******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231025_204330 produced at 2023-10-25 21:39:04.681439 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.05 0.0 0.00 0.00 0.00 0.00 -12.11 11.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.20 -0.24 0.0 0.20 -0.20 -0.20 -0.20 -7.41 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 -2.67 13.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.08 -0.18 0.0 0.76 -0.76 -0.08 -0.08 -6.66 29.0 -3 -3 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.16 0.0 0.00 0.00 0.00 0.00 -4.06 24.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.12 -0.13 0.0 0.52 -0.52 -0.12 -0.18 -4.39 17.0 -4 -6 caleb_strategy_v3 CHF False False 0.05 -0.25 -0.12 0.0 0.66 -0.66 -0.25 -0.25 -2.46 13.0 -5 -5 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.09 0.0 0.94 -0.94 -0.04 -0.08 -2.27 25.0 -1 -2 caleb_strategy_v3 VIX False False 0.01 -0.08 -0.09 0.0 0.13 -0.13 -0.08 -0.08 -11.47 17.0 -11 -10 caleb_strategy_v3 SP400 False False 0.09 -0.17 -0.08 0.0 0.17 -0.17 -0.17 -0.17 -0.88 2.0 -2 -2 caleb_strategy_v3 DOW False False 0.01 0.00 -0.08 0.0 0.40 -0.40 0.00 0.00 -12.76 66.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.05 -0.07 0.0 0.21 -0.21 -0.05 -0.04 -24.43 68.0 -17 -13 caleb_strategy_v3 LIVECOW False False 0.03 -0.03 -0.07 0.0 0.45 -0.45 -0.03 -0.03 -2.65 17.0 -1 -1 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.07 0.0 0.37 -0.37 0.00 0.00 -9.23 48.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.06 0.0 0.19 -0.19 0.00 0.00 -15.67 51.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.00 -0.05 0.0 0.59 -0.59 0.00 0.00 -4.99 60.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.65 -0.65 0.00 0.00 -1.22 17.0 0 0 caleb_strategy_v3 SMI False False 0.04 -0.08 -0.05 0.0 0.38 -0.38 -0.08 -0.08 -1.23 9.0 -2 -2 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.05 0.0 0.35 -0.35 0.00 0.00 -1.15 8.0 0 0 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.05 0.0 0.44 -0.44 -0.02 -0.02 -2.20 19.0 -1 -1 caleb_strategy_v3 BTP False False 0.04 0.00 -0.05 0.0 0.42 -0.42 0.00 0.00 -1.11 10.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 -0.04 -0.04 0.0 0.08 -0.08 -0.04 -0.04 -0.91 2.0 -1 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.04 0.0 0.09 -0.09 -0.02 -0.02 -12.36 26.0 -5 -6 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.04 0.0 0.11 -0.11 -0.01 -0.01 -4.76 12.0 -1 -1 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 -0.04 0.0 0.40 -0.40 -0.01 -0.01 -5.54 56.0 -1 -1 caleb_strategy_v3 EUR False False 0.05 -0.29 -0.04 0.0 0.67 -0.67 -0.29 -0.29 -0.93 14.0 -6 -6 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.07 -0.04 0.0 0.24 -0.24 -0.07 -0.07 -3.91 23.0 -7 -7 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.04 0.0 0.01 -0.01 0.00 0.00 -8.61 3.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.04 0.0 0.06 -0.06 0.00 0.00 -2.76 5.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.03 0.0 0.84 -0.84 0.00 0.00 -0.63 19.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 -0.03 0.0 0.51 -0.51 0.00 0.00 -0.69 13.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -1.25 12.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.05 -0.03 0.0 0.10 -0.10 -0.05 -0.05 -2.27 8.0 -4 -4 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -4.53 2.0 0 0 caleb_strategy_v3 NZD False False 0.02 -0.04 -0.03 0.0 0.44 -0.44 -0.04 -0.04 -1.46 21.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.03 0.0 0.11 -0.11 -0.02 -0.02 -2.54 9.0 -2 -2 caleb_strategy_v3 COTTON2 False False 0.02 -0.05 -0.03 0.0 0.17 -0.17 -0.05 -0.05 -2.04 11.0 -3 -3 caleb_strategy_v3 GBP False False 0.03 0.00 -0.03 0.0 0.60 -0.60 0.00 0.00 -1.11 22.0 0 0 caleb_strategy_v3 DAX False False 0.01 -0.01 -0.02 0.0 0.33 -0.33 -0.01 -0.01 -3.10 58.0 -1 -1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -0.72 0.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.41 6.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.12 -0.01 0.0 0.24 -0.24 -0.12 -0.08 -0.23 6.0 -3 -2 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.49 -0.49 0.00 0.00 -0.27 10.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.09 -0.01 0.0 0.18 -0.18 -0.09 -0.09 -0.18 4.0 -2 -2 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.01 0.0 0.11 -0.11 -0.02 -0.02 -0.69 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 -0.33 7.0 -1 -1 caleb_strategy_v3 US20 False False 0.04 -0.04 -0.01 0.0 0.35 -0.35 -0.04 -0.04 -0.33 9.0 -1 -1 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -1.03 4.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 -0.01 0.0 0.47 -0.47 0.00 0.00 -0.18 10.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.00 -0.00 0.0 0.31 -0.31 0.00 0.00 -0.09 20.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.05 -0.00 0.0 0.17 -0.17 -0.05 -0.05 -0.24 10.0 -3 -3 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.14 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 -0.07 9.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.20 3.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.02 0.01 0.0 0.13 -0.13 0.02 0.01 1.28 13.0 2 1 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.21 -0.21 0.01 0.01 1.39 23.0 1 1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.03 0.0 0.19 -0.19 0.00 0.00 2.82 18.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.03 0.0 0.12 -0.12 0.00 0.00 0.91 4.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.00 0.03 0.0 0.36 -0.36 0.00 0.00 1.95 26.