.8500 0.6264 10.0223 GASOIL 10.5672 683.5000 1.5460 24.7367 GASOLINE 0.0339 2.0239 1.6760 26.8154 GAS_US_mini 0.1142 3.1100 3.6734 58.7750 GBP 0.0063 1.2609 0.5024 8.0379 GOLD_micro 25.4130 2672.6000 0.9509 15.2139 HEATOIL 0.0361 2.2602 1.5994 25.5905 JGB-SGX-mini 0.1924 142.4000 0.1351 2.1615 JPY 0.0000 0.0066 0.6936 11.0969 LEANHOG 1.1463 89.8750 1.2755 20.4072 LIVECOW 1.1262 192.2250 0.5859 9.3740 LUMBER-new 7.3238 582.5000 1.2573 20.1169 MILK 0.2603 19.7600 1.3173 21.0765 MXP 0.0004 0.0489 0.7480 11.9672 NASDAQ_micro 159.4154 21799.0000 0.7313 11.7008 NIKKEI 362.6272 39580.0000 0.9162 14.6590 NZD 0.0039 0.5762 0.6695 10.7119 OAT 0.4395 124.7300 0.3524 5.6379 OATIES 6.6880 368.2500 1.8162 29.0586 OJ 6.4226 495.6000 1.2959 20.7347 PALLAD 24.9394 957.5000 2.6046 41.6742 PLAT 13.5940 923.0000 1.4728 23.5649 REDWHEAT 8.0689 563.7500 1.4313 22.9008 RICE 0.1280 15.1000 0.8475 13.5592 ROBUSTA 119.9558 5175.0000 2.3180 37.0878 RUSSELL 24.2593 2372.4000 1.0226 16.3610 SHATZ 0.0831 107.0450 0.0776 1.2418 SILVER-mini 0.5156 30.9625 1.6653 26.6451 SMI 78.8034 11697.0000 0.6737 10.7793 SOFR 0.0554 96.1800 0.0576 0.9218 SOYBEAN 8.3460 1005.7500 0.8298 13.2772 SOYMEAL 3.4054 298.0000 1.1428 18.2840 SOYOIL 0.7570 43.2800 1.7491 27.9858 SP400 25.9649 3274.3000 0.7930 12.6879 SP500_micro 31.8068 6127.0000 0.5191 8.3060 SUGAR11 0.2782 19.2800 1.4429 23.0871 US10 0.3665 109.8594 0.3336 5.3370 US10U 0.5238 112.8906 0.4640 7.4245 US2 0.0855 102.8789 0.0831 1.3295 US20 0.7781 116.2188 0.6695 10.7128 US30 1.2428 122.2812 1.0163 16.2612 US5 0.2240 106.8516 0.2096 3.3539 VIX 0.4503 17.6500 2.5513 40.8214 WHEAT 7.1549 595.5000 1.2015 19.2240 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 635.85 0.66 417.63 1.00 417.63 46116.48 110.42 -8.79 -97.10 BITCOIN 103.51 2.17 224.14 1.00 224.14 46116.48 205.75 7.16 147.31 BOBL 1181.80 0.20 238.34 1.05 250.71 46116.48 183.95 1.17 21.59 BTP 1211.20 0.44 535.06 1.05 562.83 46116.48 81.94 8.38 68.70 BUND 1344.10 0.35 473.80 1.05 498.39 46116.48 92.53 -1.06 -9.78 BUXL 1351.20 0.84 1137.52 1.05 1196.55 46116.48 38.54 1.26 4.86 CAC 741.70 0.78 575.59 1.05 605.46 46116.48 76.17 -4.39 -33.46 CAD 705.15 0.39 278.34 1.00 278.34 46116.48 165.69 -16.88 -279.75 CANOLA 124.70 1.45 180.86 0.71 127.92 46116.48 360.51 -9.92 -357.55 CHF 1414.94 0.48 677.25 1.00 677.25 46116.48 68.09 -13.32 -90.70 COCOA 1128.00 1.65 1859.41 1.00 1859.41 46116.48 24.80 17.10 42.40 COFFEE 1183.88 2.06 2435.49 1.00 2435.49 46116.48 18.94 5.70 10.80 COPPER 1048.12 1.20 1261.35 1.00 1261.35 46116.48 36.56 -4.12 -15.06 CORN 219.75 0.86 189.36 1.00 189.36 46116.48 243.53 -10.12 -246.44 COTTON2 346.50 1.20 416.05 1.00 416.05 46116.48 110.84 -20.00 -221.69 CRUDE_W 680.80 1.43 975.07 1.00 975.07 46116.48 47.30 0.37 1.74 DAX 206.34 0.65 133.40 1.05 140.33 46116.48 328.63 17.97 590.54 DOW 221.74 0.60 133.37 1.00 133.37 46116.48 345.79 -0.45 -15.67 DX 1067.00 0.37 392.65 1.00 392.65 46116.48 117.45 7.77 91.30 EUR 1317.12 0.49 647.73 1.00 647.73 46116.48 71.20 -7.01 -49.92 EURIBOR-ICE 2450.00 0.05 116.16 1.05 122.19 46116.48 377.41 10.12 382.01 EUROSTX 500.00 0.77 385.41 1.05 405.41 46116.48 113.75 2.82 32.12 FEEDCOW 1289.25 0.63 807.58 1.00 807.58 46116.48 57.10 12.30 70.22 GASOIL 683.50 1.55 1056.72 1.00 1056.72 46116.48 43.64 -2.37 -10.34 GASOLINE 850.04 1.68 1424.63 1.00 1424.63 46116.48 32.37 0.15 0.48 GAS_US_mini 77.75 3.67 285.61 1.00 285.61 46116.48 161.47 -3.60 -58.11 GBP 788.06 0.50 395.90 1.00 395.90 46116.48 116.49 -3.40 -39.65 GOLD_micro 267.26 0.95 254.13 1.00 254.13 46116.48 181.47 -0.48 -8.67 HEATOIL 949.28 1.60 1518.29 1.00 1518.29 46116.48 30.37 -8.31 -25.23 JGB-SGX-mini 142400.00 0.14 19237.65 0.01 126.20 46116.48 365.41 -8.71 -318.23 JPY 822.31 0.69 570.32 1.00 570.32 46116.48 80.86 -4.51 -36.43 LEANHOG 359.50 1.28 458.53 1.00 458.53 46116.48 100.58 6.37 64.12 LIVECOW 768.90 0.59 450.48 1.00 450.48 46116.48 102.37 9.86 100.90 LUMBER-new 160.19 1.26 201.40 1.00 201.40 46116.48 228.97 -2.47 -56.65 MILK 395.20 1.32 520.59 1.00 520.59 46116.48 88.59 -0.33 -2.95 MXP 244.70 0.75 183.02 1.00 183.02 46116.48 251.97 1.79 44.98 NASDAQ_micro 435.98 0.73 318.83 1.00 318.83 46116.48 144.64 5.27 76.28 NIKKEI 39580.00 0.92 36262.72 0.01 237.89 46116.48 193.86 10.84 210.22 NZD 576.15 0.67 385.73 1.00 385.73 46116.48 119.56 -8.41 -100.49 OAT 1247.30 0.35 439.51 1.05 462.32 46116.48 99.75 4.48 44.73 OATIES 184.12 1.82 334.40 1.00 334.40 46116.48 137.91 -4.27 -58.90 OJ 743.40 1.30 963.39 1.00 963.39 46116.48 47.87 18.01 86.20 PALLAD 957.50 2.60 2493.94 1.00 2493.94 46116.48 18.49 -3.35 -6.19 PLAT 461.50 1.47 679.70 1.00 679.70 46116.48 67.85 -6.82 -46.28 REDWHEAT 281.88 1.43 403.45 1.00 403.45 46116.48 114.31 -17.16 -196.11 RICE 302.00 0.85 255.93 1.00 255.93 46116.48 180.19 -10.34 -186.26 ROBUSTA 517.50 2.32 1199.56 1.00 1199.56 46116.48 38.44 3.61 13.89 RUSSELL 118.62 1.02 121.30 1.00 121.30 46116.48 380.20 1.35 51.39 SHATZ 1070.45 0.08 83.08 1.05 87.39 46116.48 527.71 -2.41 -127.43 SILVER-mini 774.06 1.67 1289.06 1.00 1289.06 46116.48 35.78 -0.30 -1.08 SMI 1169.70 0.67 788.03 1.13 892.41 46116.48 51.68 -3.42 -17.65 SOFR 2404.50 0.06 138.53 1.00 138.53 46116.48 332.90 -6.54 -217.73 SOYBEAN 502.88 0.83 417.30 1.00 417.30 46116.48 110.51 -16.65 -183.95 SOYMEAL 298.00 1.14 340.54 1.00 340.54 46116.48 135.42 -20.00 -270.84 SOYOIL 259.68 1.75 454.21 1.00 454.21 46116.48 101.53 -5.08 -51.58 SP400 3274.30 0.79 2596.49 1.00 2596.49 46116.48 17.76 -0.04 -0.08 SP500_micro 306.35 0.52 159.03 1.00 159.03 46116.48 289.98 3.00 87.07 SUGAR11 215.94 1.44 311.58 1.00 311.58 46116.48 148.01 -3.59 -53.07 US10 1098.59 0.33 366.45 1.00 366.45 46116.48 125.85 -5.57 -70.10 US10U 1128.91 0.46 523.85 1.00 523.85 46116.48 88.03 -5.15 -45.36 US2 2057.58 0.08 170.97 1.00 170.97 46116.48 269.74 -8.11 -218.85 US20 1162.19 0.67 778.14 1.00 778.14 46116.48 59.26 -2.64 -15.63 US30 1222.81 1.02 1242.78 1.00 1242.78 46116.48 37.11 -2.99 -11.10 US5 1068.52 0.21 223.98 1.00 223.98 46116.48 205.89 -6.22 -128.05 VIX 176.50 2.55 450.31 1.00 450.31 46116.48 102.41 -16.51 -169.12 WHEAT 297.75 1.20 357.75 1.00 357.75 46116.48 128.91 -17.97 -231.61 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -97.095 0.010 2.5 -2.519 BITCOIN 147.313 0.043 2.5 15.952 BOBL 21.590 0.004 2.5 0.219 BTP 68.703 0.014 2.5 2.343 BUND -9.779 0.004 2.5 -0.099 BUXL 4.860 0.004 2.5 0.049 CAC -33.456 0.014 2.5 -1.141 CAD -279.751 0.010 2.5 -7.258 CANOLA -357.554 0.010 2.5 -8.699 CHF -90.700 0.010 2.5 -2.353 COCOA 42.402 0.009 2.5 0.908 COFFEE 10.801 0.005 2.5 0.126 COPPER -15.064 0.043 2.5 -1.631 CORN -246.444 0.010 2.5 -5.996 COTTON2 -221.690 0.009 2.5 -4.748 CRUDE_W 1.736 0.043 2.5 0.188 DAX 590.544 0.014 2.5 20.142 DOW -15.670 0.009 2.5 -0.364 DX 91.303 0.010 2.5 2.369 EUR -49.924 0.010 2.5 -1.295 EURIBOR-ICE 382.008 0.014 2.5 13.030 EUROSTX 32.115 0.014 2.5 1.095 FEEDCOW 70.220 0.013 2.5 2.327 GASOIL -10.341 0.017 2.5 -0.448 GASOLINE 0.483 0.017 2.5 0.021 GAS_US_mini -58.106 0.043 2.5 -6.292 GBP -39.650 0.010 2.5 -1.029 GOLD_micro -8.673 0.014 2.5 -0.296 HEATOIL -25.229 0.017 2.5 -1.094 JGB-SGX-mini -318.235 0.043 2.5 -34.461 JPY -36.433 0.010 2.5 -0.945 LEANHOG 64.116 0.024 2.5 3.897 LIVECOW 100.903 0.013 2.5 3.344 LUMBER-new -56.651 0.009 2.5 -1.213 MILK -2.952 0.009 2.5 -0.063 MXP 44.982 0.059 2.5 6.602 NASDAQ_micro 76.275 0.009 2.5 1.773 NIKKEI 210.220 0.043 2.5 22.764 NZD -100.491 0.010 2.5 -2.607 OAT 44.729 0.014 2.5 1.526 OATIES -58.905 0.010 2.5 -1.433 OJ 86.201 0.009 2.5 1.846 PALLAD -6.191 0.014 2.5 -0.211 PLAT -46.276 0.014 2.5 -1.578 REDWHEAT -196.112 0.005 2.5 -2.601 RICE -186.260 0.010 2.5 -4.531 ROBUSTA 13.887 0.005 2.5 0.162 RUSSELL 51.392 0.013 2.5 1.703 SHATZ -127.430 0.004 2.5 -1.292 SILVER-mini -1.080 0.014 2.5 -0.037 SMI -17.651 0.014 2.5 -0.602 SOFR -217.734 0.024 2.5 -13.233 SOYBEAN -183.949 0.004 2.5 -1.711 SOYMEAL -270.843 0.004 2.5 -2.519 SOYOIL -51.576 0.004 2.5 -0.480 SP400 -0.077 0.013 2.5 -0.003 SP500_micro 87.073 0.009 2.5 2.024 SUGAR11 -53.072 0.009 2.5 -1.129 US10 -70.102 0.005 2.5 -0.888 US10U -45.360 0.005 2.5 -0.575 US2 -218.854 0.005 2.5 -2.773 US20 -15.627 0.005 2.5 -0.198 US30 -11.100 0.005 2.5 -0.141 US5 -128.050 0.005 2.5 -1.623 VIX -169.120 0.099 2.5 -41.746 WHEAT -231.614 0.005 2.5 -3.072 ===================== Position diags ===================== AUD 2.87 BITCOIN 22.28 BOBL 1.87 BTP 2.79 BUND 0.94 BUXL 0.39 CAC 2.60 CAD 4.30 CANOLA 8.77 CHF 1.77 COCOA 0.53 COFFEE 0.22 COPPER 3.96 CORN 5.92 COTTON2 2.37 CRUDE_W 5.12 DAX 11.21 DOW 8.04 DX 3.05 EUR 1.85 EURIBOR-ICE 12.87 EUROSTX 3.88 FEEDCOW 1.89 GASOIL 1.89 GASOLINE 1.40 GAS_US_mini 17.48 GBP 3.02 GOLD_micro 6.19 HEATOIL 1.32 JGB-SGX-mini 39.57 JPY 2.10 LEANHOG 6.11 LIVECOW 3.39 LUMBER-new 4.90 MILK 1.90 MXP 36.98 NASDAQ_micro 3.36 NIKKEI 20.99 NZD 3.10 OAT 3.40 OATIES 3.36 OJ 1.03 PALLAD 0.63 PLAT 2.31 REDWHEAT 1.52 RICE 4.38 ROBUSTA 0.45 RUSSELL 12.60 SHATZ 5.35 SILVER-mini 1.22 SMI 1.76 SOFR 20.23 SOYBEAN 1.03 SOYMEAL 1.26 SOYOIL 0.95 SP400 0.59 SP500_micro 6.74 SUGAR11 3.15 US10 1.59 US10U 1.12 US2 3.42 US20 0.75 US30 0.47 US5 2.61 VIX 25.28 WHEAT 1.71 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.5 -2.8 -2.2 -2.0 -2 BITCOIN 16.0 13.7 18.2 0.0 0 BOBL 0.2 0.0 0.4 0.0 0 BTP 2.3 2.1 2.6 4.0 4 BUND -0.1 -0.2 -0.0 0.0 0 BUXL 