******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231127_204353 produced at 2023-11-27 21:39:18.529279 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 VIX False False 0.01 -0.10 -0.22 0.0 0.10 -0.10 -0.10 -0.10 -36.07 17.0 -16 -17 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.22 0.0 0.00 0.00 0.00 0.00 -2.46 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.20 0.0 0.00 0.00 0.00 0.00 -4.81 24.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.12 0.0 0.00 0.00 0.00 0.00 -1.65 13.0 0 0 caleb_strategy_v3 CAD False False 0.03 -0.03 -0.11 0.0 0.78 -0.78 -0.03 0.00 -4.00 29.0 -1 0 caleb_strategy_v3 CHF False False 0.05 -0.16 -0.10 0.0 0.67 -0.67 -0.16 -0.16 -1.87 13.0 -3 -3 caleb_strategy_v3 LIVECOW False False 0.02 -0.05 -0.08 0.0 0.42 -0.42 -0.05 -0.07 -3.17 17.0 -2 -3 caleb_strategy_v3 JPY False False 0.03 -0.03 -0.07 0.0 0.52 -0.52 -0.03 0.00 -2.12 17.0 -1 0 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.07 0.0 0.11 -0.11 -0.05 -0.05 -7.09 12.0 -5 -5 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -4.54 5.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.06 0.0 0.32 -0.32 -0.04 -0.04 -1.60 8.0 -1 -1 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 -0.06 0.0 0.07 -0.07 -0.01 -0.03 -21.81 26.0 -5 -11 caleb_strategy_v3 COTTON2 False False 0.01 -0.07 -0.05 0.0 0.16 -0.16 -0.07 -0.07 -3.20 11.0 -5 -5 caleb_strategy_v3 GOLD_micro False False 0.01 -0.05 -0.05 0.0 0.42 -0.42 -0.05 -0.05 -6.33 56.0 -7 -7 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.04 0.0 0.21 -0.21 0.00 0.00 -1.03 6.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.04 0.0 0.19 -0.19 -0.02 -0.02 -11.10 51.0 -6 -6 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.04 0.0 0.19 -0.19 0.00 0.00 -0.40 2.0 0 0 caleb_strategy_v3 US5 False False 0.04 -0.12 -0.04 0.0 0.97 -0.97 -0.12 -0.08 -1.12 25.0 -3 -2 caleb_strategy_v3 DX False False 0.04 0.00 -0.04 0.0 999.00 -999.00 0.00 0.00 -0.99 999999999.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -4.36 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.00 -0.03 0.0 0.22 -0.22 -0.00 -0.00 -9.35 68.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.09 -0.09 -0.03 -0.03 -2.48 8.0 -3 -3 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.03 0.0 0.10 -0.10 -0.03 -0.03 -2.76 9.0 -3 -3 caleb_strategy_v3 PALLAD False False 0.04 -0.08 -0.02 0.0 0.08 -0.08 -0.08 -0.08 -0.46 2.0 -2 -2 caleb_strategy_v3 DOW False False 0.01 -0.04 -0.02 0.0 0.43 -0.43 -0.04 -0.03 -3.10 66.0 -6 -4 caleb_strategy_v3 US10 False False 0.04 0.00 -0.02 0.0 0.68 -0.68 0.00 0.00 -0.41 17.