******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230919_204329 produced at 2023-09-19 21:39:42.266422 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.48 0.0 0.00 0.00 0.00 0.00 -18.23 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.35 0.0 0.00 0.00 0.00 0.00 -5.11 13.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.09 -0.30 0.0 0.10 -0.10 -0.09 -0.09 -51.47 17.0 -16 -16 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.29 0.0 0.00 0.00 0.00 0.00 -7.56 24.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.43 -0.21 0.0 0.62 -0.62 -0.43 -0.43 -4.36 13.0 -9 -9 caleb_strategy_v3 GOLD_micro False False 0.01 -0.21 -0.17 0.0 0.37 -0.37 -0.21 -0.21 -25.33 56.0 -32 -32 caleb_strategy_v3 US5 False False 0.04 -0.18 -0.13 0.0 0.89 -0.89 -0.18 -0.14 -3.63 25.0 -5 -4 caleb_strategy_v3 JPY False False 0.03 -0.12 -0.11 0.0 0.49 -0.49 -0.12 -0.09 -3.67 17.0 -4 -3 caleb_strategy_v3 CAD False False 0.03 0.00 -0.09 0.0 0.73 -0.73 0.00 0.00 -3.45 29.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.06 -0.09 0.0 0.19 -0.19 -0.06 -0.10 -2.93 6.0 -2 -3 caleb_strategy_v3 EUR False False 0.05 -0.27 -0.08 0.0 0.64 -0.64 -0.27 -0.32 -1.74 14.0 -6 -7 caleb_strategy_v3 BOBL False False 0.04 -0.50 -0.07 0.0 0.80 -0.80 -0.50 -0.42 -1.78 19.0 -12 -10 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.07 0.0 0.17 -0.17 0.00 0.00 -0.77 2.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.07 0.0 0.63 -0.63 0.00 0.00 -1.82 17.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.06 0.0 0.21 -0.21 -0.01 -0.00 -19.63 68.0 -2 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.06 -0.06 0.0 0.07 -0.07 -0.06 -0.06 -22.96 26.0 -22 -22 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.05 0.0 0.36 -0.36 0.00 0.00 -5.93 48.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 -0.04 -0.05 0.0 0.05 -0.05 -0.04 -0.04 -55.61 59.0 -43 -43 caleb_strategy_v3 AUD False False 0.02 0.00 -0.05 0.0 0.42 -0.42 0.00 0.00 -2.40 19.0 0 0 caleb_strategy_v3 GBP False False 0.03 -0.03 -0.04 0.0 0.58 -0.58 -0.03 -0.03 -1.39 22.0 -1 -1 caleb_strategy_v3 NZD False False 0.02 0.02 -0.04 0.0 0.42 -0.42 0.02 0.02 -2.12 21.0 1 1 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.04 0.0 0.39 -0.39 -0.01 -0.01 -6.01 66.0 -1 -1 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.04 0.0 0.01 -0.01 0.00 0.00 -8.79 3.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.15 -0.04 0.0 0.50 -0.50 -0.15 -0.15 -1.07 13.0 -4 -4 caleb_strategy_v3 CORN False False 0.01 0.00 -0.03 0.0 0.10 -0.10 0.00 0.00 -3.63 12.0 0 0 caleb_strategy_v3 US20 False False 0.04 -0.12 -0.03 0.0 0.36 -0.36 -0.12 -0.12 -0.66 9.0 -3 -3 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.03 0.0 0.24 -0.24 0.00 0.00 -2.84 23.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -2.21 5.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.00 -0.03 0.0 0.40 -0.40 0.00 0.00 -0.71 10.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.04 -0.02 0.0 0.10 -0.10 -0.04 -0.04 -1.90 8.0 -3 -3 caleb_strategy_v3 PALLAD False False 0.04 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -0.55 2.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.13 -0.02 0.0 0.25 -0.25 -0.13 -0.13 -0.46 6.0 -3 -3 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -1.01 0.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.10 -0.10 -0.03 -0.03 -2.08 9.0 -3 -3 caleb_strategy_v3 COFFEE False False 0.02 -0.02 -0.02 0.0 0.12 -0.12 -0.02 -0.02 -0.82 6.0 -1 -1 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.02 0.0 0.19 -0.19 0.00 0.00 -6.48 51.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.04 -0.04 0.00 0.00 -0.61 4.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.47 -0.47 0.00 0.00 -0.28 10.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.18 -0.01 0.0 0.18 -0.18 -0.18 -0.18 -0.23 4.0 -4 -4 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -0.68 9.0 0 0 caleb_strategy_v3 OAT False False 0.04 0.18 -0.01 0.0 0.45 -0.45 0.18 0.09 -0.15 10.0 4 2 caleb_strategy_v3 SOYOIL False False 0.01 0.00 0.00 0.0 0.12 -0.12 0.00 0.00 0.31 10.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.02 -0.00 0.0 0.15 -0.15 0.02 0.02 -0.09 7.0 1 1 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.44 -0.00 0.0 0.88 -0.88 0.44 0.26 -0.04 10.0 5 3 caleb_strategy_v3 COTTON2 False False 0.01 0.00 -0.00 0.0 0.16 -0.16 0.00 0.00 -0.06 11.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.28 2.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 0.01 0.0 0.16 -0.16 0.00 0.00 0.44 10.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.17 0.01 0.0 0.38 -0.38 0.17 0.17 0.31 9.0 4 4 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.02 0.0 0.19 -0.19 0.00 0.00 1.98 18.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.02 0.0 0.20 -0.20 0.03 0.04 1.75 23.0 4 5 caleb_strategy_v3 COCOA False False 0.01 0.02 0.02 0.0 0.32 -0.32 0.02 0.02 1.49 26.0 2 2 caleb_strategy_v3 EUROSTX False False 0.02 0.03 0.03 0.0 0.31 -0.31 0.03 0.03 1.92 20.0 2 2 caleb_strategy_v3 DAX False False 0.01 0.00 0.04 0.0 0.33 -0.33 0.00 0.00 7.00 58.0 0 0 caleb_strategy_v3 CAC False False 0.03 0.21 0.04 0.0 0.32 -0.32 0.21 0.21 1.50 12.0 8 8 caleb_strategy_v3 OJ False False 0.02 0.00 0.05 0.0 0.05 -0.05 0.00 0.00 2.63 3.0 0 0 caleb_strategy_v3 HEATOIL False False 0.05 0.00 0.05 0.0 0.14 -0.14 0.00 0.00 1.08 3.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.50 0.08 0.0 0.53 -0.53 0.50 0.50 2.32 16.0 15 15 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.08 0.0 0.44 -0.44 0.03 0.03 3.04 17.0 1 1 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.08 0.0 0.13 -0.13 0.07 0.07 7.36 13.0 7 7 caleb_strategy_v3 GASOIL False False 0.03 0.06 0.08 0.0 0.12 -0.12 0.06 0.06 2.72 4.0 2 2 caleb_strategy_v3 GASOLINE False False 0.04 0.14 0.08 0.0 0.14 -0.14 0.14 0.14 2.09 4.0 4 4 caleb_strategy_v3 FEEDCOW False False 0.04 0.31 0.12 0.0 0.36 -0.36 0.31 0.31 2.77 8.0 7 7 caleb_strategy_v3 DX False False 0.04 0.00 0.12 0.0 35487518.78 -35487518.78 0.00 0.00 3.25 999999999.