******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20230928_204329 produced at 2023-09-28 21:38:56.623057 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.84 0.0 0.00 0.00 0.00 0.00 -22.80 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.34 0.0 0.00 0.00 0.00 0.00 -4.94 13.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.32 0.0 0.00 0.00 0.00 0.00 -8.49 24.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.10 -0.23 0.0 0.10 -0.10 -0.10 -0.10 -37.52 17.0 -17 -17 caleb_strategy_v3 GOLD_micro False False 0.01 -0.23 -0.19 0.0 0.36 -0.36 -0.23 -0.22 -30.04 56.0 -36 -35 caleb_strategy_v3 COPPER False False 0.03 -0.16 -0.19 0.0 0.19 -0.19 -0.16 -0.16 -6.19 6.0 -5 -5 caleb_strategy_v3 CHF False False 0.05 -0.42 -0.19 0.0 0.60 -0.60 -0.42 -0.37 -4.13 13.0 -9 -8 caleb_strategy_v3 US5 False False 0.04 0.00 -0.14 0.0 0.89 -0.89 0.00 0.00 -3.98 25.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.09 -0.12 0.0 0.49 -0.49 -0.09 -0.14 -4.14 17.0 -3 -5 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 -0.11 0.0 0.86 -0.86 0.00 0.00 -1.27 10.0 0 0 caleb_strategy_v3 EUR False False 0.04 -0.49 -0.10 0.0 0.62 -0.62 -0.49 -0.49 -2.27 14.0 -11 -11 caleb_strategy_v3 DOW False False 0.01 -0.10 -0.08 0.0 0.38 -0.38 -0.10 -0.07 -14.15 66.0 -17 -12 caleb_strategy_v3 RUSSELL False False 0.00 -0.02 -0.08 0.0 0.21 -0.21 -0.02 -0.02 -25.29 68.0 -8 -8 caleb_strategy_v3 BOBL False False 0.04 -0.33 -0.08 0.0 0.78 -0.78 -0.33 -0.33 -2.03 19.0 -8 -8 caleb_strategy_v3 CAD False False 0.03 0.00 -0.08 0.0 0.73 -0.73 0.00 0.00 -3.28 29.0 0 0 caleb_strategy_v3 SP400 False False 0.09 -0.09 -0.08 0.0 0.17 -0.17 -0.09 -0.09 -0.94 2.0 -1 -1 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.08 0.0 0.35 -0.35 -0.01 -0.01 -10.62 48.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.08 0.0 0.62 -0.62 0.00 0.00 -2.19 17.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.06 -0.07 0.0 0.07 -0.07 -0.06 -0.06 -24.74 26.0 -22 -22 caleb_strategy_v3 GBP False False 0.03 0.00 -0.07 0.0 0.57 -0.57 0.00 0.00 -2.61 22.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.00 -0.07 0.0 0.39 -0.39 0.00 0.00 -1.82 10.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.00 -0.06 0.0 0.41 -0.41 0.00 0.00 -2.58 19.0 0 0 caleb_strategy_v3 US10U False False 0.04 -0.11 -0.05 0.0 0.49 -0.49 -0.11 -0.11 -1.36 13.0 -3 -3 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.05 0.0 0.23 -0.23 -0.01 -0.03 -4.97 23.0 -1 -3 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.06 -0.06 0.00 0.00 -4.13 5.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 -0.04 -0.05 0.0 0.05 -0.05 -0.04 -0.04 -52.13 59.0 -43 -43 caleb_strategy_v3 OAT False False 0.04 0.00 -0.04 0.0 0.43 -0.43 0.00 0.00 -0.98 10.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.04 0.0 0.01 -0.01 0.00 0.00 -7.29 3.0 0 0 caleb_strategy_v3 US20 False False 0.04 -0.15 -0.03 0.0 0.34 -0.34 -0.15 -0.15 -0.76 9.0 -4 -4 caleb_strategy_v3 REDWHEAT False False 0.01 -0.04 -0.03 0.0 0.09 -0.09 -0.04 -0.04 -2.21 8.0 -3 -3 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.03 0.0 0.10 -0.10 -0.03 -0.03 -2.31 9.0 -3 -3 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.03 0.0 0.18 -0.18 0.00 0.00 -9.04 51.0 0 0 caleb_strategy_v3 CORN False False 0.01 0.00 -0.03 0.0 0.10 -0.10 0.00 0.00 -3.52 12.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.03 0.0 0.45 -0.45 0.00 -0.05 -0.58 10.0 0 -1 caleb_strategy_v3 COFFEE False False 0.02 -0.04 -0.02 0.0 0.11 -0.11 -0.04 -0.04 -1.11 6.0 -2 -2 caleb_strategy_v3 US30 False False 0.04 -0.12 -0.02 0.0 0.24 -0.24 -0.12 -0.08 -0.54 6.0 -3 -2 caleb_strategy_v3 BUXL False False 0.04 -0.17 -0.02 0.0 0.17 -0.17 -0.17 -0.17 -0.37 4.0 -4 -4 caleb_strategy_v3 NZD False False 0.02 0.00 -0.02 0.0 0.42 -0.42 0.00 0.00 -0.93 21.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -1.27 0.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.13 2.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 -0.04 -0.02 0.0 0.09 -0.09 -0.04 -0.04 -0.37 2.0 -1 -1 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.04 -0.04 0.00 0.00 -0.65 4.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.05 -0.01 0.0 0.15 -0.15 -0.05 -0.05 -0.35 10.0 -3 -3 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.12 -0.12 0.00 0.00 -0.70 9.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.24 11.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.00 -0.00 0.0 0.11 -0.11 0.00 0.00 -0.06 10.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.08 -0.00 0.0 0.36 -0.36 0.08 0.04 -0.02 9.0 2 1 caleb_strategy_v3 SOYBEAN False False 0.02 0.00 -0.00 0.0 0.15 -0.15 0.00 0.00 -0.14 7.0 0 0 caleb_strategy_v3 CAC False False 0.03 0.00 0.00 0.0 0.30 -0.30 0.00 0.00 0.14 12.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.00 -0.00 0.0 0.30 -0.30 0.00 0.00 -0.19 26.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.00 0.0 0.32 -0.32 0.00 0.00 0.42 58.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.18 -0.18 0.03 0.03 0.92 23.0 4 4 caleb_strategy_v3 EUROSTX False False 0.01 0.00 0.01 0.0 0.30 -0.30 0.00 0.00 0.83 20.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.02 0.0 0.17 -0.17 0.00 0.00 1.69 18.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.05 -0.05 0.00 0.00 2.63 3.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.14 0.04 0.0 0.14 -0.14 0.14 0.14 1.03 4.0 4 4 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.04 0.0 0.13 -0.13 0.00 0.00 0.89 3.