******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231010_204320 produced at 2023-10-10 21:39:24.960381 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 0.09 0.00 -1.09 0.0 0.00 0.00 0.00 0.00 -12.60 11.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.30 -0.19 0.0 0.65 -0.65 -0.30 -0.30 -3.82 13.0 -6 -6 caleb_strategy_v3 US2 False True 0.07 0.00 -0.19 0.0 0.00 0.00 0.00 0.00 -2.64 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.18 0.0 0.11 -0.11 -0.11 -0.11 -28.41 17.0 -17 -17 caleb_strategy_v3 GOLD_micro False False 0.01 -0.09 -0.17 0.0 0.38 -0.38 -0.09 -0.10 -25.13 56.0 -13 -15 caleb_strategy_v3 COPPER False False 0.03 -0.16 -0.16 0.0 0.20 -0.20 -0.16 -0.20 -4.89 6.0 -5 -6 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.15 0.0 0.00 0.00 0.00 0.00 -3.70 24.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.05 -0.13 0.0 0.77 -0.77 -0.05 -0.03 -4.95 29.0 -2 -1 caleb_strategy_v3 JPY False False 0.03 -0.12 -0.11 0.0 0.52 -0.52 -0.12 -0.09 -3.56 17.0 -4 -3 caleb_strategy_v3 US5 False False 0.04 -0.15 -0.09 0.0 0.95 -0.95 -0.15 -0.15 -2.26 25.0 -4 -4 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.08 0.0 0.40 -0.40 -0.01 -0.01 -13.64 66.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.08 0.0 0.22 -0.22 -0.03 -0.01 -24.50 68.0 -8 -4 caleb_strategy_v3 EUR False False 0.05 -0.38 -0.08 0.0 0.67 -0.67 -0.38 -0.38 -1.75 14.0 -8 -8 caleb_strategy_v3 SP400 False False 0.09 -0.18 -0.08 0.0 0.18 -0.18 -0.18 -0.18 -0.92 2.0 -2 -2 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.07 0.0 0.38 -0.38 0.00 0.00 -8.29 48.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -4.41 5.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.66 -0.66 0.00 0.00 -1.38 17.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.00 -0.05 0.0 0.42 -0.42 0.00 0.00 -1.13 10.0 0 0 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.05 0.0 0.44 -0.44 -0.02 -0.02 -1.95 19.0 -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 -7.71 3.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.04 0.0 0.00 -0.00 0.00 0.00 -1.78 0.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.04 0.0 0.19 -0.19 0.00 0.00 -11.32 51.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.04 -0.04 0.0 0.52 -0.52 -0.04 0.00 -0.89 13.0 -1 0 caleb_strategy_v3 GBP False False 0.03 0.00 -0.04 0.0 0.61 -0.61 0.00 0.00 -1.61 22.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.03 -0.03 0.0 0.25 -0.25 -0.03 -0.01 -2.99 23.0 -3 -1 caleb_strategy_v3 PALLAD False False 0.04 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -0.61 2.0 -1 -1 caleb_strategy_v3 MXP False False 0.01 0.02 -0.03 0.0 0.59 -0.59 0.02 0.01 -3.11 60.0 2 1 caleb_strategy_v3 LIVECOW False False 0.03 -0.03 -0.03 0.0 0.45 -0.45 -0.03 0.00 -1.10 17.0 -1 0 caleb_strategy_v3 CORN False False 0.01 0.00 -0.03 0.0 0.11 -0.11 0.00 -0.01 -3.04 12.0 0 -1 caleb_strategy_v3 BOBL False False 0.04 -0.04 -0.03 0.0 0.84 -0.84 -0.04 0.00 -0.68 19.0 -1 0 caleb_strategy_v3 COFFEE False False 0.02 -0.04 -0.02 0.0 0.12 -0.12 -0.04 -0.04 -1.14 6.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 -0.04 -0.02 0.0 0.10 -0.10 -0.04 -0.04 -1.94 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 -2.73 2.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.02 0.0 0.11 -0.11 -0.02 -0.02 -1.95 9.0 -2 -2 caleb_strategy_v3 US20 False False 0.04 -0.12 -0.02 0.0 0.36 -0.36 -0.12 -0.08 -0.56 9.0 -3 -2 caleb_strategy_v3 US30 False False 0.04 -0.08 -0.02 0.0 0.25 -0.25 -0.08 -0.08 -0.40 6.0 -2 -2 caleb_strategy_v3 BITCOIN False False 0.00 -0.03 -0.02 0.0 0.06 -0.06 -0.03 -0.03 -15.29 59.0 -33 -33 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.49 -0.49 0.00 0.00 -0.23 10.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.14 -0.01 0.0 0.19 -0.19 -0.14 -0.14 -0.19 4.0 -3 -3 caleb_strategy_v3 COTTON2 False False 0.02 -0.02 -0.01 0.0 0.17 -0.17 -0.02 -0.03 -0.53 11.0 -1 -2 caleb_strategy_v3 OAT False False 0.05 0.00 -0.01 0.0 0.47 -0.47 0.00 0.00 -0.17 10.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -1.08 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.34 7.0 -1 -1 caleb_strategy_v3 PLAT False False 0.02 -0.06 -0.01 0.0 0.16 -0.16 -0.06 -0.06 -0.59 10.0 -4 -4 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -1.22 4.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.05 0.05 -0.01 0.0 0.36 -0.36 0.05 0.00 -0.18 8.0 1 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.01 -0.01 0.0 0.11 -0.11 -0.01 -0.01 -0.45 10.0 -1 -1 caleb_strategy_v3 CAC False True 0.03 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.10 12.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.00 -0.00 0.0 0.33 -0.33 0.00 0.00 -0.16 26.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.00 -0.00 0.0 0.39 -0.39 0.00 0.00 -0.03 9.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.02 3.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 -0.00 0.0 0.09 -0.09 -0.01 -0.01 -0.32 26.0 -4 -3 caleb_strategy_v3 DAX False False 0.01 0.00 0.00 0.0 0.34 -0.34 0.00 0.00 0.84 58.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.07 4.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 -0.00 0.0 0.19 -0.19 0.01 0.00 -0.46 23.0 1 0 caleb_strategy_v3 NZD False False 0.02 0.00 0.01 0.0 0.46 -0.46 0.00 0.00 0.65 21.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.02 0.0 0.19 -0.19 0.00 0.00 1.85 18.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.06 0.02 0.0 0.32 -0.32 0.06 0.08 1.14 20.0 4 5 caleb_strategy_v3 NIKKEI False False 0.01 0.04 0.03 0.0 0.27 -0.27 0.04 0.05 3.93 36.0 6 7 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.03 0.0 0.12 -0.12 0.00 0.00 1.07 4.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.04 0.04 0.0 0.14 -0.14 0.04 0.03 4.00 13.0 4 3 caleb_strategy_v3 OJ False False 0.02 0.00 0.06 0.0 0.06 -0.06 0.00 0.00 2.84 3.