******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230912_204331 produced at 2023-09-12 21:40:00.055206 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.34 0.0 0.00 0.00 0.00 0.00 -16.08 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.32 0.0 0.00 0.00 0.00 0.00 -4.56 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.10 -0.29 0.0 0.10 -0.10 -0.10 -0.10 -49.45 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.21 0.0 0.00 0.00 0.00 0.00 -5.47 24.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.24 -0.18 0.0 0.37 -0.37 -0.24 -0.28 -27.39 56.0 -36 -42 caleb_strategy_v3 CHF False False 0.05 -0.44 -0.18 0.0 0.63 -0.63 -0.44 -0.44 -3.76 13.0 -9 -9 caleb_strategy_v3 CAD False False 0.03 0.00 -0.15 0.0 0.74 -0.74 0.00 0.00 -5.80 29.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.22 -0.12 0.0 0.92 -0.92 -0.22 -0.22 -3.21 25.0 -6 -6 caleb_strategy_v3 JPY False False 0.03 -0.09 -0.09 0.0 0.50 -0.50 -0.09 -0.15 -3.06 17.0 -3 -5 caleb_strategy_v3 BITCOIN False False 0.00 -0.04 -0.08 0.0 0.05 -0.05 -0.04 -0.04 -85.19 59.0 -43 -43 caleb_strategy_v3 EUR False False 0.05 -0.32 -0.07 0.0 0.65 -0.65 -0.32 -0.32 -1.46 14.0 -7 -7 caleb_strategy_v3 BOBL False False 0.04 -0.43 -0.07 0.0 0.82 -0.82 -0.43 -0.43 -1.60 19.0 -10 -10 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.07 -0.06 0.0 0.07 -0.07 -0.07 -0.06 -21.23 26.0 -25 -23 caleb_strategy_v3 AUD False False 0.02 0.00 -0.06 0.0 0.42 -0.42 0.00 0.00 -2.56 19.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.06 0.0 0.64 -0.64 0.00 0.00 -1.59 17.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.10 -0.05 0.0 0.20 -0.20 -0.10 -0.10 -1.42 6.0 -3 -3 caleb_strategy_v3 NZD False False 0.02 0.02 -0.05 0.0 0.43 -0.43 0.02 0.00 -2.46 21.0 1 0 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.05 0.0 0.18 -0.18 0.00 0.00 -0.59 2.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.00 -0.04 0.0 0.38 -0.38 0.00 -0.04 -0.85 9.0 0 -1 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.04 0.0 0.22 -0.22 0.00 0.00 -12.90 68.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.04 -0.04 0.0 0.51 -0.51 -0.04 -0.08 -0.94 13.0 -1 -2 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.04 0.0 0.37 -0.37 0.00 0.00 -4.62 48.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.04 0.0 0.01 -0.01 0.00 0.00 -8.18 3.0 0 0 caleb_strategy_v3 DOW False False 0.01 -0.05 -0.03 0.0 0.40 -0.40 -0.05 -0.02 -4.99 66.0 -8 -3 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.03 0.0 0.09 -0.09 0.00 0.00 -0.62 2.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.02 0.0 0.26 -0.26 0.00 0.00 -0.39 6.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.04 -0.02 0.0 0.10 -0.10 -0.04 -0.04 -1.67 8.0 -3 -3 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.02 0.0 0.25 -0.25 0.00 0.00 -2.27 23.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.02 0.0 0.06 -0.06 0.00 0.00 -1.34 5.0 0 0 caleb_strategy_v3 US20 False False 0.04 -0.08 -0.02 0.0 0.37 -0.37 -0.08 -0.08 -0.58 9.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.02 0.0 0.09 -0.09 -0.02 -0.03 -1.56 9.0 -2 -3 caleb_strategy_v3 BTP False False 0.04 0.00 -0.02 0.0 0.42 -0.42 0.00 0.00 -0.44 10.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -2.39 12.0 -2 -2 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.02 0.0 0.12 -0.12 0.00 -0.02 -1.12 6.0 0 -1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.70 0.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.04 -0.04 0.00 0.00 -0.52 4.0 0 0 caleb_strategy_v3 GBP False False 0.03 -0.03 -0.01 0.0 0.59 -0.59 -0.03 -0.03 -0.42 22.0 -1 -1 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.48 -0.48 0.00 0.00 -0.16 10.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.14 -0.01 0.0 0.19 -0.19 -0.14 -0.14 -0.18 4.0 -3 -3 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.01 0.0 0.20 -0.20 0.00 0.00 -2.49 51.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -0.37 9.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.05 0.00 0.0 0.16 -0.16 -0.05 -0.02 0.01 10.0 -3 -1 caleb_strategy_v3 SOYOIL False False 0.01 0.00 0.00 0.0 0.12 -0.12 0.00 0.00 0.35 10.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.07 0.00 0.0 0.16 -0.16 0.07 0.07 0.12 7.0 3 3 caleb_strategy_v3 COTTON2 False False 0.02 0.00 0.00 0.0 0.17 -0.17 0.00 0.00 0.11 11.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.28 0.01 0.0 0.46 -0.46 0.28 0.28 0.17 10.0 6 6 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.19 -0.19 0.03 0.03 0.72 23.0 4 4 caleb_strategy_v3 OATIES False True 0.01 0.00 0.01 0.0 0.00 0.00 0.00 0.00 1.39 2.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.83 12.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 0.02 0.0 0.19 -0.19 0.01 0.01 1.48 18.0 1 1 caleb_strategy_v3 EUROSTX False False 0.02 0.13 0.03 0.0 0.32 -0.32 0.13 0.14 1.58 20.0 8 9 caleb_strategy_v3 COCOA False False 0.01 0.05 0.03 0.0 0.33 -0.33 0.05 0.05 2.32 26.0 4 4 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.05 -0.05 0.00 0.00 2.22 3.0 0 0 caleb_strategy_v3 HEATOIL False False 0.05 0.00 0.05 0.0 0.14 -0.14 0.00 0.00 1.01 3.0 0 0 caleb_strategy_v3 DAX False False 0.01 -0.01 0.05 0.0 0.34 -0.34 -0.01 0.00 7.77 58.0 -1 0 caleb_strategy_v3 LEANHOG False False 0.01 0.08 0.07 0.0 0.14 -0.14 0.08 0.08 6.87 13.0 8 8 caleb_strategy_v3 GASOIL False False 0.03 0.06 0.07 0.0 0.12 -0.12 0.06 0.06 2.12 4.0 2 2 caleb_strategy_v3 GASOLINE False False 0.04 0.15 0.07 0.0 0.15 -0.15 0.15 0.15 1.87 4.0 4 4 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.08 0.0 0.44 -0.44 0.03 0.03 2.97 17.0 1 1 caleb_strategy_v3 DX False False 0.04 0.00 0.11 0.0 36005691.55 -36005691.55 0.00 0.00 2.92 999999999.