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 -0.01 -0.01 0.0 0.40 -0.40 -0.01 -0.01 -1.65 48.0 -1 -1 caleb_strategy_v3 BOBL False True 0.05 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.12 19.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 -0.01 0.0 0.54 -0.54 0.00 0.00 -0.13 13.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -2.20 3.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.02 -0.01 0.0 0.11 -0.11 -0.02 -0.02 -0.51 10.0 -2 -2 caleb_strategy_v3 SMI False False 0.04 -0.04 -0.00 0.0 0.40 -0.40 -0.04 -0.04 -0.09 9.0 -1 -1 caleb_strategy_v3 BUND False True 0.05 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.04 10.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.18 6.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.05 7.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.02 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.05 9.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.02 0.00 0.0 0.46 -0.46 0.02 0.10 0.17 19.0 1 4 caleb_strategy_v3 LEANHOG False False 0.01 0.00 -0.00 0.0 0.13 -0.13 0.00 -0.02 -0.25 13.0 0 -2 caleb_strategy_v3 HEATOIL False False 0.04 0.00 -0.00 0.0 0.12 -0.12 0.00 0.00 -0.08 3.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.00 -0.00 0.0 0.38 -0.38 0.00 0.00 -0.01 9.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.27 -0.27 0.00 0.00 -0.02 6.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.04 4.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.00 0.0 0.27 -0.27 0.00 -0.01 -0.14 23.0 0 -1 caleb_strategy_v3 BUXL False True 0.05 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.01 4.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.21 -0.21 0.01 0.01 1.24 23.0 1 1 caleb_strategy_v3 PLAT False False 0.02 0.00 0.01 0.0 0.17 -0.17 0.00 0.00 0.45 10.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.01 0.0 0.00 -0.00 0.00 0.00 0.25 0.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.02 0.0 0.19 -0.19 0.00 0.00 1.69 18.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.02 0.0 0.12 -0.12 0.00 0.00 0.65 4.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 0.02 0.0 0.05 -0.05 0.00 0.00 1.62 4.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.00 0.02 0.0 0.70 -0.70 0.00 0.00 0.34 14.0 0 0 caleb_strategy_v3 CAC False False 0.03 0.32 0.02 0.0 0.35 -0.35 0.32 0.32 0.80 12.0 11 11 caleb_strategy_v3 NZD False False 0.02 0.02 0.02 0.0 0.47 -0.47 0.02 0.02 0.77 21.0 1 1 caleb_strategy_v3 GBP False False 0.03 0.00 0.03 0.0 0.63 -0.63 0.00 0.00 1.09 22.0 0 0 caleb_strategy_v3 BTP False True 0.05 0.09 0.04 0.0 0.09 0.00 0.09 0.09 0.91 10.0 2 2 caleb_strategy_v3 COCOA False False 0.02 0.05 0.04 0.0 0.39 -0.39 0.05 0.06 2.85 26.0 3 4 caleb_strategy_v3 OJ False False 0.02 0.00 0.04 0.0 0.06 -0.06 0.00 0.00 1.74 3.