******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231024_204326 produced at 2023-10-24 21:39:22.688436 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.04 0.0 0.00 0.00 0.00 0.00 -11.99 11.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.20 -0.24 0.0 0.20 -0.20 -0.20 -0.20 -7.13 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 -2.68 13.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.08 -0.17 0.0 0.77 -0.77 -0.08 -0.08 -6.28 29.0 -3 -3 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.17 0.0 0.00 0.00 0.00 0.00 -4.12 24.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.12 -0.13 0.0 0.52 -0.52 -0.12 -0.12 -4.32 17.0 -4 -4 caleb_strategy_v3 CHF False False 0.05 -0.26 -0.12 0.0 0.67 -0.67 -0.26 -0.26 -2.41 13.0 -5 -5 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.09 0.0 0.95 -0.95 -0.04 -0.04 -2.25 25.0 -1 -1 caleb_strategy_v3 VIX False False 0.01 -0.08 -0.09 0.0 0.13 -0.13 -0.08 -0.08 -12.55 17.0 -11 -11 caleb_strategy_v3 DOW False False 0.01 0.00 -0.08 0.0 0.40 -0.40 0.00 0.00 -12.87 66.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.07 0.0 0.37 -0.37 0.00 0.00 -8.86 48.0 0 0 caleb_strategy_v3 SP400 False False 0.09 -0.17 -0.07 0.0 0.17 -0.17 -0.17 -0.17 -0.83 2.0 -2 -2 caleb_strategy_v3 RUSSELL False False 0.00 -0.05 -0.07 0.0 0.21 -0.21 -0.05 -0.05 -23.51 68.0 -17 -17 caleb_strategy_v3 CANOLA False False 0.00 0.00 -0.06 0.0 0.19 -0.19 0.00 0.00 -15.15 51.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 -0.05 0.0 0.40 -0.40 -0.01 -0.01 -6.27 56.0 -1 -1 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.05 0.0 0.44 -0.44 -0.02 -0.02 -2.13 19.0 -1 -1 caleb_strategy_v3 US10 False False 0.04 0.00 -0.05 0.0 0.66 -0.66 0.00 0.00 -1.22 17.0 0 0 caleb_strategy_v3 SMI False False 0.04 -0.08 -0.05 0.0 0.38 -0.38 -0.08 -0.08 -1.20 9.0 -2 -2 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.05 0.0 0.34 -0.34 0.00 0.00 -1.07 8.0 0 0 caleb_strategy_v3 LIVECOW False False 0.03 -0.03 -0.05 0.0 0.45 -0.45 -0.03 -0.03 -2.09 17.0 -1 -1 caleb_strategy_v3 BTP False False 0.04 0.00 -0.05 0.0 0.42 -0.42 0.00 0.00 -1.09 10.0 0 0 caleb_strategy_v3 PALLAD False False 0.04 -0.04 -0.04 0.0 0.08 -0.08 -0.04 -0.04 -0.89 2.0 -1 -1 caleb_strategy_v3 CAC False True 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.37 12.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 -0.04 0.0 0.08 -0.08 -0.01 -0.02 -13.16 26.0 -4 -5 caleb_strategy_v3 CORN False False 0.01 -0.01 -0.04 0.0 0.11 -0.11 -0.01 -0.01 -4.13 12.0 -1 -1 caleb_strategy_v3 EUR False False 0.05 -0.29 -0.04 0.0 0.68 -0.68 -0.29 -0.29 -0.89 14.0 -6 -6 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.06 -0.04 0.0 0.25 -0.25 -0.06 -0.08 -3.58 23.0 -6 -7 caleb_strategy_v3 MXP False False 0.01 0.00 -0.04 0.0 0.59 -0.59 0.00 0.00 -3.92 60.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.04 0.0 0.01 -0.01 0.00 0.00 -8.53 3.0 0 0 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.03 0.0 0.86 -0.86 0.00 0.00 -0.63 19.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 -0.03 0.0 0.52 -0.52 0.00 0.00 -0.69 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 -2.26 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 -4.67 2.0 0 0 caleb_strategy_v3 NZD False False 0.02 -0.04 -0.03 0.0 0.45 -0.45 -0.04 -0.04 -1.34 21.0 -2 -2 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.03 0.0 0.11 -0.11 -0.02 -0.02 -2.37 9.0 -2 -2 caleb_strategy_v3 COTTON2 False False 0.02 -0.05 -0.03 0.0 0.17 -0.17 -0.05 -0.05 -1.98 11.0 -3 -3 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.07 -0.07 0.00 0.00 -2.57 5.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 -0.03 0.0 0.61 -0.61 0.00 0.00 -0.96 22.0 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 -0.72 0.0 0 0 caleb_strategy_v3 DAX False False 0.01 -0.01 -0.02 0.0 0.34 -0.34 -0.01 -0.01 -3.07 58.0 -1 -1 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.14 -0.14 0.00 0.00 -0.46 6.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.50 -0.50 0.00 0.00 -0.25 10.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -0.54 4.0 0 0 caleb_strategy_v3 PLAT False False 0.02 -0.05 -0.01 0.0 0.16 -0.16 -0.05 -0.05 -0.51 10.0 -3 -3 caleb_strategy_v3 US20 False False 0.04 -0.08 -0.01 0.0 0.36 -0.36 -0.08 -0.04 -0.34 9.0 -2 -1 caleb_strategy_v3 OAT False False 0.05 0.00 -0.01 0.0 0.48 -0.48 0.00 0.00 -0.13 10.0 0 0 caleb_strategy_v3 US30 False False 0.04 -0.12 -0.01 0.0 0.25 -0.25 -0.12 -0.12 -0.24 6.0 -3 -3 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.01 0.0 0.11 -0.11 -0.02 -0.02 -0.74 10.0 -2 -2 caleb_strategy_v3 BUXL False False 0.05 -0.09 -0.01 0.0 0.19 -0.19 -0.09 -0.09 -0.17 4.0 -2 -2 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.16 -0.16 -0.02 -0.02 -0.28 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 -0.11 9.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.00 -0.00 0.0 0.32 -0.32 0.00 0.00 -0.17 20.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.09 4.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.01 0.0 0.21 -0.21 0.00 0.01 1.33 23.0 0 1 caleb_strategy_v3 LEANHOG False False 0.01 0.02 0.01 0.0 0.13 -0.13 0.02 0.02 1.20 13.0 2 2 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.24 3.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 0.00 0.03 0.0 0.07 -0.07 0.00 0.01 28.11 59.0 4 7 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.03 0.0 0.12 -0.12 0.00 0.00 0.97 4.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.00 0.03 0.0 0.36 -0.36 0.00 0.00 1.83 26.