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 0.01 0.04 0.0 0.07 -0.07 0.01 0.01 35.00 59.0 7 10 caleb_strategy_v3 NIKKEI False False 0.01 0.06 0.04 0.0 0.27 -0.27 0.06 0.05 5.52 36.0 8 7 caleb_strategy_v3 OJ False False 0.02 0.00 0.07 0.0 0.06 -0.06 0.00 0.00 3.21 3.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.09 0.10 0.0 0.14 -0.14 0.09 0.09 3.38 5.0 3 3 caleb_strategy_v3 DX False False 0.04 0.00 0.14 0.0 38565907.57 -38565907.57 0.00 0.00 3.71 999999999.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.42 0.15 0.0 0.56 -0.56 0.42 0.42 4.19 16.0 12 12 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.19 0.29 0.0 0.93 -0.93 0.19 0.09 3.11 10.0 2 1 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 12.3 Shocked risk 27.1 Sum abs risk 46.6 Leverage 4.66 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2757357.64, 'annual_cash_vol_target': 689339.41, 'daily_cash_vol_target': 43083.713125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6320 0.6736 10.7774 BITCOIN 851.2500 34700.0000 2.4532 39.2507 BOBL 0.2834 115.5800 0.2452 3.9227 BTP 0.6654 108.4900 0.6133 9.8131 BUND 0.5859 127.8600 0.4582 7.3315 BUXL 1.3678 118.9800 1.1496 18.3932 CAC 56.5020 6892.5000 0.8198 13.1162 CAD 0.0029 0.7253 0.4002 6.4035 CANOLA 6.9699 694.2000 1.0040 16.0642 CHF 0.0049 1.1216 0.4358 6.9735 COCOA 42.2514 3771.0000 1.1204 17.9269 COFFEE 2.6933 161.2500 1.6703 26.7243 COPPER 0.0361 3.5860 1.0068 16.1080 CORN 5.2849 510.7500 1.0347 16.5556 COTTON2 1.0854 85.4600 1.2701 20.3211 CRUDE_W 1.2740 78.2600 1.6279 26.0458 DAX 118.2321 14900.0000 0.7935 12.6961 DOW 210.3372 33149.0000 0.6345 10.1523 DX 0.3619 106.3400 0.3403 5.4449 EUR 0.0053 1.0590 0.5031 8.0493 EURIBOR-ICE 0.0536 96.9950 0.0553 0.8844 EUROSTX 37.7477 4063.0000 0.9291 14.8650 FEEDCOW 2.1425 239.2000 0.8957 14.3309 GASOIL 16.3513 852.2500 1.9186 30.6976 GASOLINE 0.0399 2.2736 1.7563 28.1006 GAS_US_mini 0.0875 3.6200 2.4178 38.6854 GBP 0.0068 1.2118 0.5633 9.0126 GOLD_micro 15.1083 1992.7000 0.7582 12.1310 HEATOIL 0.0459 2.8882 1.5877 25.4029 JGB-SGX-mini 0.2244 144.3900 0.1554 2.4862 JPY 0.0000 0.0067 0.4878 7.8045 LEANHOG 1.2687 70.7500 1.7932 28.6910 LIVECOW 1.5915 181.3500 0.8776 14.0409 LUMBER-new 7.7443 488.5000 1.5853 25.3653 MILK 0.2219 17.7600 1.2493 19.9895 MXP 0.0005 0.0541 0.8430 13.4874 NASDAQ_micro 143.3707 14473.5000 0.9906 15.8492 NIKKEI 328.3291 30955.0000 1.0607 16.9707 NZD 0.0040 0.5808 0.6860 10.9754 OAT 0.5961 122.1300 0.4881 7.8091 OATIES 6.6569 412.7500 1.6128 25.8050 OJ 3.8348 387.0000 0.9909 15.8545 PALLAD 18.8688 1130.5000 1.6691 26.7051 PLAT 13.1163 913.2000 1.4363 22.9808 REDWHEAT 10.0786 659.2500 1.5288 24.4607 RICE 0.1474 16.5350 0.8912 14.2597 ROBUSTA 31.9615 2464.0000 1.2971 20.7542 RUSSELL 18.8874 1665.1000 1.1343 18.1490 SHATZ 0.0841 104.9650 0.0801 1.2823 SILVER-mini 0.3422 23.2250 1.4736 23.5771 SMI 82.7721 10382.0000 0.7973 12.7563 SOFR 0.0795 95.6750 0.0830 1.3288 SOYBEAN 10.2596 1259.2500 0.8147 13.0358 SOYMEAL 5.2352 405.5000 1.2911 20.6570 SOYOIL 0.7974 51.2500 1.5559 24.8942 SP400 24.1577 2359.6000 1.0238 16.3809 SP500_micro 32.4400 4207.5000 0.7710 12.3361 SUGAR11 0.3241 26.3200 1.2314 19.7018 US10 0.4696 105.6719 0.4444 7.1106 US10U 0.6689 108.1875 0.6183 9.8930 US2 0.1072 101.1367 0.1060 1.6966 US20 1.0465 108.4688 0.9648 15.4366 US30 1.5497 111.3438 1.3919 22.2696 US5 0.2896 104.1328 0.2781 4.4490 VIX 0.6794 21.2500 3.1970 51.1515 WHEAT 8.8315 660.0000 1.3381 21.4098 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 631.95 0.67 425.67 1.00 425.67 43083.71 101.21 -8.39 -84.94 BITCOIN 34.70 2.45 85.12 1.00 85.12 43083.71 506.12 6.39 323.17 BOBL 1155.80 0.25 283.36 1.07 302.75 43083.71 142.31 -4.36 -62.01 BTP 1084.90 0.61 665.39 1.07 710.90 43083.71 60.60 -5.36 -32.47 BUND 1278.60 0.46 585.88 1.07 625.96 43083.71 68.83 -3.83 -26.38 BUXL 1189.80 1.15 1367.77 1.07 1461.32 43083.71 29.48 -6.05 -17.83 CAC 689.25 0.82 565.02 1.07 603.67 43083.71 71.37 -5.12 -36.52 CAD 725.30 0.40 290.28 1.00 290.28 43083.71 148.42 -17.30 -256.72 CANOLA 138.84 1.00 139.40 0.73 101.95 43083.71 422.58 -15.25 -644.25 CHF 1401.94 0.44 611.03 1.00 611.03 43083.71 70.51 -13.43 -94.72 COCOA 377.10 1.12 422.51 1.00 422.51 43083.71 101.97 8.95 91.22 COFFEE 604.69 1.67 1009.99 1.00 1009.99 43083.71 42.66 -8.15 -34.75 COPPER 896.50 1.01 902.55 1.00 902.55 43083.71 47.74 -14.33 -68.43 CORN 255.38 1.03 264.24 1.00 264.24 43083.71 163.05 -12.01 -195.83 COTTON2 427.30 1.27 542.70 1.00 542.70 43083.71 79.39 -11.98 -95.12 CRUDE_W 782.60 1.63 1273.96 1.00 1273.96 43083.71 33.82 9.24 31.25 DAX 149.00 0.79 118.23 1.07 126.32 43083.71 341.07 -2.66 -90.83 DOW 165.74 0.63 105.17 1.00 105.17 43083.71 409.66 -13.40 -548.86 DX 1063.40 0.34 361.88 1.00 361.88 43083.71 119.05 12.01 142.97 EUR 1323.75 0.50 665.95 1.00 665.95 43083.71 64.70 -5.54 -35.87 EURIBOR-ICE 2424.88 0.06 134.04 1.07 143.21 43083.71 300.84 3.03 91.26 EUROSTX 406.30 0.93 377.48 1.07 403.30 43083.71 106.83 -0.25 -2.70 FEEDCOW 1196.00 0.90 1071.24 1.00 1071.24 43083.71 40.22 -8.63 -34.69 GASOIL 852.25 1.92 1635.13 1.00 1635.13 43083.71 26.35 7.94 20.91 GASOLINE 954.91 1.76 1677.10 1.00 1677.10 43083.71 25.69 1.24 3.18 GAS_US_mini 90.50 2.42 218.81 1.00 218.81 43083.71 196.90 -5.80 -114.13 GBP 757.38 0.56 426.62 1.00 426.62 43083.71 100.99 -4.24 -42.83 GOLD_micro 199.27 0.76 151.08 1.00 151.08 43083.71 285.17 -5.70 -162.54 HEATOIL 1213.04 1.59 1925.93 1.00 1925.93 43083.71 22.37 2.10 4.71 