******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231027_204326 produced at 2023-10-27 21:39:09.891831 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.92 0.0 0.00 0.00 0.00 0.00 -10.71 11.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.20 -0.22 0.0 0.20 -0.20 -0.20 -0.20 -6.73 6.0 -6 -6 caleb_strategy_v3 CAD False False 0.03 -0.08 -0.20 0.0 0.75 -0.75 -0.08 -0.08 -7.52 29.0 -3 -3 caleb_strategy_v3 US2 False True 0.07 0.00 -0.19 0.0 0.00 0.00 0.00 0.00 -2.60 13.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.25 -0.14 0.0 0.65 -0.65 -0.25 -0.25 -2.73 13.0 -5 -5 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.14 0.0 0.00 0.00 0.00 0.00 -3.53 24.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.18 -0.13 0.0 0.52 -0.52 -0.18 -0.15 -4.13 17.0 -6 -5 caleb_strategy_v3 VIX False False 0.01 -0.08 -0.09 0.0 0.13 -0.13 -0.08 -0.08 -11.10 17.0 -10 -10 caleb_strategy_v3 US5 False False 0.04 -0.08 -0.08 0.0 0.94 -0.94 -0.08 -0.04 -2.14 25.0 -2 -1 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.08 0.0 0.36 -0.36 0.00 0.00 -10.36 48.0 0 0 caleb_strategy_v3 SP400 False False 0.08 -0.17 -0.08 0.0 0.17 -0.17 -0.17 -0.17 -0.90 2.0 -2 -2 caleb_strategy_v3 DOW False False 0.01 0.00 -0.08 0.0 0.39 -0.39 0.00 0.00 -13.58 66.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 -0.05 -0.07 0.0 0.45 -0.45 -0.05 -0.05 -2.82 17.0 -2 -2 caleb_strategy_v3 RUSSELL False False 0.00 -0.05 -0.07 0.0 0.20 -0.20 -0.05 -0.05 -24.79 68.0 -17 -17 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.06 0.0 0.18 -0.18 0.00 0.00 -15.53 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 -1.40 8.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.06 -0.05 0.0 0.24 -0.24 -0.06 -0.07 -4.65 23.0 -6 -7 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 -0.29 -0.05 0.0 0.67 -0.67 -0.29 -0.24 -0.99 14.0 -6 -5 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.05 0.0 0.43 -0.43 -0.02 -0.02 -2.13 19.0 -1 -1 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.05 0.0 0.11 -0.11 -0.01 -0.01 -5.52 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 -0.91 2.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.04 0.0 0.65 -0.65 0.00 0.00 -1.17 17.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.00 -0.04 0.0 0.42 -0.42 0.00 0.00 -1.03 10.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.04 0.0 0.06 -0.06 0.00 0.00 -3.11 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 -8.53 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 -0.66 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 -1.15 12.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.05 -0.03 0.0 0.09 -0.09 -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 -4.27 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 -1.53 21.0 -2 -2 caleb_strategy_v3 COTTON2 False False 0.02 -0.05 -0.03 0.0 0.17 -0.17 -0.05 -0.05 -2.00 11.0 -3 -3 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.03 0.0 0.11 -0.11 -0.02 -0.02 -2.57 9.0 -2 -2 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 -0.03 0.0 0.41 -0.41 -0.01 -0.01 -4.58 56.0 -1 -1 caleb_strategy_v3 GBP False False 0.03 0.00 -0.03 0.0 0.60 -0.60 0.00 0.00 -1.24 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 -7.90 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 -0.72 0.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.02 0.0 0.84 -0.84 0.00 0.00 -0.48 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 -3.17 58.0 -1 -1 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.49 -0.49 0.00 0.00 -0.25 10.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.11 -0.11 -0.03 -0.03 -0.78 10.0 -3 -3 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.25 7.0 -1 -1 caleb_strategy_v3 BUXL False False 0.05 -0.09 -0.01 0.0 0.18 -0.18 -0.09 -0.09 -0.22 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 RICE False False 0.01 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -0.96 4.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.44 6.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.08 -0.01 0.0 0.24 -0.24 -0.08 -0.12 -0.23 6.0 -2 -3 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.41 -0.01 0.0 0.55 -0.55 0.41 0.28 -0.40 16.0 12 8 caleb_strategy_v3 EUROSTX False False 0.02 0.00 -0.00 0.0 0.30 -0.30 0.00 0.00 -0.11 20.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.00 -0.00 0.0 0.59 -0.59 0.00 0.00 -0.26 60.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.05 -0.00 0.0 0.16 -0.16 -0.05 -0.05 -0.02 10.0 -3 -3 caleb_strategy_v3 OAT False False 0.05 0.00 -0.00 0.0 0.47 -0.47 0.00 0.00 -0.07 10.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.02 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 0.15 3.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.20 -0.20 0.01 0.01 1.19 23.0 1 1 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 0.14 -0.14 0.00 0.00 0.29 4.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.02 0.0 0.14 -0.14 0.01 0.01 1.87 13.0 1 1 caleb_strategy_v3 NIKKEI False False 0.01 0.05 0.02 0.0 0.26 -0.26 0.05 0.05 2.98 36.0 7 7 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 2.42 18.