******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240503_204003 produced at 2024-05-03 21:37:52.842644 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.99 0.0 0.00 0.00 0.00 0.00 -13.88 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.22 -0.36 0.0 0.45 -0.45 -0.22 -0.14 -12.84 16.0 -8 -5 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.39 -0.31 0.0 0.77 -0.77 -0.39 -0.23 -4.07 10.0 -5 -3 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.30 0.0 0.00 0.00 0.00 0.00 -9.06 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 -4.48 13.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.22 -0.26 0.0 999.00 -999.00 -0.22 -0.23 -54.83 999999999.0 -46 -49 caleb_strategy_v3 CHF False False 0.04 -0.33 -0.16 0.0 0.53 -0.53 -0.33 -0.33 -3.95 13.0 -8 -8 caleb_strategy_v3 CAD False False 0.02 0.00 -0.10 0.0 0.63 -0.63 0.00 0.00 -4.53 29.0 0 0 caleb_strategy_v3 US5 False False 0.03 -0.38 -0.08 0.0 0.78 -0.78 -0.38 -0.38 -2.71 25.0 -12 -12 caleb_strategy_v3 JPY False False 0.02 -0.07 -0.06 0.0 0.41 -0.41 -0.07 -0.07 -2.56 17.0 -3 -3 caleb_strategy_v3 EUR False False 0.04 -0.16 -0.05 0.0 0.56 -0.56 -0.16 -0.16 -1.17 14.0 -4 -4 caleb_strategy_v3 CORN False False 0.01 -0.04 -0.05 0.0 0.09 -0.09 -0.04 -0.04 -6.95 12.0 -6 -5 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.14 -0.14 -0.02 -0.02 -16.29 51.0 -6 -6 caleb_strategy_v3 BOBL False False 0.04 -0.33 -0.05 0.0 0.71 -0.71 -0.33 -0.30 -1.25 19.0 -9 -8 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.05 0.0 0.01 -0.01 0.00 0.00 -10.94 3.0 0 0 caleb_strategy_v3 US10 False False 0.03 0.00 -0.05 0.0 0.55 -0.55 0.00 0.00 -1.40 17.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.04 -0.05 0.0 0.05 -0.05 -0.04 -0.04 -25.53 26.0 -25 -25 caleb_strategy_v3 SP400 False False 0.09 -0.09 -0.04 0.0 0.17 -0.17 -0.09 -0.09 -0.41 2.0 -1 -1 caleb_strategy_v3 DOW False False 0.01 0.00 -0.04 0.0 0.38 -0.38 0.00 0.00 -6.83 66.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.06 -0.03 0.0 0.21 -0.21 -0.06 -0.06 -9.98 68.0 -19 -19 caleb_strategy_v3 HEATOIL False False 0.03 -0.06 -0.03 0.0 0.09 -0.09 -0.06 -0.06 -1.14 3.0 -2 -2 caleb_strategy_v3 SP500_micro False False 0.01 -0.02 -0.03 0.0 0.37 -0.37 -0.02 -0.02 -4.12 48.0 -2 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.04 -0.03 0.0 0.25 -0.25 -0.04 -0.03 -2.98 23.0 -4 -3 caleb_strategy_v3 COTTON2 False False 0.01 -0.04 -0.03 0.0 0.12 -0.12 -0.04 -0.04 -2.47 11.0 -4 -4 caleb_strategy_v3 US10U False False 0.03 -0.17 -0.03 0.0 0.43 -0.43 -0.17 -0.17 -0.80 13.0 -5 -5 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -18.19 59.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.04 -2.59 10.0 -5 -5 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.02 0.0 0.12 -0.12 -0.01 -0.01 -3.44 18.0 -2 -2 caleb_strategy_v3 GBP False False 0.02 0.00 -0.02 0.0 0.51 -0.51 0.00 0.00 -0.93 22.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.02 0.0 0.12 -0.12 -0.04 -0.04 -0.88 7.0 -2 -2 caleb_strategy_v3 LEANHOG False False 0.01 0.00 -0.02 0.0 0.16 -0.16 0.00 0.00 -1.77 13.0 0 0 caleb_strategy_v3 BUND False False 0.04 0.00 -0.02 0.0 0.42 -0.42 0.00 0.00 -0.48 10.0 0 0 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.02 0.0 0.37 -0.37 -0.02 -0.02 -1.05 21.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.02 0.0 0.30 -0.30 0.00 0.00 -0.54 8.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.01 2.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.44 2.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.01 -0.01 0.0 0.27 -0.27 -0.01 -0.01 -0.73 36.0 -2 -1 caleb_strategy_v3 AUD False False 0.02 -0.04 -0.01 0.0 0.37 -0.37 -0.04 -0.04 -0.35 19.0 -2 -2 caleb_strategy_v3 MILK False False 0.01 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.58 5.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.05 -0.01 0.0 0.38 -0.38 -0.05 -0.03 -2.15 56.0 -7 -5 caleb_strategy_v3 GASOIL False False 0.02 -0.04 -0.01 0.0 0.09 -0.09 -0.04 -0.04 -0.67 4.0 -2 -2 caleb_strategy_v3 US20 False True 0.03 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.30 9.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.04 -0.01 0.0 0.22 -0.22 -0.04 -0.04 -0.31 6.0 -1 -1 caleb_strategy_v3 BUXL False False 0.04 -0.12 -0.01 0.0 0.17 -0.17 -0.12 -0.12 -0.24 4.0 -3 -3 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.76 9.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.00 0.0 0.24 -0.24 0.00 0.00 0.20 23.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.06 -0.00 0.0 0.09 -0.09 -0.06 -0.06 -0.25 9.0 -6 -6 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.00 0.0 0.08 -0.08 0.00 0.00 -0.10 8.0 0 0 caleb_strategy_v3 OAT False False 0.04 0.00 -0.00 0.0 0.40 -0.40 0.00 0.00 -0.05 10.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.62 -0.62 0.00 0.00 0.07 26.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.02 0.00 0.0 0.13 -0.13 0.02 0.02 0.12 6.0 1 1 caleb_strategy_v3 PLAT False False 0.01 0.00 0.01 0.0 0.14 -0.14 0.00 0.00 0.99 10.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.56 999999999.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.15 0.01 0.0 0.37 -0.37 0.15 0.11 0.27 10.0 4 3 caleb_strategy_v3 RICE False False 0.01 0.00 0.02 0.0 0.04 -0.04 0.00 0.00 2.29 4.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.03 0.0 0.05 -0.05 0.00 0.00 1.58 3.