******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240417_204010 produced at 2024-04-17 21:37:57.318375 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 0.07 0.00 -1.19 0.0 0.00 0.00 0.00 0.00 -17.17 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.22 -0.40 0.0 0.43 -0.43 -0.22 -0.22 -14.62 16.0 -8 -8 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.27 0.0 0.00 0.00 0.00 0.00 -8.26 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.27 0.0 0.00 0.00 0.00 0.00 -4.56 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.08 -0.19 0.0 0.09 -0.09 -0.08 -0.09 -35.69 17.0 -16 -17 caleb_strategy_v3 CHF False False 0.04 -0.36 -0.18 0.0 0.52 -0.52 -0.36 -0.36 -4.52 13.0 -9 -9 caleb_strategy_v3 JPY False False 0.02 0.00 -0.15 0.0 0.40 -0.40 0.00 0.00 -6.15 17.0 0 0 caleb_strategy_v3 CAD False False 0.02 0.00 -0.15 0.0 0.61 -0.61 0.00 0.00 -7.09 29.0 0 0 caleb_strategy_v3 US5 False False 0.03 -0.43 -0.09 0.0 0.76 -0.76 -0.43 -0.43 -3.07 25.0 -14 -14 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.04 -0.08 0.0 0.04 -0.04 -0.04 -0.04 -47.46 26.0 -24 -25 caleb_strategy_v3 EUR False False 0.04 -0.08 -0.07 0.0 0.54 -0.54 -0.08 -0.12 -1.86 14.0 -2 -3 caleb_strategy_v3 EURIBOR-ICE False False 0.07 0.07 -0.07 0.0 0.75 -0.75 0.07 0.00 -0.92 10.0 1 0 caleb_strategy_v3 CORN False False 0.01 -0.08 -0.06 0.0 0.08 -0.08 -0.08 -0.07 -9.64 12.0 -12 -11 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.06 0.0 0.01 -0.01 0.00 0.00 -12.78 3.0 0 0 caleb_strategy_v3 DOW False False 0.01 -0.03 -0.06 0.0 0.36 -0.36 -0.03 -0.01 -10.87 66.0 -5 -2 caleb_strategy_v3 US10 False False 0.03 0.00 -0.05 0.0 0.53 -0.53 0.00 0.00 -1.61 17.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.13 -0.13 -0.02 -0.02 -20.75 51.0 -6 -6 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.05 0.0 0.29 -0.29 -0.04 -0.04 -1.45 8.0 -1 -1 caleb_strategy_v3 GBP False False 0.02 0.00 -0.04 0.0 0.50 -0.50 0.00 0.00 -1.96 22.0 0 0 caleb_strategy_v3 NZD False False 0.02 -0.03 -0.04 0.0 0.36 -0.36 -0.03 -0.03 -2.42 21.0 -2 -2 caleb_strategy_v3 OATIES False True 0.00 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -7.79 2.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.65 -0.04 0.0 0.69 -0.69 -0.65 -0.61 -1.01 19.0 -18 -17 caleb_strategy_v3 AUD False False 0.02 -0.06 -0.04 0.0 0.36 -0.36 -0.06 -0.06 -2.17 19.0 -3 -3 caleb_strategy_v3 US10U False False 0.03 -0.10 -0.03 0.0 0.42 -0.42 -0.10 -0.10 -0.87 13.0 -3 -3 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.03 0.0 0.12 -0.12 -0.05 -0.07 -1.66 7.0 -3 -4 caleb_strategy_v3 SP400 False False 0.08 0.00 -0.03 0.0 0.17 -0.17 0.00 0.00 -0.37 2.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.03 -0.03 0.0 0.24 -0.24 -0.03 -0.03 -2.74 23.0 -3 -3 caleb_strategy_v3 SP500_micro False False 0.01 -0.07 -0.03 0.0 0.35 -0.35 -0.07 -0.10 -4.21 48.0 -9 -14 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.03 0.0 0.19 -0.19 -0.01 -0.01 -12.05 68.0 -3 -4 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.20 9.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.05 -2.07 10.0 -5 -6 caleb_strategy_v3 MILK False False 0.01 0.00 -0.02 0.0 0.05 -0.05 0.00 0.00 -2.26 5.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.02 0.0 0.11 -0.11 0.00 0.00 -2.80 18.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.08 -0.08 -0.03 -0.04 -2.67 9.0 -4 -5 caleb_strategy_v3 COTTON2 False False 0.01 -0.04 -0.02 0.0 0.13 -0.13 -0.04 -0.04 -1.66 11.0 -3 -3 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -6.19 59.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.32 6.0 0 0 caleb_strategy_v3 US20 False True 0.03 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.31 9.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.03 -0.03 0.00 0.00 -0.91 4.0 0 0 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.01 0.0 0.40 -0.40 -0.04 -0.04 -0.15 10.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.01 0.0 0.07 -0.07 -0.01 -0.01 -1.59 8.0 -1 -1 caleb_strategy_v3 BUXL False False 0.04 -0.04 -0.00 0.0 0.16 -0.16 -0.04 -0.04 -0.09 4.0 -1 -1 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.09 2.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.18 0.01 0.0 0.36 -0.36 0.18 0.18 0.35 10.0 5 5 caleb_strategy_v3 HEATOIL False False 0.03 0.09 0.01 0.0 0.09 -0.09 0.09 0.09 0.36 3.0 3 3 caleb_strategy_v3 PLAT False False 0.01 0.00 0.02 0.0 0.14 -0.14 0.00 0.00 1.18 10.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.02 0.0 0.05 -0.05 0.00 0.00 1.04 3.0 0 0 caleb_strategy_v3 OAT False False 0.04 0.04 0.02 0.0 0.39 -0.39 0.04 0.04 0.46 10.0 1 1 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.02 0.0 0.28 -0.28 0.01 0.00 1.68 23.0 1 0 caleb_strategy_v3 COCOA False False 0.03 0.12 0.02 0.0 0.76 -0.76 0.12 0.09 0.63 26.0 4 3 caleb_strategy_v3 COFFEE False False 0.03 0.05 0.02 0.0 0.16 -0.16 0.05 0.05 0.62 6.0 2 2 caleb_strategy_v3 LIVECOW False False 0.02 0.02 0.03 0.0 0.35 -0.35 0.02 0.02 1.26 17.0 1 1 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.03 0.0 0.16 -0.16 0.05 0.04 2.35 13.0 4 3 caleb_strategy_v3 GASOIL False False 0.02 0.07 0.03 0.0 0.09 -0.09 0.07 0.05 1.37 4.0 3 2 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.04 0.0 0.00 -0.00 0.00 0.00 2.03 0.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.08 0.05 0.0 0.26 -0.26 0.08 0.06 7.59 36.0 11 9 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.05 0.0 0.39 -0.39 0.00 0.00 6.90 56.0 0 0 caleb_strategy_v3 CAC True False 0.02 0.00 0.08 0.0 0.00 0.00 0.00 0.00 3.11 12.0 0 0 caleb_strategy_v3 EUROSTX False False 0.01 0.19 0.08 0.0 0.30 -0.30 0.19 0.18 5.29 20.0 13 12 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.08 0.0 0.13 -0.13 0.13 0.13 2.34 4.0 4 4 caleb_strategy_v3 SMI False True 0.04 0.25 0.09 0.0 0.25 0.00 0.25 0.25 2.51 9.0 7 7 caleb_strategy_v3 DAX False False 0.01 0.06 0.09 0.0 0.32 -0.32 0.06 0.05 16.84 58.0 10 9 caleb_strategy_v3 COPPER False False 0.03 0.19 0.15 0.0 0.19 -0.19 0.19 0.19 4.61 6.0 6 6 caleb_strategy_v3 DX False False 0.03 0.00 0.15 0.0 999.00 -999.00 0.00 0.00 5.02 999999999.