******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231012_204326 produced at 2023-10-12 21:38:52.732670 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.07 0.0 0.00 0.00 0.00 0.00 -12.41 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.21 0.0 0.00 0.00 0.00 0.00 -2.94 13.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.19 -0.19 0.0 0.19 -0.19 -0.19 -0.19 -6.05 6.0 -6 -6 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.19 0.0 0.11 -0.11 -0.11 -0.11 -29.57 17.0 -17 -17 caleb_strategy_v3 CHF False False 0.05 -0.30 -0.18 0.0 0.65 -0.65 -0.30 -0.30 -3.70 13.0 -6 -6 caleb_strategy_v3 GOLD_micro False False 0.01 -0.10 -0.17 0.0 0.38 -0.38 -0.10 -0.13 -25.34 56.0 -15 -19 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 -0.14 0.0 0.76 -0.76 -0.03 -0.03 -5.27 29.0 -1 -1 caleb_strategy_v3 JPY False False 0.03 -0.09 -0.11 0.0 0.51 -0.51 -0.09 -0.21 -3.80 17.0 -3 -7 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 RUSSELL False False 0.00 -0.01 -0.08 0.0 0.21 -0.21 -0.01 -0.01 -25.27 68.0 -4 -4 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.08 0.0 0.40 -0.40 -0.01 -0.01 -13.91 66.0 -1 -1 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 EUR False False 0.05 -0.38 -0.07 0.0 0.66 -0.66 -0.38 -0.38 -1.59 14.0 -8 -8 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -4.51 5.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.06 0.0 0.38 -0.38 0.00 0.00 -8.16 48.0 0 0 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.05 0.0 0.43 -0.43 -0.02 -0.02 -2.05 19.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.65 -0.65 0.00 0.00 -1.28 17.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.00 -0.04 0.0 0.42 -0.42 0.00 0.00 -0.93 10.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 -0.04 0.0 0.60 -0.60 0.00 -0.03 -1.41 22.0 0 -1 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.04 0.0 0.19 -0.19 0.00 0.00 -11.53 51.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.03 0.0 0.11 -0.11 -0.01 -0.01 -2.91 12.0 -1 -1 caleb_strategy_v3 BITCOIN False False 0.00 -0.03 -0.03 0.0 0.06 -0.06 -0.03 -0.03 -29.29 59.0 -33 -33 caleb_strategy_v3 US10U False False 0.04 0.00 -0.03 0.0 0.51 -0.51 0.00 0.00 -0.75 13.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -0.67 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 -0.02 -2.65 23.0 -1 -2 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.03 0.0 0.84 -0.84 0.00 0.00 -0.60 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 -6.77 3.0 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 REDWHEAT False False 0.01 -0.04 -0.02 0.0 0.10 -0.10 -0.04 -0.05 -2.01 8.0 -3 -4 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.41 2.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.01 -0.02 0.0 0.59 -0.59 0.01 0.00 -1.66 60.0 1 0 caleb_strategy_v3 US20 False False 0.04 -0.08 -0.02 0.0 0.36 -0.36 -0.08 -0.08 -0.41 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 -0.57 17.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.02 0.0 0.11 -0.11 -0.02 -0.02 -1.97 9.0 -2 -2 caleb_strategy_v3 COFFEE False False 0.02 -0.04 -0.02 0.0 0.12 -0.12 -0.04 -0.04 -1.17 6.0 -2 -2 caleb_strategy_v3 COTTON2 False False 0.02 -0.03 -0.01 0.0 0.17 -0.17 -0.03 -0.03 -0.92 11.0 -2 -2 caleb_strategy_v3 SOYOIL False False 0.01 -0.01 -0.01 0.0 0.11 -0.11 -0.01 -0.01 -0.54 10.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -0.82 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 -0.42 7.0 -1 -1 caleb_strategy_v3 BUXL False False 0.05 -0.14 -0.01 0.0 0.19 -0.19 -0.14 -0.09 -0.14 4.0 -3 -2 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 -0.01 0.0 0.19 -0.19 0.00 0.00 -0.75 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 -0.57 4.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 -0.01 0.0 0.36 -0.36 0.00 0.00 -0.18 8.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.49 -0.49 0.00 0.00 -0.18 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 -0.29 6.0 -2 -1 caleb_strategy_v3 PLAT False False 0.02 -0.06 -0.01 0.0 0.16 -0.16 -0.06 -0.05 -0.66 10.0 -4 -3 caleb_strategy_v3 CAC False True 0.03 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.13 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 0.09 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 -0.15 4.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.08 3.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 0.00 0.0 0.47 -0.47 0.00 0.05 0.01 10.0 0 1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.01 0.0 0.18 -0.18 0.00 0.00 1.31 18.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 0.01 0.0 0.08 -0.08 -0.01 -0.00 2.31 26.0 -3 -1 caleb_strategy_v3 NZD False False 0.02 0.00 0.01 0.0 0.45 -0.45 0.00 0.00 0.28 21.