******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230915_204330 produced at 2023-09-15 21:39:15.313824 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.43 0.0 0.00 0.00 0.00 0.00 -17.81 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.33 0.0 0.00 0.00 0.00 0.00 -4.89 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 -51.23 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 -6.77 24.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.42 -0.20 0.0 0.61 -0.61 -0.42 -0.42 -4.31 13.0 -9 -9 caleb_strategy_v3 GOLD_micro False False 0.01 -0.27 -0.19 0.0 0.36 -0.36 -0.27 -0.22 -29.24 56.0 -42 -35 caleb_strategy_v3 US5 False False 0.04 -0.21 -0.12 0.0 0.88 -0.88 -0.21 -0.21 -3.53 25.0 -6 -6 caleb_strategy_v3 CAD False False 0.02 0.00 -0.11 0.0 0.72 -0.72 0.00 0.00 -4.60 29.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.11 -0.10 0.0 0.48 -0.48 -0.11 -0.14 -3.59 17.0 -4 -5 caleb_strategy_v3 EUR False False 0.04 -0.31 -0.08 0.0 0.62 -0.62 -0.31 -0.31 -1.77 14.0 -7 -7 caleb_strategy_v3 US10 False False 0.04 0.00 -0.07 0.0 0.62 -0.62 0.00 0.00 -1.79 17.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.41 -0.07 0.0 0.78 -0.78 -0.41 -0.58 -1.62 19.0 -10 -14 caleb_strategy_v3 BITCOIN False False 0.00 -0.04 -0.06 0.0 0.05 -0.05 -0.04 -0.04 -71.33 59.0 -43 -43 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.06 0.0 0.06 -0.06 -0.05 -0.05 -25.67 26.0 -22 -22 caleb_strategy_v3 AUD False False 0.02 0.00 -0.06 0.0 0.41 -0.41 0.00 0.00 -2.59 19.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.06 0.0 0.17 -0.17 0.00 0.00 -0.65 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.05 0.0 0.21 -0.21 0.00 -0.00 -14.97 68.0 0 -1 caleb_strategy_v3 NZD False False 0.02 0.00 -0.05 0.0 0.41 -0.41 0.00 0.00 -2.57 21.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.09 -0.05 0.0 0.19 -0.19 -0.09 -0.06 -1.66 6.0 -3 -2 caleb_strategy_v3 US10U False False 0.04 -0.11 -0.04 0.0 0.49 -0.49 -0.11 -0.15 -1.07 13.0 -3 -4 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.04 0.0 0.36 -0.36 0.00 0.00 -4.73 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 -8.78 3.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.02 -0.03 0.0 0.10 -0.10 -0.02 -0.01 -3.10 12.0 -2 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.03 0.0 0.24 -0.24 0.00 0.00 -2.48 23.0 0 0 caleb_strategy_v3 GBP False False 0.03 -0.03 -0.03 0.0 0.57 -0.57 -0.03 -0.03 -1.22 22.0 -1 -1 caleb_strategy_v3 US20 False False 0.04 -0.08 -0.03 0.0 0.36 -0.36 -0.08 -0.12 -0.67 9.0 -2 -3 caleb_strategy_v3 US30 False False 0.04 0.00 -0.02 0.0 0.25 -0.25 0.00 -0.08 -0.46 6.0 0 -2 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -1.02 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 -1.69 8.0 -3 -3 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.02 0.0 0.08 -0.08 0.00 0.00 -0.59 2.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.02 0.0 0.06 -0.06 0.00 0.00 -1.67 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 -1.86 9.0 -3 -3 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.02 0.0 0.38 -0.38 -0.01 -0.01 -4.25 66.0 -1 -1 caleb_strategy_v3 BTP False False 0.04 0.00 -0.02 0.0 0.40 -0.40 0.00 0.00 -0.49 10.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.02 0.0 0.19 -0.19 0.00 0.00 -5.15 51.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 -0.02 -0.02 0.0 0.12 -0.12 -0.02 -0.02 -0.97 6.0 -1 -1 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.46 -0.46 0.00 0.00 -0.18 10.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.18 -0.01 0.0 0.18 -0.18 -0.18 -0.18 -0.19 4.0 -4 -4 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -0.49 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.04 0.00 0.0 0.15 -0.15 0.04 0.04 0.05 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 -0.03 11.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.03 0.00 0.0 0.16 -0.16 -0.03 -0.02 0.12 10.0 -2 -1 caleb_strategy_v3 RICE False False 0.01 0.00 -0.00 0.0 0.04 -0.04 0.00 0.00 -0.31 4.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.58 2.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.20 -0.20 0.03 0.03 1.51 23.0 4 4 caleb_strategy_v3 SMI False False 0.04 -0.08 0.01 0.0 0.38 -0.38 -0.08 0.13 0.32 9.0 -2 3 caleb_strategy_v3 OAT False False 0.04 0.31 0.01 0.0 0.44 -0.44 0.31 0.35 0.13 10.0 7 8 caleb_strategy_v3 SOYOIL False False 0.01 0.00 0.01 0.0 0.12 -0.12 0.00 0.00 0.50 10.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 0.02 0.0 0.18 -0.18 0.01 0.00 1.77 18.0 1 0 caleb_strategy_v3 COCOA False False 0.01 0.05 0.03 0.0 0.32 -0.32 0.05 0.04 2.73 26.0 4 3 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.05 -0.05 0.00 0.00 2.48 3.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.09 0.04 0.0 0.31 -0.31 0.09 0.06 2.52 20.0 6 4 caleb_strategy_v3 CAC False False 0.03 0.16 0.05 0.0 0.31 -0.31 0.16 0.18 1.84 12.0 6 7 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.05 0.0 0.13 -0.13 0.00 0.00 1.11 3.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.06 0.0 0.33 -0.33 0.00 0.00 10.45 58.