******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231023_204327 produced at 2023-10-23 21:39:02.075307 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.02 0.0 0.00 0.00 0.00 0.00 -11.90 11.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.19 -0.26 0.0 0.19 -0.19 -0.19 -0.19 -8.20 6.0 -6 -6 caleb_strategy_v3 US2 False True 0.07 0.00 -0.20 0.0 0.00 0.00 0.00 0.00 -2.75 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 -4.37 24.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.05 -0.16 0.0 0.76 -0.76 -0.05 -0.08 -6.03 29.0 -2 -3 caleb_strategy_v3 JPY False False 0.03 -0.24 -0.13 0.0 0.51 -0.51 -0.24 -0.12 -4.33 17.0 -8 -4 caleb_strategy_v3 CHF False False 0.05 -0.30 -0.12 0.0 0.66 -0.66 -0.30 -0.25 -2.46 13.0 -6 -5 caleb_strategy_v3 VIX False False 0.01 -0.10 -0.09 0.0 0.13 -0.13 -0.10 -0.08 -11.57 17.0 -14 -11 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.08 0.0 0.39 -0.39 -0.01 0.00 -13.23 66.0 -1 0 caleb_strategy_v3 US5 False False 0.04 -0.11 -0.08 0.0 0.94 -0.94 -0.11 -0.04 -2.24 25.0 -3 -1 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.07 0.0 0.37 -0.37 0.00 0.00 -9.06 48.0 0 0 caleb_strategy_v3 SP400 False False 0.09 -0.09 -0.07 0.0 0.17 -0.17 -0.09 -0.17 -0.82 2.0 -1 -2 caleb_strategy_v3 RUSSELL False False 0.00 -0.04 -0.07 0.0 0.21 -0.21 -0.04 -0.05 -23.33 68.0 -12 -17 caleb_strategy_v3 LIVECOW False False 0.03 0.00 -0.06 0.0 0.44 -0.44 0.00 -0.03 -2.13 17.0 0 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.65 -0.65 0.00 0.00 -1.22 17.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.02 -0.05 0.0 0.40 -0.40 -0.02 -0.01 -6.78 56.0 -3 -1 caleb_strategy_v3 SMI False False 0.04 -0.08 -0.05 0.0 0.37 -0.37 -0.08 -0.08 -1.18 9.0 -2 -2 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.05 0.0 0.43 -0.43 -0.02 -0.02 -2.33 19.0 -1 -1 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.05 0.0 0.18 -0.18 0.00 0.00 -13.88 51.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.38 -0.04 0.0 0.67 -0.67 -0.38 -0.29 -0.92 14.0 -8 -6 caleb_strategy_v3 BTP False False 0.04 0.00 -0.04 0.0 0.41 -0.41 0.00 0.00 -1.06 10.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.58 12.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.04 0.0 0.34 -0.34 0.00 0.00 -0.93 8.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 0.00 -0.04 0.0 0.08 -0.08 0.00 -0.01 -13.14 26.0 0 -4 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.06 -0.04 0.0 0.24 -0.24 -0.06 -0.06 -3.65 23.0 -6 -6 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.04 0.0 0.01 -0.01 0.00 0.00 -8.45 3.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.03 0.0 0.11 -0.11 -0.02 -0.02 -2.33 9.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 -0.05 -0.03 0.0 0.10 -0.10 -0.05 -0.05 -2.27 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 -0.82 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 -4.55 2.0 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 NZD False False 0.02 0.00 -0.03 0.0 0.44 -0.44 0.00 -0.04 -1.23 21.0 0 -2 caleb_strategy_v3 MXP False False 0.01 0.00 -0.03 0.0 0.59 -0.59 0.00 0.00 -3.53 60.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -2.53 5.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.03 0.0 0.83 -0.83 0.00 0.00 -0.72 19.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.03 0.0 0.16 -0.16 -0.03 -0.04 -1.70 11.0 -2 -3 caleb_strategy_v3 GBP False False 0.03 0.00 -0.03 0.0 0.60 -0.60 0.00 0.00 -0.94 22.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.03 0.0 0.11 -0.11 -0.01 -0.01 -3.71 12.0 -1 -1 caleb_strategy_v3 DAX False False 0.01 0.00 -0.02 0.0 0.33 -0.33 0.00 -0.01 -3.41 58.0 0 -1 caleb_strategy_v3 COFFEE False False 0.02 -0.02 -0.01 0.0 0.13 -0.13 -0.02 0.00 -0.52 6.0 -1 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.49 -0.49 0.00 0.00 -0.28 10.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.14 -0.01 0.0 0.18 -0.18 -0.14 -0.09 -0.17 4.0 -3 -2 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.01 0.0 0.11 -0.11 -0.02 -0.02 -0.68 10.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.26 7.0 -1 -1 caleb_strategy_v3 EUROSTX False False 0.02 0.00 -0.01 0.0 0.31 -0.31 0.00 0.00 -0.37 20.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.69 0.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 -0.01 0.0 0.46 -0.46 0.00 0.00 -0.22 10.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.05 -0.01 0.0 0.16 -0.16 -0.05 -0.05 -0.39 10.0 -3 -3 caleb_strategy_v3 US30 False False 0.04 -0.04 -0.01 0.0 0.24 -0.24 -0.04 -0.12 -0.26 6.0 -1 -3 caleb_strategy_v3 US20 False False 0.04 -0.08 -0.01 0.0 0.35 -0.35 -0.08 -0.08 -0.35 9.0 -2 -2 caleb_strategy_v3 RICE False False 0.01 0.00 -0.00 0.0 0.05 -0.05 0.00 0.00 -0.21 4.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.20 9.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 0.14 -0.14 0.00 0.00 0.19 4.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.01 0.0 0.21 -0.21 0.00 0.00 1.30 23.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.00 0.02 0.0 0.35 -0.35 0.00 0.00 1.77 26.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.02 0.0 0.13 -0.13 0.00 0.00 0.35 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 2.17 18.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.02 0.02 0.0 0.13 -0.13 0.02 0.02 1.51 13.0 2 2 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.03 0.0 0.12 -0.12 0.03 0.00 1.00 4.0 1 0 caleb_strategy_v3 BITCOIN False False 0.00 -0.03 0.03 0.0 0.07 -0.07 -0.03 0.00 25.47 59.0 -27 4 caleb_strategy_v3 NIKKEI False False 0.01 0.07 0.05 0.0 0.27 -0.27 0.07 0.06 6.21 36.0 9 8 caleb_strategy_v3 OJ False False 0.02 0.00 0.06 0.0 0.06 -0.06 0.00 0.00 3.11 3.