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.03 0.0 0.19 -0.19 0.00 0.00 2.50 18.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.06 0.04 0.0 0.27 -0.27 0.06 0.06 5.89 36.0 8 8 caleb_strategy_v3 OJ False False 0.02 0.00 0.07 0.0 0.06 -0.06 0.00 0.00 3.13 3.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.09 0.0 0.14 -0.14 0.08 0.08 3.32 5.0 3 3 caleb_strategy_v3 DX False False 0.04 0.00 0.14 0.0 38595605.78 -38595605.78 0.00 0.00 3.56 999999999.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.42 0.18 0.0 0.56 -0.56 0.42 0.42 5.00 16.0 12 12 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.09 0.26 0.0 0.94 -0.94 0.09 0.19 2.77 10.0 1 2 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 11.9 Shocked risk 26.5 Sum abs risk 45.8 Leverage 4.57 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2748888.06, 'annual_cash_vol_target': 687222.015, 'daily_cash_vol_target': 42951.3759375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0042 0.6370 0.6651 10.6411 BITCOIN 873.7126 33920.0000 2.5758 41.2129 BOBL 0.2875 115.9200 0.2480 3.9677 BTP 0.6683 109.2400 0.6118 9.7887 BUND 0.5908 128.7500 0.4589 7.3419 BUXL 1.3608 121.5000 1.1200 17.9205 CAC 57.8828 6918.0000 0.8367 13.3872 CAD 0.0029 0.7288 0.3960 6.3368 CANOLA 6.9979 689.4000 1.0151 16.2413 CHF 0.0049 1.1260 0.4335 6.9353 COCOA 43.0995 3765.0000 1.1447 18.3158 COFFEE 2.4324 167.6000 1.4513 23.2208 COPPER 0.0359 3.6335 0.9892 15.8272 CORN 5.3749 512.7500 1.0483 16.7721 COTTON2 1.0914 84.6100 1.2899 20.6387 CRUDE_W 1.2733 76.7600 1.6588 26.5410 DAX 121.0584 14977.0000 0.8083 12.9327 DOW 210.0118 33291.0000 0.6308 10.0934 DX 0.3653 106.0950 0.3443 5.5083 EUR 0.0054 1.0612 0.5106 8.1697 EURIBOR-ICE 0.0553 97.0500 0.0569 0.9109 EUROSTX 38.6161 4084.0000 0.9455 15.1287 FEEDCOW 2.1212 237.0500 0.8948 14.3170 GASOIL 16.3027 847.2500 1.9242 30.7871 GASOLINE 0.0409 2.2471 1.8188 29.1003 GAS_US_mini 0.0879 3.5700 2.4635 39.4163 GBP 0.0069 1.2164 0.5664 9.0624 GOLD_micro 15.3666 1984.8000 0.7742 12.3875 HEATOIL 0.0469 2.8758 1.6315 26.1040 JGB-SGX-mini 0.2208 144.5800 0.1527 2.4432 JPY 0.0000 0.0067 0.4935 7.8956 LEANHOG 1.2601 69.5000 1.8131 29.0096 LIVECOW 1.6556 180.9750 0.9148 14.6370 LUMBER-new 7.7958 484.0000 1.6107 25.7711 MILK 0.2245 17.8800 1.2556 20.0896 MXP 0.0005 0.0543 0.8532 13.6511 NASDAQ_micro 134.4307 14832.7500 0.9063 14.5010 NIKKEI 339.9044 31000.0000 1.0965 17.5435 NZD 0.0040 0.5843 0.6843 10.9486 OAT 0.5985 123.0500 0.4864 7.7817 OATIES 6.7122 408.2500 1.6441 26.3061 OJ 3.9203 384.9500 1.0184 16.2941 PALLAD 19.2792 1133.5000 1.7009 27.2137 PLAT 12.7559 893.2000 1.4281 22.8499 REDWHEAT 10.0811 671.7500 1.5007 24.0116 RICE 0.1487 16.6450 0.8932 14.2915 ROBUSTA 31.9947 2491.0000 1.2844 20.5506 RUSSELL 19.0349 1688.1000 1.1276 18.0415 SHATZ 0.0856 105.0400 0.0815 1.3037 SILVER-mini 0.3422 23.2250 1.4736 23.5771 SMI 84.2544 10403.0000 0.8099 12.9585 SOFR 0.0793 95.7850 0.0828 1.3249 SOYBEAN 10.4375 1262.2500 0.8269 13.2303 SOYMEAL 5.1438 412.0000 1.2485 19.9758 SOYOIL 0.7735 50.1100 1.5437 24.6987 SP400 24.3281 2397.3000 1.0148 16.2370 SP500_micro 31.6423 4272.2500 0.7406 11.8504 SUGAR11 0.3310 26.2800 1.2594 20.1501 US10 0.4644 106.4062 0.4364 6.9830 US10U 0.6575 109.2188 0.6020 9.6320 US2 0.1081 101.2344 0.1068 1.7084 US20 1.0243 110.1250 0.9302 14.8827 US30 1.5079 113.7500 1.3256 21.2095 US5 0.2903 104.5000 0.2778 4.4448 VIX 0.6625 20.2500 3.2715 52.3448 WHEAT 8.9794 664.0000 1.3523 21.6371 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 637.05 0.67 423.68 1.00 423.68 42951.38 101.38 -8.11 -82.21 BITCOIN 33.92 2.58 87.37 1.00 87.37 42951.38 491.60 5.28 259.59 BOBL 1159.20 0.25 287.46 1.06 304.12 42951.38 141.23 -4.41 -62.29 BTP 1092.40 0.61 668.32 1.06 707.05 42951.38 60.75 -5.25 -31.90 BUND 1287.50 0.46 590.80 1.06 625.03 42951.38 68.72 -3.61 -24.81 BUXL 1215.00 1.12 1360.84 1.06 1439.70 42951.38 29.83 -5.63 -16.78 CAC 691.80 0.84 578.83 1.06 612.37 42951.38 70.14 -5.73 -40.16 CAD 728.75 0.40 288.62 1.00 288.62 42951.38 148.82 -16.27 -242.09 CANOLA 137.88 1.02 139.96 0.73 102.08 42951.38 420.76 -14.80 -622.74 CHF 1407.44 0.43 610.07 1.00 610.07 42951.38 70.40 -13.21 -93.02 COCOA 376.50 1.14 430.99 1.00 430.99 42951.38 99.66 8.59 85.57 COFFEE 628.50 1.45 912.14 1.00 912.14 42951.38 47.09 -8.33 -39.21 COPPER 908.38 0.99 898.57 1.00 898.57 42951.38 47.80 -13.77 -65.84 CORN 256.38 1.05 268.75 1.00 268.75 42951.38 159.82 -10.61 -169.62 COTTON2 423.05 1.29 545.70 1.00 545.70 42951.38 78.71 -11.77 -92.66 CRUDE_W 767.60 1.66 1273.30 1.00 1273.30 42951.38 33.73 9.10 30.69 DAX 149.77 0.81 121.06 1.06 128.07 42951.38 335.36 -2.68 -89.86 DOW 166.46 0.63 105.01 1.00 105.01 42951.38 409.04 -13.54 -553.74 DX 1060.95 0.34 365.25 1.00 365.25 42951.38 117.59 11.67 137.25 EUR 1326.44 0.51 677.28 1.00 677.28 42951.38 63.42 -5.43 -34.45 EURIBOR-ICE 2426.25 0.06 138.13 1.06 146.14 42951.38 293.91 2.77 81.31 EUROSTX 408.40 0.95 386.16 1.06 408.54 42951.38 105.13 -0.46 -4.88 FEEDCOW 1185.25 0.89 1060.58 1.00 1060.58 42951.38 40.50 -7.99 -32.37 GASOIL 847.25 1.92 1630.27 1.00 1630.27 42951.38 26.35 8.54 22.49 GASOLINE 943.78 1.82 1716.52 1.00 1716.52 42951.38 25.02 0.81 2.03 GAS_US_mini 89.25 2.46 219.87 1.00 219.87 42951.38 195.35 -6.22 -121.49 GBP 760.25 0.57 430.61 1.00 430.61 42951.38 99.75 -3.73 -37.17 GOLD_micro 198.48 0.77 153.67 1.00 153.67 42951.38 279.51 -6.58 -183.94 HEATOIL 1207.84 1.63 1970.59 1.00 1970.59 42951.38 21.80 2.56 5.58 JGB-SGX-mini 144580.00 0.15 22077.18 0.01 147.25 42951.38 291.69 1.58 46.13 JPY 841.31 0.49 415.17 1.00 415.17 42951.38 