******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241220_204438 produced at 2024-12-20 21:41:12.538159 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.42 0.0 0.00 0.00 0.00 0.00 -17.26 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.47 -0.91 0.0 0.50 -0.50 -0.47 -0.47 -29.14 16.0 -15 -15 caleb_strategy_v3 US2 False True 0.07 0.00 -0.21 0.0 0.00 0.00 0.00 0.00 -3.01 13.0 0 0 caleb_strategy_v3 CAD False False 0.02 -0.07 -0.16 0.0 0.70 -0.70 -0.07 -0.05 -6.71 29.0 -3 -2 caleb_strategy_v3 CHF False False 0.05 -0.49 -0.11 0.0 0.63 -0.63 -0.49 -0.49 -2.32 13.0 -10 -10 caleb_strategy_v3 COPPER False False 0.04 -0.11 -0.10 0.0 999.00 -999.00 -0.11 -0.14 -2.76 999999999.0 -3 -4 caleb_strategy_v3 VIX False False 0.01 -0.17 -0.09 0.0 999.00 -999.00 -0.17 -0.11 -13.56 999999999.0 -26 -17 caleb_strategy_v3 US5 False False 0.04 -0.07 -0.07 0.0 0.91 -0.91 -0.07 -0.07 -1.99 25.0 -2 -2 caleb_strategy_v3 COTTON2 False False 0.01 -0.07 -0.06 0.0 0.13 -0.13 -0.07 -0.07 -4.94 11.0 -6 -6 caleb_strategy_v3 AUD False False 0.02 -0.09 -0.05 0.0 0.41 -0.41 -0.09 -0.06 -2.38 19.0 -4 -3 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.05 0.0 0.09 -0.09 -0.05 -0.05 -6.31 12.0 -7 -7 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.05 0.0 0.41 -0.41 -0.02 -0.02 -2.73 21.0 -1 -1 caleb_strategy_v3 RICE False True 0.01 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -5.48 4.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.09 -0.05 0.0 0.63 -0.63 -0.09 -0.05 -1.07 14.0 -2 -1 caleb_strategy_v3 HEATOIL False False 0.03 -0.10 -0.04 0.0 0.10 -0.10 -0.10 -0.10 -1.14 3.0 -3 -3 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.02 24.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.04 0.0 0.64 -0.64 0.00 0.00 -1.13 17.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.04 0.0 0.47 -0.47 -0.03 -0.06 -1.26 17.0 -1 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.04 0.0 0.09 -0.09 -0.03 -0.02 -3.52 9.0 -3 -2 caleb_strategy_v3 CAC True False 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.56 12.0 0 0 caleb_strategy_v3 DOW False False 0.01 -0.04 -0.03 0.0 0.49 -0.49 -0.04 -0.03 -4.41 66.0 -5 -4 caleb_strategy_v3 REDWHEAT False False 0.01 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -3.15 8.0 -4 -4 caleb_strategy_v3 SMI False True 0.04 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.67 9.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.03 0.0 0.15 -0.15 -0.02 -0.02 -9.02 51.0 -6 -8 caleb_strategy_v3 SP400 False False 0.11 0.00 -0.03 0.0 0.22 -0.22 0.00 0.00 -0.32 2.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.00 -0.03 0.0 0.11 -0.11 0.00 0.00 -1.22 5.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.04 -0.03 0.0 0.50 -0.50 -0.04 -0.04 -0.86 13.0 -1 -1 caleb_strategy_v3 GBP False False 0.03 0.00 -0.02 0.0 0.60 -0.60 0.00 0.00 -0.88 22.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.02 0.0 999.00 -999.00 0.00 -0.03 -0.78 999999999.0 0 -1 caleb_strategy_v3 SUGAR11 False False 0.01 -0.02 -0.02 0.0 0.13 -0.13 -0.02 -0.02 -2.91 18.0 -3 -3 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.02 0.0 0.09 -0.09 -0.01 0.00 -1.88 9.0 -1 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.02 0.0 0.12 -0.12 -0.05 -0.05 -1.42 7.0 -3 -3 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.02 0.0 0.27 -0.27 0.00 -0.01 -4.33 68.0 1 -3 caleb_strategy_v3 SP500_micro False False 0.01 -0.05 -0.02 0.0 0.50 -0.50 -0.05 -0.02 -1.89 48.0 -5 -2 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.02 0.0 0.16 -0.16 -0.02 -0.03 -1.22 10.0 -1 -2 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -0.73 10.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.48 -0.48 0.00 0.00 -0.17 10.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.03 0.00 -0.01 0.0 999.00 -999.00 0.00 0.00 -0.44 999999999.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.36 9.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.21 -0.01 0.0 0.25 -0.25 -0.21 -0.17 -0.24 6.0 -5 -4 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -0.35 2.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -1.65 3.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -0.32 4.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -2.11 2.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.03 -0.01 0.0 0.51 -0.51 -0.03 -0.01 -1.60 56.0 -3 -1 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.00 0.0 0.39 -0.39 0.00 0.00 0.18 23.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 0.00 0.0 0.80 -0.80 0.00 0.00 0.05 19.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.19 -0.19 0.00 0.00 -0.03 4.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 0.00 0.0 0.07 -0.07 0.00 0.00 0.26 5.0 0 0 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.01 -0.00 0.0 0.00 -0.01 -0.01 -0.01 -0.31 26.0 -5 -5 caleb_strategy_v3 COFFEE False False 0.04 0.00 0.01 0.0 0.25 -0.25 0.00 0.00 0.13 6.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.07 0.01 0.0 0.35 -0.35 0.07 0.07 0.82 20.0 4 4 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.01 0.01 0.0 0.34 -0.34 0.01 0.01 0.37 23.0 1 1 caleb_strategy_v3 OAT False False 0.04 0.13 0.02 0.0 0.44 -0.44 0.13 0.13 0.52 10.0 3 3 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.03 0.0 0.00 0.00 0.00 0.00 7.83 59.0 0 0 caleb_strategy_v3 COCOA False False 0.04 0.04 0.03 0.0 0.99 -0.99 0.04 0.04 0.68 26.0 1 1 caleb_strategy_v3 OJ False False 0.03 0.03 0.04 0.0 0.08 -0.08 0.03 0.03 1.43 3.0 1 1 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.04 0.0 0.16 -0.16 0.05 0.04 2.85 13.0 4 3 caleb_strategy_v3 LIVECOW False False 0.03 0.00 0.04 0.0 0.44 -0.44 0.00 0.00 1.49 17.