******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231026_204326 produced at 2023-10-26 21:38:57.998816 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.95 0.0 0.00 0.00 0.00 0.00 -11.10 11.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.19 -0.25 0.0 0.19 -0.19 -0.19 -0.19 -7.69 6.0 -6 -6 caleb_strategy_v3 US2 False True 0.07 0.00 -0.19 0.0 0.00 0.00 0.00 0.00 -2.70 13.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.08 -0.18 0.0 0.75 -0.75 -0.08 -0.08 -7.11 29.0 -3 -3 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.15 0.0 0.00 0.00 0.00 0.00 -3.82 24.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.18 -0.14 0.0 0.51 -0.51 -0.18 -0.18 -4.68 17.0 -6 -6 caleb_strategy_v3 CHF False False 0.05 -0.25 -0.13 0.0 0.65 -0.65 -0.25 -0.25 -2.60 13.0 -5 -5 caleb_strategy_v3 VIX False False 0.01 -0.07 -0.09 0.0 0.13 -0.13 -0.07 -0.07 -12.34 17.0 -10 -10 caleb_strategy_v3 US5 False False 0.04 -0.07 -0.08 0.0 0.93 -0.93 -0.07 -0.07 -2.18 25.0 -2 -2 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.08 0.0 0.36 -0.36 0.00 0.00 -10.07 48.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 -0.08 0.0 0.39 -0.39 0.00 0.00 -13.35 66.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 -0.03 -0.07 0.0 0.44 -0.44 -0.03 -0.05 -2.91 17.0 -1 -2 caleb_strategy_v3 SP400 False False 0.08 -0.17 -0.07 0.0 0.17 -0.17 -0.17 -0.17 -0.88 2.0 -2 -2 caleb_strategy_v3 RUSSELL False False 0.00 -0.04 -0.07 0.0 0.20 -0.20 -0.04 -0.05 -24.19 68.0 -13 -17 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.06 0.0 0.18 -0.18 0.00 0.00 -16.89 51.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.06 0.0 0.34 -0.34 0.00 0.00 -1.31 8.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.07 -0.05 0.0 0.23 -0.23 -0.07 -0.06 -4.51 23.0 -7 -6 caleb_strategy_v3 SMI False False 0.04 -0.08 -0.05 0.0 0.37 -0.37 -0.08 -0.08 -1.25 9.0 -2 -2 caleb_strategy_v3 EUR False False 0.05 -0.28 -0.05 0.0 0.66 -0.66 -0.28 -0.28 -0.99 14.0 -6 -6 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.05 0.0 0.43 -0.43 -0.02 -0.02 -2.14 19.0 -1 -1 caleb_strategy_v3 BTP False False 0.04 0.00 -0.05 0.0 0.41 -0.41 0.00 0.00 -1.13 10.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.05 0.0 0.11 -0.11 -0.01 -0.01 -5.35 12.0 -1 -1 caleb_strategy_v3 PALLAD False False 0.04 -0.04 -0.04 0.0 0.08 -0.08 -0.04 -0.04 -0.88 2.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.04 0.0 0.64 -0.64 0.00 0.00 -1.17 17.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 -0.04 0.0 0.40 -0.40 -0.01 -0.01 -5.32 56.0 -1 -1 caleb_strategy_v3 MILK False False 0.01 0.00 -0.04 0.0 0.06 -0.06 0.00 0.00 -2.90 5.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.04 0.0 0.01 -0.01 0.00 0.00 -8.54 3.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 -0.03 0.0 0.51 -0.51 0.00 0.00 -0.65 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 -1.13 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 -2.32 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 -4.39 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 -1.42 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 -2.49 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 -1.94 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 -1.14 22.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -8.86 26.0 -6 -6 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -0.82 0.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.00 -0.02 0.0 0.59 -0.59 0.00 0.00 -2.41 60.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.02 0.0 0.83 -0.83 0.00 0.00 -0.52 19.0 0 0 caleb_strategy_v3 DAX False False 0.01 -0.01 -0.02 0.0 0.32 -0.32 -0.01 -0.01 -3.30 58.0 -1 -1 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.43 6.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.01 0.0 0.11 -0.11 -0.02 -0.03 -0.75 10.0 -2 -3 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -0.70 4.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.48 -0.48 0.00 0.00 -0.24 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 -0.19 4.0 -2 -2 caleb_strategy_v3 US20 False False 0.04 -0.04 -0.01 0.0 0.35 -0.35 -0.04 -0.04 -0.31 9.0 -1 -1 caleb_strategy_v3 US30 False False 0.04 -0.08 -0.01 0.0 0.24 -0.24 -0.08 -0.08 -0.22 6.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.39 7.0 -1 -1 caleb_strategy_v3 OAT False False 0.05 0.00 -0.00 0.0 0.46 -0.46 0.00 0.00 -0.09 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 0.05 20.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.04 9.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.13 4.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.05 -0.00 0.0 0.16 -0.16 -0.05 -0.05 -0.05 10.0 -3 -3 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.01 0.0 0.13 -0.13 0.01 0.01 1.41 13.0 1 1 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.20 -0.20 0.01 0.01 1.36 23.0 1 1 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.16 3.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.03 0.0 0.12 -0.12 0.00 0.00 0.87 4.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.03 0.0 0.19 -0.19 0.00 0.00 2.47 18.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.05 0.03 0.0 0.26 -0.26 0.05 0.05 3.86 36.0 7 7 caleb_strategy_v3 COCOA False False 0.01 0.00 0.03 0.0 0.36 -0.36 0.00 0.01 1.95 26.0 0 1 caleb_strategy_v3 BITCOIN False False 0.00 0.01 0.05 0.0 0.07 -0.07 0.01 0.02 37.62 59.0 10 17 caleb_strategy_v3 OJ False False 0.02 0.00 0.07 0.0 0.06 -0.06 0.00 0.00 3.32 3.