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.11 0.10 0.0 0.14 -0.14 0.11 0.08 3.52 5.0 4 3 caleb_strategy_v3 DX False False 0.04 0.00 0.10 0.0 37722195.40 -37722195.40 0.00 0.00 2.72 999999999.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.18 0.20 0.0 0.92 -0.92 0.18 0.09 2.16 10.0 2 1 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.41 0.24 0.0 0.55 -0.55 0.41 0.41 7.05 16.0 12 12 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 12.1 Shocked risk 26.7 Sum abs risk 45.4 Leverage 4.52 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2793315.68, 'annual_cash_vol_target': 698328.92, 'daily_cash_vol_target': 43645.5575} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6325 0.6811 10.8983 BITCOIN 778.5808 31505.0000 2.4713 39.5407 BOBL 0.2873 115.6700 0.2483 3.9734 BTP 0.6867 109.2700 0.6284 10.0551 BUND 0.5927 128.3100 0.4619 7.3907 BUXL 1.3813 120.9600 1.1420 18.2717 CAC 57.3837 6855.0000 0.8371 13.3937 CAD 0.0029 0.7315 0.3993 6.3883 CANOLA 7.1870 690.8000 1.0404 16.6462 CHF 0.0049 1.1289 0.4355 6.9679 COCOA 43.5715 3788.0000 1.1502 18.4040 COFFEE 2.4419 165.3000 1.4773 23.6362 COPPER 0.0350 3.5840 0.9752 15.6039 CORN 5.3615 518.5000 1.0340 16.5448 COTTON2 1.1021 82.4000 1.3375 21.3994 CRUDE_W 1.2888 77.6000 1.6608 26.5728 DAX 120.9218 14873.0000 0.8130 13.0085 DOW 210.2308 33216.0000 0.6329 10.1267 DX 0.3934 105.3700 0.3733 5.9731 EUR 0.0052 1.0694 0.4898 7.8364 EURIBOR-ICE 0.0543 96.9850 0.0560 0.8955 EUROSTX 38.5714 4049.0000 0.9526 15.2418 FEEDCOW 2.1716 238.3750 0.9110 14.5759 GASOIL 16.3419 863.5000 1.8925 30.2802 GASOLINE 0.0404 2.2995 1.7588 28.1411 GAS_US_mini 0.0883 3.5150 2.5107 40.1720 GBP 0.0068 1.2253 0.5518 8.8296 GOLD_micro 15.6208 1987.8000 0.7858 12.5734 HEATOIL 0.0468 2.9329 1.5965 25.5448 JGB-SGX-mini 0.2129 144.6000 0.1472 2.3559 JPY 0.0000 0.0067 0.5003 8.0056 LEANHOG 1.2842 70.2000 1.8294 29.2698 LIVECOW 1.6556 180.9750 0.9148 14.6370 LUMBER-new 7.9916 484.5000 1.6494 26.3911 MILK 0.2274 17.9400 1.2676 20.2812 MXP 0.0005 0.0546 0.8556 13.6892 NASDAQ_micro 137.1722 14777.0000 0.9283 14.8525 NIKKEI 338.9750 31075.0000 1.0908 17.4533 NZD 0.0041 0.5850 0.6962 11.1394 OAT 0.6033 122.6300 0.4920 7.8720 OATIES 6.9280 404.0000 1.7148 27.4375 OJ 4.0058 386.6000 1.0362 16.5786 PALLAD 20.1699 1135.5000 1.7763 28.4208 PLAT 12.8708 904.7000 1.4227 22.7626 REDWHEAT 10.2211 679.2500 1.5048 24.0761 RICE 0.1537 16.8500 0.9121 14.5942 ROBUSTA 31.7334 2530.0000 1.2543 20.0685 RUSSELL 19.2847 1685.2000 1.1444 18.3097 SHATZ 0.0860 104.9800 0.0819 1.3103 SILVER-mini 0.3495 23.6500 1.4776 23.6420 SMI 84.7132 10328.0000 0.8202 13.1237 SOFR 0.0812 95.8050 0.0848 1.3568 SOYBEAN 10.6147 1259.5000 0.8428 13.4843 SOYMEAL 4.9878 402.2000 1.2401 19.8420 SOYOIL 0.7871 50.8300 1.5485 24.7753 SP400 24.6867 2395.1000 1.0307 16.4915 SP500_micro 32.0130 4257.0000 0.7520 12.0322 SUGAR11 0.3398 26.1900 1.2974 20.7590 US10 0.4735 106.3906 0.4451 7.1215 US10U 0.6698 109.0781 0.6141 9.8249 US2 0.1086 101.2852 0.1072 1.7157 US20 1.0444 109.8125 0.9511 15.2173 US30 1.5179 112.7812 1.3459 21.5337 US5 0.2954 104.5625 0.2825 4.5202 VIX 0.6705 20.6500 3.2471 51.9544 WHEAT 9.0318 672.0000 1.3440 21.5044 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 632.50 0.68 430.82 1.00 430.82 43645.56 101.31 -8.85 -89.64 BITCOIN 31.50 2.47 77.86 1.00 77.86 43645.56 560.58 4.20 235.20 BOBL 1156.70 0.25 287.25 1.06 303.75 43645.56 143.69 -4.94 -71.02 BTP 1092.70 0.63 686.70 1.06 726.15 43645.56 60.11 -5.18 -31.16 BUND 1283.10 0.46 592.69 1.06 626.74 43645.56 69.64 -3.99 -27.81 BUXL 1209.60 1.14 1381.34 1.06 1460.70 43645.56 29.88 -5.73 -17.12 CAC 685.50 0.84 573.84 1.06 606.80 43645.56 71.93 -6.45 -46.39 CAD 731.50 0.40 292.07 1.00 292.07 43645.56 149.44 -15.54 -232.24 CANOLA 138.16 1.04 143.74 0.73 104.82 43645.56 416.37 -13.70 -570.38 CHF 1411.12 0.44 614.54 1.00 614.54 43645.56 71.02 -13.35 -94.83 COCOA 378.80 1.15 435.71 1.00 435.71 43645.56 100.17 8.27 82.84 COFFEE 619.88 1.48 915.72 1.00 915.72 43645.56 47.66 -9.33 -44.49 COPPER 896.00 0.98 873.82 1.00 873.82 43645.56 49.95 -15.17 -75.75 CORN 259.25 1.03 268.08 1.00 268.08 43645.56 162.81 -9.35 -152.30 COTTON2 412.00 1.34 551.03 1.00 551.03 43645.56 79.21 -10.02 -79.37 CRUDE_W 776.00 1.66 1288.78 1.00 1288.78 43645.56 33.87 9.59 32.46 DAX 148.73 0.81 120.92 1.06 127.87 43645.56 341.33 -2.93 -100.02 DOW 166.08 0.63 105.12 1.00 105.12 43645.56 415.22 -13.71 -569.46 DX 1053.70 0.37 393.37 1.00 393.37 43645.56 110.95 9.45 104.90 EUR 1336.81 0.49 654.74 1.00 654.74 43645.56 66.66 -5.29 -35.29 EURIBOR-ICE 2424.62 0.06 135.70 1.06 143.50 43645.56 304.15 2.09 63.47 EUROSTX 404.90 0.95 385.71 1.06 407.87 43645.56 107.01 -1.02 -10.91 FEEDCOW 1191.88 0.91 1085.79 1.00 1085.79 43645.56 40.20 -6.94 -27.91 GASOIL 863.50 1.89 1634.19 1.00 1634.19 43645.56 26.71 8.62 23.02 GASOLINE 965.79 1.76 1698.65 1.00 1698.65 43645.56 25.69 1.71 4.40 GAS_US_mini 87.88 2.51 220.63 1.00 220.63 43645.56 197.82 -6.13 -121.33 GBP 765.81 0.55 422.61 1.00 422.61 43645.56 103.28 -3.53 -36.41 GOLD_micro 198.78 0.79 156.21 1.00 156.21 43645.56 279.41 -7.11 -198.79 HEATOIL 1231.82 1.60 1966.66 1.00 1966.66 43645.56 22.19 3.61 8.01 JGB-SGX-mini 144600.00 0.15 21291.82 0.01 141.98 43645.56 307.40 2.12 65.12 JPY 843.06 0.50 421.83 1.00 421.83 43645.56 103.47 -16.12 -166.82 LEANHOG 280.80 1.83 513.68 1.00 513.68 43645.56 84.97 2.92 24.78 LIVECOW 723.90 0.91 662.23 1.00 662.23 43645.56 65.91 -9.75 -64.27 LUMBER-new 133.24 1.65 219.77 1.00 