******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231011_204339 produced at 2023-10-11 21:39:13.413187 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.06 0.0 0.00 0.00 0.00 0.00 -12.33 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.20 0.0 0.00 0.00 0.00 0.00 -2.74 13.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.30 -0.19 0.0 0.65 -0.65 -0.30 -0.30 -3.86 13.0 -6 -6 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.19 0.0 0.11 -0.11 -0.11 -0.11 -29.76 17.0 -17 -17 caleb_strategy_v3 COPPER False False 0.03 -0.19 -0.18 0.0 0.19 -0.19 -0.19 -0.19 -5.43 6.0 -6 -6 caleb_strategy_v3 GOLD_micro False False 0.01 -0.10 -0.17 0.0 0.38 -0.38 -0.10 -0.12 -24.92 56.0 -15 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.15 0.0 0.00 0.00 0.00 0.00 -3.75 24.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.13 0.0 0.77 -0.77 -0.03 -0.03 -5.06 29.0 -1 -1 caleb_strategy_v3 JPY False False 0.03 -0.09 -0.11 0.0 0.52 -0.52 -0.09 -0.18 -3.73 17.0 -3 -6 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.09 0.0 0.40 -0.40 -0.01 -0.01 -14.05 66.0 -1 -1 caleb_strategy_v3 US5 False False 0.04 -0.15 -0.09 0.0 0.94 -0.94 -0.15 -0.15 -2.29 25.0 -4 -4 caleb_strategy_v3 SP400 False False 0.09 -0.18 -0.09 0.0 0.18 -0.18 -0.18 -0.09 -0.95 2.0 -2 -1 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.09 0.0 0.22 -0.22 -0.01 -0.02 -26.65 68.0 -4 -5 caleb_strategy_v3 EUR False False 0.05 -0.38 -0.08 0.0 0.67 -0.67 -0.38 -0.38 -1.64 14.0 -8 -8 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.07 0.0 0.38 -0.38 0.00 0.00 -8.48 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 -4.55 5.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.05 0.0 0.19 -0.19 0.00 0.00 -12.39 51.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.66 -0.66 0.00 0.00 -1.34 17.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 -0.04 0.0 0.61 -0.61 0.00 0.00 -1.37 22.0 0 0 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.04 0.0 0.44 -0.44 -0.02 -0.02 -1.94 19.0 -1 -1 caleb_strategy_v3 BTP False False 0.04 0.00 -0.04 0.0 0.42 -0.42 0.00 0.00 -0.97 10.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.03 0.0 0.00 -0.00 0.00 0.00 -1.72 0.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -0.64 2.0 -1 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.03 0.0 0.25 -0.25 -0.01 -0.03 -2.88 23.0 -1 -3 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.03 0.0 0.11 -0.11 -0.01 -0.01 -3.09 12.0 -1 -1 caleb_strategy_v3 US10U False False 0.04 0.00 -0.03 0.0 0.52 -0.52 0.00 0.00 -0.81 13.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.03 0.0 0.84 -0.84 0.00 0.00 -0.64 19.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.03 0.0 0.02 -0.02 0.00 0.00 -6.89 3.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.04 -0.02 0.0 0.10 -0.10 -0.04 -0.04 -1.99 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 -3.11 2.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.01 -0.02 0.0 0.60 -0.60 0.01 0.00 -1.87 60.0 1 0 caleb_strategy_v3 US20 False False 0.04 -0.08 -0.02 0.0 0.37 -0.37 -0.08 -0.08 -0.48 9.0 -2 -2 caleb_strategy_v3 LIVECOW False False 0.03 0.00 -0.02 0.0 0.46 -0.46 0.00 0.00 -0.70 17.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.02 0.0 0.11 -0.11 -0.02 -0.04 -2.03 9.0 -2 -3 caleb_strategy_v3 COFFEE False False 0.02 -0.04 -0.02 0.0 0.12 -0.12 -0.04 -0.04 -1.16 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 -24.17 59.0 -33 -33 caleb_strategy_v3 SOYOIL False False 0.01 -0.01 -0.01 0.0 0.11 -0.11 -0.01 -0.02 -0.51 10.0 -1 -2 caleb_strategy_v3 COTTON2 False False 0.02 -0.03 -0.01 0.0 0.17 -0.17 -0.03 -0.03 -0.71 11.0 -2 -2 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 -0.01 0.0 0.18 -0.18 0.00 0.00 -0.68 23.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -0.93 4.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.43 7.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 -0.01 0.0 0.36 -0.36 0.00 0.00 -0.15 8.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.06 -0.01 0.0 0.16 -0.16 -0.06 -0.05 -0.52 10.0 -4 -3 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.49 -0.49 0.00 0.00 -0.20 10.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.08 -0.01 0.0 0.25 -0.25 -0.08 -0.04 -0.34 6.0 -2 -1 caleb_strategy_v3 BUXL False False 0.05 -0.14 -0.01 0.0 0.19 -0.19 -0.14 -0.14 -0.15 4.0 -3 -3 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 CAC False True 0.03 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.12 12.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 -0.00 0.0 0.47 -0.47 0.00 0.00 -0.02 10.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.00 -0.00 0.0 0.32 -0.32 0.00 0.00 -0.12 26.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.09 4.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 0.00 0.0 0.09 -0.09 -0.01 -0.00 1.18 26.0 -3 -1 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.06 3.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.01 0.0 0.18 -0.18 0.00 0.00 1.38 18.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.01 0.0 0.34 -0.34 0.00 0.00 2.26 58.