******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231102_204341 produced at 2023-11-02 21:39:36.176165 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.74 0.0 0.00 0.00 0.00 0.00 -8.50 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.00 -0.29 0.0 0.55 -0.55 0.00 -0.24 -8.33 16.0 0 -7 caleb_strategy_v3 COPPER False False 0.03 -0.20 -0.19 0.0 0.20 -0.20 -0.20 -0.17 -5.64 6.0 -6 -5 caleb_strategy_v3 US2 False True 0.07 0.00 -0.18 0.0 0.00 0.00 0.00 0.00 -2.50 13.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.35 -0.17 0.0 0.65 -0.65 -0.35 -0.35 -3.34 13.0 -7 -7 caleb_strategy_v3 CAD False False 0.03 -0.08 -0.16 0.0 0.76 -0.76 -0.08 -0.13 -6.22 29.0 -3 -5 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.16 0.0 0.00 0.00 0.00 0.00 -3.89 24.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.07 -0.11 0.0 0.11 -0.11 -0.07 -0.09 -16.29 17.0 -11 -14 caleb_strategy_v3 JPY False False 0.03 -0.18 -0.10 0.0 0.51 -0.51 -0.18 -0.21 -3.26 17.0 -6 -7 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.07 0.0 0.35 -0.35 -0.04 -0.04 -1.51 8.0 -1 -1 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.07 0.0 0.21 -0.21 -0.03 -0.03 -22.58 68.0 -9 -9 caleb_strategy_v3 LIVECOW False False 0.03 -0.05 -0.07 0.0 0.46 -0.46 -0.05 -0.05 -2.68 17.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.18 -0.18 -0.02 -0.02 -18.27 51.0 -5 -5 caleb_strategy_v3 SP400 False False 0.09 -0.18 -0.07 0.0 0.18 -0.18 -0.18 -0.18 -0.83 2.0 -2 -2 caleb_strategy_v3 US5 False False 0.04 -0.11 -0.07 0.0 0.95 -0.95 -0.11 -0.11 -1.86 25.0 -3 -3 caleb_strategy_v3 CORN False False 0.01 -0.02 -0.06 0.0 0.11 -0.11 -0.02 -0.05 -6.74 12.0 -2 -5 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.06 0.0 0.38 -0.38 0.00 0.00 -7.94 48.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 -0.06 0.0 0.40 -0.40 0.00 -0.01 -9.33 66.0 0 -2 caleb_strategy_v3 EUR False False 0.05 -0.19 -0.05 0.0 0.67 -0.67 -0.19 -0.10 -1.01 14.0 -4 -2 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.06 -0.06 0.00 0.00 -4.18 5.0 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 -6.10 56.0 -1 -1 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.04 0.0 0.02 -0.02 0.00 0.00 -7.62 3.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.09 -0.04 0.0 0.25 -0.25 -0.09 -0.08 -4.06 23.0 -8 -7 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 RICE False False 0.01 0.00 -0.04 0.0 0.05 -0.05 0.00 0.00 -3.38 4.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.04 0.0 0.66 -0.66 0.00 0.00 -0.95 17.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.04 -0.04 0.0 0.16 -0.16 -0.04 -0.04 -2.69 11.0 -3 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -4.79 2.0 0 0 caleb_strategy_v3 SMI False False 0.04 -0.09 -0.03 0.0 0.38 -0.38 -0.09 -0.04 -0.78 9.0 -2 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.05 -0.03 0.0 0.09 -0.09 -0.05 -0.06 -2.35 8.0 -4 -5 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.03 0.0 0.44 -0.44 -0.02 -0.02 -1.32 19.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.03 0.0 0.11 -0.11 -0.02 -0.04 -2.80 9.0 -2 -3 caleb_strategy_v3 GBP False False 0.03 0.00 -0.03 0.0 0.61 -0.61 0.00 0.00 -1.14 22.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.02 0.0 0.85 -0.85 0.00 0.00 -0.38 19.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.04 -0.02 0.0 0.52 -0.52 -0.04 -0.04 -0.53 13.0 -1 -1 caleb_strategy_v3 BTP False False 0.04 0.00 -0.02 0.0 0.43 -0.43 0.00 0.00 -0.50 10.0 0 0 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.02 0.0 0.45 -0.45 -0.02 -0.02 -1.07 21.0 -1 -1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -0.84 0.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.08 -0.01 0.0 0.25 -0.25 -0.08 -0.04 -0.19 6.0 -2 -1 caleb_strategy_v3 US20 False False 0.04 -0.04 -0.01 0.0 0.37 -0.37 -0.04 -0.04 -0.24 9.0 -1 -1 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.50 -0.50 0.00 0.00 -0.23 10.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.09 -0.01 0.0 0.19 -0.19 -0.09 -0.05 -0.21 4.0 -2 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.11 -0.11 -0.03 -0.03 -0.89 10.0 -3 -3 caleb_strategy_v3 CAC False True 0.03 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.43 12.0 0 0 caleb_strategy_v3 DAX False False 0.01 -0.01 -0.01 0.0 0.34 -0.34 -0.01 -0.01 -1.11 58.0 -1 -1 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -0.32 6.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.00 0.0 0.19 -0.19 0.01 0.01 0.54 23.0 1 1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 0.00 0.0 0.09 -0.09 -0.01 -0.00 0.53 26.0 -3 -1 caleb_strategy_v3 GASOLINE False False 0.03 0.03 0.00 0.0 0.14 -0.14 0.03 0.03 0.14 4.0 1 1 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 SOYBEAN False False 0.02 -0.02 -0.00 0.0 0.16 -0.16 -0.02 -0.02 -0.13 7.0 -1 -1 caleb_strategy_v3 OAT False False 0.05 0.05 0.01 0.0 0.48 -0.48 0.05 0.10 0.16 10.0 1 2 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.01 0.0 0.32 -0.32 0.00 0.03 0.78 20.0 0 2 caleb_strategy_v3 PLAT False False 0.02 -0.02 0.01 0.0 0.17 -0.17 -0.02 0.00 0.70 10.0 -1 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.02 0.0 0.06 -0.06 0.00 0.00 1.17 3.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.02 0.0 0.13 -0.13 0.00 0.00 0.36 3.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.01 0.03 0.0 0.37 -0.37 0.01 0.01 2.27 26.0 1 1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.03 0.0 0.19 -0.19 0.00 0.00 2.36 18.