******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231031_204336 produced at 2023-10-31 21:39:05.950932 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.96 0.0 0.00 0.00 0.00 0.00 -11.20 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.17 -0.21 0.0 0.55 -0.55 0.17 0.07 -6.14 16.0 5 2 caleb_strategy_v3 COPPER False False 0.03 -0.20 -0.21 0.0 0.20 -0.20 -0.20 -0.20 -6.52 6.0 -6 -6 caleb_strategy_v3 US2 False True 0.07 0.00 -0.21 0.0 0.00 0.00 0.00 0.00 -2.86 13.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.08 -0.20 0.0 0.75 -0.75 -0.08 -0.08 -7.64 29.0 -3 -3 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.16 0.0 0.00 0.00 0.00 0.00 -3.87 24.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.25 -0.15 0.0 0.65 -0.65 -0.25 -0.30 -3.03 13.0 -5 -6 caleb_strategy_v3 JPY False False 0.03 -0.15 -0.10 0.0 0.51 -0.51 -0.15 -0.18 -3.39 17.0 -5 -6 caleb_strategy_v3 VIX False False 0.01 -0.07 -0.10 0.0 0.12 -0.12 -0.07 -0.08 -13.49 17.0 -10 -11 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.09 0.0 0.94 -0.94 -0.04 -0.11 -2.32 25.0 -1 -3 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.08 0.0 0.36 -0.36 0.00 0.00 -10.16 48.0 0 0 caleb_strategy_v3 SP400 False False 0.09 -0.17 -0.08 0.0 0.17 -0.17 -0.17 -0.17 -0.95 2.0 -2 -2 caleb_strategy_v3 RUSSELL False False 0.00 -0.05 -0.08 0.0 0.20 -0.20 -0.05 -0.03 -26.51 68.0 -17 -11 caleb_strategy_v3 DOW False False 0.01 0.00 -0.07 0.0 0.39 -0.39 0.00 0.00 -11.78 66.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.07 0.0 0.34 -0.34 0.00 -0.04 -1.55 8.0 0 -1 caleb_strategy_v3 LIVECOW False False 0.03 -0.05 -0.07 0.0 0.45 -0.45 -0.05 -0.05 -2.77 17.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.06 0.0 0.18 -0.18 0.00 -0.01 -17.06 51.0 0 -3 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.05 0.0 0.11 -0.11 -0.01 -0.02 -5.76 12.0 -1 -2 caleb_strategy_v3 SMI False False 0.04 -0.08 -0.05 0.0 0.37 -0.37 -0.08 -0.08 -1.14 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 -0.08 -4.77 23.0 -7 -8 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.06 -0.06 0.00 0.00 -3.74 5.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.65 -0.65 0.00 0.00 -1.29 17.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 -0.04 -0.04 0.0 0.08 -0.08 -0.04 -0.04 -0.92 2.0 -1 -1 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.04 0.0 0.01 -0.01 0.00 0.00 -8.73 3.0 0 0 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.04 0.0 0.43 -0.43 -0.02 -0.02 -1.96 19.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.02 -0.05 -0.04 0.0 0.17 -0.17 -0.05 -0.05 -2.40 11.0 -3 -3 caleb_strategy_v3 EUR False False 0.05 -0.24 -0.04 0.0 0.67 -0.67 -0.24 -0.19 -0.93 14.0 -5 -4 caleb_strategy_v3 RICE False False 0.01 0.00 -0.03 0.0 0.05 -0.05 0.00 0.00 -2.19 4.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 -0.03 0.0 0.51 -0.51 0.00 -0.04 -0.76 13.0 0 -1 caleb_strategy_v3 BTP False False 0.04 0.00 -0.03 0.0 0.42 -0.42 0.00 0.00 -0.80 10.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.05 -0.03 0.0 0.09 -0.09 -0.05 -0.05 -2.34 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 -0.02 -1.49 21.0 -2 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.03 0.0 0.11 -0.11 -0.02 -0.02 -2.73 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 -1.13 22.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 -0.03 0.0 0.40 -0.40 -0.01 -0.01 -4.69 56.0 -1 -1 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.02 0.0 0.84 -0.84 0.00 0.00 -0.51 19.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.95 12.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.64 0.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.12 -0.01 0.0 0.24 -0.24 -0.12 -0.08 -0.26 6.0 -3 -2 caleb_strategy_v3 DAX False False 0.01 -0.01 -0.01 0.0 0.33 -0.33 -0.01 -0.01 -2.52 58.0 -1 -1 caleb_strategy_v3 US20 False False 0.04 -0.04 -0.01 0.0 0.35 -0.35 -0.04 -0.04 -0.37 9.0 -1 -1 caleb_strategy_v3 OAT False False 0.05 0.00 -0.01 0.0 0.47 -0.47 0.00 0.00 -0.14 10.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.49 -0.49 0.00 0.00 -0.30 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 -0.25 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 -0.90 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 COFFEE False False 0.02 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.38 6.0 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 GAS_US_mini False False 0.00 -0.02 -0.00 0.0 0.09 -0.09 -0.02 -0.01 -1.36 26.0 -6 -4 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.00 0.0 0.31 -0.31 0.00 0.00 0.27 20.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.14 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 0.87 23.0 1 1 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 0.13 -0.13 0.00 0.03 0.21 4.0 0 1 caleb_strategy_v3 PLAT False False 0.02 -0.05 0.01 0.0 0.17 -0.17 -0.05 -0.02 0.62 10.0 -3 -1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.02 0.0 0.19 -0.19 0.00 0.00 1.85 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 2.13 26.0 1 1 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.03 0.0 0.12 -0.12 0.00 0.00 0.96 4.