******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231013_204328 produced at 2023-10-13 21:38:49.704504 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 SOFR False True 0.08 0.00 -1.08 0.0 0.00 0.00 0.00 0.00 -12.77 11.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.19 -0.22 0.0 0.19 -0.19 -0.19 -0.19 -6.99 6.0 -6 -6 caleb_strategy_v3 US2 False True 0.07 0.00 -0.22 0.0 0.00 0.00 0.00 0.00 -3.12 13.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.30 -0.17 0.0 0.64 -0.64 -0.30 -0.30 -3.52 13.0 -6 -6 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.16 0.0 0.00 0.00 0.00 0.00 -3.97 24.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.14 0.0 0.75 -0.75 -0.03 -0.05 -5.25 29.0 -1 -2 caleb_strategy_v3 VIX False False 0.01 -0.12 -0.14 0.0 0.12 -0.12 -0.12 -0.11 -20.60 17.0 -17 -16 caleb_strategy_v3 JPY False False 0.03 -0.21 -0.11 0.0 0.51 -0.51 -0.21 -0.21 -3.81 17.0 -7 -7 caleb_strategy_v3 GOLD_micro False False 0.01 -0.13 -0.11 0.0 0.38 -0.38 -0.13 -0.06 -16.21 56.0 -19 -9 caleb_strategy_v3 US5 False False 0.04 -0.15 -0.09 0.0 0.93 -0.93 -0.15 -0.15 -2.34 25.0 -4 -4 caleb_strategy_v3 SP400 False False 0.09 -0.17 -0.09 0.0 0.17 -0.17 -0.17 -0.17 -0.98 2.0 -2 -2 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.08 0.0 0.21 -0.21 -0.01 -0.03 -27.46 68.0 -4 -9 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.08 0.0 0.39 -0.39 -0.01 -0.01 -13.74 66.0 -1 -1 caleb_strategy_v3 EUR False False 0.05 -0.37 -0.08 0.0 0.65 -0.65 -0.37 -0.37 -1.73 14.0 -8 -8 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.06 0.0 0.37 -0.37 0.00 0.00 -8.30 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 -4.81 5.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.65 -0.65 0.00 0.00 -1.27 17.0 0 0 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.05 0.0 0.42 -0.42 -0.02 -0.02 -2.34 19.0 -1 -1 caleb_strategy_v3 GBP False False 0.03 -0.03 -0.04 0.0 0.59 -0.59 -0.03 0.00 -1.60 22.0 -1 0 caleb_strategy_v3 BTP False False 0.04 0.00 -0.04 0.0 0.41 -0.41 0.00 0.00 -1.09 10.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.04 0.0 0.19 -0.19 0.00 0.00 -10.37 51.0 0 0 caleb_strategy_v3 BITCOIN False True 0.00 -0.03 -0.03 0.0 0.00 -0.03 -0.03 -0.03 -30.51 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 -0.73 13.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.03 0.0 0.11 -0.11 -0.01 -0.01 -2.99 12.0 -1 -1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -3.71 2.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.02 -0.03 0.0 0.25 -0.25 -0.02 -0.03 -2.69 23.0 -2 -3 caleb_strategy_v3 MXP False False 0.01 0.00 -0.03 0.0 0.58 -0.58 0.00 0.00 -3.20 60.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.03 0.0 0.82 -0.82 0.00 -0.04 -0.60 19.0 0 -1 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.03 0.0 0.01 -0.01 0.00 0.00 -7.03 3.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -0.73 2.0 -1 -1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -1.17 0.0 0 0 caleb_strategy_v3 US20 False False 0.04 -0.08 -0.02 0.0 0.36 -0.36 -0.08 -0.08 -0.39 9.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 -0.05 -0.02 0.0 0.10 -0.10 -0.05 -0.05 -2.08 8.0 -4 -4 caleb_strategy_v3 LIVECOW False False 0.03 0.00 -0.02 0.0 0.45 -0.45 0.00 0.00 -0.69 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 -2.05 9.0 -2 -2 caleb_strategy_v3 CAC False True 0.03 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.59 12.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 -0.04 -0.02 0.0 0.12 -0.12 -0.04 -0.02 -0.98 6.0 -2 -1 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.02 0.0 0.36 -0.36 0.00 0.00 -0.39 8.0 0 0 caleb_strategy_v3 COTTON2 False False 0.02 -0.03 -0.01 0.0 0.17 -0.17 -0.03 -0.03 -0.72 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 -0.51 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 -0.77 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.15 -0.15 -0.02 -0.02 -0.34 7.0 -1 -1 caleb_strategy_v3 BUXL False False 0.05 -0.09 -0.01 0.0 0.19 -0.19 -0.09 -0.05 -0.13 4.0 -2 -1 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 -0.49 4.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.48 -0.48 0.00 0.00 -0.17 10.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.04 -0.01 0.0 0.25 -0.25 -0.04 -0.08 -0.28 6.0 -1 -2 caleb_strategy_v3 PLAT False False 0.02 -0.05 -0.01 0.0 0.16 -0.16 -0.05 -0.05 -0.67 10.0 -3 -3 caleb_strategy_v3 COCOA False False 0.01 0.00 0.00 0.0 0.32 -0.32 0.00 0.00 0.18 26.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.05 0.00 0.0 0.46 -0.46 0.05 0.09 0.03 10.0 1 2 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.06 4.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.00 0.0 0.44 -0.44 0.00 0.00 -0.19 21.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.00 0.0 0.33 -0.33 0.00 0.00 0.23 58.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.00 0.01 0.0 0.38 -0.38 0.00 0.00 0.15 9.0 0 0 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.00 0.01 0.0 0.00 -0.00 -0.00 0.00 2.54 26.0 -1 0 caleb_strategy_v3 EUROSTX False False 0.02 0.08 0.01 0.0 0.31 -0.31 0.08 0.06 0.92 20.0 5 4 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.21 3.