******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241120_204421 produced at 2024-11-20 21:39:17.278205 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 SOFR False True 0.08 0.00 -1.00 0.0 0.00 0.00 0.00 0.00 -12.03 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False True 0.03 0.00 -0.52 0.0 0.00 0.00 0.00 0.00 -16.24 16.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.21 0.0 0.00 0.00 0.00 0.00 -3.00 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.13 -0.17 0.0 999.00 -999.00 -0.13 -0.13 -28.62 999999999.0 -22 -22 caleb_strategy_v3 CAD False False 0.02 -0.02 -0.11 0.0 0.72 -0.72 -0.02 -0.05 -4.36 29.0 -1 -2 caleb_strategy_v3 CHF False False 0.05 -0.29 -0.11 0.0 0.64 -0.64 -0.29 -0.34 -2.21 13.0 -6 -7 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.07 0.0 0.92 -0.92 -0.04 -0.07 -1.96 25.0 -1 -2 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -1.82 24.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.09 -0.06 0.0 0.64 -0.64 -0.09 -0.09 -1.36 14.0 -2 -2 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.06 0.0 0.09 -0.09 -0.05 -0.05 -8.31 12.0 -7 -7 caleb_strategy_v3 CAC True False 0.03 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -2.40 12.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.05 0.0 0.13 -0.13 -0.06 -0.06 -4.12 11.0 -5 -5 caleb_strategy_v3 EUROSTX False False 0.02 -0.07 -0.04 0.0 0.35 -0.35 -0.07 -0.07 -2.18 20.0 -4 -4 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.06 -0.04 0.0 0.00 -0.06 -0.06 -0.05 -12.65 26.0 -19 -16 caleb_strategy_v3 GBP False False 0.03 0.00 -0.04 0.0 0.60 -0.60 0.00 0.00 -1.60 22.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.04 0.0 0.64 -0.64 0.00 0.00 -1.04 17.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.11 -0.04 0.0 0.47 -0.47 -0.11 -0.08 -1.30 17.0 -4 -3 caleb_strategy_v3 NZD False False 0.02 0.00 -0.03 0.0 0.43 -0.43 0.00 0.00 -1.34 21.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.03 0.0 0.10 -0.10 -0.03 -0.03 -2.74 9.0 -3 -3 caleb_strategy_v3 RICE False False 0.01 0.00 -0.03 0.0 0.04 -0.04 0.00 0.00 -3.13 4.0 0 0 caleb_strategy_v3 SMI False True 0.05 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.75 9.0 0 0 caleb_strategy_v3 COPPER False False 0.04 -0.07 -0.03 0.0 999.00 -999.00 -0.07 -0.07 -0.80 999999999.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.12 -0.12 -0.04 -0.04 -1.45 7.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -2.46 9.0 -2 -2 caleb_strategy_v3 BUND False False 0.05 -0.05 -0.03 0.0 0.48 -0.48 -0.05 -0.05 -0.66 10.0 -1 -1 caleb_strategy_v3 US10U False False 0.04 0.00 -0.03 0.0 0.51 -0.51 0.00 0.00 -0.66 13.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.03 0.0 0.08 -0.08 -0.01 -0.01 -2.65 8.0 -1 -1 caleb_strategy_v3 HEATOIL False False 0.03 -0.03 -0.03 0.0 0.10 -0.10 -0.03 -0.03 -0.93 3.0 -1 -1 caleb_strategy_v3 MXP False False 0.01 -0.03 -0.02 0.0 0.51 -0.51 -0.03 -0.03 -1.97 60.0 -4 -4 caleb_strategy_v3 AUD False False 0.02 0.00 -0.02 0.0 0.43 -0.43 0.00 0.00 -0.94 19.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.02 0.0 0.16 -0.16 -0.02 -0.02 -6.05 51.0 -5 -5 caleb_strategy_v3 US30 False True 0.04 -0.13 -0.01 0.0 0.00 -0.13 -0.13 -0.13 -0.15 6.0 -3 -3 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.01 0.0 0.09 -0.09 -0.02 -0.02 -0.44 4.0 -1 -1 caleb_strategy_v3 US20 False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.21 9.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.01 0.0 0.07 -0.07 0.00 0.00 -0.62 5.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.01 -0.01 0.0 0.52 -0.52 0.01 0.00 -1.52 56.0 1 0 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.01 0.0 0.17 -0.17 0.00 0.00 -0.58 10.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 -0.05 -0.01 0.0 0.12 -0.12 -0.05 -0.05 -0.62 5.0 -2 -2 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -1.11 2.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.00 0.0 999.00 -999.00 0.00 0.00 -0.01 999999999.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.01 -0.00 0.0 0.09 -0.09 0.01 0.01 -0.08 10.0 1 1 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.00 0.0 0.07 -0.07 0.00 0.00 -0.07 2.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.01 0.00 0.0 0.49 -0.49 0.01 0.01 0.39 48.0 1 1 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 -0.00 0.0 0.14 -0.14 0.01 0.01 -0.01 18.0 1 1 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.20 -0.20 0.00 0.00 -0.05 4.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.03 -0.00 0.0 0.33 -0.33 0.03 0.01 -0.22 23.0 2 1 caleb_strategy_v3 BOBL False False 0.04 0.00 0.00 0.0 0.82 -0.82 0.00 0.00 0.08 19.0 0 0 caleb_strategy_v3 SILVER-mini False True 0.03 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.09 999999999.0 0 0 caleb_strategy_v3 COFFEE False False 0.04 0.00 0.01 0.0 0.23 -0.23 0.00 0.00 0.19 6.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.22 0.01 0.0 0.22 -0.22 0.22 0.22 0.09 2.0 2 2 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.01 0.0 0.27 -0.27 0.00 0.00 2.42 68.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.01 0.0 0.38 -0.38 0.00 0.00 0.38 23.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.01 0.0 0.49 -0.49 0.00 0.00 1.00 66.0 0 0 caleb_strategy_v3 COCOA False False 0.03 0.06 0.02 0.0 0.77 -0.77 0.06 0.06 0.83 26.0 2 2 caleb_strategy_v3 LUMBER-new False True 0.01 0.00 0.02 0.0 0.00 0.00 0.00 0.00 3.09 3.0 0 0 caleb_strategy_v3 OJ False False 0.03 0.03 0.03 0.0 0.08 -0.08 0.03 0.03 1.09 3.0 1 1 caleb_strategy_v3 OAT False False 0.05 0.00 0.03 0.0 0.46 -0.46 0.00 0.00 0.75 10.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.00 0.03 0.0 0.44 -0.44 0.00 0.00 0.68 10.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.03 0.0 0.41 -0.41 0.00 0.00 4.15 58.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.00 0.03 0.0 0.44 -0.44 0.00 0.00 1.10 17.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.05 0.0 0.00 0.00 0.00 0.00 16.18 59.