******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230911_204338 produced at 2023-09-11 21:39:22.120040 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.27 0.0 0.00 0.00 0.00 0.00 -15.03 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.30 0.0 0.00 0.00 0.00 0.00 -4.28 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.09 -0.28 0.0 0.10 -0.10 -0.09 -0.10 -47.98 17.0 -16 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.20 0.0 0.00 0.00 0.00 0.00 -5.12 24.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.16 -0.17 0.0 0.38 -0.38 -0.16 -0.24 -25.03 56.0 -24 -35 caleb_strategy_v3 CHF False False 0.05 -0.44 -0.17 0.0 0.64 -0.64 -0.44 -0.44 -3.53 13.0 -9 -9 caleb_strategy_v3 CAD False False 0.03 0.00 -0.16 0.0 0.75 -0.75 0.00 0.00 -6.35 29.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.22 -0.11 0.0 0.93 -0.93 -0.22 -0.22 -3.01 25.0 -6 -6 caleb_strategy_v3 JPY False False 0.03 -0.12 -0.09 0.0 0.51 -0.51 -0.12 -0.09 -2.97 17.0 -4 -3 caleb_strategy_v3 BITCOIN False False 0.00 -0.04 -0.08 0.0 0.05 -0.05 -0.04 -0.04 -91.36 59.0 -43 -43 caleb_strategy_v3 BOBL False False 0.04 -0.44 -0.07 0.0 0.83 -0.83 -0.44 -0.44 -1.55 19.0 -10 -10 caleb_strategy_v3 AUD False False 0.02 0.00 -0.06 0.0 0.43 -0.43 0.00 0.00 -2.56 19.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.06 0.0 0.65 -0.65 0.00 0.00 -1.52 17.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.07 -0.06 0.0 0.07 -0.07 -0.07 -0.07 -22.14 26.0 -26 -26 caleb_strategy_v3 EUR False False 0.05 -0.28 -0.06 0.0 0.66 -0.66 -0.28 -0.38 -1.38 14.0 -6 -8 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.05 0.0 0.20 -0.20 -0.03 -0.10 -1.59 6.0 -1 -3 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.05 0.0 0.18 -0.18 0.00 0.00 -0.55 2.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.02 -0.05 0.0 0.44 -0.44 0.02 0.00 -2.41 21.0 1 0 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.04 0.0 0.01 -0.01 0.00 0.00 -7.97 3.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.04 0.0 0.22 -0.22 0.00 0.00 -11.90 68.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.04 -0.04 0.0 0.39 -0.39 0.04 0.00 -0.90 9.0 1 0 caleb_strategy_v3 US10U False False 0.04 -0.04 -0.04 0.0 0.52 -0.52 -0.04 -0.04 -0.92 13.0 -1 -1 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.03 0.0 0.09 -0.09 0.00 0.00 -0.74 2.0 0 0 caleb_strategy_v3 DOW False False 0.01 -0.10 -0.03 0.0 0.40 -0.40 -0.10 -0.02 -4.96 66.0 -16 -4 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.03 0.0 0.38 -0.38 0.00 0.00 -4.15 48.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.10 -0.10 -0.03 -0.05 -1.65 8.0 -2 -4 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.02 0.0 0.25 -0.25 0.00 0.00 -2.00 23.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.02 0.0 0.27 -0.27 0.00 0.00 -0.38 6.0 0 0 caleb_strategy_v3 US20 False False 0.04 -0.08 -0.02 0.0 0.38 -0.38 -0.08 -0.08 -0.57 9.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.02 0.0 0.09 -0.09 -0.02 -0.02 -1.51 9.0 -2 -2 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.02 0.0 0.12 -0.12 0.00 0.00 -1.08 6.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.02 -0.02 0.0 0.10 -0.10 -0.02 -0.02 -2.19 12.0 -2 -2 caleb_strategy_v3 GBP False False 0.03 -0.05 -0.01 0.0 0.60 -0.60 -0.05 -0.03 -0.28 22.0 -2 -1 caleb_strategy_v3 MILK False False 0.01 0.00 -0.01 0.0 0.06 -0.06 0.00 0.00 -1.12 5.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.30 -0.01 0.0 0.43 -0.43 0.30 0.04 -0.34 10.0 7 1 caleb_strategy_v3 BUND False False 0.05 0.15 -0.01 0.0 0.49 -0.49 0.15 0.05 -0.14 10.0 3 1 caleb_strategy_v3 BUXL False False 0.05 -0.10 -0.01 0.0 0.19 -0.19 -0.10 -0.15 -0.17 4.0 -2 -3 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.55 0.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.34 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.07 0.00 0.0 0.17 -0.17 0.07 0.07 0.19 7.0 3 3 caleb_strategy_v3 COTTON2 False False 0.02 0.00 -0.00 0.0 0.17 -0.17 0.00 0.00 -0.01 11.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.00 0.0 0.20 -0.20 0.02 0.03 0.58 23.0 2 4 caleb_strategy_v3 RICE False False 0.01 0.00 0.00 0.0 0.04 -0.04 0.00 0.00 0.06 4.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 0.00 0.0 0.20 -0.20 0.00 0.00 0.05 51.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.03 -0.00 0.0 0.16 -0.16 -0.03 -0.05 -0.05 10.0 -2 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 0.01 0.0 0.00 0.00 0.00 0.00 1.73 2.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 0.01 0.0 0.47 -0.47 0.00 0.24 0.23 10.0 0 5 caleb_strategy_v3 SUGAR11 False False 0.01 0.03 0.01 0.0 0.19 -0.19 0.03 0.01 1.28 18.0 3 1 caleb_strategy_v3 SOYOIL False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.40 10.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.78 12.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.00 0.03 0.0 0.33 -0.33 0.00 0.04 2.22 26.0 0 3 caleb_strategy_v3 EUROSTX False False 0.02 0.03 0.03 0.0 0.32 -0.32 0.03 0.11 1.62 20.0 2 7 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.05 -0.05 0.00 0.00 2.06 3.0 0 0 caleb_strategy_v3 HEATOIL False False 0.05 0.00 0.04 0.0 0.14 -0.14 0.00 0.00 0.93 3.0 0 0 caleb_strategy_v3 DAX False False 0.01 -0.02 0.05 0.0 0.35 -0.35 -0.02 -0.01 8.99 58.0 -3 -1 caleb_strategy_v3 GASOLINE False False 0.04 0.15 0.06 0.0 0.15 -0.15 0.15 0.15 1.71 4.0 4 4 caleb_strategy_v3 LEANHOG False False 0.01 0.09 0.06 0.0 0.14 -0.14 0.09 0.08 6.18 13.0 9 8 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.07 0.0 0.45 -0.45 0.03 0.03 2.63 17.0 1 1 caleb_strategy_v3 GASOIL False False 0.03 0.10 0.07 0.0 0.13 -0.13 0.10 0.07 1.98 4.0 3 2 caleb_strategy_v3 DX False False 0.04 0.00 0.09 0.0 36548278.38 -36548278.38 0.00 0.00 2.59 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.05 