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.11 0.28 0.0 0.11 -0.11 0.11 0.11 12.46 5.0 5 5 caleb_strategy_v3 MXP False False 0.01 0.49 0.46 0.0 0.51 -0.51 0.49 0.47 54.93 60.0 58 55 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 17.2 Shocked risk 54.2 Sum abs risk 59.8 Leverage 5.83 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3449170.48, 'annual_cash_vol_target': 862292.62, 'daily_cash_vol_target': 53893.28875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6446 0.6960 11.1356 BITCOIN 2028.4602 62010.0000 3.2712 52.3389 BOBL 0.2860 117.3400 0.2437 3.8996 BTP 0.6418 117.1700 0.5478 8.7641 BUND 0.5807 131.6000 0.4413 7.0600 BUXL 1.3608 131.9800 1.0311 16.4970 CAC 51.4843 7928.0000 0.6494 10.3904 CAD 0.0029 0.7266 0.3989 6.3829 CANOLA 7.3484 620.9000 1.1835 18.9361 CHF 0.0049 1.1058 0.4472 7.1549 COCOA 232.6341 10143.0000 2.2935 36.6967 COFFEE 3.3372 239.0500 1.3960 22.3365 COPPER 0.0446 4.3680 1.0207 16.3320 CORN 4.9536 464.7500 1.0659 17.0538 COTTON2 1.3233 81.3400 1.6268 26.0294 CRUDE_W 0.8961 78.2900 1.1446 18.3144 DAX 125.1315 17991.0000 0.6955 11.1284 DOW 248.6002 37990.0000 0.6544 10.4701 DX 0.3819 105.7800 0.3610 5.7759 EUR 0.0049 1.0696 0.4566 7.3061 EURIBOR-ICE 0.0544 97.4600 0.0558 0.8932 EUROSTX 35.8033 4862.0000 0.7364 11.7822 FEEDCOW 2.1650 252.0750 0.8589 13.7422 GASOIL 11.6752 792.7500 1.4727 23.5639 GASOLINE 0.0357 2.6571 1.3437 21.4992 GAS_US_mini 0.0750 2.2800 3.2887 52.6197 GBP 0.0062 1.2455 0.5006 8.0089 GOLD_micro 17.9748 2388.5000 0.7526 12.0409 HEATOIL 0.0381 2.5827 1.4735 23.5766 JGB-SGX-mini 0.2340 144.3100 0.1621 2.5943 JPY 0.0000 0.0065 0.5202 8.3240 LEANHOG 1.2839 104.1000 1.2333 19.7332 LIVECOW 1.4662 175.4250 0.8358 13.3732 LUMBER-new 6.4681 545.0000 1.1868 18.9890 MILK 0.2684 17.4400 1.5389 24.6226 MXP 0.0004 0.0584 0.6875 11.0006 NASDAQ_micro 156.2394 17672.0000 0.8841 14.1457 NIKKEI 369.4670 38390.0000 0.9624 15.3985 NZD 0.0039 0.5914 0.6616 10.5854 OAT 0.5689 126.3900 0.4501 7.2021 OATIES 5.2539 338.0000 1.5544 24.8706 OJ 5.8007 362.9500 1.5982 25.5711 PALLAD 26.0605 1034.5000 2.5191 40.3062 PLAT 15.6154 953.6000 1.6375 26.2003 REDWHEAT 9.4839 582.7500 1.6274 26.0389 RICE 0.2737 14.9500 1.8305 29.2879 ROBUSTA 53.9825 4185.0000 1.2899 20.6385 RUSSELL 23.0589 1965.9000 1.1729 18.7671 SHATZ 0.0873 105.4500 0.0828 1.3244 SILVER-mini 0.4558 28.8000 1.5827 25.3238 SMI 76.0809 11160.0000 0.6817 10.9077 SOFR 0.0739 95.9450 0.0770 1.2319 SOYBEAN 9.4358 1160.5000 0.8131 13.0092 SOYMEAL 3.9640 340.3000 1.1649 18.6377 SOYOIL 0.6488 45.6900 1.4199 22.7189 SP400 25.5171 2854.9000 0.8938 14.3008 SP500_micro 35.3475 5061.0000 0.6984 11.1749 SUGAR11 0.2912 19.2200 1.5153 24.2449 US10 0.4484 108.1094 0.4148 6.6368 US10U 0.5857 111.0469 0.5275 8.4395 US2 0.1220 101.5898 0.1200 1.9207 US20 0.8692 114.7500 0.7574 12.1191 US30 1.2437 121.1250 1.0267 16.4280 US5 0.2963 105.2188 0.2816 4.5056 VIX 0.4751 18.1000 2.6250 42.0000 WHEAT 7.7519 594.7500 1.3034 20.8543 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 644.60 0.70 448.63 1.00 448.63 53893.29 120.13 -6.95 -83.51 BITCOIN 62.01 3.27 202.85 1.00 202.85 53893.29 265.69 -2.15 -57.19 BOBL 1173.40 0.24 285.99 1.06 303.66 53893.29 177.48 -5.63 -99.96 BTP 1171.70 0.55 641.81 1.06 681.47 53893.29 79.08 1.29 10.21 BUND 1316.00 0.44 580.69 1.06 616.57 53893.29 87.41 -1.65 -14.41 BUXL 1319.80 1.03 1360.80 1.06 1444.89 53893.29 37.30 -2.41 -9.00 CAC 792.80 0.65 514.84 1.06 546.66 53893.29 98.59 9.25 91.15 CAD 726.65 0.40 289.88 1.00 289.88 53893.29 185.91 -14.70 -273.27 CANOLA 124.18 1.18 146.97 0.72 106.54 53893.29 505.87 -16.86 -852.89 CHF 1382.31 0.45 618.14 1.00 618.14 53893.29 87.19 -20.00 -174.37 COCOA 1014.30 2.29 2326.34 1.00 2326.34 53893.29 23.17 12.64 29.29 COFFEE 896.44 1.40 1251.45 1.00 1251.45 53893.29 43.06 12.26 52.82 COPPER 1092.00 1.02 1114.66 1.00 1114.66 53893.29 48.35 8.80 42.54 CORN 232.38 1.07 247.68 1.00 247.68 53893.29 217.59 -18.20 -396.08 COTTON2 406.70 1.63 661.63 1.00 661.63 53893.29 81.45 -9.54 -77.70 CRUDE_W 782.90 1.14 896.15 1.00 896.15 53893.29 60.14 19.13 115.06 DAX 179.91 0.70 125.13 1.06 132.86 53893.29 405.63 12.17 493.60 DOW 189.95 0.65 124.30 1.00 124.30 53893.29 433.57 -10.79 -467.83 DX 1057.80 0.36 381.86 1.00 381.86 53893.29 141.13 13.70 193.36 EUR 1337.00 0.46 610.52 1.00 610.52 53893.29 88.28 -8.12 -71.69 EURIBOR-ICE 2436.50 0.06 136.01 1.06 144.42 53893.29 373.17 -0.73 -27.10 EUROSTX 486.20 0.74 358.03 1.06 380.16 53893.29 141.76 10.95 155.23 FEEDCOW 1260.38 0.86 1082.52 1.00 1082.52 53893.29 49.78 -8.80 -43.81 GASOIL 792.75 1.47 1167.52 1.00 1167.52 53893.29 46.16 6.84 31.58 GASOLINE 1115.98 1.34 1499.55 1.00 1499.55 53893.29 35.94 15.01 53.94 GAS_US_mini 57.00 3.29 187.46 1.00 187.46 53893.29 287.50 -15.25 -438.29 GBP 778.44 0.50 389.65 1.00 389.65 53893.29 138.31 -5.46 -75.46 GOLD_micro 238.85 0.75 179.75 1.00 179.75 53893.29 299.83 6.75 202.29 HEATOIL 1084.73 1.47 1598.40 1.00 1598.40 53893.29 33.72 2.43 8.20 JGB-SGX-mini 144310.00 0.16 23398.65 0.01 151.61 53893.29 355.47 -3.80 -135.00 JPY 817.38 0.52 425.24 1.00 425.24 53893.29 126.74 -18.71 -237.07 LEANHOG 416.40 1.23 513.56 1.00 513.56 53893.29 104.94 3.68 38.67 LIVECOW 701.70 0.84 586.50 1.00 586.50 53893.29 91.89 4.13 37.99 LUMBER-new 149.88 1.19 