******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231020_204336 produced at 2023-10-20 21:38:44.518636 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.09 0.0 0.00 0.00 0.00 0.00 -12.69 11.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.19 -0.26 0.0 0.19 -0.19 -0.19 -0.19 -8.25 6.0 -6 -6 caleb_strategy_v3 US2 False True 0.07 0.00 -0.20 0.0 0.00 0.00 0.00 0.00 -2.78 13.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.17 0.0 0.00 0.00 0.00 0.00 -4.37 24.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.05 -0.15 0.0 0.76 -0.76 -0.05 -0.05 -5.84 29.0 -2 -2 caleb_strategy_v3 JPY False False 0.03 -0.24 -0.13 0.0 0.51 -0.51 -0.24 -0.21 -4.34 17.0 -8 -7 caleb_strategy_v3 CHF False False 0.05 -0.30 -0.13 0.0 0.66 -0.66 -0.30 -0.30 -2.57 13.0 -6 -6 caleb_strategy_v3 US5 False False 0.04 -0.11 -0.09 0.0 0.94 -0.94 -0.11 -0.11 -2.28 25.0 -3 -3 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.09 0.0 0.13 -0.13 -0.11 -0.09 -11.15 17.0 -14 -12 caleb_strategy_v3 RUSSELL False False 0.00 -0.04 -0.07 0.0 0.21 -0.21 -0.04 -0.07 -22.43 68.0 -12 -23 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.07 0.0 0.39 -0.39 -0.01 0.00 -12.47 66.0 -1 0 caleb_strategy_v3 SP400 False False 0.09 -0.09 -0.07 0.0 0.17 -0.17 -0.09 -0.17 -0.77 2.0 -1 -2 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.07 0.0 0.37 -0.37 0.00 0.00 -8.76 48.0 0 0 caleb_strategy_v3 EUR False False 0.05 -0.38 -0.06 0.0 0.67 -0.67 -0.38 -0.33 -1.32 14.0 -8 -7 caleb_strategy_v3 MXP False False 0.01 0.00 -0.05 0.0 0.58 -0.58 0.00 -0.02 -5.07 60.0 0 -2 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 GOLD_micro False False 0.01 -0.02 -0.05 0.0 0.40 -0.40 -0.02 -0.01 -7.59 56.0 -3 -1 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.05 0.0 0.43 -0.43 -0.02 -0.05 -2.33 19.0 -1 -2 caleb_strategy_v3 LIVECOW False False 0.03 0.00 -0.05 0.0 0.46 -0.46 0.00 -0.03 -1.79 17.0 0 -1 caleb_strategy_v3 BTP False False 0.04 0.00 -0.05 0.0 0.41 -0.41 0.00 0.00 -1.24 10.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.05 0.0 0.19 -0.19 0.00 0.00 -13.07 51.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 -0.04 -0.04 0.0 0.08 -0.08 -0.04 -0.04 -0.96 2.0 -1 -1 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.04 0.0 0.35 -0.35 0.00 0.00 -0.79 8.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.69 12.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 0.00 -0.04 0.0 0.08 -0.08 0.00 -0.01 -11.19 26.0 0 -4 caleb_strategy_v3 GBP False False 0.03 0.00 -0.04 0.0 0.60 -0.60 0.00 0.00 -1.48 22.0 0 0 caleb_strategy_v3 SMI False False 0.04 -0.08 -0.04 0.0 0.38 -0.38 -0.08 -0.08 -1.05 9.0 -2 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.06 -0.04 0.0 0.24 -0.24 -0.06 -0.04 -3.63 23.0 -6 -4 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.04 0.0 0.01 -0.01 0.00 0.00 -8.51 3.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.04 -0.03 0.0 0.83 -0.83 -0.04 0.00 -0.71 19.0 -1 0 caleb_strategy_v3 US10U False False 0.04 0.00 -0.03 0.0 0.51 -0.51 0.00 0.00 -0.74 13.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.05 -0.03 0.0 0.10 -0.10 -0.05 -0.05 -2.22 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 -4.55 2.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -2.43 5.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.03 0.0 0.11 -0.11 -0.02 -0.02 -2.26 9.0 -2 -2 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.03 0.0 0.16 -0.16 -0.03 -0.04 -1.69 11.0 -2 -3 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.03 0.0 0.11 -0.11 -0.01 -0.01 -3.43 12.0 -1 -1 caleb_strategy_v3 DAX False False 0.01 0.00 -0.02 0.0 0.33 -0.33 0.00 0.00 -3.51 58.0 0 0 caleb_strategy_v3 US20 False False 0.04 -0.08 -0.02 0.0 0.35 -0.35 -0.08 -0.08 -0.40 9.0 -2 -2 caleb_strategy_v3 NZD False False 0.02 0.00 -0.02 0.0 0.44 -0.44 0.00 -0.06 -1.13 21.0 0 -3 caleb_strategy_v3 US30 False False 0.04 -0.04 -0.01 0.0 0.24 -0.24 -0.04 -0.04 -0.28 6.0 -1 -1 caleb_strategy_v3 EUROSTX False False 0.02 0.00 -0.01 0.0 0.31 -0.31 0.00 0.00 -0.47 20.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.49 -0.49 0.00 0.00 -0.27 10.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.14 -0.01 0.0 0.18 -0.18 -0.14 -0.14 -0.17 4.0 -3 -3 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.01 0.0 0.11 -0.11 -0.02 -0.03 -0.61 10.0 -2 -3 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.61 0.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 -0.02 -0.01 0.0 0.13 -0.13 -0.02 -0.02 -0.57 6.0 -1 -1 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -0.98 4.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.05 -0.01 0.0 0.16 -0.16 -0.05 -0.03 -0.38 10.0 -3 -2 caleb_strategy_v3 OAT False False 0.05 0.00 -0.01 0.0 0.46 -0.46 0.00 0.00 -0.25 10.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.00 0.0 0.16 -0.16 -0.02 -0.02 -0.20 7.0 -1 -1 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.24 9.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.00 0.0 0.20 -0.20 0.00 0.00 0.56 23.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 -0.03 0.01 0.0 0.06 -0.06 -0.03 -0.01 12.37 59.0 -27 -8 caleb_strategy_v3 GASOLINE False False 0.04 0.00 0.01 0.0 0.14 -0.14 0.00 0.04 0.23 4.0 0 1 caleb_strategy_v3 COCOA False False 0.01 0.00 0.02 0.0 0.35 -0.35 0.00 0.00 1.56 26.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.02 0.0 0.13 -0.13 0.00 0.00 0.39 3.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.02 0.02 0.0 0.13 -0.13 0.02 0.01 1.88 13.0 2 1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.02 0.0 0.19 -0.19 0.00 0.01 2.07 18.0 0 1 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.03 0.0 0.13 -0.13 0.03 0.03 1.06 4.0 1 1 caleb_strategy_v3 NIKKEI False False 0.01 0.07 0.05 0.0 0.27 -0.27 0.07 0.07 6.36 36.0 9 9 caleb_strategy_v3 OJ False False 0.02 0.00 0.06 0.0 0.06 -0.06 0.00 0.00 3.02 3.