******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231016_204333 produced at 2023-10-16 21:39:07.690415 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 0.09 0.00 -1.11 0.0 0.00 0.00 0.00 0.00 -12.90 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.23 0.0 0.00 0.00 0.00 0.00 -3.18 13.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.19 -0.23 0.0 0.19 -0.19 -0.19 -0.19 -7.28 6.0 -6 -6 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.17 0.0 0.00 0.00 0.00 0.00 -4.26 24.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.30 -0.17 0.0 0.65 -0.65 -0.30 -0.30 -3.47 13.0 -6 -6 caleb_strategy_v3 CAD False False 0.03 -0.05 -0.13 0.0 0.76 -0.76 -0.05 -0.05 -4.91 29.0 -2 -2 caleb_strategy_v3 JPY False False 0.03 -0.21 -0.12 0.0 0.52 -0.52 -0.21 -0.21 -3.98 17.0 -7 -7 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.11 0.0 0.11 -0.11 -0.11 -0.11 -16.19 17.0 -16 -16 caleb_strategy_v3 US5 False False 0.04 -0.15 -0.09 0.0 0.94 -0.94 -0.15 -0.11 -2.36 25.0 -4 -3 caleb_strategy_v3 GOLD_micro False False 0.01 -0.06 -0.09 0.0 0.39 -0.39 -0.06 -0.04 -13.60 56.0 -9 -6 caleb_strategy_v3 EUR False False 0.05 -0.38 -0.08 0.0 0.66 -0.66 -0.38 -0.38 -1.64 14.0 -8 -8 caleb_strategy_v3 SP400 False False 0.09 -0.18 -0.08 0.0 0.18 -0.18 -0.18 -0.18 -0.84 2.0 -2 -2 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.08 0.0 0.21 -0.21 -0.03 -0.04 -24.00 68.0 -9 -12 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.07 0.0 0.40 -0.40 -0.01 -0.01 -11.62 66.0 -1 -1 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -4.92 5.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.06 0.0 0.38 -0.38 0.00 0.00 -7.50 48.0 0 0 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.05 0.0 0.43 -0.43 -0.02 -0.02 -2.24 19.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.65 -0.65 0.00 0.00 -1.25 17.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.00 -0.05 0.0 0.41 -0.41 0.00 0.00 -1.15 10.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.04 0.0 0.20 -0.20 0.00 0.00 -10.09 51.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.04 0.0 0.02 -0.02 0.00 0.00 -7.02 3.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 -0.04 0.0 0.60 -0.60 0.00 0.00 -1.34 22.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.05 -0.03 0.0 0.10 -0.10 -0.05 -0.05 -2.08 8.0 -4 -4 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -3.88 2.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.03 -0.03 0.0 0.25 -0.25 -0.03 -0.03 -2.63 23.0 -3 -3 caleb_strategy_v3 US10U False False 0.04 0.00 -0.03 0.0 0.51 -0.51 0.00 0.00 -0.70 13.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -0.74 2.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.03 0.0 0.11 -0.11 -0.02 -0.02 -2.10 9.0 -2 -2 caleb_strategy_v3 BOBL False False 0.04 -0.04 -0.03 0.0 0.83 -0.83 -0.04 -0.04 -0.63 19.0 -1 -1 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.03 0.0 0.11 -0.11 -0.01 -0.01 -3.33 12.0 -1 -1 caleb_strategy_v3 LIVECOW False False 0.03 0.00 -0.02 0.0 0.46 -0.46 0.00 0.00 -0.88 17.0 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 -1.16 0.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 -0.02 -0.02 0.0 0.12 -0.12 -0.02 -0.02 -0.95 6.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.05 0.00 -0.02 0.0 0.37 -0.37 0.00 0.00 -0.47 8.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.00 -0.02 0.0 0.59 -0.59 0.00 0.00 -2.44 60.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.77 12.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.34 7.0 -1 -1 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 BUXL False False 0.05 -0.05 -0.01 0.0 0.19 -0.19 -0.05 -0.05 -0.14 4.0 -1 -1 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.49 -0.49 0.00 0.00 -0.19 10.0 0 0 caleb_strategy_v3 US20 False False 0.04 -0.08 -0.01 0.0 0.36 -0.36 -0.08 -0.08 -0.37 9.0 -2 -2 caleb_strategy_v3 US30 False False 0.04 -0.08 -0.01 0.0 0.25 -0.25 -0.08 -0.08 -0.27 6.0 -2 -2 caleb_strategy_v3 BITCOIN False True 0.00 -0.03 -0.01 0.0 0.00 -0.03 -0.03 -0.03 -10.43 59.0 -33 -28 caleb_strategy_v3 SOYOIL False False 0.01 -0.01 -0.01 0.0 0.12 -0.12 -0.01 -0.01 -0.45 10.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.02 -0.03 -0.01 0.0 0.17 -0.17 -0.03 -0.03 -0.88 11.0 -2 -2 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 -0.01 0.0 0.19 -0.19 0.00 0.00 -0.65 23.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.05 -0.01 0.0 0.16 -0.16 -0.05 -0.05 -0.55 10.0 -3 -3 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -0.77 4.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.01 0.0 0.45 -0.45 0.00 0.00 -0.27 21.0 0 0 caleb_strategy_v3 GAS_US_mini False True 0.00 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0.27 26.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.00 4.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 -0.00 0.0 0.34 -0.34 0.00 0.00 -0.13 58.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.00 -0.00 0.0 0.39 -0.39 0.00 0.00 -0.03 9.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.09 -0.00 0.0 0.47 -0.47 0.09 0.05 -0.01 10.0 2 1 caleb_strategy_v3 EUROSTX False False 0.02 0.06 0.01 0.0 0.32 -0.32 0.06 0.05 0.78 20.0 4 3 caleb_strategy_v3 COCOA False False 0.01 0.00 0.01 0.0 0.34 -0.34 0.00 0.00 0.44 26.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.27 3.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.02 0.0 0.19 -0.19 0.00 0.00 1.73 18.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.03 0.0 0.12 -0.12 0.00 0.00 1.04 4.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.03 0.04 0.0 0.14 -0.14 0.03 0.03 3.52 13.0 3 3 caleb_strategy_v3 OJ False False 0.02 0.00 0.06 0.0 0.06 -0.06 0.00 0.00 2.94 3.