177.87 1.00 177.87 53893.29 302.99 -19.72 -597.40 MILK 348.80 1.54 536.77 1.00 536.77 53893.29 100.40 -10.51 -105.48 MXP 291.85 0.69 200.66 1.00 200.66 53893.29 268.58 13.93 374.25 NASDAQ_micro 353.44 0.88 312.48 1.00 312.48 53893.29 172.47 -6.83 -117.84 NIKKEI 38390.00 0.96 36946.70 0.01 240.15 53893.29 224.42 3.12 70.07 NZD 591.35 0.66 391.23 1.00 391.23 53893.29 137.75 -6.78 -93.40 OAT 1263.90 0.45 568.92 1.06 604.08 53893.29 89.21 1.52 13.57 OATIES 169.00 1.55 262.70 1.00 262.70 53893.29 205.15 -15.61 -320.19 OJ 544.42 1.60 870.10 1.00 870.10 53893.29 61.94 7.81 48.38 PALLAD 1034.50 2.52 2606.05 1.00 2606.05 53893.29 20.68 -1.27 -2.62 PLAT 476.80 1.64 780.77 1.00 780.77 53893.29 69.03 5.03 34.70 REDWHEAT 291.38 1.63 474.19 1.00 474.19 53893.29 113.65 -10.57 -120.15 RICE 299.00 1.83 547.32 1.00 547.32 53893.29 98.47 -3.80 -37.45 ROBUSTA 418.50 1.29 539.82 1.00 539.82 53893.29 99.83 14.39 143.69 RUSSELL 98.30 1.17 115.29 1.00 115.29 53893.29 467.44 -7.78 -363.64 SHATZ 1054.50 0.08 87.28 1.06 92.68 53893.29 581.51 -14.01 -814.41 SILVER-mini 720.00 1.58 1139.57 1.00 1139.57 53893.29 47.29 12.57 59.45 SMI 1116.00 0.68 760.81 1.10 833.73 53893.29 64.64 11.37 73.49 SOFR 2398.62 0.08 184.69 1.00 184.69 53893.29 291.81 -9.68 -282.59 SOYBEAN 580.25 0.81 471.79 1.00 471.79 53893.29 114.23 -15.62 -178.43 SOYMEAL 340.30 1.16 396.40 1.00 396.40 53893.29 135.96 -17.43 -237.04 SOYOIL 274.14 1.42 389.26 1.00 389.26 53893.29 138.45 -16.02 -221.85 SP400 2854.90 0.89 2551.71 1.00 2551.71 53893.29 21.12 -5.36 -11.31 SP500_micro 253.05 0.70 176.74 1.00 176.74 53893.29 304.93 -5.94 -181.14 SUGAR11 215.26 1.52 326.19 1.00 326.19 53893.29 165.22 -7.96 -131.59 US10 1081.09 0.41 448.44 1.00 448.44 53893.29 120.18 -10.54 -126.68 US10U 1110.47 0.53 585.74 1.00 585.74 53893.29 92.01 -7.48 -68.83 US2 2031.80 0.12 243.90 1.00 243.90 53893.29 220.96 -16.27 -359.61 US20 1147.50 0.76 869.17 1.00 869.17 53893.29 62.01 -3.97 -24.62 US30 1211.25 1.03 1243.65 1.00 1243.65 53893.29 43.33 -5.83 -25.27 US5 1052.19 0.28 296.30 1.00 296.30 53893.29 181.89 -13.31 -242.17 VIX 181.00 2.62 475.12 1.00 475.12 53893.29 113.43 -12.75 -144.58 WHEAT 297.38 1.30 387.60 1.00 387.60 53893.29 139.04 -14.47 -201.24 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -83.512 0.010 2.5 -2.167 BITCOIN -57.190 0.043 2.5 -6.193 BOBL -99.955 0.004 2.5 -1.014 BTP 10.212 0.014 2.5 0.348 BUND -14.409 0.004 2.5 -0.146 BUXL -9.005 0.004 2.5 -0.091 CAC 91.145 0.014 2.5 3.109 CAD -273.274 0.010 2.5 -7.090 CANOLA -852.891 0.010 2.5 -20.750 CHF -174.372 0.010 2.5 -4.524 COCOA 29.291 0.009 2.5 0.627 COFFEE 52.816 0.005 2.5 0.617 COPPER 42.540 0.043 2.5 4.607 CORN -396.085 0.010 2.5 -9.636 COTTON2 -77.698 0.009 2.5 -1.664 CRUDE_W 115.058 0.043 2.5 12.459 DAX 493.602 0.014 2.5 16.836 DOW -467.832 0.009 2.5 -10.872 DX 193.360 0.010 2.5 5.017 EUR -71.689 0.010 2.5 -1.860 EURIBOR-ICE -27.102 0.014 2.5 -0.924 EUROSTX 155.234 0.014 2.5 5.295 FEEDCOW -43.810 0.013 2.5 -1.452 GASOIL 31.584 0.017 2.5 1.369 GASOLINE 53.938 0.017 2.5 2.338 GAS_US_mini -438.289 0.043 2.5 -47.461 GBP -75.457 0.010 2.5 -1.958 GOLD_micro 202.288 0.014 2.5 6.900 HEATOIL 8.205 0.017 2.5 0.356 JGB-SGX-mini -135.002 0.043 2.5 -14.619 JPY -237.070 0.010 2.5 -6.151 LEANHOG 38.670 0.024 2.5 2.350 LIVECOW 37.989 0.013 2.5 1.259 LUMBER-new -597.400 0.009 2.5 -12.784 MILK -105.481 0.009 2.5 -2.259 MXP 374.247 0.059 2.5 54.929 NASDAQ_micro -117.835 0.009 2.5 -2.739 NIKKEI 70.074 0.043 2.5 7.588 NZD -93.397 0.010 2.5 -2.423 OAT 13.565 0.014 2.5 0.463 OATIES -320.194 0.010 2.5 -7.790 OJ 48.382 0.009 2.5 1.036 PALLAD -2.625 0.014 2.5 -0.090 PLAT 34.701 0.014 2.5 1.184 REDWHEAT -120.147 0.005 2.5 -1.594 RICE -37.455 0.010 2.5 -0.911 ROBUSTA 143.695 0.005 2.5 1.678 RUSSELL -363.642 0.013 2.5 -12.050 SHATZ -814.414 0.004 2.5 -8.259 SILVER-mini 59.452 0.014 2.5 2.028 SMI 73.486 0.014 2.5 2.506 SOFR -282.587 0.024 2.5 -17.174 SOYBEAN -178.431 0.004 2.5 -1.660 SOYMEAL -237.039 0.004 2.5 -2.205 SOYOIL -221.851 0.004 2.5 -2.065 SP400 -11.313 0.013 2.5 -0.375 SP500_micro -181.135 0.009 2.5 -4.210 SUGAR11 -131.590 0.009 2.5 -2.799 US10 -126.682 0.005 2.5 -1.605 US10U -68.825 0.005 2.5 -0.872 US2 -359.609 0.005 2.5 -4.557 US20 -24.615 0.005 2.5 -0.312 US30 -25.273 0.005 2.5 -0.320 US5 -242.174 0.005 2.5 -3.069 VIX -144.585 0.099 2.5 -35.690 WHEAT -201.239 0.005 2.5 -2.669 ===================== Position diags ===================== AUD 3.12 BITCOIN 28.77 BOBL 1.80 BTP 2.70 BUND 0.89 BUXL 0.38 CAC 3.36 CAD 4.82 CANOLA 12.31 CHF 2.26 COCOA 0.50 COFFEE 0.50 COPPER 5.24 CORN 5.29 COTTON2 1.74 CRUDE_W 6.51 DAX 13.84 DOW 10.08 DX 3.66 EUR 2.29 EURIBOR-ICE 12.73 EUROSTX 4.84 FEEDCOW 1.65 GASOIL 2.00 GASOLINE 1.56 GAS_US_mini 31.13 GBP 3.59 GOLD_micro 10.23 HEATOIL 1.46 JGB-SGX-mini 38.49 JPY 3.29 LEANHOG 6.38 LIVECOW 3.04 LUMBER-new 6.48 MILK 2.15 MXP 39.42 NASDAQ_micro 4.01 NIKKEI 24.30 NZD 3.57 OAT 3.04 OATIES 4.99 OJ 1.33 PALLAD 0.71 PLAT 2.35 REDWHEAT 1.51 RICE 2.40 ROBUSTA 1.17 RUSSELL 15.49 SHATZ 5.90 SILVER-mini 1.61 SMI 2.20 SOFR 17.73 SOYBEAN 1.06 SOYMEAL 1.26 SOYOIL 1.29 SP400 0.70 SP500_micro 7.09 SUGAR11 3.51 US10 1.52 US10U 1.17 US2 2.80 US20 0.79 US30 0.55 US5 2.30 VIX 28.00 WHEAT 1.84 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.2 -2.5 -1.9 -3.0 -3 BITCOIN -6.2 -9.1 -3.3 0.0 0 BOBL -1.0 -1.2 -0.8 -18.0 -18 BTP 0.3 0.1 0.6 5.0 5 BUND -0.1 -0.2 -0.1 -1.0 -1 BUXL -0.1 -0.1 -0.1 -1.0 -1 CAC 3.1 2.8 3.4 0.0 0 CAD -7.1 -7.6 -6.6 0.0 0 CANOLA -20.7 -22.0 -19.5 -6.0 -6 CHF -4.5 -4.8 -4.3 -9.0 -9 COCOA 0.6 0.6 0.7 4.0 4 COFFEE 0.6 0.6 0.7 2.0 2 COPPER 4.6 4.1 5.1 6.0 6 CORN -9.6 -10.2 -9.1 -12.0 -12 COTTON2 -1.7 -1.8 -1.5 -3.0 -3 CRUDE_W 12.5 