******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231030_204334 produced at 2023-10-30 21:39:04.559608 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.21 0.0 0.20 -0.20 -0.20 -0.20 -6.51 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 -2.66 13.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.08 -0.19 0.0 0.75 -0.75 -0.08 -0.08 -7.29 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 -3.75 24.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.25 -0.14 0.0 0.65 -0.65 -0.25 -0.25 -2.88 13.0 -5 -5 caleb_strategy_v3 JPY False False 0.03 -0.15 -0.13 0.0 0.51 -0.51 -0.15 -0.15 -4.30 17.0 -5 -5 caleb_strategy_v3 VIX False False 0.01 -0.07 -0.09 0.0 0.13 -0.13 -0.07 -0.07 -11.73 17.0 -10 -10 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.08 0.0 0.94 -0.94 -0.04 -0.04 -2.18 25.0 -1 -1 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.08 0.0 0.36 -0.36 0.00 0.00 -10.10 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 -0.93 2.0 -2 -2 caleb_strategy_v3 RUSSELL False False 0.00 -0.05 -0.08 0.0 0.20 -0.20 -0.05 -0.06 -26.05 68.0 -17 -19 caleb_strategy_v3 DOW False False 0.01 0.00 -0.07 0.0 0.39 -0.39 0.00 0.00 -12.13 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 -2.80 17.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.06 0.0 0.18 -0.18 0.00 0.00 -16.55 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 -1.47 8.0 0 0 caleb_strategy_v3 SMI False False 0.04 -0.08 -0.05 0.0 0.37 -0.37 -0.08 -0.08 -1.17 9.0 -2 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.07 -0.05 0.0 0.24 -0.24 -0.07 -0.07 -4.74 23.0 -7 -7 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.65 -0.65 0.00 0.00 -1.20 17.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.05 0.0 0.11 -0.11 -0.01 -0.01 -5.70 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 MILK False False 0.01 0.00 -0.04 0.0 0.06 -0.06 0.00 0.00 -3.38 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 -8.66 3.0 0 0 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.04 0.0 0.44 -0.44 -0.02 -0.02 -1.85 19.0 -1 -1 caleb_strategy_v3 BTP False False 0.04 0.00 -0.04 0.0 0.42 -0.42 0.00 0.00 -0.90 10.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.24 -0.04 0.0 0.67 -0.67 -0.24 -0.19 -0.86 14.0 -5 -4 caleb_strategy_v3 REDWHEAT False False 0.01 -0.05 -0.03 0.0 0.09 -0.09 -0.05 -0.05 -2.36 8.0 -4 -4 caleb_strategy_v3 US10U False False 0.04 0.00 -0.03 0.0 0.51 -0.51 0.00 0.00 -0.69 13.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -1.10 12.0 0 0 caleb_strategy_v3 COTTON2 False False 0.02 -0.05 -0.03 0.0 0.17 -0.17 -0.05 -0.05 -2.22 11.0 -3 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -4.19 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 -1.47 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 -2.71 9.0 -2 -2 caleb_strategy_v3 GBP False False 0.03 0.00 -0.03 0.0 0.60 -0.60 0.00 0.00 -1.09 22.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.03 0.0 0.08 -0.08 -0.02 -0.02 -8.52 26.0 -6 -6 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 -0.03 0.0 0.40 -0.40 -0.01 -0.01 -4.33 56.0 -1 -1 caleb_strategy_v3 DAX False False 0.01 -0.01 -0.02 0.0 0.33 -0.33 -0.01 -0.01 -2.86 58.0 -1 -1 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.02 0.0 0.84 -0.84 0.00 0.00 -0.50 19.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.02 0.0 0.05 -0.05 0.00 0.00 -1.46 4.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.28 -0.01 0.0 0.56 -0.56 0.28 0.17 -0.29 16.0 8 5 caleb_strategy_v3 US30 False False 0.04 -0.12 -0.01 0.0 0.24 -0.24 -0.12 -0.12 -0.23 6.0 -3 -3 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.26 7.0 -1 -1 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.49 -0.49 0.00 0.00 -0.27 10.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.09 -0.01 0.0 0.18 -0.18 -0.09 -0.09 -0.22 4.0 -2 -2 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.11 -0.11 -0.03 -0.03 -0.84 10.0 -3 -3 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.47 6.0 0 0 caleb_strategy_v3 US20 False False 0.04 -0.04 -0.01 0.0 0.35 -0.35 -0.04 -0.04 -0.33 9.0 -1 -1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.52 0.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.00 0.0 0.31 -0.31 0.00 0.00 0.04 20.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 -0.00 0.0 0.47 -0.47 0.00 0.00 -0.09 10.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.09 3.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.01 9.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.22 4.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.19 -0.19 0.01 0.01 0.92 23.0 1 1 caleb_strategy_v3 PLAT False False 0.02 -0.05 0.01 0.0 0.17 -0.17 -0.05 -0.03 0.42 10.0 -3 -2 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.02 0.0 0.12 -0.12 0.00 0.00 0.80 4.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.02 0.0 0.18 -0.18 0.00 0.00 1.83 18.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.05 0.02 0.0 0.27 -0.27 0.05 0.05 2.76 36.0 7 7 caleb_strategy_v3 MXP False False 0.01 0.00 0.02 0.0 0.59 -0.59 0.00 0.00 1.72 60.