******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240805_203931 produced at 2024-08-05 21:37:56.995965 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 CAD False False 0.02 -0.10 -0.16 0.0 0.71 -0.71 -0.10 -0.05 -6.40 29.0 -4 -2 caleb_strategy_v3 MXP False False 0.01 -0.10 -0.14 0.0 0.52 -0.52 -0.10 -0.12 -16.61 60.0 -12 -14 caleb_strategy_v3 VIX False False 0.01 -0.19 -0.07 0.0 999.00 -999.00 -0.19 -0.09 -8.73 999999999.0 -25 -12 caleb_strategy_v3 DX False False 0.03 0.00 -0.07 0.0 999.00 -999.00 0.00 0.00 -2.05 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.06 0.0 0.32 -0.32 -0.04 -0.04 -1.48 8.0 -1 -1 caleb_strategy_v3 AUD False False 0.02 0.00 -0.05 0.0 0.42 -0.42 0.00 0.00 -2.09 19.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.04 -0.05 0.0 0.29 -0.29 -0.04 -0.05 -6.53 36.0 -5 -6 caleb_strategy_v3 HEATOIL False False 0.03 -0.07 -0.05 0.0 0.10 -0.10 -0.07 -0.10 -1.51 3.0 -2 -3 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.16 24.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.05 0.0 999.00 -999.00 -0.03 -0.03 -1.58 999999999.0 -1 -1 caleb_strategy_v3 CAC True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.89 12.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.03 -0.04 0.0 0.08 -0.08 -0.03 -0.03 -5.76 12.0 -4 -4 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.13 -0.13 -0.06 -0.06 -3.56 11.0 -5 -5 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.04 0.0 0.42 -0.42 -0.02 -0.02 -2.06 21.0 -1 -1 caleb_strategy_v3 EUROSTX False False 0.02 -0.09 -0.04 0.0 0.34 -0.34 -0.09 -0.10 -2.23 20.0 -5 -6 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.04 0.0 0.05 -0.05 -0.03 -0.03 -22.05 26.0 -17 -17 caleb_strategy_v3 OAT False False 0.05 0.00 -0.03 0.0 0.47 -0.47 0.00 0.00 -0.65 10.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.04 -0.03 0.0 0.43 -0.43 -0.04 -0.03 -3.32 48.0 -4 -3 caleb_strategy_v3 BTP False False 0.04 0.00 -0.03 0.0 0.44 -0.44 0.00 0.00 -0.67 10.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.03 0.0 0.83 -0.83 0.00 0.00 -0.68 19.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -17.86 59.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.03 0.0 0.10 -0.10 -0.02 0.00 -1.33 4.0 -1 0 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.03 0.0 0.15 -0.15 -0.01 -0.01 -8.40 51.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.08 -0.08 -0.02 -0.02 -1.90 8.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.09 -0.02 0.0 0.12 -0.12 -0.09 -0.07 -0.94 7.0 -5 -4 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.02 -0.02 0.0 0.28 -0.28 -0.02 -0.01 -2.01 23.0 -2 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.09 -0.09 -0.04 -0.04 -1.79 9.0 -4 -4 caleb_strategy_v3 DAX False False 0.01 0.01 -0.02 0.0 0.38 -0.38 0.01 0.00 -2.78 58.0 1 0 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.01 0.0 0.20 -0.20 0.00 0.00 -0.08 2.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.93 9.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -1.12 10.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.13 -0.13 0.00 0.00 -1.96 18.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 -0.01 -0.01 0.0 0.01 -0.01 -0.01 -0.01 -1.96 3.0 -2 -2 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.01 0.0 0.16 -0.16 0.00 -0.02 -0.64 10.0 0 -1 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.01 0.0 0.06 -0.06 -0.03 -0.03 -0.30 2.0 -1 -1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -2.59 2.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.12 4.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.00 0.0 0.24 -0.24 0.00 0.00 0.92 68.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.60 -0.60 0.00 0.00 0.16 26.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 -0.02 -0.00 0.0 999.00 -999.00 -0.02 -0.02 -0.20 999999999.0 -1 -1 caleb_strategy_v3 DOW False False 0.01 0.00 -0.00 0.0 0.44 -0.44 0.00 -0.03 -0.57 66.0 0 -4 caleb_strategy_v3 BUND False False 0.05 0.05 0.00 0.0 0.50 -0.50 0.05 0.05 0.10 10.0 1 1 caleb_strategy_v3 MILK False False 0.01 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.30 5.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.17 -0.17 0.00 0.00 0.03 6.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.06 -0.06 0.02 0.02 0.47 3.0 1 1 caleb_strategy_v3 JPY False False 0.03 0.03 0.01 0.0 0.51 -0.51 0.03 0.03 0.28 17.0 1 1 caleb_strategy_v3 US30 False False 0.05 0.05 0.01 0.0 0.27 -0.27 0.05 0.05 0.15 6.0 1 1 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.39 999999999.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.31 -0.31 0.01 0.01 0.54 23.0 1 1 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.43 9.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.03 0.02 0.0 0.46 -0.46 0.03 0.02 2.97 56.0 4 3 caleb_strategy_v3 RICE False False 0.01 0.00 0.02 0.0 0.04 -0.04 0.00 0.00 1.66 4.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.07 0.02 0.0 0.12 -0.12 0.07 0.05 0.76 5.0 3 2 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.02 0.0 0.12 -0.12 0.01 0.01 1.71 13.0 1 1 caleb_strategy_v3 CHF False False 0.05 0.05 0.03 0.0 0.65 -0.65 0.05 0.05 0.50 13.0 1 1 caleb_strategy_v3 GBP False False 0.03 0.00 0.03 0.0 0.60 -0.60 0.00 0.00 1.02 22.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 0.03 0.0 0.66 -0.66 0.00 0.00 0.72 17.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.16 0.03 0.0 0.52 -0.52 0.16 0.16 0.68 13.0 4 4 caleb_strategy_v3 US5 False False 0.04 0.04 0.04 0.0 0.93 -0.93 0.04 0.07 1.16 25.0 1 2 caleb_strategy_v3 LIVECOW False False 0.02 0.07 0.04 0.0 0.41 -0.41 0.07 0.07 1.81 17.0 3 3 caleb_strategy_v3 EUR False False 0.05 0.00 0.05 0.0 0.65 -0.65 0.00 0.00 1.03 14.