******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240807_203933 produced at 2024-08-07 21:38:16.018525 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 MXP False False 0.01 -0.12 -0.16 0.0 0.53 -0.53 -0.12 -0.12 -18.15 60.0 -14 -14 caleb_strategy_v3 CAD False False 0.02 -0.05 -0.11 0.0 0.72 -0.72 -0.05 -0.02 -4.55 29.0 -2 -1 caleb_strategy_v3 DX False True 0.04 0.00 -0.09 0.0 0.00 0.00 0.00 0.00 -2.50 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.07 0.0 0.32 -0.32 -0.04 -0.08 -1.77 8.0 -1 -2 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.06 0.0 999.00 -999.00 -0.03 -0.03 -1.69 999999999.0 -1 -1 caleb_strategy_v3 AUD False False 0.02 0.00 -0.05 0.0 0.42 -0.42 0.00 0.00 -2.06 19.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 -0.10 -0.05 0.0 0.10 -0.10 -0.10 -0.07 -1.50 3.0 -3 -2 caleb_strategy_v3 CAC True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.75 12.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.03 -0.04 0.0 0.08 -0.08 -0.03 -0.02 -6.25 12.0 -4 -3 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -22.60 59.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.04 24.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 -0.03 -0.04 0.0 0.34 -0.34 -0.03 -0.03 -2.38 20.0 -2 -2 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.13 -0.13 -0.06 -0.06 -3.74 11.0 -5 -5 caleb_strategy_v3 NIKKEI False False 0.01 -0.04 -0.04 0.0 0.29 -0.29 -0.04 -0.03 -4.55 36.0 -5 -4 caleb_strategy_v3 BTP False False 0.04 0.00 -0.04 0.0 0.44 -0.44 0.00 0.00 -0.95 10.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.03 0.0 0.05 -0.05 -0.03 -0.03 -17.24 26.0 -17 -17 caleb_strategy_v3 GASOIL False False 0.02 0.00 -0.03 0.0 0.10 -0.10 0.00 -0.02 -1.32 4.0 0 -1 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.03 0.0 0.83 -0.83 0.00 0.00 -0.69 19.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.03 0.0 0.28 -0.28 -0.01 -0.02 -2.17 23.0 -1 -2 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.03 0.0 0.43 -0.43 0.00 0.00 -3.63 48.0 0 0 caleb_strategy_v3 OAT False False 0.05 -0.05 -0.03 0.0 0.47 -0.47 -0.05 -0.05 -0.62 10.0 -1 -1 caleb_strategy_v3 CANOLA False False 0.00 -0.01 -0.03 0.0 0.15 -0.15 -0.01 -0.00 -8.67 51.0 -2 -1 caleb_strategy_v3 DAX False False 0.01 0.00 -0.03 0.0 0.38 -0.38 0.00 0.00 -4.16 58.0 0 0 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.03 0.0 0.43 -0.43 -0.02 -0.04 -1.44 21.0 -1 -2 caleb_strategy_v3 VIX False False 0.01 -0.02 -0.02 0.0 999.00 -999.00 -0.02 -0.02 -2.14 999999999.0 -3 -2 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.02 0.0 0.13 -0.13 0.00 0.00 -2.22 18.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.08 -0.08 -0.02 -0.02 -1.98 8.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.07 -0.02 0.0 0.12 -0.12 -0.07 -0.09 -0.97 7.0 -4 -5 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.09 -0.09 -0.04 -0.04 -1.81 9.0 -4 -4 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.82 10.0 -1 -1 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.20 -0.20 0.00 0.00 -0.13 4.0 0 0 caleb_strategy_v3 SP400 False False 0.10 -0.10 -0.01 0.0 0.20 -0.20 -0.10 -0.20 -0.14 2.0 -1 -2 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -1.10 10.0 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 -1.62 3.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -0.92 9.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 -0.02 -0.01 0.0 999.00 -999.00 -0.02 -0.02 -0.35 999999999.0 -1 -1 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.01 0.0 0.44 -0.44 -0.01 0.00 -1.42 66.0 -1 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -2.46 2.0 0 0 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 COCOA False False 0.02 0.00 0.00 0.0 0.63 -0.63 0.00 0.00 0.18 26.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.19 -0.19 0.00 0.00 0.10 6.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.00 0.0 0.50 -0.50 0.00 0.00 0.05 10.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.01 -0.00 0.0 0.24 -0.24 0.01 0.00 -0.58 68.0 3 1 caleb_strategy_v3 GBP False False 0.03 0.00 0.00 0.0 0.60 -0.60 0.00 0.00 0.07 22.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.09 0.01 0.0 0.27 -0.27 0.09 0.13 0.12 6.0 2 3 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.01 0.0 0.34 -0.34 0.00 0.00 0.57 23.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.34 999999999.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.35 9.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.07 -0.07 0.00 0.00 0.37 5.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.01 0.0 0.12 -0.12 0.01 0.01 1.54 13.0 1 1 caleb_strategy_v3 JPY False False 0.03 0.03 0.01 0.0 0.50 -0.50 0.03 0.06 0.38 17.0 1 2 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.07 -0.07 0.02 0.02 0.64 3.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.02 0.0 0.12 -0.12 0.05 0.07 0.68 5.0 2 3 caleb_strategy_v3 RICE False True 0.01 0.00 0.02 0.0 0.00 0.00 0.00 0.00 1.79 4.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.02 0.02 0.0 0.46 -0.46 0.02 0.01 2.25 56.0 2 1 caleb_strategy_v3 US10U False False 0.04 0.16 0.02 0.0 0.52 -0.52 0.16 0.12 0.54 13.0 4 3 caleb_strategy_v3 CHF False False 0.05 0.15 0.02 0.0 0.65 -0.65 0.15 0.10 0.47 13.0 3 2 caleb_strategy_v3 US10 False False 0.04 0.00 0.02 0.0 0.66 -0.66 0.00 0.00 0.57 17.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.11 0.03 0.0 0.93 -0.93 0.11 0.11 0.92 25.0 3 3 caleb_strategy_v3 LIVECOW False False 0.02 0.07 0.03 0.0 0.42 -0.42 0.07 0.07 1.33 17.0 3 3 caleb_strategy_v3 SMI False True 0.05 0.00 0.05 0.0 0.00 0.00 0.00 0.00 1.00 9.