******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230929_204334 produced at 2023-09-29 21:38:50.488823 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.71 0.0 0.00 0.00 0.00 0.00 -20.98 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.32 0.0 0.00 0.00 0.00 0.00 -4.72 13.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.24 0.0 0.00 0.00 0.00 0.00 -6.30 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 -38.19 17.0 -17 -17 caleb_strategy_v3 GOLD_micro False False 0.01 -0.22 -0.19 0.0 0.35 -0.35 -0.22 -0.11 -29.46 56.0 -35 -17 caleb_strategy_v3 CHF False False 0.05 -0.37 -0.19 0.0 0.61 -0.61 -0.37 -0.37 -4.08 13.0 -8 -8 caleb_strategy_v3 COPPER False False 0.03 -0.16 -0.17 0.0 0.19 -0.19 -0.16 -0.16 -5.34 6.0 -5 -5 caleb_strategy_v3 US5 False False 0.04 0.00 -0.14 0.0 0.89 -0.89 0.00 0.00 -3.80 25.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.14 -0.12 0.0 0.49 -0.49 -0.14 -0.14 -4.28 17.0 -5 -5 caleb_strategy_v3 EUR False False 0.05 -0.50 -0.10 0.0 0.63 -0.63 -0.50 -0.41 -2.16 14.0 -11 -9 caleb_strategy_v3 CAD False False 0.03 0.00 -0.09 0.0 0.73 -0.73 0.00 0.00 -3.56 29.0 0 0 caleb_strategy_v3 DOW False False 0.01 -0.07 -0.09 0.0 0.38 -0.38 -0.07 -0.04 -14.85 66.0 -12 -7 caleb_strategy_v3 RUSSELL False False 0.00 -0.02 -0.08 0.0 0.21 -0.21 -0.02 -0.03 -26.22 68.0 -8 -9 caleb_strategy_v3 SP400 False False 0.09 -0.09 -0.08 0.0 0.17 -0.17 -0.09 -0.09 -0.96 2.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.08 0.0 0.62 -0.62 0.00 0.00 -2.12 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 -10.88 48.0 -1 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.06 -0.07 0.0 0.07 -0.07 -0.06 -0.06 -23.77 26.0 -22 -22 caleb_strategy_v3 GBP False False 0.03 0.00 -0.07 0.0 0.57 -0.57 0.00 0.00 -2.61 22.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.00 -0.06 0.0 0.39 -0.39 0.00 0.00 -1.40 10.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.33 -0.06 0.0 0.79 -0.79 -0.33 -0.21 -1.36 19.0 -8 -5 caleb_strategy_v3 US10U False False 0.04 -0.11 -0.05 0.0 0.49 -0.49 -0.11 -0.11 -1.31 13.0 -3 -3 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.03 -0.05 0.0 0.23 -0.23 -0.03 -0.04 -4.91 23.0 -3 -4 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.06 -0.06 0.00 0.00 -4.24 5.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.05 0.0 0.42 -0.42 0.00 0.00 -2.32 19.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.04 0.0 0.18 -0.18 0.00 0.00 -9.71 51.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 -0.04 -0.04 0.0 0.05 -0.05 -0.04 -0.04 -41.53 59.0 -43 -43 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.03 0.0 0.00 -0.00 0.00 0.00 -1.71 0.0 0 0 caleb_strategy_v3 US20 False False 0.04 -0.15 -0.03 0.0 0.35 -0.35 -0.15 -0.15 -0.75 9.0 -4 -4 caleb_strategy_v3 OAT False False 0.04 0.00 -0.03 0.0 0.44 -0.44 0.00 0.00 -0.57 10.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.03 0.0 0.01 -0.01 0.00 0.00 -6.89 3.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.03 0.0 0.10 -0.10 -0.03 -0.02 -2.31 9.0 -3 -2 caleb_strategy_v3 CORN False False 0.01 0.00 -0.03 0.0 0.10 -0.10 0.00 0.00 -3.66 12.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -2.14 8.0 -3 -3 caleb_strategy_v3 BUND False False 0.05 -0.05 -0.02 0.0 0.46 -0.46 -0.05 0.00 -0.39 10.0 -1 0 caleb_strategy_v3 US30 False False 0.04 -0.08 -0.02 0.0 0.24 -0.24 -0.08 -0.12 -0.53 6.0 -2 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.10 2.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 -0.04 -0.02 0.0 0.11 -0.11 -0.04 -0.04 -1.12 6.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -0.72 9.0 0 0 caleb_strategy_v3 BUXL False False 0.04 -0.17 -0.01 0.0 0.17 -0.17 -0.17 -0.17 -0.29 4.0 -4 -4 caleb_strategy_v3 NZD False False 0.02 0.00 -0.01 0.0 0.43 -0.43 0.00 0.00 -0.49 21.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 -0.04 -0.01 0.0 0.09 -0.09 -0.04 -0.04 -0.33 2.0 -1 -1 caleb_strategy_v3 PLAT False False 0.02 -0.05 -0.01 0.0 0.16 -0.16 -0.05 -0.06 -0.33 10.0 -3 -4 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.04 -0.04 0.00 0.00 -0.99 4.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.04 -0.00 0.0 0.37 -0.37 0.04 0.00 -0.11 9.0 1 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.00 0.0 0.32 -0.32 0.00 0.00 0.13 58.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.00 -0.00 0.0 0.30 -0.30 0.00 -0.01 -0.40 26.0 0 -1 caleb_strategy_v3 CAC False False 0.03 0.00 -0.00 0.0 0.31 -0.31 0.00 0.00 -0.00 12.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.11 -0.11 0.00 0.00 -0.15 10.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.11 11.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.00 -0.00 0.0 0.15 -0.15 0.00 0.00 -0.14 7.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.01 0.0 0.87 -0.87 0.00 0.26 0.10 10.0 0 3 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.01 0.0 0.30 -0.30 0.00 0.00 0.87 20.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.19 -0.19 0.03 0.03 0.97 23.0 4 4 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.02 0.0 0.43 -0.43 0.03 0.00 0.78 17.0 1 0 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.02 0.0 0.13 -0.13 0.13 0.13 0.74 4.0 4 4 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.02 0.0 0.17 -0.17 0.00 0.00 1.63 18.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.04 0.0 0.13 -0.13 0.00 0.00 0.91 3.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.35 0.04 0.0 0.35 -0.35 0.35 0.35 0.84 8.0 8 8 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.05 0.0 0.13 -0.13 0.05 0.04 4.66 13.0 5 4 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.05 -0.05 0.00 0.00 2.86 3.