******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231101_204331 produced at 2023-11-01 21:39:29.395601 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.81 0.0 0.00 0.00 0.00 0.00 -9.46 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 -6.36 6.0 -6 -6 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.07 -0.21 0.0 0.54 -0.54 0.07 0.00 -6.14 16.0 2 0 caleb_strategy_v3 CAD False False 0.03 -0.08 -0.20 0.0 0.75 -0.75 -0.08 -0.08 -7.89 29.0 -3 -3 caleb_strategy_v3 US2 False True 0.07 0.00 -0.18 0.0 0.00 0.00 0.00 0.00 -2.45 13.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.30 -0.16 0.0 0.64 -0.64 -0.30 -0.35 -3.19 13.0 -6 -7 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.14 0.0 0.00 0.00 0.00 0.00 -3.58 24.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.18 -0.10 0.0 0.51 -0.51 -0.18 -0.18 -3.30 17.0 -6 -6 caleb_strategy_v3 VIX False False 0.01 -0.07 -0.10 0.0 0.12 -0.12 -0.07 -0.07 -15.16 17.0 -11 -11 caleb_strategy_v3 SP400 False False 0.09 -0.17 -0.08 0.0 0.17 -0.17 -0.17 -0.17 -0.96 2.0 -2 -2 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.08 0.0 0.20 -0.20 -0.03 -0.03 -27.41 68.0 -11 -9 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.07 0.0 0.34 -0.34 -0.04 -0.04 -1.65 8.0 -1 -1 caleb_strategy_v3 DOW False False 0.01 0.00 -0.07 0.0 0.39 -0.39 0.00 0.00 -11.36 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 SP500_micro False False 0.01 0.00 -0.07 0.0 0.36 -0.36 0.00 0.00 -9.48 48.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.11 -0.07 0.0 0.94 -0.94 -0.11 -0.11 -1.95 25.0 -3 -3 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.06 0.0 0.18 -0.18 -0.01 -0.02 -18.35 51.0 -3 -5 caleb_strategy_v3 CORN False False 0.01 -0.02 -0.06 0.0 0.11 -0.11 -0.02 -0.02 -6.05 12.0 -2 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.08 -0.05 0.0 0.24 -0.24 -0.08 -0.08 -4.45 23.0 -8 -8 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.06 -0.06 0.00 0.00 -4.13 5.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.19 -0.05 0.0 0.66 -0.66 -0.19 -0.19 -1.06 14.0 -4 -4 caleb_strategy_v3 SMI False False 0.04 -0.08 -0.04 0.0 0.37 -0.37 -0.08 -0.08 -0.92 9.0 -2 -2 caleb_strategy_v3 PALLAD False False 0.04 -0.04 -0.04 0.0 0.08 -0.08 -0.04 -0.04 -0.98 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 -8.92 3.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.04 0.0 0.65 -0.65 0.00 0.00 -1.05 17.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 -0.04 0.0 0.40 -0.40 -0.01 -0.01 -5.71 56.0 -1 -1 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.04 0.0 0.43 -0.43 -0.02 -0.02 -1.64 19.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.04 -0.04 0.0 0.16 -0.16 -0.04 -0.04 -2.62 11.0 -3 -3 caleb_strategy_v3 RICE False False 0.01 0.00 -0.03 0.0 0.05 -0.05 0.00 0.00 -2.59 4.0 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 -4.52 2.0 0 0 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.03 0.0 0.44 -0.44 -0.02 -0.02 -1.38 21.0 -1 -1 caleb_strategy_v3 GBP False False 0.03 0.00 -0.03 0.0 0.60 -0.60 0.00 0.00 -1.27 22.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.03 0.0 0.10 -0.10 -0.02 -0.02 -2.80 9.0 -2 -2 caleb_strategy_v3 BTP False False 0.04 0.00 -0.03 0.0 0.42 -0.42 0.00 0.00 -0.74 10.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.04 -0.02 0.0 0.51 -0.51 -0.04 -0.04 -0.62 13.0 -1 -1 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.02 0.0 0.84 -0.84 0.00 0.00 -0.38 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 -0.82 12.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -0.85 0.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.09 -0.01 0.0 0.18 -0.18 -0.09 -0.09 -0.24 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 -0.94 10.0 -3 -3 caleb_strategy_v3 DAX False False 0.01 -0.01 -0.01 0.0 0.33 -0.33 -0.01 -0.01 -2.10 58.0 -1 -1 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.24 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 -0.36 6.0 0 0 caleb_strategy_v3 US20 False False 0.04 -0.04 -0.01 0.0 0.36 -0.36 -0.04 -0.04 -0.30 9.0 -1 -1 caleb_strategy_v3 US30 False False 0.04 -0.08 -0.01 0.0 0.24 -0.24 -0.08 -0.08 -0.23 6.0 -2 -2 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.49 -0.49 0.00 0.00 -0.24 10.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.06 9.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 -0.00 0.0 0.09 -0.09 -0.01 -0.01 -0.58 26.0 -4 -3 caleb_strategy_v3 GASOLINE False False 0.03 0.03 0.00 0.0 0.13 -0.13 0.03 0.03 0.12 4.0 1 1 caleb_strategy_v3 OAT False False 0.05 0.00 0.00 0.0 0.47 -0.47 0.00 0.05 0.05 10.0 0 1 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.19 -0.19 0.01 0.01 0.65 23.0 1 1 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.24 3.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.01 0.0 0.31 -0.31 0.00 0.00 0.44 20.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.02 0.01 0.0 0.17 -0.17 -0.02 -0.02 0.69 10.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.02 0.0 0.19 -0.19 0.00 0.00 2.12 18.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.05 0.03 0.0 0.26 -0.26 0.05 0.05 4.02 36.0 7 7 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.03 0.0 0.14 -0.14 0.01 0.01 2.92 13.0 1 1 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.03 0.0 0.12 -0.12 0.00 0.00 1.02 4.