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.27 0.11 0.0 0.90 -0.90 0.27 0.27 1.26 10.0 3 3 caleb_strategy_v3 FEEDCOW False False 0.05 0.23 0.15 0.0 0.36 -0.36 0.23 0.23 3.31 8.0 5 5 caleb_strategy_v3 MXP False False 0.01 0.60 0.18 0.0 0.60 -0.60 0.60 0.50 18.06 60.0 60 50 caleb_strategy_v3 CRUDE_W False False 0.03 0.15 0.18 0.0 0.15 -0.15 0.15 0.15 6.10 5.0 5 5 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.55 0.21 0.0 0.55 -0.55 0.55 0.51 6.22 16.0 16 15 caleb_strategy_v3 NIKKEI False False 0.01 0.21 0.31 0.0 0.28 -0.28 0.21 0.25 40.13 36.0 27 32 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 19.5 Shocked risk 58.0 Sum abs risk 59.6 Leverage 5.69 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2897875.18, 'annual_cash_vol_target': 724468.795, 'daily_cash_vol_target': 45279.2996875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6446 0.6665 10.6645 BITCOIN 770.7241 26095.0000 2.9535 47.2565 BOBL 0.2608 116.3700 0.2241 3.5854 BTP 0.6201 112.8400 0.5495 8.7927 BUND 0.5532 130.5900 0.4236 6.7783 BUXL 1.2921 129.0400 1.0014 16.0216 CAC 51.2504 7265.5000 0.7054 11.2863 CAD 0.0028 0.7386 0.3811 6.0976 CANOLA 7.9692 761.2000 1.0469 16.7508 CHF 0.0047 1.1226 0.4162 6.6591 COCOA 37.7449 3662.0000 1.0307 16.4915 COFFEE 2.5215 152.4500 1.6540 26.4642 COPPER 0.0418 3.7900 1.1032 17.6515 CORN 7.5627 477.0000 1.5855 25.3676 COTTON2 1.2220 88.3000 1.3840 22.1436 CRUDE_W 0.9952 87.4800 1.1376 18.2022 DAX 103.9256 15881.0000 0.6544 10.4704 DOW 191.3208 34980.0000 0.5469 8.7511 DX 0.3771 104.3400 0.3614 5.7827 EUR 0.0050 1.0735 0.4683 7.4933 EURIBOR-ICE 0.0519 96.9750 0.0536 0.8569 EUROSTX 35.7572 4273.0000 0.8368 13.3891 FEEDCOW 1.3130 262.3500 0.5005 8.0074 GASOIL 13.4512 897.2500 1.4992 23.9865 GASOLINE 0.0333 2.5611 1.2996 20.7935 GAS_US_mini 0.0853 3.0250 2.8200 45.1199 GBP 0.0064 1.2487 0.5147 8.2355 GOLD_micro 9.5806 1918.3000 0.4994 7.9909 HEATOIL 0.0403 3.1252 1.2894 20.6307 JGB-SGX-mini 0.2290 145.5400 0.1573 2.5171 JPY 0.0000 0.0068 0.6134 9.8136 LEANHOG 1.1983 76.8250 1.5597 24.9556 LIVECOW 1.0375 188.3500 0.5508 8.8134 LUMBER-new 8.5290 499.5000 1.7075 27.3201 MILK 0.2603 18.2500 1.4263 22.8211 MXP 0.0005 0.0579 0.7956 12.7296 NASDAQ_micro 146.2849 15496.7500 0.9440 15.1035 NIKKEI 278.5147 32615.0000 0.8539 13.6631 NZD 0.0039 0.5906 0.6546 10.4739 OAT 0.5642 125.2600 0.4504 7.2066 OATIES 6.9689 507.7500 1.3725 21.9600 OJ 5.0611 329.5000 1.5360 24.5758 PALLAD 20.8934 1246.5000 1.6762 26.8187 PLAT 13.0040 914.3000 1.4223 22.7567 REDWHEAT 12.6175 729.0000 1.7308 27.6926 RICE 0.1688 15.9500 1.0586 16.9370 ROBUSTA 30.8516 2432.0000 1.2686 20.2971 RUSSELL 15.6646 1874.6000 0.8356 13.3700 SHATZ 0.0842 105.1200 0.0801 1.2816 SILVER-mini 0.3223 23.4500 1.3746 21.9933 SMI 66.8702 11025.0000 0.6065 9.7045 SOFR 0.0655 96.2450 0.0680 1.0885 SOYBEAN 14.9681 1344.7500 1.1131 17.8092 SOYMEAL 5.3118 397.5000 1.3363 21.3808 SOYOIL 0.8070 60.2100 1.3402 21.4438 SP400 18.6430 2605.3000 0.7156 11.4492 SP500_micro 29.9718 4511.5000 0.6643 10.6295 SUGAR11 0.3240 27.0300 1.1988 19.1801 US10 0.3869 109.8438 0.3522 5.6356 US10U 0.5450 114.4062 0.4764 7.6221 US2 0.0985 101.5625 0.0970 1.5523 US20 0.7743 119.4062 0.6484 10.3749 US30 1.1782 126.4375 0.9318 14.9091 US5 0.2478 106.1328 0.2334 3.7352 VIX 0.4521 16.7500 2.6989 43.1829 WHEAT 12.1138 587.2500 2.0628 33.0048 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 644.60 0.67 429.65 1.00 429.65 45279.3 105.39 -9.37 -98.70 BITCOIN 26.10 2.95 77.07 1.00 77.07 45279.3 587.49 -13.39 -786.65 BOBL 1163.70 0.22 260.77 1.07 279.76 45279.3 161.85 -9.73 -157.45 BTP 1128.40 0.55 620.11 1.07 665.28 45279.3 68.06 -1.90 -12.93 BUND 1305.90 0.42 553.24 1.07 593.54 45279.3 76.29 -2.06 -15.72 BUXL 1290.40 1.00 1292.14 1.07 1386.28 45279.3 32.66 -5.44 -17.76 CAC 726.55 0.71 512.50 1.07 549.84 45279.3 82.35 2.95 24.26 CAD 738.60 0.38 281.48 1.00 281.48 45279.3 160.86 -13.89 -223.42 CANOLA 152.24 1.05 159.38 0.74 117.17 45279.3 386.45 -2.64 -102.14 CHF 1403.31 0.42 584.05 1.00 584.05 45279.3 77.53 -18.69 -144.92 COCOA 366.20 1.03 377.45 1.00 377.45 45279.3 119.96 9.03 108.35 COFFEE 571.69 1.65 945.58 1.00 945.58 45279.3 47.89 -20.00 -95.77 COPPER 947.50 1.10 1045.30 1.00 1045.30 45279.3 43.32 -3.02 -13.10 CORN 238.50 1.59 378.14 1.00 378.14 45279.3 119.74 -8.19 -98.11 COTTON2 441.50 1.38 611.02 1.00 611.02 45279.3 74.10 0.69 5.15 CRUDE_W 874.80 1.14 995.21 1.00 995.21 45279.3 45.50 12.37 56.30 DAX 158.81 0.65 103.93 1.07 111.50 45279.3 406.10 5.61 227.86 DOW 174.90 0.55 95.66 1.00 95.66 45279.3 473.33 -4.54 -214.69 DX 1043.40 0.36 377.10 1.00 377.10 45279.3 120.07 9.38 112.67 EUR 1341.88 0.47 628.44 1.00 628.44 45279.3 72.05 -7.83 -56.43 EURIBOR-ICE 2424.38 0.05 129.84 1.07 139.30 45279.3 325.05 1.14 36.92 EUROSTX 427.30 0.84 357.57 1.07 383.62 45279.3 118.03 3.93 46.44 FEEDCOW 1311.75 0.50 656.48 1.00 656.48 45279.3 68.97 14.48 99.90 GASOIL 897.25 1.50 1345.12 1.00 1345.12 45279.3 33.66 14.52 48.88 GASOLINE 1075.66 1.30 1397.92 1.00 1397.92 45279.3 32.39 13.35 43.24 GAS_US_mini 75.62 2.82 213.26 1.00 213.26 45279.3 212.32 -9.23 -196.05 GBP 780.44 0.51 401.71 1.00 401.71 45279.3 112.72 -1.44 -16.18 GOLD_micro 191.83 0.50 95.81 1.00 95.81 45279.3 472.61 -16.99 -802.98 HEATOIL 1312.58 1.29 1692.47 1.00 1692.47 45279.3 26.75 8.70 23.28 JGB-SGX-mini 145540.00 0.16 22896.27 0.01 156.59 45279.3 289.17 1.99 57.40 JPY 850.38 0.61 521.58 1.00 521.58 45279.3 86.81 -13.58 -117.87 LEANHOG 307.30 1.56 479.30 1.00 479.30 45279.3 94.47 11.96 112.99 LIVECOW 753.40 0.55 415.00 1.00 415.00 45279.3 109.11 8.21 89.58 LUMBER-new 137.36 1.71 234.55 1.00 234.55 45279.3 193.05 -20.00 -386.10 MILK 365.00 1.43 520.61 1.00 520.61 45279.3 86.97 -7.20 -62.58 MXP 289.70 0.80 230.49 1.00 230.49 45279.3 196.45 6.26 123.05 