******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230914_204332 produced at 2023-09-14 21:39:57.557490 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.38 0.0 0.00 0.00 0.00 0.00 -16.79 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 -4.61 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.09 -0.28 0.0 0.09 -0.09 -0.09 -0.09 -51.08 17.0 -16 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.25 0.0 0.00 0.00 0.00 0.00 -6.41 24.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.27 -0.21 0.0 0.37 -0.37 -0.27 -0.25 -32.70 56.0 -42 -39 caleb_strategy_v3 CHF False False 0.05 -0.43 -0.20 0.0 0.62 -0.62 -0.43 -0.53 -4.14 13.0 -9 -11 caleb_strategy_v3 US5 False False 0.04 -0.22 -0.12 0.0 0.90 -0.90 -0.22 -0.29 -3.34 25.0 -6 -8 caleb_strategy_v3 CAD False False 0.03 0.00 -0.12 0.0 0.73 -0.73 0.00 0.00 -4.88 29.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.12 -0.10 0.0 0.49 -0.49 -0.12 -0.14 -3.35 17.0 -4 -5 caleb_strategy_v3 EUR False False 0.05 -0.32 -0.08 0.0 0.63 -0.63 -0.32 -0.32 -1.69 14.0 -7 -7 caleb_strategy_v3 BOBL False False 0.04 -0.43 -0.07 0.0 0.81 -0.81 -0.43 -0.43 -1.57 19.0 -10 -10 caleb_strategy_v3 BITCOIN False False 0.00 -0.04 -0.06 0.0 0.05 -0.05 -0.04 -0.04 -69.64 59.0 -43 -43 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.06 -0.06 0.0 0.07 -0.07 -0.06 -0.06 -23.51 26.0 -22 -22 caleb_strategy_v3 AUD False False 0.02 0.00 -0.06 0.0 0.42 -0.42 0.00 0.00 -2.57 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 -1.69 17.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.05 0.0 0.42 -0.42 0.00 0.00 -2.40 21.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.05 0.0 0.18 -0.18 0.00 0.00 -0.60 2.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.10 -0.04 0.0 0.20 -0.20 -0.10 -0.07 -1.23 6.0 -3 -2 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.04 0.0 0.22 -0.22 0.00 0.00 -13.14 68.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.12 -0.04 0.0 0.51 -0.51 -0.12 -0.12 -1.01 13.0 -3 -3 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.04 0.0 0.01 -0.01 0.00 0.00 -8.49 3.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.03 0.0 0.37 -0.37 0.00 0.00 -3.96 48.0 0 0 caleb_strategy_v3 GBP False False 0.03 -0.03 -0.03 0.0 0.58 -0.58 -0.03 -0.03 -1.02 22.0 -1 -1 caleb_strategy_v3 US20 False False 0.04 -0.08 -0.03 0.0 0.37 -0.37 -0.08 -0.08 -0.63 9.0 -2 -2 caleb_strategy_v3 US30 False False 0.04 0.00 -0.02 0.0 0.26 -0.26 0.00 0.00 -0.43 6.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -1.22 0.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.04 -0.02 0.0 0.10 -0.10 -0.04 -0.04 -1.68 8.0 -3 -3 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -0.55 2.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.02 0.0 0.25 -0.25 0.00 0.00 -2.07 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 -1.51 5.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.10 -0.10 -0.03 -0.03 -1.79 9.0 -3 -3 caleb_strategy_v3 COFFEE False False 0.02 -0.02 -0.02 0.0 0.12 -0.12 -0.02 -0.02 -1.15 6.0 -1 -1 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 CANOLA False False 0.00 0.00 -0.02 0.0 0.20 -0.20 0.00 0.00 -4.49 51.0 0 0 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.02 0.0 0.40 -0.40 -0.01 0.00 -3.33 66.0 -1 0 caleb_strategy_v3 CORN False False 0.01 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.01 -2.76 12.0 -2 -1 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.48 -0.48 0.00 0.00 -0.17 10.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.14 -0.01 0.0 0.19 -0.19 -0.14 -0.19 -0.19 4.0 -3 -4 caleb_strategy_v3 SMI False False 0.04 -0.13 -0.01 0.0 0.38 -0.38 -0.13 -0.09 -0.26 9.0 -3 -2 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -0.40 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.04 0.00 0.0 0.16 -0.16 0.04 0.04 0.12 7.0 2 2 caleb_strategy_v3 COTTON2 False False 0.01 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.15 11.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.03 -0.00 0.0 0.16 -0.16 -0.03 -0.03 -0.20 10.0 -2 -2 caleb_strategy_v3 RICE False False 0.01 0.00 -0.00 0.0 0.04 -0.04 0.00 0.00 -0.40 4.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.20 -0.20 0.03 0.03 1.22 23.0 4 4 caleb_strategy_v3 SOYOIL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.49 10.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.80 2.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.28 0.01 0.0 0.46 -0.46 0.28 0.32 0.17 10.0 6 7 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 0.02 0.0 0.19 -0.19 0.01 0.00 1.70 18.0 1 0 caleb_strategy_v3 COCOA False False 0.01 0.05 0.03 0.0 0.33 -0.33 0.05 0.05 2.53 26.0 4 4 caleb_strategy_v3 EUROSTX False False 0.02 0.13 0.03 0.0 0.32 -0.32 0.13 0.10 2.00 20.0 8 6 caleb_strategy_v3 CAC False False 0.03 0.11 0.03 0.0 0.32 -0.32 0.11 0.16 1.19 12.0 4 6 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.05 -0.05 0.00 0.00 2.27 3.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.05 0.0 0.34 -0.34 0.00 0.00 7.83 58.0 0 0 caleb_strategy_v3 HEATOIL False False 0.05 0.00 0.06 0.0 0.14 -0.14 0.00 0.00 1.22 3.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.08 0.07 0.0 0.13 -0.13 0.08 0.08 7.17 13.0 8 8 caleb_strategy_v3 GASOLINE False False 0.04 0.15 0.07 0.0 0.15 -0.15 0.15 0.15 2.01 4.0 4 4 caleb_strategy_v3 GASOIL False False 0.03 0.10 0.08 0.0 0.13 -0.13 0.10 0.10 2.62 4.0 3 3 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.08 0.0 0.44 -0.44 0.03 0.05 2.90 17.0 1 2 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.27 0.10 0.0 0.89 -0.89 0.27 0.53 1.09 10.0 3 6 caleb_strategy_v3 DX False False 0.04 0.00 0.11 0.0 35825572.22 -35825572.22 0.00 0.00 3.10 999999999.