******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20241223_204451 produced at 2024-12-23 21:41:13.068300 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.57 0.0 0.00 0.00 0.00 0.00 -19.01 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.47 -0.82 0.0 0.50 -0.50 -0.47 -0.47 -26.09 16.0 -15 -15 caleb_strategy_v3 US2 False True 0.07 0.00 -0.22 0.0 0.00 0.00 0.00 0.00 -3.12 13.0 0 0 caleb_strategy_v3 CAD False False 0.02 -0.05 -0.17 0.0 0.70 -0.70 -0.05 -0.05 -6.91 29.0 -2 -2 caleb_strategy_v3 CHF False False 0.05 -0.48 -0.12 0.0 0.63 -0.63 -0.48 -0.48 -2.48 13.0 -10 -10 caleb_strategy_v3 COPPER False False 0.04 -0.14 -0.11 0.0 999.00 -999.00 -0.14 -0.14 -3.12 999999999.0 -4 -4 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.09 0.0 999.00 -999.00 -0.11 -0.11 -14.84 999999999.0 -17 -17 caleb_strategy_v3 US5 False False 0.04 -0.07 -0.08 0.0 0.91 -0.91 -0.07 -0.07 -2.12 25.0 -2 -2 caleb_strategy_v3 AUD False False 0.02 -0.06 -0.06 0.0 0.41 -0.41 -0.06 -0.06 -2.60 19.0 -3 -3 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.06 0.0 0.41 -0.41 -0.02 -0.02 -2.91 21.0 -1 -1 caleb_strategy_v3 RICE False True 0.01 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -5.75 4.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.05 0.0 0.09 -0.09 -0.05 -0.05 -6.01 12.0 -7 -7 caleb_strategy_v3 COTTON2 False False 0.01 -0.07 -0.05 0.0 0.13 -0.13 -0.07 -0.07 -4.59 11.0 -6 -6 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.63 -0.63 0.00 0.00 -1.23 17.0 0 0 caleb_strategy_v3 EUR False False 0.04 -0.04 -0.05 0.0 0.63 -0.63 -0.04 -0.04 -1.14 14.0 -1 -1 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.17 24.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.67 12.0 0 0 caleb_strategy_v3 SP400 False False 0.11 0.00 -0.04 0.0 0.22 -0.22 0.00 0.00 -0.35 2.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.06 -0.04 0.0 0.47 -0.47 -0.06 -0.06 -1.44 17.0 -2 -2 caleb_strategy_v3 US10U False False 0.04 -0.04 -0.04 0.0 0.50 -0.50 -0.04 -0.04 -0.95 13.0 -1 -1 caleb_strategy_v3 HEATOIL False False 0.03 -0.10 -0.04 0.0 0.10 -0.10 -0.10 -0.10 -1.17 3.0 -3 -3 caleb_strategy_v3 GBP False False 0.03 0.00 -0.03 0.0 0.59 -0.59 0.00 0.00 -1.15 22.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -3.04 8.0 -4 -4 caleb_strategy_v3 GASOLINE False False 0.03 -0.03 -0.03 0.0 999.00 -999.00 -0.03 -0.03 -0.84 999999999.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.03 0.0 0.09 -0.09 -0.02 -0.02 -3.41 9.0 -2 -2 caleb_strategy_v3 CRUDE_W False False 0.02 0.00 -0.03 0.0 0.11 -0.11 0.00 0.00 -1.27 5.0 0 0 caleb_strategy_v3 DOW False False 0.01 -0.03 -0.03 0.0 0.49 -0.49 -0.03 -0.03 -4.70 66.0 -4 -4 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.03 0.0 0.15 -0.15 -0.02 -0.02 -9.11 51.0 -8 -8 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.02 0.0 0.26 -0.26 -0.01 -0.01 -5.29 68.0 -3 -3 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 -0.02 0.0 0.51 -0.51 -0.01 -0.01 -1.85 56.0 -1 -1 caleb_strategy_v3 US20 False True 0.04 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.41 9.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.02 -0.02 0.0 0.13 -0.13 -0.02 -0.02 -3.08 18.0 -3 -3 caleb_strategy_v3 SP500_micro False False 0.01 -0.02 -0.02 0.0 0.50 -0.50 -0.02 -0.02 -1.93 48.0 -2 -2 caleb_strategy_v3 SMI False True 0.04 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.54 9.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -1.80 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.05 -0.02 0.0 0.12 -0.12 -0.05 -0.05 -1.38 7.0 -3 -3 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -0.71 10.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.00 -0.01 0.0 0.09 -0.09 0.00 0.00 -0.41 4.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.87 10.0 -1 -1 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 SILVER-mini False False 0.03 0.00 -0.01 0.0 999.00 -999.00 0.00 0.00 -0.45 999999999.0 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 -1.10 3.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.48 -0.48 0.00 0.00 -0.23 10.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.16 -0.01 0.0 0.25 -0.25 -0.16 -0.16 -0.27 6.0 -4 -4 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -2.42 2.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.19 -0.19 0.00 0.00 -0.06 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 0.29 5.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.00 0.0 0.80 -0.80 0.00 0.00 -0.08 19.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.02 0.00 0.00 0.0 0.39 -0.39 0.00 0.00 0.17 23.0 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 0.41 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 0.14 6.0 0 0 caleb_strategy_v3 OAT False False 0.04 0.13 0.01 0.0 0.44 -0.44 0.13 0.13 0.14 10.0 3 3 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.01 0.01 0.0 0.34 -0.34 0.01 0.01 0.39 23.0 1 1 caleb_strategy_v3 EUROSTX False False 0.02 0.07 0.01 0.0 0.35 -0.35 0.07 0.07 0.62 20.0 4 4 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.02 0.0 0.00 0.00 0.00 0.00 5.32 59.0 0 0 caleb_strategy_v3 COCOA False False 0.04 0.04 0.02 0.0 0.96 -0.96 0.04 0.04 0.63 26.0 1 1 caleb_strategy_v3 OJ False False 0.03 0.03 0.03 0.0 0.08 -0.08 0.03 0.03 1.26 3.0 1 1 caleb_strategy_v3 LIVECOW False False 0.03 0.00 0.03 0.0 0.44 -0.44 0.00 0.00 1.33 17.