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.41 0.08 0.0 0.55 -0.55 0.41 0.41 2.31 16.0 12 12 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.10 0.0 0.14 -0.14 0.08 0.08 3.52 5.0 3 3 caleb_strategy_v3 DX False False 0.04 0.00 0.15 0.0 37985101.56 -37985101.56 0.00 0.00 3.94 999999999.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.09 0.42 0.0 0.91 -0.91 0.09 0.09 4.55 10.0 1 1 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 12.1 Shocked risk 27.1 Sum abs risk 45.5 Leverage 4.58 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2801756.36, 'annual_cash_vol_target': 700439.09, 'daily_cash_vol_target': 43777.443125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6340 0.6649 10.6387 BITCOIN 861.3890 34370.0000 2.5062 40.0996 BOBL 0.2825 116.0200 0.2435 3.8963 BTP 0.6573 109.0000 0.6030 9.6486 BUND 0.5779 128.7100 0.4490 7.1845 BUXL 1.3358 120.4600 1.1089 17.7432 CAC 55.9493 6894.5000 0.8115 12.9841 CAD 0.0029 0.7244 0.3943 6.3095 CANOLA 7.0293 682.2000 1.0304 16.4863 CHF 0.0048 1.1185 0.4333 6.9324 COCOA 43.8010 3862.0000 1.1342 18.1465 COFFEE 2.5939 160.9500 1.6116 25.7861 COPPER 0.0356 3.5995 0.9880 15.8079 CORN 5.1901 509.5000 1.0187 16.2985 COTTON2 1.0779 86.1800 1.2507 20.0115 CRUDE_W 1.2497 77.0500 1.6219 25.9501 DAX 119.3298 14813.0000 0.8056 12.8892 DOW 205.6496 33083.0000 0.6216 9.9459 DX 0.3564 106.4250 0.3349 5.3577 EUR 0.0052 1.0582 0.4952 7.9234 EURIBOR-ICE 0.0552 97.1250 0.0568 0.9093 EUROSTX 37.3711 4064.0000 0.9196 14.7130 FEEDCOW 2.0944 237.7750 0.8808 14.0934 GASOIL 15.8981 845.7500 1.8798 30.0762 GASOLINE 0.0393 2.2418 1.7508 28.0134 GAS_US_mini 0.0896 3.7500 2.3898 38.2362 GBP 0.0068 1.2137 0.5577 8.9234 GOLD_micro 14.7640 1996.8000 0.7394 11.8301 HEATOIL 0.0448 2.8776 1.5575 24.9197 JGB-SGX-mini 0.2173 144.4200 0.1505 2.4073 JPY 0.0000 0.0067 0.4844 7.7506 LEANHOG 1.2617 71.6750 1.7603 28.1650 LIVECOW 1.5597 180.2000 0.8655 13.8483 LUMBER-new 7.9328 496.0000 1.5994 25.5897 MILK 0.2176 17.7200 1.2278 19.6455 MXP 0.0005 0.0546 0.8569 13.7105 NASDAQ_micro 142.6854 14286.7500 0.9987 15.9796 NIKKEI 333.1012 30695.0000 1.0852 17.3631 NZD 0.0040 0.5823 0.6850 10.9597 OAT 0.5877 122.9000 0.4782 7.6505 OATIES 6.5635 416.0000 1.5778 25.2443 OJ 3.7620 390.2500 0.9640 15.4240 PALLAD 18.7434 1145.0000 1.6370 26.1916 PLAT 12.8731 911.7000 1.4120 22.5919 REDWHEAT 10.0240 665.7500 1.5057 24.0907 RICE 0.1431 16.6300 0.8604 13.7660 ROBUSTA 32.5364 2422.0000 1.3434 21.4939 RUSSELL 18.8445 1673.0000 1.1264 18.0223 SHATZ 0.0842 105.0850 0.0801 1.2818 SILVER-mini 0.3301 23.0125 1.4345 22.9514 SMI 81.4890 10392.0000 0.7842 12.5464 SOFR 0.0826 95.8050 0.0862 1.3795 SOYBEAN 10.0800 1257.0000 0.8019 12.8305 SOYMEAL 5.1462 404.0000 1.2738 20.3811 SOYOIL 0.7833 50.6000 1.5480 24.7684 SP400 24.0543 2376.5000 1.0122 16.1948 SP500_micro 31.8655 4176.7500 0.7629 12.2068 SUGAR11 0.3351 25.7400 1.3017 20.8269 US10 0.4827 106.2969 0.4541 7.2663 US10U 0.6876 109.0625 0.6305 10.0876 US2 0.1077 101.2617 0.1064 1.7022 US20 1.0686 109.7812 0.9734 15.5749 US30 1.5810 113.1250 1.3975 22.3606 US5 0.2981 104.5234 0.2852 4.5629 VIX 0.6576 21.0000 3.1314 50.1028 WHEAT 8.7909 667.0000 1.3180 21.0875 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 634.05 0.66 421.59 1.00 421.59 43777.44 103.84 -7.94 -82.49 BITCOIN 34.37 2.51 86.14 1.00 86.14 43777.44 508.22 6.84 347.41 BOBL 1160.20 0.24 282.53 1.06 299.45 43777.44 146.19 -3.48 -50.81 BTP 1090.00 0.60 657.31 1.06 696.68 43777.44 62.84 -5.28 -33.21 BUND 1287.10 0.45 577.95 1.06 612.57 43777.44 71.47 -3.33 -23.78 BUXL 1204.60 1.11 1335.84 1.06 1415.86 43777.44 30.92 -6.12 -18.93 CAC 689.45 0.81 559.49 1.06 593.01 43777.44 73.82 -4.48 -33.05 CAD 724.45 0.39 285.68 1.00 285.68 43777.44 153.24 -17.88 -274.06 CANOLA 136.44 1.03 140.59 0.73 102.26 43777.44 428.12 -16.22 -694.30 CHF 1398.12 0.43 605.77 1.00 605.77 43777.44 72.27 -13.89 -100.39 COCOA 386.20 1.13 438.01 1.00 438.01 43777.44 99.95 9.13 91.21 COFFEE 603.56 1.61 972.72 1.00 972.72 43777.44 45.01 -8.23 -37.03 COPPER 899.88 0.99 889.07 1.00 889.07 43777.44 49.24 -14.42 -71.00 CORN 254.75 1.02 259.50 1.00 259.50 43777.44 168.70 -13.04 -220.03 COTTON2 430.90 1.25 538.93 1.00 538.93 43777.44 81.23 -11.14 -90.50 CRUDE_W 770.50 1.62 1249.66 1.00 1249.66 43777.44 35.03 9.27 32.47 DAX 148.13 0.81 119.33 1.06 126.48 43777.44 346.13 -2.79 -96.63 DOW 165.42 0.62 102.82 1.00 102.82 43777.44 425.75 -13.49 -574.27 DX 1064.25 0.33 356.37 1.00 356.37 43777.44 122.84 12.38 152.02 EUR 1322.75 0.50 655.04 1.00 655.04 43777.44 66.83 -5.72 -38.25 EURIBOR-ICE 2428.12 0.06 137.99 1.06 146.26 43777.44 299.32 4.46 133.37 EUROSTX 406.40 0.92 373.71 1.06 396.10 43777.44 110.52 0.14 1.53 FEEDCOW 1188.88 0.88 1047.21 1.00 1047.21 43777.44 41.80 -9.45 -39.49 GASOIL 845.75 1.88 1589.81 1.00 1589.81 43777.44 27.54 7.26 20.00 GASOLINE 941.56 1.75 1648.51 1.00 1648.51 43777.44 26.56 1.13 3.01 GAS_US_mini 93.75 2.39 224.04 1.00 224.04 43777.44 195.40 -4.19 -81.81 GBP 758.56 0.56 423.06 1.00 423.06 43777.44 103.48 -4.23 -43.77 GOLD_micro 199.68 0.74 147.64 1.00 147.64 43777.44 296.51 -5.26 -156.02 HEATOIL 1208.59 1.56 1882.36 1.00 1882.36 43777.44 23.26 1.58 3.66 