219.77 43645.56 198.60 -20.00 -397.20 MILK 358.80 1.27 454.81 1.00 454.81 43645.56 95.97 -12.32 -118.26 MXP 273.10 0.86 233.66 1.00 233.66 43645.56 186.79 -1.29 -24.06 NASDAQ_micro 295.54 0.93 274.34 1.00 274.34 43645.56 159.09 -9.87 -156.99 NIKKEI 31075.00 1.09 33897.50 0.01 226.04 43645.56 193.09 2.97 57.37 NZD 585.05 0.70 407.32 1.00 407.32 43645.56 107.15 -4.43 -47.52 OAT 1226.30 0.49 603.34 1.06 638.00 43645.56 68.41 -0.94 -6.44 OATIES 202.00 1.71 346.40 1.00 346.40 43645.56 126.00 -14.86 -187.18 OJ 579.90 1.04 600.87 1.00 600.87 43645.56 72.64 20.00 145.27 PALLAD 1135.50 1.78 2016.99 1.00 2016.99 43645.56 21.64 -11.18 -24.18 PLAT 452.35 1.42 643.54 1.00 643.54 43645.56 67.82 -1.68 -11.42 REDWHEAT 339.62 1.50 511.05 1.00 511.05 43645.56 85.40 -20.00 -170.81 RICE 337.00 0.91 307.39 1.00 307.39 43645.56 141.99 -0.62 -8.82 ROBUSTA 253.00 1.25 317.33 1.00 317.33 43645.56 137.54 8.09 111.25 RUSSELL 84.26 1.14 96.42 1.00 96.42 43645.56 452.64 -15.55 -703.91 SHATZ 1049.80 0.08 85.98 1.06 90.91 43645.56 480.07 -8.97 -430.51 SILVER-mini 591.25 1.48 873.64 1.00 873.64 43645.56 49.96 -4.05 -20.21 SMI 1032.80 0.82 847.13 1.12 949.89 43645.56 45.95 -7.55 -34.70 SOFR 2395.13 0.08 203.11 1.00 203.11 43645.56 214.89 -9.11 -195.81 SOYBEAN 629.75 0.84 530.74 1.00 530.74 43645.56 82.24 -3.45 -28.36 SOYMEAL 402.20 1.24 498.78 1.00 498.78 43645.56 87.50 -2.46 -21.54 SOYOIL 304.98 1.55 472.25 1.00 472.25 43645.56 92.42 -7.87 -72.72 SP400 2395.10 1.03 2468.67 1.00 2468.67 43645.56 17.68 -13.95 -24.66 SP500_micro 212.85 0.75 160.07 1.00 160.07 43645.56 272.67 -14.30 -389.84 SUGAR11 293.33 1.30 380.57 1.00 380.57 43645.56 114.68 8.88 101.80 US10 1063.91 0.45 473.54 1.00 473.54 43645.56 92.17 -10.43 -96.09 US10U 1090.78 0.61 669.80 1.00 669.80 43645.56 65.16 -8.45 -55.04 US2 2025.70 0.11 217.22 1.00 217.22 43645.56 200.93 -10.81 -217.27 US20 1098.12 0.95 1044.40 1.00 1044.40 43645.56 41.79 -6.65 -27.79 US30 1127.81 1.35 1517.88 1.00 1517.88 43645.56 28.75 -7.00 -20.13 US5 1045.62 0.28 295.40 1.00 295.40 43645.56 147.75 -11.98 -176.98 VIX 206.50 3.25 670.54 1.00 670.54 43645.56 65.09 -7.20 -46.86 WHEAT 336.00 1.34 451.59 1.00 451.59 43645.56 96.65 -18.15 -175.38 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -89.642 0.010 2.5 -2.326 BITCOIN 235.200 0.043 2.5 25.470 BOBL -71.023 0.004 2.5 -0.720 BTP -31.159 0.014 2.5 -1.063 BUND -27.808 0.004 2.5 -0.282 BUXL -17.123 0.004 2.5 -0.174 CAC -46.394 0.014 2.5 -1.582 CAD -232.244 0.010 2.5 -6.026 CANOLA -570.381 0.010 2.5 -13.877 CHF -94.830 0.010 2.5 -2.461 COCOA 82.839 0.009 2.5 1.774 COFFEE -44.492 0.005 2.5 -0.520 COPPER -75.751 0.043 2.5 -8.203 CORN -152.298 0.010 2.5 -3.705 COTTON2 -79.370 0.009 2.5 -1.700 CRUDE_W 32.461 0.043 2.5 3.515 DAX -100.016 0.014 2.5 -3.412 DOW -569.458 0.009 2.5 -13.235 DX 104.904 0.010 2.5 2.722 EUR -35.285 0.010 2.5 -0.916 EURIBOR-ICE 63.468 0.014 2.5 2.165 EUROSTX -10.911 0.014 2.5 -0.372 FEEDCOW -27.914 0.013 2.5 -0.925 GASOIL 23.016 0.017 2.5 0.998 GASOLINE 4.401 0.017 2.5 0.191 GAS_US_mini -121.330 0.043 2.5 -13.139 GBP -36.409 0.010 2.5 -0.945 GOLD_micro -198.792 0.014 2.5 -6.781 HEATOIL 8.012 0.017 2.5 0.347 JGB-SGX-mini 65.124 0.043 2.5 7.052 JPY -166.818 0.010 2.5 -4.328 LEANHOG 24.784 0.024 2.5 1.506 LIVECOW -64.265 0.013 2.5 -2.130 LUMBER-new -397.197 0.009 2.5 -8.452 MILK -118.259 0.009 2.5 -2.533 MXP -24.060 0.059 2.5 -3.532 NASDAQ_micro -156.986 0.009 2.5 -3.649 NIKKEI 57.370 0.043 2.5 6.213 NZD -47.521 0.010 2.5 -1.233 OAT -6.435 0.014 2.5 -0.220 OATIES -187.185 0.010 2.5 -4.554 OJ 145.274 0.009 2.5 3.112 PALLAD -24.185 0.014 2.5 -0.825 PLAT -11.421 0.014 2.5 -0.390 REDWHEAT -170.806 0.005 2.5 -2.266 RICE -8.818 0.010 2.5 -0.215 ROBUSTA 111.250 0.005 2.5 1.299 RUSSELL -703.907 0.013 2.5 -23.327 SHATZ -430.511 0.004 2.5 -4.366 SILVER-mini -20.212 0.014 2.5 -0.689 SMI -34.700 0.014 2.5 -1.184 SOFR -195.807 0.024 2.5 -11.901 SOYBEAN -28.362 0.004 2.5 -0.264 SOYMEAL -21.543 0.004 2.5 -0.200 SOYOIL -72.717 0.004 2.5 -0.677 SP400 -24.660 0.013 2.5 -0.817 SP500_micro -389.839 0.009 2.5 -9.060 SUGAR11 101.803 0.009 2.5 2.165 US10 -96.087 0.005 2.5 -1.218 US10U -55.044 0.005 2.5 -0.698 US2 -217.265 0.005 2.5 -2.753 US20 -27.786 0.005 2.5 -0.352 US30 -20.132 0.005 2.5 -0.255 US5 -176.976 0.005 2.5 -2.243 VIX -46.858 0.099 2.5 -11.567 WHEAT -175.382 0.005 2.5 -2.327 ===================== Position diags ===================== AUD 2.63 BITCOIN 60.71 BOBL 1.46 BTP 2.05 BUND 0.71 BUXL 0.30 CAC 2.45 CAD 3.88 CANOLA 10.13 CHF 1.84 COCOA 2.15 COFFEE 0.56 COPPER 5.41 CORN 3.96 COTTON2 1.70 CRUDE_W 3.67 DAX 11.64 DOW 9.65 DX 2.88 EUR 1.73 EURIBOR-ICE 10.37 EUROSTX 3.65 FEEDCOW 1.33 GASOIL 1.16 GASOLINE 1.11 GAS_US_mini 21.42 GBP 2.68 GOLD_micro 9.53 HEATOIL 0.96 JGB-SGX-mini 33.29 JPY 2.68 LEANHOG 5.16 LIVECOW 2.18 LUMBER-new 4.23 MILK 2.06 MXP 27.42 NASDAQ_micro 3.70 NIKKEI 20.91 NZD 2.78 OAT 2.33 OATIES 3.07 OJ 1.56 PALLAD 0.74 PLAT 2.31 REDWHEAT 1.13 RICE 3.45 ROBUSTA 1.61 RUSSELL 15.00 SHATZ 4.87 SILVER-mini 1.70 SMI 1.57 SOFR 13.06 SOYBEAN 0.76 SOYMEAL 0.81 SOYOIL 0.86 SP400 0.59 SP500_micro 6.34 SUGAR11 2.44 US10 1.17 US10U 0.83 US2 2.55 US20 0.53 US30 0.36 US5 1.87 VIX 16.07 WHEAT 1.28 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.3 -2.6 -2.1 -1.0 -1 BITCOIN 25.5 19.4 31.5 -27.0 -27 BOBL -0.7 -0.9 -0.6 0.0 0 BTP -1.1 -1.3 -0.9 0.0 0 BUND -0.3 -0.4 -0.2 0.0 0 BUXL -0.2 -0.2 -0.1 -3.0 -3 CAC -1.6 -1.8 -1.3 0.0 0 CAD -6.0 -6.4 -5.6 -2.0 -2 CANOLA -13.9 -14.9 -12.9 NaN 0 CHF -2.5 -2.6 -2.3 -6.0 -6 COCOA 1.8 1.6 2.0 0.0 0 COFFEE -0.5 -0.6 -0.5 -1.0 -1 COPPER -8.2 -8.7 -7.7 -6.0 -6 CORN -3.7 -4.1 -3.3 -1.0 -1 COTTON2 -1.7 -1.9 -1.5 -2.0 -2 CRUDE_W 3.5 3.1 3.9 4.0 4 DAX -3.4 -4.6 -2.2 0.0 0 DOW -13.2 -14.2 -12.3 -1.0 -1 DX 2.7 2.4 3.0 NaN 0 EUR -0.9 -1.1 -0.7 -8.0 -8 EURIBOR-ICE 2.2 1.1 3.2 2.0 2 EUROSTX -0.4 -0.7 -0.0 0.0 0 FEEDCOW -0.9 -1.1 -0.8 0.0 0 GASOIL 1.0 0.9 1.1 1.0 1 GASOLINE 0.2 0.1 0.3 0.0 0 GAS_US_mini -13.1 -15.3 -11.0 0.0 0 GBP -0.9 -1.2 -0.7 0.0 0 GOLD_micro -6.8 -7.7 -5.8 -3.0 -3 HEATOIL 0.3 0.3 0.4 0.0 0 JGB-SGX-mini 7.1 3.7 10.4 12.0 12 JPY -4.3 -4.6 -4.1 -8.0 -8 LEANHOG 1.5 1.0 2.0 2.0 2 LIVECOW -2.1 -2.3 -1.9 0.0 0 LUMBER-new -8.5 -8.9 -8.0 NaN 0 MILK -2.5 -2.7 -2.3 NaN 0 MXP -3.5 -6.3 -0.8 0.0 0 NASDAQ_micro -3.6 -4.0 -3.3 -6.0 -6 NIKKEI 6.2 4.1 8.3 9.0 9 NZD -1.2 -1.5 -1.0 0.0 0 OAT -0.2 -0.5 0.0 0.0 0 OATIES -4.6 -4.9 -4.2 NaN 0 OJ 3.1 3.0 3.3 NaN 0 PALLAD -0.8 -0.9 -0.8 -1.0 -1 PLAT -0.4 -0.6 -0.2 -3.0 -3 REDWHEAT -2.3 -2.4 -2.2 -4.0 -4 RICE -0.2 -0.6 0.1 NaN 0 ROBUSTA 1.3 1.1 1.5 0.0 0 RUSSELL -23.3 -24.8 -21.8 -12.0 -12 SHATZ -4.4 -4.9 -3.9 NaN 0 SILVER-mini -0.7 -0.9 -0.5 NaN 0 SMI -1.2 -1.3 -1.0 -2.0 -2 SOFR -11.9 -13.2 -10.6 NaN 0 SOYBEAN -0.3 -0.3 -0.2 -1.0 -1 SOYMEAL -0.2 -0.3 -0.1 0.0 0 SOYOIL -0.7 -0.8 -0.6 -2.0 -2 SP400 -0.8 -0.9 -0.8 -1.0 -1 SP500_micro -9.1 -9.7 -8.4 0.0 0 SUGAR11 2.2 1.9 2.4 0.0 0 US10 -1.2 -1.3 -1.1 NaN 0 US10U -0.7 -0.8 -0.6 0.0 0 US2 -2.8 -3.0 -2.5 NaN 0 US20 -0.4 -0.4 -0.3 -2.0 -2 US30 -0.3 -0.3 -0.2 -1.0 -1 US5 -2.2 -2.4 -2.1 -3.0 -3 VIX -11.6 -13.2 -10.0 -14.0 -14 WHEAT -2.3 -2.5 -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 0.0 -0.1 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.4 -0.1 -0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.1 -0.4 -0.3 -0.7 -0.1 0.1 BITCOIN 0.5 0.1 -0.3 -0.1 0.1 -0.1 0.0 -0.0 -0.0 0.2 0.1 0.2 0.3 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.2 -0.0 0.2 -2.7 0.0 0.2 -0.0 0.2 -0.0 0.1 -0.0 0.5 0.6 0.6 0.1 -0.1 0.7 -0.1 0.7 BOBL 0.1 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.3 -0.0 -0.0 0.2 -0.1 -0.0 -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 0.0 0.3 0.2 0.2 -0.7 -0.7 -0.5 -0.6 BTP -0.2 -0.6 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -0.8 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.8 0.3 0.2 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 -0.1 -0.1 -0.0 0.1 0.0 0.1 -0.1 -0.1 -0.0 -0.2 -0.1 0.8 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.6 0.1 0.2 0.2 0.1 -0.7 -0.7 -0.6 -0.1 BUXL -0.0 -0.4 -0.2 -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 0.1 0.2 0.0 -0.0 -0.7 -0.7 -0.3 0.6 CAC -0.4 -0.5 -0.5 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 -0.1 -0.2 0.5 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.2 0.2 -0.2 -0.7 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.2 -0.1 -0.2 -0.1 0.1 0.4 0.1 0.6 0.3 CAD -0.3 -0.1 -0.3 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.3 -0.2 -0.5 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.1 -0.3 -0.1 0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.5 0.1 -0.6 -0.7 -0.7 -0.6 -0.7 CANOLA -0.4 -0.6 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.2 0.1 -0.1 -0.0 -0.2 -0.1 -0.1 -0.1 -0.2 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 -0.3 -0.4 -0.6 0.1 -0.2 -0.0 0.4 0.4 CHF 0.6 -0.6 -0.4 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 0.2 -0.2 0.2 0.2 -0.0 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 0.2 -0.0 0.0 -1.2 -0.0 0.1 -0.1 0.1 -0.0 0.0 -1.1 0.5 0.6 -0.4 -0.1 -0.7 -0.7 -0.7 -0.7 COCOA 0.1 -0.5 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 0.4 0.2 0.7 0.1 0.1 -0.1 -0.0 -0.1 -0.1 0.1 0.2 0.2 0.5 0.2 -2.0 0.0 0.1 0.2 0.1 0.4 0.1 -0.4 0.5 0.6 0.6 0.6 0.1 -0.2 0.7 0.2 COFFEE 0.5 0.3 -0.3 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 0.2 -0.5 0.2 -0.6 0.1 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.2 0.2 -0.5 0.2 -2.7 0.0 0.2 -0.1 0.2 -0.1 0.1 -0.0 0.5 0.6 0.6 -0.3 -0.7 -0.7 -0.7 -0.4 COPPER -0.3 -0.4 -0.3 -0.0 0.1 -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 -0.2 -0.1 -0.3 -0.2 -0.8 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.5 -0.3 -0.3 0.0 0.1 -0.7 0.2 -0.7 CORN 0.4 -0.0 -0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.5 0.1 -0.6 0.1 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.5 0.0 -2.3 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.2 0.1 0.6 0.5 -0.2 -0.2 0.0 0.1 0.2 COTTON2 -0.5 -0.2 0.3 -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 -0.1 0.0 -0.0 0.0 -0.2 0.0 -0.1 -2.7 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.1 -0.5 -0.3 0.4 0.6 -0.7 -0.5 0.2 0.3 CRUDE_W -0.6 0.0 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.4 0.0 0.2 0.1 0.1 0.3 0.2 0.3 0.3 0.1 0.2 0.1 0.3 0.1 -0.6 0.0 0.0 0.2 0.0 0.2 0.0 -1.1 0.0 0.1 0.5 0.0 0.7 0.3 0.7 0.3 DAX -0.2 -0.6 -0.6 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.3 -0.2 0.4 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 0.0 -0.2 2.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 -0.0 -0.2 -0.2 -0.2 0.4 0.0 0.7 0.3 DOW -0.2 -0.6 -0.3 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.0 -0.2 -1.3 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.3 0.1 -0.1 -0.1 0.3 -0.5 -0.2 -0.7 -0.3 DX -0.3 0.6 0.6 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 0.5 -0.0 -0.2 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 -0.0 0.3 0.1 -2.7 0.1 -0.0 0.2 -0.0 0.1 0.0 0.8 0.0 0.6 0.6 0.6 0.1 0.3 0.2 0.7 EUR 0.2 -0.5 -0.