******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231107_204333 produced at 2023-11-07 21:39:19.540757 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.59 0.0 0.00 0.00 0.00 0.00 -6.68 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.04 -0.28 -0.17 0.0 0.56 -0.56 -0.28 -0.28 -4.98 16.0 -8 -8 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.17 0.0 0.00 0.00 0.00 0.00 -4.11 24.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.36 -0.16 0.0 0.66 -0.66 -0.36 -0.36 -3.15 13.0 -7 -7 caleb_strategy_v3 COPPER False False 0.03 -0.13 -0.15 0.0 0.20 -0.20 -0.13 -0.13 -4.58 6.0 -4 -4 caleb_strategy_v3 US2 False True 0.07 0.00 -0.14 0.0 0.00 0.00 0.00 0.00 -1.92 13.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.14 0.0 0.77 -0.77 -0.03 -0.03 -5.11 29.0 -1 -1 caleb_strategy_v3 VIX False False 0.01 -0.11 -0.13 0.0 0.11 -0.11 -0.11 -0.11 -19.85 17.0 -17 -17 caleb_strategy_v3 JPY False False 0.03 -0.15 -0.09 0.0 0.52 -0.52 -0.15 -0.15 -2.85 17.0 -5 -5 caleb_strategy_v3 LIVECOW False False 0.03 -0.05 -0.08 0.0 0.44 -0.44 -0.05 -0.05 -2.89 17.0 -2 -2 caleb_strategy_v3 SP400 False False 0.09 -0.18 -0.07 0.0 0.18 -0.18 -0.18 -0.18 -0.73 2.0 -2 -2 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.07 0.0 0.34 -0.34 -0.04 -0.04 -1.56 8.0 -1 -1 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.06 0.0 0.11 -0.11 -0.05 -0.05 -5.99 12.0 -5 -5 caleb_strategy_v3 RUSSELL False False 0.00 -0.02 -0.06 0.0 0.22 -0.22 -0.02 -0.03 -18.17 68.0 -7 -9 caleb_strategy_v3 US5 False False 0.04 -0.15 -0.06 0.0 0.96 -0.96 -0.15 -0.15 -1.57 25.0 -4 -4 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -4.68 5.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.00 -0.05 0.0 0.39 -0.39 0.00 0.00 -6.78 48.0 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 -6.66 56.0 -1 -1 caleb_strategy_v3 RICE False False 0.01 0.00 -0.05 0.0 0.05 -0.05 0.00 0.00 -3.92 4.0 0 0 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.05 0.0 0.41 -0.41 -0.01 -0.01 -7.96 66.0 -1 -1 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.19 -0.19 -0.02 -0.02 -14.14 51.0 -5 -6 caleb_strategy_v3 SMI False False 0.04 -0.04 -0.04 0.0 0.39 -0.39 -0.04 -0.04 -0.95 9.0 -1 -1 caleb_strategy_v3 PALLAD False False 0.04 -0.04 -0.04 0.0 0.08 -0.08 -0.04 -0.04 -0.90 2.0 -1 -1 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -5.48 2.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.07 -0.04 0.0 0.26 -0.26 -0.07 -0.07 -3.34 23.0 -6 -6 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.04 0.0 0.16 -0.16 -0.06 -0.06 -3.07 11.0 -4 -4 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.03 0.0 0.02 -0.02 0.00 0.00 -4.84 3.0 0 0 caleb_strategy_v3 US10 False False 0.04 0.00 -0.03 0.0 0.67 -0.67 0.00 0.00 -0.80 17.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.06 -0.03 0.0 0.09 -0.09 -0.06 -0.06 -2.41 8.0 -5 -5 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.11 -0.11 -0.04 -0.04 -2.83 9.0 -3 -3 caleb_strategy_v3 EUR False False 0.05 -0.05 -0.03 0.0 0.69 -0.69 -0.05 -0.05 -0.55 14.0 -1 -1 caleb_strategy_v3 AUD False False 0.02 0.00 -0.02 0.0 0.45 -0.45 0.00 0.00 -0.69 19.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.00 -0.02 0.0 0.08 -0.08 -0.00 -0.01 -7.01 26.0 -1 -2 caleb_strategy_v3 US10U False False 0.04 -0.04 -0.02 0.0 0.53 -0.53 -0.04 -0.04 -0.45 13.0 -1 -1 caleb_strategy_v3 CAC False True 0.03 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.86 12.0 0 0 caleb_strategy_v3 SILVER-mini False True 0.02 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.83 0.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.01 0.0 0.26 -0.26 0.00 0.00 -0.17 6.0 0 0 caleb_strategy_v3 US20 False False 0.04 -0.04 -0.01 0.0 0.37 -0.37 -0.04 -0.04 -0.21 9.0 -1 -1 caleb_strategy_v3 BOBL False False 0.05 0.00 -0.01 0.0 0.87 -0.87 0.00 0.00 -0.32 19.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.00 -0.01 0.0 0.44 -0.44 0.00 0.00 -0.15 10.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.51 -0.51 0.00 0.00 -0.17 10.0 0 0 caleb_strategy_v3 BUXL False False 0.05 -0.05 -0.01 0.0 0.20 -0.20 -0.05 -0.05 -0.15 4.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.11 -0.11 -0.03 -0.03 -0.86 10.0 -3 -3 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.01 0.0 0.14 -0.14 0.00 0.00 -0.22 6.0 0 0 caleb_strategy_v3 DAX False False 0.01 -0.01 -0.01 0.0 0.35 -0.35 -0.01 -0.01 -1.08 58.0 -1 -1 caleb_strategy_v3 GBP False False 0.03 0.00 -0.01 0.0 0.62 -0.62 0.00 0.00 -0.22 22.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.00 0.0 0.20 -0.20 0.02 0.02 0.57 23.0 2 2 caleb_strategy_v3 GASOLINE False False 0.03 0.03 -0.00 0.0 0.13 -0.13 0.03 0.03 -0.05 4.0 1 1 caleb_strategy_v3 SOYMEAL False False 0.02 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.19 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.00 0.00 0.0 0.17 -0.17 0.00 0.00 0.16 7.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.00 0.0 0.46 -0.46 0.00 0.00 -0.16 21.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.01 3.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 0.01 0.0 0.16 -0.16 0.00 0.00 0.37 10.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.03 0.01 0.0 0.33 -0.33 0.03 0.03 0.68 20.0 2 2 caleb_strategy_v3 OJ False False 0.02 0.00 0.02 0.0 0.06 -0.06 0.00 0.00 0.95 3.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.10 0.02 0.0 0.49 -0.49 0.10 0.10 0.41 10.0 2 2 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.03 0.0 0.19 -0.19 0.00 0.00 2.49 18.