******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231017_204342 produced at 2023-10-17 21:38:50.062881 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 SOFR False True 0.09 0.00 -1.06 0.0 0.00 0.00 0.00 0.00 -12.37 11.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.19 -0.24 0.0 0.19 -0.19 -0.19 -0.19 -7.55 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 -3.09 13.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.17 0.0 0.00 0.00 0.00 0.00 -4.33 24.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.30 -0.17 0.0 0.65 -0.65 -0.30 -0.30 -3.41 13.0 -6 -6 caleb_strategy_v3 JPY False False 0.03 -0.21 -0.13 0.0 0.51 -0.51 -0.21 -0.21 -4.24 17.0 -7 -7 caleb_strategy_v3 CAD False False 0.03 -0.05 -0.13 0.0 0.76 -0.76 -0.05 -0.05 -5.05 29.0 -2 -2 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.11 0.0 0.11 -0.11 -0.11 -0.11 -15.77 17.0 -16 -16 caleb_strategy_v3 GOLD_micro False False 0.01 -0.04 -0.09 0.0 0.39 -0.39 -0.04 -0.04 -12.65 56.0 -6 -6 caleb_strategy_v3 US5 False False 0.04 -0.11 -0.08 0.0 0.93 -0.93 -0.11 -0.11 -2.26 25.0 -3 -3 caleb_strategy_v3 SP400 False False 0.09 -0.18 -0.07 0.0 0.18 -0.18 -0.18 -0.18 -0.74 2.0 -2 -2 caleb_strategy_v3 RUSSELL False False 0.00 -0.04 -0.07 0.0 0.22 -0.22 -0.04 -0.04 -21.74 68.0 -12 -12 caleb_strategy_v3 EUR False False 0.05 -0.38 -0.07 0.0 0.66 -0.66 -0.38 -0.38 -1.55 14.0 -8 -8 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.07 0.0 0.40 -0.40 -0.01 -0.01 -11.42 66.0 -1 -2 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.06 0.0 0.38 -0.38 0.00 0.00 -7.53 48.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.00 -0.05 0.0 0.41 -0.41 0.00 0.00 -1.16 10.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.06 -0.06 0.00 0.00 -4.28 5.0 0 0 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.05 0.0 0.43 -0.43 -0.02 -0.02 -2.09 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 -1.21 17.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.04 0.0 0.19 -0.19 0.00 0.00 -10.08 51.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 -0.04 0.0 0.60 -0.60 0.00 0.00 -1.37 22.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.04 0.0 0.01 -0.01 0.00 0.00 -7.31 3.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.05 -0.03 0.0 0.10 -0.10 -0.05 -0.05 -2.14 8.0 -4 -4 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.03 -0.03 0.0 0.25 -0.25 -0.03 -0.04 -2.81 23.0 -3 -4 caleb_strategy_v3 MXP False False 0.01 0.00 -0.03 0.0 0.59 -0.59 0.00 0.00 -2.61 60.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 -0.03 0.0 0.51 -0.51 0.00 0.00 -0.70 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 -0.78 2.0 -1 -1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -4.16 2.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.03 0.0 0.11 -0.11 -0.02 -0.02 -2.26 9.0 -2 -2 caleb_strategy_v3 BOBL False False 0.04 -0.04 -0.03 0.0 0.83 -0.83 -0.04 -0.04 -0.68 19.0 -1 -1 caleb_strategy_v3 CAC False True 0.03 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -1.04 12.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.03 0.0 0.11 -0.11 -0.01 -0.01 -3.69 12.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.02 0.0 0.16 -0.16 -0.03 -0.03 -1.24 11.0 -2 -2 caleb_strategy_v3 US20 False False 0.04 -0.08 -0.02 0.0 0.35 -0.35 -0.08 -0.08 -0.39 9.0 -2 -2 caleb_strategy_v3 COFFEE False False 0.02 -0.02 -0.02 0.0 0.13 -0.13 -0.02 -0.02 -0.89 6.0 -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 -0.98 0.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.00 -0.02 0.0 0.45 -0.45 0.00 0.00 -0.75 17.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 -0.02 0.0 0.36 -0.36 0.00 0.00 -0.45 8.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.48 -0.48 0.00 0.00 -0.21 10.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.29 7.0 -1 -1 caleb_strategy_v3 SMI False False 0.04 0.00 -0.01 0.0 0.39 -0.39 0.00 0.00 -0.34 9.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.05 -0.01 0.0 0.18 -0.18 -0.05 -0.05 -0.15 4.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.57 9.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -0.65 4.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 -0.01 0.0 0.33 -0.33 0.00 0.00 -1.00 58.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.08 -0.01 0.0 0.24 -0.24 -0.08 -0.08 -0.27 6.0 -2 -2 caleb_strategy_v3 BITCOIN False True 0.00 -0.03 -0.01 0.0 0.00 -0.03 -0.03 -0.03 -6.83 59.0 -28 -28 caleb_strategy_v3 NZD False False 0.02 0.00 -0.01 0.0 0.44 -0.44 0.00 0.00 -0.44 21.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.05 -0.01 0.0 0.16 -0.16 -0.05 -0.05 -0.45 10.0 -3 -3 caleb_strategy_v3 SOYOIL False False 0.01 -0.01 -0.01 0.0 0.12 -0.12 -0.01 -0.01 -0.47 10.0 -1 -1 caleb_strategy_v3 GAS_US_mini False True 0.00 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.77 26.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 -0.00 0.0 0.19 -0.19 0.00 0.00 -0.35 23.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.06 4.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.05 -0.00 0.0 0.46 -0.46 0.05 0.05 -0.08 10.0 1 1 caleb_strategy_v3 COCOA False False 0.01 0.00 0.01 0.0 0.34 -0.34 0.00 0.00 0.82 26.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.05 0.01 0.0 0.31 -0.31 0.05 0.05 0.49 20.0 3 3 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.27 3.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.02 0.0 0.19 -0.19 0.00 0.00 2.07 18.