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 0.03 0.04 0.0 0.44 -0.44 0.03 0.03 1.64 17.0 1 1 caleb_strategy_v3 FEEDCOW False False 0.04 0.35 0.05 0.0 0.35 -0.35 0.35 0.35 1.14 8.0 8 8 caleb_strategy_v3 LEANHOG False False 0.01 0.05 0.06 0.0 0.13 -0.13 0.05 0.05 5.53 13.0 5 5 caleb_strategy_v3 GASOIL False False 0.03 0.06 0.08 0.0 0.12 -0.12 0.06 0.06 2.61 4.0 2 2 caleb_strategy_v3 MXP False False 0.01 0.33 0.12 0.0 0.57 -0.57 0.33 0.31 12.25 60.0 35 33 caleb_strategy_v3 DX False False 0.04 0.00 0.14 0.0 35723532.66 -35723532.66 0.00 0.00 3.88 999999999.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.25 0.21 0.0 0.26 -0.26 0.25 0.25 29.56 36.0 34 35 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.49 0.21 0.0 0.52 -0.52 0.49 0.49 6.29 16.0 15 15 caleb_strategy_v3 CRUDE_W False False 0.03 0.15 0.25 0.0 0.15 -0.15 0.15 0.15 8.40 5.0 5 5 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 17.7 Shocked risk 48.1 Sum abs risk 60.8 Leverage 6.53 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2965832.1, 'annual_cash_vol_target': 741458.025, 'daily_cash_vol_target': 46341.1265625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6440 0.6443 10.3086 BITCOIN 688.4978 27205.0000 2.5308 40.4924 BOBL 0.2465 115.1500 0.2141 3.4252 BTP 0.6287 108.7400 0.5782 9.2508 BUND 0.5248 127.6300 0.4112 6.5789 BUXL 1.2329 120.8000 1.0206 16.3304 CAC 55.4884 7130.0000 0.7782 12.4518 CAD 0.0026 0.7416 0.3536 5.6571 CANOLA 7.9470 723.1000 1.0990 17.5842 CHF 0.0047 1.1009 0.4233 6.7728 COCOA 45.3499 3462.0000 1.3099 20.9589 COFFEE 2.5907 148.0500 1.7499 27.9978 COPPER 0.0377 3.7090 1.0178 16.2845 CORN 6.1578 514.7500 1.1963 19.1404 COTTON2 1.1279 88.8400 1.2695 20.3125 CRUDE_W 1.0581 89.7400 1.1790 18.8646 DAX 112.2603 15465.0000 0.7259 11.6144 DOW 197.2473 33895.0000 0.5819 9.3110 DX 0.3724 105.9500 0.3515 5.6232 EUR 0.0049 1.0589 0.4660 7.4558 EURIBOR-ICE 0.0497 96.8250 0.0514 0.8219 EUROSTX 36.9749 4187.0000 0.8831 14.1294 FEEDCOW 1.8457 260.0750 0.7097 11.3547 GASOIL 13.5674 921.5000 1.4723 23.5570 GASOLINE 0.0340 2.3917 1.4229 22.7669 GAS_US_mini 0.0783 3.3400 2.3457 37.5309 GBP 0.0061 1.2199 0.4981 7.9700 GOLD_micro 10.5252 1882.2000 0.5592 8.9471 HEATOIL 0.0413 3.0838 1.3398 21.4368 JGB-SGX-mini 0.2024 145.0500 0.1395 2.2324 JPY 0.0000 0.0068 0.5489 8.7832 LEANHOG 1.3892 75.5000 1.8400 29.4392 LIVECOW 1.2345 190.4250 0.6483 10.3723 LUMBER-new 8.5798 520.0000 1.6500 26.3995 MILK 0.2253 17.3400 1.2994 20.7904 MXP 0.0004 0.0561 0.7965 12.7432 NASDAQ_micro 138.0271 14861.5000 0.9288 14.8601 NIKKEI 270.2606 31975.0000 0.8452 13.5236 NZD 0.0036 0.5962 0.5978 9.5651 OAT 0.5474 122.1500 0.4481 7.1702 OATIES 7.7864 461.7500 1.6863 26.9806 OJ 4.8108 330.1000 1.4574 23.3179 PALLAD 20.2931 1276.5000 1.5897 25.4359 PLAT 13.4832 916.9000 1.4705 23.5283 REDWHEAT 11.1419 692.7500 1.6084 25.7338 RICE 0.1632 16.4450 0.9923 15.8765 ROBUSTA 29.7526 2367.0000 1.2570 20.1116 RUSSELL 16.3065 1812.0000 0.8999 14.3987 SHATZ 0.0744 104.8450 0.0709 1.1349 SILVER-mini 0.3196 23.0375 1.3874 22.1976 SMI 73.0789 10962.0000 0.6667 10.6665 SOFR 0.0619 96.0100 0.0644 1.0312 SOYBEAN 12.7332 1269.7500 1.0028 16.0450 SOYMEAL 4.8352 388.0000 1.2462 19.9392 SOYOIL 0.8106 56.4100 1.4370 22.9917 SP400 20.7172 2536.7000 0.8167 13.0672 SP500_micro 31.2337 4342.5000 0.7193 11.5081 SUGAR11 0.3299 25.6800 1.2847 20.5555 US10 0.3725 107.8906 0.3452 5.5238 US10U 0.5272 111.3906 0.4733 7.5722 US2 0.0954 101.3125 0.0942 1.5074 US20 0.8176 113.6562 0.7194 11.5101 US30 1.2179 118.5625 1.0272 16.4350 US5 0.2385 105.2188 0.2267 3.6268 VIX 0.4999 18.1500 2.7545 44.0726 WHEAT 10.1407 665.0000 1.5249 24.3987 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 644.05 0.64 414.95 1.00 414.95 46341.13 111.68 -8.91 -99.54 BITCOIN 27.20 2.53 68.85 1.00 68.85 46341.13 673.08 -7.15 -481.41 BOBL 1151.50 0.21 246.51 1.06 260.30 46341.13 178.03 -11.24 -200.15 BTP 1087.40 0.58 628.71 1.06 663.88 46341.13 69.80 -7.64 -53.33 BUND 1276.30 0.41 524.79 1.06 554.15 46341.13 83.63 -6.83 -57.08 BUXL 1208.00 1.02 1232.94 1.06 1301.93 46341.13 35.59 -10.13 -36.07 CAC 713.00 0.78 554.88 1.06 585.93 46341.13 79.09 0.52 4.11 CAD 741.65 0.35 262.22 1.00 262.22 46341.13 176.72 -7.16 -126.59 CANOLA 144.62 1.10 158.94 0.74 117.53 46341.13 394.30 -9.43 -371.69 CHF 1376.06 0.42 582.49 1.00 582.49 46341.13 79.56 -20.00 -159.12 COCOA 346.20 1.31 453.50 1.00 453.50 46341.13 102.19 -0.86 -8.78 COFFEE 555.19 1.75 971.50 1.00 971.50 46341.13 47.70 -20.00 -95.40 COPPER 927.25 1.02 943.74 1.00 943.74 46341.13 49.10 -11.65 -57.20 CORN 257.38 1.20 307.89 1.00 307.89 46341.13 150.51 -9.62 -144.80 COTTON2 444.20 1.27 563.93 1.00 563.93 46341.13 82.18 1.36 11.18 CRUDE_W 897.40 1.18 1058.07 1.00 1058.07 46341.13 43.80 17.72 77.61 DAX 154.65 0.73 112.26 1.06 118.54 46341.13 390.93 0.31 12.23 DOW 169.48 0.58 98.62 1.00 98.62 46341.13 469.88 -12.96 -608.80 DX 1059.50 0.35 372.36 1.00 372.36 46341.13 124.45 12.01 149.52 EUR 1323.62 0.47 616.80 1.00 616.80 46341.13 75.13 -11.65 -87.50 EURIBOR-ICE 2420.62 0.05 124.35 1.06 131.30 46341.13 352.93 -1.05 -37.13 EUROSTX 418.70 0.88 369.75 1.06 390.44 46341.13 118.69 2.04 24.22 FEEDCOW 1300.38 0.71 922.84 1.00 922.84 46341.13 50.22 6.83 34.31 GASOIL 921.50 1.47 1356.74 1.00 1356.74 46341.13 34.16 17.63 60.20 GASOLINE 1004.51 1.42 1429.36 1.00 1429.36 46341.13 32.42 7.36 23.87 GAS_US_mini 83.50 2.35 195.86 1.00 195.86 46341.13 236.60 -9.66 -228.45 GBP 762.44 0.50 379.79 1.00 379.79 46341.13 122.02 -8.25 -100.66 GOLD_micro 188.22 0.56 105.25 1.00 105.25 46341.13 440.29 -20.00 -880.57 HEATOIL 1295.20 1.34 1735.30 1.00 1735.30 46341.13 26.70 7.71 20.60 JGB-SGX-mini 145050.00 0.14 20237.72 0.01 135.73 46341.13 341.42 1.70 58.08 JPY 848.06 0.55 465.54 1.00 465.54 