11.8 13.1 5.0 5 DAX 16.8 15.5 18.2 10.0 10 DOW -10.9 -11.9 -9.9 -5.0 -5 DX 5.0 4.7 5.4 NaN 0 EUR -1.9 -2.1 -1.6 -2.0 -2 EURIBOR-ICE -0.9 -2.2 0.3 1.0 1 EUROSTX 5.3 4.8 5.8 13.0 13 FEEDCOW -1.5 -1.6 -1.3 -1.0 -1 GASOIL 1.4 1.2 1.6 3.0 3 GASOLINE 2.3 2.2 2.5 4.0 4 GAS_US_mini -47.5 -50.6 -44.3 -24.0 -24 GBP -2.0 -2.3 -1.6 0.0 0 GOLD_micro 6.9 5.9 7.9 0.0 0 HEATOIL 0.4 0.2 0.5 3.0 3 JGB-SGX-mini -14.6 -18.5 -10.8 -8.0 -8 JPY -6.2 -6.5 -5.8 0.0 0 LEANHOG 2.4 1.7 3.0 4.0 4 LIVECOW 1.3 1.0 1.6 1.0 1 LUMBER-new -12.8 -13.4 -12.1 NaN 0 MILK -2.3 -2.5 -2.0 NaN 0 MXP 54.9 51.0 58.9 58.0 58 NASDAQ_micro -2.7 -3.1 -2.3 -3.0 -3 NIKKEI 7.6 5.2 10.0 11.0 11 NZD -2.4 -2.8 -2.1 -2.0 -2 OAT 0.5 0.2 0.8 1.0 1 OATIES -7.8 -8.3 -7.3 NaN 0 OJ 1.0 0.9 1.2 NaN 0 PALLAD -0.1 -0.2 -0.0 0.0 0 PLAT 1.2 0.9 1.4 0.0 0 REDWHEAT -1.6 -1.7 -1.4 -1.0 -1 RICE -0.9 -1.2 -0.7 NaN 0 ROBUSTA 1.7 1.6 1.8 1.0 1 RUSSELL -12.1 -13.6 -10.5 -3.0 -3 SHATZ -8.3 -8.8 -7.7 NaN 0 SILVER-mini 2.0 1.9 2.2 NaN 0 SMI 2.5 2.3 2.7 7.0 7 SOFR -17.2 -18.9 -15.4 NaN 0 SOYBEAN -1.7 -1.8 -1.6 -3.0 -3 SOYMEAL -2.2 -2.3 -2.1 0.0 0 SOYOIL -2.1 -2.2 -1.9 -5.0 -5 SP400 -0.4 -0.4 -0.3 0.0 0 SP500_micro -4.2 -4.9 -3.5 -9.0 -9 SUGAR11 -2.8 -3.1 -2.4 0.0 0 US10 -1.6 -1.8 -1.5 0.0 0 US10U -0.9 -1.0 -0.8 -3.0 -3 US2 -4.6 -4.8 -4.3 NaN 0 US20 -0.3 -0.4 -0.2 0.0 0 US30 -0.3 -0.4 -0.3 0.0 0 US5 -3.1 -3.3 -2.8 -14.0 -14 VIX -35.7 -38.5 -32.9 -16.0 -16 WHEAT -2.7 -2.9 -2.5 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.9 3.9 3.9 3.9 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 0.3 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 0.2 0.3 0.1 -0.1 -0.7 -0.3 -0.5 -0.1 BITCOIN -0.5 -0.0 0.3 0.0 -0.0 0.1 0.0 0.0 0.1 -0.1 0.4 -0.1 0.6 0.0 0.1 -0.2 -0.1 -0.2 -0.2 0.2 0.2 -0.2 0.5 -0.0 -2.7 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.2 -0.5 -0.6 0.6 0.6 -0.3 -0.0 0.6 0.1 BOBL 0.1 -0.2 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 -0.2 -0.0 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 0.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.7 0.2 0.4 0.1 -0.1 -0.6 -0.7 0.2 -0.6 BTP -0.5 -0.2 0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.3 -0.1 0.4 -0.1 -0.0 0.1 0.1 0.1 0.1 0.0 0.1 -0.1 0.2 -0.1 -2.5 0.0 -0.0 0.2 -0.0 0.2 0.0 0.7 0.5 0.4 0.6 0.4 -0.2 -0.4 0.7 0.1 BUND -0.0 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 0.4 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.2 0.3 0.5 0.3 0.0 -0.6 -0.7 0.5 -0.3 BUXL -0.1 -0.1 0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 0.1 0.0 0.0 0.0 0.0 0.4 0.6 0.5 0.1 -0.7 -0.7 -0.1 -0.1 CAC -0.6 0.1 0.6 0.0 -0.1 0.2 -0.1 0.2 -0.0 -0.1 0.5 -0.2 0.7 -0.0 0.2 0.4 0.0 0.3 0.1 0.2 0.2 -0.2 0.5 -0.1 -1.6 0.1 -0.1 0.3 -0.1 0.3 -0.0 0.8 0.3 0.4 0.5 0.1 -0.3 0.3 -0.2 0.5 CAD -0.3 -0.3 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 -0.2 -0.2 -0.3 -0.2 -0.2 -0.1 -0.0 -0.0 -0.0 -0.2 -0.1 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.3 -0.1 -0.3 -0.2 -0.7 -0.6 -0.2 -0.5 CANOLA 0.0 0.6 0.1 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 0.0 -0.0 -0.3 -0.1 -0.3 -0.2 -0.0 -0.1 -0.1 -0.4 -0.0 -2.7 0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -1.0 -0.2 -0.0 0.4 -0.5 -0.7 -0.6 -0.5 -0.2 CHF -0.4 -0.6 -0.6 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.4 -0.2 -0.3 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -1.1 0.3 -0.6 -0.6 -0.6 -0.2 -0.6 0.1 -0.5 COCOA -0.2 0.6 -0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.0 0.3 0.1 0.4 0.1 0.1 0.4 0.3 0.4 0.4 0.2 0.2 0.1 0.5 0.2 -2.5 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.5 0.6 0.6 0.6 0.0 -0.0 0.2 0.3 COFFEE 0.6 0.5 0.4 0.0 -0.1 0.0 -0.1 -0.1 -0.0 0.2 0.5 0.2 0.5 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.1 0.1 0.2 0.1 0.1 0.7 0.5 0.6 0.6 0.6 -0.1 -0.7 0.2 -0.3 COPPER 0.5 0.6 0.5 0.1 -0.0 0.1 0.0 0.0 0.1 0.1 0.4 0.2 0.1 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.2 0.2 -2.1 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.5 0.4 0.6 0.5 -0.7 -0.1 0.3 0.2 CORN 0.1 0.5 0.1 0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.3 -0.1 -0.7 0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.1 -0.1 -0.1 -0.5 -0.0 -2.1 -0.0 -0.0 -0.2 -0.0 -0.4 -0.0 -1.1 -0.0 0.1 0.2 -0.6 -0.4 -0.7 -0.3 0.0 COTTON2 -0.6 -0.4 0.6 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.0 0.4 0.1 0.2 0.1 -0.1 0.0 -0.2 0.1 -0.2 -2.7 -0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 -0.5 -0.6 -0.1 0.6 -0.3 -0.5 0.0 0.1 CRUDE_W 0.3 0.5 0.3 0.1 -0.1 0.2 0.0 0.2 0.1 -0.1 0.3 0.2 0.5 0.2 0.2 0.4 0.2 0.3 0.3 0.2 0.2 0.1 0.5 0.2 -0.7 0.1 -0.1 0.2 0.0 0.2 0.1 -0.1 0.2 0.4 0.5 -0.0 0.7 0.7 0.7 0.7 DAX -0.6 0.1 0.5 0.0 -0.1 0.2 -0.1 0.2 -0.0 -0.2 0.5 -0.2 0.7 0.0 0.2 -0.2 -0.2 -0.3 -0.3 0.2 0.2 -0.2 0.5 -0.0 2.1 0.1 -0.1 0.2 -0.0 0.2 0.0 -0.6 -0.0 0.6 0.6 0.4 -0.1 0.3 0.2 0.7 DOW -0.6 -0.6 0.1 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.4 -0.2 0.5 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.2 0.4 -0.2 -1.6 0.0 -0.1 0.2 -0.1 0.3 -0.1 -0.5 -0.2 -0.0 -0.5 -0.2 -0.1 -0.2 0.2 -0.5 DX 0.5 0.2 0.2 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.1 0.2 0.2 0.2 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.1 0.2 0.2 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 0.8 0.5 0.6 0.6 0.6 0.7 0.1 0.7 0.3 EUR -0.4 -0.1 -0.2 -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 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 2.