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.1 1.6 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.4 0.4 0.2 -0.3 -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 -0.0 -0.1 0.0 -0.2 -0.0 -0.0 -0.1 -0.2 -0.1 -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 0.0 0.4 0.4 0.4 -0.7 -0.7 0.3 0.6 EUROSTX -0.2 -0.5 -0.6 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 0.4 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.2 0.1 -0.2 0.6 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.3 0.1 0.1 0.0 0.0 0.3 0.1 0.5 0.5 FEEDCOW -0.6 -0.6 -0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 0.3 -0.2 0.6 -0.2 -0.0 -0.3 -0.4 -0.3 -0.4 -0.1 0.1 -0.2 0.5 -0.2 -0.3 -0.0 -0.2 0.1 -0.1 0.3 -0.1 -1.1 -0.5 -0.6 0.3 0.6 0.4 -0.1 0.7 0.2 GASOIL -0.6 -0.2 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.3 0.0 0.2 0.0 0.1 0.4 0.4 0.4 0.4 0.1 0.2 0.0 0.3 0.0 1.1 0.0 0.0 0.1 0.0 0.2 0.0 0.0 0.0 -0.0 0.0 0.4 -0.4 0.0 -0.6 -0.1 GASOLINE -0.6 -0.6 0.3 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.3 0.0 0.2 -0.1 0.0 0.3 0.4 0.4 0.4 -0.0 0.1 0.1 0.4 -0.1 -2.7 -0.0 0.0 0.1 0.0 0.2 -0.0 1.1 0.1 -0.5 -0.6 -0.6 0.7 0.3 0.7 0.2 GAS_US_mini 0.3 0.2 0.6 0.0 0.0 0.2 0.0 0.2 0.0 -0.2 -0.5 -0.1 -0.7 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.0 -0.2 -0.2 -0.5 -0.1 2.7 0.0 -0.2 -0.0 -0.1 -0.1 -0.0 -1.1 -0.5 0.6 -0.4 -0.6 -0.2 0.2 -0.4 0.0 GBP 0.2 -0.6 -0.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.2 -0.0 0.3 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.0 -0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.1 0.2 0.1 -0.5 -0.4 -0.1 0.3 0.1 0.7 GOLD_micro 0.6 0.1 -0.5 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.1 -0.2 0.1 0.0 0.1 -0.0 -0.3 -0.3 -0.3 -0.3 -0.0 -0.1 0.2 -0.1 0.1 -0.8 -0.0 0.1 -0.0 0.1 -0.0 0.0 -1.0 0.5 0.4 0.3 0.0 -0.4 -0.7 -0.3 -0.7 HEATOIL -0.6 -0.2 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.4 0.1 0.3 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 0.3 0.0 0.1 0.2 0.0 -0.3 0.4 0.2 -0.1 -0.0 -0.2 JGB-SGX-mini 0.0 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 0.4 0.4 0.3 0.3 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 0.1 0.3 0.3 -0.0 -0.1 -0.5 0.4 0.4 JPY 0.1 -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 -0.1 -1.1 -0.1 -0.1 -0.3 -0.6 -0.2 -0.7 -0.1 -0.7 LEANHOG -0.5 -0.2 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.1 0.4 0.4 0.4 -0.1 -0.1 -0.1 -0.2 -0.1 1.4 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 1.1 -0.5 -0.4 0.0 -0.1 -0.3 -0.1 0.5 0.7 LIVECOW -0.6 -0.6 -0.3 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.2 0.5 -0.2 0.7 -0.1 0.0 -0.4 -0.1 -0.4 -0.2 0.0 0.1 -0.2 0.5 -0.1 0.1 0.0 -0.2 0.2 -0.1 0.4 -0.1 -0.6 -0.5 -0.6 0.6 0.6 -0.7 -0.7 -0.4 -0.5 LUMBER-new -0.0 -0.2 -0.5 -0.1 -0.0 -0.2 -0.0 -0.2 -0.1 -0.2 -0.6 -0.2 -0.7 -0.3 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.2 -0.5 -0.2 NaN -0.1 -0.2 -0.2 -0.1 -0.2 -0.1 -1.2 -0.6 -0.1 -0.1 -0.6 -0.5 -0.8 -0.2 -0.7 MILK 0.1 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 0.0 -0.4 -0.1 0.0 -0.2 -0.4 -0.4 -0.4 -0.1 -0.1 0.1 -0.5 0.0 0.3 -0.0 0.0 -0.1 0.0 -0.3 0.0 -1.1 0.4 0.4 0.2 0.1 -0.7 -0.7 -0.7 -0.7 MXP -0.6 -0.6 -0.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.1 -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 -0.4 -0.0 0.5 0.4 0.7 0.7 NASDAQ_micro 0.0 -0.6 -0.5 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 0.2 -0.1 0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 0.0 -0.1 0.3 -0.1 -2.7 -0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.3 -0.0 0.4 0.3 0.3 0.0 -0.4 -0.0 -0.5 NIKKEI -0.4 -0.6 -0.4 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 0.2 -0.0 0.4 -0.0 -0.0 0.1 0.2 0.2 0.2 -0.0 0.1 -0.1 0.3 -0.1 -0.9 -0.0 -0.1 0.1 -0.0 0.2 -0.0 1.1 0.5 0.0 0.4 0.2 -0.1 0.1 -0.1 0.4 NZD 0.0 0.1 -0.4 -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 -0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.2 -0.5 0.0 0.2 -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 -0.1 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 0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.2 -0.0 -0.2 0.1 -0.2 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -1.1 -0.5 -0.6 -0.6 0.1 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 0.1 0.3 0.1 0.4 0.1 1.1 0.5 0.6 0.6 0.6 0.1 0.2 0.6 0.7 PALLAD -0.5 0.1 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 -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 0.2 -0.4 -0.5 -0.3 -0.2 -0.3 -0.2 0.1 -0.1 PLAT -0.1 -0.2 -0.4 -0.0 0.0 -0.1 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 -0.0 1.8 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.1 -0.1 0.1 0.1 0.0 -0.6 0.3 -0.5 REDWHEAT -0.1 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.5 -0.1 -0.6 -0.2 -0.2 -0.1 0.0 -0.1 -0.0 -0.2 -0.2 -0.1 -0.5 -0.2 -2.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.2 -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 -0.0 0.1 0.3 0.1 0.2 -0.1 0.1 -0.4 0.2 -0.2 0.0 0.0 0.1 0.1 0.1 0.0 -2.7 0.0 0.1 0.1 0.1 0.1 0.0 0.6 0.4 0.6 0.5 0.4 -0.1 -0.7 0.5 -0.3 ROBUSTA -0.1 -0.3 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 0.3 0.1 0.5 0.0 -0.0 0.4 0.4 0.4 0.4 0.0 0.1 0.2 0.5 0.1 -2.7 0.0 0.2 0.1 0.2 0.2 0.1 1.1 0.5 0.6 0.6 -0.1 -0.1 -0.4 0.7 -0.0 RUSSELL -0.2 -0.6 -0.4 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -0.3 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.2 0.1 -0.4 -0.4 -0.7 -0.7 SHATZ 0.3 -0.1 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 -0.4 -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 -0.1 0.5 0.2 0.3 -0.7 -0.7 -0.6 -0.7 SILVER-mini -0.0 -0.4 -0.4 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.1 0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 