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.02 0.0 0.18 -0.18 0.00 0.00 1.55 18.0 0 0 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 3.66 13.0 3 3 caleb_strategy_v3 OJ False False 0.02 0.00 0.06 0.0 0.06 -0.06 0.00 0.00 2.91 3.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.11 0.06 0.0 0.27 -0.27 0.11 0.08 8.63 36.0 14 11 caleb_strategy_v3 CRUDE_W False False 0.03 0.11 0.08 0.0 0.14 -0.14 0.11 0.08 3.05 5.0 4 3 caleb_strategy_v3 DX False False 0.04 0.00 0.14 0.0 37582820.81 -37582820.81 0.00 0.00 3.62 999999999.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.09 0.31 0.0 0.90 -0.90 0.09 0.00 3.43 10.0 1 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.38 0.57 0.0 0.55 -0.55 0.38 0.41 16.51 16.0 11 12 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 13.0 Shocked risk 28.0 Sum abs risk 46.5 Leverage 4.99 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2831878.97, 'annual_cash_vol_target': 707969.7425, 'daily_cash_vol_target': 44248.10890625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6315 0.7107 11.3707 BITCOIN 665.5586 26810.0000 2.4825 39.7200 BOBL 0.2943 116.2100 0.2532 4.0515 BTP 0.6927 109.7000 0.6315 10.1039 BUND 0.6252 129.7300 0.4819 7.7111 BUXL 1.4792 124.6200 1.1869 18.9912 CAC 59.8270 6996.5000 0.8551 13.6816 CAD 0.0030 0.7328 0.4116 6.5860 CANOLA 7.4624 726.4000 1.0273 16.4371 CHF 0.0052 1.1175 0.4620 7.3922 COCOA 43.7265 3527.0000 1.2398 19.8362 COFFEE 2.5170 155.2000 1.6218 25.9489 COPPER 0.0374 3.5710 1.0481 16.7699 CORN 5.6131 520.7500 1.0779 17.2461 COTTON2 1.0492 86.1500 1.2179 19.4864 CRUDE_W 1.4299 77.7800 1.8384 29.4145 DAX 128.2801 15253.0000 0.8410 13.4562 DOW 201.3011 33828.0000 0.5951 9.5212 DX 0.3923 106.4300 0.3686 5.8976 EUR 0.0052 1.0540 0.4898 7.8362 EURIBOR-ICE 0.0547 97.0400 0.0564 0.9023 EUROSTX 40.4959 4149.0000 0.9760 15.6166 FEEDCOW 1.7439 252.3000 0.6912 11.0590 GASOIL 16.4981 880.5000 1.8737 29.9794 GASOLINE 0.0428 2.2381 1.9130 30.6083 GAS_US_mini 0.0851 3.5700 2.3832 38.1306 GBP 0.0068 1.2143 0.5568 8.9090 GOLD_micro 15.9168 1941.7000 0.8197 13.1158 HEATOIL 0.0505 3.0114 1.6777 26.8436 JGB-SGX-mini 0.2102 145.5700 0.1444 2.3104 JPY 0.0000 0.0068 0.5376 8.6010 LEANHOG 1.3986 74.3250 1.8817 30.1078 LIVECOW 1.2337 186.9250 0.6600 10.5597 LUMBER-new 8.3137 511.0000 1.6269 26.0311 MILK 0.1927 17.5600 1.0976 17.5621 MXP 0.0005 0.0547 0.8830 14.1273 NASDAQ_micro 135.3519 15137.7500 0.8941 14.3062 NIKKEI 360.6009 31920.0000 1.1297 18.0752 NZD 0.0042 0.5889 0.7094 11.3502 OAT 0.6337 123.8600 0.5116 8.1864 OATIES 7.0994 405.0000 1.7529 28.0469 OJ 4.3388 372.4000 1.1651 18.6416 PALLAD 20.7841 1145.5000 1.8144 29.0306 PLAT 13.6994 886.4000 1.5455 24.7282 REDWHEAT 11.3127 679.2500 1.6655 26.6475 RICE 0.1547 16.6050 0.9315 14.9039 ROBUSTA 27.0317 2278.0000 1.1866 18.9863 RUSSELL 17.9166 1731.7000 1.0346 16.5540 SHATZ 0.0839 105.0900 0.0798 1.2774 SILVER-mini 0.3731 22.9875 1.6230 25.9672 SMI 77.0985 10941.0000 0.7047 11.2748 SOFR 0.0742 95.9900 0.0773 1.2367 SOYBEAN 11.5731 1253.0000 0.9236 14.7781 SOYMEAL 4.8811 381.4000 1.2798 20.4764 SOYOIL 0.8051 53.3400 1.5093 24.1495 SP400 22.0882 2459.1000 0.8982 14.3716 SP500_micro 30.5224 4362.0000 0.6997 11.1957 SUGAR11 0.3453 25.7900 1.3388 21.4208 US10 0.4581 107.7344 0.4252 6.8036 US10U 0.6541 111.0469 0.5890 9.4242 US2 0.1076 101.3359 0.1062 1.6986 US20 1.0391 112.8125 0.9211 14.7379 US30 1.5175 117.2500 1.2943 20.7086 US5 0.2852 105.1797 0.2712 4.3390 VIX 0.5952 19.4000 3.0680 49.0883 WHEAT 9.9805 663.2500 1.5048 24.0767 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 631.55 0.71 448.82 1.00 448.82 44248.11 98.59 -9.17 -90.37 BITCOIN 26.81 2.48 66.56 1.00 66.56 44248.11 664.83 -4.24 -281.74 BOBL 1162.10 0.25 294.26 1.06 312.96 44248.11 141.38 -4.16 -58.82 BTP 1097.00 0.63 692.75 1.06 736.77 44248.11 60.06 -5.31 -31.89 BUND 1297.30 0.48 625.23 1.06 664.96 44248.11 66.54 -2.46 -16.40 BUXL 1246.20 1.19 1479.17 1.06 1573.18 44248.11 28.13 -4.69 -13.19 CAC 699.65 0.86 598.27 1.06 636.29 44248.11 69.54 -2.48 -17.22 CAD 732.85 0.41 301.66 1.00 301.66 44248.11 146.68 -13.79 -202.30 CANOLA 145.28 1.03 149.25 0.74 109.88 44248.11 402.70 -10.59 -426.27 CHF 1396.88 0.46 645.38 1.00 645.38 44248.11 68.56 -19.81 -135.83 COCOA 352.70 1.24 437.27 1.00 437.27 44248.11 101.19 0.83 8.44 COFFEE 582.00 1.62 943.89 1.00 943.89 44248.11 46.88 -17.97 -84.22 COPPER 892.75 1.05 935.71 1.00 935.71 44248.11 47.29 -13.65 -64.57 CORN 260.38 1.08 280.65 1.00 280.65 44248.11 157.66 -7.79 -122.77 COTTON2 430.75 1.22 524.61 1.00 524.61 44248.11 84.34 -4.01 -33.79 CRUDE_W 777.80 1.84 1429.91 1.00 1429.91 44248.11 30.94 9.09 28.13 DAX 152.53 0.84 128.28 1.06 136.43 44248.11 324.32 0.21 6.84 DOW 169.14 0.60 100.65 1.00 100.65 44248.11 439.62 -13.45 -591.09 DX 1064.30 0.37 392.30 1.00 392.30 44248.11 112.79 12.36 139.40 EUR 1317.50 0.49 645.26 1.00 645.26 44248.11 68.57 -9.74 -66.77 EURIBOR-ICE 2426.00 0.06 136.81 1.06 145.51 44248.11 304.10 3.30 100.45 EUROSTX 414.90 