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.51 0.14 0.0 0.54 -0.54 0.51 0.51 4.11 16.0 15 15 caleb_strategy_v3 FEEDCOW False False 0.05 0.23 0.14 0.0 0.36 -0.36 0.23 0.32 3.12 8.0 5 7 caleb_strategy_v3 CRUDE_W False False 0.03 0.15 0.21 0.0 0.15 -0.15 0.15 0.15 6.84 5.0 5 5 caleb_strategy_v3 MXP False False 0.01 0.50 0.25 0.0 0.60 -0.60 0.50 0.45 25.51 60.0 50 45 caleb_strategy_v3 NIKKEI False False 0.01 0.26 0.30 0.0 0.28 -0.28 0.26 0.27 39.38 36.0 34 35 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 20.9 Shocked risk 62.7 Sum abs risk 61.3 Leverage 5.86 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2931983.87, 'annual_cash_vol_target': 732995.9675, 'daily_cash_vol_target': 45812.24796875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6458 0.6466 10.3455 BITCOIN 756.2709 26700.0000 2.8325 45.3196 BOBL 0.2618 116.6000 0.2245 3.5921 BTP 0.6359 113.3400 0.5611 8.9773 BUND 0.5487 131.0900 0.4186 6.6973 BUXL 1.2574 129.9000 0.9679 15.4871 CAC 54.6164 7361.0000 0.7420 11.8715 CAD 0.0028 0.7412 0.3757 6.0114 CANOLA 7.6837 767.1000 1.0017 16.0265 CHF 0.0046 1.1266 0.4078 6.5251 COCOA 38.0997 3735.0000 1.0201 16.3212 COFFEE 2.4748 154.0000 1.6070 25.7125 COPPER 0.0406 3.8160 1.0633 17.0126 CORN 7.2740 509.2500 1.4284 22.8540 COTTON2 1.2205 87.8300 1.3896 22.2336 CRUDE_W 0.9754 88.9100 1.0970 17.5522 DAX 107.8184 16018.0000 0.6731 10.7697 DOW 198.7614 35320.0000 0.5627 9.0039 DX 0.3817 105.0400 0.3634 5.8146 EUR 0.0052 1.0638 0.4879 7.8065 EURIBOR-ICE 0.0524 97.0350 0.0540 0.8639 EUROSTX 37.6321 4330.0000 0.8691 13.9056 FEEDCOW 1.4061 264.8750 0.5308 8.4935 GASOIL 13.2369 930.5000 1.4226 22.7609 GASOLINE 0.0321 2.5870 1.2411 19.8573 GAS_US_mini 0.0821 2.9800 2.7558 44.0936 GBP 0.0065 1.2406 0.5204 8.3267 GOLD_micro 9.2788 1912.0000 0.4853 7.7647 HEATOIL 0.0405 3.2381 1.2505 20.0086 JGB-SGX-mini 0.2208 145.5100 0.1518 2.4280 JPY 0.0000 0.0068 0.5966 9.5458 LEANHOG 1.1815 75.1250 1.5728 25.1644 LIVECOW 1.1200 190.4750 0.5880 9.4076 LUMBER-new 8.3253 504.0000 1.6519 26.4297 MILK 0.2508 18.3600 1.3661 21.8577 MXP 0.0004 0.0585 0.7689 12.3016 NASDAQ_micro 141.1318 15709.0000 0.8984 14.3746 NIKKEI 298.8051 33185.0000 0.9004 14.4068 NZD 0.0038 0.5910 0.6391 10.2261 OAT 0.5628 125.7900 0.4474 7.1590 OATIES 7.4949 492.0000 1.5234 24.3738 OJ 5.0193 330.9000 1.5169 24.2700 PALLAD 20.0836 1253.5000 1.6022 25.6352 PLAT 12.7392 909.6000 1.4005 22.4084 REDWHEAT 12.5030 735.0000 1.7011 27.2174 RICE 0.1778 16.4050 1.0836 17.3372 ROBUSTA 31.2211 2501.0000 1.2483 19.9735 RUSSELL 16.1767 1887.8000 0.8569 13.7105 SHATZ 0.0817 105.0900 0.0777 1.2432 SILVER-mini 0.3235 22.8000 1.4187 22.6992 SMI 70.4443 11163.0000 0.6311 10.0968 SOFR 0.0638 96.2450 0.0663 1.0613 SOYBEAN 14.3821 1300.7500 1.1057 17.6908 SOYMEAL 5.1544 395.8000 1.3023 20.8363 SOYOIL 0.8110 61.8800 1.3105 20.9684 SP400 19.3078 2621.9000 0.7364 11.7825 SP500_micro 29.4062 4559.2500 0.6450 10.3197 SUGAR11 0.3209 27.1200 1.1832 18.9314 US10 0.3778 109.7500 0.3442 5.5071 US10U 0.5303 114.2188 0.4643 7.4290 US2 0.0986 101.5430 0.0971 1.5536 US20 0.7526 119.0625 0.6321 10.1139 US30 1.1467 125.5625 0.9133 14.6121 US5 0.2439 106.1016 0.2298 3.6776 VIX 0.4428 16.3000 2.7166 43.4663 WHEAT 11.6406 669.0000 1.7400 27.8400 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 645.75 0.65 417.54 1.00 417.54 45812.25 109.72 -9.02 -98.93 BITCOIN 26.70 2.83 75.63 1.00 75.63 45812.25 605.77 -10.62 -643.03 BOBL 1166.00 0.22 261.78 1.07 281.11 45812.25 162.97 -9.51 -154.98 BTP 1133.40 0.56 635.93 1.07 682.89 45812.25 67.09 -1.93 -12.95 BUND 1310.90 0.42 548.71 1.07 589.24 45812.25 77.75 -2.12 -16.45 BUXL 1299.00 0.97 1257.36 1.07 1350.21 45812.25 33.93 -5.40 -18.34 CAC 736.10 0.74 546.16 1.07 586.50 45812.25 78.11 4.47 34.94 CAD 741.25 0.38 278.50 1.00 278.50 45812.25 164.50 -11.44 -188.11 CANOLA 153.42 1.00 153.67 0.74 113.27 45812.25 404.45 -4.57 -184.66 CHF 1408.25 0.41 574.31 1.00 574.31 45812.25 79.77 -20.00 -159.54 COCOA 373.50 1.02 381.00 1.00 381.00 45812.25 120.24 9.81 117.98 COFFEE 577.50 1.61 928.06 1.00 928.06 45812.25 49.36 -20.00 -98.73 COPPER 954.00 1.06 1014.38 1.00 1014.38 45812.25 45.16 -2.52 -11.38 CORN 254.62 1.43 363.70 1.00 363.70 45812.25 125.96 -9.00 -113.36 COTTON2 439.15 1.39 610.24 1.00 610.24 45812.25 75.07 0.94 7.08 CRUDE_W 889.10 1.10 975.35 1.00 975.35 45812.25 46.97 13.44 63.14 DAX 160.18 0.67 107.82 1.07 115.78 45812.25 395.68 5.80 229.63 DOW 176.60 0.56 99.38 1.00 99.38 45812.25 460.98 -3.11 -143.44 DX 1050.40 0.36 381.73 1.00 381.73 45812.25 120.01 9.96 119.49 EUR 1329.75 0.49 648.79 1.00 648.79 45812.25 70.61 -9.21 -65.05 EURIBOR-ICE 2425.88 0.05 130.99 1.07 140.66 45812.25 325.69 0.98 31.96 EUROSTX 433.00 0.87 376.32 1.07 404.11 45812.25 113.36 5.17 58.67 FEEDCOW 1324.38 0.53 703.04 1.00 703.04 45812.25 65.16 14.46 94.22 GASOIL 930.50 1.42 1323.69 1.00 1323.69 45812.25 34.61 17.46 60.42 GASOLINE 1086.54 1.24 1348.48 1.00 1348.48 45812.25 33.97 13.66 46.39 GAS_US_mini 74.50 2.76 205.31 1.00 205.31 45812.25 223.14 -9.73 -217.11 GBP 775.38 0.52 403.52 1.00 403.52 45812.25 113.53 -3.46 -39.24 GOLD_micro 191.20 0.49 92.79 1.00 92.79 45812.25 