46341.13 99.54 -16.01 -159.41 LEANHOG 302.00 1.84 555.67 1.00 555.67 46341.13 83.40 10.91 90.95 LIVECOW 761.70 0.65 493.78 1.00 493.78 46341.13 93.85 5.28 49.56 LUMBER-new 143.00 1.65 235.95 1.00 235.95 46341.13 196.41 -17.49 -343.50 MILK 346.80 1.30 450.63 1.00 450.63 46341.13 102.84 -18.75 -192.85 MXP 280.45 0.80 223.36 1.00 223.36 46341.13 207.47 4.02 83.47 NASDAQ_micro 297.23 0.93 276.05 1.00 276.05 46341.13 167.87 -12.74 -213.88 NIKKEI 31975.00 0.85 27026.06 0.01 181.26 46341.13 255.66 10.68 272.99 NZD 596.20 0.60 356.42 1.00 356.42 46341.13 130.02 -2.77 -36.02 OAT 1221.50 0.45 547.40 1.06 578.03 46341.13 80.17 -3.58 -28.70 OATIES 230.88 1.69 389.32 1.00 389.32 46341.13 119.03 -7.34 -87.36 OJ 495.15 1.46 721.62 1.00 721.62 46341.13 64.22 19.12 122.81 PALLAD 1276.50 1.59 2029.31 1.00 2029.31 46341.13 22.84 -4.74 -10.82 PLAT 458.45 1.47 674.16 1.00 674.16 46341.13 68.74 -1.48 -10.19 REDWHEAT 346.38 1.61 557.10 1.00 557.10 46341.13 83.18 -20.00 -166.37 RICE 328.90 0.99 326.36 1.00 326.36 46341.13 141.99 -1.89 -26.78 ROBUSTA 236.70 1.26 297.53 1.00 297.53 46341.13 155.76 5.07 78.98 RUSSELL 90.60 0.90 81.53 1.00 81.53 46341.13 568.38 -13.43 -763.12 SHATZ 1048.45 0.07 74.37 1.06 78.53 46341.13 590.11 -14.18 -836.90 SILVER-mini 575.94 1.39 799.03 1.00 799.03 46341.13 58.00 -6.42 -37.25 SMI 1096.20 0.67 730.79 1.09 796.41 46341.13 58.19 -0.10 -0.61 SOFR 2400.25 0.06 154.69 1.00 154.69 46341.13 299.57 -12.52 -375.06 SOYBEAN 634.88 1.00 636.66 1.00 636.66 46341.13 72.79 -2.01 -14.60 SOYMEAL 388.00 1.25 483.52 1.00 483.52 46341.13 95.84 -7.90 -75.70 SOYOIL 338.46 1.44 486.36 1.00 486.36 46341.13 95.28 -0.64 -6.14 SP400 2536.70 0.82 2071.72 1.00 2071.72 46341.13 22.37 -12.72 -28.45 SP500_micro 217.12 0.72 156.17 1.00 156.17 46341.13 296.74 -15.41 -457.14 SUGAR11 287.62 1.28 369.51 1.00 369.51 46341.13 125.41 6.35 79.61 US10 1078.91 0.35 372.48 1.00 372.48 46341.13 124.41 -13.90 -172.99 US10U 1113.91 0.47 527.17 1.00 527.17 46341.13 87.91 -12.22 -107.40 US2 2026.25 0.09 190.90 1.00 190.90 46341.13 242.75 -16.07 -390.04 US20 1136.56 0.72 817.62 1.00 817.62 46341.13 56.68 -10.56 -59.82 US30 1185.62 1.03 1217.86 1.00 1217.86 46341.13 38.05 -11.11 -42.27 US5 1052.19 0.23 238.50 1.00 238.50 46341.13 194.30 -16.17 -314.27 VIX 181.50 2.75 499.95 1.00 499.95 46341.13 92.69 -16.40 -151.99 WHEAT 332.50 1.52 507.04 1.00 507.04 46341.13 91.40 -19.01 -173.79 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -99.540 0.010 2.5 -2.583 BITCOIN -481.407 0.043 2.5 -52.134 BOBL -200.145 0.004 2.5 -2.030 BTP -53.330 0.014 2.5 -1.819 BUND -57.082 0.004 2.5 -0.579 BUXL -36.073 0.004 2.5 -0.366 CAC 4.106 0.014 2.5 0.140 CAD -126.591 0.010 2.5 -3.285 CANOLA -371.688 0.010 2.5 -9.043 CHF -159.115 0.010 2.5 -4.129 COCOA -8.782 0.009 2.5 -0.188 COFFEE -95.401 0.005 2.5 -1.114 COPPER -57.205 0.043 2.5 -6.195 CORN -144.798 0.010 2.5 -3.523 COTTON2 11.176 0.009 2.5 0.239 CRUDE_W 77.608 0.043 2.5 8.404 DAX 12.226 0.014 2.5 0.417 DOW -608.802 0.009 2.5 -14.150 DX 149.522 0.010 2.5 3.880 EUR -87.497 0.010 2.5 -2.270 EURIBOR-ICE -37.135 0.014 2.5 -1.267 EUROSTX 24.222 0.014 2.5 0.826 FEEDCOW 34.313 0.013 2.5 1.137 GASOIL 60.200 0.017 2.5 2.610 GASOLINE 23.866 0.017 2.5 1.035 GAS_US_mini -228.445 0.043 2.5 -24.739 GBP -100.662 0.010 2.5 -2.612 GOLD_micro -880.575 0.014 2.5 -30.037 HEATOIL 20.600 0.017 2.5 0.893 JGB-SGX-mini 58.084 0.043 2.5 6.290 JPY -159.412 0.010 2.5 -4.136 LEANHOG 90.948 0.024 2.5 5.528 LIVECOW 49.564 0.013 2.5 1.643 LUMBER-new -343.498 0.008 2.5 -7.295 MILK -192.847 0.009 2.5 -4.131 MXP 83.473 0.059 2.5 12.252 NASDAQ_micro -213.882 0.009 2.5 -4.971 NIKKEI 272.993 0.043 2.5 29.564 NZD -36.025 0.010 2.5 -0.935 OAT -28.701 0.014 2.5 -0.979 OATIES -87.356 0.010 2.5 -2.125 OJ 122.807 0.009 2.5 2.630 PALLAD -10.819 0.014 2.5 -0.369 PLAT -10.186 0.014 2.5 -0.347 REDWHEAT -166.367 0.005 2.5 -2.207 RICE -26.781 0.010 2.5 -0.652 ROBUSTA 78.984 0.005 2.5 0.922 RUSSELL -763.122 0.013 2.5 -25.290 SHATZ -836.903 0.004 2.5 -8.487 SILVER-mini -37.252 0.014 2.5 -1.271 SMI -0.606 0.014 2.5 -0.021 SOFR -375.063 0.024 2.5 -22.796 SOYBEAN -14.596 0.004 2.5 -0.136 SOYMEAL -75.696 0.004 2.5 -0.704 SOYOIL -6.144 0.004 2.5 -0.057 SP400 -28.450 0.013 2.5 -0.943 SP500_micro -457.139 0.009 2.5 -10.625 SUGAR11 79.606 0.009 2.5 1.693 US10 -172.986 0.005 2.5 -2.192 US10U -107.404 0.005 2.5 -1.361 US2 -390.037 0.005 2.5 -4.943 US20 -59.824 0.005 2.5 -0.758 US30 -42.267 0.005 2.5 -0.536 US5 -314.272 0.005 2.5 -3.983 VIX -151.987 0.099 2.5 -37.519 WHEAT -173.786 0.005 2.5 -2.305 ===================== Position diags ===================== AUD 2.90 BITCOIN 72.89 BOBL 1.81 BTP 2.38 BUND 0.85 BUXL 0.36 CAC 2.70 CAD 4.59 CANOLA 9.59 CHF 2.06 COCOA 2.19 COFFEE 0.56 COPPER 5.32 CORN 3.66 COTTON2 1.76 CRUDE_W 4.74 DAX 13.33 DOW 10.92 DX 3.23 EUR 1.95 EURIBOR-ICE 12.04 EUROSTX 4.05 FEEDCOW 1.66 GASOIL 1.48 GASOLINE 1.41 GAS_US_mini 25.62 GBP 3.17 GOLD_micro 15.02 HEATOIL 1.16 JGB-SGX-mini 36.97 JPY 2.58 LEANHOG 5.07 LIVECOW 3.11 LUMBER-new 4.17 MILK 2.20 MXP 30.45 NASDAQ_micro 3.90 NIKKEI 27.69 NZD 3.37 OAT 2.73 OATIES 2.90 OJ 1.38 PALLAD 0.78 PLAT 2.34 REDWHEAT 1.10 RICE 3.45 ROBUSTA 1.82 RUSSELL 18.84 SHATZ 5.98 SILVER-mini 1.98 SMI 1.98 SOFR 18.21 SOYBEAN 0.68 SOYMEAL 0.89 SOYOIL 0.89 SP400 0.74 SP500_micro 6.90 SUGAR11 2.67 US10 1.58 US10U 1.11 US2 3.08 US20 0.72 US30 0.48 US5 2.46 VIX 22.88 WHEAT 1.21 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.6 -2.9 -2.3 NaN 0 BITCOIN -52.1 -59.4 -44.8 -43.0 -43 BOBL -2.0 -2.2 -1.8 -8.0 -8 BTP -1.8 -2.1 -1.6 0.0 0 BUND -0.6 -0.7 -0.5 0.0 0 BUXL -0.4 -0.4 -0.3 -4.0 -4 CAC 0.1 -0.1 0.4 0.0 0 CAD -3.3 -3.7 -2.8 0.0 0 CANOLA -9.0 -10.0 -8.1 NaN 0 CHF -4.1 -4.3 -3.9 -9.0 -9 COCOA -0.2 -0.4 0.0 0.0 0 COFFEE -1.1 -1.2 -1.1 -2.0 -2 COPPER -6.2 -6.7 -5.7 -5.0 -5 CORN -3.5 -3.9 -3.2 0.0 0 COTTON2 0.2 0.1 0.4 0.0 0 CRUDE_W 8.4 7.9 8.9 5.0 5 DAX 0.4 -0.9 1.8 0.0 0 DOW -14.1 -15.2 -13.1 -17.0 -17 DX 3.9 3.6 4.2 NaN 0 EUR -2.3 -2.5 -2.1 -11.0 -11 EURIBOR-ICE -1.3 -2.5 -0.1 0.0 0 EUROSTX 0.8 0.4 1.2 0.0 0 FEEDCOW 1.1 1.0 1.3 8.0 8 GASOIL 2.6 2.5 2.8 2.0 2 GASOLINE 1.0 0.9 1.2 4.0 4 GAS_US_mini -24.7 -27.3 -22.2 -22.0 -22 GBP -2.6 -2.9 -2.3 0.0 0 GOLD_micro -30.0 -31.5 -28.5 -36.0 -36 HEATOIL 0.9 0.8 1.0 0.0 0 JGB-SGX-mini 6.3 2.6 10.0 15.0 15 JPY -4.1 -4.4 -3.9 -3.0 -3 LEANHOG 5.5 5.0 6.0 5.0 5 LIVECOW 1.6 1.3 2.0 1.0 1 LUMBER-new -7.3 -7.7 -6.9 NaN 0 MILK -4.1 -4.4 -3.9 NaN 0 MXP 12.3 9.2 15.3 35.0 35 NASDAQ_micro -5.0 -5.4 -4.6 -1.0 -1 NIKKEI 29.6 26.8 32.3 34.0 34 NZD -0.9 -1.3 -0.6 0.0 0 OAT -1.0 -1.3 -0.7 0.0 0 OATIES -2.1 -2.4 -1.8 NaN 0 OJ 2.6 2.5 2.8 NaN 0 PALLAD -0.4 -0.4 -0.3 -1.0 -1 PLAT -0.3 -0.6 -0.1 -3.0 -3 REDWHEAT -2.2 -2.3 -2.1 -3.0 -3 RICE -0.7 -1.0 -0.3 NaN 0 ROBUSTA 0.9 0.7 1.1 4.0 4 RUSSELL -25.3 -27.2 -23.4 -8.0 -8 SHATZ -8.5 -9.1 -7.9 NaN 0 SILVER-mini -1.3 -1.5 -1.1 NaN 0 SMI -0.0 -0.2 0.2 2.0 2 SOFR -22.8 -24.6 -21.0 NaN 0 SOYBEAN -0.1 -0.2 -0.1 0.0 0 SOYMEAL -0.7 -0.8 -0.6 0.0 0 SOYOIL -0.1 -0.1 0.0 0.0 0 SP400 -0.9 -1.0 -0.9 -1.0 -1 SP500_micro -10.6 -11.3 -9.9 -1.0 -1 SUGAR11 1.7 1.4 2.0 0.0 0 US10 -2.2 -2.3 -2.0 NaN 0 US10U -1.4 -1.5 -1.2 -3.0 -3 US2 -4.9 -5.3 -4.6 NaN 0 US20 -0.8 -0.8 -0.7 -4.0 -4 US30 -0.5 -0.6 -0.5 -3.0 -3 US5 -4.0 -4.2 -3.7 0.0 0 VIX -37.5 -39.8 -35.2 -17.0 -17 WHEAT -2.3 -2.4 -2.2 -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 3.3 1.3 1.2 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 -0.3 -0.3 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.0 -0.4 -0.1 -0.4 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.1 0.5 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.2 0.2 -0.1 -0.5 -0.3 -0.7 -0.2 0.1 BITCOIN 0.1 -0.6 -0.2 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 0.0 0.1 0.1 0.1 -0.1 -0.2 -0.1 -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 -0.0 -0.0 -0.1 0.2 0.4 -0.3 -0.2 -0.2 0.7 -0.2 0.7 BOBL -0.5 -0.1 -0.2 -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 -0.2 -0.2 -0.1 -0.1 -0.1 -0.3 -0.1 1.4 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.7 -0.0 0.0 0.1 0.1 -0.7 -0.7 -0.6 -0.6 BTP -0.6 -0.5 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.9 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.9 -0.3 -0.2 -0.0 0.3 -0.4 -0.7 0.0 0.3 BUND -0.4 -0.2 -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 -0.0 0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.3 -0.1 0.9 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.8 -0.1 -0.0 0.1 0.1 -0.7 -0.7 -0.6 -0.1 BUXL -0.5 -0.4 -0.1 -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 -0.2 -0.4 -0.2 0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 -0.3 -0.2 -0.1 0.1 -0.7 -0.7 -0.3 0.6 CAC -0.2 -0.4 -0.4 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 0.2 -0.2 0.7 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 0.0 -0.2 0.3 -0.2 -0.7 -0.1 -0.1 -0.0 -0.1 0.2 -0.1 0.3 0.2 0.1 0.5 0.2 0.7 0.0 0.7 0.2 CAD 0.4 -0.4 -0.1 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.2 -0.4 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.2 0.0 0.2 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 0.5 0.6 0.0 -0.4 -0.7 -0.7 -0.7 -0.6 CANOLA -0.6 -0.5 0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.0 -0.2 0.2 -0.1 0.1 -0.1 0.0 -0.2 -0.0 -0.2 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.3 -0.5 -0.6 -0.3 0.5 -0.3 0.1 0.4 0.5 CHF -0.6 -0.6 -0.1 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.2 0.4 -0.2 -0.2 -0.4 -0.3 -0.3 -0.3 -0.2 -0.1 -0.2 0.1 -0.2 -1.4 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -1.1 -0.5 -0.6 -0.6 -0.5 -0.7 -0.7 -0.7 -0.7 COCOA -0.6 -0.2 0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.5 -0.2 0.7 -0.0 0.1 -0.0 -0.0 -0.1 -0.1 0.1 0.2 -0.2 0.5 -0.1 -1.7 0.0 -0.1 0.3 -0.1 0.4 -0.0 -0.5 -0.5 -0.0 0.4 0.6 -0.0 -0.3 0.6 0.1 COFFEE 0.3 -0.1 -0.5 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.4 -0.1 -0.5 -0.1 -0.2 -0.1 0.0 -0.0 0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -2.7 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.3 -0.3 -0.6 -0.7 -0.7 -0.6 -0.3 COPPER -0.3 -0.2 -0.1 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.1 -0.3 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.8 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.5 -0.3 -0.2 0.2 0.2 -0.7 0.4 -0.7 CORN 0.0 -0.4 -0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.3 0.0 -0.4 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.2 0.0 -0.4 -0.0 -1.6 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.2 0.4 0.4 -0.1 -0.0 -0.2 0.1 0.0 0.3 COTTON2 -0.1 0.1 0.4 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.3 0.0 -0.3 0.1 0.1 -0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.1 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.5 0.6 0.6 0.3 -0.6 -0.5 0.3 0.4 CRUDE_W 0.4 0.6 0.6 0.1 0.0 0.2 0.0 0.1 0.1 0.1 0.5 0.2 0.2 0.2 0.2 0.4 0.2 0.3 0.3 0.2 0.2 0.2 0.5 0.2 -1.0 0.1 0.0 0.2 0.1 0.2 0.1 -1.1 0.5 0.6 0.2 0.0 0.7 0.4 0.7 0.3 DAX -0.3 -0.5 -0.5 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.2 0.6 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.0 -0.2 0.2 -0.2 2.5 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 -0.2 -0.1 -0.2 0.0 -0.3 0.7 0.0 0.7 0.3 DOW -0.5 -0.6 0.1 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 0.1 -0.2 0.4 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 0.0 -0.2 0.1 -0.2 -1.4 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.3 -0.5 -0.1 -0.0 0.6 -0.5 -0.2 -0.7 -0.3 DX 0.4 0.6 0.3 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.1 0.4 0.2 -0.3 0.2 0.2 0.2 0.1 0.1 0.1 0.2 0.2 0.2 0.2 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 0.7 0.5 0.6 0.6 0.3 0.0 0.3 0.1 0.7 EUR -0.4 -0.6 -0.2 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.1 -0.3 -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 1.9 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.4 -0.3 -0.6 -0.5 -0.5 -0.3 -0.6 -0.1 -0.1 EURIBOR-ICE -0.3 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 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 -0.1 -0.2 -0.1 2.