0.98 404.96 1.06 430.69 44248.11 102.74 2.61 26.86 FEEDCOW 1261.50 0.69 871.94 1.00 871.94 44248.11 50.75 -2.32 -11.78 GASOIL 880.50 1.87 1649.81 1.00 1649.81 44248.11 26.82 9.02 24.19 GASOLINE 940.00 1.91 1798.24 1.00 1798.24 44248.11 24.61 -0.55 -1.36 GAS_US_mini 89.25 2.38 212.70 1.00 212.70 44248.11 208.03 1.13 23.46 GBP 758.94 0.56 422.59 1.00 422.59 44248.11 104.71 -5.88 -61.58 GOLD_micro 194.17 0.82 159.17 1.00 159.17 44248.11 278.00 -17.09 -475.22 HEATOIL 1264.79 1.68 2121.97 1.00 2121.97 44248.11 20.85 2.33 4.86 JGB-SGX-mini 145570.00 0.14 21020.44 0.01 140.98 44248.11 313.87 4.86 152.41 JPY 844.75 0.54 454.11 1.00 454.11 44248.11 97.44 -15.09 -147.00 LEANHOG 297.30 1.88 559.44 1.00 559.44 44248.11 79.09 7.61 60.17 LIVECOW 747.70 0.66 493.47 1.00 493.47 44248.11 89.67 -2.34 -20.94 LUMBER-new 140.52 1.63 228.63 1.00 228.63 44248.11 193.54 -17.07 -330.43 MILK 351.20 1.10 385.49 1.00 385.49 44248.11 114.78 -19.55 -224.38 MXP 273.65 0.88 241.62 1.00 241.62 44248.11 183.13 -1.19 -21.81 NASDAQ_micro 302.76 0.89 270.70 1.00 270.70 44248.11 163.46 -7.08 -115.80 NIKKEI 31920.00 1.13 36060.09 0.01 241.84 44248.11 182.96 4.35 79.67 NZD 588.90 0.71 417.76 1.00 417.76 44248.11 105.92 -0.70 -7.37 OAT 1238.60 0.51 633.73 1.06 674.00 44248.11 65.65 0.15 1.01 OATIES 202.50 1.75 354.97 1.00 354.97 44248.11 124.65 -12.22 -152.31 OJ 558.60 1.17 650.83 1.00 650.83 44248.11 67.99 20.00 135.98 PALLAD 1145.50 1.81 2078.41 1.00 2078.41 44248.11 21.29 -10.10 -21.50 PLAT 443.20 1.55 684.97 1.00 684.97 44248.11 64.60 -3.04 -19.63 REDWHEAT 339.62 1.67 565.63 1.00 565.63 44248.11 78.23 -20.00 -156.45 RICE 332.10 0.93 309.35 1.00 309.35 44248.11 143.04 -1.40 -20.01 ROBUSTA 227.80 1.19 270.32 1.00 270.32 44248.11 163.69 -3.95 -64.62 RUSSELL 86.58 1.03 89.58 1.00 89.58 44248.11 493.93 -16.78 -828.59 SHATZ 1050.90 0.08 83.90 1.06 89.23 44248.11 495.88 -7.90 -391.61 SILVER-mini 574.69 1.62 932.69 1.00 932.69 44248.11 47.44 -7.23 -34.31 SMI 1094.10 0.70 770.99 1.11 856.80 44248.11 51.64 0.83 4.29 SOFR 2399.75 0.08 185.49 1.00 185.49 44248.11 238.55 -8.81 -210.15 SOYBEAN 626.50 0.92 578.65 1.00 578.65 44248.11 76.47 -4.78 -36.55 SOYMEAL 381.40 1.28 488.11 1.00 488.11 44248.11 90.65 -9.19 -83.27 SOYOIL 320.04 1.51 483.05 1.00 483.05 44248.11 91.60 -6.00 -54.96 SP400 2459.10 0.90 2208.82 1.00 2208.82 44248.11 20.03 -14.80 -29.65 SP500_micro 218.10 0.70 152.61 1.00 152.61 44248.11 289.94 -12.32 -357.32 SUGAR11 288.85 1.34 386.71 1.00 386.71 44248.11 114.42 6.38 73.00 US10 1077.34 0.43 458.12 1.00 458.12 44248.11 96.59 -10.37 -100.12 US10U 1110.47 0.59 654.08 1.00 654.08 44248.11 67.65 -8.56 -57.88 US2 2026.72 0.11 215.16 1.00 215.16 44248.11 205.66 -11.95 -245.86 US20 1128.12 0.92 1039.14 1.00 1039.14 44248.11 42.58 -7.25 -30.87 US30 1172.50 1.29 1517.55 1.00 1517.55 44248.11 29.16 -7.61 -22.19 US5 1051.80 0.27 285.24 1.00 285.24 44248.11 155.13 -11.89 -184.48 VIX 194.00 3.07 595.20 1.00 595.20 44248.11 74.34 -11.23 -83.45 WHEAT 331.62 1.50 499.03 1.00 499.03 44248.11 88.67 -17.42 -154.46 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -90.369 0.010 2.5 -2.345 BITCOIN -281.740 0.043 2.5 -30.510 BOBL -58.821 0.004 2.5 -0.597 BTP -31.885 0.014 2.5 -1.088 BUND -16.395 0.004 2.5 -0.166 BUXL -13.187 0.004 2.5 -0.134 CAC -17.223 0.014 2.5 -0.587 CAD -202.303 0.010 2.5 -5.249 CANOLA -426.273 0.010 2.5 -10.371 CHF -135.827 0.010 2.5 -3.524 COCOA 8.444 0.009 2.5 0.181 COFFEE -84.223 0.005 2.5 -0.984 COPPER -64.571 0.043 2.5 -6.993 CORN -122.768 0.010 2.5 -2.987 COTTON2 -33.786 0.009 2.5 -0.724 CRUDE_W 28.135 0.043 2.5 3.047 DAX 6.839 0.014 2.5 0.233 DOW -591.091 0.009 2.5 -13.738 DX 139.401 0.010 2.5 3.617 EUR -66.766 0.010 2.5 -1.732 EURIBOR-ICE 100.449 0.014 2.5 3.426 EUROSTX 26.862 0.014 2.5 0.916 FEEDCOW -11.783 0.013 2.5 -0.390 GASOIL 24.185 0.017 2.5 1.048 GASOLINE -1.362 0.017 2.5 -0.059 GAS_US_mini 23.462 0.043 2.5 2.541 GBP -61.576 0.010 2.5 -1.598 GOLD_micro -475.220 0.014 2.5 -16.210 HEATOIL 4.855 0.017 2.5 0.210 JGB-SGX-mini 152.412 0.043 2.5 16.505 JPY -147.002 0.010 2.5 -3.814 LEANHOG 60.168 0.024 2.5 3.657 LIVECOW -20.943 0.013 2.5 -0.694 LUMBER-new -330.430 0.009 2.5 -7.027 MILK -224.385 0.009 2.5 -4.806 MXP -21.809 0.059 2.5 -3.201 NASDAQ_micro -115.800 0.009 2.5 -2.691 NIKKEI 79.667 0.043 2.5 8.627 NZD -7.366 0.010 2.5 -0.191 OAT 1.011 0.014 2.5 0.034 OATIES -152.310 0.010 2.5 -3.706 OJ 135.975 0.009 2.5 2.912 PALLAD -21.496 0.014 2.5 -0.733 PLAT -19.630 0.014 2.5 -0.670 REDWHEAT -156.455 0.005 2.5 -2.076 RICE -20.006 0.010 2.5 -0.487 ROBUSTA -64.623 0.005 2.5 -0.755 RUSSELL -828.589 0.013 2.5 -27.459 SHATZ -391.610 0.004 2.5 -3.971 SILVER-mini -34.311 0.014 2.5 -1.170 SMI 4.289 0.014 2.5 0.146 SOFR -210.149 0.024 2.5 -12.772 SOYBEAN -36.551 0.004 2.5 -0.340 SOYMEAL -83.268 0.004 2.5 -0.774 SOYOIL -54.959 0.004 2.5 -0.512 SP400 -29.652 0.013 2.5 -0.983 SP500_micro -357.319 0.009 2.5 -8.305 SUGAR11 73.000 0.009 2.5 1.553 US10 -100.117 0.005 2.5 -1.269 US10U -57.880 0.005 2.5 -0.733 US2 -245.858 0.005 2.5 -3.116 US20 -30.869 0.005 2.5 -0.391 US30 -22.188 0.005 