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.00 0.01 0.0 0.39 -0.39 0.00 0.00 0.28 9.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.08 0.02 0.0 0.32 -0.32 0.08 0.08 1.43 20.0 5 5 caleb_strategy_v3 NZD False False 0.02 0.00 0.02 0.0 0.45 -0.45 0.00 0.04 0.70 21.0 0 2 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.03 0.0 0.12 -0.12 0.00 0.00 1.05 4.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.03 0.04 0.0 0.14 -0.14 0.03 0.03 3.80 13.0 3 3 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.06 -0.06 0.00 0.00 2.83 3.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.05 0.05 0.0 0.28 -0.28 0.05 0.06 6.17 36.0 7 8 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.07 0.0 0.14 -0.14 0.08 0.11 2.74 5.0 3 4 caleb_strategy_v3 DX False False 0.04 0.00 0.11 0.0 37838307.14 -37838307.14 0.00 0.00 2.88 999999999.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.52 0.29 0.0 0.56 -0.56 0.52 0.52 8.17 16.0 15 15 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.37 0.32 0.0 0.92 -0.92 0.37 0.28 3.46 10.0 4 3 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 12.9 Shocked risk 28.5 Sum abs risk 46.1 Leverage 4.70 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2789104.69, 'annual_cash_vol_target': 697276.1725, 'daily_cash_vol_target': 43579.76078125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6424 0.6529 10.4456 BITCOIN 689.4578 26730.0000 2.5793 41.2695 BOBL 0.2982 116.2600 0.2565 4.1039 BTP 0.7034 110.5800 0.6361 10.1770 BUND 0.6307 129.7400 0.4862 7.7785 BUXL 1.5051 124.9600 1.2044 19.2709 CAC 58.4152 7139.0000 0.8183 13.0921 CAD 0.0029 0.7359 0.3941 6.3056 CANOLA 7.0935 707.5000 1.0026 16.0418 CHF 0.0047 1.1158 0.4206 6.7289 COCOA 44.0368 3461.0000 1.2724 20.3580 COFFEE 2.3433 148.8500 1.5743 25.1885 COPPER 0.0387 3.6085 1.0734 17.1741 CORN 5.7518 517.0000 1.1125 17.8007 COTTON2 1.0534 85.2000 1.2364 19.7819 CRUDE_W 1.4281 75.6400 1.8881 30.2090 DAX 122.3664 15563.0000 0.7863 12.5802 DOW 202.4834 33911.0000 0.5971 9.5536 DX 0.3771 105.5350 0.3573 5.7168 EUR 0.0050 1.0640 0.4692 7.5078 EURIBOR-ICE 0.0552 97.0600 0.0569 0.9102 EUROSTX 39.7937 4222.0000 0.9425 15.0805 FEEDCOW 1.7746 253.3750 0.7004 11.2064 GASOIL 15.4739 839.5000 1.8432 29.4917 GASOLINE 0.0406 2.1940 1.8484 29.5740 GAS_US_mini 0.0859 3.6550 2.3499 37.5985 GBP 0.0063 1.2314 0.5138 8.2209 GOLD_micro 11.9324 1887.5000 0.6322 10.1149 HEATOIL 0.0469 2.8638 1.6362 26.1788 JGB-SGX-mini 0.2098 145.3600 0.1443 2.3089 JPY 0.0000 0.0068 0.5420 8.6717 LEANHOG 1.4475 74.6500 1.9390 31.0247 LIVECOW 1.2702 187.0000 0.6792 10.8676 LUMBER-new 8.4505 512.5000 1.6489 26.3820 MILK 0.1993 17.5100 1.1383 18.2121 MXP 0.0005 0.0554 0.8836 14.1380 NASDAQ_micro 134.9544 15330.0000 0.8803 14.0853 NIKKEI 326.7521 31960.0000 1.0224 16.3581 NZD 0.0037 0.6020 0.6224 9.9591 OAT 0.6460 124.2000 0.5201 8.3218 OATIES 7.1338 418.7500 1.7036 27.2574 OJ 4.3934 359.5500 1.2219 19.5506 PALLAD 20.7134 1170.5000 1.7696 28.3140 PLAT 13.1582 894.7000 1.4707 23.5310 REDWHEAT 11.6487 677.5000 1.7194 27.5100 RICE 0.1640 16.5250 0.9925 15.8794 ROBUSTA 27.0494 2234.0000 1.2108 19.3729 RUSSELL 16.5894 1782.2000 0.9308 14.8934 SHATZ 0.0843 105.1550 0.0802 1.2824 SILVER-mini 0.3439 22.3000 1.5423 24.6769 SMI 77.5335 11070.0000 0.7004 11.2063 SOFR 0.0729 96.0450 0.0759 1.2151 SOYBEAN 11.1607 1239.0000 0.9008 14.4125 SOYMEAL 4.5757 372.4000 1.2287 19.6592 SOYOIL 0.7819 51.5400 1.5171 24.2731 SP400 20.6526 2516.2000 0.8208 13.1326 SP500_micro 30.5588 4396.5000 0.6951 11.1211 SUGAR11 0.3481 25.1300 1.3852 22.1629 US10 0.4382 108.0156 0.4057 6.4908 US10U 0.6187 111.4531 0.5551 8.8822 US2 0.1081 101.4453 0.1066 1.7050 US20 0.9559 113.5000 0.8422 13.4754 US30 1.4005 118.2812 1.1841 18.9448 US5 0.2793 105.3984 0.2650 4.2402 VIX 0.5259 18.0500 2.9134 46.6137 WHEAT 10.2260 657.7500 1.5547 24.8751 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 642.40 0.65 419.39 1.00 419.39 43579.76 103.91 -7.19 -74.71 BITCOIN 26.73 2.58 68.95 1.00 68.95 43579.76 632.09 -3.53 -223.16 BOBL 1162.60 0.26 298.20 1.06 315.15 43579.76 138.28 -4.59 -63.51 BTP 1105.80 0.64 703.36 1.06 743.34 43579.76 58.63 -4.86 -28.50 BUND 1297.40 0.49 630.74 1.06 666.59 43579.76 65.38 -2.95 -19.29 BUXL 1249.60 1.20 1505.06 1.06 1590.62 43579.76 27.40 -5.38 -14.75 CAC 713.90 0.82 584.15 1.06 617.36 43579.76 70.59 0.50 3.51 CAD 735.90 0.39 290.02 1.00 290.02 43579.76 150.27 -12.99 -195.19 CANOLA 141.50 1.00 141.87 0.74 104.33 43579.76 417.72 -12.19 -509.15 CHF 1394.75 0.42 586.57 1.00 586.57 43579.76 74.30 -20.00 -148.59 COCOA 346.10 1.27 440.37 1.00 440.37 43579.76 98.96 -0.58 -5.76 COFFEE 558.19 1.57 878.74 1.00 878.74 43579.76 49.59 -20.00 -99.19 COPPER 902.12 1.07 968.33 1.00 968.33 43579.76 45.01 -11.15 -50.17 CORN 258.50 1.11 287.59 1.00 287.59 43579.76 151.53 -8.38 -126.98 COTTON2 426.00 1.24 526.69 1.00 526.69 43579.76 82.74 -4.01 -33.20 CRUDE_W 756.40 1.89 1428.13 1.00 1428.13 43579.76 30.52 8.28 25.26 DAX 155.63 0.79 122.37 1.06 