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.03 0.0 0.12 -0.12 0.00 0.03 1.05 4.0 0 1 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.04 0.0 0.14 -0.14 0.01 0.01 3.39 13.0 1 1 caleb_strategy_v3 NIKKEI False False 0.01 0.05 0.07 0.0 0.28 -0.28 0.05 0.10 9.59 36.0 7 13 caleb_strategy_v3 BITCOIN False True 0.00 0.02 0.07 0.0 0.02 0.00 0.02 0.02 51.81 59.0 17 16 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 0.11 0.0 38353895.55 -38353895.55 0.00 0.00 2.87 999999999.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.05 0.14 0.0 0.62 -0.62 0.05 0.09 13.17 60.0 5 9 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.09 0.72 0.0 0.93 -0.93 0.09 0.00 7.72 10.0 1 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 10.6 Shocked risk 23.8 Sum abs risk 49.1 Leverage 4.86 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2764126.0, 'annual_cash_vol_target': 691031.5, 'daily_cash_vol_target': 43189.46875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6438 0.6601 10.5610 BITCOIN 822.7491 35265.0000 2.3330 37.3288 BOBL 0.2582 116.5700 0.2215 3.5433 BTP 0.6506 111.7300 0.5823 9.3172 BUND 0.5364 129.9900 0.4127 6.6027 BUXL 1.2997 123.3400 1.0538 16.8603 CAC 63.0351 7098.5000 0.8880 14.2081 CAD 0.0031 0.7280 0.4242 6.7878 CANOLA 7.0338 685.5000 1.0261 16.4174 CHF 0.0050 1.1087 0.4514 7.2225 COCOA 41.3095 3891.0000 1.0617 16.9867 COFFEE 3.0675 163.6500 1.8745 29.9913 COPPER 0.0342 3.6885 0.9273 14.8368 CORN 4.7976 510.2500 0.9402 15.0439 COTTON2 1.0880 82.2300 1.3232 21.1705 CRUDE_W 1.1943 77.0600 1.5498 24.7973 DAX 126.9348 15274.0000 0.8311 13.2968 DOW 252.5903 33901.0000 0.7451 11.9213 DX 0.3751 106.0150 0.3538 5.6614 EUR 0.0051 1.0638 0.4798 7.6769 EURIBOR-ICE 0.0509 97.3000 0.0523 0.8372 EUROSTX 40.6359 4199.0000 0.9678 15.4840 FEEDCOW 2.0802 244.4500 0.8510 13.6156 GASOIL 15.1215 854.5000 1.7696 28.3141 GASOLINE 0.0403 2.2479 1.7924 28.6782 GAS_US_mini 0.1041 3.8000 2.7387 43.8192 GBP 0.0065 1.2208 0.5306 8.4894 GOLD_micro 14.0936 1992.7000 0.7073 11.3162 HEATOIL 0.0421 2.8990 1.4533 23.2531 JGB-SGX-mini 0.2403 143.7000 0.1672 2.6753 JPY 0.0000 0.0067 0.6167 9.8678 LEANHOG 1.3138 76.0250 1.7281 27.6494 LIVECOW 1.5168 186.4250 0.8136 13.0176 LUMBER-new 7.7713 511.5000 1.5193 24.3092 MILK 0.2018 17.4500 1.1565 18.5037 MXP 0.0005 0.0567 0.8580 13.7278 NASDAQ_micro 150.4837 14987.2500 1.0041 16.0653 NIKKEI 351.4228 32300.0000 1.0880 17.4079 NZD 0.0040 0.5896 0.6723 10.7560 OAT 0.5547 124.4800 0.4456 7.1298 OATIES 6.4678 395.5000 1.6354 26.1657 OJ 6.1899 353.7000 1.7500 28.0006 PALLAD 17.3182 1122.0000 1.5435 24.6962 PLAT 13.2090 931.4000 1.4182 22.6911 REDWHEAT 9.7465 651.7500 1.4954 23.9270 RICE 0.1373 16.1050 0.8527 13.6429 ROBUSTA 35.1374 2329.0000 1.5087 24.1390 RUSSELL 19.8649 1720.2000 1.1548 18.4769 SHATZ 0.0783 105.1800 0.0745 1.1916 SILVER-mini 0.3321 22.8000 1.4564 23.3024 SMI 84.9795 10652.0000 0.7978 12.7645 SOFR 0.0852 96.0000 0.0888 1.4203 SOYBEAN 10.0010 1279.2500 0.7818 12.5086 SOYMEAL 5.0820 409.0000 1.2425 19.8808 SOYOIL 0.7603 50.0500 1.5190 24.3045 SP400 25.0152 2437.9000 1.0261 16.4175 SP500_micro 35.6080 4333.7500 0.8216 13.1463 SUGAR11 0.3289 26.1600 1.2575 20.1192 US10 0.5111 107.4688 0.4755 7.6087 US10U 0.7192 110.6250 0.6501 10.4020 US2 0.1124 101.3633 0.1108 1.7735 US20 1.1103 112.6250 0.9859 15.7739 US30 1.6285 116.5312 1.3975 22.3603 US5 0.3138 105.1328 0.2985 4.7763 VIX 0.6792 18.6500 3.6420 58.2717 WHEAT 8.1779 655.2500 1.2481 19.9689 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 643.80 0.66 424.95 1.00 424.95 43189.47 101.63 -4.99 -50.71 BITCOIN 35.26 2.33 82.27 1.00 82.27 43189.47 524.94 9.11 478.44 BOBL 1165.70 0.22 258.15 1.06 273.04 43189.47 158.18 -2.34 -37.02 BTP 1117.30 0.58 650.63 1.06 688.14 43189.47 62.76 -2.35 -14.77 BUND 1299.90 0.41 536.43 1.06 567.35 43189.47 76.12 -2.97 -22.64 BUXL 1233.40 1.05 1299.72 1.06 1374.65 43189.47 31.42 -6.47 -20.32 CAC 709.85 0.89 630.35 1.06 666.69 43189.47 64.78 -1.93 -12.53 CAD 728.00 0.42 308.84 1.00 308.84 43189.47 139.84 -17.13 -239.53 CANOLA 137.10 1.03 140.68 0.72 101.46 43189.47 425.69 -17.64 -750.81 CHF 1385.94 0.45 625.62 1.00 625.62 43189.47 69.04 -18.62 -128.55 COCOA 389.10 1.06 413.09 1.00 413.09 43189.47 104.55 10.15 106.13 COFFEE 613.69 1.87 1150.33 1.00 1150.33 43189.47 37.55 -7.30 -27.43 COPPER 922.12 0.93 855.09 1.00 855.09 43189.47 50.51 -10.31 -52.06 CORN 255.12 0.94 239.88 1.00 239.88 43189.47 180.05 -15.39 -277.00 COTTON2 411.15 1.32 544.02 1.00 544.02 43189.47 79.39 -15.83 -125.67 CRUDE_W 770.60 1.55 1194.30 1.00 1194.30 43189.47 36.16 9.42 34.05 DAX 152.74 0.83 126.93 1.06 134.25 43189.47 321.70 -1.01 -32.54 DOW 169.50 0.75 126.30 1.00 126.30 43189.47 341.97 -11.74 -401.49 DX 1060.15 0.35 375.12 1.00 375.12 43189.47 115.14 9.62 110.77 EUR 1329.69 0.48 637.99 1.00 637.99 43189.47 67.70 -5.77 -39.07 EURIBOR-ICE 2432.50 0.05 127.28 1.06 134.62 43189.47 320.83 7.06 226.36 EUROSTX 419.90 0.97 406.36 1.06 429.79 43189.47 100.49 2.27 22.82 FEEDCOW 1222.25 0.85 1040.10 1.00 1040.10 43189.47 41.52 -10.95 -45.45 GASOIL 854.50 1.77 1512.15 1.00 1512.15 43189.47 28.56 8.46 24.16 GASOLINE 944.12 1.79 1692.23 1.00 1692.23 43189.47 25.52 1.25 3.20 GAS_US_mini 95.00 2.74 260.18 1.00 260.18 43189.47 166.00 0.29 4.86 GBP 763.00 0.53 404.84 1.00 404.84 43189.47 106.68 -4.10 -43.79 GOLD_micro 199.27 0.71 140.94 1.00 140.94 43189.47 306.45 -5.84 -178.82 HEATOIL 1217.58 1.45 1769.53 1.00 1769.53 43189.47 24.41 3.36 8.20 JGB-SGX-mini 143700.00 0.17 24027.30 0.01 159.98 43189.47 269.96 -2.85 -76.92 JPY 836.19 0.62 515.71 1.00 515.71 43189.47 83.75 -14.99 -125.56 LEANHOG 304.10 1.73 525.51 1.00 525.51 43189.47 82.19 6.79 55.82 LIVECOW 745.70 0.81 606.70 1.00 606.70 43189.47 71.19 -11.37 -80.92 LUMBER-new 140.66 1.52 213.71 1.00 213.71 43189.47 202.09 -17.70 -357.70 MILK 349.00 1.16 403.61 1.00 403.61 43189.47 107.01 -18.24 -195.22 MXP 283.40 0.86 243.15 1.00 243.15 43189.47 177.62 5.05 89.72 NASDAQ_micro 299.74 1.00 300.97 1.00 300.97 43189.47 143.50 -12.16 -174.53 NIKKEI 32300.00 1.09 35142.28 0.01 232.39 43189.47 185.85 4.76 88.53 NZD 589.60 0.67 396.36 1.00 396.36 43189.47 108.97 -3.79 -41.33 OAT 1244.80 0.45 554.70 1.06 586.67 43189.47 73.62 0.63 4.66 OATIES 197.75 1.64 323.39 1.00 323.39 43189.47 133.55 -14.73 -196.77 OJ 530.55 1.75 928.48 1.00 928.48 43189.47 46.52 11.78 54.79 PALLAD 1122.00 1.54 1731.82 1.00 1731.82 43189.47 24.94 -11.54 -28.78 PLAT 465.70 1.42 660.45 1.00 660.45 43189.47 65.39 3.12 20.42 REDWHEAT 325.88 1.50 487.33 1.00 487.33 43189.47 88.63 -20.00 -177.25 RICE 322.10 0.85 274.65 1.00 274.65 43189.47 157.25 -8.83 -138.91 ROBUSTA 232.90 1.51 351.37 1.00 351.37 43189.47 122.92 3.78 46.41 RUSSELL 86.01 1.15 99.32 1.00 99.32 43189.47 434.83 -15.67 -681.50 SHATZ 1051.80 0.07 78.34 1.06 82.85 43189.47 521.28 -7.36 -383.85 SILVER-mini 570.00 1.46 830.15 1.00 830.15 43189.47 52.03 -4.72 -24.58 SMI 1065.20 0.80 849.79 1.10 935.37 43189.47 46.17 -4.96 -22.89 SOFR 2400.00 0.09 213.04 1.00 213.04 43189.47 202.73 -6.90 -139.79 SOYBEAN 639.62 0.78 500.05 1.00 500.05 43189.47 86.37 -1.61 -13.93 SOYMEAL 409.00 1.24 508.20 1.00 508.20 43189.47 84.98 0.72 6.10 SOYOIL 300.30 1.52 456.16 1.00 456.16 43189.47 94.68 -10.06 -95.24 SP400 2437.90 1.03 2501.52 1.00 2501.52 43189.47 17.27 -14.56 -25.14 SP500_micro 216.69 0.82 178.04 1.00 178.04 43189.47 242.58 -14.09 -341.85 SUGAR11 292.99 1.26 368.42 1.00 368.42 43189.47 117.23 9.48 111.15 US10 1074.69 0.48 511.06 1.00 511.06 43189.47 84.51 -8.89 -75.12 US10U 1106.25 0.65 719.20 1.00 719.20 43189.47 60.05 -7.01 -42.09 US2 2027.27 0.11 224.71 1.00 224.71 43189.47 192.20 -10.24 -196.89 US20 1126.25 0.99 1110.33 1.00 1110.33 43189.47 38.90 -4.95 -19.26 US30 1165.31 1.40 1628.54 1.00 1628.54 43189.47 26.52 -5.60 -14.84 US5 1051.33 0.30 313.84 1.00 313.84 43189.47 137.62 -10.67 -146.77 VIX 186.50 3.64 679.23 1.00 679.23 43189.47 63.59 -10.38 -65.99 WHEAT 327.62 1.25 408.89 1.00 408.89 43189.47 105.63 -20.00 -211.25 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -50.706 0.010 2.5 -1.316 BITCOIN 478.442 0.043 2.5 51.811 BOBL -37.024 0.004 2.5 -0.375 BTP -14.766 0.014 2.5 -0.504 BUND -22.638 0.004 2.5 -0.230 BUXL -20.318 0.004 2.5 -0.206 CAC -12.527 0.014 2.5 -0.427 CAD -239.532 0.010 2.5 -6.215 CANOLA -750.812 0.010 2.5 -18.267 CHF -128.554 0.010 2.5 -3.336 COCOA 106.134 0.009 2.5 2.273 COFFEE -27.427 0.005 2.5 -0.320 COPPER -52.056 0.043 2.5 -5.637 CORN -277.005 0.010 2.5 -6.739 COTTON2 -125.668 0.009 2.5 -2.692 CRUDE_W 34.054 0.043 2.5 3.688 DAX -32.541 0.014 2.5 -1.110 DOW -401.490 0.009 2.5 -9.331 DX 110.771 0.010 2.5 2.874 EUR -39.073 0.010 2.5 -1.014 EURIBOR-ICE 226.362 0.014 2.5 7.721 EUROSTX 22.816 0.014 2.5 0.778 FEEDCOW -45.452 0.013 2.5 -1.506 GASOIL 24.164 0.017 2.5 1.048 GASOLINE 3.196 0.017 2.5 0.139 GAS_US_mini 4.860 0.043 2.5 0.526 GBP -43.790 0.010 2.5 -1.136 GOLD_micro -178.820 0.014 2.5 -6.100 HEATOIL 8.204 0.017 2.5 0.356 JGB-SGX-mini -76.923 0.043 2.5 -8.330 JPY -125.560 0.010 2.5 -3.258 LEANHOG 55.818 0.024 2.5 3.392 LIVECOW -80.923 0.013 2.5 -2.682 LUMBER-new -357.703 0.009 2.5 -7.618 MILK -195.219 0.009 2.5 -4.181 MXP 89.725 0.059 2.5 13.170 NASDAQ_micro -174.532 0.009 2.5 -4.056 NIKKEI 88.535 0.043 2.5 9.588 NZD -41.334 0.010 2.5 -1.073 OAT 4.663 0.014 2.5 0.159 OATIES -196.765 0.010 2.5 -4.787 OJ 54.795 0.009 2.5 1.174 PALLAD -28.779 0.014 2.5 -0.982 PLAT 20.419 0.014 2.5 0.696 REDWHEAT -177.251 0.005 2.5 -2.351 RICE -138.914 0.010 2.5 -3.380 ROBUSTA 46.406 0.005 2.5 0.542 RUSSELL -681.503 0.013 2.5 -22.584 SHATZ -383.851 0.004 2.5 -3.893 SILVER-mini -24.576 0.014 2.5 -0.838 SMI -22.886 0.014 2.5 -0.781 SOFR -139.789 0.024 2.5 -8.496 SOYBEAN -13.927 0.004 2.5 -0.130 SOYMEAL 6.100 0.004 2.5 0.057 SOYOIL -95.245 0.004 2.5 -0.887 SP400 -25.138 0.013 2.5 -0.833 SP500_micro -341.849 0.009 2.5 -7.945 SUGAR11 111.145 0.009 2.5 2.364 US10 -75.125 0.005 2.5 -0.952 US10U -42.088 0.005 2.5 -0.533 US2 -196.887 0.005 2.5 -2.495 US20 -19.261 0.005 2.5 -0.244 US30 -14.838 0.005 2.5 -0.188 US5 -146.770 0.005 2.5 -1.860 VIX -65.994 0.099 2.5 -16.291 WHEAT -211.250 0.005 2.5 -2.802 ===================== Position diags ===================== AUD 2.64 BITCOIN 56.85 BOBL 1.60 BTP 2.14 BUND 0.77 BUXL 0.32 CAC 2.21 CAD 3.63 CANOLA 10.36 CHF 1.79 COCOA 2.24 COFFEE 0.44 COPPER 5.47 CORN 4.38 COTTON2 1.70 CRUDE_W 3.92 DAX 10.97 DOW 7.95 DX 2.99 EUR 1.76 EURIBOR-ICE 10.94 EUROSTX 3.43 FEEDCOW 1.38 GASOIL 1.24 GASOLINE 1.11 GAS_US_mini 17.98 GBP 2.77 GOLD_micro 10.45 HEATOIL 1.06 JGB-SGX-mini 29.23 JPY 2.17 LEANHOG 4.99 LIVECOW 2.36 LUMBER-new 4.30 MILK 2.29 MXP 26.07 NASDAQ_micro 3.34 NIKKEI 20.13 NZD 2.83 OAT 2.51 OATIES 3.25 OJ 1.00 PALLAD 0.85 PLAT 2.23 REDWHEAT 