493.73 -19.42 -958.65 HEATOIL 1360.00 1.25 1700.73 1.00 1700.73 45812.25 26.94 10.41 28.05 JGB-SGX-mini 145510.00 0.15 22081.57 0.01 149.89 45812.25 305.63 1.24 37.99 JPY 847.81 0.60 505.82 1.00 505.82 45812.25 90.57 -14.27 -129.23 LEANHOG 300.50 1.57 472.62 1.00 472.62 45812.25 96.93 12.17 118.00 LIVECOW 761.90 0.59 447.98 1.00 447.98 45812.25 102.26 8.56 87.58 LUMBER-new 138.60 1.65 228.95 1.00 228.95 45812.25 200.10 -20.00 -400.20 MILK 367.20 1.37 501.63 1.00 501.63 45812.25 91.33 -7.70 -70.36 MXP 292.40 0.77 224.81 1.00 224.81 45812.25 203.78 8.53 173.80 NASDAQ_micro 314.18 0.90 282.26 1.00 282.26 45812.25 162.30 -5.48 -88.91 NIKKEI 33185.00 0.90 29880.51 0.01 202.84 45812.25 225.86 16.10 363.66 NZD 591.05 0.64 377.76 1.00 377.76 45812.25 121.27 -7.63 -92.47 OAT 1257.90 0.45 562.83 1.07 604.40 45812.25 75.80 0.64 4.88 OATIES 246.00 1.52 374.75 1.00 374.75 45812.25 122.25 2.70 33.00 OJ 496.35 1.52 752.90 1.00 752.90 45812.25 60.85 17.45 106.16 PALLAD 1253.50 1.60 2008.36 1.00 2008.36 45812.25 22.81 -7.09 -16.16 PLAT 454.80 1.40 636.96 1.00 636.96 45812.25 71.92 -0.83 -5.99 REDWHEAT 367.50 1.70 625.15 1.00 625.15 45812.25 73.28 -17.25 -126.41 RICE 328.10 1.08 355.52 1.00 355.52 45812.25 128.86 -1.27 -16.37 ROBUSTA 250.10 1.25 312.21 1.00 312.21 45812.25 146.73 7.10 104.13 RUSSELL 94.39 0.86 80.88 1.00 80.88 45812.25 566.40 -7.00 -396.37 SHATZ 1050.90 0.08 81.65 1.07 87.68 45812.25 522.47 -12.10 -632.03 SILVER-mini 570.00 1.42 808.66 1.00 808.66 45812.25 56.65 -6.32 -35.80 SMI 1116.30 0.63 704.44 1.12 789.68 45812.25 58.01 -1.34 -7.76 SOFR 2406.12 0.07 159.61 1.00 159.61 45812.25 287.03 -9.62 -276.24 SOYBEAN 650.38 1.11 719.10 1.00 719.10 45812.25 63.71 2.02 12.85 SOYMEAL 395.80 1.30 515.44 1.00 515.44 45812.25 88.88 -4.79 -42.57 SOYOIL 371.28 1.31 486.57 1.00 486.57 45812.25 94.15 5.57 52.45 SP400 2621.90 0.74 1930.78 1.00 1930.78 45812.25 23.73 -7.60 -18.04 SP500_micro 227.96 0.64 147.03 1.00 147.03 45812.25 311.58 -5.47 -170.50 SUGAR11 303.74 1.18 359.39 1.00 359.39 45812.25 127.47 6.28 80.00 US10 1097.50 0.34 377.75 1.00 377.75 45812.25 121.28 -10.97 -133.03 US10U 1142.19 0.46 530.33 1.00 530.33 45812.25 86.38 -9.20 -79.48 US2 2030.86 0.10 197.20 1.00 197.20 45812.25 232.32 -15.66 -363.76 US20 1190.62 0.63 752.62 1.00 752.62 45812.25 60.87 -8.15 -49.62 US30 1255.62 0.91 1146.71 1.00 1146.71 45812.25 39.95 -8.57 -34.24 US5 1061.02 0.23 243.87 1.00 243.87 45812.25 187.85 -14.02 -263.33 VIX 163.00 2.72 442.81 1.00 442.81 45812.25 103.46 -20.00 -206.91 WHEAT 334.50 1.74 582.03 1.00 582.03 45812.25 78.71 -17.18 -135.20 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -98.926 0.010 2.5 -2.567 BITCOIN -643.027 0.043 2.5 -69.637 BOBL -154.981 0.004 2.5 -1.572 BTP -12.955 0.014 2.5 -0.442 BUND -16.447 0.004 2.5 -0.167 BUXL -18.337 0.004 2.5 -0.186 CAC 34.939 0.014 2.5 1.192 CAD -188.106 0.010 2.5 -4.881 CANOLA -184.657 0.010 2.5 -4.493 CHF -159.538 0.010 2.5 -4.140 COCOA 117.983 0.009 2.5 2.527 COFFEE -98.727 0.005 2.5 -1.153 COPPER -11.375 0.043 2.5 -1.232 CORN -113.361 0.010 2.5 -2.758 COTTON2 7.076 0.009 2.5 0.152 CRUDE_W 63.139 0.043 2.5 6.838 DAX 229.632 0.014 2.5 7.833 DOW -143.441 0.009 2.5 -3.334 DX 119.492 0.010 2.5 3.101 EUR -65.055 0.010 2.5 -1.688 EURIBOR-ICE 31.959 0.014 2.5 1.090 EUROSTX 58.665 0.014 2.5 2.001 FEEDCOW 94.216 0.013 2.5 3.122 GASOIL 60.422 0.017 2.5 2.619 GASOLINE 46.395 0.017 2.5 2.011 GAS_US_mini -217.107 0.043 2.5 -23.512 GBP -39.240 0.010 2.5 -1.018 GOLD_micro -958.649 0.014 2.5 -32.700 HEATOIL 28.050 0.017 2.5 1.216 JGB-SGX-mini 37.994 0.043 2.5 4.115 JPY -129.228 0.010 2.5 -3.353 LEANHOG 117.996 0.024 2.5 7.172 LIVECOW 87.582 0.013 2.5 2.902 LUMBER-new -400.200 0.008 2.5 -8.486 MILK -70.358 0.009 2.5 -1.507 MXP 173.795 0.059 2.5 25.510 NASDAQ_micro -88.906 0.009 2.5 -2.066 NIKKEI 363.656 0.043 2.5 39.382 NZD -92.473 0.010 2.5 -2.400 OAT 4.883 0.014 2.5 0.167 OATIES 32.999 0.010 2.5 0.803 OJ 106.162 0.009 2.5 2.274 PALLAD -16.162 0.014 2.5 -0.551 PLAT -5.988 0.014 2.5 -0.204 REDWHEAT -126.413 0.005 2.5 -1.677 RICE -16.368 0.010 2.5 -0.398 ROBUSTA 104.134 0.005 2.5 1.216 RUSSELL -396.372 0.013 2.5 -13.136 SHATZ -632.030 0.004 2.5 -6.410 SILVER-mini -35.799 0.014 2.5 -1.221 SMI -7.759 0.014 2.5 -0.265 SOFR -276.242 0.024 2.5 -16.790 SOYBEAN 12.854 0.004 2.5 0.120 SOYMEAL -42.574 0.004 2.5 -0.396 SOYOIL 52.451 0.004 2.5 0.488 SP400 -18.041 0.013 2.5 -0.598 SP500_micro -170.497 0.009 2.5 -3.963 SUGAR11 80.000 0.009 2.5 1.702 US10 -133.031 0.005 2.5 -1.686 US10U -79.481 0.005 2.5 -1.007 US2 -363.758 0.005 2.5 -4.610 US20 -49.621 0.005 2.5 -0.629 US30 -34.239 0.005 2.5 -0.434 US5 -263.332 0.005 2.5 -3.337 VIX -206.915 0.099 2.5 -51.079 WHEAT -135.197 0.005 2.5 -1.794 ===================== Position diags ===================== AUD 2.85 BITCOIN 65.60 BOBL 1.65 BTP 2.29 BUND 0.79 BUXL 0.34 CAC 2.66 CAD 4.27 CANOLA 9.84 CHF 2.07 COCOA 2.58 COFFEE 0.58 COPPER 4.89 CORN 3.06 COTTON2 1.61 CRUDE_W 5.09 DAX 13.50 DOW 10.71 DX 3.11 EUR 1.83 EURIBOR-ICE 11.11 EUROSTX 3.87 FEEDCOW 2.16 GASOIL 1.50 GASOLINE 1.47 GAS_US_mini 24.16 GBP 2.95 GOLD_micro 16.84 HEATOIL 1.17 JGB-SGX-mini 33.10 JPY 2.35 LEANHOG 5.89 LIVECOW 3.39 LUMBER-new 4.24 MILK 1.96 MXP 29.91 NASDAQ_micro 3.77 NIKKEI 24.46 NZD 3.15 OAT 2.59 OATIES 2.97 OJ 1.30 PALLAD 0.78 PLAT 2.45 REDWHEAT 0.97 RICE 3.14 ROBUSTA 1.71 RUSSELL 18.77 SHATZ 5.30 SILVER-mini 1.93 SMI 1.98 SOFR 17.45 SOYBEAN 