******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240812_203929 produced at 2024-08-12 21:37:52.743132 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.13 -0.11 0.0 0.54 -0.54 -0.13 -0.12 -12.10 60.0 -14 -13 caleb_strategy_v3 DX False True 0.04 0.00 -0.10 0.0 0.00 0.00 0.00 0.00 -2.76 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.08 -0.08 0.0 0.33 -0.33 -0.08 -0.08 -1.90 8.0 -2 -2 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.08 0.0 0.73 -0.73 -0.03 -0.03 -3.25 29.0 -1 -1 caleb_strategy_v3 COPPER False False 0.04 -0.04 -0.06 0.0 999.00 -999.00 -0.04 -0.04 -1.65 999999999.0 -1 -1 caleb_strategy_v3 HEATOIL False False 0.04 -0.07 -0.05 0.0 0.11 -0.11 -0.07 -0.07 -1.38 3.0 -2 -2 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.28 24.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 -0.04 -0.04 0.0 0.35 -0.35 -0.04 -0.04 -2.00 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 -3.50 11.0 -5 -5 caleb_strategy_v3 CORN False False 0.01 -0.02 -0.04 0.0 0.08 -0.08 -0.02 -0.02 -6.40 12.0 -3 -3 caleb_strategy_v3 CAC True False 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.56 12.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -22.10 59.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.00 -0.04 0.0 0.45 -0.45 0.00 0.00 -0.89 10.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.00 -0.03 0.0 0.15 -0.15 -0.00 -0.00 -9.42 51.0 -1 -1 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.03 -0.03 0.0 0.00 -0.03 -0.03 -0.03 -14.63 26.0 -17 -17 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.03 0.0 0.44 -0.44 0.00 0.00 -2.84 48.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 -0.03 -0.03 0.0 0.10 -0.10 -0.03 -0.03 -1.17 4.0 -1 -1 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.03 0.0 0.84 -0.84 0.00 0.00 -0.74 19.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 -0.03 -0.03 0.0 0.29 -0.29 -0.03 -0.02 -4.15 36.0 -4 -3 caleb_strategy_v3 SOYBEAN False False 0.02 -0.08 -0.02 0.0 0.12 -0.12 -0.08 -0.08 -1.05 7.0 -5 -5 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.02 0.0 0.13 -0.13 0.00 0.00 -2.20 18.0 0 0 caleb_strategy_v3 SP400 False False 0.10 -0.20 -0.02 0.0 0.20 -0.20 -0.20 -0.20 -0.17 2.0 -2 -2 caleb_strategy_v3 OAT False False 0.05 -0.05 -0.02 0.0 0.47 -0.47 -0.05 -0.05 -0.40 10.0 -1 -1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.84 2.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.08 -0.08 -0.02 -0.02 -2.24 8.0 -2 -2 caleb_strategy_v3 VIX False False 0.01 -0.01 -0.02 0.0 999.00 -999.00 -0.01 -0.01 -3.07 999999999.0 -2 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.03 -0.02 0.0 0.29 -0.29 -0.03 -0.03 -1.80 23.0 -2 -2 caleb_strategy_v3 AUD False False 0.02 0.00 -0.02 0.0 0.43 -0.43 0.00 0.00 -0.86 19.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.09 -0.09 -0.04 -0.04 -1.84 9.0 -4 -4 caleb_strategy_v3 DAX False False 0.01 0.00 -0.02 0.0 0.39 -0.39 0.00 0.00 -3.15 58.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.01 0.0 0.24 -0.24 0.00 0.00 -1.80 68.0 1 1 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -1.11 10.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -1.06 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 -0.31 999999999.0 -1 -1 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.79 10.0 -1 -1 caleb_strategy_v3 DOW False False 0.01 0.00 -0.01 0.0 0.45 -0.45 0.00 0.00 -1.71 66.0 0 0 caleb_strategy_v3 NZD False False 0.02 -0.04 -0.01 0.0 0.43 -0.43 -0.04 -0.04 -0.58 21.0 -2 -2 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.01 0.0 0.06 -0.06 -0.03 -0.03 -0.19 2.0 -1 -1 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.14 4.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 -0.01 -0.00 0.0 0.02 -0.02 -0.01 -0.01 -0.84 3.0 -2 -2 caleb_strategy_v3 COCOA False False 0.02 0.00 0.00 0.0 0.63 -0.63 0.00 0.00 0.19 26.0 0 0 caleb_strategy_v3 RICE False True 0.01 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.15 4.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.00 0.0 0.19 -0.19 0.00 0.00 0.07 6.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 0.00 0.0 0.60 -0.60 0.00 0.00 0.10 22.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.00 0.0 0.51 -0.51 0.00 0.00 0.06 10.0 0 0 caleb_strategy_v3 JPY False False 0.03 0.06 0.01 0.0 0.50 -0.50 0.06 0.06 0.45 17.0 2 2 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.07 -0.07 0.00 0.00 0.69 5.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.07 -0.07 0.02 0.02 0.55 3.0 1 1 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.01 0.0 0.12 -0.12 0.01 0.01 1.50 13.0 1 1 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.01 0.0 0.35 -0.35 0.00 0.00 0.52 23.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.14 0.01 0.0 0.27 -0.27 0.14 0.14 0.12 6.0 3 3 caleb_strategy_v3 US10U False False 0.04 0.08 0.02 0.0 0.52 -0.52 0.08 0.08 0.55 13.0 2 2 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.36 9.0 0 0 caleb_strategy_v3 CHF False False 0.05 0.10 0.02 0.0 0.65 -0.65 0.10 0.10 0.42 13.0 2 2 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.02 0.0 999.00 -999.00 0.00 0.00 0.61 999999999.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 0.02 0.0 0.66 -0.66 0.00 0.00 0.59 17.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.11 0.03 0.0 0.94 -0.94 0.11 0.11 0.90 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 1.16 17.0 3 3 caleb_strategy_v3 GOLD_micro False False 0.01 0.01 0.03 0.0 0.48 -0.48 0.01 0.01 3.08 56.0 1 1 caleb_strategy_v3 SMI False True 0.05 0.00 0.04 0.0 0.00 0.00 0.00 0.00 0.89 9.