******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240424_204003 produced at 2024-04-24 21:38:00.383159 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.27 0.0 0.00 0.00 0.00 0.00 -18.43 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.21 -0.52 0.0 0.43 -0.43 -0.21 -0.21 -19.48 16.0 -8 -8 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.31 0.0 0.00 0.00 0.00 0.00 -9.56 24.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.07 -0.37 -0.30 0.0 0.75 -0.75 -0.37 -0.15 -3.97 10.0 -5 -2 caleb_strategy_v3 US2 False True 0.06 0.00 -0.28 0.0 0.00 0.00 0.00 0.00 -4.80 13.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.08 -0.22 0.0 999.00 -999.00 -0.08 -0.15 -45.18 999999999.0 -17 -31 caleb_strategy_v3 CHF False False 0.04 -0.35 -0.19 0.0 0.51 -0.51 -0.35 -0.35 -4.90 13.0 -9 -9 caleb_strategy_v3 JPY False False 0.02 -0.05 -0.16 0.0 0.40 -0.40 -0.05 -0.05 -7.07 17.0 -2 -2 caleb_strategy_v3 CAD False False 0.02 -0.02 -0.11 0.0 0.61 -0.61 -0.02 -0.02 -5.06 29.0 -1 -1 caleb_strategy_v3 US5 False False 0.03 -0.39 -0.10 0.0 0.75 -0.75 -0.39 -0.39 -3.20 25.0 -13 -13 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.06 0.0 0.08 -0.08 -0.07 -0.07 -8.42 12.0 -10 -10 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.04 -0.06 0.0 0.04 -0.04 -0.04 -0.04 -37.56 26.0 -25 -25 caleb_strategy_v3 EUR False False 0.04 -0.15 -0.06 0.0 0.54 -0.54 -0.15 -0.15 -1.67 14.0 -4 -4 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.14 -0.14 -0.02 -0.02 -18.56 51.0 -6 -6 caleb_strategy_v3 US10 False False 0.03 0.00 -0.05 0.0 0.53 -0.53 0.00 0.00 -1.71 17.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.61 -0.05 0.0 0.68 -0.68 -0.61 -0.47 -1.29 19.0 -17 -13 caleb_strategy_v3 GBP False False 0.02 0.00 -0.05 0.0 0.49 -0.49 0.00 0.00 -2.06 22.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.05 0.0 0.01 -0.01 0.00 0.00 -12.41 3.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.04 0.0 0.23 -0.23 -0.01 -0.06 -3.92 23.0 -1 -6 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.04 0.0 0.20 -0.20 -0.01 -0.04 -12.61 68.0 -5 -15 caleb_strategy_v3 NZD False False 0.02 -0.05 -0.04 0.0 0.36 -0.36 -0.05 -0.05 -2.28 21.0 -3 -3 caleb_strategy_v3 DOW False False 0.01 0.00 -0.04 0.0 0.37 -0.37 0.00 0.00 -7.70 66.0 0 0 caleb_strategy_v3 SP400 False False 0.08 -0.08 -0.04 0.0 0.17 -0.17 -0.08 0.00 -0.42 2.0 -1 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.04 -0.04 0.0 0.35 -0.35 -0.04 -0.04 -5.46 48.0 -5 -5 caleb_strategy_v3 AUD False False 0.02 -0.06 -0.03 0.0 0.35 -0.35 -0.06 -0.06 -1.84 19.0 -3 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -5.00 2.0 0 0 caleb_strategy_v3 US10U False False 0.03 -0.13 -0.03 0.0 0.41 -0.41 -0.13 -0.13 -0.94 13.0 -4 -4 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.03 0.0 0.13 -0.13 -0.03 -0.03 -2.18 11.0 -3 -3 caleb_strategy_v3 NIKKEI False False 0.01 -0.01 -0.03 0.0 0.25 -0.25 -0.01 -0.04 -4.63 36.0 -1 -5 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.02 0.0 0.40 -0.40 -0.04 -0.04 -0.39 10.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -1.78 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.02 0.0 0.12 -0.12 -0.05 -0.05 -1.43 7.0 -3 -3 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.02 0.0 0.29 -0.29 -0.04 -0.04 -0.48 8.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.05 -0.02 0.0 0.08 -0.08 -0.05 -0.05 -2.29 10.0 -6 -6 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.02 0.0 0.11 -0.11 -0.01 -0.01 -3.31 18.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.01 0.0 0.07 -0.07 -0.01 -0.01 -0.56 8.0 -1 -1 caleb_strategy_v3 US20 False True 0.03 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.38 9.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.19 2.0 0 0 caleb_strategy_v3 US30 False False 0.03 -0.03 -0.01 0.0 0.21 -0.21 -0.03 -0.03 -0.37 6.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.07 -0.01 0.0 0.08 -0.08 -0.07 -0.07 -0.80 9.0 -7 -7 caleb_strategy_v3 MILK False False 0.01 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -1.33 5.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -7.34 59.0 0 0 caleb_strategy_v3 BUXL False False 0.04 -0.08 -0.01 0.0 0.16 -0.16 -0.08 -0.08 -0.21 4.0 -2 -2 caleb_strategy_v3 PLAT False False 0.01 0.01 0.00 0.0 0.13 -0.13 0.01 0.00 0.02 10.0 1 0 caleb_strategy_v3 HEATOIL False False 0.03 0.03 -0.00 0.0 0.09 -0.09 0.03 0.00 -0.13 3.0 1 0 caleb_strategy_v3 BTP False False 0.04 0.11 0.00 0.0 0.36 -0.36 0.11 0.14 0.11 10.0 3 4 caleb_strategy_v3 OAT False False 0.04 0.15 -0.00 0.0 0.38 -0.38 0.15 0.04 -0.05 10.0 4 1 caleb_strategy_v3 GASOIL False False 0.02 0.00 0.01 0.0 0.09 -0.09 0.00 0.00 0.66 4.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.76 3.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.01 0.0 0.03 -0.03 0.00 0.00 1.21 4.0 0 0 caleb_strategy_v3 COCOA False False 0.03 0.07 0.01 0.0 0.85 -0.85 0.07 0.07 0.42 26.0 2 2 caleb_strategy_v3 COFFEE False False 0.02 0.05 0.01 0.0 0.15 -0.15 0.05 0.05 0.48 6.0 2 2 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.02 0.0 0.28 -0.28 0.00 0.00 1.48 23.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.01 0.02 0.0 0.37 -0.37 0.01 0.00 2.36 56.0 1 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.03 0.0 999.00 -999.00 0.00 0.00 1.34 999999999.