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.6 0.1 0.2 0.2 0.1 -0.7 -0.7 0.6 0.4 EUROSTX -0.3 -0.4 -0.5 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 0.1 -0.2 0.6 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.2 0.3 -0.2 0.7 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.3 0.2 0.0 0.2 -0.1 0.6 0.1 0.7 0.4 FEEDCOW -0.0 -0.2 0.4 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.5 -0.0 0.7 0.1 0.2 -0.1 -0.4 -0.2 -0.4 0.2 0.2 -0.1 0.5 0.2 -0.1 0.1 -0.1 0.3 -0.0 0.4 0.0 -1.1 -0.2 0.6 0.6 0.6 0.3 -0.3 0.7 0.1 GASOIL 0.2 0.6 0.6 0.1 0.0 0.1 0.0 0.1 0.0 0.0 0.5 0.1 0.2 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.1 0.5 0.2 1.6 0.1 0.0 0.2 0.0 0.1 0.1 0.0 0.2 0.3 0.4 0.6 -0.7 0.1 -0.7 -0.1 GASOLINE -0.2 0.1 0.6 0.1 0.0 0.2 0.0 0.1 0.1 -0.2 0.5 -0.1 0.3 0.0 0.2 0.4 0.4 0.4 0.4 0.2 0.2 -0.1 0.5 0.1 -2.7 0.1 -0.1 0.3 -0.0 0.4 0.0 1.1 -0.5 -0.6 -0.6 -0.1 0.7 0.4 0.7 0.2 GAS_US_mini -0.2 -0.2 0.3 0.1 0.0 0.2 0.0 0.1 0.0 -0.0 -0.5 -0.2 -0.7 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.0 -0.5 -0.1 2.7 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.3 -0.6 -0.6 -0.6 -0.0 0.2 -0.3 0.0 GBP -0.6 -0.6 -0.1 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.1 0.0 -0.2 0.4 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.2 0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.1 -0.5 -0.6 -0.6 -0.4 -0.1 0.4 0.1 0.7 GOLD_micro -0.1 -0.3 -0.5 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.2 -0.4 -0.2 0.2 -0.2 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.2 -0.1 -0.2 -1.5 -0.1 -0.2 -0.1 -0.2 0.0 -0.1 -1.0 -0.5 -0.6 -0.3 -0.3 -0.5 -0.7 -0.3 -0.7 HEATOIL 0.0 0.5 0.6 0.1 0.0 0.2 0.0 0.1 0.0 0.0 0.5 0.1 0.2 0.1 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 0.2 0.0 0.1 -0.1 -0.5 -0.0 0.6 0.2 -0.1 0.0 -0.2 JGB-SGX-mini -0.2 -0.5 -0.6 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 0.2 -0.1 -0.1 0.4 0.4 0.3 0.3 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 0.3 0.3 0.1 0.1 -0.4 -0.3 0.3 0.3 JPY -0.1 -0.5 -0.5 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.4 -0.2 -0.5 -0.2 -0.2 -0.4 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 2.7 -0.1 -0.0 -0.2 -0.0 -0.2 -0.1 -1.1 -0.2 -0.3 -0.4 -0.6 -0.2 -0.7 -0.1 -0.7 LEANHOG 0.0 0.1 0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 -0.0 0.0 0.4 0.4 0.4 0.4 -0.0 -0.0 -0.0 -0.2 -0.0 1.6 -0.0 0.0 -0.1 -0.0 -0.3 -0.0 1.1 0.1 0.4 -0.0 -0.0 -0.3 -0.0 0.5 0.7 LIVECOW 0.3 -0.3 0.3 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.0 0.5 0.1 0.7 0.2 0.2 -0.4 -0.0 -0.4 -0.1 0.2 0.2 0.1 0.5 0.2 0.3 0.1 -0.0 0.3 0.0 0.5 0.1 -0.4 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.7 LUMBER-new -0.1 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.2 -0.6 -0.0 -0.7 -0.2 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.0 -0.4 -0.2 NaN -0.1 0.1 -0.2 0.0 -0.2 -0.1 -1.2 0.4 0.4 -0.1 -0.6 -0.6 -0.8 -0.2 -0.8 MILK -0.6 0.3 0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.4 -0.1 0.0 -0.3 -0.4 -0.4 -0.4 -0.1 -0.1 -0.2 -0.4 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -1.1 -0.5 -0.3 0.1 -0.5 -0.7 -0.7 -0.5 -0.7 MXP -0.3 -0.5 -0.6 -0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.1 0.3 -0.1 0.6 -0.1 0.0 0.3 0.3 0.3 0.3 0.0 0.1 -0.1 0.5 -0.1 -2.7 -0.0 -0.1 0.1 -0.1 0.3 -0.0 1.1 -0.3 -0.3 0.2 0.3 0.7 0.3 0.7 0.7 NASDAQ_micro -0.6 -0.6 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.1 0.2 -0.1 0.3 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.1 0.3 -0.1 -2.7 -0.0 -0.0 0.1 -0.1 0.2 -0.0 -0.3 -0.2 -0.1 0.0 0.5 -0.1 -0.5 -0.3 -0.6 NIKKEI -0.1 -0.3 0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.2 0.4 -0.2 0.6 0.0 0.1 0.1 0.2 0.2 0.2 0.1 0.2 -0.1 0.5 -0.0 -1.2 0.0 -0.1 0.3 -0.1 0.5 -0.0 1.1 0.3 0.6 0.6 0.6 0.1 0.1 -0.1 0.4 NZD 0.2 -0.4 -0.3 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.1 -0.4 0.1 -0.1 -0.1 -0.2 -0.0 0.0 0.0 0.0 -0.1 -0.1 0.0 -0.3 -0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.2 0.5 0.5 -0.0 -0.5 0.0 -0.5 0.2 0.2 OAT -0.5 -0.2 -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 -0.3 -0.1 1.1 -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 -0.1 0.2 OATIES -0.6 -0.3 0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.2 -0.1 -0.0 -0.1 0.0 -0.3 -0.1 -0.3 -0.3 0.0 0.1 -0.1 0.2 -0.1 -2.7 0.0 0.0 0.1 -0.0 0.1 -0.0 -1.1 -0.5 -0.6 0.2 0.6 0.2 0.5 0.7 0.7 OJ 0.3 0.1 0.5 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 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 0.3 0.0 0.4 0.1 1.1 0.5 0.6 0.6 0.6 0.2 0.2 0.7 0.6 PALLAD 0.3 0.2 -0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.4 0.1 -0.6 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 0.0 -0.5 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.1 0.2 0.4 0.3 -0.4 -0.4 -0.2 0.2 -0.0 PLAT -0.2 0.1 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.3 -0.1 -0.1 -0.1 -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 0.0 -0.1 0.3 -0.2 0.0 -0.6 0.4 -0.5 REDWHEAT -0.2 -0.6 -0.4 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.4 -0.2 -0.6 -0.2 -0.2 -0.1 0.0 -0.1 -0.0 -0.2 -0.2 -0.2 -0.3 -0.2 -2.