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.08 0.07 0.0 0.28 -0.28 0.08 0.08 8.60 36.0 11 10 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.09 0.0 0.14 -0.14 0.08 0.08 3.20 5.0 3 3 caleb_strategy_v3 DX False False 0.04 0.00 0.12 0.0 38057803.59 -38057803.59 0.00 0.00 3.20 999999999.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.00 0.29 0.0 0.92 -0.92 0.00 0.00 3.21 10.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.42 0.54 0.0 0.56 -0.56 0.42 0.42 15.38 16.0 12 12 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 12.5 Shocked risk 26.7 Sum abs risk 44.5 Leverage 4.90 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2786156.58, 'annual_cash_vol_target': 696539.145, 'daily_cash_vol_target': 43533.6965625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6354 0.7124 11.3987 BITCOIN 753.6137 28815.0000 2.6154 41.8456 BOBL 0.2892 115.9700 0.2494 3.9901 BTP 0.6799 109.5500 0.6207 9.9307 BUND 0.6126 129.0700 0.4746 7.5939 BUXL 1.4620 122.5600 1.1929 19.0868 CAC 58.4225 7052.5000 0.8284 13.2543 CAD 0.0030 0.7350 0.4092 6.5464 CANOLA 7.2284 726.8000 0.9945 15.9127 CHF 0.0050 1.1182 0.4453 7.1246 COCOA 45.3907 3609.0000 1.2577 20.1233 COFFEE 2.4717 154.6500 1.5983 25.5722 COPPER 0.0369 3.5790 1.0298 16.4764 CORN 5.5495 517.2500 1.0729 17.1661 COTTON2 1.0412 85.1400 1.2229 19.5661 CRUDE_W 1.4101 77.5600 1.8180 29.0882 DAX 124.5848 15355.0000 0.8114 12.9818 DOW 211.7471 34175.0000 0.6196 9.9135 DX 0.3936 106.0350 0.3712 5.9395 EUR 0.0052 1.0583 0.4911 7.8569 EURIBOR-ICE 0.0538 97.0150 0.0554 0.8871 EUROSTX 39.7242 4173.0000 0.9519 15.2309 FEEDCOW 1.7060 254.3250 0.6708 10.7325 GASOIL 16.4087 870.0000 1.8861 30.1770 GASOLINE 0.0425 2.2518 1.8878 30.2046 GAS_US_mini 0.0866 3.4700 2.4946 39.9134 GBP 0.0069 1.2217 0.5631 9.0102 GOLD_micro 16.3393 1931.1000 0.8461 13.5378 HEATOIL 0.0504 2.9819 1.6908 27.0534 JGB-SGX-mini 0.2153 145.2800 0.1482 2.3716 JPY 0.0000 0.0068 0.5297 8.4747 LEANHOG 1.3792 73.2250 1.8835 30.1358 LIVECOW 1.2091 186.5500 0.6481 10.3701 LUMBER-new 8.2216 508.5000 1.6168 25.8692 MILK 0.1894 17.4900 1.0829 17.3268 MXP 0.0005 0.0552 0.8778 14.0449 NASDAQ_micro 138.5772 15316.5000 0.9048 14.4761 NIKKEI 340.7360 31965.0000 1.0660 17.0555 NZD 0.0042 0.5928 0.7167 11.4668 OAT 0.6237 123.4000 0.5054 8.0863 OATIES 6.9553 404.5000 1.7195 27.5116 OJ 4.2293 370.9000 1.1403 18.2444 PALLAD 20.5103 1151.0000 1.7820 28.5112 PLAT 13.7075 899.2000 1.5244 24.3905 REDWHEAT 11.0834 678.5000 1.6335 26.1362 RICE 0.1544 16.4500 0.9386 15.0175 ROBUSTA 26.9364 2297.0000 1.1727 18.7628 RUSSELL 18.9155 1759.2000 1.0752 17.2037 SHATZ 0.0827 105.0300 0.0787 1.2599 SILVER-mini 0.3731 22.9875 1.6230 25.9672 SMI 76.1190 10917.0000 0.6973 11.1560 SOFR 0.0742 95.9100 0.0774 1.2382 SOYBEAN 11.3545 1254.0000 0.9055 14.4874 SOYMEAL 4.7821 381.2000 1.2545 20.0718 SOYOIL 0.8244 54.5500 1.5113 24.1810 SP400 23.4901 2499.5000 0.9398 15.0367 SP500_micro 31.8059 4406.5000 0.7218 11.5487 SUGAR11 0.3356 25.7200 1.3048 20.8769 US10 0.4600 107.2031 0.4291 6.8651 US10U 0.6621 110.3125 0.6002 9.6038 US2 0.1062 101.2422 0.1049 1.6790 US20 1.0555 111.3750 0.9477 15.1629 US30 1.5435 115.4375 1.3371 21.3928 US5 0.2838 104.8906 0.2706 4.3288 VIX 0.6647 18.4500 3.6028 57.6446 WHEAT 9.7815 663.2500 1.4748 23.5964 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 635.40 0.71 452.67 1.00 452.67 43533.7 96.17 -8.99 -86.46 BITCOIN 28.82 2.62 75.36 1.00 75.36 43533.7 577.67 -1.67 -96.35 BOBL 1159.70 0.25 289.20 1.05 304.94 43533.7 142.76 -4.36 -62.26 BTP 1095.50 0.62 679.94 1.05 716.93 43533.7 60.72 -5.57 -33.80 BUND 1290.70 0.47 612.59 1.05 645.92 43533.7 67.40 -2.83 -19.09 BUXL 1225.60 1.19 1462.05 1.05 1541.59 43533.7 28.24 -5.03 -14.19 CAC 705.25 0.83 584.23 1.05 616.01 43533.7 70.67 -3.21 -22.72 CAD 734.95 0.41 300.71 1.00 300.71 43533.7 144.77 -13.07 -189.29 CANOLA 145.36 0.99 144.57 0.73 105.61 43533.7 412.22 -10.06 -414.66 CHF 1397.75 0.45 622.40 1.00 622.40 43533.7 69.94 -19.10 -133.56 COCOA 360.90 1.26 453.91 1.00 453.91 43533.7 95.91 2.13 20.48 COFFEE 579.94 1.60 926.89 1.00 926.89 43533.7 46.97 -17.28 -81.17 COPPER 894.75 1.03 921.39 1.00 921.39 43533.7 47.25 -14.22 -67.19 CORN 258.62 1.07 277.47 1.00 277.47 43533.7 156.89 -8.71 -136.67 COTTON2 425.70 1.22 520.58 1.00 520.58 43533.7 83.63 -4.92 -41.18 CRUDE_W 775.60 1.82 1410.05 1.00 1410.05 43533.7 30.87 9.58 29.58 DAX 153.55 0.81 124.58 1.05 131.36 43533.7 331.40 -0.12 -3.90 DOW 170.88 0.62 105.87 1.00 105.87 43533.7 411.19 -12.15 -499.78 DX 1060.35 0.37 393.62 1.00 393.62 43533.7 110.60 11.16 123.37 EUR 1322.88 0.49 649.61 1.00 649.61 43533.7 67.02 -9.41 -63.07 EURIBOR-ICE 2425.38 0.06 134.47 1.05 141.79 43533.7 307.03 3.06 94.01 EUROSTX 417.30 0.95 397.24 1.05 418.85 43533.7 103.94 2.19 22.74 FEEDCOW 1271.62 0.67 852.98 1.00 852.98 43533.7 51.04 -2.78 -14.18 GASOIL 870.00 1.89 1640.87 1.00 1640.87 43533.7 26.53 9.04 23.99 GASOLINE 945.76 1.89 1785.39 1.00 1785.39 43533.7 24.38 -0.00 -0.00 GAS_US_mini 86.75 2.49 216.41 1.00 216.41 43533.7 201.17 0.13 2.52 GBP 763.56 0.56 429.99 1.00 429.99 43533.7 101.24 -5.09 -51.49 GOLD_micro 193.11 0.85 163.39 1.00 163.39 43533.7 266.44 -14.97 -398.78 HEATOIL 1252.40 1.69 2117.60 1.00 2117.60 43533.7 20.56 3.04 6.24 JGB-SGX-mini 145280.00 0.15 21533.93 0.01 143.87 43533.7 302.59 4.69 142.02 JPY 844.12 0.53 447.11 1.00 447.11 43533.7 97.37 -15.75 -153.38 LEANHOG 292.90 1.88 551.67 1.00 551.67 43533.7 78.91 7.34 57.95 LIVECOW 746.20 0.65 483.63 1.00 483.63 43533.7 90.01 -2.95 -26.55 LUMBER-new 139.84 1.62 226.09 1.00 226.09 