******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230920_204328 produced at 2023-09-20 21:38:50.473378 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.60 0.0 0.00 0.00 0.00 0.00 -19.75 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.37 0.0 0.00 0.00 0.00 0.00 -5.44 13.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.30 0.0 0.00 0.00 0.00 0.00 -7.94 24.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.09 -0.30 0.0 0.10 -0.10 -0.09 -0.09 -52.43 17.0 -16 -16 caleb_strategy_v3 CHF False False 0.05 -0.43 -0.21 0.0 0.62 -0.62 -0.43 -0.43 -4.42 13.0 -9 -9 caleb_strategy_v3 GOLD_micro False False 0.01 -0.21 -0.15 0.0 0.37 -0.37 -0.21 -0.24 -23.44 56.0 -32 -37 caleb_strategy_v3 US5 False False 0.04 -0.18 -0.14 0.0 0.89 -0.89 -0.18 -0.18 -3.88 25.0 -5 -5 caleb_strategy_v3 JPY False False 0.03 -0.12 -0.11 0.0 0.49 -0.49 -0.12 -0.14 -3.87 17.0 -4 -5 caleb_strategy_v3 COPPER False False 0.03 -0.06 -0.11 0.0 0.19 -0.19 -0.06 -0.06 -3.47 6.0 -2 -2 caleb_strategy_v3 BOBL False False 0.04 -0.42 -0.08 0.0 0.79 -0.79 -0.42 -0.38 -1.83 19.0 -10 -9 caleb_strategy_v3 CAD False False 0.03 0.00 -0.08 0.0 0.73 -0.73 0.00 0.00 -3.11 29.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.27 -0.08 0.0 0.63 -0.63 -0.27 -0.32 -1.79 14.0 -6 -7 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.07 0.0 0.17 -0.17 0.00 0.00 -0.85 2.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.06 -0.07 0.0 0.07 -0.07 -0.06 -0.06 -24.46 26.0 -22 -22 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.07 0.0 0.21 -0.21 -0.01 -0.01 -21.91 68.0 -2 -2 caleb_strategy_v3 US10 False False 0.04 0.00 -0.07 0.0 0.63 -0.63 0.00 0.00 -1.95 17.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.05 0.0 0.42 -0.42 0.00 0.00 -2.33 19.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 -0.04 -0.05 0.0 0.05 -0.05 -0.04 -0.04 -54.99 59.0 -43 -43 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.05 0.0 0.36 -0.36 0.00 0.00 -6.87 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 -8.87 3.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.15 -0.04 0.0 0.50 -0.50 -0.15 -0.15 -1.14 13.0 -4 -4 caleb_strategy_v3 NZD False False 0.02 0.02 -0.04 0.0 0.42 -0.42 0.02 0.02 -1.96 21.0 1 1 caleb_strategy_v3 GBP False False 0.03 -0.03 -0.04 0.0 0.57 -0.57 -0.03 -0.03 -1.57 22.0 -1 -1 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -2.51 5.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.03 0.0 0.24 -0.24 0.00 0.00 -3.20 23.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.00 -0.03 0.0 0.41 -0.41 0.00 0.00 -0.62 10.0 0 0 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.03 0.0 0.39 -0.39 -0.01 -0.01 -5.77 66.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.04 -0.03 0.0 0.10 -0.10 -0.04 -0.04 -2.06 8.0 -3 -3 caleb_strategy_v3 US20 False False 0.04 -0.12 -0.03 0.0 0.36 -0.36 -0.12 -0.12 -0.69 9.0 -3 -3 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.03 0.0 0.19 -0.19 0.00 0.00 -7.13 51.0 0 0 caleb_strategy_v3 CORN False False 0.01 0.00 -0.03 0.0 0.10 -0.10 0.00 0.00 -3.60 12.0 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 -0.95 0.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -0.53 2.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.13 -0.02 0.0 0.25 -0.25 -0.13 -0.08 -0.48 6.0 -3 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.10 -0.10 -0.03 -0.03 -2.14 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 -0.82 6.0 -1 -1 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.26 -0.02 0.0 0.87 -0.87 0.26 0.17 -0.28 10.0 3 2 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.04 -0.04 0.00 0.00 -0.78 4.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.47 -0.47 0.00 0.00 -0.31 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 -0.24 4.0 -4 -4 caleb_strategy_v3 OAT False False 0.04 0.09 -0.01 0.0 0.45 -0.45 0.09 0.04 -0.19 10.0 2 1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.34 2.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -0.65 9.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 0.00 0.0 0.12 -0.12 0.00 0.00 0.20 10.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.02 -0.00 0.0 0.15 -0.15 0.02 0.02 -0.11 7.0 1 1 caleb_strategy_v3 COTTON2 False False 0.01 0.00 -0.00 0.0 0.16 -0.16 0.00 0.00 -0.07 11.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 0.01 0.0 0.16 -0.16 0.00 0.00 0.36 10.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.04 0.01 0.0 0.20 -0.20 0.04 0.04 1.69 23.0 5 5 caleb_strategy_v3 COCOA False False 0.01 0.02 0.01 0.0 0.31 -0.31 0.02 0.01 1.19 26.0 2 1 caleb_strategy_v3 SMI False False 0.04 0.17 0.02 0.0 0.38 -0.38 0.17 0.17 0.43 9.0 4 4 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.02 0.0 0.19 -0.19 0.00 0.00 1.81 18.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.03 0.03 0.0 0.31 -0.31 0.03 0.02 2.17 20.0 2 1 caleb_strategy_v3 DAX False False 0.01 0.00 0.04 0.0 0.33 -0.33 0.00 0.00 7.26 58.