******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240724_203939 produced at 2024-07-24 21:38:24.475995 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 VIX False False 0.01 -0.35 -0.25 0.0 999.00 -999.00 -0.35 -0.30 -41.76 999999999.0 -58 -50 caleb_strategy_v3 CAD False False 0.02 -0.05 -0.15 0.0 0.68 -0.68 -0.05 -0.09 -6.31 29.0 -2 -4 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.03 -0.12 0.0 0.47 -0.47 -0.03 -0.03 -3.93 16.0 -1 -1 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.12 0.0 0.00 0.00 0.00 0.00 -3.34 24.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.07 -0.05 0.0 0.10 -0.10 -0.07 -0.03 -1.42 3.0 -2 -1 caleb_strategy_v3 BOBL False False 0.04 -0.04 -0.05 0.0 0.77 -0.77 -0.04 0.00 -1.35 19.0 -1 0 caleb_strategy_v3 OAT False False 0.04 0.00 -0.05 0.0 0.43 -0.43 0.00 0.00 -1.13 10.0 0 0 caleb_strategy_v3 DX False False 0.03 0.00 -0.04 0.0 999.00 -999.00 0.00 0.00 -1.24 999999999.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.12 -0.12 -0.06 -0.06 -3.51 11.0 -5 -5 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.04 0.0 0.08 -0.08 -0.05 -0.03 -6.60 12.0 -7 -5 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.04 0.0 999.00 -999.00 0.00 -0.03 -1.23 999999999.0 0 -1 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.04 0.0 0.33 -0.33 0.00 0.00 -1.09 8.0 0 0 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.04 0.0 0.40 -0.40 -0.02 -0.02 -1.86 21.0 -1 -1 caleb_strategy_v3 CAC True False 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.69 12.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.03 0.0 0.05 -0.05 -0.02 -0.03 -17.05 26.0 -12 -15 caleb_strategy_v3 EUROSTX False False 0.02 -0.05 -0.03 0.0 0.34 -0.34 -0.05 -0.05 -1.60 20.0 -3 -3 caleb_strategy_v3 MXP False False 0.01 0.01 -0.03 0.0 0.52 -0.52 0.01 -0.03 -3.20 60.0 1 -3 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.02 0.0 0.28 -0.28 -0.01 -0.02 -1.66 23.0 -1 -2 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.07 -0.07 -0.02 -0.02 -1.68 8.0 -2 -2 caleb_strategy_v3 JPY False False 0.03 -0.05 -0.02 0.0 0.45 -0.45 -0.05 -0.05 -0.82 17.0 -2 -2 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.02 0.0 0.12 -0.12 0.00 0.00 -2.44 18.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.07 -0.02 0.0 0.12 -0.12 -0.07 -0.07 -1.11 7.0 -4 -4 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -1.49 9.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.08 -0.08 -0.03 -0.04 -1.69 9.0 -3 -4 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -9.76 59.0 0 0 caleb_strategy_v3 BTP False False 0.04 -0.12 -0.02 0.0 0.41 -0.41 -0.12 -0.08 -0.53 10.0 -3 -2 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -0.82 4.0 -1 -1 caleb_strategy_v3 CHF False False 0.05 -0.05 -0.02 0.0 0.59 -0.59 -0.05 0.00 -0.53 13.0 -1 0 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.02 0.0 0.16 -0.16 -0.01 -0.01 -6.78 51.0 -3 -3 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.46 -0.46 0.00 0.00 -0.26 10.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.01 -0.01 0.0 0.42 -0.42 0.01 -0.04 -1.34 48.0 1 -5 caleb_strategy_v3 BUXL False False 0.05 -0.05 -0.01 0.0 0.18 -0.18 -0.05 -0.05 -0.27 4.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.01 -0.01 0.0 0.08 -0.08 -0.01 0.00 -0.85 10.0 -1 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.04 -0.01 0.0 0.13 -0.13 -0.04 -0.03 -0.78 13.0 -4 -3 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.01 0.0 0.15 -0.15 -0.02 -0.02 -0.65 10.0 -1 -1 caleb_strategy_v3 LUMBER-new False False 0.00 -0.01 -0.01 0.0 0.01 -0.01 -0.01 -0.01 -3.14 3.0 -2 -2 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.21 2.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -2.17 2.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.07 -0.01 0.0 0.29 -0.29 0.07 0.01 -0.78 36.0 9 1 caleb_strategy_v3 RICE False False 0.01 0.00 -0.00 0.0 0.04 -0.04 0.00 0.00 -0.47 4.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.17 -0.17 0.00 0.00 0.11 6.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.10 0.00 0.0 0.19 -0.19 0.10 0.10 0.02 2.0 1 1 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.24 -0.24 0.00 0.00 -0.02 6.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.60 -0.60 0.00 0.00 0.17 26.0 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 0.28 999999999.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.09 13.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.15 0.01 0.0 0.48 -0.48 0.15 0.15 0.19 13.0 4 4 caleb_strategy_v3 OJ False True 0.02 0.02 0.01 0.0 0.02 0.00 0.02 0.02 0.41 3.0 1 1 caleb_strategy_v3 US10 False False 0.04 0.00 0.01 0.0 0.60 -0.60 0.00 0.00 0.16 17.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.31 -0.31 0.01 0.01 0.64 23.0 1 1 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.07 -0.07 0.00 0.00 0.41 5.0 0 0 caleb_strategy_v3 US5 False False 0.03 0.03 0.01 0.0 0.86 -0.86 0.03 0.03 0.26 25.0 1 1 caleb_strategy_v3 DAX False False 0.01 0.01 0.01 0.0 0.37 -0.37 0.01 0.01 1.33 58.0 1 1 caleb_strategy_v3 DOW False False 0.01 0.03 0.01 0.0 0.43 -0.43 0.03 0.01 1.52 66.0 4 1 caleb_strategy_v3 US20 False True 0.04 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.21 9.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.02 0.0 0.24 -0.24 0.00 0.00 5.17 68.0 0 0 caleb_strategy_v3 EUR False False 0.04 0.00 0.03 0.0 0.61 -0.61 0.00 0.00 0.77 14.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.03 0.0 0.44 -0.44 0.00 0.02 3.80 56.0 0 2 caleb_strategy_v3 GASOLINE False False 0.03 0.06 0.03 0.0 999.00 -999.00 0.06 0.03 0.85 999999999.0 2 1 caleb_strategy_v3 AUD False False 0.02 0.06 0.04 0.0 0.41 -0.41 0.06 0.04 1.97 19.0 3 2 caleb_strategy_v3 CRUDE_W False False 0.02 0.07 0.07 0.0 0.12 -0.12 0.07 0.05 3.11 5.0 3 2 caleb_strategy_v3 GBP False False 0.03 0.08 0.09 0.0 0.57 -0.57 0.08 0.08 3.56 22.0 3 3 caleb_strategy_v3 SMI False True 0.04 0.00 0.11 0.0 0.00 0.00 0.00 0.00 2.60 9.