******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231019_204322 produced at 2023-10-19 21:38:50.567819 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.14 0.0 0.00 0.00 0.00 0.00 -13.36 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 -7.49 6.0 -6 -6 caleb_strategy_v3 US2 False True 0.07 0.00 -0.23 0.0 0.00 0.00 0.00 0.00 -3.23 13.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.18 0.0 0.00 0.00 0.00 0.00 -4.67 24.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.30 -0.16 0.0 0.65 -0.65 -0.30 -0.30 -3.29 13.0 -6 -6 caleb_strategy_v3 CAD False False 0.03 -0.05 -0.14 0.0 0.76 -0.76 -0.05 -0.05 -5.43 29.0 -2 -2 caleb_strategy_v3 JPY False False 0.03 -0.24 -0.13 0.0 0.51 -0.51 -0.24 -0.24 -4.33 17.0 -8 -8 caleb_strategy_v3 VIX False False 0.01 -0.10 -0.10 0.0 0.12 -0.12 -0.10 -0.10 -14.13 17.0 -14 -13 caleb_strategy_v3 US5 False False 0.04 -0.11 -0.09 0.0 0.93 -0.93 -0.11 -0.11 -2.39 25.0 -3 -3 caleb_strategy_v3 EUR False False 0.05 -0.38 -0.08 0.0 0.66 -0.66 -0.38 -0.38 -1.59 14.0 -8 -8 caleb_strategy_v3 GOLD_micro False False 0.01 -0.02 -0.07 0.0 0.39 -0.39 -0.02 -0.02 -10.70 56.0 -3 -3 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.07 0.0 0.40 -0.40 -0.01 -0.01 -11.14 66.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 -0.04 -0.07 0.0 0.21 -0.21 -0.04 -0.04 -21.12 68.0 -12 -12 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.06 0.0 0.37 -0.37 0.00 0.00 -7.65 48.0 0 0 caleb_strategy_v3 SP400 False False 0.09 -0.09 -0.06 0.0 0.18 -0.18 -0.09 -0.09 -0.71 2.0 -1 -1 caleb_strategy_v3 MXP False False 0.01 0.00 -0.05 0.0 0.58 -0.58 0.00 0.00 -5.12 60.0 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 0.64 -0.64 0.00 0.00 -1.29 17.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.00 -0.05 0.0 0.41 -0.41 0.00 0.00 -1.29 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 -10.70 51.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.04 0.0 0.07 -0.07 0.00 0.00 -2.83 5.0 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 -8.04 3.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 -0.04 0.0 0.60 -0.60 0.00 0.00 -1.52 22.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.04 0.0 0.11 -0.11 -0.01 -0.01 -3.80 12.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.05 -0.03 0.0 0.10 -0.10 -0.05 -0.05 -2.17 8.0 -4 -4 caleb_strategy_v3 PALLAD False False 0.04 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -0.83 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 -4.42 2.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.06 -0.03 0.0 0.25 -0.25 -0.06 -0.06 -2.91 23.0 -6 -6 caleb_strategy_v3 US10U False False 0.04 0.00 -0.03 0.0 0.50 -0.50 0.00 0.00 -0.75 13.0 0 0 caleb_strategy_v3 SMI False False 0.04 -0.04 -0.03 0.0 0.38 -0.38 -0.04 -0.04 -0.67 9.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.03 0.0 0.11 -0.11 -0.02 -0.02 -2.29 9.0 -2 -2 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 -0.03 0.0 0.36 -0.36 0.00 0.00 -0.55 8.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.04 -0.03 0.0 0.82 -0.82 -0.04 -0.04 -0.73 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 -1.30 12.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.00 -0.02 0.0 0.46 -0.46 0.00 0.00 -0.66 17.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 -0.02 -0.02 0.0 0.13 -0.13 -0.02 -0.02 -0.83 6.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.02 -0.03 -0.02 0.0 0.17 -0.17 -0.03 -0.03 -1.31 11.0 -2 -2 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -0.99 0.0 0 0 caleb_strategy_v3 US20 False False 0.04 -0.08 -0.02 0.0 0.35 -0.35 -0.08 -0.08 -0.41 9.0 -2 -2 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.01 0.0 0.11 -0.11 -0.02 -0.02 -0.49 10.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.42 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.25 7.0 -1 -1 caleb_strategy_v3 BUXL False False 0.05 -0.09 -0.01 0.0 0.18 -0.18 -0.09 -0.09 -0.16 4.0 -2 -2 caleb_strategy_v3 DAX False False 0.01 0.00 -0.01 0.0 0.33 -0.33 0.00 0.00 -2.18 58.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -0.54 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 -0.25 10.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 -0.01 0.0 0.46 -0.46 0.00 0.00 -0.19 10.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.01 0.0 0.44 -0.44 0.00 0.00 -0.66 21.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.04 -0.01 0.0 0.24 -0.24 -0.04 -0.04 -0.28 6.0 -1 -1 caleb_strategy_v3 GAS_US_mini False True 0.00 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -4.38 26.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.05 -0.01 0.0 0.16 -0.16 -0.05 -0.05 -0.52 10.0 -3 -3 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 -0.00 0.0 0.19 -0.19 0.00 0.00 -0.01 23.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.02 -0.00 0.0 0.31 -0.31 0.02 0.02 -0.01 20.0 1 1 caleb_strategy_v3 BITCOIN False True 0.00 -0.03 -0.00 0.0 0.00 -0.03 -0.03 -0.03 -4.59 59.0 -27 -27 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 0.14 -0.14 0.00 0.00 0.15 4.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.29 3.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.00 0.01 0.0 0.34 -0.34 0.00 0.00 1.10 26.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.02 0.0 0.19 -0.19 0.00 0.00 2.37 18.