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.14 0.07 0.0 0.14 -0.14 0.14 0.14 2.06 4.0 4 4 caleb_strategy_v3 LEANHOG False False 0.01 0.08 0.07 0.0 0.13 -0.13 0.08 0.07 7.19 13.0 8 7 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.08 0.0 0.43 -0.43 0.03 0.03 3.23 17.0 1 1 caleb_strategy_v3 GASOIL False False 0.03 0.09 0.08 0.0 0.12 -0.12 0.09 0.06 2.60 4.0 3 2 caleb_strategy_v3 DX False False 0.03 0.00 0.11 0.0 34991963.01 -34991963.01 0.00 0.00 3.26 999999999.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.52 0.11 0.0 0.86 -0.86 0.52 0.17 1.26 10.0 6 2 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.49 0.11 0.0 0.53 -0.53 0.49 0.49 3.28 16.0 15 15 caleb_strategy_v3 FEEDCOW False False 0.04 0.22 0.14 0.0 0.36 -0.36 0.22 0.27 3.03 8.0 5 6 caleb_strategy_v3 CRUDE_W False False 0.03 0.15 0.22 0.0 0.15 -0.15 0.15 0.15 7.41 5.0 5 5 caleb_strategy_v3 MXP False False 0.01 0.49 0.28 0.0 0.59 -0.59 0.49 0.40 28.99 60.0 50 41 caleb_strategy_v3 NIKKEI False False 0.01 0.26 0.34 0.0 0.27 -0.27 0.26 0.27 45.62 36.0 35 36 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.4 Shocked risk 64.6 Sum abs risk 62.9 Leverage 6.04 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3000117.48, 'annual_cash_vol_target': 750029.37, 'daily_cash_vol_target': 46876.835625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6454 0.6380 10.2087 BITCOIN 744.1990 26455.0000 2.8131 45.0092 BOBL 0.2692 116.2200 0.2316 3.7058 BTP 0.6700 112.4800 0.5956 9.5302 BUND 0.5701 130.2900 0.4376 7.0016 BUXL 1.3276 127.5600 1.0407 16.6517 CAC 52.6770 7388.0000 0.7130 11.4081 CAD 0.0027 0.7406 0.3708 5.9333 CANOLA 7.5710 771.6000 0.9812 15.6992 CHF 0.0045 1.1252 0.4009 6.4141 COCOA 37.3251 3747.0000 0.9961 15.9381 COFFEE 2.6549 159.2500 1.6671 26.6738 COPPER 0.0401 3.7940 1.0564 16.9029 CORN 7.1108 507.5000 1.4011 22.4182 COTTON2 1.2179 86.7000 1.4047 22.4758 CRUDE_W 0.9793 89.1600 1.0983 17.5732 DAX 103.8628 16026.0000 0.6481 10.3694 DOW 203.4286 34962.0000 0.5819 9.3097 DX 0.3774 104.9800 0.3595 5.7518 EUR 0.0051 1.0705 0.4771 7.6333 EURIBOR-ICE 0.0538 97.0000 0.0555 0.8882 EUROSTX 36.1016 4315.0000 0.8367 13.3864 FEEDCOW 1.4724 268.3500 0.5487 8.7792 GASOIL 13.4719 916.0000 1.4707 23.5317 GASOLINE 0.0327 2.5672 1.2748 20.3974 GAS_US_mini 0.0814 2.9350 2.7738 44.3807 GBP 0.0063 1.2384 0.5125 8.2007 GOLD_micro 9.5657 1927.7000 0.4962 7.9396 HEATOIL 0.0428 3.1748 1.3488 21.5816 JGB-SGX-mini 0.2172 145.5400 0.1492 2.3875 JPY 0.0000 0.0068 0.5899 9.4389 LEANHOG 1.1570 75.1250 1.5400 24.6407 LIVECOW 1.1118 191.8250 0.5796 9.2734 LUMBER-new 8.2393 499.5000 1.6495 26.3922 MILK 0.2456 18.3200 1.3404 21.4467 MXP 0.0004 0.0586 0.7537 12.0586 NASDAQ_micro 147.6120 15372.0000 0.9603 15.3643 NIKKEI 279.4591 33060.0000 0.8453 13.5249 NZD 0.0037 0.5896 0.6319 10.1110 OAT 0.5975 124.9300 0.4783 7.6524 OATIES 7.3330 489.0000 1.4996 23.9936 OJ 4.9181 330.2000 1.4894 23.8308 PALLAD 19.6754 1253.5000 1.5696 25.1142 PLAT 13.2887 933.0000 1.4243 22.7888 REDWHEAT 12.4222 749.7500 1.6568 26.5095 RICE 0.1773 16.4250 1.0797 17.2759 ROBUSTA 32.4608 2558.0000 1.2690 20.3039 RUSSELL 16.5587 1865.1000 0.8878 14.2051 SHATZ 0.0830 104.9850 0.0791 1.2649 SILVER-mini 0.3465 23.5000 1.4747 23.5946 SMI 70.4777 11244.0000 0.6268 10.0288 SOFR 0.0629 96.2100 0.0653 1.0456 SOYBEAN 14.5297 1281.0000 1.1342 18.1480 SOYMEAL 5.1951 389.0000 1.3355 21.3678 SOYOIL 0.7921 61.3700 1.2907 20.6511 SP400 20.0849 2592.8000 0.7746 12.3943 SP500_micro 30.6853 4501.5000 0.6817 10.9067 SUGAR11 0.3210 27.0300 1.1874 18.9986 US10 0.3727 109.5156 0.3403 5.4448 US10U 0.5237 113.8750 0.4599 7.3578 US2 0.0968 101.4961 0.0954 1.5260 US20 0.7426 118.5625 0.6264 10.0219 US30 1.1317 124.9375 0.9058 14.4930 US5 0.2403 105.9609 0.2268 3.6283 VIX 0.4518 16.4500 2.7463 43.9411 WHEAT 11.5177 676.0000 1.7038 27.2609 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 645.35 0.64 411.76 1.00 411.76 46876.84 113.84 -8.77 -99.89 BITCOIN 26.46 2.81 74.42 1.00 74.42 46876.84 629.90 -10.46 -658.68 BOBL 1162.20 0.23 269.18 1.07 289.29 46876.84 162.04 -9.86 -159.79 BTP 1124.80 0.60 669.97 1.07 720.02 46876.84 65.10 -2.20 -14.30 BUND 1302.90 0.44 570.15 1.07 612.74 46876.84 76.50 -2.36 -18.07 BUXL 1275.60 1.04 1327.56 1.07 1426.72 46876.84 32.86 -5.63 -18.50 CAC 738.80 0.71 526.77 1.07 566.12 46876.84 82.80 6.52 53.97 CAD 740.60 0.37 274.64 1.00 274.64 46876.84 170.69 -10.39 -177.30 CANOLA 154.32 0.98 151.42 0.74 111.87 46876.84 419.02 -5.05 -211.49 CHF 1406.50 0.40 563.84 1.00 563.84 46876.84 83.14 -20.00 -166.28 COCOA 374.70 1.00 373.25 1.00 373.25 46876.84 125.59 10.17 127.69 COFFEE 597.19 1.67 995.58 1.00 995.58 46876.84 47.09 -17.56 -82.70 COPPER 948.50 1.06 1002.02 1.00 1002.02 46876.84 46.78 -3.28 -15.35 CORN 253.75 1.40 355.54 1.00 355.54 46876.84 131.85 -9.65 -127.26 COTTON2 433.50 1.40 608.95 1.00 608.95 46876.84 76.98 -0.16 -1.26 CRUDE_W 891.60 1.10 979.27 1.00 979.27 46876.84 47.87 14.29 68.40 DAX 160.26 0.65 103.86 1.07 111.62 46876.84 419.96 7.30 306.43 DOW 174.81 0.58 101.71 1.00 101.71 46876.84 460.87 -3.97 -183.00 DX 1049.80 0.36 377.39 1.00 377.39 46876.84 124.21 10.13 125.78 EUR 1338.12 0.48 638.39 1.00 638.39 46876.84 73.43 -9.31 -68.33 EURIBOR-ICE 2425.00 0.06 