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.11 0.11 0.0 0.14 -0.14 0.11 0.08 3.73 5.0 4 3 caleb_strategy_v3 DX False False 0.04 0.00 0.13 0.0 38024946.08 -38024946.08 0.00 0.00 3.34 999999999.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.18 0.17 0.0 0.92 -0.92 0.18 0.18 1.81 10.0 2 2 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.42 0.32 0.0 0.55 -0.55 0.42 0.42 9.31 16.0 12 12 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 12.8 Shocked risk 27.9 Sum abs risk 45.1 Leverage 4.69 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2787117.69, 'annual_cash_vol_target': 696779.4225, 'daily_cash_vol_target': 43548.71390625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6325 0.6810 10.8961 BITCOIN 704.9510 29595.0000 2.3820 38.1119 BOBL 0.2897 115.5800 0.2507 4.0110 BTP 0.6789 108.4600 0.6260 10.0153 BUND 0.5996 128.0000 0.4685 7.4953 BUXL 1.3904 120.0200 1.1585 18.5359 CAC 57.6181 6841.5000 0.8422 13.4750 CAD 0.0029 0.7304 0.4024 6.4380 CANOLA 7.0051 704.0000 0.9950 15.9207 CHF 0.0050 1.1278 0.4428 7.0854 COCOA 43.5911 3733.0000 1.1677 18.6835 COFFEE 2.4849 164.4000 1.5115 24.1837 COPPER 0.0347 3.5575 0.9756 15.6099 CORN 5.4602 519.5000 1.0511 16.8168 COTTON2 1.0998 82.4400 1.3340 21.3442 CRUDE_W 1.3014 78.5100 1.6576 26.5214 DAX 123.4102 14901.0000 0.8282 13.2512 DOW 210.0366 33354.0000 0.6297 10.0755 DX 0.3777 105.9800 0.3564 5.7018 EUR 0.0051 1.0617 0.4783 7.6528 EURIBOR-ICE 0.0544 96.9400 0.0561 0.8972 EUROSTX 39.0801 4046.0000 0.9659 15.4543 FEEDCOW 1.8185 246.3500 0.7382 11.8109 GASOIL 15.5988 878.0000 1.7766 28.4261 GASOLINE 0.0405 2.3376 1.7340 27.7440 GAS_US_mini 0.0898 3.5100 2.5579 40.9257 GBP 0.0066 1.2162 0.5402 8.6438 GOLD_micro 15.8804 1993.1000 0.7968 12.7483 HEATOIL 0.0469 2.9783 1.5732 25.1704 JGB-SGX-mini 0.2183 144.6700 0.1509 2.4143 JPY 0.0000 0.0067 0.5049 8.0778 LEANHOG 1.3109 70.5750 1.8575 29.7200 LIVECOW 1.1819 187.9500 0.6289 10.0618 LUMBER-new 7.9186 493.5000 1.6046 25.6733 MILK 0.2311 18.0500 1.2801 20.4816 MXP 0.0005 0.0543 0.8647 13.8355 NASDAQ_micro 135.8158 14703.5000 0.9237 14.7792 NIKKEI 347.5751 31125.0000 1.1167 17.8673 NZD 0.0041 0.5824 0.7049 11.2782 OAT 0.6079 122.2000 0.4975 7.9596 OATIES 6.9280 404.0000 1.7148 27.4375 OJ 4.1198 384.0000 1.0729 17.1660 PALLAD 19.1236 1108.0000 1.7260 27.6152 PLAT 13.1190 904.5000 1.4504 23.2067 REDWHEAT 10.4085 677.7500 1.5357 24.5718 RICE 0.1457 16.4700 0.8848 14.1565 ROBUSTA 28.9194 2402.0000 1.2040 19.2635 RUSSELL 19.5133 1697.9000 1.1493 18.3881 SHATZ 0.0860 104.9750 0.0820 1.3114 SILVER-mini 0.3638 23.9125 1.5215 24.3439 SMI 86.3625 10378.0000 0.8322 13.3147 SOFR 0.0805 95.7100 0.0841 1.3449 SOYBEAN 10.7055 1267.5000 0.8446 13.5139 SOYMEAL 5.0768 403.3000 1.2588 20.1409 SOYOIL 0.7899 51.9300 1.5211 24.3371 SP400 25.0320 2411.8000 1.0379 16.6064 SP500_micro 31.9682 4259.2500 0.7506 12.0090 SUGAR11 0.3287 25.5900 1.2847 20.5547 US10 0.4740 106.0000 0.4471 7.1542 US10U 0.6659 108.4375 0.6141 9.8251 US2 0.1100 101.2578 0.1086 1.7377 US20 1.0234 108.4688 0.9435 15.0966 US30 1.4983 111.1875 1.3476 21.5613 US5 0.2970 104.3438 0.2847 4.5546 VIX 0.6548 21.4000 3.0596 48.9540 WHEAT 9.2079 671.5000 1.3712 21.9399 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 632.55 0.68 430.77 1.00 430.77 43548.71 101.09 -8.87 -89.68 BITCOIN 29.60 2.38 70.50 1.00 70.50 43548.71 617.76 1.85 114.26 BOBL 1155.80 0.25 289.75 1.05 305.09 43548.71 142.74 -4.92 -70.25 BTP 1084.60 0.63 678.91 1.05 714.86 43548.71 60.92 -5.99 -36.48 BUND 1280.00 0.47 599.63 1.05 631.38 43548.71 68.97 -3.92 -27.06 BUXL 1200.20 1.16 1390.42 1.05 1464.05 43548.71 29.75 -5.75 -17.09 CAC 684.15 0.84 576.18 1.05 606.69 43548.71 71.78 -6.90 -49.52 CAD 730.35 0.40 293.87 1.00 293.87 43548.71 148.19 -15.18 -224.90 CANOLA 140.80 1.00 140.10 0.73 102.01 43548.71 426.89 -12.58 -537.20 CHF 1409.81 0.44 624.32 1.00 624.32 43548.71 69.75 -14.18 -98.94 COCOA 373.30 1.17 435.91 1.00 435.91 43548.71 99.90 7.27 72.66 COFFEE 616.50 1.51 931.83 1.00 931.83 43548.71 46.73 -10.40 -48.62 COPPER 889.38 0.98 867.69 1.00 867.69 43548.71 50.19 -15.17 -76.14 CORN 259.75 1.05 273.01 1.00 273.01 43548.71 159.51 -8.85 -141.15 COTTON2 412.20 1.33 549.88 1.00 549.88 43548.71 79.20 -9.99 -79.09 CRUDE_W 785.10 1.66 1301.37 1.00 1301.37 43548.71 33.46 10.29 34.42 DAX 149.01 0.83 123.41 1.05 129.94 43548.71 335.13 -3.07 -102.91 DOW 166.77 0.63 105.02 1.00 105.02 43548.71 414.68 -12.94 -536.63 DX 1059.80 0.36 377.67 1.00 377.67 43548.71 115.31 11.16 128.67 EUR 1327.12 0.48 634.77 1.00 634.77 43548.71 68.61 -7.41 -50.83 EURIBOR-ICE 2423.50 0.06 135.90 1.05 143.10 43548.71 304.32 1.75 53.21 EUROSTX 404.60 0.97 390.80 1.05 411.49 43548.71 105.83 -1.29 -13.70 FEEDCOW 1231.75 0.74 909.25 1.00 909.25 43548.71 47.90 -5.00 -23.94 GASOIL 878.00 1.78 1559.88 1.00 1559.88 43548.71 27.92 8.77 24.49 GASOLINE 981.79 1.73 1702.43 1.00 1702.43 43548.71 25.58 2.03 5.19 GAS_US_mini 87.75 2.56 224.45 1.00 224.45 43548.71 194.02 -5.32 -103.30 GBP 760.12 0.54 410.65 1.00 410.65 43548.71 106.05 -5.39 -57.16 GOLD_micro 199.31 0.80 158.80 1.00 158.80 43548.71 274.23 -8.11 -222.48 HEATOIL 1250.89 1.57 1967.83 1.00 1967.83 43548.71 22.13 4.07 9.00 JGB-SGX-mini 144670.00 0.15 21829.57 0.01 145.76 43548.71 298.76 2.88 86.01 JPY 841.75 0.50 424.97 1.00 424.97 43548.71 102.48 -16.34 -167.41 LEANHOG 282.30 1.86 524.37 1.00 524.37 43548.71 83.05 3.72 30.88 LIVECOW 751.80 0.63 472.78 1.00 472.78 43548.71 92.11 -5.87 -54.07 LUMBER-new 135.71 