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.06 0.08 0.0 0.12 -0.12 0.06 0.03 2.65 4.0 2 1 caleb_strategy_v3 MXP False False 0.01 0.32 0.13 0.0 0.58 -0.58 0.32 0.28 13.34 60.0 33 29 caleb_strategy_v3 DX False False 0.04 0.00 0.14 0.0 35941531.71 -35941531.71 0.00 0.00 3.91 999999999.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.50 0.15 0.0 0.53 -0.53 0.50 0.50 4.62 16.0 15 15 caleb_strategy_v3 NIKKEI False False 0.01 0.25 0.18 0.0 0.26 -0.26 0.25 0.22 25.06 36.0 35 31 caleb_strategy_v3 CRUDE_W False False 0.03 0.15 0.24 0.0 0.15 -0.15 0.15 0.12 7.96 5.0 5 4 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 16.9 Shocked risk 45.3 Sum abs risk 58.5 Leverage 5.96 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2944921.79, 'annual_cash_vol_target': 736230.4475, 'daily_cash_vol_target': 46014.40296875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6452 0.6377 10.2027 BITCOIN 689.6562 27080.0000 2.5467 40.7478 BOBL 0.2990 115.6500 0.2586 4.1371 BTP 0.7050 109.5800 0.6434 10.2942 BUND 0.6121 128.3600 0.4768 7.6292 BUXL 1.3586 121.6000 1.1173 17.8764 CAC 54.5641 7131.5000 0.7651 12.2418 CAD 0.0027 0.7383 0.3691 5.9064 CANOLA 7.8084 715.6000 1.0912 17.4588 CHF 0.0047 1.1012 0.4256 6.8103 COCOA 44.6651 3434.0000 1.3007 20.8108 COFFEE 2.5545 146.3000 1.7461 27.9376 COPPER 0.0375 3.7315 1.0039 16.0619 CORN 6.2269 506.2500 1.2300 19.6801 COTTON2 1.1498 87.1900 1.3187 21.0993 CRUDE_W 1.0652 88.7300 1.2005 19.2079 DAX 110.0587 15490.0000 0.7105 11.3682 DOW 196.3814 33734.0000 0.5821 9.3143 DX 0.3690 105.8450 0.3486 5.5775 EUR 0.0049 1.0608 0.4662 7.4592 EURIBOR-ICE 0.0573 96.9250 0.0591 0.9456 EUROSTX 36.3243 4192.0000 0.8665 13.8642 FEEDCOW 1.8405 258.0250 0.7133 11.4126 GASOIL 13.5360 917.5000 1.4753 23.6051 GASOLINE 0.0362 2.3205 1.5583 24.9330 GAS_US_mini 0.0780 3.3150 2.3537 37.6596 GBP 0.0061 1.2209 0.4967 7.9468 GOLD_micro 10.6544 1864.8000 0.5713 9.1415 HEATOIL 0.0409 3.0643 1.3338 21.3411 JGB-SGX-mini 0.2032 144.9700 0.1401 2.2423 JPY 0.0000 0.0068 0.5411 8.6571 LEANHOG 1.5195 71.7750 2.1170 33.8720 LIVECOW 1.2977 187.9500 0.6904 11.0468 LUMBER-new 8.4964 515.5000 1.6482 26.3710 MILK 0.2227 17.4400 1.2768 20.4287 MXP 0.0005 0.0567 0.8090 12.9444 NASDAQ_micro 135.2212 14870.2500 0.9093 14.5494 NIKKEI 268.1827 31860.0000 0.8418 13.4681 NZD 0.0036 0.5996 0.5981 9.5693 OAT 0.6287 122.8400 0.5118 8.1895 OATIES 7.8785 449.0000 1.7547 28.0749 OJ 4.5997 334.2500 1.3761 22.0180 PALLAD 20.0451 1253.0000 1.5998 25.5963 PLAT 13.2259 914.9000 1.4456 23.1298 REDWHEAT 11.4114 671.2500 1.7000 27.2003 RICE 0.1646 16.2250 1.0148 16.2361 ROBUSTA 29.3050 2373.0000 1.2349 19.7590 RUSSELL 16.0514 1801.4000 0.8911 14.2568 SHATZ 0.0854 104.9800 0.0814 1.3017 SILVER-mini 0.3127 22.5375 1.3874 22.1986 SMI 71.8108 10976.0000 0.6543 10.4680 SOFR 0.0617 96.0500 0.0642 1.0276 SOYBEAN 12.6104 1258.7500 1.0018 16.0291 SOYMEAL 4.9625 379.7000 1.3069 20.9112 SOYOIL 0.8109 55.2200 1.4685 23.4960 SP400 20.2592 2527.9000 0.8014 12.8228 SP500_micro 30.5399 4330.2500 0.7053 11.2843 SUGAR11 0.3301 25.3200 1.3036 20.8581 US10 0.3694 108.0156 0.3420 5.4714 US10U 0.5215 111.4844 0.4677 7.4840 US2 0.0947 101.3477 0.0934 1.4945 US20 0.8047 113.6562 0.7080 11.3276 US30 1.1997 118.4688 1.0126 16.2023 US5 0.2369 105.3203 0.2249 3.5988 VIX 0.4921 18.2000 2.7038 43.2608 WHEAT 10.4037 646.5000 1.6092 25.7477 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 645.20 0.64 411.42 1.00 411.42 46014.4 111.84 -7.98 -89.30 BITCOIN 27.08 2.55 68.97 1.00 68.97 46014.4 667.21 -5.75 -383.52 BOBL 1156.50 0.26 299.04 1.05 314.23 46014.4 146.44 -9.18 -134.36 BTP 1095.80 0.64 705.02 1.05 740.84 46014.4 62.11 -6.63 -41.19 BUND 1283.60 0.48 612.05 1.05 643.14 46014.4 71.55 -5.42 -38.76 BUXL 1216.00 1.12 1358.61 1.05 1427.62 46014.4 32.23 -8.80 -28.38 CAC 713.15 0.77 545.64 1.05 573.36 46014.4 80.25 -0.01 -0.07 CAD 738.30 0.37 272.54 1.00 272.54 46014.4 168.83 -8.12 -137.10 CANOLA 143.12 1.09 156.17 0.74 115.74 46014.4 397.57 -10.04 -399.22 CHF 1376.56 0.43 585.92 1.00 585.92 46014.4 78.53 -20.00 -157.07 COCOA 343.40 1.30 446.65 1.00 446.65 46014.4 103.02 -1.79 -18.45 COFFEE 548.63 1.75 957.95 1.00 957.95 46014.4 48.03 -20.00 -96.07 COPPER 932.88 1.00 936.49 1.00 936.49 46014.4 49.14 -10.04 -49.31 CORN 253.12 1.23 311.35 1.00 311.35 46014.4 147.79 -10.18 -150.50 COTTON2 435.95 1.32 574.89 1.00 574.89 46014.4 80.04 0.65 5.21 CRUDE_W 887.30 1.20 1065.20 1.00 1065.20 46014.4 43.20 17.01 73.48 DAX 154.90 0.71 110.06 1.05 115.65 46014.4 397.88 0.09 3.70 DOW 168.67 0.58 98.19 1.00 98.19 46014.4 468.62 -13.64 -638.99 DX 1058.45 0.35 368.97 1.00 368.97 46014.4 124.71 12.07 150.52 EUR 1326.06 0.47 618.21 1.00 618.21 46014.4 74.43 -11.18 -83.24 EURIBOR-ICE 2423.12 0.06 143.21 1.05 150.48 46014.4 305.78 0.09 2.90 EUROSTX 419.20 0.87 363.24 1.05 381.70 46014.4 120.55 2.12 25.58 FEEDCOW 1290.12 0.71 920.23 1.00 920.23 46014.4 50.00 5.07 25.35 GASOIL 917.50 1.48 1353.60 1.00 1353.60 46014.4 33.99 17.98 61.12 GASOLINE 974.61 1.56 1518.75 1.00 1518.75 46014.4 30.30 5.64 17.07 GAS_US_mini 82.88 2.35 195.07 1.00 195.07 46014.4 235.89 -9.30 -219.46 GBP 763.06 0.50 379.00 1.00 379.00 46014.4 121.41 -8.27 -100.43 GOLD_micro 186.48 0.57 106.54 1.00 106.54 46014.4 431.88 -20.00 -863.76 HEATOIL 1287.01 1.33 1716.64 1.00 1716.64 46014.4 26.80 7.80 20.92 JGB-SGX-mini 144970.00 0.14 20316.84 0.01 136.02 46014.4 338.29 1.26 42.67 JPY 847.00 0.54 458.29 1.00 458.29 46014.4 100.41 -16.42 -164.87 LEANHOG 287.10 2.12 607.79 1.00 607.79 46014.4 75.71 10.12 76.63 LIVECOW 751.80 0.69 519.06 1.00 519.06 46014.4 88.65 2.64 23.44 LUMBER-new 141.76 1.65 233.65 1.00 233.65 46014.4 196.94 -16.48 -324.59 