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.04 0.05 0.0 0.34 -0.34 0.04 0.04 2.27 17.0 2 2 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.07 0.0 999.00 -999.00 0.13 0.19 2.13 999999999.0 4 6 caleb_strategy_v3 LEANHOG False False 0.01 0.04 0.07 0.0 0.16 -0.16 0.04 0.05 5.85 13.0 3 4 caleb_strategy_v3 EUROSTX False False 0.02 0.17 0.09 0.0 0.30 -0.30 0.17 0.17 5.96 20.0 11 11 caleb_strategy_v3 DAX False False 0.01 0.05 0.10 0.0 0.33 -0.33 0.05 0.05 18.53 58.0 9 9 caleb_strategy_v3 CAC True False 0.02 0.00 0.11 0.0 0.00 0.00 0.00 0.00 4.62 12.0 0 0 caleb_strategy_v3 SMI False True 0.04 0.25 0.11 0.0 0.25 0.00 0.25 0.25 3.09 9.0 7 7 caleb_strategy_v3 COPPER False False 0.03 0.19 0.17 0.0 999.00 -999.00 0.19 0.19 5.26 999999999.0 6 6 caleb_strategy_v3 DX False False 0.03 0.00 0.17 0.0 999.00 -999.00 0.00 0.00 5.54 999999999.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.09 0.25 0.0 0.11 -0.11 0.09 0.09 11.24 5.0 4 4 caleb_strategy_v3 MXP False False 0.01 0.37 0.29 0.0 0.50 -0.50 0.37 0.32 35.03 60.0 44 39 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 17.0 Shocked risk 50.9 Sum abs risk 57.4 Leverage 6.06 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3488920.88, 'annual_cash_vol_target': 872230.22, 'daily_cash_vol_target': 54514.38875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6504 0.6550 10.4801 BITCOIN 1946.9027 64530.0000 3.0171 48.2728 BOBL 0.2742 116.6100 0.2351 3.7616 BTP 0.6500 116.4800 0.5580 8.9281 BUND 0.5524 130.1500 0.4245 6.7913 BUXL 1.3047 128.0800 1.0186 16.2982 CAC 49.8034 8050.5000 0.6186 9.8982 CAD 0.0029 0.7302 0.3918 6.2686 CANOLA 7.5869 639.3000 1.1868 18.9881 CHF 0.0046 1.1000 0.4202 6.7232 COCOA 304.2304 11348.0000 2.6809 42.8947 COFFEE 4.0671 227.4000 1.7885 28.6165 COPPER 0.0463 4.4830 1.0328 16.5243 CORN 4.9987 472.2500 1.0585 16.9359 COTTON2 1.2617 80.9100 1.5593 24.9493 CRUDE_W 0.8357 78.4500 1.0652 17.0433 DAX 130.9986 18266.0000 0.7172 11.4747 DOW 242.8009 38615.0000 0.6288 10.0604 DX 0.3671 105.6750 0.3474 5.5581 EUR 0.0046 1.0722 0.4330 6.9281 EURIBOR-ICE 0.0512 97.3200 0.0526 0.8411 EUROSTX 37.3808 4954.0000 0.7546 12.0729 FEEDCOW 2.2131 256.5250 0.8627 13.8035 GASOIL 10.9710 785.0000 1.3976 22.3613 GASOLINE 0.0338 2.6144 1.2917 20.6672 GAS_US_mini 0.0799 2.3200 3.4457 55.1310 GBP 0.0062 1.2464 0.5004 8.0069 GOLD_micro 20.7652 2334.2000 0.8896 14.2337 HEATOIL 0.0354 2.5699 1.3774 22.0391 JGB-SGX-mini 0.2249 144.0300 0.1561 2.4979 JPY 0.0000 0.0065 0.4929 7.8867 LEANHOG 1.3045 110.0000 1.1859 18.9739 LIVECOW 1.4347 173.5250 0.8268 13.2288 LUMBER-new 6.8380 517.5000 1.3213 21.1415 MILK 0.2773 18.1500 1.5278 24.4451 MXP 0.0004 0.0581 0.6831 10.9293 NASDAQ_micro 165.5012 17634.2500 0.9385 15.0163 NIKKEI 401.6373 38155.0000 1.0526 16.8423 NZD 0.0037 0.5934 0.6293 10.0692 OAT 0.5465 125.1900 0.4365 6.9843 OATIES 5.0368 355.5000 1.4168 22.6692 OJ 5.5928 366.3000 1.5268 24.4294 PALLAD 24.4389 1007.0000 2.4269 38.8305 PLAT 14.6085 913.8000 1.5986 25.5784 REDWHEAT 10.2465 642.2500 1.5954 25.5266 RICE 0.2437 15.0250 1.6218 25.9494 ROBUSTA 59.9365 4270.0000 1.4037 22.4586 RUSSELL 22.2542 2002.1000 1.1115 17.7847 SHATZ 0.0836 105.2400 0.0795 1.2716 SILVER-mini 0.4922 27.4875 1.7905 28.6480 SMI 80.0540 11374.0000 0.7038 11.2613 SOFR 0.0680 95.8750 0.0709 1.1344 SOYBEAN 9.5667 1174.7500 0.8144 13.0297 SOYMEAL 3.9082 349.9000 1.1169 17.8710 SOYOIL 0.6374 45.4600 1.4020 22.4323 SP400 24.6225 2911.8000 0.8456 13.5298 SP500_micro 35.8631 5101.7500 0.7030 11.2473 SUGAR11 0.2768 19.6900 1.4057 22.4918 US10 0.4143 107.7500 0.3845 6.1522 US10U 0.5431 110.5312 0.4913 7.8614 US2 0.1119 101.5508 0.1102 1.7632 US20 0.8047 113.9062 0.7065 11.3035 US30 1.1689 119.7188 0.9763 15.6213 US5 0.2739 105.0469 0.2608 4.1722 VIX 0.5009 16.8500 2.9729 47.5665 WHEAT 9.2072 655.0000 1.4057 22.4910 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 650.35 0.66 425.98 1.00 425.98 54514.39 127.97 -5.55 -71.01 BITCOIN 64.53 3.02 194.69 1.00 194.69 54514.39 280.01 -2.42 -67.83 BOBL 1166.10 0.24 274.15 1.06 291.88 54514.39 186.77 -6.83 -127.65 BTP 1164.80 0.56 649.97 1.06 691.99 54514.39 78.78 0.39 3.09 BUND 1301.50 0.42 552.43 1.06 588.14 54514.39 92.69 -4.10 -38.02 BUXL 1280.80 1.02 1304.67 1.06 1389.02 54514.39 39.25 -5.32 -20.86 CAC 805.05 0.62 498.03 1.06 530.23 54514.39 102.81 13.19 135.58 CAD 730.25 0.39 286.10 1.00 286.10 54514.39 190.54 -10.24 -195.04 CANOLA 127.86 1.19 151.74 0.73 110.73 54514.39 492.34 -15.50 -762.88 CHF 1375.00 0.42 577.78 1.00 577.78 54514.39 94.35 -20.00 -188.70 COCOA 1134.80 2.68 3042.30 1.00 3042.30 54514.39 17.92 10.99 19.69 COFFEE 852.75 1.79 1525.17 1.00 1525.17 54514.39 35.74 11.57 41.34 COPPER 1120.75 1.03 1157.48 1.00 1157.48 54514.39 47.10 10.31 48.54 CORN 236.12 1.06 249.94 1.00 249.94 54514.39 218.11 -15.88 -346.29 COTTON2 404.55 1.56 630.83 1.00 630.83 54514.39 86.42 -11.76 -101.62 CRUDE_W 784.50 1.07 835.65 1.00 835.65 54514.39 65.24 15.91 103.78 DAX 182.66 0.72 131.00 1.06 139.47 54514.39 390.87 13.90 543.34 DOW 193.08 0.63 121.40 1.00 121.40 54514.39 449.05 -7.38 -331.26 DX 1056.75 0.35 367.10 1.00 367.10 54514.39 148.50 14.39 213.62 EUR 1340.19 0.43 580.31 1.00 580.31 54514.39 93.94 -6.84 -64.22 EURIBOR-ICE 2433.00 0.05 127.90 1.06 136.16 54514.39 400.36 -2.91 -116.48 EUROSTX 495.40 0.75 373.81 1.06 397.97 54514.39 136.98 12.77 174.86 FEEDCOW 1282.62 0.86 1106.54 1.00 1106.54 54514.39 49.27 -2.95 -14.52 GASOIL 785.00 1.40 1097.10 1.00 1097.10 54514.39 49.69 3.05 15.15 GASOLINE 1098.05 1.29 1418.35 1.00 1418.35 54514.39 38.44 12.79 49.15 GAS_US_mini 58.00 3.45 199.85 1.00 199.85 54514.39 272.78 -12.71 -346.83 GBP 779.00 0.50 389.84 1.00 389.84 54514.39 139.84 -5.67 -79.33 GOLD_micro 233.42 0.89 207.65 1.00 207.65 54514.39 262.53 2.64 69.19 HEATOIL 1079.36 1.38 1486.76 1.00 1486.76 54514.39 36.67 -0.80 -2.93 JGB-SGX-mini 144030.00 0.16 22485.75 0.01 145.29 54514.39 375.20 -4.79 -179.90 JPY 811.88 0.49 400.19 1.00 400.19 54514.39 136.22 -20.00 -272.44 LEANHOG 440.00 1.19 521.78 1.00 