******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231110_204340 produced at 2023-11-10 21:39:36.200022 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.53 0.0 0.00 0.00 0.00 0.00 -6.18 11.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.13 -0.19 0.0 0.19 -0.19 -0.13 -0.13 -5.76 6.0 -4 -4 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.19 0.0 0.00 0.00 0.00 0.00 -4.71 24.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.35 -0.17 0.0 0.65 -0.65 -0.35 -0.30 -3.47 13.0 -7 -6 caleb_strategy_v3 US2 False True 0.07 0.00 -0.16 0.0 0.00 0.00 0.00 0.00 -2.17 13.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.05 -0.15 0.0 0.76 -0.76 -0.05 -0.05 -5.67 29.0 -2 -2 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.14 0.0 0.11 -0.11 -0.11 -0.11 -22.50 17.0 -17 -17 caleb_strategy_v3 JPY False False 0.03 -0.15 -0.09 0.0 0.51 -0.51 -0.15 -0.15 -3.16 17.0 -5 -5 caleb_strategy_v3 LIVECOW False False 0.03 -0.05 -0.08 0.0 0.43 -0.43 -0.05 -0.08 -3.24 17.0 -2 -3 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.07 0.0 0.11 -0.11 -0.05 -0.05 -7.23 12.0 -5 -5 caleb_strategy_v3 SP400 False False 0.09 -0.09 -0.07 0.0 0.18 -0.18 -0.09 -0.09 -0.78 2.0 -1 -1 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 -0.06 0.0 0.39 -0.39 -0.01 -0.01 -9.02 56.0 -2 -2 caleb_strategy_v3 US5 False False 0.04 -0.15 -0.06 0.0 0.95 -0.95 -0.15 -0.15 -1.56 25.0 -4 -4 caleb_strategy_v3 RUSSELL False False 0.00 -0.04 -0.06 0.0 0.21 -0.21 -0.04 -0.04 -19.64 68.0 -12 -12 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.06 0.0 0.33 -0.33 -0.04 -0.04 -1.58 8.0 -1 -1 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -4.86 5.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.05 0.0 0.16 -0.16 -0.06 -0.07 -3.21 11.0 -4 -5 caleb_strategy_v3 DOW False False 0.01 -0.02 -0.05 0.0 0.41 -0.41 -0.02 -0.01 -7.35 66.0 -3 -1 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.19 -0.19 -0.02 -0.02 -14.07 51.0 -6 -6 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 -0.04 0.0 0.08 -0.08 -0.01 -0.02 -13.30 26.0 -5 -6 caleb_strategy_v3 SMI False False 0.04 -0.08 -0.04 0.0 0.38 -0.38 -0.08 -0.04 -1.00 9.0 -2 -1 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.04 0.0 0.38 -0.38 -0.01 0.00 -5.59 48.0 -1 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -5.11 2.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.06 -0.03 0.0 0.09 -0.09 -0.06 -0.05 -2.39 8.0 -5 -4 caleb_strategy_v3 US10 False False 0.04 0.00 -0.03 0.0 0.66 -0.66 0.00 0.00 -0.71 17.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.28 -0.03 0.0 0.55 -0.55 -0.28 -0.28 -0.99 16.0 -8 -8 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.06 -0.03 0.0 0.26 -0.26 -0.06 -0.04 -2.31 23.0 -5 -4 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.03 0.0 0.07 -0.07 -0.03 -0.07 -0.87 2.0 -1 -2 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.03 0.0 0.44 -0.44 -0.02 0.00 -1.20 19.0 -1 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.11 -0.11 -0.04 -0.04 -2.76 9.0 -3 -3 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -3.85 3.0 0 0 caleb_strategy_v3 SILVER-mini False True 0.02 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -1.06 0.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.02 0.0 0.67 -0.67 -0.05 -0.05 -0.42 14.0 -1 -1 caleb_strategy_v3 US20 False False 0.04 -0.04 -0.01 0.0 0.37 -0.37 -0.04 -0.04 -0.13 9.0 -1 -1 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.01 0.0 0.85 -0.85 0.00 0.00 -0.32 19.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.04 -0.01 0.0 0.52 -0.52 -0.04 -0.04 -0.36 13.0 -1 -1 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.50 -0.50 0.00 0.00 -0.14 10.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.11 -0.11 -0.03 -0.03 -0.86 10.0 -3 -3 caleb_strategy_v3 CAC False False 0.03 0.00 -0.01 0.0 0.33 -0.33 0.00 0.00 -0.20 12.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 -0.04 -0.01 0.0 0.12 -0.12 -0.04 -0.04 -0.36 3.0 -1 -1 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -1.04 4.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.01 0.0 0.15 -0.15 -0.02 -0.02 -0.48 10.0 -1 -1 caleb_strategy_v3 GBP False False 0.03 0.00 -0.01 0.0 0.61 -0.61 0.00 0.00 -0.27 22.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.00 0.0 0.45 -0.45 0.00 0.00 -0.20 21.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.13 6.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.25 -0.25 0.00 0.00 -0.10 6.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.11 4.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.08 7.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.02 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.22 9.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.05 -0.00 0.0 0.19 -0.19 -0.05 0.00 -0.09 4.0 -1 0 caleb_strategy_v3 DAX False False 0.01 -0.01 0.01 0.0 0.34 -0.34 -0.01 -0.01 2.02 58.0 -2 -1 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.0 0.20 -0.20 0.02 0.02 0.83 23.0 2 2 caleb_strategy_v3 BTP False False 0.04 0.00 0.01 0.0 0.43 -0.43 0.00 0.00 0.17 10.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.02 0.0 0.06 -0.06 0.00 0.00 0.96 3.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.02 0.0 0.11 -0.11 0.03 0.00 0.58 4.0 1 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.02 0.0 0.19 -0.19 0.00 0.00 2.01 18.