0.09 0.14 0.0 0.37 -0.37 0.09 0.23 3.07 8.0 2 5 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.16 0.0 0.91 -0.91 0.00 0.18 1.70 10.0 0 2 caleb_strategy_v3 MXP False False 0.01 0.61 0.16 0.0 0.61 -0.61 0.61 0.40 16.18 60.0 60 40 caleb_strategy_v3 CRUDE_W False False 0.03 0.06 0.17 0.0 0.15 -0.15 0.06 0.12 5.58 5.0 2 4 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.56 0.25 0.0 0.56 -0.56 0.56 0.52 7.28 16.0 16 15 caleb_strategy_v3 NIKKEI False False 0.01 0.21 0.31 0.0 0.28 -0.28 0.21 0.26 39.24 36.0 27 34 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 19.0 Shocked risk 55.5 Sum abs risk 58.8 Leverage 5.57 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2850202.65, 'annual_cash_vol_target': 712550.6625, 'daily_cash_vol_target': 44534.41640625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0044 0.6430 0.6782 10.8507 BITCOIN 747.8805 25175.0000 2.9707 47.5316 BOBL 0.2647 116.5300 0.2271 3.6340 BTP 0.6313 112.9400 0.5589 8.9432 BUND 0.5634 130.6800 0.4311 6.8976 BUXL 1.3115 128.8200 1.0181 16.2894 CAC 52.6262 7299.0000 0.7210 11.5361 CAD 0.0028 0.7362 0.3833 6.1323 CANOLA 7.6181 777.7000 0.9796 15.6731 CHF 0.0047 1.1228 0.4219 6.7501 COCOA 38.4939 3670.0000 1.0489 16.7821 COFFEE 2.5601 152.7000 1.6766 26.8250 COPPER 0.0426 3.8010 1.1206 17.9290 CORN 7.5883 486.0000 1.5614 24.9821 COTTON2 1.2537 87.9100 1.4262 22.8184 CRUDE_W 0.9855 85.8900 1.1474 18.3591 DAX 105.5286 15847.0000 0.6659 10.6548 DOW 195.5708 34700.0000 0.5636 9.0177 DX 0.3908 104.1700 0.3752 6.0024 EUR 0.0051 1.0749 0.4726 7.5609 EURIBOR-ICE 0.0520 97.0350 0.0536 0.8581 EUROSTX 36.5765 4268.0000 0.8570 13.7119 FEEDCOW 1.3424 261.8750 0.5126 8.2018 GASOIL 13.8198 938.7500 1.4722 23.5544 GASOLINE 0.0339 2.5416 1.3327 21.3236 GAS_US_mini 0.0845 2.9500 2.8637 45.8196 GBP 0.0065 1.2509 0.5207 8.3306 GOLD_micro 9.6000 1927.3000 0.4981 7.9697 HEATOIL 0.0409 3.1331 1.3041 20.8654 JGB-SGX-mini 0.2309 145.6300 0.1586 2.5369 JPY 0.0000 0.0068 0.6175 9.8800 LEANHOG 1.1495 74.7000 1.5389 24.6221 LIVECOW 1.0597 188.3250 0.5627 9.0028 LUMBER-new 8.6124 495.5000 1.7381 27.8099 MILK 0.2617 18.4900 1.4153 22.6443 MXP 0.0005 0.0577 0.7949 12.7192 NASDAQ_micro 146.5417 15677.7500 0.9347 14.9554 NIKKEI 276.4025 32425.0000 0.8524 13.6390 NZD 0.0039 0.5917 0.6617 10.5872 OAT 0.5746 125.3700 0.4583 7.3326 OATIES 7.0657 492.2500 1.4354 22.9663 OJ 5.2262 327.0000 1.5982 25.5714 PALLAD 20.5471 1218.5000 1.6863 26.9802 PLAT 13.0149 901.3000 1.4440 23.1042 REDWHEAT 12.8225 723.5000 1.7723 28.3566 RICE 0.1757 16.0050 1.0979 17.5657 ROBUSTA 31.2518 2432.0000 1.2850 20.5604 RUSSELL 16.0009 1876.4000 0.8527 13.6439 SHATZ 0.0847 105.2100 0.0805 1.2874 SILVER-mini 0.3291 23.5250 1.3991 22.3849 SMI 68.1510 10987.0000 0.6203 9.9246 SOFR 0.0669 96.2550 0.0695 1.1115 SOYBEAN 14.4959 1370.0000 1.0581 16.9295 SOYMEAL 5.2373 404.7000 1.2941 20.7059 SOYOIL 0.8244 60.6000 1.3603 21.7650 SP400 19.0365 2604.1000 0.7310 11.6963 SP500_micro 30.2459 4538.7500 0.6664 10.6623 SUGAR11 0.3257 26.6400 1.2225 19.5601 US10 0.3936 109.7969 0.3585 5.7358 US10U 0.5528 114.2500 0.4838 7.7410 US2 0.1005 101.6094 0.0989 1.5830 US20 0.7837 119.0938 0.6581 10.5292 US30 1.1907 125.9062 0.9457 15.1314 US5 0.2529 106.1719 0.2382 3.8105 VIX 0.4583 16.6000 2.7606 44.1695 WHEAT 12.3432 584.2500 2.1127 33.8025 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 643.00 0.68 436.06 1.00 436.06 44534.42 102.13 -9.65 -98.52 BITCOIN 25.18 2.97 74.79 1.00 74.79 44534.42 595.48 -14.17 -843.65 BOBL 1165.30 0.23 264.67 1.07 283.83 44534.42 156.90 -9.75 -152.94 BTP 1129.40 0.56 631.28 1.07 676.98 44534.42 65.78 -1.50 -9.86 BUND 1306.80 0.43 563.36 1.07 604.15 44534.42 73.71 -1.91 -14.09 BUXL 1288.20 1.02 1311.50 1.07 1406.45 44534.42 31.66 -5.42 -17.15 CAC 729.90 0.72 526.26 1.07 564.36 44534.42 78.91 2.88 22.76 CAD 736.25 0.38 282.18 1.00 282.18 44534.42 157.82 -15.51 -244.82 CANOLA 155.54 0.98 152.36 0.73 111.56 44534.42 399.19 0.06 2.22 CHF 1403.56 0.42 592.13 1.00 592.13 44534.42 75.21 -18.09 -136.04 COCOA 367.00 1.05 384.94 1.00 384.94 44534.42 115.69 8.96 103.66 COFFEE 572.62 1.68 960.04 1.00 960.04 44534.42 46.39 -20.00 -92.78 COPPER 950.25 1.12 1064.81 1.00 1064.81 44534.42 41.82 -3.51 -14.67 CORN 243.00 1.56 379.42 1.00 379.42 44534.42 117.38 -7.68 -90.10 COTTON2 439.55 1.43 626.87 1.00 626.87 44534.42 71.04 -0.08 -0.59 CRUDE_W 858.90 1.15 985.54 1.00 985.54 44534.42 45.19 11.41 51.57 DAX 158.47 0.67 105.53 1.07 113.17 44534.42 393.52 6.70 263.56 DOW 173.50 0.56 97.79 1.00 97.79 44534.42 455.43 -4.69 -213.57 DX 1041.70 0.38 390.80 1.00 390.80 44534.42 113.96 8.77 99.97 EUR 1343.62 0.47 634.93 1.00 634.93 44534.42 70.14 -7.56 -53.04 EURIBOR-ICE 2425.88 0.05 130.10 1.07 139.52 44534.42 319.20 1.56 49.84 EUROSTX 426.80 0.86 365.76 1.07 392.25 44534.42 113.54 4.18 47.42 FEEDCOW 1309.38 0.51 671.20 1.00 671.20 44534.42 66.35 13.95 92.55 GASOIL 938.75 1.47 1381.98 1.00 1381.98 44534.42 32.23 14.16 45.62 GASOLINE 1067.47 1.33 1422.65 1.00 1422.65 44534.42 31.30 12.61 39.47 GAS_US_mini 73.75 2.86 211.20 1.00 211.20 44534.42 210.86 -9.70 -204.48 GBP 781.81 0.52 407.06 1.00 407.06 44534.42 109.41 -0.98 -10.67 GOLD_micro 192.73 0.50 96.00 1.00 96.00 44534.42 463.90 -15.81 -733.63 HEATOIL 1315.90 1.30 1716.05 1.00 1716.05 44534.42 25.95 8.27 21.47 JGB-SGX-mini 145630.00 0.16 23090.62 0.01 156.91 44534.42 283.82 2.37 67.24 JPY 853.56 0.62 527.07 1.00 527.07 44534.42 84.49 -13.55 -114.50 LEANHOG 298.80 1.54 459.82 1.00 459.82 44534.42 96.85 10.49 101.64 LIVECOW 753.30 0.56 423.86 1.00 423.86 44534.42 105.07 7.56 79.47 LUMBER-new 136.26 1.74 236.84 1.00 236.84 44534.42 188.04 -20.00 -376.07 MILK 369.80 1.42 523.37 1.00 523.37 44534.42 85.09 -6.12 -52.10 MXP 288.40 