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.10 0.11 0.0 0.41 -0.41 0.10 0.10 4.63 17.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.00 0.20 0.0 0.85 -0.85 0.00 0.00 2.33 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 0.65 0.0 0.00 0.00 0.00 0.00 8.34 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 10.2 Shocked risk 31.2 Sum abs risk 35.8 Leverage 2.98 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3115751.56, 'annual_cash_vol_target': 778937.89, 'daily_cash_vol_target': 48683.618125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0034 0.6693 0.5073 8.1161 BITCOIN 1776.1159 66620.0000 2.6660 42.6566 BOBL 0.2430 116.6900 0.2082 3.3315 BTP 0.5309 117.7100 0.4511 7.2169 BUND 0.5020 132.0000 0.3803 6.0854 BUXL 1.2435 130.0600 0.9561 15.2977 CAC 67.4497 7495.5000 0.8999 14.3979 CAD 0.0023 0.7252 0.3226 5.1615 CANOLA 9.3054 674.1000 1.3804 22.0867 CHF 0.0050 1.1362 0.4385 7.0166 COCOA 274.1271 7207.0000 3.8036 60.8580 COFFEE 4.5374 229.6000 1.9762 31.6197 COPPER 0.0588 4.0840 1.4408 23.0534 CORN 6.1416 417.7500 1.4702 23.5225 COTTON2 1.0110 68.6900 1.4718 23.5484 CRUDE_W 0.9383 75.0800 1.2498 19.9962 DAX 148.1542 18456.0000 0.8027 12.8439 DOW 273.5699 40212.0000 0.6803 10.8851 DX 0.3380 104.1400 0.3246 5.1936 EUR 0.0041 1.0865 0.3752 6.0034 EURIBOR-ICE 0.0462 97.5950 0.0473 0.7573 EUROSTX 46.5471 4869.0000 0.9560 15.2958 FEEDCOW 1.7001 255.7250 0.6648 10.6372 GASOIL 10.4883 753.7500 1.3915 22.2638 GASOLINE 0.0311 2.2218 1.4019 22.4309 GAS_US_mini 0.0911 2.2700 4.0129 64.2059 GBP 0.0054 1.2910 0.4207 6.7311 GOLD_micro 20.7177 2433.1000 0.8515 13.6239 HEATOIL 0.0331 2.4789 1.3360 21.3764 JGB-SGX-mini 0.2303 142.5100 0.1616 2.5859 JPY 0.0000 0.0065 0.6712 10.7398 LEANHOG 1.2550 78.0500 1.6080 25.7276 LIVECOW 1.1876 186.3250 0.6374 10.1984 LUMBER-new 9.2642 502.5000 1.8436 29.4980 MILK 0.2495 21.1600 1.1790 18.8639 MXP 0.0005 0.0540 0.9225 14.7600 NASDAQ_micro 213.6424 19233.0000 1.1108 17.7730 NIKKEI 435.8094 38160.0000 1.1421 18.2729 NZD 0.0035 0.5924 0.5868 9.3891 OAT 0.4894 124.2000 0.3941 6.3050 OATIES 6.7330 324.5000 2.0749 33.1984 OJ 8.1638 423.7500 1.9266 30.8250 PALLAD 22.4721 921.5000 2.4386 39.0183 PLAT 14.8553 961.0000 1.5458 24.7330 REDWHEAT 10.8352 583.7500 1.8561 29.6982 RICE 0.1570 14.9000 1.0535 16.8565 ROBUSTA 75.9180 4172.0000 1.8197 29.1152 RUSSELL 27.3731 2228.5000 1.2283 19.6531 SHATZ 0.0821 105.8250 0.0776 1.2415 SILVER-mini 0.5105 29.6250 1.7231 27.5699 SMI 80.0845 12203.0000 0.6563 10.5003 SOFR 0.0589 96.4800 0.0610 0.9763 SOYBEAN 13.2561 1063.0000 1.2470 19.9528 SOYMEAL 4.7109 319.8000 1.4731 23.5694 SOYOIL 0.7593 43.9800 1.7265 27.6243 SP400 29.3440 3037.8000 0.9660 15.4554 SP500_micro 39.3914 5481.0000 0.7187 11.4990 SUGAR11 0.2907 18.2700 1.5911 25.4582 US10 0.3601 110.6406 0.3255 5.2077 US10U 0.5061 113.9688 0.4441 7.1057 US2 0.0870 102.5430 0.0849 1.3578 US20 0.7866 118.0938 0.6661 10.6574 US30 1.2133 124.1875 0.9770 15.6315 US5 0.2263 107.2656 0.2110 3.3759 VIX 0.4638 18.8000 2.4673 39.4765 WHEAT 10.7056 571.5000 1.8732 29.9719 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 669.30 0.51 339.51 1.00 339.51 48683.62 143.40 5.28 75.75 BITCOIN 66.62 2.67 177.61 1.00 177.61 48683.62 274.10 -3.29 -90.14 BOBL 1166.90 0.21 242.97 1.09 264.52 48683.62 184.04 -7.21 -132.68 BTP 1177.10 0.45 530.94 1.09 578.03 48683.62 84.22 -1.84 -15.47 BUND 1320.00 0.38 502.05 1.09 546.58 48683.62 89.07 -2.93 -26.11 BUXL 1300.60 0.96 1243.51 1.09 1353.81 48683.62 35.96 -7.29 -26.22 CAC 749.55 0.90 674.50 1.09 734.33 48683.62 66.30 -7.46 -49.49 CAD 725.25 0.32 233.96 1.00 233.96 48683.62 208.09 -11.68 -243.07 CANOLA 134.82 1.38 186.11 0.73 135.20 48683.62 360.09 -7.74 -278.63 CHF 1420.19 0.44 622.81 1.00 622.81 48683.62 78.17 -2.62 -20.47 COCOA 720.70 3.80 2741.27 1.00 2741.27 48683.62 17.76 4.53 8.05 COFFEE 861.00 1.98 1701.54 1.00 1701.54 48683.62 28.61 3.31 9.47 COPPER 1021.00 1.44 1471.09 1.00 1471.09 48683.62 33.09 -3.42 -11.32 CORN 208.88 1.47 307.08 1.00 307.08 48683.62 158.54 -17.10 -271.09 COTTON2 343.45 1.47 505.48 1.00 505.48 48683.62 96.31 -17.02 -163.90 CRUDE_W 750.80 1.25 938.32 1.00 938.32 48683.62 51.88 5.54 28.74 DAX 184.56 0.80 148.15 1.09 161.30 48683.62 301.83 1.30 39.09 DOW 201.06 0.68 136.78 1.00 136.78 48683.62 355.91 1.84 65.48 DX 1041.40 0.32 338.04 1.00 338.04 48683.62 144.02 -3.31 -47.62 EUR 1358.12 0.38 509.59 1.00 509.59 48683.62 95.54 3.10 29.66 EURIBOR-ICE 2439.88 0.05 115.48 1.09 125.72 48683.62 387.23 1.76 68.17 EUROSTX 486.90 0.96 465.47 1.09 506.76 48683.62 96.07 -4.89 -46.97 FEEDCOW 1278.62 0.66 850.06 1.00 850.06 48683.62 57.27 -5.74 -32.85 GASOIL 753.75 1.39 1048.83 1.00 1048.83 48683.62 46.42 -4.10 -19.01 GASOLINE 933.16 1.40 1308.22 1.00 1308.22 48683.62 37.21 5.25 19.56 GAS_US_mini 56.75 4.01 227.73 1.00 227.73 48683.62 213.78 -7.37 -157.46 GBP 806.88 0.42 339.45 1.00 339.45 48683.62 143.42 9.57 137.20 GOLD_micro 243.31 0.85 207.18 1.00 207.18 48683.62 234.99 4.74 111.41 HEATOIL 1041.14 1.34 1390.98 1.00 1390.98 48683.62 35.00 -9.39 -32.85 JGB-SGX-mini 142510.00 0.16 23032.37 0.01 147.35 48683.62 330.39 -1.10 -36.32 JPY 818.00 0.67 549.07 1.00 549.07 48683.62 88.67 -3.55 -31.50 LEANHOG 312.20 1.61 502.01 1.00 502.01 48683.62 96.98 -1.32 -12.77 LIVECOW 745.30 0.64 475.05 1.00 475.05 48683.62 102.48 13.63 139.66 LUMBER-new 138.19 1.84 254.77 1.00 254.77 48683.62 191.09 -7.68 -146.81 MILK 423.20 1.18 498.95 1.00 498.95 48683.62 97.57 1.98 19.36 MXP 