43533.7 192.55 -17.13 -329.92 MILK 349.80 1.08 378.81 1.00 378.81 43533.7 114.92 -20.00 -229.85 MXP 275.90 0.88 242.19 1.00 242.19 43533.7 179.75 -0.92 -16.60 NASDAQ_micro 306.33 0.90 277.15 1.00 277.15 43533.7 157.07 -7.20 -113.12 NIKKEI 31965.00 1.07 34073.60 0.01 227.65 43533.7 191.23 4.15 79.40 NZD 592.80 0.72 424.85 1.00 424.85 43533.7 102.47 -1.02 -10.50 OAT 1234.00 0.51 623.66 1.05 657.58 43533.7 66.20 -0.06 -0.40 OATIES 202.25 1.72 347.76 1.00 347.76 43533.7 125.18 -12.74 -159.53 OJ 556.35 1.14 634.39 1.00 634.39 43533.7 68.62 20.00 137.25 PALLAD 1151.00 1.78 2051.03 1.00 2051.03 43533.7 21.23 -10.17 -21.59 PLAT 449.60 1.52 685.37 1.00 685.37 43533.7 63.52 -2.53 -16.07 REDWHEAT 339.25 1.63 554.17 1.00 554.17 43533.7 78.56 -20.00 -157.11 RICE 329.00 0.94 308.80 1.00 308.80 43533.7 140.98 -2.23 -31.45 ROBUSTA 229.70 1.17 269.36 1.00 269.36 43533.7 161.62 -3.43 -55.40 RUSSELL 87.96 1.08 94.58 1.00 94.58 43533.7 460.30 -15.73 -724.11 SHATZ 1050.30 0.08 82.70 1.05 87.20 43533.7 499.22 -8.42 -420.54 SILVER-mini 574.69 1.62 932.69 1.00 932.69 43533.7 46.68 -7.26 -33.90 SMI 1091.70 0.70 761.19 1.10 839.10 43533.7 51.88 -0.20 -1.01 SOFR 2397.75 0.08 185.56 1.00 185.56 43533.7 234.61 -9.04 -212.20 SOYBEAN 627.00 0.91 567.73 1.00 567.73 43533.7 76.68 -4.70 -36.07 SOYMEAL 381.20 1.25 478.21 1.00 478.21 43533.7 91.03 -8.28 -75.41 SOYOIL 327.30 1.51 494.65 1.00 494.65 43533.7 88.01 -5.53 -48.63 SP400 2499.50 0.94 2349.01 1.00 2349.01 43533.7 18.53 -13.65 -25.30 SP500_micro 220.32 0.72 159.03 1.00 159.03 43533.7 273.75 -11.79 -322.61 SUGAR11 288.06 1.30 375.87 1.00 375.87 43533.7 115.82 7.03 81.39 US10 1072.03 0.43 459.97 1.00 459.97 43533.7 94.64 -10.41 -98.54 US10U 1103.12 0.60 662.14 1.00 662.14 43533.7 65.75 -8.43 -55.43 US2 2024.84 0.10 212.48 1.00 212.48 43533.7 204.89 -12.24 -250.74 US20 1113.75 0.95 1055.48 1.00 1055.48 43533.7 41.25 -7.14 -29.43 US30 1154.38 1.34 1543.46 1.00 1543.46 43533.7 28.21 -7.44 -20.98 US5 1048.91 0.27 283.78 1.00 283.78 43533.7 153.40 -12.12 -185.87 VIX 184.50 3.60 664.71 1.00 664.71 43533.7 65.49 -10.01 -65.58 WHEAT 331.62 1.47 489.07 1.00 489.07 43533.7 89.01 -17.80 -158.45 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -86.458 0.010 2.5 -2.243 BITCOIN -96.346 0.043 2.5 -10.434 BOBL -62.263 0.004 2.5 -0.631 BTP -33.799 0.014 2.5 -1.153 BUND -19.095 0.004 2.5 -0.194 BUXL -14.195 0.004 2.5 -0.144 CAC -22.720 0.014 2.5 -0.775 CAD -189.287 0.010 2.5 -4.912 CANOLA -414.657 0.010 2.5 -10.089 CHF -133.564 0.010 2.5 -3.466 COCOA 20.476 0.009 2.5 0.439 COFFEE -81.172 0.005 2.5 -0.948 COPPER -67.187 0.043 2.5 -7.276 CORN -136.667 0.010 2.5 -3.325 COTTON2 -41.185 0.009 2.5 -0.882 CRUDE_W 29.578 0.043 2.5 3.203 DAX -3.896 0.014 2.5 -0.133 DOW -499.784 0.009 2.5 -11.616 DX 123.373 0.010 2.5 3.201 EUR -63.072 0.010 2.5 -1.637 EURIBOR-ICE 94.007 0.014 2.5 3.207 EUROSTX 22.740 0.014 2.5 0.776 FEEDCOW -14.177 0.013 2.5 -0.470 GASOIL 23.992 0.017 2.5 1.040 GASOLINE -0.004 0.017 2.5 -0.000 GAS_US_mini 2.518 0.043 2.5 0.273 GBP -51.493 0.010 2.5 -1.336 GOLD_micro -398.778 0.014 2.5 -13.602 HEATOIL 6.241 0.017 2.5 0.271 JGB-SGX-mini 142.022 0.043 2.5 15.380 JPY -153.382 0.010 2.5 -3.980 LEANHOG 57.951 0.024 2.5 3.522 LIVECOW -26.548 0.013 2.5 -0.880 LUMBER-new -329.916 0.009 2.5 -7.017 MILK -229.846 0.009 2.5 -4.923 MXP -16.599 0.059 2.5 -2.436 NASDAQ_micro -113.120 0.009 2.5 -2.629 NIKKEI 79.403 0.043 2.5 8.599 NZD -10.501 0.010 2.5 -0.272 OAT -0.404 0.014 2.5 -0.014 OATIES -159.531 0.010 2.5 -3.881 OJ 137.246 0.009 2.5 2.940 PALLAD -21.590 0.014 2.5 -0.736 PLAT -16.075 0.014 2.5 -0.548 REDWHEAT -157.113 0.005 2.5 -2.084 RICE -31.451 0.010 2.5 -0.765 ROBUSTA -55.399 0.005 2.5 -0.647 RUSSELL -724.115 0.013 2.5 -23.997 SHATZ -420.545 0.004 2.5 -4.265 SILVER-mini -33.901 0.014 2.5 -1.156 SMI -1.013 0.014 2.5 -0.035 SOFR -212.197 0.024 2.5 -12.897 SOYBEAN -36.066 0.004 2.5 -0.335 SOYMEAL -75.407 0.004 2.5 -0.701 SOYOIL -48.629 0.004 2.5 -0.453 SP400 -25.296 0.013 2.5 -0.838 SP500_micro -322.614 0.009 2.5 -7.498 SUGAR11 81.393 0.009 2.5 1.731 US10 -98.539 0.005 2.5 -1.249 US10U -55.426 0.005 2.5 -0.702 US2 -250.737 0.005 2.5 -3.177 US20 -29.431 0.005 2.5 -0.373 US30 -20.983 0.005 2.5 -0.266 US5 -185.868 0.005 2.5 -2.355 VIX -65.583 0.099 2.5 -16.190 WHEAT -158.447 0.005 2.5 -2.102 ===================== Position diags ===================== AUD 2.50 BITCOIN 62.56 BOBL 1.45 BTP 2.07 BUND 0.68 BUXL 0.29 CAC 2.41 CAD 3.76 CANOLA 10.03 CHF 1.81 COCOA 2.05 COFFEE 0.55 COPPER 5.12 CORN 3.82 COTTON2 1.79 CRUDE_W 3.34 DAX 11.30 DOW 9.56 DX 2.87 EUR 1.74 EURIBOR-ICE 10.47 EUROSTX 3.55 FEEDCOW 1.69 GASOIL 1.15 GASOLINE 1.06 GAS_US_mini 21.78 GBP 2.63 GOLD_micro 9.09 HEATOIL 0.89 JGB-SGX-mini 32.77 JPY 2.53 LEANHOG 4.80 LIVECOW 2.98 LUMBER-new 4.10 MILK 2.46 MXP 26.38 NASDAQ_micro 3.65 NIKKEI 20.71 NZD 2.66 OAT 2.26 OATIES 3.05 OJ 1.47 PALLAD 0.72 PLAT 2.17 REDWHEAT 1.04 RICE 3.43 ROBUSTA 1.89 RUSSELL 15.25 SHATZ 5.06 SILVER-mini 1.59 SMI 1.77 SOFR 14.26 SOYBEAN 0.71 SOYMEAL 0.85 SOYOIL 0.82 SP400 0.61 SP500_micro 6.36 SUGAR11 2.46 US10 1.20 US10U 0.83 US2 2.60 US20 0.52 US30 0.36 US5 1.94 VIX 16.17 WHEAT 1.18 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.2 -2.5 -2.0 -1.0 -1 BITCOIN -10.4 -16.7 -4.2 -33.0 -33 BOBL -0.6 -0.8 -0.5 -1.0 -1 BTP -1.2 -1.4 -0.9 0.0 0 BUND -0.2 -0.3 -0.1 0.0 0 BUXL -0.1 -0.2 -0.1 -1.0 -1 CAC -0.8 -1.0 -0.5 0.0 0 CAD -4.9 -5.3 -4.5 -2.0 -2 CANOLA -10.1 -11.1 -9.1 NaN 0 CHF -3.5 -3.6 -3.3 -6.0 -6 COCOA 0.4 0.2 0.6 0.0 0 COFFEE -0.9 -1.0 -0.9 -1.0 -1 COPPER -7.3 -7.8 -6.8 -6.0 -6 CORN -3.3 -3.7 -2.9 -1.0 -1 COTTON2 -0.9 -1.1 -0.7 -2.0 -2 CRUDE_W 3.2 2.9 3.5 3.0 3 DAX -0.1 -1.3 1.0 0.0 0 DOW -11.6 -12.6 -10.7 -1.0 -1 DX 3.2 2.9 3.5 NaN 0 EUR -1.6 -1.8 -1.5 -8.0 -8 EURIBOR-ICE 3.2 2.2 4.3 0.0 0 EUROSTX 0.8 0.4 1.1 4.0 4 FEEDCOW -0.5 -0.6 -0.3 0.0 0 GASOIL 1.0 0.9 1.2 0.0 0 GASOLINE -0.0 -0.1 0.1 0.0 0 GAS_US_mini 0.3 -1.9 2.5 0.0 0 GBP -1.3 -1.6 -1.1 0.0 0 GOLD_micro -13.6 -14.5 -12.7 -9.0 -9 HEATOIL 0.3 0.2 0.4 0.0 0 JGB-SGX-mini 15.4 12.1 18.7 12.0 12 JPY -4.0 -4.2 -3.7 -7.0 -7 LEANHOG 3.5 3.0 4.0 3.0 3 LIVECOW -0.9 -1.2 -0.6 0.0 0 LUMBER-new -7.0 -7.4 -6.6 NaN 0 MILK -4.9 -5.2 -4.7 NaN 0 MXP -2.4 -5.1 0.2 0.0 0 NASDAQ_micro -2.6 -3.0 -2.3 -3.0 -3 NIKKEI 8.6 6.5 10.7 11.0 11 NZD -0.3 -0.5 -0.0 0.0 0 OAT -0.0 -0.2 0.2 2.0 2 OATIES -3.9 -4.2 -3.6 NaN 0 OJ 2.9 2.8 3.1 NaN 0 PALLAD -0.7 -0.8 -0.7 -1.0 -1 PLAT -0.5 -0.8 -0.3 -3.0 -3 REDWHEAT -2.1 -2.2 -2.0 -4.0 -4 RICE -0.8 -1.1 -0.4 NaN 0 ROBUSTA -0.6 -0.8 -0.5 0.0 0 RUSSELL -24.0 -25.5 -22.5 -9.0 -9 SHATZ -4.3 -4.8 -3.8 NaN 0 SILVER-mini -1.2 -1.3 -1.0 NaN 0 SMI -0.0 -0.2 0.1 0.0 0 SOFR -12.9 -14.3 -11.5 NaN 0 SOYBEAN -0.3 -0.4 -0.3 -1.0 -1 SOYMEAL -0.7 -0.8 -0.6 0.0 0 SOYOIL -0.5 -0.5 -0.4 -1.0 -1 SP400 -0.8 -0.9 -0.8 -2.0 -2 SP500_micro -7.5 -8.1 -6.9 0.0 0 SUGAR11 1.7 1.5 2.0 0.0 0 US10 -1.2 -1.4 -1.1 NaN 0 US10U -0.7 -0.8 -0.6 0.0 0 US2 -3.2 -3.4 -2.9 NaN 0 US20 -0.4 -0.4 -0.3 -2.0 -2 US30 -0.3 -0.3 -0.2 -2.0 -2 US5 -2.4 -2.5 -2.2 -4.0 -4 VIX -16.2 -17.8 -14.6 -16.0 -16 WHEAT -2.1 -2.2 -2.0 -2.0 -2 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.8 3.8 3.7 1.3 1.0 3.1 1.3 4.2 1.3 1.0 3.1 1.3 3.4 1.3 1.2 2.3 2.3 2.3 2.3 1.3 1.3 1.0 3.1 1.3 0.0 1.3 1.0 3.1 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 -0.1 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.4 -0.1 -0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.0 0.0 -0.4 -0.3 -0.7 -0.1 0.1 BITCOIN 0.3 -0.1 -0.3 -0.1 0.0 -0.1 -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 -0.0 0.0 -2.7 -0.0 0.1 -0.1 0.1 -0.0 0.0 -0.0 0.2 0.6 0.2 0.1 -0.1 0.7 -0.1 0.7 BOBL 0.1 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.3 -0.0 -0.0 0.2 -0.1 -0.1 -0.2 -0.0 -0.1 0.0 -0.2 -0.0 1.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.5 0.2 0.3 0.2 0.2 -0.7 -0.7 -0.5 -0.6 BTP -0.4 -0.6 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.0 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.8 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.8 0.0 0.0 0.0 0.1 -0.4 -0.7 -0.0 0.3 BUND -0.0 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 0.0 -0.3 -0.0 -0.1 -0.0 0.1 0.0 0.1 -0.1 -0.1 0.0 -0.2 -0.0 0.8 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.6 0.2 0.2 0.2 0.1 -0.7 -0.7 -0.6 -0.1 BUXL -0.1 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 0.0 -0.3 -0.0 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.1 0.0 -0.3 -0.1 0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.3 0.2 0.1 0.0 0.0 -0.7 -0.7 -0.3 0.7 CAC -0.4 -0.5 -0.4 -0.1 0.0 -0.1 -0.0 0.0 -0.0 -0.1 -0.0 -0.2 0.6 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 0.2 -0.2 -0.7 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 0.2 -0.3 -0.1 0.1 0.2 0.5 0.1 0.7 0.3 CAD -0.1 -0.2 -0.3 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.2 -0.1 -0.5 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.1 0.0 -0.6 -0.7 -0.7 -0.7 -0.7 CANOLA -0.6 -0.6 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.2 0.1 -0.1 0.0 -0.2 -0.1 -0.0 -0.1 -0.2 -2.7 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.3 0.2 -0.4 -0.5 0.3 -0.3 0.0 0.4 0.4 CHF -0.1 -0.6 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.2 -0.2 0.1 0.3 -0.1 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 0.1 -0.0 -0.1 -1.3 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -1.1 0.5 -0.3 -0.6 -0.3 -0.7 -0.7 -0.7 -0.7 COCOA -0.6 -0.5 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.4 -0.0 0.6 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.2 0.1 0.5 -0.0 -1.8 0.0 0.1 0.2 0.0 0.4 -0.0 -0.4 0.5 -0.2 0.5 0.6 0.1 -0.2 0.7 0.1 COFFEE -0.1 0.1 -0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.2 -0.5 -0.1 -0.6 -0.1 -0.2 -0.1 0.0 -0.0 -0.0 -0.1 -0.2 0.1 -0.5 -0.0 -2.7 -0.1 0.1 -0.2 0.1 -0.2 -0.0 -0.1 0.5 0.3 0.2 -0.6 -0.7 -0.7 -0.7 -0.4 COPPER -0.4 -0.3 -0.2 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.4 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 -0.8 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.5 -0.4 -0.1 0.0 0.1 -0.7 0.3 -0.7 CORN 0.4 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.4 0.1 -0.5 0.0 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.5 0.0 -2.1 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.2 0.3 0.6 0.4 -0.3 -0.2 0.0 0.1 0.2 COTTON2 -0.2 -0.0 0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.3 -0.2 -0.3 -0.1 0.1 -0.1 0.1 -0.0 0.0 0.0 0.1 -0.1 0.1 -0.1 -2.7 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.1 -0.3 0.3 0.6 0.6 -0.6 -0.5 0.3 0.3 CRUDE_W -0.6 0.1 0.6 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.3 -0.0 0.2 0.0 0.1 0.4 0.2 0.4 0.3 0.1 0.1 0.0 0.3 0.0 -0.6 0.0 0.0 0.1 -0.0 0.2 0.0 -1.1 0.2 0.3 0.4 0.0 0.7 0.3 0.7 0.3 DAX -0.3 -0.5 -0.5 -0.0 0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.2 -0.1 0.4 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 0.1 -0.1 2.3 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 0.5 0.0 0.7 0.3 DOW -0.5 -0.6 -0.2 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 0.0 0.0 -0.1 -1.3 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.3 0.3 -0.3 -0.3 0.4 -0.5 -0.2 -0.7 -0.3 DX 0.0 0.6 0.6 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.0 0.5 0.1 -0.2 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.3 0.2 -2.7 0.1 0.0 0.1 0.0 0.1 0.1 0.8 0.1 0.6 0.6 0.6 0.1 0.3 0.2 0.7 EUR -0.1 -0.6 -0.