******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231103_204335 produced at 2023-11-03 21:39:43.407339 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.62 0.0 0.00 0.00 0.00 0.00 -7.09 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.24 -0.30 0.0 0.56 -0.56 -0.24 -0.28 -8.59 16.0 -7 -8 caleb_strategy_v3 COPPER False False 0.03 -0.17 -0.18 0.0 0.20 -0.20 -0.17 -0.17 -5.46 6.0 -5 -5 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.17 0.0 0.00 0.00 0.00 0.00 -4.07 24.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.15 0.0 0.00 0.00 0.00 0.00 -2.02 13.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.36 -0.15 0.0 0.66 -0.66 -0.36 -0.36 -3.04 13.0 -7 -7 caleb_strategy_v3 CAD False False 0.03 -0.11 -0.14 0.0 0.77 -0.77 -0.11 -0.05 -5.27 29.0 -4 -2 caleb_strategy_v3 VIX False False 0.01 -0.09 -0.11 0.0 0.11 -0.11 -0.09 -0.11 -17.35 17.0 -14 -16 caleb_strategy_v3 JPY False False 0.03 -0.18 -0.09 0.0 0.52 -0.52 -0.18 -0.15 -2.91 17.0 -6 -5 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.07 0.0 0.35 -0.35 -0.04 -0.04 -1.52 8.0 -1 -1 caleb_strategy_v3 LIVECOW False False 0.03 -0.05 -0.07 0.0 0.46 -0.46 -0.05 -0.05 -2.67 17.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.19 -0.19 -0.02 -0.02 -15.97 51.0 -5 -5 caleb_strategy_v3 SP400 False False 0.09 -0.18 -0.06 0.0 0.18 -0.18 -0.18 -0.18 -0.71 2.0 -2 -2 caleb_strategy_v3 US5 False False 0.04 -0.12 -0.06 0.0 0.96 -0.96 -0.12 -0.15 -1.63 25.0 -3 -4 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.06 0.0 0.22 -0.22 -0.03 -0.03 -18.30 68.0 -9 -9 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.06 0.0 0.38 -0.38 0.00 0.00 -7.20 48.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.05 0.0 0.11 -0.11 -0.05 -0.05 -5.79 12.0 -5 -5 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.06 -0.06 0.00 0.00 -4.33 5.0 0 0 caleb_strategy_v3 DOW False False 0.01 -0.03 -0.05 0.0 0.41 -0.41 -0.03 -0.01 -8.51 66.0 -5 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.09 -0.04 0.0 0.25 -0.25 -0.09 -0.06 -3.78 23.0 -8 -5 caleb_strategy_v3 PALLAD False False 0.04 -0.04 -0.04 0.0 0.08 -0.08 -0.04 -0.04 -0.95 2.0 -1 -1 caleb_strategy_v3 SMI False False 0.04 -0.04 -0.04 0.0 0.38 -0.38 -0.04 -0.04 -0.90 9.0 -1 -1 caleb_strategy_v3 RICE False False 0.01 0.00 -0.04 0.0 0.05 -0.05 0.00 0.00 -3.74 4.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 -0.04 0.0 0.41 -0.41 -0.01 0.00 -6.02 56.0 -1 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -5.19 2.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.04 -0.04 0.0 0.16 -0.16 -0.04 -0.04 -2.80 11.0 -3 -3 caleb_strategy_v3 REDWHEAT False False 0.01 -0.06 -0.03 0.0 0.10 -0.10 -0.06 -0.06 -2.37 8.0 -5 -5 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.03 0.0 0.02 -0.02 0.00 0.00 -6.01 3.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.03 0.0 0.67 -0.67 0.00 0.00 -0.85 17.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.11 -0.11 -0.04 -0.04 -2.79 9.0 -3 -3 caleb_strategy_v3 EUR False False 0.05 -0.15 -0.03 0.0 0.69 -0.69 -0.15 -0.10 -0.69 14.0 -3 -2 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.02 0.0 0.45 -0.45 -0.02 -0.02 -0.76 19.0 -1 -1 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.02 0.0 0.86 -0.86 0.00 0.00 -0.33 19.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.04 -0.02 0.0 0.53 -0.53 -0.04 -0.04 -0.48 13.0 -1 -1 caleb_strategy_v3 CAC False True 0.03 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.56 12.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.09 -0.01 0.0 0.26 -0.26 -0.09 -0.04 -0.18 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 -0.22 9.0 -1 -1 caleb_strategy_v3 BTP False False 0.04 0.00 -0.01 0.0 0.44 -0.44 0.00 0.00 -0.31 10.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.51 -0.51 0.00 0.00 -0.21 10.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.05 -0.01 0.0 0.19 -0.19 -0.05 -0.05 -0.20 4.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.11 -0.11 -0.03 -0.03 -0.93 10.0 -3 -3 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.67 0.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.14 -0.14 0.00 0.00 -0.26 6.0 0 0 caleb_strategy_v3 DAX False False 0.01 -0.01 -0.01 0.0 0.34 -0.34 -0.01 -0.01 -1.27 58.0 -1 -1 caleb_strategy_v3 GBP False False 0.03 0.00 -0.01 0.0 0.62 -0.62 0.00 0.00 -0.43 22.0 0 0 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.01 0.0 0.46 -0.46 -0.02 -0.02 -0.36 21.0 -1 -1 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.00 0.0 0.20 -0.20 0.01 0.02 0.50 23.0 1 2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 0.00 0.0 0.17 -0.17 -0.02 0.00 0.04 7.0 -1 0 caleb_strategy_v3 SOYMEAL False False 0.02 0.00 0.00 0.0 0.14 -0.14 0.00 0.02 0.13 9.0 0 1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.00 -0.00 0.0 0.09 -0.09 -0.00 -0.00 -0.74 26.0 -1 -1 caleb_strategy_v3 GASOLINE False False 0.03 0.03 0.00 0.0 0.13 -0.13 0.03 0.03 0.07 4.0 1 1 caleb_strategy_v3 PLAT False False 0.02 0.00 0.01 0.0 0.17 -0.17 0.00 0.00 0.85 10.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.22 3.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.10 0.01 0.0 0.48 -0.48 0.10 0.10 0.28 10.0 2 2 caleb_strategy_v3 EUROSTX False False 0.02 0.03 0.01 0.0 0.32 -0.32 0.03 0.03 0.75 20.0 2 2 caleb_strategy_v3 OJ False False 0.02 0.00 0.02 0.0 0.06 -0.06 0.00 0.00 1.09 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 2.38 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 2.71 18.