JGB-SGX-mini 144420.00 0.15 21729.01 0.01 145.00 43777.44 301.92 0.71 21.31 JPY 838.25 0.48 406.06 1.00 406.06 43777.44 107.81 -16.74 -180.47 LEANHOG 286.70 1.76 504.68 1.00 504.68 43777.44 86.74 2.68 23.21 LIVECOW 720.80 0.87 623.87 1.00 623.87 43777.44 70.17 -12.50 -87.70 LUMBER-new 136.40 1.60 218.15 1.00 218.15 43777.44 200.67 -20.00 -401.35 MILK 354.40 1.23 435.15 1.00 435.15 43777.44 100.60 -13.48 -135.57 MXP 273.20 0.86 234.11 1.00 234.11 43777.44 187.00 -0.88 -16.43 NASDAQ_micro 285.74 1.00 285.37 1.00 285.37 43777.44 153.41 -12.65 -194.13 NIKKEI 30695.00 1.09 33310.12 0.01 222.28 43777.44 196.95 1.81 35.60 NZD 582.30 0.68 398.87 1.00 398.87 43777.44 109.75 -4.98 -54.66 OAT 1229.00 0.48 587.66 1.06 622.86 43777.44 70.28 -0.36 -2.51 OATIES 208.00 1.58 328.18 1.00 328.18 43777.44 133.40 -13.52 -180.38 OJ 585.38 0.96 564.30 1.00 564.30 43777.44 77.58 20.00 155.16 PALLAD 1145.00 1.64 1874.34 1.00 1874.34 43777.44 23.36 -11.04 -25.78 PLAT 455.85 1.41 643.66 1.00 643.66 43777.44 68.01 -0.22 -1.53 REDWHEAT 332.88 1.51 501.20 1.00 501.20 43777.44 87.35 -20.00 -174.69 RICE 332.60 0.86 286.16 1.00 286.16 43777.44 152.98 -1.89 -28.93 ROBUSTA 242.20 1.34 325.36 1.00 325.36 43777.44 134.55 8.65 116.35 RUSSELL 83.65 1.13 94.22 1.00 94.22 43777.44 464.62 -15.71 -729.85 SHATZ 1050.85 0.08 84.18 1.06 89.23 43777.44 490.63 -7.68 -376.74 SILVER-mini 575.31 1.43 825.26 1.00 825.26 43777.44 53.05 -4.51 -23.92 SMI 1039.20 0.78 814.89 1.12 913.29 43777.44 47.93 -7.67 -36.75 SOFR 2395.13 0.09 206.50 1.00 206.50 43777.44 212.00 -8.62 -182.70 SOYBEAN 628.50 0.80 504.00 1.00 504.00 43777.44 86.86 -4.83 -42.00 SOYMEAL 404.00 1.27 514.62 1.00 514.62 43777.44 85.07 -0.55 -4.71 SOYOIL 303.60 1.55 469.98 1.00 469.98 43777.44 93.15 -8.64 -80.44 SP400 2376.50 1.01 2405.43 1.00 2405.43 43777.44 18.20 -14.55 -26.47 SP500_micro 208.84 0.76 159.33 1.00 159.33 43777.44 274.76 -15.77 -433.23 SUGAR11 288.29 1.30 375.26 1.00 375.26 43777.44 116.66 9.96 116.16 US10 1062.97 0.45 482.74 1.00 482.74 43777.44 90.69 -10.14 -91.99 US10U 1090.62 0.63 687.61 1.00 687.61 43777.44 63.67 -8.06 -51.33 US2 2025.23 0.11 215.45 1.00 215.45 43777.44 203.19 -10.48 -212.84 US20 1097.81 0.97 1068.65 1.00 1068.65 43777.44 40.97 -5.93 -24.29 US30 1131.25 1.40 1580.96 1.00 1580.96 43777.44 27.69 -6.23 -17.26 US5 1045.23 0.29 298.08 1.00 298.08 43777.44 146.86 -11.72 -172.20 VIX 210.00 3.13 657.60 1.00 657.60 43777.44 66.57 -7.51 -50.00 WHEAT 333.50 1.32 439.54 1.00 439.54 43777.44 99.60 -18.88 -188.04 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -82.487 0.010 2.5 -2.140 BITCOIN 347.405 0.043 2.5 37.621 BOBL -50.806 0.004 2.5 -0.515 BTP -33.205 0.014 2.5 -1.133 BUND -23.777 0.004 2.5 -0.241 BUXL -18.928 0.004 2.5 -0.192 CAC -33.046 0.014 2.5 -1.127 CAD -274.061 0.010 2.5 -7.111 CANOLA -694.301 0.010 2.5 -16.892 CHF -100.390 0.010 2.5 -2.605 COCOA 91.211 0.009 2.5 1.954 COFFEE -37.032 0.005 2.5 -0.432 COPPER -70.999 0.043 2.5 -7.689 CORN -220.028 0.010 2.5 -5.353 COTTON2 -90.504 0.009 2.5 -1.938 CRUDE_W 32.468 0.043 2.5 3.516 DAX -96.632 0.014 2.5 -3.296 DOW -574.270 0.009 2.5 -13.347 DX 152.019 0.010 2.5 3.944 EUR -38.252 0.010 2.5 -0.993 EURIBOR-ICE 133.375 0.014 2.5 4.549 EUROSTX 1.528 0.014 2.5 0.052 FEEDCOW -39.493 0.013 2.5 -1.309 GASOIL 19.997 0.017 2.5 0.867 GASOLINE 3.013 0.017 2.5 0.131 GAS_US_mini -81.811 0.043 2.5 -8.859 GBP -43.771 0.010 2.5 -1.136 GOLD_micro -156.016 0.014 2.5 -5.322 HEATOIL 3.664 0.017 2.5 0.159 JGB-SGX-mini 21.305 0.043 2.5 2.307 JPY -180.467 0.010 2.5 -4.683 LEANHOG 23.215 0.024 2.5 1.411 LIVECOW -87.695 0.013 2.5 -2.906 LUMBER-new -401.347 0.009 2.5 -8.543 MILK -135.568 0.009 2.5 -2.904 MXP -16.428 0.059 2.5 -2.411 NASDAQ_micro -194.127 0.009 2.5 -4.512 NIKKEI 35.605 0.043 2.5 3.856 NZD -54.663 0.010 2.5 -1.418 OAT -2.511 0.014 2.5 -0.086 OATIES -180.376 0.010 2.5 -4.388 OJ 155.156 0.009 2.5 3.323 PALLAD -25.783 0.014 2.5 -0.879 PLAT -1.529 0.014 2.5 -0.052 REDWHEAT -174.691 0.005 2.5 -2.317 RICE -28.927 0.010 2.5 -0.704 ROBUSTA 116.348 0.005 2.5 1.359 RUSSELL -729.851 0.013 2.5 -24.186 SHATZ -376.744 0.004 2.5 -3.821 SILVER-mini -23.920 0.014 2.5 -0.816 SMI -36.752 0.014 2.5 -1.254 SOFR -182.698 0.024 2.5 -11.104 SOYBEAN -41.997 0.004 2.5 -0.391 SOYMEAL -4.708 0.004 2.5 -0.044 SOYOIL -80.441 0.004 2.5 -0.749 SP400 -26.472 0.013 2.5 -0.877 SP500_micro -433.231 0.009 2.5 -10.069 SUGAR11 116.165 0.009 2.5 2.471 US10 -91.991 0.005 2.5 -1.166 US10U -51.333 0.005 2.5 -0.651 US2 -212.844 0.005 2.5 -2.697 US20 -24.291 0.005 2.5 -0.308 US30 -17.255 0.005 2.5 -0.219 US5 -172.195 0.005 2.5 -2.182 VIX -49.997 0.099 2.5 -12.342 WHEAT -188.038 0.005 2.5 -2.494 ===================== Position diags ===================== AUD 2.69 BITCOIN 55.04 BOBL 1.48 BTP 2.14 BUND 0.72 BUXL 0.31 CAC 2.52 CAD 3.98 CANOLA 10.42 CHF 1.88 COCOA 2.14 COFFEE 0.53 COPPER 5.33 CORN 4.10 COTTON2 1.74 CRUDE_W 3.79 DAX 11.81 DOW 9.89 DX 3.19 EUR 1.73 EURIBOR-ICE 10.21 EUROSTX 3.77 FEEDCOW 1.39 GASOIL 1.19 GASOLINE 1.15 GAS_US_mini 21.16 GBP 2.68 GOLD_micro 10.11 HEATOIL 1.01 JGB-SGX-mini 32.70 JPY 2.80 LEANHOG 5.27 LIVECOW 2.33 LUMBER-new 4.27 MILK 2.15 MXP 27.45 NASDAQ_micro 3.57 NIKKEI 21.33 NZD 2.85 OAT 2.40 OATIES 3.25 OJ 1.66 PALLAD 0.80 PLAT 2.32 REDWHEAT 1.16 RICE 3.72 ROBUSTA 1.57 RUSSELL 15.40 SHATZ 4.98 SILVER-mini 1.81 SMI 