******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230927_204346 produced at 2023-09-27 21:39:19.208713 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.89 0.0 0.00 0.00 0.00 0.00 -23.00 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.38 0.0 0.00 0.00 0.00 0.00 -5.42 13.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.32 0.0 0.00 0.00 0.00 0.00 -8.33 24.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.24 0.0 0.11 -0.11 -0.11 -0.11 -36.49 17.0 -17 -17 caleb_strategy_v3 COPPER False False 0.03 -0.16 -0.22 0.0 0.19 -0.19 -0.16 -0.16 -7.04 6.0 -5 -5 caleb_strategy_v3 CHF False False 0.05 -0.42 -0.20 0.0 0.61 -0.61 -0.42 -0.37 -4.31 13.0 -9 -8 caleb_strategy_v3 GOLD_micro False True 0.01 -0.23 -0.19 0.0 0.00 -0.23 -0.23 -0.23 -29.82 56.0 -36 -36 caleb_strategy_v3 US5 False False 0.04 0.00 -0.15 0.0 0.90 -0.90 0.00 0.00 -4.17 25.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.09 -0.12 0.0 0.49 -0.49 -0.09 -0.14 -4.03 17.0 -3 -5 caleb_strategy_v3 EUR False False 0.05 -0.50 -0.11 0.0 0.63 -0.63 -0.50 -0.50 -2.44 14.0 -11 -11 caleb_strategy_v3 CAD False False 0.03 0.00 -0.08 0.0 0.74 -0.74 0.00 0.00 -3.34 29.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.06 -0.08 0.0 0.07 -0.07 -0.06 -0.06 -26.90 26.0 -22 -22 caleb_strategy_v3 DOW False False 0.01 -0.10 -0.08 0.0 0.38 -0.38 -0.10 -0.09 -13.09 66.0 -17 -16 caleb_strategy_v3 RUSSELL False False 0.00 -0.02 -0.08 0.0 0.21 -0.21 -0.02 -0.01 -25.10 68.0 -8 -3 caleb_strategy_v3 BOBL False False 0.04 -0.33 -0.08 0.0 0.79 -0.79 -0.33 -0.33 -1.94 19.0 -8 -8 caleb_strategy_v3 US10 False False 0.04 0.00 -0.08 0.0 0.63 -0.63 0.00 0.00 -2.20 17.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.08 0.0 0.35 -0.35 -0.01 -0.01 -10.29 48.0 -1 -1 caleb_strategy_v3 SP400 False False 0.09 -0.09 -0.08 0.0 0.17 -0.17 -0.09 -0.17 -0.98 2.0 -1 -2 caleb_strategy_v3 GBP False False 0.03 0.00 -0.07 0.0 0.57 -0.57 0.00 0.00 -2.65 22.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.07 0.0 0.41 -0.41 0.00 0.00 -3.17 19.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 -0.06 0.0 0.87 -0.87 0.00 0.00 -0.72 10.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 -0.04 -0.06 0.0 0.05 -0.05 -0.04 -0.04 -63.18 59.0 -43 -43 caleb_strategy_v3 BTP False False 0.04 0.00 -0.06 0.0 0.40 -0.40 0.00 0.00 -1.54 10.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.05 0.0 0.23 -0.23 -0.01 -0.03 -4.81 23.0 -1 -3 caleb_strategy_v3 US10U False False 0.04 -0.11 -0.05 0.0 0.49 -0.49 -0.11 -0.11 -1.35 13.0 -3 -3 caleb_strategy_v3 OAT False False 0.04 0.00 -0.04 0.0 0.44 -0.44 0.00 0.00 -0.80 10.0 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 -8.38 3.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.04 0.0 0.06 -0.06 0.00 0.00 -3.75 5.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.04 -0.03 0.0 0.10 -0.10 -0.04 -0.04 -2.14 8.0 -3 -3 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.03 0.0 0.19 -0.19 0.00 0.00 -8.52 51.0 0 0 caleb_strategy_v3 US20 False False 0.04 -0.16 -0.03 0.0 0.35 -0.35 -0.16 -0.16 -0.73 9.0 -4 -4 caleb_strategy_v3 NZD False False 0.02 0.00 -0.03 0.0 0.43 -0.43 0.00 -0.04 -1.31 21.0 0 -2 caleb_strategy_v3 CORN False False 0.01 0.00 -0.03 0.0 0.11 -0.11 0.00 0.00 -3.61 12.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -0.73 2.0 -1 -1 caleb_strategy_v3 US30 False False 0.04 -0.12 -0.02 0.0 0.24 -0.24 -0.12 -0.08 -0.53 6.0 -3 -2 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.18 2.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -1.25 0.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.10 -0.10 -0.03 -0.03 -2.18 9.0 -3 -3 caleb_strategy_v3 BUND False False 0.05 0.00 -0.02 0.0 0.46 -0.46 0.00 0.00 -0.53 10.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 -0.04 -0.02 0.0 0.12 -0.12 -0.04 -0.04 -1.06 6.0 -2 -2 caleb_strategy_v3 PLAT False False 0.02 -0.05 -0.01 0.0 0.15 -0.15 -0.05 -0.05 -0.46 10.0 -3 -3 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.04 -0.04 0.00 0.00 -0.65 4.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -0.73 9.0 0 0 caleb_strategy_v3 BUXL False False 0.04 -0.18 -0.01 0.0 0.18 -0.18 -0.18 -0.18 -0.34 4.0 -4 -4 caleb_strategy_v3 COCOA False False 0.01 0.00 0.00 0.0 0.31 -0.31 0.00 0.00 0.12 26.0 0 0 caleb_strategy_v3 COTTON2 False False 0.02 0.00 0.00 0.0 0.17 -0.17 0.00 0.00 0.12 11.0 0 0 caleb_strategy_v3 CAC False False 0.03 0.08 0.00 0.0 0.31 -0.31 0.08 0.08 0.01 12.0 3 3 caleb_strategy_v3 DAX False False 0.01 0.00 0.00 0.0 0.32 -0.32 0.00 0.00 0.29 58.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 0.00 0.0 0.12 -0.12 0.00 0.00 0.02 10.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.00 -0.00 0.0 0.15 -0.15 0.00 0.00 -0.13 7.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.16 -0.00 0.0 0.37 -0.37 0.16 0.08 -0.02 9.0 4 2 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.01 0.0 0.17 -0.17 0.00 0.00 1.43 18.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.01 0.0 0.30 -0.30 0.00 0.00 0.71 20.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.18 -0.18 0.03 0.03 0.92 23.0 4 4 caleb_strategy_v3 GASOLINE False False 0.04 0.14 0.04 0.0 0.14 -0.14 0.14 0.14 1.24 4.0 4 4 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.04 0.0 0.13 -0.13 0.00 0.00 0.85 3.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.04 0.0 0.44 -0.44 0.03 0.00 1.56 17.0 1 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.05 -0.05 0.00 0.00 2.83 3.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.05 0.0 0.13 -0.13 0.05 0.05 4.88 13.0 5 5 caleb_strategy_v3 FEEDCOW False False 0.04 0.35 0.06 0.0 0.35 -0.35 0.35 0.35 1.29 8.0 8 8 caleb_strategy_v3 GASOIL False False 0.03 0.06 0.08 0.0 0.13 -0.13 0.06 0.06 2.38 4.0 2 2 caleb_strategy_v3 MXP False False 0.01 0.33 0.13 0.0 0.57 -0.57 0.33 0.30 13.34 60.0 35 31 caleb_strategy_v3 DX False False 0.04 0.00 0.14 0.0 36375278.26 -36375278.26 0.00 0.00 3.94 999999999.