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 0.06 0.0 0.00 0.00 0.00 0.00 1.21 9.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 0.08 0.0 0.00 0.00 0.00 0.00 1.15 13.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.00 0.24 0.0 0.56 -0.56 0.00 0.07 6.93 16.0 0 2 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.50 0.0 0.91 -0.91 0.00 0.00 5.47 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 1.13 0.0 0.00 0.00 0.00 0.00 13.70 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.0 Shocked risk 14.0 Sum abs risk 37.3 Leverage 3.78 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2939463.71, 'annual_cash_vol_target': 734865.9275, 'daily_cash_vol_target': 45929.12046875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0033 0.6496 0.5151 8.2423 BITCOIN 2236.9187 53625.0000 4.1714 66.7426 BOBL 0.2367 118.3000 0.2001 3.2012 BTP 0.4880 118.8800 0.4105 6.5677 BUND 0.4771 135.1700 0.3530 5.6479 BUXL 1.1741 138.3400 0.8487 13.5797 CAC 71.7438 7156.0000 1.0026 16.0411 CAD 0.0024 0.7238 0.3300 5.2798 CANOLA 9.8584 619.5000 1.5913 25.4616 CHF 0.0061 1.1810 0.5148 8.2368 COCOA 250.2702 6756.0000 3.7044 59.2706 COFFEE 3.9922 225.2000 1.7727 28.3636 COPPER 0.0638 3.9920 1.5975 25.5594 CORN 5.9716 407.2500 1.4663 23.4612 COTTON2 0.9644 67.6600 1.4254 22.8067 CRUDE_W 1.1764 71.4900 1.6455 26.3286 DAX 172.0653 17440.0000 0.9866 15.7858 DOW 346.7912 38815.0000 0.8934 14.2951 DX 0.4015 102.4950 0.3917 6.2678 EUR 0.0046 1.0973 0.4216 6.7452 EURIBOR-ICE 0.0430 97.8300 0.0440 0.7035 EUROSTX 51.3330 4600.0000 1.1159 17.8550 FEEDCOW 2.1833 238.3500 0.9160 14.6564 GASOIL 11.8115 710.0000 1.6636 26.6174 GASOLINE 0.0372 2.0799 1.7874 28.5985 GAS_US_mini 0.0839 2.0450 4.1037 65.6585 GBP 0.0059 1.2766 0.4595 7.3517 GOLD_micro 21.3237 2423.5000 0.8799 14.0780 HEATOIL 0.0390 2.3350 1.6688 26.7002 JGB-SGX-mini 0.4099 145.3200 0.2821 4.5134 JPY 0.0001 0.0070 0.7620 12.1924 LEANHOG 1.2675 68.6000 1.8477 29.5630 LIVECOW 1.3827 179.1000 0.7720 12.3524 LUMBER-new 8.6116 523.5000 1.6450 26.3201 MILK 0.2503 20.2900 1.2336 19.7374 MXP 0.0005 0.0510 0.9564 15.3021 NASDAQ_micro 266.9799 17904.2500 1.4912 23.8585 NIKKEI 701.2043 33105.0000 2.1181 33.8900 NZD 0.0035 0.5929 0.5841 9.3454 OAT 0.4393 126.4800 0.3473 5.5569 OATIES 6.1868 313.5000 1.9735 31.5755 OJ 7.1341 413.6000 1.7249 27.5979 PALLAD 24.1168 830.5000 2.9039 46.4623 PLAT 16.9821 916.7000 1.8525 29.6404 REDWHEAT 10.0279 578.2500 1.7342 27.7469 RICE 0.1608 15.4300 1.0422 16.6758 ROBUSTA 65.3993 4025.0000 1.6248 25.9973 RUSSELL 34.1825 2039.8000 1.6758 26.8124 SHATZ 0.0821 106.4150 0.0772 1.2349 SILVER-mini 0.5447 27.6250 1.9719 31.5505 SMI 102.3151 11536.0000 0.8869 14.1907 SOFR 0.0655 96.9550 0.0676 1.0811 SOYBEAN 13.7157 1041.5000 1.3169 21.0707 SOYMEAL 5.0310 331.9000 1.5158 24.2532 SOYOIL 0.7566 40.2300 1.8806 30.0897 SP400 36.1335 2880.8000 1.2543 20.0686 SP500_micro 53.2438 5211.7500 1.0216 16.3458 SUGAR11 0.3193 18.3600 1.7389 27.8218 US10 0.4292 114.1250 0.3761 6.0173 US10U 0.5817 118.5781 0.4906 7.8492 US2 0.1250 103.5547 0.1207 1.9307 US20 0.8901 125.5000 0.7093 11.3482 US30 1.3495 134.5312 1.0031 16.0502 US5 0.2813 109.5156 0.2568 4.1094 VIX 0.7690 22.3500 3.4409 55.0536 WHEAT 9.9135 564.7500 1.7554 28.0860 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 649.65 0.52 334.66 1.00 334.66 45929.12 137.24 -5.86 -80.41 BITCOIN 53.62 4.17 223.69 1.00 223.69 45929.12 205.32 -8.03 -164.95 BOBL 1183.00 0.20 236.69 1.08 255.68 45929.12 179.63 -3.72 -66.84 BTP 1188.80 0.41 487.98 1.08 527.14 45929.12 87.13 -2.26 -19.71 BUND 1351.70 0.35 477.14 1.08 515.43 45929.12 89.11 1.08 9.66 BUXL 1383.40 0.85 1174.14 1.08 1268.36 45929.12 36.21 -3.38 -12.25 CAC 715.60 1.00 717.44 1.08 775.01 45929.12 59.26 -9.37 -55.52 CAD 723.80 0.33 238.84 1.00 238.84 45929.12 192.30 -12.84 -246.85 CANOLA 123.90 1.59 197.17 0.72 142.75 45929.12 321.74 -10.73 -345.28 CHF 1476.31 0.51 760.01 1.00 760.01 45929.12 60.43 3.18 19.21 COCOA 675.60 3.70 2502.70 1.00 2502.70 45929.12 18.35 3.97 7.28 COFFEE 844.50 1.77 1497.07 1.00 1497.07 45929.12 30.68 0.80 2.45 COPPER 998.00 1.60 1594.27 1.00 1594.27 45929.12 28.81 -5.07 -14.59 CORN 203.62 1.47 298.58 1.00 298.58 45929.12 153.82 -15.39 -236.69 COTTON2 338.30 1.43 482.22 1.00 482.22 45929.12 95.25 -17.45 -166.17 CRUDE_W 714.90 1.65 1176.40 1.00 1176.40 45929.12 39.04 1.79 6.99 DAX 174.40 0.99 172.07 1.08 185.87 45929.12 247.10 -3.30 -81.60 DOW 194.08 0.89 173.40 1.00 173.40 45929.12 264.88 -0.93 -24.67 DX 1024.95 0.39 401.51 1.00 401.51 45929.12 114.39 -6.92 -79.11 EUR 1371.62 0.42 578.24 1.00 578.24 45929.12 79.43 4.99 39.61 EURIBOR-ICE 2445.75 0.04 107.53 1.08 116.16 45929.12 395.40 4.06 160.48 EUROSTX 460.00 1.12 513.33 1.08 554.52 45929.12 82.83 -7.89 -65.38 FEEDCOW 1191.75 0.92 1091.67 1.00 1091.67 45929.12 42.07 -10.60 -44.60 GASOIL 710.00 1.66 1181.15 1.00 1181.15 45929.12 38.89 -7.90 -30.70 GASOLINE 873.56 1.79 1561.41 1.00 1561.41 45929.12 29.42 3.07 9.02 GAS_US_mini 51.12 4.10 209.80 1.00 209.80 45929.12 218.92 -9.30 -203.63 GBP 797.88 0.46 366.61 1.00 366.61 45929.12 125.28 3.12 39.14 GOLD_micro 242.35 0.88 213.24 1.00 213.24 45929.12 215.39 4.05 87.15 HEATOIL 980.70 1.67 1636.56 1.00 1636.56 45929.12 28.06 -12.41 -34.83 JGB-SGX-mini 145320.00 0.28 40992.53 0.01 274.84 45929.12 167.11 3.83 64.01 JPY 875.44 0.76 667.10 1.00 667.10 45929.12 68.85 1.59 10.92 LEANHOG 274.40 1.85 507.00 1.00 507.00 45929.12 90.59 3.11 28.14 LIVECOW 716.40 0.77 553.08 1.00 553.08 45929.12 83.04 6.59 54.75 LUMBER-new 143.96 1.65 236.82 1.00 236.82 45929.12 193.94 -4.72 -91.62 MILK 405.80 1.23 500.59 1.00 500.59 45929.12 91.75 1.54 14.09 MXP 254.90 0.96 243.78 1.00 243.78 45929.12 188.40 -6.01 -113.19 NASDAQ_micro 358.08 1.49 533.96 1.00 533.96 45929.12 