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.03 0.0 0.14 -0.14 0.01 0.01 3.00 13.0 1 1 caleb_strategy_v3 NIKKEI False False 0.01 0.05 0.04 0.0 0.27 -0.27 0.05 0.05 5.82 36.0 7 7 caleb_strategy_v3 MXP False False 0.01 0.00 0.04 0.0 0.59 -0.59 0.00 0.02 4.13 60.0 0 2 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.06 -0.06 0.00 0.00 2.39 3.0 0 0 caleb_strategy_v3 BITCOIN False True 0.00 0.02 0.06 0.0 0.02 0.00 0.02 0.02 47.51 59.0 17 17 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.10 0.0 0.14 -0.14 0.08 0.08 3.69 5.0 3 3 caleb_strategy_v3 DX False False 0.04 0.00 0.16 0.0 38275370.67 -38275370.67 0.00 0.00 4.28 999999999.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.19 0.58 0.0 0.93 -0.93 0.19 0.19 6.29 10.0 2 2 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 11.6 Shocked risk 26.4 Sum abs risk 47.5 Leverage 4.97 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2782337.52, 'annual_cash_vol_target': 695584.38, 'daily_cash_vol_target': 43474.02375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6352 0.6539 10.4620 BITCOIN 824.7580 34925.0000 2.3615 37.7842 BOBL 0.2646 116.1600 0.2278 3.6445 BTP 0.6418 110.1500 0.5827 9.3229 BUND 0.5399 128.6500 0.4197 6.7145 BUXL 1.2602 119.3600 1.0558 16.8931 CAC 57.6511 6911.0000 0.8342 13.3471 CAD 0.0029 0.7216 0.3959 6.3345 CANOLA 7.3091 678.4000 1.0774 17.2384 CHF 0.0050 1.1048 0.4563 7.3013 COCOA 41.2401 3849.0000 1.0714 17.1432 COFFEE 2.7359 164.1500 1.6667 26.6677 COPPER 0.0350 3.6530 0.9583 15.3332 CORN 4.9553 513.2500 0.9655 15.4475 COTTON2 1.0685 83.5500 1.2789 20.4626 CRUDE_W 1.2078 76.0900 1.5874 25.3981 DAX 116.8805 14911.0000 0.7839 12.5417 DOW 235.0747 33107.0000 0.7100 11.3607 DX 0.3398 106.4950 0.3191 5.1056 EUR 0.0052 1.0602 0.4859 7.7745 EURIBOR-ICE 0.0512 97.1900 0.0527 0.8424 EUROSTX 37.1766 4083.0000 0.9105 14.5683 FEEDCOW 2.0026 239.8250 0.8350 13.3605 GASOIL 15.0854 831.7500 1.8137 29.0191 GASOLINE 0.0399 2.2217 1.7973 28.7568 GAS_US_mini 0.1047 3.8400 2.7271 43.6332 GBP 0.0066 1.2156 0.5393 8.6289 GOLD_micro 14.6547 1993.9000 0.7350 11.7597 HEATOIL 0.0427 2.8292 1.5091 24.1458 JGB-SGX-mini 0.2407 143.7000 0.1675 2.6805 JPY 0.0000 0.0066 0.6128 9.8047 LEANHOG 1.2463 74.6000 1.6707 26.7312 LIVECOW 1.5633 184.6250 0.8467 13.5478 LUMBER-new 7.7126 502.0000 1.5364 24.5821 MILK 0.2084 17.3500 1.2011 19.2172 MXP 0.0004 0.0550 0.8147 13.0358 NASDAQ_micro 140.8151 14472.0000 0.9730 15.5683 NIKKEI 342.4875 31350.0000 1.0925 17.4794 NZD 0.0039 0.5826 0.6694 10.7096 OAT 0.5531 122.9800 0.4497 7.1956 OATIES 6.5513 409.7500 1.5989 25.5817 OJ 5.0422 383.5500 1.3146 21.0338 PALLAD 17.8425 1133.0000 1.5748 25.1968 PLAT 13.4808 943.9000 1.4282 22.8512 REDWHEAT 9.8469 642.0000 1.5338 24.5406 RICE 0.1395 16.3000 0.8561 13.6980 ROBUSTA 34.8091 2359.0000 1.4756 23.6094 RUSSELL 18.3082 1665.9000 1.0990 17.5840 SHATZ 0.0797 105.1450 0.0758 1.2132 SILVER-mini 0.3321 23.1500 1.4347 22.9559 SMI 79.3131 10442.0000 0.7596 12.1529 SOFR 0.0792 95.8150 0.0826 1.3220 SOYBEAN 10.1632 1267.7500 0.8017 12.8268 SOYMEAL 5.2903 407.1000 1.2995 20.7922 SOYOIL 0.7475 50.5500 1.4788 23.6611 SP400 23.8732 2371.5000 1.0067 16.1067 SP500_micro 32.5536 4205.7500 0.7740 12.3844 SUGAR11 0.3359 25.7400 1.3050 20.8807 US10 0.4607 106.0000 0.4346 6.9541 US10U 0.6529 108.5156 0.6017 9.6266 US2 0.1042 101.2148 0.1030 1.6478 US20 1.0058 108.8750 0.9238 14.7813 US30 1.4941 111.5625 1.3393 21.4282 US5 0.2871 104.4141 0.2750 4.3998 VIX 0.6882 19.8000 3.4757 55.6108 WHEAT 8.4505 652.0000 1.2961 20.7375 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 635.20 0.65 415.34 1.00 415.34 43474.02 104.67 -7.22 -75.55 BITCOIN 34.93 2.36 82.48 1.00 82.48 43474.02 527.11 8.32 438.68 BOBL 1161.60 0.23 264.59 1.06 279.55 43474.02 155.51 -3.24 -50.36 BTP 1101.50 0.58 641.82 1.06 678.12 43474.02 64.11 -3.66 -23.45 BUND 1286.50 0.42 539.88 1.06 570.42 43474.02 76.21 -3.87 -29.51 BUXL 1193.60 1.06 1260.22 1.06 1331.49 43474.02 32.65 -7.68 -25.06 CAC 691.10 0.83 576.51 1.06 609.11 43474.02 71.37 -3.89 -27.74 CAD 721.60 0.40 285.68 1.00 285.68 43474.02 152.17 -19.36 -294.55 CANOLA 135.68 1.08 146.18 0.72 105.49 43474.02 412.10 -17.01 -701.16 CHF 1381.00 0.46 630.19 1.00 630.19 43474.02 68.99 -16.92 -116.73 COCOA 384.90 1.07 412.40 1.00 412.40 43474.02 105.42 9.44 99.56 COFFEE 615.56 1.67 1025.98 1.00 1025.98 43474.02 42.37 -7.78 -32.96 COPPER 913.25 0.96 875.19 1.00 875.19 43474.02 49.67 -12.11 -60.17 CORN 256.62 0.97 247.76 1.00 247.76 43474.02 175.47 -13.48 -236.58 COTTON2 417.75 1.28 534.27 1.00 534.27 43474.02 81.37 -13.75 -111.88 CRUDE_W 760.90 1.59 1207.84 1.00 1207.84 43474.02 35.99 9.46 34.05 DAX 149.11 0.78 116.88 1.06 123.49 43474.02 352.04 -2.10 -73.96 DOW 165.54 0.71 117.54 1.00 117.54 43474.02 369.87 -13.70 -506.89 DX 1064.95 0.32 339.82 1.00 339.82 43474.02 127.93 12.88 164.82 EUR 1325.31 0.49 643.98 1.00 643.98 43474.02 67.51 -5.30 -35.81 EURIBOR-ICE 2429.75 0.05 127.93 1.06 135.16 43474.02 321.65 5.74 184.49 EUROSTX 408.30 0.91 371.77 1.06 392.79 43474.02 110.68 0.71 7.85 FEEDCOW 1199.12 0.84 1001.31 1.00 1001.31 43474.02 43.42 -10.80 -46.89 GASOIL 831.75 1.81 1508.54 1.00 1508.54 43474.02 28.82 7.69 22.17 GASOLINE 933.11 1.80 1677.08 1.00 1677.08 43474.02 25.92 1.89 4.89 GAS_US_mini 96.00 2.73 261.80 1.00 261.80 43474.02 166.06 -0.75 -12.52 GBP 759.75 0.54 409.74 1.00 409.74 43474.02 106.10 -4.12 -43.73 GOLD_micro 199.39 0.73 146.55 1.00 146.55 43474.02 