1.18 RICE 3.83 ROBUSTA 1.44 RUSSELL 14.41 SHATZ 5.29 SILVER-mini 1.77 SMI 1.57 SOFR 12.32 SOYBEAN 0.80 SOYMEAL 0.79 SOYOIL 0.88 SP400 0.57 SP500_micro 5.64 SUGAR11 2.49 US10 1.07 US10U 0.76 US2 2.44 US20 0.49 US30 0.34 US5 1.74 VIX 15.70 WHEAT 1.40 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.3 -1.6 -1.1 -1.0 -1 BITCOIN 51.8 46.1 57.5 17.0 17 BOBL -0.4 -0.5 -0.2 0.0 0 BTP -0.5 -0.7 -0.3 0.0 0 BUND -0.2 -0.3 -0.2 0.0 0 BUXL -0.2 -0.2 -0.2 -2.0 -2 CAC -0.4 -0.6 -0.2 0.0 0 CAD -6.2 -6.6 -5.9 -3.0 -3 CANOLA -18.3 -19.3 -17.2 -5.0 -5 CHF -3.3 -3.5 -3.2 -7.0 -7 COCOA 2.3 2.0 2.5 1.0 1 COFFEE -0.3 -0.4 -0.3 0.0 0 COPPER -5.6 -6.2 -5.1 -6.0 -6 CORN -6.7 -7.2 -6.3 -2.0 -2 COTTON2 -2.7 -2.9 -2.5 -3.0 -3 CRUDE_W 3.7 3.3 4.1 3.0 3 DAX -1.1 -2.2 -0.0 -1.0 -1 DOW -9.3 -10.1 -8.5 0.0 0 DX 2.9 2.6 3.2 NaN 0 EUR -1.0 -1.2 -0.8 -4.0 -4 EURIBOR-ICE 7.7 6.6 8.8 1.0 1 EUROSTX 0.8 0.4 1.1 0.0 0 FEEDCOW -1.5 -1.6 -1.4 -1.0 -1 GASOIL 1.0 0.9 1.2 0.0 0 GASOLINE 0.1 0.0 0.2 1.0 1 GAS_US_mini 0.5 -1.3 2.3 -3.0 -3 GBP -1.1 -1.4 -0.9 0.0 0 GOLD_micro -6.1 -7.1 -5.1 -1.0 -1 HEATOIL 0.4 0.2 0.5 0.0 0 JGB-SGX-mini -8.3 -11.3 -5.4 0.0 0 JPY -3.3 -3.5 -3.0 -6.0 -6 LEANHOG 3.4 2.9 3.9 1.0 1 LIVECOW -2.7 -2.9 -2.4 -2.0 -2 LUMBER-new -7.6 -8.0 -7.2 NaN 0 MILK -4.2 -4.4 -4.0 NaN 0 MXP 13.2 10.6 15.8 5.0 5 NASDAQ_micro -4.1 -4.4 -3.7 -8.0 -8 NIKKEI 9.6 7.6 11.6 7.0 7 NZD -1.1 -1.4 -0.8 -1.0 -1 OAT 0.2 -0.1 0.4 1.0 1 OATIES -4.8 -5.1 -4.5 NaN 0 OJ 1.2 1.1 1.3 NaN 0 PALLAD -1.0 -1.1 -0.9 -1.0 -1 PLAT 0.7 0.5 0.9 -1.0 -1 REDWHEAT -2.4 -2.5 -2.2 -4.0 -4 RICE -3.4 -3.8 -3.0 NaN 0 ROBUSTA 0.5 0.4 0.7 1.0 1 RUSSELL -22.6 -24.0 -21.1 -9.0 -9 SHATZ -3.9 -4.4 -3.4 NaN 0 SILVER-mini -0.8 -1.0 -0.7 NaN 0 SMI -0.8 -0.9 -0.6 -2.0 -2 SOFR -8.5 -9.7 -7.3 NaN 0 SOYBEAN -0.1 -0.2 -0.0 -1.0 -1 SOYMEAL 0.1 -0.0 0.1 0.0 0 SOYOIL -0.9 -1.0 -0.8 -3.0 -3 SP400 -0.8 -0.9 -0.8 -2.0 -2 SP500_micro -7.9 -8.5 -7.4 0.0 0 SUGAR11 2.4 2.1 2.6 0.0 0 US10 -1.0 -1.1 -0.8 NaN 0 US10U -0.5 -0.6 -0.5 -1.0 -1 US2 -2.5 -2.7 -2.3 NaN 0 US20 -0.2 -0.3 -0.2 -1.0 -1 US30 -0.2 -0.2 -0.2 -2.0 -2 US5 -1.9 -2.0 -1.7 -3.0 -3 VIX -16.3 -17.9 -14.7 -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 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.3 -0.0 0.5 -0.0 0.1 -0.2 0.0 -0.2 -0.0 -0.1 0.3 0.1 0.2 -0.2 -0.2 -0.7 -0.0 0.2 BITCOIN 0.6 0.6 -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 0.5 -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 0.0 -0.1 0.0 -0.1 0.0 -0.3 0.0 0.2 0.3 0.3 -0.7 -0.7 -0.5 -0.6 BTP 0.3 -0.5 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 0.1 -0.1 -0.0 -0.1 0.2 0.2 0.1 0.1 -0.1 -0.1 0.1 -0.2 0.0 -0.9 -0.0 0.1 -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 0.1 -0.3 -0.0 -0.1 -0.0 0.1 -0.0 0.0 -0.1 -0.1 0.1 -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 -0.3 -0.2 -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 -0.0 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 -0.2 -0.6 -0.6 -0.1 0.1 -0.1 -0.0 -0.0 -0.0 0.1 -0.2 -0.0 0.5 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.0 0.1 -0.1 -0.7 -0.1 0.1 -0.1 0.0 0.0 -0.1 0.2 0.3 -0.0 0.2 0.2 0.3 0.1 0.5 0.3 CAD -0.2 -0.2 -0.4 -0.1 0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.4 -0.2 -0.5 -0.2 -0.2 -0.1 -0.0 -0.1 -0.0 -0.2 -0.2 -0.1 -0.3 -0.2 0.3 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.4 -0.5 -0.1 -0.5 -0.7 -0.7 -0.5 -0.7 CANOLA -0.2 -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 -0.4 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 0.0 -0.4 -0.5 -0.6 -0.3 -0.3 -0.1 0.3 0.3 CHF 0.5 -0.4 -0.6 -0.1 0.0 -0.1 -0.0 0.0 -0.0 -0.1 -0.3 -0.1 0.2 -0.0 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.1 -0.0 -0.1 -1.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -1.1 -0.5 0.5 -0.4 -0.2 -0.7 -0.7 -0.7 -0.7 COCOA 0.6 -0.1 0.0 -0.1 0.0 -0.2 -0.0 -0.2 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.5 0.2 -2.4 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 -0.0 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -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 0.1 -0.1 0.1 0.0 0.4 0.6 0.6 0.1 -0.7 -0.7 -0.7 -0.4 COPPER 0.1 -0.3 -0.4 -0.0 0.0 -0.1 0.1 -0.0 0.0 0.2 -0.5 0.2 -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 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.0 0.2 -0.4 -0.4 -0.0 0.1 -0.7 0.3 -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 -0.2 -0.7 -0.0 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.5 -0.0 -2.6 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.2 -0.4 -0.0 0.5 -0.1 -0.2 -0.0 0.1 0.2 COTTON2 -0.6 -0.4 0.1 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.2 -0.2 -0.3 -0.2 -0.1 -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 -0.1 0.4 -0.7 -0.5 0.1 0.2 CRUDE_W -0.1 -0.4 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 0.3 -0.0 -1.1 0.2 0.3 0.5 0.0 0.7 0.3 0.7 0.3 DAX -0.2 -0.6 -0.6 -0.1 0.1 -0.1 -0.0 -0.0 -0.0 0.1 -0.3 -0.1 0.3 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 -0.0 -0.2 2.2 -0.1 0.1 -0.1 -0.0 -0.0 -0.1 -0.2 0.0 -0.1 -0.1 -0.1 0.3 0.1 0.6 0.3 DOW 0.1 -0.6 -0.5 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.1 -0.0 0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 0.0 -0.0 -0.1 -1.2 -0.0 0.1 -0.1 -0.0 0.0 -0.0 -0.3 -0.0 0.2 -0.1 0.2 -0.5 -0.2 -0.7 -0.3 DX -0.2 0.4 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 0.0 0.4 0.1 -2.7 0.1 -0.0 0.2 0.0 0.2 0.0 0.8 -0.0 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 -0.0 -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 -0.0 1.