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.01 0.03 0.0 0.36 -0.36 0.01 0.01 2.30 26.0 1 1 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.06 -0.06 0.00 0.00 2.07 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 50.44 59.0 17 17 caleb_strategy_v3 MXP False False 0.01 0.02 0.09 0.0 0.60 -0.60 0.02 0.05 9.24 60.0 2 5 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.10 0.0 0.13 -0.13 0.08 0.08 3.58 5.0 3 3 caleb_strategy_v3 DX False False 0.04 0.00 0.14 0.0 37999327.63 -37999327.63 0.00 0.00 3.59 999999999.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.18 0.66 0.0 0.92 -0.92 0.18 0.09 7.17 10.0 2 1 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 11.1 Shocked risk 25.5 Sum abs risk 48.1 Leverage 4.83 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2802023.26, 'annual_cash_vol_target': 700505.815, 'daily_cash_vol_target': 43781.6134375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6401 0.6644 10.6300 BITCOIN 813.5603 35010.0000 2.3238 37.1807 BOBL 0.2663 116.6200 0.2283 3.6531 BTP 0.6382 110.7400 0.5763 9.2207 BUND 0.5457 129.6600 0.4208 6.7335 BUXL 1.2503 121.3200 1.0305 16.4886 CAC 57.9371 6970.5000 0.8312 13.2988 CAD 0.0028 0.7216 0.3921 6.2741 CANOLA 7.0967 673.7000 1.0534 16.8543 CHF 0.0051 1.1072 0.4587 7.3387 COCOA 40.8425 3828.0000 1.0669 17.0711 COFFEE 2.9545 159.5000 1.8524 29.6378 COPPER 0.0344 3.6585 0.9401 15.0419 CORN 4.8702 512.2500 0.9508 15.2120 COTTON2 1.0981 81.6400 1.3450 21.5199 CRUDE_W 1.1859 75.6500 1.5676 25.0811 DAX 119.7499 15054.0000 0.7955 12.7275 DOW 235.7506 33339.0000 0.7071 11.3141 DX 0.3564 106.4750 0.3347 5.3549 EUR 0.0051 1.0594 0.4800 7.6806 EURIBOR-ICE 0.0533 97.3150 0.0547 0.8756 EUROSTX 37.6056 4122.0000 0.9123 14.5970 FEEDCOW 1.9678 240.3750 0.8186 13.0983 GASOIL 14.7773 837.5000 1.7645 28.2312 GASOLINE 0.0394 2.1978 1.7932 28.6907 GAS_US_mini 0.1061 3.7500 2.8282 45.2515 GBP 0.0065 1.2155 0.5314 8.5020 GOLD_micro 14.4598 1986.9000 0.7278 11.6441 HEATOIL 0.0420 2.8502 1.4750 23.5996 JGB-SGX-mini 0.2420 143.9200 0.1681 2.6900 JPY 0.0000 0.0067 0.6249 9.9978 LEANHOG 1.2417 73.3750 1.6922 27.0752 LIVECOW 1.5338 185.2250 0.8281 13.2491 LUMBER-new 7.6036 502.5000 1.5132 24.2104 MILK 0.2048 17.3800 1.1782 18.8518 MXP 0.0005 0.0558 0.8216 13.1457 NASDAQ_micro 147.0337 14735.5000 0.9978 15.9651 NIKKEI 320.7461 30850.0000 1.0397 16.6351 NZD 0.0039 0.5848 0.6628 10.6049 OAT 0.5578 123.9700 0.4499 7.1988 OATIES 6.5985 399.5000 1.6517 26.4272 OJ 5.2701 373.7000 1.4102 22.5639 PALLAD 17.6832 1116.5000 1.5838 25.3408 PLAT 13.4703 932.4000 1.4447 23.1151 REDWHEAT 9.9228 651.2500 1.5236 24.3784 RICE 0.1368 16.2950 0.8397 13.4346 ROBUSTA 35.8459 2309.0000 1.5524 24.8390 RUSSELL 18.1176 1674.8000 1.0818 17.3084 SHATZ 0.0799 105.2750 0.0759 1.2150 SILVER-mini 0.3321 22.8000 1.4564 23.3024 SMI 84.7467 10558.0000 0.8027 12.8428 SOFR 0.0841 95.9700 0.0876 1.4019 SOYBEAN 9.9839 1269.0000 0.7868 12.5880 SOYMEAL 5.1850 409.1000 1.2674 20.2788 SOYOIL 0.7544 49.2800 1.5308 24.4922 SP400 23.6581 2386.9000 0.9912 15.8586 SP500_micro 33.4162 4255.2500 0.7853 12.5647 SUGAR11 0.3382 26.1800 1.2920 20.6719 US10 0.5040 107.0156 0.4710 7.5356 US10U 0.7059 109.7969 0.6429 10.2872 US2 0.1119 101.4219 0.1103 1.7648 US20 1.0726 110.7500 0.9685 15.4956 US30 1.5661 113.7500 1.3768 22.0283 US5 0.3117 105.0391 0.2967 4.7478 VIX 0.6892 19.0500 3.6176 57.8818 WHEAT 8.3114 653.5000 1.2718 20.3492 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 640.10 0.66 425.27 1.00 425.27 43781.61 102.95 -6.13 -63.16 BITCOIN 35.01 2.32 81.36 1.00 81.36 43781.61 538.15 8.66 465.80 BOBL 1166.20 0.23 266.27 1.06 282.52 43781.61 154.97 -2.40 -37.27 BTP 1107.40 0.58 638.19 1.06 677.15 43781.61 64.66 -3.34 -21.56 BUND 1296.60 0.42 545.67 1.06 578.98 43781.61 75.62 -3.16 -23.88 BUXL 1213.20 1.03 1250.25 1.06 1326.58 43781.61 33.00 -7.24 -23.88 CAC 697.05 0.83 579.37 1.06 614.74 43781.61 71.22 -3.37 -24.02 CAD 721.60 0.39 282.96 1.00 282.96 43781.61 154.73 -19.65 -304.02 CANOLA 134.74 1.05 141.93 0.72 102.62 43781.61 426.62 -17.67 -754.04 CHF 1384.06 0.46 634.83 1.00 634.83 43781.61 68.97 -17.82 -122.92 COCOA 382.80 1.07 408.43 1.00 408.43 43781.61 107.20 10.02 107.41 COFFEE 598.12 1.85 1107.94 1.00 1107.94 43781.61 39.52 -7.84 -30.99 COPPER 914.62 0.94 859.86 1.00 859.86 43781.61 50.92 -11.53 -58.69 CORN 256.12 0.95 243.51 1.00 243.51 43781.61 179.79 -13.82 -248.47 COTTON2 408.20 1.34 549.03 1.00 549.03 43781.61 79.74 -15.34 -122.36 CRUDE_W 756.50 1.57 1185.87 1.00 1185.87 43781.61 36.92 8.95 33.04 DAX 150.54 0.80 119.75 1.06 127.06 43781.61 344.57 -1.79 -61.62 DOW 166.70 0.71 117.88 1.00 117.88 43781.61 371.42 -13.16 -488.81 DX 1064.75 0.33 356.35 1.00 356.35 43781.61 122.86 11.27 138.52 EUR 1324.19 0.48 635.66 1.00 635.66 43781.61 68.88 -5.93 -40.82 EURIBOR-ICE 2432.88 0.05 133.13 1.06 141.26 43781.61 309.93 6.78 210.14 EUROSTX 412.20 0.91 376.06 1.06 399.01 43781.61 109.72 1.18 12.93 FEEDCOW 1201.88 0.82 983.91 1.00 983.91 43781.61 44.50 -11.17 -49.71 GASOIL 837.50 1.76 1477.73 1.00 1477.73 43781.61 29.63 7.95 23.55 GASOLINE 923.08 1.79 1655.23 1.00 1655.23 43781.61 26.45 1.06 2.81 GAS_US_mini 93.75 2.83 265.15 1.00 265.15 43781.61 165.12 -0.32 -5.33 GBP 759.69 0.53 403.68 1.00 403.68 43781.61 108.46 -4.51 -48.96 GOLD_micro 198.69 0.73 144.60 1.00 144.60 43781.61 302.78 -5.53 -167.35 