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.02 0.03 0.0 0.13 -0.13 0.02 0.02 2.82 13.0 2 2 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.03 0.0 0.12 -0.12 0.00 0.00 0.99 4.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.06 0.0 0.06 -0.06 0.00 0.00 3.01 3.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.07 0.06 0.0 0.27 -0.27 0.07 0.07 7.88 36.0 9 9 caleb_strategy_v3 CRUDE_W False False 0.03 0.11 0.10 0.0 0.14 -0.14 0.11 0.11 3.54 5.0 4 4 caleb_strategy_v3 DX False False 0.04 0.00 0.12 0.0 38010665.43 -38010665.43 0.00 0.00 3.26 999999999.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.19 0.0 0.91 -0.91 0.00 0.00 2.09 10.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.41 0.46 0.0 0.55 -0.55 0.41 0.41 13.27 16.0 12 12 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 12.6 Shocked risk 27.0 Sum abs risk 44.3 Leverage 4.84 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2798951.26, 'annual_cash_vol_target': 699737.815, 'daily_cash_vol_target': 43733.6134375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6347 0.7020 11.2316 BITCOIN 705.3568 28365.0000 2.4867 39.7874 BOBL 0.2909 115.3700 0.2521 4.0341 BTP 0.6904 107.9600 0.6395 10.2324 BUND 0.6123 127.8100 0.4791 7.6649 BUXL 1.4313 120.4000 1.1888 19.0208 CAC 57.8174 6970.5000 0.8295 13.2713 CAD 0.0030 0.7298 0.4131 6.6096 CANOLA 6.9426 719.0000 0.9656 15.4494 CHF 0.0048 1.1194 0.4306 6.8891 COCOA 44.5467 3651.0000 1.2201 19.5220 COFFEE 2.4181 157.7500 1.5329 24.5257 COPPER 0.0357 3.5820 0.9961 15.9368 CORN 5.3621 518.5000 1.0342 16.5466 COTTON2 1.0907 84.3200 1.2935 20.6956 CRUDE_W 1.3509 78.7300 1.7158 27.4532 DAX 123.8792 15147.0000 0.8178 13.0855 DOW 210.0311 33842.0000 0.6206 9.9300 DX 0.3840 106.3900 0.3609 5.7752 EUR 0.0051 1.0560 0.4866 7.7848 EURIBOR-ICE 0.0540 96.9000 0.0557 0.8917 EUROSTX 39.8122 4107.0000 0.9694 15.5100 FEEDCOW 1.6512 253.7500 0.6507 10.4117 GASOIL 16.2382 869.5000 1.8675 29.8805 GASOLINE 0.0420 2.3211 1.8089 28.9420 GAS_US_mini 0.0840 3.4500 2.4334 38.9345 GBP 0.0068 1.2142 0.5561 8.8982 GOLD_micro 16.1554 1962.1000 0.8234 13.1740 HEATOIL 0.0482 2.9923 1.6106 25.7700 JGB-SGX-mini 0.2159 144.8200 0.1491 2.3849 JPY 0.0000 0.0067 0.5175 8.2802 LEANHOG 1.3343 72.3500 1.8442 29.5069 LIVECOW 1.1638 187.3000 0.6213 9.9413 LUMBER-new 7.9953 505.0000 1.5832 25.3316 MILK 0.2289 18.4600 1.2402 19.8425 MXP 0.0005 0.0542 0.8986 14.3778 NASDAQ_micro 136.9754 15035.2500 0.9110 14.5765 NIKKEI 349.2890 31640.0000 1.1039 17.6632 NZD 0.0042 0.5856 0.7208 11.5321 OAT 0.6244 122.0400 0.5116 8.1860 OATIES 6.7147 391.0000 1.7173 27.4771 OJ 4.1469 370.6000 1.1190 17.9033 PALLAD 19.7468 1135.0000 1.7398 27.8369 PLAT 13.4959 890.9000 1.5149 24.2377 REDWHEAT 10.6981 680.7500 1.5715 25.1444 RICE 0.1478 16.5600 0.8928 14.2845 ROBUSTA 26.5932 2337.0000 1.1379 18.2067 RUSSELL 19.5915 1742.4000 1.1244 17.9904 SHATZ 0.0836 104.8650 0.0797 1.2758 SILVER-mini 0.3595 23.0875 1.5573 24.9173 SMI 81.4990 10659.0000 0.7646 12.2336 SOFR 0.0786 95.6450 0.0821 1.3143 SOYBEAN 11.0984 1267.5000 0.8756 14.0098 SOYMEAL 5.1415 399.4000 1.2873 20.5967 SOYOIL 0.7920 53.6300 1.4768 23.6289 SP400 24.9240 2474.5000 1.0072 16.1158 SP500_micro 31.8107 4346.7500 0.7318 11.7092 SUGAR11 0.3303 26.1200 1.2647 20.2356 US10 0.4707 105.8906 0.4445 7.1116 US10U 0.6663 108.6094 0.6135 9.8154 US2 0.1080 101.0234 0.1069 1.7108 US20 1.0294 109.2812 0.9420 15.0712 US30 1.5006 112.9062 1.3291 21.2651 US5 0.2942 104.0391 0.2828 4.5251 VIX 0.6587 20.5500 3.2054 51.2856 WHEAT 9.4509 666.7500 1.4175 22.6794 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 634.70 0.70 445.54 1.00 445.54 43733.61 98.16 -8.22 -80.69 BITCOIN 28.36 2.49 70.54 1.00 70.54 43733.61 620.02 -0.68 -42.40 BOBL 1153.70 0.25 290.89 1.06 306.68 43733.61 142.60 -5.07 -72.30 BTP 1079.60 0.64 690.43 1.06 727.92 43733.61 60.08 -6.28 -37.75 BUND 1278.10 0.48 612.29 1.06 645.53 43733.61 67.75 -3.57 -24.19 BUXL 1204.00 1.19 1431.32 1.06 1509.04 43733.61 28.98 -5.39 -15.61 CAC 697.05 0.83 578.17 1.06 609.57 43733.61 71.75 -5.33 -38.22 CAD 729.85 0.41 301.50 1.00 301.50 43733.61 145.05 -14.44 -209.45 CANOLA 143.80 0.97 138.85 0.73 101.92 43733.61 429.08 -10.25 -439.84 CHF 1399.31 0.43 602.50 1.00 602.50 43733.61 72.59 -17.49 -126.98 COCOA 365.10 1.22 445.47 1.00 445.47 43733.61 98.17 5.24 51.48 COFFEE 591.56 1.53 906.78 1.00 906.78 43733.61 48.23 -14.76 -71.19 COPPER 895.50 1.00 891.97 1.00 891.97 43733.61 49.03 -14.10 -69.14 CORN 259.25 1.03 268.11 1.00 268.11 43733.61 163.12 -9.57 -156.18 COTTON2 421.60 1.29 545.33 1.00 545.33 43733.61 80.20 -7.60 -60.97 CRUDE_W 787.30 1.72 1350.87 1.00 1350.87 43733.61 32.37 10.11 32.73 DAX 151.47 0.82 123.88 1.06 130.61 43733.61 334.85 -1.91 -63.88 DOW 169.21 0.62 105.02 1.00 105.02 43733.61 416.45 -11.50 -479.12 DX 1063.90 0.36 384.01 1.00 384.01 43733.61 113.89 11.02 125.52 EUR 1319.94 0.49 642.22 1.00 642.22 43733.61 68.10 -9.02 -61.44 EURIBOR-ICE 2422.50 0.06 135.01 1.06 142.34 43733.61 307.25 1.99 61.23 EUROSTX 410.70 0.97 398.12 1.06 419.74 43733.61 104.19 -0.02 -0.21 FEEDCOW 1268.75 0.65 825.61 1.00 825.61 43733.61 52.97 -3.16 -16.73 GASOIL 869.50 1.87 1623.82 1.00 1623.82 43733.61 26.93 8.46 22.79 GASOLINE 974.86 1.81 1763.40 1.00 1763.40 43733.61 24.80 1.40 3.47 GAS_US_mini 86.25 2.43 209.88 1.00 209.88 43733.61 208.37 -1.94 -40.42 