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.03 0.0 0.12 -0.12 0.03 0.03 0.96 4.0 1 1 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.04 0.0 0.14 -0.14 0.01 0.01 3.56 13.0 1 1 caleb_strategy_v3 NIKKEI False False 0.01 0.05 0.06 0.0 0.28 -0.28 0.05 0.06 7.92 36.0 7 8 caleb_strategy_v3 DX False False 0.04 0.00 0.06 0.0 38270178.83 -38270178.83 0.00 0.00 1.55 999999999.0 0 0 caleb_strategy_v3 BITCOIN False True 0.00 0.02 0.07 0.0 0.02 0.00 0.02 0.02 52.98 59.0 17 17 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.10 0.0 0.14 -0.14 0.08 0.06 3.59 5.0 3 2 caleb_strategy_v3 MXP False False 0.01 0.08 0.17 0.0 0.62 -0.62 0.08 0.10 16.54 60.0 8 10 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.78 0.0 0.94 -0.94 0.00 0.00 8.27 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 9.8 Shocked risk 21.6 Sum abs risk 47.5 Leverage 4.60 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2741821.52, 'annual_cash_vol_target': 685455.38, 'daily_cash_vol_target': 42840.96125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6518 0.6799 10.8791 BITCOIN 819.6535 34850.0000 2.3519 37.6311 BOBL 0.2550 116.7700 0.2184 3.4942 BTP 0.6525 112.5000 0.5800 9.2806 BUND 0.5301 130.4000 0.4065 6.5042 BUXL 1.2693 124.1200 1.0226 16.3618 CAC 59.6208 7056.0000 0.8450 13.5195 CAD 0.0032 0.7320 0.4317 6.9079 CANOLA 7.6886 691.0000 1.1127 17.8028 CHF 0.0052 1.1172 0.4666 7.4661 COCOA 40.8618 3929.0000 1.0400 16.6401 COFFEE 3.1471 169.1000 1.8611 29.7778 COPPER 0.0337 3.6750 0.9166 14.6653 CORN 4.9680 518.0000 0.9591 15.3452 COTTON2 1.0687 82.0700 1.3022 20.8348 CRUDE_W 1.1887 75.9200 1.5658 25.0521 DAX 120.5752 15258.0000 0.7902 12.6439 DOW 251.1909 34150.0000 0.7356 11.7688 DX 0.4359 104.9300 0.4155 6.6474 EUR 0.0055 1.0746 0.5079 8.1268 EURIBOR-ICE 0.0500 97.3450 0.0514 0.8218 EUROSTX 38.5911 4188.0000 0.9215 14.7435 FEEDCOW 2.0540 242.3500 0.8475 13.5602 GASOIL 14.2820 830.0000 1.7207 27.5315 GASOLINE 0.0401 2.2030 1.8184 29.0950 GAS_US_mini 0.1025 3.7650 2.7213 43.5403 GBP 0.0073 1.2381 0.5914 9.4632 GOLD_micro 13.8132 1999.9000 0.6907 11.0511 HEATOIL 0.0435 2.8170 1.5434 24.6940 JGB-SGX-mini 0.2452 144.0000 0.1703 2.7246 JPY 0.0000 0.0067 0.6227 9.9629 LEANHOG 1.2897 75.6500 1.7049 27.2780 LIVECOW 1.4978 185.1250 0.8091 12.9450 LUMBER-new 8.1806 525.0000 1.5582 24.9313 MILK 0.1982 17.3800 1.1405 18.2485 MXP 0.0005 0.0568 0.8334 13.3351 NASDAQ_micro 150.5368 15184.5000 0.9914 15.8622 NIKKEI 351.0750 31880.0000 1.1012 17.6198 NZD 0.0044 0.5994 0.7260 11.6160 OAT 0.5486 124.9400 0.4391 7.0249 OATIES 6.3456 391.0000 1.6229 25.9667 OJ 6.0337 349.9500 1.7242 27.5866 PALLAD 17.1172 1129.5000 1.5155 24.2475 PLAT 13.0409 940.7000 1.3863 22.1808 REDWHEAT 9.6095 654.7500 1.4677 23.4825 RICE 0.1378 16.2000 0.8507 13.6113 ROBUSTA 35.1927 2368.0000 1.4862 23.7789 RUSSELL 21.3507 1768.3000 1.2074 19.3186 SHATZ 0.0762 105.2200 0.0725 1.1594 SILVER-mini 0.3325 23.4500 1.4179 22.6872 SMI 81.6026 10607.0000 0.7693 12.3092 SOFR 0.0872 96.1600 0.0907 1.4517 SOYBEAN 10.4663 1298.7500 0.8059 12.8940 SOYMEAL 5.7387 425.9000 1.3474 21.5590 SOYOIL 0.7593 48.9600 1.5509 24.8142 SP400 26.2000 2490.3000 1.0521 16.8333 SP500_micro 35.6673 4379.7500 0.8144 13.0299 SUGAR11 0.3253 26.4200 1.2314 19.7018 US10 0.5176 108.2344 0.4782 7.6514 US10U 0.7190 111.4375 0.6452 10.3227 US2 0.1203 101.6328 0.1184 1.8937 US20 1.0954 113.4062 0.9659 15.4544 US30 1.6018 117.2500 1.3661 21.8576 US5 0.3234 105.7266 0.3059 4.8939 VIX 0.6713 18.1500 3.6986 59.1781 WHEAT 8.1543 661.7500 1.2322 19.7158 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 651.80 0.68 443.19 1.00 443.19 42840.96 96.67 -3.04 -29.39 BITCOIN 34.85 2.35 81.97 1.00 81.97 42840.96 522.67 9.36 489.24 BOBL 1167.70 0.22 255.01 1.06 270.29 42840.96 158.50 -2.07 -32.87 BTP 1125.00 0.58 652.54 1.06 691.63 42840.96 61.94 -1.46 -9.02 BUND 1304.00 0.41 530.09 1.06 561.84 42840.96 76.25 -2.69 -20.48 BUXL 1241.20 1.02 1269.27 1.06 1345.29 42840.96 31.85 -6.25 -19.90 CAC 705.60 0.84 596.21 1.06 631.92 42840.96 67.79 -2.41 -16.32 CAD 732.00 0.43 316.04 1.00 316.04 42840.96 135.56 -15.00 -203.27 CANOLA 138.20 1.11 153.77 0.72 111.14 42840.96 385.47 -17.03 -656.41 CHF 1396.56 0.47 651.68 1.00 651.68 42840.96 65.74 -17.83 -117.20 COCOA 392.90 1.04 408.62 1.00 408.62 42840.96 104.84 10.58 110.95 COFFEE 634.12 1.86 1180.18 1.00 1180.18 42840.96 36.30 -6.10 -22.15 COPPER 918.75 0.92 842.11 1.00 842.11 42840.96 50.87 -9.90 -50.38 CORN 259.00 0.96 248.40 1.00 248.40 42840.96 172.47 -13.81 -238.13 COTTON2 410.35 1.30 534.35 1.00 534.35 42840.96 80.17 -16.31 -130.74 CRUDE_W 759.20 1.57 1188.72 1.00 1188.72 42840.96 36.04 9.21 33.19 DAX 152.58 0.79 120.58 1.06 127.80 42840.96 335.22 -1.11 -37.33 DOW 170.75 0.74 125.60 1.00 125.60 42840.96 341.10 -10.73 -366.00 DX 1049.30 0.42 435.95 1.00 435.95 42840.96 98.27 6.06 59.57 EUR 1343.25 0.51 682.27 1.00 682.27 42840.96 62.79 -4.23 -26.56 EURIBOR-ICE 2433.62 0.05 124.99 1.06 132.48 42840.96 323.38 7.50 242.44 EUROSTX 418.80 0.92 385.91 1.06 409.03 42840.96 104.74 2.11 22.13 FEEDCOW 1211.75 0.85 1026.98 1.00 1026.98 42840.96 41.72 -10.99 -45.85 GASOIL 830.00 1.72 1428.20 1.00 1428.20 42840.96 30.00 7.36 22.08 GASOLINE 925.26 1.82 1682.53 1.00 1682.53 42840.96 25.46 0.63 1.60 GAS_US_mini 94.12 2.72 256.14 1.00 256.14 42840.96 167.26 -0.41 -6.79 GBP 773.81 0.59 457.67 1.00 457.67 42840.96 93.61 -1.78 -16.66 GOLD_micro 199.99 0.69 138.13 1.00 138.13 42840.96 310.14 -5.69 -176.42 HEATOIL 1183.14 1.54 1826.03 1.00 1826.03 42840.96 23.46 2.20 5.17 JGB-SGX-mini 144000.00 0.17 24521.35 0.01 162.16 42840.96 264.19 -3.00 -79.35 JPY 842.12 0.62 524.37 1.00 524.37 42840.96 81.70 -13.74 -112.28 LEANHOG 302.60 1.70 515.90 1.00 515.90 42840.96 83.04 7.06 58.63 LIVECOW 740.50 0.81 599.11 1.00 599.11 42840.96 71.51 -11.28 -80.67 LUMBER-new 144.38 1.56 224.97 1.00 224.97 42840.96 190.43 -14.81 -282.09 MILK 347.60 1.14 396.45 1.00 396.45 42840.96 108.06 -18.70 -202.05 MXP 284.25 0.83 236.91 1.00 236.91 42840.96 180.83 6.23 112.71 NASDAQ_micro 303.69 0.99 301.07 1.00 301.07 42840.96 142.29 -11.43 -162.69 NIKKEI 31880.00 1.10 35107.50 0.01 232.16 42840.96 184.53 3.96 73.12 NZD 599.35 0.73 435.13 1.00 435.13 42840.96 98.46 -1.42 -13.95 OAT 1249.40 0.44 548.55 1.06 581.41 42840.96 73.68 1.11 8.15 OATIES 195.50 1.62 317.28 1.00 317.28 42840.96 135.03 -15.80 -213.37 OJ 524.92 1.72 905.05 1.00 905.05 42840.96 47.34 10.80 51.10 PALLAD 1129.50 1.52 1711.72 1.00 1711.72 42840.96 25.03 -11.08 -27.74 PLAT 470.35 1.39 652.05 1.00 652.05 42840.96 65.70 3.78 24.82 REDWHEAT 327.38 1.47 480.47 1.00 480.47 42840.96 89.16 -20.00 -178.33 RICE 324.00 0.85 275.63 1.00 275.63 42840.96 155.43 -9.88 -153.61 ROBUSTA 236.80 1.49 351.93 1.00 351.93 42840.96 121.73 3.52 42.81 RUSSELL 88.42 1.21 106.75 1.00 106.75 42840.96 401.31 -13.76 -552.27 SHATZ 1052.20 0.07 76.24 1.06 80.81 42840.96 530.15 -7.58 -401.81 SILVER-mini 586.25 1.42 831.27 1.00 831.27 42840.96 51.54 -3.84 -19.78 SMI 1060.70 0.77 816.03 1.11 902.40 42840.96 47.47 -5.57 -26.45 SOFR 2404.00 0.09 218.12 1.00 218.12 42840.96 196.41 -5.94 -116.63 SOYBEAN 649.38 0.81 523.31 1.00 523.31 42840.96 81.86 0.59 4.80 SOYMEAL 425.90 1.35 573.87 1.00 573.87 42840.96 74.65 1.88 14.05 SOYOIL 293.76 1.55 455.59 1.00 455.59 42840.96 94.03 -10.67 -100.30 SP400 2490.30 1.05 2620.00 1.00 2620.00 42840.96 16.35 -13.18 -21.55 SP500_micro 218.99 0.81 178.34 1.00 178.34 42840.96 240.23 -12.89 -309.75 SUGAR11 295.90 1.23 364.36 1.00 364.36 42840.96 117.58 10.84 127.45 US10 1082.34 0.48 517.59 1.00 517.59 42840.96 82.77 -8.06 -66.68 US10U 1114.38 0.65 718.96 1.00 718.96 42840.96 59.59 -6.31 -37.57 US2 2032.66 0.12 240.57 1.00 240.57 42840.96 178.08 -8.94 -159.28 US20 1134.06 0.97 1095.39 1.00 1095.39 42840.96 39.11 -4.49 -17.57 US30 1172.50 1.37 1601.75 1.00 1601.75 42840.96 26.75 -5.24 -14.02 US5 1057.27 0.31 323.38 1.00 323.38 42840.96 132.48 -9.70 -128.55 VIX 181.50 3.70 671.30 1.00 671.30 42840.96 63.82 -11.01 -70.29 WHEAT 330.88 1.23 407.72 1.00 407.72 42840.96 105.08 -20.00 -210.15 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -29.389 0.010 2.5 -0.763 BITCOIN 489.237 0.043 2.5 52.980 BOBL -32.870 0.004 2.5 -0.333 BTP -9.022 0.014 2.5 -0.308 BUND -20.479 0.004 2.5 -0.208 BUXL -19.902 0.004 2.5 -0.202 CAC -16.317 0.014 2.5 -0.557 CAD -203.274 0.010 2.5 -5.274 CANOLA -656.414 0.010 2.5 -15.970 CHF -117.198 0.010 2.5 -3.041 COCOA 110.947 0.009 2.5 2.376 COFFEE -22.154 0.005 2.5 -0.259 COPPER -50.380 0.043 2.5 -5.456 CORN -238.130 0.010 2.5 -5.794 COTTON2 -130.742 0.009 2.5 -2.800 CRUDE_W 33.188 0.043 2.5 3.594 DAX -37.326 0.014 2.5 -1.273 DOW -366.001 0.009 2.5 -8.506 DX 59.567 0.010 2.5 1.546 EUR -26.563 0.010 2.5 -0.689 EURIBOR-ICE 242.443 0.014 2.5 8.270 EUROSTX 22.131 0.014 2.5 0.755 FEEDCOW -45.853 0.013 2.5 -1.520 GASOIL 22.079 0.017 2.5 0.957 GASOLINE 1.600 0.017 2.5 0.069 GAS_US_mini -6.788 0.043 2.5 -0.735 GBP -16.661 0.010 2.5 -0.432 GOLD_micro -176.423 0.014 2.5 -6.018 HEATOIL 5.169 0.017 2.5 0.224 JGB-SGX-mini -79.346 0.043 2.5 -8.593 JPY -112.275 0.010 2.5 -2.913 LEANHOG 58.628 0.024 2.5 3.563 LIVECOW -80.670 0.013 2.5 -2.673 LUMBER-new -282.093 0.009 2.5 -6.008 MILK -202.046 0.009 2.5 -4.327 MXP 112.713 0.059 2.5 16.544 NASDAQ_micro -162.692 0.009 2.5 -3.781 NIKKEI 73.122 0.043 2.5 7.918 NZD -13.950 0.010 2.5 -0.362 OAT 8.149 0.014 2.5 0.278 OATIES -213.374 0.010 2.5 -5.191 OJ 51.099 0.009 2.5 1.094 PALLAD -27.740 0.014 2.5 -0.946 PLAT 24.822 0.014 2.5 0.847 REDWHEAT -178.328 0.005 2.5 -2.366 RICE -153.614 0.010 2.5 -3.737 ROBUSTA 42.808 0.005 2.5 0.500 RUSSELL -552.269 0.013 2.5 -18.301 SHATZ -401.815 0.004 2.5 -4.075 SILVER-mini -19.782 0.014 2.5 -0.675 SMI -26.448 0.014 2.5 -0.902 SOFR -116.632 0.024 2.5 -7.088 SOYBEAN 4.801 0.004 2.5 0.045 SOYMEAL 14.047 0.004 2.5 0.131 SOYOIL -100.300 0.004 2.5 -0.934 SP400 -21.549 0.013 2.5 -0.714 SP500_micro -309.748 0.009 2.5 -7.199 SUGAR11 127.448 0.009 2.5 2.711 US10 -66.682 0.005 2.5 -0.845 US10U -37.571 0.005 2.5 -0.476 US2 -159.285 0.005 2.5 -2.018 US20 -17.571 0.005 2.5 -0.223 US30 -14.018 0.005 2.5 -0.178 US5 -128.548 0.005 2.5 -1.629 VIX -70.290 0.099 2.5 -17.351 WHEAT -210.150 0.005 2.5 -2.788 ===================== Position diags ===================== AUD 2.51 BITCOIN 56.60 BOBL 1.61 BTP 2.11 BUND 0.77 BUXL 0.32 CAC 2.31 CAD 3.52 CANOLA 9.38 CHF 1.71 COCOA 2.25 COFFEE 0.42 COPPER 5.51 CORN 4.20 COTTON2 1.72 CRUDE_W 3.90 DAX 11.43 DOW 7.93 DX 2.55 EUR 1.63 EURIBOR-ICE 11.03 EUROSTX 3.57 FEEDCOW 1.38 GASOIL 1.30 GASOLINE 1.10 GAS_US_mini 18.11 GBP 2.43 GOLD_micro 10.58 HEATOIL 1.02 JGB-SGX-mini 28.61 JPY 2.12 LEANHOG 5.05 LIVECOW 2.37 LUMBER-new 4.06 MILK 2.31 MXP 26.54 NASDAQ_micro 3.31 NIKKEI 19.98 NZD 2.55 OAT 2.51 OATIES 3.29 OJ 1.01 PALLAD 0.85 PLAT 2.24 REDWHEAT 1.18 RICE 3.78 ROBUSTA 1.42 RUSSELL 13.30 