******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241121_204412 produced at 2024-11-21 21:39:21.439390 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.10 0.0 0.00 0.00 0.00 0.00 -13.20 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False True 0.03 0.00 -0.58 0.0 0.00 0.00 0.00 0.00 -18.22 16.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.23 0.0 0.00 0.00 0.00 0.00 -3.19 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.13 -0.18 0.0 999.00 -999.00 -0.13 -0.14 -29.40 999999999.0 -22 -23 caleb_strategy_v3 CHF False False 0.05 -0.34 -0.11 0.0 0.64 -0.64 -0.34 -0.34 -2.27 13.0 -7 -7 caleb_strategy_v3 CAD False False 0.02 -0.05 -0.10 0.0 0.72 -0.72 -0.05 -0.05 -4.11 29.0 -2 -2 caleb_strategy_v3 US5 False False 0.04 -0.07 -0.08 0.0 0.92 -0.92 -0.07 -0.07 -2.07 25.0 -2 -2 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.07 0.0 0.09 -0.09 -0.05 -0.05 -8.80 12.0 -7 -7 caleb_strategy_v3 EUR False False 0.05 -0.09 -0.07 0.0 0.64 -0.64 -0.09 -0.09 -1.45 14.0 -2 -2 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 SHATZ False True 0.04 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -1.63 24.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 -0.05 0.0 0.60 -0.60 0.00 0.00 -1.78 22.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.05 0.0 0.13 -0.13 -0.06 -0.06 -4.20 11.0 -5 -5 caleb_strategy_v3 US10 False False 0.04 0.00 -0.04 0.0 0.65 -0.65 0.00 0.00 -1.09 17.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 -0.07 -0.04 0.0 0.35 -0.35 -0.07 -0.07 -2.14 20.0 -4 -4 caleb_strategy_v3 NZD False False 0.02 0.00 -0.03 0.0 0.43 -0.43 0.00 0.00 -1.47 21.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.03 -0.03 0.0 0.51 -0.51 -0.03 -0.03 -3.69 60.0 -4 -4 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.05 -0.03 0.0 0.00 -0.05 -0.05 -0.04 -9.92 26.0 -16 -13 caleb_strategy_v3 JPY False False 0.03 -0.08 -0.03 0.0 0.48 -0.48 -0.08 -0.08 -1.23 17.0 -3 -3 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.03 0.0 0.10 -0.10 -0.03 -0.03 -2.75 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 -2.97 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 -0.74 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 -0.95 999999999.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.03 -0.03 0.0 0.12 -0.12 -0.03 -0.03 -1.56 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 -2.48 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 -0.62 10.0 -1 -1 caleb_strategy_v3 US10U False False 0.04 0.00 -0.03 0.0 0.51 -0.51 0.00 -0.04 -0.69 13.0 0 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.03 0.0 0.08 -0.08 -0.01 -0.01 -2.63 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 -0.86 3.0 -1 -1 caleb_strategy_v3 AUD False False 0.02 0.00 -0.02 0.0 0.43 -0.43 0.00 0.00 -0.93 19.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.02 0.0 0.15 -0.15 -0.02 -0.02 -6.86 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 -0.16 6.0 -3 -3 caleb_strategy_v3 GASOIL False False 0.02 -0.02 -0.01 0.0 0.10 -0.10 -0.02 -0.02 -0.25 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 -0.23 9.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.82 5.0 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 -0.49 5.0 -2 -2 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.01 0.0 0.17 -0.17 0.00 0.00 -0.54 10.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 -0.01 0.0 0.52 -0.52 0.00 0.00 -1.14 56.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -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 0.02 999999999.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.00 0.0 0.07 -0.07 0.00 0.00 -0.05 2.0 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 -0.10 999999999.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 -0.00 0.0 0.14 -0.14 0.01 0.00 -0.35 18.0 1 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.19 -0.19 0.00 0.00 -0.04 4.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.01 -0.00 0.0 0.33 -0.33 0.01 0.01 -0.07 23.0 1 1 caleb_strategy_v3 SOYOIL False False 0.01 0.01 -0.00 0.0 0.09 -0.09 0.01 0.01 -0.21 10.0 1 1 caleb_strategy_v3 COFFEE False False 0.04 0.00 0.01 0.0 0.23 -0.23 0.00 0.00 0.22 6.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 0.01 0.0 0.82 -0.82 0.00 0.00 0.21 19.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.01 0.01 0.0 0.50 -0.50 0.01 0.01 1.05 48.0 1 1 caleb_strategy_v3 RUSSELL False False 0.00 0.00 0.01 0.0 0.28 -0.28 0.00 0.00 3.37 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 0.44 23.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 0.01 0.0 0.50 -0.50 0.00 0.00 1.75 66.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.23 0.02 0.0 0.23 -0.23 0.23 0.23 0.15 2.0 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 2.78 3.0 0 0 caleb_strategy_v3 COCOA False False 0.03 0.06 0.03 0.0 0.78 -0.78 0.06 0.06 0.85 26.0 2 2 caleb_strategy_v3 OJ False False 0.03 0.03 0.03 0.0 0.08 -0.08 0.03 0.03 1.17 3.0 1 1 caleb_strategy_v3 BTP False False 0.04 0.00 0.03 0.0 0.44 -0.44 0.00 0.00 0.78 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 4.13 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 0.97 17.