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.14 0.03 0.0 0.48 -0.48 0.14 0.10 0.69 10.0 3 2 caleb_strategy_v3 EUROSTX False False 0.02 0.03 0.03 0.0 0.33 -0.33 0.03 0.03 1.84 20.0 2 2 caleb_strategy_v3 LEANHOG False False 0.01 0.02 0.04 0.0 0.14 -0.14 0.02 0.02 4.11 13.0 2 2 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.04 0.0 0.13 -0.13 0.05 0.05 1.69 5.0 2 2 caleb_strategy_v3 COCOA False False 0.01 0.03 0.04 0.0 0.38 -0.38 0.03 0.03 2.77 26.0 2 2 caleb_strategy_v3 DX False True 0.04 0.00 0.05 0.0 0.00 0.00 0.00 0.00 1.27 999999999.0 0 0 caleb_strategy_v3 BITCOIN False True 0.00 0.02 0.08 0.0 0.02 0.00 0.02 0.02 59.31 59.0 16 16 caleb_strategy_v3 NIKKEI False False 0.01 0.12 0.10 0.0 0.28 -0.28 0.12 0.09 12.80 36.0 15 12 caleb_strategy_v3 MXP False False 0.01 0.19 0.18 0.0 0.61 -0.61 0.19 0.20 17.70 60.0 19 20 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.28 0.79 0.0 0.93 -0.93 0.28 0.19 8.50 10.0 3 2 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 10.1 Shocked risk 22.4 Sum abs risk 49.2 Leverage 4.33 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2774446.22, 'annual_cash_vol_target': 693611.555, 'daily_cash_vol_target': 43350.7221875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6362 0.6913 11.0615 BITCOIN 773.6066 37525.0000 2.0616 32.9852 BOBL 0.2611 116.1300 0.2248 3.5967 BTP 0.6627 112.0200 0.5916 9.4648 BUND 0.5529 129.6300 0.4265 6.8237 BUXL 1.3895 124.2800 1.1181 17.8889 CAC 57.3190 7107.5000 0.8065 12.9033 CAD 0.0031 0.7244 0.4212 6.7397 CANOLA 7.8313 709.0000 1.1046 17.6729 CHF 0.0049 1.1118 0.4370 6.9913 COCOA 39.2344 4030.0000 0.9736 15.5769 COFFEE 3.1510 168.9500 1.8650 29.8405 COPPER 0.0342 3.5930 0.9530 15.2486 CORN 4.8587 507.0000 0.9583 15.3332 COTTON2 1.1143 79.6000 1.3998 22.3976 CRUDE_W 1.2237 73.8500 1.6571 26.5128 DAX 113.1537 15373.0000 0.7361 11.7769 DOW 235.5698 34268.0000 0.6874 10.9989 DX 0.4137 105.7300 0.3913 6.2612 EUR 0.0052 1.0695 0.4835 7.7365 EURIBOR-ICE 0.0490 97.2450 0.0503 0.8055 EUROSTX 37.0169 4237.0000 0.8737 13.9785 FEEDCOW 2.3937 228.3500 1.0483 16.7720 GASOIL 13.7607 777.7500 1.7693 28.3088 GASOLINE 0.0404 2.1679 1.8630 29.8081 GAS_US_mini 0.1023 3.2900 3.1108 49.7729 GBP 0.0071 1.2221 0.5772 9.2353 GOLD_micro 14.1318 1939.1000 0.7288 11.6605 HEATOIL 0.0457 2.6751 1.7071 27.3130 JGB-SGX-mini 0.2581 144.4700 0.1787 2.8587 JPY 0.0000 0.0066 0.6009 9.6151 LEANHOG 1.1759 75.6500 1.5545 24.8712 LIVECOW 1.6938 174.5750 0.9702 15.5240 LUMBER-new 7.8907 537.0000 1.4694 23.5105 MILK 0.1912 17.0600 1.1207 17.9314 MXP 0.0005 0.0563 0.8548 13.6767 NASDAQ_micro 146.6946 15572.2500 0.9420 15.0724 NIKKEI 338.4046 32895.0000 1.0287 16.4599 NZD 0.0042 0.5891 0.7134 11.4151 OAT 0.5701 124.4200 0.4582 7.3319 OATIES 7.0971 369.5000 1.9207 30.7318 OJ 5.9943 374.3500 1.6012 25.6199 PALLAD 21.0006 968.0000 2.1695 34.7118 PLAT 14.3089 846.3000 1.6908 27.0521 REDWHEAT 9.6269 651.0000 1.4788 23.6606 RICE 0.1481 16.8500 0.8789 14.0620 ROBUSTA 35.9081 2416.0000 1.4863 23.7802 RUSSELL 20.5447 1713.3000 1.1991 19.1861 SHATZ 0.0757 104.9800 0.0721 1.1535 SILVER-mini 0.3311 22.4000 1.4781 23.6491 SMI 75.8849 10622.0000 0.7144 11.4306 SOFR 0.0844 96.0100 0.0879 1.4059 SOYBEAN 9.9624 1280.5000 0.7780 12.4481 SOYMEAL 5.5415 421.8000 1.3138 21.0203 SOYOIL 0.7708 50.5800 1.5238 24.3813 SP400 24.5397 2444.5000 1.0039 16.0620 SP500_micro 33.8711 4422.0000 0.7660 12.2555 SUGAR11 0.3381 25.9400 1.3034 20.8550 US10 0.5135 107.4844 0.4777 7.6433 US10U 0.7169 110.8594 0.6467 10.3468 US2 0.1165 101.2500 0.1151 1.8415 US20 1.1043 113.4062 0.9737 15.5797 US30 1.6332 117.5625 1.3892 22.2269 US5 0.3163 105.0312 0.3011 4.8182 VIX 0.6308 17.1500 3.6781 58.8492 WHEAT 8.3480 659.5000 1.2658 20.2530 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 636.20 0.69 439.83 1.00 439.83 43350.72 98.56 -4.68 -46.12 BITCOIN 37.52 2.06 77.36 1.00 77.36 43350.72 560.37 9.77 547.72 BOBL 1161.30 0.22 261.05 1.07 279.51 43350.72 155.10 -2.04 -31.61 BTP 1120.20 0.59 662.66 1.07 709.50 43350.72 61.10 0.81 4.92 BUND 1296.30 0.43 552.85 1.07 591.94 43350.72 73.24 -1.85 -13.54 BUXL 1242.80 1.12 1389.52 1.07 1487.76 43350.72 29.14 -2.94 -8.57 CAC 710.75 0.81 573.19 1.07 613.71 43350.72 70.64 -0.82 -5.81 CAD 724.40 0.42 305.14 1.00 305.14 43350.72 142.07 -15.38 -218.43 CANOLA 141.80 1.10 156.63 0.73 113.61 43350.72 381.58 -15.16 -578.51 CHF 1389.69 0.44 607.23 1.00 607.23 43350.72 71.39 -18.72 -133.65 COCOA 403.00 0.97 392.34 1.00 392.34 43350.72 110.49 11.72 129.55 COFFEE 633.56 1.87 1181.61 1.00 1181.61 43350.72 36.69 -3.09 -11.32 COPPER 898.25 0.95 856.07 1.00 856.07 43350.72 50.64 -10.50 -53.15 CORN 253.50 0.96 242.94 1.00 242.94 43350.72 178.45 -16.65 -297.14 COTTON2 398.00 1.40 557.14 1.00 557.14 43350.72 77.81 -19.28 -150.01 CRUDE_W 738.50 1.66 1223.73 1.00 1223.73 43350.72 35.43 4.41 15.61 DAX 153.73 0.74 113.15 1.07 121.15 43350.72 357.82 1.65 59.15 DOW 171.34 0.69 117.78 1.00 117.78 43350.72 368.05 -8.60 -316.44 DX 1057.30 0.39 413.75 1.00 413.75 43350.72 104.78 4.66 48.87 EUR 1336.88 0.48 646.42 1.00 646.42 43350.72 67.06 -2.40 -16.07 EURIBOR-ICE 2431.12 0.05 122.40 1.07 131.05 43350.72 330.80 7.53 249.10 EUROSTX 423.70 0.87 370.17 1.07 396.34 43350.72 109.38 4.93 53.95 FEEDCOW 1141.75 1.05 1196.84 1.00 1196.84 43350.72 36.22 -13.13 -47.57 GASOIL 777.75 1.77 1376.07 1.00 1376.07 43350.72 31.50 4.22 13.31 GASOLINE 910.52 1.86 1696.30 1.00 1696.30 43350.72 25.56 -1.02 -2.60 GAS_US_mini 82.25 3.11 255.86 1.00 255.86 43350.72 169.43 -7.25 -122.78 GBP 763.81 0.58 440.88 1.00 440.88 43350.72 98.33 -1.07 -10.48 GOLD_micro 193.91 0.73 141.32 1.00 141.32 43350.72 306.76 -8.62 -264.35 HEATOIL 1123.54 1.71 1917.96 1.00 1917.96 43350.72 22.60 -3.65 -8.26 JGB-SGX-mini 144470.00 0.18 25812.52 0.01 171.12 43350.72 253.34 -0.36 -9.13 JPY 829.31 0.60 498.37 1.00 498.37 43350.72 86.98 -13.98 -121.64 LEANHOG 302.60 1.55 470.38 1.00 470.38 43350.72 92.16 7.34 67.65 LIVECOW 698.30 0.97 677.53 1.00 677.53 43350.72 63.98 -15.27 -97.72 LUMBER-new 147.68 1.47 217.00 1.00 217.00 43350.72 199.78 -9.04 -180.64 MILK 341.20 1.12 382.39 1.00 382.39 43350.72 113.37 -20.00 -226.74 MXP 281.70 0.85 240.79 1.00 240.79 43350.72 