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.50 0.17 0.0 0.53 -0.53 0.50 0.50 5.16 16.0 15 15 caleb_strategy_v3 NIKKEI False False 0.01 0.23 0.24 0.0 0.27 -0.27 0.23 0.25 32.11 36.0 31 34 caleb_strategy_v3 CRUDE_W False False 0.03 0.16 0.28 0.0 0.16 -0.16 0.16 0.16 8.91 5.0 5 5 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 18.1 Shocked risk 51.1 Sum abs risk 62.2 Leverage 6.68 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2923414.06, 'annual_cash_vol_target': 730853.515, 'daily_cash_vol_target': 45678.3446875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0039 0.6377 0.6070 9.7118 BITCOIN 674.1425 26455.0000 2.5483 40.7722 BOBL 0.2481 115.3300 0.2151 3.4416 BTP 0.6299 109.4200 0.5756 9.2102 BUND 0.5192 128.1700 0.4051 6.4813 BUXL 1.2488 121.5800 1.0272 16.4346 CAC 55.7255 7084.5000 0.7866 12.5853 CAD 0.0027 0.7415 0.3584 5.7342 CANOLA 7.8704 733.6000 1.0728 17.1654 CHF 0.0044 1.0959 0.4018 6.4287 COCOA 44.0140 3441.0000 1.2791 20.4657 COFFEE 2.6208 149.9000 1.7483 27.9735 COPPER 0.0358 3.6440 0.9832 15.7312 CORN 6.2730 512.7500 1.2234 19.5744 COTTON2 1.1474 88.2000 1.3009 20.8148 CRUDE_W 1.0118 91.4200 1.1068 17.7083 DAX 110.8117 15387.0000 0.7202 11.5226 DOW 200.1666 33847.0000 0.5914 9.4622 DX 0.3612 106.3400 0.3397 5.4345 EUR 0.0048 1.0550 0.4523 7.2371 EURIBOR-ICE 0.0481 96.8900 0.0497 0.7947 EUROSTX 37.0353 4166.0000 0.8890 14.2238 FEEDCOW 1.8288 257.5000 0.7102 11.3634 GASOIL 14.1425 920.7500 1.5360 24.5756 GASOLINE 0.0328 2.4462 1.3424 21.4792 GAS_US_mini 0.0788 3.3050 2.3832 38.1315 GBP 0.0059 1.2150 0.4862 7.7800 GOLD_micro 10.4512 1875.9000 0.5571 8.9141 HEATOIL 0.0424 3.0829 1.3737 21.9797 JGB-SGX-mini 0.2014 145.1400 0.1388 2.2201 JPY 0.0000 0.0068 0.5524 8.8378 LEANHOG 1.3145 72.7500 1.8069 28.9099 LIVECOW 1.2046 188.3250 0.6396 10.2340 LUMBER-new 8.4203 510.5000 1.6494 26.3909 MILK 0.2301 17.4000 1.3222 21.1552 MXP 0.0004 0.0558 0.7908 12.6525 NASDAQ_micro 140.1785 14797.2500 0.9473 15.1572 NIKKEI 274.3295 32160.0000 0.8530 13.6482 NZD 0.0035 0.5926 0.5898 9.4375 OAT 0.5453 122.6900 0.4445 7.1115 OATIES 7.7734 453.2500 1.7150 27.4407 OJ 4.5853 342.0000 1.3407 21.4517 PALLAD 17.7332 1223.5000 1.4494 23.1901 PLAT 12.9652 898.1000 1.4436 23.0980 REDWHEAT 11.3468 700.5000 1.6198 25.9170 RICE 0.1673 16.4000 1.0201 16.3221 ROBUSTA 30.0414 2346.0000 1.2805 20.4886 RUSSELL 16.4840 1802.2000 0.9147 14.6346 SHATZ 0.0747 104.8800 0.0712 1.1397 SILVER-mini 0.3196 23.0375 1.3874 22.1976 SMI 73.5956 10927.0000 0.6735 10.7763 SOFR 0.0621 95.9800 0.0647 1.0351 SOYBEAN 13.0017 1272.2500 1.0219 16.3511 SOYMEAL 4.8998 385.2000 1.2720 20.3523 SOYOIL 0.8045 57.6700 1.3949 22.3191 SP400 20.4861 2513.8000 0.8149 13.0391 SP500_micro 31.4815 4322.5000 0.7283 11.6531 SUGAR11 0.3210 25.1100 1.2785 20.4557 US10 0.3746 107.7031 0.3478 5.5642 US10U 0.5339 111.2344 0.4799 7.6791 US2 0.0921 101.1836 0.0910 1.4557 US20 0.8335 113.6562 0.7333 11.7334 US30 1.2389 118.4375 1.0461 16.7369 US5 0.2352 104.9922 0.2241 3.5848 VIX 0.4868 18.8500 2.5823 41.3164 WHEAT 10.3526 668.2500 1.5492 24.7875 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 637.70 0.61 387.08 1.00 387.08 45678.34 118.01 -10.35 -122.18 BITCOIN 26.46 2.55 67.41 1.00 67.41 45678.34 677.58 -8.61 -583.38 BOBL 1153.30 0.22 248.07 1.06 262.59 45678.34 173.95 -11.02 -191.70 BTP 1094.20 0.58 629.87 1.06 666.71 45678.34 68.51 -6.57 -45.05 BUND 1281.70 0.41 519.19 1.06 549.56 45678.34 83.12 -6.28 -52.19 BUXL 1215.80 1.03 1248.83 1.06 1321.88 45678.34 34.56 -9.63 -33.28 CAC 708.45 0.79 557.25 1.06 589.85 45678.34 77.44 0.05 0.38 CAD 741.45 0.36 265.73 1.00 265.73 45678.34 171.90 -7.48 -128.66 CANOLA 146.72 1.07 157.41 0.74 116.81 45678.34 391.05 -8.96 -350.32 CHF 1369.88 0.40 550.40 1.00 550.40 45678.34 82.99 -20.00 -165.98 COCOA 344.10 1.28 440.14 1.00 440.14 45678.34 103.78 0.56 5.83 COFFEE 562.12 1.75 982.79 1.00 982.79 45678.34 46.48 -19.49 -90.58 COPPER 911.00 0.98 895.70 1.00 895.70 45678.34 51.00 -12.74 -64.98 CORN 256.38 1.22 313.65 1.00 313.65 45678.34 145.64 -10.20 -148.52 COTTON2 441.00 1.30 573.71 1.00 573.71 45678.34 79.62 0.69 5.51 CRUDE_W 914.20 1.11 1011.81 1.00 1011.81 45678.34 45.15 18.22 82.26 DAX 153.87 0.72 110.81 1.06 117.29 45678.34 389.43 0.22 8.46 DOW 169.24 0.59 100.08 1.00 100.08 45678.34 456.40 -12.34 -563.32 DX 1063.40 0.34 361.19 1.00 361.19 45678.34 126.47 12.00 151.71 EUR 1318.69 0.45 596.47 1.00 596.47 45678.34 76.58 -12.30 -94.21 EURIBOR-ICE 2422.25 0.05 120.32 1.06 127.35 45678.34 358.67 -0.59 -21.20 EUROSTX 416.60 0.89 370.35 1.06 392.02 45678.34 116.52 1.79 20.91 FEEDCOW 1287.50 0.71 914.40 1.00 914.40 45678.34 49.95 7.80 38.95 GASOIL 920.75 1.54 1414.25 1.00 1414.25 45678.34 32.30 17.01 54.94 GASOLINE 1027.40 1.34 1379.24 1.00 1379.24 45678.34 33.12 8.61 28.53 GAS_US_mini 82.62 2.38 196.91 1.00 196.91 45678.34 231.97 -10.71 -248.37 GBP 759.38 0.49 369.24 1.00 369.24 45678.34 123.71 -8.25 -102.09 GOLD_micro 187.59 0.56 104.51 1.00 104.51 45678.34 437.06 -20.00 -874.13 HEATOIL 1294.82 1.37 1778.73 1.00 1778.73 45678.34 25.68 7.66 19.68 JGB-SGX-mini 145140.00 0.14 20139.24 0.01 135.18 45678.34 337.90 1.41 47.63 JPY 846.94 0.55 467.81 1.00 467.81 45678.34 97.64 -15.89 -155.20 LEANHOG 291.00 1.81 525.80 1.00 525.80 45678.34 86.87 9.25 80.32 LIVECOW 753.30 0.64 481.83 1.00 481.83 45678.34 94.80 4.98 47.21 LUMBER-new 140.39 1.65 231.56 1.00 231.56 45678.34 197.26 -20.00 -394.53 MILK 348.00 1.32 460.13 1.00 460.13 45678.34 99.27 -17.65 -175.24 MXP 278.85 0.79 220.51 1.00 220.51 45678.34 207.15 4.39 90.86 NASDAQ_micro 295.94 0.95 280.36 1.00 280.36 45678.34 162.93 -12.71 -207.11 NIKKEI 32160.00 0.85 27432.95 0.01 184.14 45678.34 248.06 11.95 296.50 NZD 592.65 0.59 349.57 1.00 349.57 