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.04 0.04 0.0 0.16 -0.16 0.04 0.04 2.90 13.0 3 3 caleb_strategy_v3 BTP False False 0.04 0.04 0.06 0.0 0.43 -0.43 0.04 0.04 1.41 10.0 1 1 caleb_strategy_v3 MXP False False 0.01 0.03 0.07 0.0 0.50 -0.50 0.03 0.03 8.80 60.0 3 3 caleb_strategy_v3 FEEDCOW False False 0.04 0.13 0.08 0.0 0.35 -0.35 0.13 0.13 1.76 8.0 3 3 caleb_strategy_v3 DX False False 0.04 0.00 0.09 0.0 999.00 -999.00 0.00 0.00 2.47 999999999.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.04 0.12 0.0 0.42 -0.42 0.04 0.04 17.00 58.0 6 6 caleb_strategy_v3 NIKKEI False False 0.01 0.12 0.19 0.0 0.31 -0.31 0.12 0.12 22.43 36.0 14 14 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 1.09 0.0 0.88 -0.88 0.00 0.00 12.40 10.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 11.5 Shocked risk 23.5 Sum abs risk 42.1 Leverage 6.13 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2911271.49, 'annual_cash_vol_target': 727817.8725, 'daily_cash_vol_target': 45488.61703125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6250 0.7061 11.2973 BITCOIN 2569.6222 93920.0000 2.7360 43.7755 BOBL 0.2204 117.9300 0.1869 2.9901 BTP 0.5015 120.1600 0.4173 6.6772 BUND 0.4502 133.6300 0.3369 5.3909 BUXL 1.1009 132.9600 0.8280 13.2473 CAC 55.5860 7302.5000 0.7612 12.1791 CAD 0.0029 0.6980 0.4205 6.7279 CANOLA 8.8334 611.3000 1.4450 23.1204 CHF 0.0056 1.1234 0.4984 7.9750 COCOA 238.4027 10727.0000 2.2225 35.5593 COFFEE 6.0017 320.5500 1.8723 29.9569 COPPER 0.0465 4.0950 1.1365 18.1839 CORN 3.7744 437.7500 0.8622 13.7955 COTTON2 0.8498 69.4500 1.2237 19.5786 CRUDE_W 0.8943 66.5600 1.3436 21.4979 DAX 134.6849 20064.0000 0.6713 10.7404 DOW 316.4437 43233.0000 0.7319 11.7112 DX 0.4264 107.8300 0.3954 6.3272 EUR 0.0055 1.0451 0.5268 8.4296 EURIBOR-ICE 0.0439 97.9400 0.0448 0.7172 EUROSTX 38.6638 4892.0000 0.7903 12.6456 FEEDCOW 1.6453 256.8750 0.6405 10.2482 GASOIL 10.6031 668.0000 1.5873 25.3967 GASOLINE 0.0316 2.1694 1.4572 23.3147 GAS_US_mini 0.1114 3.3350 3.3409 53.4542 GBP 0.0067 1.2529 0.5362 8.5799 GOLD_micro 25.2653 2626.8000 0.9618 15.3892 HEATOIL 0.0329 2.2222 1.4813 23.7012 JGB-SGX-mini 0.2057 142.5400 0.1443 2.3088 JPY 0.0000 0.0064 0.7432 11.8906 LEANHOG 1.1517 89.5750 1.2858 20.5723 LIVECOW 1.2264 189.7750 0.6462 10.3398 LUMBER-new 7.6264 595.5000 1.2807 20.4907 MILK 0.2461 19.5500 1.2587 20.1399 MXP 0.0004 0.0487 0.7827 12.5226 NASDAQ_micro 209.9264 21707.7500 0.9671 15.4729 NIKKEI 382.7938 39205.0000 0.9764 15.6222 NZD 0.0040 0.5657 0.7039 11.2623 OAT 0.4255 123.6800 0.3440 5.5040 OATIES 6.2024 350.0000 1.7721 28.3539 OJ 8.2045 502.7000 1.6321 26.1135 PALLAD 23.4679 934.5000 2.5113 40.1804 PLAT 13.8208 950.9000 1.4534 23.2551 REDWHEAT 7.7625 559.2500 1.3880 22.2083 RICE 0.1519 14.1050 1.0769 17.2296 ROBUSTA 104.9526 4999.0000 2.0995 33.5916 RUSSELL 28.6960 2254.0000 1.2731 20.3698 SHATZ 0.0751 107.0250 0.0701 1.1224 SILVER-mini 0.5073 30.2375 1.6778 26.8443 SMI 89.3741 11506.0000 0.7768 12.4282 SOFR 0.0576 95.9550 0.0600 0.9608 SOYBEAN 9.8363 986.7500 0.9968 15.9494 SOYMEAL 4.1815 303.2000 1.3791 22.0661 SOYOIL 0.7482 40.9800 1.8257 29.2109 SP400 32.2350 3157.5000 1.0209 16.3344 SP500_micro 44.1537 6019.2500 0.7335 11.7367 SUGAR11 0.2773 18.0800 1.5340 24.5437 US10 0.3836 108.5156 0.3535 5.6559 US10U 0.5261 111.1562 0.4733 7.5735 US2 0.0898 102.6445 0.0875 1.4000 US20 0.7653 113.6562 0.6734 10.7736 US30 1.1907 119.0312 1.0004 16.0058 US5 0.2360 106.0703 0.2225 3.5599 VIX 0.7112 18.1500 3.9186 62.6978 WHEAT 7.0721 589.0000 1.2007 19.2113 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 625.00 0.71 441.30 1.00 441.30 45488.62 103.08 -9.71 -100.10 BITCOIN 93.92 2.74 256.96 1.00 256.96 45488.62 177.02 2.78 49.15 BOBL 1179.30 0.19 220.39 1.04 228.71 45488.62 198.89 -0.38 -7.48 BTP 1201.60 0.42 501.46 1.04 520.39 45488.62 87.41 4.71 41.19 BUND 1336.30 0.34 450.24 1.04 467.24 45488.62 97.36 -2.31 -22.46 BUXL 1329.60 0.83 1100.85 1.04 1142.41 45488.62 39.82 -1.53 -6.11 CAC 730.25 0.76 555.86 1.04 576.84 45488.62 78.86 -6.22 -49.04 CAD 697.95 0.42 293.48 1.00 293.48 45488.62 155.00 -17.18 -266.33 CANOLA 122.26 1.45 176.67 0.69 122.74 45488.62 370.62 -10.10 -374.36 CHF 1404.31 0.50 699.97 1.00 699.97 45488.62 64.99 -14.70 -95.53 COCOA 1072.70 2.22 2384.03 1.00 2384.03 45488.62 19.08 15.50 29.58 COFFEE 1202.06 1.87 2250.63 1.00 2250.63 45488.62 20.21 5.96 12.04 COPPER 1023.75 1.14 1163.49 1.00 1163.49 45488.62 39.10 -7.38 -28.85 CORN 218.88 0.86 188.72 1.00 188.72 45488.62 241.04 -10.25 -246.96 COTTON2 347.25 1.22 424.92 1.00 424.92 45488.62 107.05 -20.00 -214.11 CRUDE_W 665.60 1.34 894.31 1.00 894.31 45488.62 50.86 -2.30 -11.72 DAX 200.64 0.67 134.68 1.04 139.77 45488.62 325.45 15.32 498.47 DOW 216.16 0.73 158.22 1.00 158.22 45488.62 287.50 -7.03 -202.20 DX 1078.30 0.40 426.41 1.00 426.41 45488.62 106.68 8.93 95.21 EUR 1306.37 0.53 688.26 1.00 688.26 45488.62 66.09 -6.64 -43.91 EURIBOR-ICE 2448.50 0.04 109.75 1.04 113.90 45488.62 399.39 9.10 363.58 EUROSTX 489.20 0.79 386.64 1.04 401.23 45488.62 113.37 1.61 18.28 FEEDCOW 1284.38 0.64 822.66 1.00 822.66 45488.62 55.29 9.60 53.11 GASOIL 668.00 1.59 1060.31 1.00 1060.31 45488.62 42.90 -2.22 -9.54 GASOLINE 911.15 1.46 1327.70 1.00 1327.70 45488.62 34.26 -5.69 -19.49 GAS_US_mini 83.38 3.34 278.55 1.00 278.55 45488.62 163.31 0.23 3.79 GBP 783.06 0.54 419.91 1.00 419.91 45488.62 108.33 -4.10 -44.45 GOLD_micro 262.68 0.96 252.65 1.00 252.65 45488.62 180.04 -3.01 -54.16 HEATOIL 933.32 1.48 1382.56 1.00 1382.56 45488.62 32.90 -8.22 -27.04 JGB-SGX-mini 142540.00 0.14 20568.75 0.01 131.58 45488.62 345.70 -6.97 -240.92 JPY 803.62 0.74 597.23 1.00 597.23 45488.62 76.17 -7.29 -55.55 LEANHOG 358.30 1.29 460.69 1.00 460.69 45488.62 98.74 4.83 47.72 LIVECOW 759.10 0.65 490.56 1.00 490.56 45488.62 92.73 4.32 40.09 LUMBER-new 163.76 1.28 209.73 1.00 209.73 45488.62 216.90 -2.36 -51.14 MILK 391.00 1.26 492.17 1.00 492.17 45488.62 92.42 1.49 13.73 MXP 243.45 0.78 190.54 1.00 190.54 45488.62 238.74 2.51 59.93 NASDAQ_micro 434.16 0.97 419.85 1.00 419.85 45488.62 108.34 1.54 16.72 NIKKEI 39205.00 0.98 38279.38 0.01 243.89 45488.62 186.51 11.11 207.17 NZD 565.70 0.70 398.19 1.00 398.19 45488.62 114.24 -9.83 -112.34 OAT 1236.80 0.34 425.46 1.04 441.52 45488.62 103.03 0.39 3.98 OATIES 175.00 1.77 310.12 1.00 310.12 45488.62 146.68 -6.79 -99.66 OJ 754.05 1.63 1230.68 1.00 1230.68 45488.62 36.96 15.92 58.83 PALLAD 934.50 2.51 2346.79 1.00 2346.79 45488.62 19.38 -5.26 -10.20 PLAT 475.45 1.45 691.04 1.00 691.04 45488.62 65.83 -3.90 -25.64 REDWHEAT 279.62 1.39 388.12 1.00 388.12 45488.62 117.20 -19.58 -229.53 RICE 282.10 1.08 303.78 1.00 303.78 45488.62 149.74 -15.78 -236.29 ROBUSTA 499.90 2.10 1049.53 1.00 1049.53 45488.62 43.34 3.35 14.54 RUSSELL 112.70 1.27 143.48 1.00 143.48 45488.62 317.04 -5.03 -159.54 SHATZ 1070.25 0.07 75.07 1.04 77.91 45488.62 583.87 -1.98 -115.80 SILVER-mini 755.94 1.68 1268.29 1.00 1268.29 45488.62 35.87 -3.71 -13.29 SMI 1150.60 0.78 893.74 1.11 995.85 45488.62 45.68 -3.47 -15.85 SOFR 2398.88 0.06 144.05 1.00 144.05 45488.62 315.79 -9.91 -312.79 SOYBEAN 493.38 1.00 491.81 1.00 491.81 45488.62 92.49 -15.99 -147.91 SOYMEAL 303.20 1.38 418.15 1.00 418.15 45488.62 108.78 -17.80 -193.64 SOYOIL 245.88 1.83 448.90 1.00 448.90 45488.62 101.33 -7.49 -75.92 SP400 3157.50 1.02 3223.50 1.00 3223.50 45488.62 14.11 -7.52 -10.61 SP500_micro 300.96 0.73 220.77 1.00 220.77 45488.62 206.05 -4.04 -83.17 SUGAR11 202.50 1.53 310.63 1.00 310.63 45488.62 146.44 -9.90 -144.96 US10 1085.16 0.35 383.59 1.00 383.59 45488.62 118.59 -8.17 -96.88 US10U 1111.56 0.47 526.15 1.00 526.15 45488.62 86.46 -8.63 -74.63 US2 2052.89 0.09 179.63 1.00 179.63 45488.62 253.23 -9.73 -246.47 US20 1136.56 0.67 765.31 1.00 765.31 45488.62 59.44 -5.45 -32.41 US30 1190.31 1.00 1190.74 1.00 1190.74 45488.62 38.20 -5.67 -21.67 US5 1060.70 0.22 236.00 1.00 236.00 45488.62 192.75 -8.68 -167.26 VIX 181.50 3.92 711.23 1.00 711.23 45488.62 63.96 -9.40 -60.13 WHEAT 294.50 1.20 353.61 1.00 353.61 45488.62 128.64 -20.00 -257.28 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -100.097 0.010 2.5 -2.597 BITCOIN 49.150 0.043 2.5 5.322 BOBL -7.481 0.004 2.5 -0.076 BTP 41.194 0.014 2.5 1.405 BUND -22.458 0.004 2.5 -0.228 BUXL -6.109 0.004 2.5 -0.062 CAC -49.044 0.014 2.5 -1.673 CAD -266.325 0.010 2.5 -6.910 CANOLA -374.356 0.010 2.5 -9.108 CHF -95.535 0.010 2.5 -2.479 COCOA 29.579 0.009 2.5 0.634 COFFEE 12.038 0.005 2.5 0.141 COPPER -28.851 0.043 2.5 -3.124 CORN -246.955 0.010 2.5 -6.008 COTTON2 -214.106 0.009 2.5 -4.586 CRUDE_W -11.719 0.043 2.5 -1.269 DAX 498.475 0.014 2.5 17.002 DOW -202.203 0.009 2.5 -4.699 DX 95.211 0.010 2.5 2.470 EUR -43.909 0.010 2.5 -1.139 EURIBOR-ICE 363.576 0.014 2.5 12.401 EUROSTX 18.275 0.014 2.5 0.623 FEEDCOW 53.107 0.013 2.5 1.760 GASOIL -9.537 0.017 2.5 -0.413 GASOLINE -19.491 0.017 2.5 -0.845 GAS_US_mini 3.790 0.043 2.5 0.410 GBP -44.448 0.010 2.5 -1.153 GOLD_micro -54.163 0.014 2.5 -1.847 HEATOIL -27.039 0.017 2.5 -1.172 JGB-SGX-mini -240.921 0.043 2.5 -26.088 JPY -55.549 0.010 2.5 -1.441 LEANHOG 47.715 0.024 2.5 2.900 LIVECOW 40.087 0.013 2.5 1.328 LUMBER-new -51.141 0.009 2.5 -1.095 MILK 13.730 0.009 2.5 0.294 MXP 59.928 0.059 2.5 8.796 NASDAQ_micro 16.716 0.009 2.5 0.388 NIKKEI 207.171 0.043 2.5 22.434 NZD -112.341 0.010 2.5 -2.915 OAT 3.976 0.014 2.5 0.136 OATIES -99.657 0.010 2.5 -2.424 OJ 58.827 0.009 2.5 1.260 PALLAD -10.200 0.014 2.5 -0.348 PLAT -25.643 0.014 2.5 -0.875 REDWHEAT -229.532 0.005 2.5 -3.045 RICE -236.286 0.010 2.5 -5.748 ROBUSTA 14.541 0.005 2.5 0.170 RUSSELL -159.535 0.013 2.5 -5.287 SHATZ -115.798 0.004 2.5 -1.174 SILVER-mini -13.292 0.014 2.5 -0.453 SMI -15.846 0.014 2.5 -0.540 SOFR -312.793 0.024 2.5 -19.010 SOYBEAN -147.910 0.004 2.5 -1.376 SOYMEAL -193.644 0.004 2.5 -1.801 SOYOIL -75.925 0.004 2.5 -0.707 SP400 -10.612 0.013 2.5 -0.352 SP500_micro -83.167 0.009 2.5 -1.933 SUGAR11 -144.959 0.009 2.5 -3.083 US10 -96.884 0.005 2.5 -1.228 US10U -74.632 0.005 2.5 -0.946 US2 -246.473 0.005 2.5 -3.123 US20 -32.407 0.005 2.5 -0.411 US30 -21.668 0.005 2.5 -0.275 US5 -167.262 0.005 2.5 -2.119 VIX -60.128 0.099 2.5 -14.842 WHEAT -257.283 0.005 2.5 -3.413 ===================== Position diags ===================== AUD 2.67 BITCOIN 19.17 BOBL 2.02 BTP 2.98 BUND 0.99 BUXL 0.40 CAC 2.69 CAD 4.02 CANOLA 9.02 CHF 1.69 COCOA 0.41 COFFEE 0.24 COPPER 4.23 CORN 5.86 COTTON2 2.29 CRUDE_W 5.51 DAX 11.10 DOW 6.68 DX 2.77 EUR 1.71 EURIBOR-ICE 13.62 EUROSTX 3.87 FEEDCOW 1.83 GASOIL 1.86 GASOLINE 1.49 GAS_US_mini 17.68 GBP 2.81 