0.59 SOYMEAL 0.83 SOYOIL 0.88 SP400 0.79 SP500_micro 7.24 SUGAR11 2.71 US10 1.54 US10U 1.09 US2 2.94 US20 0.77 US30 0.51 US5 2.38 VIX 25.54 WHEAT 1.04 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.6 -2.9 -2.3 NaN 0 BITCOIN -69.6 -76.2 -63.1 -43.0 -43 BOBL -1.6 -1.7 -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 -0.2 -3.0 -3 CAC 1.2 0.9 1.5 4.0 4 CAD -4.9 -5.3 -4.5 0.0 0 CANOLA -4.5 -5.5 -3.5 NaN 0 CHF -4.1 -4.3 -3.9 -9.0 -9 COCOA 2.5 2.3 2.8 4.0 4 COFFEE -1.2 -1.2 -1.1 -1.0 -1 COPPER -1.2 -1.7 -0.7 -3.0 -3 CORN -2.8 -3.1 -2.5 -2.0 -2 COTTON2 0.2 -0.0 0.3 0.0 0 CRUDE_W 6.8 6.3 7.3 5.0 5 DAX 7.8 6.5 9.2 0.0 0 DOW -3.3 -4.4 -2.3 -1.0 -1 DX 3.1 2.8 3.4 NaN 0 EUR -1.7 -1.9 -1.5 -7.0 -7 EURIBOR-ICE 1.1 -0.0 2.2 3.0 3 EUROSTX 2.0 1.6 2.4 8.0 8 FEEDCOW 3.1 2.9 3.3 5.0 5 GASOIL 2.6 2.5 2.8 3.0 3 GASOLINE 2.0 1.9 2.2 4.0 4 GAS_US_mini -23.5 -25.9 -21.1 -22.0 -22 GBP -1.0 -1.3 -0.7 -1.0 -1 GOLD_micro -32.7 -34.4 -31.0 -42.0 -42 HEATOIL 1.2 1.1 1.3 0.0 0 JGB-SGX-mini 4.1 0.8 7.4 15.0 15 JPY -3.4 -3.6 -3.1 -4.0 -4 LEANHOG 7.2 6.6 7.8 8.0 8 LIVECOW 2.9 2.6 3.2 1.0 1 LUMBER-new -8.5 -8.9 -8.1 NaN 0 MILK -1.5 -1.7 -1.3 NaN 0 MXP 25.5 22.5 28.5 50.0 50 NASDAQ_micro -2.1 -2.4 -1.7 0.0 0 NIKKEI 39.4 36.9 41.8 34.0 34 NZD -2.4 -2.7 -2.1 0.0 0 OAT 0.2 -0.1 0.4 6.0 6 OATIES 0.8 0.5 1.1 NaN 0 OJ 2.3 2.1 2.4 NaN 0 PALLAD -0.6 -0.6 -0.5 NaN 0 PLAT -0.2 -0.4 0.0 -2.0 -2 REDWHEAT -1.7 -1.8 -1.6 -3.0 -3 RICE -0.4 -0.7 -0.1 NaN 0 ROBUSTA 1.2 1.0 1.4 4.0 4 RUSSELL -13.1 -15.0 -11.3 0.0 0 SHATZ -6.4 -6.9 -5.9 NaN 0 SILVER-mini -1.2 -1.4 -1.0 NaN 0 SMI -0.3 -0.5 -0.1 -3.0 -3 SOFR -16.8 -18.5 -15.0 NaN 0 SOYBEAN 0.1 0.1 0.2 2.0 2 SOYMEAL -0.4 -0.5 -0.3 0.0 0 SOYOIL 0.5 0.4 0.6 0.0 0 SP400 -0.6 -0.7 -0.5 0.0 0 SP500_micro -4.0 -4.7 -3.2 0.0 0 SUGAR11 1.7 1.4 2.0 1.0 1 US10 -1.7 -1.8 -1.5 NaN 0 US10U -1.0 -1.1 -0.9 -3.0 -3 US2 -4.6 -4.9 -4.3 NaN 0 US20 -0.6 -0.7 -0.6 -2.0 -2 US30 -0.4 -0.5 -0.4 0.0 0 US5 -3.3 -3.6 -3.1 -6.0 -6 VIX -51.1 -53.6 -48.5 -16.0 -16 WHEAT -1.8 -1.9 -1.7 -3.0 -3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.8 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 -0.2 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.0 -0.4 -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 -0.1 0.0 0.0 -0.3 -0.5 -0.2 -0.7 -0.1 0.1 BITCOIN -0.2 -0.6 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.2 0.1 -0.1 0.1 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 -2.7 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 -0.1 0.4 -0.6 -0.4 -0.2 -0.4 0.7 -0.3 0.7 BOBL 0.0 0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.3 -0.0 -0.1 -0.2 -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 -0.9 0.0 0.1 0.2 0.1 -0.7 -0.7 -0.7 -0.6 BTP -0.1 -0.3 0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.0 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 -0.0 0.0 -0.0 -0.0 -0.0 0.9 -0.1 0.0 0.1 0.4 -0.4 -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 -0.0 -0.2 -0.0 -0.3 -0.0 -0.1 0.0 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 -0.5 -0.0 BUXL 0.0 -0.2 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.4 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.0 -0.3 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 0.0 0.0 -0.1 0.1 -0.7 -0.7 -0.2 0.5 CAC -0.0 -0.3 -0.3 -0.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.3 -0.0 0.7 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 0.0 0.0 0.4 -0.0 -0.7 -0.0 0.1 0.1 0.0 0.3 -0.0 0.3 0.0 -0.1 0.3 -0.1 0.7 0.0 0.7 0.2 CAD -0.1 -0.6 0.0 -0.0 0.0 0.1 -0.0 0.1 -0.1 0.2 -0.1 0.1 -0.4 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 0.0 -0.2 -0.1 0.2 -0.1 0.1 -0.1 0.0 -0.1 -0.0 0.0 0.3 -0.0 -0.4 -0.5 -0.7 -0.7 -0.7 -0.6 CANOLA -0.5 0.0 0.6 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 -0.2 -0.1 0.1 -0.2 0.2 -0.0 0.1 0.1 0.1 -0.2 0.0 -0.1 -2.7 0.0 -0.0 0.0 -0.1 -0.0 -0.0 0.4 -0.4 -0.2 -0.2 0.6 -0.4 0.2 0.3 0.6 CHF -0.6 -0.5 0.1 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.2 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 -1.4 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 -0.3 -0.2 -0.7 -0.7 -0.7 -0.7 COCOA 0.4 -0.0 0.4 -0.0 0.0 -0.0 -0.1 -0.2 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 -0.1 -0.0 -0.1 -0.1 0.2 0.2 0.2 0.5 0.2 -2.0 0.1 0.1 0.3 0.1 0.4 0.1 -0.6 0.5 0.6 0.6 0.6 -0.1 -0.4 0.5 -0.0 COFFEE 0.2 -0.2 -0.6 -0.0 0.0 -0.0 -0.0 -0.2 -0.0 0.1 -0.4 0.0 -0.5 -0.1 -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 -0.2 0.1 -0.1 -0.4 -0.6 -0.7 -0.7 -0.5 -0.4 COPPER 0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.2 0.1 -0.1 -0.1 -0.0 -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 0.3 0.4 0.2 0.2 -0.7 0.6 -0.6 CORN -0.0 -0.6 -0.3 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.2 0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -1.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.3 0.1 -0.1 -0.3 0.1 -0.1 0.2 0.0 0.4 COTTON2 0.1 0.2 0.4 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.3 0.0 -0.3 0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.0 0.1 -2.7 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.5 0.4 0.5 0.4 -0.6 -0.5 0.4 0.3 CRUDE_W 0.6 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 0.0 0.2 -0.5 -0.1 0.7 0.4 0.7 0.3 DAX 0.0 -0.5 -0.4 -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 -0.0 0.3 -0.1 2.6 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -0.2 -0.2 -0.1 0.1 -0.3 0.7 0.0 0.7 0.3 DOW -0.2 -0.4 0.3 -0.