0.0 0.0 0.1 0.0 0 CAC -1.1 -1.4 -0.9 0.0 0 CAD -7.3 -7.7 -6.8 -3.0 -3 CANOLA -8.7 -9.6 -7.8 -4.0 -4 CHF -2.4 -2.5 -2.2 -10.0 -10 COCOA 0.9 0.9 1.0 2.0 2 COFFEE 0.1 0.1 0.1 0.0 0 COPPER -1.6 -2.0 -1.2 -2.0 -2 CORN -6.0 -6.6 -5.4 -7.0 -7 COTTON2 -4.7 -5.0 -4.5 -6.0 -6 CRUDE_W 0.2 -0.3 0.7 0.0 0 DAX 20.1 19.0 21.3 7.0 7 DOW -0.4 -1.2 0.4 0.0 0 DX 2.4 2.1 2.7 0.0 0 EUR -1.3 -1.5 -1.1 -1.0 -1 EURIBOR-ICE 13.0 11.7 14.3 0.0 0 EUROSTX 1.1 0.7 1.5 2.0 2 FEEDCOW 2.3 2.1 2.5 4.0 4 GASOIL -0.4 -0.6 -0.3 -2.0 -2 GASOLINE 0.0 -0.1 0.2 0.0 0 GAS_US_mini -6.3 -8.0 -4.5 -7.0 -7 GBP -1.0 -1.3 -0.7 0.0 0 GOLD_micro -0.3 -0.9 0.3 0.0 0 HEATOIL -1.1 -1.2 -1.0 -2.0 -2 JGB-SGX-mini -34.5 -38.4 -30.5 -16.0 -16 JPY -0.9 -1.2 -0.7 -2.0 -2 LEANHOG 3.9 3.3 4.5 4.0 4 LIVECOW 3.3 3.0 3.7 1.0 1 LUMBER-new -1.2 -1.7 -0.7 0.0 0 MILK -0.1 -0.3 0.1 0.0 0 MXP 6.6 2.9 10.3 0.0 0 NASDAQ_micro 1.8 1.4 2.1 4.0 4 NIKKEI 22.8 20.7 24.9 13.0 13 NZD -2.6 -2.9 -2.3 0.0 0 OAT 1.5 1.2 1.9 3.0 3 OATIES -1.4 -1.8 -1.1 NaN 0 OJ 1.8 1.7 1.9 1.0 1 PALLAD -0.2 -0.3 -0.1 0.0 0 PLAT -1.6 -1.8 -1.3 -1.0 -1 REDWHEAT -2.6 -2.8 -2.4 -4.0 -4 RICE -4.5 -5.0 -4.1 NaN 0 ROBUSTA 0.2 0.1 0.2 0.0 0 RUSSELL 1.7 0.4 3.0 0.0 0 SHATZ -1.3 -1.8 -0.8 NaN 0 SILVER-mini -0.0 -0.2 0.1 0.0 0 SMI -0.6 -0.8 -0.4 0.0 0 SOFR -13.2 -15.3 -11.2 NaN 0 SOYBEAN -1.7 -1.8 -1.6 -2.0 -2 SOYMEAL -2.5 -2.6 -2.4 -1.0 -1 SOYOIL -0.5 -0.6 -0.4 0.0 0 SP400 -0.0 -0.1 0.1 2.0 2 SP500_micro 2.0 1.3 2.7 1.0 1 SUGAR11 -1.1 -1.4 -0.8 0.0 0 US10 -0.9 -1.0 -0.7 0.0 0 US10U -0.6 -0.7 -0.5 -1.0 -1 US2 -2.8 -3.1 -2.4 NaN 0 US20 -0.2 -0.3 -0.1 0.0 0 US30 -0.1 -0.2 -0.1 -2.0 -2 US5 -1.6 -1.9 -1.4 -6.0 -6 VIX -41.7 -44.3 -39.2 -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 -0.2 -0.6 -0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.3 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.1 -0.1 -0.2 0.5 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.4 -0.4 -0.2 -0.1 -0.1 -0.2 -0.1 -0.1 BITCOIN 0.1 0.6 0.6 -0.0 -0.0 0.0 0.0 -0.0 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 -0.2 -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 0.3 0.6 0.6 0.6 0.0 -0.1 -0.1 -0.0 BOBL 0.5 -0.0 0.1 -0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.1 0.1 0.0 -0.0 0.0 0.0 -0.4 -0.1 -0.1 -0.1 0.0 0.0 -0.0 0.0 0.0 0.5 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.1 -0.1 0.0 0.3 0.3 -0.2 -0.4 0.3 0.0 BTP 0.6 0.1 0.1 -0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.1 0.4 0.1 0.7 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.0 0.4 0.2 -2.7 0.1 -0.1 0.1 0.0 0.2 0.1 0.8 0.3 0.5 0.6 0.6 -0.1 -0.4 0.5 0.4 BUND 0.6 0.0 0.0 -0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.1 0.1 0.0 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 -0.1 0.0 -0.0 0.1 0.0 -0.4 -0.1 0.1 0.3 0.3 -0.6 -0.7 0.2 -0.1 BUXL 0.6 0.3 0.1 -0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.1 0.2 0.0 0.1 0.1 0.1 0.0 -0.0 0.0 -0.0 0.1 0.1 -0.1 0.0 0.1 -0.4 0.0 -0.1 0.1 -0.0 0.1 0.0 0.3 -0.1 0.2 0.6 0.4 -0.7 -0.7 -0.2 -0.3 CAC 0.3 -0.2 -0.2 0.1 -0.0 0.2 0.0 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 0.1 -0.2 0.0 -0.9 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.2 0.5 -0.1 -0.6 -0.6 0.2 0.2 -0.1 -0.1 CAD -0.2 -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 -0.5 -0.2 -0.2 -0.2 -0.3 CANOLA -0.4 -0.2 0.2 -0.0 -0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.0 -0.2 -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 0.3 -0.3 0.0 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 -0.1 -0.2 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 0.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -1.1 -0.2 -0.1 -0.2 -0.3 -0.3 -0.3 -0.4 -0.5 COCOA 0.6 0.6 0.4 -0.0 -0.0 -0.1 0.0 -0.2 0.0 0.1 0.3 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 0.1 0.0 0.1 0.1 0.2 0.1 1.1 0.5 0.6 0.6 0.6 0.6 0.7 0.7 0.7 COFFEE 0.4 0.4 0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.0 0.0 0.4 0.1 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.4 0.2 -2.7 0.1 0.0 0.1 0.0 0.1 0.1 0.3 -0.1 0.6 0.6 0.6 -0.2 -0.2 -0.0 0.1 COPPER 0.0 -0.4 -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 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 0.0 -0.0 -2.2 -0.0 -0.0 -0.0 0.0 0.1 -0.0 0.1 0.1 -0.0 -0.2 -0.0 0.3 0.5 0.2 0.7 CORN 0.0 0.1 0.1 -0.0 -0.0 -0.1 0.0 -0.3 0.0 0.1 -0.5 0.1 -0.7 -0.0 -0.1 -0.1 -0.3 -0.2 -0.2 -0.1 -0.2 0.1 -0.5 0.0 -1.3 -0.1 0.0 -0.3 0.0 -0.5 -0.0 -1.1 0.5 -0.3 -0.3 -0.4 0.5 -0.0 0.7 0.1 COTTON2 0.0 -0.2 -0.0 -0.0 -0.0 -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 -0.2 -0.1 -0.5 -0.1 -2.7 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -1.0 -0.5 -0.4 -0.6 -0.2 -0.6 -0.6 -0.5 -0.4 CRUDE_W 0.1 -0.0 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.2 -0.3 0.1 -0.3 -0.0 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.1 0.1 -0.2 0.0 -0.2 -0.0 0.1 -0.1 0.1 -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 0.2 0.3 0.1 -0.0 0.2 0.0 0.3 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 1.1 0.1 0.0 0.1 0.1 0.2 0.1 -0.2 0.5 0.6 0.4 0.4 0.7 0.5 0.5 0.1 DOW 0.2 0.2 0.5 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.4 -0.0 0.6 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.1 0.5 0.1 -1.9 0.1 -0.1 0.2 -0.0 0.3 0.0 -0.4 -0.5 -0.4 0.2 0.6 -0.1 0.0 -0.5 -0.3 DX -0.1 0.6 0.6 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 0.3 0.1 0.4 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.2 0.2 -2.7 0.1 0.0 0.1 0.0 0.1 0.0 0.7 0.5 0.3 0.6 0.6 -0.1 0.1 -0.1 0.2 EUR -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 -0.1 -0.2 -0.1 2.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.5 0.0 -0.2 -0.3 -0.4 0.1 -0.3 0.1 -0.4 EURIBOR-ICE 0.4 0.0 0.2 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 0.2 0.0 0.3 0.1 0.1 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.2 0.1 1.4 0.0 -0.0 0.1 -0.0 0.1 0.0 0.5 0.1 0.0 0.4 0.5 -0.1 -0.4 0.5 0.3 EUROSTX 0.5 -0.2 -0.1 0.1 -0.0 0.2 0.0 0.3 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 0.0 -0.0 0.1 0.1 0.1 0.3 0.5 0.3 -0.5 -0.5 0.2 0.2 -0.4 -0.3 FEEDCOW 0.6 0.6 0.6 -0.0 -0.0 -0.1 0.0 -0.3 0.0 0.1 0.3 0.2 -0.3 0.2 0.2 0.1 -0.1 0.2 0.2 0.2 0.2 0.2 -0.0 0.2 -1.9 0.1 0.0 0.1 0.1 -0.0 0.1 0.2 -0.1 0.6 0.6 0.6 0.6 0.6 0.7 0.7 GASOIL 0.0 0.2 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.3 0.0 -0.4 -0.0 -0.0 0.1 0.1 0.0 0.1 -0.0 -0.1 0.1 -0.2 -0.0 0.6 -0.0 0.1 -0.1 0.0 -0.2 -0.0 0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.3 0.1 -0.4 GASOLINE 0.0 0.0 -0.1 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.1 -0.1 -0.0 -0.0 -0.2 0.4 0.0 0.2 -0.0 -0.1 0.1 -0.1 0.0 -2.7 0.0 0.1 -0.0 0.1 -0.0 0.0 1.0 0.1 0.1 -0.0 0.3 0.1 0.3 0.3 0.5 GAS_US_mini 0.1 0.2 0.5 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.0 -0.3 -0.0 -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 -0.3 -0.0 -0.0 -0.1 -0.3 -0.5 -0.2 -0.4 GBP 0.1 -0.6 -0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 0.0 0.2 -0.1 -0.2 0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.0 0.1 0.1 -0.0 -0.0 0.1 0.2 -0.4 0.6 -0.4 GOLD_micro -0.0 -0.6 -0.2 -0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.2 0.0 0.3 -0.0 0.0 -0.2 -0.3 -0.2 -0.2 0.0 0.1 0.0 0.3 0.0 -1.4 0.0 -0.0 0.1 0.0 0.2 0.0 -0.6 0.0 0.2 0.0 0.3 0.7 0.1 0.7 0.3 HEATOIL -0.1 0.1 -0.1 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.4 0.0 -0.4 -0.0 -0.1 0.1 0.1 0.0 -0.0 -0.1 -0.1 0.1 -0.3 -0.0 -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 -0.2 -0.6 -0.2 -0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 0.4 0.3 0.3 0.3 -0.1 -0.1 -0.0 -0.0 -0.1 -1.8 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 1.1 0.3 -0.6 -0.3 -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 -0.1 -0.1 -0.0 -0.2 -0.0 2.7 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.0 -0.2 0.2 0.1 -0.1 -0.4 -0.7 -0.3 -0.7 LEANHOG -0.2 0.1 0.6 -0.0 -0.0 -0.1 0.0 -0.3 0.0 -0.1 0.4 -0.1 0.2 0.1 0.2 -0.4 0.1 -0.3 0.1 0.2 0.2 -0.1 0.2 0.0 -0.1 0.1 -0.0 0.2 -0.0 0.1 0.0 0.6 -0.4 0.4 0.6 0.6 0.2 -0.2 0.4 0.0 LIVECOW 0.1 -0.2 0.4 -0.0 -0.0 -0.1 0.0 -0.3 0.0 0.2 0.5 0.2 0.7 0.1 0.2 -0.0 0.1 -0.0 0.0 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.2 0.2 0.2 0.2 0.1 0.3 0.5 0.6 0.4 0.6 -0.1 0.6 0.1 0.7 LUMBER-new -0.7 0.5 0.7 -0.0 -0.0 -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 -0.5 0.1 0.1 -0.2 -0.0 -0.1 NaN 0.0 -0.1 0.1 -0.1 0.0 -0.0 -1.2 -0.6 -0.7 0.6 0.6 0.5 0.2 0.8 0.5 MILK 0.2 -0.6 -0.2 -0.0 -0.0 -0.1 0.0 -0.2 0.0 0.1 0.1 0.1 0.2 -0.1 -0.1 -0.0 -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 0.5 0.2 -0.6 -0.2 -0.3 -0.7 -0.2 -0.7 MXP 0.3 0.1 -0.4 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.4 0.1 -0.5 0.0 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.2 0.1 -0.4 0.0 -2.7 -0.0 0.0 -0.2 0.0 -0.2 0.0 1.1 0.5 0.3 0.3 -0.1 0.4 0.7 0.7 0.7 NASDAQ_micro 0.4 0.3 0.5 0.0 -0.0 0.1 0.0 0.2 0.0 0.1 0.4 0.2 0.5 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 -0.3 0.5 0.2 0.4 0.4 0.3 0.1 -0.1 -0.3 NIKKEI 0.2 0.1 0.2 0.0 -0.0 0.1 0.0 0.2 0.0 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 0.3 0.1 -1.4 0.0 0.0 0.0 0.1 0.1 0.1 1.1 0.5 -0.0 -0.1 -0.3 0.7 0.5 0.7 0.6 NZD -0.1 -0.5 -0.4 -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 -0.1 -0.1 -0.1 0.1 -0.3 -0.3 -0.2 -0.1 -0.2 -0.1 -0.2 -0.0 OAT 0.5 