103.46 -16.11 -166.64 LEANHOG 278.00 1.81 504.04 1.00 504.04 42951.38 85.21 2.33 19.81 LIVECOW 723.90 0.91 662.23 1.00 662.23 42951.38 64.86 -9.71 -62.99 LUMBER-new 133.10 1.61 214.38 1.00 214.38 42951.38 200.35 -20.00 -400.70 MILK 357.60 1.26 449.00 1.00 449.00 42951.38 95.66 -12.56 -120.17 MXP 271.45 0.85 231.60 1.00 231.60 42951.38 185.45 -1.44 -26.68 NASDAQ_micro 296.66 0.91 268.86 1.00 268.86 42951.38 159.75 -9.63 -153.85 NIKKEI 31000.00 1.10 33990.44 0.01 226.66 42951.38 189.50 2.87 54.40 NZD 584.30 0.68 399.83 1.00 399.83 42951.38 107.42 -4.80 -51.56 OAT 1230.50 0.49 598.46 1.06 633.14 42951.38 67.84 -0.55 -3.74 OATIES 204.12 1.64 335.61 1.00 335.61 42951.38 127.98 -15.01 -192.15 OJ 577.43 1.02 588.04 1.00 588.04 42951.38 73.04 20.00 146.08 PALLAD 1133.50 1.70 1927.92 1.00 1927.92 42951.38 22.28 -11.74 -26.15 PLAT 446.60 1.43 637.80 1.00 637.80 42951.38 67.34 -2.21 -14.91 REDWHEAT 335.88 1.50 504.06 1.00 504.06 42951.38 85.21 -20.00 -170.42 RICE 332.90 0.89 297.35 1.00 297.35 42951.38 144.45 -1.53 -22.16 ROBUSTA 249.10 1.28 319.95 1.00 319.95 42951.38 134.25 8.51 114.27 RUSSELL 84.40 1.13 95.17 1.00 95.17 42951.38 451.29 -15.72 -709.40 SHATZ 1050.40 0.08 85.59 1.06 90.55 42951.38 474.33 -8.56 -405.93 SILVER-mini 580.62 1.47 855.59 1.00 855.59 42951.38 50.20 -4.23 -21.25 SMI 1040.30 0.81 842.54 1.12 941.00 42951.38 45.64 -7.71 -35.20 SOFR 2394.62 0.08 198.29 1.00 198.29 42951.38 216.61 -9.11 -197.36 SOYBEAN 631.12 0.83 521.87 1.00 521.87 42951.38 82.30 -3.67 -30.19 SOYMEAL 412.00 1.25 514.38 1.00 514.38 42951.38 83.50 -1.41 -11.78 SOYOIL 300.66 1.54 464.12 1.00 464.12 42951.38 92.54 -8.59 -79.48 SP400 2397.30 1.01 2432.81 1.00 2432.81 42951.38 17.66 -14.17 -25.01 SP500_micro 213.61 0.74 158.21 1.00 158.21 42951.38 271.48 -14.04 -381.11 SUGAR11 294.34 1.26 370.68 1.00 370.68 42951.38 115.87 10.13 117.37 US10 1064.06 0.44 464.39 1.00 464.39 42951.38 92.49 -10.41 -96.30 US10U 1092.19 0.60 657.49 1.00 657.49 42951.38 65.33 -8.38 -54.75 US2 2024.69 0.11 216.18 1.00 216.18 42951.38 198.68 -10.65 -211.60 US20 1101.25 0.93 1024.35 1.00 1024.35 42951.38 41.93 -6.40 -26.84 US30 1137.50 1.33 1507.86 1.00 1507.86 42951.38 28.48 -6.59 -18.77 US5 1045.00 0.28 290.30 1.00 290.30 42951.38 147.96 -11.99 -177.38 VIX 202.50 3.27 662.49 1.00 662.49 42951.38 64.83 -7.84 -50.84 WHEAT 332.00 1.35 448.97 1.00 448.97 42951.38 95.67 -18.71 -179.02 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -82.213 0.010 2.5 -2.133 BITCOIN 259.585 0.043 2.5 28.111 BOBL -62.289 0.004 2.5 -0.632 BTP -31.902 0.014 2.5 -1.088 BUND -24.815 0.004 2.5 -0.252 BUXL -16.784 0.004 2.5 -0.170 CAC -40.159 0.014 2.5 -1.370 CAD -242.095 0.010 2.5 -6.282 CANOLA -622.739 0.010 2.5 -15.151 CHF -93.024 0.010 2.5 -2.414 COCOA 85.575 0.009 2.5 1.833 COFFEE -39.210 0.005 2.5 -0.458 COPPER -65.838 0.043 2.5 -7.130 CORN -169.621 0.010 2.5 -4.127 COTTON2 -92.661 0.009 2.5 -1.985 CRUDE_W 30.690 0.043 2.5 3.324 DAX -89.863 0.014 2.5 -3.065 DOW -553.735 0.009 2.5 -12.869 DX 137.253 0.010 2.5 3.561 EUR -34.450 0.010 2.5 -0.894 EURIBOR-ICE 81.313 0.014 2.5 2.774 EUROSTX -4.881 0.014 2.5 -0.166 FEEDCOW -32.374 0.013 2.5 -1.073 GASOIL 22.490 0.017 2.5 0.975 GASOLINE 2.031 0.017 2.5 0.088 GAS_US_mini -121.492 0.043 2.5 -13.157 GBP -37.174 0.010 2.5 -0.965 GOLD_micro -183.937 0.014 2.5 -6.274 HEATOIL 5.581 0.017 2.5 0.242 JGB-SGX-mini 46.133 0.043 2.5 4.996 JPY -166.643 0.010 2.5 -4.324 LEANHOG 19.814 0.024 2.5 1.204 LIVECOW -62.990 0.013 2.5 -2.087 LUMBER-new -400.697 0.009 2.5 -8.528 MILK -120.168 0.009 2.5 -2.574 MXP -26.680 0.059 2.5 -3.916 NASDAQ_micro -153.854 0.009 2.5 -3.576 NIKKEI 54.405 0.043 2.5 5.892 NZD -51.558 0.010 2.5 -1.338 OAT -3.739 0.014 2.5 -0.128 OATIES -192.149 0.010 2.5 -4.675 OJ 146.083 0.009 2.5 3.129 PALLAD -26.154 0.014 2.5 -0.892 PLAT -14.911 0.014 2.5 -0.509 REDWHEAT -170.423 0.005 2.5 -2.261 RICE -22.156 0.010 2.5 -0.539 ROBUSTA 114.273 0.005 2.5 1.335 RUSSELL -709.396 0.013 2.5 -23.509 SHATZ -405.934 0.004 2.5 -4.117 SILVER-mini -21.246 0.014 2.5 -0.725 SMI -35.205 0.014 2.5 -1.201 SOFR -197.357 0.024 2.5 -11.995 SOYBEAN -30.192 0.004 2.5 -0.281 SOYMEAL -11.785 0.004 2.5 -0.110 SOYOIL -79.483 0.004 2.5 -0.740 SP400 -25.009 0.013 2.5 -0.829 SP500_micro -381.109 0.009 2.5 -8.857 SUGAR11 117.369 0.009 2.5 2.496 US10 -96.302 0.005 2.5 -1.220 US10U -54.747 0.005 2.5 -0.694 US2 -211.595 0.005 2.5 -2.681 US20 -26.842 0.005 2.5 -0.340 US30 -18.769 0.005 2.5 -0.238 US5 -177.376 0.005 2.5 -2.248 VIX -50.838 0.099 2.5 -12.550 WHEAT -179.021 0.005 2.5 -2.375 ===================== Position diags ===================== AUD 2.63 BITCOIN 53.24 BOBL 1.43 BTP 2.07 BUND 0.70 BUXL 0.30 CAC 2.39 CAD 3.86 CANOLA 10.24 CHF 1.83 COCOA 2.13 COFFEE 0.55 COPPER 5.18 CORN 3.89 COTTON2 1.69 CRUDE_W 3.65 DAX 11.44 DOW 9.51 DX 3.05 EUR 1.65 EURIBOR-ICE 10.03 EUROSTX 3.59 FEEDCOW 1.34 GASOIL 1.14 GASOLINE 1.08 GAS_US_mini 21.15 GBP 2.59 GOLD_micro 9.53 HEATOIL 0.94 JGB-SGX-mini 31.59 JPY 2.68 LEANHOG 5.18 LIVECOW 2.15 LUMBER-new 4.26 MILK 2.05 MXP 27.22 NASDAQ_micro 3.71 NIKKEI 20.52 NZD 2.79 OAT 2.31 OATIES 3.11 OJ 1.56 PALLAD 0.76 PLAT 2.30 REDWHEAT 1.13 RICE 3.51 ROBUSTA 1.57 RUSSELL 14.96 SHATZ 4.81 SILVER-mini 1.71 SMI 1.56 SOFR 13.16 SOYBEAN 0.77 SOYMEAL 0.78 SOYOIL 0.86 SP400 0.59 SP500_micro 6.31 SUGAR11 2.46 US10 1.17 US10U 0.83 US2 2.52 US20 0.53 US30 0.36 US5 1.87 VIX 16.00 WHEAT 1.27 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.1 -2.4 -1.9 -1.0 -1 BITCOIN 28.1 22.8 33.4 4.0 4 BOBL -0.6 -0.8 -0.5 0.0 0 BTP -1.1 -1.3 -0.9 0.0 0 BUND -0.3 -0.3 -0.2 0.0 0 BUXL -0.2 -0.2 -0.1 -2.0 -2 CAC -1.4 -1.6 -1.1 0.0 0 CAD -6.3 -6.7 -5.9 -3.0 -3 CANOLA -15.2 -16.2 -14.1 NaN 0 CHF -2.4 -2.6 -2.2 -5.0 -5 COCOA 1.8 1.6 2.0 0.0 0 COFFEE -0.5 -0.5 -0.4 0.0 0 COPPER -7.1 -7.6 -6.6 -6.0 -6 CORN -4.1 -4.5 -3.7 -1.0 -1 COTTON2 -2.0 -2.2 -1.8 -3.0 -3 CRUDE_W 3.3 3.0 3.7 3.0 3 DAX -3.1 -4.2 -1.9 -1.0 -1 DOW -12.9 -13.8 -11.9 0.0 0 DX 3.6 3.3 3.9 NaN 0 EUR -0.9 -1.1 -0.7 -6.0 -6 EURIBOR-ICE 2.8 1.8 3.8 1.0 1 EUROSTX -0.2 -0.5 0.2 0.0 0 FEEDCOW -1.1 -1.2 -0.9 0.0 0 GASOIL 1.0 0.9 1.1 0.0 0 GASOLINE 0.1 -0.0 0.2 0.0 0 GAS_US_mini -13.2 -15.3 -11.0 -4.0 -4 GBP -1.0 -1.2 -0.7 0.0 0 GOLD_micro -6.3 -7.2 -5.3 -1.0 -1 HEATOIL 0.2 0.1 0.3 0.0 0 JGB-SGX-mini 5.0 1.8 8.2 12.0 12 JPY -4.3 -4.6 -4.1 -4.0 -4 LEANHOG 1.2 0.7 1.7 2.0 2 LIVECOW -2.1 -2.3 -1.9 -1.0 -1 LUMBER-new -8.5 -9.0 -8.1 NaN 0 MILK -2.6 -2.8 -2.4 NaN 0 MXP -3.9 -6.6 -1.2 0.0 0 NASDAQ_micro -3.6 -3.9 -3.2 -6.0 -6 NIKKEI 5.9 3.8 7.9 8.0 8 NZD -1.3 -1.6 -1.1 -2.0 -2 OAT -0.1 -0.4 0.1 0.0 0 OATIES -4.7 -5.0 -4.4 NaN 0 OJ 3.1 3.0 3.3 NaN 0 PALLAD -0.9 -1.0 -0.8 -1.0 -1 PLAT -0.5 -0.7 -0.3 -3.0 -3 REDWHEAT -2.3 -2.4 -2.1 -4.0 -4 RICE -0.5 -0.9 -0.2 NaN 0 ROBUSTA 1.3 1.2 1.5 0.0 0 RUSSELL -23.5 -25.0 -22.0 -17.0 -17 SHATZ -4.1 -4.6 -3.6 NaN 0 SILVER-mini -0.7 -0.9 -0.6 NaN 0 SMI -1.2 -1.4 -1.0 -2.0 -2 SOFR -12.0 -13.3 -10.7 NaN 0 SOYBEAN -0.3 -0.4 -0.2 -1.0 -1 SOYMEAL -0.1 -0.2 -0.0 0.0 0 SOYOIL -0.7 -0.8 -0.7 -2.0 -2 SP400 -0.8 -0.9 -0.8 -2.0 -2 SP500_micro -8.9 -9.5 -8.2 0.0 0 SUGAR11 2.5 2.2 2.7 0.0 0 US10 -1.2 -1.3 -1.1 NaN 0 US10U -0.7 -0.8 -0.6 0.0 0 US2 -2.7 -2.9 -2.4 NaN 0 US20 -0.3 -0.4 -0.3 -2.0 -2 US30 -0.2 -0.3 -0.2 -3.0 -3 US5 -2.2 -2.4 -2.1 -1.0 -1 VIX -12.5 -14.1 -10.9 -11.0 -11 WHEAT -2.4 -2.5 -2.2 -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 -0.0 -0.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.4 -0.1 -0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.1 0.4 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.0 -0.0 0.1 -0.3 -0.2 -0.7 -0.1 0.1 BITCOIN 0.6 0.2 -0.2 -0.1 0.1 -0.1 0.0 -0.0 -0.0 0.2 0.2 0.2 0.3 0.2 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 0.0 0.2 -2.7 0.0 0.2 0.0 0.2 -0.0 0.1 -0.0 0.5 0.6 0.6 0.2 -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 -0.2 0.0 -0.3 -0.0 -0.0 0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 1.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.4 0.0 0.3 0.2 0.2 -0.7 -0.7 -0.5 -0.6 BTP -0.1 -0.6 -0.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.1 -0.1 -0.1 0.1 0.2 0.1 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 0.8 0.1 0.2 0.0 0.1 -0.4 -0.7 -0.0 0.2 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 -0.0 0.8 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.6 0.1 0.3 0.2 0.1 -0.7 -0.7 -0.7 -0.1 BUXL 0.0 -0.4 -0.2 -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 0.0 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 0.1 0.2 0.0 -0.0 -0.7 -0.7 -0.4 0.6 CAC -0.4 -0.6 -0.5 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 0.5 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.2 0.1 -0.2 -0.7 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.2 -0.1 -0.1 -0.1 0.1 0.4 0.1 0.6 0.3 CAD -0.2 -0.1 -0.4 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.2 -0.3 -0.2 -0.5 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.1 -0.3 -0.2 0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.6 0.1 -0.6 -0.7 -0.7 -0.6 -0.7 CANOLA -0.5 -0.6 -0.1 -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 -0.2 -0.0 -0.2 -0.1 -0.2 -0.1 -0.2 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 -0.4 -0.4 -0.6 0.1 -0.3 -0.0 0.4 0.4 CHF 0.6 -0.6 -0.5 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 0.1 -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 0.0 -0.1 0.1 -0.0 0.0 -1.1 0.5 0.6 -0.4 -0.1 -0.7 -0.7 -0.7 -0.7 COCOA 0.3 -0.4 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 0.5 0.2 0.7 0.1 0.1 -0.1 -0.0 -0.1 -0.1 0.2 0.2 0.2 0.5 0.2 -2.0 0.1 0.1 0.2 0.1 0.4 0.1 -0.3 0.5 0.6 0.6 0.6 0.1 -0.2 0.7 0.2 COFFEE 0.6 0.4 -0.2 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 0.2 -0.5 0.2 -0.6 0.1 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.2 -0.5 0.2 -2.7 0.0 0.2 -0.1 0.2 -0.1 0.1 -0.0 0.5 0.6 0.6 -0.3 -0.7 -0.7 -0.7 -0.4 COPPER -0.3 -0.4 -0.3 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.1 -0.4 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.2 -0.2 -0.0 -0.3 -0.1 -0.8 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.5 -0.2 -0.3 0.0 0.1 -0.7 0.2 -0.7 CORN 0.3 0.0 -0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.5 0.0 -0.6 0.1 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.5 0.0 -2.3 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.2 -0.0 0.5 0.5 -0.2 -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 -0.2 0.0 -0.2 0.1 -0.1 -0.0 -0.0 0.0 -0.2 0.0 -0.2 -2.7 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.0 -0.5 -0.6 0.4 0.5 -0.7 -0.5 0.2 0.3 CRUDE_W -0.6 -0.0 0.6 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 0.4 0.0 0.2 0.1 0.1 0.3 0.2 0.3 0.3 0.1 0.2 0.0 0.3 0.1 -0.6 0.0 -0.0 0.2 0.0 0.2 0.0 -1.1 0.1 0.1 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 -0.0 -0.1 -0.2 -0.2 0.4 0.1 0.7 0.3 DOW -0.1 -0.6 -0.4 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 -0.0 -0.2 -1.3 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.3 0.2 -0.0 -0.1 0.3 -0.5 -0.2 -0.7 -0.3 DX -0.2 0.6 0.6 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.0 0.5 0.0 -0.2 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.2 0.0 0.4 0.2 -2.7 0.1 -0.0 0.2 0.0 0.2 0.0 0.8 0.5 0.6 0.6 0.6 0.1 0.3 0.2 0.7 EUR 0.3 -0.4 -0.