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 0.1 -0.1 0.1 0.0 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.2 -0.5 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.1 -0.1 1.7 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.0 0.1 0.1 -0.0 -0.7 -0.7 0.4 0.6 EUROSTX -0.6 -0.0 0.6 0.0 -0.1 0.2 -0.1 0.2 -0.0 -0.2 0.5 -0.2 0.7 0.0 0.2 -0.1 0.0 -0.0 0.0 0.2 0.2 -0.2 0.5 -0.0 -0.1 0.1 -0.1 0.3 -0.0 0.3 0.0 0.6 0.2 0.6 0.6 0.5 -0.5 0.3 -0.4 0.5 FEEDCOW -0.6 -0.6 0.3 0.0 -0.1 0.0 -0.0 -0.1 -0.0 0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.2 -0.1 -0.1 0.0 -0.2 -0.8 -0.0 0.0 -0.0 -0.0 0.1 -0.1 -1.1 0.0 -0.6 -0.6 0.2 0.7 0.7 0.7 0.7 GASOIL -0.0 0.2 0.3 0.1 -0.1 0.1 0.0 0.1 0.1 -0.2 0.3 -0.0 0.6 0.1 0.2 0.2 0.4 0.4 0.4 0.2 0.2 -0.0 0.5 0.1 0.9 0.1 -0.1 0.2 -0.0 0.3 0.0 0.8 -0.4 -0.4 -0.3 -0.0 -0.4 -0.3 -0.7 -0.6 GASOLINE 0.1 0.5 0.5 0.1 -0.1 0.2 0.0 0.2 0.1 -0.1 0.5 0.1 0.6 0.2 0.2 0.4 0.2 0.3 0.1 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.2 0.1 -0.3 0.2 0.2 0.5 0.3 0.7 0.7 0.7 0.7 GAS_US_mini 0.2 0.0 -0.4 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 -0.4 -0.1 -0.6 -0.1 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.1 -0.5 -0.1 2.7 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -1.1 -0.1 -0.6 -0.6 -0.6 -0.7 -0.1 -0.7 -0.3 GBP -0.4 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 0.2 -0.2 0.2 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 0.1 -0.2 0.2 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.2 0.2 -0.0 0.2 0.4 -0.7 -0.3 -0.7 -0.1 GOLD_micro 0.6 0.6 0.5 0.1 -0.0 0.1 0.0 0.0 0.1 0.1 0.5 0.2 0.5 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.2 0.4 0.2 -0.6 0.1 0.0 0.1 0.1 0.1 0.1 -0.8 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.5 -0.4 HEATOIL 0.0 0.2 0.2 0.1 -0.1 0.1 0.0 0.1 0.1 -0.2 0.1 -0.1 0.4 0.1 0.2 0.1 0.4 0.3 0.4 0.1 0.1 -0.1 0.3 0.0 -2.7 0.1 -0.1 0.2 -0.1 0.3 0.0 0.8 -0.5 -0.6 -0.4 -0.1 0.6 0.2 0.5 0.1 JGB-SGX-mini -0.4 -0.4 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.0 -0.1 0.1 -0.1 -1.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 1.1 -0.3 -0.3 -0.1 0.1 -0.4 -0.5 0.0 0.3 JPY -0.4 -0.2 -0.5 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.2 -0.5 -0.2 2.7 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -1.1 -0.0 -0.4 -0.5 -0.6 -0.7 -0.4 -0.6 -0.4 LEANHOG -0.1 0.3 0.6 0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.2 0.5 -0.1 -0.2 0.0 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 -0.1 0.0 0.1 1.7 0.1 -0.1 0.2 -0.1 0.1 0.0 -1.1 -0.2 0.2 0.6 0.6 -0.3 -0.3 0.0 0.5 LIVECOW -0.6 -0.4 0.3 0.0 -0.1 0.0 -0.0 -0.1 -0.0 0.1 -0.0 -0.1 0.0 -0.1 -0.0 0.4 0.1 0.4 0.3 -0.1 -0.0 -0.1 0.0 -0.2 -0.7 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.7 0.0 -0.6 -0.3 0.4 0.7 0.5 0.7 0.7 LUMBER-new -0.7 -0.3 0.2 0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.2 0.3 -0.2 -0.4 -0.2 -0.1 -0.5 -0.4 -0.4 -0.4 -0.2 0.0 -0.2 0.0 -0.2 NaN -0.1 -0.1 0.0 -0.2 0.0 -0.1 -1.2 -0.6 -0.7 -0.7 -0.3 -0.5 -0.5 -0.3 -0.3 MILK 0.4 -0.1 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.3 0.1 -0.4 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.1 -0.4 -0.0 1.5 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -1.1 0.5 0.1 -0.5 -0.4 -0.7 -0.7 -0.7 -0.7 MXP -0.2 0.1 0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 0.5 -0.1 0.7 0.1 0.2 0.3 0.3 0.4 0.3 0.2 0.2 -0.2 0.5 0.0 -2.7 0.1 -0.1 0.2 -0.1 0.3 0.0 1.1 0.0 0.6 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro -0.6 -0.5 0.1 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.4 -0.1 0.5 -0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.2 -0.1 0.5 -0.1 -2.7 0.0 -0.1 0.2 -0.1 0.3 -0.0 -0.4 0.2 0.1 -0.3 0.1 0.1 -0.1 0.2 -0.1 NIKKEI -0.6 -0.2 0.6 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.5 -0.1 0.6 -0.0 0.2 0.0 0.2 0.1 0.2 0.2 0.2 -0.1 0.5 -0.0 -2.2 0.1 -0.1 0.2 -0.0 0.3 -0.0 1.1 0.2 0.3 0.1 0.6 -0.7 -0.3 -0.4 -0.3 NZD -0.3 -0.4 -0.2 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 0.2 0.3 0.0 -0.3 -0.2 -0.4 -0.2 -0.1 0.2 OAT -0.2 -0.2 -0.1 -0.0 -0.0 -0.0 -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 -0.0 -0.0 -0.1 -0.0 -0.1 0.5 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.7 0.3 0.4 0.3 0.0 -0.5 -0.7 0.5 0.0 OATIES -0.3 -0.1 -0.3 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.4 -0.0 -0.5 -0.1 -0.1 0.2 0.0 0.2 0.1 -0.1 -0.2 -0.0 -0.4 -0.1 -2.7 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.3 -0.5 -0.6 -0.3 -0.5 -0.0 -0.1 0.5 OJ 0.0 0.0 -0.2 0.0 -0.1 0.0 -0.1 -0.1 -0.0 0.0 0.2 0.1 0.5 0.1 0.1 0.1 0.3 0.1 0.2 0.1 0.2 0.0 0.5 0.1 -2.7 0.0 -0.0 0.2 -0.0 0.6 -0.0 1.0 0.1 0.3 -0.1 -0.1 0.3 0.3 0.7 0.7 PALLAD 0.1 0.6 0.3 0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.2 0.0 1.5 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.4 -0.1 -0.2 -0.2 -0.1 -0.7 -0.5 -0.7 -0.3 PLAT 0.4 0.4 0.0 0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 -0.3 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.1 0.1 1.4 0.0 -0.0 0.0 0.0 0.0 0.0 0.2 -0.0 0.1 -0.2 -0.1 -0.6 -0.2 0.7 0.3 REDWHEAT 0.2 0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.5 0.1 -0.7 0.1 -0.1 -0.0 0.0 0.0 0.0 -0.1 -0.2 -0.0 -0.5 0.0 -1.0 -0.0 -0.0 -0.2 0.0 -0.4 0.0 -0.0 0.3 0.5 -0.0 -0.6 -0.4 -0.7 -0.0 -0.7 RICE 0.0 -0.6 -0.3 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 0.2 -0.0 -0.0 0.4 -0.0 -0.0 -0.1 -0.0 -0.0 0.2 0.1 0.0 -1.3 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.4 0.5 -0.1 -0.6 -0.4 0.2 -0.1 0.5 0.2 ROBUSTA 0.6 0.3 0.6 0.0 -0.1 0.0 -0.1 -0.1 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.3 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.2 0.1 1.1 0.5 0.6 0.6 0.6 -0.6 -0.7 -0.1 0.1 RUSSELL -0.6 -0.1 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.1 0.3 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.2 0.2 -0.1 -0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 -0.0 0.2 -0.3 -0.4 -0.4 -0.6 -0.4 -0.7 SHATZ 0.1 -0.2 -0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.0 -0.2 -0.1 1.