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.01 0.03 0.0 0.36 -0.36 0.01 0.01 2.18 26.0 1 1 caleb_strategy_v3 BITCOIN False True 0.00 0.02 0.05 0.0 0.02 0.00 0.02 0.02 39.19 59.0 17 17 caleb_strategy_v3 OJ False False 0.02 0.00 0.07 0.0 0.06 -0.06 0.00 0.00 3.38 3.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.11 0.0 0.14 -0.14 0.08 0.08 3.84 5.0 3 3 caleb_strategy_v3 DX False False 0.04 0.00 0.15 0.0 38268410.66 -38268410.66 0.00 0.00 4.01 999999999.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.09 0.49 0.0 0.92 -0.92 0.09 0.18 5.29 10.0 1 2 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 11.9 Shocked risk 26.9 Sum abs risk 44.7 Leverage 4.52 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2779969.12, 'annual_cash_vol_target': 694992.28, 'daily_cash_vol_target': 43437.0175} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6344 0.6532 10.4514 BITCOIN 857.9356 33915.0000 2.5297 40.4746 BOBL 0.2794 116.2400 0.2404 3.8465 BTP 0.6532 109.4400 0.5968 9.5490 BUND 0.5657 128.8900 0.4389 7.0225 BUXL 1.2991 119.9400 1.0831 17.3294 CAC 58.8836 6774.0000 0.8693 13.9082 CAD 0.0028 0.7212 0.3948 6.3165 CANOLA 7.4300 694.3000 1.0701 17.1224 CHF 0.0048 1.1151 0.4312 6.8992 COCOA 42.2041 3882.0000 1.0872 17.3948 COFFEE 2.5578 160.0500 1.5981 25.5701 COPPER 0.0361 3.6405 0.9924 15.8778 CORN 5.1263 512.0000 1.0012 16.0196 COTTON2 1.0576 86.2500 1.2262 19.6193 CRUDE_W 1.2294 77.7800 1.5807 25.2904 DAX 118.4897 14680.0000 0.8072 12.9144 DOW 218.6866 32450.0000 0.6739 10.7827 DX 0.3511 106.3850 0.3300 5.2799 EUR 0.0052 1.0588 0.4870 7.7928 EURIBOR-ICE 0.0542 97.1750 0.0557 0.8918 EUROSTX 38.1050 4003.0000 0.9519 15.2306 FEEDCOW 2.0592 238.2250 0.8644 13.8301 GASOIL 15.5875 843.2500 1.8485 29.5761 GASOLINE 0.0394 2.2842 1.7248 27.5976 GAS_US_mini 0.0888 3.6900 2.4072 38.5149 GBP 0.0067 1.2115 0.5492 8.7875 GOLD_micro 14.8836 2019.0000 0.7372 11.7948 HEATOIL 0.0439 2.8676 1.5303 24.4855 JGB-SGX-mini 0.2145 144.2600 0.1487 2.3787 JPY 0.0000 0.0067 0.4992 7.9867 LEANHOG 1.2810 73.3250 1.7470 27.9513 LIVECOW 1.6050 182.6500 0.8787 14.0592 LUMBER-new 7.8886 499.5000 1.5793 25.2687 MILK 0.2155 17.5700 1.2264 19.6220 MXP 0.0005 0.0548 0.8452 13.5225 NASDAQ_micro 142.5099 14237.5000 1.0009 16.0152 NIKKEI 331.1791 30565.0000 1.0835 17.3364 NZD 0.0039 0.5810 0.6748 10.7968 OAT 0.5771 123.1300 0.4687 7.4993 OATIES 6.4736 419.5000 1.5432 24.6907 OJ 3.6743 392.7000 0.9356 14.9702 PALLAD 18.4822 1131.0000 1.6341 26.1463 PLAT 12.6544 909.3000 1.3917 22.2666 REDWHEAT 9.9285 656.2500 1.5129 24.2067 RICE 0.1408 16.5700 0.8497 13.5947 ROBUSTA 33.2592 2372.0000 1.4022 22.4345 RUSSELL 18.5328 1642.2000 1.1285 18.0566 SHATZ 0.0842 105.1800 0.0800 1.2808 SILVER-mini 0.3277 23.3000 1.4066 22.5060 SMI 81.6294 10289.0000 0.7934 12.6938 SOFR 0.0817 95.8600 0.0852 1.3630 SOYBEAN 10.4001 1273.0000 0.8170 13.0716 SOYMEAL 5.1857 411.6000 1.2599 20.1582 SOYOIL 0.7786 51.1500 1.5223 24.3565 SP400 23.8868 2333.9000 1.0235 16.3755 SP500_micro 31.8664 4129.2500 0.7717 12.3476 SUGAR11 0.3324 26.0500 1.2761 20.4175 US10 0.4758 106.4375 0.4470 7.1521 US10U 0.6751 109.1094 0.6188 9.9001 US2 0.1069 101.3320 0.1055 1.6881 US20 1.0475 109.5312 0.9563 15.3015 US30 1.5531 112.5000 1.3805 22.0887 US5 0.2954 104.6953 0.2822 4.5144 VIX 0.6489 21.6000 3.0040 48.0641 WHEAT 8.6377 664.2500 1.3004 20.8058 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 634.45 0.65 414.43 1.00 414.43 43437.02 104.81 -7.83 -82.12 BITCOIN 33.92 2.53 85.79 1.00 85.79 43437.02 506.30 7.15 361.90 BOBL 1162.40 0.24 279.45 1.05 294.57 43437.02 147.46 -3.18 -46.94 BTP 1094.40 0.60 653.15 1.05 688.49 43437.02 63.09 -4.79 -30.23 BUND 1288.90 0.44 565.70 1.05 596.31 43437.02 72.84 -3.37 -24.55 BUXL 1199.40 1.08 1299.05 1.05 1369.33 43437.02 31.72 -6.82 -21.64 CAC 677.40 0.87 588.84 1.05 620.69 43437.02 69.98 -4.83 -33.79 CAD 721.15 0.39 284.70 1.00 284.70 43437.02 152.57 -19.00 -289.84 CANOLA 138.86 1.07 148.60 0.72 107.55 43437.02 403.89 -15.81 -638.41 CHF 1393.81 0.43 601.01 1.00 601.01 43437.02 72.27 -14.54 -105.07 COCOA 388.20 1.09 422.04 1.00 422.04 43437.02 102.92 9.87 101.59 COFFEE 600.19 1.60 959.18 1.00 959.18 43437.02 45.29 -8.39 -37.99 COPPER 910.12 0.99 903.17 1.00 903.17 43437.02 48.09 -12.91 -62.10 CORN 256.00 1.00 256.31 1.00 256.31 43437.02 169.47 -13.39 -226.85 COTTON2 431.25 1.23 528.80 1.00 528.80 43437.02 82.14 -11.36 -93.33 CRUDE_W 777.80 1.58 1229.43 1.00 1229.43 43437.02 35.33 10.03 35.43 DAX 146.80 0.81 118.49 1.05 124.90 43437.02 347.77 -2.67 -92.86 DOW 162.25 0.67 109.34 1.00 109.34 43437.02 397.25 -14.71 -584.21 DX 1063.85 0.33 351.06 1.00 351.06 43437.02 123.73 12.48 154.42 EUR 1323.50 0.49 644.61 1.00 644.61 43437.02 67.39 -5.66 -38.16 EURIBOR-ICE 2429.38 0.06 135.41 1.05 142.73 43437.02 304.33 5.09 155.03 EUROSTX 400.30 0.95 381.05 1.05 401.66 43437.02 108.14 -0.29 -3.09 FEEDCOW 1191.12 0.86 1029.58 1.00 1029.58 43437.02 42.19 -10.01 -42.22 GASOIL 843.25 1.85 1558.75 1.00 1558.75 43437.02 27.87 7.23 20.13 GASOLINE 959.36 1.72 1654.76 1.00 1654.76 43437.02 26.25 2.52 6.61 GAS_US_mini 92.25 2.41 222.06 1.00 222.06 43437.02 195.61 -3.73 -72.94 GBP 757.19 0.55 415.86 1.00 415.86 43437.02 104.45 -4.59 -47.97 GOLD_micro 201.90 0.74 148.84 1.00 148.84 43437.02 291.85 -4.60 -134.37 HEATOIL 1204.39 1.53 1843.13 1.00 1843.13 43437.02 23.57 1.50 3.55 JGB-SGX-mini 144260.00 