129.32 43579.76 336.98 1.97 66.25 DOW 169.56 0.60 101.24 1.00 101.24 43579.76 430.45 -14.05 -604.65 DX 1055.35 0.36 377.08 1.00 377.08 43579.76 115.57 9.59 110.81 EUR 1330.06 0.47 624.12 1.00 624.12 43579.76 69.83 -9.04 -63.09 EURIBOR-ICE 2426.50 0.06 138.04 1.06 145.89 43579.76 298.71 3.39 101.33 EUROSTX 422.20 0.94 397.94 1.06 420.56 43579.76 103.62 4.05 41.95 FEEDCOW 1266.88 0.70 887.32 1.00 887.32 43579.76 49.11 -0.93 -4.56 GASOIL 839.50 1.84 1547.39 1.00 1547.39 43579.76 28.16 8.60 24.21 GASOLINE 921.48 1.85 1703.24 1.00 1703.24 43579.76 25.59 -0.84 -2.14 GAS_US_mini 91.38 2.35 214.72 1.00 214.72 43579.76 202.96 0.54 10.89 GBP 769.62 0.51 395.44 1.00 395.44 43579.76 110.21 -4.77 -52.62 GOLD_micro 188.75 0.63 119.32 1.00 119.32 43579.76 365.22 -20.00 -730.44 HEATOIL 1202.80 1.64 1967.98 1.00 1967.98 43579.76 22.14 0.61 1.36 JGB-SGX-mini 145360.00 0.14 20976.46 0.01 141.01 43579.76 309.04 2.44 75.47 JPY 846.75 0.54 458.92 1.00 458.92 43579.76 94.96 -15.15 -143.83 LEANHOG 298.60 1.94 579.00 1.00 579.00 43579.76 75.27 8.31 62.56 LIVECOW 748.00 0.68 508.06 1.00 508.06 43579.76 85.78 -2.47 -21.22 LUMBER-new 140.94 1.65 232.39 1.00 232.39 43579.76 187.53 -17.28 -324.00 MILK 350.20 1.14 398.62 1.00 398.62 43579.76 109.33 -19.42 -212.29 MXP 277.10 0.88 244.85 1.00 244.85 43579.76 177.98 -0.72 -12.77 NASDAQ_micro 306.60 0.88 269.91 1.00 269.91 43579.76 161.46 -7.68 -124.06 NIKKEI 31960.00 1.02 32675.21 0.01 219.66 43579.76 198.40 2.87 56.98 NZD 602.05 0.62 374.74 1.00 374.74 43579.76 116.29 2.33 27.07 OAT 1242.00 0.52 645.98 1.06 682.71 43579.76 63.83 -0.08 -0.48 OATIES 209.38 1.70 356.69 1.00 356.69 43579.76 122.18 -10.46 -127.82 OJ 539.33 1.22 659.01 1.00 659.01 43579.76 66.13 20.00 132.26 PALLAD 1170.50 1.77 2071.34 1.00 2071.34 43579.76 21.04 -8.89 -18.71 PLAT 447.35 1.47 657.91 1.00 657.91 43579.76 66.24 -2.29 -15.19 REDWHEAT 338.75 1.72 582.44 1.00 582.44 43579.76 74.82 -20.00 -149.65 RICE 330.50 0.99 328.01 1.00 328.01 43579.76 132.86 -2.89 -38.43 ROBUSTA 223.40 1.21 270.49 1.00 270.49 43579.76 161.11 -3.62 -58.38 RUSSELL 89.11 0.93 82.95 1.00 82.95 43579.76 525.39 -15.31 -804.12 SHATZ 1051.55 0.08 84.28 1.06 89.07 43579.76 489.25 -7.57 -370.23 SILVER-mini 557.50 1.54 859.84 1.00 859.84 43579.76 50.68 -9.97 -50.51 SMI 1107.00 0.70 775.33 1.10 856.59 43579.76 50.88 1.60 8.12 SOFR 2401.12 0.08 182.35 1.00 182.35 43579.76 238.99 -8.49 -202.89 SOYBEAN 619.50 0.90 558.04 1.00 558.04 43579.76 78.09 -5.86 -45.80 SOYMEAL 372.40 1.23 457.57 1.00 457.57 43579.76 95.24 -12.21 -116.25 SOYOIL 309.24 1.52 469.14 1.00 469.14 43579.76 92.89 -5.94 -55.15 SP400 2516.20 0.82 2065.26 1.00 2065.26 43579.76 21.10 -13.62 -28.74 SP500_micro 219.82 0.70 152.79 1.00 152.79 43579.76 285.22 -12.79 -364.80 SUGAR11 281.46 1.39 389.87 1.00 389.87 43579.76 111.78 5.81 64.93 US10 1080.16 0.41 438.19 1.00 438.19 43579.76 99.45 -10.63 -105.73 US10U 1114.53 0.56 618.72 1.00 618.72 43579.76 70.44 -9.10 -64.13 US2 2028.91 0.11 216.20 1.00 216.20 43579.76 201.57 -10.71 -215.88 US20 1135.00 0.84 955.91 1.00 955.91 43579.76 45.59 -8.25 -37.61 US30 1182.81 1.18 1400.51 1.00 1400.51 43579.76 31.12 -8.62 -26.83 US5 1053.98 0.27 279.32 1.00 279.32 43579.76 156.02 -11.58 -180.65 VIX 180.50 2.91 525.86 1.00 525.86 43579.76 82.87 -14.55 -120.54 WHEAT 328.88 1.55 511.30 1.00 511.30 43579.76 85.23 -17.93 -152.78 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -74.706 0.010 2.5 -1.938 BITCOIN -223.165 0.043 2.5 -24.167 BOBL -63.505 0.004 2.5 -0.644 BTP -28.496 0.014 2.5 -0.972 BUND -19.291 0.004 2.5 -0.196 BUXL -14.750 0.004 2.5 -0.150 CAC 3.514 0.014 2.5 0.120 CAD -195.192 0.010 2.5 -5.065 CANOLA -509.155 0.010 2.5 -12.388 CHF -148.591 0.010 2.5 -3.856 COCOA -5.763 0.009 2.5 -0.123 COFFEE -99.187 0.005 2.5 -1.158 COPPER -50.173 0.043 2.5 -5.433 CORN -126.975 0.010 2.5 -3.089 COTTON2 -33.201 0.009 2.5 -0.711 CRUDE_W 25.258 0.043 2.5 2.735 DAX 66.246 0.014 2.5 2.260 DOW -604.653 0.009 2.5 -14.053 DX 110.813 0.010 2.5 2.875 EUR -63.090 0.010 2.5 -1.637 EURIBOR-ICE 101.334 0.014 2.5 3.457 EUROSTX 41.951 0.014 2.5 1.431 FEEDCOW -4.559 0.013 2.5 -0.151 GASOIL 24.209 0.017 2.5 1.050 GASOLINE -2.145 0.017 2.5 -0.093 GAS_US_mini 10.887 0.043 2.5 1.179 GBP -52.618 0.010 2.5 -1.365 GOLD_micro -730.445 0.014 2.5 -24.916 HEATOIL 1.357 0.017 2.5 0.059 JGB-SGX-mini 75.465 0.043 2.5 8.172 JPY -143.830 0.010 2.5 -3.732 LEANHOG 62.560 0.024 2.5 3.802 LIVECOW -21.218 0.013 2.5 -0.703 LUMBER-new -323.997 0.009 2.5 -6.888 MILK -212.293 0.009 2.5 -4.547 MXP -12.768 0.059 2.5 -1.874 NASDAQ_micro -124.059 0.009 2.5 -2.883 NIKKEI 56.978 0.043 2.5 6.170 NZD 27.073 0.010 2.5 0.702 OAT -0.481 0.014 2.5 -0.016 OATIES -127.817 0.010 2.5 -3.110 OJ 132.258 0.009 2.5 2.833 PALLAD -18.706 0.014 2.5 -0.638 PLAT -15.188 0.014 2.5 -0.518 REDWHEAT -149.646 0.005 2.5 -1.985 RICE -38.427 0.010 2.5 -0.935 ROBUSTA -58.382 0.005 2.5 -0.682 RUSSELL -804.122 0.013 2.5 -26.648 SHATZ -370.230 0.004 2.5 -3.755 SILVER-mini -50.512 0.014 2.5 -1.723 SMI 8.123 0.014 2.5 0.277 SOFR -202.892 0.024 