******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231005_204312 produced at 2023-10-05 21:38:55.504745 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.49 0.0 0.00 0.00 0.00 0.00 -17.86 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.26 0.0 0.00 0.00 0.00 0.00 -3.69 13.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.15 -0.19 0.0 0.36 -0.36 -0.15 -0.13 -29.61 56.0 -24 -21 caleb_strategy_v3 CHF False False 0.05 -0.24 -0.19 0.0 0.63 -0.63 -0.24 -0.29 -3.91 13.0 -5 -6 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.19 0.0 0.00 0.00 0.00 0.00 -5.03 24.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.19 -0.18 0.0 0.19 -0.19 -0.19 -0.19 -5.84 6.0 -6 -6 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.17 0.0 0.11 -0.11 -0.11 -0.11 -24.93 17.0 -16 -17 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.15 0.0 0.74 -0.74 -0.03 -0.03 -5.93 29.0 -1 -1 caleb_strategy_v3 US5 False False 0.04 0.00 -0.11 0.0 0.92 -0.92 0.00 -0.18 -3.12 25.0 0 -5 caleb_strategy_v3 JPY False False 0.03 -0.21 -0.11 0.0 0.51 -0.51 -0.21 -0.18 -3.65 17.0 -7 -6 caleb_strategy_v3 DOW False False 0.01 -0.04 -0.09 0.0 0.38 -0.38 -0.04 -0.03 -16.30 66.0 -7 -6 caleb_strategy_v3 SP400 False False 0.09 -0.17 -0.09 0.0 0.17 -0.17 -0.17 -0.17 -1.07 2.0 -2 -2 caleb_strategy_v3 EUR False False 0.05 -0.46 -0.09 0.0 0.65 -0.65 -0.46 -0.46 -2.03 14.0 -10 -10 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.09 0.0 0.21 -0.21 -0.01 -0.03 -28.65 68.0 -3 -10 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.08 0.0 0.36 -0.36 -0.01 -0.01 -10.50 48.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.07 0.0 0.64 -0.64 0.00 0.00 -1.84 17.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.00 -0.06 0.0 0.40 -0.40 0.00 0.00 -1.44 10.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 -0.06 0.0 0.59 -0.59 0.00 0.00 -2.26 22.0 0 0 caleb_strategy_v3 AUD False False 0.02 -0.04 -0.05 0.0 0.42 -0.42 -0.04 -0.04 -2.27 19.0 -2 -2 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.06 -0.06 0.00 0.00 -4.49 5.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.04 -0.05 0.0 0.50 -0.50 -0.04 -0.04 -1.18 13.0 -1 -1 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.04 0.0 0.01 -0.01 0.00 0.00 -7.56 3.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.13 -0.04 0.0 0.81 -0.81 -0.13 -0.13 -1.01 19.0 -3 -3 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.04 0.0 0.19 -0.19 0.00 0.00 -10.87 51.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.07 -0.04 0.0 0.24 -0.24 -0.07 -0.03 -4.06 23.0 -7 -3 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.04 0.0 0.00 -0.00 0.00 0.00 -2.28 0.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.07 -0.03 0.0 0.08 -0.08 -0.07 -0.04 -9.18 26.0 -22 -13 caleb_strategy_v3 CORN False False 0.01 0.00 -0.03 0.0 0.11 -0.11 0.00 0.00 -2.83 12.0 0 0 caleb_strategy_v3 US20 False False 0.04 -0.12 -0.03 0.0 0.35 -0.35 -0.12 -0.12 -0.71 9.0 -3 -3 caleb_strategy_v3 RICE False False 0.01 0.00 -0.02 0.0 0.04 -0.04 0.00 0.00 -2.23 4.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.00 -0.02 0.0 0.37 -0.37 0.00 0.00 -0.38 9.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.04 -0.57 2.0 -1 -1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -1.91 2.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.08 -0.02 0.0 0.24 -0.24 -0.08 -0.04 -0.47 6.0 -2 -1 caleb_strategy_v3 OAT False False 0.04 0.00 -0.02 0.0 0.45 -0.45 0.00 0.00 -0.49 10.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.05 -0.02 0.0 0.10 -0.10 -0.05 -0.05 -1.97 8.0 -4 -4 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.02 0.0 0.11 -0.11 -0.02 -0.02 -1.92 9.0 -2 -2 caleb_strategy_v3 BITCOIN False False 0.00 -0.04 -0.02 0.0 0.06 -0.06 -0.04 -0.04 -21.66 59.0 -43 -38 caleb_strategy_v3 BUND False False 0.05 0.00 -0.02 0.0 0.47 -0.47 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 -1.13 6.0 -2 -2 caleb_strategy_v3 DAX False False 0.01 0.00 -0.01 0.0 0.32 -0.32 0.00 0.00 -1.05 58.0 0 0 caleb_strategy_v3 BUXL False False 0.04 -0.18 -0.01 0.0 0.18 -0.18 -0.18 -0.18 -0.25 4.0 -4 -4 caleb_strategy_v3 CAC False False 0.03 0.00 -0.01 0.0 0.31 -0.31 0.00 0.00 -0.20 12.0 0 0 caleb_strategy_v3 COCOA False False 0.01 -0.02 -0.01 0.0 0.31 -0.31 -0.02 -0.02 -0.55 26.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -0.98 9.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.00 -0.01 0.0 0.44 -0.44 0.00 -0.05 -0.57 17.0 0 -2 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.01 0.0 0.44 -0.44 -0.02 -0.02 -0.28 21.0 -1 -1 caleb_strategy_v3 PLAT False False 0.02 -0.06 -0.01 0.0 0.15 -0.15 -0.06 -0.06 -0.76 10.0 -4 -4 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.00 0.0 0.18 -0.18 0.02 0.02 0.26 23.0 2 2 caleb_strategy_v3 SOYBEAN False False 0.02 0.00 -0.00 0.0 0.15 -0.15 0.00 0.00 -0.17 7.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.06 0.00 0.0 0.13 -0.13 0.06 0.06 0.02 4.0 2 2 caleb_strategy_v3 SOYOIL False False 0.01 -0.01 -0.00 0.0 0.11 -0.11 -0.01 -0.01 -0.27 10.