296.66 -4.64 -137.58 HEATOIL 1188.26 1.51 1793.23 1.00 1793.23 43474.02 24.24 1.35 3.28 JGB-SGX-mini 143700.00 0.17 24074.10 0.01 161.20 43474.02 269.69 -2.10 -56.73 JPY 830.88 0.61 509.16 1.00 509.16 43474.02 85.38 -15.31 -130.70 LEANHOG 298.40 1.67 498.54 1.00 498.54 43474.02 87.20 5.67 49.41 LIVECOW 738.50 0.85 625.32 1.00 625.32 43474.02 69.52 -12.04 -83.73 LUMBER-new 138.05 1.54 212.10 1.00 212.10 43474.02 204.97 -20.00 -409.94 MILK 347.00 1.20 416.77 1.00 416.77 43474.02 104.31 -16.76 -174.84 MXP 275.20 0.81 224.22 1.00 224.22 43474.02 193.89 1.45 28.12 NASDAQ_micro 289.44 0.97 281.63 1.00 281.63 43474.02 154.37 -13.30 -205.29 NIKKEI 31350.00 1.09 34248.75 0.01 229.33 43474.02 189.57 2.83 53.73 NZD 582.55 0.67 389.93 1.00 389.93 43474.02 111.49 -5.15 -57.47 OAT 1229.80 0.45 553.07 1.06 584.35 43474.02 74.40 -0.55 -4.07 OATIES 204.88 1.60 327.57 1.00 327.57 43474.02 132.72 -13.24 -175.66 OJ 575.33 1.31 756.33 1.00 756.33 43474.02 57.48 19.37 111.36 PALLAD 1133.00 1.57 1784.25 1.00 1784.25 43474.02 24.37 -11.05 -26.92 PLAT 471.95 1.43 674.04 1.00 674.04 43474.02 64.50 2.81 18.13 REDWHEAT 321.00 1.53 492.35 1.00 492.35 43474.02 88.30 -20.00 -176.60 RICE 326.00 0.86 279.10 1.00 279.10 43474.02 155.77 -5.77 -89.91 ROBUSTA 235.90 1.48 348.09 1.00 348.09 43474.02 124.89 5.95 74.29 RUSSELL 83.30 1.10 91.54 1.00 91.54 43474.02 474.91 -16.84 -799.84 SHATZ 1051.45 0.08 79.73 1.06 84.24 43474.02 516.09 -7.40 -381.89 SILVER-mini 578.75 1.43 830.36 1.00 830.36 43474.02 52.36 -3.60 -18.84 SMI 1044.20 0.76 793.13 1.11 878.95 43474.02 49.46 -6.78 -33.52 SOFR 2395.38 0.08 197.92 1.00 197.92 43474.02 219.66 -8.39 -184.26 SOYBEAN 633.88 0.80 508.16 1.00 508.16 43474.02 85.55 -3.19 -27.32 SOYMEAL 407.10 1.30 529.03 1.00 529.03 43474.02 82.18 0.32 2.63 SOYOIL 303.30 1.48 448.53 1.00 448.53 43474.02 96.93 -10.00 -96.89 SP400 2371.50 1.01 2387.32 1.00 2387.32 43474.02 18.21 -15.67 -28.54 SP500_micro 210.29 0.77 162.77 1.00 162.77 43474.02 267.09 -16.36 -436.97 SUGAR11 288.29 1.31 376.23 1.00 376.23 43474.02 115.55 7.55 87.20 US10 1060.00 0.43 460.71 1.00 460.71 43474.02 94.36 -10.76 -101.54 US10U 1085.16 0.60 652.90 1.00 652.90 43474.02 66.59 -9.05 -60.26 US2 2024.30 0.10 208.48 1.00 208.48 43474.02 208.53 -10.81 -225.49 US20 1088.75 0.92 1005.82 1.00 1005.82 43474.02 43.22 -6.72 -29.06 US30 1115.62 1.34 1494.12 1.00 1494.12 43474.02 29.10 -7.04 -20.48 US5 1044.14 0.27 287.12 1.00 287.12 43474.02 151.41 -12.10 -183.24 VIX 198.00 3.48 688.18 1.00 688.18 43474.02 63.17 -8.65 -54.64 WHEAT 326.00 1.30 422.53 1.00 422.53 43474.02 102.89 -20.00 -205.78 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -75.553 0.010 2.5 -1.960 BITCOIN 438.677 0.043 2.5 47.505 BOBL -50.355 0.004 2.5 -0.511 BTP -23.449 0.014 2.5 -0.800 BUND -29.514 0.004 2.5 -0.299 BUXL -25.060 0.004 2.5 -0.254 CAC -27.742 0.014 2.5 -0.946 CAD -294.547 0.010 2.5 -7.643 CANOLA -701.158 0.010 2.5 -17.059 CHF -116.735 0.010 2.5 -3.029 COCOA 99.559 0.009 2.5 2.132 COFFEE -32.963 0.005 2.5 -0.385 COPPER -60.167 0.043 2.5 -6.516 CORN -236.577 0.010 2.5 -5.756 COTTON2 -111.877 0.009 2.5 -2.396 CRUDE_W 34.055 0.043 2.5 3.688 DAX -73.963 0.014 2.5 -2.523 DOW -506.889 0.009 2.5 -11.781 DX 164.821 0.010 2.5 4.277 EUR -35.812 0.010 2.5 -0.929 EURIBOR-ICE 184.489 0.014 2.5 6.293 EUROSTX 7.855 0.014 2.5 0.268 FEEDCOW -46.891 0.013 2.5 -1.554 GASOIL 22.165 0.017 2.5 0.961 GASOLINE 4.890 0.017 2.5 0.212 GAS_US_mini -12.521 0.043 2.5 -1.356 GBP -43.727 0.010 2.5 -1.135 GOLD_micro -137.578 0.014 2.5 -4.693 HEATOIL 3.282 0.017 2.5 0.142 JGB-SGX-mini -56.727 0.043 2.5 -6.143 JPY -130.699 0.010 2.5 -3.391 LEANHOG 49.415 0.024 2.5 3.003 LIVECOW -83.730 0.013 2.5 -2.775 LUMBER-new -409.945 0.009 2.5 -8.729 MILK -174.839 0.009 2.5 -3.745 MXP 28.124 0.059 2.5 4.128 NASDAQ_micro -205.295 0.009 2.5 -4.771 NIKKEI 53.734 0.043 2.5 5.819 NZD -57.470 0.010 2.5 -1.491 OAT -4.068 0.014 2.5 -0.139 OATIES -175.663 0.010 2.5 -4.274 OJ 111.360 0.009 2.5 2.385 PALLAD -26.924 0.014 2.5 -0.918 PLAT 18.132 0.014 2.5 0.618 REDWHEAT -176.599 0.005 2.5 -2.343 RICE -89.914 0.010 2.5 -2.188 ROBUSTA 74.294 0.005 2.5 0.868 RUSSELL -799.845 0.013 2.5 -26.506 SHATZ -381.894 0.004 2.5 -3.873 SILVER-mini -18.835 0.014 2.5 -0.642 SMI -33.516 0.014 2.5 -1.143 SOFR -184.259 0.024 2.5 -11.199 SOYBEAN -27.320 0.004 2.5 -0.254 SOYMEAL 2.629 0.004 2.5 0.024 SOYOIL -96.887 0.004 2.5 -0.902 SP400 -28.538 0.013 2.5 -0.946 SP500_micro -436.968 0.009 2.5 -10.156 SUGAR11 87.197 0.009 2.5 1.855 US10 -101.542 0.005 2.5 -1.287 US10U -60.259 0.005 2.5 -0.764 US2 -225.490 0.005 2.5 -2.857 US20 -29.056 0.005 2.5 -0.368 US30 -20.484 0.005 2.5 -0.260 US5 -183.239 0.005 2.5 -2.322 VIX -54.637 0.099 2.5 -13.487 WHEAT -205.781 0.005 2.5 -2.730 ===================== Position diags ===================== AUD 2.72 BITCOIN 57.08 BOBL 1.58 BTP 2.19 BUND 0.77 BUXL 0.33 CAC 2.43 CAD 3.95 CANOLA 10.03 CHF 1.79 COCOA 2.26 COFFEE 0.49 COPPER 5.38 CORN 4.27 COTTON2 1.74 CRUDE_W 3.90 DAX 12.01 DOW 8.60 DX 3.32 EUR 1.75 EURIBOR-ICE 10.97 EUROSTX 3.78 FEEDCOW 1.44 GASOIL 1.25 GASOLINE 1.12 GAS_US_mini 17.98 GBP 2.75 GOLD_micro 10.12 HEATOIL 1.05 JGB-SGX-mini 29.21 JPY 2.22 LEANHOG 5.30 LIVECOW 2.30 LUMBER-new 4.36 MILK 2.23 MXP 28.46 NASDAQ_micro 3.59 NIKKEI 20.53 NZD 2.89 OAT 2.54 OATIES 