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.03 0.03 0.0 0.13 -0.13 0.03 0.03 3.25 13.0 3 3 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.03 0.0 0.12 -0.12 0.00 0.00 1.11 4.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.08 0.06 0.0 0.28 -0.28 0.08 0.07 7.24 36.0 10 9 caleb_strategy_v3 OJ False False 0.02 0.00 0.06 0.0 0.06 -0.06 0.00 0.00 3.00 3.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.09 0.0 0.14 -0.14 0.08 0.08 3.24 5.0 3 3 caleb_strategy_v3 DX False False 0.04 0.00 0.11 0.0 37878672.78 -37878672.78 0.00 0.00 2.98 999999999.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.23 0.0 0.91 -0.91 0.00 0.00 2.54 10.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.42 0.42 0.0 0.55 -0.55 0.42 0.42 12.20 16.0 12 12 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 12.4 Shocked risk 26.5 Sum abs risk 43.5 Leverage 4.65 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2798144.5, 'annual_cash_vol_target': 699536.125, 'daily_cash_vol_target': 43721.0078125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6374 0.7031 11.2491 BITCOIN 715.0443 28485.0000 2.5102 40.1640 BOBL 0.2994 115.4300 0.2594 4.1506 BTP 0.6923 108.7300 0.6367 10.1868 BUND 0.6255 128.0600 0.4884 7.8146 BUXL 1.4521 121.1200 1.1989 19.1824 CAC 57.2268 7050.5000 0.8117 12.9867 CAD 0.0030 0.7335 0.4075 6.5200 CANOLA 7.0647 724.4000 0.9752 15.6039 CHF 0.0049 1.1178 0.4380 7.0078 COCOA 45.5368 3666.0000 1.2421 19.8742 COFFEE 2.4528 156.6000 1.5663 25.0601 COPPER 0.0362 3.5760 1.0127 16.2029 CORN 5.4470 516.2500 1.0551 16.8817 COTTON2 1.0907 83.1100 1.3124 20.9985 CRUDE_W 1.3780 77.7500 1.7723 28.3570 DAX 121.6732 15326.0000 0.7939 12.7024 DOW 208.0507 34052.0000 0.6110 9.7757 DX 0.3883 105.9900 0.3664 5.8617 EUR 0.0052 1.0602 0.4859 7.7742 EURIBOR-ICE 0.0555 96.9200 0.0573 0.9162 EUROSTX 38.8998 4165.0000 0.9340 14.9435 FEEDCOW 1.6773 255.0500 0.6576 10.5224 GASOIL 16.1552 867.0000 1.8633 29.8136 GASOLINE 0.0419 2.2696 1.8444 29.5106 GAS_US_mini 0.0851 3.4600 2.4599 39.3587 GBP 0.0068 1.2186 0.5595 8.9517 GOLD_micro 15.9197 1935.7000 0.8224 13.1588 HEATOIL 0.0493 2.9844 1.6511 26.4168 JGB-SGX-mini 0.2294 144.8600 0.1584 2.5339 JPY 0.0000 0.0067 0.5236 8.3781 LEANHOG 1.3594 72.1250 1.8848 30.1570 LIVECOW 1.1842 186.7500 0.6341 10.1456 LUMBER-new 8.0898 508.0000 1.5925 25.4797 MILK 0.1952 17.8200 1.0954 17.5269 MXP 0.0005 0.0549 0.8704 13.9261 NASDAQ_micro 135.8583 15212.7500 0.8931 14.2889 NIKKEI 350.9471 32070.0000 1.0943 17.5091 NZD 0.0042 0.5899 0.7155 11.4475 OAT 0.6345 122.4300 0.5183 8.2927 OATIES 6.8347 397.7500 1.7183 27.4933 OJ 4.1609 371.6500 1.1196 17.9131 PALLAD 20.1350 1141.0000 1.7647 28.2348 PLAT 13.4950 904.2000 1.4925 23.8797 REDWHEAT 10.8580 676.7500 1.6044 25.6708 RICE 0.1533 16.4850 0.9300 14.8799 ROBUSTA 26.7492 2316.0000 1.1550 18.4796 RUSSELL 19.0161 1779.8000 1.0684 17.0950 SHATZ 0.0859 104.8750 0.0819 1.3106 SILVER-mini 0.3595 23.0875 1.5573 24.9173 SMI 76.8861 10824.0000 0.7103 11.3653 SOFR 0.0791 95.7300 0.0827 1.3227 SOYBEAN 11.2413 1261.2500 0.8913 14.2605 SOYMEAL 4.8925 388.8000 1.2584 20.1336 SOYOIL 0.8079 54.1000 1.4934 23.8945 SP400 23.6192 2527.9000 0.9343 14.9495 SP500_micro 31.1599 4394.0000 0.7091 11.3464 SUGAR11 0.3366 26.1900 1.2851 20.5620 US10 0.4775 106.2656 0.4494 7.1898 US10U 0.6756 109.1719 0.6188 9.9014 US2 0.1102 101.0273 0.1091 1.7459 US20 1.0451 110.2188 0.9482 15.1706 US30 1.5221 114.1250 1.3337 21.3394 US5 0.2984 104.2578 0.2862 4.5787 VIX 0.6546 18.7500 3.4912 55.8590 WHEAT 9.5870 662.2500 1.4476 23.1622 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 637.35 0.70 448.10 1.00 448.10 43721.01 97.57 -8.26 -80.58 BITCOIN 28.48 2.51 71.50 1.00 71.50 43721.01 611.44 -1.03 -63.10 BOBL 1154.30 0.26 299.44 1.05 315.31 43721.01 138.66 -4.80 -66.59 BTP 1087.30 0.64 692.26 1.05 728.95 43721.01 59.98 -5.68 -34.07 BUND 1280.60 0.49 625.46 1.05 658.61 43721.01 66.38 -3.18 -21.12 BUXL 1211.20 1.20 1452.11 1.05 1529.07 43721.01 28.59 -5.17 -14.78 CAC 705.05 0.81 572.27 1.05 602.60 43721.01 72.55 -4.20 -30.50 CAD 733.50 0.41 298.90 1.00 298.90 43721.01 146.27 -13.32 -194.81 CANOLA 144.88 0.98 141.29 0.73 103.55 43721.01 422.22 -9.81 -414.14 CHF 1397.19 0.44 611.95 1.00 611.95 43721.01 71.45 -18.41 -131.52 COCOA 366.60 1.24 455.37 1.00 455.37 43721.01 96.01 4.00 38.45 COFFEE 587.25 1.57 919.78 1.00 919.78 43721.01 47.53 -16.06 -76.35 COPPER 894.00 1.01 905.34 1.00 905.34 43721.01 48.29 -14.43 -69.71 CORN 258.12 1.06 272.35 1.00 272.35 43721.01 160.53 -9.46 -151.82 COTTON2 415.55 1.31 545.37 1.00 545.37 43721.01 80.17 -7.24 -58.06 CRUDE_W 777.50 1.77 1377.97 1.00 1377.97 43721.01 31.73 9.42 29.90 DAX 153.26 0.79 121.67 1.05 128.12 43721.01 341.25 -0.86 -29.27 DOW 170.26 0.61 104.03 1.00 104.03 43721.01 420.29 -11.69 -491.41 DX 1059.90 0.37 388.30 1.00 388.30 43721.01 112.60 10.19 114.79 EUR 1325.19 0.49 643.89 1.00 643.89 43721.01 67.90 -8.79 -59.71 EURIBOR-ICE 2423.00 0.06 138.74 1.05 146.10 43721.01 299.26 2.49 74.40 EUROSTX 416.50 0.93 389.00 1.05 409.62 43721.01 106.74 1.34 14.32 FEEDCOW 1275.25 0.66 838.66 1.00 838.66 43721.01 52.13 -2.63 -13.72 GASOIL 867.00 1.86 1615.52 1.00 1615.52 43721.01 27.06 9.45 25.57 GASOLINE 953.23 1.84 1758.15 1.00 1758.15 43721.01 24.87 0.60 1.49 GAS_US_mini 86.50 2.46 212.78 1.00 212.78 43721.01 205.47 -0.35 -7.13 GBP 761.62 0.56 426.12 1.00 426.12 43721.01 102.60 -5.14 -52.77 GOLD_micro 193.57 0.82 159.20 1.00 159.20 43721.01 274.63 -13.50 -370.81 HEATOIL 1253.45 1.65 2069.51 1.00 2069.51 43721.01 21.13 2.99 6.32 JGB-SGX-mini 144860.00 