MILK 348.80 1.28 445.35 1.00 445.35 46014.4 103.32 -19.15 -197.91 MXP 283.40 0.81 229.28 1.00 229.28 46014.4 200.69 4.53 90.86 NASDAQ_micro 297.41 0.91 270.44 1.00 270.44 46014.4 170.14 -12.42 -211.36 NIKKEI 31860.00 0.84 26818.27 0.01 179.55 46014.4 256.28 9.03 231.44 NZD 599.55 0.60 358.58 1.00 358.58 46014.4 128.32 -1.48 -19.04 OAT 1228.40 0.51 628.75 1.05 660.69 46014.4 69.65 -2.40 -16.73 OATIES 224.50 1.75 393.93 1.00 393.93 46014.4 116.81 -7.41 -86.51 OJ 501.38 1.38 689.95 1.00 689.95 46014.4 66.69 20.00 133.38 PALLAD 1253.00 1.60 2004.51 1.00 2004.51 46014.4 22.96 -4.18 -9.59 PLAT 457.45 1.45 661.30 1.00 661.30 46014.4 69.58 -1.39 -9.70 REDWHEAT 335.62 1.70 570.57 1.00 570.57 46014.4 80.65 -20.00 -161.29 RICE 324.50 1.01 329.29 1.00 329.29 46014.4 139.74 -2.92 -40.83 ROBUSTA 237.30 1.23 293.05 1.00 293.05 46014.4 157.02 5.28 82.86 RUSSELL 90.07 0.89 80.26 1.00 80.26 46014.4 573.34 -13.80 -791.06 SHATZ 1049.80 0.08 85.41 1.05 89.75 46014.4 512.72 -12.12 -621.41 SILVER-mini 563.44 1.39 781.72 1.00 781.72 46014.4 58.86 -8.54 -50.27 SMI 1097.60 0.65 718.11 1.09 780.01 46014.4 58.99 -0.56 -3.28 SOFR 2401.25 0.06 154.21 1.00 154.21 46014.4 298.38 -11.57 -345.24 SOYBEAN 629.38 1.00 630.52 1.00 630.52 46014.4 72.98 -2.06 -15.03 SOYMEAL 379.70 1.31 496.25 1.00 496.25 46014.4 92.72 -8.36 -77.51 SOYOIL 331.32 1.47 486.54 1.00 486.54 46014.4 94.57 -1.66 -15.70 SP400 2527.90 0.80 2025.92 1.00 2025.92 46014.4 22.71 -12.75 -28.96 SP500_micro 216.51 0.71 152.70 1.00 152.70 46014.4 301.34 -15.54 -468.34 SUGAR11 283.58 1.30 369.69 1.00 369.69 46014.4 124.47 6.15 76.49 US10 1080.16 0.34 369.37 1.00 369.37 46014.4 124.58 -13.44 -167.40 US10U 1114.84 0.47 521.47 1.00 521.47 46014.4 88.24 -11.75 -103.72 US2 2026.95 0.09 189.33 1.00 189.33 46014.4 243.04 -15.32 -372.22 US20 1136.56 0.71 804.66 1.00 804.66 46014.4 57.19 -10.35 -59.17 US30 1184.69 1.01 1199.67 1.00 1199.67 46014.4 38.36 -10.88 -41.73 US5 1053.20 0.22 236.89 1.00 236.89 46014.4 194.24 -15.43 -299.70 VIX 182.00 2.70 492.09 1.00 492.09 46014.4 93.51 -16.54 -154.70 WHEAT 323.25 1.61 520.18 1.00 520.18 46014.4 88.46 -19.71 -174.33 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -89.300 0.010 2.5 -2.317 BITCOIN -383.517 0.043 2.5 -41.533 BOBL -134.364 0.004 2.5 -1.363 BTP -41.189 0.014 2.5 -1.405 BUND -38.762 0.004 2.5 -0.393 BUXL -28.375 0.004 2.5 -0.288 CAC -0.073 0.014 2.5 -0.002 CAD -137.103 0.010 2.5 -3.558 CANOLA -399.224 0.010 2.5 -9.713 CHF -157.067 0.010 2.5 -4.076 COCOA -18.454 0.009 2.5 -0.395 COFFEE -96.068 0.005 2.5 -1.122 COPPER -49.310 0.043 2.5 -5.340 CORN -150.504 0.010 2.5 -3.662 COTTON2 5.212 0.009 2.5 0.112 CRUDE_W 73.481 0.043 2.5 7.958 DAX 3.698 0.014 2.5 0.126 DOW -638.988 0.009 2.5 -14.851 DX 150.519 0.010 2.5 3.906 EUR -83.244 0.010 2.5 -2.160 EURIBOR-ICE 2.896 0.014 2.5 0.099 EUROSTX 25.578 0.014 2.5 0.872 FEEDCOW 25.355 0.013 2.5 0.840 GASOIL 61.121 0.017 2.5 2.650 GASOLINE 17.075 0.017 2.5 0.740 GAS_US_mini -219.459 0.043 2.5 -23.766 GBP -100.434 0.010 2.5 -2.606 GOLD_micro -863.764 0.014 2.5 -29.463 HEATOIL 20.921 0.017 2.5 0.907 JGB-SGX-mini 42.665 0.043 2.5 4.620 JPY -164.869 0.010 2.5 -4.278 LEANHOG 76.631 0.024 2.5 4.657 LIVECOW 23.442 0.013 2.5 0.777 LUMBER-new -324.592 0.008 2.5 -6.894 MILK -197.905 0.009 2.5 -4.239 MXP 90.857 0.059 2.5 13.336 NASDAQ_micro -211.358 0.009 2.5 -4.912 NIKKEI 231.437 0.043 2.5 25.063 NZD -19.036 0.010 2.5 -0.494 OAT -16.728 0.014 2.5 -0.571 OATIES -86.515 0.010 2.5 -2.105 OJ 133.384 0.009 2.5 2.857 PALLAD -9.585 0.014 2.5 -0.327 PLAT -9.697 0.014 2.5 -0.331 REDWHEAT -161.293 0.005 2.5 -2.140 RICE -40.831 0.010 2.5 -0.993 ROBUSTA 82.862 0.005 2.5 0.968 RUSSELL -791.065 0.013 2.5 -26.215 SHATZ -621.406 0.004 2.5 -6.302 SILVER-mini -50.268 0.014 2.5 -1.715 SMI -3.284 0.014 2.5 -0.112 SOFR -345.244 0.024 2.5 -20.983 SOYBEAN -15.030 0.004 2.5 -0.140 SOYMEAL -77.508 0.004 2.5 -0.721 SOYOIL -15.702 0.004 2.5 -0.146 SP400 -28.959 0.013 2.5 -0.960 SP500_micro -468.341 0.009 2.5 -10.885 SUGAR11 76.494 0.009 2.5 1.627 US10 -167.400 0.005 2.5 -2.121 US10U -103.724 0.005 2.5 -1.314 US2 -372.222 0.005 2.5 -4.717 US20 -59.168 0.005 2.5 -0.750 US30 -41.731 0.005 2.5 -0.529 US5 -299.698 0.005 2.5 -3.798 VIX -154.698 0.099 2.5 -38.188 WHEAT -174.329 0.005 2.5 -2.313 ===================== Position diags ===================== AUD 2.90 BITCOIN 72.25 BOBL 1.49 BTP 2.12 BUND 0.73 BUXL 0.33 CAC 2.74 CAD 4.38 CANOLA 9.67 CHF 2.04 COCOA 2.21 COFFEE 0.56 COPPER 5.32 CORN 3.60 COTTON2 1.71 CRUDE_W 4.68 DAX 13.57 DOW 10.89 DX 3.24 EUR 1.93 EURIBOR-ICE 10.43 EUROSTX 4.11 FEEDCOW 1.66 GASOIL 1.47 GASOLINE 1.31 GAS_US_mini 25.55 GBP 3.15 GOLD_micro 14.73 HEATOIL 1.16 JGB-SGX-mini 36.64 JPY 2.61 LEANHOG 4.60 LIVECOW 2.94 LUMBER-new 4.18 MILK 2.21 MXP 29.46 NASDAQ_micro 3.95 NIKKEI 27.75 NZD 3.33 OAT 2.38 OATIES 2.84 OJ 1.43 PALLAD 0.78 PLAT 2.37 REDWHEAT 1.07 RICE 3.40 ROBUSTA 1.83 RUSSELL 19.00 SHATZ 5.20 SILVER-mini 2.01 SMI 2.01 SOFR 18.13 SOYBEAN 0.68 SOYMEAL 0.86 SOYOIL 0.88 SP400 0.75 SP500_micro 7.00 SUGAR11 2.65 US10 1.58 US10U 1.12 US2 3.08 US20 0.72 US30 0.49 US5 2.46 VIX 23.08 WHEAT 1.17 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 -41.5 -48.8 -34.3 -43.0 -43 BOBL -1.4 -1.5 -1.2 -8.0 -8 BTP -1.4 -1.6 -1.2 0.0 0 BUND -0.4 -0.5 -0.3 -1.0 -1 BUXL -0.3 -0.3 -0.3 -4.0 -4 CAC -0.0 -0.3 0.3 0.0 0 CAD -3.6 -4.0 -3.1 0.0 0 CANOLA -9.7 -10.7 -8.7 NaN 0 CHF -4.1 -4.3 -3.9 -8.0 -8 COCOA -0.4 -0.6 -0.2 0.0 0 COFFEE -1.1 -1.2 -1.1 -2.0 -2 COPPER -5.3 -5.9 -4.8 -5.0 -5 CORN -3.7 -4.0 -3.3 0.0 0 COTTON2 0.1 -0.1 0.3 0.0 0 CRUDE_W 8.0 7.5 8.4 5.0 5 DAX 0.1 -1.2 1.5 0.0 0 DOW -14.9 -15.9 -13.8 -12.0 -12 DX 3.9 3.6 4.2 