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.3 -0.1 0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 1.7 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.4 0.1 -0.2 -0.6 -0.4 -0.3 -0.6 -0.2 -0.1 EURIBOR-ICE 0.2 0.0 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.0 -0.1 -0.2 -0.2 -0.2 -0.0 -0.0 0.0 -0.2 0.0 2.3 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.6 0.2 0.4 0.4 0.3 -0.7 -0.7 0.3 0.5 EUROSTX -0.2 -0.4 -0.5 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.1 -0.1 0.5 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.2 -0.1 0.7 -0.1 -0.0 -0.1 -0.0 0.1 -0.0 0.3 -0.0 0.2 0.1 0.0 0.4 0.1 0.6 0.5 FEEDCOW -0.6 -0.6 0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 0.4 -0.2 0.7 -0.1 0.1 -0.2 -0.4 -0.3 -0.4 0.0 0.2 -0.2 0.5 -0.2 -0.3 0.0 -0.0 0.2 -0.1 0.4 -0.0 -1.1 -0.5 -0.6 0.6 0.6 0.4 -0.2 0.7 0.2 GASOIL -0.6 -0.1 0.6 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.3 -0.0 0.2 -0.0 0.1 0.4 0.4 0.4 0.4 0.1 0.2 0.0 0.3 0.0 1.1 0.0 0.0 0.1 -0.0 0.1 0.0 0.0 -0.0 0.2 0.2 0.5 -0.5 0.1 -0.6 -0.1 GASOLINE -0.6 -0.6 0.3 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.3 -0.1 0.2 -0.1 0.0 0.4 0.4 0.4 0.4 -0.1 0.1 -0.1 0.4 -0.2 -2.7 -0.0 0.0 0.1 -0.0 0.2 -0.1 1.1 -0.0 -0.6 -0.6 -0.5 0.7 0.4 0.7 0.2 GAS_US_mini 0.5 0.2 0.6 0.0 0.0 0.2 -0.0 0.2 -0.0 0.0 -0.5 0.1 -0.7 0.1 -0.1 -0.4 -0.4 -0.4 -0.4 0.0 -0.2 0.1 -0.5 0.1 2.7 0.0 -0.0 0.0 0.1 -0.1 0.1 -1.1 0.5 0.6 -0.2 -0.6 -0.1 0.2 -0.4 0.0 GBP -0.1 -0.6 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.1 0.3 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 0.2 -0.3 -0.6 -0.4 -0.1 0.3 0.1 0.7 GOLD_micro -0.1 -0.1 -0.5 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.3 0.0 0.0 -0.0 -0.1 -0.3 -0.3 -0.4 -0.3 -0.1 -0.1 0.1 -0.1 -0.1 -1.0 -0.0 0.1 -0.1 0.1 -0.0 -0.0 -1.0 0.5 -0.2 -0.1 -0.2 -0.3 -0.7 -0.2 -0.7 HEATOIL -0.6 -0.1 0.6 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.3 -0.0 0.2 -0.0 0.1 0.4 0.4 0.4 0.4 0.1 0.2 0.0 0.4 -0.0 -2.7 0.0 0.0 0.2 -0.0 0.2 -0.0 0.1 0.1 0.1 -0.2 0.5 0.2 -0.1 -0.0 -0.2 JGB-SGX-mini 0.0 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.0 0.1 0.1 -0.0 -0.1 0.4 0.4 0.3 0.3 -0.1 -0.1 0.0 -0.0 -0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 1.1 0.3 0.5 0.3 0.0 -0.2 -0.4 0.4 0.4 JPY -0.0 -0.3 -0.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.5 -0.1 -0.6 -0.2 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 2.7 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -1.1 -0.1 -0.2 -0.3 -0.6 -0.2 -0.7 -0.1 -0.7 LEANHOG -0.4 0.0 0.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.0 0.4 0.4 0.4 0.4 -0.0 -0.0 -0.1 -0.2 -0.1 1.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 1.1 -0.0 -0.1 0.1 -0.0 -0.3 -0.1 0.5 0.7 LIVECOW -0.6 -0.3 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.5 -0.1 0.7 -0.0 0.1 -0.4 -0.1 -0.4 -0.2 0.1 0.2 -0.0 0.5 -0.0 0.1 0.1 -0.0 0.3 -0.0 0.5 -0.0 -0.6 -0.2 -0.0 0.6 0.6 -0.7 -0.7 -0.5 -0.6 LUMBER-new 0.3 -0.2 -0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 -0.6 0.0 -0.7 -0.2 -0.2 -0.3 -0.3 -0.4 -0.3 -0.2 -0.2 -0.0 -0.5 -0.1 NaN -0.1 0.0 -0.2 0.0 -0.2 -0.0 -1.2 0.1 0.6 -0.1 -0.5 -0.5 -0.8 -0.1 -0.7 MILK -0.6 -0.2 0.1 -0.0 -0.0 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-0.1 0.1 0.2 0.1 0.1 -0.1 -0.1 0.0 -0.2 -0.0 1.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.9 0.2 0.2 0.2 0.1 -0.7 -0.7 -0.2 0.3 OATIES -0.6 -0.6 0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.4 -0.1 -0.3 -0.3 -0.1 0.0 -0.2 0.2 -0.2 -2.7 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -1.1 -0.5 -0.6 -0.2 0.3 0.3 0.4 0.7 0.7 OJ 0.6 0.6 0.6 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 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 0.3 0.1 0.4 0.1 1.1 0.5 0.6 0.6 0.6 0.1 0.2 0.6 0.7 PALLAD -0.3 0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.5 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.5 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 0.1 -0.5 -0.2 -0.1 -0.2 -0.3 -0.2 0.0 -0.1 PLAT -0.3 -0.2 -0.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.3 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 1.7 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 -0.0 0.3 0.0 0.0 -0.6 0.3 -0.5 REDWHEAT -0.3 -0.5 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 -0.1 -0.5 -0.1 -0.2 -0.1 0.0 -0.1 -0.0 -0.2 -0.2 -0.1 -0.4 -0.2 -2.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 0.0 -0.4 -0.4 -0.6 -0.7 -0.7 -0.7 -0.3 RICE -0.1 -0.1 0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.2 0.0 0.2 -0.1 0.1 -0.4 0.2 -0.2 0.1 0.0 0.1 0.0 0.1 -0.0 -2.7 0.0 -0.0 0.0 0.0 0.1 -0.0 0.7 0.2 0.5 0.4 0.3 -0.2 -0.7 0.5 -0.3 ROBUSTA -0.6 -0.4 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.3 -0.1 0.5 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 0.1 -0.1 0.5 -0.2 -2.7 -0.0 0.0 0.1 -0.1 0.3 -0.1 1.1 -0.5 -0.5 0.1 -0.3 -0.0 -0.4 0.7 -0.0 RUSSELL -0.3 -0.6 -0.2 -0.0 0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.4 -0.5 -0.3 0.2 -0.4 -0.4 -0.7 -0.7 SHATZ 0.4 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 0.0 -0.3 -0.0 -0.0 -0.4 -0.2 -0.4 -0.4 -0.0 -0.1 0.0 -0.3 -0.0 1.4 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -1.1 0.1 0.5 0.2 0.2 -0.7 -0.7 -0.7 -0.7 SILVER-mini -0.4 -0.4 -0.