0.16 22941.52 0.01 153.45 43721.01 284.92 3.95 112.63 JPY 843.00 0.52 441.42 1.00 441.42 43721.01 99.05 -16.49 -163.28 LEANHOG 288.50 1.88 543.77 1.00 543.77 43721.01 80.40 6.65 53.44 LIVECOW 747.00 0.63 473.67 1.00 473.67 43721.01 92.30 -2.46 -22.70 LUMBER-new 139.70 1.59 222.47 1.00 222.47 43721.01 196.53 -17.49 -343.69 MILK 356.40 1.10 390.41 1.00 390.41 43721.01 111.99 -17.84 -199.74 MXP 274.60 0.87 239.01 1.00 239.01 43721.01 182.93 -0.97 -17.79 NASDAQ_micro 304.26 0.89 271.72 1.00 271.72 43721.01 160.91 -7.52 -120.94 NIKKEI 32070.00 1.09 35094.71 0.01 234.74 43721.01 186.25 3.59 66.88 NZD 589.90 0.72 422.05 1.00 422.05 43721.01 103.59 -1.63 -16.86 OAT 1224.30 0.52 634.55 1.05 668.18 43721.01 65.43 -0.38 -2.48 OATIES 198.88 1.72 341.73 1.00 341.73 43721.01 127.94 -13.35 -170.80 OJ 557.48 1.12 624.13 1.00 624.13 43721.01 70.05 20.00 140.10 PALLAD 1141.00 1.76 2013.50 1.00 2013.50 43721.01 21.71 -10.54 -22.88 PLAT 452.10 1.49 674.75 1.00 674.75 43721.01 64.80 -2.05 -13.31 REDWHEAT 338.38 1.60 542.90 1.00 542.90 43721.01 80.53 -20.00 -161.07 RICE 329.70 0.93 306.62 1.00 306.62 43721.01 142.59 -1.86 -26.55 ROBUSTA 231.60 1.15 267.49 1.00 267.49 43721.01 163.45 -1.84 -30.14 RUSSELL 88.99 1.07 95.08 1.00 95.08 43721.01 459.83 -14.27 -656.14 SHATZ 1048.75 0.08 85.90 1.05 90.46 43721.01 483.34 -8.84 -427.30 SILVER-mini 577.19 1.56 898.87 1.00 898.87 43721.01 48.64 -5.90 -28.67 SMI 1082.40 0.71 768.86 1.11 852.44 43721.01 51.29 -1.96 -10.04 SOFR 2393.25 0.08 197.84 1.00 197.84 43721.01 220.99 -9.21 -203.61 SOYBEAN 630.62 0.89 562.06 1.00 562.06 43721.01 77.79 -4.02 -31.28 SOYMEAL 388.80 1.26 489.25 1.00 489.25 43721.01 89.36 -6.83 -61.04 SOYOIL 324.60 1.49 484.76 1.00 484.76 43721.01 90.19 -5.55 -50.07 SP400 2527.90 0.93 2361.92 1.00 2361.92 43721.01 18.51 -12.06 -22.32 SP500_micro 219.70 0.71 155.80 1.00 155.80 43721.01 280.62 -11.54 -323.78 SUGAR11 293.33 1.29 376.96 1.00 376.96 43721.01 115.98 8.40 97.40 US10 1062.66 0.45 477.52 1.00 477.52 43721.01 91.56 -10.45 -95.65 US10U 1091.72 0.62 675.60 1.00 675.60 43721.01 64.71 -8.55 -55.30 US2 2020.55 0.11 220.48 1.00 220.48 43721.01 198.29 -12.29 -243.65 US20 1102.19 0.95 1045.05 1.00 1045.05 43721.01 41.84 -7.27 -30.41 US30 1141.25 1.33 1522.10 1.00 1522.10 43721.01 28.72 -7.46 -21.43 US5 1042.58 0.29 298.35 1.00 298.35 43721.01 146.54 -12.17 -178.30 VIX 187.50 3.49 654.60 1.00 654.60 43721.01 66.79 -9.56 -63.87 WHEAT 331.12 1.45 479.35 1.00 479.35 43721.01 91.21 -18.64 -170.03 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -80.576 0.010 2.5 -2.091 BITCOIN -63.095 0.043 2.5 -6.833 BOBL -66.591 0.004 2.5 -0.675 BTP -34.068 0.014 2.5 -1.162 BUND -21.116 0.004 2.5 -0.214 BUXL -14.775 0.004 2.5 -0.150 CAC -30.498 0.014 2.5 -1.040 CAD -194.811 0.010 2.5 -5.055 CANOLA -414.144 0.010 2.5 -10.076 CHF -131.525 0.010 2.5 -3.413 COCOA 38.447 0.009 2.5 0.823 COFFEE -76.353 0.005 2.5 -0.892 COPPER -69.707 0.043 2.5 -7.549 CORN -151.824 0.010 2.5 -3.694 COTTON2 -58.063 0.009 2.5 -1.244 CRUDE_W 29.904 0.043 2.5 3.238 DAX -29.271 0.014 2.5 -0.998 DOW -491.414 0.009 2.5 -11.421 DX 114.786 0.010 2.5 2.978 EUR -59.715 0.010 2.5 -1.549 EURIBOR-ICE 74.402 0.014 2.5 2.538 EUROSTX 14.317 0.014 2.5 0.488 FEEDCOW -13.723 0.013 2.5 -0.455 GASOIL 25.572 0.017 2.5 1.109 GASOLINE 1.486 0.017 2.5 0.064 GAS_US_mini -7.130 0.043 2.5 -0.772 GBP -52.771 0.010 2.5 -1.369 GOLD_micro -370.811 0.014 2.5 -12.648 HEATOIL 6.319 0.017 2.5 0.274 JGB-SGX-mini 112.628 0.043 2.5 12.197 JPY -163.277 0.010 2.5 -4.237 LEANHOG 53.443 0.024 2.5 3.248 LIVECOW -22.700 0.013 2.5 -0.752 LUMBER-new -343.685 0.009 2.5 -7.310 MILK -199.735 0.009 2.5 -4.278 MXP -17.790 0.059 2.5 -2.611 NASDAQ_micro -120.938 0.009 2.5 -2.811 NIKKEI 66.877 0.043 2.5 7.242 NZD -16.861 0.010 2.5 -0.437 OAT -2.476 0.014 2.5 -0.084 OATIES -170.798 0.010 2.5 -4.155 OJ 140.102 0.009 2.5 3.001 PALLAD -22.883 0.014 2.5 -0.781 PLAT -13.313 0.014 2.5 -0.454 REDWHEAT -161.065 0.005 2.5 -2.137 RICE -26.550 0.010 2.5 -0.646 ROBUSTA -30.144 0.005 2.5 -0.352 RUSSELL -656.144 0.013 2.5 -21.744 SHATZ -427.304 0.004 2.5 -4.333 SILVER-mini -28.674 0.014 2.5 -0.978 SMI -10.039 0.014 2.5 -0.342 SOFR -203.610 0.024 2.5 -12.375 SOYBEAN -31.282 0.004 2.5 -0.291 SOYMEAL -61.044 0.004 2.5 -0.568 SOYOIL -50.065 0.004 2.5 -0.466 SP400 -22.318 0.013 2.5 -0.740 SP500_micro -323.782 0.009 2.5 -7.525 SUGAR11 97.403 0.009 2.5 2.072 US10 -95.650 0.005 2.5 -1.212 US10U -55.305 0.005 2.5 -0.701 US2 -243.647 0.005 2.5 -3.088 US20 -30.413 0.005 2.5 -0.385 US30 -21.434 0.005 2.5 -0.272 US5 -178.302 0.005 2.5 -2.260 VIX -63.872 0.099 2.5 -15.767 WHEAT -170.032 0.005 2.5 -2.256 ===================== Position diags ===================== AUD 2.53 BITCOIN 66.22 BOBL 1.41 BTP 2.05 BUND 0.67 BUXL 0.29 CAC 2.47 CAD 3.80 CANOLA 10.27 CHF 1.85 COCOA 2.06 COFFEE 0.56 COPPER 5.23 CORN 3.91 COTTON2 1.72 CRUDE_W 3.44 DAX 11.64 DOW 9.77 DX 2.92 EUR 1.76 EURIBOR-ICE 10.21 EUROSTX 3.64 FEEDCOW 1.73 GASOIL 1.17 GASOLINE 1.08 GAS_US_mini 22.25 GBP 2.66 GOLD_micro 9.37 HEATOIL 0.92 JGB-SGX-mini 30.85 JPY 2.57 LEANHOG 4.89 LIVECOW 3.06 LUMBER-new 4.18 MILK 2.40 MXP 26.85 NASDAQ_micro 3.74 NIKKEI 20.17 NZD 2.69 OAT 2.23 OATIES 3.11 OJ 1.50 PALLAD 0.74 PLAT 2.21 REDWHEAT 1.07 RICE 3.47 ROBUSTA 1.91 RUSSELL 15.24 SHATZ 4.90 SILVER-mini 1.66 SMI 1.75 SOFR 13.43 SOYBEAN 0.72 SOYMEAL 0.83 SOYOIL 0.84 SP400 0.61 SP500_micro 6.52 SUGAR11 2.47 US10 1.16 US10U 0.82 US2 2.51 US20 0.53 US30 0.36 US5 1.86 VIX 16.49 WHEAT 1.21 