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 1.6 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.4 0.4 0.2 -0.3 -0.3 -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 -0.1 -0.2 -0.0 -0.0 0.0 -0.2 -0.0 2.3 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.6 0.1 0.4 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 -0.1 0.4 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 0.1 -0.2 0.6 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 0.3 0.1 0.2 0.1 0.0 0.3 0.1 0.5 0.5 FEEDCOW -0.6 -0.6 -0.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 0.3 -0.2 0.5 -0.2 -0.1 -0.3 -0.4 -0.3 -0.4 -0.1 0.1 -0.2 0.5 -0.2 -0.3 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -1.1 -0.5 -0.6 0.1 0.6 0.5 -0.1 0.7 0.2 GASOIL -0.6 -0.2 0.6 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 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 0.2 0.0 0.0 0.1 0.1 0.0 0.4 -0.4 0.0 -0.6 -0.1 GASOLINE -0.6 -0.6 0.2 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.0 0.3 -0.0 0.2 -0.1 0.0 0.2 0.4 0.4 0.4 -0.0 0.1 -0.0 0.4 -0.1 -2.7 -0.0 -0.0 0.1 -0.0 0.2 -0.0 1.1 0.1 -0.5 -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 -0.2 -0.7 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.0 -0.2 -0.2 -0.5 -0.1 2.7 0.0 -0.1 -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 0.2 -0.6 -0.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.0 0.3 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.0 -0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 0.2 0.2 -0.5 -0.4 -0.1 0.3 0.1 0.7 GOLD_micro 0.6 0.1 -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 0.2 -0.8 -0.0 0.0 -0.0 0.1 -0.0 0.0 -1.0 0.5 0.5 0.3 0.1 -0.4 -0.7 -0.3 -0.7 HEATOIL -0.6 -0.3 0.6 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.0 0.4 0.0 0.3 -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 0.3 -0.0 0.1 0.2 0.0 -0.3 0.4 0.2 -0.1 -0.0 -0.2 JGB-SGX-mini 0.1 -0.4 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 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 -0.0 0.2 0.2 -0.0 -0.1 -0.5 0.4 0.4 JPY 0.1 -0.3 -0.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 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 -0.2 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.0 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 -0.5 -0.4 0.0 -0.1 -0.3 -0.1 0.4 0.7 LIVECOW -0.6 -0.6 -0.3 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.2 0.5 -0.2 0.7 -0.1 0.0 -0.4 -0.1 -0.4 -0.2 0.0 0.1 -0.2 0.5 -0.1 0.1 0.0 -0.2 0.2 -0.1 0.4 -0.1 -0.6 -0.5 -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 -0.3 -0.7 -0.3 -0.2 -0.4 -0.3 -0.4 -0.3 -0.2 -0.2 -0.2 -0.5 -0.2 NaN -0.1 -0.2 -0.2 -0.1 -0.2 -0.1 -1.2 -0.6 -0.2 -0.1 -0.7 -0.5 -0.8 -0.2 -0.7 MILK 0.2 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 0.0 -0.4 -0.1 0.0 -0.3 -0.4 -0.4 -0.4 -0.0 -0.1 0.0 -0.5 -0.0 0.4 -0.0 -0.0 -0.1 0.0 -0.3 0.0 -1.1 0.3 0.4 0.2 0.1 -0.7 -0.7 -0.7 -0.7 MXP -0.5 -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 0.2 -0.4 -0.4 -0.0 0.5 0.4 0.7 0.7 NASDAQ_micro -0.0 -0.6 -0.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 0.2 -0.1 0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 0.0 -0.1 0.3 -0.1 -2.7 -0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.3 0.1 0.5 0.3 0.3 0.0 -0.4 -0.0 -0.5 NIKKEI -0.4 -0.6 -0.4 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 0.2 -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 -0.1 0.1 -0.0 0.2 -0.0 1.1 0.5 0.0 0.4 0.2 -0.1 0.1 -0.1 0.4 NZD -0.0 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 -0.0 -0.1 -0.1 -0.1 -0.0 0.2 -0.4 -0.0 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 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.0 -0.2 -0.1 1.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.9 0.1 0.2 0.2 0.1 -0.7 -0.7 -0.2 0.3 OATIES -0.6 -0.6 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.2 -0.0 -0.1 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 0.0 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 0.3 0.6 0.7 PALLAD -0.6 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.4 -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 0.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 0.2 -0.5 -0.6 -0.3 -0.2 -0.3 -0.3 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 -0.1 -0.0 0.2 -0.2 -0.1 0.1 0.1 0.0 -0.6 0.3 -0.5 REDWHEAT -0.1 -0.6 -0.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.1 0.0 -0.1 -0.0 -0.2 -0.2 -0.1 -0.5 -0.2 -2.4 -0.1 -0.0 -0.2 -0.0 -0.1 -0.1 -0.2 -0.2 -0.5 -0.3 -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 -0.2 -0.0 0.0 0.3 0.1 0.2 -0.1 0.1 -0.4 0.2 -0.2 0.0 0.0 0.1 0.1 0.1 0.0 -2.7 0.0 0.1 0.1 0.0 0.1 0.0 0.6 0.2 0.4 0.4 0.5 -0.1 -0.7 0.6 -0.3 ROBUSTA 0.0 -0.3 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.3 0.1 0.5 0.0 -0.0 0.4 0.4 0.4 0.4 0.0 0.1 0.2 0.5 0.2 -2.7 0.0 0.1 0.1 0.1 0.2 0.1 1.1 0.5 0.6 0.6 0.0 -0.1 -0.4 0.7 -0.0 RUSSELL -0.2 -0.6 -0.4 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.3 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -0.3 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.2 0.1 -0.4 -0.4 -0.7 -0.7 SHATZ 0.3 -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 -0.2 -0.0 -1.1 -0.1 0.5 0.3 0.3 -0.7 -0.7 -0.5 -0.7 SILVER-mini 0.2 -0.3 -0.4 -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 0.0 -0.0 0.0 0.0 0.0 -0.2 0.3 -0.0 0.0 0.2 -0.5 -0.7 -0.2 -0.7 SMI -0.5 -0.3 -0.4 