86.02 -10.04 -86.38 NIKKEI 33105.00 2.12 70120.43 0.01 470.14 45929.12 97.69 -6.17 -60.30 NZD 592.90 0.58 346.30 1.00 346.30 45929.12 132.63 -5.99 -79.39 OAT 1264.80 0.35 439.27 1.08 474.52 45929.12 96.79 -1.96 -19.01 OATIES 156.75 1.97 309.34 1.00 309.34 45929.12 148.47 -7.16 -106.35 OJ 620.40 1.72 1070.11 1.00 1070.11 45929.12 42.92 5.12 21.98 PALLAD 830.50 2.90 2411.68 1.00 2411.68 45929.12 19.04 -4.58 -8.72 PLAT 458.35 1.85 849.11 1.00 849.11 45929.12 54.09 -3.49 -18.90 REDWHEAT 289.12 1.73 501.40 1.00 501.40 45929.12 91.60 -15.64 -143.29 RICE 308.60 1.04 321.63 1.00 321.63 45929.12 142.80 4.77 68.06 ROBUSTA 402.50 1.62 653.99 1.00 653.99 45929.12 70.23 6.62 46.46 RUSSELL 101.99 1.68 170.91 1.00 170.91 45929.12 268.73 1.04 27.86 SHATZ 1064.15 0.08 82.13 1.08 88.72 45929.12 517.68 -2.22 -114.85 SILVER-mini 690.62 1.97 1361.85 1.00 1361.85 45929.12 33.73 -1.70 -5.73 SMI 1153.60 0.89 1023.15 1.15 1174.01 45929.12 39.12 9.07 35.47 SOFR 2423.88 0.07 163.78 1.00 163.78 45929.12 280.42 8.04 225.47 SOYBEAN 520.75 1.32 685.78 1.00 685.78 45929.12 66.97 -15.03 -100.63 SOYMEAL 331.90 1.52 503.10 1.00 503.10 45929.12 91.29 -10.98 -100.21 SOYOIL 241.38 1.88 453.94 1.00 453.94 45929.12 101.18 -11.88 -120.18 SP400 2880.80 1.25 3613.35 1.00 3613.35 45929.12 12.71 -1.80 -2.29 SP500_micro 260.59 1.02 266.22 1.00 266.22 45929.12 172.52 -8.29 -143.00 SUGAR11 205.63 1.74 357.57 1.00 357.57 45929.12 128.45 -7.19 -92.30 US10 1141.25 0.38 429.20 1.00 429.20 45929.12 107.01 5.32 56.93 US10U 1185.78 0.49 581.72 1.00 581.72 45929.12 78.95 6.76 53.35 US2 2071.09 0.12 249.91 1.00 249.91 45929.12 183.78 4.92 90.44 US20 1255.00 0.71 890.12 1.00 890.12 45929.12 51.60 6.65 34.32 US30 1345.31 1.00 1349.53 1.00 1349.53 45929.12 34.03 3.59 12.22 US5 1095.16 0.26 281.28 1.00 281.28 45929.12 163.29 5.58 91.17 VIX 223.50 3.44 769.03 1.00 769.03 45929.12 59.72 -5.92 -35.37 WHEAT 282.38 1.76 495.67 1.00 495.67 45929.12 92.66 -14.59 -135.21 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -80.410 0.010 2.5 -2.086 BITCOIN -164.952 0.043 2.5 -17.862 BOBL -66.842 0.004 2.5 -0.678 BTP -19.706 0.014 2.5 -0.672 BUND 9.660 0.004 2.5 0.098 BUXL -12.247 0.004 2.5 -0.124 CAC -55.520 0.014 2.5 -1.894 CAD -246.847 0.010 2.5 -6.405 CANOLA -345.284 0.010 2.5 -8.400 CHF 19.209 0.010 2.5 0.498 COCOA 7.279 0.009 2.5 0.156 COFFEE 2.453 0.005 2.5 0.029 COPPER -14.594 0.043 2.5 -1.580 CORN -236.688 0.010 2.5 -5.758 COTTON2 -166.170 0.009 2.5 -3.559 CRUDE_W 6.989 0.043 2.5 0.757 DAX -81.601 0.014 2.5 -2.783 DOW -24.671 0.009 2.5 -0.573 DX -79.108 0.010 2.5 -2.053 EUR 39.611 0.010 2.5 1.028 EURIBOR-ICE 160.479 0.014 2.5 5.474 EUROSTX -65.377 0.014 2.5 -2.230 FEEDCOW -44.599 0.013 2.5 -1.478 GASOIL -30.702 0.017 2.5 -1.331 GASOLINE 9.018 0.017 2.5 0.391 GAS_US_mini -203.628 0.043 2.5 -22.050 GBP 39.138 0.010 2.5 1.015 GOLD_micro 87.146 0.014 2.5 2.972 HEATOIL -34.829 0.017 2.5 -1.510 JGB-SGX-mini 64.009 0.043 2.5 6.931 JPY 10.915 0.010 2.5 0.283 LEANHOG 28.136 0.024 2.5 1.710 LIVECOW 54.749 0.013 2.5 1.814 LUMBER-new -91.620 0.009 2.5 -1.962 MILK 14.095 0.009 2.5 0.302 MXP -113.187 0.059 2.5 -16.613 NASDAQ_micro -86.382 0.009 2.5 -2.008 NIKKEI -60.300 0.043 2.5 -6.530 NZD -79.386 0.010 2.5 -2.060 OAT -19.008 0.014 2.5 -0.648 OATIES -106.351 0.010 2.5 -2.587 OJ 21.983 0.009 2.5 0.471 PALLAD -8.719 0.014 2.5 -0.297 PLAT -18.901 0.014 2.5 -0.645 REDWHEAT -143.294 0.005 2.5 -1.901 RICE 68.063 0.010 2.5 1.656 ROBUSTA 46.461 0.005 2.5 0.543 RUSSELL 27.858 0.013 2.5 0.923 SHATZ -114.848 0.004 2.5 -1.165 SILVER-mini -5.727 0.014 2.5 -0.195 SMI 35.474 0.014 2.5 1.210 SOFR 225.468 0.024 2.5 13.703 SOYBEAN -100.629 0.004 2.5 -0.936 SOYMEAL -100.211 0.004 2.5 -0.932 SOYOIL -120.179 0.004 2.5 -1.119 SP400 -2.288 0.013 2.5 -0.076 SP500_micro -142.999 0.009 2.5 -3.323 SUGAR11 -92.296 0.009 2.5 -1.963 US10 56.933 0.005 2.5 0.721 US10U 53.349 0.005 2.5 0.676 US2 90.438 0.005 2.5 1.146 US20 34.321 0.005 2.5 0.435 US30 12.224 0.005 2.5 0.155 US5 91.172 0.005 2.5 1.155 VIX -35.366 0.099 2.5 -8.730 WHEAT -135.211 0.005 2.5 -1.794 ===================== Position diags ===================== AUD 3.56 BITCOIN 22.23 BOBL 1.82 BTP 2.97 BUND 0.90 BUXL 0.37 CAC 2.02 CAD 4.99 CANOLA 7.83 CHF 1.57 COCOA 0.39 COFFEE 0.36 COPPER 3.12 CORN 3.74 COTTON2 2.04 CRUDE_W 4.23 DAX 8.43 DOW 6.16 DX 2.97 EUR 2.06 EURIBOR-ICE 13.49 EUROSTX 2.83 FEEDCOW 1.39 GASOIL 1.69 GASOLINE 1.28 GAS_US_mini 23.71 GBP 3.25 GOLD_micro 7.35 HEATOIL 1.22 JGB-SGX-mini 18.10 JPY 1.79 LEANHOG 5.51 LIVECOW 2.75 LUMBER-new 4.15 MILK 1.97 MXP 27.65 NASDAQ_micro 2.00 NIKKEI 10.58 NZD 3.44 OAT 3.30 OATIES 3.61 OJ 0.92 PALLAD 0.65 PLAT 1.84 REDWHEAT 1.22 RICE 3.47 ROBUSTA 0.82 RUSSELL 8.90 SHATZ 5.25 SILVER-mini 1.15 SMI 1.33 SOFR 17.04 SOYBEAN 0.62 SOYMEAL 0.85 SOYOIL 0.94 SP400 0.42 SP500_micro 4.01 SUGAR11 2.73 US10 1.36 US10U 1.00 US2 2.33 US20 0.65 US30 0.43 US5 2.07 VIX 14.74 WHEAT 1.23 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.1 -2.4 -1.7 0.0 0 BITCOIN -17.9 -20.1 -15.6 0.0 0 BOBL -0.7 -0.9 -0.5 0.0 0 BTP -0.7 -1.0 -0.4 0.0 0 BUND 0.1 0.0 0.2 1.0 1 BUXL -0.1 -0.2 -0.1 0.0 0 CAC -1.9 -2.1 -1.7 0.0 0 CAD -6.4 -6.9 -5.9 -4.0 -4 CANOLA -8.4 -9.2 -7.6 -2.0 -2 CHF 0.5 0.3 0.7 1.0 1 COCOA 0.2 0.1 0.2 0.0 0 COFFEE 0.0 -0.0 0.1 0.0 0 COPPER -1.6 -1.9 -1.3 -1.0 -1 CORN -5.8 -6.1 -5.4 -4.0 -4 COTTON2 -3.6 -3.8 -3.4 -5.0 -5 CRUDE_W 0.8 0.3 1.2 3.0 3 DAX -2.8 -3.6 -1.9 1.0 1 DOW -0.6 -1.2 0.0 0.0 0 DX -2.1 -2.3 -1.8 0.0 0 EUR 1.0 0.8 1.2 0.0 0 EURIBOR-ICE 5.5 4.1 6.8 0.0 0 EUROSTX -2.2 -2.5 -1.9 -5.0 -5 FEEDCOW -1.5 -1.6 -1.3 -1.0 -1 GASOIL -1.3 -1.5 -1.2 -1.0 -1 GASOLINE 0.4 0.3 0.5 0.0 0 GAS_US_mini -22.1 -24.4 -19.7 -17.0 -17 GBP 1.0 0.7 1.3 0.0 0 GOLD_micro 3.0 2.2 3.7 4.0 4 HEATOIL -1.5 -1.6 -1.4 -2.0 -2 JGB-SGX-mini 6.9 5.1 8.7 0.0 0 JPY 0.3 0.1 0.5 1.0 1 LEANHOG 1.7 1.2 2.3 1.0 1 LIVECOW 1.8 1.5 2.1 3.0 3 LUMBER-new -2.0 -2.4 -1.5 -2.0 -2 MILK 0.3 0.1 0.5 NaN 0 MXP -16.6 -19.4 -13.8 -12.0 -12 NASDAQ_micro -2.0 -2.2 -1.8 -2.0 -2 NIKKEI -6.5 -7.6 -5.5 -5.0 -5 NZD -2.1 -2.4 -1.7 -1.0 -1 OAT -0.6 -1.0 -0.3 0.0 0 OATIES -2.6 -2.9 -2.2 NaN 0 OJ 0.5 0.4 0.6 1.0 1 PALLAD -0.3 -0.4 -0.2 -1.0 -1 PLAT -0.6 -0.8 -0.5 0.0 0 REDWHEAT -1.9 -2.0 -1.8 -2.0 -2 RICE 1.7 1.3 2.0 NaN 0 ROBUSTA 0.5 0.5 0.6 1.0 1 RUSSELL 0.9 0.0 1.8 0.0 0 SHATZ -1.2 -1.7 -0.6 NaN 0 SILVER-mini -0.2 -0.3 -0.1 -1.0 -1 SMI 1.2 1.1 1.3 0.0 0 SOFR 13.7 12.0 15.4 NaN 0 SOYBEAN -0.9 -1.0 -0.9 -5.0 -5 SOYMEAL -0.9 -1.0 -0.8 0.0 0 SOYOIL -1.1 -1.2 -1.0 0.0 0 SP400 -0.1 -0.1 -0.0 0.0 0 SP500_micro -3.3 -3.7 -2.9 -4.0 -4 SUGAR11 -2.0 -2.2 -1.7 0.0 0 US10 0.7 0.6 0.9 0.0 0 US10U 0.7 0.6 0.8 4.0 4 US2 1.1 0.9 1.4 NaN 0 US20 0.4 0.4 0.5 0.0 0 US30 0.2 0.1 0.2 1.0 1 US5 1.2 0.9 1.4 1.0 1 VIX -8.7 -10.2 -7.3 -25.0 -25 WHEAT -1.8 -1.9 -1.7 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.8 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 -0.6 -0.1 0.2 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.2 0.5 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.5 -0.6 -0.2 0.2 0.3 -0.2 0.4 -0.0 BITCOIN 0.5 -0.6 -0.5 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 0.2 -0.0 0.4 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.2 0.3 -0.1 -2.7 -0.0 -0.2 0.1 -0.1 0.3 -0.0 -0.2 -0.5 0.6 0.4 0.3 -0.7 -0.3 -0.2 -0.0 BOBL 0.6 0.5 0.1 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 -0.2 0.1 -0.2 0.1 0.1 -0.4 -0.3 -0.4 -0.4 0.1 0.0 0.2 -0.1 0.2 0.6 0.0 0.1 0.0 0.1 -0.0 0.1 -1.1 0.0 0.1 0.1 -0.2 -0.7 -0.6 -0.4 -0.4 BTP 0.5 0.3 -0.0 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 0.1 0.2 0.4 0.2 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.1 0.2 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 0.6 -0.5 -0.5 -0.4 -0.2 -0.7 -0.5 -0.2 0.1 BUND 0.6 0.4 0.1 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 -0.1 0.1 -0.1 0.1 0.1 0.1 0.0 0.1 0.0 0.1 0.0 0.2 -0.1 0.2 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.4 -0.1 -0.0 -0.0 -0.2 -0.7 -0.7 -0.4 -0.4 BUXL 0.6 0.2 0.0 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 -0.2 0.2 -0.1 0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 0.2 -0.1 0.2 -0.5 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 -0.2 -0.2 -0.2 -0.3 -0.7 -0.7 -0.5 -0.4 CAC -0.2 -0.6 -0.6 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 -0.2 -0.2 0.2 -0.2 -0.2 -0.2 -0.0 -0.1 -0.1 -0.2 -0.1 -0.2 0.1 -0.2 -1.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 0.4 0.1 -0.5 -0.6 -0.6 0.2 0.2 0.1 0.2 CAD -0.5 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.3 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.6 -0.2 -0.3 0.3 -0.2 -0.1 -0.2 CANOLA 0.1 -0.0 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 -0.1 -0.0 -2.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.4 0.2 -0.1 CHF 0.6 0.4 0.3 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.3 0.2 -0.4 0.2 0.1 -0.3 -0.3 -0.3 -0.3 0.1 -0.0 0.2 -0.1 0.2 0.7 0.0 0.2 0.0 0.1 -0.0 0.1 -1.1 0.5 0.6 0.6 0.5 0.3 -0.4 -0.1 -0.4 COCOA -0.2 -0.6 0.1 -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 -2.5 0.0 -0.0 0.1 -0.0 0.3 -0.0 1.1 0.0 0.1 0.1 0.1 0.5 0.2 0.7 0.3 COFFEE -0.4 -0.0 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.4 -0.2 0.5 -0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.2 -0.1 0.5 -0.0 -2.7 0.0 -0.1 0.2 -0.1 0.4 -0.0 0.4 -0.2 0.4 0.5 0.6 -0.1 -0.4 0.2 -0.1 COPPER -0.6 -0.6 -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 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -1.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.3 -0.1 -0.5 -0.2 0.4 0.3 0.1 0.6 0.4 CORN 0.2 -0.6 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.1 -0.3 -0.1 -1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.1 -0.1 -0.5 -0.3 -0.4 -0.4 -0.3 -0.0 COTTON2 -0.1 -0.2 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 -0.1 -0.5 -0.2 -0.2 -0.2 -0.0 -0.2 -0.1 -0.2 -0.2 -0.1 -0.5 -0.2 -2.7 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.4 -0.2 -0.1 0.1 -0.6 -0.3 -0.3 0.2 -0.1 CRUDE_W -0.6 -0.1 -0.3 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 0.1 -0.2 0.5 -0.1 -0.0 0.3 0.3 0.3 0.3 -0.1 -0.0 -0.2 0.2 -0.2 -0.4 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.5 -0.2 -0.3 -0.0 -0.3 0.7 0.7 0.7 0.7 DAX -0.3 -0.4 -0.4 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.2 -0.1 0.5 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 0.0 -0.2 0.3 -0.1 1.3 -0.0 -0.2 0.1 -0.1 0.2 -0.1 -0.4 0.1 -0.3 -0.6 -0.4 0.3 0.1 -0.2 0.2 DOW -0.0 0.1 -0.2 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.2 -0.1 0.4 0.0 0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.1 0.2 -0.0 -1.3 0.0 -0.1 0.1 -0.1 0.2 0.0 -0.5 0.2 0.6 0.2 -0.0 0.5 -0.0 0.2 -0.1 DX -0.4 -0.3 -0.2 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 0.3 -0.2 0.5 -0.2 -0.1 0.1 0.1 0.1 0.1 -0.1 0.0 -0.2 0.2 -0.2 -2.7 -0.0 -0.2 0.0 -0.1 0.1 -0.1 0.9 -0.3 -0.6 -0.0 0.1 -0.3 0.2 -0.3 0.3 EUR 0.1 0.2 0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 0.2 -0.2 0.0 -0.4 0.1 0.1 -0.2 -0.1 -0.2 -0.1 0.0 -0.0 0.1 -0.1 0.1 2.7 0.0 0.2 0.0 0.1 -0.0 0.0 -0.4 0.5 0.6 0.4 0.3 0.1 -0.6 -0.0 -0.6 EURIBOR-ICE 0.6 0.6 -0.0 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.1 0.1 0.0 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.1 0.0 0.2 0.0 0.2 1.6 0.0 0.0 0.0 0.1 0.0 0.0 -0.1 -0.1 0.1 0.1 -0.1 -0.7 -0.7 -0.3 0.0 EUROSTX -0.5 -0.5 -0.5 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.2 -0.2 0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 0.2 -0.2 -0.2 -0.0 -0.1 0.0 -0.1 0.2 -0.1 0.3 0.1 -0.6 -0.6 -0.5 -0.0 0.0 -0.5 0.0 FEEDCOW -0.4 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.2 -0.2 -0.2 -0.1 0.1 -0.4 -0.1 -0.3 -0.1 -0.1 -0.2 -0.1 -0.2 -1.1 -0.1 -0.2 -0.1 -0.2 -0.0 -0.1 -1.1 -0.5 -0.6 0.0 0.1 0.0 0.7 0.3 0.7 GASOIL -0.6 -0.0 -0.4 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.2 0.4 -0.1 -0.1 -0.0 0.2 -0.0 0.1 -0.1 -0.0 -0.2 0.1 -0.2 0.6 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.2 0.2 -0.1 -0.5 -0.5 -0.7 -0.7 GASOLINE -0.4 -0.0 -0.3 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 0.1 -0.2 0.4 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 0.0 -0.1 0.2 -0.1 -2.7 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 1.1 0.2 0.3 0.1 -0.1 0.7 0.7 0.7 0.7 GAS_US_mini -0.5 -0.6 0.5 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.4 -0.2 2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.1 0.1 -0.4 0.3 -0.1 -0.3 -0.3 -0.6 GBP -0.1 0.1 0.2 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 0.4 -0.2 0.3 0.0 0.2 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.1 0.2 -0.0 -0.0 0.1 -0.1 0.2 -0.1 0.2 -0.0 0.2 -0.3 0.4 0.6 0.6 0.2 -0.7 0.2 -0.4 GOLD_micro 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.3 0.0 0.4 0.0 0.0 -0.2 -0.3 -0.2 -0.2 0.1 0.1 0.0 0.3 0.1 -0.6 0.0 -0.0 0.1 0.0 0.2 0.0 -0.7 0.4 0.6 0.6 0.5 0.3 -0.2 0.6 0.1 HEATOIL -0.5 0.0 -0.4 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.2 -0.2 0.2 -0.1 -0.1 -0.1 0.2 -0.1 0.0 -0.1 -0.1 -0.2 0.0 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.3 -0.1 -0.2 0.1 -0.4 -0.0 0.2 -0.3 0.1 JGB-SGX-mini 0.5 0.2 -0.2 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.1 0.1 -0.1 0.0 -0.0 0.4 0.4 0.4 0.4 0.0 -0.0 0.1 -0.0 0.1 -1.1 0.0 0.1 -0.0 0.1 -0.1 0.0 1.1 0.1 -0.1 -0.2 -0.4 -0.1 -0.2 0.0 0.5 JPY 0.6 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 -0.3 -0.3 -0.3 -0.3 0.1 -0.0 0.2 -0.3 0.2 2.7 0.0 0.1 -0.0 0.1 -0.1 0.1 -1.1 0.5 0.6 0.5 -0.2 -0.7 -0.5 -0.7 -0.5 LEANHOG 0.6 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 0.1 -0.2 0.0 -0.1 0.4 0.1 0.4 0.4 -0.1 -0.1 0.0 -0.3 0.0 0.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 1.1 0.4 0.5 0.1 -0.6 -0.1 -0.3 0.0 0.1 LIVECOW -0.4 0.3 0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 0.5 -0.1 0.3 0.1 0.2 0.1 0.2 0.2 0.2 0.1 0.2 -0.2 0.3 -0.0 -1.6 0.0 -0.2 0.2 -0.1 0.2 -0.0 0.8 -0.3 -0.1 0.6 0.6 -0.0 0.7 0.1 0.7 LUMBER-new 0.7 -0.0 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 0.1 -0.4 0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.1 -0.3 0.0 NaN -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.2 0.5 0.6 0.4 -0.7 0.1 -0.2 0.3 -0.1 MILK -0.1 0.0 0.6 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 -0.0 -0.0 -0.0 0.1 -0.2 -0.4 -0.3 -0.4 0.1 0.1 -0.1 0.1 0.0 2.5 0.0 -0.1 0.1 -0.0 0.0 -0.0 -1.1 0.0 0.4 0.5 0.6 -0.2 -0.7 -0.0 -0.7 MXP -0.4 -0.3 -0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 0.2 0.3 0.2 0.3 -0.1 -0.1 -0.2 0.0 -0.2 -2.7 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 1.1 -0.5 -0.5 -0.4 -0.6 0.6 0.4 0.7 0.7 NASDAQ_micro -0.6 -0.6 -0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.1 0.3 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.2 0.2 -0.1 -2.4 -0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.4 -0.1 -0.6 -0.1 0.1 0.1 0.2 -0.1 0.2 NIKKEI -0.6 -0.5 -0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.1 -0.1 0.3 -0.1 -0.0 0.2 0.2 0.2 0.2 -0.0 0.0 -0.2 0.2 -0.1 -1.5 -0.0 -0.1 0.0 -0.1 0.1 -0.0 1.1 -0.5 -0.6 -0.3 -0.3 0.3 -0.1 0.0 -0.2 NZD -0.6 -0.4 0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.2 -0.1 -0.1 -0.2 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.2 0.1 -0.6 -0.5 0.1 0.3 -0.2 0.2 0.0 OAT 0.6 0.2 -0.2 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 -0.2 0.1 -0.1 0.1 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 0.3 0.0 0.1 -0.0 0.1 -0.0 0.1 0.6 -0.5 -0.3 -0.4 -0.4 -0.7 -0.7 -0.3 -0.1 OATIES 0.3 -0.6 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.0 -0.3 -0.1 -0.1 0.1 0.0 0.0 0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.1 -0.4 0.0 0.2 -0.0 0.5 0.3 OJ -0.4 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.3 -0.1 0.5 -0.1 0.1 0.1 0.2 0.2 0.2 0.1 0.2 -0.1 0.5 -0.0 -2.7 0.0 -0.0 0.2 -0.0 0.4 -0.0 0.8 -0.0 0.2 0.1 0.6 0.4 0.3 0.7 0.7 PALLAD -0.5 0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 1.9 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 0.0 -0.2 0.3 -0.0 -0.7 -0.7 -0.7 -0.7 PLAT -0.4 -0.3 0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -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 -0.1 0.0 -0.1 0.9 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 -0.1 0.2 0.3 -0.5 -0.3 -0.2 0.1 REDWHEAT -0.1 -0.6 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.3 -0.1 -0.5 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -0.1 -0.0 -0.4 -0.1 -0.8 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.7 0.2 -0.2 -0.6 0.2 -0.6 -0.7 -0.4 -0.6 RICE 0.2 -0.5 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.3 0.1 0.5 0.0 0.1 -0.0 0.4 0.4 0.4 0.0 0.0 0.1 0.3 0.1 -1.4 0.0 0.0 0.1 0.1 0.1 0.0 1.1 0.5 0.6 0.6 0.6 -0.7 -0.4 -0.7 -0.3 ROBUSTA -0.3 0.0 0.