NaN 0 EUR -2.2 -2.4 -2.0 -11.0 -11 EURIBOR-ICE 0.1 -0.9 1.1 0.0 0 EUROSTX 0.9 0.5 1.3 0.0 0 FEEDCOW 0.8 0.7 1.0 8.0 8 GASOIL 2.6 2.5 2.8 2.0 2 GASOLINE 0.7 0.6 0.9 4.0 4 GAS_US_mini -23.8 -26.3 -21.2 -22.0 -22 GBP -2.6 -2.9 -2.3 0.0 0 GOLD_micro -29.5 -30.9 -28.0 -35.0 -35 HEATOIL 0.9 0.8 1.0 0.0 0 JGB-SGX-mini 4.6 1.0 8.3 15.0 15 JPY -4.3 -4.5 -4.0 -5.0 -5 LEANHOG 4.7 4.2 5.1 5.0 5 LIVECOW 0.8 0.5 1.1 1.0 1 LUMBER-new -6.9 -7.3 -6.5 NaN 0 MILK -4.2 -4.5 -4.0 NaN 0 MXP 13.3 10.4 16.3 33.0 33 NASDAQ_micro -4.9 -5.3 -4.5 -3.0 -3 NIKKEI 25.1 22.3 27.8 35.0 35 NZD -0.5 -0.8 -0.2 0.0 0 OAT -0.6 -0.8 -0.3 0.0 0 OATIES -2.1 -2.4 -1.8 NaN 0 OJ 2.9 2.7 3.0 NaN 0 PALLAD -0.3 -0.4 -0.2 -1.0 -1 PLAT -0.3 -0.6 -0.1 -3.0 -3 REDWHEAT -2.1 -2.2 -2.0 -3.0 -3 RICE -1.0 -1.3 -0.7 NaN 0 ROBUSTA 1.0 0.8 1.2 4.0 4 RUSSELL -26.2 -28.1 -24.3 -8.0 -8 SHATZ -6.3 -6.8 -5.8 NaN 0 SILVER-mini -1.7 -1.9 -1.5 NaN 0 SMI -0.1 -0.3 0.1 1.0 1 SOFR -21.0 -22.8 -19.2 NaN 0 SOYBEAN -0.1 -0.2 -0.1 0.0 0 SOYMEAL -0.7 -0.8 -0.6 0.0 0 SOYOIL -0.1 -0.2 -0.1 0.0 0 SP400 -1.0 -1.0 -0.9 -1.0 -1 SP500_micro -10.9 -11.6 -10.2 -1.0 -1 SUGAR11 1.6 1.4 1.9 0.0 0 US10 -2.1 -2.3 -2.0 NaN 0 US10U -1.3 -1.4 -1.2 -3.0 -3 US2 -4.7 -5.0 -4.4 NaN 0 US20 -0.7 -0.8 -0.7 -4.0 -4 US30 -0.5 -0.6 -0.5 -2.0 -2 US5 -3.8 -4.0 -3.6 0.0 0 VIX -38.2 -40.5 -35.9 -17.0 -17 WHEAT -2.3 -2.4 -2.2 -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 1.2 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 0.2 -0.3 -0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.1 0.1 -0.4 -0.0 -0.4 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.1 0.5 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.2 0.2 -0.1 -0.5 -0.3 -0.7 -0.2 0.1 BITCOIN 0.2 -0.6 -0.2 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.1 0.1 0.1 0.2 -0.1 -0.2 -0.1 -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 -0.0 -0.0 -0.1 0.5 0.6 -0.3 -0.1 -0.2 0.7 -0.2 0.7 BOBL -0.4 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 0.1 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.2 -0.1 1.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.7 0.1 0.0 0.1 0.1 -0.7 -0.7 -0.6 -0.5 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 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.0 0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.8 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 0.7 -0.0 -0.0 0.1 0.1 -0.7 -0.7 -0.6 -0.1 BUXL -0.5 -0.3 -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 -0.2 0.2 -0.0 -0.0 -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 -0.5 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 0.2 -0.2 0.7 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.2 0.3 -0.2 -0.7 -0.1 -0.1 -0.0 -0.1 0.2 -0.1 0.3 -0.1 0.1 0.4 0.2 0.6 0.0 0.7 0.2 CAD 0.4 -0.4 -0.1 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.1 -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 -0.1 -0.1 -0.0 -0.1 -0.0 0.0 0.2 0.6 0.0 -0.4 -0.7 -0.7 -0.7 -0.6 CANOLA -0.6 -0.5 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 0.0 -0.1 -0.0 -0.2 -0.0 -0.2 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.3 -0.5 -0.6 -0.3 0.5 -0.3 0.1 0.4 0.5 CHF -0.6 -0.6 -0.2 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.2 0.4 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.2 0.1 -0.2 -1.4 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -1.1 -0.5 -0.6 -0.6 -0.5 -0.7 -0.7 -0.7 -0.7 COCOA -0.6 -0.3 0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.5 -0.2 0.7 -0.0 0.1 -0.0 -0.0 -0.1 -0.1 0.1 0.2 -0.2 0.5 -0.1 -1.7 0.0 -0.1 0.2 -0.1 0.4 -0.0 -0.5 -0.5 -0.1 0.3 0.6 0.0 -0.3 0.6 0.1 COFFEE 0.2 -0.0 -0.5 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.4 -0.2 -0.5 -0.2 -0.2 -0.1 0.0 -0.0 0.0 -0.1 -0.2 -0.2 -0.5 -0.1 -2.7 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 0.3 -0.3 -0.6 -0.7 -0.7 -0.7 -0.3 COPPER -0.3 -0.2 -0.1 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -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 -0.1 0.1 -0.2 -0.2 -0.1 0.2 0.2 -0.7 0.4 -0.7 CORN 0.0 -0.4 -0.6 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.4 -0.0 -0.4 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.4 -0.1 -1.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.2 0.4 0.4 -0.1 -0.1 -0.2 0.1 0.0 0.3 COTTON2 -0.1 0.1 0.4 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 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 0.3 0.6 0.6 0.1 0.0 0.2 0.0 0.1 0.0 -0.1 0.5 0.2 0.2 0.2 0.2 0.4 0.2 0.4 0.3 0.2 0.2 0.2 0.5 0.2 -1.0 0.1 0.0 0.2 0.0 0.2 0.1 -1.1 0.4 0.6 0.2 0.0 0.7 0.4 0.7 0.3 DAX -0.3 -0.5 -0.5 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.2 0.6 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 0.2 -0.2 2.5 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 -0.2 -0.3 -0.2 0.0 -0.3 0.7 0.0 0.7 0.3 DOW -0.6 -0.6 0.1 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 0.1 -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 -0.5 -0.2 -0.1 0.6 -0.5 -0.2 -0.7 -0.3 DX 0.4 0.6 0.4 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.1 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 0.0 0.1 0.1 0.1 0.1 0.7 0.5 0.6 0.6 0.3 0.0 0.3 0.2 0.7 EUR -0.4 -0.6 -0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.1 -0.1 -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 -0.0 -0.1 -0.1 -0.0 -0.1 -0.4 -0.2 -0.6 -0.5 -0.5 -0.3 -0.6 -0.1 -0.1 EURIBOR-ICE -0.3 0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.1 -0.2 -0.1 -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 0.2 0.2 0.2 0.1 -0.7 -0.7 0.6 0.4 EUROSTX -0.2 -0.5 -0.5 -0.1 -0.0 -0.0 -0.1 0.0 -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 -0.1 0.3 -0.2 