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.02 0.00 -0.00 0.0 0.17 -0.17 0.00 -0.02 -0.09 11.0 0 -1 caleb_strategy_v3 FEEDCOW False False 0.04 0.18 0.01 0.0 0.35 -0.35 0.18 0.18 0.28 8.0 4 4 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.01 0.0 0.30 -0.30 0.00 0.00 0.77 20.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.17 0.01 0.0 0.57 -0.57 0.17 0.12 0.92 60.0 18 13 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.01 0.0 0.18 -0.18 0.00 0.00 0.64 18.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.01 0.0 0.12 -0.12 0.00 0.00 0.17 3.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.51 0.01 0.0 0.54 -0.54 0.51 0.51 0.26 16.0 15 15 caleb_strategy_v3 LEANHOG False False 0.01 0.02 0.03 0.0 0.13 -0.13 0.02 0.02 3.44 13.0 2 2 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.03 0.0 0.11 -0.11 0.03 0.00 1.17 4.0 1 0 caleb_strategy_v3 NIKKEI False False 0.01 0.12 0.04 0.0 0.26 -0.26 0.12 0.06 6.00 36.0 16 8 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.06 -0.06 0.00 0.00 2.81 3.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.11 0.09 0.0 0.14 -0.14 0.11 0.08 3.05 5.0 4 3 caleb_strategy_v3 DX False False 0.04 0.00 0.14 0.0 37012506.34 -37012506.34 0.00 0.00 3.77 999999999.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.53 0.15 0.0 0.89 -0.89 0.53 0.62 1.73 10.0 6 7 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 14.5 Shocked risk 32.2 Sum abs risk 46.8 Leverage 5.02 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2866058.27, 'annual_cash_vol_target': 716514.5675, 'daily_cash_vol_target': 44782.16046875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6388 0.6859 10.9738 BITCOIN 687.9601 27620.0000 2.4908 39.8529 BOBL 0.2994 115.7700 0.2586 4.1378 BTP 0.6890 108.7900 0.6333 10.1334 BUND 0.6274 128.1900 0.4894 7.8303 BUXL 1.4377 120.0200 1.1979 19.1660 CAC 53.5788 7034.0000 0.7617 12.1874 CAD 0.0029 0.7298 0.3922 6.2751 CANOLA 7.4569 719.1000 1.0370 16.5916 CHF 0.0048 1.1038 0.4310 6.8960 COCOA 45.7761 3414.0000 1.3408 21.4534 COFFEE 2.4783 146.1500 1.6957 27.1313 COPPER 0.0385 3.5685 1.0791 17.2656 CORN 6.1632 520.5000 1.1841 18.9456 COTTON2 1.0810 86.6000 1.2482 19.9714 CRUDE_W 1.4060 80.8400 1.7392 27.8277 DAX 109.0876 15233.0000 0.7161 11.4580 DOW 199.7436 33336.0000 0.5992 9.5869 DX 0.3889 106.0800 0.3666 5.8655 EUR 0.0051 1.0580 0.4856 7.7699 EURIBOR-ICE 0.0567 96.9750 0.0585 0.9360 EUROSTX 35.8456 4136.0000 0.8667 13.8668 FEEDCOW 1.8892 252.9000 0.7470 11.9523 GASOIL 16.6415 813.2500 2.0463 32.7407 GASOLINE 0.0408 2.1348 1.9129 30.6064 GAS_US_mini 0.0871 3.5150 2.4779 39.6464 GBP 0.0065 1.2199 0.5304 8.4863 GOLD_micro 10.3171 1834.3000 0.5625 8.9993 HEATOIL 0.0490 2.7599 1.7737 28.3800 JGB-SGX-mini 0.1988 144.6600 0.1375 2.1992 JPY 0.0000 0.0068 0.5403 8.6455 LEANHOG 1.5361 72.1750 2.1283 34.0532 LIVECOW 1.2810 185.3750 0.6910 11.0567 LUMBER-new 8.3816 501.0000 1.6730 26.7675 MILK 0.2093 17.4800 1.1973 19.1569 MXP 0.0005 0.0542 0.8968 14.3489 NASDAQ_micro 137.0250 14885.2500 0.9205 14.7287 NIKKEI 325.6406 31065.0000 1.0483 16.7721 NZD 0.0038 0.5966 0.6373 10.1963 OAT 0.6393 122.4100 0.5223 8.3564 OATIES 7.3394 451.5000 1.6256 26.0090 OJ 4.5498 360.4000 1.2624 20.1990 PALLAD 20.8567 1151.0000 1.8120 28.9928 PLAT 13.3895 866.9000 1.5445 24.7124 REDWHEAT 12.0546 695.2500 1.7339 27.7417 RICE 0.1542 15.9850 0.9643 15.4295 ROBUSTA 28.3698 2296.0000 1.2356 19.7699 RUSSELL 16.4577 1744.3000 0.9435 15.0962 SHATZ 0.0835 105.1050 0.0795 1.2716 SILVER-mini 0.3307 21.1000 1.5674 25.0778 SMI 72.9543 10839.0000 0.6731 10.7692 SOFR 0.0665 95.9400 0.0693 1.1087 SOYBEAN 11.7259 1261.2500 0.9297 14.8753 SOYMEAL 4.7960 375.5000 1.2772 20.4356 SOYOIL 0.8189 54.2700 1.5090 24.1433 SP400 20.8429 2452.7000 0.8498 13.5967 SP500_micro 30.3963 4291.7500 0.7082 11.3320 SUGAR11 0.3274 24.9200 1.3140 21.0240 US10 0.3962 107.3281 0.3692 5.9070 US10U 0.5581 110.2969 0.5060 8.0967 US2 0.0996 101.3945 0.0982 1.5715 US20 0.8424 111.4375 0.7559 12.0943 US30 1.2768 115.3750 1.1067 17.7067 US5 0.2533 105.0859 0.2410 3.8565 VIX 0.5362 19.0500 2.8149 45.0392 WHEAT 10.8289 672.5000 1.6102 25.7640 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 638.80 0.69 438.13 1.00 438.13 44782.16 102.21 -8.56 -87.47 BITCOIN 27.62 2.49 68.80 1.00 68.80 44782.16 650.94 -3.07 -200.03 BOBL 1157.70 0.26 299.40 1.05 313.38 44782.16 142.90 -6.99 -99.88 BTP 1087.90 0.63 689.01 1.05 721.18 44782.16 62.10 -6.79 -42.18 BUND 1281.90 0.49 627.35 1.05 656.65 44782.16 68.20 -4.85 -33.08 BUXL 1200.20 1.20 1437.69 1.05 1504.83 44782.16 29.76 -8.25 -24.54 CAC 703.40 0.76 535.79 1.05 560.81 44782.16 79.85 -0.75 -5.97 CAD 729.85 0.39 286.24 1.00 286.24 44782.16 156.45 -14.61 -228.54 CANOLA 143.82 1.04 149.14 0.73 108.79 44782.16 411.65 -10.86 -446.95 CHF 1379.69 0.43 594.65 1.00 594.65 44782.16 75.31 -20.00 -150.62 COCOA 341.40 1.34 457.76 1.00 457.76 44782.16 97.83 -2.65 -25.89 COFFEE 548.06 1.70 929.35 1.00 929.35 44782.16 48.19 -20.00 -96.37 COPPER 892.12 1.08 962.69 1.00 962.69 44782.16 46.52 -11.60 -53.94 CORN 260.25 1.18 308.16 1.00 308.16 44782.16 145.32 -8.00 -116.31 COTTON2 433.00 1.25 540.48 1.00 540.48 44782.16 82.86 -0.52 -4.33 CRUDE_W 808.40 1.74 1406.00 1.00 1406.00 44782.16 31.85 8.85 28.20 DAX 152.33 0.72 109.09 1.05 114.18 44782.16 392.20 -0.78 -30.75 DOW 166.68 0.60 99.87 1.00 99.87 44782.16 448.40 -15.64 -701.38 DX 1060.80 0.37 388.88 1.00 388.88 44782.16 115.16 12.61 145.23 EUR 1322.44 0.49 642.20 1.00 642.20 44782.16 69.73 -11.25 -78.42 EURIBOR-ICE 2424.38 0.06 141.82 1.05 148.44 44782.16 301.68 1.69 50.84 EUROSTX 413.60 0.87 358.46 1.05 375.20 44782.16 119.36 1.88 22.44 FEEDCOW 1264.50 0.75 944.60 1.00 944.60 44782.16 47.41 1.79 8.49 GASOIL 813.25 2.05 1664.15 1.00 1664.15 44782.16 26.91 10.01 26.94 GASOLINE 896.62 1.91 1715.14 1.00 1715.14 44782.16 26.11 0.20 0.53 GAS_US_mini 87.88 2.48 217.75 1.00 217.75 44782.16 205.66 -4.12 -84.76 GBP 762.44 0.53 404.39 1.00 404.39 44782.16 110.74 -7.85 -86.93 GOLD_micro 183.43 0.56 103.17 1.00 103.17 44782.16 434.06 -20.00 -868.12 HEATOIL 1159.16 1.77 2056.06 1.00 2056.06 44782.16 21.78 1.75 3.81 JGB-SGX-mini 144660.00 0.14 19883.62 0.01 133.24 44782.16 336.10 0.07 2.36 JPY 851.81 0.54 460.27 1.00 460.27 44782.16 97.30 -14.46 -140.68 LEANHOG 288.70 2.13 614.45 1.00 614.45 44782.16 72.88 7.78 56.68 LIVECOW 741.50 0.69 512.41 1.00 512.41 44782.16 87.40 -1.98 -17.30 LUMBER-new 137.78 1.67 230.49 1.00 230.49 44782.16 194.29 -18.32 -355.84 MILK 349.60 1.20 418.58 1.00 418.58 44782.16 106.99 -19.60 -209.73 MXP 270.95 0.90 242.99 1.00 242.99 44782.16 184.30 0.34 6.29 NASDAQ_micro 297.70 0.92 274.05 1.00 274.05 44782.16 163.41 -10.69 -174.65 NIKKEI 31065.00 1.05 32564.06 0.01 218.21 44782.16 205.22 2.70 55.42 NZD 596.65 0.64 380.23 1.00 380.23 44782.16 117.78 -0.90 -10.61 OAT 1224.10 0.52 639.31 1.05 669.17 44782.16 66.92 -2.13 -14.23 OATIES 225.75 1.63 366.97 1.00 366.97 44782.16 122.03 -6.44 -78.63 OJ 540.60 1.26 682.47 1.00 682.47 44782.16 65.62 20.00 131.23 PALLAD 1151.00 1.81 2085.67 1.00 2085.67 44782.16 21.47 -7.73 -16.61 PLAT 433.45 1.54 669.47 1.00 669.47 44782.16 66.89 -3.35 -22.42 REDWHEAT 347.62 1.73 602.73 1.00 602.73 44782.16 74.30 -20.00 -148.60 RICE 319.70 0.96 308.30 1.00 308.30 44782.16 145.25 -6.30 -91.48 ROBUSTA 229.60 1.24 283.70 1.00 283.70 44782.16 157.85 1.40 22.17 RUSSELL 87.22 0.94 82.29 1.00 82.29 44782.16 544.21 -15.88 -864.46 SHATZ 1051.05 0.08 83.53 1.05 87.43 44782.16 512.19 -9.68 -495.65 SILVER-mini 527.50 1.57 826.78 1.00 826.78 44782.16 54.16 -12.33 -66.78 SMI 1083.90 0.67 729.54 1.08 791.44 44782.16 56.58 -1.97 -11.17 SOFR 2398.50 0.07 166.21 1.00 166.21 44782.16 269.43 -10.91 -293.86 SOYBEAN 630.62 0.93 586.30 1.00 586.30 44782.16 76.38 -2.43 -18.54 SOYMEAL 375.50 1.28 479.60 1.00 479.60 44782.16 93.37 -11.34 -105.87 SOYOIL 325.62 1.51 491.35 1.00 491.35 44782.16 91.14 -3.23 -29.44 SP400 2452.70 0.85 2084.29 1.00 2084.29 44782.16 21.49 -15.03 -32.30 SP500_micro 214.59 0.71 151.98 1.00 151.98 44782.16 294.66 -15.34 -451.92 SUGAR11 279.10 1.31 366.74 1.00 366.74 44782.16 122.11 2.46 30.02 US10 1073.28 0.37 396.24 1.00 396.24 44782.16 113.02 -12.82 -144.84 US10U 1102.97 0.51 558.15 1.00 558.15 44782.16 80.23 -11.57 -92.80 US2 2027.89 0.10 199.18 1.00 199.18 44782.16 224.83 -12.96 -291.48 US20 1114.38 0.76 842.35 1.00 842.35 44782.16 53.16 -10.48 -55.72 US30 1153.75 1.11 1276.82 1.00 1276.82 44782.16 35.07 -10.63 -37.28 US5 1050.86 0.24 253.29 1.00 253.29 44782.16 176.80 -13.93 -246.27 VIX 190.50 2.81 536.25 1.00 536.25 44782.16 83.51 -12.09 -101.00 WHEAT 336.25 1.61 541.45 1.00 541.45 44782.16 82.71 -17.51 -144.81 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -87.468 0.010 2.5 -2.270 BITCOIN -200.033 0.043 2.5 -21.662 BOBL -99.881 0.004 2.5 -1.013 BTP -42.176 0.014 2.5 -1.439 BUND -33.083 0.004 2.5 -0.335 BUXL -24.536 0.004 2.5 -0.249 CAC -5.967 0.014 2.5 -0.204 CAD -228.540 0.010 2.5 -5.930 CANOLA -446.946 0.010 2.5 -10.874 CHF -150.617 0.010 2.5 -3.908 COCOA -25.890 0.009 2.5 -0.555 COFFEE -96.373 0.005 2.5 -1.125 COPPER -53.938 0.043 2.5 -5.841 CORN -116.307 0.010 2.5 -2.830 COTTON2 -4.328 0.009 2.5 -0.093 CRUDE_W 28.202 0.043 2.5 3.054 DAX -30.751 0.014 2.5 -1.049 DOW -701.383 0.009 2.5 -16.301 DX 145.235 0.010 2.5 3.768 EUR -78.422 0.010 2.5 -2.035 EURIBOR-ICE 50.838 0.014 2.5 1.734 EUROSTX 22.436 0.014 2.5 0.765 FEEDCOW 8.492 0.013 2.5 0.281 GASOIL 26.939 0.017 2.5 1.168 GASOLINE 0.535 0.017 2.5 0.023 GAS_US_mini -84.761 0.043 2.5 -9.179 GBP -86.930 0.010 2.5 -2.256 GOLD_micro -868.116 0.014 2.5 -29.612 HEATOIL 3.810 0.017 2.5 0.165 JGB-SGX-mini 2.356 0.043 2.5 0.255 JPY -140.680 0.010 2.5 -3.650 LEANHOG 56.681 0.024 2.5 3.445 LIVECOW -17.298 0.013 2.5 -0.573 LUMBER-new -355.845 0.009 2.5 -7.562 MILK -209.730 0.009 2.5 -4.492 MXP 6.288 0.059 2.5 0.923 NASDAQ_micro -174.646 0.009 2.5 -4.059 NIKKEI 55.422 0.043 2.5 6.002 NZD -10.613 0.010 2.5 -0.275 OAT -14.232 0.014 2.5 -0.485 OATIES -78.634 0.010 2.5 -1.913 OJ 131.235 0.009 2.5 2.811 PALLAD -16.607 0.014 2.5 -0.566 PLAT -22.425 