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.03 0.0 0.12 -0.12 0.03 0.03 0.86 4.0 1 1 caleb_strategy_v3 LEANHOG False False 0.01 0.02 0.04 0.0 0.14 -0.14 0.02 0.02 3.84 13.0 2 2 caleb_strategy_v3 COCOA False False 0.01 0.03 0.04 0.0 0.37 -0.37 0.03 0.03 2.48 26.0 2 2 caleb_strategy_v3 DX False False 0.04 0.00 0.05 0.0 38553014.86 -38553014.86 0.00 0.00 1.21 999999999.0 0 0 caleb_strategy_v3 BITCOIN False True 0.00 0.02 0.07 0.0 0.02 0.00 0.02 0.02 56.67 59.0 16 16 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.07 0.0 0.13 -0.13 0.05 0.05 2.42 5.0 2 2 caleb_strategy_v3 NIKKEI False False 0.01 0.06 0.09 0.0 0.28 -0.28 0.06 0.06 11.09 36.0 8 8 caleb_strategy_v3 MXP False False 0.01 0.15 0.21 0.0 0.62 -0.62 0.15 0.17 19.96 60.0 14 16 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.19 0.81 0.0 0.95 -0.95 0.19 0.19 8.55 10.0 2 2 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 9.7 Shocked risk 21.5 Sum abs risk 48.1 Leverage 4.46 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2734546.19, 'annual_cash_vol_target': 683636.5475, 'daily_cash_vol_target': 42727.28421875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6438 0.7056 11.2901 BITCOIN 795.7708 35895.0000 2.2169 35.4711 BOBL 0.2623 116.6700 0.2248 3.5971 BTP 0.6751 112.1600 0.6020 9.6312 BUND 0.5554 130.3900 0.4260 6.8157 BUXL 1.3684 125.1200 1.0937 17.4986 CAC 57.9020 6991.5000 0.8282 13.2508 CAD 0.0032 0.7270 0.4387 7.0200 CANOLA 7.6688 699.9000 1.0957 17.5312 CHF 0.0050 1.1152 0.4508 7.2135 COCOA 40.1059 3910.0000 1.0257 16.4116 COFFEE 3.0782 170.0500 1.8102 28.9625 COPPER 0.0339 3.6840 0.9211 14.7374 CORN 4.9892 510.5000 0.9773 15.6371 COTTON2 1.0811 79.2100 1.3649 21.8377 CRUDE_W 1.2558 73.6000 1.7063 27.3009 DAX 116.5488 15213.0000 0.7661 12.2578 DOW 241.5802 34215.0000 0.7061 11.2970 DX 0.4333 105.4250 0.4110 6.5763 EUR 0.0054 1.0707 0.5011 8.0175 EURIBOR-ICE 0.0498 97.3300 0.0512 0.8191 EUROSTX 37.5456 4162.0000 0.9021 14.4337 FEEDCOW 2.1685 233.7250 0.9278 14.8445 GASOIL 14.4523 805.2500 1.7948 28.7162 GASOLINE 0.0416 2.1570 1.9290 30.8637 GAS_US_mini 0.1060 3.4900 3.0364 48.5822 GBP 0.0073 1.2290 0.5956 9.5297 GOLD_micro 13.7878 1973.8000 0.6985 11.1767 HEATOIL 0.0462 2.7405 1.6851 26.9615 JGB-SGX-mini 0.2513 144.4300 0.1740 2.7843 JPY 0.0000 0.0067 0.6198 9.9169 LEANHOG 1.2400 75.6250 1.6397 26.2348 LIVECOW 1.6139 178.4500 0.9044 14.4707 LUMBER-new 8.0954 530.0000 1.5274 24.4389 MILK 0.1957 17.0000 1.1510 18.4155 MXP 0.0005 0.0568 0.8210 13.1357 NASDAQ_micro 145.6776 15381.0000 0.9471 15.1540 NIKKEI 349.4721 32475.0000 1.0761 17.2180 NZD 0.0044 0.5935 0.7371 11.7944 OAT 0.5797 124.9600 0.4639 7.4231 OATIES 6.4878 371.0000 1.7487 27.9796 OJ 6.0341 355.1000 1.6993 27.1884 PALLAD 19.0481 1064.0000 1.7902 28.6437 PLAT 14.0314 897.9000 1.5627 25.0031 REDWHEAT 9.4098 645.7500 1.4572 23.3150 RICE 0.1402 16.3150 0.8596 13.7540 ROBUSTA 36.8052 2360.0000 1.5595 24.9527 RUSSELL 20.7823 1740.0000 1.1944 19.1101 SHATZ 0.0762 105.1900 0.0724 1.1585 SILVER-mini 0.3416 22.6750 1.5065 24.1038 SMI 78.7639 10599.0000 0.7431 11.8900 SOFR 0.0852 96.1300 0.0886 1.4177 SOYBEAN 10.2776 1295.0000 0.7936 12.6982 SOYMEAL 5.6460 432.2000 1.3063 20.9014 SOYOIL 0.7850 49.0500 1.6003 25.6049 SP400 25.2491 2456.5000 1.0278 16.4456 SP500_micro 34.1567 4396.7500 0.7769 12.4298 SUGAR11 0.3217 26.2300 1.2263 19.6210 US10 0.5119 108.0781 0.4736 7.5781 US10U 0.7072 111.4062 0.6348 10.1562 US2 0.1201 101.4961 0.1183 1.8930 US20 1.0732 113.8438 0.9427 15.0830 US30 1.5668 117.5938 1.3324 21.3187 US5 0.3202 105.5391 0.3034 4.8545 VIX 0.6499 17.6000 3.6925 59.0806 WHEAT 8.0118 659.0000 1.2157 19.4520 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 643.75 0.71 454.25 1.00 454.25 42727.28 94.06 -2.84 -26.71 BITCOIN 35.90 2.22 79.58 1.00 79.58 42727.28 536.93 9.75 523.34 BOBL 1166.70 0.22 262.30 1.07 281.61 42727.28 151.72 -2.09 -31.66 BTP 1121.60 0.60 675.15 1.07 724.87 42727.28 58.94 -0.77 -4.53 BUND 1303.90 0.43 555.43 1.07 596.34 42727.28 71.65 -2.37 -17.01 BUXL 1251.20 1.09 1368.39 1.07 1469.17 42727.28 29.08 -4.92 -14.32 CAC 699.15 0.83 579.02 1.07 621.66 42727.28 68.73 -3.67 -25.22 CAD 727.05 0.44 318.99 1.00 318.99 42727.28 133.94 -14.70 -196.94 CANOLA 139.98 1.10 153.38 0.73 112.35 42727.28 380.32 -15.28 -581.12 CHF 1394.06 0.45 628.51 1.00 628.51 42727.28 67.98 -17.83 -121.23 COCOA 391.00 1.03 401.06 1.00 401.06 42727.28 106.54 10.85 115.61 COFFEE 637.69 1.81 1154.31 1.00 1154.31 42727.28 37.02 -5.12 -18.94 COPPER 921.00 0.92 848.32 1.00 848.32 42727.28 50.37 -8.40 -42.29 CORN 255.25 0.98 249.46 1.00 249.46 42727.28 171.28 -14.38 -246.36 COTTON2 396.05 1.36 540.55 1.00 540.55 42727.28 79.04 -18.11 -143.14 CRUDE_W 736.00 1.71 1255.84 1.00 1255.84 42727.28 34.02 6.58 22.38 DAX 152.13 0.77 116.55 1.07 125.13 42727.28 341.46 -0.93 -31.59 DOW 171.08 0.71 120.79 1.00 120.79 42727.28 353.73 -9.68 -342.56 DX 1054.25 0.41 433.32 1.00 433.32 42727.28 98.61 4.74 46.75 EUR 1338.38 0.50 670.65 1.00 670.65 42727.28 63.71 -3.31 -21.10 EURIBOR-ICE 2433.25 0.05 124.56 1.07 133.74 42727.28 319.48 7.85 250.72 EUROSTX 416.20 0.90 375.46 1.07 403.11 42727.28 105.99 1.88 19.91 FEEDCOW 1168.62 0.93 1084.23 1.00 1084.23 42727.28 39.41 -11.95 -47.10 GASOIL 805.25 1.79 1445.23 1.00 1445.23 42727.28 29.56 6.73 19.90 GASOLINE 905.94 1.93 1747.54 1.00 1747.54 42727.28 24.45 -0.44 -1.08 GAS_US_mini 87.25 3.04 264.92 1.00 264.92 42727.28 161.28 -4.01 -64.74 GBP 768.12 0.60 457.50 1.00 457.50 42727.28 93.39 -0.92 -8.59 GOLD_micro 197.38 0.70 137.88 1.00 137.88 42727.28 309.89 -6.30 -195.17 HEATOIL 1151.01 1.69 1939.56 1.00 1939.56 42727.28 22.03 0.14 0.31 JGB-SGX-mini 144430.00 0.17 25133.08 0.01 168.01 42727.28 254.31 -1.81 -45.95 JPY 836.06 0.62 518.19 1.00 518.19 42727.28 82.45 -13.33 -109.90 LEANHOG 302.50 1.64 496.00 1.00 496.00 42727.28 86.14 7.33 63.13 LIVECOW 713.80 0.90 645.57 1.00 645.57 42727.28 66.19 -13.20 -87.35 LUMBER-new 145.75 1.53 222.62 1.00 222.62 42727.28 191.93 -11.84 -227.26 MILK 340.00 1.15 391.33 1.00 391.33 42727.28 109.18 -20.00 -218.37 MXP 284.05 0.82 233.20 1.00 233.20 42727.28 183.22 7.42 135.99 NASDAQ_micro 307.62 0.95 291.36 1.00 