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.1 0.1 0.1 -0.1 0.1 0.0 -0.3 0.1 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.6 0.0 -0.1 0.0 -0.0 0.0 0.0 0.6 0.1 -0.0 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 -0.0 0.0 -0.0 -0.2 -0.1 0.0 -0.4 -0.0 -0.2 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 -2.7 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.3 0.1 -0.2 -0.3 0.3 0.7 0.2 0.7 0.5 OJ 0.5 0.2 0.4 -0.0 -0.0 -0.1 0.0 -0.3 0.0 0.1 0.5 0.2 0.7 0.2 0.2 0.4 0.3 0.4 0.3 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.4 0.1 1.1 0.4 0.6 0.6 0.6 0.6 0.3 0.7 0.7 PALLAD -0.2 -0.4 0.3 -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 -0.0 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 -0.3 -0.4 -0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 0.8 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.1 -0.4 -0.6 -0.4 -0.4 0.3 -0.3 0.1 -0.1 REDWHEAT -0.1 -0.4 -0.0 -0.0 -0.0 -0.1 0.0 -0.3 0.0 0.1 -0.5 0.0 -0.7 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 0.0 -0.5 -0.1 -0.4 -0.1 0.0 -0.2 0.0 -0.3 -0.0 -0.9 0.4 -0.0 -0.6 -0.4 -0.7 -0.7 -0.6 -0.7 RICE 0.1 -0.1 -0.3 -0.0 -0.0 -0.1 0.0 -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 -0.1 0.1 -0.0 -2.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 1.0 -0.4 -0.1 -0.4 -0.5 -0.3 -0.7 -0.3 -0.7 ROBUSTA 0.3 -0.3 -0.6 -0.0 -0.0 -0.0 0.0 -0.1 0.0 0.0 0.1 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 0.5 0.4 0.4 0.2 0.1 0.3 0.3 RUSSELL 0.1 0.3 0.4 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.3 -0.0 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.2 -0.1 0.3 0.1 0.2 0.0 -0.0 0.2 -0.0 0.2 0.0 0.0 -0.5 -0.3 0.4 0.4 -0.3 -0.4 -0.7 -0.7 SHATZ 0.3 -0.1 0.3 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 0.2 -0.0 0.0 0.0 0.0 -0.4 -0.4 -0.4 -0.4 0.0 0.0 -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 0.2 -0.1 SILVER-mini -0.0 -0.4 0.1 -0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.1 0.1 0.0 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 0.2 -0.0 -0.4 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.0 -0.0 0.1 0.2 0.2 -0.1 -0.0 0.2 SMI 0.1 -0.6 -0.5 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 -0.0 0.0 0.3 -0.1 -0.1 0.0 0.0 0.0 -0.0 -0.1 -0.1 -0.0 0.1 -0.1 1.3 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.6 -0.2 -0.5 -0.6 -0.6 -0.2 0.1 -0.5 -0.4 SOFR 0.5 -0.5 -0.6 -0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.0 0.1 -0.1 -0.1 -0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.9 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.4 -0.2 -0.4 -0.6 -0.6 -0.1 -0.2 0.5 0.5 SOYBEAN -0.1 -0.1 -0.4 -0.0 -0.0 -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 -0.0 -0.5 -0.1 -2.7 -0.1 -0.0 -0.3 -0.0 -0.4 -0.0 -0.2 -0.1 -0.4 -0.5 -0.5 0.1 -0.2 0.3 -0.0 SOYMEAL 0.3 -0.4 -0.3 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.1 -0.5 -0.1 -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 -0.3 -0.1 -0.6 -0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.5 0.1 0.5 -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 -2.0 -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 0.1 0.3 0.4 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.3 -0.0 0.6 0.1 0.1 -0.2 -0.1 -0.2 -0.1 0.2 0.2 -0.1 0.4 0.1 -1.5 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.0 -0.5 -0.2 0.4 0.6 -0.1 -0.2 -0.6 -0.7 SP500_micro 0.3 0.2 0.6 0.1 -0.0 0.2 0.0 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 0.3 0.0 0.4 0.1 -0.5 -0.2 -0.1 0.3 0.6 0.1 0.1 -0.5 -0.4 SUGAR11 -0.3 -0.3 0.6 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.1 0.2 -0.2 -0.2 -0.2 0.1 0.4 0.4 0.4 0.4 -0.0 0.0 -0.1 0.0 -0.1 -2.7 0.0 -0.1 0.1 -0.0 0.0 -0.0 1.1 -0.3 -0.1 -0.1 0.6 -0.7 0.0 -0.7 0.2 US10 0.6 -0.4 -0.6 -0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.2 -0.1 -0.2 -0.3 -0.4 -0.2 -0.5 0.2 0.3 US10U 0.6 -0.3 -0.5 -0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.3 -0.5 -0.2 -0.4 0.5 0.5 US2 0.5 -0.6 -0.6 -0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.3 -0.4 -0.4 -0.4 -0.1 -0.1 -0.0 -0.2 -0.1 2.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -1.1 0.2 -0.4 -0.5 -0.4 -0.3 -0.5 -0.0 -0.2 US20 0.5 -0.3 -0.5 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.0 0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.4 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.2 -0.1 -0.3 -0.2 -0.4 -0.1 -0.2 0.7 0.6 US30 0.4 -0.2 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.2 0.7 0.5 US5 0.6 -0.6 -0.6 -0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 1.