GOLD_micro 6.14 HEATOIL 1.43 JGB-SGX-mini 37.43 JPY 1.98 LEANHOG 6.00 LIVECOW 3.07 LUMBER-new 4.65 MILK 1.98 MXP 35.04 NASDAQ_micro 2.52 NIKKEI 20.20 NZD 2.96 OAT 3.51 OATIES 3.57 OJ 0.79 PALLAD 0.66 PLAT 2.25 REDWHEAT 1.55 RICE 3.64 ROBUSTA 0.51 RUSSELL 10.51 SHATZ 5.92 SILVER-mini 1.22 SMI 1.56 SOFR 19.19 SOYBEAN 0.86 SOYMEAL 1.01 SOYOIL 0.94 SP400 0.47 SP500_micro 4.79 SUGAR11 3.11 US10 1.50 US10U 1.10 US2 3.21 US20 0.75 US30 0.48 US5 2.44 VIX 15.79 WHEAT 1.71 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.6 -2.9 -2.3 -3.0 -3 BITCOIN 5.3 3.4 7.2 0.0 0 BOBL -0.1 -0.3 0.1 0.0 0 BTP 1.4 1.1 1.7 1.0 1 BUND -0.2 -0.3 -0.1 0.0 0 BUXL -0.1 -0.1 -0.0 0.0 0 CAC -1.7 -1.9 -1.4 0.0 0 CAD -6.9 -7.3 -6.5 -2.0 -2 CANOLA -9.1 -10.0 -8.2 -8.0 -8 CHF -2.5 -2.6 -2.3 -10.0 -10 COCOA 0.6 0.6 0.7 1.0 1 COFFEE 0.1 0.1 0.2 0.0 0 COPPER -3.1 -3.5 -2.7 -4.0 -4 CORN -6.0 -6.6 -5.4 -7.0 -7 COTTON2 -4.6 -4.8 -4.4 -6.0 -6 CRUDE_W -1.3 -1.8 -0.7 0.0 0 DAX 17.0 15.9 18.1 6.0 6 DOW -4.7 -5.4 -4.0 -4.0 -4 DX 2.5 2.2 2.7 0.0 0 EUR -1.1 -1.3 -1.0 -1.0 -1 EURIBOR-ICE 12.4 11.0 13.8 0.0 0 EUROSTX 0.6 0.2 1.0 4.0 4 FEEDCOW 1.8 1.6 1.9 3.0 3 GASOIL -0.4 -0.6 -0.2 0.0 0 GASOLINE -0.8 -1.0 -0.7 -1.0 -1 GAS_US_mini 0.4 -1.4 2.2 -5.0 -5 GBP -1.2 -1.4 -0.9 0.0 0 GOLD_micro -1.8 -2.5 -1.2 -1.0 -1 HEATOIL -1.2 -1.3 -1.0 -3.0 -3 JGB-SGX-mini -26.1 -29.8 -22.3 -15.0 -15 JPY -1.4 -1.6 -1.2 -2.0 -2 LEANHOG 2.9 2.3 3.5 3.0 3 LIVECOW 1.3 1.0 1.6 0.0 0 LUMBER-new -1.1 -1.6 -0.6 0.0 0 MILK 0.3 0.1 0.5 0.0 0 MXP 8.8 5.3 12.3 3.0 3 NASDAQ_micro 0.4 0.1 0.6 1.0 1 NIKKEI 22.4 20.4 24.5 14.0 14 NZD -2.9 -3.2 -2.6 -1.0 -1 OAT 0.1 -0.2 0.5 3.0 3 OATIES -2.4 -2.8 -2.1 NaN 0 OJ 1.3 1.2 1.3 1.0 1 PALLAD -0.3 -0.4 -0.3 0.0 0 PLAT -0.9 -1.1 -0.7 -1.0 -1 REDWHEAT -3.0 -3.2 -2.9 -4.0 -4 RICE -5.7 -6.1 -5.4 NaN 0 ROBUSTA 0.2 0.1 0.2 0.0 0 RUSSELL -5.3 -6.3 -4.2 -3.0 -3 SHATZ -1.2 -1.8 -0.6 NaN 0 SILVER-mini -0.5 -0.6 -0.3 0.0 0 SMI -0.5 -0.7 -0.4 0.0 0 SOFR -19.0 -20.9 -17.1 NaN 0 SOYBEAN -1.4 -1.5 -1.3 -3.0 -3 SOYMEAL -1.8 -1.9 -1.7 0.0 0 SOYOIL -0.7 -0.8 -0.6 0.0 0 SP400 -0.4 -0.4 -0.3 0.0 0 SP500_micro -1.9 -2.4 -1.5 -2.0 -2 SUGAR11 -3.1 -3.4 -2.8 -3.0 -3 US10 -1.2 -1.4 -1.1 0.0 0 US10U -0.9 -1.1 -0.8 -1.0 -1 US2 -3.1 -3.4 -2.8 NaN 0 US20 -0.4 -0.5 -0.3 0.0 0 US30 -0.3 -0.3 -0.2 -4.0 -4 US5 -2.1 -2.4 -1.9 -2.0 -2 VIX -14.8 -16.4 -13.3 -17.0 -17 WHEAT -3.4 -3.6 -3.2 -2.0 -2 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.4 -0.6 -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 -0.2 -0.6 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 BITCOIN -0.3 0.6 0.5 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 0.5 -0.1 0.6 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 -0.1 0.5 0.2 -2.7 0.1 -0.1 0.2 -0.0 0.2 0.0 -0.2 0.1 0.5 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 0.3 0.1 0.3 0.4 -0.1 -0.4 0.4 0.0 BTP 0.0 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 -0.2 0.4 -0.0 -2.7 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.8 0.2 0.5 0.6 0.6 -0.0 -0.3 0.5 0.4 BUND -0.1 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.0 0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.2 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 -0.1 0.3 0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 0.2 -0.1 0.1 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.2 0.0 -0.1 -0.5 0.0 -0.1 0.0 -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 -0.2 -0.3 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 -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 0.4 0.6 -0.6 -0.6 0.1 0.3 -0.2 -0.1 CAD -0.4 -0.5 -0.5 -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 0.3 -0.1 -0.0 -0.2 -0.1 -0.1 -0.1 -0.4 -0.2 -0.6 -0.6 -0.6 -0.2 -0.2 -0.2 -0.2 CANOLA 0.1 -0.4 0.2 -0.0 -0.0 -0.0 -0.0 -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 0.0 0.0 -0.1 0.2 -0.3 -0.3 -0.1 -0.1 CHF -0.1 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.1 -0.1 -0.2 0.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -1.1 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 -0.4 -0.5 COCOA 0.5 0.6 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.3 0.1 0.3 0.1 0.1 0.3 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 0.0 1.1 0.5 0.6 0.6 0.6 0.5 0.7 0.6 0.7 COFFEE -0.1 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 0.2 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 0.4 0.1 0.6 0.6 0.6 -0.1 -0.2 0.1 0.1 COPPER -0.0 -0.5 -0.2 -0.0 -0.0 -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 -0.0 -0.0 -0.1 0.1 -0.0 0.1 -0.1 0.1 -0.1 -0.0 0.2 0.5 0.1 0.7 CORN 0.2 0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -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 0.1 -0.1 -0.3 0.5 -0.0 0.7 0.1 COTTON2 -0.2 -0.2 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.5 -0.2 -0.7 -0.2 -0.2 -0.3 -0.2 -0.3 -0.2 -0.2 -0.2 -0.1 -0.5 -0.2 -2.7 -0.1 0.0 -0.2 -0.1 -0.2 -0.1 -1.0 0.0 -0.4 -0.6 -0.3 -0.7 -0.6 -0.6 -0.4 CRUDE_W 0.1 -0.0 -0.2 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.3 -0.0 -0.3 -0.1 -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 0.0 -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 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.1 0.5 0.2 1.0 0.1 -0.1 0.1 -0.0 0.2 0.0 -0.3 0.3 0.6 0.5 0.6 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 