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.05 0.0 0.13 -0.13 0.08 0.08 1.75 5.0 3 3 caleb_strategy_v3 US2 False True 0.07 0.00 0.06 0.0 0.00 0.00 0.00 0.00 0.80 13.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.05 0.07 0.0 0.66 -0.66 0.05 0.05 1.45 14.0 1 1 caleb_strategy_v3 JGB-SGX-mini False True 0.03 0.14 0.35 0.0 0.14 0.00 0.14 0.14 10.30 16.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.61 0.0 0.92 -0.92 0.00 0.00 6.64 10.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 0.97 0.0 0.00 0.00 0.00 0.00 11.68 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 8.0 Shocked risk 14.8 Sum abs risk 35.1 Leverage 3.66 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2909072.72, 'annual_cash_vol_target': 727268.18, 'daily_cash_vol_target': 45454.26125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0036 0.6595 0.5468 8.7493 BITCOIN 2144.2983 58740.0000 3.6505 58.4079 BOBL 0.2332 118.0500 0.1976 3.1613 BTP 0.4778 119.0700 0.4013 6.4204 BUND 0.4856 134.6400 0.3606 5.7701 BUXL 1.2353 136.5800 0.9045 14.4718 CAC 70.5666 7276.0000 0.9699 15.5177 CAD 0.0024 0.7288 0.3232 5.1713 CANOLA 9.1218 597.8000 1.5259 24.4142 CHF 0.0063 1.1604 0.5440 8.7036 COCOA 257.4584 7037.0000 3.6586 58.5382 COFFEE 4.8069 239.4000 2.0079 32.1265 COPPER 0.0625 4.0785 1.5332 24.5306 CORN 5.6971 401.7500 1.4181 22.6890 COTTON2 0.9515 68.9900 1.3791 22.0660 CRUDE_W 1.2342 76.2700 1.6182 25.8907 DAX 167.3993 17792.0000 0.9409 15.0539 DOW 336.9047 39462.0000 0.8537 13.6599 DX 0.3649 102.9700 0.3544 5.6702 EUR 0.0043 1.0948 0.3957 6.3309 EURIBOR-ICE 0.0407 97.8450 0.0416 0.6657 EUROSTX 50.7406 4686.0000 1.0828 17.3250 FEEDCOW 2.0827 236.6000 0.8802 14.0840 GASOIL 12.2349 740.7500 1.6517 26.4270 GASOLINE 0.0375 2.1918 1.7132 27.4107 GAS_US_mini 0.0846 2.3350 3.6230 57.9687 GBP 0.0058 1.2774 0.4544 7.2710 GOLD_micro 21.5350 2487.5000 0.8657 13.8516 HEATOIL 0.0401 2.4361 1.6449 26.3188 JGB-SGX-mini 0.4160 145.1900 0.2865 4.5840 JPY 0.0001 0.0068 0.8044 12.8702 LEANHOG 1.2136 66.1000 1.8360 29.3767 LIVECOW 1.3958 180.2000 0.7746 12.3935 LUMBER-new 9.5298 535.5000 1.7796 28.4738 MILK 0.2633 21.5800 1.2203 19.5245 MXP 0.0005 0.0522 1.0161 16.2577 NASDAQ_micro 260.3901 18640.2500 1.3969 22.3508 NIKKEI 957.7445 35050.0000 2.7325 43.7201 NZD 0.0034 0.6022 0.5660 9.0554 OAT 0.4341 126.4300 0.3433 5.4935 OATIES 5.6878 308.2500 1.8452 29.5230 OJ 7.5430 422.6500 1.7847 28.5551 PALLAD 24.4199 905.5000 2.6968 43.1494 PLAT 16.4581 947.8000 1.7365 27.7833 REDWHEAT 9.3502 564.0000 1.6578 26.5253 RICE 0.1629 14.7600 1.1040 17.6636 ROBUSTA 74.5611 4367.0000 1.7074 27.3180 RUSSELL 31.7582 2071.0000 1.5335 24.5356 SHATZ 0.0802 106.3250 0.0754 1.2067 SILVER-mini 0.5312 28.4375 1.8680 29.8887 SMI 106.4669 11875.0000 0.8966 14.3450 SOFR 0.0658 96.8450 0.0680 1.0875 SOYBEAN 12.8027 988.0000 1.2958 20.7332 SOYMEAL 5.0291 305.0000 1.6489 26.3823 SOYOIL 0.7146 40.5100 1.7639 28.2227 SP400 34.4312 2928.2000 1.1758 18.8136 SP500_micro 52.9283 5368.7500 0.9859 15.7738 SUGAR11 0.3050 18.6300 1.6371 26.1935 US10 0.4332 113.2188 0.3826 6.1222 US10U 0.5944 117.3281 0.5066 8.1064 US2 0.1228 103.2617 0.1189 1.9028 US20 0.9241 123.2812 0.7496 11.9933 US30 1.3939 131.4062 1.0608 16.9721 US5 0.2808 108.9375 0.2578 4.1249 VIX 1.2901 19.0500 6.7719 108.3509 WHEAT 9.1790 559.5000 1.6406 26.2492 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 659.50 0.55 360.64 1.00 360.64 45454.26 126.04 -2.63 -33.15 BITCOIN 58.74 3.65 214.43 1.00 214.43 45454.26 211.98 -9.63 -204.08 BOBL 1180.50 0.20 233.25 1.09 254.76 45454.26 178.42 -4.07 -72.53 BTP 1190.70 0.40 477.80 1.09 521.88 45454.26 87.10 -3.01 -26.22 BUND 1346.40 0.36 485.56 1.09 530.35 45454.26 85.71 0.64 5.45 BUXL 1365.80 0.90 1235.35 1.09 1349.31 45454.26 33.69 -3.96 -13.33 CAC 727.60 0.97 705.67 1.09 770.76 45454.26 58.97 -7.77 -45.80 CAD 728.80 0.32 235.55 1.00 235.55 45454.26 192.97 -6.50 -125.38 CANOLA 119.56 1.53 182.44 0.73 132.86 45454.26 342.12 -11.32 -387.19 CHF 1450.56 0.54 789.07 1.00 789.07 45454.26 57.60 2.82 16.25 COCOA 703.70 3.66 2574.58 1.00 2574.58 45454.26 17.65 5.00 8.83 COFFEE 897.75 2.01 1802.60 1.00 1802.60 45454.26 25.22 2.42 6.11 COPPER 1019.62 1.53 1563.25 1.00 1563.25 45454.26 29.08 -5.25 -15.27 CORN 200.88 1.42 284.85 1.00 284.85 45454.26 159.57 -16.49 -263.11 COTTON2 344.95 1.38 475.73 1.00 475.73 45454.26 95.55 -17.11 -163.50 CRUDE_W 762.70 1.62 1234.18 1.00 1234.18 45454.26 36.83 4.38 16.14 DAX 177.92 0.94 167.40 1.09 182.84 45454.26 248.60 -3.72 -92.50 DOW 197.31 0.85 168.45 1.00 168.45 45454.26 269.83 -2.73 -73.70 DX 1029.70 0.35 364.92 1.00 364.92 45454.26 124.56 -8.56 -106.56 EUR 1368.50 0.40 541.49 1.00 541.49 45454.26 83.94 6.66 55.95 EURIBOR-ICE 2446.12 0.04 101.78 1.09 111.17 45454.26 408.87 4.76 194.64 EUROSTX 468.60 1.08 507.41 1.09 554.21 45454.26 82.02 -7.16 -58.76 FEEDCOW 1183.00 0.88 1041.34 1.00 1041.34 45454.26 43.65 -13.12 -57.25 GASOIL 740.75 1.65 1223.49 1.00 1223.49 45454.26 37.15 -7.26 -26.98 GASOLINE 920.56 1.71 1577.07 1.00 1577.07 45454.26 28.82 4.89 14.10 GAS_US_mini 58.38 3.62 211.50 1.00 211.50 45454.26 214.92 -6.29 -135.11 GBP 798.38 0.45 362.81 1.00 362.81 45454.26 125.28 0.30 3.77 GOLD_micro 248.75 0.87 215.35 1.00 215.35 45454.26 211.07 4.28 90.44 HEATOIL 1023.16 1.64 1683.02 1.00 1683.02 45454.26 27.01 -11.78 -31.81 JGB-SGX-mini 145190.00 0.29 41596.82 0.01 283.12 45454.26 160.55 5.92 95.10 JPY 853.06 0.80 686.19 1.00 686.19 45454.26 66.24 2.64 17.52 LEANHOG 264.40 1.84 485.45 1.00 485.45 45454.26 93.63 2.63 24.63 LIVECOW 720.80 0.77 558.33 1.00 558.33 45454.26 81.41 4.30 35.04 LUMBER-new 147.26 