180.03 6.70 120.62 NASDAQ_micro 311.44 0.94 293.39 1.00 293.39 43350.72 147.76 -6.74 -99.55 NIKKEI 32895.00 1.03 33840.46 0.01 224.34 43350.72 193.24 6.12 118.24 NZD 589.10 0.71 420.29 1.00 420.29 43350.72 103.14 -0.73 -7.58 OAT 1244.20 0.46 570.15 1.07 610.45 43350.72 71.01 2.84 20.17 OATIES 184.75 1.92 354.86 1.00 354.86 43350.72 122.16 -17.21 -210.24 OJ 561.52 1.60 899.14 1.00 899.14 43350.72 48.21 9.34 45.05 PALLAD 968.00 2.17 2100.06 1.00 2100.06 43350.72 20.64 -12.42 -25.64 PLAT 423.15 1.69 715.44 1.00 715.44 43350.72 60.59 -2.31 -13.99 REDWHEAT 325.50 1.48 481.35 1.00 481.35 43350.72 90.06 -20.00 -180.12 RICE 337.00 0.88 296.18 1.00 296.18 43350.72 146.37 -2.93 -42.92 ROBUSTA 241.60 1.49 359.08 1.00 359.08 43350.72 120.73 5.90 71.24 RUSSELL 85.66 1.20 102.72 1.00 102.72 43350.72 422.01 -14.04 -592.56 SHATZ 1049.80 0.07 75.69 1.07 81.04 43350.72 534.95 -8.68 -464.24 SILVER-mini 560.00 1.48 827.72 1.00 827.72 43350.72 52.37 -5.91 -30.94 SMI 1062.20 0.71 758.85 1.11 843.54 43350.72 51.39 -5.69 -29.26 SOFR 2400.25 0.09 210.91 1.00 210.91 43350.72 205.54 -4.95 -101.73 SOYBEAN 640.25 0.78 498.12 1.00 498.12 43350.72 87.03 0.97 8.44 SOYMEAL 421.80 1.31 554.15 1.00 554.15 43350.72 78.23 3.08 24.10 SOYOIL 303.48 1.52 462.45 1.00 462.45 43350.72 93.74 -9.85 -92.36 SP400 2444.50 1.00 2453.97 1.00 2453.97 43350.72 17.67 -13.29 -23.48 SP500_micro 221.10 0.77 169.36 1.00 169.36 43350.72 255.97 -9.40 -240.74 SUGAR11 290.53 1.30 378.69 1.00 378.69 43350.72 114.48 8.26 94.52 US10 1074.84 0.48 513.46 1.00 513.46 43350.72 84.43 -6.63 -55.98 US10U 1108.59 0.65 716.90 1.00 716.90 43350.72 60.47 -4.65 -28.15 US2 2025.00 0.12 233.07 1.00 233.07 43350.72 186.00 -9.19 -170.94 US20 1134.06 0.97 1104.27 1.00 1104.27 43350.72 39.26 -2.64 -10.35 US30 1175.62 1.39 1633.16 1.00 1633.16 43350.72 26.54 -3.09 -8.20 US5 1050.31 0.30 316.29 1.00 316.29 43350.72 137.06 -8.99 -123.16 VIX 171.50 3.68 630.79 1.00 630.79 43350.72 68.72 -13.26 -91.16 WHEAT 329.75 1.27 417.40 1.00 417.40 43350.72 103.86 -20.00 -207.72 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -46.123 0.010 2.5 -1.197 BITCOIN 547.716 0.043 2.5 59.313 BOBL -31.606 0.004 2.5 -0.321 BTP 4.920 0.014 2.5 0.168 BUND -13.544 0.004 2.5 -0.137 BUXL -8.567 0.004 2.5 -0.087 CAC -5.807 0.014 2.5 -0.198 CAD -218.432 0.010 2.5 -5.668 CANOLA -578.511 0.010 2.5 -14.075 CHF -133.650 0.010 2.5 -3.468 COCOA 129.550 0.009 2.5 2.775 COFFEE -11.320 0.005 2.5 -0.132 COPPER -53.146 0.043 2.5 -5.755 CORN -297.138 0.010 2.5 -7.229 COTTON2 -150.012 0.009 2.5 -3.213 CRUDE_W 15.606 0.043 2.5 1.690 DAX 59.146 0.014 2.5 2.017 DOW -316.442 0.009 2.5 -7.354 DX 48.871 0.010 2.5 1.268 EUR -16.075 0.010 2.5 -0.417 EURIBOR-ICE 249.096 0.014 2.5 8.497 EUROSTX 53.949 0.014 2.5 1.840 FEEDCOW -47.570 0.013 2.5 -1.576 GASOIL 13.309 0.017 2.5 0.577 GASOLINE -2.598 0.017 2.5 -0.113 GAS_US_mini -122.784 0.043 2.5 -13.296 GBP -10.479 0.010 2.5 -0.272 GOLD_micro -264.350 0.014 2.5 -9.017 HEATOIL -8.258 0.017 2.5 -0.358 JGB-SGX-mini -9.128 0.043 2.5 -0.988 JPY -121.636 0.010 2.5 -3.156 LEANHOG 67.651 0.024 2.5 4.112 LIVECOW -97.718 0.013 2.5 -3.238 LUMBER-new -180.638 0.009 2.5 -3.849 MILK -226.737 0.009 2.5 -4.856 MXP 120.623 0.059 2.5 17.705 NASDAQ_micro -99.546 0.009 2.5 -2.314 NIKKEI 118.235 0.043 2.5 12.804 NZD -7.578 0.010 2.5 -0.197 OAT 20.166 0.014 2.5 0.688 OATIES -210.236 0.010 2.5 -5.115 OJ 45.047 0.009 2.5 0.965 PALLAD -25.641 0.014 2.5 -0.875 PLAT -13.986 0.014 2.5 -0.477 REDWHEAT -180.123 0.005 2.5 -2.389 RICE -42.917 0.010 2.5 -1.044 ROBUSTA 71.244 0.005 2.5 0.832 RUSSELL -592.560 0.013 2.5 -19.637 SHATZ -464.236 0.004 2.5 -4.708 SILVER-mini -30.942 0.014 2.5 -1.055 SMI -29.259 0.014 2.5 -0.998 SOFR -101.734 0.024 2.5 -6.183 SOYBEAN 8.439 0.004 2.5 0.078 SOYMEAL 24.103 0.004 2.5 0.224 SOYOIL -92.356 0.004 2.5 -0.860 SP400 -23.480 0.013 2.5 -0.778 SP500_micro -240.739 0.009 2.5 -5.595 SUGAR11 94.517 0.009 2.5 2.010 US10 -55.979 0.005 2.5 -0.709 US10U -28.146 0.005 2.5 -0.357 US2 -170.939 0.005 2.5 -2.166 US20 -10.351 0.005 2.5 -0.131 US30 -8.201 0.005 2.5 -0.104 US5 -123.159 0.005 2.5 -1.561 VIX -91.160 0.099 2.5 -22.503 WHEAT -207.717 0.005 2.5 -2.756 ===================== Position diags ===================== AUD 2.56 BITCOIN 60.68 BOBL 1.57 BTP 2.08 BUND 0.74 BUXL 0.30 CAC 2.41 CAD 3.69 CANOLA 9.28 CHF 1.85 COCOA 2.37 COFFEE 0.43 COPPER 5.48 CORN 4.34 COTTON2 1.67 CRUDE_W 3.84 DAX 12.20 DOW 8.55 DX 2.72 EUR 1.74 EURIBOR-ICE 11.28 EUROSTX 3.73 FEEDCOW 1.20 GASOIL 1.37 GASOLINE 1.11 GAS_US_mini 18.35 GBP 2.55 GOLD_micro 10.46 HEATOIL 0.98 JGB-SGX-mini 27.43 JPY 2.26 LEANHOG 5.60 LIVECOW 2.12 LUMBER-new 4.26 MILK 2.43 MXP 26.42 NASDAQ_micro 3.43 NIKKEI 20.93 NZD 2.68 OAT 2.42 OATIES 2.97 OJ 1.03 PALLAD 0.70 PLAT 2.07 REDWHEAT 1.19 RICE 3.56 ROBUSTA 1.41 RUSSELL 13.98 SHATZ 5.42 SILVER-mini 1.79 SMI 1.75 SOFR 12.49 SOYBEAN 0.81 SOYMEAL 0.73 SOYOIL 0.87 SP400 0.59 SP500_micro 5.95 SUGAR11 2.43 US10 1.07 US10U 0.77 US2 2.36 US20 0.50 US30 0.34 US5 1.74 VIX 16.96 WHEAT 1.38 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.2 -1.5 -0.9 -1.0 -1 BITCOIN 59.3 53.2 65.4 16.0 16 BOBL -0.3 -0.5 -0.2 0.0 0 BTP 0.2 -0.0 0.4 0.0 0 BUND -0.1 -0.2 -0.1 0.0 0 BUXL -0.1 -0.1 -0.1 -1.0 -1 CAC -0.2 -0.4 0.0 0.0 0 CAD -5.7 -6.0 -5.3 -2.0 -2 CANOLA -14.1 -15.0 -13.1 -6.0 -6 CHF -3.5 -3.7 -3.3 -7.0 -7 COCOA 2.8 2.5 3.0 2.0 2 COFFEE -0.1 -0.2 -0.1 0.0 0 COPPER -5.8 -6.3 -5.2 -4.0 -4 CORN -7.2 -7.7 -6.8 -5.0 -5 COTTON2 -3.2 -3.4 -3.0 -4.0 -4 CRUDE_W 1.7 1.3 2.1 2.0 2 DAX 2.0 0.8 3.2 -2.0 -2 DOW -7.4 -8.2 -6.5 -3.0 -3 DX 1.3 1.0 1.5 NaN 0 EUR -0.4 -0.6 -0.2 -1.0 -1 EURIBOR-ICE 8.5 7.4 9.6 3.0 3 EUROSTX 1.8 1.5 2.2 2.0 2 FEEDCOW -1.6 -1.7 -1.5 -1.0 -1 GASOIL 0.6 0.4 0.7 1.0 1 GASOLINE -0.1 -0.2 -0.0 0.0 0 GAS_US_mini -13.3 -15.1 -11.5 -5.0 -5 GBP -0.3 -0.5 -0.0 0.0 0 GOLD_micro -9.0 -10.1 -8.0 -2.0 -2 HEATOIL -0.4 -0.5 -0.3 -1.0 -1 JGB-SGX-mini -1.0 -3.7 1.8 -8.0 -8 JPY -3.2 -3.4 -2.9 -5.0 -5 LEANHOG 4.1 3.6 4.7 2.0 2 LIVECOW -3.2 -3.5 -3.0 -2.0 -2 LUMBER-new -3.8 -4.3 -3.4 NaN 0 MILK -4.9 -5.1 -4.6 NaN 0 MXP 17.7 15.1 20.3 19.0 19 NASDAQ_micro -2.3 -2.7 -2.0 -5.0 -5 NIKKEI 12.8 10.7 14.9 15.0 15 NZD -0.2 -0.5 0.1 0.0 0 OAT 0.7 0.4 0.9 3.0 3 OATIES -5.1 -5.4 -4.8 NaN 0 OJ 1.0 0.9 1.1 NaN 0 PALLAD -0.9 -0.9 -0.8 -1.0 -1 PLAT -0.5 -0.7 -0.3 -1.0 -1 REDWHEAT -2.4 -2.5 -2.3 -5.0 -5 RICE -1.0 -1.4 -0.7 NaN 0 ROBUSTA 0.8 0.7 1.0 2.0 2 RUSSELL -19.6 -21.0 -18.2 -12.0 -12 SHATZ -4.7 -5.3 -4.2 NaN 0 SILVER-mini -1.1 -1.2 -0.9 NaN 0 SMI -1.0 -1.2 -0.8 -2.0 -2 SOFR -6.2 -7.4 -4.9 NaN 0 SOYBEAN 0.1 -0.0 0.2 0.0 0 SOYMEAL 0.2 0.2 0.3 0.0 0 SOYOIL -0.9 -0.9 -0.8 -3.0 -3 SP400 -0.8 -0.8 -0.7 -1.0 -1 SP500_micro -5.6 -6.2 -5.0 -1.0 -1 SUGAR11 2.0 1.8 2.3 0.0 0 US10 -0.7 -0.8 -0.6 NaN 0 US10U -0.4 -0.4 -0.3 -1.0 -1 US2 -2.2 -2.4 -1.9 NaN 0 US20 -0.1 -0.2 -0.1 -1.0 -1 US30 -0.1 -0.1 -0.1 0.0 0 US5 -1.6 -1.7 -1.4 -4.0 -4 VIX -22.5 -24.2 -20.8 -17.0 -17 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 0.3 0.2 -0.3 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.3 -0.0 -0.4 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.3 0.0 0.4 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.0 0.2 0.1 -0.2 -0.2 -0.7 -0.0 0.2 BITCOIN 0.6 0.6 0.0 -0.0 -0.2 -0.1 -0.1 -0.0 -0.0 0.2 0.4 0.2 0.5 0.2 0.2 -0.2 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.2 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.5 0.6 0.6 0.6 -0.1 0.7 -0.0 0.7 BOBL 0.5 0.3 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 0.1 -0.3 0.1 0.0 0.2 -0.1 0.1 -0.0 -0.0 -0.0 0.0 -0.2 0.0 1.2 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.2 -0.1 0.2 0.3 -0.6 -0.7 -0.5 -0.6 BTP 0.6 -0.1 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.1 0.1 -0.0 0.2 0.2 0.1 0.1 -0.0 -0.1 0.1 -0.2 0.1 -0.9 -0.0 0.0 -0.0 0.1 -0.1 0.0 0.8 0.2 0.3 0.2 0.2 -0.4 -0.7 -0.0 0.2 BUND 0.5 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.3 0.0 -0.0 -0.1 0.1 -0.0 0.0 -0.0 -0.1 0.0 -0.3 0.0 0.8 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.5 -0.0 -0.0 0.1 0.2 -0.7 -0.7 -0.7 -0.1 BUXL 0.5 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.3 0.0 -0.1 0.0 0.0 0.0 0.0 -0.0 -0.1 0.1 -0.3 0.0 0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 0.1 -0.0 -0.0 -0.0 -0.6 -0.7 -0.4 0.6 CAC 0.2 -0.4 -0.6 -0.0 0.0 -0.1 0.1 -0.0 0.0 0.1 -0.2 0.1 0.5 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 -0.7 -0.0 0.1 -0.1 0.1 0.0 -0.0 0.2 -0.2 -0.0 0.0 0.2 0.3 0.1 0.5 0.3 CAD -0.1 -0.3 -0.4 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.1 -0.4 -0.1 -0.5 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.3 -0.1 0.3 -0.1 -0.0 -0.2 -0.0 -0.1 -0.1 0.0 0.0 -0.5 -0.3 -0.4 -0.6 -0.7 -0.4 -0.7 CANOLA 0.0 -0.6 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 -0.0 -0.2 -0.1 -0.1 -0.3 0.1 -0.2 -0.1 -0.1 -0.1 0.0 -0.2 -0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.1 -0.4 -0.6 -0.4 -0.4 -0.1 0.2 0.3 CHF 0.2 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.3 -0.1 0.2 0.0 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.0 -0.1 -0.1 -1.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -1.1 -0.4 0.1 -0.3 -0.3 -0.7 -0.7 -0.7 -0.7 COCOA 0.6 0.3 0.3 -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 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 -0.3 0.5 0.6 0.6 0.6 0.3 -0.2 0.7 0.3 COFFEE 0.6 0.6 0.1 -0.0 0.0 -0.1 0.0 -0.2 -0.0 0.1 -0.3 0.2 -0.5 0.2 0.1 0.1 0.0 0.0 0.0 0.1 -0.0 0.2 -0.2 0.2 -2.7 0.0 0.0 0.0 0.1 -0.0 0.1 0.1 0.5 0.6 0.6 0.4 -0.7 -0.7 -0.7 -0.4 COPPER 0.4 -0.2 -0.3 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.2 -0.5 0.0 -0.3 -0.1 -0.2 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.9 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 0.0 0.5 0.1 -0.3 0.1 0.0 -0.7 0.2 -0.7 CORN -0.0 0.2 -0.6 -0.1 0.0 -0.2 0.0 -0.2 -0.0 -0.2 -0.5 -0.2 -0.7 -0.1 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.5 -0.1 -2.7 -0.0 -0.1 -0.1 -0.1 -0.3 -0.0 -0.1 -0.2 -0.4 0.5 -0.1 -0.2 -0.1 0.1 0.2 COTTON2 -0.6 -0.6 -0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.1 0.0 -0.1 -0.3 -0.2 -0.1 -0.2 0.0 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.2 -2.7 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.5 -0.6 -0.6 0.1 -0.7 -0.4 -0.0 0.2 CRUDE_W -0.5 -0.6 0.4 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.1 0.3 -0.1 0.3 -0.1 0.1 0.2 0.2 0.2 0.2 0.0 0.1 -0.1 0.3 -0.1 -0.7 0.0 -0.0 0.2 -0.1 0.2 -0.0 -1.1 0.1 0.2 0.4 0.1 0.6 0.3 0.7 0.3 DAX 0.1 -0.5 -0.6 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.1 -0.3 0.1 0.3 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 0.1 -0.1 -0.0 2.3 -0.1 0.1 -0.1 0.1 -0.1 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 0.3 0.1 0.5 0.4 DOW 0.3 -0.4 -0.6 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.1 -0.1 0.1 0.2 0.0 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 0.1 -0.0 0.0 -1.1 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.3 0.2 0.2 -0.1 0.2 -0.6 -0.2 -0.7 -0.3 DX -0.5 0.0 0.6 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 0.4 -0.0 -0.1 0.0 0.2 0.1 0.1 0.1 0.1 0.1 0.2 -0.0 0.3 -0.0 -2.7 0.0 -0.0 0.2 -0.0 0.2 -0.0 0.8 -0.5 -0.2 0.6 0.6 0.2 0.3 0.4 0.7 EUR 0.5 -0.0 -0.5 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.3 0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.2 0.0 1.