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.04 0.06 0.0 0.35 -0.35 0.04 0.04 1.31 8.0 1 1 caleb_strategy_v3 DX False True 0.04 0.00 0.07 0.0 0.00 0.00 0.00 0.00 1.91 999999999.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.03 0.07 0.0 0.30 -0.30 0.03 0.04 8.16 36.0 4 5 caleb_strategy_v3 LEANHOG False False 0.01 0.08 0.08 0.0 0.15 -0.15 0.08 0.08 6.49 13.0 7 7 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.85 0.0 0.90 -0.90 0.00 0.00 9.51 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 12.0 Shocked risk 28.6 Sum abs risk 38.4 Leverage 4.58 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2894845.36, 'annual_cash_vol_target': 723711.34, 'daily_cash_vol_target': 45231.95875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6500 0.6940 11.1047 BITCOIN 2176.7322 95265.0000 2.2849 36.5588 BOBL 0.2376 118.4900 0.2005 3.2087 BTP 0.5119 120.2000 0.4258 6.8134 BUND 0.4498 132.0400 0.3406 5.4503 BUXL 1.1551 133.4000 0.8659 13.8549 CAC 65.4442 7219.5000 0.9065 14.5039 CAD 0.0029 0.7157 0.4053 6.4854 CANOLA 10.1197 630.1000 1.6061 25.6969 CHF 0.0054 1.1338 0.4791 7.6657 COCOA 175.2071 8566.0000 2.0454 32.7261 COFFEE 4.8315 294.0500 1.6431 26.2894 COPPER 0.0663 4.1780 1.5860 25.3755 CORN 3.7908 441.0000 0.8596 13.7535 COTTON2 0.9410 70.4200 1.3362 21.3798 CRUDE_W 1.0972 67.0900 1.6354 26.1661 DAX 156.0283 19099.0000 0.8169 13.0711 DOW 316.5023 43347.0000 0.7302 11.6826 DX 0.4516 106.6050 0.4236 6.7782 EUR 0.0056 1.0549 0.5297 8.4745 EURIBOR-ICE 0.0452 97.8950 0.0462 0.7387 EUROSTX 46.1880 4748.0000 0.9728 15.5646 FEEDCOW 1.6941 251.4500 0.6737 10.7796 GASOIL 11.4680 673.7500 1.7021 27.2338 GASOLINE 0.0380 1.9926 1.9089 30.5432 GAS_US_mini 0.1053 3.4000 3.0968 49.5486 GBP 0.0068 1.2647 0.5360 8.5759 GOLD_micro 24.6361 2678.5000 0.9198 14.7164 HEATOIL 0.0400 2.2430 1.7831 28.5296 JGB-SGX-mini 0.2285 143.0100 0.1598 2.5561 JPY 0.0000 0.0065 0.7578 12.1247 LEANHOG 1.0283 84.4500 1.2177 19.4832 LIVECOW 1.0260 187.8750 0.5461 8.7374 LUMBER-new 7.8674 611.0000 1.2876 20.6019 MILK 0.2525 19.0300 1.3267 21.2265 MXP 0.0004 0.0490 0.8564 13.7025 NASDAQ_micro 184.5430 20608.7500 0.8955 14.3274 NIKKEI 437.4420 38105.0000 1.1480 18.3679 NZD 0.0040 0.5873 0.6854 10.9666 OAT 0.4600 124.6600 0.3690 5.9047 OATIES 6.9952 363.2500 1.9257 30.8116 OJ 7.2727 492.4500 1.4768 23.6295 PALLAD 29.3719 1030.5000 2.8503 45.6041 PLAT 15.6556 965.1000 1.6222 25.9548 REDWHEAT 8.8298 572.5000 1.5423 24.6770 RICE 0.1526 15.2150 1.0027 16.0431 ROBUSTA 76.5319 4743.0000 1.6136 25.8172 RUSSELL 28.1899 2322.1000 1.2140 19.4237 SHATZ 0.0816 106.7450 0.0765 1.2235 SILVER-mini 0.5431 31.2375 1.7386 27.8175 SMI 94.9449 11564.0000 0.8210 13.1366 SOFR 0.0577 96.2000 0.0600 0.9605 SOYBEAN 9.4194 1015.2500 0.9278 14.8446 SOYMEAL 3.4223 295.3000 1.1589 18.5426 SOYOIL 0.8575 43.6300 1.9655 31.4479 SP400 28.8291 3232.4000 0.8919 14.2701 SP500_micro 40.0739 5907.2500 0.6784 10.8542 SUGAR11 0.3000 20.2100 1.4844 23.7498 US10 0.3873 109.7812 0.3528 5.6446 US10U 0.5402 112.7656 0.4791 7.6651 US2 0.0943 102.6211 0.0919 1.4707 US20 0.8225 116.5625 0.7056 11.2895 US30 1.2891 122.5625 1.0518 16.8290 US5 0.2363 106.6406 0.2216 3.5449 VIX 0.5501 17.7000 3.1078 49.7249 WHEAT 7.9354 617.0000 1.2861 20.5781 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 650.00 0.69 451.13 1.00 451.13 45231.96 100.26 -3.60 -36.06 BITCOIN 95.26 2.28 217.67 1.00 217.67 45231.96 207.80 7.19 149.45 BOBL 1184.90 0.20 237.62 1.06 251.76 45231.96 179.66 0.45 8.06 BTP 1202.00 0.43 511.86 1.06 542.31 45231.96 83.41 2.39 19.96 BUND 1320.40 0.34 449.79 1.06 476.55 45231.96 94.92 -6.90 -65.47 BUXL 1334.00 0.87 1155.15 1.06 1223.88 45231.96 36.96 -1.40 -5.16 CAC 721.95 0.91 654.44 1.06 693.38 45231.96 65.23 -10.80 -70.47 CAD 715.70 0.41 290.10 1.00 290.10 45231.96 155.92 -10.77 -167.98 CANOLA 126.02 1.61 202.39 0.72 145.02 45231.96 311.91 -7.97 -248.53 CHF 1417.31 0.48 679.05 1.00 679.05 45231.96 66.61 -12.80 -85.26 COCOA 856.60 2.05 1752.07 1.00 1752.07 45231.96 25.82 14.98 38.67 COFFEE 1102.69 1.64 1811.81 1.00 1811.81 45231.96 24.97 6.47 16.15 COPPER 1044.50 1.59 1656.54 1.00 1656.54 45231.96 27.31 -2.71 -7.39 CORN 220.50 0.86 189.54 1.00 189.54 45231.96 238.64 -14.31 -341.55 COTTON2 352.10 1.34 470.49 1.00 470.49 45231.96 96.14 -20.00 -192.28 CRUDE_W 670.90 1.64 1097.18 1.00 1097.18 45231.96 41.23 -1.40 -5.76 DAX 190.99 0.82 156.03 1.06 165.31 45231.96 273.62 4.45 121.77 DOW 216.74 0.73 158.25 1.00 158.25 45231.96 285.82 1.50 42.91 DX 1066.05 0.42 451.62 1.00 451.62 45231.96 100.16 7.34 73.47 EUR 1318.62 0.53 698.42 1.00 698.42 45231.96 64.76 -8.08 -52.36 EURIBOR-ICE 2447.38 0.05 113.00 1.06 119.72 45231.96 377.81 7.38 278.83 EUROSTX 474.80 0.97 461.88 1.06 489.36 45231.96 92.43 -6.91 -63.89 FEEDCOW 1257.25 0.67 847.04 1.00 847.04 45231.96 53.40 7.41 39.58 GASOIL 673.75 1.70 1146.80 1.00 1146.80 45231.96 39.44 -2.55 -10.07 GASOLINE 836.89 1.91 1597.58 1.00 1597.58 45231.96 28.31 -0.07 -0.20 GAS_US_mini 85.00 3.10 263.23 1.00 263.23 45231.96 171.84 -6.80 -116.80 GBP 790.44 0.54 423.67 1.00 423.67 45231.96 106.76 -5.79 -61.81 GOLD_micro 267.85 0.92 246.36 1.00 246.36 45231.96 183.60 -2.42 -44.52 HEATOIL 942.06 1.78 1679.79 1.00 1679.79 45231.96 26.93 -7.95 -21.41 JGB-SGX-mini 143010.00 0.16 22846.79 0.01 147.73 45231.96 306.17 -4.90 -150.00 JPY 807.19 0.76 611.68 1.00 611.68 45231.96 73.95 -6.79 -50.24 LEANHOG 337.80 1.22 411.34 1.00 411.34 45231.96 109.96 9.72 106.85 LIVECOW 751.50 0.55 410.38 1.00 410.38 45231.96 110.22 3.01 33.17 LUMBER-new 168.02 1.29 216.35 1.00 216.35 45231.96 209.07 6.90 144.24 MILK 380.60 1.33 504.92 1.00 504.92 45231.96 89.58 -3.25 -29.10 MXP 245.00 0.86 209.82 1.00 209.82 45231.96 215.58 -0.62 -13.43 NASDAQ_micro 412.18 0.90 369.09 1.00 369.09 45231.96 122.55 -0.79 -9.63 NIKKEI 38105.00 1.15 43744.20 0.01 282.84 45231.96 159.92 4.71 75.39 NZD 587.25 0.69 402.51 1.00 402.51 45231.96 112.38 -4.59 -51.56 OAT 1246.60 0.37 460.05 1.06 487.42 45231.96 92.80 2.38 22.07 OATIES 181.62 1.93 349.76 1.00 349.76 45231.96 129.32 -3.52 -45.57 OJ 738.68 1.48 1090.91 1.00 1090.91 45231.96 41.46 12.33 51.11 PALLAD 1030.50 2.85 2937.19 1.00 2937.19 45231.96 15.40 -1.25 -1.92 PLAT 482.55 1.62 782.78 1.00 782.78 45231.96 57.78 -2.96 -17.13 REDWHEAT 286.25 1.54 441.49 1.00 441.49 45231.96 102.45 -19.47 -199.52 RICE 304.30 1.00 305.12 1.00 305.12 45231.96 148.24 -8.68 -128.73 ROBUSTA 474.30 1.61 765.32 1.00 765.32 45231.96 59.10 5.51 32.55 RUSSELL 116.10 1.21 140.95 1.00 140.95 45231.96 320.91 2.28 73.04 SHATZ 1067.45 0.08 81.62 1.06 86.48 45231.96 523.03 -3.43 -179.34 SILVER-mini 780.94 1.74 1357.73 1.00 1357.73 45231.96 33.31 -0.81 -2.72 SMI 1156.40 0.82 949.45 1.13 1076.30 45231.96 42.03 -5.20 -21.85 SOFR 2405.00 0.06 144.37 1.00 144.37 45231.96 313.30 -6.32 -197.90 SOYBEAN 507.62 0.93 470.97 1.00 470.97 45231.96 96.04 -16.27 -156.30 SOYMEAL 295.30 1.16 342.23 1.00 342.23 45231.96 132.17 -20.00 -264.34 SOYOIL 261.78 1.97 514.53 1.00 514.53 45231.96 87.91 -1.04 -9.11 SP400 3232.40 0.89 2882.91 1.00 2882.91 45231.96 15.69 1.81 2.84 SP500_micro 295.36 0.68 200.37 1.00 200.37 45231.96 225.74 0.74 16.72 SUGAR11 226.35 1.48 335.99 1.00 335.99 45231.96 134.62 -0.03 -0.42 US10 1097.81 0.35 387.30 1.00 387.30 45231.96 116.79 -7.03 -82.08 US10U 1127.66 0.48 540.22 1.00 540.22 45231.96 83.73 -6.18 -51.74 US2 2052.42 0.09 188.65 1.00 188.65 45231.96 239.76 -9.87 -236.67 US20 1165.62 0.71 822.46 1.00 822.46 45231.96 55.00 -3.08 -16.94 US30 1225.62 1.05 1289.13 1.00 1289.13 45231.96 35.09 -3.37 -11.83 US5 1066.41 0.22 236.27 1.00 236.27 45231.96 191.44 -8.06 -154.37 VIX 177.00 3.11 550.08 1.00 550.08 45231.96 82.23 -14.10 -115.94 WHEAT 308.50 1.29 396.77 1.00 396.77 45231.96 114.00 -18.10 -206.29 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -36.056 0.010 2.5 -0.936 BITCOIN 149.451 0.043 2.5 16.183 BOBL 8.061 0.004 2.5 0.082 BTP 19.957 0.014 2.5 0.681 BUND -65.465 0.004 2.5 -0.664 BUXL -5.164 0.004 2.5 -0.052 CAC -70.472 0.014 2.5 -2.404 CAD -167.977 0.010 2.5 -4.358 CANOLA -248.529 0.010 2.5 -6.046 CHF -85.259 0.010 2.5 -2.212 COCOA 38.668 0.009 2.5 0.828 COFFEE 16.145 0.005 2.5 0.189 COPPER -7.393 0.043 2.5 -0.801 CORN -341.554 0.010 2.5 -8.309 COTTON2 -192.276 0.009 2.5 -4.118 CRUDE_W -5.756 0.043 2.5 -0.623 DAX 121.766 0.014 2.5 4.153 DOW 42.906 0.009 2.5 0.997 DX 73.473 0.010 2.5 1.906 EUR -52.358 0.010 2.5 -1.358 EURIBOR-ICE 278.828 0.014 2.5 9.510 EUROSTX -63.892 0.014 2.5 -2.179 FEEDCOW 39.578 0.013 2.5 1.311 GASOIL -10.069 0.017 2.5 -0.436 GASOLINE -0.204 0.017 2.5 -0.009 GAS_US_mini -116.798 0.043 2.5 -12.648 GBP -61.808 0.010 2.5 -1.604 GOLD_micro -44.521 0.014 2.5 -1.519 HEATOIL -21.410 0.017 2.5 -0.928 JGB-SGX-mini -149.997 0.043 2.5 -16.243 JPY -50.236 0.010 2.5 -1.303 LEANHOG 106.848 0.024 2.5 6.494 LIVECOW 33.168 0.013 2.5 1.099 LUMBER-new 144.243 0.009 2.5 3.089 MILK -29.098 0.009 2.5 -0.623 MXP -13.433 0.059 2.5 -1.972 NASDAQ_micro -9.628 0.009 2.5 -0.224 NIKKEI 75.391 0.043 2.5 8.164 NZD -51.562 0.010 2.5 -1.338 OAT 22.069 0.014 2.5 0.753 OATIES -45.567 0.010 2.5 -1.109 OJ 51.105 0.009 2.5 1.095 PALLAD -1.920 0.014 2.5 -0.065 PLAT -17.128 0.014 2.5 -0.584 REDWHEAT -199.516 0.005 2.5 -2.647 RICE -128.727 0.010 2.5 -3.132 ROBUSTA 32.548 0.005 2.5 0.380 RUSSELL 73.035 0.013 2.5 2.420 SHATZ -179.341 0.004 2.5 -1.819 SILVER-mini -2.715 0.014 2.5 -0.093 SMI -21.854 0.014 2.5 -0.745 SOFR -197.899 0.024 2.5 -12.027 SOYBEAN -156.304 0.004 2.5 -1.454 SOYMEAL -264.339 0.004 2.5 -2.458 SOYOIL -9.110 0.004 2.5 -0.085 SP400 2.838 0.013 2.5 0.094 SP500_micro 16.724 0.009 2.5 0.389 SUGAR11 -0.417 0.009 2.5 -0.009 US10 -82.080 0.005 2.5 -1.040 US10U -51.739 0.005 2.5 -0.656 US2 -236.666 0.005 2.5 -2.999 US20 -16.941 0.005 2.5 -0.215 US30 -11.834 0.005 2.5 -0.150 US5 -154.366 0.005 2.5 -1.956 VIX -115.941 0.099 2.5 -28.619 WHEAT -206.287 0.005 2.5 -2.736 ===================== Position diags ===================== AUD 2.60 BITCOIN 22.50 BOBL 1.82 BTP 2.84 BUND 0.96 BUXL 0.37 CAC 2.23 CAD 4.05 CANOLA 7.59 CHF 1.73 COCOA 0.55 COFFEE 0.29 COPPER 2.96 CORN 5.81 COTTON2 2.06 CRUDE_W 4.46 DAX 9.33 DOW 6.64 DX 2.60 EUR 1.68 EURIBOR-ICE 12.89 EUROSTX 3.15 FEEDCOW 1.77 GASOIL 1.71 GASOLINE 1.23 GAS_US_mini 18.61 GBP 2.77 GOLD_micro 6.26 HEATOIL 1.17 JGB-SGX-mini 33.15 JPY 1.92 LEANHOG 6.68 LIVECOW 3.65 LUMBER-new 4.48 MILK 1.92 MXP 31.64 NASDAQ_micro 2.85 NIKKEI 17.32 NZD 2.92 OAT 3.17 OATIES 3.15 OJ 0.89 PALLAD 0.53 PLAT 1.97 REDWHEAT 1.36 RICE 3.61 ROBUSTA 0.69 RUSSELL 10.63 SHATZ 5.30 SILVER-mini 1.14 SMI 1.43 SOFR 19.04 SOYBEAN 0.89 SOYMEAL 1.23 SOYOIL 0.82 SP400 0.52 SP500_micro 5.25 SUGAR11 2.86 US10 1.48 US10U 1.06 US2 3.04 US20 0.70 US30 0.44 US5 2.43 VIX 20.30 WHEAT 1.51 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.9 -1.2 -0.7 0.0 0 BITCOIN 16.2 13.9 18.4 0.0 0 BOBL 0.1 -0.1 0.3 0.0 0 BTP 0.7 0.4 1.0 0.0 0 BUND -0.7 -0.8 -0.6 -1.0 -1 BUXL -0.1 -0.1 -0.0 0.0 0 CAC -2.4 -2.6 -2.2 0.0 0 CAD -4.4 -4.8 -4.0 -1.0 -1 CANOLA -6.0 -6.8 -5.3 -5.0 -5 CHF -2.2 -2.4 -2.0 -6.0 -6 COCOA 0.8 0.8 0.9 2.0 2 COFFEE 0.2 0.2 0.2 0.0 0 COPPER -0.8 -1.1 -0.5 -2.0 -2 CORN -8.3 -8.9 -7.7 -7.0 -7 COTTON2 -4.1 -4.3 -3.9 -5.0 -5 CRUDE_W -0.6 -1.1 -0.2 -2.0 -2 DAX 4.2 3.2 5.1 0.0 0 DOW 1.0 0.3 1.7 0.0 0 DX 1.9 1.6 2.2 0.0 0 EUR -1.4 -1.5 -1.2 -2.0 -2 EURIBOR-ICE 9.5 8.2 10.8 0.0 0 EUROSTX -2.2 -2.5 -1.9 -4.0 -4 FEEDCOW 1.3 1.1 1.5 1.0 1 GASOIL -0.4 -0.6 -0.3 -1.0 -1 GASOLINE -0.0 -0.1 0.1 0.0 0 GAS_US_mini -12.6 -14.5 -10.8 -19.0 -19 GBP -1.6 -1.9 -1.3 0.0 0 GOLD_micro -1.5 -2.1 -0.9 1.0 1 HEATOIL -0.9 -1.0 -0.8 -1.0 -1 JGB-SGX-mini -16.2 -19.6 -12.9 0.0 0 JPY -1.3 -1.5 -1.1 -4.0 -4 LEANHOG 6.5 5.8 7.2 7.0 7 LIVECOW 1.1 0.7 1.5 0.0 0 LUMBER-new 3.1 2.6 3.5 0.0 0 MILK -0.6 -0.8 -0.4 0.0 0 MXP -2.0 -5.1 1.2 -4.0 -4 NASDAQ_micro -0.2 -0.5 0.1 2.0 2 NIKKEI 8.2 6.4 9.9 4.0 4 NZD -1.3 -1.6 -1.0 0.0 0 OAT 0.8 0.4 