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.01 0.0 0.34 -0.34 0.00 0.00 2.22 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 0.25 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 1.36 20.0 5 5 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.03 0.0 0.12 -0.12 0.00 0.00 1.02 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 3.69 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 2.76 3.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.06 0.07 0.0 0.28 -0.28 0.06 0.11 9.26 36.0 8 14 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.08 0.0 0.13 -0.13 0.08 0.11 2.90 5.0 3 4 caleb_strategy_v3 DX False False 0.04 0.00 0.12 0.0 38111241.80 -38111241.80 0.00 0.00 3.24 999999999.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.28 0.32 0.0 0.92 -0.92 0.28 0.09 3.42 10.0 3 1 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.52 0.35 0.0 0.56 -0.56 0.52 0.38 10.06 16.0 15 11 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 13.4 Shocked risk 29.1 Sum abs risk 47.6 Leverage 4.80 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2789990.43, 'annual_cash_vol_target': 697497.6075, 'daily_cash_vol_target': 43593.60046875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0046 0.6329 0.7217 11.5480 BITCOIN 675.7943 26680.0000 2.5330 40.5274 BOBL 0.2990 115.9500 0.2579 4.1261 BTP 0.7111 109.7700 0.6478 10.3653 BUND 0.6411 128.8500 0.4975 7.9604 BUXL 1.5396 122.3000 1.2588 20.1415 CAC 58.0635 7084.5000 0.8196 13.1134 CAD 0.0030 0.7310 0.4164 6.6626 CANOLA 7.2816 716.4000 1.0164 16.2626 CHF 0.0049 1.1084 0.4412 7.0596 COCOA 44.5225 3514.0000 1.2670 20.2720 COFFEE 2.3220 149.9500 1.5485 24.7762 COPPER 0.0382 3.5800 1.0683 17.0934 CORN 5.7164 522.0000 1.0951 17.5216 COTTON2 1.0357 84.9300 1.2194 19.5112 CRUDE_W 1.3978 75.3200 1.8558 29.6934 DAX 120.8602 15490.0000 0.7802 12.4839 DOW 206.6505 33756.0000 0.6122 9.7950 DX 0.3965 106.3300 0.3729 5.9657 EUR 0.0052 1.0560 0.4948 7.9161 EURIBOR-ICE 0.0560 96.9950 0.0578 0.9241 EUROSTX 39.3629 4201.0000 0.9370 14.9918 FEEDCOW 1.7487 254.4250 0.6873 10.9967 GASOIL 15.4101 843.7500 1.8264 29.2221 GASOLINE 0.0403 2.1546 1.8694 29.9098 GAS_US_mini 0.0849 3.6350 2.3362 37.3794 GBP 0.0068 1.2181 0.5607 8.9718 GOLD_micro 11.7352 1881.8000 0.6236 9.9779 HEATOIL 0.0462 2.8822 1.6022 25.6355 JGB-SGX-mini 0.2221 145.1500 0.1530 2.4484 JPY 0.0000 0.0067 0.5429 8.6858 LEANHOG 1.4225 75.2000 1.8916 30.2649 LIVECOW 1.2503 187.7750 0.6658 10.6535 LUMBER-new 8.4707 510.0000 1.6609 26.5747 MILK 0.1964 17.6000 1.1158 17.8528 MXP 0.0005 0.0549 0.8940 14.3040 NASDAQ_micro 135.4396 15281.5000 0.8863 14.1808 NIKKEI 323.4254 32215.0000 1.0040 16.0633 NZD 0.0042 0.5930 0.7010 11.2164 OAT 0.6590 123.2400 0.5347 8.5558 OATIES 7.2397 405.0000 1.7876 28.6012 OJ 4.5057 369.4500 1.2196 19.5129 PALLAD 21.2426 1137.0000 1.8683 29.8929 PLAT 13.6385 871.9000 1.5642 25.0276 REDWHEAT 11.5373 684.5000 1.6855 26.9680 RICE 0.1578 16.6050 0.9506 15.2090 ROBUSTA 26.9755 2254.0000 1.1968 19.1486 RUSSELL 18.3808 1744.0000 1.0539 16.8631 SHATZ 0.0847 105.0550 0.0806 1.2903 SILVER-mini 0.3439 22.3000 1.5423 24.6769 SMI 77.7410 10994.0000 0.7071 11.3140 SOFR 0.0757 95.9250 0.0790 1.2633 SOYBEAN 11.1607 1239.0000 0.9008 14.4125 SOYMEAL 4.9685 383.4000 1.2959 20.7344 SOYOIL 0.7863 52.2500 1.5048 24.0773 SP400 22.4600 2472.7000 0.9083 14.5331 SP500_micro 31.1540 4378.0000 0.7116 11.3856 SUGAR11 0.3358 25.2100 1.3320 21.3119 US10 0.4617 107.2500 0.4305 6.8881 US10U 0.6568 110.3750 0.5951 9.5215 US2 0.1097 101.2930 0.1083 1.7323 US20 1.0349 111.5938 0.9274 14.8380 US30 1.5195 115.6875 1.3134 21.0148 US5 0.2893 104.9453 0.2757 4.4106 VIX 0.5308 18.1000 2.9327 46.9230 WHEAT 10.1789 666.2500 1.5278 24.4445 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 632.90 0.72 456.79 1.00 456.79 43593.6 95.43 -8.28 -79.01 BITCOIN 26.68 2.53 67.58 1.00 67.58 43593.6 645.07 -4.19 -270.48 BOBL 1159.50 0.26 299.02 1.06 316.99 43593.6 137.52 -4.33 -59.57 BTP 1097.70 0.65 711.12 1.06 753.86 43593.6 57.83 -4.71 -27.24 BUND 1288.50 0.50 641.06 1.06 679.59 43593.6 64.15 -2.79 -17.91 BUXL 1223.00 1.26 1539.56 1.06 1632.09 43593.6 26.71 -5.12 -13.67 CAC 708.45 0.82 580.64 1.06 615.53 43593.6 70.82 -0.56 -3.96 CAD 730.95 0.42 304.38 1.00 304.38 43593.6 143.22 -14.17 -202.98 CANOLA 143.28 1.02 145.63 0.74 107.11 43593.6 407.00 -11.65 -473.98 CHF 1385.56 0.44 611.34 1.00 611.34 43593.6 71.31 -20.00 -142.62 COCOA 351.40 1.27 445.22 1.00 445.22 43593.6 97.91 0.43 4.25 COFFEE 562.31 1.55 870.75 1.00 870.75 43593.6 50.06 -20.00 -100.13 COPPER 895.00 1.07 956.16 1.00 956.16 43593.6 45.59 -12.26 -55.91 CORN 261.00 1.10 285.82 1.00 285.82 43593.6 152.52 -7.83 -119.49 COTTON2 424.65 1.22 517.84 1.00 517.84 43593.6 84.18 -5.10 -42.91 CRUDE_W 753.20 1.86 