134.62 1.07 144.68 46876.84 324.01 1.14 36.97 EUROSTX 431.50 0.84 361.02 1.07 387.98 46876.84 120.82 6.11 73.87 FEEDCOW 1341.75 0.55 736.22 1.00 736.22 46876.84 63.67 14.35 91.39 GASOIL 916.00 1.47 1347.19 1.00 1347.19 46876.84 34.80 17.26 60.05 GASOLINE 1078.22 1.27 1374.56 1.00 1374.56 46876.84 34.10 13.91 47.43 GAS_US_mini 73.38 2.77 203.53 1.00 203.53 46876.84 230.32 -10.29 -237.06 GBP 774.00 0.51 396.71 1.00 396.71 46876.84 118.16 -3.99 -47.12 GOLD_micro 192.77 0.50 95.66 1.00 95.66 46876.84 490.05 -17.49 -857.11 HEATOIL 1333.42 1.35 1798.58 1.00 1798.58 46876.84 26.06 9.85 25.68 JGB-SGX-mini 145540.00 0.15 21716.97 0.01 147.64 46876.84 317.50 0.95 30.30 JPY 845.44 0.59 498.75 1.00 498.75 46876.84 93.99 -14.72 -138.37 LEANHOG 300.50 1.54 462.78 1.00 462.78 46876.84 101.29 11.68 118.31 LIVECOW 767.30 0.58 444.72 1.00 444.72 46876.84 105.41 9.26 97.58 LUMBER-new 137.36 1.65 226.58 1.00 226.58 46876.84 206.89 -20.00 -413.77 MILK 366.40 1.34 491.13 1.00 491.13 46876.84 95.45 -8.17 -77.98 MXP 292.90 0.75 220.75 1.00 220.75 46876.84 212.35 9.30 197.51 NASDAQ_micro 307.44 0.96 295.22 1.00 295.22 46876.84 158.78 -6.73 -106.84 NIKKEI 33060.00 0.85 27945.91 0.01 189.99 46876.84 246.73 17.07 421.26 NZD 589.65 0.63 372.62 1.00 372.62 46876.84 125.80 -7.86 -98.90 OAT 1249.30 0.48 597.51 1.07 642.14 46876.84 73.00 0.51 3.72 OATIES 244.50 1.50 366.65 1.00 366.65 46876.84 127.85 1.87 23.88 OJ 495.30 1.49 737.71 1.00 737.71 46876.84 63.54 18.25 115.99 PALLAD 1253.50 1.57 1967.54 1.00 1967.54 46876.84 23.83 -7.21 -17.17 PLAT 466.50 1.42 664.43 1.00 664.43 46876.84 70.55 0.49 3.48 REDWHEAT 374.88 1.66 621.11 1.00 621.11 46876.84 75.47 -16.93 -127.75 RICE 328.50 1.08 354.70 1.00 354.70 46876.84 132.16 -0.96 -12.65 ROBUSTA 255.80 1.27 324.61 1.00 324.61 46876.84 144.41 8.94 129.10 RUSSELL 93.26 0.89 82.79 1.00 82.79 46876.84 566.19 -7.98 -451.83 SHATZ 1049.85 0.08 83.00 1.07 89.20 46876.84 525.54 -12.69 -667.08 SILVER-mini 587.50 1.47 866.37 1.00 866.37 46876.84 54.11 -5.51 -29.83 SMI 1124.40 0.63 704.78 1.12 790.34 46876.84 59.31 1.60 9.52 SOFR 2405.25 0.07 157.18 1.00 157.18 46876.84 298.24 -9.83 -293.06 SOYBEAN 640.50 1.13 726.49 1.00 726.49 46876.84 64.53 0.89 5.72 SOYMEAL 389.00 1.34 519.51 1.00 519.51 46876.84 90.23 -5.81 -52.39 SOYOIL 368.22 1.29 475.26 1.00 475.26 46876.84 98.63 5.44 53.69 SP400 2592.80 0.77 2008.49 1.00 2008.49 46876.84 23.34 -8.43 -19.69 SP500_micro 225.08 0.68 153.43 1.00 153.43 46876.84 305.53 -6.66 -203.36 SUGAR11 302.74 1.19 359.47 1.00 359.47 46876.84 130.40 6.37 83.00 US10 1095.16 0.34 372.68 1.00 372.68 46876.84 125.78 -11.20 -140.87 US10U 1138.75 0.46 523.67 1.00 523.67 46876.84 89.52 -9.42 -84.34 US2 2029.92 0.10 193.60 1.00 193.60 46876.84 242.13 -15.93 -385.68 US20 1185.62 0.63 742.64 1.00 742.64 46876.84 63.12 -8.34 -52.66 US30 1249.38 0.91 1131.70 1.00 1131.70 46876.84 41.42 -8.84 -36.60 US5 1059.61 0.23 240.28 1.00 240.28 46876.84 195.09 -14.28 -278.63 VIX 164.50 2.75 451.77 1.00 451.77 46876.84 103.76 -20.00 -207.53 WHEAT 338.00 1.70 575.89 1.00 575.89 46876.84 81.40 -17.26 -140.54 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -99.893 0.010 2.5 -2.592 BITCOIN -658.680 0.043 2.5 -71.332 BOBL -159.787 0.004 2.5 -1.620 BTP -14.295 0.014 2.5 -0.488 BUND -18.070 0.004 2.5 -0.183 BUXL -18.497 0.004 2.5 -0.188 CAC 53.973 0.014 2.5 1.841 CAD -177.300 0.010 2.5 -4.601 CANOLA -211.488 0.010 2.5 -5.146 CHF -166.278 0.010 2.5 -4.315 COCOA 127.687 0.009 2.5 2.735 COFFEE -82.701 0.005 2.5 -0.966 COPPER -15.349 0.043 2.5 -1.662 CORN -127.260 0.010 2.5 -3.096 COTTON2 -1.258 0.009 2.5 -0.027 CRUDE_W 68.404 0.043 2.5 7.408 DAX 306.433 0.014 2.5 10.453 DOW -183.005 0.009 2.5 -4.253 DX 125.776 0.010 2.5 3.264 EUR -68.334 0.010 2.5 -1.773 EURIBOR-ICE 36.975 0.014 2.5 1.261 EUROSTX 73.870 0.014 2.5 2.520 FEEDCOW 91.386 0.013 2.5 3.029 GASOIL 60.052 0.017 2.5 2.603 GASOLINE 47.426 0.017 2.5 2.056 GAS_US_mini -237.064 0.043 2.5 -25.673 GBP -47.124 0.010 2.5 -1.223 GOLD_micro -857.110 0.014 2.5 -29.237 HEATOIL 25.680 0.017 2.5 1.113 JGB-SGX-mini 30.302 0.043 2.5 3.282 JPY -138.370 0.010 2.5 -3.590 LEANHOG 118.315 0.024 2.5 7.191 LIVECOW 97.579 0.013 2.5 3.234 LUMBER-new -413.775 0.008 2.5 -8.776 MILK -77.977 0.009 2.5 -1.670 MXP 197.506 0.059 2.5 28.991 NASDAQ_micro -106.843 0.009 2.5 -2.483 NIKKEI 421.261 0.043 2.5 45.621 NZD -98.900 0.010 2.5 -2.566 OAT 3.721 0.014 2.5 0.127 OATIES 23.880 0.010 2.5 0.581 OJ 115.994 0.009 2.5 2.484 PALLAD -17.172 0.014 2.5 -0.586 PLAT 3.478 0.014 2.5 0.119 REDWHEAT -127.750 0.005 2.5 -1.695 RICE -12.649 0.010 2.5 -0.308 ROBUSTA 129.096 0.005 2.5 1.508 RUSSELL -451.827 0.013 2.5 -14.973 SHATZ -667.081 0.004 2.5 -6.765 SILVER-mini -29.829 0.014 2.5 -1.018 SMI 9.516 0.014 2.5 0.325 SOFR -293.062 0.024 2.5 -17.812 SOYBEAN 5.720 0.004 2.5 0.053 SOYMEAL -52.391 0.004 2.5 -0.487 SOYOIL 53.694 0.004 2.5 0.500 SP400 -19.686 0.013 2.5 -0.652 SP500_micro -203.362 0.009 2.5 -4.727 SUGAR11 83.003 0.009 2.5 1.765 US10 -140.867 0.005 2.5 -1.785 US10U -84.341 0.005 2.5 -1.069 US2 -385.682 0.005 2.5 -4.888 US20 -52.660 0.005 2.5 -0.667 US30 -36.603 0.005 2.5 -0.464 US5 -278.633 