GBP 758.88 0.56 422.04 1.00 422.04 43733.61 103.62 -5.65 -58.55 GOLD_micro 196.21 0.82 161.55 1.00 161.55 43733.61 270.71 -11.59 -313.63 HEATOIL 1256.77 1.61 2024.18 1.00 2024.18 43733.61 21.61 3.14 6.79 JGB-SGX-mini 144820.00 0.15 21586.11 0.01 144.28 43733.61 303.11 4.04 122.57 JPY 841.94 0.52 435.71 1.00 435.71 43733.61 100.37 -16.63 -166.95 LEANHOG 289.40 1.84 533.71 1.00 533.71 43733.61 81.94 5.66 46.39 LIVECOW 749.20 0.62 465.50 1.00 465.50 43733.61 93.95 -2.11 -19.83 LUMBER-new 138.88 1.58 219.87 1.00 219.87 43733.61 198.91 -19.01 -378.13 MILK 369.20 1.24 457.87 1.00 457.87 43733.61 95.52 -13.83 -132.14 MXP 270.75 0.90 243.30 1.00 243.30 43733.61 179.75 -1.94 -34.91 NASDAQ_micro 300.70 0.91 273.95 1.00 273.95 43733.61 159.64 -7.84 -125.09 NIKKEI 31640.00 1.10 34928.90 0.01 233.47 43733.61 187.32 3.89 72.79 NZD 585.65 0.72 422.11 1.00 422.11 43733.61 103.61 -2.46 -25.52 OAT 1220.40 0.51 624.38 1.06 658.29 43733.61 66.44 -0.83 -5.50 OATIES 195.50 1.72 335.74 1.00 335.74 43733.61 130.26 -13.95 -181.69 OJ 555.90 1.12 622.03 1.00 622.03 43733.61 70.31 20.00 140.62 PALLAD 1135.00 1.74 1974.68 1.00 1974.68 43733.61 22.15 -11.03 -24.43 PLAT 445.45 1.51 674.79 1.00 674.79 43733.61 64.81 -2.34 -15.15 REDWHEAT 340.38 1.57 534.91 1.00 534.91 43733.61 81.76 -20.00 -163.52 RICE 331.20 0.89 295.69 1.00 295.69 43733.61 147.90 -1.49 -22.09 ROBUSTA 233.70 1.14 265.93 1.00 265.93 43733.61 164.45 -0.07 -1.15 RUSSELL 87.12 1.12 97.96 1.00 97.96 43733.61 446.45 -14.28 -637.35 SHATZ 1048.65 0.08 83.62 1.06 88.16 43733.61 496.08 -9.28 -460.38 SILVER-mini 577.19 1.56 898.87 1.00 898.87 43733.61 48.65 -5.94 -28.89 SMI 1065.90 0.76 814.99 1.11 904.15 43733.61 48.37 -4.03 -19.52 SOFR 2391.12 0.08 196.42 1.00 196.42 43733.61 222.66 -9.87 -219.80 SOYBEAN 633.75 0.88 554.92 1.00 554.92 43733.61 78.81 -3.45 -27.16 SOYMEAL 399.40 1.29 514.15 1.00 514.15 43733.61 85.06 -5.29 -44.98 SOYOIL 321.78 1.48 475.21 1.00 475.21 43733.61 92.03 -5.74 -52.84 SP400 2474.50 1.01 2492.40 1.00 2492.40 43733.61 17.55 -12.28 -21.54 SP500_micro 217.34 0.73 159.05 1.00 159.05 43733.61 274.96 -11.97 -329.24 SUGAR11 292.54 1.26 369.99 1.00 369.99 43733.61 118.20 9.41 111.26 US10 1058.91 0.44 470.66 1.00 470.66 43733.61 92.92 -10.92 -101.51 US10U 1086.09 0.61 666.28 1.00 666.28 43733.61 65.64 -9.00 -59.06 US2 2020.47 0.11 216.04 1.00 216.04 43733.61 202.44 -12.61 -255.19 US20 1092.81 0.94 1029.38 1.00 1029.38 43733.61 42.49 -7.56 -32.11 US30 1129.06 1.33 1500.60 1.00 1500.60 43733.61 29.14 -7.66 -22.34 US5 1040.39 0.28 294.25 1.00 294.25 43733.61 148.63 -12.70 -188.77 VIX 205.50 3.21 658.70 1.00 658.70 43733.61 66.39 -8.62 -57.24 WHEAT 333.38 1.42 472.55 1.00 472.55 43733.61 92.55 -18.67 -172.78 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -80.692 0.010 2.5 -2.094 BITCOIN -42.403 0.043 2.5 -4.592 BOBL -72.300 0.004 2.5 -0.733 BTP -37.749 0.014 2.5 -1.288 BUND -24.192 0.004 2.5 -0.245 BUXL -15.611 0.004 2.5 -0.158 CAC -38.222 0.014 2.5 -1.304 CAD -209.454 0.010 2.5 -5.435 CANOLA -439.840 0.010 2.5 -10.701 CHF -126.981 0.010 2.5 -3.295 COCOA 51.477 0.009 2.5 1.103 COFFEE -71.189 0.005 2.5 -0.831 COPPER -69.140 0.043 2.5 -7.487 CORN -156.180 0.010 2.5 -3.800 COTTON2 -60.965 0.009 2.5 -1.306 CRUDE_W 32.735 0.043 2.5 3.545 DAX -63.875 0.014 2.5 -2.179 DOW -479.120 0.009 2.5 -11.135 DX 125.516 0.010 2.5 3.257 EUR -61.437 0.010 2.5 -1.594 EURIBOR-ICE 61.230 0.014 2.5 2.089 EUROSTX -0.214 0.014 2.5 -0.007 FEEDCOW -16.728 0.013 2.5 -0.554 GASOIL 22.790 0.017 2.5 0.988 GASOLINE 3.472 0.017 2.5 0.151 GAS_US_mini -40.417 0.043 2.5 -4.377 GBP -58.554 0.010 2.5 -1.519 GOLD_micro -313.632 0.014 2.5 -10.698 HEATOIL 6.786 0.017 2.5 0.294 JGB-SGX-mini 122.567 0.043 2.5 13.273 JPY -166.949 0.010 2.5 -4.332 LEANHOG 46.387 0.024 2.5 2.819 LIVECOW -19.834 0.013 2.5 -0.657 LUMBER-new -378.126 0.009 2.5 -8.044 MILK -132.143 0.009 2.5 -2.830 MXP -34.909 0.059 2.5 -5.124 NASDAQ_micro -125.090 0.009 2.5 -2.907 NIKKEI 72.787 0.043 2.5 7.882 NZD -25.517 0.010 2.5 -0.662 OAT -5.502 0.014 2.5 -0.188 OATIES -181.693 0.010 2.5 -4.421 OJ 140.616 0.009 2.5 3.012 PALLAD -24.431 0.014 2.5 -0.833 PLAT -15.154 0.014 2.5 -0.517 REDWHEAT -163.519 0.005 2.5 -2.169 RICE -22.091 0.010 2.5 -0.537 ROBUSTA -1.154 0.005 2.5 -0.013 RUSSELL -637.351 0.013 2.5 -21.121 SHATZ -460.385 0.004 2.5 -4.669 SILVER-mini -28.886 0.014 2.5 -0.985 SMI -19.516 0.014 2.5 -0.666 SOFR -219.799 0.024 2.5 -13.359 SOYBEAN -27.160 0.004 2.5 -0.253 SOYMEAL -44.976 0.004 2.5 -0.418 SOYOIL -52.837 0.004 2.5 -0.492 SP400 -21.542 0.013 2.5 -0.714 SP500_micro -329.244 0.009 2.5 -7.652 SUGAR11 111.262 0.009 2.5 2.366 US10 -101.510 0.005 2.5 -1.286 US10U -59.060 0.005 2.5 -0.748 US2 -255.193 0.005 2.5 -3.234 US20 -32.106 0.005 2.5 -0.407 US30 -22.339 0.005 2.5 -0.283 US5 -188.774 0.005 2.5 -2.392 VIX -57.237 0.099 2.5 -14.129 WHEAT -172.779 0.005 2.5 -2.292 ===================== Position diags ===================== AUD 2.55 BITCOIN 67.14 BOBL 1.45 BTP 2.05 BUND 0.69 BUXL 0.29 CAC 2.45 CAD 3.76 CANOLA 10.44 CHF 1.88 COCOA 2.10 COFFEE 0.56 COPPER 5.31 CORN 3.97 COTTON2 1.72 CRUDE_W 3.51 DAX 11.42 DOW 9.68 DX 2.96 EUR 1.77 EURIBOR-ICE 10.48 EUROSTX 3.55 FEEDCOW 1.76 GASOIL 1.17 GASOLINE 1.08 GAS_US_mini 22.57 GBP 2.69 GOLD_micro 9.23 HEATOIL 0.94 JGB-SGX-mini 32.82 JPY 2.60 LEANHOG 