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.4 0.1 0.3 -0.1 -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 -0.1 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 0.1 -0.1 -0.0 -0.0 -0.0 0.1 -0.2 -0.0 0.4 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.1 0.6 -0.1 0.1 -0.1 0.0 0.0 -0.0 0.2 0.3 0.2 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 0.0 0.1 -0.1 0.4 -0.2 -0.1 -0.3 -0.4 -0.3 -0.4 -0.2 0.0 -0.1 0.4 -0.2 -0.3 -0.0 0.0 0.0 -0.0 0.1 -0.1 -1.1 -0.5 -0.6 -0.5 0.2 0.5 -0.1 0.7 0.2 GASOIL -0.3 -0.6 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 -0.0 0.4 -0.0 1.1 0.0 0.0 0.1 -0.0 0.2 -0.0 0.0 0.2 0.0 0.3 0.4 -0.3 0.0 -0.5 -0.2 GASOLINE -0.1 -0.6 0.0 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.1 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 0.0 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 -0.0 0.2 -0.0 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 0.1 -0.5 0.0 2.7 0.0 0.1 0.0 0.1 -0.1 0.0 -1.1 0.5 0.5 0.4 -0.6 -0.3 0.2 -0.5 0.1 GBP 0.2 -0.5 -0.6 -0.1 0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.3 -0.1 0.3 -0.1 -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 -0.4 -0.4 -0.2 0.2 0.1 0.7 GOLD_micro 0.6 0.4 -0.4 -0.0 0.0 -0.0 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 0.1 -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 -0.2 -0.5 0.6 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.0 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 0.1 -0.0 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 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 0.0 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 -0.6 0.4 0.5 JPY 0.2 0.1 -0.5 -0.0 0.0 -0.1 -0.0 0.0 -0.0 -0.0 -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 -0.0 -0.2 -0.0 -0.3 -0.1 -1.1 -0.3 -0.4 -0.3 -0.5 -0.3 -0.7 -0.1 -0.7 LEANHOG -0.2 -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 0.1 -0.2 -0.0 1.6 -0.0 0.1 -0.1 0.0 -0.2 -0.0 1.1 0.4 -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 0.1 0.3 -0.0 0.5 -0.1 -0.1 -0.3 -0.1 -0.4 -0.2 -0.1 0.1 -0.0 0.3 -0.1 0.0 -0.0 0.0 0.1 -0.0 0.2 -0.1 -0.6 -0.5 -0.6 0.0 0.3 -0.4 -0.7 -0.2 -0.4 LUMBER-new 0.0 -0.1 -0.4 -0.1 0.0 -0.2 -0.0 -0.2 -0.1 0.2 -0.6 0.1 -0.7 -0.1 -0.2 -0.4 -0.3 -0.4 -0.4 -0.2 -0.2 0.1 -0.6 -0.1 NaN -0.1 0.1 -0.3 0.1 -0.3 -0.0 -1.2 0.5 0.1 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 0.5 -0.0 -0.0 -0.2 -0.0 -0.3 -0.0 -1.1 -0.5 0.1 -0.2 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 0.1 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 0.1 0.1 -0.0 1.1 0.5 0.3 -0.0 0.1 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 0.1 0.1 -0.0 0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 0.0 -0.0 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 -0.0 -0.6 -0.5 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 0.2 0.0 0.3 -0.0 -0.0 0.1 0.2 0.1 0.2 -0.0 0.0 0.1 0.2 -0.0 -0.9 -0.0 0.1 0.0 0.0 0.2 -0.0 1.1 0.2 0.4 0.3 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 -0.0 -0.2 -0.1 0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.2 0.1 -0.2 0.2 -0.2 0.2 -0.5 0.3 0.3 OAT 0.2 -0.3 -0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 0.1 -0.3 -0.0 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.1 0.1 -0.3 -0.0 1.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.8 -0.0 0.1 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 -0.1 -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 0.2 -0.6 -0.6 -0.1 0.3 0.4 0.7 0.7 OJ -0.6 0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.2 -0.0 -0.2 0.5 -0.0 0.7 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 -0.1 0.5 0.2 -2.7 0.1 -0.1 0.3 -0.0 0.4 0.1 1.1 -0.4 0.6 0.6 0.6 0.1 0.3 0.6 0.7 PALLAD -0.3 -0.2 -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 -0.3 -0.6 -0.4 -0.2 -0.3 -0.3 0.1 -0.1 PLAT 0.5 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 0.0 -0.0 0.1 -0.0 0.0 0.2 0.1 0.1 0.1 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 -2.5 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.2 -0.5 -0.6 -0.5 -0.6 -0.7 -0.7 -0.7 -0.4 RICE -0.1 -0.2 0.2 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 -0.2 0.3 -0.1 0.2 -0.1 0.0 -0.4 0.1 -0.3 -0.0 -0.0 0.1 -0.2 0.1 -0.1 -2.7 -0.0 -0.2 0.0 -0.1 0.1 -0.1 0.4 -0.4 0.0 -0.0 0.6 -0.1 -0.7 0.5 -0.3 ROBUSTA 0.4 -0.4 -0.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -0.0 0.4 -0.0 -0.0 0.4 0.4 0.4 0.4 0.0 0.1 -0.1 0.4 -0.0 -2.3 0.0 -0.0 0.1 -0.0 0.2 0.0 1.1 -0.1 0.3 0.5 0.2 -0.1 -0.4 0.6 -0.0 RUSSELL -0.2 -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 -0.1 -0.1 -0.2 -0.1 -0.0 -0.2 -0.2 -0.3 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.3 -0.4 -0.1 -0.4 -0.4 -0.7 -0.7 SHATZ 0.2 0.2 0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.2 0.0 -0.3 0.0 -0.0 -0.4 -0.3 -0.4 -0.4 -0.0 -0.1 0.1 -0.3 0.0 1.4 -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.1 0.0 0.1 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 -0.1 -0.1 -0.1 -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 0.1 -0.2 0.2 -0.5 -0.7 -0.1 -0.7 SMI -0.5 -0.4 -0.5 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.2 -0.1 0.0 -0.1 -0.1 0.1 0.0 0.1 0.0 -0.2 -0.1 -0.0 -0.1 -0.2 0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.7 