2.5 -0.281 US5 -184.484 0.005 2.5 -2.338 VIX -83.449 0.099 2.5 -20.600 WHEAT -154.462 0.005 2.5 -2.049 ===================== Position diags ===================== AUD 2.56 BITCOIN 72.00 BOBL 1.43 BTP 2.05 BUND 0.67 BUXL 0.29 CAC 2.37 CAD 3.81 CANOLA 9.80 CHF 1.78 COCOA 2.17 COFFEE 0.55 COPPER 5.12 CORN 3.84 COTTON2 1.81 CRUDE_W 3.35 DAX 11.06 DOW 10.22 DX 2.93 EUR 1.78 EURIBOR-ICE 10.37 EUROSTX 3.50 FEEDCOW 1.68 GASOIL 1.16 GASOLINE 1.07 GAS_US_mini 22.53 GBP 2.72 GOLD_micro 9.48 HEATOIL 0.90 JGB-SGX-mini 33.99 JPY 2.53 LEANHOG 4.81 LIVECOW 2.97 LUMBER-new 4.12 MILK 2.46 MXP 26.88 NASDAQ_micro 3.80 NIKKEI 19.81 NZD 2.75 OAT 2.24 OATIES 3.03 OJ 1.46 PALLAD 0.73 PLAT 2.20 REDWHEAT 1.04 RICE 3.48 ROBUSTA 1.91 RUSSELL 16.37 SHATZ 5.03 SILVER-mini 1.62 SMI 1.76 SOFR 14.50 SOYBEAN 0.71 SOYMEAL 0.84 SOYOIL 0.85 SP400 0.66 SP500_micro 6.74 SUGAR11 2.43 US10 1.22 US10U 0.86 US2 2.61 US20 0.54 US30 0.37 US5 1.97 VIX 18.35 WHEAT 1.18 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.3 -2.6 -2.1 -1.0 -1 BITCOIN -30.5 -37.7 -23.3 -33.0 -33 BOBL -0.6 -0.7 -0.5 0.0 0 BTP -1.1 -1.3 -0.9 0.0 0 BUND -0.2 -0.2 -0.1 0.0 0 BUXL -0.1 -0.2 -0.1 -2.0 -2 CAC -0.6 -0.8 -0.4 0.0 0 CAD -5.2 -5.6 -4.9 -1.0 -1 CANOLA -10.4 -11.4 -9.4 NaN 0 CHF -3.5 -3.7 -3.3 -6.0 -6 COCOA 0.2 -0.0 0.4 0.0 0 COFFEE -1.0 -1.0 -0.9 -2.0 -2 COPPER -7.0 -7.5 -6.5 -6.0 -6 CORN -3.0 -3.4 -2.6 -1.0 -1 COTTON2 -0.7 -0.9 -0.5 -2.0 -2 CRUDE_W 3.0 2.7 3.4 4.0 4 DAX 0.2 -0.9 1.3 0.0 0 DOW -13.7 -14.8 -12.7 -1.0 -1 DX 3.6 3.3 3.9 NaN 0 EUR -1.7 -1.9 -1.6 -8.0 -8 EURIBOR-ICE 3.4 2.4 4.5 1.0 1 EUROSTX 0.9 0.6 1.3 5.0 5 FEEDCOW -0.4 -0.6 -0.2 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 2.5 0.3 4.8 -1.0 -1 GBP -1.6 -1.9 -1.3 -1.0 -1 GOLD_micro -16.2 -17.2 -15.3 -19.0 -19 HEATOIL 0.2 0.1 0.3 0.0 0 JGB-SGX-mini 16.5 13.1 19.9 11.0 11 JPY -3.8 -4.1 -3.6 -7.0 -7 LEANHOG 3.7 3.2 4.1 3.0 3 LIVECOW -0.7 -1.0 -0.4 0.0 0 LUMBER-new -7.0 -7.4 -6.6 NaN 0 MILK -4.8 -5.1 -4.6 NaN 0 MXP -3.2 -5.9 -0.5 0.0 0 NASDAQ_micro -2.7 -3.1 -2.3 -2.0 -2 NIKKEI 8.6 6.6 10.6 14.0 14 NZD -0.2 -0.5 0.1 0.0 0 OAT 0.0 -0.2 0.3 1.0 1 OATIES -3.7 -4.0 -3.4 NaN 0 OJ 2.9 2.8 3.1 NaN 0 PALLAD -0.7 -0.8 -0.7 -1.0 -1 PLAT -0.7 -0.9 -0.4 -3.0 -3 REDWHEAT -2.1 -2.2 -2.0 -4.0 -4 RICE -0.5 -0.8 -0.1 NaN 0 ROBUSTA -0.8 -0.9 -0.6 0.0 0 RUSSELL -27.5 -29.1 -25.8 -4.0 -4 SHATZ -4.0 -4.5 -3.5 NaN 0 SILVER-mini -1.2 -1.3 -1.0 NaN 0 SMI 0.1 -0.0 0.3 0.0 0 SOFR -12.8 -14.2 -11.3 NaN 0 SOYBEAN -0.3 -0.4 -0.3 -1.0 -1 SOYMEAL -0.8 -0.9 -0.7 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 -8.3 -9.0 -7.6 0.0 0 SUGAR11 1.6 1.3 1.8 0.0 0 US10 -1.3 -1.4 -1.1 NaN 0 US10U -0.7 -0.8 -0.6 0.0 0 US2 -3.1 -3.4 -2.9 NaN 0 US20 -0.4 -0.4 -0.3 -2.0 -2 US30 -0.3 -0.3 -0.2 -1.0 -1 US5 -2.3 -2.5 -2.1 -4.0 -4 VIX -20.6 -22.4 -18.8 -17.0 -17 WHEAT -2.0 -2.2 -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 1.0 3.1 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 -0.1 -0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 0.4 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 0.0 -0.5 -0.3 -0.7 -0.1 0.1 BITCOIN 0.2 -0.2 -0.3 -0.1 0.0 -0.1 -0.0 -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 0.4 0.6 0.0 0.1 -0.1 0.7 -0.1 0.7 BOBL 0.1 -0.1 0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -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 0.2 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 -0.0 -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 0.1 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 0.1 -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 0.6 0.2 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 0.1 -0.2 0.0 -0.3 -0.0 -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 -0.0 -0.1 -0.0 -0.2 0.6 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 -0.2 -0.7 -0.1 -0.1 -0.1 -0.0 0.1 -0.1 0.2 -0.2 -0.0 0.1 0.2 0.5 0.1 0.7 0.3 CAD -0.1 -0.2 -0.3 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 -0.0 -0.2 -0.1 -0.5 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.2 -0.0 -0.0 -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 0.1 0.0 -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 -0.1 -0.0 0.3 0.1 -0.5 -0.5 0.3 -0.3 0.0 0.4 0.4 CHF -0.2 -0.6 -0.4 -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 0.1 0.0 -0.1 -1.3 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -1.1 0.5 -0.4 -0.6 -0.3 -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 -1.8 0.0 0.0 0.2 0.0 0.4 -0.0 -0.4 0.5 -0.5 0.5 0.6 0.1 -0.3 0.7 0.1 COFFEE -0.2 0.1 -0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.2 -0.5 -0.1 -0.6 -0.1 -0.2 -0.1 0.0 -0.0 -0.0 -0.2 -0.2 0.0 -0.5 -0.1 -2.7 -0.1 0.1 -0.2 0.0 -0.2 -0.0 -0.1 0.5 0.4 0.1 -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 -0.4 -0.1 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 -0.8 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.3 -0.4 -0.1 0.0 0.1 -0.7 0.3 -0.7 CORN 0.4 -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 -0.5 0.0 -2.1 -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 0.2 COTTON2 -0.2 -0.0 