JGB-SGX-mini 144390.00 0.16 22436.03 0.01 149.92 43083.71 287.38 1.35 38.66 JPY 840.44 0.49 409.95 1.00 409.95 43083.71 105.10 -16.11 -169.28 LEANHOG 283.00 1.79 507.47 1.00 507.47 43083.71 84.90 2.48 21.02 LIVECOW 725.40 0.88 636.58 1.00 636.58 43083.71 67.68 -11.83 -80.07 LUMBER-new 134.34 1.59 212.97 1.00 212.97 43083.71 202.30 -20.00 -404.60 MILK 355.20 1.25 443.77 1.00 443.77 43083.71 97.09 -13.27 -128.80 MXP 270.40 0.84 227.94 1.00 227.94 43083.71 189.02 -1.80 -33.99 NASDAQ_micro 289.47 0.99 286.74 1.00 286.74 43083.71 150.25 -11.21 -168.38 NIKKEI 30955.00 1.06 32832.91 0.01 219.39 43083.71 196.38 2.60 50.96 NZD 580.85 0.69 398.44 1.00 398.44 43083.71 108.13 -5.19 -56.13 OAT 1221.30 0.49 596.08 1.07 636.85 43083.71 67.65 -0.78 -5.31 OATIES 206.38 1.61 332.84 1.00 332.84 43083.71 129.44 -14.39 -186.30 OJ 580.50 0.99 575.22 1.00 575.22 43083.71 74.90 20.00 149.80 PALLAD 1130.50 1.67 1886.88 1.00 1886.88 43083.71 22.83 -11.74 -26.81 PLAT 456.60 1.44 655.82 1.00 655.82 43083.71 65.69 -1.06 -6.97 REDWHEAT 329.62 1.53 503.93 1.00 503.93 43083.71 85.50 -20.00 -170.99 RICE 330.70 0.89 294.73 1.00 294.73 43083.71 146.18 -2.90 -42.33 ROBUSTA 246.40 1.30 319.62 1.00 319.62 43083.71 134.80 8.81 118.77 RUSSELL 83.26 1.13 94.44 1.00 94.44 43083.71 456.22 -16.16 -737.14 SHATZ 1049.65 0.08 84.12 1.07 89.88 43083.71 479.36 -8.34 -399.90 SILVER-mini 580.62 1.47 855.59 1.00 855.59 43083.71 50.36 -4.19 -21.09 SMI 1038.20 0.80 827.72 1.12 929.45 43083.71 46.35 -7.75 -35.94 SOFR 2391.88 0.08 198.64 1.00 198.64 43083.71 216.89 -9.18 -199.21 SOYBEAN 629.62 0.81 512.98 1.00 512.98 43083.71 83.99 -4.16 -34.95 SOYMEAL 405.50 1.29 523.52 1.00 523.52 43083.71 82.30 -0.97 -8.02 SOYOIL 307.50 1.56 478.44 1.00 478.44 43083.71 90.05 -8.24 -74.22 SP400 2359.60 1.02 2415.77 1.00 2415.77 43083.71 17.83 -14.95 -26.66 SP500_micro 210.38 0.77 162.20 1.00 162.20 43083.71 265.62 -14.94 -396.94 SUGAR11 294.78 1.23 362.99 1.00 362.99 43083.71 118.69 11.18 132.68 US10 1056.72 0.44 469.62 1.00 469.62 43083.71 91.74 -10.50 -96.30 US10U 1081.88 0.62 668.94 1.00 668.94 43083.71 64.41 -8.45 -54.40 US2 2022.73 0.11 214.49 1.00 214.49 43083.71 200.87 -10.51 -211.04 US20 1084.69 0.96 1046.49 1.00 1046.49 43083.71 41.17 -6.35 -26.14 US30 1113.44 1.39 1549.74 1.00 1549.74 43083.71 27.80 -6.54 -18.18 US5 1041.33 0.28 289.55 1.00 289.55 43083.71 148.79 -12.06 -179.39 VIX 212.50 3.20 679.36 1.00 679.36 43083.71 63.42 -7.33 -46.46 WHEAT 330.00 1.34 441.58 1.00 441.58 43083.71 97.57 -19.59 -191.10 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -84.936 0.010 2.5 -2.204 BITCOIN 323.170 0.043 2.5 34.997 BOBL -62.006 0.004 2.5 -0.629 BTP -32.475 0.014 2.5 -1.108 BUND -26.384 0.004 2.5 -0.268 BUXL -17.829 0.004 2.5 -0.181 CAC -36.522 0.014 2.5 -1.246 CAD -256.716 0.010 2.5 -6.661 CANOLA -644.248 0.010 2.5 -15.674 CHF -94.723 0.010 2.5 -2.458 COCOA 91.216 0.009 2.5 1.954 COFFEE -34.748 0.005 2.5 -0.406 COPPER -68.427 0.043 2.5 -7.410 CORN -195.827 0.010 2.5 -4.764 COTTON2 -95.119 0.009 2.5 -2.037 CRUDE_W 31.249 0.043 2.5 3.384 DAX -90.831 0.014 2.5 -3.098 DOW -548.865 0.009 2.5 -12.756 DX 142.973 0.010 2.5 3.710 EUR -35.866 0.010 2.5 -0.931 EURIBOR-ICE 91.258 0.014 2.5 3.113 EUROSTX -2.703 0.014 2.5 -0.092 FEEDCOW -34.691 0.013 2.5 -1.150 GASOIL 20.909 0.017 2.5 0.906 GASOLINE 3.181 0.017 2.5 0.138 GAS_US_mini -114.127 0.043 2.5 -12.359 GBP -42.830 0.010 2.5 -1.111 GOLD_micro -162.542 0.014 2.5 -5.544 HEATOIL 4.707 0.017 2.5 0.204 JGB-SGX-mini 38.659 0.043 2.5 4.187 JPY -169.285 0.010 2.5 -4.392 LEANHOG 21.021 0.024 2.5 1.278 LIVECOW -80.071 0.013 2.5 -2.653 LUMBER-new -404.600 0.009 2.5 -8.611 MILK -128.801 0.009 2.5 -2.759 MXP -33.987 0.059 2.5 -4.989 NASDAQ_micro -168.385 0.009 2.5 -3.913 NIKKEI 50.961 0.043 2.5 5.519 NZD -56.127 0.010 2.5 -1.456 OAT -5.307 0.014 2.5 -0.181 OATIES -186.300 0.010 2.5 -4.533 OJ 149.799 0.009 2.5 3.208 PALLAD -26.806 0.014 2.5 -0.914 PLAT -6.975 0.014 2.5 -0.238 REDWHEAT -170.991 0.005 2.5 -2.268 RICE -42.330 0.010 2.5 -1.030 ROBUSTA 118.766 0.005 2.5 1.387 RUSSELL -737.143 0.013 2.5 -24.428 SHATZ -399.899 0.004 2.5 -4.055 SILVER-mini -21.088 0.014 2.5 -0.719 SMI -35.943 0.014 2.5 -1.226 SOFR -199.206 0.024 2.5 -12.107 SOYBEAN -34.953 0.004 2.5 -0.325 SOYMEAL -8.016 0.004 2.5 -0.075 SOYOIL -74.222 0.004 2.5 -0.691 SP400 -26.658 0.013 2.5 -0.883 SP500_micro -396.939 0.009 2.5 -9.225 SUGAR11 132.678 0.009 2.5 2.822 US10 -96.300 0.005 2.5 -1.220 US10U -54.400 0.005 2.5 -0.689 US2 -211.037 0.005 2.5 -2.674 US20 -26.138 0.005 2.5 -0.331 US30 -18.182 0.005 2.5 -0.230 US5 -179.388 0.005 2.5 -2.273 VIX -46.462 0.099 2.5 -11.469 WHEAT -191.096 0.005 2.5 -2.535 ===================== Position diags ===================== AUD 2.63 BITCOIN 54.81 BOBL 1.44 BTP 2.07 BUND 0.70 BUXL 0.30 CAC 2.43 CAD 3.85 CANOLA 10.28 CHF 1.83 COCOA 2.18 COFFEE 0.50 COPPER 5.17 CORN 3.97 COTTON2 1.70 CRUDE_W 3.66 DAX 11.63 DOW 9.52 DX 3.09 EUR 1.68 EURIBOR-ICE 10.26 EUROSTX 3.64 FEEDCOW 1.33 GASOIL 1.14 GASOLINE 1.11 GAS_US_mini 21.32 GBP 2.62 GOLD_micro 9.73 HEATOIL 0.97 JGB-SGX-mini 31.12 JPY 2.73 LEANHOG 5.16 LIVECOW 2.24 LUMBER-new 4.31 MILK 2.08 MXP 27.74 NASDAQ_micro 3.49 NIKKEI 21.27 NZD 2.81 OAT 2.31 OATIES 3.15 OJ 1.60 PALLAD 0.78 PLAT 2.24 REDWHEAT 1.13 RICE 3.56 ROBUSTA 1.57 RUSSELL 15.12 SHATZ 4.86 SILVER-mini 1.72 SMI 1.58 SOFR 13.18 SOYBEAN 0.78 SOYMEAL 0.77 SOYOIL 0.84 SP400 0.59 SP500_micro 6.17 SUGAR11 2.52 US10 1.16 US10U 0.82 US2 2.55 US20 0.52 US30 0.35 US5 1.89 VIX 15.66 