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.04 0.07 0.0 0.43 -0.43 0.04 0.04 1.66 10.0 1 1 caleb_strategy_v3 FEEDCOW False False 0.04 0.18 0.08 0.0 0.35 -0.35 0.18 0.13 1.77 8.0 4 3 caleb_strategy_v3 MXP False False 0.01 0.01 0.08 0.0 0.51 -0.51 0.01 0.03 9.54 60.0 1 3 caleb_strategy_v3 DX False False 0.04 0.00 0.08 0.0 999.00 -999.00 0.00 0.00 2.29 999999999.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.04 0.13 0.0 0.42 -0.42 0.04 0.04 17.44 58.0 6 6 caleb_strategy_v3 NIKKEI False False 0.01 0.08 0.18 0.0 0.31 -0.31 0.08 0.12 20.51 36.0 9 14 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 1.17 0.0 0.87 -0.87 0.00 0.00 13.35 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 11.2 Shocked risk 23.7 Sum abs risk 41.8 Leverage 6.14 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2909257.68, 'annual_cash_vol_target': 727314.42, 'daily_cash_vol_target': 45457.15125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6270 0.7235 11.5763 BITCOIN 2545.0521 98540.0000 2.5828 41.3242 BOBL 0.2180 118.1100 0.1846 2.9532 BTP 0.5006 120.5300 0.4153 6.6455 BUND 0.4467 134.0600 0.3332 5.3318 BUXL 1.0910 134.0800 0.8137 13.0187 CAC 56.3787 7302.5000 0.7720 12.3527 CAD 0.0030 0.6990 0.4314 6.9017 CANOLA 9.0145 613.7000 1.4689 23.5021 CHF 0.0057 1.1326 0.5019 8.0296 COCOA 231.2428 11079.0000 2.0872 33.3955 COFFEE 6.1577 317.8500 1.9373 30.9970 COPPER 0.0476 4.1075 1.1593 18.5491 CORN 3.8257 437.2500 0.8749 13.9992 COTTON2 0.7888 68.1200 1.1579 18.5265 CRUDE_W 0.9095 66.5500 1.3666 21.8653 DAX 136.6290 20123.0000 0.6790 10.8635 DOW 330.7706 43408.0000 0.7620 12.1921 DX 0.4453 107.3500 0.4148 6.6372 EUR 0.0057 1.0486 0.5431 8.6890 EURIBOR-ICE 0.0433 97.9750 0.0442 0.7075 EUROSTX 39.3779 4896.0000 0.8043 12.8686 FEEDCOW 1.6794 256.9500 0.6536 10.4572 GASOIL 10.7864 669.5000 1.6111 25.7777 GASOLINE 0.0321 2.1642 1.4829 23.7268 GAS_US_mini 0.1123 3.3900 3.3116 52.9854 GBP 0.0070 1.2591 0.5550 8.8804 GOLD_micro 26.0966 2648.1000 0.9855 15.7678 HEATOIL 0.0335 2.2246 1.5054 24.0869 JGB-SGX-mini 0.2054 142.3500 0.1443 2.3092 JPY 0.0000 0.0065 0.7604 12.1657 LEANHOG 1.1579 90.4500 1.2801 20.4823 LIVECOW 1.2492 190.2250 0.6567 10.5075 LUMBER-new 7.6503 586.0000 1.3055 20.8881 MILK 0.2513 19.6500 1.2788 20.4607 MXP 0.0004 0.0492 0.7833 12.5335 NASDAQ_micro 217.8633 21698.7500 1.0040 16.0646 NIKKEI 390.5217 39095.0000 0.9989 15.9825 NZD 0.0040 0.5671 0.7141 11.4257 OAT 0.4153 124.1900 0.3344 5.3502 OATIES 6.1832 358.0000 1.7271 27.6343 OJ 7.6734 520.2000 1.4751 23.6015 PALLAD 23.6244 921.0000 2.5651 41.0412 PLAT 13.5014 934.8000 1.4443 23.1089 REDWHEAT 7.6576 551.7500 1.3879 22.2060 RICE 0.1549 14.1500 1.0948 17.5161 ROBUSTA 107.7943 4991.0000 2.1598 34.5564 RUSSELL 29.6901 2277.1000 1.3039 20.8617 SHATZ 0.0746 107.0800 0.0697 1.1153 SILVER-mini 0.5193 30.1375 1.7231 27.5693 SMI 86.9089 11388.0000 0.7632 12.2106 SOFR 0.0584 96.0300 0.0608 0.9733 SOYBEAN 10.0123 987.7500 1.0136 16.2184 SOYMEAL 4.1923 306.7000 1.3669 21.8707 SOYOIL 0.7434 40.2300 1.8478 29.5651 SP400 33.3928 3173.0000 1.0524 16.8385 SP500_micro 46.0120 6018.2500 0.7645 12.2327 SUGAR11 0.2820 18.0600 1.5616 24.9852 US10 0.3860 109.0000 0.3542 5.6666 US10U 0.5290 111.7812 0.4733 7.5725 US2 0.0909 102.7070 0.0885 1.4162 US20 0.7705 114.5312 0.6727 10.7633 US30 1.2041 120.2500 1.0013 16.0210 US5 0.2369 106.3359 0.2228 3.5646 VIX 0.6931 19.0000 3.6478 58.3649 WHEAT 6.8541 580.7500 1.1802 18.8835 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 626.95 0.72 453.61 1.00 453.61 45457.15 100.21 -9.17 -91.91 BITCOIN 98.54 2.58 254.51 1.00 254.51 45457.15 178.61 4.05 72.30 BOBL 1181.10 0.18 218.00 1.04 226.57 45457.15 200.63 0.25 4.99 BTP 1205.30 0.42 500.62 1.04 520.29 45457.15 87.37 5.57 48.68 BUND 1340.60 0.33 446.74 1.04 464.29 45457.15 97.91 -1.68 -16.41 BUXL 1340.80 0.81 1090.96 1.04 1133.84 45457.15 40.09 -0.74 -2.96 CAC 730.25 0.77 563.79 1.04 585.94 45457.15 77.58 -5.88 -45.63 CAD 699.05 0.43 301.54 1.00 301.54 45457.15 150.75 -17.15 -258.46 CANOLA 122.74 1.47 180.29 0.69 124.93 45457.15 363.85 -10.19 -370.66 CHF 1415.75 0.50 710.50 1.00 710.50 45457.15 63.98 -13.99 -89.52 COCOA 1107.90 2.09 2312.43 1.00 2312.43 45457.15 19.66 16.16 31.76 COFFEE 1191.94 1.94 2309.16 1.00 2309.16 45457.15 19.69 5.82 11.46 COPPER 1026.88 1.16 1190.47 1.00 1190.47 45457.15 38.18 -6.68 -25.50 CORN 218.62 0.87 191.29 1.00 191.29 45457.15 237.64 -10.92 -259.55 COTTON2 340.60 1.16 394.38 1.00 394.38 45457.15 115.26 -20.00 -230.52 CRUDE_W 665.50 1.37 909.46 1.00 909.46 45457.15 49.98 -2.26 -11.30 DAX 201.23 0.68 136.63 1.04 142.00 45457.15 320.12 15.97 511.38 DOW 217.04 0.76 165.39 1.00 165.39 45457.15 274.86 -6.91 -189.90 DX 1073.50 0.41 445.32 1.00 445.32 45457.15 102.08 8.63 88.07 EUR 1310.69 0.54 711.78 1.00 711.78 45457.15 63.86 -6.47 -41.31 EURIBOR-ICE 2449.38 0.04 108.31 1.04 112.56 45457.15 403.83 9.69 391.42 EUROSTX 489.60 0.80 393.78 1.04 409.25 45457.15 111.07 2.17 24.15 FEEDCOW 1284.75 0.65 839.68 1.00 839.68 45457.15 54.14 9.85 53.34 GASOIL 669.50 1.61 1078.64 1.00 1078.64 45457.15 42.14 -1.73 -7.29 GASOLINE 908.96 1.48 1347.92 1.00 1347.92 45457.15 33.72 -5.35 -18.05 GAS_US_mini 84.75 3.31 280.66 1.00 280.66 45457.15 161.97 -0.18 -2.91 GBP 786.94 0.56 436.77 1.00 436.77 45457.15 104.08 -3.26 -33.96 GOLD_micro 264.81 0.99 260.97 1.00 260.97 45457.15 174.19 -2.70 -47.01 HEATOIL 934.33 1.51 1406.57 1.00 1406.57 45457.15 32.32 -8.15 -26.34 JGB-SGX-mini 142350.00 0.14 20544.99 0.01 133.90 45457.15 339.48 -7.93 -269.07 JPY 809.56 0.76 615.56 1.00 615.56 45457.15 73.85 -6.57 -48.48 LEANHOG 361.80 1.28 463.16 1.00 463.16 45457.15 98.15 4.78 46.89 LIVECOW 760.90 0.66 499.70 1.00 499.70 45457.15 90.97 4.95 45.01 LUMBER-new 161.15 1.31 210.38 1.00 210.38 45457.15 216.07 -3.57 -77.15 MILK 393.00 1.28 502.57 1.00 502.57 