3.23 OJ 1.23 PALLAD 0.83 PLAT 2.20 REDWHEAT 1.17 RICE 3.79 ROBUSTA 1.46 RUSSELL 15.74 SHATZ 5.23 SILVER-mini 1.79 SMI 1.69 SOFR 13.35 SOYBEAN 0.80 SOYMEAL 0.76 SOYOIL 0.90 SP400 0.60 SP500_micro 6.21 SUGAR11 2.46 US10 1.20 US10U 0.84 US2 2.64 US20 0.55 US30 0.37 US5 1.92 VIX 15.59 WHEAT 1.36 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.0 -2.2 -1.7 -1.0 -1 BITCOIN 47.5 41.8 53.2 17.0 17 BOBL -0.5 -0.7 -0.4 0.0 0 BTP -0.8 -1.0 -0.6 0.0 0 BUND -0.3 -0.4 -0.2 0.0 0 BUXL -0.3 -0.3 -0.2 -2.0 -2 CAC -0.9 -1.2 -0.7 0.0 0 CAD -7.6 -8.0 -7.2 -3.0 -3 CANOLA -17.1 -18.1 -16.1 NaN 0 CHF -3.0 -3.2 -2.8 -5.0 -5 COCOA 2.1 1.9 2.4 1.0 1 COFFEE -0.4 -0.4 -0.3 0.0 0 COPPER -6.5 -7.1 -6.0 -6.0 -6 CORN -5.8 -6.2 -5.3 -1.0 -1 COTTON2 -2.4 -2.6 -2.2 -3.0 -3 CRUDE_W 3.7 3.3 4.1 3.0 3 DAX -2.5 -3.7 -1.3 -1.0 -1 DOW -11.8 -12.6 -10.9 0.0 0 DX 4.3 3.9 4.6 NaN 0 EUR -0.9 -1.1 -0.8 -5.0 -5 EURIBOR-ICE 6.3 5.2 7.4 2.0 2 EUROSTX 0.3 -0.1 0.6 0.0 0 FEEDCOW -1.6 -1.7 -1.4 0.0 0 GASOIL 1.0 0.8 1.1 0.0 0 GASOLINE 0.2 0.1 0.3 0.0 0 GAS_US_mini -1.4 -3.2 0.4 -6.0 -6 GBP -1.1 -1.4 -0.9 0.0 0 GOLD_micro -4.7 -5.7 -3.7 -1.0 -1 HEATOIL 0.1 0.0 0.2 0.0 0 JGB-SGX-mini -6.1 -9.1 -3.2 5.0 5 JPY -3.4 -3.6 -3.2 -5.0 -5 LEANHOG 3.0 2.5 3.5 1.0 1 LIVECOW -2.8 -3.0 -2.5 -2.0 -2 LUMBER-new -8.7 -9.2 -8.3 NaN 0 MILK -3.7 -4.0 -3.5 NaN 0 MXP 4.1 1.3 7.0 0.0 0 NASDAQ_micro -4.8 -5.1 -4.4 -7.0 -7 NIKKEI 5.8 3.8 7.9 7.0 7 NZD -1.5 -1.8 -1.2 -2.0 -2 OAT -0.1 -0.4 0.1 0.0 0 OATIES -4.3 -4.6 -4.0 NaN 0 OJ 2.4 2.3 2.5 NaN 0 PALLAD -0.9 -1.0 -0.8 -1.0 -1 PLAT 0.6 0.4 0.8 -3.0 -3 REDWHEAT -2.3 -2.5 -2.2 -4.0 -4 RICE -2.2 -2.6 -1.8 NaN 0 ROBUSTA 0.9 0.7 1.0 1.0 1 RUSSELL -26.5 -28.1 -24.9 -17.0 -17 SHATZ -3.9 -4.4 -3.3 NaN 0 SILVER-mini -0.6 -0.8 -0.5 NaN 0 SMI -1.1 -1.3 -1.0 -2.0 -2 SOFR -11.2 -12.5 -9.9 NaN 0 SOYBEAN -0.3 -0.3 -0.2 -1.0 -1 SOYMEAL 0.0 -0.1 0.1 0.0 0 SOYOIL -0.9 -1.0 -0.8 -3.0 -3 SP400 -0.9 -1.0 -0.9 -2.0 -2 SP500_micro -10.2 -10.8 -9.5 0.0 0 SUGAR11 1.9 1.6 2.1 0.0 0 US10 -1.3 -1.4 -1.2 NaN 0 US10U -0.8 -0.8 -0.7 0.0 0 US2 -2.9 -3.1 -2.6 NaN 0 US20 -0.4 -0.4 -0.3 -1.0 -1 US30 -0.3 -0.3 -0.2 -3.0 -3 US5 -2.3 -2.5 -2.1 -1.0 -1 VIX -13.5 -15.0 -11.9 -10.0 -10 WHEAT -2.7 -2.9 -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 3.6 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 -0.2 -0.0 -0.2 -0.0 -0.1 0.2 0.1 0.1 -0.3 -0.2 -0.7 -0.0 0.1 BITCOIN 0.6 0.5 -0.1 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.2 0.3 0.2 0.4 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 0.1 0.1 0.0 0.1 -0.0 0.5 0.6 0.6 0.4 -0.1 0.7 -0.0 0.7 BOBL 0.2 -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 -0.0 -0.9 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.8 0.2 0.2 0.1 0.2 -0.5 -0.7 -0.0 0.2 BUND 0.1 -0.3 -0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -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 0.1 -0.5 -0.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -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 -0.2 0.1 -0.0 -0.0 -0.6 -0.7 -0.4 0.6 CAC -0.2 -0.6 -0.6 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 -0.2 0.5 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.1 -0.2 -0.7 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 0.2 0.4 0.0 0.1 0.2 0.3 0.1 0.6 0.3 CAD -0.3 -0.2 -0.4 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.2 -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 -0.1 -0.6 -0.7 -0.7 -0.6 -0.7 CANOLA -0.3 -0.6 -0.3 -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 -0.1 -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 -0.2 -0.2 0.0 0.2 -0.0 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.1 -0.0 -0.1 -1.2 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -1.1 -0.1 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 0.1 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 -0.1 -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 0.1 -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 -0.0 -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 0.2 -0.5 0.1 -0.2 -0.1 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 0.1 -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 -0.0 -0.5 -0.0 -2.5 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.2 -0.1 0.2 0.6 -0.1 -0.2 -0.0 0.1 0.2 COTTON2 -0.6 -0.3 0.2 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.2 -0.2 -0.3 -0.2 -0.0 -0.2 0.1 -0.1 -0.0 -0.1 0.0 -0.1 0.0 -0.2 -2.7 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.0 -0.3 -0.6 0.1 0.5 -0.7 -0.5 0.1 0.2 CRUDE_W -0.1 -0.3 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 0.5 0.0 0.7 0.3 0.7 0.3 DAX -0.2 -0.6 -0.6 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.3 -0.2 0.4 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -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 0.6 0.3 DOW -0.0 -0.6 -0.