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.1 0.1 -0.1 -0.3 -0.7 -0.7 -0.4 -0.7 SILVER-mini 0.6 0.6 0.3 0.0 -0.0 0.1 0.0 0.0 0.1 0.1 0.3 0.1 0.1 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.1 0.2 0.5 0.1 0.0 0.1 0.0 0.1 0.1 -0.1 0.5 0.6 0.6 0.6 -0.5 -0.6 0.6 0.1 SMI -0.6 0.1 0.4 0.0 -0.1 0.2 -0.1 0.2 -0.0 -0.2 0.4 -0.2 0.5 -0.1 0.1 -0.0 0.1 0.0 0.1 0.1 0.1 -0.2 0.3 -0.1 2.0 0.0 -0.1 0.2 -0.1 0.2 -0.0 0.9 0.0 0.3 0.1 -0.1 0.5 -0.1 0.7 -0.1 SOFR -0.5 -0.4 -0.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 -0.3 -0.2 -0.1 0.0 -0.6 -0.7 0.2 -0.1 SOYBEAN -0.1 0.6 -0.4 0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.4 -0.2 -0.2 0.0 -0.1 -0.1 0.2 0.0 0.1 -0.1 -0.2 -0.1 -0.4 -0.1 -2.7 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 0.7 -0.3 -0.2 0.3 -0.6 -0.4 -0.7 -0.3 -0.7 SOYMEAL 0.1 0.3 -0.6 0.0 -0.1 0.0 -0.1 -0.1 -0.0 0.0 -0.5 -0.0 -0.5 -0.0 -0.2 -0.1 0.1 -0.1 0.0 -0.1 -0.2 0.0 -0.5 -0.0 -2.7 -0.0 0.0 -0.2 0.0 -0.2 0.0 0.3 0.5 0.3 -0.0 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.3 0.6 0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.2 -0.3 -0.1 -2.7 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.5 -0.6 0.1 -0.2 -0.7 -0.4 -0.3 0.2 SP400 -0.6 0.0 0.5 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.4 -0.1 0.5 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.2 -0.2 0.4 -0.1 -1.5 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.1 -0.2 0.2 0.1 -0.1 -0.4 -0.3 -0.3 -0.7 SP500_micro -0.6 -0.4 0.4 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.5 -0.2 0.6 -0.0 0.1 -0.2 -0.2 -0.3 -0.3 0.1 0.2 -0.2 0.5 -0.1 -2.7 0.0 -0.1 0.2 -0.1 0.3 -0.0 -0.6 -0.1 0.0 -0.0 0.4 -0.1 -0.1 0.2 -0.2 SUGAR11 -0.5 -0.2 -0.3 0.0 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 -0.3 -0.2 0.1 -0.1 -0.1 0.2 0.3 0.3 0.3 -0.2 -0.1 -0.2 -0.1 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 1.1 -0.5 -0.6 -0.6 -0.5 0.7 0.2 0.7 0.7 US10 -0.5 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.5 -0.2 -0.1 -0.1 0.0 -0.7 -0.7 -0.3 0.2 US10U -0.5 -0.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 0.1 -0.2 -0.2 -0.0 0.1 -0.7 -0.7 0.6 0.5 US2 -0.4 -0.4 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.2 -0.1 1.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.2 -0.2 -0.2 -0.1 -0.7 -0.7 -0.7 -0.7 US20 -0.5 -0.3 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.2 -0.1 -0.1 0.1 0.1 -0.7 -0.6 0.7 0.7 US30 -0.5 -0.2 0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.3 -0.1 -0.0 0.1 0.1 -0.6 -0.5 0.7 0.7 US5 -0.5 -0.4 -0.1 -0.0 -0.0 -0.0 -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 -0.2 -0.1 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.7 -0.2 -0.2 -0.1 -0.0 -0.7 -0.7 -0.5 -0.2 VIX 0.6 0.9 0.6 -0.0 0.1 -0.4 0.2 -0.9 0.1 0.1 -0.9 0.2 -1.2 0.1 -0.2 -0.6 -0.6 -0.6 -0.6 -0.0 -0.3 0.2 -0.9 0.1 NaN -0.0 0.1 -0.5 0.2 -1.1 0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.3 0.3 -0.1 0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.2 -0.4 -0.1 -0.7 0.1 -0.1 -0.4 -0.3 -0.3 -0.3 -0.1 -0.2 -0.1 -0.5 -0.0 0.3 -0.0 -0.1 -0.2 -0.0 -0.3 -0.0 -1.1 -0.2 0.5 -0.1 -0.6 -0.2 -0.7 -0.0 -0.7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -4.4 -0.3 -2.7 -3.0 -8.8 -0.4 -9.2 1.5 -5.9 -12.8 -4.7 -12.4 -9.0 -8.8 -12.3 -2.6 -2.9 -2.8 -2.8 -5.3 -3.3 -14.5 -4.0 -8.9 2.5 -2.1 -10.3 -1.2 -8.8 -1.7 -4.4 -0.9 6.7 8.7 3.9 -3.3 -20.0 -10.4 -13.6 -2.1 BITCOIN -16.6 -1.2 8.6 4.5 -0.3 2.2 3.3 0.6 5.2 -15.5 14.5 -12.0 15.3 4.6 11.2 -7.9 -7.4 -8.6 -8.4 15.7 20.0 -17.0 19.2 -0.5 -20.0 5.3 -4.5 7.0 -2.4 6.1 1.3 -3.2 -20.0 -20.0 20.0 20.0 -8.4 -0.2 17.4 3.4 BOBL 1.7 -5.5 -8.1 -2.2 -3.3 -1.0 -3.9 -1.1 -3.2 -5.5 -2.7 -5.7 -2.5 -6.1 -8.2 13.0 -10.2 -1.6 -8.9 -4.9 -3.4 -4.5 -3.3 -4.6 5.4 -1.3 -2.1 -0.9 -1.4 -1.0 -0.9 -13.4 7.1 11.3 4.3 -3.3 -18.8 -20.0 7.4 -16.8 BTP -14.8 -6.2 2.7 -3.5 -5.3 -1.7 -6.3 -1.7 -5.2 -9.2 10.1 -10.5 9.8 -6.4 -3.7 4.6 6.1 4.8 5.1 0.8 7.0 -8.2 7.5 -5.2 -18.9 3.7 -5.0 6.1 -3.0 5.6 0.3 14.0 19.3 11.3 20.0 13.1 -6.2 -11.6 20.0 2.5 BUND -0.9 -5.3 -3.3 -2.4 -3.7 -1.2 -4.4 -1.2 -3.6 -5.2 -0.3 -6.3 -0.8 -6.4 -8.7 -9.3 0.8 -5.8 -2.6 -3.5 -1.5 -4.5 -2.1 -4.1 2.9 0.5 -2.3 0.6 -0.8 -0.1 0.6 3.0 10.9 15.8 9.0 0.0 -16.5 -20.0 15.1 -8.3 BUXL -2.0 -3.4 1.9 -3.0 -4.5 -1.4 -5.4 -1.4 -4.4 -5.6 1.5 -7.6 -2.8 -7.5 -10.3 -7.7 -1.9 -5.8 -3.7 -2.4 -0.5 -4.3 -3.1 -3.5 -0.9 2.6 -2.0 2.0 0.4 0.2 2.7 0.0 18.4 20.0 15.9 3.9 -20.0 -20.0 -2.8 -1.7 CAC -20.0 2.6 17.6 3.8 -12.8 7.3 -10.8 6.4 -4.0 -14.5 20.0 -20.0 20.0 -0.4 18.6 20.0 1.7 13.9 6.1 18.0 20.0 -20.0 20.0 -6.0 -12.0 6.8 -5.7 9.4 -5.4 8.1 -0.0 15.5 14.0 11.8 14.6 2.8 -8.3 10.1 -5.8 15.0 CAD -10.4 -7.7 -3.1 -4.2 -12.7 -0.5 -13.2 2.1 -8.5 -17.7 -7.9 -20.0 -7.6 -20.0 -20.0 -2.7 -2.3 -2.4 -2.3 -15.1 -8.2 -20.0 -6.2 -20.0 -0.4 -6.4 -10.9 -3.4 -13.1 -2.5 -10.1 0.0 -10.9 -2.8 -10.1 -5.8 -20.0 -16.7 -6.2 -13.6 CANOLA 0.1 20.0 1.9 0.1 -3.8 0.5 -2.8 -1.2 -1.5 -9.8 -8.0 -8.1 -8.8 4.5 -0.1 -15.0 -6.8 -14.3 -12.2 -0.1 -7.9 -8.9 -13.7 -0.7 -20.0 0.1 -5.8 -2.9 -3.3 -5.3 -0.2 -18.4 -10.0 -0.1 13.7 -14.5 -20.0 -17.9 -13.8 -4.5 CHF -12.1 -20.0 -20.0 -3.4 -10.1 -0.4 -10.5 1.7 -6.8 -11.2 -14.0 -16.2 -7.1 -18.0 -19.1 -15.8 -15.8 -15.9 -15.9 -20.0 -19.6 -17.1 -7.8 -20.0 -1.2 -6.4 -1.5 -3.9 -3.9 -1.2 -6.1 -20.0 14.4 -18.3 -20.0 -20.0 -6.6 -16.8 1.6 -15.7 COCOA -6.2 20.0 -5.6 0.1 -3.4 0.4 -2.5 -1.1 -1.4 3.4 10.6 7.5 10.6 9.5 10.2 20.0 15.2 20.0 20.0 20.0 20.0 15.6 16.8 20.0 -18.6 3.7 0.4 3.7 1.5 3.2 2.8 20.0 20.0 20.0 20.0 20.0 1.3 -0.3 6.6 9.6 COFFEE 20.0 16.2 13.1 0.3 -8.2 1.0 -6.1 -2.6 -3.2 20.0 19.8 20.0 14.8 20.0 19.7 11.6 8.2 11.6 10.4 20.0 20.0 20.0 15.5 20.0 -20.0 7.4 14.9 4.5 14.2 2.9 11.5 