0.15 21446.76 0.01 142.44 43437.02 304.95 -0.12 -3.73 JPY 842.75 0.50 420.67 1.00 420.67 43437.02 103.26 -15.41 -159.07 LEANHOG 293.30 1.75 512.38 1.00 512.38 43437.02 84.77 3.62 30.72 LIVECOW 730.60 0.88 641.98 1.00 641.98 43437.02 67.66 -12.60 -85.22 LUMBER-new 137.36 1.58 216.94 1.00 216.94 43437.02 200.23 -20.00 -400.46 MILK 351.40 1.23 430.95 1.00 430.95 43437.02 100.79 -14.42 -145.36 MXP 273.85 0.85 231.45 1.00 231.45 43437.02 187.68 -0.10 -1.79 NASDAQ_micro 284.75 1.00 285.02 1.00 285.02 43437.02 152.40 -13.13 -200.16 NIKKEI 30565.00 1.08 33117.91 0.01 219.95 43437.02 197.48 1.39 27.51 NZD 581.00 0.67 392.06 1.00 392.06 43437.02 110.79 -5.31 -58.79 OAT 1231.30 0.47 577.12 1.05 608.34 43437.02 71.40 -0.30 -2.16 OATIES 209.75 1.54 323.68 1.00 323.68 43437.02 134.20 -13.09 -175.67 OJ 589.05 0.94 551.14 1.00 551.14 43437.02 78.81 20.00 157.63 PALLAD 1131.00 1.63 1848.22 1.00 1848.22 43437.02 23.50 -11.30 -26.55 PLAT 454.65 1.39 632.72 1.00 632.72 43437.02 68.65 -0.09 -0.60 REDWHEAT 328.12 1.51 496.43 1.00 496.43 43437.02 87.50 -20.00 -175.00 RICE 331.40 0.85 281.58 1.00 281.58 43437.02 154.26 -2.56 -39.42 ROBUSTA 237.20 1.40 332.59 1.00 332.59 43437.02 130.60 7.78 101.59 RUSSELL 82.11 1.13 92.66 1.00 92.66 43437.02 468.76 -15.96 -747.99 SHATZ 1051.80 0.08 84.19 1.05 88.75 43437.02 489.44 -7.12 -348.36 SILVER-mini 582.50 1.41 819.36 1.00 819.36 43437.02 53.01 -3.98 -21.11 SMI 1028.90 0.79 816.29 1.11 908.41 43437.02 47.82 -7.68 -36.74 SOFR 2396.50 0.09 204.15 1.00 204.15 43437.02 212.77 -8.28 -176.16 SOYBEAN 636.50 0.82 520.00 1.00 520.00 43437.02 83.53 -3.18 -26.60 SOYMEAL 411.60 1.26 518.57 1.00 518.57 43437.02 83.76 0.31 2.58 SOYOIL 306.90 1.52 467.19 1.00 467.19 43437.02 92.98 -8.96 -83.32 SP400 2333.90 1.02 2388.68 1.00 2388.68 43437.02 18.18 -14.94 -27.17 SP500_micro 206.46 0.77 159.33 1.00 159.33 43437.02 272.62 -16.35 -445.67 SUGAR11 291.76 1.28 372.31 1.00 372.31 43437.02 116.67 9.75 113.74 US10 1064.38 0.45 475.78 1.00 475.78 43437.02 91.30 -10.08 -92.01 US10U 1091.09 0.62 675.12 1.00 675.12 43437.02 64.34 -8.15 -52.42 US2 2026.64 0.11 213.83 1.00 213.83 43437.02 203.14 -10.10 -205.18 US20 1095.31 0.96 1047.49 1.00 1047.49 43437.02 41.47 -5.99 -24.84 US30 1125.00 1.38 1553.11 1.00 1553.11 43437.02 27.97 -6.36 -17.78 US5 1046.95 0.28 295.40 1.00 295.40 43437.02 147.04 -11.46 -168.54 VIX 216.00 3.00 648.87 1.00 648.87 43437.02 66.94 -6.71 -44.95 WHEAT 332.12 1.30 431.88 1.00 431.88 43437.02 100.58 -19.23 -193.43 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -82.117 0.010 2.5 -2.131 BITCOIN 361.901 0.043 2.5 39.191 BOBL -46.941 0.004 2.5 -0.476 BTP -30.234 0.014 2.5 -1.031 BUND -24.552 0.004 2.5 -0.249 BUXL -21.638 0.004 2.5 -0.219 CAC -33.787 0.014 2.5 -1.152 CAD -289.837 0.010 2.5 -7.520 CANOLA -638.405 0.010 2.5 -15.532 CHF -105.067 0.010 2.5 -2.726 COCOA 101.590 0.009 2.5 2.176 COFFEE -37.993 0.005 2.5 -0.444 COPPER -62.103 0.043 2.5 -6.725 CORN -226.846 0.010 2.5 -5.519 COTTON2 -93.334 0.009 2.5 -1.999 CRUDE_W 35.425 0.043 2.5 3.836 DAX -92.856 0.014 2.5 -3.167 DOW -584.211 0.009 2.5 -13.578 DX 154.419 0.010 2.5 4.007 EUR -38.162 0.010 2.5 -0.990 EURIBOR-ICE 155.026 0.014 2.5 5.288 EUROSTX -3.086 0.014 2.5 -0.105 FEEDCOW -42.224 0.013 2.5 -1.399 GASOIL 20.135 0.017 2.5 0.873 GASOLINE 6.608 0.017 2.5 0.286 GAS_US_mini -72.944 0.043 2.5 -7.899 GBP -47.967 0.010 2.5 -1.245 GOLD_micro -134.371 0.014 2.5 -4.583 HEATOIL 3.546 0.017 2.5 0.154 JGB-SGX-mini -3.729 0.043 2.5 -0.404 JPY -159.066 0.010 2.5 -4.127 LEANHOG 30.722 0.024 2.5 1.867 LIVECOW -85.224 0.013 2.5 -2.824 LUMBER-new -400.460 0.009 2.5 -8.525 MILK -145.355 0.009 2.5 -3.113 MXP -1.788 0.059 2.5 -0.262 NASDAQ_micro -200.158 0.009 2.5 -4.652 NIKKEI 27.509 0.043 2.5 2.979 NZD -58.793 0.010 2.5 -1.526 OAT -2.156 0.014 2.5 -0.074 OATIES -175.673 0.010 2.5 -4.274 OJ 157.627 0.009 2.5 3.376 PALLAD -26.549 0.014 2.5 -0.906 PLAT -0.601 0.014 2.5 -0.020 REDWHEAT -174.999 0.005 2.5 -2.322 RICE -39.417 0.010 2.5 -0.959 ROBUSTA 101.592 0.005 2.5 1.186 RUSSELL -747.990 0.013 2.5 -24.787 SHATZ -348.360 0.004 2.5 -3.533 SILVER-mini -21.109 0.014 2.5 -0.720 SMI -36.736 0.014 2.5 -1.253 SOFR -176.163 0.024 2.5 -10.707 SOYBEAN -26.599 0.004 2.5 -0.247 SOYMEAL 2.578 0.004 2.5 0.024 SOYOIL -83.325 0.004 2.5 -0.776 SP400 -27.171 0.013 2.5 -0.900 SP500_micro -445.668 0.009 2.5 -10.358 SUGAR11 113.740 0.009 2.5 2.419 US10 -92.014 0.005 2.5 -1.166 US10U -52.418 0.005 2.5 -0.664 US2 -205.177 0.005 2.5 -2.600 US20 -24.839 0.005 2.5 -0.315 US30 -17.783 0.005 2.5 -0.225 US5 -168.542 0.005 2.5 -2.136 VIX -44.948 0.099 2.5 -11.096 WHEAT -193.430 0.005 2.5 -2.566 ===================== Position diags ===================== AUD 2.72 BITCOIN 54.83 BOBL 1.50 BTP 2.15 BUND 0.74 BUXL 0.32 CAC 2.39 CAD 3.96 CANOLA 9.83 CHF 1.88 COCOA 2.20 COFFEE 0.53 COPPER 5.21 CORN 4.12 COTTON2 1.76 CRUDE_W 3.83 DAX 11.86 DOW 9.23 DX 3.21 EUR 1.75 EURIBOR-ICE 10.38 EUROSTX 3.69 FEEDCOW 1.40 GASOIL 1.21 GASOLINE 1.14 GAS_US_mini 21.18 GBP 2.71 GOLD_micro 9.95 HEATOIL 1.02 JGB-SGX-mini 33.02 JPY 2.68 LEANHOG 5.15 LIVECOW 2.24 LUMBER-new 4.26 MILK 2.16 MXP 27.55 NASDAQ_micro 3.54 NIKKEI 21.39 NZD 2.87 OAT 2.44 OATIES 3.26 OJ 1.69 PALLAD 0.80 PLAT 2.34 REDWHEAT 1.16 RICE 3.75 ROBUSTA 