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.15 0.03 0.0 999.00 -999.00 0.15 0.15 1.01 999999999.0 5 5 caleb_strategy_v3 LIVECOW False False 0.02 0.02 0.05 0.0 0.35 -0.35 0.02 0.02 2.18 17.0 1 1 caleb_strategy_v3 EUROSTX False False 0.02 0.16 0.05 0.0 0.31 -0.31 0.16 0.16 3.11 20.0 10 10 caleb_strategy_v3 DAX False False 0.01 0.05 0.06 0.0 0.33 -0.33 0.05 0.05 11.24 58.0 9 8 caleb_strategy_v3 CAC True False 0.03 0.00 0.07 0.0 0.00 0.00 0.00 0.00 2.84 12.0 0 0 caleb_strategy_v3 SMI False True 0.04 0.18 0.08 0.0 0.18 0.00 0.18 0.18 2.08 9.0 5 5 caleb_strategy_v3 COPPER False False 0.03 0.13 0.12 0.0 999.00 -999.00 0.13 0.13 3.66 999999999.0 4 4 caleb_strategy_v3 CRUDE_W False False 0.02 0.07 0.13 0.0 0.11 -0.11 0.07 0.07 5.74 5.0 3 3 caleb_strategy_v3 DX False False 0.03 0.00 0.13 0.0 999.00 -999.00 0.00 0.00 4.15 999999999.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.27 0.33 0.0 0.52 -0.52 0.27 0.27 38.49 60.0 31 31 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 15.3 Shocked risk 39.6 Sum abs risk 50.3 Leverage 4.92 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3379634.65, 'annual_cash_vol_target': 844908.6625, 'daily_cash_vol_target': 52806.79140625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6622 0.6728 10.7651 BITCOIN 1917.5394 62200.0000 3.0829 49.3258 BOBL 0.2874 117.0400 0.2455 3.9283 BTP 0.6530 118.0500 0.5531 8.8503 BUND 0.5679 131.1600 0.4330 6.9279 BUXL 1.3003 131.0800 0.9920 15.8722 CAC 53.2686 7953.0000 0.6698 10.7167 CAD 0.0029 0.7314 0.3988 6.3813 CANOLA 7.8019 647.8000 1.2044 19.2698 CHF 0.0052 1.1103 0.4644 7.4303 COCOA 399.8185 8010.0000 4.9915 79.8639 COFFEE 4.5306 200.6000 2.2585 36.1362 COPPER 0.0539 4.5535 1.1833 18.9335 CORN 4.8156 482.7500 0.9975 15.9606 COTTON2 1.2774 75.6200 1.6892 27.0272 CRUDE_W 0.8935 75.3300 1.1861 18.9775 DAX 136.7316 18174.0000 0.7523 12.0376 DOW 262.3159 38838.0000 0.6754 10.8066 DX 0.3726 104.9100 0.3552 5.6830 EUR 0.0046 1.0788 0.4219 6.7506 EURIBOR-ICE 0.0566 97.4450 0.0581 0.9293 EUROSTX 40.5448 4906.0000 0.8264 13.2229 FEEDCOW 2.2577 254.8250 0.8860 14.1758 GASOIL 10.6174 750.7500 1.4142 22.6278 GASOLINE 0.0374 2.4804 1.5098 24.1574 GAS_US_mini 0.0838 2.4250 3.4536 55.2584 GBP 0.0060 1.2554 0.4792 7.6667 GOLD_micro 20.8603 2306.5000 0.9044 14.4706 HEATOIL 0.0333 2.4653 1.3511 21.6183 JGB-SGX-mini 0.2238 144.6800 0.1547 2.4751 JPY 0.0001 0.0066 0.7971 12.7534 LEANHOG 1.2828 103.0500 1.2448 19.9170 LIVECOW 1.5344 174.7250 0.8782 14.0505 LUMBER-new 7.5109 535.5000 1.4026 22.4414 MILK 0.2518 19.2600 1.3072 20.9160 MXP 0.0004 0.0586 0.6699 10.7192 NASDAQ_micro 178.7531 18020.7500 0.9919 15.8709 NIKKEI 396.2769 38365.0000 1.0329 16.5266 NZD 0.0041 0.6018 0.6747 10.7951 OAT 0.5669 126.4700 0.4483 7.1725 OATIES 5.1057 370.7500 1.3771 22.0342 OJ 5.0863 370.0500 1.3745 21.9917 PALLAD 23.1566 945.0000 2.4504 39.2069 PLAT 15.1526 964.7000 1.5707 25.1313 REDWHEAT 10.6499 665.0000 1.6015 25.6239 RICE 0.2090 15.2350 1.3721 21.9530 ROBUSTA 82.7745 3553.0000 2.3297 37.2753 RUSSELL 22.4586 2043.6000 1.0990 17.5836 SHATZ 0.0893 105.3200 0.0848 1.3565 SILVER-mini 0.4459 26.8500 1.6607 26.5707 SMI 80.7620 11270.0000 0.7166 11.4658 SOFR 0.0695 96.0700 0.0724 1.1577 SOYBEAN 10.6918 1201.5000 0.8899 14.2379 SOYMEAL 4.9760 372.5000 1.3358 21.3733 SOYOIL 0.6320 43.3000 1.4595 23.3519 SP400 25.1647 2941.2000 0.8556 13.6895 SP500_micro 38.4084 5156.5000 0.7449 11.9177 SUGAR11 0.2912 19.3200 1.5070 24.1127 US10 0.4212 108.7812 0.3872 6.1947 US10U 0.5462 111.7500 0.4888 7.8203 US2 0.1108 101.7305 0.1089 1.7427 US20 0.7909 115.8750 0.6826 10.9212 US30 1.1555 122.0938 0.9464 15.1422 US5 0.2743 105.6953 0.2595 4.1519 VIX 0.4701 15.8500 2.9662 47.4589 WHEAT 9.3320 669.2500 1.3944 22.3102 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 662.25 0.67 445.57 1.00 445.57 52806.79 118.51 -1.15 -13.59 BITCOIN 62.20 3.08 191.75 1.00 191.75 52806.79 275.39 -6.10 -167.98 BOBL 1170.40 0.25 287.36 1.07 308.00 52806.79 171.45 -7.19 -123.30 BTP 1180.50 0.55 652.98 1.07 699.90 52806.79 75.45 1.06 7.99 BUND 1311.60 0.43 567.91 1.07 608.72 52806.79 86.75 -5.47 -47.44 BUXL 1310.80 0.99 1300.33 1.07 1393.76 52806.79 37.89 -6.26 -23.70 CAC 795.30 0.67 532.69 1.07 570.96 52806.79 92.49 8.99 83.12 CAD 731.45 0.40 291.73 1.00 291.73 52806.79 181.01 -9.65 -174.67 CANOLA 129.56 1.20 156.04 0.73 113.73 52806.79 464.33 -14.42 -669.40 CHF 1387.88 0.46 644.52 1.00 644.52 52806.79 81.93 -18.58 -152.21 COCOA 801.00 4.99 3998.19 1.00 3998.19 52806.79 13.21 2.62 3.46 COFFEE 752.25 2.26 1698.97 1.00 1698.97 52806.79 31.08 3.33 10.34 COPPER 1138.37 1.18 1347.09 1.00 1347.09 52806.79 39.20 8.62 33.80 CORN 241.38 1.00 240.78 1.00 240.78 52806.79 219.31 -13.03 -285.86 COTTON2 378.10 1.69 638.69 1.00 638.69 52806.79 82.68 -13.97 -115.51 CRUDE_W 753.30 1.19 893.49 1.00 893.49 52806.79 59.10 8.96 52.96 DAX 181.74 0.75 136.73 1.07 146.56 52806.79 360.32 9.15 329.53 DOW 194.19 0.68 131.16 1.00 131.16 52806.79 402.62 -7.30 -293.82 DX 1049.10 0.36 372.63 1.00 372.63 52806.79 141.72 11.28 159.80 EUR 1348.50 0.42 568.95 1.00 568.95 52806.79 92.82 -4.84 -44.94 EURIBOR-ICE 2436.12 0.06 141.49 1.07 151.66 52806.79 348.19 -3.43 -119.31 EUROSTX 490.60 0.83 405.45 1.07 434.58 52806.79 121.51 7.51 91.20 FEEDCOW 1274.12 0.89 1128.86 1.00 1128.86 52806.79 46.78 -3.47 -16.22 GASOIL 750.75 1.41 1061.74 1.00 1061.74 52806.79 49.74 -3.10 -15.40 GASOLINE 1041.77 1.51 1572.90 1.00 1572.90 52806.79 33.57 6.97 23.40 GAS_US_mini 60.62 3.45 209.38 1.00 209.38 52806.79 252.21 -9.35 -235.79 GBP 784.62 0.48 375.97 1.00 375.97 52806.79 140.46 -2.56 -35.94 GOLD_micro 230.65 0.90 208.60 1.00 208.60 52806.79 253.14 -2.49 -63.05 HEATOIL 1035.43 1.35 1399.01 1.00 1399.01 52806.79 37.75 -6.95 -26.22 JGB-SGX-mini 144680.00 0.15 22381.20 0.01 143.88 52806.79 367.03 -3.23 -118.61 JPY 822.69 0.80 655.75 1.00 655.75 52806.79 80.53 -12.27 -98.77 LEANHOG 412.20 1.24 513.11 1.00 513.11 52806.79 102.91 -2.82 -29.05 LIVECOW 698.90 0.88 613.74 1.00 613.74 52806.79 86.04 7.64 65.77 LUMBER-new 147.26 1.40 206.55 1.00 206.55 52806.79 255.66 -20.00 -511.32 MILK 385.20 1.31 