45678.34 130.67 -3.87 -50.53 OAT 1226.90 0.44 545.32 1.06 577.22 45678.34 79.14 -2.95 -23.32 OATIES 226.62 1.72 388.67 1.00 388.67 45678.34 117.52 -7.61 -89.44 OJ 513.00 1.34 687.80 1.00 687.80 45678.34 66.41 19.86 131.90 PALLAD 1223.50 1.45 1773.32 1.00 1773.32 45678.34 25.76 -8.30 -21.37 PLAT 449.05 1.44 648.26 1.00 648.26 45678.34 70.46 -1.91 -13.49 REDWHEAT 350.25 1.62 567.34 1.00 567.34 45678.34 80.51 -20.00 -161.03 RICE 328.00 1.02 334.60 1.00 334.60 45678.34 136.52 -1.95 -26.68 ROBUSTA 234.60 1.28 300.41 1.00 300.41 45678.34 152.05 5.18 78.83 RUSSELL 90.11 0.91 82.42 1.00 82.42 45678.34 554.21 -13.66 -757.26 SHATZ 1048.80 0.07 74.71 1.06 79.08 45678.34 577.62 -14.22 -821.45 SILVER-mini 575.94 1.39 799.03 1.00 799.03 45678.34 57.17 -6.39 -36.51 SMI 1092.70 0.67 735.96 1.09 805.76 45678.34 56.69 -0.11 -0.65 SOFR 2399.50 0.06 155.23 1.00 155.23 45678.34 294.25 -12.86 -378.37 SOYBEAN 636.12 1.02 650.08 1.00 650.08 45678.34 70.27 -2.00 -14.07 SOYMEAL 385.20 1.27 489.98 1.00 489.98 45678.34 93.22 -8.37 -78.07 SOYOIL 346.02 1.39 482.68 1.00 482.68 45678.34 94.64 0.22 2.05 SP400 2513.80 0.81 2048.61 1.00 2048.61 45678.34 22.30 -13.21 -29.46 SP500_micro 216.12 0.73 157.41 1.00 157.41 45678.34 290.19 -15.26 -442.82 SUGAR11 281.23 1.28 359.55 1.00 359.55 45678.34 127.04 5.30 67.37 US10 1077.03 0.35 374.55 1.00 374.55 45678.34 121.95 -14.21 -173.24 US10U 1112.34 0.48 533.86 1.00 533.86 45678.34 85.56 -12.44 -106.41 US2 2023.67 0.09 184.12 1.00 184.12 45678.34 248.09 -17.25 -427.85 US20 1136.56 0.73 833.49 1.00 833.49 45678.34 54.80 -10.57 -57.94 US30 1184.38 1.05 1238.92 1.00 1238.92 45678.34 36.87 -11.28 -41.57 US5 1049.92 0.22 235.24 1.00 235.24 45678.34 194.18 -16.93 -328.83 VIX 188.50 2.58 486.76 1.00 486.76 45678.34 93.84 -15.75 -147.81 WHEAT 334.12 1.55 517.63 1.00 517.63 45678.34 88.24 -18.65 -164.61 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -122.184 0.010 2.5 -3.170 BITCOIN -583.377 0.043 2.5 -63.176 BOBL -191.696 0.004 2.5 -1.944 BTP -45.046 0.014 2.5 -1.537 BUND -52.193 0.004 2.5 -0.529 BUXL -33.276 0.004 2.5 -0.337 CAC 0.380 0.014 2.5 0.013 CAD -128.655 0.010 2.5 -3.338 CANOLA -350.324 0.010 2.5 -8.523 CHF -165.981 0.010 2.5 -4.307 COCOA 5.832 0.009 2.5 0.125 COFFEE -90.585 0.005 2.5 -1.058 COPPER -64.980 0.043 2.5 -7.037 CORN -148.522 0.010 2.5 -3.614 COTTON2 5.513 0.009 2.5 0.118 CRUDE_W 82.255 0.043 2.5 8.908 DAX 8.456 0.014 2.5 0.288 DOW -563.319 0.009 2.5 -13.092 DX 151.713 0.010 2.5 3.937 EUR -94.211 0.010 2.5 -2.445 EURIBOR-ICE -21.195 0.014 2.5 -0.723 EUROSTX 20.914 0.014 2.5 0.713 FEEDCOW 38.947 0.013 2.5 1.291 GASOIL 54.945 0.017 2.5 2.382 GASOLINE 28.526 0.017 2.5 1.237 GAS_US_mini -248.368 0.043 2.5 -26.897 GBP -102.090 0.010 2.5 -2.649 GOLD_micro -874.125 0.014 2.5 -29.817 HEATOIL 19.676 0.017 2.5 0.853 JGB-SGX-mini 47.635 0.043 2.5 5.159 JPY -155.198 0.010 2.5 -4.027 LEANHOG 80.320 0.024 2.5 4.882 LIVECOW 47.205 0.013 2.5 1.564 LUMBER-new -394.528 0.008 2.5 -8.377 MILK -175.237 0.009 2.5 -3.753 MXP 90.861 0.059 2.5 13.337 NASDAQ_micro -207.112 0.009 2.5 -4.814 NIKKEI 296.502 0.043 2.5 32.110 NZD -50.532 0.010 2.5 -1.311 OAT -23.317 0.014 2.5 -0.795 OATIES -89.444 0.010 2.5 -2.176 OJ 131.901 0.009 2.5 2.825 PALLAD -21.369 0.014 2.5 -0.729 PLAT -13.494 0.014 2.5 -0.460 REDWHEAT -161.027 0.005 2.5 -2.136 RICE -26.679 0.010 2.5 -0.649 ROBUSTA 78.826 0.005 2.5 0.921 RUSSELL -757.264 0.013 2.5 -25.095 SHATZ -821.452 0.004 2.5 -8.330 SILVER-mini -36.512 0.014 2.5 -1.245 SMI -0.648 0.014 2.5 -0.022 SOFR -378.368 0.024 2.5 -22.997 SOYBEAN -14.075 0.004 2.5 -0.131 SOYMEAL -78.066 0.004 2.5 -0.726 SOYOIL 2.049 0.004 2.5 0.019 SP400 -29.459 0.013 2.5 -0.976 SP500_micro -442.816 0.009 2.5 -10.292 SUGAR11 67.375 0.009 2.5 1.433 US10 -173.243 0.005 2.5 -2.195 US10U -106.415 0.005 2.5 -1.349 US2 -427.847 0.005 2.5 -5.422 US20 -57.941 0.005 2.5 -0.734 US30 -41.570 0.005 2.5 -0.527 US5 -328.831 0.005 2.5 -4.167 VIX -147.812 0.099 2.5 -36.488 WHEAT -164.611 0.005 2.5 -2.184 ===================== Position diags ===================== AUD 3.06 BITCOIN 73.38 BOBL 1.76 BTP 2.34 BUND 0.84 BUXL 0.35 CAC 2.64 CAD 4.46 CANOLA 9.51 CHF 2.15 COCOA 2.22 COFFEE 0.54 COPPER 5.52 CORN 3.54 COTTON2 1.71 CRUDE_W 4.89 DAX 13.28 DOW 10.61 DX 3.28 EUR 1.99 EURIBOR-ICE 12.23 EUROSTX 3.97 FEEDCOW 1.66 GASOIL 1.40 GASOLINE 1.44 GAS_US_mini 25.12 GBP 3.21 GOLD_micro 14.91 HEATOIL 1.11 JGB-SGX-mini 36.59 JPY 2.53 LEANHOG 5.28 LIVECOW 3.14 LUMBER-new 4.19 MILK 2.13 MXP 30.41 NASDAQ_micro 3.79 NIKKEI 26.86 NZD 3.39 OAT 2.70 OATIES 2.86 OJ 1.42 PALLAD 0.88 PLAT 2.40 REDWHEAT 1.07 RICE 3.32 ROBUSTA 1.78 RUSSELL 18.37 SHATZ 5.86 SILVER-mini 1.95 SMI 1.93 SOFR 17.88 SOYBEAN 0.65 SOYMEAL 0.87 SOYOIL 0.88 SP400 0.74 SP500_micro 6.74 SUGAR11 2.70 US10 1.55 US10U 1.08 US2 3.14 US20 0.69 US30 0.47 US5 2.46 VIX 23.17 WHEAT 1.17 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -3.2 -3.5 -2.9 NaN 0 BITCOIN -63.2 -70.5 -55.8 -43.0 -43 BOBL -1.9 -2.1 -1.8 -8.0 -8 BTP -1.5 -1.8 -1.3 0.0 0 BUND -0.5 -0.6 -0.4 0.0 0 BUXL -0.3 -0.4 -0.3 -4.0 -4 CAC 0.0 -0.3 0.3 3.0 3 CAD -3.3 -3.8 -2.9 0.0 0 CANOLA -8.5 -9.5 -7.6 NaN 0 CHF -4.3 -4.5 -4.1 -9.0 -9 COCOA 0.1 -0.1 0.3 0.0 0 COFFEE -1.1 -1.1 -1.0 -2.0 -2 COPPER -7.0 -7.6 -6.5 -5.0 -5 CORN -3.6 -4.0 -3.3 0.0 0 COTTON2 0.1 -0.1 0.3 0.0 0 CRUDE_W 8.9 8.4 9.4 5.0 5 DAX 0.3 -1.0 1.6 0.0 0 DOW -13.1 -14.2 -12.0 -17.0 -17 DX 3.9 3.6 4.3 NaN 0 EUR -2.4 -2.6 -2.2 -11.0 -11 EURIBOR-ICE -0.7 -1.9 0.5 0.0 0 EUROSTX 0.7 0.3 1.1 0.0 0 FEEDCOW 1.3 1.1 1.5 8.0 8 GASOIL 2.4 2.2 2.5 2.0 2 GASOLINE 1.2 1.1 1.4 4.0 4 GAS_US_mini -26.9 -29.4 -24.4 -22.0 -22 GBP -2.6 -3.0 -2.3 0.0 0 GOLD_micro -29.8 -31.3 -28.3 -36.0 -36 HEATOIL 0.9 0.7 1.0 0.0 0 JGB-SGX-mini 5.2 1.5 8.8 15.0 15 JPY -4.0 -4.3 -3.8 -3.0 -3 LEANHOG 4.9 4.4 5.4 5.0 5 LIVECOW 1.6 1.3 1.9 1.0 1 LUMBER-new -8.4 -8.8 -8.0 NaN 0 MILK -3.8 -4.0 -3.5 NaN 0 MXP 13.3 10.3 16.4 35.0 35 NASDAQ_micro -4.8 -5.2 -4.4 -1.0 -1 NIKKEI 32.1 29.4 34.8 31.0 31 NZD -1.3 -1.7 -1.0 0.0 0 OAT -0.8 -1.1 -0.5 0.0 0 OATIES -2.2 -2.5 -1.9 NaN 0 OJ 2.8 2.7 3.0 NaN 0 PALLAD -0.7 -0.8 -0.6 -1.0 -1 PLAT -0.5 -0.7 -0.2 -3.0 -3 REDWHEAT -2.1 -2.2 -2.0 -3.0 -3 RICE -0.6 -1.0 -0.3 NaN 0 ROBUSTA 0.9 0.7 1.1 4.0 4 RUSSELL -25.1 -26.9 -23.3 -8.0 -8 SHATZ -8.3 -8.9 -7.7 NaN 0 SILVER-mini -1.2 -1.4 -1.1 NaN 0 SMI -0.0 -0.2 0.2 4.0 4 SOFR -23.0 -24.8 -21.2 NaN 0 SOYBEAN -0.1 -0.2 -0.1 0.0 0 SOYMEAL -0.7 -0.8 -0.6 0.0 0 SOYOIL 0.0 -0.1 0.1 0.0 0 SP400 -1.0 -1.1 -0.9 -1.0 -1 SP500_micro -10.3 -11.0 -9.6 -1.0 -1 SUGAR11 1.4 1.2 1.7 0.0 0 US10 -2.2 -2.3 -2.0 NaN 0 US10U -1.3 -1.5 -1.2 -3.0 -3 US2 -5.4 -5.7 -5.1 NaN 0 US20 -0.7 -0.8 -0.7 -4.0 -4 US30 -0.5 -0.6 -0.5 -3.0 -3 US5 -4.2 -4.4 -3.9 0.0 0 VIX -36.5 -38.8 -34.2 -17.0 -17 WHEAT -2.2 -2.3 -2.1 -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 3.3 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 -0.4 -0.3 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 -0.4 -0.1 -0.4 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.1 -0.3 -0.1 0.5 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 0.2 -0.1 -0.5 -0.3 -0.7 -0.2 0.1 BITCOIN 0.1 -0.6 -0.2 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 0.1 0.0 0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 0.3 0.3 -0.3 -0.2 -0.3 0.7 -0.2 0.7 BOBL -0.5 -0.1 -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 0.0 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.3 -0.1 1.4 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.7 0.1 0.0 0.1 0.1 -0.7 -0.7 -0.6 -0.6 BTP -0.6 -0.4 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.9 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.9 -0.1 -0.2 0.0 0.3 -0.4 -0.7 0.0 0.3 BUND -0.4 -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 -0.0 0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.3 -0.1 0.9 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.8 -0.0 0.0 0.1 0.1 -0.7 -0.7 -0.6 -0.1 BUXL -0.5 -0.3 -0.1 -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 -0.2 -0.4 -0.2 0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.3 -0.2 -0.2 -0.1 0.1 -0.7 -0.7 -0.3 0.6 CAC -0.2 -0.4 -0.4 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 0.2 -0.2 0.7 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.2 0.4 -0.2 -0.7 -0.0 -0.2 0.0 -0.2 0.2 -0.1 0.3 0.1 -0.0 0.4 0.2 0.7 0.0 0.7 0.2 CAD 0.4 -0.4 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.2 -0.4 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.2 0.0 0.2 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 0.5 0.6 -0.0 -0.4 -0.7 -0.7 -0.7 -0.6 CANOLA -0.6 -0.4 0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.0 -0.2 0.2 -0.1 0.1 -0.1 0.0 -0.2 -0.0 -0.2 -2.7 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.3 -0.4 -0.6 -0.3 0.5 -0.3 0.1 0.3 0.5 CHF -0.6 -0.6 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 -0.1 -0.2 0.4 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.2 0.2 -0.2 -1.5 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -1.1 -0.5 -0.6 -0.6 -0.4 -0.7 -0.7 -0.7 -0.7 COCOA -0.4 -0.2 0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 0.5 -0.2 0.7 0.0 0.1 -0.1 -0.0 -0.1 -0.1 0.2 0.2 -0.2 0.5 -0.0 -1.8 0.1 -0.1 0.3 -0.1 0.4 -0.0 -0.5 -0.5 0.3 0.5 0.6 -0.0 -0.3 0.6 0.0 COFFEE 0.3 -0.1 -0.5 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.4 -0.1 -0.5 -0.1 -0.2 -0.1 0.0 -0.0 0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -2.7 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.2 0.4 -0.2 -0.6 -0.7 -0.7 -0.6 -0.3 COPPER -0.3 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.2 -0.3 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.8 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.5 -0.3 -0.1 0.2 0.2 -0.7 0.4 -0.7 CORN -0.0 -0.5 -0.6 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 0.1 -0.3 -0.0 -0.4 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.2 0.0 -0.3 -0.1 -1.6 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.2 0.3 0.3 -0.2 -0.0 -0.2 0.1 0.0 0.3 COTTON2 -0.2 0.1 0.5 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.3 0.0 -0.3 0.0 0.1 -0.0 0.1 0.0 0.1 0.1 0.1 0.0 0.0 0.1 -2.7 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.5 0.6 0.6 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 0.2 0.5 0.2 0.1 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 0.1 0.2 0.1 0.2 0.1 -1.1 0.5 0.6 0.2 -0.0 0.7 0.4 0.7 0.3 DAX -0.3 -0.5 -0.5 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 0.0 -0.2 0.6 -0.2 -0.2 -0.2 -0.1 -0.2 -0.2 -0.2 -0.0 -0.2 0.2 -0.2 2.5 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 -0.2 -0.2 -0.2 0.0 -0.3 0.7 0.0 0.7 0.3 DOW -0.5 -0.6 0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 0.2 -0.2 0.4 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 0.0 -0.2 0.1 -0.2 -1.4 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.3 -0.4 -0.1 0.1 0.6 -0.5 -0.2 -0.7 -0.3 DX 0.5 0.6 0.3 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.2 0.4 0.2 -0.3 0.2 0.2 0.2 0.1 0.1 0.1 0.2 0.2 0.2 0.2 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 0.7 0.5 0.6 0.6 0.2 0.0 0.3 0.1 0.7 EUR -0.5 -0.6 -0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 -0.3 -0.2 0.3 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 1.9 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.4 -0.5 -0.6 -0.5 -0.5 -0.3 -0.6 -0.1 -0.1 EURIBOR-ICE -0.3 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 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.2 -0.0 2.