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 0.04 0.0 0.46 -0.46 0.00 0.05 0.78 10.0 0 1 caleb_strategy_v3 FEEDCOW False False 0.04 0.04 0.06 0.0 0.35 -0.35 0.04 0.04 1.45 8.0 1 1 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.06 0.0 0.00 0.00 0.00 0.00 17.16 59.0 0 0 caleb_strategy_v3 DX False True 0.04 0.00 0.07 0.0 0.00 0.00 0.00 0.00 2.01 999999999.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.04 0.07 0.0 0.31 -0.31 0.04 0.04 8.20 36.0 5 5 caleb_strategy_v3 LEANHOG False False 0.01 0.08 0.08 0.0 0.15 -0.15 0.08 0.08 6.95 13.0 7 7 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.89 0.0 0.89 -0.89 0.00 0.00 9.92 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 12.3 Shocked risk 30.2 Sum abs risk 39.3 Leverage 4.87 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2885651.1, 'annual_cash_vol_target': 721412.775, 'daily_cash_vol_target': 45088.2984375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6516 0.6792 10.8679 BITCOIN 2176.3001 99415.0000 2.1891 35.0257 BOBL 0.2347 118.6800 0.1978 3.1644 BTP 0.5076 120.3700 0.4217 6.7477 BUND 0.4448 132.3200 0.3361 5.3783 BUXL 1.1361 133.3800 0.8517 13.6278 CAC 64.6467 7239.0000 0.8930 14.2885 CAD 0.0029 0.7166 0.3984 6.3750 CANOLA 10.6796 607.3000 1.7585 28.1367 CHF 0.0053 1.1311 0.4723 7.5567 COCOA 173.3353 8695.0000 1.9935 31.8961 COFFEE 4.6275 295.0000 1.5686 25.0983 COPPER 0.0649 4.1585 1.5596 24.9531 CORN 3.8502 436.7500 0.8816 14.1049 COTTON2 0.9196 70.3800 1.3066 20.9049 CRUDE_W 1.0826 67.6700 1.5999 25.5983 DAX 156.2838 19222.0000 0.8130 13.0087 DOW 320.4288 44061.0000 0.7272 11.6358 DX 0.4448 106.9500 0.4159 6.6545 EUR 0.0055 1.0494 0.5280 8.4474 EURIBOR-ICE 0.0441 97.9150 0.0450 0.7207 EUROSTX 45.9204 4775.0000 0.9617 15.3869 FEEDCOW 1.6605 252.1250 0.6586 10.5378 GASOIL 11.4413 686.0000 1.6678 26.6853 GASOLINE 0.0374 2.0033 1.8665 29.8632 GAS_US_mini 0.1058 3.5050 3.0189 48.3027 GBP 0.0067 1.2602 0.5314 8.5028 GOLD_micro 24.2937 2697.2000 0.9007 14.4112 HEATOIL 0.0399 2.2852 1.7473 27.9563 JGB-SGX-mini 0.2266 142.7900 0.1587 2.5392 JPY 0.0000 0.0065 0.7532 12.0509 LEANHOG 1.0112 84.6500 1.1946 19.1131 LIVECOW 1.0143 187.3500 0.5414 8.6622 LUMBER-new 8.0020 602.0000 1.3292 21.2678 MILK 0.2588 18.5000 1.3992 22.3869 MXP 0.0004 0.0487 0.8497 13.5960 NASDAQ_micro 179.2515 20848.2500 0.8598 13.7567 NIKKEI 425.0519 38225.0000 1.1120 17.7916 NZD 0.0039 0.5868 0.6716 10.7451 OAT 0.4477 124.6900 0.3590 5.7444 OATIES 6.9243 368.2500 1.8803 30.0851 OJ 7.5820 510.0500 1.4865 23.7842 PALLAD 28.8471 1046.0000 2.7578 44.1255 PLAT 15.3470 970.6000 1.5812 25.2989 REDWHEAT 8.7665 566.0000 1.5488 24.7815 RICE 0.1498 15.2400 0.9828 15.7240 ROBUSTA 74.7188 4734.0000 1.5783 25.2535 RUSSELL 28.2687 2377.3000 1.1891 19.0257 SHATZ 0.0804 106.8000 0.0753 1.2047 SILVER-mini 0.5327 31.1250 1.7116 27.3850 SMI 94.6000 11628.0000 0.8136 13.0169 SOFR 0.0568 96.1650 0.0591 0.9457 SOYBEAN 9.3929 1006.2500 0.9335 14.9353 SOYMEAL 3.3805 293.4000 1.1522 18.4351 SOYOIL 0.8553 42.6400 2.0060 32.0954 SP400 29.7743 3301.7000 0.9018 14.4286 SP500_micro 39.3416 5981.2500 0.6577 10.5240 SUGAR11 0.2973 19.9800 1.4878 23.8051 US10 0.3804 109.7031 0.3467 5.5479 US10U 0.5297 112.6875 0.4701 7.5214 US2 0.0928 102.5625 0.0904 1.4471 US20 0.8077 116.3750 0.6940 11.1046 US30 1.2664 122.3750 1.0348 16.5573 US5 0.2322 106.5469 0.2180 3.4876 VIX 0.5383 17.6000 3.0584 48.9347 WHEAT 7.8143 614.7500 1.2711 20.3381 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 651.65 0.68 442.63 1.00 442.63 45088.3 101.86 -3.50 -35.69 BITCOIN 99.42 2.19 217.63 1.00 217.63 45088.3 207.18 7.65 158.43 BOBL 1186.80 0.20 234.72 1.06 248.56 45088.3 181.40 1.12 20.25 BTP 1203.70 0.42 507.64 1.06 537.56 45088.3 83.88 2.73 22.86 BUND 1323.20 0.34 444.79 1.06 471.01 45088.3 95.73 -6.43 -61.56 BUXL 1333.80 0.85 1136.05 1.06 1203.02 45088.3 37.48 -1.16 -4.34 CAC 723.90 0.89 646.47 1.06 684.58 45088.3 65.86 -10.70 -70.46 CAD 716.65 0.40 285.54 1.00 285.54 45088.3 157.90 -10.02 -158.23 CANOLA 121.46 1.76 213.59 0.72 153.05 45088.3 294.60 -9.56 -281.79 CHF 1413.81 0.47 667.74 1.00 667.74 45088.3 67.52 -12.96 -87.48 COCOA 869.50 1.99 1733.35 1.00 1733.35 45088.3 26.01 15.20 39.55 COFFEE 1106.25 1.57 1735.31 1.00 1735.31 45088.3 25.98 7.18 18.65 COPPER 1039.62 1.56 1621.36 1.00 1621.36 45088.3 27.81 -3.16 -8.79 CORN 218.38 0.88 192.51 1.00 192.51 45088.3 234.21 -15.45 -361.74 COTTON2 351.90 1.31 459.78 1.00 459.78 45088.3 98.07 -20.00 -196.13 CRUDE_W 676.70 1.60 1082.65 1.00 1082.65 45088.3 41.65 -1.08 -4.49 DAX 192.22 0.81 156.28 1.06 165.50 45088.3 272.44 4.44 121.00 DOW 220.30 0.73 160.21 1.00 160.21 45088.3 281.42 2.68 75.31 DX 1069.50 0.42 444.81 1.00 444.81 45088.3 101.37 7.65 77.56 EUR 1311.81 0.53 692.58 1.00 692.58 45088.3 65.10 -8.59 -55.95 EURIBOR-ICE 2447.88 0.05 110.25 1.06 116.75 45088.3 386.18 7.53 290.77 EUROSTX 477.50 0.96 459.20 1.06 486.27 45088.3 92.72 -6.75 -62.63 FEEDCOW 1260.62 0.66 830.26 1.00 830.26 45088.3 54.31 8.06 43.79 GASOIL 686.00 1.67 1144.13 1.00 1144.13 45088.3 39.41 -1.47 -5.79 GASOLINE 841.39 1.87 1570.41 1.00 1570.41 45088.3 28.71 0.13 0.36 GAS_US_mini 