269.75 0.92 248.85 1.00 248.85 48683.62 195.64 -1.11 -21.80 NASDAQ_micro 384.66 1.11 427.28 1.00 427.28 48683.62 113.94 -6.25 -71.26 NIKKEI 38160.00 1.14 43580.94 0.01 278.82 48683.62 174.61 -0.41 -7.24 NZD 592.45 0.59 347.66 1.00 347.66 48683.62 140.03 -5.12 -71.66 OAT 1242.00 0.39 489.42 1.09 532.84 48683.62 91.37 -3.63 -33.15 OATIES 162.25 2.07 336.65 1.00 336.65 48683.62 144.61 -6.16 -89.01 OJ 635.62 1.93 1224.57 1.00 1224.57 48683.62 39.76 4.84 19.23 PALLAD 921.50 2.44 2247.21 1.00 2247.21 48683.62 21.66 -2.81 -6.09 PLAT 480.50 1.55 742.76 1.00 742.76 48683.62 65.54 -2.93 -19.20 REDWHEAT 291.88 1.86 541.76 1.00 541.76 48683.62 89.86 -14.09 -126.62 RICE 298.00 1.05 313.95 1.00 313.95 48683.62 155.07 -1.26 -19.52 ROBUSTA 417.20 1.82 759.18 1.00 759.18 48683.62 64.13 8.51 54.59 RUSSELL 111.42 1.23 136.87 1.00 136.87 48683.62 355.70 4.39 156.13 SHATZ 1058.25 0.08 82.11 1.09 89.40 48683.62 544.57 -6.05 -329.67 SILVER-mini 740.62 1.72 1276.18 1.00 1276.18 48683.62 38.15 2.12 8.08 SMI 1220.30 0.66 800.84 1.12 900.39 48683.62 54.07 14.12 76.34 SOFR 2412.00 0.06 147.17 1.00 147.17 48683.62 330.80 4.15 137.17 SOYBEAN 531.50 1.25 662.81 1.00 662.81 48683.62 73.45 -16.25 -119.39 SOYMEAL 319.80 1.47 471.09 1.00 471.09 48683.62 103.34 -15.48 -160.02 SOYOIL 263.88 1.73 455.59 1.00 455.59 48683.62 106.86 -8.59 -91.81 SP400 3037.80 0.97 2934.40 1.00 2934.40 48683.62 16.59 0.28 0.47 SP500_micro 274.05 0.72 196.96 1.00 196.96 48683.62 247.18 -2.33 -57.50 SUGAR11 204.62 1.59 325.58 1.00 325.58 48683.62 149.53 -7.68 -114.79 US10 1106.41 0.33 360.11 1.00 360.11 48683.62 135.19 0.94 12.66 US10U 1139.69 0.44 506.14 1.00 506.14 48683.62 96.19 1.59 15.32 US2 2050.86 0.08 174.04 1.00 174.04 48683.62 279.73 0.27 7.49 US20 1180.94 0.67 786.61 1.00 786.61 48683.62 61.89 2.71 16.80 US30 1241.88 0.98 1213.27 1.00 1213.27 48683.62 40.13 -0.36 -1.43 US5 1072.66 0.21 226.33 1.00 226.33 48683.62 215.10 0.96 20.66 VIX 188.00 2.47 463.85 1.00 463.85 48683.62 104.96 -16.12 -169.17 WHEAT 285.75 1.87 535.28 1.00 535.28 48683.62 90.95 -14.00 -127.33 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 75.751 0.010 2.5 1.965 BITCOIN -90.138 0.043 2.5 -9.761 BOBL -132.678 0.004 2.5 -1.345 BTP -15.474 0.014 2.5 -0.528 BUND -26.112 0.004 2.5 -0.265 BUXL -26.216 0.004 2.5 -0.266 CAC -49.485 0.014 2.5 -1.688 CAD -243.073 0.010 2.5 -6.307 CANOLA -278.631 0.010 2.5 -6.779 CHF -20.472 0.010 2.5 -0.531 COCOA 8.053 0.009 2.5 0.172 COFFEE 9.471 0.005 2.5 0.111 COPPER -11.317 0.043 2.5 -1.225 CORN -271.093 0.010 2.5 -6.595 COTTON2 -163.899 0.009 2.5 -3.510 CRUDE_W 28.739 0.043 2.5 3.112 DAX 39.094 0.014 2.5 1.333 DOW 65.482 0.009 2.5 1.522 DX -47.615 0.010 2.5 -1.235 EUR 29.656 0.010 2.5 0.769 EURIBOR-ICE 68.168 0.014 2.5 2.325 EUROSTX -46.966 0.014 2.5 -1.602 FEEDCOW -32.847 0.013 2.5 -1.088 GASOIL -19.010 0.017 2.5 -0.824 GASOLINE 19.555 0.017 2.5 0.848 GAS_US_mini -157.459 0.043 2.5 -17.051 GBP 137.196 0.010 2.5 3.560 GOLD_micro 111.407 0.014 2.5 3.800 HEATOIL -32.855 0.017 2.5 -1.424 JGB-SGX-mini -36.324 0.043 2.5 -3.933 JPY -31.502 0.010 2.5 -0.817 LEANHOG -12.770 0.024 2.5 -0.776 LIVECOW 139.656 0.013 2.5 4.628 LUMBER-new -146.806 0.009 2.5 -3.143 MILK 19.358 0.009 2.5 0.415 MXP -21.801 0.059 2.5 -3.200 NASDAQ_micro -71.260 0.009 2.5 -1.656 NIKKEI -7.243 0.043 2.5 -0.784 NZD -71.656 0.010 2.5 -1.859 OAT -33.145 0.014 2.5 -1.131 OATIES -89.012 0.010 2.5 -2.166 OJ 19.230 0.009 2.5 0.412 PALLAD -6.093 0.014 2.5 -0.208 PLAT -19.199 0.014 2.5 -0.655 REDWHEAT -126.624 0.005 2.5 -1.680 RICE -19.524 0.010 2.5 -0.475 ROBUSTA 54.593 0.005 2.5 0.638 RUSSELL 156.131 0.013 2.5 5.174 SHATZ -329.674 0.004 2.5 -3.343 SILVER-mini 8.077 0.014 2.5 0.275 SMI 76.344 0.014 2.5 2.604 SOFR 137.168 0.024 2.5 8.336 SOYBEAN -119.391 0.004 2.5 -1.110 SOYMEAL -160.019 0.004 2.5 -1.488 SOYOIL -91.808 0.004 2.5 -0.855 SP400 0.472 0.013 2.5 0.016 SP500_micro -57.497 0.009 2.5 -1.336 SUGAR11 -114.785 0.009 2.5 -2.441 US10 12.657 0.005 2.5 0.160 US10U 15.321 0.005 2.5 0.194 US2 7.490 0.005 2.5 0.095 US20 16.797 0.005 2.5 0.213 US30 -1.433 0.005 2.5 -0.018 US5 20.663 0.005 2.5 0.262 VIX -169.169 0.099 2.5 -41.758 WHEAT -127.334 0.005 2.5 -1.689 ===================== Position diags ===================== AUD 3.72 BITCOIN 29.68 BOBL 1.87 BTP 2.87 BUND 0.90 BUXL 0.36 CAC 2.26 CAD 5.40 CANOLA 8.76 CHF 2.03 COCOA 0.38 COFFEE 0.33 COPPER 3.58 CORN 3.86 COTTON2 2.06 CRUDE_W 5.62 DAX 10.29 DOW 8.27 DX 3.74 EUR 2.48 EURIBOR-ICE 13.21 EUROSTX 3.28 FEEDCOW 1.90 GASOIL 2.01 GASOLINE 1.61 GAS_US_mini 23.15 GBP 3.72 GOLD_micro 8.01 HEATOIL 1.52 JGB-SGX-mini 35.78 JPY 2.30 LEANHOG 5.89 LIVECOW 3.40 LUMBER-new 4.09 MILK 2.09 MXP 28.71 NASDAQ_micro 2.65 NIKKEI 18.91 NZD 3.63 OAT 3.12 OATIES 3.52 OJ 0.85 PALLAD 0.74 PLAT 2.24 REDWHEAT 1.19 RICE 3.77 ROBUSTA 0.75 RUSSELL 11.79 SHATZ 5.52 SILVER-mini 1.30 SMI 1.84 SOFR 20.10 SOYBEAN 0.68 SOYMEAL 0.96 SOYOIL 0.99 SP400 0.55 SP500_micro 5.74 SUGAR11 3.18 US10 1.71 US10U 1.22 US2 3.54 US20 0.78 US30 0.51 US5 2.73 VIX 25.91 WHEAT 1.21 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 2.0 1.6 2.3 3.0 3 BITCOIN -9.8 -12.7 -6.8 0.0 0 BOBL -1.3 -1.5 -1.2 -1.0 -1 BTP -0.5 -0.8 -0.2 -3.0 -3 BUND -0.3 -0.4 -0.2 0.0 0 BUXL -0.3 -0.3 -0.2 -1.0 -1 CAC -1.7 -1.9 -1.5 0.0 0 CAD -6.3 -6.8 -5.8 -2.0 -2 CANOLA -6.8 -7.7 -5.9 -3.0 -3 CHF -0.5 -0.7 -0.3 -1.0 -1 COCOA 0.2 0.1 0.2 0.0 0 COFFEE 0.1 0.1 0.1 0.0 0 COPPER -1.2 -1.6 -0.9 0.0 0 CORN -6.6 -7.0 -6.2 -7.0 -7 COTTON2 -3.5 -3.7 -3.3 -5.0 -5 CRUDE_W 3.1 2.6 3.7 3.0 3 DAX 1.3 0.3 2.4 1.0 1 DOW 1.5 0.7 2.3 4.0 4 DX -1.2 -1.6 -0.9 0.0 0 EUR 0.8 0.5 1.0 0.0 0 EURIBOR-ICE 2.3 1.0 3.6 0.0 0 EUROSTX -1.6 -1.9 -1.3 -3.0 -3 FEEDCOW -1.1 -1.3 -0.9 0.0 0 GASOIL -0.8 -1.0 -0.6 -1.0 -1 GASOLINE 0.8 0.7 1.0 2.0 2 GAS_US_mini -17.1 -19.4 -14.7 -12.0 -12 GBP 3.6 3.2 3.9 3.0 3 GOLD_micro 3.8 3.0 4.6 0.0 0 HEATOIL -1.4 -1.6 -1.3 -2.0 -2 JGB-SGX-mini -3.9 -7.5 -0.4 -1.0 -1 JPY -0.8 -1.0 -0.6 -2.0 -2 LEANHOG -0.8 -1.4 -0.2 -4.0 -4 LIVECOW 4.6 4.3 5.0 4.0 4 LUMBER-new -3.1 -3.6 -2.7 -2.0 -2 MILK 0.4 0.2 0.6 NaN 0 MXP -3.2 -6.1 -0.3 1.0 1 NASDAQ_micro -1.7 -1.9 -1.4 -1.0 -1 NIKKEI -0.8 -2.7 1.1 9.0 9 NZD -1.9 -2.2 -1.5 -1.0 -1 OAT -1.1 -1.4 -0.8 0.0 0 OATIES -2.2 -2.5 -1.8 NaN 0 OJ 0.4 0.3 0.5 1.0 1 PALLAD -0.2 -0.3 -0.1 0.0 0 PLAT -0.7 -0.9 -0.4 -1.0 -1 REDWHEAT -1.7 -1.8 -1.6 -2.0 -2 RICE -0.5 -0.9 -0.1 NaN 0 ROBUSTA 0.6 0.6 0.7 1.0 1 RUSSELL 5.2 4.0 6.4 0.0 0 SHATZ -3.3 -3.9 -2.8 NaN 0 SILVER-mini 0.3 0.1 0.4 0.0 0 SMI 2.6 2.4 2.8 0.0 0 SOFR 8.3 6.3 10.3 NaN 0 SOYBEAN -1.1 -1.2 -1.0 -4.0 -4 SOYMEAL -1.5 -1.6 -1.4 0.0 0 SOYOIL -0.9 -1.0 -0.8 -1.0 -1 SP400 0.0 -0.0 0.1 1.0 1 SP500_micro -1.3 -1.9 -0.8 1.0 1 SUGAR11 -2.4 -2.8 -2.1 0.0 0 US10 0.2 -0.0 0.3 0.0 0 US10U 0.2 0.1 0.3 4.0 4 US2 0.1 -0.3 0.4 NaN 0 US20 0.2 0.1 0.3 0.0 0 US30 -0.0 -0.1 0.0 0.0 0 US5 0.3 -0.0 0.5 1.0 1 VIX -41.8 -44.3 -39.2 -58.0 -58 WHEAT -1.7 -1.8 -1.6 -3.0 -3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 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 0.2 0.2 0.3 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.2 0.1 -0.0 -0.1 0.1 0.2 -0.0 -0.1 -0.0 -0.1 0.1 0.1 -0.0 0.0 0.1 0.5 0.1 -0.1 0.1 -0.0 0.1 0.1 -0.0 -0.5 0.2 0.3 0.6 0.2 -0.2 0.3 -0.0 BITCOIN 0.1 -0.6 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.1 0.2 0.2 0.4 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 0.2 0.4 0.1 -2.7 -0.0 0.0 0.1 0.1 0.4 0.0 -0.2 0.5 0.6 0.6 0.0 -0.7 -0.2 -0.2 -0.0 BOBL 0.2 0.4 -0.1 0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 -0.2 0.1 -0.2 0.1 0.0 -0.4 -0.3 -0.4 -0.3 0.0 -0.0 0.0 -0.2 0.0 0.6 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.0 0.1 -0.1 -0.1 -0.1 -0.7 -0.6 -0.4 -0.4 BTP 0.6 0.1 -0.1 0.0 -0.0 0.0 0.0 -0.1 0.0 -0.1 0.1 0.1 0.4 0.1 0.1 0.0 0.1 0.0 0.1 0.1 0.0 0.1 0.1 0.1 -2.7 0.0 -0.0 0.1 0.0 0.1 0.1 0.6 0.1 0.4 -0.3 0.0 -0.6 -0.5 -0.2 0.1 BUND 0.2 0.3 -0.1 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.2 0.1 -0.1 0.0 0.0 0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.3 0.1 -0.1 -0.1 -0.0 -0.7 -0.7 -0.3 -0.4 BUXL 0.1 0.1 -0.1 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 -0.2 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 -0.2 -0.3 -0.1 -0.7 -0.7 -0.5 -0.4 CAC 0.1 -0.6 -0.6 0.1 -0.0 0.2 0.0 0.2 0.0 -0.1 -0.0 -0.1 0.3 -0.2 -0.2 -0.2 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.1 -0.1 -1.2 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.4 -0.1 -0.6 -0.6 -0.6 0.1 0.2 0.0 0.3 CAD -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.2 -0.5 -0.2 -0.6 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.3 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.2 -0.1 -0.1 -0.5 -0.6 -0.2 -0.2 0.2 -0.2 -0.1 -0.2 CANOLA 0.5 -0.2 0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.0 -0.2 -0.2 -0.3 -0.3 -0.0 -0.0 0.1 -0.2 0.0 -2.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 0.5 0.3 -0.2 -0.1 -0.1 -0.4 0.2 -0.1 CHF 0.2 0.4 0.0 -0.0 -0.1 -0.0 -0.0 0.0 0.0 0.1 -0.4 0.1 -0.5 0.1 0.0 -0.3 -0.3 -0.3 -0.3 0.0 -0.1 0.1 -0.3 0.1 0.8 0.0 0.1 -0.1 0.1 -0.2 0.1 -1.1 0.5 0.1 0.6 0.0 0.3 -0.4 -0.0 -0.4 COCOA -0.1 -0.4 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 0.0 0.1 -0.0 -0.0 0.4 0.3 0.4 0.4 0.0 0.0 0.0 0.2 -0.0 -2.4 0.0 0.0 0.1 0.0 0.3 -0.0 1.1 0.0 0.0 0.3 0.3 0.5 0.2 0.6 0.3 COFFEE 0.1 0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.4 0.0 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 -0.0 0.4 0.1 -2.7 0.1 -0.1 0.2 -0.0 0.3 0.0 0.4 -0.4 0.4 0.6 0.6 -0.0 -0.4 0.3 -0.1 COPPER -0.3 -0.5 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.2 -0.1 -1.5 -0.0 -0.1 0.0 -0.1 0.1 -0.0 0.3 -0.5 -0.2 -0.1 0.5 0.2 0.0 0.5 0.4 CORN -0.2 -0.6 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.3 -0.0 -0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.0 -0.3 -0.1 -1.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.1 -0.6 -0.5 -0.2 -0.5 -0.4 -0.5 -0.1 COTTON2 -0.1 -0.3 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 -0.1 -0.4 -0.2 -0.2 -0.2 -0.0 -0.1 -0.1 -0.2 -0.2 -0.1 -0.4 -0.1 -2.7 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.3 -0.4 -0.3 0.0 -0.6 -0.2 -0.3 0.3 -0.0 CRUDE_W -0.3 0.2 -0.2 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 0.3 -0.2 0.6 0.1 0.1 0.3 0.3 0.3 0.3 0.0 0.1 -0.2 0.3 -0.1 -0.5 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.5 -0.3 0.0 -0.2 -0.1 0.7 0.7 0.7 0.7 DAX 0.1 -0.6 -0.3 0.1 -0.0 0.2 0.0 0.2 0.0 -0.0 0.3 -0.0 0.5 -0.0 -0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.0 0.4 -0.0 1.5 0.0 -0.0 0.2 -0.0 0.4 -0.0 -0.4 0.0 -0.4 -0.6 -0.3 0.2 0.1 -0.2 0.2 DOW 0.5 0.2 -0.2 0.1 -0.0 0.1 0.0 0.2 0.0 -0.1 0.3 0.0 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.0 0.3 0.1 -1.6 0.0 -0.0 0.1 0.0 0.2 0.1 -0.5 0.5 0.3 -0.1 -0.2 0.5 -0.0 0.3 -0.1 DX -0.6 -0.1 0.0 -0.0 -0.1 -0.0 -0.0 0.0 0.0 0.1 0.4 -0.1 0.6 -0.1 -0.0 0.1 0.1 0.1 0.1 -0.0 0.1 -0.1 0.3 -0.1 -2.7 -0.0 0.0 0.1 -0.1 0.2 -0.1 0.9 -0.4 -0.6 -0.1 0.5 -0.3 0.2 -0.3 0.3 EUR 0.5 0.0 0.0 -0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.2 -0.3 0.1 -0.4 0.1 0.1 -0.2 -0.1 -0.2 -0.1 0.1 -0.0 0.0 -0.1 0.1 2.7 0.0 -0.1 0.0 0.0 -0.0 0.1 -0.4 0.2 0.6 0.1 0.2 0.0 -0.6 -0.1 -0.5 EURIBOR-ICE 0.5 0.4 -0.2 0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 0.0 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -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 -0.1 -0.7 -0.7 -0.3 0.1 EUROSTX -0.1 -0.6 -0.4 0.1 -0.0 0.1 0.0 0.2 0.0 -0.1 0.3 -0.1 0.5 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.1 0.4 -0.1 -0.3 -0.0 -0.1 0.1 -0.1 0.4 -0.1 0.3 -0.3 -0.6 -0.6 -0.4 -0.1 0.1 -0.5 0.0 FEEDCOW -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.4 -0.2 -0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -1.1 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -1.1 -0.1 -0.3 0.3 0.1 0.1 0.7 0.3 0.7 GASOIL -0.3 0.2 -0.4 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.1 -0.2 0.5 0.0 -0.0 -0.0 0.2 -0.0 0.1 -0.0 -0.0 -0.2 0.2 -0.1 0.7 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.0 0.0 0.1 0.2 -0.2 -0.7 -0.5 -0.7 -0.7 GASOLINE -0.1 0.1 -0.3 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 0.2 -0.2 0.5 0.1 -0.0 0.4 0.4 0.4 0.4 -0.0 0.0 -0.1 0.3 -0.1 -2.7 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 1.1 0.1 0.3 0.1 -0.2 0.7 0.7 0.7 0.7 GAS_US_mini -0.6 -0.3 0.6 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.2 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.4 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.1 -0.3 -0.2 0.2 -0.1 -0.3 -0.3 -0.6 GBP 0.5 0.2 0.2 -0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.1 0.5 0.2 0.3 0.2 0.2 -0.0 -0.0 -0.0 -0.0 0.2 0.1 0.1 0.2 0.2 0.0 0.1 -0.0 0.2 0.0 0.2 0.1 0.2 0.5 0.6 0.6 0.6 0.1 -0.7 0.1 -0.4 GOLD_micro 0.4 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.2 0.0 0.4 0.0 0.1 -0.2 -0.3 -0.2 -0.3 0.1 0.1 0.0 0.3 0.1 -0.5 0.0 -0.0 0.1 0.0 0.2 0.0 -0.7 0.5 0.6 0.6 0.5 0.2 -0.2 0.5 0.0 HEATOIL -0.3 0.2 -0.4 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.2 0.2 0.0 -0.0 -0.1 0.2 -0.1 0.0 -0.1 -0.0 -0.2 0.1 -0.1 -2.7 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.3 0.1 0.1 -0.1 -0.5 0.0 0.2 -0.3 0.1 JGB-SGX-mini 0.1 0.1 -0.4 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 -0.2 -0.0 -0.1 -0.0 -0.1 0.4 0.4 0.4 0.4 -0.0 -0.1 -0.0 -0.1 -0.0 -1.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 1.1 -0.2 -0.4 -0.3 -0.4 -0.1 -0.1 0.1 0.6 JPY 0.6 0.1 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 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 0.1 -0.4 0.1 2.7 -0.0 0.1 -0.1 0.1 -0.2 0.0 -1.1 0.5 0.3 -0.1 -0.5 -0.7 -0.5 -0.7 -0.4 LEANHOG 0.5 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 0.1 -0.3 -0.0 -0.1 0.4 -0.1 0.4 0.4 -0.2 -0.2 0.1 -0.3 -0.0 0.5 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.3 0.5 0.2 -0.2 -0.6 -0.2 -0.3 -0.1 0.1 LIVECOW -0.1 0.5 0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 0.5 0.1 0.3 0.2 0.2 -0.0 0.2 0.2 0.3 0.2 0.2 0.1 0.3 0.2 -1.6 0.1 0.1 0.2 0.0 0.2 0.1 0.8 0.4 0.3 0.6 0.6 0.0 0.7 0.2 0.7 LUMBER-new 0.4 -0.2 -0.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.2 0.0 -0.3 -0.1 -0.1 -0.3 -0.4 -0.4 -0.4 -0.1 -0.1 0.0 -0.2 -0.0 NaN -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.2 0.2 0.3 0.0 -0.7 0.0 -0.2 0.2 -0.1 MILK -0.1 0.1 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.2 0.1 -0.1 -0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.1 0.0 0.1 2.2 0.0 0.0 0.1 0.0 -0.0 0.0 -1.1 0.1 0.2 0.6 0.6 -0.2 -0.7 -0.1 -0.7 MXP 0.4 -0.4 -0.6 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.0 0.1 -0.0 -0.0 0.2 0.3 0.2 0.3 -0.1 -0.0 -0.1 0.0 -0.0 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.2 0.0 -0.6 -0.4 0.5 0.4 0.7 0.7 NASDAQ_micro -0.6 -0.0 0.0 0.0 -0.0 0.1 0.0 0.2 0.0 -0.1 0.3 -0.1 0.5 0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.2 -0.1 0.4 -0.0 -2.7 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.4 -0.5 -0.6 0.2 0.3 0.0 0.2 -0.2 0.2 NIKKEI -0.0 -0.1 -0.2 0.1 -0.0 0.1 0.0 0.2 0.0 -0.1 0.3 -0.1 0.5 -0.0 0.1 0.3 0.2 0.2 0.2 0.1 0.1 -0.2 0.5 -0.0 -2.3 0.0 -0.1 0.1 -0.1 0.2 0.0 1.1 -0.5 -0.2 -0.1 -0.2 0.2 -0.2 -0.1 -0.3 NZD -0.4 -0.1 0.2 -0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.2 -0.1 -0.2 -0.1 -0.2 0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.2 0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.3 -0.5 -0.6 -0.4 0.2 0.3 -0.2 0.3 0.0 OAT 0.5 -0.0 -0.3 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 -0.2 0.1 -0.1 0.0 -0.0 -0.0 0.1 0.0 0.0 -0.0 -0.1 0.0 -0.1 0.0 0.3 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.6 -0.1 0.0 -0.4 -0.2 -0.7 -0.6 -0.3 -0.1 OATIES 0.3 -0.6 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 0.0 0.0 0.0 0.0 -0.1 -0.1 0.0 -0.2 -0.0 -2.7 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 0.3 0.1 -0.3 -0.1 0.1 -0.0 0.4 0.3 OJ -0.1 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 0.3 -0.0 0.4 -0.0 0.1 0.2 0.2 0.2 0.2 0.1 0.2 -0.0 0.5 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.3 -0.0 0.8 -0.5 0.1 0.0 0.6 0.4 0.3 0.7 0.7 PALLAD -0.0 0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.0 1.9 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.1 0.3 0.4 -0.1 -0.7 -0.7 -0.7 -0.7 PLAT -0.2 -0.3 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.0 -0.1 1.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.2 -0.1 0.1 0.3 -0.6 -0.3 -0.2 0.1 REDWHEAT -0.3 -0.6 0.4 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.2 -0.0 -0.4 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.0 -0.2 -0.1 -0.