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 0.05 0.05 0.0 0.08 -0.08 0.05 0.05 39.76 59.0 36 36 caleb_strategy_v3 CRUDE_W False False 0.03 0.08 0.05 0.0 0.13 -0.13 0.08 0.05 1.93 5.0 3 2 caleb_strategy_v3 OAT False True 0.05 0.10 0.06 0.0 0.10 0.00 0.10 0.10 1.22 10.0 2 2 caleb_strategy_v3 EUROSTX False False 0.02 0.00 0.07 0.0 0.35 -0.35 0.00 0.05 3.80 20.0 0 3 caleb_strategy_v3 DAX False False 0.01 0.00 0.09 0.0 0.37 -0.37 0.00 0.00 14.08 58.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.18 0.0 0.30 -0.30 0.28 0.28 21.39 36.0 34 34 caleb_strategy_v3 MXP False False 0.01 0.39 0.32 0.0 0.64 -0.64 0.39 0.39 30.57 60.0 37 37 caleb_strategy_v3 EURIBOR-ICE False False 0.10 0.58 0.67 0.0 0.97 -0.97 0.58 0.19 6.93 10.0 6 2 caleb_strategy_v3 JGB-SGX-mini False True 0.04 0.00 0.76 0.0 0.00 0.00 0.00 0.00 21.33 16.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 16.6 Shocked risk 39.6 Sum abs risk 50.3 Leverage 4.42 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2742468.34, 'annual_cash_vol_target': 685617.085, 'daily_cash_vol_target': 42851.0678125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0045 0.6610 0.6750 10.8000 BITCOIN 931.2292 37305.0000 2.4963 39.9401 BOBL 0.2748 116.9000 0.2351 3.7609 BTP 0.6295 114.4100 0.5502 8.8036 BUND 0.5547 131.3700 0.4222 6.7558 BUXL 1.3124 128.7000 1.0197 16.3158 CAC 52.6935 7278.0000 0.7240 11.5842 CAD 0.0030 0.7342 0.4121 6.5929 CANOLA 8.2531 705.9000 1.1692 18.7066 CHF 0.0049 1.1384 0.4276 6.8424 COCOA 42.1567 4131.0000 1.0205 16.3279 COFFEE 3.0532 169.9500 1.7965 28.7441 COPPER 0.0368 3.8050 0.9659 15.4537 CORN 4.8752 504.7500 0.9659 15.4539 COTTON2 1.0533 79.4500 1.3257 21.2117 CRUDE_W 1.2198 73.0600 1.6695 26.7127 DAX 108.9888 16004.0000 0.6810 10.8962 DOW 218.1099 35354.0000 0.6169 9.8709 DX 0.4477 102.7200 0.4358 6.9731 EUR 0.0055 1.0962 0.4992 7.9877 EURIBOR-ICE 0.0529 97.3950 0.0544 0.8697 EUROSTX 34.4080 4365.0000 0.7883 12.6123 FEEDCOW 2.3722 216.0750 1.0979 17.5659 GASOIL 13.4219 790.7500 1.6974 27.1577 GASOLINE 0.0422 2.1698 1.9471 31.1537 GAS_US_mini 0.0989 2.9400 3.3646 53.8342 GBP 0.0074 1.2631 0.5893 9.4288 GOLD_micro 13.0702 2034.7000 0.6424 10.2779 HEATOIL 0.0482 2.6755 1.8021 28.8330 JGB-SGX-mini 0.2711 