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.01 0.03 0.0 0.36 -0.36 0.01 0.01 2.14 26.0 1 1 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.03 0.0 0.14 -0.14 0.01 0.01 2.50 13.0 1 1 caleb_strategy_v3 BITCOIN False True 0.00 0.02 0.05 0.0 0.02 0.00 0.02 0.02 44.08 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 3.23 3.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.10 0.0 0.14 -0.14 0.08 0.08 3.72 5.0 3 3 caleb_strategy_v3 DX False False 0.04 0.00 0.13 0.0 38091457.48 -38091457.48 0.00 0.00 3.40 999999999.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.18 0.53 0.0 0.92 -0.92 0.18 0.18 5.69 10.0 2 2 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 11.4 Shocked risk 26.5 Sum abs risk 45.2 Leverage 4.55 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2781332.27, 'annual_cash_vol_target': 695333.0675, 'daily_cash_vol_target': 43458.31671875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6386 0.6541 10.4649 BITCOIN 838.8271 34675.0000 2.4191 38.7058 BOBL 0.2703 116.2000 0.2326 3.7220 BTP 0.6520 110.0600 0.5924 9.4786 BUND 0.5513 128.8300 0.4279 6.8470 BUXL 1.2826 120.3000 1.0662 17.0590 CAC 57.2241 6860.5000 0.8341 13.3458 CAD 0.0029 0.7240 0.3998 6.3969 CANOLA 7.2070 688.2000 1.0472 16.7556 CHF 0.0048 1.1148 0.4290 6.8637 COCOA 41.8145 3860.0000 1.0833 17.3325 COFFEE 2.5508 158.3000 1.6114 25.7824 COPPER 0.0357 3.6540 0.9757 15.6110 CORN 5.0335 511.7500 0.9836 15.7375 COTTON2 1.0648 84.8300 1.2552 20.0826 CRUDE_W 1.2324 76.3400 1.6144 25.8304 DAX 115.7606 14830.0000 0.7806 12.4893 DOW 237.7014 33007.0000 0.7202 11.5225 DX 0.3609 105.9450 0.3406 5.4502 EUR 0.0052 1.0638 0.4886 7.8174 EURIBOR-ICE 0.0523 97.1750 0.0538 0.8606 EUROSTX 36.7353 4052.0000 0.9066 14.5056 FEEDCOW 2.0373 239.2750 0.8515 13.6234 GASOIL 15.4386 826.7500 1.8674 29.8781 GASOLINE 0.0406 2.2293 1.8222 29.1547 GAS_US_mini 0.0896 3.5900 2.4960 39.9366 GBP 0.0067 1.2174 0.5467 8.7467 GOLD_micro 14.7082 2005.8000 0.7333 11.7325 HEATOIL 0.0439 2.8138 1.5602 24.9636 JGB-SGX-mini 0.2141 144.2900 0.1484 2.3742 JPY 0.0000 0.0067 0.4928 7.8855 LEANHOG 1.2706 74.3250 1.7095 27.3524 LIVECOW 1.5898 183.8500 0.8647 13.8355 LUMBER-new 7.7738 498.5000 1.5594 24.9510 MILK 0.2119 17.4600 1.2137 19.4185 MXP 0.0005 0.0550 0.8311 13.2977 NASDAQ_micro 143.4176 14416.7500 0.9948 15.9168 NIKKEI 324.9213 30590.0000 1.0622 16.9949 NZD 0.0039 0.5841 0.6737 10.7797 OAT 0.5636 123.1400 0.4577 7.3234 OATIES 6.3627 422.0000 1.5078 24.1240 OJ 3.8379 400.8000 0.9576 15.3209 PALLAD 18.1778 1138.0000 1.5973 25.5575 PLAT 13.7408 943.1000 1.4570 23.3116 REDWHEAT 9.7532 656.7500 1.4851 23.7612 RICE 0.1401 16.4350 0.8524 13.6389 ROBUSTA 34.1325 2319.0000 1.4719 23.5498 RUSSELL 18.3551 1653.7000 1.1099 17.7591 SHATZ 0.0812 105.1600 0.0773 1.2360 SILVER-mini 0.3258 23.6125 1.3796 22.0739 SMI 80.8360 10426.0000 0.7753 12.4053 SOFR 0.0805 95.8300 0.0840 1.3433 SOYBEAN 10.3353 1265.0000 0.8170 13.0724 SOYMEAL 5.3683 403.1000 1.3318 21.3081 SOYOIL 0.7619 51.0700 1.4919 23.8711 SP400 23.9875 2354.1000 1.0190 16.3035 SP500_micro 32.9642 4187.0000 0.7873 12.5968 SUGAR11 0.3418 25.4400 1.3435 21.4962 US10 0.4689 106.1562 0.4417 7.0666 US10U 0.6647 108.7344 0.6113 9.7802 US2 0.1057 101.2734 0.1044 1.6702 US20 1.0267 109.1250 0.9408 15.0536 US30 1.5222 112.2188 1.3565 21.7037 US5 0.2915 104.5312 0.2789 4.4624 VIX 0.6830 20.6000 3.3156 53.0502 WHEAT 8.5246 659.0000 1.2936 20.6971 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 638.60 0.65 417.68 1.00 417.68 43458.32 104.05 -6.86 -71.40 BITCOIN 34.68 2.42 83.88 1.00 83.88 43458.32 518.08 7.86 407.03 BOBL 1162.00 0.23 270.31 1.06 285.57 43458.32 152.18 -3.24 -49.32 BTP 1100.60 0.59 652.01 1.06 688.82 43458.32 63.09 -4.17 -26.29 BUND 1288.30 0.43 551.31 1.06 582.44 43458.32 74.61 -3.57 -26.67 BUXL 1203.00 1.07 1282.62 1.06 1355.03 43458.32 32.07 -6.91 -22.18 CAC 686.05 0.83 572.24 1.06 604.54 43458.32 71.89 -4.48 -32.17 CAD 724.00 0.40 289.46 1.00 289.46 43458.32 150.13 -18.70 -280.80 CANOLA 137.64 1.05 144.14 0.72 104.39 43458.32 416.31 -16.34 -680.28 CHF 1393.50 0.43 597.79 1.00 597.79 43458.32 72.70 -15.29 -111.14 COCOA 386.00 1.08 418.15 1.00 418.15 43458.32 103.93 9.62 100.03 COFFEE 593.63 1.61 956.57 1.00 956.57 43458.32 45.43 -8.88 -40.34 COPPER 913.50 0.98 891.29 1.00 891.29 43458.32 48.76 -12.33 -60.12 CORN 255.88 0.98 251.68 1.00 251.68 43458.32 172.67 -13.57 -234.36 COTTON2 424.15 1.26 532.38 1.00 532.38 43458.32 81.63 -12.69 -103.58 CRUDE_W 763.40 1.61 1232.43 1.00 1232.43 43458.32 35.26 9.73 34.32 DAX 148.30 0.78 115.76 1.06 122.30 43458.32 355.36 -2.36 -83.85 DOW 165.04 0.72 118.85 1.00 118.85 43458.32 365.65 -14.27 -521.79 DX 1059.45 0.34 360.89 1.00 360.89 43458.32 120.42 10.87 130.85 EUR 1329.69 0.49 649.67 1.00 649.67 43458.32 66.89 -4.98 -33.31 EURIBOR-ICE 2429.38 0.05 130.67 1.06 138.05 43458.32 314.80 5.30 166.95 EUROSTX 405.20 0.91 367.35 1.06 388.09 43458.32 111.98 0.10 1.07 FEEDCOW 1196.38 0.85 1018.67 1.00 1018.67 43458.32 42.66 -10.42 -44.47 GASOIL 826.75 1.87 1543.86 1.00 1543.86 43458.32 28.15 6.58 18.53 GASOLINE 936.31 1.82 1706.10 1.00 1706.10 43458.32 25.47 2.04 5.19 GAS_US_mini 89.75 2.50 224.02 1.00 224.02 43458.32 193.99 -4.06 -78.68 GBP 760.88 0.55 415.95 1.00 415.95 43458.32 104.48 -4.03 -42.11 GOLD_micro 200.58 0.73 147.08 