******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241227_204442 produced at 2024-12-27 21:40:57.172007 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 SOFR False True 0.08 0.00 -1.62 0.0 0.00 0.00 0.00 0.00 -19.94 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.46 -0.81 0.0 0.49 -0.49 -0.46 -0.46 -26.70 16.0 -15 -15 caleb_strategy_v3 US2 False True 0.07 0.00 -0.21 0.0 0.00 0.00 0.00 0.00 -2.99 13.0 0 0 caleb_strategy_v3 CAD False False 0.02 -0.05 -0.17 0.0 0.68 -0.68 -0.05 -0.02 -7.23 29.0 -2 -1 caleb_strategy_v3 CHF False False 0.05 -0.47 -0.13 0.0 0.62 -0.62 -0.47 -0.47 -2.76 13.0 -10 -10 caleb_strategy_v3 COPPER False False 0.04 -0.14 -0.13 0.0 999.00 -999.00 -0.14 -0.14 -3.58 999999999.0 -4 -4 caleb_strategy_v3 VIX False False 0.01 -0.09 -0.09 0.0 999.00 -999.00 -0.09 -0.09 -15.00 999999999.0 -15 -15 caleb_strategy_v3 US5 False False 0.04 -0.18 -0.08 0.0 0.90 -0.90 -0.18 -0.18 -2.21 25.0 -5 -5 caleb_strategy_v3 AUD False False 0.02 -0.06 -0.06 0.0 0.40 -0.40 -0.06 -0.06 -2.83 19.0 -3 -3 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.06 0.0 0.40 -0.40 -0.02 -0.02 -3.25 21.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.06 0.0 0.13 -0.13 -0.06 -0.06 -4.75 11.0 -5 -5 caleb_strategy_v3 RICE False True 0.01 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -6.24 4.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.86 12.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.63 -0.63 0.00 0.00 -1.32 17.0 0 0 caleb_strategy_v3 EUR False False 0.04 -0.04 -0.05 0.0 0.62 -0.62 -0.04 -0.04 -1.18 14.0 -1 -1 caleb_strategy_v3 JPY False False 0.03 -0.05 -0.05 0.0 0.46 -0.46 -0.05 -0.11 -1.86 17.0 -2 -4 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.16 24.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.04 0.0 0.09 -0.09 -0.05 -0.05 -4.93 12.0 -7 -7 caleb_strategy_v3 SP400 False False 0.11 0.00 -0.04 0.0 0.21 -0.21 0.00 0.00 -0.40 2.0 0 0 caleb_strategy_v3 DOW False False 0.01 -0.07 -0.04 0.0 0.49 -0.49 -0.07 -0.04 -4.83 66.0 -10 -6 caleb_strategy_v3 US10U False False 0.04 -0.04 -0.04 0.0 0.49 -0.49 -0.04 -0.04 -1.06 13.0 -1 -1 caleb_strategy_v3 HEATOIL False False 0.03 -0.09 -0.04 0.0 0.09 -0.09 -0.09 -0.09 -1.28 3.0 -3 -3 caleb_strategy_v3 REDWHEAT False False 0.01 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -2.81 8.0 -4 -4 caleb_strategy_v3 GBP False False 0.03 0.00 -0.03 0.0 0.59 -0.59 0.00 0.00 -1.09 22.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -3.11 9.0 -2 -2 caleb_strategy_v3 GASOLINE False False 0.03 -0.03 -0.03 0.0 999.00 -999.00 -0.03 -0.03 -0.92 999999999.0 -1 -1 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 -0.02 0.0 0.50 -0.50 -0.01 -0.01 -2.15 56.0 -1 -1 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.02 0.0 0.12 -0.12 -0.05 -0.05 -1.17 7.0 -3 -3 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.02 0.0 0.15 -0.15 -0.02 -0.02 -7.80 51.0 -8 -8 caleb_strategy_v3 US20 False True 0.04 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.48 9.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.02 -0.02 0.0 0.26 -0.26 -0.02 -0.03 -6.36 68.0 -4 -7 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.63 2.0 0 0 caleb_strategy_v3 SMI False True 0.04 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.55 9.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.00 -0.02 0.0 0.11 -0.11 0.00 0.00 -0.84 5.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.02 0.0 0.10 -0.10 -0.01 -0.01 -1.49 9.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 -0.02 -0.02 0.0 0.12 -0.12 -0.02 -0.02 -3.62 18.0 -3 -3 caleb_strategy_v3 SP500_micro False False 0.01 -0.02 -0.02 0.0 0.49 -0.49 -0.02 -0.02 -2.22 48.0 -2 -2 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.54 10.0 -1 -1 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.33 2.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -0.82 10.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -1.12 3.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.01 0.0 0.79 -0.79 0.00 0.00 -0.18 19.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.16 -0.01 0.0 0.24 -0.24 -0.16 -0.16 -0.32 6.0 -4 -4 caleb_strategy_v3 GASOIL False False 0.02 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -0.50 4.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 -0.01 0.0 999.00 -999.00 0.00 0.00 -0.50 999999999.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.47 -0.47 0.00 0.00 -0.25 10.0 0 0 caleb_strategy_v3 OAT False False 0.04 0.13 0.00 0.0 0.43 -0.43 0.13 0.13 0.06 10.0 3 3 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.19 -0.19 0.00 0.00 -0.08 4.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.01 0.00 0.0 0.34 -0.34 0.01 0.01 0.14 23.0 1 1 caleb_strategy_v3 EUROSTX False False 0.02 0.07 0.00 0.0 0.35 -0.35 0.07 0.07 0.16 20.0 4 4 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.00 0.0 0.39 -0.39 0.00 0.00 0.18 23.0 0 0 caleb_strategy_v3 COCOA False False 0.03 0.03 0.01 0.0 0.82 -0.82 0.03 0.03 0.42 26.0 1 1 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.07 -0.07 0.00 0.00 0.80 5.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.01 0.0 0.00 0.00 0.00 0.00 2.33 59.0 0 0 caleb_strategy_v3 COFFEE False False 0.04 0.00 0.01 0.0 0.24 -0.24 0.00 0.00 0.18 6.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 0.02 0.0 0.07 -0.07 -0.01 -0.01 5.61 26.0 -3 -2 caleb_strategy_v3 LEANHOG False False 0.01 0.04 0.03 0.0 0.16 -0.16 0.04 0.04 2.75 13.0 3 3 caleb_strategy_v3 OJ False False 0.03 0.03 0.03 0.0 0.08 -0.08 0.03 0.03 1.24 3.0 1 1 caleb_strategy_v3 LIVECOW False False 0.03 0.00 0.04 0.0 0.45 -0.45 0.00 0.00 1.48 17.