1.60 217.76 1.00 217.76 43548.71 199.98 -20.00 -399.97 MILK 361.00 1.28 462.12 1.00 462.12 43548.71 94.24 -12.02 -113.26 MXP 271.50 0.86 234.77 1.00 234.77 43548.71 185.49 -1.86 -34.53 NASDAQ_micro 294.07 0.92 271.63 1.00 271.63 43548.71 160.32 -9.73 -156.02 NIKKEI 31125.00 1.12 34757.51 0.01 232.09 43548.71 187.64 3.13 58.69 NZD 582.40 0.70 410.52 1.00 410.52 43548.71 106.08 -4.10 -43.50 OAT 1222.00 0.50 607.91 1.05 640.10 43548.71 68.03 -1.09 -7.39 OATIES 202.00 1.71 346.40 1.00 346.40 43548.71 125.72 -14.87 -186.95 OJ 576.00 1.07 617.98 1.00 617.98 43548.71 70.47 20.00 140.94 PALLAD 1108.00 1.73 1912.36 1.00 1912.36 43548.71 22.77 -12.31 -28.02 PLAT 452.25 1.45 655.95 1.00 655.95 43548.71 66.39 -1.66 -11.04 REDWHEAT 338.88 1.54 520.42 1.00 520.42 43548.71 83.68 -20.00 -167.36 RICE 329.40 0.88 291.45 1.00 291.45 43548.71 149.42 -2.70 -40.33 ROBUSTA 240.20 1.20 289.19 1.00 289.19 43548.71 150.59 3.19 48.04 RUSSELL 84.90 1.15 97.57 1.00 97.57 43548.71 446.35 -15.17 -676.89 SHATZ 1049.75 0.08 86.04 1.05 90.60 43548.71 480.68 -8.97 -431.14 SILVER-mini 597.81 1.52 909.57 1.00 909.57 43548.71 47.88 -3.72 -17.79 SMI 1037.80 0.83 863.62 1.11 960.74 43548.71 45.33 -6.78 -30.72 SOFR 2392.75 0.08 201.13 1.00 201.13 43548.71 216.52 -9.64 -208.80 SOYBEAN 633.75 0.84 535.28 1.00 535.28 43548.71 81.36 -2.61 -21.26 SOYMEAL 403.30 1.26 507.68 1.00 507.68 43548.71 85.78 -3.00 -25.70 SOYOIL 311.58 1.52 473.93 1.00 473.93 43548.71 91.89 -7.10 -65.27 SP400 2411.80 1.04 2503.20 1.00 2503.20 43548.71 17.40 -13.39 -23.29 SP500_micro 212.96 0.75 159.84 1.00 159.84 43548.71 272.45 -13.84 -377.07 SUGAR11 286.61 1.28 368.20 1.00 368.20 43548.71 118.28 8.23 97.36 US10 1060.00 0.45 473.97 1.00 473.97 43548.71 91.88 -10.75 -98.79 US10U 1084.38 0.61 665.88 1.00 665.88 43548.71 65.40 -8.97 -58.64 US2 2025.16 0.11 219.94 1.00 219.94 43548.71 198.00 -11.07 -219.25 US20 1084.69 0.94 1023.44 1.00 1023.44 43548.71 42.55 -7.41 -31.54 US30 1111.88 1.35 1498.34 1.00 1498.34 43548.71 29.06 -7.61 -22.13 US5 1043.44 0.28 297.02 1.00 297.02 43548.71 146.62 -12.26 -179.81 VIX 214.00 3.06 654.76 1.00 654.76 43548.71 66.51 -6.79 -45.17 WHEAT 335.75 1.37 460.39 1.00 460.39 43548.71 94.59 -18.02 -170.41 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -89.681 0.010 2.5 -2.327 BITCOIN 114.265 0.043 2.5 12.374 BOBL -70.252 0.004 2.5 -0.712 BTP -36.480 0.014 2.5 -1.244 BUND -27.063 0.004 2.5 -0.274 BUXL -17.094 0.004 2.5 -0.173 CAC -49.516 0.014 2.5 -1.689 CAD -224.901 0.010 2.5 -5.836 CANOLA -537.202 0.010 2.5 -13.070 CHF -98.943 0.010 2.5 -2.567 COCOA 72.659 0.009 2.5 1.556 COFFEE -48.621 0.005 2.5 -0.568 COPPER -76.141 0.043 2.5 -8.245 CORN -141.153 0.010 2.5 -3.434 COTTON2 -79.091 0.009 2.5 -1.694 CRUDE_W 34.421 0.043 2.5 3.728 DAX -102.907 0.014 2.5 -3.510 DOW -536.628 0.009 2.5 -12.472 DX 128.668 0.010 2.5 3.339 EUR -50.832 0.010 2.5 -1.319 EURIBOR-ICE 53.208 0.014 2.5 1.815 EUROSTX -13.696 0.014 2.5 -0.467 FEEDCOW -23.936 0.013 2.5 -0.793 GASOIL 24.487 0.017 2.5 1.062 GASOLINE 5.192 0.017 2.5 0.225 GAS_US_mini -103.295 0.043 2.5 -11.186 GBP -57.159 0.010 2.5 -1.483 GOLD_micro -222.477 0.014 2.5 -7.589 HEATOIL 8.998 0.017 2.5 0.390 JGB-SGX-mini 86.014 0.043 2.5 9.315 JPY -167.414 0.010 2.5 -4.344 LEANHOG 30.881 0.024 2.5 1.877 LIVECOW -54.075 0.013 2.5 -1.792 LUMBER-new -399.967 0.009 2.5 -8.510 MILK -113.261 0.009 2.5 -2.426 MXP -34.527 0.059 2.5 -5.068 NASDAQ_micro -156.021 0.009 2.5 -3.626 NIKKEI 58.691 0.043 2.5 6.356 NZD -43.501 0.010 2.5 -1.129 OAT -7.386 0.014 2.5 -0.252 OATIES -186.947 0.010 2.5 -4.548 OJ 140.940 0.009 2.5 3.019 PALLAD -28.024 0.014 2.5 -0.956 PLAT -11.038 0.014 2.5 -0.377 REDWHEAT -167.359 0.005 2.5 -2.220 RICE -40.332 0.010 2.5 -0.981 ROBUSTA 48.039 0.005 2.5 0.561 RUSSELL -676.891 0.013 2.5 -22.431 SHATZ -431.139 0.004 2.5 -4.372 SILVER-mini -17.788 0.014 2.5 -0.607 SMI -30.723 0.014 2.5 -1.048 SOFR -208.795 0.024 2.5 -12.690 SOYBEAN -21.256 0.004 2.5 -0.198 SOYMEAL -25.703 0.004 2.5 -0.239 SOYOIL -65.270 0.004 2.5 -0.608 SP400 -23.289 0.013 2.5 -0.772 SP500_micro -377.075 0.009 2.5 -8.764 SUGAR11 97.364 0.009 2.5 2.071 US10 -98.789 0.005 2.5 -1.252 US10U -58.642 0.005 2.5 -0.743 US2 -219.253 0.005 2.5 -2.778 US20 -31.541 0.005 2.5 -0.400 US30 -22.129 0.005 2.5 -0.280 US5 -179.814 0.005 2.5 -2.279 VIX -45.166 0.099 2.5 -11.149 WHEAT -170.412 0.005 2.5 -2.261 ===================== Position diags ===================== AUD 2.62 BITCOIN 66.90 BOBL 1.45 BTP 2.08 BUND 0.70 BUXL 0.30 CAC 2.45 CAD 3.85 CANOLA 10.39 CHF 1.81 COCOA 2.14 COFFEE 0.55 COPPER 5.44 CORN 3.88 COTTON2 1.70 CRUDE_W 3.62 DAX 11.43 DOW 9.64 DX 2.99 EUR 1.78 EURIBOR-ICE 10.38 EUROSTX 3.61 FEEDCOW 1.59 GASOIL 1.21 GASOLINE 1.11 GAS_US_mini 21.01 GBP 2.75 GOLD_micro 9.35 HEATOIL 0.96 JGB-SGX-mini 32.35 JPY 2.66 LEANHOG 5.05 LIVECOW 3.05 LUMBER-new 4.26 MILK 2.02 MXP 27.23 NASDAQ_micro 3.73 NIKKEI 20.32 NZD 2.75 OAT 2.32 OATIES 3.06 OJ 1.51 PALLAD 0.78 PLAT 2.26 REDWHEAT 1.11 RICE 3.64 ROBUSTA 1.76 RUSSELL 14.79 SHATZ 4.87 SILVER-mini 1.63 SMI 1.55 SOFR 13.16 SOYBEAN 0.76 SOYMEAL 0.80 SOYOIL 0.86 SP400 0.58 SP500_micro 6.33 SUGAR11 2.52 US10 1.16 US10U 0.83 US2 2.51 US20 0.54 US30 0.37 US5 1.86 VIX 16.42 WHEAT 1.25 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.3 -2.6 -2.1 -1.0 -1 BITCOIN 12.4 5.7 19.1 -27.0 -27 BOBL -0.7 -0.9 -0.6 -1.0 -1 BTP -1.2 -1.5 -1.0 0.0 0 BUND -0.3 -0.3 -0.2 0.0 0 BUXL -0.2 -0.2 -0.1 -3.0 -3 CAC -1.7 -1.9 -1.4 0.0 0 CAD -5.8 -6.2 -5.5 -2.0 -2 CANOLA -13.1 -14.1 -12.0 NaN 0 CHF -2.6 -2.7 -2.4 -6.0 -6 COCOA 1.6 1.3 1.8 0.0 0 COFFEE -0.6 -0.6 -0.5 -1.0 -1 COPPER -8.2 -8.8 -7.7 -6.0 -6 CORN -3.4 -3.8 -3.0 -1.0 -1 COTTON2 -1.7 -1.9 -1.5 -2.0 -2 CRUDE_W 3.7 3.4 4.1 4.0 4 DAX -3.5 -4.7 -2.4 0.0 0 DOW -12.5 -13.4 -11.5 -1.0 -1 DX 3.3 3.0 3.6 NaN 0 EUR -1.3 -1.5 -1.1 -8.0 -8 EURIBOR-ICE 1.8 0.8 2.9 2.0 2 EUROSTX -0.5 -0.8 -0.1 0.0 0 FEEDCOW -0.8 -1.0 -0.6 0.0 0 GASOIL 1.1 0.9 1.2 1.0 1 GASOLINE 0.2 0.1 0.3 0.0 0 GAS_US_mini -11.2 -13.3 -9.1 0.0 0 GBP -1.5 -1.8 -1.2 0.0 0 GOLD_micro -7.6 -8.5 -6.7 -3.0 -3 HEATOIL 0.4 0.3 0.5 0.0 0 JGB-SGX-mini 9.3 6.1 12.6 12.0 12 JPY -4.3 -4.6 -4.1 -8.0 -8 LEANHOG 1.9 1.4 2.4 2.0 2 LIVECOW -1.8 -2.1 -1.5 0.0 0 LUMBER-new -8.5 -8.9 -8.1 NaN 0 MILK -2.4 -2.6 -2.2 NaN 0 MXP -5.1 -7.8 -2.3 0.0 0 NASDAQ_micro -3.6 -4.0 -3.3 -6.0 -6 NIKKEI 6.4 4.3 8.4 9.0 9 NZD -1.1 -1.4 -0.9 0.0 0 OAT -0.3 -0.5 -0.0 0.0 0 OATIES -4.5 -4.9 -4.2 NaN 0 OJ 3.0 2.9 3.2 NaN 0 PALLAD -1.0 -1.0 -0.9 -1.0 -1 PLAT -0.4 -0.6 -0.2 -3.0 -3 REDWHEAT -2.2 -2.3 -2.1 -4.0 -4 RICE -1.0 -1.3 -0.6 NaN 0 ROBUSTA 0.6 0.4 0.7 0.0 0 RUSSELL -22.4 -23.9 -21.0 -12.0 -12 SHATZ -4.4 -4.9 -3.9 NaN 0 SILVER-mini -0.6 -0.8 -0.4 NaN 0 SMI -1.0 -1.2 -0.9 -2.0 -2 SOFR -12.7 -14.0 -11.4 NaN 0 SOYBEAN -0.2 -0.3 -0.1 -1.0 -1 SOYMEAL -0.2 -0.3 -0.2 0.0 0 SOYOIL -0.6 -0.7 -0.5 -2.0 -2 SP400 -0.8 -0.8 -0.7 -1.0 -1 SP500_micro -8.8 -9.4 -8.1 0.0 0 SUGAR11 2.1 1.8 2.3 0.0 0 US10 -1.3 -1.4 -1.1 NaN 0 US10U -0.7 -0.8 -0.7 0.0 0 US2 -2.8 -3.0 -2.5 NaN 0 US20 -0.4 -0.5 -0.3 -2.0 -2 US30 -0.3 -0.3 -0.2 -1.0 -1 US5 -2.3 -2.5 -2.1 -3.0 -3 VIX -11.1 -12.8 -9.5 -14.0 -14 WHEAT -2.3 -2.4 -2.1 -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 3.5 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 0.0 -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 -0.1 -0.1 0.1 -0.4 -0.3 -0.7 -0.1 0.1 BITCOIN 0.4 0.0 -0.3 -0.1 0.0 -0.1 0.0 -0.0 -0.0 0.2 0.1 0.2 0.2 0.2 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.2 -0.0 0.1 -2.7 0.0 0.2 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.6 0.6 0.1 -0.1 0.7 -0.1 0.7 BOBL 0.2 -0.2 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.3 -0.0 -0.0 0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 1.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.4 0.0 0.4 0.2 0.2 -0.7 -0.7 -0.5 -0.6 BTP -0.2 -0.6 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.8 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.8 0.1 0.1 0.0 0.1 -0.4 -0.7 -0.0 0.3 BUND 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 -0.1 -0.1 -0.0 0.1 0.0 0.1 -0.1 -0.1 -0.0 -0.2 -0.1 0.8 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.6 0.1 0.2 0.2 0.1 -0.7 -0.7 -0.6 -0.1 BUXL 0.0 -0.4 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.0 -0.3 -0.1 -0.1 0.0 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 0.6 CAC -0.4 -0.5 -0.5 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 -0.1 -0.2 0.5 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.2 0.2 -0.2 -0.7 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 0.2 -0.4 -0.4 -0.1 0.1 0.4 0.1 0.7 0.3 CAD -0.3 -0.1 -0.3 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.3 -0.2 -0.5 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.1 -0.2 -0.1 0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.4 0.1 -0.6 -0.7 -0.7 -0.6 -0.7 CANOLA -0.4 -0.6 0.0 -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 -0.1 -0.1 -0.2 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 -0.1 -0.4 -0.6 0.2 -0.2 -0.0 0.4 0.4 CHF 0.5 -0.6 -0.4 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.2 -0.2 0.2 0.2 -0.0 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 0.2 -0.0 0.0 -1.2 -0.0 0.1 -0.1 0.1 -0.0 0.0 -1.1 0.5 0.6 -0.5 -0.2 -0.7 -0.7 -0.7 -0.7 COCOA -0.0 -0.5 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 0.4 0.2 0.6 0.0 0.1 -0.1 -0.0 -0.1 -0.1 0.1 0.2 0.2 0.5 0.2 -1.9 0.0 0.1 0.2 0.1 0.4 0.1 -0.4 0.5 0.5 0.6 0.6 0.1 -0.2 0.7 0.2 COFFEE 0.3 0.3 -0.3 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 0.2 -0.5 0.2 -0.6 0.1 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.2 0.2 -0.5 0.2 -2.7 -0.0 0.2 -0.1 0.2 -0.1 0.1 -0.1 0.5 0.6 0.6 -0.4 -0.7 -0.7 -0.7 -0.4 COPPER -0.3 -0.4 -0.3 -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 -0.2 -0.1 -0.3 -0.2 -0.8 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.5 -0.2 -0.3 0.0 0.1 -0.7 0.3 -0.7 CORN 0.4 -0.0 -0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.5 0.1 -0.6 0.1 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 0.1 -0.5 0.0 -2.3 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.2 0.1 0.6 0.5 -0.3 -0.2 0.0 0.1 0.2 COTTON2 -0.5 -0.2 0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.3 -0.2 -0.3 -0.1 0.1 -0.2 0.1 -0.1 0.0 -0.0 0.0 -0.2 0.0 -0.1 -2.7 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.1 -0.5 -0.3 0.4 0.6 -0.7 -0.5 0.2 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 0.1 0.2 0.1 0.1 0.3 0.2 0.3 0.3 0.1 0.2 0.1 0.3 0.1 -0.6 0.0 0.0 0.2 0.0 0.2 0.0 -1.1 0.2 0.2 0.5 0.0 0.7 0.3 0.7 0.3 DAX -0.2 -0.6 -0.6 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.3 -0.2 0.4 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 0.0 -0.2 2.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 -0.2 -0.3 -0.2 -0.2 0.5 0.0 0.7 0.3 DOW -0.2 -0.6 -0.3 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 0.0 -0.1 -1.3 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.3 0.2 -0.1 -0.1 0.4 -0.5 -0.2 -0.7 -0.3 DX -0.1 0.6 0.6 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.5 0.1 -0.2 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.0 0.3 0.2 -2.7 0.1 -0.0 0.2 0.0 0.1 0.1 0.8 0.2 0.6 0.6 0.6 0.1 0.3 0.2 0.7 EUR 0.1 -0.5 -0.