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.15 0.26 0.0 0.15 -0.15 0.15 0.15 8.54 5.0 5 5 caleb_strategy_v3 MXP False False 0.01 0.45 0.33 0.0 0.59 -0.59 0.45 0.45 33.58 60.0 46 46 caleb_strategy_v3 NIKKEI False False 0.01 0.27 0.35 0.0 0.27 -0.27 0.27 0.27 46.57 36.0 36 36 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.5 Shocked risk 66.7 Sum abs risk 64.0 Leverage 6.16 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2953996.32, 'annual_cash_vol_target': 738499.08, 'daily_cash_vol_target': 46156.1925} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0040 0.6476 0.6208 9.9321 BITCOIN 728.1375 27190.0000 2.6780 42.8474 BOBL 0.2640 115.7300 0.2281 3.6500 BTP 0.6538 111.8700 0.5844 9.3509 BUND 0.5555 129.4400 0.4291 6.8660 BUXL 1.2882 125.9200 1.0231 16.3688 CAC 55.2626 7319.0000 0.7551 12.0809 CAD 0.0028 0.7448 0.3701 5.9219 CANOLA 8.2203 743.8000 1.1052 17.6828 CHF 0.0044 1.1238 0.3912 6.2589 COCOA 44.3303 3638.0000 1.2185 19.4965 COFFEE 2.5692 162.2500 1.5835 25.3360 COPPER 0.0389 3.7520 1.0356 16.5698 CORN 6.8368 505.5000 1.3525 21.6398 COTTON2 1.1852 87.4900 1.3547 21.6753 CRUDE_W 0.9483 89.3100 1.0618 16.9890 DAX 106.8820 15834.0000 0.6750 10.8002 DOW 198.8648 34773.0000 0.5719 9.1503 DX 0.3680 104.8300 0.3510 5.6164 EUR 0.0050 1.0720 0.4671 7.4734 EURIBOR-ICE 0.0531 96.8950 0.0548 0.8761 EUROSTX 36.4351 4277.0000 0.8519 13.6302 FEEDCOW 1.5085 265.7000 0.5678 9.0841 GASOIL 12.9703 919.7500 1.4102 22.5632 GASOLINE 0.0322 2.5447 1.2672 20.2755 GAS_US_mini 0.0812 3.0250 2.6835 42.9353 GBP 0.0062 1.2393 0.5001 8.0011 GOLD_micro 9.4063 1933.7000 0.4864 7.7831 HEATOIL 0.0437 3.1722 1.3790 22.0648 JGB-SGX-mini 0.2102 145.4200 0.1445 2.3127 JPY 0.0000 0.0069 0.5673 9.0774 LEANHOG 1.1717 76.1500 1.5387 24.6195 LIVECOW 1.0925 190.7000 0.5729 9.1664 LUMBER-new 8.0993 490.0000 1.6529 26.4467 MILK 0.2498 17.6700 1.4137 22.6190 MXP 0.0004 0.0577 0.7444 11.9103 NASDAQ_micro 140.5461 15348.0000 0.9157 14.6517 NIKKEI 276.6671 33050.0000 0.8371 13.3939 NZD 0.0037 0.5933 0.6175 9.8795 OAT 0.5791 124.1800 0.4663 7.4611 OATIES 8.0586 467.7500 1.7229 27.5656 OJ 4.7871 339.6000 1.4096 22.5541 PALLAD 19.1224 1268.0000 1.5081 24.1293 PLAT 12.8102 948.1000 1.3511 21.6183 REDWHEAT 12.0514 735.0000 1.6397 26.2344 RICE 0.1721 16.3200 1.0543 16.8681 ROBUSTA 31.4346 2544.0000 1.2356 19.7702 RUSSELL 15.9964 1845.5000 0.8668 13.8684 SHATZ 0.0811 104.8300 0.0774 1.2383 SILVER-mini 0.3326 23.5750 1.4109 22.5746 SMI 72.2506 11134.0000 0.6489 10.3827 SOFR 0.0631 96.1350 0.0657 1.0509 SOYBEAN 14.1620 1263.5000 1.1209 17.9336 SOYMEAL 5.0333 385.4000 1.3060 20.8959 SOYOIL 0.7853 59.8000 1.3133 21.0124 SP400 19.1087 2583.4000 0.7397 11.8348 SP500_micro 29.6774 4483.0000 0.6620 10.5920 SUGAR11 0.3096 27.7000 1.1179 17.8856 US10 0.3706 109.1562 0.3395 5.4318 US10U 0.5182 113.5469 0.4564 7.3019 US2 0.0945 101.3555 0.0933 1.4925 US20 0.7389 118.2500 0.6248 9.9972 US30 1.1208 124.7188 0.8987 14.3785 US5 0.2387 105.6641 0.2259 3.6145 VIX 0.4428 17.0000 2.6045 41.6718 WHEAT 11.1433 662.5000 1.6820 26.9121 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 647.60 0.62 402.00 1.00 402.00 46156.19 114.82 -8.05 -92.43 BITCOIN 27.19 2.68 72.81 1.00 72.81 46156.19 633.89 -8.10 -513.48 BOBL 1157.30 0.23 264.01 1.07 281.79 46156.19 163.80 -10.69 -175.11 BTP 1118.70 0.58 653.80 1.07 697.83 46156.19 66.14 -3.15 -20.87 BUND 1294.40 0.43 555.46 1.07 592.87 46156.19 77.85 -3.61 -28.08 BUXL 1259.20 1.02 1288.23 1.07 1374.99 46156.19 33.57 -6.77 -22.72 CAC 731.90 0.76 552.63 1.07 589.85 46156.19 78.25 5.60 43.83 CAD 744.80 0.37 275.67 1.00 275.67 46156.19 167.44 -7.93 -132.82 CANOLA 148.76 1.11 164.41 0.74 121.72 46156.19 379.20 -7.02 -266.27 CHF 1404.69 0.39 549.48 1.00 549.48 46156.19 84.00 -20.00 -168.00 COCOA 363.80 1.22 443.30 1.00 443.30 46156.19 104.12 6.69 69.65 COFFEE 608.44 1.58 963.46 1.00 963.46 46156.19 47.91 -14.69 -70.39 COPPER 938.00 1.04 971.41 1.00 971.41 46156.19 47.51 -5.69 -27.03 CORN 252.75 1.35 341.84 1.00 341.84 46156.19 135.02 -11.05 -149.26 COTTON2 437.45 1.35 592.62 1.00 592.62 46156.19 77.89 -0.36 -2.83 CRUDE_W 893.10 1.06 948.30 1.00 948.30 46156.19 48.67 16.20 78.84 DAX 158.34 0.68 106.88 1.07 114.08 46156.19 404.59 5.07 205.15 DOW 173.86 0.57 99.43 1.00 99.43 46156.19 464.20 -5.57 -258.52 DX 1048.30 0.35 367.98 1.00 367.98 46156.19 125.43 9.97 125.12 EUR 1340.00 0.47 625.90 1.00 625.90 46156.19 73.74 -9.08 -66.96 EURIBOR-ICE 2422.38 0.05 132.64 1.07 141.58 46156.19 326.02 -0.03 -1.07 EUROSTX 427.70 0.85 364.35 1.07 388.89 46156.19 118.69 4.75 56.39 FEEDCOW 1328.50 0.57 754.26 1.00 754.26 46156.19 61.19 13.63 83.44 GASOIL 919.75 1.41 1297.03 1.00 1297.03 46156.19 35.59 17.65 62.81 GASOLINE 1068.77 1.27 1354.37 1.00 1354.37 46156.19 34.08 14.11 48.10 GAS_US_mini 75.62 2.68 202.94 1.00 202.94 46156.19 227.44 -9.32 -211.98 GBP 774.56 0.50 387.33 1.00 387.33 46156.19 119.16 -4.48 -53.41 GOLD_micro 193.37 0.49 94.06 1.00 94.06 46156.19 490.69 -15.13 -742.48 HEATOIL 1332.32 1.38 1837.34 1.00 1837.34 46156.19 25.12 9.90 24.86 JGB-SGX-mini 145420.00 0.14 21019.96 0.01 142.38 46156.19 324.19 0.66 21.41 JPY 857.69 0.57 486.60 1.00 486.60 46156.19 94.85 -14.91 -141.40 LEANHOG 304.60 1.54 468.69 1.00 468.69 46156.19 98.48 12.30 121.17 LIVECOW 762.80 0.57 437.01 1.00 437.01 46156.19 105.62 8.69 91.81 LUMBER-new 134.75 1.65 222.73 1.00 222.73 46156.19 207.23 -20.00 -414.46 MILK 353.40 1.41 499.60 1.00 499.60 46156.19 92.39 -11.15 -103.00 