0.005 2.5 -3.531 VIX -207.526 0.099 2.5 -51.230 WHEAT -140.535 0.005 2.5 -1.864 ===================== Position diags ===================== AUD 2.95 BITCOIN 68.21 BOBL 1.64 BTP 2.22 BUND 0.78 BUXL 0.33 CAC 2.82 CAD 4.43 CANOLA 10.19 CHF 2.16 COCOA 2.69 COFFEE 0.55 COPPER 5.07 CORN 3.21 COTTON2 1.65 CRUDE_W 5.18 DAX 14.33 DOW 10.71 DX 3.22 EUR 1.91 EURIBOR-ICE 11.05 EUROSTX 4.12 FEEDCOW 2.11 GASOIL 1.51 GASOLINE 1.48 GAS_US_mini 24.94 GBP 3.07 GOLD_micro 16.72 HEATOIL 1.13 JGB-SGX-mini 34.38 JPY 2.44 LEANHOG 6.16 LIVECOW 3.49 LUMBER-new 4.39 MILK 2.04 MXP 31.17 NASDAQ_micro 3.69 NIKKEI 26.72 NZD 3.26 OAT 2.49 OATIES 3.11 OJ 1.36 PALLAD 0.81 PLAT 2.41 REDWHEAT 1.00 RICE 3.22 ROBUSTA 1.69 RUSSELL 18.76 SHATZ 5.33 SILVER-mini 1.85 SMI 2.02 SOFR 18.13 SOYBEAN 0.60 SOYMEAL 0.84 SOYOIL 0.92 SP400 0.77 SP500_micro 7.10 SUGAR11 2.77 US10 1.59 US10U 1.13 US2 3.07 US20 0.80 US30 0.52 US5 2.47 VIX 25.61 WHEAT 1.08 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 -71.3 -78.2 -64.5 -43.0 -43 BOBL -1.6 -1.8 -1.5 -10.0 -10 BTP -0.5 -0.7 -0.3 0.0 0 BUND -0.2 -0.3 -0.1 0.0 0 BUXL -0.2 -0.2 -0.2 -4.0 -4 CAC 1.8 1.6 2.1 6.0 6 CAD -4.6 -5.0 -4.2 0.0 0 CANOLA -5.1 -6.2 -4.1 NaN 0 CHF -4.3 -4.5 -4.1 -9.0 -9 COCOA 2.7 2.5 3.0 4.0 4 COFFEE -1.0 -1.0 -0.9 -1.0 -1 COPPER -1.7 -2.2 -1.2 -3.0 -3 CORN -3.1 -3.4 -2.8 -2.0 -2 COTTON2 -0.0 -0.2 0.1 0.0 0 CRUDE_W 7.4 6.9 7.9 5.0 5 DAX 10.5 9.0 11.9 0.0 0 DOW -4.3 -5.3 -3.2 -1.0 -1 DX 3.3 2.9 3.6 NaN 0 EUR -1.8 -2.0 -1.6 -7.0 -7 EURIBOR-ICE 1.3 0.2 2.4 6.0 6 EUROSTX 2.5 2.1 2.9 6.0 6 FEEDCOW 3.0 2.8 3.2 5.0 5 GASOIL 2.6 2.5 2.8 3.0 3 GASOLINE 2.1 1.9 2.2 4.0 4 GAS_US_mini -25.7 -28.2 -23.2 -22.0 -22 GBP -1.2 -1.5 -0.9 -1.0 -1 GOLD_micro -29.2 -30.9 -27.6 -42.0 -42 HEATOIL 1.1 1.0 1.2 0.0 0 JGB-SGX-mini 3.3 -0.2 6.7 15.0 15 JPY -3.6 -3.8 -3.3 -4.0 -4 LEANHOG 7.2 6.6 7.8 8.0 8 LIVECOW 3.2 2.9 3.6 1.0 1 LUMBER-new -8.8 -9.2 -8.3 NaN 0 MILK -1.7 -1.9 -1.5 NaN 0 MXP 29.0 25.9 32.1 50.0 50 NASDAQ_micro -2.5 -2.9 -2.1 0.0 0 NIKKEI 45.6 42.9 48.3 35.0 35 NZD -2.6 -2.9 -2.2 0.0 0 OAT 0.1 -0.1 0.4 7.0 7 OATIES 0.6 0.3 0.9 NaN 0 OJ 2.5 2.3 2.6 NaN 0 PALLAD -0.6 -0.7 -0.5 NaN 0 PLAT 0.1 -0.1 0.4 -2.0 -2 REDWHEAT -1.7 -1.8 -1.6 -3.0 -3 RICE -0.3 -0.6 0.0 NaN 0 ROBUSTA 1.5 1.3 1.7 4.0 4 RUSSELL -15.0 -16.8 -13.1 0.0 0 SHATZ -6.8 -7.3 -6.2 NaN 0 SILVER-mini -1.0 -1.2 -0.8 NaN 0 SMI 0.3 0.1 0.5 -2.0 -2 SOFR -17.8 -19.6 -16.0 NaN 0 SOYBEAN 0.1 -0.0 0.1 2.0 2 SOYMEAL -0.5 -0.6 -0.4 0.0 0 SOYOIL 0.5 0.4 0.6 0.0 0 SP400 -0.7 -0.7 -0.6 0.0 0 SP500_micro -4.7 -5.4 -4.0 0.0 0 SUGAR11 1.8 1.5 2.0 1.0 1 US10 -1.8 -1.9 -1.6 NaN 0 US10U -1.1 -1.2 -1.0 -3.0 -3 US2 -4.9 -5.2 -4.6 NaN 0 US20 -0.7 -0.7 -0.6 -2.0 -2 US30 -0.5 -0.5 -0.4 0.0 0 US5 -3.5 -3.8 -3.3 -6.0 -6 VIX -51.2 -53.8 -48.7 -16.0 -16 WHEAT -1.9 -2.0 -1.8 -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 6.2 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 0.1 0.1 -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 0.1 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 0.3 -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 -0.1 -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 -0.1 -0.0 -0.1 -0.0 -0.9 -0.0 0.0 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 -0.1 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 -0.0 0.0 -0.0 -0.0 -0.0 0.9 -0.0 0.0 0.1 0.4 -0.4 -0.7 0.1 0.3 BUND 0.0 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.3 -0.1 -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 0.8 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 -0.1 -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 0.6 CAC 0.0 -0.3 -0.3 -0.0 0.0 0.0 0.0 0.1 -0.0 0.2 0.3 0.0 0.7 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 0.0 0.1 0.5 -0.0 -0.7 -0.0 0.1 0.1 0.1 0.3 -0.0 0.3 0.4 0.0 0.4 -0.1 0.7 0.0 0.7 0.2 CAD -0.0 -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 0.1 -0.2 -0.1 0.2 -0.1 0.1 -0.1 0.0 -0.1 -0.0 0.0 0.5 0.1 -0.4 -0.5 -0.7 -0.7 -0.7 -0.6 CANOLA -0.6 -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 0.0 0.1 -0.2 0.0 -0.1 -2.7 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.4 -0.5 -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 -0.4 -0.2 -0.7 -0.7 -0.7 -0.7 COCOA 0.5 -0.0 0.5 -0.0 0.0 -0.0 -0.0 -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 0.3 -0.2 -0.6 -0.0 0.0 -0.0 -0.0 -0.2 -0.0 0.2 -0.4 0.1 -0.5 -0.1 -0.2 -0.1 0.0 -0.0 0.0 -0.2 -0.2 0.1 -0.5 -0.0 -2.7 -0.1 0.1 -0.1 0.0 -0.1 -0.0 -0.2 0.5 0.2 -0.3 -0.6 -0.7 -0.7 -0.6 -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 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.8 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.0 0.2 0.4 0.2 0.2 -0.7 0.5 -0.6 CORN -0.0 -0.6 -0.4 -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 0.0 -0.1 -0.3 0.1 -0.1 0.1 0.0 0.4 COTTON2 0.0 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 0.0 -2.7 0.1 -0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.5 0.5 0.4 -0.6 -0.5 0.4 0.4 CRUDE_W 0.6 0.6 0.6 0.1 0.0 0.2 0.1 0.1 0.1 0.2 0.5 0.2 -0.0 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 0.4 -0.4 -0.1 0.7 0.4 0.7 0.3 DAX 0.0 -0.4 -0.3 -0.