0.0 0.1 -0.2 0.4 -0.1 -1.7 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.4 -0.3 -0.6 0.0 0.5 -0.1 0.0 -0.5 -0.3 DX 0.0 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 0.3 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 0.0 -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 -0.1 0.1 0.2 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.1 0.2 -0.1 0.3 0.0 0.0 0.1 0.0 0.1 0.1 0.0 0.1 -0.1 0.2 -0.0 1.4 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.6 0.2 0.2 0.4 0.5 -0.0 -0.4 0.6 0.3 EUROSTX 0.5 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.2 0.0 0.0 0.4 0.1 -0.0 0.1 -0.1 -0.0 -0.0 0.0 -0.0 -0.1 0.1 0.0 -0.4 0.0 -0.1 -0.0 -0.0 0.1 0.0 0.4 0.4 0.6 -0.3 -0.4 0.2 0.2 -0.3 -0.4 FEEDCOW -0.0 0.6 0.6 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.3 -0.0 -0.2 0.2 0.2 -0.0 -0.1 0.1 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 0.1 0.1 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.3 0.0 -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 -0.1 0.1 -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 -0.3 0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.4 -0.2 0.0 -0.1 0.3 0.1 0.3 0.2 0.5 GAS_US_mini 0.1 0.4 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 0.0 0.1 -0.0 -0.2 -0.4 -0.2 -0.4 GBP 0.1 -0.6 -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 -0.1 -0.1 -0.1 0.0 -0.1 0.1 -0.0 0.3 -0.0 0.1 0.2 -0.3 0.7 -0.3 GOLD_micro -0.2 -0.6 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.3 -0.1 -0.0 -0.2 -0.3 -0.2 -0.2 -0.0 0.1 -0.1 0.3 -0.0 -1.4 -0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.6 0.0 -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 0.1 -0.1 -0.0 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 -0.1 -0.0 1.1 0.5 -0.1 -0.2 -0.1 -0.7 -0.6 -0.7 -0.5 JPY -0.1 -0.3 -0.4 -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 -0.1 -0.1 -0.1 -0.2 -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 -0.0 0.5 0.6 0.6 0.3 -0.2 0.4 0.0 LIVECOW -0.1 -0.2 0.3 -0.0 -0.1 -0.1 -0.2 -0.3 -0.1 -0.1 0.5 -0.1 0.7 0.0 0.2 0.0 0.1 -0.0 0.0 0.1 0.1 -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 -0.1 -0.1 -0.1 -0.2 -0.1 0.1 0.2 -0.1 -0.2 -0.1 0.1 -0.5 -0.4 -0.5 -0.5 0.0 0.1 -0.0 -0.0 -0.1 NaN 0.0 0.0 0.1 -0.0 0.0 -0.0 -1.2 0.2 -0.7 0.5 0.6 0.4 0.2 0.6 0.5 MILK 0.5 -0.5 -0.4 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 0.1 0.2 0.0 -0.1 0.2 -0.0 0.2 0.1 -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 0.1 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -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 0.2 0.3 0.7 0.5 0.7 NASDAQ_micro 0.0 0.2 0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.0 0.4 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 -0.0 0.4 0.1 -2.7 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.3 0.5 0.6 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 0.2 0.2 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 0.5 0.1 -0.1 0.7 0.6 0.7 0.7 NZD -0.3 -0.6 -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 -0.2 -0.2 0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.3 -0.4 -0.2 -0.2 -0.2 -0.1 -0.2 -0.0 OAT -0.0 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.0 -0.4 0.0 -0.1 -0.0 -0.0 -0.0 -0.2 -0.1 -0.1 0.5 -0.0 -0.1 0.0 -0.1 0.0 -0.0 0.4 0.1 0.1 0.2 0.3 -0.1 -0.5 0.6 0.2 OATIES -0.2 -0.6 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 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.0 -0.2 -0.3 0.3 0.7 0.2 0.7 0.5 OJ 0.3 0.2 0.2 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.0 0.5 0.1 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 0.0 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 -0.0 -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 0.0 -0.2 -0.2 -0.0 -0.6 -0.7 -0.7 -0.7 PLAT -0.1 -0.4 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.1 -0.3 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 0.9 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.4 -0.2 -0.3 -0.3 0.3 -0.3 0.1 -0.1 REDWHEAT 0.0 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -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 -0.0 -0.2 -0.0 -0.3 -0.1 -0.9 0.2 -0.1 -0.6 -0.3 -0.7 -0.7 -0.5 -0.7 RICE -0.3 -0.1 -0.4 -0.0 -0.1 -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 -1.9 -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 0.0 -0.5 -0.0 -0.0 -0.0 -0.0 -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 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.2 0.0 1.1 0.0 0.3 0.5 0.4 0.2 0.1 0.3 0.3 RUSSELL -0.6 0.1 0.2 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.1 0.4 -0.0 0.0 -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 0.1 -0.0 0.0 -0.3 -0.6 0.2 0.3 -0.3 -0.4 -0.7 -0.7 SHATZ -0.2 0.1 0.2 -0.0 -0.0 -0.0 -0.1 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 -0.1 0.1 -0.0 0.8 0.0 -0.0 0.1 -0.0 0.1 -0.0 -1.1 0.5 0.1 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 -0.0 -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 -0.0 0.0 -0.1 0.1 -0.0 -0.1 -0.3 -0.1 -0.1 0.1 0.2 -0.0 -0.0 0.2 SMI 0.0 -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 0.1 0.0 -0.1 -0.1 -0.1 0.1 -0.1 1.2 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.7 0.2 -0.1 -0.6 -0.6 -0.1 0.1 -0.5 -0.4 SOFR -0.1 -0.5 -0.6 