1.53 RUSSELL 15.53 SHATZ 4.96 SILVER-mini 1.81 SMI 1.63 SOFR 12.93 SOYBEAN 0.78 SOYMEAL 0.78 SOYOIL 0.87 SP400 0.60 SP500_micro 6.34 SUGAR11 2.48 US10 1.16 US10U 0.82 US2 2.57 US20 0.53 US30 0.35 US5 1.86 VIX 16.53 WHEAT 1.33 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 39.2 33.7 44.7 17.0 17 BOBL -0.5 -0.6 -0.3 0.0 0 BTP -1.0 -1.2 -0.8 0.0 0 BUND -0.2 -0.3 -0.2 0.0 0 BUXL -0.2 -0.3 -0.2 -2.0 -2 CAC -1.2 -1.4 -0.9 0.0 0 CAD -7.5 -7.9 -7.1 -3.0 -3 CANOLA -15.5 -16.5 -14.5 NaN 0 CHF -2.7 -2.9 -2.5 -5.0 -5 COCOA 2.2 2.0 2.4 1.0 1 COFFEE -0.4 -0.5 -0.4 0.0 0 COPPER -6.7 -7.2 -6.2 -6.0 -6 CORN -5.5 -5.9 -5.1 -1.0 -1 COTTON2 -2.0 -2.2 -1.8 -3.0 -3 CRUDE_W 3.8 3.5 4.2 3.0 3 DAX -3.2 -4.4 -2.0 -1.0 -1 DOW -13.6 -14.5 -12.7 0.0 0 DX 4.0 3.7 4.3 NaN 0 EUR -1.0 -1.2 -0.8 -6.0 -6 EURIBOR-ICE 5.3 4.2 6.3 1.0 1 EUROSTX -0.1 -0.5 0.3 0.0 0 FEEDCOW -1.4 -1.5 -1.3 0.0 0 GASOIL 0.9 0.8 1.0 0.0 0 GASOLINE 0.3 0.2 0.4 0.0 0 GAS_US_mini -7.9 -10.0 -5.8 -6.0 -6 GBP -1.2 -1.5 -1.0 0.0 0 GOLD_micro -4.6 -5.6 -3.6 -1.0 -1 HEATOIL 0.2 0.1 0.3 0.0 0 JGB-SGX-mini -0.4 -3.7 2.9 12.0 12 JPY -4.1 -4.4 -3.9 -6.0 -6 LEANHOG 1.9 1.4 2.4 1.0 1 LIVECOW -2.8 -3.0 -2.6 -2.0 -2 LUMBER-new -8.5 -9.0 -8.1 NaN 0 MILK -3.1 -3.3 -2.9 NaN 0 MXP -0.3 -3.0 2.5 0.0 0 NASDAQ_micro -4.7 -5.0 -4.3 -6.0 -6 NIKKEI 3.0 0.8 5.1 7.0 7 NZD -1.5 -1.8 -1.2 -2.0 -2 OAT -0.1 -0.3 0.2 0.0 0 OATIES -4.3 -4.6 -3.9 NaN 0 OJ 3.4 3.2 3.5 NaN 0 PALLAD -0.9 -1.0 -0.8 -1.0 -1 PLAT -0.0 -0.3 0.2 -3.0 -3 REDWHEAT -2.3 -2.4 -2.2 -4.0 -4 RICE -1.0 -1.3 -0.6 NaN 0 ROBUSTA 1.2 1.0 1.3 1.0 1 RUSSELL -24.8 -26.3 -23.2 -17.0 -17 SHATZ -3.5 -4.0 -3.0 NaN 0 SILVER-mini -0.7 -0.9 -0.5 NaN 0 SMI -1.3 -1.4 -1.1 -2.0 -2 SOFR -10.7 -12.0 -9.4 NaN 0 SOYBEAN -0.2 -0.3 -0.2 -1.0 -1 SOYMEAL 0.0 -0.1 0.1 0.0 0 SOYOIL -0.8 -0.9 -0.7 -3.0 -3 SP400 -0.9 -1.0 -0.8 -2.0 -2 SP500_micro -10.4 -11.0 -9.7 0.0 0 SUGAR11 2.4 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 -2.6 -2.9 -2.3 NaN 0 US20 -0.3 -0.4 -0.3 -1.0 -1 US30 -0.2 -0.3 -0.2 -2.0 -2 US5 -2.1 -2.3 -1.9 -2.0 -2 VIX -11.1 -12.7 -9.4 -10.0 -10 WHEAT -2.6 -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 -0.0 -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 0.5 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.3 0.0 0.1 -0.3 -0.2 -0.7 -0.0 0.1 BITCOIN 0.6 0.4 -0.2 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.1 0.2 0.2 0.3 0.2 0.0 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.1 0.2 -2.7 0.1 0.1 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 0.1 -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 0.3 0.3 0.3 -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 -0.0 -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 0.1 0.2 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 -0.0 -0.1 -0.0 0.1 -0.0 0.0 -0.1 -0.1 0.0 -0.3 -0.0 0.8 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.5 0.0 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 -0.4 -0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.1 0.1 0.0 -0.0 -0.7 -0.7 -0.4 0.6 CAC -0.3 -0.6 -0.6 -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 -0.1 -0.1 -0.1 0.0 -0.1 0.2 0.3 0.1 0.1 0.1 0.4 0.1 0.6 0.3 CAD -0.2 -0.2 -0.4 -0.1 -0.0 -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 -0.2 -0.2 -0.3 -0.2 0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.5 -0.6 0.0 -0.6 -0.7 -0.7 -0.6 -0.7 CANOLA -0.3 -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 -0.1 -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 -0.1 0.4 0.3 CHF 0.6 -0.6 -0.5 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 -0.2 0.1 0.2 -0.0 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 0.0 -0.0 0.0 -1.3 -0.0 -0.0 -0.1 0.0 -0.0 -0.0 -1.1 0.4 0.6 -0.3 -0.0 -0.7 -0.7 -0.7 -0.7 COCOA 0.6 -0.4 0.0 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 -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 -0.0 -0.0 -0.4 0.1 -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 -0.0 -0.4 -0.3 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.1 -0.4 -0.0 -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 -0.0 0.0 -0.2 -0.4 -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 -0.1 -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 -0.4 0.3 0.6 -0.1 -0.2 -0.0 0.1 0.2 COTTON2 -0.5 -0.3 0.2 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.2 -0.1 -0.3 -0.1 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 -0.4 -0.6 0.3 0.5 -0.7 -0.5 0.1 0.3 CRUDE_W -0.2 -0.2 0.6 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.0 0.4 0.1 0.3 0.0 0.1 0.2 0.2 0.3 0.3 0.1 0.2 0.0 0.4 0.1 -0.7 0.0 -0.0 0.2 0.0 0.2 0.0 -1.1 0.2 0.1 0.5 0.0 0.7 0.3 0.7 0.3 DAX -0.2 -0.6 -0.6 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.3 -0.2 0.4 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 -0.0 -0.2 2.