0.1 -0.4 0.1 0.2 -0.3 -0.4 -0.2 -0.2 SOFR 0.2 -0.0 -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 0.2 -0.3 0.0 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 0.1 0.2 0.2 0.1 -0.1 -0.1 0.3 0.4 0.3 0.3 -0.0 -0.0 0.1 0.0 0.0 -2.7 -0.0 0.1 0.0 0.1 0.0 0.0 1.1 0.3 0.3 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 0.3 0.6 0.6 0.3 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.4 -0.6 -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.2 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 -0.3 -0.6 -0.6 -0.3 -0.2 0.1 0.4 0.7 SP400 -0.1 -0.6 -0.6 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -1.2 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.1 -0.2 -0.2 -0.0 -0.2 -0.5 -0.5 -0.7 SP500_micro -0.2 -0.6 -0.6 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 -0.0 0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.0 0.1 -0.1 -2.1 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -0.4 -0.1 0.0 -0.1 0.1 -0.1 -0.4 -0.1 -0.6 SUGAR11 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 0.1 0.5 0.1 0.7 0.1 0.2 0.4 0.3 0.4 0.4 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.5 0.0 1.1 0.2 0.6 0.6 0.6 -0.7 -0.6 0.3 0.1 US10 0.2 0.0 -0.4 -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 -0.1 -0.1 -0.2 -0.1 -0.1 0.0 -0.3 -0.0 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 0.1 -0.2 -0.0 -0.3 -0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.1 0.0 -0.3 -0.1 -0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 -0.2 -0.1 -0.2 -0.7 -0.7 0.3 0.5 US2 0.2 0.5 -0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.2 0.0 -0.3 -0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.0 -0.4 -0.0 1.1 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -1.1 -0.1 -0.1 0.2 0.1 -0.7 -0.7 -0.4 -0.7 US20 0.2 -0.1 -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 0.0 -0.1 -0.2 -0.2 -0.2 -0.4 -0.7 0.6 0.7 US30 0.2 -0.1 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.2 -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 -0.1 -0.2 -0.2 -0.2 -0.2 -0.7 0.7 0.7 US5 0.2 0.1 -0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 0.0 -0.3 -0.0 -0.1 -0.2 -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 -0.1 -0.4 0.0 -0.2 -0.5 -0.1 -0.8 0.1 0.1 -0.6 -0.6 -0.6 -0.6 0.0 -0.1 -0.1 -0.7 0.0 NaN 0.0 -0.1 -0.1 -0.1 -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 -0.0 -0.2 -0.1 -0.3 -0.0 -1.1 -0.3 -0.1 0.2 -0.4 -0.7 -0.6 -0.7 -0.5 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 3.0 1.2 -13.3 -4.0 2.9 -2.0 -0.7 0.2 -3.2 12.6 -14.1 3.0 -11.6 -3.9 -13.7 -3.2 -3.0 -3.3 -3.2 -8.2 -11.5 6.0 -11.6 -1.7 3.5 -4.5 8.0 -5.7 3.5 -5.3 -1.0 -1.3 11.7 4.2 5.4 -7.4 -6.6 -20.0 -1.1 4.6 BITCOIN 20.0 17.3 -3.2 -1.7 3.7 -2.9 6.8 -0.9 3.7 19.5 11.8 20.0 10.8 20.0 11.8 -7.0 -4.8 -6.4 -5.9 20.0 11.6 20.0 4.4 20.0 -20.0 6.5 6.6 2.4 11.3 0.9 11.1 -0.6 20.0 20.0 20.0 16.0 -3.0 20.0 -1.0 20.0 BOBL 7.4 -0.3 1.9 -2.3 3.0 -2.6 1.4 -2.4 -0.7 7.8 -5.6 6.9 -7.8 2.6 -1.9 10.4 -4.0 1.5 -3.9 -2.1 -5.3 7.7 -9.2 2.7 9.1 -1.1 5.0 -2.3 3.9 -3.4 1.3 -4.8 1.4 5.7 8.5 9.2 -20.0 -20.0 -14.9 -18.3 BTP 9.0 -14.7 -11.5 -3.3 4.2 -3.7 2.0 -3.5 -1.0 11.1 -6.8 8.6 -2.3 -3.6 -8.1 7.5 7.6 6.6 6.6 -7.8 -8.2 11.9 -6.7 0.6 -6.7 -2.7 7.0 -2.7 4.2 -1.8 0.2 15.2 4.0 6.8 3.6 5.6 -13.7 -20.0 -0.9 6.9 BUND 5.9 -5.7 -2.7 -2.4 3.1 -2.7 1.5 -2.6 -0.7 8.1 -7.0 5.0 -8.7 -1.5 -5.3 -2.3 5.3 -0.4 2.1 -4.8 -7.3 6.3 -10.3 0.3 6.1 -2.1 4.9 -2.7 2.9 -3.2 0.1 9.6 -1.8 4.7 5.7 5.8 -20.0 -20.0 -20.0 -3.0 BUXL 3.5 -10.7 -5.8 -2.6 3.4 -2.9 1.6 -2.8 -0.8 7.9 -8.8 -1.4 -9.8 -5.5 -7.8 0.5 0.8 0.5 0.8 -9.8 -11.7 2.4 -13.9 -4.4 1.4 -3.0 3.3 -3.3 0.9 -3.2 -1.3 4.7 -10.1 1.5 -0.4 -0.9 -18.9 -20.0 -12.0 17.3 CAC -5.8 -17.8 -18.3 -5.6 6.9 -3.6 -0.3 -0.9 -4.6 15.9 -8.4 -4.4 13.1 -13.9 -16.9 -4.2 -2.5 -5.3 -4.5 -17.3 -10.2 2.9 2.8 -13.2 -5.3 -6.1 10.2 -3.6 1.1 0.4 -4.7 4.3 12.0 -0.7 6.1 5.4 9.6 3.2 15.9 9.1 CAD -7.5 -7.3 -12.7 -5.8 4.1 -2.8 -1.0 0.3 -4.7 -0.4 -15.3 -14.5 -15.2 -18.3 -20.0 -2.6 -2.2 -2.5 -2.4 -19.0 -14.4 -12.2 -10.9 -19.1 2.1 -7.4 2.4 -5.4 -4.7 -3.6 -7.5 0.0 -15.0 -14.7 -2.1 -16.9 -20.0 -20.0 -15.1 -20.0 CANOLA -7.5 -20.0 -10.2 -3.3 0.0 -3.1 -1.1 -2.9 -2.5 -7.0 -1.8 -10.2 -4.3 -12.2 -11.2 -18.7 4.2 -11.3 -3.4 -19.6 -11.7 -14.1 -7.0 -19.8 -20.0 -3.9 -1.6 -2.6 -2.9 -2.1 -3.9 0.4 -17.5 -15.8 -20.0 -7.8 -9.5 -2.6 8.8 9.4 CHF 15.5 -13.9 -17.1 -5.0 3.6 -2.5 -0.9 0.3 -4.1 -12.1 -9.5 -7.2 5.5 -4.3 -12.1 -16.8 -14.8 -16.7 -15.8 -11.9 -9.6 -12.8 -1.4 -8.5 -8.9 -4.2 -5.3 -3.3 -4.4 -0.7 -3.1 -20.0 -20.0 15.5 -12.2 -5.3 -20.0 -20.0 -20.0 -20.0 COCOA 20.0 -3.4 0.7 -6.0 0.1 -5.6 -2.0 -5.3 -4.4 17.6 20.0 20.0 20.0 18.9 17.4 -4.4 -2.7 -4.0 -3.3 20.0 20.0 20.0 20.0 20.0 -18.1 7.1 6.1 8.1 9.0 9.8 8.9 -6.3 20.0 20.0 20.0 20.0 6.2 -5.4 20.0 6.6 COFFEE 20.0 13.4 -1.0 -5.4 0.1 -5.1 -1.8 -4.8 -4.0 -0.5 -14.2 10.4 -14.6 10.0 3.6 1.2 1.4 -0.4 0.2 4.1 -6.2 9.8 -11.7 11.8 -20.0 2.9 2.9 -0.7 4.9 -2.1 6.0 0.2 15.1 20.0 20.0 2.0 -20.0 -20.0 -20.0 -11.9 COPPER 4.1 -10.8 -12.0 -1.4 3.0 -2.4 5.5 -0.7 3.0 18.6 -16.9 15.9 -6.5 -8.6 -16.1 -8.0 -3.9 -6.8 -5.4 -11.9 -14.5 12.3 -12.2 -1.1 -6.1 -4.2 9.8 -5.2 6.7 -4.3 0.4 0.6 8.1 -11.1 -12.6 -0.3 2.5 -20.0 7.6 -20.0 CORN 2.4 2.1 -20.0 -5.5 0.1 -5.1 -1.8 -4.8 -4.0 -14.7 -19.3 -14.2 -18.7 -3.3 -17.8 -5.2 1.4 -5.5 -3.6 -9.0 -19.4 -6.3 -20.0 -4.6 -19.3 -2.2 -4.1 -4.7 -4.0 -7.6 -2.5 -3.1 -14.8 -1.5 15.7 -2.1 -7.3 -1.3 3.0 5.7 COTTON2 -18.8 -12.0 4.2 -5.0 0.1 -4.6 -1.6 -4.4 -3.7 -13.9 6.3 -16.3 -8.7 -16.2 -5.7 -9.0 2.5 -4.6 -1.2 -9.7 -0.8 -20.0 -0.5 -19.0 -20.0 -3.8 -11.3 0.2 -10.4 1.6 -8.0 -0.2 -20.0 -20.0 -2.4 12.4 -19.8 -14.2 2.2 6.8 CRUDE_W -2.6 -12.4 17.9 1.2 -1.2 4.7 -3.3 4.7 -2.6 -5.9 13.7 5.6 7.9 0.8 10.8 10.3 11.5 13.8 12.6 10.4 16.6 -4.1 14.3 0.7 -5.3 3.7 -0.6 7.0 -1.9 7.1 -0.4 -20.0 7.6 8.9 14.4 0.5 20.0 10.0 20.0 9.0 DAX -5.7 -19.3 -20.0 -4.9 6.1 -3.2 -0.3 -0.8 -4.1 10.2 -12.3 -7.7 9.4 -14.4 -16.8 -9.4 -8.0 -9.6 -9.1 -19.7 -13.3 -1.7 -1.6 -15.9 16.2 -6.0 6.6 -4.2 -0.3 -1.1 -4.7 -4.4 0.2 -2.2 -3.0 -3.2 9.9 1.9 17.7 10.3 DOW 2.3 -20.0 -16.0 -4.0 5.0 -2.6 -0.2 -0.7 -3.3 10.5 -4.9 -0.2 6.2 -8.5 -10.6 -10.1 -8.9 -10.9 -10.4 -12.1 -7.5 1.4 -1.7 -9.5 -8.7 -4.0 5.6 -2.1 -0.0 0.2 -3.4 -6.4 -1.9 5.2 -1.9 7.5 -16.0 -7.4 -20.0 -8.3 DX -7.3 11.8 20.0 -5.9 4.2 -2.9 -1.0 0.3 -4.8 -9.0 20.0 7.0 -3.9 16.1 20.0 7.4 5.9 7.3 6.6 20.0 20.0 2.3 15.3 12.0 -20.0 7.6 -1.8 7.5 0.8 5.4 4.1 14.7 -0.6 4.9 20.0 20.0 5.2 8.1 8.6 20.0 EUR 9.6 -9.3 -17.3 -4.2 3.0 -2.0 -0.7 0.2 -3.4 -3.8 -12.6 0.4 3.3 -6.3 -13.4 -6.5 -6.9 -6.7 -6.7 -10.7 -11.0 1.1 -6.4 -3.9 12.1 -4.6 1.7 -4.5 0.5 -2.6 -1.7 -7.6 3.4 8.5 -4.3 -9.5 -10.9 -17.7 -8.4 -5.2 EURIBOR-ICE 13.7 7.0 6.9 -2.2 2.8 -2.4 1.4 -2.3 -0.7 7.4 -2.8 7.7 -6.8 5.8 3.9 -3.7 -7.4 -6.2 -7.4 3.0 -1.4 14.4 -6.9 8.7 17.1 1.2 6.6 -0.4 5.9 -2.3 3.5 -10.0 13.5 12.1 15.2 14.9 -20.0 -20.0 5.9 18.8 EUROSTX -2.5 -14.1 -18.0 -5.1 6.3 -3.3 -0.3 -0.9 -4.2 14.1 -8.6 -3.2 11.2 -12.0 -16.2 -5.4 -2.4 -5.4 -4.5 -13.4 -8.5 4.1 2.3 -8.9 4.5 -5.5 11.2 -3.8 2.2 0.1 -3.5 4.5 11.4 6.9 10.4 5.0 6.6 4.5 10.8 13.9 FEEDCOW -20.0 -20.0 -20.0 -4.4 0.1 -4.1 -1.5 -3.9 -3.3 3.4 5.1 -10.2 11.3 -14.3 -9.7 -12.9 -20.0 -13.1 -20.0 -18.2 1.1 -16.1 13.8 -20.0 -2.2 -3.3 1.5 1.1 -3.5 4.1 -5.7 -20.0 -20.0 -20.0 -16.2 6.6 14.1 -2.6 20.0 7.1 GASOIL -10.8 -17.6 20.0 0.9 -0.9 3.6 -2.5 3.6 -2.0 -5.9 11.0 -3.7 7.4 -3.9 8.5 20.0 20.0 20.0 20.0 5.9 13.5 -4.7 13.3 -3.2 8.2 2.5 0.5 5.5 -1.5 5.1 -1.1 0.0 7.6 0.9 7.8 11.7 -9.0 0.8 -14.1 -4.8 GASOLINE -1.5 -20.0 1.4 1.3 -1.2 4.8 -3.4 4.8 -2.7 -8.7 8.8 -2.2 6.9 -10.6 -2.5 4.6 20.0 20.0 20.0 -4.7 5.9 -7.7 13.1 -9.0 -20.0 -2.3 -1.4 2.3 -2.9 6.0 -3.8 16.7 1.9 5.1 -17.3 -19.8 20.0 9.9 20.0 5.6 GAS_US_mini -0.9 13.2 20.0 1.5 -1.5 5.9 -4.1 5.9 -3.3 13.6 -15.2 2.2 -20.0 -0.9 -10.1 -20.0 -20.0 -20.0 -20.0 -1.2 -10.3 7.5 -20.0 2.3 20.0 2.0 10.5 0.3 6.1 -2.8 2.7 -20.0 20.0 16.9 13.2 -20.0 -8.0 6.2 -13.6 1.6 GBP 5.1 -16.9 -17.9 -4.9 3.5 -2.4 -0.8 0.3 -3.9 1.9 -10.5 -6.8 7.1 -13.0 -17.0 -0.9 -0.8 -0.6 -0.6 -15.2 -11.5 -0.4 -3.7 -8.4 0.6 -5.6 2.2 -4.3 -0.1 -2.0 -3.1 2.8 4.6 4.8 -13.5 -13.0 -5.1 6.6 1.7 20.0 GOLD_micro 20.0 11.1 -11.0 -1.1 2.3 -1.8 4.3 -0.6 2.3 -4.5 -4.7 12.7 2.2 12.7 5.8 -15.1 -14.7 -16.7 -16.2 7.8 -1.4 15.8 -1.5 18.7 -6.5 1.8 0.7 -0.1 3.9 0.0 4.5 -18.2 -5.0 20.0 9.0 5.4 -10.7 -20.0 -8.8 -20.0 HEATOIL -6.8 -14.3 20.0 1.3 -1.2 4.9 -3.5 4.9 -2.7 -5.4 13.3 0.5 8.4 -5.5 9.8 20.0 20.0 20.0 20.0 7.0 18.2 -5.7 18.7 -4.8 -20.0 2.0 1.3 7.1 -1.9 8.5 -2.1 1.3 4.4 4.5 -0.3 10.9 6.9 -2.2 -0.5 -6.7 JGB-SGX-mini -0.7 -12.9 -18.9 -2.7 2.5 -2.9 0.8 -2.7 -1.3 -7.0 -4.8 -8.5 2.0 -8.5 -9.3 0.8 19.5 12.9 15.5 -10.6 -7.1 -14.4 -2.2 -12.4 -1.6 -3.3 -4.4 -2.3 -4.6 -1.2 -3.9 20.0 -20.0 -13.3 -1.3 -3.4 0.3 -16.8 13.5 13.8 JPY 6.8 2.3 -16.9 -4.1 3.0 -2.0 -0.7 0.2 -3.3 -4.2 -17.1 -9.4 -16.3 -13.9 -16.5 -19.9 -15.8 -19.1 -17.7 -17.9 -20.0 -8.9 -20.0 -11.8 20.0 -6.3 -3.5 -7.4 -4.1 -7.7 -4.7 -20.0 -14.3 -12.9 -8.8 -17.0 -8.1 -20.0 -4.5 -20.0 LEANHOG -6.1 -7.8 3.6 -3.1 0.0 -2.9 -1.0 -2.8 -2.3 9.6 -2.0 1.8 -5.7 -5.6 -6.9 -11.8 20.0 20.0 20.0 -6.4 -6.8 5.6 -8.9 -3.2 12.1 -2.9 6.2 -4.3 2.9 -6.3 -1.0 20.0 16.6 -0.1 1.1 -2.9 -8.3 -3.1 11.9 20.0 LIVECOW -20.0 -20.0 -15.1 -4.3 0.1 -4.0 -1.4 -3.8 -3.2 6.1 9.7 -3.6 12.8 -8.6 -4.8 -15.5 -5.0 -18.1 -9.9 -7.0 4.9 -4.3 12.6 -12.8 0.1 -2.3 2.3 2.5 -2.8 5.7 -5.0 -11.6 -20.0 -20.0 1.5 9.8 -12.4 -20.0 -5.5 -12.6 LUMBER-new 0.9 -2.6 -11.0 -6.6 0.1 -6.0 -2.2 -4.8 -4.9 20.0 -20.0 4.7 -20.0 -7.8 -20.0 -18.4 -14.8 -16.9 -15.7 -15.0 -19.3 6.9 -18.0 -5.8 NaN -7.1 12.2 -8.1 4.4 -6.4 -2.8 -20.0 17.9 1.8 5.5 -20.0 -14.1 -20.0 -7.1 -18.4 MILK 3.1 -9.7 -3.0 -4.2 0.1 -3.9 -1.4 -3.7 -3.1 -11.7 -7.9 -13.2 -12.3 -13.4 -2.1 -18.6 -20.0 -19.6 -20.0 -8.5 -12.6 -11.5 -20.0 -9.5 3.5 -3.1 -3.9 -5.7 -4.2 -9.3 -3.0 -20.0 -20.0 4.3 -6.5 9.5 -20.0 -20.0 -20.0 -20.0 MXP 2.3 -20.0 -18.7 -3.5 2.5 -1.7 -0.6 0.2 -2.8 12.0 4.4 7.7 10.4 -5.8 -8.2 12.8 16.5 14.1 15.3 -5.9 -0.1 11.6 9.8 -0.8 -20.0 -2.3 9.7 0.1 4.8 4.2 -0.2 20.0 20.0 8.1 -1.4 2.2 12.6 12.1 20.0 20.0 NASDAQ_micro -9.4 -20.0 -20.0 -3.3 4.1 -2.1 -0.2 -0.6 -2.7 8.3 4.2 -2.9 7.2 -6.3 -7.8 -9.3 -8.6 -9.7 -9.6 -6.9 0.8 -0.7 7.2 -8.0 -20.0 -2.5 5.0 0.6 -0.5 3.7 -3.0 -5.4 -3.7 0.1 2.6 6.3 2.7 -13.0 1.2 -15.7 NIKKEI -0.4 -20.0 -15.1 -3.8 4.6 -2.4 -0.2 -0.6 -3.1 10.7 7.7 1.6 9.7 -3.7 -4.0 3.3 10.4 6.6 8.9 -3.3 2.8 7.4 9.1 -2.1 -7.1 -1.8 9.0 1.5 3.0 4.8 -1.3 20.0 9.6 13.2 10.6 10.0 -2.8 2.5 -3.2 11.5 NZD -9.2 2.8 -12.1 -3.8 2.7 -1.8 -0.6 0.2 -3.1 11.2 -13.0 -8.5 -3.4 -9.9 -13.4 -0.1 0.2 -0.1 0.1 -9.0 -9.7 -1.4 -9.1 -7.0 0.9 -4.1 4.8 -4.1 -0.5 -3.6 -3.4 4.3 3.0 -7.6 6.7 -4.9 4.5 -15.7 10.3 8.3 OAT 5.7 -8.0 -4.3 -2.6 3.4 -2.9 1.6 -2.8 -0.8 8.8 -7.6 4.7 -9.2 -2.9 -6.4 6.0 7.8 6.0 6.6 -5.7 -7.8 7.0 -10.1 -0.1 8.4 -2.3 5.5 -2.9 3.0 -3.2 0.0 15.5 -1.6 4.6 5.2 5.8 -20.0 -20.0 -8.2 10.2 OATIES -18.4 -20.0 -4.1 -3.6 0.1 -3.4 -1.2 -3.2 -2.7 -9.2 -0.1 -7.7 -2.1 -11.2 -10.5 -19.5 -8.7 -18.5 -15.5 -17.0 -4.3 -12.1 3.7 -17.9 -20.0 -3.1 -3.6 -0.8 -2.5 0.6 -3.4 -20.0 8.3 -20.0 -20.0 -1.7 10.4 11.2 20.0 20.0 OJ -18.5 1.1 0.1 -6.1 0.1 -5.7 -2.0 -5.4 -4.5 -18.1 20.0 -1.3 20.0 16.6 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -7.8 20.0 20.0 -20.0 8.4 -8.5 9.6 -0.7 10.1 5.3 20.0 -15.2 20.0 20.0 20.0 3.0 8.3 16.7 20.0 PALLAD -8.8 -5.1 -6.9 -1.0 2.1 -1.7 3.9 -0.5 2.1 -0.3 -14.4 -6.0 -15.0 -11.0 -12.5 -2.5 -2.7 -2.8 -2.8 -16.2 -20.0 -6.9 -20.0 -12.3 3.1 -4.8 -1.8 -5.0 -2.4 -5.4 -4.0 3.7 -13.0 -20.0 -11.0 -7.0 -10.2 -8.3 2.9 -4.0 PLAT 14.5 0.8 -8.2 -0.9 2.0 -1.6 3.7 -0.5 2.0 7.4 -11.1 10.7 -5.6 2.7 -5.4 -3.6 -2.7 -3.7 -3.3 -2.5 -7.3 10.7 -6.7 5.4 14.1 0.5 4.5 -1.1 6.2 -1.2 3.6 3.3 6.2 2.8 1.6 6.3 1.4 -17.2 9.0 -13.6 REDWHEAT -5.4 -18.8 -20.0 -5.2 0.1 -4.9 -1.7 -4.6 -3.9 -10.0 -19.7 -15.4 -19.7 -18.7 -20.0 -6.5 -0.3 -4.9 -2.7 -20.0 -20.0 -18.7 -20.0 -20.0 -18.4 -7.2 -3.5 -6.3 -5.5 -4.2 -6.6 -3.4 -20.0 -18.4 -15.4 -20.0 -20.0 -20.0 -20.0 -11.2 RICE -3.9 -4.8 6.5 -5.9 0.1 -5.5 -2.0 -5.2 -4.4 -20.0 9.3 -13.9 5.7 -12.3 3.0 -20.0 6.7 -14.4 -0.7 -0.5 4.8 -19.4 5.2 -8.7 -20.0 -1.5 -18.9 1.1 -11.8 1.6 -5.5 7.3 -16.6 1.2 -1.0 18.7 -3.8 -20.0 15.8 -8.7 ROBUSTA 10.8 -11.5 -9.2 -4.1 0.1 -3.9 -1.4 -3.6 -3.1 -12.1 9.0 -3.4 11.4 -1.5 -1.8 20.0 20.0 20.0 20.0 1.2 6.0 -7.3 13.2 -0.4 -17.6 1.1 -5.3 2.5 -2.0 5.0 0.9 20.0 -2.4 10.3 15.7 5.0 -3.0 -11.9 17.6 -0.2 RUSSELL -4.8 -20.0 -18.8 -3.5 4.4 -2.3 -0.2 -0.6 -2.9 6.8 -10.2 -6.6 -7.3 -10.9 -12.2 -6.8 -6.3 -7.4 -7.2 -18.4 -13.0 -5.4 -7.4 -16.2 -2.1 -4.1 3.0 -2.6 -1.2 -0.9 -3.8 -1.3 -5.1 -9.1 -11.3 -2.6 -12.2 -13.5 -20.0 -20.0 SHATZ 6.8 4.8 3.1 -2.2 2.9 -2.5 1.4 -2.4 -0.7 5.4 -7.1 4.4 -8.2 2.0 -2.8 -20.0 -13.3 -20.0 -20.0 -2.2 -6.8 6.2 -12.8 2.6 10.3 -0.8 3.0 -2.5 3.2 -4.6 1.4 -20.0 0.5 3.2 9.3 10.6 -19.6 -20.0 -12.3 -20.0 SILVER-mini 17.1 -5.7 -10.7 -1.2 3.0 -1.9 4.6 -0.6 2.1 -10.3 -5.2 9.1 1.8 3.4 -4.3 -7.2 -6.4 -7.4 -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 -3.1 -18.7 4.6 -4.7 6.8 -13.8 -20.0 -4.0 -20.0 SMI -16.1 -13.7 -14.0 -3.9 4.8 -2.6 -0.2 -0.7 -3.2 10.4 -6.9 -8.1 0.7 -10.9 -12.0 4.9 2.0 2.9 1.6 -15.2 -10.0 -4.2 -4.4 -15.1 4.9 -4.1 4.1 -2.5 -1.2 -1.5 -4.3 13.1 2.7 -11.8 3.0 5.6 -7.6 -12.3 -5.9 -7.1 SOFR 5.2 -1.5 -13.2 -2.1 2.8 -2.4 1.3 -2.3 -0.7 6.7 -7.0 3.0 -5.8 -2.4 -5.9 0.6 -0.7 -0.4 -0.8 -6.5 -7.5 4.1 -6.5 -2.2 -1.3 -2.4 3.3 -2.7 1.4 -2.2 -0.9 1.6 1.6 -3.1 1.2 1.0 -20.0 -20.0 -5.0 -8.0 SOYBEAN 5.6 -8.9 0.2 -5.5 0.1 -5.2 -1.8 -4.9 -4.1 15.4 6.8 16.3 3.9 -6.6 -10.0 16.3 17.7 13.6 14.3 -2.7 -0.6 8.4 0.2 1.1 -20.0 -0.7 10.1 0.1 6.4 0.7 1.8 20.0 14.5 9.7 4.5 5.9 -20.0 -6.1 -20.0 -0.6 SOYMEAL 20.0 4.0 -2.2 -3.8 0.1 -3.6 -1.3 -3.3 -2.8 5.0 -3.2 12.0 1.6 10.1 4.5 17.2 17.5 14.0 15.5 6.9 1.1 13.3 1.5 13.8 -20.0 3.0 2.4 1.6 4.7 2.2 5.0 20.0 13.3 20.0 19.0 10.7 -20.0 -20.0 -20.0 -19.9 SOYOIL -13.1 -20.0 -7.2 -2.9 0.0 -2.7 -1.0 -2.6 -2.2 -5.8 -0.0 -9.0 -2.0 -10.4 -9.1 7.5 11.4 11.0 11.1 -16.5 -7.9 -13.4 -2.2 -18.2 -20.0 -3.3 -1.9 -1.7 -2.8 -0.6 -3.7 17.6 -14.3 -20.0 -20.0 -8.5 -6.0 3.9 12.1 19.5 SP400 -4.4 -20.0 -20.0 -3.3 4.1 -2.2 -0.2 -0.6 -2.7 7.0 -8.3 -5.2 -1.1 -9.4 -10.7 -5.1 -5.1 -5.4 -5.4 -15.4 -10.2 -4.4 -4.2 -13.9 -8.8 -3.7 3.0 -2.2 -1.1 -0.6 -3.5 1.3 -6.1 -5.5 -7.5 -0.4 -7.0 -14.4 -14.3 -20.0 SP500_micro -5.6 -20.0 -20.0 -3.9 4.8 -2.5 -0.2 -0.7 -3.2 9.4 -0.3 -3.1 5.8 -9.0 -10.4 -10.2 -9.8 -11.1 -11.0 -12.6 -5.1 -1.1 2.1 -12.0 -15.9 -3.7 5.5 -1.1 -0.5 1.4 -3.6 -7.6 -4.4 0.4 -4.3 4.1 -2.7 -12.3 -2.9 -17.1 SUGAR11 -0.4 -3.0 1.1 -5.2 0.1 -4.9 -1.7 -4.6 -3.9 9.5 18.6 12.2 18.4 13.1 17.3 20.0 16.7 20.0 17.7 15.7 20.0 5.9 20.0 9.6 -20.0 5.8 3.9 9.1 2.5 14.2 3.8 20.0 7.3 20.0 20.0 20.0 -20.0 -18.8 9.2 3.6 US10 6.0 0.4 -11.6 -2.0 2.6 -2.3 1.3 -2.1 -0.6 6.1 -7.3 -0.0 -7.4 -4.4 -6.5 -5.1 -7.1 -6.9 -7.7 -8.3 -9.6 2.0 -9.6 -4.1 1.1 -2.6 2.5 -2.8 0.6 -2.5 -1.3 -10.0 -2.6 -4.9 -2.3 -2.4 -20.0 -20.0 0.1 0.4 US10U 6.4 -2.0 -12.9 -2.4 3.2 -2.8 1.5 -2.6 -0.7 7.2 -8.9 -0.6 -8.9 -5.8 -8.1 0.7 -0.4 0.5 -0.3 -10.8 -12.0 1.8 -11.4 -5.7 -2.1 -3.1 2.7 -3.3 0.5 -2.9 -1.7 2.2 -4.4 -6.3 -4.3 -4.9 -20.0 -20.0 7.7 15.1 US2 7.2 15.0 -2.7 -2.2 2.9 -2.5 1.4 -2.4 -0.7 4.2 -8.3 1.5 -8.4 -1.9 -6.2 -20.0 -20.0 -20.0 -20.0 -5.8 -11.0 2.4 -15.3 -1.1 8.3 -2.1 2.4 -3.9 1.3 -5.6 -0.2 -20.0 -6.1 -1.6 7.2 4.1 -20.0 -20.0 -11.1 -20.0 US20 7.7 -3.3 -14.3 -1.8 2.3 -2.0 1.1 -1.9 -0.6 5.3 -6.5 -0.3 -6.4 -4.5 -6.1 -0.1 -1.6 -1.3 -1.8 -8.9 -9.5 1.7 -8.5 -4.7 -1.8 -2.3 2.0 -2.4 0.4 -2.0 -1.2 0.0 -2.5 -4.7 -5.8 -6.9 -10.9 -20.0 17.5 20.0 US30 6.4 -3.7 -11.4 -1.8 2.4 -2.1 1.2 -2.0 -0.6 5.3 -6.8 -1.3 -6.7 -5.0 -6.4 -4.0 -4.1 -5.2 -5.1 -8.7 -9.3 0.8 -8.7 -5.0 -1.4 -2.4 1.8 -2.5 0.2 -2.1 -1.4 -4.8 -5.2 -5.4 -4.8 -6.1 -6.8 -20.0 20.0 20.0 US5 5.5 4.3 -8.9 -2.1 2.7 -2.4 1.3 -2.2 -0.6 6.4 -7.7 1.0 -7.8 -3.5 -6.5 -9.0 -10.4 -11.4 -11.8 -7.0 -9.2 2.8 -10.3 -2.7 3.2 -2.5 3.0 -3.1 1.1 -3.3 -1.0 -16.4 -1.9 -3.3 1.8 1.1 -20.0 -20.0 -9.6 -18.2 VIX 8.8 20.0 20.0 0.9 -8.6 -3.0 -3.4 -6.8 1.0 -13.0 -11.7 -5.3 -14.2 3.6 3.5 -20.0 -20.0 -20.0 -20.0 0.5 -7.0 -9.1 -15.2 0.2 NaN 1.1 -9.9 -3.4 -3.9 -8.2 1.1 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 3.9 -6.3 -20.0 -5.3 0.1 -4.9 -1.7 -4.6 -3.9 -13.5 -18.9 -11.6 -20.0 -8.6 -18.9 -12.1 -10.3 -11.7 -11.2 -17.6 -20.0 -8.7 -20.0 -9.4 -5.5 -6.0 -4.9 -8.0 -4.9 -8.6 -4.3 -20.0 -10.7 -1.9 4.9 -12.4 -20.0 -17.2 -20.0 -13.5 End of report for caleb_strategy_v3