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.3 0.1 0.5 -0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 0.0 0.2 -0.0 -1.4 0.0 0.1 0.1 0.0 0.2 0.0 -0.3 0.3 -0.1 0.5 0.6 -0.4 -0.2 -0.7 -0.3 DX 0.5 0.6 0.2 -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 0.1 0.1 0.1 0.1 0.1 0.7 0.5 0.6 0.6 0.1 -0.1 0.2 0.1 0.7 EUR -0.4 -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 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 1.8 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.4 -0.5 -0.6 -0.5 -0.4 -0.2 -0.7 -0.0 -0.0 EURIBOR-ICE 0.1 0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -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 0.1 0.3 0.1 -0.7 -0.7 0.7 0.3 EUROSTX -0.1 -0.4 -0.4 -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 -0.0 0.3 -0.1 0.7 -0.0 0.1 0.0 -0.0 0.2 -0.0 0.3 -0.1 -0.2 0.1 -0.2 0.7 0.1 0.7 0.4 FEEDCOW 0.5 0.1 0.6 -0.0 0.0 -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 0.2 0.1 0.1 0.3 0.1 0.4 0.1 -1.1 0.5 0.6 0.6 0.6 0.2 -0.3 0.7 -0.0 GASOIL -0.0 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 1.6 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.4 -0.0 0.5 0.6 -0.6 0.1 -0.6 -0.1 GASOLINE 0.1 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 -0.2 -0.6 -0.6 0.3 0.7 0.5 0.7 0.2 GAS_US_mini -0.3 0.2 0.5 0.1 0.1 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 0.1 0.2 -0.2 -0.0 GBP -0.5 -0.5 0.1 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.2 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 -0.1 0.0 -0.1 0.1 -0.1 0.1 -0.5 -0.6 -0.3 -0.1 0.0 0.5 0.2 0.7 GOLD_micro 0.2 -0.5 -0.5 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.2 -0.3 -0.1 0.2 -0.2 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.1 -0.1 -0.0 -0.2 -1.5 -0.0 -0.1 -0.1 -0.0 0.1 -0.0 -1.0 -0.1 0.3 0.1 -0.5 -0.7 -0.7 -0.4 -0.7 HEATOIL 0.0 0.6 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.5 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 0.1 0.2 0.1 0.2 0.1 0.2 -0.3 -0.3 0.5 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 -0.1 0.2 -0.1 -0.1 0.4 0.4 0.3 0.3 -0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 1.1 0.0 -0.0 -0.1 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 -0.1 -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 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.1 -0.2 -0.4 -0.6 -0.2 -0.7 -0.2 -0.7 LEANHOG 0.2 0.1 0.3 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 0.1 -0.2 -0.0 0.1 0.4 0.4 0.4 0.4 0.0 -0.0 0.1 -0.3 0.0 2.0 -0.0 0.0 -0.2 0.0 -0.4 0.0 1.1 0.4 0.3 -0.0 -0.2 -0.3 -0.0 0.6 0.7 LIVECOW 0.1 -0.3 0.5 -0.0 0.0 -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 0.3 0.1 0.5 0.1 -0.1 0.5 0.6 0.4 0.6 -0.7 -0.7 -0.7 -0.7 LUMBER-new -0.3 -0.5 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.0 0.1 -0.6 -0.2 -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 -0.0 -0.1 -0.1 -1.3 0.3 -0.5 -0.8 -0.4 -0.7 -0.8 -0.4 -0.8 MILK 0.5 0.6 0.5 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.4 0.1 0.1 0.1 -0.4 -0.4 -0.4 0.1 -0.1 0.0 -0.4 0.1 -0.1 0.0 -0.0 -0.1 0.0 -0.2 0.0 -1.1 0.1 0.4 0.6 -0.4 -0.7 -0.7 -0.5 -0.7 MXP -0.4 -0.6 -0.4 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 0.4 -0.0 0.6 -0.0 0.1 0.3 0.3 0.3 0.3 0.0 0.2 0.0 0.5 -0.0 -2.7 0.0 0.1 0.2 0.0 0.4 -0.0 1.1 0.0 0.1 0.3 0.5 0.7 0.2 0.7 0.7 NASDAQ_micro 0.1 -0.6 0.3 -0.0 0.0 0.0 0.0 0.1 -0.0 0.1 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 -0.1 -0.5 -0.4 -0.6 NIKKEI 0.3 -0.6 0.2 -0.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.4 0.1 0.6 0.1 0.1 0.2 0.3 0.3 0.3 0.1 0.2 0.1 0.5 0.1 -1.0 0.1 0.1 0.3 0.1 0.4 0.0 1.1 0.5 0.6 0.6 0.6 0.2 0.1 -0.1 0.4 NZD -0.1 -0.6 -0.3 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.0 -0.3 -0.1 -0.1 -0.1 -0.2 -0.0 0.0 0.0 0.0 -0.2 -0.1 -0.0 -0.2 -0.1 0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.2 0.0 -0.0 -0.3 -0.6 -0.1 -0.5 0.1 0.2 OAT 0.1 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -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 -0.0 0.3 0.6 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.4 -0.0 -0.1 0.1 0.2 -0.4 -0.1 -0.4 -0.3 0.2 0.2 -0.0 0.4 0.2 -2.7 0.1 -0.0 0.2 -0.0 0.1 0.0 -1.1 -0.3 0.6 0.6 0.6 0.2 0.6 0.7 0.7 OJ 0.1 -0.2 0.3 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 0.5 0.2 0.7 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 0.1 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.4 -0.0 -0.5 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 0.0 -0.5 -0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.2 -0.0 0.1 0.4 -0.1 0.2 -0.5 -0.6 -0.1 0.2 -0.0 PLAT 0.2 -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 -0.2 -0.6 -0.2 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -1.8 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.3 0.3 -0.2 -0.5 -0.3 -0.7 -0.7 -0.5 -0.3 RICE -0.0 0.2 0.4 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 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 -0.0 0.1 -0.0 0.0 -0.0 1.1 -0.5 0.1 0.4 0.5 -0.2 -0.6 0.3 -0.3 ROBUSTA 0.1 -0.2 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 0.3 0.1 0.5 -0.0 -0.0 0.4 0.4 0.4 0.4 0.0 0.1 0.1 0.5 0.0 -2.2 0.0 0.1 0.2 0.0 0.4 0.0 1.1 0.3 0.2 0.1 0.3 -0.0 -0.5 0.6 -0.2 RUSSELL -0.3 -0.6 0.3 -0.0 0.0 0.0 0.0 0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 -0.2 -0.1 -0.2 -0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.4 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.0 0.1 0.0 0.0 0.6 -0.3 -0.4 -0.7 -0.5 SHATZ -0.1 0.2 -0.3 -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 -0.2 -0.4 -0.3 -0.0 -0.1 -0.1 -0.3 -0.1 1.5 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.9 -0.1 -0.1 0.2 -0.1 -0.7 -0.7 -0.7 -0.7 SILVER-mini -0.0 -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 -0.1 -0.0 -0.2 0.0 -0.1 1.0 0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.2 -0.4 0.3 0.2 0.2 -0.7 -0.7 -0.1 -0.7 SMI 0.2 -0.3 -0.4 -0.