87.62 3.02 264.53 1.00 264.53 45088.3 170.44 -5.37 -91.61 GBP 787.62 0.53 418.56 1.00 418.56 45088.3 107.72 -6.36 -68.51 GOLD_micro 269.72 0.90 242.94 1.00 242.94 45088.3 185.60 -1.80 -33.44 HEATOIL 959.78 1.75 1677.00 1.00 1677.00 45088.3 26.89 -7.38 -19.84 JGB-SGX-mini 142790.00 0.16 22661.11 0.01 146.52 45088.3 307.72 -5.47 -168.30 JPY 811.25 0.75 611.02 1.00 611.02 45088.3 73.79 -6.44 -47.51 LEANHOG 338.60 1.19 404.48 1.00 404.48 45088.3 111.47 10.26 114.39 LIVECOW 749.40 0.54 405.71 1.00 405.71 45088.3 111.13 2.63 29.17 LUMBER-new 165.55 1.33 220.06 1.00 220.06 45088.3 204.90 6.35 130.01 MILK 370.00 1.40 517.70 1.00 517.70 45088.3 87.09 -4.42 -38.49 MXP 243.55 0.85 206.96 1.00 206.96 45088.3 217.86 -1.15 -25.16 NASDAQ_micro 416.96 0.86 358.50 1.00 358.50 45088.3 125.77 -0.26 -3.21 NIKKEI 38225.00 1.11 42505.19 0.01 273.48 45088.3 164.87 4.59 75.75 NZD 586.85 0.67 394.11 1.00 394.11 45088.3 114.41 -4.95 -56.60 OAT 1246.90 0.36 447.66 1.06 474.05 45088.3 95.11 2.41 22.94 OATIES 184.12 1.88 346.21 1.00 346.21 45088.3 130.23 -3.52 -45.81 OJ 765.08 1.49 1137.29 1.00 1137.29 45088.3 39.65 13.76 54.57 PALLAD 1046.00 2.76 2884.71 1.00 2884.71 45088.3 15.63 -1.01 -1.57 PLAT 485.30 1.58 767.35 1.00 767.35 45088.3 58.76 -2.69 -15.79 REDWHEAT 283.00 1.55 438.32 1.00 438.32 45088.3 102.87 -19.30 -198.51 RICE 304.80 0.98 299.54 1.00 299.54 45088.3 150.52 -8.11 -122.04 ROBUSTA 473.40 1.58 747.19 1.00 747.19 45088.3 60.34 6.21 37.48 RUSSELL 118.86 1.19 141.34 1.00 141.34 45088.3 319.00 3.19 101.69 SHATZ 1068.00 0.08 80.41 1.06 85.15 45088.3 529.50 -3.04 -160.97 SILVER-mini 778.12 1.71 1331.81 1.00 1331.81 45088.3 33.85 -0.88 -2.98 SMI 1162.80 0.81 946.00 1.13 1070.16 45088.3 42.13 -5.14 -21.67 SOFR 2404.13 0.06 142.10 1.00 142.10 45088.3 317.30 -6.85 -217.21 SOYBEAN 503.12 0.93 469.65 1.00 469.65 45088.3 96.00 -17.47 -167.70 SOYMEAL 293.40 1.15 338.05 1.00 338.05 45088.3 133.38 -20.00 -266.75 SOYOIL 255.84 2.01 513.21 1.00 513.21 45088.3 87.86 -2.54 -22.27 SP400 3301.70 0.90 2977.43 1.00 2977.43 45088.3 15.14 3.05 4.62 SP500_micro 299.06 0.66 196.71 1.00 196.71 45088.3 229.21 1.97 45.27 SUGAR11 223.78 1.49 332.94 1.00 332.94 45088.3 135.43 -1.20 -16.25 US10 1097.03 0.35 380.39 1.00 380.39 45088.3 118.53 -7.26 -86.08 US10U 1126.88 0.47 529.73 1.00 529.73 45088.3 85.12 -6.44 -54.81 US2 2051.25 0.09 185.52 1.00 185.52 45088.3 243.04 -10.36 -251.67 US20 1163.75 0.69 807.69 1.00 807.69 45088.3 55.82 -3.24 -18.08 US30 1223.75 1.03 1266.37 1.00 1266.37 45088.3 35.60 -3.51 -12.49 US5 1065.47 0.22 232.25 1.00 232.25 45088.3 194.14 -8.40 -162.99 VIX 176.00 3.06 538.28 1.00 538.28 45088.3 83.76 -14.22 -119.11 WHEAT 307.38 1.27 390.71 1.00 390.71 45088.3 115.40 -17.93 -206.94 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -35.686 0.010 2.5 -0.926 BITCOIN 158.427 0.043 2.5 17.156 BOBL 20.247 0.004 2.5 0.205 BTP 22.864 0.014 2.5 0.780 BUND -61.560 0.004 2.5 -0.624 BUXL -4.341 0.004 2.5 -0.044 CAC -70.458 0.014 2.5 -2.403 CAD -158.230 0.010 2.5 -4.105 CANOLA -281.788 0.010 2.5 -6.855 CHF -87.478 0.010 2.5 -2.270 COCOA 39.547 0.009 2.5 0.847 COFFEE 18.653 0.005 2.5 0.218 COPPER -8.787 0.043 2.5 -0.951 CORN -361.744 0.010 2.5 -8.801 COTTON2 -196.131 0.009 2.5 -4.201 CRUDE_W -4.493 0.043 2.5 -0.486 DAX 121.003 0.014 2.5 4.127 DOW 75.308 0.009 2.5 1.750 DX 77.561 0.010 2.5 2.012 EUR -55.949 0.010 2.5 -1.452 EURIBOR-ICE 290.768 0.014 2.5 9.918 EUROSTX -62.633 0.014 2.5 -2.136 FEEDCOW 43.790 0.013 2.5 1.451 GASOIL -5.795 0.017 2.5 -0.251 GASOLINE 0.362 0.017 2.5 0.016 GAS_US_mini -91.610 0.043 2.5 -9.920 GBP -68.514 0.010 2.5 -1.778 GOLD_micro -33.440 0.014 2.5 -1.141 HEATOIL -19.839 0.017 2.5 -0.860 JGB-SGX-mini -168.302 0.043 2.5 -18.225 JPY -47.506 0.010 2.5 -1.233 LEANHOG 114.393 0.024 2.5 6.952 LIVECOW 29.174 0.013 2.5 0.967 LUMBER-new 130.013 0.009 2.5 2.784 MILK -38.489 0.009 2.5 -0.824 MXP -25.156 0.059 2.5 -3.692 NASDAQ_micro -3.209 0.009 2.5 -0.075 NIKKEI 75.746 0.043 2.5 8.202 NZD -56.602 0.010 2.5 -1.469 OAT 22.935 0.014 2.5 0.782 OATIES -45.812 0.010 2.5 -1.115 OJ 54.568 0.009 2.5 1.169 PALLAD -1.573 0.014 2.5 -0.054 PLAT -15.789 0.014 2.5 -0.539 REDWHEAT -198.509 0.005 2.5 -2.633 RICE -122.036 0.010 2.5 -2.969 ROBUSTA 37.476 0.005 2.5 0.438 RUSSELL 101.687 0.013 2.5 3.370 SHATZ -160.970 0.004 2.5 -1.632 SILVER-mini -2.982 0.014 2.5 -0.102 SMI -21.671 0.014 2.5 -0.739 SOFR -217.211 0.024 2.5 -13.201 SOYBEAN -167.695 0.004 2.5 -1.560 SOYMEAL -266.752 0.004 2.5 -2.481 SOYOIL -22.275 0.004 2.5 -0.207 SP400 4.623 0.013 2.5 0.153 SP500_micro 45.266 0.009 2.5 1.052 SUGAR11 -16.252 0.009 2.5 -0.346 US10 -86.077 0.005 2.5 -1.091 US10U -54.809 0.005 2.5 -0.695 US2 -251.675 0.005 2.5 -3.189 US20 -18.078 0.005 2.5 -0.229 US30 -12.492 0.005 2.5 -0.158 US5 -162.994 0.005 2.5 -2.065 VIX -119.112 0.099 2.5 -29.402 WHEAT -206.944 0.005 2.5 -2.745 ===================== Position diags ===================== AUD 2.64 BITCOIN 22.43 BOBL 1.84 BTP 2.86 BUND 0.97 BUXL 0.38 CAC 2.25 CAD 4.10 CANOLA 7.17 CHF 1.75 COCOA 0.56 COFFEE 0.30 COPPER 3.01 CORN 5.70 COTTON2 2.10 CRUDE_W 4.51 DAX 9.29 DOW 6.54 DX 2.63 EUR 1.69 EURIBOR-ICE 13.17 EUROSTX 