4.98 LIVECOW 3.11 LUMBER-new 4.23 MILK 2.05 MXP 26.38 NASDAQ_micro 3.71 NIKKEI 20.29 NZD 2.69 OAT 2.27 OATIES 3.17 OJ 1.51 PALLAD 0.76 PLAT 2.21 REDWHEAT 1.08 RICE 3.60 ROBUSTA 1.92 RUSSELL 14.80 SHATZ 5.03 SILVER-mini 1.66 SMI 1.65 SOFR 13.53 SOYBEAN 0.73 SOYMEAL 0.79 SOYOIL 0.86 SP400 0.58 SP500_micro 6.39 SUGAR11 2.51 US10 1.18 US10U 0.83 US2 2.57 US20 0.54 US30 0.37 US5 1.88 VIX 16.39 WHEAT 1.23 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 -4.6 -11.3 2.1 -27.0 -27 BOBL -0.7 -0.9 -0.6 -1.0 -1 BTP -1.3 -1.5 -1.1 0.0 0 BUND -0.2 -0.3 -0.2 0.0 0 BUXL -0.2 -0.2 -0.1 -2.0 -2 CAC -1.3 -1.5 -1.1 0.0 0 CAD -5.4 -5.8 -5.1 -2.0 -2 CANOLA -10.7 -11.7 -9.7 NaN 0 CHF -3.3 -3.5 -3.1 -6.0 -6 COCOA 1.1 0.9 1.3 0.0 0 COFFEE -0.8 -0.9 -0.8 -1.0 -1 COPPER -7.5 -8.0 -7.0 -6.0 -6 CORN -3.8 -4.2 -3.4 -1.0 -1 COTTON2 -1.3 -1.5 -1.1 -2.0 -2 CRUDE_W 3.5 3.2 3.9 4.0 4 DAX -2.2 -3.3 -1.0 0.0 0 DOW -11.1 -12.1 -10.2 -1.0 -1 DX 3.3 3.0 3.6 NaN 0 EUR -1.6 -1.8 -1.4 -8.0 -8 EURIBOR-ICE 2.1 1.0 3.1 0.0 0 EUROSTX -0.0 -0.4 0.3 1.0 1 FEEDCOW -0.6 -0.7 -0.4 0.0 0 GASOIL 1.0 0.9 1.1 0.0 0 GASOLINE 0.2 0.0 0.3 0.0 0 GAS_US_mini -4.4 -6.6 -2.1 0.0 0 GBP -1.5 -1.8 -1.3 0.0 0 GOLD_micro -10.7 -11.6 -9.8 -3.0 -3 HEATOIL 0.3 0.2 0.4 0.0 0 JGB-SGX-mini 13.3 10.0 16.6 12.0 12 JPY -4.3 -4.6 -4.1 -8.0 -8 LEANHOG 2.8 2.3 3.3 2.0 2 LIVECOW -0.7 -1.0 -0.3 0.0 0 LUMBER-new -8.0 -8.5 -7.6 NaN 0 MILK -2.8 -3.0 -2.6 NaN 0 MXP -5.1 -7.8 -2.5 0.0 0 NASDAQ_micro -2.9 -3.3 -2.5 -6.0 -6 NIKKEI 7.9 5.9 9.9 9.0 9 NZD -0.7 -0.9 -0.4 0.0 0 OAT -0.2 -0.4 0.0 0.0 0 OATIES -4.4 -4.7 -4.1 NaN 0 OJ 3.0 2.9 3.2 NaN 0 PALLAD -0.8 -0.9 -0.8 -1.0 -1 PLAT -0.5 -0.7 -0.3 -3.0 -3 REDWHEAT -2.2 -2.3 -2.1 -4.0 -4 RICE -0.5 -0.9 -0.2 NaN 0 ROBUSTA -0.0 -0.2 0.2 0.0 0 RUSSELL -21.1 -22.6 -19.6 -12.0 -12 SHATZ -4.7 -5.2 -4.2 NaN 0 SILVER-mini -1.0 -1.2 -0.8 NaN 0 SMI -0.7 -0.8 -0.5 -1.0 -1 SOFR -13.4 -14.7 -12.0 NaN 0 SOYBEAN -0.3 -0.3 -0.2 -1.0 -1 SOYMEAL -0.4 -0.5 -0.3 0.0 0 SOYOIL -0.5 -0.6 -0.4 -2.0 -2 SP400 -0.7 -0.8 -0.7 -1.0 -1 SP500_micro -7.7 -8.3 -7.0 0.0 0 SUGAR11 2.4 2.1 2.6 0.0 0 US10 -1.3 -1.4 -1.2 NaN 0 US10U -0.7 -0.8 -0.7 0.0 0 US2 -3.2 -3.5 -3.0 NaN 0 US20 -0.4 -0.5 -0.4 -2.0 -2 US30 -0.3 -0.3 -0.2 -1.0 -1 US5 -2.4 -2.6 -2.2 -3.0 -3 VIX -14.1 -15.8 -12.5 -14.0 -14 WHEAT -2.3 -2.4 -2.2 -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 -0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.1 0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.1 -0.4 -0.3 -0.7 -0.1 0.1 BITCOIN 0.4 -0.1 -0.3 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.2 0.1 0.2 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 -0.2 0.6 0.4 0.1 -0.1 0.7 -0.1 0.7 BOBL 0.2 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.3 -0.0 -0.0 0.2 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 1.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.4 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 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.8 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.8 0.1 0.0 0.0 0.1 -0.4 -0.7 -0.0 0.3 BUND 0.0 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.3 -0.0 -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 -0.0 -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 0.6 CAC -0.3 -0.5 -0.4 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.2 -0.1 -0.2 0.6 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 0.2 -0.2 -0.7 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 0.2 -0.5 -0.3 -0.0 0.1 0.4 0.1 0.7 0.3 CAD -0.2 -0.2 -0.3 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -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 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.3 0.1 -0.6 -0.7 -0.7 -0.6 -0.7 CANOLA -0.5 -0.6 0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.0 -0.0 -0.1 -0.1 -0.1 -0.2 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 0.2 0.1 -0.3 -0.6 0.3 -0.2 -0.0 0.4 0.4 CHF 0.2 -0.6 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 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 -1.3 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -1.1 0.5 0.0 -0.6 -0.3 -0.7 -0.7 -0.7 -0.7 COCOA -0.4 -0.5 0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.1 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 0.1 -1.8 0.0 0.1 0.2 0.1 0.4 0.0 -0.4 0.5 0.2 0.6 0.6 0.1 -0.2 0.7 0.1 COFFEE 0.1 0.1 -0.3 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.2 -0.5 0.1 -0.6 -0.0 -0.2 -0.0 0.0 -0.0 -0.0 -0.1 -0.2 0.2 -0.5 0.0 -2.7 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.1 0.5 0.2 0.4 -0.6 -0.7 -0.7 -0.7 -0.4 COPPER -0.3 -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 -0.3 -0.2 -0.8 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.4 -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 -0.0 -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 -2.2 -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 -0.0 -0.1 0.3 -0.2 -0.3 -0.1 0.1 -0.2 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 0.5 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 0.1 0.1 0.3 0.2 0.3 0.3 0.1 0.2 0.1 0.3 0.1 -0.6 0.0 0.0 0.1 0.0 0.2 0.0 -1.1 0.1 0.2 0.4 0.0 0.7 0.3 0.7 0.3 DAX -0.2 -0.5 -0.6 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 0.4 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 0.1 -0.2 2.2 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.2 -0.3 -0.3 -0.2 -0.2 0.5 0.0 0.7 0.3 DOW -0.3 -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 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 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 -0.2 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 0.0 -0.1 -0.5 -0.4 -0.3 -0.6 -0.2 -0.1 EURIBOR-ICE 0.1 0.0 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.2 -0.0 0.0 -0.1 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.2 -0.0 2.3 -0.0 -0.0 -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 -0.1 -0.4 -0.