MXP 288.55 0.74 214.79 1.00 214.79 46156.19 214.89 10.65 228.75 NASDAQ_micro 306.96 0.92 281.09 1.00 281.09 46156.19 164.20 -7.44 -122.16 NIKKEI 33050.00 0.84 27666.71 0.01 187.40 46156.19 246.30 17.46 430.02 NZD 593.25 0.62 366.31 1.00 366.31 46156.19 126.00 -6.49 -81.82 OAT 1241.80 0.47 579.07 1.07 618.07 46156.19 74.68 -0.59 -4.41 OATIES 233.88 1.72 402.93 1.00 402.93 46156.19 114.55 -1.02 -11.64 OJ 509.40 1.41 718.06 1.00 718.06 46156.19 64.28 19.09 122.74 PALLAD 1268.00 1.51 1912.24 1.00 1912.24 46156.19 24.14 -6.64 -16.02 PLAT 474.05 1.35 640.51 1.00 640.51 46156.19 72.06 1.80 12.95 REDWHEAT 367.50 1.64 602.57 1.00 602.57 46156.19 76.60 -18.66 -142.95 RICE 326.40 1.05 344.11 1.00 344.11 46156.19 134.13 -1.86 -24.95 ROBUSTA 254.40 1.24 314.35 1.00 314.35 46156.19 146.83 10.21 149.88 RUSSELL 92.28 0.87 79.98 1.00 79.98 46156.19 577.08 -10.26 -592.38 SHATZ 1048.30 0.08 81.13 1.07 86.59 46156.19 533.03 -13.99 -745.50 SILVER-mini 589.38 1.41 831.56 1.00 831.56 46156.19 55.51 -5.34 -29.63 SMI 1113.40 0.65 722.51 1.12 806.06 46156.19 57.26 1.58 9.05 SOFR 2403.38 0.07 157.85 1.00 157.85 46156.19 292.41 -10.26 -299.97 SOYBEAN 631.75 1.12 708.10 1.00 708.10 46156.19 65.18 -1.44 -9.37 SOYMEAL 385.40 1.31 503.33 1.00 503.33 46156.19 91.70 -7.93 -72.71 SOYOIL 358.80 1.31 471.20 1.00 471.20 46156.19 97.95 3.38 33.15 SP400 2583.40 0.74 1910.87 1.00 1910.87 46156.19 24.15 -9.59 -23.16 SP500_micro 224.15 0.66 148.39 1.00 148.39 46156.19 311.05 -8.20 -255.21 SUGAR11 310.24 1.12 346.80 1.00 346.80 46156.19 133.09 7.00 93.15 US10 1091.56 0.34 370.57 1.00 370.57 46156.19 124.55 -11.52 -143.53 US10U 1135.47 0.46 518.19 1.00 518.19 46156.19 89.07 -9.48 -84.47 US2 2027.11 0.09 189.10 1.00 189.10 46156.19 244.09 -16.51 -402.96 US20 1182.50 0.62 738.85 1.00 738.85 46156.19 62.47 -8.32 -51.96 US30 1247.19 0.90 1120.79 1.00 1120.79 46156.19 41.18 -8.81 -36.26 US5 1056.64 0.23 238.70 1.00 238.70 46156.19 193.36 -14.80 -286.13 VIX 170.00 2.60 442.76 1.00 442.76 46156.19 104.25 -20.00 -208.49 WHEAT 331.25 1.68 557.17 1.00 557.17 46156.19 82.84 -18.95 -156.95 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -92.433 0.010 2.5 -2.398 BITCOIN -513.476 0.043 2.5 -55.607 BOBL -175.108 0.004 2.5 -1.776 BTP -20.868 0.014 2.5 -0.712 BUND -28.085 0.004 2.5 -0.285 BUXL -22.717 0.004 2.5 -0.230 CAC 43.830 0.014 2.5 1.495 CAD -132.819 0.010 2.5 -3.446 CANOLA -266.266 0.010 2.5 -6.478 CHF -167.998 0.010 2.5 -4.359 COCOA 69.648 0.009 2.5 1.492 COFFEE -70.391 0.005 2.5 -0.822 COPPER -27.034 0.043 2.5 -2.928 CORN -149.259 0.010 2.5 -3.632 COTTON2 -2.827 0.009 2.5 -0.061 CRUDE_W 78.835 0.043 2.5 8.537 DAX 205.149 0.014 2.5 6.998 DOW -258.523 0.009 2.5 -6.009 DX 125.116 0.010 2.5 3.246 EUR -66.960 0.010 2.5 -1.737 EURIBOR-ICE -1.073 0.014 2.5 -0.037 EUROSTX 56.394 0.014 2.5 1.924 FEEDCOW 83.436 0.013 2.5 2.765 GASOIL 62.808 0.017 2.5 2.723 GASOLINE 48.100 0.017 2.5 2.085 GAS_US_mini -211.983 0.043 2.5 -22.957 GBP -53.408 0.010 2.5 -1.386 GOLD_micro -742.477 0.014 2.5 -25.327 HEATOIL 24.861 0.017 2.5 1.078 JGB-SGX-mini 21.414 0.043 2.5 2.319 JPY -141.402 0.010 2.5 -3.669 LEANHOG 121.168 0.024 2.5 7.364 LIVECOW 91.807 0.013 2.5 3.042 LUMBER-new -414.457 0.008 2.5 -8.793 MILK -102.996 0.009 2.5 -2.206 MXP 228.754 0.059 2.5 33.577 NASDAQ_micro -122.163 0.009 2.5 -2.839 NIKKEI 430.021 0.043 2.5 46.569 NZD -81.822 0.010 2.5 -2.123 OAT -4.410 0.014 2.5 -0.150 OATIES -11.636 0.010 2.5 -0.283 OJ 122.739 0.009 2.5 2.629 PALLAD -16.016 0.014 2.5 -0.546 PLAT 12.950 0.014 2.5 0.442 REDWHEAT -142.953 0.005 2.5 -1.896 RICE -24.954 0.010 2.5 -0.607 ROBUSTA 149.878 0.005 2.5 1.750 RUSSELL -592.375 0.013 2.5 -19.631 SHATZ -745.501 0.004 2.5 -7.560 SILVER-mini -29.630 0.014 2.5 -1.011 SMI 9.053 0.014 2.5 0.309 SOFR -299.973 0.024 2.5 -18.232 SOYBEAN -9.369 0.004 2.5 -0.087 SOYMEAL -72.709 0.004 2.5 -0.676 SOYOIL 33.146 0.004 2.5 0.309 SP400 -23.165 0.013 2.5 -0.768 SP500_micro -255.214 0.009 2.5 -5.932 SUGAR11 93.147 0.009 2.5 1.981 US10 -143.529 0.005 2.5 -1.819 US10U -84.474 0.005 2.5 -1.071 US2 -402.961 0.005 2.5 -5.107 US20 -51.960 0.005 2.5 -0.658 US30 -36.263 0.005 2.5 -0.460 US5 -286.130 0.005 2.5 -3.626 VIX -208.492 0.099 2.5 -51.468 WHEAT -156.950 0.005 2.5 -2.082 ===================== Position diags ===================== AUD 2.98 BITCOIN 68.65 BOBL 1.66 BTP 2.26 BUND 0.79 BUXL 0.34 CAC 2.67 CAD 4.34 CANOLA 9.23 CHF 2.18 COCOA 2.23 COFFEE 0.56 COPPER 5.15 CORN 3.29 COTTON2 1.67 CRUDE_W 5.27 DAX 13.80 DOW 10.79 DX 3.25 EUR 1.91 EURIBOR-ICE 11.12 EUROSTX 4.05 FEEDCOW 2.03 GASOIL 1.54 GASOLINE 1.48 GAS_US_mini 24.63 GBP 3.09 GOLD_micro 16.74 HEATOIL 1.09 JGB-SGX-mini 35.11 JPY 2.46 LEANHOG 5.99 LIVECOW 3.50 LUMBER-new 4.40 MILK 1.98 MXP 31.54 NASDAQ_micro 3.82 NIKKEI 26.67 NZD 3.27 OAT 2.55 OATIES 2.79 OJ 1.38 PALLAD 0.82 PLAT 2.46 REDWHEAT 1.02 RICE 3.26 ROBUSTA 1.71 RUSSELL 19.12 SHATZ 5.41 SILVER-mini 1.89 SMI 1.95 SOFR 17.77 SOYBEAN 0.61 SOYMEAL 0.85 SOYOIL 0.91 SP400 0.80 SP500_micro 7.23 SUGAR11 2.83 US10 1.58 US10U 1.13 US2 3.09 US20 0.79 US30 0.52 US5 2.45 VIX 25.73 WHEAT 1.10 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.4 -2.7 -2.1 NaN 0 BITCOIN -55.6 -62.5 -48.7 -43.0 -43 BOBL -1.8 -1.9 -1.6 -12.0 -12 BTP -0.7 -0.9 -0.5 0.0 0 BUND -0.3 -0.4 -0.2 0.0 0 BUXL -0.2 -0.3 -0.2 -4.0 -4 CAC 1.5 1.2 1.8 8.0 8 CAD -3.4 -3.9 -3.0 0.0 0 CANOLA -6.5 -7.4 -5.6 NaN 0 CHF -4.4 -4.6 -4.1 -9.0 -9 COCOA 1.5 1.3 1.7 2.0 2 COFFEE -0.8 -0.9 -0.8 -1.0 -1 COPPER -2.9 -3.4 -2.4 -2.0 -2 CORN -3.6 -4.0 -3.3 0.0 0 COTTON2 -0.1 -0.2 0.1 0.0 0 CRUDE_W 8.5 8.0 9.1 5.0 5 DAX 7.0 5.6 8.4 0.0 0 DOW -6.0 -7.1 -4.9 -1.0 -1 DX 3.2 2.9 3.6 NaN 0 EUR -1.7 -1.9 -1.5 -6.0 -6 EURIBOR-ICE -0.0 -1.1 1.1 5.0 5 EUROSTX 1.9 1.5 2.3 2.0 2 FEEDCOW 2.8 2.6 3.0 7.0 7 GASOIL 