1.78 262.07 1.00 262.07 45454.26 173.44 -2.26 -39.23 MILK 431.60 1.22 526.67 1.00 526.67 45454.26 86.30 3.75 32.34 MXP 260.90 1.02 265.10 1.00 265.10 45454.26 171.46 -4.81 -82.44 NASDAQ_micro 372.80 1.40 520.78 1.00 520.78 45454.26 87.28 -8.87 -77.39 NIKKEI 35050.00 2.73 95774.45 0.01 655.68 45454.26 69.32 -5.52 -38.28 NZD 602.25 0.57 340.85 1.00 340.85 45454.26 133.35 -1.68 -22.45 OAT 1264.30 0.34 434.09 1.09 474.14 45454.26 95.87 -1.23 -11.77 OATIES 154.12 1.85 284.39 1.00 284.39 45454.26 159.83 -7.31 -116.77 OJ 633.98 1.78 1131.45 1.00 1131.45 45454.26 40.17 6.42 25.81 PALLAD 905.50 2.70 2441.99 1.00 2441.99 45454.26 18.61 -3.03 -5.64 PLAT 473.90 1.74 822.91 1.00 822.91 45454.26 55.24 -4.20 -23.19 REDWHEAT 282.00 1.66 467.51 1.00 467.51 45454.26 97.23 -17.36 -168.75 RICE 295.20 1.10 325.89 1.00 325.89 45454.26 139.48 0.44 6.20 ROBUSTA 436.70 1.71 745.61 1.00 745.61 45454.26 60.96 7.27 44.29 RUSSELL 103.55 1.53 158.79 1.00 158.79 45454.26 286.25 -1.90 -54.42 SHATZ 1063.25 0.08 80.19 1.09 87.59 45454.26 518.96 -2.44 -126.67 SILVER-mini 710.94 1.87 1328.06 1.00 1328.06 45454.26 34.23 -2.68 -9.17 SMI 1187.50 0.90 1064.67 1.16 1230.22 45454.26 36.95 7.08 26.14 SOFR 2421.12 0.07 164.56 1.00 164.56 45454.26 276.22 6.96 192.26 SOYBEAN 494.00 1.30 640.14 1.00 640.14 45454.26 71.01 -15.91 -112.95 SOYMEAL 305.00 1.65 502.91 1.00 502.91 45454.26 90.38 -12.66 -114.43 SOYOIL 243.06 1.76 428.74 1.00 428.74 45454.26 106.02 -11.25 -119.23 SP400 2928.20 1.18 3443.12 1.00 3443.12 45454.26 13.20 -3.95 -5.22 SP500_micro 268.44 0.99 264.64 1.00 264.64 45454.26 171.76 -7.11 -122.20 SUGAR11 208.66 1.64 341.59 1.00 341.59 45454.26 133.07 -7.78 -103.46 US10 1132.19 0.38 433.21 1.00 433.21 45454.26 104.92 4.41 46.30 US10U 1173.28 0.51 594.44 1.00 594.44 45454.26 76.47 5.70 43.57 US2 2065.23 0.12 245.60 1.00 245.60 45454.26 185.07 3.40 62.91 US20 1232.81 0.75 924.09 1.00 924.09 45454.26 49.19 5.74 28.23 US30 1314.06 1.06 1393.90 1.00 1393.90 45454.26 32.61 2.99 9.76 US5 1089.38 0.26 280.85 1.00 280.85 45454.26 161.85 4.37 70.67 VIX 190.50 6.77 1290.05 1.00 1290.05 45454.26 35.23 -3.53 -12.43 WHEAT 279.75 1.64 458.95 1.00 458.95 45454.26 99.04 -14.02 -138.89 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -33.153 0.010 2.5 -0.860 BITCOIN -204.079 0.043 2.5 -22.099 BOBL -72.532 0.004 2.5 -0.736 BTP -26.224 0.014 2.5 -0.894 BUND 5.450 0.004 2.5 0.055 BUXL -13.329 0.004 2.5 -0.135 CAC -45.799 0.014 2.5 -1.562 CAD -125.381 0.010 2.5 -3.253 CANOLA -387.192 0.010 2.5 -9.420 CHF 16.249 0.010 2.5 0.422 COCOA 8.833 0.009 2.5 0.189 COFFEE 6.113 0.005 2.5 0.071 COPPER -15.267 0.043 2.5 -1.653 CORN -263.108 0.010 2.5 -6.401 COTTON2 -163.504 0.009 2.5 -3.502 CRUDE_W 16.136 0.043 2.5 1.747 DAX -92.496 0.014 2.5 -3.155 DOW -73.695 0.009 2.5 -1.713 DX -106.564 0.010 2.5 -2.765 EUR 55.948 0.010 2.5 1.452 EURIBOR-ICE 194.636 0.014 2.5 6.639 EUROSTX -58.763 0.014 2.5 -2.004 FEEDCOW -57.253 0.013 2.5 -1.897 GASOIL -26.980 0.017 2.5 -1.170 GASOLINE 14.102 0.017 2.5 0.611 GAS_US_mini -135.115 0.043 2.5 -14.631 GBP 3.770 0.010 2.5 0.098 GOLD_micro 90.440 0.014 2.5 3.085 HEATOIL -31.814 0.017 2.5 -1.379 JGB-SGX-mini 95.100 0.043 2.5 10.298 JPY 17.519 0.010 2.5 0.455 LEANHOG 24.633 0.024 2.5 1.497 LIVECOW 35.043 0.013 2.5 1.161 LUMBER-new -39.227 0.009 2.5 -0.840 MILK 32.342 0.009 2.5 0.693 MXP -82.438 0.059 2.5 -12.100 NASDAQ_micro -77.385 0.009 2.5 -1.798 NIKKEI -38.281 0.043 2.5 -4.145 NZD -22.455 0.010 2.5 -0.583 OAT -11.769 0.014 2.5 -0.401 OATIES -116.767 0.010 2.5 -2.841 OJ 25.808 0.009 2.5 0.553 PALLAD -5.639 0.014 2.5 -0.192 PLAT -23.193 0.014 2.5 -0.791 REDWHEAT -168.749 0.005 2.5 -2.238 RICE 6.203 0.010 2.5 0.151 ROBUSTA 44.291 0.005 2.5 0.517 RUSSELL -54.422 0.013 2.5 -1.803 SHATZ -126.671 0.004 2.5 -1.284 SILVER-mini -9.170 0.014 2.5 -0.313 SMI 26.141 0.014 2.5 0.892 SOFR 192.255 0.024 2.5 11.684 SOYBEAN -112.946 0.004 2.5 -1.050 SOYMEAL -114.431 0.004 2.5 -1.064 SOYOIL -119.235 0.004 2.5 -1.110 SP400 -5.218 0.013 2.5 -0.173 SP500_micro -122.198 0.009 2.5 -2.840 SUGAR11 -103.463 0.009 2.5 -2.200 US10 46.300 0.005 2.5 0.587 US10U 43.574 0.005 2.5 0.552 US2 62.906 0.005 2.5 0.797 US20 28.232 0.005 2.5 0.358 US30 9.757 0.005 2.5 0.124 US5 70.666 0.005 2.5 0.895 VIX -12.427 0.099 2.5 -3.068 WHEAT -138.892 0.005 2.5 -1.842 ===================== Position diags ===================== AUD 3.27 BITCOIN 22.95 BOBL 1.81 BTP 2.97 BUND 0.87 BUXL 0.34 CAC 2.01 CAD 5.01 CANOLA 8.32 CHF 1.49 COCOA 0.38 COFFEE 0.29 COPPER 3.15 CORN 3.88 COTTON2 2.05 CRUDE_W 3.99 DAX 8.48 DOW 6.27 DX 3.23 EUR 2.18 EURIBOR-ICE 13.95 EUROSTX 2.80 FEEDCOW 1.45 GASOIL 1.61 GASOLINE 1.25 GAS_US_mini 23.27 GBP 3.25 GOLD_micro 7.20 HEATOIL 1.17 JGB-SGX-mini 17.39 JPY 1.72 LEANHOG 5.69 LIVECOW 2.70 LUMBER-new 3.71 MILK 1.85 MXP 25.17 NASDAQ_micro 2.03 NIKKEI 7.51 NZD 3.46 OAT 3.27 OATIES 3.89 OJ 0.86 PALLAD 0.63 PLAT 1.88 REDWHEAT 1.29 RICE 3.39 ROBUSTA 0.71 RUSSELL 9.49 SHATZ 5.26 SILVER-mini 1.17 SMI 1.26 SOFR 16.79 SOYBEAN 0.66 SOYMEAL 0.84 SOYOIL 0.99 SP400 0.44 SP500_micro 3.99 SUGAR11 2.83 US10 1.33 US10U 0.97 US2 2.35 US20 0.62 US30 0.41 US5 2.05 VIX 8.70 WHEAT 1.31 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.9 -1.2 -0.5 0.0 0 BITCOIN -22.1 -24.4 -19.8 0.0 0 BOBL -0.7 -0.9 -0.6 0.0 0 BTP -0.9 -1.2 -0.6 0.0 0 BUND 0.1 -0.0 0.1 0.0 0 BUXL -0.1 -0.2 -0.1 0.0 0 CAC -1.6 -1.8 -1.4 0.0 0 CAD -3.3 -3.8 -2.8 -1.0 -1 CANOLA -9.4 -10.3 -8.6 -1.0 -1 CHF 0.4 0.3 0.6 2.0 2 COCOA 0.2 0.2 0.2 0.0 0 COFFEE 0.1 0.0 0.1 0.0 0 COPPER -1.7 -2.0 -1.3 -1.0 -1 CORN -6.4 -6.8 -6.0 -3.0 -3 COTTON2 -3.5 -3.7 -3.3 -5.0 -5 