3.16 FEEDCOW 1.80 GASOIL 1.71 GASOLINE 1.24 GAS_US_mini 18.46 GBP 2.79 GOLD_micro 6.33 HEATOIL 1.17 JGB-SGX-mini 33.32 JPY 1.91 LEANHOG 6.77 LIVECOW 3.68 LUMBER-new 4.39 MILK 1.87 MXP 31.98 NASDAQ_micro 2.92 NIKKEI 17.85 NZD 2.97 OAT 3.24 OATIES 3.17 OJ 0.85 PALLAD 0.53 PLAT 2.00 REDWHEAT 1.36 RICE 3.66 ROBUSTA 0.70 RUSSELL 10.57 SHATZ 5.37 SILVER-mini 1.15 SMI 1.44 SOFR 19.28 SOYBEAN 0.89 SOYMEAL 1.24 SOYOIL 0.82 SP400 0.50 SP500_micro 5.33 SUGAR11 2.88 US10 1.50 US10U 1.08 US2 3.08 US20 0.71 US30 0.45 US5 2.46 VIX 20.68 WHEAT 1.53 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 17.2 14.9 19.4 0.0 0 BOBL 0.2 0.0 0.4 0.0 0 BTP 0.8 0.5 1.1 0.0 0 BUND -0.6 -0.7 -0.5 -1.0 -1 BUXL -0.0 -0.1 -0.0 0.0 0 CAC -2.4 -2.6 -2.2 0.0 0 CAD -4.1 -4.5 -3.7 -2.0 -2 CANOLA -6.9 -7.6 -6.1 -5.0 -5 CHF -2.3 -2.4 -2.1 -7.0 -7 COCOA 0.8 0.8 0.9 2.0 2 COFFEE 0.2 0.2 0.2 0.0 0 COPPER -1.0 -1.3 -0.7 -2.0 -2 CORN -8.8 -9.4 -8.2 -7.0 -7 COTTON2 -4.2 -4.4 -4.0 -5.0 -5 CRUDE_W -0.5 -0.9 -0.0 -2.0 -2 DAX 4.1 3.2 5.1 0.0 0 DOW 1.8 1.1 2.4 0.0 0 DX 2.0 1.7 2.3 0.0 0 EUR -1.5 -1.6 -1.3 -2.0 -2 EURIBOR-ICE 9.9 8.6 11.2 0.0 0 EUROSTX -2.1 -2.5 -1.8 -4.0 -4 FEEDCOW 1.5 1.3 1.6 1.0 1 GASOIL -0.3 -0.4 -0.1 -1.0 -1 GASOLINE 0.0 -0.1 0.1 0.0 0 GAS_US_mini -9.9 -11.8 -8.1 -16.0 -16 GBP -1.8 -2.1 -1.5 0.0 0 GOLD_micro -1.1 -1.8 -0.5 0.0 0 HEATOIL -0.9 -1.0 -0.7 -1.0 -1 JGB-SGX-mini -18.2 -21.6 -14.9 0.0 0 JPY -1.2 -1.4 -1.0 -3.0 -3 LEANHOG 7.0 6.3 7.6 7.0 7 LIVECOW 1.0 0.6 1.3 0.0 0 LUMBER-new 2.8 2.3 3.2 0.0 0 MILK -0.8 -1.0 -0.6 0.0 0 MXP -3.7 -6.9 -0.5 -4.0 -4 NASDAQ_micro -0.1 -0.4 0.2 1.0 1 NIKKEI 8.2 6.4 10.0 5.0 5 NZD -1.5 -1.8 -1.2 0.0 0 OAT 0.8 0.5 1.1 0.0 0 OATIES -1.1 -1.4 -0.8 NaN 0 OJ 1.2 1.1 1.3 1.0 1 PALLAD -0.1 -0.1 -0.0 0.0 0 PLAT -0.5 -0.7 -0.3 0.0 0 REDWHEAT -2.6 -2.8 -2.5 -1.0 -1 RICE -3.0 -3.3 -2.6 NaN 0 ROBUSTA 0.4 0.4 0.5 0.0 0 RUSSELL 3.4 2.3 4.4 0.0 0 SHATZ -1.6 -2.2 -1.1 NaN 0 SILVER-mini -0.1 -0.2 0.0 0.0 0 SMI -0.7 -0.9 -0.6 0.0 0 SOFR -13.2 -15.1 -11.3 NaN 0 SOYBEAN -1.6 -1.6 -1.5 -2.0 -2 SOYMEAL -2.5 -2.6 -2.4 -2.0 -2 SOYOIL -0.2 -0.3 -0.1 1.0 1 SP400 0.2 0.1 0.2 2.0 2 SP500_micro 1.1 0.5 1.6 1.0 1 SUGAR11 -0.3 -0.6 -0.1 1.0 1 US10 -1.1 -1.2 -0.9 0.0 0 US10U -0.7 -0.8 -0.6 0.0 0 US2 -3.2 -3.5 -2.9 NaN 0 US20 -0.2 -0.3 -0.2 0.0 0 US30 -0.2 -0.2 -0.1 -3.0 -3 US5 -2.1 -2.3 -1.8 -2.0 -2 VIX -29.4 -31.5 -27.3 -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 -0.2 -0.6 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 0.0 -0.0 -0.2 0.0 -0.1 BITCOIN 0.6 0.6 0.2 0.0 0.0 0.0 -0.0 0.0 -0.0 0.2 0.4 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 0.5 0.1 -0.1 -0.0 0.1 BOBL -0.2 -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 0.3 0.1 -0.0 -0.0 0.0 -0.0 -0.0 0.5 -0.0 0.0 0.0 0.0 0.0 -0.0 0.1 0.2 0.2 0.3 0.2 -0.4 -0.5 0.1 -0.0 BTP -0.3 -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 0.5 -0.4 -0.4 0.3 0.3 BUND -0.2 -0.5 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.4 -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 0.3 0.3 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 0.5 0.6 0.6 0.1 -0.7 -0.7 -0.3 -0.3 CAC -0.4 -0.3 -0.2 0.0 -0.0 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 -0.0 -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 -0.0 -0.6 -0.1 -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 0.4 0.2 -0.2 -0.2 -0.1 -0.3 -0.2 -0.2 CANOLA -0.3 0.4 0.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.0 0.0 -0.3 -0.2 -0.3 -0.3 0.0 0.0 -0.1 -0.1 -0.0 -1.7 0.0 -0.1 0.0 -0.0 -0.0 -0.0 -1.1 -0.3 -0.1 0.3 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 -0.1 -0.1 -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 -0.0 -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 0.2 0.4 0.4 0.4 0.2 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 0.6 0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 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 0.6 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 -0.2 -0.1 -0.2 -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 -0.1 -0.5 -0.1 -1.6 -0.1 -0.1 -0.3 -0.1 -0.6 -0.1 -1.1 -0.4 -0.0 -0.3 -0.3 0.3 -0.1 0.5 0.1 COTTON2 -0.4 -0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.5 -0.1 -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 -0.3 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 -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 -0.2 -0.2 -0.3 0.1 -0.1 0.2 -0.0 0.4 DAX -0.6 -0.1 0.1 0.0 -0.0 0.1 -0.0 0.3 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 0.0 -0.5 -0.0 0.1 0.7 0.4 0.4 0.1 DOW 0.0 -0.1 0.3 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.0 0.3 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.3 0.1 -1.4 0.0 0.0 0.1 0.0 0.2 0.0 -0.4 0.3 0.4 0.4 0.6 0.1 0.1 -0.4 -0.3 DX 0.4 0.6 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.2 0.1 0.2 0.2 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 -0.1 0.2 -0.1 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 -0.2 -0.1 -0.2 1.9 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.5 -0.3 -0.2 -0.4 -0.1 -0.0 -0.5 -0.1 -0.6 EURIBOR-ICE -0.1 -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 