0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.3 -0.1 -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 -0.0 0.2 -0.1 0.2 -0.0 0.1 -0.2 0.4 0.6 0.6 -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 0.1 0.3 -0.0 0.2 0.0 0.1 0.4 0.2 0.4 0.3 0.1 0.1 -0.0 0.3 0.0 -0.6 0.0 0.0 0.1 -0.0 0.2 -0.0 -1.1 -0.0 0.4 0.3 0.0 0.7 0.3 0.7 0.3 DAX -0.3 -0.5 -0.5 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.2 -0.1 0.4 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 0.1 -0.1 2.3 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -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 -0.0 -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 -0.0 -0.0 -0.0 0.1 -0.0 0.1 0.5 0.1 -0.2 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.3 0.2 -2.7 0.1 0.0 0.1 0.0 0.1 0.1 0.8 0.5 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 -0.1 0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 1.7 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.4 0.0 -0.2 -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 0.1 -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 0.2 0.4 0.4 0.3 -0.7 -0.7 0.4 0.5 EUROSTX -0.2 -0.4 -0.5 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -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 0.1 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 -0.0 -0.1 -0.1 -0.1 0.4 -0.2 0.7 -0.1 0.1 -0.2 -0.4 -0.2 -0.4 0.0 0.2 -0.2 0.5 -0.2 -0.3 0.0 -0.0 0.2 -0.1 0.4 -0.0 -1.1 -0.5 -0.6 0.6 0.6 0.4 -0.2 0.7 0.2 GASOIL -0.6 -0.1 0.6 0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 0.3 -0.0 0.2 -0.0 0.1 0.4 0.4 0.4 0.4 0.1 0.2 -0.0 0.3 -0.0 1.1 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 -0.6 0.3 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.0 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 -0.1 -0.6 -0.6 -0.4 0.7 0.4 0.7 0.2 GAS_US_mini 0.5 0.2 0.6 0.0 0.0 0.2 -0.0 0.2 -0.0 0.1 -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 0.0 0.0 0.1 -0.1 0.1 -1.1 0.5 0.6 -0.2 -0.6 -0.1 0.2 -0.4 0.0 GBP -0.2 -0.6 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 0.3 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.1 -0.0 -0.2 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.1 0.2 -0.4 -0.6 -0.5 -0.1 0.3 0.1 0.7 GOLD_micro -0.2 -0.2 -0.5 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.2 -0.4 0.0 0.0 -0.1 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.1 0.1 -0.1 -0.1 -1.1 -0.1 0.1 -0.1 0.0 -0.0 -0.0 -1.0 0.5 -0.4 -0.2 -0.3 -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 0.1 0.4 -0.0 0.2 -0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.2 -0.0 0.4 -0.0 -2.7 0.0 0.0 0.2 -0.0 0.2 -0.0 0.1 0.1 -0.0 -0.2 0.5 0.2 -0.1 -0.0 -0.2 JGB-SGX-mini -0.0 -0.4 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.0 0.1 0.1 -0.0 -0.1 0.4 0.4 0.3 0.3 -0.1 -0.1 0.1 -0.0 -0.0 -0.2 -0.0 0.1 -0.1 0.0 -0.0 -0.0 1.1 0.4 0.5 0.3 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 0.1 -0.1 -0.3 -0.6 -0.2 -0.7 -0.1 -0.7 LEANHOG -0.4 0.0 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 -0.1 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 -0.0 -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 -0.2 0.2 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 -0.0 0.5 -0.0 -0.5 -0.5 -0.8 -0.1 -0.8 MILK -0.6 -0.2 0.1 -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 0.2 -0.4 0.0 -0.3 -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 -0.3 -0.4 -0.2 0.1 0.7 0.3 0.7 0.7 NASDAQ_micro -0.2 -0.4 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 0.2 0.0 0.3 -0.0 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 0.0 0.3 -0.0 -2.7 -0.0 0.0 0.1 0.0 0.2 -0.0 -0.3 0.5 0.3 0.3 0.4 -0.0 -0.5 -0.1 -0.5 NIKKEI -0.6 -0.4 -0.4 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 0.1 0.3 0.0 0.4 -0.0 -0.0 0.1 0.2 0.2 0.2 -0.0 0.1 0.0 0.3 -0.0 -1.0 -0.0 0.0 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 0.4 0.0 -0.3 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.3 -0.0 -0.1 0.0 -0.1 -0.0 0.0 0.0 0.0 -0.1 -0.1 -0.0 -0.2 -0.0 0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.2 -0.1 0.6 0.3 -0.2 0.1 -0.5 0.3 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 -0.0 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.1 0.0 -0.2 -0.0 1.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.9 0.2 0.2 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 0.0 -0.0 -1.1 -0.5 -0.6 -0.2 0.3 0.3 0.4 0.7 0.7 OJ 0.6 0.6 0.6 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.3 0.1 0.4 0.1 1.1 0.5 0.6 0.6 0.6 0.1 0.2 0.6 0.7 PALLAD -0.3 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 -0.5 -0.2 -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 0.0 -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 -0.1 -0.0 -0.0 -0.0 0.1 -0.1 -0.0 0.3 0.0 0.0 -0.6 0.3 -0.5 REDWHEAT -0.3 -0.5 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -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 0.1 -0.4 -0.4 -0.6 -0.7 -0.7 -0.7 -0.3 RICE -0.1 -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 -2.7 -0.0 -0.0 0.1 -0.1 0.3 -0.1 1.1 -0.5 -0.4 0.0 -0.3 -0.0 -0.4 