NASDAQ_micro 309.94 0.94 292.57 1.00 292.57 45279.3 154.76 -6.31 -97.63 NIKKEI 32615.00 0.85 27851.47 0.01 190.47 45279.3 237.72 15.59 370.52 NZD 590.55 0.65 386.59 1.00 386.59 45279.3 117.13 -8.09 -94.80 OAT 1252.60 0.45 564.19 1.07 605.29 45279.3 74.81 0.68 5.12 OATIES 253.88 1.37 348.44 1.00 348.44 45279.3 129.95 4.39 57.01 OJ 494.25 1.54 759.16 1.00 759.16 45279.3 59.64 17.38 103.65 PALLAD 1246.50 1.68 2089.34 1.00 2089.34 45279.3 21.67 -8.34 -18.08 PLAT 457.15 1.42 650.20 1.00 650.20 45279.3 69.64 0.02 0.15 REDWHEAT 364.50 1.73 630.87 1.00 630.87 45279.3 71.77 -17.55 -125.94 RICE 319.00 1.06 337.68 1.00 337.68 45279.3 134.09 -1.58 -21.22 ROBUSTA 243.20 1.27 308.52 1.00 308.52 45279.3 146.76 4.18 61.32 RUSSELL 93.73 0.84 78.32 1.00 78.32 45279.3 578.11 -6.73 -389.13 SHATZ 1051.20 0.08 84.20 1.07 90.33 45279.3 501.24 -10.76 -539.38 SILVER-mini 586.25 1.37 805.85 1.00 805.85 45279.3 56.19 -3.64 -20.44 SMI 1102.50 0.61 668.70 1.12 750.52 45279.3 60.33 -4.12 -24.83 SOFR 2406.12 0.07 163.69 1.00 163.69 45279.3 276.62 -9.57 -264.64 SOYBEAN 672.38 1.11 748.40 1.00 748.40 45279.3 60.50 2.16 13.07 SOYMEAL 397.50 1.34 531.18 1.00 531.18 45279.3 85.24 -4.67 -39.80 SOYOIL 361.26 1.34 484.17 1.00 484.17 45279.3 93.52 4.06 37.93 SP400 2605.30 0.72 1864.30 1.00 1864.30 45279.3 24.29 -7.31 -17.74 SP500_micro 225.58 0.66 149.86 1.00 149.86 45279.3 302.15 -6.58 -198.66 SUGAR11 302.74 1.20 362.91 1.00 362.91 45279.3 124.77 5.57 69.53 US10 1098.44 0.35 386.90 1.00 386.90 45279.3 117.03 -10.73 -125.59 US10U 1144.06 0.48 545.01 1.00 545.01 45279.3 83.08 -8.94 -74.29 US2 2031.25 0.10 197.07 1.00 197.07 45279.3 229.76 -15.66 -359.80 US20 1194.06 0.65 774.27 1.00 774.27 45279.3 58.48 -7.78 -45.48 US30 1264.38 0.93 1178.16 1.00 1178.16 45279.3 38.43 -7.91 -30.39 US5 1061.33 0.23 247.76 1.00 247.76 45279.3 182.75 -13.87 -253.49 VIX 167.50 2.70 452.07 1.00 452.07 45279.3 100.16 -20.00 -200.32 WHEAT 293.62 2.06 605.69 1.00 605.69 45279.3 74.76 -15.73 -117.60 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -98.705 0.010 2.5 -2.561 BITCOIN -786.654 0.043 2.5 -85.192 BOBL -157.451 0.004 2.5 -1.597 BTP -12.927 0.014 2.5 -0.441 BUND -15.720 0.004 2.5 -0.159 BUXL -17.756 0.004 2.5 -0.180 CAC 24.255 0.014 2.5 0.827 CAD -223.421 0.010 2.5 -5.797 CANOLA -102.140 0.010 2.5 -2.485 CHF -144.920 0.010 2.5 -3.760 COCOA 108.353 0.009 2.5 2.321 COFFEE -95.771 0.005 2.5 -1.118 COPPER -13.103 0.043 2.5 -1.419 CORN -98.108 0.010 2.5 -2.387 COTTON2 5.148 0.009 2.5 0.110 CRUDE_W 56.301 0.043 2.5 6.097 DAX 227.859 0.014 2.5 7.773 DOW -214.688 0.009 2.5 -4.990 DX 112.674 0.010 2.5 2.924 EUR -56.431 0.010 2.5 -1.464 EURIBOR-ICE 36.921 0.014 2.5 1.259 EUROSTX 46.437 0.014 2.5 1.584 FEEDCOW 99.903 0.013 2.5 3.311 GASOIL 48.884 0.017 2.5 2.119 GASOLINE 43.241 0.017 2.5 1.875 GAS_US_mini -196.046 0.043 2.5 -21.231 GBP -16.181 0.010 2.5 -0.420 GOLD_micro -802.981 0.014 2.5 -27.391 HEATOIL 23.284 0.017 2.5 1.009 JGB-SGX-mini 57.401 0.043 2.5 6.216 JPY -117.870 0.010 2.5 -3.059 LEANHOG 112.992 0.024 2.5 6.868 LIVECOW 89.584 0.013 2.5 2.969 LUMBER-new -386.100 0.008 2.5 -8.185 MILK -62.582 0.009 2.5 -1.340 MXP 123.048 0.059 2.5 18.062 NASDAQ_micro -97.626 0.009 2.5 -2.269 NIKKEI 370.516 0.043 2.5 40.125 NZD -94.803 0.010 2.5 -2.460 OAT 5.121 0.014 2.5 0.175 OATIES 57.012 0.010 2.5 1.387 OJ 103.654 0.009 2.5 2.220 PALLAD -18.083 0.014 2.5 -0.617 PLAT 0.152 0.014 2.5 0.005 REDWHEAT -125.940 0.005 2.5 -1.671 RICE -21.217 0.010 2.5 -0.516 ROBUSTA 61.323 0.005 2.5 0.716 RUSSELL -389.134 0.013 2.5 -12.896 SHATZ -539.377 0.004 2.5 -5.470 SILVER-mini -20.437 0.014 2.5 -0.697 SMI -24.829 0.014 2.5 -0.847 SOFR -264.638 0.024 2.5 -16.084 SOYBEAN 13.066 0.004 2.5 0.122 SOYMEAL -39.803 0.004 2.5 -0.370 SOYOIL 37.929 0.004 2.5 0.353 SP400 -17.742 0.013 2.5 -0.588 SP500_micro -198.662 0.009 2.5 -4.617 SUGAR11 69.535 0.009 2.5 1.479 US10 -125.588 0.005 2.5 -1.592 US10U -74.293 0.005 2.5 -0.942 US2 -359.797 0.005 2.5 -4.560 US20 -45.478 0.005 2.5 -0.576 US30 -30.390 0.005 2.5 -0.385 US5 -253.492 0.005 2.5 -3.212 VIX -200.319 0.099 2.5 -49.451 WHEAT -117.599 0.005 2.5 -1.560 ===================== Position diags ===================== AUD 2.73 BITCOIN 63.62 BOBL 1.64 BTP 2.32 BUND 0.77 BUXL 0.33 CAC 2.81 CAD 4.17 CANOLA 9.40 CHF 2.01 COCOA 2.57 COFFEE 0.56 COPPER 4.69 CORN 2.91 COTTON2 1.59 CRUDE_W 4.93 DAX 13.85 DOW 11.00 DX 3.12 EUR 1.87 EURIBOR-ICE 11.09 EUROSTX 4.03 FEEDCOW 2.29 GASOIL 1.46 GASOLINE 1.40 GAS_US_mini 22.99 GBP 2.92 GOLD_micro 16.12 HEATOIL 1.16 JGB-SGX-mini 31.32 JPY 2.25 LEANHOG 5.74 LIVECOW 3.62 LUMBER-new 4.09 MILK 1.86 MXP 28.84 NASDAQ_micro 3.60 NIKKEI 25.74 NZD 3.04 OAT 2.55 OATIES 3.16 OJ 1.28 PALLAD 0.74 PLAT 2.38 REDWHEAT 0.95 RICE 3.26 ROBUSTA 1.71 RUSSELL 19.16 SHATZ 5.08 SILVER-mini 1.92 SMI 2.06 SOFR 16.81 SOYBEAN 0.56 SOYMEAL 0.79 SOYOIL 0.87 SP400 0.80 SP500_micro 7.02 SUGAR11 2.65 US10 1.48 US10U 1.05 US2 2.91 US20 0.74 US30 0.49 US5 2.32 VIX 24.73 WHEAT 0.99 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.6 -2.8 -2.3 NaN 0 BITCOIN -85.2 -91.6 -78.8 -43.0 -43 BOBL -1.6 -1.8 -1.4 -10.0 -10 BTP -0.4 -0.7 -0.2 0.0 0 BUND -0.2 -0.2 -0.1 0.0 0 BUXL -0.2 -0.2 -0.1 -3.0 -3 CAC 0.8 0.5 1.1 NaN 0 CAD -5.8 -6.2 -5.4 0.0 0 CANOLA -2.5 -3.4 -1.5 NaN 0 CHF -3.8 -4.0 -3.6 -9.0 -9 COCOA 2.3 2.1 2.6 4.0 4 COFFEE -1.1 -1.2 -1.1 NaN 0 COPPER -1.4 -1.9 -0.9 -3.0 -3 CORN -2.4 -2.7 -2.1 -2.0 -2 COTTON2 0.1 -0.0 0.3 0.0 0 CRUDE_W 6.1 5.6 6.6 5.0 5 DAX 7.8 6.4 9.2 -1.0 -1 DOW -5.0 -6.1 -3.9 -8.0 -8 DX 2.9 2.6 3.2 NaN 0 EUR -1.5 -1.7 -1.3 -7.0 -7 EURIBOR-ICE 1.3 0.2 2.4 3.0 3 EUROSTX 1.6 1.2 2.0 8.0 8 FEEDCOW 3.3 3.1 3.5 5.0 5 GASOIL 2.1 2.0 2.3 2.0 2 GASOLINE 1.9 1.7 2.0 4.0 4 GAS_US_mini -21.2 -23.5 -18.9 -25.0 -25 GBP -0.4 -0.7 -0.1 -1.0 -1 GOLD_micro -27.4 -29.0 -25.8 -36.0 -36 HEATOIL 1.0 0.9 1.1 0.0 0 JGB-SGX-mini 6.2 3.1 9.3 16.0 16 JPY -3.1 -3.3 -2.8 -3.0 -3 LEANHOG 6.9 6.3 7.4 8.0 8 LIVECOW 3.0 2.6 3.3 1.0 1 LUMBER-new -8.2 -8.6 -7.8 NaN 0 MILK -1.3 -1.5 -1.2 NaN 0 MXP 18.1 15.2 20.9 60.0 60 NASDAQ_micro -2.3 -2.6 -1.9 0.0 0 NIKKEI 40.1 37.6 42.7 27.0 27 NZD -2.5 -2.8 -2.2 1.0 1 OAT 0.2 -0.1 0.4 6.0 6 OATIES 1.4 1.1 1.7 NaN 0 OJ 2.2 2.1 2.3 NaN 0 PALLAD -0.6 -0.7 -0.5 NaN 0 PLAT 0.0 -0.2 0.2 -3.0 -3 REDWHEAT -1.7 -1.8 -1.6 -3.0 -3 RICE -0.5 -0.8 -0.2 NaN 0 ROBUSTA 0.7 0.5 0.9 4.0 4 RUSSELL -12.9 -14.8 -11.0 0.0 0 SHATZ -5.5 -6.0 -5.0 NaN 0 SILVER-mini -0.7 -0.9 -0.5 NaN 0 SMI -0.8 -1.1 -0.6 0.0 0 SOFR -16.1 -17.8 -14.4 NaN 0 SOYBEAN 0.1 0.1 0.2 3.0 3 SOYMEAL -0.4 -0.4 -0.3 0.0 0 SOYOIL 0.4 0.3 0.4 0.0 0 SP400 -0.6 -0.7 -0.5 0.0 0 SP500_micro -4.6 -5.3 -3.9 0.0 0 SUGAR11 1.5 1.2 1.7 1.0 1 US10 -1.6 -1.7 -1.4 NaN 0 US10U -0.9 -1.0 -0.8 -1.0 -1 US2 -4.6 -4.9 -4.3 NaN 0 US20 -0.6 -0.7 -0.5 -2.0 -2 US30 -0.4 -0.4 -0.3 0.0 0 US5 -3.2 -3.4 -3.0 -6.0 -6 VIX -49.5 -51.9 -47.0 -17.0 -17 WHEAT -1.6 -1.7 -1.5 -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 3.8 3.8 3.7 1.3 1.1 3.2 1.3 4.2 1.3 1.1 3.0 1.3 3.1 1.3 1.3 2.3 2.3 2.3 2.3 1.3 1.3 1.1 3.2 1.3 0.0 1.3 1.1 3.2 1.3 4.2 1.3 6.3 2.8 3.8 3.8 3.7 3.9 3.9 3.9 3.9 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 0.0 -0.6 -0.1 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 -0.3 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 0.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.3 -0.5 -0.2 -0.7 -0.1 0.2 BITCOIN -0.4 -0.6 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.2 0.1 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 0.0 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.6 -0.5 -0.2 -0.4 0.7 -0.3 0.7 BOBL 0.1 0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 -0.0 -0.3 -0.2 -0.4 -0.3 -0.0 -0.1 -0.0 -0.2 -0.0 1.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.0 0.0 0.1 0.2 0.1 -0.7 -0.7 -0.7 -0.6 BTP -0.0 -0.3 0.2 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.1 -0.1 0.0 -0.1 -0.0 0.1 0.2 0.1 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.9 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.9 -0.1 -0.0 0.2 0.5 -0.5 -0.7 0.1 0.3 BUND 0.1 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 -0.1 0.1 0.2 0.1 0.1 -0.0 -0.1 -0.0 -0.2 -0.0 0.8 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.9 -0.0 0.1 0.1 0.1 -0.7 -0.7 -0.6 -0.0 BUXL 0.1 -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 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.3 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.0 0.0 -0.1 0.1 -0.7 -0.7 -0.2 0.5 CAC -0.1 -0.3 -0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.3 -0.1 0.7 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 0.5 -0.1 -0.7 -0.0 0.0 0.1 -0.0 0.3 -0.0 0.3 -0.2 0.1 0.3 -0.1 0.7 0.0 0.7 0.2 CAD -0.2 -0.6 0.1 -0.0 -0.0 0.1 -0.0 0.1 -0.1 0.1 -0.1 -0.0 -0.4 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.1 -0.2 -0.2 0.2 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.2 -0.3 -0.5 -0.5 -0.7 -0.7 -0.7 -0.6 CANOLA -0.4 0.0 0.6 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.2 -0.1 -0.2 -0.0 0.1 -0.2 0.2 -0.0 0.1 0.1 0.1 -0.2 0.0 -0.1 -2.7 0.0 -0.1 0.0 -0.0 -0.0 -0.0 0.4 -0.4 0.2 0.0 0.6 -0.4 0.2 0.2 0.6 CHF -0.6 -0.4 0.1 -0.0 -0.0 0.1 -0.0 0.1 -0.1 -0.1 0.1 -0.2 0.5 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 0.0 -0.2 0.3 -0.2 -1.3 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 -0.2 -0.1 -0.7 -0.7 -0.7 -0.7 COCOA 0.3 0.0 0.4 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.5 0.2 -1.9 0.1 0.0 0.3 0.1 0.4 0.1 -0.7 0.5 0.6 0.6 0.6 -0.2 -0.4 0.5 -0.0 COFFEE 0.1 -0.2 -0.6 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.0 -0.4 -0.0 -0.5 -0.2 -0.2 -0.1 0.0 -0.0 0.0 -0.2 -0.2 -0.0 -0.5 -0.1 -2.7 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.3 0.3 -0.4 -0.5 -0.6 -0.7 -0.7 -0.5 -0.4 COPPER 0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.2 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.7 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 0.2 0.2 0.4 0.2 0.2 -0.7 0.6 -0.6 CORN -0.0 -0.6 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.2 0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.4 0.1 -0.0 -0.2 0.2 -0.1 0.2 0.0 0.4 COTTON2 0.1 0.2 0.4 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.0 0.3 0.0 -0.3 0.1 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.0 0.1 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.5 0.3 0.5 0.4 -0.6 -0.5 0.4 0.3 CRUDE_W 0.4 0.6 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.5 0.2 -0.1 0.2 0.2 0.3 0.2 0.2 0.2 0.2 0.2 0.2 0.4 0.2 -1.0 0.1 0.1 0.2 0.1 0.2 0.1 -1.1 0.3 -0.0 -0.6 -0.1 0.6 0.4 0.7 0.3 DAX -0.0 -0.5 -0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.1 -0.1 0.6 -0.2 -0.1 -0.2 -0.1 -0.2 -0.2 -0.1 0.0 -0.1 0.3 -0.1 2.6 -0.0 -0.0 -0.0 -0.0 0.2 -0.0 -0.2 -0.1 0.1 0.1 -0.3 0.7 0.0 0.7 0.2 DOW -0.4 -0.3 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.3 -0.0 0.5 -0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.0 0.2 -0.1 -1.4 0.0 0.0 0.1 0.0 0.2 -0.0 -0.3 0.2 -0.1 0.5 0.6 -0.4 -0.2 -0.7 -0.2 DX 0.5 0.6 0.1 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 0.2 0.2 -0.3 0.2 0.2 0.2 0.1 0.1 0.1 0.2 0.1 0.2 0.1 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 0.7 0.5 0.6 0.6 0.2 -0.1 0.2 0.0 0.7 EUR -0.4 -0.6 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 -0.1 -0.1 0.3 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 1.8 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.4 -0.3 -0.5 -0.4 -0.4 -0.2 -0.7 0.0 -0.0 EURIBOR-ICE 0.2 0.2 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.2 -0.0 2.