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.7 -0.1 -0.3 -0.6 0.2 -0.5 -0.7 -0.3 -0.6 RICE -0.6 -0.6 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.3 -0.1 0.5 -0.1 0.1 0.3 0.4 0.4 0.4 -0.1 0.0 -0.0 0.3 -0.2 -1.5 -0.0 0.1 0.0 0.0 0.1 -0.0 1.1 0.0 -0.4 0.4 0.6 -0.6 -0.3 -0.7 -0.2 ROBUSTA 0.3 0.1 -0.2 -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 0.0 0.5 0.1 -2.7 0.0 -0.0 0.1 0.0 0.2 0.0 1.1 -0.2 0.6 0.6 0.6 0.1 -0.2 0.4 0.1 RUSSELL 0.6 0.1 -0.0 0.0 -0.0 0.1 0.0 0.2 0.0 0.0 0.2 0.1 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.1 0.2 -0.1 0.0 0.0 0.1 0.0 0.1 0.1 -0.1 0.5 0.6 0.2 0.0 0.1 -0.7 0.0 -0.7 SHATZ 0.2 0.6 0.1 0.0 -0.0 0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.3 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.0 -0.0 0.0 -0.2 0.0 0.9 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 0.2 -0.0 0.1 -0.1 -0.7 -0.5 -0.6 -0.4 SILVER-mini -0.1 -0.1 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.2 -0.1 0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.1 0.2 -0.0 0.3 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 -0.2 0.2 0.2 0.5 0.0 -0.2 0.2 0.2 SMI -0.0 -0.0 0.5 0.1 -0.0 0.2 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 0.2 0.2 0.0 0.5 0.1 2.1 0.1 -0.0 0.3 0.0 0.3 0.1 0.6 0.4 -0.2 -0.1 0.4 0.2 0.1 -0.1 0.0 SOFR 0.4 0.5 0.2 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.0 -0.1 0.1 -0.5 0.0 -0.0 0.1 0.0 0.0 0.0 0.2 0.0 -0.0 0.2 0.2 0.3 -0.5 0.7 0.1 SOYBEAN -0.1 -0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.3 -0.1 -0.3 -0.1 -0.1 -0.1 0.1 -0.0 0.0 -0.2 -0.1 -0.0 -0.2 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 -0.5 -0.6 -0.3 -0.4 -0.7 -0.2 -0.7 SOYMEAL -0.4 -0.6 0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.3 -0.1 -0.3 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.2 -0.1 -0.0 -0.2 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.3 -0.0 -0.6 -0.4 0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.2 0.3 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.0 -0.0 0.1 0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.3 0.2 0.2 -0.2 -0.4 -0.5 -0.0 -0.1 SP400 0.5 -0.2 -0.2 0.0 -0.0 0.1 0.0 0.2 0.0 -0.0 0.2 0.1 0.4 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.1 -1.5 0.0 -0.0 0.1 0.0 0.1 0.1 0.1 0.5 0.4 -0.1 -0.1 0.2 -0.3 0.1 -0.7 SP500_micro -0.5 0.0 0.1 0.1 -0.0 0.2 0.0 0.2 0.0 -0.1 0.5 -0.1 0.7 0.1 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 -0.1 0.5 0.1 -2.7 0.1 -0.1 0.2 -0.0 0.3 0.0 -0.6 -0.5 -0.5 0.4 0.4 0.3 0.1 0.0 0.1 SUGAR11 -0.4 0.5 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.2 -0.4 -0.1 -0.1 -0.1 0.2 -0.0 0.1 -0.1 -0.1 -0.2 -0.3 -0.2 -2.7 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.4 -0.5 -0.2 0.6 -0.5 0.1 0.7 0.2 0.7 US10 0.3 0.4 0.2 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.1 0.1 0.4 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.4 -0.1 -0.1 0.1 0.1 0.2 -0.6 0.5 0.1 US10U 0.2 0.4 0.3 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 -0.1 -0.1 -0.1 0.1 0.0 -0.0 -0.2 0.0 0.0 0.0 -0.0 0.1 -0.0 -0.0 0.0 0.0 -0.1 -0.3 0.0 0.1 0.2 -0.5 0.7 0.4 US2 0.6 0.6 0.1 0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 -0.2 0.1 -0.4 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 -0.0 0.1 -0.3 0.1 2.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 0.2 0.2 0.1 -0.1 0.1 -0.7 0.2 -0.4 US20 0.1 0.3 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 -0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.0 0.1 -0.0 0.0 0.0 0.2 -0.2 -0.3 0.0 0.1 0.1 -0.3 0.7 0.6 US30 -0.0 0.2 0.3 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 0.1 -0.0 0.0 -0.0 -0.2 -0.2 -0.4 -0.0 0.1 0.0 -0.3 0.4 0.6 US5 0.4 0.5 0.2 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 -0.1 0.1 -0.3 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.0 0.0 -0.2 0.1 0.9 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.6 0.0 0.0 0.1 0.1 0.2 -0.7 0.4 -0.1 VIX 0.4 0.5 -0.1 -0.1 0.2 -0.4 0.1 -0.7 -0.0 0.2 -0.9 0.1 -1.2 -0.1 -0.3 -0.6 -0.6 -0.6 -0.6 -0.2 -0.3 0.1 -0.9 -0.0 NaN -0.1 0.2 -0.5 0.1 -0.9 -0.0 NaN NaN NaN NaN NaN -0.8 -1.1 NaN NaN WHEAT -0.3 -0.6 0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.0 -0.2 -0.1 0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.2 -0.2 -0.6 0.2 -0.5 -0.7 -0.4 -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 6.5 6.0 8.9 0.7 -4.2 -0.9 3.8 0.6 3.9 -20.0 4.1 -0.0 -2.0 11.9 19.3 -2.2 -2.7 -2.4 -2.5 11.8 8.6 -3.4 1.4 8.6 3.9 6.7 -12.4 5.2 -2.6 1.9 4.7 -0.0 -20.0 6.8 9.5 19.8 7.3 -5.6 8.7 -1.2 BITCOIN 4.5 -20.0 -10.8 -5.6 -4.8 -2.7 -5.9 -0.5 -6.5 11.4 6.8 14.2 12.5 -0.2 -5.5 -6.3 -7.3 -6.9 -7.3 -1.7 5.2 17.8 15.8 6.7 -20.0 -0.5 4.8 3.8 7.0 9.8 2.4 -3.3 20.0 20.0 20.0 1.2 -19.6 -7.1 -5.3 -0.8 BOBL 5.6 12.7 -3.3 1.8 -1.7 0.4 0.6 -1.1 2.1 3.2 -6.9 6.2 -6.5 5.2 0.2 -20.0 -12.7 -20.0 -15.7 0.9 -3.1 4.1 -5.9 3.9 4.2 0.8 1.7 -1.0 2.4 -2.0 2.3 -18.1 6.1 -2.6 -1.8 -3.3 -20.0 -17.0 -10.8 -12.1 BTP 17.3 1.6 -4.1 3.0 -2.9 0.7 1.0 -1.8 3.5 -8.5 2.7 12.1 9.9 11.6 4.7 1.1 4.2 1.5 2.6 5.3 3.3 7.9 5.3 10.4 -20.0 3.1 -1.3 2.3 4.0 3.5 5.5 11.7 4.4 12.0 -8.9 0.3 -18.9 -15.3 -4.6 2.7 BUND 5.0 8.9 -2.1 1.9 -1.8 0.4 0.6 -1.1 2.2 -1.2 -6.3 6.1 -3.3 4.5 0.8 5.5 0.5 2.0 -0.0 1.0 -1.8 2.9 -3.9 3.3 1.0 1.0 -0.2 -0.1 1.8 -0.8 2.2 5.6 2.9 -3.9 -3.7 -1.2 -20.0 -20.0 -9.9 -13.0 BUXL 2.9 4.3 -2.4 2.2 -2.1 0.5 0.7 -1.3 2.6 -6.6 -7.6 4.5 -2.9 -0.7 -3.5 -0.5 -2.6 -2.4 -3.1 -1.3 -3.0 0.2 -5.0 0.7 -2.9 -0.2 -3.3 -0.4 -0.1 -0.8 0.6 0.8 -2.2 -7.4 -8.3 -1.9 -20.0 -20.0 -15.3 -11.7 CAC 2.7 -20.0 -20.0 5.4 -3.9 5.8 0.3 5.8 4.0 -12.9 -1.5 -8.8 8.9 -14.6 -14.1 -9.0 -1.3 -5.3 -2.2 -13.3 -5.5 -9.7 5.4 -11.9 -9.1 -4.6 -4.5 -1.2 -3.1 2.9 -4.2 8.3 -5.4 -20.0 -20.0 -20.0 4.2 6.1 0.9 8.7 CAD -1.7 0.6 -2.9 -0.3 -11.8 -1.2 -4.4 0.5 0.2 -20.0 -18.9 -20.0 -17.0 -12.6 -11.2 -4.6 -3.1 -4.1 -3.6 -7.3 -8.5 -20.0 -10.7 -12.7 -1.2 -5.3 -20.0 -5.2 -18.9 -6.0 -10.0 -1.1 -20.0 -20.0 -7.3 -7.0 6.5 -6.6 -2.7 -4.8 CANOLA 15.2 -5.4 13.9 -2.1 -0.3 -1.4 -0.4 -0.9 -1.5 6.3 -3.4 5.9 -6.5 0.7 -1.1 -11.5 -10.3 -13.8 -13.6 -0.5 -2.9 10.8 -5.6 4.2 -18.1 -1.5 4.4 -2.0 3.3 -2.7 0.3 -20.0 20.0 8.9 -5.4 -2.1 -2.1 -13.0 6.5 -4.1 CHF 5.6 11.3 1.2 -0.2 -9.4 -1.0 -3.5 0.4 0.1 6.2 -14.5 7.9 -13.9 5.8 2.8 -17.4 -16.7 -17.4 -17.0 1.5 -7.1 9.6 -10.5 7.0 5.8 2.0 6.7 -2.5 6.8 -4.2 5.2 -20.0 20.0 2.7 20.0 0.2 9.2 -11.9 -1.4 -12.0 COCOA -1.7 -11.5 -12.2 -1.6 -0.2 -1.1 -0.3 -0.7 -1.2 1.7 2.3 2.6 3.7 -2.7 -2.3 20.0 16.3 19.9 19.7 0.1 4.3 1.1 7.8 -0.6 -18.3 1.0 0.7 4.8 0.4 8.4 -0.0 20.0 1.3 1.2 8.6 10.0 14.5 4.9 18.6 9.2 COFFEE 3.2 3.4 6.1 -4.1 -0.5 -2.8 -0.7 -1.7 -3.0 -13.4 13.8 2.1 13.1 7.3 12.9 3.0 6.7 4.4 6.1 15.1 17.5 -2.2 15.4 8.8 -20.0 4.9 -7.4 7.7 -2.0 8.5 2.0 7.7 -18.3 13.0 20.0 20.0 -0.0 -10.7 8.4 -3.4 COPPER -10.2 -14.4 2.7 -2.8 -2.3 -1.3 -2.9 -0.3 -3.2 -9.4 1.6 -9.3 3.1 -9.1 -4.1 -0.5 -2.5 -0.1 -1.2 -4.9 3.4 -20.0 6.7 -13.0 -11.3 -1.9 -5.7 0.8 -5.3 2.0 -4.1 6.0 -20.0 -6.8 -4.3 15.5 5.9 1.5 15.1 10.5 CORN -6.1 -20.0 1.6 -2.7 -0.3 -1.8 -0.5 -1.1 -2.0 9.4 -9.5 -4.3 -10.9 -9.5 -10.0 -15.8 -13.1 -16.9 -16.5 -15.6 -12.8 -1.7 -11.3 -12.0 -8.5 -3.5 1.4 -2.8 -0.5 -2.4 -2.9 -20.0 5.1 -20.0 -15.8 -7.1 -15.8 -13.3 -14.2 -2.0 COTTON2 -2.9 -7.8 -20.0 -3.7 -0.5 -2.5 -0.7 -1.5 -2.7 -13.5 -15.2 -13.8 -12.3 -14.3 -15.6 -11.4 -0.5 -6.4 -2.8 -17.1 -19.4 -13.0 -14.5 -12.1 -20.0 -4.7 -7.5 -4.5 -4.5 -1.7 -3.3 -6.3 -15.0 -8.8 1.4 -20.0 -5.7 -8.9 9.9 -1.0 CRUDE_W -9.4 5.1 -7.5 -3.2 -10.5 -0.5 -11.5 2.2 -7.3 -20.0 11.8 -20.0 16.4 4.8 7.6 15.6 12.8 14.6 13.7 0.9 6.5 -20.0 11.2 -11.1 -4.0 -4.2 -13.7 -1.7 -12.3 2.6 -7.2 8.5 -12.6 1.2 -4.9 -4.5 20.0 20.0 20.0 20.0 DAX 4.1 -18.7 -7.9 5.4 -3.9 5.8 0.3 5.9 4.1 -5.1 11.2 -4.2 15.1 -2.8 -3.6 -9.0 -11.1 -10.0 -10.8 0.6 7.2 -2.3 14.1 -1.0 11.2 0.8 -2.6 6.8 -1.5 12.0 -0.9 -8.1 1.0 -13.6 -20.0 -9.6 6.8 4.3 -5.3 6.5 DOW 14.1 4.8 -6.4 4.9 -3.5 5.3 0.3 5.4 3.7 -9.3 11.1 1.7 13.6 7.8 7.3 -11.1 -11.3 -11.5 -11.6 11.2 9.6 4.8 12.0 13.0 -12.1 4.5 -3.2 4.1 2.6 5.2 5.3 -8.9 20.0 10.1 -3.6 -5.9 14.2 -1.3 10.0 -3.8 DX -17.5 -3.1 0.3 -0.3 -10.6 -1.1 -4.0 0.5 0.2 12.6 14.9 -11.7 16.3 -11.1 -4.0 7.3 7.0 7.4 7.2 -4.0 5.1 -8.8 9.7 -11.9 -20.0 -2.5 1.6 2.2 -4.9 4.6 -6.6 16.8 -14.7 -20.0 -3.7 14.0 -8.1 6.3 -8.7 9.6 EUR 14.7 1.4 1.3 -0.3 -11.1 -1.1 -4.2 0.5 0.2 -17.8 -9.8 9.4 -11.1 11.2 8.4 -7.6 -7.2 -7.5 -7.3 5.0 -1.2 1.7 -4.6 8.9 20.0 3.6 -8.1 0.9 0.9 -0.4 5.4 -7.8 9.1 20.0 3.2 6.4 1.2 -18.5 -1.6 -16.4 EURIBOR-ICE 15.6 12.7 -6.9 1.6 -1.5 0.4 0.5 -0.9 1.8 3.9 -4.1 6.8 0.0 7.2 1.7 -3.1 -4.7 -4.5 -4.5 3.4 -0.3 6.9 -1.1 7.2 11.8 1.5 1.7 0.1 3.1 -0.1 3.2 -2.0 9.6 5.4 1.2 -3.8 -20.0 -20.0 -8.9 2.1 EUROSTX -2.3 -20.0 -13.9 5.1 -3.7 5.5 0.3 5.6 3.8 -10.6 11.6 -10.1 14.9 -8.5 -6.7 -4.7 -2.6 -5.4 -4.2 -3.1 5.3 -10.7 13.5 -7.6 -2.0 -1.4 -7.3 5.3 -6.5 11.3 -4.7 5.2 -14.2 -20.0 -20.0 -11.5 -3.1 1.6 -14.8 1.4 FEEDCOW -8.9 -0.6 -1.4 -5.6 -0.7 -3.8 -1.0 -2.3 -4.1 -8.3 5.1 -13.8 -3.8 -13.2 0.5 0.8 -20.0 -10.2 -19.0 -5.7 -3.6 -10.1 -1.3 -9.4 -8.5 -3.4 -4.0 -2.4 -4.4 1.1 -4.2 -20.0 -3.7 -10.0 10.0 2.3 2.0 20.0 9.6 20.0 GASOIL -8.9 5.8 -12.3 -2.9 -9.5 -0.4 -10.4 2.0 -6.6 -11.1 2.9 -19.2 13.0 0.2 -3.9 -2.1 11.0 -0.3 4.6 -3.9 -0.3 -19.5 7.0 -11.3 5.5 -2.3 -7.5 -0.7 -10.0 2.4 -5.8 0.1 0.4 4.1 7.0 -4.9 -20.0 -14.3 -20.0 -20.0 GASOLINE -4.4 2.9 -10.1 -3.1 -10.0 -0.5 -10.9 2.1 -6.9 -17.4 8.8 -19.2 14.9 6.5 -2.5 20.0 20.0 20.0 20.0 -0.9 3.7 -15.9 11.1 -6.9 -20.0 -3.3 -8.8 -1.0 -8.6 4.0 -5.0 20.0 3.6 10.2 1.7 -5.4 20.0 20.0 20.0 20.0 GAS_US_mini -20.0 -10.3 20.0 -1.6 -5.1 -0.2 -5.6 1.1 -3.6 -5.1 -9.9 -9.9 -11.1 -11.4 -9.3 -11.9 -20.0 -20.0 -20.0 -10.2 -7.7 -9.9 -13.8 -13.7 20.0 -2.4 -1.9 -2.0 -3.1 -3.6 -3.9 -20.0 4.8 -9.6 -5.6 5.9 -2.9 -8.5 -8.8 -16.5 GBP 15.7 7.0 6.7 -0.3 -11.7 -1.2 -4.4 0.5 0.2 -16.2 17.8 14.2 8.2 17.2 20.0 -0.8 -0.8 -0.8 -0.8 18.4 12.6 10.3 8.6 20.0 0.1 7.7 -1.7 5.8 4.3 4.2 8.2 3.2 20.0 20.0 20.0 20.0 3.7 -20.0 2.1 -12.3 GOLD_micro 12.4 -0.7 2.2 -3.3 -2.8 -1.6 -3.5 -0.3 -3.9 -6.5 9.2 3.1 9.8 3.9 5.6 -11.6 -13.4 -11.8 -12.5 7.9 10.5 2.3 11.9 6.8 -4.0 1.2 -1.8 4.1 0.1 6.3 0.9 -13.1 20.0 20.0 19.6 16.7 6.2 -5.8 14.5 0.6 HEATOIL -8.9 6.4 -11.0 -3.0 -9.9 -0.4 -10.8 2.1 -6.9 -13.5 -3.2 -20.0 6.6 1.3 -4.2 -7.0 9.1 -5.3 0.7 -4.8 -3.2 -17.9 2.3 -11.0 -20.0 -4.8 -4.9 -4.0 -7.6 0.2 -5.7 -4.9 2.5 3.0 -2.1 -16.2 0.5 7.0 -8.9 2.7 JGB-SGX-mini 3.0 4.3 -13.4 1.7 -1.6 0.4 0.6 -1.0 2.0 -7.6 -6.0 -1.1 -2.1 -3.2 -5.6 20.0 19.0 20.0 19.9 -4.4 -5.4 -4.3 -3.5 -2.8 -9.1 -2.2 -4.5 -3.0 -2.2 -2.7 -1.4 20.0 -8.4 -10.8 -8.6 -13.4 -3.2 -4.3 2.3 17.8 JPY 20.0 4.5 9.1 -0.1 -5.3 -0.5 -2.0 0.2 0.1 10.0 -10.8 9.2 -11.8 1.3 -6.7 -14.5 -16.2 -15.3 -15.6 -4.9 -11.8 13.2 -16.1 4.8 20.0 -1.7 7.0 -4.3 5.4 -5.6 2.2 -20.0 20.0 10.3 -3.0 -15.9 -20.0 -13.8 -20.0 -12.9 LEANHOG 14.5 -18.2 -20.0 -3.4 -0.4 -2.3 -0.6 -1.4 -2.5 12.8 -9.4 11.0 -7.2 -3.5 -10.7 20.0 -3.9 20.0 20.0 -15.8 -15.6 16.1 -10.5 -1.9 4.1 -3.6 6.1 -3.4 4.0 -2.0 -0.2 5.4 20.0 6.6 -7.5 -20.0 -6.4 -9.0 -1.5 3.2 LIVECOW -3.7 16.4 12.6 -5.8 -0.7 -3.9 -1.0 -2.4 -4.2 19.2 19.4 5.1 8.5 15.8 19.5 -1.2 9.3 10.6 12.8 20.0 18.8 12.5 12.4 15.5 -12.1 7.4 7.8 7.3 4.5 6.6 5.0 15.7 17.3 10.7 20.0 20.0 1.1 20.0 5.9 20.0 LUMBER-new 10.0 -4.1 -18.2 -2.2 -0.3 -1.5 -0.4 -0.8 -1.6 2.9 -8.0 3.5 -7.8 -4.6 -7.9 -14.2 -17.1 -16.2 -17.0 -8.2 -9.8 2.1 -7.4 -2.4 NaN -2.5 0.4 -3.7 1.1 -2.9 -0.1 -20.0 6.7 7.7 0.2 -20.0 0.6 -5.9 6.4 -2.8 MILK -2.0 4.2 20.0 -3.6 -0.4 -2.4 -0.6 -1.5 -2.6 13.0 9.2 10.4 -2.0 -0.3 10.2 -20.0 -20.0 -20.0 -20.0 10.7 11.6 8.2 1.1 6.2 16.1 3.4 4.2 3.9 2.5 -0.1 1.5 -20.0 3.6 4.7 20.0 20.0 -6.7 -20.0 -2.7 -20.0 MXP 13.2 -12.1 -20.0 -0.1 -5.3 -0.5 -2.0 0.2 0.1 -9.9 -2.7 -2.0 3.8 -2.4 -4.1 10.2 15.2 11.8 13.4 -5.0 -4.4 -6.0 1.8 -2.3 -20.0 -2.2 -4.2 -1.7 -1.9 0.6 -1.2 20.0 -9.7 0.8 -20.0 -12.8 16.5 13.4 20.0 20.0 NASDAQ_micro -20.0 -0.5 0.7 4.0 -2.9 4.3 0.2 4.3 3.0 -10.8 11.9 -9.2 13.4 2.2 9.5 -10.8 -10.9 -11.4 -11.2 9.7 14.1 -15.5 15.3 -1.6 -20.0 3.1 -7.3 4.6 -4.7 5.4 -0.5 -8.1 -20.0 -20.0 5.7 9.3 1.4 5.7 -6.3 5.1 NIKKEI -0.3 -1.7 -6.9 5.0 -3.6 5.3 0.3 5.4 3.7 -15.3 12.5 -10.8 14.6 -0.2 5.3 14.3 10.4 12.0 10.4 8.3 12.9 -20.0 18.2 -2.1 -17.5 3.3 -13.0 4.8 -6.9 