******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231002_204342 produced at 2023-10-02 21:39:14.970442 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.68 0.0 0.00 0.00 0.00 0.00 -20.63 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 -4.65 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.23 0.0 0.11 -0.11 -0.11 -0.11 -37.09 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.22 0.0 0.00 0.00 0.00 0.00 -5.97 24.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.37 -0.19 0.0 0.61 -0.61 -0.37 -0.37 -4.14 13.0 -8 -8 caleb_strategy_v3 GOLD_micro False False 0.01 -0.11 -0.18 0.0 0.35 -0.35 -0.11 -0.09 -29.09 56.0 -17 -15 caleb_strategy_v3 COPPER False False 0.03 -0.15 -0.16 0.0 0.19 -0.19 -0.15 -0.15 -5.05 6.0 -5 -5 caleb_strategy_v3 US5 False False 0.04 0.00 -0.13 0.0 0.89 -0.89 0.00 0.00 -3.70 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 -4.35 17.0 -5 -5 caleb_strategy_v3 CAD False False 0.02 0.00 -0.11 0.0 0.72 -0.72 0.00 0.00 -4.40 29.0 0 0 caleb_strategy_v3 EUR False False 0.04 -0.40 -0.10 0.0 0.63 -0.63 -0.40 -0.40 -2.25 14.0 -9 -9 caleb_strategy_v3 DOW False False 0.01 -0.04 -0.09 0.0 0.38 -0.38 -0.04 -0.04 -15.97 66.0 -7 -7 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.08 0.0 0.20 -0.20 -0.03 -0.03 -26.75 68.0 -9 -11 caleb_strategy_v3 US10 False False 0.04 0.00 -0.08 0.0 0.62 -0.62 0.00 0.00 -2.08 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 -11.32 48.0 -1 -1 caleb_strategy_v3 SP400 False False 0.08 -0.08 -0.08 0.0 0.17 -0.17 -0.08 -0.08 -1.00 2.0 -1 -1 caleb_strategy_v3 GBP False False 0.03 0.00 -0.07 0.0 0.57 -0.57 0.00 0.00 -2.77 22.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.06 -0.07 0.0 0.07 -0.07 -0.06 -0.06 -26.09 26.0 -22 -22 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.04 -0.05 0.0 0.23 -0.23 -0.04 -0.04 -4.80 23.0 -4 -4 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.06 -0.06 0.00 0.00 -4.33 5.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.05 0.0 0.41 -0.41 0.00 0.00 -2.38 19.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.11 -0.05 0.0 0.49 -0.49 -0.11 -0.11 -1.30 13.0 -3 -3 caleb_strategy_v3 BTP False False 0.04 0.00 -0.05 0.0 0.39 -0.39 0.00 0.00 -1.26 10.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.21 -0.05 0.0 0.79 -0.79 -0.21 -0.17 -1.18 19.0 -5 -4 caleb_strategy_v3 CORN False False 0.01 0.00 -0.03 0.0 0.11 -0.11 0.00 0.00 -3.12 12.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.03 0.0 0.18 -0.18 0.00 0.00 -9.73 51.0 0 0 caleb_strategy_v3 US20 False False 0.04 -0.15 -0.03 0.0 0.34 -0.34 -0.15 -0.15 -0.73 9.0 -4 -4 caleb_strategy_v3 BITCOIN False False 0.00 -0.04 -0.03 0.0 0.06 -0.06 -0.04 -0.04 -32.15 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 -1.84 0.0 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 -7.17 3.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -2.09 8.0 -3 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.01 2.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.12 -0.02 0.0 0.24 -0.24 -0.12 -0.12 -0.52 6.0 -3 -3 caleb_strategy_v3 OAT False False 0.04 0.00 -0.02 0.0 0.44 -0.44 0.00 0.00 -0.39 10.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -2.12 9.0 -2 -2 caleb_strategy_v3 BUND False False 0.05 0.00 -0.02 0.0 0.46 -0.46 0.00 0.00 -0.34 10.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 -0.04 -0.02 0.0 0.11 -0.11 -0.04 -0.04 -1.11 6.0 -2 -2 caleb_strategy_v3 SMI False False 0.04 0.00 -0.01 0.0 0.36 -0.36 0.00 0.00 -0.14 9.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.04 -0.04 0.00 0.00 -1.24 4.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.11 -0.11 0.00 0.00 -0.82 9.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 -0.04 -0.01 0.0 0.08 -0.08 -0.04 -0.04 -0.34 2.0 -1 -1 caleb_strategy_v3 PLAT False False 0.02 -0.06 -0.01 0.0 0.15 -0.15 -0.06 -0.06 -0.47 10.0 -4 -4 caleb_strategy_v3 NZD False False 0.02 0.00 -0.01 0.0 0.42 -0.42 0.00 0.00 -0.50 21.0 0 0 caleb_strategy_v3 BUXL False False 0.04 -0.17 -0.01 0.0 0.17 -0.17 -0.17 -0.17 -0.25 4.0 -4 -4 caleb_strategy_v3 CAC False False 0.03 0.00 -0.00 0.0 0.30 -0.30 0.00 0.00 -0.09 12.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.15 11.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 -0.00 0.0 0.32 -0.32 0.00 0.00 -0.04 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 -0.14 10.0 0 0 caleb_strategy_v3 COCOA False False 0.01 -0.01 -0.00 0.0 0.31 -0.31 -0.01 -0.01 -0.33 26.0 -1 -1 caleb_strategy_v3 SOYBEAN False False 0.02 0.00 -0.00 0.0 0.15 -0.15 0.00 0.00 -0.11 7.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.19 -0.19 0.03 0.03 0.92 23.0 4 4 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.01 0.0 0.17 -0.17 0.00 0.00 1.38 18.0 0 0 caleb_strategy_v3 EUROSTX False False 0.01 0.00 0.01 0.0 0.30 -0.30 0.00 0.00 0.78 20.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.00 0.02 0.0 0.44 -0.44 0.00 0.00 0.60 17.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.02 0.0 0.13 -0.13 0.13 0.13 0.62 4.0 4 4 caleb_strategy_v3 LEANHOG False False 0.01 0.04 0.04 0.0 0.12 -0.12 0.04 0.04 4.03 13.0 4 4 caleb_strategy_v3 FEEDCOW False False 0.04 0.35 0.04 0.0 0.35 -0.35 0.35 0.35 0.82 8.0 8 8 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.04 0.0 0.13 -0.13 0.00 0.00 0.90 3.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.26 0.05 0.0 0.87 -0.87 0.26 0.35 0.57 10.0 3 4 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.05 -0.05 0.00 0.00 2.90 3.