521.78 54514.39 104.48 9.21 96.22 LIVECOW 694.10 0.83 573.88 1.00 573.88 54514.39 94.99 7.20 68.44 LUMBER-new 142.31 1.32 188.04 1.00 188.04 54514.39 289.90 -20.00 -579.80 MILK 363.00 1.53 554.60 1.00 554.60 54514.39 98.30 -6.31 -61.99 MXP 290.35 0.68 198.33 1.00 198.33 54514.39 274.86 8.68 238.65 NASDAQ_micro 352.68 0.94 331.00 1.00 331.00 54514.39 164.69 -10.24 -168.67 NIKKEI 38155.00 1.05 40163.73 0.01 259.52 54514.39 210.06 -2.03 -42.72 NZD 593.35 0.63 373.41 1.00 373.41 54514.39 145.99 -6.03 -88.05 OAT 1251.90 0.44 546.47 1.06 581.80 54514.39 93.70 -0.17 -1.60 OATIES 177.75 1.42 251.84 1.00 251.84 54514.39 216.46 -9.49 -205.44 OJ 549.45 1.53 838.92 1.00 838.92 54514.39 64.98 5.48 35.61 PALLAD 1007.00 2.43 2443.89 1.00 2443.89 54514.39 22.31 -2.48 -5.54 PLAT 456.90 1.60 730.42 1.00 730.42 54514.39 74.63 0.09 0.64 REDWHEAT 321.12 1.60 512.33 1.00 512.33 54514.39 106.41 -3.98 -42.40 RICE 300.50 1.62 487.36 1.00 487.36 54514.39 111.86 4.45 49.83 ROBUSTA 427.00 1.40 599.37 1.00 599.37 54514.39 90.95 13.97 127.10 RUSSELL 100.10 1.11 111.27 1.00 111.27 54514.39 489.92 -7.77 -380.54 SHATZ 1052.40 0.08 83.64 1.06 89.05 54514.39 612.19 -15.40 -942.71 SILVER-mini 687.19 1.79 1230.41 1.00 1230.41 54514.39 44.31 8.88 39.34 SMI 1137.40 0.70 800.54 1.10 877.19 54514.39 62.15 14.57 90.56 SOFR 2396.88 0.07 169.94 1.00 169.94 54514.39 320.78 -9.45 -303.25 SOYBEAN 587.38 0.81 478.33 1.00 478.33 54514.39 113.97 -13.47 -153.56 SOYMEAL 349.90 1.12 390.82 1.00 390.82 54514.39 139.49 -13.74 -191.72 SOYOIL 272.76 1.40 382.42 1.00 382.42 54514.39 142.55 -17.29 -246.42 SP400 2911.80 0.85 2462.25 1.00 2462.25 54514.39 22.14 -5.74 -12.70 SP500_micro 255.09 0.70 179.32 1.00 179.32 54514.39 304.01 -7.73 -235.04 SUGAR11 220.53 1.41 310.00 1.00 310.00 54514.39 175.85 -8.86 -155.76 US10 1077.50 0.38 414.31 1.00 414.31 54514.39 131.58 -10.24 -134.72 US10U 1105.31 0.49 543.08 1.00 543.08 54514.39 100.38 -7.37 -74.00 US2 2031.02 0.11 223.82 1.00 223.82 54514.39 243.56 -15.56 -378.87 US20 1139.06 0.71 804.71 1.00 804.71 54514.39 67.74 -4.39 -29.75 US30 1197.19 0.98 1168.85 1.00 1168.85 54514.39 46.64 -6.20 -28.91 US5 1050.47 0.26 273.92 1.00 273.92 54514.39 199.01 -12.71 -252.91 VIX 168.50 2.97 500.93 1.00 500.93 54514.39 108.83 -16.82 -183.02 WHEAT 327.50 1.41 460.36 1.00 460.36 54514.39 118.42 -5.07 -59.98 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -71.007 0.010 2.5 -1.842 BITCOIN -67.828 0.043 2.5 -7.345 BOBL -127.648 0.004 2.5 -1.294 BTP 3.092 0.014 2.5 0.105 BUND -38.024 0.004 2.5 -0.386 BUXL -20.863 0.004 2.5 -0.212 CAC 135.584 0.014 2.5 4.625 CAD -195.044 0.010 2.5 -5.061 CANOLA -762.883 0.010 2.5 -18.560 CHF -188.704 0.010 2.5 -4.896 COCOA 19.691 0.009 2.5 0.422 COFFEE 41.343 0.005 2.5 0.483 COPPER 48.541 0.043 2.5 5.256 CORN -346.291 0.010 2.5 -8.425 COTTON2 -101.623 0.009 2.5 -2.176 CRUDE_W 103.780 0.043 2.5 11.238 DAX 543.340 0.014 2.5 18.532 DOW -331.256 0.009 2.5 -7.698 DX 213.621 0.010 2.5 5.543 EUR -64.223 0.010 2.5 -1.666 EURIBOR-ICE -116.475 0.014 2.5 -3.973 EUROSTX 174.865 0.014 2.5 5.964 FEEDCOW -14.520 0.013 2.5 -0.481 GASOIL 15.153 0.017 2.5 0.657 GASOLINE 49.149 0.017 2.5 2.131 GAS_US_mini -346.832 0.043 2.5 -37.557 GBP -79.326 0.010 2.5 -2.058 GOLD_micro 69.194 0.014 2.5 2.360 HEATOIL -2.930 0.017 2.5 -0.127 JGB-SGX-mini -179.905 0.043 2.5 -19.481 JPY -272.443 0.010 2.5 -7.069 LEANHOG 96.216 0.024 2.5 5.847 LIVECOW 68.439 0.013 2.5 2.268 LUMBER-new -579.804 0.009 2.5 -12.408 MILK -61.989 0.009 2.5 -1.328 MXP 238.649 0.059 2.5 35.027 NASDAQ_micro -168.669 0.009 2.5 -3.920 NIKKEI -42.724 0.043 2.5 -4.627 NZD -88.049 0.010 2.5 -2.285 OAT -1.596 0.014 2.5 -0.054 OATIES -205.445 0.010 2.5 -4.998 OJ 35.610 0.009 2.5 0.763 PALLAD -5.543 0.014 2.5 -0.189 PLAT 0.645 0.014 2.5 0.022 REDWHEAT -42.401 0.005 2.5 -0.562 RICE 49.829 0.010 2.5 1.212 ROBUSTA 127.100 0.005 2.5 1.484 RUSSELL -380.538 0.013 2.5 -12.610 SHATZ -942.707 0.004 2.5 -9.559 SILVER-mini 39.343 0.014 2.5 1.342 SMI 90.557 0.014 2.5 3.089 SOFR -303.251 0.024 2.5 -18.430 SOYBEAN -153.562 0.004 2.5 -1.428 SOYMEAL -191.719 0.004 2.5 -1.783 SOYOIL -246.417 0.004 2.5 -2.294 SP400 -12.701 0.013 2.5 -0.421 SP500_micro -235.039 0.009 2.5 -5.462 SUGAR11 -155.762 0.009 2.5 -3.313 US10 -134.721 0.005 2.5 -1.707 US10U -73.998 0.005 2.5 -0.938 US2 -378.871 0.005 2.5 -4.801 US20 -29.751 0.005 2.5 -0.377 US30 -28.912 0.005 2.5 -0.366 US5 -252.913 0.005 2.5 -3.205 VIX -183.022 0.099 2.5 -45.177 WHEAT -59.980 0.005 2.5 -0.796 ===================== Position diags ===================== AUD 3.32 BITCOIN 30.32 BOBL 1.89 BTP 2.69 BUND 0.94 BUXL 0.40 CAC 3.51 CAD 4.94 CANOLA 11.98 CHF 2.45 COCOA 0.38 COFFEE 0.42 COPPER 5.10 CORN 5.31 COTTON2 1.85 CRUDE_W 7.06 DAX 13.33 DOW 10.44 DX 3.85 EUR 2.44 EURIBOR-ICE 13.66 EUROSTX 4.67 FEEDCOW 1.63 GASOIL 2.15 GASOLINE 1.67 GAS_US_mini 29.54 GBP 3.63 GOLD_micro 8.95 HEATOIL 1.59 JGB-SGX-mini 40.63 JPY 3.53 LEANHOG 6.35 LIVECOW 3.15 LUMBER-new 6.20 MILK 2.11 MXP 40.34 NASDAQ_micro 3.83 NIKKEI 22.75 NZD 3.79 OAT 3.20 OATIES 5.27 OJ 1.39 PALLAD 0.76 PLAT 2.55 REDWHEAT 1.41 RICE 2.72 ROBUSTA 1.06 RUSSELL 16.23 SHATZ 6.21 SILVER-mini 1.51 SMI 2.12 SOFR 19.50 SOYBEAN 1.06 SOYMEAL 1.30 SOYOIL 1.33 SP400 0.73 SP500_micro 7.07 SUGAR11 3.74 US10 1.67 US10U 1.27 US2 3.09 US20 0.86 US30 0.59 US5 2.52 VIX 26.86 WHEAT 1.57 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.8 -2.2 -1.5 -3.0 -3 BITCOIN -7.3 -10.4 -4.3 0.0 0 BOBL -1.3 -1.5 -1.1 -17.0 -17 BTP 0.1 -0.2 0.4 3.0 3 BUND -0.4 -0.5 -0.3 -1.0 -1 BUXL -0.2 -0.3 -0.2 -2.0 -2 CAC 4.6 4.3 5.0 0.0 0 CAD -5.1 -5.6 -4.6 -1.0 -1 CANOLA -18.6 -19.8 -17.4 -6.0 -6 CHF -4.9 -5.1 -4.7 -9.0 -9 COCOA 0.4 