0.79 229.26 1.00 229.26 44534.42 194.25 5.68 110.25 NASDAQ_micro 313.56 0.93 293.08 1.00 293.08 44534.42 151.95 -5.67 -86.13 NIKKEI 32425.00 0.85 27640.25 0.01 187.82 44534.42 237.11 15.28 362.34 NZD 591.70 0.66 391.53 1.00 391.53 44534.42 113.75 -8.15 -92.72 OAT 1253.70 0.46 574.56 1.07 616.15 44534.42 72.28 0.95 6.85 OATIES 246.12 1.44 353.29 1.00 353.29 44534.42 126.06 5.63 71.02 OJ 490.50 1.60 783.92 1.00 783.92 44534.42 56.81 16.94 96.21 PALLAD 1218.50 1.69 2054.71 1.00 2054.71 44534.42 21.67 -9.98 -21.64 PLAT 450.65 1.44 650.74 1.00 650.74 44534.42 68.44 -0.21 -1.40 REDWHEAT 361.75 1.77 641.13 1.00 641.13 44534.42 69.46 -17.91 -124.38 RICE 320.10 1.10 351.42 1.00 351.42 44534.42 126.73 0.20 2.50 ROBUSTA 243.20 1.29 312.52 1.00 312.52 44534.42 142.50 3.47 49.40 RUSSELL 93.82 0.85 80.00 1.00 80.00 44534.42 556.65 -6.45 -358.95 SHATZ 1052.10 0.08 84.65 1.07 90.78 44534.42 490.56 -10.29 -504.90 SILVER-mini 588.12 1.40 822.82 1.00 822.82 44534.42 54.12 -2.97 -16.06 SMI 1098.70 0.62 681.51 1.12 765.61 44534.42 58.17 -4.53 -26.35 SOFR 2406.38 0.07 167.17 1.00 167.17 44534.42 266.41 -9.28 -247.24 SOYBEAN 685.00 1.06 724.79 1.00 724.79 44534.42 61.44 3.30 20.28 SOYMEAL 404.70 1.29 523.73 1.00 523.73 44534.42 85.03 -4.26 -36.23 SOYOIL 363.60 1.36 494.61 1.00 494.61 44534.42 90.04 4.83 43.46 SP400 2604.10 0.73 1903.65 1.00 1903.65 44534.42 23.39 -7.07 -16.53 SP500_micro 226.94 0.67 151.23 1.00 151.23 44534.42 294.48 -6.07 -178.65 SUGAR11 298.37 1.22 364.76 1.00 364.76 44534.42 122.09 4.93 60.16 US10 1097.97 0.36 393.61 1.00 393.61 44534.42 113.14 -10.57 -119.60 US10U 1142.50 0.48 552.75 1.00 552.75 44534.42 80.57 -8.98 -72.34 US2 2032.19 0.10 201.06 1.00 201.06 44534.42 221.50 -15.23 -337.42 US20 1190.94 0.66 783.72 1.00 783.72 44534.42 56.82 -7.91 -44.96 US30 1259.06 0.95 1190.71 1.00 1190.71 44534.42 37.40 -8.12 -30.38 US5 1061.72 0.24 252.86 1.00 252.86 44534.42 176.13 -13.48 -237.35 VIX 166.00 2.76 458.26 1.00 458.26 44534.42 97.18 -20.00 -194.36 WHEAT 292.12 2.11 617.16 1.00 617.16 44534.42 72.16 -15.81 -114.12 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -98.524 0.010 2.5 -2.557 BITCOIN -843.655 0.043 2.5 -91.365 BOBL -152.940 0.004 2.5 -1.551 BTP -9.865 0.014 2.5 -0.336 BUND -14.095 0.004 2.5 -0.143 BUXL -17.147 0.004 2.5 -0.174 CAC 22.760 0.014 2.5 0.776 CAD -244.820 0.010 2.5 -6.353 CANOLA 2.224 0.010 2.5 0.054 CHF -136.041 0.010 2.5 -3.530 COCOA 103.657 0.009 2.5 2.220 COFFEE -92.776 0.005 2.5 -1.084 COPPER -14.673 0.043 2.5 -1.589 CORN -90.099 0.010 2.5 -2.192 COTTON2 -0.588 0.009 2.5 -0.013 CRUDE_W 51.566 0.043 2.5 5.584 DAX 263.557 0.014 2.5 8.990 DOW -213.572 0.009 2.5 -4.964 DX 99.971 0.010 2.5 2.594 EUR -53.035 0.010 2.5 -1.376 EURIBOR-ICE 49.836 0.014 2.5 1.700 EUROSTX 47.424 0.014 2.5 1.618 FEEDCOW 92.546 0.013 2.5 3.067 GASOIL 45.616 0.017 2.5 1.978 GASOLINE 39.472 0.017 2.5 1.711 GAS_US_mini -204.481 0.043 2.5 -22.145 GBP -10.669 0.010 2.5 -0.277 GOLD_micro -733.634 0.014 2.5 -25.025 HEATOIL 21.472 0.017 2.5 0.931 JGB-SGX-mini 67.240 0.043 2.5 7.282 JPY -114.499 0.010 2.5 -2.971 LEANHOG 101.640 0.024 2.5 6.178 LIVECOW 79.472 0.013 2.5 2.634 LUMBER-new -376.071 0.008 2.5 -7.971 MILK -52.104 0.009 2.5 -1.116 MXP 110.254 0.059 2.5 16.184 NASDAQ_micro -86.130 0.009 2.5 -2.002 NIKKEI 362.340 0.043 2.5 39.240 NZD -92.719 0.010 2.5 -2.406 OAT 6.845 0.014 2.5 0.233 OATIES 71.017 0.010 2.5 1.728 OJ 96.213 0.009 2.5 2.061 PALLAD -21.640 0.014 2.5 -0.738 PLAT -1.403 0.014 2.5 -0.048 REDWHEAT -124.378 0.005 2.5 -1.650 RICE 2.499 0.010 2.5 0.061 ROBUSTA 49.402 0.005 2.5 0.577 RUSSELL -358.952 0.013 2.5 -11.896 SHATZ -504.901 0.004 2.5 -5.120 SILVER-mini -16.065 0.014 2.5 -0.548 SMI -26.354 0.014 2.5 -0.899 SOFR -247.236 0.024 2.5 -15.027 SOYBEAN 20.285 0.004 2.5 0.189 SOYMEAL -36.229 0.004 2.5 -0.337 SOYOIL 43.461 0.004 2.5 0.405 SP400 -16.530 0.013 2.5 -0.548 SP500_micro -178.649 0.009 2.5 -4.152 SUGAR11 60.160 0.009 2.5 1.280 US10 -119.597 0.005 2.5 -1.516 US10U -72.337 0.005 2.5 -0.917 US2 -337.420 0.005 2.5 -4.276 US20 -44.960 0.005 2.5 -0.570 US30 -30.378 0.005 2.5 -0.385 US5 -237.350 0.005 2.5 -3.008 VIX -194.364 0.099 2.5 -47.981 WHEAT -114.117 0.005 2.5 -1.514 ===================== Position diags ===================== AUD 2.65 BITCOIN 64.49 BOBL 1.59 BTP 2.24 BUND 0.75 BUXL 0.32 CAC 2.69 CAD 4.10 CANOLA 9.71 CHF 1.95 COCOA 2.48 COFFEE 0.54 COPPER 4.53 CORN 2.86 COTTON2 1.52 CRUDE_W 4.89 DAX 13.42 DOW 10.59 DX 2.96 EUR 1.82 EURIBOR-ICE 10.89 EUROSTX 3.87 FEEDCOW 2.20 GASOIL 1.40 GASOLINE 1.36 GAS_US_mini 22.84 GBP 2.84 GOLD_micro 15.82 HEATOIL 1.13 JGB-SGX-mini 30.74 JPY 2.19 LEANHOG 5.89 LIVECOW 3.48 LUMBER-new 3.99 MILK 1.82 MXP 28.51 NASDAQ_micro 3.53 NIKKEI 25.68 NZD 2.95 OAT 2.47 OATIES 3.07 OJ 1.22 PALLAD 0.74 PLAT 2.33 REDWHEAT 0.92 RICE 3.08 ROBUSTA 1.66 RUSSELL 18.45 SHATZ 4.97 SILVER-mini 1.85 SMI 1.98 SOFR 16.19 SOYBEAN 0.57 SOYMEAL 0.79 SOYOIL 0.84 SP400 0.78 SP500_micro 6.84 SUGAR11 2.60 US10 1.43 US10U 1.02 US2 2.81 US20 0.72 US30 0.47 US5 2.23 VIX 23.99 WHEAT 0.96 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.6 -2.8 -2.3 NaN 0 BITCOIN -91.4 -97.8 -84.9 -43.0 -43 BOBL -1.6 -1.7 -1.4 -10.0 -10 BTP -0.3 -0.6 -0.1 7.0 7 BUND -0.1 -0.2 -0.1 3.0 3 BUXL -0.2 -0.2 -0.1 -2.0 -2 CAC 0.8 0.5 1.0 NaN 0 CAD -6.4 -6.8 -5.9 0.0 0 CANOLA 0.1 -0.9 1.0 NaN 0 CHF -3.5 -3.7 -3.3 -9.0 -9 COCOA 2.2 2.0 2.5 0.0 0 COFFEE -1.1 -1.1 -1.0 NaN 0 COPPER -1.6 -2.0 -1.1 -1.0 -1 CORN -2.2 -2.5 -1.9 -2.0 -2 COTTON2 -0.0 -0.2 0.1 0.0 0 CRUDE_W 5.6 5.1 6.1 2.0 2 DAX 9.0 7.6 10.3 -3.0 -3 DOW -5.0 -6.0 -3.9 -16.0 -16 DX 2.6 2.3 2.9 NaN 0 EUR -1.4 -1.6 -1.2 -6.0 -6 EURIBOR-ICE 1.7 0.6 2.8 0.0 0 EUROSTX 1.6 1.2 2.0 2.0 2 FEEDCOW 3.1 2.8 3.3 2.0 2 GASOIL 2.0 1.8 2.1 3.0 3 GASOLINE 1.7 1.6 1.8 4.0 