HEATOIL 1197.08 1.47 1765.67 1.00 1765.67 43781.61 24.80 2.24 5.54 JGB-SGX-mini 143920.00 0.17 24196.64 0.01 161.11 43781.61 271.75 -2.08 -56.66 JPY 834.19 0.62 521.25 1.00 521.25 43781.61 83.99 -15.16 -127.32 LEANHOG 293.50 1.69 496.66 1.00 496.66 43781.61 88.15 5.46 48.12 LIVECOW 740.90 0.83 613.52 1.00 613.52 43781.61 71.36 -11.82 -84.37 LUMBER-new 138.19 1.51 209.10 1.00 209.10 43781.61 209.38 -20.00 -418.76 MILK 347.60 1.18 409.56 1.00 409.56 43781.61 106.90 -18.06 -193.04 MXP 278.85 0.82 229.10 1.00 229.10 43781.61 191.10 3.29 62.94 NASDAQ_micro 294.71 1.00 294.07 1.00 294.07 43781.61 148.88 -12.85 -191.33 NIKKEI 30850.00 1.04 32074.61 0.01 214.77 43781.61 203.85 1.82 37.10 NZD 584.75 0.66 387.57 1.00 387.57 43781.61 112.96 -4.72 -53.34 OAT 1239.70 0.45 557.77 1.06 591.82 43781.61 73.98 0.20 1.46 OATIES 199.75 1.65 329.93 1.00 329.93 43781.61 132.70 -14.01 -185.94 OJ 560.55 1.41 790.51 1.00 790.51 43781.61 55.38 17.43 96.54 PALLAD 1116.50 1.58 1768.32 1.00 1768.32 43781.61 24.76 -11.62 -28.76 PLAT 466.20 1.44 673.52 1.00 673.52 43781.61 65.00 3.11 20.23 REDWHEAT 325.62 1.52 496.14 1.00 496.14 43781.61 88.24 -20.00 -176.49 RICE 325.90 0.84 273.65 1.00 273.65 43781.61 159.99 -6.64 -106.26 ROBUSTA 230.90 1.55 358.46 1.00 358.46 43781.61 122.14 4.52 55.23 RUSSELL 83.74 1.08 90.59 1.00 90.59 43781.61 483.30 -17.11 -827.09 SHATZ 1052.75 0.08 79.94 1.06 84.82 43781.61 516.15 -6.84 -353.21 SILVER-mini 570.00 1.46 830.15 1.00 830.15 43781.61 52.74 -4.71 -24.82 SMI 1055.80 0.80 847.47 1.11 939.38 43781.61 46.61 -5.80 -27.02 SOFR 2399.25 0.09 210.22 1.00 210.22 43781.61 208.27 -7.47 -155.67 SOYBEAN 634.50 0.79 499.19 1.00 499.19 43781.61 87.70 -2.92 -25.64 SOYMEAL 409.10 1.27 518.50 1.00 518.50 43781.61 84.44 0.72 6.10 SOYOIL 295.68 1.53 452.61 1.00 452.61 43781.61 96.73 -10.42 -100.79 SP400 2386.90 0.99 2365.81 1.00 2365.81 43781.61 18.51 -15.61 -28.89 SP500_micro 212.76 0.79 167.08 1.00 167.08 43781.61 262.04 -15.57 -407.99 SUGAR11 293.22 1.29 378.83 1.00 378.83 43781.61 115.57 8.64 99.86 US10 1070.16 0.47 504.02 1.00 504.02 43781.61 86.86 -9.52 -82.67 US10U 1097.97 0.64 705.94 1.00 705.94 43781.61 62.02 -7.94 -49.23 US2 2028.44 0.11 223.74 1.00 223.74 43781.61 195.68 -9.88 -193.33 US20 1107.50 0.97 1072.59 1.00 1072.59 43781.61 40.82 -5.84 -23.86 US30 1137.50 1.38 1566.08 1.00 1566.08 43781.61 27.96 -6.56 -18.35 US5 1050.39 0.30 311.69 1.00 311.69 43781.61 140.46 -10.97 -154.11 VIX 190.50 3.62 689.16 1.00 689.16 43781.61 63.53 -9.66 -61.39 WHEAT 326.75 1.27 415.57 1.00 415.57 43781.61 105.35 -20.00 -210.71 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -63.159 0.010 2.5 -1.639 BITCOIN 465.796 0.043 2.5 50.442 BOBL -37.265 0.004 2.5 -0.378 BTP -21.563 0.014 2.5 -0.735 BUND -23.878 0.004 2.5 -0.242 BUXL -23.883 0.004 2.5 -0.242 CAC -24.022 0.014 2.5 -0.819 CAD -304.023 0.010 2.5 -7.889 CANOLA -754.043 0.010 2.5 -18.346 CHF -122.917 0.010 2.5 -3.189 COCOA 107.412 0.009 2.5 2.301 COFFEE -30.990 0.005 2.5 -0.362 COPPER -58.690 0.043 2.5 -6.356 CORN -248.468 0.010 2.5 -6.045 COTTON2 -122.359 0.009 2.5 -2.621 CRUDE_W 33.035 0.043 2.5 3.577 DAX -61.623 0.014 2.5 -2.102 DOW -488.806 0.009 2.5 -11.360 DX 138.522 0.010 2.5 3.594 EUR -40.824 0.010 2.5 -1.059 EURIBOR-ICE 210.145 0.014 2.5 7.168 EUROSTX 12.934 0.014 2.5 0.441 FEEDCOW -49.713 0.013 2.5 -1.647 GASOIL 23.554 0.017 2.5 1.021 GASOLINE 2.810 0.017 2.5 0.122 GAS_US_mini -5.325 0.043 2.5 -0.577 GBP -48.955 0.010 2.5 -1.270 GOLD_micro -167.353 0.014 2.5 -5.708 HEATOIL 5.542 0.017 2.5 0.240 JGB-SGX-mini -56.658 0.043 2.5 -6.136 JPY -127.323 0.010 2.5 -3.304 LEANHOG 48.124 0.024 2.5 2.925 LIVECOW -84.374 0.013 2.5 -2.796 LUMBER-new -418.765 0.009 2.5 -8.917 MILK -193.039 0.009 2.5 -4.135 MXP 62.945 0.059 2.5 9.239 NASDAQ_micro -191.327 0.009 2.5 -4.447 NIKKEI 37.102 0.043 2.5 4.018 NZD -53.344 0.010 2.5 -1.384 OAT 1.456 0.014 2.5 0.050 OATIES -185.939 0.010 2.5 -4.524 OJ 96.539 0.009 2.5 2.068 PALLAD -28.762 0.014 2.5 -0.981 PLAT 20.231 0.014 2.5 0.690 REDWHEAT -176.490 0.005 2.5 -2.341 RICE -106.263 0.010 2.5 -2.585 ROBUSTA 55.233 0.005 2.5 0.645 RUSSELL -827.087 0.013 2.5 -27.409 SHATZ -353.211 0.004 2.5 -3.582 SILVER-mini -24.825 0.014 2.5 -0.847 SMI -27.025 0.014 2.5 -0.922 SOFR -155.671 0.024 2.5 -9.461 SOYBEAN -25.635 0.004 2.5 -0.238 SOYMEAL 6.103 0.004 2.5 0.057 SOYOIL -100.786 0.004 2.5 -0.938 SP400 -28.890 0.013 2.5 -0.957 SP500_micro -407.992 0.009 2.5 -9.482 SUGAR11 99.862 0.009 2.5 2.124 US10 -82.673 0.005 2.5 -1.048 US10U -49.227 0.005 2.5 -0.624 US2 -193.335 0.005 2.5 -2.450 US20 -23.858 0.005 2.5 -0.302 US30 -18.347 0.005 2.5 -0.232 US5 -154.108 0.005 2.5 -1.953 VIX -61.393 0.099 2.5 -15.155 WHEAT -210.707 0.005 2.5 -2.795 ===================== Position diags ===================== AUD 2.67 BITCOIN 58.28 BOBL 1.57 BTP 2.21 BUND 0.77 BUXL 0.33 CAC 2.43 CAD 4.01 CANOLA 10.38 CHF 1.79 COCOA 2.30 COFFEE 0.46 COPPER 5.51 CORN 4.37 COTTON2 1.71 CRUDE_W 4.00 DAX 11.75 DOW 8.63 DX 3.19 EUR 1.79 EURIBOR-ICE 10.57 EUROSTX 3.74 FEEDCOW 1.47 GASOIL 1.28 GASOLINE 1.15 GAS_US_mini 17.88 GBP 2.81 GOLD_micro 10.33 HEATOIL 1.07 JGB-SGX-mini 29.43 JPY 2.18 LEANHOG 5.36 LIVECOW 2.36 LUMBER-new 4.46 MILK 2.29 MXP 28.05 NASDAQ_micro 3.46 NIKKEI 22.08 NZD 2.93 OAT 2.52 OATIES 3.23 OJ 1.19 PALLAD 0.84 PLAT 2.22 REDWHEAT 1.17 RICE 3.89 