0.014 2.5 -0.765 REDWHEAT -148.597 0.005 2.5 -1.971 RICE -91.484 0.010 2.5 -2.226 ROBUSTA 22.168 0.005 2.5 0.259 RUSSELL -864.461 0.013 2.5 -28.648 SHATZ -495.647 0.004 2.5 -5.026 SILVER-mini -66.785 0.014 2.5 -2.278 SMI -11.169 0.014 2.5 -0.381 SOFR -293.859 0.024 2.5 -17.860 SOYBEAN -18.536 0.004 2.5 -0.172 SOYMEAL -105.869 0.004 2.5 -0.985 SOYOIL -29.438 0.004 2.5 -0.274 SP400 -32.303 0.013 2.5 -1.071 SP500_micro -451.917 0.009 2.5 -10.503 SUGAR11 30.017 0.009 2.5 0.638 US10 -144.839 0.005 2.5 -1.835 US10U -92.799 0.005 2.5 -1.176 US2 -291.482 0.005 2.5 -3.694 US20 -55.717 0.005 2.5 -0.706 US30 -37.283 0.005 2.5 -0.472 US5 -246.266 0.005 2.5 -3.121 VIX -101.000 0.099 2.5 -24.932 WHEAT -144.810 0.005 2.5 -1.921 ===================== Position diags ===================== AUD 2.65 BITCOIN 70.49 BOBL 1.45 BTP 2.12 BUND 0.69 BUXL 0.30 CAC 2.72 CAD 4.06 CANOLA 10.02 CHF 1.95 COCOA 2.10 COFFEE 0.56 COPPER 5.04 CORN 3.54 COTTON2 1.77 CRUDE_W 3.45 DAX 13.38 DOW 10.42 DX 2.99 EUR 1.81 EURIBOR-ICE 10.29 EUROSTX 4.07 FEEDCOW 1.57 GASOIL 1.17 GASOLINE 1.13 GAS_US_mini 22.27 GBP 2.87 GOLD_micro 14.81 HEATOIL 0.94 JGB-SGX-mini 36.40 JPY 2.52 LEANHOG 4.43 LIVECOW 2.90 LUMBER-new 4.13 MILK 2.29 MXP 27.05 NASDAQ_micro 3.80 NIKKEI 22.22 NZD 3.06 OAT 2.28 OATIES 2.97 OJ 1.41 PALLAD 0.73 PLAT 2.28 REDWHEAT 0.99 RICE 3.53 ROBUSTA 1.84 RUSSELL 18.03 SHATZ 5.19 SILVER-mini 1.85 SMI 1.93 SOFR 16.38 SOYBEAN 0.71 SOYMEAL 0.87 SOYOIL 0.85 SP400 0.71 SP500_micro 6.85 SUGAR11 2.60 US10 1.43 US10U 1.02 US2 2.85 US20 0.67 US30 0.44 US5 2.24 VIX 20.62 WHEAT 1.10 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.3 -2.5 -2.0 -2.0 -2 BITCOIN -21.7 -28.7 -14.6 -43.0 -43 BOBL -1.0 -1.2 -0.9 -3.0 -3 BTP -1.4 -1.7 -1.2 0.0 0 BUND -0.3 -0.4 -0.3 0.0 0 BUXL -0.2 -0.3 -0.2 -4.0 -4 CAC -0.2 -0.5 0.1 0.0 0 CAD -5.9 -6.3 -5.5 -1.0 -1 CANOLA -10.9 -11.9 -9.9 NaN 0 CHF -3.9 -4.1 -3.7 -5.0 -5 COCOA -0.6 -0.8 -0.3 -2.0 -2 COFFEE -1.1 -1.2 -1.1 -2.0 -2 COPPER -5.8 -6.3 -5.3 -6.0 -6 CORN -2.8 -3.2 -2.5 0.0 0 COTTON2 -0.1 -0.3 0.1 0.0 0 CRUDE_W 3.1 2.7 3.4 4.0 4 DAX -1.0 -2.4 0.3 0.0 0 DOW -16.3 -17.3 -15.3 -7.0 -7 DX 3.8 3.5 4.1 NaN 0 EUR -2.0 -2.2 -1.9 -10.0 -10 EURIBOR-ICE 1.7 0.7 2.8 6.0 6 EUROSTX 0.8 0.4 1.2 0.0 0 FEEDCOW 0.3 0.1 0.4 4.0 4 GASOIL 1.2 1.1 1.3 1.0 1 GASOLINE 0.0 -0.1 0.1 2.0 2 GAS_US_mini -9.2 -11.4 -7.0 -22.0 -22 GBP -2.3 -2.5 -2.0 0.0 0 GOLD_micro -29.6 -31.1 -28.1 -24.0 -24 HEATOIL 0.2 0.1 0.3 0.0 0 JGB-SGX-mini 0.3 -3.4 3.9 15.0 15 JPY -3.7 -3.9 -3.4 -7.0 -7 LEANHOG 3.4 3.0 3.9 2.0 2 LIVECOW -0.6 -0.9 -0.3 0.0 0 LUMBER-new -7.6 -8.0 -7.1 NaN 0 MILK -4.5 -4.7 -4.3 NaN 0 MXP 0.9 -1.8 3.6 18.0 18 NASDAQ_micro -4.1 -4.4 -3.7 -7.0 -7 NIKKEI 6.0 3.8 8.2 16.0 16 NZD -0.3 -0.6 0.0 -1.0 -1 OAT -0.5 -0.7 -0.3 0.0 0 OATIES -1.9 -2.2 -1.6 NaN 0 OJ 2.8 2.7 3.0 NaN 0 PALLAD -0.6 -0.6 -0.5 -1.0 -1 PLAT -0.8 -1.0 -0.5 -4.0 -4 REDWHEAT -2.0 -2.1 -1.9 -4.0 -4 RICE -2.2 -2.6 -1.9 NaN 0 ROBUSTA 0.3 0.1 0.4 2.0 2 RUSSELL -28.6 -30.5 -26.8 -3.0 -3 SHATZ -5.0 -5.5 -4.5 NaN 0 SILVER-mini -2.3 -2.5 -2.1 NaN 0 SMI -0.4 -0.6 -0.2 0.0 0 SOFR -17.9 -19.5 -16.2 NaN 0 SOYBEAN -0.2 -0.2 -0.1 0.0 0 SOYMEAL -1.0 -1.1 -0.9 0.0 0 SOYOIL -0.3 -0.4 -0.2 -1.0 -1 SP400 -1.1 -1.1 -1.0 -2.0 -2 SP500_micro -10.5 -11.2 -9.8 -1.0 -1 SUGAR11 0.6 0.4 0.9 0.0 0 US10 -1.8 -2.0 -1.7 NaN 0 US10U -1.2 -1.3 -1.1 -1.0 -1 US2 -3.7 -4.0 -3.4 NaN 0 US20 -0.7 -0.8 -0.6 -3.0 -3 US30 -0.5 -0.5 -0.4 -2.0 -2 US5 -3.1 -3.3 -2.9 0.0 0 VIX -24.9 -27.0 -22.9 -16.0 -16 WHEAT -1.9 -2.0 -1.8 -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 1.0 3.1 1.3 4.2 1.3 1.1 3.1 1.3 3.4 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 1.0 3.1 1.3 4.2 1.3 6.2 2.8 3.8 3.8 3.7 3.9 3.9 3.9 3.9 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 0.1 -0.2 -0.3 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -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 0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 0.2 -0.0 -0.5 -0.3 -0.7 -0.2 0.1 BITCOIN 0.3 -0.3 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 0.1 0.2 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.0 0.0 -2.7 -0.0 0.0 -0.1 0.1 -0.0 0.0 -0.1 0.5 0.6 -0.0 0.1 -0.2 0.7 -0.1 0.7 BOBL -0.3 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 0.1 -0.1 -0.2 -0.2 -0.1 -0.1 -0.0 -0.2 -0.1 1.