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.1 -0.0 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 0.1 -0.1 0.1 -0.3 0.7 0.0 0.7 0.3 DOW -0.1 -0.4 0.2 -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 -0.0 -1.4 0.0 0.0 0.1 0.0 0.2 0.0 -0.3 0.2 -0.1 0.4 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 0.3 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 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 1.8 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.4 -0.3 -0.6 -0.5 -0.4 -0.2 -0.7 -0.0 -0.0 EURIBOR-ICE 0.1 0.1 0.1 -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 0.2 0.3 0.1 -0.7 -0.7 0.7 0.4 EUROSTX -0.1 -0.4 -0.3 -0.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.2 -0.0 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 0.2 -0.2 0.7 0.1 0.7 0.4 FEEDCOW 0.5 0.1 0.5 -0.0 0.0 -0.0 -0.0 -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 -0.1 0.6 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.4 0.2 0.1 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 1.6 0.1 0.0 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 0.2 0.6 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.5 0.2 0.2 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 0.1 0.3 0.1 1.1 -0.2 -0.5 -0.6 0.3 0.7 0.4 0.7 0.2 GAS_US_mini -0.3 0.2 0.5 0.1 0.0 0.1 0.1 0.1 0.1 -0.2 -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 -0.4 -0.5 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.0 -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 -0.1 -1.5 -0.0 0.0 -0.1 0.0 0.1 -0.0 -1.0 -0.1 0.5 0.1 -0.5 -0.7 -0.7 -0.4 -0.7 HEATOIL -0.1 0.6 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.1 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 0.0 0.2 0.1 0.2 0.1 0.2 -0.2 -0.4 0.5 0.6 0.2 -0.0 0.0 -0.1 JGB-SGX-mini 0.0 -0.5 -0.5 -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 0.3 0.3 JPY -0.1 -0.5 -0.5 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.4 -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 -0.2 -0.3 -0.4 -0.6 -0.2 -0.7 -0.1 -0.7 LEANHOG 0.2 0.0 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 0.0 -0.3 0.0 2.0 -0.0 -0.0 -0.2 0.0 -0.4 0.0 1.1 0.3 0.3 -0.0 -0.1 -0.4 -0.0 0.6 0.7 LIVECOW 0.3 -0.2 0.5 -0.0 0.0 -0.0 -0.0 -0.2 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 -0.4 0.0 -0.3 -0.0 0.2 0.2 0.2 0.5 0.2 0.4 0.1 0.1 0.3 0.1 0.5 0.1 -0.1 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.7 LUMBER-new -0.3 -0.4 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -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 -0.2 -0.0 -0.1 -0.1 -1.2 0.2 -0.7 -0.8 -0.4 -0.7 -0.8 -0.3 -0.8 MILK 0.4 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 0.0 0.3 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 0.2 0.1 0.3 0.5 0.7 0.2 0.7 0.7 NASDAQ_micro 0.1 -0.6 0.2 -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 -0.4 0.2 -0.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.4 0.2 0.6 0.1 0.1 0.2 0.3 0.3 0.3 0.1 0.2 0.1 0.5 0.1 -1.1 0.1 0.1 0.3 0.1 0.4 0.1 1.1 0.5 0.6 0.6 0.6 0.2 0.1 -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 -0.4 -0.1 -0.1 -0.2 -0.2 -0.0 0.0 0.0 0.0 -0.2 -0.1 -0.0 -0.2 -0.1 0.1 -0.1 -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 0.0 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.1 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 -0.1 0.3 0.6 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.4 -0.1 -0.1 0.1 0.2 -0.4 -0.1 -0.4 -0.3 0.2 0.2 -0.1 0.4 0.1 -2.7 0.1 -0.1 0.1 -0.0 0.1 0.0 -1.1 -0.3 0.6 0.6 0.6 0.2 0.5 0.7 0.7 OJ 0.2 0.1 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 0.2 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 -0.1 -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 0.3 -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 0.0 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 1.9 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.4 0.3 -0.3 0.0 -0.6 0.5 -0.5 REDWHEAT -0.2 -0.6 -0.2 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.3 -0.0 -0.5 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -1.9 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.2 0.4 -0.2 -0.5 -0.3 -0.7 -0.6 -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 -0.0 0.1 0.0 0.1 -0.3 0.3 0.0 0.3 0.1 0.1 -0.0 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 -0.2 -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 0.1 -2.3 0.0 0.1 0.2 0.1 0.4 0.0 1.1 0.5 0.5 0.2 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 -0.2 -0.1 -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 -0.1 -0.1 -0.0 0.0 0.6 -0.3 -0.4 -0.7 -0.5 SHATZ -0.2 0.2 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.1 -0.1 -0.1 -0.3 -0.1 1.5 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.9 -0.2 -0.1 0.2 -0.1 -0.7 -0.7 -0.7 -0.7 SILVER-mini -0.1 -0.3 -0.3 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 1.0 0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.2 -0.3 0.3 0.2 0.2 -0.6 -0.7 -0.2 -0.7 SMI 0.2 -0.3 -0.3 -0.