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.4 0.1 -0.6 -0.6 -0.7 -0.6 -0.6 -0.3 RICE -0.5 0.1 0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.2 -0.0 0.1 -0.0 0.1 -0.3 0.3 -0.1 0.2 0.1 0.1 0.0 0.1 0.0 -2.7 0.0 0.0 0.1 0.0 0.1 -0.0 1.1 0.4 -0.1 0.3 0.3 -0.2 -0.7 0.4 -0.3 ROBUSTA -0.0 -0.2 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 -0.1 0.5 -0.0 -0.0 0.4 0.4 0.4 0.4 0.0 0.1 -0.1 0.5 -0.0 -2.4 0.0 -0.0 0.2 -0.0 0.4 -0.0 1.1 0.1 0.5 0.2 0.0 -0.0 -0.4 0.7 -0.1 RUSSELL -0.6 -0.6 0.1 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.4 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.0 -0.2 0.4 -0.4 -0.4 -0.7 -0.6 SHATZ -0.6 -0.1 -0.4 -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 -0.0 -0.1 -0.0 -0.1 -0.0 -0.9 0.1 0.0 0.1 -0.0 -0.7 -0.7 -0.7 -0.7 SILVER-mini -0.4 -0.2 -0.2 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 1.0 0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.2 0.1 -0.1 0.2 0.3 -0.6 -0.7 -0.2 -0.7 SMI 0.1 -0.2 -0.3 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 0.0 -0.1 0.2 -0.1 -0.1 0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.8 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.6 0.5 0.5 0.6 -0.1 -0.2 -0.5 -0.4 -0.4 SOFR -0.3 -0.5 -0.6 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.3 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.1 -0.3 -0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.0 0.2 0.1 -0.1 -0.7 -0.7 -0.3 -0.2 SOYBEAN -0.5 -0.0 0.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 0.2 -0.1 0.0 -0.1 0.0 0.2 0.4 0.2 0.3 -0.0 0.0 -0.0 0.0 -0.1 -2.7 -0.0 0.0 0.0 -0.0 0.0 -0.0 1.1 -0.0 -0.0 0.1 0.6 -0.5 0.1 -0.4 0.3 SOYMEAL -0.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.2 -0.1 0.1 -0.1 -0.0 0.2 0.4 0.2 0.3 -0.0 -0.0 -0.0 0.0 -0.1 -2.7 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.1 0.0 -0.0 0.1 0.4 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.6 -0.2 0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 0.0 -0.1 0.1 0.3 0.2 0.3 0.2 -0.0 0.1 -0.2 0.1 -0.2 -2.7 -0.0 -0.1 0.0 -0.1 0.0 -0.1 0.8 -0.5 -0.3 -0.0 0.6 -0.0 0.2 0.7 0.7 SP400 -0.6 -0.6 0.1 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.2 0.0 -0.2 -1.6 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.0 -0.1 0.5 -0.2 -0.4 -0.6 -0.7 SP500_micro -0.6 -0.6 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 0.2 -0.1 0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 0.1 -0.2 0.3 -0.2 -2.3 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.4 -0.5 -0.3 -0.1 0.6 -0.2 -0.4 -0.4 -0.6 SUGAR11 0.3 0.4 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.5 0.0 0.6 0.2 0.2 0.2 0.2 0.1 0.1 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 0.0 0.2 -0.0 0.4 0.0 0.5 0.2 0.6 0.6 0.1 -0.7 -0.7 0.3 -0.0 US10 -0.3 -0.5 -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 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.4 -0.2 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.5 -0.1 0.1 -0.0 -0.2 -0.7 -0.7 0.3 -0.0 US10U -0.4 -0.5 -0.6 -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 -0.2 -0.5 -0.2 -0.5 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.2 0.0 -0.1 -0.2 -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 -0.3 -0.1 -0.4 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.1 -0.5 -0.1 1.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.1 0.2 0.1 -0.3 -0.7 -0.7 -0.7 -0.7 US20 -0.3 -0.5 -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 -0.2 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.3 -0.1 -0.2 -0.2 -0.6 -0.7 0.7 0.7 US30 -0.3 -0.4 -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 -0.2 -0.1 -0.2 -0.3 -0.2 -0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.2 -0.2 -0.0 -0.1 -0.1 -0.5 -0.7 0.7 0.7 US5 -0.3 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.3 -0.2 -0.3 -0.3 -0.2 -0.2 -0.1 -0.4 -0.1 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.9 0.0 0.2 0.1 -0.1 -0.7 -0.7 -0.1 -0.6 VIX 0.4 0.5 -0.1 -0.1 0.1 -0.4 0.1 -0.7 0.0 0.1 -0.9 0.2 -1.2 -0.1 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 0.2 -0.9 0.0 NaN -0.1 0.1 -0.5 0.1 -0.9 0.0 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.2 -0.6 -0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.3 -0.1 -0.5 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.0 -0.4 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.2 0.1 -0.4 -0.2 -0.7 -0.5 -0.7 -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 4.2 -10.8 -9.2 -3.1 -3.9 0.6 -5.2 2.2 -5.0 -1.0 -15.9 -4.8 -10.3 -13.2 -15.8 -3.8 -2.9 -3.4 -3.1 -12.8 -13.4 -5.1 -11.9 -8.0 3.6 -5.1 -1.4 -5.0 -2.6 -4.2 -3.5 -1.4 6.4 5.7 -2.8 -16.5 -9.0 -20.0 -5.7 3.6 BITCOIN 4.3 -18.3 -5.3 -3.7 -3.9 -1.5 -5.8 1.0 -4.4 2.5 2.8 6.8 4.1 -12.1 -15.8 -5.0 -4.3 -5.8 -5.4 -11.2 -5.3 0.8 -1.0 -5.9 -20.0 -5.6 3.3 -3.7 0.4 -0.8 -2.8 -1.2 9.0 13.0 -9.1 -5.0 -7.2 20.0 -5.8 20.0 BOBL -14.6 -4.5 -5.9 -2.9 -4.1 -2.4 -3.8 -2.4 -3.4 -8.4 -6.2 -9.2 -8.4 -8.8 -8.1 2.3 -7.8 -11.4 -12.0 -7.7 -7.2 -11.6 -11.0 -9.8 10.6 -2.9 -6.1 -2.2 -5.0 -3.1 -4.0 -13.0 -1.8 0.4 3.6 2.6 -20.0 -20.0 -19.0 -16.5 BTP -18.8 -14.2 -3.2 -4.0 -5.7 -3.3 -5.2 -3.3 -4.6 -11.5 -0.9 -12.7 -0.1 -12.5 -9.9 5.6 7.6 5.5 6.2 -11.0 -4.6 -20.0 -3.9 -17.7 -6.6 -3.7 -9.2 -1.3 -7.9 -0.7 -6.0 16.1 -11.9 -7.1 -0.2 10.1 -12.1 -20.0 0.6 9.8 