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -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 -0.1 -0.1 -0.1 -0.0 -0.1 0.7 -0.5 -0.5 0.1 0.1 -0.2 -0.5 -0.2 -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 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 0.0 0.1 0.0 -0.7 -0.7 -0.2 -0.2 SOYBEAN -0.1 -0.4 0.0 -0.1 -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 0.3 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 0.2 0.1 0.3 -0.7 -0.1 -0.6 0.1 SOYMEAL 0.4 -0.1 -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 0.1 1.1 0.5 0.6 0.4 0.3 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.6 -0.6 -0.0 -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 -0.2 -0.1 -0.2 -0.0 -0.2 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 1.0 -0.3 -0.6 -0.6 -0.1 -0.1 0.2 0.5 0.7 SP400 -0.2 -0.6 -0.5 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -1.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.1 -0.1 -0.1 -0.1 0.2 -0.2 -0.4 -0.5 -0.7 SP500_micro -0.1 -0.6 -0.6 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -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 -0.2 -2.3 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 -0.4 0.0 0.2 0.0 0.3 -0.2 -0.4 -0.2 -0.6 SUGAR11 -0.1 0.2 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -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 0.1 0.2 0.1 0.5 0.1 1.1 0.3 0.6 0.6 0.6 -0.7 -0.7 0.3 0.1 US10 0.1 -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 -0.1 -0.3 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.5 -0.1 -0.0 0.0 -0.0 -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 -0.0 -0.3 -0.1 -0.3 -0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.2 -0.2 -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 0.3 0.5 US2 0.4 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 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.0 -0.4 -0.0 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 0.0 -0.3 -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 -0.1 -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 0.0 -0.3 -0.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.2 -0.1 -0.1 -0.1 -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 -0.1 -0.1 -0.2 -0.3 -0.7 0.7 0.7 US5 0.2 -0.1 -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 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.0 -0.3 -0.1 0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.9 -0.1 0.1 0.2 0.1 -0.7 -0.7 -0.3 -0.6 VIX 0.8 1.0 1.0 0.0 0.0 -0.2 0.1 -0.5 0.1 0.1 -0.6 0.1 -1.0 0.2 0.1 -0.6 -0.6 -0.6 -0.6 0.0 -0.2 0.1 -0.8 0.1 NaN 0.0 0.0 -0.2 0.1 -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 0.0 -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 -0.7 -0.0 -0.0 -0.2 0.0 -0.2 -0.0 -1.1 0.1 0.2 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 -0.0 -1.3 -13.6 -3.6 -2.7 -1.3 -3.1 0.6 -3.7 -2.4 -13.4 -6.0 -10.4 -8.5 -13.4 -3.3 -3.0 -3.4 -3.2 -10.2 -11.6 -3.5 -11.0 -6.8 3.3 -4.9 0.7 -5.0 -1.9 -4.4 -3.6 -1.4 1.8 -0.7 2.7 -10.7 -7.4 -20.0 -2.5 4.1 BITCOIN 17.3 5.1 -7.2 -4.9 7.5 -3.7 4.2 -0.9 -1.6 20.0 5.8 20.0 7.6 19.5 -2.0 -5.9 -4.6 -5.9 -5.5 7.8 1.6 20.0 0.4 20.0 -20.0 3.4 20.0 0.1 19.8 -0.0 10.7 -0.7 20.0 20.0 20.0 4.9 -3.3 20.0 -1.7 20.0 BOBL 4.2 -4.1 1.1 -2.5 0.2 -2.2 -1.2 -1.9 -2.1 0.7 -5.7 0.5 -7.5 -3.1 -3.9 9.0 -5.0 -1.2 -5.9 -4.4 -5.5 -0.9 -8.2 -2.8 8.8 -2.2 1.4 -2.4 -0.4 -3.1 -1.5 -6.9 1.2 10.7 7.4 7.4 -20.0 -20.0 -15.3 -17.3 BTP -3.4 -19.8 -10.6 -3.6 0.2 -3.2 -1.7 -2.8 -3.0 -1.1 -6.4 -3.8 -1.9 -9.2 -9.7 6.9 7.5 6.2 6.4 -11.8 -8.4 -3.7 -6.0 -9.4 -6.2 -3.7 0.8 -2.4 -1.1 -1.4 -2.9 15.4 5.8 6.2 1.2 4.1 -13.3 -20.0 -0.8 7.5 BUND 1.8 -7.9 -2.5 -2.6 0.2 -2.3 -1.2 -2.0 -2.2 -0.9 -6.8 -0.8 -8.1 -4.9 -6.0 -2.2 5.7 0.1 2.6 -6.3 -6.8 -1.6 -8.8 -4.3 5.8 -2.6 0.9 -2.4 -0.6 -2.6 -1.8 10.8 3.5 8.1 5.4 4.5 -20.0 -20.0 -19.5 -2.4 BUXL 1.0 -12.3 -5.3 -2.8 0.2 -2.4 -1.3 -2.1 -2.3 -3.6 -8.1 -1.8 -9.0 -5.8 -7.2 0.5 0.9 0.5 0.9 -9.9 -10.3 -3.1 -12.0 -6.9 1.3 -2.9 0.2 -2.7 -0.8 -2.5 -2.0 5.1 5.2 6.2 1.0 -0.5 -20.0 -20.0 -10.6 18.4 CAC -11.1 -17.1 -16.5 -5.6 -7.0 -3.2 -7.2 -0.4 -6.4 -11.5 -5.2 -16.2 14.5 -18.5 -18.4 -4.7 -2.4 -5.7 -4.6 -19.5 -8.9 -20.0 5.4 -20.0 -5.2 -6.5 -5.9 -3.0 -8.4 1.1 -8.2 4.4 -4.3 -3.8 -1.9 2.6 11.8 2.6 18.8 8.5 CAD -7.2 -3.8 -11.2 -5.5 -4.1 -2.0 -4.8 0.9 -5.7 -18.3 -12.2 -17.2 -13.7 -15.5 -18.6 -2.5 -2.2 -2.4 -2.3 -15.3 -12.0 -13.3 -9.8 -14.8 1.8 -6.8 -4.9 -5.1 -5.9 -3.5 -6.7 0.0 -3.0 -17.5 3.4 -17.7 -20.0 -20.0 -17.6 -20.0 CANOLA -14.3 -20.0 -1.8 -3.3 -2.1 -2.8 -1.5 -2.6 -2.8 -11.6 0.2 -11.3 -3.9 -12.6 -9.6 -11.5 5.8 -7.5 -0.8 -18.0 -8.8 -18.9 -5.3 -20.0 -20.0 -3.6 -4.8 -2.1 -4.0 -1.8 -4.2 3.3 -16.1 -13.7 -20.0 2.5 -7.8 -1.0 12.6 11.3 CHF 20.0 -19.5 -14.4 -5.0 -3.7 -1.8 -4.3 0.9 -5.1 14.6 -8.3 17.4 6.7 -1.6 -11.5 -17.3 -14.6 -16.8 -15.7 -10.7 -9.3 18.7 -0.2 4.6 -9.3 -3.3 4.2 -2.7 5.3 -0.3 1.1 -20.0 20.0 20.0 -11.5 -2.9 -20.0 -20.0 -20.0 -20.0 COCOA 7.7 -13.7 1.6 -5.2 -3.3 -4.4 -2.4 -4.1 -4.4 17.0 17.1 18.2 18.6 8.9 10.5 -3.6 -2.5 -3.7 -3.1 15.3 20.0 20.0 20.0 20.0 -15.4 5.0 11.6 8.2 11.5 11.0 6.9 -6.5 20.0 20.0 20.0 20.0 4.2 -6.5 20.0 5.1 COFFEE 18.2 11.0 -7.2 -5.7 -3.6 -4.8 -2.6 -4.5 -4.8 20.0 -17.4 20.0 -16.4 11.2 -3.3 -0.2 1.3 -1.2 -0.1 1.4 -12.9 20.0 -18.1 20.0 -20.0 1.6 17.5 -2.1 15.9 -2.8 8.9 -0.7 20.0 20.0 20.0 -8.0 -20.0 -20.0 -20.0 -11.2 COPPER -8.4 -11.6 -9.3 -3.9 5.9 -2.9 3.3 -0.7 -1.2 8.9 -16.2 -11.3 -5.8 -16.0 -17.4 -7.7 -3.6 -6.4 -5.1 -16.6 -14.4 -4.0 -10.8 -13.6 -6.0 -5.9 4.6 -4.8 -1.3 -3.5 -5.1 0.7 -19.2 -5.6 -9.7 0.9 3.3 -20.0 7.4 -20.0 CORN 10.3 0.1 -20.0 -4.8 -3.0 -4.0 -2.2 -3.8 -4.0 -12.4 -17.1 4.2 -16.6 5.5 -15.4 -4.3 1.8 -5.4 -3.2 -6.1 -16.5 -0.6 -19.1 1.5 -17.4 -0.5 -6.3 -4.0 -0.6 -6.8 1.3 -3.0 -1.1 16.4 16.1 -6.4 -6.8 -0.0 2.9 6.6 COTTON2 -16.4 -6.3 8.1 -4.8 -3.1 -4.1 -2.2 -3.8 -4.1 -14.6 9.5 -16.3 -8.5 -14.6 3.0 -8.8 3.2 -3.4 -0.2 -4.3 2.8 -18.2 0.8 -13.9 -20.0 -1.7 -9.3 2.4 -10.3 2.9 -7.3 0.7 -20.0 -17.3 12.0 16.5 -20.0 -14.9 5.4 8.4 CRUDE_W -20.0 -0.4 20.0 2.6 -3.1 4.7 -0.9 4.0 -0.3 -0.2 13.1 2.9 6.3 5.1 11.7 13.1 11.7 15.4 13.2 12.6 15.9 2.6 12.3 5.9 -4.9 4.1 -1.8 6.0 0.1 5.5 1.2 -20.0 3.2 3.8 15.4 0.3 20.0 10.1 20.0 8.7 DAX -6.9 -18.4 -20.0 -4.9 -6.1 -2.8 -6.3 -0.4 -5.6 -13.3 -10.1 -15.5 10.7 -16.1 -16.9 -9.6 -7.9 -9.6 -9.0 -19.7 -11.3 -20.0 0.6 -20.0 16.3 -6.1 -5.8 -3.7 -6.7 -0.5 -6.6 -4.2 -1.5 -3.5 -5.3 -6.0 12.8 1.5 20.0 10.0 DOW -4.5 -20.0 -11.1 -4.5 -5.6 -2.5 -5.8 -0.3 -5.1 -11.6 -2.9 -10.4 8.1 -11.7 -11.9 -10.9 -8.9 -11.3 -10.5 -15.3 -7.7 -16.8 -0.4 -16.6 -9.7 -4.3 -5.1 -1.6 -5.0 0.8 -4.9 -6.4 8.1 -1.0 -2.3 10.4 -14.7 -7.3 -20.0 -8.2 DX -6.2 18.3 20.0 -5.3 -4.0 -1.9 -4.6 0.9 -5.5 4.8 18.1 0.5 -4.7 15.9 20.0 7.3 5.8 7.2 6.5 20.0 20.0 3.0 13.5 14.8 -20.0 7.2 -0.2 6.2 1.0 4.2 4.3 14.4 20.0 20.0 20.0 20.0 3.9 7.9 7.2 20.0 EUR 8.4 -13.3 -16.2 -3.9 -2.9 -1.4 -3.4 0.7 -4.0 3.2 -12.1 5.2 3.9 -9.2 -13.5 -6.6 -6.9 -6.7 -6.7 -12.1 -10.5 2.6 -5.4 -5.2 12.0 -4.7 1.5 -3.9 0.9 -1.9 -2.1 -7.7 16.3 6.3 -8.8 -10.7 -9.6 -17.5 -7.0 -4.2 EURIBOR-ICE 4.9 0.6 3.3 -2.5 0.2 -2.2 -1.2 -1.9 -2.1 3.0 -4.0 1.6 -6.9 -0.7 0.2 -5.3 -7.7 -7.3 -8.0 -1.6 -3.2 0.9 -7.2 -0.6 17.0 -1.1 3.7 -1.8 0.6 -3.9 -0.5 -10.5 2.2 13.2 12.4 11.7 -20.0 -20.0 7.9 17.1 EUROSTX -4.3 -14.7 -18.4 -4.9 -6.1 -2.8 -6.3 -0.4 -5.6 -11.1 -5.3 -13.6 11.9 -15.0 -16.4 -5.4 -2.2 -5.3 -4.3 -14.4 -7.3 -16.3 4.0 -15.7 4.6 -5.8 -5.2 -3.2 -6.6 0.7 -6.3 4.8 6.1 7.0 2.6 1.1 8.9 4.2 14.0 13.7 FEEDCOW -20.0 -20.0 -11.3 -4.8 -3.0 -4.0 -2.2 -3.8 -4.0 -17.2 10.5 -19.0 15.1 -17.5 -5.2 -12.9 -20.0 -13.1 -20.0 -11.3 9.0 -20.0 19.2 -20.0 -2.2 -2.0 -15.5 3.4 -12.6 6.3 -7.9 -20.0 -20.0 -20.0 2.3 20.0 13.7 -4.0 20.0 6.2 GASOIL -20.0 -5.7 20.0 2.1 -2.5 3.8 -0.8 3.2 -0.2 -0.7 11.5 1.8 6.9 1.7 10.5 20.0 20.0 20.0 20.0 9.8 14.7 -0.2 12.6 2.3 8.2 3.4 -1.9 5.3 -0.2 4.3 0.6 0.0 4.3 1.8 1.5 12.6 -11.5 1.4 -17.0 -4.4 GASOLINE -20.0 -20.0 6.8 2.8 -3.5 5.2 -1.0 4.4 -0.3 3.4 10.3 -1.6 6.7 -7.7 3.1 11.5 20.0 20.0 20.0 -2.4 8.3 -0.1 14.2 -5.9 -20.0 -1.3 -2.0 3.0 -0.7 5.8 -2.8 20.0 3.5 -14.2 -20.0 -17.9 20.0 10.3 20.0 5.5 GAS_US_mini 8.5 7.4 20.0 3.6 -4.4 6.6 -1.3 5.6 -0.4 -18.2 -19.0 -15.0 -20.0 -9.2 -12.6 -20.0 -20.0 -20.0 -20.0 -4.5 -14.8 -17.6 -20.0 -7.2 20.0 0.7 -12.0 -0.2 -10.4 -3.0 -3.0 -20.0 -20.0 20.0 -11.6 -20.0 -5.9 5.9 -12.5 0.8 GBP 7.2 -20.0 -16.1 -4.5 -3.3 -1.6 -3.9 0.8 -4.6 -9.0 -7.1 -2.7 7.6 -13.1 -15.8 -0.9 -0.8 -0.5 -0.5 -15.5 -9.8 -3.3 -2.1 -10.4 0.4 -5.4 -0.3 -3.5 -1.2 -1.4 -3.7 2.8 6.3 6.1 -15.6 -12.0 -4.0 8.1 2.3 20.0 GOLD_micro 20.0 3.1 -15.4 -3.0 4.5 -2.2 2.5 -0.6 -0.9 11.8 -7.4 13.1 1.3 8.8 -1.2 -15.6 -14.6 -17.2 -16.4 -0.0 -5.2 20.0 -2.6 14.3 -6.2 -0.1 5.5 -1.1 7.0 -0.3 3.7 -18.7 20.0 15.0 9.4 1.7 -10.6 -20.0 -8.0 -20.0 HEATOIL -20.0 -8.9 20.0 2.7 -3.3 4.9 -1.0 4.2 -0.3 -1.1 13.1 4.2 7.3 -0.5 11.7 20.0 20.0 20.0 20.0 11.0 18.2 -0.3 16.2 2.0 -20.0 3.2 -3.0 6.7 -0.5 7.1 -0.1 1.2 7.8 0.4 -10.7 12.7 7.4 -2.1 -0.4 -6.4 JGB-SGX-mini 1.8 -13.2 -20.0 -3.3 0.2 -2.9 -1.6 -2.5 -2.8 -6.9 -3.2 -6.7 3.0 -7.1 -9.5 20.0 20.0 17.3 17.2 -9.3 -6.6 -9.9 -1.4 -8.7 -1.5 -3.3 -3.5 -2.5 -3.6 -1.3 -3.1 20.0 -1.2 4.9 7.7 -0.8 -2.6 -14.5 11.8 12.3 JPY 3.7 -10.3 -20.0 -4.5 -3.3 -1.6 -3.9 0.8 -4.6 -16.0 -19.5 -17.5 -18.4 -18.4 -19.3 -20.0 -15.5 -18.8 -17.3 -20.0 -20.0 -9.2 -20.0 -16.1 20.0 -7.1 -1.7 -8.5 -2.9 -8.7 -4.8 -20.0 2.2 -1.8 -9.2 -19.9 -7.4 -20.0 -3.8 -20.0 LEANHOG -16.3 -6.2 6.4 -2.6 -1.7 -2.2 -1.2 -2.1 -2.2 -9.4 -2.6 -10.2 -4.8 -9.7 -7.6 1.7 20.0 20.0 20.0 -8.2 -6.4 -14.3 -8.1 -12.2 10.6 -3.3 -5.3 -3.6 -5.3 -5.0 -4.4 20.0 -20.0 -12.1 1.1 -2.9 -8.2 -2.5 13.4 20.0 LIVECOW -20.0 -17.5 -10.7 -5.3 -0.3 -4.5 -1.1 -4.2 -4.2 -18.1 16.8 -17.8 18.9 -10.1 2.5 -20.0 -4.7 -20.0 -10.0 0.1 12.1 -20.0 18.0 -12.7 0.4 0.9 -20.0 7.7 -13.4 11.5 -6.0 -11.6 -20.0 -20.0 20.0 20.0 -20.0 -20.0 -12.1 -15.9 LUMBER-new -1.7 -6.5 -13.1 -6.1 -3.9 -5.0 -2.8 -3.9 -5.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -16.3 -14.3 -15.8 -14.9 -18.1 -19.3 -20.0 -17.0 -17.1 NaN -7.8 -15.1 -7.2 -11.5 -5.3 -8.3 -20.0 -20.0 -4.8 -3.1 -17.6 -13.3 -20.0 -5.6 -18.6 MILK 5.0 -4.5 0.4 -4.0 -2.5 -3.3 -1.8 -3.1 -3.3 -3.6 -6.9 2.1 -12.1 -7.7 1.1 -12.9 -20.0 -18.0 -20.0 -4.6 -10.4 3.5 -18.8 -0.3 2.6 -1.8 -0.2 -5.0 2.9 -8.4 1.0 -20.0 14.3 12.9 5.9 3.7 -20.0 -20.0 -20.0 -20.0 MXP -17.0 -20.0 -20.0 -3.1 -2.3 -1.1 -2.7 0.5 -3.2 -7.1 5.0 -10.2 10.4 -11.1 -9.3 12.7 16.7 14.4 15.6 -9.4 0.3 -8.0 10.7 -11.7 -20.0 -3.2 -1.3 0.2 -2.6 3.9 -3.9 20.0 8.4 -13.8 -12.0 -0.3 15.8 11.2 20.0 20.0 NASDAQ_micro -0.2 -18.8 -15.0 -3.5 -4.4 -2.0 -4.5 -0.3 -4.0 -7.1 6.7 -6.4 8.4 -6.7 -7.3 -9.7 -8.6 -9.9 -9.7 -4.4 4.1 -10.4 10.5 -7.5 -20.0 -1.8 -4.3 2.2 -4.4 5.9 -3.1 -5.4 3.4 14.8 8.0 10.3 0.9 -13.2 -1.0 -16.0 NIKKEI -12.1 -17.5 -12.7 -3.8 -7.1 -2.1 -5.3 -0.2 -4.3 -11.1 9.1 -2.3 10.5 -3.2 -2.7 3.7 10.8 7.7 9.8 -2.9 4.8 -9.1 11.0 -6.2 -6.8 -1.7 -6.1 2.5 -3.9 5.6 -3.3 20.0 20.0 0.6 12.1 7.0 -1.9 3.0 -3.1 11.6 NZD -0.5 2.6 -11.6 -3.5 -2.6 -1.3 -3.0 0.6 -3.6 -11.0 -12.1 -12.0 -2.6 -9.6 -12.5 -0.1 0.3 -0.0 0.1 -7.8 -8.5 -11.3 -8.1 -8.6 0.7 -3.5 -4.7 -3.5 -5.9 -3.2 -4.3 4.2 -17.7 -1.1 6.9 -5.0 3.6 -15.2 9.0 8.5 OAT -0.4 -10.2 -4.5 -2.9 0.2 -2.5 -1.4 -2.2 -2.4 -1.4 -7.5 -2.1 -8.7 -6.2 -7.1 5.9 7.9 6.0 6.6 -7.5 -7.5 -2.1 -9.0 -5.4 8.0 -2.9 0.9 -2.6 -0.8 -2.6 -2.1 16.0 4.2 7.7 5.2 4.5 -20.0 -20.0 -7.1 9.1 OATIES -20.0 -20.0 3.1 -3.1 -2.0 -2.6 -1.4 -2.5 -2.6 0.3 1.3 -8.5 -1.6 -11.3 -8.8 -18.8 -8.0 -17.9 -14.9 -16.1 -1.5 -14.3 4.7 -20.0 -20.0 -2.8 0.3 -0.3 -2.5 0.7 -4.0 -20.0 -20.0 -19.9 -20.0 1.3 8.7 11.6 20.0 20.0 OJ 20.0 20.0 20.0 -6.5 -4.1 -5.5 -3.0 -5.1 -5.4 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 9.9 5.5 10.3 7.4 10.8 8.9 20.0 20.0 20.0 20.0 20.0 2.4 7.5 16.7 20.0 PALLAD -17.7 0.4 -1.3 -2.6 3.9 -1.9 2.2 -0.5 -0.8 -3.4 -13.0 -10.5 -13.5 -11.2 -11.9 -2.9 -2.7 -3.0 -2.9 -14.2 -17.5 -10.7 -20.0 -14.1 1.9 -4.3 -0.8 -4.0 -3.7 -4.4 -4.7 3.1 -20.0 -17.4 -8.7 -6.8 -9.8 -7.5 1.9 -3.3 PLAT -2.5 -4.7 -11.4 -2.6 4.0 -2.0 2.3 -0.5 -0.8 5.8 -11.6 1.0 -5.3 -7.8 -9.1 -4.0 -2.7 -3.8 -3.3 -8.2 -9.5 0.1 -7.2 -4.1 13.5 -2.1 -0.4 -2.0 0.0 -1.4 -1.3 2.9 -7.6 -4.2 1.9 3.9 1.4 -17.3 8.3 -14.0 REDWHEAT -3.3 -17.9 -20.0 -4.7 -3.0 -4.0 -2.2 -3.7 -3.9 -14.1 -17.7 -14.4 -18.1 -16.4 -18.8 -5.3 0.2 -4.1 -2.0 -20.0 -20.0 -9.3 -20.0 -17.5 -17.6 -6.4 -2.5 -5.7 -2.8 -3.7 -4.8 -3.0 -7.2 -16.5 -10.4 -20.0 -20.0 -20.0 -20.0 -10.2 RICE -1.7 -5.2 8.8 -5.4 -3.4 -4.5 -2.5 -4.2 -4.5 5.2 9.5 10.0 5.5 -5.1 6.6 -20.0 8.6 -12.2 2.1 3.9 6.0 6.3 5.1 3.0 -20.0 1.0 5.7 2.0 4.1 1.8 1.6 10.7 10.4 13.5 12.0 14.2 -3.8 -20.0 16.5 -8.8 ROBUSTA 1.0 -8.9 -5.0 -4.9 -3.1 -4.1 -2.2 -3.8 -4.1 14.6 11.2 13.3 14.0 4.2 -1.6 20.0 20.0 20.0 20.0 3.9 9.0 20.0 18.5 14.3 -20.0 1.5 16.7 2.7 13.7 5.6 5.8 20.0 20.0 20.0 20.0 0.7 -1.9 -11.8 20.0 -0.4 RUSSELL -6.9 -20.0 -12.6 -3.6 -4.5 -2.0 -4.7 -0.3 -4.1 -11.1 -9.3 -11.8 -6.4 -12.6 -12.4 -7.2 -6.3 -7.7 -7.3 -18.0 -11.2 -19.4 -6.0 -19.7 -2.2 -4.2 -4.3 -2.2 -4.8 -0.6 -4.8 -1.3 -7.6 -6.4 -7.1 2.1 -11.2 -12.5 -20.0 -20.0 SHATZ 8.9 -1.9 1.7 -2.6 0.2 -2.3 -1.2 -2.0 -2.2 0.6 -7.2 -1.8 -8.1 -3.7 -4.6 -20.0 -12.1 -20.0 -19.2 -4.6 -7.3 -1.0 -12.0 -2.7 10.3 -2.0 1.4 -2.8 -0.4 -4.2 -1.2 -20.0 -2.5 14.8 7.9 9.0 -20.0 -20.0 -16.2 -20.0 SILVER-mini 5.0 -9.9 -11.4 -2.8 4.3 -2.1 2.4 -0.5 -0.9 7.0 -4.7 9.0 1.7 -1.7 -5.4 -7.0 -6.3 -7.3 -7.0 -5.4 -5.7 9.5 -2.3 2.1 6.3 -1.0 2.6 -0.7 3.8 0.1 1.1 -3.5 11.5 -0.3 0.1 6.9 -13.8 -20.0 -5.2 -20.0 SMI -14.5 -7.9 -11.5 -4.1 -5.1 -2.3 -5.3 -0.3 -4.6 -12.4 -4.4 -13.4 2.3 -12.2 -12.2 4.6 1.8 2.3 1.1 -13.8 -7.9 -20.0 -3.0 -20.0 4.9 -4.0 -9.3 -2.1 -9.7 -1.3 -6.7 12.6 -20.0 -15.1 2.0 2.9 -7.4 -13.8 -6.8 -8.7 SOFR 0.3 -7.6 -15.1 -2.7 0.2 -2.4 -1.3 -2.1 -2.3 -1.6 -7.9 -3.4 -6.2 -6.4 -7.6 0.1 -0.9 -0.9 -1.1 -9.9 -9.1 -6.5 -7.3 -9.1 -1.4 -3.0 -0.2 -2.7 -2.1 -2.0 -2.9 1.6 -5.5 1.0 4.0 1.5 -20.0 -20.0 -5.4 -7.0 SOYBEAN -3.2 -11.5 1.4 -4.8 -3.0 -4.0 -2.2 -3.8 -4.0 8.6 6.2 7.8 3.0 -11.7 -6.8 15.2 17.7 12.5 13.8 -4.9 -0.7 1.0 0.3 -4.2 -20.0 -2.0 0.3 -0.2 0.9 0.6 -1.6 20.0 8.9 7.0 1.9 8.2 -20.0 -3.7 -19.4 2.4 SOYMEAL 13.4 -3.4 -4.3 -3.7 -2.4 -3.2 -1.7 -3.0 -3.1 12.6 -7.0 12.6 1.1 3.6 -1.6 12.3 17.1 11.7 14.5 1.9 -1.9 20.0 0.5 12.6 -20.0 1.5 10.5 0.8 9.7 2.1 5.2 20.0 20.0 20.0 11.6 8.1 -20.0 -20.0 -20.0 -18.9 SOYOIL -20.0 -20.0 -0.2 -2.8 -1.8 -2.4 -1.3 -2.2 -2.4 -9.6 1.9 -9.6 -1.2 -10.1 -7.2 10.1 11.8 12.6 11.9 -14.2 -4.8 -18.4 -0.4 -19.2 -20.0 -3.0 -4.4 -1.2 -4.0 -0.2 -4.0 17.9 -14.4 -20.0 -18.5 -2.6 -4.2 4.8 15.2 20.0 SP400 -4.7 -20.0 -14.7 -3.5 -4.3 -1.9 -4.4 -0.3 -3.9 -10.5 -7.3 -10.6 0.5 -11.3 -10.8 -5.0 -5.1 -5.4 -5.4 -14.4 -8.3 -17.1 -2.7 -16.1 -9.2 -3.7 -4.7 -1.8 -4.7 -0.2 -4.4 1.3 -3.4 -2.9 -2.7 5.1 -6.6 -13.4 -15.3 -20.0 SP500_micro -3.2 -20.0 -19.3 -4.2 -5.2 -2.3 -5.3 -0.3 -4.7 -10.5 3.1 -9.5 7.4 -10.5 -10.3 -10.7 -9.8 -11.5 -11.1 -11.8 -2.6 -16.3 4.7 -14.4 -17.0 -3.5 -5.1 -0.3 -5.1 2.5 -4.5 -7.7 2.0 6.1 0.6 9.5 -4.8 -12.2 -5.5 -17.4 SUGAR11 -4.1 6.2 1.7 -5.0 -3.2 -4.2 -2.3 -4.0 -4.2 15.9 18.0 15.6 17.9 15.6 16.8 20.0 15.0 20.0 14.6 17.8 20.0 12.9 20.0 14.2 -20.0 5.9 5.9 8.4 5.4 12.9 5.2 20.0 11.8 19.0 20.0 20.0 -20.0 -20.0 8.3 2.5 US10 2.3 -6.9 -14.1 -2.4 0.2 -2.2 -1.2 -1.9 -2.1 -2.4 -7.8 -4.0 -7.7 -6.3 -7.4 -5.8 -7.2 -7.6 -8.1 -11.1 -11.1 -6.6 -10.6 -9.5 1.1 -2.9 -0.4 -2.7 -1.7 -2.3 -2.5 -10.1 -4.1 -1.0 0.6 -1.5 -20.0 -20.0 2.3 0.3 US10U 1.5 -9.2 -14.2 -3.0 0.2 -2.7 -1.4 -2.3 -2.5 -3.1 -9.6 -5.3 -9.5 -8.1 -9.2 2.2 -0.4 0.9 -0.2 -14.5 -14.0 -8.5 -12.7 -12.4 -2.3 -3.5 -0.4 -3.2 -2.1 -2.6 -3.1 2.6 -3.2 -2.9 -0.9 -3.7 -20.0 -20.0 10.5 15.4 US2 12.2 6.5 -9.7 -2.6 0.2 -2.3 -1.2 -2.0 -2.2 0.5 -8.5 -1.6 -8.5 -4.9 -7.1 -20.0 -20.0 -20.0 -20.0 -8.0 -12.5 -1.4 -16.4 -4.2 8.4 -2.8 0.6 -4.2 -0.6 -5.6 -1.6 -20.0 -1.7 11.7 10.8 3.9 -20.0 -20.0 -15.0 -20.0 US20 0.4 -9.9 -14.4 -2.2 0.1 -1.9 -1.0 -1.7 -1.8 -2.1 -6.8 -3.9 -6.4 -5.8 -6.6 -0.5 -1.8 -1.8 -2.0 -11.5 -10.5 -6.3 -9.0 -9.9 -2.0 -2.5 -0.1 -2.2 -1.3 -1.8 -2.1 0.0 -0.2 -4.7 -3.7 -5.8 -11.6 -20.0 20.0 20.0 US30 0.4 -9.3 -10.5 -2.2 0.2 -2.0 -1.0 -1.7 -1.9 -2.4 -7.1 -4.2 -6.8 -6.1 -6.9 -4.4 -4.1 -5.8 -5.3 -10.9 -10.2 -6.2 -9.3 -9.4 -1.6 -2.6 -0.2 -2.3 -1.4 -1.9 -2.2 -4.6 0.1 -3.0 -1.9 -5.0 -7.9 -20.0 20.0 20.0 US5 4.7 -3.1 -12.5 -2.6 0.2 -2.3 -1.2 -2.0 -2.2 -2.1 -8.2 -3.7 -8.1 -6.2 -7.5 -10.0 -10.6 -12.3 -12.3 -9.8 -10.8 -5.3 -11.4 -7.9 3.3 -3.0 -0.2 -3.0 -1.7 -3.0 -2.5 -16.6 -4.8 3.8 4.7 1.7 -20.0 -20.0 -7.7 -17.8 VIX 16.1 20.0 20.0 1.2 0.8 -4.1 4.6 -8.1 4.6 4.3 -14.1 8.0 -16.6 9.5 3.8 -17.6 -20.0 -20.0 -20.0 1.2 -9.8 8.7 -18.9 8.1 NaN 1.4 1.0 -4.7 5.3 -9.7 5.2 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 7.9 -10.9 -20.0 -4.3 -2.7 -3.6 -2.0 -3.4 -3.6 1.4 -15.8 9.8 -17.1 -4.9 -15.5 -11.1 -10.1 -11.3 -11.0 -14.4 -20.0 1.3 -20.0 -4.1 -5.0 -4.4 -0.9 -6.3 0.7 -6.6 -1.2 -20.0 3.2 6.8 2.5 -14.8 -20.0 -15.5 -20.0 -11.9 End of report for caleb_strategy_v3