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.1 0.1 0.2 -0.1 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 0.0 0.0 0.8 -0.0 0.2 -0.0 0.1 -0.1 0.0 0.5 0.5 0.2 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 0.2 -0.0 -0.2 -0.7 -0.7 -0.3 -0.1 SOYBEAN 0.0 0.0 0.6 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 0.0 -0.0 0.1 0.0 0.4 0.2 0.3 0.0 0.0 -0.0 0.0 -0.0 -2.7 0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 -0.1 0.1 -0.1 0.6 -0.4 0.1 -0.3 0.5 SOYMEAL 0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.1 -0.0 -0.0 0.1 0.4 0.2 0.3 -0.0 -0.0 -0.1 0.1 -0.0 -2.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 1.1 -0.0 0.2 -0.1 0.4 -0.6 -0.6 -0.5 -0.6 SOYOIL -0.3 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 0.1 -0.2 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 -0.2 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 0.1 -0.1 0.0 0.0 0.6 -0.1 -0.4 -0.6 -0.6 SP500_micro 0.0 -0.6 0.3 -0.0 0.0 0.0 0.0 0.1 -0.0 -0.1 0.3 0.1 0.4 -0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.0 0.3 -0.0 -2.4 0.0 -0.0 0.2 0.0 0.3 0.0 -0.4 -0.0 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 0.1 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 0.4 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 -0.1 -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 -0.2 -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 0.1 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 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.4 -0.1 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 0.2 0.2 -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 -0.9 0.2 0.1 -0.0 -0.3 -0.7 -0.7 -0.0 -0.6 VIX -0.6 0.4 -0.8 -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 -0.7 -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 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.3 -0.1 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.0 -0.3 -0.4 -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 1.4 -18.3 -7.3 -1.6 -0.8 1.7 -1.8 2.5 -3.0 3.5 -13.6 -2.0 -8.3 -13.3 -13.8 -3.2 -2.8 -3.0 -2.9 -13.4 -12.0 -1.4 -10.0 -8.9 3.1 -4.5 1.1 -3.7 -0.4 -3.0 -3.1 -1.3 2.8 3.6 -9.2 -15.4 -7.5 -20.0 -4.3 4.2 BITCOIN -5.0 -19.1 -1.4 -3.1 4.4 -0.8 -0.3 1.2 -2.8 15.1 4.3 -4.7 3.0 -15.9 -15.8 -5.0 -4.3 -6.1 -5.5 -13.4 -4.1 -1.5 0.1 -12.0 -20.0 -5.8 2.5 -2.7 -0.5 -0.2 -4.9 -1.4 12.4 -20.0 -12.2 -6.8 -10.9 20.0 -9.0 20.0 BOBL -0.7 1.8 0.0 -2.5 -2.3 -2.5 -2.2 -2.9 -2.2 -6.2 -4.2 -5.9 -7.3 -4.6 -5.1 -10.9 -9.4 -19.5 -16.0 -3.3 -4.7 -4.5 -8.9 -3.4 9.9 -1.6 -3.0 -1.9 -2.6 -3.6 -1.9 -17.2 -0.9 1.3 5.4 2.0 -20.0 -20.0 -20.0 -17.0 BTP -4.0 -8.9 3.2 -3.8 -3.4 -3.8 -3.4 -4.4 -3.4 -7.8 3.5 -9.2 0.7 -8.9 -4.5 5.3 7.7 5.4 6.2 -3.8 -0.7 -6.9 -2.3 -6.2 -6.6 -2.4 -4.0 0.0 -4.5 -0.2 -4.0 16.2 -0.9 0.7 3.6 13.5 -13.0 -20.0 2.0 9.4 BUND 0.7 -2.2 3.7 -2.6 -2.4 -2.6 -2.3 -3.1 -2.3 -6.0 -5.6 -4.4 -8.0 -4.8 -5.9 1.2 7.9 4.2 5.7 -3.8 -4.8 -3.6 -8.7 -3.5 6.2 -2.1 -2.5 -2.1 -2.2 -3.6 -2.0 15.8 1.3 2.7 3.0 3.3 -20.0 -20.0 -16.1 -1.5 BUXL -0.5 -5.7 4.4 -3.1 -2.7 -3.1 -2.7 -3.5 -2.7 -7.1 -9.0 -6.4 -10.1 -7.5 -7.6 0.4 1.0 0.7 1.1 -6.6 -7.5 -5.7 -12.0 -6.1 1.0 -3.1 -3.5 -2.8 -2.9 -3.6 -3.0 6.1 0.1 0.5 -2.2 3.7 -20.0 -20.0 -5.7 16.7 CAC 0.9 -8.7 -10.0 -2.9 2.1 0.5 0.0 3.1 -2.6 17.6 10.6 3.2 20.0 -10.1 -6.0 -6.8 -1.4 -6.0 -3.9 -3.5 4.4 6.8 16.9 -2.1 -5.4 -1.6 14.4 2.3 4.9 7.8 -0.7 5.7 15.6 0.5 11.5 -2.2 20.0 0.5 20.0 5.6 CAD -0.6 -20.0 -0.0 -2.5 -1.3 2.6 -2.8 3.8 -4.7 18.4 -3.9 12.8 -11.9 -15.6 -16.5 -2.2 -2.0 -2.2 -2.2 -16.2 -9.6 6.2 -7.6 -10.3 1.3 -5.8 6.1 -3.2 2.4 -2.0 -3.7 0.0 20.0 2.6 -12.5 -14.2 -20.0 -20.0 -20.0 -18.3 CANOLA -19.5 -0.6 20.0 -0.4 0.3 -1.0 -2.3 -2.7 -2.0 -7.7 7.4 -9.4 -4.4 -7.6 7.7 -9.1 9.9 -2.1 5.0 3.9 8.0 -18.0 1.1 -10.4 -20.0 1.3 -2.5 1.4 -4.0 -1.1 -2.0 7.6 -19.6 -7.7 -5.5 20.0 -12.4 4.5 8.0 18.4 CHF -19.3 -16.3 2.9 -2.2 -1.2 2.3 -2.6 3.5 -4.3 -19.6 3.8 -20.0 13.2 -20.0 -10.8 -15.7 -13.6 -15.1 -14.4 -13.1 2.3 -20.0 9.8 -20.0 -10.5 -4.0 -8.3 1.1 -9.0 3.1 -8.2 -20.0 -20.0 -20.0 -12.3 -6.8 -20.0 -20.0 -20.0 -20.0 COCOA 15.6 -0.9 15.1 -0.6 0.4 -1.7 -4.1 -4.7 -3.5 20.0 20.0 20.0 20.0 20.0 20.0 -5.8 -2.5 -5.0 -3.4 20.0 20.0 20.0 20.0 20.0 -14.9 9.2 6.1 11.3 7.1 11.3 7.9 -10.8 20.0 20.0 20.0 20.0 -4.1 -11.4 15.9 -0.4 COFFEE 8.6 -4.9 -17.9 -0.6 0.4 -1.5 -3.7 -4.3 -3.2 17.6 -15.4 8.8 -13.9 -10.3 -18.9 -3.6 2.0 -1.4 0.6 -14.6 -18.3 9.1 -16.8 -3.9 -20.0 -5.7 12.8 -5.0 3.7 -3.5 -2.7 -3.5 20.0 5.6 -8.7 -20.0 -20.0 -20.0 -16.5 -10.6 COPPER 3.7 -4.9 -1.9 -2.5 3.5 -0.7 -0.3 1.0 -2.2 5.0 -8.1 4.4 -3.0 -5.9 -3.5 -6.1 -2.7 -5.1 -3.9 -3.7 -4.9 0.3 -4.8 -1.8 -5.6 -0.5 1.9 -1.6 1.3 -2.2 0.3 1.4 -0.8 5.5 13.1 7.4 7.5 -20.0 16.1 -19.3 CORN -1.3 -17.5 -11.2 -0.3 0.2 -0.7 -1.8 -2.0 -1.5 -5.3 -9.0 -6.7 -8.6 -9.2 -9.8 -9.6 3.3 -7.5 -2.9 -9.1 -10.0 -3.6 -8.2 -6.2 -9.3 -2.4 -1.5 -2.7 -2.0 -3.3 -2.5 -5.1 2.0 -4.1 -8.2 4.1 -4.1 4.4 1.4 10.5 COTTON2 1.4 5.4 13.2 -0.4 0.3 -1.1 -2.7 -3.1 -2.3 -2.2 9.7 0.7 -8.7 2.8 10.1 0.8 6.1 4.1 4.5 7.4 6.4 0.9 0.5 4.3 -20.0 5.0 -0.4 4.1 2.4 2.3 4.3 2.4 3.2 15.0 16.3 12.2 -17.2 -16.0 10.9 10.5 CRUDE_W 20.0 20.0 20.0 7.9 4.6 5.6 6.8 3.0 7.8 20.0 20.0 20.0 -1.2 20.0 20.0 14.7 9.3 10.9 9.2 20.0 20.0 20.0 16.0 20.0 -7.4 9.2 8.8 6.6 10.4 4.4 10.5 -20.0 0.4 11.2 -12.7 -2.9 20.0 12.9 20.0 8.9 DAX 1.4 -13.8 -10.2 -2.7 2.0 0.5 