ROBUSTA 1.43 RUSSELL 16.02 SHATZ 5.23 SILVER-mini 1.80 SMI 1.59 SOFR 12.66 SOYBEAN 0.82 SOYMEAL 0.79 SOYOIL 0.90 SP400 0.61 SP500_micro 6.09 SUGAR11 2.46 US10 1.10 US10U 0.79 US2 2.48 US20 0.52 US30 0.35 US5 1.78 VIX 15.68 WHEAT 1.40 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.6 -1.9 -1.4 -1.0 -1 BITCOIN 50.4 44.6 56.3 17.0 17 BOBL -0.4 -0.5 -0.2 0.0 0 BTP -0.7 -1.0 -0.5 0.0 0 BUND -0.2 -0.3 -0.2 0.0 0 BUXL -0.2 -0.3 -0.2 -2.0 -2 CAC -0.8 -1.1 -0.6 0.0 0 CAD -7.9 -8.3 -7.5 -3.0 -3 CANOLA -18.3 -19.4 -17.3 -3.0 -3 CHF -3.2 -3.4 -3.0 -6.0 -6 COCOA 2.3 2.1 2.5 1.0 1 COFFEE -0.4 -0.4 -0.3 0.0 0 COPPER -6.4 -6.9 -5.8 -6.0 -6 CORN -6.0 -6.5 -5.6 -2.0 -2 COTTON2 -2.6 -2.8 -2.4 -3.0 -3 CRUDE_W 3.6 3.2 4.0 3.0 3 DAX -2.1 -3.3 -0.9 -1.0 -1 DOW -11.4 -12.2 -10.5 0.0 0 DX 3.6 3.3 3.9 NaN 0 EUR -1.1 -1.2 -0.9 -4.0 -4 EURIBOR-ICE 7.2 6.1 8.2 2.0 2 EUROSTX 0.4 0.1 0.8 0.0 0 FEEDCOW -1.6 -1.8 -1.5 -1.0 -1 GASOIL 1.0 0.9 1.1 0.0 0 GASOLINE 0.1 0.0 0.2 1.0 1 GAS_US_mini -0.6 -2.4 1.2 -4.0 -4 GBP -1.3 -1.6 -1.0 0.0 0 GOLD_micro -5.7 -6.7 -4.7 -1.0 -1 HEATOIL 0.2 0.1 0.3 0.0 0 JGB-SGX-mini -6.1 -9.1 -3.2 2.0 2 JPY -3.3 -3.5 -3.1 -6.0 -6 LEANHOG 2.9 2.4 3.5 1.0 1 LIVECOW -2.8 -3.0 -2.6 -2.0 -2 LUMBER-new -8.9 -9.4 -8.5 NaN 0 MILK -4.1 -4.4 -3.9 NaN 0 MXP 9.2 6.4 12.0 2.0 2 NASDAQ_micro -4.4 -4.8 -4.1 -8.0 -8 NIKKEI 4.0 1.8 6.2 7.0 7 NZD -1.4 -1.7 -1.1 -1.0 -1 OAT 0.0 -0.2 0.3 0.0 0 OATIES -4.5 -4.8 -4.2 NaN 0 OJ 2.1 1.9 2.2 NaN 0 PALLAD -1.0 -1.1 -0.9 -1.0 -1 PLAT 0.7 0.5 0.9 -1.0 -1 REDWHEAT -2.3 -2.5 -2.2 -4.0 -4 RICE -2.6 -3.0 -2.2 NaN 0 ROBUSTA 0.6 0.5 0.8 1.0 1 RUSSELL -27.4 -29.0 -25.8 -11.0 -11 SHATZ -3.6 -4.1 -3.1 NaN 0 SILVER-mini -0.8 -1.0 -0.7 NaN 0 SMI -0.9 -1.1 -0.8 -2.0 -2 SOFR -9.5 -10.7 -8.2 NaN 0 SOYBEAN -0.2 -0.3 -0.2 -1.0 -1 SOYMEAL 0.1 -0.0 0.1 0.0 0 SOYOIL -0.9 -1.0 -0.8 -3.0 -3 SP400 -1.0 -1.0 -0.9 -2.0 -2 SP500_micro -9.5 -10.1 -8.9 0.0 0 SUGAR11 2.1 1.9 2.4 0.0 0 US10 -1.0 -1.2 -0.9 NaN 0 US10U -0.6 -0.7 -0.5 -1.0 -1 US2 -2.4 -2.7 -2.2 NaN 0 US20 -0.3 -0.4 -0.3 -1.0 -1 US30 -0.2 -0.3 -0.2 -2.0 -2 US5 -2.0 -2.1 -1.8 -3.0 -3 VIX -15.2 -16.7 -13.6 -11.0 -11 WHEAT -2.8 -2.9 -2.7 -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 0.1 0.0 -0.4 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 0.1 -0.4 -0.0 -0.4 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.3 -0.0 0.5 -0.1 0.0 -0.2 0.0 -0.2 -0.0 -0.1 0.2 0.1 0.2 -0.3 -0.2 -0.7 -0.0 0.2 BITCOIN 0.6 0.5 -0.1 -0.0 0.0 -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 -0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 0.1 -0.3 0.0 -0.0 0.2 -0.1 0.0 -0.1 -0.0 -0.1 0.1 -0.2 0.0 1.2 -0.0 0.1 -0.1 0.0 -0.1 0.0 -0.3 0.1 0.2 0.3 0.3 -0.7 -0.7 -0.5 -0.6 BTP 0.2 -0.5 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 0.1 -0.1 -0.1 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.1 0.1 -0.2 -0.0 -0.9 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.8 0.1 0.2 0.1 0.2 -0.5 -0.7 -0.0 0.2 BUND 0.2 -0.2 -0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -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 -0.4 -0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 -0.0 -0.4 -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 0.0 -0.0 -0.0 -0.6 -0.7 -0.4 0.6 CAC -0.3 -0.6 -0.6 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.1 -0.2 -0.1 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 -0.0 0.0 -0.1 0.2 0.4 -0.0 0.2 0.2 0.3 0.1 0.5 0.3 CAD -0.3 -0.3 -0.5 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.2 -0.4 -0.2 -0.6 -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 -0.5 -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 -0.2 -0.1 -0.1 -0.3 0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.5 -0.6 -0.6 -0.2 -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 -0.3 -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 -0.4 0.6 -0.4 -0.1 -0.7 -0.7 -0.7 -0.7 COCOA 0.6 -0.1 0.1 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 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 -2.4 0.1 0.0 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 -0.1 -0.4 0.1 -0.5 0.1 0.0 0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.3 0.1 -2.7 0.0 -0.0 -0.0 0.0 -0.1 0.1 0.0 0.5 0.6 0.6 0.0 -0.7 -0.7 -0.7 -0.4 COPPER 0.1 -0.4 -0.4 -0.0 0.0 -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 -0.0 -0.8 -0.1 0.1 -0.1 0.1 -0.2 -0.0 0.0 0.0 -0.4 -0.4 -0.0 0.1 -0.7 0.2 -0.7 CORN 0.1 0.1 -0.6 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.5 -0.1 -0.7 -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 0.1 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 -0.2 -0.0 -0.2 -2.7 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.0 -0.5 -0.6 -0.0 0.4 -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 0.0 0.3 0.0 0.1 0.2 0.2 0.3 0.3 0.1 0.2 -0.1 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 -0.3 -0.6 -0.6 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.3 -0.1 0.3 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 -0.2 2.2 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 -0.2 0.2 -0.1 -0.1 -0.1 0.3 0.1 0.6 0.3 DOW -0.0 -0.6 -0.5 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 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 -0.0 -0.3 -0.1 0.2 -0.1 0.2 -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 0.1 -0.1 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.4 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.0 0.8 0.2 0.2 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 -0.1 -0.3 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 1.