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.3 0.0 0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.2 -0.1 1.7 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.4 0.2 0.0 -0.4 -0.4 -0.3 -0.6 -0.2 -0.1 EURIBOR-ICE 0.1 -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 -0.1 -0.0 -0.1 -0.0 -0.6 0.0 0.4 0.4 0.4 -0.7 -0.7 0.3 0.6 EUROSTX -0.1 -0.5 -0.6 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 0.4 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 0.1 -0.2 0.6 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.3 -0.1 0.0 0.0 0.0 0.3 0.1 0.5 0.5 FEEDCOW -0.6 -0.6 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 0.4 -0.2 0.6 -0.2 -0.0 -0.3 -0.4 -0.3 -0.4 -0.1 0.2 -0.2 0.5 -0.2 -0.3 -0.0 -0.1 0.2 -0.1 0.4 -0.1 -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 0.4 0.0 1.1 0.0 0.0 0.1 0.0 0.1 0.0 0.0 -0.1 -0.0 0.0 0.4 -0.4 0.1 -0.6 -0.1 GASOLINE -0.6 -0.6 0.3 0.0 0.0 0.1 0.0 0.2 0.0 0.2 0.3 0.0 0.2 -0.1 0.0 0.3 0.4 0.4 0.4 -0.0 0.1 0.1 0.4 -0.1 -2.7 -0.0 0.0 0.1 0.0 0.2 -0.0 1.1 0.2 -0.6 -0.6 -0.6 0.7 0.3 0.7 0.2 GAS_US_mini 0.3 0.2 0.6 0.0 0.0 0.2 0.0 0.2 0.0 -0.2 -0.5 -0.1 -0.7 -0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.0 -0.2 -0.1 -0.5 -0.0 2.7 0.0 -0.2 0.0 -0.1 -0.1 -0.0 -1.1 -0.5 0.6 -0.4 -0.6 -0.2 0.2 -0.4 0.0 GBP 0.1 -0.6 -0.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.2 -0.1 0.3 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 0.0 -0.0 -0.6 -0.4 -0.1 0.3 0.1 0.7 GOLD_micro 0.5 0.0 -0.5 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.2 0.1 0.0 0.1 -0.0 -0.3 -0.3 -0.3 -0.3 -0.0 -0.1 0.2 -0.1 0.1 -0.9 -0.0 0.1 -0.0 0.1 -0.0 0.0 -1.0 0.5 0.4 0.3 -0.0 -0.4 -0.7 -0.3 -0.7 HEATOIL -0.6 -0.2 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.4 0.1 0.3 0.0 0.1 0.4 0.4 0.4 0.4 0.1 0.2 0.1 0.4 0.0 -2.7 0.0 0.0 0.2 0.0 0.2 0.0 0.1 0.2 0.0 -0.3 0.4 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 -0.1 -0.0 0.1 -0.1 -0.1 0.4 0.4 0.3 0.3 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 0.2 0.4 0.3 0.0 -0.1 -0.5 0.4 0.4 JPY 0.1 -0.4 -0.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.5 -0.2 -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 -0.1 -1.1 -0.1 -0.1 -0.3 -0.6 -0.2 -0.7 -0.1 -0.7 LEANHOG -0.5 -0.1 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.2 0.4 0.4 0.4 -0.1 -0.1 -0.1 -0.2 -0.1 1.4 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 1.1 -0.4 -0.4 0.1 -0.1 -0.3 -0.1 0.5 0.7 LIVECOW -0.6 -0.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.2 0.5 -0.2 0.7 -0.1 0.1 -0.4 -0.1 -0.4 -0.2 0.1 0.2 -0.1 0.5 -0.1 0.1 0.0 -0.1 0.3 -0.1 0.6 -0.0 -0.6 -0.3 -0.6 0.6 0.6 -0.7 -0.7 -0.4 -0.5 LUMBER-new 0.1 -0.2 -0.5 -0.1 -0.0 -0.2 -0.0 -0.2 -0.1 -0.2 -0.6 -0.2 -0.7 -0.2 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.1 -0.5 -0.1 NaN -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -1.2 -0.2 0.3 -0.1 -0.6 -0.5 -0.8 -0.2 -0.7 MILK 0.1 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 0.1 -0.5 -0.1 0.0 -0.3 -0.4 -0.4 -0.4 -0.1 -0.1 0.1 -0.5 0.0 0.3 -0.0 0.1 -0.1 0.1 -0.3 0.0 -1.1 0.5 0.4 0.2 0.0 -0.7 -0.7 -0.7 -0.7 MXP -0.6 -0.6 -0.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.4 -0.1 -0.1 0.3 0.3 0.3 0.3 -0.1 0.0 -0.1 0.3 -0.1 -2.7 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.1 0.1 -0.6 -0.3 0.0 0.6 0.4 0.7 0.7 NASDAQ_micro 0.0 -0.5 -0.4 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 0.2 -0.0 0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.1 0.3 -0.1 -2.7 -0.0 -0.1 0.1 -0.0 0.2 -0.0 -0.3 -0.1 0.4 0.2 0.3 0.0 -0.4 -0.1 -0.5 NIKKEI -0.4 -0.5 -0.4 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 0.3 -0.0 0.4 -0.0 -0.0 0.1 0.2 0.2 0.2 -0.0 0.1 -0.1 0.3 -0.1 -0.9 -0.0 -0.0 0.1 -0.0 0.2 -0.0 1.1 0.4 -0.0 0.4 0.2 -0.1 0.1 -0.1 0.4 NZD 0.1 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 -0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.2 -0.4 0.1 0.2 -0.2 0.1 -0.5 0.3 0.3 OAT -0.0 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.2 -0.1 1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.9 0.1 0.2 0.2 0.1 -0.7 -0.7 -0.2 0.3 OATIES -0.6 -0.6 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.2 -0.0 -0.2 0.1 -0.2 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -1.1 -0.5 -0.6 -0.6 0.1 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 0.1 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 -0.6 -0.0 -0.1 -0.0 0.0 -0.1 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 -0.2 -0.2 -0.1 -0.5 -0.2 0.2 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 0.2 -0.5 -0.5 -0.3 -0.2 -0.3 -0.2 0.1 -0.1 PLAT -0.1 -0.2 -0.4 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.3 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.0 1.8 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.0 -0.1 0.2 0.1 0.0 -0.6 0.3 -0.5 REDWHEAT -0.1 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 -0.1 -0.6 -0.2 -0.2 -0.1 0.0 -0.1 -0.0 -0.2 -0.2 -0.1 -0.5 -0.2 -2.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.5 -0.4 -0.6 -0.7 -0.7 -0.7 -0.3 RICE -0.1 -0.2 0.3 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -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 0.4 0.4 0.3 -0.1 -0.7 0.5 -0.3 ROBUSTA -0.3 -0.4 -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.2 0.3 0.0 0.5 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.0 0.1 0.1 0.5 -0.0 -2.7 -0.0 0.2 0.1 0.1 0.3 -0.0 1.1 0.5 -0.2 0.4 -0.2 -0.1 -0.4 0.7 -0.0 RUSSELL -0.2 -0.6 -0.3 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -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 -0.2 -0.2 -0.3 0.1 -0.4 -0.4 -0.7 -0.7 SHATZ 0.4 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.3 -0.0 -0.1 -0.4 -0.2 -0.4 -0.4 -0.1 -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 0.3 -0.7 -0.7 -0.6 -0.7 SILVER-mini 0.0 -0.4 -0.