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.6 0.3 0.2 0.2 0.1 -0.7 -0.7 -0.6 -0.5 BTP -0.6 -0.5 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.8 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.8 -0.1 -0.0 0.0 0.2 -0.4 -0.7 -0.0 0.3 BUND -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 -0.0 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 0.1 0.1 0.1 -0.7 -0.7 -0.6 -0.1 BUXL -0.5 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.3 -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 -0.0 -0.1 -0.0 0.3 -0.1 -0.1 -0.0 0.1 -0.7 -0.7 -0.3 0.7 CAC -0.4 -0.4 -0.3 -0.1 -0.1 -0.1 -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 -0.2 -0.0 -0.2 0.3 -0.2 -0.7 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.2 -0.1 0.5 0.4 0.3 0.6 0.0 0.7 0.2 CAD 0.1 -0.3 -0.2 -0.1 -0.0 -0.0 -0.1 0.1 -0.1 -0.2 -0.2 -0.2 -0.5 -0.2 -0.2 -0.1 -0.0 -0.0 -0.0 -0.2 -0.1 -0.2 -0.2 -0.2 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.5 0.3 -0.1 -0.5 -0.7 -0.7 -0.7 -0.6 CANOLA -0.6 -0.6 0.5 -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 -0.1 -0.1 -0.2 -2.7 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.3 -0.3 -0.6 -0.4 0.4 -0.3 0.1 0.4 0.5 CHF -0.6 -0.6 -0.3 -0.1 -0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.2 -0.2 0.3 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.2 0.0 -0.2 -1.3 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -1.1 -0.3 -0.6 -0.6 -0.4 -0.7 -0.7 -0.7 -0.7 COCOA -0.6 -0.4 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.4 -0.2 0.6 -0.1 0.1 -0.0 -0.0 -0.1 -0.1 0.0 0.2 -0.2 0.5 -0.1 -1.7 0.0 -0.0 0.2 -0.1 0.4 -0.0 -0.4 -0.5 -0.3 0.4 0.6 0.0 -0.3 0.6 0.1 COFFEE 0.1 0.0 -0.5 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.5 -0.2 -0.5 -0.2 -0.2 -0.1 0.0 -0.0 -0.0 -0.2 -0.2 -0.2 -0.5 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.5 0.3 -0.3 -0.6 -0.7 -0.7 -0.7 -0.3 COPPER -0.4 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.3 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.8 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.3 -0.2 -0.1 0.1 0.2 -0.7 0.3 -0.7 CORN 0.2 -0.3 -0.6 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.4 0.1 -0.5 -0.0 -0.2 -0.1 0.1 -0.1 -0.1 -0.1 -0.2 0.1 -0.4 -0.0 -1.8 -0.0 0.1 -0.1 0.0 -0.2 0.0 -0.2 0.5 0.5 0.1 -0.1 -0.2 0.1 0.1 0.3 COTTON2 -0.1 0.1 0.4 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 -0.0 -0.3 0.0 0.1 -0.1 0.1 0.0 0.1 0.1 0.1 -0.0 0.1 0.0 -2.7 0.1 -0.0 0.2 -0.0 0.1 0.0 0.1 0.2 0.6 0.6 0.4 -0.6 -0.5 0.3 0.4 CRUDE_W -0.6 0.2 0.6 0.1 -0.1 0.2 -0.1 0.1 -0.0 -0.2 0.5 -0.1 0.2 0.1 0.2 0.4 0.2 0.4 0.3 0.2 0.2 -0.2 0.4 0.0 -0.9 0.1 -0.1 0.2 -0.1 0.2 0.0 -1.1 0.1 0.5 0.2 0.0 0.7 0.4 0.7 0.3 DAX -0.5 -0.5 -0.4 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.2 -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 -0.2 -0.1 0.1 -0.2 0.7 0.0 0.7 0.3 DOW -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 0.0 -0.2 0.4 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.0 -0.2 0.1 -0.2 -1.4 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.3 -0.4 -0.3 -0.2 0.5 -0.5 -0.2 -0.7 -0.3 DX 0.3 0.6 0.4 -0.1 -0.0 -0.0 -0.1 0.1 -0.1 0.1 0.5 0.2 -0.2 0.2 0.2 0.2 0.1 0.1 0.1 0.2 0.2 0.2 0.3 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 0.7 0.5 0.6 0.6 0.6 0.1 0.3 0.2 0.7 EUR -0.4 -0.6 -0.3 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.3 -0.1 0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.2 1.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.4 -0.1 -0.4 -0.6 -0.4 -0.3 -0.6 -0.1 -0.1 EURIBOR-ICE -0.2 0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.2 -0.0 2.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.6 0.4 0.4 0.3 0.2 -0.7 -0.7 0.5 0.5 EUROSTX -0.3 -0.5 -0.4 -0.1 -0.1 -0.1 -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 -0.2 -0.1 -0.2 0.2 -0.2 0.7 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 0.3 0.1 0.4 0.3 0.0 0.5 0.1 0.7 0.4 FEEDCOW -0.6 -0.4 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 0.5 -0.2 0.7 -0.0 0.1 -0.2 -0.4 -0.3 -0.4 0.1 0.2 -0.2 0.5 -0.1 -0.2 0.1 -0.1 0.2 -0.1 0.4 -0.0 -1.1 -0.5 0.6 0.6 0.6 0.4 -0.2 0.7 0.1 GASOIL -0.6 0.1 0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.4 -0.1 0.2 0.0 0.2 0.4 0.4 0.4 0.4 0.2 0.2 -0.2 0.4 0.0 1.4 0.1 -0.1 0.2 -0.1 0.1 0.0 0.0 -0.2 0.5 0.3 0.6 -0.6 0.1 -0.7 -0.1 GASOLINE -0.6 -0.3 0.5 0.1 -0.1 0.2 -0.1 0.1 -0.0 -0.2 0.4 -0.2 0.2 -0.2 0.1 0.4 0.4 0.4 0.4 0.0 0.2 -0.2 0.5 -0.2 -2.7 0.0 -0.2 0.1 -0.2 0.2 -0.1 1.1 -0.5 -0.6 -0.6 -0.3 0.7 0.4 0.7 0.2 GAS_US_mini 0.1 -0.0 0.5 0.1 -0.1 0.2 -0.1 0.2 -0.0 0.2 -0.5 0.1 -0.7 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 0.1 -0.5 -0.0 2.7 -0.0 0.2 -0.1 0.1 -0.2 0.0 -1.1 0.5 0.6 -0.6 -0.6 -0.1 0.2 -0.3 0.0 GBP -0.6 -0.6 -0.3 -0.1 -0.0 -0.0 -0.1 0.1 -0.1 0.0 -0.1 -0.2 0.4 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.2 0.0 -0.2 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.1 -0.0 -0.6 -0.6 -0.5 -0.1 0.4 0.1 0.7 GOLD_micro -0.6 -0.4 -0.6 -0.1 -0.1 -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 -0.2 -0.2 -1.3 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -1.0 -0.5 -0.6 -0.6 -0.5 -0.4 -0.7 -0.2 -0.7 HEATOIL -0.6 0.0 0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.4 -0.1 0.2 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 0.2 -0.1 0.2 -0.0 0.0 -0.2 0.1 -0.2 0.6 0.2 -0.1 -0.0 -0.2 JGB-SGX-mini -0.4 -0.5 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 -0.1 0.4 0.4 0.3 0.3 -0.1 -0.1 -0.1 0.0 -0.2 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 1.1 0.1 0.1 0.2 0.1 -0.3 -0.4 0.4 0.3 JPY -0.1 -0.4 -0.6 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.4 -0.1 -0.6 -0.2 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 2.7 -0.1 0.0 -0.2 -0.0 -0.2 -0.0 -1.1 0.2 -0.1 -0.4 -0.6 -0.2 -0.7 -0.1 -0.7 LEANHOG -0.3 0.1 0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 0.4 0.4 0.4 0.4 -0.0 -0.0 -0.1 -0.2 -0.1 1.