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.05 0.06 0.0 0.65 -0.65 0.05 0.05 1.22 14.0 1 1 caleb_strategy_v3 US2 False True 0.07 0.00 0.07 0.0 0.00 0.00 0.00 0.00 0.99 13.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.10 0.27 0.0 0.54 -0.54 0.10 0.13 8.02 16.0 3 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.50 0.0 0.91 -0.91 0.00 0.00 5.50 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 0.94 0.0 0.00 0.00 0.00 0.00 11.43 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.9 Shocked risk 16.5 Sum abs risk 35.6 Leverage 3.56 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2927243.99, 'annual_cash_vol_target': 731810.9975, 'daily_cash_vol_target': 45738.18734375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0033 0.6522 0.5055 8.0872 BITCOIN 2092.6001 55015.0000 3.8037 60.8590 BOBL 0.2426 117.8900 0.2058 3.2928 BTP 0.4834 118.6000 0.4076 6.5217 BUND 0.5071 134.1100 0.3781 6.0503 BUXL 1.3101 135.0800 0.9699 15.5185 CAC 72.0343 7255.0000 0.9929 15.8863 CAD 0.0024 0.7282 0.3359 5.3742 CANOLA 9.7858 604.1000 1.6199 25.9184 CHF 0.0066 1.1656 0.5624 8.9979 COCOA 243.9295 7141.0000 3.4159 54.6544 COFFEE 4.3958 240.7000 1.8263 29.2201 COPPER 0.0613 3.9315 1.5599 24.9582 CORN 5.7656 401.5000 1.4360 22.9764 COTTON2 0.9427 67.7400 1.3917 22.2665 CRUDE_W 1.2059 72.7500 1.6576 26.5217 DAX 168.8842 17496.0000 0.9653 15.4444 DOW 318.3453 38901.0000 0.8183 13.0936 DX 0.3845 103.0200 0.3732 5.9713 EUR 0.0045 1.0942 0.4136 6.6169 EURIBOR-ICE 0.0423 97.7900 0.0433 0.6928 EUROSTX 50.7146 4627.0000 1.0961 17.5369 FEEDCOW 2.0864 236.9250 0.8806 14.0899 GASOIL 12.0324 722.0000 1.6665 26.6645 GASOLINE 0.0376 2.1055 1.7880 28.6078 GAS_US_mini 0.0875 2.2400 3.9050 62.4803 GBP 0.0059 1.2692 0.4662 7.4593 GOLD_micro 20.3130 2402.9000 0.8454 13.5257 HEATOIL 0.0399 2.3769 1.6807 26.8910 JGB-SGX-mini 0.4428 144.7500 0.3059 4.8944 JPY 0.0001 0.0068 0.8450 13.5202 LEANHOG 1.2638 67.0750 1.8842 30.1472 LIVECOW 1.3265 179.2000 0.7402 11.8440 LUMBER-new 8.3650 528.5000 1.5828 25.3246 MILK 0.2706 21.1800 1.2776 20.4423 MXP 0.0005 0.0515 0.9597 15.3549 NASDAQ_micro 243.7670 18033.0000 1.3518 21.6285 NIKKEI 993.4731 34460.0000 2.8830 46.1276 NZD 0.0034 0.5990 0.5759 9.2140 OAT 0.4520 125.9200 0.3590 5.7432 OATIES 5.9850 314.7500 1.9015 30.4243 OJ 7.2853 436.2500 1.6700 26.7197 PALLAD 23.4891 868.0000 2.7061 43.2979 PLAT 16.2330 921.2000 1.7622 28.1945 REDWHEAT 9.7212 573.5000 1.6951 27.1211 RICE 0.1550 15.3950 1.0069 16.1097 ROBUSTA 69.3142 4285.0000 1.6176 25.8816 RUSSELL 31.6549 2045.3000 1.5477 24.7630 SHATZ 0.0830 106.3350 0.0781 1.2489 SILVER-mini 0.5157 27.1000 1.9031 30.4501 SMI 102.8225 11743.0000 0.8756 14.0097 SOFR 0.0688 96.7850 0.0711 1.1368 SOYBEAN 13.3718 1019.5000 1.3116 20.9857 SOYMEAL 5.1403 319.2000 1.6104 25.7658 SOYOIL 0.7540 40.7600 1.8500 29.5995 SP400 33.7877 2895.1000 1.1671 18.6731 SP500_micro 48.5629 5246.7500 0.9256 14.8093 SUGAR11 0.3112 18.4000 1.6911 27.0580 US10 0.4582 112.8594 0.4060 6.4958 US10U 0.6272 116.7969 0.5370 8.5926 US2 0.1271 103.2891 0.1230 1.9683 US20 0.9726 122.4375 0.7944 12.7097 US30 1.4602 130.2500 1.1211 17.9369 US5 0.2960 108.7656 0.2721 4.3540 VIX 1.3073 24.0500 5.4357 86.9705 WHEAT 9.5852 563.2500 1.7018 27.2281 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 652.15 0.51 329.63 1.00 329.63 45738.19 138.76 -5.72 -79.42 BITCOIN 55.02 3.80 209.26 1.00 209.26 45738.19 218.57 -9.55 -208.67 BOBL 1178.90 0.21 242.62 1.09 265.60 45738.19 172.21 -3.96 -68.27 BTP 1186.00 0.41 483.42 1.09 529.20 45738.19 86.43 -3.23 -27.90 BUND 1341.10 0.38 507.13 1.09 555.16 45738.19 82.39 0.56 4.62 BUXL 1350.80 0.97 1310.15 1.09 1434.22 45738.19 31.89 -4.01 -12.80 CAC 725.50 0.99 720.34 1.09 788.56 45738.19 58.00 -8.83 -51.23 CAD 728.20 0.34 244.59 1.00 244.59 45738.19 187.00 -9.38 -175.44 CANOLA 120.82 1.62 195.72 0.72 141.65 45738.19 322.90 -11.04 -356.57 CHF 1457.00 0.56 819.38 1.00 819.38 45738.19 55.82 3.23 18.03 COCOA 714.10 3.42 2439.29 1.00 2439.29 45738.19 18.75 4.44 8.33 COFFEE 902.62 1.83 1648.42 1.00 1648.42 45738.19 27.75 3.11 8.62 COPPER 982.88 1.56 1533.18 1.00 1533.18 45738.19 29.83 -5.22 -15.59 CORN 200.75 1.44 288.28 1.00 288.28 45738.19 158.66 -16.18 -256.72 COTTON2 338.70 1.39 471.36 1.00 471.36 45738.19 97.04 -17.97 -174.41 CRUDE_W 727.50 1.66 1205.91 1.00 1205.91 45738.19 37.93 1.65 6.24 DAX 174.96 0.97 168.88 1.09 184.88 45738.19 247.40 -4.93 -121.95 DOW 194.50 0.82 159.17 1.00 159.17 45738.19 287.35 -2.12 -60.89 DX 1030.20 0.37 384.48 1.00 384.48 45738.19 118.96 -8.10 -96.33 EUR 1367.69 0.41 565.61 1.00 565.61 45738.19 80.86 5.83 47.11 EURIBOR-ICE 2444.75 0.04 105.85 1.09 115.88 45738.19 394.71 4.08 161.20 EUROSTX 462.70 1.10 507.15 1.09 555.17 45738.19 82.39 -8.48 -69.90 FEEDCOW 1184.62 0.88 1043.20 1.00 1043.20 45738.19 43.84 -12.21 -53.54 GASOIL 722.00 1.67 1203.24 1.00 1203.24 45738.19 38.01 -8.00 -30.41 GASOLINE 884.31 1.79 1581.13 1.00 1581.13 45738.19 28.93 2.75 7.95 GAS_US_mini 56.00 3.91 218.68 1.00 218.68 45738.19 209.15 -7.61 -159.20 GBP 793.25 0.47 369.82 1.00 369.82 45738.19 123.68 0.21 2.63 GOLD_micro 240.29 0.85 203.13 1.00 203.13 45738.19 225.17 2.93 66.02 HEATOIL 998.30 1.68 1677.83 1.00 1677.83 45738.19 27.26 -12.69 -34.58 JGB-SGX-mini 144750.00 0.31 44279.04 0.01 303.20 45738.19 150.85 4.91 74.05 JPY 855.69 0.85 723.07 1.00 723.07 45738.19 63.26 2.32 14.67 LEANHOG 268.30 1.88 505.53 1.00 505.53 45738.19 90.48 2.80 25.32 LIVECOW 716.80 0.74 530.61 1.00 530.61 45738.19 86.20 4.65 40.10 LUMBER-new 145.34 1.58 230.04 1.00 230.04 45738.19 