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.08 0.0 0.14 -0.14 0.05 0.08 2.79 5.0 2 3 caleb_strategy_v3 DX False False 0.04 0.00 0.12 0.0 37901758.06 -37901758.06 0.00 0.00 3.20 999999999.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.53 0.22 0.0 0.56 -0.56 0.53 0.53 6.17 16.0 15 15 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.18 0.31 0.0 0.92 -0.92 0.18 0.37 3.34 10.0 2 4 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 12.8 Shocked risk 28.1 Sum abs risk 45.2 Leverage 4.61 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2785754.68, 'annual_cash_vol_target': 696438.67, 'daily_cash_vol_target': 43527.416875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6440 0.6559 10.4944 BITCOIN 678.8972 27510.0000 2.4678 39.4851 BOBL 0.3054 116.2000 0.2628 4.2049 BTP 0.7047 109.9500 0.6409 10.2545 BUND 0.6343 129.1200 0.4913 7.8601 BUXL 1.4394 122.2600 1.1773 18.8373 CAC 55.9307 7128.0000 0.7847 12.5546 CAD 0.0029 0.7367 0.3989 6.3822 CANOLA 7.2832 710.7000 1.0248 16.3967 CHF 0.0047 1.1131 0.4251 6.8010 COCOA 44.6783 3496.0000 1.2780 20.4477 COFFEE 2.3794 148.4000 1.6034 25.6541 COPPER 0.0395 3.6250 1.0894 17.4300 CORN 5.8536 515.0000 1.1366 18.1860 COTTON2 1.0724 85.4500 1.2550 20.0808 CRUDE_W 1.4590 75.5700 1.9307 30.8913 DAX 121.6558 15499.0000 0.7849 12.5588 DOW 206.7146 33935.0000 0.6091 9.7464 DX 0.3822 105.5850 0.3620 5.7919 EUR 0.0050 1.0627 0.4743 7.5890 EURIBOR-ICE 0.0561 97.0650 0.0578 0.9254 EUROSTX 38.7436 4205.0000 0.9214 14.7419 FEEDCOW 1.7914 252.0250 0.7108 11.3731 GASOIL 15.8421 838.2500 1.8899 30.2384 GASOLINE 0.0411 2.2143 1.8558 29.6935 GAS_US_mini 0.0868 3.6650 2.3691 37.9050 GBP 0.0064 1.2281 0.5177 8.2830 GOLD_micro 11.8169 1872.8000 0.6310 10.0956 HEATOIL 0.0483 2.8330 1.7062 27.3000 JGB-SGX-mini 0.2051 145.1600 0.1413 2.2606 JPY 0.0000 0.0068 0.5443 8.7093 LEANHOG 1.4679 75.7750 1.9371 30.9944 LIVECOW 1.2394 185.0000 0.6699 10.7190 LUMBER-new 8.3543 505.0000 1.6543 26.4691 MILK 0.2034 17.5500 1.1589 18.5430 MXP 0.0005 0.0549 0.8875 14.2003 NASDAQ_micro 138.1558 15292.2500 0.9034 14.4550 NIKKEI 309.3805 31020.0000 0.9974 15.9577 NZD 0.0037 0.6038 0.6179 9.8857 OAT 0.6456 123.4800 0.5228 8.3649 OATIES 7.0639 431.0000 1.6390 26.2233 OJ 4.3709 362.6000 1.2054 19.2868 PALLAD 21.0782 1172.0000 1.7985 28.7757 PLAT 13.3384 887.2000 1.5034 24.0548 REDWHEAT 11.8987 680.7500 1.7479 27.9662 RICE 0.1642 16.4100 1.0004 16.0069 ROBUSTA 27.6145 2249.0000 1.2279 19.6457 RUSSELL 17.1180 1794.4000 0.9540 15.2635 SHATZ 0.0856 105.2000 0.0814 1.3020 SILVER-mini 0.3493 22.1500 1.5770 25.2325 SMI 76.4392 11016.0000 0.6939 11.1023 SOFR 0.0739 96.0050 0.0770 1.2324 SOYBEAN 11.1743 1251.5000 0.8929 14.2859 SOYMEAL 4.6680 373.5000 1.2498 19.9969 SOYOIL 0.7901 52.8700 1.4945 23.9121 SP400 21.2769 2518.6000 0.8448 13.5166 SP500_micro 31.3255 4395.5000 0.7127 11.4028 SUGAR11 0.3294 25.8600 1.2739 20.3830 US10 0.4420 107.6875 0.4105 6.5679 US10U 0.6145 110.7500 0.5549 8.8776 US2 0.1103 101.4805 0.1086 1.7384 US20 0.9222 111.9375 0.8238 13.1810 US30 1.3519 116.2188 1.1633 18.6125 US5 0.2851 105.3359 0.2706 4.3299 VIX 0.5322 18.0500 2.9484 47.1748 WHEAT 10.4405 659.5000 1.5831 25.3295 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 644.00 0.66 422.40 1.00 422.40 43527.42 103.05 -7.30 -75.27 BITCOIN 27.51 2.47 67.89 1.00 67.89 43527.42 641.15 -2.20 -141.19 BOBL 1162.00 0.26 305.38 1.06 322.27 43527.42 135.07 -4.94 -66.76 BTP 1099.50 0.64 704.68 1.06 743.65 43527.42 58.53 -5.66 -33.11 BUND 1291.20 0.49 634.31 1.06 669.39 43527.42 65.03 -3.46 -22.49 BUXL 1222.60 1.18 1439.40 1.06 1519.00 43527.42 28.66 -6.68 -19.13 CAC 712.80 0.78 559.31 1.06 590.24 43527.42 73.75 -0.38 -2.80 CAD 736.70 0.40 293.86 1.00 293.86 43527.42 148.12 -12.88 -190.71 CANOLA 142.14 1.02 145.66 0.73 106.70 43527.42 407.93 -11.40 -465.14 CHF 1391.38 0.43 591.42 1.00 591.42 43527.42 73.60 -20.00 -147.20 COCOA 349.60 1.28 446.78 1.00 446.78 43527.42 97.42 -0.79 -7.66 COFFEE 556.50 1.60 892.28 1.00 892.28 43527.42 48.78 -20.00 -97.56 COPPER 906.25 1.09 987.25 1.00 987.25 43527.42 44.09 -10.24 -45.16 CORN 257.50 1.14 292.68 1.00 292.68 43527.42 148.72 -8.40 -124.88 COTTON2 427.25 1.26 536.22 1.00 536.22 43527.42 81.17 -3.06 -24.87 CRUDE_W 755.70 1.93 1459.04 1.00 1459.04 43527.42 29.83 8.63 25.74 DAX 154.99 0.78 121.66 1.06 128.38 43527.42 339.04 0.73 24.73 DOW 169.68 0.61 103.36 1.00 103.36 43527.42 421.14 -13.94 -586.94 DX 1055.85 0.36 382.21 1.00 382.21 43527.42 113.88 10.83 123.32 EUR 1328.31 0.47 630.04 1.00 630.04 43527.42 69.09 -9.77 -67.53 EURIBOR-ICE 2426.62 0.06 140.35 1.06 148.11 43527.42 293.88 3.34 98.02 EUROSTX 420.50 0.92 387.44 1.06 408.86 43527.42 106.46 3.14 33.42 FEEDCOW 1260.12 0.71 895.72 1.00 895.72 43527.42 48.59 -1.09 -5.32 GASOIL 838.25 1.89 1584.21 1.00 1584.21 43527.42 27.48 8.99 24.70 GASOLINE 930.01 1.86 1725.94 1.00 1725.94 43527.42 25.22 -0.64 -1.62 GAS_US_mini 91.62 2.37 217.07 1.00 217.07 43527.42 200.53 -0.15 -2.97 GBP 767.56 0.52 397.36 1.00 397.36 43527.42 109.54 -5.65 -61.87 GOLD_micro 187.28 0.63 118.17 1.00 118.17 43527.42 368.35 -20.00 -736.70 HEATOIL 1189.86 1.71 2030.20 1.00 2030.20 43527.42 21.44 0.26 0.56 JGB-SGX-mini 145160.00 0.14 20509.61 0.01 137.49 43527.42 316.58 1.80 56.95 JPY 849.62 0.54 462.48 1.00 462.48 43527.42 94.12 -14.59 -137.29 LEANHOG 303.10 1.94 587.15 1.00 587.15 43527.42 74.13 8.87 65.79 LIVECOW 740.00 0.67 495.75 1.00 495.75 43527.42 87.80 -3.80 -33.34 LUMBER-new 138.88 1.65 229.74 1.00 229.74 43527.42 189.46 -19.15 -362.79 MILK 351.00 1.16 406.79 1.00 406.79 43527.42 107.00 -19.24 -205.84 MXP 274.65 0.89 243.76 1.00 243.76 43527.42 178.57 -1.19 -21.21 NASDAQ_micro 