45457.15 90.45 1.33 12.07 MXP 245.75 0.78 192.51 1.00 192.51 45457.15 236.13 2.75 65.00 NASDAQ_micro 433.98 1.00 435.73 1.00 435.73 45457.15 104.32 1.52 15.91 NIKKEI 39095.00 1.00 39052.17 0.01 249.83 45457.15 181.95 10.41 189.44 NZD 567.10 0.71 404.97 1.00 404.97 45457.15 112.25 -9.38 -105.33 OAT 1241.90 0.33 415.28 1.04 431.60 45457.15 105.32 1.45 15.28 OATIES 179.00 1.73 309.16 1.00 309.16 45457.15 147.03 -5.91 -86.86 OJ 780.30 1.48 1151.02 1.00 1151.02 45457.15 39.49 16.95 66.94 PALLAD 921.00 2.57 2362.44 1.00 2362.44 45457.15 19.24 -5.40 -10.39 PLAT 467.40 1.44 675.07 1.00 675.07 45457.15 67.34 -5.29 -35.62 REDWHEAT 275.88 1.39 382.88 1.00 382.88 45457.15 118.72 -20.00 -237.45 RICE 283.00 1.09 309.82 1.00 309.82 45457.15 146.72 -15.34 -225.06 ROBUSTA 499.10 2.16 1077.94 1.00 1077.94 45457.15 42.17 3.71 15.65 RUSSELL 113.86 1.30 148.45 1.00 148.45 45457.15 306.21 -4.27 -130.69 SHATZ 1070.80 0.07 74.64 1.04 77.58 45457.15 585.97 -1.72 -100.79 SILVER-mini 753.44 1.72 1298.23 1.00 1298.23 45457.15 35.01 -3.72 -13.02 SMI 1138.80 0.76 869.09 1.11 967.12 45457.15 47.00 -4.16 -19.54 SOFR 2400.75 0.06 146.04 1.00 146.04 45457.15 311.27 -9.12 -283.96 SOYBEAN 493.88 1.01 500.62 1.00 500.62 45457.15 90.80 -16.76 -152.22 SOYMEAL 306.70 1.37 419.23 1.00 419.23 45457.15 108.43 -18.68 -202.52 SOYOIL 241.38 1.85 446.03 1.00 446.03 45457.15 101.92 -7.67 -78.16 SP400 3173.00 1.05 3339.28 1.00 3339.28 45457.15 13.61 -7.11 -9.68 SP500_micro 300.91 0.76 230.06 1.00 230.06 45457.15 197.59 -4.11 -81.18 SUGAR11 202.27 1.56 315.86 1.00 315.86 45457.15 143.91 -9.51 -136.90 US10 1090.00 0.35 386.04 1.00 386.04 45457.15 117.75 -7.60 -89.52 US10U 1117.81 0.47 529.04 1.00 529.04 45457.15 85.92 -7.87 -67.59 US2 2054.14 0.09 181.82 1.00 181.82 45457.15 250.01 -9.50 -237.61 US20 1145.31 0.67 770.46 1.00 770.46 45457.15 59.00 -4.84 -28.54 US30 1202.50 1.00 1204.08 1.00 1204.08 45457.15 37.75 -4.98 -18.82 US5 1063.36 0.22 236.90 1.00 236.90 45457.15 191.88 -8.20 -157.31 VIX 190.00 3.65 693.08 1.00 693.08 45457.15 65.59 -8.38 -54.95 WHEAT 290.38 1.18 342.71 1.00 342.71 45457.15 132.64 -20.00 -265.28 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -91.913 0.010 2.5 -2.385 BITCOIN 72.304 0.043 2.5 7.830 BOBL 4.995 0.004 2.5 0.051 BTP 48.684 0.014 2.5 1.661 BUND -16.409 0.004 2.5 -0.166 BUXL -2.962 0.004 2.5 -0.030 CAC -45.630 0.014 2.5 -1.556 CAD -258.465 0.010 2.5 -6.706 CANOLA -370.662 0.010 2.5 -9.018 CHF -89.522 0.010 2.5 -2.323 COCOA 31.760 0.009 2.5 0.680 COFFEE 11.459 0.005 2.5 0.134 COPPER -25.504 0.043 2.5 -2.762 CORN -259.546 0.010 2.5 -6.314 COTTON2 -230.523 0.009 2.5 -4.937 CRUDE_W -11.302 0.043 2.5 -1.224 DAX 511.376 0.014 2.5 17.442 DOW -189.899 0.009 2.5 -4.413 DX 88.071 0.010 2.5 2.285 EUR -41.311 0.010 2.5 -1.072 EURIBOR-ICE 391.423 0.014 2.5 13.351 EUROSTX 24.154 0.014 2.5 0.824 FEEDCOW 53.341 0.013 2.5 1.768 GASOIL -7.292 0.017 2.5 -0.316 GASOLINE -18.047 0.017 2.5 -0.782 GAS_US_mini -2.908 0.043 2.5 -0.315 GBP -33.965 0.010 2.5 -0.881 GOLD_micro -47.007 0.014 2.5 -1.603 HEATOIL -26.342 0.017 2.5 -1.142 JGB-SGX-mini -269.074 0.043 2.5 -29.137 JPY -48.482 0.010 2.5 -1.258 LEANHOG 46.892 0.024 2.5 2.850 LIVECOW 45.010 0.013 2.5 1.492 LUMBER-new -77.148 0.009 2.5 -1.652 MILK 12.075 0.009 2.5 0.259 MXP 64.998 0.059 2.5 9.540 NASDAQ_micro 15.907 0.009 2.5 0.370 NIKKEI 189.445 0.043 2.5 20.514 NZD -105.327 0.010 2.5 -2.733 OAT 15.284 0.014 2.5 0.521 OATIES -86.859 0.010 2.5 -2.113 OJ 66.936 0.009 2.5 1.434 PALLAD -10.392 0.014 2.5 -0.354 PLAT -35.624 0.014 2.5 -1.215 REDWHEAT -237.448 0.005 2.5 -3.150 RICE -225.062 0.010 2.5 -5.475 ROBUSTA 15.646 0.005 2.5 0.183 RUSSELL -130.687 0.013 2.5 -4.331 SHATZ -100.786 0.004 2.5 -1.022 SILVER-mini -13.019 0.014 2.5 -0.444 SMI -19.540 0.014 2.5 -0.666 SOFR -283.961 0.024 2.5 -17.257 SOYBEAN -152.218 0.004 2.5 -1.416 SOYMEAL -202.523 0.004 2.5 -1.884 SOYOIL -78.162 0.004 2.5 -0.728 SP400 -9.678 0.013 2.5 -0.321 SP500_micro -81.185 0.009 2.5 -1.887 SUGAR11 -136.897 0.009 2.5 -2.911 US10 -89.517 0.005 2.5 -1.134 US10U -67.591 0.005 2.5 -0.856 US2 -237.606 0.005 2.5 -3.011 US20 -28.537 0.005 2.5 -0.362 US30 -18.816 0.005 2.5 -0.238 US5 -157.308 0.005 2.5 -1.993 VIX -54.950 0.099 2.5 -13.564 WHEAT -265.284 0.005 2.5 -3.519 ===================== Position diags ===================== AUD 2.60 BITCOIN 19.34 BOBL 2.03 BTP 2.98 BUND 0.99 BUXL 0.41 CAC 2.65 CAD 3.91 CANOLA 8.85 CHF 1.66 COCOA 0.42 COFFEE 0.23 COPPER 4.13 CORN 5.78 COTTON2 2.47 CRUDE_W 5.41 DAX 10.92 DOW 6.39 DX 2.65 EUR 1.66 EURIBOR-ICE 13.77 EUROSTX 3.79 FEEDCOW 1.79 GASOIL 1.83 GASOLINE 1.46 GAS_US_mini 17.54 GBP 2.70 GOLD_micro 5.94 HEATOIL 1.40 JGB-SGX-mini 36.76 JPY 1.92 LEANHOG 5.96 LIVECOW 3.01 LUMBER-new 4.63 MILK 1.94 MXP 34.66 NASDAQ_micro 2.42 NIKKEI 19.70 NZD 2.91 OAT 3.59 OATIES 3.58 OJ 0.85 PALLAD 0.66 PLAT 2.30 REDWHEAT 1.57 RICE 3.57 ROBUSTA 0.49 RUSSELL 10.15 SHATZ 5.94 SILVER-mini 1.19 SMI 1.60 SOFR 18.92 SOYBEAN 0.84 SOYMEAL 1.01 SOYOIL 0.95 SP400 0.45 SP500_micro 4.59 SUGAR11 3.06 US10 1.49 US10U 1.09 US2 3.17 US20 0.75 US30 0.48 US5 2.43 VIX 16.19 WHEAT 1.76 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.4 -2.6 -2.1 -4.0 -4 BITCOIN 7.8 5.9 9.8 0.0 0 BOBL 0.1 -0.2 0.3 0.0 0 BTP 1.7 1.4 2.0 1.0 1 BUND -0.2 -0.3 -0.1 0.0 0 BUXL -0.0 -0.1 0.0 0.0 0 CAC -1.6 -1.8 -1.3 0.0 0 CAD -6.7 -7.1 -6.3 -3.0 -3 CANOLA -9.0 -9.9 -8.1 -6.0 -6 CHF -2.3 -2.5 -2.2 -10.0 -10 COCOA 0.7 0.6 0.7 1.0 1 COFFEE 0.1 0.1 0.2 0.0 0 COPPER -2.8 -3.2 -2.3 -3.0 -3 CORN -6.3 -6.9 -5.7 -7.0 -7 COTTON2 -4.9 -5.2 -4.7 -6.0 -6 CRUDE_W -1.2 -1.8 -0.7 0.0 0 DAX 17.4 16.4 18.5 6.0 6 DOW -4.4 -5.1 -3.8 -5.0 -5 DX 2.3 2.0 2.5 0.0 0 EUR -1.1 -1.2 -0.9 -2.0 -2 EURIBOR-ICE 13.4 12.0 14.7 0.0 0 EUROSTX 0.8 0.4 1.2 4.0 4 FEEDCOW 