1.64 SOFR 12.88 SOYBEAN 0.81 SOYMEAL 0.79 SOYOIL 0.87 SP400 0.60 SP500_micro 6.39 SUGAR11 2.48 US10 1.15 US10U 0.81 US2 2.57 US20 0.52 US30 0.35 US5 1.86 VIX 16.43 WHEAT 1.32 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.1 -2.4 -1.9 -1.0 -1 BITCOIN 37.6 32.1 43.1 10.0 10 BOBL -0.5 -0.7 -0.4 0.0 0 BTP -1.1 -1.3 -0.9 0.0 0 BUND -0.2 -0.3 -0.2 0.0 0 BUXL -0.2 -0.2 -0.2 -2.0 -2 CAC -1.1 -1.4 -0.9 0.0 0 CAD -7.1 -7.5 -6.7 -3.0 -3 CANOLA -16.9 -17.9 -15.9 NaN 0 CHF -2.6 -2.8 -2.4 -5.0 -5 COCOA 2.0 1.7 2.2 0.0 0 COFFEE -0.4 -0.5 -0.4 0.0 0 COPPER -7.7 -8.2 -7.2 -6.0 -6 CORN -5.4 -5.8 -4.9 -1.0 -1 COTTON2 -1.9 -2.1 -1.8 -3.0 -3 CRUDE_W 3.5 3.1 3.9 3.0 3 DAX -3.3 -4.5 -2.1 -1.0 -1 DOW -13.3 -14.3 -12.4 0.0 0 DX 3.9 3.6 4.3 NaN 0 EUR -1.0 -1.2 -0.8 -6.0 -6 EURIBOR-ICE 4.5 3.5 5.6 1.0 1 EUROSTX 0.1 -0.3 0.4 0.0 0 FEEDCOW -1.3 -1.4 -1.2 0.0 0 GASOIL 0.9 0.7 1.0 0.0 0 GASOLINE 0.1 0.0 0.2 0.0 0 GAS_US_mini -8.9 -11.0 -6.7 -6.0 -6 GBP -1.1 -1.4 -0.9 0.0 0 GOLD_micro -5.3 -6.3 -4.3 -1.0 -1 HEATOIL 0.2 0.1 0.3 0.0 0 JGB-SGX-mini 2.3 -1.0 5.6 12.0 12 JPY -4.7 -5.0 -4.4 -6.0 -6 LEANHOG 1.4 0.9 1.9 1.0 1 LIVECOW -2.9 -3.1 -2.7 -1.0 -1 LUMBER-new -8.5 -9.0 -8.1 NaN 0 MILK -2.9 -3.1 -2.7 NaN 0 MXP -2.4 -5.2 0.3 0.0 0 NASDAQ_micro -4.5 -4.9 -4.2 -7.0 -7 NIKKEI 3.9 1.7 6.0 7.0 7 NZD -1.4 -1.7 -1.1 -2.0 -2 OAT -0.1 -0.3 0.2 0.0 0 OATIES -4.4 -4.7 -4.1 NaN 0 OJ 3.3 3.2 3.5 NaN 0 PALLAD -0.9 -1.0 -0.8 -1.0 -1 PLAT -0.1 -0.3 0.2 -3.0 -3 REDWHEAT -2.3 -2.4 -2.2 -4.0 -4 RICE -0.7 -1.1 -0.3 NaN 0 ROBUSTA 1.4 1.2 1.5 1.0 1 RUSSELL -24.2 -25.7 -22.6 -13.0 -13 SHATZ -3.8 -4.3 -3.3 NaN 0 SILVER-mini -0.8 -1.0 -0.6 NaN 0 SMI -1.3 -1.4 -1.1 -2.0 -2 SOFR -11.1 -12.4 -9.8 NaN 0 SOYBEAN -0.4 -0.5 -0.3 -1.0 -1 SOYMEAL -0.0 -0.1 0.0 0.0 0 SOYOIL -0.7 -0.8 -0.7 -2.0 -2 SP400 -0.9 -0.9 -0.8 -2.0 -2 SP500_micro -10.1 -10.7 -9.4 0.0 0 SUGAR11 2.5 2.2 2.7 0.0 0 US10 -1.2 -1.3 -1.1 NaN 0 US10U -0.7 -0.7 -0.6 0.0 0 US2 -2.7 -3.0 -2.4 NaN 0 US20 -0.3 -0.4 -0.3 -1.0 -1 US30 -0.2 -0.3 -0.2 -2.0 -2 US5 -2.2 -2.4 -2.0 -2.0 -2 VIX -12.3 -14.0 -10.7 -10.0 -10 WHEAT -2.5 -2.6 -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 -0.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.4 -0.1 -0.4 -0.1 -0.2 -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 0.2 0.0 0.1 -0.3 -0.2 -0.7 -0.1 0.1 BITCOIN 0.6 0.3 -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 0.2 0.1 0.2 0.0 0.2 -2.7 0.1 0.2 0.0 0.2 0.0 0.1 -0.0 0.5 0.6 0.6 0.3 -0.1 0.7 -0.0 0.7 BOBL 0.2 -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 -0.0 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 -0.3 0.1 0.4 0.3 0.3 -0.7 -0.7 -0.5 -0.6 BTP 0.0 -0.6 -0.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.0 -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 0.0 0.3 0.0 0.1 -0.5 -0.7 -0.0 0.2 BUND 0.2 -0.2 -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 0.0 -0.1 -0.1 -0.0 -0.2 -0.0 0.8 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.6 0.1 0.3 0.2 0.2 -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 -0.1 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 0.2 0.1 0.0 0.1 0.4 0.1 0.6 0.3 CAD -0.2 -0.2 -0.4 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.2 -0.4 -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 0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.6 0.0 -0.6 -0.7 -0.7 -0.6 -0.7 CANOLA -0.4 -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 -0.3 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 0.1 -0.5 -0.5 -0.6 -0.0 -0.3 -0.0 0.4 0.4 CHF 0.6 -0.6 -0.5 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.0 -0.2 0.1 0.2 -0.0 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 0.1 -0.0 0.0 -1.3 -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 0.5 -0.5 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 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 -2.2 0.1 0.1 0.2 0.1 0.4 0.1 -0.3 0.5 0.6 0.6 0.6 0.2 -0.2 0.7 0.2 COFFEE 0.6 0.4 -0.2 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 0.0 -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 0.0 -0.0 0.1 -0.1 0.1 -0.0 0.5 0.6 0.6 -0.1 -0.7 -0.7 -0.7 -0.4 COPPER -0.1 -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 0.2 0.0 -0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.5 -0.1 -0.6 0.0 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.5 -0.0 -2.4 -0.0 -0.1 -0.1 -0.1 -0.3 -0.0 -0.2 -0.3 0.3 0.6 -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 -0.0 0.2 -0.1 -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 -0.2 -0.6 0.4 0.5 -0.7 -0.5 0.1 0.3 CRUDE_W -0.3 -0.1 0.6 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.1 0.4 0.1 0.2 0.0 0.1 0.2 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 -0.0 -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 -0.1 0.0 -0.2 -0.2 0.4 0.1 0.7 0.3 DOW -0.1 -0.6 -0.4 -0.1 -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 -0.1 -0.1 0.0 -0.1 -0.3 0.3 0.1 -0.0 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 0.2 0.5 0.1 -0.2 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.4 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.1 0.8 0.5 0.6 0.6 0.6 0.1 0.3 0.3 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 -0.2 -0.1 1.