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.08 0.0 0.12 -0.12 0.03 0.03 2.56 4.0 1 1 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.49 0.08 0.0 0.53 -0.53 0.49 0.49 2.51 16.0 15 15 caleb_strategy_v3 MXP False False 0.01 0.27 0.10 0.0 0.57 -0.57 0.27 0.27 10.98 60.0 29 28 caleb_strategy_v3 DX False False 0.04 0.00 0.14 0.0 36186643.19 -36186643.19 0.00 0.00 3.98 999999999.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.22 0.18 0.0 0.26 -0.26 0.22 0.22 24.90 36.0 31 30 caleb_strategy_v3 CRUDE_W False True 0.03 0.12 0.19 0.0 0.12 0.00 0.12 0.12 6.58 5.0 4 4 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 16.1 Shocked risk 41.5 Sum abs risk 57.2 Leverage 5.79 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2946252.83, 'annual_cash_vol_target': 736563.2075, 'daily_cash_vol_target': 46035.20046875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6380 0.6710 10.7360 BITCOIN 699.3688 27875.0000 2.5089 40.1431 BOBL 0.3059 115.4300 0.2650 4.2399 BTP 0.7043 109.3500 0.6441 10.3057 BUND 0.6374 127.7500 0.4989 7.9830 BUXL 1.4408 119.8400 1.2023 19.2369 CAC 56.9003 7044.0000 0.8078 12.9246 CAD 0.0029 0.7319 0.4029 6.4470 CANOLA 7.7983 716.0000 1.0891 17.4264 CHF 0.0046 1.0997 0.4195 6.7121 COCOA 46.6849 3509.0000 1.3304 21.2869 COFFEE 2.5768 150.0500 1.7173 27.4767 COPPER 0.0405 3.6425 1.1129 17.8065 CORN 6.4076 516.2500 1.2412 19.8590 COTTON2 1.1351 87.7700 1.2932 20.6916 CRUDE_W 1.1090 86.9800 1.2750 20.4006 DAX 115.7240 15300.0000 0.7564 12.1019 DOW 195.0736 33516.0000 0.5820 9.3125 DX 0.3755 106.6150 0.3522 5.6346 EUR 0.0051 1.0528 0.4816 7.7064 EURIBOR-ICE 0.0579 96.8850 0.0598 0.9569 EUROSTX 37.8596 4138.0000 0.9149 14.6388 FEEDCOW 1.8168 259.4750 0.7002 11.2031 GASOIL 13.6196 903.5000 1.5074 24.1189 GASOLINE 0.0356 2.3161 1.5356 24.5699 GAS_US_mini 0.0789 3.2350 2.4381 39.0089 GBP 0.0062 1.2110 0.5132 8.2106 GOLD_micro 10.7962 1846.3000 0.5847 9.3560 HEATOIL 0.0407 3.0268 1.3449 21.5184 JGB-SGX-mini 0.2047 144.6800 0.1415 2.2640 JPY 0.0000 0.0068 0.5356 8.5694 LEANHOG 1.5223 69.7500 2.1825 34.9198 LIVECOW 1.2723 188.5000 0.6750 10.7996 LUMBER-new 8.4622 509.0000 1.6625 26.6004 MILK 0.2191 17.5000 1.2521 20.0329 MXP 0.0005 0.0558 0.8591 13.7459 NASDAQ_micro 132.2928 14899.2500 0.8879 14.2066 NIKKEI 268.1827 31860.0000 0.8418 13.4681 NZD 0.0037 0.5946 0.6254 10.0064 OAT 0.6578 122.3400 0.5377 8.6034 OATIES 7.7126 450.5000 1.7120 27.3923 OJ 4.5390 340.2500 1.3340 21.3443 PALLAD 21.1462 1210.5000 1.7469 27.9503 PLAT 14.0838 886.1000 1.5894 25.4306 REDWHEAT 11.6999 686.0000 1.7055 27.2883 RICE 0.1613 16.2250 0.9939 15.9016 ROBUSTA 28.8114 2380.0000 1.2106 19.3690 RUSSELL 16.8596 1765.1000 0.9552 15.2826 SHATZ 0.0847 104.9450 0.0808 1.2921 SILVER-mini 0.3507 21.5625 1.6264 26.0226 SMI 74.9414 10875.0000 0.6891 11.0259 SOFR 0.0637 95.9500 0.0664 1.0627 SOYBEAN 12.4543 1266.0000 0.9838 15.7401 SOYMEAL 4.9737 373.2000 1.3327 21.3234 SOYOIL 0.8505 56.7300 1.4992 23.9877 SP400 21.2262 2478.6000 0.8564 13.7021 SP500_micro 30.0838 4302.0000 0.6993 11.1888 SUGAR11 0.3259 25.1900 1.2937 20.6988 US10 0.3815 107.3438 0.3554 5.6868 US10U 0.5377 110.6094 0.4861 7.7778 US2 0.0958 101.2266 0.0946 1.5143 US20 0.8259 112.4375 0.7345 11.7524 US30 1.2229 117.0312 1.0449 16.7184 US5 0.2444 104.9141 0.2330 3.7279 VIX 0.4869 18.5000 2.6321 42.1132 WHEAT 10.7886 663.2500 1.6266 26.0260 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 638.00 0.67 428.10 1.00 428.10 46035.2 107.53 -8.54 -91.86 BITCOIN 27.88 2.51 69.94 1.00 69.94 46035.2 658.24 -4.51 -296.89 BOBL 1154.30 0.26 305.88 1.06 323.64 46035.2 142.24 -8.19 -116.43 BTP 1093.50 0.64 704.33 1.06 745.22 46035.2 61.77 -5.98 -36.97 BUND 1277.50 0.50 637.40 1.06 674.40 46035.2 68.26 -4.87 -33.23 BUXL 1198.40 1.20 1440.84 1.06 1524.48 46035.2 30.20 -8.06 -24.34 CAC 704.40 0.81 569.00 1.06 602.03 46035.2 76.47 -0.36 -2.78 CAD 731.90 0.40 294.91 1.00 294.91 46035.2 156.10 -10.87 -169.70 CANOLA 143.20 1.09 155.97 0.74 115.59 46035.2 398.26 -10.04 -399.77 CHF 1374.62 0.42 576.66 1.00 576.66 46035.2 79.83 -20.00 -159.66 COCOA 350.90 1.33 466.85 1.00 466.85 46035.2 98.61 -1.56 -15.35 COFFEE 562.69 1.72 966.30 1.00 966.30 46035.2 47.64 -20.00 -95.28 COPPER 910.62 1.11 1013.44 1.00 1013.44 46035.2 45.42 -10.26 -46.62 CORN 258.12 1.24 320.38 1.00 320.38 46035.2 143.69 -8.91 -128.07 COTTON2 438.85 1.29 567.53 1.00 567.53 46035.2 81.11 0.85 6.89 CRUDE_W 869.80 1.28 1109.03 1.00 1109.03 46035.2 41.51 14.64 60.79 DAX 153.00 0.76 115.72 1.06 122.44 46035.2 375.98 -0.03 -1.14 DOW 167.58 0.58 97.54 1.00 97.54 46035.2 471.98 -14.56 -687.15 DX 1066.15 0.35 375.46 1.00 375.46 46035.2 122.61 12.51 153.40 EUR 1315.94 0.48 633.82 1.00 633.82 46035.2 72.63 -11.93 -86.63 EURIBOR-ICE 2422.12 0.06 144.86 1.06 153.27 46035.2 300.35 0.55 16.57 EUROSTX 413.80 0.91 378.60 1.06 400.57 46035.2 114.92 1.99 22.91 FEEDCOW 1297.38 0.70 908.41 1.00 908.41 46035.2 50.68 4.91 24.88 GASOIL 903.50 1.51 1361.96 1.00 1361.96 46035.2 33.80 17.47 59.06 GASOLINE 972.76 1.54 1493.79 1.00 1493.79 46035.2 30.82 4.62 14.24 GAS_US_mini 80.88 2.44 197.18 1.00 197.18 46035.2 233.47 -10.32 -240.96 GBP 756.88 0.51 388.40 1.00 388.40 46035.2 118.52 -9.00 -106.65 GOLD_micro 184.63 0.58 107.96 1.00 107.96 46035.2 426.40 -20.00 -852.80 HEATOIL 1271.26 1.34 1709.71 1.00 1709.71 46035.2 