198.83 -3.80 -75.60 MILK 423.60 1.28 541.21 1.00 541.21 45738.19 84.51 2.05 17.33 MXP 257.35 0.96 246.97 1.00 246.97 45738.19 185.19 -6.68 -123.69 NASDAQ_micro 360.66 1.35 487.53 1.00 487.53 45738.19 93.82 -9.97 -93.57 NIKKEI 34460.00 2.88 99347.31 0.01 680.28 45738.19 67.23 -6.25 -42.01 NZD 599.05 0.58 344.98 1.00 344.98 45738.19 132.58 -4.19 -55.52 OAT 1259.20 0.36 451.99 1.09 494.79 45738.19 92.44 -1.97 -18.19 OATIES 157.38 1.90 299.25 1.00 299.25 45738.19 152.84 -6.62 -101.13 OJ 654.38 1.67 1092.79 1.00 1092.79 45738.19 41.85 7.17 29.99 PALLAD 868.00 2.71 2348.91 1.00 2348.91 45738.19 19.47 -4.51 -8.78 PLAT 460.60 1.76 811.65 1.00 811.65 45738.19 56.35 -4.26 -24.02 REDWHEAT 286.75 1.70 486.06 1.00 486.06 45738.19 94.10 -15.89 -149.51 RICE 307.90 1.01 310.01 1.00 310.01 45738.19 147.54 4.98 73.44 ROBUSTA 428.50 1.62 693.14 1.00 693.14 45738.19 65.99 7.44 49.09 RUSSELL 102.26 1.55 158.27 1.00 158.27 45738.19 288.98 -0.60 -17.47 SHATZ 1063.35 0.08 83.00 1.09 90.86 45738.19 503.37 -2.04 -102.87 SILVER-mini 677.50 1.90 1289.37 1.00 1289.37 45738.19 35.47 -2.87 -10.18 SMI 1174.30 0.88 1028.23 1.17 1200.45 45738.19 38.10 7.70 29.33 SOFR 2419.62 0.07 171.92 1.00 171.92 45738.19 266.05 7.07 188.05 SOYBEAN 509.75 1.31 668.59 1.00 668.59 45738.19 68.41 -15.27 -104.48 SOYMEAL 319.20 1.61 514.03 1.00 514.03 45738.19 88.98 -11.09 -98.66 SOYOIL 244.56 1.85 452.43 1.00 452.43 45738.19 101.09 -11.71 -118.35 SP400 2895.10 1.17 3378.77 1.00 3378.77 45738.19 13.54 -3.07 -4.16 SP500_micro 262.34 0.93 242.81 1.00 242.81 45738.19 188.37 -8.29 -156.20 SUGAR11 206.08 1.69 348.51 1.00 348.51 45738.19 131.24 -7.94 -104.17 US10 1128.59 0.41 458.19 1.00 458.19 45738.19 99.82 4.50 44.94 US10U 1167.97 0.54 627.24 1.00 627.24 45738.19 72.92 5.80 42.31 US2 2065.78 0.12 254.13 1.00 254.13 45738.19 179.98 4.33 78.00 US20 1224.38 0.79 972.59 1.00 972.59 45738.19 47.03 5.82 27.38 US30 1302.50 1.12 1460.17 1.00 1460.17 45738.19 31.32 2.97 9.29 US5 1087.66 0.27 295.98 1.00 295.98 45738.19 154.53 4.70 72.68 VIX 240.50 5.44 1307.27 1.00 1307.27 45738.19 34.99 -2.48 -8.69 WHEAT 281.62 1.70 479.26 1.00 479.26 45738.19 95.44 -14.31 -136.59 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -79.419 0.010 2.5 -2.061 BITCOIN -208.671 0.043 2.5 -22.596 BOBL -68.266 0.004 2.5 -0.692 BTP -27.896 0.014 2.5 -0.951 BUND 4.625 0.004 2.5 0.047 BUXL -12.796 0.004 2.5 -0.130 CAC -51.228 0.014 2.5 -1.747 CAD -175.440 0.010 2.5 -4.552 CANOLA -356.570 0.010 2.5 -8.675 CHF 18.029 0.010 2.5 0.468 COCOA 8.328 0.009 2.5 0.178 COFFEE 8.622 0.005 2.5 0.101 COPPER -15.585 0.043 2.5 -1.688 CORN -256.717 0.010 2.5 -6.246 COTTON2 -174.408 0.009 2.5 -3.735 CRUDE_W 6.244 0.043 2.5 0.676 DAX -121.950 0.014 2.5 -4.159 DOW -60.887 0.009 2.5 -1.415 DX -96.332 0.010 2.5 -2.499 EUR 47.110 0.010 2.5 1.222 EURIBOR-ICE 161.202 0.014 2.5 5.498 EUROSTX -69.898 0.014 2.5 -2.384 FEEDCOW -53.543 0.013 2.5 -1.774 GASOIL -30.411 0.017 2.5 -1.318 GASOLINE 7.950 0.017 2.5 0.345 GAS_US_mini -159.199 0.043 2.5 -17.239 GBP 2.627 0.010 2.5 0.068 GOLD_micro 66.025 0.014 2.5 2.252 HEATOIL -34.581 0.017 2.5 -1.499 JGB-SGX-mini 74.053 0.043 2.5 8.019 JPY 14.671 0.010 2.5 0.381 LEANHOG 25.319 0.024 2.5 1.539 LIVECOW 40.100 0.013 2.5 1.329 LUMBER-new -75.597 0.009 2.5 -1.619 MILK 17.329 0.009 2.5 0.371 MXP -123.685 0.059 2.5 -18.154 NASDAQ_micro -93.568 0.009 2.5 -2.175 NIKKEI -42.009 0.043 2.5 -4.549 NZD -55.521 0.010 2.5 -1.441 OAT -18.189 0.014 2.5 -0.620 OATIES -101.133 0.010 2.5 -2.460 OJ 29.994 0.009 2.5 0.642 PALLAD -8.779 0.014 2.5 -0.299 PLAT -24.020 0.014 2.5 -0.819 REDWHEAT -149.515 0.005 2.5 -1.983 RICE 73.439 0.010 2.5 1.787 ROBUSTA 49.090 0.005 2.5 0.573 RUSSELL -17.472 0.013 2.5 -0.579 SHATZ -102.871 0.004 2.5 -1.043 SILVER-mini -10.184 0.014 2.5 -0.347 SMI 29.334 0.014 2.5 1.001 SOFR 188.049 0.024 2.5 11.428 SOYBEAN -104.480 0.004 2.5 -0.972 SOYMEAL -98.663 0.004 2.5 -0.918 SOYOIL -118.347 0.004 2.5 -1.102 SP400 -4.160 0.013 2.5 -0.138 SP500_micro -156.198 0.009 2.5 -3.630 SUGAR11 -104.171 0.009 2.5 -2.215 US10 44.943 0.005 2.5 0.570 US10U 42.308 0.005 2.5 0.536 US2 78.001 0.005 2.5 0.988 US20 27.376 0.005 2.5 0.347 US30 9.290 0.005 2.5 0.118 US5 72.683 0.005 2.5 0.921 VIX -8.686 0.099 2.5 -2.144 WHEAT -136.592 0.005 2.5 -1.812 ===================== Position diags ===================== AUD 3.60 BITCOIN 23.67 BOBL 1.75 BTP 2.95 BUND 0.84 BUXL 0.32 CAC 1.98 CAD 4.85 CANOLA 7.86 CHF 1.45 COCOA 0.40 COFFEE 0.32 COPPER 3.23 CORN 3.86 COTTON2 2.08 CRUDE_W 4.11 DAX 8.44 DOW 6.68 DX 3.09 EUR 2.10 EURIBOR-ICE 13.46 EUROSTX 2.81 FEEDCOW 1.45 GASOIL 1.65 GASOLINE 1.25 GAS_US_mini 22.65 GBP 3.21 GOLD_micro 7.68 HEATOIL 1.18 JGB-SGX-mini 16.34 JPY 1.64 LEANHOG 5.50 LIVECOW 2.86 LUMBER-new 4.26 MILK 1.81 MXP 27.18 NASDAQ_micro 2.18 NIKKEI 7.28 NZD 3.44 OAT 3.15 OATIES 3.72 OJ 0.90 PALLAD 0.66 PLAT 1.92 REDWHEAT 1.25 RICE 3.59 ROBUSTA 0.77 RUSSELL 9.58 SHATZ 5.10 SILVER-mini 1.21 SMI 1.30 SOFR 16.17 SOYBEAN 0.64 SOYMEAL 0.83 SOYOIL 0.94 SP400 0.45 SP500_micro 4.38 SUGAR11 2.79 US10 1.26 US10U 0.92 US2 2.28 US20 0.60 US30 0.40 US5 1.96 VIX 8.64 WHEAT 1.27 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 -22.6 -25.0 -20.2 0.0 0 BOBL -0.7 -0.9 -0.5 0.0 0 BTP -1.0 -1.2 -0.7 0.0 0 BUND 0.0 -0.0 0.1 0.0 0 BUXL -0.1 -0.2 -0.1 0.0 0 CAC -1.7 -1.9 -1.5 0.0 0 CAD -4.6 -5.0 -4.1 -2.0 -2 CANOLA -8.7 -9.5 -7.9 -2.0 -2 CHF 0.5 0.3 0.6 3.0 3 COCOA 0.2 0.1 0.2 0.0 0 COFFEE 0.1 0.1 0.1 0.0 0 COPPER -1.7 -2.0 -1.4 -1.0 -1 CORN -6.2 -6.6 -5.9 -4.0 -4 COTTON2 -3.7 -3.9 -3.5 -5.0 -5 CRUDE_W 0.7 0.3 1.1 2.0 2 DAX -4.2 -5.0 -3.3 