1.1 0.0 0 OATIES -1.1 -1.4 -0.8 NaN 0 OJ 1.1 1.0 1.2 1.0 1 PALLAD -0.1 -0.1 -0.0 0.0 0 PLAT -0.6 -0.8 -0.4 0.0 0 REDWHEAT -2.6 -2.8 -2.5 -1.0 -1 RICE -3.1 -3.5 -2.8 NaN 0 ROBUSTA 0.4 0.3 0.4 0.0 0 RUSSELL 2.4 1.4 3.5 0.0 0 SHATZ -1.8 -2.3 -1.3 NaN 0 SILVER-mini -0.1 -0.2 0.0 0.0 0 SMI -0.7 -0.9 -0.6 0.0 0 SOFR -12.0 -13.9 -10.1 NaN 0 SOYBEAN -1.5 -1.5 -1.4 -2.0 -2 SOYMEAL -2.5 -2.6 -2.3 -2.0 -2 SOYOIL -0.1 -0.2 -0.0 1.0 1 SP400 0.1 0.0 0.1 2.0 2 SP500_micro 0.4 -0.1 0.9 1.0 1 SUGAR11 -0.0 -0.3 0.3 1.0 1 US10 -1.0 -1.2 -0.9 0.0 0 US10U -0.7 -0.8 -0.5 0.0 0 US2 -3.0 -3.3 -2.7 NaN 0 US20 -0.2 -0.3 -0.1 0.0 0 US30 -0.1 -0.2 -0.1 -3.0 -3 US5 -2.0 -2.2 -1.7 -1.0 -1 VIX -28.6 -30.6 -26.6 -22.0 -22 WHEAT -2.7 -2.9 -2.6 -3.0 -3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 6.2 2.8 3.7 3.7 3.7 3.8 3.8 3.8 3.8 MILK 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 MXP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NASDAQ_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NIKKEI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 NZD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OATIES 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 OJ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PALLAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 PLAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 REDWHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 ROBUSTA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 RUSSELL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SHATZ 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SILVER-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SMI 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOFR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYBEAN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYMEAL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SOYOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP400 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SP500_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 SUGAR11 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US10U 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US20 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US30 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 US5 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 VIX 5.2 5.2 5.2 1.7 1.4 4.3 1.7 5.8 1.7 1.4 4.3 1.7 5.8 1.7 1.7 3.2 3.2 3.2 3.2 1.7 1.7 1.4 4.3 1.7 0.0 1.7 1.4 4.3 1.7 5.8 1.7 0.0 0.0 0.0 0.0 0.0 5.3 5.3 0.0 0.0 WHEAT 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -0.3 -0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 0.1 0.1 0.0 0.0 -0.2 0.0 -0.1 BITCOIN 0.6 0.6 0.1 0.0 0.0 0.0 -0.0 0.0 -0.0 0.2 0.3 0.2 0.5 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.5 0.6 0.6 0.4 0.1 -0.1 -0.0 0.1 BOBL -0.3 -0.5 0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 -0.1 -0.1 -0.1 0.4 -0.1 0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 0.2 0.2 0.3 0.1 -0.4 -0.5 0.1 -0.0 BTP -0.4 -0.3 0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.1 0.3 -0.0 0.6 -0.1 0.0 0.2 0.1 0.1 0.1 0.0 0.1 0.0 0.3 -0.0 -2.7 0.0 0.0 0.1 0.0 0.3 -0.0 0.6 0.5 0.4 0.6 0.4 -0.4 -0.4 0.3 0.3 BUND -0.3 -0.5 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.0 -0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.1 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.8 0.2 0.2 0.4 0.1 -0.7 -0.6 0.0 -0.0 BUXL 0.1 -0.3 0.0 -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 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.3 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 0.3 0.6 0.6 0.1 -0.7 -0.7 -0.2 -0.3 CAC -0.5 -0.2 -0.2 0.0 -0.1 0.1 -0.0 0.3 0.0 -0.1 -0.3 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.8 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.2 -0.4 -0.6 -0.6 -0.5 0.1 0.2 -0.2 -0.1 CAD -0.1 -0.6 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.4 -0.1 -0.6 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.1 -0.3 -0.2 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.3 0.3 0.1 -0.3 -0.2 -0.1 -0.3 -0.2 -0.2 CANOLA -0.2 0.5 0.4 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.2 0.0 0.0 -0.3 -0.2 -0.3 -0.3 0.0 0.0 -0.0 -0.1 0.0 -1.8 0.0 -0.0 0.0 -0.0 -0.0 0.0 -1.1 -0.1 0.1 0.4 0.3 -0.2 -0.4 -0.0 -0.2 CHF -0.5 -0.6 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 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.1 -0.0 -0.2 0.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -1.1 -0.1 -0.2 -0.3 0.1 -0.4 -0.4 -0.7 -0.4 COCOA 0.6 0.5 0.2 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 0.1 0.1 0.2 0.1 0.1 0.3 0.4 0.4 0.4 0.1 0.1 0.2 0.3 0.2 -2.7 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.5 0.6 0.6 0.6 0.7 0.7 0.7 0.7 COFFEE 0.5 -0.0 0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.2 0.4 0.2 0.6 0.1 0.1 0.0 0.1 0.0 0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.1 0.1 0.2 0.1 0.2 0.5 0.6 0.5 0.6 -0.4 -0.3 -0.1 0.0 COPPER -0.5 -0.3 -0.1 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -1.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.2 -0.1 -0.1 -0.1 -0.1 0.5 0.4 0.4 0.7 CORN 0.1 0.1 -0.1 -0.0 0.0 -0.1 -0.0 -0.3 -0.0 -0.1 -0.5 -0.1 -0.7 -0.1 -0.0 -0.2 -0.3 -0.2 -0.3 -0.1 -0.2 -0.0 -0.5 -0.1 -1.6 -0.1 -0.0 -0.3 -0.0 -0.6 -0.0 -1.1 -0.2 0.1 -0.3 -0.3 0.3 -0.1 0.5 0.1 COTTON2 -0.4 -0.1 0.3 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.5 -0.2 -0.6 -0.2 -0.1 -0.3 -0.1 -0.3 -0.2 -0.1 -0.1 -0.1 -0.4 -0.2 -2.7 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -1.0 -0.5 -0.6 -0.6 -0.0 -0.6 -0.5 -0.4 -0.4 CRUDE_W 0.0 0.0 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.2 -0.1 -0.1 0.1 0.2 0.1 0.2 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.5 -0.1 -0.1 -0.3 0.1 -0.1 0.2 -0.0 0.4 DAX -0.6 -0.0 0.1 0.0 -0.1 0.1 -0.0 0.2 0.0 -0.1 0.3 -0.1 0.5 -0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.1 0.3 -0.0 1.0 0.0 -0.0 0.1 -0.0 0.3 -0.0 -0.3 0.1 -0.5 0.0 0.1 0.7 0.3 0.4 0.1 DOW -0.0 -0.0 0.3 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.3 0.0 0.4 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.0 0.3 0.1 -1.4 0.0 -0.0 0.1 0.0 0.2 0.0 -0.4 0.2 0.3 0.4 0.6 0.1 0.1 -0.4 -0.3 DX 0.4 0.6 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.2 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.2 0.1 0.2 -2.7 0.0 0.0 0.1 0.0 0.0 0.1 0.7 0.5 0.6 0.6 0.3 -0.0 0.2 -0.0 0.3 EUR -0.3 -0.6 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.2 2.