291.36 42727.28 146.65 -9.81 -143.90 NIKKEI 32475.00 1.08 34947.21 0.01 233.62 42727.28 182.89 5.60 102.39 NZD 593.50 0.74 437.50 1.00 437.50 42727.28 97.66 -0.63 -6.16 OAT 1249.60 0.46 579.75 1.07 622.44 42727.28 68.64 1.76 12.05 OATIES 185.50 1.75 324.39 1.00 324.39 42727.28 131.72 -17.11 -225.39 OJ 532.65 1.70 905.12 1.00 905.12 42727.28 47.21 9.39 44.32 PALLAD 1064.00 1.79 1904.81 1.00 1904.81 42727.28 22.43 -11.82 -26.52 PLAT 448.95 1.56 701.57 1.00 701.57 42727.28 60.90 1.77 10.75 REDWHEAT 322.88 1.46 470.49 1.00 470.49 42727.28 90.81 -20.00 -181.63 RICE 326.30 0.86 280.50 1.00 280.50 42727.28 152.33 -10.58 -161.19 ROBUSTA 236.00 1.56 368.05 1.00 368.05 42727.28 116.09 4.18 48.49 RUSSELL 87.00 1.19 103.91 1.00 103.91 42727.28 411.19 -13.34 -548.41 SHATZ 1051.90 0.07 76.16 1.07 81.77 42727.28 522.50 -7.75 -405.05 SILVER-mini 566.88 1.51 853.99 1.00 853.99 42727.28 50.03 -4.89 -24.47 SMI 1059.90 0.74 787.64 1.11 878.02 42727.28 48.66 -5.75 -27.98 SOFR 2403.25 0.09 212.94 1.00 212.94 42727.28 200.66 -5.48 -109.99 SOYBEAN 647.50 0.79 513.88 1.00 513.88 42727.28 83.15 2.08 17.28 SOYMEAL 432.20 1.31 564.60 1.00 564.60 42727.28 75.68 2.75 20.79 SOYOIL 294.30 1.60 470.97 1.00 470.97 42727.28 90.72 -10.21 -92.61 SP400 2456.50 1.03 2524.91 1.00 2524.91 42727.28 16.92 -12.96 -21.94 SP500_micro 219.84 0.78 170.78 1.00 170.78 42727.28 250.18 -11.66 -291.67 SUGAR11 293.78 1.23 360.26 1.00 360.26 42727.28 118.60 9.86 116.90 US10 1080.78 0.47 511.89 1.00 511.89 42727.28 83.47 -7.57 -63.18 US10U 1114.06 0.63 707.17 1.00 707.17 42727.28 60.42 -5.93 -35.85 US2 2029.92 0.12 240.17 1.00 240.17 42727.28 177.90 -8.53 -151.75 US20 1138.44 0.94 1073.19 1.00 1073.19 42727.28 39.81 -4.21 -16.75 US30 1175.94 1.33 1566.84 1.00 1566.84 42727.28 27.27 -5.06 -13.80 US5 1055.39 0.30 320.21 1.00 320.21 42727.28 133.43 -9.26 -123.58 VIX 176.00 3.69 649.89 1.00 649.89 42727.28 65.75 -12.23 -80.42 WHEAT 329.50 1.22 400.59 1.00 400.59 42727.28 106.66 -20.00 -213.32 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -26.713 0.010 2.5 -0.693 BITCOIN 523.336 0.043 2.5 56.673 BOBL -31.656 0.004 2.5 -0.321 BTP -4.528 0.014 2.5 -0.154 BUND -17.014 0.004 2.5 -0.173 BUXL -14.318 0.004 2.5 -0.145 CAC -25.223 0.014 2.5 -0.860 CAD -196.943 0.010 2.5 -5.110 CANOLA -581.124 0.010 2.5 -14.139 CHF -121.233 0.010 2.5 -3.146 COCOA 115.612 0.009 2.5 2.476 COFFEE -18.938 0.005 2.5 -0.221 COPPER -42.285 0.043 2.5 -4.579 CORN -246.355 0.010 2.5 -5.994 COTTON2 -143.140 0.009 2.5 -3.066 CRUDE_W 22.383 0.043 2.5 2.424 DAX -31.593 0.014 2.5 -1.078 DOW -342.557 0.009 2.5 -7.961 DX 46.749 0.010 2.5 1.213 EUR -21.100 0.010 2.5 -0.547 EURIBOR-ICE 250.724 0.014 2.5 8.552 EUROSTX 19.907 0.014 2.5 0.679 FEEDCOW -47.101 0.013 2.5 -1.561 GASOIL 19.897 0.017 2.5 0.863 GASOLINE -1.079 0.017 2.5 -0.047 GAS_US_mini -64.741 0.043 2.5 -7.011 GBP -8.594 0.010 2.5 -0.223 GOLD_micro -195.172 0.014 2.5 -6.657 HEATOIL 0.306 0.017 2.5 0.013 JGB-SGX-mini -45.945 0.043 2.5 -4.975 JPY -109.901 0.010 2.5 -2.852 LEANHOG 63.135 0.024 2.5 3.837 LIVECOW -87.353 0.013 2.5 -2.895 LUMBER-new -227.259 0.009 2.5 -4.841 MILK -218.369 0.009 2.5 -4.677 MXP 135.986 0.059 2.5 19.960 NASDAQ_micro -143.900 0.009 2.5 -3.344 NIKKEI 102.390 0.043 2.5 11.088 NZD -6.160 0.010 2.5 -0.160 OAT 12.053 0.014 2.5 0.411 OATIES -225.386 0.010 2.5 -5.484 OJ 44.319 0.009 2.5 0.949 PALLAD -26.521 0.014 2.5 -0.905 PLAT 10.751 0.014 2.5 0.367 REDWHEAT -181.629 0.005 2.5 -2.409 RICE -161.188 0.010 2.5 -3.922 ROBUSTA 48.486 0.005 2.5 0.566 RUSSELL -548.412 0.013 2.5 -18.174 SHATZ -405.047 0.004 2.5 -4.108 SILVER-mini -24.472 0.014 2.5 -0.835 SMI -27.984 0.014 2.5 -0.955 SOFR -109.986 0.024 2.5 -6.685 SOYBEAN 17.280 0.004 2.5 0.161 SOYMEAL 20.789 0.004 2.5 0.193 SOYOIL -92.610 0.004 2.5 -0.862 SP400 -21.939 0.013 2.5 -0.727 SP500_micro -291.668 0.009 2.5 -6.779 SUGAR11 116.896 0.009 2.5 2.486 US10 -63.181 0.005 2.5 -0.801 US10U -35.847 0.005 2.5 -0.454 US2 -151.747 0.005 2.5 -1.923 US20 -16.754 0.005 2.5 -0.212 US30 -13.804 0.005 2.5 -0.175 US5 -123.582 0.005 2.5 -1.566 VIX -80.418 0.099 2.5 -19.851 WHEAT -213.322 0.005 2.5 -2.830 ===================== Position diags ===================== AUD 2.44 BITCOIN 58.14 BOBL 1.54 BTP 2.01 BUND 0.73 BUXL 0.29 CAC 2.34 CAD 3.48 CANOLA 9.25 CHF 1.76 COCOA 2.28 COFFEE 0.43 COPPER 5.45 CORN 4.17 COTTON2 1.69 CRUDE_W 3.68 DAX 11.65 DOW 8.22 DX 2.56 EUR 1.65 EURIBOR-ICE 10.90 EUROSTX 3.62 FEEDCOW 1.31 GASOIL 1.28 GASOLINE 1.06 GAS_US_mini 17.47 GBP 2.42 GOLD_micro 10.57 HEATOIL 0.95 JGB-SGX-mini 27.54 JPY 2.14 LEANHOG 5.24 LIVECOW 2.19 LUMBER-new 4.09 MILK 2.34 MXP 26.89 NASDAQ_micro 3.41 NIKKEI 19.81 NZD 2.53 OAT 2.34 OATIES 3.20 OJ 1.01 PALLAD 0.77 PLAT 2.08 REDWHEAT 1.20 RICE 3.71 ROBUSTA 1.36 RUSSELL 13.63 SHATZ 5.30 SILVER-mini 1.71 SMI 1.66 SOFR 12.20 SOYBEAN 0.77 SOYMEAL 0.70 SOYOIL 0.84 SP400 0.56 SP500_micro 5.81 SUGAR11 2.52 US10 1.06 US10U 0.77 US2 2.25 US20 0.50 US30 0.35 US5 1.69 VIX 16.23 WHEAT 1.41 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.7 -0.9 -0.4 0.0 0 BITCOIN 56.7 50.9 62.5 16.0 16 BOBL -0.3 -0.5 -0.2 0.0 0 BTP -0.2 -0.4 0.0 0.0 0 BUND -0.2 -0.2 -0.1 0.0 0 BUXL -0.1 -0.2 -0.1 -1.0 -1 CAC -0.9 -1.1 -0.6 0.0 0 CAD -5.1 -5.5 -4.8 -1.0 -1 CANOLA -14.1 -15.1 -13.2 -5.0 -5 CHF -3.1 -3.3 -3.0 -7.0 -7 COCOA 2.5 2.2 2.7 2.0 2 COFFEE -0.2 -0.3 -0.2 0.0 0 COPPER -4.6 -5.1 -4.0 -4.0 -4 CORN -6.0 -6.4 -5.6 -5.0 -5 COTTON2 -3.1 -3.2 -2.9 -4.0 -4 CRUDE_W 2.4 2.1 2.8 2.0 2 DAX -1.1 -2.2 0.1 -1.0 -1 DOW -8.0 -8.8 -7.1 -1.0 -1 DX 1.2 1.0 1.5 NaN 0 EUR -0.5 -0.7 -0.4 -1.0 -1 EURIBOR-ICE 8.6 7.5 9.6 2.0 2 EUROSTX 0.7 0.3 1.0 2.0 2 FEEDCOW -1.6 -1.7 -1.4 -1.0 -1 GASOIL 0.9 0.7 1.0 1.0 1 GASOLINE -0.0 -0.2 0.1 1.0 1 GAS_US_mini -7.0 -8.8 -5.3 -1.0 -1 GBP -0.2 -0.5 0.0 0.0 0 GOLD_micro -6.7 -7.7 -5.6 -1.0 -1 HEATOIL 0.0 -0.1 0.1 