1.8 1.6 1.9 4.0 4 GASOIL -0.3 -0.5 -0.1 0.0 0 GASOLINE -0.8 -0.9 -0.6 0.0 0 GAS_US_mini -0.3 -2.1 1.4 -5.0 -5 GBP -0.9 -1.2 -0.6 0.0 0 GOLD_micro -1.6 -2.2 -1.0 -3.0 -3 HEATOIL -1.1 -1.3 -1.0 -3.0 -3 JGB-SGX-mini -29.1 -32.8 -25.5 -15.0 -15 JPY -1.3 -1.4 -1.1 -1.0 -1 LEANHOG 2.8 2.3 3.4 4.0 4 LIVECOW 1.5 1.2 1.8 0.0 0 LUMBER-new -1.7 -2.1 -1.2 0.0 0 MILK 0.3 0.1 0.5 0.0 0 MXP 9.5 6.1 13.0 1.0 1 NASDAQ_micro 0.4 0.1 0.6 1.0 1 NIKKEI 20.5 18.5 22.5 9.0 9 NZD -2.7 -3.0 -2.4 -1.0 -1 OAT 0.5 0.2 0.9 3.0 3 OATIES -2.1 -2.5 -1.8 NaN 0 OJ 1.4 1.3 1.5 1.0 1 PALLAD -0.4 -0.4 -0.3 0.0 0 PLAT -1.2 -1.4 -1.0 -1.0 -1 REDWHEAT -3.1 -3.3 -3.0 -4.0 -4 RICE -5.5 -5.8 -5.1 NaN 0 ROBUSTA 0.2 0.1 0.2 0.0 0 RUSSELL -4.3 -5.3 -3.3 1.0 1 SHATZ -1.0 -1.6 -0.4 NaN 0 SILVER-mini -0.4 -0.6 -0.3 0.0 0 SMI -0.7 -0.8 -0.5 0.0 0 SOFR -17.3 -19.1 -15.4 NaN 0 SOYBEAN -1.4 -1.5 -1.3 -3.0 -3 SOYMEAL -1.9 -2.0 -1.8 -1.0 -1 SOYOIL -0.7 -0.8 -0.6 0.0 0 SP400 -0.3 -0.4 -0.3 0.0 0 SP500_micro -1.9 -2.3 -1.4 -5.0 -5 SUGAR11 -2.9 -3.2 -2.6 -3.0 -3 US10 -1.1 -1.3 -1.0 0.0 0 US10U -0.9 -1.0 -0.7 -1.0 -1 US2 -3.0 -3.3 -2.7 NaN 0 US20 -0.4 -0.4 -0.3 0.0 0 US30 -0.2 -0.3 -0.2 -5.0 -5 US5 -2.0 -2.2 -1.8 -2.0 -2 VIX -13.6 -15.2 -11.9 -26.0 -26 WHEAT -3.5 -3.7 -3.3 -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 -0.5 -0.4 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.2 -0.1 -0.2 0.5 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.6 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 BITCOIN -0.2 0.6 0.5 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.5 0.0 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.2 0.1 -0.2 0.1 0.6 0.6 0.6 0.0 -0.1 -0.1 -0.0 BOBL 0.1 0.1 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 0.1 -0.1 -0.0 0.0 -0.0 -0.4 -0.2 -0.2 -0.1 0.0 0.0 -0.1 0.0 -0.0 0.5 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.3 0.4 0.1 0.3 0.4 -0.1 -0.4 0.4 0.0 BTP 0.2 0.2 0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 0.4 -0.1 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.4 0.0 -2.7 0.0 -0.1 0.1 -0.1 0.2 0.0 0.8 0.3 0.5 0.6 0.6 -0.0 -0.3 0.5 0.4 BUND 0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.0 0.1 -0.1 -0.1 -0.2 0.0 0.0 -0.1 0.0 -0.1 0.1 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.3 0.2 0.1 0.3 0.3 -0.5 -0.7 0.2 -0.1 BUXL 0.0 0.3 0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 0.2 -0.1 0.1 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 0.0 -0.2 0.0 -0.0 -0.5 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.3 0.1 0.2 0.6 0.5 -0.7 -0.7 -0.1 -0.3 CAC 0.4 -0.1 -0.3 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.2 -0.4 0.0 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.9 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.2 0.5 0.5 -0.6 -0.6 0.1 0.3 -0.2 -0.1 CAD -0.3 -0.5 -0.4 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.4 -0.2 0.2 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.4 -0.4 -0.6 -0.6 -0.6 -0.2 -0.2 -0.2 -0.2 CANOLA -0.0 -0.3 0.2 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 0.0 -0.2 -0.0 -0.0 -0.2 -0.2 -0.3 -0.3 -0.0 -0.0 -0.0 -0.1 -0.0 -1.5 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.1 0.1 -0.1 -0.1 0.2 -0.3 -0.3 -0.1 -0.1 CHF -0.0 -0.6 -0.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.1 -0.1 -0.1 0.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -1.1 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.4 -0.5 COCOA 0.6 0.6 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 0.3 0.1 0.4 0.1 0.1 0.2 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.0 0.0 0.1 0.0 0.1 0.1 1.1 0.5 0.6 0.6 0.6 0.5 0.7 0.6 0.7 COFFEE 0.0 0.6 0.2 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.4 0.1 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.1 0.0 0.1 0.0 0.3 0.2 0.6 0.6 0.6 -0.1 -0.2 0.0 0.1 COPPER 0.0 -0.5 -0.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -2.4 -0.0 -0.1 -0.0 -0.1 0.1 -0.0 0.1 -0.1 0.2 -0.1 -0.0 0.2 0.5 0.1 0.7 CORN 0.2 0.1 0.0 -0.0 -0.2 -0.1 -0.2 -0.3 -0.1 -0.1 -0.5 0.0 -0.7 -0.0 -0.1 -0.1 -0.3 -0.2 -0.2 -0.1 -0.2 -0.0 -0.5 -0.0 -1.3 -0.1 -0.0 -0.3 -0.0 -0.5 -0.0 -1.1 0.4 -0.0 -0.1 -0.3 0.5 -0.0 0.7 0.1 COTTON2 -0.3 -0.3 -0.1 -0.0 -0.2 -0.1 -0.1 -0.2 -0.1 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.3 -0.2 -0.3 -0.2 -0.2 -0.2 -0.2 -0.5 -0.2 -2.7 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -1.0 -0.4 -0.4 -0.6 -0.3 -0.7 -0.6 -0.6 -0.4 CRUDE_W 0.0 -0.0 -0.2 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.3 -0.0 -0.3 -0.0 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.4 -0.2 -0.0 -0.1 0.1 -0.1 0.2 -0.0 0.4 DAX 0.6 0.3 0.4 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.2 0.5 0.1 0.7 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.0 0.5 0.2 1.0 0.1 -0.1 0.1 -0.0 0.2 0.1 -0.3 0.5 0.6 0.5 0.5 0.7 0.5 0.5 0.1 DOW -0.6 0.1 0.1 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.3 -0.1 0.5 -0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 -0.2 0.4 -0.1 -1.7 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.4 -0.4 -0.6 0.0 0.5 -0.1 0.0 -0.5 -0.3 DX -0.1 0.6 0.6 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.4 0.1 0.4 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.2 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 0.7 0.5 0.6 0.6 0.6 -0.2 0.1 -0.1 0.1 EUR 0.1 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.3 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -0.1 2.