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.2 -0.2 0.0 -0.1 -0.2 -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 -0.3 -0.6 -0.5 -0.6 -0.1 -0.2 0.4 0.5 SOYBEAN -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.5 -0.1 -0.6 -0.1 -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 -0.2 -0.4 -0.4 -0.5 0.2 -0.2 0.3 0.0 SOYMEAL 0.3 -0.0 -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 -0.0 -2.7 -0.1 0.1 -0.2 0.0 -0.2 -0.0 -0.4 0.4 0.2 -0.4 -0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.4 -0.3 0.4 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -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 0.0 0.1 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.2 -0.1 0.4 -0.1 0.0 -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 0.1 0.4 -0.1 -0.2 -0.6 -0.7 SP500_micro -0.5 0.0 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 0.0 -0.2 0.1 0.6 0.1 0.1 -0.4 -0.4 SUGAR11 -0.6 -0.6 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 -0.4 0.4 -0.7 0.0 -0.7 0.1 US10 -0.0 -0.4 -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 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.2 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.3 -0.3 -0.5 -0.3 -0.5 0.1 0.3 US10U -0.1 -0.3 -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 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -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 0.2 -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 -0.4 -0.1 -0.2 US20 -0.2 -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 -0.2 -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 -0.2 -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 0.0 -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 -0.2 -0.1 -0.2 -0.2 -0.2 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 -0.2 0.1 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.6 0.1 -0.8 -0.1 -0.1 -0.6 -0.6 -0.5 -0.6 -0.0 -0.1 0.1 -0.3 0.1 NaN 0.0 0.0 -0.0 0.1 -0.1 0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.1 -0.4 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 0.8 -0.1 -0.0 -0.2 -0.1 -0.3 -0.1 -1.1 -0.1 -0.4 -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 -11.1 -18.3 -13.2 -4.1 -3.0 -2.9 -4.3 -1.3 -4.3 -8.6 -11.3 -12.5 -5.8 -14.0 -14.3 -0.4 -1.4 -0.4 -0.8 -17.1 -11.0 -18.7 -5.3 -19.5 3.7 -5.0 -4.2 -3.1 -5.8 -1.3 -5.9 -0.0 -8.2 -18.8 -8.0 -4.4 -3.7 -3.8 -2.5 -3.3 BITCOIN -10.7 20.0 16.2 -2.9 -6.6 -0.8 -7.7 -0.5 -5.5 -19.5 18.0 -7.6 17.5 15.5 19.8 -9.2 -7.5 -8.5 -7.7 20.0 20.0 -11.1 20.0 16.6 -20.0 7.1 -5.9 6.6 -1.7 5.5 3.6 -3.7 5.6 14.7 20.0 20.0 0.5 -3.3 -2.2 -0.7 BOBL -2.1 3.1 0.6 -2.1 -6.5 -0.9 -6.0 0.0 -3.6 -10.9 4.6 -9.8 -1.2 -0.5 -0.9 -20.0 -8.0 -11.2 -7.4 0.5 2.2 -11.3 1.0 -4.2 3.8 0.3 -6.6 1.3 -5.4 1.3 -2.1 -5.8 14.3 4.6 8.6 11.1 -3.2 -13.1 10.8 0.7 BTP 0.6 4.8 1.9 -3.2 -10.0 -1.3 -9.2 0.1 -5.4 -17.5 14.2 -12.6 17.7 4.8 8.6 4.1 5.1 5.3 5.1 9.0 12.8 -18.0 14.2 -1.6 -20.0 3.5 -9.6 5.0 -7.1 5.5 -0.8 15.7 6.5 16.6 20.0 20.0 -0.8 -10.3 14.8 10.9 BUND -2.8 3.1 -2.0 -2.4 -7.6 -1.0 -7.0 0.0 -4.2 -13.0 4.1 -11.6 1.3 -3.2 -2.4 6.4 -5.8 -5.4 -7.5 -0.7 1.4 -17.0 1.0 -7.0 0.5 -0.1 -8.8 1.0 -7.3 1.3 -3.0 -4.7 6.8 3.9 10.0 10.7 -13.8 -20.0 6.5 -2.2 BUXL -4.3 9.4 2.0 -2.8 -8.9 -1.2 -8.3 0.0 -4.9 -15.5 5.8 -13.7 2.2 -0.2 2.6 1.3 -0.9 0.6 -0.1 3.1 3.9 -20.0 0.8 -6.3 -3.6 1.1 -9.8 1.8 -8.1 1.4 -2.7 6.0 3.4 5.9 20.0 15.5 -20.0 -20.0 -3.0 -9.6 CAC 12.3 -4.8 -8.2 1.0 -11.8 4.0 -11.2 6.5 -4.4 -16.5 -16.1 -1.0 -6.6 -4.2 -11.2 -6.3 -4.0 -5.9 -5.2 -8.6 -12.9 -8.5 -8.8 -4.0 -6.6 -3.8 -8.4 -5.4 -4.6 -2.9 -2.0 3.5 18.0 18.5 -18.6 -20.0 3.6 7.7 -6.2 -3.4 CAD -11.5 -16.5 -15.7 -6.0 -4.4 -4.3 -6.2 -1.9 -6.2 -10.6 -19.5 -17.1 -18.6 -19.9 -20.0 -6.1 -4.7 -6.0 -5.4 -20.0 -20.0 -20.0 -15.7 -20.0 1.9 -7.6 -4.8 -5.6 -7.7 -3.6 -8.4 -6.7 -9.6 -20.0 -17.6 -19.6 -5.3 -5.8 -5.8 -7.1 CANOLA 2.3 -10.9 5.7 -1.4 -5.0 -1.6 -4.6 -2.3 -2.6 -0.6 -2.6 1.0 -5.6 -3.1 -1.6 -10.3 -12.3 -12.8 -13.3 -3.5 -3.2 -1.4 -4.7 -3.0 -10.9 -0.5 0.2 -0.2 -0.5 -1.4 -0.8 -20.0 0.9 0.3 -3.8 4.7 -8.0 -9.8 -3.9 -4.3 CHF -2.4 -20.0 -17.3 -3.8 -2.8 -2.7 -4.0 -1.2 -4.0 -8.5 -8.5 -9.6 -7.3 -11.4 -12.0 -15.0 -16.0 -15.3 -15.4 -15.0 -10.4 -12.8 -5.2 -14.7 3.9 -4.4 -2.8 -2.9 -3.8 -1.2 -4.4 -20.0 -9.6 -4.2 -9.2 -10.2 -10.1 -8.4 -10.8 -15.6 COCOA 15.4 20.0 2.1 -2.1 -7.2 -2.3 -6.6 -3.3 -3.8 -0.6 9.5 7.2 9.2 10.5 11.4 13.7 20.0 18.2 20.0 20.0 20.0 20.0 18.9 20.0 -20.0 4.2 0.1 3.4 2.6 3.5 4.1 20.0 20.0 20.0 20.0 20.0 15.2 20.0 18.6 20.0 COFFEE -3.0 20.0 7.3 -2.9 -10.3 -3.2 -9.3 -4.7 -5.4 -8.0 15.0 7.8 15.3 13.5 14.0 5.2 4.8 3.7 3.8 20.0 20.0 8.4 19.3 20.0 -20.0 5.5 -0.1 4.7 1.6 4.0 4.4 6.7 4.8 20.0 20.0 20.0 -3.5 -4.7 1.5 2.9 COPPER -0.0 -15.2 -6.0 -2.0 -4.6 -0.6 -5.3 -0.4 -3.8 -12.5 -11.1 -11.9 -3.4 -13.0 -12.6 -7.4 -4.1 -5.9 -4.7 -10.4 -7.2 -11.9 -0.9 -10.6 -18.2 -3.1 -5.3 -1.0 -5.6 1.6 -4.3 1.9 -4.9 2.4 -1.6 -1.3 5.5 14.9 3.0 20.0 CORN 7.2 4.1 1.7 -4.3 -15.1 -4.8 -13.7 -6.9 -7.9 -3.7 -20.0 2.5 -20.0 -4.1 -9.3 -6.9 -12.8 -9.1 -11.7 -7.6 -18.4 -1.0 -20.0 -2.3 -9.4 -6.4 0.1 -10.5 -1.7 -15.1 -3.3 -20.0 15.3 3.7 -3.1 -9.6 15.3 -1.1 20.0 4.1 COTTON2 -7.1 -7.1 -1.5 -4.0 -13.9 -4.4 -12.6 -6.3 -7.3 -1.1 -20.0 -15.3 -20.0 -17.8 -17.0 -14.4 -8.5 -14.3 -12.3 -14.9 -15.8 -11.9 -20.0 -15.9 -20.0 -7.1 1.3 -5.8 -5.4 -4.6 -7.6 -18.5 1.9 -12.6 -20.0 -9.3 -20.0 -18.9 -17.7 -13.2 