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.5 -0.3 -0.1 -0.4 -0.1 -0.0 -0.5 -0.1 -0.6 EURIBOR-ICE -0.2 -0.3 0.3 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.2 0.1 0.2 -0.0 0.0 0.1 -0.0 0.1 0.0 0.0 0.1 0.0 0.2 0.0 1.4 0.0 -0.0 0.1 0.0 0.1 0.0 0.2 0.2 0.3 0.5 0.4 -0.2 -0.5 0.3 0.2 EUROSTX -0.5 -0.2 -0.2 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 -0.0 -0.1 0.3 -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 -0.1 0.1 -0.1 0.3 -0.1 -0.6 -0.5 -0.3 0.2 0.1 -0.5 -0.3 FEEDCOW 0.1 0.6 0.0 -0.0 0.0 -0.1 -0.0 -0.3 -0.0 0.2 -0.1 0.2 -0.4 0.2 0.1 0.2 -0.1 0.3 0.2 0.1 -0.0 0.2 -0.3 0.2 -1.6 0.0 0.2 -0.0 0.1 -0.1 0.1 0.0 0.5 0.6 0.6 -0.4 0.5 0.7 0.7 0.7 GASOIL 0.2 0.2 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.3 0.0 -0.2 -0.0 -0.1 0.0 0.1 0.0 0.0 -0.0 -0.1 0.0 -0.2 0.0 0.5 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.0 -0.1 0.2 -0.1 -0.3 0.0 -0.3 0.1 -0.4 GASOLINE 0.0 0.1 -0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.2 0.0 -0.1 -0.1 -0.0 -0.0 0.4 0.2 0.4 -0.0 -0.0 0.0 -0.1 -0.0 -2.7 -0.0 0.0 -0.0 0.0 -0.0 -0.0 1.1 -0.0 -0.0 -0.0 0.2 0.1 0.3 0.2 0.6 GAS_US_mini 0.1 -0.1 0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.2 -0.4 0.1 -0.7 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.1 -0.5 0.0 2.7 -0.0 0.1 -0.1 0.1 -0.2 0.0 -1.1 0.5 0.2 -0.6 0.0 -0.5 -0.7 -0.3 -0.6 GBP -0.5 -0.6 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 0.1 -0.2 0.3 -0.2 -0.1 0.0 -0.0 0.0 0.0 -0.1 -0.0 -0.2 0.1 -0.2 -0.2 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.2 -0.1 -0.1 0.1 0.2 -0.6 0.6 -0.6 GOLD_micro -0.6 -0.6 0.1 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.2 -0.1 0.4 -0.1 0.0 -0.2 -0.3 -0.3 -0.3 0.0 0.1 -0.1 0.4 -0.1 -1.3 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.7 -0.1 -0.3 0.1 0.5 0.7 0.1 0.6 0.2 HEATOIL 0.1 0.2 -0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 -0.0 -0.3 -0.1 -0.1 -0.0 0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -2.5 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.4 -0.1 0.1 0.0 -0.0 -0.0 0.1 0.1 0.2 JGB-SGX-mini -0.4 -0.5 0.1 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.0 0.4 0.3 0.3 0.3 -0.1 -0.0 -0.1 0.0 -0.1 -1.4 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 1.1 -0.5 0.1 0.2 0.2 -0.7 -0.4 -0.7 -0.2 JPY -0.2 -0.6 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -0.3 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 0.1 0.0 -0.2 0.1 -0.5 -0.7 -0.4 -0.7 LEANHOG -0.2 0.6 0.6 -0.0 0.0 -0.1 -0.0 -0.3 -0.0 -0.1 0.2 -0.1 0.1 0.2 0.2 -0.4 0.2 0.1 0.4 0.2 0.2 -0.0 0.1 0.1 0.1 0.1 -0.0 0.2 -0.0 0.1 0.0 1.1 -0.3 0.5 0.6 0.6 0.1 -0.2 0.3 0.0 LIVECOW -0.6 0.2 0.3 -0.0 0.0 -0.1 -0.0 -0.3 -0.0 0.2 0.5 -0.1 0.6 -0.0 0.2 -0.3 0.1 -0.1 0.0 0.1 0.2 0.1 0.5 0.0 -2.7 0.0 0.1 0.1 0.0 0.3 0.0 0.2 0.3 -0.2 0.6 0.1 -0.2 0.7 0.0 0.7 LUMBER-new 0.7 0.7 0.5 -0.0 0.0 -0.1 -0.0 -0.3 -0.0 0.1 0.0 0.2 -0.3 0.2 0.2 -0.5 -0.4 -0.5 -0.4 0.2 0.1 0.2 -0.1 0.2 NaN 0.1 0.0 0.1 0.1 -0.0 0.1 -1.2 0.6 0.7 0.7 0.7 0.4 0.1 0.7 0.4 MILK -0.6 -0.6 0.2 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 0.2 -0.1 0.3 -0.1 -0.1 0.0 -0.1 0.2 0.2 -0.1 0.0 -0.1 0.2 -0.2 2.0 -0.0 -0.0 0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.6 -0.6 0.2 -0.2 -0.7 -0.0 -0.7 MXP 0.0 -0.0 -0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.3 -0.0 -0.4 -0.1 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.1 -0.0 -0.3 -0.1 -2.7 -0.0 0.0 -0.2 -0.0 -0.1 -0.0 1.1 0.3 0.3 0.3 -0.5 0.6 0.7 0.7 0.7 NASDAQ_micro -0.1 0.2 0.2 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.3 0.0 0.4 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 -0.0 0.4 0.1 -2.7 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.3 0.1 0.3 0.3 0.3 0.3 0.1 -0.2 -0.2 NIKKEI -0.1 0.2 0.2 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.1 -0.0 0.2 -0.0 0.1 0.0 0.1 0.0 0.1 0.0 0.0 -0.1 0.2 -0.0 -1.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 1.1 -0.2 -0.0 0.1 -0.5 0.7 0.3 0.7 0.4 NZD -0.3 -0.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.0 -0.0 0.1 -0.1 -0.2 -0.0 -0.1 OAT -0.3 -0.4 0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.1 -0.1 -0.0 -0.0 -0.1 -0.1 0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.6 0.2 0.3 0.5 0.0 -0.2 -0.5 0.4 0.2 OATIES -0.6 -0.1 0.6 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.0 -0.1 -0.3 -0.1 0.1 -0.2 0.0 -0.0 0.0 0.0 0.0 -0.1 -0.0 -0.1 -2.7 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.5 -0.3 0.1 0.6 0.7 0.2 0.7 0.5 OJ -0.2 -0.1 0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.1 0.5 0.1 0.7 0.1 0.2 0.4 0.3 0.3 0.3 0.1 0.2 0.1 0.5 0.1 -2.7 0.0 0.1 0.2 0.1 0.6 0.0 1.0 0.5 0.3 0.1 0.6 0.5 0.4 0.7 0.7 PALLAD -0.6 -0.0 0.6 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 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 1.7 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.3 0.0 0.1 -0.0 0.1 -0.4 -0.7 -0.7 -0.7 PLAT -0.6 -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 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.7 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.1 -0.1 -0.2 0.2 -0.3 -0.0 -0.1 REDWHEAT -0.4 -0.1 0.2 -0.0 0.0 -0.1 -0.0 -0.3 -0.0 0.0 -0.4 -0.1 -0.7 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.5 -0.2 -0.6 -0.1 0.0 -0.1 -0.0 -0.2 -0.1 -0.9 -0.4 -0.6 -0.4 -0.2 -0.7 -0.7 -0.7 -0.7 RICE -0.1 -0.3 -0.3 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.1 0.1 0.1 0.3 -0.0 -0.1 -0.3 0.4 -0.1 0.1 -0.1 -0.1 0.1 0.1 -0.0 -1.9 -0.0 0.0 -0.1 0.0 -0.0 -0.0 1.1 0.5 -0.3 -0.6 -0.3 -0.6 -0.7 -0.6 -0.7 ROBUSTA 0.1 -0.5 -0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.2 0.1 0.4 -0.0 0.0 0.1 0.4 0.3 0.4 0.0 0.1 0.1 0.5 0.1 -2.7 0.0 0.0 0.1 0.0 0.3 0.0 1.1 0.5 0.4 -0.3 0.5 0.2 0.0 0.3 0.2 RUSSELL 0.2 0.2 0.2 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.2 0.0 0.4 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.2 0.1 0.0 0.0 -0.0 0.1 0.0 0.1 0.0 0.0 0.0 0.6 0.4 0.4 -0.2 -0.5 -0.7 -0.7 SHATZ -0.3 -0.3 0.