305.85 0.90 276.31 1.00 276.31 43527.42 157.53 -8.17 -128.70 NIKKEI 31020.00 1.00 30938.05 0.01 207.82 43527.42 209.44 1.73 36.26 NZD 603.80 0.62 373.06 1.00 373.06 43527.42 116.68 2.14 24.95 OAT 1234.80 0.52 645.56 1.06 681.26 43527.42 63.89 -0.79 -5.02 OATIES 215.50 1.64 353.19 1.00 353.19 43527.42 123.24 -9.12 -112.41 OJ 543.90 1.21 655.63 1.00 655.63 43527.42 66.39 20.00 132.78 PALLAD 1172.00 1.80 2107.82 1.00 2107.82 43527.42 20.65 -8.70 -17.97 PLAT 443.60 1.50 666.92 1.00 666.92 43527.42 65.27 -2.64 -17.26 REDWHEAT 340.38 1.75 594.94 1.00 594.94 43527.42 73.16 -20.00 -146.33 RICE 328.20 1.00 328.34 1.00 328.34 43527.42 132.57 -3.79 -50.29 ROBUSTA 224.90 1.23 276.14 1.00 276.14 43527.42 157.63 -2.48 -39.13 RUSSELL 89.72 0.95 85.59 1.00 85.59 43527.42 508.56 -14.54 -739.40 SHATZ 1052.00 0.08 85.61 1.06 90.34 43527.42 481.81 -7.58 -365.17 SILVER-mini 553.75 1.58 873.28 1.00 873.28 43527.42 49.84 -10.46 -52.13 SMI 1101.60 0.69 764.39 1.10 840.07 43527.42 51.81 -0.19 -0.99 SOFR 2400.12 0.08 184.86 1.00 184.86 43527.42 235.46 -8.80 -207.26 SOYBEAN 625.75 0.89 558.71 1.00 558.71 43527.42 77.91 -4.64 -36.17 SOYMEAL 373.50 1.25 466.80 1.00 466.80 43527.42 93.25 -12.41 -115.69 SOYOIL 317.22 1.49 474.09 1.00 474.09 43527.42 91.81 -5.29 -48.52 SP400 2518.60 0.84 2127.69 1.00 2127.69 43527.42 20.46 -13.50 -27.61 SP500_micro 219.78 0.71 156.63 1.00 156.63 43527.42 277.90 -12.84 -356.89 SUGAR11 289.63 1.27 368.97 1.00 368.97 43527.42 117.97 7.39 87.12 US10 1076.88 0.41 442.05 1.00 442.05 43527.42 98.47 -11.04 -108.74 US10U 1107.50 0.55 614.50 1.00 614.50 43527.42 70.83 -9.93 -70.36 US2 2029.61 0.11 220.51 1.00 220.51 43527.42 197.39 -10.54 -207.98 US20 1119.38 0.82 922.15 1.00 922.15 43527.42 47.20 -9.40 -44.37 US30 1162.19 1.16 1351.95 1.00 1351.95 43527.42 32.20 -9.76 -31.43 US5 1053.36 0.27 285.06 1.00 285.06 43527.42 152.70 -11.67 -178.14 VIX 180.50 2.95 532.19 1.00 532.19 43527.42 81.79 -14.07 -115.10 WHEAT 329.75 1.58 522.03 1.00 522.03 43527.42 83.38 -17.64 -147.11 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -75.273 0.010 2.5 -1.953 BITCOIN -141.194 0.043 2.5 -15.290 BOBL -66.756 0.004 2.5 -0.677 BTP -33.108 0.014 2.5 -1.129 BUND -22.485 0.004 2.5 -0.228 BUXL -19.129 0.004 2.5 -0.194 CAC -2.800 0.014 2.5 -0.096 CAD -190.712 0.010 2.5 -4.949 CANOLA -465.141 0.010 2.5 -11.317 CHF -147.197 0.010 2.5 -3.819 COCOA -7.661 0.009 2.5 -0.164 COFFEE -97.564 0.005 2.5 -1.139 COPPER -45.161 0.043 2.5 -4.891 CORN -124.879 0.010 2.5 -3.038 COTTON2 -24.866 0.009 2.5 -0.533 CRUDE_W 25.739 0.043 2.5 2.787 DAX 24.729 0.014 2.5 0.844 DOW -586.941 0.009 2.5 -13.641 DX 123.319 0.010 2.5 3.200 EUR -67.525 0.010 2.5 -1.752 EURIBOR-ICE 98.023 0.014 2.5 3.344 EUROSTX 33.423 0.014 2.5 1.140 FEEDCOW -5.319 0.013 2.5 -0.176 GASOIL 24.695 0.017 2.5 1.071 GASOLINE -1.616 0.017 2.5 -0.070 GAS_US_mini -2.970 0.043 2.5 -0.322 GBP -61.865 0.010 2.5 -1.605 GOLD_micro -736.696 0.014 2.5 -25.129 HEATOIL 0.556 0.017 2.5 0.024 JGB-SGX-mini 56.950 0.043 2.5 6.167 JPY -137.293 0.010 2.5 -3.562 LEANHOG 65.785 0.024 2.5 3.998 LIVECOW -33.344 0.013 2.5 -1.105 LUMBER-new -362.789 0.009 2.5 -7.712 MILK -205.840 0.009 2.5 -4.409 MXP -21.207 0.059 2.5 -3.113 NASDAQ_micro -128.696 0.009 2.5 -2.991 NIKKEI 36.261 0.043 2.5 3.927 NZD 24.949 0.010 2.5 0.647 OAT -5.023 0.014 2.5 -0.171 OATIES -112.410 0.010 2.5 -2.735 OJ 132.780 0.009 2.5 2.844 PALLAD -17.970 0.014 2.5 -0.613 PLAT -17.261 0.014 2.5 -0.589 REDWHEAT -146.326 0.005 2.5 -1.941 RICE -50.290 0.010 2.5 -1.224 ROBUSTA -39.126 0.005 2.5 -0.457 RUSSELL -739.401 0.013 2.5 -24.503 SHATZ -365.174 0.004 2.5 -3.703 SILVER-mini -52.133 0.014 2.5 -1.778 SMI -0.993 0.014 2.5 -0.034 SOFR -207.261 0.024 2.5 -12.597 SOYBEAN -36.172 0.004 2.5 -0.336 SOYMEAL -115.690 0.004 2.5 -1.076 SOYOIL -48.525 0.004 2.5 -0.452 SP400 -27.613 0.013 2.5 -0.915 SP500_micro -356.888 0.009 2.5 -8.295 SUGAR11 87.121 0.009 2.5 1.853 US10 -108.741 0.005 2.5 -1.378 US10U -70.359 0.005 2.5 -0.892 US2 -207.978 0.005 2.5 -2.636 US20 -44.371 0.005 2.5 -0.562 US30 -31.433 0.005 2.5 -0.398 US5 -178.143 0.005 2.5 -2.258 VIX -115.104 0.099 2.5 -28.414 WHEAT -147.109 0.005 2.5 -1.952 ===================== Position diags ===================== AUD 2.67 BITCOIN 69.43 BOBL 1.37 BTP 2.00 BUND 0.66 BUXL 0.29 CAC 2.52 CAD 3.84 CANOLA 9.93 CHF 1.91 COCOA 2.09 COFFEE 0.57 COPPER 4.77 CORN 3.62 COTTON2 1.74 CRUDE_W 3.23 DAX 11.56 DOW 9.79 DX 2.95 EUR 1.79 EURIBOR-ICE 10.02 EUROSTX 3.63 FEEDCOW 1.61 GASOIL 1.19 GASOLINE 1.09 GAS_US_mini 21.72 GBP 2.84 GOLD_micro 12.56 HEATOIL 0.93 JGB-SGX-mini 34.28 JPY 2.44 LEANHOG 4.51 LIVECOW 2.91 LUMBER-new 4.03 MILK 2.29 MXP 26.21 NASDAQ_micro 3.66 NIKKEI 22.68 NZD 3.03 OAT 2.18 OATIES 3.00 OJ 1.42 PALLAD 0.70 PLAT 2.23 REDWHEAT 0.97 RICE 3.23 ROBUSTA 1.84 RUSSELL 16.85 SHATZ 4.89 SILVER-mini 1.70 SMI 1.77 SOFR 14.31 SOYBEAN 0.72 SOYMEAL 0.87 SOYOIL 0.85 SP400 0.68 SP500_micro 6.46 SUGAR11 2.51 US10 1.25 US10U 0.90 US2 2.50 US20 0.60 US30 0.41 US5 1.94 VIX 20.19 WHEAT 1.11 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.0 -2.2 -1.7 -1.0 -1 BITCOIN -15.3 -22.2 -8.3 -33.0 -33 BOBL -0.7 -0.8 -0.5 -1.0 -1 BTP -1.1 -1.3 -0.9 0.0 0 BUND -0.2 -0.3 -0.2 0.0 0 BUXL -0.2 -0.2 -0.2 -3.0 -3 CAC -0.1 -0.3 0.2 0.0 0 CAD -4.9 -5.3 -4.6 -2.0 -2 CANOLA -11.3 -12.3 -10.3 NaN 0 CHF -3.8 -4.0 -3.6 -6.0 -6 COCOA -0.2 -0.4 0.0 0.0 0 COFFEE -1.1 -1.2 -1.1 -2.0 -2 COPPER -4.9 -5.4 -4.4 -5.0 -5 CORN -3.0 -3.4 -2.7 0.0 0 COTTON2 -0.5 -0.7 -0.4 -1.0 -1 CRUDE_W 2.8 2.5 3.1 2.0 2 DAX 0.8 -0.3 2.0 0.0 0 DOW -13.6 -14.6 -12.7 -1.0 -1 DX 3.2 2.9 3.5 NaN 0 EUR -1.8 -1.9 -1.6 -8.0 -8 EURIBOR-ICE 3.3 2.3 4.3 2.0 2 EUROSTX 1.1 0.8 1.5 4.0 4 FEEDCOW -0.2 -0.3 -0.0 1.0 1 GASOIL 1.1 1.0 1.2 0.0 0 GASOLINE -0.1 -0.2 0.0 0.0 0 