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.04 0.0 0.13 -0.13 0.00 0.00 0.99 3.0 0 0 caleb_strategy_v3 CAC False False 0.03 0.21 0.05 0.0 0.32 -0.32 0.21 0.21 1.73 12.0 8 8 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.05 -0.05 0.00 0.00 2.73 3.0 0 0 caleb_strategy_v3 GASOLINE False False 0.04 0.14 0.07 0.0 0.14 -0.14 0.14 0.14 1.85 4.0 4 4 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.08 0.0 0.44 -0.44 0.03 0.05 3.12 17.0 1 2 caleb_strategy_v3 GASOIL False False 0.03 0.06 0.08 0.0 0.12 -0.12 0.06 0.06 2.71 4.0 2 2 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.09 0.0 0.14 -0.14 0.07 0.07 8.47 13.0 7 7 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.50 0.10 0.0 0.53 -0.53 0.50 0.50 3.03 16.0 15 15 caleb_strategy_v3 DX False False 0.04 0.00 0.11 0.0 35383667.44 -35383667.44 0.00 0.00 3.20 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.05 0.32 0.13 0.0 0.36 -0.36 0.32 0.32 2.88 8.0 7 7 caleb_strategy_v3 CRUDE_W False False 0.03 0.15 0.25 0.0 0.15 -0.15 0.15 0.15 8.43 5.0 5 5 caleb_strategy_v3 NIKKEI False False 0.01 0.27 0.34 0.0 0.27 -0.27 0.27 0.27 45.32 36.0 36 36 caleb_strategy_v3 MXP False False 0.01 0.45 0.35 0.0 0.59 -0.59 0.45 0.45 36.10 60.0 46 46 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.4 Shocked risk 65.3 Sum abs risk 65.2 Leverage 6.45 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2962101.09, 'annual_cash_vol_target': 740525.2725, 'daily_cash_vol_target': 46282.82953125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0040 0.6490 0.6116 9.7855 BITCOIN 717.7983 27230.0000 2.6361 42.1769 BOBL 0.2588 115.8300 0.2234 3.5744 BTP 0.6549 112.4700 0.5823 9.3173 BUND 0.5456 129.7300 0.4206 6.7289 BUXL 1.2681 126.6200 1.0015 16.0240 CAC 54.9244 7352.5000 0.7470 11.9523 CAD 0.0027 0.7449 0.3633 5.8130 CANOLA 8.0563 744.9000 1.0815 17.3044 CHF 0.0043 1.1252 0.3859 6.1751 COCOA 44.8209 3582.0000 1.2513 20.0205 COFFEE 2.5758 159.6000 1.6139 25.8223 COPPER 0.0381 3.7590 1.0135 16.2164 CORN 6.7772 510.5000 1.3276 21.2410 COTTON2 1.1699 86.9100 1.3461 21.5374 CRUDE_W 0.9682 88.3500 1.0958 17.5332 DAX 107.6074 15917.0000 0.6761 10.8168 DOW 194.9547 34917.0000 0.5583 8.9334 DX 0.3624 104.8100 0.3458 5.5326 EUR 0.0049 1.0724 0.4601 7.3609 EURIBOR-ICE 0.0517 96.9250 0.0533 0.8534 EUROSTX 36.3685 4300.0000 0.8458 13.5325 FEEDCOW 1.4834 267.1250 0.5553 8.8853 GASOIL 13.0955 903.5000 1.4494 23.1908 GASOLINE 0.0329 2.5081 1.3116 20.9849 GAS_US_mini 0.0815 3.3150 2.4578 39.3243 GBP 0.0061 1.2360 0.4955 7.9273 GOLD_micro 9.3891 1943.0000 0.4832 7.7316 HEATOIL 0.0450 3.1141 1.4454 23.1271 JGB-SGX-mini 0.2081 145.5000 0.1430 2.2888 JPY 0.0000 0.0069 0.5595 8.9513 LEANHOG 1.2019 78.1000 1.5389 24.6219 LIVECOW 1.0749 191.5750 0.5611 8.9771 LUMBER-new 8.0555 483.0000 1.6678 26.6849 MILK 0.2533 17.3100 1.4636 23.4171 MXP 0.0004 0.0578 0.7303 11.6852 NASDAQ_micro 137.6343 15286.0000 0.9004 14.4063 NIKKEI 272.2974 32955.0000 0.8263 13.2203 NZD 0.0036 0.5943 0.6099 9.7582 OAT 0.5705 124.5100 0.4582 7.3314 OATIES 8.1126 447.7500 1.8119 28.9897 OJ 4.6825 344.1000 1.3608 21.7727 PALLAD 18.8232 1278.5000 1.4723 23.5566 PLAT 12.7104 937.3000 1.3561 21.6971 REDWHEAT 11.7859 733.5000 1.6068 25.7089 RICE 0.1690 16.2400 1.0405 16.6484 ROBUSTA 31.2856 2518.0000 1.2425 19.8796 RUSSELL 15.6700 1842.4000 0.8505 13.6084 SHATZ 0.0795 104.8500 0.0758 1.2134 SILVER-mini 0.3308 23.8875 1.3848 22.1568 SMI 74.8635 11209.0000 0.6679 10.6862 SOFR 0.0615 96.1500 0.0640 1.0234 SOYBEAN 13.9532 1271.0000 1.0978 17.5650 SOYMEAL 5.0702 391.3000 1.2957 20.7316 SOYOIL 0.7858 58.7900 1.3366 21.3855 SP400 18.6940 2582.1000 0.7240 11.5838 SP500_micro 29.1372 4469.5000 0.6519 10.4306 SUGAR11 0.3243 27.2000 1.1924 19.0786 US10 0.3633 109.1875 0.3328 5.3243 US10U 0.5099 113.6406 0.4487 7.1789 US2 0.0927 101.3008 0.0915 1.4641 US20 0.7305 118.5312 0.6163 9.8611 US30 1.1127 125.1875 0.8889 14.2217 US5 0.2336 105.6094 0.2212 3.5389 VIX 0.4358 16.9500 2.5712 41.1384 WHEAT 10.9959 667.7500 1.6467 26.3473 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 648.95 0.61 396.89 1.00 396.89 46282.83 116.61 -7.71 -89.85 BITCOIN 27.23 2.64 71.78 1.00 71.78 46282.83 644.79 -7.88 -507.80 BOBL 1158.30 0.22 258.77 1.07 276.41 46282.83 167.44 -10.77 -180.30 BTP 1124.70 0.58 654.95 1.07 699.62 46282.83 66.15 -2.73 -18.09 BUND 1297.30 0.42 545.59 1.07 582.80 46282.83 79.42 -3.86 -30.62 BUXL 1266.20 1.00 1268.10 1.07 1354.59 46282.83 34.17 -6.91 -23.62 CAC 735.25 0.75 549.24 1.07 586.70 46282.83 78.89 6.41 50.60 CAD 744.90 0.36 270.63 1.00 270.63 46282.83 171.02 -7.02 -120.05 CANOLA 148.98 1.08 161.13 0.74 119.55 46282.83 387.14 -7.57 -293.11 CHF 1406.50 0.39 542.83 1.00 542.83 46282.83 85.26 -20.00 -170.52 COCOA 358.20 1.25 448.21 1.00 448.21 46282.83 103.26 5.38 55.59 COFFEE 598.50 1.61 965.91 1.00 965.91 46282.83 47.92 -14.67 -70.29 COPPER 939.75 1.01 952.46 1.00 952.46 46282.83 48.59 -6.59 -32.02 CORN 255.25 1.33 338.86 1.00 338.86 46282.83 136.58 -10.82 -147.84 COTTON2 434.55 1.35 584.94 1.00 584.94 46282.83 79.12 -0.43 -3.38 CRUDE_W 883.50 1.10 968.16 1.00 968.16 46282.83 47.80 16.28 77.81 DAX 159.17 0.68 107.61 1.07 114.95 46282.83 402.65 5.29 212.92 DOW 174.58 0.56 97.48 1.00 97.48 46282.83 474.81 -5.23 -248.18 DX 1048.10 0.35 362.42 1.00 362.42 46282.83 127.70 9.67 123.49 EUR 1340.50 0.46 616.71 1.00 616.71 46282.83 75.05 -9.18 -68.91 EURIBOR-ICE 2423.12 0.05 129.25 1.07 138.06 46282.83 335.24 -0.24 -8.10 EUROSTX 430.00 0.85 363.68 1.07 388.49 46282.83 119.14 5.33 63.55 FEEDCOW 1335.62 0.56 741.71 1.00 741.71 46282.83 62.40 13.94 86.96 GASOIL 903.50 1.45 1309.55 1.00 1309.55 46282.83 35.34 17.69 62.50 GASOLINE 1053.40 1.31 1381.59 1.00 1381.59 46282.83 33.50 12.71 42.59 GAS_US_mini 82.88 2.46 203.69 1.00 203.69 46282.83 227.22 -9.94 -225.86 GBP 772.50 0.50 382.74 1.00 382.74 46282.83 120.92 -4.99 -60.34 GOLD_micro 194.30 0.48 93.89 1.00 93.89 46282.83 492.94 -13.94 -687.07 HEATOIL 1307.92 1.45 1890.53 1.00 1890.53 46282.83 24.48 9.28 22.73 JGB-SGX-mini 145500.00 0.14 20813.65 0.01 140.80 46282.83 328.72 0.85 27.97 JPY 856.75 0.56 479.31 1.00 479.31 46282.83 96.56 -15.44 -149.10 LEANHOG 312.40 1.54 480.74 1.00 480.74 46282.83 96.27 14.47 139.34 LIVECOW 766.30 0.56 429.95 1.00 429.95 