4 GAS_US_mini -22.1 -24.4 -19.9 -26.0 -26 GBP -0.3 -0.6 0.0 -2.0 -2 GOLD_micro -25.0 -26.6 -23.4 -24.0 -24 HEATOIL 0.9 0.8 1.0 0.0 0 JGB-SGX-mini 7.3 4.2 10.4 16.0 16 JPY -3.0 -3.2 -2.8 -4.0 -4 LEANHOG 6.2 5.6 6.8 9.0 9 LIVECOW 2.6 2.3 3.0 1.0 1 LUMBER-new -8.0 -8.4 -7.6 NaN 0 MILK -1.1 -1.3 -0.9 NaN 0 MXP 16.2 13.3 19.0 60.0 60 NASDAQ_micro -2.0 -2.4 -1.6 0.0 0 NIKKEI 39.2 36.7 41.8 27.0 27 NZD -2.4 -2.7 -2.1 1.0 1 OAT 0.2 -0.0 0.5 0.0 0 OATIES 1.7 1.4 2.0 NaN 0 OJ 2.1 1.9 2.2 NaN 0 PALLAD -0.7 -0.8 -0.7 NaN 0 PLAT -0.0 -0.3 0.2 -2.0 -2 REDWHEAT -1.7 -1.7 -1.6 -2.0 -2 RICE 0.1 -0.2 0.4 NaN 0 ROBUSTA 0.6 0.4 0.7 2.0 2 RUSSELL -11.9 -13.7 -10.1 0.0 0 SHATZ -5.1 -5.6 -4.6 NaN 0 SILVER-mini -0.5 -0.7 -0.4 NaN 0 SMI -0.9 -1.1 -0.7 1.0 1 SOFR -15.0 -16.6 -13.4 NaN 0 SOYBEAN 0.2 0.1 0.2 3.0 3 SOYMEAL -0.3 -0.4 -0.3 0.0 0 SOYOIL 0.4 0.3 0.5 0.0 0 SP400 -0.5 -0.6 -0.5 0.0 0 SP500_micro -4.2 -4.8 -3.5 0.0 0 SUGAR11 1.3 1.0 1.5 3.0 3 US10 -1.5 -1.7 -1.4 NaN 0 US10U -0.9 -1.0 -0.8 -1.0 -1 US2 -4.3 -4.6 -4.0 NaN 0 US20 -0.6 -0.6 -0.5 -2.0 -2 US30 -0.4 -0.4 -0.3 0.0 0 US5 -3.0 -3.2 -2.8 -6.0 -6 VIX -48.0 -50.4 -45.6 -16.0 -16 WHEAT -1.5 -1.6 -1.4 -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 3.8 3.8 3.7 1.3 1.1 3.2 1.3 4.2 1.3 1.1 3.0 1.3 3.1 1.3 1.3 2.3 2.3 2.3 2.3 1.3 1.3 1.1 3.2 1.3 0.0 1.3 1.1 3.2 1.3 4.2 1.3 6.3 2.8 3.8 3.8 3.7 3.9 3.9 3.9 3.9 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 -0.0 -0.6 -0.1 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 -0.3 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.3 -0.5 -0.2 -0.7 -0.1 0.2 BITCOIN -0.5 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.2 0.2 -0.2 0.1 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 0.0 -0.2 -2.7 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 0.1 -0.6 -0.6 -0.2 -0.4 0.7 -0.4 0.7 BOBL 0.1 0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.0 -0.4 -0.2 -0.4 -0.4 -0.0 -0.0 -0.0 -0.2 -0.0 1.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.0 0.0 0.1 0.2 0.1 -0.7 -0.7 -0.7 -0.6 BTP -0.0 -0.2 0.2 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.1 -0.1 0.0 -0.1 -0.0 0.1 0.2 0.1 0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.9 -0.0 -0.0 0.0 -0.1 -0.0 -0.0 0.9 -0.1 -0.0 0.2 0.5 -0.5 -0.7 0.1 0.3 BUND 0.1 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 -0.1 0.1 0.2 0.1 0.1 -0.0 -0.0 -0.0 -0.2 -0.0 0.8 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.9 -0.0 0.1 0.1 0.1 -0.7 -0.7 -0.6 -0.0 BUXL 0.1 -0.2 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.4 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.3 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.1 0.0 -0.0 0.1 -0.7 -0.7 -0.2 0.5 CAC -0.1 -0.3 -0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.3 -0.1 0.7 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 0.1 -0.0 0.5 -0.1 -0.7 -0.0 0.0 0.1 -0.0 0.3 -0.0 0.3 -0.3 0.1 0.2 -0.1 0.7 0.0 0.7 0.2 CAD -0.3 -0.6 0.1 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.4 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.1 -0.2 -0.2 0.2 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.1 -0.5 -0.6 -0.5 -0.7 -0.7 -0.7 -0.6 CANOLA -0.2 0.1 0.6 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.2 -0.0 -0.2 -0.0 0.1 -0.2 0.2 -0.0 0.1 0.1 0.1 -0.1 0.0 -0.0 -2.7 0.0 -0.0 0.1 -0.0 -0.0 0.0 0.4 -0.1 0.4 0.1 0.6 -0.4 0.2 0.2 0.7 CHF -0.6 -0.4 0.1 -0.0 -0.0 0.1 -0.0 0.1 -0.1 -0.1 0.1 -0.2 0.5 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 0.1 -0.2 0.3 -0.2 -1.3 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -1.1 -0.4 -0.5 -0.1 -0.1 -0.7 -0.7 -0.7 -0.7 COCOA 0.3 0.0 0.4 0.0 -0.1 -0.0 -0.1 -0.2 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 -0.2 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.5 0.2 -1.9 0.1 0.0 0.3 0.1 0.4 0.1 -0.7 0.5 0.6 0.6 0.6 -0.2 -0.4 0.5 -0.0 COFFEE 0.1 -0.2 -0.6 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.4 -0.1 -0.5 -0.2 -0.2 -0.1 0.0 -0.0 0.0 -0.2 -0.2 -0.1 -0.5 -0.1 -2.7 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.3 0.2 -0.5 -0.6 -0.6 -0.7 -0.7 -0.5 -0.4 COPPER 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 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.7 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 0.2 0.1 0.3 0.2 0.2 -0.7 0.6 -0.6 CORN -0.1 -0.6 -0.2 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.2 0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.4 0.1 -0.1 -0.2 0.2 -0.1 0.2 0.0 0.4 COTTON2 0.0 0.2 0.4 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 0.3 0.0 -0.3 0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.0 0.1 -2.7 0.1 0.0 0.1 0.0 0.1 0.0 0.0 0.5 0.3 0.5 0.4 -0.6 -0.5 0.4 0.3 CRUDE_W 0.3 0.6 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.5 0.2 -0.1 0.2 0.2 0.3 0.2 0.2 0.2 0.2 0.2 0.2 0.3 0.2 -1.0 0.1 0.1 0.2 0.1 0.2 0.1 -1.1 0.3 -0.2 -0.6 -0.1 0.6 0.4 0.7 0.3 DAX -0.1 -0.4 -0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.2 -0.0 0.6 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.1 0.0 -0.0 0.3 -0.1 2.5 -0.0 0.0 -0.0 -0.0 0.2 -0.0 -0.2 -0.0 0.2 0.1 -0.3 0.7 0.0 0.7 0.2 DOW -0.4 -0.3 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.3 -0.0 0.4 -0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.0 0.2 -0.1 -1.4 0.0 0.0 0.1 0.0 0.2 -0.0 -0.3 0.2 -0.2 0.5 0.6 -0.4 -0.2 -0.7 -0.2 DX 0.5 0.6 0.1 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 0.2 0.2 -0.3 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.1 0.2 0.1 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 0.7 0.4 0.6 0.6 0.2 -0.1 0.2 0.0 0.7 EUR -0.4 -0.5 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 -0.1 -0.2 0.3 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 1.8 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.4 -0.2 -0.5 -0.4 -0.4 -0.2 -0.7 0.1 0.0 EURIBOR-ICE 0.2 0.2 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.2 0.0 2.3 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.6 0.1 0.2 0.3 0.0 -0.7 -0.7 0.7 0.3 EUROSTX -0.2 -0.4 -0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.2 -0.1 0.6 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 0.3 -0.1 0.7 -0.0 -0.0 0.0 -0.0 0.2 -0.1 0.3 -0.3 0.0 0.0 -0.2 0.7 0.1 0.7 0.4 FEEDCOW 0.3 0.2 0.5 0.0 -0.1 -0.0 -0.1 -0.2 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.1 -0.4 -0.3 -0.4 0.2 0.2 0.2 0.5 0.2 0.3 0.1 0.1 0.3 0.1 0.5 0.1 -1.1 0.5 0.6 0.6 0.6 0.2 -0.3 0.7 -0.1 GASOIL -0.2 0.6 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.4 0.2 0.0 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.4 0.2 1.6 0.1 0.1 0.1 0.0 0.1 0.1 0.0 -0.5 -0.2 0.4 0.5 -0.5 0.1 -0.6 -0.2 GASOLINE -0.1 0.5 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.5 0.2 0.1 0.2 0.2 0.4 0.4 0.4 0.4 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 -0.3 -0.6 -0.6 0.3 0.6 0.5 0.7 0.2 GAS_US_mini -0.4 0.2 0.6 0.1 0.1 0.1 0.1 0.1 0.1 -0.2 -0.5 -0.2 -0.7 -0.2 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.1 -0.5 -0.1 2.7 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.1 -0.5 -0.6 -0.6 -0.6 0.2 0.2 -0.2 -0.0 GBP -0.4 -0.5 0.2 -0.0 -0.0 0.1 -0.0 0.1 -0.1 -0.1 0.2 -0.2 0.4 -0.2 -0.1 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.2 0.2 -0.2 -0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.1 -0.2 -0.3 -0.3 -0.0 0.0 0.5 0.2 0.7 GOLD_micro 0.3 -0.4 -0.5 -0.0 -0.1 -0.0 -0.1 0.1 -0.0 -0.1 -0.3 0.0 0.2 -0.1 -0.2 -0.4 -0.3 -0.3 -0.3 -0.2 -0.1 -0.1 0.0 -0.1 -1.5 -0.0 0.0 -0.0 0.0 0.1 0.0 -1.0 0.5 0.4 0.3 -0.5 -0.7 -0.7 -0.5 -0.7 HEATOIL -0.2 0.6 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.4 0.2 -0.0 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.1 0.1 -0.5 -0.5 0.4 0.6 0.2 -0.0 -0.0 -0.1 JGB-SGX-mini 0.1 -0.6 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.1 0.0 0.2 -0.1 -0.1 0.4 0.4 0.3 0.3 -0.1 -0.0 -0.0 0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 1.1 0.1 0.1 -0.1 0.1 -0.7 -0.3 0.2 0.3 JPY -0.1 -0.4 -0.5 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.0 -0.2 -0.4 -0.6 -0.2 -0.7 -0.2 -0.7 LEANHOG 0.0 0.1 0.2 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.1 -0.1 0.1 -0.2 -0.0 0.1 0.4 0.4 0.4 0.4 -0.0 -0.1 0.0 -0.3 0.0 1.9 -0.0 0.0 -0.2 0.0 -0.4 -0.0 1.1 0.5 0.1 -0.2 -0.3 -0.3 0.0 0.6 0.7 LIVECOW -0.1 -0.3 0.6 0.0 -0.1 -0.0 -0.1 -0.2 -0.0 0.2 0.5 0.2 0.7 0.1 0.2 -0.4 0.1 -0.2 0.1 0.2 0.2 0.2 0.5 0.2 0.5 0.1 0.1 0.4 0.1 0.5 0.1 -0.0 0.5 0.5 0.2 0.6 -0.7 -0.7 -0.7 -0.7 LUMBER-new -0.2 -0.5 0.0 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.6 -0.3 -0.6 -0.3 -0.3 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.2 -0.4 -0.2 NaN -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -1.3 0.2 -0.0 -0.8 -0.3 -0.8 -0.8 -0.4 -0.8 MILK 0.6 0.6 0.4 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 0.1 -0.3 0.1 0.1 0.2 -0.4 -0.4 -0.4 0.1 -0.1 0.1 -0.4 0.1 -0.2 0.0 -0.0 -0.1 0.0 -0.2 0.0 -1.1 0.4 0.4 0.6 -0.5 -0.7 -0.7 -0.5 -0.7 MXP -0.4 -0.6 -0.3 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.4 -0.1 0.6 -0.1 0.1 0.3 0.4 0.3 0.3 0.0 0.2 -0.1 0.5 -0.1 -2.7 0.0 -0.0 0.2 -0.1 0.3 -0.0 1.1 -0.5 -0.1 0.2 0.5 0.7 0.2 0.7 0.7 NASDAQ_micro -0.0 -0.6 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.3 0.1 0.3 0.0 0.1 -0.2 -0.2 -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 -0.3 0.2 0.3 0.1 0.6 -0.2 -0.5 -0.5 -0.6 NIKKEI 0.2 -0.4 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.4 0.1 0.6 0.1 0.1 0.3 0.3 0.3 0.3 0.1 0.2 0.1 0.5 0.1 -1.0 0.0 -0.0 0.3 0.0 0.4 0.0 1.1 0.4 0.6 0.4 0.6 0.2 0.1 -0.1 0.3 NZD -0.1 -0.6 -0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 0.0 0.0 0.0 -0.2 -0.1 -0.1 -0.2 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 0.1 -0.1 -0.4 -0.6 -0.1 -0.5 0.0 0.2 OAT 0.2 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.3 -0.0 -0.1 0.1 0.2 0.1 0.1 -0.0 -0.0 -0.0 -0.2 -0.0 1.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.9 -0.0 0.1 0.1 0.2 -0.7 -0.7 0.0 0.2 OATIES 0.4 0.5 0.6 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.4 0.1 -0.2 0.1 0.2 -0.4 -0.1 -0.4 -0.3 0.2 0.2 0.1 0.4 0.2 -2.7 0.1 -0.0 0.1 0.0 0.1 0.1 -1.1 0.2 0.6 0.6 0.6 0.1 0.6 0.7 0.7 OJ 0.1 -0.1 0.2 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.1 0.5 0.1 0.6 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.3 0.1 1.1 0.5 0.6 0.6 0.6 0.3 0.2 0.7 0.6 PALLAD -0.0 0.2 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.3 -0.1 -0.5 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.5 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.1 -0.1 -0.3 0.1 -0.5 -0.7 -0.1 0.2 0.0 PLAT 0.3 -0.1 -0.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.3 -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 1.9 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.2 0.4 0.3 -0.3 0.0 -0.6 0.6 -0.4 REDWHEAT -0.3 -0.6 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -1.6 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.3 0.0 -0.3 -0.5 -0.2 -0.7 -0.7 -0.4 -0.3 RICE 0.1 0.3 0.4 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.2 -0.0 0.1 0.1 0.2 -0.3 0.3 0.1 0.4 0.1 0.1 -0.1 0.1 0.1 -2.7 0.0 -0.1 0.1 -0.1 0.0 0.0 1.1 -0.3 0.1 0.6 0.5 -0.2 -0.7 0.3 -0.4 ROBUSTA -0.1 -0.3 0.0 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.3 -0.0 0.5 -0.0 -0.0 0.4 0.4 0.4 0.4 0.0 0.1 -0.0 0.5 -0.0 -2.1 0.0 -0.0 0.2 -0.0 0.4 -0.0 1.1 0.3 -0.3 -0.1 0.3 -0.1 -0.5 0.5 -0.2 RUSSELL -0.4 -0.4 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 -0.2 -0.1 -0.2 -0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.4 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.2 -0.0 0.1 0.6 -0.3 -0.4 -0.7 -0.5 SHATZ 0.1 0.3 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.3 -0.0 -0.1 -0.4 -0.2 -0.4 -0.3 -0.0 -0.1 -0.0 -0.3 -0.0 1.4 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.8 -0.0 0.0 0.3 -0.0 -0.7 -0.7 -0.7 -0.7 SILVER-mini 0.3 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 0.2 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 1.0 0.0 -0.0 0.0 -0.0 0.1 0.0 -0.2 -0.1 0.6 0.4 0.1 -0.7 -0.7 -0.1 -0.7 SMI 0.0 -0.3 -0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.1 -0.0 0.2 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.1 0.8 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.5 -0.3 0.1 0.4 -0.4 -0.3 -0.4 -0.7 -0.5 SOFR 0.1 -0.4 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.2 0.1 -0.0 -0.2 -0.7 -0.7 -0.3 -0.1 SOYBEAN 0.3 0.0 0.6 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 0.0 0.0 0.0 0.1 -0.0 0.4 0.1 0.3 0.1 0.1 0.0 0.0 0.0 -2.7 0.0 -0.0 0.1 0.0 0.0 0.0 1.0 0.1 0.4 0.0 0.6 -0.4 0.2 -0.3 0.5 SOYMEAL 0.3 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.1 0.0 0.0 0.1 0.4 0.2 0.3 0.0 0.0 0.0 0.1 0.0 -2.7 0.0 0.0 0.1 0.0 0.1 0.0 1.1 -0.0 0.3 -0.0 0.3 -0.6 -0.6 -0.5 -0.6 SOYOIL -0.3 0.2 0.6 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.3 -0.1 -0.0 -0.0 0.1 0.3 0.2 0.3 0.2 0.1 0.1 -0.1 0.1 -0.0 -2.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.6 -0.1 0.2 0.1 0.6 0.0 0.2 0.7 0.7 SP400 -0.4 -0.5 0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.1 -0.2 0.3 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.1 -0.1 -1.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.2 -0.0 0.1 0.6 -0.0 -0.4 -0.5 -0.6 SP500_micro -0.2 -0.6 0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.3 0.1 0.4 -0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 0.0 0.3 0.0 -2.3 0.0 0.0 0.2 0.0 0.2 0.0 -0.4 0.3 0.2 0.2 0.6 -0.2 -0.5 -0.7 -0.7 SUGAR11 0.6 0.0 -0.3 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.1 0.4 0.2 0.6 0.2 0.1 -0.1 0.2 -0.0 0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.4 0.1 0.3 0.5 0.6 0.6 -0.0 -0.7 -0.7 0.3 -0.1 US10 0.1 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.1 -0.1 -0.0 -0.3 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.6 0.2 0.0 -0.1 -0.3 -0.7 -0.7 0.5 0.0 US10U 0.1 -0.5 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.4 -0.1 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.2 0.0 -0.2 -0.3 -0.7 -0.7 0.7 0.6 US2 0.2 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.0 -0.5 -0.1 1.2 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -1.1 0.3 0.1 -0.0 -0.4 -0.7 -0.7 -0.7 -0.7 US20 0.1 -0.6 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.3 -0.1 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.1 0.0 -0.2 -0.2 -0.7 -0.7 0.7 0.7 US30 0.2 -0.5 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.1 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 0.2 0.1 -0.2 -0.2 -0.7 -0.7 0.7 0.7 US5 0.0 -0.3 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.3 -0.1 -0.1 -0.3 -0.2 -0.3 -0.3 -0.1 -0.1 -0.0 -0.3 -0.1 0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.8 0.2 0.0 -0.0 -0.3 -0.7 -0.7 0.0 -0.6 VIX -0.3 0.8 -0.9 -0.1 -0.1 -0.4 -0.1 -0.6 -0.1 -0.3 -0.9 -0.3 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.3 -0.9 -0.3 NaN -0.1 -0.1 -0.5 -0.1 -0.8 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.5 -0.6 0.4 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.3 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.2 -0.1 -0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.1 -0.0 -0.3 -0.2 -0.0 -0.7 -0.5 -0.5 -0.3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -1.1 -18.9 -4.0 -1.3 -0.7 1.8 -3.2 2.3 -3.5 -4.7 -12.6 -8.7 -7.6 -13.6 -13.2 -3.2 -2.8 -3.0 -2.9 -13.4 -10.7 -6.6 -8.6 -11.5 2.9 -4.3 -0.1 -3.2 -2.4 -2.5 -3.9 -1.3 1.7 -3.5 -10.8 -15.4 -6.8 -20.0 -3.6 4.8 BITCOIN -15.0 -18.9 -1.1 -3.0 -6.3 -0.6 -5.3 1.3 -3.8 -17.7 5.6 -20.0 2.7 -20.0 -16.0 -5.6 -4.3 -6.4 -5.6 -14.9 -3.3 -14.4 0.8 -18.7 -20.0 -5.9 -4.4 -2.2 -5.2 0.1 -7.0 -1.5 4.9 -20.0 -18.1 -5.2 -12.9 20.0 -10.9 20.0 BOBL 4.1 2.2 -1.7 -2.3 -2.0 -2.4 -1.8 -2.8 -1.8 -5.1 -3.8 -2.8 -7.1 -1.6 -4.3 -20.0 -10.1 -20.0 -17.9 -2.5 -4.4 -3.0 -8.9 -1.9 9.7 -1.1 -2.1 -1.6 -1.6 -3.4 -0.9 -19.5 0.9 2.3 6.4 2.0 -20.0 -20.0 -20.0 -16.8 BTP -1.1 -7.3 5.2 -3.6 -3.1 -3.7 -2.8 -4.4 -2.8 -9.2 4.6 -7.1 0.7 -6.5 -2.2 5.0 7.8 5.3 6.2 -2.7 0.1 -7.2 -2.1 -5.0 -6.7 -1.7 -5.5 0.6 -4.8 -0.0 -3.2 16.0 -4.5 -0.3 5.7 14.4 -13.9 -20.0 2.5 9.3 BUND 4.2 -2.6 2.6 -2.4 -2.1 -2.5 -1.9 -3.0 -1.9 -5.9 -5.2 -2.6 -7.8 -3.7 -5.1 3.2 8.2 5.2 6.3 -3.4 -4.6 -3.5 -8.6 -2.8 6.1 -1.8 -2.5 -2.0 -2.0 -3.4 -1.5 16.2 -0.4 2.3 3.6 3.2 -20.0 -20.0 -17.1 -1.2 BUXL 2.8 -6.8 4.3 -2.8 -2.4 -2.9 -2.2 -3.4 -2.2 -7.9 -8.5 -4.2 -9.7 -6.2 -6.5 0.1 1.0 0.7 1.1 -6.1 -7.1 -5.6 -11.7 -5.5 0.9 -2.7 -2.8 -2.5 -2.7 -3.4 -2.6 5.8 -3.2 0.1 -1.3 3.8 -20.0 -20.0 -5.3 15.7 CAC -3.3 -7.8 -9.5 -2.8 -1.1 0.7 -2.0 3.0 -3.2 -4.0 11.0 -6.4 19.8 -11.6 -6.0 -7.1 -1.2 -5.9 -3.7 -4.5 4.7 -4.9 17.2 -6.9 -5.3 -2.2 2.9 2.4 -2.8 7.7 -3.8 6.0 -11.1 2.7 6.1 -4.6 20.0 0.1 20.0 4.8 CAD -9.2 -20.0 2.4 -2.1 -1.2 2.9 -5.3 3.8 -5.7 -2.6 -3.1 -12.7 -11.7 -20.0 -18.4 -2.2 -2.0 -2.2 -2.2 -19.9 -9.5 -12.5 -7.1 -20.0 1.2 -6.6 0.7 -2.9 -4.4 -1.6 -7.5 0.0 4.2 -15.0 -18.5 -15.2 -20.0 -20.0 -20.0 -17.9 CANOLA -4.7 3.0 20.0 0.2 -6.5 -0.7 -5.3 -2.6 -1.8 -12.8 8.4 -4.5 -5.3 -1.8 9.8 -7.9 10.7 -0.7 6.2 11.0 11.0 -14.7 1.6 -1.5 -20.0 3.0 -4.7 1.9 -2.4 -1.1 0.6 6.9 -3.7 13.1 4.0 20.0 -13.3 5.4 6.9 19.8 CHF -17.8 -12.3 3.9 -1.8 -1.0 2.5 -4.5 3.2 -4.8 -15.7 5.5 -18.6 13.1 -18.2 -6.6 -15.3 -13.5 -14.9 -14.2 -7.8 4.9 -20.0 10.0 -19.1 -9.8 -2.5 -5.8 2.3 -8.2 3.6 -7.1 -20.0 -15.9 -16.6 -2.2 -4.3 -20.0 -20.0 -20.0 -20.0 COCOA 9.2 1.4 13.4 0.4 -10.6 -1.2 -8.6 -4.3 -3.0 20.0 20.0 20.0 20.0 20.0 20.0 -8.2 -2.5 -5.7 -3.6 20.0 20.0 20.0 20.0 20.0 -14.0 8.6 3.7 11.1 5.9 11.1 7.1 -13.3 20.0 20.0 20.0 20.0 -5.5 -12.1 15.0 -1.1 COFFEE 3.3 -4.9 -18.6 0.4 -10.0 -1.2 -8.1 -4.0 -2.8 -3.1 -14.7 -7.8 -13.6 -15.1 -20.0 -4.2 2.2 -1.2 0.9 -19.0 -20.0 -7.5 -17.4 -12.5 -20.0 -6.6 -2.0 -4.9 -5.7 -3.2 -6.7 -5.4 9.7 -16.0 -18.2 -20.0 -20.0 -20.0 -15.8 -11.1 COPPER 4.3 -2.2 -1.3 -2.4 -5.1 -0.5 -4.3 1.0 -3.1 -2.0 -8.0 3.2 -3.3 -6.4 -2.9 -5.8 -2.5 -4.9 -3.7 -4.1 -4.7 -4.3 -4.5 -3.4 -5.5 -1.0 0.3 -1.8 -1.6 -2.2 -1.0 1.5 7.8 3.7 10.1 5.4 7.4 -20.0 17.8 -18.6 CORN -1.6 -17.3 -5.3 0.2 -4.2 -0.5 -3.4 -1.7 -1.2 2.6 -7.5 -0.2 -7.3 -7.4 -8.2 -11.7 3.6 -7.8 -2.7 -7.6 -8.1 -1.4 -6.5 -4.8 -8.2 -1.8 -0.3 -2.2 -1.1 -2.7 -1.8 -6.9 3.5 -1.8 -5.6 4.9 -3.7 5.1 1.4 11.4 COTTON2 0.5 6.0 12.4 0.3 -7.4 -0.9 -6.0 -3.0 -2.1 -2.6 9.3 0.2 -9.2 4.5 9.8 2.2 6.3 5.0 5.0 7.6 6.1 1.3 0.0 4.9 -20.0 4.8 4.1 3.7 3.7 2.1 4.5 0.7 20.0 7.9 15.2 12.1 -17.1 -15.8 12.1 10.3 CRUDE_W 9.0 20.0 17.8 7.5 7.2 5.2 7.3 2.7 7.4 20.0 18.6 20.0 -4.1 20.0 20.0 12.8 8.9 9.8 8.6 20.0 20.0 20.0 12.7 20.0 -7.3 8.6 6.3 6.6 9.8 4.5 9.7 -20.0 11.8 -5.2 -19.8 -4.4 18.8 13.4 20.0 9.0 DAX -2.2 -13.0 -8.4 -2.6 -1.1 0.7 -1.8 2.8 -3.0 -6.1 5.9 -2.5 17.1 -13.7 -12.1 -9.2 -7.1 -8.8 -8.3 -7.9 1.4 -3.5 12.3 -7.5 18.9 -4.1 1.3 -0.2 -1.6 4.3 -3.6 -3.3 -2.0 6.7 1.7 -9.2 20.0 0.4 20.0 7.3 DOW -13.0 -8.8 8.9 -2.2 -0.9 0.6 -1.6 2.4 -2.5 -4.4 9.6 -1.6 12.3 -6.2 5.0 -11.3 -8.0 -11.0 -9.9 0.3 6.8 -3.9 7.5 -5.3 -10.2 1.1 2.2 4.2 0.2 4.6 -1.2 -5.4 8.3 -5.3 14.9 18.4 -12.2 -6.8 -20.0 -7.1 DX 15.0 20.0 3.3 -1.7 -0.9 2.4 -4.3 3.1 -4.6 10.8 6.6 15.1 -8.6 18.6 16.4 7.3 5.2 6.5 5.8 17.9 7.1 18.8 2.1 20.0 -20.0 5.3 2.2 2.2 5.9 1.4 7.0 13.0 17.4 20.0 20.0 5.6 -3.7 6.8 0.4 20.0 EUR -13.6 -16.6 -1.1 -1.6 -0.8 2.2 -3.9 2.8 -4.2 -11.4 -4.0 -14.5 8.7 -16.9 -12.7 -6.5 -6.8 -6.6 -6.6 -11.9 -3.1 -15.6 0.6 -17.2 13.3 -4.4 -2.8 -0.9 -6.1 0.4 -6.6 -7.9 -8.7 -15.8 -11.6 -12.7 -4.8 -19.8 1.6 0.0 EURIBOR-ICE 7.2 4.9 0.1 -2.2 -1.9 -2.3 -1.8 -2.7 -1.7 -4.8 -3.5 1.3 -6.6 2.3 -1.3 -8.4 -7.8 -9.0 -9.0 -0.6 -3.4 -0.3 -8.5 0.7 17.3 -0.1 -0.8 -1.1 -0.1 -3.2 0.4 -11.0 4.8 5.4 9.4 1.4 -20.0 -20.0 20.0 9.7 EUROSTX -5.1 -11.7 -9.2 -2.4 -1.0 0.6 -1.7 2.6 -2.7 -6.7 7.7 -9.9 16.7 -14.3 -12.0 -4.9 -1.1 -4.7 -3.4 -6.4 2.7 -7.3 12.9 -8.8 5.3 -3.9 -1.2 0.8 -4.4 5.9 -5.1 6.3 -11.3 0.1 0.8 -5.0 20.0 3.1 20.0 10.7 FEEDCOW 10.3 5.2 15.6 0.5 -11.9 -1.4 -9.6 -4.8 -3.4 20.0 20.0 20.0 20.0 20.0 20.0 3.5 -20.0 -12.9 -20.0 20.0 20.0 20.0 20.0 20.0 2.1 10.2 11.2 12.6 11.8 13.6 10.6 -20.0 20.0 20.0 20.0 20.0 6.3 -10.4 20.0 -1.9 GASOIL -5.8 20.0 20.0 5.7 5.5 4.0 5.6 2.0 5.6 16.6 14.0 15.2 1.4 18.0 18.7 20.0 20.0 20.0 20.0 20.0 20.0 20.0 14.0 20.0 11.6 6.5 5.8 5.0 4.6 2.5 5.2 0.0 -20.0 -5.0 11.5 15.7 -15.6 2.5 -18.3 -4.7 GASOLINE -4.1 16.6 20.0 7.3 7.0 5.1 7.1 2.6 7.2 20.0 20.0 20.0 2.5 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 8.4 7.2 8.7 7.0 8.0 6.8 20.0 -14.0 -20.0 -20.0 9.6 18.1 14.0 20.0 4.6 GAS_US_mini -11.4 7.4 20.0 6.3 6.0 4.4 6.1 2.2 6.2 -17.5 -17.3 -19.7 -20.0 -18.9 -6.9 -20.0 -20.0 -20.0 -20.0 -9.2 -18.9 -15.3 -20.0 -13.6 20.0 -1.0 -2.0 -1.4 -3.8 -3.8 -3.5 -20.0 -20.0 -20.0 -20.0 -20.0 5.3 7.3 -5.2 -0.1 GBP -13.6 -14.7 5.1 -1.8 -1.0 2.5 -4.5 3.2 -4.8 -14.1 7.3 -17.1 12.2 -19.0 -6.9 0.1 -0.7 0.1 -0.3 -7.4 4.3 -17.8 7.2 -16.0 -1.1 -3.3 -5.9 1.8 -8.5 2.1 -7.6 2.7 -8.8 -8.7 -8.2 -1.5 0.7 14.2 5.3 20.0 GOLD_micro 8.0 -13.4 -14.9 -3.5 -7.3 -0.7 -6.2 1.5 -4.5 -16.3 -10.1 1.5 6.1 -11.4 -16.9 -18.6 -13.5 -17.4 -15.7 -16.1 -11.9 -5.8 0.7 -8.9 -11.5 -2.6 1.7 -1.7 3.2 2.0 1.0 -18.2 20.0 13.4 7.7 -14.3 -20.0 -20.0 -13.9 -20.0 HEATOIL -4.7 20.0 20.0 6.7 6.4 4.6 6.4 2.3 6.5 19.4 15.0 18.7 -0.1 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 16.8 20.0 -20.0 7.4 3.5 6.4 3.0 4.3 5.0 2.6 -20.0 -16.1 13.5 20.0 5.0 -0.8 -0.1 -3.7 JGB-SGX-mini 3.4 -20.0 -11.6 -2.7 -2.3 -2.8 -2.1 -3.3 -2.1 -3.1 3.3 1.5 5.2 -6.2 -7.1 20.0 20.0 17.3 17.2 -4.8 -1.3 -1.7 2.6 -3.0 0.0 -2.0 -3.0 -0.9 -0.9 -0.1 -1.2 20.0 2.5 3.9 -1.7 3.8 -20.0 -8.7 5.9 8.0 JPY -3.1 -13.2 -15.3 -1.1 -0.6 1.5 -2.7 2.0 -2.9 -3.7 -12.3 -9.1 -11.4 -12.1 -12.5 -16.4 -14.1 -16.3 -15.5 -16.6 -17.8 -8.0 -17.9 -13.0 20.0 -4.5 -0.3 -4.5 -2.4 -4.4 -3.7 -20.0 -1.9 -6.7 -11.6 -20.0 -6.0 -20.0 -5.4 -20.0 LEANHOG 0.7 3.0 6.9 0.2 -6.5 -0.8 -5.3 -2.6 -1.8 6.0 -2.5 9.3 -6.2 -2.9 8.0 20.0 20.0 20.0 20.0 -0.3 -5.3 3.7 -12.0 1.5 14.2 -2.4 0.4 -6.5 1.2 -10.0 -0.2 20.0 20.0 2.3 -5.4 -8.0 -9.0 0.2 19.5 20.0 LIVECOW -2.2 -9.3 17.0 0.4 -11.6 -1.3 -9.4 -4.7 -3.3 20.0 20.0 20.0 20.0 12.2 20.0 -20.0 2.7 -8.4 2.9 20.0 20.0 20.0 20.0 17.5 3.7 8.6 9.0 13.1 8.9 14.2 6.8 -0.7 20.0 16.1 6.1 20.0 -20.0 -20.0 -20.0 -19.8 LUMBER-new -4.6 -13.5 0.4 0.4 -10.8 -0.9 -8.8 -3.0 -3.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -18.0 -13.6 -15.5 -14.2 -15.9 -13.7 -16.7 -11.7 -17.5 NaN -5.9 -6.4 -4.2 -8.0 -2.9 -7.5 -20.0 5.6 -1.0 -20.0 -8.9 -20.0 -20.0 -10.6 -20.0 MILK 17.4 20.0 11.6 0.2 -5.4 -0.6 -4.3 -2.2 -1.5 -4.3 -3.7 8.7 -9.7 10.5 5.3 11.1 -20.0 -18.8 -20.0 5.7 -5.4 7.6 -13.2 11.0 -1.4 1.1 -0.6 -3.0 2.3 -5.4 3.3 -20.0 18.7 13.8 20.0 -14.5 -20.0 -20.0 -14.2 -20.0 MXP -12.2 -20.0 -8.9 -1.5 -0.8 2.1 -3.8 2.7 -4.0 -7.9 14.8 -11.0 17.0 -6.4 8.7 15.4 17.6 16.8 17.2 2.7 14.7 -15.5 20.0 -9.3 -20.0 1.1 -2.6 6.5 -7.0 9.6 -4.3 20.0 -20.0 -2.5 7.6 16.0 20.0 7.1 20.0 20.0 NASDAQ_micro -0.7 -20.0 10.6 -1.4 -0.6 0.4 -1.0 1.6 -1.7 4.4 9.8 7.9 8.3 0.3 6.2 -9.4 -8.1 -10.0 -9.5 5.4 12.4 3.9 13.1 3.0 -20.0 2.1 1.6 5.7 1.3 6.8 0.7 -5.1 9.7 10.6 2.8 20.0 -5.0 -15.5 -14.7 -17.8 NIKKEI 4.8 -13.6 10.5 -2.4 -1.0 0.6 -1.7 2.7 -2.8 -0.8 15.7 11.1 16.3 4.9 9.7 14.4 12.8 14.9 13.9 9.8 20.0 9.2 20.0 8.8 -7.6 4.5 -1.3 9.5 3.5 11.2 3.5 20.0 14.7 20.0 13.6 20.0 5.9 3.5 -2.1 10.2 NZD -4.0 -19.0 -6.8 -1.3 -0.7 1.8 -3.2 2.3 -3.5 -4.9 -11.9 -9.2 -1.3 -13.9 -13.5 -0.2 0.4 0.0 0.2 -13.9 -10.3 -7.2 -7.5 -12.6 0.3 -4.4 -0.1 -3.0 -2.5 -2.0 -4.2 4.2 3.3 -4.3 -12.4 -19.0 -2.7 -14.0 1.3 7.5 OAT 4.7 -3.2 3.6 -2.6 -2.3 -2.7 -2.1 -3.3 -2.1 -6.7 -5.6 -2.6 -8.1 -3.6 -4.6 5.5 8.4 6.1 7.1 -3.2 -4.2 -3.8 -8.0 -2.8 8.3 -1.8 -3.2 -1.8 -2.3 -3.5 -1.6 17.3 -0.7 3.0 4.2 4.8 -20.0 -20.0 0.8 5.1 OATIES 11.6 14.7 20.0 0.3 -8.2 -1.0 -6.7 -3.3 -2.3 -9.9 15.1 7.7 -4.5 11.0 15.7 -20.0 -5.2 -18.5 -13.3 20.0 20.0 12.2 15.8 20.0 -20.0 6.2 -0.3 5.1 2.7 2.7 5.4 -20.0 8.2 20.0 20.0 20.0 4.1 17.3 19.8 20.0 OJ 4.4 -1.8 5.6 0.3 -8.0 -0.9 -6.5 -3.2 -2.3 10.5 17.1 12.4 17.5 14.9 16.1 20.0 20.0 20.0 20.0 20.0 20.0 16.6 20.0 20.0 -20.0 6.5 2.6 7.2 3.8 8.2 5.4 20.0 20.0 20.0 20.0 20.0 8.8 5.7 20.0 17.5 PALLAD -0.7 6.0 -13.3 -1.8 -3.7 -0.3 -3.1 0.8 -2.2 -6.2 -12.7 -10.0 -13.0 -10.1 -12.2 -2.3 -2.5 -2.7 -2.7 -10.3 -17.2 -6.4 -20.0 -7.3 -1.7 -3.7 -1.6 -4.8 -3.3 -5.6 -3.4 2.2 -3.0 -9.5 2.8 -14.1 -20.0 -3.7 6.9 0.5 PLAT 10.7 -3.4 -16.8 -1.9 -4.1 -0.4 -3.4 0.8 -2.5 -11.7 -9.8 -6.9 -2.5 -4.3 -9.1 -3.5 -2.3 -3.3 -2.8 -6.7 -7.9 -15.1 -4.9 -7.0 14.0 -0.4 -4.2 -1.4 -1.8 -0.9 0.5 2.4 -7.2 12.7 8.6 -9.7 1.0 -16.7 18.7 -12.9 REDWHEAT -9.3 -20.0 -4.0 0.2 -5.7 -0.7 -4.7 -2.3 -1.6 -9.1 -8.1 -9.2 -11.1 -12.2 -11.0 -3.1 1.7 -2.1 0.2 -12.8 -9.1 -7.6 -6.5 -12.5 -12.3 -3.4 -2.3 -2.2 -2.7 -1.2 -3.8 -6.2 0.8 -9.4 -14.0 -7.2 -20.0 -19.7 -13.0 -8.4 RICE 2.8 9.7 11.6 0.3 -8.8 -1.0 -7.1 -3.5 -2.5 -15.5 7.5 -2.9 3.2 7.4 14.4 -13.8 17.3 3.3 17.9 11.6 8.2 -9.4 3.6 6.5 -20.0 3.6 -13.9 3.0 -6.9 1.3 0.3 20.0 -10.5 2.5 20.0 16.5 -5.9 -19.5 8.8 -10.8 ROBUSTA -3.3 -8.0 0.5 0.3 -7.8 -0.9 -6.3 -3.1 -2.2 -9.0 11.6 -1.7 12.7 -4.0 -2.4 20.0 20.0 20.0 20.0 2.1 13.5 -4.7 20.0 -2.6 -15.9 0.6 -3.6 6.8 -3.3 10.6 -2.2 20.0 11.7 -9.3 -2.8 10.6 -2.2 -15.3 15.4 -5.6 RUSSELL -13.4 -13.1 10.1 -2.2 -0.9 0.6 -1.6 2.4 -2.6 -14.6 1.2 -13.5 -1.1 -14.3 -0.1 -8.3 -5.7 -7.7 -6.9 -5.7 2.3 -14.7 0.6 -13.5 -2.9 -0.3 -0.8 2.1 -0.4 2.2 -1.6 -0.8 9.3 -0.9 3.0 20.0 -8.2 -10.6 -20.0 -14.4 SHATZ 2.3 8.1 -8.0 -2.2 -1.9 -2.3 -1.8 -2.8 -1.8 -5.1 -5.9 -5.0 -7.4 -2.9 -4.7 -20.0 -8.1 -20.0 -15.5 -3.3 -6.8 -4.1 -12.3 -2.5 10.9 -1.4 -2.7 -2.6 -2.3 -5.1 -1.3 -15.8 -0.5 0.2 7.9 -1.3 -20.0 -20.0 -20.0 -20.0 SILVER-mini 9.2 -7.1 -6.7 -2.3 -4.8 -0.4 -4.0 1.0 -2.9 -12.5 1.0 -6.8 5.0 -5.7 -5.1 -7.8 -5.9 -7.3 -6.7 -3.4 -0.9 -14.6 1.7 -6.9 7.5 1.2 -2.4 1.5 -1.5 1.4 0.8 -4.1 -3.7 17.9 11.6 4.2 -20.0 -20.0 -3.0 -20.0 SMI 0.7 -8.6 -10.6 -2.5 -1.0 0.6 -1.8 2.7 -2.9 -8.3 2.0 -0.6 5.5 -9.4 -12.4 -3.4 0.7 -3.1 -1.8 -8.8 -4.8 -5.8 0.5 -7.1 5.7 -2.7 -2.8 -1.8 -3.4 -1.8 -2.7 9.2 -10.5 2.2 13.5 -12.0 -9.2 -12.4 -20.0 -16.0 SOFR 2.1 -12.5 -14.4 -2.8 -2.4 -2.9 -2.2 -3.4 -2.2 -8.5 -6.5 -1.2 -4.2 -5.5 -7.3 -1.8 -0.9 -1.8 -1.5 -8.3 -7.8 -3.7 -6.4 -5.4 -1.6 -2.6 -0.6 -2.6 -0.2 -2.1 -1.1 1.6 8.4 1.8 -0.5 -6.1 -20.0 -20.0 -9.2 -4.1 SOYBEAN 8.2 0.4 20.0 0.2 -5.4 -0.6 -4.4 -2.2 -1.5 -5.7 6.3 3.0 0.1 1.3 7.3 -2.5 18.3 7.4 13.0 6.1 4.7 1.0 1.5 4.0 -20.0 2.5 -0.1 1.9 0.4 0.7 1.5 19.2 2.3 12.9 0.0 19.8 -12.5 5.6 -8.9 16.4 SOYMEAL 9.9 -0.6 -3.7 0.2 -5.6 -0.6 -4.6 -2.3 -1.6 -1.8 -3.5 1.3 2.6 1.4 0.2 4.3 18.5 11.0 16.3 1.3 0.1 0.6 2.2 1.6 -20.0 2.0 1.4 2.2 0.6 3.2 1.3 20.0 -0.2 8.9 -0.4 9.8 -17.0 -19.1 -13.7 -17.9 SOYOIL -10.5 6.5 20.0 0.2 -6.3 -0.7 -5.1 -2.5 -1.8 -11.5 9.6 -8.6 -0.3 -1.7 11.0 15.5 11.4 13.7 11.5 10.2 11.4 -10.1 5.2 -0.4 -20.0 3.1 -3.5 3.4 -2.9 1.5 -0.2 10.5 -2.2 5.4 3.2 20.0 1.0 6.6 19.8 20.0 SP400 -13.9 -15.0 11.6 -2.1 -0.9 0.6 -1.5 2.3 -2.5 -15.1 4.0 -14.1 6.9 -13.1 3.4 -6.6 -5.0 -6.2 -5.7 -4.2 4.6 -16.1 5.5 -13.0 -12.6 0.1 -1.1 2.3 -0.1 2.6 -1.0 0.8 9.8 -0.1 1.8 20.0 -0.4 -11.9 -16.2 -17.0 SP500_micro -4.9 -20.0 13.1 -2.0 -0.8 0.5 -1.4 2.2 -2.3 -2.5 12.0 5.5 10.2 -3.1 6.9 -11.6 -9.3 -12.1 -11.1 4.5 12.5 0.8 12.8 0.3 -17.3 2.1 1.8 5.6 1.3 6.1 0.3 -7.4 11.5 7.5 6.4 20.0 -5.5 -13.6 -19.8 -20.0 SUGAR11 20.0 1.4 -9.0 0.4 -9.5 -1.1 -7.7 -3.8 -2.7 12.3 15.5 17.8 16.2 17.5 11.8 -3.4 10.8 -1.4 3.9 20.0 19.1 20.0 20.0 20.0 -20.0 5.5 2.3 7.0 6.9 11.2 7.8 5.2 20.0 20.0 19.4 -1.0 -20.0 -20.0 8.5 -2.1 US10 2.1 -12.6 -17.3 -2.4 -2.1 -2.5 -1.9 -3.0 -1.9 -7.5 -7.5 -3.8 -7.9 -6.5 -7.8 -9.6 -7.2 -9.3 -8.9 -9.6 -10.4 -4.6 -10.8 -6.5 1.0 -2.7 -0.5 -3.0 -0.3 -2.9 -1.2 -10.4 6.8 1.3 -2.4 -7.7 -20.0 -20.0 14.5 0.1 US10U 2.1 -14.2 -14.1 -3.2 -2.8 -3.3 -2.5 -3.9 -2.5 -9.9 -9.7 -6.1 -10.1 -9.0 -10.2 -0.8 -1.4 -2.3 -2.3 -12.7 -12.9 -6.8 -13.2 -9.3 -3.4 -3.6 -0.8 -3.8 -0.6 -3.3 -1.9 0.4 7.6 1.3 -5.3 -9.3 -20.0 -20.0 20.0 18.6 US2 7.2 -4.1 -20.0 -2.4 -2.1 -2.5 -1.9 -3.0 -1.9 -4.9 -8.7 -4.1 -8.6 -6.5 -8.6 -20.0 -20.0 -20.0 -20.0 -11.2 -15.6 -4.1 -18.3 -6.0 8.8 -2.7 0.1 -4.0 0.3 -4.9 -0.8 -20.0 13.0 2.2 -0.2 -12.9 -20.0 -20.0 -20.0 -20.0 US20 2.5 -17.7 -13.7 -2.4 -2.1 -2.5 -1.9 -2.9 -1.9 -7.0 -7.0 -2.5 -6.7 -6.3 -7.2 -4.7 -1.8 -3.0 -2.4 -10.4 -10.1 -4.9 -9.8 -7.6 -3.2 -2.7 -0.4 -2.7 -0.4 -2.3 -1.5 0.0 4.7 0.6 -6.6 -6.6 -20.0 -20.0 20.0 20.0 US30 5.1 -15.2 -9.2 -2.7 -2.4 -2.9 -2.2 -3.4 -2.2 -8.0 -8.4 -2.2 -8.2 -6.9 -7.9 -7.1 -3.5 -6.6 -5.1 -10.7 -10.9 -4.8 -11.8 -7.4 -2.8 -2.9 -0.4 -3.0 -0.1 -2.7 -1.3 -3.4 6.5 3.3 -6.7 -5.2 -20.0 -20.0 20.0 20.0 US5 1.5 -10.4 -19.3 -2.5 -2.2 -2.7 -2.0 -3.2 -2.0 -6.6 -8.1 -4.0 -8.4 -6.8 -8.4 -15.2 -9.9 -13.9 -12.5 -9.8 -11.3 -4.5 -12.5 -6.4 3.7 -2.8 -0.3 -3.4 -0.2 -3.5 -1.2 -15.7 9.4 1.0 -0.8 -8.7 -20.0 -20.0 0.8 -16.6 VIX -5.0 15.3 -17.8 -6.8 -6.3 -9.5 -6.6 -11.0 -6.0 -19.7 -20.0 -20.0 -20.0 -18.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -19.3 NaN -7.8 -7.5 -11.1 -8.6 -13.4 -7.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -14.9 -20.0 11.6 0.1 -3.5 -0.4 -2.8 -1.4 -1.0 -6.6 -6.3 -7.1 -7.5 -7.7 -7.0 -13.4 -9.7 -11.8 -11.0 -8.3 -6.8 -7.0 -7.0 -9.1 -2.9 -2.1 -2.2 -1.6 -2.7 -1.6 -2.8 -20.0 -1.8 -9.7 -7.2 -0.6 -20.0 -13.7 -16.1 -8.6 End of report for caleb_strategy_v3