1397.82 1.00 1397.82 43593.6 31.19 8.58 26.75 DAX 154.90 0.78 120.86 1.06 128.12 43593.6 340.25 1.91 65.12 DOW 168.78 0.61 103.33 1.00 103.33 43593.6 421.91 -14.19 -598.70 DX 1063.30 0.37 396.46 1.00 396.46 43593.6 109.96 11.35 124.80 EUR 1320.00 0.49 653.08 1.00 653.08 43593.6 66.75 -9.15 -61.09 EURIBOR-ICE 2424.88 0.06 140.05 1.06 148.47 43593.6 293.62 3.42 100.35 EUROSTX 420.10 0.94 393.63 1.06 417.29 43593.6 104.47 3.82 39.92 FEEDCOW 1272.12 0.69 874.33 1.00 874.33 43593.6 49.86 -1.06 -5.30 GASOIL 843.75 1.83 1541.01 1.00 1541.01 43593.6 28.29 8.35 23.63 GASOLINE 904.93 1.87 1691.65 1.00 1691.65 43593.6 25.77 -1.31 -3.37 GAS_US_mini 90.88 2.34 212.30 1.00 212.30 43593.6 205.34 1.04 21.36 GBP 761.31 0.56 426.89 1.00 426.89 43593.6 102.12 -5.30 -54.15 GOLD_micro 188.18 0.62 117.35 1.00 117.35 43593.6 371.48 -20.00 -742.95 HEATOIL 1210.52 1.60 1939.53 1.00 1939.53 43593.6 22.48 0.86 1.92 JGB-SGX-mini 145150.00 0.15 22211.81 0.01 149.15 43593.6 292.27 3.18 92.94 JPY 842.94 0.54 457.60 1.00 457.60 43593.6 95.27 -15.37 -146.46 LEANHOG 300.80 1.89 568.98 1.00 568.98 43593.6 76.62 7.93 60.72 LIVECOW 751.10 0.67 500.12 1.00 500.12 43593.6 87.17 -1.97 -17.16 LUMBER-new 140.25 1.66 232.94 1.00 232.94 43593.6 187.14 -17.00 -318.19 MILK 352.00 1.12 392.76 1.00 392.76 43593.6 110.99 -18.98 -210.66 MXP 274.40 0.89 245.31 1.00 245.31 43593.6 177.71 -0.64 -11.31 NASDAQ_micro 305.63 0.89 270.88 1.00 270.88 43593.6 160.93 -7.08 -113.99 NIKKEI 32215.00 1.00 32342.54 0.01 217.18 43593.6 200.72 4.26 85.48 NZD 593.00 0.70 415.71 1.00 415.71 43593.6 104.87 1.04 10.95 OAT 1232.40 0.53 659.01 1.06 698.62 43593.6 62.40 0.06 0.35 OATIES 202.50 1.79 361.98 1.00 361.98 43593.6 120.43 -11.65 -140.33 OJ 554.18 1.22 675.85 1.00 675.85 43593.6 64.50 20.00 129.00 PALLAD 1137.00 1.87 2124.26 1.00 2124.26 43593.6 20.52 -9.63 -19.76 PLAT 435.95 1.56 681.92 1.00 681.92 43593.6 63.93 -3.03 -19.34 REDWHEAT 342.25 1.69 576.86 1.00 576.86 43593.6 75.57 -20.00 -151.14 RICE 332.10 0.95 315.68 1.00 315.68 43593.6 138.09 -1.70 -23.47 ROBUSTA 225.40 1.20 269.76 1.00 269.76 43593.6 161.60 -3.99 -64.51 RUSSELL 87.20 1.05 91.90 1.00 91.90 43593.6 474.34 -16.08 -762.56 SHATZ 1050.55 0.08 84.72 1.06 89.82 43593.6 485.37 -7.62 -369.80 SILVER-mini 557.50 1.54 859.84 1.00 859.84 43593.6 50.70 -9.93 -50.33 SMI 1099.40 0.71 777.41 1.10 859.00 43593.6 50.75 1.44 7.33 SOFR 2398.12 0.08 189.35 1.00 189.35 43593.6 230.23 -8.87 -204.25 SOYBEAN 619.50 0.90 558.04 1.00 558.04 43593.6 78.12 -5.85 -45.69 SOYMEAL 383.40 1.30 496.85 1.00 496.85 43593.6 87.74 -10.06 -88.26 SOYOIL 313.50 1.50 471.76 1.00 471.76 43593.6 92.41 -6.30 -58.17 SP400 2472.70 0.91 2246.00 1.00 2246.00 43593.6 19.41 -14.29 -27.73 SP500_micro 218.90 0.71 155.77 1.00 155.77 43593.6 279.86 -12.54 -351.07 SUGAR11 282.35 1.33 376.09 1.00 376.09 43593.6 115.91 5.32 61.67 US10 1072.50 0.43 461.71 1.00 461.71 43593.6 94.42 -10.67 -100.78 US10U 1103.75 0.60 656.83 1.00 656.83 43593.6 66.37 -8.94 -59.31 US2 2025.86 0.11 219.34 1.00 219.34 43593.6 198.75 -11.68 -232.17 US20 1115.94 0.93 1034.89 1.00 1034.89 43593.6 42.12 -7.63 -32.14 US30 1156.88 1.31 1519.47 1.00 1519.47 43593.6 28.69 -7.96 -22.82 US5 1049.45 0.28 289.29 1.00 289.29 43593.6 150.69 -12.01 -181.00 VIX 181.00 2.93 530.82 1.00 530.82 43593.6 82.13 -14.59 -119.78 WHEAT 333.12 1.53 508.94 1.00 508.94 43593.6 85.66 -17.35 -148.62 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -79.013 0.010 2.5 -2.050 BITCOIN -270.482 0.043 2.5 -29.291 BOBL -59.569 0.004 2.5 -0.604 BTP -27.240 0.014 2.5 -0.929 BUND -17.908 0.004 2.5 -0.182 BUXL -13.673 0.004 2.5 -0.139 CAC -3.955 0.014 2.5 -0.135 CAD -202.982 0.010 2.5 -5.267 CANOLA -473.977 0.010 2.5 -11.532 CHF -142.616 0.010 2.5 -3.701 COCOA 4.255 0.009 2.5 0.091 COFFEE -100.129 0.005 2.5 -1.169 COPPER -55.910 0.043 2.5 -6.055 CORN -119.489 0.010 2.5 -2.907 COTTON2 -42.906 0.009 2.5 -0.919 CRUDE_W 26.749 0.043 2.5 2.897 DAX 65.123 0.014 2.5 2.221 DOW -598.699 0.009 2.5 -13.915 DX 124.801 0.010 2.5 3.238 EUR -61.085 0.010 2.5 -1.585 EURIBOR-ICE 100.353 0.014 2.5 3.423 EUROSTX 39.918 0.014 2.5 1.362 FEEDCOW -5.297 0.013 2.5 -0.176 GASOIL 23.627 0.017 2.5 1.024 GASOLINE -3.372 0.017 2.5 -0.146 GAS_US_mini 21.363 0.043 2.5 2.313 GBP -54.153 0.010 2.5 -1.405 GOLD_micro -742.952 0.014 2.5 -25.342 HEATOIL 1.924 0.017 2.5 0.083 JGB-SGX-mini 92.941 0.043 2.5 10.065 JPY -146.462 0.010 2.5 -3.800 LEANHOG 60.723 0.024 2.5 3.691 LIVECOW -17.161 0.013 2.5 -0.569 LUMBER-new -318.195 0.009 2.5 -6.766 MILK -210.656 0.009 2.5 -4.512 MXP -11.314 0.059 2.5 -1.661 NASDAQ_micro -113.991 0.009 2.5 -2.649 NIKKEI 85.481 0.043 2.5 9.257 NZD 10.948 0.010 2.5 0.284 OAT 0.347 0.014 2.5 0.012 OATIES -140.332 0.010 2.5 -3.414 OJ 129.004 0.009 