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.5 -0.0 -0.0 -0.2 -0.4 0.1 -0.3 0.1 -0.3 EURIBOR-ICE 0.0 0.2 0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 0.2 -0.1 0.3 0.0 0.0 0.1 0.0 0.1 0.1 0.1 0.1 -0.1 0.2 -0.0 1.4 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.6 0.3 0.1 0.4 0.5 -0.0 -0.4 0.6 0.3 EUROSTX 0.6 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.2 0.0 0.1 0.4 0.1 0.0 0.1 -0.1 -0.0 -0.0 0.0 -0.0 -0.0 0.1 0.1 -0.4 0.0 -0.1 -0.0 -0.0 0.1 0.0 0.4 0.5 0.6 -0.3 -0.4 0.2 0.2 -0.3 -0.4 FEEDCOW 0.1 0.6 0.6 -0.0 -0.2 -0.1 -0.2 -0.3 -0.1 -0.1 0.3 0.0 -0.2 0.2 0.2 0.0 -0.1 0.2 0.1 0.2 0.2 0.0 0.0 0.2 -2.0 0.1 -0.0 0.1 0.0 0.0 0.1 0.1 0.5 0.6 0.6 0.6 0.6 0.5 0.7 0.7 GASOIL 0.0 0.2 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 -0.3 0.1 -0.4 0.0 -0.0 0.1 0.1 0.1 0.1 -0.0 -0.1 0.0 -0.2 0.0 0.6 -0.0 -0.0 -0.1 0.0 -0.2 0.0 0.0 0.1 0.0 0.2 -0.2 -0.0 -0.3 0.0 -0.4 GASOLINE -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.3 -0.0 -0.2 -0.1 -0.0 -0.4 0.3 -0.2 0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.6 -0.3 -0.1 -0.1 0.3 0.1 0.3 0.2 0.5 GAS_US_mini 0.1 0.3 0.4 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.1 -0.3 0.1 -0.5 0.1 -0.0 0.4 -0.4 -0.4 -0.4 0.0 -0.0 0.1 -0.3 0.1 2.7 -0.0 0.1 -0.1 0.1 -0.2 0.0 -1.1 0.3 0.1 0.0 -0.0 -0.2 -0.4 -0.2 -0.4 GBP 0.2 -0.5 -0.5 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.1 -0.1 -0.2 0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 0.1 0.1 0.3 0.0 0.1 0.2 -0.3 0.7 -0.3 GOLD_micro -0.1 -0.6 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.3 -0.1 -0.0 -0.2 -0.3 -0.2 -0.2 -0.0 0.1 -0.1 0.2 -0.0 -1.4 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.6 0.1 -0.0 -0.1 0.2 0.7 0.1 0.7 0.3 HEATOIL 0.0 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 -0.4 0.1 -0.5 0.0 -0.1 0.1 0.1 0.0 -0.0 -0.0 -0.1 0.0 -0.3 0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.3 0.1 -0.0 0.0 0.1 -0.1 0.0 0.0 0.1 JGB-SGX-mini -0.0 -0.6 -0.3 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 0.4 0.3 0.3 0.3 -0.1 -0.1 -0.0 -0.1 -0.1 -1.8 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 0.5 -0.2 -0.3 -0.1 -0.7 -0.6 -0.7 -0.5 JPY 0.1 -0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -0.3 -0.2 -0.2 -0.1 -0.1 -0.1 -0.2 -0.1 2.7 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -1.0 -0.3 0.0 0.1 -0.1 -0.3 -0.7 -0.2 -0.7 LEANHOG -0.5 -0.1 0.6 -0.0 -0.2 -0.1 -0.2 -0.3 -0.1 0.0 0.4 -0.1 0.2 -0.1 0.2 -0.4 0.1 -0.4 0.0 0.1 0.2 -0.0 0.2 -0.0 -0.1 0.1 0.0 0.2 -0.0 0.1 0.0 0.3 -0.1 0.6 0.6 0.6 0.3 -0.2 0.4 0.0 LIVECOW -0.1 -0.2 0.3 -0.0 -0.2 -0.1 -0.2 -0.3 -0.1 -0.1 0.5 -0.1 0.7 0.0 0.2 0.1 0.1 -0.0 0.0 0.1 0.2 -0.1 0.4 0.0 -2.7 0.1 -0.1 0.2 -0.0 0.3 0.0 0.3 0.5 0.5 0.2 0.6 -0.0 0.5 0.2 0.7 LUMBER-new -0.7 0.1 0.6 -0.0 -0.2 -0.1 -0.1 -0.2 -0.1 0.0 0.2 -0.1 -0.2 -0.1 0.1 -0.5 -0.4 -0.5 -0.5 0.0 0.1 -0.1 -0.0 -0.1 NaN -0.0 -0.0 0.1 -0.1 0.0 -0.1 -1.2 -0.2 -0.7 0.5 0.6 0.5 0.2 0.7 0.5 MILK 0.5 -0.6 -0.4 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 0.0 0.0 0.1 0.2 0.0 -0.1 0.2 -0.0 0.2 0.2 -0.0 -0.0 0.0 0.1 0.0 1.9 -0.0 -0.0 -0.0 0.0 0.0 0.0 0.2 0.4 0.6 -0.3 -0.2 -0.4 -0.7 -0.2 -0.7 MXP 0.4 0.2 -0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.4 0.1 -0.5 0.0 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.1 0.0 -0.4 0.0 -2.7 -0.0 0.0 -0.2 0.0 -0.2 0.0 1.1 0.5 0.5 0.5 0.1 0.3 0.7 0.5 0.7 NASDAQ_micro 0.1 0.2 0.2 0.0 -0.1 0.1 -0.1 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 -2.7 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.3 0.5 0.5 0.4 0.5 0.4 0.2 -0.1 -0.3 NIKKEI 0.2 0.1 0.2 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.0 0.2 0.0 0.3 0.0 0.1 0.2 0.1 0.1 0.1 0.0 0.1 -0.0 0.2 0.0 -1.3 0.0 -0.0 -0.0 -0.0 0.1 0.0 1.1 0.5 0.4 0.1 -0.1 0.7 0.6 0.7 0.7 NZD -0.2 -0.5 -0.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.2 -0.1 -0.2 0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.3 -0.4 -0.2 -0.1 -0.2 -0.1 -0.2 -0.0 OAT 0.1 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 0.1 -0.1 -0.1 0.0 -0.0 -0.4 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.6 -0.0 -0.1 0.0 -0.1 0.0 -0.0 0.4 0.2 0.1 0.3 0.3 -0.1 -0.5 0.6 0.2 OATIES -0.2 -0.5 0.5 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 -0.1 0.0 -0.3 -0.0 -0.2 -0.1 -0.0 0.0 -0.1 -0.0 -0.1 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.3 0.0 -0.2 -0.2 0.3 0.7 0.2 0.7 0.5 OJ 0.4 0.3 0.3 -0.0 -0.2 -0.1 -0.2 -0.2 -0.1 0.1 0.5 0.2 0.7 0.2 0.2 0.4 0.3 0.4 0.3 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 1.1 0.5 0.6 0.6 0.6 0.7 0.3 0.7 0.7 PALLAD -0.3 -0.5 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 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 1.9 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.3 -0.1 -0.2 -0.1 -0.0 -0.6 -0.7 -0.7 -0.7 PLAT -0.1 -0.5 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.3 -0.1 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.9 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.2 -0.3 -0.4 -0.3 0.3 -0.3 0.1 -0.1 REDWHEAT -0.0 -0.4 -0.1 -0.0 -0.2 -0.1 -0.2 -0.3 -0.1 -0.2 -0.5 -0.1 -0.7 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.5 -0.1 -0.4 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.9 0.1 -0.2 -0.6 -0.3 -0.7 -0.7 -0.5 -0.7 RICE -0.2 -0.0 -0.4 -0.0 -0.2 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 0.2 -0.1 -0.1 -0.2 0.3 -0.1 0.1 -0.1 -0.1 -0.2 0.0 -0.2 -2.0 -0.1 -0.2 -0.1 -0.2 -0.0 -0.1 0.9 -0.5 -0.6 -0.6 -0.5 -0.3 -0.7 -0.3 -0.7 ROBUSTA -0.2 -0.1 -0.4 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.2 0.0 0.2 0.0 0.0 0.1 0.4 0.2 0.3 0.1 0.1 0.0 0.3 0.1 -2.7 0.0 -0.0 0.1 0.0 0.1 0.0 1.1 0.1 0.4 0.5 0.4 0.2 0.1 0.3 0.3 RUSSELL -0.6 0.2 0.2 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.2 -0.1 0.4 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.2 0.2 -0.1 0.2 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.0 -0.3 -0.6 0.2 0.3 -0.3 -0.4 -0.7 -0.7 SHATZ -0.1 0.1 0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 0.2 -0.1 0.0 0.0 0.0 -0.4 -0.4 -0.4 -0.4 0.0 0.0 -0.0 