0.1 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 -0.3 -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 0.2 -0.1 -0.6 -0.5 -0.3 0.2 0.1 -0.5 -0.3 FEEDCOW 0.2 0.6 0.1 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 0.2 -0.0 0.2 -0.4 0.2 0.1 0.2 -0.1 0.3 0.2 0.2 -0.0 0.2 -0.3 0.2 -1.6 0.0 0.1 -0.0 0.2 -0.1 0.1 0.0 0.5 0.6 0.6 -0.3 0.5 0.7 0.7 0.7 GASOIL 0.3 0.2 -0.4 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 -0.3 0.1 -0.2 0.0 -0.1 0.0 0.1 0.0 0.1 -0.0 -0.1 0.1 -0.2 0.0 0.5 -0.0 0.1 -0.1 0.0 -0.2 0.0 0.0 0.1 0.2 -0.1 -0.3 0.0 -0.2 0.1 -0.4 GASOLINE 0.0 0.1 -0.3 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.0 -0.1 -0.0 -0.0 -0.0 0.4 0.2 0.3 -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 -0.1 -0.1 -0.0 0.2 0.1 0.3 0.2 0.6 GAS_US_mini 0.2 -0.0 0.3 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.2 -0.4 0.1 -0.7 -0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.2 -0.4 0.1 2.7 -0.0 0.1 -0.1 0.1 -0.2 0.0 -1.1 0.5 0.2 -0.6 0.1 -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 0.0 -0.2 0.3 -0.2 -0.1 0.0 -0.0 0.0 0.0 -0.2 -0.0 -0.2 0.1 -0.2 -0.2 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.3 -0.1 -0.1 0.1 0.2 -0.6 0.6 -0.5 GOLD_micro -0.6 -0.6 0.1 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.2 -0.0 0.4 -0.0 0.0 -0.2 -0.3 -0.2 -0.3 0.0 0.1 -0.0 0.4 -0.1 -1.3 0.0 0.0 0.1 -0.0 0.2 -0.0 -0.7 -0.1 -0.2 0.1 0.5 0.7 0.1 0.6 0.2 HEATOIL 0.2 0.2 -0.3 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.1 -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 -0.0 0.1 0.0 -0.0 -0.0 0.1 0.1 0.2 JGB-SGX-mini -0.5 -0.6 0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.0 0.4 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 -0.0 0.1 0.2 -0.7 -0.4 -0.7 -0.3 JPY -0.2 -0.6 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.2 -0.3 -0.2 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 0.2 0.0 -0.2 0.1 -0.5 -0.7 -0.4 -0.7 LEANHOG -0.3 0.6 0.6 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.0 0.2 -0.0 0.1 0.2 0.2 -0.4 0.2 0.0 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 -0.1 0.6 0.6 0.6 0.1 -0.2 0.3 0.0 LIVECOW -0.5 0.1 0.3 -0.0 -0.0 -0.2 -0.0 -0.3 -0.0 0.1 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 0.2 0.0 0.3 0.0 0.2 0.3 -0.3 0.5 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 -0.0 0.1 0.2 -0.3 0.2 0.2 -0.5 -0.4 -0.5 -0.4 0.2 0.1 0.1 -0.1 0.2 NaN 0.1 -0.0 0.1 0.0 -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 0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 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 0.0 -0.1 0.1 -0.3 -0.6 -0.6 0.2 -0.2 -0.7 -0.0 -0.7 MXP 0.0 -0.1 -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 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 1.1 0.1 0.2 0.4 -0.5 0.6 0.7 0.7 0.7 NASDAQ_micro -0.0 0.2 0.2 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.0 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 -0.0 0.2 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 -0.1 0.2 -0.0 0.1 0.0 0.1 0.0 0.1 0.0 0.0 -0.1 0.2 -0.0 -1.1 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 1.1 -0.2 -0.0 0.0 -0.5 0.7 0.3 0.7 0.4 NZD -0.3 -0.6 -0.1 -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 0.0 0.1 -0.1 0.1 -0.1 -0.2 -0.0 -0.0 OAT -0.2 -0.4 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 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 0.2 0.5 0.1 -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 -0.0 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 -0.0 -2.7 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.5 -0.2 0.0 0.5 0.7 0.2 0.7 0.5 OJ -0.2 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.2 0.5 0.1 0.7 0.1 0.2 0.4 0.3 0.3 0.3 0.1 0.2 0.2 0.5 0.1 -2.7 0.1 0.2 0.2 0.1 0.5 0.1 1.1 0.5 0.5 0.2 0.6 0.5 0.3 0.7 0.7 PALLAD -0.6 -0.0 0.6 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 0.0 -0.0 -0.1 -0.0 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 0.1 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 -0.0 -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 -0.2 0.2 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 0.0 -0.5 -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 -0.2 -0.6 -0.4 -0.2 -0.7 -0.7 -0.7 -0.7 RICE -0.0 -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 -0.2 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 -0.2 -0.5 -0.3 -0.6 -0.7 -0.6 -0.7 ROBUSTA 0.2 -0.5 -0.0 -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 0.1 0.3 0.0 1.1 0.5 0.6 -0.3 0.5 0.2 0.0 0.3 0.2 RUSSELL 0.3 0.2 0.2 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.0 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 0.1 0.6 0.4 0.4 -0.2 -0.5 -0.7 -0.7 SHATZ -0.2 -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 -0.4 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 -0.1 1.0 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.6 -0.3 -0.6 -0.5 -0.2 -0.2 0.0 -0.7 -0.3 SOFR -0.4 -0.6 -0.3 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -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 -0.2 -0.2 -0.5 -0.4 0.0 -0.3 0.6 0.5 SOYBEAN 0.0 -0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.4 -0.1 -0.5 -0.2 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.5 -0.1 -2.7 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.3 -0.5 -0.2 -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 -0.5 -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 0.2 0.4 0.5 -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 -0.1 -0.1 0.0 -2.