BUND -13.9 -6.8 -4.4 -3.0 -4.2 -2.5 -3.9 -2.5 -3.4 -8.5 -7.5 -9.3 -8.8 -9.0 -8.5 -1.4 7.1 2.2 4.4 -8.3 -7.2 -13.6 -10.4 -10.8 6.5 -3.0 -6.7 -2.2 -5.5 -2.6 -4.2 14.2 -5.3 -0.9 2.3 3.4 -20.0 -20.0 -18.2 -1.9 BUXL -16.4 -10.9 -4.1 -3.3 -4.7 -2.8 -4.3 -2.8 -3.8 -9.5 -10.0 -10.5 -10.5 -10.5 -9.9 0.2 0.9 0.6 1.0 -12.5 -10.7 -18.7 -13.9 -15.8 1.2 -3.5 -6.0 -2.5 -5.7 -2.6 -4.7 6.0 -11.3 -6.1 -2.4 2.7 -20.0 -20.0 -8.2 18.6 CAC -6.9 -11.2 -13.4 -5.0 -5.9 -1.3 -8.6 1.4 -7.4 -16.6 6.2 -18.1 18.3 -17.7 -12.4 -7.1 -1.9 -6.3 -4.4 -9.5 0.2 -20.0 12.8 -16.2 -5.1 -4.7 -10.7 -0.0 -12.1 5.1 -8.4 4.9 7.9 2.4 13.9 5.5 19.9 1.0 20.0 6.6 CAD 12.1 -12.3 -3.8 -4.4 -5.5 0.8 -7.4 3.1 -7.0 -6.5 -4.0 15.2 -12.1 -3.1 -12.4 -2.5 -2.1 -2.4 -2.3 -8.5 -8.2 4.1 -8.1 0.2 1.5 -3.5 -0.9 -3.2 1.8 -2.6 0.3 0.0 20.0 20.0 0.7 -12.9 -20.0 -20.0 -20.0 -18.8 CANOLA -20.0 -14.5 20.0 -2.2 -0.7 -1.5 -3.3 -2.0 -3.6 -8.5 4.0 -10.6 -3.3 -10.6 1.7 -10.7 8.3 -4.7 2.5 -8.4 0.3 -19.8 -0.9 -19.7 -20.0 -1.8 -2.8 -0.4 -4.4 -1.1 -4.2 5.9 -18.8 -20.0 -8.8 15.5 -9.2 2.9 10.6 15.7 CHF -20.0 -20.0 -4.2 -4.1 -5.1 0.8 -6.8 2.8 -6.5 -15.3 -3.6 -20.0 11.1 -20.0 -18.9 -17.6 -14.1 -16.2 -15.1 -20.0 -8.3 -20.0 4.9 -20.0 -10.8 -6.5 -9.2 -1.7 -11.5 0.9 -10.3 -20.0 -20.0 -20.0 -20.0 -14.0 -20.0 -20.0 -20.0 -20.0 COCOA -18.1 -7.5 8.1 -3.7 -1.1 -2.6 -5.7 -3.4 -6.2 -14.8 17.7 -14.4 18.7 -1.6 11.8 -2.5 -2.3 -3.7 -2.9 11.6 20.0 -20.0 20.0 -6.2 -13.0 4.0 -8.9 9.3 -8.1 10.9 -2.6 -8.7 -20.0 -0.1 11.0 20.0 -0.1 -9.4 18.4 1.5 COFFEE 7.9 -1.7 -15.0 -3.8 -1.2 -2.7 -5.9 -3.5 -6.5 -17.8 -16.1 -13.8 -14.0 -12.8 -17.9 -3.1 1.6 -1.8 0.1 -12.4 -16.5 -15.8 -16.4 -9.4 -20.0 -5.0 -11.6 -4.8 -8.0 -3.6 -5.0 -2.6 -1.2 8.9 -8.0 -20.0 -20.0 -20.0 -19.3 -10.3 COPPER -9.1 -5.9 -3.6 -3.0 -3.1 -1.2 -4.7 0.8 -3.6 -7.5 -11.3 -14.0 -3.5 -14.1 -11.6 -5.9 -2.9 -5.3 -4.2 -10.3 -8.3 -13.9 -6.9 -13.4 -6.2 -4.2 -1.7 -3.1 -7.3 -2.8 -6.5 1.2 -20.0 -8.8 -4.9 4.9 6.2 -20.0 11.8 -20.0 CORN 0.4 -13.3 -20.0 -2.6 -0.8 -1.8 -3.9 -2.4 -4.3 11.7 -12.7 3.3 -11.9 -8.0 -13.4 -6.2 2.8 -6.6 -3.0 -11.3 -14.8 1.9 -13.0 -4.6 -12.3 -3.2 3.9 -4.3 1.3 -5.2 -1.7 -4.2 15.0 12.2 -3.5 -1.5 -5.1 2.9 1.5 8.9 COTTON2 -2.9 3.4 13.6 -3.3 -1.0 -2.3 -5.1 -3.0 -5.5 15.6 11.7 3.6 -8.6 4.6 12.1 -2.0 5.3 2.0 3.3 8.1 7.7 7.8 1.4 6.1 -20.0 5.8 6.5 5.2 5.0 3.3 4.9 2.6 20.0 20.0 20.0 10.0 -17.3 -16.1 9.3 10.9 CRUDE_W 13.3 19.0 20.0 7.8 0.9 6.8 1.6 4.0 4.9 6.6 20.0 20.0 4.5 20.0 20.0 20.0 11.2 17.5 13.0 20.0 20.0 20.0 20.0 20.0 -7.5 9.4 4.3 7.6 5.8 5.2 8.2 -20.0 20.0 20.0 6.4 0.4 20.0 11.4 20.0 8.3 DAX -9.8 -15.0 -14.5 -4.8 -5.7 -1.3 -8.1 1.3 -7.0 -14.8 -0.6 -17.9 15.5 -19.2 -17.8 -10.0 -7.5 -9.4 -8.7 -15.5 -4.5 -20.0 7.7 -20.0 18.9 -6.1 -9.7 -2.3 -11.5 1.7 -9.0 -3.8 -4.7 -7.7 0.9 -8.2 20.0 0.3 20.0 8.7 DOW -16.2 -20.0 3.1 -4.1 -4.9 -1.1 -7.0 1.2 -6.1 -15.4 5.4 -16.4 11.6 -15.7 -7.1 -11.7 -8.5 -11.4 -10.3 -10.4 0.4 -20.0 5.0 -20.0 -10.5 -2.8 -9.5 1.3 -9.9 3.1 -7.0 -6.0 -20.0 -2.7 -0.3 18.9 -14.0 -7.2 -20.0 -7.8 DX 13.7 20.0 10.6 -4.1 -5.1 0.7 -6.8 2.8 -6.4 13.3 15.6 20.0 -8.0 20.0 20.0 7.6 5.5 7.0 6.2 20.0 17.7 20.0 7.9 20.0 -20.0 7.5 7.1 4.3 8.4 2.5 8.6 13.7 20.0 20.0 20.0 9.0 0.7 7.7 4.3 20.0 EUR -13.3 -20.0 -7.5 -3.4 -4.2 0.6 -5.6 2.3 -5.3 -11.1 -11.4 -16.5 7.3 -18.3 -17.7 -6.9 -6.9 -6.7 -6.7 -20.0 -10.1 -20.0 -3.0 -20.0 14.1 -6.0 -6.0 -2.8 -7.2 -0.8 -7.3 -7.8 -10.5 -20.0 -16.1 -14.5 -7.6 -19.2 -3.3 -2.4 EURIBOR-ICE -9.3 1.0 -0.3 -2.6 -3.7 -2.2 -3.4 -2.2 -3.0 -6.8 -4.1 -7.3 -7.0 -5.9 -2.4 -9.4 -8.1 -9.4 -9.2 -3.5 -4.4 -6.5 -8.9 -4.8 17.8 -1.7 -5.0 -1.8 -3.4 -3.7 -2.4 -11.0 3.9 6.1 6.8 3.9 -20.0 -20.0 17.9 12.8 EUROSTX -8.0 -13.8 -14.7 -4.5 -5.4 -1.2 -7.7 1.3 -6.7 -13.2 2.6 -16.2 15.6 -18.2 -17.0 -5.6 -1.6 -5.1 -3.9 -11.5 -1.9 -18.9 9.8 -16.2 5.4 -5.6 -7.4 -1.4 -9.5 3.3 -7.9 5.5 7.2 0.9 7.3 -1.9 17.6 3.2 20.0 12.9 FEEDCOW -1.1 -6.3 12.9 -4.4 -1.4 -3.0 -6.7 -4.0 -7.4 -13.6 20.0 -1.5 20.0 11.2 20.0 -7.1 -20.0 -11.8 -20.0 20.0 20.0 -9.6 20.0 14.7 -0.6 8.0 -7.2 9.8 -2.2 10.2 4.4 -20.0 -8.9 20.0 20.0 20.0 10.5 -8.0 20.0 1.9 GASOIL 6.2 19.3 20.0 5.9 0.7 5.1 1.2 3.1 3.7 2.1 17.0 13.0 6.3 15.6 19.2 20.0 20.0 20.0 20.0 20.0 20.0 12.1 20.0 20.0 11.6 7.0 1.3 6.3 2.2 3.7 4.7 0.0 7.6 9.1 11.8 20.0 -20.0 2.3 -20.0 -3.8 GASOLINE -5.6 4.6 20.0 7.5 0.9 6.5 1.5 3.9 4.7 -19.1 20.0 -11.6 7.8 0.7 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -13.3 20.0 4.9 -20.0 7.2 -6.5 10.0 -4.5 10.1 1.0 20.0 -20.0 -20.0 -20.0 -2.5 20.0 11.8 20.0 4.9 GAS_US_mini -5.0 -4.7 10.5 7.3 0.9 6.4 1.5 3.8 4.6 -1.3 -20.0 -15.7 -20.0 -20.0 -17.5 -20.0 -20.0 -20.0 -20.0 -12.5 -20.0 -4.9 -20.0 -10.7 20.0 -2.0 1.6 -2.4 -1.5 -4.7 -2.8 -20.0 11.3 -20.0 -20.0 -20.0 -0.2 6.0 -8.0 0.1 GBP -20.0 -20.0 -4.2 -4.0 -5.0 0.7 -6.7 2.8 -6.4 -14.0 0.3 -20.0 11.8 -20.0 -19.0 -0.5 -0.7 -0.2 -0.4 -20.0 -6.5 -20.0 3.1 -20.0 -0.6 -6.6 -5.8 -1.9 -9.3 0.0 -9.6 2.8 -20.0 -20.0 -19.0 -12.6 -1.9 13.4 3.5 20.0 GOLD_micro -4.2 -8.4 -15.7 -3.9 -4.1 -1.5 -6.1 1.0 -4.7 -20.0 -14.1 -20.0 4.5 -17.9 -18.8 -19.5 -14.3 -18.5 -16.6 -19.6 -14.1 -20.0 -2.7 -20.0 -11.0 -4.6 -20.0 -2.4 -17.5 0.8 -8.3 -19.3 -20.0 -17.7 -7.8 -10.5 -15.2 -20.0 -8.6 -20.0 HEATOIL 0.5 15.3 20.0 6.6 0.8 5.8 1.4 3.4 4.2 0.2 17.7 7.8 5.5 13.