0.0 0 DOW -1.4 -2.1 -0.7 -1.0 -1 DX -2.5 -2.8 -2.2 0.0 0 EUR 1.2 1.0 1.4 1.0 1 EURIBOR-ICE 5.5 4.2 6.8 0.0 0 EUROSTX -2.4 -2.7 -2.1 -2.0 -2 FEEDCOW -1.8 -1.9 -1.6 -1.0 -1 GASOIL -1.3 -1.5 -1.2 0.0 0 GASOLINE 0.3 0.2 0.5 0.0 0 GAS_US_mini -17.2 -19.5 -15.0 -17.0 -17 GBP 0.1 -0.3 0.4 0.0 0 GOLD_micro 2.3 1.5 3.0 2.0 2 HEATOIL -1.5 -1.6 -1.4 -3.0 -3 JGB-SGX-mini 8.0 6.4 9.7 3.0 3 JPY 0.4 0.2 0.5 1.0 1 LEANHOG 1.5 1.0 2.1 1.0 1 LIVECOW 1.3 1.0 1.6 3.0 3 LUMBER-new -1.6 -2.0 -1.2 -2.0 -2 MILK 0.4 0.2 0.6 NaN 0 MXP -18.2 -20.9 -15.4 -14.0 -14 NASDAQ_micro -2.2 -2.4 -2.0 -1.0 -1 NIKKEI -4.5 -5.3 -3.8 -5.0 -5 NZD -1.4 -1.8 -1.1 -1.0 -1 OAT -0.6 -0.9 -0.3 -1.0 -1 OATIES -2.5 -2.8 -2.1 NaN 0 OJ 0.6 0.6 0.7 1.0 1 PALLAD -0.3 -0.4 -0.2 -1.0 -1 PLAT -0.8 -1.0 -0.6 -1.0 -1 REDWHEAT -2.0 -2.1 -1.9 -2.0 -2 RICE 1.8 1.4 2.1 NaN 0 ROBUSTA 0.6 0.5 0.7 0.0 0 RUSSELL -0.6 -1.5 0.4 3.0 3 SHATZ -1.0 -1.6 -0.5 NaN 0 SILVER-mini -0.3 -0.5 -0.2 -1.0 -1 SMI 1.0 0.9 1.1 0.0 0 SOFR 11.4 9.8 13.0 NaN 0 SOYBEAN -1.0 -1.0 -0.9 -4.0 -4 SOYMEAL -0.9 -1.0 -0.8 0.0 0 SOYOIL -1.1 -1.2 -1.0 0.0 0 SP400 -0.1 -0.2 -0.1 -1.0 -1 SP500_micro -3.6 -4.1 -3.2 0.0 0 SUGAR11 -2.2 -2.5 -1.9 0.0 0 US10 0.6 0.4 0.7 0.0 0 US10U 0.5 0.4 0.6 4.0 4 US2 1.0 0.8 1.2 NaN 0 US20 0.3 0.3 0.4 0.0 0 US30 0.1 0.1 0.2 2.0 2 US5 0.9 0.7 1.1 3.0 3 VIX -2.1 -3.0 -1.3 -3.0 -3 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 -0.2 0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.2 0.5 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.3 -0.6 -0.2 0.2 0.3 -0.2 0.4 -0.0 BITCOIN 0.1 -0.5 -0.5 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 0.1 -0.1 0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 0.3 -0.1 -2.7 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.2 -0.5 0.6 0.2 0.3 -0.6 -0.3 -0.2 -0.0 BOBL 0.6 0.5 0.1 0.0 0.0 0.0 0.1 -0.0 0.0 0.0 -0.1 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 0.0 0.0 0.1 -0.0 0.1 -1.1 -0.1 0.1 0.1 -0.2 -0.7 -0.6 -0.4 -0.4 BTP 0.4 0.3 -0.0 0.1 0.0 0.1 0.1 -0.0 0.1 0.1 0.1 0.1 0.4 0.2 0.2 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 0.0 0.1 0.1 0.6 -0.5 -0.6 -0.4 -0.3 -0.7 -0.5 -0.2 0.1 BUND 0.6 0.4 0.1 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 -0.1 0.1 -0.1 0.1 0.1 0.1 0.0 0.1 0.0 0.1 0.0 0.1 -0.1 0.2 0.1 0.0 0.0 0.0 0.1 0.0 0.1 0.4 -0.2 -0.0 -0.0 -0.2 -0.7 -0.7 -0.3 -0.4 BUXL 0.5 0.2 0.1 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 -0.2 0.1 -0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.1 0.1 0.0 0.1 -0.1 0.2 -0.5 0.0 0.0 0.0 0.1 0.0 0.1 0.1 -0.3 -0.2 -0.2 -0.3 -0.7 -0.7 -0.5 -0.4 CAC -0.3 -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 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.2 0.0 -0.2 -1.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.4 0.2 -0.1 -0.6 -0.6 0.2 0.2 0.1 0.2 CAD -0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.2 -0.5 -0.1 -0.7 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.1 -0.2 -0.1 0.1 -0.2 -0.0 -0.2 -0.1 -0.1 0.5 -0.6 -0.1 -0.2 0.3 -0.2 -0.0 -0.2 CANOLA 0.1 0.0 0.3 -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 -0.2 -0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -2.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.3 0.0 -0.1 -0.1 -0.0 -0.4 0.2 -0.1 CHF 0.6 0.5 0.3 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.1 -0.2 0.1 -0.3 0.1 0.1 -0.3 -0.3 -0.3 -0.3 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 0.5 0.6 0.6 0.5 0.2 -0.4 -0.1 -0.4 COCOA -0.1 -0.4 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 0.4 0.4 0.4 -0.0 0.0 -0.0 0.2 -0.0 -2.5 0.0 0.0 0.1 0.0 0.4 -0.0 1.1 0.1 0.1 0.0 0.1 0.5 0.2 0.7 0.3 COFFEE -0.4 -0.0 0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.4 -0.0 0.5 -0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.0 0.5 0.0 -2.7 0.0 0.1 0.2 0.0 0.4 -0.0 0.4 0.5 0.2 0.6 0.6 -0.1 -0.4 0.2 -0.1 COPPER -0.6 -0.6 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.2 -1.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.3 0.1 -0.5 -0.2 0.3 0.3 0.1 0.6 0.4 CORN 0.1 -0.6 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.1 -0.4 -0.1 -1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.1 -0.0 -0.5 -0.3 -0.3 -0.4 -0.3 -0.0 COTTON2 -0.2 -0.3 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 -0.2 -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 0.0 -0.2 0.1 -0.6 -0.3 -0.3 0.2 -0.1 CRUDE_W -0.6 -0.2 -0.4 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 0.1 -0.2 0.4 -0.1 -0.1 0.3 0.3 0.3 0.3 -0.1 -0.0 -0.2 0.1 -0.2 -0.4 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 0.5 -0.1 -0.3 -0.1 -0.3 0.6 0.7 0.7 0.7 DAX -0.6 -0.5 -0.4 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.1 -0.1 0.4 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 0.0 -0.2 0.2 -0.2 1.2 -0.0 -0.1 0.0 -0.1 0.2 -0.1 -0.4 -0.1 -0.2 -0.6 -0.4 0.3 0.1 -0.2 0.2 DOW -0.4 0.0 -0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.1 -0.1 0.4 -0.0 0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.2 0.2 -0.1 -1.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.5 0.3 0.6 0.2 -0.0 0.5 -0.0 0.2 -0.1 DX -0.4 -0.4 -0.2 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 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 -0.1 -0.0 -0.1 0.1 -0.1 0.9 -0.5 -0.6 -0.1 -0.0 -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 0.1 -0.2 0.1 -0.4 0.1 0.1 -0.1 -0.1 -0.2 -0.1 0.1 0.0 0.1 -0.1 0.1 2.7 0.0 0.1 0.0 0.1 0.0 0.1 -0.4 0.5 0.6 0.5 0.4 0.1 -0.6 -0.0 -0.6 EURIBOR-ICE 0.6 0.6 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 0.0 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.1 0.0 0.1 0.0 0.2 1.7 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.2 0.1 0.1 -0.1 -0.7 -0.7 -0.3 0.0 EUROSTX -0.6 -0.6 -0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.1 -0.1 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 0.1 -0.1 0.3 0.0 -0.4 -0.6 -0.5 0.0 0.0 -0.5 -0.0 FEEDCOW -0.6 -0.4 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -0.1 0.1 -0.4 -0.1 -0.3 -0.2 -0.1 -0.2 -0.1 -0.2 -1.