GAS_US_mini -0.3 -2.5 1.8 -4.0 -4 GBP -1.6 -1.9 -1.3 0.0 0 GOLD_micro -25.1 -26.4 -23.9 -13.0 -13 HEATOIL 0.0 -0.1 0.1 0.0 0 JGB-SGX-mini 6.2 2.7 9.6 15.0 15 JPY -3.6 -3.8 -3.3 -4.0 -4 LEANHOG 4.0 3.5 4.4 4.0 4 LIVECOW -1.1 -1.4 -0.8 -1.0 -1 LUMBER-new -7.7 -8.1 -7.3 NaN 0 MILK -4.4 -4.6 -4.2 NaN 0 MXP -3.1 -5.7 -0.5 2.0 2 NASDAQ_micro -3.0 -3.4 -2.6 -3.0 -3 NIKKEI 3.9 1.7 6.2 6.0 6 NZD 0.6 0.3 1.0 0.0 0 OAT -0.2 -0.4 0.0 0.0 0 OATIES -2.7 -3.0 -2.4 NaN 0 OJ 2.8 2.7 3.0 NaN 0 PALLAD -0.6 -0.7 -0.5 -1.0 -1 PLAT -0.6 -0.8 -0.4 -4.0 -4 REDWHEAT -1.9 -2.0 -1.8 -3.0 -3 RICE -1.2 -1.5 -0.9 NaN 0 ROBUSTA -0.5 -0.6 -0.3 1.0 1 RUSSELL -24.5 -26.2 -22.8 -8.0 -8 SHATZ -3.7 -4.2 -3.2 NaN 0 SILVER-mini -1.8 -1.9 -1.6 NaN 0 SMI -0.0 -0.2 0.1 0.0 0 SOFR -12.6 -14.0 -11.2 NaN 0 SOYBEAN -0.3 -0.4 -0.3 -1.0 -1 SOYMEAL -1.1 -1.2 -1.0 0.0 0 SOYOIL -0.5 -0.5 -0.4 -1.0 -1 SP400 -0.9 -1.0 -0.8 -2.0 -2 SP500_micro -8.3 -8.9 -7.6 0.0 0 SUGAR11 1.9 1.6 2.1 0.0 0 US10 -1.4 -1.5 -1.3 NaN 0 US10U -0.9 -1.0 -0.8 -1.0 -1 US2 -2.6 -2.9 -2.4 NaN 0 US20 -0.6 -0.6 -0.5 -3.0 -3 US30 -0.4 -0.4 -0.4 -2.0 -2 US5 -2.3 -2.5 -2.1 -4.0 -4 VIX -28.4 -30.4 -26.4 -17.0 -17 WHEAT -2.0 -2.1 -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 -0.1 -0.3 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.4 0.0 -0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.3 -0.1 0.4 -0.1 0.0 -0.1 0.0 -0.2 -0.0 -0.1 -0.0 0.1 0.0 -0.5 -0.3 -0.7 -0.2 0.1 BITCOIN 0.3 -0.2 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.1 0.1 0.1 0.2 -0.0 -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 0.0 -0.0 0.0 -0.1 0.5 0.6 -0.1 0.2 -0.2 0.7 -0.1 0.7 BOBL -0.1 -0.1 0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.0 -0.3 -0.0 -0.1 0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.0 -0.2 -0.0 1.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.5 0.3 0.3 0.2 0.2 -0.7 -0.7 -0.6 -0.5 BTP -0.6 -0.6 -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 -0.1 -0.8 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.8 0.2 0.0 0.0 0.2 -0.4 -0.7 -0.0 0.3 BUND -0.3 -0.2 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.0 0.1 0.0 0.1 -0.1 -0.1 -0.0 -0.2 -0.1 0.8 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.7 0.2 0.2 0.1 0.1 -0.7 -0.7 -0.6 -0.1 BUXL -0.5 -0.4 -0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.0 -0.3 -0.1 0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.3 0.1 -0.0 -0.0 0.0 -0.7 -0.7 -0.3 0.7 CAC -0.5 -0.4 -0.3 -0.1 0.0 -0.1 -0.0 0.0 -0.1 0.0 0.0 -0.2 0.6 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.0 -0.1 0.3 -0.2 -0.7 -0.1 0.0 -0.1 -0.0 0.1 -0.1 0.2 0.0 0.3 0.3 0.3 0.5 0.1 0.7 0.2 CAD 0.0 -0.2 -0.2 -0.1 0.1 -0.0 -0.0 0.1 -0.1 0.0 -0.2 -0.1 -0.5 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.2 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.5 0.2 -0.1 -0.5 -0.7 -0.7 -0.7 -0.7 CANOLA -0.6 -0.6 0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.0 -0.2 0.1 -0.1 0.0 -0.2 -0.0 -0.2 -0.1 -0.2 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.3 -0.1 -0.6 -0.4 0.3 -0.3 0.0 0.4 0.5 CHF -0.5 -0.6 -0.3 -0.0 0.1 -0.0 -0.0 0.1 -0.0 0.2 -0.2 -0.1 0.3 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.0 0.0 -0.2 -1.3 -0.1 0.0 -0.1 -0.0 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 -0.5 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.4 -0.1 0.6 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.2 -0.1 0.5 -0.1 -1.7 0.0 0.0 0.2 -0.0 0.4 -0.0 -0.4 0.1 -0.4 0.5 0.6 0.1 -0.3 0.7 0.1 COFFEE -0.2 -0.0 -0.5 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.5 -0.2 -0.6 -0.2 -0.2 -0.1 0.0 -0.0 -0.0 -0.2 -0.2 -0.1 -0.5 -0.2 -2.7 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.1 -0.0 0.2 -0.2 -0.6 -0.7 -0.7 -0.7 -0.4 COPPER -0.4 -0.2 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.8 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.3 -0.2 -0.0 0.1 0.2 -0.7 0.3 -0.7 CORN 0.3 -0.2 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.4 0.1 -0.5 0.0 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.4 0.0 -1.9 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.2 0.4 0.6 0.2 -0.2 -0.2 0.1 0.1 0.3 COTTON2 -0.1 0.1 0.4 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 -0.1 -0.3 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.1 0.1 -0.1 0.1 -0.0 -2.7 0.1 -0.1 0.2 -0.0 0.2 0.0 0.1 -0.1 0.4 0.6 0.5 -0.6 -0.5 0.3 0.3 CRUDE_W -0.6 0.1 0.6 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.4 -0.1 0.2 0.0 0.1 0.4 0.2 0.4 0.3 0.1 0.2 -0.1 0.3 -0.0 -0.7 0.0 -0.0 0.2 -0.0 0.2 -0.0 -1.1 0.0 0.5 0.3 0.0 0.7 0.4 0.7 0.3 DAX -0.5 -0.5 -0.5 -0.1 0.0 -0.1 -0.0 0.0 -0.1 0.1 -0.2 -0.1 0.5 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 0.1 -0.2 2.4 -0.1 0.0 -0.1 -0.0 0.0 -0.1 -0.2 0.0 -0.1 0.0 -0.2 0.6 0.0 0.7 0.3 DOW -0.6 -0.6 -0.1 -0.0 0.0 -0.1 -0.0 0.0 -0.1 0.1 0.0 -0.1 0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 0.0 -0.2 -1.3 -0.0 0.0 -0.0 -0.0 0.1 -0.1 -0.3 -0.1 -0.3 -0.3 0.5 -0.5 -0.2 -0.7 -0.3 DX 0.2 0.6 0.5 -0.0 0.1 -0.0 -0.0 0.1 -0.0 -0.1 0.5 0.1 -0.2 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.3 0.2 -2.7 0.1 -0.0 0.1 0.0 0.1 0.1 0.7 -0.0 0.6 0.6 0.6 0.1 0.3 0.2 0.7 EUR -0.2 -0.6 -0.4 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.3 -0.1 0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -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 -0.2 -0.1 EURIBOR-ICE -0.0 0.1 0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.0 -0.1 -0.2 -0.2 -0.2 -0.0 -0.0 0.0 -0.2 0.0 2.3 -0.0 0.1 -0.0 0.0 -0.1 0.0 -0.6 0.4 0.5 0.4 0.3 -0.7 -0.7 0.4 0.5 EUROSTX -0.3 -0.4 -0.4 -0.1 0.0 -0.1 -0.0 0.0 -0.1 0.1 -0.0 -0.1 0.5 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 0.2 -0.2 0.7 -0.1 0.0 -0.1 -0.0 0.1 -0.1 0.3 0.2 0.3 0.2 0.0 0.5 0.1 0.7 