2.7 2.6 2.9 2.0 2 GASOLINE 2.1 1.9 2.2 4.0 4 GAS_US_mini -23.0 -25.4 -20.5 -22.0 -22 GBP -1.4 -1.7 -1.1 -1.0 -1 GOLD_micro -25.3 -27.0 -23.7 -32.0 -32 HEATOIL 1.1 1.0 1.2 0.0 0 JGB-SGX-mini 2.3 -1.2 5.8 15.0 15 JPY -3.7 -3.9 -3.4 -4.0 -4 LEANHOG 7.4 6.8 8.0 7.0 7 LIVECOW 3.0 2.7 3.4 1.0 1 LUMBER-new -8.8 -9.2 -8.4 NaN 0 MILK -2.2 -2.4 -2.0 NaN 0 MXP 33.6 30.4 36.7 46.0 46 NASDAQ_micro -2.8 -3.2 -2.5 0.0 0 NIKKEI 46.6 43.9 49.2 36.0 36 NZD -2.1 -2.5 -1.8 1.0 1 OAT -0.2 -0.4 0.1 4.0 4 OATIES -0.3 -0.6 -0.0 NaN 0 OJ 2.6 2.5 2.8 NaN 0 PALLAD -0.5 -0.6 -0.5 NaN 0 PLAT 0.4 0.2 0.7 0.0 0 REDWHEAT -1.9 -2.0 -1.8 -3.0 -3 RICE -0.6 -0.9 -0.3 NaN 0 ROBUSTA 1.8 1.6 1.9 4.0 4 RUSSELL -19.6 -21.5 -17.7 -2.0 -2 SHATZ -7.6 -8.1 -7.0 NaN 0 SILVER-mini -1.0 -1.2 -0.8 NaN 0 SMI 0.3 0.1 0.5 4.0 4 SOFR -18.2 -20.0 -16.5 NaN 0 SOYBEAN -0.1 -0.1 -0.0 1.0 1 SOYMEAL -0.7 -0.8 -0.6 0.0 0 SOYOIL 0.3 0.2 0.4 0.0 0 SP400 -0.8 -0.8 -0.7 0.0 0 SP500_micro -5.9 -6.7 -5.2 0.0 0 SUGAR11 2.0 1.7 2.3 0.0 0 US10 -1.8 -2.0 -1.7 NaN 0 US10U -1.1 -1.2 -1.0 -4.0 -4 US2 -5.1 -5.4 -4.8 NaN 0 US20 -0.7 -0.7 -0.6 -3.0 -3 US30 -0.5 -0.5 -0.4 -3.0 -3 US5 -3.6 -3.9 -3.4 -5.0 -5 VIX -51.5 -54.0 -48.9 -16.0 -16 WHEAT -2.1 -2.2 -2.0 -3.0 -3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.8 3.8 3.7 1.3 1.1 3.2 1.3 4.2 1.3 1.1 3.0 1.3 3.2 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 6.2 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 0.1 -0.6 -0.3 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.4 0.0 -0.3 -0.1 -0.2 -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 -0.1 0.1 0.2 -0.3 -0.5 -0.3 -0.7 -0.2 0.1 BITCOIN -0.0 -0.6 -0.1 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.2 0.1 0.0 0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 -0.1 -2.7 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -0.1 0.4 -0.3 -0.3 -0.2 -0.3 0.7 -0.3 0.7 BOBL -0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.1 -0.1 -0.2 -0.4 -0.3 -0.0 -0.1 -0.1 -0.2 -0.1 1.3 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.9 -0.1 0.0 0.1 0.1 -0.7 -0.7 -0.7 -0.6 BTP -0.2 -0.3 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.0 -0.1 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.9 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.9 0.0 -0.0 0.1 0.4 -0.4 -0.7 0.1 0.3 BUND -0.1 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.0 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.8 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.8 0.0 0.1 0.1 0.1 -0.7 -0.7 -0.6 -0.1 BUXL -0.1 -0.2 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -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 -0.1 -0.1 -0.0 -0.1 -0.0 0.3 0.0 -0.0 -0.1 0.1 -0.7 -0.7 -0.2 0.6 CAC 0.0 -0.3 -0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.3 0.0 0.7 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 0.0 0.0 0.4 -0.0 -0.7 -0.0 0.0 0.1 0.0 0.3 -0.0 0.3 0.4 -0.1 0.4 -0.0 0.7 0.0 0.7 0.2 CAD 0.2 -0.6 -0.0 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.2 -0.1 0.2 -0.4 -0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 0.1 -0.2 -0.0 0.2 -0.1 0.1 -0.1 0.1 -0.1 -0.0 0.0 0.5 0.4 -0.3 -0.4 -0.7 -0.7 -0.7 -0.6 CANOLA -0.6 -0.2 0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 -0.1 -0.1 0.1 -0.2 0.2 -0.1 0.1 0.0 0.1 -0.2 0.0 -0.1 -2.7 0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.4 -0.5 -0.5 -0.3 0.6 -0.4 0.1 0.3 0.6 CHF -0.6 -0.6 0.1 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.2 0.1 -0.2 0.5 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 0.0 -0.2 0.3 -0.2 -1.4 -0.1 -0.1 0.0 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 -0.5 -0.3 -0.7 -0.7 -0.7 -0.7 COCOA 0.2 -0.2 0.2 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.5 0.1 0.7 0.2 0.2 -0.1 -0.0 -0.1 -0.1 0.2 0.2 0.1 0.5 0.2 -1.9 0.1 -0.0 0.3 0.0 0.4 0.1 -0.5 0.2 0.6 0.6 0.6 -0.1 -0.4 0.6 0.0 COFFEE 0.4 -0.1 -0.6 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 0.2 -0.4 0.2 -0.5 -0.0 -0.2 -0.1 0.0 -0.0 0.0 -0.1 -0.2 0.2 -0.5 0.0 -2.7 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.2 0.5 0.6 -0.1 -0.6 -0.7 -0.7 -0.6 -0.3 COPPER 0.1 -0.2 -0.1 -0.0 0.1 -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 -0.8 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.4 -0.0 0.3 0.2 0.2 -0.7 0.5 -0.7 CORN -0.1 -0.6 -0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.2 0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -1.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.3 0.1 -0.1 0.1 0.0 0.3 COTTON2 -0.0 0.2 0.4 -0.0 -0.0 -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 0.0 -2.7 0.1 0.0 0.1 0.0 0.1 0.0 0.2 0.0 0.6 0.5 0.4 -0.6 -0.5 0.3 0.4 CRUDE_W 0.6 0.6 0.6 0.1 0.0 0.2 0.1 0.1 0.1 0.2 0.5 0.2 0.0 0.2 0.2 0.3 0.2 0.2 0.2 0.2 0.2 0.2 0.5 0.2 -1.0 0.1 0.1 0.2 0.1 0.2 0.1 -1.1 0.4 0.6 -0.3 -0.1 0.7 0.4 0.7 0.3 DAX 0.0 -0.4 -0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.1 -0.1 0.6 -0.2 -0.2 -0.2 -0.1 -0.2 -0.2 -0.1 -0.0 -0.1 0.3 -0.1 2.6 -0.0 -0.1 -0.0 -0.0 0.1 -0.0 -0.2 0.0 -0.3 0.1 -0.3 0.7 0.0 0.7 0.3 DOW -0.1 -0.4 0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.2 0.0 0.5 -0.1 0.0 -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 0.1 -0.1 0.3 0.6 -0.4 -0.2 -0.7 -0.3 DX 0.4 0.6 0.2 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.3 0.2 -0.3 0.2 0.2 0.2 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 0.1 -0.0 0.2 0.1 0.7 EUR -0.3 -0.6 -0.1 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.2 -0.1 0.3 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.0 -0.2 1.8 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.4 -0.3 -0.6 -0.5 -0.4 -0.2 -0.7 -0.0 -0.0 EURIBOR-ICE -0.0 0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 -0.1 -0.2 -0.0 2.