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 -6.8 -13.5 -0.2 -28.0 -28 BOBL -0.7 -0.8 -0.5 -1.0 -1 BTP -1.2 -1.4 -1.0 0.0 0 BUND -0.2 -0.3 -0.1 0.0 0 BUXL -0.1 -0.2 -0.1 -1.0 -1 CAC -1.0 -1.3 -0.8 0.0 0 CAD -5.1 -5.4 -4.7 -2.0 -2 CANOLA -10.1 -11.1 -9.0 NaN 0 CHF -3.4 -3.6 -3.2 -6.0 -6 COCOA 0.8 0.6 1.0 0.0 0 COFFEE -0.9 -0.9 -0.8 -1.0 -1 COPPER -7.5 -8.1 -7.0 -6.0 -6 CORN -3.7 -4.1 -3.3 -1.0 -1 COTTON2 -1.2 -1.4 -1.1 -2.0 -2 CRUDE_W 3.2 2.9 3.6 3.0 3 DAX -1.0 -2.2 0.2 0.0 0 DOW -11.4 -12.4 -10.4 -1.0 -1 DX 3.0 2.7 3.3 NaN 0 EUR -1.5 -1.7 -1.4 -8.0 -8 EURIBOR-ICE 2.5 1.5 3.6 0.0 0 EUROSTX 0.5 0.1 0.9 3.0 3 FEEDCOW -0.5 -0.6 -0.3 0.0 0 GASOIL 1.1 1.0 1.2 0.0 0 GASOLINE 0.1 -0.0 0.2 0.0 0 GAS_US_mini -0.8 -3.0 1.5 0.0 0 GBP -1.4 -1.6 -1.1 0.0 0 GOLD_micro -12.6 -13.6 -11.7 -6.0 -6 HEATOIL 0.3 0.2 0.4 0.0 0 JGB-SGX-mini 12.2 9.1 15.3 12.0 12 JPY -4.2 -4.5 -4.0 -7.0 -7 LEANHOG 3.2 2.8 3.7 3.0 3 LIVECOW -0.8 -1.1 -0.4 0.0 0 LUMBER-new -7.3 -7.7 -6.9 NaN 0 MILK -4.3 -4.5 -4.0 NaN 0 MXP -2.6 -5.3 0.1 0.0 0 NASDAQ_micro -2.8 -3.2 -2.4 -3.0 -3 NIKKEI 7.2 5.2 9.3 10.0 10 NZD -0.4 -0.7 -0.2 0.0 0 OAT -0.1 -0.3 0.1 1.0 1 OATIES -4.2 -4.5 -3.8 NaN 0 OJ 3.0 2.9 3.2 NaN 0 PALLAD -0.8 -0.9 -0.7 -1.0 -1 PLAT -0.5 -0.7 -0.2 -3.0 -3 REDWHEAT -2.1 -2.2 -2.0 -4.0 -4 RICE -0.6 -1.0 -0.3 NaN 0 ROBUSTA -0.4 -0.5 -0.2 0.0 0 RUSSELL -21.7 -23.3 -20.2 -12.0 -12 SHATZ -4.3 -4.8 -3.8 NaN 0 SILVER-mini -1.0 -1.1 -0.8 NaN 0 SMI -0.3 -0.5 -0.2 0.0 0 SOFR -12.4 -13.7 -11.0 NaN 0 SOYBEAN -0.3 -0.4 -0.2 -1.0 -1 SOYMEAL -0.6 -0.7 -0.5 0.0 0 SOYOIL -0.5 -0.6 -0.4 -1.0 -1 SP400 -0.7 -0.8 -0.7 -2.0 -2 SP500_micro -7.5 -8.2 -6.9 0.0 0 SUGAR11 2.1 1.8 2.3 0.0 0 US10 -1.2 -1.3 -1.1 NaN 0 US10U -0.7 -0.8 -0.6 0.0 0 US2 -3.1 -3.3 -2.8 NaN 0 US20 -0.4 -0.4 -0.3 -2.0 -2 US30 -0.3 -0.3 -0.2 -2.0 -2 US5 -2.3 -2.4 -2.1 -3.0 -3 VIX -15.8 -17.4 -14.1 -16.0 -16 WHEAT -2.3 -2.4 -2.1 -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 3.5 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 -0.0 -0.3 -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 0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.1 -0.4 -0.3 -0.7 -0.1 0.1 BITCOIN 0.3 -0.1 -0.3 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.2 0.1 0.1 0.2 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.0 0.1 -2.7 -0.0 0.1 -0.1 0.1 -0.0 0.0 -0.0 0.0 0.6 0.3 0.1 -0.1 0.7 -0.1 0.7 BOBL 0.2 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.3 -0.0 -0.0 0.2 -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 0.1 0.3 0.2 0.2 -0.7 -0.7 -0.5 -0.6 BTP -0.3 -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 0.1 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 0.1 0.0 0.1 -0.4 -0.7 -0.0 0.3 BUND 0.0 -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 0.6 0.2 0.2 0.2 0.1 -0.7 -0.7 -0.6 -0.1 BUXL -0.1 -0.4 -0.1 -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 0.1 0.0 0.0 -0.7 -0.7 -0.3 0.7 CAC -0.4 -0.5 -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 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.2 -0.2 -0.7 -0.1 -0.0 -0.1 -0.1 0.1 -0.1 0.2 -0.4 -0.1 -0.0 0.2 0.5 0.1 0.7 0.3 CAD -0.1 -0.2 -0.3 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.3 -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 -0.0 -0.2 0.0 -0.6 -0.7 -0.7 -0.7 -0.7 CANOLA -0.5 -0.6 0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.2 0.1 -0.1 0.0 -0.2 -0.1 -0.0 -0.1 -0.2 -2.7 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.3 0.2 -0.3 -0.5 0.3 -0.2 0.0 0.4 0.4 CHF 0.1 -0.6 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.2 -0.2 0.1 0.3 -0.1 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 0.1 -0.0 -0.1 -1.2 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -1.1 0.5 -0.2 -0.6 -0.3 -0.7 -0.7 -0.7 -0.7 COCOA -0.5 -0.5 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.2 0.4 0.1 0.6 -0.0 0.1 -0.1 -0.0 -0.1 -0.1 0.1 0.2 0.2 0.5 0.0 -1.8 0.0 0.1 0.2 0.1 0.4 0.0 -0.4 0.5 0.0 0.6 0.6 0.1 -0.2 0.7 0.1 COFFEE -0.0 0.1 -0.3 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.2 -0.5 0.0 -0.6 -0.1 -0.2 -0.0 0.0 -0.0 -0.0 -0.1 -0.2 0.1 -0.5 0.0 -2.7 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.1 0.5 0.2 0.3 -0.6 -0.7 -0.7 -0.7 -0.4 COPPER -0.4 -0.4 -0.3 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.4 -0.2 -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 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.5 -0.3 -0.2 0.0 0.1 -0.7 0.3 -0.7 CORN 0.4 -0.1 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.4 0.1 -0.6 0.0 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.5 0.0 -2.1 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.2 0.1 0.6 0.4 -0.3 -0.2 0.0 0.1 0.2 COTTON2 -0.3 -0.1 0.4 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.3 -0.2 -0.3 -0.1 0.1 -0.1 0.1 -0.0 0.0 0.0 0.1 -0.1 0.0 -0.1 -2.7 0.0 -0.1 0.1 -0.1 0.1 -0.1 0.1 -0.5 0.0 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 0.3 0.3 0.1 0.2 0.0 0.3 0.0 -0.6 0.0 0.0 0.1 0.0 0.2 0.0 -1.1 0.0 0.2 0.4 0.0 0.7 0.3 0.7 0.3 DAX -0.3 -0.5 -0.6 -0.0 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 -0.3 -0.2 -0.2 -0.2 0.5 0.0 0.7 0.3 DOW -0.4 -0.6 -0.2 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 0.0 0.0 -0.1 -1.3 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.3 0.3 -0.2 -0.2 0.4 -0.5 -0.2 -0.7 -0.3 DX -0.0 0.6 0.6 -0.0 -0.0 -0.0 -0.0 0.0 -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 -0.4 0.6 0.6 0.6 0.1 0.3 0.2 0.7 EUR -0.0 -0.6 -0.5 -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 -0.2 -0.5 -0.4 -0.3 -0.6 -0.2 -0.1 EURIBOR-ICE 0.2 0.0 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.2 0.0 0.0 -0.1 -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 0.1 0.4 0.4 0.3 -0.7 -0.7 0.3 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 -0.2 0.2 0.0 0.0 0.4 0.1 0.6 0.5 FEEDCOW -0.6 -0.6 0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.4 -0.2 0.7 -0.2 0.1 -0.2 -0.4 -0.3 -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 -0.4 -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 0.1 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 0.1 0.4 -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 0.1 0.3 -0.1 0.2 -0.1 0.0 0.3 0.4 0.4 0.4 -0.0 0.1 -0.1 0.4 -0.2 -2.7 -0.0 0.0 0.1 -0.0 0.2 -0.1 1.1 0.1 -0.6 -0.6 -0.5 0.7 0.3 0.7 0.2 GAS_US_mini 0.4 0.2 0.6 0.0 0.0 0.2 -0.0 0.2 -0.0 -0.0 -0.5 0.1 -0.7 0.1 -0.1 -0.4 -0.4 -0.4 -0.4 0.0 -0.2 0.0 -0.5 0.1 2.7 0.0 -0.1 0.0 0.0 -0.1 0.1 -1.1 0.5 0.6 -0.3 -0.6 -0.1 0.2 -0.4 0.0 GBP -0.0 -0.6 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -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 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.2 0.1 -0.3 -0.6 -0.4 -0.1 0.3 0.1 0.7 GOLD_micro -0.0 -0.1 -0.5 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.3 0.1 0.0 -0.0 -0.1 -0.3 -0.3 -0.4 -0.3 -0.1 -0.1 0.2 -0.1 -0.0 -1.0 -0.0 0.1 -0.1 0.1 -0.0 -0.0 -1.0 0.5 -0.1 0.0 -0.2 -0.4 -0.7 -0.2 -0.7 HEATOIL -0.6 -0.2 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 0.4 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 0.0 0.1 -0.2 0.5 0.2 -0.1 -0.0 -0.2 JGB-SGX-mini 0.1 -0.3 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.1 -0.0 -0.1 0.4 0.4 0.3 0.3 -0.1 -0.1 0.0 -0.0 -0.0 -0.2 -0.0 -0.0 -0.1 0.0 -0.0 -0.0 1.1 0.1 0.4 0.3 0.0 -0.1 -0.4 0.4 0.4 JPY 0.0 -0.4 -0.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.5 -0.2 -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 -0.3 -0.2 -0.3 -0.6 -0.2 -0.7 -0.1 -0.7 LEANHOG -0.4 -0.0 0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.0 -0.0 -0.1 -0.2 -0.1 1.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 1.1 -0.1 -0.2 0.1 -0.0 -0.3 -0.1 0.5 0.7 LIVECOW -0.6 -0.3 0.0 -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 0.6 -0.0 -0.6 0.1 -0.1 0.6 0.6 -0.7 -0.7 -0.5 -0.6 LUMBER-new 0.2 -0.2 -0.4 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.6 0.0 -0.7 -0.2 -0.2 -0.3 -0.3 -0.3 -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 0.1 0.6 -0.1 -0.5 -0.5 -0.8 -0.2 -0.7 MILK -0.4 -0.2 0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 0.1 -0.2 -0.0 -0.5 -0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.0 -0.5 -0.1 0.3 -0.0 0.0 -0.2 0.0 -0.3 -0.0 -1.1 0.3 -0.2 0.0 -0.2 -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 -0.5 -0.2 0.1 0.6 0.3 0.7 0.7 NASDAQ_micro -0.1 -0.5 -0.5 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.2 0.1 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 0.2 0.3 0.3 0.4 0.0 -0.4 -0.1 -0.5 NIKKEI -0.5 -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 -0.9 -0.0 0.0 0.1 0.0 0.2 -0.0 1.1 -0.1 -0.1 0.4 0.3 -0.0 0.1 -0.1 0.4 NZD 0.3 0.1 -0.3 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.3 -0.1 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 -0.0 0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.2 -0.2 0.4 0.3 -0.2 0.1 -0.5 0.3 0.3 OAT -0.1 -0.3 -0.1 -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 -0.0 1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.9 0.1 0.2 0.2 0.1 -0.7 -0.7 -0.2 0.3 OATIES -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 -0.1 -0.4 -0.1 -0.3 -0.3 -0.1 0.0 -0.2 0.2 -0.2 -2.7 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -1.1 -0.5 -0.6 -0.3 0.2 0.3 0.4 0.7 0.7 OJ 0.6 0.6 0.6 -0.1 0.0 -0.1 -0.0 -0.2 -0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.3 0.1 0.4 0.1 1.1 0.5 0.6 0.6 0.6 0.1 0.2 0.6 0.7 PALLAD -0.4 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 0.2 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 0.1 -0.5 -0.2 -0.2 -0.2 -0.3 -0.2 0.1 -0.1 PLAT -0.2 -0.2 -0.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.3 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 1.7 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 0.0 -0.0 0.2 0.1 0.0 -0.6 0.3 -0.5 REDWHEAT -0.3 -0.5 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 -0.1 -0.6 -0.2 -0.2 -0.1 0.0 -0.1 -0.0 -0.2 -0.2 -0.1 -0.4 -0.2 -2.1 -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 0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.2 0.0 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 0.7 0.2 0.5 0.4 0.3 -0.2 -0.7 0.5 -0.3 ROBUSTA -0.5 -0.4 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.3 -0.1 0.5 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 0.1 -0.1 0.5 -0.1 -2.7 -0.0 0.1 0.1 -0.0 0.3 -0.1 1.1 -0.2 -0.5 0.2 -0.3 -0.1 -0.4 0.7 -0.0 RUSSELL -0.2 -0.6 -0.2 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.2 -0.3 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 -0.4 -0.3 0.1 -0.4 -0.4 -0.7 -0.7 SHATZ 0.4 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.3 -0.0 -0.0 -0.4 -0.2 -0.4 -0.4 -0.0 -0.1 -0.0 -0.3 -0.0 1.