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.6 0.1 0.2 0.3 0.0 -0.7 -0.7 0.7 0.3 EUROSTX -0.1 -0.4 -0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.6 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 0.4 -0.1 0.7 -0.0 -0.0 0.0 -0.1 0.2 -0.1 0.3 -0.2 -0.0 0.1 -0.2 0.7 0.1 0.7 0.4 FEEDCOW 0.4 0.2 0.6 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.1 -0.4 -0.2 -0.4 0.2 0.2 0.2 0.5 0.2 0.3 0.1 0.1 0.3 0.1 0.5 0.1 -1.1 0.5 0.6 0.6 0.6 0.2 -0.3 0.7 -0.1 GASOIL -0.2 0.6 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.2 0.4 0.2 0.1 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.4 0.2 1.5 0.1 0.0 0.1 0.0 0.1 0.1 0.0 -0.4 -0.1 0.4 0.5 -0.5 0.1 -0.6 -0.2 GASOLINE -0.0 0.5 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.5 0.2 0.1 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 1.1 -0.1 -0.6 -0.6 0.3 0.6 0.5 0.7 0.2 GAS_US_mini -0.3 0.2 0.6 0.1 0.0 0.1 0.1 0.1 0.1 -0.1 -0.5 -0.2 -0.7 -0.2 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.1 -0.5 -0.1 2.7 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -1.1 -0.5 -0.6 -0.6 -0.6 0.2 0.2 -0.2 -0.0 GBP -0.5 -0.5 0.2 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.2 -0.2 0.4 -0.2 -0.1 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.2 0.2 -0.2 -0.1 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.1 -0.2 -0.4 -0.3 -0.1 0.0 0.5 0.2 0.7 GOLD_micro 0.3 -0.4 -0.5 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.2 -0.3 -0.0 0.2 -0.1 -0.2 -0.4 -0.3 -0.3 -0.3 -0.2 -0.1 -0.1 0.0 -0.1 -1.5 -0.0 -0.0 -0.0 0.0 0.1 0.0 -1.0 0.3 0.3 0.2 -0.5 -0.7 -0.7 -0.5 -0.7 HEATOIL -0.1 0.6 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.4 0.2 0.0 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.1 0.1 -0.5 -0.5 0.4 0.6 0.2 -0.0 -0.0 -0.1 JGB-SGX-mini 0.1 -0.5 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.0 0.2 -0.1 -0.1 0.4 0.4 0.3 0.3 -0.1 -0.0 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 1.1 0.0 0.1 -0.0 0.1 -0.7 -0.3 0.2 0.3 JPY -0.1 -0.5 -0.5 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.0 -0.2 -0.4 -0.6 -0.2 -0.7 -0.2 -0.7 LEANHOG 0.1 0.1 0.3 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.1 -0.1 0.1 -0.2 -0.0 0.1 0.4 0.4 0.4 0.4 0.0 -0.1 0.1 -0.3 0.0 1.9 -0.0 0.1 -0.2 0.0 -0.4 0.0 1.1 0.5 0.3 -0.1 -0.2 -0.3 0.0 0.6 0.7 LIVECOW 0.0 -0.3 0.6 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 -0.4 0.0 -0.2 0.0 0.2 0.2 0.2 0.5 0.2 0.5 0.1 0.1 0.4 0.1 0.5 0.1 -0.1 0.5 0.6 0.2 0.6 -0.7 -0.7 -0.7 -0.7 LUMBER-new -0.2 -0.5 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.6 -0.3 -0.6 -0.3 -0.3 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.1 -0.4 -0.2 NaN -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -1.3 0.3 -0.2 -0.8 -0.3 -0.8 -0.8 -0.4 -0.8 MILK 0.5 0.6 0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 -0.3 0.1 0.1 0.2 -0.4 -0.4 -0.4 0.1 -0.1 0.0 -0.4 0.1 -0.2 0.0 -0.0 -0.1 0.0 -0.2 0.0 -1.1 0.3 0.4 0.6 -0.5 -0.7 -0.7 -0.5 -0.7 MXP -0.4 -0.6 -0.3 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.4 -0.1 0.6 -0.1 0.1 0.3 0.4 0.3 0.3 0.0 0.2 -0.1 0.5 -0.1 -2.7 0.0 0.0 0.2 -0.0 0.3 -0.0 1.1 -0.5 0.0 0.3 0.5 0.7 0.2 0.7 0.7 NASDAQ_micro 0.0 -0.6 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.3 0.1 0.3 0.0 0.1 -0.2 -0.2 -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 -0.3 0.1 0.3 0.1 0.6 -0.2 -0.5 -0.5 -0.6 NIKKEI 0.2 -0.5 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.4 0.1 0.6 0.1 0.1 0.3 0.3 0.3 0.3 0.1 0.2 0.1 0.5 0.1 -1.0 0.0 0.0 0.3 0.0 0.4 0.0 1.1 0.5 0.6 0.5 0.6 0.2 0.1 -0.1 0.3 NZD -0.1 -0.6 -0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 -0.3 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 0.0 0.0 -0.2 -0.1 -0.1 -0.2 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 0.0 -0.1 -0.4 -0.6 -0.1 -0.5 0.1 0.2 OAT 0.2 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.3 -0.0 -0.1 0.1 0.2 0.1 0.1 -0.0 -0.0 -0.0 -0.2 -0.0 1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.9 -0.0 0.1 0.1 0.2 -0.7 -0.7 0.0 0.2 OATIES 0.3 0.5 0.6 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.4 0.1 -0.2 0.1 0.2 -0.4 -0.1 -0.4 -0.3 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.1 0.0 0.1 0.1 -1.1 -0.2 0.6 0.6 0.6 0.1 0.6 0.7 0.7 OJ 0.2 -0.1 0.2 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.1 0.5 0.2 0.6 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 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 0.3 0.2 0.7 0.6 PALLAD 0.0 0.3 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.3 -0.1 -0.5 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.5 -0.1 -0.2 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.1 0.1 -0.3 0.1 -0.5 -0.7 -0.1 0.2 0.0 PLAT 0.3 -0.1 -0.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 1.9 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.2 0.4 0.3 -0.3 0.0 -0.6 0.6 -0.4 REDWHEAT -0.3 -0.6 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -1.7 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.3 0.2 -0.3 -0.4 -0.2 -0.7 -0.7 -0.4 -0.3 RICE 0.0 0.3 0.4 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.2 -0.1 0.1 0.0 0.1 -0.3 0.3 0.0 0.3 0.1 0.1 -0.1 0.1 0.0 -2.7 0.0 -0.1 0.1 -0.1 0.0 -0.0 1.1 -0.5 -0.0 0.6 0.5 -0.2 -0.7 0.3 -0.4 ROBUSTA -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.3 -0.0 0.5 -0.0 -0.0 0.4 0.4 0.4 0.4 0.0 0.1 -0.0 0.5 -0.0 -2.2 0.0 -0.0 0.2 -0.0 0.4 -0.0 1.1 0.3 -0.2 -0.0 0.3 -0.1 -0.5 0.5 -0.2 RUSSELL -0.4 -0.5 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.0 -0.2 -0.0 -0.2 -0.0 -0.2 -0.1 -0.2 -0.1 -0.1 0.0 -0.1 0.0 -0.2 -0.4 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.2 -0.0 0.1 0.6 -0.3 -0.4 -0.7 -0.5 SHATZ 0.0 0.2 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.0 -0.1 -0.4 -0.2 -0.4 -0.3 -0.0 -0.1 -0.1 -0.3 -0.0 1.5 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.9 -0.0 -0.0 0.2 -0.0 -0.7 -0.7 -0.7 -0.7 SILVER-mini 0.2 -0.3 -0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 1.0 0.0 -0.0 0.0 -0.0 0.1 0.0 -0.2 -0.2 0.5 0.3 0.1 -0.7 -0.7 -0.1 -0.7 SMI 0.1 -0.3 -0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.0 -0.0 0.2 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.0 -0.1 0.8 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.5 -0.1 0.1 0.5 -0.4 -0.3 -0.4 -0.7 -0.5 SOFR 0.1 -0.4 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.1 0.1 -0.0 -0.2 -0.7 -0.7 -0.3 -0.1 SOYBEAN 0.2 -0.0 0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 -0.0 0.0 0.0 0.1 -0.1 0.4 0.1 0.3 0.1 0.0 -0.0 0.0 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.0 0.0 1.0 -0.0 0.4 -0.0 0.6 -0.4 0.2 -0.3 0.5 SOYMEAL 0.3 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 0.0 0.1 0.0 -0.0 0.1 0.4 0.2 0.3 0.0 0.0 -0.0 0.1 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.1 0.0 1.1 -0.0 0.3 -0.0 0.3 -0.6 -0.6 -0.5 -0.6 SOYOIL -0.4 0.2 0.6 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.3 -0.1 -0.0 -0.0 0.1 0.3 0.2 0.3 0.2 0.1 0.1 -0.1 0.1 -0.0 -2.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.6 -0.1 0.0 0.1 0.6 0.0 0.2 0.7 0.7 SP400 -0.4 -0.5 0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.1 -0.2 0.3 -0.2 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.1 -0.1 -1.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.2 0.0 0.1 0.6 -0.0 -0.4 -0.5 -0.6 SP500_micro -0.1 -0.6 0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.3 0.0 0.4 -0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.0 0.3 -0.0 -2.3 0.0 -0.0 0.2 0.0 0.2 0.0 -0.4 0.2 0.3 0.2 0.6 -0.2 -0.5 -0.6 -0.7 SUGAR11 0.6 0.1 -0.2 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.2 0.4 0.2 0.6 0.2 0.1 -0.1 0.2 -0.0 0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.4 0.1 0.3 0.5 0.6 0.6 -0.0 -0.7 -0.7 0.3 -0.1 US10 0.1 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.1 -0.1 -0.0 -0.3 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.6 0.1 0.1 -0.1 -0.3 -0.7 -0.7 0.5 0.0 US10U 0.1 -0.5 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.4 -0.1 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.2 0.1 -0.2 -0.3 -0.7 -0.7 0.7 0.6 US2 0.2 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.0 -0.5 -0.1 1.2 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.2 0.1 0.0 -0.4 -0.7 -0.7 -0.7 -0.7 US20 0.1 -0.6 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.1 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.1 0.0 -0.2 -0.2 -0.7 -0.7 0.7 0.7 US30 0.2 -0.5 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.1 -0.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.2 0.2 0.1 -0.2 -0.2 -0.7 -0.7 0.7 0.7 US5 0.1 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.3 -0.2 -0.3 -0.3 -0.1 -0.1 -0.0 -0.4 -0.1 0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.8 0.2 0.0 -0.0 -0.3 -0.7 -0.7 0.0 -0.6 VIX -0.3 0.8 -0.9 -0.1 -0.1 -0.4 -0.1 -0.6 -0.1 -0.2 -0.9 -0.3 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.3 -0.9 -0.3 NaN -0.1 -0.1 -0.5 -0.1 -0.8 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.5 -0.6 0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.3 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.2 -0.1 -0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.1 0.0 -0.3 -0.2 -0.0 -0.7 -0.5 -0.5 -0.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 0.4 -18.8 -4.5 -1.4 -0.2 1.8 -2.5 2.3 -3.3 -2.8 -12.8 -6.5 -7.7 -13.5 -13.3 -3.2 -2.8 -3.0 -2.9 -13.4 -11.0 -4.8 -8.9 -10.8 2.9 -4.4 0.6 -3.3 -1.7 -2.6 -3.7 -1.2 0.7 -2.1 -10.3 -15.5 -6.9 -20.0 -3.7 4.7 BITCOIN -11.7 -19.0 -1.1 -3.1 -2.4 -0.6 -3.9 1.3 -3.7 -7.5 5.1 -17.2 2.8 -19.5 -16.0 -5.5 -4.3 -6.3 -5.5 -14.2 -3.5 -10.3 0.6 -16.8 -20.0 -5.9 -0.7 -2.3 -3.8 -0.0 -6.5 -1.5 -0.0 -20.0 -15.6 -5.6 -12.4 20.0 -10.4 20.0 BOBL 3.9 1.8 -1.6 -2.4 -2.1 -2.4 -2.0 -2.9 -2.0 -6.9 -3.9 -4.3 -7.2 -2.7 -4.6 -15.3 -9.7 -20.0 -16.9 -2.8 -4.6 -4.2 -9.1 -2.6 9.8 -1.2 -3.3 -1.7 -2.3 -3.5 -1.3 -18.5 0.2 2.1 5.8 2.0 -20.0 -20.0 -20.0 -16.9 BTP -0.7 -8.0 4.7 -3.7 -3.2 -3.8 -3.1 -4.4 -3.0 -10.8 4.4 -8.8 0.7 -7.7 -2.8 5.2 7.7 5.4 6.2 -3.2 -0.2 -8.1 -2.3 -5.9 -6.7 -1.9 -5.8 0.4 -5.2 -0.1 -3.7 16.0 -5.0 -0.4 4.9 14.2 -13.6 -20.0 2.4 9.3 BUND 4.4 -2.9 2.5 -2.5 -2.1 -2.6 -2.1 -3.0 -2.1 -7.0 -5.4 -3.4 -7.9 -4.1 -5.3 3.2 8.2 5.2 6.3 -3.6 -4.8 -4.1 -8.8 -3.3 6.1 -1.9 -2.8 -2.0 -2.4 -3.5 -1.8 16.3 -0.2 2.5 3.1 3.3 -20.0 -20.0 -16.8 -1.3 BUXL 3.3 -7.0 4.3 -2.8 -2.5 -2.9 -2.4 -3.5 -2.4 -8.1 -8.6 -4.9 -9.9 -6.6 -6.8 0.1 1.0 0.6 1.1 -6.4 -7.4 -5.7 -12.0 -5.8 0.9 -2.8 -2.4 -2.6 -2.7 -3.5 -2.7 5.8 -1.9 0.3 -1.8 3.9 -20.0 -20.0 -5.4 16.0 CAC -2.4 -8.6 -9.6 -2.9 -2.0 0.6 -2.4 3.0 -3.4 -6.1 10.8 -6.8 20.0 -12.3 -6.5 -7.2 -1.3 -6.0 -3.8 -4.9 4.6 -5.0 17.6 -7.1 -5.3 -2.4 0.7 2.3 -2.7 7.7 -3.8 5.9 -9.0 2.5 8.2 -4.4 20.0 0.2 20.0 5.0 CAD -6.8 -20.0 2.1 -2.2 -0.3 2.8 -4.1 3.8 -5.4 5.8 -3.4 -4.5 -11.7 -20.0 -18.0 -2.3 -2.0 -2.3 -2.2 -19.0 -9.5 -5.7 -7.2 -18.7 1.2 -6.5 3.9 -3.0 -2.0 -1.7 -6.5 0.0 10.4 -10.6 -16.4 -15.2 -20.0 -20.0 -20.0 -18.0 CANOLA -11.2 0.4 20.0 -0.1 -5.6 -0.8 -5.3 -2.5 -2.3 -12.4 7.9 -7.6 -5.0 -4.3 8.9 -8.2 10.5 -1.0 5.9 7.9 9.4 -20.0 1.3 -5.9 -20.0 2.3 -7.6 1.7 -4.5 -1.1 -0.8 7.1 -15.0 5.5 0.5 20.0 -13.1 5.1 7.1 19.5 CHF -17.9 -13.4 3.8 -1.9 -0.2 2.5 -3.6 3.3 -4.6 -15.1 5.2 -18.0 13.2 -18.7 -7.4 -15.4 -13.5 -14.9 -14.3 -8.7 4.4 -19.6 10.0 -19.4 -10.0 -2.8 -4.3 2.1 -7.4 3.6 -7.1 -20.0 -19.4 -17.8 -4.9 -4.6 -20.0 -20.0 -20.0 -20.0 COCOA 10.0 1.1 13.5 -0.1 -9.5 -1.4 -9.0 -4.3 -3.9 18.7 20.0 20.0 20.0 20.0 20.0 -7.4 -2.5 -5.4 -3.5 20.0 20.0 20.0 20.0 20.0 -14.2 8.8 2.1 11.4 5.0 