0.7 -0.1 RUSSELL -0.4 -0.6 -0.2 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.2 -0.4 -0.0 -0.0 -0.1 -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 0.2 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 0.1 -0.1 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 0.8 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.2 0.2 -0.0 0.1 0.2 -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 0.0 -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 -0.0 0.8 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.6 0.2 0.5 0.5 0.2 -0.2 -0.5 -0.3 -0.3 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 -0.1 0.1 0.2 0.0 -0.7 -0.7 -0.2 -0.2 SOYBEAN -0.3 -0.3 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.2 -0.1 0.1 -0.1 -0.0 0.2 0.4 0.2 0.3 -0.1 -0.0 -0.1 0.0 -0.1 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.0 0.0 0.2 0.4 -0.7 -0.0 -0.5 0.2 SOYMEAL -0.3 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 -0.0 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 0.2 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 -0.0 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 -0.0 0.0 -0.0 0.9 -0.3 -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 -0.1 -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 -1.4 -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 -0.5 -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 0.4 -0.1 0.0 0.4 -0.2 -0.4 -0.3 -0.6 SUGAR11 -0.5 0.3 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.4 0.0 0.6 0.1 0.2 0.4 0.3 0.3 0.2 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.4 0.0 1.0 0.3 0.5 0.6 0.2 -0.7 -0.7 0.2 0.0 US10 0.0 -0.2 -0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.1 -0.1 -0.0 -0.3 -0.1 0.1 -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 0.1 -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 0.4 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 0.0 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 -0.4 -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 -0.0 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.1 -0.2 -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 0.2 -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 0.8 0.7 -0.0 0.1 -0.3 0.1 -0.7 0.0 0.1 -0.8 0.1 -1.2 0.1 -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 0.1 -0.8 0.0 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.2 -0.5 -0.5 -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 3.2 -2.8 -11.1 -3.2 -3.8 -0.7 -2.2 1.0 -3.2 -10.4 -13.4 -6.0 -9.8 -7.2 -13.2 -3.6 -3.0 -3.4 -3.2 -10.0 -11.0 -8.0 -10.1 -7.4 3.2 -4.7 -7.4 -4.6 -4.3 -4.0 -3.9 -1.5 -10.1 -0.3 1.4 -14.0 -8.7 -20.0 -4.3 3.9 BITCOIN 6.9 -5.8 -8.3 -6.1 0.6 -3.2 -3.8 -0.5 -6.7 -20.0 2.7 -4.3 5.5 -0.1 -12.9 -5.3 -4.4 -5.7 -5.4 -5.7 -4.1 -4.5 -1.3 -1.4 -20.0 -3.5 -7.1 -3.7 -2.7 -1.2 -0.7 -1.0 17.5 20.0 0.1 3.6 -4.4 20.0 -3.1 20.0 BOBL 3.0 -2.3 2.2 -2.4 0.5 -2.1 -0.6 -1.9 -2.0 4.5 -5.4 4.2 -7.4 -1.6 -3.8 7.4 -6.0 -4.4 -8.0 -3.9 -5.2 3.0 -8.0 -0.9 9.0 -2.0 1.7 -2.2 1.3 -2.9 -0.7 -8.9 9.1 9.0 6.8 6.2 -20.0 -20.0 -16.0 -16.5 BTP -12.9 -18.0 -6.7 -3.5 0.7 -3.0 -0.8 -2.7 -2.8 3.2 -4.5 -4.3 -1.2 -8.2 -9.2 6.1 7.5 5.8 6.2 -11.1 -6.9 -1.8 -4.9 -9.5 -6.1 -3.5 0.7 -2.0 -0.6 -1.1 -3.0 15.6 4.3 0.2 0.7 4.8 -12.7 -20.0 -0.5 8.6 BUND -2.0 -5.8 0.4 -2.5 0.5 -2.1 -0.6 -1.9 -2.0 6.4 -6.4 2.7 -7.8 -3.4 -5.7 -2.3 6.2 0.7 3.2 -5.6 -6.0 3.1 -8.0 -2.6 5.7 -2.3 2.4 -2.1 1.0 -2.3 -1.3 12.1 8.9 5.5 5.0 4.4 -20.0 -20.0 -18.8 -1.8 BUXL -5.0 -9.7 -0.4 -2.6 0.5 -2.3 -0.6 -2.0 -2.1 6.8 -8.0 0.6 -8.8 -4.6 -7.0 0.4 0.9 0.6 0.9 -9.1 -9.0 2.5 -10.5 -5.5 1.2 -2.7 2.3 -2.4 0.6 -2.2 -1.8 5.5 8.1 1.1 0.4 1.0 -20.0 -20.0 -9.5 19.9 CAC -12.7 -13.7 -12.0 -5.2 -0.3 -2.6 -1.1 0.2 -4.5 -10.7 -0.2 -14.7 16.2 -15.8 -16.3 -7.1 -2.4 -6.6 -4.9 -13.5 -4.8 -10.3 8.1 -14.4 -5.2 -5.8 -5.6 -2.1 -4.1 2.6 -6.2 4.2 -7.7 -0.2 3.7 6.5 14.8 2.0 20.0 7.8 CAD -2.9 -5.7 -7.8 -4.8 -5.7 -1.1 -3.4 1.6 -4.9 -0.8 -8.9 -8.3 -12.7 -8.9 -16.1 -2.4 -2.1 -2.4 -2.3 -13.0 -10.0 -9.3 -8.4 -11.9 1.6 -6.0 -3.8 -4.3 -4.6 -3.0 -5.8 0.0 -9.8 -1.0 -0.7 -16.7 -20.0 -20.0 -20.0 -20.0 CANOLA -20.0 -20.0 9.2 -3.2 -0.4 -2.3 -2.4 -2.1 -3.7 6.6 1.8 -7.6 -3.5 -11.4 -5.7 -9.5 7.0 -6.0 0.8 -14.5 -5.0 -7.7 -3.2 -18.0 -20.0 -3.0 1.6 -1.4 -1.5 -1.4 -3.9 4.8 4.3 -16.9 -15.0 8.7 -7.8 0.6 12.1 12.9 CHF -4.8 -20.0 -11.2 -4.4 -5.2 -1.0 -3.1 1.4 -4.4 15.5 -8.7 2.4 7.3 -11.2 -15.9 -17.1 -14.4 -16.5 -15.4 -20.0 -11.4 5.7 0.2 -13.2 -9.4 -5.5 4.0 -2.9 1.3 -0.1 -3.7 -20.0 20.0 -12.3 -20.0 -9.9 -20.0 -20.0 -20.0 -20.0 COCOA -20.0 -13.5 3.6 -4.8 -0.6 -3.4 -3.6 -3.2 -5.6 15.2 14.3 -8.0 16.7 -10.0 3.4 -2.9 -2.4 -3.5 -2.9 3.4 17.0 0.8 20.0 -4.6 -13.1 1.4 4.4 8.1 0.2 11.8 -2.1 -7.2 20.0 -15.0 14.3 20.0 2.7 -7.7 20.0 3.6 COFFEE -5.3 2.8 -11.8 -5.5 -0.7 -3.9 -4.2 -3.7 -6.4 17.4 -19.1 -9.4 -16.0 -13.3 -18.4 -2.7 1.2 -2.0 -0.4 -13.9 -18.3 5.5 -18.7 -6.6 -20.0 -5.7 13.6 -5.8 3.5 -4.6 -2.9 -1.8 20.0 10.9 4.4 -20.0 -20.0 -20.0 -20.0 -10.8 COPPER -12.5 -9.3 -7.1 -4.4 0.4 -2.3 -2.8 -0.4 -4.8 -13.0 -13.3 -13.8 -4.3 -14.1 -14.5 -6.2 -3.2 -5.6 -4.5 -14.6 -11.3 -14.3 -8.3 -16.0 -5.7 -5.2 -5.7 -3.7 -5.9 -2.7 -6.3 1.0 -14.1 -11.9 -3.0 1.0 4.1 -20.0 8.0 -20.0 CORN 11.7 -5.0 -19.0 -4.3 -0.5 -3.1 -3.3 -2.9 -5.0 11.3 -15.5 13.0 -14.8 4.0 -15.2 -4.6 2.2 -5.7 -3.1 -7.5 -16.2 7.1 -17.0 2.5 -15.4 -1.1 4.5 -4.2 4.3 -6.2 2.2 -3.4 19.6 20.0 10.2 -9.2 -6.2 1.1 2.1 7.4 COTTON2 -6.5 -0.4 12.4 -5.1 -0.6 -3.6 -3.8 -3.4 -5.9 -7.5 12.6 -12.4 -8.8 -5.8 11.2 -6.2 4.2 -1.1 1.3 3.2 6.9 -9.5 1.9 -4.7 -20.0 3.2 -3.4 5.6 -5.9 4.4 -2.1 1.8 -10.4 11.6 20.0 17.6 -18.3 -15.6 8.9 9.8 CRUDE_W -20.0 3.1 20.0 2.3 1.7 4.1 -2.2 3.2 -1.6 8.3 12.6 -2.9 4.7 2.6 11.0 20.0 12.1 18.0 14.2 10.6 13.8 -0.5 10.0 0.7 -4.8 3.7 2.5 5.2 -1.0 4.4 -0.1 -20.0 -0.1 11.1 10.5 1.0 20.0 10.4 20.0 8.3 DAX -10.4 -14.7 -15.8 -4.7 -0.3 -2.4 -1.0 0.2 -4.0 -2.7 -7.0 -10.1 12.5 -13.0 -16.3 -9.9 -7.8 -9.6 -9.0 -15.5 -8.0 -6.3 2.9 -13.8 17.2 -5.8 -2.3 -3.3 -2.2 0.1 -5.1 -4.0 -2.2 -4.7 -2.8 -7.2 16.7 1.1 20.0 9.7 DOW -19.2 -20.0 -4.2 -4.3 -0.2 -2.1 -0.9 0.1 -3.7 8.3 -0.4 -6.1 9.4 -10.0 -10.8 -11.4 -8.8 -11.4 -10.5 -15.6 -6.1 -4.1 1.2 -15.7 -10.1 -4.1 0.8 -1.0 -1.3 1.3 -4.4 -6.2 7.1 -10.9 -9.2 12.2 -14.2 -7.2 -20.0 -8.1 DX 2.1 20.0 16.9 -4.5 -5.3 -1.0 -3.2 1.4 -4.5 6.1 16.8 9.7 -5.5 16.3 20.0 7.4 5.7 7.1 6.4 20.0 20.0 11.4 10.7 20.0 -20.0 7.1 3.5 5.2 3.3 3.2 5.8 14.2 20.0 20.0 20.0 20.0 2.8 7.8 6.1 20.0 EUR -3.6 -20.0 -13.5 -3.5 -4.2 -0.8 -2.5 1.1 -3.6 -4.0 -12.3 -6.6 4.8 -12.3 -15.1 -6.8 -6.9 -6.8 -6.7 -17.0 -11.7 -7.2 -5.1 -13.4 12.6 -5.4 -2.9 -3.5 -2.4 -1.5 -4.4 -7.8 1.9 -7.0 -17.1 -13.0 -8.9 -17.9 -5.7 -3.6 EURIBOR-ICE 4.1 2.2 4.8 -2.4 0.5 -2.1 -0.6 -1.9 -1.9 3.1 -3.8 4.7 -6.8 0.8 0.5 -6.3 -7.9 -8.0 -8.5 -1.1 -3.2 3.5 -7.4 1.3 17.1 -0.7 1.2 -1.6 1.9 -3.7 0.6 -10.6 8.5 12.4 11.7 9.3 -20.0 -20.0 10.8 15.6 EUROSTX -6.7 -13.1 -14.2 -4.6 -0.3 -2.3 -1.0 0.1 -4.0 -0.2 -2.1 -7.2 13.4 -11.5 -15.6 -5.6 -2.0 -5.3 -4.2 -11.1 -4.8 -2.3 5.8 -8.8 5.0 -5.3 -1.3 -2.6 -0.8 1.7 -4.1 5.1 3.6 7.9 3.6 1.4 12.0 3.9 17.8 13.7 FEEDCOW -20.0 -16.8 5.0 -5.4 -0.7 -3.9 -4.1 -3.6 -6.3 -14.4 16.5 -18.6 19.0 -11.8 7.7 -10.7 -20.0 -12.4 -20.0 4.4 20.0 -20.0 20.0 -15.4 -1.9 2.6 -3.1 8.3 -5.5 10.9 -3.5 -20.0 -20.0 -20.0 20.0 20.0 12.7 -5.6 20.0 4.7 GASOIL -20.0 -2.2 20.0 2.0 1.5 3.6 -1.9 2.8 -1.4 3.0 11.9 -3.1 6.2 -1.0 10.9 20.0 20.0 20.0 20.0 11.1 16.1 -2.6 12.7 -0.9 8.6 3.5 2.7 5.0 -1.1 3.7 -0.3 0.0 1.3 6.9 4.9 14.4 -14.5 2.1 -18.9 -4.0 GASOLINE -20.0 -18.1 10.5 2.6 1.9 4.6 -2.4 3.6 -1.8 -3.4 11.1 -14.1 6.0 -14.3 3.7 20.0 20.0 20.0 20.0 -4.8 9.2 -17.6 14.2 -19.8 -20.0 -1.6 -0.3 3.0 -5.6 5.2 -6.2 20.0 -5.3 -20.0 -20.0 -13.8 20.0 10.7 20.0 5.2 GAS_US_mini 14.3 4.9 18.5 3.4 2.5 6.1 -3.2 4.7 -2.3 14.2 -19.0 18.0 -20.0 9.2 -7.1 -20.0 -20.0 -20.0 -20.0 1.4 -15.4 19.9 -20.0 13.9 20.0 4.6 4.1 0.6 11.5 -2.8 9.4 -20.0 20.0 20.0 -7.1 -20.0 -3.5 5.8 -10.6 0.3 GBP -5.2 -20.0 -12.8 -4.2 -5.0 -0.9 -3.0 1.4 -4.3 -4.5 -4.4 -6.2 9.0 -14.1 -16.8 -0.7 -0.7 -0.4 -0.4 -19.0 -9.6 -7.2 -0.8 -15.5 0.2 -5.9 -3.4 -3.1 -2.3 -0.9 -4.9 2.8 6.3 -12.1 -20.0 -14.1 -3.3 9.9 2.7 20.0 GOLD_micro -5.6 -4.9 -17.0 -5.0 0.5 -2.6 -3.1 -0.4 -5.5 16.7 -13.9 0.2 1.1 -7.7 -13.9 -18.0 -14.7 -18.3 -16.8 -16.1 -12.5 10.8 -4.7 -10.0 -8.3 -4.7 12.5 -3.0 3.1 -0.7 -3.5 -19.5 20.0 -12.5 -7.2 -8.9 -10.3 -20.0 -6.2 -20.0 HEATOIL -20.0 -3.5 20.0 2.5 1.9 4.5 -2.3 3.5 -1.7 8.0 13.0 -3.5 6.1 -4.8 11.5 20.0 20.0 20.0 20.0 10.4 17.9 -2.7 14.8 -4.0 -20.0 2.8 4.4 6.1 -1.5 5.9 -1.9 1.0 3.2 -1.1 -7.1 15.9 6.0 -2.1 -0.8 -6.1 JGB-SGX-mini -0.9 -12.1 -20.0 -3.4 0.7 -3.0 -0.8 -2.7 -2.8 10.0 -1.2 6.4 3.9 -3.8 -9.8 20.0 20.0 17.3 17.2 -8.9 -6.2 7.0 -0.5 -3.5 -1.2 -3.1 5.8 -2.4 2.7 -1.2 -1.2 20.0 14.9 14.2 8.1 1.1 -5.4 -12.8 11.2 11.0 JPY 0.2 -10.1 -20.0 -3.5 -4.1 -0.8 -2.5 1.1 -3.5 -9.1 -17.1 -12.0 -16.1 -14.6 -16.6 -19.2 -15.2 -18.1 -16.9 -20.0 -20.0 -8.6 -20.0 -14.2 20.0 -6.2 -2.5 -7.1 -2.7 -7.1 -4.2 -20.0 5.0 -4.6 -10.6 -20.0 -6.2 -20.0 -3.0 -20.0 LEANHOG -12.2 1.2 14.9 -2.5 -0.3 -1.8 -1.9 -1.7 -2.9 -3.9 -1.5 -6.2 -4.1 -5.8 -3.5 20.0 20.0 20.0 20.0 -3.5 -3.7 -5.0 -6.3 -4.9 9.9 -2.5 -2.7 -4.0 -2.7 -6.5 -2.7 20.0 -4.6 -0.3 2.9 -0.6 -7.8 -1.6 14.0 20.0 LIVECOW -19.4 -9.5 2.0 -5.8 -0.7 -4.1 -4.4 -3.9 -6.7 2.9 19.5 -11.2 20.0 -1.0 11.1 -20.0 -4.1 -20.0 -9.3 8.7 20.0 -4.5 20.0 -3.1 0.9 4.8 1.5 11.5 -1.8 14.7 -0.9 -11.0 -6.6 5.1 20.0 20.0 -20.0 -20.0 -15.7 -17.6 LUMBER-new 6.1 -7.0 -10.2 -6.0 -0.8 -4.1 -4.5 -3.2 -7.0 10.0 -20.0 1.2 -20.0 -15.4 -20.0 -14.1 -14.0 -15.1 -14.5 -14.2 -16.6 0.9 -14.8 -7.0 NaN -6.7 2.5 -6.9 0.6 -5.2 -3.4 -20.0 -0.1 14.4 -0.2 -14.0 -11.9 -20.0 -3.5 -19.5 MILK -19.1 -5.2 4.4 -4.3 -0.5 -3.0 -3.2 -2.8 -4.9 0.6 -7.6 -11.5 -13.3 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5.6 -7.0 0.9 -8.4 -4.6 -6.6 5.3 8.0 5.9 6.6 -6.8 -6.5 2.2 -8.0 -4.0 7.9 -2.6 2.0 -2.2 0.6 -2.3 -1.7 16.5 7.5 4.7 5.0 4.6 -20.0 -20.0 -6.2 8.2 OATIES -20.0 -20.0 12.4 -3.1 -0.4 -2.2 -2.3 -2.1 -3.6 -11.0 3.8 -11.8 -1.0 -11.4 -5.5 -17.3 -7.2 -17.1 -14.1 -9.5 3.7 -20.0 6.7 -20.0 -20.0 -1.9 -6.0 0.8 -5.6 1.3 -4.4 -20.0 -20.0 -20.0 -4.8 10.5 8.2 12.7 20.0 20.0 OJ 19.2 20.0 20.0 -6.2 -0.8 -4.4 -4.7 -4.1 -7.1 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 9.4 6.7 9.8 7.8 10.5 8.7 20.0 20.0 20.0 20.0 20.0 3.0 