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 0.1 0.2 -0.1 -0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.0 -0.0 0.8 -0.0 0.1 -0.0 0.0 -0.1 -0.0 0.5 0.1 0.1 0.6 -0.3 -0.3 -0.4 -0.6 -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 0.1 0.0 0.6 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.2 -0.0 0.0 -0.0 0.1 0.0 0.4 0.2 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 1.1 0.1 0.2 -0.0 0.6 -0.4 0.2 -0.3 0.5 SOYMEAL 0.2 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -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 0.4 -0.6 -0.6 -0.5 -0.6 SOYOIL -0.4 0.2 0.6 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.3 -0.1 0.0 -0.0 0.1 0.3 0.2 0.3 0.2 0.1 0.1 -0.0 0.2 -0.0 -2.7 0.0 0.0 0.1 -0.0 0.1 0.0 0.7 0.2 -0.1 0.1 0.6 0.0 0.2 0.7 0.7 SP400 -0.3 -0.6 0.3 -0.0 0.0 0.0 0.0 0.1 -0.0 -0.1 0.1 -0.1 0.2 -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 0.1 0.1 0.0 0.6 -0.1 -0.4 -0.6 -0.6 SP500_micro -0.0 -0.6 0.4 -0.0 0.0 0.0 0.0 0.1 -0.0 0.0 0.3 0.1 0.4 -0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.0 0.4 0.0 -2.4 0.0 0.0 0.2 0.0 0.2 0.0 -0.4 0.1 0.3 0.2 0.6 -0.2 -0.5 -0.6 -0.7 SUGAR11 0.6 0.2 -0.2 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.2 0.5 0.2 0.6 0.2 0.2 -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 -0.5 0.2 0.1 -0.1 -0.2 -0.7 -0.7 0.4 0.0 US10U 0.0 -0.5 -0.5 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 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 0.0 0.0 -0.4 -0.7 -0.7 -0.7 -0.7 US20 0.0 -0.6 -0.5 -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 -0.0 -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 0.2 0.1 -0.2 -0.2 -0.7 -0.7 0.7 0.7 US30 0.1 -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 -0.3 -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 0.1 -0.0 -0.3 -0.7 -0.7 -0.0 -0.6 VIX -0.5 0.7 -0.9 -0.1 -0.1 -0.4 -0.1 -0.6 -0.1 -0.3 -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 0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -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 -0.1 -0.0 -0.1 -0.0 -1.1 0.0 -0.3 -0.3 -0.0 -0.7 -0.5 -0.6 -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 0.8 -18.9 -6.6 -1.5 0.2 1.7 -1.6 2.4 -3.0 2.3 -13.3 -3.3 -8.1 -13.3 -13.7 -3.2 -2.8 -3.0 -2.9 -13.4 -11.7 -2.2 -9.6 -9.5 3.0 -4.4 1.3 -3.6 -0.8 -2.8 -3.3 -1.3 1.2 1.5 -9.6 -15.4 -7.3 -20.0 -4.1 4.4 BITCOIN -7.0 -19.1 -1.2 -3.3 -1.5 -0.9 -3.2 1.2 -3.8 16.7 4.6 -6.9 3.0 -16.8 -15.8 -5.3 -4.3 -6.2 -5.5 -13.6 -3.9 -2.5 0.3 -13.1 -20.0 -5.8 3.5 -2.6 -0.9 -0.1 -5.2 -1.4 17.5 -20.0 -12.0 -6.1 -11.3 20.0 -9.5 20.0 BOBL 0.9 1.7 -1.3 -2.5 -1.4 -2.5 -1.9 -3.0 -2.1 -3.5 -4.1 -4.8 -7.3 -3.7 -4.9 -11.1 -9.4 -19.5 -16.0 -3.1 -4.8 -3.5 -9.2 -3.0 9.9 -1.4 -0.9 -1.8 -2.0 -3.6 -1.6 -17.3 0.6 1.8 5.6 1.9 -20.0 -20.0 -20.0 -17.0 BTP -2.9 -8.7 3.6 -3.8 -2.1 -3.9 -2.9 -4.5 -3.2 -4.5 3.9 -8.4 0.7 -8.4 -3.7 5.2 7.7 5.4 6.2 -3.7 -0.6 -6.5 -2.3 -6.1 -6.8 -2.3 -1.4 0.1 -4.1 -0.2 -3.9 16.2 -2.6 0.3 4.1 13.8 -13.2 -20.0 2.1 9.4 BUND 1.8 -2.9 2.7 -2.6 -1.4 -2.7 -2.0 -3.1 -2.2 -3.0 -5.6 -3.4 -8.0 -4.4 -5.6 1.7 8.0 4.4 5.8 -3.8 -4.9 -2.7 -9.0 -3.2 6.2 -2.0 0.1 -2.1 -1.5 -3.6 -1.8 16.0 1.4 3.0 3.1 3.3 -20.0 -20.0 -16.3 -1.4 BUXL 0.2 -7.0 3.7 -3.0 -1.7 -3.1 -2.3 -3.6 -2.5 -3.8 -9.0 -4.6 -10.2 -6.9 -7.3 0.3 1.0 0.7 1.1 -6.7 -7.8 -3.9 -12.7 -5.7 1.0 -3.0 -0.0 -2.8 -1.8 -3.7 -2.6 6.1 0.6 1.0 -1.9 3.8 -20.0 -20.0 -5.7 16.4 CAC -0.6 -9.6 -10.6 -2.8 5.1 0.5 0.4 3.1 -2.6 10.3 10.5 -2.2 20.0 -11.7 -6.6 -6.6 -1.4 -5.8 -3.8 -4.2 4.1 1.2 16.3 -4.5 -5.3 -2.1 9.3 2.2 1.3 7.7 -2.4 5.9 0.7 -2.4 10.5 -3.2 20.0 0.4 20.0 5.5 CAD -2.6 -20.0 0.5 -2.3 0.4 2.7 -2.5 3.8 -4.7 17.7 -3.7 9.0 -11.8 -16.9 -16.9 -2.2 -2.0 -2.2 -2.2 -16.9 -9.5 4.3 -7.5 -12.5 1.3 -6.0 7.2 -3.1 1.7 -1.9 -4.4 0.0 13.0 -1.5 -13.8 -14.6 -20.0 -20.0 -20.0 -18.2 CANOLA -16.6 0.1 20.0 -0.3 0.3 -0.9 -2.9 -2.6 -2.1 -10.2 7.4 -9.7 -4.6 -7.0 7.9 -8.8 10.1 -1.7 5.3 4.8 8.3 -20.0 1.2 -10.0 -20.0 1.5 -4.6 1.4 -4.7 -1.1 -1.9 7.4 -18.1 -5.5 -4.8 20.0 -12.7 4.7 7.7 18.7 CHF -19.4 -15.4 3.3 -2.1 0.3 2.4 -2.2 3.4 -4.2 -18.9 4.3 -20.0 13.2 -20.0 -9.6 -15.6 -13.6 -15.0 -14.3 -11.5 3.0 -20.0 9.8 -20.0 -10.3 -3.6 -7.9 1.5 -8.6 3.3 -7.9 -20.0 -20.0 -20.0 -9.8 -6.0 -20.0 -20.0 -20.0 -20.0 COCOA 13.5 -1.0 13.8 -0.5 0.5 -1.6 -5.0 -4.6 -3.6 20.0 20.0 20.0 20.0 20.0 20.0 -6.3 -2.5 -5.2 -3.4 20.0 20.0 20.0 20.0 20.0 -14.7 9.1 6.3 11.3 6.9 11.3 7.7 -11.5 20.0 20.0 20.0 20.0 -4.4 -11.6 15.7 -0.5 COFFEE 5.1 -7.1 -19.6 -0.5 0.5 -1.5 -4.6 -4.2 -3.3 13.6 -15.5 2.2 -14.0 -13.7 -19.7 -3.7 2.0 -1.3 0.7 -17.9 -20.0 -0.6 -18.2 -9.2 -20.0 -6.6 3.2 -5.3 -1.6 -3.5 -5.2 -4.0 4.9 -3.3 -11.0 -20.0 -20.0 -20.0 -16.3 -10.7 COPPER 3.9 -4.8 -1.8 -2.7 -1.2 -0.7 -2.6 1.0 -3.0 5.2 -8.0 4.9 -3.1 -5.9 -3.2 -6.0 -2.6 -5.0 -3.8 -3.8 -4.8 0.4 -4.7 -2.0 -5.6 -0.6 4.0 -1.7 1.5 -2.2 0.2 1.4 10.2 7.8 13.4 7.4 7.5 -20.0 16.6 -19.1 CORN -1.1 -17.6 -10.5 -0.2 0.2 -0.7 -2.1 -1.9 -1.5 -2.9 -8.6 -5.3 -8.2 -8.7 -9.4 -10.1 3.4 -7.6 -2.8 -8.7 -9.5 -3.2 -7.7 -5.8 -9.0 -2.3 -1.3 -2.6 -1.8 -3.1 -2.4 -5.6 5.0 -3.0 -7.8 4.6 -4.0 4.5 1.4 10.7 COTTON2 2.1 5.6 13.1 -0.3 0.3 -1.1 -3.4 -3.1 -2.5 -0.2 9.7 2.4 -8.8 4.0 10.2 1.2 6.1 4.4 4.6 7.8 6.5 3.1 0.4 5.3 -20.0 5.1 2.8 4.0 3.8 2.2 4.8 2.0 19.0 13.8 16.4 12.5 -17.1 -15.9 11.3 10.5 CRUDE_W 18.7 20.0 20.0 7.8 6.7 5.5 7.5 2.9 7.8 20.0 20.0 20.0 -2.0 20.0 20.0 14.0 9.1 10.6 9.0 20.0 20.0 20.0 15.2 20.0 -7.3 9.1 9.4 6.6 10.4 4.5 10.4 -20.0 0.1 5.9 -15.6 -3.6 19.7 13.1 20.0 8.9 DAX 0.3 -15.1 -11.3 -2.6 4.8 0.5 0.3 2.9 -2.4 5.6 5.0 -4.7 17.4 -15.4 -13.7 -9.4 -7.2 -9.0 -8.4 -8.3 0.5 -3.0 11.7 -7.7 19.5 -4.4 3.1 -0.6 -1.4 4.1 -3.8 -3.4 -8.2 -4.4 3.1 -10.1 20.0 0.4 20.0 7.7 DOW -6.1 -13.3 7.8 -2.3 4.1 0.4 0.3 2.5 -2.1 9.7 9.7 6.1 12.9 -5.4 5.1 -11.4 -8.1 -11.1 -10.0 0.8 6.6 3.2 7.5 -2.2 -10.7 1.6 7.1 4.5 3.1 5.1 0.4 -5.5 14.4 -2.2 14.0 20.0 -12.8 -7.1 -20.0 -7.5 DX 14.3 20.0 5.0 -1.9 0.3 2.3 -2.1 3.3 -4.0 16.2 9.0 17.4 -8.7 19.9 18.3 7.6 5.3 6.7 5.9 20.0 9.5 20.0 3.3 20.0 -20.0 5.9 5.9 2.8 6.4 1.7 7.3 13.2 20.0 20.0 20.0 4.1 -2.5 7.1 1.5 20.0 EUR -12.3 -17.9 -2.3 -1.7 0.3 2.0 -1.8 2.8 -3.4 -13.5 -5.7 -14.2 8.3 -16.6 -13.8 -6.4 -6.8 -6.6 -6.6 -12.8 -4.3 -16.1 -0.1 -17.1 13.2 -4.7 -6.8 -1.3 -6.2 0.1 -6.4 -7.8 -20.0 -18.1 -14.2 -13.1 -5.9 -19.8 -0.0 -0.5 EURIBOR-ICE 3.8 4.4 0.9 -2.3 -1.3 -2.4 -1.8 -2.8 -2.0 -2.4 -3.6 -1.0 -6.7 0.3 -1.4 -8.7 -7.9 -9.1 -9.0 -1.1 -3.4 -2.1 -8.4 -0.8 17.5 -0.4 -0.7 -1.3 -1.0 -3.4 -0.3 -10.7 2.9 4.5 7.9 1.7 -20.0 -20.0 20.0 10.3 EUROSTX -2.6 -13.6 -11.6 -2.4 4.5 0.5 0.3 2.6 -2.2 7.7 7.0 -6.5 16.9 -15.0 -13.4 -5.2 -1.2 -4.8 -3.5 -6.5 2.0 -1.9 12.4 -7.2 5.5 -4.1 6.5 0.5 -0.8 5.9 -4.3 6.1 -2.1 -6.0 4.4 -5.3 20.0 3.1 20.0 11.4 FEEDCOW 15.0 4.0 17.5 -0.5 0.5 -1.8 -5.5 -5.0 -4.0 20.0 20.0 20.0 20.0 20.0 20.0 3.2 -20.0 -11.4 -20.0 20.0 20.0 20.0 20.0 20.0 1.6 10.2 10.9 11.5 11.4 12.1 10.9 -20.0 20.0 20.0 20.0 20.0 7.2 -9.8 20.0 -1.0 GASOIL -1.5 20.0 20.0 6.0 5.1 4.2 5.7 2.2 6.0 17.6 15.3 18.4 2.6 19.3 19.6 20.0 20.0 20.0 20.0 20.0 20.0 20.0 16.5 20.0 11.8 6.8 6.9 5.3 6.2 2.7 6.2 0.0 15.1 -0.5 14.3 17.3 -16.9 2.6 -19.1 -4.4 GASOLINE 4.4 15.1 20.0 7.7 6.6 5.4 7.3 2.8 7.7 20.0 20.0 20.0 4.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 9.1 7.4 9.0 8.1 8.1 8.2 20.0 -8.6 -19.7 -20.0 8.3 19.5 13.5 20.0 4.7 GAS_US_mini -9.2 6.1 15.9 6.7 5.7 4.7 6.3 2.4 6.6 -10.9 -18.0 -16.0 -20.0 -19.2 -8.9 -20.0 -20.0 -20.0 -20.0 -10.1 -20.0 -9.1 -20.0 -12.2 20.0 -0.9 0.4 -1.5 -1.1 -4.0 -2.4 -20.0 -20.0 -20.0 -20.0 -20.0 3.7 6.9 -6.0 -0.2 GBP -15.9 -16.6 3.1 -2.0 0.3 2.4 -2.1 3.3 -4.1 -17.2 6.2 -18.5 12.3 -19.8 -9.5 0.0 -0.7 0.0 -0.3 -9.9 2.6 -18.9 6.6 -18.2 -1.1 -4.2 -8.3 0.9 -8.5 1.7 -8.0 2.7 -20.0 -20.0 -8.5 -3.0 0.2 14.4 5.1 20.0 GOLD_micro 5.4 -14.8 -15.8 -3.9 -1.7 -1.0 -3.8 1.4 -4.4 -20.0 -11.4 -8.4 5.8 -15.0 -18.1 -19.0 -13.7 -17.7 -15.9 -18.6 -13.6 -15.7 -0.3 -14.7 -11.5 -3.5 -7.2 -2.1 -3.2 1.9 -1.8 -18.5 -4.5 10.6 1.8 -14.5 -20.0 -20.0 -13.1 -20.0 HEATOIL 0.4 20.0 20.0 7.0 6.0 5.0 6.7 2.6 7.0 20.0 16.8 20.0 1.4 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 19.5 20.0 -20.0 8.0 6.3 6.9 5.4 4.7 6.3 3.3 -11.5 -9.7 15.2 20.0 5.0 -1.0 0.3 -4.1 JGB-SGX-mini 2.1 -16.6 -13.1 -2.8 -1.6 -2.9 -2.1 -3.4 -2.4 -8.7 2.6 -6.7 5.0 -8.1 -8.0 20.0 20.0 17.3 17.2 -6.0 -2.0 -6.5 2.3 -5.8 -0.1 -2.4 -3.5 -1.2 -2.9 -0.2 -2.4 20.0 1.5 -0.9 -1.8 2.5 -20.0 -9.0 7.5 8.3 JPY -3.4 -16.0 -16.8 -1.2 0.2 1.4 -1.3 2.0 -2.5 -8.2 -12.7 -10.0 -11.7 -12.4 -12.8 -16.5 -14.2 -16.3 -15.6 -17.4 -19.1 -7.8 -19.3 -12.9 20.0 -4.6 -1.4 -4.7 -2.3 -4.6 -3.6 -20.0 -4.7 -6.6 -12.0 -20.0 -5.6 -20.0 -4.5 -20.0 LEANHOG 6.5 2.0 9.3 -0.3 0.3 -1.0 -3.1 -2.8 -2.3 -0.6 -2.1 9.9 -6.2 -0.2 9.0 20.0 20.0 20.0 20.0 1.3 -4.5 6.0 -11.6 4.0 14.8 -1.4 1.0 -6.2 2.8 -10.2 1.4 20.0 15.0 10.7 -1.4 -5.2 -10.4 -0.0 17.4 20.0 LIVECOW 4.6 -9.2 15.6 -0.5 0.5 -1.7 -5.4 -4.9 -3.9 20.0 20.0 20.0 20.0 18.2 20.0 -20.0 1.5 -12.0 0.5 20.0 20.0 20.0 20.0 20.0 3.4 9.2 11.2 12.7 9.8 13.7 8.3 -2.0 20.0 20.0 11.9 20.0 -20.0 -20.0 -20.0 -19.9 LUMBER-new -7.1 -12.2 -0.4 -0.5 0.5 -1.3 -5.1 -3.2 -3.7 8.2 -20.0 -18.3 -20.0 -20.0 -20.0 -17.1 -13.7 -15.5 -14.3 -16.4 -14.8 -7.8 -12.7 -14.9 NaN -6.3 1.2 -4.7 -3.5 -3.3 -6.3 -20.0 11.6 -13.5 -20.0 -9.7 -18.7 -20.0 -9.0 -20.0 MILK 14.9 18.1 14.8 -0.3 0.2 -0.8 -2.5 -2.3 -1.8 -7.0 -3.5 4.6 -9.8 8.1 6.3 5.5 -20.0 -18.0 -20.0 5.3 -5.1 1.0 -13.6 7.5 -1.1 1.0 -1.7 -3.1 0.1 -5.9 2.2 -20.0 2.1 11.8 20.0 -13.7 -20.0 -20.0 -13.7 -20.0 MXP -12.9 -19.9 -11.2 -1.6 0.2 1.8 -1.7 2.6 -3.2 11.9 14.1 -1.3 16.2 -2.3 8.3 15.0 17.5 16.5 17.0 3.3 13.9 1.4 20.0 -3.0 -20.0 1.4 5.8 6.5 0.2 9.9 -1.8 20.0 0.7 3.2 9.2 14.9 20.0 7.3 20.0 20.0 NASDAQ_micro 3.0 -20.0 7.8 -1.5 2.7 0.3 0.2 1.6 -1.4 6.0 10.0 8.8 8.8 1.2 6.0 -9.6 -8.2 -10.0 -9.5 5.8 12.9 4.1 14.0 3.3 -20.0 2.3 2.2 6.1 1.5 7.6 1.0 -5.1 2.3 10.2 2.9 20.0 -4.3 -15.7 -12.8 -18.2 NIKKEI 8.0 -17.7 4.8 -2.4 4.4 0.5 0.3 2.6 -2.2 10.1 15.9 13.0 16.5 8.1 10.0 11.8 12.6 13.9 13.4 10.1 18.5 13.3 20.0 10.0 -7.8 5.0 9.0 9.6 6.0 11.4 4.4 20.0 20.0 20.0 19.8 20.0 4.8 3.5 -2.4 10.5 NZD -1.9 -19.6 -8.2 -1.5 0.2 1.7 -1.6 2.4 -3.0 0.0 -12.7 -5.8 -1.6 -13.6 -14.1 -0.2 0.4 0.0 0.2 -14.1 -11.3 -3.8 -8.4 -10.9 0.4 -4.6 0.4 -3.4 -1.3 -2.3 -3.7 4.2 0.8 -0.7 -10.4 -19.5 -2.4 -14.4 2.3 7.4 OAT 2.0 -3.4 3.3 -2.8 -1.5 -2.9 -2.1 -3.3 -2.4 -3.3 -5.9 -3.7 -8.3 -4.4 -5.3 4.7 8.2 5.7 6.9 -3.7 -4.5 -3.2 -8.3 -3.4 8.4 -2.0 -0.0 -2.0 -1.9 -3.6 -2.0 17.3 0.7 