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 0.3 -0.1 0.4 0.0 0.1 0.4 0.4 0.4 0.4 0.1 0.2 -0.1 0.5 -0.0 -2.7 0.0 -0.0 0.2 -0.0 0.3 0.0 1.1 -0.4 0.4 0.6 0.6 0.1 -0.2 0.3 0.1 RUSSELL 0.3 0.2 -0.0 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.0 0.3 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.1 0.1 0.0 -0.1 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.0 0.1 0.6 0.4 0.1 0.1 -0.7 -0.0 -0.7 SHATZ 0.6 0.6 0.3 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 -0.0 0.2 -0.2 0.2 0.9 0.0 0.1 0.0 0.1 -0.0 0.0 -1.1 0.2 0.2 0.2 -0.1 -0.7 -0.5 -0.6 -0.4 SILVER-mini -0.6 -0.4 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 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.2 -0.1 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.1 -0.2 0.1 0.3 0.0 -0.2 0.3 0.2 SMI -0.5 -0.4 0.3 0.0 -0.2 0.1 -0.1 0.2 -0.0 -0.1 0.4 -0.1 0.6 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.1 0.1 -0.2 0.4 -0.1 1.8 0.1 -0.1 0.2 -0.1 0.3 0.0 0.6 0.5 0.6 -0.0 0.5 0.2 0.1 -0.1 -0.0 SOFR 0.5 0.6 0.5 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 0.1 0.1 -0.0 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.2 0.1 0.2 0.0 0.2 -0.5 0.0 0.1 0.1 0.1 0.0 0.1 0.2 0.1 0.1 0.1 0.2 0.3 -0.5 0.7 0.1 SOYBEAN -0.0 -0.5 -0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -2.4 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.1 -0.5 -0.4 -0.3 -0.3 -0.7 -0.1 -0.7 SOYMEAL 0.4 -0.5 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.2 0.0 -0.3 -0.1 -0.1 -0.0 0.1 0.1 0.1 -0.1 -0.1 0.0 -0.2 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.3 0.5 0.1 -0.2 0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.6 0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.1 0.0 0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -2.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.3 -0.6 0.0 -0.2 -0.3 -0.4 0.1 -0.1 SP400 0.2 -0.1 -0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.0 0.3 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 0.2 -0.0 -1.3 0.0 -0.1 0.1 -0.0 0.1 0.0 0.0 0.2 0.6 0.2 -0.0 0.2 -0.3 0.0 -0.7 SP500_micro -0.6 -0.6 -0.2 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.3 -0.1 0.5 -0.1 0.1 -0.2 -0.3 -0.3 -0.3 0.0 0.1 -0.2 0.4 -0.1 -2.4 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.6 -0.2 -0.5 0.1 0.2 0.4 0.1 0.0 0.1 SUGAR11 -0.5 0.3 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.1 0.2 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -2.7 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.3 0.1 -0.5 0.5 -0.3 -0.0 0.7 0.1 0.7 US10 0.4 0.5 0.5 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 0.0 0.1 -0.2 0.1 0.1 -0.2 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.1 0.2 0.4 0.0 0.1 0.0 0.1 0.0 0.1 -0.4 0.2 0.1 0.0 0.1 0.2 -0.7 0.6 0.1 US10U 0.4 0.4 0.5 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 -0.0 0.2 -0.2 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.1 0.2 0.0 0.0 0.1 0.1 0.1 0.0 0.1 0.0 0.1 -0.1 -0.1 0.1 0.2 -0.5 0.7 0.4 US2 0.6 0.6 0.6 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.1 0.1 -0.3 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.2 -0.2 0.2 2.0 0.0 0.1 0.0 0.1 -0.0 0.1 -1.1 0.5 0.4 0.2 0.0 0.1 -0.7 0.3 -0.4 US20 0.4 0.3 0.5 0.0 0.1 0.0 0.1 -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 0.2 -0.0 0.1 -0.2 0.0 0.1 0.1 0.1 0.0 0.0 0.2 0.1 -0.1 -0.1 0.1 0.2 -0.3 0.7 0.7 US30 0.3 0.2 0.4 0.0 0.1 0.0 0.1 -0.0 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.1 0.1 -0.1 0.0 0.1 0.1 0.1 0.0 0.0 -0.1 -0.1 -0.3 -0.2 0.1 0.1 -0.3 0.4 0.7 US5 0.5 0.6 0.5 0.0 0.1 0.0 0.1 -0.0 0.1 0.1 -0.0 0.1 -0.2 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.0 0.2 -0.1 0.2 0.9 0.0 0.1 0.0 0.1 0.0 0.1 -0.7 0.3 0.2 0.1 0.1 0.2 -0.7 0.5 -0.1 VIX 1.0 1.0 0.9 -0.0 0.3 -0.2 0.2 -0.4 0.1 0.2 -0.7 0.2 -1.2 0.2 -0.2 -0.6 -0.6 -0.6 -0.6 0.0 -0.1 0.3 -0.7 0.2 NaN -0.0 0.3 -0.2 0.2 -0.5 0.1 NaN NaN NaN NaN NaN -0.8 -1.1 NaN NaN WHEAT -0.3 -0.6 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.0 -0.2 -0.1 0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.1 0.2 -0.2 -0.6 0.1 -0.5 -0.7 -0.5 -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 -20.0 -4.5 5.1 -4.2 -8.9 -2.6 -8.8 -0.3 -6.7 -20.0 -3.4 -20.0 -3.9 -20.0 -0.7 -2.2 -2.7 -2.3 -2.5 -10.8 -0.7 -20.0 -1.3 -20.0 3.7 -4.3 -9.5 -0.5 -12.3 0.0 -10.1 -0.0 -20.0 -20.0 -5.7 7.6 9.4 -4.9 11.0 -0.9 BITCOIN 15.7 -19.9 -14.9 -5.6 -6.6 -3.3 -4.9 -1.1 -5.7 -17.6 5.9 -2.4 11.4 -2.5 -3.9 -6.2 -7.2 -6.8 -7.2 -2.6 3.1 -20.0 10.9 -5.9 -20.0 -1.1 -20.0 3.0 -9.5 8.6 -2.8 -3.1 -20.0 20.0 12.7 9.2 -19.7 -7.9 -6.6 -1.3 BOBL 20.0 14.6 1.9 2.7 8.7 1.1 7.0 -0.2 4.6 9.9 -5.6 11.3 -6.2 10.8 6.4 -20.0 -14.6 -20.0 -18.7 8.6 0.4 20.0 -4.9 17.1 4.4 2.8 8.2 0.6 7.6 -0.6 5.4 -20.0 1.5 2.4 2.7 -5.0 -20.0 -18.5 -11.6 -12.3 BTP 16.0 8.2 -1.4 4.5 14.4 1.8 11.7 -0.4 7.7 12.9 4.5 17.5 11.8 17.5 12.9 1.3 4.1 1.6 2.5 11.1 6.9 15.3 7.5 16.4 -20.0 5.0 4.0 3.4 6.9 3.7 7.2 11.4 -20.0 -14.7 -12.1 -7.1 -19.5 -16.0 -5.8 3.6 BUND 20.0 11.2 1.9 3.0 9.7 1.2 7.8 -0.3 5.2 11.2 -5.2 12.6 -2.9 11.5 7.6 6.4 0.9 3.2 0.9 8.6 1.6 20.0 -3.1 16.9 1.0 3.2 9.2 1.2 8.5 0.0 6.0 6.6 -4.4 -0.8 -0.6 -4.6 -20.0 -20.0 -10.6 -12.5 BUXL 17.8 6.0 0.4 3.5 11.2 1.4 9.1 -0.3 6.0 13.4 -7.1 14.4 -2.5 9.9 4.2 -0.5 -2.5 -2.0 -2.8 6.4 -0.1 20.0 -4.7 16.1 -3.5 3.1 12.5 1.1 10.7 -0.0 6.7 1.0 -8.8 -5.8 -6.5 -8.1 -20.0 -20.0 -15.7 -11.7 CAC -7.2 -18.2 -20.0 1.8 -16.5 4.2 -9.6 5.1 -2.8 -14.9 -5.8 -15.0 5.9 -15.9 -15.3 -8.4 -1.7 -6.0 -3.0 -16.6 -8.2 -20.0 2.3 -20.0 -8.1 -5.1 -10.7 -2.0 -7.9 1.6 -6.2 7.2 3.4 -14.3 -20.0 -20.0 6.6 5.5 3.0 7.5 CAD -15.3 -2.4 -3.9 -4.5 -9.7 -2.8 -9.7 -0.3 -7.3 -9.5 -20.0 -20.0 -19.1 -20.0 -19.2 -4.9 -3.2 -4.4 -3.8 -15.8 -12.6 -19.7 -12.3 -20.0 -1.2 -7.7 -3.7 -5.5 -9.9 -4.7 -10.7 -1.5 -4.1 -20.0 -6.8 -8.7 8.0 -6.6 -1.7 -4.7 CANOLA 4.6 -0.3 11.0 -2.2 -1.9 -1.5 -2.1 -0.9 -2.1 -6.5 -3.3 -5.4 -6.1 -2.7 -2.6 -9.8 -10.2 -12.6 -13.0 -2.3 -2.8 -8.1 -4.8 -3.6 -16.0 -1.8 -3.6 -2.0 -2.6 -2.6 -1.7 -20.0 -6.1 -2.8 -3.6 -3.2 -1.6 -12.1 6.6 -4.3 CHF 20.0 13.5 8.1 -3.2 -6.8 -2.0 -6.7 -0.2 -5.1 16.4 -9.9 17.3 -10.8 14.7 10.9 -16.3 -16.7 -17.1 -16.9 11.0 -0.1 20.0 -5.5 20.0 5.1 4.3 18.7 0.6 13.6 -1.2 8.5 -20.0 20.0 20.0 20.0 13.9 8.1 -11.5 -3.6 -12.2 COCOA -4.7 -17.6 3.5 -1.9 -1.8 -1.3 -1.9 -0.8 -1.9 -3.6 2.0 -4.1 3.4 -4.5 -3.3 20.0 17.1 20.0 20.0 -1.2 3.5 -3.0 7.8 -2.8 -18.8 0.4 -0.9 4.8 -1.2 9.5 -0.9 20.0 0.2 4.4 3.0 3.7 16.0 5.7 20.0 9.9 COFFEE -10.8 -1.1 10.2 -5.2 -4.9 -3.6 -5.1 -2.2 -5.2 -15.1 13.5 -14.4 14.1 -3.9 9.9 2.4 6.4 3.8 5.6 9.7 18.1 -11.4 18.3 -2.8 -20.0 2.3 -6.0 7.9 -6.0 10.3 -3.0 7.2 -10.1 13.1 16.8 20.0 -1.9 -10.6 5.7 -3.8 COPPER -20.0 -20.0 -6.2 -2.8 -3.3 -1.7 -2.5 -0.5 -2.9 -7.0 -0.6 -9.1 1.7 -9.3 -7.5 -2.7 -2.6 -1.2 -1.6 -8.6 -0.4 -11.9 4.3 -13.0 -11.1 -2.5 -2.5 -0.2 -2.8 1.2 -3.4 5.6 -2.6 -14.6 -5.5 11.3 7.9 2.4 17.4 12.1 CORN 4.7 -20.0 -3.0 -3.1 -2.9 -2.2 -3.1 -1.3 -3.1 -4.5 -9.9 -6.3 -10.9 -10.0 -10.3 -17.3 -13.5 -17.3 -16.8 -14.7 -13.7 -5.8 -12.3 -10.7 -8.0 -3.6 -0.3 -3.2 -1.4 -2.8 -2.7 -20.0 4.9 -1.9 -13.9 -8.3 -10.6 -11.1 -8.9 -1.5 COTTON2 -1.7 -6.9 -20.0 -4.4 -4.2 -3.1 -4.4 -1.9 -4.4 -13.2 -16.0 -13.5 -13.4 -14.5 -16.1 -11.6 -1.3 -7.8 -4.0 -19.6 -20.0 -12.9 -17.1 -15.0 -20.0 -5.5 -4.6 -5.0 -4.7 -2.3 -4.7 -7.7 -6.4 -3.5 3.6 -20.0 -8.0 -9.0 6.2 -1.9 CRUDE_W -20.0 -3.6 -10.2 -4.8 -11.0 -1.8 -9.2 0.9 -7.5 -18.3 4.9 -19.4 13.4 -12.2 -4.3 13.3 12.8 13.9 13.5 -8.3 -0.0 -20.0 6.0 -18.3 -3.1 -5.9 -10.9 -3.0 -9.7 0.8 -8.2 9.6 -7.9 -8.5 -1.4 -8.4 19.6 20.0 20.0 20.0 DAX -10.0 -13.2 -10.8 1.8 -16.2 4.2 -9.4 5.0 -2.8 -14.3 7.4 -12.9 12.7 -9.2 -7.4 -8.3 -10.9 -9.5 -10.4 -5.2 2.7 -20.0 9.4 -13.5 10.0 -2.2 -20.0 2.5 -12.6 6.4 -6.4 -7.8 5.2 -9.1 -20.0 -12.8 9.1 3.9 -5.4 5.4 DOW -1.5 2.3 -7.3 1.5 -13.6 3.5 -7.9 4.2 -2.3 -11.4 7.2 -6.5 11.1 0.1 4.1 -10.0 -11.3 -11.0 -11.3 4.4 5.9 -14.2 7.8 -1.1 -10.0 2.7 -12.4 3.4 -5.0 4.5 0.5 -8.7 9.9 20.0 5.8 -0.4 13.9 -0.8 6.2 -3.4 DX -12.4 -8.8 -4.9 -3.8 -8.2 -2.4 -8.1 -0.2 -6.2 -17.2 11.9 -14.0 14.7 -14.2 -9.6 7.3 7.1 7.4 7.3 -7.2 1.1 -20.0 6.3 -14.7 -20.0 -4.1 -20.0 0.2 -12.5 3.0 -8.1 16.8 -12.3 -20.0 -0.2 4.5 -9.1 5.5 -9.9 8.6 EUR 3.5 4.9 3.5 -4.1 -8.8 -2.6 -8.8 -0.3 -6.7 16.8 -9.1 3.8 -10.7 9.1 8.7 -7.5 -7.3 -7.6 -7.3 3.4 -0.4 9.9 -3.5 5.4 20.0 2.9 18.7 1.2 7.3 -0.2 3.9 -8.0 20.0 20.0 11.4 9.6 3.1 -17.6 -0.1 -16.7 EURIBOR-ICE 20.0 18.4 -0.3 2.3 7.2 0.9 5.8 -0.2 3.9 7.5 -2.6 9.2 0.7 9.4 6.5 -1.7 -4.4 -3.6 -4.0 9.6 3.1 18.2 0.2 15.9 12.3 2.6 4.5 0.9 5.1 0.3 4.3 -1.5 -4.9 3.9 3.9 -3.9 -20.0 -20.0 -9.1 1.3 EUROSTX -16.3 -16.6 -16.3 1.7 -15.2 3.9 -8.9 4.7 -2.6 -13.7 7.1 -14.3 11.9 -13.2 -10.9 -4.2 -2.7 -5.1 -4.2 -9.1 0.5 -20.0 8.9 -17.3 -1.8 -3.4 -14.7 1.3 -10.6 5.3 -6.9 5.0 5.0 -17.4 -20.0 -15.0 -0.4 1.0 -13.8 0.2 FEEDCOW -13.7 -7.2 -2.6 -6.0 -5.7 -4.2 -6.0 -2.6 -6.1 -19.2 -1.4 -20.0 -4.7 -19.2 -6.4 6.4 -20.0 -5.0 -15.1 -13.8 -7.0 -20.0 -2.8 -20.0 -8.0 -5.1 -20.0 -2.7 -17.0 -0.3 -9.5 -20.0 -20.0 -20.0 0.5 3.7 0.7 20.0 7.8 20.0 GASOIL -17.1 -1.4 -13.6 -4.4 -10.1 -1.7 -8.4 0.8 -6.9 -16.4 -1.3 -17.5 10.7 -11.7 -9.0 -0.9 10.3 -0.3 4.0 -9.7 -3.6 -20.0 3.8 -16.9 4.7 -4.8 -12.1 -2.1 -10.7 1.0 -8.1 0.1 -5.4 -6.8 4.9 -4.0 -15.8 -15.2 -20.0 -20.0 GASOLINE -13.0 -0.5 -10.7 -4.6 -10.5 -1.8 -8.7 0.8 -7.2 -17.1 5.2 -17.4 12.3 -7.9 -7.0 20.0 20.0 20.0 20.0 -5.6 0.1 -16.4 6.9 -11.1 -20.0 -4.9 -11.1 -2.2 -8.5 2.5 -6.6 20.0 6.3 8.0 4.5 -4.4 20.0 20.0 20.0 20.0 GAS_US_mini -16.5 -20.0 15.6 -2.6 -6.0 -1.0 -5.0 0.5 -4.1 -11.1 -11.1 -12.2 -11.5 -12.6 -11.5 -20.0 -20.0 -20.0 -20.0 -13.8 -10.9 -13.1 -15.7 -15.8 20.0 -3.3 -4.1 -2.6 -4.4 -3.4 -4.4 -20.0 -2.8 4.2 -13.5 9.7 -4.3 -10.1 -10.2 -17.4 GBP -3.4 4.1 6.9 -4.4 -9.4 -2.8 -9.3 -0.3 -7.1 -15.4 15.4 -14.3 8.4 2.2 14.9 -0.6 -0.8 -0.8 -0.8 8.9 9.9 -13.6 7.9 -0.6 -0.4 4.9 -10.0 6.0 -7.6 5.0 -0.5 3.1 -12.0 12.4 18.8 20.0 5.9 -20.0 4.7 -13.3 GOLD_micro 2.4 -0.9 -0.3 -3.6 -4.2 -2.1 -3.2 -0.7 -3.6 2.2 9.5 0.5 10.1 3.8 4.4 -11.5 -13.4 -11.8 -12.4 6.7 9.9 3.2 11.7 4.9 -4.5 1.2 -1.2 4.1 1.3 6.9 1.0 -12.9 16.2 20.0 20.0 14.6 7.8 -4.8 17.1 1.8 HEATOIL -16.5 0.6 -11.4 -4.6 -10.5 -1.8 -8.8 0.8 -7.2 -17.7 -6.9 -18.9 4.9 -12.3 -9.5 -4.7 8.3 -4.6 0.3 -10.5 -5.8 -20.0 0.1 -17.4 -20.0 -6.0 -11.9 -4.4 -9.7 -0.7 -7.6 -4.8 -2.7 -7.3 2.4 -13.2 -0.2 6.4 -9.9 2.4 JGB-SGX-mini 15.6 7.4 -6.4 2.1 6.7 0.8 5.4 -0.2 3.6 6.8 -4.8 5.0 -1.9 1.6 -1.7 19.1 19.0 20.0 19.6 0.7 -1.6 12.7 -1.5 5.3 -8.4 0.2 11.6 -1.2 6.6 -1.5 2.8 20.0 3.8 -3.6 -6.6 -12.3 -3.4 -4.8 0.1 15.5 JPY 20.0 20.0 3.7 -1.8 -3.8 -1.1 -3.7 -0.1 -2.8 9.1 -6.9 10.1 -9.4 8.6 1.7 -13.5 -16.0 -14.8 -15.3 5.7 -4.0 20.0 -9.8 17.9 20.0 1.5 8.7 -1.0 7.2 -2.4 4.7 -20.0 20.0 20.0 15.0 -4.7 -20.0 -15.1 -20.0 -14.2 LEANHOG 20.0 -4.4 -20.0 -3.6 -3.4 -2.5 -3.6 -1.6 -3.7 -0.7 -7.8 8.3 -6.5 4.3 -7.6 20.0 4.4 20.0 20.0 -8.5 -11.9 4.5 -9.5 1.3 3.7 -2.4 0.2 -3.2 1.2 -2.3 0.4 20.0 14.9 15.9 3.6 -18.5 -3.1 -7.6 1.4 3.2 LIVECOW -11.4 9.8 12.5 -6.4 -6.0 -4.5 -6.4 -2.7 -6.4 -19.4 18.1 -12.2 9.4 6.9 16.3 4.3 9.2 10.1 12.2 12.8 14.9 -20.0 11.1 -1.2 -12.3 4.6 -20.0 6.2 -10.3 6.1 -1.0 15.5 -10.6 -4.4 20.0 20.0 -0.2 20.0 4.5 20.0 LUMBER-new 20.0 -0.0 -15.2 -3.1 -2.9 -2.2 -3.1 -1.2 -3.1 8.5 -8.7 9.1 -9.0 1.7 -6.5 -16.7 -17.3 -16.9 -17.3 -5.3 -10.3 6.3 -9.2 2.6 NaN -1.6 2.5 -4.3 2.6 -4.0 1.6 -20.0 16.7 16.2 9.6 -17.9 2.8 -4.7 8.2 -1.8 MILK -2.1 0.3 20.0 -4.8 -4.5 -3.3 -4.8 -2.1 -4.8 -13.4 11.5 -2.5 -0.6 -3.1 11.8 -11.7 -20.0 -17.5 -20.0 10.4 12.9 -8.7 2.5 1.9 18.7 3.5 -11.2 4.8 -4.4 0.4 -0.1 -20.0 1.8 11.2 14.6 20.0 -4.9 -20.0 -0.7 -20.0 MXP -11.5 -9.5 -20.0 -2.0 -4.3 -1.3 -4.3 -0.1 -3.3 -10.5 -5.5 -11.1 1.7 -8.3 -7.8 10.3 15.0 11.5 13.1 -11.7 -7.4 -20.0 0.1 -16.2 -20.0 -3.4 -7.2 -2.2 -5.9 0.1 -4.3 20.0 -20.0 -16.0 -13.0 -20.0 17.4 12.8 20.0 19.6 NASDAQ_micro -20.0 -20.0 -6.6 1.1 -9.9 2.6 -5.8 3.1 -1.7 -8.8 5.8 -9.2 8.9 -7.0 1.9 -8.7 -10.7 -10.4 -10.7 -1.8 4.9 -18.6 8.0 -11.2 -17.9 -0.1 -5.8 2.2 -4.9 3.5 -3.1 -7.7 -6.2 -20.0 -2.5 3.1 3.5 6.2 -4.1 5.3 NIKKEI -20.0 -14.3 -20.0 1.2 -11.0 2.8 -6.4 3.4 -1.9 -9.7 5.3 -9.9 8.5 -7.9 -2.9 12.3 10.5 11.8 10.5 -4.0 2.1 -20.0 6.2 -13.6 -11.4 -0.9 -11.6 1.4 -7.9 3.1 -4.3 