CRUDE_W 1.6 -1.3 -5.7 -0.9 -1.0 -3.5 0.7 -3.6 0.8 -13.4 -11.9 -2.4 -8.8 -5.2 -4.7 4.4 9.2 5.1 7.0 -5.4 -9.6 -3.1 -7.6 -2.2 -1.6 -2.6 -3.9 -4.8 -2.4 -4.1 -1.5 6.7 -7.7 0.6 -3.9 1.4 -2.8 6.2 -1.0 11.6 DAX 19.7 9.7 10.9 1.0 -11.9 4.1 -11.3 6.6 -4.5 -19.4 18.3 6.6 19.9 12.9 17.7 -8.8 -9.7 -8.7 -8.9 20.0 20.0 -7.4 20.0 15.4 7.6 5.8 -8.8 5.4 -2.9 6.0 3.6 -4.8 12.6 20.0 14.5 17.0 20.0 16.0 14.0 3.2 DOW -20.0 3.2 3.0 0.7 -8.1 2.8 -7.7 4.5 -3.1 -8.5 11.0 -11.0 13.8 -2.4 6.4 -10.2 -10.7 -10.3 -10.3 3.6 12.1 -20.0 14.7 -11.2 -12.9 0.6 -5.9 3.8 -7.5 5.3 -4.2 -6.8 -14.6 -20.0 1.5 14.4 -4.3 0.4 -14.9 -9.2 DX 1.1 20.0 20.0 -4.8 -3.5 -3.4 -5.0 -1.5 -5.0 10.4 13.8 13.3 11.6 15.6 16.4 5.8 6.5 5.9 6.1 20.0 17.5 20.0 9.8 20.0 -20.0 5.7 4.6 4.3 5.4 2.3 5.4 12.8 20.0 20.0 20.0 20.0 -4.7 2.1 -3.5 3.4 EUR 0.9 -19.7 -19.5 -3.7 -2.7 -2.7 -3.9 -1.2 -3.9 -4.8 -10.3 -7.1 -8.0 -10.9 -11.9 -6.7 -7.0 -6.7 -6.7 -15.1 -12.2 -9.9 -6.9 -12.7 14.9 -4.5 -2.0 -3.5 -3.0 -1.7 -3.8 -9.9 0.9 -0.0 -6.9 -12.1 3.1 -7.9 3.6 -9.6 EURIBOR-ICE -3.6 4.2 5.3 -1.6 -5.0 -0.7 -4.6 0.0 -2.7 -8.2 7.7 -6.6 7.5 2.3 3.8 5.6 0.9 5.1 3.5 4.5 7.4 -8.2 7.4 -1.2 10.6 1.8 -4.7 3.1 -3.7 3.2 -0.7 10.7 9.4 5.3 10.9 16.5 -1.1 -11.9 17.3 7.6 EUROSTX 15.5 -1.2 -3.7 1.0 -11.4 3.9 -10.8 6.3 -4.3 -18.3 0.4 4.4 11.7 6.8 -0.5 3.1 -2.6 -1.0 -2.4 1.9 -0.4 -7.1 4.9 2.9 -3.4 0.6 -10.8 -0.1 -4.5 3.4 0.8 6.6 17.1 20.0 -7.9 -10.9 6.1 5.0 -10.5 -11.2 FEEDCOW -0.9 20.0 20.0 -4.3 -15.1 -4.8 -13.7 -6.9 -7.9 -9.7 11.9 -0.9 -6.4 18.3 20.0 -0.3 -3.4 7.3 6.2 20.0 17.5 1.9 0.8 20.0 -14.8 7.1 -2.0 4.0 0.2 0.4 4.9 2.3 20.0 20.0 20.0 20.0 18.7 15.9 20.0 20.0 GASOIL 1.9 4.4 -2.7 -0.8 -0.9 -2.9 0.6 -3.1 0.7 -3.9 -12.1 4.6 -10.1 1.5 -0.4 4.6 6.2 3.1 3.1 -2.2 -7.8 1.1 -8.0 1.3 4.4 -1.2 -1.8 -4.7 0.9 -5.1 1.0 0.1 2.4 -1.9 4.1 -5.8 -1.4 -7.9 1.0 -12.3 GASOLINE 0.6 -1.4 -2.8 -0.8 -1.0 -3.2 0.7 -3.4 0.8 -8.7 -9.6 -3.8 -5.2 -6.8 -2.8 -20.0 13.1 -14.4 2.2 -3.9 -6.2 -3.8 -3.9 -2.6 -20.0 -0.6 -2.6 -1.4 -2.5 -0.4 -1.1 8.1 -9.1 0.3 -2.4 7.9 1.7 8.4 6.4 15.2 GAS_US_mini 3.6 11.6 13.6 -0.6 -0.7 -2.4 0.5 -2.6 0.6 11.0 -10.6 8.8 -14.4 6.9 0.5 20.0 -20.0 -18.7 -20.0 1.7 -3.7 12.2 -10.7 7.0 20.0 -0.4 8.5 -3.1 6.8 -5.8 3.1 -20.0 14.5 1.3 2.0 -0.0 -6.8 -12.7 -4.8 -10.7 GBP 3.0 -17.2 -15.9 -5.4 -3.9 -3.8 -5.6 -1.7 -5.6 -12.2 -8.6 -9.9 3.0 -13.1 -15.0 0.6 -0.1 0.5 0.3 -13.8 -8.1 -14.4 0.2 -13.4 -0.7 -5.3 -6.2 -2.6 -6.0 0.9 -5.4 2.1 -0.2 8.4 -0.7 1.7 6.6 -9.4 19.7 -8.8 GOLD_micro -5.2 -20.0 -10.4 -1.3 -3.0 -0.4 -3.5 -0.2 -2.5 -5.9 4.4 -6.4 8.4 -5.5 -1.2 -9.0 -12.6 -10.6 -11.4 -0.8 5.0 -6.7 9.4 -4.6 -10.4 -0.1 -2.5 2.7 -2.9 4.8 -1.9 -11.4 1.8 -0.6 -2.1 7.1 20.0 4.4 20.0 9.3 HEATOIL 1.1 0.7 -2.1 -0.8 -0.9 -3.1 0.7 -3.3 0.7 2.6 -13.9 8.1 -13.7 0.7 -6.2 6.0 3.1 1.8 0.1 -3.7 -10.0 2.5 -11.3 1.0 -20.0 -1.3 -0.2 -4.3 1.4 -5.2 0.6 -5.6 4.5 -0.4 0.2 2.0 -2.3 1.3 -0.1 1.8 JGB-SGX-mini -0.3 -19.4 -9.3 -1.8 -6.1 -0.7 -5.7 0.1 -3.1 7.8 -2.9 -1.9 0.1 -11.0 -11.1 19.1 14.0 16.1 14.9 -10.2 -6.4 -1.1 -1.9 -7.6 -13.7 -3.8 2.8 -2.6 -0.4 -1.4 -2.8 20.0 20.0 -1.9 -7.1 -2.4 -20.0 -18.0 -20.0 -14.0 JPY -2.5 -8.0 -11.2 -2.7 -2.0 -1.9 -2.8 -0.8 -2.8 -7.7 -4.9 -7.9 -5.7 -5.8 -7.7 -10.1 -13.2 -10.7 -11.5 -7.7 -6.2 -13.4 -6.3 -9.5 20.0 -2.5 -5.0 -1.8 -4.8 -1.9 -3.3 -19.3 -12.1 -0.3 2.7 -2.7 -10.0 -20.0 -6.9 -20.0 LEANHOG -15.0 -4.0 20.0 -4.3 -15.1 -4.8 -13.7 -6.9 -7.9 4.3 14.5 -11.1 6.6 -5.0 15.2 -20.0 2.9 -20.0 -0.4 11.2 15.3 -1.9 6.2 -0.2 -1.0 6.7 2.4 7.6 0.3 3.9 2.1 5.1 -1.0 17.0 20.0 20.0 8.4 -6.1 13.4 0.2 LIVECOW -3.8 -7.0 8.6 -4.4 -15.4 -4.9 -14.0 -7.0 -8.1 -12.1 19.7 -7.6 18.5 0.2 17.4 2.5 4.5 -0.7 2.0 9.6 13.9 -7.2 14.9 2.8 -20.0 5.3 -7.2 6.3 -3.1 7.4 2.4 5.7 20.0 14.1 5.7 20.0 -0.2 15.3 4.8 19.8 LUMBER-new -20.0 2.9 16.4 -3.3 -11.7 -3.7 -10.6 -5.1 -6.1 14.0 5.3 -5.6 -3.7 -6.8 4.6 -20.0 -19.3 -20.0 -19.9 1.4 5.2 -4.5 -1.3 -8.0 NaN 0.1 3.5 1.9 -1.8 0.1 -3.5 -20.0 7.0 -19.7 13.7 15.9 11.5 4.0 16.3 12.1 MILK 16.3 -16.9 -10.8 -2.5 -8.9 -2.8 -8.1 -4.1 -4.7 -0.2 1.4 7.1 6.0 1.1 -7.5 8.6 -1.6 8.9 7.4 -4.0 -0.8 3.7 3.8 1.6 14.5 -1.2 -0.1 -0.4 1.5 0.9 1.0 4.3 16.6 20.0 -7.9 -7.7 -11.3 -20.0 -7.2 -20.0 MXP 11.0 4.5 -9.5 -4.7 -3.4 -3.3 -4.9 -1.4 -4.9 3.3 -14.8 10.1 -13.4 2.7 -7.5 11.8 13.2 11.8 11.8 -5.3 -13.5 2.5 -13.5 1.1 -20.0 -2.9 1.5 -7.2 1.4 -6.9 0.6 20.0 20.0 15.4 15.6 5.8 9.7 20.0 15.4 20.0 NASDAQ_micro 1.5 6.1 5.2 0.6 -7.5 2.6 -7.1 4.1 -2.8 -6.4 11.7 -0.4 12.3 7.2 11.5 -9.8 -9.9 -9.8 -9.6 11.3 12.1 -1.7 13.2 6.6 -20.0 4.0 -3.1 4.9 -1.5 6.4 1.9 -5.5 20.0 17.6 13.2 15.0 12.3 5.0 -2.6 -9.2 NIKKEI 6.5 1.8 6.5 0.8 -9.2 3.1 -8.8 5.1 -3.5 0.4 7.7 3.1 8.5 4.4 12.0 11.7 7.5 7.6 6.6 4.6 5.2 -0.8 9.2 2.6 -9.9 1.2 -0.8 -0.0 -1.3 3.0 0.9 20.0 20.0 16.1 4.4 -2.5 20.0 17.7 20.0 20.0 NZD -9.4 -17.8 -15.3 -3.6 -2.7 -2.6 -3.8 -1.1 -3.8 -9.4 -10.8 -11.7 -6.4 -12.5 -12.8 -1.7 -0.6 -1.3 -0.9 -15.9 -11.0 -18.3 -5.8 -17.9 2.1 -4.4 -4.4 -2.9 -5.4 -1.4 -5.2 0.7 -12.5 -11.9 -6.5 -4.9 -6.4 -3.4 -6.7 -0.2 OAT -0.5 2.2 -2.3 -2.5 -7.8 -1.0 -7.2 0.0 -4.2 -13.4 1.7 -11.4 -2.2 -2.3 -3.9 -18.7 1.6 -6.3 -1.5 -2.1 -1.1 -17.5 -1.9 -7.5 4.1 -0.9 -11.3 0.0 -9.0 0.3 -3.9 7.7 2.1 2.8 7.3 9.2 -2.1 -13.6 17.6 5.2 OATIES -6.3 -17.3 14.3 -2.3 -8.0 -2.5 -7.3 -3.6 -4.2 -10.9 -0.1 -9.8 -6.4 -10.2 -0.1 -14.7 -2.0 -10.0 -5.1 -2.7 0.8 -10.3 -0.9 -6.8 -20.0 -2.2 -7.5 -0.3 -4.9 -0.3 -3.8 -6.0 -1.6 -7.1 -8.7 9.2 20.0 5.9 20.0 14.1 OJ 8.4 6.7 5.8 -4.0 -14.0 -4.4 -12.7 -6.4 -7.4 0.4 20.0 10.5 20.0 18.5 20.0 20.0 15.1 19.4 16.5 20.0 20.0 20.0 20.0 20.0 -20.0 7.7 0.0 6.6 6.6 7.8 8.5 20.0 20.0 20.0 20.0 20.0 19.9 8.9 20.0 20.0 PALLAD -10.4 -16.7 3.4 -1.2 -2.8 -0.3 -3.2 -0.2 -2.3 -4.8 -2.6 -6.7 -4.2 -8.7 -6.7 -1.9 -2.1 -2.0 -2.0 -5.9 -2.4 -7.4 -3.2 -8.1 14.5 -1.9 -1.3 -0.4 -3.0 -0.7 -3.1 5.8 0.4 -6.0 -5.1 -0.6 -18.6 -20.0 -20.0 -20.0 PLAT -3.2 -13.8 -2.6 -2.0 -4.7 -0.6 -5.4 -0.4 -3.9 7.4 -10.9 -3.3 -5.6 -13.6 -11.2 -4.9 -4.5 -4.7 -4.6 -8.6 -5.5 -2.2 -2.7 -7.5 6.6 -4.6 2.7 -2.9 -1.5 -1.5 -4.3 1.4 15.5 -7.4 -10.1 -9.3 8.6 -9.2 3.8 -3.7 REDWHEAT 1.3 -10.8 -2.2 -4.2 -14.7 -4.6 -13.3 -6.7 -7.7 -9.7 -20.0 -9.2 -20.0 -16.5 -18.6 -10.4 -8.3 -10.6 -10.0 -16.9 -19.5 -8.4 -20.0 -12.1 -3.1 -7.0 -1.8 -7.7 -3.9 -8.6 -5.2 -16.6 6.5 -3.1 -18.7 -9.8 -20.0 -20.0 -14.9 -20.0 RICE -9.8 -2.0 -11.5 -3.5 -12.5 -3.9 -11.3 -5.7 -6.5 -18.0 -5.5 -18.1 6.1 -8.1 -9.0 -8.2 14.3 -7.4 2.7 -12.1 -6.9 -20.0 0.1 -20.0 -14.3 -5.3 -19.4 -3.3 -14.5 -1.1 -8.6 16.4 -20.0 -20.0 -20.0 -16.8 -7.8 -20.0 -8.2 -20.0 ROBUSTA -7.6 0.6 -14.0 -1.4 -5.0 -1.6 -4.6 -2.3 -2.6 -6.9 5.8 -0.2 6.9 2.7 3.1 3.0 20.0 9.6 16.4 6.4 8.2 -0.6 10.8 4.1 -20.0 2.2 -1.1 2.8 -0.1 4.3 1.4 20.0 1.0 9.6 16.8 11.2 6.8 2.5 10.4 8.2 RUSSELL -20.0 2.5 4.7 0.6 -7.2 2.5 -6.8 4.0 -2.7 -10.6 7.7 -11.2 10.7 -4.0 4.5 -6.0 -6.4 -6.2 -6.1 1.2 7.4 -20.0 8.3 -11.1 1.3 0.6 -6.9 3.2 -7.2 4.0 -3.7 0.5 -13.7 -20.0 5.6 9.7 -8.0 -10.7 -20.0 -20.0 SHATZ -4.7 1.7 6.9 -1.6 -5.1 -0.7 -4.7 0.0 -2.8 -8.3 6.1 -8.4 1.0 0.1 0.5 -20.0 -20.0 -20.0 -20.0 1.7 4.2 -5.8 2.1 -2.2 6.0 0.9 -3.8 2.5 -3.3 1.9 -1.2 -20.0 19.0 2.5 6.9 12.6 -3.5 -12.8 6.9 -4.3 SILVER-mini -3.6 -14.3 -0.6 -1.7 -3.9 -0.5 -4.5 -0.3 -3.3 -7.5 0.7 -8.4 6.7 -10.5 -3.8 -6.0 -6.4 -6.0 -6.0 -4.6 1.4 -12.5 6.2 -9.4 -3.0 -1.5 -4.1 1.1 -5.6 2.9 -4.0 -1.4 -11.8 -1.9 -4.5 3.6 4.5 -1.3 -0.9 7.2 SMI 1.0 -14.6 -16.2 0.7 -8.6 2.9 -8.2 4.8 -3.3 -7.3 -4.5 -8.9 8.0 -11.7 -11.7 5.9 0.9 2.5 1.1 -10.9 -6.2 -14.3 1.9 -11.9 8.9 -4.4 -6.5 -1.5 -6.7 2.7 -5.3 12.7 8.4 -1.9 -20.0 -20.0 -4.4 1.9 -15.6 -11.9 SOFR -3.6 -14.3 -20.0 -2.5 -7.9 -1.0 -7.3 0.0 -4.3 -13.5 -6.0 -14.0 1.1 -13.0 -13.9 -0.7 -0.1 -0.1 0.1 -17.3 -11.3 -20.0 -4.0 -20.0 -6.1 -5.1 -6.5 -3.5 -6.8 -1.2 -5.7 7.2 -11.7 -17.4 -16.4 -20.0 -3.5 -4.9 12.7 14.9 SOYBEAN -1.2 -0.7 -4.3 -3.1 -10.9 -3.5 -9.9 -5.0 -5.7 -2.8 -17.1 -6.8 -16.6 -13.1 -15.5 -3.6 -0.1 -2.9 -2.8 -16.1 -20.0 -12.8 -20.0 -14.6 -19.1 -6.3 -3.3 -7.0 -6.0 -7.4 -6.2 -3.8 -9.1 -12.6 -13.9 -15.5 5.3 -6.1 8.6 0.3 SOYMEAL 8.8 -1.0 -3.5 -3.1 -10.8 -3.4 -9.8 -4.9 -5.7 8.1 -16.8 2.1 -16.7 -8.2 -15.7 -13.8 -1.8 -10.2 -6.5 -10.8 -14.7 2.6 -16.7 -4.5 -20.0 -5.0 5.8 -6.3 1.6 -6.0 -2.0 -7.8 17.9 6.1 -11.4 -12.5 -20.0 -20.0 -20.0 -20.0 SOYOIL -12.4 -8.2 12.1 -1.5 -5.2 -1.6 -4.7 -2.4 -2.7 -4.9 -2.5 -6.2 -6.1 -7.2 -3.7 -3.9 -0.2 -2.5 -1.4 -4.1 -2.3 -8.1 -3.9 -7.2 -14.9 -1.6 -1.9 -0.6 -3.0 -1.0 -2.8 -2.3 -6.6 -8.1 -3.4 3.1 4.0 -4.9 9.0 1.3 SP400 -20.0 1.1 3.9 0.7 -7.8 2.7 -7.5 4.3 -3.0 -10.9 8.2 -12.0 12.3 -5.9 4.5 -7.0 -6.7 -7.3 -7.0 1.0 8.2 -20.0 10.0 -13.5 -9.4 0.5 -7.6 3.3 -8.1 4.2 -4.1 -0.5 -20.0 -20.0 4.4 12.4 -3.9 -5.7 -18.2 -20.0 SP500_micro -14.0 1.4 2.7 0.8 -10.0 3.4 -9.5 5.5 -3.8 -6.3 17.0 -6.0 18.3 7.1 14.8 -11.6 -11.9 -11.8 -11.6 10.1 17.4 -13.7 20.0 -2.3 -20.0 2.2 -7.8 6.3 -8.6 9.3 -3.4 -9.0 0.6 -6.3 3.1 17.5 4.3 4.4 -12.0 -11.8 SUGAR11 -20.0 -17.3 9.3 -3.0 -10.4 -3.3 -9.4 -4.7 -5.5 -14.7 2.7 -16.4 -6.1 -16.4 -2.8 20.0 20.0 20.0 20.0 -11.7 -1.3 -20.0 -0.2 -20.0 -20.0 -2.6 -8.9 0.2 -10.0 0.1 -6.9 20.0 -20.0 -18.4 -11.2 12.5 -20.0 0.2 -20.0 3.3 US10 -1.0 -11.1 -20.0 -1.8 -5.6 -0.7 -5.2 0.0 -3.1 -9.4 -5.7 -9.6 -1.4 -8.2 -9.5 -2.1 -5.9 -3.5 -4.7 -10.7 -7.7 -16.9 -4.3 -12.5 1.9 -3.5 -4.7 -2.5 -4.8 -1.1 -3.8 -2.1 -4.5 -9.3 -8.6 -14.0 -8.3 -13.5 4.2 9.6 US10U -3.0 -9.5 -18.9 -2.4 -7.4 -1.0 -6.8 0.0 -4.0 -12.6 -7.6 -12.7 -1.6 -10.6 -12.3 -4.8 -3.8 -4.6 -4.4 -12.9 -9.2 -20.0 -5.6 -15.7 -1.6 -4.5 -6.4 -3.3 -6.4 -1.5 -5.0 -0.4 -3.5 -10.0 -8.3 -16.4 -6.5 -9.7 11.2 16.8 US2 6.1 -17.4 -20.0 -2.1 -6.5 -0.9 -6.0 0.0 -3.6 -9.6 -6.7 -9.1 -4.5 -9.5 -11.5 -17.1 -20.0 -18.9 -20.0 -14.8 -11.4 -14.7 -7.8 -13.3 19.0 -4.1 -4.0 -2.7 -4.3 -1.2 -4.0 -20.0 2.5 -5.0 -12.7 -14.3 -10.7 -13.3 -2.2 -5.2 US20 -5.0 -9.2 -19.2 -1.7 -5.2 -0.7 -4.8 0.0 -2.9 -9.1 -5.5 -9.5 0.8 -8.0 -8.9 -0.5 -1.2 -1.1 -1.3 -9.4 -6.4 -17.1 -3.6 -12.2 -3.3 -3.3 -4.7 -2.3 -4.8 -0.9 -3.9 5.0 -5.5 -10.0 -5.8 -12.1 -3.3 -6.1 20.0 19.0 US30 -5.1 -7.4 -15.1 -1.7 -5.5 -0.7 -5.1 0.0 -3.0 -9.6 -6.4 -10.0 -0.8 -8.1 -9.1 -6.0 -4.6 -4.4 -4.2 -8.4 -6.0 -15.9 -4.0 -11.2 -2.3 -3.3 -5.2 -2.4 -5.1 -1.1 -3.9 -0.4 -1.4 -6.8 -2.6 -9.6 -3.2 -6.5 19.8 15.2 US5 0.4 -13.9 -20.0 -2.1 -6.6 -0.9 -6.1 0.0 -3.6 -11.1 -7.1 -11.3 -4.1 -10.5 -11.8 -5.6 -9.1 -6.6 -7.8 -14.3 -10.6 -18.9 -6.1 -15.2 7.5 -4.1 -5.1 -2.9 -5.2 -1.2 -4.3 -7.7 -3.7 -8.4 -11.0 -16.4 -5.9 -10.7 5.4 7.0 VIX 12.0 -4.7 2.5 1.1 2.4 -0.2 7.3 -2.1 4.7 -5.4 -13.4 3.8 -14.0 -3.1 -8.5 -17.9 -20.0 -16.9 -18.6 -1.0 -3.0 7.8 -6.6 4.7 NaN 1.3 2.4 -0.2 7.6 -2.5 5.0 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -3.5 -12.7 -3.5 -4.3 -15.0 -4.7 -13.6 -6.8 -7.9 -12.5 -20.0 -17.1 -20.0 -20.0 -19.6 -15.8 -14.7 -14.8 -14.6 -20.0 -20.0 -16.1 -20.0 -19.5 6.2 -8.0 -3.6 -7.4 -6.4 -7.0 -7.4 -20.0 -4.4 -13.5 -20.0 -12.4 -15.1 -20.0 -10.7 -19.8 End of report for caleb_strategy_v3