0.5 FEEDCOW -0.6 -0.4 0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 0.5 -0.2 0.7 -0.1 0.1 -0.2 -0.4 -0.3 -0.4 0.1 0.2 -0.2 0.5 -0.2 -0.2 0.0 -0.1 0.2 -0.1 0.4 -0.0 -1.1 -0.5 -0.2 0.6 0.6 0.4 -0.2 0.7 0.1 GASOIL -0.6 -0.0 0.6 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.3 -0.1 0.2 -0.0 0.1 0.4 0.4 0.4 0.4 0.2 0.2 -0.1 0.4 -0.0 1.2 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.0 0.3 0.2 0.5 -0.5 0.1 -0.7 -0.1 GASOLINE -0.6 -0.5 0.4 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.4 -0.2 0.2 -0.2 0.1 0.4 0.4 0.4 0.4 -0.0 0.1 -0.2 0.4 -0.2 -2.7 -0.0 -0.0 0.1 -0.1 0.2 -0.1 1.1 -0.5 -0.6 -0.6 -0.4 0.7 0.4 0.7 0.2 GAS_US_mini 0.3 0.1 0.5 0.0 -0.0 0.2 -0.1 0.2 -0.0 0.2 -0.5 0.2 -0.7 0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.0 -0.2 0.2 -0.5 0.1 2.7 0.0 0.2 -0.0 0.2 -0.1 0.1 -1.1 0.5 0.6 -0.5 -0.6 -0.1 0.2 -0.3 0.0 GBP -0.4 -0.6 -0.3 -0.0 0.1 -0.0 -0.0 0.1 -0.0 0.2 -0.1 -0.1 0.4 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.0 -0.0 -0.2 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.2 0.2 -0.6 -0.6 -0.5 -0.1 0.4 0.1 0.7 GOLD_micro -0.6 -0.3 -0.6 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.4 -0.1 0.1 -0.2 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.2 -0.2 -0.2 -1.2 -0.1 0.0 -0.1 -0.1 -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 -0.1 0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.4 -0.1 0.2 -0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 -0.2 0.4 -0.1 -2.7 0.0 -0.1 0.2 -0.1 0.2 -0.0 0.0 -0.3 -0.1 -0.2 0.6 0.2 -0.1 -0.0 -0.2 JGB-SGX-mini -0.3 -0.5 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 0.2 -0.1 -0.1 0.4 0.4 0.3 0.3 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 1.1 0.2 0.2 0.2 0.1 -0.2 -0.4 0.4 0.3 JPY 0.0 -0.4 -0.6 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.5 -0.1 -0.6 -0.1 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.0 -0.5 -0.1 2.7 -0.1 0.0 -0.2 -0.0 -0.2 -0.0 -1.1 -0.1 -0.2 -0.3 -0.6 -0.2 -0.7 -0.1 -0.7 LEANHOG -0.3 0.1 0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.4 0.4 0.4 0.4 -0.0 -0.0 -0.0 -0.2 -0.0 1.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 1.1 0.1 0.0 0.1 -0.0 -0.3 -0.0 0.5 0.7 LIVECOW -0.6 -0.3 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 0.5 -0.2 0.7 -0.0 0.1 -0.4 -0.1 -0.4 -0.2 0.1 0.2 -0.2 0.5 -0.1 0.2 0.1 -0.1 0.3 -0.1 0.5 -0.0 -0.6 -0.5 0.4 0.6 0.6 -0.7 -0.7 -0.6 -0.6 LUMBER-new 0.0 -0.3 -0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.6 -0.2 -0.7 -0.2 -0.2 -0.3 -0.3 -0.4 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 NaN -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -1.2 0.3 0.3 0.1 -0.5 -0.5 -0.8 -0.2 -0.8 MILK -0.6 -0.0 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -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 -0.1 0.2 -0.0 0.0 -0.1 -0.0 -0.3 -0.0 -1.1 0.2 -0.5 0.0 -0.4 -0.7 -0.7 -0.6 -0.7 MXP -0.6 -0.6 -0.6 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.1 0.2 -0.1 0.4 -0.1 -0.1 0.3 0.3 0.3 0.3 -0.1 0.0 -0.1 0.3 -0.2 -2.7 -0.0 -0.0 0.0 -0.1 0.2 -0.1 1.1 -0.5 -0.4 -0.1 0.1 0.7 0.3 0.7 0.7 NASDAQ_micro -0.5 -0.4 -0.3 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 0.2 -0.0 0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 0.0 0.3 -0.0 -2.7 -0.0 0.1 0.1 0.0 0.2 -0.0 -0.3 0.5 0.2 0.3 0.4 -0.0 -0.5 -0.1 -0.6 NIKKEI -0.6 -0.5 -0.3 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 0.3 -0.1 0.5 -0.1 -0.0 0.1 0.2 0.2 0.2 -0.1 0.1 -0.2 0.5 -0.2 -1.1 -0.0 -0.1 0.1 -0.1 0.2 -0.1 1.1 -0.5 -0.0 0.5 0.4 0.0 0.1 -0.1 0.4 NZD 0.5 -0.0 -0.3 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.4 0.1 -0.1 0.1 -0.1 -0.0 0.0 -0.0 0.0 -0.1 -0.1 0.1 -0.3 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.2 0.3 0.6 0.3 -0.3 0.0 -0.5 0.2 0.3 OAT -0.4 -0.2 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 -0.0 -0.3 -0.1 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.0 -0.2 -0.1 1.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.9 0.2 0.1 0.1 0.1 -0.7 -0.7 -0.2 0.3 OATIES -0.6 -0.6 0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 -0.0 -0.3 -0.1 -0.3 -0.3 -0.1 0.1 -0.1 0.2 -0.2 -2.7 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -1.1 -0.1 -0.6 0.2 0.5 0.3 0.4 0.7 0.7 OJ 0.6 0.6 0.6 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.3 0.1 0.4 0.1 1.1 0.5 0.6 0.6 0.6 0.1 0.2 0.6 0.7 PALLAD -0.1 0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.5 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.5 -0.1 0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 0.1 -0.1 0.0 -0.0 -0.3 -0.4 -0.2 0.1 -0.1 PLAT -0.2 -0.0 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.3 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 1.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 0.3 -0.1 -0.0 -0.6 0.3 -0.5 REDWHEAT -0.3 -0.6 -0.5 -0.0 -0.0 -0.1 -0.0 -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 -2.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -0.3 -0.2 -0.4 -0.6 -0.7 -0.7 -0.6 -0.3 RICE -0.3 -0.0 0.4 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.2 -0.0 0.1 -0.1 0.1 -0.4 0.2 -0.2 0.1 0.0 0.1 -0.0 0.1 -0.0 -2.7 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.8 0.0 0.4 0.2 0.2 -0.2 -0.7 0.4 -0.3 ROBUSTA -0.5 -0.3 0.0 -0.1 -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 -0.1 0.1 -0.2 0.5 -0.2 -2.6 -0.0 -0.1 0.1 -0.1 0.3 -0.1 1.1 -0.5 0.0 -0.1 -0.3 -0.0 -0.4 0.7 -0.1 RUSSELL -0.6 -0.6 -0.1 -0.0 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 -0.1 -0.2 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.2 -0.4 -0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.1 0.0 -0.3 -0.2 0.3 -0.4 -0.4 -0.7 -0.6 SHATZ 0.1 -0.1 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.0 -0.3 -0.0 -0.0 -0.4 -0.2 -0.4 -0.4 -0.1 -0.1 0.1 -0.3 -0.0 1.