1.00 147.08 43458.32 295.47 -4.29 -126.90 HEATOIL 1181.80 1.56 1843.87 1.00 1843.87 43458.32 23.57 0.87 2.04 JGB-SGX-mini 144290.00 0.15 21410.53 0.01 142.20 43458.32 305.62 -0.09 -2.69 JPY 841.81 0.49 414.88 1.00 414.88 43458.32 104.75 -15.83 -165.81 LEANHOG 297.30 1.71 508.24 1.00 508.24 43458.32 85.51 4.82 41.18 LIVECOW 735.40 0.86 635.92 1.00 635.92 43458.32 68.34 -12.37 -84.51 LUMBER-new 137.09 1.56 213.78 1.00 213.78 43458.32 203.29 -20.00 -406.57 MILK 349.20 1.21 423.81 1.00 423.81 43458.32 102.54 -15.37 -157.61 MXP 275.00 0.83 228.55 1.00 228.55 43458.32 190.14 0.62 11.72 NASDAQ_micro 288.33 0.99 286.84 1.00 286.84 43458.32 151.51 -13.46 -203.91 NIKKEI 30590.00 1.06 32492.13 0.01 216.49 43458.32 200.74 1.27 25.48 NZD 584.15 0.67 393.56 1.00 393.56 43458.32 110.42 -5.11 -56.46 OAT 1231.40 0.46 563.62 1.06 595.44 43458.32 72.99 -0.38 -2.75 OATIES 211.00 1.51 318.14 1.00 318.14 43458.32 136.60 -12.62 -172.34 OJ 601.20 0.96 575.68 1.00 575.68 43458.32 75.49 20.00 150.98 PALLAD 1138.00 1.60 1817.78 1.00 1817.78 43458.32 23.91 -11.18 -26.73 PLAT 471.55 1.46 687.04 1.00 687.04 43458.32 63.25 1.94 12.26 REDWHEAT 328.38 1.49 487.66 1.00 487.66 43458.32 89.12 -20.00 -178.23 RICE 328.70 0.85 280.19 1.00 280.19 43458.32 155.10 -3.86 -59.83 ROBUSTA 231.90 1.47 341.33 1.00 341.33 43458.32 127.32 6.17 78.60 RUSSELL 82.68 1.11 91.78 1.00 91.78 43458.32 473.53 -16.60 -786.22 SHATZ 1051.60 0.08 81.24 1.06 85.82 43458.32 506.36 -7.30 -369.53 SILVER-mini 590.31 1.38 814.41 1.00 814.41 43458.32 53.36 -2.84 -15.16 SMI 1042.60 0.78 808.36 1.11 899.42 43458.32 48.32 -7.07 -34.17 SOFR 2395.75 0.08 201.15 1.00 201.15 43458.32 216.05 -8.15 -176.16 SOYBEAN 632.50 0.82 516.77 1.00 516.77 43458.32 84.10 -3.33 -28.01 SOYMEAL 403.10 1.33 536.83 1.00 536.83 43458.32 80.95 0.08 0.64 SOYOIL 306.42 1.49 457.16 1.00 457.16 43458.32 95.06 -9.54 -90.71 SP400 2354.10 1.02 2398.75 1.00 2398.75 43458.32 18.12 -15.50 -28.08 SP500_micro 209.35 0.79 164.82 1.00 164.82 43458.32 263.67 -16.49 -434.73 SUGAR11 284.93 1.34 382.80 1.00 382.80 43458.32 113.53 7.59 86.22 US10 1061.56 0.44 468.85 1.00 468.85 43458.32 92.69 -10.17 -94.30 US10U 1087.34 0.61 664.65 1.00 664.65 43458.32 65.39 -8.33 -54.48 US2 2025.47 0.10 211.43 1.00 211.43 43458.32 205.54 -10.22 -210.06 US20 1091.25 0.94 1026.70 1.00 1026.70 43458.32 42.33 -6.12 -25.92 US30 1122.19 1.36 1522.23 1.00 1522.23 43458.32 28.55 -6.47 -18.48 US5 1045.31 0.28 291.54 1.00 291.54 43458.32 149.06 -11.53 -171.94 VIX 206.00 3.32 683.02 1.00 683.02 43458.32 63.63 -7.47 -47.50 WHEAT 329.50 1.29 426.23 1.00 426.23 43458.32 101.96 -20.00 -203.92 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -71.402 0.010 2.5 -1.853 BITCOIN 407.032 0.043 2.5 44.078 BOBL -49.324 0.004 2.5 -0.500 BTP -26.287 0.014 2.5 -0.897 BUND -26.671 0.004 2.5 -0.270 BUXL -22.175 0.004 2.5 -0.225 CAC -32.174 0.014 2.5 -1.097 CAD -280.796 0.010 2.5 -7.286 CANOLA -680.276 0.010 2.5 -16.551 CHF -111.137 0.010 2.5 -2.884 COCOA 100.027 0.009 2.5 2.142 COFFEE -40.342 0.005 2.5 -0.471 COPPER -60.124 0.043 2.5 -6.511 CORN -234.356 0.010 2.5 -5.702 COTTON2 -103.583 0.009 2.5 -2.219 CRUDE_W 34.317 0.043 2.5 3.716 DAX -83.847 0.014 2.5 -2.860 DOW -521.791 0.009 2.5 -12.127 DX 130.849 0.010 2.5 3.395 EUR -33.313 0.010 2.5 -0.864 EURIBOR-ICE 166.947 0.014 2.5 5.695 EUROSTX 1.073 0.014 2.5 0.037 FEEDCOW -44.468 0.013 2.5 -1.474 GASOIL 18.535 0.017 2.5 0.803 GASOLINE 5.187 0.017 2.5 0.225 GAS_US_mini -78.681 0.043 2.5 -8.521 GBP -42.107 0.010 2.5 -1.093 GOLD_micro -126.900 0.014 2.5 -4.329 HEATOIL 2.040 0.017 2.5 0.088 JGB-SGX-mini -2.689 0.043 2.5 -0.291 JPY -165.813 0.010 2.5 -4.302 LEANHOG 41.180 0.024 2.5 2.503 LIVECOW -84.511 0.013 2.5 -2.801 LUMBER-new -406.571 0.009 2.5 -8.656 MILK -157.613 0.009 2.5 -3.376 MXP 11.717 0.059 2.5 1.720 NASDAQ_micro -203.909 0.009 2.5 -4.739 NIKKEI 25.480 0.043 2.5 2.759 NZD -56.465 0.010 2.5 -1.465 OAT -2.751 0.014 2.5 -0.094 OATIES -172.340 0.010 2.5 -4.193 OJ 150.980 0.009 2.5 3.234 PALLAD -26.726 0.014 2.5 -0.912 PLAT 12.260 0.014 2.5 0.418 REDWHEAT -178.232 0.005 2.5 -2.364 RICE -59.825 0.010 2.5 -1.456 ROBUSTA 78.598 0.005 2.5 0.918 RUSSELL -786.221 0.013 2.5 -26.054 SHATZ -369.526 0.004 2.5 -3.747 SILVER-mini -15.161 0.014 2.5 -0.517 SMI -34.174 0.014 2.5 -1.166 SOFR -176.164 0.024 2.5 -10.707 SOYBEAN -28.009 0.004 2.5 -0.261 SOYMEAL 0.644 0.004 2.5 0.006 SOYOIL -90.711 0.004 2.5 -0.844 SP400 -28.082 0.013 2.5 -0.931 SP500_micro -434.725 0.009 2.5 -10.103 SUGAR11 86.221 0.009 2.5 1.834 US10 -94.303 0.005 2.5 -1.195 US10U -54.478 0.005 2.5 -0.690 US2 -210.061 0.005 2.5 -2.662 US20 -25.918 0.005 2.5 -0.328 US30 -18.475 0.005 2.5 -0.234 US5 -171.938 0.005 2.5 -2.179 VIX -47.504 0.099 2.5 -11.726 WHEAT -203.919 0.005 2.5 -2.705 ===================== Position diags ===================== AUD 2.70 BITCOIN 56.10 BOBL 1.54 BTP 2.15 BUND 0.76 BUXL 0.33 CAC 2.45 CAD 3.90 CANOLA 10.13 CHF 1.89 COCOA 2.23 COFFEE 0.53 COPPER 5.28 CORN 4.20 COTTON2 1.75 CRUDE_W 3.82 DAX 12.12 DOW 8.50 DX 3.12 EUR 1.74 EURIBOR-ICE 10.74 EUROSTX 3.82 FEEDCOW 1.41 GASOIL 1.22 GASOLINE 1.10 GAS_US_mini 21.01 GBP 2.71 GOLD_micro 10.08 HEATOIL 1.02 JGB-SGX-mini 33.10 JPY 