20.0 -20.0 -20.0 -9.4 -10.0 8.2 -3.1 0.3 -6.9 NZD -20.0 -12.9 2.4 -3.3 -7.1 -2.1 -7.1 -0.2 -5.4 5.7 -7.5 -10.8 -3.8 -14.3 -7.8 -0.6 0.1 -0.3 -0.1 -12.7 -5.5 -10.8 -3.2 -17.6 0.4 -4.8 -0.5 -2.0 -3.9 -0.8 -6.5 4.4 3.5 -20.0 -16.0 2.1 8.6 -5.1 7.0 0.1 OAT 18.2 6.7 -6.5 3.2 10.2 1.2 8.2 -0.3 5.4 12.1 -7.6 13.1 -3.5 11.0 2.1 0.4 3.8 0.7 2.0 3.5 -3.0 16.4 -5.3 11.8 2.2 1.9 7.8 -0.4 7.8 -0.9 5.5 10.8 -20.0 -9.7 -13.6 -11.7 -20.0 -20.0 -8.6 -2.7 OATIES 10.3 -18.2 -4.6 -2.6 -2.4 -1.8 -2.5 -1.1 -2.6 -6.7 -7.3 -2.8 -8.1 -6.4 -7.7 4.6 1.2 2.4 2.5 -8.5 -9.1 -3.3 -7.7 -5.0 -20.0 -2.4 -1.1 -2.1 -1.1 -1.5 -1.6 -0.4 -3.1 3.6 -10.9 0.9 5.3 -0.9 16.0 9.2 OJ -12.0 -2.6 -2.1 -4.5 -4.2 -3.1 -4.4 -1.9 -4.5 -12.7 10.7 -13.7 13.3 -5.5 6.3 7.3 11.8 8.6 9.3 6.8 16.5 -8.6 20.0 -3.8 -20.0 1.6 -3.2 6.2 -3.3 11.4 -2.1 14.6 -1.0 5.1 4.2 20.0 12.4 10.3 20.0 20.0 PALLAD -15.0 5.0 4.6 -2.6 -3.1 -1.5 -2.3 -0.5 -2.7 -7.1 -7.2 -8.4 -8.4 -7.8 -7.4 -1.7 -2.1 -1.8 -1.9 -5.0 -4.8 -8.7 -8.0 -6.9 14.1 -2.7 -5.4 -2.5 -3.8 -3.0 -3.1 6.0 1.2 -5.4 10.4 -0.1 -20.0 -20.0 -20.0 -20.0 PLAT -13.5 -9.0 4.8 -3.9 -4.6 -2.3 -3.4 -0.8 -4.0 -7.6 -2.2 -9.1 -4.2 -9.6 -6.9 -5.2 -4.4 -5.2 -4.9 -5.0 -0.5 -10.5 0.6 -8.7 7.1 -3.6 -7.3 -1.5 -4.4 -0.0 -4.4 1.4 1.3 -4.0 6.0 9.3 -15.5 -10.4 -6.2 2.1 REDWHEAT -4.6 -20.0 0.0 -4.2 -4.0 -2.9 -4.2 -1.8 -4.2 4.6 -11.0 -6.3 -12.6 -13.4 -13.8 -10.6 -4.9 -10.0 -7.7 -17.6 -13.5 -3.4 -13.0 -13.3 -5.6 -4.1 1.2 -2.9 -0.7 -2.5 -3.1 -14.1 7.7 -4.9 -20.0 5.1 -18.3 -20.0 -12.6 -18.0 RICE 7.1 -16.6 2.7 -5.0 -4.8 -3.5 -5.0 -2.2 -5.1 10.5 10.6 12.9 13.3 1.8 8.1 -1.7 20.0 20.0 20.0 0.2 4.0 10.6 9.5 4.9 -10.8 2.7 3.8 2.6 5.8 3.0 4.6 20.0 20.0 20.0 19.3 20.0 -20.0 -10.8 -20.0 -9.5 ROBUSTA -8.8 1.0 15.7 -3.2 -3.0 -2.2 -3.2 -1.4 -3.2 -10.2 9.9 -7.8 10.5 0.3 7.6 20.0 20.0 20.0 20.0 11.1 19.2 -9.5 20.0 -0.1 -20.0 3.1 -3.0 6.1 -2.4 8.3 0.1 20.0 -14.6 12.7 20.0 20.0 2.9 -5.7 9.6 2.7 RUSSELL 9.3 6.3 -0.6 1.2 -10.7 2.7 -6.2 3.3 -1.8 -9.3 6.5 -1.8 7.9 2.5 4.8 -6.0 -6.8 -6.7 -6.8 5.4 4.7 -11.8 3.8 1.3 -0.9 2.6 -7.2 2.3 -2.6 1.8 1.3 -0.9 5.7 20.0 12.6 4.0 4.0 -20.0 -0.6 -20.0 SHATZ 20.0 20.0 10.1 2.2 7.0 0.9 5.7 -0.2 3.7 8.3 -4.8 9.2 -6.6 8.9 6.5 -20.0 -20.0 -20.0 -20.0 8.4 -0.0 20.0 -7.0 15.8 7.1 2.3 6.5 0.3 5.8 -1.2 4.3 -20.0 7.0 5.7 7.4 -3.3 -20.0 -15.2 -17.7 -11.2 SILVER-mini -20.0 -11.4 5.1 -3.1 -3.7 -1.8 -2.8 -0.6 -3.2 -6.6 4.9 -8.6 5.8 -8.3 -2.0 -5.7 -6.4 -5.9 -6.1 -2.6 4.4 -11.2 6.6 -9.1 2.3 -2.4 -4.7 0.4 -3.9 2.0 -3.9 -1.4 -5.2 -4.9 1.9 10.4 1.5 -6.3 7.9 5.8 SMI -15.9 -13.6 9.8 2.0 -17.8 4.6 -10.4 5.5 -3.1 -15.4 15.0 -9.9 15.8 -2.6 11.8 -3.3 0.6 -3.2 -1.5 4.9 12.9 -20.0 13.6 -10.0 13.6 5.2 -15.4 8.5 -6.9 8.8 0.5 10.4 20.0 20.0 -1.3 14.3 4.8 2.2 -4.1 -0.1 SOFR 14.2 17.9 14.2 3.3 10.5 1.3 8.5 -0.3 5.6 12.0 3.1 13.3 -1.1 13.5 12.8 -0.4 -1.2 -1.5 -1.6 14.8 7.2 20.0 0.1 20.0 -4.1 4.2 10.7 2.6 8.7 1.0 5.9 3.3 6.2 1.8 3.5 7.3 10.4 -13.9 20.0 4.5 SOYBEAN -1.4 -17.0 -7.3 -2.7 -2.5 -1.9 -2.7 -1.2 -2.7 -3.1 -8.9 -5.9 -6.9 -8.3 -8.9 -4.6 4.8 -2.7 -0.1 -12.3 -10.5 -6.4 -7.8 -10.6 -17.9 -3.2 0.0 -2.6 -1.5 -1.7 -2.6 0.4 2.2 -14.6 -13.1 -8.3 -8.3 -20.0 -3.0 -20.0 SOYMEAL 11.8 -15.6 -3.9 -3.0 -2.8 -2.1 -3.0 -1.3 -3.0 7.1 -8.8 4.3 -8.7 -4.9 -8.0 -0.2 6.3 3.8 4.0 -8.2 -8.7 4.7 -7.5 -3.0 -20.0 -2.2 4.1 -2.0 1.8 -1.4 -0.7 4.9 20.0 3.6 -6.6 5.1 -20.0 -20.0 -20.0 -20.0 SOYOIL -20.0 4.8 4.2 -2.3 -2.2 -1.6 -2.3 -1.0 -2.3 -7.4 -6.4 -8.1 -7.5 -7.2 -6.2 5.1 1.0 2.7 0.5 -5.7 -5.1 -12.4 -6.2 -9.2 -18.3 -2.3 -4.4 -2.0 -4.3 -1.9 -3.3 -3.0 -12.6 -18.4 1.4 -6.7 -9.0 -12.1 1.6 -2.0 SP400 6.1 -3.2 -8.9 1.3 -12.2 3.1 -7.1 3.8 -2.1 -10.1 7.0 -3.5 9.4 -0.0 2.1 -5.1 -5.8 -5.6 -5.8 2.5 4.1 -12.8 5.7 -1.3 -9.5 2.6 -10.6 3.1 -4.2 3.4 0.7 0.9 9.6 20.0 5.4 -1.4 5.5 -9.4 1.5 -20.0 SP500_micro -20.0 -20.0 -5.6 1.6 -14.1 3.6 -8.2 4.3 -2.4 -12.3 11.2 -12.1 13.6 -6.6 6.2 -11.6 -12.7 -13.2 -13.2 1.5 9.6 -20.0 13.3 -10.5 -17.8 1.2 -11.3 4.5 -7.7 6.3 -3.5 -11.4 -7.4 -15.0 1.6 5.9 12.5 3.2 0.9 2.7 SUGAR11 -14.6 10.4 -6.2 -3.9 -3.7 -2.7 -3.9 -1.7 -4.0 -8.2 -11.1 -8.8 -9.5 -7.7 -8.4 -4.4 7.9 -2.2 2.1 -7.7 -9.5 -11.6 -8.5 -9.5 -20.0 -2.9 -6.1 -4.2 -4.6 -3.8 -3.4 5.5 6.0 -16.5 15.6 -9.9 -1.0 20.0 3.2 20.0 US10 13.7 15.6 14.8 2.7 8.6 1.1 6.9 -0.2 4.6 10.1 1.0 10.9 -4.3 10.8 9.9 -7.9 -7.5 -7.4 -7.3 10.2 4.0 20.0 -2.4 16.4 2.6 3.2 10.1 1.8 7.9 0.3 4.9 -7.0 8.7 1.7 1.3 4.5 6.2 -20.0 16.7 3.3 US10U 12.5 13.2 14.8 3.6 11.4 1.4 9.2 -0.3 6.1 13.6 -0.1 14.4 -5.5 13.9 12.7 -3.4 -2.9 -4.2 -3.8 11.5 4.1 20.0 -3.8 19.4 0.1 4.1 14.0 2.3 10.6 0.4 6.4 0.0 5.7 -2.2 -1.9 4.3 6.6 -16.4 20.0 12.9 US2 18.4 20.0 18.2 2.6 8.4 1.0 6.8 -0.2 4.5 9.9 -3.3 10.7 -8.3 10.6 8.5 -20.0 -20.0 -20.0 -20.0 10.5 2.0 20.0 -5.9 18.2 15.1 2.8 10.6 0.9 8.0 -0.6 5.0 -20.0 20.0 12.5 6.8 1.3 3.8 -20.0 7.8 -10.9 US20 10.9 9.3 14.0 2.4 7.7 0.9 6.2 -0.2 4.1 9.1 0.7 9.4 -1.5 8.6 8.2 -0.9 -0.8 -0.8 -0.7 6.8 2.9 20.0 -1.6 11.9 -1.5 2.7 9.6 1.9 7.1 0.7 4.1 4.4 2.6 -3.2 -2.8 4.1 5.3 -10.1 20.0 20.0 US30 8.4 7.2 13.3 2.7 8.6 1.1 7.0 -0.2 4.6 10.2 -1.0 10.1 -3.0 8.0 7.5 -3.0 -4.9 -4.0 -4.5 5.6 1.8 19.5 -2.8 10.7 -0.9 2.8 11.5 2.0 8.0 0.5 4.4 -2.6 -2.9 -8.2 -5.9 2.0 2.2 -9.4 13.3 20.0 US5 15.6 18.9 15.6 2.9 9.2 1.1 7.4 -0.3 4.9 10.6 -0.2 11.7 -6.7 11.7 10.4 -12.0 -10.6 -11.3 -10.7 11.8 4.2 20.0 -3.3 18.9 6.8 3.4 10.7 1.7 8.4 0.1 5.4 -12.7 13.4 5.9 4.0 4.5 6.5 -19.9 13.9 -3.5 VIX 20.0 20.0 16.5 -0.5 20.0 -4.9 12.9 -7.7 5.8 16.8 -16.7 14.1 -20.0 9.1 -11.1 -20.0 -20.0 -20.0 -20.0 1.0 -7.2 20.0 -15.4 11.1 NaN -0.6 20.0 -5.7 14.1 -9.2 6.3 NaN NaN NaN NaN NaN -15.9 -20.0 NaN NaN WHEAT -7.9 -20.0 -0.3 -2.9 -2.7 -2.0 -2.9 -1.2 -2.9 2.9 -7.2 -5.5 -8.0 -9.3 -9.6 -16.0 -14.6 -16.0 -15.6 -13.2 -9.4 -2.8 -8.0 -10.4 1.2 -2.8 0.8 -1.8 -0.6 -1.3 -2.3 -20.0 6.4 -7.5 -18.1 3.1 -16.1 -20.0 -13.8 -20.0 End of report for caleb_strategy_v3