CRUDE_W 1.7 1.3 2.1 3.0 3 DAX -3.2 -4.0 -2.3 0.0 0 DOW -1.7 -2.3 -1.1 0.0 0 DX -2.8 -3.1 -2.4 0.0 0 EUR 1.5 1.2 1.7 1.0 1 EURIBOR-ICE 6.6 5.2 8.0 0.0 0 EUROSTX -2.0 -2.3 -1.7 -2.0 -2 FEEDCOW -1.9 -2.0 -1.8 -2.0 -2 GASOIL -1.2 -1.3 -1.0 -1.0 -1 GASOLINE 0.6 0.5 0.7 0.0 0 GAS_US_mini -14.6 -17.0 -12.3 -17.0 -17 GBP 0.1 -0.2 0.4 0.0 0 GOLD_micro 3.1 2.4 3.8 1.0 1 HEATOIL -1.4 -1.5 -1.3 -2.0 -2 JGB-SGX-mini 10.3 8.6 12.0 4.0 4 JPY 0.5 0.3 0.6 2.0 2 LEANHOG 1.5 0.9 2.1 1.0 1 LIVECOW 1.2 0.9 1.4 3.0 3 LUMBER-new -0.8 -1.2 -0.5 -2.0 -2 MILK 0.7 0.5 0.9 NaN 0 MXP -12.1 -14.6 -9.6 -14.0 -14 NASDAQ_micro -1.8 -2.0 -1.6 -2.0 -2 NIKKEI -4.1 -4.9 -3.4 -4.0 -4 NZD -0.6 -0.9 -0.2 -2.0 -2 OAT -0.4 -0.7 -0.1 -1.0 -1 OATIES -2.8 -3.2 -2.5 NaN 0 OJ 0.6 0.5 0.6 1.0 1 PALLAD -0.2 -0.3 -0.1 -1.0 -1 PLAT -0.8 -1.0 -0.6 -1.0 -1 REDWHEAT -2.2 -2.4 -2.1 -2.0 -2 RICE 0.2 -0.2 0.5 NaN 0 ROBUSTA 0.5 0.4 0.6 0.0 0 RUSSELL -1.8 -2.8 -0.9 1.0 1 SHATZ -1.3 -1.8 -0.8 NaN 0 SILVER-mini -0.3 -0.4 -0.2 -1.0 -1 SMI 0.9 0.8 1.0 0.0 0 SOFR 11.7 10.0 13.4 NaN 0 SOYBEAN -1.1 -1.1 -1.0 -5.0 -5 SOYMEAL -1.1 -1.1 -1.0 0.0 0 SOYOIL -1.1 -1.2 -1.0 0.0 0 SP400 -0.2 -0.2 -0.1 -2.0 -2 SP500_micro -2.8 -3.2 -2.4 0.0 0 SUGAR11 -2.2 -2.5 -1.9 0.0 0 US10 0.6 0.5 0.7 0.0 0 US10U 0.6 0.5 0.6 2.0 2 US2 0.8 0.6 1.0 NaN 0 US20 0.4 0.3 0.4 0.0 0 US30 0.1 0.1 0.2 3.0 3 US5 0.9 0.7 1.1 3.0 3 VIX -3.1 -3.9 -2.2 -2.0 -2 WHEAT -1.8 -2.0 -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 -0.0 0.0 -0.1 -0.0 -0.0 -0.1 0.2 -0.1 -0.1 -0.2 -0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 0.5 -0.0 0.1 -0.0 -0.0 -0.0 -0.1 -0.0 0.2 -0.6 -0.1 0.2 0.4 -0.2 0.4 -0.0 BITCOIN -0.1 -0.5 -0.5 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.2 -0.1 -2.7 -0.0 -0.0 0.0 -0.1 0.2 -0.0 -0.2 -0.5 0.4 0.1 0.3 -0.5 -0.2 -0.2 -0.0 BOBL 0.6 0.6 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.2 0.1 0.1 -0.4 -0.3 -0.4 -0.4 0.1 0.0 0.1 -0.1 0.2 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 -0.1 0.1 0.0 -0.2 -0.7 -0.7 -0.3 -0.4 BTP 0.3 0.4 -0.0 0.1 0.0 0.1 0.1 0.0 0.1 0.1 0.2 0.2 0.5 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 0.2 0.1 0.6 -0.5 -0.6 -0.3 -0.4 -0.7 -0.5 -0.1 0.1 BUND 0.6 0.4 0.2 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 0.0 0.1 0.0 0.1 0.0 0.1 -0.1 0.2 0.1 0.0 0.0 0.0 0.0 0.0 0.1 0.4 -0.2 -0.0 -0.1 -0.2 -0.7 -0.7 -0.3 -0.4 BUXL 0.5 0.3 0.1 0.0 0.0 0.0 0.0 0.0 0.1 0.0 -0.1 0.1 -0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.1 0.1 0.0 0.1 -0.1 0.1 -0.5 0.0 0.0 0.0 0.0 0.0 0.1 0.1 -0.3 -0.2 -0.3 -0.4 -0.7 -0.7 -0.4 -0.3 CAC -0.4 -0.6 -0.6 -0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 -0.2 -0.1 0.1 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 0.0 -0.2 -1.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.4 0.2 0.1 -0.6 -0.6 0.3 0.2 0.1 0.2 CAD -0.3 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.2 -0.5 0.0 -0.7 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.3 -0.1 -0.2 -0.1 0.1 -0.2 0.0 -0.2 -0.0 -0.1 0.5 -0.2 0.0 -0.2 0.3 -0.2 -0.0 -0.1 CANOLA -0.3 -0.0 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -2.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.1 0.2 -0.1 -0.1 -0.0 -0.4 0.2 -0.1 CHF 0.6 0.6 0.4 -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 0.0 0.1 -0.1 0.2 0.5 0.0 0.0 0.0 0.0 -0.0 0.1 -1.1 0.5 0.6 0.6 0.5 0.2 -0.4 -0.2 -0.4 COCOA -0.0 -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 -2.6 0.0 0.0 0.1 0.0 0.4 -0.0 1.1 0.2 0.1 0.0 0.0 0.6 0.2 0.7 0.3 COFFEE -0.4 -0.1 0.2 -0.1 -0.0 -0.1 -0.1 -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 0.4 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 0.1 -0.1 COPPER -0.6 -0.6 -0.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -1.4 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.3 -0.1 -0.5 -0.2 0.2 0.3 0.1 0.6 0.4 CORN 0.2 -0.6 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -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 -0.6 -0.3 -0.3 -0.3 -0.2 -0.0 COTTON2 -0.1 -0.3 -0.6 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.5 -0.1 -0.5 -0.2 -0.2 -0.2 -0.0 -0.2 -0.1 -0.2 -0.2 -0.0 -0.5 -0.1 -2.7 -0.1 0.0 -0.2 -0.0 -0.1 -0.0 -0.5 0.3 -0.2 0.1 -0.6 -0.3 -0.3 0.1 -0.1 CRUDE_W -0.5 -0.3 -0.4 -0.0 0.1 -0.1 -0.0 0.0 -0.0 0.1 0.1 -0.0 0.4 -0.1 -0.1 0.3 0.3 0.3 0.3 -0.1 -0.0 0.0 0.1 -0.1 -0.4 -0.1 0.1 -0.1 0.0 0.0 -0.1 0.5 0.2 -0.3 -0.1 -0.3 0.5 0.7 0.6 0.7 DAX -0.5 -0.5 -0.5 -0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.0 0.1 -0.1 0.4 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.1 -0.0 -0.1 0.2 -0.2 1.2 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.4 0.0 0.0 -0.5 -0.4 0.3 0.1 -0.1 0.1 DOW -0.5 -0.1 -0.3 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.1 -0.1 0.3 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.0 -0.1 0.2 -0.1 -1.2 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.5 0.1 0.6 0.3 -0.0 0.4 -0.0 0.1 -0.1 DX -0.3 -0.5 -0.2 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 0.2 -0.2 0.5 -0.2 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.0 -0.1 0.1 -0.2 -2.7 -0.1 -0.0 -0.0 -0.1 0.1 -0.1 0.9 -0.5 -0.4 -0.4 -0.2 -0.3 0.2 -0.3 0.3 EUR 0.0 0.3 0.1 -0.0 0.0 -0.1 -0.0 -0.0 -0.1 0.1 -0.2 0.1 -0.4 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 2.7 0.0 0.0 0.1 0.1 0.0 0.1 -0.4 0.5 0.6 0.6 0.4 0.1 -0.6 -0.0 -0.6 EURIBOR-ICE 0.6 0.6 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.0 0.2 1.7 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 0.1 0.1 -0.1 -0.7 -0.7 -0.2 0.0 EUROSTX -0.6 -0.6 -0.6 -0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.0 0.1 -0.1 