0.7 -0.1 -0.0 -0.0 -0.1 0.1 -0.1 0.3 0.1 0.1 0.2 -0.1 0.6 0.1 0.7 0.4 FEEDCOW -0.2 -0.2 0.4 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 0.5 -0.1 0.7 0.1 0.2 -0.2 -0.4 -0.2 -0.4 0.2 0.2 -0.1 0.5 0.1 -0.1 0.1 -0.1 0.3 -0.0 0.4 0.0 -1.1 -0.5 0.6 0.6 0.6 0.4 -0.3 0.7 0.1 GASOIL 0.2 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 1.6 0.1 0.0 0.2 0.0 0.1 0.1 0.0 0.3 0.4 0.4 0.6 -0.7 0.1 -0.7 -0.1 GASOLINE -0.4 0.0 0.6 0.1 0.0 0.2 0.0 0.1 0.0 -0.2 0.5 -0.2 0.3 -0.0 0.2 0.4 0.4 0.4 0.4 0.2 0.2 -0.2 0.5 -0.0 -2.7 0.1 -0.1 0.3 -0.1 0.4 -0.0 1.1 -0.5 -0.6 -0.6 -0.2 0.7 0.4 0.7 0.2 GAS_US_mini -0.1 -0.1 0.3 0.1 0.0 0.2 0.0 0.1 0.0 -0.0 -0.5 -0.1 -0.7 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.0 -0.5 -0.1 2.7 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.4 -0.6 -0.6 -0.6 -0.0 0.2 -0.3 0.0 GBP -0.6 -0.6 -0.2 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.1 -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 -0.0 -0.1 -0.1 -0.0 -0.1 0.2 -0.5 -0.6 -0.6 -0.4 -0.1 0.4 0.1 0.7 GOLD_micro -0.2 -0.3 -0.5 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.4 -0.2 0.1 -0.2 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.2 -0.1 -0.2 -1.4 -0.1 -0.2 -0.1 -0.2 0.0 -0.1 -1.0 -0.5 -0.6 -0.4 -0.4 -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 -0.0 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 -0.0 -0.4 -0.1 0.6 0.2 -0.1 0.0 -0.2 JGB-SGX-mini -0.3 -0.5 -0.6 -0.0 -0.0 -0.1 -0.1 -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 -0.1 -0.1 0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 0.2 0.3 0.2 0.1 -0.4 -0.4 0.3 0.3 JPY -0.1 -0.5 -0.5 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.4 -0.2 -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 -0.2 -0.3 -0.5 -0.6 -0.2 -0.7 -0.1 -0.7 LEANHOG -0.0 0.1 0.6 -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 -0.0 -0.2 -0.0 1.5 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 1.1 0.1 0.3 -0.0 -0.0 -0.3 -0.0 0.5 0.7 LIVECOW 0.1 -0.3 0.2 -0.1 -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 0.1 0.2 0.1 -0.0 0.3 -0.0 0.5 0.1 -0.4 0.1 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.7 LUMBER-new -0.1 -0.3 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.6 0.0 -0.7 -0.2 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 0.0 -0.4 -0.1 NaN -0.1 0.1 -0.2 0.0 -0.2 -0.1 -1.2 0.6 0.6 -0.0 -0.6 -0.5 -0.8 -0.2 -0.8 MILK -0.6 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 -0.3 -0.4 -0.4 -0.4 -0.1 -0.1 -0.2 -0.4 -0.1 0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -1.1 -0.5 -0.4 0.1 -0.6 -0.7 -0.7 -0.5 -0.7 MXP -0.2 -0.5 -0.6 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.3 -0.1 0.5 -0.1 0.0 0.3 0.3 0.3 0.3 -0.0 0.1 -0.1 0.5 -0.1 -2.7 -0.0 -0.0 0.1 -0.1 0.3 -0.0 1.1 -0.3 -0.2 0.2 0.3 0.7 0.3 0.7 0.7 NASDAQ_micro -0.6 -0.6 -0.0 -0.0 -0.0 -0.0 -0.0 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 -0.1 0.3 -0.1 -2.7 -0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.3 -0.1 -0.1 0.0 0.5 -0.1 -0.5 -0.2 -0.6 NIKKEI -0.2 -0.2 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.2 0.4 -0.2 0.6 0.0 0.0 0.1 0.2 0.2 0.2 0.1 0.2 -0.2 0.5 -0.1 -1.2 0.0 -0.1 0.2 -0.1 0.4 -0.0 1.1 -0.1 0.6 0.6 0.6 0.0 0.1 -0.1 0.4 NZD 0.3 -0.3 -0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.1 0.1 -0.4 0.1 -0.1 -0.1 -0.2 -0.0 0.0 0.0 0.0 -0.1 -0.1 0.1 -0.3 -0.0 0.1 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.2 0.5 0.6 0.0 -0.5 0.0 -0.5 0.2 0.3 OAT -0.4 -0.2 -0.0 -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 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 1.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 0.9 -0.1 -0.0 0.1 0.1 -0.7 -0.7 -0.1 0.2 OATIES -0.6 -0.4 0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.2 -0.1 -0.0 -0.1 0.0 -0.3 -0.1 -0.3 -0.3 -0.0 0.1 -0.1 0.2 -0.1 -2.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 -1.1 -0.4 -0.6 0.2 0.6 0.2 0.5 0.7 0.7 OJ 0.4 0.5 0.6 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.5 0.2 0.7 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.3 0.0 0.4 0.1 1.1 0.5 0.6 0.6 0.6 0.1 0.2 0.7 0.6 PALLAD 0.3 0.2 -0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.4 0.1 -0.6 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 0.0 -0.5 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.1 0.3 0.4 0.3 -0.4 -0.4 -0.2 0.2 -0.0 PLAT -0.1 0.1 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 1.9 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.0 0.3 -0.2 0.0 -0.6 0.4 -0.5 REDWHEAT -0.2 -0.6 -0.4 -0.0 -0.1 -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 -0.2 -0.3 -0.2 -2.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.5 -0.0 -0.6 -0.6 -0.7 -0.6 -0.6 -0.3 RICE -0.4 0.1 0.3 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 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 0.1 -0.0 1.0 0.3 -0.1 0.3 0.2 -0.2 -0.7 0.4 -0.3 ROBUSTA -0.0 -0.2 0.0 -0.0 -0.1 -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 -0.0 0.5 -0.0 -2.4 0.0 -0.0 0.2 -0.0 0.4 -0.0 1.1 0.0 0.6 0.2 -0.0 -0.0 -0.4 0.7 -0.1 RUSSELL -0.6 -0.6 0.1 -0.0 -0.0 -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 -0.1 -0.1 -0.3 0.4 -0.4 -0.4 -0.7 -0.6 SHATZ -0.5 -0.0 -0.2 -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 -0.0 -0.4 -0.1 1.