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.6 -0.0 0.1 0.2 0.1 -0.7 -0.7 0.7 0.4 EUROSTX -0.1 -0.4 -0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.2 -0.1 0.6 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.0 0.3 -0.1 0.8 -0.0 -0.0 0.0 -0.0 0.2 -0.0 0.3 0.1 -0.3 0.2 -0.2 0.7 0.1 0.7 0.4 FEEDCOW 0.5 0.1 0.6 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.1 0.5 0.2 0.7 0.2 0.2 0.0 -0.4 -0.2 -0.4 0.2 0.2 0.2 0.5 0.2 0.1 0.1 0.1 0.3 0.1 0.4 0.1 -1.1 0.5 0.6 0.6 0.6 0.3 -0.3 0.7 -0.0 GASOIL 0.0 0.6 0.6 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.4 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 1.6 0.1 0.0 0.2 0.1 0.1 0.1 0.0 0.4 -0.1 0.5 0.6 -0.6 0.1 -0.7 -0.1 GASOLINE 0.3 0.5 0.6 0.1 0.0 0.2 0.1 0.1 0.1 0.1 0.5 0.2 0.2 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 0.3 0.1 0.3 0.1 1.1 -0.0 -0.5 -0.6 0.2 0.7 0.4 0.7 0.2 GAS_US_mini -0.3 0.2 0.5 0.1 0.0 0.1 0.1 0.1 0.1 0.1 -0.5 -0.1 -0.7 -0.2 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.0 -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 0.1 0.2 -0.2 -0.0 GBP -0.5 -0.6 0.0 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.2 0.1 -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 -0.1 -0.1 -0.1 0.0 -0.1 0.0 -0.1 0.2 -0.5 -0.6 -0.3 -0.2 -0.0 0.5 0.2 0.7 GOLD_micro 0.2 -0.4 -0.5 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.1 -0.3 -0.0 0.2 -0.1 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.1 0.0 -0.0 -0.1 -1.5 -0.0 0.1 -0.0 0.1 0.1 0.0 -1.0 0.0 0.6 0.1 -0.4 -0.7 -0.7 -0.4 -0.7 HEATOIL 0.1 0.6 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.0 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 0.0 0.2 0.0 0.2 0.1 0.2 0.0 -0.6 0.4 0.6 0.2 -0.0 0.0 -0.1 JGB-SGX-mini -0.0 -0.5 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.1 0.4 0.4 0.3 0.3 -0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 1.1 0.0 0.0 -0.1 0.1 -0.6 -0.3 0.3 0.3 JPY -0.1 -0.6 -0.6 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.4 -0.1 -0.5 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.1 2.7 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.2 -0.2 -0.4 -0.6 -0.2 -0.7 -0.1 -0.7 LEANHOG 0.3 0.0 0.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 0.1 -0.2 0.0 0.1 0.4 0.4 0.4 0.4 0.0 -0.0 0.0 -0.3 0.0 2.1 -0.0 0.0 -0.2 0.0 -0.4 0.0 1.1 0.3 0.4 0.0 -0.1 -0.4 -0.0 0.5 0.7 LIVECOW 0.3 -0.2 0.5 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.4 0.0 -0.3 -0.0 0.2 0.2 0.2 0.5 0.2 0.4 0.1 0.1 0.3 0.1 0.4 0.1 -0.2 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.7 LUMBER-new -0.3 -0.4 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.6 -0.3 -0.6 -0.3 -0.3 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.1 -0.4 -0.2 NaN -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -1.2 -0.0 -0.8 -0.8 -0.4 -0.7 -0.8 -0.3 -0.8 MILK 0.2 0.6 0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.4 0.0 0.1 0.0 -0.4 -0.4 -0.4 0.0 -0.1 -0.1 -0.4 0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -1.1 -0.3 0.2 0.5 -0.4 -0.7 -0.7 -0.5 -0.7 MXP -0.5 -0.3 -0.3 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 0.4 0.0 0.6 0.0 0.1 0.3 0.3 0.3 0.3 0.0 0.2 0.1 0.5 0.0 -2.7 0.0 0.0 0.2 0.0 0.4 -0.0 1.1 0.4 0.1 0.4 0.4 0.7 0.3 0.7 0.7 NASDAQ_micro 0.1 -0.6 0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.3 0.0 0.3 -0.0 0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.0 0.4 -0.0 -2.7 0.0 -0.0 0.2 -0.0 0.3 -0.0 -0.3 -0.2 0.1 0.1 0.6 -0.1 -0.5 -0.4 -0.6 NIKKEI 0.4 -0.3 0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.1 0.5 0.2 0.6 0.1 0.1 0.2 0.2 0.3 0.3 0.1 0.2 0.2 0.5 0.2 -1.1 0.1 0.1 0.3 0.1 0.4 0.1 1.1 0.5 0.6 0.6 0.6 0.1 0.1 -0.1 0.4 NZD 0.1 -0.6 -0.3 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.4 -0.0 -0.1 -0.1 -0.2 -0.0 0.0 0.0 0.0 -0.2 -0.1 -0.0 -0.3 -0.1 0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.2 0.1 0.1 -0.3 -0.6 -0.1 -0.5 0.1 0.2 OAT -0.1 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 1.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.9 0.0 0.1 0.1 0.2 -0.7 -0.7 -0.1 0.2 OATIES -0.4 0.1 0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.4 -0.1 -0.1 0.0 0.1 -0.4 -0.1 -0.3 -0.3 0.2 0.2 -0.2 0.4 0.0 -2.7 0.1 -0.1 0.1 -0.0 0.1 0.0 -1.1 -0.5 0.4 0.6 0.6 0.2 0.5 0.7 0.7 OJ 0.2 0.1 0.5 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.2 0.5 0.2 0.7 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 0.3 0.1 1.1 0.5 0.6 0.6 0.6 0.2 0.2 0.7 0.6 PALLAD 0.1 0.2 -0.5 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.4 0.0 -0.5 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 0.1 -0.5 -0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.1 0.3 -0.2 0.2 -0.5 -0.6 -0.2 0.2 -0.0 PLAT 0.1 -0.0 -0.5 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.3 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 1.9 0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 0.1 0.4 0.3 -0.3 0.0 -0.6 0.5 -0.5 REDWHEAT -0.1 -0.6 -0.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.3 -0.1 -0.5 -0.2 -0.1 -0.1 0.0 -0.1 -0.0 -0.2 -0.1 -0.0 -0.2 -0.1 -2.