WHEAT 1.29 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.2 -2.5 -1.9 -1.0 -1 BITCOIN 35.0 29.5 40.5 7.0 7 BOBL -0.6 -0.8 -0.5 0.0 0 BTP -1.1 -1.3 -0.9 0.0 0 BUND -0.3 -0.3 -0.2 0.0 0 BUXL -0.2 -0.2 -0.2 -2.0 -2 CAC -1.2 -1.5 -1.0 0.0 0 CAD -6.7 -7.0 -6.3 -3.0 -3 CANOLA -15.7 -16.7 -14.6 NaN 0 CHF -2.5 -2.6 -2.3 -5.0 -5 COCOA 2.0 1.7 2.2 0.0 0 COFFEE -0.4 -0.5 -0.4 0.0 0 COPPER -7.4 -7.9 -6.9 -6.0 -6 CORN -4.8 -5.2 -4.4 -1.0 -1 COTTON2 -2.0 -2.2 -1.9 -3.0 -3 CRUDE_W 3.4 3.0 3.8 3.0 3 DAX -3.1 -4.3 -1.9 -1.0 -1 DOW -12.8 -13.7 -11.8 0.0 0 DX 3.7 3.4 4.0 NaN 0 EUR -0.9 -1.1 -0.8 -6.0 -6 EURIBOR-ICE 3.1 2.1 4.1 2.0 2 EUROSTX -0.1 -0.5 0.3 0.0 0 FEEDCOW -1.1 -1.3 -1.0 0.0 0 GASOIL 0.9 0.8 1.0 0.0 0 GASOLINE 0.1 0.0 0.2 0.0 0 GAS_US_mini -12.4 -14.5 -10.2 -5.0 -5 GBP -1.1 -1.4 -0.8 0.0 0 GOLD_micro -5.5 -6.5 -4.6 -1.0 -1 HEATOIL 0.2 0.1 0.3 0.0 0 JGB-SGX-mini 4.2 1.1 7.3 12.0 12 JPY -4.4 -4.7 -4.1 -4.0 -4 LEANHOG 1.3 0.8 1.8 2.0 2 LIVECOW -2.7 -2.9 -2.4 -1.0 -1 LUMBER-new -8.6 -9.0 -8.2 NaN 0 MILK -2.8 -3.0 -2.6 NaN 0 MXP -5.0 -7.8 -2.2 0.0 0 NASDAQ_micro -3.9 -4.3 -3.6 -7.0 -7 NIKKEI 5.5 3.4 7.6 8.0 8 NZD -1.5 -1.7 -1.2 -2.0 -2 OAT -0.2 -0.4 0.0 0.0 0 OATIES -4.5 -4.8 -4.2 NaN 0 OJ 3.2 3.0 3.4 NaN 0 PALLAD -0.9 -1.0 -0.8 -1.0 -1 PLAT -0.2 -0.5 -0.0 -3.0 -3 REDWHEAT -2.3 -2.4 -2.2 -4.0 -4 RICE -1.0 -1.4 -0.7 NaN 0 ROBUSTA 1.4 1.2 1.5 1.0 1 RUSSELL -24.4 -25.9 -22.9 -17.0 -17 SHATZ -4.1 -4.5 -3.6 NaN 0 SILVER-mini -0.7 -0.9 -0.5 NaN 0 SMI -1.2 -1.4 -1.1 -2.0 -2 SOFR -12.1 -13.4 -10.8 NaN 0 SOYBEAN -0.3 -0.4 -0.2 -1.0 -1 SOYMEAL -0.1 -0.2 0.0 0.0 0 SOYOIL -0.7 -0.8 -0.6 -2.0 -2 SP400 -0.9 -0.9 -0.8 -2.0 -2 SP500_micro -9.2 -9.8 -8.6 0.0 0 SUGAR11 2.8 2.6 3.1 0.0 0 US10 -1.2 -1.3 -1.1 NaN 0 US10U -0.7 -0.8 -0.6 0.0 0 US2 -2.7 -2.9 -2.4 NaN 0 US20 -0.3 -0.4 -0.3 -1.0 -1 US30 -0.2 -0.3 -0.2 -3.0 -3 US5 -2.3 -2.5 -2.1 -1.0 -1 VIX -11.5 -13.0 -9.9 -11.0 -11 WHEAT -2.5 -2.7 -2.4 -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 -0.0 -0.3 -0.1 0.4 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.1 0.0 0.1 -0.3 -0.2 -0.7 -0.1 0.1 BITCOIN 0.6 0.2 -0.2 -0.0 0.1 -0.1 0.1 -0.0 -0.0 0.2 0.2 0.2 0.3 0.2 0.0 -0.1 -0.1 -0.1 -0.1 0.1 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 0.2 -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 -0.0 -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 0.1 0.4 0.3 0.2 -0.7 -0.7 -0.5 -0.6 BTP -0.1 -0.6 -0.4 -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 0.2 0.1 0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -0.8 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.8 0.1 0.3 0.0 0.1 -0.4 -0.7 -0.0 0.2 BUND 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 -0.0 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 0.3 0.2 0.1 -0.7 -0.7 -0.7 -0.1 BUXL 0.1 -0.4 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.3 -0.1 -0.1 0.0 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 0.0 0.2 0.0 -0.0 -0.7 -0.7 -0.4 0.6 CAC -0.3 -0.6 -0.5 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 0.5 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.2 0.1 -0.2 -0.7 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 0.2 0.1 -0.0 -0.0 0.1 0.4 0.1 0.6 0.3 CAD -0.2 -0.1 -0.4 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.2 -0.3 -0.2 -0.5 -0.2 -0.2 -0.1 -0.0 -0.0 -0.0 -0.2 -0.1 -0.2 -0.3 -0.2 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.6 0.1 -0.6 -0.7 -0.7 -0.6 -0.7 CANOLA -0.4 -0.6 -0.1 -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 -0.2 -0.0 -0.2 -0.1 -0.2 -0.2 -0.2 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 -0.4 -0.5 -0.6 0.0 -0.3 -0.0 0.4 0.4 CHF 0.6 -0.6 -0.4 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.1 -0.2 0.2 0.2 -0.0 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 0.1 -0.0 0.0 -1.2 -0.0 0.0 -0.1 0.0 -0.0 0.0 -1.1 0.5 0.6 -0.3 -0.1 -0.7 -0.7 -0.7 -0.7 COCOA 0.4 -0.4 0.1 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 0.2 0.5 0.2 0.7 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.5 0.2 -2.1 0.1 0.1 0.2 0.1 0.4 0.1 -0.3 0.5 0.6 0.6 0.6 0.1 -0.2 0.7 0.2 COFFEE 0.6 0.4 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 0.1 -0.5 0.2 -0.6 0.1 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.2 -0.4 0.2 -2.7 0.0 0.1 -0.1 0.1 -0.1 0.1 -0.0 0.5 0.6 0.6 -0.2 -0.7 -0.7 -0.7 -0.4 COPPER -0.2 -0.4 -0.3 -0.0 0.1 -0.1 0.1 -0.0 -0.0 0.0 -0.4 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.2 -0.2 -0.0 -0.3 -0.1 -0.8 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.5 -0.3 -0.4 0.0 0.1 -0.7 0.2 -0.7 CORN 0.3 0.0 -0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.5 -0.0 -0.6 0.0 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.5 -0.0 -2.3 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.2 -0.2 0.4 0.5 -0.2 -0.2 -0.0 0.1 0.2 COTTON2 -0.5 -0.2 0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -0.2 -0.3 -0.2 0.0 -0.2 0.1 -0.1 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -2.7 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.5 -0.6 0.4 0.5 -0.7 -0.5 0.2 0.3 CRUDE_W -0.6 -0.1 0.6 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 0.4 0.1 0.2 0.1 0.1 0.3 0.2 0.3 0.3 0.1 0.2 0.0 0.3 0.1 -0.7 0.0 0.0 0.2 0.0 0.2 0.0 -1.1 0.1 0.0 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 -0.0 -0.1 -0.1 -0.0 -0.1 -0.2 -0.0 -0.0 -0.2 -0.2 0.4 0.1 0.7 0.3 DOW -0.1 -0.6 -0.4 -0.0 -0.0 -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 -0.2 -0.0 -0.2 -1.3 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.3 0.3 0.0 -0.1 0.3 -0.5 -0.2 -0.7 -0.3 DX -0.2 0.6 0.6 -0.1 -0.1 -0.1 -0.1 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 0.1 0.4 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.0 0.8 0.5 0.6 0.6 0.6 0.1 0.3 0.2 0.7 EUR 0.3 -0.4 -0.