0.1 -0.0 0.8 0.0 -0.0 0.1 -0.0 0.1 -0.0 -1.1 0.5 0.0 0.2 0.4 -0.1 -0.4 0.2 -0.1 SILVER-mini -0.1 -0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.2 -0.1 -0.4 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.1 -0.2 -0.1 -0.1 0.1 0.2 -0.0 -0.0 0.2 SMI 0.1 -0.5 -0.5 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 -0.1 -0.1 0.3 -0.1 -0.1 0.1 0.0 0.0 0.0 -0.1 -0.1 -0.2 0.1 -0.1 1.2 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.7 0.1 -0.2 -0.6 -0.6 -0.2 0.1 -0.5 -0.4 SOFR 0.1 -0.4 -0.6 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.0 -0.2 -0.1 -0.2 -0.1 -0.2 -0.8 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.4 -0.2 -0.5 -0.5 -0.6 -0.1 -0.2 0.4 0.5 SOYBEAN -0.0 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.5 -0.1 -0.6 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.1 -0.5 -0.2 -2.6 -0.1 -0.0 -0.2 -0.1 -0.3 -0.1 -0.2 -0.3 -0.4 -0.5 -0.5 0.2 -0.2 0.3 0.0 SOYMEAL 0.3 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.1 -0.5 -0.0 -0.6 -0.1 -0.2 -0.3 -0.0 -0.2 -0.1 -0.1 -0.2 0.0 -0.5 -0.1 -2.7 -0.1 0.1 -0.2 0.0 -0.2 -0.0 -0.4 0.4 0.2 -0.5 -0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.4 -0.2 0.4 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -2.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.3 -0.1 0.1 0.1 -0.2 0.3 0.0 SP400 -0.6 0.1 0.1 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.2 -0.1 0.5 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.2 0.3 -0.1 -1.3 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.0 -0.5 -0.6 0.2 0.4 -0.1 -0.2 -0.6 -0.7 SP500_micro -0.4 0.1 0.1 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.5 -0.1 0.7 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.1 0.2 -0.1 0.5 -0.0 -2.7 0.0 -0.1 0.2 -0.1 0.3 -0.0 -0.5 -0.1 -0.2 0.1 0.6 0.1 0.1 -0.4 -0.4 SUGAR11 -0.6 -0.5 0.3 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.1 -0.2 -0.2 -0.2 -0.0 0.4 0.4 0.4 0.4 -0.1 -0.0 -0.2 0.0 -0.2 -2.7 -0.0 -0.1 0.0 -0.1 0.0 -0.1 1.1 -0.5 -0.6 -0.3 0.5 -0.7 0.0 -0.7 0.1 US10 0.1 -0.3 -0.6 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.3 -0.3 -0.4 -0.3 -0.5 0.1 0.3 US10U 0.0 -0.3 -0.6 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.3 -0.3 -0.5 -0.2 -0.3 0.4 0.6 US2 0.3 -0.6 -0.6 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.3 -0.4 -0.4 -0.4 -0.2 -0.1 -0.1 -0.2 -0.1 2.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -1.1 0.1 -0.2 -0.4 -0.5 -0.4 -0.5 -0.1 -0.2 US20 -0.0 -0.3 -0.6 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.4 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 0.3 -0.1 -0.3 -0.2 -0.4 -0.1 -0.2 0.7 0.6 US30 -0.0 -0.2 -0.5 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.1 -0.2 -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 -0.3 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.2 0.7 0.5 US5 0.1 -0.4 -0.6 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 -0.1 1.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.4 -0.1 -0.3 -0.4 -0.5 -0.2 -0.4 0.2 0.2 VIX 0.6 -0.3 0.1 0.0 0.2 -0.0 0.2 -0.1 0.1 0.1 -0.6 0.2 -0.9 -0.0 -0.2 -0.6 -0.6 -0.6 -0.6 -0.0 -0.1 0.3 -0.3 0.1 NaN 0.0 0.2 -0.0 0.2 -0.2 0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.2 -0.4 -0.1 -0.0 -0.2 -0.1 -0.2 -0.3 -0.1 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.2 -0.5 -0.2 0.8 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -1.1 -0.2 -0.6 -0.6 -0.4 -0.5 -0.7 -0.4 -0.7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD -8.7 -16.6 -12.0 -4.1 -2.9 -2.9 -4.3 -1.2 -4.2 -8.6 -11.1 -12.5 -5.6 -14.1 -14.3 -0.3 -1.4 -0.4 -0.8 -16.1 -10.3 -18.7 -4.9 -18.6 3.7 -5.0 -4.9 -3.1 -6.2 -1.3 -5.9 -0.0 -5.2 -18.5 -8.2 -3.9 -3.8 -4.0 -2.7 -3.5 BITCOIN -5.5 20.0 16.6 -2.6 -9.5 -0.7 -8.4 -0.5 -5.3 -16.0 18.9 0.9 18.1 18.4 20.0 -9.6 -7.5 -8.6 -7.8 20.0 20.0 0.0 20.0 20.0 -20.0 7.6 -3.7 6.7 0.2 5.5 4.8 -3.7 2.7 20.0 20.0 20.0 0.6 -3.2 -2.1 -0.6 BOBL 2.2 3.1 1.2 -1.8 -6.5 -0.8 -5.8 0.1 -3.1 -10.4 4.8 -8.6 -1.1 0.4 -0.4 -20.0 -7.8 -10.4 -6.9 1.3 2.5 -10.1 1.1 -2.8 3.8 0.7 -5.8 1.5 -4.8 1.4 -1.4 -5.3 15.7 4.0 8.7 10.8 -3.6 -13.0 10.6 0.7 BTP 5.1 4.8 2.5 -2.8 -10.0 -1.2 -9.0 0.2 -4.8 -17.5 14.6 -9.3 17.9 6.7 9.9 4.1 5.1 5.3 5.1 10.7 13.4 -15.4 14.5 1.3 -20.0 4.1 -8.9 5.2 -6.0 5.5 0.3 15.7 10.7 15.6 20.0 20.0 -1.2 -10.5 14.6 10.9 BUND 2.0 3.0 -1.4 -2.1 -7.7 -0.9 -6.9 0.1 -3.7 -12.4 4.4 -10.1 1.4 -1.6 -1.5 5.6 -6.0 -6.1 -7.9 0.5 1.9 -15.1 1.2 -5.0 0.5 0.4 -8.0 1.2 -6.6 1.4 -2.2 -5.2 8.5 4.6 10.4 10.5 -14.6 -20.0 6.3 -2.1 BUXL 0.8 9.6 2.3 -2.5 -9.0 -1.0 -8.1 0.1 -4.3 -15.2 6.4 -11.9 2.3 1.6 3.8 1.4 -0.9 0.7 -0.1 4.7 4.5 -17.8 0.9 -3.5 -3.6 1.7 -8.7 2.0 -7.1 1.5 -1.7 6.0 3.5 6.9 20.0 15.3 -20.0 -20.0 -3.5 -9.5 CAC 13.4 -4.6 -7.8 1.7 -14.8 4.4 -11.3 6.7 -3.4 -17.9 -15.9 1.5 -6.4 -3.2 -10.7 -5.7 -3.9 -5.7 -5.1 -7.9 -12.5 -5.9 -8.6 -2.1 -6.6 -3.5 -9.2 -5.3 -3.3 -2.8 -0.9 3.6 20.0 15.3 -19.2 -20.0 3.7 7.6 -5.8 -3.2 CAD -9.4 -14.6 -13.8 -5.9 -4.2 -4.2 -6.3 -1.8 -6.1 -9.8 -19.5 -17.6 -18.6 -20.0 -20.0 -6.1 -4.7 -6.0 -5.4 -20.0 -20.0 -20.0 -14.9 -20.0 1.8 -7.6 -5.8 -5.6 -8.4 -3.6 -8.5 -6.7 -16.8 -20.0 -17.7 -18.7 -5.5 -6.0 -6.0 -7.2 CANOLA -0.1 -9.8 6.5 -1.3 -6.5 -1.6 -4.8 -2.4 -2.4 -0.9 -2.6 0.4 -5.6 -3.1 -1.6 -11.0 -12.3 -13.1 -13.4 -3.5 -3.1 -2.0 -4.6 -3.2 -10.9 -0.5 0.0 -0.2 -0.8 -1.3 -0.9 -20.0 4.2 -1.7 -3.5 5.0 -8.1 -10.0 -3.9 -4.4 CHF -0.3 -19.9 -16.4 -3.8 -2.7 -2.7 -4.0 -1.1 -3.9 -5.2 -8.3 -8.3 -7.1 -11.0 -11.9 -15.1 -16.0 -15.3 -15.4 -14.4 -9.9 -11.4 -4.9 -13.8 4.0 -4.4 -1.3 -2.9 -3.5 -1.1 -4.2 -20.0 -5.7 -3.0 -8.6 -10.1 -10.1 -8.5 -11.0 -15.5 COCOA 20.0 20.0 3.7 -2.0 -10.1 -2.4 -7.4 -3.7 -3.7 4.7 10.1 9.5 9.7 11.9 12.5 11.2 20.0 17.5 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 4.5 1.5 3.6 3.7 3.7 4.7 20.0 20.0 20.0 20.0 20.0 15.8 20.0 19.4 20.0 COFFEE 