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 0.1 0.0 -0.1 -0.1 0.4 0.1 0.7 0.3 DOW -0.0 -0.6 -0.5 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 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 -0.1 -0.1 -0.1 0.0 -0.1 -0.3 0.0 0.1 -0.1 0.3 -0.5 -0.2 -0.7 -0.3 DX -0.2 0.6 0.6 -0.1 -0.0 -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 0.4 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 -0.1 -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 0.4 0.3 -0.2 -0.3 -0.3 -0.6 -0.2 -0.2 EURIBOR-ICE 0.3 0.1 0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.0 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 0.1 -0.2 0.0 2.3 -0.0 0.1 -0.0 0.0 -0.1 0.0 -0.6 0.3 0.5 0.4 0.4 -0.7 -0.7 0.2 0.6 EUROSTX -0.1 -0.5 -0.6 -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 -0.1 -0.1 -0.1 0.0 -0.1 0.2 0.3 0.4 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 0.0 -0.2 0.4 -0.2 -0.3 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -1.1 -0.5 -0.6 -0.3 0.4 0.5 -0.1 0.7 0.2 GASOIL -0.5 -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 -0.1 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 -0.3 0.0 -0.5 -0.2 GASOLINE -0.3 -0.6 0.1 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.1 0.3 0.0 0.3 -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 1.0 0.4 -0.1 -0.6 -0.6 0.7 0.3 0.7 0.2 GAS_US_mini 0.2 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 -0.0 -0.2 -0.0 -0.5 -0.0 2.7 0.0 0.0 -0.0 -0.0 -0.1 -0.0 -1.1 -0.3 0.6 -0.2 -0.6 -0.2 0.2 -0.4 0.0 GBP 0.2 -0.6 -0.5 -0.1 -0.0 -0.1 -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 -0.2 0.2 0.1 0.7 GOLD_micro 0.6 0.3 -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 0.1 -0.0 0.1 -0.0 0.1 -1.0 0.5 0.6 0.4 0.1 -0.4 -0.7 -0.3 -0.7 HEATOIL -0.4 -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 -0.1 0.5 -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 -0.1 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 1.1 -0.5 -0.0 0.2 -0.1 -0.0 -0.5 0.4 0.4 JPY 0.1 -0.3 -0.6 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.0 -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 0.1 -0.2 -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 0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 0.4 0.4 0.4 -0.1 -0.1 -0.0 -0.2 -0.1 1.5 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 1.1 -0.2 -0.3 0.0 -0.1 -0.3 -0.1 0.4 0.7 LIVECOW -0.6 -0.6 -0.5 -0.0 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 0.5 -0.5 -0.7 -0.3 -0.5 LUMBER-new -0.0 -0.2 -0.5 -0.1 0.0 -0.2 -0.0 -0.2 -0.1 -0.0 -0.6 -0.1 -0.7 -0.2 -0.2 -0.4 -0.3 -0.4 -0.4 -0.2 -0.2 -0.1 -0.5 -0.2 NaN -0.1 0.0 -0.2 -0.1 -0.2 -0.1 -1.2 -0.6 -0.4 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 -0.1 -0.4 -0.1 0.0 -0.3 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.5 -0.0 0.4 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -1.1 0.1 0.4 0.1 0.3 -0.7 -0.7 -0.7 -0.7 MXP -0.3 -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 -0.0 0.3 -0.1 -2.7 -0.0 0.0 0.0 -0.0 0.1 -0.0 1.1 0.2 -0.2 -0.3 0.0 0.5 0.4 0.7 0.7 NASDAQ_micro -0.2 -0.6 -0.6 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 0.1 -0.1 0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 0.0 -0.2 0.2 -0.2 -2.7 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.3 -0.2 0.3 0.1 0.3 0.1 -0.4 -0.0 -0.5 NIKKEI -0.2 -0.6 -0.5 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 0.2 -0.1 0.4 -0.1 -0.1 0.1 0.2 0.1 0.2 -0.1 0.0 -0.1 0.3 -0.1 -0.9 -0.0 -0.1 0.0 -0.1 0.2 -0.0 1.1 0.1 0.2 0.5 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 -0.2 -0.2 0.2 -0.2 0.1 -0.5 0.3 0.3 OAT 0.1 -0.3 -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.0 -0.3 -0.0 1.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.8 0.0 0.2 0.2 0.2 -0.7 -0.7 -0.3 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 -0.0 -0.1 -0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.2 -0.0 -0.0 0.1 -0.2 -2.7 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -1.1 0.2 -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 -0.4 -0.1 -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 -0.4 -0.6 -0.3 -0.2 -0.3 -0.3 0.1 -0.1 PLAT 0.2 -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 1.9 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.2 -0.0 -0.1 -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 -0.2 -0.5 -0.2 -2.4 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.2 -0.4 -0.4 -0.3 -0.6 -0.7 -0.7 -0.7 -0.4 RICE 0.1 -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 0.2 0.0 -2.7 0.0 -0.0 0.1 0.0 0.1 0.0 0.5 -0.0 0.3 0.2 0.6 -0.1 -0.7 0.6 -0.3 ROBUSTA 0.2 -0.2 -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.3 0.1 0.5 0.0 0.0 0.4 0.4 0.4 0.4 0.1 0.1 0.1 0.4 0.1 -2.6 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 0.6 -0.0 RUSSELL -0.2 -0.6 -0.5 -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 0.1 -0.3 -0.3 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 0.1 -0.2 0.0 -0.3 -0.0 -0.0 -0.4 -0.3 -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 0.2 0.4 0.3 0.3 -0.7 -0.7 -0.5 -0.7 SILVER-mini 0.5 -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 0.1 -0.1 0.0 0.9 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.2 -0.1 0.1 -0.1 0.2 -0.5 -0.7 -0.2 -0.7 SMI -0.5 -0.4 -0.4 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 0.1 -0.1 -0.1 0.1 0.0 0.1 0.0 -0.2 -0.1 -0.2 -0.1 -0.2 0.6 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 0.7 -0.4 -0.3 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 -0.1 0.1 0.1 -0.7 -0.7 -0.2 -0.2 SOYBEAN -0.0 -0.4 0.0 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 0.1 0.2 0.1 0.1 -0.1 -0.1 0.3 0.4 0.3 0.3 -0.0 -0.0 0.0 0.0 -0.0 -2.7 -0.0 0.1 -0.0 0.0 0.0 -0.0 1.1 0.3 0.2 0.1 0.2 -0.7 -0.2 -0.7 0.0 SOYMEAL 0.6 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 0.1 0.0 0.1 0.0 0.3 0.3 0.3 0.3 0.1 -0.0 0.2 0.0 0.2 -2.7 0.0 0.1 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 -0.1 -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 -0.3 -0.6 -0.6 -0.2 -0.2 0.1 0.5 0.7 SP400 -0.2 -0.6 -0.6 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -1.2 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.1 0.1 -0.2 -0.1 0.1 -0.2 -0.5 -0.5 -0.7 SP500_micro -0.2 -0.6 -0.6 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -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 -0.1 -0.6 SUGAR11 0.0 0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 0.0 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 0.1 -2.7 0.1 0.0 0.2 0.0 0.5 0.1 1.1 0.3 0.6 0.6 0.6 -0.7 -0.7 0.3 0.1 US10 0.2 -0.2 -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 -0.0 -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 0.0 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 -0.0 -0.3 -0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.0 -0.3 -0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 -0.2 -0.1 -0.1 -0.7 -0.7 0.3 0.5 US2 0.3 0.3 -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 -0.0 -0.3 -0.0 -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 0.2 0.3 0.2 -0.7 -0.7 -0.4 -0.7 US20 0.2 -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 -0.0 -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 0.2 -0.2 -0.4 -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 -0.2 -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 0.7 1.0 1.0 0.0 0.1 -0.1 0.1 -0.4 0.1 0.2 -0.6 0.2 -1.0 0.2 0.1 -0.6 -0.6 -0.6 -0.6 0.1 -0.1 0.2 -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 0.2 -0.3 -0.6 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.5 0.1 -0.7 -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 0.0 0.3 0.2 -0.4 -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 1.0 -1.5 -14.6 -4.0 -3.5 -1.6 -4.1 0.4 -4.4 -3.6 -14.1 -8.8 -11.1 -10.2 -14.2 -3.3 -3.0 -3.4 -3.2 -10.7 -12.3 -4.3 -11.7 -7.3 3.4 -5.2 -0.7 -5.4 -2.3 -4.7 -3.8 -1.4 11.2 0.0 3.2 -9.6 -6.9 -20.0 -1.5 4.3 BITCOIN 20.0 10.9 -5.6 -3.6 8.0 -3.5 6.7 -1.0 1.1 16.1 8.4 20.0 8.9 20.0 4.6 -6.3 -4.7 -6.1 -5.7 17.0 5.9 20.0 2.0 20.0 -20.0 5.2 12.1 1.3 15.6 0.4 11.5 -0.6 20.0 20.0 20.0 9.3 -3.1 20.0 -1.3 20.0 BOBL 7.5 -2.5 1.9 -2.5 1.0 -2.3 -0.3 -2.1 -1.7 5.7 -5.7 2.6 -7.5 -1.7 -3.3 9.5 -4.7 -0.4 -5.3 -3.7 -5.4 2.7 -8.4 -1.0 8.8 -2.0 3.7 -2.5 1.4 -3.3 -0.6 -6.3 4.9 10.7 7.8 8.1 -20.0 -20.0 -15.1 -17.8 BTP 2.6 -18.9 -11.7 -3.6 1.5 -3.4 -0.5 -3.0 -2.5 5.1 -6.9 -1.8 -2.2 -8.6 -9.7 7.1 7.5 6.4 6.4 -11.4 -8.9 -0.9 -6.6 -7.6 -6.3 -3.7 1.4 -2.7 -0.3 -1.6 -2.4 15.3 2.8 6.9 1.2 4.3 -13.6 -20.0 -0.9 7.1 BUND 5.8 -7.3 -2.5 -2.6 1.1 -2.5 -0.3 -2.2 -1.8 3.5 -7.0 0.1 -8.3 -4.3 -6.0 -2.2 5.5 -0.1 2.4 -6.1 -7.2 0.4 -9.5 -3.3 5.9 -2.6 1.6 -2.6 0.2 -2.9 -1.4 10.2 0.9 7.9 5.5 5.0 -20.0 -20.0 -20.0 -2.7 BUXL 4.5 -12.8 -6.3 -2.8 1.2 -2.6 -0.4 -2.3 -1.9 -6.6 -8.5 -3.7 -9.3 -6.5 -7.7 0.2 0.8 0.4 0.8 -10.7 -11.3 -4.5 -13.1 -7.6 1.3 -3.1 -0.7 -3.0 -1.2 -2.7 -2.2 4.8 -6.1 3.6 0.2 -0.9 -19.9 -20.0 -11.2 17.9 CAC -7.8 -18.4 -17.8 -5.9 -8.5 -3.3 -8.1 -0.7 -7.1 -14.9 -7.2 -16.1 13.7 -18.3 -18.6 -4.8 -2.5 -5.7 -4.6 -20.0 -10.5 -20.0 4.0 -20.0 -5.2 -6.7 -8.9 -3.3 -8.3 0.7 -8.1 4.3 10.7 2.0 2.4 4.1 10.8 2.9 17.5 8.8 CAD -6.4 -6.1 -12.9 -5.9 -5.3 -2.4 -6.2 0.6 -6.5 -20.0 -14.1 -20.0 -14.6 -19.5 -20.0 -2.6 -2.2 -2.5 -2.4 -19.5 -14.2 -20.0 -11.0 -20.0 1.9 -7.4 -12.0 -5.1 -10.3 -3.4 -8.6 0.0 -20.0 -20.0 0.1 -17.8 -20.0 -20.0 -16.7 -20.0 CANOLA -9.5 -20.0 -5.9 -3.2 0.2 -2.9 -1.1 -2.7 -2.5 -7.1 -0.7 -9.6 -4.0 -12.2 -10.3 -14.0 5.1 -8.9 -1.9 -17.7 -9.5 -15.1 -5.7 -19.3 -20.0 -3.7 -1.9 -2.3 -3.3 -1.9 -4.1 2.1 -20.0 -15.4 -20.0 -1.5 -8.5 -1.6 11.0 10.5 CHF 20.0 -17.0 -15.0 -5.4 -4.7 -2.2 -5.5 0.5 -5.9 -13.6 -8.7 10.0 6.4 -1.3 -11.3 -16.9 -14.7 -16.7 -15.7 -10.3 -9.4 1.2 -0.6 0.3 -9.4 -3.4 -4.2 -2.9 0.3 -0.4 -0.1 -20.0 18.3 20.0 -8.4 -1.5 -20.0 -20.0 -20.0 -20.0 COCOA 20.0 -12.0 0.4 -5.6 0.3 -4.9 -1.8 -4.6 -4.3 19.4 18.7 20.0 19.9 15.3 14.2 -4.0 -2.6 -3.9 -3.2 20.0 20.0 20.0 20.0 20.0 -16.6 6.1 12.4 7.9 12.3 10.0 8.8 -6.4 20.0 20.0 20.0 20.0 5.1 -6.0 20.0 5.8 COFFEE 20.0 13.0 -6.0 -5.7 0.3 -5.1 -1.9 -4.8 -4.4 -0.5 -16.4 12.0 -16.1 10.3 0.2 0.1 1.3 -0.9 -0.0 3.3 -10.3 17.1 -16.2 17.6 -20.0 2.3 -0.6 -1.5 7.0 -2.6 7.3 -0.4 20.0 20.0 20.0 -3.5 -20.0 -20.0 -20.0 -11.4 COPPER -1.1 -11.9 -10.7 -2.9 6.4 -2.8 5.3 -0.8 0.9 12.2 -16.6 -3.2 -6.1 -14.5 -17.3 -7.9 -3.7 -6.6 -5.3 -15.2 -14.4 0.9 -11.1 -9.8 -5.9 -5.7 5.5 -5.1 0.9 -3.8 -3.7 0.6 -6.5 -13.2 -12.1 -0.1 2.8 -20.0 7.3 -20.0 CORN 5.8 0.4 -20.0 -5.0 0.3 -4.4 -1.6 -4.2 -3.9 -13.8 -17.9 -7.7 -17.3 -0.1 -16.4 -4.6 1.6 -5.4 -3.4 -7.7 -17.6 -7.1 -20.0 -2.9 -18.0 -1.5 -6.0 -4.4 -4.7 -7.1 -1.5 -3.0 -15.0 8.5 17.0 -4.5 -7.0 -0.5 3.0 6.2 COTTON2 -16.1 -7.7 6.3 -5.0 0.3 -4.4 -1.6 -4.2 -3.9 1.3 9.0 -11.0 -8.7 -13.5 1.2 -8.6 2.9 -3.9 -0.6 -5.1 2.0 -8.1 0.5 -11.6 -20.0 -2.2 1.3 1.9 -4.7 2.8 -6.2 0.4 -15.7 -18.4 8.9 16.2 -20.0 -14.6 3.8 7.7 CRUDE_W -5.7 -4.8 19.6 2.2 -2.7 4.9 -2.1 4.4 -1.1 -3.6 13.6 7.7 7.1 4.2 11.9 11.4 11.6 14.6 12.9 12.6 16.8 1.8 13.4 5.2 -5.1 4.3 -0.0 6.6 