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.0 -0.2 -1.2 -0.0 -0.0 -0.1 -0.0 0.0 -0.1 -0.3 -0.1 0.2 -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 0.2 0.5 0.1 -0.2 0.2 0.2 0.2 0.1 0.1 0.1 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.1 0.8 0.5 0.5 0.6 0.6 0.2 0.3 0.3 0.7 EUR 0.3 -0.3 -0.6 -0.0 -0.0 -0.1 -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 0.3 0.4 -0.2 -0.3 -0.4 -0.6 -0.3 -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 -0.1 -0.1 -0.2 0.0 -0.0 0.1 -0.2 0.1 2.3 0.0 0.1 -0.0 0.1 -0.1 0.0 -0.5 0.3 0.4 0.5 0.5 -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 -0.0 -0.2 -0.1 0.4 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 0.1 -0.2 0.6 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.2 0.5 0.3 0.3 0.1 0.2 0.1 0.4 0.5 FEEDCOW -0.6 -0.6 -0.6 -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 -0.4 0.3 0.5 -0.1 0.7 0.2 GASOIL -0.4 -0.4 0.6 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.3 -0.0 0.3 -0.0 0.1 0.4 0.4 0.4 0.4 0.1 0.1 -0.1 0.4 -0.0 1.1 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.0 0.1 -0.0 0.2 0.4 -0.3 0.0 -0.5 -0.2 GASOLINE -0.1 -0.6 0.1 0.0 -0.1 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 -0.1 0.4 -0.1 -2.7 -0.0 -0.0 0.1 -0.0 0.2 -0.0 1.0 0.3 0.2 -0.6 -0.6 0.7 0.3 0.7 0.2 GAS_US_mini 0.1 0.4 0.6 0.0 -0.1 0.2 -0.1 0.2 -0.0 0.1 -0.5 -0.0 -0.7 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.0 -0.5 -0.0 2.7 0.0 0.1 -0.0 0.0 -0.1 0.0 -1.1 0.5 0.6 0.1 -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 -0.3 -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 0.2 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 -0.1 0.1 0.1 0.1 0.0 -0.3 -0.3 -0.3 -0.3 0.1 -0.0 0.2 -0.0 0.2 -0.9 0.0 0.0 -0.0 0.1 -0.0 0.1 -1.0 0.3 0.6 0.3 0.2 -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 -0.1 0.4 -0.0 0.3 -0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.2 -0.1 0.5 -0.1 -2.7 0.0 -0.0 0.2 -0.0 0.3 -0.0 0.1 -0.0 -0.0 -0.2 0.3 0.2 -0.1 -0.0 -0.2 JGB-SGX-mini 0.0 -0.4 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 0.1 0.4 0.3 0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 1.1 -0.5 -0.3 0.0 -0.1 -0.0 -0.5 0.4 0.4 JPY 0.2 0.0 -0.6 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.1 -0.5 -0.1 -0.7 -0.2 -0.2 -0.4 -0.3 -0.4 -0.4 -0.2 -0.2 -0.1 -0.5 -0.1 2.7 -0.1 -0.1 -0.2 -0.0 -0.3 -0.1 -1.1 -0.1 -0.2 -0.2 -0.6 -0.3 -0.7 -0.2 -0.7 LEANHOG -0.3 -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 -0.2 0.4 0.4 0.4 -0.1 -0.1 0.0 -0.2 -0.1 1.6 -0.0 0.0 -0.1 0.0 -0.2 -0.0 1.1 0.2 -0.1 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 -0.0 0.3 -0.1 0.5 -0.1 -0.1 -0.3 -0.1 -0.4 -0.2 -0.1 0.1 -0.1 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 -0.2 -0.4 LUMBER-new 0.0 -0.2 -0.5 -0.1 -0.0 -0.2 -0.0 -0.2 -0.1 0.2 -0.6 -0.1 -0.7 -0.2 -0.2 -0.4 -0.3 -0.4 -0.4 -0.2 -0.2 -0.0 -0.6 -0.1 NaN -0.1 0.1 -0.2 -0.0 -0.3 -0.1 -1.2 -0.1 -0.2 0.1 -0.7 -0.5 -0.8 -0.3 -0.7 MILK 0.1 -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 0.2 -0.1 0.3 -0.7 -0.7 -0.7 -0.7 MXP -0.1 -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 0.3 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 -0.1 -0.2 0.0 0.4 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 -0.0 0.1 -0.1 0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 0.0 -0.1 0.2 -0.2 -2.7 -0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.3 -0.2 0.1 0.1 0.2 0.1 -0.4 0.0 -0.5 NIKKEI -0.1 -0.6 -0.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 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 -0.0 0.2 -0.0 1.1 0.4 0.2 0.4 0.3 -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 0.1 -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 0.1 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 -0.1 -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 -0.6 -0.6 -0.0 0.3 0.4 0.7 0.7 OJ 0.1 0.6 0.5 -0.1 -0.0 -0.2 -0.0 -0.2 -0.1 0.1 0.5 0.2 0.7 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.3 0.1 0.4 0.1 1.1 0.5 0.6 0.6 0.6 0.1 0.3 0.5 0.7 PALLAD -0.3 -0.1 -0.2 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 -0.4 -0.0 -0.5 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.0 -0.5 -0.1 0.4 -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 0.4 0.0 -0.3 -0.0 0.0 -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 -0.0 -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 0.1 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 -2.4 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.2 -0.5 -0.5 -0.4 -0.6 -0.7 -0.7 -0.7 -0.4 RICE -0.0 -0.1 0.2 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.2 0.3 -0.0 0.2 -0.1 0.1 -0.4 0.1 -0.3 -0.0 0.0 0.1 -0.1 0.1 -0.0 -2.7 0.0 -0.1 0.0 -0.1 0.1 -0.0 0.4 -0.2 0.2 0.1 0.6 -0.1 -0.7 0.5 -0.3 ROBUSTA 0.3 -0.3 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.3 0.0 0.4 0.0 -0.0 0.4 0.4 0.4 0.4 0.0 0.1 -0.0 0.4 0.0 -2.5 0.0 -0.0 0.1 0.0 0.2 0.0 1.1 0.5 0.4 0.6 0.2 -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 -0.2 -0.2 -0.2 -0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.3 -0.0 -0.4 -0.4 -0.7 -0.7 SHATZ 0.2 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 0.3 0.3 0.3 -0.7 -0.7 -0.4 -0.7 SILVER-mini 0.6 -0.2 -0.3 -0.0 0.1 -0.1 0.1 -0.0 0.0 -0.0 -0.1 0.1 0.1 0.0 -0.0 -0.2 -0.1 -0.2 -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 -0.2 0.2 -0.1 0.2 -0.5 -0.7 -0.1 -0.7 SMI -0.5 -0.5 -0.5 -0.0 -0.0 -0.1 -0.0 -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 -0.1 -0.1 0.7 -0.1 -0.3 0.1 0.2 -0.2 -0.4 -0.2 -0.2 SOFR 0.0 -0.2 -0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.2 -0.0 -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 -0.0 -0.1 0.1 0.0 -0.7 -0.7 -0.2 -0.3 SOYBEAN 0.1 -0.3 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 0.0 -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 0.6 0.3 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.6 -0.6 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.2 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 0.9 -0.5 -0.6 -0.6 -0.2 -0.2 0.1 0.4 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 -0.1 -0.1 -0.2 -1.