2.72 LEANHOG 5.20 LIVECOW 2.26 LUMBER-new 4.33 MILK 2.20 MXP 27.91 NASDAQ_micro 3.52 NIKKEI 21.74 NZD 2.87 OAT 2.49 OATIES 3.32 OJ 1.62 PALLAD 0.82 PLAT 2.16 REDWHEAT 1.18 RICE 3.77 ROBUSTA 1.49 RUSSELL 15.69 SHATZ 5.13 SILVER-mini 1.82 SMI 1.65 SOFR 13.13 SOYBEAN 0.78 SOYMEAL 0.75 SOYOIL 0.88 SP400 0.60 SP500_micro 6.13 SUGAR11 2.41 US10 1.17 US10U 0.83 US2 2.60 US20 0.54 US30 0.36 US5 1.89 VIX 15.71 WHEAT 1.35 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.9 -2.1 -1.6 -1.0 -1 BITCOIN 44.1 38.5 49.7 17.0 17 BOBL -0.5 -0.7 -0.3 0.0 0 BTP -0.9 -1.1 -0.7 0.0 0 BUND -0.3 -0.3 -0.2 0.0 0 BUXL -0.2 -0.3 -0.2 -2.0 -2 CAC -1.1 -1.3 -0.9 0.0 0 CAD -7.3 -7.7 -6.9 -3.0 -3 CANOLA -16.6 -17.6 -15.5 NaN 0 CHF -2.9 -3.1 -2.7 -5.0 -5 COCOA 2.1 1.9 2.4 1.0 1 COFFEE -0.5 -0.5 -0.4 0.0 0 COPPER -6.5 -7.0 -6.0 -6.0 -6 CORN -5.7 -6.1 -5.3 -1.0 -1 COTTON2 -2.2 -2.4 -2.0 -3.0 -3 CRUDE_W 3.7 3.3 4.1 3.0 3 DAX -2.9 -4.1 -1.6 -1.0 -1 DOW -12.1 -13.0 -11.3 0.0 0 DX 3.4 3.1 3.7 NaN 0 EUR -0.9 -1.0 -0.7 -5.0 -5 EURIBOR-ICE 5.7 4.6 6.8 2.0 2 EUROSTX 0.0 -0.3 0.4 0.0 0 FEEDCOW -1.5 -1.6 -1.3 0.0 0 GASOIL 0.8 0.7 0.9 0.0 0 GASOLINE 0.2 0.1 0.3 0.0 0 GAS_US_mini -8.5 -10.6 -6.4 -6.0 -6 GBP -1.1 -1.4 -0.8 0.0 0 GOLD_micro -4.3 -5.3 -3.3 -1.0 -1 HEATOIL 0.1 -0.0 0.2 0.0 0 JGB-SGX-mini -0.3 -3.6 3.0 8.0 8 JPY -4.3 -4.6 -4.0 -5.0 -5 LEANHOG 2.5 2.0 3.0 1.0 1 LIVECOW -2.8 -3.0 -2.6 -2.0 -2 LUMBER-new -8.7 -9.1 -8.2 NaN 0 MILK -3.4 -3.6 -3.2 NaN 0 MXP 1.7 -1.1 4.5 0.0 0 NASDAQ_micro -4.7 -5.1 -4.4 -7.0 -7 NIKKEI 2.8 0.6 4.9 7.0 7 NZD -1.5 -1.8 -1.2 -2.0 -2 OAT -0.1 -0.3 0.2 0.0 0 OATIES -4.2 -4.5 -3.9 NaN 0 OJ 3.2 3.1 3.4 NaN 0 PALLAD -0.9 -1.0 -0.8 -1.0 -1 PLAT 0.4 0.2 0.6 -3.0 -3 REDWHEAT -2.4 -2.5 -2.2 -4.0 -4 RICE -1.5 -1.8 -1.1 NaN 0 ROBUSTA 0.9 0.8 1.1 1.0 1 RUSSELL -26.1 -27.6 -24.5 -17.0 -17 SHATZ -3.7 -4.3 -3.2 NaN 0 SILVER-mini -0.5 -0.7 -0.3 NaN 0 SMI -1.2 -1.3 -1.0 -2.0 -2 SOFR -10.7 -12.0 -9.4 NaN 0 SOYBEAN -0.3 -0.3 -0.2 -1.0 -1 SOYMEAL 0.0 -0.1 0.1 0.0 0 SOYOIL -0.8 -0.9 -0.8 -3.0 -3 SP400 -0.9 -1.0 -0.9 -2.0 -2 SP500_micro -10.1 -10.7 -9.5 0.0 0 SUGAR11 1.8 1.6 2.1 0.0 0 US10 -1.2 -1.3 -1.1 NaN 0 US10U -0.7 -0.8 -0.6 0.0 0 US2 -2.7 -2.9 -2.4 NaN 0 US20 -0.3 -0.4 -0.3 -1.0 -1 US30 -0.2 -0.3 -0.2 -3.0 -3 US5 -2.2 -2.4 -2.0 -1.0 -1 VIX -11.7 -13.3 -10.2 -10.0 -10 WHEAT -2.7 -2.8 -2.6 -2.0 -2 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.8 3.8 3.7 1.3 1.0 3.1 1.3 4.2 1.3 1.0 3.1 1.3 3.5 1.3 1.2 2.3 2.3 2.3 2.3 1.3 1.3 1.0 3.1 1.3 0.0 1.3 1.0 3.1 1.3 4.2 1.3 6.2 2.8 3.8 3.8 3.7 3.9 3.9 3.9 3.9 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 0.1 -0.0 -0.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -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 0.2 0.3 0.2 0.3 0.2 0.1 -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 0.3 -0.1 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.0 -0.3 -0.0 -0.0 0.2 -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 0.2 -0.6 -0.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -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 -0.9 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.8 0.1 0.2 0.1 0.1 -0.5 -0.7 -0.0 0.2 BUND 0.2 -0.3 -0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.0 -0.3 -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 0.2 0.2 0.2 -0.7 -0.7 -0.7 -0.1 BUXL 0.2 -0.4 -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.0 -0.4 -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 -0.0 -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 0.4 0.1 0.1 0.1 0.3 0.1 0.6 0.3 CAD -0.2 -0.2 -0.4 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.1 -0.4 -0.2 -0.5 -0.2 -0.2 -0.1 -0.0 -0.1 -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 -0.5 -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 -0.1 -0.3 -0.1 0.3 0.3 CHF 0.6 -0.5 -0.5 -0.1 -0.0 -0.1 -0.0 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 0.2 0.6 -0.3 -0.1 -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 -2.3 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 -0.1 -0.4 0.1 -0.6 0.1 0.0 0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.4 0.2 -2.7 0.0 -0.0 -0.0 0.0 -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 -0.4 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.1 -0.4 0.0 -0.2 -0.1 -0.2 -0.2 -0.1 -0.1 -0.1 -0.2 -0.2 0.0 -0.3 -0.1 -0.8 -0.1 0.1 -0.1 0.0 -0.1 -0.0 0.0 -0.1 -0.5 -0.4 -0.0 0.1 -0.7 0.2 -0.7 CORN 0.1 0.0 -0.6 -0.1 -0.0 -0.1 -0.0 -0.2 -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 -0.0 -0.1 -0.0 -0.3 -0.0 -0.2 -0.2 0.2 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 -0.2 -0.0 -0.1 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 0.0 -0.1 0.1 -0.1 0.0 -0.4 -0.6 0.2 0.5 -0.7 -0.5 0.1 0.2 CRUDE_W -0.1 -0.2 0.6 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.1 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 0.0 -0.7 0.0 -0.0 0.2 -0.0 0.2 0.0 -1.1 0.2 0.2 0.4 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 -0.2 -0.2 -0.0 -0.2 2.