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.04 0.05 0.0 0.42 -0.42 0.04 0.04 1.26 10.0 1 1 caleb_strategy_v3 MXP False False 0.01 0.03 0.07 0.0 0.49 -0.49 0.03 0.03 8.80 60.0 4 4 caleb_strategy_v3 FEEDCOW False False 0.04 0.13 0.08 0.0 0.35 -0.35 0.13 0.13 1.74 8.0 3 3 caleb_strategy_v3 DAX False False 0.01 0.04 0.10 0.0 0.41 -0.41 0.04 0.04 14.08 58.0 6 5 caleb_strategy_v3 DX False False 0.04 0.00 0.10 0.0 999.00 -999.00 0.00 0.00 2.61 999999999.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.16 0.24 0.0 0.31 -0.31 0.16 0.16 28.24 36.0 18 18 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 1.02 0.0 0.86 -0.86 0.00 0.00 11.83 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 11.6 Shocked risk 23.5 Sum abs risk 42.7 Leverage 6.19 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2948217.49, 'annual_cash_vol_target': 737054.3725, 'daily_cash_vol_target': 46065.89828125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6218 0.6851 10.9612 BITCOIN 2641.8525 95295.0000 2.7723 44.3566 BOBL 0.2200 117.5900 0.1871 2.9933 BTP 0.5013 119.6900 0.4188 6.7011 BUND 0.4466 132.8700 0.3361 5.3784 BUXL 1.0860 131.1400 0.8281 13.2494 CAC 54.5043 7365.5000 0.7400 11.8399 CAD 0.0028 0.6960 0.4087 6.5392 CANOLA 8.7718 618.4000 1.4185 22.6955 CHF 0.0054 1.1188 0.4854 7.7670 COCOA 277.8015 9330.0000 2.9775 47.6401 COFFEE 5.7568 316.9500 1.8163 29.0609 COPPER 0.0448 4.1305 1.0845 17.3525 CORN 3.6763 441.0000 0.8336 13.3380 COTTON2 0.8310 68.8000 1.2078 19.3254 CRUDE_W 0.8730 67.1700 1.2996 20.7942 DAX 135.5659 20125.0000 0.6736 10.7779 DOW 312.0757 43402.0000 0.7190 11.5046 DX 0.4166 107.7850 0.3865 6.1840 EUR 0.0053 1.0466 0.5080 8.1287 EURIBOR-ICE 0.0431 97.8800 0.0440 0.7043 EUROSTX 38.8886 4917.0000 0.7909 12.6544 FEEDCOW 1.5988 261.2250 0.6120 9.7927 GASOIL 10.3813 672.2500 1.5443 24.7083 GASOLINE 0.0308 2.1879 1.4071 22.5134 GAS_US_mini 0.1087 3.3900 3.2050 51.2806 GBP 0.0066 1.2575 0.5275 8.4402 GOLD_micro 24.2096 2636.4000 0.9183 14.6925 HEATOIL 0.0324 2.2071 1.4670 23.4721 JGB-SGX-mini 0.2060 141.9000 0.1451 2.3223 JPY 0.0000 0.0064 0.7211 11.5372 LEANHOG 1.1139 89.6000 1.2432 19.8908 LIVECOW 1.1900 193.5500 0.6149 9.8376 LUMBER-new 7.3742 592.5000 1.2446 19.9136 MILK 0.2511 20.2200 1.2417 19.8666 MXP 0.0004 0.0485 0.7566 12.1056 NASDAQ_micro 213.7122 21697.0000 0.9850 15.7598 NIKKEI 374.9068 40210.0000 0.9324 14.9180 NZD 0.0039 0.5641 0.6869 10.9906 OAT 0.4197 123.0900 0.3409 5.4550 OATIES 6.2599 331.5000 1.8884 30.2137 OJ 7.9473 504.7500 1.5745 25.1919 PALLAD 22.9543 917.5000 2.5018 40.0292 PLAT 14.6276 937.8000 1.5598 24.9565 REDWHEAT 7.6738 562.5000 1.3642 21.8276 RICE 0.1476 13.9800 1.0560 16.8962 ROBUSTA 102.4705 4960.0000 2.0659 33.0550 RUSSELL 28.2707 2264.5000 1.2484 19.9749 SHATZ 0.0751 106.9300 0.0702 1.1234 SILVER-mini 0.4892 30.0250 1.6292 26.0678 SMI 87.6239 11596.0000 0.7556 12.0902 SOFR 0.0557 95.9300 0.0581 0.9296 SOYBEAN 9.5999 1005.0000 0.9552 15.2835 SOYMEAL 4.1402 316.3000 1.3089 20.9431 SOYOIL 0.7188 40.3800 1.7800 28.4796 SP400 31.4857 3166.4000 0.9944 15.9099 SP500_micro 45.6613 6024.0000 0.7580 12.1278 SUGAR11 0.2684 17.9200 1.4976 23.9620 US10 0.3684 108.4062 0.3398 5.4367 US10U 0.5071 110.8906 0.4573 7.3169 US2 0.0863 102.6719 0.0841 1.3453 US20 0.7389 113.2500 0.6525 10.4395 US30 1.1531 118.4688 0.9734 15.5741 US5 0.2266 106.0234 0.2137 3.4191 VIX 0.7152 17.8500 4.0065 64.1038 WHEAT 7.0064 594.7500 1.1780 18.8487 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 621.85 0.69 426.01 1.00 426.01 46065.9 108.13 -10.08 -109.01 BITCOIN 95.30 2.77 264.19 1.00 264.19 46065.9 174.37 1.23 21.48 BOBL 1175.90 0.19 219.99 1.04 228.77 46065.9 201.37 -0.88 -17.79 BTP 1196.90 0.42 501.28 1.04 521.29 46065.9 88.37 4.18 36.91 BUND 1328.70 0.34 446.64 1.04 464.46 46065.9 99.18 -2.45 -24.28 BUXL 1311.40 0.83 1085.96 1.04 1129.29 46065.9 40.79 -1.96 -7.98 CAC 736.55 0.74 545.04 1.04 566.79 46065.9 81.28 -6.70 -54.43 CAD 696.00 0.41 284.45 1.00 284.45 46065.9 161.94 -17.20 -278.59 CANOLA 123.68 1.42 175.44 0.70 122.04 46065.9 377.47 -8.49 -320.49 CHF 1398.56 0.49 678.91 1.00 678.91 46065.9 67.85 -15.65 -106.21 COCOA 933.00 2.98 2778.01 1.00 2778.01 46065.9 16.58 11.93 19.79 COFFEE 1188.56 1.82 2158.79 1.00 2158.79 46065.9 21.34 7.35 15.68 COPPER 1032.62 1.08 1119.91 1.00 1119.91 46065.9 41.13 -8.04 -33.09 CORN 220.50 0.83 183.81 1.00 183.81 46065.9 250.61 -8.09 -202.81 COTTON2 344.00 1.21 415.50 1.00 415.50 46065.9 110.87 -20.00 -221.74 CRUDE_W 671.70 1.30 872.97 1.00 872.97 46065.9 52.77 -1.47 -7.74 DAX 201.25 0.67 135.57 1.04 140.97 46065.9 326.77 12.63 412.72 DOW 217.01 0.72 156.04 1.00 156.04 46065.9 295.22 -7.05 -208.00 DX 1077.85 0.39 416.59 1.00 416.59 46065.9 110.58 9.08 100.45 EUR 1308.25 0.51 664.65 1.00 664.65 46065.9 69.31 -6.58 -45.59 EURIBOR-ICE 2447.00 0.04 107.71 1.04 112.00 46065.9 411.29 8.44 346.97 EUROSTX 491.70 0.79 388.89 1.04 404.40 46065.9 113.91 0.41 4.69 FEEDCOW 1306.13 0.61 799.40 1.00 799.40 46065.9 57.63 9.14 52.65 GASOIL 672.25 1.54 1038.13 1.00 1038.13 46065.9 44.37 -2.62 -11.64 GASOLINE 918.92 1.41 1293.00 1.00 1293.00 46065.9 35.63 -5.99 -21.33 GAS_US_mini 84.75 3.21 271.63 1.00 271.63 46065.9 169.59 3.05 51.81 GBP 785.94 0.53 414.59 1.00 414.59 46065.9 111.11 -3.78 -42.04 GOLD_micro 263.64 0.92 242.10 1.00 242.10 46065.9 190.28 -3.32 -63.09 HEATOIL 926.98 1.47 1359.89 1.00 1359.89 46065.9 33.87 -8.72 -29.53 JGB-SGX-mini 141900.00 0.15 20595.71 0.01 131.13 46065.9 351.31 -7.02 -246.55 JPY 798.12 0.72 575.51 1.00 575.51 46065.9 80.04 -8.96 -71.71 LEANHOG 358.40 1.24 445.55 1.00 445.55 46065.9 103.39 4.37 45.18 LIVECOW 774.20 0.61 476.02 1.00 476.02 46065.9 96.77 4.61 44.62 LUMBER-new 162.94 1.24 202.79 1.00 202.79 46065.9 227.16 -2.30 -52.18 MILK 404.40 1.24 502.13 1.00 502.13 46065.9 91.74 4.06 37.21 MXP 242.70 0.76 183.63 1.00 183.63 46065.9 250.87 2.39 59.98 NASDAQ_micro 433.94 0.98 427.42 1.00 427.42 46065.9 107.78 0.54 5.85 NIKKEI 40210.00 