2.5 -12.331 SOYBEAN -45.797 0.004 2.5 -0.426 SOYMEAL -116.246 0.004 2.5 -1.081 SOYOIL -55.150 0.004 2.5 -0.513 SP400 -28.738 0.013 2.5 -0.952 SP500_micro -364.804 0.009 2.5 -8.479 SUGAR11 64.925 0.009 2.5 1.381 US10 -105.733 0.005 2.5 -1.340 US10U -64.131 0.005 2.5 -0.813 US2 -215.882 0.005 2.5 -2.736 US20 -37.610 0.005 2.5 -0.477 US30 -26.829 0.005 2.5 -0.340 US5 -180.650 0.005 2.5 -2.289 VIX -120.542 0.099 2.5 -29.756 WHEAT -152.784 0.005 2.5 -2.027 ===================== Position diags ===================== AUD 2.70 BITCOIN 68.45 BOBL 1.40 BTP 2.00 BUND 0.66 BUXL 0.28 CAC 2.41 CAD 3.90 CANOLA 10.16 CHF 1.93 COCOA 2.12 COFFEE 0.58 COPPER 4.87 CORN 3.69 COTTON2 1.77 CRUDE_W 3.30 DAX 11.49 DOW 10.00 DX 3.00 EUR 1.81 EURIBOR-ICE 10.19 EUROSTX 3.53 FEEDCOW 1.63 GASOIL 1.22 GASOLINE 1.11 GAS_US_mini 21.98 GBP 2.86 GOLD_micro 12.46 HEATOIL 0.96 JGB-SGX-mini 33.47 JPY 2.46 LEANHOG 4.57 LIVECOW 2.84 LUMBER-new 3.99 MILK 2.34 MXP 26.12 NASDAQ_micro 3.75 NIKKEI 21.48 NZD 3.02 OAT 2.18 OATIES 2.97 OJ 1.42 PALLAD 0.72 PLAT 2.26 REDWHEAT 0.99 RICE 3.23 ROBUSTA 1.88 RUSSELL 17.41 SHATZ 4.96 SILVER-mini 1.73 SMI 1.74 SOFR 14.53 SOYBEAN 0.73 SOYMEAL 0.89 SOYOIL 0.86 SP400 0.70 SP500_micro 6.63 SUGAR11 2.38 US10 1.26 US10U 0.89 US2 2.55 US20 0.58 US30 0.39 US5 1.98 VIX 20.46 WHEAT 1.13 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.9 -2.2 -1.7 -1.0 -1 BITCOIN -24.2 -31.0 -17.3 -33.0 -33 BOBL -0.6 -0.8 -0.5 0.0 0 BTP -1.0 -1.2 -0.8 0.0 0 BUND -0.2 -0.3 -0.1 0.0 0 BUXL -0.1 -0.2 -0.1 -3.0 -3 CAC 0.1 -0.1 0.4 0.0 0 CAD -5.1 -5.5 -4.7 -1.0 -1 CANOLA -12.4 -13.4 -11.4 NaN 0 CHF -3.9 -4.0 -3.7 -6.0 -6 COCOA -0.1 -0.3 0.1 0.0 0 COFFEE -1.2 -1.2 -1.1 -2.0 -2 COPPER -5.4 -5.9 -4.9 -6.0 -6 CORN -3.1 -3.5 -2.7 -1.0 -1 COTTON2 -0.7 -0.9 -0.5 -2.0 -2 CRUDE_W 2.7 2.4 3.1 3.0 3 DAX 2.3 1.1 3.4 0.0 0 DOW -14.1 -15.1 -13.1 -1.0 -1 DX 2.9 2.6 3.2 NaN 0 EUR -1.6 -1.8 -1.5 -8.0 -8 EURIBOR-ICE 3.5 2.4 4.5 4.0 4 EUROSTX 1.4 1.1 1.8 5.0 5 FEEDCOW -0.2 -0.3 0.0 0.0 0 GASOIL 1.0 0.9 1.2 0.0 0 GASOLINE -0.1 -0.2 0.0 0.0 0 GAS_US_mini 1.2 -1.0 3.4 -3.0 -3 GBP -1.4 -1.7 -1.1 0.0 0 GOLD_micro -24.9 -26.2 -23.7 -15.0 -15 HEATOIL 0.1 -0.0 0.2 0.0 0 JGB-SGX-mini 8.2 4.8 11.5 15.0 15 JPY -3.7 -4.0 -3.5 -3.0 -3 LEANHOG 3.8 3.3 4.3 3.0 3 LIVECOW -0.7 -1.0 -0.4 0.0 0 LUMBER-new -6.9 -7.3 -6.5 NaN 0 MILK -4.5 -4.8 -4.3 NaN 0 MXP -1.9 -4.5 0.7 1.0 1 NASDAQ_micro -2.9 -3.3 -2.5 -1.0 -1 NIKKEI 6.2 4.0 8.3 7.0 7 NZD 0.7 0.4 1.0 0.0 0 OAT -0.0 -0.2 0.2 0.0 0 OATIES -3.1 -3.4 -2.8 NaN 0 OJ 2.8 2.7 3.0 NaN 0 PALLAD -0.6 -0.7 -0.6 -1.0 -1 PLAT -0.5 -0.7 -0.3 -4.0 -4 REDWHEAT -2.0 -2.1 -1.9 -3.0 -3 RICE -0.9 -1.3 -0.6 NaN 0 ROBUSTA -0.7 -0.9 -0.5 0.0 0 RUSSELL -26.6 -28.4 -24.9 -4.0 -4 SHATZ -3.8 -4.3 -3.3 NaN 0 SILVER-mini -1.7 -1.9 -1.6 NaN 0 SMI 0.3 0.1 0.5 0.0 0 SOFR -12.3 -13.8 -10.9 NaN 0 SOYBEAN -0.4 -0.5 -0.4 -1.0 -1 SOYMEAL -1.1 -1.2 -1.0 0.0 0 SOYOIL -0.5 -0.6 -0.4 -1.0 -1 SP400 -1.0 -1.0 -0.9 -2.0 -2 SP500_micro -8.5 -9.1 -7.8 0.0 0 SUGAR11 1.4 1.1 1.6 0.0 0 US10 -1.3 -1.5 -1.2 NaN 0 US10U -0.8 -0.9 -0.7 0.0 0 US2 -2.7 -3.0 -2.5 NaN 0 US20 -0.5 -0.5 -0.4 -2.0 -2 US30 -0.3 -0.4 -0.3 -2.0 -2 US5 -2.3 -2.5 -2.1 -4.0 -4 VIX -29.8 -31.8 -27.7 -17.0 -17 WHEAT -2.0 -2.1 -1.9 -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 1.0 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 -0.4 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.4 0.0 -0.4 -0.0 -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 0.0 0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 0.0 -2.7 -0.0 -0.1 -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 -0.0 -0.1 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.3 -0.0 -0.0 0.1 -0.1 -0.1 -0.2 -0.0 -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 -0.5 -0.5 BTP -0.5 -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 -0.0 -0.1 -0.1 -0.8 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.8 0.2 0.1 0.0 0.2 -0.4 -0.7 -0.0 0.3 BUND -0.2 -0.2 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 -0.0 -0.3 -0.0 -0.1 -0.0 0.1 0.0 0.1 -0.1 -0.1 0.0 -0.2 -0.0 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 -0.3 -0.3 -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 0.0 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 0.2 -0.0 -0.0 0.0 -0.7 -0.7 -0.3 0.7 CAC -0.4 -0.4 -0.4 -0.1 0.1 -0.1 -0.0 0.0 -0.1 0.1 0.0 -0.1 0.6 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 0.2 -0.2 -0.7 -0.1 0.1 -0.1 -0.0 0.1 -0.1 0.2 0.0 0.3 0.2 0.3 0.5 0.1 0.7 0.3 CAD -0.0 -0.2 -0.2 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.0 -0.2 -0.0 -0.5 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.1 0.2 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.5 0.1 -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 -0.2 -0.6 -0.5 0.3 -0.3 0.0 0.4 0.4 CHF -0.4 -0.6 -0.3 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.2 -0.2 -0.0 0.3 -0.1 -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 0.5 -0.6 -0.6 -0.4 -0.7 -0.7 -0.7 -0.7 COCOA -0.6 -0.5 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 