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.2 0.2 0.0 -0.1 -0.1 0.4 0.1 0.7 0.3 DOW -0.0 -0.6 -0.5 -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 -0.1 -0.2 -0.0 -0.2 -1.2 -0.0 -0.0 -0.1 -0.1 0.0 -0.1 -0.3 -0.1 0.1 -0.1 0.3 -0.5 -0.2 -0.7 -0.3 DX -0.2 0.5 0.6 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.1 0.5 0.0 -0.2 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.0 0.4 0.1 -2.7 0.1 -0.0 0.2 0.0 0.2 0.0 0.8 0.2 0.6 0.6 0.6 0.2 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 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.4 0.4 0.4 -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 0.1 -0.1 0.0 -0.5 0.3 0.5 0.5 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 -0.2 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 0.2 0.4 0.4 0.3 0.1 0.2 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 0.4 -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 -0.0 0.0 -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 -0.4 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 0.1 -0.1 0.3 -0.0 1.1 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.0 -0.2 -0.1 0.1 0.4 -0.3 0.0 -0.5 -0.2 GASOLINE -0.2 -0.6 0.1 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.1 0.3 0.0 0.2 -0.1 0.0 0.1 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 0.1 0.3 0.6 0.0 -0.1 0.2 -0.1 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 -0.1 -0.5 -0.0 2.7 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.1 -0.0 0.6 -0.1 -0.6 -0.2 0.2 -0.4 0.0 GBP 0.2 -0.6 -0.6 -0.1 -0.0 -0.1 -0.0 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 -0.0 -0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.1 0.3 -0.5 -0.4 -0.2 0.2 0.1 0.7 GOLD_micro 0.6 0.3 -0.4 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.1 -0.2 0.2 0.1 0.1 0.0 -0.3 -0.3 -0.3 -0.3 0.1 -0.0 0.2 -0.1 0.2 -0.8 0.0 0.0 -0.0 0.1 -0.0 0.1 -1.0 0.5 0.6 0.3 0.1 -0.4 -0.7 -0.3 -0.7 HEATOIL -0.3 -0.5 0.6 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.2 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 -0.1 0.2 -0.0 0.3 -0.0 0.1 -0.1 -0.1 -0.2 0.4 0.2 -0.1 -0.0 -0.2 JGB-SGX-mini 0.1 -0.4 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -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 -0.0 -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 0.1 -0.2 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 -0.1 0.5 -0.1 -0.0 -0.4 -0.1 -0.4 -0.2 -0.1 0.1 -0.2 0.3 -0.2 0.0 -0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.6 -0.5 -0.6 0.2 0.4 -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 -0.6 -0.2 NaN -0.1 0.0 -0.2 -0.0 -0.2 -0.1 -1.2 -0.4 -0.3 0.1 -0.7 -0.5 -0.8 -0.3 -0.7 MILK 0.2 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.5 -0.1 0.4 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 -1.1 0.1 0.3 0.0 0.3 -0.7 -0.7 -0.7 -0.7 MXP -0.2 -0.6 -0.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 0.1 -0.0 0.4 -0.1 -0.1 0.2 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 0.1 -0.2 -0.3 0.0 0.5 0.4 0.7 0.7 NASDAQ_micro -0.3 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -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 -0.0 0.0 -0.1 0.1 -0.1 -0.3 -0.2 0.2 0.1 0.2 0.1 -0.4 0.0 -0.5 NIKKEI -0.2 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -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 -0.0 0.0 -0.1 0.2 -0.1 1.1 0.2 0.1 0.4 0.2 -0.1 0.1 -0.1 0.4 NZD -0.2 0.1 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -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 -0.0 -0.1 -0.1 0.2 -0.1 -0.2 0.2 -0.2 0.1 -0.5 0.3 0.3 OAT 0.2 -0.3 -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 -0.0 -0.3 -0.1 -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 0.4 -0.5 -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 -0.3 -0.1 -0.2 -0.0 0.1 -0.0 0.1 -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 -0.0 -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 0.3 0.0 -0.3 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 -0.3 0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.2 0.0 1.9 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.2 0.1 0.0 0.0 0.2 0.1 -0.6 0.3 -0.5 REDWHEAT -0.2 -0.6 -0.6 -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 -0.0 -0.1 -0.0 -0.2 -0.2 -0.2 -0.5 -0.2 -2.5 -0.1 -0.0 -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 0.0 -0.1 0.3 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.3 0.0 0.2 -0.1 0.1 -0.4 0.1 -0.3 0.0 0.0 0.1 -0.0 0.2 0.0 -2.7 0.0 -0.1 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 -0.3 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.3 0.0 0.5 0.0 -0.0 0.4 0.4 0.4 0.4 0.0 0.1 -0.0 0.4 0.1 -2.6 0.0 -0.1 0.1 0.0 0.2 0.0 1.1 0.5 0.4 0.6 0.1 -0.1 -0.4 0.6 -0.0 RUSSELL -0.3 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.3 -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 -0.0 -0.0 -0.1 -0.1 0.0 -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 0.1 0.3 0.3 0.3 -0.7 -0.7 -0.5 -0.7 SILVER-mini 0.5 -0.2 -0.4 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.1 -0.1 0.1 0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -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 0.2 -0.1 0.2 -0.5 -0.7 -0.2 -0.7 SMI -0.5 -0.4 -0.5 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 0.0 -0.1 -0.1 0.1 0.0 0.1 0.0 -0.2 -0.1 -0.2 -0.1 -0.2 0.7 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.7 -0.3 -0.3 0.1 0.1 -0.2 -0.4 -0.2 -0.3 SOFR 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 -0.2 -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 -0.3 SOYBEAN 0.0 -0.4 0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 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 0.0 -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 0.1 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 -0.0 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 -0.4 -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 -0.0 -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 -0.1 0.1 -0.1 -0.2 -0.2 0.1 -0.2 -0.5 -0.5 -0.7 SP500_micro -0.2 -0.6 -0.6 -0.0 -0.0 -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 -0.0 -0.0 -0.1 0.1 -0.1 -0.4 -0.3 0.1 -0.1 0.2 -0.1 -0.4 -0.1 -0.6 SUGAR11 -0.0 0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.5 0.1 0.7 0.1 0.2 0.4 0.3 0.4 0.3 0.2 0.2 -0.0 0.5 0.1 -2.7 0.1 -0.1 0.2 -0.0 0.5 0.0 1.1 -0.0 0.5 0.6 0.6 -0.7 -0.6 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 -0.2 -0.2 -0.0 -0.1 -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 0.0 -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 0.1 -0.7 -0.7 -0.4 -0.7 US20 0.3 -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 0.6 0.7 US30 0.2 -0.3 -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 -0.3 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.2 -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 0.6 1.0 1.0 0.0 0.0 -0.1 0.1 -0.4 0.1 0.0 -0.6 0.2 -0.9 0.2 0.1 -0.6 -0.6 -0.6 -0.6 0.1 -0.1 0.1 -0.7 0.2 NaN 0.0 0.0 -0.2 0.1 -0.5 0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.2 -0.2 -0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.5 0.0 -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 0.2 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 1.8 -0.9 -14.6 -4.0 -0.2 -1.7 -2.8 0.4 -4.0 8.0 -14.2 -5.4 -11.3 -8.6 -14.2 -3.3 -3.0 -3.3 -3.2 -10.2 -12.2 -0.8 -11.8 -5.8 3.5 -5.1 3.1 -5.5 -0.5 -4.9 -3.2 -1.4 12.8 0.3 3.4 -9.1 -6.8 -20.0 -1.2 4.4 BITCOIN 20.0 12.6 -5.0 -2.9 10.6 -3.3 8.5 -0.9 2.5 18.7 9.3 20.0 9.4 20.0 6.6 -6.4 -4.7 -6.1 -5.7 20.0 7.4 20.0 2.6 20.0 -20.0 5.6 10.6 1.6 14.4 0.6 11.5 -0.6 20.0 20.0 20.0 10.4 -3.0 20.0 -1.2 20.0 BOBL 8.0 -3.2 1.2 -2.5 1.1 -2.4 -0.1 -2.2 -1.5 6.9 -5.7 3.2 -7.6 -1.0 -3.1 9.7 -4.6 0.0 -5.0 -3.5 -5.5 3.4 -8.7 -0.4 8.8 -1.9 3.5 -2.5 1.8 -3.4 -0.3 -6.0 3.8 9.3 7.9 8.3 -20.0 -20.0 -15.1 -17.9 BTP 5.8 -18.5 -11.9 -3.6 1.5 -3.5 -0.1 -3.1 -2.2 9.2 -7.0 1.3 -2.3 -7.5 -9.5 7.1 7.5 6.4 6.5 -10.7 -8.8 2.5 -6.6 -5.8 -6.4 -3.5 3.1 -2.7 0.8 -1.7 -1.9 15.2 3.5 5.9 1.9 4.6 -13.6 -20.0 -0.9 7.1 BUND 6.7 -8.1 -3.5 -2.6 1.1 -2.6 -0.1 -2.3 -1.6 5.9 -7.0 0.4 -8.4 -4.0 -6.0 -2.3 5.5 -0.2 2.3 -6.1 -7.4 0.8 -9.8 -3.0 5.9 -2.6 1.6 -2.7 0.4 -3.0 -1.3 10.1 -0.4 6.7 5.4 5.2 -20.0 -20.0 -20.0 -2.8 BUXL 5.7 -13.3 -7.6 -2.8 1.2 -2.7 -0.1 -2.4 -1.7 -2.4 -8.6 -3.6 -9.4 -6.6 -7.8 0.3 0.8 0.5 0.8 -10.8 -11.6 -3.9 -13.5 -7.5 1.3 -3.1 -0.3 -3.0 -1.1 -2.8 -2.1 4.8 -6.0 2.6 -0.1 -1.0 -19.6 -20.0 -11.5 17.8 CAC -8.6 -19.2 -17.6 -6.0 -4.6 -3.5 -6.7 -0.8 -6.9 -12.1 -7.9 -15.9 13.6 -18.4 -18.7 -4.6 -2.5 -5.6 -4.6 -20.0 -11.3 -20.0 3.8 -20.0 -5.3 -6.8 -4.8 -3.5 -7.0 0.6 -7.9 4.3 14.9 1.9 3.4 4.6 10.5 3.0 17.1 8.9 CAD -6.2 -6.5 -13.0 -5.9 -0.3 -2.6 -4.1 0.5 -5.9 -14.1 -14.4 -19.1 -14.8 -19.2 -20.0 -2.6 -2.2 -2.5 -2.4 -19.7 -14.5 -20.0 -11.1 -20.0 2.0 -7.5 -7.1 -5.2 -9.0 -3.5 -8.6 0.0 -20.0 -20.0 -0.6 -17.8 -20.0 -20.0 -16.5 -20.0 CANOLA -9.5 -20.0 -7.1 -3.3 -1.3 -2.9 -1.5 -2.7 -2.6 -7.9 -1.0 -9.6 -4.0 -12.1 -10.5 -15.1 4.9 -9.5 -2.3 -18.5 -10.2 -15.0 -6.1 -19.7 -20.0 -3.7 -2.0 -2.4 -3.1 -1.9 -4.0 1.6 -20.0 -14.6 -20.0 -3.0 -8.8 -1.9 10.4 10.2 CHF 20.0 -16.3 -15.4 -5.3 -0.3 -2.3 -3.7 0.5 -5.4 -14.9 -8.9 7.6 6.3 -1.4 -11.5 -17.0 -14.7 -16.8 -15.8 -10.6 -9.5 -2.8 -0.8 -1.7 -9.4 -3.6 -4.5 -3.0 -0.9 -0.5 -0.7 -20.0 8.9 20.0 -9.3 -1.9 -20.0 -20.0 -20.0 -20.0 COCOA 20.0 -12.2 -0.1 -5.7 -2.2 -5.1 -2.6 -4.8 -4.6 17.4 19.2 20.0 20.0 16.5 15.1 -4.1 -2.6 -3.9 -3.2 20.0 20.0 20.0 20.0 20.0 -17.1 6.4 9.4 7.9 11.5 9.9 9.0 -6.4 20.0 20.0 20.0 20.0 5.4 -5.8 20.0 6.0 COFFEE 20.0 13.1 -5.5 -5.8 -2.2 -5.2 -2.7 -4.8 -4.6 -9.2 -16.2 9.3 -16.0 9.2 0.6 0.3 1.3 -0.8 0.0 3.3 -9.9 10.5 -16.0 15.1 -20.0 2.3 -3.6 -1.4 4.5 -2.6 6.5 -0.3 20.0 20.0 20.0 -2.4 -20.0 -20.0 -20.0 -11.6 COPPER -0.5 -11.9 -11.4 -2.3 8.5 -2.6 6.8 -0.7 2.0 16.1 -16.6 4.5 -6.2 -13.0 -17.0 -7.7 -3.7 -6.6 -5.3 -14.4 -14.4 5.1 -11.3 -7.2 -5.9 -5.3 7.7 -5.1 3.0 -3.9 -2.6 0.6 -4.6 -15.0 -12.8 -0.3 2.8 -20.0 7.4 -20.0 CORN 4.5 0.8 -20.0 -5.2 -2.0 -4.6 -2.4 -4.3 -4.1 -13.3 -18.3 -10.0 -17.7 -1.1 -16.7 -4.7 1.6 -5.4 -3.4 -8.0 -18.1 -6.8 -20.0 -3.5 -18.3 -1.7 -4.5 -4.5 -4.4 -7.3 -1.9 -3.0 -8.9 6.4 17.4 -3.9 -7.1 -0.7 3.0 6.1 COTTON2 -16.7 -8.7 5.8 -5.1 -2.0 -4.5 -2.3 -4.2 -4.1 -7.9 8.6 -13.4 -8.8 -14.6 -0.8 -8.5 2.9 -4.0 -0.7 -5.9 1.5 -10.8 0.4 -12.5 -20.0 -2.6 -4.4 1.6 -6.1 2.6 -6.6 0.3 -17.6 -20.0 6.4 16.2 -20.0 -14.5 3.4 7.5 CRUDE_W -4.0 -6.2 18.9 1.9 -5.2 4.8 -3.5 4.5 -1.8 -12.4 13.6 6.7 7.3 3.1 11.5 11.7 11.6 14.6 12.9 11.8 16.5 -1.9 13.5 3.6 -5.1 4.1 -2.8 6.7 -1.2 6.4 0.6 -20.0 9.4 6.5 13.2 0.7 20.0 10.0 20.0 8.9 DAX -7.0 -20.0 -20.0 -5.2 -4.1 -3.0 -5.9 -0.7 -6.0 -14.7 -11.9 -16.7 9.9 -17.4 -17.7 -9.5 -7.9 -9.6 -9.1 -20.0 -14.2 -20.0 -1.0 -20.0 16.3 -6.3 -4.2 -4.0 -6.1 -0.9 -6.8 -4.3 6.7 0.7 -3.1 -3.9 11.0 1.8 19.5 10.2 DOW -0.4 -20.0 -15.5 -4.5 -3.5 -2.6 -5.1 -0.6 -5.2 -8.2 -4.8 -11.2 6.9 -12.9 -12.6 -10.5 -8.9 -11.1 -10.5 -15.7 -8.4 -18.6 -1.5 -18.5 -9.2 -4.6 -4.1 -2.0 -5.7 0.3 -5.6 -6.5 -2.8 3.5 -1.9 8.4 -15.5 -7.4 -20.0 -8.3 DX -7.5 15.7 20.0 -6.0 -0.3 -2.6 -4.1 0.5 -6.0 -7.1 19.6 2.4 -4.3 16.0 20.0 7.3 5.9 7.2 6.6 20.0 20.0 3.2 15.2 13.8 -20.0 7.5 -1.7 7.0 1.0 4.9 4.3 14.6 7.1 18.7 20.0 20.0 4.7 8.0 8.2 20.0 EUR 10.2 -11.5 -16.9 -4.2 -0.2 -1.8 -2.9 0.4 -4.2 -1.3 -12.2 2.3 3.5 -7.5 -13.2 -6.5 -6.9 -6.7 -6.7 -11.3 -10.8 0.5 -6.0 -4.7 11.8 -4.6 1.4 -4.2 0.3 -2.2 -2.0 -7.7 15.9 11.4 -5.6 -9.4 -10.4 -17.6 -7.4 -4.7 EURIBOR-ICE 10.7 2.5 4.6 -2.4 1.0 -2.4 -0.0 -2.1 -1.5 7.2 -3.6 6.4 -6.9 3.4 2.1 -4.5 -7.5 -6.7 -7.7 0.4 -2.5 8.8 -7.2 3.9 17.1 0.1 7.3 -1.2 5.0 -3.4 2.2 -10.3 11.4 13.9 14.0 13.5 -20.0 -20.0 6.5 18.0 EUROSTX -3.9 -16.2 -18.0 -5.3 -4.1 -3.1 -6.0 -0.7 -6.1 -13.0 -7.9 -15.2 11.5 -16.4 -17.4 -5.4 -2.3 -5.4 -4.4 -17.1 -9.5 -15.8 3.0 -18.1 4.6 -6.2 -4.1 -3.7 -5.9 0.3 -6.6 4.6 16.9 11.3 8.3 3.7 7.5 4.4 12.2 13.8 FEEDCOW -20.0 -20.0 -16.6 -4.4 -1.7 -3.9 -2.0 -3.7 -3.5 -12.2 6.6 -15.1 12.2 -15.9 -8.6 -13.0 -20.0 -13.2 -20.0 -18.0 3.3 -20.0 15.6 -20.0 -2.1 -3.1 -4.0 1.6 -7.5 4.4 -7.0 -20.0 -20.0 -20.0 -10.3 10.8 14.0 -3.2 20.0 6.8 GASOIL -14.0 -13.2 20.0 1.4 -3.9 3.6 -2.6 3.4 -1.3 -12.1 10.8 -3.9 6.9 -2.8 8.9 20.0 20.0 20.0 20.0 6.8 13.6 -8.7 12.7 -3.0 7.9 2.6 -3.9 5.2 -2.7 4.5 -1.0 0.0 -6.5 -3.3 4.5 11.2 -9.8 1.0 -15.5 -4.6 GASOLINE -5.0 -20.0 2.0 2.0 -5.5 5.1 -3.7 4.7 -1.9 -13.1 9.6 0.9 6.9 -8.8 0.6 7.0 20.0 20.0 20.0 -3.3 7.1 -5.5 13.7 -7.1 -20.0 -1.7 -3.0 2.7 -2.2 6.1 -3.2 18.7 15.0 1.6 -20.0 -18.9 20.0 10.0 20.0 5.6 GAS_US_mini 2.0 9.7 20.0 2.6 -7.0 6.5 -4.7 6.0 -2.4 -3.6 -18.1 -10.4 -20.0 -8.6 -13.2 -20.0 -20.0 -20.0 -20.0 -4.3 -14.0 -6.1 -20.0 -4.6 20.0 0.4 -4.6 -0.3 -4.0 -3.2 -2.0 -20.0 -0.4 20.0 -2.4 -20.0 -7.0 6.1 -13.2 1.3 GBP 6.9 -19.1 -17.0 -4.8 -0.3 -2.1 -3.3 0.4 -4.8 -5.8 -9.0 -7.3 7.1 -14.0 -16.3 -1.0 -0.8 -0.6 -0.6 -15.6 -10.7 -4.7 -3.0 -10.6 0.5 -5.5 0.1 -3.9 -1.6 -1.7 -3.7 2.8 5.6 8.1 -14.2 -12.2 -4.7 7.2 2.3 20.0 GOLD_micro 20.0 9.6 -12.3 -1.8 6.6 -2.0 5.3 -0.6 1.5 11.5 -5.7 14.5 1.8 12.6 3.6 -15.2 -14.6 -16.9 -16.3 5.7 -2.7 20.0 -1.9 20.0 -6.4 1.3 4.2 -0.5 6.3 -0.1 4.8 -18.4 19.2 20.0 10.6 4.5 -10.5 -20.0 -8.4 -20.0 HEATOIL -10.7 -15.0 20.0 1.9 -5.3 4.9 -3.6 4.6 -1.8 -16.7 13.0 -1.3 7.8 -4.4 10.3 20.0 20.0 20.0 20.0 8.1 17.9 -11.7 17.4 -4.4 -20.0 2.3 -6.0 6.8 -3.9 7.7 -2.0 1.1 -4.6 -1.6 -7.6 10.9 7.5 -2.1 -0.8 -6.5 JGB-SGX-mini 3.3 -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 -10.5 -1.9 -10.2 -1.7 -3.5 -3.4 -2.6 -3.6 -1.4 -3.4 20.0 -20.0 -1.0 5.8 -2.2 -1.3 -15.5 12.5 12.9 JPY 2.3 -10.2 -20.0 -5.0 -4.1 -2.1 -5.1 0.5 -5.5 -3.5 -20.0 -15.3 -19.4 -18.7 -20.0 -20.0 -15.7 -19.2 -17.6 -20.0 -20.0 -8.8 -20.0 -16.1 20.0 -7.5 -0.7 -9.0 -2.9 -9.3 -5.0 -20.0 3.9 3.0 -7.6 -18.9 -8.6 -20.0 -5.1 -20.0 LEANHOG -11.8 -8.5 5.3 -2.9 -1.1 -2.6 -1.3 -2.4 -2.3 8.7 -2.5 -3.2 -5.4 -7.9 -7.7 -7.2 20.0 20.0 20.0 -8.1 -7.1 -0.7 -8.8 -7.9 11.5 -3.3 4.7 -4.0 0.1 -5.7 -2.8 20.0 2.4 -5.3 0.8 -2.9 -8.6 -2.9 12.2 20.0 LIVECOW -20.0 -20.0 -14.8 -4.4 -1.7 -3.9 -2.0 -3.6 -3.5 -6.7 10.6 -11.2 13.5 -11.6 -4.6 -17.6 -4.9 -19.1 -10.0 -7.3 5.7 -20.0 12.8 -18.9 0.2 -2.2 -2.9 2.9 -7.5 5.9 -6.6 -11.6 -20.0 -20.0 5.6 13.6 -15.0 -20.0 -7.6 -13.7 LUMBER-new -0.7 -5.0 -12.3 -6.4 -2.5 -5.5 -2.9 -4.3 -5.1 4.4 -20.0 -8.7 -20.0 -16.0 -20.0 -18.1 -14.6 -16.7 -15.5 -17.6 -19.7 -5.9 -17.7 -13.0 NaN -8.0 2.9 -7.7 -3.0 -5.8 -6.4 -20.0 -13.5 -8.3 2.5 -19.3 -13.7 -20.0 -6.5 -18.6 MILK 5.6 -7.8 -2.0 -4.0 -1.5 -3.6 -1.8 -3.3 -3.2 -13.4 -7.2 -9.6 -11.8 -10.8 -0.3 -18.1 -20.0 -19.5 -20.0 -6.4 -11.1 -8.9 -19.4 -5.9 3.0 -2.3 -6.2 -5.3 -2.9 -8.8 -1.4 -20.0 3.3 10.0 0.2 8.4 -20.0 -20.0 -20.0 -20.0 MXP -6.3 -20.0 -20.0 -3.4 -0.2 -1.5 -2.4 0.3 -3.4 8.4 4.3 -3.0 10.3 -10.1 -9.8 12.5 16.5 14.1 15.3 -9.0 -0.5 -0.8 10.3 -8.3 -20.0 -3.2 2.4 -0.0 -0.2 3.9 -2.9 20.0 5.9 -6.4 -8.5 0.2 13.9 11.8 20.0 20.0 NASDAQ_micro -7.8 -20.0 -20.0 -3.5 -2.7 -2.0 -4.0 -0.4 -4.1 -7.8 4.8 -9.4 7.5 -9.2 -8.7 -9.4 -8.6 -9.8 -9.6 -8.2 1.3 -18.0 8.1 -14.2 -20.0 -2.7 -4.7 0.8 -6.0 3.8 -4.7 -5.4 -8.0 5.3 3.7 7.4 1.9 -13.1 0.2 -15.9 NIKKEI -5.9 -20.0 -17.4 -4.1 -3.1 -2.4 -4.6 -0.5 -4.7 -12.3 7.8 -9.1 9.9 -8.1 -6.0 3.5 10.5 7.0 9.2 -6.3 2.8 -14.3 10.3 -11.5 -7.0 -2.8 -5.2 1.4 -5.4 4.7 -4.7 20.0 9.0 4.0 12.5 7.4 -2.4 2.7 -2.9 11.6 NZD -5.6 2.0 -12.6 -3.8 -0.2 -1.6 -2.6 0.3 -3.8 -5.0 -12.8 -11.9 -3.1 -11.4 -13.4 -0.3 0.2 -0.1 0.1 -9.5 -9.6 -9.3 -8.8 -10.1 0.8 -4.2 -1.2 -3.8 -4.5 -3.3 -4.7 4.2 -5.7 -7.2 6.0 -5.3 4.2 -15.5 10.0 8.4 OAT 5.5 -10.6 -5.5 -2.8 1.2 -2.8 -0.1 -2.5 -1.8 6.4 -7.8 -1.0 -9.0 -5.5 -7.2 6.0 7.8 6.0 6.6 -7.4 -8.2 0.4 -9.9 -4.0 8.2 -2.9 1.6 -2.8 0.2 -3.0 -1.6 15.7 -0.7 5.9 4.8 5.1 -20.0 -20.0 -7.9 9.6 OATIES -20.0 -20.0 -0.7 -3.6 -1.4 -3.2 -1.7 -3.0 -2.9 12.5 0.7 -2.9 -1.9 -10.4 -9.8 -19.2 -8.4 -18.2 -15.3 -16.6 -2.9 0.4 4.7 -16.3 -20.0 -2.9 2.8 -0.5 0.3 0.8 -2.8 -20.0 16.6 -17.0 -20.0 -0.3 9.8 11.3 20.0 20.0 OJ 20.0 20.0 20.0 -6.8 -2.6 -6.1 -3.1 -5.7 -5.4 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 10.1 7.8 10.3 8.2 10.7 9.3 20.0 20.0 20.0 20.0 20.0 2.3 8.0 16.2 20.0 PALLAD -10.2 -2.9 -7.0 -1.6 5.8 -1.8 4.7 -0.5 1.4 7.2 -13.7 -5.6 -14.3 -10.1 -11.8 -2.6 -2.7 -2.8 -2.8 -15.0 -19.6 -4.8 -20.0 -11.7 2.5 -4.5 0.5 -4.6 -1.5 -4.9 -3.8 3.4 -18.6 -20.0 -8.4 -6.8 -9.9 -7.9 2.4 -3.7 PLAT 10.0 0.5 -9.4 -1.6 5.9 -1.8 4.7 -0.5 1.4 12.0 -11.5 10.7 -5.6 -2.2 -7.3 -3.8 -2.7 -3.7 -3.3 -4.8 -8.0 10.1 -6.7 2.0 13.9 -0.7 10.3 -1.6 5.9 -1.3 1.9 3.1 3.9 0.1 0.5 5.4 1.6 -17.2 8.6 -13.8 REDWHEAT -4.9 -18.6 -20.0 -5.1 -2.0 -4.6 -2.3 -4.2 -4.1 -16.7 -19.2 -17.7 -19.3 -18.8 -20.0 -6.1 -0.1 -4.6 -2.4 -20.0 -20.0 -17.8 -20.0 -20.0 -18.4 -7.0 -5.0 -6.2 -5.4 -4.1 -6.1 -3.3 -17.1 -11.3 -9.6 -20.0 -20.0 -20.0 -20.0 -10.8 RICE 1.0 -2.7 8.1 -5.7 -2.2 -5.1 -2.6 -4.8 -4.6 -15.6 10.0 3.5 6.0 -6.3 6.6 -20.0 7.5 -13.7 0.4 3.6 6.3 -2.6 5.6 0.6 -20.0 0.9 -6.5 2.0 -1.4 1.9 0.2 8.7 -0.2 8.6 5.6 18.5 -3.5 -20.0 16.6 -9.0 ROBUSTA 7.0 -8.9 -6.5 -4.5 -1.7 -4.0 -2.1 -3.8 -3.6 -10.8 10.4 1.7 12.8 2.0 -0.5 20.0 20.0 20.0 20.0 3.4 7.7 -0.3 15.5 5.7 -19.2 1.7 -7.7 2.8 1.3 5.3 3.3 20.0 20.0 13.3 20.0 4.5 -2.6 -11.8 18.8 -0.3 RUSSELL -8.0 -20.0 -17.8 -3.8 -2.9 -2.2 -4.3 -0.5 -4.3 -10.7 -10.0 -12.3 -7.0 -12.9 -12.7 -6.9 -6.3 -7.5 -7.2 -20.0 -13.6 -20.0 -7.4 -20.0 -2.1 -4.3 -3.3 -2.4 -4.6 -0.8 -5.0 -1.3 0.1 -9.0 -8.9 -0.6 -11.8 -13.0 -20.0 -20.0 SHATZ 9.1 0.8 2.4 -2.5 1.1 -2.4 -0.1 -2.2 -1.6 7.3 -7.2 1.6 -8.1 -1.4 -3.8 -20.0 -12.7 -20.0 -19.7 -3.5 -7.2 4.2 -12.5 0.2 10.2 -1.5 4.0 -2.8 2.3 -4.5 0.2 -20.0 6.2 10.6 8.9 9.9 -20.0 -20.0 -14.0 -20.0 SILVER-mini 16.7 -6.3 -10.9 -1.8 6.6 -2.0 5.3 -0.6 1.5 7.9 -5.1 11.6 1.8 2.6 -4.4 -7.3 -6.4 -7.4 -7.1 -3.9 -5.7 9.2 -2.6 3.9 6.9 -0.4 4.7 -0.6 4.0 0.2 2.0 -3.4 -3.0 6.1 -2.7 7.6 -13.6 -20.0 -4.5 -20.0 SMI -15.4 -12.5 -13.9 -4.2 -3.3 -2.4 -4.7 -0.5 -4.8 -10.3 -6.2 -12.8 1.2 -12.9 -12.7 4.7 1.9 2.6 1.4 -17.1 -10.1 -20.0 -4.2 -20.0 4.9 -4.3 -2.5 -2.4 -5.7 -1.4 -6.0 12.9 -11.0 -8.6 2.8 4.3 -7.3 -12.9 -6.0 -7.7 SOFR 5.8 -5.5 -14.7 -2.5 1.1 -2.4 -0.1 -2.2 -1.6 4.8 -7.5 -0.8 -6.0 -4.8 -6.9 0.5 -0.8 -0.6 -0.9 -8.7 -8.6 -1.2 -7.1 -6.0 -1.4 -2.8 1.0 -2.7 -0.5 -2.1 -2.1 1.6 -3.7 -3.1 2.4 1.7 -20.0 -20.0 -5.0 -7.6 SOYBEAN 0.4 -11.2 0.2 -5.3 -2.0 -4.7 -2.4 -4.4 -4.2 3.3 6.5 10.9 3.4 -9.8 -9.3 15.8 17.7 13.1 14.1 -4.3 -0.9 2.8 0.1 -2.4 -20.0 -1.7 3.3 -0.2 2.2 0.6 -0.7 20.0 12.7 6.9 4.1 6.6 -20.0 -5.1 -20.0 0.7 SOYMEAL 20.0 0.2 -3.3 -3.7 -1.4 -3.3 -1.7 -3.1 -3.0 5.6 -4.7 10.8 1.3 7.6 2.1 16.1 17.4 13.3 15.2 4.8 -0.1 14.5 1.0 12.8 -20.0 2.5 2.0 1.3 5.6 2.1 5.1 20.0 20.0 20.0 16.9 9.8 -20.0 -20.0 -20.0 -19.4 SOYOIL -19.5 -20.0 -4.3 -2.9 -1.1 -2.6 -1.3 -2.4 -2.3 -5.5 0.8 -8.2 -1.6 -10.0 -8.3 8.8 11.6 11.8 11.5 -15.4 -6.5 -11.9 -1.4 -17.7 -20.0 -3.2 -0.9 -1.5 -2.5 -0.4 -3.6 17.8 -17.5 -19.3 -19.9 -5.9 -5.1 4.3 13.6 20.0 SP400 -5.5 -20.0 -19.3 -3.5 -2.7 -2.1 -4.0 -0.4 -4.1 -9.4 -8.2 -10.9 -0.6 -11.7 -11.3 -5.0 -5.1 -5.4 -5.4 -17.2 -10.2 -19.7 -3.8 -20.0 -8.9 -3.9 -3.4 -2.0 -4.6 -0.4 -4.7 1.3 -2.3 -5.4 -5.4 1.9 -7.0 -14.0 -15.0 -20.0 SP500_micro -6.7 -20.0 -20.0 -4.2 -3.3 -2.5 -4.8 -0.5 -4.9 -9.9 0.6 -12.0 6.3 -12.4 -11.7 -10.4 -9.8 -11.3 -11.1 -15.6 -5.2 -20.0 2.9 -20.0 -16.4 -4.0 -4.8 -1.0 -6.4 1.6 -5.6 -7.7 -11.4 1.7 -3.6 5.7 -3.9 -12.2 -4.1 -17.2 SUGAR11 -0.8 0.3 0.2 -5.2 -2.0 -4.6 -2.4 -4.3 -4.1 -11.2 18.2 9.1 18.1 11.9 16.7 20.0 16.0 20.0 16.4 15.4 20.0 -0.2 20.0 8.7 -20.0 5.6 -6.2 8.7 -0.4 13.6 3.3 20.0 -0.6 15.2 20.0 20.0 -20.0 -19.5 8.9 3.1 US10 6.9 -5.0 -13.7 -2.3 1.0 -2.3 -0.0 -2.0 -1.4 1.8 -7.6 -3.5 -7.6 -5.9 -7.1 -5.4 -7.1 -7.2 -7.8 -10.5 -11.0 -4.0 -10.6 -7.9 1.1 -2.8 -0.2 -2.8 -1.1 -2.4 -2.2 -10.1 -6.8 -4.8 -0.8 -1.7 -20.0 -20.0 1.2 0.4 US10U 7.5 -7.2 -14.6 -2.8 1.2 -2.8 -0.1 -2.5 -1.8 1.3 -9.3 -4.6 -9.3 -7.5 -8.9 1.5 -0.4 0.7 -0.2 -13.6 -13.7 -5.4 -12.6 -10.3 -2.2 -3.4 -0.4 -3.3 -1.4 -2.7 -2.6 2.4 -8.8 -6.9 -2.6 -4.2 -20.0 -20.0 9.1 15.2 US2 10.5 8.5 -6.8 -2.5 1.1 -2.5 -0.1 -2.2 -1.6 5.1 -8.5 -0.3 -8.6 -3.6 -6.8 -20.0 -20.0 -20.0 -20.0 -7.3 -12.3 0.5 -16.6 -2.8 8.4 -2.5 1.0 -4.2 0.3 -5.7 -1.0 -20.0 2.6 5.1 9.6 4.6 -20.0 -20.0 -12.7 -20.0 US20 8.8 -8.5 -16.1 -2.0 0.9 -2.0 -0.0 -1.8 -1.3 0.1 -6.7 -3.5 -6.4 -5.6 -6.5 -0.2 -1.7 -1.5 -1.9 -10.9 -10.6 -4.4 -9.2 -8.4 -1.9 -2.5 -0.3 -2.3 -0.9 -1.9 -1.8 0.0 -6.1 -6.4 -4.6 -6.3 -10.8 -20.0 19.3 20.0 US30 7.3 -8.0 -12.2 -2.1 0.9 -2.1 -0.0 -1.8 -1.3 -1.0 -6.9 -4.0 -6.7 -5.9 -6.7 -3.8 -4.0 -5.3 -5.1 -10.4 -10.1 -4.4 -9.3 -8.0 -1.5 -2.5 -0.4 -2.4 -1.0 -2.0 -1.9 -4.6 -6.3 -6.0 -3.0 -5.6 -6.9 -20.0 20.0 20.0 US5 7.3 -0.8 -11.4 -2.4 1.0 -2.4 -0.0 -2.1 -1.5 3.4 -8.0 -2.4 -8.0 -5.4 -7.1 -9.2 -10.5 -11.8 -12.0 -9.0 -10.5 -1.9 -11.3 -6.0 3.3 -2.9 0.4 -3.1 -0.7 -3.1 -2.0 -16.5 -3.4 -1.2 3.4 1.8 -20.0 -20.0 -8.8 -18.0 VIX 12.1 20.0 20.0 2.0 0.6 -3.2 3.9 -7.4 4.7 2.6 -13.1 9.9 -16.1 11.4 7.0 -19.9 -20.0 -20.0 -20.0 3.2 -7.7 8.1 -17.3 9.0 NaN 2.4 0.7 -3.6 4.5 -8.8 5.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 5.9 -7.5 -20.0 -4.9 -1.9 -4.4 -2.3 -4.1 -3.9 -13.3 -17.5 0.2 -18.9 -5.6 -17.3 -11.7 -10.2 -11.5 -11.1 -15.6 -20.0 -3.5 -20.0 -5.9 -5.4 -5.2 -3.9 -7.4 -2.0 -8.0 -2.3 -20.0 -0.8 7.1 7.2 -13.1 -20.0 -16.4 -20.0 -12.8 End of report for caleb_strategy_v3