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -1.1 -0.5 -0.6 -0.4 -0.0 0.0 0.7 0.3 0.7 GASOIL -0.5 -0.1 -0.5 -0.0 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -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 -0.0 -0.1 -0.1 0.0 -0.1 0.0 -0.2 -0.2 0.1 -0.1 -0.5 -0.5 -0.7 -0.7 GASOLINE -0.4 -0.1 -0.4 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 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 -0.0 -0.1 -0.1 0.1 -0.1 1.1 0.1 0.2 0.2 -0.1 0.7 0.7 0.7 0.7 GAS_US_mini -0.3 -0.6 0.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.4 -0.1 2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.1 0.2 -0.4 0.4 -0.1 -0.4 -0.3 -0.6 GBP -0.3 0.1 0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 0.4 -0.2 0.3 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.2 0.2 -0.1 -0.1 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.2 -0.5 0.1 0.4 0.6 0.2 -0.7 0.2 -0.5 GOLD_micro -0.1 0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 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 0.0 -0.6 0.0 -0.1 0.1 -0.0 0.3 -0.0 -0.7 0.3 0.6 0.6 0.5 0.3 -0.2 0.6 0.1 HEATOIL -0.5 -0.1 -0.4 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 -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 -0.0 -0.1 -0.1 -0.0 -0.1 -0.3 -0.2 -0.2 0.1 -0.4 -0.0 0.2 -0.3 0.1 JGB-SGX-mini 0.6 0.3 -0.2 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 0.4 0.4 0.4 0.0 -0.0 0.1 -0.0 0.1 -1.0 0.0 0.0 -0.0 0.1 -0.0 0.0 1.1 0.3 0.0 -0.1 -0.3 -0.1 -0.2 -0.0 0.5 JPY 0.6 0.6 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.2 0.1 -0.3 0.1 0.0 -0.3 -0.3 -0.3 -0.3 0.1 -0.0 0.2 -0.2 0.2 2.7 0.0 0.0 -0.0 0.1 -0.1 0.0 -1.1 0.5 0.6 0.6 -0.1 -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 -0.1 -0.2 0.1 -0.2 0.0 -0.1 0.4 0.1 0.4 0.4 -0.1 -0.1 0.0 -0.2 0.0 0.5 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 1.1 -0.1 0.6 0.2 -0.6 -0.1 -0.2 0.1 0.1 LIVECOW -0.5 0.2 0.4 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 0.4 -0.2 0.3 -0.0 0.1 0.2 0.2 0.2 0.3 0.1 0.1 -0.2 0.3 -0.1 -1.6 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.9 -0.5 -0.3 0.6 0.6 -0.0 0.7 0.1 0.7 LUMBER-new 0.7 0.0 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -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 -0.3 0.1 NaN -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.2 0.6 0.7 0.5 -0.6 0.1 -0.2 0.3 -0.1 MILK -0.1 -0.1 0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.3 0.0 -0.0 -0.0 0.1 -0.3 -0.4 -0.4 -0.4 0.1 0.1 0.0 0.1 0.0 2.4 0.0 0.0 0.1 -0.0 0.0 0.0 -1.1 0.2 0.3 0.3 0.6 -0.2 -0.7 -0.0 -0.7 MXP -0.6 -0.4 -0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 0.0 -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 -0.0 -0.1 -0.1 -0.0 -0.0 1.1 -0.5 -0.6 -0.3 -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 0.1 -0.1 0.3 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.0 -0.2 0.2 -0.2 -2.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.4 0.1 -0.6 -0.1 0.1 0.1 0.2 -0.2 0.2 NIKKEI -0.6 -0.6 -0.6 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.0 0.2 0.2 0.2 0.2 -0.0 0.0 -0.1 0.1 -0.1 -1.3 -0.0 -0.1 0.0 -0.1 0.1 -0.0 1.1 -0.5 -0.6 -0.4 -0.3 0.3 -0.1 0.0 -0.2 NZD -0.6 -0.4 0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 0.0 -0.0 0.0 -0.1 -0.0 -0.0 -0.1 0.2 0.5 -0.6 -0.5 0.1 0.3 -0.2 0.2 0.0 OAT 0.5 0.3 -0.2 0.0 0.0 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 0.0 -0.0 0.1 -0.0 0.1 0.6 -0.4 -0.3 -0.4 -0.4 -0.7 -0.7 -0.2 -0.1 OATIES 0.4 -0.5 -0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 0.1 0.0 0.1 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 -0.0 0.2 -0.3 0.0 0.2 -0.0 0.6 0.3 OJ -0.4 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.3 -0.1 0.5 -0.0 0.1 0.1 0.2 0.2 0.2 0.1 0.2 0.0 0.5 0.0 -2.7 0.0 0.1 0.2 0.0 0.4 -0.0 0.8 0.5 -0.0 0.3 0.6 0.4 0.3 0.7 0.7 PALLAD -0.5 0.0 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 -0.1 -0.2 -0.1 1.8 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 0.1 -0.1 0.3 0.0 -0.7 -0.7 -0.7 -0.7 PLAT -0.6 -0.4 0.1 -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 -0.1 -0.0 -0.0 0.1 0.0 -0.1 0.2 0.3 -0.5 -0.3 -0.2 0.1 REDWHEAT -0.0 -0.6 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 -0.1 -0.5 -0.1 -0.2 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 -0.4 -0.1 -0.8 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.8 0.2 -0.1 -0.6 0.2 -0.6 -0.7 -0.4 -0.6 RICE 0.3 -0.5 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.3 0.2 0.5 0.0 0.1 -0.1 0.4 0.4 0.4 0.0 0.0 0.1 0.3 0.1 -1.5 0.0 0.0 0.1 0.1 0.1 0.1 1.1 0.5 0.6 0.6 0.6 -0.7 -0.4 -0.7 -0.3 ROBUSTA -0.4 -0.0 0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.3 -0.0 0.4 0.0 0.1 0.4 0.4 0.4 0.4 0.1 0.2 0.0 0.5 0.0 -2.7 0.0 0.0 0.2 0.0 0.3 0.0 1.1 0.2 0.2 0.6 0.6 0.1 -0.2 0.3 0.1 RUSSELL -0.1 0.2 -0.0 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.1 -0.1 0.3 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 0.1 -0.0 -0.1 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.0 0.6 0.4 0.1 0.1 -0.7 -0.0 -0.7 SHATZ 0.6 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 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.2 -0.2 0.2 0.9 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 0.1 0.3 0.3 -0.1 -0.7 -0.5 -0.6 -0.4 SILVER-mini -0.6 -0.4 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.2 -0.1 0.3 -0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.1 -0.2 -0.3 0.0 0.3 0.1 -0.2 0.3 0.2 SMI -0.6 -0.5 0.3 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.3 -0.1 0.5 -0.1 0.1 -0.1 0.0 -0.1 -0.0 0.0 0.1 -0.2 0.3 -0.2 1.6 0.0 -0.0 0.2 -0.0 0.3 -0.0 0.5 0.5 0.6 0.1 0.4 0.2 0.1 -0.2 -0.0 SOFR 0.4 0.6 0.5 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 0.1 0.1 -0.0 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.2 0.0 0.2 -0.5 0.0 0.0 0.1 0.1 0.0 0.1 0.2 0.1 0.0 0.1 0.2 0.4 -0.5 0.7 0.2 SOYBEAN 0.0 -0.5 -0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -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 -2.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.3 -0.4 -0.3 -0.3 -0.7 -0.1 -0.7 SOYMEAL 0.5 -0.4 -0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 0.0 -0.3 -0.0 -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 -0.1 -0.0 0.2 0.3 0.2 -0.2 0.2 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.6 0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -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 -0.1 -0.3 -0.5 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 -0.1 0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.2 0.1 -0.1 -1.2 0.0 -0.1 0.1 -0.1 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 0.1 -0.0 -0.1 0.2 -0.1 0.4 -0.1 0.0 -0.2 -0.3 -0.3 -0.3 -0.0 0.1 -0.2 0.3 -0.2 -2.2 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.6 0.1 -0.5 -0.0 0.2 0.4 0.1 -0.0 0.1 SUGAR11 -0.5 0.2 -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 -0.0 -0.1 -0.1 -0.1 -0.0 0.3 0.3 -0.6 0.4 -0.3 -0.1 0.7 0.1 0.7 US10 0.4 0.5 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.1 -0.1 0.1 0.1 -0.2 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.0 0.1 0.3 0.0 0.0 0.0 0.1 0.0 0.0 -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 0.0 0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.1 0.2 0.0 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.1 -0.1 -0.1 0.1 0.2 -0.6 0.7 0.4 US2 0.5 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.1 0.1 -0.3 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.2 -0.1 0.2 1.8 0.0 0.0 0.0 0.1 -0.0 0.0 -1.1 0.4 0.5 0.3 0.1 0.1 -0.7 0.3 -0.4 US20 0.3 0.3 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 -0.0 0.1 -0.2 0.0 0.0 0.1 0.0 0.0 0.0 0.2 0.0 -0.1 -0.1 0.1 0.2 -0.3 0.7 0.7 US30 0.3 0.2 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 -0.1 0.0 0.0 0.1 0.1 0.0 0.0 -0.1 -0.0 -0.3 -0.2 0.1 0.1 -0.3 0.5 0.7 US5 0.4 0.6 0.6 0.0 0.0 0.0 0.1 -0.0 0.0 0.0 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 0.8 0.0 0.0 0.0 0.1 0.0 0.1 -0.7 0.2 0.2 0.1 0.2 0.2 -0.7 0.5 -0.1 VIX 1.0 1.0 1.0 0.0 0.1 -0.0 0.2 -0.1 0.1 0.1 -0.4 0.1 -0.8 0.1 -0.1 -0.6 -0.6 -0.6 -0.6 0.1 -0.0 0.3 -0.2 0.2 NaN 0.0 0.1 -0.0 0.2 -0.2 0.1 NaN NaN NaN NaN NaN -0.8 -1.1 NaN NaN WHEAT -0.1 -0.6 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.0 -0.2 -0.1 0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.1 -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 -6.2 4.3 -4.7 -6.5 -2.9 -8.0 -0.4 -7.0 -10.9 -4.7 -20.0 -4.4 -20.0 -3.1 -2.1 -2.7 -2.3 -2.4 -12.6 -2.0 -20.0 -1.8 -20.0 3.7 -4.9 -3.7 -0.9 -9.0 -0.2 -9.4 -0.0 -14.4 -20.0 -6.9 6.5 10.1 -4.9 11.8 -0.8 BITCOIN 3.9 -16.3 -15.7 -5.0 -5.5 -3.0 -5.2 -1.0 -5.4 -13.9 4.2 -9.1 9.5 -6.5 -5.7 -5.8 -7.2 -6.6 -7.1 -5.3 1.6 -20.0 9.6 -11.7 -20.0 -2.1 -14.0 1.9 -10.2 6.6 -4.9 -3.0 -20.0 20.0 7.3 8.9 -18.0 -7.6 -6.1 -1.1 BOBL 20.0 15.9 3.9 2.9 2.5 1.2 4.9 -0.1 4.4 5.2 -5.0 9.4 -5.9 10.2 7.1 -20.0 -14.9 -20.0 -19.3 9.7 1.4 17.4 -4.3 16.7 4.4 3.0 2.4 0.9 5.4 -0.5 5.1 -20.0 -2.4 3.4 3.0 -5.5 -20.0 -18.9 -11.2 -11.8 BTP 12.8 9.2 -1.1 4.9 4.3 2.1 8.3 -0.2 7.4 6.1 5.3 13.5 12.3 17.7 14.0 1.2 4.0 1.5 2.4 11.8 7.7 10.4 8.0 15.4 -20.0 5.2 -0.4 3.7 4.5 3.9 6.6 11.2 -20.0 -18.9 -12.0 -9.6 -19.6 -16.1 -5.2 3.8 BUND 19.6 12.0 3.6 3.2 2.8 1.3 5.4 -0.1 4.9 4.5 -4.6 9.7 -2.6 10.9 8.1 6.6 1.0 3.5 1.1 9.1 2.3 15.4 -2.5 15.4 1.0 3.4 1.6 1.4 5.5 0.2 5.5 6.9 -8.1 -1.2 -0.5 -5.6 -20.0 -20.0 -10.1 -11.9 BUXL 17.0 7.1 2.1 3.7 3.2 1.6 6.3 -0.1 5.6 4.7 -6.5 10.6 -2.2 10.1 5.4 -0.6 -2.5 -1.9 -2.8 6.9 0.7 15.1 -3.8 14.0 -3.5 3.4 1.2 1.3 6.6 0.1 6.1 1.0 -11.1 -6.6 -5.9 -9.6 -20.0 -20.0 -14.8 -11.3 CAC -10.8 -18.9 -20.0 0.4 -10.2 3.2 -9.5 4.3 -4.4 -10.4 -6.6 -14.0 5.0 -15.1 -15.0 -7.3 -1.7 -5.7 -2.9 -18.2 -9.3 -20.0 1.4 -20.0 -7.7 -5.1 -5.6 -2.2 -7.0 1.2 -6.3 7.2 7.4 -4.4 -20.0 -20.0 7.1 5.4 2.5 6.9 CAD -12.5 -2.3 -3.4 -5.1 -7.1 -3.2 -8.7 -0.5 -7.5 20.0 -20.0 -11.7 -19.1 -16.4 -16.9 -4.8 -3.3 -4.4 -3.8 -13.6 -12.0 -2.1 -12.0 -13.6 -1.3 -7.2 9.8 -5.7 -1.3 -5.0 -7.4 -1.6 19.5 -20.0 -2.3 -7.6 8.4 -6.5 -1.3 -4.6 CANOLA 2.3 0.5 9.2 -2.2 -1.1 -1.6 -1.8 -1.0 -2.2 -6.0 -3.7 -6.3 -6.0 -4.4 -3.5 -9.7 -10.2 -12.4 -12.9 -3.9 -3.4 -12.1 -4.9 -7.1 -15.4 -1.8 -1.4 -2.0 -2.1 -2.6 -1.8 -20.0 -13.2 0.6 -4.0 -2.9 -1.2 -11.8 6.8 -4.3 CHF 20.0 15.6 10.6 -3.2 -4.5 -2.0 -5.5 -0.3 -4.7 8.4 -7.8 13.2 -9.1 13.1 10.6 -15.6 -16.7 -16.8 -16.7 11.8 1.4 20.0 -3.9 20.0 4.5 4.2 6.5 1.0 9.4 -0.7 7.5 -20.0 20.0 20.0 20.0 15.3 7.0 -11.4 -4.4 -12.2 COCOA -4.3 -13.7 2.4 -1.9 -1.0 -1.4 -1.6 -0.9 -1.9 3.2 1.9 -2.2 3.4 -4.3 -3.3 20.0 17.6 20.0 20.0 -1.1 3.4 -0.3 7.8 -1.9 -18.9 0.4 1.7 4.8 0.0 9.9 -0.6 20.0 3.4 3.2 1.4 2.8 16.4 6.0 20.0 10.1 COFFEE -12.1 -1.1 7.8 -5.3 -2.8 -3.8 -4.4 -2.3 -5.2 12.7 13.6 -4.5 14.2 -1.4 10.4 2.9 6.4 3.9 5.6 9.4 16.3 4.0 16.7 1.9 -20.0 