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.4 0.2 0.5 0.1 -0.3 -0.4 -0.6 -0.3 -0.2 EURIBOR-ICE 0.6 0.5 0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.0 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.2 0.1 2.3 0.0 -0.0 0.0 0.0 -0.1 0.0 -0.5 -0.0 0.3 0.5 0.5 -0.7 -0.7 0.2 0.7 EUROSTX 0.2 -0.3 -0.5 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.2 -0.2 0.2 0.4 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.6 -0.0 0.1 -0.1 0.1 0.0 0.0 0.2 -0.1 0.2 0.3 0.3 0.2 0.2 0.3 0.5 FEEDCOW -0.6 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.3 -0.1 -0.1 -0.2 -0.4 -0.3 -0.4 -0.2 -0.0 -0.2 0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 -0.6 -0.0 0.5 -0.1 0.7 0.3 GASOIL -0.6 -0.6 0.5 -0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.1 0.3 -0.1 0.0 0.4 0.4 0.4 0.4 -0.0 0.1 -0.2 0.4 -0.2 1.1 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.0 -0.1 -0.1 0.1 0.4 -0.3 0.0 -0.4 -0.2 GASOLINE -0.3 -0.6 -0.1 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.1 0.2 -0.1 0.2 -0.2 -0.1 0.0 0.4 0.4 0.4 -0.1 0.0 -0.1 0.3 -0.2 -2.7 -0.0 -0.0 0.0 -0.1 0.2 -0.1 0.7 0.2 0.4 -0.4 -0.6 0.7 0.3 0.7 0.2 GAS_US_mini -0.3 0.4 0.6 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.2 -0.4 -0.2 -0.7 -0.1 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.2 -0.5 -0.1 2.7 -0.0 -0.2 -0.0 -0.1 -0.1 -0.1 -1.1 0.1 -0.3 0.6 -0.6 -0.3 0.2 -0.5 0.1 GBP 0.4 -0.2 -0.6 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.3 0.0 0.2 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.1 -0.0 0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.2 0.2 0.2 -0.2 -0.3 -0.3 0.2 -0.0 0.7 GOLD_micro 0.6 0.4 -0.3 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 0.1 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 -0.0 -0.1 -0.0 0.1 -0.9 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.9 -0.3 0.6 0.3 0.2 -0.4 -0.7 -0.3 -0.7 HEATOIL -0.6 -0.6 0.4 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.1 0.3 -0.2 0.3 -0.1 0.0 0.4 0.4 0.4 0.4 -0.0 0.1 -0.2 0.4 -0.2 -2.7 -0.0 -0.1 0.1 -0.1 0.2 -0.1 0.1 -0.2 -0.1 -0.1 0.2 0.3 -0.1 0.1 -0.2 JGB-SGX-mini -0.0 -0.3 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 -0.0 0.0 -0.0 -0.1 0.2 0.4 0.3 0.3 -0.1 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 1.1 -0.2 -0.6 -0.1 -0.1 0.1 -0.6 0.5 0.5 JPY 0.3 0.1 -0.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.4 -0.1 -0.5 -0.1 -0.1 -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 -0.2 -0.0 -1.1 -0.5 -0.4 -0.3 -0.5 -0.2 -0.7 -0.1 -0.7 LEANHOG 0.2 -0.2 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.0 0.1 -0.2 -0.0 -0.1 -0.4 0.4 0.3 0.4 -0.0 -0.1 0.1 -0.3 0.0 1.9 -0.0 0.0 -0.1 0.0 -0.3 0.0 1.1 0.3 0.0 0.0 -0.1 -0.3 -0.1 0.4 0.6 LIVECOW -0.6 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.3 -0.1 -0.1 -0.2 -0.1 -0.3 -0.2 -0.1 -0.0 -0.2 0.2 -0.2 0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.5 -0.5 -0.6 -0.6 -0.0 -0.3 -0.7 -0.1 -0.3 LUMBER-new 0.5 0.2 -0.2 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.2 -0.6 0.3 -0.7 0.2 -0.2 -0.4 -0.3 -0.4 -0.4 -0.0 -0.2 0.2 -0.5 0.2 NaN 0.0 0.2 -0.1 0.2 -0.2 0.1 -1.2 0.6 0.8 0.7 -0.5 -0.6 -0.8 -0.3 -0.7 MILK -0.4 -0.3 -0.1 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.1 -0.3 -0.2 -0.5 -0.2 -0.1 -0.3 -0.4 -0.4 -0.4 -0.1 -0.2 -0.1 -0.5 -0.2 0.6 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -1.1 -0.5 -0.3 -0.5 0.3 -0.7 -0.7 -0.7 -0.7 MXP 0.5 -0.5 -0.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 0.1 0.1 0.4 0.0 -0.0 0.3 0.3 0.3 0.3 -0.0 0.0 0.1 0.3 0.1 -2.7 -0.0 0.0 0.0 0.0 0.2 0.0 1.1 0.4 0.5 0.0 0.1 0.3 0.4 0.6 0.7 NASDAQ_micro 0.1 -0.4 -0.6 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.1 0.1 0.1 0.3 0.0 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.0 0.2 0.2 0.1 -2.7 -0.0 0.1 0.0 0.1 0.1 0.0 -0.3 0.4 0.1 0.2 0.2 0.1 -0.4 0.1 -0.5 NIKKEI 0.2 -0.5 -0.5 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.1 0.2 0.1 0.4 0.0 0.0 0.1 0.2 0.1 0.2 0.0 0.0 0.1 0.3 0.1 -1.0 0.0 0.1 0.1 0.1 0.2 0.0 1.1 0.1 0.3 0.3 0.4 -0.1 0.1 -0.2 0.4 NZD 0.1 0.2 -0.3 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.3 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.2 -0.0 0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.2 0.2 -0.1 0.2 -0.1 0.1 -0.5 0.3 0.3 OAT 0.6 0.1 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.3 0.0 -0.0 0.1 0.2 0.1 0.1 -0.0 -0.1 0.1 -0.3 0.1 1.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.8 0.0 0.0 0.1 0.2 -0.7 -0.7 -0.3 0.4 OATIES -0.3 -0.6 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.2 -0.1 -0.2 0.0 -0.2 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -1.1 -0.5 -0.6 -0.6 -0.3 0.3 0.4 0.7 0.7 OJ -0.6 -0.3 -0.1 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.0 0.5 -0.1 0.7 0.1 0.2 0.4 0.4 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 -0.5 0.2 0.6 0.6 0.1 0.3 0.6 0.7 PALLAD -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.3 -0.1 -0.5 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.5 -0.2 0.5 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 -0.5 -0.6 -0.6 -0.3 -0.3 -0.3 0.2 -0.1 PLAT 0.2 0.0 -0.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.3 -0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 1.7 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.2 -0.2 -0.1 -0.0 0.1 0.0 -0.6 0.3 -0.4 REDWHEAT -0.0 -0.5 -0.6 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.0 -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 -0.0 -0.2 -0.1 -0.1 -0.2 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.4 RICE -0.1 -0.1 0.1 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.2 0.3 0.1 0.2 0.0 -0.0 -0.4 0.1 -0.3 -0.0 0.0 0.0 0.2 0.1 0.0 -2.7 -0.0 0.2 0.0 0.1 0.0 0.0 0.3 0.3 0.1 0.3 0.6 -0.1 -0.7 0.5 -0.3 ROBUSTA 0.3 -0.3 -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 0.3 0.0 -2.2 0.0 0.0 0.1 0.0 0.2 0.0 1.1 -0.0 0.6 0.4 0.3 -0.1 -0.4 0.5 0.0 RUSSELL 0.1 -0.5 -0.6 -0.0 0.0 -0.1 0.0 -0.0 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 -0.0 -0.0 -0.1 -0.2 -0.2 -0.4 -0.2 -0.5 -0.5 -0.7 -0.7 SHATZ 0.4 0.4 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.2 0.0 -0.3 0.0 -0.0 -0.4 -0.3 -0.4 -0.4 -0.0 -0.1 -0.0 -0.4 0.0 1.4 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 -1.1 -0.4 -0.2 0.2 0.3 -0.5 -0.7 -0.3 -0.7 SILVER-mini 0.2 -0.1 -0.3 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.2 -0.1 0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 0.9 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.1 0.1 0.1 -0.1 0.1 -0.5 -0.7 -0.1 -0.7 SMI -0.3 -0.5 -0.5 -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 0.0 0.1 0.0 -0.2 -0.1 0.0 -0.2 -0.1 0.