145.9500 0.1857 2.9715 JPY 0.0000 0.0068 0.6168 9.8681 LEANHOG 1.2317 66.9000 1.8411 29.4581 LIVECOW 1.5815 168.9500 0.9361 14.9773 LUMBER-new 7.5196 557.5000 1.3488 21.5809 MILK 0.2020 16.9100 1.1947 19.1158 MXP 0.0004 0.0581 0.7404 11.8468 NASDAQ_micro 134.5721 16025.0000 0.8398 13.4362 NIKKEI 300.0584 33535.0000 0.8948 14.3162 NZD 0.0044 0.6102 0.7263 11.6213 OAT 0.5691 126.3600 0.4504 7.2065 OATIES 7.2238 378.0000 1.9111 30.5771 OJ 6.1001 392.2500 1.5551 24.8823 PALLAD 21.3410 1085.0000 1.9669 31.4706 PLAT 14.6731 926.0000 1.5846 25.3531 REDWHEAT 9.1795 596.0000 1.5402 24.6429 RICE 0.1590 17.4400 0.9119 14.5908 ROBUSTA 35.4093 2473.0000 1.4318 22.9094 RUSSELL 23.1458 1806.3000 1.2814 20.5022 SHATZ 0.0807 105.1150 0.0767 1.2277 SILVER-mini 0.3295 25.0250 1.3168 21.0693 SMI 71.4870 10821.0000 0.6606 10.5701 SOFR 0.0837 96.3000 0.0870 1.3914 SOYBEAN 11.2360 1280.2500 0.8776 14.0422 SOYMEAL 5.8874 422.6000 1.3931 22.2903 SOYOIL 0.7606 50.7100 1.4999 23.9988 SP400 25.5245 2563.3000 0.9958 15.9323 SP500_micro 31.3447 4560.0000 0.6874 10.9981 SUGAR11 0.3223 25.9400 1.2425 19.8797 US10 0.5080 109.3750 0.4644 7.4310 US10U 0.6900 113.0781 0.6102 9.7638 US2 0.1212 101.9492 0.1189 1.9022 US20 1.0154 116.1250 0.8744 13.9905 US30 1.5020 122.4375 1.2267 19.6275 US5 0.3197 105.9531 0.3017 4.8279 VIX 0.5517 16.5000 3.3435 53.4963 WHEAT 8.2466 619.5000 1.3312 21.2988 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 661.05 0.68 446.21 1.00 446.21 42851.07 96.03 0.67 6.39 BITCOIN 37.30 2.50 93.12 1.00 93.12 42851.07 460.16 7.98 367.14 BOBL 1169.00 0.24 274.78 1.09 299.69 42851.07 142.99 -0.83 -11.91 BTP 1144.10 0.55 629.51 1.09 686.58 42851.07 62.41 4.30 26.81 BUND 1313.70 0.42 554.70 1.09 604.98 42851.07 70.83 -0.51 -3.64 BUXL 1287.00 1.02 1312.40 1.09 1431.37 42851.07 29.94 -0.46 -1.38 CAC 727.80 0.72 526.94 1.09 574.70 42851.07 74.56 3.13 23.32 CAD 734.15 0.41 302.51 1.00 302.51 42851.07 141.65 -10.88 -154.13 CANOLA 141.18 1.17 165.06 0.73 120.46 42851.07 355.72 -12.83 -456.29 CHF 1422.94 0.43 608.52 1.00 608.52 42851.07 70.42 -10.24 -72.12 COCOA 413.10 1.02 421.57 1.00 421.57 42851.07 101.65 13.09 133.06 COFFEE 637.31 1.80 1144.93 1.00 1144.93 42851.07 37.43 -4.14 -15.50 COPPER 951.25 0.97 918.77 1.00 918.77 42851.07 46.64 -2.04 -9.50 CORN 252.38 0.97 243.76 1.00 243.76 42851.07 175.79 -16.58 -291.46 COTTON2 397.25 1.33 526.65 1.00 526.65 42851.07 81.37 -18.38 -149.51 CRUDE_W 730.60 1.67 1219.77 1.00 1219.77 42851.07 35.13 5.06 17.79 DAX 160.04 0.68 108.99 1.09 118.87 42851.07 