0.93 37490.68 0.01 238.21 46065.9 193.38 13.49 260.81 NZD 564.10 0.69 387.49 1.00 387.49 46065.9 118.88 -10.53 -125.16 OAT 1230.90 0.34 419.66 1.04 436.40 46065.9 105.56 0.17 1.75 OATIES 165.75 1.89 312.99 1.00 312.99 46065.9 147.18 -10.15 -149.35 OJ 757.12 1.57 1192.09 1.00 1192.09 46065.9 38.64 14.93 57.68 PALLAD 917.50 2.50 2295.43 1.00 2295.43 46065.9 20.07 -4.84 -9.71 PLAT 468.90 1.56 731.38 1.00 731.38 46065.9 62.98 -2.53 -15.93 REDWHEAT 281.25 1.36 383.69 1.00 383.69 46065.9 120.06 -17.63 -211.72 RICE 279.60 1.06 295.26 1.00 295.26 46065.9 156.02 -16.44 -256.54 ROBUSTA 496.00 2.07 1024.71 1.00 1024.71 46065.9 44.96 3.39 15.25 RUSSELL 113.22 1.25 141.35 1.00 141.35 46065.9 325.89 -5.89 -192.08 SHATZ 1069.30 0.07 75.08 1.04 78.07 46065.9 590.03 -1.95 -114.83 SILVER-mini 750.62 1.63 1222.95 1.00 1222.95 46065.9 37.67 -3.92 -14.78 SMI 1159.60 0.76 876.24 1.11 973.76 46065.9 47.31 -3.41 -16.14 SOFR 2398.25 0.06 139.35 1.00 139.35 46065.9 330.59 -9.93 -328.18 SOYBEAN 502.50 0.96 480.00 1.00 480.00 46065.9 95.97 -13.12 -125.93 SOYMEAL 316.30 1.31 414.02 1.00 414.02 46065.9 111.27 -14.44 -160.62 SOYOIL 242.28 1.78 431.25 1.00 431.25 46065.9 106.82 -8.20 -87.57 SP400 3166.40 0.99 3148.57 1.00 3148.57 46065.9 14.63 -8.16 -11.94 SP500_micro 301.20 0.76 228.31 1.00 228.31 46065.9 201.77 -4.74 -95.54 SUGAR11 200.70 1.50 300.58 1.00 300.58 46065.9 153.26 -11.10 -170.12 US10 1084.06 0.34 368.36 1.00 368.36 46065.9 125.06 -8.32 -104.00 US10U 1108.91 0.46 507.11 1.00 507.11 46065.9 90.84 -9.22 -83.79 US2 2053.44 0.08 172.66 1.00 172.66 46065.9 266.80 -8.85 -236.19 US20 1132.50 0.65 738.92 1.00 738.92 46065.9 62.34 -6.08 -37.93 US30 1184.69 0.97 1153.15 1.00 1153.15 46065.9 39.95 -6.38 -25.48 US5 1060.23 0.21 226.57 1.00 226.57 46065.9 203.32 -8.59 -174.63 VIX 178.50 4.01 715.16 1.00 715.16 46065.9 64.41 -9.43 -60.75 WHEAT 297.38 1.18 350.32 1.00 350.32 46065.9 131.50 -17.80 -234.10 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -109.012 0.010 2.5 -2.828 BITCOIN 21.478 0.043 2.5 2.326 BOBL -17.789 0.004 2.5 -0.180 BTP 36.914 0.014 2.5 1.259 BUND -24.284 0.004 2.5 -0.246 BUXL -7.975 0.004 2.5 -0.081 CAC -54.432 0.014 2.5 -1.857 CAD -278.594 0.010 2.5 -7.228 CANOLA -320.486 0.010 2.5 -7.797 CHF -106.209 0.010 2.5 -2.756 COCOA 19.786 0.009 2.5 0.424 COFFEE 15.678 0.005 2.5 0.183 COPPER -33.091 0.043 2.5 -3.583 CORN -202.812 0.010 2.5 -4.934 COTTON2 -221.739 0.009 2.5 -4.749 CRUDE_W -7.736 0.043 2.5 -0.838 DAX 412.718 0.014 2.5 14.077 DOW -208.005 0.009 2.5 -4.834 DX 100.451 0.010 2.5 2.606 EUR -45.590 0.010 2.5 -1.183 EURIBOR-ICE 346.972 0.014 2.5 11.835 EUROSTX 4.687 0.014 2.5 0.160 FEEDCOW 52.653 0.013 2.5 1.745 GASOIL -11.638 0.017 2.5 -0.504 GASOLINE -21.335 0.017 2.5 -0.925 GAS_US_mini 51.810 0.043 2.5 5.610 GBP -42.037 0.010 2.5 -1.091 GOLD_micro -63.092 0.014 2.5 -2.152 HEATOIL -29.533 0.017 2.5 -1.280 JGB-SGX-mini -246.553 0.043 2.5 -26.698 JPY -71.711 0.010 2.5 -1.861 LEANHOG 45.179 0.024 2.5 2.746 LIVECOW 44.624 0.013 2.5 1.479 LUMBER-new -52.178 0.009 2.5 -1.117 MILK 37.205 0.009 2.5 0.797 MXP 59.985 0.059 2.5 8.804 NASDAQ_micro 5.855 0.009 2.5 0.136 NIKKEI 260.813 0.043 2.5 28.243 NZD -125.163 0.010 2.5 -3.247 OAT 1.750 0.014 2.5 0.060 OATIES -149.346 0.010 2.5 -3.633 OJ 57.685 0.009 2.5 1.235 PALLAD -9.710 0.014 2.5 -0.331 PLAT -15.927 0.014 2.5 -0.543 REDWHEAT -211.721 0.005 2.5 -2.809 RICE -256.536 0.010 2.5 -6.241 ROBUSTA 15.254 0.005 2.5 0.178 RUSSELL -192.079 0.013 2.5 -6.365 SHATZ -114.827 0.004 2.5 -1.164 SILVER-mini -14.782 0.014 2.5 -0.504 SMI -16.137 0.014 2.5 -0.550 SOFR -328.179 0.024 2.5 -19.945 SOYBEAN -125.927 0.004 2.5 -1.171 SOYMEAL -160.620 0.004 2.5 -1.494 SOYOIL -87.573 0.004 2.5 -0.815 SP400 -11.937 0.013 2.5 -0.396 SP500_micro -95.541 0.009 2.5 -2.220 SUGAR11 -170.124 0.009 2.5 -3.618 US10 -103.997 0.005 2.5 -1.318 US10U -83.792 0.005 2.5 -1.062 US2 -236.187 0.005 2.5 -2.993 US20 -37.932 0.005 2.5 -0.481 US30 -25.480 0.005 2.5 -0.323 US5 -174.631 0.005 2.5 -2.213 VIX -60.750 0.099 2.5 -14.996 WHEAT -234.100 0.005 2.5 -3.105 ===================== Position diags ===================== AUD 2.81 BITCOIN 18.88 BOBL 2.04 BTP 3.01 BUND 1.01 BUXL 0.41 CAC 2.77 CAD 4.20 CANOLA 9.18 CHF 1.76 COCOA 0.36 COFFEE 0.25 COPPER 4.45 CORN 6.10 COTTON2 2.37 CRUDE_W 5.71 DAX 11.15 DOW 6.86 DX 2.87 EUR 1.80 EURIBOR-ICE 14.03 EUROSTX 3.89 FEEDCOW 1.91 GASOIL 1.92 GASOLINE 1.54 GAS_US_mini 18.36 GBP 2.88 GOLD_micro 6.49 HEATOIL 1.47 JGB-SGX-mini 38.04 JPY 2.08 LEANHOG 6.28 LIVECOW 3.21 LUMBER-new 4.86 MILK 1.96 MXP 36.82 NASDAQ_micro 2.50 NIKKEI 20.94 NZD 3.08 OAT 3.60 OATIES 3.58 OJ 0.83 PALLAD 0.68 PLAT 2.15 REDWHEAT 1.59 RICE 3.80 ROBUSTA 0.52 RUSSELL 10.80 SHATZ 5.98 SILVER-mini 1.28 SMI 1.61 SOFR 20.09 SOYBEAN 0.89 SOYMEAL 1.03 SOYOIL 0.99 SP400 0.48 SP500_micro 4.69 SUGAR11 3.26 US10 1.58 US10U 1.15 US2 3.38 US20 0.79 US30 0.51 US5 2.58 VIX 15.90 WHEAT 1.74 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.8 -3.1 -2.5 -3.0 -3 BITCOIN 2.3 0.4 4.2 0.0 0 BOBL -0.2 -0.4 0.0 0.0 0 BTP 1.3 1.0 1.6 1.0 1 BUND -0.2 -0.3 -0.1 0.0 0 BUXL -0.1 -0.1 -0.0 0.0 0 CAC -1.9 -2.1 -1.6 0.0 0 CAD -7.2 -7.6 -6.8 -2.0 -2 CANOLA -7.8 -8.7 -6.9 -8.0 -8 CHF -2.8 -2.9 -2.6 -10.0 -10 COCOA 0.4 0.4 0.5 1.0 1 COFFEE 0.2 0.2 0.2 0.0 0 COPPER -3.6 -4.0 -3.1 -4.0 -4 CORN -4.9 -5.5 -4.3 -7.0 -7 COTTON2 -4.7 -5.0 -4.5 -5.0 -5 CRUDE_W -0.8 -1.4 -0.3 0.0 0 DAX 14.1 13.0 15.2 6.0 6 DOW -4.8 -5.5 -4.1 -10.0 -10 DX 2.6 2.3 2.9 0.0 0 EUR -1.2 -1.4 -1.0 -1.0 -1 EURIBOR-ICE 11.8 10.4 13.2 0.0 0 EUROSTX 0.2 -0.2 0.5 4.0 4 FEEDCOW 1.7 1.6 1.9 3.0 3 GASOIL -0.5 -0.7 -0.3 0.0 0 GASOLINE -0.9 -1.1 -0.8 -1.0 -1 GAS_US_mini 5.6 3.8 7.4 -3.0 -3 GBP -1.1 -1.4 -0.8 0.0 0 GOLD_micro -2.2 -2.8 -1.5 -1.0 -1 HEATOIL -1.3 -1.4 -1.1 -3.0 -3 JGB-SGX-mini -26.7 -30.5 -22.9 -15.0 -15 JPY -1.9 -2.1 -1.7 -2.0 -2 LEANHOG 2.7 2.1 3.4 3.0 3 LIVECOW 1.5 1.2 1.8 0.0 0 LUMBER-new -1.1 -1.6 -0.6 0.0 0 MILK 0.8 0.6 1.0 0.0 0 MXP 8.8 5.1 12.5 4.0 4 NASDAQ_micro 0.1 -0.1 0.4 1.0 1 NIKKEI 28.2 26.1 30.3 18.0 18 NZD -3.2 -3.6 -2.9 -1.0 -1 OAT 0.1 -0.3 0.4 3.0 3 OATIES -3.6 -4.0 -3.3 NaN 0 OJ 1.2 1.2 1.3 1.0 1 PALLAD -0.3 -0.4 -0.3 0.0 0 PLAT -0.5 -0.8 -0.3 -1.0 -1 REDWHEAT -2.8 -3.0 -2.6 -4.0 -4 RICE -6.2 -6.6 -5.9 NaN 0 ROBUSTA 0.2 0.1 0.2 0.0 0 RUSSELL -6.4 -7.4 -5.3 -4.0 -4 SHATZ -1.2 -1.8 -0.6 NaN 0 SILVER-mini -0.5 -0.6 -0.4 0.0 0 SMI -0.6 -0.7 -0.4 0.0 0 SOFR -19.9 -22.0 -17.9 NaN 0 SOYBEAN -1.2 -1.3 -1.1 -3.0 -3 SOYMEAL -1.5 -1.6 -1.4 -1.0 -1 SOYOIL -0.8 -0.9 -0.7 0.0 0 SP400 -0.4 -0.4 -0.3 0.0 0 SP500_micro -2.2 -2.7 -1.8 -2.0 -2 SUGAR11 -3.6 -3.9 -3.3 -3.0 -3 US10 -1.3 -1.5 -1.2 0.0 0 US10U -1.1 -1.2 -0.9 -1.0 -1 US2 -3.0 -3.3 -2.7 NaN 0 US20 -0.5 -0.6 -0.4 0.0 0 US30 -0.3 -0.4 -0.3 -4.0 -4 US5 -2.2 -2.5 -2.0 -5.0 -5 VIX -15.0 -16.6 -13.4 -15.0 -15 WHEAT -3.1 -3.3 -2.9 -2.0 -2 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.5 -0.6 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.2 -0.2 -0.2 0.5 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.5 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 BITCOIN -0.6 0.6 0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.4 -0.1 0.6 0.1 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 -0.1 0.5 0.1 -2.7 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.2 0.1 0.3 0.6 0.6 0.0 -0.1 -0.1 -0.0 BOBL -0.4 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.0 -0.0 -0.4 -0.2 -0.2 -0.2 -0.0 0.0 -0.2 0.0 -0.1 0.5 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.3 0.4 0.3 0.4 0.4 -0.1 -0.4 0.4 0.0 BTP -0.4 0.2 0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 0.4 -0.2 0.6 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.2 0.4 -0.1 -2.7 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.8 0.5 0.6 0.6 0.6 0.0 -0.3 0.5 0.4 BUND -0.5 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.0 0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.2 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.2 0.4 0.2 0.4 0.4 -0.4 -0.7 0.2 -0.1 BUXL -0.6 0.3 0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 -0.2 0.1 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.2 0.0 -0.2 -0.5 0.0 -0.1 0.0 -0.1 0.1 -0.0 0.3 0.5 0.3 0.6 0.6 -0.7 -0.7 -0.0 -0.3 CAC 0.3 -0.1 -0.3 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.1 -0.4 -0.0 -0.3 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.9 -0.0 -0.1 -0.2 -0.1 -0.1 -0.0 0.2 0.1 0.6 -0.6 -0.6 0.1 0.3 -0.2 -0.1 CAD -0.5 -0.6 -0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -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 0.3 -0.1 -0.0 -0.2 -0.1 -0.1 -0.1 -0.4 -0.2 -0.6 -0.5 -0.6 -0.2 -0.2 -0.2 -0.2 CANOLA 0.2 -0.4 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 -0.2 -0.2 -0.2 -0.3 -0.0 -0.0 0.0 -0.1 -0.0 -1.5 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -1.1 0.1 0.4 -0.1 0.1 -0.3 -0.3 -0.1 -0.1 CHF -0.2 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.1 -0.2 -0.2 0.5 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -1.1 -0.1 -0.3 -0.4 -0.4 -0.3 -0.3 -0.3 -0.5 COCOA -0.1 0.6 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -0.0 0.3 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 -0.1 0.4 0.1 -2.7 0.0 -0.0 0.1 0.0 0.1 0.0 1.1 0.1 0.6 0.6 0.6 0.4 0.7 0.5 0.7 COFFEE 0.2 0.6 0.2 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 0.4 0.1 0.6 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 -0.0 0.1 0.0 0.2 0.0 0.4 0.4 0.5 0.6 0.6 -0.1 -0.1 0.1 0.1 COPPER -0.0 -0.4 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.3 -0.1 -0.1 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -2.6 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.0 -0.0 -0.1 0.1 0.5 0.1 0.7 CORN 0.3 0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 0.2 -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 -1.2 -0.1 -0.0 -0.3 -0.0 -0.6 -0.0 -1.1 0.1 0.6 -0.0 -0.4 0.5 -0.0 0.7 0.2 COTTON2 -0.3 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 0.0 -0.5 -0.1 -0.7 -0.2 -0.2 -0.3 -0.2 -0.3 -0.2 -0.2 -0.2 -0.1 -0.5 -0.1 -2.7 -0.1 0.0 -0.2 -0.0 -0.2 -0.1 -1.0 0.2 -0.5 -0.5 -0.4 -0.7 -0.7 -0.6 -0.5 CRUDE_W 0.1 -0.0 -0.2 0.0 0.1 -0.1 0.1 -0.1 0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.0 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 -0.2 0.0 0.4 -0.2 -0.2 -0.2 -0.0 -0.1 0.2 -0.0 0.4 DAX 0.2 0.4 0.3 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.1 0.5 -0.1 0.7 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.1 0.5 0.1 1.0 0.1 -0.1 0.1 -0.0 0.2 0.0 -0.3 -0.4 0.6 0.3 0.5 0.7 0.6 0.4 0.1 DOW -0.6 -0.1 0.0 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.0 0.3 -0.1 0.5 -0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.1 0.4 -0.1 -1.6 0.0 -0.0 0.1 -0.1 0.2 -0.0 -0.4 -0.2 -0.6 0.0 0.4 -0.2 0.0 -0.5 -0.3 DX 0.2 0.6 0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.4 0.1 0.4 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.3 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 0.7 0.5 0.6 0.6 0.6 -0.2 0.0 -0.1 0.1 EUR -0.0 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.3 -0.1 -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 -0.0 -0.3 -0.4 0.1 -0.2 0.2 -0.3 EURIBOR-ICE -0.5 0.1 0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 0.2 -0.1 0.3 0.0 0.0 0.1 0.0 0.1 0.1 0.0 0.1 -0.1 0.2 -0.1 1.4 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.6 0.2 0.3 0.4 0.5 0.0 -0.4 0.6 0.2 EUROSTX 0.2 0.0 -0.1 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.0 0.0 -0.0 0.4 0.1 -0.0 0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 0.1 0.0 -0.5 0.0 -0.1 -0.0 -0.1 0.1 0.0 0.4 -0.1 0.6 -0.4 -0.4 0.2 0.2 -0.4 -0.4 FEEDCOW -0.0 0.6 0.6 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 0.2 0.4 0.1 -0.2 0.2 0.2 -0.0 -0.1 0.1 0.1 0.2 0.2 0.2 0.1 0.2 -2.1 0.1 0.0 0.1 0.0 0.0 0.0 0.1 0.0 0.1 0.6 0.6 0.6 0.5 0.7 0.7 GASOIL 0.1 0.2 -0.0 0.0 0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.3 0.1 -0.4 0.0 0.0 0.1 0.1 0.1 0.1 -0.0 -0.1 -0.0 -0.2 0.0 0.6 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.0 -0.2 -0.2 0.0 -0.2 -0.1 -0.3 0.0 -0.4 GASOLINE 0.1 -0.0 -0.1 0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.3 0.0 -0.2 -0.1 -0.0 -0.4 0.2 -0.4 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 -2.7 -0.0 0.1 -0.0 0.0 -0.0 0.0 0.1 -0.2 -0.1 -0.1 0.2 0.0 0.3 0.2 0.5 GAS_US_mini 0.3 0.4 0.4 0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.3 0.1 -0.6 0.1 0.0 0.4 -0.4 -0.2 -0.4 0.0 -0.0 0.1 -0.3 0.1 2.7 0.0 0.1 -0.1 0.1 -0.2 0.1 -1.1 0.5 0.2 0.3 -0.0 -0.2 -0.4 -0.1 -0.3 GBP -0.0 -0.5 -0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 0.1 -0.2 -0.2 0.0 -0.0 0.0 0.0 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.1 0.2 0.2 -0.0 0.0 0.2 -0.3 0.7 -0.3 GOLD_micro -0.2 -0.5 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.1 0.3 -0.1 -0.0 -0.2 -0.3 -0.2 -0.2 -0.0 0.1 -0.0 0.3 -0.0 -1.5 -0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.6 -0.1 -0.1 -0.1 0.2 0.7 0.2 0.7 0.3 HEATOIL 0.1 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.1 0.0 -0.0 -0.4 0.1 -0.5 0.0 -0.1 0.2 0.1 0.1 0.0 -0.0 -0.1 0.0 -0.3 0.0 -2.7 -0.0 0.1 -0.1 0.0 -0.2 0.0 -0.2 -0.1 -0.2 -0.1 -0.0 -0.1 0.0 -0.0 0.0 JGB-SGX-mini 0.0 -0.6 -0.4 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 0.4 0.3 0.3 0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -1.8 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 1.1 0.5 0.3 -0.2 -0.0 -0.7 -0.6 -0.7 -0.5 JPY -0.5 -0.3 -0.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 -0.3 -0.2 -0.2 -0.1 -0.1 -0.1 -0.2 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.0 -0.2 -0.3 0.1 -0.1 -0.3 -0.7 -0.2 -0.7 LEANHOG -0.5 -0.2 0.6 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 0.0 0.4 -0.1 0.2 -0.1 0.2 -0.4 0.0 -0.4 -0.1 0.1 0.2 -0.0 0.2 -0.0 -0.1 0.1 0.0 0.2 0.0 0.2 0.0 0.1 0.4 0.1 0.6 0.6 0.3 -0.2 0.5 0.0 LIVECOW -0.0 -0.1 0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 0.2 0.5 0.1 0.7 0.1 0.2 -0.1 0.1 -0.1 0.0 0.1 0.2 0.1 0.4 0.1 -2.7 0.1 0.0 0.2 -0.0 0.3 0.0 0.2 -0.4 0.3 0.3 0.6 0.0 0.5 0.2 0.6 LUMBER-new -0.7 -0.1 0.6 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 0.1 0.2 -0.0 -0.2 -0.1 0.1 -0.5 -0.4 -0.5 -0.5 0.0 0.1 -0.0 -0.0 -0.1 NaN -0.0 -0.0 0.1 -0.0 0.0 -0.0 -1.2 0.6 -0.5 0.3 0.5 0.4 0.1 0.5 0.5 MILK 0.6 -0.3 -0.4 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 0.2 0.1 -0.1 0.2 -0.0 0.2 0.1 -0.0 0.0 0.1 0.1 0.1 2.0 -0.0 0.1 -0.0 0.1 0.0 0.0 0.3 0.5 0.6 0.0 -0.3 -0.4 -0.7 -0.3 -0.7 MXP 0.3 0.2 -0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.4 0.0 -0.5 0.0 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.1 0.0 -0.4 0.0 -2.7 -0.0 -0.0 -0.2 0.0 -0.3 0.0 1.1 0.3 0.6 0.6 0.4 0.3 0.7 0.4 0.7 NASDAQ_micro -0.2 0.0 0.1 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.3 -0.0 0.4 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.0 0.3 0.1 -2.7 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.3 0.2 0.6 0.4 0.5 0.4 0.2 -0.1 -0.3 NIKKEI 0.1 0.1 0.3 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.1 0.2 0.1 0.3 0.1 0.1 0.3 0.2 0.2 0.1 0.1 0.1 0.1 0.3 0.1 -1.3 0.0 0.1 0.0 0.1 0.1 0.0 1.1 0.5 0.6 0.1 0.0 0.7 0.7 0.7 0.7 NZD -0.5 -0.6 -0.6 -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 -0.2 -0.1 -0.1 -0.2 -0.2 0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.4 -0.2 -0.2 -0.2 -0.1 -0.3 -0.0 OAT -0.4 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.4 0.0 -0.1 -0.0 -0.0 -0.0 -0.2 -0.1 -0.2 0.5 -0.0 -0.1 0.0 -0.1 0.0 -0.0 0.4 0.3 0.3 0.3 0.3 -0.1 -0.5 0.6 0.2 OATIES -0.5 -0.5 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.0 -0.3 -0.0 -0.2 -0.1 -0.1 -0.0 -0.2 -0.0 -0.2 -2.7 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.5 -0.4 -0.6 0.1 0.7 0.2 0.7 0.5 OJ 0.1 0.3 0.2 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 0.5 -0.0 0.7 0.1 0.2 0.4 0.3 0.4 0.3 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.3 0.1 1.1 0.5 0.6 0.6 0.6 0.7 0.3 0.7 0.7 PALLAD -0.3 -0.5 0.1 -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 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 2.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.3 0.1 -0.1 -0.1 -0.0 -0.7 -0.7 -0.7 -0.7 PLAT 0.0 -0.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.3 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 0.9 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.4 0.0 -0.2 -0.3 0.3 -0.3 0.2 -0.1 REDWHEAT 0.2 -0.3 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 0.1 -0.5 -0.0 -0.7 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.0 -0.5 -0.1 -0.4 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 -0.9 0.0 0.3 -0.5 -0.5 -0.6 -0.7 -0.5 -0.7 RICE -0.6 -0.2 -0.4 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 0.2 -0.1 -0.1 -0.2 0.3 -0.2 0.0 -0.2 -0.1 -0.2 -0.0 -0.2 -1.7 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.8 -0.5 -0.6 -0.6 -0.6 -0.2 -0.7 -0.2 -0.7 ROBUSTA 0.1 0.1 -0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 0.0 0.3 0.0 0.0 0.1 0.4 0.2 0.3 0.1 0.1 -0.0 0.3 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.2 0.0 1.1 0.0 -0.2 0.6 0.3 0.2 0.1 0.4 0.3 RUSSELL -0.6 -0.1 0.1 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.4 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.1 0.2 -0.1 0.2 -0.0 -0.0 0.1 -0.1 0.1 -0.0 0.0 -0.3 -0.6 0.0 0.2 -0.2 -0.3 -0.7 -0.7 SHATZ -0.3 0.0 0.