0.0 0.8 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.2 0.5 0.1 0.1 0.2 -0.5 -0.7 -0.2 -0.7 SMI -0.4 -0.2 -0.4 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 0.1 0.0 0.0 0.0 -0.1 -0.1 -0.2 -0.1 -0.2 0.7 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 0.7 -0.5 -0.4 0.1 0.1 -0.2 -0.5 -0.2 -0.3 SOFR 0.0 -0.2 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 0.0 0.1 0.0 -0.7 -0.7 -0.2 -0.2 SOYBEAN -0.1 -0.4 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.2 0.1 0.1 -0.1 -0.1 0.3 0.4 0.2 0.3 -0.1 -0.0 0.0 0.0 -0.0 -2.7 -0.0 0.0 -0.0 0.0 0.0 -0.0 1.1 0.2 0.2 0.1 0.3 -0.7 -0.1 -0.6 0.1 SOYMEAL 0.3 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.1 0.0 0.0 -0.0 0.2 0.3 0.2 0.3 0.0 -0.0 0.2 0.0 0.1 -2.7 0.0 0.1 0.0 0.1 0.1 0.0 1.1 0.5 0.6 0.3 0.2 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.6 -0.6 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 0.2 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 0.9 -0.3 -0.6 -0.6 -0.0 -0.1 0.2 0.5 0.7 SP400 -0.1 -0.6 -0.4 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -1.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.1 -0.1 -0.1 -0.1 0.2 -0.2 -0.4 -0.5 -0.7 SP500_micro -0.1 -0.6 -0.6 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 0.1 -0.1 0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 -0.2 0.1 -0.1 -2.3 -0.0 -0.1 -0.0 -0.1 0.1 -0.0 -0.4 -0.0 0.1 0.0 0.3 -0.2 -0.4 -0.2 -0.6 SUGAR11 -0.2 0.2 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.5 0.1 0.6 0.2 0.2 0.4 0.3 0.4 0.3 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.5 0.1 1.1 0.2 0.4 0.6 0.6 -0.7 -0.7 0.3 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 -0.1 -0.0 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 -0.0 -0.3 -0.1 -0.3 -0.1 -0.1 0.0 -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 -0.1 -0.0 -0.1 -0.7 -0.7 0.4 0.5 US2 0.4 0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.0 -0.4 -0.1 1.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.0 0.4 0.3 0.1 -0.7 -0.7 -0.5 -0.7 US20 -0.0 -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 -0.2 -0.1 -0.2 -0.4 -0.7 0.7 0.7 US30 -0.0 -0.3 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -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 -0.1 -0.1 -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 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.3 -0.1 0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.9 -0.1 0.1 0.2 0.0 -0.7 -0.7 -0.3 -0.6 VIX 0.9 1.0 1.0 0.0 0.1 -0.2 0.1 -0.5 0.1 0.1 -0.6 0.2 -1.0 0.2 0.1 -0.5 -0.6 -0.6 -0.6 0.0 -0.2 0.2 -0.8 0.2 NaN 0.0 0.1 -0.2 0.1 -0.6 0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.3 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.4 0.1 -0.6 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 0.0 -0.5 -0.0 -0.7 -0.0 0.0 -0.2 0.0 -0.2 -0.0 -1.1 0.0 0.3 0.0 -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 0.2 -2.6 -12.8 -3.4 -3.4 -1.1 -3.3 0.7 -3.6 -8.9 -13.1 -8.1 -10.0 -8.7 -13.1 -3.4 -3.0 -3.4 -3.2 -10.2 -11.2 -6.8 -10.5 -7.8 3.2 -4.8 -3.5 -4.8 -3.6 -4.1 -4.0 -1.4 -3.6 -1.6 2.5 -11.2 -7.6 -20.0 -2.8 4.0 BITCOIN 15.3 2.8 -7.7 -5.1 9.2 -3.6 4.1 -0.9 -2.1 20.0 4.7 20.0 7.1 18.2 -5.1 -5.6 -4.5 -5.8 -5.5 4.1 -0.1 20.0 -0.2 17.1 -20.0 2.3 20.0 -0.8 17.3 -0.4 9.4 -0.7 20.0 20.0 20.0 3.0 -3.4 20.0 -1.8 20.0 BOBL 2.8 -4.5 1.0 -2.5 -0.5 -2.2 -1.6 -1.9 -2.3 -1.9 -5.7 -0.5 -7.4 -3.4 -4.1 8.8 -5.2 -1.6 -6.2 -4.6 -5.5 -2.7 -8.2 -3.5 8.8 -2.3 -0.3 -2.3 -1.3 -3.0 -1.8 -7.2 0.2 10.6 7.1 7.2 -20.0 -20.0 -15.3 -17.2 BTP -4.8 -19.4 -9.9 -3.6 -0.7 -3.1 -2.3 -2.7 -3.2 -2.1 -6.2 -5.1 -1.8 -9.3 -9.7 6.7 7.5 6.1 6.3 -11.7 -8.1 -5.1 -5.8 -10.0 -6.1 -3.6 0.3 -2.4 -1.6 -1.3 -3.1 15.4 10.6 4.8 1.3 4.1 -13.2 -20.0 -0.7 7.6 BUND -0.0 -8.2 -2.6 -2.6 -0.5 -2.2 -1.7 -2.0 -2.3 -3.1 -6.7 -1.9 -8.0 -5.1 -6.1 -2.4 5.8 0.1 2.7 -6.4 -6.8 -3.3 -8.8 -4.9 5.7 -2.6 -0.4 -2.4 -1.3 -2.5 -2.0 10.9 3.1 7.5 5.3 4.4 -20.0 -20.0 -19.4 -2.3 BUXL -0.5 -12.1 -4.8 -2.7 -0.5 -2.4 -1.8 -2.1 -2.5 -5.0 -8.0 -2.5 -8.9 -5.8 -7.2 0.4 0.9 0.5 0.9 -9.9 -10.1 -4.3 -11.6 -7.2 1.2 -2.9 -0.5 -2.6 -1.2 -2.4 -2.1 5.1 6.0 5.2 1.0 -0.3 -20.0 -20.0 -10.5 18.6 CAC -12.0 -16.9 -16.9 -5.6 -10.1 -3.1 -7.7 -0.3 -6.3 -17.3 -4.6 -19.4 14.7 -19.4 -18.7 -4.9 -2.4 -5.8 -4.6 -19.4 -8.6 -20.0 5.8 -20.0 -5.2 -6.5 -11.5 -2.9 -10.2 1.2 -8.5 4.4 -5.8 -6.9 -2.6 2.7 12.1 2.6 19.2 8.4 CAD -7.8 -3.7 -10.6 -5.3 -1.7 -1.8 -3.9 1.0 -5.3 -12.3 -11.4 -14.5 -13.4 -13.6 -17.9 -2.5 -2.1 -2.4 -2.3 -14.5 -11.5 -11.0 -9.4 -13.5 1.8 -6.6 -2.3 -4.9 -5.1 -3.4 -6.3 0.0 -2.2 -16.4 3.2 -17.5 -20.0 -20.0 -18.0 -20.0 CANOLA -11.7 -20.0 -0.0 -3.2 -0.6 -2.7 -0.9 -2.6 -2.6 -11.2 0.5 -10.3 -3.8 -12.3 -9.1 -10.7 6.0 -7.1 -0.5 -16.7 -7.9 -16.3 -4.8 -18.7 -20.0 -3.5 -5.0 -2.0 -3.6 -1.8 -4.0 3.6 -13.3 -13.2 -20.0 3.9 -7.4 -0.7 13.3 11.5 CHF 18.5 -20.0 -13.7 -4.8 -1.5 -1.7 -3.6 0.9 -4.8 17.7 -8.4 17.6 6.7 -2.5 -12.0 -17.3 -14.6 -16.7 -15.7 -11.9 -9.6 20.0 -0.2 3.6 -9.3 -3.6 6.7 -2.7 5.9 -0.3 0.8 -20.0 20.0 20.0 -13.0 -4.1 -20.0 -20.0 -20.0 -20.0 COCOA 4.2 -14.0 0.7 -5.1 -0.9 -4.3 -1.4 -4.0 -4.1 18.4 16.6 17.8 18.3 6.6 9.3 -3.4 -2.5 -3.6 -3.0 13.4 20.0 20.0 20.0 18.9 -15.0 4.6 14.7 8.3 11.8 11.2 6.2 -6.7 20.0 20.0 20.0 20.0 3.9 -6.6 20.0 4.9 COFFEE 15.1 8.6 -8.1 -5.6 -1.0 -4.7 -1.5 -4.4 -4.5 20.0 -17.9 18.4 -16.4 8.3 -6.1 -0.6 1.3 -1.3 -0.1 -1.4 -14.1 20.0 -18.4 18.6 -20.0 0.6 18.4 -2.7 15.8 -3.1 7.9 -0.9 20.0 20.0 20.0 -10.6 -20.0 -20.0 -20.0 -11.1 COPPER -10.2 -12.9 -9.6 -4.0 7.2 -2.8 3.2 -0.7 -1.6 -7.4 -16.1 -15.4 -5.6 -17.2 -17.6 -7.5 -3.5 -6.3 -5.0 -17.9 -14.8 -10.8 -10.9 -16.7 -6.0 -6.1 -1.5 -4.6 -4.2 -3.3 -6.2 0.7 -20.0 -8.9 -10.3 0.8 3.4 -20.0 7.5 -20.0 CORN 12.5 -0.7 -20.0 -4.7 -0.9 -3.9 -1.2 -3.7 -3.8 -3.1 -17.0 9.3 -16.5 7.4 -15.2 -4.3 1.9 -5.4 -3.2 -5.8 -16.5 4.2 -19.1 3.3 -17.3 -0.1 0.0 -4.0 2.6 -6.8 2.6 -3.1 2.8 18.5 15.6 -7.2 -6.7 0.1 2.9 6.7 COTTON2 -14.7 -5.4 10.2 -4.7 0.7 -3.9 -0.7 -3.7 -3.9 -14.6 10.4 -15.6 -8.5 -13.0 5.5 -8.7 3.4 -3.0 0.2 -2.4 3.8 -18.3 1.1 -12.0 -20.0 -0.6 -13.0 3.2 -11.1 3.3 -6.7 0.9 -20.0 -9.4 13.4 17.9 -19.8 -15.1 6.6 8.9 CRUDE_W -20.0 1.1 20.0 2.7 0.3 4.7 0.7 3.9 0.3 6.3 13.1 4.1 6.1 5.9 11.8 13.6 11.7 15.7 13.3 12.8 15.8 6.3 12.0 7.0 -4.8 4.2 0.4 5.9 1.2 5.3 1.6 -20.0 1.3 4.3 15.2 0.2 20.0 10.2 20.0 8.7 DAX -7.4 -18.0 -20.0 -4.9 -8.8 -2.7 -6.7 -0.3 -5.5 -16.3 -9.8 -16.7 10.9 -16.1 -16.9 -9.6 -7.9 -9.6 -9.0 -19.2 -10.8 -20.0 1.0 -20.0 16.4 -6.0 -9.2 -3.6 -7.5 -0.4 -6.6 -4.2 -0.4 -6.0 -5.6 -6.4 13.3 1.4 20.0 9.9 DOW -5.9 -20.0 -9.9 -4.4 -8.1 -2.5 -6.1 -0.3 -5.0 -14.3 -2.4 -9.5 8.3 -11.0 -11.4 -10.9 -8.9 -11.3 -10.5 -14.7 -7.2 -16.3 -0.1 -15.6 -9.7 -4.2 -6.9 -1.5 -4.9 0.9 -4.7 -6.4 5.0 -2.1 -2.6 10.7 -14.6 -7.3 -20.0 -8.2 DX -7.9 17.0 20.0 -5.0 -1.6 -1.7 -3.7 1.0 -5.0 -11.5 17.2 -3.8 -4.7 14.1 19.1 7.2 5.8 7.1 6.5 20.0 19.9 -3.4 11.8 11.6 -20.0 6.7 -5.1 5.8 -0.9 3.9 3.7 14.3 0.8 20.0 20.0 20.0 3.7 7.9 7.0 20.0 EUR 6.8 -14.9 -16.1 -3.9 -1.3 -1.3 -2.9 0.8 -3.9 11.5 -12.3 6.8 4.1 -9.4 -13.9 -6.7 -6.9 -6.8 -6.7 -13.2 -11.2 4.9 -5.6 -5.7 12.3 -4.8 5.0 -3.9 1.6 -1.9 -2.2 -7.8 18.6 5.2 -9.6 -11.5 -9.5 -17.5 -6.9 -4.1 EURIBOR-ICE 3.3 0.0 2.8 -2.5 -0.5 -2.2 -1.6 -1.9 -2.2 -0.6 -4.1 0.1 -6.9 -1.3 -0.1 -5.4 -7.7 -7.4 -8.1 -1.9 -3.4 -1.5 -7.4 -1.5 17.1 -1.3 0.7 -1.8 -1.0 -3.9 -1.1 -10.5 0.6 13.1 11.9 11.3 -20.0 -20.0 8.3 16.9 EUROSTX -4.8 -14.7 -18.4 -4.9 -8.8 -2.7 -6.7 -0.3 -5.5 -15.7 -4.9 -15.8 12.1 -15.4 -16.5 -5.5 -2.2 -5.4 -4.3 -14.2 -7.0 -19.4 4.3 -16.0 4.7 -5.7 -9.8 -3.1 -7.8 0.8 -6.4 4.8 5.6 4.6 1.5 0.8 9.3 4.1 14.4 13.7 FEEDCOW -20.0 -20.0 -10.0 -5.0 -0.9 -4.2 -1.3 -3.9 -4.0 -18.0 12.1 -19.9 16.3 -17.8 -3.7 -12.9 -20.0 -13.1 -20.0 -8.0 11.1 -20.0 20.0 -20.0 -2.2 -1.3 -17.9 4.5 -12.7 7.7 -7.6 -20.0 -20.0 -20.0 9.4 20.0 13.5 -4.3 20.0 6.0 GASOIL -20.0 -4.9 20.0 2.3 0.3 3.8 0.6 3.2 0.2 4.7 11.5 3.0 6.8 2.1 10.7 20.0 20.0 20.0 20.0 10.3 14.9 3.0 12.6 3.2 8.2 3.5 0.4 5.3 0.7 4.2 0.8 0.0 1.2 -0.5 0.9 12.6 -11.9 1.5 -17.3 -4.4 GASOLINE -20.0 -20.0 8.1 3.1 0.4 5.2 0.8 4.3 0.3 11.8 10.5 0.8 6.7 -7.1 3.7 12.8 20.0 20.0 20.0 -1.9 8.9 6.0 14.6 -4.7 -20.0 -1.2 2.1 3.1 1.0 5.8 -2.4 20.0 4.1 -14.8 -20.0 -17.6 20.0 10.3 20.0 5.5 GAS_US_mini 8.9 7.1 20.0 3.9 0.5 6.6 1.1 5.5 0.4 -20.0 -18.8 -13.7 -20.0 -7.2 -11.7 -20.0 -20.0 -20.0 -20.0 -3.7 -14.7 -19.3 -20.0 -5.9 20.0 1.2 -18.8 -0.1 -11.3 -2.9 -2.1 -20.0 -20.0 20.0 -13.3 -20.0 -5.6 5.9 -12.2 0.7 GBP 6.2 -20.0 -15.5 -4.4 -1.4 -1.5 -3.3 0.9 -4.4 -1.5 -6.7 -1.2 7.8 -13.1 -16.0 -0.9 -0.8 -0.5 -0.5 -16.2 -10.0 -1.8 -2.0 -10.9 0.4 -5.5 2.3 -3.5 -0.7 -1.3 -3.8 2.8 8.5 3.9 -17.0 -12.4 -3.8 8.3 2.4 20.0 GOLD_micro 20.0 1.8 -15.5 -3.1 5.6 -2.2 2.5 -0.5 -1.3 12.9 -7.9 13.2 1.2 7.8 -2.3 -15.8 -14.6 -17.4 -16.5 -1.3 -5.8 20.0 -2.8 13.2 -6.3 -0.4 7.4 -1.3 7.7 -0.3 3.4 -18.9 20.0 12.4 8.7 0.8 -10.6 -20.0 -7.8 -20.0 HEATOIL -20.0 -7.1 20.0 2.9 0.4 5.0 0.8 4.1 0.3 8.2 13.3 7.0 7.2 0.5 12.1 20.0 20.0 20.0 20.0 12.0 18.8 6.0 16.4 4.1 -20.0 3.4 0.7 6.7 1.3 6.9 0.4 1.2 10.0 0.4 -10.4 13.1 7.3 -2.1 -0.3 -6.3 JGB-SGX-mini 0.7 -13.1 -20.0 -3.4 -0.7 -2.9 -2.2 -2.5 -3.0 -8.0 -2.8 -6.2 3.2 -6.8 -9.6 20.0 20.0 17.3 17.2 -9.3 -6.7 -9.3 -1.2 -8.1 -1.5 -3.3 -4.1 -2.6 -3.3 -1.3 -2.9 20.0 3.8 8.0 8.7 -0.1 -2.9 -14.3 11.7 12.1 JPY 3.2 -10.5 -20.0 -4.3 -1.4 -1.5 -3.2 0.8 -4.3 -12.6 -19.1 -15.8 -18.0 -17.7 -18.8 -19.9 -15.5 -18.7 -17.3 -20.0 -20.0 -8.6 -20.0 -15.6 20.0 -7.0 -1.0 -8.2 -2.7 -8.4 -4.6 -20.0 -3.7 -2.1 -9.7 -20.0 -7.2 -20.0 -3.7 -20.0 LEANHOG -16.2 -4.8 7.3 -2.6 -0.5 -2.2 -0.7 -2.0 -2.1 -9.3 -2.4 -10.0 -4.7 -9.4 -7.1 4.6 20.0 20.0 20.0 -7.3 -5.8 -12.9 -7.7 -10.9 10.4 -3.2 -5.3 -3.7 -5.1 -5.2 -4.2 20.0 -20.0 -11.9 1.5 -2.4 -8.0 -2.4 13.8 20.0 LIVECOW -20.0 -17.5 -10.7 -5.4 -1.0 -4.5 -1.4 -4.2 -4.3 -18.1 16.8 -17.8 18.9 -10.1 2.5 -20.0 -4.7 -20.0 -10.0 0.1 12.1 -20.0 18.0 -12.7 0.4 0.9 -20.0 7.7 -13.4 11.5 -6.0 -11.8 -20.0 -20.0 20.0 20.0 -20.0 -20.0 -12.1 -15.9 LUMBER-new -0.1 -6.2 -12.6 -6.0 -1.1 -4.8 -1.6 -3.8 -4.9 -20.0 -20.0 -17.9 -20.0 -20.0 -20.0 -15.8 -14.3 -15.6 -14.8 -16.7 -18.4 -19.1 -16.3 -14.6 NaN -7.6 -16.5 -7.3 -10.6 -5.4 -7.5 -20.0 -19.7 -2.5 -3.4 -17.1 -13.1 -20.0 -5.3 -18.6 MILK 3.7 -3.6 0.4 -4.0 -0.7 -3.3 -1.1 -3.1 -3.2 0.6 -7.0 4.5 -12.3 -7.6 1.2 -12.3 -20.0 -17.9 -20.0 -4.7 -10.5 7.2 -18.9 0.4 2.6 -1.8 2.9 -5.0 4.6 -8.3 1.2 -20.0 15.5 11.3 6.6 2.2 -20.0 -20.0 -20.0 -20.0 MXP -18.0 -20.0 -20.0 -3.0 -1.0 -1.0 -2.2 0.6 -3.0 -4.8 5.3 -9.8 10.5 -10.8 -8.9 12.7 16.7 14.5 15.6 -9.1 0.6 -7.9 10.8 -11.7 -20.0 -3.1 -0.6 0.3 -2.6 3.9 -4.0 20.0 9.7 -15.2 -11.7 -0.1 16.3 11.0 20.0 20.0 NASDAQ_micro 0.5 -18.0 -14.5 -3.4 -6.2 -1.9 -4.8 -0.2 -3.9 -8.6 6.9 -5.9 8.4 -6.1 -6.9 -9.7 -8.6 -9.9 -9.7 -3.9 4.4 -11.1 10.4 -6.8 -20.0 -1.6 -6.8 2.4 -4.8 6.0 -2.9 -5.4 -1.2 13.8 7.9 10.3 0.6 -13.2 -1.4 -16.1 NIKKEI -11.9 -17.5 -12.6 -3.8 -6.9 -2.1 -5.3 -0.2 -4.3 -11.1 9.2 -1.9 10.6 -3.1 -2.7 3.7 10.8 7.7 9.8 -2.8 4.8 -8.6 11.0 -6.0 -6.8 -1.7 -5.6 2.5 -3.7 5.6 -3.2 20.0 20.0 0.8 12.2 7.0 -1.8 3.0 -3.1 11.6 NZD 1.4 2.6 -11.1 -3.3 -1.1 -1.1 -2.5 0.7 -3.3 -10.9 -11.8 -11.6 -2.5 -8.7 -12.2 -0.1 0.3 -0.0 0.1 -7.2 -8.1 -11.6 -7.8 -7.8 0.7 -3.3 -5.7 -3.5 -6.3 -3.2 -4.1 4.2 -18.8 0.2 7.2 -5.0 3.4 -15.2 8.8 8.5 OAT -2.3 -10.3 -4.4 -2.9 -0.6 -2.5 -1.8 -2.2 -2.6 -3.8 -7.5 -3.5 -8.7 -6.4 -7.2 5.8 7.9 