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.0 0.3 0.0 0.1 -0.0 -0.7 -0.7 -0.7 -0.7 SILVER-mini -0.3 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.1 1.0 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.2 -0.2 -0.3 0.1 0.2 -0.6 -0.7 -0.2 -0.7 SMI 0.1 -0.2 -0.3 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 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 0.2 0.5 0.6 -0.1 -0.2 -0.5 -0.4 -0.4 SOFR -0.3 -0.4 -0.6 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.3 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.1 -0.3 -0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.2 0.3 0.1 -0.0 -0.7 -0.7 -0.3 -0.2 SOYBEAN -0.5 -0.0 0.3 -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 0.0 -0.0 1.1 0.1 -0.0 0.1 0.6 -0.5 0.1 -0.4 0.3 SOYMEAL -0.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.1 -0.1 -0.1 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 0.1 0.0 0.1 0.4 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.6 -0.3 0.6 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -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 -0.2 -2.7 -0.0 -0.1 0.0 -0.1 0.0 -0.1 0.8 -0.5 -0.4 -0.1 0.6 -0.0 0.2 0.7 0.7 SP400 -0.6 -0.6 0.1 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 0.0 -0.2 -1.6 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 -0.1 0.5 -0.2 -0.4 -0.6 -0.7 SP500_micro -0.6 -0.6 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 0.2 -0.2 0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 0.0 -0.2 0.3 -0.2 -2.3 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.4 -0.4 -0.3 -0.1 0.6 -0.2 -0.4 -0.4 -0.6 SUGAR11 0.2 0.4 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.5 -0.0 0.6 0.1 0.2 0.3 0.2 0.1 0.1 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 -0.0 0.2 -0.0 0.4 0.0 0.6 0.3 0.6 0.6 0.1 -0.7 -0.7 0.3 -0.0 US10 -0.4 -0.4 -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 -0.2 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.5 0.0 0.1 0.0 -0.1 -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 -0.1 -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 -0.5 -0.2 -0.5 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 0.1 -0.1 -0.2 -0.7 -0.7 0.6 0.6 US2 -0.2 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -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 0.2 0.3 0.2 -0.2 -0.7 -0.7 -0.7 -0.7 US20 -0.4 -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 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.3 -0.2 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.1 -0.2 -0.6 -0.7 0.7 0.7 US30 -0.4 -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 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.4 -0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 0.0 -0.1 -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 -0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.3 -0.2 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.1 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.9 0.2 0.2 0.1 -0.1 -0.7 -0.7 -0.1 -0.6 VIX 0.5 0.5 -0.1 -0.1 0.0 -0.4 0.1 -0.7 0.0 0.1 -0.9 0.2 -1.2 -0.1 -0.3 -0.6 -0.6 -0.6 -0.6 -0.2 -0.3 0.1 -0.9 0.0 NaN -0.1 0.1 -0.5 0.1 -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 -0.1 -0.3 -0.1 -0.5 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.4 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.1 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 5.7 -9.6 -9.3 -3.2 -1.8 0.5 -4.2 2.1 -4.7 6.1 -15.6 -0.5 -10.2 -11.7 -15.4 -3.8 -2.9 -3.4 -3.1 -12.2 -13.3 -2.0 -11.9 -6.7 3.6 -5.0 1.5 -5.0 -1.1 -4.3 -3.0 -1.4 7.7 6.6 -1.7 -16.3 -9.2 -20.0 -5.9 3.6 BITCOIN 5.4 -17.9 -5.7 -4.0 -5.4 -1.6 -6.2 0.9 -4.9 7.7 2.8 10.8 4.2 -11.2 -15.5 -5.3 -4.4 -5.9 -5.5 -10.4 -5.2 3.1 -1.0 -4.4 -20.0 -5.4 3.9 -3.7 1.7 -0.8 -2.1 -1.2 19.3 17.9 -8.0 -4.1 -6.9 20.0 -5.5 20.0 BOBL -11.2 -1.0 0.0 -2.8 -3.7 -2.3 -3.8 -2.2 -3.3 -0.4 -6.0 -6.5 -8.0 -7.6 -7.5 3.1 -7.6 -10.6 -11.7 -6.3 -5.9 -8.0 -8.8 -7.8 10.1 -2.8 -2.8 -2.1 -4.1 -2.8 -3.7 -12.6 3.1 1.2 3.9 2.6 -20.0 -20.0 -18.5 -16.4 BTP -17.4 -13.7 -2.8 -3.9 -5.2 -3.1 -5.3 -3.1 -4.6 -6.5 -1.3 -10.4 -0.2 -11.4 -9.6 5.6 7.6 5.5 6.2 -10.4 -4.5 -18.9 -3.6 -16.0 -6.4 -3.6 -5.6 -1.3 -6.8 -0.7 -5.7 16.0 -5.7 -5.4 0.1 9.3 -12.0 -20.0 0.5 9.7 BUND -11.5 -4.1 -0.1 -2.8 -3.8 -2.3 -3.9 -2.3 -3.4 -3.3 -7.3 -7.2 -8.5 -8.1 -8.1 -1.5 7.0 2.1 4.3 -7.4 -6.2 -10.9 -8.7 -9.5 6.3 -2.9 -4.1 -2.0 -4.9 -2.4 -4.0 14.0 -1.5 -0.2 2.6 3.2 -20.0 -20.0 -18.1 -1.8 BUXL -14.8 -8.7 -0.9 -3.2 -4.2 -2.6 -4.3 -2.5 -3.8 -5.7 -9.7 -8.9 -10.2 -9.7 -9.5 0.3 0.9 0.6 1.0 -11.7 -9.8 -16.4 -12.4 -14.8 1.2 -3.4 -4.2 -2.4 -5.2 -2.4 -4.5 6.0 -6.4 -5.0 -1.9 2.3 -20.0 -20.0 -8.3 18.8 CAC -6.7 -11.5 -14.0 -5.1 -3.9 -1.5 -7.3 1.3 -7.2 -14.7 5.7 -17.5 18.2 -17.8 -13.1 -6.9 -1.9 -6.3 -4.4 -10.3 -0.3 -20.0 12.7 -16.7 -5.2 -5.0 -7.2 -0.3 -10.5 4.9 -8.4 4.9 -4.4 4.5 13.1 5.9 19.4 1.1 20.0 6.7 CAD 13.3 -11.1 -3.7 -4.5 -2.6 0.7 -5.9 3.0 -6.7 -15.5 -4.3 10.9 -12.1 -3.4 -12.6 -2.5 -2.1 -2.4 -2.3 -8.5 -8.0 -1.9 -7.9 -1.9 1.5 -3.8 -7.2 -3.3 -1.2 -2.6 -0.8 0.0 10.1 20.0 1.1 -13.2 -20.0 -20.0 -20.0 -18.9 CANOLA -20.0 -16.2 20.0 -2.3 -3.9 -1.5 -4.2 -1.9 -3.9 -9.7 3.6 -10.9 -3.3 -10.8 1.0 -10.8 8.1 -4.9 2.3 -9.5 -0.4 -20.0 -1.1 -20.0 -20.0 -2.0 -3.5 -0.5 -4.5 -1.1 -4.3 5.6 -20.0 -20.0 -9.6 14.8 -9.0 2.7 10.7 15.5 CHF -20.0 -20.0 -5.0 -4.1 -2.4 0.6 -5.4 2.7 -6.1 -12.5 -4.3 -19.2 10.6 -20.0 -18.7 -17.5 -14.1 -16.2 -15.1 -20.0 -9.1 -20.0 4.2 -20.0 -10.5 -6.5 -6.2 -1.9 -9.8 0.7 -9.8 -20.0 -20.0 -20.0 -20.0 -14.3 -20.0 -20.0 -20.0 -20.0 COCOA -20.0 -8.6 7.4 -3.9 -6.6 -2.6 -7.1 -3.2 -6.6 -14.9 17.1 -15.4 18.3 -3.8 10.5 -2.4 -2.3 -3.7 -2.9 9.8 20.0 -20.0 20.0 -8.5 -12.9 3.3 -8.2 8.9 -8.2 10.7 -3.3 -8.5 -20.0 -3.0 9.6 20.0 0.2 -9.2 18.6 1.7 COFFEE 6.2 -1.3 -15.0 -4.1 -6.9 -2.7 -7.4 -3.4 -6.9 -18.3 -16.4 -16.1 -14.1 -14.4 -18.2 -3.1 1.6 -1.8 0.1 -13.6 -17.0 -19.6 -16.8 -12.1 -20.0 -5.3 -12.6 -4.8 -9.3 -3.6 -5.9 -2.6 -14.1 8.5 -8.7 -20.0 -20.0 -20.0 -19.7 -10.3 COPPER -7.8 -5.0 -3.6 -3.2 -4.4 -1.3 -5.0 0.7 -4.0 1.0 -11.4 -9.8 -3.5 -12.2 -11.6 -5.7 -2.9 -5.2 -4.2 -10.0 -8.4 -7.7 -7.0 -11.4 -6.2 -4.0 4.2 -3.2 -3.7 -2.9 -5.5 1.2 -7.4 -7.0 -4.0 5.1 6.0 -20.0 11.4 -20.0 CORN 0.7 -12.2 -20.0 -2.8 -4.7 -1.9 -5.1 -2.3 -4.7 -0.7 -13.0 -0.5 -12.2 -8.6 -13.7 -6.0 2.7 -6.5 -3.0 -11.3 -14.8 -0.6 -13.2 -5.0 -12.6 -3.4 -1.1 -4.5 -0.3 -5.4 -2.0 -4.1 16.8 12.3 -2.5 -1.6 -5.2 2.7 1.5 8.7 COTTON2 -2.0 3.0 13.5 -3.5 -6.0 -2.4 -6.4 -2.9 -5.9 4.3 11.8 2.6 -8.5 3.9 12.0 -2.1 5.3 1.8 3.1 7.5 7.5 3.6 1.5 4.8 -20.0 5.7 -0.1 5.3 2.8 3.4 4.3 2.6 20.0 20.0 20.0 10.0 -17.3 -16.1 9.2 10.8 CRUDE_W 10.8 19.4 20.0 7.7 0.0 6.9 1.3 4.1 4.6 -6.4 20.0 14.7 5.0 20.0 20.0 20.0 11.5 18.2 13.4 20.0 20.0 19.5 20.0 20.0 -7.5 9.3 0.8 7.7 4.3 5.3 7.7 -20.0 17.1 20.0 6.4 0.6 20.0 11.2 20.0 8.2 DAX -10.5 -15.4 -15.0 -4.9 -3.7 -1.4 -7.0 1.2 -6.9 -11.7 -1.3 -16.5 15.4 -18.6 -18.0 -10.0 -7.5 -9.5 -8.8 -16.5 -5.2 -20.0 7.5 -20.0 18.9 -6.3 -5.9 -2.4 -9.8 1.5 -8.8 -3.9 -11.3 -6.2 0.4 -8.2 20.0 0.3 20.0 8.8 DOW -17.5 -20.0 2.2 -4.2 -3.2 -1.2 -6.0 1.1 -5.9 -15.8 4.8 -16.8 11.5 -16.2 -8.3 -11.8 -8.5 -11.5 -10.4 -11.8 -0.5 -20.0 4.6 -20.0 -10.5 -3.2 -9.1 1.0 -9.6 2.8 -7.3 -6.1 -19.5 -5.3 -1.8 18.0 -14.1 -7.2 -20.0 -7.8 DX 12.5 20.0 11.1 -4.2 -2.4 0.6 -5.4 2.7 -6.2 9.0 15.8 17.8 -7.8 20.0 20.0 7.6 5.5 7.0 6.2 20.0 18.4 20.0 8.4 20.0 -20.0 7.5 4.4 4.5 7.2 2.6 8.4 13.8 20.0 20.0 20.0 10.6 0.9 7.8 4.5 20.0 EUR -11.8 -20.0 -8.0 -3.4 -1.9 0.5 -4.5 2.2 -5.1 -6.4 -11.5 -13.9 7.0 -17.3 -17.3 -6.9 -6.9 -6.8 -6.7 -19.9 -10.4 -18.6 -3.3 -20.0 14.0 -5.9 -3.2 -2.9 -5.9 -0.8 -6.9 -7.8 -8.7 -18.8 -16.9 -14.1 -7.8 -19.1 -3.5 -2.5 EURIBOR-ICE -8.2 2.8 4.0 -2.6 -3.4 -2.1 -3.5 -2.0 -3.0 1.4 -4.2 -5.0 -6.9 -5.2 -2.4 -9.2 -8.1 -9.3 -9.2 -3.2 -3.8 -4.5 -7.7 -4.1 17.6 -1.8 -2.1 -1.8 -3.0 -3.7 -2.5 -11.0 6.9 6.9 7.2 4.1 -20.0 -20.0 17.1 13.1 EUROSTX -7.6 -14.0 -15.4 -4.6 -3.5 -1.4 -6.6 1.2 -6.5 -10.6 2.2 -14.7 15.5 -17.8 -17.2 -5.6 -1.7 -5.2 -3.9 -12.1 -2.3 -16.5 9.7 -16.3 5.5 -5.7 -4.2 -1.6 -8.0 3.1 -7.8 5.5 3.5 3.2 6.9 -1.5 17.0 3.2 20.0 13.0 FEEDCOW -5.2 -7.4 11.6 -4.6 -7.8 -3.1 -8.4 -3.8 -7.7 -16.8 20.0 -5.6 20.0 8.5 19.0 -8.0 -20.0 -11.9 -20.0 20.0 20.0 -14.4 20.0 9.9 -0.7 7.5 -7.6 9.7 -3.5 10.3 3.3 -20.0 -20.0 20.0 20.0 20.0 10.7 -7.8 20.0 2.2 GASOIL 5.3 18.5 20.0 5.9 0.0 5.2 1.0 3.2 3.5 3.3 17.2 13.5 6.7 15.9 19.3 20.0 20.0 20.0 20.0 20.0 20.0 12.1 20.0 20.0 11.6 7.0 1.1 6.4 2.2 3.8 4.7 0.0 11.0 12.6 10.9 20.0 -19.6 2.2 -20.0 -3.8 GASOLINE -11.2 0.9 20.0 7.3 0.0 6.5 1.2 3.9 4.4 -20.0 20.0 -15.8 7.8 -4.3 18.5 20.0 20.0 20.0 20.0 19.6 20.0 -20.0 20.0 -1.4 -20.0 6.1 -12.8 9.5 -7.9 9.9 -1.0 20.0 -20.0 -20.0 -20.0 -4.6 20.0 11.6 20.0 4.9 GAS_US_mini -3.5 -4.6 9.7 7.4 0.0 6.6 1.3 4.0 4.4 -2.1 -20.0 -11.4 -20.0 -20.0 -18.0 -20.0 -20.0 -20.0 -20.0 -12.4 -20.0 -3.9 -20.0 -9.9 20.0 -2.0 0.8 -2.5 -1.0 -4.9 -2.6 -20.0 15.6 -20.0 -20.0 -20.0 -0.6 6.0 -8.2 0.2 GBP -20.0 -20.0 -5.0 -4.1 -2.4 0.6 -5.4 2.7 -6.1 -10.5 -0.3 -19.2 11.7 -20.0 -19.1 -0.4 -0.7 -0.2 -0.4 -20.0 -7.2 -20.0 2.7 -20.0 -0.5 -6.7 -3.3 -2.1 -7.8 -0.1 -9.2 2.8 -20.0 -20.0 -19.7 -13.2 -2.1 13.0 3.4 20.0 GOLD_micro -7.3 -8.6 -16.3 -4.2 -5.6 -1.7 -6.4 0.9 -5.1 -20.0 -14.6 -20.0 4.1 -19.2 -19.3 -19.5 -14.4 -18.5 -16.7 -20.0 -15.2 -20.0 -3.3 -20.0 -10.8 -5.2 -20.0 -2.5 -18.4 0.5 -9.6 -19.4 -20.0 -20.0 -12.9 -11.9 -14.7 -20.0 -8.2 -20.0 HEATOIL -1.2 15.0 20.0 6.6 0.0 5.9 1.1 3.6 4.0 -2.1 17.9 5.5 5.9 12.7 20.0 20.0 20.0 20.0 20.0 20.0 20.0 6.9 20.0 20.0 -20.0 7.5 0.1 8.2 0.9 6.3 3.6 2.1 -1.2 -11.1 -1.7 20.0 4.6 -2.0 0.3 -5.5 JGB-SGX-mini -9.0 -14.0 -20.0 -3.6 -4.8 -2.9 -4.8 -2.8 -4.2 -9.6 0.7 -10.4 4.8 -10.7 -11.0 20.0 20.0 17.3 17.2 -10.0 -5.0 -10.7 1.1 -10.5 -0.6 -3.6 -4.7 -2.1 -4.2 -0.8 -4.0 20.0 9.6 7.9 5.2 3.4 -11.2 -10.6 10.3 9.5 JPY -4.2 -15.1 -15.5 -2.8 -1.6 0.4 -3.7 1.8 -4.2 -12.4 -15.9 -14.5 -14.7 -15.6 -16.0 -18.3 -14.7 -17.3 -16.2 -20.0 -20.0 -14.6 -20.0 -18.5 20.0 -5.9 -3.1 -6.0 -4.2 -5.8 -5.0 -20.0 -7.9 -9.3 -14.6 -20.0 -5.1 -20.0 -2.6 -20.0 LEANHOG -0.7 3.3 17.8 -2.3 -3.8 -1.5 -4.1 -1.9 -3.8 -7.6 -1.3 -6.9 -4.5 -3.7 2.8 20.0 20.0 20.0 20.0 -0.8 -2.7 -4.4 -6.5 -2.3 11.4 -1.6 -3.5 -4.4 -2.6 -7.6 -1.6 20.0 4.0 10.2 -0.2 -0.0 -10.1 -0.7 13.7 20.0 LIVECOW 4.4 -10.0 6.4 -4.8 -8.1 -3.2 -8.7 -4.0 -8.1 -15.3 20.0 8.2 20.0 14.0 20.0 -20.0 -2.2 -20.0 -6.3 20.0 20.0 -0.7 20.0 12.9 1.9 8.5 -5.2 11.7 -0.5 12.8 4.7 -8.2 2.5 20.0 20.0 20.0 -20.0 -20.0 -20.0 -20.0 LUMBER-new -2.2 -7.1 -4.2 -4.8 -8.1 -3.0 -8.8 -3.0 -8.1 13.1 -20.0 1.6 -20.0 -16.2 -20.0 -16.3 -14.1 -15.9 -14.7 -16.6 -16.7 0.5 -14.1 -10.7 NaN -6.9 4.8 -6.0 0.7 -4.1 -4.6 -20.0 20.0 15.5 -0.3 -15.3 -14.0 -20.0 -5.3 -20.0 MILK -20.0 7.8 13.5 -2.6 -4.4 -1.7 -4.8 -2.2 -4.4 -10.5 -4.9 -12.3 -10.5 -9.9 2.1 -15.3 -20.0 -20.0 -20.0 -5.8 -9.0 -19.6 -16.7 -13.6 0.3 -2.6 -4.3 -3.9 -6.0 -6.0 -4.4 -20.0 -19.9 -11.4 4.0 -17.0 -20.0 -20.0 -15.3 -20.0 MXP -7.4 -16.0 -20.0 -2.9 -1.7 0.4 -3.8 1.9 -4.3 -4.7 12.3 -6.3 15.2 -5.6 1.0 14.2 17.2 15.8 16.6 -0.1 10.1 -9.8 18.9 -6.8 -20.0 -0.3 -2.8 5.1 -5.4 9.5 -3.9 20.0 -10.7 -6.5 7.5 8.5 20.0 8.5 20.0 20.0 NASDAQ_micro -19.1 -20.0 -0.8 -2.9 -2.2 -0.8 -4.1 0.7 -4.1 -7.0 8.1 -9.5 8.5 -8.9 -4.0 -9.6 -8.3 -9.9 -9.6 -4.1 7.7 -13.8 12.5 -12.5 -20.0 -1.4 -2.2 3.2 -4.5 5.8 -4.2 -5.3 -2.5 -4.5 0.6 14.4 -2.4 -14.5 -7.2 -17.2 NIKKEI -5.6 -7.3 0.1 -4.8 -3.6 -1.4 -6.9 1.2 -6.8 -18.3 16.3 -16.2 17.0 0.2 3.4 6.7 11.9 10.9 11.9 5.6 18.1 -17.3 20.0 -5.3 -9.0 2.7 -10.6 9.2 -8.4 12.3 -2.8 20.0 -6.0 20.0 20.0 20.0 1.4 3.5 -2.6 11.3 NZD 9.7 -10.2 -9.7 -3.4 -1.9 0.5 -4.4 2.2 -5.0 13.9 -14.9 12.6 -2.4 -8.0 -15.0 -0.1 0.3 0.0 0.2 -10.5 -12.8 7.6 -11.1 -0.9 0.6 -3.8 6.8 -4.6 4.2 -3.8 0.3 4.3 20.0 17.3 1.2 -14.9 0.3 -14.6 5.7 7.6 OAT -12.5 -4.7 -0.4 -3.0 -4.0 -2.5 -4.1 -2.4 -3.6 -4.1 -7.6 -7.8 -8.8 -8.6 -8.3 6.3 8.2 