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 0.4 -0.5 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 -0.1 -2.7 -0.1 0.0 -0.2 -0.0 -0.2 -0.1 -0.1 0.2 0.3 -0.1 -0.6 -0.7 -0.7 -0.7 -0.4 COPPER -0.4 -0.2 -0.2 -0.0 0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.8 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.1 -0.3 -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 -0.1 -0.1 -0.1 0.1 -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 -2.0 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.2 0.4 0.6 0.3 -0.2 -0.2 0.0 0.1 0.3 COTTON2 -0.2 0.0 0.4 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 0.3 -0.1 -0.3 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.0 0.1 -0.1 0.1 -0.0 -2.7 0.0 -0.1 0.2 -0.1 0.2 -0.0 0.1 -0.2 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 -0.0 0.1 -0.0 -0.0 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 0.1 -0.0 0.2 -0.0 -1.1 -0.2 0.5 0.3 0.0 0.7 0.4 0.7 0.3 DAX -0.4 -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 -0.0 0.1 -0.2 2.4 -0.1 0.1 -0.1 -0.0 0.0 -0.1 -0.2 0.2 -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 -0.0 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 -0.2 -0.4 -0.3 0.4 -0.5 -0.2 -0.7 -0.3 DX 0.1 0.6 0.5 -0.0 0.1 -0.0 0.0 0.1 -0.0 -0.2 0.5 0.0 -0.2 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.0 0.3 0.2 -2.7 0.1 -0.0 0.1 0.0 0.1 0.1 0.8 -0.5 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 -0.0 0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 1.7 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.4 0.0 -0.4 -0.6 -0.4 -0.3 -0.6 -0.2 -0.1 EURIBOR-ICE 0.0 0.1 0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 0.1 -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 0.0 -0.0 0.0 -0.1 0.0 -0.6 0.3 0.5 0.4 0.3 -0.7 -0.7 0.4 0.5 EUROSTX -0.2 -0.4 -0.4 -0.1 0.0 -0.1 -0.0 0.0 -0.1 0.1 -0.0 -0.1 0.5 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.2 -0.1 0.7 -0.1 0.1 -0.1 0.0 0.1 -0.1 0.3 0.2 0.3 0.2 0.0 0.4 0.1 0.6 0.5 FEEDCOW -0.6 -0.5 0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 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 -0.0 0.2 -0.1 0.4 -0.0 -1.1 -0.4 -0.2 0.6 0.6 0.4 -0.2 0.7 0.1 GASOIL -0.6 -0.1 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 0.1 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 0.2 0.2 0.5 -0.5 0.1 -0.6 -0.1 GASOLINE -0.6 -0.5 0.4 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.3 -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 0.4 0.1 0.5 0.0 -0.0 0.2 -0.1 0.2 -0.0 0.2 -0.5 0.2 -0.7 0.1 -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 -0.4 -0.6 -0.1 0.2 -0.3 0.0 GBP -0.3 -0.6 -0.4 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.2 -0.1 -0.0 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 0.1 0.3 -0.6 -0.6 -0.5 -0.1 0.3 0.1 0.7 GOLD_micro -0.6 -0.3 -0.6 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 0.1 -0.4 -0.1 0.0 -0.2 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.1 -0.2 -0.2 -1.2 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 -1.0 -0.2 -0.6 -0.6 -0.4 -0.4 -0.7 -0.2 -0.7 HEATOIL -0.6 -0.0 0.6 0.0 -0.0 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 0.1 0.2 -0.2 0.4 -0.1 -2.7 0.0 -0.0 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 -0.2 -0.4 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.0 -0.0 0.1 -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 0.1 0.3 0.2 0.0 -0.2 -0.4 0.4 0.4 JPY 0.0 -0.3 -0.6 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.5 -0.1 -0.6 -0.1 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.1 -0.5 -0.1 2.7 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 -1.1 -0.2 -0.2 -0.4 -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 -0.1 -0.1 -0.1 -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 0.0 -0.0 0.1 -0.0 -0.3 -0.0 0.5 0.7 LIVECOW -0.6 -0.3 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.5 -0.2 0.7 -0.0 0.1 -0.4 -0.1 -0.4 -0.2 0.1 0.2 -0.1 0.5 -0.1 0.1 0.1 -0.0 0.3 -0.0 0.5 -0.0 -0.6 -0.1 0.5 0.6 0.6 -0.7 -0.7 -0.6 -0.6 LUMBER-new 0.1 -0.3 -0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.6 -0.1 -0.7 -0.2 -0.2 -0.3 -0.3 -0.4 -0.3 -0.2 -0.2 -0.0 -0.5 -0.1 NaN -0.1 0.0 -0.2 -0.0 -0.2 -0.1 -1.2 0.4 0.5 0.1 -0.5 -0.5 -0.8 -0.1 -0.8 MILK -0.6 -0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.2 -0.1 -0.5 -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 0.3 -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 -0.0 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 -0.1 -2.7 -0.0 0.0 0.0 -0.0 0.2 -0.1 1.1 -0.4 -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 -0.0 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 0.1 0.3 -0.0 -2.7 -0.0 0.1 0.1 0.0 0.2 -0.0 -0.3 0.4 0.1 0.3 0.4 -0.0 -0.5 -0.1 -0.6 NIKKEI -0.6 -0.4 -0.3 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.1 0.3 -0.1 0.5 -0.1 -0.0 0.1 0.2 0.2 0.2 -0.0 0.1 -0.0 0.4 -0.1 -1.0 -0.0 0.0 0.1 -0.0 0.2 -0.1 1.1 -0.5 -0.1 0.4 0.3 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 -0.0 -0.1 0.1 -0.3 0.1 0.1 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.2 0.3 0.6 0.4 -0.3 0.1 -0.5 0.2 0.3 OAT -0.3 -0.2 -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 0.1 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 0.2 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 -0.2 0.2 -0.2 -2.7 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -1.1 -0.3 -0.6 0.1 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 0.0 0.3 0.1 0.4 0.1 1.1 0.5 0.6 0.6 0.6 0.1 0.2 0.6 0.7 PALLAD -0.2 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 -0.2 -0.1 -0.1 -0.3 -0.3 -0.2 0.0 -0.1 PLAT -0.3 -0.1 -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 0.1 0.1 0.3 -0.0 -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 -0.1 -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 -1.9 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.3 -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 0.1 -0.0 0.8 0.1 0.5 0.3 0.2 -0.2 -0.7 0.5 -0.3 ROBUSTA -0.6 -0.3 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 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 -0.1 -0.0 -0.3 -0.0 -0.4 0.7 -0.1 RUSSELL -0.6 -0.6 -0.2 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 -0.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.3 -0.4 -0.3 0.2 -0.4 -0.4 -0.7 -0.7 SHATZ 0.2 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 0.0 -0.3 -0.0 -0.0 -0.4 -0.2 -0.4 -0.4 -0.0 -0.1 0.1 -0.3 0.0 1.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 0.4 0.5 0.2 0.2 -0.7 -0.7 -0.7 -0.7 SILVER-mini -0.4 -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 -0.0 -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 -0.0 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 -0.0 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 0.1 -0.2 -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 0.1 0.1 0.0 -0.7 -0.7 -0.2 -0.2 SOYBEAN -0.4 -0.3 0.2 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 -0.2 0.1 -0.2 -0.0 0.2 0.4 0.2 0.3 -0.1 0.0 -0.1 0.0 -0.1 -2.7 -0.0 -0.1 0.0 -0.1 0.0 -0.1 1.1 -0.1 -0.2 0.2 0.4 -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 -0.1 -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 -0.1 -0.2 0.1 0.2 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.6 -0.6 0.3 -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 0.0 -0.2 -2.7 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.9 -0.5 -0.6 -0.4 0.2 -0.1 0.2 0.6 0.7 SP400 -0.6 -0.6 -0.2 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.0 -0.2 -1.5 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.1 -0.3 -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 -0.1 -2.3 -0.0 0.0 0.0 0.0 0.1 -0.0 -0.4 0.2 -0.2 -0.0 0.5 -0.2 -0.4 -0.3 -0.6 SUGAR11 -0.5 0.4 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.4 -0.0 0.6 0.1 0.2 0.4 0.3 0.3 0.2 0.2 0.2 0.0 0.5 0.1 -2.7 0.0 -0.0 0.2 0.0 0.4 0.0 0.9 0.4 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 0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.1 -0.1 -0.0 -0.3 -0.1 0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.5 0.1 -0.1 0.0 -0.1 -0.7 -0.7 0.2 -0.0 US10U -0.2 -0.3 -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 -0.0 -0.4 -0.1 -0.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.1 -0.2 -0.1 -0.1 -0.7 -0.7 0.5 0.5 US2 0.3 0.3 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -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 0.3 0.3 -0.0 -0.7 -0.7 -0.7 -0.7 US20 -0.3 -0.3 -0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 -0.3 -0.1 -0.2 -0.5 -0.7 0.7 0.7 US30 -0.4 -0.3 -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 -0.1 -0.1 -0.1 -0.3 -0.1 -0.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 -0.2 -0.4 -0.7 0.7 0.7 US5 0.0 -0.1 -0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.3 -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 0.0 -0.2 -0.8 0.1 -1.2 0.0 -0.1 -0.4 -0.6 -0.6 -0.6 -0.1 -0.3 -0.0 -0.9 0.0 NaN -0.0 -0.1 -0.4 0.0 -0.8 0.0 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.2 -0.5 -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 -0.5 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.1 0.3 -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 -3.7 -11.4 -3.1 4.6 -0.5 1.0 1.2 -2.6 9.3 -13.9 4.0 -10.1 -3.8 -13.4 -3.6 -3.0 -3.4 -3.2 -10.2 -12.0 1.3 -11.2 -4.8 3.4 -4.6 2.6 -4.9 0.5 -4.3 -2.5 -1.4 -1.1 3.9 0.9 -15.4 -9.1 -20.0 -4.9 3.9 BITCOIN 8.7 -6.3 -8.0 -6.0 0.4 -3.0 -5.2 -0.4 -7.4 -11.9 3.0 4.6 5.4 -1.0 -12.4 -5.2 -4.4 -5.7 -5.4 -5.0 -3.8 0.4 -1.1 1.3 -20.0 -3.0 -7.4 -3.4 0.3 -1.0 1.0 -1.0 20.0 20.0 -4.6 6.0 -4.8 20.0 -3.6 20.0 BOBL -0.8 -2.4 1.3 -2.5 1.3 -2.0 -0.8 -1.8 -2.2 6.2 -5.5 2.7 -7.4 -2.3 -4.4 6.8 -6.4 -5.8 -8.9 -4.4 -5.3 3.8 -8.0 -1.6 9.1 -2.1 3.2 -2.1 1.5 -2.8 -1.0 -9.9 11.6 9.9 6.8 5.6 -20.0 -20.0 -16.4 -16.4 BTP -15.1 -17.1 -6.1 -3.5 1.8 -2.9 -1.1 -2.6 -3.2 8.9 -4.2 -5.9 -1.1 -9.0 -9.5 6.0 7.5 5.7 6.2 -11.6 -6.6 -2.4 -4.7 -11.3 -6.1 -3.5 3.0 -1.9 -0.8 -1.0 -3.5 15.7 9.0 1.7 0.4 5.4 -12.5 -20.0 -0.4 8.9 BUND -6.0 -5.9 -0.4 -2.5 1.3 -2.1 -0.8 -1.8 -2.3 7.0 -6.7 -0.8 -7.9 -4.5 -6.3 -2.0 6.4 1.0 3.5 -6.4 -6.2 2.0 -8.1 -4.3 5.8 -2.5 3.2 -2.1 0.5 -2.2 -1.9 12.5 8.7 5.7 4.5 4.2 -20.0 -20.0 -18.7 -1.8 BUXL -9.5 -9.7 -0.6 -2.7 1.4 -2.2 -0.9 -2.0 -2.4 7.3 -8.3 -2.7 -9.0 -5.9 -7.6 0.5 0.9 0.6 0.9 -10.1 -9.1 0.1 -10.5 -8.0 1.2 -2.9 2.9 -2.3 -0.1 -2.1 -2.4 5.6 8.4 -0.2 -0.6 1.3 -20.0 -20.0 -9.5 20.0 CAC -12.2 -12.4 -10.9 -5.4 5.7 -2.5 -0.8 0.3 -5.3 10.8 0.8 -11.9 16.8 -15.3 -16.0 -7.0 -2.3 -6.5 -4.8 -13.5 -4.2 -3.7 9.0 -14.2 -5.3 -5.7 6.3 -1.9 -1.2 2.9 -6.1 4.4 1.8 8.0 7.6 7.8 15.7 1.9 20.0 7.6 CAD -0.4 -6.5 -7.2 -4.5 6.7 -0.7 1.5 1.8 -3.8 2.1 -8.2 -4.1 -12.7 -7.4 -15.7 -2.5 -2.1 -2.4 -2.3 -13.0 -10.1 -4.4 -8.6 -11.1 1.6 -5.7 2.7 -4.1 -2.4 -2.9 -5.2 0.0 -20.0 3.0 -2.7 -16.0 -20.0 -20.0 -20.0 -19.9 CANOLA -20.0 -20.0 11.1 -3.1 -2.9 -2.1 -3.6 -2.0 -4.1 -11.1 2.2 -12.2 -3.5 -12.4 -4.6 -10.3 7.2 -6.0 1.0 -15.6 -4.5 -18.6 -2.9 -20.0 -20.0 -3.0 -2.3 -1.2 -4.3 -1.3 -5.0 4.9 -9.7 -20.0 -13.9 9.2 -8.1 1.0 11.5 13.4 CHF -13.0 -20.0 -9.4 -4.2 6.3 -0.7 1.4 1.7 -3.6 19.1 -8.6 -1.9 8.0 -13.6 -17.3 -17.2 -14.3 -16.4 -15.4 -20.0 -13.0 4.1 0.7 -20.0 -9.8 -6.0 5.3 -2.8 0.7 -0.0 -4.8 -20.0 20.0 -20.0 -20.0 -11.7 -20.0 -20.0 -20.0 -20.0 COCOA -20.0 -16.3 3.6 -4.7 -4.4 -3.2 -5.4 -3.1 -6.1 0.2 14.3 -13.5 16.5 -10.9 3.7 -2.7 -2.3 -3.5 -2.9 2.9 17.1 -7.2 20.0 -8.3 -12.8 1.2 -0.2 7.8 -2.8 11.1 -3.4 -7.4 16.9 -14.4 14.0 20.0 2.2 -8.0 19.8 3.2 COFFEE -7.4 -0.0 -13.9 -5.4 -5.0 -3.6 -6.2 -3.5 -7.0 2.8 -18.9 -17.0 -15.7 -17.5 -20.0 -3.0 1.3 -2.1 -0.3 -17.1 -20.0 -8.9 -20.0 -13.7 -20.0 -6.6 0.6 -5.8 -3.8 -4.4 -6.0 -2.0 6.6 9.8 -2.2 -20.0 -20.0 -20.0 -20.0 -10.7 COPPER -12.6 -7.2 -5.6 -4.3 0.3 -2.1 -3.7 -0.3 -5.3 -6.3 -12.6 -10.6 -4.0 -12.4 -13.5 -5.8 -3.1 -5.4 -4.4 -12.9 -10.1 -10.4 -7.6 -14.0 -5.6 -4.9 -2.5 -3.5 -4.5 -2.6 -5.9 1.0 4.9 -7.9 -1.4 1.9 4.6 -20.0 8.5 -20.0 CORN 9.9 -6.6 -19.2 -4.1 -3.8 -2.8 -4.7 -2.7 -5.3 6.6 -14.9 9.2 -14.2 0.7 -15.0 -4.7 2.3 -5.8 -3.1 -8.5 -15.9 4.0 -16.0 0.5 -14.7 -1.7 1.2 -4.3 2.4 -6.0 1.0 -3.5 17.1 19.8 8.5 -7.5 -6.0 1.4 2.0 7.6 COTTON2 -5.5 1.4 12.5 -4.9 -4.6 -3.3 -5.7 -3.2 -6.4 -16.9 12.8 -12.3 -8.8 -3.1 11.8 -5.1 4.4 -0.4 1.8 4.6 7.5 -10.7 2.0 -3.0 -20.0 4.2 -11.1 5.9 -6.7 4.4 -0.9 2.0 -9.6 11.1 19.2 15.8 -17.8 -15.8 9.2 10.1 CRUDE_W -20.0 4.3 20.0 2.7 -2.3 4.4 -4.5 3.3 -2.0 -2.7 13.6 -6.7 4.6 2.1 12.0 20.0 12.2 19.0 14.5 11.7 15.0 -8.9 10.6 -1.4 -5.1 4.0 -0.9 5.4 -3.4 4.4 -0.5 -20.0 -9.7 15.6 9.1 1.3 20.0 10.5 20.0 8.2 DAX -12.1 -14.6 -14.3 -4.9 5.1 -2.3 -0.7 0.3 -4.8 14.7 -6.4 -9.4 13.2 -13.9 -17.1 -10.0 -7.7 -9.6 -9.0 -17.1 -8.2 -3.0 3.7 -16.0 17.8 -6.1 5.8 -3.2 -1.0 0.3 -5.7 -4.0 6.4 -2.1 -0.2 -7.3 18.0 0.9 20.0 9.5 DOW -20.0 -20.0 -2.9 -4.3 4.5 -2.0 -0.7 0.2 -4.2 13.8 0.1 -8.2 9.6 -11.5 -11.1 -11.5 -8.7 -11.5 -10.5 -16.3 -5.6 -6.1 1.6 -18.8 -10.1 -4.1 2.8 -0.8 -1.8 1.4 -5.1 -6.2 -6.6 -12.8 -9.1 13.4 -14.1 -7.2 -20.0 -8.0 DX 4.1 20.0 15.5 -4.3 6.3 -0.7 1.4 1.7 -3.6 -18.6 16.7 3.6 -6.1 15.4 20.0 7.4 5.7 7.1 6.4 20.0 20.0 2.3 10.7 20.0 -20.0 7.1 -3.4 5.1 0.9 3.2 5.5 14.1 -20.0 20.0 20.0 20.0 2.5 7.8 5.9 20.0 EUR -5.8 -20.0 -12.0 -3.4 5.0 -0.5 1.1 1.3 -2.9 14.9 -12.2 -2.6 5.3 -11.8 -15.4 -6.8 -6.9 -6.8 -6.7 -18.0 -12.0 -1.0 -5.0 -13.4 13.0 -5.5 2.6 -3.4 -0.5 -1.4 -4.2 -7.8 1.6 -12.3 -18.3 -13.3 -8.7 -18.1 -5.3 -3.4 EURIBOR-ICE 1.1 2.1 3.6 -2.4 1.3 -2.0 -0.8 -1.8 -2.2 6.0 -3.9 5.0 -6.8 0.2 -0.0 -6.8 -7.9 -8.3 -8.6 -1.5 -3.3 5.3 -7.5 1.1 17.1 -0.9 4.1 -1.7 3.0 -3.8 0.5 -10.7 11.8 14.7 11.7 8.6 -20.0 -20.0 11.8 15.1 EUROSTX -7.5 -12.8 -13.2 -4.8 5.0 -2.2 -0.7 0.3 -4.7 13.5 -1.6 -6.8 13.9 -12.7 -16.5 -5.6 -1.9 -5.3 -4.2 -12.1 -4.8 0.5 6.5 -10.3 5.1 -5.5 7.4 -2.5 0.5 1.8 -4.7 5.2 8.0 10.3 5.7 1.4 13.0 3.8 19.0 13.7 FEEDCOW -20.0 -13.9 6.8 -5.3 -4.9 -3.6 -6.2 -3.5 -6.9 -14.1 17.0 -18.8 19.1 -9.1 9.5 -11.6 -20.0 -12.8 -20.0 6.5 20.0 -20.0 20.0 -15.2 -1.7 3.1 -3.7 8.2 -6.6 10.4 -3.3 -20.0 -18.3 -5.6 20.0 20.0 12.5 -6.0 20.0 4.3 GASOIL -20.0 -1.9 20.0 2.3 -2.0 3.7 -3.8 2.8 -1.7 -5.7 12.4 -7.0 6.2 -1.4 11.5 20.0 20.0 20.0 20.0 13.0 18.2 -13.5 14.0 -3.1 8.9 3.7 -2.3 5.1 -3.5 3.6 -0.7 0.0 1.3 7.5 5.6 15.2 -15.5 2.4 -19.4 -3.8 GASOLINE -20.0 -14.7 13.1 2.9 -2.6 4.8 -5.0 3.6 -2.2 -10.3 12.4 -15.5 6.3 -14.5 5.4 20.0 20.0 20.0 20.0 -3.4 11.7 -20.0 16.1 -20.0 -20.0 -1.1 -3.7 3.6 -7.9 5.6 -6.8 20.0 -20.0 -20.0 -20.0 -12.0 20.0 10.8 20.0 5.1 GAS_US_mini 11.7 4.2 16.7 3.7 -3.2 6.1 -6.3 4.5 -2.8 20.0 -19.8 20.0 -20.0 5.4 -9.3 -20.0 -20.0 -20.0 -20.0 -0.4 -16.5 20.0 -20.0 13.6 20.0 3.8 17.0 0.0 17.1 -3.1 9.8 -20.0 20.0 20.0 -11.2 -20.0 -3.0 5.8 -10.2 0.2 GBP -9.5 -20.0 -10.9 -4.2 6.2 -0.7 1.4 1.7 -3.5 18.9 -3.8 -1.3 9.9 -13.9 -17.5 -0.7 -0.7 -0.4 -0.4 -20.0 -10.1 2.9 -0.3 -16.1 0.0 -6.1 5.1 -3.0 0.7 -0.8 -4.7 2.8 11.2 -17.9 -20.0 -14.7 -3.3 10.4 2.6 20.0 GOLD_micro -17.1 -10.3 -18.8 -5.4 0.3 -2.7 -4.7 -0.3 -6.7 14.2 -15.7 -9.8 1.3 -14.7 -17.8 -18.6 -14.7 -18.5 -16.9 -20.0 -19.1 -11.0 -6.7 -20.0 -9.1 -5.9 4.8 -3.3 -3.0 -0.7 -6.9 -19.6 -9.6 -20.0 -17.0 -12.7 -10.5 -20.0 -5.8 -20.0 HEATOIL -20.0 -0.7 20.0 2.8 -2.4 4.5 -4.7 3.4 -2.1 -7.0 13.3 -11.3 5.9 -6.5 11.8 20.0 