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.4 0.2 0.3 -0.2 -0.3 -0.4 -0.6 -0.3 -0.2 EURIBOR-ICE 0.4 0.2 0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 0.1 -0.2 0.1 0.0 -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 0.4 0.4 0.5 0.5 -0.7 -0.7 0.2 0.6 EUROSTX -0.2 -0.5 -0.6 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.1 -0.2 -0.1 0.4 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 0.1 -0.2 0.6 -0.1 0.0 -0.1 -0.0 0.0 -0.1 0.2 0.4 0.3 0.3 0.2 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 0.1 -0.1 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 0.1 -0.1 -1.1 -0.5 -0.6 -0.5 0.2 0.5 -0.1 0.7 0.2 GASOIL -0.4 -0.5 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 0.2 -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 -0.0 0.1 -0.1 0.2 -0.0 -0.2 0.2 -0.0 0.2 -0.1 -0.0 0.1 0.4 0.4 0.4 -0.1 0.1 -0.1 0.4 -0.1 -2.7 -0.0 -0.0 0.1 -0.0 0.2 -0.0 0.9 0.1 0.2 -0.6 -0.6 0.7 0.3 0.7 0.2 GAS_US_mini 0.0 0.4 0.6 0.0 -0.1 0.2 -0.1 0.2 -0.0 0.1 -0.4 -0.0 -0.7 -0.0 -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 0.3 -0.6 -0.3 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 0.2 0.1 0.2 -0.5 -0.4 -0.2 0.2 0.1 0.7 GOLD_micro 0.6 0.3 -0.4 -0.0 0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.1 0.1 0.1 0.1 0.1 -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 0.0 -0.0 0.0 -1.0 0.1 0.6 0.3 0.2 -0.4 -0.7 -0.3 -0.7 HEATOIL -0.3 -0.4 0.6 0.0 -0.0 0.1 -0.1 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 0.1 0.0 -0.1 0.4 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 -0.0 -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 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 -0.5 -0.4 -0.0 -0.1 -0.0 -0.5 0.4 0.5 JPY 0.2 0.1 -0.5 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.1 -0.5 -0.1 -0.6 -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 -0.2 -0.3 -0.3 -0.6 -0.3 -0.7 -0.2 -0.7 LEANHOG -0.3 -0.3 0.1 -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 -0.3 -0.1 1.6 -0.0 0.0 -0.1 0.0 -0.2 -0.0 1.1 0.2 -0.0 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 -0.0 0.2 -0.1 -0.6 -0.5 -0.6 0.1 0.3 -0.4 -0.7 -0.2 -0.4 LUMBER-new 0.0 -0.2 -0.4 -0.1 -0.0 -0.2 -0.0 -0.2 -0.1 0.2 -0.6 -0.0 -0.7 -0.1 -0.2 -0.4 -0.3 -0.4 -0.4 -0.2 -0.3 0.0 -0.6 -0.1 NaN -0.1 0.1 -0.3 0.0 -0.3 -0.1 -1.2 0.2 -0.2 0.2 -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 -0.5 0.2 -0.1 0.3 -0.7 -0.7 -0.7 -0.7 MXP -0.0 -0.6 -0.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 0.1 0.1 0.4 -0.1 -0.1 0.3 0.3 0.3 0.3 -0.1 -0.0 0.1 0.3 -0.0 -2.7 -0.0 0.1 0.0 0.0 0.2 -0.0 1.1 0.5 0.0 -0.1 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 -0.1 -2.7 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.3 -0.1 0.0 0.1 0.2 0.1 -0.4 0.0 -0.5 NIKKEI -0.2 -0.6 -0.4 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -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 -1.0 -0.0 -0.0 0.0 -0.0 0.2 -0.0 1.1 0.2 0.2 0.4 0.3 -0.1 0.1 -0.1 0.4 NZD -0.3 0.1 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.4 -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 -0.0 0.2 -0.0 -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 -0.0 -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 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.2 -0.0 -0.1 0.1 -0.2 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -1.1 0.3 -0.6 -0.6 -0.0 0.3 0.4 0.7 0.7 OJ -0.2 0.5 0.4 -0.1 -0.0 -0.2 -0.0 -0.2 -0.1 -0.1 0.5 0.1 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 0.0 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 0.0 -0.0 0.0 -0.0 -0.4 -0.1 -0.5 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.1 -0.5 -0.1 0.4 -0.1 -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 0.0 -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 0.1 1.9 0.0 0.1 -0.0 0.1 -0.0 0.0 0.2 0.2 0.1 0.0 0.2 0.0 -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 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.2 -0.5 -0.2 -2.4 -0.1 -0.0 -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 -0.1 -0.2 0.3 -0.1 0.2 -0.1 0.1 -0.4 0.1 -0.3 -0.0 0.0 0.1 -0.1 0.1 -0.1 -2.7 -0.0 -0.1 0.0 -0.1 0.1 -0.0 0.4 -0.2 0.2 0.0 0.6 -0.1 -0.7 0.5 -0.3 ROBUSTA 0.3 -0.4 -0.3 -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 -0.1 0.4 0.0 -2.4 0.0 -0.1 0.1 -0.0 0.2 0.0 1.1 0.3 0.3 0.5 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 -0.0 -0.3 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.1 -0.2 -0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 -0.3 -0.4 -0.1 -0.4 -0.4 -0.7 -0.7 SHATZ 0.2 0.1 0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 0.0 -0.3 0.0 -0.0 -0.4 -0.3 -0.4 -0.4 -0.0 -0.1 0.1 -0.3 0.0 1.4 -0.0 0.1 -0.1 0.0 -0.2 0.0 -1.1 0.1 0.2 0.3 0.3 -0.7 -0.7 -0.4 -0.7 SILVER-mini 0.6 -0.2 -0.3 -0.0 0.0 -0.1 0.0 -0.0 0.0 -0.1 -0.1 0.1 0.1 0.0 -0.0 -0.2 -0.1 -0.2 -0.1 -0.0 -0.1 0.0 -0.1 0.0 0.9 -0.0 -0.0 -0.0 0.0 0.0 0.0 -0.2 -0.4 0.2 -0.1 0.2 -0.5 -0.7 -0.1 -0.7 SMI -0.5 -0.4 -0.4 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.2 -0.1 0.0 -0.1 -0.1 0.1 0.0 0.1 0.0 -0.2 -0.1 -0.1 -0.1 -0.2 0.