0.0 0 JGB-SGX-mini -5.0 -7.7 -2.2 -8.0 -8 JPY -2.9 -3.1 -2.6 -5.0 -5 LEANHOG 3.8 3.3 4.4 2.0 2 LIVECOW -2.9 -3.1 -2.7 -2.0 -2 LUMBER-new -4.8 -5.2 -4.4 NaN 0 MILK -4.7 -4.9 -4.4 NaN 0 MXP 20.0 17.3 22.6 14.0 14 NASDAQ_micro -3.3 -3.7 -3.0 -6.0 -6 NIKKEI 11.1 9.1 13.1 8.0 8 NZD -0.2 -0.4 0.1 0.0 0 OAT 0.4 0.2 0.6 2.0 2 OATIES -5.5 -5.8 -5.2 NaN 0 OJ 0.9 0.8 1.1 NaN 0 PALLAD -0.9 -1.0 -0.8 -1.0 -1 PLAT 0.4 0.2 0.6 0.0 0 REDWHEAT -2.4 -2.5 -2.3 -5.0 -5 RICE -3.9 -4.3 -3.6 NaN 0 ROBUSTA 0.6 0.4 0.7 2.0 2 RUSSELL -18.2 -19.5 -16.8 -7.0 -7 SHATZ -4.1 -4.6 -3.6 NaN 0 SILVER-mini -0.8 -1.0 -0.7 NaN 0 SMI -1.0 -1.1 -0.8 -1.0 -1 SOFR -6.7 -7.9 -5.5 NaN 0 SOYBEAN 0.2 0.1 0.2 0.0 0 SOYMEAL 0.2 0.1 0.3 0.0 0 SOYOIL -0.9 -0.9 -0.8 -3.0 -3 SP400 -0.7 -0.8 -0.7 -2.0 -2 SP500_micro -6.8 -7.4 -6.2 0.0 0 SUGAR11 2.5 2.2 2.7 0.0 0 US10 -0.8 -0.9 -0.7 NaN 0 US10U -0.5 -0.5 -0.4 -1.0 -1 US2 -1.9 -2.1 -1.7 NaN 0 US20 -0.2 -0.3 -0.2 -1.0 -1 US30 -0.2 -0.2 -0.1 0.0 0 US5 -1.6 -1.7 -1.4 -4.0 -4 VIX -19.9 -21.5 -18.2 -17.0 -17 WHEAT -2.8 -3.0 -2.7 -3.0 -3 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.8 3.8 3.7 1.3 1.0 3.1 1.3 4.2 1.3 1.0 3.1 1.3 3.6 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 0.3 0.2 -0.3 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.3 0.1 -0.4 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.3 0.0 0.5 -0.0 0.0 -0.1 0.1 -0.2 0.0 -0.1 0.2 0.2 0.2 -0.2 -0.2 -0.7 -0.0 0.2 BITCOIN 0.6 0.6 -0.0 -0.0 -0.1 -0.1 0.0 -0.0 0.0 0.2 0.4 0.2 0.4 0.2 0.2 -0.2 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.2 0.2 -2.7 0.1 0.0 0.1 0.1 0.0 0.1 -0.0 0.5 0.6 0.6 0.6 -0.1 0.7 -0.0 0.7 BOBL 0.3 0.1 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.3 0.1 -0.0 0.2 -0.1 0.0 -0.1 -0.0 -0.0 0.1 -0.2 0.0 1.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.2 -0.1 0.0 0.2 0.3 -0.7 -0.7 -0.5 -0.6 BTP 0.5 -0.3 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.1 0.0 -0.1 0.2 0.2 0.1 0.1 -0.0 -0.1 0.1 -0.2 0.1 -0.9 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.8 0.1 0.2 0.1 0.2 -0.5 -0.7 -0.0 0.2 BUND 0.3 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.0 -0.1 0.1 -0.3 0.0 0.8 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.5 -0.1 0.0 0.2 0.2 -0.7 -0.7 -0.7 -0.1 BUXL 0.3 -0.1 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.0 -0.4 -0.0 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.1 0.1 -0.4 0.0 0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 -0.1 -0.0 -0.0 -0.0 -0.6 -0.7 -0.4 0.6 CAC -0.1 -0.6 -0.6 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.1 -0.2 0.0 0.5 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.0 0.1 -0.1 -0.7 -0.1 0.0 -0.1 0.0 0.0 -0.0 0.2 -0.3 -0.3 0.1 0.2 0.3 0.1 0.5 0.3 CAD -0.1 -0.2 -0.4 -0.0 0.1 -0.1 0.1 0.0 -0.0 0.0 -0.4 -0.0 -0.5 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 0.0 -0.3 -0.1 0.3 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.4 -0.4 -0.1 -0.5 -0.7 -0.7 -0.5 -0.7 CANOLA -0.1 -0.6 -0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 -0.0 -0.2 -0.1 -0.1 -0.4 0.1 -0.2 -0.1 -0.2 -0.1 -0.0 -0.2 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.1 -0.3 -0.6 -0.4 -0.3 -0.1 0.2 0.3 CHF 0.4 -0.3 -0.6 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.0 -0.3 -0.0 0.2 -0.0 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.0 -0.0 -0.1 -1.1 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -1.1 -0.5 0.3 -0.4 -0.3 -0.7 -0.7 -0.7 -0.7 COCOA 0.6 0.0 0.2 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.1 0.5 0.2 0.7 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.5 0.2 -2.6 0.1 0.0 0.2 0.1 0.3 0.1 -0.3 0.5 0.6 0.6 0.6 0.2 -0.2 0.7 0.2 COFFEE 0.6 0.5 0.0 -0.1 0.0 -0.1 0.0 -0.2 -0.0 0.1 -0.3 0.2 -0.5 0.2 0.1 0.0 0.0 0.0 0.0 0.1 -0.0 0.2 -0.3 0.2 -2.7 0.0 0.1 0.0 0.1 -0.1 0.1 0.1 0.2 0.6 0.6 0.2 -0.7 -0.7 -0.7 -0.4 COPPER 0.4 -0.2 -0.4 -0.0 -0.0 -0.1 0.0 -0.0 0.0 0.1 -0.5 0.2 -0.2 -0.0 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.3 0.0 -0.9 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.0 0.5 -0.2 -0.3 0.0 0.1 -0.7 0.3 -0.7 CORN 0.1 0.2 -0.6 -0.1 0.0 -0.1 0.0 -0.2 -0.0 -0.0 -0.5 -0.1 -0.7 -0.0 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.5 -0.0 -2.6 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.1 -0.1 -0.1 0.5 -0.0 -0.2 -0.1 0.1 0.2 COTTON2 -0.6 -0.5 0.1 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.1 0.1 -0.2 -0.3 -0.2 -0.1 -0.2 0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.2 -2.7 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.0 -0.5 -0.6 -0.4 0.3 -0.7 -0.5 0.0 0.2 CRUDE_W -0.2 -0.6 0.5 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.4 -0.1 0.3 -0.0 0.1 0.2 0.2 0.3 0.2 0.1 0.2 -0.1 0.4 -0.0 -0.7 0.0 -0.1 0.2 -0.1 0.3 -0.0 -1.1 0.1 0.2 0.5 0.0 0.7 0.3 0.7 0.3 DAX -0.1 -0.6 -0.6 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.1 -0.3 -0.0 0.3 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 0.1 -0.1 -0.1 2.2 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -0.2 -0.2 -0.2 -0.2 -0.1 0.3 0.1 0.5 0.4 DOW 0.2 -0.6 -0.5 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.1 0.1 0.2 -0.0 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 0.1 -0.0 0.0 -1.1 -0.0 0.1 -0.0 0.0 0.0 -0.0 -0.3 0.0 0.2 -0.1 0.2 -0.5 -0.2 -0.7 -0.3 DX -0.5 0.1 0.6 -0.0 0.1 -0.1 0.0 0.0 -0.0 -0.1 0.5 -0.1 -0.1 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.2 -0.1 0.3 -0.0 -2.7 0.1 -0.1 0.2 -0.1 0.2 -0.0 0.8 -0.5 -0.2 0.6 0.6 0.2 0.3 0.3 0.7 EUR 0.5 -0.1 -0.5 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.3 0.1 0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.2 0.0 1.5 -0.0 0.0 -0.1 0.1 -0.1 0.0 -0.4 0.0 0.4 -0.1 -0.3 -0.4 -0.6 -0.3 -0.2 EURIBOR-ICE 0.6 0.4 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 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.1 -0.2 0.1 2.3 0.0 0.0 0.0 