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 0.2 -0.1 0.0 -0.0 -0.0 -0.4 -0.4 -0.4 -0.4 0.0 0.0 -0.1 0.1 -0.1 0.8 0.0 -0.0 0.1 -0.0 0.1 -0.0 -1.1 0.4 0.3 0.4 0.4 -0.1 -0.4 0.3 -0.1 SILVER-mini -0.2 -0.4 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.2 -0.1 -0.4 -0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 -0.0 0.2 SMI -0.1 -0.4 -0.5 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.0 -0.1 -0.0 0.3 -0.1 -0.1 0.1 0.0 0.1 0.0 -0.1 -0.1 -0.0 0.0 -0.1 1.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.7 -0.0 -0.2 -0.6 -0.6 -0.1 0.1 -0.5 -0.4 SOFR -0.5 -0.4 -0.6 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 0.0 -0.2 -0.2 -0.0 -0.0 -0.0 0.0 -0.2 -0.1 -0.2 -0.1 -0.2 -0.8 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.4 0.0 -0.3 -0.5 -0.6 -0.1 -0.1 0.4 0.5 SOYBEAN 0.1 -0.0 -0.2 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 0.1 -0.4 0.1 -0.6 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.5 -0.1 -2.4 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 -0.2 -0.2 -0.3 -0.4 -0.6 0.2 -0.2 0.3 0.0 SOYMEAL 0.5 0.2 -0.2 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 0.1 -0.4 0.1 -0.5 0.0 -0.1 -0.3 -0.0 -0.2 -0.1 -0.1 -0.1 0.2 -0.4 0.1 -2.6 -0.0 0.0 -0.2 0.0 -0.2 -0.0 -0.4 0.5 0.3 -0.1 -0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.4 -0.4 0.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -2.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.2 0.0 0.1 -0.2 0.3 0.1 SP400 -0.6 -0.2 0.1 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.4 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.1 0.2 -0.1 -1.2 -0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.0 -0.5 -0.6 -0.0 0.3 -0.1 -0.2 -0.6 -0.7 SP500_micro -0.6 -0.2 -0.1 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.0 0.4 -0.0 0.6 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.2 -0.0 0.5 -0.0 -2.7 0.0 -0.0 0.2 -0.1 0.3 -0.0 -0.5 -0.1 -0.2 0.1 0.5 0.2 0.2 -0.3 -0.4 SUGAR11 -0.6 -0.6 0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 0.0 -0.2 -0.2 -0.2 -0.1 0.4 0.4 0.4 0.4 -0.2 -0.0 -0.2 -0.0 -0.2 -2.7 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 1.1 -0.5 -0.6 -0.5 0.3 -0.7 -0.0 -0.7 0.1 US10 -0.4 -0.3 -0.6 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 0.3 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 0.1 -0.1 -0.2 -0.4 -0.3 -0.4 0.1 0.3 US10U -0.5 -0.3 -0.6 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.1 -0.2 -0.5 -0.2 -0.3 0.3 0.6 US2 -0.1 -0.5 -0.6 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.3 -0.4 -0.4 -0.4 -0.2 -0.1 -0.1 -0.2 -0.2 2.6 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -1.1 0.3 0.2 -0.3 -0.5 -0.4 -0.4 -0.1 -0.1 US20 -0.6 -0.3 -0.6 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.2 -0.1 0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.4 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 0.3 0.1 -0.2 -0.2 -0.4 -0.2 -0.2 0.6 0.7 US30 -0.5 -0.3 -0.6 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.3 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.2 -0.0 -0.1 -0.3 -0.1 -0.2 0.6 0.5 US5 -0.3 -0.4 -0.6 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.1 -0.2 -0.2 -0.2 1.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.4 0.1 -0.1 -0.3 -0.5 -0.2 -0.3 0.1 0.2 VIX 0.7 -0.1 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.4 -0.1 -0.6 -0.1 -0.1 -0.5 -0.6 -0.5 -0.6 -0.0 -0.0 -0.0 -0.2 -0.0 NaN 0.0 0.0 -0.0 0.1 -0.1 0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.0 -0.4 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 0.1 -0.5 -0.1 -0.7 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.0 -0.5 -0.2 0.8 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 -1.1 -0.0 -0.0 -0.6 -0.5 -0.4 -0.7 -0.3 -0.7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -13.9 -19.2 -16.3 -4.2 -1.6 -3.1 -3.1 -1.4 -4.1 -12.8 -11.8 -13.8 -6.5 -14.4 -14.5 -0.4 -1.4 -0.4 -0.8 -19.1 -12.7 -17.4 -6.3 -20.0 4.0 -5.1 -3.0 -3.2 -5.2 -1.4 -5.8 -0.0 -8.8 -16.3 -7.5 -4.7 -3.5 -3.2 -2.1 -2.8 BITCOIN -20.0 19.1 15.4 -3.2 -3.2 -1.2 -4.4 -0.7 -4.9 -15.1 16.1 -12.9 16.2 11.6 16.7 -8.6 -7.5 -8.3 -7.7 20.0 20.0 -11.7 19.8 7.9 -20.0 6.5 -0.8 6.4 -0.5 5.4 3.0 -3.6 2.9 10.3 20.0 20.0 0.0 -3.6 -2.7 -1.2 BOBL -12.4 3.1 -1.1 -2.8 -5.9 -1.3 -6.0 -0.2 -4.5 -11.8 4.3 -12.0 -1.3 -3.3 -2.2 -20.0 -8.2 -11.9 -7.8 -1.4 1.6 -20.0 0.9 -9.3 3.7 0.3 -6.5 1.3 -5.4 1.3 -2.1 -6.3 17.4 9.1 13.0 12.5 -1.7 -13.2 11.5 0.3 BTP -12.7 5.4 0.7 -4.2 -8.8 -1.9 -9.0 -0.3 -6.7 -17.7 13.6 -17.0 17.4 1.0 6.4 3.9 5.1 5.2 5.1 6.2 11.8 -20.0 13.8 -8.5 -20.0 3.4 -9.5 4.9 -7.0 5.4 -0.8 15.7 19.2 20.0 20.0 20.0 0.7 -9.8 15.6 10.9 BUND -15.5 3.1 -3.3 -3.3 -6.8 -1.5 -6.9 -0.2 -5.2 -13.6 3.5 -13.9 1.2 -6.7 -4.1 7.3 -5.6 -4.7 -7.1 -3.2 0.6 -20.0 0.8 -13.8 0.3 -0.1 -8.2 1.0 -7.1 1.3 -2.9 -4.3 16.6 7.1 13.4 12.2 -11.0 -20.0 7.4 -2.5 BUXL -18.4 8.0 1.4 -3.8 -7.9 -1.7 -8.1 -0.3 -6.1 -15.9 5.0 -16.2 2.0 -4.1 0.5 1.5 -0.9 0.7 -0.1 -0.0 3.0 -20.0 0.5 -14.3 -3.8 1.1 -8.7 1.8 -7.6 1.4 -2.5 6.1 20.0 8.3 20.0 17.6 -20.0 -20.0 -1.3 -10.0 CAC 9.4 -4.5 -9.6 0.0 -0.3 3.7 -4.6 6.8 -4.1 5.7 -16.7 -3.6 -7.0 -2.9 -11.8 -6.7 -4.1 -6.1 -5.3 -9.0 -13.4 -1.3 -9.4 -4.1 -6.6 -4.3 -8.0 -5.7 -5.8 -3.0 -3.0 3.2 2.8 19.7 -20.0 -20.0 3.5 8.0 -7.2 -3.8 CAD -14.0 -17.1 -18.7 -6.2 -2.3 -4.6 -4.6 -2.1 -6.0 -13.2 -19.7 -17.6 -18.8 -19.7 -20.0 -6.1 -4.7 -6.0 -5.5 -20.0 -20.0 -20.0 -17.3 -20.0 2.2 -7.7 -2.6 -5.8 -6.0 -3.8 -8.0 -6.8 -8.4 -20.0 -15.4 -20.0 -4.7 -5.1 -4.7 -6.6 CANOLA 7.5 -12.5 5.9 -1.8 -1.2 -1.7 -2.8 -2.2 -2.7 6.4 -2.7 2.9 -5.7 -2.6 -1.5 -8.2 -12.0 -11.9 -12.8 -3.0 -3.2 1.8 -4.9 -1.5 -10.9 -0.4 1.7 -0.2 0.3 -1.4 -0.5 -20.0 3.7 11.1 -3.4 4.2 -7.8 -9.3 -4.0 -3.8 CHF -7.3 -18.5 -19.5 -3.9 -1.4 -2.9 -2.9 -1.3 -3.7 -10.4 -9.2 -11.8 -7.7 -12.3 -12.4 -14.9 -16.0 -15.2 -15.4 -16.3 -11.5 -13.6 -5.9 -16.1 3.8 -4.5 -4.4 -3.0 -5.0 -1.2 -4.8 -20.0 -6.1 -7.9 -11.3 -11.8 -10.1 -8.0 -10.0 -15.6 COCOA -3.6 20.0 -1.0 -2.2 -1.5 -2.0 -3.3 -2.6 -3.2 -8.5 7.7 -0.2 7.8 6.3 8.3 18.9 20.0 19.7 20.0 20.0 17.3 -6.4 14.1 13.4 -20.0 3.5 -2.2 3.0 0.3 3.1 2.8 20.0 5.4 20.0 20.0 20.0 12.8 20.0 15.7 20.0 COFFEE 6.0 20.0 6.8 -3.9 -2.6 -3.7 -6.0 -4.7 -5.7 -13.3 16.0 6.7 16.3 14.0 14.8 6.2 4.9 4.2 4.1 20.0 20.0 3.5 20.0 19.0 -20.0 5.9 -0.2 5.3 1.3 4.5 4.3 7.3 16.7 16.4 20.0 20.0 -2.0 -4.1 2.8 3.2 COPPER -1.4 -13.7 -8.0 -2.6 -2.6 -1.0 -3.6 -0.6 -4.0 -2.2 -12.7 -9.9 -4.0 -14.3 -14.5 -7.5 -4.2 -6.1 -4.9 -11.7 -8.6 -5.6 -1.5 -10.2 -19.7 -3.9 -3.4 -1.4 -5.3 1.6 -5.1 1.7 -3.8 -0.6 -0.1 -2.5 4.4 15.8 1.9 20.0 CORN 10.2 3.8 2.6 -5.4 -3.6 -5.1 -8.3 -6.6 -8.0 17.0 -20.0 12.4 -20.0 0.5 -8.3 -6.1 -12.6 -8.5 -11.3 -5.5 -17.7 8.9 -20.0 2.4 -9.1 -6.6 -2.8 -11.0 -2.4 -16.0 -3.5 -20.0 6.2 20.0 -0.9 -12.3 15.9 -0.9 20.0 4.7 COTTON2 -7.9 -7.4 -2.7 -4.8 -3.2 -4.6 -7.4 -5.9 -7.2 2.9 -19.8 -12.7 -20.0 -16.7 -17.3 -14.3 -8.7 -14.3 -12.4 -14.9 -16.2 -7.6 -20.0 -13.8 -20.0 -7.1 0.1 -6.0 -3.4 -4.7 -6.7 -18.4 8.0 -13.9 -15.2 -11.1 -20.0 -19.6 -18.6 -13.6 CRUDE_W 2.8 -0.2 -4.9 0.4 7.4 -3.0 5.5 -3.7 3.3 0.6 -12.3 3.3 -9.3 -3.7 -4.0 4.9 9.1 5.2 7.0 -4.8 -9.7 1.2 -7.9 -0.7 -1.6 -2.0 8.6 -5.0 4.5 -4.5 0.8 6.9 -7.0 -5.1 -4.7 -0.9 -3.2 6.2 -1.3 11.8 DAX 6.0 12.1 10.3 0.0 -0.3 3.6 -4.5 6.7 -4.0 -10.9 18.1 -6.5 19.8 10.8 16.8 -9.0 -9.7 -8.8 -8.9 20.0 20.0 -9.8 20.0 10.4 7.3 5.7 -9.8 5.4 -3.4 5.9 3.4 -5.0 -15.8 20.0 9.6 15.6 20.0 17.0 12.6 2.6 DOW -20.0 -2.9 0.7 0.0 -0.2 2.4 -3.0 4.4 -2.6 -1.3 9.7 -7.7 12.9 -3.2 4.7 -9.8 -10.6 -10.1 -10.2 1.7 10.5 -10.9 13.8 -9.3 -12.3 0.0 -2.8 3.4 -5.3 5.0 -4.1 -6.8 -7.7 -20.0 1.0 11.2 -4.7 0.1 -15.3 -9.4 DX 5.7 20.0 20.0 -4.9 -1.8 -3.6 -3.6 -1.7 -4.7 8.7 14.1 12.9 11.8 15.4 16.4 5.8 6.5 5.9 6.1 20.0 18.9 17.0 10.8 20.0 -20.0 5.8 3.2 4.4 5.0 2.4 5.6 12.7 20.0 20.0 20.0 20.0 -5.3 1.4 -4.1 2.5 EUR -1.2 -17.4 -20.0 -3.9 -1.4 -2.9 -2.9 -1.3 -3.7 -1.6 -10.7 -6.5 -8.3 -11.0 -12.0 -6.7 -7.0 -6.7 -6.7 -15.4 -13.1 -6.1 -7.6 -11.8 14.9 -4.6 -1.6 -3.6 -2.9 -1.8 -3.9 -9.9 -0.9 -0.2 -9.2 -12.1 3.9 -7.0 4.7 -8.5 EURIBOR-ICE -14.2 2.6 2.8 -2.2 -4.5 -1.0 -4.6 -0.2 -3.5 -9.1 7.5 -9.1 7.5 0.1 2.4 5.9 1.0 5.3 3.6 2.6 6.8 -13.6 7.4 -5.1 10.6 1.5 -4.7 3.0 -4.0 3.2 -1.2 10.9 10.2 9.8 12.9 16.9 0.1 -11.4 18.8 7.4 EUROSTX 7.5 1.3 -3.8 0.0 -0.3 3.5 -4.4 6.4 -3.9 -5.2 0.3 -4.1 11.6 5.5 -1.2 4.8 -2.4 -0.1 -1.9 1.2 -0.5 -5.6 4.8 0.9 -3.4 0.4 -13.0 -0.2 -5.5 3.4 0.4 7.1 -3.9 20.0 -11.4 -10.8 6.3 5.3 -11.1 -11.7 FEEDCOW -0.0 20.0 20.0 -5.4 -3.6 -5.1 -8.3 -6.6 -8.0 20.0 13.4 13.6 -5.3 20.0 20.0 -2.2 -3.5 5.9 5.6 20.0 19.6 19.8 2.1 20.0 -15.4 7.0 0.2 4.3 0.3 0.6 4.2 2.1 1.1 2.7 20.0 20.0 19.2 15.4 20.0 20.0 GASOIL 3.8 5.0 -1.2 0.4 6.2 -2.5 4.5 -3.1 2.7 -7.4 -12.1 4.9 -10.5 0.8 0.5 4.9 6.2 3.4 3.2 -2.1 -7.7 -0.0 -8.2 0.5 4.5 -0.9 2.5 -4.7 2.1 -5.4 1.4 0.4 -6.6 -5.3 0.8 -6.0 -2.2 -8.1 0.2 -12.7 GASOLINE 2.2 -0.4 -1.8 0.4 7.1 -2.9 5.3 -3.5 3.2 6.0 -9.9 2.2 -5.8 -5.2 -2.6 -20.0 9.4 -20.0 -4.7 -3.5 -6.4 1.0 -4.2 -1.0 -20.0 -0.1 7.3 -1.3 3.6 -0.4 0.9 2.5 -9.4 -2.7 -3.2 5.9 1.1 8.4 5.6 15.3 GAS_US_mini 10.4 12.1 12.4 0.3 5.5 -2.2 4.1 -2.7 2.5 7.4 -10.4 10.6 -15.6 10.5 4.4 20.0 -20.0 -12.0 -20.0 4.5 -2.7 12.6 -11.4 10.9 20.0 1.5 13.8 -2.1 12.5 -5.1 6.7 -20.0 20.0 6.6 9.6 -0.1 -5.3 -11.6 -3.3 -9.8 GBP -0.4 -15.4 -17.6 -5.5 -2.1 -4.1 -4.1 -1.9 -5.3 -6.5 -10.0 -11.1 2.2 -14.6 -15.9 0.7 -0.0 0.6 0.3 -14.6 -9.0 -9.6 -0.5 -13.5 -0.5 -5.5 -0.3 -2.9 -3.8 0.7 -5.3 2.1 6.6 7.4 -1.0 1.1 7.5 -8.3 20.0 -7.7 GOLD_micro -5.2 -15.8 -12.4 -1.6 -1.6 -0.6 -2.2 -0.3 -2.5 1.3 4.2 -5.2 8.5 -5.5 -2.0 -9.2 -12.5 -10.5 -11.3 -1.3 4.8 -3.4 9.8 -4.2 -11.0 -0.4 -2.8 2.6 -3.2 5.0 -2.4 -11.3 -3.2 -2.4 -4.4 6.3 20.0 4.8 20.0 9.7 HEATOIL 4.3 1.3 -0.4 0.4 6.7 -2.7 5.0 -3.3 3.0 -3.0 -14.5 7.8 -14.5 0.5 -6.3 7.6 3.4 2.8 0.7 -3.7 -10.1 0.5 -11.8 0.1 -20.0 -0.9 6.4 -4.5 4.3 -5.6 1.7 -4.7 -5.4 -5.7 -3.4 -0.1 -3.0 0.9 -0.9 1.3 JGB-SGX-mini 0.4 -18.5 -11.9 -2.6 -5.4 -1.1 -5.6 -0.1 -4.1 -8.2 -3.7 -6.5 -0.4 -11.0 -11.2 19.0 14.1 16.2 15.0 -10.1 -6.8 -6.9 -2.4 -8.4 -13.4 -3.9 -4.2 -2.8 -2.8 -1.6 -3.3 20.0 20.0 9.1 -6.1 -0.7 -20.0 -18.7 -20.0 -14.6 JPY -14.8 -8.0 -14.8 -2.8 -1.0 -2.1 -2.1 -1.0 -2.7 -8.6 -5.6 -9.2 -5.9 -7.8 -8.3 -10.1 -13.2 -10.6 -11.4 -9.8 -7.3 -14.4 -6.9 -12.5 20.0 -2.7 -3.3 -1.9 -4.6 -1.8 -3.7 -19.2 -8.8 -7.8 1.6 -4.3 -9.5 -20.0 -6.5 -20.0 LEANHOG -15.9 -7.2 20.0 -5.3 -3.6 -5.1 -8.3 -6.5 -8.0 4.1 15.1 -10.8 6.9 -6.5 14.4 -20.0 1.7 -20.0 -2.8 10.2 15.1 -1.1 6.6 -0.1 -1.1 6.6 0.6 7.9 0.0 4.3 1.9 2.6 16.7 2.2 18.6 20.0 8.9 -6.2 14.3 0.2 LIVECOW -0.2 -3.3 7.5 -5.4 -3.6 -5.1 -8.4 -6.6 -8.1 17.6 19.7 6.6 18.8 5.4 18.0 -3.7 3.9 -2.7 0.8 11.5 14.7 15.8 15.6 9.7 -20.0 5.0 1.5 6.5 -0.6 7.7 2.0 4.6 -17.3 10.7 10.6 20.0 0.9 13.9 5.7 18.2 LUMBER-new -20.0 -2.3 15.1 -4.3 -2.9 -4.1 -6.6 -5.1 -6.4 13.5 5.7 -2.3 -3.8 -6.2 4.5 -20.0 -19.3 -20.0 -19.9 1.5 5.2 -0.1 -1.3 -4.9 NaN -0.1 -0.2 1.9 -1.8 0.0 -3.2 -20.0 20.0 -14.4 7.2 14.7 9.3 3.9 13.5 12.0 MILK 20.0 -10.2 -12.2 -3.3 -2.2 -3.1 -5.0 -4.0 -4.9 13.0 1.2 12.6 6.3 7.8 -6.5 8.4 -1.4 8.8 7.4 -1.3 0.1 12.8 4.0 6.4 15.0 -0.3 8.9 -0.1 6.7 1.0 3.1 5.0 20.0 20.0 0.8 -8.9 -12.3 -20.0 -8.3 -20.0 MXP 9.2 4.8 -8.8 -4.9 -1.8 -3.6 -3.6 -1.7 -4.7 -1.9 -14.9 3.5 -13.7 3.4 -6.9 12.1 13.2 11.9 11.9 -4.7 -13.4 0.2 -14.0 0.9 -20.0 -2.6 -1.5 -7.3 0.6 -7.2 0.7 20.0 12.7 20.0 19.8 11.0 8.0 20.0 12.8 20.0 NASDAQ_micro -5.8 1.3 2.8 0.0 -0.2 2.2 -2.7 4.0 -2.4 -3.1 11.1 -0.7 11.7 6.7 10.6 -9.3 -9.9 -9.6 -9.5 10.4 11.4 1.5 12.5 6.4 -20.0 3.9 -1.3 4.9 -0.5 6.3 1.8 -5.5 8.5 20.0 12.8 15.5 13.1 5.2 -2.0 -9.6 NIKKEI 4.4 1.8 7.9 0.0 -0.2 2.9 -3.7 5.4 -3.2 14.4 8.4 10.4 9.0 8.7 13.5 13.0 7.8 8.6 7.2 6.5 6.2 11.6 10.0 7.4 -10.1 2.3 12.9 0.5 6.5 3.2 3.8 20.0 20.0 20.0 4.3 0.8 20.0 19.9 20.0 20.0 NZD -13.9 -18.6 -18.6 -3.8 -1.4 -2.8 -2.8 -1.3 -3.6 -10.4 -11.3 -12.3 -6.9 -12.9 -13.1 -1.8 -0.6 -1.4 -1.0 -17.9 -12.6 -16.6 -6.7 -19.5 2.3 -4.5 -2.4 -3.0 -4.6 -1.5 -5.2 0.6 -6.5 -13.5 -7.4 -6.2 -7.0 -2.8 -7.6 -0.3 OAT -11.3 2.0 -3.0 -3.3 -6.9 -1.5 -7.0 -0.2 -5.3 -13.8 1.1 -13.9 -2.3 -6.1 -5.4 -19.0 1.4 -6.8 -1.8 -4.6 -1.9 -20.0 -2.2 -14.1 4.0 -0.8 -10.5 0.1 -8.6 0.3 -3.8 7.3 13.1 9.7 9.9 10.2 -2.3 -13.6 18.0 4.7 OATIES -15.9 -14.2 10.3 -2.6 -1.8 -2.5 -4.1 -3.2 -3.9 -10.8 -1.0 -11.4 -6.2 -11.0 -3.7 -14.6 -2.3 -10.4 -5.5 -6.5 -1.0 -20.0 -1.4 -14.1 -20.0 -2.7 -10.2 -0.7 -8.6 -0.4 -5.3 -6.3 -20.0 -11.6 -17.2 2.7 20.0 6.1 20.0 14.2 OJ 2.5 8.1 5.6 -4.6 -3.1 -4.3 -7.0 -5.6 -6.8 -13.4 19.3 -0.2 20.0 12.3 16.0 20.0 15.2 19.4 16.6 20.0 20.0 5.0 20.0 20.0 -20.0 7.1 1.0 6.4 4.1 7.4 6.9 20.0 20.0 20.0 20.0 20.0 20.0 8.9 20.0 20.0 PALLAD -9.0 -14.5 1.8 -1.5 -1.5 -0.6 -2.0 -0.3 -2.3 -3.8 -3.2 -6.3 -4.5 -8.6 -7.5 -2.1 -2.1 -2.1 -2.0 -6.4 -3.0 -6.1 -3.6 -7.8 14.8 -2.0 0.3 -0.6 -1.3 -0.8 -2.7 5.8 3.6 -4.0 -4.6 -0.8 -19.9 -20.0 -20.0 -20.0 PLAT 0.6 -10.3 -3.3 -2.4 -2.4 -0.9 -3.3 -0.5 -3.7 -5.4 -11.2 -1.0 -5.9 -11.2 -11.2 -4.7 -4.5 -4.7 -4.6 -7.1 -5.2 -2.5 -2.7 -5.1 6.7 -4.5 -2.9 -3.1 -1.9 -1.6 -3.8 1.4 18.3 0.0 -4.8 -8.1 9.4 -9.5 4.9 -4.1 REDWHEAT 4.9 -8.3 -2.4 -5.2 -3.5 -5.0 -8.1 -6.4 -7.8 10.4 -20.0 -3.8 -20.0 -15.5 -19.2 -10.5 -8.3 -10.6 -10.1 -16.1 -19.8 -0.8 -20.0 -9.3 -2.9 -7.3 -1.7 -8.1 -3.8 -8.9 -5.5 -16.3 1.2 10.1 -15.5 -14.3 -18.8 -20.0 -14.0 -20.0 RICE -20.0 -5.5 -12.5 -4.0 -2.7 -3.7 -6.1 -4.8 -5.9 -16.2 -7.1 -17.6 4.3 -12.8 -11.2 -8.4 13.7 -7.5 2.1 -17.3 -9.3 -20.0 -1.2 -20.0 -12.7 -5.3 -10.1 -3.1 -11.9 -1.1 -8.6 15.7 -20.0 -20.0 -20.0 -20.0 -6.7 -20.0 -7.1 -20.0 ROBUSTA 3.8 2.0 -19.0 -1.9 -1.3 -1.8 -2.9 -2.3 -2.8 -7.5 6.0 0.5 7.3 2.3 3.0 4.5 20.0 9.7 16.3 6.2 8.6 -2.7 11.5 2.7 -20.0 2.3 -0.6 3.0 -0.1 4.6 1.3 20.0 1.6 -4.7 19.9 10.6 7.3 2.7 10.8 8.3 RUSSELL -20.0 -4.1 2.8 0.0 -0.2 2.1 -2.6 3.8 -2.3 -7.0 6.3 -9.3 9.8 -6.3 2.4 -5.7 -6.3 -6.0 -6.1 -1.1 5.7 -13.4 7.5 -10.9 1.5 -0.2 -4.7 2.6 -6.2 3.5 -4.1 0.5 -14.2 -20.0 0.9 6.7 -7.5 -9.8 -20.0 -20.0 SHATZ -10.7 0.7 4.7 -2.3 -4.7 -1.0 -4.8 -0.2 -3.6 -9.4 6.1 -9.8 1.0 -1.6 -0.3 -20.0 -20.0 -20.0 -20.0 0.5 3.9 -12.3 2.0 -5.3 6.0 1.0 -3.9 2.5 -3.3 1.9 -1.2 -20.0 18.4 10.4 10.9 13.8 -2.2 -12.4 8.0 -4.3 SILVER-mini -7.2 -13.2 -2.3 -2.1 -2.1 -0.8 -2.9 -0.5 -3.2 -2.2 -0.1 -8.0 6.4 -9.9 -5.2 -6.4 -6.4 -6.2 -6.1 -5.9 0.6 -8.9 6.0 -9.7 -3.2 -2.0 -4.5 0.7 -5.7 2.8 -4.6 -1.4 -5.9 -3.4 -4.2 2.8 4.0 -1.1 -1.0 7.0 SMI -2.5 -11.9 -16.7 0.0 -0.2 2.5 -3.1 4.6 -2.8 2.7 -4.6 -3.9 7.4 -9.1 -10.9 6.9 1.1 3.0 1.4 -10.4 -6.2 -5.1 1.6 -9.9 8.3 -4.1 -7.0 -1.4 -6.7 2.5 -5.1 12.8 -0.2 -5.7 -20.0 -20.0 -2.6 2.2 -14.9 -12.8 SOFR -14.8 -13.4 -20.0 -3.4 -7.1 -1.5 -7.3 -0.2 -5.5 -13.8 -7.7 -15.3 0.3 -14.7 -14.9 -0.3 -0.0 -0.0 0.2 -20.0 -13.5 -20.0 -5.2 -20.0 -6.1 -5.4 -5.2 -3.6 -6.8 -1.3 -6.2 7.3 0.8 -10.7 -14.3 -20.0 -4.3 -4.2 11.6 15.1 SOYBEAN 3.4 -1.2 -6.0 -3.7 -2.5 -3.5 -5.7 -4.5 -5.5 12.7 -15.9 6.1 -15.8 -7.4 -12.9 -3.8 -0.2 -3.1 -2.9 -13.4 -19.1 3.5 -20.0 -7.1 -17.7 -6.0 -0.9 -6.8 -3.5 -7.3 -5.3 -3.6 -7.6 -8.1 -11.4 -17.3 6.5 -5.6 9.7 1.0 SOYMEAL 16.1 5.1 -7.5 -3.5 -2.3 -3.3 -5.3 -4.2 -5.1 11.5 -14.3 11.0 -15.0 2.5 -11.3 -13.7 -2.1 -10.5 -6.9 -4.9 -11.6 20.0 -14.8 6.9 -19.8 -4.0 2.1 -5.7 2.5 -5.7 -0.5 -8.0 20.0 8.8 -2.5 -12.3 -20.0 -20.0 -20.0 -20.0 SOYOIL -11.7 -13.9 9.2 -1.9 -1.3 -1.8 -2.9 -2.3 -2.8 -6.9 -3.2 -7.5 -6.4 -8.1 -4.9 -4.1 -0.4 -2.7 -1.6 -5.4 -3.1 -7.7 -4.4 -8.3 -15.0 -1.8 -0.9 -0.8 -2.4 -1.1 -2.8 -2.1 -6.6 -3.6 -6.2 1.5 3.8 -4.7 8.2 1.6 SP400 -20.0 -5.7 2.1 0.0 -0.2 2.3 -2.8 4.2 -2.5 -7.6 6.5 -10.1 11.3 -7.9 2.2 -6.3 -6.6 -7.0 -6.9 -1.8 6.3 -16.4 9.1 -13.4 -8.6 -0.2 -4.1 2.7 -6.3 3.8 -4.4 -0.5 -20.0 -20.0 -0.1 9.0 -3.3 -5.0 -16.9 -20.0 SP500_micro -20.0 -5.0 -1.6 0.0 -0.2 2.8 -3.4 5.1 -3.0 -0.4 15.2 -0.3 16.5 7.1 13.1 -10.9 -11.8 -11.5 -11.5 8.2 14.7 -3.6 18.9 -0.1 -20.0 1.6 -3.6 5.6 -5.4 8.7 -3.2 -9.0 -3.9 -5.9 3.9 15.0 5.3 4.5 -9.8 -11.2 SUGAR11 -20.0 -19.5 4.6 -3.7 -2.5 -3.5 -5.7 -4.5 -5.5 -14.5 1.0 -16.4 -6.6 -16.7 -6.0 20.0 20.0 20.0 20.0 -15.8 -3.8 -20.0 -1.2 -20.0 -20.0 -3.2 -3.6 -0.3 -7.4 -0.1 -6.9 20.0 -20.0 -20.0 -15.2 7.9 -20.0 -0.3 -20.0 2.6 US10 -12.4 -10.3 -20.0 -2.4 -5.0 -1.1 -5.1 -0.2 -3.8 -9.6 -6.6 -10.6 -1.9 -9.8 -10.2 -1.2 -5.7 -3.0 -4.4 -13.0 -9.1 -15.5 -5.1 -14.9 1.9 -3.7 -3.7 -2.6 -4.8 -1.1 -4.2 -1.7 2.6 -3.9 -6.8 -13.8 -9.1 -12.3 3.0 9.7 US10U -14.4 -9.4 -20.0 -3.3 -6.8 -1.4 -6.9 -0.2 -5.2 -13.2 -9.0 -14.5 -2.4 -13.2 -13.6 -4.8 -3.9 -4.6 -4.4 -16.3 -11.3 -20.0 -6.7 -19.7 -1.6 -4.9 -5.5 -3.5 -6.7 -1.6 -5.8 -0.4 5.6 -3.7 -6.7 -16.2 -7.4 -8.9 9.0 17.3 US2 -2.9 -14.4 -20.0 -2.9 -6.0 -1.3 -6.1 -0.2 -4.6 -6.8 -7.6 -10.5 -5.2 -10.6 -12.3 -17.1 -20.0 -18.8 -20.0 -16.5 -12.9 -11.8 -8.9 -14.3 19.7 -4.3 -2.3 -3.0 -3.9 -1.4 -4.3 -20.0 12.1 6.1 -9.7 -14.6 -11.3 -12.1 -2.9 -4.3 US20 -17.6 -10.1 -20.0 -2.3 -4.8 -1.0 -4.9 -0.2 -3.7 -9.4 -6.4 -10.4 0.4 -9.6 -9.8 -0.3 -1.2 -1.0 -1.2 -12.0 -7.9 -16.5 -4.4 -15.1 -3.3 -3.6 -3.9 -2.4 -4.9 -1.0 -4.3 5.1 3.7 -4.9 -5.4 -11.9 -4.6 -5.5 17.8 19.7 US30 -16.7 -8.5 -17.1 -2.4 -5.0 -1.1 -5.1 -0.2 -3.8 -9.9 -7.4 -10.9 -1.3 -9.9 -10.0 -4.8 -4.5 -4.1 -4.1 -10.9 -7.4 -15.6 -4.8 -14.0 -2.4 -3.6 -4.1 -2.6 -5.2 -1.2 -4.4 -0.2 8.1 -1.2 -2.6 -9.0 -4.5 -6.1 16.9 15.0 US5 -9.7 -12.2 -20.0 -2.9 -5.9 -1.3 -6.1 -0.2 -4.5 -11.5 -8.2 -12.7 -4.8 -12.1 -12.5 -4.8 -9.0 -6.2 -7.6 -16.8 -12.3 -17.1 -7.1 -17.6 7.7 -4.3 -3.9 -3.0 -5.2 -1.3 -4.8 -7.3 4.8 -2.4 -8.4 -16.4 -6.6 -9.6 4.4 7.2 VIX 12.7 -1.9 2.8 1.0 0.4 -0.0 2.0 -1.6 2.5 -9.5 -10.2 -5.8 -10.4 -5.5 -7.3 -16.2 -20.0 -16.5 -18.3 -1.6 -2.4 -3.0 -4.9 -0.3 NaN 1.1 0.0 -0.1 3.3 -1.9 3.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 0.5 -11.8 -4.1 -5.3 -3.6 -5.0 -8.2 -6.5 -7.9 13.0 -20.0 -6.9 -20.0 -18.6 -20.0 -16.2 -14.8 -15.1 -14.8 -20.0 -20.0 -3.4 -20.0 -14.9 6.3 -8.2 -0.5 -7.6 -4.4 -7.2 -7.1 -20.0 -1.0 -1.2 -20.0 -16.8 -12.3 -20.0 -8.6 -20.0 End of report for caleb_strategy_v3