0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.2 -0.2 -0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.1 0.3 0.2 -0.1 -0.6 -0.5 0.0 0.0 -0.5 -0.0 FEEDCOW -0.6 -0.6 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.1 0.2 -0.4 -0.0 -0.3 -0.2 -0.1 -0.2 -0.1 -0.2 -0.9 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -1.1 -0.5 -0.6 -0.6 -0.2 0.1 0.7 0.3 0.7 GASOIL -0.4 -0.2 -0.4 -0.0 0.1 -0.1 -0.0 0.0 -0.0 0.1 -0.1 -0.1 0.3 -0.1 -0.1 0.0 0.2 0.0 0.1 -0.1 -0.1 -0.0 0.1 -0.1 0.6 -0.1 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.5 -0.3 -0.0 -0.1 -0.4 -0.5 -0.7 -0.7 GASOLINE -0.3 -0.1 -0.4 -0.0 0.1 -0.1 -0.0 0.0 -0.0 0.1 0.1 -0.0 0.4 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 -0.0 0.0 0.2 -0.1 -2.7 -0.0 0.1 -0.1 0.0 0.1 -0.0 1.1 0.1 0.1 0.2 -0.1 0.7 0.7 0.7 0.7 GAS_US_mini -0.1 -0.6 0.5 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.3 0.0 -0.5 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.0 -0.5 -0.1 2.7 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -1.1 0.1 0.2 -0.4 0.4 -0.1 -0.4 -0.3 -0.6 GBP -0.5 0.1 0.2 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 0.3 -0.2 0.3 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.1 0.2 -0.1 -0.1 0.0 -0.0 0.1 -0.1 0.2 -0.0 0.2 -0.5 -0.3 0.4 0.6 0.2 -0.7 0.2 -0.5 GOLD_micro -0.1 0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 0.3 0.0 0.4 0.0 0.0 -0.2 -0.3 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 -0.6 0.0 0.1 0.1 0.0 0.3 0.0 -0.7 0.4 0.6 0.6 0.4 0.3 -0.1 0.6 0.1 HEATOIL -0.4 -0.1 -0.4 -0.0 0.1 -0.1 -0.0 0.0 -0.0 0.0 -0.2 -0.1 0.1 -0.1 -0.1 -0.1 0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -2.7 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 -0.3 -0.3 -0.3 -0.1 -0.4 -0.1 0.2 -0.4 0.1 JGB-SGX-mini 0.6 0.4 -0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.0 -0.0 0.0 0.0 0.3 0.4 0.4 0.4 0.0 0.0 0.1 -0.0 0.1 -1.0 0.0 0.0 -0.0 0.0 -0.0 0.0 1.1 0.3 0.2 -0.1 -0.3 -0.2 -0.2 -0.1 0.4 JPY 0.6 0.6 0.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.3 0.1 0.0 -0.2 -0.3 -0.3 -0.3 0.1 -0.0 0.1 -0.2 0.2 2.7 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 0.5 0.6 0.6 0.0 -0.7 -0.5 -0.7 -0.5 LEANHOG 0.6 -0.0 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -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 -0.0 0.6 0.2 -0.5 -0.0 -0.2 0.1 0.1 LIVECOW -0.6 -0.0 0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.4 -0.2 0.3 -0.1 0.1 0.2 0.2 0.3 0.3 0.0 0.1 -0.2 0.2 -0.1 -1.6 0.0 -0.0 0.1 -0.1 0.2 -0.1 0.9 -0.5 -0.2 0.6 0.6 -0.0 0.7 0.1 0.7 LUMBER-new 0.7 0.3 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.3 0.1 -0.4 0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -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 0.6 -0.4 0.1 -0.2 0.3 -0.1 MILK -0.0 0.0 0.6 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.3 0.1 0.0 0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.1 0.1 0.1 2.3 0.0 0.1 0.1 0.0 0.0 0.0 -1.1 0.4 0.6 0.3 0.6 -0.1 -0.7 0.0 -0.7 MXP -0.5 -0.3 -0.6 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.2 -0.1 0.0 -0.1 -0.1 0.2 0.3 0.2 0.3 -0.1 -0.1 -0.1 -0.0 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 -0.3 -0.6 -0.2 -0.6 0.6 0.4 0.7 0.6 NASDAQ_micro -0.6 -0.6 -0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.1 -0.1 0.3 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.0 -0.1 0.2 -0.1 -2.1 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.4 0.3 -0.4 -0.2 0.1 0.1 0.2 -0.2 0.1 NIKKEI -0.6 -0.6 -0.6 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.1 -0.0 0.2 -0.1 -0.0 0.2 0.2 0.2 0.2 -0.1 -0.0 -0.1 0.1 -0.1 -1.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.1 -0.3 -0.6 -0.4 -0.3 0.3 -0.1 0.1 -0.2 NZD -0.3 -0.4 0.1 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.2 -0.2 0.0 -0.2 -0.1 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.2 0.5 -0.2 -0.4 0.1 0.3 -0.2 0.2 -0.0 OAT 0.5 0.4 -0.1 0.0 0.0 0.0 0.0 0.0 0.1 0.1 -0.2 0.1 -0.1 0.1 0.1 0.0 0.1 0.0 0.0 0.1 -0.0 0.1 -0.1 0.1 0.3 0.0 0.0 0.0 0.1 -0.0 0.1 0.6 -0.3 -0.3 -0.3 -0.5 -0.7 -0.7 -0.2 -0.1 OATIES 0.2 -0.4 -0.4 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.2 0.0 0.1 0.1 -0.1 -0.1 -0.0 -0.3 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.1 0.2 -0.2 0.0 0.2 -0.0 0.6 0.3 OJ -0.4 -0.3 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 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 -0.0 0.2 -0.0 0.5 -0.0 0.8 0.3 -0.0 0.3 0.6 0.5 0.3 0.7 0.7 PALLAD -0.3 0.1 0.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 1.8 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.3 0.0 -0.0 0.3 0.0 -0.7 -0.7 -0.7 -0.7 PLAT -0.5 -0.4 0.0 -0.0 0.0 -0.1 -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 -0.1 -0.0 -0.1 -0.0 -0.1 0.8 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 -0.2 0.1 0.3 -0.4 -0.3 -0.2 0.1 REDWHEAT -0.0 -0.6 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.4 -0.1 -0.5 -0.2 -0.2 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.5 -0.2 -0.8 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.8 0.3 0.1 -0.6 0.2 -0.7 -0.7 -0.5 -0.6 RICE 0.4 -0.6 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 0.0 0.5 -0.0 0.0 -0.1 0.4 0.4 0.4 -0.0 0.0 -0.1 0.2 -0.0 -1.4 0.0 -0.1 0.1 -0.1 0.1 0.0 1.1 -0.3 0.5 0.5 0.6 -0.7 -0.4 -0.7 -0.4 ROBUSTA -0.6 -0.1 0.2 -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 0.1 0.5 0.1 -2.7 0.0 0.0 0.2 0.0 0.3 0.0 1.1 0.5 0.1 0.6 0.6 0.1 -0.2 0.3 0.1 RUSSELL -0.5 0.1 -0.1 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.1 -0.1 0.2 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 -0.2 0.6 0.4 0.1 