26.93 7.68 20.68 JGB-SGX-mini 144680.00 0.14 20472.08 0.01 137.24 46035.2 335.43 0.69 23.21 JPY 845.12 0.54 452.64 1.00 452.64 46035.2 101.70 -16.48 -167.64 LEANHOG 279.00 2.18 608.91 1.00 608.91 46035.2 75.60 8.76 66.25 LIVECOW 754.00 0.67 508.93 1.00 508.93 46035.2 90.45 2.01 18.16 LUMBER-new 139.98 1.66 232.71 1.00 232.71 46035.2 197.82 -17.06 -337.48 MILK 350.00 1.25 438.22 1.00 438.22 46035.2 105.05 -19.24 -202.09 MXP 279.25 0.86 239.91 1.00 239.91 46035.2 191.89 3.90 74.79 NASDAQ_micro 297.98 0.89 264.59 1.00 264.59 46035.2 173.99 -11.88 -206.62 NIKKEI 31860.00 0.84 26818.27 0.01 179.55 46035.2 256.40 8.97 229.91 NZD 594.55 0.63 371.83 1.00 371.83 46035.2 123.81 -1.55 -19.24 OAT 1223.40 0.54 657.84 1.06 696.03 46035.2 66.14 -1.73 -11.41 OATIES 225.25 1.71 385.63 1.00 385.63 46035.2 119.38 -6.94 -82.80 OJ 510.38 1.33 680.85 1.00 680.85 46035.2 67.61 20.00 135.23 PALLAD 1210.50 1.75 2114.62 1.00 2114.62 46035.2 21.77 -4.56 -9.92 PLAT 443.05 1.59 704.19 1.00 704.19 46035.2 65.37 -2.11 -13.77 REDWHEAT 343.00 1.71 584.99 1.00 584.99 46035.2 78.69 -20.00 -157.39 RICE 324.50 0.99 322.50 1.00 322.50 46035.2 142.74 -3.56 -50.77 ROBUSTA 238.00 1.21 288.11 1.00 288.11 46035.2 159.78 4.93 78.70 RUSSELL 88.26 0.96 84.30 1.00 84.30 46035.2 546.10 -14.78 -807.29 SHATZ 1049.45 0.08 84.75 1.06 89.67 46035.2 513.39 -11.46 -588.22 SILVER-mini 539.06 1.63 876.74 1.00 876.74 46035.2 52.51 -10.28 -53.99 SMI 1087.50 0.69 749.41 1.10 820.65 46035.2 56.10 -0.71 -3.99 SOFR 2398.75 0.07 159.32 1.00 159.32 46035.2 288.94 -11.75 -339.40 SOYBEAN 633.00 0.98 622.72 1.00 622.72 46035.2 73.93 -1.67 -12.33 SOYMEAL 373.20 1.33 497.37 1.00 497.37 46035.2 92.56 -9.58 -88.67 SOYOIL 340.38 1.50 510.31 1.00 510.31 46035.2 90.21 -1.61 -14.54 SP400 2478.60 0.86 2122.62 1.00 2122.62 46035.2 21.69 -13.97 -30.30 SP500_micro 215.10 0.70 150.42 1.00 150.42 46035.2 306.05 -15.91 -486.86 SUGAR11 282.13 1.29 364.98 1.00 364.98 46035.2 126.13 5.15 64.99 US10 1073.44 0.36 381.52 1.00 381.52 46035.2 120.66 -13.58 -163.81 US10U 1106.09 0.49 537.69 1.00 537.69 46035.2 85.62 -11.95 -102.28 US2 2024.53 0.09 191.61 1.00 191.61 46035.2 240.25 -15.28 -367.06 US20 1124.38 0.73 825.88 1.00 825.88 46035.2 55.74 -10.35 -57.70 US30 1170.31 1.04 1222.86 1.00 1222.86 46035.2 37.65 -10.85 -40.86 US5 1049.14 0.23 244.44 1.00 244.44 46035.2 188.33 -15.52 -292.27 VIX 185.00 2.63 486.93 1.00 486.93 46035.2 94.54 -15.89 -150.23 WHEAT 331.62 1.63 539.43 1.00 539.43 46035.2 85.34 -18.74 -159.92 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -91.855 0.010 2.5 -2.383 BITCOIN -296.892 0.043 2.5 -32.152 BOBL -116.427 0.004 2.5 -1.181 BTP -36.967 0.014 2.5 -1.261 BUND -33.230 0.004 2.5 -0.337 BUXL -24.340 0.004 2.5 -0.247 CAC -2.783 0.014 2.5 -0.095 CAD -169.703 0.010 2.5 -4.403 CANOLA -399.770 0.010 2.5 -9.726 CHF -159.661 0.010 2.5 -4.143 COCOA -15.352 0.009 2.5 -0.329 COFFEE -95.281 0.005 2.5 -1.113 COPPER -46.624 0.043 2.5 -5.049 CORN -128.073 0.010 2.5 -3.116 COTTON2 6.887 0.009 2.5 0.148 CRUDE_W 60.787 0.043 2.5 6.583 DAX -1.138 0.014 2.5 -0.039 DOW -687.146 0.009 2.5 -15.970 DX 153.402 0.010 2.5 3.980 EUR -86.633 0.010 2.5 -2.248 EURIBOR-ICE 16.570 0.014 2.5 0.565 EUROSTX 22.909 0.014 2.5 0.781 FEEDCOW 24.877 0.013 2.5 0.824 GASOIL 59.057 0.017 2.5 2.560 GASOLINE 14.237 0.017 2.5 0.617 GAS_US_mini -240.956 0.043 2.5 -26.094 GBP -106.652 0.010 2.5 -2.767 GOLD_micro -852.804 0.014 2.5 -29.090 HEATOIL 20.682 0.017 2.5 0.897 JGB-SGX-mini 23.207 0.043 2.5 2.513 JPY -167.643 0.010 2.5 -4.350 LEANHOG 66.251 0.024 2.5 4.027 LIVECOW 18.156 0.013 2.5 0.602 LUMBER-new -337.484 0.008 2.5 -7.169 MILK -202.088 0.009 2.5 -4.328 MXP 74.793 0.059 2.5 10.978 NASDAQ_micro -206.623 0.009 2.5 -4.802 NIKKEI 229.906 0.043 2.5 24.897 NZD -19.244 0.010 2.5 -0.499 OAT -11.411 0.014 2.5 -0.389 OATIES -82.805 0.010 2.5 -2.015 OJ 135.229 0.009 2.5 2.896 PALLAD -9.917 0.014 2.5 -0.338 PLAT -13.771 0.014 2.5 -0.470 REDWHEAT -157.387 0.005 2.5 -2.088 RICE -50.775 0.010 2.5 -1.235 ROBUSTA 78.701 0.005 2.5 0.919 RUSSELL -807.293 0.013 2.5 -26.753 SHATZ -588.216 0.004 2.5 -5.965 SILVER-mini -53.992 0.014 2.5 -1.842 SMI -3.991 0.014 2.5 -0.136 SOFR -339.401 0.024 2.5 -20.628 SOYBEAN -12.334 0.004 2.5 -0.115 SOYMEAL -88.672 0.004 2.5 -0.825 SOYOIL -14.536 0.004 2.5 -0.135 SP400 -30.297 0.013 2.5 -1.004 SP500_micro -486.859 0.009 2.5 -11.315 SUGAR11 64.995 0.009 2.5 1.382 US10 -163.806 0.005 2.5 -2.076 US10U -102.279 0.005 2.5 -1.296 US2 -367.062 0.005 2.5 -4.652 US20 -57.703 0.005 2.5 -0.731 US30 -40.862 0.005 2.5 -0.518 US5 -292.267 0.005 2.5 -3.704 VIX -150.230 0.099 2.5 -37.085 WHEAT -159.917 0.005 2.5 -2.121 ===================== Position diags ===================== AUD 2.79 BITCOIN 71.28 BOBL 1.44 BTP 2.11 BUND 0.69 BUXL 0.31 CAC 2.61 CAD 4.05 CANOLA 9.69 CHF 2.07 COCOA 2.11 COFFEE 0.56 COPPER 4.92 CORN 3.50 COTTON2 1.74 CRUDE_W 4.50 DAX 12.82 DOW 10.97 DX 3.18 EUR 1.88 EURIBOR-ICE 10.25 EUROSTX 3.92 FEEDCOW 1.68 GASOIL 1.47 GASOLINE 1.34 GAS_US_mini 25.28 GBP 3.08 GOLD_micro 14.54 HEATOIL 1.17 JGB-SGX-mini 36.33 JPY 2.64 LEANHOG 4.59 LIVECOW 3.00 LUMBER-new 4.20 MILK 2.25 MXP 28.17 NASDAQ_micro 4.04 NIKKEI 27.77 NZD 3.21 OAT 2.26 OATIES 2.90 OJ 1.45 PALLAD 0.74 PLAT 2.23 REDWHEAT 1.04 RICE 3.47 ROBUSTA 1.87 RUSSELL 18.10 SHATZ 5.21 SILVER-mini 1.79 SMI 1.91 SOFR 17.56 SOYBEAN 0.69 SOYMEAL 0.86 SOYOIL 0.84 SP400 0.72 SP500_micro 7.11 SUGAR11 