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.0 0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 0.8 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.2 0.2 -0.1 0.1 0.2 -0.5 -0.7 -0.2 -0.7 SMI -0.2 -0.1 -0.3 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.2 -0.1 -0.1 0.1 0.0 0.0 0.0 -0.1 -0.1 -0.0 -0.0 -0.1 0.8 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.6 0.0 0.4 0.4 0.1 -0.2 -0.5 -0.3 -0.3 SOFR 0.0 -0.2 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 0.1 0.2 0.0 -0.7 -0.7 -0.2 -0.2 SOYBEAN -0.3 -0.3 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.2 -0.1 0.1 -0.1 -0.0 0.2 0.4 0.2 0.3 -0.1 -0.0 -0.1 0.0 -0.1 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.0 0.1 0.1 0.4 -0.7 -0.1 -0.6 0.2 SOYMEAL -0.2 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 -0.0 0.0 -0.1 -0.1 0.2 0.3 0.2 0.3 -0.1 -0.1 0.0 -0.0 -0.1 -2.7 -0.0 0.0 -0.0 0.0 0.1 -0.0 1.1 0.4 0.2 0.2 0.2 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.6 -0.6 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.1 -0.1 -0.0 -0.1 -0.1 0.3 0.2 0.3 0.2 -0.1 -0.0 -0.1 0.0 -0.2 -2.7 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.9 -0.2 -0.6 -0.5 0.2 -0.1 0.2 0.6 0.7 SP400 -0.3 -0.6 -0.3 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.2 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.0 -0.1 -1.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.2 -0.3 -0.2 0.3 -0.2 -0.4 -0.6 -0.7 SP500_micro -0.4 -0.6 -0.4 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.1 0.1 -0.0 0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 0.0 0.2 -0.1 -2.3 -0.0 0.0 0.0 0.0 0.1 -0.0 -0.4 0.3 -0.1 0.0 0.4 -0.2 -0.4 -0.3 -0.6 SUGAR11 -0.5 0.3 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 0.4 0.0 0.6 0.1 0.2 0.4 0.3 0.3 0.2 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.5 0.0 1.0 0.4 0.4 0.6 0.3 -0.7 -0.7 0.2 0.1 US10 0.0 -0.2 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.1 -0.1 -0.0 -0.3 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.5 -0.1 -0.1 0.0 -0.1 -0.7 -0.7 0.1 -0.0 US10U -0.0 -0.2 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.1 -0.4 -0.1 -0.1 0.1 -0.0 0.0 -0.0 -0.1 -0.1 -0.0 -0.3 -0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 -0.2 -0.0 -0.1 -0.7 -0.7 0.4 0.5 US2 0.4 0.2 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.0 -0.5 -0.0 1.2 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.0 0.3 0.2 0.0 -0.7 -0.7 -0.6 -0.7 US20 -0.2 -0.2 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.3 -0.1 -0.2 -0.4 -0.7 0.7 0.7 US30 -0.2 -0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.2 -0.3 -0.7 0.7 0.7 US5 0.2 -0.1 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.2 -0.2 -0.3 -0.3 -0.1 -0.1 -0.0 -0.3 -0.1 0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.9 -0.0 0.1 0.1 0.0 -0.7 -0.7 -0.2 -0.6 VIX 1.0 1.0 1.0 -0.0 0.0 -0.3 0.1 -0.6 0.0 -0.0 -0.7 0.1 -1.1 0.1 -0.1 -0.4 -0.6 -0.6 -0.6 -0.1 -0.2 0.0 -0.9 0.0 NaN -0.0 0.1 -0.3 0.1 -0.7 0.0 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.2 -0.5 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.4 0.0 -0.5 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.0 -0.5 -0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.2 0.3 -0.2 -0.4 -0.7 -0.5 -0.7 -0.4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 2.5 -2.5 -11.1 -3.1 -1.0 -0.7 -1.6 1.0 -3.0 -6.6 -13.1 -6.2 -9.7 -7.4 -13.0 -3.6 -3.0 -3.4 -3.2 -9.8 -10.7 -7.2 -9.9 -7.4 3.2 -4.7 -4.3 -4.6 -4.0 -3.9 -3.9 -1.5 -11.1 -1.5 1.4 -13.4 -8.5 -20.0 -4.0 4.0 BITCOIN 9.3 -3.8 -8.2 -6.0 3.2 -3.3 -1.9 -0.6 -5.8 9.4 3.1 6.8 5.7 5.2 -11.5 -5.2 -4.5 -5.7 -5.4 -3.3 -3.0 7.9 -1.0 3.1 -20.0 -2.2 13.3 -3.1 5.6 -1.1 2.3 -0.9 8.0 20.0 5.3 3.7 -4.2 20.0 -2.9 20.0 BOBL 4.1 -3.5 0.6 -2.4 -0.5 -2.1 -0.9 -1.9 -2.0 2.4 -5.4 3.9 -7.4 -1.6 -3.6 7.8 -5.9 -3.8 -7.7 -3.8 -5.2 1.8 -8.1 -1.0 8.9 -2.0 0.2 -2.2 0.7 -3.0 -0.8 -8.6 7.0 9.8 6.9 6.3 -20.0 -20.0 -15.8 -16.6 BTP -11.5 -18.9 -7.7 -3.5 -0.7 -3.0 -1.3 -2.7 -2.8 1.7 -4.8 -4.3 -1.3 -8.2 -9.1 6.2 7.5 5.8 6.2 -11.2 -7.1 -2.3 -5.1 -9.2 -6.1 -3.5 0.1 -2.0 -0.8 -1.1 -2.9 15.5 1.7 1.5 0.9 4.6 -12.8 -20.0 -0.6 8.4 BUND -0.9 -7.0 -1.6 -2.5 -0.5 -2.2 -0.9 -1.9 -2.0 4.0 -6.4 2.7 -7.9 -3.3 -5.6 -2.4 6.1 0.6 3.1 -5.6 -6.1 1.8 -8.2 -2.6 5.7 -2.3 0.8 -2.2 0.5 -2.4 -1.3 11.9 7.7 6.2 5.2 4.4 -20.0 -20.0 -18.8 -1.9 BUXL -3.7 -10.6 -2.8 -2.6 -0.5 -2.3 -1.0 -2.1 -2.1 3.7 -7.9 0.3 -8.8 -4.5 -6.9 0.4 0.9 0.6 0.9 -9.0 -9.1 0.8 -10.7 -5.5 1.2 -2.7 0.6 -2.4 0.1 -2.2 -1.8 5.5 7.0 1.9 0.6 0.7 -20.0 -20.0 -9.7 19.7 CAC -12.3 -14.2 -12.5 -5.1 1.6 -2.7 -0.4 0.1 -4.0 -12.5 -0.8 -15.9 16.0 -16.5 -16.7 -6.4 -2.4 -6.4 -4.8 -14.0 -5.2 -11.1 7.9 -14.9 -5.2 -5.9 -4.7 -2.3 -4.5 2.4 -6.3 4.3 -12.6 -2.2 1.7 5.7 14.3 2.1 20.0 7.9 CAD -3.3 -5.4 -8.2 -4.8 -1.5 -1.1 -2.5 1.5 -4.6 7.1 -9.0 -6.8 -12.7 -8.0 -15.9 -2.4 -2.1 -2.4 -2.3 -12.6 -10.0 -6.0 -8.4 -10.6 1.6 -6.0 -0.2 -4.4 -3.2 -3.1 -5.3 0.0 -3.2 -3.2 0.4 -17.1 -20.0 -20.0 -20.0 -20.0 CANOLA -20.0 -20.0 7.9 -3.3 -0.3 -2.4 -2.1 -2.2 -3.6 9.8 1.7 -5.1 -3.6 -11.1 -6.1 -9.2 6.9 -6.0 0.6 -14.8 -5.5 -4.8 -3.5 -16.7 -20.0 -3.0 1.8 -1.5 -0.8 -1.5 -3.5 4.7 8.8 -12.7 -15.9 8.4 -7.6 0.4 12.4 12.7 CHF -1.8 -20.0 -12.2 -4.4 -1.4 -1.0 -2.3 1.4 -4.2 17.1 -8.8 5.0 7.2 -10.1 -15.4 -17.2 -14.4 -16.5 -15.5 -20.0 -11.7 8.0 -0.0 -11.1 -9.4 -5.3 4.3 -2.9 1.8 -0.2 -3.1 -20.0 20.0 -9.0 -20.0 -9.4 -20.0 -20.0 -20.0 -20.0 COCOA -20.0 -15.5 1.7 -4.9 -0.5 -3.5 -3.2 -3.3 -5.3 16.6 14.4 -0.8 16.7 -7.8 3.9 -2.9 -2.4 -3.5 -2.9 4.4 16.6 8.7 20.0 -0.7 -13.3 1.9 9.9 8.3 3.5 11.9 -0.6 -7.0 20.0 -6.1 16.5 20.0 2.9 -7.5 20.0 3.8 COFFEE -3.5 3.2 -11.4 -5.6 -0.5 -4.0 -3.6 -3.8 -6.1 17.4 -19.1 -6.0 -16.1 -10.7 -17.3 -2.6 1.2 -2.0 -0.4 -12.8 -18.2 10.1 -19.0 -3.6 -20.0 -5.1 13.5 -5.7 6.0 -4.6 -1.3 -1.6 20.0 8.1 7.5 -20.0 -20.0 -20.0 -20.0 -10.9 COPPER -12.0 -10.1 -7.5 -4.4 2.4 -2.4 -1.4 -0.4 -4.3 -12.3 -13.8 -14.6 -4.5 -14.8 -15.1 -6.4 -3.3 -5.7 -4.6 -15.3 -11.9 -14.2 -8.8 -16.6 -5.7 -5.4 -4.5 -3.8 -5.7 -2.8 -6.4 0.9 -19.7 -12.1 -4.4 1.0 3.9 -20.0 7.9 -20.0 CORN 12.1 -4.1 -19.6 -4.4 -0.4 -3.2 -2.9 -3.0 -4.9 2.3 -15.8 11.5 -15.2 4.1 -15.2 -4.6 2.1 -5.7 -3.2 -7.4 -16.4 5.2 -17.4 2.3 -15.8 -1.0 0.9 -4.2 3.0 -6.3 2.0 -3.3 11.1 20.0 11.2 -9.9 -6.3 0.9 2.2 7.3 COTTON2 -6.7 -1.4 12.2 -5.2 -0.5 -3.7 -3.3 -3.5 -5.7 -12.8 12.5 -14.6 -8.9 -8.2 10.8 -6.7 4.0 -1.5 1.1 2.3 6.6 -10.8 1.9 -5.9 -20.0 2.7 -6.1 5.4 -6.7 4.4 -2.9 1.6 -14.3 8.8 20.0 19.1 -18.6 -15.5 8.9 9.6 CRUDE_W -20.0 3.1 20.0 2.3 1.5 4.1 -1.4 3.2 -1.3 10.8 12.3 -1.0 4.8 3.2 10.8 18.8 12.0 17.6 14.0 10.6 13.7 2.5 10.0 2.1 -4.7 3.6 2.7 5.2 -0.1 4.4 0.3 -20.0 7.2 9.3 11.2 1.0 20.0 10.4 20.0 8.4 DAX -9.7 -15.4 -16.3 -4.6 1.5 -2.4 -0.3 0.1 -3.6 -1.6 -7.4 -9.7 12.2 -12.7 -16.0 -9.8 -7.8 -9.6 -9.0 -15.6 -8.3 -6.3 2.7 -13.4 17.1 -5.8 -1.6 -3.4 -2.1 0.1 -4.9 -4.1 -5.6 -4.9 -3.8 -7.2 16.0 1.1 20.0 9.7 DOW -14.5 -20.0 -4.7 -4.2 1.3 -2.2 -0.3 0.1 -3.3 12.8 -0.5 -2.9 9.3 -8.5 -10.4 -11.3 -8.8 -11.4 -10.5 -13.8 -5.7 1.3 1.1 -11.9 -10.0 -3.9 4.2 -1.0 0.3 1.3 -3.6 -6.3 10.5 -8.7 -8.4 11.8 -14.2 -7.2 -20.0 -8.1 DX 0.2 20.0 17.7 -4.4 -1.4 -1.1 -2.3 1.4 -4.2 -0.8 16.7 8.1 -5.3 15.7 19.6 7.3 5.7 7.1 6.4 20.0 19.8 8.3 10.8 18.9 -20.0 7.0 1.0 5.3 2.5 3.3 5.4 14.2 2.8 20.0 20.0 20.0 2.9 7.8 6.2 20.0 EUR -2.2 -19.5 -14.3 -3.5 -1.1 -0.8 -1.8 1.1 -3.4 -0.4 -12.3 -5.9 4.6 -12.0 -14.9 -6.7 -6.9 -6.8 -6.7 -16.5 -11.6 -5.8 -5.2 -12.5 12.5 -5.3 -1.1 -3.6 -2.0 -1.5 -4.2 -7.8 2.5 -7.1 -17.0 -12.9 -8.9 -17.8 -5.9 -3.7 EURIBOR-ICE 5.0 1.3 2.5 -2.4 -0.5 -2.1 -0.9 -1.9 -2.0 2.0 -3.8 4.4 -6.8 0.9 0.7 -6.2 -7.8 -7.9 -8.4 -1.0 -3.2 2.5 -7.5 1.2 17.1 -0.7 0.1 -1.6 1.3 -3.8 0.5 -10.6 7.6 13.1 11.9 9.6 -20.0 -20.0 10.4 15.8 EUROSTX -5.9 -13.3 -14.6 -4.5 1.4 -2.4 -0.3 0.1 -3.5 0.4 -2.3 -7.2 13.2 -11.2 -15.4 -5.6 -2.0 -5.3 -4.2 -11.1 -5.0 -2.7 5.7 -8.5 4.9 -5.2 -0.9 -2.7 -0.9 1.6 -3.9 5.1 -1.0 7.3 2.4 1.1 11.5 3.9 17.2 13.7 FEEDCOW -20.0 -18.4 4.9 -5.5 -0.5 -4.0 -3.6 -3.7 -6.1 -17.9 16.2 -19.8 19.0 -13.7 6.2 -11.4 -20.0 -12.6 -20.0 3.0 20.0 -20.0 20.0 -16.9 -2.0 2.2 -4.1 8.2 -5.8 11.1 -3.9 -20.0 -20.0 -20.0 20.0 20.0 12.7 -5.4 20.0 4.9 GASOIL -20.0 -2.8 20.0 2.0 1.4 3.6 -1.2 2.8 -1.1 7.1 11.7 -1.3 6.2 -0.2 10.8 20.0 20.0 20.0 20.0 10.9 15.8 0.4 12.6 0.4 8.4 3.4 2.6 5.0 -0.2 3.7 0.0 0.0 -1.7 7.3 4.7 14.1 -14.1 2.0 -18.6 -4.1 GASOLINE -20.0 -19.0 10.1 2.6 1.7 4.6 -1.6 3.6 -1.5 6.3 10.7 -11.7 6.0 -13.2 3.5 18.8 20.0 20.0 20.0 -4.7 8.8 -11.2 13.9 -17.1 -20.0 -1.7 1.5 2.9 -3.8 5.1 -5.5 20.0 -1.1 -20.0 -20.0 -14.3 20.0 10.6 20.0 5.2 GAS_US_mini 14.0 5.5 18.9 3.4 2.3 6.1 -2.1 4.8 -1.9 2.4 -18.7 12.0 -20.0 7.5 -7.2 -20.0 -20.0 -20.0 -20.0 1.0 -14.8 9.7 -20.0 10.4 20.0 4.4 -5.1 0.6 6.2 -2.8 7.8 -20.0 20.0 20.0 -7.4 -20.0 -3.9 5.8 -10.9 0.4 GBP -2.3 -20.0 -13.5 -4.1 -1.3 -1.0 -2.2 1.3 -3.9 0.3 -4.6 -4.9 8.7 -13.4 -16.3 -0.7 -0.7 -0.4 -0.4 -17.8 -9.3 -5.1 -1.0 -13.8 0.2 -5.7 -1.0 -3.1 -1.8 -1.0 -4.5 2.8 7.8 -9.9 -20.0 -13.7 -3.3 9.6 2.7 20.0 GOLD_micro -2.9 -3.9 -16.3 -4.5 2.5 -2.5 -1.4 -0.4 -4.4 13.3 -12.5 4.3 1.0 -4.2 -11.4 -17.5 -14.7 -18.1 -16.8 -12.6 -10.7 14.8 -4.2 -4.6 -7.6 -3.8 11.3 -2.7 4.9 -0.6 -1.7 -19.4 20.0 -7.6 -3.2 -6.7 -10.4 -20.0 -6.6 -20.0 HEATOIL -20.0 -4.3 20.0 2.5 1.7 4.5 -1.5 3.5 -1.4 10.6 12.8 -0.6 6.2 -3.6 11.4 20.0 20.0 20.0 20.0 10.4 17.6 1.6 14.7 -1.8 -20.0 2.9 4.3 6.1 -0.2 6.0 -1.3 1.1 4.9 3.7 -6.6 15.2 6.2 -2.1 -0.7 -6.2 JGB-SGX-mini 0.7 -11.5 -20.0 -3.4 -0.7 -3.0 -1.2 -2.7 -2.8 6.1 -1.2 5.8 3.8 -3.2 -9.4 20.0 20.0 17.3 17.2 -8.2 -6.0 4.9 -0.5 -2.9 -1.3 -3.0 2.4 -2.4 2.0 -1.2 -1.0 20.0 12.2 14.5 8.2 0.9 -4.9 -13.0 11.3 11.2 JPY -0.1 -10.8 -20.0 -3.5 -1.1 -0.8 -1.8 1.1 -3.3 -10.7 -17.4 -13.0 -16.3 -15.1 -16.9 -19.3 -15.2 -18.2 -16.9 -20.0 -20.0 -9.0 -20.0 -14.5 20.0 -6.3 -2.3 -7.2 -2.8 -7.3 -4.3 -20.0 -3.6 -5.5 -10.4 -20.0 -6.3 -20.0 -3.1 -20.0 LEANHOG -11.9 0.4 14.6 -2.5 -0.2 -1.8 -1.6 -1.7 -2.8 -7.3 -1.7 -7.5 -4.2 -6.7 -4.3 20.0 20.0 20.0 20.0 -4.0 -4.0 -6.8 -6.5 -5.9 9.9 -2.7 -4.2 -4.0 -3.5 -6.3 -3.0 20.0 -1.2 -1.6 2.4 -0.7 -7.8 -1.8 14.1 20.0 LIVECOW -20.0 -9.5 1.3 -5.9 -0.6 -4.2 -3.8 -4.0 -6.4 2.6 19.5 -11.6 20.0 -1.5 10.4 -20.0 -4.2 -20.0 -9.3 8.3 20.0 -5.1 20.0 -3.4 0.8 4.7 -0.3 11.7 -2.1 15.2 -1.1 -11.1 -8.0 -0.6 20.0 20.0 -20.0 -20.0 -15.1 -17.4 LUMBER-new 7.4 -6.6 -10.7 -6.1 -0.6 -4.2 -3.9 -3.3 -6.7 6.8 -20.0 0.9 -20.0 -15.2 -20.0 -13.9 -14.0 -15.0 -14.5 -14.0 -16.8 -0.0 -15.1 -6.7 NaN -6.7 0.2 -7.1 0.1 -5.4 -3.4 -20.0 2.9 14.8 -1.4 -14.2 -12.1 -20.0 -3.8 -19.3 MILK -17.5 -6.7 3.6 -4.4 -0.4 -3.2 -2.9 -3.0 -4.8 -4.8 -7.9 -11.7 -13.6 -14.4 -0.6 -20.0 -20.0 -20.0 -20.0 -11.9 -15.8 -7.2 -20.0 -12.8 2.3 -4.3 -1.2 -6.1 -2.2 -8.9 -3.9 -20.0 6.2 -12.4 -0.2 -9.1 -20.0 -20.0 -18.4 -20.0 MXP -20.0 -20.0 -20.0 -2.7 -0.9 -0.6 -1.4 0.8 -2.6 3.1 6.6 -7.8 11.0 -9.2 -6.9 13.0 16.9 14.8 15.9 -7.3 2.4 -6.7 11.6 -11.1 -20.0 -2.7 0.4 1.0 -2.3 4.4 -4.0 20.0 -12.3 -13.5 -5.6 1.9 19.1 10.2 20.0 20.0 NASDAQ_micro -3.7 -14.0 -13.3 -3.1 1.0 -1.6 -0.2 0.1 -2.4 7.1 7.6 5.0 8.7 -1.5 -4.9 -9.7 -8.5 -9.9 -9.6 -1.5 6.0 6.0 11.3 0.2 -20.0 -0.6 2.5 3.2 2.5 6.6 0.1 -5.3 11.3 9.3 9.3 11.4 -0.1 -13.5 -2.8 -16.4 NIKKEI -16.0 -12.5 -11.8 -3.8 1.2 -2.0 -0.3 0.1 -3.0 7.3 10.9 1.9 12.2 -0.8 -1.6 4.2 11.2 8.5 10.4 -1.3 6.9 5.0 13.1 -2.3 -7.3 -1.1 3.3 3.4 1.2 6.4 -2.1 20.0 -1.1 -1.8 13.2 8.4 -0.8 3.4 -2.7 11.6 NZD 12.1 2.0 -9.4 -3.3 -1.1 -0.8 -1.7 1.0 -3.1 -7.6 -12.0 -4.0 -2.2 -0.6 -11.6 -0.1 0.3 -0.0 0.1 -4.6 -7.6 -4.2 -7.7 -1.2 0.6 -2.1 -6.7 -3.5 -2.7 -3.5 -0.4 4.2 -8.5 14.4 10.0 -6.1 2.4 -14.8 7.8 8.5 OAT -3.8 -8.6 -3.1 -2.8 -0.5 -2.4 -1.0 -2.2 -2.2 3.5 -7.0 