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 1.1 -0.2 0.1 -0.0 -0.0 -0.3 -0.0 0.5 0.7 LIVECOW -0.3 -0.3 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 0.5 -0.2 0.7 0.0 0.2 -0.4 -0.1 -0.4 -0.2 0.1 0.2 -0.2 0.5 -0.0 0.2 0.1 -0.1 0.3 -0.1 0.5 -0.0 -0.5 -0.5 0.6 0.6 0.6 -0.7 -0.7 -0.6 -0.6 LUMBER-new -0.0 -0.3 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.6 -0.1 -0.7 -0.2 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 NaN -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -1.2 0.5 0.4 0.2 -0.6 -0.5 -0.8 -0.2 -0.8 MILK -0.6 0.0 0.5 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.4 -0.1 0.0 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.5 -0.2 0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.1 -0.6 0.1 -0.5 -0.7 -0.7 -0.5 -0.7 MXP -0.4 -0.6 -0.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 0.2 -0.1 0.5 -0.1 -0.0 0.3 0.3 0.3 0.3 -0.1 0.1 -0.2 0.4 -0.2 -2.7 -0.0 -0.1 0.1 -0.1 0.2 -0.1 1.1 -0.5 -0.1 0.1 0.2 0.7 0.3 0.7 0.7 NASDAQ_micro -0.6 -0.6 -0.2 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.2 -0.1 0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 0.1 -0.1 0.3 -0.1 -2.7 -0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.3 0.5 0.1 0.2 0.4 -0.1 -0.5 -0.2 -0.6 NIKKEI -0.5 -0.4 -0.2 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 0.4 -0.2 0.5 -0.1 -0.0 0.1 0.2 0.2 0.2 -0.0 0.1 -0.2 0.5 -0.2 -1.1 -0.0 -0.1 0.1 -0.1 0.3 -0.1 1.1 -0.5 0.0 0.6 0.6 0.0 0.1 -0.1 0.4 NZD 0.4 -0.2 -0.3 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.4 0.0 -0.1 -0.0 -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 0.2 -0.4 0.0 -0.5 0.2 0.3 OAT -0.4 -0.2 -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 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.9 0.0 0.1 0.1 0.1 -0.7 -0.7 -0.2 0.2 OATIES -0.6 -0.6 0.6 -0.0 -0.0 -0.1 -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 0.3 -0.6 0.3 0.6 0.2 0.5 0.7 0.7 OJ 0.5 0.6 0.6 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.3 0.1 0.4 0.1 1.1 0.5 0.6 0.6 0.6 0.1 0.2 0.6 0.7 PALLAD 0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.4 -0.1 -0.5 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.5 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.1 -0.1 0.3 0.1 -0.3 -0.4 -0.2 0.1 -0.1 PLAT -0.2 0.0 -0.3 -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 -0.2 -0.2 -0.1 1.7 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.1 -0.0 -0.0 0.3 -0.1 -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 -0.0 -0.4 -0.1 -0.5 -0.1 -0.2 -0.1 0.0 -0.1 -0.0 -0.2 -0.2 -0.1 -0.3 -0.2 -2.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.3 -0.2 -0.5 -0.6 -0.7 -0.6 -0.6 -0.3 RICE -0.3 0.0 0.4 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 -0.1 0.1 -0.1 0.1 -0.4 0.2 -0.1 0.2 0.0 0.1 -0.1 0.1 -0.1 -2.7 -0.0 -0.1 0.0 -0.1 0.0 -0.0 0.9 0.0 -0.3 0.2 0.2 -0.2 -0.7 0.4 -0.3 ROBUSTA -0.1 -0.2 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 -0.2 0.5 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.0 0.1 -0.1 0.5 -0.1 -2.5 -0.0 -0.1 0.2 -0.1 0.4 -0.1 1.1 -0.4 0.4 0.0 -0.1 -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 -0.2 -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 -0.0 -0.4 -0.3 0.3 -0.4 -0.4 -0.7 -0.6 SHATZ -0.3 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.1 -0.1 0.0 -0.4 -0.0 1.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.0 0.5 0.3 0.2 0.1 -0.7 -0.7 -0.7 -0.7 SILVER-mini -0.5 -0.3 -0.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.2 -0.0 -0.2 0.9 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.5 -0.5 0.1 0.1 -0.6 -0.7 -0.2 -0.7 SMI -0.1 -0.1 -0.3 -0.1 -0.1 -0.1 -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 -0.1 -0.2 -0.0 -0.2 0.8 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.6 -0.1 0.6 0.6 0.1 -0.2 -0.5 -0.3 -0.4 SOFR -0.3 -0.3 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.1 -0.3 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.1 -0.3 -0.2 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.3 0.2 0.1 -0.0 -0.7 -0.7 -0.3 -0.2 SOYBEAN -0.5 -0.1 0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.2 -0.1 0.1 -0.1 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 0.2 0.6 -0.6 0.0 -0.5 0.3 SOYMEAL -0.5 -0.1 -0.1 -0.0 -0.0 -0.1 -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 -0.1 -0.0 -0.1 0.0 -0.1 -2.7 -0.0 -0.0 0.0 -0.1 0.1 -0.1 1.1 -0.2 -0.2 0.0 0.3 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.6 -0.5 0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 0.0 -0.1 0.0 0.3 0.2 0.3 0.3 -0.1 0.0 -0.2 0.1 -0.2 -2.7 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.9 -0.4 -0.6 -0.1 0.4 -0.1 0.2 0.6 0.7 SP400 -0.6 -0.6 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 -0.2 -1.5 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.3 -0.2 0.4 -0.2 -0.4 -0.6 -0.7 SP500_micro -0.6 -0.6 