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.7 -0.4 -0.6 -0.1 0.2 -0.3 -0.4 -0.2 -0.2 SOFR 0.6 0.2 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -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 0.4 -0.1 0.1 -0.1 0.0 -0.2 0.0 -0.2 -0.0 -0.0 0.2 0.1 0.2 0.1 -0.1 0.4 0.4 0.3 0.3 0.0 0.0 0.1 0.0 0.1 -2.7 0.0 -0.0 0.0 0.1 0.0 0.1 1.1 0.3 0.6 0.4 0.2 -0.7 -0.3 -0.7 -0.1 SOYMEAL 0.6 0.4 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.4 0.4 0.3 0.3 0.1 0.0 0.1 0.1 0.2 -2.7 0.0 0.0 0.1 0.1 0.1 0.1 1.1 0.4 0.6 0.6 0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.4 -0.6 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.2 0.2 0.2 -0.2 -0.1 -0.1 -0.1 -0.2 -2.7 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 1.0 -0.2 -0.5 -0.6 -0.4 -0.2 0.1 0.3 0.6 SP400 -0.0 -0.5 -0.6 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.2 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 -1.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.2 -0.1 -0.3 -0.1 -0.2 -0.5 -0.5 -0.7 SP500_micro 0.2 -0.5 -0.6 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.1 -0.0 0.1 0.2 0.0 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 0.1 0.1 0.0 -2.1 -0.0 0.0 -0.0 0.1 0.1 0.0 -0.4 0.4 0.1 -0.1 0.1 -0.0 -0.4 -0.0 -0.6 SUGAR11 -0.1 -0.1 0.0 -0.1 0.0 -0.1 0.0 -0.2 -0.0 0.0 0.5 0.1 0.7 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.0 0.5 0.1 -2.7 0.1 -0.0 0.3 0.0 0.5 0.0 1.1 -0.0 0.3 0.6 0.6 -0.6 -0.6 0.3 0.1 US10 0.6 0.3 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.0 -0.3 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 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 -0.1 0.0 US10U 0.6 0.2 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.1 -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 -0.0 -0.2 -0.2 -0.2 -0.7 -0.7 0.2 0.5 US2 0.5 0.6 0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.2 0.0 -0.3 0.0 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 -0.0 -0.4 0.0 1.1 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -1.1 -0.2 -0.1 0.1 0.1 -0.7 -0.7 -0.3 -0.7 US20 0.6 0.1 -0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.0 -0.2 -0.0 -0.0 -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 0.1 -0.1 -0.2 -0.2 -0.4 -0.7 0.5 0.7 US30 0.6 0.1 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.0 -0.2 -0.0 -0.1 -0.1 -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 0.0 -0.1 -0.2 -0.2 -0.2 -0.7 0.7 0.7 US5 0.6 0.4 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.1 0.0 -0.3 0.0 0.4 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.9 -0.1 -0.1 0.0 0.0 -0.7 -0.7 -0.4 -0.6 VIX -0.5 1.0 1.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.2 -0.5 -0.2 -0.7 -0.1 -0.1 -0.6 -0.6 -0.6 -0.6 -0.1 -0.1 -0.2 -0.6 -0.2 NaN -0.0 -0.1 -0.1 -0.1 -0.4 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.2 0.0 -0.6 -0.1 0.0 -0.2 0.0 -0.2 -0.0 -0.0 -0.5 0.0 -0.7 0.0 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 0.0 -0.5 -0.0 -0.7 -0.1 -0.0 -0.2 0.0 -0.3 -0.0 -1.0 -0.1 -0.0 0.3 -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 9.5 5.4 -9.5 -2.8 -2.8 -1.8 -0.2 0.1 -1.0 -9.2 -12.3 -2.3 -10.9 -1.2 -11.0 -2.9 -3.0 -3.2 -3.1 -4.5 -8.9 -1.5 -10.1 0.3 3.3 -2.5 -5.5 -4.6 -0.5 -4.9 0.4 -1.3 -0.4 6.2 4.6 -4.7 -7.1 -20.0 -1.0 5.3 BITCOIN 20.0 20.0 0.7 -3.1 -18.6 -3.2 -9.7 -1.2 -3.2 20.0 16.0 20.0 13.4 20.0 18.8 -8.6 -5.1 -7.2 -6.3 20.0 19.7 20.0 8.4 20.0 -20.0 7.5 7.2 3.6 8.8 1.5 10.1 -0.5 20.0 20.0 20.0 20.0 -3.3 20.0 -0.8 20.0 BOBL 14.7 8.0 3.2 -1.3 0.4 -2.5 2.0 -2.7 0.9 -4.2 -5.2 5.1 -8.1 5.2 0.0 11.2 -3.2 3.5 -2.4 -0.1 -4.2 2.7 -9.0 3.6 9.3 -0.1 -2.4 -1.8 1.3 -3.5 1.8 -3.0 -7.9 -1.6 6.6 8.7 -19.0 -20.0 -14.2 -19.0 BTP 20.0 -3.6 -9.8 -1.8 0.6 -3.4 2.7 -3.8 1.2 6.6 -5.1 10.2 -1.7 5.1 -4.1 8.0 7.6 7.0 6.8 -1.4 -5.5 13.2 -6.0 8.6 -6.8 -0.5 2.3 -1.8 4.8 -1.6 3.1 15.2 8.9 7.8 5.0 5.6 -13.4 -20.0 -0.3 6.8 BUND 15.6 3.9 -1.5 -1.4 0.4 -2.6 2.0 -2.8 0.9 1.6 -6.1 6.0 -8.7 3.5 -3.0 -2.7 4.8 -0.9 1.6 -1.4 -5.6 5.5 -9.6 4.0 6.1 -0.6 -0.1 -2.2 2.6 -3.2 1.9 8.6 -1.6 -0.2 4.5 5.4 -20.0 -20.0 -20.0 -3.5 BUXL 16.0 1.3 -4.4 -1.4 0.4 -2.7 2.1 -2.9 1.0 3.3 -7.8 5.0 -9.5 0.7 -5.6 0.6 0.8 0.6 0.8 -4.5 -9.0 7.8 -12.4 3.0 1.4 -1.6 1.7 -3.0 3.1 -3.4 1.3 4.5 5.2 -0.7 -0.1 -1.2 -17.7 -20.0 -11.9 16.6 CAC 5.0 -13.9 -19.1 -3.8 5.5 -3.6 4.8 -1.2 0.3 16.3 -8.5 12.1 12.9 -6.6 -13.1 -4.0 -2.6 -5.1 -4.5 -12.2 -10.2 13.9 2.4 -0.7 -5.6 -4.5 7.5 -3.8 5.6 0.2 -0.1 4.2 -7.9 -0.7 1.0 6.5 8.3 3.8 13.9 9.8 CAD -3.1 -8.6 -12.4 -3.9 -4.0 -2.6 -0.4 0.2 -1.4 -7.5 -14.8 -8.4 -14.7 -13.4 -17.6 -2.6 -2.2 -2.5 -2.4 -15.4 -13.6 -7.3 -10.8 -11.5 2.2 -6.5 -3.0 -5.6 -2.6 -4.0 -4.7 0.0 0.0 -14.6 -7.9 -13.7 -18.9 -20.0 -12.5 -19.7 CANOLA 0.2 -20.0 -11.6 -2.7 1.2 -3.1 0.5 -3.1 -1.1 7.5 -2.5 -2.0 -4.2 -7.5 -9.7 -16.5 3.0 -12.0 -4.8 -13.6 -10.1 0.2 -6.6 -8.6 -20.0 -3.3 1.3 -2.7 0.2 -2.3 -2.0 -0.2 4.3 -12.1 -20.0 -12.9 -10.5 -4.1 6.1 7.8 CHF 5.6 -4.5 -19.3 -3.7 -3.8 -2.4 -0.3 0.2 -1.3 4.1 -10.1 -4.7 4.9 0.2 -11.7 -16.4 -14.8 -16.6 -15.8 -10.2 -9.5 -3.6 -2.1 -5.0 -8.7 -4.1 -2.1 -3.7 -1.6 -1.1 -2.2 -20.0 -16.2 3.5 -8.4 -10.2 -20.0 -20.0 -20.0 -20.0 COCOA 20.0 9.8 