6.8 17.2 20.0 PALLAD -9.3 2.0 1.4 -3.1 0.3 -1.7 -2.0 -0.3 -3.4 -9.5 -12.4 -10.4 -13.1 -10.1 -11.0 -3.1 -2.7 -3.0 -2.9 -10.9 -15.0 -12.7 -20.0 -12.1 0.9 -3.9 -4.0 -4.0 -5.2 -4.6 -4.9 2.6 -18.8 -5.2 -3.6 -7.3 -10.3 -6.7 1.2 -2.6 PLAT -9.0 -4.4 -10.5 -3.1 0.3 -1.7 -2.0 -0.3 -3.5 0.8 -11.0 -7.9 -4.6 -9.7 -10.0 -4.0 -2.6 -3.7 -3.2 -9.5 -8.9 -6.4 -6.1 -9.1 12.8 -2.6 -1.3 -1.9 -3.1 -1.2 -3.5 2.5 -2.3 -0.2 8.2 0.4 0.2 -17.5 7.9 -14.3 REDWHEAT -8.6 -17.0 -16.8 -4.0 -0.5 -2.8 -3.0 -2.6 -4.6 -5.4 -14.1 -11.3 -14.8 -12.9 -15.4 -4.7 0.5 -3.6 -1.5 -20.0 -18.4 -10.2 -13.7 -16.8 -14.9 -5.3 -1.5 -4.2 -3.1 -2.6 -4.8 -3.1 4.6 -11.1 -12.4 -19.7 -20.0 -19.7 -19.8 -9.6 RICE -4.5 -3.1 11.1 -4.8 -0.6 -3.4 -3.6 -3.2 -5.6 13.4 8.1 6.3 4.5 -6.3 5.6 -19.4 10.5 -9.6 5.2 3.0 5.4 3.7 4.3 0.6 -20.0 0.3 4.1 1.7 2.4 1.5 -0.1 14.2 8.6 17.1 12.4 9.1 -5.3 -20.0 14.6 -8.8 ROBUSTA -19.5 -10.3 -1.2 -4.9 -0.6 -3.5 -3.7 -3.3 -5.7 -9.1 10.3 -16.2 13.7 -14.4 -12.0 20.0 20.0 20.0 20.0 -8.0 8.3 -18.6 20.0 -17.9 -20.0 -3.6 -1.8 2.3 -7.5 7.2 -7.3 20.0 -20.0 -11.6 1.1 -9.5 -1.3 -12.3 20.0 -1.5 RUSSELL -13.3 -20.0 -5.9 -3.9 -0.2 -2.0 -0.9 0.1 -3.4 -11.6 -9.0 -12.4 -5.9 -13.9 -13.5 -8.0 -6.3 -8.0 -7.4 -19.4 -10.9 -14.9 -5.5 -20.0 -2.7 -4.5 -4.8 -1.9 -4.2 -0.2 -5.2 -1.3 -20.0 -15.6 -9.9 5.5 -11.3 -11.9 -20.0 -19.8 SHATZ 10.7 -0.5 0.8 -2.5 0.5 -2.1 -0.6 -1.9 -2.0 -0.5 -7.0 2.6 -8.0 -1.5 -3.8 -20.0 -11.1 -20.0 -18.2 -4.1 -7.5 2.1 -12.4 -0.2 10.5 -1.6 -0.2 -2.6 1.1 -4.1 0.0 -20.0 8.2 14.0 7.0 6.5 -20.0 -20.0 -20.0 -20.0 SILVER-mini -11.0 -13.2 -9.2 -3.3 0.3 -1.7 -2.1 -0.3 -3.6 9.3 -4.7 -1.8 1.7 -7.5 -8.9 -7.4 -6.3 -7.5 -7.0 -10.1 -6.3 0.3 -2.0 -9.0 6.0 -2.6 5.1 -1.0 -0.0 0.1 -3.0 -4.0 10.2 -1.3 3.6 4.7 -14.9 -20.0 -6.4 -20.0 SMI -5.7 -3.1 -8.8 -4.5 -0.3 -2.3 -1.0 0.1 -3.9 4.8 -1.2 -3.5 4.5 -6.3 -11.3 4.4 1.6 1.6 0.6 -7.1 -5.5 1.8 -1.7 -4.3 5.8 -2.9 2.3 -2.2 1.9 -1.9 -1.8 12.1 7.1 14.8 15.0 4.8 -7.0 -15.0 -8.2 -10.4 SOFR 1.1 -6.7 -15.0 -3.0 0.6 -2.6 -0.7 -2.3 -2.4 3.2 -8.7 -2.6 -6.5 -6.1 -8.4 -0.6 -1.0 -1.3 -1.3 -9.7 -9.6 -2.0 -8.0 -6.5 -1.6 -3.3 0.2 -3.2 -0.8 -2.5 -2.4 1.7 -3.8 2.9 4.7 0.9 -20.0 -20.0 -6.8 -6.4 SOYBEAN -10.5 -9.7 5.2 -4.2 -0.5 -3.0 -3.2 -2.8 -4.9 0.6 5.8 -7.8 2.2 -13.7 -2.7 12.0 17.6 10.9 13.2 -5.6 -0.1 -6.6 0.5 -9.6 -20.0 -2.4 -0.4 -0.0 -3.0 0.6 -4.2 20.0 -1.4 0.1 4.9 12.0 -19.7 -1.5 -16.2 5.4 SOYMEAL -9.4 -9.9 -3.8 -3.7 -0.5 -2.6 -2.8 -2.4 -4.2 8.5 -9.1 -2.2 0.9 -10.3 -9.3 8.6 17.1 10.5 14.3 -7.9 -5.3 0.9 -0.3 -7.2 -20.0 -2.6 5.7 -0.5 0.9 2.3 -2.8 20.0 5.8 1.8 4.7 5.7 -20.0 -20.0 -20.0 -18.7 SOYOIL -20.0 -20.0 7.9 -2.9 -0.4 -2.1 -2.2 -2.0 -3.4 -4.6 3.7 -9.5 -0.6 -10.7 -4.5 13.7 12.1 14.2 12.5 -11.9 -1.8 -17.4 1.1 -20.0 -20.0 -2.8 -1.3 -0.6 -4.0 0.1 -4.6 17.7 -12.6 -20.0 -15.6 5.2 -2.9 5.5 17.1 20.0 SP400 -12.7 -20.0 -7.2 -3.7 -0.2 -1.8 -0.8 0.1 -3.2 -5.7 -6.1 -8.8 2.1 -11.7 -11.0 -5.2 -5.0 -5.5 -5.5 -16.0 -8.0 -10.0 -1.7 -16.1 -10.8 -3.9 -3.3 -1.5 -3.1 0.3 -4.4 1.3 -12.5 -10.1 -5.5 9.7 -6.3 -12.9 -17.1 -20.0 SP500_micro -15.5 -19.9 -10.2 -3.9 -0.2 -2.0 -0.9 0.1 -3.4 5.8 5.2 -2.9 8.4 -7.3 -8.6 -11.1 -9.8 -11.7 -11.2 -10.2 -0.1 0.8 6.8 -9.3 -17.6 -3.0 0.7 0.6 0.2 3.2 -2.9 -7.6 15.3 -4.2 1.0 13.3 -5.6 -12.4 -8.1 -17.9 SUGAR11 -14.5 9.1 1.5 -4.9 -0.6 -3.5 -3.7 -3.3 -5.7 10.8 16.5 1.0 16.9 11.5 14.1 20.0 13.4 14.6 11.2 15.1 20.0 5.9 20.0 8.8 -20.0 4.7 4.2 7.9 2.2 12.4 2.6 18.0 11.9 16.2 20.0 7.5 -20.0 -20.0 7.1 1.4 US10 0.7 -6.2 -14.4 -2.5 0.5 -2.2 -0.6 -2.0 -2.1 2.8 -8.2 -3.3 -8.2 -5.8 -7.7 -6.9 -7.4 -8.3 -8.5 -10.6 -11.1 -2.5 -10.8 -7.4 1.1 -3.0 0.3 -2.9 -0.8 -2.5 -2.3 -10.2 -3.1 -1.9 0.5 -2.2 -20.0 -20.0 4.1 -0.2 US10U -1.8 -7.9 -13.4 -3.2 0.7 -2.8 -0.8 -2.5 -2.6 3.3 -10.4 -4.9 -10.3 -7.9 -10.0 2.6 -0.5 0.6 -0.5 -14.3 -14.0 -3.8 -13.1 -10.7 -2.7 -3.8 0.4 -3.5 -1.2 -2.8 -3.0 2.6 -5.3 -5.0 -1.1 -4.2 -20.0 -20.0 13.2 16.0 US2 12.5 6.8 -17.1 -2.6 0.5 -2.3 -0.6 -2.0 -2.1 -0.2 -8.8 0.3 -8.8 -4.2 -7.3 -20.0 -20.0 -20.0 -20.0 -8.3 -13.3 -0.5 -17.1 -3.1 8.7 -2.7 -0.7 -4.4 0.1 -5.8 -0.9 -20.0 1.6 8.9 7.2 0.2 -20.0 -20.0 -20.0 -20.0 US20 -5.8 -8.1 -12.0 -2.2 0.5 -1.9 -0.5 -1.7 -1.8 2.2 -7.1 -3.8 -6.7 -5.5 -6.9 -1.5 -1.9 -2.4 -2.3 -11.0 -10.0 -3.9 -8.6 -9.1 -2.3 -2.6 0.2 -2.2 -1.0 -1.8 -2.2 0.0 -5.3 -8.6 -4.0 -5.7 -13.3 -20.0 20.0 20.0 US30 -6.8 -7.3 -8.4 -2.4 0.5 -2.1 -0.6 -1.8 -1.9 2.1 -7.7 -4.2 -7.4 -6.0 -7.4 -5.4 -4.1 -6.3 -5.5 -11.0 -10.2 -3.9 -9.5 -9.0 -1.8 -2.8 0.2 -2.4 -1.1 -1.9 -2.4 -4.4 -5.3 -6.9 -2.0 -4.9 -9.8 -20.0 20.0 20.0 US5 5.8 -2.7 -14.4 -2.7 0.6 -2.3 -0.7 -2.1 -2.2 2.2 -8.7 -1.8 -8.7 -5.3 -7.8 -11.8 -10.7 -13.4 -12.8 -9.4 -11.2 -1.5 -12.1 -5.6 3.6 -3.1 0.0 -3.4 -0.5 -3.5 -1.9 -16.7 -1.3 3.6 3.8 0.2 -20.0 -20.0 -6.3 -18.3 VIX 20.0 16.2 13.9 -1.4 6.8 -7.3 3.2 -11.4 2.5 5.6 -18.2 6.1 -20.0 3.6 -4.8 -11.5 -20.0 -20.0 -20.0 -4.5 -17.0 4.5 -20.0 2.8 NaN -1.5 7.8 -8.5 3.6 -13.8 2.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 6.8 -15.3 -14.1 -3.5 -0.4 -2.5 -2.6 -2.3 -4.0 1.3 -12.9 2.5 -13.8 -8.7 -13.0 -11.1 -10.0 -11.3 -10.9 -13.7 -16.9 -1.5 -17.9 -6.9 -4.3 -4.1 0.0 -4.6 -0.5 -4.5 -2.3 -20.0 10.0 9.5 -5.4 -12.6 -20.0 -14.5 -20.0 -10.7 End of report for caleb_strategy_v3