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.0 0.5 0.2 0.2 -0.7 -0.7 -0.7 -0.7 SILVER-mini -0.3 -0.5 -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 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 0.8 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.2 0.4 0.1 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 -0.1 -0.0 -0.1 0.2 -0.1 -0.1 0.1 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.8 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.7 -0.3 0.2 0.4 0.1 -0.3 -0.5 -0.3 -0.3 SOFR 0.1 -0.2 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 0.0 0.2 0.0 -0.7 -0.7 -0.2 -0.2 SOYBEAN -0.3 -0.3 0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.2 -0.0 0.1 -0.1 -0.0 0.3 0.4 0.2 0.3 -0.1 -0.0 -0.0 0.0 -0.1 -2.7 -0.0 0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.0 0.2 0.1 0.4 -0.7 -0.1 -0.6 0.2 SOYMEAL -0.1 -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 0.1 -0.0 -0.0 -2.7 -0.0 0.1 -0.0 0.0 0.1 -0.0 1.1 0.5 0.3 0.2 0.2 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.6 -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 0.3 0.2 0.3 0.2 -0.1 -0.0 -0.1 0.0 -0.2 -2.7 -0.0 0.0 -0.0 -0.0 0.0 -0.0 1.0 -0.2 -0.6 -0.5 0.1 -0.1 0.2 0.6 0.7 SP400 -0.2 -0.6 -0.3 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.1 -0.2 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -1.4 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 0.1 -0.2 -0.1 0.3 -0.2 -0.4 -0.6 -0.7 SP500_micro -0.3 -0.6 -0.4 -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 -0.1 0.0 0.4 -0.2 -0.4 -0.2 -0.6 SUGAR11 -0.3 0.3 0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.5 0.1 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 0.1 0.2 0.1 0.4 0.0 1.0 0.5 0.4 0.6 0.4 -0.7 -0.7 0.2 0.1 US10 0.1 -0.2 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.1 -0.1 -0.1 -0.3 -0.1 0.1 -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 -0.0 -0.3 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.1 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.0 -0.2 -0.0 -0.1 -0.7 -0.7 0.4 0.5 US2 0.4 0.2 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.4 -0.1 1.1 -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 -0.6 -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 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 -0.3 -0.1 -0.2 -0.4 -0.7 0.7 0.7 US30 -0.2 -0.3 -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 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 -0.2 -0.3 -0.7 0.7 0.7 US5 0.2 -0.1 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.2 -0.2 -0.3 -0.3 -0.1 -0.1 -0.1 -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 1.0 1.0 -0.0 0.0 -0.3 0.1 -0.6 0.0 0.0 -0.7 0.1 -1.0 0.1 -0.0 -0.4 -0.6 -0.6 -0.6 -0.1 -0.2 0.1 -0.9 0.0 NaN -0.0 0.1 -0.3 0.1 -0.7 0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.2 -0.5 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.4 0.0 -0.5 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.0 -0.5 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.1 0.3 -0.2 -0.5 -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 2.5 -2.3 -11.5 -3.1 -1.4 -0.8 -1.7 0.9 -2.9 -2.7 -13.0 -4.9 -9.7 -6.9 -12.8 -3.5 -3.0 -3.4 -3.2 -9.6 -10.7 -5.2 -9.9 -6.9 3.1 -4.6 -1.5 -4.6 -3.0 -4.0 -3.7 -1.5 -3.9 -1.3 2.0 -12.8 -8.3 -20.0 -3.8 4.0 BITCOIN 10.1 -2.9 -8.4 -5.9 3.1 -3.4 -1.1 -0.7 -5.3 17.6 3.2 12.6 5.9 8.9 -10.9 -5.2 -4.5 -5.7 -5.4 -2.6 -2.9 10.8 -1.0 4.8 -20.0 -1.6 12.9 -2.9 7.4 -1.0 3.4 -0.9 0.0 20.0 9.6 3.4 -4.0 20.0 -2.7 20.0 BOBL 4.8 -3.5 1.7 -2.5 -2.1 -2.1 -1.6 -1.9 -2.1 -3.3 -5.5 1.9 -7.4 -2.1 -3.7 7.8 -5.9 -3.8 -7.7 -4.0 -5.1 -1.5 -7.9 -2.0 8.9 -2.1 -3.0 -2.2 -0.9 -2.9 -1.2 -8.7 3.7 10.3 6.9 6.5 -20.0 -20.0 -15.7 -16.7 BTP -9.5 -19.0 -7.9 -3.5 -3.0 -3.0 -2.3 -2.7 -3.1 -3.3 -5.1 -5.6 -1.4 -8.5 -9.3 6.3 7.5 5.9 6.2 -11.1 -7.2 -4.6 -5.1 -9.4 -6.1 -3.5 -1.8 -2.1 -1.5 -1.2 -3.0 15.5 2.9 2.4 1.1 4.4 -12.9 -20.0 -0.6 8.3 BUND 0.3 -7.2 -1.2 -2.5 -2.2 -2.2 -1.6 -1.9 -2.2 -0.8 -6.5 0.9 -7.8 -3.7 -5.6 -2.4 6.1 0.5 3.0 -5.6 -6.1 -1.2 -8.1 -3.3 5.7 -2.4 -1.8 -2.2 -0.6 -2.4 -1.6 11.7 6.3 6.7 5.3 4.4 -20.0 -20.0 -18.9 -2.0 BUXL -2.7 -11.5 -3.3 -2.7 -2.3 -2.3 -1.7 -2.0 -2.3 0.1 -7.9 -0.6 -8.7 -4.7 -6.8 0.4 0.9 0.6 0.9 -9.1 -9.1 -1.5 -10.7 -5.9 1.2 -2.8 -0.8 -2.4 -0.5 -2.2 -1.9 5.4 9.1 2.8 0.9 0.6 -20.0 -20.0 -9.9 19.5 CAC -11.4 -14.7 -13.1 -5.1 1.3 -2.8 -0.3 0.1 -3.8 -13.8 -1.3 -17.0 15.9 -17.2 -17.2 -7.2 -2.5 -6.7 -5.0 -14.6 -5.7 -11.9 7.8 -15.5 -5.2 -6.0 -4.1 -2.4 -4.7 2.3 -6.4 4.1 -18.3 -4.5 -0.4 5.0 13.9 2.2 20.0 8.0 CAD -4.4 -5.2 -8.6 -4.8 -2.2 -1.3 -2.7 1.4 -4.6 5.4 -9.3 -6.9 -12.8 -7.9 -16.0 -2.4 -2.1 -2.4 -2.3 -12.5 -10.1 -5.8 -8.5 -10.2 1.7 -6.0 -1.2 -4.5 -3.1 -3.2 -5.2 0.0 -1.5 -6.2 1.4 -17.2 -20.0 -20.0 -19.8 -20.0 CANOLA -16.8 -20.0 6.4 -3.3 0.1 -2.5 -1.8 -2.3 -3.4 8.9 1.6 -3.8 -3.6 -10.9 -6.6 -8.9 6.8 -6.0 0.5 -15.0 -6.0 -3.5 -3.8 -15.7 -20.0 -3.1 1.2 -1.6 -0.6 -1.6 -3.2 4.7 7.3 -9.2 -16.3 8.2 -7.5 0.2 12.8 12.5 CHF 1.9 -20.0 -13.1 -4.4 -2.0 -1.1 -2.5 1.3 -4.2 17.4 -8.9 7.7 7.0 -9.0 -14.9 -17.3 -14.5 -16.6 -15.5 -19.4 -11.7 9.3 -0.1 -8.9 -9.3 -5.1 3.9 -3.0 2.2 -0.2 -2.6 -20.0 20.0 -4.9 -20.0 -8.8 -20.0 -20.0 -20.0 -20.0 COCOA -15.0 -15.4 0.7 -4.9 0.1 -3.6 -2.6 -3.4 -5.1 17.1 14.7 6.1 16.9 -4.6 4.8 -3.1 -2.4 -3.5 -3.0 6.0 16.9 17.1 20.0 4.0 -13.5 2.5 13.7 8.3 6.9 11.8 1.3 -6.9 20.0 1.5 19.5 20.0 3.1 -7.3 20.0 4.0 COFFEE -0.3 3.9 -10.7 -5.6 0.1 -4.2 -3.0 -3.9 -5.8 19.1 -19.0 0.4 -16.2 -7.5 -15.7 -2.4 1.2 -2.0 -0.4 -11.2 -17.8 15.4 -19.1 0.1 -20.0 -4.2 15.2 -5.4 8.7 -4.6 0.7 -1.5 20.0 6.3 10.6 -19.2 -20.0 -20.0 -20.0 -11.0 COPPER -11.2 -11.1 -7.9 -4.4 2.3 -2.5 -0.8 -0.5 -3.9 -12.6 -14.2 -15.2 -4.8 -15.5 -15.6 -6.7 -3.3 -5.8 -4.7 -16.0 -12.6 -13.9 -9.3 -17.0 -5.7 -5.5 -3.7 -4.0 -5.5 -2.9 -6.4 0.9 -20.0 -10.1 -5.6 1.1 3.8 -20.0 7.8 -20.0 CORN 11.8 -3.6 -20.0 -4.5 0.1 -3.4 -2.4 -3.1 -4.7 -3.4 -16.1 9.8 -15.5 3.9 -15.4 -4.6 2.1 -5.6 -3.2 -7.4 -16.8 3.4 -18.1 1.8 -16.1 -1.0 -1.1 -4.2 1.9 -6.5 1.7 -3.2 5.8 20.0 11.9 -10.0 -6.4 0.8 2.4 7.2 COTTON2 -8.9 -3.1 11.4 -5.1 0.1 -3.8 -2.7 -3.5 -5.2 -16.1 11.8 -16.2 -8.7 -10.4 9.3 -7.2 3.9 -1.9 0.9 0.6 5.5 -16.6 1.6 -8.8 -20.0 1.4 -15.6 4.6 -10.8 4.1 -5.0 1.5 -20.0 1.3 18.1 19.4 -19.1 -15.4 8.2 9.5 CRUDE_W -20.0 3.3 20.0 2.3 2.4 4.1 -0.3 3.3 -0.8 13.2 12.3 0.5 5.0 3.9 10.8 17.7 12.0 17.2 13.9 10.9 14.0 4.5 10.3 3.4 -4.6 3.7 2.7 5.2 0.5 4.5 0.6 -20.0 1.2 7.6 11.5 0.9 20.0 10.3 20.0 8.5 DAX -8.7 -15.9 -17.0 -4.5 1.2 -2.5 -0.3 0.1 -3.3 -4.1 -7.8 -10.7 12.0 -13.0 -16.0 -9.8 -7.8 -9.6 -9.0 -16.0 -8.8 -7.7 2.5 -13.8 17.0 -5.8 -2.1 -3.5 -2.6 -0.0 -4.9 -4.1 -11.2 -5.2 -5.5 -7.3 15.5 1.2 20.0 9.7 DOW -12.2 -20.0 -5.5 -4.1 1.1 -2.3 -0.2 0.1 -3.0 12.0 -0.7 -1.3 9.2 -7.6 -10.1 -11.2 -8.8 -11.4 -10.6 -13.3 -5.8 2.6 0.9 -10.3 -10.0 -3.8 3.4 -1.0 0.8 1.3 -3.1 -6.3 12.0 -7.0 -7.2 11.5 -14.3 -7.2 -20.0 -8.1 DX -0.6 20.0 18.6 -4.5 -2.0 -1.2 -2.5 1.3 -4.3 0.5 17.0 8.6 -5.2 15.9 19.7 7.3 5.7 7.1 6.4 20.0 20.0 7.8 11.2 18.7 -20.0 7.0 0.2 5.4 2.4 3.4 5.3 14.2 -17.3 20.0 20.0 20.0 3.1 7.8 6.4 20.0 EUR -0.6 -18.9 -15.0 -3.6 -1.6 -0.9 -2.0 1.1 -3.3 1.5 -12.3 -3.7 4.5 -11.5 -14.7 -6.7 -6.9 -6.8 -6.7 -16.0 -11.7 -3.6 -5.3 -11.3 12.4 -5.3 0.3 -3.6 -1.3 -1.6 -3.8 -7.8 4.6 -5.0 -15.6 -12.9 -9.0 -17.7 -6.1 -3.7 EURIBOR-ICE 4.7 1.1 3.5 -2.4 -2.1 -2.1 -1.6 -1.9 -2.1 -3.3 -3.9 2.4 -6.8 0.2 0.5 -6.0 -7.8 -7.8 -8.4 -1.3 -3.1 -0.6 -7.2 0.1 17.1 -0.9 -3.7 -1.7 -0.6 -3.8 -0.1 -10.6 4.0 13.3 11.8 9.9 -20.0 -20.0 9.9 16.1 EUROSTX -4.9 -13.5 -15.1 -4.5 1.1 -2.4 -0.3 0.1 -3.3 -2.3 -2.6 -8.2 13.0 -11.5 -15.4 -5.6 -2.1 -5.4 -4.3 -11.3 -5.2 -4.0 5.6 -8.8 4.9 -5.3 -1.6 -2.8 -1.6 1.5 -4.0 5.0 -7.8 6.2 0.9 0.8 11.0 4.0 16.7 13.7 FEEDCOW -20.0 -18.4 4.2 -5.6 0.1 -4.1 -3.0 -3.9 -5.8 -12.2 16.0 -20.0 19.0 -15.0 4.7 -11.7 -20.0 -12.7 -20.0 2.0 20.0 -20.0 20.0 -17.3 -2.2 2.0 -2.8 8.2 -5.4 11.3 -4.0 -20.0 -17.1 -20.0 20.0 20.0 12.8 -5.2 20.0 5.1 GASOIL -20.0 -2.3 20.0 2.1 2.1 3.6 -0.3 2.9 -0.7 8.4 11.7 0.3 6.4 0.7 10.8 20.0 20.0 20.0 20.0 11.1 15.9 2.4 12.9 1.7 8.4 3.5 2.0 5.1 0.3 3.8 0.3 0.0 2.0 6.6 4.1 13.7 -13.6 1.9 -18.3 -4.2 GASOLINE -20.0 -18.8 9.6 2.7 2.7 4.7 -0.3 3.8 -0.9 13.9 10.5 -8.9 6.0 -12.1 3.3 17.4 20.0 20.0 20.0 -4.5 8.6 -6.0 13.9 -14.6 -20.0 -1.6 2.6 2.9 -2.4 5.2 -4.9 20.0 2.5 -20.0 -20.0 -15.1 20.0 10.5 20.0 5.3 GAS_US_mini 13.7 5.6 19.1 3.5 3.6 6.3 -0.4 5.0 -1.2 -3.0 -18.4 8.3 -20.0 6.3 -7.3 -20.0 -20.0 -20.0 -20.0 0.8 -14.8 4.4 -20.0 8.3 20.0 4.3 -7.2 0.7 3.1 -2.8 6.6 -20.0 20.0 20.0 -7.8 -20.0 -4.3 5.8 -11.2 0.4 GBP -0.2 -20.0 -13.6 -4.1 -1.8 -1.1 -2.3 1.2 -3.9 -5.4 -4.8 -4.4 8.4 -13.2 -16.0 -0.6 -0.7 -0.4 -0.4 -17.4 -9.4 -5.4 -1.2 -13.3 0.3 -5.6 -1.2 -3.1 -1.8 -1.0 -4.4 2.8 5.1 -8.6 -20.0 -13.6 -3.4 9.3 2.7 20.0 GOLD_micro -0.7 -3.8 -16.6 -4.2 2.2 -2.4 -0.8 -0.5 -3.8 12.9 -11.4 7.2 0.9 -1.5 -9.6 -17.0 -14.7 -17.9 -16.7 -10.5 -9.9 16.9 -4.0 -1.2 -7.2 -3.1 9.5 -2.4 5.7 -0.6 -0.5 -19.3 20.0 -3.1 0.0 -4.8 -10.5 -20.0 -7.0 -20.0 HEATOIL -20.0 -4.7 20.0 2.6 2.6 4.5 -0.3 3.6 -0.9 11.5 12.8 1.8 6.3 -2.7 11.4 20.0 20.0 20.0 20.0 10.7 17.8 3.8 15.0 -0.2 -20.0 2.9 3.7 6.2 0.5 6.1 -0.9 1.2 1.4 2.5 -7.3 14.5 6.4 -2.1 -0.6 -6.2 JGB-SGX-mini 2.0 -10.7 -19.7 -3.4 -2.9 -2.9 -2.2 -2.6 -2.9 -0.3 -1.4 2.8 3.7 -3.6 -9.2 20.0 20.0 17.3 17.2 -7.6 -5.6 0.1 -0.6 -3.6 -1.3 -3.0 -2.2 -2.4 0.2 -1.2 -1.4 20.0 6.0 13.1 8.5 0.7 -4.5 -13.2 11.4 11.4 JPY 0.5 -10.9 -20.0 -3.6 -1.6 -0.9 -2.0 1.1 -3.4 -13.5 -17.6 -14.3 -16.6 -15.7 -17.2 -19.4 -15.3 -18.3 -17.0 -20.0 -20.0 -9.4 -20.0 -14.9 20.0 -6.4 -2.5 -7.4 -3.0 -7.5 -4.4 -20.0 -14.2 -5.0 -10.3 -20.0 -6.5 -20.0 -3.2 -20.0 LEANHOG -12.3 -0.5 14.4 -2.5 0.1 -1.9 -1.3 -1.8 -2.6 -8.4 -1.8 -8.4 -4.2 -7.4 -4.9 20.0 20.0 20.0 20.0 -4.6 -4.3 -8.9 -6.7 -7.1 10.0 -2.8 -5.5 -3.9 -4.3 -6.0 -3.4 20.0 -2.8 -5.2 1.9 -0.9 -7.7 -1.9 14.1 20.0 LIVECOW -20.0 -9.1 0.6 -5.9 0.1 -4.4 -3.1 -4.1 -6.1 4.5 19.5 -11.4 20.0 -1.7 9.6 -20.0 -4.2 -20.0 -9.4 8.1 20.0 -4.6 20.0 -3.3 0.7 4.6 -0.2 11.9 -1.9 15.7 -1.0 -11.1 3.7 -3.7 20.0 20.0 -20.0 -20.0 -14.7 -17.1 LUMBER-new 5.3 -6.3 -12.0 -6.2 0.1 -4.4 -3.3 -3.4 -6.4 4.6 -20.0 0.1 -20.0 -15.3 -20.0 -13.7 -14.0 -14.9 -14.4 -14.1 -17.2 -0.9 -15.5 -6.7 NaN -6.8 -1.0 -7.3 -0.5 -5.6 -3.4 -20.0 4.3 16.0 -2.5 -14.5 -12.3 -20.0 -4.1 -19.1 MILK -13.8 -6.5 5.8 -4.5 0.1 -3.3 -2.4 -3.1 -4.7 9.9 -8.1 -2.4 -13.8 -13.7 -0.5 -19.2 -20.0 -20.0 -20.0 -11.0 -15.4 -1.4 -20.0 -10.0 2.4 -4.2 3.7 -6.3 0.0 -9.4 -3.1 -20.0 10.8 -6.9 1.1 -7.0 -20.0 -20.0 -18.6 -20.0 MXP -20.0 -20.0 -20.0 -2.7 -1.2 -0.7 -1.5 0.8 -2.6 2.3 6.4 -7.8 10.9 -9.2 -7.1 12.9 16.8 14.8 15.8 -7.5 2.2 -6.2 11.6 -10.7 -20.0 -2.7 -0.2 0.9 -2.2 4.4 -3.9 20.0 -9.0 -14.1 -6.4 1.6 18.5 10.3 20.0 20.0 NASDAQ_micro -1.6 -14.6 -14.6 -3.1 0.8 -1.7 -0.2 0.0 -2.3 4.5 7.6 5.2 8.7 -1.4 -4.9 -9.7 -8.5 -9.9 -9.6 -1.3 6.0 4.6 11.4 0.3 -20.0 -0.6 1.0 3.2 1.9 6.7 0.1 -5.3 7.1 9.1 8.7 11.0 0.1 -13.4 -2.5 -16.3 NIKKEI -15.3 -13.7 -11.5 -3.7 0.9 -2.0 -0.2 0.0 -2.7 6.1 10.4 2.2 11.6 -0.6 -1.5 4.1 11.1 8.3 10.2 -1.2 6.2 3.3 12.1 -2.0 -7.1 -1.1 2.2 3.2 0.7 6.2 -1.9 20.0 -2.2 -3.5 11.5 7.7 -1.0 3.3 -2.7 11.6 NZD 10.3 2.2 -9.7 -3.2 -1.4 -0.8 -1.8 1.0 -3.0 -9.6 -11.8 -6.6 -2.2 -2.5 -11.6 -0.1 0.3 -0.0 0.1 -4.9 -7.5 -5.9 -7.6 -2.4 0.6 -2.3 -7.0 -3.5 -3.8 -3.4 -1.2 4.2 -9.1 11.6 9.3 -5.8 2.6 -14.9 8.0 8.6 OAT -2.5 -9.0 -2.9 -2.8 -2.4 -2.4 -1.8 -2.1 -2.4 -1.4 -7.1 -0.7 -8.4 -4.9 -6.6 5.4 7.9 5.8 6.6 -6.8 -6.6 -1.8 -8.1 -4.5 7.9 -2.7 -1.9 -2.3 -0.8 -2.4 -1.9 16.3 