20.0 20.0 20.0 11.7 20.0 -19.4 16.3 -9.0 -20.0 2.9 -2.8 6.1 -5.5 5.8 -2.9 0.8 -6.8 -3.9 -7.2 17.1 5.6 -2.2 -1.0 -6.1 JGB-SGX-mini -6.5 -13.6 -20.0 -3.6 1.9 -2.9 -1.1 -2.6 -3.2 7.4 -1.2 -1.0 4.1 -7.8 -11.2 20.0 20.0 17.3 17.2 -11.3 -6.9 -0.4 -0.4 -8.8 -1.1 -3.8 4.4 -2.6 -0.1 -1.2 -3.0 20.0 4.5 9.0 6.3 1.3 -6.3 -12.4 11.1 10.7 JPY 0.7 -10.5 -20.0 -3.2 4.7 -0.5 1.1 1.3 -2.7 -0.6 -16.9 -9.0 -15.9 -13.7 -16.3 -19.1 -15.1 -18.0 -16.7 -20.0 -20.0 -5.7 -20.0 -13.4 20.0 -6.1 -1.2 -6.9 -1.7 -6.9 -3.9 -20.0 -8.0 -7.3 -11.0 -20.0 -5.9 -20.0 -2.7 -20.0 LEANHOG -10.3 2.5 15.8 -2.4 -2.3 -1.6 -2.8 -1.6 -3.2 -3.9 -1.4 -5.1 -4.0 -5.0 -2.5 20.0 20.0 20.0 20.0 -2.9 -3.3 -4.0 -5.9 -4.3 9.7 -2.3 -2.4 -3.9 -2.2 -6.4 -2.4 20.0 1.7 -0.6 3.1 -0.7 -8.0 -1.4 14.0 20.0 LIVECOW -19.1 -10.2 1.4 -5.7 -5.3 -3.8 -6.6 -3.7 -7.4 -10.2 19.5 -15.8 20.0 -1.7 11.6 -20.0 -3.8 -20.0 -9.0 8.9 20.0 -11.9 20.0 -5.3 1.0 4.8 -0.7 11.1 -4.6 14.0 -1.7 -10.9 -3.2 14.9 20.0 20.0 -20.0 -20.0 -16.8 -18.2 LUMBER-new 2.5 -7.8 -9.5 -5.9 -5.5 -3.8 -6.9 -3.0 -7.7 3.4 -20.0 -4.7 -20.0 -16.9 -20.0 -14.6 -14.1 -15.3 -14.6 -15.2 -16.7 -1.6 -14.5 -9.3 NaN -7.0 4.1 -6.7 -0.7 -4.8 -4.5 -20.0 13.8 11.9 2.0 -13.9 -12.2 -20.0 -3.8 -19.9 MILK -20.0 -2.6 5.2 -4.0 -3.7 -2.7 -4.6 -2.6 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1.4 -2.3 -0.9 -2.0 -2.5 7.7 -7.2 -2.2 -8.4 -5.6 -7.1 5.6 8.0 6.0 6.7 -7.4 -6.5 1.3 -7.9 -5.7 7.9 -2.8 3.4 -2.1 0.2 -2.2 -2.3 16.6 8.6 5.2 4.5 4.5 -20.0 -20.0 -6.0 7.8 OATIES -20.0 -20.0 14.9 -3.2 -3.0 -2.2 -3.7 -2.1 -4.2 -11.4 4.8 -11.7 -0.9 -11.2 -4.0 -16.7 -7.0 -16.9 -13.9 -6.5 5.8 -19.7 7.8 -17.4 -20.0 -1.3 -5.4 1.3 -4.5 1.7 -3.9 -20.0 -13.5 -20.0 2.2 14.9 8.0 13.1 20.0 20.0 OJ 18.1 20.0 20.0 -6.0 -5.6 -4.1 -6.9 -3.9 -7.8 17.9 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 9.2 4.3 9.8 7.1 10.6 8.4 20.0 20.0 20.0 20.0 20.0 3.1 6.6 17.5 20.0 PALLAD -5.4 2.3 0.4 -3.2 0.2 -1.6 -2.7 -0.2 -3.9 -7.0 -12.6 -8.8 -13.4 -9.1 -10.8 -3.1 -2.7 -3.0 -2.9 -10.2 -15.1 -11.8 -20.0 -11.3 0.7 -3.8 -2.0 -4.1 -5.2 -5.0 -4.8 2.6 -7.0 -1.9 -1.7 -8.1 -10.5 -6.5 1.5 -2.4 PLAT -8.5 -2.6 -10.6 -3.2 0.2 -1.6 -2.7 -0.2 -3.9 0.2 -11.0 -6.9 -4.4 -9.4 -9.9 -3.9 -2.6 -3.6 -3.2 -9.8 -9.1 -6.0 -6.3 -9.6 13.0 -2.3 0.8 -1.7 -2.6 -1.1 -3.3 2.5 2.9 2.6 9.8 -0.8 -0.0 -17.7 8.0 -14.4 REDWHEAT 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-20.0 15.8 14.5 7.7 5.6 -20.0 -20.0 -20.0 -20.0 SILVER-mini -13.8 -12.6 -8.5 -3.3 0.2 -1.6 -2.9 -0.2 -4.1 2.8 -4.5 -5.4 1.9 -9.4 -9.8 -8.0 -6.3 -7.7 -7.1 -12.3 -7.0 -7.7 -2.0 -14.2 6.1 -2.9 1.5 -0.9 -2.8 0.1 -4.3 -4.1 -11.4 -8.4 2.3 3.6 -15.4 -20.0 -6.6 -20.0 SMI -4.8 -2.9 -9.3 -4.7 4.9 -2.2 -0.7 0.2 -4.5 14.2 -1.1 -4.7 4.7 -8.0 -12.2 4.5 1.6 1.4 0.5 -8.0 -5.6 3.6 -1.6 -6.0 5.9 -3.3 13.3 -2.2 2.7 -1.8 -2.8 12.0 5.6 20.0 16.0 4.5 -6.4 -15.3 -8.5 -10.8 SOFR -2.9 -6.3 -15.1 -3.2 1.7 -2.6 -1.0 -2.3 -2.9 7.1 -9.1 -2.7 -6.6 -6.7 -9.0 -0.6 -1.0 -1.4 -1.3 -10.6 -10.2 -1.3 -8.3 -7.6 -1.7 -3.5 2.1 -3.2 -0.5 -2.5 -2.7 1.8 8.0 4.0 4.5 0.6 -20.0 -20.0 -7.3 -6.2 SOYBEAN -13.9 -7.8 6.1 -4.2 -3.8 -2.8 -4.8 -2.7 -5.4 -13.9 5.9 -15.3 2.1 -14.3 -1.6 11.3 17.6 10.5 13.1 -5.8 0.3 -12.6 0.7 -11.7 -20.0 -2.3 -6.6 0.2 -5.7 0.6 -4.9 20.0 -5.8 -4.8 6.3 13.7 -18.8 -0.9 -15.3 6.2 SOYMEAL -14.2 -9.8 -3.4 -3.6 -3.4 -2.5 -4.2 -2.4 -4.7 -7.0 -9.1 -10.9 1.0 -12.6 -10.1 8.2 17.2 10.5 14.4 -10.0 -5.8 -9.6 -0.2 -12.8 -20.0 -3.1 -0.8 -0.5 -3.7 2.3 -4.8 20.0 -6.0 -7.0 1.9 6.7 -20.0 -20.0 -20.0 -18.6 SOYOIL -20.0 -20.0 10.0 -2.9 -2.7 -2.0 -3.4 -1.9 -3.8 -10.5 4.4 -11.5 -0.4 -11.5 -3.3 15.4 12.2 14.8 12.8 -11.3 -0.7 -20.0 1.7 -20.0 -20.0 -2.7 -5.6 -0.4 -5.8 0.2 -5.0 17.6 -20.0 -20.0 -11.8 6.7 -2.5 5.7 17.8 20.0 SP400 -17.1 -20.0 -5.4 -3.8 4.0 -1.8 -0.6 0.2 -3.7 6.7 -5.4 -6.7 2.6 -11.5 -10.7 -5.3 -5.0 -5.6 -5.5 -17.1 -8.0 -4.6 -1.3 -17.1 -11.2 -3.8 3.0 -1.3 -1.3 0.5 -4.3 1.3 -4.0 -8.0 -4.7 11.6 -6.2 -12.9 -17.6 -20.0 SP500_micro -20.0 -19.7 -7.6 -4.0 4.1 -1.8 -0.6 0.2 -3.8 13.9 5.4 -5.1 8.5 -8.7 -8.9 -11.1 -9.7 -11.7 -11.2 -11.1 0.1 1.5 7.1 -11.9 -17.5 -3.1 4.6 0.7 0.4 3.1 -3.5 -7.6 10.2 -7.6 -0.0 14.7 -6.0 -12.5 -9.0 -18.1 SUGAR11 -15.3 11.1 0.8 -4.9 -4.5 -3.3 -5.7 -3.2 -6.4 3.4 16.5 -1.5 16.8 10.9 13.9 20.0 13.0 13.0 10.3 15.3 20.0 3.4 20.0 8.3 -20.0 4.5 -0.3 7.7 1.0 12.1 2.1 16.7 18.6 17.4 20.0 5.0 -20.0 -20.0 7.4 1.1 US10 -4.7 -6.7 -16.2 -2.7 1.4 -2.2 -0.8 -2.0 -2.4 6.2 -8.5 -3.7 -8.5 -6.4 -8.2 -7.2 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-2.6 6.1 -9.1 -1.7 -9.1 -5.7 -8.3 -12.6 -10.7 -13.7 -13.0 -10.3 -11.9 -0.1 -12.8 -6.2 3.8 -3.2 2.0 -3.5 0.0 -3.5 -2.1 -16.8 10.4 4.7 4.0 -0.3 -20.0 -20.0 -5.7 -18.3 VIX 20.0 11.5 6.3 -1.9 -4.5 -8.0 0.6 -12.1 2.2 -16.6 -19.2 4.3 -20.0 2.0 -6.5 -12.5 -20.0 -20.0 -20.0 -6.2 -20.0 -1.3 -20.0 2.2 NaN -2.1 -5.2 -9.2 0.5 -14.6 2.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 5.1 -16.8 -13.0 -3.3 -3.1 -2.3 -3.9 -2.2 -4.3 -0.0 -12.4 0.3 -13.3 -9.0 -12.6 -11.1 -10.0 -11.3 -10.9 -13.7 -16.1 -2.9 -16.8 -7.6 -4.2 -4.0 -1.7 -4.3 -1.1 -4.1 -2.5 -20.0 3.2 7.8 -6.6 -10.3 -20.0 -14.3 -20.0 -10.4 End of report for caleb_strategy_v3