503.55 1.00 503.55 52806.79 104.87 -2.60 -27.25 MXP 292.75 0.67 196.13 1.00 196.13 52806.79 269.25 9.74 262.26 NASDAQ_micro 360.42 0.99 357.51 1.00 357.51 52806.79 147.71 -8.67 -128.12 NIKKEI 38365.00 1.03 39627.69 0.01 254.74 52806.79 207.29 -0.32 -6.70 NZD 601.85 0.67 406.07 1.00 406.07 52806.79 130.05 -3.12 -40.54 OAT 1264.70 0.45 566.94 1.07 607.67 52806.79 86.90 -0.17 -1.48 OATIES 185.38 1.38 255.29 1.00 255.29 52806.79 206.85 -2.00 -41.47 OJ 555.08 1.37 762.94 1.00 762.94 52806.79 69.21 10.65 73.69 PALLAD 945.00 2.45 2315.66 1.00 2315.66 52806.79 22.80 -5.70 -13.00 PLAT 482.35 1.57 757.63 1.00 757.63 52806.79 69.70 4.18 29.10 REDWHEAT 332.50 1.60 532.50 1.00 532.50 52806.79 99.17 -0.76 -7.58 RICE 304.70 1.37 418.07 1.00 418.07 52806.79 126.31 7.44 93.92 ROBUSTA 355.30 2.33 827.74 1.00 827.74 52806.79 63.80 2.74 17.50 RUSSELL 102.18 1.10 112.29 1.00 112.29 52806.79 470.26 -6.41 -301.21 SHATZ 1053.20 0.08 89.29 1.07 95.71 52806.79 551.74 -16.19 -893.44 SILVER-mini 671.25 1.66 1114.72 1.00 1114.72 52806.79 47.37 3.44 16.31 SMI 1127.00 0.72 807.62 1.09 881.84 52806.79 59.88 10.16 60.84 SOFR 2401.75 0.07 173.78 1.00 173.78 52806.79 303.88 -7.52 -228.41 SOYBEAN 600.75 0.89 534.59 1.00 534.59 52806.79 98.78 -9.53 -94.11 SOYMEAL 372.50 1.34 497.60 1.00 497.60 52806.79 106.12 -7.65 -81.24 SOYOIL 259.80 1.46 379.18 1.00 379.18 52806.79 139.27 -20.00 -278.53 SP400 2941.20 0.86 2516.47 1.00 2516.47 52806.79 20.98 -5.91 -12.39 SP500_micro 257.82 0.74 192.04 1.00 192.04 52806.79 274.98 -6.45 -177.49 SUGAR11 216.38 1.51 326.10 1.00 326.10 52806.79 161.93 -9.99 -161.80 US10 1087.81 0.39 421.16 1.00 421.16 52806.79 125.38 -8.81 -110.42 US10U 1117.50 0.49 546.20 1.00 546.20 52806.79 96.68 -6.51 -62.92 US2 2034.61 0.11 221.61 1.00 221.61 52806.79 238.28 -14.85 -353.77 US20 1158.75 0.68 790.94 1.00 790.94 52806.79 66.76 -3.51 -23.44 US30 1220.94 0.95 1155.48 1.00 1155.48 52806.79 45.70 -5.28 -24.12 US5 1056.95 0.26 274.27 1.00 274.27 52806.79 192.53 -11.12 -214.05 VIX 158.50 2.97 470.14 1.00 470.14 52806.79 112.32 -19.78 -222.12 WHEAT 334.62 1.39 466.60 1.00 466.60 52806.79 113.17 -1.65 -18.63 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -13.589 0.010 2.5 -0.353 BITCOIN -167.983 0.043 2.5 -18.190 BOBL -123.298 0.004 2.5 -1.250 BTP 7.994 0.014 2.5 0.273 BUND -47.439 0.004 2.5 -0.481 BUXL -23.704 0.004 2.5 -0.240 CAC 83.125 0.014 2.5 2.835 CAD -174.670 0.010 2.5 -4.532 CANOLA -669.396 0.010 2.5 -16.285 CHF -152.212 0.010 2.5 -3.949 COCOA 3.455 0.009 2.5 0.074 COFFEE 10.337 0.005 2.5 0.121 COPPER 33.797 0.043 2.5 3.660 CORN -285.859 0.010 2.5 -6.955 COTTON2 -115.511 0.009 2.5 -2.474 CRUDE_W 52.964 0.043 2.5 5.735 DAX 329.532 0.014 2.5 11.240 DOW -293.822 0.009 2.5 -6.828 DX 159.805 0.010 2.5 4.146 EUR -44.938 0.010 2.5 -1.166 EURIBOR-ICE -119.311 0.014 2.5 -4.070 EUROSTX 91.198 0.014 2.5 3.111 FEEDCOW -16.219 0.013 2.5 -0.537 GASOIL -15.397 0.017 2.5 -0.667 GASOLINE 23.403 0.017 2.5 1.014 GAS_US_mini -235.790 0.043 2.5 -25.533 GBP -35.942 0.010 2.5 -0.933 GOLD_micro -63.046 0.014 2.5 -2.150 HEATOIL -26.220 0.017 2.5 -1.137 JGB-SGX-mini -118.608 0.043 2.5 -12.844 JPY -98.775 0.010 2.5 -2.563 LEANHOG -29.046 0.024 2.5 -1.765 LIVECOW 65.765 0.013 2.5 2.179 LUMBER-new -511.325 0.009 2.5 -10.943 MILK -27.247 0.009 2.5 -0.584 MXP 262.262 0.059 2.5 38.493 NASDAQ_micro -128.119 0.009 2.5 -2.977 NIKKEI -6.696 0.043 2.5 -0.725 NZD -40.539 0.010 2.5 -1.052 OAT -1.475 0.014 2.5 -0.050 OATIES -41.473 0.010 2.5 -1.009 OJ 73.690 0.009 2.5 1.578 PALLAD -13.000 0.014 2.5 -0.443 PLAT 29.105 0.014 2.5 0.993 REDWHEAT -7.584 0.005 2.5 -0.101 RICE 93.924 0.010 2.5 2.285 ROBUSTA 17.499 0.005 2.5 0.204 RUSSELL -301.209 0.013 2.5 -9.981 SHATZ -893.439 0.004 2.5 -9.060 SILVER-mini 16.313 0.014 2.5 0.556 SMI 60.838 0.014 2.5 2.075 SOFR -228.406 0.024 2.5 -13.881 SOYBEAN -94.107 0.004 2.5 -0.875 SOYMEAL -81.236 0.004 2.5 -0.756 SOYOIL -278.535 0.004 2.5 -2.593 SP400 -12.392 0.013 2.5 -0.411 SP500_micro -177.492 0.009 2.5 -4.125 SUGAR11 -161.799 0.009 2.5 -3.441 US10 -110.421 0.005 2.5 -1.399 US10U -62.917 0.005 2.5 -0.797 US2 -353.766 0.005 2.5 -4.483 US20 -23.441 0.005 2.5 -0.297 US30 -24.125 0.005 2.5 -0.306 US5 -214.051 0.005 2.5 -2.712 VIX -222.123 0.099 2.5 -54.829 WHEAT -18.625 0.005 2.5 -0.247 ===================== Position diags ===================== AUD 3.07 BITCOIN 29.82 BOBL 1.74 BTP 2.57 BUND 0.88 BUXL 0.38 CAC 3.15 CAD 4.70 CANOLA 11.30 CHF 2.13 COCOA 0.28 COFFEE 0.36 COPPER 4.24 CORN 5.34 COTTON2 1.77 CRUDE_W 6.40 DAX 12.29 DOW 9.36 DX 3.68 EUR 2.41 EURIBOR-ICE 11.88 EUROSTX 4.14 FEEDCOW 1.55 GASOIL 2.16 GASOLINE 1.46 GAS_US_mini 27.31 GBP 3.64 GOLD_micro 8.63 HEATOIL 1.64 JGB-SGX-mini 39.74 JPY 2.09 LEANHOG 6.25 LIVECOW 2.85 LUMBER-new 5.47 MILK 2.25 MXP 39.52 NASDAQ_micro 3.43 NIKKEI 22.45 NZD 3.37 OAT 2.96 OATIES 5.03 OJ 1.48 PALLAD 0.78 PLAT 2.38 REDWHEAT 1.32 RICE 3.07 ROBUSTA 0.74 RUSSELL 15.58 SHATZ 5.59 SILVER-mini 1.62 SMI 2.04 SOFR 18.47 SOYBEAN 0.92 SOYMEAL 0.99 SOYOIL 1.30 SP400 0.70 SP500_micro 6.39 SUGAR11 3.44 US10 1.59 US10U 1.23 US2 3.02 US20 0.85 US30 0.58 US5 2.44 VIX 27.73 WHEAT 1.50 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.4 -0.7 -0.0 -2.0 -2 BITCOIN -18.2 -21.2 -15.2 0.0 0 BOBL -1.3 -1.4 -1.1 -9.0 -9 BTP 0.3 0.0 0.5 4.0 4 BUND -0.5 -0.6 -0.4 0.0 0 BUXL -0.2 -0.3 -0.2 -3.0 -3 CAC 2.8 2.5 3.2 0.0 0 CAD -4.5 -5.0 -4.1 0.0 0 CANOLA -16.3 -17.4 -15.2 -6.0 -6 CHF -3.9 -4.2 -3.7 -8.0 -8 COCOA 0.1 0.0 0.1 0.0 0 COFFEE 0.1 0.1 0.2 1.0 1 COPPER 3.7 3.2 4.1 4.0 4 CORN -7.0 -7.5 -6.4 -6.0 -6 COTTON2 -2.5 -2.7 -2.3 -4.0 -4 CRUDE_W 5.7 5.1 6.4 3.0 3 DAX 11.2 10.0 12.5 9.0 9 DOW -6.8 -7.8 -5.9 0.0 0 DX 4.1 3.8 4.5 NaN 0 EUR -1.2 -1.4 -0.9 -4.0 -4 EURIBOR-ICE -4.1 -5.3 -2.9 -5.0 -5 EUROSTX 3.1 2.7 3.5 10.0 10 FEEDCOW -0.5 -0.7 -0.4 0.0 0 GASOIL -0.7 -0.9 -0.5 -2.0 -2 GASOLINE 1.0 0.9 1.2 5.0 5 GAS_US_mini -25.5 -28.3 -22.8 -25.0 -25 GBP -0.9 -1.3 -0.6 0.0 0 GOLD_micro -2.2 -3.0 -1.3 -7.0 -7 HEATOIL -1.1 -1.3 -1.0 -2.0 -2 JGB-SGX-mini -12.8 -16.8 -8.9 -8.0 -8 JPY -2.6 -2.8 -2.4 -3.0 -3 LEANHOG -1.8 -2.4 -1.1 0.0 0 LIVECOW 2.2 1.9 2.5 1.0 1 LUMBER-new -10.9 -11.5 -10.4 NaN 0 MILK -0.6 -0.8 -0.4 NaN 0 MXP 38.5 34.5 42.4 31.0 31 NASDAQ_micro -3.0 -3.3 -2.6 -4.0 -4 NIKKEI -0.7 -3.0 1.5 -2.0 -2 NZD -1.1 -1.4 -0.7 -1.0 -1 OAT -0.1 -0.3 0.2 0.0 0 OATIES -1.0 -1.5 -0.5 NaN 0 OJ 1.6 1.4 1.7 NaN 0 PALLAD -0.4 -0.5 -0.4 0.0 0 PLAT 1.0 0.8 1.2 0.0 0 REDWHEAT -0.1 -0.2 0.0 0.0 0 RICE 2.3 2.0 2.6 NaN 0 ROBUSTA 0.2 0.1 0.3 0.0 0 RUSSELL -10.0 -11.5 -8.4 -19.0 -19 SHATZ -9.1 -9.6 -8.5 NaN 0 SILVER-mini 0.6 0.4 0.7 0.0 0 SMI 2.1 1.9 2.3 5.0 5 SOFR -13.9 -15.7 -12.0 NaN 0 SOYBEAN -0.9 -1.0 -0.8 -2.0 -2 SOYMEAL -0.8 -0.9 -0.7 0.0 0 SOYOIL -2.6 -2.7 -2.5 -5.0 -5 SP400 -0.4 -0.5 -0.3 -1.0 -1 SP500_micro -4.1 -4.8 -3.5 -2.0 -2 SUGAR11 -3.4 -3.8 -3.1 -2.0 -2 US10 -1.4 -1.6 -1.2 0.0 0 US10U -0.8 -0.9 -0.7 -5.0 -5 US2 -4.5 -4.8 -4.2 NaN 0 US20 -0.3 -0.4 -0.2 0.0 0 US30 -0.3 -0.4 -0.2 -1.0 -1 US5 -2.7 -3.0 -2.5 -12.0 -12 VIX -54.8 -57.6 -52.1 -46.0 -46 WHEAT -0.2 -0.4 -0.1 -6.0 -6 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 3.8 3.8 3.8 3.8 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 -0.0 -0.1 -0.1 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.3 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 0.0 0.3 -0.0 0.1 -0.0 0.1 -0.1 0.0 -0.0 0.4 0.4 0.3 0.0 -0.7 -0.3 -0.3 -0.0 BITCOIN -0.6 -0.5 0.2 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.3 -0.1 0.5 -0.1 0.1 -0.1 -0.1 -0.2 -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 -0.2 0.0 -0.6 -0.4 0.6 -0.3 -0.0 0.5 0.1 BOBL -0.2 -0.2 -0.4 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 -0.2 0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 0.6 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.4 -0.2 -0.1 0.2 -0.0 -0.7 -0.7 0.2 -0.5 BTP -0.2 -0.5 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.2 0.0 0.3 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.0 0.0 0.0 0.2 -0.0 -2.5 0.0 0.0 0.1 0.0 0.2 -0.0 0.8 -0.1 0.3 0.6 0.6 -0.3 -0.3 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 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 0.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.3 0.0 0.3 0.1 -0.7 -0.7 0.3 -0.3 BUXL -0.2 -0.2 -0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.3 0.1 0.5 0.3 -0.7 -0.7 -0.2 -0.1 CAC -0.6 -0.5 0.5 0.0 0.0 0.1 -0.0 0.2 -0.0 -0.1 0.5 -0.1 0.7 -0.1 0.2 0.4 0.1 0.3 0.2 0.1 0.2 -0.1 0.5 -0.0 -1.6 0.1 0.0 0.3 0.0 0.4 0.0 1.0 -0.3 0.5 0.6 0.5 -0.3 0.3 -0.3 0.4 CAD -0.1 -0.3 -0.2 -0.1 0.0 -0.1 0.0 0.0 -0.0 0.1 -0.3 -0.0 -0.4 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 0.0 0.0 -0.1 -0.6 -0.5 -0.1 -0.4 CANOLA -0.2 0.6 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.2 0.0 -0.3 0.0 0.0 -0.3 -0.2 -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 0.3 -0.3 -0.7 -0.6 -0.4 -0.1 CHF 0.1 -0.6 -0.6 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.1 -0.5 -0.0 -0.4 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.0 -0.3 -0.2 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.3 0.0 -0.6 -0.6 -0.1 -0.6 0.2 -0.5 COCOA -0.6 -0.6 -0.5 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.2 -0.1 0.2 0.0 0.1 0.4 0.3 0.4 0.4 0.1 0.1 -0.1 0.2 -0.0 -1.9 0.0 -0.0 0.1 -0.0 0.1 0.0 1.1 -0.5 -0.0 0.6 0.6 0.1 0.0 0.3 0.3 COFFEE -0.3 0.4 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.3 -0.1 0.4 0.0 0.1 0.2 0.2 0.2 0.2 0.2 0.2 -0.2 0.3 0.1 -2.7 0.1 -0.1 0.1 -0.0 0.1 0.0 0.7 -0.5 0.6 0.6 0.6 -0.1 -0.7 0.3 -0.3 COPPER 0.2 0.6 0.6 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.4 0.1 0.2 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.1 0.3 0.2 -1.9 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.5 0.6 0.6 0.6 -0.7 -0.1 0.2 0.2 CORN 0.2 0.5 0.3 0.0 0.0 0.0 0.0 -0.1 0.0 0.2 -0.3 0.2 -0.7 0.1 0.0 -0.4 -0.2 -0.4 -0.3 -0.0 -0.1 0.1 -0.5 0.1 -2.2 -0.0 0.1 -0.2 0.1 -0.4 0.1 -1.1 0.5 0.2 0.4 -0.6 -0.5 -0.7 -0.4 0.0 COTTON2 -0.6 -0.6 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 0.3 0.1 0.2 0.1 -0.2 -0.1 -0.2 -0.0 -0.2 -2.7 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.2 -0.5 -0.6 -0.6 0.4 -0.3 -0.5 0.1 0.0 CRUDE_W -0.6 0.2 0.3 0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.2 0.3 -0.2 0.6 0.0 0.2 0.3 0.2 0.3 0.3 0.1 0.2 -0.2 0.5 -0.1 -0.7 0.0 -0.1 0.2 -0.1 0.2 -0.0 -0.1 -0.2 -0.1 0.3 0.0 0.7 0.6 0.7 0.6 DAX -0.6 -0.5 0.3 0.0 0.0 0.1 -0.0 0.2 -0.0 -0.0 0.5 -0.1 0.6 -0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.2 -0.0 0.5 -0.0 1.7 0.1 0.0 0.2 0.0 0.3 0.0 -0.6 -0.1 0.1 0.6 0.6 -0.1 0.3 0.2 0.6 DOW -0.5 -0.6 -0.2 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.3 -0.0 0.4 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 0.0 0.3 -0.1 -1.6 -0.0 0.1 0.1 0.0 0.3 -0.0 -0.5 -0.0 0.1 -0.0 -0.2 0.0 -0.3 0.3 -0.5 DX 0.3 0.5 0.3 -0.1 0.0 -0.1 0.0 0.0 -0.0 -0.2 0.4 0.1 0.4 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 -0.0 0.3 0.1 -2.7 0.1 -0.1 0.1 -0.0 0.1 0.0 0.8 -0.5 0.6 0.6 0.6 0.6 0.2 0.7 0.4 EUR -0.2 -0.3 -0.2 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.2 -0.2 -0.0 -0.3 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.1 2.5 -0.0 0.1 -0.1 0.0 -0.1 -0.0 -0.4 0.1 0.1 -0.0 0.1 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.3 -0.6 -0.4 -0.0 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 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 1.6 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.2 0.0 -0.0 -0.7 -0.7 0.2 0.5 EUROSTX -0.6 -0.6 0.4 0.0 0.0 0.1 -0.0 0.2 -0.0 -0.1 0.5 -0.1 0.7 -0.1 0.2 -0.1 -0.0 -0.1 -0.0 0.1 0.2 -0.1 0.5 -0.0 -0.1 0.1 0.0 0.3 0.0 0.3 0.0 0.5 -0.2 0.4 0.6 0.6 -0.5 0.3 -0.5 0.4 FEEDCOW 0.4 -0.6 0.