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.4 0.2 0.3 0.2 0.1 -0.2 0.4 -0.0 SP400 0.2 0.2 0.2 0.0 -0.0 0.1 -0.0 0.2 0.0 0.0 0.3 0.1 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.3 0.1 -1.4 0.1 0.0 0.1 0.0 0.2 0.0 -0.0 0.2 0.6 0.5 0.5 -0.0 -0.2 -0.6 -0.7 SP500_micro -0.1 0.1 0.3 0.0 -0.0 0.1 -0.0 0.3 0.0 0.0 0.4 0.1 0.6 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.3 0.0 -0.5 0.2 0.3 0.4 0.6 0.2 0.1 -0.4 -0.3 SUGAR11 -0.4 -0.0 0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.0 0.2 -0.1 -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 -0.2 -0.0 -0.1 0.6 -0.7 0.1 -0.7 0.2 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 -0.1 -0.1 -0.4 -0.3 -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 -0.1 -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 -0.1 -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 -0.1 -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 -0.3 -0.2 -0.5 -0.1 -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 -0.1 0.1 -0.2 -0.2 0.0 -0.3 0.7 0.6 US30 -0.0 -0.6 -0.2 -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 -0.4 -0.6 -0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -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 -0.2 -0.2 -0.5 -0.3 -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 0.2 -0.4 -0.2 -0.7 -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 -0.4 -0.2 0.2 -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 -0.0 -0.2 -0.1 -1.1 -0.4 -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 -6.9 -19.1 -1.7 -3.7 -2.3 -1.7 -3.9 -0.3 -4.7 -2.9 -4.1 -8.2 -0.5 -12.6 -10.2 -0.3 -1.6 -0.5 -0.9 -10.2 -4.5 -7.4 -1.2 -11.9 2.7 -3.8 -0.3 -1.6 -2.5 -0.2 -4.3 -0.0 3.1 3.6 2.9 1.1 -0.1 -6.3 1.0 -3.3 BITCOIN 20.0 20.0 5.1 0.2 2.9 1.2 -2.3 0.1 -3.2 20.0 13.1 20.0 14.6 20.0 20.0 -7.1 -6.8 -6.7 -6.6 20.0 20.0 20.0 15.4 20.0 -20.0 7.4 8.3 4.1 10.4 3.5 10.4 -2.4 20.0 20.0 20.0 16.6 2.2 -2.2 -1.3 1.5 BOBL -7.1 -15.3 4.8 -2.7 -0.5 -0.7 -1.5 0.2 -2.9 5.3 2.0 -0.5 -2.0 -6.9 -5.0 19.1 -2.9 12.6 3.9 -4.1 -0.4 0.4 -0.2 -3.9 3.8 -1.7 1.5 0.3 0.3 0.8 -1.7 1.8 9.6 6.3 10.3 4.7 -11.6 -14.8 4.1 -0.4 BTP -8.8 -10.2 2.5 -4.3 -0.7 -1.2 -2.4 0.4 -4.7 12.8 10.0 1.7 15.6 -5.8 0.5 7.6 5.3 6.8 5.6 1.1 7.3 3.8 11.0 -0.7 -20.0 1.4 3.2 5.2 2.5 7.3 0.1 11.5 20.0 13.3 20.0 14.8 -12.1 -12.8 9.3 10.3 BUND -7.3 -16.3 0.8 -3.2 -0.6 -0.9 -1.8 0.3 -3.5 5.0 1.0 -3.1 0.3 -10.3 -8.4 -20.0 -8.0 -18.6 -13.4 -6.7 -1.9 -0.5 -0.3 -6.1 1.1 -2.8 1.5 -0.4 -0.0 1.0 -2.6 -15.4 12.5 7.9 12.6 2.1 -20.0 -19.3 0.4 -1.1 BUXL 3.2 -9.1 0.4 -3.5 -0.6 -1.0 -1.9 0.3 -3.8 6.8 0.0 10.2 -0.1 -5.7 -5.7 0.3 -1.3 -0.0 -0.7 -3.1 -1.8 3.7 -2.0 -0.2 -2.3 -1.6 2.4 -0.3 2.7 0.8 0.2 0.5 19.0 20.0 20.0 2.2 -20.0 -20.0 -7.6 -7.6 CAC -13.9 -7.9 -6.6 2.6 -0.0 4.7 -0.8 7.2 0.9 -13.0 -12.0 -15.3 -3.0 -16.2 -10.8 -4.5 -3.4 -5.1 -4.5 -13.4 -10.2 -15.3 -4.9 -16.5 -6.0 -5.5 -4.2 -3.8 -6.5 -1.2 -7.0 4.3 -14.7 -20.0 -20.0 -15.3 4.1 6.3 -5.6 -2.9 CAD -1.0 -20.0 -2.6 -5.7 -3.5 -2.5 -5.9 -0.4 -7.3 4.1 -15.8 -7.0 -17.1 -18.5 -19.0 -6.1 -4.3 -5.7 -5.1 -20.0 -15.1 -8.6 -10.4 -19.4 0.3 -6.8 1.0 -4.6 -2.7 -2.9 -6.3 -5.8 15.6 5.6 -7.1 -5.2 -3.6 -7.6 -7.2 -6.2 CANOLA -10.0 12.2 10.5 -0.8 -0.8 -1.8 -1.1 -2.7 -1.0 -7.1 0.3 -5.6 -5.4 -0.4 3.1 -15.5 -12.4 -15.2 -14.3 1.2 0.0 -9.2 -3.2 -2.3 -13.0 1.6 -5.9 1.0 -3.0 -1.1 -0.1 -20.0 -14.3 -2.3 9.1 7.9 -7.0 -12.4 -0.2 -6.8 CHF -15.7 -20.0 -0.8 -3.5 -2.2 -1.6 -3.7 -0.3 -4.5 -6.3 -2.1 -9.8 -3.8 -12.8 -9.7 -15.1 -16.1 -15.3 -15.5 -15.1 -5.8 -14.3 -1.4 -19.2 4.0 -4.0 -2.0 -1.3 -3.8 -0.0 -5.1 -20.0 -0.3 -7.3 -7.8 3.2 -10.8 -11.3 -20.0 -13.2 COCOA 20.0 15.9 5.5 -0.8 -0.8 -1.8 -1.1 -2.9 -1.1 7.6 3.2 8.4 5.1 8.3 7.7 11.7 20.0 20.0 20.0 14.4 10.6 20.0 12.4 20.0 -20.0 2.8 3.0 2.5 4.0 3.7 3.8 20.0 20.0 20.0 20.0 18.5 20.0 20.0 20.0 20.0 COFFEE 20.0 1.8 3.3 -2.0 -2.0 -4.5 -2.8 -7.0 -2.6 18.8 17.1 20.0 18.5 15.4 13.9 1.1 4.7 2.0 3.2 20.0 19.8 20.0 20.0 20.0 -20.0 5.9 12.9 4.9 13.3 5.8 9.7 4.4 20.0 20.0 18.6 20.0 -11.2 -7.9 -2.4 0.2 COPPER -15.4 -10.1 -3.6 0.1 1.1 0.5 -0.9 0.0 -1.2 -4.9 -4.2 -6.4 -0.8 -7.0 -2.6 -4.3 -3.4 -4.0 -3.4 -4.3 -1.3 -7.0 1.1 -7.5 -10.5 -1.0 -1.3 0.4 -2.6 1.3 -2.6 3.4 -9.6 -2.0 -4.9 -2.0 14.5 11.4 10.7 19.9 CORN 2.4 2.5 -2.7 -2.3 -2.3 -5.1 -3.2 -8.0 -2.9 -16.2 -18.3 -12.8 -20.0 -13.6 -3.2 -8.0 -13.9 -11.3 -13.7 -9.2 -20.0 -8.3 -20.0 -6.8 -12.0 -6.6 -8.2 -11.3 -6.1 -16.7 -5.1 -20.0 -15.1 -0.1 -10.8 -9.2 9.7 -2.1 15.6 2.2 COTTON2 -11.5 -4.2 7.0 -1.9 -1.9 -4.2 -2.6 -6.5 -2.4 -7.1 -16.8 -12.0 -17.1 -14.9 -7.7 -15.4 -7.3 -14.2 -11.3 -10.3 -11.1 -13.3 -16.2 -14.8 -20.0 -5.0 -1.1 -3.7 -6.8 -3.3 -7.4 -18.4 -20.0 -20.0 -18.4 -0.2 -18.2 -15.3 -13.4 -10.7 CRUDE_W 0.9 0.3 -10.7 -1.1 6.6 -3.2 3.1 -2.8 0.8 8.7 -8.8 -0.6 -4.5 -6.7 -6.0 3.8 10.1 5.9 8.2 -5.8 -7.8 0.9 -4.7 -2.9 -1.3 -2.8 5.0 -4.2 0.7 -3.0 -1.8 