3.4 3.5 4.8 -20.0 -20.0 -0.3 5.3 OATIES -0.1 8.8 20.0 -0.4 0.4 -1.2 -3.9 -3.5 -2.8 -14.8 15.2 -1.4 -3.6 7.9 15.0 -19.5 -5.4 -17.9 -13.3 20.0 20.0 -3.7 15.8 14.6 -20.0 6.0 -5.0 5.6 -0.8 3.1 3.5 -20.0 -10.6 20.0 20.0 20.0 4.6 16.5 20.0 20.0 OJ 4.2 -5.5 9.2 -0.4 0.4 -1.2 -3.9 -3.5 -2.8 13.5 18.4 14.9 18.6 16.9 17.7 20.0 20.0 20.0 20.0 20.0 20.0 17.5 20.0 20.0 -20.0 6.9 1.9 7.8 3.4 8.8 5.5 20.0 20.0 20.0 20.0 20.0 7.5 5.8 20.0 17.7 PALLAD 0.5 3.9 -12.5 -2.0 -0.9 -0.5 -2.0 0.7 -2.3 10.6 -13.1 -1.2 -13.6 -5.7 -11.6 -2.2 -2.5 -2.6 -2.7 -9.0 -17.6 3.0 -20.0 -2.9 -1.5 -3.0 4.3 -4.8 1.6 -5.9 -1.0 2.3 15.7 -2.5 5.6 -14.1 -19.1 -4.3 6.5 -0.0 PLAT 5.7 -4.3 -17.0 -2.2 -0.9 -0.6 -2.1 0.8 -2.5 -8.7 -10.2 -9.0 -2.8 -6.1 -9.6 -3.6 -2.3 -3.3 -2.9 -7.9 -8.5 -10.3 -5.4 -8.1 14.0 -0.5 -0.8 -1.4 -0.8 -1.0 0.3 2.4 -7.0 12.4 7.9 -9.7 0.8 -17.2 16.9 -13.4 REDWHEAT -6.2 -20.0 -5.8 -0.3 0.3 -0.9 -2.9 -2.6 -2.1 0.6 -9.5 -6.3 -12.3 -13.0 -12.3 -4.3 1.5 -2.7 -0.2 -13.4 -10.5 -3.4 -7.6 -10.8 -13.4 -3.7 0.5 -2.7 -1.2 -1.5 -3.3 -5.1 13.6 -5.7 -15.5 -8.2 -20.0 -19.5 -14.1 -8.5 RICE -0.3 7.6 11.5 -0.4 0.4 -1.2 -3.7 -3.4 -2.7 -4.0 7.0 -5.4 3.1 0.5 11.4 -14.6 16.4 1.3 16.1 7.8 6.8 -6.6 3.3 1.3 -20.0 2.1 -1.2 2.4 -4.6 1.2 -1.6 20.0 -20.0 1.9 13.6 15.1 -5.6 -19.5 9.8 -10.4 ROBUSTA 2.2 -6.8 -2.5 -0.4 0.4 -1.2 -3.7 -3.4 -2.7 12.5 12.0 8.6 13.2 -0.9 -2.6 20.0 20.0 20.0 20.0 3.3 13.7 6.4 20.0 1.5 -16.7 1.3 9.2 7.2 3.4 11.4 0.3 20.0 14.3 5.2 3.3 9.2 -1.5 -14.8 16.9 -5.0 RUSSELL -9.3 -17.3 8.6 -2.3 4.2 0.4 0.3 2.5 -2.1 -9.6 0.3 -13.2 -1.4 -16.0 -1.8 -8.5 -5.8 -7.8 -7.0 -7.4 0.9 -10.8 0.1 -13.8 -3.0 -0.5 2.0 2.1 -0.0 2.4 -1.5 -0.9 4.4 0.6 0.6 20.0 -9.3 -11.0 -20.0 -15.1 SHATZ -3.6 6.2 -9.2 -2.4 -1.3 -2.4 -1.8 -2.8 -2.0 -6.7 -6.3 -7.1 -7.6 -5.4 -5.4 -20.0 -8.6 -20.0 -16.1 -4.6 -7.4 -7.5 -12.9 -5.1 10.9 -2.0 -4.5 -2.7 -4.1 -4.9 -2.6 -16.4 -4.1 -2.9 6.2 -1.8 -20.0 -20.0 -20.0 -20.0 SILVER-mini -1.1 -9.5 -7.6 -2.6 -1.1 -0.7 -2.5 0.9 -2.9 -14.8 0.2 -12.2 4.8 -9.8 -7.7 -6.7 -5.9 -6.9 -6.6 -6.4 -2.2 -18.3 1.2 -11.8 7.6 0.4 -7.8 1.3 -4.4 1.4 -1.2 -3.9 -18.0 10.6 6.6 4.7 -19.7 -20.0 -4.4 -20.0 SMI 4.9 -9.0 -11.0 -2.5 4.7 0.5 0.3 2.8 -2.3 10.4 1.8 7.3 5.8 -8.1 -12.0 -1.8 0.8 -2.5 -1.5 -7.4 -4.6 4.0 0.3 -3.3 6.0 -2.1 11.6 -1.7 3.4 -1.8 -0.4 9.6 2.1 1.8 17.5 -10.4 -8.7 -13.0 -19.1 -15.4 SOFR 3.7 -12.6 -15.4 -3.1 -1.7 -3.2 -2.3 -3.7 -2.6 -7.5 -7.3 -1.9 -4.7 -6.0 -7.9 -2.0 -1.0 -1.9 -1.5 -9.1 -8.8 -3.7 -7.4 -6.0 -1.7 -2.8 -0.5 -3.0 -0.4 -2.4 -1.3 1.9 5.8 4.1 -0.6 -5.9 -20.0 -20.0 -10.3 -4.2 SOYBEAN 3.2 0.7 17.6 -0.2 0.2 -0.8 -2.5 -2.2 -1.8 -3.6 6.2 -3.7 0.5 -0.5 6.9 0.7 18.2 7.6 12.9 4.7 4.4 -2.6 1.6 1.1 -20.0 2.1 -1.1 1.9 -1.0 0.8 0.4 20.0 2.2 7.4 -1.3 20.0 -13.0 4.7 -9.6 14.8 SOYMEAL 5.5 -0.9 -0.5 -0.3 0.3 -0.9 -2.7 -2.4 -1.9 -5.9 -3.8 -2.5 2.6 -0.2 -0.4 5.6 18.3 10.8 16.0 0.4 -0.1 -3.2 2.1 -0.7 -20.0 1.6 -1.8 2.2 -1.4 3.5 0.1 20.0 0.6 10.1 -1.4 11.2 -18.2 -19.4 -14.9 -18.0 SOYOIL -11.0 5.1 20.0 -0.3 0.3 -1.0 -3.0 -2.7 -2.2 -1.3 10.0 -6.6 0.1 -3.3 11.1 15.0 11.5 13.7 11.6 9.1 11.4 -3.9 5.6 -0.7 -20.0 3.0 2.1 3.6 -0.6 1.8 0.0 12.4 7.5 -3.6 4.5 20.0 1.2 6.5 20.0 20.0 SP400 -9.7 -19.7 9.8 -2.2 4.0 0.4 0.3 2.4 -2.0 -9.6 3.2 -13.1 6.9 -14.6 2.1 -6.0 -5.0 -6.1 -5.7 -6.0 3.1 -11.1 5.0 -13.2 -12.9 0.1 2.0 2.3 0.4 2.8 -0.8 0.9 3.2 2.2 0.3 20.0 -1.7 -12.4 -17.4 -17.9 SP500_micro -0.0 -20.0 11.1 -2.0 3.8 0.4 0.3 2.2 -1.9 4.7 12.2 7.6 10.7 -2.6 7.0 -11.8 -9.4 -12.2 -11.2 4.7 12.7 3.4 13.4 1.2 -18.0 2.4 3.9 6.1 2.2 6.8 1.0 -7.5 5.7 10.2 5.8 20.0 -5.5 -13.8 -18.2 -20.0 SUGAR11 20.0 5.6 -7.5 -0.4 0.4 -1.4 -4.4 -4.0 -3.2 17.5 16.8 19.7 17.0 19.4 14.7 -3.3 10.4 -1.5 3.5 20.0 20.0 20.0 20.0 20.0 -20.0 6.2 4.6 7.2 6.8 10.9 7.9 6.3 20.0 20.0 20.0 0.7 -20.0 -20.0 8.6 -1.8 US10 2.0 -12.3 -18.3 -2.7 -1.5 -2.7 -2.0 -3.2 -2.2 -7.4 -8.1 -4.5 -8.4 -7.2 -8.4 -10.2 -7.3 -9.6 -9.1 -10.3 -11.4 -4.0 -12.0 -6.7 1.1 -2.8 -0.4 -3.4 -0.4 -3.3 -1.3 -10.3 6.5 2.6 -2.1 -7.5 -20.0 -20.0 12.7 0.2 US10U 1.5 -14.1 -15.4 -3.5 -1.9 -3.6 -2.6 -4.2 -2.9 -9.8 -10.5 -7.1 -10.7 -9.9 -10.9 -0.1 -1.3 -1.9 -2.0 -13.6 -14.2 -5.7 -14.6 -9.5 -3.5 -3.8 -0.7 -4.2 -0.6 -3.8 -1.8 1.0 7.0 3.3 -5.1 -9.1 -20.0 -20.0 20.0 19.0 US2 7.0 -2.0 -20.0 -2.6 -1.4 -2.7 -2.0 -3.1 -2.2 -6.6 -9.0 -6.0 -8.8 -7.3 -8.9 -20.0 -20.0 -20.0 -20.0 -11.4 -16.0 -4.5 -19.1 -6.4 9.0 -2.8 -0.7 -4.2 -0.3 -5.3 -0.9 -20.0 6.7 1.0 0.9 -12.3 -20.0 -20.0 -20.0 -20.0 US20 1.2 -17.6 -15.0 -2.6 -1.4 -2.7 -2.0 -3.1 -2.2 -6.9 -7.5 -2.7 -7.1 -6.8 -7.5 -5.4 -2.0 -3.5 -2.7 -10.9 -11.1 -3.9 -10.9 -7.4 -3.3 -2.8 -0.4 -3.0 -0.4 -2.6 -1.4 0.0 6.5 2.6 -6.6 -6.1 -20.0 -20.0 20.0 20.0 US30 3.1 -15.2 -10.5 -3.0 -1.6 -3.1 -2.3 -3.6 -2.5 -8.6 -8.9 -3.3 -8.7 -7.5 -8.3 -7.3 -3.6 -6.8 -5.2 -11.2 -11.8 -4.7 -12.9 -7.6 -2.9 -3.0 -1.0 -3.4 -0.5 -3.0 -1.4 -3.3 7.1 4.4 -6.5 -4.8 -20.0 -20.0 20.0 20.0 US5 2.1 -10.2 -19.9 -2.8 -1.5 -2.9 -2.1 -3.4 -2.4 -7.1 -8.8 -5.3 -8.9 -7.6 -9.0 -16.4 -10.2 -14.5 -12.9 -10.5 -12.3 -4.3 -13.7 -6.8 3.9 -2.9 -0.5 -3.6 -0.4 -3.9 -1.3 -15.9 7.1 1.8 -0.4 -8.4 -20.0 -20.0 -0.5 -16.8 VIX -9.9 13.5 -17.0 -7.1 -6.2 -9.5 -6.9 -10.9 -6.5 -19.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 NaN -8.3 -6.7 -11.0 -8.0 -13.1 -7.9 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -15.0 -20.0 2.4 -0.2 0.2 -0.6 -1.9 -1.7 -1.4 -5.4 -7.6 -7.7 -8.7 -8.9 -8.4 -12.6 -9.8 -11.7 -11.0 -10.4 -8.9 -6.8 -8.8 -10.4 -3.3 -2.5 -1.1 -2.0 -2.3 -1.9 -3.1 -20.0 0.5 -9.2 -10.6 -1.1 -20.0 -13.6 -17.2 -8.8 End of report for caleb_strategy_v3