2.68 US10 1.53 US10U 1.08 US2 3.04 US20 0.71 US30 0.48 US5 2.39 VIX 23.34 WHEAT 1.13 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.4 -2.7 -2.1 NaN 0 BITCOIN -32.2 -39.3 -25.0 -43.0 -43 BOBL -1.2 -1.3 -1.0 -5.0 -5 BTP -1.3 -1.5 -1.1 0.0 0 BUND -0.3 -0.4 -0.3 0.0 0 BUXL -0.2 -0.3 -0.2 -4.0 -4 CAC -0.1 -0.4 0.2 0.0 0 CAD -4.4 -4.8 -4.0 0.0 0 CANOLA -9.7 -10.7 -8.8 NaN 0 CHF -4.1 -4.3 -3.9 -8.0 -8 COCOA -0.3 -0.5 -0.1 -1.0 -1 COFFEE -1.1 -1.2 -1.1 -2.0 -2 COPPER -5.0 -5.5 -4.6 -5.0 -5 CORN -3.1 -3.5 -2.8 0.0 0 COTTON2 0.1 -0.0 0.3 0.0 0 CRUDE_W 6.6 6.1 7.0 4.0 4 DAX -0.0 -1.3 1.2 0.0 0 DOW -16.0 -17.1 -14.9 -7.0 -7 DX 4.0 3.7 4.3 NaN 0 EUR -2.2 -2.4 -2.1 -9.0 -9 EURIBOR-ICE 0.6 -0.5 1.6 3.0 3 EUROSTX 0.8 0.4 1.2 0.0 0 FEEDCOW 0.8 0.7 1.0 8.0 8 GASOIL 2.6 2.4 2.7 1.0 1 GASOLINE 0.6 0.5 0.8 4.0 4 GAS_US_mini -26.1 -28.6 -23.6 -22.0 -22 GBP -2.8 -3.1 -2.5 0.0 0 GOLD_micro -29.1 -30.5 -27.6 -17.0 -17 HEATOIL 0.9 0.8 1.0 0.0 0 JGB-SGX-mini 2.5 -1.1 6.1 15.0 15 JPY -4.3 -4.6 -4.1 -5.0 -5 LEANHOG 4.0 3.6 4.5 4.0 4 LIVECOW 0.6 0.3 0.9 0.0 0 LUMBER-new -7.2 -7.6 -6.7 NaN 0 MILK -4.3 -4.6 -4.1 NaN 0 MXP 11.0 8.2 13.8 29.0 29 NASDAQ_micro -4.8 -5.2 -4.4 -4.0 -4 NIKKEI 24.9 22.1 27.7 31.0 31 NZD -0.5 -0.8 -0.2 0.0 0 OAT -0.4 -0.6 -0.2 0.0 0 OATIES -2.0 -2.3 -1.7 NaN 0 OJ 2.9 2.8 3.0 NaN 0 PALLAD -0.3 -0.4 -0.3 -1.0 -1 PLAT -0.5 -0.7 -0.2 -4.0 -4 REDWHEAT -2.1 -2.2 -2.0 -3.0 -3 RICE -1.2 -1.6 -0.9 NaN 0 ROBUSTA 0.9 0.7 1.1 4.0 4 RUSSELL -26.8 -28.6 -24.9 -9.0 -9 SHATZ -6.0 -6.5 -5.4 NaN 0 SILVER-mini -1.8 -2.0 -1.7 NaN 0 SMI -0.1 -0.3 0.1 0.0 0 SOFR -20.6 -22.4 -18.9 NaN 0 SOYBEAN -0.1 -0.2 -0.0 0.0 0 SOYMEAL -0.8 -0.9 -0.7 0.0 0 SOYOIL -0.1 -0.2 -0.1 0.0 0 SP400 -1.0 -1.1 -0.9 -1.0 -1 SP500_micro -11.3 -12.0 -10.6 -1.0 -1 SUGAR11 1.4 1.1 1.7 0.0 0 US10 -2.1 -2.2 -1.9 NaN 0 US10U -1.3 -1.4 -1.2 -3.0 -3 US2 -4.7 -5.0 -4.3 NaN 0 US20 -0.7 -0.8 -0.7 -4.0 -4 US30 -0.5 -0.6 -0.5 -3.0 -3 US5 -3.7 -3.9 -3.5 0.0 0 VIX -37.1 -39.4 -34.8 -17.0 -17 WHEAT -2.1 -2.2 -2.0 -2.0 -2 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 3.1 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 -0.1 0.0 -0.1 0.1 -0.1 -0.1 -0.4 -0.1 -0.4 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 0.5 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.1 0.2 -0.0 -0.5 -0.3 -0.7 -0.2 0.1 BITCOIN 0.2 -0.5 -0.2 -0.0 -0.2 -0.1 -0.1 0.0 -0.1 0.2 0.1 0.2 0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 -0.0 -2.7 -0.1 0.1 -0.1 0.0 -0.0 -0.0 -0.1 0.5 0.6 -0.2 -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 -0.1 -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 -0.6 0.2 0.1 0.1 0.1 -0.7 -0.7 -0.6 -0.5 BTP -0.6 -0.4 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.8 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.9 0.0 -0.1 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 -0.0 -0.1 -0.0 0.7 0.1 0.0 0.1 0.1 -0.7 -0.7 -0.6 -0.1 BUXL -0.5 -0.2 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.3 -0.2 0.2 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 0.3 -0.1 -0.1 -0.0 0.1 -0.7 -0.7 -0.3 0.6 CAC -0.2 -0.4 -0.5 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 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 0.2 -0.1 0.3 0.1 0.2 0.4 0.2 0.6 0.0 0.7 0.2 CAD 0.4 -0.3 -0.1 -0.1 -0.1 0.0 -0.1 0.1 -0.1 -0.2 -0.1 -0.0 -0.4 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.2 -0.0 -0.2 -0.1 -0.1 -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 -0.1 0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.2 0.4 -0.2 -0.2 -0.4 -0.3 -0.3 -0.3 -0.2 -0.1 -0.2 0.1 -0.2 -1.4 -0.1 -0.0 -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 -0.4 0.2 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.4 -0.1 0.6 -0.0 0.1 -0.0 -0.0 -0.1 -0.1 0.1 0.2 -0.1 0.5 -0.1 -1.7 0.0 -0.0 0.2 -0.1 0.4 -0.0 -0.4 -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 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.4 -0.2 -0.5 -0.2 -0.2 -0.1 0.0 -0.0 0.0 -0.1 -0.2 -0.1 -0.5 -0.1 -2.7 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.5 0.4 -0.3 -0.6 -0.7 -0.7 -0.7 -0.3 COPPER -0.2 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -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 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.2 -0.1 0.2 0.2 -0.7 0.4 -0.7 CORN 0.1 -0.3 -0.6 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.4 0.0 -0.4 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.2 0.0 -0.3 -0.0 -1.7 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.2 0.5 0.5 -0.0 -0.1 -0.2 0.1 0.1 0.3 COTTON2 -0.0 0.1 0.4 -0.0 -0.0 -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 0.2 0.6 0.6 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.2 0.5 0.1 0.2 0.2 0.2 0.4 0.2 0.4 0.3 0.2 0.2 0.1 0.5 0.2 -1.0 0.1 -0.0 0.2 0.0 0.2 0.1 -1.1 0.1 0.5 0.2 0.0 0.7 0.4 0.7 0.3 DAX -0.3 -0.5 -0.5 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 0.5 -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 0.0 -0.1 -0.2 -0.1 -0.1 0.0 -0.3 0.7 0.0 0.7 0.3 DOW -0.6 -0.6 0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 0.1 -0.2 0.4 -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 -0.1 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 0.4 0.0 0.3 0.2 0.7 EUR -0.4 -0.6 -0.3 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 -0.3 -0.2 0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 1.8 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.4 -0.3 -0.6 -0.6 -0.5 -0.3 -0.6 -0.1 -0.1 EURIBOR-ICE -0.3 0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -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 -0.1 -0.0 -0.1 -0.0 -0.6 0.3 0.3 0.3 0.1 -0.7 -0.7 0.5 0.4 EUROSTX -0.2 -0.4 -0.5 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 0.0 -0.2 0.5 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.2 0.2 -0.2 0.7 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.3 0.2 0.2 0.2 -0.0 0.6 0.1 0.7 0.4 FEEDCOW -0.3 -0.2 0.4 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 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 -0.0 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 0.1 0.5 0.6 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.5 0.1 0.3 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 0.0 0.0 0.3 0.5 0.3 0.6 -0.6 0.1 -0.7 -0.1 GASOLINE -0.5 -0.0 0.6 0.1 -0.0 0.2 -0.0 0.1 0.0 -0.2 0.5 -0.2 0.3 -0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 -0.2 0.5 -0.1 -2.7 0.1 -0.1 0.2 -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 0.4 0.1 -0.0 0.2 -0.0 0.1 0.0 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.1 -0.5 -0.1 2.7 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -1.1 0.3 -0.6 -0.6 -0.6 -0.0 0.2 -0.3 0.0 GBP -0.6 -0.6 -0.2 -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 -0.1 -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 -0.3 -0.3 -0.6 -0.1 -0.2 -0.1 -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 -0.5 -0.4 -0.5 -0.7 -0.3 -0.7 HEATOIL -0.1 0.5 0.6 0.1 -0.0 0.2 -0.0 0.1 0.0 -0.1 0.5 0.0 0.2 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 -0.0 0.2 -0.0 0.2 0.0 0.1 0.3 -0.3 -0.1 0.6 0.1 -0.1 -0.0 -0.2 JGB-SGX-mini -0.4 -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 -0.1 -0.1 -0.1 -0.0 -0.0 1.1 0.2 0.2 0.2 0.1 -0.3 -0.4 0.3 0.3 JPY -0.1 -0.5 -0.5 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -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 -0.3 -0.5 -0.6 -0.2 -0.7 -0.1 -0.7 LEANHOG -0.1 0.1 0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 0.0 0.4 0.4 0.4 0.4 -0.0 -0.0 -0.1 -0.2 -0.0 1.4 -0.0 -0.1 -0.1 -0.1 -0.3 -0.0 1.1 -0.1 0.2 -0.0 -0.0 -0.3 -0.0 0.5 0.7 LIVECOW 0.1 -0.3 0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.5 0.1 0.7 0.1 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 0.0 -0.5 -0.1 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.7 LUMBER-new -0.0 -0.3 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -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 -0.0 -0.2 -0.0 -0.2 -0.1 -1.2 0.5 0.6 0.0 -0.6 -0.5 -0.8 -0.2 -0.8 MILK -0.6 0.2 0.4 -0.0 -0.0 -0.1 -0.0 -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 -0.5 -0.2 0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -1.1 -0.4 -0.4 0.1 -0.6 -0.7 -0.7 -0.5 -0.7 MXP -0.2 -0.6 -0.6 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.1 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 -0.1 0.1 -0.1 0.3 -0.0 1.1 -0.2 -0.1 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 -0.1 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 -0.1 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 -0.2 0.6 0.6 0.6 0.0 0.1 -0.1 0.4 NZD 0.4 -0.3 -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 0.6 0.1 -0.4 0.0 -0.5 0.2 0.3 OAT -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 0.1 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 -0.2 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 -0.2 -0.6 0.2 0.6 0.2 0.5 0.7 0.7 OJ 0.4 0.6 0.6 -0.0 -0.0 -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 0.1 0.4 0.1 1.1 0.5 0.6 0.6 0.6 0.1 0.2 0.6 0.6 PALLAD 0.3 0.3 -0.1 -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 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 0.1 0.3 0.5 0.3 -0.3 -0.4 -0.2 0.1 -0.0 PLAT -0.1 0.1 -0.3 -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 -0.1 -0.1 1.8 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.1 -0.1 -0.0 0.3 -0.2 0.0 -0.6 0.3 -0.5 REDWHEAT -0.2 -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 -0.2 -0.3 -0.2 -2.1 -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 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.2 -0.1 0.1 -0.0 0.1 -0.3 0.3 -0.1 0.2 0.0 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 -0.0 -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 -0.0 0.5 -0.0 -2.5 0.0 0.0 0.2 -0.0 0.4 -0.0 1.1 -0.2 0.6 0.2 -0.0 -0.0 -0.4 0.7 -0.1 RUSSELL -0.6 -0.6 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.2 -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 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.3 -0.3 0.4 -0.4 -0.4 -0.7 -0.6 SHATZ -0.4 -0.0 -0.1 -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 0.4 0.1 0.1 0.0 -0.7 -0.7 -0.7 -0.7 SILVER-mini -0.3 -0.1 -0.2 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.1 -0.2 0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.0 -0.2 -0.0 -0.2 1.0 -0.0 -0.2 0.0 -0.1 0.0 -0.1 -0.2 -0.3 -0.4 0.1 0.2 -0.6 -0.7 -0.2 -0.7 SMI 0.1 -0.1 -0.4 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 0.0 -0.2 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 -0.1 0.6 0.3 0.6 0.6 -0.0 -0.2 -0.5 -0.4 -0.4 SOFR -0.3 -0.4 -0.6 -0.0 -0.1 -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 -0.0 -0.1 -0.0 0.1 0.1 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 -0.1 -0.0 -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 