0.4 0.5 2.0 2 COFFEE 0.5 0.4 0.5 2.0 2 COPPER 5.3 4.7 5.8 6.0 6 CORN -8.4 -9.0 -7.9 -10.0 -10 COTTON2 -2.2 -2.4 -2.0 -3.0 -3 CRUDE_W 11.2 10.5 11.9 4.0 4 DAX 18.5 17.2 19.9 9.0 9 DOW -7.7 -8.7 -6.7 0.0 0 DX 5.5 5.2 5.9 NaN 0 EUR -1.7 -1.9 -1.4 -4.0 -4 EURIBOR-ICE -4.0 -5.3 -2.6 -5.0 -5 EUROSTX 6.0 5.5 6.4 11.0 11 FEEDCOW -0.5 -0.6 -0.3 -1.0 -1 GASOIL 0.7 0.4 0.9 0.0 0 GASOLINE 2.1 2.0 2.3 4.0 4 GAS_US_mini -37.6 -40.5 -34.6 -25.0 -25 GBP -2.1 -2.4 -1.7 0.0 0 GOLD_micro 2.4 1.5 3.3 1.0 1 HEATOIL -0.1 -0.3 0.0 1.0 1 JGB-SGX-mini -19.5 -23.5 -15.4 -8.0 -8 JPY -7.1 -7.4 -6.7 -2.0 -2 LEANHOG 5.8 5.2 6.5 3.0 3 LIVECOW 2.3 2.0 2.6 2.0 2 LUMBER-new -12.4 -13.0 -11.8 NaN 0 MILK -1.3 -1.5 -1.1 NaN 0 MXP 35.0 31.0 39.1 44.0 44 NASDAQ_micro -3.9 -4.3 -3.5 -1.0 -1 NIKKEI -4.6 -6.9 -2.4 -1.0 -1 NZD -2.3 -2.7 -1.9 -3.0 -3 OAT -0.1 -0.4 0.3 4.0 4 OATIES -5.0 -5.5 -4.5 NaN 0 OJ 0.8 0.6 0.9 NaN 0 PALLAD -0.2 -0.3 -0.1 0.0 0 PLAT 0.0 -0.2 0.3 1.0 1 REDWHEAT -0.6 -0.7 -0.4 -1.0 -1 RICE 1.2 0.9 1.5 NaN 0 ROBUSTA 1.5 1.4 1.6 0.0 0 RUSSELL -12.6 -14.2 -11.0 -5.0 -5 SHATZ -9.6 -10.2 -8.9 NaN 0 SILVER-mini 1.3 1.2 1.5 NaN 0 SMI 3.1 2.9 3.3 7.0 7 SOFR -18.4 -20.4 -16.5 NaN 0 SOYBEAN -1.4 -1.5 -1.3 -3.0 -3 SOYMEAL -1.8 -1.9 -1.7 0.0 0 SOYOIL -2.3 -2.4 -2.2 -6.0 -6 SP400 -0.4 -0.5 -0.3 -1.0 -1 SP500_micro -5.5 -6.2 -4.8 -5.0 -5 SUGAR11 -3.3 -3.7 -2.9 -1.0 -1 US10 -1.7 -1.9 -1.5 0.0 0 US10U -0.9 -1.1 -0.8 -4.0 -4 US2 -4.8 -5.1 -4.5 NaN 0 US20 -0.4 -0.5 -0.3 0.0 0 US30 -0.4 -0.4 -0.3 -1.0 -1 US5 -3.2 -3.5 -3.0 -13.0 -13 VIX -45.2 -47.9 -42.5 -17.0 -17 WHEAT -0.8 -1.0 -0.6 -7.0 -7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 0.3 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.2 0.4 0.2 -0.1 -0.7 -0.3 -0.4 -0.1 BITCOIN -0.6 -0.2 0.3 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.4 -0.1 0.6 -0.0 0.1 -0.2 -0.1 -0.2 -0.2 0.1 0.2 -0.1 0.5 -0.0 -2.7 0.1 -0.0 0.2 -0.0 0.3 0.0 -0.2 -0.3 -0.6 0.4 0.6 -0.3 -0.0 0.5 0.1 BOBL -0.2 -0.3 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 -0.2 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 0.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.6 0.0 0.3 0.2 -0.1 -0.6 -0.7 0.2 -0.5 BTP -0.5 -0.3 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 -0.1 0.3 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.0 0.1 -0.1 0.2 -0.1 -2.5 0.0 -0.1 0.2 -0.0 0.2 -0.0 0.8 0.2 0.5 0.6 0.5 -0.2 -0.4 0.7 0.1 BUND -0.2 -0.3 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 0.4 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 0.1 0.0 0.4 0.3 0.1 -0.6 -0.7 0.5 -0.3 BUXL -0.3 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.0 -0.0 0.6 0.5 0.2 -0.7 -0.7 -0.1 -0.1 CAC -0.6 -0.1 0.6 0.0 0.0 0.2 -0.0 0.2 -0.1 0.2 0.5 -0.0 0.7 -0.0 0.2 0.4 0.0 0.3 0.1 0.2 0.2 0.1 0.5 0.0 -1.6 0.1 0.1 0.3 0.0 0.3 0.0 0.9 0.5 0.6 0.6 0.3 -0.3 0.3 -0.2 0.5 CAD -0.3 -0.3 -0.1 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.3 -0.1 -0.3 -0.2 -0.2 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.0 -0.2 -0.2 -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.4 0.2 -0.1 -0.1 -0.7 -0.5 -0.2 -0.4 CANOLA -0.1 0.6 0.2 0.0 0.1 0.0 0.0 -0.0 0.0 0.0 -0.2 -0.0 -0.3 0.0 0.0 -0.3 -0.1 -0.3 -0.3 -0.0 -0.1 0.0 -0.3 0.0 -2.7 0.0 0.0 -0.1 0.0 -0.2 0.0 -1.1 -0.2 -0.2 0.4 -0.4 -0.7 -0.6 -0.4 -0.1 CHF -0.2 -0.6 -0.6 -0.0 -0.0 -0.0 -0.1 0.0 -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 -0.1 -0.3 -0.2 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -1.1 0.3 -0.0 -0.6 -0.6 -0.2 -0.6 0.1 -0.5 COCOA -0.6 0.2 -0.1 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 0.3 0.4 0.4 0.2 0.2 0.1 0.3 0.2 -2.1 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.4 0.6 0.6 0.6 0.0 -0.0 0.2 0.3 COFFEE 0.6 0.6 0.4 0.0 0.1 0.0 0.1 -0.1 0.0 -0.0 0.5 0.1 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 0.0 0.1 0.1 0.1 0.1 0.7 0.5 0.6 0.6 0.6 -0.1 -0.7 0.2 -0.3 COPPER 0.6 0.6 0.6 0.1 -0.0 0.1 0.0 0.0 0.0 0.1 0.5 0.2 0.2 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.3 0.2 -2.1 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.5 0.6 0.6 0.6 -0.7 -0.1 0.3 0.2 CORN 0.0 0.5 0.2 0.0 0.1 0.0 0.1 -0.1 0.0 0.1 -0.3 0.0 -0.7 0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.0 -0.1 0.0 -0.5 0.0 -2.1 -0.0 0.1 -0.2 0.0 -0.4 0.0 -1.1 -0.1 0.2 0.3 -0.6 -0.4 -0.7 -0.4 0.0 COTTON2 -0.6 -0.6 0.4 0.0 0.1 0.0 0.1 -0.0 0.0 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 0.3 0.1 0.2 0.1 -0.1 -0.0 -0.2 0.0 -0.2 -2.7 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.2 -0.5 -0.6 -0.6 0.6 -0.4 -0.5 0.0 0.1 CRUDE_W -0.0 0.5 0.3 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.3 -0.1 0.6 0.2 0.2 0.4 0.2 0.3 0.3 0.2 0.2 -0.1 0.5 0.1 -0.7 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 -0.1 0.2 0.4 0.0 0.7 0.6 0.7 0.7 DAX -0.6 -0.2 0.4 0.0 0.0 0.1 -0.0 0.2 -0.0 0.1 0.5 -0.1 0.7 -0.0 0.1 -0.2 -0.2 -0.3 -0.3 0.1 0.2 -0.0 0.5 -0.0 1.9 0.1 0.0 0.2 0.0 0.3 0.0 -0.6 0.4 0.6 0.6 0.5 -0.1 0.3 0.2 0.7 DOW -0.6 -0.6 -0.1 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.3 -0.1 0.5 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.0 0.4 -0.1 -1.6 0.0 0.0 0.1 -0.0 0.3 -0.0 -0.5 0.3 0.3 -0.3 -0.2 -0.1 -0.3 0.2 -0.5 DX 0.4 0.5 0.3 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.3 0.2 0.3 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 0.0 0.1 0.1 0.1 0.1 0.8 0.5 0.6 0.6 0.6 0.7 0.2 0.7 0.4 EUR -0.3 -0.3 -0.2 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 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 -0.1 -0.2 2.4 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 -0.4 0.1 0.1 0.0 0.0 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.5 -0.6 -0.3 -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 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 1.