11.4 6.8 -12.7 20.0 20.0 20.0 20.0 -5.1 -12.0 15.2 -0.9 COFFEE 4.5 -5.1 -19.0 -0.1 -8.8 -1.3 -8.3 -4.0 -3.6 0.9 -15.0 -3.9 -13.7 -14.6 -19.8 -4.0 2.1 -1.3 0.7 -18.7 -20.0 -5.0 -17.7 -11.4 -20.0 -6.6 -0.1 -5.0 -4.1 -3.3 -6.2 -5.1 13.8 -10.9 -15.5 -20.0 -20.0 -20.0 -16.0 -11.0 COPPER 4.9 -3.1 -1.5 -2.4 -1.9 -0.5 -3.1 1.0 -2.9 0.5 -8.0 4.1 -3.2 -6.3 -2.9 -5.7 -2.5 -4.9 -3.7 -4.1 -4.7 -2.8 -4.6 -3.1 -5.5 -0.9 1.5 -1.8 -0.4 -2.2 -0.6 1.5 8.0 5.2 11.4 6.0 7.4 -20.0 17.6 -18.8 CORN -1.3 -17.5 -5.5 -0.1 -3.8 -0.6 -3.6 -1.7 -1.6 -4.7 -7.7 -3.4 -7.5 -7.8 -8.5 -11.7 3.5 -8.0 -2.8 -7.9 -8.4 -3.1 -6.7 -5.4 -8.3 -2.0 -2.2 -2.3 -1.9 -2.8 -2.2 -6.6 3.3 -1.5 -6.2 4.8 -3.8 4.9 1.4 11.1 COTTON2 2.0 6.3 12.6 -0.1 -6.6 -1.0 -6.2 -3.0 -2.7 1.6 9.5 2.4 -9.1 5.0 10.1 1.9 6.3 4.8 4.9 8.1 6.4 4.1 0.2 5.9 -20.0 5.0 5.6 3.8 4.8 2.1 5.0 1.1 20.0 10.5 16.6 12.2 -17.1 -15.9 11.8 10.3 CRUDE_W 11.3 20.0 18.7 7.6 6.3 5.4 7.0 2.7 7.4 20.0 19.2 20.0 -3.4 20.0 20.0 13.2 9.0 10.1 8.7 20.0 20.0 20.0 13.4 20.0 -7.3 8.8 8.6 6.6 10.3 4.5 10.1 -20.0 13.1 -0.9 -18.3 -4.0 19.0 13.3 20.0 9.0 DAX -1.3 -14.3 -9.1 -2.7 -1.9 0.6 -2.2 2.8 -3.2 -16.3 5.5 -6.1 17.3 -14.9 -13.0 -9.4 -7.2 -8.9 -8.4 -8.6 1.0 -6.7 12.4 -8.9 19.2 -4.4 -3.7 -0.4 -3.4 4.2 -4.3 -3.4 -6.0 4.2 2.3 -10.0 20.0 0.4 20.0 7.4 DOW -11.1 -10.1 8.9 -2.3 -1.6 0.5 -1.9 2.4 -2.7 -5.6 9.6 -0.3 12.5 -6.6 4.9 -11.4 -8.0 -11.1 -9.9 0.1 6.8 -3.4 7.7 -5.3 -10.5 1.1 1.5 4.3 0.3 4.8 -1.0 -5.4 9.2 -4.1 14.9 19.4 -12.4 -6.9 -20.0 -7.2 DX 15.4 20.0 3.9 -1.8 -0.2 2.4 -3.4 3.1 -4.4 12.7 7.5 16.0 -8.8 19.2 17.2 7.6 5.3 6.6 5.9 19.7 8.2 19.1 2.6 20.0 -20.0 5.5 2.2 2.4 5.7 1.5 7.1 13.1 20.0 20.0 20.0 5.6 -3.3 6.9 0.8 20.0 EUR -13.4 -17.0 -1.4 -1.6 -0.2 2.1 -3.0 2.8 -4.0 -11.1 -4.6 -13.7 8.6 -16.7 -13.1 -6.5 -6.8 -6.6 -6.6 -12.3 -3.6 -13.7 0.4 -16.8 13.3 -4.5 -2.1 -1.1 -5.3 0.3 -6.3 -7.8 -11.7 -15.6 -12.5 -12.6 -5.3 -19.8 1.0 -0.1 EURIBOR-ICE 7.1 4.6 0.5 -2.2 -1.9 -2.3 -1.9 -2.7 -1.9 -6.6 -3.5 -0.4 -6.6 1.2 -1.4 -8.5 -7.9 -9.0 -9.0 -0.9 -3.4 -2.4 -8.5 -0.3 17.4 -0.3 -2.7 -1.2 -1.1 -3.2 -0.1 -10.9 2.8 5.0 8.4 1.5 -20.0 -20.0 20.0 9.9 EUROSTX -4.4 -12.8 -9.6 -2.5 -1.7 0.5 -2.1 2.6 -3.0 -9.7 7.4 -11.5 16.8 -15.3 -12.9 -4.9 -1.1 -4.7 -3.4 -7.0 2.4 -8.2 13.2 -9.6 5.4 -4.2 -3.1 0.6 -4.9 5.9 -5.5 6.3 -9.4 -1.2 1.9 -5.3 20.0 3.1 20.0 10.9 FEEDCOW 13.5 6.3 20.0 -0.2 -10.6 -1.6 -9.9 -4.8 -4.3 20.0 20.0 20.0 20.0 20.0 20.0 3.6 -20.0 -12.3 -20.0 20.0 20.0 20.0 20.0 20.0 2.0 10.3 10.4 12.2 11.7 13.0 10.9 -20.0 20.0 20.0 20.0 20.0 6.7 -10.2 20.0 -1.6 GASOIL -5.3 20.0 20.0 5.8 4.7 4.0 5.3 2.1 5.6 17.0 14.3 16.5 1.7 18.3 18.8 20.0 20.0 20.0 20.0 20.0 20.0 20.0 14.7 20.0 11.6 6.5 5.0 5.1 4.5 2.6 5.2 0.0 -15.6 -4.4 11.7 15.8 -16.1 2.6 -18.6 -4.6 GASOLINE -1.0 16.1 20.0 7.4 6.1 5.2 6.8 2.7 7.2 20.0 20.0 20.0 3.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 8.7 7.8 8.8 7.7 8.0 7.4 20.0 -5.3 -19.9 -20.0 9.3 18.5 13.8 20.0 4.7 GAS_US_mini -10.8 7.4 20.0 6.4 5.3 4.5 5.9 2.3 6.2 -10.3 -17.5 -16.5 -20.0 -18.5 -7.5 -20.0 -20.0 -20.0 -20.0 -9.1 -18.8 -10.9 -20.0 -12.3 20.0 -0.8 2.6 -1.4 -1.5 -3.9 -2.7 -20.0 -20.0 -20.0 -20.0 -20.0 4.8 7.1 -5.4 -0.2 GBP -14.5 -15.2 4.6 -1.9 -0.2 2.4 -3.5 3.3 -4.6 -14.9 7.0 -17.3 12.3 -19.2 -7.6 0.0 -0.7 0.1 -0.3 -8.2 3.9 -17.1 7.1 -16.6 -1.1 -3.6 -5.2 1.5 -7.9 2.0 -7.6 2.7 -9.1 -11.3 -8.6 -1.9 0.5 14.3 5.3 20.0 GOLD_micro 8.5 -13.7 -15.2 -3.6 -2.8 -0.8 -4.6 1.5 -4.3 -20.0 -10.5 -1.6 6.0 -12.5 -17.1 -18.7 -13.6 -17.5 -15.7 -16.7 -12.2 -9.4 0.4 -10.6 -11.5 -2.8 -3.0 -1.8 0.9 2.0 0.2 -18.3 13.5 10.4 5.7 -14.4 -20.0 -20.0 -14.3 -20.0 HEATOIL -2.8 20.0 20.0 6.8 5.6 4.8 6.2 2.4 6.6 18.7 15.6 19.6 0.3 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 17.8 20.0 -20.0 7.6 3.2 6.6 3.3 4.4 5.2 2.7 -20.0 -14.4 13.7 20.0 4.9 -0.9 -0.0 -3.9 JGB-SGX-mini 3.2 -17.0 -12.2 -2.7 -2.4 -2.8 -2.3 -3.3 -2.3 -6.9 3.0 -2.5 5.1 -7.0 -7.4 20.0 20.0 17.3 17.2 -5.2 -1.5 -4.5 2.5 -4.1 -0.0 -2.2 -4.3 -1.0 -2.1 -0.1 -1.8 20.0 1.4 2.0 -1.0 3.4 -20.0 -8.8 6.6 8.1 JPY -2.2 -15.0 -15.2 -1.1 -0.1 1.5 -2.1 2.0 -2.8 -4.8 -12.4 -8.6 -11.4 -12.0 -12.5 -16.4 -14.1 -16.3 -15.5 -16.7 -18.0 -7.3 -18.2 -12.6 20.0 -4.5 -0.6 -4.5 -2.2 -4.4 -3.6 -20.0 -1.9 -6.3 -11.7 -20.0 -5.9 -20.0 -5.1 -20.0 LEANHOG 2.7 3.0 8.2 -0.1 -5.9 -0.9 -5.5 -2.7 -2.4 10.7 -2.3 11.2 -6.2 -1.2 8.5 20.0 20.0 20.0 20.0 0.6 -4.8 7.7 -11.5 3.4 14.4 -1.8 6.0 -6.3 3.7 -10.1 1.1 20.0 20.0 8.2 -2.8 -6.9 -9.6 0.1 18.8 20.0 LIVECOW 0.4 -8.7 19.5 -0.2 -10.3 -1.5 -9.7 -4.7 -4.2 20.0 20.0 20.0 20.0 15.1 20.0 -20.0 2.3 -9.6 2.1 20.0 20.0 20.0 20.0 20.0 3.6 8.9 7.7 13.1 8.8 14.2 7.3 -1.1 20.0 20.0 7.2 20.0 -20.0 -20.0 -20.0 -19.8 LUMBER-new -5.9 -13.2 0.1 -0.1 -9.7 -1.1 -9.1 -3.1 -4.0 -14.5 -20.0 -20.0 -20.0 -20.0 -20.0 -17.8 -13.6 -15.5 -14.3 -16.3 -14.1 -14.0 -12.0 -17.0 NaN -6.1 -3.3 -4.4 -6.5 -3.0 -7.3 -20.0 8.9 -4.9 -20.0 -9.1 -19.9 -20.0 -10.1 -20.0 MILK 15.2 20.0 12.4 -0.1 -4.8 -0.7 -4.5 -2.2 -2.0 -8.5 -3.6 6.4 -9.7 9.7 5.6 9.1 -20.0 -18.5 -20.0 5.4 -5.2 3.4 -13.2 9.2 -1.3 1.0 -2.6 -3.1 0.9 -5.6 2.7 -20.0 10.9 11.7 20.0 -14.2 -20.0 -20.0 -14.1 -20.0 MXP -12.4 -20.0 -9.7 -1.5 -0.2 2.0 -2.9 2.6 -3.7 -3.4 14.3 -7.4 16.4 -5.2 8.3 15.2 17.5 16.7 17.1 2.6 14.0 -8.5 20.0 -7.2 -20.0 1.1 1.7 6.3 -4.1 9.6 -3.5 20.0 -20.0 0.1 8.0 15.7 20.0 7.1 20.0 20.0 NASDAQ_micro 0.7 -20.0 9.2 -1.5 -1.1 0.3 -1.3 1.6 -1.8 -5.0 9.8 6.9 8.4 0.1 6.1 -9.5 -8.1 -10.0 -9.5 5.2 12.3 1.9 13.2 2.4 -20.0 2.1 -0.3 5.8 0.6 7.0 0.5 -5.1 5.6 9.6 2.0 20.0 -4.8 -15.7 -14.0 -18.0 NIKKEI 6.4 -14.5 9.3 -2.6 -1.8 0.5 -2.1 2.6 -3.0 0.5 15.7 10.4 16.4 5.2 9.5 13.4 12.8 14.5 13.7 9.7 19.8 8.1 20.0 8.3 -7.7 4.6 0.7 9.7 3.2 11.5 3.4 20.0 20.0 20.0 16.3 20.0 5.5 3.6 -2.2 10.3 NZD -2.7 -19.2 -7.3 -1.4 -0.2 1.8 -2.5 2.3 -3.3 -4.4 -12.2 -8.1 -1.4 -13.8 -13.7 -0.2 0.4 0.0 0.2 -14.0 -10.7 -6.1 -7.8 -12.1 