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.3 0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 1.6 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.4 0.4 0.3 -0.3 -0.3 -0.3 -0.6 -0.2 -0.1 EURIBOR-ICE 0.2 0.0 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.3 -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 0.2 0.4 0.4 0.4 -0.7 -0.7 0.3 0.6 EUROSTX -0.1 -0.5 -0.5 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -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 -0.0 -0.1 -0.1 0.0 -0.1 0.3 0.2 0.3 0.1 0.0 0.3 0.1 0.4 0.5 FEEDCOW -0.6 -0.6 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.3 -0.2 0.5 -0.2 -0.1 -0.3 -0.4 -0.3 -0.4 -0.1 0.1 -0.2 0.5 -0.2 -0.3 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -1.1 -0.5 -0.6 -0.1 0.6 0.5 -0.1 0.7 0.2 GASOIL -0.6 -0.3 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 0.1 0.0 0.1 0.4 -0.4 0.0 -0.6 -0.1 GASOLINE -0.6 -0.6 0.2 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.0 0.3 -0.0 0.2 -0.1 0.0 0.2 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 -0.4 -0.6 -0.6 0.7 0.3 0.7 0.2 GAS_US_mini 0.3 0.3 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 -0.1 -0.2 -0.1 -0.5 -0.1 2.7 0.0 -0.0 -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 0.3 -0.6 -0.5 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.2 -0.1 0.3 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.1 0.2 -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 0.2 -0.8 0.0 0.0 -0.0 0.1 -0.0 0.0 -1.0 0.5 0.6 0.3 0.1 -0.4 -0.7 -0.3 -0.7 HEATOIL -0.6 -0.3 0.6 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.0 0.4 0.0 0.3 -0.0 0.1 0.4 0.4 0.4 0.4 0.1 0.2 -0.0 0.4 0.0 -2.7 0.0 -0.0 0.2 -0.0 0.3 -0.0 0.1 0.1 -0.0 -0.3 0.4 0.3 -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 -0.1 -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 0.1 0.2 -0.0 -0.1 -0.5 0.4 0.4 JPY 0.1 -0.4 -0.6 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.5 -0.2 -0.7 -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 0.2 -0.0 -0.3 -0.6 -0.3 -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 -0.0 0.4 0.4 0.4 -0.1 -0.1 -0.1 -0.2 -0.1 1.4 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 1.1 -0.4 -0.4 0.0 -0.1 -0.3 -0.1 0.4 0.7 LIVECOW -0.6 -0.6 -0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.4 -0.2 0.6 -0.1 -0.0 -0.4 -0.1 -0.4 -0.2 -0.0 0.1 -0.2 0.4 -0.2 0.0 -0.0 -0.1 0.1 -0.1 0.3 -0.1 -0.6 -0.5 -0.6 0.4 0.6 -0.6 -0.7 -0.3 -0.5 LUMBER-new -0.1 -0.2 -0.5 -0.1 -0.0 -0.2 -0.0 -0.2 -0.1 -0.2 -0.6 -0.3 -0.7 -0.3 -0.2 -0.4 -0.3 -0.4 -0.4 -0.2 -0.2 -0.2 -0.5 -0.2 NaN -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -1.2 -0.6 -0.3 -0.1 -0.7 -0.5 -0.8 -0.2 -0.7 MILK 0.2 -0.2 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.4 -0.1 0.0 -0.3 -0.4 -0.4 -0.4 -0.1 -0.1 -0.0 -0.5 -0.0 0.4 -0.0 -0.0 -0.1 0.0 -0.3 0.0 -1.1 0.2 0.4 0.2 0.2 -0.7 -0.7 -0.7 -0.7 MXP -0.5 -0.6 -0.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 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 0.1 -0.4 -0.4 -0.0 0.5 0.4 0.7 0.7 NASDAQ_micro -0.0 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 0.2 -0.1 0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 0.0 -0.1 0.3 -0.1 -2.7 -0.0 -0.1 0.0 -0.1 0.2 -0.0 -0.3 -0.1 0.4 0.2 0.3 0.0 -0.4 -0.0 -0.5 NIKKEI -0.3 -0.6 -0.4 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 0.2 -0.0 0.4 -0.1 -0.0 0.1 0.2 0.1 0.2 -0.0 0.0 -0.1 0.3 -0.1 -0.9 -0.0 -0.0 0.1 -0.0 0.2 -0.0 1.1 0.5 0.0 0.5 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 -0.1 0.2 -0.4 -0.1 0.2 -0.2 0.1 -0.5 0.3 0.3 OAT 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 0.1 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 0.3 0.2 0.1 -0.7 -0.7 -0.2 0.3 OATIES -0.6 -0.6 0.1 -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 -0.1 0.1 -0.2 -2.7 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -1.1 -0.3 -0.6 -0.6 0.0 0.3 0.4 0.7 0.7 OJ 0.6 0.6 0.6 -0.1 -0.0 -0.2 -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 0.3 0.5 0.7 PALLAD -0.5 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.4 -0.1 -0.5 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.1 -0.5 -0.1 0.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.2 -0.5 -0.6 -0.3 -0.2 -0.3 -0.3 0.1 -0.1 PLAT 0.0 -0.1 -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 0.2 -0.1 -0.1 0.0 0.1 0.0 -0.6 0.3 -0.5 REDWHEAT -0.1 -0.6 -0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.1 0.0 -0.1 -0.0 -0.2 -0.2 -0.1 -0.5 -0.2 -2.4 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.2 -0.4 -0.5 -0.3 -0.6 -0.7 -0.7 -0.7 -0.3 RICE -0.0 -0.1 0.3 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.0 0.3 0.1 0.2 -0.1 0.1 -0.4 0.2 -0.3 0.0 0.0 0.1 0.0 0.1 0.0 -2.7 0.0 0.0 0.1 0.0 0.1 0.0 0.5 -0.0 0.3 0.3 0.5 -0.1 -0.7 0.6 -0.3 ROBUSTA 0.1 -0.3 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.3 0.1 0.5 0.1 -0.0 0.4 0.4 0.4 0.4 0.1 0.1 0.2 0.5 0.2 -2.7 0.0 0.1 0.1 0.1 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 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.3 -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 -0.3 -0.2 0.0 -0.4 -0.4 -0.7 -0.7 SHATZ 0.3 -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 -0.1 -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 -0.2 -0.0 -1.1 0.1 0.5 0.3 0.3 -0.7 -0.7 -0.5 -0.7 SILVER-mini 0.2 -0.3 -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 0.0 -0.0 0.0 0.0 0.0 -0.2 0.3 -0.0 0.0 0.2 -0.5 -0.7 -0.2 -0.7 SMI -0.5 -0.3 -0.4 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 0.1 0.0 0.0 0.0 -0.2 -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 0.1 -0.7 -0.7 -0.2 -0.2 SOYBEAN -0.1 -0.4 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.2 0.1 0.1 -0.1 -0.1 0.3 0.4 0.3 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 0.3 0.2 0.1 0.2 -0.7 -0.1 -0.7 0.1 SOYMEAL 0.5 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.1 0.0 0.1 -0.0 0.3 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 0.1 1.1 0.5 0.6 0.4 0.3 -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 0.0 -0.1 -0.0 -0.1 -0.1 0.2 0.2 0.2 0.2 -0.2 -0.1 -0.1 -0.0 -0.2 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 1.0 -0.2 -0.6 -0.6 -0.1 -0.1 0.2 0.5 0.7 SP400 -0.2 -0.6 -0.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -1.2 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.2 -0.2 -0.1 0.1 -0.2 -0.5 -0.5 -0.7 SP500_micro -0.1 -0.6 -0.6 -0.0 -0.0 -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 -0.1 -0.0 -0.2 0.1 -0.2 -2.2 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.4 -0.1 0.2 -0.0 0.3 -0.2 -0.4 -0.2 -0.6 SUGAR11 -0.0 0.2 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 0.5 0.2 0.7 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 0.1 0.2 0.1 0.5 0.1 1.1 0.5 0.6 0.6 0.6 -0.7 -0.7 0.3 0.1 US10 0.1 -0.2 -0.5 -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 -0.0 -0.7 -0.7 0.1 0.0 US10U 0.1 -0.3 -0.5 -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 0.3 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 0.1 -0.3 -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 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 -0.4 -0.7 0.7 0.7 US30 0.1 -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 -0.1 -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 -0.1 -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 -0.1 -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 0.1 0.1 -0.7 -0.7 -0.3 -0.6 VIX 0.7 1.0 1.0 0.0 0.1 -0.2 0.1 -0.4 0.1 0.1 -0.6 0.2 -0.9 0.2 0.1 -0.6 -0.6 -0.6 -0.6 0.0 -0.2 0.1 -0.8 0.2 NaN 0.0 0.1 -0.2 0.1 -0.5 0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.3 -0.3 -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 -0.1 -0.7 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 -1.1 -0.0 0.2 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 0.7 -1.8 -13.7 -3.7 -4.4 -1.4 -3.9 0.5 -4.0 -7.5 -13.6 -8.5 -10.6 -9.6 -13.7 -3.4 -3.0 -3.4 -3.2 -10.4 -11.7 -5.4 -11.1 -7.4 3.3 -5.0 -2.5 -5.1 -2.9 -4.5 -3.9 -1.4 2.7 0.0 2.6 -10.4 -7.2 -20.0 -2.2 4.1 BITCOIN 20.0 7.6 -6.5 -4.4 9.7 -3.6 6.0 -0.9 -0.3 20.0 6.9 20.0 8.1 20.0 0.8 -6.1 -4.6 -6.0 -5.6 12.1 3.3 20.0 1.0 20.0 -20.0 4.2 20.0 0.7 19.9 0.2 11.5 -0.7 20.0 20.0 20.0 6.7 -3.2 20.0 -1.6 20.0 BOBL 4.9 -4.2 1.1 -2.5 -0.7 -2.2 -1.4 -2.0 -2.1 -1.1 -5.8 -0.0 -7.5 -3.3 -4.0 9.0 -5.0 -1.2 -5.9 -4.5 -5.6 -1.6 -8.4 -3.0 8.8 -2.3 -0.2 -2.4 -0.8 -3.1 -1.6 -6.9 4.1 10.9 7.7 7.6 -20.0 -20.0 -15.2 -17.5 BTP -1.9 -19.7 -11.0 -3.6 -1.1 -3.2 -2.0 -2.8 -3.1 -3.2 -6.6 -4.9 -2.1 -9.5 -9.9 6.9 7.5 6.2 6.4 -11.9 -8.6 -4.8 -6.2 -9.6 -6.2 -3.7 -0.8 -2.5 -1.5 -1.5 -3.0 15.3 4.8 7.7 1.4 4.1 -13.4 -20.0 -0.8 7.3 BUND 3.1 -8.0 -2.4 -2.6 -0.8 -2.3 -1.4 -2.0 -2.2 -4.0 -6.9 -2.0 -8.1 -5.3 -6.2 -2.3 5.6 0.0 2.5 -6.5 -7.0 -3.0 -9.0 -4.7 5.8 -2.6 -0.9 -2.5 -1.2 -2.6 -2.0 10.6 3.2 8.2 5.6 4.6 -20.0 -20.0 -19.8 -2.5 BUXL 2.7 -12.2 -5.1 -2.8 -0.8 -2.5 -1.5 -2.2 -2.4 -7.0 -8.2 -3.6 -9.0 -6.4 -7.4 0.3 0.8 0.5 0.8 -10.1 -10.4 -5.3 -12.0 -7.6 1.3 -3.0 -1.6 -2.8 -1.5 -2.6 -2.2 5.0 1.1 6.1 0.9 -0.6 -20.0 -20.0 -10.8 18.3 CAC -10.6 -18.0 -15.4 -5.8 -7.0 -3.2 -7.4 -0.5 -6.7 -11.6 -6.0 -15.8 14.3 -18.4 -18.5 -4.5 -2.4 -5.6 -4.6 -20.0 -9.8 -20.0 5.1 -20.0 -5.2 -6.6 -5.0 -3.2 -7.8 1.0 -8.1 4.4 4.3 -1.1 -0.8 2.7 11.4 2.7 18.3 8.6 CAD -6.4 -4.6 -11.6 -5.7 -6.7 -2.1 -6.0 0.8 -6.1 -19.6 -12.8 -19.3 -14.0 -17.2 -19.2 -2.5 -2.2 -2.5 -2.4 -16.4 -12.5 -18.4 -10.0 -17.1 1.8 -7.0 -9.1 -5.1 -7.9 -3.5 -7.4 0.0 -5.9 -20.0 2.5 -17.8 -20.0 -20.0 -17.3 -20.0 CANOLA -13.9 -20.0 -3.4 -3.3 -1.5 -2.8 -1.5 -2.7 -2.8 -9.9 -0.1 -10.9 -4.0 -12.6 -10.0 -12.3 5.6 -8.0 -1.1 -18.5 -9.4 -17.7 -5.6 -20.0 -20.0 -3.7 -3.3 -2.2 -3.7 -1.9 -4.2 2.9 -14.9 -15.5 -20.0 1.1 -8.0 -1.2 12.1 11.0 CHF 20.0 -18.4 -13.8 -5.1 -6.1 -1.9 -5.4 0.7 -5.5 8.3 -8.3 15.6 6.6 -1.0 -11.2 -17.2 -14.7 -16.8 -15.7 -10.1 -9.1 13.2 -0.3 4.0 -9.4 -3.2 0.8 -2.8 3.9 -0.3 0.9 -20.0 20.0 20.0 -10.5 -1.9 -20.0 -20.0 -20.0 -20.0 COCOA 11.7 -13.7 1.8 -5.4 -2.4 -4.6 -2.5 -4.3 -4.4 16.9 17.6 18.8 19.0 11.1 11.7 -3.8 -2.5 -3.8 -3.1 17.3 20.0 20.0 20.0 20.0 -15.8 5.4 9.4 8.3 11.0 11.0 7.4 -6.5 20.0 20.0 20.0 20.0 4.5 -6.3 20.0 5.3 COFFEE 19.4 11.6 -4.5 -5.7 -2.5 -4.9 -2.7 -4.6 -4.7 11.0 -17.0 16.5 -16.2 10.9 -1.9 -0.1 1.3 -1.1 -0.0 2.0 -10.9 20.0 -15.9 19.4 -20.0 1.9 6.1 -1.9 11.9 -2.7 8.3 -0.6 20.0 20.0 20.0 -6.1 -20.0 -20.0 -20.0 -11.2 COPPER -6.6 -12.4 -9.6 -3.5 7.7 -2.8 4.7 -0.7 -0.3 1.2 -16.4 -11.8 -5.9 -16.1 -17.5 -7.5 -3.6 -6.4 -5.1 -16.5 -14.4 -4.9 -10.9 -13.1 -5.9 -5.9 0.8 -4.9 -1.8 -3.6 -5.0 0.7 -20.0 -9.2 -10.9 0.3 3.1 -20.0 7.4 -20.0 CORN 9.0 0.2 -20.0 -4.9 -2.1 -4.2 -2.3 -3.9 -4.0 -15.7 -17.4 -0.6 -16.8 3.2 -15.7 -4.4 1.8 -5.4 -3.3 -6.7 -16.8 -4.6 -19.6 -0.4 -17.6 -0.9 -9.0 -4.1 -3.2 -6.9 0.1 -3.0 -9.6 12.5 16.7 -5.5 -6.9 -0.2 2.9 6.4 COTTON2 -16.9 -6.8 6.9 -4.9 -2.2 -4.2 -2.3 -3.9 -4.1 -10.4 9.2 -15.3 -8.6 -14.7 2.2 -8.8 3.1 -3.6 -0.3 -4.8 2.4 -15.3 0.7 -13.6 -20.0 -1.9 -4.8 2.1 -8.6 2.8 -7.2 0.6 -20.0 -18.7 11.2 16.3 -20.0 -14.8 4.8 8.1 CRUDE_W -20.0 -2.1 20.0 2.5 -2.3 4.8 -1.2 4.1 -0.4 5.9 13.3 5.0 6.6 5.2 11.9 12.5 11.7 15.1 13.1 12.7 16.1 4.0 12.5 6.2 -4.9 4.2 0.5 6.2 0.7 5.7 1.4 -20.0 5.4 0.7 15.8 0.4 20.0 10.1 20.0 8.8 DAX -6.9 -19.5 -20.0 -5.0 -6.1 -2.8 -6.4 -0.4 -5.8 -14.9 -10.7 -16.3 10.5 -16.7 -17.2 -9.6 -7.9 -9.6 -9.0 -20.0 -12.2 -20.0 0.2 -20.0 16.3 -6.1 -5.5 -3.8 -6.6 -0.6 -6.7 -4.3 -0.4 -0.9 -4.6 -5.7 12.3 1.6 20.0 10.0 DOW -3.2 -20.0 -11.9 -4.6 -5.5 -2.6 -5.9 -0.4 -5.3 -12.9 -3.3 -11.8 7.9 -12.5 -12.3 -10.8 -8.9 -11.2 -10.5 -15.7 -8.0 -17.1 -0.7 -17.2 -9.7 -4.4 -4.9 -1.7 -5.0 0.7 -5.0 -6.4 10.5 1.5 -1.7 10.1 -14.9 -7.3 -20.0 -8.2 DX -6.0 17.8 20.0 -5.6 -6.6 -2.1 -5.8 0.8 -6.0 12.6 18.5 2.8 -4.6 16.5 20.0 7.3 5.8 7.2 6.5 20.0 20.0 5.6 14.0 15.3 -20.0 7.3 1.8 6.4 1.8 4.4 4.5 14.4 20.0 20.0 20.0 20.0 4.1 7.9 7.4 20.0 EUR 10.1 -13.1 -16.0 -4.0 -4.8 -1.5 -4.2 0.6 -4.3 -2.0 -12.0 3.1 3.8 -9.0 -13.3 -6.6 -6.9 -6.7 -6.7 -12.0 -10.6 0.3 -5.5 -5.4 11.9 -4.7 -0.6 -3.9 0.1 -2.0 -2.2 -7.7 15.2 8.7 -8.7 -10.0 -9.8 -17.5 -7.1 -4.3 EURIBOR-ICE 5.6 0.4 3.1 -2.5 -0.7 -2.2 -1.4 -1.9 -2.1 3.1 -4.1 1.7 -7.0 -0.7 0.2 -5.2 -7.6 -7.2 -8.0 -1.6 -3.3 0.9 -7.4 -0.5 17.1 -1.1 2.0 -1.8 0.5 -3.9 -0.5 -10.4 6.5 13.3 12.9 12.1 -20.0 -20.0 7.5 17.3 EUROSTX -4.0 -15.2 -16.6 -5.0 -6.1 -2.8 -6.5 -0.4 -5.8 -12.6 -6.0 -14.3 11.8 -15.5 -16.7 -5.5 -2.2 -5.4 -4.4 -15.3 -8.0 -16.7 3.8 -16.8 4.6 -5.9 -5.1 -3.3 -6.5 0.6 -6.5 4.7 9.6 8.7 3.9 1.4 8.5 4.2 13.5 13.8 FEEDCOW -20.0 -20.0 -13.3 -4.6 -2.0 -4.0 -2.1 -3.7 -3.8 -14.1 9.3 -17.2 14.1 -16.7 -6.1 -12.9 -20.0 -13.1 -20.0 -13.0 7.1 -20.0 17.6 -20.0 -2.1 -2.4 -10.5 2.8 -11.1 5.6 -7.7 -20.0 -20.0 -20.0 -1.9 18.7 13.8 -3.8 20.0 6.4 GASOIL -20.0 -7.8 20.0 2.0 -1.8 3.8 -0.9 3.3 -0.4 -5.3 11.2 0.3 6.8 0.8 10.1 20.0 20.0 20.0 20.0 8.9 14.1 -2.5 12.3 1.0 8.0 3.2 -2.1 5.3 -0.9 4.3 0.2 0.0 2.6 1.0 2.4 12.0 -11.0 1.3 -16.6 -4.5 GASOLINE -17.8 -20.0 6.1 2.7 -2.5 5.2 -1.3 4.5 -0.5 4.4 10.2 -0.5 6.8 -7.7 2.8 10.1 20.0 20.0 20.0 -2.4 8.3 -0.8 14.5 -5.8 -20.0 -1.4 -1.3 3.0 -0.8 5.9 -2.7 20.0 8.2 -13.3 -20.0 -18.3 20.0 10.2 20.0 5.5 GAS_US_mini 7.8 8.0 20.0 3.5 -3.2 6.7 -1.7 5.8 -0.6 -12.4 -19.0 -13.6 -20.0 -9.6 -13.0 -20.0 -20.0 -20.0 -20.0 -4.7 -14.8 -13.0 -20.0 -6.8 20.0 0.5 -5.0 -0.3 -7.9 -3.1 -2.9 -20.0 -20.0 20.0 -11.3 -20.0 -6.2 5.9 -12.7 0.9 GBP 8.6 -20.0 -15.6 -4.6 -5.4 -1.7 -4.8 0.7 -4.9 -13.8 -7.6 -6.0 7.4 -13.7 -15.9 -1.0 -0.8 -0.6 -0.5 -15.6 -10.0 -6.2 -2.4 -11.1 0.4 -5.5 -2.6 -3.6 -2.1 -1.4 -3.9 2.8 2.9 6.7 -15.6 -11.8 -4.2 7.9 2.2 20.0 GOLD_micro 20.0 4.4 -14.0 -2.6 5.9 -2.2 3.6 -0.6 -0.2 12.7 -7.0 13.6 1.4 9.9 -0.1 -15.5 -14.6 -17.1 -16.4 1.4 -4.6 20.0 -2.5 15.7 -6.2 0.3 4.9 -1.0 6.6 -0.2 4.0 -18.7 20.0 19.7 9.4 2.4 -10.6 -20.0 -8.1 -20.0 HEATOIL -20.0 -10.0 20.0 2.6 -2.4 5.0 -1.2 4.3 -0.5 -5.4 13.1 2.8 7.4 -1.2 11.5 20.0 20.0 20.0 20.0 10.6 18.3 -2.8 16.6 0.9 -20.0 3.0 -3.0 6.8 -1.2 7.3 -0.5 1.2 4.8 -0.5 -9.8 12.2 7.5 -2.1 -0.5 -6.4 JGB-SGX-mini 2.7 -13.2 -20.0 -3.3 -1.0 -2.9 -1.8 -2.5 -2.8 -7.8 -3.5 -7.4 2.9 -7.5 -9.5 20.0 20.0 17.3 17.2 -9.3 -6.6 -9.8 -1.5 -9.0 -1.6 -3.3 -3.5 -2.5 -3.6 -1.3 -3.2 20.0 -3.4 3.9 7.6 -1.3 -2.2 -14.8 12.0 12.5 JPY 2.2 -12.3 -20.0 -4.7 -5.6 -1.8 -5.0 0.7 -5.1 -16.7 -19.9 -18.2 -18.8 -18.9 -19.7 -20.0 -15.6 -18.9 -17.4 -20.0 -20.0 -9.7 -20.0 -16.4 20.0 -7.3 -2.2 -8.7 -3.1 -8.9 -4.9 -20.0 10.3 -0.8 -8.2 -19.2 -7.9 -20.0 -4.3 -20.0 LEANHOG -14.9 -6.7 6.4 -2.7 -1.2 -2.3 -1.3 -2.2 -2.2 -6.8 -2.7 -9.6 -4.9 -9.7 -7.8 -0.9 20.0 20.0 20.0 -8.6 -6.6 -12.4 -8.2 -12.1 10.7 -3.4 -2.8 -3.6 -4.5 -5.0 -4.3 20.0 -17.9 -11.7 0.4 -3.0 -8.4 -2.6 13.0 20.0 LIVECOW -20.0 -20.0 -12.7 -4.8 -2.1 -4.1 -2.2 -3.9 -4.0 -15.9 13.4 -17.1 16.0 -12.3 -1.8 -20.0 -4.9 -20.0 -10.1 -4.6 8.8 -20.0 15.5 -20.0 0.3 -1.2 -15.3 4.6 -13.0 7.7 -7.4 -11.8 -20.0 -20.0 11.0 20.0 -18.0 -20.0 -10.1 -15.0 LUMBER-new -1.9 -6.2 -13.1 -6.2 -2.7 -5.1 -2.9 -4.0 -5.1 -18.7 -20.0 -20.0 -20.0 -20.0 -20.0 -16.8 -14.4 -16.0 -15.1 -18.8 -19.8 -20.0 -17.4 -17.7 NaN -8.0 -9.8 -7.3 -10.4 -5.4 -8.5 -20.0 -20.0 -8.3 -2.2 -17.6 -13.4 -20.0 -5.9 -18.6 MILK 5.4 -5.6 0.7 -3.9 -1.7 -3.4 -1.8 -3.1 -3.3 -7.9 -6.9 -1.0 -11.9 -8.4 0.9 -14.7 -20.0 -18.5 -20.0 -4.9 -10.4 -0.7 -18.7 -1.7 2.7 -1.8 -2.6 -5.0 1.1 -8.5 0.4 -20.0 8.9 13.6 4.6 5.1 -20.0 -20.0 -20.0 -20.0 MXP -15.6 -20.0 -20.0 -3.2 -3.9 -1.2 -3.4 0.5 -3.5 -10.3 4.8 -11.3 10.4 -11.7 -9.9 12.7 16.7 14.4 15.5 -9.9 -0.1 -8.9 10.7 -12.2 -20.0 -3.3 -2.1 0.1 -2.9 3.8 -4.0 20.0 4.1 -11.6 -12.6 -0.7 15.3 11.3 20.0 20.0 NASDAQ_micro -0.6 -20.0 -18.0 -3.5 -4.3 -2.0 -4.5 -0.3 -4.1 -10.0 6.3 -8.5 8.2 -7.9 -7.9 -9.6 -8.6 -9.9 -9.7 -5.2 3.2 -14.3 9.4 -9.4 -20.0 -2.1 -8.1 1.8 -5.9 5.3 -3.9 -5.4 -4.0 12.6 7.0 9.6 1.1 -13.2 -0.7 -16.0 NIKKEI -9.7 -18.3 -13.7 -3.9 -4.8 -2.2 -5.1 -0.3 -4.6 -12.2 8.7 -4.5 10.4 -4.9 -3.8 3.6 10.7 7.4 9.6 -4.2 4.2 -10.9 11.0 -8.2 -6.9 -2.1 -4.8 2.1 -4.4 5.4 -3.8 20.0 19.6 0.6 14.1 7.0 -2.2 2.9 -3.2 11.6 NZD -1.5 2.0 -11.8 -3.6 -4.2 -1.3 -3.7 0.5 -3.8 -12.1 -12.3 -12.8 -2.7 -10.5 -12.8 -0.1 0.3 -0.0 0.1 -8.4 -8.8 -12.6 -8.3 -9.7 0.7 -3.7 -6.1 -3.6 -6.4 -3.1 -4.7 4.2 -15.3 -2.4 6.7 -5.2 3.8 -15.3 9.3 8.4 OAT 1.0 -10.2 -4.4 -2.9 -0.9 -2.6 -1.6 -2.2 -2.5 -4.8 -7.6 -3.6 -8.8 -6.7 -7.3 6.0 7.9 6.0 6.6 -7.8 -7.7 -3.7 -9.1 -5.9 8.1 -3.0 -1.1 -2.6 -1.4 -2.7 -2.3 15.9 2.9 7.8 5.3 4.6 -20.0 -20.0 -7.3 9.2 OATIES -20.0 -20.0 2.2 -3.2 -1.4 -2.7 -1.5 -2.6 -2.7 7.7 1.1 -7.5 -1.7 -11.1 -9.1 -18.9 -8.1 -18.0 -15.0 -16.3 -1.9 -10.2 4.7 -20.0 -20.0 -2.8 1.2 -0.3 -1.8 0.7 -3.8 -20.0 -11.5 -19.3 -20.0 0.9 8.9 11.5 20.0 20.0 OJ 20.0 20.0 20.0 -6.6 -2.9 -5.6 -3.1 -5.3 -5.4 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 10.0 5.3 10.3 7.3 10.8 9.0 20.0 20.0 20.0 20.0 20.0 2.3 7.6 16.5 20.0 PALLAD -16.5 -0.8 -1.7 -2.3 5.1 -1.9 3.1 -0.5 -0.2 -0.2 -13.1 -10.1 -13.6 -11.0 -11.9 -2.9 -2.7 -3.0 -2.9 -14.6 -18.2 -9.4 -20.0 -13.9 2.0 -4.4 -0.5 -4.2 -3.1 -4.5 -4.5 3.2 -20.0 -19.3 -8.6 -6.9 -9.8 -7.6 1.9 -3.4 PLAT 1.2 -3.1 -10.9 -2.4 5.3 -2.0 3.2 -0.5 -0.2 10.1 -11.6 4.6 -5.4 -7.0 -8.7 -3.9 -2.7 -3.8 -3.3 -7.3 -9.1 3.0 -7.0 -2.5 13.6 -1.8 3.7 -1.9 1.6 -1.4 -0.6 2.9 -5.8 -2.8 1.0 4.2 1.4 -17.3 8.4 -13.9 REDWHEAT -2.9 -17.4 -20.0 -4.8 -2.1 -4.1 -2.2 -3.8 -4.0 -16.1 -18.1 -16.1 -18.4 -17.2 -19.2 -5.4 0.1 -4.2 -2.1 -20.0 -20.0 -14.2 -20.0 -19.3 -17.8 -6.5 -5.8 -5.8 -4.4 -3.8 -5.4 -3.1 -15.4 -16.4 -10.0 -20.0 -20.0 -20.0 -20.0 -10.4 RICE -0.7 -4.3 8.6 -5.4 -2.4 -4.7 -2.5 -4.4 -4.5 -5.3 9.6 7.9 5.6 -5.4 6.5 -20.0 8.3 -12.6 1.6 3.8 6.0 3.3 5.1 2.3 -20.0 1.0 0.2 2.0 2.4 1.8 1.2 10.2 -0.5 9.9 9.8 15.3 -3.7 -20.0 16.6 -8.9 ROBUSTA 4.0 -7.8 -5.3 -4.8 -2.1 -4.1 -2.2 -3.9 -4.0 11.0 11.3 12.4 13.9 5.5 -0.3 20.0 20.0 20.0 20.0 5.1 9.3 20.0 18.4 15.4 -20.0 2.0 10.2 2.8 11.8 5.5 6.1 20.0 20.0 20.0 20.0 2.9 -2.0 -11.8 20.0 -0.3 RUSSELL -7.2 -20.0 -13.8 -3.7 -4.5 -2.1 -4.7 -0.3 -4.2 -11.7 -9.5 -12.3 -6.5 -12.8 -12.5 -7.1 -6.3 -7.7 -7.3 -18.8 -11.8 -20.0 -6.3 -20.0 -2.1 -4.2 -4.8 -2.2 -5.0 -0.6 -4.9 -1.3 -7.4 -8.4 -7.3 1.5 -11.4 -12.6 -20.0 -20.0 SHATZ 8.6 -1.8 1.4 -2.6 -0.8 -2.3 -1.4 -2.0 -2.2 0.5 -7.3 -2.1 -8.1 -3.9 -4.7 -20.0 -12.3 -20.0 -19.3 -4.7 -7.5 -1.4 -12.2 -2.8 10.3 -2.0 0.1 -2.8 -0.6 -4.3 -1.3 -20.0 3.3 14.3 8.7 9.3 -20.0 -20.0 -15.6 -20.0 SILVER-mini 5.0 -9.9 -11.4 -2.8 3.9 -2.1 2.2 -0.5 -1.0 7.0 -4.7 9.0 1.7 -1.7 -5.4 -7.1 -6.3 -7.4 -7.0 -5.4 -5.7 9.5 -2.3 2.1 6.3 -1.0 2.6 -0.7 3.8 0.1 1.1 -3.5 12.1 -0.1 0.2 7.0 -13.7 -20.0 -5.0 -20.0 SMI -15.1 -9.1 -11.9 -4.1 -5.0 -2.3 -5.3 -0.4 -4.7 -12.3 -4.9 -13.4 2.0 -12.5 -12.3 4.6 1.8 2.4 1.2 -15.0 -8.5 -20.0 -3.3 -20.0 4.9 -4.0 -7.1 -2.1 -8.6 -1.3 -6.6 12.7 -20.0 -13.4 1.9 2.9 -7.4 -13.6 -6.6 -8.5 SOFR 0.7 -7.5 -15.4 -2.7 -0.8 -2.4 -1.5 -2.1 -2.3 -3.5 -7.9 -4.1 -6.2 -6.5 -7.6 0.2 -0.9 -0.8 -1.1 -10.0 -9.1 -7.3 -7.3 -9.3 -1.4 -3.0 -1.5 -2.7 -2.3 -2.0 -2.9 1.6 -4.9 1.3 3.5 1.6 -20.0 -20.0 -5.3 -7.1 SOYBEAN -2.8 -12.0 0.9 -4.9 -2.2 -4.2 -2.3 -3.9 -4.1 -0.2 6.3 7.3 3.1 -11.6 -7.6 15.5 17.7 12.7 13.9 -5.1 -0.9 -0.3 0.2 -4.5 -20.0 -2.1 -1.2 -0.2 0.0 0.6 -1.8 20.0 11.1 5.2 1.7 7.5 -20.0 -4.0 -20.0 2.0 SOYMEAL 16.9 -2.7 -4.3 -3.7 -1.6 -3.2 -1.7 -3.0 -3.1 9.3 -6.4 11.8 1.1 4.9 -0.6 13.2 17.1 12.0 14.6 2.8 -1.3 20.0 0.7 13.0 -20.0 1.8 6.6 0.9 8.4 2.1 5.3 20.0 20.0 20.0 12.7 8.5 -20.0 -20.0 -20.0 -19.0 SOYOIL -20.0 -20.0 -1.2 -2.8 -1.2 -2.4 -1.3 -2.2 -2.3 -6.4 1.6 -8.7 -1.3 -9.9 -7.4 9.8 11.8 12.4 11.8 -14.0 -5.1 -15.4 -0.7 -18.1 -20.0 -3.1 -2.4 -1.2 -3.4 -0.3 -3.9 17.9 -7.2 -20.0 -18.3 -3.6 -4.4 4.7 14.8 20.0 SP400 -5.4 -20.0 -15.5 -3.5 -4.2 -2.0 -4.5 -0.3 -4.0 -11.2 -7.5 -11.4 0.3 -11.6 -11.0 -5.1 -5.1 -5.4 -5.4 -15.3 -8.9 -20.0 -3.0 -18.0 -9.1 -3.7 -5.6 -1.9 -5.2 -0.2 -4.6 1.3 -6.6 -4.7 -3.3 4.3 -6.7 -13.6 -15.2 -20.0 SP500_micro -2.7 -20.0 -20.0 -4.2 -5.1 -2.4 -5.4 -0.4 -4.8 -12.7 2.5 -11.4 7.1 -11.5 -10.8 -10.7 -9.8 -11.4 -11.1 -12.5 -3.2 -20.0 4.2 -16.4 -16.8 -3.7 -7.3 -0.5 -6.1 2.2 -5.0 -7.7 -4.2 5.2 -0.4 8.5 -4.5 -12.2 -5.1 -17.4 SUGAR11 -0.0 5.7 2.0 -5.1 -2.3 -4.4 -2.4 -4.1 -4.2 17.4 18.3 17.3 18.2 16.5 17.4 20.0 15.3 20.0 15.1 18.6 20.0 13.9 20.0 15.2 -20.0 6.1 6.0 8.5 5.7 12.9 5.5 20.0 20.0 20.0 20.0 20.0 -20.0 -20.0 8.5 2.6 US10 3.4 -6.2 -14.7 -2.4 -0.7 -2.2 -1.3 -1.9 -2.1 -4.6 -7.8 -4.9 -7.7 -6.5 -7.4 -5.8 -7.2 -7.5 -8.0 -11.1 -11.1 -7.6 -10.5 -9.7 1.1 -2.9 -1.5 -2.7 -2.0 -2.3 -2.6 -10.1 -4.8 -0.5 0.3 -1.5 -20.0 -20.0 2.0 0.3 US10U 3.1 -8.3 -14.9 -3.0 -0.9 -2.7 -1.6 -2.3 -2.5 -5.6 -9.5 -6.1 -9.4 -8.2 -9.2 2.1 -0.3 0.9 -0.2 -14.3 -13.8 -9.3 -12.5 -12.4 -2.3 -3.5 -1.6 -3.2 -2.3 -2.6 -3.1 2.6 -4.9 -2.0 -1.2 -3.7 -20.0 -20.0 10.2 15.3 US2 12.6 7.1 -9.6 -2.6 -0.8 -2.3 -1.4 -2.0 -2.2 -0.9 -8.5 -2.7 -8.5 -5.2 -7.2 -20.0 -20.0 -20.0 -20.0 -8.1 -12.6 -2.9 -16.5 -4.6 8.4 -2.8 -1.3 -4.2 -1.2 -5.6 -1.8 -20.0 1.9 12.0 10.7 4.3 -20.0 -20.0 -14.4 -20.0 US20 2.6 -8.8 -15.4 -2.2 -0.6 -1.9 -1.2 -1.7 -1.8 -3.7 -6.8 -4.3 -6.4 -5.9 -6.6 -0.4 -1.8 -1.7 -2.0 -11.3 -10.4 -6.7 -8.8 -9.7 -2.0 -2.5 -0.9 -2.3 -1.4 -1.8 -2.1 0.0 -2.7 -3.5 -3.8 -5.8 -11.3 -20.0 20.0 20.0 US30 2.1 -8.2 -11.3 -2.2 -0.7 -2.0 -1.2 -1.7 -1.9 -4.1 -7.0 -4.7 -6.8 -6.2 -6.9 -4.3 -4.1 -5.7 -5.2 -10.7 -10.0 -6.6 -9.1 -9.2 -1.5 -2.6 -1.0 -2.3 -1.5 -1.9 -2.2 -4.6 -2.1 -2.2 -2.0 -5.1 -7.6 -20.0 20.0 20.0 US5 5.2 -2.8 -13.1 -2.6 -0.8 -2.3 -1.4 -2.0 -2.2 -4.3 -8.2 -4.7 -8.1 -6.5 -7.5 -9.8 -10.6 -12.2 -12.3 -10.0 -10.9 -6.4 -11.5 -8.3 3.3 -3.0 -1.5 -3.0 -2.0 -3.0 -2.6 -16.6 -3.4 4.1 4.5 1.8 -20.0 -20.0 -8.1 -17.8 VIX 13.3 20.0 20.0 1.5 3.9 -3.8 5.2 -7.8 4.8 9.2 -13.8 9.7 -16.3 10.4 4.9 -18.2 -20.0 -20.0 -20.0 1.9 -9.0 10.3 -18.0 8.7 NaN 1.8 4.5 -4.3 5.9 -9.3 5.5 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 7.8 -10.1 -20.0 -4.5 -2.0 -3.8 -2.1 -3.6 -3.7 -10.1 -16.2 6.6 -17.6 -5.4 -16.0 -11.2 -10.1 -11.3 -11.0 -14.9 -20.0 -1.6 -20.0 -5.1 -5.1 -4.7 -3.7 -6.5 -0.9 -6.9 -1.7 -20.0 -0.5 5.3 3.6 -14.6 -20.0 -15.7 -20.0 -12.1 End of report for caleb_strategy_v3