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 0.2 -0.2 0.3 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 0.0 -0.2 0.2 -0.2 -2.3 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.4 0.1 -0.3 -0.1 0.5 -0.2 -0.4 -0.4 -0.6 SUGAR11 -0.2 0.4 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.4 -0.1 0.6 0.1 0.1 0.4 0.2 0.2 0.2 0.2 0.2 -0.1 0.5 0.1 -2.7 0.0 -0.0 0.2 -0.0 0.4 0.0 0.7 -0.4 0.4 0.6 0.1 -0.7 -0.7 0.3 0.0 US10 -0.4 -0.3 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -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 -0.0 0.0 -0.1 -0.7 -0.7 0.2 -0.0 US10U -0.5 -0.4 -0.5 -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 -0.2 -0.2 -0.2 -0.4 -0.2 -0.4 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 -0.1 -0.0 -0.2 -0.7 -0.7 0.5 0.6 US2 -0.0 0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 -0.0 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.0 -0.5 -0.1 1.3 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.5 0.4 0.2 -0.1 -0.7 -0.7 -0.7 -0.7 US20 -0.5 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.2 -0.3 -0.2 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.2 -0.1 -0.2 -0.5 -0.7 0.7 0.7 US30 -0.5 -0.3 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -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 -0.1 -0.0 -0.1 -0.4 -0.7 0.7 0.7 US5 -0.2 -0.2 -0.5 -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 -0.4 -0.1 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.9 0.3 0.2 0.1 -0.1 -0.7 -0.7 -0.1 -0.6 VIX 1.0 0.7 0.1 -0.0 0.1 -0.4 0.1 -0.7 0.1 0.1 -0.9 0.3 -1.2 0.1 -0.1 -0.4 -0.6 -0.6 -0.6 -0.1 -0.3 0.2 -0.9 0.1 NaN -0.0 0.1 -0.4 0.2 -0.8 0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.1 -0.6 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 -0.0 -0.5 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 -0.0 -0.4 -0.1 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.2 0.2 -0.3 -0.3 -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 3.9 -5.2 -9.0 -3.5 -3.1 -0.4 -5.3 1.3 -5.3 -3.7 -14.5 -6.8 -9.9 -11.3 -14.6 -3.7 -2.9 -3.4 -3.2 -11.8 -12.0 -8.5 -10.7 -9.5 3.3 -5.0 -2.4 -4.7 -4.3 -3.9 -4.5 -1.4 3.8 5.9 -0.3 -15.5 -9.3 -20.0 -5.6 3.7 BITCOIN 9.7 -10.7 -6.9 -5.6 -14.8 -2.4 -13.6 -0.0 -9.3 12.7 3.0 17.4 4.9 -4.9 -13.3 -5.4 -4.4 -5.9 -5.5 -6.6 -4.3 9.9 -1.0 2.2 -20.0 -3.7 4.9 -3.5 5.7 -0.9 1.4 -1.1 20.0 20.0 -1.0 3.7 -5.8 20.0 -4.5 20.0 BOBL -9.3 -1.4 0.3 -2.6 -1.9 -2.0 -3.2 -1.8 -3.2 3.8 -5.9 -3.2 -7.6 -5.7 -6.4 5.3 -7.0 -8.1 -10.2 -6.2 -5.9 -3.8 -8.4 -6.4 9.4 -2.7 0.5 -2.1 -1.9 -2.6 -3.0 -11.2 11.8 6.8 5.3 4.0 -20.0 -20.0 -17.4 -16.3 BTP -19.5 -15.5 -5.1 -3.7 -2.7 -2.8 -4.4 -2.5 -4.4 -7.9 -3.1 -10.0 -0.7 -10.9 -9.9 5.5 7.5 5.5 6.1 -12.5 -6.1 -16.0 -4.3 -17.1 -6.2 -3.7 -2.7 -1.6 -4.7 -0.8 -5.1 15.8 -4.2 -0.3 0.8 7.2 -12.3 -20.0 -0.1 9.6 BUND -12.3 -4.9 -0.8 -2.6 -1.9 -2.0 -3.2 -1.8 -3.2 -2.5 -7.1 -6.0 -8.1 -7.2 -7.6 -1.9 6.7 1.5 3.9 -7.9 -6.5 -7.9 -8.3 -9.3 5.9 -2.8 -0.9 -2.0 -3.0 -2.1 -3.5 13.2 3.6 3.4 3.4 3.5 -20.0 -20.0 -18.7 -1.8 BUXL -16.8 -9.7 -2.2 -2.9 -2.1 -2.2 -3.5 -1.9 -3.5 -4.9 -8.9 -7.6 -9.3 -8.6 -8.8 0.3 0.9 0.5 0.9 -12.1 -9.7 -13.3 -11.2 -14.5 1.2 -3.2 -1.8 -2.2 -3.6 -2.0 -3.9 5.8 -4.6 -2.3 -1.4 1.7 -20.0 -20.0 -9.3 19.6 CAC -11.7 -12.7 -8.9 -5.7 -7.8 -2.2 -9.3 0.6 -8.2 -16.8 2.6 -20.0 17.6 -20.0 -16.5 -7.2 -2.2 -6.5 -4.7 -15.5 -3.4 -20.0 11.2 -20.0 -5.3 -6.0 -8.3 -1.4 -10.9 3.3 -9.5 4.6 -3.3 14.5 12.0 8.8 17.5 1.4 20.0 7.1 CAD 3.6 -9.9 -5.8 -5.3 -4.6 -0.6 -7.9 1.9 -7.8 -18.6 -7.2 -15.8 -12.6 -14.5 -16.5 -2.5 -2.1 -2.4 -2.3 -14.7 -10.1 -20.0 -8.4 -18.7 1.6 -5.8 -13.4 -3.7 -12.2 -2.5 -7.8 0.0 -20.0 10.7 -2.8 -14.8 -20.0 -20.0 -20.0 -19.3 CANOLA -20.0 -20.0 16.7 -2.7 -2.9 -1.8 -4.0 -1.9 -4.0 -6.8 2.9 -10.6 -3.3 -11.0 -1.5 -11.0 7.6 -5.6 1.6 -12.0 -2.2 -16.1 -1.9 -20.0 -20.0 -2.5 -3.0 -0.8 -4.7 -1.2 -4.7 5.1 -13.2 -20.0 -11.0 12.1 -8.5 1.8 11.0 14.4 CHF -20.0 -20.0 -7.8 -4.9 -4.3 -0.5 -7.3 1.7 -7.3 -4.3 -7.4 -16.6 9.0 -20.0 -19.2 -17.3 -14.2 -16.3 -15.2 -20.0 -12.5 -20.0 1.8 -20.0 -10.1 -6.6 -0.5 -2.5 -5.7 0.2 -8.3 -20.0 -14.5 -20.0 -20.0 -13.5 -20.0 -20.0 -20.0 -20.0 COCOA -20.0 -13.4 4.6 -4.3 -4.6 -2.8 -6.3 -3.0 -6.3 -14.5 14.9 -15.6 16.7 -8.0 5.8 -2.5 -2.3 -3.5 -2.9 4.5 18.2 -17.2 20.0 -10.5 -12.4 1.7 -5.0 7.8 -6.2 10.3 -4.1 -8.0 -20.0 -9.1 13.5 20.0 1.3 -8.6 19.0 2.4 COFFEE 2.8 1.0 -14.7 -4.8 -5.2 -3.1 -7.0 -3.3 -7.1 -17.8 -17.5 -18.0 -14.7 -16.7 -19.2 -2.9 1.4 -1.9 -0.1 -15.6 -18.2 -17.1 -17.9 -14.5 -20.0 -6.0 -7.9 -5.2 -7.7 -3.8 -6.6 -2.3 -20.0 8.6 -8.4 -20.0 -20.0 -20.0 -20.0 -10.5 COPPER -12.4 -6.0 -4.1 -4.1 -10.9 -1.7 -10.1 -0.0 -6.8 -16.0 -12.2 -16.3 -3.7 -15.5 -13.7 -5.5 -3.0 -5.3 -4.3 -13.1 -9.6 -20.0 -7.3 -17.7 -5.9 -4.8 -11.0 -3.2 -9.6 -2.4 -7.3 1.1 12.2 -6.0 -3.1 2.8 5.4 -20.0 9.9 -20.0 CORN 5.8 -7.9 -19.1 -3.5 -3.8 -2.3 -5.1 -2.4 -5.1 11.8 -13.8 10.1 -13.1 -2.5 -14.2 -5.1 2.5 -6.1 -3.0 -9.3 -14.8 5.7 -14.0 -0.9 -13.4 -2.4 5.8 -4.3 3.5 -5.6 0.3 -3.9 20.0 16.1 3.5 -3.2 -5.6 2.1 1.7 8.2 COTTON2 -2.7 3.6 13.3 -4.3 -4.7 -2.8 -6.3 -3.0 -6.4 -6.2 12.6 -1.4 -8.6 2.0 12.4 -3.2 4.9 0.9 2.6 