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.6 0.2 0.2 0.2 0.1 -0.7 -0.7 0.6 0.4 EUROSTX -0.3 -0.4 -0.5 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.1 -0.2 0.6 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.2 0.3 -0.2 0.7 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.3 0.2 -0.0 0.2 -0.1 0.6 0.1 0.7 0.4 FEEDCOW 0.0 -0.2 0.4 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 0.5 0.0 0.7 0.1 0.2 -0.1 -0.4 -0.2 -0.4 0.2 0.2 -0.1 0.5 0.2 -0.1 0.1 -0.1 0.3 -0.0 0.4 0.1 -1.1 0.1 0.6 0.6 0.6 0.3 -0.3 0.7 0.1 GASOIL 0.1 0.6 0.6 0.1 0.0 0.1 0.0 0.1 0.0 -0.0 0.5 0.1 0.2 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.1 0.5 0.2 1.5 0.1 0.0 0.2 0.0 0.1 0.1 0.0 0.2 0.2 0.4 0.6 -0.7 0.1 -0.7 -0.1 GASOLINE -0.0 0.2 0.6 0.1 0.0 0.2 0.0 0.1 0.1 -0.1 0.5 -0.1 0.3 0.0 0.2 0.4 0.4 0.4 0.4 0.2 0.2 -0.1 0.5 0.1 -2.7 0.1 -0.0 0.3 -0.0 0.4 0.0 1.1 -0.5 -0.6 -0.6 -0.0 0.7 0.4 0.7 0.2 GAS_US_mini -0.2 -0.1 0.4 0.1 0.0 0.2 0.0 0.1 0.1 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.1 -0.5 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.0 -0.6 -0.6 -0.6 0.0 0.2 -0.3 0.0 GBP -0.6 -0.6 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 0.0 -0.2 0.4 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.2 0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.5 -0.6 -0.6 -0.4 -0.1 0.5 0.1 0.7 GOLD_micro -0.1 -0.3 -0.5 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.4 -0.2 0.2 -0.2 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.1 -0.2 -0.1 -0.2 -1.5 -0.0 -0.2 -0.1 -0.2 0.0 -0.1 -1.0 -0.5 -0.1 -0.1 -0.3 -0.5 -0.7 -0.3 -0.7 HEATOIL 0.0 0.5 0.6 0.1 0.0 0.2 0.0 0.1 0.0 -0.1 0.5 0.1 0.2 0.1 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 0.0 0.1 -0.1 -0.5 0.1 0.6 0.2 -0.1 0.0 -0.2 JGB-SGX-mini -0.2 -0.5 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.2 -0.1 -0.1 0.4 0.4 0.3 0.3 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 0.3 0.2 0.1 0.1 -0.4 -0.3 0.3 0.3 JPY -0.1 -0.5 -0.5 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.1 -0.4 -0.2 -0.5 -0.2 -0.2 -0.4 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 2.7 -0.1 -0.0 -0.2 -0.0 -0.2 -0.1 -1.1 -0.1 -0.2 -0.4 -0.6 -0.2 -0.7 -0.1 -0.7 LEANHOG 0.0 0.0 0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 0.0 0.4 0.4 0.4 0.4 -0.0 -0.0 -0.1 -0.2 -0.0 1.6 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 1.1 -0.2 0.4 -0.0 -0.0 -0.3 -0.0 0.5 0.7 LIVECOW 0.3 -0.2 0.3 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.5 0.1 0.7 0.2 0.2 -0.4 -0.0 -0.4 -0.1 0.2 0.2 0.0 0.5 0.2 0.3 0.1 -0.1 0.3 0.0 0.5 0.1 -0.4 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.7 LUMBER-new -0.2 -0.3 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.6 -0.2 -0.7 -0.3 -0.3 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 NaN -0.1 0.0 -0.2 -0.0 -0.2 -0.1 -1.2 0.1 0.2 -0.2 -0.6 -0.6 -0.8 -0.2 -0.8 MILK -0.5 0.3 0.4 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.4 -0.1 0.0 -0.2 -0.4 -0.4 -0.4 -0.0 -0.1 -0.2 -0.4 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -1.1 -0.5 -0.2 0.2 -0.5 -0.7 -0.7 -0.5 -0.7 MXP -0.4 -0.5 -0.5 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 0.4 -0.1 0.6 -0.0 0.0 0.3 0.3 0.3 0.3 0.0 0.1 -0.1 0.5 -0.1 -2.7 0.0 -0.1 0.2 -0.1 0.4 -0.0 1.1 -0.1 -0.4 0.2 0.3 0.7 0.3 0.7 0.7 NASDAQ_micro -0.5 -0.6 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.1 0.2 -0.1 0.3 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.2 0.3 -0.1 -2.7 -0.0 -0.0 0.1 -0.1 0.2 -0.0 -0.3 -0.3 -0.1 0.0 0.5 -0.1 -0.5 -0.3 -0.6 NIKKEI 0.0 -0.3 0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.4 -0.1 0.6 0.0 0.1 0.1 0.2 0.2 0.2 0.1 0.2 -0.1 0.5 0.0 -1.2 0.0 -0.1 0.3 -0.1 0.5 -0.0 1.1 0.5 0.6 0.6 0.6 0.1 0.1 -0.1 0.4 NZD 0.2 -0.4 -0.3 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.0 -0.4 0.1 -0.1 -0.1 -0.2 -0.0 0.0 0.0 0.0 -0.1 -0.1 0.0 -0.3 -0.0 0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 0.2 0.5 0.5 -0.0 -0.5 -0.0 -0.5 0.2 0.2 OAT -0.4 -0.2 -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 -0.1 -0.1 -0.1 -0.2 -0.1 1.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.9 -0.0 -0.0 0.1 0.1 -0.7 -0.7 -0.1 0.2 OATIES -0.6 -0.2 0.6 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 0.2 -0.1 -0.1 -0.1 0.0 -0.3 -0.1 -0.3 -0.3 0.0 0.1 -0.2 0.2 -0.2 -2.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 -1.1 -0.5 -0.6 0.2 0.6 0.2 0.5 0.7 0.7 OJ 0.4 0.1 0.6 -0.0 -0.0 -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 0.1 0.3 0.1 0.4 0.1 1.1 0.5 0.6 0.6 0.6 0.2 0.2 0.7 0.6 PALLAD 0.2 0.1 -0.5 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.4 0.0 -0.6 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.5 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 0.1 -0.0 0.2 0.3 -0.4 -0.4 -0.2 0.2 -0.0 PLAT -0.2 0.1 -0.4 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 1.9 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.0 0.3 -0.2 0.0 -0.6 0.4 -0.5 REDWHEAT -0.1 -0.6 -0.4 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.4 -0.2 -0.6 -0.2 -0.2 -0.1 0.0 -0.1 -0.0 -0.2 -0.2 -0.1 -0.3 -0.2 -2.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.3 0.2 -0.6 -0.5 -0.7 -0.6 -0.6 -0.3 RICE -0.5 0.1 0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.2 -0.0 0.1 -0.0 0.1 -0.3 0.3 -0.1 0.2 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 -0.0 0.3 0.3 -0.2 -0.7 0.4 -0.3 ROBUSTA -0.0 -0.2 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 -0.1 0.5 -0.0 -0.0 0.4 0.4 0.4 0.4 0.0 0.1 -0.1 0.5 -0.0 -2.3 0.0 -0.1 0.2 -0.1 0.4 -0.0 1.1 0.1 0.6 0.2 0.1 -0.0 -0.4 0.7 -0.1 RUSSELL -0.6 -0.6 0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.4 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.2 -0.1 -0.2 0.4 -0.4 -0.4 -0.7 -0.6 SHATZ -0.6 -0.1 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.1 -0.1 -0.1 -0.4 -0.1 1.