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 0.5 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 0.6 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.3 -0.2 0.1 0.0 0.0 0.4 0.1 0.5 0.5 FEEDCOW -0.6 -0.6 0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.2 0.4 -0.2 0.7 -0.2 0.0 -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 -0.5 -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 0.1 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 -0.2 0.1 0.1 0.4 -0.4 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 0.0 0.4 -0.1 -2.7 -0.0 0.0 0.1 -0.0 0.2 -0.0 1.1 0.2 -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 -0.1 -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 0.1 0.6 -0.3 -0.6 -0.2 0.2 -0.4 0.0 GBP 0.1 -0.6 -0.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 0.3 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.2 0.0 -0.2 -0.6 -0.4 -0.1 0.3 0.1 0.7 GOLD_micro 0.1 -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 -0.9 -0.0 0.1 -0.1 0.1 -0.0 0.0 -1.0 0.5 0.1 0.1 -0.1 -0.4 -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 0.3 0.0 0.2 -0.0 0.1 0.4 0.4 0.4 0.4 0.1 0.2 0.1 0.4 0.0 -2.7 0.0 0.0 0.2 0.0 0.2 -0.0 0.1 -0.0 0.1 -0.3 0.5 0.2 -0.1 -0.0 -0.2 JGB-SGX-mini 0.1 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.1 -0.0 -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 0.3 0.4 0.3 0.0 -0.1 -0.5 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 -0.2 -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 -0.1 -0.3 -0.6 -0.2 -0.7 -0.1 -0.7 LEANHOG -0.4 -0.0 0.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 -0.1 -0.1 -0.2 -0.1 1.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 1.1 -0.1 -0.3 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 -0.2 -0.1 0.1 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 -0.3 0.6 0.6 -0.7 -0.7 -0.5 -0.6 LUMBER-new 0.2 -0.2 -0.5 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.6 -0.1 -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 -0.1 -1.2 -0.2 0.6 -0.1 -0.6 -0.5 -0.8 -0.2 -0.7 MILK -0.2 -0.1 0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.0 -0.5 -0.1 0.0 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.1 -0.5 -0.0 0.3 -0.0 0.1 -0.2 0.1 -0.3 -0.0 -1.1 0.5 0.1 0.1 -0.1 -0.7 -0.7 -0.6 -0.7 MXP -0.6 -0.6 -0.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 0.2 -0.1 0.4 -0.1 -0.1 0.3 0.3 0.3 0.3 -0.1 0.0 -0.1 0.3 -0.1 -2.7 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.1 -0.2 -0.5 -0.2 0.0 0.6 0.4 0.7 0.7 NASDAQ_micro 0.0 -0.5 -0.3 -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 0.0 0.4 0.2 0.3 0.0 -0.4 -0.1 -0.5 NIKKEI -0.5 -0.5 -0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 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 0.3 -0.1 0.4 0.2 -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 -0.1 -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 -0.1 -0.1 -0.0 0.2 -0.2 0.3 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 -0.1 -0.2 -0.0 -0.3 -0.1 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.0 -0.2 -0.1 1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.9 0.1 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 -0.2 -0.4 -0.3 -0.2 0.0 -0.2 0.2 -0.2 -2.7 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -1.1 -0.5 -0.6 -0.4 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 0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.5 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.5 -0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 0.1 -0.5 -0.3 -0.2 -0.2 -0.3 -0.2 0.1 -0.1 PLAT -0.2 -0.2 -0.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.3 -0.0 -0.2 -0.1 -0.1 -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 -0.1 0.2 0.1 0.0 -0.6 0.3 -0.5 REDWHEAT -0.2 -0.6 -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 -0.0 -0.5 -0.4 -0.6 -0.7 -0.7 -0.7 -0.3 RICE -0.1 -0.2 0.3 -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 0.7 0.3 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 -0.0 0.5 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 0.1 0.0 0.5 -0.1 -2.7 -0.0 0.1 0.1 0.0 0.3 -0.0 1.1 -0.0 -0.4 0.2 -0.3 -0.1 -0.4 0.7 -0.0 RUSSELL -0.1 -0.6 -0.3 -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 -0.3 -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 -0.1 -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 -0.6 -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 -0.1 -0.1 0.1 -0.1 -0.1 0.1 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.7 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.7 -0.4 -0.0 0.3 0.1 -0.3 -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 -0.1 -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 -0.1 -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 -0.2 -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 0.1 SOYMEAL -0.0 -0.3 -0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.1 0.0 -0.1 -0.1 0.2 0.3 0.2 0.3 -0.0 -0.0 0.1 -0.0 0.0 -2.7 -0.0 0.1 -0.0 0.1 0.1 0.0 1.1 0.5 0.4 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 0.2 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 -0.3 -0.6 -0.5 0.1 -0.1 0.2 0.5 0.7 SP400 -0.1 -0.6 -0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -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 -1.3 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.2 -0.1 0.2 -0.2 -0.4 -0.5 -0.7 SP500_micro -0.2 -0.6 -0.4 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 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 0.2 0.0 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 0.2 0.2 0.4 0.3 0.3 0.3 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.1 0.2 0.1 0.4 0.0 1.1 0.5 0.4 0.6 0.5 -0.7 -0.7 0.3 0.1 US10 0.0 -0.2 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 -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 -0.1 -0.1 0.0 -0.1 -0.7 -0.7 0.1 0.0 US10U -0.0 -0.3 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.1 -0.0 0.0 -0.0 -0.2 -0.1 -0.1 -0.3 -0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 -0.2 -0.0 -0.1 -0.7 -0.7 0.4 0.5 US2 0.4 0.2 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.5 -0.1 1.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.1 0.3 0.3 0.0 -0.7 -0.7 -0.6 -0.7 US20 -0.2 -0.3 -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 -0.3 -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 -0.3 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 -0.1 -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 -0.1 -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 -0.1 0.1 0.1 0.0 -0.7 -0.7 -0.2 -0.6 VIX 0.8 1.0 1.0 -0.0 0.1 -0.2 0.1 -0.6 0.1 0.1 -0.7 0.1 -1.0 0.1 -0.0 -0.4 -0.6 -0.6 -0.6 -0.0 -0.2 0.1 -0.9 0.1 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 0.1 -0.5 -0.1 -0.2 -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 -0.1 -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 2.6 -2.1 -11.8 -3.2 -3.5 -0.9 -2.7 0.8 -3.2 -4.7 -12.9 -5.5 -9.7 -7.2 -12.7 -3.5 -3.0 -3.4 -3.2 -9.6 -10.7 -5.4 -9.9 -6.9 3.1 -4.6 -2.3 -4.6 -3.1 -4.0 -3.7 -1.4 -2.4 -1.1 2.2 -12.0 -8.1 -20.0 -3.5 4.0 BITCOIN 11.3 -1.8 -8.4 -5.9 2.2 -3.5 -0.7 -0.7 -4.8 18.0 3.4 15.6 6.1 11.6 -10.2 -5.3 -4.5 -5.7 -5.4 -1.7 -2.5 12.2 -1.0 6.2 -20.0 -1.0 10.6 -2.7 8.3 -1.0 4.4 -0.8 -7.3 20.0 13.4 3.0 -3.9 20.0 -2.4 20.0 BOBL 4.7 -4.4 0.7 -2.5 -2.6 -2.1 -2.0 -1.9 -2.3 -5.8 -5.5 0.4 -7.4 -2.7 -3.9 8.0 -5.7 -3.4 -7.4 -4.3 -5.4 -3.5 -8.1 -2.9 8.9 -2.2 -3.7 -2.3 -1.7 -2.9 -1.6 -8.4 4.4 10.4 6.8 6.7 -20.0 -20.0 -15.6 -16.8 BTP -8.5 -19.5 -8.5 -3.5 -3.7 -3.0 -2.9 -2.7 -3.3 -8.1 -5.4 -7.7 -1.5 -9.2 -9.6 6.4 7.5 5.9 6.3 -11.6 -7.5 -8.4 -5.3 -10.7 -6.1 -3.6 -3.7 -2.2 -2.6 -1.2 -3.3 15.5 2.8 0.8 0.9 4.2 -13.0 -20.0 -0.7 8.1 BUND 0.8 -7.9 -2.0 -2.5 -2.6 -2.2 -2.1 -1.9 -2.3 -5.2 -6.5 -0.6 -7.9 -4.2 -5.8 -2.4 6.0 0.4 2.9 -6.0 -6.3 -3.3 -8.3 -4.2 5.7 -2.5 -2.7 -2.2 -1.4 -2.4 -1.8 11.5 6.9 6.6 5.3 4.4 -20.0 -20.0 -19.0 -2.1 BUXL -1.3 -11.9 -4.0 -2.7 -2.8 -2.3 -2.2 -2.0 -2.5 -3.7 -7.9 -1.7 -8.7 -5.0 -6.9 0.4 0.9 0.5 0.9 -9.3 -9.4 -3.5 -10.9 -6.5 1.2 -2.8 -1.6 -2.5 -1.0 -2.3 -2.0 5.3 9.5 3.1 1.1 0.4 -20.0 -20.0 -10.0 19.3 CAC -10.3 -15.3 -13.9 -5.2 -3.1 -2.9 -2.0 -0.0 -4.1 -17.2 -2.0 -18.4 15.6 -18.0 -17.7 -6.0 -2.4 -6.2 -4.8 -15.3 -6.2 -16.4 7.3 -17.2 -5.2 -6.1 -8.2 -2.6 -6.6 2.1 -6.9 4.3 -19.3 -9.3 -1.2 4.1 13.4 2.3 20.0 8.1 CAD -5.5 -4.8 -9.0 -5.0 -5.5 -1.4 -4.2 1.3 -5.0 -11.9 -9.8 -10.8 -12.9 -10.0 -16.5 -2.5 -2.1 -2.4 -2.3 -13.0 -10.3 -10.6 -8.6 -11.8 1.7 -6.2 -6.3 -4.5 -5.2 -3.2 -5.8 0.0 0.8 -9.6 1.9 -17.3 -20.0 -20.0 -19.4 -20.0 CANOLA -14.1 -20.0 4.9 -3.3 1.4 -2.6 -0.9 -2.4 -3.1 4.3 1.4 -3.3 -3.7 -11.1 -7.3 -9.0 6.6 -6.1 0.4 -15.4 -6.5 -4.6 -4.2 -15.6 -20.0 -3.2 -0.0 -1.7 -0.9 -1.7 -3.2 4.6 3.8 -9.3 -17.5 7.9 -7.4 -0.0 13.1 12.3 CHF 6.4 -20.0 -12.7 -4.6 -5.1 -1.3 -3.9 1.2 -4.6 18.3 -9.0 12.2 7.0 -7.9 -14.5 -17.4 -14.5 -16.7 -15.6 -18.3 -11.6 11.2 -0.2 -6.6 -9.4 -5.0 4.0 -3.0 2.7 -0.3 -2.0 -20.0 20.0 0.4 -20.0 -8.0 -20.0 -20.0 -20.0 -20.0 COCOA -11.4 -14.6 1.7 -4.9 2.0 -3.8 -1.3 -3.5 -4.6 16.4 15.0 10.1 17.1 -2.4 5.5 -3.2 -2.4 -3.6 -3.0 7.4 17.7 19.9 20.0 6.9 -13.8 2.9 11.6 8.4 7.8 11.9 2.5 -6.8 20.0 7.3 20.0 20.0 3.2 -7.2 20.0 4.3 COFFEE 2.1 4.5 -10.5 -5.6 2.3 -4.3 -1.5 -4.0 -5.2 19.7 -18.9 7.8 -16.4 -4.2 -14.1 -2.0 1.2 -1.8 -0.3 -9.6 -17.4 19.7 -19.3 3.6 -20.0 -3.3 15.5 -5.1 10.7 -4.5 2.5 -1.3 20.0 7.2 12.7 -17.7 -20.0 -20.0 -20.0 -11.0 COPPER -9.7 -11.6 -8.2 -4.4 1.7 -2.6 -0.5 -0.5 -3.6 -10.3 -14.7 -14.6 -5.0 -15.8 -16.1 -6.8 -3.4 -5.9 -4.7 -16.5 -13.2 -12.0 -9.7 -16.6 -5.8 -5.6 -2.4 -4.2 -4.7 -3.0 -6.2 0.8 -16.4 -7.8 -6.5 1.5 3.7 -20.0 7.7 -20.0 CORN 12.2 -3.5 -20.0 -4.5 1.9 -3.5 -1.3 -3.3 -4.2 -1.2 -16.4 10.3 -15.9 4.4 -15.5 -4.5 2.0 -5.6 -3.2 -7.3 -17.1 3.6 -18.7 2.1 -16.5 -0.9 0.5 -4.2 2.0 -6.6 1.8 -3.1 3.2 20.0 12.2 -10.0 -6.5 0.6 2.5 7.1 COTTON2 -10.5 -3.7 11.1 -4.9 2.0 -3.8 -1.4 -3.6 -4.6 -10.5 11.4 -14.7 -8.7 -11.0 8.3 -7.8 3.7 -2.3 0.6 -0.2 5.1 -15.1 1.5 -9.3 -20.0 0.9 -9.9 4.3 -9.9 3.9 -5.4 1.3 -20.0 -1.3 16.7 19.4 -19.4 -15.3 7.7 9.3 CRUDE_W -20.0 3.9 20.0 2.5 