0.2 18.6 6.8 -2.6 -13.3 -3.2 -9.7 -4.8 -4.9 -10.5 14.7 7.6 15.0 13.2 13.7 4.8 4.7 3.5 3.7 20.0 20.0 8.5 18.4 20.0 -20.0 5.5 -0.5 4.6 1.7 3.8 4.5 6.4 7.4 20.0 20.0 20.0 -4.0 -4.8 1.1 2.8 COPPER 0.6 -14.7 -5.9 -1.7 -6.2 -0.4 -5.5 -0.3 -3.5 -11.4 -10.6 -10.2 -3.2 -11.9 -11.9 -7.2 -4.0 -5.7 -4.6 -9.5 -6.6 -11.2 -0.7 -9.4 -17.8 -2.8 -6.0 -0.8 -5.4 1.7 -3.9 2.0 -2.6 5.1 -2.3 -1.1 5.9 14.7 3.3 20.0 CORN 6.1 4.5 1.5 -3.9 -19.8 -4.8 -14.5 -7.2 -7.3 -7.1 -20.0 1.3 -20.0 -4.5 -9.2 -7.1 -12.9 -9.2 -11.8 -7.8 -18.4 -2.8 -20.0 -2.8 -9.5 -6.4 -2.7 -10.3 -3.0 -14.8 -3.6 -20.0 16.3 -0.9 -4.5 -9.0 15.0 -1.2 20.0 4.0 COTTON2 -8.0 -7.7 -3.3 -3.6 -18.4 -4.4 -13.4 -6.7 -6.8 -17.7 -20.0 -20.0 -20.0 -19.5 -17.3 -14.6 -8.5 -14.4 -12.3 -16.6 -17.1 -20.0 -20.0 -19.8 -20.0 -7.3 -7.5 -5.7 -9.1 -4.5 -8.7 -18.6 -15.4 -12.6 -20.0 -8.7 -19.9 -18.7 -17.5 -13.2 CRUDE_W 1.5 -0.9 -5.6 -0.9 -0.7 -3.5 1.3 -3.6 1.0 -10.7 -11.7 -1.7 -8.6 -4.6 -4.7 4.5 9.3 5.2 7.1 -5.2 -9.4 -2.7 -7.3 -1.8 -1.6 -2.5 -5.2 -4.7 -2.2 -4.0 -1.2 6.8 -10.4 -0.6 -3.8 1.6 -2.6 6.3 -1.0 11.6 DAX 20.0 8.5 10.9 1.8 -15.0 4.5 -11.4 6.8 -3.4 -18.9 18.5 10.0 19.9 14.9 18.5 -9.8 -9.8 -9.1 -9.1 20.0 20.0 -1.0 20.0 19.9 7.7 6.1 -8.1 5.4 -1.1 5.8 4.9 -5.0 19.3 20.0 14.8 16.9 20.0 15.8 14.4 3.4 DOW -20.0 4.5 3.1 1.2 -10.4 3.1 -8.0 4.8 -2.4 -8.6 11.6 -10.9 14.1 -1.0 7.4 -10.3 -10.7 -10.3 -10.3 4.9 12.5 -20.0 14.6 -9.5 -13.1 1.1 -7.5 4.2 -8.1 5.5 -3.9 -6.8 -18.3 -19.6 1.4 15.2 -4.1 0.5 -14.9 -9.1 DX -1.9 20.0 20.0 -4.7 -3.3 -3.3 -5.0 -1.4 -4.8 8.6 13.6 12.7 11.4 15.4 16.3 5.8 6.5 5.9 6.1 20.0 16.3 19.2 9.0 19.7 -20.0 5.6 4.4 4.2 5.2 2.2 5.2 12.8 20.0 20.0 20.0 20.0 -4.5 2.2 -3.3 3.6 EUR 2.5 -18.8 -18.6 -3.7 -2.6 -2.6 -3.9 -1.1 -3.8 -4.5 -10.2 -6.6 -7.9 -10.8 -11.8 -6.7 -7.0 -6.7 -6.7 -14.5 -11.7 -9.8 -6.5 -12.2 14.9 -4.4 -2.1 -3.4 -3.1 -1.6 -3.7 -9.8 -0.3 -0.4 -6.8 -12.3 2.8 -8.2 3.3 -9.9 EURIBOR-ICE 0.4 5.1 6.1 -1.4 -5.1 -0.6 -4.5 0.1 -2.4 -7.4 7.9 -5.3 7.5 3.0 4.3 5.5 0.8 5.1 3.4 5.2 7.8 -7.4 7.6 -0.1 10.7 2.1 -4.3 3.1 -3.3 3.2 -0.2 10.6 12.1 4.4 11.3 16.4 -1.4 -12.0 16.9 7.6 EUROSTX 17.2 -1.4 -3.7 1.7 -14.4 4.3 -11.0 6.5 -3.3 -17.1 0.5 7.1 11.7 8.5 0.1 3.1 -2.6 -1.0 -2.4 2.6 -0.2 -3.5 4.9 5.4 -3.3 1.0 -11.0 -0.0 -2.7 3.4 2.1 6.7 20.0 20.0 -8.2 -11.3 6.0 4.9 -10.3 -11.1 FEEDCOW 2.8 20.0 20.0 -3.8 -19.8 -4.8 -14.5 -7.2 -7.3 -10.0 11.6 1.1 -6.7 18.8 20.0 0.7 -3.4 7.9 6.5 20.0 17.1 3.0 0.4 20.0 -14.6 7.1 -2.6 3.9 0.5 0.3 5.3 2.4 20.0 20.0 20.0 20.0 18.6 16.0 20.0 20.0 GASOIL 1.3 4.7 -2.9 -0.8 -0.6 -3.0 1.1 -3.1 0.8 1.5 -12.1 5.0 -10.1 1.9 -0.6 4.3 6.2 3.0 3.0 -2.1 -7.8 2.8 -7.9 1.8 4.4 -1.2 -0.6 -4.7 2.0 -5.1 1.3 0.1 3.9 0.9 4.9 -5.9 -1.2 -7.9 1.2 -12.2 GASOLINE -0.1 -1.0 -2.8 -0.8 -0.6 -3.2 1.2 -3.4 0.9 -10.0 -9.5 -4.4 -5.0 -6.4 -2.7 -20.0 14.4 -10.4 4.5 -3.7 -6.0 -4.6 -3.8 -2.5 -20.0 -0.6 -5.2 -1.3 -3.0 -0.3 -1.0 11.0 -11.3 -1.7 -2.5 7.9 2.0 8.4 6.6 15.2 GAS_US_mini 2.9 10.3 13.5 -0.6 -0.5 -2.4 0.9 -2.5 0.7 13.2 -10.6 7.2 -14.2 5.3 -0.5 20.0 -20.0 -20.0 -20.0 0.9 -4.0 11.6 -10.5 5.7 20.0 -0.8 11.2 -3.3 6.5 -5.7 2.3 -20.0 12.7 2.0 1.4 -0.4 -7.1 -12.9 -5.1 -10.9 GBP 5.6 -16.7 -15.1 -5.3 -3.7 -3.8 -5.7 -1.6 -5.5 -8.4 -8.0 -6.3 3.3 -11.7 -14.5 0.7 -0.1 0.6 0.3 -12.6 -7.4 -11.8 0.5 -11.4 -0.7 -5.1 -5.3 -2.5 -5.3 1.1 -4.9 2.1 3.2 8.3 0.2 2.1 6.3 -9.7 19.6 -9.1 GOLD_micro -4.2 -20.0 -10.3 -1.1 -4.1 -0.3 -3.7 -0.2 -2.3 -5.0 4.6 -5.9 8.4 -4.9 -0.7 -9.0 -12.6 -10.6 -11.5 -0.3 5.1 -6.2 9.2 -3.8 -10.3 0.1 -2.3 2.8 -2.7 4.9 -1.7 -11.4 3.8 -0.5 -1.8 7.3 20.0 4.3 20.0 9.2 HEATOIL 0.4 0.9 -2.1 -0.8 -0.6 -3.1 1.1 -3.2 0.9 5.0 -13.8 7.5 -13.5 0.4 -6.3 5.5 3.1 1.5 -0.0 -3.8 -9.8 3.2 -11.0 1.0 -20.0 -1.3 0.2 -4.2 1.8 -5.0 0.7 -5.8 4.9 -0.8 0.2 1.9 -2.1 1.4 0.0 1.9 JGB-SGX-mini -1.3 -20.0 -8.8 -1.6 -8.4 -0.6 -6.0 0.2 -2.7 -0.2 -2.9 -7.1 0.1 -12.1 -11.6 19.1 14.0 16.1 14.9 -11.0 -6.6 -5.3 -1.9 -9.5 -13.8 -4.0 -0.4 -2.5 -2.1 -1.4 -3.5 20.0 20.0 -6.2 -7.9 -3.0 -20.0 -17.9 -20.0 -13.9 JPY 3.3 -7.0 -10.0 -2.7 -1.9 -1.9 -2.9 -0.8 -2.8 -6.3 -4.7 -7.0 -5.6 -4.8 -7.4 -10.1 -13.2 -10.7 -11.5 -6.8 -5.8 -11.9 -6.1 -8.1 20.0 -2.3 -5.1 -1.8 -4.6 -2.0 -3.0 -19.4 -13.6 1.5 3.0 -2.6 -10.2 -20.0 -7.0 -20.0 LEANHOG -14.8 -2.9 20.0 -3.8 -19.8 -4.8 -14.5 -7.2 -7.3 2.1 14.2 -11.7 6.4 -4.9 15.5 -20.0 3.4 -20.0 0.4 11.5 15.4 -3.0 6.1 -0.6 -1.0 6.7 4.0 7.4 -0.0 3.8 2.0 6.0 -5.9 19.3 20.0 20.0 8.3 -6.1 13.1 0.2 LIVECOW -2.5 -6.8 8.9 -3.9 -20.0 -4.9 -14.8 -7.4 -7.5 -10.8 20.0 -5.2 18.5 2.2 18.1 4.5 4.7 -0.0 2.3 10.4 14.0 -5.8 14.8 4.6 -20.0 5.6 -8.1 6.3 -2.3 7.2 3.4 6.0 20.0 16.2 7.4 20.0 -0.4 15.7 4.6 20.0 LUMBER-new -20.0 3.7 16.4 -3.0 -15.3 -3.7 -11.2 -5.3 -5.6 3.2 5.1 -9.6 -3.8 -8.0 4.4 -20.0 -19.3 -20.0 -19.9 0.9 5.2 -11.8 -1.4 -11.0 NaN -0.1 -0.2 1.9 -4.4 0.0 -4.4 -20.0 -6.7 -20.0 12.7 16.0 12.0 4.0 17.1 12.1 MILK 16.0 -18.2 -10.8 -2.2 -11.6 -2.8 -8.5 -4.2 -4.3 0.1 1.6 7.3 5.9 0.1 -7.5 9.2 -1.7 9.2 7.5 -4.2 -0.8 4.4 3.8 1.7 14.4 -1.3 -0.0 -0.4 1.8 0.9 1.0 4.2 17.1 19.3 -9.3 -6.8 -10.9 -20.0 -6.8 -20.0 MXP 11.4 6.3 -9.6 -4.6 -3.3 -3.3 -4.9 -1.4 -4.8 7.3 -14.9 10.9 -13.5 2.8 -7.7 11.9 13.2 11.8 11.8 -5.4 -13.6 3.8 -13.4 1.5 -20.0 -2.9 5.0 -7.2 2.2 -6.9 0.8 20.0 20.0 15.2 14.7 4.3 10.2 20.0 16.1 20.0 NASDAQ_micro 2.1 6.5 4.8 1.1 -9.6 2.9 -7.3 4.4 -2.2 -6.9 12.0 0.8 12.5 8.3 12.1 -10.0 -9.9 -9.8 -9.6 11.7 12.0 -1.0 12.9 7.8 -20.0 4.3 -4.5 5.0 -1.2 6.3 2.5 -5.5 20.0 16.0 13.1 14.5 12.0 4.9 -2.8 -9.1 NIKKEI 5.9 2.3 6.4 1.4 -11.6 3.5 -8.9 5.3 -2.7 -2.1 7.7 2.4 8.5 4.4 12.0 11.5 7.5 7.3 6.5 4.6 5.1 -2.3 9.1 2.5 -9.9 1.3 -3.5 -0.0 -2.3 3.0 1.0 20.0 20.0 11.3 2.7 -3.7 20.0 17.2 20.0 20.0 NZD -6.5 -16.3 -14.3 -3.6 -2.6 -2.6 -3.9 -1.1 -3.7 -9.7 -10.8 -11.9 -6.3 -12.7 -12.9 -1.6 -0.5 -1.3 -0.9 -15.2 -10.5 -18.8 -5.5 -17.3 2.1 -4.4 -5.3 -2.9 -5.8 -1.4 -5.2 0.7 -10.8 -12.4 -6.4 -4.4 -6.4 -3.5 -6.5 -0.2 OAT 3.8 2.1 -1.9 -2.2 -7.8 -0.9 -7.0 0.1 -3.8 -13.2 2.1 -9.8 -2.1 0.0 -2.9 -18.3 1.8 -5.8 -1.1 -0.9 -0.7 -15.1 -1.8 -5.2 4.2 -0.3 -10.0 0.3 -8.0 0.4 -2.9 8.1 7.7 2.2 8.1 9.2 -2.0 -13.6 17.7 5.3 OATIES -5.4 -16.1 14.9 -2.0 -10.5 -2.5 -7.7 -3.8 -3.9 -9.6 0.2 -8.2 -6.4 -9.5 1.4 -15.0 -1.9 -9.9 -4.9 -1.8 1.3 -6.3 -0.8 -4.8 -20.0 -1.9 -4.9 -0.1 -3.3 -0.2 -3.1 -6.0 0.6 -4.7 -7.6 10.5 20.0 5.8 20.0 14.0 OJ 12.6 8.8 8.3 -3.7 -19.1 -4.6 -14.0 -6.9 -7.0 12.6 20.0 18.4 20.0 20.0 20.0 20.0 15.0 19.5 16.5 20.0 20.0 20.0 20.0 20.0 -20.0 8.1 7.5 6.8 10.3 8.0 9.8 20.0 20.0 20.0 20.0 20.0 19.5 8.9 20.0 20.0 PALLAD -10.5 -16.6 3.9 -1.1 -3.8 -0.3 -3.4 -0.2 -2.2 -6.7 -2.4 -7.8 -4.1 -8.7 -6.4 -1.8 -2.1 -2.0 -2.0 -5.7 -2.2 -9.1 -3.1 -8.3 14.4 -1.8 -3.1 -0.4 -3.7 -0.6 -3.2 5.8 -2.2 -6.5 -4.0 -0.4 -18.3 -20.0 -20.0 -20.0 PLAT -4.4 -14.1 -2.4 -1.8 -6.4 -0.5 -5.7 -0.3 -3.6 -4.6 -10.8 -9.2 -5.5 -14.3 -11.2 -5.3 -4.6 -4.8 -4.7 -9.3 -5.7 -6.8 -2.7 -9.5 6.6 -4.7 -1.5 -2.8 -3.4 -1.4 -5.0 1.3 7.7 -10.7 -11.1 -10.0 8.5 -9.1 3.5 -3.6 REDWHEAT -0.9 -11.5 -2.9 -3.7 -19.2 -4.6 -14.0 -7.0 -7.1 -18.9 -20.0 -12.0 -20.0 -17.0 -18.4 -10.4 -8.2 -10.6 -10.0 -17.4 -19.8 -12.4 -20.0 -13.3 -3.1 -7.0 -7.9 -7.5 -5.8 -8.3 -5.5 -16.7 4.4 -6.9 -20.0 -9.0 -20.0 -20.0 -15.2 -20.0 RICE -4.8 -1.5 -11.5 -3.3 -17.1 -4.1 -12.5 -6.2 -6.3 -18.7 -4.8 -17.9 6.8 -5.4 -8.0 -8.3 14.4 -7.4 2.9 -9.6 -5.9 -20.0 0.6 -17.2 -14.9 -5.4 -20.0 -3.6 -15.0 -1.2 -8.4 16.6 -20.0 -20.0 -18.6 -15.6 -8.1 -20.0 -8.5 -20.0 ROBUSTA -5.3 -2.2 -13.2 -1.3 -6.5 -1.6 -4.8 -2.4 -2.4 -6.0 5.7 0.2 6.9 2.9 3.2 3.1 20.0 9.9 16.7 6.5 8.0 0.2 10.4 4.7 -20.0 2.2 -1.2 2.7 0.1 4.1 1.5 20.0 4.1 13.0 16.7 11.2 6.6 2.4 10.3 8.2 RUSSELL -20.0 4.7 5.0 1.1 -9.3 2.8 -7.1 4.3 -2.2 -9.4 8.5 -10.5 11.2 -2.1 5.7 -6.0 -6.4 -6.2 -6.1 2.7 8.0 -20.0 8.5 -9.1 1.3 1.2 -8.0 3.6 -7.4 4.3 -3.2 0.5 -12.7 -17.4 6.8 10.3 -8.1 -10.9 -20.0 -20.0 SHATZ -1.8 2.0 7.7 -1.4 -5.1 -0.6 -4.6 0.1 -2.5 -7.8 6.1 -7.8 1.0 0.6 0.8 -20.0 -20.0 -20.0 -20.0 2.1 4.4 -5.2 2.1 -1.5 6.0 1.2 -2.7 2.6 -2.8 1.9 -0.8 -20.0 20.0 1.0 6.8 12.3 -3.8 -12.9 6.6 -4.3 SILVER-mini -2.9 -14.4 -1.3 -1.5 -5.5 -0.4 -4.9 -0.3 -3.1 -9.0 1.0 -8.9 6.8 -10.6 -3.4 -6.0 -6.4 -6.0 -6.0 -4.1 1.7 -14.1 6.2 -9.1 -3.0 -1.2 -6.8 1.2 -6.5 3.0 -3.9 -1.3 -9.9 -2.3 -4.6 3.6 4.6 -1.4 -1.0 7.2 SMI 1.6 -14.9 -15.8 1.3 -11.2 3.3 -8.6 5.1 -2.6 -14.1 -4.1 -10.2 8.4 -12.3 -11.9 4.9 0.8 2.1 0.8 -11.2 -6.3 -17.5 2.2 -12.4 9.2 -4.4 -12.0 -1.4 -7.9 2.9 -5.4 12.4 3.1 -4.9 -20.0 -20.0 -5.0 1.8 -15.8 -11.7 SOFR 1.7 -13.7 -20.0 -2.2 -8.0 -0.9 -7.1 0.1 -3.8 -11.8 -5.5 -13.0 1.3 -12.1 -13.7 -0.7 -0.1 -0.1 0.1 -15.9 -10.5 -20.0 -3.6 -18.2 -6.2 -5.0 -6.4 -3.5 -6.7 -1.2 -5.5 7.2 -9.3 -16.4 -16.7 -20.0 -3.3 -5.1 13.0 14.9 SOYBEAN -0.8 1.9 -3.9 -2.9 -14.7 -3.6 -10.8 -5.3 -5.4 -4.6 -17.6 -9.3 -17.1 -14.4 -16.3 -3.4 -0.1 -2.8 -2.7 -16.2 -20.0 -15.7 -20.0 -15.4 -19.9 -6.4 -5.4 -7.1 -7.2 -7.6 -6.5 -3.9 -12.9 -13.7 -15.1 -15.1 5.0 -6.2 8.3 0.1 SOYMEAL 8.7 -1.8 -3.6 -2.9 -14.9 -3.6 -10.9 -5.4 -5.5 8.4 -17.8 -1.5 -17.7 -11.3 -17.1 -13.9 -1.7 -10.1 -6.4 -12.1 -15.7 0.6 -17.7 -6.3 -20.0 -5.5 6.8 -6.6 0.3 -6.2 -2.9 -7.8 17.9 6.5 -14.3 -13.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -13.4 -6.2 13.7 -1.3 -6.8 -1.6 -5.0 -2.5 -2.5 -7.0 -2.3 -6.9 -6.1 -7.2 -3.4 -3.8 -0.2 -2.5 -1.4 -3.9 -2.1 -9.6 -3.9 -7.3 -14.9 -1.5 -3.7 -0.6 -3.6 -1.0 -2.9 -2.4 -9.1 -10.3 -3.5 3.7 4.0 -4.9 9.1 1.2 SP400 -20.0 3.3 4.2 1.2 -10.2 3.0 -7.8 4.6 -2.3 -10.6 9.0 -11.6 12.9 -4.2 5.7 -7.4 -6.7 -7.5 -7.1 2.7 8.9 -20.0 10.1 -11.3 -9.7 1.1 -9.5 3.7 -8.6 4.5 -3.7 -0.5 -20.0 -20.0 5.4 13.2 -4.1 -5.9 -18.5 -20.0 SP500_micro -12.1 2.2 2.5 1.5 -12.9 3.9 -9.9 5.9 -3.0 -8.3 17.7 -5.2 18.9 8.5 15.8 -11.9 -11.9 -11.8 -11.7 11.1 17.7 -15.0 20.0 -1.0 -20.0 2.9 -11.4 6.7 -9.4 9.7 -2.9 -9.0 -5.4 -7.2 3.1 18.0 4.0 4.3 -12.7 -11.9 SUGAR11 -20.0 -15.7 10.6 -2.7 -13.7 -3.3 -10.0 -5.0 -5.0 -15.0 3.3 -16.5 -6.0 -16.3 -1.7 20.0 20.0 20.0 20.0 -10.1 -0.4 -20.0 0.1 -20.0 -20.0 -2.2 -11.9 0.5 -11.0 0.2 -6.8 20.0 -20.0 -18.3 -10.3 14.3 -20.0 0.3 -20.0 3.5 US10 3.7 -10.4 -20.0 -1.6 -5.7 -0.7 -5.1 0.1 -2.7 -8.1 -5.4 -8.7 -1.2 -7.5 -9.4 -2.2 -6.0 -3.6 -4.7 -10.0 -7.4 -15.7 -4.1 -11.1 1.9 -3.4 -4.6 -2.5 -4.7 -1.0 -3.7 -2.2 -4.1 -8.5 -9.0 -13.9 -8.1 -13.9 4.5 9.5 US10U 1.5 -8.9 -18.0 -2.1 -7.4 -0.9 -6.6 0.1 -3.6 -11.1 -7.1 -11.6 -1.4 -9.5 -11.9 -4.9 -3.8 -4.6 -4.4 -11.8 -8.7 -20.0 -5.3 -13.8 -1.6 -4.4 -6.1 -3.3 -6.2 -1.5 -4.7 -0.4 -3.0 -8.6 -8.6 -16.1 -6.3 -10.0 11.8 16.7 US2 9.4 -17.5 -20.0 -1.8 -6.5 -0.8 -5.9 0.1 -3.2 -8.4 -6.5 -7.8 -4.4 -8.8 -11.3 -17.4 -20.0 -19.1 -20.0 -14.2 -11.0 -14.1 -7.6 -12.3 19.0 -4.0 -4.1 -2.7 -4.4 -1.2 -3.9 -20.0 3.0 -6.8 -13.4 -14.1 -10.5 -13.6 -1.9 -5.4 US20 -0.2 -8.5 -18.3 -1.5 -5.3 -0.6 -4.7 0.1 -2.5 -8.3 -5.2 -9.0 1.0 -7.4 -8.7 -0.6 -1.2 -1.2 -1.3 -8.5 -6.0 -15.8 -3.3 -10.8 -3.3 -3.3 -4.7 -2.3 -4.8 -0.9 -3.7 4.9 -5.7 -9.4 -5.9 -11.9 -3.0 -6.3 20.0 18.9 US30 -0.7 -6.7 -14.3 -1.5 -5.5 -0.6 -4.9 0.1 -2.6 -9.0 -6.1 -9.4 -0.6 -7.2 -8.8 -5.9 -4.5 -4.3 -4.2 -7.5 -5.5 -14.3 -3.8 -9.6 -2.3 -3.2 -5.0 -2.4 -4.9 -1.1 -3.7 -0.4 -1.5 -6.0 -2.6 -9.4 -2.9 -6.6 20.0 15.3 US5 4.5 -13.5 -20.0 -1.9 -6.7 -0.8 -6.0 0.1 -3.2 -9.8 -6.8 -10.5 -3.9 -9.9 -11.6 -5.6 -9.2 -6.6 -7.9 -13.6 -10.2 -17.9 -5.9 -13.9 7.6 -4.0 -5.0 -2.9 -5.2 -1.2 -4.1 -7.8 -2.9 -8.5 -11.6 -16.2 -5.8 -11.0 5.7 7.0 VIX 12.3 -5.5 2.1 1.1 10.9 -0.3 11.4 -2.3 5.7 5.0 -14.8 10.9 -15.4 -2.0 -9.2 -18.9 -20.0 -17.2 -18.7 -0.8 -3.4 17.5 -7.5 7.6 NaN 1.3 11.9 -0.3 12.2 -2.7 6.2 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -5.7 -13.5 -4.5 -3.8 -19.7 -4.8 -14.4 -7.2 -7.3 -20.0 -20.0 -20.0 -20.0 -20.0 -19.4 -15.6 -14.7 -14.7 -14.6 -20.0 -20.0 -20.0 -20.0 -20.0 6.1 -8.0 -10.1 -7.2 -8.4 -6.9 -7.8 -20.0 -9.8 -18.0 -20.0 -11.6 -15.8 -20.0 -11.2 -19.6 End of report for caleb_strategy_v3