0.1 6.2 1.1 -20.0 7.9 3.3 14.0 0.5 20.0 10.1 20.0 8.8 DAX -5.5 -20.0 -20.0 -5.1 -7.5 -2.9 -7.0 -0.6 -6.2 -15.8 -11.4 -16.7 10.0 -17.1 -17.4 -9.5 -7.9 -9.6 -9.1 -20.0 -13.4 -20.0 -0.6 -20.0 16.2 -6.2 -7.5 -3.8 -7.3 -0.8 -7.0 -4.3 2.2 0.4 -3.8 -4.4 11.4 1.7 20.0 10.1 DOW -1.4 -20.0 -14.5 -4.6 -6.7 -2.6 -6.3 -0.5 -5.5 -14.3 -4.5 -14.1 7.3 -13.8 -13.0 -10.7 -8.9 -11.2 -10.5 -17.4 -9.0 -20.0 -1.4 -20.0 -9.5 -4.6 -9.3 -1.9 -7.2 0.4 -5.9 -6.5 0.4 2.7 -1.9 8.9 -15.2 -7.4 -20.0 -8.3 DX -5.3 17.3 20.0 -6.0 -5.3 -2.5 -6.2 0.6 -6.5 17.5 19.5 7.0 -4.4 17.5 20.0 7.3 5.9 7.2 6.6 20.0 20.0 8.5 15.4 16.4 -20.0 7.6 2.4 6.9 2.6 4.7 4.8 14.5 17.3 20.0 20.0 20.0 4.5 8.0 7.9 20.0 EUR 9.9 -12.6 -16.8 -4.2 -3.7 -1.7 -4.3 0.4 -4.6 -7.4 -12.2 0.4 3.6 -8.8 -13.4 -6.5 -6.9 -6.7 -6.7 -12.0 -11.0 -1.9 -5.9 -5.9 11.8 -4.7 -1.2 -4.1 -0.7 -2.2 -2.3 -7.7 15.4 10.5 -6.3 -9.5 -10.2 -17.5 -7.3 -4.6 EURIBOR-ICE 9.5 2.9 4.8 -2.4 1.0 -2.3 -0.3 -2.1 -1.7 7.0 -3.7 5.5 -6.9 2.2 1.6 -4.8 -7.6 -6.9 -7.8 -0.2 -2.7 7.4 -7.1 2.8 17.0 -0.2 8.2 -1.4 4.6 -3.6 1.6 -10.4 12.2 14.7 13.8 13.1 -20.0 -20.0 6.9 17.8 EUROSTX -2.7 -15.6 -18.7 -5.2 -7.5 -2.9 -7.1 -0.6 -6.3 -14.6 -7.2 -15.1 11.4 -16.0 -17.0 -5.4 -2.3 -5.3 -4.4 -16.3 -8.8 -19.0 3.1 -18.3 4.6 -6.1 -8.1 -3.5 -7.2 0.4 -6.8 4.6 13.2 11.1 7.0 3.0 7.8 4.3 12.6 13.8 FEEDCOW -20.0 -20.0 -16.1 -4.4 0.2 -3.9 -1.4 -3.7 -3.4 -13.7 7.3 -16.1 12.7 -16.3 -7.9 -13.0 -20.0 -13.2 -20.0 -16.9 4.4 -20.0 16.1 -20.0 -2.1 -2.9 -6.1 1.9 -8.8 4.6 -7.3 -20.0 -20.0 -20.0 -8.8 13.0 14.0 -3.4 20.0 6.7 GASOIL -15.6 -10.8 20.0 1.7 -2.0 3.7 -1.6 3.4 -0.8 -11.0 11.0 -1.9 6.9 -1.2 9.4 20.0 20.0 20.0 20.0 7.8 14.0 -5.6 12.7 -1.2 8.0 2.9 -2.3 5.3 -1.8 4.5 -0.4 0.0 -4.9 -1.4 4.0 11.5 -10.1 1.1 -15.9 -4.6 GASOLINE -7.9 -20.0 3.9 2.4 -2.9 5.3 -2.3 4.8 -1.2 -5.6 9.9 2.4 7.0 -8.2 1.6 8.0 20.0 20.0 20.0 -2.9 7.9 -2.3 14.5 -6.3 -20.0 -1.6 -0.3 2.8 -1.2 6.1 -2.9 19.3 16.4 -1.8 -20.0 -19.0 20.0 10.1 20.0 5.6 GAS_US_mini 5.2 9.3 20.0 3.1 -3.6 6.7 -2.9 6.0 -1.5 8.7 -18.1 -6.5 -20.0 -6.5 -12.3 -20.0 -20.0 -20.0 -20.0 -3.6 -14.0 -1.5 -20.0 -2.9 20.0 1.0 4.3 -0.1 -1.0 -3.1 -0.8 -20.0 -14.0 20.0 -5.0 -20.0 -6.8 6.0 -13.1 1.1 GBP 7.0 -20.0 -16.8 -4.7 -4.2 -2.0 -4.9 0.5 -5.2 -14.8 -8.6 -9.5 7.1 -14.5 -16.3 -1.0 -0.8 -0.6 -0.6 -16.0 -10.6 -7.8 -2.8 -11.8 0.5 -5.6 -2.5 -3.8 -2.6 -1.6 -4.1 2.8 5.8 7.4 -14.3 -12.0 -4.7 7.4 2.1 20.0 GOLD_micro 20.0 7.9 -13.2 -2.2 5.0 -2.2 4.1 -0.6 0.7 13.7 -6.1 14.7 1.7 12.1 2.5 -15.2 -14.6 -17.0 -16.3 4.5 -3.3 20.0 -2.1 19.4 -6.3 1.0 6.0 -0.6 6.8 -0.1 4.7 -18.5 20.0 20.0 10.8 4.1 -10.5 -20.0 -8.3 -20.0 HEATOIL -12.3 -12.0 20.0 2.3 -2.8 5.1 -2.2 4.6 -1.1 -15.9 13.1 1.5 7.7 -2.8 10.9 20.0 20.0 20.0 20.0 9.5 18.5 -7.0 17.5 -1.9 -20.0 2.7 -3.3 6.9 -2.4 7.7 -1.2 1.2 -5.6 -1.2 -8.4 11.4 7.7 -2.1 -0.8 -6.5 JGB-SGX-mini 3.2 -13.8 -18.4 -3.2 1.3 -3.0 -0.4 -2.7 -2.2 -9.0 -4.2 -8.6 2.7 -8.4 -9.8 20.0 20.0 17.3 17.2 -10.3 -7.3 -10.8 -1.9 -10.2 -1.6 -3.5 -3.6 -2.6 -3.6 -1.4 -3.4 20.0 -20.0 -1.2 5.7 -2.3 -1.3 -15.5 12.5 12.8 JPY 2.9 -9.5 -20.0 -5.0 -4.4 -2.1 -5.2 0.5 -5.5 -0.2 -20.0 -14.4 -19.3 -18.4 -20.0 -20.0 -15.7 -19.1 -17.6 -20.0 -20.0 -7.9 -20.0 -15.5 20.0 -7.4 -0.1 -9.0 -2.6 -9.3 -4.8 -20.0 5.8 3.6 -7.3 -18.7 -8.6 -20.0 -5.1 -20.0 LEANHOG -12.6 -8.4 5.5 -2.8 0.2 -2.5 -0.9 -2.3 -2.2 5.6 -2.6 -5.8 -5.2 -8.8 -7.9 -5.4 20.0 20.0 20.0 -8.4 -7.0 -4.9 -8.6 -9.7 11.2 -3.4 2.6 -3.9 -1.7 -5.4 -3.5 20.0 -6.8 -10.5 0.2 -3.1 -8.7 -2.8 12.4 20.0 LIVECOW -20.0 -20.0 -15.8 -4.4 0.2 -3.9 -1.4 -3.7 -3.4 -10.8 11.3 -14.3 14.1 -12.5 -4.2 -18.8 -4.9 -19.5 -10.0 -7.0 6.3 -20.0 13.4 -20.0 0.3 -2.0 -6.6 3.2 -9.6 6.2 -7.1 -11.7 -20.0 -20.0 5.9 15.6 -16.0 -20.0 -8.4 -14.1 LUMBER-new -0.9 -5.0 -12.3 -6.2 0.3 -5.4 -2.0 -4.2 -4.9 -0.3 -20.0 -11.4 -20.0 -17.5 -20.0 -17.7 -14.6 -16.5 -15.3 -17.7 -19.4 -8.7 -17.2 -14.2 NaN -8.0 2.7 -7.5 -4.5 -5.6 -7.0 -20.0 -19.8 -10.8 0.9 -17.9 -13.6 -20.0 -6.3 -18.6 MILK 6.4 -7.0 -0.0 -3.9 0.2 -3.5 -1.3 -3.3 -3.1 -12.3 -7.0 -6.6 -11.8 -9.8 0.2 -17.3 -20.0 -19.3 -20.0 -5.7 -10.7 -5.9 -19.0 -4.1 2.9 -2.1 -4.9 -5.2 -1.4 -8.7 -0.6 -20.0 4.4 11.9 1.5 7.8 -20.0 -20.0 -20.0 -20.0 MXP -9.2 -20.0 -20.0 -3.4 -3.0 -1.4 -3.5 0.3 -3.7 1.4 4.5 -7.0 10.2 -10.7 -9.9 12.7 16.6 14.3 15.4 -9.3 -0.4 -3.4 10.3 -9.6 -20.0 -3.3 1.4 0.0 -1.1 3.9 -3.3 20.0 6.9 -6.9 -9.6 0.0 14.3 11.6 20.0 20.0 NASDAQ_micro -5.4 -20.0 -19.8 -3.5 -5.1 -2.0 -4.8 -0.4 -4.2 -10.6 5.2 -10.4 7.7 -9.3 -8.6 -9.5 -8.6 -9.8 -9.6 -7.8 1.8 -20.0 8.5 -14.4 -20.0 -2.6 -8.3 1.0 -7.2 4.0 -4.8 -5.4 -6.6 8.5 4.5 7.8 1.6 -13.1 -0.1 -15.9 NIKKEI -6.4 -20.0 -16.4 -4.0 -5.8 -2.3 -5.5 -0.5 -4.8 -12.3 8.1 -8.1 10.0 -7.2 -5.3 3.5 10.6 7.1 9.4 -5.6 3.1 -14.3 10.2 -10.6 -6.9 -2.6 -6.3 1.6 -5.5 4.8 -4.5 20.0 4.4 5.9 13.9 7.2 -2.3 2.8 -3.0 11.6 NZD -4.5 1.7 -12.5 -3.7 -3.3 -1.5 -3.9 0.4 -4.1 -10.8 -12.6 -12.9 -3.0 -11.5 -13.3 -0.3 0.3 -0.1 0.1 -9.5 -9.5 -12.1 -8.7 -10.7 0.8 -4.1 -4.3 -3.7 -5.8 -3.2 -5.0 4.2 -6.3 -5.1 6.2 -5.3 4.0 -15.4 9.8 8.4 OAT 4.1 -9.6 -4.6 -2.9 1.2 -2.7 -0.4 -2.4 -2.0 2.9 -7.7 -1.6 -8.9 -5.9 -7.2 6.0 7.8 6.0 6.6 -7.5 -8.0 -0.4 -9.6 -4.5 8.2 -2.9 1.4 -2.8 -0.1 -2.9 -1.8 15.8 0.5 7.2 4.9 5.0 -20.0 -20.0 -7.6 9.5 OATIES -20.0 -20.0 0.3 -3.4 0.2 -3.0 -1.1 -2.9 -2.7 11.7 0.8 -4.3 -1.9 -10.6 -9.6 -19.2 -8.3 -18.2 -15.2 -16.5 -2.6 -2.8 4.7 -18.1 -20.0 -2.9 2.4 -0.4 -0.3 0.8 -3.2 -20.0 10.2 -18.9 -20.0 0.1 9.4 11.4 20.0 20.0 OJ 20.0 20.0 20.0 -6.7 0.4 -5.9 -2.2 -5.5 -5.2 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 5.8 10.4 7.4 10.8 9.1 20.0 20.0 20.0 20.0 20.0 2.2 7.9 16.2 20.0 PALLAD -12.0 -2.5 -4.4 -2.0 4.4 -1.9 3.6 -0.5 0.6 3.5 -13.5 -8.0 -14.0 -10.3 -11.8 -2.7 -2.7 -2.9 -2.9 -14.8 -19.0 -6.1 -20.0 -12.4 2.4 -4.5 0.0 -4.4 -2.0 -4.8 -4.0 3.4 -17.7 -20.0 -8.1 -6.8 -9.9 -7.8 2.2 -3.6 PLAT 6.5 -2.3 -11.0 -2.0 4.5 -1.9 3.7 -0.5 0.6 8.9 -11.7 8.5 -5.6 -5.3 -8.3 -3.9 -2.7 -3.7 -3.3 -6.7 -9.3 4.2 -7.4 -1.1 13.9 -1.4 2.8 -1.9 2.2 -1.4 0.1 3.0 -1.4 -2.4 -0.2 5.0 1.6 -17.3 8.6 -13.8 REDWHEAT -4.6 -18.1 -20.0 -5.0 0.3 -4.4 -1.6 -4.1 -3.8 -15.5 -18.8 -16.6 -19.0 -18.2 -19.9 -5.8 -0.0 -4.4 -2.3 -20.0 -20.0 -16.9 -20.0 -20.0 -18.2 -6.8 -5.6 -6.1 -5.2 -4.0 -5.9 -3.2 -18.7 -11.6 -9.6 -20.0 -20.0 -20.0 -20.0 -10.7 RICE 2.3 -2.4 8.6 -5.6 0.3 -5.0 -1.8 -4.7 -4.4 -4.6 10.1 8.5 5.9 -4.9 7.0 -20.0 7.8 -13.2 0.8 4.3 6.5 2.8 5.6 2.8 -20.0 1.3 -0.5 2.1 1.9 1.9 1.5 9.2 -0.1 9.3 7.4 17.6 -3.4 -20.0 16.8 -9.0 ROBUSTA 6.6 -7.7 -5.0 -4.6 0.3 -4.1 -1.5 -3.8 -3.6 -2.0 10.9 6.1 13.2 4.1 0.1 20.0 20.0 20.0 20.0 4.6 8.5 10.1 16.6 10.1 -19.7 2.1 -2.5 2.9 5.1 5.4 4.7 20.0 20.0 19.4 20.0 4.5 -2.4 -11.8 19.3 -0.3 RUSSELL -6.4 -20.0 -16.5 -3.7 -5.4 -2.1 -5.1 -0.4 -4.5 -11.7 -9.8 -12.6 -6.8 -12.9 -12.6 -7.0 -6.3 -7.6 -7.2 -20.0 -13.0 -20.0 -7.0 -20.0 -2.1 -4.2 -4.6 -2.3 -5.1 -0.7 -5.0 -1.3 6.2 -8.7 -7.8 0.4 -11.7 -12.8 -20.0 -20.0 SHATZ 9.5 0.6 3.0 -2.5 1.0 -2.4 -0.3 -2.1 -1.7 6.8 -7.2 1.0 -8.1 -2.1 -4.0 -20.0 -12.5 -20.0 -19.6 -3.7 -7.0 3.6 -12.0 -0.4 10.2 -1.6 4.5 -2.8 2.0 -4.4 -0.1 -20.0 7.4 12.7 8.9 9.7 -20.0 -20.0 -14.5 -20.0 SILVER-mini 16.2 -7.8 -11.2 -2.2 4.9 -2.1 4.0 -0.6 0.7 -0.9 -5.1 9.6 1.8 0.7 -4.8 -7.2 -6.4 -7.4 -7.1 -4.7 -5.9 6.2 -2.6 2.4 6.7 -0.8 1.6 -0.7 2.6 0.2 1.3 -3.4 -3.6 2.3 -2.5 7.3 -13.6 -20.0 -4.7 -20.0 SMI -15.7 -11.1 -13.5 -4.1 -6.0 -2.3 -5.7 -0.5 -5.0 -12.4 -5.8 -13.4 1.4 -12.9 -12.6 4.6 1.9 2.5 1.3 -16.8 -9.7 -20.0 -3.9 -20.0 4.8 -4.2 -5.9 -2.2 -7.3 -1.3 -6.4 12.8 -17.1 -10.1 2.3 3.7 -7.3 -13.1 -6.2 -7.9 SOFR 4.3 -5.7 -14.5 -2.5 1.1 -2.4 -0.3 -2.1 -1.8 3.1 -7.6 -1.5 -6.1 -5.2 -7.1 0.4 -0.8 -0.7 -1.0 -8.9 -8.6 -2.1 -7.0 -6.7 -1.4 -2.9 1.2 -2.7 -0.8 -2.1 -2.3 1.6 -3.5 -2.4 2.9 1.8 -20.0 -20.0 -5.1 -7.4 SOYBEAN -0.7 -11.1 0.4 -5.1 0.3 -4.6 -1.7 -4.3 -4.0 9.9 6.4 10.8 3.3 -10.3 -8.8 15.7 17.7 13.0 14.0 -4.5 -0.9 3.1 0.2 -2.8 -20.0 -1.8 6.0 -0.2 2.3 0.6 -0.9 20.0 12.2 6.4 3.4 7.0 -20.0 -4.7 -20.0 1.1 SOYMEAL 20.0 -0.5 -3.4 -3.8 0.2 -3.3 -1.2 -3.1 -2.9 11.1 -5.3 12.2 1.3 7.5 1.5 15.4 17.3 13.0 15.0 4.8 -0.4 19.9 1.0 14.5 -20.0 2.4 5.7 1.2 7.3 2.1 5.5 20.0 20.0 20.0 16.2 9.6 -20.0 -20.0 -20.0 -19.2 SOYOIL -20.0 -20.0 -3.3 -2.8 0.2 -2.5 -0.9 -2.3 -2.2 -5.9 1.1 -8.4 -1.5 -9.9 -8.0 9.0 11.7 11.9 11.6 -14.8 -6.0 -13.2 -1.2 -17.9 -20.0 -3.1 -1.3 -1.4 -2.8 -0.4 -3.7 17.8 -12.1 -19.2 -19.3 -5.0 -4.8 4.4 14.0 20.0 SP400 -4.8 -20.0 -18.2 -3.5 -5.1 -2.0 -4.8 -0.4 -4.2 -10.9 -8.0 -11.6 -0.3 -11.9 -11.3 -5.0 -5.1 -5.4 -5.4 -16.9 -9.9 -20.0 -3.6 -20.0 -8.9 -3.8 -5.1 -2.0 -5.2 -0.4 -4.8 1.3 4.6 -5.0 -4.2 2.9 -7.0 -13.8 -15.1 -20.0 SP500_micro -5.4 -20.0 -20.0 -4.2 -6.1 -2.4 -5.8 -0.5 -5.1 -13.3 1.2 -13.3 6.5 -12.7 -11.6 -10.5 -9.8 -11.3 -11.1 -15.7 -4.9 -20.0 3.3 -20.0 -16.5 -4.0 -8.9 -0.8 -7.6 1.7 -5.8 -7.7 -8.6 3.1 -2.8 6.4 -4.2 -12.2 -4.5 -17.3 SUGAR11 0.7 2.7 1.5 -5.1 0.3 -4.5 -1.7 -4.3 -4.0 3.6 18.4 14.1 18.2 14.8 17.3 20.0 15.8 20.0 16.0 17.2 20.0 7.1 20.0 12.2 -20.0 6.0 0.6 8.8 2.9 13.4 4.6 20.0 10.8 17.5 20.0 20.0 -20.0 -19.7 8.8 2.9 US10 6.0 -4.8 -13.6 -2.3 1.0 -2.2 -0.3 -2.0 -1.6 -0.3 -7.6 -3.4 -7.6 -6.0 -7.2 -5.5 -7.2 -7.3 -7.9 -10.5 -10.8 -4.2 -10.4 -8.1 1.1 -2.8 0.1 -2.7 -1.2 -2.4 -2.2 -10.1 -5.7 -3.9 -0.2 -1.5 -20.0 -20.0 1.5 0.4 US10U 6.4 -7.0 -14.2 -2.9 1.2 -2.7 -0.4 -2.4 -2.0 -0.9 -9.3 -4.5 -9.2 -7.6 -8.9 1.5 -0.4 0.7 -0.2 -13.5 -13.4 -5.5 -12.3 -10.5 -2.2 -3.4 -0.0 -3.3 -1.4 -2.7 -2.7 2.4 -7.5 -5.9 -1.8 -3.9 -20.0 -20.0 9.5 15.3 US2 10.6 8.3 -7.7 -2.5 1.1 -2.4 -0.3 -2.1 -1.8 6.2 -8.5 -0.6 -8.5 -4.0 -6.8 -20.0 -20.0 -20.0 -20.0 -7.4 -12.3 0.4 -16.4 -3.1 8.4 -2.6 1.9 -4.2 0.3 -5.7 -1.1 -20.0 3.8 6.8 10.2 4.7 -20.0 -20.0 -13.3 -20.0 US20 7.2 -8.0 -15.0 -2.1 0.9 -2.0 -0.3 -1.8 -1.4 -0.9 -6.7 -3.4 -6.4 -5.6 -6.5 -0.2 -1.7 -1.5 -1.9 -10.8 -10.4 -4.5 -8.9 -8.5 -1.9 -2.5 -0.2 -2.3 -1.0 -1.8 -1.9 0.0 -5.5 -5.8 -4.1 -6.1 -10.9 -20.0 19.7 20.0 US30 5.7 -7.5 -10.9 -2.1 0.9 -2.0 -0.3 -1.8 -1.5 -1.9 -7.0 -4.0 -6.7 -6.0 -6.7 -3.9 -4.0 -5.4 -5.1 -10.3 -9.9 -4.6 -9.1 -8.2 -1.5 -2.5 -0.3 -2.4 -1.1 -1.9 -2.0 -4.6 -5.6 -5.1 -2.5 -5.4 -7.1 -20.0 20.0 20.0 US5 6.6 -1.0 -11.5 -2.5 1.0 -2.3 -0.3 -2.1 -1.7 2.4 -8.0 -2.6 -8.0 -5.6 -7.2 -9.4 -10.5 -11.9 -12.1 -9.1 -10.5 -2.3 -11.2 -6.4 3.3 -2.9 0.9 -3.1 -0.8 -3.1 -2.1 -16.5 -2.4 -0.1 4.0 2.0 -20.0 -20.0 -8.6 -17.9 VIX 12.7 20.0 20.0 2.0 5.2 -3.3 5.6 -7.5 5.2 13.6 -13.6 12.8 -16.5 12.4 7.0 -19.2 -20.0 -20.0 -20.0 3.3 -8.6 12.7 -18.8 10.7 NaN 2.4 5.9 -3.8 6.4 -9.1 5.9 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 6.5 -8.3 -20.0 -4.7 0.3 -4.2 -1.5 -3.9 -3.7 -5.5 -17.1 5.2 -18.5 -4.8 -16.8 -11.5 -10.2 -11.4 -11.1 -15.1 -20.0 -1.1 -20.0 -4.9 -5.3 -4.9 -1.2 -7.1 -0.6 -7.7 -1.8 -20.0 0.6 8.6 6.3 -13.7 -20.0 -16.2 -20.0 -12.6 End of report for caleb_strategy_v3