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.2 -0.1 -0.2 0.0 -0.2 -0.5 -0.5 -0.7 SP500_micro -0.3 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -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 -0.2 0.0 -0.1 0.2 -0.1 -0.4 -0.1 -0.6 SUGAR11 -0.1 -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 -0.0 0.2 -0.0 0.5 0.0 1.1 -0.1 0.6 0.6 0.6 -0.7 -0.6 0.3 0.1 US10 0.0 -0.2 -0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.3 -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 -0.2 -0.0 -0.1 -0.7 -0.7 0.0 0.0 US10U 0.0 -0.2 -0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.1 -0.3 -0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.1 -0.4 -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 0.2 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 -0.5 -0.0 1.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.1 0.1 0.3 0.1 -0.7 -0.7 -0.4 -0.7 US20 0.1 -0.3 -0.5 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.3 -0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.2 -0.2 -0.2 -0.4 -0.7 0.6 0.7 US30 0.1 -0.3 -0.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -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 0.0 -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 -0.0 -0.1 0.1 0.1 -0.7 -0.7 -0.3 -0.6 VIX 0.6 1.0 1.0 0.0 -0.1 -0.1 0.0 -0.4 0.1 -0.1 -0.5 0.1 -0.9 0.2 0.1 -0.6 -0.6 -0.6 -0.6 0.0 -0.1 0.0 -0.7 0.1 NaN 0.0 -0.1 -0.1 0.0 -0.5 0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.1 -0.2 -0.6 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.5 -0.1 -0.7 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.5 -0.1 -0.7 -0.1 -0.1 -0.2 -0.0 -0.3 -0.0 -1.1 -0.1 0.1 0.2 -0.4 -0.7 -0.6 -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 1.4 -0.6 -14.6 -4.1 -1.3 -1.8 -2.8 0.3 -4.0 2.6 -14.3 -5.8 -11.5 -8.6 -14.4 -3.2 -3.0 -3.3 -3.2 -10.1 -12.3 -1.2 -12.0 -5.6 3.5 -5.2 0.9 -5.7 -0.7 -5.1 -3.1 -1.4 7.9 1.6 3.8 -8.6 -6.7 -20.0 -1.1 4.5 BITCOIN 20.0 14.4 -4.4 -2.3 9.0 -3.1 8.8 -0.9 3.3 20.0 10.2 20.0 9.8 20.0 8.5 -6.5 -4.7 -6.2 -5.7 20.0 8.8 20.0 3.2 20.0 -20.0 5.9 9.1 1.9 13.2 0.7 11.4 -0.6 20.0 20.0 20.0 11.5 -3.0 20.0 -1.1 20.0 BOBL 5.8 -3.1 1.0 -2.5 0.4 -2.5 -0.2 -2.2 -1.5 7.4 -5.7 3.8 -7.7 -0.2 -2.9 9.9 -4.4 0.4 -4.8 -3.3 -5.6 3.8 -9.0 0.1 8.9 -1.8 2.9 -2.5 2.0 -3.5 -0.0 -5.7 5.4 8.3 8.3 8.7 -20.0 -20.0 -15.2 -18.0 BTP 6.6 -17.9 -12.1 -3.6 0.5 -3.6 -0.3 -3.2 -2.2 10.4 -7.0 3.6 -2.3 -6.7 -9.2 7.2 7.5 6.5 6.5 -10.2 -8.9 4.5 -6.8 -4.3 -6.5 -3.4 3.3 -2.8 1.5 -1.8 -1.4 15.2 6.5 6.5 2.9 5.1 -13.7 -20.0 -1.0 7.0 BUND 4.1 -8.5 -3.7 -2.6 0.4 -2.6 -0.2 -2.4 -1.6 6.6 -7.1 0.3 -8.5 -3.8 -6.0 -2.3 5.4 -0.3 2.2 -6.1 -7.6 0.7 -10.2 -2.8 6.0 -2.6 1.0 -2.8 0.3 -3.1 -1.2 9.9 0.2 6.0 5.6 5.4 -20.0 -20.0 -20.0 -2.9 BUXL 2.6 -14.6 -7.9 -2.8 0.4 -2.8 -0.2 -2.5 -1.7 -7.0 -8.8 -5.0 -9.6 -6.9 -8.0 0.4 0.8 0.5 0.8 -11.2 -12.1 -4.6 -14.0 -7.8 1.4 -3.2 -0.9 -3.1 -1.3 -2.9 -2.2 4.8 -7.7 2.1 -0.1 -1.0 -19.4 -20.0 -11.9 17.6 CAC -7.5 -19.8 -17.5 -6.0 -2.2 -3.6 -5.6 -0.8 -6.6 -3.0 -8.4 -14.4 13.4 -17.9 -18.7 -4.5 -2.5 -5.5 -4.6 -20.0 -11.6 -16.6 3.4 -20.0 -5.3 -6.8 -1.1 -3.6 -5.4 0.5 -7.4 4.3 18.0 0.7 4.5 5.0 10.2 3.0 16.7 8.9 CAD -8.7 -7.4 -13.5 -6.0 -2.0 -2.7 -4.1 0.4 -5.9 -17.4 -15.0 -20.0 -15.1 -20.0 -20.0 -2.6 -2.2 -2.5 -2.4 -20.0 -15.3 -20.0 -11.6 -20.0 2.0 -7.6 -7.5 -5.3 -9.1 -3.5 -8.7 0.0 -20.0 -20.0 -1.9 -18.1 -20.0 -20.0 -16.5 -20.0 CANOLA -9.9 -20.0 -7.7 -3.2 -0.9 -2.9 -1.4 -2.8 -2.5 -9.7 -1.3 -10.1 -4.1 -12.0 -10.6 -16.3 4.6 -10.2 -2.7 -18.4 -10.4 -16.0 -6.2 -19.7 -20.0 -3.7 -3.1 -2.4 -3.3 -1.9 -4.0 1.1 -20.0 -16.1 -20.0 -4.5 -9.0 -2.1 9.8 10.0 CHF 20.0 -15.1 -15.9 -5.3 -1.7 -2.4 -3.7 0.4 -5.2 -17.1 -9.2 0.8 6.0 -3.0 -11.8 -16.9 -14.7 -16.7 -15.8 -11.0 -9.3 -11.2 -1.0 -5.5 -9.2 -3.9 -9.1 -3.1 -3.8 -0.6 -2.0 -20.0 -5.7 20.0 -10.8 -2.9 -20.0 -20.0 -20.0 -20.0 COCOA 20.0 -12.5 -0.5 -5.8 -1.7 -5.3 -2.4 -4.9 -4.5 15.3 19.6 20.0 20.0 17.3 15.9 -4.2 -2.6 -3.9 -3.3 20.0 20.0 20.0 20.0 20.0 -17.4 6.7 6.6 8.0 10.3 9.8 8.9 -6.4 20.0 20.0 20.0 20.0 5.7 -5.7 20.0 6.2 COFFEE 20.0 12.3 -3.6 -5.8 -1.7 -5.2 -2.4 -4.9 -4.5 2.0 -15.7 11.5 -15.8 10.5 2.2 0.7 1.3 -0.6 0.1 4.2 -8.4 14.2 -14.5 15.3 -20.0 2.7 4.0 -1.1 6.2 -2.4 6.8 -0.1 20.0 20.0 20.0 -0.5 -20.0 -20.0 -20.0 -11.7 COPPER 0.3 -11.8 -11.7 -1.9 7.2 -2.5 7.1 -0.7 2.7 17.2 -16.7 9.4 -6.3 -11.7 -16.7 -7.7 -3.8 -6.6 -5.3 -13.8 -14.5 7.1 -11.7 -5.4 -6.0 -5.1 7.2 -5.2 4.0 -4.1 -1.7 0.6 -3.7 -16.0 -13.5 -0.5 2.7 -20.0 7.4 -20.0 CORN 3.9 1.3 -20.0 -5.3 -1.5 -4.8 -2.2 -4.5 -4.1 -11.0 -18.6 -10.4 -18.0 -1.4 -17.0 -4.8 1.5 -5.4 -3.4 -8.2 -18.5 -5.4 -20.0 -3.5 -18.6 -1.8 -1.7 -4.5 -3.4 -7.4 -1.8 -3.1 -3.5 4.6 17.1 -3.2 -7.1 -0.9 3.1 5.9 COTTON2 -17.8 -9.3 5.2 -5.1 -1.5 -4.6 -2.1 -4.3 -4.0 -14.2 8.0 -15.4 -8.8 -15.6 -2.7 -8.6 2.7 -4.2 -0.8 -7.0 0.8 -15.6 0.1 -14.4 -20.0 -3.0 -9.7 1.2 -8.2 2.3 -7.2 0.1 -13.6 -20.0 2.5 15.2 -19.9 -14.4 3.0 7.2 CRUDE_W -2.0 -8.2 18.9 1.6 -5.4 4.7 -4.2 4.5 -2.3 -15.4 13.6 5.8 7.5 2.1 11.2 11.3 