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 0.0 0.1 -0.0 -0.7 -0.7 0.3 0.5 EUROSTX -0.6 -0.2 0.6 0.0 0.0 0.2 -0.0 0.2 -0.0 0.1 0.5 -0.1 0.7 -0.0 0.2 -0.1 0.0 -0.0 -0.0 0.2 0.2 0.0 0.5 0.0 -0.1 0.1 0.0 0.3 0.0 0.3 0.0 0.5 0.5 0.6 0.6 0.6 -0.5 0.3 -0.5 0.5 FEEDCOW -0.3 -0.6 0.3 0.0 0.1 0.0 0.1 -0.1 0.0 0.1 -0.1 0.1 -0.1 -0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.1 -0.0 -0.1 -0.8 -0.0 0.1 -0.0 0.0 0.1 -0.0 -1.1 0.5 0.0 -0.6 0.2 0.7 0.7 0.7 0.7 GASOIL -0.2 0.1 0.3 0.1 -0.0 0.1 -0.0 0.2 0.0 -0.2 0.3 -0.2 0.5 -0.0 0.2 0.1 0.4 0.3 0.4 0.1 0.1 -0.2 0.5 -0.1 0.9 0.0 -0.1 0.2 -0.1 0.3 -0.0 0.7 -0.3 -0.4 -0.4 -0.1 -0.4 -0.3 -0.7 -0.6 GASOLINE -0.1 0.5 0.5 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.5 -0.1 0.7 0.2 0.2 0.4 0.2 0.3 0.2 0.2 0.2 -0.0 0.5 0.1 -2.7 0.1 -0.0 0.2 -0.0 0.3 0.0 -0.2 0.1 0.1 0.3 0.3 0.7 0.7 0.7 0.7 GAS_US_mini 0.3 0.2 -0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 -0.5 -0.0 -0.7 -0.1 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 0.0 -0.5 -0.0 2.7 -0.1 0.0 -0.2 -0.0 -0.3 -0.0 -1.1 0.3 -0.3 -0.6 -0.6 -0.7 -0.1 -0.7 -0.3 GBP -0.4 -0.4 -0.1 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.2 0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.2 0.2 -0.0 0.0 0.0 -0.1 0.1 -0.1 0.2 0.1 0.2 0.1 0.4 -0.7 -0.3 -0.7 -0.1 GOLD_micro 0.1 0.6 0.5 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.4 0.1 0.4 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.0 0.3 0.2 -0.5 0.1 -0.0 0.1 0.0 0.1 0.0 -0.8 0.0 0.6 0.6 0.6 -0.7 -0.7 -0.4 -0.4 HEATOIL -0.2 0.1 0.2 0.1 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.0 -0.2 0.4 -0.1 0.1 0.0 0.4 0.2 0.3 0.0 0.1 -0.2 0.3 -0.1 -2.7 0.0 -0.1 0.2 -0.1 0.3 -0.1 0.6 -0.4 -0.5 -0.5 -0.2 0.6 0.2 0.5 0.1 JGB-SGX-mini -0.6 -0.5 -0.2 -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 0.0 -0.1 -1.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 1.1 -0.3 -0.2 -0.2 0.1 -0.4 -0.4 0.0 0.3 JPY -0.5 -0.5 -0.6 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.4 -0.3 -0.3 -0.3 -0.2 -0.2 -0.2 -0.5 -0.2 2.7 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -1.1 -0.2 -0.4 -0.5 -0.6 -0.7 -0.4 -0.6 -0.4 LEANHOG -0.1 0.2 0.6 0.0 0.1 0.0 0.1 -0.1 0.0 0.2 0.5 0.1 -0.1 0.1 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 0.2 0.1 0.2 1.5 0.1 0.1 0.2 0.1 0.1 0.1 -1.1 -0.0 0.6 0.6 0.6 -0.3 -0.3 0.0 0.5 LIVECOW -0.5 -0.5 0.3 0.0 0.1 0.0 0.1 -0.1 0.0 0.1 -0.0 -0.0 0.0 -0.1 -0.0 0.4 0.1 0.4 0.3 -0.1 -0.0 0.0 0.0 -0.1 -0.7 -0.0 0.0 0.0 0.0 0.1 -0.0 0.7 0.2 -0.1 -0.4 0.4 0.7 0.5 0.7 0.7 LUMBER-new -0.7 -0.7 0.0 0.0 0.2 0.0 0.1 -0.1 0.0 -0.2 0.0 -0.2 -0.4 -0.2 -0.2 -0.5 -0.4 -0.5 -0.4 -0.2 -0.1 -0.2 -0.1 -0.2 NaN -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -1.2 -0.6 -0.7 -0.7 -0.7 -0.5 -0.5 -0.2 -0.3 MILK 0.6 0.3 0.6 0.0 0.1 0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.4 0.0 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.1 -0.3 0.1 1.5 -0.0 0.0 -0.1 0.1 -0.2 0.0 -1.1 0.3 0.5 -0.4 -0.2 -0.7 -0.7 -0.7 -0.7 MXP -0.6 -0.2 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 0.5 -0.2 0.7 -0.1 0.1 0.3 0.3 0.3 0.3 0.1 0.2 -0.2 0.5 -0.1 -2.7 0.0 -0.0 0.2 -0.1 0.3 -0.0 1.1 -0.5 0.1 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro -0.6 -0.6 -0.2 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.0 0.3 -0.1 0.5 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.1 0.4 -0.1 -2.7 -0.0 -0.0 0.1 -0.1 0.2 -0.0 -0.4 -0.2 -0.1 -0.4 0.1 0.0 -0.0 0.2 -0.1 NIKKEI -0.6 -0.5 0.3 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.0 0.3 -0.1 0.5 -0.1 0.1 0.0 0.2 0.1 0.2 0.0 0.2 -0.2 0.5 -0.1 -1.9 0.0 -0.0 0.2 -0.1 0.3 -0.0 1.1 -0.4 -0.2 -0.2 0.6 -0.6 -0.3 -0.3 -0.3 NZD -0.1 -0.5 -0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -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 0.0 -0.1 -0.0 -0.0 -0.1 0.2 0.1 0.2 -0.3 -0.2 -0.4 -0.2 -0.2 0.2 OAT -0.3 -0.4 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.4 -0.0 -0.1 0.0 -0.1 0.0 -0.0 0.8 0.0 0.4 0.4 0.1 -0.6 -0.7 0.5 0.0 OATIES -0.0 -0.1 -0.3 0.0 0.1 0.0 0.1 -0.1 0.0 0.2 -0.5 0.2 -0.5 0.0 -0.1 0.1 0.0 0.1 0.1 -0.1 -0.2 0.2 -0.4 0.0 -2.7 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.1 0.5 -0.0 -0.3 -0.3 -0.5 -0.0 -0.1 0.5 OJ -0.1 -0.0 -0.1 0.0 0.1 0.0 0.1 -0.1 0.0 -0.1 0.2 0.0 0.5 0.1 0.2 0.1 0.3 0.1 0.2 0.1 0.2 0.0 0.5 0.0 -2.7 0.0 0.0 0.2 -0.0 0.6 -0.0 0.8 -0.3 -0.3 -0.3 0.0 0.3 0.3 0.7 0.7 PALLAD 0.1 0.3 0.4 0.0 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.3 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.3 0.0 1.6 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 0.2 0.3 0.1 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 -0.0 -0.1 -0.3 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 -0.1 -0.0 1.4 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.2 -0.4 -0.3 -0.3 -0.2 -0.6 -0.2 0.7 0.3 REDWHEAT 0.5 0.5 0.2 0.0 0.1 0.0 0.1 -0.1 0.0 0.2 -0.4 0.2 -0.7 0.2 -0.0 -0.1 0.0 -0.0 0.0 0.0 -0.1 0.2 -0.5 0.1 -1.0 0.0 0.2 -0.1 0.1 -0.3 0.1 -0.2 0.5 0.6 0.3 -0.6 -0.3 -0.7 0.0 -0.7 RICE 0.6 -0.6 -0.3 0.0 0.1 0.0 0.0 -0.0 0.0 0.1 0.0 0.1 0.2 0.0 0.0 0.4 0.1 0.4 0.2 0.0 0.0 0.1 0.1 0.1 -0.9 -0.0 0.0 -0.0 0.0 0.0 0.0 0.4 0.5 0.4 -0.3 -0.2 0.1 -0.1 0.3 0.2 ROBUSTA 0.6 0.5 0.5 0.0 0.1 0.0 0.1 -0.1 0.0 0.1 0.5 0.2 0.6 0.2 0.2 0.2 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 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 -0.4 0.2 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.0 0.2 -0.1 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.1 -0.1 -0.2 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.1 0.0 0.3 -0.2 -0.4 -0.4 -0.7 -0.4 -0.7 SHATZ -0.1 -0.3 -0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.2 -0.1 1.