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.4 0.3 0.3 -0.2 -0.3 -0.3 -0.6 -0.2 -0.1 EURIBOR-ICE 0.3 0.1 0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 0.0 0.0 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 0.0 -0.2 0.0 2.3 -0.0 0.1 -0.0 0.0 -0.1 0.0 -0.6 0.2 0.5 0.4 0.4 -0.7 -0.7 0.2 0.6 EUROSTX -0.1 -0.5 -0.6 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 0.4 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 0.1 -0.2 0.6 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 0.3 0.3 0.3 0.2 0.1 0.3 0.1 0.4 0.5 FEEDCOW -0.6 -0.6 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -0.2 0.5 -0.2 -0.1 -0.3 -0.4 -0.3 -0.4 -0.2 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 -0.2 0.5 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 -0.1 0.3 -0.0 0.2 -0.0 0.1 0.4 0.4 0.4 0.4 0.1 0.2 -0.0 0.3 -0.0 1.1 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.0 -0.0 -0.0 0.1 0.4 -0.4 0.0 -0.5 -0.2 GASOLINE -0.4 -0.6 0.2 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.1 0.3 -0.0 0.2 -0.1 0.0 0.2 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 -0.3 -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 0.0 -0.5 -0.1 -0.7 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.0 -0.2 -0.0 -0.5 -0.0 2.7 0.0 0.1 -0.0 -0.0 -0.1 -0.0 -1.1 -0.5 0.6 -0.3 -0.6 -0.2 0.2 -0.4 0.0 GBP 0.3 -0.6 -0.5 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.2 -0.1 0.3 -0.2 -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 0.2 -0.4 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.1 -0.2 0.2 0.1 0.1 0.0 -0.3 -0.3 -0.3 -0.3 0.0 -0.0 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 -0.4 0.6 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.1 0.4 0.0 0.3 -0.0 0.1 0.4 0.4 0.4 0.4 0.1 0.2 -0.0 0.5 -0.0 -2.7 0.0 -0.0 0.2 -0.0 0.3 -0.0 0.1 0.0 -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 -0.3 0.0 0.2 -0.1 -0.1 -0.5 0.4 0.4 JPY 0.1 -0.4 -0.6 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.4 -0.3 -0.4 -0.4 -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 -0.0 -0.3 -0.6 -0.3 -0.7 -0.2 -0.7 LEANHOG -0.4 -0.3 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -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 1.5 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 1.1 -0.3 -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 0.3 -0.2 0.5 -0.1 -0.0 -0.4 -0.1 -0.4 -0.2 -0.1 0.1 -0.2 0.4 -0.2 0.0 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.6 -0.5 -0.6 0.2 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 -0.1 -0.6 -0.2 -0.7 -0.2 -0.2 -0.4 -0.3 -0.4 -0.4 -0.2 -0.2 -0.2 -0.5 -0.2 NaN -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -1.2 -0.6 -0.3 -0.0 -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 0.5 0.1 0.2 -0.7 -0.7 -0.7 -0.7 MXP -0.4 -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 0.1 -0.3 -0.4 -0.0 0.5 0.4 0.7 0.7 NASDAQ_micro -0.1 -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 -0.2 0.2 -0.1 -2.7 -0.0 -0.1 0.0 -0.1 0.2 -0.0 -0.3 -0.3 0.3 0.2 0.3 0.0 -0.4 -0.0 -0.5 NIKKEI -0.2 -0.6 -0.5 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 0.2 -0.1 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 -0.1 0.1 -0.1 0.2 -0.0 1.1 0.1 0.1 0.4 0.2 -0.1 0.1 -0.1 0.4 NZD -0.1 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 -0.0 -0.1 -0.1 -0.1 -0.1 0.2 -0.3 -0.1 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 -0.3 -0.1 1.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.8 0.0 0.3 0.2 0.2 -0.7 -0.7 -0.2 0.3 OATIES -0.6 -0.6 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.0 -0.1 -0.1 -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 0.1 -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 0.1 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 -0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.1 -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 -0.4 -0.6 -0.3 -0.2 -0.3 -0.3 0.1 -0.1 PLAT 0.1 -0.1 -0.4 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.1 -0.3 0.1 -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 0.0 -0.0 0.0 0.2 0.1 -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 -0.0 -0.2 -0.0 -0.1 -0.1 -0.2 -0.3 -0.4 -0.3 -0.6 -0.7 -0.7 -0.7 -0.4 RICE 0.0 -0.1 0.3 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 0.0 0.3 0.1 0.2 -0.0 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 0.1 0.4 0.3 0.5 -0.1 -0.7 0.6 -0.3 ROBUSTA 0.2 -0.3 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 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 0.1 -2.7 0.0 0.0 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 -0.5 -0.0 -0.0 -0.1 -0.0 -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 0.1 -0.3 -0.2 0.0 -0.4 -0.4 -0.7 -0.7 SHATZ 0.3 -0.0 0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.3 -0.0 -0.0 -0.4 -0.2 -0.4 -0.4 -0.0 -0.1 0.0 -0.3 -0.0 1.4 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -1.1 0.1 0.5 0.3 0.3 -0.7 -0.7 -0.5 -0.7 SILVER-mini 0.4 -0.3 -0.4 -0.0 0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.1 0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.0 0.9 -0.0 -0.0 -0.0 0.0 0.0 0.0 -0.2 0.1 -0.0 -0.1 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 0.6 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.7 -0.5 -0.4 0.1 0.1 -0.2 -0.4 -0.2 -0.3 SOFR 0.1 -0.2 -0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.2 -0.1 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 -0.0 