0.2 -0.7 -0.1 -0.7 SHATZ 0.6 0.6 0.6 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 0.1 -0.2 0.2 0.9 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 -0.0 0.2 0.2 -0.1 -0.7 -0.5 -0.6 -0.4 SILVER-mini -0.6 -0.5 0.0 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.1 -0.1 0.3 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -0.1 -0.1 -0.4 -0.0 0.2 0.1 -0.2 0.3 0.2 SMI -0.6 -0.6 0.2 -0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.0 0.2 -0.0 0.4 -0.0 0.1 -0.1 0.0 -0.1 -0.0 -0.0 0.1 -0.1 0.2 -0.1 1.3 0.0 0.0 0.2 0.0 0.3 0.0 0.5 0.5 0.6 0.2 0.4 0.1 0.1 -0.2 -0.0 SOFR 0.4 0.6 0.6 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 -0.0 -0.0 -0.0 0.2 0.1 0.1 0.0 0.2 -0.5 0.0 0.0 0.1 0.0 0.0 0.0 0.2 0.0 0.0 0.1 0.2 0.4 -0.5 0.7 0.2 SOYBEAN 0.1 -0.6 -0.4 -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 -0.2 -0.1 -0.1 -0.2 -0.1 -2.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.2 -0.5 -0.3 -0.2 -0.7 -0.1 -0.7 SOYMEAL 0.6 -0.4 -0.2 -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 0.0 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -2.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 -0.1 0.2 -0.2 0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.6 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 0.1 0.0 0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -2.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.4 -0.0 -0.2 -0.2 -0.4 0.1 -0.1 SP400 -0.4 -0.2 -0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.1 -0.1 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.1 -0.1 -1.1 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.0 -0.0 0.6 0.2 -0.0 0.2 -0.3 -0.0 -0.7 SP500_micro -0.6 -0.6 -0.3 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.2 -0.1 0.4 -0.1 0.0 -0.2 -0.2 -0.2 -0.3 -0.0 0.1 -0.1 0.3 -0.1 -1.9 -0.0 0.0 0.1 -0.0 0.2 -0.0 -0.6 0.2 -0.2 -0.1 0.2 0.4 0.1 -0.1 0.1 SUGAR11 -0.4 0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.1 -0.0 -0.3 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.2 0.0 -0.3 0.3 -0.2 -0.1 0.6 0.0 0.7 US10 0.4 0.6 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.0 -0.1 0.1 0.1 -0.2 -0.1 -0.2 -0.1 0.1 0.1 0.1 -0.0 0.1 0.3 0.0 0.0 0.0 0.0 0.0 0.0 -0.4 0.1 0.1 0.0 0.1 0.2 -0.7 0.6 0.1 US10U 0.4 0.5 0.6 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 0.1 0.1 0.1 -0.1 0.2 0.0 0.0 0.0 0.1 0.0 0.0 0.1 0.0 0.0 -0.0 -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 -0.0 0.1 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.1 -0.1 0.2 1.7 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 0.4 0.3 0.3 0.1 0.1 -0.7 0.2 -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 0.0 -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 0.0 -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 0.0 0.0 0.0 -0.1 -0.1 -0.2 -0.2 0.0 0.1 -0.3 0.5 0.7 US5 0.5 0.6 0.6 0.0 0.0 0.0 0.0 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 0.1 0.1 -0.0 0.2 0.8 0.0 0.0 0.0 0.0 0.0 0.0 -0.7 0.2 0.1 0.1 0.2 0.2 -0.7 0.5 -0.1 VIX 1.0 1.0 1.0 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.3 -0.0 -0.6 0.0 -0.0 -0.6 -0.6 -0.6 -0.6 0.1 -0.0 0.1 -0.2 0.1 NaN 0.0 0.0 -0.0 0.1 -0.1 0.1 NaN NaN NaN NaN NaN -0.8 -1.1 NaN NaN WHEAT -0.0 -0.6 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.0 -0.3 -0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.3 0.1 -0.5 0.1 -0.6 -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 -6.7 4.0 -4.6 2.0 -3.2 -2.6 -0.6 -5.1 16.7 -4.7 -12.1 -4.4 -15.8 -4.2 -2.0 -2.6 -2.2 -2.4 -9.5 -2.1 -1.9 -1.8 -13.4 3.6 -4.3 6.2 -1.1 -0.6 -0.3 -5.7 -0.0 8.2 -20.0 -3.9 6.0 10.7 -4.8 12.4 -0.8 BITCOIN -2.2 -14.5 -16.3 -4.3 1.8 -2.8 -1.4 -1.1 -3.7 -3.7 3.1 -5.5 8.0 -5.1 -5.6 -5.6 -7.1 -6.5 -7.0 -5.2 0.7 -10.1 7.7 -8.7 -20.0 -2.4 -3.0 1.2 -5.2 5.6 -4.3 -2.9 -20.0 12.0 3.9 8.2 -15.5 -7.1 -5.4 -0.9 BOBL 20.0 17.7 6.3 3.0 1.8 1.4 3.5 0.0 4.0 4.1 -4.2 8.0 -5.5 9.5 7.7 -20.0 -15.5 -20.0 -20.0 11.0 2.6 12.5 -3.8 15.8 4.4 3.2 1.5 1.1 3.6 -0.3 4.5 -20.0 -5.1 3.3 1.2 -6.2 -20.0 -19.5 -10.5 -11.2 BTP 9.5 11.2 -0.7 5.2 3.0 2.5 6.0 0.1 6.9 12.0 7.0 14.3 12.9 18.3 15.5 1.1 3.9 1.4 2.4 12.5 8.7 9.7 8.6 14.5 -20.0 5.5 3.2 4.1 4.3 4.2 6.3 11.1 -20.0 -20.0 -9.5 -13.0 -19.8 -16.2 -4.4 4.1 BUND 19.1 13.4 5.4 3.3 1.9 1.6 3.8 0.0 4.4 4.0 -3.5 8.1 -2.2 10.1 8.6 6.7 1.2 3.8 1.4 10.3 3.4 11.2 -2.0 14.4 1.0 3.5 1.7 1.6 3.8 0.3 4.8 7.2 -9.4 -1.0 -2.3 -7.0 -20.0 -20.0 -9.3 -11.0 BUXL 17.0 8.6 3.4 3.8 2.2 1.8 4.3 0.1 5.0 3.8 -5.1 8.1 -1.8 9.9 6.5 -0.6 -2.4 -1.8 -2.7 8.1 1.7 10.7 -3.4 13.1 -3.4 3.6 1.6 1.6 4.2 0.3 5.3 1.1 -12.6 -5.3 -8.0 -11.5 -20.0 -20.0 -13.5 -10.5 CAC -10.8 -18.5 -20.0 -0.5 -2.5 2.6 -5.7 4.0 -4.4 -6.2 -7.3 -9.9 3.9 -12.3 -14.1 -5.9 -1.7 -5.4 -2.9 -18.4 -10.2 -16.0 0.5 -20.0 -7.4 -5.0 -1.7 -2.4 -4.2 0.9 -5.4 7.1 9.7 3.0 -20.0 -20.0 7.6 5.2 2.2 6.3 CAD -7.9 -2.4 -3.3 -5.1 2.2 -3.5 -2.9 -0.7 -5.7 20.0 -20.0 1.6 -19.2 -8.9 -12.9 -4.9 -3.3 -4.5 -3.9 -11.0 -11.7 8.2 -12.3 -5.5 -1.3 -6.1 9.0 -5.8 4.4 -5.4 -3.3 -1.7 20.0 -4.7 0.9 -7.5 9.0 -6.5 -0.5 -4.4 CANOLA -8.5 -1.0 4.9 -2.3 -2.3 -1.6 -2.3 -1.0 -2.4 -6.0 -4.3 -6.8 -6.2 -5.7 -4.6 -9.8 -10.2 -12.2 -12.7 -5.7 -4.4 -10.6 -5.5 -8.9 -15.2 -2.0 -1.2 -2.1 -1.7 -2.7 -1.9 -20.0 -3.8 5.5 -2.1 -2.5 -0.7 -11.4 7.4 -4.2 CHF 19.6 17.7 12.8 -2.8 1.2 -1.9 -1.6 -0.4 -3.1 1.0 -5.7 6.0 -7.3 8.7 8.6 -14.9 -16.6 -16.4 -16.5 11.0 2.3 11.6 -2.9 16.0 3.8 3.8 0.6 1.2 4.2 -0.4 5.4 -20.0 20.0 20.0 20.0 14.7 5.6 -11.2 -5.3 -12.1 COCOA -1.2 -12.8 4.0 -2.0 -2.0 -1.4 -2.0 -0.9 -2.1 2.0 1.9 0.1 3.3 -3.4 -3.2 20.0 18.4 20.0 20.0 -0.7 3.1 1.5 7.2 -0.7 -19.1 0.6 1.8 4.9 0.9 10.3 -0.1 20.0 9.5 2.8 0.5 0.7 16.8 