11.6 14.3 12.8 11.4 16.7 -4.4 13.9 2.1 -5.1 3.9 -3.7 6.8 -2.0 6.6 0.1 -20.0 8.7 6.3 14.1 0.8 20.0 10.0 20.0 8.9 DAX -6.0 -20.0 -20.0 -5.3 -1.9 -3.1 -4.9 -0.7 -5.8 -9.6 -12.2 -15.7 9.7 -17.2 -17.8 -9.5 -8.0 -9.6 -9.1 -20.0 -14.5 -19.2 -1.3 -20.0 16.4 -6.4 -1.8 -4.1 -5.1 -1.0 -6.5 -4.3 8.1 -0.7 -2.6 -3.5 10.6 1.8 18.9 10.2 DOW -0.9 -20.0 -15.4 -4.5 -1.6 -2.6 -4.1 -0.6 -4.9 -3.3 -5.0 -8.6 6.6 -11.9 -12.2 -10.4 -8.9 -11.0 -10.5 -15.5 -8.5 -14.1 -1.7 -17.1 -9.1 -4.5 -1.6 -2.1 -4.3 0.3 -5.2 -6.4 -2.1 5.1 -1.8 8.0 -15.7 -7.4 -20.0 -8.3 DX -5.0 16.9 20.0 -6.2 -2.0 -2.8 -4.3 0.4 -6.1 20.0 20.0 13.4 -4.2 18.6 20.0 7.5 5.9 7.3 6.6 20.0 20.0 10.0 16.9 17.4 -20.0 7.9 2.5 7.3 3.0 5.1 5.1 14.6 20.0 14.3 20.0 20.0 4.9 8.1 8.4 20.0 EUR 10.4 -10.7 -17.1 -4.2 -1.4 -1.9 -2.9 0.3 -4.2 -4.3 -12.3 0.6 3.4 -7.2 -13.3 -6.5 -6.9 -6.7 -6.7 -11.2 -10.9 -0.1 -6.1 -4.7 11.9 -4.6 0.2 -4.3 0.0 -2.3 -2.0 -7.7 12.1 11.4 -4.9 -9.3 -10.5 -17.6 -7.7 -4.9 EURIBOR-ICE 10.4 3.3 4.9 -2.4 0.4 -2.4 -0.2 -2.2 -1.5 7.3 -3.4 7.0 -6.9 4.4 2.8 -4.3 -7.5 -6.6 -7.6 1.0 -2.3 9.9 -7.3 5.1 17.1 0.5 6.5 -1.0 5.2 -3.2 2.6 -10.2 14.0 13.5 14.5 14.1 -20.0 -20.0 6.2 18.2 EUROSTX -3.0 -16.4 -17.4 -5.4 -1.9 -3.2 -5.0 -0.8 -5.9 -3.8 -8.4 -13.8 11.4 -16.1 -17.5 -5.4 -2.3 -5.4 -4.4 -16.9 -9.7 -11.9 2.8 -16.8 4.6 -6.2 -0.5 -3.8 -4.4 0.2 -6.2 4.6 19.6 9.8 9.3 4.4 7.2 4.4 11.7 13.9 FEEDCOW -20.0 -20.0 -17.7 -4.4 -1.3 -4.0 -1.9 -3.7 -3.4 -10.8 6.0 -14.1 11.8 -15.7 -9.2 -13.1 -20.0 -13.2 -20.0 -19.1 2.4 -20.0 15.2 -20.0 -2.1 -3.2 -2.5 1.4 -6.4 4.2 -6.7 -20.0 -20.0 -20.0 -12.2 8.9 14.1 -3.0 20.0 6.9 GASOIL -12.5 -13.3 20.0 1.2 -4.1 3.6 -3.2 3.4 -1.8 -12.3 10.9 -3.3 7.1 -3.2 8.8 20.0 20.0 20.0 20.0 6.6 13.8 -7.9 13.2 -3.2 8.1 2.6 -3.0 5.3 -2.5 4.7 -1.0 0.0 3.4 -0.1 5.8 11.4 -9.5 0.9 -15.0 -4.7 GASOLINE -3.9 -20.0 3.7 1.7 -5.6 5.0 -4.4 4.7 -2.4 -16.1 9.3 -0.9 6.9 -9.6 -0.5 6.2 20.0 20.0 20.0 -3.9 6.8 -8.1 13.7 -8.4 -20.0 -2.0 -3.9 2.6 -3.0 6.0 -3.5 18.1 11.6 4.7 -18.4 -19.1 20.0 10.0 20.0 5.6 GAS_US_mini 1.7 12.6 20.0 2.1 -7.0 6.2 -5.5 5.9 -3.0 12.7 -17.0 -3.1 -20.0 -4.9 -11.8 -20.0 -20.0 -20.0 -20.0 -2.5 -11.3 3.8 -20.0 -0.6 20.0 1.1 12.1 -0.0 2.8 -3.0 0.4 -20.0 20.0 20.0 4.4 -20.0 -7.3 6.1 -13.3 1.4 GBP 6.6 -18.5 -17.2 -4.9 -1.6 -2.2 -3.4 0.4 -4.8 -6.3 -9.5 -8.6 7.1 -13.9 -16.6 -1.0 -0.8 -0.6 -0.6 -15.7 -11.1 -4.1 -3.3 -10.3 0.5 -5.6 -0.0 -4.0 -1.4 -1.8 -3.7 2.8 7.4 8.3 -14.3 -12.6 -4.9 7.0 2.2 20.0 GOLD_micro 20.0 10.1 -11.7 -1.4 5.6 -1.9 5.5 -0.6 2.1 5.7 -5.3 13.7 1.9 12.6 4.4 -15.1 -14.6 -16.8 -16.3 6.4 -2.2 20.0 -1.7 19.5 -6.4 1.5 2.0 -0.3 5.3 -0.0 4.7 -18.4 13.8 20.0 10.0 4.7 -10.6 -20.0 -8.5 -20.0 HEATOIL -8.9 -14.0 20.0 1.6 -5.5 4.9 -4.3 4.7 -2.4 -16.4 13.0 -2.1 8.0 -5.4 9.9 20.0 20.0 20.0 20.0 7.5 18.1 -12.6 18.0 -5.7 -20.0 2.1 -5.0 6.8 -4.2 7.9 -2.4 1.2 -1.5 -0.8 -4.9 10.8 7.2 -2.2 -0.9 -6.6 JGB-SGX-mini 0.9 -12.8 -18.8 -2.9 0.4 -2.9 -0.2 -2.7 -1.8 -8.0 -4.6 -8.9 2.2 -8.6 -9.5 6.9 20.0 15.4 16.5 -10.4 -7.0 -15.2 -2.0 -12.1 -1.6 -3.3 -5.7 -2.4 -5.0 -1.3 -3.9 20.0 -20.0 -10.7 1.3 -3.1 -0.5 -16.1 13.0 13.3 JPY 7.0 0.6 -17.6 -4.8 -1.6 -2.1 -3.3 0.3 -4.7 -7.6 -19.3 -12.2 -18.3 -16.6 -18.8 -20.0 -15.8 -19.2 -17.7 -20.0 -20.0 -10.0 -20.0 -12.9 20.0 -7.0 -6.3 -8.4 -4.1 -8.7 -4.9 -20.0 -4.7 -6.1 -7.6 -18.2 -8.7 -20.0 -5.1 -20.0 LEANHOG -10.7 -8.6 4.7 -3.0 -0.9 -2.8 -1.3 -2.6 -2.4 10.0 -2.4 -1.2 -5.5 -7.1 -7.5 -9.0 20.0 20.0 20.0 -7.8 -7.3 2.3 -9.3 -6.3 11.8 -3.2 5.2 -4.2 1.3 -6.0 -2.2 20.0 9.5 -1.8 1.0 -2.9 -8.4 -3.0 12.1 20.0 LIVECOW -20.0 -20.0 -14.5 -4.3 -1.3 -3.9 -1.8 -3.7 -3.3 -4.0 10.1 -8.5 13.1 -10.6 -4.8 -16.8 -5.0 -18.7 -9.9 -7.4 5.2 -14.4 12.6 -17.0 0.2 -2.2 -0.7 2.7 -5.7 5.7 -6.0 -11.6 -20.0 -20.0 4.9 11.8 -14.1 -20.0 -6.9 -13.3 LUMBER-new 0.4 -4.5 -12.1 -6.5 -1.9 -5.7 -2.7 -4.5 -5.0 14.7 -20.0 -5.0 -20.0 -13.9 -20.0 -18.3 -14.7 -16.8 -15.5 -17.1 -19.9 -2.1 -18.0 -11.1 NaN -7.9 5.2 -7.9 -0.9 -6.1 -5.5 -20.0 -4.1 -5.5 3.2 -20.0 -13.9 -20.0 -6.8 -18.5 MILK 4.0 -8.7 -2.2 -4.0 -1.2 -3.7 -1.7 -3.4 -3.1 -13.8 -7.4 -11.6 -11.9 -11.9 -0.9 -18.7 -20.0 -19.7 -20.0 -7.2 -11.6 -11.7 -19.9 -7.7 3.1 -2.6 -7.2 -5.4 -4.2 -8.9 -2.2 -20.0 -5.4 6.4 -2.0 8.6 -20.0 -20.0 -20.0 -20.0 MXP -3.5 -20.0 -20.0 -3.5 -1.2 -1.6 -2.4 0.3 -3.5 10.9 4.3 -0.3 10.4 -9.6 -9.8 12.6 16.5 14.2 15.3 -8.9 -0.6 0.8 10.6 -7.3 -20.0 -3.2 2.6 -0.1 0.4 4.1 -2.6 20.0 8.9 -3.9 -7.0 0.5 13.5 11.9 20.0 20.0 NASDAQ_micro -9.8 -20.0 -17.4 -3.5 -1.3 -2.1 -3.3 -0.5 -3.9 -5.5 4.5 -8.6 7.4 -9.0 -8.8 -9.4 -8.6 -9.8 -9.6 -8.7 0.9 -15.2 8.0 -14.1 -20.0 -2.8 -2.6 0.6 -5.0 3.7 -4.6 -5.4 -6.3 3.6 3.1 7.1 2.2 -13.1 0.6 -15.8 NIKKEI -3.2 -20.0 -14.8 -4.1 -1.5 -2.4 -3.8 -0.6 -4.5 -3.3 7.7 -6.5 9.8 -7.4 -5.8 3.4 10.5 6.9 9.1 -5.6 2.5 -7.2 9.5 -8.9 -7.1 -2.7 0.9 1.4 -2.9 4.8 -4.0 20.0 15.3 6.7 12.5 8.2 -2.5 2.7 -3.0 11.6 NZD -7.7 2.1 -12.8 -3.8 -1.3 -1.7 -2.6 0.3 -3.8 -2.5 -12.9 -11.8 -3.2 -11.5 -13.6 -0.2 0.2 -0.1 0.1 -9.8 -9.8 -8.4 -9.0 -9.9 0.9 -4.3 -1.4 -3.9 -4.0 -3.3 -4.7 4.2 -3.3 -7.5 6.0 -5.2 4.3 -15.5 10.1 8.4 OAT 3.7 -10.9 -5.6 -2.9 0.4 -2.9 -0.2 -2.6 -1.8 6.7 -7.8 -0.8 -9.1 -5.3 -7.1 6.0 7.8 6.0 6.6 -7.3 -8.3 0.6 -10.2 -3.7 8.3 -2.9 1.1 -2.9 0.3 -3.1 -1.5 15.7 0.2 5.3 5.1 5.4 -20.0 -20.0 -8.2 9.8 OATIES -20.0 -20.0 -2.2 -3.6 -1.1 -3.3 -1.5 -3.1 -2.8 5.9 0.5 -3.7 -2.0 -10.4 -10.0 -19.4 -8.5 -18.3 -15.4 -16.1 -3.2 -2.7 4.3 -15.6 -20.0 -3.0 0.1 -0.6 -0.4 0.7 -2.9 -20.0 14.9 -18.0 -20.0 -1.0 10.1 11.3 20.0 20.0 OJ 3.5 18.9 15.2 -6.7 -1.9 -6.1 -2.8 -5.7 -5.2 5.6 20.0 19.9 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 9.9 1.4 10.3 5.8 10.6 8.4 20.0 20.0 20.0 20.0 20.0 2.5 8.1 16.3 20.0 PALLAD -8.4 -3.4 -6.9 -1.3 5.0 -1.7 4.9 -0.5 1.8 6.3 -13.9 -4.5 -14.5 -10.1 -11.9 -2.5 -2.7 -2.8 -2.8 -15.3 -20.0 -4.8 -20.0 -11.6 2.7 -4.6 -0.1 -4.7 -1.6 -5.1 -3.7 3.5 -16.9 -20.0 -8.9 -7.0 -9.9 -8.1 2.5 -3.8 PLAT 12.0 0.4 -9.0 -1.3 5.0 -1.7 4.9 -0.5 1.8 12.3 -11.3 11.8 -5.6 0.3 -6.4 -3.7 -2.7 -3.7 -3.3 -3.8 -7.8 13.1 -6.7 4.2 14.0 -0.1 10.9 -1.4 7.5 -1.3 3.1 3.1 5.6 2.0 1.0 5.8 1.6 -17.2 8.8 -13.7 REDWHEAT -6.2 -18.8 -20.0 -5.1 -1.5 -4.7 -2.2 -4.4 -4.0 -17.4 -19.4 -18.4 -19.4 -19.2 -20.0 -6.3 -0.2 -4.7 -2.5 -20.0 -20.0 -20.0 -20.0 -20.0 -18.4 -7.0 -7.8 -6.2 -6.7 -4.1 -6.6 -3.3 -20.0 -16.2 -11.6 -20.0 -20.0 -20.0 -20.0 -10.9 RICE -0.2 -3.5 7.6 -5.8 -1.7 -5.3 -2.4 -4.9 -4.5 -18.6 9.9 -3.1 5.9 -8.4 5.9 -20.0 7.2 -14.0 -0.0 2.4 5.8 -9.0 5.5 -2.4 -20.0 0.2 -12.4 1.7 -5.3 1.8 -1.6 8.1 -8.4 6.1 2.3 19.1 -3.5 -20.0 16.3 -9.1 ROBUSTA 8.7 -9.2 -7.6 -4.4 -1.3 -4.0 -1.8 -3.7 -3.4 -9.3 9.9 0.1 12.3 1.0 -0.8 20.0 20.0 20.0 20.0 2.8 7.1 -2.3 14.6 3.7 -18.6 1.6 -5.2 2.7 0.3 5.2 2.6 20.0 20.0 12.3 18.7 4.8 -2.7 -11.9 18.4 -0.3 RUSSELL -8.1 -20.0 -18.7 -3.8 -1.4 -2.2 -3.5 -0.5 -4.2 -7.9 -10.2 -11.4 -7.1 -12.7 -12.7 -6.9 -6.3 -7.5 -7.2 -20.0 -14.0 -18.4 -7.7 -20.0 -2.1 -4.3 -1.8 -2.5 -3.9 -0.8 -4.8 -1.3 -4.2 -8.5 -9.7 -1.3 -12.0 -13.1 -20.0 -20.0 SHATZ 6.4 1.4 1.9 -2.5 0.4 -2.5 -0.2 -2.2 -1.5 7.1 -7.2 2.2 -8.2 -0.4 -3.6 -20.0 -12.8 -20.0 -19.9 -3.2 -7.2 4.6 -12.7 0.8 10.3 -1.3 3.3 -2.7 2.5 -4.6 0.6 -20.0 8.1 8.6 9.3 10.3 -20.0 -20.0 -13.5 -20.0 SILVER-mini 17.2 -5.9 -10.6 -1.4 5.6 -1.9 5.5 -0.6 2.1 -2.7 -5.1 11.0 1.8 3.5 -4.2 -7.6 -6.4 -7.5 -7.1 -3.6 -5.5 6.2 -2.6 3.3 7.0 -0.4 0.7 -0.6 2.8 0.2 1.8 -3.4 -10.2 5.7 -3.7 7.4 -13.7 -20.0 -4.4 -20.0 SMI -15.8 -14.3 -14.5 -4.2 -1.5 -2.5 -4.0 -0.6 -4.7 -8.0 -6.6 -12.4 1.0 -12.9 -12.9 4.9 1.9 2.7 1.5 -17.8 -10.7 -18.2 -4.5 -20.0 4.9 -4.3 -1.3 -2.5 -4.8 -1.4 -5.8 13.0 -5.2 -9.5 3.5 4.8 -7.3 -12.7 -5.9 -7.5 SOFR 0.8 -5.4 -14.8 -2.5 0.4 -2.5 -0.2 -2.2 -1.5 4.5 -7.4 -0.8 -6.1 -4.5 -6.8 0.6 -0.8 -0.5 -0.9 -8.6 -8.7 -1.2 -7.3 -5.7 -1.4 -2.8 0.5 -2.8 -0.5 -2.2 -2.0 1.6 -0.5 -2.6 2.0 1.5 -20.0 -20.0 -5.0 -7.7 SOYBEAN 1.9 -10.6 0.2 -5.3 -1.6 -4.9 -2.2 -4.5 -4.2 5.4 6.5 12.1 3.6 -9.2 -9.7 15.9 17.7 13.3 14.1 -4.0 -0.9 3.5 0.1 -1.8 -20.0 -1.5 3.7 -0.2 2.8 0.6 -0.2 20.0 11.1 6.9 3.9 6.1 -20.0 -5.4 -20.0 0.3 SOYMEAL 20.0 1.3 -2.9 -3.7 -1.1 -3.4 -1.6 -3.2 -2.9 3.8 -4.2 10.9 1.4 8.3 2.9 16.7 17.4 13.6 15.3 5.4 0.3 13.6 1.2 12.9 -20.0 2.6 2.2 1.4 5.1 2.1 5.0 20.0 20.0 20.0 17.4 9.9 -20.0 -20.0 -20.0 -19.6 SOYOIL -18.1 -20.0 -5.3 -2.9 -0.9 -2.7 -1.2 -2.5 -2.3 -6.9 0.6 -8.6 -1.7 -10.2 -8.7 8.5 11.6 11.6 11.4 -16.0 -7.1 -12.2 -1.7 -18.1 -20.0 -3.3 -1.4 -1.6 -2.5 -0.5 -3.6 17.8 -19.6 -20.0 -20.0 -6.7 -5.4 4.2 13.1 20.0 SP400 -6.1 -20.0 -19.8 -3.6 -1.3 -2.1 -3.3 -0.5 -3.9 -6.4 -8.3 -9.9 -0.8 -11.3 -11.2 -5.1 -5.1 -5.4 -5.4 -17.4 -10.6 -16.4 -4.1 -19.3 -8.8 -3.9 -1.6 -2.1 -3.8 -0.5 -4.5 1.3 -7.0 -4.5 -6.1 1.1 -7.1 -14.1 -14.8 -20.0 SP500_micro -8.2 -20.0 -20.0 -4.2 -1.5 -2.5 -3.9 -0.6 -4.7 -6.4 0.2 -10.5 6.1 -12.0 -11.6 -10.3 -9.8 -11.2 -11.0 -16.0 -5.7 -19.6 2.6 -20.0 -16.3 -4.1 -2.3 -1.1 -5.1 1.5 -5.4 -7.6 -10.0 1.5 -4.2 5.1 -3.5 -12.2 -3.7 -17.2 SUGAR11 -1.8 -0.8 0.4 -5.2 -1.5 -4.7 -2.2 -4.4 -4.0 -8.0 18.2 8.3 18.1 11.2 16.6 20.0 16.2 20.0 16.8 15.2 20.0 -0.3 20.0 8.0 -20.0 5.5 -3.5 8.9 -0.5 13.9 3.0 20.0 -6.0 18.5 20.0 20.0 -20.0 -19.3 8.8 3.3 US10 0.4 -5.3 -14.0 -2.3 0.3 -2.3 -0.2 -2.1 -1.4 0.8 -7.6 -3.9 -7.6 -6.0 -7.2 -5.3 -7.1 -7.1 -7.8 -10.7 -11.3 -4.4 -10.9 -7.9 1.1 -2.8 -0.6 -2.8 -1.2 -2.5 -2.1 -10.0 -5.5 -4.7 -1.3 -2.0 -20.0 -20.0 1.0 0.4 US10U 1.5 -7.5 -15.0 -2.8 0.4 -2.8 -0.2 -2.6 -1.7 -0.0 -9.4 -5.2 -9.3 -7.7 -8.9 0.8 -0.4 0.5 -0.3 -13.8 -14.1 -5.9 -13.0 -10.4 -2.2 -3.4 -0.8 -3.4 -1.5 -2.8 -2.6 2.3 -8.2 -6.6 -3.2 -4.5 -20.0 -20.0 8.8 15.2 US2 4.9 9.1 -6.7 -2.5 0.4 -2.5 -0.2 -2.3 -1.5 2.7 -8.5 -1.0 -8.6 -3.6 -6.8 -20.0 -20.0 -20.0 -20.0 -7.3 -12.5 -0.6 -16.9 -3.0 8.4 -2.5 -0.4 -4.2 -0.2 -5.8 -1.1 -20.0 3.1 3.7 9.0 4.6 -20.0 -20.0 -12.1 -20.0 US20 3.2 -9.0 -16.8 -2.0 0.3 -2.0 -0.2 -1.8 -1.2 -0.6 -6.7 -3.9 -6.4 -5.7 -6.5 -0.1 -1.7 -1.4 -1.8 -11.1 -10.9 -4.6 -9.4 -8.4 -1.9 -2.5 -0.5 -2.4 -1.0 -1.9 -1.8 0.0 -6.5 -5.9 -4.9 -6.6 -10.6 -20.0 18.9 20.0 US30 3.4 -8.4 -13.2 -2.1 0.3 -2.1 -0.2 -1.9 -1.3 -2.3 -7.0 -4.6 -6.7 -6.0 -6.7 -3.8 -4.0 -5.3 -5.1 -10.5 -10.4 -4.8 -9.5 -8.1 -1.4 -2.5 -0.7 -2.4 -1.1 -2.0 -1.9 -4.7 -7.7 -5.7 -3.5 -5.8 -6.7 -20.0 20.0 20.0 US5 0.9 -0.9 -11.3 -2.4 0.4 -2.4 -0.2 -2.2 -1.5 1.9 -8.0 -2.8 -8.0 -5.4 -7.2 -9.2 -10.5 -11.7 -12.0 -9.1 -10.7 -2.5 -11.5 -6.0 3.3 -2.9 -0.3 -3.2 -0.8 -3.2 -2.0 -16.5 -1.8 -1.6 2.9 1.6 -20.0 -20.0 -9.0 -18.0 VIX 10.8 20.0 20.0 1.8 -4.0 -3.1 1.3 -7.2 3.7 -9.0 -12.6 5.0 -15.5 9.2 6.2 -20.0 -20.0 -20.0 -20.0 2.5 -7.3 1.7 -16.4 6.3 NaN 2.1 -4.7 -3.5 1.4 -8.7 4.1 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 4.6 -7.2 -20.0 -5.0 -1.5 -4.5 -2.1 -4.3 -3.9 -16.1 -17.9 -6.3 -19.3 -7.4 -17.8 -11.8 -10.2 -11.6 -11.2 -16.3 -20.0 -7.5 -20.0 -7.6 -5.4 -5.5 -7.9 -7.5 -4.3 -8.1 -3.4 -20.0 -5.0 3.3 6.4 -13.1 -20.0 -16.6 -20.0 -13.0 End of report for caleb_strategy_v3