0.0 2.9 -2.4 13.4 4.9 -2.2 17.5 -15.1 -13.8 -9.1 -7.2 -8.9 -8.4 -8.2 0.5 -0.1 12.1 -6.7 19.7 -4.2 5.4 -0.6 0.3 4.1 -3.1 -3.4 4.2 -3.6 4.0 -9.9 20.0 0.4 20.0 7.9 DOW -3.6 -12.6 7.4 -2.3 1.7 0.4 0.0 2.5 -2.0 -0.4 9.5 4.4 12.8 -6.0 4.8 -11.4 -8.1 -11.1 -10.0 0.4 6.1 0.1 7.3 -2.8 -10.7 1.6 1.3 4.6 1.6 5.3 0.1 -5.5 9.4 -3.5 12.5 20.0 -13.0 -7.1 -20.0 -7.6 DX 14.1 20.0 5.8 -2.1 -1.1 2.2 -2.4 3.3 -4.0 16.4 9.7 18.2 -8.7 20.0 18.8 7.5 5.3 6.7 5.9 20.0 10.4 20.0 3.7 20.0 -20.0 6.1 5.7 2.9 6.6 1.8 7.5 13.2 20.0 20.0 20.0 3.6 -2.1 7.2 1.9 20.0 EUR -12.0 -18.2 -2.9 -1.8 -0.9 1.9 -2.1 2.8 -3.4 -12.6 -6.3 -14.6 8.2 -16.7 -14.2 -6.5 -6.8 -6.6 -6.6 -13.6 -4.9 -16.5 -0.3 -17.8 13.2 -4.8 -5.6 -1.5 -6.1 0.0 -6.5 -7.8 -14.3 -18.6 -15.3 -13.3 -6.1 -19.8 -0.5 -0.7 EURIBOR-ICE 2.7 4.6 2.6 -2.4 -2.1 -2.4 -2.1 -2.7 -2.1 -1.6 -3.5 -0.9 -6.7 0.1 -1.4 -8.8 -7.9 -9.1 -9.0 -1.1 -3.3 -1.8 -8.1 -0.8 17.4 -0.4 -0.8 -1.3 -0.9 -3.4 -0.3 -10.7 3.1 5.0 8.1 2.0 -20.0 -20.0 20.0 10.5 EUROSTX -1.7 -12.5 -10.6 -2.5 1.9 0.4 0.0 2.7 -2.2 14.1 6.9 -4.5 17.1 -14.8 -13.5 -5.1 -1.3 -4.8 -3.5 -6.5 2.0 -0.2 12.9 -6.5 5.6 -3.9 6.2 0.4 0.4 5.9 -3.7 6.1 5.4 -5.9 5.2 -5.3 20.0 3.1 20.0 11.6 FEEDCOW 16.7 2.9 15.9 -0.7 0.5 -1.9 -4.4 -5.1 -3.8 20.0 20.0 20.0 20.0 20.0 20.0 2.6 -20.0 -11.1 -20.0 20.0 20.0 20.0 20.0 20.0 1.3 10.0 14.9 10.6 13.0 11.0 11.4 -20.0 20.0 20.0 20.0 20.0 7.5 -9.7 20.0 -0.7 GASOIL -1.8 20.0 20.0 6.0 3.5 4.3 5.2 2.3 5.9 13.9 15.6 17.2 3.0 19.1 19.7 20.0 20.0 20.0 20.0 20.0 20.0 20.0 16.8 20.0 11.8 6.9 4.6 5.4 5.7 2.8 6.2 0.0 14.6 -0.9 14.2 17.7 -17.3 2.6 -19.4 -4.3 GASOLINE 4.9 17.1 20.0 7.8 4.5 5.5 6.7 2.9 7.6 16.6 20.0 20.0 4.4 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 9.2 4.8 9.1 7.3 8.2 8.2 20.0 -8.4 -17.0 -20.0 7.7 20.0 13.4 20.0 4.8 GAS_US_mini -9.0 5.4 15.6 6.7 3.9 4.8 5.8 2.5 6.6 -16.8 -18.3 -18.1 -20.0 -20.0 -9.9 -20.0 -20.0 -20.0 -20.0 -10.7 -20.0 -10.5 -20.0 -12.8 20.0 -1.2 -3.1 -1.7 -2.5 -4.1 -2.9 -20.0 -20.0 -20.0 -20.0 -20.0 3.2 6.8 -6.2 -0.2 GBP -15.6 -16.8 2.4 -2.1 -1.1 2.3 -2.5 3.3 -4.1 -18.4 5.7 -19.5 12.3 -20.0 -10.8 0.1 -0.7 0.1 -0.3 -11.3 1.9 -20.0 6.5 -20.0 -1.0 -4.6 -9.2 0.6 -9.2 1.5 -8.4 2.7 -20.0 -20.0 -9.4 -3.8 -0.0 14.5 5.0 20.0 GOLD_micro 6.5 -13.7 -15.9 -3.6 5.1 -1.0 -0.4 1.4 -3.2 0.0 -11.5 -5.6 5.7 -14.1 -17.7 -19.1 -13.8 -17.8 -16.0 -17.2 -13.1 -7.5 -0.4 -11.8 -11.5 -3.0 3.1 -2.0 0.5 2.0 -0.6 -18.6 -2.8 15.0 1.6 -14.0 -20.0 -20.0 -12.5 -20.0 HEATOIL -2.5 20.0 20.0 7.1 4.1 5.0 6.1 2.6 6.9 11.9 17.1 19.0 1.9 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 19.0 20.0 -20.0 8.0 3.3 7.0 4.7 4.8 6.2 3.4 -8.2 -12.6 14.1 20.0 5.1 -1.1 0.4 -4.2 JGB-SGX-mini 0.7 -16.1 -13.9 -2.9 -2.6 -2.9 -2.6 -3.4 -2.6 -8.2 2.5 -7.4 5.0 -8.6 -8.4 20.0 20.0 17.3 17.2 -6.4 -2.2 -6.4 2.2 -6.2 -0.1 -2.5 -2.6 -1.2 -2.8 -0.3 -2.5 20.0 1.3 -0.6 -2.5 2.1 -20.0 -9.1 7.8 8.4 JPY -3.9 -16.0 -16.8 -1.3 -0.7 1.4 -1.5 2.1 -2.5 -10.6 -13.0 -11.1 -12.0 -12.7 -13.1 -16.5 -14.2 -16.4 -15.6 -17.9 -19.7 -8.7 -20.0 -13.4 20.0 -4.7 -2.0 -4.8 -2.6 -4.7 -3.7 -20.0 -6.3 -8.0 -11.7 -20.0 -5.5 -20.0 -4.3 -20.0 LEANHOG 7.5 1.4 9.0 -0.4 0.3 -1.1 -2.5 -2.9 -2.2 -4.0 -2.0 8.8 -6.3 -0.2 9.0 20.0 20.0 20.0 20.0 1.4 -4.6 4.4 -11.9 3.7 15.1 -1.3 -0.3 -6.2 1.9 -10.3 1.2 20.0 10.6 8.5 -1.5 -3.8 -10.7 -0.1 16.7 20.0 LIVECOW 8.2 -7.3 16.3 -0.7 0.5 -1.8 -4.3 -5.0 -3.7 20.0 20.0 20.0 20.0 19.8 20.0 -20.0 1.1 -13.2 -0.3 20.0 20.0 20.0 20.0 20.0 3.2 9.3 14.2 12.0 11.7 12.8 9.2 -2.4 20.0 20.0 17.4 20.0 -20.0 -20.0 -20.0 -20.0 LUMBER-new -7.6 -11.7 -0.6 -0.6 0.5 -1.4 -4.1 -3.3 -3.5 -2.1 -20.0 -19.1 -20.0 -20.0 -20.0 -17.1 -13.7 -15.5 -14.3 -16.7 -15.2 -8.3 -13.0 -14.8 NaN -6.4 -1.2 -4.9 -3.7 -3.4 -6.3 -20.0 8.9 -18.2 -20.0 -9.8 -18.2 -20.0 -8.5 -20.0 MILK 13.8 18.0 14.6 -0.3 0.2 -0.9 -2.1 -2.4 -1.8 -7.9 -3.4 3.8 -9.9 7.4 6.6 3.9 -20.0 -17.8 -20.0 5.3 -5.1 0.1 -14.0 6.8 -1.0 0.9 -1.7 -3.2 -0.2 -6.1 1.9 -20.0 0.6 10.6 19.2 -13.4 -20.0 -20.0 -13.6 -20.0 MXP -13.2 -18.5 -11.7 -1.7 -0.9 1.8 -1.9 2.6 -3.2 13.9 14.2 0.8 16.2 -1.0 8.4 14.9 17.5 16.5 17.0 3.7 14.1 4.2 20.0 -1.4 -20.0 1.6 6.1 6.6 1.5 10.2 -1.1 20.0 6.8 4.1 10.6 14.5 20.0 7.3 20.0 20.0 NASDAQ_micro 4.0 -20.0 6.2 -1.5 1.1 0.3 0.0 1.6 -1.4 -6.1 9.9 5.5 8.8 0.3 5.3 -9.6 -8.2 -10.0 -9.5 4.8 12.0 -0.6 13.2 1.4 -20.0 2.1 -2.5 6.1 -0.3 7.7 0.3 -5.2 -4.3 7.8 3.0 20.0 -4.1 -15.6 -12.2 -18.2 NIKKEI 9.2 -11.0 6.6 -2.5 1.9 0.4 0.0 2.7 -2.2 15.3 16.3 15.5 16.8 9.4 10.4 11.1 12.6 13.6 13.2 11.4 20.0 15.2 20.0 11.6 -8.0 5.3 8.3 9.9 6.6 11.7 4.9 20.0 20.0 20.0 20.0 20.0 4.5 3.6 -2.4 10.6 NZD -1.6 -19.4 -8.7 -1.6 -0.8 1.7 -1.8 2.5 -3.0 -3.1 -13.1 -7.0 -1.7 -13.9 -14.4 -0.2 0.4 0.0 0.2 -14.4 -11.8 -4.5 -8.8 -11.0 0.4 -4.7 -0.7 -3.5 -1.6 -2.4 -3.7 4.2 -0.9 0.1 -9.8 -19.5 -2.2 -14.5 2.6 7.3 OAT 1.1 -2.5 4.3 -2.8 -2.5 -2.9 -2.5 -3.3 -2.5 -6.4 -6.0 -4.7 -8.3 -4.9 -5.6 5.0 8.3 5.9 6.9 -3.7 -4.3 -4.0 -7.8 -3.6 8.4 -2.1 -2.9 -2.0 -2.5 -3.6 -2.2 17.4 0.8 3.3 3.5 4.8 -20.0 -20.0 -0.6 5.4 OATIES -2.2 7.7 20.0 -0.5 0.3 -1.3 -3.1 -3.5 -2.7 -15.8 14.7 -5.9 -3.2 6.0 14.1 -18.7 -5.5 -17.7 -13.3 20.0 20.0 -9.7 15.9 10.4 -20.0 5.6 -5.9 5.5 -2.2 3.2 2.6 -20.0 -14.2 20.0 20.0 20.0 4.8 16.3 20.0 20.0 OJ 4.9 2.1 10.6 -0.5 0.4 -1.3 -3.2 -3.7 -2.8 14.4 18.8 15.9 19.0 17.6 18.2 20.0 20.0 20.0 20.0 20.0 20.0 17.2 20.0 20.0 -20.0 7.1 1.6 8.0 3.2 9.1 5.5 20.0 20.0 20.0 20.0 20.0 7.2 5.8 20.0 17.7 PALLAD 0.5 4.4 -13.3 -1.9 2.7 -0.5 -0.2 0.8 -1.7 11.0 -13.3 0.0 -13.9 -4.8 -11.5 -2.5 -2.6 -2.7 -2.7 -8.8 -18.0 3.7 -20.0 -2.1 -1.4 -2.9 3.6 -4.8 1.9 -6.1 -0.6 2.3 12.8 -4.2 5.5 -14.4 -18.4 -4.5 6.2 -0.2 PLAT 5.9 -2.7 -16.5 -2.0 2.8 -0.5 -0.2 0.8 -1.8 5.3 -10.2 -6.8 -2.9 -5.1 -9.3 -3.6 -2.3 -3.3 -2.9 -7.0 -8.0 -4.0 -5.1 -5.8 14.0 -0.1 4.8 -1.3 1.8 -0.9 1.3 2.4 -1.3 12.1 8.2 -9.5 0.8 -17.3 16.2 -13.5 REDWHEAT -5.0 -20.0 -6.1 -0.4 0.3 -1.0 -2.4 -2.8 -2.1 7.2 -10.0 -3.9 -12.8 -13.2 -12.7 -3.7 1.5 -2.5 -0.2 -13.4 -10.9 -1.0 -8.0 -9.7 -13.9 -3.8 2.1 -2.9 -0.3 -1.6 -3.0 -4.5 16.8 -5.1 -15.8 -8.4 -20.0 -19.5 -14.5 -8.6 RICE -0.6 7.0 11.7 -0.5 0.3 -1.2 -2.9 -3.4 -2.5 -1.3 7.0 -3.2 3.2 0.8 11.1 -14.5 16.2 0.8 15.6 7.7 6.7 -2.5 3.4 2.2 -20.0 2.1 0.9 2.4 -2.7 1.2 -1.1 20.0 -20.0 4.0 12.3 15.1 -5.5 -19.5 10.1 -10.3 ROBUSTA 4.6 -7.4 -4.9 -0.5 0.3 -1.3 -3.0 -3.5 -2.6 14.9 12.2 11.7 13.4 2.5 -1.7 20.0 20.0 20.0 20.0 4.6 13.6 13.8 20.0 5.2 -16.9 2.1 15.7 7.0 7.7 10.8 2.5 20.0 20.0 14.4 5.8 9.2 -1.2 -14.6 17.4 -4.8 RUSSELL -7.8 -17.7 8.3 -2.3 1.7 0.4 0.0 2.5 -2.1 -12.5 0.1 -14.5 -1.5 -16.5 -2.4 -8.5 -5.9 -7.8 -7.0 -7.8 0.4 -11.7 -0.1 -13.9 -3.1 -0.6 -1.5 2.0 -1.0 2.4 -1.9 -0.9 -5.0 -1.2 0.3 20.0 -9.5 -11.1 -20.0 -15.4 SHATZ -6.0 5.5 -7.7 -2.4 -2.2 -2.4 -2.1 -2.8 -2.2 -7.1 -6.4 -7.3 -7.6 -5.9 -5.7 -20.0 -8.7 -20.0 -16.1 -5.0 -7.4 -8.9 -12.7 -6.0 10.9 -2.1 -5.6 -2.6 -4.6 -4.6 -3.0 -16.5 -8.0 -4.1 5.7 -1.9 -20.0 -20.0 -20.0 -20.0 SILVER-mini -2.4 -9.1 -7.9 -2.3 3.3 -0.6 -0.3 0.9 -2.1 -3.7 0.0 -10.4 4.7 -9.4 -7.7 -6.8 -5.9 -6.9 -6.6 -6.0 -2.2 -11.9 1.0 -9.9 7.5 0.4 -0.9 1.3 -2.4 1.4 -0.8 -3.8 -12.9 10.2 5.7 4.8 -19.5 -20.0 -4.8 -20.0 SMI 7.0 -8.3 -10.5 -2.6 1.9 0.4 0.0 2.8 -2.3 16.3 2.1 11.6 6.0 -5.6 -10.9 -1.1 0.8 -2.3 -1.4 -5.8 -4.2 12.0 0.4 0.6 6.1 -1.0 20.0 -1.4 9.2 -1.7 2.3 9.7 19.7 7.6 19.7 -9.1 -8.5 -13.2 -18.5 -15.1 SOFR 3.8 -12.5 -15.9 -3.2 -2.9 -3.2 -2.9 -3.7 -2.9 -9.1 -7.6 -2.9 -4.9 -6.3 -8.2 -2.0 -1.0 -1.9 -1.5 -9.5 -9.2 -4.7 -7.7 -6.5 -1.8 -2.9 -1.7 -3.1 -1.0 -2.5 -1.5 1.9 6.2 5.4 -0.3 -5.8 -20.0 -20.0 -10.5 -4.2 SOYBEAN 0.4 0.6 17.5 -0.3 0.2 -0.8 -2.0 -2.3 -1.7 -8.2 6.1 -6.4 0.7 -1.4 6.7 2.0 18.1 7.9 12.9 4.0 4.1 -4.8 1.5 -0.2 -20.0 1.8 -3.2 1.8 -2.0 0.8 -0.1 20.0 -2.5 3.7 -2.0 20.0 -13.2 4.4 -9.7 14.3 SOYMEAL 1.8 -0.9 -0.8 -0.3 0.2 -0.9 -2.1 -2.5 -1.8 -9.6 -4.0 -6.0 2.5 -1.3 -0.8 6.2 18.2 10.9 15.9 -0.2 -0.3 -5.7 2.0 -2.1 -20.0 1.3 -4.5 2.1 -2.7 3.6 -0.6 20.0 -0.9 7.6 -1.7 11.3 -18.7 -19.5 -15.4 -18.0 SOYOIL -10.7 4.9 20.0 -0.4 0.3 -1.0 -2.5 -2.9 -2.1 1.3 10.3 -5.1 0.2 -3.2 11.4 14.7 11.5 13.7 11.6 9.2 11.8 -2.2 6.0 -0.2 -20.0 3.2 2.1 3.8 0.0 1.9 0.3 13.0 2.1 -5.7 4.4 20.0 1.3 6.5 20.0 20.0 SP400 -8.2 -19.9 9.2 -2.2 1.6 0.4 0.0 2.4 -2.0 -12.1 3.0 -14.0 6.7 -15.0 1.6 -5.8 -5.0 -6.0 -5.6 -6.3 2.5 -11.7 4.5 -13.0 -12.8 -0.0 -1.4 2.3 -0.6 2.8 -1.1 0.9 -5.6 1.5 0.0 20.0 -2.1 -12.5 -17.7 -18.2 SP500_micro 1.4 -20.0 10.1 -2.1 1.6 0.4 0.0 2.3 -1.9 -8.9 12.1 4.7 10.8 -3.4 6.5 -11.8 -9.4 -12.2 -11.2 4.0 11.8 -0.7 12.7 -0.2 -18.0 2.3 -1.3 6.1 0.5 7.0 0.4 -7.5 -0.6 8.4 5.2 20.0 -5.4 -13.8 -17.6 -20.0 SUGAR11 20.0 6.5 -7.1 -0.6 0.4 -1.5 -3.6 -4.1 -3.1 12.1 17.2 19.5 17.3 19.6 15.5 -3.3 10.3 -1.6 3.4 20.0 20.0 20.0 20.0 20.0 -20.0 6.3 3.5 7.2 6.4 10.8 7.8 6.6 20.0 20.0 20.0 1.2 -20.0 -20.0 8.6 -1.7 US10 1.8 -12.1 -19.0 -2.8 -2.5 -2.8 -2.5 -3.2 -2.5 -8.2 -8.4 -6.0 -8.6 -7.8 -8.7 -9.7 -7.3 -9.5 -9.0 -10.6 -11.8 -5.0 -12.4 -7.2 1.1 -3.0 -1.6 -3.5 -0.9 -3.4 -1.5 -10.2 7.0 3.3 -1.9 -7.5 -20.0 -20.0 12.1 0.2 US10U 1.2 -13.9 -16.0 -3.6 -3.3 -3.6 -3.2 -4.2 -3.2 -10.8 -10.8 -9.0 -11.0 -10.6 -11.3 0.2 -1.2 -1.7 -2.0 -14.1 -14.8 -7.2 -15.1 -10.2 -3.6 -3.9 -2.2 -4.3 -1.4 -3.9 -2.1 1.2 8.8 4.3 -5.0 -9.1 -20.0 -20.0 20.0 19.1 US2 6.7 -2.3 -20.0 -2.7 -2.4 -2.7 -2.4 -3.1 -2.4 -7.7 -9.1 -7.1 -8.9 -7.8 -9.1 -20.0 -20.0 -20.0 -20.0 -11.8 -16.5 -5.4 -19.6 -7.0 9.1 -2.9 -1.6 -4.3 -0.8 -5.5 -1.1 -20.0 5.2 1.4 1.3 -12.0 -20.0 -20.0 -20.0 -20.0 US20 0.7 -17.4 -15.7 -2.7 -2.4 -2.7 -2.4 -3.1 -2.4 -7.9 -7.7 -4.1 -7.3 -7.2 -7.8 -5.2 -2.0 -3.5 -2.7 -11.3 -11.5 -5.1 -11.3 -7.9 -3.4 -2.9 -1.5 -3.1 -0.9 -2.7 -1.6 0.0 8.1 3.5 -6.6 -6.2 -20.0 -20.0 20.0 20.0 US30 2.3 -15.2 -11.1 -3.1 -2.8 -3.1 -2.8 -3.6 -2.8 -9.3 -9.1 -5.0 -8.9 -8.1 -8.6 -7.3 -3.6 -6.8 -5.3 -11.7 -12.3 -6.1 -13.3 -8.3 -3.0 -3.2 -2.0 -3.5 -1.1 -3.1 -1.6 -3.4 8.7 5.4 -6.6 -5.0 -20.0 -20.0 20.0 20.0 US5 2.2 -10.0 -20.0 -2.9 -2.6 -2.9 -2.6 -3.4 -2.6 -8.3 -9.0 -6.8 -9.2 -8.2 -9.4 -16.3 -10.2 -14.6 -13.0 -10.9 -12.8 -5.3 -14.2 -7.3 4.0 -3.0 -1.7 -3.7 -1.0 -4.0 -1.5 -16.0 6.6 2.6 -0.1 -8.2 -20.0 -20.0 -0.9 -16.9 VIX -11.1 8.1 -16.1 -7.1 -4.7 -9.3 -6.5 -10.7 -6.6 -12.7 -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 -5.0 -10.8 -7.4 -12.8 -7.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -14.3 -20.0 1.9 -0.2 0.2 -0.7 -1.6 -1.8 -1.4 -3.0 -8.0 -7.4 -9.2 -9.2 -8.8 -12.2 -9.7 -11.6 -10.9 -10.9 -9.5 -5.6 -9.4 -10.3 -3.4 -2.7 -0.2 -2.1 -1.9 -2.0 -3.0 -20.0 2.1 -9.7 -11.1 -1.3 -20.0 -13.6 -17.6 -8.9 End of report for caleb_strategy_v3