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 0.3 -0.1 -0.6 -0.3 -0.7 -0.6 -0.5 -0.3 RICE -0.1 0.2 0.4 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 0.2 -0.0 0.1 -0.0 0.1 -0.3 0.3 -0.0 0.3 0.1 0.1 -0.0 0.1 0.0 -2.7 0.0 -0.0 0.1 -0.0 0.0 -0.0 1.1 -0.5 0.2 0.3 0.5 -0.2 -0.7 0.4 -0.3 ROBUSTA 0.3 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.1 0.3 0.2 0.5 0.1 0.0 0.4 0.4 0.4 0.4 0.1 0.2 0.2 0.5 0.1 -2.3 0.0 0.1 0.2 0.1 0.4 0.1 1.1 0.5 0.6 0.3 0.3 -0.0 -0.5 0.6 -0.1 RUSSELL -0.3 -0.6 0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.2 -0.0 -0.2 -0.1 -0.2 -0.1 -0.1 -0.0 -0.2 -0.0 -0.2 -0.4 -0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.1 -0.4 -0.1 -0.0 0.6 -0.3 -0.4 -0.7 -0.5 SHATZ -0.3 0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.1 -0.1 -0.1 -0.4 -0.1 1.5 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.9 -0.3 -0.2 0.1 -0.1 -0.7 -0.7 -0.7 -0.7 SILVER-mini -0.2 -0.3 -0.2 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.1 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 1.0 0.0 0.0 0.0 -0.0 0.1 -0.0 -0.2 -0.3 0.1 0.2 0.2 -0.6 -0.7 -0.2 -0.7 SMI 0.2 -0.2 -0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 0.1 0.2 -0.0 -0.1 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.0 0.8 -0.0 0.1 -0.0 0.1 -0.1 0.0 0.5 0.5 0.3 0.6 -0.2 -0.3 -0.5 -0.6 -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 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.1 0.3 0.0 -0.2 -0.7 -0.7 -0.4 -0.1 SOYBEAN -0.2 -0.0 0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 0.0 -0.0 0.1 0.1 0.4 0.2 0.3 0.0 0.0 -0.1 0.0 -0.0 -2.7 0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 -0.2 -0.0 -0.1 0.6 -0.5 0.1 -0.3 0.4 SOYMEAL -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.1 -0.0 -0.0 0.2 0.4 0.2 0.3 -0.0 -0.0 -0.1 0.1 -0.1 -2.7 0.0 -0.1 0.0 -0.1 0.1 -0.0 1.1 -0.1 0.1 -0.1 0.3 -0.7 -0.7 -0.5 -0.6 SOYOIL -0.5 0.1 0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.3 -0.1 0.0 -0.1 0.1 0.3 0.2 0.3 0.2 0.1 0.1 -0.1 0.2 -0.0 -2.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.7 -0.3 -0.2 0.1 0.6 0.0 0.2 0.7 0.7 SP400 -0.3 -0.6 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.1 -0.2 0.2 -0.2 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.1 -0.2 -1.7 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 -0.3 0.1 -0.0 0.6 -0.1 -0.4 -0.6 -0.6 SP500_micro 0.0 -0.6 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.3 0.0 0.4 -0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.1 0.4 -0.0 -2.4 0.0 -0.0 0.2 -0.0 0.3 -0.0 -0.4 -0.2 0.2 0.1 0.6 -0.2 -0.5 -0.6 -0.7 SUGAR11 0.6 0.3 -0.2 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 0.2 0.5 0.2 0.6 0.2 0.2 -0.1 0.2 -0.0 0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.4 0.1 0.4 0.5 0.6 0.6 0.1 -0.7 -0.7 0.3 -0.0 US10 0.0 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.1 -0.1 -0.1 -0.4 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.5 0.1 0.2 -0.0 -0.2 -0.7 -0.7 0.4 0.0 US10U 0.0 -0.5 -0.5 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.0 -0.0 -0.0 -0.0 -0.2 -0.2 -0.1 -0.4 -0.1 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.2 0.3 -0.1 -0.3 -0.7 -0.7 0.7 0.6 US2 0.2 -0.2 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.1 -0.5 -0.1 1.2 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.0 0.1 0.1 -0.4 -0.7 -0.7 -0.7 -0.7 US20 0.0 -0.6 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.2 0.2 -0.2 -0.2 -0.7 -0.7 0.7 0.7 US30 0.1 -0.5 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.4 -0.1 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 0.2 0.3 -0.2 -0.1 -0.7 -0.7 0.7 0.7 US5 0.1 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.3 -0.2 -0.3 -0.3 -0.1 -0.1 -0.1 -0.4 -0.1 0.5 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.9 0.1 0.2 0.0 -0.2 -0.7 -0.7 -0.0 -0.6 VIX -0.6 0.3 -0.8 -0.1 -0.0 -0.4 -0.1 -0.6 -0.1 -0.1 -0.9 -0.3 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.2 -0.9 -0.3 NaN -0.1 -0.0 -0.5 -0.1 -0.8 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.4 -0.6 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.3 -0.1 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.0 -0.3 -0.5 -0.1 -0.7 -0.5 -0.6 -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 3.7 -17.1 -8.5 -1.7 0.3 1.6 -1.3 2.6 -2.9 12.9 -14.2 1.3 -8.8 -13.0 -14.2 -3.3 -2.8 -3.1 -3.0 -13.3 -12.7 0.9 -10.8 -7.3 3.3 -4.5 2.3 -4.0 0.5 -3.3 -2.5 -1.2 5.5 6.2 -9.1 -15.4 -7.8 -20.0 -4.6 4.0 BITCOIN -0.3 -18.6 -1.9 -2.5 7.8 -0.7 3.4 1.3 -0.8 19.8 4.1 3.7 3.4 -13.0 -15.3 -4.8 -4.3 -5.9 -5.4 -12.3 -4.2 4.8 -0.0 -8.0 -20.0 -5.5 5.5 -2.8 2.0 -0.3 -3.4 -1.3 15.2 -10.4 -10.3 -7.7 -9.9 20.0 -8.2 20.0 BOBL -4.4 0.7 -1.3 -2.6 -4.0 -2.4 -3.3 -2.7 -2.7 -7.6 -4.6 -7.4 -7.4 -6.1 -5.9 -7.1 -9.0 -17.5 -15.1 -4.4 -5.2 -8.7 -9.2 -5.8 9.8 -2.2 -6.8 -2.1 -5.1 -3.5 -3.2 -16.2 -2.9 0.2 4.4 2.0 -20.0 -20.0 -20.0 -16.9 BTP -7.1 -9.7 1.9 -3.8 -5.9 -3.6 -4.9 -4.0 -4.0 -11.1 2.7 -11.2 0.6 -10.3 -6.1 5.2 7.6 5.4 6.2 -5.1 -1.4 -10.6 -2.5 -8.4 -6.6 -2.8 -6.4 -0.4 -6.0 -0.4 -4.8 16.3 2.0 -0.0 2.8 13.0 -12.6 -20.0 1.7 9.5 BUND -2.8 -2.7 0.9 -2.7 -4.2 -2.5 -3.5 -2.8 -2.9 -7.9 -6.0 -7.0 -8.1 -6.4 -6.6 0.8 7.8 3.9 5.5 -4.8 -5.3 -7.6 -9.0 -5.6 6.2 -2.4 -5.9 -2.2 -4.4 -3.3 -3.0 15.8 0.9 2.0 2.4 3.3 -20.0 -20.0 -16.8 -1.6 BUXL -4.3 -6.1 0.5 -3.1 -4.8 -2.9 -4.0 -3.3 -3.3 -9.1 -9.2 -8.7 -10.2 -8.6 -8.2 0.3 0.9 0.7 1.1 -7.9 -8.2 -10.3 -12.4 -8.6 1.0 -3.2 -5.8 -2.7 -4.6 -3.3 -3.7 6.2 0.9 -0.5 -2.8 3.4 -20.0 -20.0 -6.1 17.2 CAC 1.1 -8.4 -11.2 -3.0 -3.3 0.3 -1.7 3.1 -2.9 2.3 10.2 1.2 19.9 -9.8 -5.8 -6.9 -1.5 -6.0 -4.0 -2.9 3.9 3.1 15.6 -1.5 -5.3 -1.3 2.6 2.3 2.6 7.6 -0.4 5.6 17.2 -2.0 12.2 -0.7 20.0 0.7 20.0 5.9 CAD 5.5 -18.4 -0.8 -2.6 0.4 2.4 -1.9 3.9 -4.3 20.0 -3.8 19.0 -11.8 -11.9 -14.9 -2.5 -2.1 -2.3 -2.3 -13.0 -8.9 14.8 -7.6 -3.6 1.4 -4.8 10.6 -3.1 6.2 -2.1 -1.1 0.0 20.0 12.4 -9.9 -13.2 -20.0 -20.0 -20.0 -18.4 CANOLA -20.0 -5.0 20.0 -0.8 -4.0 -1.1 -3.7 -2.5 -2.6 -10.9 6.4 -10.9 -3.9 -9.2 6.2 -9.4 9.6 -2.7 4.4 0.1 5.4 -20.0 0.6 -13.5 -20.0 0.2 -6.8 0.8 -5.7 -1.1 -3.3 7.7 -20.0 -15.8 -8.1 19.8 -11.6 4.2 8.7 17.8 CHF -19.9 -18.6 2.0 -2.4 0.4 2.3 -1.8 3.6 -4.0 -19.8 2.7 -20.0 13.2 -20.0 -13.2 -16.2 -13.7 -15.3 -14.6 -16.2 0.6 -20.0 9.5 -20.0 -10.8 -4.8 -6.8 0.5 -8.9 2.8 -8.7 -20.0 -20.0 -20.0 -16.3 -8.5 -20.0 -20.0 -20.0 -20.0 COCOA 6.5 -7.4 6.8 -1.5 -7.1 -1.9 -6.6 -4.4 -4.6 -12.7 20.0 13.0 20.0 17.7 20.0 -4.7 -2.4 -4.7 -3.3 20.0 20.0 8.1 20.0 20.0 -14.3 8.4 -4.3 11.0 1.5 11.3 5.5 -9.9 8.3 