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.0 -0.4 -0.4 -0.4 -0.4 -0.1 -0.0 -0.0 -0.0 -0.0 -0.8 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -1.1 -0.1 0.2 -0.6 0.2 0.7 0.7 0.7 0.7 GASOIL -0.6 -0.2 0.2 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.2 0.2 -0.2 0.5 -0.2 0.1 0.0 0.4 0.2 0.3 -0.0 0.1 -0.2 0.4 -0.2 0.9 -0.0 -0.1 0.1 -0.1 0.2 -0.1 0.5 -0.2 -0.5 -0.5 -0.2 -0.5 -0.3 -0.7 -0.6 GASOLINE -0.6 0.1 0.4 0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.2 0.5 -0.2 0.6 0.0 0.2 0.4 0.3 0.4 0.2 0.1 0.2 -0.2 0.5 -0.1 -2.7 0.0 -0.1 0.2 -0.1 0.3 -0.0 -0.1 -0.2 0.0 0.2 0.3 0.7 0.7 0.7 0.7 GAS_US_mini 0.3 0.3 -0.1 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.0 -0.5 -0.0 -0.6 -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 -0.4 -0.0 -1.1 0.5 0.6 -0.6 -0.6 -0.6 -0.2 -0.7 -0.3 GBP -0.2 -0.5 -0.2 -0.1 0.0 -0.1 0.0 0.0 -0.0 0.2 0.1 0.0 0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 0.0 -0.0 0.2 -0.0 0.1 0.0 0.0 0.1 -0.0 0.2 0.3 0.3 0.1 0.4 -0.7 -0.4 -0.7 -0.2 GOLD_micro -0.6 0.4 0.5 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.3 -0.1 0.3 0.1 0.1 -0.2 -0.3 -0.3 -0.3 0.2 0.2 -0.1 0.3 0.1 -0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.8 -0.4 0.1 0.6 0.6 -0.6 -0.6 -0.2 -0.3 HEATOIL -0.6 -0.1 0.1 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.2 -0.0 -0.2 0.4 -0.2 0.0 -0.1 0.4 0.1 0.3 -0.1 0.0 -0.2 0.3 -0.2 -2.7 -0.0 -0.1 0.1 -0.1 0.2 -0.1 0.4 -0.2 -0.6 -0.6 -0.3 0.6 0.2 0.4 0.0 JGB-SGX-mini -0.4 -0.5 -0.3 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 0.0 -0.0 0.1 -0.1 -0.1 0.0 0.3 0.2 0.2 -0.1 -0.0 -0.0 0.0 -0.1 -1.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 1.1 -0.1 -0.2 -0.0 0.0 -0.4 -0.3 0.0 0.4 JPY 0.1 -0.1 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.4 -0.0 -0.5 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 0.0 -0.4 -0.1 2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.2 -0.4 -0.5 -0.6 -0.7 -0.4 -0.7 -0.4 LEANHOG -0.5 0.0 0.6 0.0 0.0 0.1 0.0 -0.1 0.0 -0.2 0.4 -0.2 -0.1 -0.0 0.2 -0.4 -0.4 -0.4 -0.4 0.1 0.1 -0.2 0.1 -0.0 1.3 0.0 -0.1 0.2 -0.1 0.1 -0.0 -1.1 -0.5 -0.6 0.0 0.6 -0.3 -0.3 0.0 0.5 LIVECOW 0.1 -0.6 0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -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 -0.0 -0.7 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.7 -0.1 0.0 -0.4 0.4 0.7 0.6 0.7 0.7 LUMBER-new -0.7 -0.7 -0.1 0.0 0.0 0.1 0.0 -0.0 0.0 0.2 -0.1 -0.1 -0.4 -0.2 -0.2 -0.5 -0.4 -0.5 -0.4 -0.2 -0.1 -0.1 -0.1 -0.2 NaN -0.1 0.0 -0.1 -0.0 -0.0 -0.1 -1.2 -0.0 -0.7 -0.7 -0.7 -0.5 -0.4 -0.2 -0.3 MILK 0.6 0.6 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.4 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.1 -0.1 0.2 -0.4 0.2 1.7 0.0 0.1 -0.1 0.1 -0.2 0.0 -1.1 0.4 0.6 0.2 -0.1 -0.7 -0.7 -0.7 -0.7 MXP -0.6 -0.3 -0.1 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.1 0.4 -0.1 0.7 -0.1 0.0 0.3 0.3 0.3 0.3 0.0 0.1 -0.0 0.5 -0.1 -2.7 0.0 0.0 0.1 -0.0 0.3 -0.0 1.1 0.0 -0.2 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro -0.6 -0.6 -0.3 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.3 -0.0 0.4 -0.0 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 0.0 0.3 -0.1 -2.7 -0.0 0.0 0.1 -0.0 0.2 -0.0 -0.4 0.2 0.0 -0.3 0.0 -0.0 -0.0 0.1 -0.0 NIKKEI -0.6 -0.6 0.1 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.3 -0.0 0.5 -0.1 0.1 0.0 0.2 0.1 0.1 0.0 0.2 -0.0 0.5 -0.1 -1.7 0.0 0.0 0.1 -0.0 0.3 -0.0 1.1 -0.0 -0.0 -0.2 0.6 -0.4 -0.2 -0.2 -0.3 NZD -0.0 -0.4 -0.2 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.1 -0.0 -0.2 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.1 0.0 -0.1 -0.0 0.1 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.2 0.2 0.3 -0.1 -0.2 -0.4 -0.2 -0.1 0.2 OAT -0.2 -0.4 -0.2 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.0 -0.0 -0.0 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.0 -0.0 -0.0 -0.1 0.4 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.8 -0.2 0.1 0.3 0.2 -0.6 -0.7 0.4 0.0 OATIES 0.6 0.2 -0.1 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.4 0.2 -0.6 0.2 0.1 0.2 0.0 0.2 0.1 0.0 -0.1 0.2 -0.4 0.2 -2.7 0.0 0.1 -0.1 0.1 -0.1 0.1 -0.1 0.5 0.6 0.1 -0.2 -0.6 -0.1 -0.1 0.5 OJ 0.0 0.1 0.2 0.0 0.0 0.1 0.0 -0.1 0.0 0.1 0.3 0.1 0.6 0.2 0.2 0.1 0.3 0.1 0.2 0.1 0.2 0.1 0.5 0.1 -2.7 0.0 0.0 0.2 0.0 0.7 0.0 0.7 0.1 0.2 -0.1 0.3 0.3 0.3 0.7 0.7 PALLAD -0.4 0.1 0.4 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 1.7 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 0.4 -0.2 -0.3 -0.3 -0.2 -0.7 -0.6 -0.7 -0.4 PLAT -0.1 0.2 0.1 0.0 -0.0 0.1 -0.0 0.0 0.0 0.1 -0.0 0.0 -0.3 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 -0.1 0.0 1.4 0.0 0.0 0.0 0.0 0.0 0.0 0.2 0.5 0.2 -0.0 -0.2 -0.6 -0.2 0.5 0.2 REDWHEAT 0.6 0.6 0.4 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.3 0.2 -0.6 0.2 0.1 -0.2 -0.0 -0.1 -0.0 0.1 -0.1 0.2 -0.5 0.2 -1.0 0.0 0.1 -0.0 0.1 -0.2 0.1 -0.3 0.5 0.6 0.6 -0.4 -0.3 -0.7 0.1 -0.7 RICE 0.6 -0.3 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 0.2 0.1 0.0 0.4 0.3 0.4 0.4 0.1 0.0 0.1 0.1 0.1 -0.9 0.0 0.0 0.0 0.0 0.0 0.0 1.1 0.0 0.6 -0.1 -0.1 -0.0 -0.1 0.2 0.1 ROBUSTA -0.6 -0.3 -0.1 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 0.2 0.2 -0.1 0.5 0.1 -2.7 0.0 -0.0 0.1 -0.0 0.1 0.0 1.1 -0.5 0.6 0.6 0.6 -0.5 -0.6 0.0 0.1 RUSSELL -0.5 -0.4 0.1 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.2 -0.0 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 0.0 0.1 -0.0 -0.2 -0.0 0.0 0.1 0.0 0.1 -0.0 -0.1 0.1 0.1 -0.1 -0.3 -0.4 -0.7 -0.5 -0.7 SHATZ -0.0 -0.2 -0.6 -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 -0.3 -0.2 -0.0 -0.3 -0.7 -0.7 -0.5 -0.7 SILVER-mini -0.5 0.5 0.5 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.2 -0.1 0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.1 0.1 0.0 0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 -0.4 -0.0 0.5 0.5 -0.3 -0.5 0.6 0.2 SMI -0.5 -0.4 0.3 0.0 0.0 0.1 -0.0 0.2 -0.0 -0.1 0.3 -0.1 0.4 -0.1 0.0 -0.1 0.1 0.0 0.1 0.0 0.1 -0.1 0.2 -0.1 1.7 0.0 0.0 0.2 0.0 0.2 -0.0 0.9 -0.1 0.2 0.3 -0.0 0.4 -0.0 0.7 -0.1 SOFR -0.3 -0.6 -0.4 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 -0.3 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 0.1 -0.2 -0.1 0.0 -0.4 -0.7 0.3 -0.1 SOYBEAN 0.1 0.3 -0.2 0.0 0.0 0.0 0.0 -0.1 0.0 0.2 -0.3 0.1 -0.3 0.0 -0.0 -0.1 0.2 0.0 0.1 -0.0 -0.1 0.1 -0.3 0.0 -2.7 -0.0 0.2 -0.1 0.1 -0.2 0.0 0.4 0.5 -0.1 0.4 -0.6 -0.5 -0.7 -0.4 -0.7 SOYMEAL 0.6 0.6 -0.3 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.4 0.2 -0.5 0.1 -0.0 -0.1 0.1 -0.1 -0.0 0.0 -0.1 0.2 -0.3 0.2 -2.7 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 0.5 0.6 0.6 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.6 -0.1 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.2 0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.3 -0.2 -2.7 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.4 -0.5 -0.6 -0.3 -0.4 -0.7 -0.5 -0.3 0.2 SP400 -0.6 -0.5 0.3 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.3 -0.0 0.4 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 0.0 0.3 -0.1 -1.6 0.0 0.0 0.1 0.0 0.2 -0.0 0.1 0.1 -0.0 0.1 0.0 -0.5 -0.3 -0.4 -0.7 SP500_micro -0.6 -0.6 0.1 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.4 -0.0 0.5 -0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.0 0.5 -0.1 -2.6 0.0 0.0 0.2 -0.0 0.3 -0.0 -0.6 0.2 -0.0 -0.0 0.3 -0.1 -0.1 0.1 -0.1 SUGAR11 -0.6 -0.5 -0.5 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.4 -0.2 -0.0 -0.2 -0.1 0.0 0.3 0.2 0.2 -0.2 -0.2 -0.1 -0.2 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 1.0 -0.3 -0.6 -0.6 -0.6 0.7 0.3 0.7 0.7 US10 -0.2 -0.5 -0.3 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.1 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.1 0.3 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.4 0.0 -0.1 -0.0 0.1 -0.7 -0.7 -0.1 0.1 US10U -0.3 -0.5 -0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.3 -0.1 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.0 -0.1 -0.0 0.1 -0.7 -0.7 0.7 0.4 US2 -0.2 -0.5 -0.5 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.0 -0.3 -0.1 1.5 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.1 0.0 -0.2 -0.1 -0.1 -0.6 -0.7 -0.5 -0.7 US20 -0.3 -0.5 -0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.2 -0.1 -0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 -0.0 -0.0 0.0 0.2 -0.7 -0.5 0.7 0.6 US30 -0.3 -0.5 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 -0.1 0.0 0.2 -0.6 -0.4 0.7 0.7 US5 -0.2 -0.5 -0.4 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.2 -0.0 -0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 0.0 -0.2 -0.1 0.7 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.6 0.0 -0.1 -0.1 -0.0 -0.6 -0.7 -0.3 -0.3 VIX -0.1 0.5 0.7 -0.1 -0.1 -0.3 -0.1 -0.6 -0.1 -0.3 -0.8 -0.3 -1.2 -0.3 -0.2 -0.6 -0.6 -0.6 -0.6 -0.1 -0.2 -0.2 -0.9 -0.2 NaN -0.1 -0.2 -0.3 -0.2 -0.7 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.6 0.6 0.3 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.1 0.2 -0.6 0.2 0.1 -0.4 -0.3 -0.4 -0.3 0.1 -0.0 0.2 -0.5 0.2 0.2 0.0 0.1 -0.0 0.1 -0.1 0.1 -1.1 0.5 0.6 0.6 -0.5 -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 -0.9 -2.1 -1.7 -3.4 3.5 -1.5 0.4 0.6 -2.7 13.6 -5.2 6.5 -9.0 1.5 -6.7 -2.5 -2.8 -2.7 -2.7 -2.0 -3.0 10.3 -4.0 2.8 2.5 -0.4 11.0 -1.1 6.9 -1.8 2.4 -0.7 17.7 12.9 10.2 1.1 -20.0 -9.1 -10.0 -1.4 BITCOIN -20.0 -14.8 7.3 3.5 -4.1 2.8 -3.0 1.2 0.7 -3.8 11.9 -11.1 13.8 -10.4 6.6 -6.4 -7.3 -7.8 -7.9 4.1 17.0 -14.9 18.8 -10.8 -20.0 3.4 -1.3 7.6 -3.4 8.1 -1.6 -3.0 1.8 -20.0 -12.8 20.0 -9.7 -0.7 13.8 3.0 BOBL -5.5 -6.6 -12.1 -2.2 3.1 -1.5 0.4 -1.2 -1.7 3.5 -4.4 -4.7 -3.4 -6.7 -8.3 13.5 -8.0 3.3 -4.9 -7.0 -5.0 -3.1 -4.1 -6.5 4.8 -2.4 1.0 -1.5 -1.7 -1.2 -2.7 -7.4 -10.2 -2.3 5.1 -1.0 -20.0 -20.0 4.5 -13.6 BTP -7.1 -14.0 -1.2 -3.6 4.9 -2.3 0.6 -1.9 -2.7 10.9 8.6 1.6 8.7 -6.2 -6.0 4.5 6.0 4.7 5.0 -1.1 4.1 2.7 5.9 -2.1 -18.7 1.8 4.5 4.9 1.4 5.4 -0.2 14.7 -5.5 10.3 17.9 18.8 -7.8 -10.4 20.0 2.5 BUND -6.8 -7.9 -7.4 -2.5 3.4 -1.6 0.4 -1.3 -1.9 5.6 -1.9 -4.1 -1.6 -6.8 -8.7 -9.0 -0.1 -6.8 -3.7 -5.9 -3.4 -2.3 -3.0 -5.9 2.3 -1.6 1.6 -0.4 -1.6 -0.4 -2.4 2.2 -11.1 0.6 8.7 3.7 -20.0 -20.0 10.2 -8.2 BUXL -7.6 -7.5 -2.8 -3.0 4.2 -2.0 0.5 -1.6 -2.3 8.6 -0.1 -3.6 -2.7 -7.3 -9.8 -6.9 -2.4 -6.1 -4.2 -5.6 -2.8 -1.3 -3.9 -5.8 -1.4 -0.0 2.3 1.2 -1.2 0.0 -1.7 0.0 -13.7 4.6 14.0 9.0 -20.0 -20.0 -5.6 -3.6 CAC -18.1 -15.1 14.7 0.2 4.8 5.4 -0.9 6.4 -3.6 -10.7 20.0 -5.5 20.0 -7.2 16.0 19.2 3.1 15.0 8.1 10.3 20.0 -9.8 20.0 -3.7 -12.2 6.6 1.5 10.5 0.8 10.3 1.7 18.5 -14.5 16.4 20.0 14.4 -10.4 8.4 -8.6 12.9 CAD -3.5 -8.8 -5.7 -5.0 5.1 -2.2 0.6 0.9 -4.0 10.1 -11.2 -1.6 -10.0 -9.8 -15.5 -2.9 -2.4 -2.6 -2.5 -11.7 -9.5 -0.3 -7.5 -7.4 -0.7 -5.9 1.6 -4.7 -0.4 -3.7 -3.8 0.0 -1.8 0.8 0.5 -2.7 -17.4 -15.6 -3.9 -12.3 CANOLA -5.6 20.0 10.5 1.2 0.9 0.9 0.7 -0.8 1.1 6.3 -6.4 1.3 -7.7 0.9 2.6 -17.4 -7.9 -15.7 -13.3 -0.5 -5.6 2.2 -10.6 0.4 -20.0 -0.2 4.2 -2.8 1.0 -5.6 0.2 -20.0 7.7 -5.4 9.5 -9.6 -20.0 -16.9 -11.3 -3.8 CHF 3.1 -18.9 -20.0 -4.2 4.3 -1.9 0.5 0.8 -3.4 13.8 -17.2 -3.7 -10.8 -16.4 -19.4 -15.9 -15.9 -16.1 -16.0 -20.0 -20.0 -0.4 -11.3 -14.7 0.1 -6.5 3.9 -5.3 -0.3 -2.4 -4.1 -20.0 -11.3 0.7 -20.0 -20.0 -3.2 -17.2 4.6 -15.8 COCOA -20.0 -17.8 -16.6 0.8 0.6 0.6 0.5 -0.5 0.8 -5.2 