13.9 20.0 20.0 20.0 20.0 -3.6 -20.0 5.4 -10.0 COPPER 16.5 20.0 15.5 5.4 -0.4 2.6 3.9 0.7 6.3 9.2 15.7 17.6 2.9 19.8 19.4 -5.3 -5.0 -5.4 -5.5 20.0 20.0 20.0 8.5 20.0 -15.7 7.0 3.4 4.5 5.9 2.0 7.7 1.2 20.0 13.3 19.0 16.2 -20.0 -2.5 9.3 5.8 CORN 3.0 15.6 4.2 0.2 -6.5 0.8 -4.8 -2.0 -2.6 -14.2 -11.9 -6.1 -18.2 7.3 -7.4 -20.0 -9.6 -18.7 -15.3 -5.3 -13.6 -5.6 -20.0 -2.6 -15.7 -3.3 -5.0 -7.9 -2.2 -10.1 -0.6 -20.0 -0.9 3.5 5.1 -20.0 -11.3 -20.0 -10.2 0.5 COTTON2 -20.0 -13.4 18.1 0.1 -4.4 0.5 -3.3 -1.4 -1.8 -11.7 0.6 -12.9 1.8 -12.5 -3.6 19.7 3.1 11.4 5.5 -7.2 1.7 -20.0 2.4 -19.0 -20.0 -0.2 -5.8 2.5 -5.5 2.4 -4.0 4.2 -20.0 -20.0 -4.6 20.0 -10.4 -13.9 0.4 1.8 CRUDE_W 9.7 16.7 9.1 7.4 -7.7 5.9 0.1 4.4 5.6 -9.2 11.2 16.8 14.7 20.0 20.0 18.5 11.6 15.2 12.8 20.0 20.0 6.2 17.3 20.0 -5.4 8.8 -7.3 6.8 1.1 5.8 7.3 -1.1 6.9 13.8 16.7 -0.3 20.0 19.7 20.0 20.0 DAX -20.0 1.9 15.7 3.4 -11.3 6.5 -9.6 5.7 -3.5 -19.1 20.0 -19.3 20.0 3.8 15.2 -11.7 -11.7 -13.2 -13.0 20.0 20.0 -20.0 20.0 -2.3 15.5 7.1 -6.3 8.1 -4.0 6.3 1.9 -11.3 -2.0 20.0 20.0 12.2 -2.5 9.1 5.5 20.0 DOW -20.0 -20.0 2.1 2.4 -8.0 4.6 -6.8 4.0 -2.5 -14.2 13.4 -15.3 14.3 -12.6 -1.0 -11.3 -11.1 -12.3 -12.1 -1.9 12.0 -20.0 16.3 -17.8 -11.9 0.9 -8.6 5.7 -8.7 7.1 -4.9 -9.9 -7.3 -0.1 -15.6 -4.8 -3.7 -7.3 4.6 -16.1 DX 14.6 7.4 7.5 -3.9 -11.6 -0.5 -12.1 1.9 -7.8 16.1 9.1 19.3 6.6 19.2 19.0 7.3 6.5 7.1 6.8 17.9 10.2 20.0 6.8 20.0 -20.0 6.2 9.0 3.2 11.1 2.2 9.4 15.4 20.0 20.0 20.0 20.0 20.0 4.2 20.0 10.4 EUR -12.8 -3.5 -5.0 -3.6 -10.7 -0.4 -11.2 1.8 -7.2 -13.5 -4.8 -16.2 -4.3 -14.7 -15.2 -6.7 -6.8 -6.7 -6.6 -10.9 -5.7 -20.0 -3.5 -17.6 17.4 -3.9 -8.3 -1.3 -10.7 -0.5 -7.7 -7.5 2.2 -3.9 2.1 0.2 -20.0 -14.8 -20.0 -11.9 EURIBOR-ICE -7.6 -14.2 -7.6 -2.0 -3.0 -1.0 -3.6 -1.0 -3.0 -5.7 1.9 -6.2 2.4 -6.6 -6.9 -4.9 -4.1 -3.4 -3.1 -4.2 0.4 -7.5 1.9 -6.5 12.8 -1.4 -3.5 0.7 -3.3 1.4 -2.6 -1.8 -0.5 3.4 2.0 -0.5 -20.0 -20.0 11.1 18.1 EUROSTX -20.0 -0.4 20.0 3.5 -11.8 6.7 -10.0 5.9 -3.6 -20.0 20.0 -20.0 20.0 3.6 19.3 -6.9 0.6 -1.3 0.5 20.0 20.0 -20.0 20.0 -1.3 -0.4 7.4 -6.5 9.6 -4.3 8.2 1.3 11.1 8.8 20.0 20.0 16.6 -14.2 10.1 -13.0 16.4 FEEDCOW -20.0 -20.0 10.1 0.2 -6.2 0.8 -4.6 -1.9 -2.5 6.4 -3.1 -11.2 -1.2 -13.5 -4.7 -20.0 -20.0 -20.0 -20.0 -15.4 -5.3 -10.1 0.2 -20.0 -6.2 -3.7 3.0 -1.1 -1.7 1.5 -5.0 -20.0 1.2 -20.0 -20.0 5.7 20.0 20.0 20.0 20.0 GASOIL -0.6 5.1 9.0 6.4 -6.6 5.0 0.1 3.7 4.8 -18.0 12.0 -1.0 15.3 10.2 18.5 10.4 20.0 17.8 20.0 14.3 15.6 -5.4 17.0 7.6 6.9 6.5 -12.0 7.1 -2.9 7.6 3.4 15.5 -16.3 -11.3 -9.7 -0.3 -11.8 -9.0 -20.0 -17.1 GASOLINE 3.1 15.4 15.6 7.2 -7.5 5.7 0.1 4.2 5.4 -8.7 19.1 13.2 17.9 20.0 20.0 20.0 11.3 12.7 7.4 20.0 20.0 5.9 19.8 20.0 -20.0 8.9 -5.5 7.7 1.3 6.8 6.5 -5.3 6.9 5.3 15.0 10.6 20.0 20.0 20.0 19.8 GAS_US_mini 5.0 0.8 -12.1 4.3 -4.5 3.4 0.1 2.5 3.2 -12.8 -15.7 -10.2 -16.3 -12.2 -14.8 -20.0 -20.0 -20.0 -20.0 -13.2 -20.0 -7.0 -20.0 -7.4 20.0 -6.0 -3.7 -7.5 -3.8 -7.4 -4.4 -20.0 -5.3 -19.7 -20.0 -20.0 -20.0 -3.3 -20.0 -8.2 GBP -12.8 -7.3 -1.8 -3.9 -11.8 -0.5 -12.3 2.0 -7.9 -18.4 7.2 -19.7 6.3 -18.3 -13.2 -1.0 -0.7 -0.8 -0.7 -8.1 -0.3 -20.0 3.3 -16.1 1.8 -2.3 -10.6 1.9 -11.3 2.7 -7.4 2.8 7.1 -0.8 6.0 11.5 -20.0 -8.7 -20.0 -2.2 GOLD_micro 20.0 20.0 16.9 4.6 -0.3 2.2 3.4 0.6 5.4 13.7 17.5 17.2 13.5 18.5 18.3 -13.8 -14.7 -14.7 -14.8 20.0 20.0 20.0 16.2 20.0 -4.2 6.4 2.3 4.5 4.7 2.7 6.7 -15.1 20.0 20.0 20.0 20.0 -20.0 -20.0 -15.2 -12.2 HEATOIL 1.1 5.3 5.6 6.6 -6.8 5.2 0.1 3.9 4.9 -20.0 3.2 -6.1 10.4 8.0 16.6 3.7 20.0 13.9 18.8 10.2 10.3 -10.2 11.7 3.8 -20.0 5.8 -15.3 7.3 -6.7 9.0 0.9 14.8 -19.7 -19.0 -11.7 -2.0 17.7 5.4 14.3 1.9 JGB-SGX-mini -12.1 -12.4 -3.7 -2.5 -3.7 -1.2 -4.4 -1.2 -3.6 -8.9 3.3 -8.7 5.7 -7.3 -6.4 8.4 15.7 10.6 12.0 -5.4 -0.5 -14.0 2.3 -10.5 -7.7 -2.6 -5.6 -0.8 -6.3 -0.2 -4.8 20.0 -12.5 -8.6 -2.8 2.8 -11.8 -13.6 0.3 10.0 JPY -12.4 -6.5 -15.9 -3.2 -9.7 -0.4 -10.1 1.6 -6.5 -14.8 -18.4 -17.4 -18.4 -18.6 -18.9 -17.5 -16.6 -17.1 -16.8 -20.0 -20.0 -20.0 -20.0 -20.0 20.0 -6.3 -6.5 -5.5 -7.4 -6.3 -7.1 -20.0 -1.1 -11.2 -14.6 -20.0 -20.0 -11.2 -17.7 -11.2 LEANHOG -2.1 8.1 20.0 0.3 -8.6 1.0 -6.4 -2.7 -3.4 -20.0 17.4 -5.8 -4.9 4.4 19.9 -20.0 -20.0 -20.0 -20.0 17.8 15.2 -13.6 1.0 6.2 12.6 6.5 -9.6 7.7 -6.4 2.3 0.7 -20.0 -9.3 5.7 20.0 20.0 -7.7 -8.8 1.1 14.6 LIVECOW -20.0 -12.1 10.6 0.2 -6.1 0.7 -4.5 -1.9 -2.4 11.7 -0.2 -10.2 0.7 -12.2 -0.4 20.0 5.1 20.0 13.3 -9.2 -1.9 -7.4 1.4 -16.1 -5.1 -1.2 3.7 1.1 -1.1 3.1 -3.5 12.2 1.0 -20.0 -8.5 12.0 20.0 13.9 20.0 20.0 LUMBER-new -20.0 -8.6 6.0 0.3 -8.6 1.1 -6.4 -1.8 -3.4 -20.0 8.7 -20.0 -10.0 -20.0 -8.7 -20.0 -16.3 -18.8 -17.2 -16.2 0.3 -20.0 0.8 -20.0 NaN -4.5 -13.1 0.1 -13.6 1.0 -10.6 -20.0 -20.0 -20.0 -18.3 -6.8 -13.3 -12.8 -7.1 -7.3 MILK 11.9 -2.0 20.0 0.1 -4.1 0.5 -3.1 -1.3 -1.6 7.6 -11.0 6.6 -11.8 -5.1 -7.3 -20.0 -20.0 -20.0 -20.0 -7.0 -10.9 6.7 -14.8 -0.8 11.4 -2.8 3.8 -4.3 2.3 -5.9 -0.5 -20.0 20.0 3.2 -15.2 -11.6 -20.0 -20.0 -20.0 -20.0 MXP -7.7 1.8 2.1 -4.1 -12.2 -0.5 -12.7 2.0 -8.2 -18.2 20.0 -9.8 20.0 7.0 16.1 17.3 17.3 17.7 17.1 15.7 20.0 -19.6 20.0 2.7 -20.0 6.5 -13.5 7.2 -6.6 7.8 2.0 20.0 1.4 20.0 20.0 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -20.0 -15.7 1.9 2.1 -7.1 4.1 -6.0 3.5 -2.2 -12.4 13.6 -10.6 14.4 -4.0 9.6 -10.9 -10.4 -11.3 -11.1 4.3 14.5 -16.3 19.2 -7.0 -20.0 2.0 -9.2 7.0 -6.6 9.5 -3.1 -8.4 6.7 2.9 -9.2 3.7 2.5 -1.6 7.3 -2.5 NIKKEI -19.7 -7.5 18.9 3.3 -9.4 5.5 -6.9 4.6 -1.9 -12.8 16.8 -10.9 18.0 -0.1 14.2 2.3 10.3 6.2 8.7 18.5 20.0 -14.4 20.0 -0.2 -16.3 5.1 -6.5 8.5 -3.8 8.8 -0.1 20.0 9.7 9.3 3.1 20.0 -19.6 -7.6 -10.8 -8.5 NZD -8.1 -11.9 -5.7 -2.8 -8.5 -0.3 -8.9 1.4 -5.7 -11.5 -2.8 -12.6 -3.7 -13.1 -13.3 0.0 0.3 0.2 0.2 -10.3 -5.1 -14.4 -2.8 -13.3 0.4 -4.3 -6.1 -1.9 -6.4 -0.7 -5.6 4.3 11.1 0.3 -9.2 -6.0 -11.8 -6.8 -4.2 5.4 OAT -6.6 -7.6 -2.6 -2.7 -4.1 -1.3 -4.8 -1.3 -4.0 -6.1 1.3 -7.7 0.7 -8.7 -9.6 4.6 6.0 4.7 5.0 -4.0 -0.4 -6.4 -0.5 -5.9 3.5 0.3 -3.7 1.4 -2.2 0.9 -0.5 13.7 12.3 11.9 9.1 1.1 -16.3 -20.0 14.5 1.3 OATIES -10.1 -4.2 -9.4 0.6 -4.2 0.9 -3.2 -1.8 -1.7 8.2 -16.4 -1.9 -14.1 -8.9 -10.4 11.4 0.2 8.7 4.0 -13.1 -14.8 -2.6 -14.2 -11.4 -20.0 -4.9 3.1 -4.4 -0.8 -3.8 -4.7 0.3 -10.6 -16.5 -17.4 -8.7 -15.4 -1.0 -4.2 15.5 OJ 0.5 1.4 -5.1 0.2 -6.5 0.8 -4.8 -2.0 -2.6 0.9 8.4 7.4 14.4 6.6 13.6 5.3 13.5 6.6 9.5 8.7 14.5 2.5 20.0 5.6 -20.0 1.3 -1.9 6.2 -0.4 16.1 -0.2 18.4 4.2 8.4 -2.9 -2.4 10.4 9.2 20.0 20.0 PALLAD 3.6 17.7 8.5 2.3 -0.2 1.1 1.7 0.3 2.7 -4.2 -3.1 -1.1 -7.5 3.4 -0.4 -1.7 -2.1 -1.8 -1.9 1.6 -2.5 0.1 -8.9 2.2 11.4 1.6 -1.4 -0.7 0.4 -3.6 1.8 7.0 -3.2 -6.9 -6.3 -3.3 -20.0 -13.6 -20.0 -8.6 PLAT 13.1 12.3 1.3 3.3 -0.2 1.6 2.4 0.4 3.9 -2.9 -1.1 6.2 -7.6 8.4 -0.4 -4.4 -3.6 -4.3 -4.0 5.6 0.9 4.3 -2.3 8.5 10.5 3.3 -3.1 1.4 2.1 0.2 4.3 3.9 -1.1 2.2 -6.2 -3.2 -17.4 -5.1 20.0 7.8 REDWHEAT 6.7 11.6 -0.2 0.2 -6.6 0.8 -4.9 -2.1 -2.6 -9.3 -16.7 7.6 -18.9 8.6 -8.6 -2.3 0.8 2.0 1.4 -5.9 -17.2 -0.5 -20.0 0.3 -7.6 -3.0 -4.1 -8.6 0.6 -11.3 1.2 -0.3 12.8 14.3 -0.6 -20.0 -10.9 -20.0 -1.1 -20.0 RICE 1.3 -20.0 -8.6 0.1 -4.2 0.5 -3.2 -1.3 -1.7 11.1 -0.4 7.7 5.8 -1.2 -4.3 19.3 -2.3 -0.4 -4.6 -3.9 -0.9 18.7 2.7 2.9 -9.5 -1.8 7.7 -0.9 5.1 0.2 0.3 -8.4 20.0 -4.3 -18.4 -11.9 4.9 -3.9 14.2 7.3 ROBUSTA 20.0 10.2 20.0 0.2 -6.3 0.8 -4.7 -2.0 -2.5 16.9 19.6 18.7 19.4 19.2 19.6 13.9 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.4 10.4 7.0 8.4 6.5 7.7 20.0 20.0 20.0 20.0 20.0 -18.0 -20.0 -4.0 3.2 RUSSELL -17.4 -4.6 8.6 1.9 -6.5 3.7 -5.5 3.3 -2.0 -11.9 10.0 -12.0 8.6 -7.4 2.2 -6.4 -6.4 -6.5 -6.5 -0.1 6.2 -20.0 5.9 -10.5 -1.6 0.8 -10.0 3.5 -8.0 3.4 -3.7 -1.0 -0.7 5.6 -9.2 -11.4 -12.7 -19.1 -13.1 -20.0 SHATZ 4.1 -7.3 -15.3 -2.0 -3.1 -1.0 -3.7 -1.0 -3.0 -4.3 -7.5 -4.9 -7.4 -6.4 -8.3 -20.0 -20.0 -20.0 -20.0 -8.4 -8.0 -4.6 -8.2 -6.2 7.7 -2.7 -1.4 -2.2 -1.5 -2.0 -2.1 -20.0 4.0 4.3 -3.0 -8.3 -20.0 -20.0 -12.7 -20.0 SILVER-mini 20.0 20.0 10.1 4.0 -0.3 1.9 2.9 0.5 4.7 8.1 9.7 13.3 3.6 14.8 13.1 -6.6 -6.7 -6.8 -6.8 20.0 12.6 20.0 4.9 20.0 3.7 5.3 1.8 3.3 4.1 1.6 5.9 -1.2 19.6 20.0 20.0 17.6 -15.2 -16.9 17.8 2.2 SMI -20.0 1.8 13.2 3.0 -10.1 5.8 -8.5 5.0 -3.1 -17.3 16.2 -19.0 12.6 -6.5 7.8 -2.3 4.4 2.1 4.1 5.3 12.7 -20.0 9.8 -11.3 14.7 4.1 -10.5 6.3 -7.9 4.5 -1.9 17.6 1.7 9.0 2.5 -2.6 14.0 -1.8 20.0 -3.9 SOFR -15.5 -11.6 -5.9 -2.6 -4.0 -1.3 -4.7 -1.3 -3.9 -6.9 -0.0 -9.3 -1.7 -10.2 -10.0 -2.5 -0.2 -1.1 -0.4 -10.1 -5.0 -15.4 -3.4 -14.5 -2.5 -2.9 -3.8 -1.0 -5.3 -0.4 -4.6 3.9 -12.7 -6.8 -2.6 0.7 -16.7 -20.0 4.9 -2.2 SOYBEAN -3.6 17.2 -13.1 0.2 -7.3 0.9 -5.5 -2.3 -2.9 -16.6 -13.7 -18.4 -6.9 2.5 -9.0 -2.8 11.0 2.1 6.1 -7.1 -14.3 -13.7 -15.1 -6.7 -20.0 -2.2 -7.5 -4.5 -6.1 -4.2 -2.5 13.0 -13.7 -7.3 8.2 -20.0 -11.1 -20.0 -9.7 -20.0 SOYMEAL 4.6 9.6 -20.0 0.2 -6.6 0.8 -4.9 -2.1 -2.6 1.1 -18.1 -3.8 -15.0 -2.1 -15.9 -5.0 6.8 -4.1 0.5 -13.2 -20.0 0.5 -18.5 -3.3 -20.0 -4.2 1.3 -8.0 1.4 -5.6 0.3 5.0 19.8 8.2 -0.4 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -10.0 19.8 0.2 0.2 -4.8 0.6 -3.6 -1.5 -1.9 -12.9 -11.3 -13.5 -10.2 -3.8 -3.0 -7.1 0.9 -6.6 -3.8 -4.2 -7.9 -18.9 -11.3 -9.5 -20.0 -0.6 -8.2 -0.8 -7.6 -1.9 -3.7 -4.2 -20.0 -18.0 4.6 -5.1 -20.0 -11.5 -9.8 5.1 SP400 -20.0 0.2 15.7 2.3 -7.8 4.5 -6.6 3.9 -2.4 -14.2 13.7 -13.8 12.7 -3.3 7.3 -4.6 -5.3 -5.1 -5.3 7.3 15.5 -20.0 13.6 -9.8 -11.5 2.9 -9.8 5.1 -7.4 4.5 -2.1 1.0 -8.9 7.7 3.8 -1.7 -12.0 -9.5 -9.9 -20.0 SP500_micro -20.0 -11.7 12.5 2.6 -8.9 5.1 -7.6 4.5 -2.8 -16.2 17.4 -15.0 17.6 -3.0 12.1 -12.5 -11.7 -13.0 -12.6 10.0 20.0 -20.0 20.0 -9.6 -20.0 3.7 -10.3 7.9 -7.9 8.6 -2.6 -10.8 -5.6 1.4 -0.3 12.8 -2.0 -3.9 6.7 -5.0 SUGAR11 -13.9 -7.4 -9.0 0.2 -5.9 0.7 -4.4 -1.9 -2.4 -15.8 -9.9 -16.9 3.1 -12.2 -7.7 10.1 16.8 12.5 15.0 -15.9 -11.8 -20.0 -2.5 -20.0 -20.0 -4.7 -13.8 -3.6 -12.4 -0.8 -7.9 20.0 -20.0 -20.0 -20.0 -14.2 20.0 6.9 20.0 20.0 US10 -14.7 -9.7 -0.7 -2.2 -3.3 -1.0 -3.9 -1.1 -3.3 -5.9 -0.8 -7.9 -3.7 -8.6 -8.3 -5.9 -7.8 -7.3 -7.8 -8.2 -4.8 -12.1 -5.3 -11.5 2.3 -2.4 -3.1 -1.0 -4.4 -1.0 -3.8 -9.2 -7.1 -4.6 -1.7 1.2 -20.0 -20.0 -10.4 4.7 US10U -14.4 -9.1 -0.4 -3.1 -4.7 -1.5 -5.6 -1.5 -4.6 -8.5 -1.1 -11.3 -5.0 -12.2 -12.0 -4.5 -1.0 -3.1 -1.8 -11.3 -6.9 -16.9 -8.0 -15.9 -0.2 -3.3 -4.8 -1.3 -6.4 -1.6 -5.5 2.2 -7.5 -4.9 -0.7 2.6 -20.0 -20.0 17.8 14.3 US2 -11.3 -13.6 -6.8 -2.0 -3.0 -0.9 -3.6 -1.0 -2.9 -5.9 -5.8 -7.2 -6.9 -7.8 -8.1 -20.0 -20.0 -20.0 -20.0 -10.1 -7.2 -10.9 -7.7 -11.8 10.5 -2.6 -2.1 -1.4 -3.3 -1.3 -3.3 -20.0 -9.0 -7.2 -7.1 -3.0 -20.0 -20.0 -20.0 -20.0 US20 -16.2 -8.4 1.8 -2.2 -3.4 -1.1 -4.0 -1.1 -3.3 -6.2 1.1 -8.2 -2.1 -8.5 -8.0 -0.4 -0.7 -0.2 -0.4 -6.9 -3.5 -12.3 -4.6 -11.0 -1.0 -1.8 -3.9 -0.3 -4.9 -0.8 -3.8 3.3 -4.3 -2.3 2.1 4.4 -20.0 -17.0 20.0 20.0 US30 -14.7 -7.4 1.7 -2.7 -4.0 -1.3 -4.8 -1.3 -3.9 -7.5 0.3 -9.8 -3.7 -10.2 -9.8 -4.1 -5.8 -6.1 -6.3 -7.9 -4.4 -13.9 -6.4 -12.3 -0.4 -2.2 -5.0 -0.5 -6.0 -1.3 -4.6 -6.1 -3.8 -1.4 3.6 4.4 -18.3 -14.0 20.0 20.0 US5 -13.9 -11.6 -4.1 -2.2 -3.3 -1.0 -3.9 -1.1 -3.2 -6.1 -2.8 -7.9 -4.9 -8.6 -8.5 -9.6 -10.2 -9.9 -10.1 -9.4 -5.8 -12.6 -5.8 -12.4 4.8 -2.6 -2.9 -1.2 -4.2 -1.0 -3.8 -13.2 -9.8 -6.4 -4.3 -0.6 -20.0 -20.0 -16.4 -7.4 VIX 12.5 17.2 11.0 -2.5 8.5 -8.9 10.1 -14.8 4.7 7.0 -20.0 12.0 -20.0 6.6 -9.7 -20.0 -20.0 -20.0 -20.0 -2.4 -16.7 14.0 -20.0 8.1 NaN -2.6 8.9 -10.5 10.1 -18.5 5.1 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 10.6 7.8 -2.2 0.2 -7.4 0.9 -5.5 -2.3 -2.9 -18.6 -14.0 -7.8 -20.0 8.1 -8.1 -19.3 -12.8 -16.5 -14.5 -5.2 -16.5 -8.2 -20.0 -0.5 2.0 -3.0 -9.6 -6.8 -3.9 -8.7 -0.5 -20.0 -7.9 14.8 -2.8 -20.0 -5.7 -20.0 -0.8 -20.0 End of report for caleb_strategy_v3