2.8 11.3 7.9 2.2 10.3 -0.3 7.2 20.0 5.6 18.6 20.0 -2.3 -10.6 5.1 -3.9 COPPER -20.0 -20.0 -8.0 -2.8 -3.1 -1.7 -2.9 -0.6 -3.0 -8.5 -1.2 -9.3 1.3 -9.4 -7.8 -2.8 -2.6 -1.3 -1.7 -9.7 -1.3 -13.9 3.8 -14.2 -10.8 -2.6 -2.9 -0.4 -3.0 1.0 -3.4 5.5 2.2 -15.8 -6.0 10.1 8.5 2.6 17.8 12.4 CORN 3.5 -20.0 -6.0 -3.2 -1.7 -2.3 -2.7 -1.4 -3.2 -7.6 -10.3 -7.6 -11.2 -10.5 -10.7 -17.8 -13.6 -17.5 -16.9 -15.2 -14.6 -6.2 -13.2 -10.9 -8.1 -3.6 -1.1 -3.4 -1.5 -3.0 -2.7 -20.0 -3.7 -0.3 -15.5 -8.6 -9.6 -10.6 -7.8 -1.4 COTTON2 -5.1 -7.9 -20.0 -4.6 -2.4 -3.3 -3.9 -2.0 -4.5 -10.7 -16.6 -14.3 -13.9 -15.3 -16.6 -11.7 -1.5 -8.1 -4.2 -20.0 -20.0 -13.1 -18.3 -16.1 -20.0 -5.7 -3.4 -5.2 -4.7 -2.5 -5.0 -8.1 1.8 -7.4 2.9 -20.0 -8.5 -9.1 5.1 -2.1 CRUDE_W -20.0 -6.2 -11.2 -5.0 -4.5 -2.1 -7.5 0.6 -7.2 -10.3 3.1 -17.0 12.4 -13.7 -6.6 12.7 12.7 13.7 13.4 -9.6 -1.2 -20.0 5.0 -18.2 -2.9 -6.0 -4.5 -3.1 -7.8 0.5 -7.8 9.6 -4.9 -9.4 -1.7 -8.6 18.3 20.0 20.0 20.0 DAX -17.0 -15.0 -13.0 0.4 -9.7 3.1 -9.0 4.1 -4.2 -12.4 5.2 -13.4 11.3 -10.8 -8.5 -7.9 -10.8 -9.3 -10.3 -8.5 0.9 -20.0 8.2 -18.7 9.3 -2.9 -10.8 1.3 -10.6 4.5 -6.8 -7.7 -4.2 -5.1 -20.0 -13.1 9.7 4.0 -5.7 4.9 DOW -10.8 0.5 -6.9 0.3 -8.3 2.6 -7.7 3.5 -3.6 -11.8 5.4 -10.1 10.3 -4.4 1.6 -9.6 -11.2 -10.8 -11.2 1.7 5.0 -19.7 7.7 -6.5 -9.4 1.6 -9.3 2.9 -6.6 4.1 -1.5 -8.6 11.6 20.0 7.1 -0.1 14.0 -0.6 4.8 -3.6 DX -11.7 -11.4 -5.6 -4.1 -5.7 -2.6 -7.0 -0.4 -6.1 -14.4 10.5 -15.4 13.7 -15.7 -11.3 7.0 7.0 7.3 7.2 -8.9 0.0 -20.0 5.8 -16.5 -20.0 -4.6 -9.9 -0.4 -10.6 2.4 -8.3 16.7 -20.0 -20.0 -3.6 -0.8 -8.7 5.5 -9.7 8.4 EUR 2.4 6.4 3.9 -4.5 -6.3 -2.8 -7.7 -0.4 -6.7 13.8 -8.0 10.3 -10.2 12.3 10.6 -7.3 -7.2 -7.5 -7.3 4.8 0.3 11.9 -3.1 8.0 20.0 3.8 10.3 1.6 8.6 0.0 5.7 -8.0 20.0 20.0 16.4 10.9 3.1 -17.5 -0.6 -17.0 EURIBOR-ICE 20.0 20.0 1.2 2.4 2.1 1.0 4.1 -0.1 3.7 4.7 -2.2 7.9 1.0 9.1 6.9 -1.2 -4.4 -3.3 -3.8 10.7 3.9 14.2 0.6 15.8 12.4 2.7 1.6 1.1 3.7 0.4 4.1 -1.3 -6.4 3.7 4.1 -4.1 -20.0 -20.0 -8.2 1.3 EUROSTX -20.0 -18.6 -19.1 0.3 -9.3 2.9 -8.6 3.9 -4.0 -11.1 5.3 -13.6 10.8 -13.1 -11.2 -3.9 -2.7 -4.9 -4.1 -11.6 -1.1 -20.0 7.8 -20.0 -1.7 -3.6 -7.6 0.5 -8.8 3.9 -6.8 5.0 1.9 -11.0 -20.0 -15.3 0.4 1.0 -14.2 -0.2 FEEDCOW -20.0 -11.7 -3.9 -5.7 -3.0 -4.1 -4.8 -2.5 -5.6 -18.0 -3.3 -19.6 -5.1 -18.8 -8.8 7.1 -20.0 -4.0 -14.2 -19.6 -9.7 -20.0 -3.9 -20.0 -7.3 -5.1 -15.4 -2.6 -14.1 -0.5 -9.2 -20.0 -20.0 -20.0 -11.4 -0.9 1.1 20.0 8.1 20.0 GASOIL -16.9 -3.2 -14.2 -4.6 -4.1 -1.9 -6.8 0.5 -6.6 -8.9 -2.4 -15.4 10.0 -13.2 -10.2 0.3 10.2 0.1 4.0 -10.7 -4.4 -18.9 3.1 -17.1 4.5 -5.0 -5.1 -2.3 -8.6 0.7 -7.8 0.1 -10.1 -5.7 3.5 -3.8 -14.5 -15.5 -20.0 -20.0 GASOLINE -13.0 -2.4 -11.5 -4.8 -4.3 -2.0 -7.1 0.6 -6.9 -10.5 4.1 -15.3 11.4 -10.5 -8.2 20.0 20.0 20.0 20.0 -6.7 -0.7 -14.8 6.0 -12.0 -20.0 -5.1 -5.2 -2.5 -7.5 2.0 -6.7 20.0 2.8 5.5 5.7 -4.3 20.0 20.0 20.0 20.0 GAS_US_mini -10.7 -20.0 16.6 -2.9 -2.6 -1.2 -4.4 0.3 -4.2 5.7 -11.4 -7.7 -11.8 -11.9 -11.6 -20.0 -20.0 -20.0 -20.0 -13.0 -10.9 -5.7 -15.5 -12.7 20.0 -3.4 1.9 -2.8 -1.7 -3.7 -3.7 -20.0 4.9 6.1 -13.8 11.1 -4.4 -10.6 -10.3 -17.5 GBP -10.6 3.1 6.7 -4.8 -6.7 -3.0 -8.3 -0.4 -7.2 -20.0 13.8 -19.6 8.0 -3.9 12.2 -0.5 -0.8 -0.7 -0.8 5.2 8.4 -20.0 7.4 -6.9 -0.4 2.9 -14.3 5.1 -11.4 4.7 -3.7 3.1 -20.0 2.4 13.8 20.0 6.4 -20.0 5.3 -13.5 GOLD_micro -3.3 0.2 0.5 -3.7 -4.1 -2.2 -3.9 -0.8 -4.0 -5.7 9.5 -4.5 10.2 2.1 3.4 -11.5 -13.3 -11.8 -12.4 5.8 10.1 -3.6 12.3 2.0 -4.7 0.7 -6.1 4.0 -2.3 7.0 -0.4 -12.8 12.1 20.0 20.0 14.0 8.2 -4.6 17.3 1.9 HEATOIL -16.0 -1.5 -11.7 -4.8 -4.3 -2.0 -7.2 0.6 -6.9 -10.7 -7.9 -16.3 4.4 -13.8 -10.7 -4.6 8.1 -4.6 0.2 -11.6 -6.5 -20.0 -0.5 -17.7 -20.0 -6.1 -5.0 -4.4 -7.9 -0.9 -7.4 -5.1 -10.4 -6.1 1.6 -12.1 -0.6 6.2 -10.4 2.3 JGB-SGX-mini 17.5 9.5 -4.7 2.0 1.8 0.9 3.5 -0.1 3.1 3.0 -3.6 3.8 -1.4 2.3 -0.5 17.8 18.9 20.0 19.3 2.0 -0.8 10.9 -1.1 6.6 -7.8 0.9 5.2 -0.6 5.4 -1.0 3.2 20.0 11.1 0.8 -4.2 -10.4 -4.0 -4.9 -0.9 14.6 JPY 20.0 20.0 8.4 -1.8 -2.6 -1.2 -3.2 -0.2 -2.7 4.9 -5.7 8.1 -8.4 8.0 2.8 -13.1 -15.9 -14.5 -15.2 6.9 -2.2 20.0 -8.0 16.9 20.0 1.8 3.2 -0.6 5.2 -1.9 4.3 -20.0 20.0 20.0 17.8 -2.0 -20.0 -15.3 -20.0 -14.5 LEANHOG 20.0 -1.9 -20.0 -3.6 -1.9 -2.5 -3.0 -1.6 -3.5 -7.7 -7.4 6.1 -6.2 4.5 -7.2 20.0 5.4 20.0 20.0 -7.7 -11.2 0.3 -9.1 0.1 3.6 -2.3 -2.1 -3.2 -0.1 -2.3 0.0 20.0 -2.4 19.5 5.3 -17.0 -2.4 -7.3 2.1 3.3 LIVECOW -16.4 6.3 12.7 -6.4 -3.3 -4.5 -5.3 -2.8 -6.2 -19.5 16.4 -17.5 9.0 -1.3 12.9 7.8 9.5 11.0 12.6 7.8 13.2 -20.0 10.7 -10.4 -12.1 2.4 -15.2 5.0 -12.3 5.5 -4.3 16.0 -20.0 -10.2 20.0 20.0 -0.4 20.0 4.3 20.0 LUMBER-new 20.0 0.2 -14.5 -3.5 -1.8 -2.5 -2.9 -1.4 -3.4 10.3 -9.1 11.1 -9.6 4.8 -5.6 -16.7 -17.3 -16.9 -17.3 -4.4 -10.7 9.0 -10.2 4.7 NaN -1.2 3.6 -4.4 3.7 -4.3 2.4 -20.0 20.0 20.0 12.9 -16.3 3.3 -4.4 8.7 -1.6 MILK -1.9 -2.3 20.0 -4.7 -2.4 -3.3 -3.9 -2.0 -4.5 5.0 11.1 3.1 -0.0 -1.3 11.3 -16.2 -20.0 -18.9 -20.0 9.2 11.3 1.2 2.4 3.5 17.7 3.6 2.3 4.8 -0.1 0.5 0.8 -20.0 9.3 10.5 10.6 20.0 -4.5 -20.0 -0.3 -20.0 MXP -18.3 -11.0 -20.0 -2.2 -3.1 -1.4 -3.8 -0.2 -3.3 -7.1 -6.0 -10.3 1.1 -8.9 -8.4 10.3 14.9 11.5 13.0 -13.2 -8.2 -20.0 -0.5 -17.9 -20.0 -3.5 -4.0 -2.2 -5.2 -0.1 -4.4 20.0 -20.0 -20.0 -10.3 -20.0 17.6 12.8 20.0 19.5 NASDAQ_micro -20.0 -20.0 -7.0 0.2 -6.1 1.9 -5.7 2.6 -2.7 -8.8 4.6 -9.4 8.2 -7.9 0.4 -8.3 -10.6 -10.1 -10.6 -3.9 4.0 -19.6 7.9 -13.9 -17.1 -0.6 -3.9 1.7 -4.5 3.1 -3.3 -7.6 2.4 -20.0 -4.1 2.6 3.6 6.2 -4.7 4.8 NIKKEI -20.0 -18.6 -20.0 0.2 -6.1 1.9 -5.7 2.6 -2.7 -2.7 3.7 -6.3 6.8 -6.1 -3.0 11.0 10.4 11.3 10.3 -4.5 0.3 -16.2 3.4 -11.1 -9.8 -1.5 -5.9 0.5 -6.4 2.0 -4.2 20.0 -20.0 -20.0 -12.0 -10.5 8.5 -2.7 1.4 -6.2 NZD -17.0 -13.3 2.2 -3.8 -5.3 -2.4 -6.5 -0.3 -5.6 16.4 -8.0 -6.5 -4.1 -11.9 -7.9 -0.5 0.1 -0.2 -0.1 -11.8 -5.7 -2.0 -3.4 -13.1 0.3 -4.6 4.5 -2.2 -0.7 -0.9 -5.0 4.4 19.4 -17.5 -15.1 2.4 8.8 -5.2 7.0 0.0 OAT 17.0 9.0 -5.3 3.4 3.0 1.4 5.8 -0.1 5.2 6.0 -7.4 10.6 -3.4 11.3 3.8 0.6 3.8 0.7 2.0 4.5 -2.2 11.9 -4.9 11.6 2.3 2.3 1.7 -0.1 5.5 -0.7 5.3 10.7 -15.9 -10.4 -12.0 -13.3 -20.0 -20.0 -7.5 -2.4 OATIES 11.4 -15.4 -6.7 -2.7 -1.4 -2.0 -2.3 -1.2 -2.7 -5.1 -7.8 -3.7 -8.5 -6.2 -8.2 6.3 1.4 3.2 2.9 -9.0 -9.9 -2.8 -8.5 -5.1 -20.0 -2.5 -0.6 -2.3 -0.9 -1.7 -1.6 0.1 -1.2 6.1 -9.9 0.9 5.9 -0.8 16.7 9.1 OJ -13.5 -4.6 -2.6 -4.8 -2.5 -3.4 -4.0 -2.1 -4.7 10.3 11.3 -6.2 13.9 -3.6 7.0 7.4 11.8 8.6 9.3 7.5 16.8 2.8 20.0 0.1 -20.0 2.1 6.8 6.7 1.4 12.4 -0.5 14.5 20.0 -0.2 8.3 20.0 12.9 10.4 20.0 20.0 PALLAD -15.1 1.2 4.1 -2.6 -2.9 -1.6 -2.7 -0.6 -2.8 -3.2 -7.2 -7.1 -8.3 -7.5 -7.3 -1.7 -2.1 -1.8 -1.9 -5.5 -5.1 -7.2 -8.2 -7.0 13.8 -2.8 -2.0 -2.5 -3.1 -2.9 -3.1 6.0 2.6 -3.5 10.5 0.5 -20.0 -20.0 -20.0 -20.0 PLAT -17.1 -10.9 3.6 -3.7 -4.1 -2.2 -3.9 -0.8 -4.0 -10.4 -3.0 -10.7 -4.2 -10.4 -7.8 -5.1 -4.4 -5.1 -4.9 -6.5 -1.4 -13.9 0.2 -11.1 6.5 -3.6 -5.6 -1.6 -5.1 -0.2 -4.6 1.4 1.9 -3.8 5.8 8.6 -14.1 -10.1 -5.8 2.1 REDWHEAT -0.3 -20.0 -2.4 -4.6 -2.4 -3.3 -3.8 -2.0 -4.5 5.6 -12.1 -5.6 -13.6 -13.7 -14.9 -10.8 -5.0 -10.1 -7.8 -18.4 -14.9 -2.7 -14.5 -12.6 -5.9 -4.3 0.1 -3.3 -0.6 -2.9 -3.0 -14.3 6.3 -1.8 -20.0 5.4 -18.9 -20.0 -13.1 -18.2 RICE 10.6 -16.4 2.2 -5.2 -2.7 -3.7 -4.3 -2.3 -5.1 8.2 10.9 14.1 13.5 3.2 7.7 -4.0 20.0 20.0 20.0 1.3 4.5 10.0 10.0 5.9 -10.9 3.1 3.1 2.9 5.3 3.2 4.8 20.0 20.0 20.0 20.0 20.0 -20.0 -11.2 -20.0 -10.0 ROBUSTA -13.6 -1.2 11.4 -3.3 -1.7 -2.4 -2.8 -1.5 -3.2 7.0 10.1 -3.2 10.7 1.6 7.9 20.0 20.0 20.0 20.0 10.7 18.2 1.0 20.0 2.6 -20.0 3.3 3.3 6.4 0.5 8.8 0.9 20.0 10.0 5.1 20.0 20.0 2.7 -5.7 9.4 2.5 RUSSELL -3.6 5.8 -0.8 0.2 -6.4 2.0 -5.9 2.7 -2.8 -9.2 5.0 -6.3 7.1 -1.0 2.7 -5.7 -6.7 -6.6 -6.7 3.1 4.0 -15.6 3.6 -3.3 -0.8 2.0 -5.3 2.1 -3.5 1.7 0.0 -0.9 1.6 20.0 12.7 4.0 4.4 -20.0 -1.4 -20.0 SHATZ 20.0 20.0 13.6 2.3 2.0 1.0 3.9 -0.1 3.5 5.1 -4.2 7.8 -6.2 8.4 6.8 -20.0 -20.0 -20.0 -20.0 9.8 1.1 18.2 -6.3 16.6 7.0 2.5 2.9 0.5 4.5 -0.9 4.1 -20.0 4.7 8.5 8.0 -3.2 -20.0 -15.4 -17.6 -11.1 SILVER-mini -20.0 -12.8 4.4 -3.1 -3.5 -1.8 -3.2 -0.7 -3.3 -9.4 4.1 -9.7 5.2 -9.1 -3.6 -5.6 -6.4 -5.8 -6.1 -4.6 3.4 -15.9 6.3 -12.2 2.2 -2.6 -5.2 0.0 -4.7 1.6 -4.1 -1.4 -8.3 -8.9 0.5 8.9 1.9 -6.1 7.9 5.9 SMI -20.0 -15.1 8.3 0.4 -10.1 3.2 -9.4 4.3 -4.4 -9.4 12.0 -10.5 13.6 -6.0 7.6 -3.0 0.6 -3.1 -1.5 0.2 9.6 -20.0 11.4 -15.0 12.0 4.0 -1.8 7.5 -4.0 8.1 -0.5 10.2 20.0 20.0 2.1 13.8 5.5 2.3 -5.0 -0.6 SOFR 11.6 17.5 15.7 3.2 2.8 1.4 5.5 -0.1 4.9 4.1 3.6 8.3 -0.5 11.1 11.6 -0.1 -1.2 -1.3 -1.5 13.8 7.2 17.2 0.6 17.7 -3.9 4.0 2.6 2.5 5.5 1.0 5.1 3.4 2.9 1.1 2.8 7.2 10.6 -14.0 20.0 4.8 SOYBEAN 0.8 -16.8 -9.8 -2.7 -1.4 -1.9 -2.3 -1.2 -2.7 -6.7 -8.9 -6.8 -7.0 -8.5 -9.0 -5.5 4.6 -3.2 -0.5 -12.6 -10.9 -7.2 -8.1 -10.7 -17.6 -3.2 -1.2 -2.7 -1.6 -1.8 -2.6 -0.1 -6.1 -10.4 -13.1 -8.3 -7.5 -20.0 -2.4 -20.0 SOYMEAL 16.7 -13.6 -4.7 -2.9 -1.5 -2.1 -2.5 -1.3 -2.9 -2.0 -8.4 3.1 -8.4 -4.4 -7.5 -1.2 6.1 3.2 3.7 -7.2 -8.1 1.6 -7.2 -2.5 -20.0 -2.0 -0.2 -2.0 0.8 -1.4 -0.6 4.5 11.4 6.2 -6.0 5.1 -20.0 -20.0 -20.0 -20.0 SOYOIL -20.0 3.8 3.5 -2.4 -1.2 -1.7 -2.0 -1.0 -2.3 -5.4 -6.6 -7.4 -7.5 -7.4 -6.5 5.2 1.1 2.9 0.6 -6.6 -5.6 -11.2 -6.4 -9.9 -18.1 -2.4 -2.2 -2.0 -3.6 -1.8 -3.3 -2.8 -12.4 -16.8 0.0 -6.6 -8.2 -11.7 2.0 -2.0 SP400 -5.3 -4.5 -9.4 0.3 -7.4 2.3 -6.8 3.1 -3.2 -10.5 5.6 -8.0 8.6 -4.1 -0.3 -5.0 -5.8 -5.5 -5.7 0.2 3.2 -16.8 5.4 -5.9 -8.9 1.6 -7.4 2.6 -5.3 3.2 -1.0 0.9 9.5 20.0 6.6 -0.8 6.0 -9.1 0.7 -20.0 SP500_micro -20.0 -20.0 -5.5 0.3 -8.3 2.6 -7.7 3.5 -3.6 -12.0 9.2 -12.4 12.2 -8.7 3.6 -11.0 -12.6 -12.9 -13.0 -1.6 8.1 -20.0 12.8 -14.8 -16.3 0.1 -7.1 3.5 -7.2 5.3 -4.2 -11.3 3.0 -15.8 -0.1 5.2 12.7 3.5 -0.5 2.2 SUGAR11 -17.0 6.4 -6.2 -4.0 -2.1 -2.8 -3.3 -1.8 -3.9 -9.4 -11.4 -10.6 -9.7 -9.5 -9.3 -4.4 7.6 -2.4 1.8 -8.9 -10.2 -12.6 -8.9 -11.1 -20.0 -3.3 -4.1 -4.2 -4.8 -3.8 -3.9 5.1 12.1 -18.7 12.0 -8.1 -1.7 19.8 2.3 20.0 US10 11.9 15.6 16.7 2.6 2.3 1.1 4.5 -0.1 4.0 3.5 1.6 6.7 -3.6 8.7 8.8 -7.8 -7.5 -7.4 -7.3 9.5 4.1 14.2 -1.7 13.5 2.4 3.1 2.6 1.8 4.9 0.4 4.3 -7.1 6.6 1.6 1.1 4.4 6.0 -20.0 17.2 3.6 US10U 11.1 13.0 16.6 3.5 3.1 1.5 5.9 -0.1 5.3 4.5 0.7 8.9 -4.7 11.3 11.4 -3.3 -2.9 -4.1 -3.8 10.7 4.3 16.9 -2.8 15.8 0.1 4.0 3.1 2.3 6.5 0.5 5.6 0.0 4.1 -2.3 -2.1 4.0 6.4 -16.6 20.0 13.1 US2 16.4 20.0 20.0 2.5 2.2 1.1 4.3 -0.1 3.8 5.1 -2.2 7.5 -7.2 8.8 7.8 -20.0 -20.0 -20.0 -20.0 10.6 2.8 19.2 -4.7 16.7 13.7 2.7 4.2 1.0 5.5 -0.4 4.4 -20.0 18.5 14.3 8.0 2.3 3.6 -20.0 7.6 -10.9 US20 9.7 8.6 15.4 2.4 2.1 1.0 4.1 -0.1 3.6 2.6 1.2 5.7 -1.1 7.0 7.4 -1.0 -0.8 -0.9 -0.8 6.3 2.9 10.7 -1.1 9.6 -1.5 2.7 1.9 1.9 4.3 0.8 3.7 4.4 2.0 -3.5 -3.1 3.8 5.2 -10.2 20.0 20.0 US30 8.1 6.8 14.7 2.7 2.4 1.1 4.6 -0.1 4.1 2.7 -0.4 6.2 -2.6 6.6 7.0 -3.2 -4.9 -4.1 -4.5 5.4 2.0 10.5 -2.2 8.9 -0.9 2.9 2.2 2.0 4.9 0.6 4.0 -2.6 -1.1 -8.0 -6.2 1.6 2.1 -9.5 13.8 20.0 US5 13.3 19.5 17.9 2.7 2.4 1.2 4.7 -0.1 4.2 4.1 0.6 7.3 -5.7 9.4 9.2 -12.0 -10.7 -11.4 -10.8 11.1 4.4 16.8 -2.4 15.9 6.2 3.2 3.1 1.7 5.4 0.2 4.6 -12.8 10.0 6.1 4.0 4.7 6.3 -20.0 14.3 -3.3 VIX 20.0 20.0 20.0 1.8 9.3 -1.0 9.5 -2.5 5.8 4.3 -8.9 7.7 -14.2 7.0 -3.6 -20.0 -20.0 -20.0 -20.0 5.1 -0.9 20.0 -5.6 13.2 NaN 2.0 10.4 -1.1 10.3 -3.0 6.3 NaN NaN NaN NaN NaN -15.4 -20.0 NaN NaN WHEAT -2.7 -20.0 -2.5 -3.2 -1.7 -2.2 -2.6 -1.4 -3.1 5.6 -7.9 -4.3 -8.6 -9.3 -10.1 -16.2 -14.7 -16.1 -15.7 -13.6 -10.4 -1.2 -8.9 -9.3 1.4 -2.9 0.6 -2.1 -0.2 -1.5 -2.1 -20.0 5.7 -5.3 -17.4 3.7 -16.3 -20.0 -14.1 -20.0 End of report for caleb_strategy_v3