20.0 20.0 20.0 -2.9 -10.9 16.8 0.1 COFFEE 13.0 -3.9 -17.8 -1.4 -6.9 -1.9 -6.4 -4.3 -4.5 19.5 -15.3 16.3 -14.0 -3.8 -17.3 -3.2 1.9 -1.4 0.5 -11.1 -17.5 20.0 -17.1 3.9 -20.0 -3.8 15.8 -4.5 9.4 -3.4 1.4 -2.9 20.0 19.9 -2.2 -20.0 -20.0 -20.0 -17.0 -10.4 COPPER 2.4 -5.5 -2.4 -2.0 6.2 -0.6 2.7 1.0 -0.6 -2.1 -8.5 -0.8 -3.0 -7.0 -4.6 -6.0 -2.7 -5.1 -4.0 -4.3 -5.3 -3.9 -5.2 -3.3 -5.8 -0.8 -4.4 -1.7 -1.5 -2.2 -0.6 1.3 -15.5 -1.3 9.2 7.5 7.3 -20.0 15.0 -19.7 CORN -3.0 -17.2 -15.1 -0.7 -3.5 -0.9 -3.2 -2.2 -2.3 -7.5 -9.8 -8.8 -9.3 -10.2 -10.6 -8.7 3.2 -7.4 -2.9 -10.1 -11.2 -4.8 -9.2 -7.1 -9.9 -2.8 -1.9 -3.0 -2.4 -3.6 -2.9 -4.5 -0.4 -2.6 -10.1 2.5 -4.2 4.0 1.4 10.1 COTTON2 -0.1 5.1 13.4 -1.0 -5.1 -1.4 -4.7 -3.2 -3.3 3.8 10.0 -0.8 -8.5 2.2 10.2 -0.2 5.9 3.5 4.2 7.3 6.6 1.2 0.6 3.9 -20.0 5.1 1.3 4.3 2.2 2.5 4.0 2.9 0.5 18.5 16.5 11.2 -17.3 -16.0 10.2 10.6 CRUDE_W 20.0 20.0 20.0 8.0 3.1 5.9 5.7 3.2 7.5 20.0 20.0 20.0 0.2 20.0 20.0 17.4 9.6 12.2 10.0 20.0 20.0 20.0 18.2 20.0 -7.4 9.3 5.8 6.8 9.0 4.5 10.2 -20.0 15.8 18.3 -9.2 -2.3 20.0 12.6 20.0 8.8 DAX 1.3 -13.6 -11.5 -2.9 -3.1 0.3 -1.7 2.9 -2.8 -13.7 4.2 -11.1 17.3 -16.5 -14.8 -9.6 -7.3 -9.1 -8.5 -8.5 -0.1 -6.3 11.3 -8.0 19.7 -4.5 -5.7 -0.9 -3.4 3.9 -4.1 -3.5 1.1 -7.8 3.8 -9.9 20.0 0.4 20.0 8.1 DOW -2.7 -13.5 7.0 -2.4 -2.6 0.3 -1.4 2.5 -2.3 -12.9 9.1 0.0 12.7 -7.5 4.0 -11.6 -8.2 -11.2 -10.1 -0.5 5.6 -5.2 7.2 -4.6 -10.7 1.2 -4.3 4.5 -1.3 5.4 -0.9 -5.7 2.2 -2.3 9.0 20.0 -13.4 -7.2 -20.0 -7.7 DX 12.1 20.0 7.0 -2.3 0.4 2.1 -1.7 3.4 -3.8 9.5 11.1 18.2 -8.6 20.0 19.7 7.6 5.4 6.8 6.0 20.0 12.1 19.5 4.6 20.0 -20.0 6.4 2.8 3.3 5.6 2.0 7.4 13.4 15.5 20.0 20.0 2.7 -1.4 7.4 2.4 20.0 EUR -10.6 -18.9 -3.9 -1.9 0.3 1.8 -1.4 2.8 -3.1 -6.2 -7.3 -13.7 8.0 -16.3 -14.7 -6.4 -6.8 -6.6 -6.6 -14.4 -5.8 -13.5 -0.8 -17.4 13.3 -5.0 -2.7 -1.8 -4.9 -0.1 -6.2 -7.7 -13.8 -17.4 -14.7 -13.6 -6.4 -19.7 -1.1 -1.1 EURIBOR-ICE -0.1 3.5 2.1 -2.4 -3.7 -2.3 -3.1 -2.5 -2.6 -6.6 -3.6 -4.9 -6.7 -2.4 -1.8 -9.1 -8.0 -9.2 -9.1 -1.9 -3.5 -5.6 -8.2 -2.7 17.4 -0.8 -4.4 -1.4 -2.8 -3.4 -1.3 -10.7 -0.4 4.3 7.4 2.4 -20.0 -20.0 20.0 11.0 EUROSTX -1.6 -12.3 -11.9 -2.7 -2.9 0.3 -1.5 2.7 -2.6 -3.6 6.3 -8.1 17.0 -15.6 -14.3 -5.3 -1.4 -4.9 -3.6 -6.7 1.5 -3.6 12.4 -6.8 5.6 -4.1 -2.4 0.2 -2.1 5.8 -4.0 6.0 3.9 -9.1 6.0 -5.3 20.0 3.1 20.0 12.0 FEEDCOW 16.4 1.9 18.7 -1.7 -8.1 -2.2 -7.5 -5.1 -5.3 14.0 20.0 20.0 20.0 20.0 20.0 1.2 -20.0 -10.7 -20.0 20.0 20.0 20.0 20.0 20.0 0.9 9.9 6.7 10.2 10.3 10.3 10.7 -20.0 20.0 20.0 20.0 20.0 8.0 -9.4 20.0 -0.2 GASOIL 1.1 20.0 20.0 6.2 2.4 4.5 4.4 2.4 5.8 12.7 16.3 16.4 3.9 19.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 18.7 20.0 12.0 7.1 2.9 5.6 4.9 3.0 6.2 0.0 14.6 -2.5 15.8 18.5 -18.2 2.6 -20.0 -4.1 GASOLINE 8.2 16.1 20.0 7.9 3.1 5.8 5.6 3.1 7.4 6.5 20.0 18.7 5.4 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 9.4 0.7 9.4 4.9 8.5 7.5 20.0 -0.9 -15.7 -20.0 5.7 20.0 13.1 20.0 4.8 GAS_US_mini -7.9 5.4 14.4 6.9 2.7 5.0 4.9 2.7 6.4 13.8 -18.7 -12.4 -20.0 -19.2 -10.6 -20.0 -20.0 -20.0 -20.0 -10.6 -20.0 -4.9 -20.0 -10.7 20.0 -1.0 3.7 -1.7 0.2 -4.1 -1.8 -20.0 -20.0 -20.0 -20.0 -20.0 2.3 6.5 -6.6 -0.2 GBP -15.3 -17.9 0.9 -2.3 0.4 2.2 -1.7 3.4 -3.8 -16.8 4.8 -20.0 12.3 -20.0 -13.1 0.1 -0.7 0.1 -0.3 -13.6 0.6 -20.0 6.1 -20.0 -0.9 -5.1 -5.9 0.0 -8.4 1.2 -8.5 2.8 -20.0 -20.0 -10.8 -5.5 -0.4 14.7 4.7 20.0 GOLD_micro 7.7 -12.5 -15.7 -2.8 8.9 -0.8 3.9 1.5 -0.9 16.1 -11.7 -0.2 5.6 -11.7 -16.5 -19.3 -13.9 -18.0 -16.1 -15.3 -12.8 3.6 -0.7 -6.5 -11.5 -1.8 9.3 -1.6 5.8 2.1 2.1 -18.8 0.2 19.5 2.1 -12.2 -20.0 -20.0 -11.5 -20.0 HEATOIL 3.2 20.0 20.0 7.0 2.7 5.1 5.0 2.8 6.6 5.3 17.3 14.0 2.8 19.6 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 19.3 20.0 -20.0 7.9 0.9 7.2 3.0 5.0 5.5 3.8 1.4 -18.4 11.2 20.0 5.0 -1.3 0.7 -4.5 JGB-SGX-mini -1.2 -15.1 -15.7 -3.1 -4.8 -2.9 -4.0 -3.2 -3.3 -8.8 2.2 -9.1 5.0 -9.5 -9.1 20.0 20.0 17.3 17.2 -7.4 -2.8 -7.5 2.1 -7.5 -0.2 -2.8 -2.6 -1.4 -3.1 -0.4 -3.0 20.0 1.7 0.4 -3.4 2.4 -18.1 -9.4 8.8 8.5 JPY -2.5 -17.0 -17.0 -1.4 0.2 1.4 -1.1 2.2 -2.4 -11.1 -13.7 -12.3 -12.7 -13.5 -13.9 -16.8 -14.3 -16.5 -15.7 -19.0 -20.0 -8.5 -20.0 -13.8 20.0 -5.0 -1.6 -5.2 -2.5 -5.1 -3.8 -20.0 -6.7 -7.4 -11.9 -20.0 -5.2 -20.0 -3.8 -20.0 LEANHOG 8.5 0.9 9.7 -1.0 -4.8 -1.3 -4.5 -3.0 -3.1 0.6 -1.8 8.5 -6.3 0.0 9.0 20.0 20.0 20.0 20.0 1.6 -4.3 4.0 -11.8 3.5 15.4 -1.1 2.3 -6.1 1.9 -10.4 1.2 20.0 12.7 11.4 0.8 -1.9 -11.0 -0.3 15.5 20.0 LIVECOW 10.0 -5.7 16.6 -1.6 -8.0 -2.2 -7.4 -5.0 -5.2 15.5 20.0 20.0 20.0 20.0 20.0 -20.0 0.3 -15.3 -1.8 20.0 20.0 20.0 20.0 20.0 3.0 9.5 7.0 11.7 9.8 12.4 9.3 -3.4 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -20.0 LUMBER-new -7.8 -10.7 -2.4 -1.6 -7.7 -1.7 -7.1 -3.4 -5.0 -19.4 -20.0 -20.0 -20.0 -20.0 -20.0 -17.0 -13.8 -15.6 -14.4 -18.0 -16.2 -14.2 -13.7 -17.0 NaN -6.9 -7.7 -5.2 -6.6 -3.5 -7.3 -20.0 -1.5 -20.0 -20.0 -11.8 -17.1 -20.0 -7.7 -20.0 MILK 7.2 17.3 13.2 -0.8 -3.9 -1.0 -3.6 -2.4 -2.5 -10.7 -3.4 -2.2 -9.8 3.5 6.2 0.7 -20.0 -17.6 -20.0 3.5 -5.2 -7.8 -13.6 2.0 -0.8 0.3 -6.6 -3.4 -3.2 -6.3 0.2 -20.0 -11.1 5.5 14.7 -13.8 -20.0 -20.0 -13.7 -20.0 MXP -14.3 -10.3 -9.8 -1.8 0.3 1.7 -1.3 2.7 -3.0 14.2 14.2 3.1 16.3 1.0 8.6 14.8 17.4 16.4 16.9 4.4 14.4 6.2 20.0 0.9 -20.0 1.9 4.9 6.9 2.5 10.7 -0.0 20.0 14.6 2.9 11.7 13.6 20.0 7.5 20.0 20.0 NASDAQ_micro 3.5 -20.0 7.0 -1.6 -1.8 0.2 -0.9 1.7 -1.6 -10.1 9.9 2.5 8.9 -0.7 4.3 -9.6 -8.2 -10.0 -9.5 4.2 12.1 -3.8 13.9 -0.4 -20.0 1.8 -3.4 6.2 -1.7 8.1 -0.5 -5.2 -6.9 3.0 3.1 20.0 -3.7 -15.4 -11.0 -18.1 NIKKEI 13.1 -8.2 4.8 -2.7 -2.9 0.3 -1.6 2.7 -2.6 12.6 17.0 16.9 17.2 13.1 12.0 10.1 12.4 13.1 13.0 13.7 20.0 18.3 20.0 15.1 -8.3 5.9 5.8 9.7 7.5 11.3 6.1 20.0 20.0 20.0 20.0 20.0 4.1 3.6 -2.1 10.8 NZD 1.7 -18.5 -9.3 -1.7 0.3 1.6 -1.3 2.6 -2.9 12.6 -13.6 -2.9 -1.9 -13.5 -14.8 -0.1 0.4 0.1 0.2 -14.2 -12.4 -0.7 -9.4 -9.0 0.5 -4.7 2.1 -3.8 -0.1 -2.7 -3.1 4.3 3.3 2.5 -8.8 -19.3 -1.7 -14.5 3.4 7.2 OAT -2.4 -3.1 1.8 -2.9 -4.5 -2.7 -3.7 -3.0 -3.1 -8.5 -6.3 -7.5 -8.4 -6.6 -6.5 5.6 8.3 6.0 6.9 -4.7 -4.8 -7.9 -8.1 -5.7 8.4 -2.5 -6.1 -2.0 -4.6 -3.3 -3.2 17.5 1.2 2.6 3.0 4.7 -20.0 -20.0 -1.7 5.5 OATIES -12.3 3.6 20.0 -0.8 -4.2 -1.3 -4.1 -3.3 -3.0 -15.1 13.4 -9.4 -2.7 2.7 12.2 -17.9 -5.5 -17.4 -13.2 18.3 20.0 -18.5 13.4 2.8 -20.0 4.6 -9.4 5.0 -4.6 3.0 0.9 -20.0 -20.0 12.8 20.0 20.0 5.1 15.9 20.0 20.0 OJ 6.8 3.2 15.8 -1.3 -6.2 -1.7 -5.8 -3.9 -4.1 17.7 20.0 18.8 20.0 19.4 19.6 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.5 3.9 8.4 4.4 9.5 6.0 20.0 20.0 20.0 20.0 20.0 6.5 5.9 20.0 17.9 PALLAD 2.4 5.8 -14.5 -1.6 5.0 -0.5 2.2 0.8 -0.5 12.3 -13.8 3.0 -14.6 -2.7 -11.2 -2.5 -2.6 -2.7 -2.7 -8.2 -18.7 6.0 -20.0 -0.1 -1.2 -2.4 4.8 -4.8 3.0 -6.3 0.3 2.3 12.7 -4.9 6.0 -14.5 -16.9 -4.7 5.9 -0.5 PLAT 2.5 -1.1 -15.8 -1.6 5.0 -0.5 2.2 0.8 -0.5 12.0 -10.3 -2.7 -3.0 -2.8 -8.5 -3.5 -2.3 -3.3 -2.9 -6.0 -7.9 4.4 -5.4 -2.0 14.3 0.8 8.2 -0.9 5.1 -0.8 3.0 2.5 4.3 13.0 9.0 -8.6 0.7 -17.7 15.0 -13.8 REDWHEAT -4.3 -20.0 -8.2 -1.0 -4.7 -1.3 -4.4 -3.0 -3.1 -3.5 -11.0 -6.8 -13.6 -14.0 -13.7 -3.6 1.4 -2.6 -0.3 -14.2 -12.1 -3.4 -9.0 -10.2 -14.7 -4.1 -1.2 -3.2 -1.3 -1.8 -3.2 -3.8 12.6 -3.4 -19.9 -9.9 -20.0 -19.4 -15.2 -8.7 RICE -3.2 5.4 11.6 -1.1 -5.3 -1.4 -4.9 -3.3 -3.5 -2.7 7.1 -3.5 3.3 -0.5 10.2 -15.4 15.6 -0.6 14.3 7.0 6.6 -2.8 3.5 1.4 -20.0 1.7 -1.2 2.4 -2.5 1.2 -1.3 20.0 -20.0 5.3 10.1 14.1 -5.3 -19.5 10.6 -10.0 ROBUSTA 7.9 -6.4 -4.2 -1.2 -5.8 -1.5 -5.3 -3.6 -3.7 13.3 12.9 13.9 13.9 7.3 0.0 20.0 20.0 20.0 20.0 7.1 14.9 18.5 20.0 10.0 -17.6 3.2 10.8 6.9 9.4 10.3 4.7 20.0 20.0 20.0 10.3 8.6 -0.7 -14.3 18.2 -4.5 RUSSELL -8.3 -20.0 7.2 -2.5 -2.7 0.3 -1.4 2.5 -2.4 -16.4 -0.6 -16.9 -1.8 -17.6 -3.8 -8.5 -5.9 -7.9 -7.1 -9.9 -0.8 -16.9 -0.5 -16.8 -3.1 -1.3 -6.5 1.7 -3.9 2.3 -3.1 -1.0 -17.3 -3.5 -1.3 19.3 -10.3 -11.3 -20.0 -15.9 SHATZ -10.8 3.1 -8.0 -2.5 -3.9 -2.3 -3.2 -2.6 -2.6 -7.5 -6.7 -7.9 -7.8 -6.9 -6.4 -20.0 -8.9 -20.0 -16.2 -6.6 -8.2 -13.2 -13.2 -9.0 11.0 -2.3 -6.5 -2.3 -5.5 -3.7 -3.6 -16.6 -10.7 -5.9 4.1 -2.1 -20.0 -20.0 -20.0 -20.0 SILVER-mini -5.9 -8.9 -7.2 -1.8 5.7 -0.5 2.5 0.9 -0.6 9.5 -0.2 -8.0 4.6 -8.9 -7.9 -6.8 -5.9 -7.0 -6.6 -6.1 -2.5 -5.9 0.8 -8.1 7.5 0.6 2.1 1.3 -0.0 1.4 -0.1 -3.9 -12.0 4.4 4.9 5.5 -19.2 -20.0 -5.4 -20.0 SMI 7.7 -6.9 -10.4 -2.7 -2.9 0.3 -1.6 2.7 -2.6 5.0 2.1 7.6 6.0 -4.4 -9.9 0.4 1.0 -1.5 -1.1 -4.6 -3.7 8.0 0.3 1.6 6.0 -0.4 6.0 -1.1 6.6 -1.6 2.9 10.0 20.0 8.7 20.0 -7.7 -7.9 -13.5 -16.9 -14.5 SOFR 3.0 -13.1 -16.0 -3.4 -5.3 -3.2 -4.4 -3.6 -3.6 -9.2 -8.2 -6.2 -5.3 -7.6 -8.9 -2.2 -1.0 -2.0 -1.6 -10.2 -9.7 -7.3 -8.2 -7.8 -1.8 -3.2 -4.1 -3.3 -2.4 -2.7 -2.2 2.0 3.0 8.8 1.4 -4.6 -20.0 -20.0 -10.6 -4.3 SOYBEAN -7.1 -0.2 15.6 -0.7 -3.6 -1.0 -3.4 -2.3 -2.4 -10.2 5.8 -9.3 0.8 -3.8 6.0 4.3 18.1 8.3 13.0 2.3 3.5 -9.8 1.4 -3.6 -20.0 1.1 -5.4 1.6 -4.0 0.8 -1.5 20.0 -9.6 -1.3 -3.6 20.0 -13.5 3.8 -10.1 13.3 SOYMEAL -6.0 -1.8 -0.2 -0.8 -4.0 -1.1 -3.7 -2.5 -2.6 -10.6 -4.5 -9.6 2.4 -3.9 -1.8 7.7 18.2 11.1 15.9 -1.7 -0.9 -10.0 1.9 -5.1 -20.0 0.5 -5.9 1.8 -4.7 3.5 -2.1 20.0 -4.9 1.8 -2.5 10.8 -19.6 -19.7 -16.3 -18.1 SOYOIL -14.5 3.1 20.0 -1.0 -4.7 -1.3 -4.3 -2.9 -3.0 -10.7 10.4 -9.7 0.4 -5.8 11.2 14.9 11.6 13.9 11.8 7.6 11.3 -7.7 6.1 -2.8 -20.0 2.7 -3.8 3.8 -2.4 2.0 -0.7 14.0 -10.8 -6.1 2.5 20.0 1.3 6.5 20.0 20.0 SP400 -8.4 -20.0 8.5 -2.3 -2.5 0.2 -1.4 2.4 -2.2 -15.2 2.4 -15.9 6.5 -16.2 0.6 -5.3 -5.0 -5.8 -5.6 -7.9 1.6 -13.7 4.3 -14.7 -12.8 -0.4 -3.8 2.1 -2.1 2.9 -1.8 1.0 -12.3 2.1 -0.7 20.0 -3.0 -12.6 -18.3 -18.7 SP500_micro 0.9 -20.0 9.3 -2.2 -2.4 0.2 -1.3 2.3 -2.1 -14.4 11.8 0.2 10.8 -5.2 5.6 -11.8 -9.5 -12.2 -11.2 2.9 11.5 -5.6 13.0 -2.6 -18.2 1.9 -4.3 6.1 -1.8 7.3 -0.6 -7.6 -6.4 4.7 2.9 20.0 -5.9 -13.6 -16.8 -20.0 SUGAR11 20.0 10.5 -5.9 -1.4 -6.9 -1.8 -6.3 -4.3 -4.5 19.3 18.3 20.0 18.0 20.0 17.4 -3.3 10.1 -1.7 3.2 20.0 20.0 20.0 20.0 20.0 -20.0 6.8 7.6 7.3 8.0 10.4 8.4 7.1 20.0 20.0 20.0 2.1 -20.0 -20.0 8.6 -1.4 US10 1.3 -13.7 -18.9 -2.9 -4.5 -2.7 -3.8 -3.0 -3.1 -7.8 -8.8 -7.9 -8.9 -8.7 -9.2 -9.5 -7.4 -9.4 -9.0 -11.3 -12.4 -6.9 -13.0 -8.2 1.1 -3.2 -3.1 -3.7 -2.0 -3.6 -2.0 -10.1 5.0 6.0 -0.7 -6.6 -20.0 -20.0 11.6 0.3 US10U 0.7 -15.0 -16.4 -3.8 -5.9 -3.6 -4.9 -4.0 -4.0 -9.9 -11.4 -10.6 -11.4 -11.6 -12.0 0.7 -1.2 -1.4 -1.8 -14.9 -15.6 -8.8 -15.9 -11.1 -3.6 -4.2 -3.2 -4.6 -2.3 -4.2 -2.6 1.5 8.3 8.1 -3.4 -7.8 -20.0 -20.0 20.0 19.4 US2 5.9 -4.9 -20.0 -2.8 -4.3 -2.6 -3.6 -2.9 -3.0 -8.4 -9.4 -8.5 -9.2 -8.6 -9.5 -20.0 -20.0 -20.0 -20.0 -12.7 -17.4 -8.5 -20.0 -8.7 9.3 -3.1 -3.7 -4.5 -2.3 -5.6 -1.9 -20.0 0.5 3.1 2.7 -11.0 -20.0 -20.0 -20.0 -20.0 US20 0.5 -17.4 -16.1 -2.8 -4.4 -2.6 -3.6 -2.9 -3.0 -6.8 -8.0 -6.6 -7.6 -7.9 -8.3 -5.3 -2.1 -3.6 -2.9 -11.6 -11.9 -5.9 -11.7 -8.3 -3.4 -3.0 -1.8 -3.2 -1.4 -2.9 -1.8 0.0 8.7 6.9 -5.6 -5.4 -20.0 -20.0 20.0 20.0 US30 1.7 -15.1 -11.7 -3.3 -5.0 -3.1 -4.2 -3.4 -3.4 -8.0 -9.6 -7.7 -9.2 -8.9 -9.2 -7.3 -3.7 -6.8 -5.3 -12.1 -12.8 -6.5 -13.9 -8.7 -3.0 -3.3 -2.0 -3.7 -1.5 -3.4 -1.9 -3.3 10.0 9.0 -5.4 -4.1 -20.0 -20.0 20.0 20.0 US5 1.9 -11.8 -20.0 -3.1 -4.8 -2.9 -4.0 -3.2 -3.3 -8.8 -9.5 -8.7 -9.5 -9.2 -9.9 -16.3 -10.4 -14.7 -13.1 -11.8 -13.5 -8.0 -14.9 -8.8 4.1 -3.3 -3.8 -3.9 -2.4 -4.2 -2.2 -16.0 2.9 5.1 1.3 -7.1 -20.0 -20.0 -0.9 -17.1 VIX -11.9 5.8 -15.5 -7.4 -2.0 -9.6 -5.1 -11.1 -6.4 -7.1 -20.0 -19.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -15.9 -20.0 -20.0 NaN -8.6 -1.9 -11.2 -5.7 -13.3 -7.5 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -13.6 -20.0 -4.3 -0.6 -3.1 -0.8 -2.9 -2.0 -2.0 -8.3 -8.9 -9.1 -9.9 -10.1 -9.7 -11.6 -9.7 -11.4 -10.9 -12.2 -10.8 -7.2 -10.7 -11.3 -3.6 -3.0 -1.7 -2.4 -2.3 -2.2 -3.2 -20.0 -1.1 -10.0 -14.4 -2.3 -20.0 -13.6 -18.3 -9.0 End of report for caleb_strategy_v3