0.2 0.0 0.1 0.6 -0.5 0.0 -0.4 0.3 SOYMEAL -0.4 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 0.1 -0.1 -0.1 0.2 0.4 0.2 0.3 -0.1 -0.0 -0.1 0.0 -0.1 -2.7 -0.0 -0.1 0.0 -0.1 0.1 -0.0 1.1 -0.0 -0.0 0.0 0.4 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.6 -0.4 0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 0.0 -0.1 0.0 0.3 0.2 0.3 0.2 -0.0 0.0 -0.2 0.1 -0.2 -2.7 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.8 -0.5 -0.5 -0.1 0.6 -0.0 0.2 0.7 0.7 SP400 -0.6 -0.6 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 0.0 -0.2 -1.6 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.2 -0.2 0.5 -0.2 -0.4 -0.6 -0.7 SP500_micro -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 0.2 -0.2 0.3 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 0.0 -0.2 0.2 -0.2 -2.3 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.4 -0.3 -0.4 -0.1 0.6 -0.2 -0.4 -0.4 -0.6 SUGAR11 0.1 0.4 0.2 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.5 -0.1 0.6 0.1 0.2 0.3 0.2 0.1 0.1 0.2 0.2 -0.0 0.5 0.1 -2.7 0.1 -0.0 0.2 -0.0 0.4 0.0 0.6 -0.0 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 -0.1 0.1 0.0 -0.1 -0.7 -0.7 0.3 -0.0 US10U -0.4 -0.4 -0.6 -0.0 -0.1 -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 -0.4 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.2 0.1 -0.0 -0.2 -0.7 -0.7 0.6 0.6 US2 -0.1 -0.0 -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 -0.1 -0.2 -0.1 -0.5 -0.1 1.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.2 0.3 0.2 -0.2 -0.7 -0.7 -0.7 -0.7 US20 -0.4 -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 -0.2 -0.1 -0.1 -0.3 -0.2 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.3 -0.1 -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 -0.2 -0.3 -0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.2 0.0 -0.1 -0.1 -0.5 -0.7 0.7 0.7 US5 -0.3 -0.3 -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 -0.3 -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 0.2 0.1 -0.1 -0.7 -0.7 -0.1 -0.6 VIX 0.6 0.4 -0.1 -0.1 0.1 -0.4 0.1 -0.8 0.0 0.2 -0.9 0.2 -1.2 -0.0 -0.2 -0.5 -0.6 -0.6 -0.6 -0.2 -0.3 0.2 -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 -0.1 -0.6 -0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -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 0.2 0.2 -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 6.7 -7.8 -8.6 -3.3 -6.3 0.2 -5.5 1.9 -5.1 -6.3 -15.4 -5.0 -10.1 -12.3 -15.3 -3.7 -2.9 -3.4 -3.1 -11.8 -12.6 -5.7 -11.3 -7.5 3.5 -5.0 -4.2 -4.9 -3.0 -4.2 -3.6 -1.4 6.2 5.7 -1.1 -16.2 -9.2 -20.0 -5.8 3.7 BITCOIN 7.3 -15.7 -6.1 -4.6 -17.1 -1.9 -11.0 0.6 -6.8 17.0 2.9 15.3 4.4 -9.3 -14.8 -5.2 -4.4 -5.8 -5.4 -9.0 -4.8 8.5 -1.0 -1.6 -20.0 -4.8 9.1 -3.6 4.6 -0.9 -0.7 -1.1 20.0 20.0 -4.9 -2.3 -6.6 20.0 -5.2 20.0 BOBL -10.9 -0.4 1.2 -2.7 -4.0 -2.2 -3.9 -2.1 -3.3 0.3 -6.0 -5.4 -7.9 -6.9 -7.2 4.3 -7.3 -9.3 -10.9 -6.2 -5.7 -6.9 -8.4 -7.4 9.9 -2.7 -2.1 -2.1 -3.5 -2.7 -3.5 -11.9 8.6 2.8 4.4 2.9 -20.0 -20.0 -18.2 -16.4 BTP -18.0 -13.8 -3.3 -3.8 -5.6 -3.0 -5.4 -2.9 -4.6 -5.5 -1.7 -9.1 -0.3 -10.7 -9.4 5.6 7.5 5.5 6.1 -10.7 -4.8 -16.8 -3.7 -15.8 -6.3 -3.6 -4.0 -1.4 -5.9 -0.7 -5.4 16.0 1.3 -2.6 1.1 8.8 -12.1 -20.0 0.4 9.7 BUND -11.5 -3.2 1.1 -2.8 -4.1 -2.2 -4.0 -2.1 -3.4 -3.5 -7.1 -6.5 -8.4 -7.6 -7.8 -1.7 6.9 1.9 4.2 -7.2 -6.0 -10.0 -8.3 -9.2 6.2 -2.9 -3.6 -2.0 -4.4 -2.2 -3.9 13.8 2.5 1.0 3.2 3.2 -20.0 -20.0 -18.3 -1.8 BUXL -14.3 -7.3 0.1 -3.1 -4.5 -2.4 -4.4 -2.3 -3.7 -6.8 -9.4 -8.6 -9.8 -9.3 -9.2 0.3 0.9 0.6 1.0 -11.2 -9.2 -15.1 -11.4 -14.0 1.2 -3.3 -4.0 -2.3 -4.8 -2.2 -4.3 5.9 -2.8 -3.8 -1.1 2.2 -20.0 -20.0 -8.6 18.9 CAC -7.3 -11.5 -15.6 -5.3 -8.0 -1.7 -8.4 1.1 -7.5 -17.5 4.9 -18.4 17.9 -18.3 -13.9 -7.5 -2.0 -6.5 -4.6 -11.1 -1.0 -20.0 11.7 -17.9 -5.2 -5.2 -12.1 -0.6 -11.5 4.4 -8.9 4.7 2.3 6.6 13.0 6.4 18.9 1.1 20.0 6.8 CAD 12.0 -10.2 -3.6 -4.7 -9.0 0.3 -7.9 2.6 -7.2 -19.6 -5.0 -1.6 -12.1 -7.7 -13.8 -2.5 -2.1 -2.4 -2.3 -9.6 -7.9 -15.1 -7.5 -7.5 1.5 -4.5 -18.5 -3.4 -8.0 -2.6 -3.8 0.0 -7.3 19.3 -0.2 -13.6 -20.0 -20.0 -20.0 -19.0 CANOLA -20.0 -16.2 20.0 -2.3 -4.1 -1.5 -4.3 -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 -9.5 14.8 -9.0 2.7 10.7 15.5 CHF -20.0 -20.0 -5.8 -4.4 -8.3 0.3 -7.3 2.5 -6.7 -13.2 -5.2 -18.5 10.2 -20.0 -18.9 -17.6 -14.2 -16.3 -15.2 -20.0 -10.3 -20.0 3.7 -20.0 -10.4 -6.6 -5.2 -2.0 -8.9 0.6 -9.5 -20.0 -20.0 -20.0 -20.0 -14.0 -20.0 -20.0 -20.0 -20.0 COCOA -20.0 -11.0 5.7 -4.0 -4.5 -2.7 -6.4 -3.2 -6.4 -7.1 16.6 -13.2 17.9 -4.1 9.5 -2.3 -2.3 -3.6 -2.9 8.4 20.0 -16.4 20.0 -7.5 -12.8 3.0 -2.6 8.7 -6.1 10.7 -3.1 -8.4 -20.0 -2.6 9.5 20.0 0.5 -9.0 18.7 1.9 COFFEE 7.5 0.0 -14.9 -4.3 -4.7 -2.8 -6.9 -3.4 -6.8 -13.8 -16.6 -15.0 -14.2 -14.2 -18.3 -3.0 1.5 -1.8 0.0 -13.5 -16.9 -14.7 -16.7 -11.4 -20.0 -5.5 -5.3 -4.9 -7.2 -3.7 -5.7 -2.5 -19.2 10.9 -8.8 -20.0 -20.0 -20.0 -20.0 -10.4 COPPER -6.3 -4.0 -3.1 -3.6 -13.3 -1.5 -8.6 0.5 -5.3 -10.8 -11.4 -12.5 -3.4 -13.2 -12.1 -5.9 -3.0 -5.3 -4.2 -9.7 -7.9 -11.0 -6.4 -11.6 -6.1 -4.2 -5.8 -3.2 -6.1 -2.8 -6.0 1.1 0.8 -6.2 -3.5 4.9 5.9 -20.0 11.0 -20.0 CORN 2.8 -10.2 -19.4 -2.9 -3.3 -2.0 -4.7 -2.3 -4.7 8.3 -13.2 4.5 -12.4 -7.0 -13.8 -5.8 2.7 -6.4 -3.0 -10.4 -14.3 2.1 -12.9 -3.6 -12.7 -3.1 3.5 -4.4 1.4 -5.4 -1.3 -4.1 20.0 14.2 -0.9 -2.1 -5.3 2.5 1.5 8.6 COTTON2 -1.3 3.3 13.7 -3.7 -4.1 -2.5 -6.0 -3.0 -5.9 4.9 12.0 4.2 -8.5 4.0 12.2 -2.4 5.2 1.5 3.0 7.6 7.6 3.1 1.6 4.7 -20.0 5.8 0.3 5.5 2.4 3.6 4.1 2.5 20.0 20.0 20.0 10.2 -17.2 -16.1 9.3 10.8 CRUDE_W 4.8 17.5 20.0 7.4 -2.7 6.9 -0.0 4.2 3.9 -17.2 20.0 6.4 5.3 19.8 20.0 20.0 11.7 18.7 13.8 20.0 20.0 6.8 19.5 20.0 -7.4 9.0 -3.9 7.8 1.8 5.5 6.6 -20.0 5.6 15.5 6.0 0.8 20.0 11.0 20.0 8.1 DAX -10.6 -15.3 -16.3 -5.0 -7.6 -1.6 -7.9 1.0 -7.1 -15.8 -2.1 -17.4 15.0 -18.7 -18.0 -10.1 -7.6 -9.5 -8.8 -16.7 -5.6 -20.0 6.6 -20.0 18.6 -6.3 -8.9 -2.5 -10.0 1.2 -8.8 -3.9 -4.6 -4.3 0.9 -8.0 20.0 0.3 20.0 8.9 DOW -19.6 -20.0 1.6 -4.4 -6.6 -1.4 -6.9 0.9 -6.2 -16.3 4.1 -17.4 11.3 -16.8 -9.4 -11.8 -8.5 -11.5 -10.4 -13.7 -1.5 -20.0 4.2 -20.0 -10.5 -3.5 -10.1 0.6 -9.9 2.5 -7.6 -6.1 -19.3 -6.7 -3.9 17.2 -14.2 -7.2 -20.0 -7.9 DX 12.4 20.0 11.6 -4.4 -8.4 0.3 -7.4 2.5 -6.8 17.5 16.3 20.0 -7.5 20.0 20.0 7.6 5.6 7.0 6.3 20.0 19.1 20.0 8.8 20.0 -20.0 7.6 7.9 4.5 8.4 2.6 8.7 13.8 20.0 20.0 20.0 13.1 1.2 7.8 4.8 20.0 EUR -11.0 -20.0 -8.4 -3.6 -6.8 0.2 -5.9 2.0 -5.5 -13.1 -11.8 -15.3 6.7 -17.4 -17.3 -6.9 -6.9 -6.8 -6.7 -20.0 -10.6 -20.0 -3.5 -20.0 13.7 -5.9 -5.8 -2.9 -6.5 -0.9 -7.0 -7.8 -11.9 -18.3 -17.6 -13.9 -7.9 -19.0 -3.8 -2.7 EURIBOR-ICE -8.4 3.4 5.1 -2.5 -3.7 -2.0 -3.6 -1.9 -3.1 1.9 -4.2 -4.1 -6.9 -4.9 -2.4 -8.9 -8.1 -9.2 -9.1 -3.2 -3.8 -4.0 -7.5 -4.0 17.5 -1.9 -1.9 -1.9 -2.8 -3.8 -2.6 -11.0 11.3 7.8 7.8 4.5 -20.0 -20.0 16.3 13.4 EUROSTX -7.5 -13.7 -16.9 -4.7 -7.2 -1.5 -7.5 1.0 -6.8 -14.8 1.5 -15.8 15.2 -17.9 -17.3 -5.8 -1.7 -5.2 -4.0 -12.3 -2.8 -17.9 8.9 -16.7 5.4 -5.8 -8.2 -1.7 -8.7 2.8 -7.9 5.4 9.9 5.5 7.2 -1.1 16.5 3.2 20.0 13.1 FEEDCOW -8.7 -7.0 12.0 -4.7 -5.3 -3.2 -7.6 -3.8 -7.6 -13.7 20.0 -6.6 20.0 7.1 18.1 -9.2 -20.0 -12.3 -20.0 20.0 20.0 -13.1 20.0 7.7 -0.9 7.2 -5.0 9.7 -3.3 10.4 2.7 -20.0 -20.0 20.0 20.0 20.0 11.1 -7.5 20.0 2.5 GASOIL 3.2 16.9 20.0 5.7 -2.1 5.3 -0.0 3.3 3.0 -5.8 17.2 11.0 7.0 15.1 19.1 20.0 20.0 20.0 20.0 20.0 20.0 7.4 20.0 20.0 11.6 7.0 -0.8 6.5 1.4 3.9 4.3 0.0 12.4 15.0 10.3 20.0 -19.3 2.2 -20.0 -3.8 GASOLINE -14.8 -0.3 20.0 7.0 -2.6 6.5 -0.0 4.0 3.7 -20.0 20.0 -18.5 7.8 -8.1 17.2 20.0 20.0 20.0 20.0 17.0 20.0 -20.0 20.0 -6.0 -20.0 5.2 -12.8 9.1 -9.4 9.7 -2.4 20.0 -20.0 -20.0 -20.0 -6.0 20.0 11.5 20.0 4.9 GAS_US_mini -2.9 -4.4 10.8 7.2 -2.6 6.7 -0.0 4.1 3.8 -15.6 -20.0 -15.9 -20.0 -20.0 -18.9 -20.0 -20.0 -20.0 -20.0 -12.7 -20.0 -8.0 -20.0 -11.1 20.0 -2.5 -6.9 -2.7 -4.1 -5.0 -3.8 -20.0 11.0 -20.0 -20.0 -20.0 -0.9 5.9 -8.4 0.3 GBP -20.0 -20.0 -6.0 -4.4 -8.3 0.3 -7.3 2.4 -6.7 -17.1 -1.0 -20.0 11.4 -20.0 -19.5 -0.4 -0.7 -0.2 -0.4 -20.0 -8.0 -20.0 2.1 -20.0 -0.4 -6.8 -6.3 -2.3 -8.3 -0.2 -9.2 2.8 -19.5 -20.0 -20.0 -13.6 -2.4 12.7 3.2 20.0 GOLD_micro -10.7 -9.0 -17.1 -4.7 -17.3 -1.9 -11.2 0.6 -6.9 -20.0 -15.0 -20.0 3.7 -20.0 -19.8 -19.5 -14.4 -18.5 -16.7 -20.0 -16.5 -20.0 -4.0 -20.0 -10.5 -5.5 -20.0 -2.6 -18.4 0.2 -10.4 -19.4 -20.0 -20.0 -16.4 -13.1 -14.0 -20.0 -7.9 -20.0 HEATOIL -3.9 14.1 20.0 6.5 -2.4 6.0 -0.0 3.7 3.4 -14.3 18.0 1.0 6.3 11.5 19.9 20.0 20.0 20.0 20.0 20.0 20.0 1.8 20.0 19.0 -20.0 7.4 -2.0 8.3 -0.1 6.5 3.1 1.7 11.1 -8.2 -1.9 20.0 4.3 -2.1 -0.1 -5.6 JGB-SGX-mini -11.2 -14.1 -20.0 -3.6 -5.3 -2.8 -5.1 -2.7 -4.3 -10.1 0.3 -10.8 4.7 -11.0 -11.2 20.0 20.0 17.3 17.2 -10.8 -5.4 -13.7 0.8 -12.0 -0.7 -3.7 -6.2 -2.1 -5.1 -0.8 -4.3 20.0 7.4 6.4 5.9 3.3 -10.5 -10.8 10.4 9.6 JPY -4.1 -15.2 -15.6 -3.0 -5.8 0.2 -5.1 1.7 -4.7 -13.4 -16.3 -15.0 -15.1 -16.0 -16.4 -18.6 -14.7 -17.4 -16.3 -20.0 -20.0 -15.1 -20.0 -19.3 20.0 -6.0 -3.3 -6.1 -4.3 -6.0 -5.1 -20.0 -4.1 -8.1 -14.6 -20.0 -5.2 -20.0 -2.6 -20.0 LEANHOG -2.8 3.2 17.6 -2.2 -2.5 -1.5 -3.6 -1.8 -3.6 -8.9 -1.4 -8.0 -4.4 -5.0 1.2 20.0 20.0 20.0 20.0 -1.5 -2.8 -8.0 -6.2 -4.0 10.9 -2.0 -7.6 -4.3 -4.7 -7.3 -2.6 20.0 -3.4 6.4 -1.4 -0.6 -9.8 -0.7 13.7 20.0 LIVECOW 2.3 -9.0 7.0 -4.9 -5.5 -3.3 -7.9 -3.9 -7.9 -15.0 20.0 6.6 20.0 12.6 19.5 -20.0 -2.4 -20.0 -6.8 20.0 20.0 -2.5 20.0 10.9 1.7 8.2 -4.4 11.7 -1.1 13.0 4.0 -8.7 -4.9 20.0 20.0 20.0 -20.0 -20.0 -20.0 -20.0 LUMBER-new -1.2 -7.3 -4.4 -5.0 -5.6 -3.1 -8.0 -3.0 -8.0 2.7 -20.0 -1.2 -20.0 -16.3 -20.0 -16.7 -14.1 -16.0 -14.8 -16.5 -16.7 -2.5 -14.2 -10.9 NaN -6.9 -0.5 -6.1 -0.8 -4.2 -4.7 -20.0 17.3 15.5 1.1 -15.4 -13.8 -20.0 -5.1 -20.0 MILK -20.0 7.2 12.9 -2.8 -3.1 -1.9 -4.5 -2.2 -4.4 -8.8 -5.2 -12.2 -10.7 -10.4 1.7 -16.0 -20.0 -20.0 -20.0 -6.6 -9.5 -17.7 -17.3 -14.0 0.5 -2.8 -2.8 -4.0 -5.3 -6.1 -4.5 -20.0 -17.0 -12.1 2.9 -17.1 -20.0 -20.0 -15.6 -20.0 MXP -6.5 -17.6 -20.0 -3.0 -5.7 0.2 -5.0 1.7 -4.6 -9.2 11.6 -8.3 14.6 -7.0 -0.5 14.1 17.2 15.8 16.5 -0.9 8.8 -11.1 17.2 -7.5 -20.0 -0.7 -5.8 4.6 -6.0 8.9 -4.3 20.0 -8.7 -3.6 7.2 7.8 20.0 8.6 20.0 20.0 NASDAQ_micro -19.9 -20.0 -0.7 -3.0 -4.6 -1.0 -4.8 0.6 -4.3 -5.8 8.0 -9.0 8.5 -8.8 -4.6 -9.6 -8.4 -9.9 -9.6 -4.5 7.6 -11.7 12.7 -12.3 -20.0 -1.5 -1.2 3.2 -3.8 5.8 -4.1 -5.3 4.0 -2.6 1.5 14.2 -2.2 -14.3 -6.7 -17.1 NIKKEI -5.6 -7.3 0.1 -4.8 -3.2 -1.4 -6.7 1.2 -6.7 -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 -6.7 20.0 20.0 20.0 1.1 3.5 -2.8 11.4 NZD 11.3 -8.2 -9.2 -3.5 -6.7 0.2 -5.9 2.0 -5.4 0.2 -14.7 9.3 -2.4 -7.2 -14.7 -0.1 0.3 -0.0 0.2 -9.6 -12.1 4.6 -10.6 -1.1 0.6 -3.7 1.4 -4.6 2.8 -3.9 0.1 4.2 20.0 18.5 2.5 -13.9 0.4 -14.7 5.9 7.7 OAT -12.3 -3.8 0.7 -2.9 -4.4 -2.3 -4.2 -2.2 -3.6 -3.9 -7.4 -6.9 -8.6 -8.0 -8.0 6.2 8.2 6.2 6.9 -7.5 -5.9 -10.9 -7.6 -9.9 8.2 -3.0 -3.8 -2.0 -4.7 -2.2 -4.1 17.2 2.7 0.8 3.7 4.2 -20.0 -20.0 -4.6 6.5 OATIES -20.0 -12.2 20.0 -2.5 -2.8 -1.7 -4.0 -2.0 -4.0 0.5 6.4 -7.7 -1.1 -7.9 2.0 -16.0 -6.3 -16.7 -13.5 -0.8 8.9 -11.7 8.2 -12.4 -20.0 -0.0 -1.0 2.1 -2.7 1.8 -2.8 -20.0 -7.0 -19.3 7.4 20.0 6.8 14.2 20.0 20.0 OJ 13.0 20.0 18.7 -4.6 -5.1 -3.1 -7.4 -3.7 -7.4 16.5 20.0 19.7 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 8.6 4.1 9.8 5.0 10.9 6.7 20.0 20.0 20.0 20.0 20.0 4.2 6.1 19.4 18.9 PALLAD 10.6 8.7 -3.2 -2.9 -10.7 -1.2 -6.9 0.4 -4.3 -8.2 -14.1 0.3 -15.4 -3.5 -10.6 -3.3 -2.7 -3.0 -2.9 -6.1 -15.6 -3.9 -20.0 -2.0 -0.2 -2.2 -5.6 -4.8 -2.1 -6.8 -0.9 2.4 12.9 14.5 8.9 -9.8 -12.0 -5.8 4.3 -1.5 PLAT -2.4 4.5 -10.4 -2.6 -9.7 -1.1 -6.3 0.3 -3.9 -9.8 -10.7 -9.4 -3.6 -7.9 -9.4 -3.8 -2.5 -3.5 -3.1 -7.0 -7.5 -10.6 -5.3 -7.4 13.7 -0.6 -8.3 -1.0 -5.1 -0.8 -1.8 2.5 -2.7 -1.0 10.2 -5.0 0.0 -18.3 10.4 -14.6 REDWHEAT -6.4 -18.5 -12.8 -3.4 -3.8 -2.3 -5.5 -2.7 -5.5 -10.3 -14.2 -14.0 -15.6 -16.1 -16.5 -4.1 1.0 -3.1 -0.9 -20.0 -16.8 -20.0 -12.2 -20.0 -16.1 -5.4 -7.3 -3.9 -7.5 -2.2 -6.4 -3.6 -20.0 -1.1 -18.1 -17.6 -20.0 -19.3 -18.1 -9.1 RICE -12.5 1.9 10.5 -3.7 -4.1 -2.4 -5.9 -2.9 -5.9 -3.0 7.7 -5.3 4.0 -4.6 7.1 -17.4 13.0 -5.5 9.6 4.5 6.1 -2.2 4.0 -0.3 -20.0 0.7 -2.5 2.1 -1.4 1.5 -1.4 18.7 10.9 -4.4 8.7 6.8 -5.9 -20.0 12.2 -9.2 ROBUSTA 0.8 -5.6 1.2 -3.8 -4.2 -2.5 -6.1 -3.0 -6.1 -7.6 12.1 -7.1 13.8 -0.8 -3.6 20.0 20.0 20.0 20.0 3.1 13.5 -3.0 20.0 -1.3 -18.4 1.3 0.9 6.9 -1.6 11.7 -0.9 20.0 -8.9 17.5 6.0 -1.1 -0.0 -13.0 20.0 -2.9 RUSSELL -20.0 -20.0 1.5 -4.3 -6.5 -1.3 -6.7 0.9 -6.1 -13.4 -5.8 -15.3 -3.9 -16.9 -12.1 -8.3 -6.1 -8.0 -7.3 -18.7 -7.5 -20.0 -3.5 -20.0 -3.0 -4.1 -7.1 -0.8 -6.9 0.7 -6.6 -1.3 -4.9 -7.8 -8.7 11.0 -11.2 -11.6 -20.0 -18.0 SHATZ -13.5 -0.3 -4.5 -2.6 -3.9 -2.1 -3.8 -2.0 -3.2 3.9 -7.5 -4.8 -8.2 -6.5 -7.0 -20.0 -9.8 -20.0 -16.8 -7.7 -8.8 -3.9 -13.1 -7.1 11.0 -2.7 0.3 -2.6 -1.5 -3.5 -2.7 -18.3 18.1 3.3 3.6 0.3 -20.0 -20.0 -20.0 -20.0 SILVER-mini -10.6 -4.6 -6.7 -3.1 -11.5 -1.3 -7.4 0.4 -4.6 -14.3 -2.2 -13.9 3.7 -12.2 -10.8 -8.3 -6.2 -7.6 -7.0 -9.3 -4.6 -20.0 -0.5 -14.7 7.4 -1.6 -18.2 0.3 -10.9 1.0 -5.0 -4.1 -14.3 -12.8 3.5 5.4 -18.6 -20.0 -7.1 -20.0 SMI 2.0 -4.5 -10.8 -4.7 -7.1 -1.5 -7.4 1.0 -6.6 -15.1 0.6 -14.1 5.4 -9.6 -11.9 3.2 1.3 0.3 -0.1 -6.8 -4.4 -13.4 -0.6 -8.3 5.9 -2.7 -13.1 -1.7 -9.4 -1.8 -4.8 11.1 12.4 17.7 19.9 -1.0 -6.0 -15.7 -11.0 -12.4 SOFR -8.6 -12.0 -17.3 -3.8 -5.6 -3.0 -5.4 -2.8 -4.6 -8.9 -10.2 -9.9 -6.8 -10.8 -11.1 -1.8 -1.1 -1.9 -1.6 -13.8 -12.3 -11.5 -10.0 -13.0 -1.9 -4.2 -4.0 -3.6 -4.2 -2.8 -4.2 1.8 4.1 7.8 3.4 -1.0 -20.0 -20.0 -9.4 -5.3 SOYBEAN -16.5 -1.1 9.5 -2.8 -3.1 -1.9 -4.5 -2.2 -4.5 1.4 5.8 -9.2 1.5 -8.6 3.6 9.7 17.8 9.8 13.1 -1.8 2.0 -5.8 1.2 -6.9 -20.0 -0.6 -0.8 1.0 -2.3 0.8 -2.8 20.0 8.7 0.3 4.2 20.0 -15.9 1.2 -12.4 9.3 SOYMEAL -12.4 -1.7 -1.2 -2.8 -3.2 -1.9 -4.6 -2.3 -4.5 -10.9 -6.5 -11.4 1.9 -9.4 -5.6 10.8 17.9 11.8 15.6 -5.5 -2.9 -12.3 1.1 -9.1 -20.0 -1.6 -8.9 0.7 -6.1 3.2 -4.2 20.0 -1.4 -1.2 1.2 10.9 -20.0 -20.0 -20.0 -18.7 SOYOIL -20.0 -12.0 17.5 -2.7 -3.0 -1.8 -4.3 -2.1 -4.3 -6.5 7.2 -10.7 0.2 -10.9 3.9 14.9 11.9 14.2 12.2 -3.7 4.1 -17.1 3.5 -14.4 -20.0 -1.4 -3.8 1.0 -5.8 0.9 -4.8 15.9 -20.0 -14.0 -2.4 18.9 -0.8 6.3 20.0 20.0 SP400 -19.2 -20.0 1.3 -3.9 -5.9 -1.2 -6.2 0.8 -5.5 -12.0 -2.2 -13.8 4.2 -15.2 -9.0 -4.6 -5.0 -5.4 -5.4 -15.1 -4.6 -20.0 0.8 -20.0 -11.7 -3.4 -6.8 -0.4 -6.6 1.2 -5.9 1.3 -5.3 -6.0 -4.7 14.9 -5.2 -12.8 -18.2 -20.0 SP500_micro -20.0 -20.0 -0.4 -3.9 -5.9 -1.2 -6.1 0.8 -5.5 -13.9 7.4 -14.9 9.2 -14.2 -7.4 -11.3 -9.6 -11.9 -11.2 -10.6 3.3 -20.0 9.1 -20.0 -17.4 -2.8 -5.8 1.7 -7.2 3.7 -6.3 -7.7 -13.9 -11.0 -4.3 18.9 -6.7 -12.9 -12.4 -18.8 SUGAR11 3.7 12.7 4.7 -4.2 -4.7 -2.8 -6.8 -3.4 -6.7 -11.9 17.4 -5.8 17.4 12.8 15.4 16.1 11.4 6.1 6.7 20.0 20.0 -1.2 20.0 13.6 -20.0 5.5 -3.0 7.7 -1.4 11.4 2.8 11.6 -0.9 20.0 20.0 3.9 -20.0 -20.0 8.6 -0.1 US10 -10.9 -12.2 -19.2 -3.1 -4.5 -2.4 -4.4 -2.3 -3.7 -8.0 -9.5 -8.9 -9.4 -9.6 -9.9 -8.7 -7.4 -9.1 -8.9 -14.7 -14.2 -13.8 -14.0 -14.3 1.2 -3.6 -4.0 -3.2 -4.1 -2.9 -3.8 -10.3 -3.7 2.9 0.1 -3.9 -20.0 -20.0 7.7 -0.3 US10U -12.1 -13.3 -17.8 -3.9 -5.8 -3.1 -5.6 -2.9 -4.8 -10.6 -12.1 -11.7 -11.8 -12.4 -12.7 2.1 -0.8 -0.3 -1.1 -19.4 -17.8 -19.6 -16.9 -19.7 -3.4 -4.5 -5.3 -4.0 -5.5 -3.3 -5.0 2.2 -7.6 2.1 -1.2 -5.0 -20.0 -20.0 18.2 17.8 US2 -4.6 -0.8 -20.0 -3.0 -4.5 -2.4 -4.3 -2.3 -3.7 -2.6 -10.0 -6.5 -9.8 -8.3 -9.6 -20.0 -20.0 -20.0 -20.0 -13.9 -18.2 -6.3 -20.0 -9.7 9.8 -3.6 -1.4 -4.5 -2.0 -5.6 -2.7 -20.0 10.4 9.3 4.7 -6.0 -20.0 -20.0 -20.0 -20.0 US20 -12.1 -13.2 -16.9 -2.7 -3.9 -2.1 -3.8 -2.0 -3.2 -7.5 -8.0 -8.2 -7.4 -8.5 -8.5 -2.9 -2.0 -3.0 -2.7 -14.1 -12.2 -16.4 -10.9 -15.4 -2.9 -3.0 -3.8 -2.5 -4.0 -2.0 -3.5 0.0 -11.7 -1.6 -3.6 -4.7 -17.7 -20.0 20.0 20.0 US30 -12.1 -11.3 -13.4 -3.0 -4.5 -2.4 -4.4 -2.3 -3.7 -8.6 -9.4 -9.5 -8.8 -9.8 -9.6 -7.2 -4.1 -7.0 -5.7 -15.0 -13.3 -16.8 -12.9 -16.2 -2.5 -3.5 -4.0 -2.9 -4.4 -2.4 -3.9 -4.1 -9.2 0.4 -1.8 -3.6 -14.2 -20.0 20.0 20.0 US5 -8.3 -10.0 -19.0 -3.3 -4.9 -2.6 -4.8 -2.5 -4.1 -7.7 -10.5 -8.8 -10.3 -10.0 -10.7 -14.8 -10.7 -14.6 -13.3 -14.6 -15.3 -10.8 -16.2 -12.8 4.3 -3.9 -3.3 -3.9 -3.6 -3.8 -3.8 -16.6 3.5 6.7 2.2 -3.3 -20.0 -20.0 -3.6 -18.1 VIX 11.3 8.2 -2.6 -4.4 4.8 -9.9 5.7 -13.1 1.7 10.6 -20.0 12.1 -20.0 -2.5 -14.1 -15.9 -20.0 -20.0 -20.0 -12.9 -20.0 11.6 -20.0 2.3 NaN -4.9 5.4 -11.5 6.4 -15.8 1.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -3.3 -20.0 -11.7 -2.6 -2.9 -1.7 -4.2 -2.1 -4.2 -0.3 -11.9 -6.3 -12.7 -11.3 -12.5 -11.1 -9.8 -11.3 -10.9 -14.6 -14.9 -5.6 -14.8 -10.6 -4.2 -3.9 -1.4 -3.6 -2.0 -3.3 -3.3 -20.0 6.6 5.2 -12.2 -7.3 -20.0 -13.7 -20.0 -9.7 End of report for caleb_strategy_v3