5.6 6.1 5.4 4.5 -20.0 -20.0 -6.5 8.5 OATIES -20.0 -20.0 10.1 -3.1 0.1 -2.3 -1.6 -2.1 -3.2 -10.9 2.9 -11.9 -1.2 -11.8 -6.9 -18.2 -7.5 -17.5 -14.4 -12.4 2.0 -20.0 6.2 -20.0 -20.0 -2.2 -4.8 0.4 -5.3 1.1 -4.6 -20.0 -20.0 -20.0 -10.2 7.0 8.3 12.4 20.0 20.0 OJ 20.0 20.0 20.0 -6.3 0.2 -4.7 -3.3 -4.4 -6.6 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 9.6 4.7 10.0 7.0 10.7 8.6 20.0 20.0 20.0 20.0 20.0 2.8 6.9 17.1 20.0 PALLAD -11.4 1.7 -0.5 -3.0 1.6 -1.8 -0.6 -0.3 -2.7 -8.9 -12.5 -11.0 -13.1 -10.6 -11.2 -3.2 -2.7 -3.0 -2.9 -11.7 -15.6 -11.4 -20.0 -12.3 1.2 -4.0 -3.0 -4.0 -4.5 -4.6 -4.7 2.7 -19.8 -7.2 -5.5 -7.0 -10.0 -7.0 1.6 -2.8 PLAT -7.7 -5.7 -10.8 -3.1 1.6 -1.8 -0.6 -0.3 -2.8 10.4 -11.0 -4.1 -4.7 -8.5 -9.4 -4.0 -2.6 -3.7 -3.3 -8.8 -8.9 -0.4 -6.3 -6.4 12.9 -2.3 3.5 -1.9 -0.1 -1.2 -2.3 2.6 1.4 -1.2 7.7 1.8 0.6 -17.4 8.0 -14.2 REDWHEAT -8.3 -16.6 -19.6 -4.2 0.1 -3.1 -2.2 -2.9 -4.3 -10.3 -15.0 -12.6 -15.6 -14.0 -16.2 -4.9 0.4 -3.8 -1.6 -20.0 -20.0 -10.4 -15.4 -17.5 -15.5 -5.6 -1.7 -4.6 -3.0 -2.8 -4.8 -3.0 -3.5 -13.7 -12.5 -20.0 -20.0 -19.8 -20.0 -9.7 RICE -3.7 -4.3 10.7 -4.9 -0.7 -3.6 -3.3 -3.3 -5.4 7.6 8.2 4.5 4.6 -6.8 5.5 -19.6 10.2 -10.0 4.7 2.9 5.4 1.3 4.3 0.1 -20.0 0.2 -0.2 1.7 1.0 1.5 -0.4 13.9 8.9 15.7 12.8 9.2 -4.8 -20.0 15.4 -8.8 ROBUSTA -16.6 -11.8 -0.7 -5.1 0.1 -3.8 -2.7 -3.5 -5.2 12.0 10.3 -10.2 13.9 -12.6 -11.7 20.0 20.0 20.0 20.0 -7.6 8.0 -5.8 20.0 -13.3 -20.0 -3.5 5.7 2.3 -2.1 7.6 -5.5 20.0 -8.3 -15.5 5.3 -9.6 -1.5 -12.2 20.0 -1.2 RUSSELL -5.8 -20.0 -7.3 -3.6 0.9 -2.0 -0.2 0.0 -2.7 4.5 -8.9 -6.5 -5.9 -12.0 -12.6 -7.8 -6.3 -8.0 -7.4 -16.7 -10.1 -6.1 -5.3 -15.1 -2.5 -4.2 1.0 -2.0 -2.0 -0.3 -4.3 -1.3 -7.5 -11.3 -9.2 4.3 -11.2 -12.0 -20.0 -20.0 SHATZ 11.6 -1.9 0.5 -2.5 -2.2 -2.2 -1.6 -1.9 -2.2 -6.0 -7.1 -0.6 -8.0 -2.6 -4.1 -20.0 -11.5 -20.0 -18.6 -4.4 -7.4 -3.0 -12.1 -2.0 10.5 -1.8 -4.4 -2.6 -1.4 -4.1 -0.8 -20.0 -0.2 15.7 6.8 7.2 -20.0 -20.0 -19.5 -20.0 SILVER-mini -9.1 -13.9 -10.4 -3.1 1.6 -1.8 -0.6 -0.3 -2.8 11.3 -4.6 1.7 1.6 -5.4 -7.7 -6.8 -6.3 -7.3 -6.9 -8.7 -6.2 5.9 -2.1 -4.9 5.9 -2.2 5.5 -0.9 2.2 0.1 -1.5 -3.7 17.3 2.0 3.3 5.4 -14.5 -20.0 -6.1 -20.0 SMI -6.1 -3.9 -8.9 -4.3 1.1 -2.4 -0.3 0.1 -3.2 -8.1 -1.7 -8.2 4.3 -8.4 -11.8 4.4 1.7 1.8 0.8 -7.8 -5.8 -6.3 -1.9 -6.6 5.7 -3.3 -7.7 -2.4 -3.3 -2.0 -3.2 12.2 -11.2 7.7 11.9 4.5 -7.6 -14.7 -8.0 -9.9 SOFR 2.1 -6.2 -14.1 -2.9 -2.5 -2.5 -1.9 -2.2 -2.5 -5.9 -8.5 -5.2 -6.4 -6.8 -8.3 -0.6 -1.0 -1.3 -1.3 -9.3 -8.9 -7.8 -7.4 -7.8 -1.6 -3.3 -4.7 -3.0 -2.9 -2.4 -2.9 1.6 -3.1 0.9 5.0 1.1 -20.0 -20.0 -6.4 -6.6 SOYBEAN -7.8 -10.5 4.1 -4.4 0.1 -3.3 -2.3 -3.0 -4.5 11.2 5.7 -2.0 2.4 -13.3 -3.5 13.1 17.6 11.3 13.4 -5.7 -0.4 -2.9 0.4 -8.2 -20.0 -2.4 2.5 -0.1 -1.1 0.5 -3.6 20.0 -0.3 5.3 3.8 11.0 -20.0 -2.1 -17.1 4.6 SOYMEAL -4.6 -9.4 -4.5 -3.7 0.1 -2.8 -2.0 -2.6 -3.9 11.8 -9.1 4.5 0.7 -8.4 -8.5 9.1 17.0 10.6 14.2 -6.5 -5.0 6.9 -0.3 -3.1 -20.0 -2.0 8.5 -0.4 3.9 2.4 -0.9 20.0 20.0 8.5 5.5 5.7 -20.0 -20.0 -20.0 -18.7 SOYOIL -20.0 -20.0 6.2 -2.9 0.1 -2.2 -1.6 -2.0 -3.0 3.8 3.4 -5.8 -0.7 -9.1 -4.9 12.6 12.0 13.7 12.4 -11.3 -2.3 -8.0 0.8 -16.0 -20.0 -2.7 1.2 -0.7 -1.8 0.0 -3.7 17.9 -10.1 -20.0 -15.2 3.9 -3.3 5.4 16.7 20.0 SP400 -4.7 -20.0 -8.9 -3.5 0.9 -1.9 -0.2 0.0 -2.5 9.0 -6.2 -2.8 1.8 -9.8 -10.4 -5.2 -5.1 -5.5 -5.5 -13.2 -7.3 -0.6 -1.7 -10.6 -10.4 -3.6 3.1 -1.5 -0.4 0.2 -3.2 1.3 2.4 -6.1 -3.9 8.3 -6.4 -13.0 -16.7 -20.0 SP500_micro -8.4 -20.0 -13.0 -3.8 1.0 -2.1 -0.2 0.1 -2.8 9.2 5.0 1.8 8.3 -5.7 -8.1 -11.0 -9.8 -11.7 -11.2 -8.7 -0.2 3.7 6.4 -6.1 -17.6 -2.7 2.5 0.6 1.2 3.3 -2.0 -7.6 11.8 -2.0 1.1 12.3 -5.4 -12.3 -7.3 -17.7 SUGAR11 -10.8 9.5 2.0 -5.0 0.1 -3.7 -2.6 -3.5 -5.2 16.1 16.9 8.5 17.2 13.5 15.0 20.0 13.9 16.3 12.2 16.4 20.0 12.8 20.0 12.1 -20.0 5.1 8.7 8.0 5.3 12.5 4.0 19.5 20.0 12.4 20.0 11.9 -20.0 -20.0 7.3 1.8 US10 2.0 -5.4 -12.8 -2.5 -2.1 -2.2 -1.6 -1.9 -2.2 -5.1 -8.0 -5.3 -8.0 -6.3 -7.6 -6.7 -7.3 -8.1 -8.4 -10.2 -10.5 -6.7 -10.2 -8.1 1.1 -2.9 -2.8 -2.8 -2.0 -2.5 -2.5 -10.2 -1.5 -3.0 0.9 -1.9 -20.0 -20.0 3.6 -0.1 US10U -0.6 -7.9 -12.4 -3.1 -2.7 -2.7 -2.0 -2.4 -2.7 -6.3 -10.0 -6.9 -9.9 -8.2 -9.7 2.7 -0.4 0.7 -0.4 -13.6 -13.3 -8.2 -12.4 -10.9 -2.5 -3.7 -2.8 -3.4 -2.3 -2.8 -3.1 2.6 -1.2 -6.0 -0.4 -3.8 -20.0 -20.0 12.3 15.7 US2 12.9 7.4 -13.8 -2.6 -2.2 -2.3 -1.7 -2.0 -2.3 -6.1 -8.7 -3.8 -8.7 -5.4 -7.5 -20.0 -20.0 -20.0 -20.0 -8.5 -12.9 -6.0 -16.5 -5.1 8.6 -2.8 -5.2 -4.2 -2.5 -5.5 -1.8 -20.0 -1.0 7.9 7.2 1.1 -20.0 -20.0 -18.5 -20.0 US20 -6.2 -8.9 -12.4 -2.2 -1.9 -1.9 -1.4 -1.7 -1.9 -3.9 -6.9 -5.0 -6.5 -5.7 -6.8 -1.1 -1.9 -2.2 -2.2 -10.8 -9.9 -6.3 -8.5 -9.2 -2.2 -2.5 -1.3 -2.2 -1.4 -1.8 -2.2 0.0 -1.5 -9.0 -3.2 -5.5 -12.7 -20.0 20.0 20.0 US30 -5.8 -8.4 -9.0 -2.3 -2.0 -2.0 -1.5 -1.8 -2.0 -3.8 -7.4 -5.1 -7.1 -6.1 -7.2 -5.1 -4.1 -6.1 -5.4 -10.6 -9.9 -5.8 -9.2 -8.8 -1.7 -2.7 -1.3 -2.4 -1.4 -1.9 -2.3 -4.5 -0.8 -7.1 -1.2 -4.7 -9.2 -20.0 20.0 20.0 US5 6.6 -1.8 -12.2 -2.6 -2.3 -2.3 -1.7 -2.0 -2.3 -5.6 -8.5 -4.6 -8.5 -6.1 -7.8 -11.4 -10.7 -13.2 -12.7 -9.2 -10.5 -6.7 -11.3 -6.9 3.5 -3.1 -4.2 -3.3 -2.4 -3.3 -2.4 -16.7 -1.6 2.2 4.0 0.6 -20.0 -20.0 -6.7 -18.1 VIX 19.7 20.0 19.0 -0.7 3.1 -6.1 3.3 -10.0 2.7 0.7 -15.7 4.3 -17.5 4.3 -2.4 -11.2 -20.0 -20.0 -20.0 -2.9 -12.9 3.5 -20.0 2.6 NaN -0.8 3.6 -7.1 3.7 -12.1 3.0 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 6.4 -14.0 -19.8 -3.7 0.1 -2.8 -2.0 -2.6 -3.9 -1.0 -13.6 3.2 -14.6 -9.1 -13.7 -11.1 -10.0 -11.3 -10.9 -14.3 -18.3 -1.6 -19.7 -6.8 -4.5 -4.3 -0.4 -5.0 -0.6 -5.0 -2.3 -20.0 3.2 9.8 -4.7 -14.3 -20.0 -14.7 -20.0 -11.0 End of report for caleb_strategy_v3