3.2 4.3 0.7 3.4 -0.3 14.7 12.5 2.8 5.3 5.0 11.2 16.1 11.9 16.6 13.6 11.7 14.5 7.9 10.7 5.4 -4.7 3.9 3.6 5.4 1.5 4.7 1.1 -20.0 5.9 7.3 12.7 0.7 20.0 10.3 20.0 8.5 DAX -6.9 -16.1 -17.9 -4.5 -2.7 -2.5 -1.7 -0.0 -3.6 -12.2 -8.3 -13.1 11.7 -14.0 -16.2 -9.8 -7.8 -9.6 -9.0 -16.1 -9.0 -12.0 2.1 -15.0 16.7 -5.8 -5.4 -3.5 -4.1 -0.1 -5.3 -4.1 -12.3 -8.4 -5.9 -7.3 14.9 1.3 20.0 9.8 DOW -9.1 -20.0 -6.4 -4.2 -2.5 -2.3 -1.6 -0.0 -3.3 7.3 -0.9 0.5 9.1 -7.3 -9.9 -11.1 -8.8 -11.4 -10.6 -12.8 -5.8 0.6 0.8 -9.6 -10.0 -3.7 0.5 -1.1 0.2 1.3 -3.0 -6.3 13.1 -5.0 -5.7 11.5 -14.3 -7.2 -20.0 -8.1 DX -0.6 20.0 19.3 -4.7 -5.2 -1.3 -4.0 1.2 -4.8 13.3 17.2 10.3 -5.0 16.5 19.9 7.3 5.7 7.1 6.4 20.0 20.0 9.8 11.7 19.1 -20.0 7.1 2.0 5.6 2.9 3.6 5.4 14.2 -9.8 20.0 20.0 20.0 3.3 7.8 6.5 20.0 EUR 1.0 -18.6 -15.3 -3.7 -4.0 -1.0 -3.1 1.0 -3.7 -5.3 -12.4 -4.6 4.3 -11.8 -14.7 -6.7 -6.9 -6.8 -6.7 -15.9 -11.8 -4.7 -5.5 -11.2 12.4 -5.3 -1.2 -3.7 -1.7 -1.7 -3.8 -7.8 2.1 -3.6 -14.3 -12.8 -9.1 -17.6 -6.3 -3.8 EURIBOR-ICE 4.0 0.3 2.1 -2.5 -2.5 -2.1 -2.0 -1.9 -2.3 -5.8 -3.9 0.8 -6.9 -0.5 0.2 -5.9 -7.8 -7.7 -8.3 -1.6 -3.3 -2.8 -7.5 -0.9 17.1 -1.1 -4.9 -1.7 -1.8 -3.8 -0.7 -10.6 3.9 13.3 11.6 10.3 -20.0 -20.0 9.5 16.3 EUROSTX -3.5 -13.7 -16.1 -4.5 -2.7 -2.5 -1.7 -0.0 -3.6 -11.6 -3.1 -11.4 12.7 -12.7 -15.7 -5.6 -2.1 -5.3 -4.3 -11.5 -5.4 -8.7 5.1 -10.2 4.8 -5.4 -6.6 -2.9 -3.9 1.4 -4.7 5.0 -10.4 2.3 0.4 0.5 10.6 4.0 16.1 13.7 FEEDCOW -20.0 -19.2 3.6 -5.6 2.3 -4.3 -1.5 -4.0 -5.2 -17.4 15.8 -20.0 19.0 -16.6 2.9 -12.2 -20.0 -12.9 -20.0 0.7 20.0 -20.0 20.0 -18.6 -2.3 1.6 -4.0 8.1 -5.8 11.5 -4.4 -20.0 -20.0 -20.0 20.0 20.0 12.8 -5.0 20.0 5.3 GASOIL -20.0 -3.8 20.0 2.1 2.8 3.7 0.6 2.9 -0.3 7.8 11.5 0.3 6.4 0.7 10.6 20.0 20.0 20.0 20.0 10.6 15.4 1.9 12.6 1.7 8.3 3.4 1.4 5.1 0.2 3.9 0.4 0.0 -7.3 3.7 2.8 13.0 -13.2 1.7 -18.0 -4.2 GASOLINE -20.0 -18.9 8.8 2.8 3.7 4.8 0.7 3.9 -0.3 16.0 10.5 -4.8 6.2 -10.3 3.5 16.4 20.0 20.0 20.0 -3.6 8.6 1.3 13.9 -10.7 -20.0 -1.5 5.0 2.9 -0.5 5.3 -4.0 20.0 8.3 -20.0 -20.0 -15.7 20.0 10.4 20.0 5.3 GAS_US_mini 13.6 5.6 17.4 3.7 4.9 6.4 1.0 5.1 -0.5 -16.3 -18.2 5.1 -20.0 4.9 -7.6 -20.0 -20.0 -20.0 -20.0 0.4 -14.8 0.3 -20.0 6.2 20.0 4.1 -7.7 0.7 0.8 -2.9 5.4 -20.0 3.5 20.0 -8.6 -20.0 -4.7 5.8 -11.5 0.5 GBP 1.7 -20.0 -14.1 -4.2 -4.6 -1.2 -3.6 1.1 -4.2 -13.1 -5.2 -6.0 8.2 -13.6 -16.0 -0.7 -0.7 -0.4 -0.5 -17.4 -9.7 -7.6 -1.5 -13.7 0.3 -5.6 -2.7 -3.2 -2.5 -1.1 -4.5 2.8 0.1 -6.6 -20.0 -13.2 -3.5 9.1 2.6 20.0 GOLD_micro 3.4 -2.5 -16.4 -4.0 1.5 -2.4 -0.5 -0.5 -3.3 14.1 -10.4 10.1 0.9 1.6 -7.6 -16.7 -14.6 -17.8 -16.6 -7.8 -8.6 20.0 -3.6 3.1 -6.8 -2.3 10.1 -2.1 6.8 -0.5 0.8 -19.2 20.0 2.5 2.9 -3.0 -10.6 -20.0 -7.3 -20.0 HEATOIL -20.0 -4.2 20.0 2.7 3.5 4.6 0.7 3.7 -0.3 12.7 12.9 3.8 6.5 -1.7 11.5 20.0 20.0 20.0 20.0 11.1 18.1 5.6 15.5 1.3 -20.0 3.1 3.4 6.3 1.0 6.3 -0.4 1.2 -1.3 2.0 -8.0 13.9 6.6 -2.1 -0.5 -6.2 JGB-SGX-mini 1.6 -11.5 -20.0 -3.4 -3.5 -2.9 -2.8 -2.6 -3.1 -2.8 -1.5 1.3 3.6 -3.9 -9.2 20.0 20.0 17.3 17.2 -8.1 -6.0 -2.2 -0.7 -4.3 -1.4 -3.0 -3.5 -2.5 -0.7 -1.3 -1.6 20.0 12.5 13.3 10.0 1.0 -4.1 -13.5 11.4 11.5 JPY 1.0 -10.8 -20.0 -3.8 -4.2 -1.1 -3.2 1.0 -3.9 -14.8 -18.0 -15.4 -16.9 -16.3 -17.6 -19.6 -15.3 -18.4 -17.1 -20.0 -20.0 -10.3 -20.0 -15.5 20.0 -6.6 -2.8 -7.6 -3.3 -7.6 -4.6 -20.0 -13.8 -3.2 -10.2 -20.0 -6.6 -20.0 -3.3 -20.0 LEANHOG -12.5 -1.3 10.5 -2.5 1.0 -2.0 -0.7 -1.8 -2.4 -8.4 -1.9 -8.8 -4.3 -8.0 -5.5 17.6 20.0 20.0 20.0 -5.2 -4.6 -9.6 -6.9 -7.9 10.1 -2.9 -4.6 -3.9 -4.4 -5.9 -3.6 20.0 -5.4 -10.0 2.1 -1.3 -7.8 -2.0 14.1 20.0 LIVECOW -17.5 -9.1 0.8 -5.9 2.4 -4.5 -1.6 -4.2 -5.5 10.7 19.6 -10.0 20.0 -2.1 9.1 -20.0 -4.3 -20.0 -9.5 8.2 20.0 -2.1 20.0 -2.4 0.6 4.7 1.8 12.2 -0.8 16.2 -0.7 -11.1 4.7 -8.4 20.0 20.0 -20.0 -20.0 -14.2 -16.9 LUMBER-new 5.0 -6.6 -12.3 -6.1 2.5 -4.5 -1.7 -3.5 -5.7 -2.8 -20.0 -4.1 -20.0 -16.2 -20.0 -13.9 -14.0 -14.9 -14.4 -14.5 -17.6 -3.9 -15.9 -7.7 NaN -7.0 -3.7 -7.5 -2.3 -5.7 -4.0 -20.0 -8.3 14.8 -3.8 -15.5 -12.6 -20.0 -4.4 -18.9 MILK -6.5 -2.1 5.9 -4.3 1.8 -3.3 -1.2 -3.1 -4.0 13.5 -7.7 3.6 -13.4 -10.8 0.3 -17.5 -20.0 -20.0 -20.0 -7.4 -12.2 9.5 -20.0 -3.4 2.4 -3.2 13.2 -5.7 5.0 -8.8 -0.7 -20.0 20.0 4.3 4.5 -4.3 -20.0 -20.0 -19.1 -20.0 MXP -20.0 -20.0 -20.0 -2.8 -3.1 -0.8 -2.4 0.7 -2.8 -6.9 6.0 -9.4 10.7 -9.9 -7.7 12.9 16.8 14.7 15.8 -7.9 1.6 -9.1 11.0 -11.4 -20.0 -2.9 -3.1 0.7 -3.1 4.2 -4.1 20.0 -9.5 -16.4 -7.6 1.0 17.9 10.5 20.0 20.0 NASDAQ_micro 0.6 -15.1 -10.1 -3.2 -1.9 -1.8 -1.2 -0.0 -2.5 -1.1 7.6 3.3 8.7 -1.9 -5.1 -9.7 -8.5 -10.0 -9.7 -1.5 5.8 0.9 11.2 -0.7 -20.0 -0.7 -2.6 3.2 0.3 6.8 -0.4 -5.3 1.2 11.1 7.4 10.7 0.2 -13.4 -2.2 -16.3 NIKKEI -13.9 -14.5 -10.5 -3.6 -2.2 -2.0 -1.4 -0.0 -2.9 -0.2 10.0 1.9 11.3 -0.9 -1.6 4.0 11.0 8.1 10.1 -1.4 5.9 0.1 11.7 -2.7 -6.9 -1.2 -0.9 3.1 -0.4 6.1 -2.1 20.0 12.7 -3.5 11.2 7.1 -1.3 3.2 -2.9 11.6 NZD 8.3 2.4 -9.9 -3.2 -3.6 -0.9 -2.7 0.9 -3.3 -11.9 -11.7 -9.2 -2.3 -4.8 -11.7 -0.1 0.3 -0.0 0.1 -5.4 -7.5 -9.1 -7.5 -4.3 0.6 -2.6 -9.3 -3.4 -5.6 -3.3 -2.3 4.2 -10.4 9.2 8.5 -5.3 2.9 -15.0 8.2 8.6 OAT -2.0 -9.7 -3.6 -2.8 -2.9 -2.4 -2.3 -2.1 -2.6 -6.0 -7.2 -2.6 -8.5 -5.5 -6.8 5.4 7.9 5.8 6.6 -7.2 -6.9 -4.5 -8.3 -5.6 7.9 -2.8 -3.1 -2.3 -1.8 -2.4 -2.2 16.2 6.1 5.6 5.2 4.5 -20.0 -20.0 -6.6 8.6 OATIES -20.0 -20.0 8.5 -3.0 1.3 -2.3 -0.8 -2.2 -2.8 -10.8 2.5 -12.0 -1.3 -11.9 -7.4 -18.3 -7.6 -17.5 -14.5 -14.0 1.1 -20.0 5.9 -20.0 -20.0 -2.4 -4.8 0.2 -5.4 0.9 -4.7 -20.0 -20.0 -20.0 -13.3 5.2 8.3 12.2 20.0 20.0 OJ 20.0 20.0 20.0 -6.3 2.6 -4.8 -1.7 -4.5 -5.9 17.5 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 3.6 10.1 6.5 10.8 8.5 20.0 20.0 20.0 20.0 20.0 2.7 7.0 17.0 20.0 PALLAD -12.0 0.8 -1.8 -3.0 1.1 -1.8 -0.3 -0.4 -2.5 -10.6 -12.6 -11.6 -13.2 -11.2 -11.5 -3.0 -2.7 -3.0 -2.9 -12.3 -16.2 -11.8 -20.0 -12.8 1.4 -4.1 -3.3 -4.0 -4.5 -4.5 -4.8 2.8 -20.0 -9.1 -6.5 -6.9 -9.9 -7.1 1.7 -2.9 PLAT -6.6 -5.7 -10.8 -3.0 1.2 -1.8 -0.3 -0.4 -2.5 5.6 -11.1 -4.3 -4.8 -8.5 -9.4 -3.9 -2.6 -3.7 -3.3 -8.7 -8.9 -1.2 -6.4 -6.1 12.9 -2.3 0.7 -2.0 -0.6 -1.3 -2.2 2.6 -1.8 -1.6 7.1 2.2 0.8 -17.4 8.1 -14.1 REDWHEAT -7.5 -17.2 -20.0 -4.2 1.7 -3.3 -1.2 -3.1 -3.9 -9.3 -15.5 -12.1 -16.1 -14.3 -16.7 -4.9 0.4 -3.8 -1.7 -20.0 -20.0 -9.1 -16.3 -17.3 -16.0 -5.7 -0.7 -4.8 -2.6 -3.0 -4.8 -3.0 -0.9 -15.2 -13.1 -20.0 -20.0 -19.9 -20.0 -9.8 RICE -3.0 -4.9 10.3 -5.1 2.1 -3.9 -1.4 -3.7 -4.7 9.9 8.6 5.3 4.9 -6.7 5.7 -20.0 9.6 -10.8 3.8 3.1 5.7 1.6 4.7 0.5 -20.0 0.4 1.2 1.8 1.1 1.6 -0.1 12.8 14.4 14.3 13.8 9.8 -4.6 -20.0 15.7 -8.8 ROBUSTA -14.5 -12.2 0.2 -5.0 2.1 -3.9 -1.4 -3.7 -4.7 16.1 10.4 -3.8 14.1 -11.0 -11.0 20.0 20.0 20.0 20.0 -6.8 8.1 1.0 20.0 -10.0 -20.0 -3.2 9.0 2.5 1.0 7.8 -4.1 20.0 -0.3 -13.0 7.3 -9.1 -1.6 -12.1 20.0 -1.0 RUSSELL -3.2 -20.0 -8.0 -3.6 -2.2 -2.0 -1.4 -0.0 -2.9 -3.4 -8.9 -7.5 -6.0 -12.0 -12.5 -7.7 -6.3 -7.9 -7.4 -15.9 -9.8 -8.2 -5.2 -14.6 -2.4 -4.2 -1.8 -2.1 -2.6 -0.3 -4.2 -1.3 -7.1 -8.8 -8.9 3.7 -11.2 -12.1 -20.0 -20.0 SHATZ 10.9 -3.1 -0.7 -2.5 -2.6 -2.2 -2.1 -1.9 -2.3 -7.0 -7.2 -2.2 -8.0 -3.3 -4.4 -20.0 -11.6 -20.0 -18.8 -4.8 -7.7 -5.1 -12.4 -3.1 10.4 -1.9 -4.7 -2.7 -2.3 -4.1 -1.3 -20.0 -0.6 15.9 6.7 7.6 -20.0 -20.0 -18.8 -20.0 SILVER-mini -9.1 -13.9 -10.4 -3.1 2.0 -1.8 -0.4 -0.3 -2.8 11.3 -4.6 1.7 1.6 -5.4 -7.7 -7.1 -6.3 -7.4 -7.0 -8.7 -6.2 5.9 -2.1 -4.9 5.9 -2.2 5.5 -0.9 2.2 0.1 -1.5 -3.8 16.7 1.8 3.3 5.4 -14.4 -20.0 -5.9 -20.0 SMI -6.8 -4.2 -9.0 -4.3 -2.6 -2.4 -1.6 -0.0 -3.4 -12.8 -2.2 -11.0 4.0 -9.8 -12.1 4.5 1.7 1.9 0.9 -8.4 -5.8 -14.3 -2.0 -9.6 5.6 -3.6 -15.5 -2.4 -7.8 -1.8 -4.9 12.3 -17.9 -0.3 9.6 4.1 -7.8 -14.6 -7.9 -9.7 SOFR 0.7 -7.3 -14.9 -2.9 -3.0 -2.5 -2.3 -2.2 -2.6 -7.6 -8.4 -6.6 -6.4 -7.2 -8.3 -0.6 -1.0 -1.2 -1.3 -9.9 -9.1 -11.6 -7.4 -9.5 -1.5 -3.2 -5.8 -2.8 -3.9 -2.2 -3.2 1.6 -5.9 0.3 4.9 1.0 -20.0 -20.0 -6.1 -6.6 SOYBEAN -6.5 -10.5 3.6 -4.4 1.8 -3.4 -1.2 -3.2 -4.1 14.3 5.8 2.9 2.5 -12.7 -3.7 13.6 17.6 11.6 13.5 -5.4 -0.5 0.5 0.4 -6.6 -20.0 -2.2 5.1 -0.1 0.7 0.5 -2.8 20.0 0.4 6.0 3.7 11.0 -20.0 -2.4 -17.4 4.2 SOYMEAL -1.2 -8.0 -4.4 -3.6 1.5 -2.8 -1.0 -2.6 -3.4 12.6 -8.7 7.9 0.8 -5.9 -7.2 9.6 17.0 10.7 14.2 -4.4 -4.2 14.0 -0.2 1.1 -20.0 -1.1 13.6 -0.1 7.3 2.3 1.1 20.0 20.0 11.4 7.0 6.2 -20.0 -20.0 -20.0 -18.7 SOYOIL -20.0 -20.0 5.2 -2.9 1.2 -2.2 -0.8 -2.1 -2.7 4.0 3.2 -5.4 -0.7 -8.9 -5.3 12.0 12.0 13.5 12.3 -11.6 -2.7 -7.6 0.6 -15.5 -20.0 -2.8 0.3 -0.8 -1.7 -0.0 -3.6 17.9 -11.0 -19.2 -15.5 3.1 -3.4 5.3 16.5 20.0 SP400 -1.8 -20.0 -9.7 -3.4 -2.1 -1.9 -1.3 -0.0 -2.7 -0.6 -6.3 -3.4 1.6 -9.8 -10.3 -5.2 -5.1 -5.5 -5.4 -12.2 -6.9 -3.4 -1.8 -10.0 -10.1 -3.5 -0.7 -1.6 -1.3 0.2 -3.3 1.3 -0.1 -4.7 -3.4 7.6 -6.4 -13.1 -16.4 -20.0 SP500_micro -5.5 -20.0 -13.4 -3.9 -2.3 -2.2 -1.5 -0.0 -3.1 2.3 4.8 1.8 8.2 -6.0 -8.2 -11.0 -9.8 -11.6 -11.2 -8.6 -0.5 -0.3 6.1 -6.5 -17.5 -2.8 -1.3 0.5 -0.1 3.2 -2.2 -7.6 7.0 0.5 0.3 11.8 -5.3 -12.3 -6.9 -17.7 SUGAR11 -8.2 10.3 3.0 -5.0 2.1 -3.8 -1.4 -3.6 -4.6 16.0 17.2 11.7 17.4 14.4 15.6 20.0 14.1 17.1 12.7 17.3 20.0 14.7 20.0 13.6 -20.0 5.4 7.8 8.1 6.0 12.5 4.6 20.0 20.0 13.5 20.0 14.0 -20.0 -20.0 7.6 1.9 US10 1.5 -6.6 -14.3 -2.5 -2.6 -2.1 -2.0 -1.9 -2.3 -6.6 -8.0 -6.2 -7.9 -6.7 -7.7 -6.5 -7.3 -8.0 -8.3 -10.7 -10.8 -9.4 -10.4 -9.3 1.1 -2.9 -3.5 -2.7 -2.6 -2.4 -2.7 -10.2 -3.6 -2.5 1.0 -1.9 -20.0 -20.0 3.3 0.0 US10U -0.6 -9.1 -14.0 -3.1 -3.2 -2.7 -2.5 -2.3 -2.9 -8.2 -9.9 -7.9 -9.8 -8.5 -9.7 2.7 -0.4 0.8 -0.3 -14.0 -13.5 -11.2 -12.5 -12.2 -2.5 -3.6 -3.6 -3.3 -2.9 -2.7 -3.2 2.7 -3.1 -5.5 -0.2 -3.8 -20.0 -20.0 11.9 15.7 US2 12.1 6.3 -14.5 -2.6 -2.7 -2.2 -2.1 -2.0 -2.4 -7.2 -8.7 -5.4 -8.7 -6.1 -7.6 -20.0 -20.0 -20.0 -20.0 -9.0 -13.2 -7.9 -16.8 -6.2 8.6 -2.9 -5.1 -4.1 -3.2 -5.3 -2.2 -20.0 -4.4 9.7 7.7 1.5 -20.0 -20.0 -17.7 -20.0 US20 -5.3 -10.2 -14.0 -2.2 -2.3 -1.9 -1.8 -1.7 -2.0 -5.6 -6.9 -5.7 -6.5 -6.0 -6.8 -1.0 -1.9 -2.1 -2.2 -11.2 -10.2 -8.2 -8.7 -9.9 -2.2 -2.5 -1.8 -2.2 -1.7 -1.7 -2.3 0.0 -2.4 -8.7 -3.1 -5.5 -12.5 -20.0 20.0 20.0 US30 -4.8 -9.5 -10.6 -2.3 -2.4 -2.0 -1.9 -1.7 -2.1 -5.7 -7.3 -5.9 -7.0 -6.3 -7.1 -5.0 -4.1 -6.1 -5.4 -10.8 -10.1 -7.4 -9.3 -9.4 -1.7 -2.7 -1.8 -2.4 -1.7 -1.9 -2.3 -4.5 -1.4 -6.7 -1.0 -4.6 -8.9 -20.0 20.0 20.0 US5 5.6 -2.9 -13.4 -2.6 -2.7 -2.3 -2.1 -2.0 -2.4 -7.0 -8.4 -5.9 -8.4 -6.6 -7.8 -11.1 -10.7 -13.0 -12.7 -9.7 -10.7 -9.7 -11.4 -8.3 3.5 -3.0 -4.9 -3.1 -3.3 -3.1 -2.8 -16.7 -4.6 2.9 4.1 0.7 -20.0 -20.0 -6.9 -18.1 VIX 16.4 20.0 20.0 -0.2 6.8 -5.7 5.2 -9.7 3.5 10.2 -15.5 8.6 -17.5 6.8 -0.6 -13.3 -20.0 -20.0 -20.0 -1.9 -12.3 7.8 -20.0 4.5 NaN -0.2 7.8 -6.6 5.8 -11.7 4.0 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 6.7 -14.1 -20.0 -3.8 1.6 -2.9 -1.0 -2.7 -3.5 1.7 -14.1 5.0 -15.1 -8.8 -14.1 -11.1 -10.0 -11.3 -11.0 -14.4 -19.0 -0.4 -20.0 -6.3 -4.6 -4.4 1.0 -5.3 -0.0 -5.3 -2.1 -20.0 4.3 8.9 -4.6 -14.7 -20.0 -14.9 -20.0 -11.2 End of report for caleb_strategy_v3