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.4 -0.0 -0.3 -0.4 -0.5 -0.2 -0.4 0.3 0.2 VIX -0.2 -0.6 -0.3 -0.1 0.1 -0.1 0.0 -0.3 -0.0 0.3 -0.7 0.0 -1.0 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.2 -0.2 0.0 -0.6 -0.1 NaN -0.1 0.0 -0.1 0.0 -0.3 -0.0 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.2 -0.4 -0.1 -0.0 -0.0 -0.1 0.0 -0.3 0.0 -0.0 -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 -0.1 0.8 -0.1 -0.0 -0.2 -0.0 -0.2 -0.1 -1.1 0.1 -0.3 -0.6 -0.4 -0.6 -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 -6.7 -17.1 -9.1 -4.0 -3.9 -2.9 -2.7 -1.1 -3.1 -14.2 -10.8 -14.9 -4.7 -15.4 -15.0 -0.4 -1.5 -0.4 -0.8 -15.2 -9.6 -15.3 -4.3 -16.3 3.7 -5.2 -4.6 -3.2 -5.5 -1.2 -5.7 -0.0 -15.0 -12.6 -7.5 -2.2 -3.7 -4.8 -2.8 -3.9 BITCOIN 3.0 20.0 17.9 -0.6 -3.8 0.3 0.9 -0.2 -0.5 18.2 19.6 19.8 18.6 20.0 20.0 -9.8 -7.4 -8.4 -7.6 20.0 20.0 20.0 20.0 20.0 -20.0 8.2 2.5 6.5 3.6 5.2 6.6 -3.5 11.1 20.0 20.0 20.0 0.5 -2.9 -2.8 -0.0 BOBL 16.8 -0.1 2.6 -0.4 -6.4 -0.2 -1.9 0.4 0.3 -10.7 5.0 0.5 -1.0 4.3 1.4 -20.0 -6.6 -6.0 -4.5 4.0 3.1 -3.7 1.2 3.8 3.8 1.9 -7.3 1.7 -1.8 1.3 1.7 -2.7 -2.5 0.7 7.7 8.7 -5.9 -13.2 9.3 1.1 BTP 18.9 2.6 2.2 -0.6 -10.5 -0.3 -3.1 0.6 0.6 -14.6 16.1 10.4 18.8 15.3 14.4 4.1 5.2 5.6 5.2 16.6 14.6 2.6 14.3 16.7 -20.0 6.0 -8.9 5.3 0.6 5.1 5.8 15.7 14.0 15.0 20.0 20.0 -3.3 -11.3 13.8 10.8 BUND 19.5 0.6 0.0 -0.4 -7.7 -0.2 -2.2 0.4 0.4 -13.3 5.2 0.8 1.6 4.8 1.5 0.3 -6.8 -9.8 -9.8 4.7 3.0 -6.0 1.4 4.7 0.7 2.2 -9.6 1.7 -2.6 1.4 2.0 -7.5 -5.0 3.4 9.9 8.6 -18.9 -20.0 4.9 -1.5 BUXL 19.5 9.7 2.9 -0.5 -9.2 -0.3 -2.7 0.5 0.5 -15.9 7.6 1.4 2.3 8.7 7.7 0.8 -1.1 0.4 -0.4 10.4 5.8 -7.5 1.1 9.2 -3.4 3.8 -10.5 2.4 -3.0 1.5 3.1 5.5 -6.2 5.5 20.0 12.6 -20.0 -20.0 -6.4 -8.9 CAC 10.3 -7.6 -7.3 5.6 -1.7 5.9 2.7 7.6 5.3 8.1 -15.2 11.9 -5.7 -1.6 -10.2 -5.9 -3.8 -5.7 -5.0 -7.6 -12.4 13.4 -7.9 4.4 -6.5 -2.9 3.9 -4.7 6.3 -2.3 2.4 3.8 20.0 -2.2 -20.0 -20.0 4.6 7.3 -4.3 -2.8 CAD -5.5 -13.2 -12.2 -5.7 -5.5 -4.2 -3.8 -1.6 -4.4 -20.0 -19.8 -20.0 -19.2 -20.0 -20.0 -6.2 -4.6 -6.0 -5.4 -20.0 -20.0 -20.0 -14.9 -20.0 1.5 -7.9 -7.1 -6.1 -7.8 -4.0 -8.0 -6.5 -20.0 -20.0 -14.8 -13.9 -5.9 -6.7 -7.3 -7.5 CANOLA -12.7 -5.8 5.1 -0.2 -0.3 -1.4 1.0 -2.6 0.5 5.3 -2.0 0.5 -5.5 -1.9 -0.8 -12.3 -12.4 -13.9 -13.8 -2.8 -2.7 3.9 -4.4 -1.1 -11.2 -0.1 1.5 0.0 1.6 -1.2 0.1 -20.0 14.5 -10.1 1.4 5.8 -8.1 -10.6 -3.1 -5.0 CHF 3.0 -20.0 -13.1 -3.5 -3.4 -2.6 -2.4 -1.0 -2.7 -11.7 -6.9 -5.8 -6.4 -9.5 -11.1 -14.8 -16.0 -15.2 -15.4 -13.3 -9.0 -11.1 -4.1 -11.3 4.1 -4.1 -5.3 -2.6 -3.5 -0.9 -3.5 -20.0 -7.3 -4.5 -7.4 -8.7 -9.9 -9.0 -12.5 -14.8 COCOA 20.0 20.0 11.2 -0.3 -0.4 -2.3 1.6 -4.2 0.8 11.6 9.8 12.9 9.7 13.3 13.3 -1.5 20.0 15.2 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 4.7 4.8 3.8 4.8 4.3 5.1 20.0 20.0 20.0 20.0 20.0 19.0 20.0 20.0 20.0 COFFEE 12.8 12.8 1.1 -0.4 -0.6 -2.8 1.9 -5.2 1.0 3.7 14.1 9.4 14.5 12.7 13.1 3.3 4.6 2.9 3.4 20.0 19.6 14.9 15.9 20.0 -20.0 5.4 0.1 4.0 3.1 3.4 5.5 6.3 -5.5 20.0 20.0 20.0 -5.9 -5.6 -0.0 2.4 COPPER 0.5 -13.7 -3.9 -0.4 -2.2 0.1 0.5 -0.1 -0.3 1.0 -8.8 4.7 -2.4 -7.1 -8.7 -6.0 -3.8 -5.1 -4.2 -6.4 -4.6 1.8 0.1 -2.6 -16.2 -1.5 -1.4 -0.2 0.9 1.9 -0.5 2.5 3.5 -0.7 -7.1 -0.8 7.7 13.8 4.8 20.0 CORN 1.2 3.7 1.6 -0.6 -0.8 -4.3 3.0 -7.9 1.5 12.3 -20.0 12.8 -20.0 -1.7 -6.9 -7.3 -13.1 -9.6 -12.2 -8.2 -19.6 10.6 -20.0 1.2 -10.1 -5.9 3.9 -9.7 4.5 -13.8 -1.2 -20.0 20.0 -9.9 -7.8 -12.7 14.1 -1.4 20.0 3.4 COTTON2 0.2 -5.8 -0.1 -0.6 -0.8 -3.9 2.7 -7.1 1.4 -16.8 -18.4 -9.6 -19.9 -13.0 -12.4 -14.5 -8.2 -14.3 -12.0 -11.3 -13.9 -12.0 -19.7 -11.7 -20.0 -6.4 -6.9 -5.6 -6.6 -4.7 -6.9 -18.0 -20.0 -11.7 -17.6 -6.2 -19.0 -18.3 -16.5 -13.1 CRUDE_W 1.7 -0.4 -6.2 -1.5 11.2 -3.6 5.6 -3.4 0.9 18.7 -11.0 7.7 -7.6 -3.5 -5.6 3.9 9.4 5.1 7.2 -5.1 -8.8 7.5 -6.5 0.3 -1.5 -2.3 11.2 -4.6 5.6 -3.7 0.6 7.4 -3.8 1.2 -2.1 3.1 -2.0 6.6 -0.9 11.6 DAX 20.0 4.8 10.3 5.7 -1.7 6.0 2.8 7.7 5.4 18.8 17.8 20.0 19.1 18.9 19.4 -8.6 -9.7 -8.5 -8.8 20.0 20.0 20.0 19.3 20.0 8.0 6.3 4.6 4.7 8.6 5.1 8.8 -4.7 20.0 20.0 10.8 13.8 20.0 14.4 14.7 3.8 DOW 5.9 6.9 14.0 4.4 -1.4 4.7 2.2 6.0 4.2 -14.8 14.7 -1.8 15.9 9.3 13.3 -10.8 -10.7 -10.4 -10.3 18.0 20.0 -9.4 20.0 6.9 -14.1 4.9 -5.6 6.4 -3.1 7.0 1.3 -6.8 -20.0 -11.0 5.2 20.0 -3.2 1.0 -14.5 -8.9 DX -1.7 20.0 18.7 -4.2 -4.1 -3.1 -2.9 -1.2 -3.3 14.9 12.4 11.3 10.5 14.2 15.5 5.3 6.5 5.8 6.0 20.0 16.4 12.2 8.6 16.0 -20.0 5.1 3.7 3.9 2.9 2.0 3.8 12.8 20.0 9.9 20.0 20.0 -3.8 3.1 -2.8 4.7 EUR -0.3 -19.2 -16.8 -3.4 -3.3 -2.5 -2.3 -1.0 -2.6 -8.3 -9.6 -3.7 -7.3 -9.7 -11.5 -6.5 -7.0 -6.6 -6.7 -15.5 -12.0 -7.0 -6.4 -11.6 15.1 -4.3 -1.6 -3.2 -1.9 -1.4 -3.2 -9.7 0.7 -6.0 -8.8 -12.9 1.8 -9.5 1.7 -11.5 EURIBOR-ICE 12.0 1.1 5.4 -0.3 -5.1 -0.2 -1.5 0.3 0.3 -7.0 8.1 2.7 7.4 6.3 6.2 5.3 0.6 5.0 3.2 7.7 8.1 0.0 7.2 6.3 10.8 3.0 -4.4 3.1 -0.1 2.9 2.4 10.1 4.9 