360.49 11.45 412.91 DOW 176.77 0.62 109.05 1.00 109.05 42851.07 392.93 -3.39 -133.21 DX 1027.20 0.44 447.67 1.00 447.67 42851.07 95.72 -4.00 -38.30 EUR 1370.31 0.50 684.10 1.00 684.10 42851.07 62.64 2.08 13.04 EURIBOR-ICE 2434.88 0.05 132.34 1.09 144.34 42851.07 296.87 6.84 203.11 EUROSTX 436.50 0.79 344.08 1.09 375.27 42851.07 114.19 9.75 111.38 FEEDCOW 1080.38 1.10 1186.11 1.00 1186.11 42851.07 36.13 -13.33 -48.15 GASOIL 790.75 1.70 1342.19 1.00 1342.19 42851.07 31.93 4.68 14.95 GASOLINE 911.32 1.95 1774.43 1.00 1774.43 42851.07 24.15 0.37 0.89 GAS_US_mini 73.50 3.36 247.30 1.00 247.30 42851.07 173.27 -11.62 -201.37 GBP 789.44 0.59 465.21 1.00 465.21 42851.07 92.11 4.55 41.91 GOLD_micro 203.47 0.64 130.70 1.00 130.70 42851.07 327.85 -5.66 -185.52 HEATOIL 1123.71 1.80 2025.00 1.00 2025.00 42851.07 21.16 -0.84 -1.78 JGB-SGX-mini 145950.00 0.19 27105.74 0.01 181.43 42851.07 236.19 8.34 196.93 JPY 844.00 0.62 520.54 1.00 520.54 42851.07 82.32 -9.92 -81.67 LEANHOG 267.60 1.84 492.69 1.00 492.69 42851.07 86.97 -0.48 -4.18 LIVECOW 675.80 0.94 632.60 1.00 632.60 42851.07 67.74 -14.12 -95.63 LUMBER-new 153.31 1.35 206.79 1.00 206.79 42851.07 207.22 -4.98 -103.23 MILK 338.20 1.19 404.06 1.00 404.06 42851.07 106.05 -20.00 -212.10 MXP 290.45 0.74 215.06 1.00 215.06 42851.07 199.26 10.45 208.25 NASDAQ_micro 320.50 0.84 269.14 1.00 269.14 42851.07 159.21 -0.39 -6.19 NIKKEI 33535.00 0.89 30005.84 0.01 200.84 42851.07 213.36 9.26 197.57 NZD 610.25 0.73 443.24 1.00 443.24 42851.07 96.68 3.05 29.52 OAT 1263.60 0.45 569.13 1.09 620.72 42851.07 69.03 5.17 35.72 OATIES 189.00 1.91 361.19 1.00 361.19 42851.07 118.64 -15.10 -179.18 OJ 588.38 1.56 915.01 1.00 915.01 42851.07 46.83 17.31 81.07 PALLAD 1085.00 1.97 2134.10 1.00 2134.10 42851.07 20.08 -6.78 -13.62 PLAT 463.00 1.58 733.66 1.00 733.66 42851.07 58.41 2.27 13.29 REDWHEAT 298.00 1.54 458.97 1.00 458.97 42851.07 93.36 -20.00 -186.73 RICE 348.80 0.91 318.08 1.00 318.08 42851.07 134.72 4.93 66.45 ROBUSTA 247.30 1.43 354.09 1.00 354.09 42851.07 121.02 8.79 106.38 RUSSELL 90.32 1.28 115.73 1.00 115.73 42851.07 370.27 -7.62 -282.19 SHATZ 1051.15 0.08 80.66 1.09 87.97 42851.07 487.11 -9.73 -474.04 SILVER-mini 625.62 1.32 823.84 1.00 823.84 42851.07 52.01 1.41 7.35 SMI 1082.10 0.66 714.87 1.13 808.63 42851.07 52.99 -0.51 -2.70 SOFR 2407.50 0.09 209.36 1.00 209.36 42851.07 204.68 -1.98 -40.43 SOYBEAN 640.12 0.88 561.80 1.00 561.80 42851.07 76.27 0.65 4.92 SOYMEAL 422.60 1.39 588.74 1.00 588.74 42851.07 72.78 0.77 5.62 SOYOIL 304.26 1.50 456.37 1.00 