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.1 0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 0.0 0.8 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.2 0.5 0.1 0.1 0.2 -0.5 -0.7 -0.2 -0.7 SMI -0.3 -0.2 -0.3 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 0.1 0.0 0.0 0.0 -0.1 -0.1 -0.2 -0.1 -0.2 0.7 -0.0 -0.2 -0.1 -0.1 -0.0 -0.1 0.7 -0.5 -0.4 0.1 0.1 -0.3 -0.5 -0.2 -0.3 SOFR -0.0 -0.3 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 0.0 0.2 0.0 -0.7 -0.7 -0.2 -0.2 SOYBEAN -0.2 -0.4 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.2 0.1 0.1 -0.1 -0.1 0.3 0.4 0.2 0.3 -0.1 -0.0 0.0 0.0 -0.0 -2.7 -0.0 0.0 -0.0 0.0 0.0 -0.0 1.1 0.2 0.3 0.1 0.3 -0.7 -0.1 -0.6 0.1 SOYMEAL 0.2 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.2 0.1 0.0 -0.0 -0.0 0.2 0.3 0.2 0.3 -0.0 -0.0 0.2 0.0 0.1 -2.7 0.0 0.1 0.0 0.1 0.1 0.0 1.1 0.5 0.6 0.3 0.2 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.6 -0.6 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 0.2 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 1.0 -0.3 -0.6 -0.5 0.0 -0.1 0.2 0.5 0.7 SP400 -0.1 -0.6 -0.4 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -1.3 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.1 0.2 -0.2 -0.4 -0.5 -0.7 SP500_micro -0.1 -0.6 -0.5 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 0.1 -0.1 0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 -0.1 0.1 -0.1 -2.3 -0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.4 -0.0 0.1 0.0 0.3 -0.2 -0.4 -0.2 -0.6 SUGAR11 -0.2 0.3 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.5 0.1 0.6 0.1 0.2 0.4 0.3 0.4 0.3 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 -0.0 0.2 0.0 0.5 0.0 1.1 0.3 0.2 0.6 0.6 -0.7 -0.7 0.3 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 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.1 -0.1 -0.1 -0.3 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.5 -0.1 -0.1 0.0 -0.1 -0.7 -0.7 0.1 0.0 US10U -0.0 -0.3 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 0.0 -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 -0.1 -0.1 -0.0 -0.1 -0.7 -0.7 0.4 0.5 US2 0.4 0.2 -0.4 -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 -0.4 -0.1 1.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.0 0.4 0.3 0.1 -0.7 -0.7 -0.5 -0.7 US20 -0.1 -0.4 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 -0.2 -0.1 -0.2 -0.4 -0.7 0.7 0.7 US30 -0.1 -0.3 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 -0.2 -0.3 -0.7 0.7 0.7 US5 0.1 -0.1 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.1 -0.2 -0.2 -0.3 -0.2 -0.1 -0.1 -0.1 -0.3 -0.1 0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.9 -0.1 0.1 0.2 0.0 -0.7 -0.7 -0.2 -0.6 VIX 0.9 1.0 1.0 0.0 0.1 -0.2 0.1 -0.5 0.1 0.2 -0.6 0.2 -1.0 0.2 0.0 -0.5 -0.6 -0.6 -0.6 0.0 -0.2 0.2 -0.9 0.2 NaN 0.0 0.2 -0.2 0.2 -0.6 0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.3 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.4 0.1 -0.6 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 0.0 -0.5 -0.0 -0.6 -0.0 0.0 -0.2 0.0 -0.2 -0.0 -1.1 0.1 0.3 -0.1 -0.5 -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 0.2 -2.6 -12.8 -3.4 -3.4 -1.1 -3.3 0.7 -3.6 -8.8 -13.1 -8.1 -10.0 -8.7 -13.1 -3.4 -3.0 -3.4 -3.2 -10.2 -11.2 -6.8 -10.5 -7.8 3.2 -4.8 -3.4 -4.8 -3.6 -4.1 -4.0 -1.4 -3.5 -1.6 2.5 -11.2 -7.8 -20.0 -3.0 4.0 BITCOIN 12.9 0.8 -8.1 -5.6 4.9 -3.7 1.5 -0.8 -3.5 20.0 3.9 20.0 6.7 16.4 -7.9 -5.5 -4.5 -5.8 -5.5 1.2 -1.4 20.0 -0.6 11.6 -20.0 0.8 17.1 -1.8 12.8 -0.7 7.3 -0.8 0.9 20.0 20.0 2.4 -3.5 20.0 -2.0 20.0 BOBL 5.4 -4.7 0.9 -2.5 -1.6 -2.1 -2.1 -1.9 -2.4 -4.1 -5.7 -1.2 -7.4 -3.5 -4.2 8.6 -5.3 -2.0 -6.5 -4.7 -5.5 -4.2 -8.2 -3.9 8.8 -2.3 -1.7 -2.3 -2.0 -2.9 -2.0 -7.4 1.9 11.0 6.9 7.0 -20.0 -20.0 -15.4 -17.0 BTP -5.1 -19.9 -9.7 -3.6 -2.3 -3.1 -3.0 -2.7 -3.4 -6.8 -6.0 -7.9 -1.8 -9.7 -9.9 6.6 7.5 6.1 6.3 -12.2 -8.1 -8.8 -5.7 -11.4 -6.1 -3.7 -2.0 -2.3 -2.6 -1.3 -3.4 15.4 5.7 3.1 1.0 4.0 -13.2 -20.0 -0.7 7.8 BUND 1.7 -8.3 -2.5 -2.6 -1.7 -2.2 -2.2 -1.9 -2.5 -5.2 -6.7 -2.6 -8.0 -5.1 -6.1 -2.4 5.8 0.2 2.8 -6.5 -6.7 -4.7 -8.6 -5.2 5.7 -2.6 -1.7 -2.3 -1.8 -2.4 -2.1 11.1 4.3 7.2 5.2 4.4 -20.0 -20.0 -19.3 -2.3 BUXL 0.9 -12.3 -4.8 -2.7 -1.8 -2.3 -2.3 -2.0 -2.6 -6.7 -8.0 -3.1 -8.8 -5.7 -7.1 0.4 0.9 0.5 0.9 -9.9 -9.9 -5.5 -11.4 -7.5 1.2 -2.9 -1.5 -2.6 -1.5 -2.4 -2.2 5.2 6.7 3.9 1.1 0.0 -20.0 -20.0 -10.3 18.9 CAC -10.9 -16.3 -15.9 -5.5 -10.1 -3.0 -6.5 -0.2 -5.6 -18.8 -3.8 -19.9 15.1 -19.3 -18.5 -5.3 -2.4 -6.0 -4.7 -18.0 -7.8 -20.0 6.3 -20.0 -5.2 -6.4 -13.7 -2.8 -10.1 1.5 -8.2 4.3 -16.5 -11.3 -2.4 2.9 12.5 2.5 19.7 8.3 CAD -7.8 -4.3 -10.2 -5.3 -5.3 -1.7 -5.1 1.1 -5.6 -16.0 -10.9 -14.7 -13.2 -13.0 -17.5 -2.4 -2.1 -2.4 -2.3 -14.3 -11.2 -12.9 -9.2 -13.7 1.7 -6.5 -5.0 -4.8 -6.0 -3.3 -6.4 0.0 4.3 -12.8 2.9 -17.4 -20.0 -20.0 -18.4 -20.0 CANOLA -13.2 -20.0 1.3 -3.3 -0.3 -2.7 -0.8 -2.5 -2.8 -10.2 0.8 -9.0 -3.8 -12.1 -8.7 -10.3 6.2 -6.8 -0.2 -16.4 -7.5 -11.9 -4.7 -17.4 -20.0 -3.4 -3.3 -1.9 -2.6 -1.8 -3.7 4.0 -3.8 -12.5 -20.0 5.4 -7.3 -0.5 13.5 11.8 CHF 14.8 -20.0 -13.5 -4.8 -4.8 -1.6 -4.7 1.0 -5.1 17.2 -8.5 16.3 6.8 -3.9 -12.6 -17.4 -14.6 -16.7 -15.6 -13.4 -10.0 19.7 -0.2 1.1 -9.2 -4.0 7.3 -2.8 5.4 -0.3 0.0 -20.0 20.0 19.1 -15.1 -5.2 -20.0 -20.0 -20.0 -20.0 COCOA -0.7 -15.0 0.8 -5.0 -0.4 -4.1 -1.2 -3.8 -4.2 18.1 16.0 16.2 17.9 3.5 7.9 -3.3 -2.4 -3.6 -3.0 11.1 19.6 20.0 20.0 14.4 -14.6 4.1 13.0 8.4 10.4 11.7 5.0 -6.6 20.0 16.2 20.0 20.0 3.7 -6.8 20.0 4.7 COFFEE 10.7 8.0 -8.6 -5.6 -0.4 -4.6 -1.4 -4.3 -4.7 20.0 -18.2 16.1 -16.4 4.8 -8.8 -0.9 1.3 -1.4 -0.2 -4.0 -14.9 20.0 -18.3 13.9 -20.0 -0.5 20.0 -3.4 15.5 -3.5 6.6 -0.9 20.0 20.0 20.0 -13.1 -20.0 -20.0 -20.0 -11.0 COPPER -10.1 -13.1 -9.0 -4.3 