8.0 -5.7 2.5 -6.5 1.1 -6.5 -2.4 20.0 20.0 20.0 20.0 20.0 20.0 -4.2 -2.7 -4.1 -3.4 20.0 20.0 20.0 20.0 20.0 -20.0 8.2 8.7 8.3 9.4 9.3 9.5 -4.8 20.0 20.0 20.0 20.0 7.8 -4.5 20.0 8.0 COFFEE 20.0 18.9 3.5 -4.6 2.0 -5.2 0.9 -5.2 -1.9 9.7 -10.5 14.9 -12.9 15.4 10.4 3.5 1.6 0.8 0.8 10.8 -1.3 19.2 -8.7 19.7 -20.0 4.4 2.6 0.8 6.6 -1.0 7.2 2.4 20.0 20.0 20.0 11.7 -20.0 -20.0 -20.0 -12.2 COPPER 12.0 -4.8 -10.7 -2.5 -15.4 -2.7 -8.1 -1.0 -2.6 -17.1 -17.1 1.6 -7.0 -7.3 -15.4 -9.5 -4.3 -7.7 -6.0 -9.3 -13.5 -4.7 -12.5 -2.2 -6.4 -3.4 -11.2 -5.2 -2.7 -4.8 -0.5 0.5 19.2 3.2 -9.3 3.0 0.5 -20.0 7.1 -20.0 CORN -1.5 5.5 -18.3 -5.0 2.2 -5.8 0.9 -5.8 -2.1 -17.4 -20.0 -16.6 -19.4 -5.6 -18.5 -6.2 0.9 -5.9 -3.9 -8.6 -18.5 -8.1 -20.0 -5.2 -20.0 -2.6 -9.3 -5.0 -5.6 -8.1 -3.2 -2.3 -9.0 -12.4 14.4 -2.3 -7.4 -2.3 3.3 4.9 COTTON2 -20.0 -19.6 -0.6 -4.1 1.8 -4.6 0.8 -4.6 -1.7 -8.8 0.7 -13.7 -8.6 -15.5 -10.4 -9.4 1.9 -5.6 -2.0 -16.5 -5.5 -20.0 -2.4 -20.0 -20.0 -4.6 -4.6 -1.2 -7.9 0.3 -7.6 0.2 -20.0 -20.0 -18.3 4.2 -20.0 -13.4 -0.0 5.9 CRUDE_W -14.6 -19.6 12.5 -1.2 -6.1 2.9 -7.0 3.8 -5.4 -9.4 11.7 -12.6 7.8 -7.8 5.6 8.3 11.2 12.4 11.9 3.0 12.4 -16.3 12.7 -9.6 -5.1 1.0 -5.1 5.6 -6.7 6.7 -4.3 -20.0 2.9 6.3 13.3 1.9 19.3 10.2 20.0 9.6 DAX 3.6 -14.5 -20.0 -3.5 5.0 -3.3 4.4 -1.1 0.3 15.9 -12.2 10.7 9.5 -6.6 -14.1 -9.5 -8.1 -9.6 -9.1 -14.9 -13.9 14.8 -2.5 -1.4 16.9 -4.7 6.2 -4.6 4.9 -1.5 -0.2 -4.6 -4.7 -1.8 -4.1 -1.9 8.4 2.6 15.3 11.0 DOW 9.8 -12.4 -17.4 -2.6 3.8 -2.5 3.3 -0.8 0.2 12.1 -3.8 12.1 6.0 0.4 -6.2 -9.7 -9.0 -10.6 -10.3 -5.5 -5.7 12.8 -1.6 3.7 -8.6 -2.2 3.9 -1.8 3.9 0.2 0.7 -6.4 7.8 5.4 -2.6 5.9 -16.7 -7.4 -20.0 -8.3 DX -16.3 0.7 20.0 -3.6 -3.7 -2.3 -0.3 0.2 -1.3 -0.8 15.9 -3.0 -3.0 1.6 15.6 7.0 6.0 7.2 6.6 10.9 15.0 -4.7 11.3 -0.3 -20.0 4.3 -0.3 6.0 -2.7 5.0 -0.5 14.8 -20.0 -7.1 20.0 20.0 7.3 8.2 11.1 20.0 EUR 15.4 -0.5 -16.6 -3.0 -3.1 -2.0 -0.3 0.1 -1.1 4.6 -11.2 8.1 3.2 5.2 -10.4 -6.2 -6.8 -6.6 -6.6 -5.1 -8.5 6.7 -5.9 3.5 11.7 -2.5 1.2 -4.0 3.4 -2.7 1.7 -7.5 8.6 14.6 2.2 -8.6 -12.9 -17.7 -10.0 -5.6 EURIBOR-ICE 20.0 16.1 10.0 -1.2 0.4 -2.3 1.8 -2.5 0.8 0.6 -1.4 6.4 -6.5 6.7 5.5 -3.2 -7.2 -5.6 -6.9 6.3 0.6 8.1 -6.2 10.4 17.3 1.9 -0.3 0.3 2.5 -1.5 3.2 -9.7 -0.4 8.0 14.8 15.3 -20.0 -20.0 5.0 19.9 EUROSTX 7.3 -8.6 -16.7 -3.5 5.1 -3.4 4.5 -1.1 0.3 16.9 -8.4 14.1 11.5 -0.7 -12.2 -5.4 -2.5 -5.4 -4.6 -7.3 -7.6 18.4 2.4 5.0 4.4 -2.8 10.1 -3.3 8.6 0.2 2.7 4.2 -2.1 7.6 10.3 7.9 5.1 5.1 8.9 14.4 FEEDCOW -20.0 -20.0 -20.0 -3.3 1.4 -3.7 0.6 -3.7 -1.3 -10.7 0.5 -12.3 7.7 -13.0 -10.7 -12.4 -20.0 -13.0 -20.0 -18.5 -3.6 -20.0 7.5 -20.0 -1.8 -3.5 -5.3 -0.1 -5.3 2.5 -5.2 -20.0 -20.0 -20.0 -20.0 -1.5 14.2 -1.6 20.0 7.6 GASOIL -20.0 -20.0 16.0 -0.9 -5.0 2.4 -5.7 3.1 -4.4 -12.1 10.1 -13.8 7.5 -11.1 4.6 18.6 20.0 20.0 20.0 -0.7 11.4 -20.0 14.0 -14.4 8.5 0.1 -7.1 4.3 -6.7 4.8 -4.5 0.0 -2.2 -2.7 4.3 11.2 -7.9 0.2 -12.3 -5.2 GASOLINE -7.9 -20.0 -4.6 -1.2 -6.1 2.9 -7.0 3.8 -5.4 -8.0 6.5 -12.9 6.2 -14.6 -8.9 1.6 20.0 20.0 20.0 -8.4 2.5 -14.0 10.8 -14.0 -20.0 -3.4 -3.0 1.1 -4.8 5.1 -5.2 13.7 6.6 12.3 -13.5 -19.6 20.0 10.0 20.0 5.9 GAS_US_mini -7.9 11.9 17.2 -1.3 -7.0 3.3 -8.0 4.4 -6.1 -18.9 -15.0 -17.8 -20.0 -13.6 -13.9 -20.0 -20.0 -20.0 -20.0 -7.1 -10.8 -20.0 -20.0 -13.2 20.0 -2.0 -17.1 -0.9 -12.8 -2.4 -6.3 -20.0 5.0 -8.5 20.0 -20.0 -9.9 6.4 -15.2 2.2 GBP 12.4 -5.7 -18.0 -3.1 -3.2 -2.0 -0.3 0.1 -1.1 -4.6 -9.6 0.4 6.0 -2.3 -12.5 -0.8 -0.8 -0.6 -0.6 -7.5 -7.7 2.3 -3.0 -0.2 0.6 -3.3 -1.1 -3.6 1.7 -2.0 0.2 2.9 6.3 7.4 -4.6 -9.3 -7.6 5.1 -1.5 20.0 GOLD_micro 17.0 12.8 -8.3 -2.0 -12.0 -2.1 -6.3 -0.8 -2.0 -14.2 -3.9 -2.5 2.6 9.2 7.0 -15.1 -14.7 -16.5 -16.2 5.7 -0.5 -8.8 -1.1 5.5 -6.7 1.5 -6.6 0.0 -2.5 0.1 1.4 -17.5 -14.2 20.0 8.5 5.8 -11.0 -20.0 -9.5 -20.0 HEATOIL -20.0 -20.0 11.4 -1.1 -5.9 2.8 -6.8 3.7 -5.2 -13.3 10.3 -14.8 7.3 -12.7 2.9 20.0 20.0 20.0 20.0 -2.8 10.6 -20.0 14.0 -17.7 -20.0 -1.1 -8.2 4.1 -8.5 6.3 -6.0 1.4 -6.8 -4.2 -2.6 7.7 7.5 -2.2 1.8 -6.9 JGB-SGX-mini -1.1 -8.1 -18.4 -1.3 0.4 -2.4 1.9 -2.6 0.9 3.5 -4.9 -1.1 1.3 -2.9 -6.9 12.2 19.2 14.0 15.6 -7.0 -6.0 0.9 -2.3 -4.0 -1.6 -2.7 0.9 -2.4 0.1 -1.4 -1.7 20.0 -10.3 -18.0 -4.3 -3.6 2.2 -18.4 14.6 15.1 JPY 8.2 4.6 -15.5 -2.6 -2.7 -1.7 -0.2 0.1 -0.9 -11.2 -14.4 -9.6 -13.8 -11.2 -13.7 -18.7 -16.0 -18.8 -17.7 -15.0 -20.0 -9.0 -20.0 -10.1 20.0 -5.4 -3.8 -6.5 -3.6 -6.8 -4.1 -20.0 -20.0 -12.2 -10.3 -15.2 -6.9 -20.0 -2.9 -20.0 LEANHOG 6.3 -7.3 0.1 -3.2 1.4 -3.7 0.6 -3.7 -1.3 7.9 -0.8 10.6 -6.5 -2.7 -5.4 -19.4 20.0 16.8 20.0 -4.4 -7.5 6.3 -11.1 1.4 13.9 -1.9 2.4 -4.9 3.3 -8.0 1.2 20.0 12.7 1.4 0.6 -1.5 -8.5 -3.7 10.9 18.5 LIVECOW -20.0 -20.0 -20.0 -3.3 1.4 -3.7 0.6 -3.7 -1.3 -12.0 4.9 -11.9 9.5 -11.3 -8.1 -9.7 -4.9 -15.3 -9.2 -11.4 -0.0 -20.0 7.7 -20.0 0.0 -3.1 -7.2 0.6 -6.7 3.3 -5.6 -9.6 -20.0 -20.0 -20.0 -0.6 -8.2 -20.0 -2.2 -10.4 LUMBER-new 14.1 4.2 -6.5 -6.0 2.6 -6.7 1.1 -5.7 -2.5 20.0 -20.0 20.0 -20.0 15.5 -12.7 -16.4 -14.8 -16.4 -15.5 -1.6 -13.7 20.0 -16.3 17.1 NaN 0.4 14.4 -4.1 15.1 -4.5 8.7 -20.0 20.0 20.0 19.3 -13.2 -14.5 -20.0 -7.8 -18.1 MILK -10.9 -8.4 -3.9 -4.0 1.8 -4.6 0.8 -4.6 -1.7 -10.0 -9.4 -15.0 -13.4 -15.7 -8.3 -15.0 -20.0 -17.9 -20.0 -13.3 -15.8 -15.2 -20.0 -15.5 4.5 -4.6 -4.6 -6.2 -5.8 -9.4 -5.3 -20.0 -20.0 -10.4 -14.0 8.6 -20.0 -20.0 -20.0 -20.0 MXP 15.8 -16.2 -20.0 -2.6 -2.6 -1.7 -0.2 0.1 -0.9 3.7 4.7 7.8 10.5 0.9 -4.1 12.8 16.3 13.9 15.1 -0.8 1.4 8.5 9.8 5.6 -20.0 -0.3 0.8 0.7 3.6 4.3 2.4 20.0 15.1 16.0 0.6 4.5 10.3 12.3 17.4 20.0 NASDAQ_micro 3.5 -12.6 -20.0 -2.3 3.3 -2.2 2.9 -0.7 0.2 10.6 4.8 10.0 7.7 4.2 -3.2 -9.2 -8.7 -9.7 -9.6 -0.4 2.5 17.0 7.7 6.8 -20.0 -0.4 7.2 1.2 5.9 4.0 2.1 -5.5 16.2 3.5 5.8 6.2 4.3 -12.9 3.0 -15.5 NIKKEI 6.0 -16.2 -14.7 -2.6 3.8 -2.5 3.3 -0.8 0.2 12.1 8.7 11.6 10.2 4.0 1.0 3.2 10.0 6.0 8.4 1.9 4.4 14.8 9.9 7.8 -7.8 0.4 6.7 2.2 6.2 5.2 2.9 20.0 4.5 9.1 8.8 13.7 -4.3 