8.5 -7.8 -5.2 -7.9 2.1 -2.2 7.4 -1.2 12.1 DAX -17.7 -1.8 3.7 2.5 -0.0 4.5 -0.8 7.0 0.9 -6.9 11.2 -9.9 14.5 -7.5 10.3 -8.0 -9.8 -8.4 -8.8 2.6 7.5 -5.7 10.8 -3.8 7.4 1.0 -1.1 4.2 -3.4 7.3 -2.5 -5.0 1.8 -16.8 -0.5 4.3 20.0 10.6 10.8 3.1 DOW 1.5 -1.8 8.5 1.9 -0.0 3.5 -0.6 5.4 0.7 -0.2 11.2 6.3 12.6 6.8 10.7 -9.6 -10.6 -9.8 -10.0 11.5 12.2 6.5 12.3 9.6 -10.8 4.2 2.2 4.7 2.5 5.1 3.5 -6.7 11.7 13.7 12.8 19.2 2.6 3.2 -13.3 -8.5 DX 11.7 20.0 4.7 -3.5 -2.2 -1.6 -3.7 -0.3 -4.5 12.2 6.8 13.2 6.6 14.1 12.5 5.8 6.6 6.0 6.3 18.8 9.0 20.0 3.3 20.0 -20.0 4.3 3.0 2.0 4.3 0.7 5.2 13.3 20.0 20.0 20.0 10.7 -1.7 5.9 -1.6 8.5 EUR -10.3 -20.0 -6.4 -3.3 -2.1 -1.5 -3.5 -0.3 -4.3 -11.3 -7.2 -12.0 -5.2 -12.8 -11.8 -6.2 -7.0 -6.6 -6.7 -15.1 -7.7 -18.0 -2.9 -19.3 14.5 -4.1 -3.8 -1.9 -4.6 -0.4 -5.1 -9.5 -11.3 -6.2 -11.8 -4.1 -1.0 -14.3 -3.7 -17.4 EURIBOR-ICE -4.1 -8.4 10.2 -2.2 -0.4 -0.6 -1.2 0.2 -2.4 -1.1 6.1 5.0 6.0 -0.4 2.7 5.7 -0.1 4.6 2.5 2.7 5.8 1.2 6.0 1.3 10.8 1.5 -0.5 3.2 0.6 3.4 0.6 4.3 7.5 9.8 15.0 11.9 -4.9 -15.6 10.2 5.9 EUROSTX -15.5 -7.9 -6.5 2.3 -0.0 4.2 -0.7 6.5 0.8 -8.2 -1.0 -12.2 9.0 -12.7 -2.0 -3.8 -3.3 -4.0 -4.0 -7.9 -2.9 -10.5 3.5 -11.6 -2.5 -4.1 -2.6 -1.3 -5.1 2.6 -5.8 4.7 -3.4 -20.0 -15.7 -10.4 4.9 3.4 -16.0 -9.2 FEEDCOW 7.5 20.0 1.6 -2.3 -2.3 -5.0 -3.1 -7.8 -2.9 20.0 -1.6 19.5 -11.8 18.7 11.4 11.3 -4.4 14.2 8.3 15.0 -1.0 20.0 -10.6 20.0 -11.9 4.3 15.8 -0.4 13.9 -2.6 8.7 0.5 20.0 20.0 20.0 -10.7 15.6 20.0 20.0 20.0 GASOIL 9.3 5.9 -11.9 -1.0 5.9 -2.9 2.8 -2.5 0.7 12.9 -11.5 5.3 -6.7 0.7 -5.7 1.8 6.6 1.6 2.5 -3.5 -8.8 6.0 -7.0 2.0 4.0 -2.0 5.9 -5.1 3.3 -4.3 1.1 0.1 2.6 4.7 -2.4 -8.5 0.4 -7.5 2.8 -12.0 GASOLINE 1.3 2.7 -8.6 -0.9 5.6 -2.7 2.6 -2.4 0.7 10.9 -7.5 3.4 -2.2 -4.3 -2.1 -0.6 20.0 8.3 17.4 -2.4 -4.2 3.2 -2.0 -0.2 -20.0 -0.0 4.4 -0.8 1.9 -0.1 0.3 20.0 -3.0 -1.9 -1.4 6.3 2.7 9.9 7.4 17.5 GAS_US_mini 6.5 -0.9 10.4 -1.1 6.8 -3.3 3.2 -2.9 0.8 17.6 -16.0 12.2 -18.8 -3.1 -8.0 -20.0 -20.0 -20.0 -20.0 -4.4 -9.4 20.0 -16.5 5.3 20.0 -2.5 16.6 -4.4 10.1 -6.2 2.4 -20.0 20.0 6.7 -19.2 2.5 -13.7 -19.9 -10.0 -16.6 GBP -16.7 -20.0 -2.2 -4.5 -2.8 -2.0 -4.7 -0.3 -5.7 -14.9 1.3 -15.8 7.3 -17.2 -11.7 0.6 -0.2 0.4 0.2 -14.0 -2.3 -20.0 4.7 -20.0 -1.5 -4.4 -5.4 -0.3 -7.0 2.3 -7.1 2.2 -13.0 -4.3 -4.3 3.7 5.5 -16.8 17.0 -16.3 GOLD_micro -20.0 -19.1 3.7 0.1 1.4 0.6 -1.1 0.1 -1.6 5.1 7.9 -4.5 10.6 -4.4 4.3 -11.0 -13.3 -12.4 -12.6 2.5 10.2 -2.4 13.1 -5.3 -9.7 1.1 2.6 3.3 -1.0 4.2 -1.5 -13.0 -2.5 -6.6 3.7 14.0 20.0 2.1 19.5 7.4 HEATOIL 5.2 5.2 -8.6 -0.9 5.8 -2.8 2.7 -2.4 0.7 10.3 -11.3 3.7 -9.4 -5.7 -6.3 -2.0 2.4 -3.3 -2.7 -3.5 -8.0 3.3 -7.7 0.3 -18.9 -0.7 4.6 -3.2 1.9 -3.4 0.6 -8.3 -1.6 1.6 0.1 -0.3 -0.6 3.2 2.1 4.8 JGB-SGX-mini -15.0 -17.6 3.4 -2.3 -0.1 -0.6 -1.3 0.2 -2.7 -6.5 1.9 -8.5 2.2 -9.2 -1.5 18.6 16.4 15.4 15.2 -6.2 -0.8 -12.9 1.1 -11.6 -10.8 -2.3 -3.5 -0.5 -4.7 -0.2 -4.2 20.0 -20.0 -0.1 3.4 5.7 -20.0 -12.2 -20.0 -7.8 JPY -5.1 -20.0 1.3 -2.1 -1.3 -1.0 -2.2 -0.2 -2.8 -2.1 -2.8 -4.5 -4.4 -7.8 -6.6 -10.4 -13.7 -10.9 -11.9 -9.2 -5.3 -5.0 -4.9 -9.1 20.0 -2.3 -0.3 -1.2 -1.4 -1.3 -2.4 -19.8 7.0 1.1 -5.2 2.9 -15.4 -19.9 -12.0 -20.0 LEANHOG -8.1 17.5 20.0 -2.5 -2.5 -5.5 -3.4 -8.5 -3.1 -1.8 7.6 -4.4 2.3 16.1 20.0 -20.0 12.0 2.0 18.0 20.0 19.2 -0.3 2.5 12.2 0.4 7.4 1.2 5.9 -0.6 1.7 3.5 20.0 -3.1 18.1 20.0 20.0 3.5 -5.0 8.2 1.0 LIVECOW -14.7 3.7 9.7 -2.5 -2.6 -5.6 -3.5 -8.7 -3.2 14.9 20.0 -6.0 17.0 -1.5 17.0 -13.5 4.9 -5.0 1.5 11.5 17.7 7.2 18.0 3.6 -20.0 3.3 7.7 5.7 3.7 7.3 0.9 4.3 12.6 -9.6 16.6 4.4 -6.4 20.0 1.0 20.0 LUMBER-new 18.1 20.0 14.3 -1.9 -1.9 -4.2 -2.6 -6.3 -2.4 -0.3 2.1 13.6 -6.1 16.6 18.3 -20.0 -18.7 -19.8 -19.1 20.0 10.2 13.3 -3.0 20.0 NaN 6.4 -0.8 3.2 3.8 -0.2 6.8 -20.0 20.0 20.0 20.0 20.0 9.7 3.1 17.6 9.4 MILK -20.0 -20.0 4.3 -1.4 -1.4 -3.1 -2.0 -4.9 -1.8 -9.8 7.1 -11.1 7.6 -13.3 -6.3 1.5 -2.6 12.4 8.7 -11.3 1.8 -14.0 6.6 -17.0 14.9 -3.5 -4.4 0.1 -4.1 1.3 -5.0 2.1 -12.2 -20.0 -20.0 4.8 -6.4 -20.0 -0.7 -20.0 MXP 0.8 -1.9 -16.1 -3.4 -2.1 -1.5 -3.5 -0.3 -4.3 -3.1 -12.5 -4.3 -10.1 -8.5 -11.1 11.8 13.3 11.6 11.8 -10.6 -13.5 -3.9 -10.2 -7.2 -20.0 -4.6 -2.0 -5.8 -1.7 -4.2 -3.2 20.0 4.7 7.6 11.6 -14.8 17.6 20.0 20.0 20.0 NASDAQ_micro -0.8 7.6 6.3 2.0 -0.0 3.7 -0.6 5.7 0.7 -1.8 9.8 3.9 11.2 6.2 10.8 -9.6 -9.7 -9.1 -9.2 10.2 11.0 1.6 13.7 7.2 -20.0 3.9 -0.1 4.8 0.3 6.7 2.4 -5.2 -1.0 7.6 8.9 9.3 7.9 3.8 -6.2 -5.7 NIKKEI -3.2 5.2 4.8 1.7 -0.0 3.1 -0.5 4.8 0.6 -10.0 4.6 -4.9 5.5 -1.2 8.0 1.0 6.6 2.2 4.1 1.8 2.9 -5.8 5.9 -1.5 -7.9 -0.6 -3.4 -0.9 -2.9 2.0 -1.1 20.0 -9.1 -1.5 1.5 -16.1 20.0 9.2 20.0 11.1 NZD -8.1 -20.0 -2.0 -3.4 -2.1 -1.5 -3.6 -0.3 -4.4 -8.1 -6.1 -9.4 -2.0 -12.7 -9.8 -1.1 -0.2 -0.8 -0.5 -11.8 -6.0 -10.1 -2.2 -13.5 1.2 -3.8 -2.2 -1.8 -3.3 -0.5 -4.4 1.7 1.2 1.6 -1.9 2.5 -1.7 -6.8 -1.1 -1.4 OAT -6.6 -12.3 1.4 -3.1 -0.5 -0.9 -1.7 0.3 -3.4 -1.0 -0.9 -3.7 -2.1 -8.9 -7.7 8.5 5.4 7.3 5.8 -6.0 -3.2 -1.8 -2.4 -5.3 3.8 -2.7 -1.3 -1.0 -0.8 -0.0 -2.5 11.7 9.7 7.2 14.8 1.7 -5.3 -14.9 13.2 5.2 OATIES -20.0 -3.1 20.0 -1.3 -1.3 -2.9 -1.8 -4.5 -1.6 -1.5 1.5 -7.3 -7.7 -5.6 6.8 -8.7 1.2 -2.0 0.6 2.2 4.2 -5.7 -0.4 -4.6 -20.0 0.3 -0.8 1.5 -3.0 0.2 -2.5 -0.5 -20.0 -7.1 0.7 16.2 20.0 4.7 20.0 14.3 OJ -5.8 -3.5 1.0 -2.0 -2.0 -4.5 -2.8 -6.9 -2.6 17.8 18.7 12.6 19.8 10.4 15.3 20.0 13.4 16.3 13.8 12.7 20.0 20.0 20.0 12.7 -20.0 5.2 20.0 8.4 11.8 14.9 5.9 20.0 20.0 16.5 7.5 20.0 15.2 10.5 20.0 20.0 PALLAD -20.0 -0.6 17.5 0.1 1.0 0.4 -0.8 0.0 -1.1 6.6 1.2 -3.9 -2.9 -4.5 0.2 -2.2 -2.1 -2.1 -2.0 -0.6 1.1 -0.6 -1.5 -3.3 12.8 0.4 2.2 0.9 0.1 -0.2 -0.7 5.6 4.9 1.7 0.6 2.5 -12.0 -20.0 -20.0 -20.0 PLAT -17.5 -1.3 1.1 0.1 1.7 0.7 -1.3 0.1 -1.9 3.9 -4.5 -7.9 -2.4 -7.7 -1.7 -4.0 -4.4 -4.2 -4.4 -3.2 -0.5 -4.9 -0.1 -6.8 5.0 -1.3 0.7 -0.2 -2.2 -0.2 -3.2 1.6 -3.1 -3.8 -2.3 -7.2 6.5 -8.2 -1.1 -1.6 REDWHEAT -12.1 -4.7 6.6 -2.0 -2.1 -4.5 -2.8 -7.0 -2.6 4.9 -16.7 -6.6 -18.3 -14.8 -9.3 -9.8 -7.7 -10.3 -9.7 -13.0 -12.8 -7.8 -18.6 -14.6 -4.3 -5.7 0.9 -5.1 -3.4 -6.2 -6.4 -17.6 -9.3 -20.0 -11.5 -6.5 -20.0 -20.0 -20.0 -20.0 RICE -0.7 -9.7 -8.6 -1.9 -1.9 -4.2 -2.6 -6.5 -2.4 14.1 4.7 12.0 8.3 -3.0 -6.7 -12.1 18.5 -7.0 7.2 -6.9 -4.8 9.2 2.3 -0.7 -13.9 -4.0 4.3 -2.9 3.9 -0.3 -1.1 20.0 20.0 -6.6 -16.5 -9.1 -17.4 -20.0 -17.8 -20.0 ROBUSTA 5.6 -15.6 -1.2 -1.1 -1.2 -2.5 -1.6 -3.9 -1.5 10.1 7.1 10.0 9.9 -2.2 2.2 5.7 20.0 16.9 20.0 4.6 12.3 13.6 20.0 6.9 -20.0 1.5 4.3 4.4 4.7 8.8 2.5 20.0 20.0 17.2 -9.4 16.2 4.7 0.6 9.8 7.0 RUSSELL 8.2 5.1 6.5 1.8 -0.0 3.3 -0.5 5.1 0.6 -3.1 8.2 2.7 10.0 4.1 7.7 -6.2 -6.4 -6.2 -6.2 9.5 8.4 4.8 7.2 8.7 0.3 3.9 1.7 3.8 2.1 3.6 3.5 0.3 4.4 20.0 13.0 12.0 -5.6 -13.5 -20.0 -20.0 SHATZ -6.0 -10.1 14.8 -2.1 -0.4 -0.6 -1.2 0.2 -2.3 1.8 4.3 1.7 -0.1 -3.2 0.0 -20.0 -20.0 -20.0 -20.0 0.5 3.2 0.9 0.9 -0.6 5.9 0.4 0.8 2.0 0.4 1.3 -0.3 -20.0 6.6 6.5 11.5 9.8 -9.0 -14.9 0.9 -5.6 SILVER-mini -20.0 -2.9 3.2 0.1 1.4 0.6 -1.1 0.1 -1.5 -0.5 4.4 -8.4 6.8 -7.8 2.1 -6.0 -6.4 -6.1 -6.1 0.1 4.9 -6.2 6.8 -6.0 0.7 0.6 -0.6 2.1 -2.1 2.7 -1.7 -1.6 -2.0 -7.2 2.3 2.6 6.3 -1.8 -3.0 8.7 SMI -20.0 -13.7 -11.6 1.8 -0.0 3.3 -0.6 5.1 0.7 -7.8 2.1 -11.2 8.3 -11.1 -6.2 0.6 0.3 0.2 -0.3 -9.1 -2.1 -13.5 4.2 -13.8 7.2 -3.0 -2.5 0.3 -4.8 3.1 -5.0 10.9 -12.0 -20.0 -16.2 -5.1 -6.6 1.5 -20.0 -8.1 SOFR -12.0 -20.0 -7.9 -3.3 -0.6 -0.9 -1.8 0.3 -3.6 -6.2 -1.0 -10.6 3.5 -13.7 -12.5 -0.1 0.1 0.8 0.6 -19.3 -8.1 -10.0 -0.3 -19.3 -5.8 -4.3 -0.8 -2.1 -2.1 -0.1 -4.1 3.0 -7.3 -6.0 -16.4 -11.7 0.8 -9.7 18.1 15.4 SOYBEAN 1.5 -5.2 -9.4 -1.7 -1.7 -3.7 -2.3 -5.7 -2.1 -14.9 -14.6 -13.6 -15.2 -14.7 -11.4 -0.3 0.6 -2.1 -2.4 -13.7 -19.9 -14.1 -20.0 -12.2 -20.0 -5.6 -7.8 -7.3 -6.2 -8.2 -5.2 -4.8 -20.0 -7.3 -19.1 -17.0 2.3 -8.1 7.9 -3.2 SOYMEAL -14.2 -20.0 -8.2 -1.8 -1.8 -4.0 -2.5 -6.2 -2.3 -14.8 -16.8 -16.9 -17.1 -18.8 -17.2 -8.6 0.7 -5.4 -3.0 -20.0 -20.0 -16.6 -20.0 -20.0 -20.0 -6.3 -3.4 -5.1 -5.4 -4.3 -6.8 -4.6 -15.9 -20.0 -20.0 -12.7 -20.0 -20.0 -20.0 -20.0 SOYOIL 5.1 13.6 16.1 -0.8 -0.8 -1.8 -1.1 -2.8 -1.0 -7.4 0.1 -4.3 -6.0 -0.0 2.9 -2.3 0.5 -1.0 -0.3 3.5 1.2 -7.3 -2.9 0.5 -16.3 1.7 -5.0 0.8 -2.4 -0.7 0.5 -2.7 -17.6 5.8 8.0 5.5 3.8 -6.0 13.0 -0.6 SP400 4.7 5.4 6.8 2.2 -0.0 3.9 -0.7 6.1 0.8 0.2 10.8 5.4 13.3 6.3 10.9 -7.2 -6.5 -7.2 -6.8 11.9 10.8 7.3 10.3 10.8 -10.2 4.7 3.2 4.7 2.9 4.8 4.1 -0.3 8.7 20.0 15.6 16.5 -0.0 -6.8 -16.7 -20.0 SP500_micro -3.7 3.7 9.9 2.5 -0.0 4.5 -0.8 7.0 0.9 1.0 16.0 8.6 16.9 9.8 15.4 -11.2 -11.7 -11.1 -11.2 16.0 18.8 6.4 20.0 11.8 -20.0 5.3 2.0 6.8 2.0 8.9 3.7 -8.7 9.0 8.8 13.4 18.2 6.4 3.7 -11.9 -8.2 SUGAR11 -11.6 -1.5 20.0 -1.7 -1.7 -3.7 -2.3 -5.7 -2.1 -3.5 7.5 -5.5 -5.5 -7.0 8.3 20.0 20.0 20.0 20.0 5.7 7.7 -3.5 2.0 -1.5 -20.0 2.2 -2.9 2.9 -1.3 0.6 -0.6 20.0 -6.3 -0.8 -3.8 20.0 -20.0 3.6 -20.0 7.4 US10 -9.0 -20.0 -7.1 -2.3 -0.4 -0.6 -1.3 0.2 -2.6 -4.8 -2.4 -7.7 0.4 -9.8 -9.0 -3.3 -6.6 -4.8 -5.7 -13.4 -6.5 -6.3 -2.3 -12.9 1.5 -3.1 -0.4 -1.5 -1.3 -0.3 -2.8 -8.2 -4.6 -3.2 -11.7 -7.9 -3.1 -20.0 11.7 8.8 US10U -6.0 -20.0 -6.0 -3.1 -0.5 -0.9 -1.7 0.3 -3.4 -6.6 -3.5 -9.5 0.2 -12.8 -11.9 -3.9 -3.6 -4.3 -4.2 -15.8 -7.9 -7.8 -3.2 -15.2 -1.4 -4.1 -0.7 -2.2 -1.9 -0.5 -3.7 -4.3 -5.5 -1.6 -12.3 -10.5 -1.2 -15.0 20.0 17.1 US2 -19.4 -20.0 -3.3 -2.5 -0.4 -0.7 -1.4 0.2 -2.7 -8.7 -2.6 -9.7 -1.6 -10.9 -9.7 -16.4 -20.0 -20.0 -20.0 -17.3 -7.6 -11.4 -3.9 -18.4 15.1 -3.1 -1.4 -1.2 -2.1 -0.2 -3.3 -20.0 -11.3 -7.7 -15.9 -2.1 -5.2 -17.6 3.3 -8.0 US20 -1.8 -20.0 -6.7 -2.2 -0.4 -0.6 -1.2 0.2 -2.4 -5.4 -2.4 -6.6 1.7 -8.9 -8.3 -1.6 -1.3 -1.8 -1.6 -9.8 -5.0 -4.9 -1.8 -9.2 -2.7 -2.8 -0.6 -1.5 -1.3 -0.2 -2.5 0.3 -2.8 1.7 -6.5 -7.3 0.6 -9.0 20.0 19.1 US30 -0.7 -20.0 -5.0 -2.3 -0.4 -0.6 -1.3 0.2 -2.5 -6.8 -3.6 -7.7 0.2 -9.5 -8.9 -0.7 -4.2 -2.2 -3.3 -9.1 -5.0 -5.6 -2.6 -8.9 -1.9 -3.1 -0.9 -1.7 -1.7 -0.4 -2.8 -4.1 -4.2 3.6 -3.6 -7.2 -0.1 -8.0 20.0 19.1 US5 -13.5 -20.0 -6.8 -2.7 -0.5 -0.8 -1.5 0.2 -3.0 -5.7 -2.9 -9.1 -1.1 -11.5 -10.5 -6.1 -9.8 -7.7 -8.9 -17.5 -8.3 -8.9 -3.0 -17.2 6.2 -3.5 -0.7 -1.7 -1.7 -0.3 -3.3 -13.7 -7.7 -5.6 -15.7 -7.9 -1.0 -17.3 12.7 4.9 VIX -13.0 -6.7 -2.0 -2.2 1.4 -0.5 -1.8 -2.4 -3.7 12.9 -10.3 -9.9 -11.4 -11.4 -12.8 -17.6 -20.0 -13.2 -17.5 -6.4 -3.2 -4.8 -7.6 -9.4 NaN -2.6 1.6 -0.7 -2.1 -2.9 -4.3 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -10.8 -5.1 4.7 -2.1 -2.2 -4.8 -3.0 -7.4 -2.7 1.0 -15.2 -5.6 -16.7 -15.3 -5.3 -13.4 -14.3 -13.4 -14.0 -12.7 -12.5 -9.9 -18.7 -15.8 4.8 -5.9 1.2 -5.0 -4.6 -5.7 -7.2 -20.0 -16.2 -18.9 -15.8 -5.1 -20.0 -18.5 -20.0 -16.2 End of report for caleb_strategy_v3