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.9 0.1 -0.0 0.1 -0.0 -0.7 -0.7 -0.7 -0.7 SILVER-mini -0.4 -0.2 -0.2 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 1.0 0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.2 0.1 -0.1 0.2 0.3 -0.6 -0.7 -0.2 -0.7 SMI 0.1 -0.2 -0.3 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 0.0 -0.1 0.2 -0.1 -0.1 0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.8 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.6 0.5 0.6 0.6 -0.1 -0.2 -0.5 -0.4 -0.4 SOFR -0.3 -0.5 -0.6 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.3 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 0.1 -0.0 0.2 0.1 -0.1 -0.7 -0.7 -0.4 -0.2 SOYBEAN -0.5 -0.0 0.4 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 0.2 -0.1 0.0 -0.1 0.0 0.2 0.4 0.2 0.3 -0.0 0.0 -0.1 0.0 -0.1 -2.7 -0.0 0.0 0.0 -0.0 0.0 -0.0 1.1 -0.0 -0.1 0.0 0.6 -0.5 0.1 -0.4 0.4 SOYMEAL -0.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.2 -0.1 0.1 -0.1 -0.0 0.2 0.4 0.2 0.3 -0.0 -0.0 -0.1 0.0 -0.1 -2.7 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.1 0.0 -0.1 0.1 0.4 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.6 -0.2 0.6 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.2 -0.1 0.0 -0.1 0.1 0.3 0.2 0.3 0.2 -0.0 0.1 -0.2 0.1 -0.1 -2.7 -0.0 -0.0 0.1 -0.1 0.0 -0.0 0.8 -0.4 -0.3 0.0 0.6 0.0 0.2 0.7 0.7 SP400 -0.6 -0.6 0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.2 0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.2 0.0 -0.2 -1.6 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.1 -0.2 -0.0 -0.1 0.6 -0.2 -0.4 -0.6 -0.7 SP500_micro -0.6 -0.6 0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 0.2 -0.2 0.3 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.1 0.1 -0.2 0.3 -0.2 -2.3 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.4 -0.5 -0.2 -0.1 0.6 -0.2 -0.4 -0.5 -0.6 SUGAR11 0.4 0.4 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.5 0.0 0.6 0.2 0.2 0.2 0.2 0.1 0.1 0.2 0.2 -0.0 0.5 0.2 -2.7 0.1 -0.1 0.2 -0.0 0.4 0.0 0.5 0.1 0.6 0.6 0.1 -0.7 -0.7 0.3 -0.0 US10 -0.3 -0.5 -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 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.4 -0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.5 -0.2 0.0 -0.0 -0.2 -0.7 -0.7 0.3 -0.0 US10U -0.4 -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 -0.2 -0.4 -0.2 -0.5 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.3 0.0 -0.1 -0.2 -0.7 -0.7 0.7 0.6 US2 -0.2 -0.2 -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 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.1 -0.5 -0.1 1.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.0 0.2 0.1 -0.3 -0.7 -0.7 -0.7 -0.7 US20 -0.3 -0.4 -0.5 -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 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.3 -0.1 -0.2 -0.2 -0.7 -0.7 0.7 0.7 US30 -0.3 -0.4 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.3 -0.2 -0.4 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.3 -0.0 -0.2 -0.1 -0.5 -0.7 0.7 0.7 US5 -0.3 -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 -0.2 -0.2 -0.1 -0.4 -0.1 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.9 -0.1 0.1 0.0 -0.2 -0.7 -0.7 -0.1 -0.6 VIX 0.3 0.6 -0.2 -0.1 0.2 -0.4 0.1 -0.7 0.0 0.3 -0.9 0.2 -1.2 -0.1 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 0.3 -0.9 0.0 NaN -0.1 0.2 -0.5 0.2 -0.9 0.0 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.2 -0.6 -0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.0 -0.4 -0.1 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.2 0.1 -0.4 -0.2 -0.7 -0.5 -0.7 -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 1.5 -13.3 -10.4 -3.1 -8.4 0.7 -6.4 2.3 -5.1 -14.8 -16.2 -9.3 -10.3 -14.8 -16.2 -3.8 -2.9 -3.3 -3.1 -14.3 -14.7 -8.6 -12.9 -9.5 3.7 -5.2 -7.1 -5.0 -4.0 -4.2 -3.9 -1.4 6.4 5.3 -3.9 -16.7 -8.8 -20.0 -5.5 3.6 BITCOIN 2.3 -18.7 -4.9 -3.7 -15.3 -1.4 -8.8 1.0 -4.9 -16.2 2.9 1.3 4.0 -13.0 -16.0 -5.1 -4.3 -5.9 -5.4 -12.1 -5.5 -3.6 -0.9 -7.8 -20.0 -5.8 -2.6 -3.6 -1.7 -0.7 -3.6 -1.2 12.8 8.8 -8.6 -5.5 -7.6 20.0 -6.1 20.0 BOBL -14.3 -4.3 -6.1 -2.9 -3.7 -2.5 -3.6 -2.5 -3.3 -8.2 -6.0 -8.9 -8.2 -8.4 -7.8 1.2 -8.0 -12.2 -12.5 -7.1 -6.9 -10.3 -10.7 -9.0 10.4 -2.8 -5.3 -2.2 -4.7 -3.2 -3.9 -13.4 2.1 0.8 4.0 2.4 -20.0 -20.0 -19.5 -16.6 BTP -17.7 -13.5 -2.5 -4.0 -5.1 -3.4 -5.0 -3.5 -4.5 -11.5 -0.3 -12.5 0.1 -12.2 -9.5 5.4 7.6 5.5 6.1 -9.7 -3.9 -20.0 -3.6 -15.5 -6.6 -3.6 -8.9 -1.2 -7.7 -0.6 -5.8 16.1 -3.2 -5.5 0.5 10.6 -12.1 -20.0 0.8 9.8 BUND -13.4 -7.0 -4.9 -2.9 -3.7 -2.5 -3.6 -2.5 -3.3 -8.4 -7.3 -9.2 -8.7 -8.7 -8.3 -1.1 7.2 2.5 4.6 -7.7 -7.0 -12.0 -10.3 -9.8 6.5 -3.0 -6.0 -2.2 -5.1 -2.8 -4.0 14.5 -0.2 0.1 2.5 3.4 -20.0 -20.0 -18.1 -1.9 BUXL -15.3 -10.5 -3.4 -3.3 -4.2 -2.8 -4.1 -2.8 -3.7 -9.5 -9.9 -10.4 -10.5 -10.3 -9.7 0.3 0.9 0.6 1.0 -11.6 -10.2 -17.5 -13.6 -14.5 1.2 -3.5 -6.3 -2.6 -5.7 -2.7 -4.6 6.1 -8.4 -5.6 -2.5 2.8 -20.0 -20.0 -7.8 18.5 CAC -7.2 -11.2 -13.7 -4.8 -9.9 -1.2 -9.9 1.6 -7.5 -19.9 6.8 -18.8 18.4 -17.6 -11.6 -6.5 -1.8 -6.1 -4.2 -8.7 0.7 -20.0 13.0 -15.6 -5.1 -4.4 -18.2 0.3 -14.0 5.4 -8.3 5.2 6.0 -0.1 13.8 4.9 20.0 1.0 20.0 6.5 CAD 10.9 -13.2 -3.4 -4.2 -11.5 1.0 -8.8 3.2 -7.1 -6.2 -3.9 15.6 -12.0 -4.6 -12.5 -2.5 -2.1 -2.4 -2.3 -8.8 -8.2 4.9 -8.0 0.2 1.4 -3.6 -1.5 -3.1 2.2 -2.5 0.3 0.0 20.0 20.0 -0.1 -13.0 -20.0 -20.0 -20.0 -18.7 CANOLA -20.0 -13.0 20.0 -2.1 -2.8 -1.5 -4.5 -2.0 -4.0 -6.9 4.3 -10.6 -3.4 -10.6 2.4 -10.6 8.5 -4.5 2.8 -7.7 0.9 -20.0 -0.7 -20.0 -20.0 -1.7 -2.3 -0.3 -4.7 -1.1 -4.3 6.1 -15.4 -20.0 -8.4 16.4 -9.5 3.1 10.4 16.0 CHF -20.0 -20.0 -3.0 -4.0 -10.9 1.0 -8.3 3.0 -6.7 -20.0 -2.6 -20.0 11.7 -20.0 -18.9 -17.5 -14.1 -16.1 -15.0 -20.0 -7.5 -20.0 6.0 -20.0 -11.0 -6.4 -14.0 -1.5 -13.1 1.1 -10.7 -20.0 -20.0 -20.0 -20.0 -13.0 -20.0 -20.0 -20.0 -20.0 COCOA -12.9 -5.3 8.4 -3.7 -4.8 -2.5 -7.7 -3.4 -6.9 -18.3 18.6 -14.5 19.4 0.9 13.5 -2.7 -2.3 -3.8 -2.9 14.4 20.0 -20.0 20.0 -3.4 -13.3 4.8 -11.2 9.8 -7.9 11.2 -1.7 -8.8 -20.0 9.5 14.0 20.0 -0.5 -9.6 18.2 1.3 COFFEE 9.4 -2.1 -15.2 -3.7 -4.9 -2.6 -7.8 -3.5 -7.0 -17.1 -15.9 -10.8 -13.9 -11.1 -17.5 -3.1 1.7 -1.7 0.2 -11.5 -16.1 -12.3 -16.2 -7.0 -20.0 -4.7 -10.2 -4.7 -6.6 -3.7 -4.0 -2.6 9.3 13.6 -5.3 -20.0 -20.0 -20.0 -18.9 -10.3 COPPER -10.2 -7.1 -3.9 -3.0 -12.4 -1.1 -7.2 0.8 -4.0 -17.2 -11.1 -17.3 -3.5 -15.3 -11.3 -6.0 -2.9 -5.3 -4.2 -11.0 -8.6 -20.0 -7.1 -15.7 -6.2 -4.1 -11.8 -3.0 -11.0 -2.7 -7.3 1.2 -20.0 -9.3 -3.7 5.2 6.3 -20.0 12.2 -20.0 CORN -0.5 -14.1 -20.0 -2.4 -3.2 -1.6 -5.0 -2.2 -4.5 9.7 -12.3 -1.1 -11.5 -9.3 -13.1 -6.6 2.8 -6.7 -3.0 -11.3 -14.3 0.1 -12.4 -5.6 -11.9 -3.3 2.5 -4.1 0.2 -4.9 -2.2 -4.2 11.9 9.9 -4.7 -1.3 -4.9 3.0 1.4 9.0 COTTON2 -4.8 2.9 14.0 -3.1 -4.1 -2.1 -6.5 -2.9 -5.8 14.5 11.2 0.5 -8.5 2.9 11.4 -1.8 5.4 2.1 3.4 7.3 7.2 5.2 1.2 4.6 -20.0 5.5 5.0 5.1 3.9 3.2 4.3 2.6 18.9 20.0 20.0 9.8 -17.4 -16.1 9.3 10.8 CRUDE_W 18.9 20.0 20.0 7.8 0.3 6.7 1.4 3.9 5.0 17.8 20.0 20.0 4.0 20.0 20.0 20.0 10.9 16.6 12.5 20.0 20.0 20.0 20.0 20.0 -7.5 9.4 7.5 7.5 6.5 5.1 8.5 -20.0 20.0 20.0 5.1 -0.1 20.0 11.6 20.0 8.4 DAX -9.2 -14.9 -14.9 -4.6 -9.5 -1.1 -9.5 1.5 -7.2 -19.1 0.2 -19.9 15.8 -20.0 -17.8 -10.0 -7.5 -9.4 -8.7 -14.6 -3.8 -20.0 8.3 -20.0 19.0 -6.0 -15.4 -2.1 -13.0 1.9 -9.0 -3.8 -6.5 -5.8 1.0 -8.2 20.0 0.4 20.0 8.6 DOW -15.3 -20.0 3.8 -4.0 -8.2 -1.0 -8.1 1.3 -6.1 -16.3 6.0 -16.0 11.8 -15.1 -5.8 -11.7 -8.4 -11.4 -10.3 -8.9 1.2 -20.0 5.3 -19.7 -10.5 -2.4 -12.5 1.7 -10.5 3.4 -6.8 -5.9 -16.0 -2.1 1.6 19.6 -14.0 -7.2 -20.0 -7.8 DX 15.7 20.0 10.3 -3.9 -10.7 0.9 -8.1 2.9 -6.5 20.0 15.3 20.0 -8.3 20.0 20.0 7.6 5.5 7.0 6.2 20.0 17.5 20.0 7.7 20.0 -20.0 7.4 10.9 4.3 9.1 2.5 8.7 13.7 20.0 20.0 20.0 7.0 0.4 7.7 4.0 20.0 EUR -14.7 -20.0 -7.1 -3.3 -8.9 0.8 -6.8 2.4 -5.5 -17.1 -11.2 -18.6 7.5 -19.0 -17.9 -6.8 -6.8 -6.7 -6.7 -20.0 -9.9 -20.0 -2.8 -20.0 14.3 -5.9 -8.8 -2.7 -7.8 -0.7 -7.4 -7.8 -18.9 -20.0 -15.1 -14.5 -7.5 -19.4 -3.0 -2.2 EURIBOR-ICE -9.0 0.4 -2.0 -2.6 -3.3 -2.2 -3.2 -2.2 -2.9 -6.5 -4.0 -7.1 -7.0 -5.6 -2.1 -9.5 -8.1 -9.4 -9.2 -3.3 -4.4 -4.9 -9.2 -4.2 17.8 -1.4 -2.4 -1.7 -2.3 -3.6 -1.9 -10.9 9.8 6.8 7.3 3.7 -20.0 -20.0 18.8 12.6 EUROSTX -8.0 -13.7 -14.6 -4.3 -8.9 -1.0 -8.9 1.4 -6.7 -16.2 3.2 -17.4 15.7 -18.4 -16.8 -5.5 -1.6 -5.1 -3.8 -10.8 -1.4 -20.0 10.1 -15.7 5.4 -5.4 -12.6 -1.2 -11.0 3.5 -8.0 5.6 7.1 -0.4 7.2 -2.2 18.1 3.2 20.0 12.7 FEEDCOW 1.5 -4.9 12.5 -4.4 -5.7 -3.0 -9.1 -4.0 -8.1 -18.7 20.0 0.8 20.0 13.4 20.0 -6.3 -20.0 -11.7 -20.0 20.0 20.0 -8.3 20.0 18.7 -0.4 8.4 -10.5 9.9 -1.7 10.2 5.4 -20.0 5.4 20.0 20.0 20.0 10.1 -8.2 20.0 1.6 GASOIL 4.0 17.2 20.0 5.8 0.3 5.0 1.0 2.9 3.7 -0.6 16.7 13.0 6.0 15.8 19.1 20.0 20.0 20.0 20.0 20.0 20.0 11.8 18.8 20.0 11.6 7.0 0.8 6.1 2.2 3.6 4.8 0.0 9.7 5.5 13.0 20.0 -20.0 2.3 -20.0 -3.8 GASOLINE -1.5 6.9 20.0 7.5 0.3 6.4 1.3 3.8 4.8 -12.1 20.0 -4.6 7.5 4.2 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -8.5 20.0 9.0 -20.0 7.7 -2.7 10.1 -2.9 10.0 2.1 20.0 -20.0 -20.0 -20.0 -0.9 20.0 12.0 20.0 4.9 GAS_US_mini -6.8 -3.7 10.9 7.3 0.3 6.2 1.3 3.7 4.7 -10.1 -20.0 -18.5 -20.0 -20.0 -16.9 -20.0 -20.0 -20.0 -20.0 -12.6 -20.0 -7.3 -20.0 -11.5 20.0 -2.1 -2.2 -2.3 -2.9 -4.7 -3.2 -20.0 -0.9 -20.0 -20.0 -20.0 0.1 6.1 -7.8 0.1 GBP -20.0 -20.0 -3.5 -3.9 -10.6 0.9 -8.0 2.9 -6.5 -20.0 0.9 -20.0 12.0 -20.0 -18.7 -0.5 -0.7 -0.2 -0.4 -20.0 -5.8 -20.0 3.7 -20.0 -0.6 -6.5 -9.8 -1.7 -10.8 0.2 -9.9 2.8 -20.0 -20.0 -18.0 -11.7 -1.7 13.8 3.7 20.0 GOLD_micro -1.6 -8.2 -15.5 -4.0 -16.5 -1.5 -9.5 1.1 -5.2 -20.0 -13.5 -18.9 4.9 -16.2 -18.1 -19.6 -14.3 -18.4 -16.6 -16.8 -13.1 -20.0 -2.1 -17.5 -11.2 -3.9 -20.0 -2.2 -14.7 1.3 -6.0 -19.3 -20.0 -2.8 -2.9 -9.1 -15.9 -20.0 -9.0 -20.0 HEATOIL 1.2 14.7 20.0 6.6 0.3 5.6 1.2 3.3 4.2 -9.9 17.4 7.7 5.1 13.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 7.4 20.0 20.0 -20.0 7.4 0.4 7.8 0.8 5.9 3.7 2.7 -2.5 -16.6 2.2 20.0 4.8 -1.9 0.8 -5.3 JGB-SGX-mini -6.6 -14.3 -20.0 -3.5 -4.5 -3.0 -4.4 -3.0 -4.0 -8.1 1.1 -9.6 4.9 -10.2 -10.6 20.0 20.0 17.3 17.2 -9.3 -4.4 -8.2 1.4 -9.1 -0.5 -3.5 -3.4 -2.0 -3.3 -0.7 -3.5 20.0 10.9 6.5 2.5 3.3 -12.7 -10.3 10.1 9.3 JPY -4.4 -15.8 -15.4 -2.5 -6.9 0.6 -5.3 1.9 -4.2 -13.3 -15.3 -14.4 -14.2 -15.1 -15.5 -18.0 -14.6 -17.1 -16.1 -20.0 -20.0 -14.6 -20.0 -17.3 20.0 -5.6 -4.3 -5.8 -4.3 -5.6 -4.7 -20.0 -4.2 -6.7 -12.2 -20.0 -5.0 -20.0 -2.8 -20.0 LEANHOG 1.0 0.8 15.0 -2.2 -2.9 -1.5 -4.6 -2.0 -4.1 -9.7 -1.4 -8.1 -4.9 -3.9 4.5 20.0 20.0 20.0 20.0 -0.7 -3.3 -7.0 -8.1 -2.9 12.3 -1.7 -4.7 -4.8 -3.9 -8.2 -1.8 20.0 -6.4 12.4 -1.3 -0.5 -10.4 -0.6 13.8 20.0 LIVECOW 9.2 -7.4 10.4 -4.5 -5.8 -3.0 -9.3 -4.1 -8.3 -16.0 20.0 10.9 20.0 16.2 20.0 -20.0 -1.7 -19.6 -5.5 20.0 20.0 3.2 20.0 18.2 2.1 8.9 -6.3 11.7 0.7 12.6 5.9 -7.3 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -20.0 LUMBER-new -5.9 -7.1 -4.4 -4.4 -5.8 -2.7 -9.2 -3.0 -8.2 -4.0 -20.0 -12.7 -20.0 -20.0 -20.0 -18.0 -14.1 -16.4 -15.0 -19.0 -17.4 -8.7 -14.3 -16.4 NaN -7.5 1.2 -5.8 -3.6 -3.9 -6.9 -20.0 4.3 5.0 -6.4 -15.4 -14.7 -20.0 -5.9 -20.0 MILK -14.9 10.2 12.0 -2.3 -3.0 -1.6 -4.8 -2.1 -4.3 -11.4 -4.4 -11.7 -10.2 -8.0 3.2 -11.3 -20.0 -19.1 -20.0 -3.5 -7.7 -19.8 -15.5 -10.9 0.0 -2.0 -6.6 -3.7 -6.5 -6.0 -3.9 -20.0 -20.0 -6.0 5.9 -16.4 -20.0 -20.0 -14.8 -20.0 MXP -11.2 -14.1 -16.9 -2.8 -7.7 0.7 -5.8 2.1 -4.7 -14.1 13.2 -7.5 15.9 -4.1 3.6 14.4 17.3 16.0 16.7 1.2 11.8 -14.0 20.0 -6.1 -20.0 0.3 -12.7 5.8 -7.2 10.2 -3.5 20.0 -5.1 -12.2 7.4 9.9 20.0 8.2 20.0 20.0 NASDAQ_micro -16.5 -20.0 0.9 -2.7 -5.5 -0.6 -5.5 0.9 -4.2 -9.8 8.3 -9.9 8.5 -8.4 -2.3 -9.5 -8.3 -9.9 -9.6 -2.7 8.3 -17.4 12.3 -12.0 -20.0 -1.0 -5.4 3.6 -6.0 5.9 -4.3 -5.2 -12.4 -3.1 0.7 15.4 -2.7 -14.7 -8.0 -17.4 NIKKEI 0.6 -8.2 2.3 -4.5 -9.3 -1.1 -9.2 1.4 -7.0 -16.3 16.6 -10.2 17.1 4.6 6.4 7.4 12.1 11.4 12.1 8.4 19.0 -10.8 20.0 0.2 -8.8 4.1 -8.8 9.9 -5.4 12.5 -0.2 20.0 20.0 20.0 20.0 20.0 2.1 3.6 -2.2 11.2 NZD 4.8 -13.8 -10.1 -3.1 -8.5 0.7 -6.4 2.3 -5.2 0.5 -15.1 6.8 -2.4 -10.9 -15.5 -0.1 0.3 0.0 0.2 -12.5 -13.6 2.2 -11.3 -4.2 0.6 -4.5 -0.7 -4.7 1.2 -3.6 -1.3 4.3 20.0 14.3 -1.4 -16.7 -0.2 -14.6 5.2 7.4 OAT -13.5 -6.8 -3.6 -3.1 -4.0 -2.6 -3.8 -2.7 -3.5 -8.9 -7.5 -9.6 -8.9 -9.1 -8.3 6.5 8.2 6.3 7.0 -7.7 -6.5 -13.0 -9.2 -10.2 8.6 -3.0 -6.7 -2.1 -5.6 -2.7 -4.3 17.5 -0.2 -0.2 3.1 4.5 -20.0 -20.0 -3.8 6.1 OATIES -20.0 -7.7 20.0 -2.2 -2.9 -1.5 -4.6 -2.1 -4.1 -5.2 7.2 -9.0 -1.4 -7.6 3.6 -15.9 -6.0 -16.7 -13.3 0.9 10.3 -18.4 8.6 -14.3 -20.0 0.3 -1.2 2.3 -4.0 1.8 -3.1 -20.0 -20.0 -20.0 6.1 20.0 6.1 14.7 20.0 20.0 OJ 13.8 4.3 17.5 -4.0 -5.2 -2.7 -8.3 -3.7 -7.4 19.0 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 20.0 -20.0 8.4 6.7 9.4 6.0 10.5 6.9 20.0 20.0 20.0 20.0 20.0 5.0 6.0 20.0 18.5 PALLAD 5.3 2.0 -15.9 -2.5 -10.4 -0.9 -6.0 0.7 -3.3 -13.5 -15.0 1.0 -16.3 -3.6 -11.5 -2.9 -2.6 -2.8 -2.8 -8.3 -20.0 -5.0 -20.0 -2.5 -0.6 -2.5 -6.6 -5.1 -3.0 -7.1 -1.2 2.4 -1.1 7.1 8.8 -13.4 -13.2 -5.5 5.3 -1.1 PLAT -6.8 1.9 -12.5 -2.3 -9.4 -0.8 -5.4 0.6 -3.0 -11.3 -10.8 -9.6 -3.5 -6.0 -9.1 -3.6 -2.4 -3.4 -3.0 -6.8 -8.1 -9.8 -5.7 -6.0 14.4 0.2 -8.9 -0.9 -3.7 -0.8 -0.1 2.5 3.0 -0.1 10.5 -6.3 0.3 -18.5 11.7 -14.5 REDWHEAT -2.0 -20.0 -12.3 -3.1 -4.0 -2.1 -6.4 -2.8 -5.7 -14.5 -14.1 -14.8 -15.8 -16.9 -16.7 -3.8 1.1 -2.9 -0.7 -18.7 -16.1 -15.2 -12.0 -16.5 -16.6 -5.3 -7.3 -4.1 -5.7 -2.4 -5.4 -3.6 -11.7 4.8 -19.0 -15.9 -20.0 -19.2 -17.3 -8.9 RICE -15.7 1.8 9.9 -3.1 -4.1 -2.1 -6.5 -2.9 -5.8 9.2 7.3 -4.2 3.7 -3.8 7.6 -16.5 13.9 -3.9 11.1 4.9 6.0 0.8 3.7 0.1 -20.0 0.8 4.3 2.1 0.1 1.3 -1.3 20.0 20.0 -0.1 10.6 8.8 -5.6 -19.8 11.7 -9.4 ROBUSTA -1.0 -7.3 -0.8 -3.2 -4.2 -2.2 -6.7 -3.0 -5.9 -15.0 11.9 -8.5 13.4 -0.4 -2.9 20.0 20.0 20.0 20.0 3.4 13.2 -8.7 20.0 -1.5 -17.6 1.4 -7.8 6.6 -4.9 10.8 -1.1 20.0 5.4 17.8 7.2 2.3 -0.2 -13.4 20.0 -3.4 RUSSELL -20.0 -20.0 3.3 -4.0 -8.1 -0.9 -8.1 1.3 -6.1 -12.0 -4.3 -16.3 -3.2 -17.6 -10.5 -8.4 -6.1 -8.0 -7.2 -17.4 -5.9 -20.0 -2.6 -20.0 -3.1 -3.7 -5.1 -0.3 -7.6 1.1 -6.7 -1.2 -7.3 -2.7 -6.7 13.6 -11.1 -11.5 -20.0 -17.3 SHATZ -19.1 -4.5 -12.7 -2.7 -3.5 -2.3 -3.3 -2.3 -3.0 -4.6 -7.4 -6.9 -8.2 -7.3 -7.3 -20.0 -9.4 -20.0 -16.5 -9.0 -10.0 -7.9 -15.0 -9.7 11.2 -2.7 -1.5 -2.5 -2.7 -3.6 -3.2 -17.4 5.1 -0.1 3.0 -1.0 -20.0 -20.0 -20.0 -20.0 SILVER-mini -11.4 -4.8 -5.8 -2.7 -11.1 -1.0 -6.4 0.7 -3.5 -5.7 -0.9 -9.1 4.5 -8.8 -8.9 -8.4 -6.1 -7.6 -7.0 -6.5 -3.3 -8.6 0.3 -7.4 7.8 0.5 -7.0 1.3 -2.9 1.5 -0.6 -4.2 3.6 -3.7 6.1 8.2 -18.8 -20.0 -6.8 -20.0 SMI 2.8 -5.6 -10.6 -4.3 -8.8 -1.0 -8.8 1.4 -6.6 -17.0 1.4 -10.2 5.7 -6.0 -10.2 2.6 1.2 -0.3 -0.4 -5.1 -3.8 -10.3 -0.1 -4.6 5.9 -1.2 -14.6 -1.2 -6.7 -1.6 -1.8 10.8 20.0 17.1 20.0 -3.2 -6.5 -15.0 -12.7 -13.1 SOFR -9.2 -14.8 -17.7 -3.8 -4.8 -3.2 -4.7 -3.3 -4.3 -10.0 -9.8 -10.7 -6.4 -10.7 -10.8 -2.2 -1.1 -2.0 -1.6 -13.6 -12.0 -13.6 -9.8 -13.3 -1.9 -4.0 -5.2 -3.5 -4.9 -2.8 -4.2 1.9 -2.0 4.9 1.8 -2.5 -20.0 -20.0 -10.6 -5.0 SOYBEAN -15.3 -0.7 12.0 -2.3 -3.0 -1.5 -4.8 -2.1 -4.2 -3.7 5.6 -8.6 1.2 -7.3 4.6 8.6 17.9 9.4 13.1 -0.8 2.4 -6.4 1.2 -6.6 -20.0 -0.2 0.4 1.1 -2.5 0.7 -2.6 20.0 -0.1 -2.6 1.0 19.7 -14.9 2.1 -11.4 10.6 SOYMEAL -10.7 -2.1 -0.4 -2.5 -3.2 -1.7 -5.2 -2.3 -4.6 -5.0 -5.8 -9.5 2.2 -7.1 -4.0 11.1 18.1 11.9 15.8 -3.9 -2.1 -6.3 1.5 -6.5 -20.0 -0.7 -1.5 1.3 -3.0 3.7 -2.9 20.0 0.6 -2.1 1.6 10.9 -20.0 -20.0 -19.7 -18.6 SOYOIL -20.0 -5.3 20.0 -2.5 -3.3 -1.7 -5.2 -2.3 -4.7 -9.7 8.6 -11.9 0.4 -10.9 7.1 14.8 11.8 14.1 12.1 -0.6 6.7 -17.6 4.7 -12.7 -20.0 -0.4 -4.8 1.9 -6.2 1.4 -4.4 15.2 -16.4 -8.1 0.0 20.0 0.0 6.4 20.0 20.0 SP400 -20.0 -20.0 3.7 -3.7 -7.5 -0.9 -7.5 1.2 -5.7 -12.2 -0.9 -15.4 5.0 -16.2 -7.1 -4.9 -5.0 -5.6 -5.5 -14.3 -3.2 -20.0 1.8 -20.0 -12.1 -3.0 -6.8 0.2 -7.7 1.6 -6.0 1.2 -7.4 -1.0 -3.2 17.1 -4.7 -12.7 -18.4 -20.0 SP500_micro -19.0 -20.0 1.9 -3.5 -7.2 -0.8 -7.2 1.1 -5.4 -14.1 8.7 -14.0 9.6 -12.8 -4.2 -11.4 -9.6 -12.0 -11.2 -6.9 5.4 -20.0 9.7 -19.0 -17.3 -1.9 -9.2 2.6 -8.9 4.4 -6.0 -7.6 -20.0 -7.6 -3.3 20.0 -6.6 -13.2 -13.8 -19.2 SUGAR11 12.9 12.6 1.8 -3.8 -4.9 -2.6 -7.9 -3.5 -7.0 -16.0 17.8 4.0 17.6 14.3 16.0 8.4 10.6 2.5 4.9 20.0 20.0 -1.5 20.0 18.4 -20.0 5.9 -6.4 7.6 -1.9 10.9 3.7 9.4 5.5 20.0 20.0 4.0 -20.0 -20.0 8.9 -0.5 US10 -10.5 -14.5 -20.0 -3.1 -4.0 -2.6 -3.8 -2.7 -3.5 -8.8 -9.4 -9.5 -9.3 -9.7 -9.9 -9.1 -7.4 -9.3 -9.0 -14.1 -13.9 -14.6 -13.9 -13.7 1.2 -3.5 -5.1 -3.3 -4.6 -3.1 -3.8 -10.2 -7.6 0.9 -0.8 -5.0 -20.0 -20.0 9.1 -0.1 US10U -11.0 -14.9 -17.8 -3.9 -5.1 -3.4 -4.9 -3.4 -4.5 -11.3 -11.9 -12.2 -11.7 -12.5 -12.6 1.3 -1.0 -0.8 -1.4 -18.0 -16.9 -19.8 -16.4 -18.2 -3.4 -4.5 -6.7 -4.1 -6.0 -3.5 -4.8 1.9 -11.2 0.1 -3.2 -6.0 -20.0 -20.0 20.0 18.8 US2 -6.9 -5.5 -20.0 -3.1 -3.9 -2.6 -3.8 -2.7 -3.5 -7.5 -10.0 -8.3 -9.8 -9.0 -9.9 -20.0 -20.0 -20.0 -20.0 -15.1 -19.2 -10.4 -20.0 -11.9 9.9 -3.6 -3.2 -4.5 -3.2 -5.4 -3.1 -20.0 -1.4 6.2 3.9 -8.5 -20.0 -20.0 -20.0 -20.0 US20 -8.5 -13.8 -15.7 -2.7 -3.5 -2.3 -3.4 -2.4 -3.1 -7.8 -8.0 -8.3 -7.4 -8.5 -8.4 -3.8 -2.1 -3.4 -2.8 -12.6 -11.4 -16.1 -10.5 -13.5 -3.0 -3.0 -5.1 -2.7 -4.5 -2.2 -3.4 0.0 -13.3 -2.6 -5.4 -4.8 -19.9 -20.0 20.0 20.0 US30 -8.7 -11.9 -11.9 -3.1 -4.0 -2.7 -3.9 -2.7 -3.5 -9.0 -9.4 -9.6 -8.9 -9.7 -9.5 -8.0 -4.1 -7.3 -5.7 -13.5 -12.4 -17.3 -12.5 -14.6 -2.6 -3.4 -5.7 -3.0 -5.1 -2.6 -3.9 -4.0 -12.4 -1.2 -4.9 -3.7 -16.3 -20.0 20.0 20.0 US5 -9.9 -13.6 -20.0 -3.4 -4.3 -2.9 -4.2 -2.9 -3.8 -9.2 -10.5 -10.1 -10.3 -10.5 -10.9 -15.4 -10.6 -14.7 -13.3 -15.0 -15.7 -13.5 -16.7 -13.8 4.4 -3.9 -4.6 -3.9 -4.4 -3.9 -3.9 -16.4 -4.3 3.8 1.3 -5.0 -20.0 -20.0 -2.5 -17.9 VIX 5.9 11.4 -4.5 -5.3 13.0 -10.0 8.1 -12.5 0.7 20.0 -20.0 13.6 -20.0 -5.5 -17.3 -19.1 -20.0 -20.0 -20.0 -16.1 -20.0 18.9 -20.0 0.4 NaN -6.0 14.7 -11.6 9.1 -15.1 0.7 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -7.1 -20.0 -13.1 -2.2 -2.9 -1.5 -4.6 -2.0 -4.1 3.2 -11.3 -4.9 -12.2 -11.0 -12.0 -11.0 -9.8 -11.2 -10.8 -14.8 -14.7 -3.2 -14.6 -10.6 -4.2 -3.7 0.5 -3.3 -0.9 -3.0 -2.9 -20.0 7.8 4.0 -12.9 -5.9 -20.0 -13.6 -20.0 -9.4 End of report for caleb_strategy_v3