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 0.5 0.5 0.3 0.2 -0.7 -0.7 -0.7 -0.7 SILVER-mini -0.5 -0.4 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 0.8 -0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.2 -0.3 -0.3 0.1 0.1 -0.5 -0.7 -0.2 -0.7 SMI -0.2 -0.1 -0.3 -0.1 0.0 -0.1 -0.0 0.0 -0.1 0.1 -0.0 -0.1 0.2 -0.1 -0.1 0.1 0.0 0.0 0.0 -0.1 -0.1 -0.0 -0.0 -0.1 0.8 -0.0 0.1 -0.1 -0.0 -0.1 -0.1 0.6 -0.1 0.6 0.5 0.1 -0.2 -0.5 -0.3 -0.4 SOFR -0.1 -0.2 -0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.3 -0.0 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.2 0.2 0.1 0.0 -0.7 -0.7 -0.3 -0.2 SOYBEAN -0.5 -0.2 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.2 -0.2 0.1 -0.1 -0.0 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 -0.0 0.0 -0.0 1.1 0.0 -0.2 0.2 0.5 -0.6 -0.0 -0.5 0.2 SOYMEAL -0.5 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 0.0 -0.1 -0.1 0.2 0.3 0.2 0.3 -0.1 -0.1 -0.1 -0.0 -0.1 -2.7 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 1.1 -0.3 -0.3 0.0 0.3 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.6 -0.6 0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -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 -0.5 -0.6 -0.3 0.2 -0.1 0.2 0.6 0.7 SP400 -0.6 -0.6 -0.1 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.0 -0.2 -1.5 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 0.0 -0.2 -0.2 0.4 -0.2 -0.4 -0.6 -0.7 SP500_micro -0.6 -0.6 -0.2 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 0.1 -0.1 0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 0.0 -0.0 0.2 -0.2 -2.3 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.4 0.3 -0.2 -0.0 0.5 -0.2 -0.4 -0.3 -0.6 SUGAR11 -0.4 0.4 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.5 0.0 0.6 0.1 0.2 0.4 0.3 0.2 0.2 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.1 0.2 0.0 0.4 0.0 0.9 0.5 0.6 0.6 0.2 -0.7 -0.7 0.2 0.0 US10 -0.2 -0.2 -0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.1 -0.1 -0.0 -0.3 -0.1 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 -0.3 -0.3 -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 0.0 -0.0 0.0 -0.0 -0.2 -0.2 -0.1 -0.4 -0.2 -0.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.0 -0.1 -0.1 -0.2 -0.7 -0.7 0.5 0.5 US2 0.3 0.3 -0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.0 -0.3 -0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.0 -0.5 -0.0 1.2 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -1.1 0.4 0.4 0.3 -0.0 -0.7 -0.7 -0.7 -0.7 US20 -0.5 -0.4 -0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.3 -0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.3 -0.2 -0.2 -0.5 -0.7 0.7 0.7 US30 -0.5 -0.4 -0.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.3 -0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.3 -0.1 -0.2 -0.4 -0.7 0.7 0.7 US5 -0.0 -0.1 -0.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.3 -0.0 -0.3 -0.1 -0.1 -0.3 -0.2 -0.3 -0.3 -0.1 -0.1 -0.0 -0.3 -0.1 0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.9 0.3 0.2 0.1 -0.0 -0.7 -0.7 -0.2 -0.6 VIX 1.0 0.6 0.3 -0.0 -0.1 -0.3 0.0 -0.7 0.1 -0.2 -0.8 0.1 -1.2 0.1 -0.1 -0.4 -0.6 -0.6 -0.6 -0.1 -0.3 0.0 -0.9 0.1 NaN -0.0 -0.1 -0.4 0.0 -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 0.0 -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 0.1 0.2 -0.2 -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 4.4 -4.3 -10.5 -3.2 4.6 -0.5 -0.0 1.2 -3.3 10.0 -14.0 2.6 -10.0 -5.3 -13.6 -3.6 -3.0 -3.4 -3.2 -10.6 -12.0 0.7 -11.0 -5.7 3.3 -4.7 3.9 -4.8 0.1 -4.2 -2.8 -1.4 -1.5 4.6 0.6 -15.5 -9.2 -20.0 -5.1 3.8 BITCOIN 10.1 -7.1 -7.8 -6.0 -0.9 -2.8 -6.7 -0.3 -8.0 8.3 3.2 13.8 5.4 -1.2 -12.1 -5.3 -4.4 -5.8 -5.4 -4.7 -3.7 7.4 -1.0 3.7 -20.0 -2.7 0.7 -3.3 4.5 -1.0 2.4 -1.1 20.0 20.0 -2.2 6.9 -5.0 20.0 -3.8 20.0 BOBL -3.6 -2.6 1.9 -2.5 0.4 -2.0 -1.5 -1.8 -2.6 6.0 -5.6 1.6 -7.5 -3.1 -4.9 6.4 -6.6 -6.4 -9.2 -4.8 -5.4 2.8 -7.9 -2.6 9.1 -2.3 3.5 -2.1 1.0 -2.7 -1.5 -10.2 14.0 9.6 6.9 5.3 -20.0 -20.0 -16.6 -16.3 BTP -17.7 -17.1 -5.7 -3.6 0.6 -2.8 -2.1 -2.5 -3.6 5.6 -4.1 -7.9 -1.0 -10.0 -9.9 5.9 7.5 5.7 6.2 -12.2 -6.7 -7.1 -4.6 -13.7 -6.1 -3.6 1.4 -1.8 -2.2 -0.9 -4.1 15.7 6.7 0.1 0.2 5.7 -12.5 -20.0 -0.4 9.1 BUND -9.0 -6.4 0.1 -2.6 0.4 -2.0 -1.5 -1.8 -2.6 5.9 -6.8 -2.5 -7.9 -5.4 -6.7 -1.9 6.4 1.2 3.6 -6.9 -6.3 -0.6 -8.1 -5.8 5.8 -2.6 2.2 -2.0 -0.4 -2.1 -2.4 12.7 9.0 5.2 4.4 4.0 -20.0 -20.0 -18.8 -1.8 BUXL -14.5 -11.6 -1.6 -2.8 0.4 -2.2 -1.7 -1.9 -2.8 5.9 -8.6 -4.8 -9.1 -7.0 -8.1 0.1 0.9 0.5 0.9 -11.4 -9.7 -4.6 -11.1 -10.9 1.2 -3.0 1.1 -2.3 -1.3 -2.0 -3.0 5.6 6.0 -1.1 -0.9 1.3 -20.0 -20.0 -9.5 20.0 CAC -14.2 -13.0 -9.8 -5.7 3.7 -2.5 -3.2 0.3 -6.4 4.9 0.9 -16.1 17.2 -18.2 -17.1 -7.1 -2.3 -6.5 -4.8 -15.4 -4.5 -11.3 9.8 -18.8 -5.4 -6.2 3.3 -1.9 -4.6 2.9 -7.7 4.4 0.4 8.0 9.0 8.2 16.3 1.8 20.0 7.5 CAD 1.1 -7.3 -6.5 -4.8 6.8 -0.7 -0.0 1.8 -4.8 2.2 -8.0 -5.7 -12.6 -8.8 -15.9 -2.5 -2.1 -2.4 -2.3 -13.2 -9.9 -6.7 -8.4 -12.4 1.6 -5.8 3.7 -4.0 -3.4 -2.8 -5.7 0.0 -20.0 5.5 -3.0 -15.5 -20.0 -20.0 -20.0 -19.8 CANOLA -20.0 -20.0 12.8 -3.0 -2.5 -2.0 -3.4 -2.0 -4.0 -10.7 2.5 -11.7 -3.5 -12.0 -3.5 -10.6 7.3 -5.9 1.2 -14.2 -3.6 -17.5 -2.5 -20.0 -20.0 -2.7 -2.5 -1.0 -4.5 -1.3 -4.8 5.0 -4.2 -20.0 -12.5 9.9 -8.2 1.2 11.4 13.6 CHF -16.1 -20.0 -8.8 -4.4 6.3 -0.7 -0.0 1.7 -4.5 18.5 -8.4 -6.3 8.2 -15.3 -17.8 -17.3 -14.3 -16.4 -15.3 -20.0 -13.0 -1.7 0.9 -20.0 -9.8 -6.2 4.5 -2.8 -0.6 0.0 -5.7 -20.0 13.2 -20.0 -20.0 -12.1 -20.0 -20.0 -20.0 -20.0 COCOA -20.0 -15.3 1.6 -4.6 -3.8 -3.1 -5.2 -3.0 -6.0 6.0 14.4 -13.1 16.6 -10.0 4.2 -2.6 -2.3 -3.5 -2.9 3.4 17.3 -7.1 20.0 -8.2 -12.7 1.3 1.5 7.8 -2.7 10.9 -3.4 -7.6 5.3 -11.0 14.5 20.0 2.0 -8.1 19.6 3.0 COFFEE -5.2 -0.3 -14.1 -5.2 -4.3 -3.5 -6.0 -3.5 -6.9 -4.5 -18.5 -17.9 -15.4 -17.8 -20.0 -3.0 1.3 -2.0 -0.3 -17.0 -19.7 -11.8 -19.4 -14.6 -20.0 -6.5 -1.2 -5.6 -5.1 -4.2 -6.4 -2.1 -1.5 7.5 -4.8 -20.0 -20.0 -20.0 -20.0 -10.6 COPPER -12.6 -6.6 -4.4 -4.2 -0.6 -2.0 -4.8 -0.2 -5.6 -3.7 -12.3 -10.2 -3.9 -12.4 -13.3 -5.6 -3.1 -5.3 -4.3 -12.4 -9.6 -9.9 -7.3 -13.8 -5.6 -4.8 -0.9 -3.4 -4.4 -2.6 -5.9 1.1 12.3 -5.9 -1.3 2.3 4.8 -20.0 8.9 -20.0 CORN 9.0 -6.5 -18.9 -3.9 -3.2 -2.6 -4.5 -2.6 -5.1 4.8 -14.6 8.9 -13.9 0.0 -14.8 -4.7 2.4 -5.9 -3.1 -8.7 -15.6 4.0 -15.4 0.2 -14.3 -1.8 0.3 -4.3 2.3 -5.9 0.8 -3.6 16.9 17.7 7.1 -6.0 -5.9 1.6 1.9 7.8 COTTON2 -4.1 2.1 12.5 -4.8 -4.0 -3.2 -5.5 -3.2 -6.3 -15.0 12.9 -8.5 -8.7 -0.9 12.3 -4.5 4.6 -0.0 2.0 5.5 7.7 -7.4 2.0 -0.9 -20.0 4.8 -9.3 6.1 -4.5 4.4 0.5 2.1 -5.7 11.6 19.2 14.9 -17.6 -15.9 9.2 10.3 CRUDE_W -20.0 4.4 20.0 3.0 -3.5 4.6 -5.4 3.3 -2.0 -5.8 14.5 -8.5 4.7 2.4 12.9 20.0 12.3 19.8 14.8 12.6 15.6 -12.8 10.8 -1.8 -5.4 4.3 -2.1 5.6 -4.5 4.5 -0.6 -20.0 0.8 15.3 8.0 1.4 20.0 10.6 20.0 8.1 DAX -14.4 -15.2 -13.9 -5.2 3.4 -2.3 -2.9 0.3 -5.8 6.7 -6.4 -13.5 13.5 -16.6 -18.2 -10.0 -7.7 -9.6 -8.9 -18.7 -8.5 -11.0 3.9 -20.0 18.2 -6.4 3.0 -3.2 -3.7 0.3 -7.0 -4.0 0.5 -3.6 0.9 -7.7 18.7 0.8 20.0 9.5 DOW -20.0 -20.0 -2.3 -4.5 2.9 -2.0 -2.5 0.2 -5.0 12.0 0.4 -9.6 9.7 -12.7 -11.2 -11.4 -8.7 -11.4 -10.5 -16.5 -5.3 -9.7 1.8 -20.0 -10.0 -4.2 2.9 -0.7 -2.8 1.4 -5.7 -6.2 -5.7 -10.3 -8.1 14.2 -14.1 -7.2 -20.0 -8.0 DX 5.5 20.0 14.6 -4.5 6.3 -0.7 -0.0 1.7 -4.5 -16.6 16.8 8.0 -6.2 16.9 20.0 7.4 5.7 7.1 6.4 20.0 20.0 6.8 10.4 20.0 -20.0 7.3 -2.7 5.0 2.0 3.0 6.2 14.1 -0.5 20.0 20.0 20.0 2.3 7.8 5.7 20.0 EUR -7.4 -20.0 -11.3 -3.6 5.0 -0.5 -0.0 1.3 -3.6 13.3 -12.2 -6.0 5.3 -12.9 -15.6 -6.8 -6.9 -6.8 -6.7 -18.5 -11.8 -4.0 -4.8 -15.4 13.0 -5.5 1.9 -3.3 -1.4 -1.3 -4.8 -7.8 -4.1 -13.3 -18.3 -13.0 -8.6 -18.2 -5.2 -3.3 EURIBOR-ICE -1.4 1.6 4.6 -2.5 0.4 -1.9 -1.5 -1.7 -2.5 6.7 -4.0 4.2 -6.8 -0.6 -0.5 -7.2 -8.0 -8.5 -8.7 -1.8 -3.4 5.2 -7.4 0.5 17.1 -1.2 5.7 -1.8 3.0 -3.8 0.1 -10.8 16.2 14.3 11.8 8.2 -20.0 -20.0 12.4 14.9 EUROSTX -9.8 -13.5 -12.6 -5.1 3.3 -2.2 -2.8 0.3 -5.7 8.8 -1.6 -11.9 14.3 -15.9 -17.7 -5.7 -1.9 -5.3 -4.1 -13.9 -5.2 -6.3 6.9 -14.4 5.3 -6.1 4.2 -2.6 -2.7 1.8 -6.3 5.2 6.5 10.1 6.8 1.2 13.7 3.7 19.7 13.7 FEEDCOW -20.0 -13.6 6.2 -5.2 -4.3 -3.5 -5.9 -3.4 -6.8 -18.3 17.3 -19.5 19.1 -8.2 10.3 -11.8 -20.0 -12.9 -20.0 7.7 20.0 -20.0 20.0 -14.9 -1.5 3.4 -6.6 8.3 -7.7 10.2 -3.1 -20.0 -20.0 -5.4 20.0 20.0 12.3 -6.2 20.0 4.0 GASOIL -20.0 -0.3 20.0 2.5 -2.9 3.8 -4.5 2.8 -1.6 -6.5 12.8 -7.2 6.2 -0.4 12.1 20.0 20.0 20.0 20.0 14.1 18.6 -15.4 13.9 -2.4 9.1 3.9 -3.4 5.2 -3.9 3.6 -0.5 0.0 1.2 9.9 6.3 15.8 -16.1 2.5 -19.7 -3.6 GASOLINE -20.0 -14.8 13.8 3.2 -3.7 4.9 -5.8 3.5 -2.1 -10.7 13.1 -16.1 6.4 -14.5 6.3 20.0 20.0 20.0 20.0 -2.2 12.6 -20.0 16.5 -20.0 -20.0 -0.8 -4.2 4.0 -8.9 5.7 -6.9 20.0 -20.0 -20.0 -20.0 -11.1 20.0 10.9 20.0 5.1 GAS_US_mini 10.2 3.2 16.9 4.0 -4.7 6.1 -7.2 4.4 -2.6 20.0 -20.0 19.3 -20.0 1.3 -11.1 -20.0 -20.0 -20.0 -20.0 -2.2 -17.2 20.0 -20.0 11.0 20.0 3.1 20.0 -0.4 18.5 -3.6 9.1 -20.0 20.0 20.0 -14.5 -20.0 -2.7 5.8 -9.9 0.2 GBP -12.0 -20.0 -10.7 -4.4 6.2 -0.7 -0.0 1.6 -4.4 18.4 -3.7 -6.7 9.9 -15.6 -18.0 -0.6 -0.7 -0.3 -0.4 -20.0 -10.1 -2.2 -0.1 -19.6 -0.0 -6.3 3.9 -2.9 -0.8 -0.7 -5.6 2.8 9.1 -20.0 -20.0 -14.8 -3.1 10.7 2.7 20.0 GOLD_micro -18.1 -10.8 -18.4 -5.4 -0.8 -2.6 -6.1 -0.3 -7.3 2.1 -16.0 -13.7 1.5 -17.1 -19.0 -18.8 -14.6 -18.5 -16.9 -20.0 -19.6 -20.0 -6.7 -20.0 -9.3 -6.2 2.1 -3.3 -5.6 -0.7 -8.1 -19.6 -20.0 -20.0 -19.6 -14.0 -10.9 -20.0 -5.9 -20.0 HEATOIL -20.0 -3.7 20.0 3.3 -5.9 4.7 -6.4 3.4 -1.8 -12.3 14.1 -13.8 5.9 -4.9 13.1 20.0 20.0 20.0 20.0 14.2 20.0 -20.0 16.4 -8.5 -20.0 3.6 -7.7 6.4 -7.7 5.7 -2.7 0.7 -10.5 -2.5 -7.3 19.5 5.3 -2.2 -1.1 -6.1 JGB-SGX-mini -8.8 -14.4 -20.0 -3.7 0.6 -2.9 -2.2 -2.6 -3.7 3.3 -1.1 -4.3 4.2 -9.2 -11.5 20.0 20.0 17.3 17.2 -12.3 -7.2 -4.6 -0.4 -11.1 -1.1 -4.0 2.5 -2.5 -1.6 -1.1 -3.7 20.0 6.8 7.7 6.8 1.7 -6.9 -12.2 11.0 10.5 JPY 0.2 -11.2 -20.0 -3.3 4.7 -0.5 -0.0 1.2 -3.3 7.6 -16.8 -7.9 -15.8 -13.4 -16.2 -19.0 -15.0 -17.9 -16.7 -20.0 -20.0 -4.5 -20.0 -13.4 20.0 -6.1 0.4 -6.8 -1.3 -6.8 -3.9 -20.0 -2.9 -6.0 -10.7 -20.0 -5.7 -20.0 -2.6 -20.0 LEANHOG -8.8 3.2 16.0 -2.4 -2.0 -1.6 -2.7 -1.6 -3.1 -1.3 -1.4 -4.2 -4.0 -4.5 -2.0 20.0 20.0 20.0 20.0 -2.6 -3.1 -2.5 -5.8 -3.7 9.7 -2.2 -0.2 -3.9 -1.4 -6.4 -2.2 20.0 3.9 0.7 2.3 -0.9 -8.2 -1.3 14.0 20.0 LIVECOW -17.0 -8.7 3.3 -5.6 -4.6 -3.8 -6.4 -3.7 -7.4 -19.8 19.7 -18.9 20.0 -1.9 12.0 -20.0 -3.7 -20.0 -8.8 9.5 20.0 -19.1 20.0 -6.6 1.1 4.9 -7.2 11.0 -7.0 13.6 -2.1 -10.7 -20.0 11.6 20.0 20.0 -20.0 -20.0 -17.5 -18.4 LUMBER-new 0.1 -8.8 -9.5 -5.8 -4.8 -3.7 -6.7 -3.0 -7.7 -10.0 -20.0 -12.5 -20.0 -18.9 -20.0 -15.0 -14.1 -15.5 -14.7 -16.6 -17.3 -8.2 -14.7 -12.4 NaN -7.3 -2.2 -6.6 -4.2 -4.7 -5.9 -20.0 9.5 7.9 2.5 -14.6 -12.4 -20.0 -3.9 -20.0 MILK -20.0 -1.5 8.8 -3.8 -3.1 -2.6 -4.4 -2.5 -5.0 4.0 -6.7 -11.3 -12.3 -12.6 0.2 -19.5 -20.0 -20.0 -20.0 -9.9 -12.9 -7.8 -20.0 -12.9 1.5 -3.7 0.2 -5.1 -2.2 -7.5 -3.9 -20.0 7.5 -16.2 0.6 -12.5 -20.0 -20.0 -17.2 -20.0 MXP -19.8 -20.0 -20.0 -2.7 3.9 -0.4 -0.0 1.0 -2.7 -7.2 7.8 -10.9 11.8 -10.6 -6.2 13.2 17.0 15.1 16.1 -7.1 3.8 -15.9 12.9 -14.9 -20.0 -2.6 -2.3 1.5 -5.5 4.8 -5.3 20.0 -20.0 -11.5 -3.8 2.8 20.0 9.5 20.0 20.0 NASDAQ_micro -16.4 -13.8 -8.5 -3.3 2.1 -1.4 -1.8 0.2 -3.7 11.1 7.5 -2.1 8.4 -5.1 -5.8 -9.6 -8.4 -9.9 -9.6 -3.5 5.9 4.9 11.3 -4.1 -20.0 -1.3 5.7 2.9 1.9 6.0 -1.6 -5.2 20.0 5.8 8.6 12.6 -1.0 -13.8 -4.4 -16.7 NIKKEI -20.0 -13.9 -7.9 -4.7 -1.0 -2.0 -4.9 0.3 -6.0 -5.7 12.3 -12.3 13.8 -8.8 -4.6 5.0 11.5 9.5 11.0 -4.9 8.9 -20.0 16.8 -17.4 -8.0 -2.0 -6.2 3.7 -9.3 6.7 -7.0 20.0 -20.0 -0.5 16.4 13.6 0.5 3.7 -2.2 11.6 NZD 15.2 -1.2 -9.7 -3.6 5.0 -0.5 -0.0 1.3 -3.6 14.9 -13.4 12.9 -2.4 5.6 -12.6 -0.2 0.3 -0.0 0.1 -5.3 -10.0 12.6 -9.9 4.3 0.6 -1.8 10.6 -3.9 7.4 -3.8 3.0 