1.2 12.2 15.4 -3.0 -12.9 15.1 7.7 EUROSTX 16.6 -5.1 -4.5 5.4 -1.7 5.7 2.6 7.3 5.1 12.8 0.0 16.4 11.2 9.6 0.4 -2.8 -3.3 -3.6 -3.8 3.0 -0.8 18.6 4.8 13.7 -3.1 1.2 4.3 -0.2 8.0 3.0 5.9 5.1 20.0 10.0 -14.0 -14.0 5.7 4.5 -10.6 -10.3 FEEDCOW 20.0 20.0 19.8 -0.6 -0.8 -4.3 2.9 -7.9 1.5 12.6 9.5 19.7 -8.2 20.0 20.0 6.0 -3.2 10.8 7.8 20.0 16.2 20.0 -1.7 20.0 -14.2 7.4 2.8 3.2 5.3 -0.1 7.9 3.5 -3.6 20.0 20.0 20.0 18.2 16.9 20.0 20.0 GASOIL 0.0 5.5 -5.7 -1.3 10.3 -3.3 5.2 -3.1 0.8 15.5 -12.9 1.9 -9.9 -2.3 -4.2 2.8 6.2 2.3 2.7 -4.2 -9.3 5.8 -8.6 -0.4 4.5 -2.4 10.7 -5.4 3.7 -5.3 -0.1 0.1 -2.6 -1.5 1.3 -7.2 -0.2 -7.5 1.9 -11.9 GASOLINE 0.4 0.0 -3.4 -1.3 9.9 -3.2 5.0 -3.0 0.8 16.7 -8.7 8.3 -4.1 -1.8 -1.8 -8.1 18.0 0.8 11.1 -2.5 -5.1 7.8 -3.1 1.5 -20.0 0.3 8.6 -1.0 5.5 -0.2 2.0 19.5 2.2 3.0 -0.5 8.2 3.0 8.6 7.6 15.4 GAS_US_mini 3.1 6.2 15.6 -1.0 7.4 -2.4 3.7 -2.3 0.6 5.4 -10.5 -2.2 -13.2 -0.2 -3.2 7.5 -20.0 -20.0 -20.0 -1.4 -4.7 3.3 -10.0 1.0 20.0 -2.1 2.7 -3.4 1.0 -5.2 -0.8 -20.0 -14.2 -1.0 -0.9 -1.8 -8.7 -14.4 -6.7 -12.2 GBP 3.1 -19.7 -11.5 -5.1 -5.0 -3.8 -3.4 -1.5 -3.9 -13.9 -6.0 4.0 4.7 -8.8 -14.0 0.8 -0.1 0.6 0.3 -13.5 -7.3 -5.9 1.7 -9.0 -1.0 -4.8 -6.3 -2.1 -2.4 1.6 -3.3 2.2 4.6 -0.0 -1.2 3.0 5.5 -11.2 19.1 -10.6 GOLD_micro -0.5 -20.0 -6.0 -0.3 -1.7 0.1 0.4 -0.1 -0.2 -3.1 5.7 1.8 9.2 -1.7 1.5 -9.0 -12.7 -10.8 -11.7 2.1 6.9 2.7 10.6 1.3 -10.3 1.1 -0.7 3.4 1.1 5.2 0.5 -11.8 0.6 6.9 1.3 8.8 20.0 3.8 20.0 8.8 HEATOIL -1.6 2.1 -3.6 -1.3 9.8 -3.1 4.9 -3.0 0.8 16.4 -13.2 4.3 -12.3 -4.1 -7.4 3.8 2.8 0.3 -0.8 -5.1 -9.5 6.9 -9.7 -1.0 -20.0 -2.0 10.5 -4.1 4.1 -4.4 -0.4 -6.3 -4.4 -3.3 -0.8 1.4 -1.3 1.9 0.6 2.6 JGB-SGX-mini -4.9 -20.0 -6.2 -0.4 -6.6 -0.2 -1.9 0.4 0.4 -0.2 -1.9 -7.1 0.7 -11.9 -10.6 18.1 13.9 15.7 14.7 -11.3 -6.1 -4.4 -1.3 -10.0 -13.5 -3.7 0.1 -2.2 -1.5 -1.1 -3.3 20.0 12.2 -18.9 -9.3 -3.8 -20.0 -17.3 -20.0 -13.2 JPY 14.9 -8.3 -7.7 -2.5 -2.4 -1.8 -1.7 -0.7 -1.9 -8.8 -3.7 -0.9 -5.2 -0.5 -6.2 -10.3 -13.4 -10.8 -11.6 -4.8 -5.2 -5.3 -6.1 -2.5 20.0 -1.5 -4.3 -1.6 -2.1 -2.0 -0.9 -19.5 -6.3 6.1 3.4 -2.2 -10.8 -20.0 -7.8 -20.0 LEANHOG -7.3 3.6 20.0 -0.6 -0.9 -4.4 3.0 -7.9 1.5 -10.2 13.4 -6.1 6.0 4.8 19.0 -20.0 5.5 -15.4 4.4 16.6 17.7 -10.1 6.0 2.8 -0.9 7.6 -2.4 7.0 -1.6 3.2 3.5 11.2 -18.3 11.9 20.0 20.0 7.4 -6.1 11.9 0.0 LIVECOW 4.4 -5.0 11.6 -0.7 -0.9 -4.6 3.1 -8.4 1.6 20.0 20.0 20.0 19.0 12.7 20.0 -0.2 4.3 -2.5 1.3 15.7 17.2 20.0 17.2 18.4 -20.0 6.7 19.1 6.2 14.0 6.8 9.0 5.2 20.0 20.0 12.4 20.0 -2.4 17.7 3.1 20.0 LUMBER-new -18.8 13.5 17.7 -0.5 -0.7 -3.5 2.4 -6.1 1.2 -17.8 6.4 -18.8 -3.9 -1.8 8.9 -20.0 -19.0 -20.0 -19.5 7.4 8.7 -20.0 -1.0 -8.4 NaN 2.1 -8.5 3.1 -8.0 0.3 -3.6 -20.0 -20.0 -20.0 15.6 16.8 13.7 4.2 20.0 12.1 MILK 7.2 -20.0 -7.1 -0.4 -0.5 -2.5 1.7 -4.6 0.9 9.6 2.8 8.0 6.0 -5.5 -8.4 -1.8 -2.9 5.8 5.8 -6.8 -1.3 10.4 3.8 -0.0 14.3 -2.1 4.9 -0.6 4.0 0.8 0.5 1.8 20.0 7.1 -18.7 -6.1 -10.2 -20.0 -5.8 -20.0 MXP 8.8 2.5 -12.3 -3.9 -3.9 -2.9 -2.7 -1.1 -3.0 12.6 -14.3 13.4 -12.6 0.8 -8.6 11.5 13.2 11.6 11.7 -6.9 -14.8 6.9 -13.7 1.8 -20.0 -3.3 3.7 -7.0 3.7 -6.2 1.0 20.0 20.0 10.4 10.0 -4.5 12.9 20.0 20.0 20.0 NASDAQ_micro 13.5 9.6 14.5 4.2 -1.3 4.4 2.0 5.7 4.0 12.8 13.7 14.0 13.9 14.3 15.0 -11.0 -10.0 -10.1 -9.7 19.7 17.9 18.8 19.3 20.0 -20.0 5.6 4.9 5.7 5.2 7.2 5.5 -5.5 20.0 6.1 11.1 11.1 10.4 4.5 -3.5 -8.3 NIKKEI 6.5 3.5 7.6 4.6 -1.4 4.9 2.2 6.2 4.4 8.8 7.7 12.1 8.5 8.9 12.9 10.0 7.2 6.1 5.8 7.0 6.0 12.0 10.1 9.9 -10.3 2.4 4.2 0.0 6.7 3.1 5.4 20.0 20.0 -0.5 -4.0 -8.9 20.0 14.9 20.0 18.5 NZD -2.5 -16.4 -11.1 -3.5 -3.4 -2.6 -2.4 -1.0 -2.7 -12.5 -10.6 -12.7 -5.6 -13.2 -13.2 -1.5 -0.5 -1.2 -0.8 -13.6 -9.7 -14.1 -4.9 -13.6 2.0 -4.5 -5.4 -3.0 -5.0 -1.4 -4.7 0.9 -14.2 -10.0 -5.3 -2.0 -5.7 -4.3 -5.5 -0.3 OAT 16.6 0.4 -0.4 -0.4 -7.9 -0.3 -2.3 0.4 0.4 -11.6 3.1 5.0 -1.8 8.4 0.4 -12.8 3.0 -1.8 1.3 3.4 0.5 -2.3 -1.4 5.6 4.3 2.1 -10.7 1.0 -1.6 0.6 2.8 10.9 3.8 -0.3 8.7 7.5 -1.9 -13.9 17.6 5.8 OATIES -5.8 -12.4 18.3 -0.3 -0.4 -2.0 1.3 -3.6 0.7 -1.3 0.4 -4.3 -5.8 -7.3 3.6 -19.2 -1.5 -10.0 -4.4 -0.8 1.6 -1.6 -0.5 -3.2 -20.0 -1.3 1.6 0.2 -1.3 -0.1 -2.5 -5.0 3.1 -5.5 -7.8 9.9 20.0 5.6 20.0 13.9 OJ 15.3 6.0 12.0 -0.6 -0.8 -4.1 2.8 -7.5 1.4 16.5 20.0 19.8 20.0 20.0 20.0 20.0 14.7 18.8 15.9 20.0 20.0 18.8 20.0 20.0 -20.0 8.0 6.9 8.0 6.3 10.9 7.9 20.0 18.0 20.0 20.0 20.0 18.0 8.8 20.0 20.0 PALLAD -7.0 -13.1 10.2 -0.2 -1.5 0.1 0.4 -0.1 -0.2 -4.8 -1.1 -4.4 -3.6 -7.3 -4.5 -1.8 -2.1 -2.0 -2.0 -3.3 -0.9 -3.1 -2.5 -4.4 14.4 -1.0 -2.2 0.2 -1.5 -0.5 -1.9 5.7 -7.3 -3.5 -1.3 0.6 -16.1 -20.0 -20.0 -20.0 PLAT -7.9 -13.5 -0.9 -0.4 -2.4 0.2 0.6 -0.1 -0.3 -10.5 -9.3 -10.0 -4.7 -13.3 -9.2 -5.3 -4.5 -4.7 -4.6 -8.5 -4.6 -8.5 -2.0 -9.7 6.2 -4.3 -5.3 -2.3 -4.7 -1.0 -5.4 1.4 -17.7 -18.6 -12.8 -11.2 8.7 -8.8 2.8 -2.9 REDWHEAT -1.8 -11.3 -1.3 -0.6 -0.8 -4.1 2.8 -7.4 1.4 8.5 -20.0 3.2 -20.0 -12.9 -15.9 -10.5 -8.1 -10.6 -10.0 -15.5 -17.8 2.5 -20.0 -8.2 -3.3 -6.1 0.3 -6.8 1.4 -7.6 -2.9 -16.4 18.3 -0.2 -20.0 -10.8 -20.0 -20.0 -16.7 -20.0 RICE 4.4 -3.7 -8.1 -0.6 -0.8 -3.9 2.7 -7.1 1.4 -19.2 -1.4 -5.2 8.4 6.3 -3.3 -8.9 15.4 -7.3 3.8 -3.9 -4.5 -6.2 2.2 -2.2 -15.7 -4.5 -5.7 -4.2 -4.6 -1.1 -3.4 18.6 -18.6 -3.0 -13.1 -14.5 -9.6 -20.0 -10.0 -20.0 ROBUSTA 10.5 -9.4 -18.9 -0.2 -0.3 -1.4 1.0 -2.6 0.5 4.6 5.5 1.6 6.7 3.0 3.3 3.9 20.0 11.4 18.0 6.2 7.0 5.1 9.2 6.3 -20.0 2.2 0.6 2.5 1.3 3.7 2.1 20.0 -13.3 16.3 11.2 12.0 6.0 2.0 10.0 8.1 RUSSELL 2.7 10.5 12.0 4.2 -1.3 4.4 2.0 5.7 4.0 -13.7 11.9 -2.5 13.3 8.0 11.4 -6.7 -6.4 -6.4 -6.2 13.6 14.8 -8.2 12.7 4.9 1.2 4.5 -5.1 5.6 -2.5 5.5 1.4 0.5 -20.0 -10.6 10.9 13.8 -8.1 -11.8 -20.0 -20.0 SHATZ 8.0 -1.7 9.5 -0.3 -4.9 -0.2 -1.4 0.3 0.3 -7.9 6.0 -1.6 0.9 2.8 2.2 -20.0 -20.0 -20.0 -20.0 3.6 4.5 -3.0 1.9 1.8 5.8 1.9 -5.4 2.5 -1.6 1.7 1.0 -20.0 -0.3 -4.1 6.7 10.5 -5.9 -13.6 5.0 -4.4 SILVER-mini -0.6 -13.9 2.6 -0.4 -2.4 0.2 0.6 -0.1 -0.3 -8.7 2.9 1.9 8.2 -8.2 -0.6 -6.0 -6.4 -6.0 -6.0 -0.3 4.0 -1.1 8.0 -0.6 -3.1 0.8 -6.3 2.6 -0.4 4.2 0.3 -1.4 0.5 -0.2 1.9 5.4 5.8 -1.8 -0.9 7.3 SMI 3.2 -18.2 -14.7 4.4 -1.4 4.7 2.2 6.0 4.2 -7.0 -1.1 1.1 9.2 -9.7 -10.3 0.6 0.4 0.4 -0.1 -10.0 -5.5 -3.7 3.6 -6.8 9.4 -3.8 -1.7 -0.8 -1.7 4.0 -2.9 11.4 -9.9 -14.0 -20.0 -20.0 -6.1 1.6 -16.4 -10.6 SOFR 16.9 -16.2 -20.0 -0.5 -8.2 -0.3 -2.4 0.5 0.5 -14.1 -3.1 -2.7 2.5 -6.6 -11.8 -0.9 -0.0 0.0 0.2 -11.1 -8.5 -10.4 -2.2 -6.2 -6.4 -4.3 -7.1 -3.3 -3.8 -0.9 -2.9 7.1 -8.3 -13.8 -18.2 -19.1 -2.2 -6.1 15.0 14.8 SOYBEAN -2.0 -3.3 -11.4 -0.5 -0.7 -3.6 2.5 -6.6 1.3 2.6 -19.5 -7.8 -19.0 -15.1 -17.7 -2.2 0.2 -2.3 -2.5 -17.7 -20.0 -3.0 -20.0 -10.4 -20.0 -7.1 -0.8 -9.7 -0.9 -10.9 -4.1 -3.4 -4.9 -13.6 -14.2 -15.9 4.0 -6.7 7.9 -0.9 SOYMEAL 7.9 -11.1 -8.6 -0.5 -0.7 -3.5 2.4 -6.4 1.2 -10.5 -19.1 -7.3 -18.8 -16.2 -18.8 -13.2 -1.1 -9.1 -5.6 -17.1 -20.0 -4.5 -20.0 -9.8 -20.0 -6.1 -3.4 -6.9 -1.3 -6.4 -3.2 -6.5 -12.2 -2.7 -20.0 -15.3 -20.0 -20.0 -20.0 -20.0 SOYOIL -14.8 2.3 14.1 -0.2 -0.3 -1.5 1.0 -2.7 0.5 5.0 -1.3 -2.7 -5.9 -5.1 -1.4 -3.4 -0.0 -2.1 -1.1 -1.3 -0.9 -0.4 -3.5 -2.5 -15.2 -0.6 0.4 -0.1 -0.7 -1.0 -1.5 -1.8 3.6 -14.1 0.6 5.1 4.4 -5.2 10.7 0.7 SP400 4.3 9.6 13.3 4.5 -1.4 4.8 2.2 6.1 4.3 -14.7 12.9 -3.0 15.3 7.1 12.0 -8.0 -6.7 -7.6 -7.1 16.3 17.6 -7.9 16.1 6.4 -11.2 5.1 -4.3 6.0 -2.0 6.1 2.0 -0.5 -20.0 -6.0 11.1 18.0 -4.1 -6.6 -19.0 -20.0 SP500_micro 10.5 6.9 19.8 5.8 -1.8 6.2 2.8 7.9 5.6 -10.8 20.0 15.1 20.0 19.5 20.0 -12.9 -12.0 -12.1 -11.7 20.0 20.0 8.4 20.0 20.0 -20.0 7.7 -1.2 9.9 1.2 12.5 4.7 -9.1 -6.4 -3.2 8.1 20.0 3.3 4.0 -14.2 -11.8 SUGAR11 -10.4 -9.5 19.3 -0.5 -0.6 -3.2 2.2 -5.9 1.1 -15.7 6.5 -15.3 -5.7 -15.1 4.9 20.0 20.0 20.0 20.0 -1.5 4.3 -13.4 1.8 -9.2 -20.0 1.8 -9.3 3.1 -4.5 1.0 -1.2 20.0 -13.5 -1.6 -3.5 20.0 -20.0 1.0 -20.0 4.5 US10 18.1 -13.2 -17.1 -0.3 -5.9 -0.2 -1.7 0.3 0.3 -10.1 -3.9 -0.9 -0.4 -3.3 -8.1 -3.1 -6.2 -4.1 -5.1 -7.0 -6.3 -6.0 -3.5 -3.1 1.8 -2.9 -4.9 -2.3 -2.3 -0.9 -1.7 -2.8 -2.5 -7.5 -10.5 -13.1 -7.1 -15.7 6.4 9.3 US10U 17.1 -10.1 -14.4 -0.4 -7.5 -0.2 -2.2 0.4 0.4 -12.9 -5.0 -1.3 -0.5 -3.0 -9.8 -4.5 -3.7 -4.4 -4.3 -7.3 -6.8 -8.0 -4.3 -3.4 -1.6 -3.5 -6.7 -3.0 -3.2 -1.3 -2.1 -0.4 -3.7 -9.4 -10.7 -15.2 -5.1 -11.2 15.0 16.4 US2 15.9 -20.0 -17.0 -0.4 -6.7 -0.2 -2.0 0.4 0.4 -11.0 -5.3 2.7 -3.6 -5.5 -10.3 -16.0 -20.0 -18.9 -20.0 -12.7 -10.4 -4.1 -7.1 -5.5 19.0 -3.4 -4.0 -2.4 -1.8 -0.9 -2.0 -20.0 6.4 -11.7 -15.2 -12.8 -9.5 -15.4 -0.4 -6.7 US20 14.9 -7.8 -14.7 -0.3 -5.3 -0.2 -1.6 0.3 0.3 -9.2 -3.6 -2.5 1.6 -2.3 -7.2 -0.9 -1.3 -1.4 -1.4 -4.8 -4.4 -7.4 -2.5 -2.8 -3.3 -2.7 -5.9 -2.1 -3.2 -0.7 -1.9 4.7 -5.6 -9.9 -7.0 -11.1 -1.7 -7.1 20.0 18.4 US30 13.4 -4.9 -11.3 -0.3 -5.5 -0.2 -1.6 0.3 0.3 -9.5 -4.5 -2.9 0.0 -1.7 -7.0 -5.0 -4.4 -3.7 -3.9 -4.0 -4.0 -7.6 -3.0 -2.7 -2.2 -2.5 -6.5 -2.2 -3.4 -0.9 -1.8 -0.2 -4.6 -9.4 -4.2 -9.2 -1.7 -7.1 20.0 15.9 US5 17.6 -17.3 -18.6 -0.4 -6.9 -0.2 -2.0 0.4 0.4 -11.9 -5.2 -1.1 -2.9 -5.8 -10.4 -5.0 -9.3 -6.6 -8.0 -10.8 -9.2 -7.0 -5.2 -5.2 7.6 -3.3 -5.1 -2.7 -2.3 -1.0 -1.9 -8.1 -1.7 -8.5 -13.3 -15.1 -4.7 -12.6 7.6 6.6 VIX -3.3 -12.5 -5.7 -3.5 3.5 -2.4 2.2 -4.4 -1.7 19.1 -17.1 2.5 -17.0 -16.5 -18.5 -20.0 -20.0 -18.9 -19.6 -11.5 -9.0 1.5 -13.5 -7.6 NaN -4.3 3.3 -2.8 1.8 -5.2 -2.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -5.1 -11.5 -2.5 -0.6 -0.8 -4.2 2.9 -7.7 1.5 -0.6 -19.8 -6.6 -19.4 -16.5 -15.1 -14.8 -14.5 -14.2 -14.3 -18.3 -18.9 -4.3 -20.0 -13.4 5.9 -7.2 -2.8 -6.9 -1.5 -6.9 -5.0 -20.0 5.1 -8.5 -20.0 -12.9 -19.5 -20.0 -13.8 -18.7 End of report for caleb_strategy_v3