0.0 -0.1 0.0 -0.5 0.2 0.3 0.5 0.5 -0.7 -0.7 0.2 0.6 EUROSTX -0.0 -0.4 -0.6 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.1 -0.2 0.0 0.4 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.6 -0.0 0.1 -0.1 0.0 0.0 -0.0 0.2 -0.1 0.1 0.3 0.2 0.2 0.2 0.3 0.5 FEEDCOW -0.6 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.4 -0.2 -0.1 -0.3 -0.4 -0.3 -0.4 -0.2 -0.0 -0.2 0.3 -0.2 -0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.1 -1.1 -0.3 -0.6 -0.6 0.1 0.5 -0.1 0.7 0.2 GASOIL -0.5 -0.6 0.6 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.3 -0.1 0.3 -0.1 0.1 0.4 0.4 0.4 0.4 0.0 0.1 -0.1 0.4 -0.1 1.1 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.0 -0.0 0.0 0.2 0.4 -0.3 0.0 -0.4 -0.2 GASOLINE -0.1 -0.6 -0.1 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.2 -0.1 0.2 -0.1 -0.1 0.1 0.4 0.4 0.4 -0.1 0.0 -0.1 0.3 -0.1 -2.7 -0.0 -0.0 0.0 -0.0 0.2 -0.0 0.8 0.1 0.2 -0.5 -0.6 0.7 0.3 0.7 0.2 GAS_US_mini -0.1 0.4 0.6 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.2 -0.4 -0.1 -0.7 -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 -0.1 0.0 -0.1 -0.1 -0.0 -1.1 0.5 -0.3 0.6 -0.6 -0.3 0.2 -0.5 0.1 GBP 0.3 -0.3 -0.6 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.1 -0.3 0.1 0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.1 -0.1 0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 0.1 0.2 -0.3 -0.4 -0.2 0.2 -0.0 0.7 GOLD_micro 0.6 0.4 -0.3 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 -0.0 0.1 -0.0 0.2 -0.9 0.0 -0.0 0.0 0.0 0.0 0.0 -1.0 -0.1 0.6 0.3 0.2 -0.4 -0.7 -0.3 -0.7 HEATOIL -0.3 -0.6 0.5 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.3 -0.1 0.3 -0.1 0.1 0.4 0.4 0.4 0.4 0.0 0.2 -0.1 0.4 -0.1 -2.7 0.0 -0.1 0.2 -0.1 0.3 -0.0 0.1 -0.0 0.2 0.0 0.3 0.2 -0.1 0.0 -0.2 JGB-SGX-mini -0.2 -0.4 -0.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 -0.0 0.1 -0.1 -0.1 0.2 0.4 0.3 0.3 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 1.1 -0.5 -0.5 -0.2 -0.1 0.0 -0.6 0.5 0.5 JPY 0.3 0.1 -0.5 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.4 -0.0 -0.5 -0.1 -0.2 -0.4 -0.3 -0.4 -0.4 -0.2 -0.2 -0.0 -0.5 -0.1 2.7 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -1.1 -0.4 -0.4 -0.3 -0.5 -0.2 -0.7 -0.1 -0.7 LEANHOG 0.0 -0.3 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.0 0.1 -0.2 -0.0 -0.1 -0.3 0.4 0.4 0.4 -0.1 -0.1 0.1 -0.3 0.0 1.7 -0.0 0.0 -0.1 0.0 -0.3 0.0 1.1 0.5 -0.0 0.0 -0.1 -0.3 -0.1 0.4 0.7 LIVECOW -0.6 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.2 -0.1 0.4 -0.1 -0.1 -0.3 -0.1 -0.3 -0.2 -0.1 0.0 -0.2 0.3 -0.2 0.0 -0.0 -0.1 0.0 -0.1 0.2 -0.1 -0.6 -0.3 -0.6 -0.3 0.1 -0.3 -0.7 -0.1 -0.4 LUMBER-new 0.3 0.1 -0.3 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.2 -0.6 0.2 -0.7 0.1 -0.2 -0.4 -0.3 -0.4 -0.4 -0.1 -0.2 0.2 -0.5 0.1 NaN -0.0 0.2 -0.2 0.2 -0.2 0.1 -1.2 0.6 0.6 0.5 -0.7 -0.6 -0.8 -0.3 -0.7 MILK 0.0 -0.3 -0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.2 -0.2 -0.5 -0.2 -0.1 -0.3 -0.4 -0.4 -0.4 -0.1 -0.2 -0.2 -0.5 -0.2 0.5 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -1.1 -0.5 -0.2 -0.4 0.3 -0.7 -0.7 -0.7 -0.7 MXP 0.3 -0.6 -0.6 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 0.1 0.1 0.4 -0.0 -0.1 0.3 0.3 0.3 0.3 -0.0 0.0 0.2 0.3 0.1 -2.7 -0.0 0.1 0.0 0.1 0.2 0.0 1.1 0.5 0.6 0.0 0.1 0.4 0.4 0.6 0.7 NASDAQ_micro -0.1 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 0.1 0.1 0.3 -0.0 -0.1 -0.2 -0.2 -0.2 -0.2 -0.0 0.0 0.1 0.2 0.0 -2.7 -0.0 0.1 0.0 0.1 0.1 0.0 -0.3 0.0 0.0 0.1 0.2 0.1 -0.4 0.1 -0.5 NIKKEI 0.1 -0.6 -0.5 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 0.2 0.1 0.3 0.0 -0.0 0.1 0.2 0.1 0.2 -0.0 0.0 0.1 0.2 0.0 -1.0 -0.0 0.1 0.0 0.1 0.2 0.0 1.1 0.1 0.5 0.3 0.4 -0.1 0.1 -0.1 0.4 NZD -0.0 0.2 -0.3 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.3 0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.1 -0.1 0.1 -0.2 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.2 0.2 -0.2 0.2 -0.1 0.1 -0.5 0.3 0.3 OAT 0.3 -0.1 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.0 -0.1 0.1 0.2 0.1 0.1 -0.0 -0.1 0.1 -0.3 0.0 1.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.8 -0.1 0.1 0.2 0.2 -0.7 -0.7 -0.3 0.4 OATIES -0.4 -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 -0.1 -0.2 0.1 -0.2 -2.7 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -1.1 -0.5 -0.6 -0.6 -0.1 0.4 0.4 0.7 0.7 OJ -0.6 -0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.2 -0.0 -0.1 0.5 -0.1 0.7 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 -0.2 0.5 0.1 -2.7 0.1 -0.0 0.2 -0.0 0.3 0.0 1.1 -0.5 0.4 0.6 0.6 0.1 0.3 0.6 0.7 PALLAD -0.2 -0.1 0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.4 -0.1 -0.5 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.1 -0.5 -0.1 0.5 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.2 -0.5 -0.6 -0.5 -0.2 -0.3 -0.3 0.1 -0.2 PLAT 0.5 0.1 -0.2 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.3 0.0 -0.2 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 0.0 1.8 0.0 -0.1 -0.0 0.0 -0.0 0.0 0.2 0.1 -0.0 0.0 0.2 0.0 -0.6 0.3 -0.5 REDWHEAT -0.2 -0.6 -0.6 -0.1 0.0 -0.1 0.0 -0.2 -0.0 -0.1 -0.5 -0.1 -0.7 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.1 -0.5 -0.2 -2.5 -0.1 -0.0 -0.2 -0.0 -0.2 -0.1 -0.2 -0.5 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.4 RICE -0.2 -0.2 0.2 -0.1 0.0 -0.2 0.0 -0.2 -0.0 -0.1 0.2 -0.2 0.2 -0.2 -0.0 -0.4 0.1 -0.3 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -2.7 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.4 -0.5 -0.4 0.1 0.5 -0.1 -0.7 0.5 -0.3 ROBUSTA 0.4 -0.4 -0.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.2 -0.0 0.4 -0.0 -0.0 0.4 0.4 0.4 0.4 0.0 0.1 0.0 0.3 0.0 -2.3 0.0 0.0 0.1 0.0 0.2 0.0 1.1 -0.5 0.6 0.5 0.2 -0.1 -0.4 0.6 -0.0 RUSSELL 0.1 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.2 0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.2 -0.1 -0.