6.2 7.0 -7.7 -6.1 -12.3 -8.1 -10.4 8.4 -3.0 -4.7 -2.0 -5.3 -2.3 -4.3 17.3 -2.2 -0.8 3.0 4.2 -20.0 -20.0 -4.2 6.4 OATIES -20.0 -11.0 20.0 -2.4 -4.1 -1.6 -4.4 -2.0 -4.1 -1.7 6.7 -7.7 -1.2 -7.6 2.6 -15.7 -6.2 -16.6 -13.4 -0.2 9.2 -12.5 8.2 -12.4 -20.0 0.1 -0.9 2.2 -2.9 1.8 -2.8 -20.0 -15.1 -20.0 6.5 20.0 6.6 14.4 20.0 20.0 OJ 11.8 16.2 17.3 -4.4 -7.4 -2.9 -8.0 -3.6 -7.4 7.8 20.0 17.9 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 8.4 2.5 9.7 4.4 10.8 6.5 20.0 20.0 20.0 20.0 20.0 4.5 6.1 19.8 18.8 PALLAD 10.1 6.8 -5.9 -2.6 -3.5 -1.1 -4.1 0.6 -3.2 3.3 -14.4 6.2 -15.9 -1.4 -10.5 -3.2 -2.6 -2.9 -2.9 -6.0 -17.0 1.7 -20.0 0.0 -0.3 -1.9 2.7 -4.7 1.2 -6.9 0.2 2.4 10.5 13.4 8.9 -10.9 -12.4 -5.7 4.8 -1.3 PLAT -3.8 3.7 -11.3 -2.4 -3.2 -1.0 -3.7 0.5 -2.9 -5.0 -10.9 -7.4 -3.6 -6.7 -9.1 -3.8 -2.4 -3.5 -3.0 -6.8 -7.9 -7.0 -5.6 -6.0 14.1 -0.1 -2.7 -0.9 -2.7 -0.8 -0.5 2.5 -0.8 -1.2 10.5 -5.6 0.0 -18.4 10.8 -14.6 REDWHEAT -6.9 -19.6 -12.8 -3.4 -5.7 -2.2 -6.1 -2.8 -5.7 -15.2 -14.4 -16.0 -15.8 -17.1 -16.9 -4.0 1.0 -3.0 -0.8 -20.0 -17.1 -20.0 -12.5 -20.0 -16.4 -5.4 -11.4 -3.9 -8.4 -2.2 -6.5 -3.6 -20.0 -0.7 -18.8 -17.4 -20.0 -19.2 -17.9 -9.1 RICE -13.3 2.0 10.4 -3.5 -5.9 -2.3 -6.3 -2.9 -5.9 0.9 7.6 -4.1 3.9 -3.8 7.4 -17.0 13.3 -4.9 10.1 4.8 6.1 -0.3 3.9 0.5 -20.0 0.9 -1.1 2.2 -0.4 1.4 -1.0 19.3 14.1 -2.8 8.9 7.5 -5.8 -19.9 12.1 -9.3 ROBUSTA -0.1 -6.1 1.4 -3.6 -6.1 -2.4 -6.5 -3.0 -6.1 -10.2 12.0 -7.7 13.6 -0.8 -3.4 20.0 20.0 20.0 20.0 3.1 13.3 -4.6 20.0 -1.5 -18.1 1.3 -0.9 6.8 -2.6 11.5 -1.1 20.0 0.7 17.3 6.7 -0.3 -0.0 -13.1 20.0 -3.1 RUSSELL -20.0 -20.0 1.9 -4.2 -3.2 -1.2 -6.0 1.1 -5.9 -7.7 -5.2 -14.1 -3.6 -16.7 -11.5 -8.4 -6.1 -8.0 -7.3 -18.6 -7.1 -19.5 -3.3 -20.0 -3.1 -4.0 -2.2 -0.6 -5.5 0.9 -6.2 -1.3 -3.7 -4.2 -8.0 12.0 -11.2 -11.5 -20.0 -17.7 SHATZ -14.0 -0.5 -5.0 -2.7 -3.6 -2.2 -3.6 -2.1 -3.2 3.2 -7.5 -5.6 -8.2 -6.9 -7.2 -20.0 -9.7 -20.0 -16.7 -7.8 -8.8 -5.0 -13.1 -7.8 11.1 -2.7 -0.1 -2.5 -2.0 -3.5 -2.9 -18.0 11.8 1.4 3.1 -0.2 -20.0 -20.0 -20.0 -20.0 SILVER-mini -10.7 -4.6 -6.1 -2.9 -3.9 -1.2 -4.5 0.6 -3.5 -14.4 -1.6 -13.4 4.2 -11.7 -10.6 -8.0 -6.1 -7.5 -6.9 -8.7 -4.4 -16.9 -0.1 -12.0 7.8 -0.6 -11.6 0.9 -7.2 1.4 -3.1 -4.0 -6.9 -9.9 4.5 6.6 -19.2 -20.0 -7.3 -20.0 SMI 2.3 -5.2 -10.5 -4.6 -3.4 -1.3 -6.5 1.2 -6.4 -12.5 0.9 -12.5 5.6 -7.8 -11.2 3.1 1.3 0.1 -0.2 -6.3 -4.3 -10.9 -0.4 -6.9 6.0 -2.0 -7.6 -1.5 -7.1 -1.8 -3.4 11.0 7.2 16.4 20.0 -1.9 -6.1 -15.5 -11.5 -12.7 SOFR -9.2 -13.5 -17.6 -3.8 -5.1 -3.1 -5.2 -3.0 -4.5 -5.4 -10.1 -9.1 -6.7 -10.6 -11.0 -1.9 -1.1 -2.0 -1.6 -13.9 -12.5 -10.2 -10.2 -12.8 -1.9 -4.2 -1.6 -3.6 -3.6 -2.8 -4.1 1.8 8.1 8.4 3.3 -1.5 -20.0 -20.0 -9.8 -5.2 SOYBEAN -16.3 -0.8 9.6 -2.6 -4.4 -1.8 -4.8 -2.2 -4.4 -3.6 5.7 -9.3 1.4 -8.2 4.1 9.4 17.9 9.7 13.1 -1.5 2.2 -6.7 1.2 -7.0 -20.0 -0.5 -1.9 1.0 -2.7 0.8 -2.8 20.0 4.8 -0.5 2.5 20.0 -15.6 1.5 -12.1 9.7 SOYMEAL -10.5 -1.5 -0.8 -2.8 -4.7 -1.8 -5.0 -2.3 -4.7 -8.2 -6.2 -10.3 2.1 -8.4 -4.8 11.2 18.0 12.0 15.7 -4.6 -2.5 -8.0 1.3 -7.2 -20.0 -1.1 -5.1 1.1 -4.1 3.6 -3.4 20.0 4.9 0.6 1.7 11.3 -20.0 -20.0 -20.0 -18.7 SOYOIL -20.0 -9.6 18.2 -2.6 -4.5 -1.8 -4.8 -2.2 -4.5 -11.7 7.6 -12.5 0.3 -11.6 4.8 14.7 11.8 14.1 12.2 -3.4 4.9 -20.0 4.0 -15.9 -20.0 -1.3 -7.9 1.2 -7.1 1.0 -5.1 15.6 -20.0 -13.9 -2.8 20.0 -0.6 6.3 20.0 20.0 SP400 -20.0 -20.0 2.1 -3.8 -2.9 -1.1 -5.5 1.0 -5.4 -5.7 -1.6 -12.3 4.6 -14.9 -8.2 -4.6 -5.0 -5.4 -5.4 -14.8 -4.1 -16.6 1.3 -20.0 -11.9 -3.2 -1.9 -0.1 -5.1 1.4 -5.5 1.3 -0.8 -2.4 -3.5 15.9 -5.1 -12.8 -18.2 -20.0 SP500_micro -20.0 -20.0 -0.0 -3.7 -2.8 -1.1 -5.3 0.9 -5.2 -12.5 7.9 -14.1 9.4 -13.5 -6.3 -11.3 -9.6 -11.9 -11.2 -9.2 4.1 -20.0 9.3 -20.0 -17.3 -2.5 -5.1 2.0 -7.2 3.9 -6.1 -7.6 -16.2 -10.5 -4.0 19.7 -6.7 -13.0 -12.8 -18.9 SUGAR11 6.3 12.6 4.3 -4.1 -6.9 -2.7 -7.4 -3.4 -6.9 -8.0 17.6 -0.6 17.5 13.7 15.8 13.9 11.1 5.0 6.1 20.0 20.0 1.6 20.0 15.9 -20.0 5.7 -1.6 7.7 -0.5 11.2 3.5 10.9 13.2 20.0 20.0 4.2 -20.0 -20.0 8.9 -0.2 US10 -11.2 -13.8 -20.0 -3.1 -4.1 -2.5 -4.2 -2.5 -3.7 -6.4 -9.6 -8.5 -9.4 -9.5 -9.9 -8.8 -7.4 -9.2 -8.9 -14.8 -14.5 -12.5 -14.4 -14.0 1.2 -3.6 -2.5 -3.3 -3.7 -3.0 -3.7 -10.2 0.4 3.7 0.2 -4.2 -20.0 -20.0 8.2 -0.3 US10U -12.3 -14.8 -18.4 -3.9 -5.3 -3.2 -5.4 -3.1 -4.7 -9.6 -12.1 -11.6 -11.8 -12.4 -12.7 2.0 -0.9 -0.4 -1.2 -19.3 -18.0 -18.2 -17.3 -19.2 -3.4 -4.6 -3.8 -4.1 -5.1 -3.4 -4.8 2.1 -2.4 2.9 -1.6 -5.3 -20.0 -20.0 18.8 18.1 US2 -5.3 -1.6 -20.0 -3.0 -4.1 -2.5 -4.1 -2.4 -3.6 0.4 -10.0 -5.9 -9.8 -8.2 -9.7 -20.0 -20.0 -20.0 -20.0 -14.1 -18.5 -5.6 -20.0 -9.8 9.8 -3.6 0.3 -4.5 -1.7 -5.6 -2.7 -20.0 10.3 9.5 4.7 -6.8 -20.0 -20.0 -20.0 -20.0 US20 -11.7 -14.6 -17.2 -2.7 -3.6 -2.2 -3.7 -2.1 -3.2 -7.7 -8.1 -8.4 -7.4 -8.6 -8.5 -3.1 -2.0 -3.1 -2.7 -14.0 -12.3 -15.9 -11.1 -15.0 -2.9 -3.0 -3.3 -2.6 -3.9 -2.1 -3.5 0.0 -8.1 -1.2 -4.1 -4.8 -18.4 -20.0 20.0 20.0 US30 -11.5 -12.3 -13.6 -3.1 -4.1 -2.5 -4.2 -2.4 -3.7 -8.8 -9.4 -9.7 -8.9 -9.8 -9.6 -7.3 -4.1 -7.1 -5.7 -14.8 -13.3 -16.6 -13.1 -15.9 -2.6 -3.5 -3.6 -3.0 -4.4 -2.5 -3.9 -4.1 -6.1 0.6 -2.8 -3.7 -14.8 -20.0 20.0 20.0 US5 -9.0 -11.7 -20.0 -3.4 -4.5 -2.7 -4.6 -2.7 -4.0 -4.0 -10.5 -8.0 -10.3 -9.9 -10.7 -14.8 -10.6 -14.6 -13.2 -14.8 -15.7 -9.5 -16.7 -12.7 4.4 -3.9 -1.2 -3.9 -3.1 -4.0 -3.6 -16.6 6.7 7.4 2.3 -3.8 -20.0 -20.0 -3.3 -18.1 VIX 9.2 9.3 -2.4 -4.8 3.3 -10.0 5.2 -12.9 1.0 6.9 -20.0 10.1 -20.0 -4.2 -15.3 -17.3 -20.0 -20.0 -20.0 -14.0 -20.0 10.3 -20.0 0.7 NaN -5.4 3.7 -11.5 5.8 -15.6 1.1 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -6.1 -20.0 -12.7 -2.5 -4.2 -1.7 -4.6 -2.1 -4.2 -7.6 -11.9 -8.0 -12.7 -11.7 -12.6 -11.0 -9.8 -11.3 -10.9 -15.5 -15.5 -7.7 -15.4 -11.8 -4.3 -3.9 -4.1 -3.5 -2.7 -3.2 -3.4 -20.0 3.2 3.9 -12.6 -7.0 -20.0 -13.7 -20.0 -9.6 End of report for caleb_strategy_v3