4.2 14.2 20.0 10.1 -8.5 1.5 -14.7 7.0 8.2 OAT -11.5 -7.6 -1.4 -2.8 0.4 -2.2 -1.7 -2.0 -2.8 6.6 -7.4 -4.1 -8.4 -6.6 -7.6 5.6 8.0 6.0 6.7 -8.0 -6.7 -2.2 -7.9 -7.5 7.9 -2.9 2.0 -2.1 -1.0 -2.1 -2.9 16.7 7.8 4.3 4.4 4.4 -20.0 -20.0 -5.9 7.6 OATIES -20.0 -20.0 16.4 -3.2 -2.6 -2.1 -3.6 -2.1 -4.2 -11.2 5.3 -11.2 -0.9 -10.8 -3.0 -16.4 -6.8 -16.8 -13.8 -5.2 6.8 -15.6 8.3 -15.5 -20.0 -1.1 -3.6 1.6 -3.6 1.8 -3.5 -20.0 -3.9 -20.0 4.8 16.7 7.9 13.3 20.0 20.0 OJ 19.8 20.0 20.0 -5.8 -4.8 -3.9 -6.7 -3.9 -7.7 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 20.0 20.0 -20.0 9.2 6.3 9.7 8.0 10.5 8.5 20.0 20.0 20.0 20.0 20.0 3.3 6.5 17.7 20.0 PALLAD -3.4 3.4 0.3 -3.2 -0.5 -1.5 -3.6 -0.1 -4.2 -8.0 -12.7 -9.7 -13.5 -9.4 -11.0 -3.3 -2.7 -3.0 -2.9 -10.0 -14.9 -14.1 -20.0 -11.5 0.6 -3.8 -3.7 -4.1 -6.4 -5.1 -5.1 2.5 -6.1 0.7 -1.4 -8.6 -10.6 -6.4 1.8 -2.3 PLAT -7.4 -0.6 -10.2 -3.1 -0.5 -1.5 -3.5 -0.1 -4.1 -2.2 -10.9 -8.1 -4.2 -9.7 -10.0 -3.9 -2.6 -3.6 -3.2 -9.8 -8.9 -8.4 -6.1 -10.5 12.9 -2.3 -0.7 -1.7 -3.7 -1.1 -3.7 2.5 -1.4 1.7 9.5 -1.7 -0.2 -17.7 8.2 -14.4 REDWHEAT -8.3 -17.0 -14.6 -3.8 -3.1 -2.5 -4.3 -2.5 -5.0 -4.1 -13.6 -10.1 -14.5 -12.4 -15.0 -4.4 0.7 -3.4 -1.3 -19.3 -16.7 -11.1 -12.3 -17.0 -14.7 -5.1 -1.8 -3.9 -3.5 -2.3 -5.0 -3.3 -12.9 -7.7 -13.2 -17.2 -20.0 -19.5 -19.2 -9.5 RICE -8.4 -1.3 11.3 -4.4 -3.7 -3.0 -5.1 -3.0 -5.9 -2.3 7.3 -2.6 4.0 -8.6 4.8 -19.2 11.3 -8.4 6.5 1.8 4.7 -2.9 3.7 -2.9 -20.0 -0.4 0.1 1.5 -1.3 1.4 -2.3 15.5 2.1 12.8 7.5 7.4 -6.3 -20.0 13.2 -8.9 ROBUSTA -15.2 -8.1 1.2 -4.6 -3.8 -3.1 -5.3 -3.1 -6.1 -16.0 10.8 -17.6 13.7 -12.3 -9.8 20.0 20.0 20.0 20.0 -4.9 10.0 -20.0 20.0 -16.0 -19.3 -2.6 -12.6 3.4 -11.6 8.1 -7.3 20.0 -20.0 0.8 -1.8 -7.9 -0.9 -12.5 20.0 -2.0 RUSSELL -19.4 -20.0 -3.6 -4.3 2.8 -1.9 -2.4 0.2 -4.8 3.7 -8.3 -10.3 -5.4 -14.2 -13.4 -8.2 -6.2 -8.1 -7.4 -20.0 -10.6 -10.1 -5.2 -20.0 -2.8 -4.5 2.7 -1.7 -2.7 0.0 -5.4 -1.3 0.6 -10.5 -7.7 8.4 -11.3 -11.7 -20.0 -19.4 SHATZ 3.3 -1.7 -0.5 -2.6 0.4 -2.0 -1.5 -1.8 -2.6 5.9 -7.1 4.1 -8.0 -1.9 -4.5 -20.0 -10.8 -20.0 -17.8 -4.7 -7.7 6.4 -12.4 -0.1 10.6 -1.8 4.4 -2.5 2.9 -3.8 0.1 -20.0 20.0 14.4 8.0 5.1 -20.0 -20.0 -20.0 -20.0 SILVER-mini -14.1 -11.6 -7.9 -3.3 -0.5 -1.6 -3.7 -0.2 -4.4 -0.4 -4.3 -7.0 2.0 -10.1 -10.1 -7.7 -6.3 -7.6 -7.0 -12.4 -6.7 -11.4 -1.9 -15.8 6.2 -2.9 0.4 -0.8 -4.0 0.2 -4.7 -4.1 -13.9 -10.1 2.2 3.2 -15.8 -20.0 -6.7 -20.0 SMI -6.6 -3.4 -9.5 -4.9 3.2 -2.2 -2.7 0.3 -5.5 8.8 -1.3 -10.3 4.7 -11.6 -13.7 4.3 1.5 1.3 0.4 -9.6 -6.2 -4.6 -1.7 -10.1 6.0 -4.1 8.0 -2.4 -2.3 -1.9 -5.2 11.8 -4.0 20.0 16.7 3.8 -5.9 -15.4 -8.6 -11.0 SOFR -4.2 -6.3 -14.6 -3.3 0.5 -2.6 -2.0 -2.3 -3.3 4.9 -9.4 -4.3 -6.7 -7.6 -9.5 -0.6 -1.0 -1.4 -1.3 -11.2 -10.3 -3.5 -8.4 -8.9 -1.7 -3.7 1.5 -3.2 -1.3 -2.5 -3.2 1.8 8.2 5.5 4.4 0.4 -20.0 -20.0 -7.5 -6.0 SOYBEAN -14.3 -6.1 6.9 -4.0 -3.3 -2.7 -4.6 -2.7 -5.3 -11.6 6.0 -14.3 2.1 -13.3 -0.7 11.1 17.6 10.4 13.1 -4.8 0.7 -9.7 0.9 -10.2 -20.0 -1.9 -3.7 0.4 -4.3 0.7 -4.3 20.0 0.8 -4.6 7.3 15.4 -18.3 -0.6 -14.8 6.7 SOYMEAL -15.0 -8.2 -3.0 -3.5 -2.9 -2.4 -4.0 -2.3 -4.6 -7.0 -8.7 -11.2 1.1 -12.3 -9.6 8.3 17.3 10.6 14.6 -9.5 -5.4 -10.8 -0.0 -12.9 -20.0 -3.0 -1.0 -0.4 -4.3 2.3 -5.0 20.0 -10.5 -9.5 1.0 8.2 -20.0 -20.0 -20.0 -18.7 SOYOIL -20.0 -20.0 11.4 -2.9 -2.4 -2.0 -3.3 -1.9 -3.9 -10.6 4.8 -11.5 -0.2 -11.4 -2.4 16.7 12.3 15.2 13.0 -9.9 0.1 -20.0 2.0 -20.0 -20.0 -2.5 -5.3 -0.2 -5.7 0.3 -5.0 17.6 -20.0 -20.0 -9.3 7.6 -2.3 5.8 18.3 20.0 SP400 -18.3 -20.0 -4.3 -3.9 2.6 -1.7 -2.2 0.2 -4.4 5.1 -5.1 -8.2 2.7 -12.4 -10.8 -5.3 -5.0 -5.6 -5.5 -17.1 -7.6 -8.0 -1.1 -18.7 -11.1 -3.9 2.8 -1.2 -2.3 0.5 -4.8 1.3 1.5 -7.6 -4.6 12.3 -6.1 -12.8 -17.8 -20.0 SP500_micro -20.0 -19.9 -6.8 -4.1 2.7 -1.8 -2.3 0.2 -4.6 12.8 5.5 -6.7 8.5 -10.0 -9.1 -11.1 -9.7 -11.8 -11.2 -11.5 0.2 -1.9 7.0 -14.0 -17.3 -3.2 4.6 0.7 -0.6 3.1 -4.1 -7.6 12.1 -5.6 -0.2 15.4 -6.1 -12.5 -9.6 -18.2 SUGAR11 -11.0 13.3 3.4 -4.9 -4.0 -3.3 -5.6 -3.2 -6.4 16.3 16.8 1.7 17.1 11.7 14.4 20.0 12.8 12.2 9.8 17.3 20.0 10.1 20.0 11.0 -20.0 4.8 8.2 7.8 3.6 11.9 2.8 16.0 20.0 19.2 20.0 4.8 -20.0 -20.0 7.4 0.9 US10 -6.2 -7.0 -15.2 -2.7 0.4 -2.2 -1.6 -1.9 -2.8 2.9 -8.7 -5.2 -8.6 -7.2 -8.6 -7.4 -7.4 -8.5 -8.6 -12.4 -12.1 -5.4 -11.7 -10.4 1.2 -3.2 0.6 -2.9 -1.7 -2.5 -2.9 -10.2 3.4 -0.6 0.3 -2.8 -20.0 -20.0 5.2 -0.4 US10U -9.4 -9.8 -14.9 -3.5 0.5 -2.8 -2.1 -2.5 -3.6 0.8 -11.2 -7.7 -10.9 -9.8 -11.2 2.2 -0.6 0.2 -0.7 -17.4 -15.9 -9.7 -14.5 -15.8 -2.9 -4.1 0.0 -3.5 -2.7 -2.8 -4.0 2.4 0.4 -4.5 -1.8 -4.7 -20.0 -20.0 14.6 16.4 US2 8.2 9.8 -15.1 -2.8 0.4 -2.2 -1.7 -2.0 -2.8 5.6 -9.2 0.8 -9.1 -4.5 -7.9 -20.0 -20.0 -20.0 -20.0 -9.1 -13.9 2.7 -17.4 -3.3 9.0 -2.9 3.5 -4.4 1.5 -5.6 -0.9 -20.0 18.3 12.6 8.3 -1.2 -20.0 -20.0 -20.0 -20.0 US20 -14.0 -12.8 -15.4 -2.4 0.4 -1.9 -1.4 -1.7 -2.5 -1.0 -7.6 -5.9 -7.1 -7.1 -7.8 -1.8 -1.9 -2.6 -2.4 -14.0 -11.8 -10.3 -10.0 -14.1 -2.5 -2.8 -0.6 -2.3 -2.3 -1.7 -3.0 0.0 -4.6 -9.1 -4.9 -5.8 -14.5 -20.0 20.0 20.0 US30 -14.0 -11.4 -12.1 -2.7 0.4 -2.1 -1.6 -1.9 -2.7 -1.2 -8.5 -6.6 -8.0 -7.9 -8.5 -6.3 -4.1 -6.7 -5.6 -14.3 -12.4 -10.4 -11.3 -14.4 -2.1 -3.1 -0.6 -2.5 -2.5 -2.0 -3.2 -4.4 -2.3 -7.8 -2.6 -5.0 -11.0 -20.0 20.0 20.0 US5 -0.2 -2.2 -13.8 -2.9 0.5 -2.3 -1.8 -2.1 -3.0 5.2 -9.3 -3.1 -9.3 -6.5 -8.7 -12.8 -10.7 -13.8 -13.0 -10.8 -12.0 -1.5 -12.8 -7.3 3.9 -3.4 2.0 -3.5 -0.5 -3.5 -2.5 -16.8 11.1 6.2 4.0 -0.6 -20.0 -20.0 -5.4 -18.4 VIX 20.0 12.0 5.3 -1.8 -3.8 -8.0 2.2 -12.0 2.9 -14.3 -19.5 6.9 -20.0 3.2 -6.6 -12.3 -20.0 -20.0 -20.0 -6.0 -20.0 2.1 -20.0 3.9 NaN -2.0 -4.4 -9.2 2.4 -14.5 3.2 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 4.4 -17.0 -12.6 -3.2 -2.7 -2.2 -3.7 -2.1 -4.2 3.1 -12.2 1.9 -13.2 -8.7 -12.4 -11.1 -9.9 -11.3 -10.9 -13.3 -15.6 -1.5 -16.2 -7.2 -4.2 -3.9 -0.7 -4.1 -0.5 -3.9 -2.3 -20.0 2.6 7.7 -7.5 -9.2 -20.0 -14.1 -20.0 -10.3 End of report for caleb_strategy_v3