2.5 2.763 PALLAD -19.755 0.014 2.5 -0.674 PLAT -19.341 0.014 2.5 -0.660 REDWHEAT -151.140 0.005 2.5 -2.005 RICE -23.474 0.010 2.5 -0.571 ROBUSTA -64.513 0.005 2.5 -0.753 RUSSELL -762.556 0.013 2.5 -25.270 SHATZ -369.804 0.004 2.5 -3.750 SILVER-mini -50.328 0.014 2.5 -1.717 SMI 7.333 0.014 2.5 0.250 SOFR -204.255 0.024 2.5 -12.414 SOYBEAN -45.687 0.004 2.5 -0.425 SOYMEAL -88.262 0.004 2.5 -0.821 SOYOIL -58.172 0.004 2.5 -0.542 SP400 -27.729 0.013 2.5 -0.919 SP500_micro -351.069 0.009 2.5 -8.159 SUGAR11 61.670 0.009 2.5 1.312 US10 -100.782 0.005 2.5 -1.277 US10U -59.315 0.005 2.5 -0.752 US2 -232.166 0.005 2.5 -2.942 US20 -32.138 0.005 2.5 -0.407 US30 -22.824 0.005 2.5 -0.289 US5 -180.995 0.005 2.5 -2.294 VIX -119.784 0.099 2.5 -29.569 WHEAT -148.617 0.005 2.5 -1.972 ===================== Position diags ===================== AUD 2.48 BITCOIN 69.86 BOBL 1.39 BTP 1.97 BUND 0.65 BUXL 0.27 CAC 2.42 CAD 3.72 CANOLA 9.90 CHF 1.85 COCOA 2.10 COFFEE 0.58 COPPER 4.94 CORN 3.71 COTTON2 1.80 CRUDE_W 3.38 DAX 11.61 DOW 9.81 DX 2.85 EUR 1.73 EURIBOR-ICE 10.02 EUROSTX 3.56 FEEDCOW 1.65 GASOIL 1.23 GASOLINE 1.12 GAS_US_mini 22.24 GBP 2.65 GOLD_micro 12.67 HEATOIL 0.97 JGB-SGX-mini 31.65 JPY 2.47 LEANHOG 4.66 LIVECOW 2.89 LUMBER-new 3.98 MILK 2.38 MXP 26.08 NASDAQ_micro 3.74 NIKKEI 21.74 NZD 2.72 OAT 2.13 OATIES 2.93 OJ 1.38 PALLAD 0.70 PLAT 2.18 REDWHEAT 1.00 RICE 3.36 ROBUSTA 1.89 RUSSELL 15.72 SHATZ 4.92 SILVER-mini 1.73 SMI 1.73 SOFR 13.99 SOYBEAN 0.73 SOYMEAL 0.82 SOYOIL 0.86 SP400 0.64 SP500_micro 6.50 SUGAR11 2.47 US10 1.20 US10U 0.84 US2 2.52 US20 0.53 US30 0.36 US5 1.91 VIX 20.27 WHEAT 1.14 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.1 -2.3 -1.8 -1.0 -1 BITCOIN -29.3 -36.3 -22.3 -33.0 -33 BOBL -0.6 -0.7 -0.5 0.0 0 BTP -0.9 -1.1 -0.7 0.0 0 BUND -0.2 -0.2 -0.1 0.0 0 BUXL -0.1 -0.2 -0.1 -3.0 -3 CAC -0.1 -0.4 0.1 0.0 0 CAD -5.3 -5.6 -4.9 -1.0 -1 CANOLA -11.5 -12.5 -10.5 NaN 0 CHF -3.7 -3.9 -3.5 -6.0 -6 COCOA 0.1 -0.1 0.3 0.0 0 COFFEE -1.2 -1.2 -1.1 -2.0 -2 COPPER -6.1 -6.5 -5.6 -6.0 -6 CORN -2.9 -3.3 -2.5 -1.0 -1 COTTON2 -0.9 -1.1 -0.7 -2.0 -2 CRUDE_W 2.9 2.6 3.2 3.0 3 DAX 2.2 1.1 3.4 0.0 0 DOW -13.9 -14.9 -12.9 -1.0 -1 DX 3.2 3.0 3.5 NaN 0 EUR -1.6 -1.8 -1.4 -8.0 -8 EURIBOR-ICE 3.4 2.4 4.4 3.0 3 EUROSTX 1.4 1.0 1.7 5.0 5 FEEDCOW -0.2 -0.3 -0.0 0.0 0 GASOIL 1.0 0.9 1.1 0.0 0 GASOLINE -0.1 -0.3 -0.0 0.0 0 GAS_US_mini 2.3 0.1 4.5 -3.0 -3 GBP -1.4 -1.7 -1.1 0.0 0 GOLD_micro -25.3 -26.6 -24.1 -15.0 -15 HEATOIL 0.1 -0.0 0.2 0.0 0 JGB-SGX-mini 10.1 6.9 13.2 15.0 15 JPY -3.8 -4.0 -3.6 -3.0 -3 LEANHOG 3.7 3.2 4.2 3.0 3 LIVECOW -0.6 -0.9 -0.3 0.0 0 LUMBER-new -6.8 -7.2 -6.4 NaN 0 MILK -4.5 -4.7 -4.3 NaN 0 MXP -1.7 -4.3 0.9 1.0 1 NASDAQ_micro -2.6 -3.0 -2.3 -1.0 -1 NIKKEI 9.3 7.1 11.4 8.0 8 NZD 0.3 0.0 0.6 0.0 0 OAT 0.0 -0.2 0.2 0.0 0 OATIES -3.4 -3.7 -3.1 NaN 0 OJ 2.8 2.6 2.9 NaN 0 PALLAD -0.7 -0.7 -0.6 -1.0 -1 PLAT -0.7 -0.9 -0.4 -4.0 -4 REDWHEAT -2.0 -2.1 -1.9 -3.0 -3 RICE -0.6 -0.9 -0.2 NaN 0 ROBUSTA -0.8 -0.9 -0.6 0.0 0 RUSSELL -25.3 -26.8 -23.7 -4.0 -4 SHATZ -3.8 -4.2 -3.3 NaN 0 SILVER-mini -1.7 -1.9 -1.5 NaN 0 SMI 0.3 0.1 0.4 0.0 0 SOFR -12.4 -13.8 -11.0 NaN 0 SOYBEAN -0.4 -0.5 -0.4 -1.0 -1 SOYMEAL -0.8 -0.9 -0.7 0.0 0 SOYOIL -0.5 -0.6 -0.5 -1.0 -1 SP400 -0.9 -1.0 -0.9 -2.0 -2 SP500_micro -8.2 -8.8 -7.5 0.0 0 SUGAR11 1.3 1.1 1.6 0.0 0 US10 -1.3 -1.4 -1.2 NaN 0 US10U -0.8 -0.8 -0.7 0.0 0 US2 -2.9 -3.2 -2.7 NaN 0 US20 -0.4 -0.5 -0.4 -2.0 -2 US30 -0.3 -0.3 -0.3 -2.0 -2 US5 -2.3 -2.5 -2.1 -4.0 -4 VIX -29.6 -31.6 -27.5 -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 -0.3 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -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 -0.1 -0.0 -0.1 -0.2 0.0 0.0 -0.5 -0.3 -0.7 -0.2 0.1 BITCOIN 0.2 -0.2 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.2 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 0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -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 0.4 0.3 0.2 0.2 -0.7 -0.7 -0.5 -0.5 BTP -0.4 -0.6 -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -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 0.3 0.0 0.0 0.2 -0.4 -0.7 -0.0 0.3 BUND -0.1 -0.2 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.3 -0.0 -0.1 -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 0.3 0.2 0.2 0.1 -0.7 -0.7 -0.6 -0.1 BUXL -0.2 -0.3 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 0.0 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 0.0 -0.1 -0.0 0.0 -0.1 0.0 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 -0.1 -0.7 -0.1 0.0 -0.1 -0.0 0.1 -0.1 0.2 -0.0 0.2 0.2 0.2 0.5 0.1 0.7 0.3 CAD -0.1 -0.2 -0.2 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 -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 -0.1 -0.1 -0.1 0.0 -0.5 -0.0 -0.1 -0.5 -0.7 -0.7 -0.7 -0.7 CANOLA -0.6 -0.6 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.2 0.1 -0.1 0.0 -0.2 -0.1 -0.1 -0.1 -0.2 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.3 -0.1 -0.6 -0.5 0.3 -0.3 0.0 0.4 0.4 CHF -0.3 -0.6 -0.3 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -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 -0.0 -1.1 0.5 -0.6 -0.6 -0.4 -0.7 -0.7 -0.7 -0.7 COCOA -0.6 -0.4 0.1 -0.1 -0.0 -0.1 -0.0 -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 -0.0 0.5 -0.1 -1.7 0.0 0.0 0.2 -0.0 0.4 -0.0 -0.4 0.5 -0.5 0.4 0.6 0.1 -0.3 0.7 0.1 COFFEE -0.3 0.0 -0.5 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.5 -0.2 -0.6 -0.2 -0.2 -0.1 0.0 -0.0 -0.0 -0.2 -0.2 -0.0 -0.5 -0.1 -2.7 -0.1 0.0 -0.2 -0.0 -0.2 -0.1 -0.1 0.4 0.3 0.0 -0.6 -0.7 -0.7 -0.7 -0.4 COPPER -0.4 -0.3 -0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.3 -0.1 -0.1 -0.1 -0.2 -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 -0.1 -0.1 -0.1 0.1 0.0 -0.3 -0.1 0.0 0.1 -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 0.1 -0.4 0.1 -0.5 0.0 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 0.1 -0.4 0.0 -2.0 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.2 0.5 0.6 0.3 -0.3 -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 -0.2 -0.3 -0.1 0.1 -0.1 0.1 -0.0 0.0 0.0 0.1 -0.1 0.1 -0.1 -2.7 0.0 -0.1 0.2 -0.1 0.2 -0.0 0.1 -0.4 0.3 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 0.3 -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 -0.1 0.5 0.3 0.0 0.7 0.3 0.7 0.3 DAX -0.4 -0.5 -0.5 -0.1 0.0 -0.1 -0.0 0.0 -0.0 0.1 -0.2 -0.1 0.5 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 0.1 -0.2 2.4 -0.1 0.0 -0.1 -0.0 0.0 -0.1 -0.2 0.2 -0.0 -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 -0.0 0.0 -0.2 -1.3 -0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.3 -0.1 -0.5 -0.3 0.4 -0.5 -0.2 -0.7 -0.3 DX 0.1 0.6 0.5 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.0 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 0.8 0.2 0.6 0.6 0.6 0.1 0.3 0.2 0.7 EUR -0.1 -0.6 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -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 -0.1 -0.0 -0.4 0.1 -0.3 -0.6 -0.4 -0.3 -0.6 -0.2 -0.1 EURIBOR-ICE 0.1 0.1 0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 0.0 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 0.4 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 -0.0 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 0.0 -0.1 0.0 0.1 -0.0 0.3 0.2 0.3 0.1 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 -0.3 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 -0.0 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 0.0 0.4 0.4 0.4 0.4 -0.1 0.1 -0.2 0.4 -0.2 -2.7 -0.0 -0.0 0.1 -0.1 0.2 -0.1 1.1 -0.4 -0.6 -0.6 -0.4 0.7 0.4 0.7 0.2 GAS_US_mini 0.4 0.2 0.6 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 0.2 2.7 0.0 0.1 0.0 0.2 -0.1 0.1 -1.1 0.5 0.6 -0.3 -0.6 -0.1 0.2 -0.3 0.0 GBP -0.2 -0.6 -0.4 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.1 -0.0 0.3 -0.1 -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 -0.5 -0.6 -0.5 -0.1 0.3 0.1 0.7 GOLD_micro -0.6 -0.4 -0.6 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.1 -0.4 -0.1 0.0 -0.1 -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 0.4 -0.6 -0.5 -0.4 -0.3 -0.7 -0.2 -0.7 HEATOIL -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 -0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.2 -0.1 0.4 -0.1 -2.7 0.0 -0.0 0.2 -0.0 0.2 -0.0 0.0 -0.1 -0.1 -0.2 0.5 0.2 -0.1 -0.0 -0.2 JGB-SGX-mini -0.1 -0.4 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -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 0.2 0.4 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 -0.1 -0.5 -0.1 -0.6 -0.2 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 2.7 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -1.1 -0.0 -0.2 -0.3 -0.6 -0.2 -0.7 -0.1 -0.7 LEANHOG -0.4 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 -0.1 -0.0 0.1 -0.0 -0.3 -0.1 0.5 0.7 LIVECOW -0.6 -0.3 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.5 -0.1 0.7 -0.0 0.1 -0.4 -0.1 -0.4 -0.2 0.1 0.2 -0.0 0.5 -0.0 0.1 0.1 0.0 0.3 -0.0 0.5 -0.0 -0.6 -0.1 0.4 0.6 0.6 -0.7 -0.7 -0.5 -0.6 LUMBER-new 0.2 -0.3 -0.4 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.6 -0.0 -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 -0.0 -1.2 0.2 0.5 0.0 -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 -0.2 -0.1 -0.5 -0.1 0.3 -0.0 0.0 -0.2 -0.0 -0.3 -0.0 -1.1 0.4 -0.4 0.1 -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 -0.0 1.1 -0.2 -0.4 -0.2 0.1 0.7 0.3 0.7 0.7 NASDAQ_micro -0.3 -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 0.0 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 -0.4 -0.3 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.1 0.3 -0.0 0.5 -0.0 -0.0 0.1 0.2 0.2 0.2 -0.0 0.1 0.0 0.4 -0.1 -1.0 -0.0 0.1 0.1 -0.0 0.2 -0.0 1.1 -0.1 0.0 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 -0.0 -0.3 0.0 -0.1 0.0 -0.1 0.0 0.0 0.0 0.0 -0.0 -0.1 0.0 -0.2 0.0 0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.2 0.1 0.6 0.4 -0.2 0.1 -0.5 0.2 0.3 OAT -0.2 -0.2 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.1 0.0 -0.2 -0.1 1.