SHATZ 5.38 SILVER-mini 1.76 SMI 1.62 SOFR 11.94 SOYBEAN 0.76 SOYMEAL 0.69 SOYOIL 0.88 SP400 0.54 SP500_micro 5.58 SUGAR11 2.50 US10 1.05 US10U 0.76 US2 2.26 US20 0.50 US30 0.34 US5 1.68 VIX 15.75 WHEAT 1.39 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.8 -1.0 -0.5 -1.0 -1 BITCOIN 53.0 47.3 58.6 17.0 17 BOBL -0.3 -0.5 -0.2 0.0 0 BTP -0.3 -0.5 -0.1 0.0 0 BUND -0.2 -0.3 -0.1 0.0 0 BUXL -0.2 -0.2 -0.2 -1.0 -1 CAC -0.6 -0.8 -0.3 0.0 0 CAD -5.3 -5.6 -4.9 -4.0 -4 CANOLA -16.0 -16.9 -15.0 -5.0 -5 CHF -3.0 -3.2 -2.9 -7.0 -7 COCOA 2.4 2.2 2.6 1.0 1 COFFEE -0.3 -0.3 -0.2 0.0 0 COPPER -5.5 -6.0 -4.9 -5.0 -5 CORN -5.8 -6.2 -5.4 -5.0 -5 COTTON2 -2.8 -3.0 -2.6 -3.0 -3 CRUDE_W 3.6 3.2 4.0 3.0 3 DAX -1.3 -2.4 -0.1 -1.0 -1 DOW -8.5 -9.3 -7.7 -5.0 -5 DX 1.5 1.3 1.8 NaN 0 EUR -0.7 -0.9 -0.5 -3.0 -3 EURIBOR-ICE 8.3 7.2 9.4 0.0 0 EUROSTX 0.8 0.4 1.1 2.0 2 FEEDCOW -1.5 -1.7 -1.4 -1.0 -1 GASOIL 1.0 0.8 1.1 1.0 1 GASOLINE 0.1 -0.0 0.2 1.0 1 GAS_US_mini -0.7 -2.5 1.1 -1.0 -1 GBP -0.4 -0.7 -0.2 0.0 0 GOLD_micro -6.0 -7.1 -5.0 -1.0 -1 HEATOIL 0.2 0.1 0.3 0.0 0 JGB-SGX-mini -8.6 -11.5 -5.7 -7.0 -7 JPY -2.9 -3.1 -2.7 -6.0 -6 LEANHOG 3.6 3.1 4.1 1.0 1 LIVECOW -2.7 -2.9 -2.4 -2.0 -2 LUMBER-new -6.0 -6.4 -5.6 NaN 0 MILK -4.3 -4.6 -4.1 NaN 0 MXP 16.5 13.9 19.2 8.0 8 NASDAQ_micro -3.8 -4.1 -3.5 -8.0 -8 NIKKEI 7.9 5.9 9.9 7.0 7 NZD -0.4 -0.6 -0.1 -1.0 -1 OAT 0.3 0.0 0.5 2.0 2 OATIES -5.2 -5.5 -4.9 NaN 0 OJ 1.1 1.0 1.2 NaN 0 PALLAD -0.9 -1.0 -0.9 -1.0 -1 PLAT 0.8 0.6 1.1 0.0 0 REDWHEAT -2.4 -2.5 -2.2 -5.0 -5 RICE -3.7 -4.1 -3.4 NaN 0 ROBUSTA 0.5 0.4 0.6 1.0 1 RUSSELL -18.3 -19.6 -17.0 -9.0 -9 SHATZ -4.1 -4.6 -3.5 NaN 0 SILVER-mini -0.7 -0.9 -0.5 NaN 0 SMI -0.9 -1.1 -0.7 -1.0 -1 SOFR -7.1 -8.3 -5.9 NaN 0 SOYBEAN 0.0 -0.0 0.1 -1.0 -1 SOYMEAL 0.1 0.1 0.2 0.0 0 SOYOIL -0.9 -1.0 -0.8 -3.0 -3 SP400 -0.7 -0.8 -0.7 -2.0 -2 SP500_micro -7.2 -7.8 -6.6 0.0 0 SUGAR11 2.7 2.5 3.0 0.0 0 US10 -0.8 -0.9 -0.7 NaN 0 US10U -0.5 -0.6 -0.4 -1.0 -1 US2 -2.0 -2.2 -1.8 NaN 0 US20 -0.2 -0.3 -0.2 -1.0 -1 US30 -0.2 -0.2 -0.1 -2.0 -2 US5 -1.6 -1.8 -1.5 -3.0 -3 VIX -17.4 -18.9 -15.8 -14.0 -14 WHEAT -2.8 -2.9 -2.6 -3.0 -3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 0.2 0.1 -0.4 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.1 -0.4 0.1 -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 -0.1 0.1 -0.2 0.0 -0.1 0.3 0.2 0.2 -0.2 -0.2 -0.7 -0.0 0.2 BITCOIN 0.6 0.6 -0.1 -0.0 0.1 -0.1 0.1 -0.0 0.0 0.1 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 0.0 0.1 0.1 0.0 0.1 -0.0 0.5 0.6 0.6 0.6 -0.1 0.7 -0.0 0.7 BOBL 0.3 0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 0.1 -0.3 0.0 -0.0 0.2 -0.1 0.0 -0.1 -0.0 -0.1 0.1 -0.3 0.0 1.2 -0.0 0.1 -0.1 0.0 -0.1 0.0 -0.2 -0.1 0.1 0.3 0.3 -0.7 -0.7 -0.5 -0.6 BTP 0.4 -0.4 -0.4 -0.0 0.1 -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 0.1 -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 -0.1 -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 -0.0 -0.1 0.1 -0.3 0.0 0.8 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.5 -0.1 0.1 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 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.1 0.1 -0.1 -0.7 -0.1 0.1 -0.1 0.0 0.0 -0.0 0.2 0.1 -0.1 0.2 0.2 0.3 0.1 0.5 0.3 CAD -0.2 -0.2 -0.4 -0.1 0.1 -0.1 0.0 0.0 -0.0 0.1 -0.4 -0.1 -0.5 -0.2 -0.2 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.0 -0.3 -0.1 0.3 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 0.0 -0.4 -0.4 -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 0.0 -0.1 -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 -0.0 0.1 -0.1 0.0 0.0 -0.0 -0.0 -0.3 -0.0 0.2 -0.0 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.0 -0.0 -0.1 -1.2 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -1.1 -0.5 0.4 -0.4 -0.2 -0.7 -0.7 -0.7 -0.7 COCOA 0.6 -0.0 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 -2.5 0.1 0.1 0.2 0.1 0.3 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 0.1 -0.4 0.1 -0.5 0.1 0.1 0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.3 0.2 -2.7 0.0 0.1 -0.0 0.1 -0.1 0.1 0.0 0.3 0.6 0.6 0.1 -0.7 -0.7 -0.7 -0.4 COPPER 0.2 -0.3 -0.4 -0.0 0.0 -0.1 0.1 -0.0 0.0 0.1 -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 0.3 -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 -0.1 -0.7 -0.0 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.5 -0.0 -2.6 -0.0 0.0 -0.1 -0.0 -0.3 -0.0 -0.2 -0.2 -0.1 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 0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.2 -2.7 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.5 -0.6 -0.2 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 -0.0 0.3 -0.0 0.1 0.2 0.2 0.3 0.2 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 -0.0 0.3 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 0.0 -0.0 -0.1 2.2 -0.1 0.1 -0.1 0.0 -0.0 -0.0 -0.2 -0.1 -0.2 -0.1 -0.1 0.3 0.1 0.6 0.3 DOW 0.1 -0.6 -0.5 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.1 -0.1 0.1 0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 0.1 -0.0 -0.1 -1.1 -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 -0.4 0.2 0.6 -0.1 0.1 -0.1 0.0 0.0 -0.0 -0.1 0.5 -0.0 -0.1 0.1 0.2 0.1 0.1 0.1 0.1 0.2 0.2 -0.1 0.3 0.1 -2.7 0.1 -0.1 0.2 -0.0 0.2 0.0 0.8 -0.5 -0.2 0.6 0.6 0.2 0.3 0.3 0.7 EUR 0.4 -0.2 -0.5 -0.0 0.1 -0.1 0.0 0.0 -0.0 0.1 -0.3 0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.2 -0.0 1.6 -0.0 0.1 -0.1 0.0 -0.1 -0.0 -0.4 0.0 0.3 -0.1 -0.3 -0.4 -0.6 -0.3 -0.2 EURIBOR-ICE 0.5 0.3 0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 0.1 -0.2 0.1 0.0 -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 0.2 0.3 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 0.1 0.1 -0.1 0.6 -0.1 0.1 -0.1 0.0 0.0 -0.0 0.2 0.1 0.1 0.3 0.2 0.2 0.2 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 -0.1 -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 -0.6 0.2 0.5 -0.1 0.7 0.2 GASOIL -0.4 -0.6 0.6 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.3 -0.1 0.3 -0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.2 -0.1 0.4 -0.1 1.1 0.0 -0.0 0.2 -0.0 0.2 -0.0 0.0 -0.0 -0.1 0.2 0.4 -0.3 0.0 -0.5 -0.2 GASOLINE -0.0 -0.6 0.0 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.1 0.2 -0.1 0.2 -0.1 -0.0 0.1 0.4 0.4 0.4 -0.1 0.1 -0.1 0.3 -0.1 -2.7 -0.0 -0.0 0.1 -0.0 0.2 -0.0 0.9 0.0 0.2 -0.5 -0.6 0.7 0.3 0.7 0.2 GAS_US_mini -0.1 0.4 0.6 0.0 -0.0 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 0.1 -0.5 0.0 2.7 0.0 0.1 0.0 0.1 -0.1 0.0 -1.1 0.5 0.2 0.6 -0.6 -0.3 0.2 -0.5 0.1 GBP 0.3 -0.4 -0.6 -0.0 0.1 -0.1 0.0 0.0 -0.0 0.1 -0.3 0.0 0.2 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.1 -0.1 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.0 0.2 0.1 0.2 -0.4 -0.4 -0.2 0.2 0.0 0.7 GOLD_micro 0.6 0.4 -0.3 -0.0 0.0 -0.0 0.1 -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 -0.2 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 -0.1 0.4 -0.1 0.3 -0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.2 -0.1 0.5 -0.1 -2.7 0.0 -0.0 0.2 -0.0 0.3 -0.0 0.1 -0.0 0.2 0.0 0.3 0.2 -0.1 -0.0 -0.2 JGB-SGX-mini -0.1 -0.4 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 -0.1 0.1 -0.1 -0.1 0.0 0.4 0.2 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 -0.5 -0.1 -0.1 0.0 -0.6 0.4 0.5 JPY 0.3 0.1 -0.5 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.0 -0.4 -0.1 -0.6 -0.1 -0.2 -0.4 -0.3 -0.4 -0.4 -0.2 -0.2 -0.0 -0.5 -0.1 2.7 -0.1 0.0 -0.2 -0.0 -0.3 -0.0 -1.1 -0.4 -0.4 -0.3 -0.5 -0.3 -0.7 -0.1 -0.7 LEANHOG -0.1 -0.3 0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.0 0.0 -0.2 -0.1 -0.1 -0.3 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 0.5 -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 0.1 0.0 -0.3 -0.1 0.1 -0.2 0.0 -0.2 -0.0 0.2 -0.6 0.1 -0.7 -0.0 -0.2 -0.4 -0.3 -0.4 -0.4 -0.1 -0.2 0.2 -0.5 -0.0 NaN -0.1 0.2 -0.2 0.1 -0.3 0.0 -1.2 0.6 0.3 0.3 -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 -0.2 -0.5 -0.2 -0.0 -0.3 -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 0.0 -0.3 0.3 -0.7 -0.7 -0.7 -0.7 MXP 0.2 -0.6 -0.6 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.1 0.1 0.1 0.4 -0.0 -0.1 0.3 0.3 0.3 0.3 -0.0 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 0.4 -0.0 0.1 0.4 0.4 0.6 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 -0.0 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 0.0 0.1 0.2 -0.0 -2.7 -0.0 0.1 0.0 0.0 0.1 -0.0 -0.3 -0.0 -0.0 0.1 0.2 0.1 -0.4 0.1 -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 0.0 0.2 -0.0 -0.9 -0.0 0.1 0.0 0.0 0.2 -0.0 1.1 0.1 0.4 0.3 0.3 -0.1 0.1 -0.1 0.4 NZD -0.2 0.2 -0.3 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.1 -0.3 -0.0 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 0.0 -0.1 -0.1 0.1 -0.2 -0.0 0.1 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.2 0.2 -0.2 0.2 -0.1 0.1 -0.5 0.3 0.3 OAT 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 0.1 0.2 0.1 0.1 -0.1 -0.1 0.1 -0.3 0.0 1.1 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.8 -0.1 0.1 0.2 0.2 -0.7 -0.7 -0.3 0.3 OATIES -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 -0.4 -0.2 -0.4 -0.3 -0.2 -0.1 -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 -0.1 0.0 -0.2 -0.0 -0.2 0.5 -0.1 0.7 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 -0.2 0.5 0.2 -2.7 0.1 -0.1 0.2 -0.0 0.4 0.0 1.1 -0.5 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 -0.6 -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 -0.2 -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 0.2 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 -0.1 -0.7 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.1 -0.5 -0.2 -2.5 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.2 -0.5 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.4 RICE -0.2 -0.2 0.2 -0.1 0.0 -0.2 0.0 -0.2 -0.0 -0.1 0.2 -0.2 0.2 -0.1 0.0 -0.4 0.1 -0.3 -0.0 -0.0 0.0 -0.2 0.1 -0.1 -2.7 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.4 -0.5 -0.2 -0.1 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 -0.0 0.3 -0.0 -2.3 0.0 -0.0 0.1 -0.0 0.2 0.0 1.1 -0.5 0.4 0.5 0.2 -0.1 -0.4 0.6 -0.0 RUSSELL -0.0 -0.6 -0.6 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.1 -0.3 -0.0 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.0 -0.2 -0.1 -0.3 -0.0 0.1 -0.1 0.0 -0.0 -0.0 -0.1 0.0 -0.2 -0.3 -0.1 -0.4 -0.5 -0.7 -0.7 SHATZ 0.3 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 -0.0 -0.4 -0.3 -0.4 -0.4 -0.0 -0.1 0.1 -0.4 0.0 1.4 -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.1 -0.1 -0.0 0.3 0.3 -0.6 -0.7 -0.4 -0.7 SILVER-mini 0.6 -0.2 -0.3 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.1 0.1 0.1 -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 0.2 -0.2 0.2 -0.5 -0.7 -0.1 -0.7 SMI -0.6 -0.5 -0.5 -0.0 0.1 -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 0.