46282.83 107.65 8.74 94.06 LUMBER-new 132.82 1.67 221.53 1.00 221.53 46282.83 208.93 -20.00 -417.85 MILK 346.20 1.46 506.69 1.00 506.69 46282.83 91.34 -12.82 -117.10 MXP 289.20 0.73 211.21 1.00 211.21 46282.83 219.13 11.22 245.96 NASDAQ_micro 305.72 0.90 275.27 1.00 275.27 46282.83 168.14 -8.20 -137.82 NIKKEI 32955.00 0.83 27229.74 0.01 184.20 46282.83 251.26 16.66 418.53 NZD 594.30 0.61 362.46 1.00 362.46 46282.83 127.69 -5.92 -75.61 OAT 1245.10 0.46 570.52 1.07 609.43 46282.83 75.94 -0.75 -5.69 OATIES 223.88 1.81 405.63 1.00 405.63 46282.83 114.10 -4.81 -54.93 OJ 516.15 1.36 702.37 1.00 702.37 46282.83 65.89 19.33 127.35 PALLAD 1278.50 1.47 1882.32 1.00 1882.32 46282.83 24.59 -6.32 -15.53 PLAT 468.65 1.36 635.52 1.00 635.52 46282.83 72.83 1.45 10.53 REDWHEAT 366.75 1.61 589.30 1.00 589.30 46282.83 78.54 -19.76 -155.18 RICE 324.80 1.04 337.96 1.00 337.96 46282.83 136.95 -2.34 -32.10 ROBUSTA 251.80 1.24 312.86 1.00 312.86 46282.83 147.94 9.78 144.67 RUSSELL 92.12 0.85 78.35 1.00 78.35 46282.83 590.72 -11.19 -660.99 SHATZ 1048.50 0.08 79.52 1.07 84.94 46282.83 544.88 -14.37 -782.98 SILVER-mini 597.19 1.38 826.99 1.00 826.99 46282.83 55.97 -4.98 -27.90 SMI 1120.90 0.67 748.64 1.11 833.72 46282.83 55.51 2.27 12.58 SOFR 2403.75 0.06 153.74 1.00 153.74 46282.83 301.04 -10.79 -324.95 SOYBEAN 635.50 1.10 697.66 1.00 697.66 46282.83 66.34 -1.79 -11.85 SOYMEAL 391.30 1.30 507.02 1.00 507.02 46282.83 91.28 -7.60 -69.35 SOYOIL 352.74 1.34 471.47 1.00 471.47 46282.83 98.17 2.24 21.95 SP400 2582.10 0.72 1869.40 1.00 1869.40 46282.83 24.76 -10.38 -25.71 SP500_micro 223.48 0.65 145.69 1.00 145.69 46282.83 317.69 -9.30 -295.59 SUGAR11 304.64 1.19 363.26 1.00 363.26 46282.83 127.41 6.67 84.93 US10 1091.88 0.33 363.34 1.00 363.34 46282.83 127.38 -12.10 -154.13 US10U 1136.41 0.45 509.89 1.00 509.89 46282.83 90.77 -9.95 -90.32 US2 2026.02 0.09 185.40 1.00 185.40 46282.83 249.64 -17.19 -429.10 US20 1185.31 0.62 730.53 1.00 730.53 46282.83 63.36 -8.63 -54.67 US30 1251.88 0.89 1112.74 1.00 1112.74 46282.83 41.59 -9.05 -37.63 US5 1056.09 0.22 233.59 1.00 233.59 46282.83 198.14 -15.46 -306.42 VIX 169.50 2.57 435.81 1.00 435.81 46282.83 106.20 -20.00 -212.40 WHEAT 333.88 1.65 549.79 1.00 549.79 46282.83 84.18 -19.15 -161.21 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -89.853 0.010 2.5 -2.331 BITCOIN -507.796 0.043 2.5 -54.992 BOBL -180.304 0.004 2.5 -1.829 BTP -18.089 0.014 2.5 -0.617 BUND -30.619 0.004 2.5 -0.311 BUXL -23.624 0.004 2.5 -0.240 CAC 50.602 0.014 2.5 1.726 CAD -120.045 0.010 2.5 -3.115 CANOLA -293.114 0.010 2.5 -7.132 CHF -170.523 0.010 2.5 -4.425 COCOA 55.587 0.009 2.5 1.191 COFFEE -70.294 0.005 2.5 -0.821 COPPER -32.017 0.043 2.5 -3.467 CORN -147.837 0.010 2.5 -3.597 COTTON2 -3.383 0.009 2.5 -0.072 CRUDE_W 77.807 0.043 2.5 8.426 DAX 212.918 0.014 2.5 7.263 DOW -248.184 0.009 2.5 -5.768 DX 123.486 0.010 2.5 3.204 EUR -68.908 0.010 2.5 -1.788 EURIBOR-ICE -8.096 0.014 2.5 -0.276 EUROSTX 63.552 0.014 2.5 2.168 FEEDCOW 86.962 0.013 2.5 2.882 GASOIL 62.505 0.017 2.5 2.710 GASOLINE 42.593 0.017 2.5 1.846 GAS_US_mini -225.859 0.043 2.5 -24.459 GBP -60.337 0.010 2.5 -1.566 GOLD_micro -687.069 0.014 2.5 -23.436 HEATOIL 22.731 0.017 2.5 0.985 JGB-SGX-mini 27.975 0.043 2.5 3.030 JPY -149.104 0.010 2.5 -3.869 LEANHOG 139.342 0.024 2.5 8.469 LIVECOW 94.063 0.013 2.5 3.117 LUMBER-new -417.853 0.008 2.5 -8.866 MILK -117.095 0.009 2.5 -2.508 MXP 245.956 0.059 2.5 36.102 NASDAQ_micro -137.823 0.009 2.5 -3.203 NIKKEI 418.532 0.043 2.5 45.325 NZD -75.613 0.010 2.5 -1.962 OAT -5.692 0.014 2.5 -0.194 OATIES -54.927 0.010 2.5 -1.336 OJ 127.351 0.009 2.5 2.728 PALLAD -15.530 0.014 2.5 -0.530 PLAT 10.529 0.014 2.5 0.359 REDWHEAT -155.179 0.005 2.5 -2.059 RICE -32.103 0.010 2.5 -0.781 ROBUSTA 144.670 0.005 2.5 1.690 RUSSELL -660.989 0.013 2.5 -21.905 SHATZ -782.982 0.004 2.5 -7.940 SILVER-mini -27.898 0.014 2.5 -0.952 SMI 12.580 0.014 2.5 0.429 SOFR -324.950 0.024 2.5 -19.750 SOYBEAN -11.846 0.004 2.5 -0.110 SOYMEAL -69.351 0.004 2.5 -0.645 SOYOIL 21.949 0.004 2.5 0.204 SP400 -25.707 0.013 2.5 -0.852 SP500_micro -295.594 0.009 2.5 -6.870 SUGAR11 84.933 0.009 2.5 1.806 US10 -154.127 0.005 2.5 -1.953 US10U -90.324 0.005 2.5 -1.145 US2 -429.101 0.005 2.5 -5.438 US20 -54.668 0.005 2.5 -0.693 US30 -37.635 0.005 2.5 -0.477 US5 -306.417 0.005 2.5 -3.883 VIX -212.399 0.099 2.5 -52.433 WHEAT -161.211 0.005 2.5 -2.139 ===================== Position diags ===================== AUD 3.03 BITCOIN 69.83 BOBL 1.70 BTP 2.26 BUND 0.81 BUXL 0.35 CAC 2.69 CAD 4.44 CANOLA 9.42 CHF 2.21 COCOA 2.21 COFFEE 0.56 COPPER 5.26 CORN 3.32 COTTON2 1.69 CRUDE_W 5.18 DAX 13.73 DOW 11.04 DX 3.31 EUR 1.95 EURIBOR-ICE 11.44 EUROSTX 4.06 FEEDCOW 2.07 GASOIL 1.53 GASOLINE 1.45 GAS_US_mini 24.61 GBP 3.14 GOLD_micro 16.81 HEATOIL 1.06 JGB-SGX-mini 35.60 JPY 2.51 LEANHOG 5.85 LIVECOW 3.57 LUMBER-new 4.43 MILK 1.96 MXP 32.17 NASDAQ_micro 3.91 NIKKEI 27.21 NZD 3.31 OAT 2.59 OATIES 2.78 OJ 1.41 PALLAD 0.84 PLAT 2.48 REDWHEAT 1.04 RICE 3.33 ROBUSTA 1.73 RUSSELL 19.58 SHATZ 5.53 SILVER-mini 1.91 SMI 1.89 SOFR 18.30 SOYBEAN 0.62 SOYMEAL 0.85 SOYOIL 0.91 SP400 0.82 SP500_micro 7.38 SUGAR11 2.71 US10 1.61 US10U 1.15 US2 3.16 US20 0.80 US30 0.53 US5 2.51 VIX 26.22 WHEAT 1.12 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.3 -2.6 -2.0 NaN 0 BITCOIN -55.0 -62.0 -48.0 -43.0 -43 BOBL -1.8 -2.0 -1.7 -10.0 -10 BTP -0.6 -0.8 -0.4 0.0 0 BUND -0.3 -0.4 -0.2 0.0 0 BUXL -0.2 -0.3 -0.2 -4.0 -4 CAC 1.7 1.5 2.0 8.0 8 CAD -3.1 -3.6 -2.7 0.0 0 CANOLA -7.1 -8.1 -6.2 NaN 0 CHF -4.4 -4.6 -4.2 -9.0 -9 COCOA 1.2 1.0 1.4 2.0 2 