1.0 -8.4 -4.5 -6.5 5.3 7.9 5.8 6.6 -6.7 -6.7 1.2 -8.2 -3.9 7.9 -2.6 0.7 -2.3 0.3 -2.4 -1.7 16.4 6.7 5.6 5.3 4.5 -20.0 -20.0 -6.3 8.4 OATIES -20.0 -20.0 11.5 -3.1 -0.3 -2.2 -2.0 -2.1 -3.4 -10.9 3.4 -11.9 -1.1 -11.6 -6.2 -17.6 -7.3 -17.2 -14.3 -10.9 2.9 -20.0 6.5 -20.0 -20.0 -2.0 -4.9 0.6 -5.4 1.2 -4.5 -20.0 -20.0 -20.0 -7.5 8.7 8.3 12.6 20.0 20.0 OJ 20.0 20.0 20.0 -6.3 -0.6 -4.5 -4.1 -4.2 -6.9 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 20.0 20.0 -20.0 9.5 5.4 9.9 7.4 10.6 8.7 20.0 20.0 20.0 20.0 20.0 2.9 6.8 17.1 20.0 PALLAD -10.5 2.0 -0.2 -3.1 1.7 -1.7 -1.0 -0.3 -3.0 -5.8 -12.4 -10.2 -13.1 -10.1 -11.0 -3.2 -2.7 -3.0 -2.9 -11.1 -15.2 -11.1 -20.0 -11.8 1.1 -3.9 -2.6 -4.0 -4.5 -4.6 -4.7 2.7 -20.0 -5.6 -4.5 -7.1 -10.1 -6.8 1.4 -2.7 PLAT -8.7 -5.0 -10.5 -3.1 1.7 -1.7 -1.0 -0.3 -3.0 8.1 -11.0 -6.3 -4.6 -9.1 -9.7 -4.0 -2.6 -3.7 -3.2 -9.1 -8.8 -3.0 -6.2 -7.7 12.8 -2.5 1.9 -1.9 -1.5 -1.2 -2.9 2.5 -1.1 -1.0 7.8 1.1 0.4 -17.4 8.0 -14.3 REDWHEAT -8.2 -16.8 -17.6 -4.1 -0.4 -2.9 -2.6 -2.7 -4.4 -7.7 -14.5 -11.8 -15.2 -13.3 -15.7 -4.8 0.5 -3.7 -1.6 -20.0 -19.3 -10.2 -14.5 -17.1 -15.2 -5.4 -1.6 -4.4 -3.0 -2.7 -4.8 -3.1 2.1 -12.4 -12.1 -20.0 -20.0 -19.7 -20.0 -9.7 RICE -3.9 -4.4 10.6 -4.9 -0.5 -3.6 -3.2 -3.3 -5.4 5.6 8.2 3.6 4.6 -7.0 5.4 -19.6 10.2 -10.0 4.7 2.7 5.3 0.5 4.3 -0.2 -20.0 0.2 -1.2 1.7 0.5 1.5 -0.6 13.7 7.3 15.1 12.6 9.1 -5.0 -20.0 15.0 -8.8 ROBUSTA -18.5 -11.2 -1.8 -5.0 -0.5 -3.6 -3.2 -3.4 -5.5 0.5 10.3 -13.6 13.8 -13.6 -11.9 20.0 20.0 20.0 20.0 -7.9 8.1 -11.9 20.0 -15.7 -20.0 -3.6 2.4 2.3 -4.7 7.4 -6.5 20.0 -19.5 -15.3 3.5 -9.5 -1.5 -12.2 20.0 -1.4 RUSSELL -8.8 -20.0 -6.5 -3.7 1.2 -2.0 -0.3 0.1 -2.9 -3.9 -9.0 -10.4 -5.9 -13.1 -13.1 -7.9 -6.3 -8.0 -7.4 -17.8 -10.3 -11.4 -5.3 -17.7 -2.6 -4.4 -2.0 -2.0 -3.4 -0.2 -4.8 -1.3 -15.7 -14.6 -10.2 4.7 -11.2 -12.0 -20.0 -20.0 SHATZ 11.7 -2.4 -1.7 -2.5 -0.5 -2.2 -0.9 -2.0 -2.0 -3.2 -7.1 1.7 -8.0 -1.8 -3.8 -20.0 -11.3 -20.0 -18.4 -4.2 -7.6 0.4 -12.6 -0.7 10.5 -1.6 -1.3 -2.6 0.3 -4.2 -0.2 -20.0 5.4 15.1 6.9 6.8 -20.0 -20.0 -20.0 -20.0 SILVER-mini -11.0 -13.2 -9.2 -3.3 0.8 -1.7 -1.9 -0.3 -3.5 9.3 -4.7 -1.8 1.7 -7.5 -8.9 -7.6 -6.3 -7.5 -7.1 -10.1 -6.3 0.3 -2.0 -9.0 6.0 -2.6 5.1 -1.0 -0.0 0.1 -3.0 -3.9 9.4 -1.6 3.5 4.7 -14.7 -20.0 -6.2 -20.0 SMI -5.7 -3.6 -8.7 -4.4 1.4 -2.3 -0.3 0.1 -3.5 0.2 -1.4 -5.0 4.4 -6.8 -11.3 4.4 1.6 1.7 0.7 -7.3 -5.6 -1.2 -1.8 -4.9 5.8 -3.0 -1.6 -2.3 -0.0 -2.0 -2.2 12.2 0.3 11.4 13.7 4.6 -7.3 -14.9 -8.1 -10.1 SOFR 1.0 -7.0 -15.1 -3.0 -0.6 -2.6 -1.1 -2.3 -2.4 -0.5 -8.6 -3.2 -6.5 -6.3 -8.3 -0.6 -1.0 -1.3 -1.3 -9.6 -9.5 -3.5 -7.9 -6.7 -1.6 -3.3 -1.3 -3.2 -1.3 -2.5 -2.5 1.7 -3.2 1.7 5.0 1.1 -20.0 -20.0 -6.6 -6.5 SOYBEAN -9.2 -10.1 4.6 -4.3 -0.4 -3.1 -2.8 -2.9 -4.7 2.6 5.7 -5.8 2.3 -13.7 -3.2 12.5 17.6 11.1 13.3 -5.8 -0.3 -5.7 0.5 -9.3 -20.0 -2.5 -0.1 -0.1 -2.5 0.5 -4.1 20.0 -1.9 2.6 3.9 11.2 -20.0 -1.8 -16.6 5.0 SOYMEAL -7.4 -10.2 -4.2 -3.7 -0.4 -2.7 -2.4 -2.5 -4.1 9.0 -9.2 -0.3 0.8 -9.8 -9.2 8.8 17.1 10.5 14.3 -7.7 -5.3 2.3 -0.3 -6.0 -20.0 -2.5 4.9 -0.5 1.6 2.4 -2.2 20.0 15.0 4.6 4.7 5.4 -20.0 -20.0 -20.0 -18.7 SOYOIL -20.0 -20.0 7.1 -2.9 -0.3 -2.1 -1.9 -2.0 -3.2 1.0 3.6 -7.2 -0.6 -9.7 -4.7 13.1 12.1 14.0 12.5 -11.2 -2.0 -10.6 1.0 -17.2 -20.0 -2.7 1.3 -0.7 -2.5 0.1 -4.0 17.8 -9.3 -20.0 -15.7 4.7 -3.1 5.5 16.9 20.0 SP400 -7.8 -20.0 -8.0 -3.5 1.1 -1.9 -0.3 0.1 -2.8 0.9 -6.2 -7.0 2.0 -11.0 -10.8 -5.3 -5.1 -5.6 -5.5 -14.3 -7.5 -6.1 -1.7 -13.5 -10.6 -3.8 -0.1 -1.5 -2.1 0.3 -4.0 1.3 -6.8 -9.2 -5.4 8.8 -6.4 -13.0 -16.9 -20.0 SP500_micro -11.0 -20.0 -11.7 -3.8 1.2 -2.0 -0.3 0.1 -3.0 9.6 5.1 -0.9 8.4 -6.4 -8.3 -11.0 -9.8 -11.7 -11.2 -9.1 -0.2 3.2 6.4 -7.1 -17.5 -2.8 3.0 0.6 1.0 3.2 -2.3 -7.6 12.5 -2.9 0.8 12.8 -5.5 -12.3 -7.7 -17.8 SUGAR11 -14.8 9.4 2.0 -5.0 -0.5 -3.6 -3.2 -3.4 -5.5 12.5 16.6 2.6 17.0 12.0 14.4 20.0 13.6 15.4 11.7 15.6 20.0 7.2 20.0 9.6 -20.0 4.8 4.4 8.1 2.8 12.7 2.9 18.7 17.2 13.7 20.0 9.4 -20.0 -20.0 7.0 1.6 US10 1.0 -6.0 -14.1 -2.5 -0.5 -2.2 -0.9 -2.0 -2.0 -0.4 -8.1 -3.8 -8.1 -5.9 -7.6 -6.8 -7.3 -8.2 -8.4 -10.4 -10.9 -3.5 -10.7 -7.4 1.1 -2.9 -0.8 -2.9 -1.1 -2.5 -2.3 -10.2 -2.2 -2.6 0.7 -2.1 -20.0 -20.0 3.8 -0.2 US10U -1.1 -7.6 -12.9 -3.2 -0.6 -2.8 -1.1 -2.5 -2.6 -0.3 -10.2 -5.2 -10.1 -7.8 -9.8 2.7 -0.5 0.7 -0.4 -13.8 -13.7 -4.7 -12.8 -10.2 -2.6 -3.7 -0.7 -3.4 -1.4 -2.8 -2.9 2.6 -3.5 -5.8 -0.7 -4.0 -20.0 -20.0 12.7 15.8 US2 12.4 6.1 -16.7 -2.6 -0.5 -2.3 -0.9 -2.0 -2.1 -2.8 -8.8 -1.3 -8.8 -4.6 -7.4 -20.0 -20.0 -20.0 -20.0 -8.4 -13.4 -2.3 -17.2 -3.7 8.7 -2.8 -2.1 -4.4 -0.7 -5.8 -1.1 -20.0 0.9 8.3 7.0 0.7 -20.0 -20.0 -19.2 -20.0 US20 -5.2 -7.7 -11.6 -2.2 -0.4 -1.9 -0.8 -1.7 -1.8 -0.4 -7.0 -4.1 -6.6 -5.5 -6.8 -1.3 -1.9 -2.3 -2.3 -10.7 -9.8 -4.6 -8.4 -8.8 -2.2 -2.6 -0.5 -2.2 -1.1 -1.8 -2.2 0.0 -4.8 -9.3 -3.7 -5.6 -13.0 -20.0 20.0 20.0 US30 -5.4 -7.0 -7.9 -2.3 -0.5 -2.0 -0.8 -1.8 -1.9 -0.6 -7.5 -4.4 -7.2 -5.9 -7.2 -5.4 -4.1 -6.3 -5.5 -10.6 -9.9 -4.4 -9.2 -8.6 -1.8 -2.7 -0.5 -2.4 -1.2 -1.9 -2.3 -4.5 -4.9 -7.5 -1.7 -4.8 -9.5 -20.0 20.0 20.0 US5 5.5 -2.9 -14.2 -2.7 -0.5 -2.3 -1.0 -2.1 -2.2 -0.9 -8.6 -2.4 -8.6 -5.5 -7.7 -11.8 -10.7 -13.4 -12.8 -9.4 -11.1 -3.0 -12.0 -5.8 3.6 -3.1 -1.3 -3.4 -1.0 -3.5 -2.0 -16.8 -0.9 2.7 3.8 0.5 -20.0 -20.0 -6.5 -18.2 VIX 20.0 19.6 19.1 -1.0 3.4 -6.6 3.2 -10.5 2.6 -0.1 -16.7 4.9 -18.5 3.8 -3.5 -11.2 -20.0 -20.0 -20.0 -3.4 -13.7 3.3 -20.0 2.5 NaN -1.1 3.9 -7.5 3.6 -12.6 2.9 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 7.4 -14.7 -15.0 -3.6 -0.3 -2.6 -2.3 -2.4 -4.0 0.3 -13.2 3.1 -14.2 -8.8 -13.3 -11.0 -10.0 -11.3 -10.9 -13.9 -17.6 -1.4 -18.7 -6.8 -4.4 -4.2 -0.1 -4.8 -0.5 -4.7 -2.3 -20.0 6.6 9.7 -4.8 -13.7 -20.0 -14.6 -20.0 -10.8 End of report for caleb_strategy_v3