3.8 -2.9 1.1 -0.7 -2.7 -15.2 -15.7 -16.5 -5.4 -17.2 -17.3 -7.2 -3.5 -6.1 -4.9 -17.9 -14.6 -12.9 -10.7 -17.5 -5.9 -6.0 -4.1 -4.5 -5.0 -3.2 -6.4 0.8 -20.0 -6.7 -8.9 1.3 3.5 -20.0 7.5 -20.0 CORN 12.7 -1.2 -20.0 -4.6 -0.4 -3.8 -1.2 -3.6 -3.9 2.0 -16.8 11.2 -16.3 7.4 -15.2 -4.2 1.9 -5.4 -3.2 -5.9 -16.3 6.0 -18.6 3.6 -17.0 -0.2 2.6 -4.0 3.8 -6.7 2.8 -3.0 3.7 20.0 15.3 -8.2 -6.7 0.3 2.9 6.9 COTTON2 -14.6 -5.4 10.2 -4.8 -0.4 -3.9 -1.2 -3.7 -4.0 -14.6 10.4 -15.6 -8.5 -13.0 5.5 -8.7 3.4 -3.0 0.2 -2.4 3.9 -18.2 1.1 -12.0 -20.0 -0.6 -12.8 3.2 -11.1 3.3 -6.7 0.9 -20.0 -8.8 13.6 18.0 -19.8 -15.1 6.6 8.9 CRUDE_W -20.0 1.9 20.0 2.7 2.5 4.5 1.4 3.7 0.3 12.4 12.9 4.7 5.9 6.2 11.7 14.2 11.8 15.9 13.4 12.8 15.5 9.1 11.7 7.4 -4.8 4.1 2.5 5.7 2.0 5.1 1.7 -20.0 7.5 5.4 14.5 0.4 20.0 10.2 20.0 8.6 DAX -5.7 -17.1 -19.7 -4.8 -8.8 -2.7 -5.6 -0.2 -4.9 -16.0 -9.3 -15.9 11.2 -15.6 -16.7 -9.6 -7.9 -9.6 -9.0 -17.8 -10.0 -20.0 1.4 -18.9 16.5 -6.0 -9.5 -3.6 -6.7 -0.3 -6.2 -4.2 -8.0 -9.7 -5.8 -6.8 13.8 1.4 20.0 9.9 DOW -6.5 -20.0 -8.6 -4.4 -8.1 -2.4 -5.2 -0.2 -4.5 -12.8 -1.8 -5.2 8.6 -9.3 -10.7 -11.0 -8.9 -11.3 -10.6 -13.8 -6.6 -11.3 0.2 -13.1 -9.8 -4.0 -6.0 -1.4 -3.5 1.1 -4.1 -6.4 9.7 -2.8 -3.2 11.0 -14.5 -7.3 -20.0 -8.2 DX -3.6 19.7 20.0 -5.0 -5.0 -1.6 -4.9 1.1 -5.3 2.8 17.5 4.7 -4.8 15.8 19.8 7.2 5.8 7.1 6.5 20.0 20.0 4.1 12.3 16.1 -20.0 7.1 -1.0 5.8 1.3 3.8 4.7 14.3 7.3 20.0 20.0 20.0 3.5 7.8 6.8 20.0 EUR 3.5 -16.9 -16.2 -3.9 -3.9 -1.3 -3.8 0.8 -4.1 4.5 -12.5 1.8 4.2 -10.9 -14.4 -6.7 -6.9 -6.8 -6.7 -15.0 -11.9 -0.5 -5.8 -8.8 12.4 -5.2 1.5 -3.9 -0.3 -1.8 -3.2 -7.8 8.3 0.8 -11.3 -12.1 -9.4 -17.5 -6.6 -4.0 EURIBOR-ICE 4.1 -0.3 2.4 -2.5 -1.6 -2.1 -2.1 -1.8 -2.4 -3.8 -4.1 -1.1 -6.9 -1.7 -0.3 -5.6 -7.7 -7.5 -8.2 -2.1 -3.4 -3.8 -7.4 -2.2 17.1 -1.4 -2.4 -1.9 -2.5 -3.9 -1.5 -10.5 0.4 13.6 11.7 10.9 -20.0 -20.0 8.7 16.7 EUROSTX -3.5 -14.4 -17.6 -4.8 -8.8 -2.7 -5.6 -0.2 -4.9 -16.0 -4.2 -15.1 12.3 -14.7 -16.3 -5.4 -2.1 -5.3 -4.3 -13.2 -6.4 -16.9 4.6 -14.1 4.7 -5.6 -11.0 -3.0 -7.2 1.0 -5.9 4.9 -4.5 0.8 0.9 0.5 9.7 4.1 14.9 13.7 FEEDCOW -20.0 -20.0 -2.4 -5.3 -0.4 -4.4 -1.3 -4.1 -4.5 -19.1 13.9 -20.0 17.9 -18.2 -1.9 -12.9 -20.0 -13.1 -20.0 -5.1 16.5 -20.0 20.0 -20.0 -2.4 -0.3 -13.5 6.3 -10.6 9.7 -6.7 -20.0 -20.0 -20.0 18.9 20.0 13.0 -4.6 20.0 5.8 GASOIL -20.0 -2.4 20.0 2.3 2.1 3.8 1.2 3.1 0.3 9.8 11.7 2.8 6.7 1.8 10.8 20.0 20.0 20.0 20.0 11.0 16.0 4.1 13.3 3.2 8.3 3.5 1.9 5.3 0.9 4.2 0.8 0.0 -5.5 -0.5 1.5 12.9 -12.4 1.6 -17.6 -4.3 GASOLINE -20.0 -19.5 8.6 3.1 2.8 5.1 1.6 4.2 0.4 16.8 10.6 0.9 6.6 -7.5 3.9 14.1 20.0 20.0 20.0 -2.1 9.0 8.5 14.6 -5.3 -20.0 -1.2 5.1 3.1 1.6 5.7 -2.6 20.0 6.4 -17.7 -20.0 -17.1 20.0 10.4 20.0 5.4 GAS_US_mini 10.4 7.0 20.0 4.0 3.7 6.6 2.0 5.4 0.5 -20.0 -18.6 -8.9 -20.0 -3.4 -10.2 -20.0 -20.0 -20.0 -20.0 -2.3 -14.2 -15.8 -20.0 -2.6 20.0 2.1 -20.0 0.2 -9.3 -2.9 -0.0 -20.0 -20.0 20.0 -12.5 -20.0 -5.3 5.8 -12.0 0.6 GBP 3.3 -20.0 -15.4 -4.5 -4.5 -1.4 -4.3 0.9 -4.7 -14.1 -6.4 -6.5 8.0 -14.1 -16.3 -1.0 -0.8 -0.5 -0.5 -17.8 -10.5 -7.5 -2.0 -13.7 0.4 -5.7 -1.6 -3.4 -2.4 -1.3 -4.5 2.8 0.2 -0.5 -18.6 -12.9 -3.7 8.6 2.5 20.0 GOLD_micro 15.0 0.3 -15.7 -3.5 3.1 -2.3 0.9 -0.5 -2.2 13.9 -8.6 12.9 1.1 6.3 -3.8 -16.0 -14.6 -17.5 -16.5 -3.0 -6.5 20.0 -3.0 11.0 -6.4 -0.9 9.7 -1.5 8.1 -0.4 2.9 -19.0 20.0 12.2 7.7 -0.1 -10.6 -20.0 -7.7 -20.0 HEATOIL -20.0 -5.5 20.0 2.9 2.7 4.9 1.5 4.0 0.4 14.2 13.2 7.7 7.0 0.4 12.1 20.0 20.0 20.0 20.0 12.2 18.9 9.2 16.3 4.5 -20.0 3.4 3.6 6.6 2.2 6.7 0.5 1.2 10.2 0.6 -10.2 13.3 7.1 -2.1 -0.3 -6.3 JGB-SGX-mini 0.7 -12.2 -20.0 -3.4 -2.2 -2.9 -2.8 -2.5 -3.2 -7.1 -2.4 -4.4 3.3 -5.9 -9.4 20.0 20.0 17.3 17.2 -8.7 -6.3 -8.1 -1.0 -6.9 -1.5 -3.2 -4.6 -2.5 -3.0 -1.3 -2.6 20.0 7.6 11.4 9.5 0.4 -3.3 -14.0 11.6 11.9 JPY 2.2 -10.9 -20.0 -4.2 -4.2 -1.4 -4.1 0.9 -4.4 -15.6 -18.7 -16.8 -17.7 -17.4 -18.4 -19.8 -15.4 -18.6 -17.2 -20.0 -20.0 -10.1 -20.0 -16.0 20.0 -6.8 -2.2 -8.0 -3.2 -8.1 -4.7 -20.0 -3.1 -2.8 -9.9 -20.0 -7.0 -20.0 -3.5 -20.0 LEANHOG -15.3 -3.4 8.8 -2.6 -0.2 -2.1 -0.6 -2.0 -2.1 -9.0 -2.2 -9.6 -4.6 -8.9 -6.6 8.4 20.0 20.0 20.0 -6.5 -5.4 -11.6 -7.4 -9.7 10.3 -3.1 -5.3 -3.8 -4.9 -5.5 -4.0 20.0 -18.4 -11.4 2.2 -2.0 -7.8 -2.3 14.2 20.0 LIVECOW -19.2 -8.5 -0.3 -5.9 -0.5 -4.8 -1.5 -4.5 -4.9 -16.8 19.2 -17.2 20.0 -8.0 5.8 -20.0 -4.6 -20.0 -9.9 5.3 20.0 -14.1 20.0 -7.4 0.5 3.5 -9.9 11.8 -6.3 16.4 -3.0 -11.5 -11.9 -20.0 20.0 20.0 -20.0 -20.0 -13.4 -16.4 LUMBER-new 1.5 -6.4 -12.5 -6.1 -0.5 -4.8 -1.5 -3.7 -5.1 -20.0 -20.0 -14.7 -20.0 -19.1 -20.0 -15.4 -14.2 -15.5 -14.7 -15.8 -18.3 -12.4 -16.4 -11.4 NaN -7.6 -11.6 -7.6 -7.3 -5.8 -6.1 -20.0 -7.9 7.0 -3.7 -16.6 -12.9 -20.0 -5.0 -18.7 MILK 1.6 -2.7 3.0 -4.1 -0.3 -3.3 -1.0 -3.1 -3.4 5.4 -7.2 6.3 -12.6 -7.8 1.1 -13.7 -20.0 -18.6 -20.0 -5.0 -10.7 10.6 -19.1 0.6 2.5 -2.0 6.7 -5.1 5.9 -8.4 1.2 -20.0 20.0 10.9 6.5 0.3 -20.0 -20.0 -20.0 -20.0 MXP -18.2 -20.0 -20.0 -3.0 -3.0 -1.0 -2.9 0.6 -3.2 -8.7 5.4 -10.6 10.5 -10.8 -8.7 12.8 16.7 14.6 15.7 -9.0 0.9 -10.2 10.9 -12.4 -20.0 -3.1 -2.4 0.4 -3.3 3.9 -4.2 20.0 3.4 -17.2 -10.7 0.3 16.7 10.8 20.0 20.0 NASDAQ_micro 0.8 -16.9 -13.1 -3.4 -6.2 -1.9 -4.0 -0.1 -3.5 -10.5 7.2 -4.5 8.5 -5.2 -6.4 -9.7 -8.6 -10.0 -9.7 -3.2 4.9 -9.7 10.8 -5.3 -20.0 -1.3 -8.7 2.7 -4.2 6.3 -2.3 -5.4 -3.5 12.5 7.3 10.4 0.5 -13.3 -1.6 -16.2 NIKKEI -12.3 -16.9 -12.0 -3.7 -6.9 -2.1 -4.4 -0.2 -3.9 -8.6 9.4 -0.5 10.8 -2.2 -2.2 3.8 10.9 7.8 9.9 -2.2 5.1 -6.3 11.0 -4.7 -6.8 -1.5 -5.5 2.7 -2.9 5.8 -2.8 20.0 17.5 -0.6 11.4 7.0 -1.7 3.1 -3.0 11.6 NZD 3.9 2.2 -10.9 -3.3 -3.3 -1.1 -3.2 0.7 -3.5 -12.6 -11.8 -11.9 -2.4 -8.0 -12.1 -0.1 0.3 -0.0 0.1 -6.8 -8.0 -12.9 -7.7 -7.4 0.6 -3.1 -8.9 -3.4 -7.1 -3.1 -3.9 4.2 -17.0 3.2 7.5 -4.9 3.2 -15.1 8.6 8.5 OAT -0.8 -10.4 -4.3 -2.9 -1.9 -2.4 -2.4 -2.1 -2.7 -6.4 -7.4 -4.6 -8.6 -6.5 -7.2 5.6 7.9 5.9 6.6 -7.8 -7.4 -6.0 -8.7 -6.7 8.0 -2.9 -2.1 -2.4 -2.2 -2.5 -2.5 16.1 4.7 6.4 5.1 4.5 -20.0 -20.0 -6.9 8.8 OATIES -20.0 -20.0 4.9 -3.0 -0.2 -2.5 -0.7 -2.3 -2.5 -6.6 1.8 -10.4 -1.5 -11.7 -8.2 -18.5 -7.8 -17.7 -14.7 -15.0 -0.4 -20.0 5.0 -20.0 -20.0 -2.6 -1.5 -0.1 -4.0 0.8 -4.5 -20.0 -20.0 -20.0 -19.4 2.8 8.3 11.9 20.0 20.0 OJ 20.0 20.0 20.0 -6.3 -0.5 -5.1 -1.6 -4.8 -5.3 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 9.8 6.8 10.2 7.6 10.7 8.9 20.0 20.0 20.0 20.0 20.0 2.7 7.3 17.1 20.0 PALLAD -17.4 -0.8 -2.4 -2.9 2.5 -1.9 0.8 -0.4 -1.8 -11.5 -12.9 -12.4 -13.3 -12.0 -12.0 -3.0 -2.7 -3.0 -2.9 -14.0 -17.3 -15.2 -20.0 -15.1 1.6 -4.2 -5.0 -3.9 -5.3 -4.3 -5.1 2.9 -20.0 -15.4 -8.1 -6.9 -9.8 -7.3 1.7 -3.1 PLAT -4.2 -5.7 -11.0 -2.9 2.6 -1.9 0.8 -0.4 -1.8 10.3 -11.2 -0.7 -5.0 -7.8 -9.1 -3.9 -2.7 -3.7 -3.3 -8.2 -9.1 1.4 -6.8 -4.4 13.1 -2.1 2.7 -2.0 0.7 -1.3 -1.4 2.7 -1.4 -1.7 5.6 3.4 1.2 -17.3 8.2 -14.1 REDWHEAT -4.6 -18.0 -20.0 -4.4 -0.4 -3.6 -1.1 -3.4 -3.7 -10.3 -16.6 -11.9 -17.2 -15.0 -17.7 -5.1 0.3 -4.0 -1.8 -20.0 -20.0 -7.4 -18.0 -16.7 -16.8 -6.0 -0.8 -5.3 -2.1 -3.4 -4.6 -3.0 -2.0 -15.5 -12.9 -20.0 -20.0 -20.0 -20.0 -9.9 RICE -3.9 -6.1 10.1 -5.1 2.9 -4.1 -0.5 -3.8 -4.3 -9.2 8.8 3.2 5.0 -7.4 5.6 -20.0 9.4 -11.2 3.3 2.8 5.7 -0.6 4.8 -0.3 -20.0 0.2 -1.9 1.7 -0.2 1.6 -0.5 12.3 10.0 11.7 12.6 10.5 -4.2 -20.0 16.3 -8.7 ROBUSTA -10.5 -12.3 -1.6 -4.9 2.8 -4.0 -0.4 -3.8 -4.2 17.4 10.5 4.1 14.1 -7.7 -9.2 20.0 20.0 20.0 20.0 -4.4 7.8 12.0 20.0 -3.6 -20.0 -2.1 17.5 2.6 6.5 7.7 -1.3 20.0 20.0 -5.8 10.9 -7.7 -1.7 -11.9 20.0 -0.6 RUSSELL -5.1 -20.0 -10.1 -3.6 -6.7 -2.0 -4.3 -0.1 -3.7 -11.6 -9.1 -11.1 -6.1 -12.5 -12.4 -7.4 -6.3 -7.8 -7.3 -16.6 -10.3 -16.3 -5.5 -17.2 -2.3 -4.1 -5.4 -2.1 -4.5 -0.5 -4.7 -1.3 -7.0 -6.4 -7.7 2.7 -11.1 -12.2 -20.0 -20.0 SHATZ 11.0 -2.9 1.0 -2.6 -1.7 -2.2 -2.2 -1.9 -2.5 -4.1 -7.3 -3.3 -8.1 -4.2 -4.8 -20.0 -12.0 -20.0 -19.1 -5.0 -7.5 -4.4 -12.1 -3.8 10.4 -2.1 -1.3 -2.7 -2.0 -4.1 -1.7 -20.0 -2.5 16.7 6.9 8.3 -20.0 -20.0 -17.4 -20.0 SILVER-mini 0.2 -11.3 -10.6 -3.0 2.7 -2.0 0.8 -0.5 -1.9 12.0 -4.6 7.4 1.7 -2.3 -5.9 -6.3 -6.2 -7.1 -6.9 -5.8 -5.5 13.2 -2.1 1.4 6.1 -1.2 8.3 -0.7 5.3 0.1 0.9 -3.5 20.0 3.3 2.3 6.7 -14.1 -20.0 -5.7 -20.0 SMI -10.0 -5.6 -10.1 -4.2 -7.7 -2.3 -4.9 -0.2 -4.3 -14.2 -3.4 -13.5 3.1 -11.6 -12.2 4.5 1.7 2.1 1.0 -11.1 -6.6 -20.0 -2.4 -17.3 5.2 -3.8 -17.5 -2.1 -11.6 -1.4 -6.6 12.5 -20.0 -12.0 4.2 3.1 -7.5 -14.2 -7.3 -9.2 SOFR -0.2 -7.9 -14.8 -2.8 -1.8 -2.4 -2.3 -2.1 -2.7 -5.2 -8.2 -6.3 -6.3 -7.3 -8.2 -0.2 -0.9 -1.1 -1.2 -10.3 -9.1 -11.7 -7.3 -10.7 -1.5 -3.1 -3.0 -2.7 -3.7 -2.0 -3.3 1.6 -5.1 1.1 4.8 1.2 -20.0 -20.0 -5.7 -6.8 SOYBEAN -4.6 -11.0 2.6 -4.5 -0.4 -3.7 -1.1 -3.5 -3.8 14.5 6.1 9.3 2.8 -11.8 -5.1 14.5 17.7 12.1 13.7 -4.8 -0.5 3.8 0.4 -4.2 -20.0 -1.9 4.8 -0.1 2.6 0.6 -1.5 20.0 9.9 8.2 3.5 10.2 -20.0 -3.0 -18.3 3.3 SOYMEAL 5.5 -5.7 -4.2 -3.6 -0.3 -3.0 -0.9 -2.8 -3.0 11.8 -7.9 11.0 0.9 -1.2 -4.3 10.9 17.0 11.2 14.3 -1.1 -3.1 20.0 0.2 8.0 -20.0 0.4 11.8 0.4 9.6 2.2 3.8 20.0 20.0 19.3 9.0 7.1 -20.0 -20.0 -20.0 -18.7 SOYOIL -20.0 -20.0 2.7 -2.8 -0.2 -2.3 -0.7 -2.2 -2.4 -6.0 2.6 -7.8 -0.9 -9.4 -6.3 11.0 11.9 13.0 12.1 -12.5 -3.6 -12.3 0.2 -16.4 -20.0 -2.9 -2.7 -1.0 -2.8 -0.1 -3.7 17.9 -12.3 -20.0 -16.5 0.6 -3.8 5.1 16.1 20.0 SP400 -3.0 -20.0 -11.9 -3.4 -6.3 -1.9 -4.1 -0.1 -3.5 -10.8 -6.8 -9.1 1.1 -10.9 -10.6 -5.2 -5.1 -5.5 -5.4 -12.9 -7.4 -12.9 -2.2 -13.1 -9.5 -3.6 -5.6 -1.7 -4.0 0.0 -4.0 1.3 -1.2 -2.7 -2.7 6.2 -6.4 -13.2 -15.7 -20.0 SP500_micro -4.0 -20.0 -16.5 -4.0 -7.4 -2.3 -4.8 -0.2 -4.2 -12.2 4.0 -6.3 7.8 -8.8 -9.4 -10.9 -9.8 -11.6 -11.2 -10.1 -1.5 -13.4 5.3 -11.4 -17.2 -3.2 -8.1 0.1 -4.4 2.8 -3.7 -7.7 -0.2 3.6 0.4 10.5 -5.3 -12.3 -6.3 -17.5 SUGAR11 -6.9 8.2 2.2 -5.0 -0.4 -4.0 -1.2 -3.8 -4.2 1.7 17.6 10.5 17.7 13.6 15.9 20.0 14.6 18.7 13.6 17.1 20.0 8.0 20.0 12.3 -20.0 5.5 -0.9 8.4 3.2 12.9 4.2 20.0 14.3 6.4 20.0 17.4 -20.0 -20.0 7.9 2.3 US10 1.3 -6.8 -13.9 -2.5 -1.6 -2.1 -2.1 -1.8 -2.4 -5.1 -7.9 -6.1 -7.8 -6.8 -7.6 -6.1 -7.3 -7.8 -8.2 -11.2 -10.9 -10.5 -10.4 -10.5 1.1 -2.9 -2.3 -2.6 -2.7 -2.3 -2.8 -10.1 -2.6 -1.6 1.1 -1.6 -20.0 -20.0 2.8 0.1 US10U -0.3 -9.5 -14.1 -3.1 -2.0 -2.6 -2.6 -2.3 -2.9 -6.9 -9.7 -8.0 -9.6 -8.7 -9.6 2.5 -0.4 0.9 -0.3 -14.7 -13.8 -13.5 -12.5 -13.9 -2.4 -3.6 -2.9 -3.2 -3.2 -2.6 -3.4 2.6 -2.7 -4.4 -0.3 -3.7 -20.0 -20.0 11.2 15.5 US2 11.3 7.0 -11.4 -2.6 -1.7 -2.2 -2.2 -1.9 -2.5 -2.1 -8.6 -3.7 -8.6 -5.7 -7.4 -20.0 -20.0 -20.0 -20.0 -8.5 -12.7 -4.2 -16.3 -5.5 8.5 -2.9 -0.0 -4.1 -1.7 -5.4 -2.0 -20.0 1.7 12.8 10.1 2.9 -20.0 -20.0 -16.3 -20.0 US20 -3.7 -10.9 -14.6 -2.2 -1.4 -1.9 -1.8 -1.6 -2.1 -5.3 -6.9 -6.0 -6.5 -6.3 -6.8 -0.7 -1.8 -1.9 -2.1 -11.8 -10.5 -10.5 -8.9 -11.3 -2.1 -2.5 -1.8 -2.2 -2.1 -1.7 -2.4 0.0 -1.0 -7.4 -3.4 -5.6 -12.0 -20.0 20.0 20.0 US30 -3.2 -10.2 -10.9 -2.3 -1.5 -1.9 -1.9 -1.7 -2.2 -5.9 -7.2 -6.3 -6.9 -6.6 -7.1 -4.9 -4.1 -6.0 -5.4 -11.3 -10.3 -10.2 -9.3 -10.7 -1.6 -2.6 -2.2 -2.3 -2.2 -1.8 -2.5 -4.6 -1.3 -5.4 -1.5 -4.7 -8.4 -20.0 20.0 20.0 US5 4.4 -3.1 -12.6 -2.6 -1.7 -2.2 -2.2 -1.9 -2.5 -4.9 -8.3 -5.8 -8.2 -6.8 -7.8 -10.5 -10.6 -12.6 -12.5 -10.0 -10.7 -9.2 -11.2 -9.1 3.4 -3.0 -2.2 -3.0 -3.0 -2.9 -2.9 -16.6 -2.5 4.1 4.9 1.2 -20.0 -20.0 -7.3 -17.9 VIX 16.7 20.0 20.0 0.9 9.5 -4.6 7.8 -8.5 5.1 15.1 -15.0 13.2 -17.3 10.5 2.8 -15.4 -20.0 -20.0 -20.0 0.5 -11.0 16.0 -20.0 9.3 NaN 1.1 10.9 -5.2 8.9 -10.2 5.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 8.7 -12.8 -20.0 -4.0 -0.3 -3.3 -1.0 -3.1 -3.4 10.1 -14.9 10.4 -16.1 -6.5 -14.7 -11.1 -10.0 -11.3 -11.0 -14.2 -20.0 3.3 -20.0 -4.3 -4.8 -4.3 3.3 -5.7 1.8 -5.9 -1.2 -20.0 4.8 9.8 -1.6 -15.0 -20.0 -15.2 -20.0 -11.5 End of report for caleb_strategy_v3