6.3 20.0 10.4 COFFEE -13.4 -3.1 5.8 -5.2 -5.1 -3.7 -5.3 -2.3 -5.4 7.5 13.1 2.7 13.6 0.7 10.3 3.7 6.4 4.2 5.6 8.4 14.0 5.5 14.5 3.9 -20.0 3.2 5.7 7.6 3.5 10.1 1.4 7.3 20.0 5.6 18.7 17.7 -2.8 -10.6 4.4 -3.9 COPPER -20.0 -20.0 -10.4 -2.7 1.1 -1.8 -0.9 -0.7 -2.3 -1.0 -1.8 -6.9 0.9 -8.4 -7.9 -2.8 -2.7 -1.5 -1.7 -9.7 -2.1 -7.3 3.1 -11.8 -10.5 -2.6 0.3 -0.6 -1.6 0.9 -2.9 5.4 -4.0 -15.6 -7.2 7.4 9.4 3.0 18.3 13.0 CORN 4.6 -20.0 -10.1 -3.5 -3.4 -2.5 -3.5 -1.5 -3.6 -2.8 -10.8 -8.6 -11.6 -11.1 -11.3 -18.9 -13.9 -18.0 -17.2 -15.8 -15.5 -6.9 -14.2 -11.5 -8.2 -3.8 -0.7 -3.7 -1.7 -3.3 -2.8 -20.0 -2.2 1.2 -18.0 -8.8 -8.2 -9.9 -6.4 -1.2 COTTON2 -4.6 -8.9 -20.0 -5.0 -4.9 -3.5 -5.0 -2.2 -5.1 3.5 -17.1 -10.6 -14.6 -14.5 -16.7 -11.3 -1.7 -8.3 -4.6 -20.0 -20.0 -5.0 -19.0 -13.1 -20.0 -5.8 2.8 -5.6 -1.6 -2.8 -4.2 -8.5 11.6 -5.9 4.2 -20.0 -8.9 -9.2 4.0 -2.3 CRUDE_W -15.7 -8.0 -11.0 -4.5 7.3 -2.2 -0.1 0.5 -4.4 13.4 2.4 -3.3 11.8 -8.9 -5.8 12.6 12.7 13.5 13.3 -7.5 -1.3 1.6 4.4 -9.1 -2.7 -5.4 8.6 -3.3 0.4 0.3 -4.6 9.7 6.8 -8.5 -1.7 -8.5 16.2 20.0 18.2 20.0 DAX -16.5 -15.5 -16.7 -0.5 -2.3 2.4 -5.3 3.7 -4.0 -4.9 3.7 -7.8 10.1 -8.7 -8.1 -7.5 -10.7 -9.0 -10.1 -9.0 -0.3 -14.4 7.1 -15.2 8.7 -3.1 -1.7 0.7 -5.4 3.9 -5.6 -7.5 0.1 0.7 -14.4 -13.2 10.1 4.1 -4.5 4.4 DOW -16.8 -1.5 -10.0 -0.4 -1.9 2.0 -4.5 3.1 -3.4 -4.3 3.8 -6.7 9.2 -4.8 0.2 -8.9 -11.1 -10.4 -11.0 0.2 3.7 -8.8 6.4 -5.5 -8.7 0.9 -1.6 2.6 -3.4 4.0 -1.6 -8.5 2.4 20.0 8.0 -0.1 13.0 -0.5 3.2 -3.8 DX -10.4 -14.4 -6.8 -4.1 1.7 -2.8 -2.3 -0.5 -4.5 -13.2 8.5 -14.6 13.0 -16.7 -13.1 6.7 7.0 7.2 7.2 -11.1 -1.5 -16.6 5.2 -17.4 -20.0 -5.2 -4.3 -1.0 -7.6 1.9 -7.9 16.6 -20.0 -11.4 -11.9 -7.4 -8.1 5.4 -9.2 8.3 EUR 1.1 8.6 4.4 -4.5 2.0 -3.1 -2.6 -0.6 -5.1 13.3 -6.2 13.0 -9.8 14.9 12.7 -7.2 -7.2 -7.4 -7.3 6.1 1.1 9.9 -2.8 9.2 20.0 4.6 5.4 2.1 7.0 0.3 6.4 -8.0 20.0 20.0 20.0 11.9 3.0 -17.4 -1.0 -17.5 EURIBOR-ICE 20.0 20.0 3.8 2.6 1.5 1.2 3.0 0.0 3.4 6.9 -1.5 8.2 1.3 9.2 7.7 -0.6 -4.2 -2.8 -3.6 12.3 5.3 12.7 1.2 16.0 12.6 2.9 2.0 1.3 3.1 0.5 3.8 -1.1 -3.5 3.3 4.0 -4.1 -20.0 -20.0 -7.0 1.4 EUROSTX -18.0 -19.8 -20.0 -0.5 -2.2 2.3 -5.1 3.5 -3.9 -4.6 3.9 -8.7 9.7 -10.4 -10.1 -3.7 -2.7 -4.7 -4.1 -11.5 -2.1 -13.7 6.6 -16.5 -1.7 -3.7 -1.5 0.1 -4.6 3.5 -5.5 5.0 6.6 -3.3 -18.8 -15.5 1.2 0.9 -14.0 -0.7 FEEDCOW -20.0 -17.5 -5.7 -5.5 -5.4 -3.9 -5.6 -2.4 -5.7 -13.8 -5.3 -16.6 -5.8 -17.4 -10.7 8.5 -20.0 -2.4 -12.9 -20.0 -12.4 -20.0 -5.2 -20.0 -6.8 -5.2 -6.0 -2.7 -9.3 -0.7 -8.2 -20.0 -20.0 -20.0 -20.0 -6.0 1.5 20.0 8.5 20.0 GASOIL -12.9 -5.6 -13.9 -4.1 6.6 -2.0 -0.1 0.4 -4.1 9.7 -3.4 -6.3 9.4 -11.7 -10.1 1.5 10.1 0.6 4.1 -10.0 -4.7 -5.5 2.5 -12.1 4.3 -5.0 3.7 -2.6 -3.0 0.5 -5.9 0.1 -20.0 -9.1 -0.7 -3.5 -13.1 -15.2 -20.0 -20.0 GASOLINE -9.2 -3.8 -11.1 -4.4 7.0 -2.1 -0.1 0.4 -4.3 11.0 3.7 -0.4 10.9 -6.6 -7.3 20.0 20.0 20.0 20.0 -5.3 -0.8 1.7 5.7 -5.7 -20.0 -4.5 9.2 -2.6 1.0 2.0 -3.6 20.0 2.7 3.6 6.8 -4.2 20.0 20.0 20.0 20.0 GAS_US_mini -2.8 -20.0 14.0 -2.9 4.7 -1.4 -0.1 0.3 -2.9 12.1 -11.9 2.5 -12.7 -10.3 -11.6 -20.0 -20.0 -20.0 -20.0 -12.2 -11.8 3.3 -17.2 -7.9 20.0 -3.1 5.0 -3.1 1.9 -4.3 -1.9 -20.0 4.7 7.5 -12.3 11.9 -4.2 -11.2 -9.6 -17.6 GBP -14.3 3.2 6.7 -4.8 2.1 -3.3 -2.7 -0.6 -5.4 -3.3 12.6 -15.6 7.9 -5.5 10.2 -0.4 -0.8 -0.7 -0.7 3.4 7.6 -10.2 7.2 -6.3 -0.5 2.0 -1.0 4.9 -6.1 4.9 -3.8 3.1 -20.0 -8.6 12.8 20.0 7.3 -20.0 6.6 -13.6 GOLD_micro -4.0 0.9 -2.0 -3.6 1.5 -2.4 -1.2 -0.9 -3.1 8.6 9.7 2.4 10.3 4.6 4.4 -11.4 -13.3 -11.8 -12.3 6.3 9.6 6.8 11.5 5.0 -4.8 1.4 8.4 4.1 3.8 7.0 1.7 -12.8 18.1 18.8 20.0 13.8 8.9 -4.3 17.3 2.1 HEATOIL -12.1 -3.7 -11.2 -4.3 7.0 -2.1 -0.1 0.4 -4.3 4.7 -8.6 -7.0 3.9 -12.1 -10.5 -4.8 7.8 -4.7 -0.1 -10.9 -6.8 -6.2 -0.9 -12.8 -20.0 -5.9 3.6 -4.6 -2.6 -1.1 -5.6 -5.6 -11.1 -8.8 -2.0 -11.7 -1.7 5.9 -11.5 2.3 JGB-SGX-mini 20.0 12.7 -2.5 2.0 1.2 0.9 2.3 0.0 2.6 4.1 -2.3 4.5 -0.9 3.6 1.1 16.8 18.7 19.7 18.9 3.6 0.1 10.0 -0.7 8.1 -7.2 1.3 2.5 -0.2 3.9 -0.7 3.1 20.0 11.4 4.9 -3.1 -8.6 -4.6 -4.9 -2.1 13.3 JPY 20.0 20.0 11.3 -1.7 0.7 -1.2 -1.0 -0.2 -1.9 2.0 -4.4 5.4 -7.3 6.5 3.4 -12.4 -15.8 -14.2 -15.0 7.9 -0.9 11.8 -7.1 14.5 20.0 1.9 0.7 -0.2 2.9 -1.6 3.5 -20.0 20.0 20.0 18.3 0.2 -20.0 -15.6 -20.0 -15.0 LEANHOG 19.5 -0.1 -20.0 -3.5 -3.5 -2.5 -3.5 -1.5 -3.6 -9.2 -7.1 -0.7 -6.1 2.8 -7.1 20.0 7.0 20.0 20.0 -8.2 -11.1 -5.4 -9.3 -3.3 3.4 -2.6 -3.0 -3.2 -2.0 -2.4 -1.1 20.0 -1.1 19.0 5.3 -16.3 -1.5 -6.9 2.9 3.3 LIVECOW -18.5 -0.9 11.6 -6.3 -6.3 -4.5 -6.4 -2.8 -6.5 -10.4 14.3 -14.3 8.5 -7.2 9.5 12.4 10.0 12.6 13.3 2.9 10.0 -20.0 9.2 -12.5 -11.8 0.7 -3.7 4.0 -8.1 5.0 -5.2 17.0 -20.0 -6.7 20.0 20.0 -0.7 20.0 4.1 20.0 LUMBER-new 19.9 7.9 -9.9 -3.4 -3.4 -2.4 -3.5 -1.4 -3.6 7.7 -8.3 9.8 -9.0 6.6 -3.6 -16.9 -17.3 -17.0 -17.3 -2.2 -8.1 8.3 -8.3 5.2 NaN -0.5 4.3 -3.8 3.9 -4.0 2.8 -20.0 20.0 20.0 15.0 -10.0 3.6 -4.1 8.8 -1.3 MILK -0.7 0.8 20.0 -4.8 -4.7 -3.4 -4.8 -2.1 -4.9 11.9 11.4 8.8 0.8 4.3 11.4 -20.0 -20.0 -20.0 -20.0 9.9 11.6 8.8 2.9 6.3 17.5 3.9 7.7 4.9 3.7 0.7 2.2 -20.0 16.2 20.0 8.8 20.0 -4.0 -20.0 0.4 -20.0 MXP -16.7 -8.7 -20.0 -2.1 0.9 -1.4 -1.2 -0.3 -2.3 2.1 -5.8 -5.5 0.4 -6.3 -7.5 10.2 14.8 11.3 12.8 -11.0 -7.5 -7.5 -0.8 -11.6 -20.0 -3.3 -0.0 -2.3 -2.0 -0.2 -3.3 20.0 -13.1 -18.0 -6.3 -19.7 17.6 12.6 20.0 19.3 NASDAQ_micro -20.0 -20.0 -11.4 -0.3 -1.5 1.5 -3.3 2.3 -2.6 -1.2 3.4 -5.6 7.3 -6.3 -0.8 -7.6 -10.5 -9.7 -10.3 -4.2 2.6 -7.9 6.5 -10.0 -15.9 -0.8 0.2 1.4 -2.0 2.9 -2.6 -7.4 10.8 -12.7 -7.4 3.1 3.2 6.0 -5.4 4.3 NIKKEI -20.0 -20.0 -20.0 -0.1 -1.9 1.5 -3.7 2.2 -2.5 -0.8 2.7 -3.8 5.8 -4.7 -2.7 10.1 10.3 11.0 10.1 -4.9 -0.2 -10.7 2.9 -9.9 -8.8 -1.6 -2.7 0.2 -4.4 1.6 -3.7 20.0 -13.2 -20.0 -12.6 -10.4 8.7 -2.4 2.2 -5.7 NZD -10.5 -12.2 2.1 -3.9 1.7 -2.7 -2.2 -0.5 -4.3 16.8 -7.9 2.0 -4.3 -6.5 -6.8 -0.2 0.1 -0.1 -0.0 -9.4 -5.5 7.2 -3.6 -5.8 0.3 -3.9 6.5 -2.2 3.2 -1.0 -2.3 4.4 20.0 -5.4 -12.8 3.0 9.1 -5.1 7.5 -0.0 OAT 16.0 11.6 -4.1 3.7 2.1 1.7 4.2 0.1 4.8 8.7 -6.7 10.8 -3.2 12.1 6.2 0.9 3.8 0.8 2.0 6.0 -1.2 10.7 -4.7 12.1 2.4 2.8 3.0 0.3 4.7 -0.6 5.1 10.6 -14.5 -9.9 -8.7 -15.2 -20.0 -20.0 -6.0 -1.9 OATIES 5.7 -12.7 -13.5 -3.1 -3.1 -2.2 -3.1 -1.4 -3.2 -8.7 -8.7 -7.2 -9.4 -6.9 -9.3 8.2 1.7 4.3 3.5 -10.1 -11.4 -5.2 -9.9 -6.4 -20.0 -2.9 -2.1 -2.7 -1.7 -2.0 -2.0 0.8 2.5 5.3 -7.5 0.4 6.6 -0.6 17.9 9.1 OJ -11.0 -7.8 1.1 -5.0 -4.9 -3.5 -5.0 -2.2 -5.2 -3.5 11.3 -6.9 14.0 -4.3 6.8 7.2 11.7 8.4 9.2 6.5 15.6 -1.1 20.0 -0.2 -20.0 2.0 -1.7 6.8 -0.5 13.1 -0.6 14.3 11.8 -0.7 9.7 20.0 13.6 10.4 20.0 20.0 PALLAD -8.6 1.9 5.4 -2.5 1.0 -1.6 -0.8 -0.6 -2.1 4.6 -6.8 -1.6 -8.1 -5.4 -6.1 -1.8 -2.1 -1.8 -1.9 -4.5 -4.7 -0.6 -7.6 -3.9 13.6 -2.6 1.8 -2.6 -0.3 -3.1 -1.9 5.9 1.1 -0.1 10.6 1.3 -20.0 -20.0 -20.0 -20.0 PLAT -14.2 -11.5 1.3 -3.5 1.4 -2.3 -1.1 -0.9 -3.0 -3.2 -3.6 -7.6 -4.2 -9.1 -8.1 -4.9 -4.4 -5.1 -4.9 -6.4 -1.9 -6.4 -0.2 -8.8 6.0 -3.5 -0.2 -1.7 -2.6 -0.3 -3.8 1.4 -7.0 -6.1 4.1 8.7 -12.1 -9.7 -5.3 2.1 REDWHEAT -1.2 -20.0 -8.5 -5.2 -5.1 -3.7 -5.2 -2.3 -5.4 -11.4 -13.8 -9.8 -15.0 -15.3 -16.5 -11.1 -5.2 -10.3 -8.0 -20.0 -17.2 -7.3 -16.8 -14.1 -6.2 -4.8 -2.3 -3.9 -2.0 -3.4 -3.5 -14.6 11.5 2.3 -20.0 5.2 -19.9 -20.0 -14.0 -18.5 RICE 13.6 -18.0 -0.8 -5.2 -5.2 -3.7 -5.3 -2.3 -5.4 -14.5 10.2 3.4 13.0 -0.5 4.3 -6.6 20.0 20.0 20.0 -0.8 3.3 -9.2 8.8 -1.8 -10.6 1.9 -14.0 2.5 -4.7 3.1 0.6 20.0 -13.9 16.1 14.1 20.0 -20.0 -11.9 -20.0 -10.9 ROBUSTA -17.4 -4.0 5.9 -3.5 -3.4 -2.5 -3.5 -1.5 -3.6 7.9 10.3 1.5 10.8 3.2 8.2 20.0 20.0 20.0 20.0 10.0 16.8 5.7 20.0 4.6 -20.0 3.5 4.1 6.5 2.1 9.1 1.7 20.0 20.0 3.3 20.0 20.0 2.4 -5.7 9.0 2.3 RUSSELL -14.0 4.6 -1.9 -0.3 -1.5 1.6 -3.5 2.4 -2.7 -5.8 3.6 -6.1 6.4 -3.4 0.7 -5.3 -6.7 -6.4 -6.6 1.1 3.0 -10.3 3.1 -4.8 -0.8 1.4 -2.0 1.9 -2.6 1.7 -0.6 -0.8 -6.6 18.1 12.9 3.9 4.6 -19.8 -2.0 -20.0 SHATZ 20.0 20.0 17.1 2.4 1.4 1.1 2.7 0.0 3.2 2.9 -3.6 6.3 -5.7 7.6 6.9 -20.0 -20.0 -20.0 -20.0 11.0 2.2 12.2 -5.8 15.4 7.0 2.6 1.1 0.7 2.9 -0.8 3.6 -20.0 -0.0 7.0 5.6 -3.2 -20.0 -15.7 -17.4 -11.0 SILVER-mini -20.0 -14.8 1.4 -3.0 1.2 -1.9 -1.0 -0.8 -2.5 -0.5 3.4 -7.1 4.7 -7.9 -4.6 -5.5 -6.4 -5.8 -6.0 -5.0 2.3 -7.2 5.5 -9.7 2.1 -2.6 0.3 -0.3 -2.3 1.4 -3.4 -1.4 -3.3 -11.2 -1.0 7.6 2.4 -5.7 7.7 6.0 SMI -20.0 -17.2 5.1 -0.4 -2.2 2.2 -4.9 3.4 -3.8 -2.0 9.2 -4.0 11.1 -3.9 5.2 -2.7 0.5 -3.0 -1.5 -0.9 6.7 -9.8 8.8 -9.4 9.9 3.9 3.5 6.6 1.8 7.1 1.7 10.1 20.0 20.0 6.4 12.8 4.2 2.0 -6.5 -1.2 SOFR 12.1 18.8 17.6 3.2 1.9 1.5 3.7 0.0 4.3 2.8 4.4 5.7 0.2 9.3 10.7 0.3 -1.1 -1.1 -1.3 14.2 8.0 11.4 1.2 15.7 -3.8 3.9 1.8 2.6 3.5 1.1 4.4 3.5 0.7 0.1 2.2 7.1 10.6 -14.0 20.0 5.1 SOYBEAN 2.3 -17.0 -12.8 -2.8 -2.8 -2.0 -2.9 -1.2 -2.9 -8.5 -9.1 -8.8 -7.3 -9.2 -9.3 -7.1 4.2 -4.0 -1.1 -14.1 -12.1 -12.3 -9.0 -13.2 -17.4 -3.3 -3.0 -2.8 -2.7 -1.9 -2.9 -0.8 -9.1 -6.7 -14.3 -8.6 -6.7 -20.0 -1.7 -20.0 SOYMEAL 17.7 -12.8 -6.8 -2.9 -2.9 -2.1 -2.9 -1.3 -3.0 -8.5 -8.2 -4.4 -8.1 -6.2 -7.8 -2.2 5.8 2.4 3.2 -7.9 -8.2 -7.8 -7.2 -6.0 -19.2 -2.2 -4.8 -2.0 -2.5 -1.5 -1.8 3.9 -6.1 7.1 -7.1 4.2 -20.0 -20.0 -20.0 -20.0 SOYOIL -20.0 1.5 -2.0 -2.5 -2.5 -1.8 -2.5 -1.1 -2.6 -3.0 -6.9 -6.3 -7.8 -7.4 -6.8 5.7 1.3 3.4 1.0 -7.7 -6.5 -8.2 -7.1 -9.8 -18.4 -2.6 -1.1 -2.2 -2.4 -1.9 -3.0 -2.3 -1.4 -12.3 -0.5 -5.9 -7.1 -11.1 2.7 -2.0 SP400 -11.8 -5.1 -11.8 -0.4 -1.7 1.8 -4.0 2.8 -3.1 -5.5 4.3 -6.5 7.8 -4.9 -2.0 -5.3 -5.8 -5.6 -5.8 -1.2 2.2 -9.6 4.6 -6.1 -8.3 1.0 -2.1 2.3 -3.3 3.1 -1.4 0.8 -1.2 17.3 7.6 -0.3 6.3 -8.8 -0.0 -20.0 SP500_micro -20.0 -20.0 -10.8 -0.4 -1.9 1.9 -4.3 2.9 -3.3 -1.5 7.2 -6.3 10.3 -6.3 1.7 -10.0 -12.5 -12.3 -12.7 -2.4 5.5 -8.9 9.9 -9.8 -14.3 -0.3 0.2 2.8 -3.0 4.7 -3.2 -11.0 9.9 -7.0 -2.6 5.2 11.4 3.4 -2.0 1.7 SUGAR11 -11.9 2.5 -5.9 -4.2 -4.2 -3.0 -4.3 -1.8 -4.4 -3.3 -11.7 -7.7 -10.2 -9.3 -9.4 -4.2 7.4 -2.5 1.6 -8.9 -10.6 -5.5 -9.4 -8.7 -20.0 -3.4 -0.2 -4.6 -2.1 -4.2 -3.2 4.7 2.0 -10.4 9.2 -5.2 -2.6 18.9 1.2 20.0 US10 12.9 17.2 18.4 2.6 1.5 1.2 2.9 0.0 3.4 2.1 2.3 4.6 -2.9 7.0 8.0 -7.9 -7.5 -7.5 -7.3 9.9 4.8 9.1 -1.2 11.9 2.2 3.0 1.4 1.8 3.0 0.5 3.6 -7.2 3.8 1.9 1.1 4.3 5.7 -20.0 18.0 3.8 US10U 12.0 14.2 18.1 3.5 2.0 1.6 4.0 0.1 4.6 2.9 1.9 6.2 -3.9 9.2 10.5 -3.1 -2.8 -3.9 -3.7 11.3 5.2 11.1 -2.2 14.1 0.0 3.9 1.9 2.5 4.1 0.6 4.8 0.0 1.6 -1.1 -2.2 3.7 5.9 -17.1 20.0 13.4 US2 16.7 20.0 20.0 2.4 1.4 1.1 2.7 0.0 3.2 2.8 -1.1 4.8 -6.1 7.0 7.0 -20.0 -20.0 -20.0 -20.0 10.8 3.6 11.0 -3.8 14.1 12.4 2.6 1.3 1.1 3.1 -0.2 3.6 -20.0 15.3 10.3 8.9 3.1 3.1 -20.0 7.2 -10.9 US20 10.7 9.5 16.6 2.4 1.4 1.1 2.7 0.0 3.2 1.4 1.8 3.9 -0.7 5.6 6.8 -1.0 -0.8 -0.9 -0.8 6.7 3.4 6.9 -0.8 8.5 -1.5 2.7 1.3 2.0 2.7 0.8 3.2 4.3 0.2 -2.4 -3.5 3.3 5.1 -10.4 20.0 20.0 US30 9.2 7.3 15.7 2.7 1.6 1.3 3.1 0.0 3.6 1.3 0.5 4.2 -2.1 5.5 6.6 -3.2 -4.9 -4.0 -4.5 5.9 2.5 6.8 -1.9 7.9 -0.9 2.9 1.6 2.1 3.1 0.7 3.5 -2.5 -2.7 -6.0 -6.8 0.9 1.9 -9.7 14.7 20.0 US5 14.1 20.0 19.9 2.7 1.6 1.3 3.1 0.0 3.5 2.5 1.6 4.9 -4.7 7.6 8.3 -12.1 -10.7 -11.5 -10.9 11.4 5.2 10.5 -1.7 13.9 5.7 3.1 1.4 1.7 3.2 0.4 3.8 -12.9 7.2 4.6 4.3 4.9 6.0 -20.0 14.8 -3.1 VIX 20.0 20.0 20.0 1.8 1.0 -0.3 4.0 -1.7 3.9 -4.3 -6.2 -0.6 -10.5 1.6 -2.8 -20.0 -20.0 -20.0 -20.0 3.8 -0.3 3.6 -4.0 6.7 NaN 2.0 1.2 -0.4 4.4 -2.0 4.3 NaN NaN NaN NaN NaN -14.5 -20.0 NaN NaN WHEAT -0.4 -20.0 -8.7 -3.6 -3.6 -2.6 -3.6 -1.6 -3.7 3.7 -9.1 -0.8 -9.7 -9.4 -11.2 -16.5 -14.8 -16.3 -15.8 -14.5 -12.0 -1.9 -10.6 -9.0 1.6 -3.2 -0.3 -2.5 -0.4 -1.9 -2.0 -20.0 13.1 2.3 -15.2 4.1 -16.7 -20.0 -14.5 -20.0 End of report for caleb_strategy_v3