1.9 -4.9 10.7 NZD 2.4 6.0 -8.7 -2.5 -2.5 -1.6 -0.2 0.1 -0.9 -2.0 -10.7 -0.1 -3.0 -2.9 -9.4 -0.2 0.2 -0.1 0.0 -4.3 -6.9 1.4 -7.3 -0.3 0.9 -1.9 -0.7 -3.2 1.6 -3.3 0.4 4.2 8.1 -1.7 7.7 -1.9 2.9 -15.5 8.9 8.9 OAT 17.2 1.9 -2.8 -1.5 0.5 -2.8 2.1 -3.0 1.0 3.5 -6.4 7.0 -9.0 3.4 -3.5 5.7 7.7 5.9 6.5 -1.5 -5.9 7.7 -9.3 5.1 8.4 -0.6 1.0 -2.2 3.4 -3.1 2.3 15.1 1.7 1.4 4.6 5.6 -20.0 -20.0 -7.9 11.4 OATIES -8.3 -20.0 -11.8 -2.7 1.2 -3.1 0.5 -3.1 -1.1 -7.4 -2.2 -9.5 -2.7 -10.8 -10.4 -19.7 -9.3 -18.8 -16.0 -18.6 -7.2 -20.0 0.7 -20.0 -20.0 -3.3 -3.3 -1.3 -4.6 0.0 -4.4 -20.0 -20.0 -20.0 -20.0 -7.8 10.3 11.1 20.0 20.0 OJ -20.0 -8.4 -4.3 -4.5 2.0 -5.1 0.8 -5.1 -1.8 -2.3 18.0 -6.0 19.3 5.9 14.4 20.0 20.0 20.0 20.0 20.0 20.0 -1.3 20.0 8.2 -20.0 6.0 1.5 8.4 -0.5 9.6 1.9 20.0 -20.0 6.0 20.0 20.0 4.0 8.8 17.7 20.0 PALLAD -6.9 -2.3 -0.6 -1.5 -9.0 -1.6 -4.7 -0.6 -1.5 -11.3 -12.9 -11.3 -13.2 -11.7 -11.9 -2.3 -2.7 -2.7 -2.7 -16.3 -17.4 -20.0 -20.0 -19.8 3.6 -4.1 -10.6 -3.4 -8.0 -3.3 -5.5 4.5 -20.0 -20.0 -19.8 -8.4 -8.7 -8.9 5.5 -4.2 PLAT 6.3 0.7 -5.7 -1.5 -8.9 -1.6 -4.7 -0.6 -1.5 -11.0 -10.2 -7.6 -5.4 -4.6 -6.7 -3.5 -2.8 -3.6 -3.3 -5.1 -6.6 -16.1 -5.8 -6.8 12.5 -1.2 -12.8 -1.3 -7.8 -1.1 -2.8 4.0 -7.8 -4.5 -1.5 4.3 0.2 -16.7 9.8 -13.0 REDWHEAT -1.3 -15.5 -20.0 -4.9 2.1 -5.6 0.9 -5.6 -2.0 1.7 -20.0 -9.4 -20.0 -17.4 -20.0 -7.1 -0.7 -5.5 -3.2 -20.0 -20.0 -8.0 -20.0 -18.5 -18.9 -7.4 -1.1 -7.2 -2.4 -5.1 -5.3 -2.6 -8.0 -19.4 -20.0 -20.0 -20.0 -20.0 -20.0 -12.3 RICE -2.2 -4.6 4.3 -5.3 2.3 -6.0 1.0 -6.0 -2.2 19.2 9.3 9.9 5.8 1.5 -0.6 -19.9 5.5 -15.2 -2.4 1.2 4.1 16.8 4.6 2.9 -20.0 -0.1 20.0 1.0 10.4 1.4 1.8 6.2 13.0 1.6 9.9 17.2 -4.5 -20.0 13.9 -7.6 ROBUSTA 10.1 -9.5 -9.9 -3.4 1.5 -3.9 0.6 -3.9 -1.4 10.1 8.3 0.9 10.6 1.4 0.2 20.0 20.0 20.0 20.0 2.6 5.6 5.7 11.6 3.8 -16.7 1.7 3.1 2.7 2.7 5.1 2.3 20.0 -0.5 20.0 11.9 8.2 -3.9 -11.9 15.2 0.2 RUSSELL 2.6 -15.3 -20.0 -2.2 3.2 -2.1 2.8 -0.7 0.2 0.5 -8.9 0.1 -6.9 -5.9 -9.6 -6.4 -6.3 -7.2 -7.1 -12.1 -10.8 0.0 -6.9 -5.9 -1.9 -3.2 -0.1 -2.6 0.3 -1.1 -1.5 -1.3 -10.4 -5.3 -10.9 -4.9 -13.7 -14.2 -20.0 -20.0 SHATZ 11.5 11.6 3.2 -1.3 0.4 -2.5 1.9 -2.7 0.9 -7.2 -7.1 2.3 -8.5 2.5 -2.4 -20.0 -14.5 -20.0 -20.0 -1.7 -6.5 -2.0 -13.2 0.6 10.6 -0.7 -5.3 -2.6 -1.4 -5.0 0.3 -20.0 -16.0 -6.1 6.9 9.5 -16.2 -20.0 -9.7 -20.0 SILVER-mini 7.3 -4.0 -9.4 -1.8 -11.1 -1.9 -5.8 -0.7 -1.9 -12.6 -5.7 -6.5 1.5 3.3 -4.2 -7.3 -6.5 -7.5 -7.1 -4.3 -5.4 -7.2 -2.9 -3.0 6.9 -1.1 -7.0 -0.8 -3.8 0.1 -1.4 -2.6 3.1 2.0 -1.6 4.0 -15.2 -20.0 -3.4 -20.0 SMI -9.1 -15.3 -15.5 -2.8 4.1 -2.7 3.6 -0.9 0.2 10.8 -8.3 -2.3 0.1 -8.1 -11.1 5.0 2.2 3.3 1.9 -14.3 -12.0 3.7 -6.1 -7.6 5.5 -4.0 2.0 -3.2 1.1 -2.1 -2.2 13.5 -14.6 -20.0 -3.0 6.8 -8.5 -11.1 -5.9 -6.0 SOFR 19.9 6.4 -10.8 -1.2 0.4 -2.2 1.7 -2.4 0.8 1.8 -5.9 5.0 -5.3 2.2 -3.5 0.4 -0.7 -0.3 -0.7 -2.9 -5.9 4.2 -6.0 2.3 -1.3 -1.3 -0.1 -2.4 1.6 -2.3 0.8 1.5 -1.4 -3.0 0.2 0.4 -20.0 -20.0 -5.2 -8.8 SOYBEAN 11.2 -2.8 1.6 -5.1 2.2 -5.9 1.0 -5.9 -2.1 -1.0 8.1 9.3 5.0 7.1 -7.6 18.4 17.9 15.0 15.0 3.5 1.9 9.5 1.1 9.5 -20.0 3.0 -2.0 1.5 5.7 1.2 6.1 20.0 12.4 20.0 12.2 6.5 -20.0 -8.5 -20.0 -3.1 SOYMEAL 20.0 12.9 0.9 -3.3 1.4 -3.7 0.6 -3.7 -1.3 5.4 1.3 11.0 2.6 11.7 8.4 17.6 17.5 14.8 15.7 12.1 4.6 16.5 2.8 18.7 -20.0 3.8 1.3 2.1 4.7 2.0 5.4 20.0 16.3 20.0 20.0 13.9 -20.0 -20.0 -20.0 -20.0 SOYOIL -11.1 -20.0 -12.2 -2.5 1.1 -2.9 0.5 -2.9 -1.0 1.9 -1.4 -7.5 -2.6 -9.9 -9.7 4.9 11.0 9.3 10.2 -15.9 -9.3 -5.7 -3.4 -14.2 -20.0 -3.3 0.8 -2.0 -1.2 -0.8 -3.0 18.2 -6.5 -14.0 -20.0 -11.5 -6.6 3.3 10.3 17.9 SP400 -0.3 -15.9 -20.0 -2.2 3.2 -2.1 2.8 -0.7 0.2 3.6 -7.7 0.9 -1.7 -4.4 -8.6 -5.1 -5.1 -5.4 -5.4 -11.0 -9.5 2.3 -4.6 -4.7 -8.7 -3.0 0.8 -2.3 0.8 -0.8 -1.3 1.3 -7.4 -4.1 -8.0 -2.9 -7.3 -15.2 -13.6 -20.0 SP500_micro 5.2 -15.3 -20.0 -2.6 3.8 -2.5 3.3 -0.8 0.2 12.2 -0.3 11.1 5.9 0.5 -6.0 -10.0 -9.9 -10.9 -10.9 -5.3 -3.4 15.6 2.2 4.1 -16.1 -1.8 5.4 -0.8 4.7 1.6 1.0 -7.6 15.0 2.6 -2.3 2.8 -0.9 -12.3 -0.8 -16.9 SUGAR11 -4.0 -4.0 0.6 -4.8 2.1 -5.5 0.9 -5.5 -2.0 0.6 19.2 6.1 19.1 13.2 18.0 20.0 18.1 20.0 20.0 15.1 20.0 3.0 20.0 8.9 -20.0 6.2 -2.3 9.5 1.3 14.9 3.9 20.0 -1.1 10.7 20.0 20.0 -17.6 -17.6 9.7 4.3 US10 19.3 8.5 -8.0 -1.1 0.3 -2.0 1.6 -2.2 0.7 2.3 -6.5 4.0 -7.0 -0.7 -4.7 -5.1 -7.0 -6.6 -7.4 -4.8 -8.0 3.4 -8.9 0.6 1.1 -1.8 0.1 -2.7 1.2 -2.8 0.1 -9.9 -0.9 -4.3 -3.4 -2.9 -20.0 -20.0 -1.7 0.8 US10U 19.2 5.7 -9.7 -1.3 0.4 -2.5 1.9 -2.7 0.9 3.3 -7.9 4.8 -8.4 -1.4 -6.0 -0.6 -0.5 -0.0 -0.5 -6.4 -10.1 4.9 -10.8 0.7 -1.9 -2.2 0.6 -3.3 1.5 -3.2 0.1 1.8 -0.2 -4.9 -5.5 -5.5 -20.0 -20.0 5.4 15.3 US2 15.2 20.0 5.3 -1.2 0.4 -2.2 1.7 -2.4 0.8 -3.9 -7.7 1.0 -8.0 0.8 -4.5 -20.0 -20.0 -20.0 -20.0 -3.6 -8.9 -0.5 -13.5 0.1 8.0 -1.2 -2.2 -3.3 0.1 -5.3 0.4 -20.0 -10.2 -4.4 3.9 3.6 -20.0 -20.0 -8.8 -20.0 US20 20.0 2.6 -10.8 -1.0 0.3 -1.9 1.5 -2.1 0.7 3.0 -5.9 4.0 -6.1 -1.2 -4.6 -0.0 -1.6 -1.1 -1.6 -5.3 -8.2 5.2 -8.3 1.0 -1.8 -1.7 0.8 -2.5 1.3 -2.3 0.1 0.0 2.7 -2.0 -6.4 -7.2 -11.2 -20.0 14.3 20.0 US30 18.4 2.2 -7.9 -1.0 0.3 -1.9 1.5 -2.1 0.7 3.0 -6.2 3.5 -6.5 -1.8 -5.1 -3.7 -4.0 -4.9 -4.9 -5.4 -8.1 4.5 -8.5 0.3 -1.3 -1.8 0.9 -2.6 1.3 -2.4 -0.0 -4.8 1.3 -3.3 -5.9 -6.5 -7.0 -20.0 20.0 20.0 US5 18.0 12.5 -4.9 -1.1 0.4 -2.1 1.7 -2.3 0.8 0.7 -6.9 3.5 -7.3 0.6 -4.5 -9.1 -10.4 -11.1 -11.6 -3.9 -7.6 2.5 -9.5 0.9 3.1 -1.6 -0.6 -2.9 1.2 -3.4 0.5 -16.4 -3.9 -4.1 0.1 0.4 -20.0 -20.0 -11.2 -18.6 VIX -9.4 18.9 20.0 -1.3 -5.1 -2.9 -5.7 -5.5 -3.2 -11.2 -11.0 -11.8 -12.5 -7.9 -4.1 -20.0 -20.0 -20.0 -20.0 -5.2 -8.1 -15.9 -14.2 -10.2 NaN -1.5 -5.8 -3.2 -6.5 -6.5 -3.7 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 6.0 0.4 -20.0 -5.0 2.2 -5.8 0.9 -5.8 -2.1 -1.4 -20.0 0.6 -20.0 0.7 -19.8 -12.5 -10.4 -12.0 -11.4 -14.5 -20.0 0.5 -20.0 -3.8 -5.6 -5.1 -0.9 -8.4 0.8 -9.7 -1.3 -18.6 -4.6 -1.1 8.3 -12.7 -20.0 -18.9 -20.0 -14.9 End of report for caleb_strategy_v3