6.8 0.1 20.0 -20.0 -7.2 -2.2 -6.9 5.7 -4.7 -4.0 -9.2 NZD -12.4 -4.5 4.9 -0.2 -8.9 -0.9 -3.3 0.4 0.1 -17.6 -2.8 -18.4 -1.9 -16.6 1.0 -0.2 0.1 -0.0 0.1 -6.2 -0.9 -20.0 -1.3 -16.8 0.4 -3.3 -16.2 -0.4 -13.5 -0.1 -8.4 4.7 -20.0 -20.0 -10.9 6.0 8.3 -5.2 8.3 0.5 OAT 14.8 -1.3 -8.5 2.1 -2.0 0.5 0.7 -1.2 2.4 -7.2 -7.9 5.8 -3.5 3.2 -4.0 -0.6 4.0 0.5 2.1 -2.2 -4.9 1.0 -5.1 2.1 1.9 -1.0 -3.7 -2.0 0.4 -1.5 1.1 11.2 -2.3 0.4 -12.9 -6.3 -20.0 -19.3 -8.9 -3.3 OATIES 9.1 -20.0 2.7 -2.2 -0.3 -1.5 -0.4 -0.9 -1.6 3.3 -6.8 5.0 -7.7 -6.1 -7.2 1.4 0.7 0.8 1.8 -8.5 -8.2 3.7 -6.6 -3.1 -20.0 -2.1 0.8 -1.6 0.8 -1.1 -1.1 -1.6 11.3 2.3 -10.3 -1.6 3.1 -1.2 13.1 10.1 OJ -3.0 -7.2 -2.6 -3.3 -0.4 -2.2 -0.6 -1.4 -2.4 -11.4 9.8 -3.0 11.8 -0.3 7.5 8.8 12.2 9.4 9.8 10.1 15.2 -4.8 18.5 2.6 -20.0 2.8 -3.7 5.5 -2.1 8.6 -0.1 15.0 -20.0 3.9 1.0 20.0 11.1 10.4 20.0 20.0 PALLAD -1.4 3.2 3.1 -2.5 -2.1 -1.2 -2.7 -0.2 -3.0 -4.8 -6.3 -6.7 -8.3 -4.3 -5.2 -1.4 -2.1 -1.7 -1.9 -2.9 -4.1 -7.0 -8.6 -4.5 14.3 -2.2 -1.8 -2.4 -3.1 -3.3 -2.5 6.0 -6.2 9.9 11.4 -1.7 -20.0 -20.0 -20.0 -20.0 PLAT -7.3 -7.9 8.4 -3.6 -3.1 -1.7 -3.9 -0.4 -4.3 -11.2 0.1 -11.9 -3.6 -10.1 -3.5 -5.2 -4.3 -5.1 -4.8 -2.4 1.9 -14.0 1.6 -8.4 7.6 -3.1 -5.5 -0.6 -6.0 0.5 -5.1 1.5 -7.9 -3.8 4.0 9.5 -18.3 -9.4 -6.1 2.6 REDWHEAT -7.8 -20.0 12.2 -3.1 -0.4 -2.1 -0.6 -1.3 -2.3 0.5 -7.6 -4.1 -10.2 -11.5 -10.8 -10.4 -4.5 -9.6 -7.2 -14.5 -9.1 -5.2 -9.2 -13.6 -5.2 -3.3 -0.1 -1.9 -1.2 -1.7 -3.2 -13.4 -4.0 -8.5 -20.0 6.9 -16.2 -20.0 -10.3 -17.5 RICE -20.0 -19.6 6.7 -4.5 -0.6 -3.0 -0.8 -1.9 -3.3 10.7 9.9 -8.1 13.6 -12.9 7.3 13.2 20.0 20.0 20.0 -9.0 2.5 -4.3 10.2 -14.0 -11.4 -1.5 6.0 1.5 0.2 3.0 -3.2 20.0 0.9 -13.2 11.4 20.0 -19.0 -9.2 -19.6 -7.5 ROBUSTA 7.7 4.6 -6.4 -2.6 -0.3 -1.8 -0.5 -1.1 -1.9 -7.5 10.1 5.4 10.2 7.3 9.3 20.0 20.0 20.0 20.0 15.4 18.1 2.6 19.2 11.4 -20.0 3.9 -2.3 5.3 0.8 6.6 2.8 20.0 -8.1 20.0 20.0 20.0 3.5 -6.0 10.5 3.5 RUSSELL 20.0 4.5 -0.6 3.9 -2.8 4.2 0.2 4.2 2.9 4.3 8.5 8.6 9.3 7.8 6.2 -6.7 -6.8 -7.1 -7.0 11.0 6.5 16.6 5.0 17.3 -0.9 3.8 1.9 2.4 4.5 1.8 5.2 -0.9 20.0 20.0 6.2 0.4 3.4 -20.0 0.6 -20.0 SHATZ 5.6 20.0 3.4 1.6 -1.5 0.4 0.5 -0.9 1.8 6.7 -6.2 6.3 -7.3 5.3 2.1 -20.0 -20.0 -20.0 -20.0 1.7 -3.6 4.9 -8.5 4.6 7.0 1.0 2.5 -1.2 2.3 -2.8 2.2 -20.0 9.3 -1.3 3.0 -4.1 -20.0 -14.8 -16.9 -11.3 SILVER-mini -2.7 -2.4 10.4 -3.0 -2.6 -1.5 -3.2 -0.3 -3.5 -10.3 7.0 -8.0 6.8 -5.9 3.7 -5.6 -6.4 -5.9 -6.2 3.3 8.5 -10.2 8.6 -3.6 2.4 -1.1 -4.7 2.1 -4.5 3.4 -3.3 -1.5 -8.4 7.4 5.2 15.8 0.0 -7.2 6.5 5.1 SMI -1.0 -0.7 15.4 6.0 -4.3 6.5 0.3 6.6 4.5 -10.1 18.9 5.9 18.3 11.6 17.4 -3.9 0.8 -3.3 -1.3 17.9 20.0 4.6 20.0 11.7 15.5 7.1 -2.4 9.5 2.1 9.1 4.8 10.8 14.9 -7.1 -2.1 13.8 5.3 2.1 -2.1 0.1 SOFR 11.2 16.7 7.5 2.3 -2.2 0.5 0.8 -1.4 2.7 -5.6 0.1 7.8 -2.6 10.6 10.1 -1.0 -1.3 -2.0 -1.8 9.0 3.6 3.4 -2.1 8.8 -3.7 3.6 -0.8 2.5 0.5 0.7 2.6 3.2 0.8 -0.9 6.6 4.8 8.2 -14.2 20.0 3.3 SOYBEAN -4.4 -19.5 -0.8 -2.7 -0.3 -1.8 -0.5 -1.1 -2.0 4.8 -9.9 -5.7 -7.3 -9.3 -10.0 -2.7 5.6 -1.6 0.7 -14.1 -11.1 -4.4 -8.1 -12.5 -20.0 -3.6 1.1 -2.6 -1.0 -1.7 -3.2 1.6 -5.4 -16.5 -17.3 -8.1 -11.8 -20.0 -5.8 -20.0 SOYMEAL -12.1 -20.0 5.7 -2.8 -0.4 -1.9 -0.5 -1.2 -2.1 9.9 -10.5 -5.0 -9.6 -9.7 -10.3 4.1 7.0 6.3 5.2 -14.3 -11.0 -2.7 -8.6 -12.6 -20.0 -3.1 2.1 -1.9 -0.5 -1.2 -3.1 6.1 -0.3 -19.7 -13.4 4.5 -20.0 -20.0 -20.0 -20.0 SOYOIL 5.3 7.9 4.8 -2.3 -0.3 -1.5 -0.4 -0.9 -1.6 -5.7 -5.9 -5.0 -8.2 -3.1 -3.7 6.1 0.8 2.2 -0.1 -1.4 -3.8 -3.9 -6.4 -1.9 -20.0 -1.5 -2.0 -2.3 -1.9 -2.7 -1.3 -3.9 -11.3 5.1 6.3 -6.2 -13.1 -13.9 -1.5 -2.0 SP400 15.6 -4.7 -7.4 4.3 -3.1 4.6 0.2 4.7 3.2 -5.2 9.0 4.6 10.9 4.1 2.9 -4.5 -5.8 -5.6 -5.8 6.2 6.1 7.8 8.3 9.8 -11.0 4.0 -0.2 3.5 3.7 3.8 5.0 0.9 20.0 13.3 -3.4 -4.5 4.8 -9.5 2.9 -20.0 SP500_micro -15.3 1.4 3.8 6.0 -4.3 6.5 0.3 6.6 4.5 -15.2 20.0 -8.3 20.0 10.2 17.4 -14.4 -12.9 -14.4 -13.7 19.6 20.0 -13.2 20.0 6.3 -20.0 6.4 -10.2 8.3 -4.5 9.2 2.0 -11.8 -20.0 -16.4 11.3 12.8 10.5 2.2 0.1 2.2 SUGAR11 -11.2 15.5 -10.0 -3.9 -0.5 -2.6 -0.7 -1.6 -2.8 -14.6 -12.4 -14.6 -10.0 -6.8 -9.2 -4.6 8.7 -1.6 3.0 -7.7 -11.2 -20.0 -10.2 -14.1 -20.0 -2.5 -11.5 -4.2 -9.1 -3.9 -4.3 6.9 -20.0 -7.6 20.0 -15.5 2.0 20.0 7.1 20.0 US10 8.9 13.8 7.4 2.0 -1.9 0.5 0.6 -1.2 2.3 -7.8 -1.5 5.1 -5.3 8.1 7.4 -7.2 -7.4 -7.1 -7.1 5.3 1.1 0.7 -4.8 5.1 2.7 2.6 -2.3 1.7 -0.5 -0.3 1.6 -6.7 -2.7 -3.2 2.8 2.9 4.8 -19.1 14.0 2.8 US10U 6.0 11.8 8.0 2.6 -2.5 0.6 0.9 -1.6 3.0 -10.9 -3.0 5.8 -6.7 9.8 9.1 -4.3 -2.9 -4.7 -4.0 5.0 0.6 -1.0 -6.6 4.4 0.2 3.1 -4.2 2.2 -1.5 -0.4 1.4 0.0 -6.1 -7.8 1.5 3.3 5.3 -15.5 20.0 11.6 US2 19.8 18.7 1.9 2.1 -2.0 0.5 0.7 -1.2 2.4 0.0 -6.2 6.9 -10.0 9.3 5.3 -20.0 -20.0 -20.0 -20.0 6.8 -2.5 6.6 -12.1 10.4 16.3 2.4 1.1 -0.1 2.0 -2.6 3.3 -20.0 9.0 6.5 4.4 -2.5 2.4 -20.0 6.1 -11.4 US20 2.1 8.9 8.4 1.7 -1.6 0.4 0.6 -1.0 2.0 -7.8 -0.9 2.2 -2.2 5.0 5.8 -0.8 -0.8 -0.8 -0.7 2.4 0.8 -2.5 -3.0 1.2 -1.3 2.0 -3.7 2.1 -1.7 0.6 0.4 4.6 -6.3 -8.1 0.6 4.0 3.9 -9.8 20.0 18.5 US30 -0.0 7.6 8.4 1.9 -1.8 0.4 0.6 -1.1 2.2 -9.4 -2.3 -0.0 -3.7 2.8 4.3 -4.0 -5.1 -4.6 -4.9 1.2 -0.1 -4.2 -4.1 -0.3 -0.7 1.7 -5.3 1.9 -2.7 0.2 -0.2 -2.9 -9.4 -11.0 -1.2 2.9 0.8 -9.3 12.4 19.5 US5 13.0 16.2 6.1 2.2 -2.0 0.5 0.7 -1.3 2.5 -6.2 -3.2 6.7 -8.1 9.6 7.7 -11.6 -10.4 -10.9 -10.5 7.0 0.7 3.2 -6.7 8.0 7.0 3.0 -1.1 1.4 0.5 -0.8 2.5 -12.2 1.5 0.9 4.4 1.7 5.0 -19.6 11.6 -4.3 VIX 8.5 10.6 -1.5 -7.1 11.3 -10.4 4.8 -12.9 -1.6 14.1 -20.0 5.4 -20.0 -6.3 -20.0 -20.0 -20.0 -20.0 -20.0 -11.5 -20.0 9.4 -20.0 -1.1 NaN -8.3 12.4 -12.2 5.2 -15.5 -1.8 NaN NaN NaN NaN NaN -14.7 -20.0 NaN NaN WHEAT -9.9 -20.0 11.5 -2.3 -0.3 -1.5 -0.4 -0.9 -1.7 -1.9 -5.1 -5.2 -6.8 -8.7 -8.0 -15.3 -14.4 -15.8 -15.4 -11.5 -6.6 -5.4 -5.8 -11.6 0.9 -2.4 0.0 -1.2 -1.2 -0.9 -2.6 -20.0 -8.7 -7.7 -19.2 5.0 -14.9 -20.0 -12.4 -20.0 End of report for caleb_strategy_v3