0.3 -4.5 -0.1 -3.1 -2.1 -2.1 -4.0 4.2 0.0 -3.0 -11.6 -19.5 -2.7 -14.2 1.6 7.5 OAT 4.9 -3.5 3.4 -2.7 -2.3 -2.8 -2.3 -3.3 -2.2 -7.9 -5.8 -3.6 -8.2 -4.1 -4.9 5.4 8.4 6.0 7.1 -3.5 -4.4 -4.6 -8.2 -3.4 8.3 -1.9 -3.6 -1.9 -2.8 -3.6 -1.9 17.3 -0.9 3.0 3.6 4.8 -20.0 -20.0 0.6 5.1 OATIES 9.2 14.4 20.0 -0.1 -7.5 -1.1 -7.1 -3.4 -3.1 -14.6 15.6 5.7 -4.4 10.5 15.9 -20.0 -5.3 -18.2 -13.3 20.0 20.0 7.7 16.8 20.0 -20.0 6.4 -1.6 5.4 1.7 2.9 5.0 -20.0 -8.4 20.0 20.0 20.0 4.2 17.0 20.0 20.0 OJ 5.6 -2.3 7.2 -0.1 -7.3 -1.1 -6.9 -3.3 -3.0 14.9 17.7 15.0 17.9 16.1 16.9 20.0 20.0 20.0 20.0 20.0 20.0 18.9 20.0 20.0 -20.0 6.7 2.6 7.4 3.9 8.4 5.6 20.0 20.0 20.0 20.0 20.0 8.4 5.7 20.0 17.6 PALLAD 0.8 8.0 -12.3 -1.8 -1.4 -0.4 -2.3 0.8 -2.2 5.7 -12.8 -6.3 -13.1 -8.5 -12.0 -2.4 -2.6 -2.7 -2.7 -9.6 -16.9 -2.0 -20.0 -5.5 -1.6 -3.5 2.9 -4.8 -0.9 -5.8 -2.5 2.2 5.4 -7.7 3.4 -14.1 -20.0 -3.9 7.1 0.4 PLAT 10.0 -3.2 -16.8 -2.0 -1.5 -0.4 -2.6 0.8 -2.4 -8.8 -9.9 -6.5 -2.6 -4.6 -9.2 -3.6 -2.3 -3.3 -2.9 -7.0 -8.0 -11.8 -5.0 -7.0 14.0 -0.3 -0.7 -1.4 -0.7 -0.9 0.7 2.4 -6.4 13.1 8.2 -9.7 1.0 -16.9 18.3 -13.1 REDWHEAT -8.4 -20.0 -4.2 -0.1 -5.2 -0.8 -4.9 -2.4 -2.2 -7.4 -8.6 -9.5 -11.5 -12.6 -11.5 -3.3 1.7 -2.3 0.1 -13.3 -9.7 -7.1 -6.9 -12.5 -12.7 -3.6 -1.4 -2.4 -2.5 -1.3 -3.8 -5.8 9.8 -8.1 -13.7 -7.7 -20.0 -19.6 -13.4 -8.5 RICE 1.4 9.2 11.8 -0.1 -7.6 -1.1 -7.1 -3.5 -3.1 -16.3 7.2 -7.8 3.1 2.9 12.9 -14.3 17.0 2.5 17.2 10.0 7.9 -15.4 3.6 2.3 -20.0 2.7 -13.3 2.7 -8.5 1.2 -1.5 20.0 -20.0 -0.3 17.7 15.9 -5.8 -19.5 9.1 -10.7 ROBUSTA -1.7 -6.1 -0.6 -0.1 -7.0 -1.0 -6.6 -3.2 -2.9 -7.0 11.7 -0.5 12.9 -4.1 -2.9 20.0 20.0 20.0 20.0 2.0 13.5 -3.6 20.0 -2.5 -16.2 0.5 -1.9 6.9 -2.6 10.9 -2.1 20.0 14.3 -6.6 -0.9 10.0 -2.0 -15.1 15.9 -5.4 RUSSELL -12.0 -14.4 9.5 -2.4 -1.6 0.5 -2.0 2.5 -2.8 -15.3 0.9 -14.9 -1.2 -15.4 -0.8 -8.4 -5.8 -7.7 -6.9 -6.6 1.8 -14.8 0.5 -14.5 -2.9 -0.4 -0.9 2.1 -0.6 2.3 -1.7 -0.8 10.3 -0.0 2.3 20.0 -8.6 -10.7 -20.0 -14.6 SHATZ 1.4 7.5 -7.4 -2.3 -2.0 -2.4 -1.9 -2.8 -1.9 -6.7 -6.0 -6.1 -7.5 -4.0 -4.9 -20.0 -8.3 -20.0 -15.7 -3.7 -6.9 -5.8 -12.4 -3.5 10.9 -1.6 -4.6 -2.7 -3.4 -5.1 -1.9 -16.0 -0.3 -0.6 7.2 -1.5 -20.0 -20.0 -20.0 -20.0 SILVER-mini 6.5 -7.8 -6.8 -2.4 -1.8 -0.5 -3.0 1.0 -2.8 -12.6 0.8 -7.6 5.0 -6.8 -5.7 -7.5 -5.9 -7.2 -6.7 -4.2 -1.2 -14.1 1.6 -8.0 7.6 1.2 -2.0 1.5 -1.4 1.4 0.6 -4.0 -7.7 16.2 10.4 4.5 -20.0 -20.0 -3.5 -20.0 SMI 2.0 -9.3 -10.9 -2.6 -1.8 0.6 -2.2 2.7 -3.1 -8.2 1.8 -0.6 5.6 -9.9 -12.7 -3.4 0.7 -3.1 -1.8 -9.2 -5.1 -5.4 0.4 -7.3 5.9 -2.9 -1.9 -1.9 -3.2 -1.9 -2.9 9.3 -5.9 2.7 15.1 -11.7 -9.0 -12.6 -20.0 -16.0 SOFR 3.3 -12.9 -14.8 -2.9 -2.5 -3.0 -2.4 -3.5 -2.4 -9.1 -6.8 -1.7 -4.4 -5.9 -7.5 -1.9 -0.9 -1.9 -1.5 -8.7 -8.2 -4.1 -6.8 -5.9 -1.6 -2.7 -0.8 -2.7 -0.5 -2.2 -1.2 1.7 6.0 2.2 -0.5 -6.1 -20.0 -20.0 -9.7 -4.1 SOYBEAN 5.3 -0.7 20.0 -0.1 -4.8 -0.7 -4.5 -2.2 -2.0 -9.0 6.3 -0.1 0.2 0.3 7.1 -2.7 18.1 7.0 12.7 5.3 4.4 -2.4 1.5 2.2 -20.0 2.3 -2.9 1.9 -1.0 0.8 0.9 19.3 -1.2 11.3 -0.7 20.0 -12.7 5.3 -9.1 15.9 SOYMEAL 8.5 -0.9 -3.2 -0.1 -5.0 -0.7 -4.7 -2.3 -2.1 -6.1 -3.6 0.3 2.6 0.9 -0.0 4.1 18.4 10.7 16.1 1.0 0.1 -1.2 2.1 0.7 -20.0 1.9 -1.3 2.2 -0.4 3.3 0.9 20.0 -0.2 10.2 -1.0 10.3 -17.4 -19.2 -14.1 -17.9 SOYOIL -13.3 5.2 20.0 -0.1 -5.6 -0.8 -5.3 -2.6 -2.3 -12.2 9.6 -10.6 -0.2 -3.6 10.8 15.2 11.4 13.7 11.5 9.4 11.4 -11.6 5.4 -2.1 -20.0 2.9 -3.7 3.4 -3.3 1.6 -0.7 11.1 -3.1 1.3 3.5 20.0 1.1 6.5 20.0 20.0 SP400 -12.5 -16.4 11.3 -2.3 -1.6 0.5 -1.9 2.3 -2.7 -15.0 3.7 -15.0 7.0 -14.2 2.9 -6.4 -5.0 -6.2 -5.7 -5.1 4.2 -15.5 5.5 -13.8 -12.7 0.1 -0.7 2.3 -0.2 2.7 -1.0 0.8 9.1 1.1 1.6 20.0 -0.8 -12.1 -16.5 -17.3 SP500_micro -3.3 -20.0 12.3 -2.1 -1.5 0.4 -1.7 2.2 -2.5 -9.5 12.0 4.3 10.4 -3.6 6.8 -11.7 -9.3 -12.2 -11.1 4.2 12.4 -0.9 12.9 -0.4 -17.5 2.0 -0.1 5.8 0.6 6.4 0.2 -7.4 7.1 7.8 5.8 20.0 -5.5 -13.7 -19.3 -20.0 SUGAR11 20.0 3.6 -7.4 -0.1 -8.5 -1.3 -8.0 -3.9 -3.5 16.8 16.0 19.0 16.5 18.5 13.0 -3.4 10.6 -1.4 3.8 20.0 20.0 20.0 20.0 20.0 -20.0 5.8 5.0 7.0 7.4 11.0 8.0 5.6 20.0 20.0 20.0 -0.5 -20.0 -20.0 8.5 -2.0 US10 3.0 -12.9 -17.6 -2.5 -2.2 -2.6 -2.1 -3.0 -2.1 -7.1 -7.7 -4.1 -8.0 -6.9 -8.0 -9.7 -7.2 -9.4 -8.9 -9.9 -10.8 -4.5 -11.2 -6.7 1.0 -2.8 -0.3 -3.1 -0.4 -3.0 -1.3 -10.3 5.7 1.5 -2.2 -7.7 -20.0 -20.0 13.8 0.1 US10U 3.2 -14.3 -14.4 -3.3 -2.9 -3.4 -2.8 -4.0 -2.7 -8.9 -9.9 -6.3 -10.3 -9.3 -10.4 -0.5 -1.3 -2.1 -2.2 -13.0 -13.3 -6.3 -13.6 -9.4 -3.4 -3.7 -0.4 -3.9 -0.6 -3.4 -1.8 0.6 7.2 1.7 -5.0 -9.2 -20.0 -20.0 20.0 18.7 US2 7.2 -4.6 -20.0 -2.5 -2.2 -2.6 -2.1 -3.0 -2.1 -6.6 -8.8 -5.2 -8.7 -6.9 -8.7 -20.0 -20.0 -20.0 -20.0 -11.5 -16.0 -4.8 -18.9 -6.5 8.9 -2.8 -0.6 -4.1 -0.1 -5.0 -0.9 -20.0 9.2 1.9 0.3 -12.9 -20.0 -20.0 -20.0 -20.0 US20 4.0 -17.6 -14.0 -2.5 -2.1 -2.5 -2.1 -3.0 -2.0 -6.0 -7.1 -2.5 -6.8 -6.5 -7.3 -4.8 -1.8 -3.1 -2.5 -10.6 -10.4 -4.3 -10.1 -7.5 -3.2 -2.7 -0.1 -2.8 -0.3 -2.4 -1.4 0.0 5.6 1.0 -6.3 -6.4 -20.0 -20.0 20.0 20.0 US30 6.7 -15.0 -9.6 -2.8 -2.5 -2.9 -2.4 -3.4 -2.4 -6.9 -8.5 -2.1 -8.3 -7.0 -7.9 -7.1 -3.5 -6.7 -5.1 -10.7 -11.1 -4.2 -12.1 -7.3 -2.9 -2.9 0.0 -3.1 -0.0 -2.8 -1.3 -3.4 8.1 3.6 -6.2 -5.0 -20.0 -20.0 20.0 20.0 US5 2.1 -10.9 -19.5 -2.6 -2.3 -2.7 -2.2 -3.2 -2.2 -7.7 -8.4 -4.7 -8.6 -7.3 -8.7 -15.7 -10.0 -14.2 -12.7 -10.2 -11.8 -4.8 -13.0 -6.8 3.8 -2.9 -0.6 -3.5 -0.4 -3.7 -1.3 -15.8 7.1 1.2 -0.6 -8.7 -20.0 -20.0 0.2 -16.7 VIX -6.7 15.2 -17.5 -6.9 -4.9 -9.6 -6.3 -11.1 -6.1 -16.9 -20.0 -20.0 -20.0 -19.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -19.8 -20.0 -19.9 NaN -8.0 -5.5 -11.2 -7.9 -13.5 -7.5 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -14.7 -20.0 11.1 -0.0 -3.1 -0.5 -2.9 -1.4 -1.3 -5.8 -6.5 -7.1 -7.6 -7.8 -7.2 -14.0 -9.8 -12.1 -11.1 -8.6 -7.2 -7.0 -7.3 -9.3 -2.9 -2.1 -1.8 -1.6 -2.5 -1.6 -2.8 -20.0 1.9 -9.0 -7.3 -0.8 -20.0 -13.6 -16.5 -8.7 End of report for caleb_strategy_v3