COFFEE -0.8 -0.9 -0.8 -1.0 -1 COPPER -3.5 -4.0 -2.9 -2.0 -2 CORN -3.6 -3.9 -3.3 0.0 0 COTTON2 -0.1 -0.2 0.1 0.0 0 CRUDE_W 8.4 7.9 8.9 5.0 5 DAX 7.3 5.9 8.6 0.0 0 DOW -5.8 -6.9 -4.7 -1.0 -1 DX 3.2 2.9 3.5 NaN 0 EUR -1.8 -2.0 -1.6 -6.0 -6 EURIBOR-ICE -0.3 -1.4 0.9 3.0 3 EUROSTX 2.2 1.8 2.6 2.0 2 FEEDCOW 2.9 2.7 3.1 7.0 7 GASOIL 2.7 2.6 2.9 2.0 2 GASOLINE 1.8 1.7 2.0 4.0 4 GAS_US_mini -24.5 -26.9 -22.0 -22.0 -22 GBP -1.6 -1.9 -1.3 -1.0 -1 GOLD_micro -23.4 -25.1 -21.8 -32.0 -32 HEATOIL 1.0 0.9 1.1 0.0 0 JGB-SGX-mini 3.0 -0.5 6.6 15.0 15 JPY -3.9 -4.1 -3.6 -4.0 -4 LEANHOG 8.5 7.9 9.1 7.0 7 LIVECOW 3.1 2.8 3.5 1.0 1 LUMBER-new -8.9 -9.3 -8.4 NaN 0 MILK -2.5 -2.7 -2.3 NaN 0 MXP 36.1 32.9 39.3 46.0 46 NASDAQ_micro -3.2 -3.6 -2.8 0.0 0 NIKKEI 45.3 42.6 48.0 36.0 36 NZD -2.0 -2.3 -1.6 1.0 1 OAT -0.2 -0.5 0.1 2.0 2 OATIES -1.3 -1.6 -1.1 NaN 0 OJ 2.7 2.6 2.9 NaN 0 PALLAD -0.5 -0.6 -0.4 NaN 0 PLAT 0.4 0.1 0.6 0.0 0 REDWHEAT -2.1 -2.2 -2.0 -3.0 -3 RICE -0.8 -1.1 -0.4 NaN 0 ROBUSTA 1.7 1.5 1.9 5.0 5 RUSSELL -21.9 -23.9 -19.9 -2.0 -2 SHATZ -7.9 -8.5 -7.4 NaN 0 SILVER-mini -1.0 -1.1 -0.8 NaN 0 SMI 0.4 0.2 0.6 4.0 4 SOFR -19.8 -21.6 -17.9 NaN 0 SOYBEAN -0.1 -0.2 -0.0 1.0 1 SOYMEAL -0.6 -0.7 -0.6 0.0 0 SOYOIL 0.2 0.1 0.3 0.0 0 SP400 -0.9 -0.9 -0.8 0.0 0 SP500_micro -6.9 -7.6 -6.1 0.0 0 SUGAR11 1.8 1.5 2.1 0.0 0 US10 -2.0 -2.1 -1.8 NaN 0 US10U -1.1 -1.3 -1.0 -4.0 -4 US2 -5.4 -5.8 -5.1 NaN 0 US20 -0.7 -0.8 -0.6 -3.0 -3 US30 -0.5 -0.5 -0.4 -3.0 -3 US5 -3.9 -4.1 -3.6 -5.0 -5 VIX -52.4 -55.1 -49.8 -16.0 -16 WHEAT -2.1 -2.3 -2.0 -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 3.2 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 0.1 -0.5 -0.3 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.4 0.0 -0.3 -0.1 -0.2 -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 0.2 0.2 -0.3 -0.5 -0.3 -0.7 -0.2 0.1 BITCOIN -0.0 -0.6 -0.1 -0.0 0.1 -0.0 0.1 0.0 0.0 0.2 0.1 0.1 0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.0 -0.1 -2.7 -0.1 0.1 -0.1 0.0 -0.0 -0.0 -0.1 0.2 -0.2 -0.3 -0.3 -0.3 0.7 -0.3 0.7 BOBL -0.2 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.1 -0.1 -0.2 -0.3 -0.3 -0.1 -0.1 -0.1 -0.3 -0.1 1.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.8 -0.0 -0.0 0.1 0.1 -0.7 -0.7 -0.7 -0.6 BTP -0.3 -0.3 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.0 -0.1 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.9 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.9 0.1 0.0 0.1 0.4 -0.4 -0.7 0.1 0.3 BUND -0.2 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.0 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.8 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.8 0.0 0.0 0.1 0.1 -0.7 -0.7 -0.6 -0.1 BUXL -0.2 -0.2 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.3 -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 -0.4 -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 0.5 0.0 0.5 0.0 0.7 0.0 0.7 0.2 CAD 0.2 -0.6 -0.0 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.2 -0.1 0.2 -0.4 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.2 -0.2 -0.0 0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.0 0.5 0.5 -0.2 -0.4 -0.7 -0.7 -0.7 -0.6 CANOLA -0.6 -0.2 0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 -0.1 -0.1 0.1 -0.2 0.2 -0.1 0.1 -0.0 0.1 -0.2 0.0 -0.2 -2.7 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.4 -0.5 -0.6 -0.3 0.6 -0.4 0.1 0.3 0.6 CHF -0.6 -0.6 0.0 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.2 0.1 -0.2 0.5 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.0 -0.2 0.3 -0.2 -1.5 -0.1 -0.0 0.0 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 -0.6 -0.3 -0.7 -0.7 -0.7 -0.7 COCOA 0.2 -0.3 0.2 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 0.5 0.1 0.7 0.2 0.2 -0.1 -0.0 -0.1 -0.1 0.2 0.2 -0.0 0.5 0.2 -1.9 0.1 -0.1 0.3 -0.0 0.4 0.0 -0.5 -0.0 0.6 0.6 0.6 -0.1 -0.4 0.6 0.0 COFFEE 0.5 -0.1 -0.6 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.1 -0.4 0.2 -0.5 -0.0 -0.2 -0.1 0.0 -0.0 0.0 -0.1 -0.2 0.2 -0.5 0.1 -2.7 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.2 0.5 0.6 -0.0 -0.6 -0.7 -0.7 -0.6 -0.3 COPPER 0.0 -0.2 -0.1 -0.0 0.1 -0.0 0.0 0.0 0.0 -0.0 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.8 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.5 -0.2 0.2 0.2 0.2 -0.7 0.5 -0.7 CORN -0.1 -0.5 -0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.3 -0.1 -0.3 -0.1 -0.1 -0.2 0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.1 -1.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.2 0.1 -0.0 -0.3 0.1 -0.1 0.1 0.0 0.3 COTTON2 -0.0 0.2 0.4 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.0 0.3 -0.0 -0.3 0.0 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 0.2 0.2 0.6 0.5 0.3 -0.6 -0.5 0.3 0.4 CRUDE_W 0.6 0.6 0.6 0.1 0.0 0.2 0.0 0.1 0.1 0.1 0.5 0.2 0.0 0.2 0.2 0.4 0.2 0.3 0.2 0.2 0.2 0.2 0.5 0.2 -1.0 0.1 0.0 0.2 0.1 0.2 0.1 -1.1 0.3 0.6 -0.2 -0.1 0.7 0.4 0.7 0.3 DAX 0.0 -0.4 -0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.1 -0.1 0.6 -0.2 -0.2 -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 0.0 -0.2 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 -0.1 0.2 0.0 0.5 -0.1 0.0 -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 0.1 -0.0 0.2 0.6 -0.5 -0.2 -0.7 -0.3 DX 0.4 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 0.0 0.1 0.1 0.1 0.1 0.7 0.1 0.6 0.6 0.1 -0.0 0.2 0.1 0.7 EUR -0.4 -0.6 -0.1 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.2 -0.1 0.3 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.0 -0.2 1.8 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.4 -0.4 -0.5 -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 -0.1 -0.1 -0.1 -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 0.0 0.1 0.2 0.1 -0.7 -0.7 0.7 0.4 EUROSTX -0.1 -0.4 -0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.2 -0.1 0.6 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 0.3 -0.1 0.8 -0.0 0.0 0.0 -0.0 0.2 -0.0 0.3 0.2 -0.2 0.2 -0.2 0.7 0.1 0.7 0.4 FEEDCOW 0.5 0.2 0.6 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.1 0.5 0.2 0.7 0.2 0.2 0.0 -0.4 -0.2 -0.4 0.2 0.2 0.2 0.5 0.2 0.1 0.1 0.1 0.3 0.1 0.4 0.1 -1.1 0.5 0.6 0.6 0.6 0.3 -0.3 0.7 0.0 GASOIL 0.1 0.6 0.6 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.4 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 1.6 0.1 0.0 0.2 0.0 0.1 0.1 0.0 0.5 -0.1 0.5 0.6 -0.6 0.1 -0.7 -0.1 GASOLINE 0.2 0.5 0.6 0.1 0.0 0.2 0.0 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 0.1 0.5 0.2 -2.7 0.1 -0.0 0.3 0.0 0.3 0.1 1.1 -0.1 -0.6 -0.6 0.1 0.7 0.4 0.7 0.2 GAS_US_mini -0.2 0.1 0.5 0.1 0.0 0.1 0.0 0.1 0.1 -0.0 -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 -0.2 -0.0 -1.1 -0.4 -0.6 -0.6 -0.6 0.1 0.2 -0.2 -0.0 GBP -0.5 -0.6 0.0 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.2 0.1 -0.2 0.4 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -0.2 0.2 -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.5 -0.6 -0.4 -0.2 -0.0 0.5 0.2 0.7 GOLD_micro 0.2 -0.4 -0.5 -0.0 0.1 -0.0 0.1 0.1 0.0 0.2 -0.3 0.0 0.2 -0.1 -0.2 -0.4 -0.3 -0.4 -0.3 -0.1 -0.1 0.1 -0.0 -0.0 -1.5 -0.0 0.1 -0.0 0.1 0.1 0.0 -1.0 0.1 0.6 0.1 -0.4 -0.6 -0.7 -0.4 -0.7 HEATOIL 0.0 0.6 0.6 0.1 0.0 0.1 0.0 0.1 0.1 -0.0 0.5 0.1 0.1 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.2 0.1 0.2 0.2 -0.6 0.3 0.6 0.2 -0.0 0.0 -0.2 JGB-SGX-mini -0.1 -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 0.1 -0.1 0.1 -0.6 -0.3 0.3 0.3 JPY -0.1 -0.6 -0.6 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.4 -0.1 -0.5 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 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 0.3 0.0 0.3 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.1 -0.0 0.1 -0.2 0.0 0.1 0.4 0.4 0.4 0.4 0.0 -0.0 0.1 -0.3 0.1 2.1 -0.0 0.1 -0.2 0.1 -0.4 0.0 1.1 0.5 0.6 0.1 -0.0 -0.4 -0.0 0.5 0.7 LIVECOW 0.4 -0.1 0.6 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.4 -0.0 -0.3 -0.1 0.2 0.2 0.2 0.5 0.2 0.4 0.1 0.1 0.3 0.1 0.4 0.1 -0.2 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.7 LUMBER-new -0.3 -0.4 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.6 -0.3 -0.6 -0.3 -0.3 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.2 -0.4 -0.2 NaN -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -1.2 -0.3 -0.8 -0.7 -0.5 -0.6 -0.8 -0.3 -0.8 MILK 0.1 0.5 0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.3 0.0 0.1 -0.0 -0.4 -0.3 -0.4 0.0 -0.1 -0.1 -0.4 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -1.1 -0.5 0.1 0.4 -0.5 -0.7 -0.7 -0.5 -0.7 MXP -0.5 -0.3 -0.3 -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 0.1 0.2 0.1 0.5 0.0 -2.7 0.0 0.0 0.2 0.0 0.4 0.0 1.1 0.5 0.1 0.4 0.4 0.7 0.3 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 0.0 0.3 -0.0 0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.0 0.4 -0.0 -2.7 0.0 -0.0 0.2 -0.0 0.3 -0.0 -0.3 -0.2 -0.0 0.1 0.6 -0.1 -0.5 -0.3 -0.6 NIKKEI 0.4 -0.2 0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.1 0.5 0.2 0.6 0.1 0.1 0.2 0.2 0.3 0.3 0.2 0.2 0.1 0.5 0.2 -1.1 0.1 0.0 0.3 0.1 0.4 0.1 1.1 0.2 0.6 0.6 0.6 0.1 0.1 -0.1 0.4 NZD 0.0 -0.6 -0.3 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.4 0.0 -0.1 -0.1 -0.2 0.0 0.0 0.0 0.0 -0.1 -0.1 0.0 -0.3 -0.1 0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.2 0.2 0.1 -0.2 -0.6 -0.0 -0.5 0.1 0.2 OAT -0.1 -0.1 0.0 -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 -0.1 -0.1 -0.1 -0.2 -0.1 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 -0.1 0.2 OATIES -0.6 0.0 0.6 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.3 -0.1 -0.1 -0.0 0.1 -0.3 -0.1 -0.3 -0.3 0.1 0.2 -0.2 0.3 -0.1 -2.7 0.0 -0.1 0.1 -0.1 0.1 -0.0 -1.1 -0.5 -0.1 0.5 0.6 0.2 0.5 0.7 0.7 OJ 0.2 0.1 0.6 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 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 0.1 0.3 0.1 1.1 0.5 0.6 0.6 0.6 0.2 0.2 0.7 0.6 PALLAD 0.1 0.2 -0.6 -0.0 0.1 -0.0 0.0 0.0 0.0 0.1 -0.4 0.1 -0.5 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 0.1 -0.5 0.0 -0.2 -0.0 0.1 -0.1 0.0 -0.2 0.0 0.1 0.2 -0.2 0.2 -0.5 -0.5 -0.2 0.2 -0.0 PLAT 0.0 -0.0 -0.5 -0.0 0.1 -0.0 0.0 0.0 0.0 0.1 -0.3 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 1.9 0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 0.0 0.4 0.3 -0.3 0.0 -0.6 0.5 -0.5 REDWHEAT -0.1 -0.6 -0.3 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.3 -0.1 -0.5 -0.2 -0.2 -0.1 0.0 -0.1 -0.0 -0.2 -0.1 -0.0 -0.3 -0.1 -2.