6.9 8.0 -2.7 1.9 2.2 -20.0 5.6 -4.9 6.0 -1.2 4.1 2.6 2.3 10.2 19.8 20.0 12.0 -17.3 -16.0 9.3 10.7 CRUDE_W -18.7 6.9 20.0 4.9 -13.2 5.8 -7.4 3.9 -0.5 -19.7 18.4 -11.6 5.1 7.4 17.8 20.0 12.1 19.6 14.5 20.0 20.0 -20.0 13.5 2.6 -6.4 6.2 -15.2 6.7 -7.3 5.1 1.1 -20.0 2.4 14.4 6.8 1.1 20.0 10.8 20.0 8.1 DAX -15.2 -16.5 -12.9 -5.3 -7.3 -2.0 -8.7 0.5 -7.7 -17.6 -4.7 -19.4 14.4 -19.8 -19.1 -10.2 -7.7 -9.6 -8.9 -20.0 -8.4 -20.0 5.6 -20.0 18.7 -6.6 -7.0 -2.9 -9.3 0.7 -8.9 -3.9 -8.9 -1.6 2.1 -7.7 20.0 0.5 20.0 9.2 DOW -20.0 -20.0 -0.5 -4.6 -6.3 -1.7 -7.4 0.4 -6.6 -12.5 1.6 -16.5 10.3 -16.8 -11.5 -11.7 -8.6 -11.5 -10.5 -17.9 -4.4 -20.0 2.7 -20.0 -10.3 -4.2 -6.7 -0.4 -8.8 1.6 -7.7 -6.1 -15.8 -10.1 -7.2 15.5 -14.1 -7.2 -20.0 -7.9 DX 9.9 20.0 12.6 -4.9 -4.3 -0.5 -7.4 1.8 -7.3 6.9 16.8 15.8 -6.8 20.0 20.0 7.5 5.6 7.1 6.3 20.0 19.7 20.0 9.5 20.0 -20.0 7.5 2.3 4.8 6.0 2.8 7.9 14.0 20.0 20.0 20.0 20.0 1.8 7.8 5.3 20.0 EUR -11.4 -20.0 -9.8 -3.9 -3.4 -0.4 -5.8 1.4 -5.7 -5.3 -12.0 -12.6 5.8 -15.9 -16.6 -6.9 -6.9 -6.8 -6.7 -19.9 -11.3 -15.0 -4.2 -20.0 13.1 -5.7 -1.1 -3.1 -4.5 -1.1 -6.3 -7.8 -5.1 -13.3 -18.1 -12.9 -8.3 -18.5 -4.5 -3.0 EURIBOR-ICE -6.3 3.1 3.4 -2.5 -1.8 -1.9 -3.0 -1.7 -3.0 5.5 -4.3 -1.1 -6.9 -3.7 -2.0 -8.1 -8.0 -8.9 -8.9 -3.1 -3.9 -0.9 -7.6 -3.0 17.3 -1.9 2.1 -2.0 -0.8 -3.9 -2.0 -10.9 16.5 11.3 9.7 6.2 -20.0 -20.0 14.1 14.2 EUROSTX -10.0 -14.3 -11.6 -5.2 -7.1 -1.9 -8.4 0.5 -7.4 -14.1 -0.4 -17.5 14.9 -18.8 -18.3 -5.7 -1.8 -5.3 -4.1 -15.5 -4.7 -19.8 8.4 -20.0 5.4 -6.2 -5.8 -2.3 -8.2 2.1 -8.2 5.4 5.2 12.4 8.1 0.8 15.0 3.4 20.0 13.5 FEEDCOW -20.0 -11.2 8.7 -4.9 -5.3 -3.2 -7.2 -3.4 -7.3 -19.0 18.9 -16.9 19.9 -2.1 13.4 -11.5 -20.0 -12.9 -20.0 13.6 20.0 -20.0 20.0 -7.1 -1.2 5.0 -9.4 8.7 -7.5 10.1 -1.1 -20.0 -20.0 20.0 20.0 20.0 12.0 -6.8 20.0 3.3 GASOIL -19.0 2.5 20.0 3.8 -10.3 4.5 -5.8 3.0 -0.4 -15.2 14.9 -6.1 6.7 4.6 15.2 20.0 20.0 20.0 20.0 19.5 20.0 -20.0 15.1 2.8 10.3 5.2 -10.5 5.8 -4.8 3.8 0.9 0.0 -8.7 15.7 8.2 18.4 -17.6 2.2 -20.0 -3.8 GASOLINE -20.0 -10.4 16.4 4.7 -12.7 5.6 -7.1 3.7 -0.5 -19.5 15.9 -20.0 6.9 -14.3 10.4 20.0 20.0 20.0 20.0 3.4 17.0 -20.0 19.0 -20.0 -20.0 0.9 -17.6 5.5 -14.1 6.9 -6.9 20.0 -20.0 -20.0 -20.0 -9.0 20.0 11.2 20.0 5.0 GAS_US_mini 2.2 -0.5 15.9 5.4 -14.6 6.4 -8.2 4.3 -0.6 18.6 -20.0 5.5 -20.0 -17.1 -17.7 -20.0 -20.0 -20.0 -20.0 -9.0 -20.0 8.5 -20.0 -3.2 20.0 -1.1 20.0 -2.4 7.9 -5.2 0.8 -20.0 20.0 17.4 -20.0 -20.0 -1.8 5.8 -9.2 0.2 GBP -18.6 -20.0 -8.4 -4.8 -4.2 -0.5 -7.2 1.7 -7.1 2.0 -2.8 -15.7 10.4 -19.8 -19.1 -0.7 -0.7 -0.3 -0.4 -20.0 -9.5 -18.5 0.6 -20.0 -0.2 -6.6 -0.2 -2.6 -5.2 -0.5 -7.9 2.8 -0.9 -20.0 -20.0 -13.9 -2.7 11.7 2.9 20.0 GOLD_micro -20.0 -12.4 -18.9 -5.4 -14.4 -2.3 -13.3 -0.0 -9.0 -20.0 -16.3 -20.0 2.4 -20.0 -20.0 -19.4 -14.5 -18.6 -16.8 -20.0 -20.0 -20.0 -6.6 -20.0 -10.0 -6.3 -12.3 -3.0 -14.5 -0.4 -10.7 -19.6 -20.0 -20.0 -20.0 -15.4 -12.3 -20.0 -6.8 -20.0 HEATOIL -20.0 0.5 20.0 4.5 -12.1 5.3 -6.8 3.5 -0.5 -18.4 15.8 -12.7 6.2 0.7 15.9 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 17.6 -1.7 -20.0 5.1 -13.8 7.3 -7.6 6.1 -1.1 0.7 -7.2 2.1 -6.1 20.0 4.5 -2.2 -1.0 -5.9 JGB-SGX-mini -13.1 -15.0 -20.0 -3.7 -2.7 -2.8 -4.5 -2.5 -4.4 -8.9 -0.5 -11.2 4.5 -11.6 -11.9 20.0 20.0 17.3 17.2 -13.0 -6.9 -15.2 0.2 -14.7 -0.9 -4.0 -4.4 -2.3 -5.1 -1.0 -4.7 20.0 4.6 3.6 7.3 2.8 -8.6 -11.5 10.7 10.0 JPY -3.1 -12.3 -17.6 -3.6 -3.1 -0.4 -5.3 1.3 -5.3 3.2 -16.7 -9.9 -15.6 -14.3 -16.4 -18.9 -14.9 -17.7 -16.5 -20.0 -20.0 -6.9 -20.0 -15.9 20.0 -6.1 1.0 -6.5 -1.9 -6.4 -4.4 -20.0 6.4 -2.0 -11.1 -20.0 -5.4 -20.0 -2.6 -20.0 LEANHOG -9.0 2.0 17.1 -2.3 -2.5 -1.5 -3.3 -1.6 -3.4 -3.1 -1.5 -6.8 -4.1 -5.8 -1.3 20.0 20.0 20.0 20.0 -2.7 -3.0 -6.4 -5.7 -5.2 9.9 -2.3 -0.8 -3.8 -3.5 -6.2 -3.0 20.0 -8.2 1.7 -0.5 -1.4 -8.9 -0.9 13.9 20.0 LIVECOW -8.4 -8.9 4.6 -5.3 -5.7 -3.5 -7.7 -3.7 -7.8 -20.0 20.0 -14.0 20.0 3.3 14.9 -20.0 -3.1 -20.0 -7.9 13.5 20.0 -18.7 20.0 -1.3 1.4 6.2 -9.8 11.1 -6.7 13.1 -0.1 -9.9 -20.0 20.0 20.0 20.0 -20.0 -20.0 -19.4 -19.3 LUMBER-new -0.2 -8.4 -5.6 -5.6 -6.0 -3.4 -8.1 -3.0 -8.2 -13.6 -20.0 -9.9 -20.0 -18.0 -20.0 -15.9 -14.1 -15.8 -14.8 -16.7 -17.1 -8.7 -14.6 -12.1 NaN -7.2 -6.5 -6.4 -4.2 -4.5 -5.5 -20.0 16.2 10.9 4.8 -16.1 -13.0 -20.0 -4.5 -20.0 MILK -20.0 1.5 15.4 -3.3 -3.6 -2.2 -4.9 -2.3 -4.9 -6.2 -6.0 -12.7 -11.5 -12.0 0.7 -18.6 -20.0 -20.0 -20.0 -8.9 -11.4 -14.0 -19.5 -14.8 1.0 -3.3 -1.6 -4.5 -4.1 -6.6 -4.5 -20.0 -2.8 -18.7 1.6 -15.6 -20.0 -20.0 -16.3 -20.0 MXP -13.6 -20.0 -19.5 -3.1 -2.7 -0.3 -4.6 1.1 -4.6 -12.3 9.2 -12.1 12.8 -10.1 -4.3 13.6 17.1 15.4 16.3 -4.9 5.8 -20.0 14.4 -14.1 -20.0 -2.0 -9.7 2.4 -8.3 5.8 -5.7 20.0 -20.0 -2.8 2.1 5.0 20.0 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-20.0 -20.0 -6.9 -20.0 16.0 -20.0 7.8 NaN -2.4 7.9 -9.6 9.1 -14.4 4.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 1.7 -18.2 -11.3 -3.0 -3.2 -1.9 -4.3 -2.1 -4.4 6.8 -12.0 -0.9 -12.9 -10.1 -12.4 -11.1 -9.9 -11.3 -10.9 -13.7 -15.0 -1.9 -15.2 -8.6 -4.2 -3.9 1.7 -3.8 -0.7 -3.6 -2.8 -20.0 10.2 5.4 -10.0 -7.7 -20.0 -13.9 -20.0 -10.0 End of report for caleb_strategy_v3