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.1 0.0 -0.0 -0.0 0.0 -0.4 -0.4 -0.4 -0.4 0.0 0.0 -0.0 0.0 -0.0 0.8 0.0 -0.0 0.1 -0.0 0.0 -0.0 -1.1 0.2 0.2 0.4 0.3 -0.3 -0.5 0.0 -0.2 SILVER-mini -0.6 -0.1 0.1 0.0 0.0 0.0 -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 0.0 0.1 -0.1 0.2 -0.1 0.1 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.0 -0.2 0.1 0.1 0.2 -0.1 -0.1 0.3 SMI -0.6 -0.4 -0.3 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.1 -0.1 0.3 -0.1 -0.1 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.2 1.0 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.6 -0.3 -0.6 -0.5 -0.1 -0.2 0.0 -0.7 -0.3 SOFR -0.4 -0.6 -0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.0 0.0 0.0 0.0 -0.2 -0.1 -0.1 -0.0 -0.2 -0.8 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.2 -0.0 -0.2 -0.5 -0.4 0.0 -0.3 0.6 0.5 SOYBEAN 0.1 -0.1 -0.3 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.4 -0.1 -0.5 -0.1 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.5 -0.1 -2.7 -0.1 -0.0 -0.2 -0.1 -0.3 -0.0 -0.3 -0.3 -0.1 -0.6 -0.6 0.1 -0.3 0.3 -0.1 SOYMEAL -0.5 -0.6 -0.3 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.4 -0.2 -0.6 -0.2 -0.2 -0.2 0.0 -0.1 -0.1 -0.2 -0.2 -0.1 -0.5 -0.2 -2.7 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.2 -0.4 -0.6 -0.6 -0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.3 0.5 0.6 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.2 0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.1 0.0 -2.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.2 0.3 0.3 0.2 0.1 -0.2 0.4 -0.0 SP400 0.1 0.2 0.2 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.3 0.0 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.3 0.1 -1.4 0.0 -0.0 0.1 0.0 0.2 0.0 -0.0 0.1 0.6 0.5 0.5 0.0 -0.2 -0.6 -0.7 SP500_micro -0.2 0.1 0.3 0.0 -0.1 0.1 -0.0 0.2 0.0 -0.1 0.4 0.1 0.6 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.0 0.5 0.1 -2.7 0.1 -0.0 0.2 0.0 0.3 0.0 -0.5 0.2 0.2 0.4 0.6 0.2 0.1 -0.4 -0.3 SUGAR11 -0.3 -0.0 0.6 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.0 0.2 -0.0 -0.2 -0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 0.0 0.1 -0.0 -2.7 0.0 0.0 0.1 0.0 0.0 -0.0 1.1 -0.0 0.0 -0.0 0.6 -0.7 0.1 -0.7 0.3 US10 -0.3 -0.6 -0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 -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 -0.0 -0.0 -0.0 -0.4 -0.0 -0.1 -0.4 -0.2 -0.1 -0.7 0.4 0.3 US10U -0.2 -0.6 -0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.2 -0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.2 -0.0 -0.1 -0.4 -0.3 -0.0 -0.5 0.7 0.6 US2 -0.6 -0.6 -0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.3 -0.4 -0.4 -0.4 -0.2 -0.1 -0.1 -0.1 -0.2 2.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.1 -0.3 -0.5 -0.0 -0.2 -0.6 0.1 -0.3 US20 -0.1 -0.6 -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 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.2 -0.2 0.0 -0.3 0.7 0.6 US30 -0.0 -0.6 -0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 0.1 -0.1 -0.2 -0.0 -0.3 0.7 0.6 US5 -0.5 -0.6 -0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.2 0.8 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.7 -0.1 -0.2 -0.5 -0.2 -0.0 -0.6 0.4 0.2 VIX -0.7 -0.3 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 0.1 -0.4 -0.2 -0.6 -0.2 -0.2 -0.6 -0.6 -0.4 -0.6 -0.1 -0.1 -0.1 -0.3 -0.2 NaN -0.0 0.0 -0.0 -0.0 -0.2 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.3 -0.1 0.1 -0.0 0.0 -0.1 -0.0 -0.3 -0.0 0.0 -0.4 -0.1 -0.6 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.1 -0.5 -0.2 0.6 -0.1 0.0 -0.1 -0.1 -0.2 -0.1 -1.1 -0.5 -0.6 -0.5 -0.2 -0.7 -0.6 -0.7 -0.5 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -8.3 -18.8 -1.0 -3.6 -2.1 -1.6 -4.0 -0.2 -4.8 -7.3 -3.7 -9.2 -0.3 -12.9 -10.0 -0.3 -1.6 -0.5 -0.9 -10.0 -4.2 -9.1 -1.0 -12.5 2.6 -3.8 -1.1 -1.5 -3.1 -0.2 -4.6 -0.0 7.0 1.6 3.0 0.3 0.2 -6.4 1.3 -3.2 BITCOIN 20.0 20.0 3.8 0.2 2.1 1.2 -3.5 0.1 -3.6 20.0 12.2 20.0 14.1 20.0 20.0 -7.1 -6.8 -6.6 -6.6 20.0 20.0 20.0 14.3 20.0 -20.0 7.2 6.9 3.9 10.0 3.5 10.2 -2.4 20.0 20.0 20.0 13.7 2.4 -2.2 -1.0 1.6 BOBL -10.0 -15.6 5.1 -2.6 -0.2 -0.7 -1.5 0.3 -3.0 1.7 2.0 -2.6 -2.0 -7.1 -4.9 18.9 -3.1 12.3 3.6 -4.3 -0.4 -1.2 -0.2 -4.7 3.8 -1.7 -0.2 0.3 -0.5 0.8 -2.0 1.4 6.7 6.2 10.1 4.4 -11.9 -14.8 3.9 -0.4 BTP -11.0 -10.2 2.7 -4.2 -0.3 -1.1 -2.4 0.4 -4.8 12.4 10.0 -0.3 15.5 -6.3 0.7 7.6 5.3 6.7 5.6 0.9 7.3 3.5 10.9 -1.3 -20.0 1.3 2.8 5.1 2.4 7.1 -0.2 11.5 20.0 13.7 20.0 13.9 -12.7 -12.8 9.1 10.3 BUND -9.6 -16.6 1.2 -3.2 -0.2 -0.8 -1.8 0.3 -3.6 3.1 1.0 -5.2 0.3 -10.5 -8.3 -20.0 -7.8 -18.4 -13.2 -6.8 -1.8 -2.0 -0.2 -6.9 1.1 -2.8 0.0 -0.4 -0.8 0.9 -2.9 -15.1 8.4 7.7 12.3 1.9 -20.0 -19.1 0.3 -1.0 BUXL 1.9 -9.6 0.6 -3.4 -0.2 -0.9 -2.0 0.4 -3.9 10.6 0.0 9.7 -0.1 -5.9 -5.8 0.3 -1.4 -0.0 -0.8 -3.2 -1.8 4.0 -1.9 -0.5 -2.2 -1.7 3.4 -0.3 3.0 0.8 -0.0 0.5 13.9 20.0 20.0 1.8 -20.0 -20.0 -7.4 -7.5 CAC -14.1 -7.3 -6.3 2.4 -6.0 4.5 -2.8 7.0 0.4 -14.6 -11.6 -15.2 -2.8 -16.0 -10.1 -4.8 -3.4 -5.2 -4.6 -12.8 -9.7 -16.0 -4.6 -16.1 -6.0 -5.4 -5.8 -3.8 -7.1 -1.1 -7.0 4.3 -14.7 -20.0 -20.0 -14.9 4.1 6.3 -5.8 -2.9 CAD -2.3 -20.0 -0.6 -5.6 -3.2 -2.4 -6.1 -0.3 -7.4 -2.6 -15.8 -9.8 -17.0 -19.5 -19.4 -6.1 -4.3 -5.7 -5.0 -20.0 -14.7 -12.1 -10.1 -20.0 0.3 -6.9 0.0 -4.5 -3.8 -2.8 -6.8 -5.7 11.4 1.7 -7.9 -6.1 -3.4 -7.6 -7.0 -6.1 CANOLA -5.5 14.3 11.2 -0.7 1.1 -1.8 -0.6 -2.8 -0.8 -6.6 0.6 -4.4 -5.6 1.6 3.9 -15.7 -12.4 -15.2 -14.4 2.4 0.4 -5.2 -3.4 0.1 -13.4 2.1 -3.5 1.1 -1.3 -1.1 0.9 -20.0 -5.1 3.0 10.9 8.3 -6.8 -12.4 -0.2 -6.9 CHF -15.3 -20.0 0.3 -3.4 -2.0 -1.5 -3.8 -0.2 -4.6 -4.8 -1.7 -9.3 -3.6 -12.7 -9.3 -15.0 -16.1 -15.3 -15.5 -14.4 -5.3 -14.1 -1.1 -18.9 3.9 -3.9 -1.4 -1.2 -3.9 0.1 -5.2 -20.0 -3.7 -6.9 -8.1 4.3 -10.8 -11.5 -20.0 -13.2 COCOA 20.0 13.9 5.4 -0.7 1.1 -1.8 -0.6 -2.8 -0.8 7.5 2.9 8.1 4.9 8.0 7.4 13.4 20.0 20.0 20.0 13.1 9.8 20.0 11.8 19.1 -20.0 2.7 3.2 2.4 4.3 3.8 3.8 20.0 20.0 20.0 20.0 17.1 20.0 20.0 20.0 20.0 COFFEE 16.5 -0.9 2.1 -1.7 2.8 -4.4 -1.4 -6.8 -2.0 18.1 16.5 19.3 18.0 13.6 12.8 0.8 4.7 1.9 3.2 18.9 17.6 20.0 19.8 20.0 -20.0 5.6 14.3 4.9 13.7 6.0 9.4 4.2 20.0 20.0 15.9 20.0 -11.2 -7.9 -2.5 0.1 COPPER -14.9 -9.3 -3.6 0.1 0.8 0.5 -1.3 0.0 -1.4 -5.1 -4.0 -6.4 -0.7 -6.9 -2.3 -4.4 -3.4 -4.0 -3.5 -4.0 -1.1 -7.3 1.1 -7.4 -10.6 -0.9 -1.0 0.5 -2.8 1.3 -2.6 3.4 -4.6 -2.2 -3.2 -2.1 15.0 11.3 11.1 19.9 CORN 2.8 2.5 -4.3 -2.0 3.2 -5.1 -1.6 -8.0 -2.4 -7.0 -18.1 -7.6 -20.0 -11.8 -2.7 -8.1 -13.9 -11.4 -13.9 -8.8 -20.0 -4.8 -20.0 -5.3 -12.1 -6.3 -1.3 -11.4 -3.5 -16.9 -4.1 -20.0 -8.7 3.9 -10.6 -9.3 9.5 -2.2 15.3 2.1 COTTON2 -11.9 -3.1 8.8 -1.7 2.6 -4.1 -1.3 -6.5 -1.9 -9.1 -16.7 -14.2 -17.0 -15.5 -7.1 -15.5 -7.3 -14.2 -11.3 -9.9 -10.7 -16.5 -15.8 -15.4 -20.0 -4.9 -3.3 -3.6 -8.5 -3.2 -7.8 -18.4 -19.9 -20.0 -18.7 -0.2 -18.3 -15.1 -13.3 -10.5 CRUDE_W 0.1 0.9 -10.9 -1.4 3.4 -3.4 1.0 -2.8 -0.2 -0.8 -8.8 -3.5 -4.3 -7.0 -6.2 3.9 10.2 6.0 8.3 -6.1 -7.8 -1.7 -4.6 -4.1 -1.3 -3.0 2.5 -4.3 -1.2 -3.0 -2.6 8.7 -4.4 -4.4 -8.1 2.1 -2.3 7.4 -1.3 12.1 DAX -19.7 -1.0 4.1 2.4 -5.9 4.4 -2.8 6.9 0.4 -10.7 11.3 -10.6 14.6 -6.7 10.5 -8.1 -9.8 -8.4 -8.8 3.0 7.8 -7.5 11.0 -3.9 7.5 1.2 -4.6 4.3 -4.4 7.2 -2.6 -5.0 5.1 -14.4 0.8 4.4 20.0 10.4 10.7 3.1 DOW -0.8 -1.5 8.7 1.8 -4.5 3.4 -2.1 5.3 0.3 -10.4 11.0 3.8 12.5 5.6 10.4 -9.6 -10.6 -9.8 -10.0 11.0 12.0 1.5 12.3 8.1 -10.7 4.1 -1.6 4.6 1.1 5.0 3.1 -6.7 7.4 10.6 11.7 19.0 3.1 3.3 -13.3 -8.5 DX 10.9 20.0 3.3 -3.5 -2.0 -1.5 -3.8 -0.2 -4.6 10.8 6.4 12.6 6.3 13.8 12.2 5.8 6.6 6.1 6.3 17.7 8.2 19.3 2.9 20.0 -20.0 4.2 2.4 1.9 4.2 0.6 5.2 13.4 20.0 20.0 20.0 9.6 -1.5 6.2 -1.3 8.8 EUR -8.1 -20.0 -5.2 -3.3 -1.9 -1.4 -3.7 -0.2 -4.4 -10.2 -6.9 -11.5 -5.0 -12.7 -11.6 -6.3 -7.0 -6.6 -6.8 -14.4 -7.2 -16.3 -2.7 -18.4 14.6 -4.1 -2.7 -1.9 -4.3 -0.4 -5.1 -9.5 -11.5 -4.0 -11.1 -3.8 -1.2 -14.7 -4.1 -17.9 EURIBOR-ICE -6.9 -9.0 10.3 -2.1 -0.1 -0.5 -1.2 0.2 -2.4 -0.6 6.1 4.8 5.9 -0.5 2.9 5.6 -0.2 4.6 2.4 2.7 5.6 1.3 5.8 1.3 10.7 1.4 -1.1 3.1 0.6 3.3 0.6 4.2 9.6 10.2 15.2 11.7 -4.9 -15.7 10.2 5.8 EUROSTX -16.3 -7.2 -6.1 2.2 -5.5 4.1 -2.6 6.4 0.4 -10.9 -0.7 -12.2 9.1 -12.4 -1.5 -3.8 -3.3 -4.0 -4.0 -7.6 -2.6 -11.9 3.6 -11.8 -2.5 -4.0 -4.9 -1.2 -5.8 2.7 -5.9 4.7 -5.2 -20.0 -13.9 -10.1 5.1 3.3 -16.3 -9.2 FEEDCOW 2.9 20.0 0.2 -2.0 3.1 -4.9 -1.6 -7.7 -2.3 20.0 -2.3 17.4 -12.0 17.3 9.8 11.6 -4.5 14.4 8.3 12.3 -2.2 20.0 -10.9 20.0 -11.8 3.8 18.6 -0.8 13.9 -3.0 7.9 0.3 20.0 20.0 20.0 -13.4 15.4 20.0 20.0 20.0 GASOIL 7.3 5.8 -12.3 -1.3 3.0 -3.0 0.9 -2.5 -0.1 6.7 -11.6 1.8 -6.6 -1.1 -6.4 1.4 6.6 1.5 2.5 -4.2 -9.0 2.5 -7.0 0.4 3.9 -2.4 2.6 -5.2 1.4 -4.3 0.2 0.1 -3.9 4.7 -2.2 -8.6 0.3 -7.5 2.7 -12.1 GASOLINE 0.4 3.9 -8.9 -1.2 2.8 -2.8 0.9 -2.4 -0.1 3.1 -7.4 0.8 -2.2 -4.9 -2.5 -0.5 20.0 8.6 17.7 -2.7 -4.2 1.5 -2.0 -1.2 -19.9 -0.2 3.8 -0.9 0.9 -0.1 -0.3 20.0 -0.0 -1.5 -1.2 6.4 2.7 10.0 7.2 17.6 GAS_US_mini 3.0 -2.0 9.3 -1.5 3.5 -3.5 1.1 -2.9 -0.2 16.9 -16.4 8.2 -18.8 -6.8 -10.2 -20.0 -20.0 -20.0 -20.0 -6.4 -10.1 12.5 -16.7 0.8 20.0 -3.7 12.9 -4.9 6.6 -6.5 0.2 -20.0 20.0 5.7 -19.8 1.3 -13.6 -20.0 -9.8 -16.8 GBP -15.8 -20.0 -1.8 -4.4 -2.5 -1.9 -4.8 -0.3 -5.8 -12.8 1.9 -14.7 7.5 -16.8 -10.8 0.5 -0.2 0.4 0.1 -12.8 -1.6 -20.0 5.0 -20.0 -1.5 -4.2 -4.5 -0.0 -6.9 2.4 -7.0 2.2 -10.2 -2.7 -2.8 3.6 5.5 -17.2 17.0 -16.7 GOLD_micro -20.0 -20.0 3.6 0.1 1.1 0.6 -1.8 0.1 -1.8 0.4 8.0 -6.2 10.7 -5.1 4.4 -11.2 -13.3 -12.5 -12.7 2.3 10.2 -6.9 13.1 -7.1 -9.7 1.1 1.4 3.3 -2.2 4.1 -2.0 -13.1 -5.9 -8.2 3.9 14.5 20.0 2.0 19.2 7.4 HEATOIL 4.6 6.8 -8.9 -1.3 2.9 -2.9 0.9 -2.5 -0.1 0.3 -11.4 -0.0 -9.3 -6.7 -6.9 -2.2 2.4 -3.4 -2.7 -4.0 -8.2 -0.1 -7.7 -1.2 -18.7 -1.0 1.2 -3.3 0.1 -3.4 -0.2 -8.2 -3.1 1.7 0.4 -0.4 -0.7 3.3 1.9 4.9 JGB-SGX-mini -13.8 -16.9 4.0 -2.3 0.2 -0.5 -1.5 0.3 -2.8 -5.1 2.2 -8.2 2.3 -9.0 -0.9 18.6 16.4 15.4 15.2 -5.6 -0.4 -12.8 1.3 -11.0 -10.8 -2.2 -3.1 -0.4 -4.9 -0.2 -4.2 20.0 -20.0 1.9 4.9 5.4 -20.0 -11.6 -20.0 -7.1 JPY -7.0 -20.0 2.6 -2.1 -1.2 -0.9 -2.3 -0.1 -2.8 -3.6 -2.6 -5.1 -4.3 -7.8 -6.4 -10.3 -13.7 -10.9 -11.9 -9.2 -5.1 -6.2 -4.8 -9.6 20.0 -2.3 -1.0 -1.2 -1.7 -1.2 -2.6 -19.9 4.1 0.1 -6.4 3.7 -15.9 -19.9 -12.4 -20.0 LEANHOG -6.0 18.0 20.0 -2.2 3.5 -5.4 -1.7 -8.5 -2.5 -7.9 7.3 -7.3 2.1 15.9 20.0 -20.0 12.4 3.5 19.0 20.0 18.8 -4.6 2.2 11.7 0.5 7.4 -1.4 5.8 -2.0 1.6 3.3 20.0 -13.6 16.6 20.0 20.0 3.2 -5.0 7.9 1.0 LIVECOW -17.1 4.8 9.2 -2.2 3.5 -5.5 -1.8 -8.7 -2.6 18.6 20.0 -7.6 16.9 -1.2 16.9 -13.1 5.0 -4.5 1.8 11.3 17.6 6.9 17.8 2.5 -20.0 3.1 11.7 5.5 3.4 7.1 0.3 4.6 14.5 -7.1 17.0 3.8 -6.3 20.0 1.1 20.0 LUMBER-new 20.0 20.0 14.1 -1.7 2.7 -4.3 -1.4 -6.4 -2.0 9.4 1.5 16.3 -6.5 18.2 19.2 -20.0 -18.6 -19.7 -19.0 20.0 10.3 20.0 -3.4 20.0 NaN 6.6 2.4 3.1 5.6 -0.3 7.6 -20.0 20.0 20.0 20.0 20.0 9.5 3.0 17.3 9.2 MILK -20.0 -20.0 5.7 -1.3 2.0 -3.2 -1.0 -5.0 -1.5 -1.6 7.7 -9.3 8.0 -13.2 -5.8 0.3 -2.7 12.3 8.6 -11.0 2.7 -9.7 7.4 -16.3 15.3 -3.4 -0.7 0.3 -2.8 1.5 -4.8 1.7 -4.5 -20.0 -20.0 6.0 -6.2 -20.0 -0.5 -20.0 MXP 0.1 -1.3 -15.7 -3.3 -1.9 -1.4 -3.7 -0.2 -4.4 -1.6 -12.4 -2.9 -10.0 -8.2 -11.1 11.8 13.3 11.5 11.7 -10.4 -13.2 -2.0 -10.0 -6.8 -20.0 -4.6 0.6 -5.7 -0.8 -4.1 -3.0 20.0 11.8 9.0 10.4 -15.4 17.4 20.0 20.0 20.0 NASDAQ_micro -2.1 7.1 5.9 1.9 -4.7 3.5 -2.2 5.5 0.3 -7.1 9.5 2.2 11.1 5.7 10.6 -9.5 -9.7 -9.1 -9.2 9.7 10.5 -1.5 13.1 6.3 -20.0 3.8 -3.3 4.7 -0.9 6.5 2.2 -5.2 2.4 8.0 9.0 8.7 7.8 3.8 -6.4 -5.6 NIKKEI -2.0 5.7 4.7 1.6 -3.9 2.9 -1.8 4.5 0.3 -9.4 4.5 -4.6 5.3 -0.3 7.8 1.0 6.6 2.3 4.2 2.0 2.8 -6.1 5.6 -1.2 -7.8 -0.5 -4.5 -0.9 -3.2 1.9 -1.0 20.0 -8.9 -0.5 2.4 -15.7 20.0 8.9 20.0 10.7 NZD -8.5 -20.0 -1.0 -3.3 -1.9 -1.4 -3.7 -0.2 -4.4 -7.7 -5.6 -8.9 -1.8 -12.5 -9.4 -1.1 -0.2 -0.8 -0.5 -11.3 -5.6 -9.9 -2.0 -13.2 1.2 -3.7 -2.0 -1.7 -3.4 -0.5 -4.4 1.7 5.0 1.1 -1.4 2.4 -1.5 -7.0 -0.9 -1.5 OAT -8.1 -12.4 1.9 -3.0 -0.2 -0.8 -1.8 0.3 -3.5 4.0 -0.8 -4.1 -2.1 -8.8 -7.4 8.4 5.3 7.2 5.8 -5.9 -3.0 -1.3 -2.2 -5.3 3.8 -2.7 -0.8 -1.0 -0.5 -0.0 -2.5 11.6 8.5 8.1 14.1 1.3 -5.7 -14.8 12.9 5.2 OATIES -20.0 -2.2 20.0 -1.2 1.9 -3.0 -1.0 -4.7 -1.4 -7.1 1.6 -8.4 -8.1 -5.7 7.3 -7.5 1.4 -1.4 1.0 2.5 4.5 -8.1 -0.5 -5.2 -20.0 0.5 -2.8 1.6 -3.9 0.2 -2.8 -0.3 -20.0 -9.2 1.8 17.1 20.0 4.6 20.0 14.3 OJ -7.6 -3.4 3.6 -1.8 2.8 -4.4 -1.4 -6.9 -2.1 15.4 18.4 7.6 19.7 7.4 14.4 19.7 13.2 15.4 13.3 10.9 20.0 11.4 20.0 7.0 -20.0 4.5 11.6 9.0 6.2 16.7 3.2 19.5 20.0 9.3 1.8 20.0 15.3 10.7 20.0 20.0 PALLAD -20.0 -0.5 18.4 0.1 0.8 0.4 -1.2 0.0 -1.3 4.7 1.2 -4.6 -2.9 -4.9 0.2 -2.2 -2.1 -2.1 -2.0 -0.7 1.1 -2.4 -1.4 -4.2 12.7 0.4 1.8 0.9 -0.6 -0.2 -1.0 5.6 0.8 3.7 -0.4 2.3 -11.9 -20.0 -20.0 -20.0 PLAT -19.2 -1.5 1.2 0.1 1.2 0.7 -2.0 0.1 -2.1 -1.9 -4.3 -8.4 -2.3 -7.8 -1.5 -4.0 -4.4 -4.2 -4.4 -3.1 -0.4 -6.2 -0.0 -7.3 4.9 -1.2 0.2 -0.2 -2.9 -0.2 -3.4 1.6 -3.0 -3.6 -2.0 -7.0 6.3 -8.1 -1.4 -1.6 REDWHEAT -12.6 -3.9 6.1 -1.8 2.8 -4.5 -1.4 -7.0 -2.1 5.5 -16.5 -8.6 -18.2 -15.2 -8.9 -9.9 -7.7 -10.3 -9.7 -12.8 -12.5 -8.1 -18.3 -15.2 -4.4 -5.6 3.7 -5.0 -3.5 -6.1 -6.7 -17.7 -16.0 -20.0 -12.0 -6.2 -20.0 -20.0 -20.0 -20.0 RICE -2.8 -9.9 -8.5 -1.7 2.6 -4.1 -1.3 -6.5 -1.9 14.2 5.0 10.1 8.4 -4.4 -7.4 -12.6 18.7 -7.0 7.4 -7.5 -4.9 9.5 2.3 -1.8 -14.0 -4.2 5.4 -2.9 4.0 -0.3 -1.6 20.0 20.0 -9.4 -20.0 -8.7 -18.1 -20.0 -18.6 -20.0 ROBUSTA 2.9 -16.3 -2.6 -1.0 1.6 -2.5 -0.8 -3.9 -1.1 9.4 6.9 9.1 9.7 -2.9 1.9 5.5 20.0 17.2 20.0 3.7 11.7 12.9 20.0 5.7 -20.0 1.3 4.6 4.2 4.6 8.7 2.1 20.0 20.0 12.7 -9.1 15.4 4.8 0.5 10.0 6.9 RUSSELL 7.1 4.7 6.0 1.7 -4.2 3.2 -2.0 4.9 0.3 -9.2 8.0 1.0 9.9 3.5 7.4 -6.2 -6.4 -6.1 -6.1 9.1 8.1 0.6 7.0 7.6 0.3 3.7 -1.2 3.7 1.1 3.6 3.2 0.3 1.7 19.0 11.6 11.9 -5.5 -13.6 -20.0 -20.0 SHATZ -9.4 -10.4 15.0 -2.1 -0.1 -0.5 -1.2 0.2 -2.4 -0.9 4.3 0.2 -0.1 -3.4 0.3 -20.0 -20.0 -20.0 -20.0 0.3 3.1 -0.0 0.9 -1.0 5.9 0.3 -0.6 1.9 -0.1 1.2 -0.5 -20.0 6.3 7.0 11.7 9.6 -9.3 -14.9 0.7 -5.6 SILVER-mini -20.0 -3.8 2.7 0.1 1.0 0.6 -1.7 0.1 -1.7 -2.7 4.6 -8.1 6.8 -7.2 2.4 -6.0 -6.4 -6.1 -6.1 0.5 5.0 -6.1 6.7 -5.7 0.7 0.7 -0.1 2.1 -2.0 2.6 -1.6 -1.6 1.0 -6.8 2.9 2.6 6.1 -1.7 -3.3 8.7 SMI -20.0 -13.2 -10.6 1.7 -4.3 3.2 -2.0 5.0 0.3 -10.4 2.5 -11.8 8.5 -11.2 -5.6 0.6 0.3 0.1 -0.3 -8.7 -1.7 -15.7 4.4 -14.1 7.2 -2.9 -4.6 0.5 -5.7 3.2 -5.2 10.9 -13.6 -20.0 -15.3 -4.0 -6.6 1.5 -20.0 -8.0 SOFR -13.1 -20.0 -6.8 -3.2 -0.2 -0.8 -1.9 0.3 -3.6 -2.0 -0.7 -9.6 3.6 -13.3 -12.0 -0.1 0.1 0.9 0.6 -18.6 -7.5 -9.3 -0.1 -19.0 -5.7 -4.2 -0.1 -1.9 -1.9 -0.0 -4.0 3.1 -1.1 -7.1 -16.4 -11.1 0.8 -9.9 18.2 15.5 SOYBEAN 3.1 -4.0 -9.5 -1.5 2.3 -3.7 -1.2 -5.7 -1.7 -13.4 -14.4 -11.6 -15.1 -13.9 -10.7 -0.1 0.6 -2.0 -2.4 -12.9 -19.6 -10.6 -20.0 -10.3 -20.0 -5.5 -5.3 -7.5 -4.8 -8.4 -4.5 -4.9 -12.5 -4.3 -17.9 -17.0 2.6 -8.2 8.0 -3.3 SOYMEAL -14.6 -20.0 -8.2 -1.6 2.5 -3.9 -1.3 -6.1 -1.8 -11.1 -16.3 -15.8 -16.8 -18.3 -16.6 -8.3 0.8 -5.2 -2.9 -20.0 -19.6 -16.2 -20.0 -20.0 -20.0 -6.1 -2.7 -4.9 -5.3 -4.2 -6.7 -4.6 -16.3 -20.0 -20.0 -12.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 8.3 15.6 18.3 -0.7 1.2 -1.8 -0.6 -2.9 -0.9 -7.2 0.2 -2.2 -6.1 1.5 3.5 -2.2 0.5 -0.9 -0.2 4.5 1.4 -4.0 -2.9 2.7 -16.7 2.0 -3.7 0.9 -1.2 -0.7 1.3 -2.8 -7.8 10.0 9.5 5.7 3.8 -6.0 13.1 -0.6 SP400 3.7 5.7 7.0 2.1 -5.1 3.8 -2.4 5.9 0.4 -10.8 10.7 2.4 13.2 5.0 10.6 -7.5 -6.5 -7.3 -6.8 11.6 10.8 1.1 10.5 9.2 -10.2 4.5 -1.3 4.7 1.1 4.9 3.6 -0.3 3.0 17.6 14.2 16.4 0.3 -6.9 -16.6 -20.0 SP500_micro -6.0 3.1 9.4 2.3 -5.8 4.4 -2.7 6.8 0.4 -10.4 15.7 5.7 16.7 8.5 15.0 -11.2 -11.7 -11.0 -11.2 15.0 18.1 1.0 20.0 10.0 -20.0 5.1 -2.8 6.7 0.2 8.7 3.1 -8.7 7.8 7.1 12.5 17.5 6.7 3.7 -11.8 -8.0 SUGAR11 -10.7 -0.3 20.0 -1.5 2.3 -3.6 -1.2 -5.7 -1.7 3.7 7.6 -2.8 -5.6 -5.6 8.6 20.0 20.0 20.0 20.0 6.3 7.9 0.1 2.0 -0.2 -20.0 2.4 0.8 2.9 0.2 0.5 -0.0 20.0 -1.5 1.1 -1.4 20.0 -20.0 3.7 -20.0 7.5 US10 -10.4 -20.0 -6.1 -2.3 -0.1 -0.6 -1.3 0.2 -2.6 -3.5 -2.1 -7.5 0.5 -9.6 -8.8 -3.3 -6.6 -4.8 -5.7 -13.0 -6.0 -6.5 -2.0 -13.0 1.5 -3.0 -0.2 -1.4 -1.4 -0.2 -2.9 -8.2 -0.3 -4.1 -11.8 -7.6 -3.0 -20.0 12.0 8.8 US10U -7.3 -20.0 -5.0 -3.0 -0.2 -0.8 -1.8 0.3 -3.5 -5.2 -3.1 -9.3 0.3 -12.6 -11.6 -3.9 -3.6 -4.2 -4.2 -15.4 -7.3 -8.0 -2.9 -15.3 -1.3 -4.0 -0.5 -2.1 -1.9 -0.5 -3.8 -4.3 -0.7 -2.6 -12.6 -10.2 -1.2 -15.3 20.0 17.2 US2 -20.0 -20.0 -2.0 -2.4 -0.2 -0.6 -1.4 0.3 -2.8 -5.8 -2.3 -8.7 -1.4 -10.6 -9.2 -16.5 -20.0 -20.0 -20.0 -16.4 -6.9 -10.4 -3.5 -17.8 14.7 -3.0 -0.8 -1.1 -2.0 -0.1 -3.3 -20.0 -6.2 -7.8 -15.5 -1.5 -5.0 -17.7 3.4 -8.1 US20 -2.9 -20.0 -5.8 -2.1 -0.1 -0.5 -1.2 0.2 -2.4 -4.1 -2.2 -6.2 1.8 -8.7 -8.1 -1.6 -1.3 -1.8 -1.6 -9.6 -4.7 -4.9 -1.6 -9.2 -2.7 -2.8 -0.4 -1.4 -1.3 -0.2 -2.5 0.3 -0.3 1.3 -6.8 -7.2 0.6 -9.2 20.0 19.2 US30 -1.1 -20.0 -4.3 -2.3 -0.1 -0.6 -1.3 0.2 -2.6 -5.9 -3.3 -7.3 0.3 -9.3 -8.7 -0.7 -4.2 -2.3 -3.3 -8.9 -4.7 -5.7 -2.4 -8.8 -1.8 -3.1 -0.8 -1.6 -1.7 -0.4 -2.8 -4.2 -2.5 3.3 -3.9 -7.2 -0.2 -8.1 20.0 19.3 US5 -14.7 -20.0 -5.7 -2.6 -0.2 -0.7 -1.5 0.3 -3.0 -3.9 -2.5 -8.6 -0.9 -11.2 -10.1 -6.1 -9.8 -7.8 -8.9 -16.9 -7.7 -8.7 -2.7 -17.1 6.0 -3.4 -0.3 -1.6 -1.7 -0.2 -3.4 -13.8 -2.4 -6.6 -15.6 -7.4 -0.9 -17.7 12.9 4.8 VIX -12.6 -6.0 -1.8 -2.1 1.7 -0.4 -2.2 -2.3 -3.8 9.9 -9.9 -10.0 -11.0 -11.3 -12.3 -18.3 -20.0 -13.3 -17.6 -6.1 -2.9 -5.7 -7.2 -9.6 NaN -2.5 1.9 -0.6 -2.5 -2.8 -4.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -10.6 -4.2 4.2 -1.9 3.0 -4.7 -1.5 -7.3 -2.2 0.7 -15.0 -7.5 -16.6 -16.0 -5.0 -13.3 -14.3 -13.4 -14.0 -12.6 -12.2 -12.5 -18.3 -16.8 4.8 -5.9 1.6 -4.9 -5.8 -5.6 -7.7 -20.0 -20.0 -20.0 -16.3 -4.9 -20.0 -18.4 -20.0 -16.2 End of report for caleb_strategy_v3