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 8.2 20.0 20.0 -20.0 7.5 0.9 8.0 1.1 6.1 3.7 2.3 -5.5 -15.0 -0.1 20.0 4.7 -2.0 0.5 -5.4 JGB-SGX-mini -7.2 -13.9 -20.0 -3.6 -5.0 -3.0 -4.7 -3.0 -4.1 -8.3 0.9 -9.9 4.9 -10.4 -10.9 20.0 20.0 17.3 17.2 -9.5 -4.6 -8.6 1.3 -9.4 -0.6 -3.6 -4.0 -2.1 -3.5 -0.7 -3.6 20.0 13.1 8.4 4.1 3.5 -11.9 -10.4 10.2 9.4 JPY -3.8 -15.2 -15.5 -2.7 -3.3 0.5 -4.5 1.9 -4.2 -11.3 -15.6 -14.1 -14.4 -15.3 -15.7 -18.2 -14.6 -17.2 -16.2 -20.0 -20.0 -14.4 -20.0 -17.8 20.0 -5.7 -3.4 -5.9 -4.2 -5.7 -4.9 -20.0 -6.3 -7.9 -13.2 -20.0 -5.0 -20.0 -2.7 -20.0 LEANHOG 1.3 2.3 16.4 -2.2 -0.7 -1.5 -3.4 -2.0 -3.7 -2.4 -1.3 -4.8 -4.7 -2.5 4.4 20.0 20.0 20.0 20.0 -0.3 -2.9 -1.8 -7.4 -1.4 12.0 -1.4 2.4 -4.5 -1.0 -8.0 -1.0 20.0 5.4 12.7 -0.2 -0.0 -10.5 -0.7 13.6 20.0 LIVECOW 8.6 -8.2 9.2 -4.5 -1.4 -3.1 -7.0 -4.2 -7.7 -2.3 20.0 12.5 20.0 16.5 20.0 -20.0 -1.9 -20.0 -5.9 20.0 20.0 6.5 20.0 17.6 2.0 8.9 -0.6 11.8 1.7 12.7 5.8 -7.8 19.5 20.0 20.0 20.0 -20.0 -20.0 -20.0 -20.0 LUMBER-new -3.5 -6.4 -4.0 -4.5 -1.4 -2.9 -6.9 -3.1 -7.6 15.3 -20.0 -1.1 -20.0 -17.4 -20.0 -17.6 -14.1 -16.2 -14.9 -17.1 -16.7 -0.3 -13.9 -12.1 NaN -7.0 7.4 -5.9 0.3 -4.0 -5.2 -20.0 13.1 10.5 -3.6 -15.5 -14.4 -20.0 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4.3 20.0 15.4 -0.3 -15.8 0.0 -14.7 5.5 7.5 OAT -14.2 -6.8 -3.6 -3.1 -4.4 -2.6 -4.1 -2.6 -3.6 -8.9 -7.7 -9.8 -8.9 -9.4 -8.6 6.4 8.2 6.3 7.0 -8.4 -6.8 -14.7 -9.3 -11.5 8.6 -3.1 -7.3 -2.1 -5.9 -2.5 -4.4 17.4 -6.2 -1.4 2.8 4.4 -20.0 -20.0 -4.1 6.2 OATIES -20.0 -9.1 20.0 -2.3 -0.7 -1.6 -3.5 -2.1 -3.9 -1.8 7.0 -7.5 -1.3 -7.4 3.3 -15.9 -6.1 -16.7 -13.4 0.6 10.0 -12.8 8.6 -12.7 -20.0 0.3 0.5 2.3 -2.9 1.9 -2.8 -20.0 -20.0 -20.0 6.2 20.0 6.4 14.6 20.0 20.0 OJ 10.0 3.9 14.9 -4.0 -1.3 -2.8 -6.2 -3.7 -6.8 8.7 20.0 17.7 20.0 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 2.3 9.5 4.5 10.7 6.5 20.0 20.0 20.0 20.0 20.0 4.7 6.0 20.0 18.6 PALLAD 9.0 6.6 -6.9 -2.5 -2.6 -1.0 -3.8 0.6 -2.9 5.0 -14.7 5.9 -16.1 -1.6 -10.7 -3.0 -2.6 -2.9 -2.8 -6.3 -17.3 2.0 -20.0 -0.1 -0.4 -2.0 4.8 -4.8 1.1 -6.9 0.1 2.4 6.8 11.4 9.0 -12.1 -12.8 -5.6 5.0 -1.2 PLAT -5.1 3.1 -11.6 -2.2 -2.3 -0.9 -3.5 0.6 -2.6 -6.1 -10.8 -8.6 -3.5 -6.3 -9.1 -3.7 -2.4 -3.5 -3.0 -6.6 -7.7 -7.8 -5.5 -5.8 14.2 0.0 -4.2 -0.9 -3.0 -0.8 -0.3 2.5 1.0 -1.8 10.3 -5.9 0.1 -18.4 11.3 -14.6 REDWHEAT -5.6 -20.0 -12.9 -3.2 -1.0 -2.2 -4.9 -2.9 -5.4 -15.2 -14.4 -15.7 -16.1 -17.2 -17.1 -3.9 1.1 -2.9 -0.7 -20.0 -17.0 -19.3 -12.6 -18.9 -16.7 -5.4 -8.6 -4.1 -6.9 -2.4 -6.0 -3.6 -16.5 2.4 -19.3 -17.0 -20.0 -19.2 -17.7 -9.0 RICE -16.5 2.3 10.3 -3.2 -1.0 -2.3 -5.0 -3.0 -5.5 13.0 7.6 -2.4 3.9 -2.9 7.8 -16.7 13.6 -4.4 10.6 5.4 6.4 3.5 3.9 1.6 -20.0 1.1 4.8 2.2 1.5 1.4 -0.6 19.9 17.4 -1.6 9.5 8.3 -5.7 -19.9 11.9 -9.3 ROBUSTA -1.4 -7.4 0.8 -3.3 -1.0 -2.3 -5.1 -3.1 -5.6 -12.2 11.9 -8.4 13.5 -0.8 -3.2 20.0 20.0 20.0 20.0 3.2 13.2 -6.8 20.0 -1.8 -17.8 1.3 -3.5 6.6 -3.9 11.1 -1.3 20.0 3.6 15.8 5.9 0.6 -0.1 -13.3 20.0 -3.3 RUSSELL -20.0 -20.0 2.6 -4.1 -4.9 -1.1 -7.0 1.2 -6.1 -7.7 -4.7 -14.9 -3.4 -17.0 -11.0 -8.4 -6.1 -8.0 -7.2 -17.9 -6.4 -20.0 -2.9 -20.0 -3.1 -3.8 -1.9 -0.4 -6.0 1.0 -6.4 -1.2 -4.9 -1.5 -7.2 12.8 -11.1 -11.5 -20.0 -17.5 SHATZ -18.5 -4.5 -11.9 -2.7 -3.8 -2.3 -3.6 -2.3 -3.1 -5.9 -7.6 -7.2 -8.3 -7.4 -7.4 -20.0 -9.6 -20.0 -16.6 -9.2 -10.2 -7.8 -15.3 -9.7 11.3 -2.8 -2.1 -2.6 -2.7 -3.6 -3.2 -17.7 5.9 0.3 2.6 -0.7 -20.0 -20.0 -20.0 -20.0 SILVER-mini -11.4 -4.8 -5.8 -2.7 -11.1 -1.0 -6.4 0.7 -3.5 -5.7 -0.9 -9.1 4.5 -8.8 -8.9 -8.5 -6.2 -7.6 -7.0 -6.5 -3.3 -8.6 0.3 -7.4 7.8 0.5 -7.0 1.3 -2.9 1.5 -0.6 -4.2 3.6 -3.7 6.1 8.2 -19.0 -20.0 -7.0 -20.0 SMI 2.9 -5.4 -10.4 -4.4 -5.3 -1.2 -7.6 1.3 -6.6 -14.5 1.1 -11.8 5.6 -7.1 -10.7 2.9 1.2 -0.1 -0.3 -5.8 -4.0 -11.3 -0.3 -6.0 5.9 -1.7 -11.3 -1.4 -7.5 -1.7 -2.9 10.9 19.3 16.0 20.0 -2.6 -6.3 -15.3 -12.1 -12.9 SOFR -9.5 -14.4 -17.8 -3.8 -5.4 -3.2 -5.0 -3.2 -4.4 -8.6 -10.0 -10.5 -6.6 -10.8 -11.0 -2.1 -1.1 -2.0 -1.6 -14.0 -12.3 -13.0 -10.0 -13.6 -1.9 -4.1 -3.8 -3.6 -4.6 -2.8 -4.3 1.8 2.1 5.6 2.5 -2.2 -20.0 -20.0 -10.1 -5.1 SOYBEAN -16.0 -0.4 10.1 -2.4 -0.7 -1.7 -3.7 -2.2 -4.1 0.1 5.7 -8.1 1.4 -7.5 4.4 9.0 17.9 9.6 13.1 -1.0 2.4 -5.4 1.2 -6.4 -20.0 -0.3 0.3 1.1 -2.1 0.8 -2.6 20.0 -1.8 -1.3 1.7 20.0 -15.2 1.8 -11.7 10.2 SOYMEAL -10.4 -1.7 -0.3 -2.6 -0.8 -1.8 -4.0 -2.4 -4.4 0.6 -6.0 -8.5 2.2 -7.3 -4.2 11.6 18.1 12.1 15.9 -4.0 -2.3 -5.0 1.5 -6.2 -20.0 -0.8 -0.1 1.3 -2.3 3.8 -2.8 20.0 1.0 -0.6 1.7 11.3 -20.0 -20.0 -20.0 -18.7 SOYOIL -20.0 -7.3 19.3 -2.5 -0.8 -1.8 -3.9 -2.3 -4.3 -11.4 8.1 -12.4 0.4 -11.3 6.0 14.6 11.8 14.0 12.1 -1.8 5.8 -18.9 4.3 -13.9 -20.0 -0.9 -6.2 1.6 -6.5 1.2 -4.7 15.4 -20.0 -10.3 -1.2 20.0 -0.3 6.4 20.0 20.0 SP400 -20.0 -20.0 2.9 -3.7 -4.5 -1.0 -6.4 1.1 -5.6 -6.2 -1.2 -13.6 4.8 -15.3 -7.6 -4.7 -5.0 -5.5 -5.4 -14.2 -3.6 -18.8 1.5 -20.0 -12.0 -3.0 -2.5 0.0 -5.9 1.5 -5.6 1.2 -4.1 -0.1 -3.1 16.5 -4.9 -12.8 -18.3 -20.0 SP500_micro -20.0 -20.0 1.1 -3.6 -4.3 -1.0 -6.2 1.0 -5.4 -11.9 8.3 -13.8 9.5 -13.0 -5.2 -11.3 -9.6 -12.0 -11.2 -8.0 4.7 -20.0 9.4 -19.6 -17.2 -2.2 -6.0 2.3 -7.8 4.1 -6.1 -7.6 -20.0 -8.7 -3.8 20.0 -6.6 -13.1 -13.3 -19.0 SUGAR11 10.1 12.3 3.4 -3.8 -1.2 -2.7 -5.9 -3.5 -6.5 -4.7 17.7 4.5 17.6 14.4 16.1 11.2 10.9 3.8 5.5 20.0 20.0 3.4 20.0 17.9 -20.0 5.9 0.0 7.6 -0.0 11.0 3.9 10.2 9.7 20.0 20.0 4.0 -20.0 -20.0 9.0 -0.4 US10 -10.7 -14.2 -20.0 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-2.5 -3.9 -4.0 -8.4 -0.9 -3.8 -3.8 -15.6 -20.0 20.0 20.0 US5 -8.9 -12.4 -20.0 -3.4 -4.8 -2.8 -4.4 -2.8 -3.9 -6.4 -10.5 -9.3 -10.3 -10.2 -10.8 -15.1 -10.6 -14.6 -13.3 -14.9 -15.6 -11.8 -16.5 -13.4 4.4 -3.9 -2.8 -3.9 -3.9 -3.9 -3.8 -16.5 1.3 5.2 1.7 -4.6 -20.0 -20.0 -2.9 -18.0 VIX 7.8 9.3 -1.9 -5.0 5.5 -10.0 6.2 -12.7 0.8 9.3 -20.0 11.0 -20.0 -5.0 -16.2 -17.9 -20.0 -20.0 -20.0 -14.7 -20.0 12.8 -20.0 0.3 NaN -5.7 6.2 -11.5 6.9 -15.3 0.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -7.1 -20.0 -13.8 -2.3 -0.7 -1.6 -3.6 -2.1 -3.9 0.1 -11.7 -5.5 -12.7 -11.3 -12.4 -11.0 -9.8 -11.3 -10.8 -15.5 -15.6 -3.7 -15.6 -10.8 -4.3 -3.8 -0.4 -3.5 -1.1 -3.2 -3.0 -20.0 7.7 4.4 -12.8 -6.5 -20.0 -13.6 -20.0 -9.5 End of report for caleb_strategy_v3