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.1 0.1 0.0 -0.3 -0.7 -0.7 -0.5 -0.7 SILVER-mini 0.5 0.6 0.4 0.0 -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 -0.1 0.2 0.1 0.0 0.1 0.1 0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 -0.1 0.5 0.6 0.5 -0.4 -0.5 0.6 0.1 SMI -0.6 -0.2 0.4 0.0 0.0 0.1 -0.0 0.2 -0.0 0.1 0.4 -0.1 0.4 -0.1 0.1 -0.1 0.1 0.0 0.1 0.0 0.1 0.0 0.2 -0.1 1.9 0.0 0.1 0.2 0.0 0.2 -0.0 0.9 0.5 0.6 0.3 0.0 0.4 -0.0 0.7 -0.1 SOFR -0.6 -0.6 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 0.1 -0.1 -0.1 0.0 -0.5 -0.7 0.2 -0.1 SOYBEAN -0.1 0.4 -0.3 0.0 0.1 0.0 0.1 -0.1 0.0 0.1 -0.4 -0.0 -0.3 0.0 -0.1 -0.1 0.2 0.0 0.1 -0.1 -0.1 0.0 -0.4 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.2 -0.0 0.5 -0.2 -0.5 0.4 -0.6 -0.4 -0.7 -0.3 -0.7 SOYMEAL 0.4 0.3 -0.6 0.0 0.1 0.0 0.1 -0.1 0.0 0.2 -0.5 0.2 -0.6 0.1 -0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.2 0.1 -0.5 0.1 -2.7 -0.0 0.1 -0.2 0.1 -0.2 0.0 0.1 0.5 0.2 0.3 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.6 0.5 -0.0 0.0 0.1 0.0 0.1 -0.1 0.0 -0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -2.7 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.4 -0.5 -0.6 0.0 -0.2 -0.7 -0.4 -0.3 0.2 SP400 -0.6 -0.3 0.4 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.0 0.3 -0.1 0.4 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.1 0.4 -0.1 -1.5 0.0 0.0 0.1 -0.0 0.2 -0.0 0.1 -0.1 0.2 0.2 -0.1 -0.4 -0.3 -0.4 -0.7 SP500_micro -0.6 -0.6 0.2 0.0 0.0 0.1 -0.0 0.2 -0.0 -0.0 0.4 -0.1 0.6 -0.1 0.1 -0.2 -0.2 -0.3 -0.2 0.0 0.2 -0.1 0.5 -0.1 -2.7 0.0 0.0 0.2 -0.0 0.3 -0.0 -0.6 -0.2 -0.0 -0.1 0.4 -0.1 -0.1 0.2 -0.2 SUGAR11 -0.6 -0.4 -0.4 0.0 0.1 0.0 0.1 -0.1 0.0 -0.1 -0.3 -0.2 0.1 -0.1 -0.1 0.1 0.3 0.2 0.3 -0.2 -0.2 -0.2 -0.1 -0.2 -2.7 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 1.1 -0.5 -0.6 -0.6 -0.6 0.7 0.3 0.7 0.7 US10 -0.6 -0.5 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.4 0.1 -0.1 -0.0 0.1 -0.7 -0.7 -0.3 0.1 US10U -0.6 -0.5 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.1 0.1 -0.0 0.0 0.1 -0.7 -0.7 0.6 0.4 US2 -0.4 -0.6 -0.4 -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 -0.1 -0.2 -0.1 1.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.1 0.2 -0.1 -0.1 -0.1 -0.7 -0.7 -0.6 -0.7 US20 -0.6 -0.5 -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 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 0.0 -0.0 0.1 0.2 -0.7 -0.5 0.7 0.7 US30 -0.6 -0.5 -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 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.3 0.0 0.0 0.1 0.2 -0.7 -0.5 0.7 0.7 US5 -0.5 -0.6 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.2 -0.1 0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.7 0.1 -0.1 -0.1 -0.0 -0.7 -0.7 -0.4 -0.2 VIX 0.6 0.9 0.8 -0.0 -0.2 -0.3 -0.1 -0.7 -0.0 -0.3 -0.9 -0.2 -1.2 -0.1 -0.2 -0.6 -0.6 -0.6 -0.6 -0.1 -0.2 -0.1 -0.9 -0.0 NaN -0.1 -0.2 -0.4 -0.1 -0.9 -0.0 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.5 0.5 0.2 0.0 0.1 0.0 0.1 -0.1 0.0 0.2 -0.3 0.1 -0.7 0.1 -0.0 -0.4 -0.3 -0.3 -0.3 0.0 -0.1 0.2 -0.5 0.1 0.2 0.0 0.2 -0.1 0.1 -0.2 0.1 -1.1 0.5 0.6 0.2 -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 -3.6 -3.7 -3.2 -3.6 -1.1 -1.1 -4.6 0.9 -5.3 1.6 -5.8 -8.1 -9.3 -9.2 -12.4 -2.6 -2.9 -2.7 -2.8 -6.5 -4.3 -3.4 -4.5 -7.4 2.5 -2.8 3.7 -1.7 -1.8 -1.9 -3.6 -0.8 8.2 10.9 6.0 -2.3 -20.0 -9.9 -12.4 -1.9 BITCOIN -18.2 -6.4 9.2 4.5 -2.3 2.7 0.7 0.9 3.8 -4.5 14.2 -6.2 15.4 -1.2 10.3 -7.6 -7.4 -8.4 -8.3 12.8 20.0 -6.3 20.0 -1.3 -20.0 5.1 -0.9 7.8 -0.9 7.3 1.0 -3.3 -13.6 -20.0 12.2 20.0 -9.0 -0.4 16.3 3.2 BOBL -5.8 -8.5 -9.9 -2.4 -2.3 -1.2 -3.0 -1.0 -3.1 -7.4 -3.5 -7.9 -2.9 -7.8 -8.6 13.2 -9.2 0.8 -7.0 -6.5 -4.4 -8.2 -3.8 -7.3 5.1 -2.0 -5.1 -1.3 -3.8 -1.1 -2.6 -10.5 2.0 7.9 6.7 -2.1 -18.7 -20.0 6.8 -15.4 BTP -15.8 -10.8 0.5 -3.9 -3.7 -2.0 -4.9 -1.7 -5.1 -8.8 9.3 -10.5 9.2 -9.6 -6.2 4.5 6.0 4.8 5.1 -1.0 5.3 -6.4 6.7 -5.6 -18.8 2.4 -5.6 5.6 -3.3 5.7 -1.1 14.4 6.7 16.6 20.0 16.6 -6.7 -11.1 20.0 2.5 BUND -7.3 -8.6 -4.9 -2.7 -2.6 -1.4 -3.4 -1.1 -3.5 -8.7 -1.1 -9.2 -1.2 -8.8 -9.4 -9.3 0.3 -6.4 -3.2 -5.2 -2.5 -8.3 -2.6 -6.8 2.6 -0.7 -6.9 0.2 -4.3 -0.2 -1.9 2.7 1.5 12.3 10.6 2.1 -17.7 -20.0 13.6 -8.2 BUXL -7.8 -7.4 0.5 -3.2 -3.1 -1.7 -4.1 -1.4 -4.3 -11.0 0.7 -11.7 -2.7 -10.8 -11.3 -7.4 -2.1 -6.1 -4.0 -4.6 -1.7 -10.4 -3.5 -7.4 -1.1 1.2 -9.3 1.7 -5.0 0.1 -0.9 0.0 -0.8 18.8 16.6 6.9 -20.0 -20.0 -3.8 -2.5 CAC -20.0 -2.9 18.2 1.5 1.7 6.2 -4.6 6.2 -4.7 20.0 20.0 -1.4 20.0 -0.6 18.0 20.0 2.3 14.3 7.0 16.5 20.0 6.7 20.0 2.0 -12.2 6.9 7.2 10.0 2.6 9.2 2.0 16.8 20.0 20.0 19.0 9.3 -9.0 9.3 -6.5 14.1 CAD -9.3 -9.3 -4.5 -5.3 -1.6 -1.6 -6.7 1.3 -7.8 9.9 -9.9 -8.1 -8.9 -14.6 -19.3 -2.8 -2.3 -2.5 -2.4 -15.0 -9.6 -5.0 -7.2 -15.0 -0.6 -6.4 3.2 -4.1 -2.0 -3.0 -6.5 0.0 17.1 6.7 -3.1 -4.3 -20.0 -16.4 -6.3 -13.2 CANOLA -2.3 20.0 6.4 0.8 6.7 0.6 3.8 -1.0 1.2 4.3 -7.2 -0.5 -8.1 3.8 1.6 -16.0 -7.2 -14.9 -12.7 -0.2 -6.6 1.3 -12.0 0.7 -20.0 0.0 2.3 -2.8 0.6 -5.4 0.4 -20.0 -10.2 -7.1 13.1 -12.4 -20.0 -17.1 -12.0 -3.8 CHF -5.9 -20.0 -20.0 -4.6 -1.4 -1.3 -5.8 1.1 -6.7 -15.2 -16.6 -17.7 -9.4 -20.0 -20.0 -16.1 -15.8 -16.1 -15.9 -20.0 -20.0 -15.0 -10.9 -20.0 -0.7 -6.9 -2.8 -4.8 -3.4 -1.8 -5.7 -20.0 11.7 -0.0 -20.0 -20.0 -5.1 -17.0 2.9 -15.9 COCOA -20.0 7.5 -2.2 0.6 5.0 0.5 2.8 -0.8 0.9 4.5 8.3 5.6 8.4 7.4 8.0 20.0 14.9 20.0 20.0 19.4 16.5 12.8 11.3 17.3 -15.5 2.9 0.8 3.1 1.3 2.7 2.2 20.0 17.1 20.0 20.0 20.0 1.3 -0.5 6.6 8.7 COFFEE 20.0 17.1 11.9 1.6 13.4 1.2 7.5 -2.1 2.3 -2.5 17.4 11.9 13.6 15.9 16.1 12.5 8.5 12.1 10.8 20.0 20.0 