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.3 -0.1 -0.4 -0.5 -0.7 -0.7 SHATZ 0.3 0.3 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.3 0.0 -0.0 -0.4 -0.3 -0.4 -0.4 -0.0 -0.1 0.0 -0.4 0.0 1.4 -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.1 -0.2 -0.2 0.3 0.3 -0.6 -0.7 -0.4 -0.7 SILVER-mini 0.4 -0.1 -0.3 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.1 0.0 0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 0.9 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.2 -0.2 0.1 -0.2 0.2 -0.5 -0.7 -0.1 -0.7 SMI -0.5 -0.5 -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 0.0 0.1 0.0 -0.2 -0.1 0.0 -0.1 -0.1 0.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.7 -0.1 -0.6 0.0 0.2 -0.3 -0.4 -0.2 -0.2 SOFR 0.4 0.1 -0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.2 0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.0 -0.1 0.0 0.0 -0.7 -0.7 -0.2 -0.3 SOYBEAN 0.4 -0.2 0.0 -0.1 0.0 -0.1 0.0 -0.2 -0.0 0.1 0.2 0.2 0.2 0.0 -0.1 0.3 0.4 0.3 0.3 0.0 0.0 0.2 0.0 0.1 -2.7 0.0 0.1 0.0 0.1 0.0 0.1 1.1 0.5 0.6 0.3 0.2 -0.7 -0.2 -0.7 -0.1 SOYMEAL 0.6 0.3 -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 0.3 0.3 0.3 0.3 0.1 0.0 0.2 0.1 0.2 -2.7 0.0 0.1 0.0 0.1 0.1 0.1 1.1 0.5 0.6 0.6 0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.4 -0.6 -0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.2 0.2 0.2 -0.2 -0.1 -0.1 -0.1 -0.2 -2.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 1.0 -0.2 -0.6 -0.6 -0.3 -0.2 0.1 0.4 0.6 SP400 -0.0 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.2 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 -1.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.1 -0.2 -0.2 -0.0 -0.2 -0.5 -0.5 -0.7 SP500_micro -0.0 -0.6 -0.6 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.0 0.1 0.2 -0.0 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 0.1 0.1 -0.0 -2.1 -0.0 0.1 -0.0 0.0 0.1 -0.0 -0.4 0.0 0.0 -0.1 0.1 -0.1 -0.4 -0.1 -0.6 SUGAR11 0.0 -0.1 0.1 -0.1 0.0 -0.1 0.0 -0.2 -0.0 0.1 0.5 0.2 0.7 0.2 0.2 0.4 0.3 0.4 0.4 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.0 0.3 0.1 0.5 0.1 1.1 0.0 0.5 0.6 0.6 -0.6 -0.6 0.3 0.1 US10 0.3 0.1 -0.3 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.0 -0.3 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.1 -0.2 -0.0 0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.5 -0.1 -0.1 -0.1 -0.1 -0.7 -0.7 -0.0 0.0 US10U 0.3 0.0 -0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 0.1 -0.3 -0.0 -0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.1 -0.2 -0.2 -0.2 -0.7 -0.7 0.2 0.5 US2 0.4 0.6 0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.0 -0.4 0.0 1.1 -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.1 -0.1 -0.1 0.2 0.1 -0.7 -0.7 -0.3 -0.7 US20 0.3 -0.1 -0.5 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.0 -0.2 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.1 -0.2 -0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.1 -0.1 -0.2 -0.2 -0.4 -0.7 0.5 0.7 US30 0.3 -0.1 -0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.0 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.3 -0.1 -0.1 -0.2 -0.2 -0.2 -0.7 0.7 0.7 US5 0.4 0.3 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.0 -0.3 -0.0 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 0.1 -0.3 0.0 0.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.9 -0.0 -0.1 0.0 0.0 -0.7 -0.7 -0.3 -0.6 VIX -0.0 1.0 1.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.0 -0.2 -0.5 -0.2 -0.7 -0.1 -0.0 -0.6 -0.6 -0.6 -0.6 -0.0 -0.1 -0.2 -0.6 -0.1 NaN -0.0 -0.1 -0.1 -0.1 -0.4 -0.0 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.1 -0.1 -0.6 -0.1 0.0 -0.1 0.0 -0.2 -0.0 0.0 -0.5 -0.1 -0.7 -0.0 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.0 -0.5 -0.1 -0.8 -0.1 0.0 -0.2 -0.0 -0.3 -0.0 -1.0 -0.2 -0.1 0.2 -0.4 -0.7 -0.6 -0.7 -0.5 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 9.7 4.9 -10.2 -2.8 4.2 -1.7 3.3 0.2 -0.4 5.1 -12.6 6.7 -11.0 2.3 -11.2 -3.0 -3.0 -3.2 -3.2 -4.3 -9.1 10.1 -10.1 3.8 3.4 -2.3 4.6 -4.5 6.2 -4.7 2.3 -1.3 6.4 5.6 6.1 -5.5 -6.7 -20.0 -1.0 5.0 BITCOIN 20.0 20.0 -1.3 -1.3 -6.2 -2.8 1.7 -0.9 2.8 18.6 13.8 20.0 12.0 20.0 15.3 -7.8 -4.9 -6.8 -6.1 20.0 15.3 20.0 6.2 20.0 -20.0 7.0 4.6 3.0 8.4 1.2 10.2 -0.6 20.0 20.0 20.0 20.0 -3.1 20.0 -0.9 20.0 BOBL 10.3 4.3 2.4 -1.7 2.9 -2.5 2.7 -2.6 0.5 5.5 -5.3 6.9 -7.9 4.8 -0.6 10.7 -3.7 2.2 -3.4 -0.6 -4.5 7.4 -9.0 4.5 9.2 -0.3 3.0 -1.9 3.8 -3.3 2.2 -4.2 -4.0 0.1 7.6 9.1 -20.0 -20.0 -14.4 -18.6 BTP 15.7 -9.5 -10.5 -2.4 4.1 -3.5 3.7 -3.6 0.7 8.4 -6.0 9.4 -2.1 0.7 -6.0 7.7 7.6 6.8 6.7 -4.1 -6.6 14.5 -6.2 5.7 -6.7 -1.5 5.3 -2.2 5.4 -1.7 2.2 15.2 2.6 6.8 4.0 5.6 -13.6 -20.0 -0.6 6.8 BUND 9.6 -0.8 -2.6 -1.8 3.1 -2.6 2.8 -2.7 0.5 6.3 -6.5 6.6 -8.7 1.3 -4.1 -2.4 5.1 -0.6 1.8 -2.7 -6.3 8.2 -9.8 3.3 6.1 -1.2 4.1 -2.5 3.9 -3.2 1.5 9.1 -3.3 1.2 5.0 5.6 -20.0 -20.0 -20.0 -3.2 BUXL 8.0 -4.5 -6.7 -1.9 3.3 -2.8 3.0 -2.9 0.6 7.4 -8.5 4.5 -9.8 -3.0 -7.0 0.6 0.8 0.6 0.8 -7.1 -10.3 7.5 -13.1 0.0 1.4 -2.4 4.4 -3.3 2.9 -3.4 0.1 4.6 -5.4 -0.2 -0.8 -1.3 -18.2 -20.0 -11.8 17.0 CAC -3.1 -17.6 -18.9 -4.6 6.8 -3.6 4.2 -1.1 -1.4 9.4 -8.8 0.0 12.8 -10.9 -15.3 -4.0 -2.5 -5.2 -4.5 -16.0 -10.9 5.0 2.5 -8.3 -5.4 -5.6 2.9 -3.9 2.0 0.3 -2.9 4.3 -12.8 -8.5 1.8 5.4 8.9 3.5 14.9 9.5 CAD -3.7 -6.7 -12.0 -4.0 5.9 -2.4 4.7 0.3 -0.6 4.1 -14.3 -3.3 -14.5 -12.1 -17.6 -2.6 -2.2 -2.5 -2.4 -14.7 -12.7 0.1 -10.1 -9.9 2.1 -6.4 2.1 -5.3 0.2 -3.7 -4.3 0.0 -15.9 -13.5 -4.1 -14.1 -19.9 -20.0 -13.6 -20.0 CANOLA -4.0 -20.0 -10.7 -2.9 0.1 -3.1 0.1 -3.0 -1.6 8.2 -2.2 -3.8 -4.2 -9.4 -10.3 -19.1 3.5 -12.2 -4.3 -15.7 -10.5 -1.7 -6.6 -12.3 -20.0 -3.5 2.3 -2.6 -0.3 -2.1 -2.7 -0.1 4.0 -10.6 -20.0 -10.9 -10.1 -3.4 7.3 8.6 CHF 11.9 -9.6 -18.1 -3.6 5.3 -2.2 4.3 0.3 -0.5 3.7 -9.5 -2.4 5.1 -1.0 -11.5 -16.6 -14.8 -16.7 -15.8 -10.0 -9.0 -1.1 -1.6 -4.6 -8.6 -3.9 1.1 -3.4 -0.7 -0.8 -2.0 -20.0 -20.0 9.0 -12.1 -8.2 -20.0 -20.0 -20.0 -20.0 COCOA 20.0 1.2 7.1 -5.8 0.2 -6.0 0.2 -5.9 -3.1 16.0 20.0 20.0 20.0 20.0 19.7 -4.3 -2.7 -4.0 -3.4 20.0 20.0 20.0 20.0 20.0 -19.3 7.7 4.8 8.2 8.5 9.5 9.1 -5.5 20.0 20.0 20.0 20.0 6.9 -5.0 20.0 7.3 COFFEE 20.0 15.0 1.2 -4.8 0.2 -5.1 0.2 -4.9 -2.6 14.2 -12.1 16.1 -13.6 14.2 7.9 1.9 1.4 0.0 0.4 8.3 -3.5 20.0 -10.1 18.5 -20.0 3.9 7.9 0.2 8.4 -1.4 7.3 1.2 6.3 20.0 20.0 6.9 -20.0 -20.0 -20.0 -12.1 COPPER 11.1 -7.6 -11.4 -1.1 -5.2 -2.3 1.5 -0.8 2.3 13.1 -16.8 16.8 -6.8 -4.5 -14.9 -8.4 -4.0 -7.1 -5.7 -8.8 -13.7 14.0 -12.4 3.7 -6.4 -2.7 6.5 -4.9 7.8 -4.5 2.9 0.6 19.7 -5.5 -10.3 1.4 1.9 -20.0 7.7 -20.0 CORN 1.7 5.1 -19.1 -5.2 0.2 -5.5 0.2 -5.3 -2.8 -5.3 -19.7 -10.4 -19.1 -1.7 -17.9 -5.5 1.2 -5.6 -3.7 -7.7 -18.1 -2.0 -20.0 -2.4 -19.7 -1.8 -2.7 -4.7 -1.1 -7.8 -1.2 -2.6 -6.0 -3.2 15.1 -1.4 -7.5 -1.8 3.2 5.3 COTTON2 -20.0 -15.5 2.2 -4.5 0.2 -4.7 0.2 -4.6 -2.4 -16.2 3.6 -17.4 -8.7 -17.1 -9.1 -9.3 2.2 -5.2 -1.6 -13.9 -3.3 -20.0 -1.5 -20.0 -20.0 -4.4 -11.7 -0.7 -10.6 0.8 -8.3 0.1 -20.0 -20.0 -13.0 8.3 -19.9 -13.8 1.1 6.3 CRUDE_W -6.9 -17.1 14.5 0.2 -6.7 4.2 -5.4 4.6 -3.9 -13.8 13.1 -8.6 8.1 -2.6 9.1 9.4 11.4 13.1 12.3 7.1 14.5 -11.3 13.3 -3.7 -5.2 2.7 -8.2 6.8 -5.0 7.3 -2.1 -20.0 3.7 6.7 14.9 0.7 19.8 10.0 20.0 9.2 DAX -4.0 -18.9 -20.0 -4.1 6.1 -3.3 3.7 -0.9 -1.3 13.3 -12.3 -1.1 9.3 -10.9 -15.6 -9.4 -8.0 -9.6 -9.1 -18.4 -14.2 6.6 -2.2 -9.3 16.5 -5.5 4.5 -4.5 2.2 -1.3 -2.7 -4.4 -7.8 -5.7 -5.1 -3.1 9.1 2.2 16.4 10.7 DOW 6.0 -17.4 -16.1 -3.2 4.7 -2.5 2.9 -0.7 -1.0 12.7 -4.2 9.9 6.0 -3.1 -7.9 -9.8 -9.0 -10.7 -10.4 -8.0 -6.4 14.1 -1.6 0.1 -8.5 -2.9 6.5 -1.9 4.0 0.2 -0.5 -6.4 0.9 5.3 -2.2 7.0 -16.4 -7.5 -20.0 -8.3 DX -16.2 3.4 19.9 -3.8 5.6 -2.3 4.5 0.3 -0.5 -9.7 16.9 -7.3 -3.3 4.6 17.2 7.2 5.9 7.2 6.6 12.8 16.0 -12.7 11.3 -0.3 -20.0 5.0 -7.0 6.2 -5.5 4.9 -0.2 14.7 -20.0 -5.6 20.0 20.0 6.3 8.2 9.9 20.0 EUR 14.5 -4.1 -16.5 -2.9 4.4 -1.8 3.5 0.2 -0.4 7.9 -11.4 8.6 3.2 1.0 -11.4 -6.3 -6.8 -6.6 -6.6 -6.5 -8.9 9.9 -5.7 2.4 11.5 -3.1 5.3 -4.0 4.7 -2.5 1.1 -7.6 1.7 10.9 -2.2 -9.2 -11.9 -17.8 -9.4 -5.5 EURIBOR-ICE 19.7 12.3 8.4 -1.6 2.8 -2.4 2.5 -2.4 0.5 6.2 -2.0 7.5 -6.6 6.7 5.0 -3.3 -7.3 -5.9 -7.1 5.4 -0.2 14.2 -6.6 11.4 17.2 1.7 3.3 0.1 4.6 -1.7 3.7 -9.8 7.6 8.2 15.4 15.2 -20.0 -20.0 5.5 19.4 EUROSTX -0.1 -13.0 -17.9 -4.2 6.3 -3.3 3.8 -1.0 -1.3 11.7 -8.8 4.5 11.2 -7.2 -14.5 -5.4 -2.5 -5.4 -4.5 -11.3 -8.7 9.6 2.3 -2.8 4.5 -4.6 5.8 -3.8 4.6 0.1 -0.8 4.3 -5.6 2.2 8.8 5.6 5.8 4.8 9.8 14.2 FEEDCOW -20.0 -20.0 -20.0 -3.9 0.1 -4.1 0.2 -3.9 -2.1 -10.4 3.1 -12.2 9.9 -14.1 -10.7 -13.0 -20.0 -13.2 -20.0 -18.5 -1.3 -20.0 11.3 -20.0 -2.1 -3.5 -4.5 0.5 -4.4 3.5 -5.4 -20.0 -10.7 -20.0 -20.0 2.4 14.0 -2.2 20.0 7.3 GASOIL -13.9 -17.6 18.9 0.2 -5.3 3.3 -4.2 3.6 -3.1 -12.5 11.0 -12.0 7.7 -7.9 7.4 20.0 20.0 20.0 20.0 3.4 13.1 -12.2 14.0 -7.6 8.5 1.6 -5.5 5.4 -4.2 5.4 -2.6 0.0 -0.1 0.4 6.6 11.7 -8.3 0.5 -13.0 -4.9 GASOLINE -1.8 -20.0 -2.1 0.2 -6.7 4.2 -5.4 4.6 -3.9 -13.7 7.8 -9.6 6.6 -12.6 -5.7 2.8 20.0 20.0 20.0 -6.1 4.2 -11.9 11.7 -10.9 -20.0 -2.8 -5.4 1.8 -4.4 5.7 -4.5 14.8 3.0 4.7 -16.1 -20.0 20.0 9.9 20.0 5.7 GAS_US_mini -4.2 13.8 20.0 0.3 -7.9 4.9 -6.3 5.4 -4.6 -16.8 -14.6 -10.3 -20.0 -6.9 -11.5 -20.0 -20.0 -20.0 -20.0 -2.7 -9.7 -9.0 -20.0 -3.3 20.0 0.7 -14.1 0.0 -5.2 -2.7 -1.0 -20.0 20.0 -8.7 20.0 -20.0 -8.9 6.3 -14.3 1.9 GBP 10.5 -10.0 -17.5 -3.2 4.7 -1.9 3.8 0.3 -0.4 6.5 -9.4 5.0 6.4 -4.7 -13.4 -0.8 -0.8 -0.6 -0.6 -8.5 -8.0 9.6 -2.9 0.4 0.6 -3.7 5.3 -3.6 4.6 -1.9 0.3 2.9 4.8 6.7 -8.7 -11.1 -6.6 5.8 -0.2 20.0 GOLD_micro 20.0 12.9 -9.4 -0.8 -4.1 -1.8 1.1 -0.6 1.8 -13.0 -4.1 10.0 2.5 12.5 7.4 -15.1 -14.7 -16.6 -16.2 8.6 -0.4 6.3 -1.1 15.2 -6.7 2.1 -2.3 0.1 1.6 0.1 3.7 -17.9 -4.6 20.0 8.1 6.1 -10.9 -20.0 -9.2 -20.0 HEATOIL -10.6 -19.2 14.9 0.2 -6.8 4.2 -5.5 4.7 -3.9 -13.8 12.4 -11.4 8.2 -9.1 7.7 20.0 20.0 20.0 20.0 3.1 14.4 -14.7 16.1 -9.0 -20.0 0.8 -8.4 6.3 -5.7 8.2 -3.8 1.1 -2.0 4.7 0.4 9.9 6.8 -2.2 0.3 -6.8 JGB-SGX-mini -6.5 -10.9 -18.6 -1.7 3.0 -2.6 2.7 -2.6 0.5 4.6 -5.0 -3.7 1.5 -5.3 -7.9 9.0 19.4 13.6 15.6 -8.8 -6.6 -2.4 -2.3 -7.3 -1.6 -3.0 1.2 -2.3 -1.1 -1.3 -2.7 20.0 -20.0 -15.2 -4.9 -3.2 1.3 -17.6 14.1 14.5 JPY 9.2 3.7 -15.4 -2.7 4.0 -1.6 3.2 0.2 -0.4 -0.9 -15.0 -4.0 -14.4 -10.0 -14.1 -19.1 -15.9 -18.9 -17.7 -14.7 -20.0 -4.2 -20.0 -8.3 20.0 -5.5 -1.5 -6.8 -2.3 -7.1 -3.7 -20.0 -18.2 -12.0 -10.2 -15.8 -7.4 -20.0 -3.6 -20.0 LEANHOG 0.0 -8.8 0.9 -3.1 0.1 -3.2 0.1 -3.1 -1.6 10.0 -1.4 8.3 -6.0 -3.5 -5.8 -16.1 20.0 20.0 20.0 -5.1 -7.0 7.9 -9.8 0.3 12.8 -2.2 4.1 -4.4 4.0 -7.0 0.6 20.0 20.0 -1.1 0.4 -2.1 -8.4 -3.4 11.5 19.5 LIVECOW -20.0 -20.0 -18.1 -3.8 0.1 -4.0 0.2 -3.9 -2.0 -9.9 7.9 -8.9 11.6 -10.1 -6.6 -12.7 -5.0 -16.8 -9.7 -8.5 2.7 -16.9 10.4 -15.1 0.0 -2.8 -7.3 1.7 -5.6 4.9 -5.4 -10.6 -11.6 -20.0 -9.4 4.2 -10.2 -20.0 -3.8 -11.5 LUMBER-new 7.8 3.6 -8.1 -6.2 0.2 -6.3 0.3 -5.2 -3.3 20.0 -20.0 18.5 -20.0 7.3 -18.1 -17.6 -14.8 -16.8 -15.6 -7.1 -15.8 20.0 -16.5 9.4 NaN -2.4 20.0 -5.7 15.7 -5.3 5.6 -20.0 20.0 17.1 13.2 -19.7 -14.3 -20.0 -7.5 -18.3 MILK 0.0 -9.7 -3.8 -4.1 0.1 -4.2 0.2 -4.1 -2.2 -14.7 -8.7 -15.7 -12.9 -15.4 -5.3 -15.9 -20.0 -18.5 -20.0 -11.4 -14.3 -17.8 -20.0 -14.2 4.0 -4.0 -8.8 -5.9 -6.9 -9.2 -4.8 -20.0 -20.0 -7.3 -12.3 9.5 -20.0 -20.0 -20.0 -20.0 MXP 10.4 -20.0 -19.3 -2.6 3.8 -1.6 3.1 0.2 -0.4 10.6 4.8 10.7 10.6 -0.3 -5.4 12.9 16.4 14.1 15.2 -2.3 1.0 17.4 10.3 6.2 -20.0 -0.8 6.9 0.5 6.7 4.2 2.4 20.0 20.0 18.5 1.4 3.6 11.4 12.3 18.5 20.0 NASDAQ_micro -4.4 -17.9 -20.0 -2.7 4.0 -2.1 2.5 -0.6 -0.8 10.9 4.4 6.0 7.4 -0.9 -5.5 -9.2 -8.6 -9.7 -9.6 -3.5 1.6 14.1 7.5 1.2 -20.0 -1.4 8.4 0.9 4.6 3.9 0.1 -5.4 0.2 0.4 3.4 5.4 3.6 -13.1 2.2 -15.7 NIKKEI 1.8 -19.2 -15.8 -3.0 4.5 -2.4 2.8 -0.7 -1.0 11.0 8.0 8.5 9.7 0.7 -1.4 3.2 10.2 6.3 8.7 -0.4 3.4 13.6 9.1 4.2 -7.2 -0.6 7.1 1.8 5.7 4.9 1.4 20.0 4.2 15.3 10.0 11.7 -3.5 2.2 -4.0 11.2 NZD -1.3 6.2 -9.4 -2.5 3.8 -1.5 3.0 0.2 -0.4 5.8 -11.2 0.9 -3.0 -3.0 -10.3 -0.1 0.2 -0.0 0.1 -4.7 -7.1 7.6 -7.3 0.5 0.9 -2.2 6.2 -3.2 4.9 -3.1 0.6 4.3 7.7 -6.3 7.6 -3.3 4.0 -15.7 9.9 8.7 OAT 10.4 -2.9 -3.7 -1.9 3.3 -2.8 3.0 -2.9 0.6 7.0 -7.0 6.9 -9.1 0.4 -4.9 5.9 7.7 6.0 6.5 -3.2 -6.6 9.5 -9.4 3.5 8.4 -1.3 4.7 -2.5 4.3 -3.1 1.6 15.3 -2.2 2.2 4.8 5.6 -20.0 -20.0 -8.1 10.9 OATIES -13.9 -20.0 -7.3 -3.3 0.1 -3.4 0.1 -3.3 -1.7 -11.9 -1.2 -11.6 -2.5 -12.3 -11.3 -19.7 -9.0 -18.7 -15.8 -19.2 -6.3 -20.0 2.3 -20.0 -20.0 -3.4 -6.4 -1.1 -4.9 0.3 -4.3 -20.0 -20.0 -20.0 -20.0 -4.3 10.5 11.2 20.0 20.0 OJ -20.0 -5.6 -0.3 -5.0 0.2 -5.2 0.2 -5.0 -2.6 -13.8 19.8 -11.4 20.0 7.7 16.7 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 20.0 7.8 -20.0 6.5 -5.1 8.6 -3.2 9.5 2.1 20.0 -20.0 11.6 20.0 20.0 3.5 8.6 17.1 20.0 PALLAD -4.9 -2.5 0.7 -0.7 -3.5 -1.6 1.0 -0.5 1.6 -11.9 -14.6 -9.3 -15.1 -12.0 -12.9 -2.5 -2.7 -2.7 -2.8 -15.5 -20.0 -13.4 -20.0 -13.4 3.5 -4.9 -8.6 -4.9 -5.3 -5.1 -4.8 4.0 -19.0 -20.0 -14.8 -7.3 -10.2 -8.7 4.0 -4.5 PLAT 14.2 2.0 -6.0 -0.7 -3.3 -1.5 0.9 -0.5 1.5 -7.6 -10.6 4.2 -5.5 2.1 -4.8 -3.6 -2.7 -3.7 -3.3 -2.1 -6.3 -0.4 -6.1 2.2 13.7 0.5 -6.6 -0.9 0.1 -1.1 2.0 3.6 4.3 -0.1 1.4 5.8 1.3 -17.0 9.6 -13.8 REDWHEAT -4.8 -18.8 -20.0 -5.1 0.2 -5.3 0.2 -5.1 -2.7 -9.6 -20.0 -13.7 -20.0 -18.7 -20.0 -6.9 -0.5 -5.2 -2.9 -20.0 -20.0 -15.4 -20.0 -20.0 -18.9 -7.5 -3.3 -6.8 -4.5 -4.7 -6.3 -3.0 -20.0 -20.0 -19.5 -20.0 -20.0 -20.0 -20.0 -11.8 RICE -7.6 -6.0 4.8 -5.6 0.2 -5.9 0.2 -5.7 -3.0 -8.5 8.5 -14.9 5.4 -14.5 -2.4 -20.0 6.1 -14.9 -1.7 -3.5 3.2 -15.2 4.6 -11.8 -20.0 -3.2 -2.5 0.2 -9.2 1.3 -7.3 6.7 -20.0 -13.3 1.8 16.4 -4.1 -20.0 14.9 -8.1 ROBUSTA 12.9 -11.1 -11.3 -3.6 0.1 -3.8 0.1 -3.7 -1.9 -3.6 8.4 -0.8 10.8 -0.6 -1.2 20.0 20.0 20.0 20.0 1.5 5.4 0.1 11.7 1.1 -16.9 1.3 0.1 2.5 0.6 5.0 1.3 20.0 -20.0 19.6 14.4 6.4 -3.3 -11.9 16.5 -0.0 RUSSELL 1.8 -18.6 -19.0 -2.7 4.1 -2.2 2.5 -0.6 -0.9 6.8 -9.1 1.6 -6.9 -6.5 -10.2 -6.6 -6.3 -7.3 -7.1 -13.2 -11.0 6.6 -6.7 -6.2 -1.9 -3.3 3.6 -2.5 2.0 -1.0 -1.5 -1.3 -1.4 -6.3 -9.9 -3.4 -12.9 -14.0 -20.0 -20.0 SHATZ 8.9 9.0 2.6 -1.7 2.9 -2.5 2.6 -2.5 0.5 4.1 -7.0 5.5 -8.3 3.6 -2.1 -20.0 -13.7 -20.0 -20.0 -1.3 -6.5 4.4 -13.0 3.1 10.4 -0.4 1.0 -2.4 2.3 -4.7 1.7 -20.0 -7.9 -4.6 7.8 10.3 -17.7 -20.0 -10.9 -20.0 SILVER-mini 13.2 -4.5 -9.7 -0.8 -3.8 -1.7 1.1 -0.6 1.7 -8.4 -5.3 4.6 1.7 5.0 -3.8 -7.4 -6.5 -7.5 -7.1 -3.2 -5.0 -1.2 -2.6 0.6 7.0 -0.5 -4.6 -0.6 -0.7 0.2 0.5 -2.9 -10.1 4.1 -4.8 4.9 -14.3 -20.0 -3.5 -20.0 SMI -15.9 -15.9 -15.0 -3.3 4.9 -2.6 3.0 -0.8 -1.0 11.8 -7.6 -6.0 0.4 -9.4 -11.5 4.8 2.1 3.1 1.7 -15.1 -11.1 0.3 -5.3 -11.4 5.1 -4.0 2.3 -2.8 0.1 -1.7 -3.2 13.3 -5.4 -17.8 0.2 6.1 -8.0 -11.7 -5.8 -6.4 SOFR 11.6 2.7 -11.9 -1.5 2.6 -2.3 2.4 -2.3 0.5 6.1 -6.3 5.8 -5.5 0.9 -4.5 0.6 -0.7 -0.3 -0.8 -4.1 -6.4 8.0 -6.1 1.9 -1.3 -1.6 3.4 -2.4 2.9 -2.2 0.6 1.6 0.6 -2.9 1.0 0.7 -20.0 -20.0 -5.1 -8.4 SOYBEAN 11.4 -4.8 1.2 -5.3 0.2 -5.5 0.2 -5.3 -2.8 14.7 7.7 18.3 4.5 4.5 -7.9 17.4 17.8 14.3 14.6 2.2 1.1 20.0 0.8 10.9 -20.0 2.3 13.5 1.1 13.0 0.9 7.0 20.0 20.0 20.0 9.2 6.6 -20.0 -7.3 -20.0 -1.8 SOYMEAL 20.0 9.0 -0.8 -3.4 0.1 -3.6 0.1 -3.5 -1.8 11.8 -0.6 13.1 2.1 11.7 7.0 16.8 17.4 14.2 15.5 9.9 3.0 20.0 2.1 18.5 -20.0 3.5 7.7 1.8 7.2 1.9 5.8 20.0 20.0 20.0 20.0 12.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -13.1 -20.0 -9.6 -2.6 0.1 -2.8 0.1 -2.7 -1.4 -6.8 -0.8 -9.1 -2.3 -10.3 -9.4 6.0 11.2 10.1 10.6 -16.1 -8.4 -11.9 -2.8 -16.8 -20.0 -3.3 -1.8 -1.8 -2.5 -0.7 -3.5 18.0 -8.7 -17.5 -20.0 -10.2 -6.5 3.6 11.1 18.7 SP400 -0.3 -19.1 -20.0 -2.7 4.0 -2.1 2.4 -0.6 -0.8 7.1 -7.7 1.5 -1.3 -5.5 -9.1 -5.1 -5.1 -5.4 -5.4 -11.9 -9.3 6.0 -4.2 -5.8 -8.6 -3.1 3.4 -2.2 1.8 -0.6 -1.5 1.3 -2.9 -4.7 -7.1 -1.4 -7.1 -15.1 -13.9 -20.0 SP500_micro -0.9 -20.0 -20.0 -3.1 4.7 -2.5 2.8 -0.7 -1.0 12.6 -0.3 6.9 5.7 -3.6 -7.8 -10.0 -9.8 -11.0 -10.9 -8.5 -4.2 14.8 2.1 -1.2 -15.8 -2.6 7.3 -0.9 4.2 1.5 -0.6 -7.6 1.7 0.9 -3.5 3.2 -1.8 -12.4 -1.8 -17.1 SUGAR11 1.1 -3.2 1.9 -5.0 0.2 -5.3 0.2 -5.1 -2.7 10.2 19.4 14.6 19.1 15.7 18.5 20.0 17.4 20.0 19.1 17.3 20.0 10.9 20.0 12.7 -20.0 6.4 3.6 9.3 4.9 14.4 5.2 20.0 2.0 14.0 20.0 20.0 -18.9 -18.1 9.9 4.1 US10 10.8 4.4 -9.7 -1.4 2.5 -2.1 2.2 -2.2 0.4 5.5 -6.9 4.4 -7.2 -1.9 -5.5 -5.1 -7.0 -6.8 -7.5 -6.0 -8.7 6.1 -9.2 -0.2 1.1 -2.0 2.6 -2.7 1.9 -2.6 -0.2 -10.0 -2.4 -4.3 -2.7 -2.6 -20.0 -20.0 -0.9 0.5 US10U 9.8 0.7 -11.9 -1.8 3.0 -2.6 2.7 -2.6 0.5 7.4 -8.3 4.8 -8.6 -3.1 -7.0 -0.2 -0.5 0.2 -0.4 -8.3 -11.2 7.0 -11.2 -1.0 -2.0 -2.6 2.9 -3.3 2.0 -3.0 -0.5 2.0 -4.2 -5.0 -5.0 -5.3 -20.0 -20.0 6.3 15.1 US2 13.1 20.0 4.1 -1.6 2.7 -2.3 2.4 -2.4 0.5 3.3 -7.8 4.0 -8.1 1.5 -4.9 -20.0 -20.0 -20.0 -20.0 -3.7 -9.1 4.8 -13.5 1.5 8.0 -1.3 2.8 -3.5 2.8 -5.4 1.1 -20.0 -6.0 -4.1 6.0 3.9 -20.0 -20.0 -9.8 -20.0 US20 10.6 -3.1 -13.9 -1.3 2.3 -2.0 2.1 -2.0 0.4 5.8 -6.2 4.0 -6.3 -2.7 -5.4 -0.0 -1.6 -1.2 -1.7 -7.1 -9.2 6.0 -8.7 -1.0 -1.8 -2.0 2.1 -2.5 1.4 -2.2 -0.4 0.0 -2.4 -2.4 -6.4 -7.1 -11.2 -20.0 15.7 20.0 US30 8.2 -3.9 -11.5 -1.4 2.3 -2.0 2.1 -2.0 0.4 5.9 -6.5 2.5 -6.6 -3.4 -5.8 -3.8 -4.0 -5.1 -5.0 -7.3 -9.1 4.4 -9.0 -1.8 -1.4 -2.1 1.9 -2.6 1.1 -2.3 -0.6 -4.8 -5.4 -3.9 -6.0 -6.4 -7.0 -20.0 20.0 20.0 US5 11.3 9.0 -6.0 -1.5 2.6 -2.2 2.4 -2.3 0.4 5.2 -7.2 4.6 -7.5 -0.5 -5.2 -8.9 -10.4 -11.2 -11.7 -4.7 -8.0 6.4 -9.6 1.0 3.1 -1.8 3.2 -2.9 2.7 -3.3 0.4 -16.4 -2.1 -4.0 1.3 0.8 -20.0 -20.0 -10.4 -18.4 VIX -0.7 20.0 20.0 -0.5 -8.0 -2.9 -6.3 -5.9 -2.0 -12.2 -11.1 -11.0 -12.9 -4.0 -1.0 -20.0 -20.0 -20.0 -20.0 -2.8 -7.4 -16.7 -14.4 -7.0 NaN -0.5 -9.2 -3.2 -7.2 -7.1 -2.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 4.5 -3.6 -20.0 -5.2 0.2 -5.4 0.2 -5.3 -2.8 2.1 -20.0 -5.4 -20.0 -4.5 -19.9 -12.4 -10.4 -11.9 -11.4 -17.2 -20.0 -2.3 -20.0 -7.1 -5.7 -6.0 0.3 -8.6 -1.1 -9.5 -3.1 -19.3 -8.7 -3.3 5.9 -11.9 -20.0 -18.0 -20.0 -14.2 End of report for caleb_strategy_v3