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 -0.1 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 -0.1 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.1 0.1 0.2 0.1 0.2 -0.7 -0.1 -0.7 0.1 SOYMEAL 0.6 -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 0.0 0.0 0.1 0.1 0.1 1.1 0.5 0.6 0.5 0.3 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.6 -0.6 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 -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 -0.2 0.2 0.5 0.7 SP400 -0.1 -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 -0.0 -0.1 -0.1 -0.0 -0.0 0.1 0.1 -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 0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.0 -0.2 0.1 -0.2 -2.2 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.4 -0.2 0.1 -0.1 0.2 -0.1 -0.4 -0.2 -0.6 SUGAR11 -0.0 0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.5 0.1 0.7 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 0.5 0.6 0.6 0.6 -0.7 -0.7 0.3 0.1 US10 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 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.3 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.5 -0.1 -0.1 -0.0 -0.0 -0.7 -0.7 0.1 0.0 US10U 0.2 -0.2 -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 -0.1 -0.1 -0.1 -0.3 -0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.7 -0.7 0.3 0.5 US2 0.3 0.3 -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 -0.0 1.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.1 0.3 0.3 0.1 -0.7 -0.7 -0.5 -0.7 US20 0.2 -0.2 -0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.2 -0.1 -0.2 -0.4 -0.7 0.7 0.7 US30 0.1 -0.2 -0.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.1 -0.2 -0.2 -0.7 0.7 0.7 US5 0.2 -0.0 -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 -0.0 -0.3 -0.1 0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.9 -0.1 0.0 0.1 0.1 -0.7 -0.7 -0.3 -0.6 VIX 0.6 1.0 1.0 0.0 0.0 -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 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -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 -0.3 -0.0 -1.1 0.1 0.2 0.2 -0.5 -0.7 -0.5 -0.7 -0.4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 1.5 -1.6 -13.9 -3.8 -3.9 -1.5 -4.1 0.5 -4.2 -3.7 -13.8 -8.6 -10.8 -9.8 -13.9 -3.4 -3.0 -3.4 -3.2 -10.5 -11.9 -4.8 -11.3 -7.3 3.3 -5.1 -1.4 -5.2 -2.6 -4.6 -3.9 -1.4 7.8 0.0 3.0 -10.0 -7.1 -20.0 -1.8 4.2 BITCOIN 20.0 9.3 -6.0 -4.1 7.7 -3.6 5.9 -1.0 0.2 19.6 7.7 20.0 8.5 20.0 2.9 -6.3 -4.6 -6.1 -5.6 14.8 4.6 20.0 1.5 20.0 -20.0 4.8 18.3 1.0 18.0 0.3 11.6 -0.7 20.0 20.0 20.0 8.1 -3.2 20.0 -1.4 20.0 BOBL 7.1 -3.3 1.6 -2.5 0.4 -2.3 -0.8 -2.0 -1.9 3.4 -5.7 1.3 -7.5 -2.6 -3.7 9.5 -4.7 -0.4 -5.3 -4.1 -5.5 0.8 -8.3 -1.9 8.7 -2.2 2.2 -2.5 0.4 -3.2 -1.1 -6.3 4.4 12.2 7.8 7.9 -20.0 -20.0 -15.2 -17.6 BTP 0.5 -19.6 -11.5 -3.6 0.6 -3.3 -1.1 -2.9 -2.8 0.4 -6.8 -3.8 -2.1 -9.2 -9.9 7.0 7.5 6.3 6.4 -11.8 -8.8 -3.3 -6.4 -8.9 -6.3 -3.7 0.1 -2.6 -1.0 -1.5 -2.8 15.3 0.3 8.2 1.0 4.2 -13.5 -20.0 -0.9 7.2 BUND 5.5 -7.5 -2.3 -2.6 0.4 -2.4 -0.8 -2.1 -2.0 0.1 -6.9 -0.6 -8.2 -4.8 -6.0 -2.2 5.6 -0.1 2.4 -6.2 -7.0 -0.7 -9.2 -3.8 5.8 -2.6 1.0 -2.6 -0.3 -2.8 -1.6 10.4 2.2 9.5 5.6 4.9 -20.0 -20.0 -20.0 -2.6 BUXL 4.5 -12.2 -5.5 -2.8 0.5 -2.6 -0.9 -2.3 -2.1 -5.7 -8.3 -2.9 -9.2 -6.3 -7.5 0.3 0.8 0.5 0.8 -10.2 -10.8 -3.9 -12.5 -7.2 1.3 -3.0 -0.5 -2.9 -1.1 -2.7 -2.1 4.9 -2.3 6.4 0.6 -0.7 -20.0 -20.0 -11.0 18.1 CAC -9.1 -18.4 -16.3 -5.9 -6.2 -3.3 -7.1 -0.6 -6.7 -8.4 -6.5 -14.2 14.2 -17.9 -18.4 -4.5 -2.4 -5.6 -4.6 -20.0 -10.3 -20.0 4.8 -20.0 -5.3 -6.7 -3.7 -3.3 -6.7 0.9 -7.8 4.4 8.4 1.6 1.0 3.6 11.1 2.8 17.9 8.7 CAD -5.6 -5.3 -12.2 -5.8 -5.9 -2.3 -6.2 0.7 -6.4 -20.0 -13.5 -20.0 -14.3 -18.4 -19.8 -2.5 -2.2 -2.5 -2.4 -17.7 -13.4 -20.0 -10.5 -19.3 1.9 -7.2 -9.6 -5.2 -8.7 -3.5 -7.9 0.0 -9.0 -20.0 1.4 -17.5 -20.0 -20.0 -16.9 -20.0 CANOLA -13.2 -20.0 -5.0 -3.4 -1.9 -2.9 -1.9 -2.7 -2.9 -11.1 -0.5 -11.6 -4.0 -12.8 -10.4 -13.3 5.3 -8.5 -1.5 -19.1 -9.9 -20.0 -5.9 -20.0 -20.0 -3.8 -4.3 -2.3 -4.1 -1.9 -4.3 2.5 -20.0 -16.3 -20.0 -0.4 -8.3 -1.4 11.5 10.7 CHF 20.0 -17.7 -14.4 -5.2 -5.3 -2.1 -5.6 0.6 -5.7 -3.9 -8.5 13.0 6.5 -0.9 -11.2 -17.1 -14.7 -16.8 -15.7 -10.0 -9.2 7.3 -0.4 2.5 -9.4 -3.3 -1.9 -2.8 2.2 -0.4 0.5 -20.0 20.0 20.0 -9.0 -1.6 -20.0 -20.0 -20.0 -20.0 COCOA 15.1 -14.7 -0.1 -5.5 -3.2 -4.7 -3.1 -4.4 -4.7 18.5 18.1 19.8 19.3 13.3 12.9 -4.0 -2.5 -3.8 -3.2 19.3 20.0 20.0 20.0 20.0 -16.1 5.8 12.7 8.0 12.1 10.3 8.2 -6.5 20.0 20.0 20.0 20.0 4.7 -6.2 20.0 5.5 COFFEE 20.0 12.2 -4.8 -5.8 -3.4 -5.0 -3.3 -4.6 -4.9 4.2 -16.7 14.4 -16.2 11.0 -0.6 0.0 1.3 -1.0 -0.0 2.9 -10.7 20.0 -16.2 19.3 -20.0 2.2 2.2 -1.6 9.5 -2.6 8.0 -0.5 20.0 20.0 20.0 -4.4 -20.0 -20.0 -20.0 -11.3 COPPER -4.6 -12.6 -10.4 -3.3 6.1 -2.8 4.7 -0.8 0.2 2.7 -16.6 -11.1 -6.0 -15.8 -17.6 -7.9 -3.7 -6.5 -5.2 -16.4 -14.8 -3.7 -11.2 -12.3 -5.9 -5.9 1.1 -5.0 -1.3 -3.7 -4.7 0.7 -19.7 -10.7 -11.5 0.0 3.0 -20.0 7.4 -20.0 CORN 7.7 0.1 -20.0 -5.0 -2.9 -4.3 -2.8 -4.0 -4.2 -16.9 -17.6 -4.7 -17.1 0.9 -16.1 -4.5 1.7 -5.4 -3.3 -7.4 -17.3 -7.5 -20.0 -2.2 -17.8 -1.3 -9.7 -4.3 -5.0 -7.0 -1.1 -3.0 -14.0 10.2 17.3 -5.0 -7.0 -0.4 3.0 6.3 COTTON2 -16.6 -7.6 6.5 -5.0 -2.9 -4.3 -2.8 -4.0 -4.3 -4.5 9.0 -12.7 -8.6 -14.1 1.7 -8.8 3.0 -3.7 -0.4 -4.9 2.2 -10.9 0.6 -12.4 -20.0 -2.1 -0.2 2.0 -6.2 2.8 -6.6 0.5 -9.5 -17.7 11.2 16.2 -20.0 -14.7 4.3 7.9 CRUDE_W -9.5 -3.2 19.9 2.4 -2.5 4.8 -1.8 4.3 -0.8 -6.9 13.4 5.4 6.8 4.3 11.8 12.0 11.6 14.9 13.0 12.4 16.4 1.0 12.9 5.1 -5.0 4.2 -1.3 6.4 -0.2 5.9 1.0 -20.0 2.5 1.0 14.7 0.3 20.0 10.1 20.0 8.8 DAX -5.5 -19.7 -20.0 -5.1 -5.4 -2.9 -6.1 -0.5 -5.8 -14.9 -11.0 -16.0 10.2 -16.7 -17.2 -9.5 -7.9 -9.6 -9.0 -20.0 -12.5 -20.0 -0.1 -20.0 16.3 -6.2 -5.9 -3.8 -6.5 -0.7 -6.7 -4.3 -4.3 0.1 -4.8 -5.0 11.9 1.6 20.0 10.1 DOW -2.1 -20.0 -13.1 -4.6 -4.9 -2.6 -5.6 -0.5 -5.3 -14.1 -3.8 -13.2 7.7 -13.3 -12.8 -10.8 -8.9 -11.2 -10.6 -16.7 -8.7 -18.1 -1.0 -18.5 -9.7 -4.5 -4.9 -1.9 -5.2 0.6 -5.2 -6.5 12.8 2.8 -1.2 9.7 -15.1 -7.4 -20.0 -8.3 DX -6.6 17.7 20.0 -5.8 -5.9 -2.3 -6.1 0.7 -6.3 18.1 19.0 5.7 -4.5 17.1 20.0 7.4 5.8 7.2 6.5 20.0 20.0 8.0 14.7 16.1 -20.0 7.5 2.8 6.6 2.5 4.5 4.8 14.5 20.0 20.0 20.0 20.0 4.3 8.0 7.7 20.0 EUR 10.4 -12.9 -16.4 -4.1 -4.1 -1.6 -4.3 0.5 -4.4 -4.8 -12.0 1.2 3.6 -9.0 -13.3 -6.5 -6.9 -6.7 -6.7 -12.0 -10.8 -1.4 -5.7 -5.8 11.8 -4.7 -1.5 -4.0 -0.5 -2.1 -2.3 -7.7 13.8 9.5 -7.6 -9.7 -10.0 -17.5 -7.3 -4.4 EURIBOR-ICE 8.4 1.9 4.6 -2.5 0.4 -2.3 -0.8 -2.0 -1.9 6.4 -3.9 4.2 -6.9 1.1 0.9 -5.1 -7.6 -7.1 -7.9 -0.8 -2.9 4.8 -7.0 1.3 17.0 -0.6 6.6 -1.6 3.1 -3.8 0.7 -10.4 10.4 15.3 13.4 12.7 -20.0 -20.0 7.2 17.5 EUROSTX -2.9 -15.4 -17.4 -5.2 -5.5 -2.9 -6.2 -0.5 -5.9 -10.7 -6.6 -13.3 11.7 -15.3 -16.8 -5.4 -2.2 -5.4 -4.4 -15.7 -8.4 -14.7 3.6 -16.5 4.6 -6.0 -4.0 -3.4 -5.7 0.5 -6.3 4.7 10.4 10.7 5.4 2.3 8.2 4.3 13.1 13.8 FEEDCOW -20.0 -20.0 -14.7 -4.5 -2.6 -3.9 -2.6 -3.6 -3.9 -14.3 8.2 -16.7 13.3 -16.5 -7.1 -13.0 -20.0 -13.1 -20.0 -15.2 5.7 -20.0 16.8 -20.0 -2.1 -2.7 -8.3 2.2 -10.0 5.0 -7.5 -20.0 -20.0 -20.0 -5.8 15.9 13.9 -3.6 20.0 6.5 GASOIL -20.0 -8.9 20.0 1.8 -1.9 3.7 -1.4 3.3 -0.6 -9.8 11.0 -1.3 6.8 -0.5 9.7 20.0 20.0 20.0 20.0 8.2 14.0 -5.0 12.5 -0.4 8.0 3.0 -2.5 5.2 -1.6 4.4 -0.2 0.0 -1.9 -0.6 3.2 11.8 -10.6 1.2 -16.2 -4.5 GASOLINE -12.1 -20.0 5.2 2.6 -2.7 5.3 -1.9 4.7 -0.9 -10.7 10.0 -0.7 6.9 -8.4 2.0 8.9 20.0 20.0 20.0 -3.1 8.0 -4.8 14.6 -7.2 -20.0 -1.6 -3.0 2.8 -2.0 6.0 -3.1 19.8 8.4 -9.8 -20.0 -18.9 20.0 10.1 20.0 5.5 GAS_US_mini 8.5 8.8 20.0 3.3 -3.5 6.7 -2.4 5.9 -1.1 4.6 -18.4 -7.5 -20.0 -6.9 -12.3 -20.0 -20.0 -20.0 -20.0 -3.7 -14.1 -3.0 -20.0 -3.6 20.0 1.0 6.9 -0.1 -1.9 -3.1 -1.1 -20.0 -20.0 20.0 -8.3 -20.0 -6.5 6.0 -12.9 1.0 GBP 8.3 -20.0 -16.1 -4.6 -4.7 -1.8 -4.9 0.6 -5.1 -11.7 -8.0 -7.3 7.2 -13.9 -15.9 -1.0 -0.8 -0.6 -0.5 -15.6 -10.2 -6.6 -2.6 -11.2 0.4 -5.5 -2.1 -3.7 -2.2 -1.5 -3.9 2.8 4.8 7.2 -14.9 -11.8 -4.4 7.6 2.1 20.0 GOLD_micro 20.0 5.8 -13.6 -2.5 4.7 -2.2 3.6 -0.6 0.1 13.3 -6.6 14.2 1.5 11.1 1.1 -15.3 -14.6 -17.0 -16.4 2.8 -4.1 20.0 -2.3 17.2 -6.2 0.6 4.6 -0.8 6.4 -0.2 4.2 -18.5 20.0 20.0 9.9 3.2 -10.6 -20.0 -8.2 -20.0 HEATOIL -17.5 -11.6 20.0 2.5 -2.6 5.0 -1.8 4.4 -0.8 -13.5 13.1 1.7 7.6 -2.1 11.1 20.0 20.0 20.0 20.0 10.0 18.4 -5.4 17.1 -0.6 -20.0 2.9 -3.3 6.8 -1.9 7.4 -0.9 1.2 0.3 -0.9 -9.5 11.8 7.6 -2.1 -0.7 -6.4 JGB-SGX-mini 3.1 -13.5 -18.0 -3.2 0.6 -2.9 -1.0 -2.6 -2.5 -7.6 -3.8 -7.4 2.8 -7.7 -9.5 20.0 20.0 17.3 17.2 -9.7 -7.0 -9.3 -1.7 -9.2 -1.6 -3.4 -2.9 -2.6 -3.3 -1.4 -3.2 20.0 -14.5 1.5 7.2 -1.9 -1.7 -15.2 12.3 12.7 JPY 1.8 -12.3 -20.0 -4.9 -5.0 -1.9 -5.2 0.6 -5.4 -17.1 -20.0 -18.7 -19.2 -19.4 -20.0 -20.0 -15.7 -19.1 -17.5 -20.0 -20.0 -11.9 -20.0 -17.5 20.0 -7.5 -3.5 -8.8 -3.9 -9.1 -5.2 -20.0 3.6 -0.1 -8.3 -19.1 -8.3 -20.0 -4.7 -20.0 LEANHOG -13.4 -8.2 5.4 -2.8 -1.6 -2.4 -1.6 -2.2 -2.4 -2.9 -2.7 -8.2 -5.1 -9.5 -8.0 -3.4 20.0 20.0 20.0 -8.8 -6.9 -9.5 -8.5 -11.5 11.0 -3.4 -0.6 -3.8 -3.4 -5.2 -4.1 20.0 -12.8 -12.4 0.3 -3.1 -8.6 -2.7 12.7 20.0 LIVECOW -20.0 -20.0 -13.8 -4.7 -2.7 -4.0 -2.6 -3.7 -4.0 -16.0 12.2 -17.0 15.0 -13.1 -3.4 -20.0 -4.9 -20.0 -10.1 -6.6 7.5 -20.0 14.7 -20.0 0.3 -1.7 -12.2 3.7 -11.9 6.7 -7.5 -11.8 -20.0 -20.0 7.6 18.4 -17.0 -20.0 -9.2 -14.5 LUMBER-new -1.6 -5.3 -12.4 -6.3 -3.6 -5.2 -3.5 -4.1 -5.4 -9.8 -20.0 -16.4 -20.0 -19.9 -20.0 -16.7 -14.4 -16.0 -15.1 -18.2 -19.3 -14.7 -17.1 -16.2 NaN -8.0 -2.3 -7.4 -7.6 -5.4 -8.0 -20.0 -20.0 -8.6 -0.5 -17.6 -13.5 -20.0 -6.1 -18.6 MILK 6.2 -6.4 0.6 -4.0 -2.3 -3.4 -2.2 -3.2 -3.4 -9.7 -7.0 -3.6 -11.8 -8.9 0.7 -16.3 -20.0 -19.0 -20.0 -5.2 -10.6 -3.0 -18.9 -2.8 2.8 -1.9 -3.2 -5.1 -0.0 -8.6 0.0 -20.0 9.2 15.5 3.3 6.7 -20.0 -20.0 -20.0 -20.0 MXP -12.4 -20.0 -20.0 -3.3 -3.4 -1.3 -3.5 0.4 -3.6 -3.0 4.6 -9.8 10.3 -11.2 -9.9 12.7 16.6 14.3 15.5 -9.5 -0.3 -6.0 10.3 -10.8 -20.0 -3.3 0.2 0.0 -2.0 3.8 -3.7 20.0 4.8 -7.9 -11.0 -0.4 14.8 11.5 20.0 20.0 NASDAQ_micro -3.2 -20.0 -17.7 -3.5 -3.7 -2.0 -4.3 -0.4 -4.0 -10.8 5.7 -9.8 7.9 -8.8 -8.3 -9.6 -8.6 -9.9 -9.6 -6.5 2.5 -18.9 9.0 -12.1 -20.0 -2.4 -9.4 1.3 -7.0 4.6 -4.5 -5.4 -11.2 9.0 5.1 8.5 1.3 -13.1 -0.4 -15.9 NIKKEI -6.4 -19.0 -15.2 -4.0 -4.2 -2.3 -4.8 -0.4 -4.6 -11.8 8.5 -5.7 10.2 -5.7 -4.3 3.6 10.7 7.2 9.5 -4.6 3.7 -11.8 10.6 -8.9 -6.9 -2.3 -5.7 1.9 -4.8 5.2 -4.1 20.0 4.8 2.9 13.9 6.9 -2.3 2.8 -3.2 11.6 NZD -2.0 2.1 -11.9 -3.6 -3.7 -1.4 -3.9 0.4 -4.0 -9.7 -12.4 -12.4 -2.8 -10.8 -13.0 -0.2 0.3 -0.1 0.1 -8.8 -9.0 -12.0 -8.4 -10.1 0.8 -3.9 -4.5 -3.6 -6.0 -3.1 -4.8 4.2 -10.6 -3.0 6.5 -5.2 3.9 -15.4 9.5 8.4 OAT 3.4 -9.9 -4.5 -2.9 0.5 -2.6 -0.9 -2.3 -2.2 -0.7 -7.6 -2.3 -8.8 -6.3 -7.2 6.1 7.9 6.1 6.6 -7.6 -7.8 -1.6 -9.3 -5.1 8.1 -2.9 0.6 -2.7 -0.6 -2.8 -2.0 15.9 0.9 9.0 5.1 4.8 -20.0 -20.0 -7.5 9.3 OATIES -20.0 -20.0 1.2 -3.4 -1.9 -2.9 -1.9 -2.7 -2.9 10.5 1.0 -5.9 -1.8 -10.9 -9.3 -19.0 -8.2 -18.1 -15.1 -16.5 -2.2 -6.5 4.6 -19.9 -20.0 -2.9 1.8 -0.4 -1.0 0.7 -3.5 -20.0 4.7 -19.1 -20.0 0.4 9.1 11.4 20.0 20.0 OJ 20.0 20.0 20.0 -6.7 -3.9 -5.8 -3.8 -5.4 -5.7 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 10.1 5.6 10.4 7.3 10.8 9.0 20.0 20.0 20.0 20.0 20.0 2.3 7.7 16.3 20.0 PALLAD -14.0 -1.8 -1.0 -2.2 4.1 -1.9 3.2 -0.5 0.1 6.1 -13.3 -8.7 -13.9 -10.4 -11.8 -2.8 -2.7 -2.9 -2.9 -14.5 -18.5 -6.1 -20.0 -12.5 2.2 -4.4 1.4 -4.3 -2.0 -4.6 -4.1 3.3 -16.5 -20.0 -7.9 -6.8 -9.8 -7.7 2.1 -3.5 PLAT 3.9 -2.8 -10.8 -2.3 4.2 -2.0 3.3 -0.5 0.1 10.8 -11.6 7.0 -5.5 -6.3 -8.5 -3.9 -2.7 -3.7 -3.3 -7.0 -9.2 4.2 -7.2 -1.6 13.8 -1.6 3.9 -1.9 2.3 -1.4 -0.1 3.0 0.1 -1.5 0.5 4.7 1.5 -17.3 8.5 -13.9 REDWHEAT -1.8 -17.1 -20.0 -5.0 -2.9 -4.3 -2.8 -4.0 -4.2 -11.3 -18.5 -15.0 -18.8 -17.5 -19.5 -5.6 0.0 -4.3 -2.2 -20.0 -20.0 -14.1 -20.0 -19.7 -18.1 -6.7 -4.2 -6.0 -4.4 -3.9 -5.5 -3.1 -13.0 -12.4 -9.0 -20.0 -20.0 -20.0 -20.0 -10.5 RICE 1.3 -3.3 8.6 -5.6 -3.2 -4.8 -3.2 -4.5 -4.8 0.6 9.9 9.9 5.8 -4.6 6.9 -20.0 8.0 -12.9 1.2 4.4 6.4 4.9 5.4 3.4 -20.0 1.3 2.3 2.1 3.3 1.9 1.8 9.7 5.9 11.5 9.2 16.7 -3.5 -20.0 16.7 -8.9 ROBUSTA 5.9 -7.8 -3.9 -4.8 -2.8 -4.1 -2.7 -3.8 -4.1 5.3 11.2 10.0 13.6 5.5 0.3 20.0 20.0 20.0 20.0 5.4 9.1 20.0 17.7 13.8 -20.0 2.2 3.7 2.9 8.9 5.4 5.8 20.0 20.0 20.0 20.0 4.6 -2.2 -11.8 19.7 -0.3 RUSSELL -5.8 -20.0 -14.9 -3.7 -3.9 -2.1 -4.5 -0.4 -4.2 -10.3 -9.6 -11.9 -6.6 -12.7 -12.5 -7.1 -6.3 -7.6 -7.3 -19.2 -12.2 -20.0 -6.6 -20.0 -2.1 -4.2 -3.6 -2.3 -4.7 -0.7 -4.9 -1.3 2.8 -9.5 -7.3 1.0 -11.5 -12.7 -20.0 -20.0 SHATZ 9.6 -0.7 2.0 -2.5 0.4 -2.3 -0.8 -2.1 -2.0 5.4 -7.2 -0.8 -8.1 -3.3 -4.4 -20.0 -12.4 -20.0 -19.4 -4.3 -7.3 0.9 -12.1 -1.8 10.2 -1.9 2.4 -2.8 0.6 -4.4 -0.8 -20.0 4.9 14.1 8.8 9.6 -20.0 -20.0 -15.0 -20.0 SILVER-mini 12.1 -8.7 -11.0 -2.4 4.6 -2.1 3.5 -0.6 0.1 -4.4 -5.0 8.6 1.7 -0.9 -5.1 -7.5 -6.4 -7.5 -7.1 -5.1 -5.9 5.3 -2.5 1.7 6.6 -0.9 -0.4 -0.7 2.2 0.2 1.0 -3.5 3.0 -0.3 -2.1 7.1 -13.7 -20.0 -4.9 -20.0 SMI -15.0 -10.1 -12.6 -4.1 -4.4 -2.4 -5.0 -0.4 -4.7 -11.5 -5.3 -13.0 1.7 -12.5 -12.4 4.7 1.9 2.5 1.3 -15.8 -9.1 -20.0 -3.6 -20.0 4.9 -4.1 -5.1 -2.2 -7.5 -1.3 -6.4 12.7 -20.0 -11.5 1.7 3.1 -7.3 -13.4 -6.4 -8.2 SOFR 3.4 -5.8 -14.5 -2.6 0.4 -2.4 -0.8 -2.1 -2.0 -0.8 -7.7 -3.0 -6.1 -6.0 -7.4 0.3 -0.8 -0.8 -1.0 -9.3 -8.6 -4.6 -7.0 -7.9 -1.4 -3.0 0.1 -2.7 -1.6 -2.1 -2.6 1.6 -4.2 -1.2 3.1 1.6 -20.0 -20.0 -5.2 -7.3 SOYBEAN -2.4 -11.5 0.4 -5.1 -3.0 -4.4 -2.9 -4.1 -4.4 -6.4 6.3 6.1 3.2 -11.8 -8.5 15.6 17.7 12.9 14.0 -5.3 -1.1 -1.8 0.2 -5.0 -20.0 -2.3 -2.7 -0.3 -1.0 0.6 -2.2 20.0 4.8 5.3 2.4 7.0 -20.0 -4.4 -20.0 1.6 SOYMEAL 20.0 -1.9 -4.0 -3.8 -2.2 -3.2 -2.1 -3.0 -3.2 7.3 -5.9 11.0 1.2 5.8 0.3 14.1 17.2 12.4 14.8 3.6 -0.9 18.7 0.8 13.2 -20.0 2.0 4.0 1.0 7.2 2.1 5.2 20.0 20.0 20.0 14.2 9.0 -20.0 -20.0 -20.0 -19.1 SOYOIL -20.0 -20.0 -2.4 -2.8 -1.6 -2.4 -1.6 -2.3 -2.4 -7.3 1.3 -8.9 -1.4 -10.0 -7.8 9.4 11.7 12.2 11.7 -14.6 -5.6 -15.3 -0.9 -18.4 -20.0 -3.1 -2.3 -1.3 -3.3 -0.3 -3.9 17.9 -7.6 -20.0 -18.4 -4.3 -4.6 4.5 14.4 20.0 SP400 -4.5 -20.0 -16.7 -3.5 -3.7 -2.0 -4.2 -0.4 -4.0 -9.7 -7.7 -10.9 0.0 -11.6 -11.1 -5.0 -5.1 -5.4 -5.4 -15.8 -9.3 -18.8 -3.3 -18.3 -9.0 -3.8 -3.9 -1.9 -4.8 -0.3 -4.6 1.3 3.0 -5.6 -3.6 3.7 -6.8 -13.7 -15.2 -20.0 SP500_micro -3.9 -20.0 -20.0 -4.2 -4.5 -2.4 -5.1 -0.4 -4.9 -13.3 2.0 -12.7 6.9 -12.2 -11.3 -10.6 -9.8 -11.4 -11.1 -14.0 -4.0 -20.0 3.8 -19.0 -16.7 -3.9 -8.0 -0.7 -6.8 2.0 -5.4 -7.7 -7.4 3.3 -1.8 7.4 -4.4 -12.2 -4.8 -17.3 SUGAR11 -0.3 3.3 1.5 -5.2 -3.0 -4.4 -2.9 -4.1 -4.4 -0.8 18.3 13.9 18.2 14.8 17.1 20.0 15.5 20.0 15.5 17.2 20.0 7.2 20.0 12.5 -20.0 5.9 -1.3 8.6 3.0 13.2 4.7 20.0 19.1 19.2 20.0 20.0 -20.0 -19.9 8.7 2.7 US10 5.0 -4.5 -13.6 -2.4 0.4 -2.2 -0.8 -1.9 -1.8 -2.8 -7.7 -4.2 -7.7 -6.3 -7.3 -5.7 -7.2 -7.4 -8.0 -10.6 -10.7 -5.7 -10.2 -8.8 1.1 -2.8 -0.5 -2.7 -1.6 -2.3 -2.4 -10.1 -4.7 -2.8 -0.0 -1.5 -20.0 -20.0 1.7 0.4 US10U 5.2 -6.6 -13.9 -2.9 0.5 -2.7 -0.9 -2.4 -2.2 -3.4 -9.4 -5.2 -9.3 -7.9 -9.0 1.8 -0.3 0.8 -0.2 -13.6 -13.3 -7.0 -12.1 -11.2 -2.2 -3.5 -0.5 -3.2 -1.8 -2.6 -2.9 2.5 -5.1 -4.5 -1.6 -3.8 -20.0 -20.0 9.8 15.3 US2 10.5 8.3 -8.7 -2.6 0.4 -2.4 -0.8 -2.1 -2.0 2.7 -8.5 -1.9 -8.5 -4.9 -7.0 -20.0 -20.0 -20.0 -20.0 -7.8 -12.4 -1.5 -16.4 -4.0 8.4 -2.8 0.4 -4.3 -0.6 -5.7 -1.6 -20.0 2.1 8.5 10.4 4.5 -20.0 -20.0 -13.8 -20.0 US20 5.0 -7.5 -14.6 -2.1 0.4 -1.9 -0.7 -1.7 -1.6 -2.2 -6.7 -3.7 -6.4 -5.7 -6.5 -0.3 -1.7 -1.6 -1.9 -10.8 -10.2 -5.1 -8.7 -8.8 -2.0 -2.5 -0.2 -2.3 -1.1 -1.8 -2.0 0.0 -2.8 -4.8 -4.0 -6.0 -11.1 -20.0 20.0 20.0 US30 3.9 -7.2 -10.5 -2.2 0.4 -2.0 -0.7 -1.8 -1.7 -2.6 -7.0 -4.1 -6.7 -6.0 -6.8 -4.1 -4.1 -5.5 -5.2 -10.2 -9.8 -5.1 -8.9 -8.4 -1.5 -2.6 -0.3 -2.4 -1.2 -1.9 -2.1 -4.6 -2.6 -3.8 -2.3 -5.3 -7.3 -20.0 20.0 20.0 US5 5.9 -1.0 -11.9 -2.5 0.4 -2.3 -0.8 -2.0 -1.9 -1.8 -8.1 -3.9 -8.1 -6.2 -7.4 -9.6 -10.5 -12.0 -12.2 -9.4 -10.5 -4.4 -11.1 -7.3 3.3 -2.9 -0.1 -3.1 -1.5 -3.0 -2.4 -16.6 -2.9 1.3 4.2 1.9 -20.0 -20.0 -8.4 -17.9 VIX 12.4 20.0 20.0 1.7 3.0 -3.6 4.7 -7.8 4.8 7.6 -13.6 9.6 -16.3 10.6 5.5 -18.8 -20.0 -20.0 -20.0 2.3 -8.9 9.6 -18.5 9.0 NaN 2.0 3.5 -4.1 5.4 -9.3 5.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 8.8 -8.9 -20.0 -4.7 -2.7 -4.0 -2.6 -3.7 -4.0 -3.4 -16.6 7.5 -18.0 -4.8 -16.4 -11.4 -10.1 -11.4 -11.0 -14.9 -20.0 -0.7 -20.0 -4.8 -5.2 -4.7 -0.7 -6.8 -0.3 -7.3 -1.6 -20.0 2.9 7.7 5.4 -14.0 -20.0 -15.9 -20.0 -12.3 End of report for caleb_strategy_v3