5.9 6.6 -7.7 -7.5 -4.1 -8.8 -6.2 8.0 -2.9 -0.5 -2.5 -1.5 -2.6 -2.4 16.0 4.7 6.9 5.1 4.5 -20.0 -20.0 -7.0 8.9 OATIES -20.0 -20.0 4.9 -3.0 0.4 -2.5 -0.5 -2.3 -2.4 -6.6 1.8 -10.4 -1.5 -11.7 -8.2 -18.4 -7.8 -17.7 -14.7 -15.0 -0.4 -20.0 5.0 -20.0 -20.0 -2.6 -1.5 -0.1 -4.0 0.8 -4.5 -20.0 -20.0 -20.0 -19.5 2.8 8.5 11.8 20.0 20.0 OJ 20.0 20.0 20.0 -6.3 -1.2 -5.3 -1.7 -5.0 -5.1 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 9.9 7.0 10.2 7.9 10.7 9.0 20.0 20.0 20.0 20.0 20.0 2.5 7.4 16.9 20.0 PALLAD -16.6 1.6 1.2 -2.6 4.7 -1.9 2.1 -0.4 -1.1 -4.3 -12.8 -10.8 -13.3 -11.3 -11.8 -3.0 -2.7 -3.0 -2.9 -13.2 -16.4 -11.5 -20.0 -13.6 1.8 -4.2 -1.7 -4.0 -4.2 -4.3 -4.8 3.0 -16.7 -16.3 -8.7 -6.8 -9.8 -7.4 1.7 -3.3 PLAT -3.2 -5.2 -11.2 -2.7 4.9 -1.9 2.2 -0.5 -1.1 11.3 -11.4 1.7 -5.2 -7.6 -9.0 -3.9 -2.7 -3.7 -3.3 -8.1 -9.3 2.1 -7.0 -3.7 13.3 -2.0 2.6 -2.0 1.1 -1.3 -1.1 2.8 -4.9 -3.0 3.6 3.7 1.3 -17.3 8.3 -14.0 REDWHEAT -3.1 -18.1 -20.0 -4.5 -0.8 -3.8 -1.2 -3.6 -3.7 -8.3 -17.2 -12.2 -17.7 -15.4 -18.3 -5.2 0.2 -4.0 -1.9 -20.0 -20.0 -7.2 -19.0 -16.7 -17.3 -6.2 -0.7 -5.5 -2.1 -3.6 -4.6 -3.1 -8.4 -16.2 -12.1 -20.0 -20.0 -20.0 -20.0 -10.1 RICE -2.4 -5.4 8.9 -5.2 -1.0 -4.4 -1.4 -4.1 -4.2 10.5 9.3 9.3 5.4 -5.1 6.4 -20.0 8.8 -11.9 2.5 3.8 5.8 7.9 4.8 3.0 -20.0 1.0 11.6 1.9 5.2 1.7 1.6 11.1 15.4 17.4 14.0 13.2 -4.1 -20.0 16.3 -8.8 ROBUSTA -1.7 -9.9 -4.2 -4.9 -0.9 -4.1 -1.3 -3.8 -3.9 17.5 11.1 12.7 14.0 1.7 -3.5 20.0 20.0 20.0 20.0 2.0 8.6 20.0 18.8 11.2 -20.0 0.8 20.0 2.6 14.6 5.9 4.8 20.0 20.0 20.0 20.0 -1.7 -1.8 -11.9 20.0 -0.5 RUSSELL -6.3 -20.0 -11.3 -3.6 -6.6 -2.0 -5.0 -0.2 -4.1 -12.0 -9.2 -11.8 -6.2 -12.6 -12.4 -7.3 -6.3 -7.7 -7.3 -17.3 -10.7 -19.3 -5.7 -18.9 -2.2 -4.1 -5.5 -2.1 -5.0 -0.5 -4.8 -1.3 -7.8 -6.0 -7.2 2.4 -11.2 -12.3 -20.0 -20.0 SHATZ 8.2 -2.3 1.7 -2.6 -0.5 -2.2 -1.6 -1.9 -2.3 -2.1 -7.3 -2.6 -8.1 -4.0 -4.7 -20.0 -12.0 -20.0 -19.1 -4.8 -7.4 -2.7 -12.0 -3.3 10.3 -2.1 0.1 -2.7 -1.2 -4.1 -1.5 -20.0 -4.1 15.5 7.3 8.7 -20.0 -20.0 -16.8 -20.0 SILVER-mini -0.7 -11.9 -10.8 -3.1 2.6 -2.0 0.8 -0.5 -1.9 12.2 -4.7 7.5 1.7 -2.6 -6.1 -6.6 -6.3 -7.2 -6.9 -6.4 -5.9 12.1 -2.2 0.8 6.1 -1.4 6.9 -0.8 4.7 0.1 0.6 -3.5 20.0 2.3 1.9 6.6 -13.8 -20.0 -5.4 -20.0 SMI -13.4 -7.1 -11.0 -4.1 -7.5 -2.3 -5.7 -0.2 -4.7 -13.9 -3.9 -13.9 2.6 -12.1 -12.3 4.6 1.8 2.2 1.1 -12.9 -7.4 -20.0 -2.8 -20.0 5.0 -3.9 -14.2 -2.0 -11.2 -1.3 -6.8 12.5 -20.0 -13.6 2.7 3.0 -7.5 -14.0 -7.1 -9.0 SOFR 0.6 -7.3 -14.5 -2.7 -0.5 -2.4 -1.8 -2.1 -2.5 -2.2 -8.0 -4.4 -6.2 -6.7 -7.8 -0.1 -0.9 -1.0 -1.1 -9.9 -8.9 -8.2 -7.1 -9.6 -1.4 -3.1 -0.7 -2.7 -2.6 -2.0 -3.1 1.6 -5.4 1.5 4.5 1.4 -20.0 -20.0 -5.5 -6.9 SOYBEAN -3.8 -11.1 2.0 -4.6 -0.9 -3.9 -1.2 -3.7 -3.7 8.6 6.1 7.7 2.9 -11.9 -6.0 14.9 17.7 12.3 13.8 -4.9 -0.6 1.5 0.3 -4.4 -20.0 -2.0 0.3 -0.1 1.1 0.6 -1.7 20.0 7.9 6.9 2.0 9.1 -20.0 -3.4 -18.9 2.9 SOYMEAL 8.6 -4.7 -4.3 -3.7 -0.7 -3.1 -1.0 -2.9 -3.0 10.9 -7.6 11.4 1.0 0.9 -3.3 11.8 17.1 11.5 14.5 0.1 -2.6 20.0 0.3 9.8 -20.0 0.9 8.7 0.5 9.0 2.2 4.3 20.0 20.0 20.0 9.3 7.4 -20.0 -20.0 -20.0 -18.8 SOYOIL -20.0 -20.0 1.2 -2.8 -0.5 -2.3 -0.7 -2.2 -2.3 -8.7 2.2 -8.9 -1.0 -9.8 -6.8 10.6 11.9 12.8 12.0 -13.2 -4.2 -15.4 -0.1 -17.6 -20.0 -3.0 -3.8 -1.1 -3.5 -0.2 -3.9 17.8 -13.4 -20.0 -17.5 -1.0 -4.0 4.9 15.6 20.0 SP400 -4.2 -20.0 -13.3 -3.4 -6.3 -1.9 -4.8 -0.2 -3.9 -11.3 -7.0 -10.3 0.8 -11.2 -10.7 -5.2 -5.1 -5.5 -5.4 -13.7 -7.9 -16.4 -2.4 -15.0 -9.3 -3.7 -5.9 -1.7 -4.7 -0.1 -4.3 1.3 -3.4 -2.7 -2.4 5.7 -6.5 -13.3 -15.4 -20.0 SP500_micro -3.8 -20.0 -18.2 -4.1 -7.4 -2.3 -5.7 -0.2 -4.6 -12.0 3.5 -8.6 7.5 -9.8 -9.9 -10.8 -9.8 -11.5 -11.2 -11.1 -2.1 -16.8 4.9 -13.5 -17.0 -3.4 -7.5 -0.1 -5.4 2.6 -4.3 -7.7 -2.0 4.5 0.7 10.0 -5.1 -12.2 -5.9 -17.5 SUGAR11 -5.8 6.2 0.7 -4.9 -0.9 -4.1 -1.3 -3.9 -4.0 12.4 17.7 13.6 17.7 14.5 16.3 20.0 14.8 19.4 14.1 16.9 20.0 10.6 20.0 12.9 -20.0 5.7 4.3 8.4 4.5 12.9 4.7 20.0 9.3 11.9 20.0 18.8 -20.0 -20.0 8.1 2.4 US10 2.4 -6.7 -13.6 -2.5 -0.5 -2.1 -1.6 -1.8 -2.2 -3.1 -7.8 -4.9 -7.8 -6.6 -7.5 -6.0 -7.2 -7.7 -8.1 -11.0 -10.9 -8.1 -10.4 -9.9 1.1 -2.9 -0.9 -2.7 -2.2 -2.3 -2.7 -10.1 -3.5 -1.1 1.0 -1.5 -20.0 -20.0 2.6 0.2 US10U 1.4 -9.1 -13.7 -3.0 -0.6 -2.6 -1.9 -2.3 -2.7 -4.3 -9.6 -6.5 -9.5 -8.4 -9.4 2.4 -0.4 0.9 -0.2 -14.4 -13.7 -10.6 -12.4 -13.0 -2.3 -3.5 -1.2 -3.2 -2.6 -2.6 -3.2 2.6 -2.8 -3.4 -0.5 -3.7 -20.0 -20.0 10.8 15.4 US2 11.7 5.9 -10.6 -2.6 -0.5 -2.3 -1.7 -2.0 -2.4 0.2 -8.6 -2.2 -8.5 -5.2 -7.2 -20.0 -20.0 -20.0 -20.0 -8.3 -12.6 -2.1 -16.4 -4.7 8.4 -2.8 1.2 -4.1 -0.8 -5.5 -1.7 -20.0 -0.2 12.5 10.7 3.4 -20.0 -20.0 -15.6 -20.0 US20 -0.7 -9.7 -13.8 -2.2 -0.4 -1.9 -1.4 -1.6 -1.9 -3.2 -6.8 -4.9 -6.4 -6.0 -6.7 -0.6 -1.8 -1.8 -2.1 -11.4 -10.3 -8.0 -8.8 -10.4 -2.0 -2.5 -0.7 -2.2 -1.6 -1.7 -2.2 0.0 -0.1 -5.9 -3.5 -5.7 -11.8 -20.0 20.0 20.0 US30 -1.2 -9.5 -10.4 -2.2 -0.4 -1.9 -1.4 -1.7 -2.0 -4.0 -7.1 -5.4 -6.8 -6.4 -7.0 -4.4 -4.1 -5.7 -5.3 -11.1 -10.2 -8.3 -9.2 -10.1 -1.6 -2.6 -1.1 -2.3 -1.8 -1.8 -2.4 -4.5 -0.3 -4.3 -1.8 -4.9 -8.2 -20.0 20.0 20.0 US5 4.9 -3.1 -12.2 -2.6 -0.5 -2.2 -1.7 -1.9 -2.3 -2.5 -8.2 -4.4 -8.2 -6.4 -7.6 -10.2 -10.6 -12.5 -12.4 -9.8 -10.7 -6.6 -11.2 -8.3 3.4 -3.0 -0.5 -3.0 -2.2 -3.0 -2.7 -16.6 -4.0 4.2 5.0 1.5 -20.0 -20.0 -7.5 -17.9 VIX 16.7 20.0 20.0 1.1 4.6 -4.3 6.4 -8.2 5.0 9.1 -14.5 11.0 -16.9 10.3 3.5 -16.6 -20.0 -20.0 -20.0 1.1 -10.2 12.9 -19.2 9.0 NaN 1.3 5.3 -4.9 7.3 -9.9 5.7 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 9.3 -12.0 -20.0 -4.2 -0.8 -3.5 -1.1 -3.3 -3.4 11.1 -15.4 12.0 -16.7 -5.0 -15.1 -11.1 -10.1 -11.3 -11.0 -14.3 -20.0 3.9 -20.0 -3.6 -5.0 -4.3 2.9 -6.0 2.1 -6.3 -0.8 -20.0 1.6 8.5 0.3 -14.9 -20.0 -15.4 -20.0 -11.7 End of report for caleb_strategy_v3