6.1 -5.0 6.8 1.5 4.7 20.0 15.1 20.0 20.0 7.2 9.5 -11.9 7.6 -1.4 -14.5 2.2 -1.7 2.9 -1.2 2.8 0.5 20.0 -20.0 -0.8 20.0 20.0 3.6 0.2 8.5 8.4 COFFEE -8.5 13.7 9.5 2.0 1.5 1.4 1.2 -1.3 1.9 -15.2 12.5 -9.5 10.6 4.3 8.6 12.2 8.8 12.2 11.0 16.9 16.1 -18.4 10.5 5.3 -20.0 4.7 -6.3 4.1 -2.4 2.8 2.6 12.5 -20.0 20.0 20.0 20.0 -1.6 -20.0 7.7 -7.6 COPPER 5.3 20.0 19.4 3.5 -4.2 2.9 -3.1 1.2 0.7 -2.7 15.2 8.0 6.4 14.6 16.4 -3.9 -4.9 -4.8 -5.1 20.0 20.0 13.9 10.7 20.0 -14.2 6.1 0.4 4.6 3.0 2.4 5.5 1.4 20.0 20.0 20.0 20.0 -20.0 -2.7 7.3 6.3 CORN 6.0 14.9 9.2 2.5 1.8 1.7 1.5 -1.6 2.3 17.5 -10.7 15.9 -19.0 13.0 1.3 -19.9 -10.7 -19.2 -16.3 -0.4 -11.1 13.1 -20.0 6.9 -16.6 -0.0 14.0 -6.7 9.0 -10.9 5.2 -20.0 20.0 5.8 10.8 -20.0 -13.7 -20.0 -13.1 1.0 COTTON2 -20.0 -20.0 7.0 1.4 -2.6 1.0 -0.2 -1.0 1.2 -11.4 -4.8 -12.6 -1.4 -13.0 -10.2 13.3 4.0 11.4 6.6 -16.6 -5.5 -20.0 -0.8 -20.0 -20.0 -2.4 -5.5 0.5 -5.1 1.4 -4.7 3.5 -20.0 -20.0 -20.0 11.7 -10.3 -14.2 2.7 0.8 CRUDE_W -20.0 6.6 9.2 2.0 -13.4 4.8 -11.5 4.9 -5.0 -20.0 10.1 -20.0 15.6 2.2 15.5 16.2 12.1 15.4 13.4 9.7 16.1 -20.0 16.9 -9.0 -5.5 3.3 -15.4 6.3 -12.3 6.9 -4.4 -1.1 -7.7 -2.8 8.5 1.5 20.0 18.2 20.0 19.3 DAX -20.0 -16.4 8.8 0.2 3.8 4.4 -0.7 5.2 -2.9 -4.3 17.0 -7.4 18.0 -8.0 10.0 -10.2 -11.6 -12.1 -12.5 9.2 19.0 -3.9 20.0 -1.3 12.9 5.7 0.0 8.3 0.1 7.4 1.6 -10.8 -5.5 4.3 20.0 17.1 -1.7 7.6 5.0 18.3 DOW -15.5 -20.0 -7.2 0.1 3.0 3.4 -0.6 4.1 -2.3 10.8 10.9 -2.7 12.5 -9.7 -7.0 -10.7 -11.1 -11.8 -11.8 -4.1 6.4 1.6 12.8 -6.3 -11.9 -0.3 5.6 4.6 0.8 7.5 -2.0 -9.8 -0.7 3.1 -0.8 -5.2 0.9 -7.6 8.9 -15.8 DX 8.4 15.6 10.4 -4.7 4.8 -2.1 0.6 0.9 -3.7 -17.7 14.3 7.3 10.5 16.4 18.7 7.2 6.6 7.2 6.9 18.5 14.5 -4.4 9.8 12.4 -20.0 6.3 -7.2 4.7 -1.4 3.2 4.3 15.7 -20.0 20.0 20.0 20.0 19.4 5.0 20.0 11.7 EUR -6.0 -10.3 -6.4 -4.5 4.7 -2.0 0.6 0.8 -3.6 18.5 -8.4 -3.1 -7.4 -11.2 -14.3 -6.8 -6.8 -6.8 -6.6 -10.7 -8.6 4.3 -5.7 -6.0 19.1 -4.2 7.5 -2.8 2.8 -1.5 -2.3 -7.4 6.2 4.4 -0.4 1.8 -20.0 -15.2 -20.0 -12.1 EURIBOR-ICE -10.5 -18.3 -13.2 -2.2 2.9 -1.4 0.4 -1.1 -1.7 4.6 0.3 -4.3 1.5 -6.8 -7.7 -5.5 -4.2 -4.1 -3.5 -6.8 -2.3 -2.4 0.4 -6.9 12.3 -2.3 1.6 -0.4 -1.1 0.6 -2.6 -1.3 -7.6 -6.1 0.7 -0.6 -20.0 -20.0 6.8 14.0 EUROSTX -20.0 -18.2 12.7 0.2 4.1 4.6 -0.7 5.5 -3.0 -9.5 19.3 -9.8 20.0 -7.9 15.2 -7.2 -0.2 -3.3 -0.9 11.3 20.0 -6.4 20.0 -1.4 -1.0 6.3 0.4 9.9 0.5 9.5 1.8 9.4 -7.2 12.0 20.0 20.0 -15.4 7.8 -15.8 12.9 FEEDCOW 12.1 -20.0 3.8 2.1 1.5 1.5 1.2 -1.3 1.9 -4.9 -3.1 5.3 -1.8 -3.8 -3.3 -20.0 -20.0 -20.0 -20.0 -5.9 -4.1 -1.7 -0.4 -3.2 -6.1 -1.3 -2.3 -0.7 -0.5 1.7 -0.3 -20.0 -3.3 6.3 -18.9 5.0 20.0 20.0 20.0 20.0 GASOIL -20.0 -5.4 7.2 1.7 -11.5 4.2 -9.9 4.2 -4.3 -20.0 8.0 -20.0 14.8 -16.2 6.0 0.9 19.2 10.9 16.0 -3.1 8.8 -20.0 15.7 -19.5 6.7 -1.8 -13.3 3.0 -12.8 5.6 -8.4 9.3 -8.3 -15.6 -15.3 -5.9 -14.1 -8.8 -20.0 -18.2 GASOLINE -20.0 3.0 13.4 1.9 -12.5 4.5 -10.7 4.6 -4.7 -20.0 17.7 -17.9 17.9 3.3 16.9 20.0 13.2 18.4 11.6 10.8 17.9 -20.0 17.7 -7.3 -20.0 3.7 -15.9 6.9 -11.5 7.7 -3.8 -1.5 -7.2 0.6 7.4 10.0 20.0 20.0 20.0 20.0 GAS_US_mini 8.2 9.9 -2.1 1.3 -8.5 3.1 -7.3 3.1 -3.2 4.5 -17.1 -1.9 -17.6 -7.8 -15.7 -20.0 -20.0 -20.0 -20.0 -9.0 -18.9 1.5 -20.0 -2.6 20.0 -5.8 4.5 -9.1 0.7 -10.0 -2.2 -20.0 20.0 17.8 -20.0 -20.0 -18.5 -4.5 -20.0 -9.6 GBP -5.7 -14.0 -4.8 -4.7 4.9 -2.1 0.6 0.9 -3.8 16.7 4.3 2.3 4.3 -9.6 -11.7 -1.1 -0.7 -0.9 -0.7 -7.8 -3.3 5.3 1.5 -4.1 1.5 -2.6 5.6 0.3 3.8 2.0 -1.2 2.9 10.4 8.6 2.4 11.7 -20.0 -11.1 -20.0 -4.6 GOLD_micro -20.0 13.6 16.8 2.5 -2.9 2.0 -2.2 0.9 0.5 -7.3 11.1 -7.2 9.5 5.2 9.6 -11.9 -14.4 -13.6 -14.2 15.5 16.2 -6.2 11.2 5.1 -3.1 3.6 -1.7 3.8 -1.2 2.7 1.3 -14.5 -16.5 2.5 20.0 20.0 -19.0 -17.9 -6.4 -10.0 HEATOIL -20.0 -4.6 3.3 1.8 -12.2 4.4 -10.5 4.5 -4.6 -20.0 -0.4 -20.0 9.9 -17.7 0.4 -2.9 19.2 7.4 14.2 -6.9 3.7 -20.0 10.6 -20.0 -20.0 -2.9 -14.1 2.4 -13.6 6.0 -9.4 8.1 -8.3 -20.0 -19.6 -9.1 18.4 5.8 11.8 1.5 JGB-SGX-mini -13.0 -16.0 -7.8 -2.6 3.6 -1.7 0.5 -1.4 -2.0 7.4 1.2 -3.9 4.0 -6.9 -8.3 1.5 15.3 8.8 11.2 -7.6 -3.3 -0.2 0.7 -6.7 -8.2 -2.9 2.4 -1.7 -0.2 -0.7 -2.6 20.0 -3.8 -5.3 -1.2 1.1 -12.9 -10.5 1.2 10.7 JPY 3.9 -3.7 -1.3 -2.8 2.8 -1.2 0.3 0.5 -2.2 9.4 -13.0 -2.4 -13.3 -9.9 -12.2 -16.2 -16.7 -16.9 -16.8 -12.1 -12.5 0.5 -14.0 -8.6 20.0 -4.4 3.9 -4.0 -0.6 -4.0 -3.6 -20.0 -8.9 -11.2 -16.4 -17.2 -20.0 -11.7 -20.0 -11.1 LEANHOG -16.6 0.3 20.0 3.0 2.1 2.1 1.8 -1.9 2.8 -20.0 16.5 -19.1 -2.1 -4.4 13.9 -20.0 -20.0 -20.0 -20.0 10.3 13.5 -19.7 2.9 -4.0 10.1 4.2 -11.5 7.7 -8.5 3.3 -2.4 -20.0 -20.0 -20.0 0.9 20.0 -7.7 -8.8 0.4 13.8 LIVECOW 3.8 -19.0 6.7 2.0 1.4 1.4 1.2 -1.3 1.9 1.4 -0.9 3.4 -0.0 -7.1 -2.4 20.0 6.9 20.0 15.1 -4.9 -2.4 -1.6 0.4 -4.5 -5.1 -0.1 0.7 1.1 -0.5 3.4 -0.7 13.2 -5.4 1.5 -11.3 10.8 20.0 18.6 20.0 20.0 LUMBER-new -20.0 -20.0 -3.7 2.4 1.7 1.7 1.4 -0.9 2.2 14.6 -3.7 -10.8 -10.4 -14.6 -13.1 -20.0 -17.5 -20.0 -19.2 -20.0 -11.2 -12.4 -4.7 -20.0 NaN -5.1 0.5 -2.2 -2.5 -0.5 -5.6 -20.0 -0.9 -20.0 -20.0 -20.0 -12.2 -11.6 -4.8 -6.8 MILK 20.0 18.0 10.2 1.5 1.1 1.1 0.9 -1.0 1.4 11.3 -7.4 12.1 -11.0 10.1 3.8 -20.0 -20.0 -20.0 -20.0 5.3 -5.3 19.2 -13.6 15.4 12.8 1.5 5.7 -1.9 5.9 -4.6 4.6 -20.0 18.0 20.0 5.2 -4.3 -20.0 -20.0 -20.0 -20.0 MXP -20.0 -10.4 -2.6 -4.2 4.4 -1.9 0.5 0.8 -3.4 16.0 14.4 -9.5 18.4 -9.8 2.2 15.5 17.1 16.8 16.7 2.0 11.6 -0.5 20.0 -5.2 -20.0 1.7 3.3 5.4 -0.3 7.9 -1.7 20.0 1.5 -6.9 20.0 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -20.0 -20.0 -8.6 0.1 2.4 2.7 -0.4 3.2 -1.8 8.8 9.7 -1.2 11.6 -3.3 1.4 -9.6 -10.3 -10.6 -10.7 -2.2 6.3 0.5 12.4 -5.1 -20.0 -0.9 3.6 3.3 -0.1 6.5 -2.4 -8.1 7.0 1.1 -8.1 0.1 -1.0 -0.6 3.2 -1.1 NIKKEI -20.0 -19.7 4.2 0.1 2.7 3.0 -0.5 3.6 -2.0 9.3 10.2 -2.7 12.6 -6.5 4.9 1.8 9.5 4.6 7.3 1.8 13.9 -1.7 19.2 -6.0 -12.9 0.8 1.1 5.2 -0.9 7.3 -2.1 20.0 -0.7 -0.5 -6.7 19.4 -13.2 -7.3 -6.1 -8.4 NZD -0.9 -12.2 -6.7 -3.3 3.4 -1.5 0.4 0.6 -2.6 11.5 -5.2 -0.1 -5.1 -8.7 -11.6 0.1 0.2 0.2 0.2 -7.7 -5.9 4.9 -3.8 -3.3 0.6 -3.8 7.0 -2.8 2.5 -1.4 -1.6 4.5 7.8 8.9 -4.3 -4.8 -11.9 -5.3 -3.9 6.7 OAT -5.7 -11.8 -6.5 -2.7 3.7 -1.8 0.5 -1.4 -2.1 7.6 -0.3 -2.4 -0.1 -6.9 -8.9 6.2 6.1 5.5 5.3 -5.8 -2.5 -0.6 -1.6 -5.3 2.7 -1.6 3.8 0.2 -0.1 0.4 -2.2 15.0 -8.0 3.8 9.1 5.5 -18.6 -20.0 11.3 0.2 OATIES 20.0 5.6 -3.5 2.5 1.8 1.8 1.5 -1.6 2.4 16.2 -15.7 19.9 -16.4 15.5 6.2 9.7 0.7 7.9 4.4 4.2 -9.5 20.0 -14.7 20.0 -20.0 2.1 9.9 -1.9 11.6 -3.3 7.7 -1.1 20.0 20.0 3.1 -6.3 -16.5 -1.6 -2.3 16.4 OJ 1.3 2.9 6.0 2.6 1.9 1.9 1.6 -1.7 2.5 10.7 9.4 13.4 16.8 14.9 18.0 3.9 12.6 5.5 8.3 10.6 17.7 7.3 20.0 7.9 -20.0 2.0 3.0 6.7 3.0 18.4 1.9 14.0 5.9 6.3 -4.5 9.3 7.7 8.8 20.0 20.0 PALLAD -12.4 1.6 12.6 1.9 -2.2 1.5 -1.6 0.6 0.4 -7.7 -3.9 -8.8 -7.7 -6.4 -0.7 -2.1 -2.1 -2.0 -2.0 -2.8 -3.9 -9.4 -9.9 -6.3 12.4 -1.1 -4.4 -1.3 -5.1 -3.5 -3.2 6.7 -6.6 -8.0 -8.5 -6.0 -20.0 -16.9 -20.0 -10.9 PLAT -4.2 6.9 3.5 2.6 -3.1 2.1 -2.3 0.9 0.5 11.6 -1.0 0.9 -7.5 1.3 0.6 -5.0 -3.8 -4.7 -4.3 2.5 0.6 5.1 -2.0 2.7 10.2 2.2 4.8 1.5 3.1 0.4 2.0 3.3 20.0 5.6 -1.0 -5.7 -19.3 -6.2 16.4 7.3 REDWHEAT 20.0 20.0 11.6 2.4 1.7 1.7 1.4 -1.6 2.3 14.6 -10.5 15.2 -17.7 16.1 7.9 -9.3 -0.5 -2.9 -1.2 12.2 -5.4 20.0 -19.4 20.0 -7.7 4.0 6.3 -1.2 8.2 -4.4 8.0 -5.8 20.0 20.0 20.0 -11.1 -8.9 -20.0 2.1 -20.0 RICE 20.0 -9.9 -6.3 1.1 0.8 0.8 0.7 -0.7 1.1 7.4 2.7 9.4 5.3 8.5 3.4 20.0 15.8 20.0 20.0 4.9 2.8 8.8 3.7 9.7 -6.8 0.7 0.9 0.1 2.1 0.4 2.1 20.0 0.3 20.0 -3.6 -3.4 -0.7 -4.2 4.6 4.3 ROBUSTA -20.0 -9.2 -3.9 1.4 1.0 1.0 0.8 -0.9 1.3 -10.4 11.2 -4.7 11.7 5.2 9.2 20.0 20.0 20.0 20.0 17.6 19.5 -14.4 16.9 6.4 -20.0 3.9 -5.3 4.4 -1.9 4.1 1.8 20.0 -20.0 20.0 20.0 20.0 -13.7 -19.5 0.3 3.7 RUSSELL -15.8 -13.2 4.0 0.1 2.6 3.0 -0.5 3.6 -2.0 11.1 8.3 -2.4 8.1 -6.4 -3.5 -6.4 -6.4 -6.5 -6.5 -3.0 3.0 2.6 4.8 -4.3 -1.7 -0.5 5.5 2.4 1.6 3.4 -1.3 -1.0 5.5 4.3 -3.1 -9.5 -13.0 -20.0 -13.5 -20.0 SHATZ -1.0 -5.0 -19.7 -2.2 3.0 -1.4 0.4 -1.2 -1.7 1.5 -8.2 -5.2 -7.9 -7.2 -8.6 -20.0 -20.0 -20.0 -20.0 -10.2 -9.4 -4.7 -9.1 -8.4 7.5 -3.0 0.1 -2.5 -1.8 -2.1 -2.8 -20.0 -12.0 -5.5 -0.8 -8.0 -20.0 -20.0 -16.3 -20.0 SILVER-mini -14.2 16.7 15.5 2.6 -3.1 2.1 -2.3 0.9 0.5 -11.7 7.8 -10.2 4.3 3.0 7.6 -6.7 -6.7 -6.8 -6.8 10.8 10.3 -9.7 5.5 1.6 2.7 3.3 -3.1 3.4 -2.3 2.1 0.6 -1.4 -17.0 -0.8 14.4 14.6 -9.8 -14.7 18.4 4.5 SMI -16.7 -13.6 8.4 0.1 3.3 3.8 -0.6 4.5 -2.5 -8.0 11.9 -6.7 10.4 -8.5 2.1 -2.8 3.8 0.5 2.9 0.2 6.8 -6.0 7.0 -5.8 12.8 2.8 3.0 5.7 0.9 4.9 -0.1 16.1 -2.8 6.8 10.7 -1.5 11.9 -0.8 20.0 -2.3 SOFR -8.4 -17.4 -12.7 -2.8 3.8 -1.8 0.5 -1.5 -2.1 9.0 -2.9 -3.0 -3.2 -8.3 -9.7 -3.2 -0.6 -1.9 -1.0 -11.0 -7.9 2.1 -5.3 -7.8 -2.4 -3.0 4.4 -1.8 0.8 -1.0 -2.2 4.1 3.3 -5.5 -2.7 0.5 -12.1 -20.0 8.7 -1.5 SOYBEAN 2.5 10.6 -5.7 2.5 1.8 1.8 1.5 -1.6 2.4 17.0 -12.4 12.0 -7.3 3.6 -0.1 -3.3 9.6 0.1 4.2 -2.7 -9.9 12.8 -12.2 4.0 -20.0 -0.7 16.7 -4.0 7.8 -4.5 2.7 7.7 20.0 -2.9 12.7 -20.0 -13.7 -20.0 -11.8 -20.0 SOYMEAL 20.0 20.0 -10.6 2.1 1.5 1.5 1.3 -1.4 2.0 15.2 -14.5 15.4 -13.5 13.4 -3.2 -2.9 6.0 -3.5 -0.0 2.0 -9.9 20.0 -11.8 15.3 -20.0 2.1 16.1 -2.7 11.6 -3.0 7.4 1.1 20.0 20.0 19.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -20.0 -2.2 -1.0 1.6 1.2 1.1 1.0 -1.1 1.5 -11.6 -12.3 -12.7 -10.8 -11.9 -9.8 -7.8 0.1 -7.1 -4.5 -12.6 -11.4 -19.5 -12.3 -17.6 -20.0 -3.3 -5.0 -2.0 -6.0 -1.9 -5.3 -8.1 -20.0 -20.0 -8.4 -12.2 -20.0 -13.5 -7.7 4.7 SP400 -20.0 -16.2 10.4 0.1 3.0 3.4 -0.6 4.1 -2.2 11.6 11.3 -4.3 11.5 -7.0 1.9 -4.7 -5.3 -5.1 -5.2 0.8 10.2 0.7 12.1 -4.9 -11.7 1.1 3.8 4.6 0.4 5.2 -1.3 1.0 5.2 -0.6 3.2 0.2 -14.1 -10.3 -11.9 -20.0 SP500_micro -20.0 -20.0 2.8 0.1 3.0 3.5 -0.6 4.1 -2.3 10.9 13.1 -2.9 14.4 -5.5 4.9 -11.3 -11.7 -12.3 -12.3 0.6 12.3 -0.3 17.6 -5.7 -19.3 0.7 3.4 5.7 -0.3 8.1 -2.1 -10.6 6.5 -1.4 -0.8 9.0 -2.9 -3.8 4.2 -4.1 SUGAR11 -20.0 -14.2 -16.0 2.0 1.4 1.4 1.2 -1.3 1.9 -8.5 -13.0 -14.7 -0.5 -15.1 -13.6 2.5 15.1 8.0 12.0 -20.0 -17.0 -14.9 -6.2 -20.0 -20.0 -5.4 -1.5 -4.2 -3.6 -1.5 -5.5 19.4 -13.6 -20.0 -20.0 -20.0 20.0 9.3 20.0 20.0 US10 -7.7 -15.0 -9.3 -2.3 3.1 -1.5 0.4 -1.2 -1.8 7.4 -3.1 -2.7 -4.6 -6.9 -8.1 -4.7 -7.4 -6.2 -7.1 -8.7 -6.9 1.2 -6.6 -6.1 2.3 -2.5 3.4 -1.6 0.6 -1.4 -1.8 -7.4 0.6 -2.5 -1.2 1.6 -20.0 -20.0 -4.4 3.3 US10U -8.5 -14.9 -9.3 -3.3 4.6 -2.2 0.6 -1.8 -2.6 10.8 -4.2 -4.8 -6.4 -10.2 -11.9 -5.5 -1.5 -4.0 -2.5 -12.8 -10.1 0.5 -10.2 -9.5 0.1 -3.6 4.5 -2.3 0.5 -2.1 -2.9 2.1 -1.6 -2.8 -0.7 3.8 -19.5 -20.0 19.6 11.5 US2 -7.5 -16.2 -16.3 -2.2 3.0 -1.4 0.4 -1.2 -1.7 6.7 -7.2 -2.9 -7.6 -6.9 -8.3 -20.0 -20.0 -20.0 -20.0 -11.1 -9.9 0.4 -9.9 -7.4 11.0 -2.6 2.5 -2.0 0.2 -1.7 -1.9 -20.0 0.3 -4.7 -4.4 -4.3 -19.3 -20.0 -14.9 -20.0 US20 -10.2 -16.0 -6.6 -2.4 3.3 -1.6 0.4 -1.3 -1.9 8.1 -0.7 -3.3 -3.0 -7.2 -8.2 -0.3 -0.7 -0.2 -0.4 -8.4 -6.0 0.5 -6.3 -6.6 -0.9 -2.3 3.5 -1.2 0.5 -1.2 -2.0 4.4 -1.3 -1.0 0.7 5.2 -20.0 -15.3 20.0 17.5 US30 -10.6 -14.9 -5.7 -2.9 3.9 -1.9 0.5 -1.5 -2.2 8.3 -2.0 -5.3 -4.7 -9.1 -10.1 -1.4 -5.2 -4.0 -5.1 -10.1 -7.4 -1.2 -8.2 -8.5 -0.4 -2.9 3.3 -1.5 -0.1 -1.7 -2.8 -3.8 -4.9 -1.6 0.5 6.4 -17.9 -13.4 20.0 20.0 US5 -7.6 -15.9 -12.9 -2.4 3.2 -1.6 0.4 -1.2 -1.8 7.5 -5.6 -3.0 -6.1 -7.3 -8.6 -8.4 -10.0 -9.3 -9.7 -10.1 -8.3 1.4 -7.6 -6.8 5.0 -2.7 3.3 -1.8 0.6 -1.4 -1.9 -11.8 1.8 -4.0 -2.7 -1.0 -17.7 -20.0 -9.2 -7.6 VIX -1.4 10.2 13.8 -4.7 -9.4 -6.8 -8.4 -10.7 -5.7 -17.4 -19.7 -18.1 -20.0 -15.5 -14.4 -20.0 -20.0 -20.0 -20.0 -8.5 -14.2 -16.3 -20.0 -11.3 NaN -5.4 -10.8 -7.9 -9.6 -13.0 -6.7 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 19.1 20.0 10.2 2.4 1.7 1.7 1.4 -1.5 2.2 14.7 -2.5 14.7 -16.8 15.5 7.8 -19.3 -13.5 -17.6 -15.4 11.2 -3.5 20.0 -17.3 20.0 1.7 3.5 7.3 -1.0 7.8 -3.8 7.3 -20.0 20.0 20.0 20.0 -16.0 -5.7 -20.0 0.5 -20.0 End of report for caleb_strategy_v3