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.7 -0.1 -0.5 0.1 0.2 -0.3 -0.4 -0.2 -0.2 SOFR 0.3 0.0 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 0.1 -0.2 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.1 -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 -0.2 0.0 -0.1 0.0 -0.1 0.0 -0.2 -0.0 0.2 0.2 0.2 0.1 -0.0 -0.1 0.3 0.4 0.3 0.3 -0.0 0.0 0.2 0.0 0.1 -2.7 0.0 0.2 0.0 0.1 0.0 0.0 1.1 0.5 0.5 0.2 0.2 -0.7 -0.2 -0.7 -0.0 SOYMEAL 0.6 0.2 -0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 0.1 0.1 0.1 0.1 0.3 0.3 0.3 0.3 0.1 0.0 0.2 0.0 0.2 -2.7 0.0 0.1 0.0 0.1 0.1 0.1 1.1 0.5 0.6 0.6 0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.4 -0.6 -0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 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 -0.3 -0.2 0.1 0.4 0.6 SP400 -0.1 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.2 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 -1.2 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.1 -0.1 -0.1 -0.2 -0.0 -0.2 -0.5 -0.5 -0.7 SP500_micro -0.1 -0.6 -0.6 -0.0 0.1 -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 0.1 0.1 -0.1 -2.1 -0.0 0.1 -0.0 0.0 0.1 -0.0 -0.4 -0.0 0.0 -0.1 0.1 -0.1 -0.4 -0.1 -0.6 SUGAR11 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.2 -0.0 0.1 0.5 0.2 0.7 0.2 0.2 0.4 0.3 0.4 0.4 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.1 0.2 0.0 0.5 0.0 1.1 0.4 0.6 0.6 0.6 -0.7 -0.6 0.3 0.1 US10 0.3 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 -0.1 -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 -0.0 -0.1 -0.1 -0.1 -0.7 -0.7 -0.0 0.0 US10U 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 0.0 -0.0 0.0 -0.0 -0.1 -0.1 0.0 -0.3 -0.0 -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 0.2 0.5 US2 0.3 0.6 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 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.1 -0.4 0.0 1.1 -0.0 0.1 -0.1 0.0 -0.2 0.0 -1.1 -0.2 -0.1 0.2 0.1 -0.7 -0.7 -0.4 -0.7 US20 0.3 -0.1 -0.5 -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 0.0 -0.0 -0.1 -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 0.1 -0.2 0.0 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.3 -0.1 -0.2 -0.2 -0.2 -0.2 -0.7 0.7 0.7 US5 0.3 0.2 -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 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 0.1 -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 0.4 1.0 1.0 0.0 -0.1 -0.1 -0.1 -0.4 -0.0 -0.2 -0.5 -0.1 -0.8 0.0 0.0 -0.6 -0.6 -0.6 -0.6 -0.0 -0.1 -0.2 -0.6 -0.0 NaN 0.0 -0.2 -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 -0.0 -0.5 -0.1 -0.7 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.0 -0.5 -0.1 -0.7 -0.1 0.0 -0.2 -0.0 -0.3 -0.0 -1.1 -0.3 -0.1 0.1 -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 5.7 3.2 -11.8 -3.4 9.3 -1.8 3.0 0.2 -1.5 13.4 -13.5 7.4 -11.4 -0.0 -12.6 -3.1 -3.0 -3.3 -3.2 -6.2 -10.3 12.6 -10.9 2.0 3.5 -3.3 13.8 -5.0 7.3 -4.9 1.1 -1.3 13.6 5.3 5.9 -6.8 -6.5 -20.0 -1.0 4.8 BITCOIN 20.0 18.3 -2.7 -1.2 5.9 -2.7 7.4 -0.9 4.3 13.5 12.4 20.0 11.1 20.0 12.8 -7.3 -4.8 -6.5 -5.9 20.0 12.6 20.0 4.9 20.0 -20.0 6.6 3.7 2.6 9.5 1.0 10.6 -0.6 20.0 20.0 20.0 17.7 -3.0 20.0 -0.9 20.0 BOBL 8.9 1.0 2.5 -2.1 4.1 -2.6 2.4 -2.5 -0.1 7.9 -5.5 7.6 -7.9 3.8 -1.3 10.7 -3.9 1.9 -3.6 -1.4 -5.1 9.3 -9.4 4.1 9.2 -0.7 5.7 -2.1 4.6 -3.4 2.0 -4.4 -2.2 3.3 8.3 9.3 -20.0 -20.0 -14.7 -18.4 BTP 11.5 -13.1 -11.1 -2.9 5.8 -3.6 3.4 -3.5 -0.2 11.3 -6.5 10.0 -2.3 -1.6 -7.3 7.6 7.6 6.7 6.6 -6.4 -7.7 16.1 -6.7 3.5 -6.8 -2.2 8.6 -2.5 5.7 -1.8 1.3 15.2 4.6 7.0 3.8 5.7 -13.6 -20.0 -0.8 6.9 BUND 7.3 -4.6 -2.1 -2.2 4.3 -2.7 2.5 -2.6 -0.1 8.3 -6.9 6.5 -8.7 -0.3 -4.9 -2.3 5.2 -0.5 2.0 -4.1 -7.1 8.7 -10.4 1.9 6.1 -1.7 5.9 -2.6 3.9 -3.2 0.9 9.4 -3.4 3.1 5.4 5.8 -20.0 -20.0 -20.0 -3.1 BUXL 3.9 -10.1 -6.1 -2.3 4.6 -2.9 2.7 -2.8 -0.1 8.7 -8.9 1.0 -10.0 -4.7 -7.7 0.8 0.9 0.6 0.9 -9.3 -11.9 5.4 -14.5 -2.8 1.4 -2.9 4.4 -3.4 1.9 -3.3 -0.8 4.7 -9.5 -0.2 -0.9 -1.1 -18.6 -20.0 -11.9 17.2 CAC -5.6 -18.5 -18.6 -5.2 9.3 -3.6 2.3 -1.0 -3.3 16.5 -8.5 -1.7 13.0 -12.5 -16.2 -4.2 -2.5 -5.3 -4.5 -17.1 -10.7 6.6 2.8 -10.9 -5.3 -5.9 8.9 -3.7 2.4 0.3 -3.8 4.3 3.8 -4.3 4.7 5.1 9.4 3.3 15.6 9.3 CAD -5.2 -6.8 -12.3 -4.8 13.2 -2.6 4.3 0.3 -2.2 13.4 -14.8 -6.5 -14.9 -14.9 -19.1 -2.6 -2.2 -2.5 -2.4 -16.7 -13.5 -1.1 -10.4 -13.6 2.1 -6.9 8.6 -5.3 -0.5 -3.6 -5.6 0.0 -16.2 -12.9 -2.5 -15.7 -20.0 -20.0 -14.5 -20.0 CANOLA -5.4 -20.0 -9.4 -3.1 2.9 -3.1 0.3 -2.9 -1.8 1.7 -2.0 -8.8 -4.3 -11.5 -11.0 -18.3 4.0 -11.4 -3.6 -17.7 -10.9 -11.1 -6.5 -17.4 -20.0 -3.8 -0.3 -2.6 -2.4 -2.0 -3.7 0.2 -16.4 -15.7 -20.0 -9.4 -9.8 -2.9 8.2 9.1 CHF 15.2 -12.1 -17.4 -4.2 11.6 -2.2 3.8 0.3 -1.9 -3.2 -9.4 -4.3 5.3 -2.9 -11.8 -16.6 -14.8 -16.7 -15.8 -10.6 -8.9 -5.4 -1.4 -6.3 -8.7 -4.0 0.5 -3.3 -2.2 -0.7 -2.5 -20.0 -20.0 11.4 -12.7 -6.3 -20.0 -20.0 -20.0 -20.0 COCOA 20.0 -0.7 0.5 -5.8 5.4 -5.7 0.6 -5.4 -3.4 19.8 20.0 20.0 20.0 20.0 18.3 -4.4 -2.7 -4.1 -3.4 20.0 20.0 20.0 20.0 20.0 -18.5 7.3 7.9 8.1 9.5 9.6 9.1 -6.2 20.0 20.0 20.0 20.0 6.5 -5.2 20.0 6.8 COFFEE 20.0 13.8 -0.0 -5.0 4.7 -5.0 0.5 -4.8 -3.0 12.1 -13.4 13.7 -14.1 11.9 5.3 1.5 1.4 -0.2 0.3 5.4 -5.1 16.6 -10.8 14.1 -20.0 3.2 8.7 -0.4 7.2 -1.8 6.6 0.4 10.8 20.0 20.0 3.2 -20.0 -20.0 -20.0 -12.0 COPPER 6.2 -10.2 -12.1 -1.0 4.9 -2.3 6.2 -0.7 3.6 16.0 -16.9 16.5 -6.6 -7.5 -15.9 -8.1 -3.9 -6.9 -5.5 -11.2 -14.5 12.4 -12.5 0.3 -6.2 -3.9 7.5 -5.2 6.8 -4.4 1.1 0.6 13.1 -12.4 -12.1 -0.5 2.4 -20.0 7.7 -20.0 CORN 2.4 3.6 -20.0 -5.3 4.9 -5.2 0.5 -5.0 -3.1 6.3 -19.4 -9.1 -18.8 -1.5 -17.7 -5.3 1.3 -5.6 -3.6 -8.0 -18.5 -0.5 -20.0 -2.5 -19.5 -1.8 5.5 -4.6 -0.0 -7.7 -1.2 -3.1 -8.5 -1.8 15.5 -1.8 -7.4 -1.4 3.0 5.5 COTTON2 -19.3 -13.0 3.5 -4.7 4.4 -4.7 0.5 -4.4 -2.8 -13.9 5.6 -16.5 -8.7 -16.5 -6.9 -9.1 2.4 -4.8 -1.3 -11.0 -1.5 -20.0 -0.8 -20.0 -20.0 -4.0 -9.0 -0.1 -9.9 1.4 -8.1 -0.2 -20.0 -20.0 -5.1 11.2 -19.8 -14.0 1.8 6.7 CRUDE_W -3.0 -11.9 17.3 0.9 -3.1 4.6 -3.9 4.8 -3.0 -10.5 13.6 -0.4 8.1 -0.0 10.5 9.9 11.4 13.5 12.5 9.8 16.5 -5.5 14.4 -0.4 -5.3 3.5 -2.4 7.1 -2.4 7.3 -0.7 -20.0 9.8 10.6 15.1 0.6 20.0 10.0 20.0 9.1 DAX -6.1 -19.9 -20.0 -4.6 8.3 -3.2 2.1 -0.9 -2.9 14.5 -12.3 -4.5 9.4 -13.0 -16.4 -9.4 -8.0 -9.6 -9.1 -19.7 -13.9 3.3 -1.8 -13.5 16.3 -5.8 6.9 -4.3 1.2 -1.2 -3.9 -4.4 -4.6 -4.9 -4.0 -3.3 9.6 2.0 17.3 10.4 DOW 4.5 -20.0 -15.6 -3.7 6.6 -2.6 1.6 -0.7 -2.3 12.1 -4.6 4.7 6.0 -6.3 -9.5 -9.9 -8.9 -10.8 -10.4 -10.4 -7.0 8.6 -1.6 -5.3 -8.6 -3.6 7.7 -2.0 2.2 0.2 -2.2 -6.4 -0.8 4.9 -2.1 7.4 -16.2 -7.4 -20.0 -8.3 DX -11.7 6.5 20.0 -4.8 13.2 -2.6 4.3 0.3 -2.2 -13.5 18.9 -1.3 -3.7 10.8 20.0 7.3 5.9 7.2 6.6 17.0 18.4 -9.4 12.4 4.9 -20.0 6.5 -11.1 6.9 -3.7 5.1 2.0 14.7 -20.0 -6.3 20.0 20.0 5.6 8.2 9.0 20.0 EUR 11.8 -6.6 -16.6 -3.5 9.6 -1.9 3.1 0.2 -1.6 8.5 -12.1 5.8 3.3 -3.0 -12.5 -6.4 -6.9 -6.7 -6.7 -8.5 -9.6 7.8 -5.8 -0.5 11.8 -3.9 8.0 -4.3 3.6 -2.5 -0.2 -7.6 1.4 7.8 -3.6 -9.4 -11.2 -17.8 -8.7 -5.4 EURIBOR-ICE 16.6 8.9 7.6 -1.9 3.8 -2.4 2.2 -2.3 -0.1 7.4 -2.5 8.0 -6.7 6.3 4.4 -3.5 -7.3 -6.1 -7.3 4.1 -1.0 16.1 -6.9 10.4 17.1 1.4 6.1 -0.2 5.8 -2.0 3.7 -10.0 10.4 10.3 15.3 15.1 -20.0 -20.0 5.7 19.0 EUROSTX -2.4 -14.3 -18.1 -4.8 8.5 -3.3 2.1 -0.9 -3.0 16.0 -8.7 0.9 11.2 -10.0 -15.6 -5.4 -2.4 -5.4 -4.5 -12.9 -8.8 8.6 2.3 -6.3 4.5 -5.2 11.0 -3.8 4.1 0.1 -2.3 4.4 3.8 3.9 9.8 4.9 6.3 4.6 10.5 14.0 FEEDCOW -20.0 -20.0 -18.9 -4.2 3.9 -4.1 0.4 -3.9 -2.5 5.4 4.6 -9.4 11.0 -13.8 -9.9 -12.9 -20.0 -13.1 -20.0 -18.3 0.5 -13.3 13.5 -20.0 -2.2 -3.3 0.8 1.0 -2.9 4.0 -5.3 -20.0 -20.0 -20.0 -19.3 5.5 14.1 -2.5 20.0 7.1 GASOIL -11.0 -17.3 20.0 0.7 -2.4 3.6 -3.0 3.7 -2.3 -12.4 11.1 -9.1 7.5 -5.6 8.2 20.0 20.0 20.0 20.0 5.2 14.0 -8.5 14.3 -5.3 8.4 2.2 -2.2 5.6 -2.7 5.2 -1.7 0.0 -1.4 -1.8 7.3 11.7 -8.7 0.7 -13.7 -4.8 GASOLINE -0.4 -20.0 0.4 0.9 -3.1 4.7 -4.0 4.8 -3.1 -13.0 8.5 -5.2 6.8 -11.4 -3.5 3.9 20.0 20.0 20.0 -5.3 5.4 -9.6 12.9 -10.0 -20.0 -2.5 -3.2 2.1 -3.5 5.9 -4.1 16.0 0.8 4.8 -16.7 -20.0 20.0 9.9 20.0 5.7 GAS_US_mini -1.8 13.3 20.0 1.1 -3.8 5.7 -4.8 5.9 -3.7 11.3 -14.6 2.6 -20.0 0.0 -9.6 -20.0 -20.0 -20.0 -20.0 -0.8 -10.1 6.8 -20.0 2.7 20.0 2.2 6.9 0.4 5.7 -2.7 3.1 -20.0 20.0 5.6 17.2 -20.0 -8.3 6.2 -13.8 1.7 GBP 8.0 -13.3 -17.3 -4.0 11.0 -2.1 3.6 0.3 -1.8 11.5 -10.0 1.7 6.9 -8.9 -15.5 -0.8 -0.8 -0.6 -0.6 -11.2 -9.3 8.9 -3.1 -2.9 0.6 -4.7 9.9 -4.0 3.8 -2.0 -1.2 2.8 6.1 5.0 -11.8 -12.4 -5.7 6.3 1.0 20.0 GOLD_micro 20.0 12.0 -10.5 -0.7 3.8 -1.8 4.8 -0.6 2.8 -1.0 -4.4 12.9 2.4 13.2 6.7 -15.1 -14.7 -16.7 -16.2 8.8 -0.9 15.7 -1.3 19.1 -6.7 2.0 1.3 -0.0 3.8 0.1 4.5 -18.1 -8.4 20.0 8.3 5.9 -10.7 -20.0 -9.0 -20.0 HEATOIL -7.5 -14.7 18.8 1.0 -3.2 4.8 -4.1 4.9 -3.1 -13.8 13.1 -5.0 8.4 -6.7 9.3 20.0 20.0 20.0 20.0 5.7 17.0 -9.2 17.9 -6.3 -20.0 1.7 -3.4 6.9 -3.3 8.6 -2.7 1.2 -0.8 5.2 0.3 10.5 6.8 -2.2 -0.3 -6.7 JGB-SGX-mini -4.6 -12.6 -18.8 -2.5 3.5 -2.8 1.7 -2.7 -0.7 -3.6 -4.9 -7.4 1.9 -8.0 -9.0 2.0 19.2 11.9 15.1 -10.3 -7.0 -11.3 -2.2 -11.5 -1.6 -3.3 -2.2 -2.3 -3.7 -1.3 -3.7 20.0 -20.0 -14.2 -3.3 -3.5 0.3 -16.8 13.5 13.8 JPY 8.5 4.1 -15.8 -3.4 9.2 -1.8 3.0 0.2 -1.5 4.3 -16.2 -5.3 -15.5 -11.8 -15.4 -19.6 -15.9 -19.0 -17.7 -16.1 -20.0 -4.1 -20.0 -9.4 20.0 -5.9 0.2 -7.2 -2.4 -7.5 -4.1 -20.0 -18.3 -12.7 -9.4 -16.5 -7.8 -20.0 -4.2 -20.0 LEANHOG -4.3 -8.7 3.1 -3.0 2.8 -3.0 0.3 -2.9 -1.8 9.7 -1.8 4.2 -5.8 -4.7 -6.5 -13.3 20.0 20.0 20.0 -5.9 -6.8 7.0 -9.1 -1.8 12.2 -2.6 5.8 -4.3 3.6 -6.5 -0.3 20.0 19.0 -1.5 1.0 -2.8 -8.3 -3.2 11.8 20.0 LIVECOW -20.0 -20.0 -13.9 -4.1 3.9 -4.1 0.4 -3.9 -2.5 7.8 9.5 -3.1 12.8 -8.2 -4.9 -15.0 -5.1 -17.9 -9.9 -7.1 4.7 -3.8 12.6 -11.9 0.0 -2.4 0.9 2.4 -2.5 5.7 -4.8 -11.5 -20.0 -20.0 -1.4 8.3 -11.7 -20.0 -4.9 -12.2 LUMBER-new 3.6 0.1 -9.4 -6.3 5.9 -6.0 0.6 -4.9 -3.8 20.0 -20.0 11.6 -20.0 -1.5 -20.0 -18.1 -14.8 -16.9 -15.7 -11.8 -17.4 17.1 -16.8 -0.0 NaN -5.5 20.0 -7.4 10.7 -6.1 0.7 -20.0 20.0 8.4 7.6 -20.0 -14.2 -20.0 -7.3 -18.4 MILK 2.4 -9.9 -3.9 -4.1 3.8 -4.0 0.4 -3.8 -2.4 -12.9 -8.1 -14.1 -12.5 -14.1 -2.9 -17.3 -20.0 -19.1 -20.0 -9.2 -13.2 -11.7 -20.0 -10.4 3.7 -3.3 -3.9 -5.9 -4.3 -9.5 -3.3 -20.0 -20.0 1.5 -9.1 9.9 -20.0 -20.0 -20.0 -20.0 MXP 5.3 -20.0 -18.8 -3.0 8.2 -1.6 2.7 0.2 -1.4 12.2 4.5 9.7 10.5 -3.6 -7.2 12.8 16.5 14.1 15.2 -4.6 0.3 16.0 10.1 2.3 -20.0 -1.7 10.1 0.3 6.3 4.2 1.0 20.0 20.0 11.3 -0.0 2.6 12.2 12.2 19.5 20.0 NASDAQ_micro -8.2 -20.0 -20.0 -3.0 5.4 -2.1 1.4 -0.6 -1.9 10.0 4.2 0.5 7.2 -4.5 -7.1 -9.2 -8.6 -9.7 -9.6 -5.7 1.0 5.8 7.2 -4.6 -20.0 -2.2 7.4 0.7 1.8 3.8 -1.9 -5.4 -2.0 -1.4 2.6 5.9 3.0 -13.0 1.5 -15.7 NIKKEI -1.2 -20.0 -15.2 -3.8 4.4 -2.4 -0.3 -0.6 -3.1 8.7 7.6 -0.3 9.6 -4.4 -4.4 3.3 10.4 6.6 8.9 -3.7 2.6 4.4 9.0 -3.3 -7.1 -2.0 6.4 1.5 1.8 4.9 -1.8 20.0 5.3 11.7 10.0 9.7 -2.9 2.5 -3.3 11.4 NZD -5.4 5.4 -10.2 -3.1 8.6 -1.7 2.8 0.2 -1.4 12.2 -12.3 -2.7 -3.2 -6.3 -12.1 -0.0 0.3 -0.0 0.1 -6.6 -8.1 6.9 -7.9 -2.4 0.9 -3.2 12.4 -3.6 4.1 -3.3 -1.1 4.3 8.4 -6.6 7.0 -4.5 4.5 -15.8 10.2 8.4 OAT 7.2 -6.9 -3.9 -2.3 4.6 -2.9 2.7 -2.8 -0.1 8.9 -7.4 6.5 -9.2 -1.5 -5.8 5.9 7.8 6.0 6.6 -4.9 -7.6 9.8 -10.2 1.8 8.4 -1.9 6.7 -2.7 4.2 -3.2 0.8 15.5 -2.6 3.4 4.9 5.8 -20.0 -20.0 -8.2 10.4 OATIES -16.9 -20.0 -4.7 -3.4 3.2 -3.4 0.3 -3.2 -2.1 -11.3 -0.4 -9.7 -2.2 -11.8 -10.9 -19.6 -8.8 -18.5 -15.6 -18.0 -5.0 -15.6 3.3 -19.5 -20.0 -3.3 -4.2 -0.9 -3.2 0.5 -3.7 -20.0 -7.8 -20.0 -20.0 -2.3 10.5 11.2 20.0 20.0 OJ -20.0 -0.8 -0.0 -5.5 5.2 -5.5 0.6 -5.2 -3.3 -19.0 20.0 -8.2 20.0 12.4 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 20.0 17.0 -20.0 7.6 -9.2 9.1 -2.8 9.8 3.7 20.0 -20.0 20.0 20.0 20.0 3.3 8.4 17.0 20.0 PALLAD -7.8 -5.5 -6.7 -0.7 3.4 -1.6 4.3 -0.5 2.5 -1.9 -14.7 -5.2 -15.3 -11.1 -12.6 -2.5 -2.7 -2.8 -2.8 -16.4 -20.0 -5.7 -20.0 -11.9 3.3 -4.9 -0.5 -5.2 -1.9 -5.6 -3.8 3.8 -6.5 -20.0 -11.8 -6.9 -10.3 -8.4 3.1 -4.1 PLAT 16.1 1.1 -7.8 -0.6 3.3 -1.5 4.1 -0.5 2.4 10.1 -11.0 11.6 -5.6 4.2 -4.7 -3.6 -2.7 -3.7 -3.3 -1.8 -7.1 11.5 -6.8 6.4 14.2 0.9 5.5 -0.9 6.5 -1.1 4.2 3.4 6.9 3.2 2.3 6.5 1.4 -17.2 9.1 -13.6 REDWHEAT -5.6 -18.8 -20.0 -5.1 4.7 -5.0 0.5 -4.8 -3.0 -7.2 -19.9 -13.8 -20.0 -18.5 -20.0 -6.7 -0.4 -5.0 -2.8 -20.0 -20.0 -15.9 -20.0 -20.0 -18.6 -7.3 -1.8 -6.5 -4.7 -4.4 -6.4 -3.4 -20.0 -18.6 -17.2 -20.0 -20.0 -20.0 -20.0 -11.4 RICE -5.5 -5.4 6.0 -5.7 5.3 -5.6 0.6 -5.3 -3.4 -16.0 9.1 -14.5 5.6 -13.1 1.7 -20.0 6.5 -14.6 -1.1 -1.6 4.2 -19.3 5.0 -10.3 -20.0 -2.1 -13.6 0.8 -11.9 1.5 -6.5 6.9 -20.0 -7.1 -1.7 17.6 -3.9 -20.0 15.5 -8.5 ROBUSTA 12.0 -11.6 -8.8 -3.9 3.6 -3.8 0.4 -3.7 -2.3 -8.4 8.7 -2.7 11.2 -1.5 -1.7 20.0 20.0 20.0 20.0 1.2 5.8 -4.2 12.8 -0.2 -17.4 1.1 -1.3 2.5 -1.0 5.0 0.9 20.0 -19.5 12.7 15.1 5.3 -3.1 -11.9 17.3 -0.1 RUSSELL -1.0 -20.0 -18.0 -3.2 5.8 -2.3 1.4 -0.6 -2.0 9.9 -9.7 -1.3 -7.1 -8.6 -11.2 -6.7 -6.3 -7.4 -7.2 -15.1 -11.4 4.4 -6.7 -10.1 -2.0 -3.7 6.4 -2.5 1.2 -0.9 -2.6 -1.3 0.4 -6.4 -10.2 -2.6 -12.5 -13.6 -20.0 -20.0 SHATZ 7.9 5.9 2.8 -2.0 4.0 -2.5 2.3 -2.4 -0.1 6.6 -7.0 5.3 -8.3 3.0 -2.4 -20.0 -13.3 -20.0 -20.0 -1.7 -6.8 6.8 -13.1 3.3 10.4 -0.5 3.1 -2.4 3.4 -4.5 1.8 -20.0 -6.0 -0.4 8.7 10.6 -19.0 -20.0 -11.8 -20.0 SILVER-mini 18.3 -4.9 -10.3 -0.7 3.7 -1.7 4.7 -0.5 2.7 2.7 -5.3 9.0 1.8 5.0 -3.9 -7.2 -6.4 -7.4 -7.1 -3.2 -5.3 3.7 -2.7 2.2 7.1 -0.3 2.6 -0.5 1.8 0.2 1.3 -3.1 -17.3 5.8 -5.0 5.9 -13.8 -20.0 -3.8 -20.0 SMI -17.2 -15.2 -14.5 -3.7 6.6 -2.6 1.6 -0.7 -2.3 12.2 -7.1 -7.2 0.6 -10.4 -11.8 4.9 2.0 3.0 1.6 -15.4 -10.5 -2.3 -4.8 -14.1 4.9 -4.1 3.4 -2.6 -0.6 -1.6 -3.9 13.2 -3.9 -14.3 1.8 5.6 -7.7 -12.1 -5.9 -6.8 SOFR 8.1 1.0 -12.1 -1.9 3.7 -2.3 2.2 -2.3 -0.1 7.1 -6.7 4.8 -5.7 -0.9 -5.3 0.7 -0.7 -0.4 -0.8 -5.3 -6.9 7.4 -6.2 -0.0 -1.3 -2.1 4.9 -2.6 2.6 -2.2 -0.2 1.6 1.9 -2.6 1.2 0.9 -20.0 -20.0 -5.0 -8.1 SOYBEAN 7.3 -7.7 0.6 -5.3 4.9 -5.2 0.5 -5.0 -3.2 17.9 7.1 18.0 4.1 -2.9 -9.2 16.5 17.7 13.8 14.4 -0.8 0.0 16.9 0.4 5.4 -20.0 0.6 20.0 0.5 11.7 0.8 4.5 20.0 20.0 16.2 5.7 6.0 -20.0 -6.5 -20.0 -1.0 SOYMEAL 20.0 5.2 -2.0 -3.5 3.3 -3.5 0.4 -3.3 -2.1 10.2 -2.3 12.5 1.7 10.7 5.4 17.2 17.5 14.1 15.5 7.4 1.7 18.1 1.6 14.7 -20.0 3.2 7.7 1.7 6.5 2.1 5.4 20.0 20.0 20.0 19.5 11.1 -20.0 -20.0 -20.0 -20.0 SOYOIL -12.6 -20.0 -8.1 -2.8 2.6 -2.7 0.3 -2.6 -1.7 -8.6 -0.3 -9.7 -2.1 -10.6 -9.4 7.0 11.4 10.7 11.0 -16.9 -8.3 -14.9 -2.5 -18.7 -20.0 -3.4 -2.7 -1.8 -3.1 -0.6 -3.8 17.6 -19.2 -20.0 -20.0 -9.4 -6.3 3.8 11.7 19.2 SP400 -1.7 -20.0 -20.0 -3.1 5.5 -2.1 1.4 -0.6 -1.9 9.6 -8.0 -0.9 -1.1 -7.4 -9.9 -5.2 -5.1 -5.4 -5.4 -13.1 -9.3 4.0 -3.9 -9.1 -8.7 -3.4 6.0 -2.2 1.1 -0.6 -2.4 1.3 -2.4 -3.7 -6.9 -0.6 -7.1 -14.6 -14.2 -20.0 SP500_micro -3.5 -20.0 -20.0 -3.6 6.4 -2.5 1.6 -0.7 -2.2 11.6 -0.3 1.4 5.7 -6.9 -9.4 -10.1 -9.8 -11.1 -11.0 -10.9 -4.7 7.2 2.0 -7.4 -15.7 -3.3 8.0 -1.1 2.0 1.4 -2.4 -7.6 -0.7 0.0 -4.0 3.8 -2.4 -12.3 -2.5 -17.1 SUGAR11 0.8 -1.4 1.3 -5.0 4.7 -5.0 0.5 -4.8 -3.0 15.1 18.9 14.8 18.6 14.6 17.8 20.0 16.9 20.0 18.2 16.4 20.0 9.8 20.0 11.2 -20.0 6.1 7.0 9.2 4.4 14.2 4.5 20.0 14.9 20.0 20.0 20.0 -20.0 -18.6 9.5 3.8 US10 8.1 2.4 -10.4 -1.8 3.5 -2.2 2.0 -2.1 -0.1 6.6 -7.1 2.6 -7.3 -3.2 -6.1 -5.1 -7.1 -6.9 -7.6 -7.2 -9.1 5.3 -9.3 -2.1 1.1 -2.3 3.7 -2.8 1.6 -2.6 -0.8 -10.0 -2.1 -4.1 -2.3 -2.5 -20.0 -20.0 -0.3 0.5 US10U 7.7 -0.4 -12.2 -2.1 4.2 -2.7 2.5 -2.6 -0.1 7.9 -8.6 2.4 -8.8 -4.6 -7.6 0.2 -0.4 0.3 -0.4 -9.7 -11.6 5.5 -11.2 -3.5 -2.0 -2.9 3.8 -3.3 1.5 -2.9 -1.1 2.1 -3.8 -5.4 -4.5 -5.1 -20.0 -20.0 7.2 15.1 US2 10.3 17.6 2.0 -1.9 3.8 -2.4 2.2 -2.3 -0.1 6.3 -8.1 3.7 -8.3 0.1 -5.6 -20.0 -20.0 -20.0 -20.0 -4.5 -9.8 5.6 -13.9 0.7 8.2 -1.7 5.8 -3.7 3.1 -5.5 0.6 -20.0 -6.7 -1.9 7.0 4.0 -20.0 -20.0 -10.7 -20.0 US20 8.1 -2.0 -14.0 -1.6 3.2 -2.0 1.9 -1.9 -0.1 5.9 -6.4 1.8 -6.3 -3.7 -5.8 -0.1 -1.6 -1.3 -1.7 -8.2 -9.4 4.2 -8.6 -3.1 -1.8 -2.2 2.5 -2.4 1.0 -2.1 -0.9 0.0 -1.8 -3.7 -6.1 -7.0 -11.0 -20.0 16.9 20.0 US30 6.4 -2.8 -11.3 -1.6 3.2 -2.0 1.9 -2.0 -0.1 6.0 -6.7 0.6 -6.6 -4.3 -6.2 -3.9 -4.0 -5.2 -5.0 -8.2 -9.2 3.0 -8.8 -3.6 -1.4 -2.3 2.2 -2.5 0.7 -2.2 -1.1 -4.8 -4.4 -4.9 -5.3 -6.2 -6.8 -20.0 20.0 20.0 US5 8.2 6.6 -6.9 -1.9 3.7 -2.3 2.1 -2.2 -0.1 6.9 -7.5 3.4 -7.7 -2.0 -5.9 -9.0 -10.4 -11.4 -11.8 -5.9 -8.5 6.1 -9.8 -0.7 3.2 -2.2 4.9 -3.0 2.4 -3.2 -0.3 -16.4 -1.9 -3.0 1.8 1.0 -20.0 -20.0 -9.8 -18.2 VIX 7.1 20.0 20.0 0.5 -9.2 -2.9 -5.0 -6.5 -0.2 -12.9 -11.4 -8.2 -13.7 0.9 2.0 -20.0 -20.0 -20.0 -20.0 -0.6 -7.1 -12.7 -14.8 -2.5 NaN 0.5 -10.6 -3.3 -5.7 -7.8 -0.3 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 3.7 -5.4 -20.0 -5.1 4.8 -5.1 0.5 -4.8 -3.1 -4.9 -19.3 -8.6 -20.0 -7.1 -19.2 -12.2 -10.3 -11.8 -11.3 -17.4 -20.0 -5.3 -20.0 -8.5 -5.6 -6.1 0.3 -8.3 -2.9 -9.0 -3.9 -19.8 -12.8 -2.8 4.5 -12.4 -20.0 -17.5 -20.0 -13.8 End of report for caleb_strategy_v3