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 0.7 -0.0 -0.3 0.1 0.2 -0.3 -0.4 -0.2 -0.2 SOFR 0.1 -0.1 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -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 -0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.0 -0.1 0.0 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 0.1 0.2 0.1 0.1 -0.1 -0.1 0.3 0.4 0.3 0.3 -0.0 -0.0 0.0 0.0 -0.0 -2.7 -0.0 0.0 -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 0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.1 0.1 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 -0.5 -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 -0.1 -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 -0.0 -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 -0.2 -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 -0.0 0.0 -0.0 -0.1 0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 0.1 -0.2 -2.2 -0.0 0.0 -0.0 -0.0 0.1 -0.1 -0.4 -0.2 0.0 -0.1 0.1 -0.1 -0.4 -0.1 -0.6 SUGAR11 -0.1 -0.1 -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 0.2 -0.0 -0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.1 -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 -0.1 -0.1 -0.7 -0.7 0.0 0.0 US10U 0.2 -0.1 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 0.0 -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 -0.2 -0.7 -0.7 0.3 0.5 US2 0.2 0.4 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 0.0 -0.3 -0.0 -0.1 -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 0.0 0.0 0.3 0.1 -0.7 -0.7 -0.4 -0.7 US20 0.3 -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 0.0 -0.2 -0.2 -0.2 -0.2 -0.4 -0.7 0.6 0.7 US30 0.2 -0.2 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.3 -0.2 -0.2 -0.1 -0.2 -0.2 -0.7 0.7 0.7 US5 0.1 0.1 -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 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 0.0 -0.3 -0.0 0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.9 -0.0 -0.1 0.1 0.0 -0.7 -0.7 -0.3 -0.6 VIX 0.5 1.0 1.0 0.0 -0.1 -0.1 -0.0 -0.4 0.0 -0.2 -0.5 -0.0 -0.9 0.1 0.1 -0.6 -0.6 -0.6 -0.6 0.0 -0.1 -0.1 -0.7 0.1 NaN 0.0 -0.1 -0.1 -0.0 -0.5 0.0 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 -0.1 -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 1.9 0.5 -13.7 -4.1 -0.2 -1.9 -2.3 0.2 -3.8 9.7 -14.2 -2.4 -11.5 -6.8 -14.1 -3.3 -3.0 -3.3 -3.2 -9.2 -11.8 1.8 -11.7 -3.9 3.5 -4.9 4.4 -5.7 1.0 -5.2 -2.3 -1.4 10.0 3.2 4.6 -8.0 -6.6 -20.0 -1.2 4.6 BITCOIN 20.0 16.0 -3.8 -2.1 3.3 -3.1 6.8 -0.9 3.2 20.0 11.1 20.0 10.3 20.0 10.4 -6.6 -4.7 -6.2 -5.7 20.0 10.3 20.0 3.8 20.0 -20.0 6.2 7.5 2.2 12.0 0.8 11.2 -0.6 20.0 20.0 20.0 13.7 -3.0 20.0 -1.1 20.0 BOBL 7.1 -1.4 2.0 -2.4 2.2 -2.5 0.7 -2.3 -1.1 7.6 -5.6 5.8 -7.7 1.5 -2.3 10.2 -4.2 1.1 -4.2 -2.5 -5.2 6.9 -8.9 1.8 8.9 -1.3 5.7 -2.3 3.6 -3.4 0.9 -5.1 4.2 7.6 8.6 9.0 -20.0 -20.0 -15.1 -18.2 BTP 7.4 -16.7 -12.0 -3.4 3.2 -3.7 1.1 -3.4 -1.6 10.9 -7.0 6.7 -2.4 -5.5 -8.8 7.4 7.6 6.6 6.5 -9.4 -8.7 7.4 -6.9 -2.3 -6.6 -3.2 4.6 -2.8 2.6 -1.8 -0.8 15.2 3.5 5.6 3.0 5.2 -13.7 -20.0 -1.0 6.9 BUND 5.9 -6.9 -2.9 -2.5 2.4 -2.7 0.8 -2.5 -1.2 7.9 -7.0 3.5 -8.6 -2.5 -5.6 -2.3 5.3 -0.3 2.1 -5.3 -7.3 4.3 -10.1 -1.0 6.0 -2.3 3.9 -2.8 1.9 -3.2 -0.4 9.7 -0.5 5.7 5.7 5.7 -20.0 -20.0 -20.0 -3.0 BUXL 3.8 -13.5 -7.9 -2.7 2.6 -2.9 0.9 -2.7 -1.2 5.8 -8.9 -3.8 -9.8 -6.3 -8.0 0.5 0.8 0.5 0.8 -10.8 -12.2 -1.3 -14.4 -6.4 1.4 -3.2 1.1 -3.3 -0.3 -3.1 -1.9 4.7 -10.0 1.3 -0.4 -1.0 -19.1 -20.0 -12.0 17.4 CAC -9.5 -19.4 -17.9 -5.9 1.6 -3.7 -3.5 -0.9 -5.9 10.9 -8.6 -11.0 13.3 -16.7 -18.2 -4.5 -2.5 -5.5 -4.6 -20.0 -11.6 -9.1 3.2 -20.0 -5.3 -6.7 3.2 -3.7 -3.0 0.4 -6.6 4.3 16.1 -0.2 5.7 5.2 9.9 3.1 16.3 9.0 CAD -10.2 -8.5 -13.9 -6.0 -0.2 -2.8 -3.3 0.4 -5.7 -18.7 -15.5 -20.0 -15.4 -20.0 -20.0 -2.7 -2.2 -2.5 -2.4 -20.0 -16.1 -20.0 -12.0 -20.0 2.1 -7.7 -6.4 -5.4 -8.7 -3.5 -8.8 0.0 -20.0 -20.0 -3.2 -18.0 -20.0 -20.0 -15.7 -20.0 CANOLA -10.1 -20.0 -9.0 -3.3 -1.4 -3.0 -1.6 -2.8 -2.6 -10.5 -1.6 -10.7 -4.2 -12.2 -10.9 -16.9 4.5 -10.4 -2.8 -19.5 -11.3 -17.6 -6.7 -20.0 -20.0 -3.8 -3.6 -2.5 -3.6 -2.0 -4.1 1.0 -20.0 -17.0 -20.0 -6.3 -9.3 -2.4 9.3 9.7 CHF 18.0 -14.4 -16.4 -5.2 -0.2 -2.4 -2.9 0.3 -4.9 -14.3 -9.3 -4.6 5.7 -3.9 -11.9 -16.8 -14.8 -16.7 -15.8 -11.4 -9.4 -13.3 -1.2 -7.5 -9.0 -4.0 -7.6 -3.2 -4.6 -0.6 -2.7 -20.0 -15.3 20.0 -11.4 -4.0 -20.0 -20.0 -20.0 -20.0 COCOA 20.0 -3.3 1.8 -5.9 -2.5 -5.4 -2.8 -5.1 -4.7 11.8 20.0 19.6 20.0 17.7 16.5 -4.3 -2.6 -4.0 -3.3 20.0 20.0 20.0 20.0 20.0 -17.8 6.9 3.7 8.1 8.7 9.9 8.7 -6.4 20.0 20.0 20.0 20.0 6.0 -5.5 20.0 6.4 COFFEE 20.0 13.1 -2.0 -5.6 -2.3 -5.1 -2.7 -4.8 -4.4 -8.0 -15.0 9.6 -15.2 9.6 2.6 1.0 1.4 -0.5 0.2 3.8 -7.2 8.6 -12.8 12.3 -20.0 2.7 -0.2 -0.9 4.5 -2.3 6.1 0.0 20.0 20.0 20.0 0.7 -20.0 -20.0 -20.0 -11.8 COPPER 1.7 -11.6 -12.0 -1.7 2.7 -2.5 5.5 -0.7 2.6 18.0 -16.8 13.2 -6.4 -10.5 -16.5 -8.0 -3.8 -6.8 -5.4 -13.1 -14.7 8.5 -12.0 -3.8 -6.1 -4.8 6.8 -5.2 4.7 -4.2 -0.9 0.6 1.8 -13.5 -13.3 -0.3 2.6 -20.0 7.5 -20.0 CORN 3.4 1.8 -20.0 -5.4 -2.3 -4.9 -2.6 -4.6 -4.3 -11.8 -19.0 -11.6 -18.3 -2.0 -17.3 -4.9 1.5 -5.5 -3.5 -8.5 -18.9 -5.1 -20.0 -3.7 -19.0 -1.9 -1.9 -4.6 -3.2 -7.5 -2.0 -3.1 -2.5 3.2 17.0 -2.4 -7.2 -1.1 3.1 5.8 COTTON2 -18.5 -10.7 4.6 -5.0 -2.1 -4.6 -2.4 -4.3 -4.0 -16.1 7.1 -16.5 -8.7 -16.1 -4.4 -8.8 2.6 -4.4 -1.0 -8.5 -0.1 -20.0 -0.2 -17.4 -20.0 -3.4 -14.7 0.6 -10.7 1.8 -7.9 -0.0 -20.0 -20.0 -0.6 13.6 -19.9 -14.3 2.6 7.0 CRUDE_W -2.6 -10.3 18.6 1.3 -5.1 4.7 -4.6 4.6 -2.8 -16.5 13.6 4.1 7.7 0.8 10.8 10.8 11.5 14.1 12.7 10.6 16.7 -7.3 14.2 0.3 -5.2 3.7 -4.6 6.8 -3.0 6.8 -0.5 -20.0 7.5 7.7 13.8 0.7 20.0 10.0 20.0 9.0 DAX -8.4 -20.0 -20.0 -5.2 1.4 -3.2 -3.1 -0.8 -5.2 2.0 -12.4 -12.9 9.6 -16.3 -17.6 -9.5 -8.0 -9.6 -9.1 -20.0 -14.3 -11.9 -1.5 -20.0 16.4 -6.3 1.8 -4.2 -3.2 -1.0 -5.9 -4.3 7.0 -1.6 -2.6 -3.3 10.3 1.9 18.3 10.2 DOW -0.7 -20.0 -16.1 -4.3 1.2 -2.7 -2.6 -0.7 -4.3 4.6 -5.1 -5.6 6.4 -10.8 -11.7 -10.2 -8.9 -11.0 -10.5 -14.8 -8.5 -8.4 -1.8 -14.8 -8.9 -4.4 1.0 -2.1 -2.8 0.2 -4.6 -6.4 -3.0 4.9 -1.7 7.6 -15.8 -7.4 -20.0 -8.3 DX -5.7 14.3 20.0 -6.2 -0.2 -2.9 -3.4 0.4 -5.8 12.4 20.0 11.8 -4.1 17.3 20.0 7.5 5.9 7.3 6.6 20.0 20.0 6.4 16.2 14.7 -20.0 7.8 1.5 7.4 2.0 5.3 4.6 14.7 10.0 7.1 20.0 20.0 5.0 8.1 8.5 20.0 EUR 9.4 -10.4 -17.4 -4.3 -0.2 -2.0 -2.4 0.3 -4.0 -9.9 -12.5 -1.4 3.4 -7.2 -13.4 -6.5 -6.9 -6.7 -6.7 -11.3 -11.1 -1.1 -6.4 -4.9 12.0 -4.7 -0.6 -4.4 -0.4 -2.5 -2.1 -7.6 8.9 9.6 -4.7 -9.4 -10.8 -17.7 -8.1 -5.1 EURIBOR-ICE 12.2 5.5 6.9 -2.3 2.1 -2.4 0.7 -2.2 -1.0 7.4 -3.1 7.4 -6.8 5.1 3.3 -4.0 -7.4 -6.4 -7.5 2.1 -1.7 13.3 -6.8 7.2 17.1 0.9 8.2 -0.6 6.1 -2.5 3.2 -10.1 15.2 13.6 15.0 14.6 -20.0 -20.0 6.0 18.5 EUROSTX -5.2 -15.9 -17.7 -5.4 1.4 -3.3 -3.2 -0.8 -5.4 8.9 -8.7 -10.3 11.4 -14.9 -17.2 -5.4 -2.4 -5.4 -4.5 -16.2 -9.6 -5.8 2.5 -14.3 4.6 -6.1 3.9 -3.9 -2.0 0.1 -5.4 4.5 17.9 8.1 9.9 4.7 6.9 4.5 11.3 13.9 FEEDCOW -20.0 -20.0 -18.9 -4.5 -1.9 -4.1 -2.1 -3.8 -3.5 -7.8 5.5 -13.2 11.6 -15.5 -9.8 -13.0 -20.0 -13.2 -20.0 -20.0 1.6 -20.0 15.1 -20.0 -2.2 -3.3 -1.5 1.2 -5.4 4.1 -6.4 -20.0 -20.0 -20.0 -14.4 7.3 14.1 -2.8 20.0 7.0 GASOIL -11.7 -14.9 20.0 1.0 -3.9 3.5 -3.5 3.5 -2.1 -11.3 11.0 -3.4 7.2 -3.8 8.6 20.0 20.0 20.0 20.0 6.3 14.0 -7.6 13.5 -3.7 8.2 2.5 -2.2 5.4 -2.4 4.9 -1.2 0.0 5.9 -0.6 7.3 11.6 -9.2 0.8 -14.5 -4.7 GASOLINE -3.6 -20.0 2.8 1.3 -5.3 4.8 -4.8 4.7 -2.9 -17.1 9.0 -3.5 6.9 -10.6 -1.8 5.4 20.0 20.0 20.0 -4.7 6.3 -11.1 13.6 -10.0 -20.0 -2.2 -5.1 2.4 -3.9 5.9 -4.0 17.4 4.2 6.1 -17.9 -19.5 20.0 10.0 20.0 5.6 GAS_US_mini 0.1 13.0 20.0 1.6 -6.5 5.9 -5.8 5.8 -3.5 9.9 -16.0 -1.0 -20.0 -3.2 -11.0 -20.0 -20.0 -20.0 -20.0 -1.9 -10.6 5.0 -20.0 0.6 20.0 1.5 9.6 0.1 4.2 -2.9 1.4 -20.0 20.0 20.0 9.6 -20.0 -7.7 6.2 -13.5 1.5 GBP 5.3 -17.9 -17.7 -5.0 -0.2 -2.3 -2.7 0.3 -4.6 -6.6 -10.1 -9.5 7.1 -13.9 -16.9 -1.0 -0.8 -0.6 -0.6 -15.8 -11.5 -3.7 -3.5 -10.0 0.6 -5.7 -0.1 -4.2 -1.2 -1.9 -3.6 2.8 5.8 6.3 -14.0 -12.7 -5.0 6.8 1.9 20.0 GOLD_micro 20.0 10.4 -11.4 -1.3 2.1 -1.9 4.3 -0.6 2.0 -5.0 -5.0 12.7 2.0 12.4 5.0 -15.1 -14.6 -16.8 -16.3 6.9 -1.8 16.8 -1.6 18.5 -6.4 1.6 0.4 -0.3 4.2 -0.0 4.5 -18.3 4.2 20.0 9.6 4.8 -10.6 -20.0 -8.7 -20.0 HEATOIL -8.1 -13.5 20.0 1.3 -5.3 4.8 -4.8 4.8 -2.9 -13.7 13.1 -2.0 8.2 -5.9 9.7 20.0 20.0 20.0 20.0 7.0 18.2 -11.2 18.5 -6.2 -20.0 1.9 -2.9 6.9 -3.7 8.2 -2.6 1.2 5.3 0.8 -2.3 10.8 7.0 -2.2 -0.7 -6.6 JGB-SGX-mini 0.1 -12.6 -18.8 -2.7 2.6 -2.9 0.9 -2.7 -1.2 -4.5 -4.7 -7.7 2.0 -8.1 -9.1 6.9 20.0 15.4 16.5 -10.3 -7.0 -12.7 -2.1 -11.6 -1.6 -3.3 -3.5 -2.3 -4.2 -1.3 -3.8 20.0 -20.0 -12.4 -1.0 -3.2 -0.1 -16.4 13.2 13.5 JPY 7.0 1.9 -16.4 -4.5 -0.2 -2.1 -2.5 0.3 -4.2 -7.0 -18.0 -11.1 -17.1 -15.2 -17.5 -20.0 -15.8 -19.1 -17.7 -18.7 -20.0 -10.4 -20.0 -12.4 20.0 -6.6 -5.6 -7.8 -4.6 -8.1 -4.9 -20.0 -10.2 -10.1 -7.9 -17.5 -8.3 -20.0 -4.8 -20.0 LEANHOG -9.8 -8.6 2.4 -3.1 -1.3 -2.9 -1.5 -2.7 -2.5 7.1 -2.3 -1.0 -5.7 -6.9 -7.5 -10.6 20.0 20.0 20.0 -7.7 -7.5 1.7 -9.5 -5.8 12.1 -3.3 2.6 -4.4 1.0 -6.2 -2.0 20.0 9.7 -0.7 0.9 -3.0 -8.3 -3.0 12.1 20.0 LIVECOW -20.0 -20.0 -15.3 -4.3 -1.8 -4.0 -2.1 -3.7 -3.4 0.2 9.8 -6.2 12.9 -9.7 -4.9 -16.0 -5.0 -18.4 -9.9 -7.4 5.0 -9.6 12.5 -15.2 0.1 -2.3 0.6 2.5 -4.3 5.7 -5.6 -11.6 -20.0 -20.0 3.4 10.6 -13.3 -20.0 -6.2 -12.9 LUMBER-new 0.0 -4.2 -11.9 -6.6 -2.8 -5.8 -3.2 -4.6 -5.2 20.0 -20.0 -2.3 -20.0 -11.8 -20.0 -18.5 -14.8 -16.9 -15.6 -16.8 -20.0 0.4 -18.4 -9.5 NaN -7.7 5.6 -8.1 0.5 -6.3 -4.7 -20.0 5.5 -5.1 4.0 -20.0 -14.0 -20.0 -6.9 -18.5 MILK 3.3 -9.5 -2.9 -4.1 -1.7 -3.8 -2.0 -3.5 -3.3 -13.6 -7.6 -12.9 -12.1 -12.8 -1.6 -19.1 -20.0 -19.8 -20.0 -8.0 -12.1 -12.5 -20.0 -9.0 3.3 -2.9 -6.0 -5.5 -4.6 -9.0 -2.7 -20.0 -20.0 5.3 -4.0 9.2 -20.0 -20.0 -20.0 -20.0 MXP -0.9 -20.0 -19.9 -3.6 -0.1 -1.7 -2.0 0.2 -3.3 11.8 4.3 4.7 10.4 -8.1 -9.3 12.6 16.5 14.1 15.3 -7.7 -0.4 5.8 10.4 -4.4 -20.0 -2.9 5.8 0.0 2.3 4.2 -1.6 20.0 19.0 0.9 -4.1 1.3 13.1 12.1 20.0 20.0 NASDAQ_micro -9.8 -20.0 -19.4 -3.5 0.9 -2.1 -2.1 -0.5 -3.5 2.8 4.3 -6.3 7.3 -8.1 -8.5 -9.3 -8.6 -9.8 -9.6 -8.0 0.7 -8.4 7.5 -11.5 -20.0 -2.8 1.3 0.6 -3.0 3.7 -4.0 -5.4 -4.0 1.3 2.8 6.8 2.5 -13.0 0.9 -15.8 NIKKEI -4.9 -20.0 -13.7 -4.1 -1.7 -2.5 -4.0 -0.6 -4.6 -9.4 7.7 -8.8 9.9 -8.5 -6.4 3.4 10.5 6.9 9.1 -6.7 2.5 -11.8 10.3 -11.3 -7.2 -2.9 -2.5 1.3 -4.4 4.7 -4.6 20.0 9.6 4.8 11.9 8.1 -2.5 2.7 -2.8 11.6 NZD -9.4 2.1 -12.7 -3.9 -0.1 -1.8 -2.1 0.2 -3.6 7.4 -13.1 -11.0 -3.3 -11.3 -13.7 -0.1 0.2 -0.1 0.1 -9.8 -10.0 -6.2 -9.2 -9.2 0.9 -4.3 0.4 -4.0 -3.0 -3.4 -4.3 4.3 -0.3 -7.4 6.4 -5.0 4.4 -15.6 10.2 8.4 OAT 5.5 -9.4 -4.8 -2.7 2.6 -2.9 0.9 -2.7 -1.3 8.6 -7.7 2.6 -9.2 -4.0 -6.7 5.9 7.8 6.0 6.6 -6.5 -8.0 4.3 -10.1 -1.7 8.3 -2.6 4.0 -2.9 1.9 -3.2 -0.7 15.6 -0.5 5.0 5.2 5.6 -20.0 -20.0 -8.3 10.0 OATIES -19.5 -20.0 -3.0 -3.6 -1.5 -3.3 -1.7 -3.1 -2.9 -2.8 0.2 -5.8 -2.1 -10.7 -10.2 -19.3 -8.6 -18.4 -15.4 -16.2 -3.6 -7.9 3.9 -16.4 -20.0 -3.0 -2.6 -0.7 -1.6 0.7 -3.1 -20.0 13.7 -20.0 -20.0 -1.2 10.2 11.2 20.0 20.0 OJ -4.7 14.6 11.9 -6.6 -2.7 -6.0 -3.2 -5.6 -5.2 -13.2 20.0 10.5 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 17.4 20.0 20.0 -20.0 9.5 -3.1 10.1 3.1 10.6 7.3 20.0 20.0 20.0 20.0 20.0 2.6 8.2 16.4 20.0 PALLAD -9.2 -3.8 -6.8 -1.2 1.9 -1.7 3.8 -0.5 1.8 -0.9 -14.1 -6.1 -14.7 -10.7 -12.2 -2.5 -2.7 -2.8 -2.8 -15.8 -20.0 -7.0 -20.0 -12.2 2.9 -4.7 -2.3 -4.8 -2.4 -5.2 -4.0 3.6 -17.0 -20.0 -9.9 -7.1 -10.1 -8.2 2.7 -3.9 PLAT 13.7 0.8 -8.4 -1.2 1.8 -1.7 3.8 -0.5 1.8 8.8 -11.2 11.2 -5.6 1.6 -5.8 -3.7 -2.7 -3.7 -3.3 -3.1 -7.4 11.8 -6.7 4.8 14.0 0.2 6.8 -1.2 6.8 -1.2 3.4 3.2 8.3 2.9 1.5 6.1 1.5 -17.2 8.9 -13.7 REDWHEAT -5.7 -18.5 -20.0 -5.2 -2.2 -4.8 -2.5 -4.4 -4.1 -12.7 -19.5 -16.7 -19.5 -18.9 -20.0 -6.4 -0.3 -4.8 -2.6 -20.0 -20.0 -20.0 -20.0 -20.0 -18.4 -7.1 -5.0 -6.2 -6.1 -4.1 -6.6 -3.4 -20.0 -14.9 -13.5 -20.0 -20.0 -20.0 -20.0 -11.0 RICE -1.5 -3.8 7.2 -5.9 -2.5 -5.4 -2.8 -5.1 -4.7 -19.8 9.7 -8.7 5.9 -9.4 4.7 -20.0 7.0 -14.2 -0.4 1.4 5.6 -12.3 5.5 -4.7 -20.0 -0.4 -12.4 1.5 -7.3 1.7 -2.9 7.7 -8.5 6.1 0.4 19.5 -3.6 -20.0 16.1 -8.9 ROBUSTA 9.4 -11.0 -9.1 -4.3 -1.8 -3.9 -2.0 -3.6 -3.4 -12.5 9.4 -2.4 11.8 -0.6 -1.4 20.0 20.0 20.0 20.0 1.8 6.3 -6.7 13.4 0.9 -18.0 1.3 -7.1 2.6 -1.6 5.1 1.5 20.0 11.3 10.3 16.6 4.8 -2.9 -11.9 18.0 -0.2 RUSSELL -9.9 -20.0 -19.7 -3.8 1.0 -2.3 -2.3 -0.6 -3.8 -3.4 -10.4 -10.3 -7.3 -12.4 -12.8 -6.8 -6.3 -7.5 -7.2 -20.0 -14.5 -14.8 -8.1 -20.0 -2.1 -4.3 -0.5 -2.6 -3.1 -0.9 -4.5 -1.3 -6.4 -9.3 -11.0 -2.1 -12.0 -13.3 -20.0 -20.0 SHATZ 7.2 3.4 3.1 -2.4 2.2 -2.5 0.7 -2.3 -1.1 7.6 -7.1 4.5 -8.2 1.4 -3.0 -20.0 -13.1 -20.0 -20.0 -2.4 -6.8 7.4 -12.5 2.4 10.3 -0.9 5.6 -2.5 3.8 -4.4 1.4 -20.0 6.1 6.8 9.6 10.5 -20.0 -20.0 -12.9 -20.0 SILVER-mini 17.1 -5.7 -10.7 -1.3 2.1 -1.9 4.2 -0.6 2.0 -10.3 -5.2 9.1 1.8 3.4 -4.3 -7.6 -6.4 -7.5 -7.1 -3.8 -5.5 1.4 -2.7 1.7 7.0 -0.5 -3.6 -0.6 0.6 0.2 1.0 -3.3 -17.5 5.0 -4.6 6.8 -13.7 -20.0 -4.2 -20.0 SMI -16.4 -13.8 -13.9 -4.1 1.1 -2.5 -2.5 -0.6 -4.1 5.3 -6.8 -10.7 0.8 -12.2 -12.5 4.8 2.0 2.8 1.5 -16.1 -10.1 -11.2 -4.4 -18.5 4.9 -4.3 1.6 -2.5 -3.2 -1.4 -5.2 13.0 -1.8 -9.9 3.9 5.2 -7.6 -12.5 -6.0 -7.3 SOFR 3.7 -2.9 -13.0 -2.3 2.2 -2.5 0.7 -2.3 -1.1 6.2 -7.2 1.1 -6.0 -3.6 -6.4 0.7 -0.8 -0.5 -0.8 -7.4 -7.9 1.7 -6.8 -3.9 -1.4 -2.7 2.6 -2.7 0.5 -2.2 -1.5 1.6 0.2 -3.2 1.4 1.2 -20.0 -20.0 -4.9 -7.9 SOYBEAN 3.1 -9.8 0.2 -5.5 -2.3 -5.0 -2.6 -4.7 -4.3 8.1 6.6 13.6 3.7 -8.4 -10.0 16.1 17.7 13.4 14.2 -3.7 -0.9 4.3 0.1 -1.0 -20.0 -1.3 4.1 -0.1 3.4 0.7 0.3 20.0 10.9 7.5 3.8 6.1 -20.0 -5.8 -20.0 -0.2 SOYMEAL 20.0 2.7 -2.5 -3.8 -1.6 -3.5 -1.8 -3.2 -3.0 4.8 -3.7 11.5 1.5 9.2 3.7 17.1 17.5 13.9 15.4 6.2 0.7 13.7 1.4 13.4 -20.0 2.8 2.7 1.5 5.0 2.2 5.0 20.0 20.0 20.0 18.3 10.4 -20.0 -20.0 -20.0 -19.7 SOYOIL -16.2 -20.0 -6.3 -2.9 -1.2 -2.7 -1.4 -2.5 -2.3 -9.0 0.3 -9.5 -1.9 -10.5 -9.0 8.1 11.5 11.3 11.3 -16.5 -7.6 -14.8 -2.0 -18.8 -20.0 -3.3 -3.0 -1.6 -3.1 -0.5 -3.8 17.7 -20.0 -20.0 -20.0 -7.6 -5.7 4.1 12.6 19.8 SP400 -7.2 -20.0 -20.0 -3.5 0.9 -2.2 -2.1 -0.5 -3.5 -1.4 -8.4 -8.4 -1.0 -10.8 -11.2 -5.2 -5.1 -5.4 -5.4 -17.4 -10.9 -12.4 -4.3 -18.1 -8.8 -3.9 -0.1 -2.2 -2.9 -0.5 -4.2 1.3 -6.9 -5.3 -7.2 0.3 -7.0 -14.2 -14.6 -20.0 SP500_micro -7.8 -20.0 -20.0 -4.2 1.1 -2.6 -2.5 -0.6 -4.2 2.0 -0.2 -7.8 5.9 -11.0 -11.3 -10.3 -9.8 -11.2 -11.0 -15.0 -5.7 -11.9 2.3 -17.6 -16.2 -4.0 1.1 -1.1 -3.3 1.4 -4.8 -7.6 -7.5 0.4 -4.4 4.6 -3.0 -12.2 -3.3 -17.1 SUGAR11 -2.6 -2.5 -0.1 -5.2 -2.2 -4.8 -2.5 -4.5 -4.1 5.8 18.3 11.1 18.2 12.3 16.9 20.0 16.4 20.0 17.3 15.2 20.0 4.0 20.0 8.9 -20.0 5.7 2.8 8.9 1.6 14.0 3.5 20.0 3.1 20.0 20.0 20.0 -20.0 -19.0 9.0 3.4 US10 4.8 -1.1 -10.3 -2.2 2.0 -2.3 0.7 -2.1 -1.0 4.5 -7.5 -2.3 -7.6 -5.4 -6.9 -5.2 -7.1 -7.0 -7.7 -9.2 -10.1 -1.2 -9.8 -6.0 1.1 -2.7 1.3 -2.8 -0.4 -2.5 -1.8 -10.0 -5.3 -5.5 -2.1 -2.3 -20.0 -20.0 0.6 0.4 US10U 5.8 -3.8 -12.1 -2.6 2.5 -2.8 0.8 -2.6 -1.2 5.1 -9.2 -3.6 -9.2 -7.0 -8.6 0.5 -0.4 0.4 -0.3 -12.1 -12.7 -2.3 -11.9 -8.1 -2.1 -3.3 1.1 -3.4 -0.6 -2.8 -2.3 2.2 -8.9 -7.5 -4.1 -4.9 -20.0 -20.0 8.3 15.2 US2 6.7 13.4 -1.4 -2.4 2.2 -2.5 0.7 -2.3 -1.1 5.7 -8.4 0.6 -8.5 -2.7 -6.5 -20.0 -20.0 -20.0 -20.0 -6.3 -11.3 1.7 -15.5 -1.8 8.4 -2.3 2.6 -4.0 0.9 -5.7 -0.6 -20.0 0.5 0.7 8.2 4.4 -20.0 -20.0 -11.6 -20.0 US20 7.8 -5.9 -14.6 -1.9 1.8 -2.0 0.6 -1.9 -0.9 3.6 -6.7 -2.8 -6.4 -5.3 -6.4 -0.1 -1.7 -1.4 -1.8 -10.0 -10.1 -2.1 -8.9 -6.8 -1.9 -2.4 0.6 -2.4 -0.5 -2.0 -1.6 0.0 -7.4 -6.4 -5.7 -6.8 -10.7 -20.0 18.3 20.0 US30 6.6 -6.3 -12.0 -2.0 1.9 -2.1 0.6 -1.9 -0.9 2.6 -6.9 -3.7 -6.7 -5.8 -6.7 -4.1 -4.1 -5.3 -5.1 -9.7 -9.9 -2.8 -9.1 -6.9 -1.4 -2.5 0.3 -2.5 -0.7 -2.0 -1.8 -4.7 -10.1 -6.9 -4.6 -6.1 -6.6 -20.0 20.0 20.0 US5 4.1 3.1 -7.5 -2.3 2.1 -2.4 0.7 -2.2 -1.0 5.2 -7.9 -0.9 -7.9 -4.6 -6.9 -9.1 -10.5 -11.6 -11.9 -7.8 -9.6 0.5 -10.5 -4.2 3.3 -2.7 2.2 -3.2 0.2 -3.2 -1.5 -16.5 -1.6 -2.9 2.2 1.3 -20.0 -20.0 -9.2 -18.1 VIX 9.6 20.0 20.0 1.4 -7.4 -3.0 -1.5 -7.0 2.3 -12.3 -12.1 -0.6 -14.8 6.3 4.9 -20.0 -20.0 -20.0 -20.0 1.5 -7.1 -4.6 -15.6 3.1 NaN 1.6 -8.6 -3.4 -1.7 -8.4 2.6 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 3.8 -7.0 -20.0 -5.2 -2.2 -4.7 -2.5 -4.4 -4.1 -15.7 -18.4 -10.0 -19.7 -8.4 -18.3 -12.0 -10.2 -11.7 -11.2 -17.0 -20.0 -9.0 -20.0 -8.8 -5.5 -5.8 -7.1 -7.7 -5.1 -8.3 -4.0 -20.0 -5.5 2.5 5.6 -12.7 -20.0 -16.9 -20.0 -13.2 End of report for caleb_strategy_v3