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 0.1 -0.1 -0.6 -0.4 -0.7 -0.6 -0.5 -0.3 RICE -0.2 0.2 0.4 -0.0 -0.1 -0.0 -0.1 -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 0.2 0.3 0.4 -0.2 -0.7 0.4 -0.3 ROBUSTA 0.3 -0.2 -0.2 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.1 0.4 0.1 0.5 0.1 0.0 0.4 0.4 0.4 0.4 0.1 0.2 0.1 0.5 0.1 -2.4 0.0 0.0 0.2 0.1 0.4 0.1 1.1 0.5 0.6 0.4 0.2 -0.0 -0.5 0.6 -0.1 RUSSELL -0.3 -0.6 0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.2 -0.0 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.0 -0.2 -0.0 -0.2 -0.4 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.1 -0.5 -0.2 -0.1 0.6 -0.3 -0.4 -0.7 -0.5 SHATZ -0.4 0.0 -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 -0.1 -0.1 -0.1 -0.4 -0.1 1.5 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.9 -0.2 -0.2 0.1 -0.1 -0.7 -0.7 -0.7 -0.7 SILVER-mini -0.2 -0.3 -0.2 -0.0 0.1 -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 -0.0 0.0 -0.1 1.0 0.0 0.0 0.0 0.0 0.1 0.0 -0.2 -0.2 0.0 0.1 0.2 -0.6 -0.7 -0.2 -0.7 SMI 0.2 -0.2 -0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 0.1 0.2 -0.0 -0.1 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.0 0.8 0.0 0.1 -0.0 0.1 -0.1 0.0 0.5 0.5 0.3 0.6 -0.2 -0.3 -0.5 -0.5 -0.5 SOFR -0.0 -0.4 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.0 0.3 0.0 -0.1 -0.7 -0.7 -0.4 -0.1 SOYBEAN -0.3 0.0 0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 0.0 -0.0 0.1 0.1 0.4 0.2 0.3 0.0 0.0 -0.1 0.0 -0.0 -2.7 0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 -0.2 -0.0 -0.1 0.6 -0.5 0.1 -0.3 0.4 SOYMEAL -0.2 -0.1 -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 0.2 0.4 0.2 0.3 -0.0 -0.0 -0.1 0.1 -0.1 -2.7 0.0 -0.0 0.0 -0.0 0.1 -0.0 1.1 0.0 0.1 -0.1 0.3 -0.7 -0.7 -0.6 -0.6 SOYOIL -0.6 0.1 0.6 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.3 -0.1 0.0 -0.1 0.1 0.3 0.2 0.3 0.2 0.1 0.1 -0.1 0.2 -0.1 -2.7 0.0 -0.1 0.1 -0.0 0.1 -0.0 0.8 -0.3 -0.2 0.0 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 -0.2 -1.7 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 -0.4 0.1 -0.1 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 -0.0 0.4 -0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.1 0.4 -0.0 -2.4 0.0 -0.1 0.2 -0.0 0.3 -0.0 -0.4 -0.2 -0.0 0.0 0.6 -0.2 -0.5 -0.5 -0.7 SUGAR11 0.6 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.1 0.5 0.2 0.7 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 0.1 -0.7 -0.7 0.3 -0.0 US10 -0.1 -0.5 -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 -0.1 -0.4 -0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.5 0.0 0.2 -0.0 -0.2 -0.7 -0.7 0.4 0.0 US10U -0.1 -0.5 -0.6 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.0 -0.0 -0.0 -0.0 -0.2 -0.2 -0.1 -0.4 -0.1 -0.5 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.1 0.1 0.3 -0.1 -0.2 -0.7 -0.7 0.7 0.6 US2 0.0 -0.2 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.1 -0.5 -0.1 1.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.1 0.1 0.1 -0.3 -0.7 -0.7 -0.7 -0.7 US20 -0.0 -0.5 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.1 0.2 -0.2 -0.2 -0.7 -0.7 0.7 0.7 US30 -0.0 -0.5 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -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 0.1 0.3 -0.2 -0.1 -0.7 -0.7 0.7 0.7 US5 -0.1 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.3 -0.2 -0.3 -0.3 -0.1 -0.2 -0.1 -0.4 -0.1 0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.9 -0.0 0.2 0.0 -0.2 -0.7 -0.7 -0.0 -0.6 VIX -0.6 0.2 -0.8 -0.1 -0.0 -0.4 -0.1 -0.6 -0.1 -0.1 -0.9 -0.3 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.2 -0.9 -0.3 NaN -0.2 -0.0 -0.5 -0.1 -0.8 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.4 -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 -0.2 -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 -0.5 -0.1 -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 3.3 -16.5 -9.0 -1.8 1.0 1.6 -0.8 2.7 -2.7 14.4 -14.5 4.3 -9.1 -12.5 -14.3 -3.4 -2.8 -3.1 -3.0 -13.0 -13.0 2.8 -11.2 -6.1 3.4 -4.5 3.4 -4.2 1.4 -3.5 -2.1 -1.3 7.7 6.4 -8.3 -15.4 -7.9 -20.0 -4.7 3.8 BITCOIN -1.3 -18.4 -2.4 -1.9 9.6 -0.6 5.4 1.3 0.5 20.0 4.1 7.2 3.5 -11.6 -14.9 -4.9 -4.3 -5.9 -5.4 -11.6 -4.2 6.8 -0.1 -6.1 -20.0 -5.3 5.6 -2.9 2.9 -0.3 -2.6 -1.3 6.7 -6.4 -9.9 -8.0 -9.5 20.0 -7.8 20.0 BOBL -6.5 0.1 -2.1 -2.6 -3.0 -2.4 -3.2 -2.7 -2.8 -7.2 -4.8 -7.7 -7.5 -6.6 -6.2 -5.4 -8.9 -16.5 -14.6 -4.9 -5.5 -8.9 -9.5 -6.4 9.9 -2.3 -5.1 -2.1 -4.9 -3.4 -3.4 -15.6 -2.1 -0.7 4.4 1.9 -20.0 -20.0 -20.0 -16.9 BTP -8.3 -9.7 1.5 -3.9 -4.4 -3.6 -4.6 -3.9 -4.1 -6.0 2.4 -10.3 0.5 -10.1 -6.5 5.3 7.6 5.4 6.2 -5.2 -1.6 -8.5 -2.6 -8.1 -6.6 -2.9 -2.6 -0.5 -4.7 -0.4 -4.5 16.4 5.6 0.5 3.1 12.9 -12.5 -20.0 1.5 9.5 BUND -4.7 -2.8 0.3 -2.8 -3.1 -2.6 -3.3 -2.8 -2.9 -7.0 -6.2 -7.4 -8.2 -6.8 -6.9 0.5 7.7 3.7 5.4 -5.1 -5.5 -7.4 -9.3 -6.0 6.3 -2.6 -4.1 -2.2 -4.1 -3.3 -3.2 15.7 1.4 1.4 2.5 3.3 -20.0 -20.0 -17.1 -1.7 BUXL -6.1 -6.0 0.3 -3.2 -3.6 -2.9 -3.8 -3.2 -3.4 -8.3 -9.4 -9.0 -10.3 -9.0 -8.5 0.3 1.0 0.7 1.1 -8.3 -8.5 -9.7 -12.8 -8.9 1.1 -3.3 -3.9 -2.8 -4.2 -3.3 -3.8 6.3 0.6 -0.8 -2.6 3.4 -20.0 -20.0 -6.4 17.4 CAC 0.3 -8.3 -11.1 -3.1 -2.4 0.2 -1.8 3.1 -3.0 6.3 10.2 3.0 19.8 -9.1 -5.5 -6.9 -1.5 -6.1 -4.0 -2.5 4.0 4.7 15.6 -0.6 -5.3 -1.0 5.6 2.3 3.6 7.6 0.2 5.5 20.0 0.7 14.0 0.4 20.0 0.8 20.0 6.0 CAD 6.7 -17.6 -1.3 -2.6 1.4 2.4 -1.2 3.9 -4.0 20.0 -3.7 20.0 -11.8 -10.1 -14.0 -2.5 -2.1 -2.3 -2.3 -11.7 -8.7 17.2 -7.7 -0.8 1.4 -4.3 10.2 -3.0 7.2 -2.1 0.0 0.0 20.0 16.3 -7.4 -12.9 -20.0 -20.0 -20.0 -18.5 CANOLA -20.0 -6.3 20.0 -1.1 -4.7 -1.1 -4.3 -2.4 -3.0 -10.6 6.0 -11.2 -3.7 -9.7 5.6 -9.6 9.4 -3.0 4.2 -1.3 4.7 -20.0 0.5 -14.9 -20.0 -0.2 -5.7 0.6 -5.7 -1.1 -3.6 7.4 -20.0 -17.5 -9.3 19.1 -11.1 4.0 9.2 17.5 CHF -20.0 -19.6 1.5 -2.4 1.4 2.3 -1.1 3.7 -3.7 -18.1 2.2 -20.0 13.3 -20.0 -14.3 -16.2 -13.7 -15.4 -14.6 -17.4 -0.2 -20.0 9.4 -20.0 -10.9 -5.0 -4.6 0.3 -7.9 2.7 -8.6 -20.0 -20.0 -20.0 -18.1 -8.8 -20.0 -20.0 -20.0 -20.0 COCOA 5.4 -9.3 6.2 -1.9 -8.4 -2.0 -7.6 -4.3 -5.3 -17.3 20.0 7.6 20.0 14.6 20.0 -4.3 -2.4 -4.6 -3.2 20.0 20.0 -0.5 20.0 16.0 -14.0 7.9 -7.1 10.9 -1.0 11.3 4.1 -9.7 -1.0 20.0 20.0 20.0 -2.4 -10.7 17.1 0.3 COFFEE 14.4 -3.4 -17.2 -1.9 -8.4 -2.0 -7.6 -4.3 -5.2 14.7 -15.3 15.4 -14.1 -2.5 -16.8 -3.2 1.9 -1.5 0.4 -9.9 -17.0 17.8 -17.0 5.0 -20.0 -3.3 9.3 -4.4 8.4 -3.5 2.0 -2.8 20.0 20.0 -0.6 -20.0 -20.0 -20.0 -17.3 -10.3 COPPER 0.9 -5.7 -2.7 -1.5 7.7 -0.5 4.4 1.1 0.4 -2.2 -8.7 -2.6 -3.0 -7.6 -5.2 -5.9 -2.7 -5.1 -4.0 -4.7 -5.6 -4.9 -5.4 -4.0 -5.9 -1.0 -3.9 -1.8 -2.1 -2.3 -1.0 1.3 -19.5 -4.9 7.3 7.2 7.2 -20.0 14.5 -19.9 CORN -2.6 -16.5 -16.2 -1.0 -4.4 -1.1 -4.0 -2.2 -2.7 -1.6 -10.2 -7.5 -9.6 -10.3 -11.0 -8.2 3.1 -7.2 -2.9 -10.2 -11.6 -3.1 -9.6 -6.7 -10.2 -2.9 0.2 -3.2 -1.6 -3.8 -2.7 -4.4 3.1 -1.1 -9.8 1.7 -4.3 3.9 1.4 9.9 COTTON2 -0.9 4.8 13.6 -1.4 -6.3 -1.5 -5.7 -3.2 -3.9 1.8 10.1 -2.3 -8.5 1.7 10.3 -0.6 5.8 3.3 4.0 7.2 6.7 0.3 0.7 3.5 -20.0 5.2 -0.2 4.5 1.6 2.7 3.8 2.8 7.0 19.1 15.3 10.6 -17.3 -16.0 10.0 10.7 CRUDE_W 20.0 20.0 20.0 8.0 0.2 6.0 4.2 3.3 7.0 14.5 20.0 20.0 0.9 20.0 20.0 18.5 9.8 12.8 10.3 20.0 20.0 20.0 18.5 20.0 -7.4 9.3 2.2 6.9 7.2 4.6 9.6 -20.0 14.4 20.0 -6.7 -2.1 20.0 12.5 20.0 8.8 DAX 0.1 -13.5 -12.1 -2.9 -2.3 0.2 -1.8 2.9 -2.8 -6.7 3.9 -10.5 17.2 -16.7 -15.1 -9.7 -7.3 -9.1 -8.5 -8.4 -0.3 -5.1 11.0 -7.7 19.7 -4.5 -1.9 -1.0 -2.7 3.8 -4.0 -3.6 0.8 -6.5 4.1 -9.6 20.0 0.4 20.0 8.2 DOW -3.3 -12.8 6.9 -2.5 -1.9 0.2 -1.5 2.5 -2.4 -10.4 9.1 0.4 12.8 -7.6 3.6 -11.7 -8.3 -11.3 -10.2 -0.6 5.6 -4.1 7.3 -4.5 -10.8 1.2 -1.7 4.6 -0.9 5.6 -0.8 -5.7 5.7 -0.1 7.6 20.0 -13.6 -7.2 -20.0 -7.7 DX 13.4 20.0 7.6 -2.3 1.3 2.1 -1.0 3.5 -3.5 7.4 11.8 18.0 -8.7 20.0 20.0 7.7 5.4 6.9 6.0 20.0 12.9 17.4 5.1 20.0 -20.0 6.5 1.9 3.5 4.9 2.1 7.2 13.5 6.2 20.0 20.0 2.0 -1.1 7.4 2.7 20.0 EUR -11.5 -19.5 -4.4 -1.9 1.1 1.8 -0.9 2.9 -2.9 -5.6 -7.9 -13.7 7.9 -16.3 -15.1 -6.5 -6.8 -6.6 -6.6 -14.9 -6.3 -12.3 -1.0 -17.3 13.4 -5.1 -2.0 -1.9 -4.5 -0.2 -6.1 -7.8 -14.8 -16.1 -14.5 -13.7 -6.6 -19.7 -1.4 -1.3 EURIBOR-ICE -1.7 3.1 1.6 -2.5 -2.8 -2.3 -2.9 -2.5 -2.6 -6.4 -3.7 -5.8 -6.7 -3.1 -1.9 -9.3 -8.0 -9.3 -9.1 -2.1 -3.7 -5.5 -8.5 -3.1 17.5 -0.9 -3.2 -1.4 -2.7 -3.5 -1.5 -10.6 0.1 3.4 7.6 2.5 -20.0 -20.0 20.0 11.2 EUROSTX -2.3 -12.4 -12.2 -2.7 -2.1 0.2 -1.6 2.7 -2.6 2.0 6.1 -7.0 17.0 -15.5 -14.5 -5.3 -1.4 -4.9 -3.7 -6.5 1.3 -2.0 12.3 -6.1 5.7 -4.0 1.2 0.1 -1.0 5.7 -3.6 5.9 6.8 -7.3 7.1 -4.9 20.0 3.2 20.0 12.1 FEEDCOW 16.6 6.9 20.0 -2.2 -9.8 -2.4 -8.9 -5.0 -6.1 16.0 20.0 20.0 20.0 20.0 20.0 0.4 -20.0 -10.6 -20.0 20.0 20.0 20.0 20.0 20.0 0.7 9.8 6.6 10.1 9.7 10.1 10.5 -20.0 20.0 20.0 20.0 20.0 8.4 -9.2 20.0 0.0 GASOIL 2.9 20.0 20.0 6.2 0.1 4.6 3.2 2.5 5.4 6.7 16.4 14.3 4.3 18.0 19.9 20.0 20.0 20.0 20.0 20.0 20.0 20.0 19.0 20.0 12.0 7.2 0.7 5.8 3.7 3.1 5.8 0.0 20.0 -3.5 15.5 18.8 -18.7 2.6 -20.0 -4.1 GASOLINE 6.8 14.0 20.0 7.8 0.2 5.9 4.1 3.2 6.8 -6.1 20.0 13.9 5.9 18.8 20.0 20.0 20.0 20.0 20.0 20.0 20.0 12.5 20.0 20.0 -20.0 9.2 -3.1 9.6 2.6 8.7 6.6 20.0 -5.8 -17.0 -20.0 4.6 20.0 12.9 20.0 4.8 GAS_US_mini -7.2 3.5 15.6 7.1 0.1 5.3 3.7 2.9 6.2 -0.8 -19.5 -14.5 -20.0 -20.0 -11.6 -20.0 -20.0 -20.0 -20.0 -11.1 -20.0 -6.4 -20.0 -11.1 20.0 -1.2 -1.0 -1.8 -1.0 -4.3 -2.2 -20.0 -17.9 -20.0 -20.0 -20.0 1.9 6.4 -6.8 -0.2 GBP -16.1 -18.7 0.2 -2.3 1.3 2.1 -1.0 3.5 -3.5 -18.8 4.4 -20.0 12.4 -20.0 -14.3 -0.1 -0.7 -0.0 -0.3 -14.8 -0.2 -20.0 5.9 -20.0 -0.9 -5.4 -6.4 -0.3 -8.4 1.1 -8.6 2.8 -20.0 -20.0 -12.1 -6.8 -0.5 14.8 4.6 20.0 GOLD_micro 6.5 -11.6 -15.1 -2.2 10.8 -0.7 6.1 1.5 0.5 20.0 -11.7 4.6 5.6 -9.4 -15.6 -19.3 -14.0 -18.1 -16.2 -13.7 -12.4 9.6 -0.7 -3.1 -11.5 -0.9 13.2 -1.3 8.7 2.1 3.8 -18.9 3.2 20.0 2.0 -11.4 -19.5 -20.0 -11.0 -20.0 HEATOIL 0.3 18.1 20.0 6.9 0.1 5.2 3.6 2.8 6.0 -1.6 17.2 11.1 3.2 17.9 20.0 20.0 20.0 20.0 20.0 20.0 20.0 15.5 18.8 20.0 -20.0 7.8 -1.0 7.2 1.9 5.1 5.0 4.0 7.7 -18.9 10.0 20.0 4.9 -1.4 0.9 -4.6 JGB-SGX-mini -1.7 -14.5 -16.7 -3.2 -3.6 -3.0 -3.8 -3.2 -3.4 -7.0 2.0 -8.1 5.0 -9.6 -9.3 20.0 20.0 17.3 17.2 -7.5 -3.0 -6.1 2.0 -7.2 -0.3 -2.9 -1.4 -1.5 -2.5 -0.4 -2.9 20.0 -1.4 3.3 -3.7 2.7 -17.1 -9.5 9.1 8.6 JPY -3.3 -17.5 -17.8 -1.5 0.8 1.4 -0.7 2.2 -2.3 -12.1 -14.1 -13.1 -13.0 -14.0 -14.3 -17.1 -14.3 -16.6 -15.8 -19.7 -20.0 -8.9 -20.0 -14.2 20.0 -5.1 -1.8 -5.4 -2.6 -5.3 -3.9 -20.0 -8.8 -8.9 -12.4 -20.0 -5.1 -20.0 -3.6 -20.0 LEANHOG 10.3 1.4 10.8 -1.3 -5.9 -1.4 -5.3 -3.0 -3.7 9.5 -1.6 10.9 -6.2 2.1 9.6 20.0 20.0 20.0 20.0 2.7 -3.7 9.6 -11.3 5.8 15.5 -0.5 9.1 -5.8 5.1 -10.4 2.6 20.0 20.0 20.0 3.3 -1.2 -11.1 -0.4 14.9 20.0 LIVECOW 11.3 -2.7 17.1 -2.2 -9.7 -2.3 -8.8 -4.9 -6.1 18.8 20.0 20.0 20.0 20.0 20.0 -20.0 -0.1 -16.4 -2.6 20.0 20.0 20.0 20.0 20.0 2.8 9.6 7.3 11.6 9.6 12.2 9.4 -4.2 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -20.0 LUMBER-new -8.9 -10.6 -3.0 -2.1 -9.3 -1.9 -8.4 -3.3 -5.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -17.6 -13.9 -15.9 -14.6 -19.2 -16.9 -19.5 -14.0 -19.5 NaN -7.1 -11.0 -5.2 -8.7 -3.5 -8.1 -20.0 -10.1 -20.0 -19.3 -13.4 -16.7 -20.0 -7.4 -20.0 MILK 2.6 16.1 12.1 -1.1 -4.6 -1.1 -4.2 -2.4 -2.9 -10.9 -3.5 -5.3 -9.7 0.9 5.7 -0.3 -20.0 -17.3 -20.0 2.1 -5.3 -12.3 -13.3 -1.0 -0.7 -0.2 -8.8 -3.4 -5.0 -6.2 -0.9 -20.0 -20.0 4.5 12.9 -14.2 -20.0 -20.0 -13.8 -20.0 MXP -14.3 -10.1 -9.7 -1.8 1.0 1.7 -0.8 2.7 -2.7 14.9 14.5 4.6 16.5 2.2 8.9 14.6 17.4 16.2 16.8 5.0 14.8 7.6 20.0 2.2 -20.0 2.2 5.4 7.1 3.3 11.0 0.6 20.0 20.0 1.8 12.7 13.4 20.0 7.6 20.0 20.0 NASDAQ_micro 1.6 -20.0 6.6 -1.7 -1.3 0.1 -1.0 1.7 -1.6 -11.0 9.8 0.8 9.0 -1.4 3.8 -9.7 -8.2 -10.0 -9.6 3.7 12.1 -5.5 14.2 -1.5 -20.0 1.6 -4.1 6.2 -2.4 8.2 -0.9 -5.2 -9.7 -1.5 2.7 20.0 -3.5 -15.3 -10.5 -18.0 NIKKEI 13.2 -6.9 5.5 -2.8 -2.2 0.2 -1.7 2.8 -2.7 8.6 17.2 15.9 17.4 13.4 12.2 9.5 12.4 12.7 12.8 14.1 20.0 15.0 20.0 14.7 -8.4 6.1 2.5 9.9 6.1 11.5 5.9 20.0 7.3 20.0 20.0 20.0 3.8 3.6 -2.0 10.9 NZD 0.9 -18.1 -9.5 -1.8 1.0 1.6 -0.8 2.7 -2.7 14.2 -13.9 0.6 -2.0 -13.1 -14.9 0.1 0.4 0.1 0.2 -13.9 -12.6 1.5 -9.8 -7.7 0.5 -4.7 3.1 -4.0 0.9 -2.9 -2.6 4.3 6.5 3.3 -7.6 -19.1 -1.4 -14.5 3.7 7.2 OAT -4.4 -3.0 1.2 -3.0 -3.3 -2.7 -3.5 -3.0 -3.1 -7.1 -6.5 -7.8 -8.5 -7.0 -6.8 5.3 8.2 5.9 6.9 -5.0 -5.0 -7.4 -8.3 -6.0 8.4 -2.6 -4.0 -2.1 -4.2 -3.3 -3.3 17.5 2.1 2.1 3.1 4.7 -20.0 -20.0 -2.1 5.6 OATIES -20.0 0.2 20.0 -1.3 -5.6 -1.4 -5.1 -2.9 -3.5 -13.3 10.7 -11.9 -2.1 -3.6 8.5 -17.4 -5.7 -17.3 -13.3 10.1 16.3 -20.0 11.1 -8.3 -20.0 2.6 -9.9 3.8 -7.1 2.5 -1.8 -20.0 -20.0 -4.3 14.0 20.0 5.3 15.7 20.0 20.0 OJ 7.7 3.9 17.4 -1.8 -7.7 -1.9 -7.0 -3.9 -4.8 18.3 20.0 19.7 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 7.8 4.7 8.6 5.0 9.7 6.3 20.0 20.0 20.0 20.0 20.0 6.2 5.9 20.0 18.0 PALLAD 3.7 6.6 -17.6 -1.2 6.2 -0.4 3.5 0.9 0.3 13.0 -14.0 6.9 -15.0 -0.9 -10.8 -2.5 -2.6 -2.7 -2.7 -7.5 -19.0 8.5 -20.0 1.5 -1.1 -2.1 6.4 -4.8 4.3 -6.5 1.2 2.3 9.4 -4.7 7.3 -14.3 -16.2 -4.9 5.8 -0.6 PLAT 0.1 -0.3 -15.1 -1.2 6.1 -0.4 3.5 0.9 0.3 9.7 -10.4 -2.5 -3.0 -2.4 -8.3 -3.5 -2.3 -3.3 -2.9 -5.7 -7.9 4.2 -5.5 -1.3 14.5 1.0 5.0 -0.8 4.7 -0.8 3.2 2.4 0.6 11.8 8.9 -8.1 0.6 -17.9 14.3 -13.9 REDWHEAT -3.5 -20.0 -9.0 -1.3 -5.9 -1.4 -5.4 -3.0 -3.7 -5.7 -11.6 -8.4 -14.1 -14.6 -14.4 -3.6 1.4 -2.6 -0.3 -14.9 -12.9 -4.4 -9.6 -10.6 -15.2 -4.3 -1.7 -3.4 -1.7 -2.0 -3.4 -3.7 4.8 -3.3 -20.0 -11.1 -20.0 -19.3 -15.5 -8.7 RICE -5.8 4.9 11.4 -1.5 -6.4 -1.6 -5.8 -3.3 -4.0 0.7 7.1 -4.5 3.3 -1.5 9.6 -15.6 15.3 -1.2 13.8 6.5 6.6 -4.2 3.5 0.6 -20.0 1.5 -2.5 2.3 -3.0 1.3 -1.6 20.0 -20.0 6.5 9.8 12.9 -5.3 -19.6 10.8 -9.9 ROBUSTA 7.9 -5.8 -5.3 -1.6 -7.0 -1.7 -6.3 -3.6 -4.4 8.6 13.0 11.6 14.0 7.7 0.3 20.0 20.0 20.0 20.0 7.4 15.1 14.5 20.0 9.7 -17.8 3.4 4.8 7.1 7.4 10.5 4.7 20.0 20.0 20.0 11.2 7.7 -0.6 -14.1 18.6 -4.3 RUSSELL -10.4 -20.0 6.7 -2.5 -2.0 0.2 -1.5 2.5 -2.4 -17.0 -1.0 -17.7 -1.9 -18.1 -4.9 -8.6 -5.9 -7.9 -7.1 -11.0 -1.5 -18.5 -0.8 -18.2 -3.1 -1.6 -6.7 1.5 -4.8 2.2 -3.8 -1.1 -20.0 -4.9 -3.1 18.8 -10.5 -11.3 -20.0 -16.1 SHATZ -12.8 1.4 -8.8 -2.5 -2.9 -2.4 -3.0 -2.6 -2.7 -7.4 -6.8 -8.1 -7.8 -7.2 -6.6 -20.0 -9.0 -20.0 -16.3 -7.4 -8.6 -13.4 -13.6 -10.0 11.0 -2.4 -5.0 -2.3 -5.1 -3.6 -3.7 -16.6 -9.2 -7.1 3.8 -2.2 -20.0 -20.0 -20.0 -20.0 SILVER-mini -7.5 -8.0 -6.5 -1.4 7.0 -0.4 4.0 1.0 0.3 13.2 -0.2 -6.2 4.6 -7.8 -7.6 -7.0 -5.9 -7.0 -6.6 -5.7 -2.5 -1.7 0.8 -6.3 7.5 0.9 4.9 1.4 1.7 1.5 0.7 -3.9 -8.7 0.7 4.0 5.6 -19.0 -20.0 -5.7 -20.0 SMI 7.4 -6.2 -10.4 -2.7 -2.1 0.2 -1.6 2.7 -2.6 9.2 2.2 8.8 6.0 -3.3 -9.2 0.9 1.0 -1.3 -0.9 -3.6 -3.3 9.4 0.4 2.7 6.0 0.1 10.0 -0.9 7.8 -1.6 3.7 10.2 20.0 9.9 20.0 -7.1 -7.6 -13.8 -16.1 -14.3 SOFR -0.3 -13.7 -16.6 -3.6 -4.0 -3.3 -4.2 -3.6 -3.8 -9.7 -8.6 -8.0 -5.5 -8.2 -9.4 -2.3 -1.0 -2.1 -1.6 -10.9 -10.4 -8.0 -8.7 -8.6 -1.9 -3.4 -3.7 -3.4 -2.7 -2.8 -2.5 2.0 1.3 9.9 1.4 -4.1 -20.0 -20.0 -10.7 -4.3 SOYBEAN -9.4 0.1 14.0 -1.0 -4.5 -1.1 -4.0 -2.3 -2.8 -8.3 5.8 -9.5 0.9 -4.3 5.8 5.2 18.1 8.5 13.0 1.8 3.4 -9.3 1.4 -4.3 -20.0 0.8 -3.6 1.5 -3.8 0.8 -1.8 20.0 -9.5 -1.4 -3.9 20.0 -13.7 3.5 -10.3 12.9 SOYMEAL -7.5 -1.7 -0.2 -1.1 -5.0 -1.2 -4.5 -2.5 -3.1 -5.6 -4.6 -9.1 2.4 -4.0 -2.1 8.4 18.2 11.3 15.9 -1.9 -1.0 -7.3 1.9 -4.8 -20.0 0.4 -1.8 1.8 -3.5 3.6 -2.0 20.0 0.0 2.0 -2.4 10.7 -20.0 -19.8 -16.8 -18.2 SOYOIL -17.3 2.5 20.0 -1.3 -5.7 -1.4 -5.1 -2.9 -3.5 -12.5 10.3 -11.5 0.4 -7.7 10.7 14.8 11.6 13.9 11.8 6.2 10.7 -12.1 6.0 -5.2 -20.0 2.2 -7.1 3.6 -4.3 2.0 -1.7 14.2 -14.6 -7.3 1.5 20.0 1.1 6.5 20.0 20.0 SP400 -10.4 -20.0 8.2 -2.4 -1.9 0.2 -1.4 2.4 -2.3 -16.0 2.2 -16.8 6.5 -16.8 -0.1 -5.2 -5.0 -5.8 -5.5 -8.7 1.1 -14.2 4.2 -15.4 -12.9 -0.6 -3.9 2.1 -2.7 2.9 -2.2 1.1 -17.2 1.6 -1.9 20.0 -3.4 -12.6 -18.4 -19.0 SP500_micro -1.1 -20.0 8.6 -2.3 -1.8 0.2 -1.4 2.3 -2.2 -15.2 11.7 -2.2 10.9 -6.2 4.9 -11.9 -9.5 -12.2 -11.2 2.2 11.4 -8.0 13.2 -4.0 -18.4 1.6 -5.6 6.1 -2.9 7.4 -1.3 -7.6 -9.7 -0.1 1.4 20.0 -6.2 -13.6 -16.4 -19.9 SUGAR11 20.0 9.9 -3.1 -1.9 -8.3 -2.0 -7.5 -4.2 -5.2 7.4 18.4 19.1 18.1 20.0 17.6 -3.4 9.9 -1.8 3.1 20.0 20.0 20.0 20.0 20.0 -20.0 6.8 2.7 7.4 6.3 10.4 7.9 7.0 20.0 20.0 20.0 1.9 -20.0 -20.0 8.7 -1.2 US10 -2.1 -14.1 -19.6 -3.0 -3.4 -2.8 -3.6 -3.1 -3.2 -8.4 -9.1 -8.7 -9.1 -9.1 -9.5 -9.5 -7.4 -9.4 -9.0 -11.8 -13.0 -7.6 -13.6 -8.8 1.1 -3.3 -2.9 -3.8 -2.3 -3.7 -2.3 -10.0 1.9 6.6 -0.6 -6.1 -20.0 -20.0 11.2 0.3 US10U -2.2 -15.0 -17.0 -4.0 -4.5 -3.7 -4.7 -4.0 -4.2 -9.8 -11.7 -11.3 -11.7 -12.0 -12.4 0.9 -1.1 -1.2 -1.7 -15.4 -16.2 -9.1 -16.6 -11.7 -3.7 -4.3 -2.8 -4.7 -2.5 -4.3 -2.8 1.7 4.5 9.0 -3.3 -7.2 -20.0 -20.0 20.0 19.5 US2 0.0 -5.7 -20.0 -2.9 -3.3 -2.7 -3.5 -2.9 -3.1 -8.6 -9.6 -8.9 -9.4 -9.0 -9.7 -20.0 -20.0 -20.0 -20.0 -13.5 -18.1 -10.3 -20.0 -9.9 9.5 -3.3 -4.4 -4.5 -3.0 -5.6 -2.3 -20.0 -2.1 3.6 2.7 -10.6 -20.0 -20.0 -20.0 -20.0 US20 -1.3 -16.9 -16.8 -2.9 -3.3 -2.7 -3.5 -2.9 -3.1 -5.5 -8.2 -7.0 -7.8 -8.2 -8.5 -5.4 -2.1 -3.7 -2.9 -11.8 -12.3 -5.6 -12.1 -8.4 -3.4 -3.1 -1.3 -3.3 -1.3 -3.0 -1.9 0.0 5.1 7.3 -5.4 -4.9 -20.0 -20.0 20.0 20.0 US30 -0.0 -14.3 -12.4 -3.4 -3.8 -3.1 -4.0 -3.4 -3.5 -5.8 -9.8 -8.1 -9.4 -9.1 -9.5 -7.3 -3.8 -6.9 -5.4 -12.3 -13.2 -5.9 -14.3 -8.7 -3.0 -3.4 -1.2 -3.8 -1.4 -3.5 -2.0 -3.3 5.7 9.7 -5.0 -3.6 -20.0 -20.0 20.0 20.0 US5 -2.2 -12.5 -20.0 -3.2 -3.6 -3.0 -3.8 -3.2 -3.4 -9.3 -9.8 -9.4 -9.8 -9.7 -10.2 -16.0 -10.4 -14.7 -13.1 -12.5 -14.2 -9.4 -15.6 -9.8 4.2 -3.5 -4.3 -4.1 -3.1 -4.4 -2.6 -16.0 -0.2 5.7 1.2 -6.7 -20.0 -20.0 -1.1 -17.2 VIX -11.6 4.0 -15.2 -7.5 -1.7 -9.8 -4.8 -11.2 -6.3 -8.3 -20.0 -19.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -14.9 -20.0 -20.0 NaN -8.7 -1.7 -11.3 -5.2 -13.5 -7.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -12.2 -20.0 -5.1 -0.9 -3.9 -1.0 -3.6 -2.0 -2.5 -5.4 -9.3 -9.1 -10.3 -10.4 -10.2 -11.4 -9.7 -11.4 -10.9 -12.8 -11.5 -6.5 -11.4 -11.3 -3.7 -3.1 -0.9 -2.5 -2.0 -2.3 -3.2 -20.0 -1.5 -9.5 -14.9 -3.0 -20.0 -13.6 -18.7 -9.1 End of report for caleb_strategy_v3