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.9 0.3 0.1 0.2 0.1 -0.7 -0.7 -0.2 0.3 OATIES -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 -0.1 -0.3 -0.1 -0.3 -0.3 -0.1 0.0 -0.2 0.2 -0.2 -2.7 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -1.1 -0.5 -0.6 -0.1 0.4 0.3 0.4 0.7 0.7 OJ 0.5 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 -0.2 0.1 0.1 -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 -0.4 -0.1 -0.1 -0.2 -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 -0.1 -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 0.0 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 -0.0 -0.4 -0.1 -0.5 -0.1 -0.2 -0.1 0.0 -0.1 -0.0 -0.2 -0.2 -0.1 -0.4 -0.2 -2.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 0.0 -0.3 -0.4 -0.6 -0.7 -0.7 -0.7 -0.3 RICE -0.2 -0.1 0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.2 0.1 0.2 -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 0.2 0.6 0.4 0.3 -0.2 -0.7 0.5 -0.3 ROBUSTA -0.6 -0.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.3 -0.2 0.5 -0.2 -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 -0.2 -0.0 -0.3 -0.0 -0.4 0.7 -0.1 RUSSELL -0.5 -0.6 -0.2 -0.0 0.0 -0.1 -0.0 0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.2 -0.4 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.5 -0.5 -0.3 0.2 -0.4 -0.4 -0.7 -0.7 SHATZ 0.3 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 0.0 -0.3 -0.0 -0.0 -0.4 -0.2 -0.4 -0.4 -0.0 -0.1 0.0 -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 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.1 -0.0 -0.0 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 0.2 0.6 0.5 0.2 -0.2 -0.5 -0.3 -0.4 SOFR -0.0 -0.2 -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 -0.0 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.0 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 -0.4 -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 -0.0 -0.0 -0.1 -2.7 -0.0 0.1 -0.0 -0.0 0.1 -0.0 1.1 0.1 -0.1 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 -0.0 -0.0 -0.1 0.0 -0.1 0.9 -0.5 -0.6 -0.5 0.2 -0.1 0.2 0.6 0.7 SP400 -0.4 -0.6 -0.2 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.2 -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 -0.0 0.1 -0.3 -0.3 -0.2 0.3 -0.2 -0.4 -0.6 -0.7 SP500_micro -0.6 -0.6 -0.3 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.1 0.1 -0.0 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 0.3 -0.2 0.0 0.5 -0.2 -0.4 -0.3 -0.6 SUGAR11 -0.4 0.3 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.4 -0.0 0.6 0.1 0.1 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 0.2 0.5 0.6 0.2 -0.7 -0.7 0.2 0.0 US10 -0.1 -0.2 -0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.1 -0.1 -0.0 -0.3 -0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.5 -0.0 -0.1 0.0 -0.1 -0.7 -0.7 0.1 -0.0 US10U -0.1 -0.3 -0.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.3 -0.1 -0.4 -0.1 -0.1 0.1 -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 -0.0 -0.1 -0.7 -0.7 0.5 0.5 US2 0.4 0.2 -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 0.1 0.3 0.2 -0.0 -0.7 -0.7 -0.7 -0.7 US20 -0.2 -0.3 -0.4 -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 -0.0 -0.2 -0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.3 -0.1 -0.2 -0.5 -0.7 0.7 0.7 US30 -0.2 -0.2 -0.3 -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 -0.0 -0.3 -0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.2 -0.3 -0.7 0.7 0.7 US5 0.1 -0.1 -0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.2 -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 0.0 0.1 0.1 -0.0 -0.7 -0.7 -0.2 -0.6 VIX 1.0 0.6 0.4 -0.0 -0.1 -0.3 -0.0 -0.7 0.0 -0.2 -0.8 0.0 -1.2 0.0 -0.1 -0.4 -0.6 -0.6 -0.6 -0.1 -0.3 -0.1 -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 -0.2 -0.0 -1.1 0.2 0.3 -0.2 -0.4 -0.7 -0.5 -0.7 -0.4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 4.5 -2.5 -10.4 -3.1 -1.8 -0.6 -0.9 1.1 -2.9 -4.5 -13.5 -1.6 -9.9 -5.5 -13.2 -3.6 -3.0 -3.4 -3.2 -9.5 -10.8 -4.3 -10.0 -5.9 3.3 -4.6 -5.5 -4.8 -2.6 -4.1 -3.2 -1.4 -7.5 1.4 1.3 -14.7 -8.9 -20.0 -4.6 3.9 BITCOIN 7.5 -6.0 -8.0 -6.1 -2.5 -3.1 -5.5 -0.4 -7.3 -18.8 2.8 -1.6 5.5 -0.8 -12.7 -5.3 -4.4 -5.8 -5.4 -5.5 -4.0 -3.5 -1.2 -0.5 -20.0 -3.3 -9.0 -3.5 -2.1 -1.1 -0.1 -1.0 20.0 20.0 -3.2 5.0 -4.6 20.0 -3.4 20.0 BOBL 0.8 -2.5 2.0 -2.5 0.1 -2.1 -0.9 -1.8 -2.2 3.0 -5.5 3.1 -7.4 -2.1 -4.2 7.1 -6.3 -5.3 -8.6 -4.2 -5.2 2.5 -8.0 -1.5 9.0 -2.1 1.1 -2.1 1.0 -2.8 -1.0 -9.6 14.9 9.1 6.9 6.0 -20.0 -20.0 -16.2 -16.4 BTP -13.8 -17.3 -6.2 -3.5 0.1 -2.9 -1.3 -2.6 -3.1 4.7 -4.3 -4.9 -1.1 -8.5 -9.3 6.1 7.5 5.8 6.2 -11.1 -6.6 -1.9 -4.7 -10.1 -6.1 -3.5 1.5 -1.9 -0.7 -1.0 -3.2 15.6 12.7 0.9 0.8 5.2 -12.6 -20.0 -0.5 8.8 BUND -4.3 -5.8 0.5 -2.5 0.1 -2.1 -0.9 -1.9 -2.2 3.6 -6.6 -0.3 -7.8 -4.2 -6.1 -2.2 6.3 0.9 3.3 -6.0 -6.0 1.2 -7.9 -3.8 5.7 -2.5 1.2 -2.1 0.2 -2.2 -1.7 12.3 12.0 4.8 4.7 4.3 -20.0 -20.0 -18.7 -1.8 BUXL -7.3 -9.3 0.4 -2.7 0.1 -2.2 -1.0 -2.0 -2.3 3.8 -8.1 -2.1 -8.8 -5.5 -7.4 0.4 0.9 0.6 0.9 -9.5 -8.8 -0.4 -10.1 -7.1 1.2 -2.8 1.2 -2.3 -0.2 -2.1 -2.3 5.6 9.7 -0.7 -0.3 1.1 -20.0 -20.0 -9.4 20.0 CAC -13.1 -13.0 -11.7 -5.3 3.4 -2.6 -0.3 0.2 -4.7 2.5 0.4 -12.4 16.6 -15.0 -16.0 -7.0 -2.4 -6.6 -4.9 -13.5 -4.5 -5.1 8.8 -13.7 -5.3 -5.7 1.6 -2.0 -1.7 2.8 -5.8 4.3 -1.5 6.2 5.5 7.3 15.2 1.9 20.0 7.7 CAD -1.7 -5.8 -7.4 -4.7 -2.6 -0.9 -1.4 1.7 -4.3 -4.7 -8.6 -7.6 -12.7 -8.7 -16.0 -2.5 -2.1 -2.4 -2.3 -12.8 -9.8 -9.3 -8.2 -11.9 1.6 -5.9 -5.0 -4.2 -4.6 -2.9 -5.8 0.0 -20.0 -0.9 -2.0 -16.5 -20.0 -20.0 -20.0 -20.0 CANOLA -20.0 -20.0 10.1 -3.2 -1.1 -2.2 -2.9 -2.1 -3.9 -3.6 2.0 -11.1 -3.6 -12.2 -5.3 -9.9 7.1 -6.0 0.9 -15.4 -4.9 -14.0 -3.1 -20.0 -20.0 -3.1 -0.3 -1.3 -3.0 -1.4 -4.6 4.9 -2.5 -19.8 -15.0 8.8 -8.0 0.8 11.8 13.1 CHF -9.6 -20.0 -10.2 -4.3 -2.5 -0.8 -1.3 1.6 -4.0 9.7 -8.8 -1.7 7.7 -13.0 -16.9 -17.1 -14.4 -16.4 -15.4 -20.0 -12.5 1.0 0.3 -18.1 -9.7 -5.9 1.5 -2.9 0.1 -0.1 -4.6 -20.0 20.0 -20.0 -20.0 -11.2 -20.0 -20.0 -20.0 -20.0 COCOA -20.0 -12.8 4.1 -4.8 -1.6 -3.3 -4.4 -3.1 -5.8 11.2 14.3 -11.8 16.6 -10.6 3.5 -2.8 -2.4 -3.5 -2.9 3.0 16.8 -2.8 20.0 -6.4 -12.9 1.2 2.9 7.9 -1.2 11.4 -2.8 -7.3 20.0 -14.3 13.3 20.0 2.5 -7.8 20.0 3.4 COFFEE -8.4 0.4 -14.1 -5.5 -1.9 -3.8 -5.1 -3.6 -6.7 12.5 -19.2 -15.6 -16.0 -16.9 -19.9 -2.9 1.3 -2.1 -0.4 -16.9 -20.0 -5.3 -20.0 -12.2 -20.0 -6.5 3.0 -6.0 -2.1 -4.6 -5.4 -1.9 16.1 10.2 0.2 -20.0 -20.0 -20.0 -20.0 -10.8 COPPER -12.8 -8.2 -6.2 -4.4 -1.8 -2.2 -3.9 -0.3 -5.2 -10.9 -12.9 -12.2 -4.2 -13.2 -14.0 -6.0 -3.2 -5.5 -4.5 -13.7 -10.6 -12.7 -7.9 -15.0 -5.6 -5.0 -5.0 -3.6 -5.4 -2.7 -6.1 1.0 0.3 -10.3 -1.8 1.3 4.4 -20.0 8.2 -20.0 CORN 10.6 -5.8 -19.0 -4.2 -1.4 -2.9 -3.9 -2.8 -5.1 12.2 -15.2 11.9 -14.5 2.7 -15.1 -4.6 2.2 -5.8 -3.1 -7.9 -15.9 6.5 -16.4 1.8 -15.1 -1.3 5.1 -4.2 4.0 -6.1 1.8 -3.4 19.2 20.0 9.5 -8.7 -6.1 1.3 2.1 7.5 COTTON2 -6.6 0.5 12.5 -5.0 -1.7 -3.5 -4.7 -3.3 -6.2 -17.6 12.6 -15.0 -8.8 -5.5 11.3 -5.7 4.3 -0.8 1.6 3.5 7.2 -13.3 2.0 -5.1 -20.0 3.4 -11.5 5.6 -8.3 4.4 -2.3 1.9 -16.1 8.4 18.9 16.4 -18.1 -15.7 9.0 10.0 CRUDE_W -20.0 4.2 20.0 2.3 -2.3 4.2 -4.2 3.2 -2.1 -1.6 12.9 -6.2 4.6 1.6 11.2 20.0 12.1 18.5 14.3 10.9 14.5 -7.4 10.4 -1.5 -4.9 3.7 -0.9 5.2 -2.9 4.4 -0.6 -20.0 -2.2 14.3 10.1 1.2 20.0 10.5 20.0 8.2 DAX -11.9 -14.9 -14.8 -4.8 3.1 -2.3 -0.3 0.2 -4.2 11.8 -6.6 -8.1 12.9 -12.7 -16.5 -9.9 -7.8 -9.6 -9.0 -16.5 -8.3 -1.4 3.5 -14.2 17.6 -5.9 3.9 -3.3 -0.4 0.2 -5.0 -4.0 7.5 -0.9 -1.5 -7.2 17.3 1.0 20.0 9.6 DOW -20.0 -20.0 -3.6 -4.2 2.7 -2.1 -0.3 0.2 -3.7 8.2 -0.1 -7.0 9.5 -10.6 -10.9 -11.4 -8.7 -11.4 -10.5 -15.5 -5.7 -5.0 1.4 -16.6 -10.0 -4.1 1.0 -0.9 -1.6 1.4 -4.7 -6.2 -4.6 -13.9 -9.4 12.6 -14.1 -7.2 -20.0 -8.1 DX 2.2 20.0 15.8 -4.4 -2.5 -0.8 -1.3 1.6 -4.1 -1.8 16.7 6.8 -5.8 15.8 20.0 7.4 5.7 7.1 6.4 20.0 19.6 7.8 10.4 20.0 -20.0 7.1 1.9 5.2 2.4 3.2 5.6 14.1 7.9 20.0 20.0 20.0 2.7 7.8 6.0 20.0 EUR -3.7 -19.4 -12.5 -3.4 -2.0 -0.7 -1.0 1.2 -3.2 2.7 -12.2 -4.2 5.0 -11.8 -15.1 -6.8 -6.9 -6.8 -6.7 -16.9 -11.4 -4.1 -4.9 -12.8 12.8 -5.4 -1.2 -3.5 -1.5 -1.4 -4.2 -7.8 2.7 -8.1 -17.4 -13.1 -8.8 -18.0 -5.5 -3.5 EURIBOR-ICE 2.3 2.2 4.7 -2.4 0.1 -2.0 -0.9 -1.8 -2.1 2.2 -3.9 4.4 -6.8 0.4 0.2 -6.5 -7.9 -8.2 -8.6 -1.3 -3.2 3.5 -7.3 1.0 17.1 -0.9 0.7 -1.7 2.0 -3.8 0.4 -10.6 14.0 13.4 11.8 9.0 -20.0 -20.0 11.3 15.4 EUROSTX -7.5 -12.9 -13.8 -4.7 3.0 -2.3 -0.3 0.2 -4.1 10.8 -1.8 -5.6 13.7 -11.4 -15.9 -5.7 -2.0 -5.3 -4.2 -11.6 -4.8 1.3 6.3 -8.9 5.1 -5.3 4.8 -2.6 1.0 1.8 -4.0 5.2 8.4 10.1 4.6 1.5 12.5 3.8 18.3 13.7 FEEDCOW -20.0 -15.6 6.1 -5.4 -1.8 -3.7 -5.0 -3.5 -6.6 -8.9 16.8 -17.6 19.1 -9.9 8.7 -11.3 -20.0 -12.7 -20.0 5.8 20.0 -20.0 20.0 -14.4 -1.8 2.9 -1.1 8.3 -5.2 10.7 -3.2 -20.0 -16.6 -10.7 20.0 20.0 12.6 -5.8 20.0 4.5 GASOIL -20.0 -1.6 20.0 2.0 -2.0 3.6 -3.6 2.8 -1.9 -4.7 12.1 -6.9 6.1 -2.3 11.0 20.0 20.0 20.0 20.0 11.9 17.6 -11.6 13.8 -3.6 8.8 3.4 -1.4 5.0 -3.1 3.7 -0.9 0.0 0.4 6.4 5.0 14.7 -15.0 2.2 -19.1 -3.9 GASOLINE -20.0 -16.3 12.5 2.6 -2.5 4.6 -4.7 3.5 -2.4 -14.0 11.6 -16.7 6.1 -15.4 4.2 20.0 20.0 20.0 20.0 -5.1 10.5 -20.0 