20.0 13.6 20.0 -20.0 6.7 1.2 4.4 5.6 2.8 8.1 12.4 20.0 20.0 20.0 20.0 -3.0 -20.0 6.4 -8.8 COPPER 20.0 20.0 18.0 5.2 -2.6 3.0 0.7 1.0 4.3 12.0 16.8 17.8 5.1 19.7 19.7 -4.7 -5.0 -5.2 -5.4 20.0 20.0 20.0 10.7 20.0 -15.7 7.0 3.3 4.7 5.9 2.2 7.5 1.3 20.0 20.0 20.0 20.0 -20.0 -2.6 7.8 6.0 CORN 1.4 14.3 7.1 1.5 12.2 1.1 6.9 -1.9 2.1 12.7 -11.6 3.9 -18.3 7.0 -6.0 -20.0 -10.0 -19.0 -15.8 -4.2 -12.6 4.2 -20.0 0.3 -15.8 -2.7 6.0 -7.9 3.3 -10.8 1.1 -20.0 -3.1 5.0 8.0 -20.0 -12.3 -20.0 -11.2 1.2 COTTON2 -20.0 -19.9 13.3 1.0 8.3 0.8 4.7 -1.3 1.5 -9.5 -2.0 -12.0 0.4 -12.8 -7.5 17.3 3.6 11.8 6.1 -12.5 -1.8 -19.6 1.1 -20.0 -20.0 -1.4 -2.4 1.5 -4.0 2.0 -4.3 3.1 -20.0 -20.0 -20.0 18.9 -11.1 -14.4 1.4 1.6 CRUDE_W -0.1 16.2 10.6 5.8 -2.7 6.0 -3.5 5.0 1.2 -12.0 11.4 -5.3 15.3 15.6 20.0 18.0 11.9 15.5 13.2 20.0 20.0 -6.5 18.8 10.0 -5.5 7.2 -2.6 7.3 -3.0 6.7 2.6 -1.1 -3.9 6.6 11.4 0.4 20.0 19.1 20.0 19.8 DAX -20.0 -6.7 13.6 1.3 1.5 5.3 -3.9 5.3 -4.0 11.0 19.4 -9.9 20.0 -3.2 12.2 -11.0 -11.7 -12.7 -12.8 13.8 20.0 -1.3 20.0 -0.9 14.5 6.3 3.5 8.3 0.3 7.0 1.7 -11.1 17.9 20.0 20.0 15.6 -1.8 8.5 6.0 20.0 DOW -20.0 -20.0 -1.8 1.0 1.1 4.0 -2.9 4.0 -3.0 9.0 12.4 -9.0 13.7 -10.8 -4.5 -11.1 -11.1 -12.1 -12.0 -3.9 9.7 -4.7 15.7 -12.0 -12.1 0.2 3.7 5.3 -0.9 7.4 -3.1 -9.8 12.4 8.5 -9.6 -4.6 -2.0 -7.6 6.6 -16.3 DX 12.7 14.0 9.5 -4.9 -1.5 -1.4 -6.2 1.2 -7.2 4.5 12.0 15.8 8.5 19.3 19.8 7.3 6.6 7.2 6.8 20.0 13.5 16.7 8.6 20.0 -20.0 6.7 0.5 3.9 5.3 2.5 7.9 15.5 20.0 20.0 20.0 20.0 20.0 4.5 20.0 10.8 EUR -10.1 -8.5 -6.4 -4.5 -1.4 -1.3 -5.7 1.1 -6.7 4.1 -6.9 -11.6 -5.8 -15.1 -16.0 -6.6 -6.8 -6.7 -6.6 -13.1 -7.9 -8.6 -4.7 -15.3 17.9 -4.7 1.7 -2.1 -3.7 -1.0 -6.2 -7.4 5.5 2.4 1.1 1.4 -20.0 -14.8 -20.0 -11.9 EURIBOR-ICE -16.5 -18.8 -10.4 -2.3 -2.2 -1.2 -2.9 -1.0 -3.0 -7.1 1.2 -7.8 2.0 -7.9 -7.8 -5.1 -4.1 -3.7 -3.3 -6.8 -1.2 -10.1 1.2 -9.5 12.6 -2.1 -3.9 -0.0 -3.7 0.9 -3.3 -1.4 -2.3 1.0 3.1 -0.9 -20.0 -20.0 10.3 16.3 EUROSTX -20.0 -6.3 19.9 1.4 1.6 5.6 -4.2 5.6 -4.2 12.2 20.0 -6.9 20.0 -1.3 17.6 -7.3 0.2 -2.4 -0.2 17.8 20.0 2.1 20.0 1.8 -0.7 6.9 4.8 10.0 1.2 9.1 1.9 10.3 20.0 20.0 20.0 20.0 -14.5 9.1 -13.7 14.9 FEEDCOW -10.3 -20.0 8.4 1.4 11.3 1.0 6.3 -1.7 2.0 11.6 -3.2 8.5 -1.5 -5.9 -3.7 -20.0 -20.0 -20.0 -20.0 -9.3 -4.7 10.8 -0.1 -5.2 -6.2 -2.1 5.6 -0.9 4.6 1.6 -0.3 -20.0 20.0 1.2 -20.0 5.9 20.0 20.0 20.0 20.0 GASOIL -7.0 3.1 9.1 4.9 -2.3 5.1 -3.0 4.2 1.0 -16.9 10.6 -17.1 15.1 -3.4 14.0 5.6 20.0 14.8 18.4 7.1 13.4 -18.1 17.0 -6.3 6.7 2.8 -8.0 5.9 -9.1 7.4 -3.4 12.8 -11.9 -11.9 -12.5 -2.6 -12.8 -8.9 -20.0 -17.5 GASOLINE -4.6 14.9 16.3 5.6 -2.6 5.8 -3.4 4.8 1.2 -9.4 19.0 -6.9 18.2 15.0 20.0 20.0 12.0 15.0 9.1 20.0 20.0 -4.8 20.0 8.9 -20.0 7.4 -1.3 8.1 -2.3 7.8 2.4 -4.0 4.2 2.5 8.4 9.4 20.0 20.0 20.0 20.0 GAS_US_mini 8.0 4.8 -9.1 3.9 -1.8 4.0 -2.4 3.3 0.8 -1.4 -17.9 -0.8 -18.6 -11.4 -16.6 -20.0 -20.0 -20.0 -20.0 -11.8 -20.0 0.2 -20.0 -4.0 20.0 -6.4 0.1 -9.0 -0.3 -9.4 -3.1 -20.0 10.6 -9.1 -20.0 -20.0 -20.0 -3.8 -20.0 -8.8 GBP -11.9 -12.6 -4.4 -4.9 -1.5 -1.4 -6.1 1.2 -7.2 -2.0 4.6 -14.1 5.0 -18.2 -15.6 -1.0 -0.7 -0.8 -0.7 -11.5 -3.0 -12.5 2.0 -16.8 1.7 -4.0 0.6 0.2 -6.0 1.8 -7.4 2.9 3.7 4.8 2.8 12.3 -20.0 -9.6 -20.0 -3.2 GOLD_micro 3.7 20.0 15.8 3.7 -1.9 2.2 0.5 0.7 3.1 -12.5 14.0 6.1 11.3 12.4 13.7 -12.8 -14.6 -14.3 -14.6 20.0 20.0 1.5 12.7 19.3 -3.6 5.0 -2.2 4.1 0.3 2.6 3.6 -14.9 0.6 20.0 20.0 20.0 -20.0 -19.8 -11.1 -11.6 HEATOIL -6.8 3.6 5.4 5.1 -2.4 5.3 -3.1 4.4 1.1 -13.5 1.7 -15.9 10.2 -4.8 11.0 0.6 20.0 11.1 16.9 3.4 8.2 -17.1 11.6 -8.0 -20.0 1.7 -7.1 5.6 -9.2 8.3 -4.9 11.9 -17.1 -16.1 -16.9 -4.7 17.8 5.7 13.9 1.8 JGB-SGX-mini -20.0 -15.9 -5.2 -2.7 -2.6 -1.4 -3.4 -1.1 -3.5 -8.9 2.0 -9.4 4.7 -8.7 -7.8 8.4 15.7 10.6 12.0 -7.9 -2.2 -12.2 1.5 -12.1 -7.6 -2.9 -3.1 -1.2 -4.2 -0.4 -4.2 20.0 -11.6 -6.9 -5.2 2.9 -11.9 -12.2 1.1 10.2 JPY -14.7 -15.4 -17.9 -4.3 -1.3 -1.3 -5.4 1.1 -6.3 -17.3 -20.0 -19.2 -19.8 -20.0 -20.0 -18.0 -16.7 -17.4 -17.0 -20.0 -20.0 -20.0 -20.0 -20.0 20.0 -6.9 -4.5 -5.9 -6.1 -6.3 -7.2 -20.0 -10.0 -12.4 -14.7 -20.0 -20.0 -11.3 -19.3 -11.0 LEANHOG -3.0 5.6 20.0 1.9 15.9 1.5 9.0 -2.5 2.8 20.0 18.3 11.5 -3.3 10.5 20.0 -20.0 -20.0 -20.0 -20.0 19.8 16.4 20.0 2.5 17.0 11.6 7.3 13.8 8.1 7.7 2.9 5.0 -20.0 -1.5 18.9 20.0 20.0 -7.5 -8.6 1.2 14.8 LIVECOW -14.9 -16.0 9.9 1.4 11.4 1.1 6.4 -1.8 2.0 6.2 -0.6 -0.2 0.4 -8.6 -1.0 20.0 6.4 20.0 15.2 -7.2 -2.4 1.3 1.0 -7.5 -5.4 -0.4 0.7 1.3 1.9 3.4 -0.7 12.8 7.6 -3.8 -11.2 12.6 20.0 16.0 20.0 20.0 LUMBER-new -20.0 -20.0 0.7 1.8 14.6 1.4 8.2 -1.5 2.5 -19.1 1.0 -20.0 -10.9 -20.0 -14.0 -20.0 -17.0 -20.0 -18.4 -20.0 -8.4 -20.0 -2.8 -20.0 NaN -5.5 -7.7 -1.5 -10.2 -0.0 -9.5 -20.0 -20.0 -20.0 -20.0 -20.0 -12.4 -12.2 -5.3 -7.0 MILK 20.0 9.6 20.0 0.9 7.4 0.7 4.2 -1.1 1.3 5.9 -9.2 8.6 -11.0 2.7 -2.4 -20.0 -20.0 -20.0 -20.0 -1.2 -7.8 13.2 -12.9 7.5 11.4 -0.7 3.0 -3.2 4.8 -5.3 2.6 -20.0 11.6 14.6 -12.0 -7.3 -20.0 -20.0 -20.0 -20.0 MXP -20.0 -6.0 0.5 -4.6 -1.4 -1.4 -5.9 1.1 -6.8 -13.8 17.2 -15.9 20.0 -6.9 6.8 16.2 17.2 17.3 16.9 5.7 15.0 -19.2 20.0 -9.6 -20.0 3.0 -4.4 5.8 -6.8 7.4 -2.7 20.0 -20.0 2.4 20.0 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -20.0 -20.0 -5.6 0.8 0.9 3.3 -2.4 3.3 -2.4 -4.3 11.3 -7.3 12.9 -6.9 4.4 -10.3 -10.4 -11.0 -10.9 -2.2 9.4 -14.1 15.6 -12.7 -20.0 -0.6 -1.4 4.1 -4.9 6.7 -4.5 -8.2 -9.3 -2.7 -11.4 1.8 0.9 -1.3 5.6 -2.0 NIKKEI -20.0 -15.3 9.4 0.9 1.1 3.8 -2.8 3.8 -2.9 -4.6 12.4 -10.2 14.6 -8.6 8.4 2.0 9.9 5.4 8.0 4.5 18.5 -17.2 20.0 -12.4 -14.1 1.6 -1.7 6.0 -5.0 7.3 -3.6 20.0 -15.2 -5.7 -6.4 20.0 -17.4 -7.6 -9.0 -8.8 NZD -4.0 -14.8 -6.9 -3.5 -1.1 -1.0 -4.5 0.9 -5.2 -2.7 -4.4 -9.2 -4.7 -12.9 -13.7 0.1 0.3 0.2 0.2 -11.5 -6.6 -6.3 -3.8 -11.8 0.5 -4.6 0.7 -2.5 -2.5 -1.0 -4.7 4.4 6.1 7.1 -8.8 -5.5 -12.9 -6.2 -5.1 5.8 OAT -10.1 -11.6 -4.4 -2.9 -2.8 -1.5 -3.7 -1.3 -3.8 -9.1 0.5 -9.8 0.3 -10.0 -10.2 5.4 6.0 5.0 5.1 -5.8 -1.7 -8.8 -1.1 -8.0 3.1 -1.1 -7.5 0.8 -5.0 0.7 -2.8 14.4 1.4 12.2 10.8 3.4 -16.9 -20.0 14.0 0.8 OATIES -0.4 -2.0 -8.1 0.9 12.3 0.9 4.8 -1.9 0.8 16.8 -16.9 14.1 -15.1 0.7 -5.7 5.7 0.0 6.8 3.4 -8.0 -14.3 16.9 -15.3 2.1 -20.0 -3.0 10.9 -4.4 7.6 -4.4 1.0 -2.3 20.0 -1.4 -10.6 -9.1 -15.9 -1.4 -2.7 16.4 OJ -2.0 -0.1 -3.8 1.5 12.6 1.2 7.1 -1.9 2.2 -5.9 8.4 2.8 15.2 7.3 14.8 3.6 13.0 5.7 8.8 8.1 14.9 1.6 20.0 4.1 -20.0 1.0 1.0 6.2 -0.1 16.9 -0.4 15.3 -11.3 -9.7 -8.7 1.3 9.2 9.0 20.0 20.0 PALLAD 2.0 9.9 11.1 2.3 -1.2 1.4 0.3 0.5 2.0 -7.3 -3.1 -5.5 -7.7 1.3 1.0 -2.0 -2.1 -1.9 -1.9 0.9 -2.7 -2.7 -9.4 0.1 12.1 1.2 -2.9 -0.7 -1.5 -3.9 0.5 6.9 -4.0 -7.6 -6.9 -4.3 -20.0 -14.9 -20.0 -9.5 PLAT 5.9 8.5 2.5 3.3 -1.6 1.9 0.5 0.6 2.8 -11.8 -1.6 -7.3 -7.7 0.3 -1.8 -4.9 -3.7 -4.5 -4.2 2.2 0.3 -11.2 -2.5 -1.5 10.4 1.8 -8.1 1.2 -5.0 0.2 -0.2 3.6 -17.8 -8.2 -10.0 -6.8 -18.8 -5.6 20.0 7.8 REDWHEAT 15.0 14.2 6.0 1.5 12.5 1.2 7.1 -1.9 2.2 17.5 -15.4 16.7 -18.8 14.6 -2.2 -6.1 0.3 -0.3 0.3 0.6 -12.9 20.0 -20.0 12.8 -7.6 0.6 20.0 -5.3 12.9 -8.4 6.7 -3.6 20.0 20.0 9.8 -18.9 -10.1 -20.0 0.7 -20.0 RICE 20.0 -18.5 -7.8 0.7 5.9 0.5 3.3 -0.9 1.0 8.0 1.0 8.7 4.7 4.4 0.1 20.0 5.2 20.0 10.3 1.1 0.7 12.7 2.7 7.7 -6.9 -0.2 2.1 -0.3 3.2 0.2 1.7 7.1 20.0 13.5 -10.0 -6.7 2.0 -4.0 9.5 5.9 ROBUSTA 19.6 14.8 16.1 1.2 10.1 0.9 5.7 -1.6 1.8 13.0 16.7 14.4 16.6 15.6 16.5 10.7 20.0 18.6 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 6.2 4.6 5.8 5.5 5.1 6.2 20.0 20.0 20.0 20.0 20.0 -17.4 -20.0 -2.5 3.4 RUSSELL -20.0 -11.6 6.2 0.8 0.9 3.3 -2.4 3.3 -2.5 -1.7 8.9 -8.9 8.2 -8.7 -2.2 -6.4 -6.4 -6.5 -6.5 -3.5 4.2 -8.6 5.3 -10.9 -1.6 -0.5 1.1 2.5 -2.9 3.0 -3.6 -1.0 1.3 7.8 -6.4 -11.6 -12.8 -19.8 -13.2 -20.0 SHATZ -2.7 -10.0 -17.5 -2.3 -2.2 -1.2 -2.9 -1.0 -3.0 -7.0 -7.9 -7.3 -7.7 -7.7 -8.6 -20.0 -20.0 -20.0 -20.0 -9.9 -9.2 -8.4 -9.1 -8.7 7.6 -2.9 -3.0 -2.4 -2.7 -2.1 -2.7 -20.0 3.8 2.6 0.2 -8.2 -20.0 -20.0 -14.3 -20.0 SILVER-mini 14.1 20.0 12.6 3.4 -1.7 2.0 0.5 0.7 2.9 -11.5 8.8 5.4 4.0 10.0 10.5 -6.4 -6.7 -6.7 -6.7 16.1 10.7 0.0 4.8 12.8 3.0 4.3 -2.5 3.2 -0.0 1.7 3.1 -1.3 -3.3 14.9 20.0 16.2 -13.3 -16.3 17.8 3.4 SMI -20.0 -5.0 11.1 1.1 1.3 4.7 -3.5 4.7 -3.5 9.5 14.4 -5.3 11.8 -5.8 5.2 -2.5 4.1 1.4 3.5 3.0 9.7 0.5 8.4 -4.7 14.0 3.4 5.9 6.0 0.8 4.7 -0.4 17.0 19.8 20.0 10.2 0.1 12.8 -1.2 20.0 -3.1 SOFR -20.0 -18.4 -9.3 -2.9 -2.8 -1.5 -3.6 -1.2 -3.8 -5.1 -1.5 -9.2 -2.3 -9.9 -10.1 -2.9 -0.4 -1.5 -0.7 -12.2 -7.0 -10.7 -4.5 -14.4 -2.4 -3.1 -1.5 -1.4 -3.1 -0.6 -3.9 4.1 3.7 -4.4 -1.9 0.6 -15.0 -20.0 6.3 -1.9 SOYBEAN -3.8 13.7 -10.5 1.6 13.5 1.2 7.6 -2.1 2.4 15.5 -13.6 -0.3 -7.3 1.5 -7.1 -3.6 10.3 1.0 5.2 -7.0 -13.5 0.3 -14.7 -3.9 -20.0 -2.5 5.4 -4.8 0.5 -4.7 -1.4 9.5 -7.7 -14.2 12.7 -20.0 -12.1 -20.0 -10.3 -20.0 SOYMEAL 11.0 10.4 -20.0 1.5 12.6 1.2 7.1 -1.9 2.2 17.7 -18.1 14.5 -15.6 7.3 -13.6 -3.8 6.5 -3.8 0.3 -8.6 -20.0 13.9 -18.7 4.7 -20.0 -2.1 10.8 -7.3 7.7 -5.8 4.0 2.3 20.0 6.3 9.4 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -17.5 15.0 -0.9 1.1 9.0 0.8 5.1 -1.4 1.6 -5.0 -12.1 -10.4 -10.7 -8.5 -6.5 -6.8 0.6 -6.6 -4.0 -7.9 -9.4 -12.9 -11.9 -12.2 -20.0 -2.1 -2.3 -1.5 -4.7 -2.0 -4.4 -6.8 -20.0 -20.0 0.4 -7.6 -20.0 -12.2 -8.5 5.5 SP400 -20.0 -9.9 13.3 0.9 1.1 3.8 -2.8 3.8 -2.9 -0.3 12.2 -9.6 12.0 -7.7 3.5 -5.0 -5.3 -5.2 -5.3 2.1 12.7 -10.5 13.1 -11.1 -11.5 1.4 1.6 4.5 -2.7 4.6 -2.6 1.0 -3.8 6.5 4.9 -1.6 -12.9 -9.8 -10.7 -20.0 SP500_micro -20.0 -19.5 6.1 1.0 1.2 4.1 -3.1 4.2 -3.1 -3.5 15.1 -9.6 16.0 -7.8 7.4 -12.0 -11.7 -12.7 -12.5 2.4 17.3 -14.1 20.0 -13.2 -20.0 1.3 0.3 6.3 -4.2 7.8 -3.8 -10.7 -7.7 -0.1 -2.9 11.0 -3.2 -4.1 5.0 -4.8 SUGAR11 -20.0 -11.5 -12.5 1.3 11.2 1.0 6.3 -1.7 1.9 -7.8 -11.8 -14.3 1.6 -13.8 -11.1 5.7 16.1 10.4 13.6 -20.0 -15.7 -20.0 -4.5 -20.0 -20.0 -5.4 -2.2 -3.9 -6.2 -1.1 -7.0 20.0 -20.0 -20.0 -20.0 -17.8 20.0 7.8 20.0 20.0 US10 -17.8 -16.0 -3.8 -2.4 -2.3 -1.2 -3.0 -1.0 -3.1 -4.1 -2.0 -7.5 -4.0 -8.2 -8.3 -5.2 -7.6 -6.8 -7.5 -9.7 -6.2 -8.1 -6.1 -11.0 2.2 -2.6 -1.3 -1.3 -2.5 -1.1 -3.2 -8.3 3.9 -2.1 -0.4 1.7 -20.0 -20.0 -8.2 4.1 US10U -17.6 -15.3 -3.2 -3.4 -3.3 -1.8 -4.3 -1.5 -4.5 -7.5 -2.6 -11.0 -5.5 -11.9 -12.1 -4.5 -1.2 -3.4 -2.1 -13.5 -8.9 -11.8 -9.2 -15.6 -0.1 -3.6 -2.4 -1.8 -3.9 -1.7 -4.7 2.3 4.1 -1.2 0.5 3.4 -20.0 -20.0 18.8 13.0 US2 -13.2 -18.3 -10.9 -2.2 -2.1 -1.2 -2.8 -1.0 -2.9 -1.4 -6.4 -7.3 -7.1 -8.0 -8.3 -20.0 -20.0 -20.0 -20.0 -11.5 -8.8 -6.8 -8.9 -11.2 10.5 -2.6 -0.4 -1.6 -1.8 -1.4 -2.8 -20.0 7.3 -3.8 -4.5 -3.0 -20.0 -20.0 -18.2 -20.0 US20 -20.0 -15.4 -0.7 -2.5 -2.4 -1.3 -3.1 -1.1 -3.2 -6.1 0.2 -7.9 -2.4 -8.4 -8.2 -0.3 -0.7 -0.2 -0.4 -8.7 -4.9 -8.8 -5.4 -10.9 -0.9 -2.2 -2.2 -0.7 -3.0 -0.9 -3.4 3.9 1.3 -0.3 2.2 4.6 -20.0 -16.2 20.0 19.6 US30 -18.6 -14.0 -0.1 -2.9 -2.8 -1.5 -3.7 -1.3 -3.8 -8.1 -0.8 -9.6 -4.0 -10.1 -10.0 -2.7 -5.6 -5.2 -5.9 -9.8 -6.0 -10.5 -7.2 -12.4 -0.4 -2.7 -3.2 -1.0 -3.9 -1.3 -4.2 -5.1 0.7 1.1 2.7 5.3 -19.7 -13.6 20.0 20.0 US5 -16.9 -17.4 -7.7 -2.4 -2.3 -1.2 -3.0 -1.0 -3.1 -3.1 -4.1 -7.6 -5.3 -8.4 -8.6 -9.1 -10.1 -9.7 -9.9 -10.9 -7.4 -8.1 -6.7 -11.8 4.8 -2.7 -0.9 -1.4 -2.3 -1.1 -3.2 -12.5 5.0 -3.8 -2.4 -0.4 -20.0 -20.0 -13.2 -7.4 VIX 10.9 16.6 15.2 -2.6 -12.5 -7.6 -5.1 -13.0 -0.6 -17.8 -20.0 -9.9 -20.0 -4.1 -9.3 -20.0 -20.0 -20.0 -20.0 -3.3 -13.3 -9.3 -20.0 -1.4 NaN -3.1 -14.9 -9.0 -6.7 -16.3 -1.2 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 14.2 15.5 6.3 1.5 12.7 1.2 7.2 -2.0 2.2 17.4 -9.7 12.4 -18.5 13.2 -1.8 -19.2 -13.1 -17.0 -14.9 1.9 -9.9 20.0 -20.0 13.2 1.9 0.4 20.0 -3.9 12.0 -6.2 5.7 -20.0 20.0 20.0 7.0 -20.0 -5.5 -20.0 0.2 -20.0 End of report for caleb_strategy_v3