15.5 -20.0 -20.0 -1.5 -4.9 3.2 -7.8 5.2 -6.9 20.0 -16.5 -20.0 -20.0 -13.1 20.0 10.7 20.0 5.1 GAS_US_mini 13.2 5.1 17.4 3.4 -3.3 6.0 -6.0 4.6 -3.1 19.5 -19.4 20.0 -20.0 8.4 -7.8 -20.0 -20.0 -20.0 -20.0 0.9 -15.9 20.0 -20.0 14.9 20.0 4.3 11.5 0.4 15.1 -2.9 10.0 -20.0 20.0 20.0 -8.0 -20.0 -3.2 5.8 -10.4 0.3 GBP -6.3 -20.0 -11.7 -4.2 -2.4 -0.8 -1.3 1.5 -3.9 4.1 -4.1 -3.2 9.4 -13.8 -17.0 -0.7 -0.7 -0.4 -0.4 -19.1 -9.4 -2.6 -0.5 -14.8 0.1 -5.9 -0.7 -3.0 -0.9 -0.8 -4.7 2.8 8.2 -14.2 -20.0 -14.2 -3.3 10.1 2.7 20.0 GOLD_micro -17.2 -11.6 -19.3 -5.4 -2.3 -2.8 -4.9 -0.4 -6.5 14.9 -15.5 -8.1 1.1 -13.1 -17.1 -18.5 -14.7 -18.5 -16.9 -20.0 -19.3 -6.8 -7.0 -20.0 -9.0 -5.8 3.8 -3.4 -1.9 -0.8 -6.2 -19.6 17.6 -20.0 -14.1 -11.7 -10.2 -20.0 -5.7 -20.0 HEATOIL -20.0 -2.3 20.0 2.5 -2.4 4.5 -4.5 3.4 -2.3 -4.9 13.1 -9.6 6.0 -6.9 11.4 20.0 20.0 20.0 20.0 10.9 19.9 -15.7 16.4 -8.8 -20.0 2.7 -1.4 6.1 -4.6 5.9 -2.9 0.9 -2.6 -4.1 -7.3 16.4 5.9 -2.1 -0.8 -6.1 JGB-SGX-mini -3.6 -12.4 -20.0 -3.4 0.1 -2.9 -1.3 -2.6 -3.0 4.5 -1.3 0.8 3.9 -6.5 -10.4 20.0 20.0 17.3 17.2 -9.7 -6.3 0.9 -0.5 -6.6 -1.1 -3.5 3.0 -2.5 0.5 -1.2 -2.4 20.0 7.0 11.3 6.6 1.0 -5.9 -12.6 11.1 10.8 JPY 1.0 -10.6 -20.0 -3.3 -1.9 -0.6 -1.0 1.2 -3.1 -9.7 -17.0 -11.4 -16.0 -14.3 -16.5 -19.2 -15.1 -18.1 -16.8 -20.0 -20.0 -8.5 -20.0 -14.1 20.0 -6.2 -3.3 -7.0 -2.7 -7.0 -4.2 -20.0 -1.5 -6.5 -10.7 -20.0 -6.0 -20.0 -2.9 -20.0 LEANHOG -12.5 2.4 15.6 -2.5 -0.8 -1.7 -2.3 -1.6 -3.0 -2.1 -1.5 -5.4 -4.1 -5.2 -3.0 20.0 20.0 20.0 20.0 -3.1 -3.5 -4.1 -6.1 -4.4 9.8 -2.4 -1.7 -4.0 -2.2 -6.5 -2.5 20.0 -4.8 -0.0 3.4 -0.5 -7.9 -1.5 14.0 20.0 LIVECOW -20.0 -10.6 2.7 -5.7 -2.0 -4.0 -5.3 -3.8 -7.0 4.6 19.5 -12.0 20.0 -0.9 11.5 -20.0 -4.0 -20.0 -9.2 9.0 20.0 -5.4 20.0 -3.4 0.9 4.9 3.4 11.3 -2.1 14.3 -1.0 -11.0 -6.0 11.9 20.0 20.0 -20.0 -20.0 -16.2 -17.9 LUMBER-new 4.5 -7.3 -9.7 -6.0 -2.0 -3.9 -5.5 -3.1 -7.3 7.7 -20.0 -1.1 -20.0 -16.0 -20.0 -14.5 -14.0 -15.3 -14.6 -14.4 -16.4 0.1 -14.4 -7.8 NaN -6.8 3.0 -6.8 0.2 -5.0 -3.9 -20.0 7.0 12.9 1.2 -13.6 -12.1 -20.0 -3.6 -19.6 MILK -20.0 -4.0 5.3 -4.1 -1.4 -2.9 -3.8 -2.7 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-20.0 15.3 14.3 7.5 6.2 -20.0 -20.0 -20.0 -20.0 SILVER-mini -13.8 -12.6 -8.5 -3.3 0.4 -1.6 -2.8 -0.2 -4.0 2.8 -4.5 -5.4 1.9 -9.4 -9.8 -7.8 -6.3 -7.6 -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 -4.0 -11.7 -8.5 2.3 3.6 -15.0 -20.0 -6.5 -20.0 SMI -5.6 -3.0 -9.1 -4.5 2.9 -2.2 -0.3 0.2 -4.0 9.6 -1.2 -3.6 4.6 -6.8 -11.6 4.3 1.6 1.5 0.6 -7.4 -5.5 3.6 -1.6 -4.7 5.8 -3.0 7.9 -2.2 2.9 -1.9 -2.1 12.0 8.1 18.6 15.0 4.9 -6.7 -15.1 -8.3 -10.6 SOFR -0.6 -6.3 -14.5 -3.1 0.1 -2.6 -1.1 -2.3 -2.7 1.7 -8.9 -3.3 -6.5 -6.6 -8.7 -0.5 -1.0 -1.3 -1.3 -9.9 -9.6 -2.9 -7.9 -7.2 -1.6 -3.4 -0.5 -3.1 -1.1 -2.5 -2.6 1.8 -0.8 3.4 4.5 0.7 -20.0 -20.0 -7.0 -6.3 SOYBEAN -13.9 -7.8 6.1 -4.2 -4.0 -2.8 -4.9 -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 -5.6 -4.7 6.4 13.7 -18.8 -0.9 -15.3 6.2 SOYMEAL -11.2 -9.4 -3.6 -3.6 -1.2 -2.5 -3.4 -2.4 -4.5 6.3 -9.0 -5.1 1.0 -11.2 -9.6 8.4 17.2 10.5 14.4 -8.4 -5.2 -1.8 -0.2 -8.9 -20.0 -2.8 5.8 -0.5 -0.5 2.3 -3.6 20.0 2.7 -2.5 3.8 6.1 -20.0 -20.0 -20.0 -18.7 SOYOIL -20.0 -20.0 8.9 -2.9 -1.0 -2.0 -2.7 -1.9 -3.6 -8.4 4.0 -10.9 -0.5 -11.3 -4.1 14.6 12.2 14.5 12.7 -12.0 -1.4 -20.0 1.4 -20.0 -20.0 -2.8 -3.8 -0.5 -5.2 0.1 -4.9 17.7 -20.0 -20.0 -14.3 6.0 -2.8 5.6 17.5 20.0 SP400 -13.4 -20.0 -6.0 -3.7 2.4 -1.8 -0.2 0.2 -3.3 0.1 -5.7 -7.2 2.4 -11.3 -10.8 -5.2 -5.0 -5.5 -5.5 -15.5 -7.6 -6.6 -1.4 -15.3 -10.9 -3.8 -1.1 -1.4 -2.1 0.4 -4.2 1.3 -13.4 -10.1 -5.0 10.6 -6.2 -12.9 -17.3 -20.0 SP500_micro -18.8 -19.1 -9.0 -3.9 2.5 -1.9 -0.3 0.2 -3.4 9.2 5.3 -3.1 8.5 -7.6 -8.5 -11.1 -9.7 -11.7 -11.2 -10.1 0.1 2.7 6.8 -9.6 -17.5 -2.9 3.0 0.7 0.8 3.2 -2.9 -7.6 11.7 -7.0 0.7 13.9 -5.7 -12.4 -8.5 -18.0 SUGAR11 -13.4 10.7 1.7 -4.9 -1.7 -3.4 -4.6 -3.2 -6.0 1.4 16.5 -2.4 16.9 10.8 13.9 20.0 13.2 13.8 10.8 15.3 20.0 1.6 20.0 7.7 -20.0 4.5 -1.5 7.9 0.2 12.4 1.9 17.3 6.5 14.6 20.0 6.0 -20.0 -20.0 7.2 1.3 US10 -1.7 -6.2 -14.5 -2.6 0.1 -2.2 -1.0 -1.9 -2.3 1.0 -8.4 -4.0 -8.3 -6.2 -8.0 -7.1 -7.4 -8.4 -8.5 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-2.4 -8.9 -5.6 -8.1 -12.1 -10.7 -13.5 -12.9 -9.7 -11.3 -1.9 -12.1 -6.0 3.7 -3.2 -0.5 -3.4 -0.6 -3.4 -2.1 -16.7 1.5 4.1 3.8 -0.0 -20.0 -20.0 -6.0 -18.3 VIX 20.0 12.2 7.9 -2.0 -3.9 -8.0 -0.7 -12.1 1.3 -12.2 -18.9 0.9 -20.0 0.7 -6.6 -12.8 -20.0 -20.0 -20.0 -6.4 -20.0 -3.8 -20.0 0.3 NaN -2.3 -4.5 -9.2 -0.9 -14.6 1.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 6.0 -15.8 -13.8 -3.4 -1.2 -2.4 -3.2 -2.2 -4.2 4.2 -12.6 1.7 -13.6 -8.7 -12.8 -11.1 -10.0 -11.3 -10.9 -13.5 -16.3 -1.6 -17.1 -7.0 -4.2 -4.0 0.2 -4.4 -0.6 -4.3 -2.3 -20.0 7.4 9.6 -5.5 -11.5 -20.0 -14.4 -20.0 -10.6 End of report for caleb_strategy_v3