456.37 42851.07 93.90 -5.85 -54.93 SP400 2563.30 1.00 2552.45 1.00 2552.45 42851.07 16.79 -7.13 -11.98 SP500_micro 228.00 0.69 156.72 1.00 156.72 42851.07 273.42 -2.60 -70.99 SUGAR11 290.53 1.24 360.98 1.00 360.98 42851.07 118.71 6.69 79.36 US10 1093.75 0.46 507.98 1.00 507.98 42851.07 84.36 -3.85 -32.44 US10U 1130.78 0.61 690.04 1.00 690.04 42851.07 62.10 -1.63 -10.11 US2 2038.98 0.12 242.41 1.00 242.41 42851.07 176.77 -7.38 -130.41 US20 1161.25 0.87 1015.41 1.00 1015.41 42851.07 42.20 -0.24 -1.03 US30 1224.38 1.23 1501.96 1.00 1501.96 42851.07 28.53 -0.59 -1.69 US5 1059.53 0.30 319.71 1.00 319.71 42851.07 134.03 -6.61 -88.57 VIX 165.00 3.34 551.68 1.00 551.68 42851.07 77.67 -18.81 -146.13 WHEAT 309.75 1.33 412.33 1.00 412.33 42851.07 103.92 -20.00 -207.85 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 6.393 0.010 2.5 0.166 BITCOIN 367.140 0.043 2.5 39.758 BOBL -11.910 0.004 2.5 -0.121 BTP 26.811 0.014 2.5 0.914 BUND -3.637 0.004 2.5 -0.037 BUXL -1.382 0.004 2.5 -0.014 CAC 23.322 0.014 2.5 0.795 CAD -154.126 0.010 2.5 -3.999 CANOLA -456.286 0.010 2.5 -11.101 CHF -72.116 0.010 2.5 -1.871 COCOA 133.056 0.009 2.5 2.850 COFFEE -15.503 0.005 2.5 -0.181 COPPER -9.498 0.043 2.5 -1.029 CORN -291.461 0.010 2.5 -7.091 COTTON2 -149.510 0.009 2.5 -3.202 CRUDE_W 17.791 0.043 2.5 1.927 DAX 412.907 0.014 2.5 14.084 DOW -133.211 0.009 2.5 -3.096 DX -38.295 0.010 2.5 -0.994 EUR 13.038 0.010 2.5 0.338 EURIBOR-ICE 203.106 0.014 2.5 6.928 EUROSTX 111.379 0.014 2.5 3.799 FEEDCOW -48.152 0.013 2.5 -1.596 GASOIL 14.947 0.017 2.5 0.648 GASOLINE 0.887 0.017 2.5 0.038 GAS_US_mini -201.369 0.043 2.5 -21.806 GBP 41.906 0.010 2.5 1.087 GOLD_micro -185.518 0.014 2.5 -6.328 HEATOIL -1.775 0.017 2.5 -0.077 JGB-SGX-mini 196.925 0.043 2.5 21.325 JPY -81.665 0.010 2.5 -2.119 LEANHOG -4.175 0.024 2.5 -0.254 LIVECOW -95.629 0.013 2.5 -3.169 LUMBER-new -103.232 0.009 2.5 -2.201 MILK -212.102 0.009 2.5 -4.543 MXP 208.246 0.059 2.5 30.566 NASDAQ_micro -6.193 0.009 2.5 -0.144 NIKKEI 197.567 0.043 2.5 21.395 NZD 29.515 0.010 2.5 0.766 OAT 35.715 0.014 2.5 1.218 OATIES -179.177 0.010 2.5 -4.359 OJ 81.065 0.009 2.5 1.736 PALLAD -13.620 0.014 2.5 -0.465 PLAT 13.285 0.014 2.5 0.453 REDWHEAT -186.726 0.005 2.5 -2.477 RICE 66.450 0.010 2.5 1.617 ROBUSTA 106.381 0.005 2.5 1.242 RUSSELL -282.187 0.013 2.5 -9.351 SHATZ -474.044 0.004 2.5 -4.807 SILVER-mini 7.349 0.014 2.5 0.251 SMI -2.695 0.014 2.5 -0.092 SOFR -40.429 0.024 2.5 -2.457 SOYBEAN 4.920 0.004 2.5 0.046 SOYMEAL 5.617 0.004 2.5 0.052 SOYOIL -54.934 0.004 2.5 -0.511 SP400 -11.976 0.013 2.5 -0.397 SP500_micro -70.994 0.009 2.5 -1.650 SUGAR11 79.363 0.009 2.5 1.688 US10 -32.440 0.005 2.5 -0.411 US10U -10.114 0.005 2.5 -0.128 US2 -130.413 0.005 2.5 -1.653 US20 -1.033 0.005 2.5 -0.013 US30 -1.685 0.005 2.5 -0.021 US5 -88.566 0.005 2.5 -1.122 VIX -146.133 0.099 2.5 -36.073 WHEAT -207.848 0.005 2.5 -2.757 ===================== Position diags ===================== AUD 2.49 BITCOIN 49.83 BOBL 1.45 BTP 2.13 BUND 0.72 BUXL 0.30 CAC 2.54 CAD 3.68 CANOLA 8.65 CHF 1.83 COCOA 2.18 COFFEE 0.44 COPPER 5.05 CORN 4.28 COTTON2 1.74 CRUDE_W 3.80 DAX 12.30 DOW 9.13 DX 2.48 EUR 1.63 EURIBOR-ICE 10.13 EUROSTX 3.89 FEEDCOW 1.20 GASOIL 1.38 GASOLINE 1.05 GAS_US_mini 18.76 GBP 2.39 GOLD_micro 11.18 HEATOIL 0.92 JGB-SGX-mini 25.58 JPY 2.14 LEANHOG 5.29 LIVECOW 2.24 LUMBER-new 4.42 MILK 2.27 MXP 29.25 NASDAQ_micro 3.70 NIKKEI 23.10 NZD 2.51 OAT 2.35 OATIES 2.89 OJ 1.00 PALLAD 0.68 PLAT 1.99 REDWHEAT 1.24 RICE 3.28 ROBUSTA 1.41 RUSSELL 12.27 SHATZ 4.94 SILVER-mini 1.77 SMI 1.81 SOFR 12.44 SOYBEAN 0.71 SOYMEAL 0.68 SOYOIL 0.87 SP400 0.56 SP500_micro 6.35 SUGAR11 2.52 US10 1.07 US10U 0.79 US2 2.24 US20 0.53 US30 0.36 US5 1.70 VIX 19.17 WHEAT 1.38 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.2 -0.1 0.4 1.0 1 BITCOIN 39.8 34.8 44.7 36.0 36 BOBL -0.1 -0.3 0.0 0.0 0 BTP 0.9 0.7 1.1 2.0 2 BUND -0.0 -0.1 0.0 0.0 0 BUXL -0.0 -0.0 0.0 0.0 0 CAC 0.8 0.5 1.0 11.0 11 CAD -4.0 -4.4 -3.6 -1.0 -1 CANOLA -11.1 -12.0 -10.2 -6.0 -6 CHF -1.9 -2.1 -1.7 -3.0 -3 COCOA 2.8 2.6 3.1 3.0 3 COFFEE -0.2 -0.2 -0.1 0.0 0 COPPER -1.0 -1.5 -0.5 0.0 0 CORN -7.1 -7.5 -6.7 -5.0 -5 COTTON2 -3.2 -3.4 -3.0 -5.0 -5 CRUDE_W 1.9 1.5 2.3 3.0 3 DAX 14.1 12.9 15.3 0.0 0 DOW -3.1 -4.0 -2.2 -6.0 -6 DX -1.0 -1.2 -0.7 NaN 0 EUR 0.3 0.2 0.5 0.0 0 EURIBOR-ICE 6.9 5.9 7.9 6.0 6 EUROSTX 3.8 3.4 4.2 0.0 0 FEEDCOW -1.6 -1.7 -1.5 -1.0 -1 GASOIL 0.6 0.5 0.8 0.0 0 GASOLINE 0.0 -0.1 0.1 0.0 0 GAS_US_mini -21.8 -23.7 -19.9 -5.0 -5 GBP 1.1 0.8 1.3 0.0 0 GOLD_micro -6.3 -7.4 -5.2 -7.0 -7 HEATOIL -0.1 -0.2 0.0 0.0 0 JGB-SGX-mini 21.3 18.8 23.9 0.0 0 JPY -2.1 -2.3 -1.9 -1.0 -1 LEANHOG -0.3 -0.8 0.3 0.0 0 LIVECOW -3.2 -3.4 -2.9 -2.0 -2 LUMBER-new -2.2 -2.6 -1.8 NaN 0 MILK -4.5 -4.8 -4.3 NaN 0 MXP 30.6 27.6 33.5 37.0 37 NASDAQ_micro -0.1 -0.5 0.2 0.0 0 NIKKEI 21.4 19.1 23.7 34.0 34 NZD 0.8 0.5 1.0 1.0 1 OAT 1.2 1.0 1.5 2.0 2 OATIES -4.4 -4.6 -4.1 NaN 0 OJ 1.7 1.6 1.8 NaN 0 PALLAD -0.5 -0.5 -0.4 -2.0 -2 PLAT 0.5 0.3 0.7 0.0 0 REDWHEAT -2.5 -2.6 -2.4 -3.0 -3 RICE 1.6 1.3 1.9 NaN 0 ROBUSTA 1.2 1.1 1.4 1.0 1 RUSSELL -9.4 -10.6 -8.1 -1.0 -1 SHATZ -4.8 -5.3 -4.3 NaN 0 SILVER-mini 0.3 0.1 0.4 NaN 0 SMI -0.1 -0.3 0.1 -1.0 -1 SOFR -2.5 -3.7 -1.2 NaN 0 SOYBEAN 0.0 -0.0 0.1 0.0 0 SOYMEAL 0.1 -0.0 0.1 0.0 0 SOYOIL -0.5 -0.6 -0.4 -2.0 -2 SP400 -0.4 -0.5 -0.3 0.0 0 SP500_micro -1.6 -2.3 -1.0 -1.0 -1 SUGAR11 1.7 1.4 1.9 0.0 0 US10 -0.4 -0.5 -0.3 NaN 0 US10U -0.1 -0.2 -0.0 0.0 0 US2 -1.7 -1.9 -1.4 NaN 0 US20 -0.0 -0.1 0.0 0.0 0 US30 -0.0 -0.1 0.0 0.0 0 US5 -1.1 -1.3 -1.0 -3.0 -3 VIX -36.1 -38.0 -34.2 -16.0 -16 WHEAT -2.8 -2.9 -2.6 -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 3.7 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 3.7 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 0.6 0.4 -0.1 0.0 0.0 0.0 0.1 0.0 0.1 0.1 -0.2 0.1 -0.3 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.2 0.1 0.4 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.0 0.0 -0.1 -0.3 -0.6 -0.1 0.2 BITCOIN 0.1 0.6 0.3 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 0.5 0.2 0.6 0.2 0.2 -0.2 -0.1 -0.2 -0.1 0.2 0.2 0.1 0.3 0.2 -2.7 0.1 -0.0 0.1 0.0 0.1 0.1 -0.0 -0.5 0.6 0.6 0.6 -0.1 0.7 -0.0 0.7 BOBL 0.3 0.3 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.0 -0.3 0.1 0.0 0.2 -0.0 0.1 0.0 0.0 -0.0 0.0 -0.2 0.0 1.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 -0.2 0.1 0.2 -0.6 -0.7 -0.4 -0.6 BTP 0.6 0.5 -0.2 0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.0 0.1 0.0 0.1 0.0 0.2 0.2 0.1 0.1 0.1 -0.0 0.1 -0.1 0.2 -1.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.8 0.2 0.3 0.3 0.2 -0.4 -0.7 0.0 0.2 BUND 0.5 0.4 0.0 0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.0 0.0 -0.2 0.1 0.8 0.0 0.0 -0.0 0.0 -0.1 0.0 0.4 0.0 -0.0 0.1 0.2 -0.7 -0.7 -0.7 -0.2 BUXL 0.6 0.4 -0.1 0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.1 -0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.3 0.1 0.2 0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 0.1 0.1 0.1 0.0 -0.6 -0.7 -0.5 0.5 CAC 0.6 0.0 -0.5 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 -0.1 0.2 0.5 0.2 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.2 0.1 0.2 -0.9 0.0 0.0 -0.0 0.1 0.0 0.1 0.2 -0.1 -0.4 -0.2 0.2 0.2 0.2 0.4 0.3 CAD 0.3 -0.1 -0.3 0.0 0.1 0.0 0.1 0.0 0.1 0.1 -0.4 0.2 -0.5 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.1 -0.3 0.0 0.4 -0.0 0.1 -0.2 0.1 -0.2 0.0 0.0 -0.4 -0.5 -0.6 -0.5 -0.6 -0.7 -0.3 -0.6 CANOLA 0.6 -0.3 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.2 0.0 -0.2 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.4 -0.4 -0.4 -0.2 0.1 0.2 CHF 0.6 0.4 -0.5 0.0 0.1 0.0 0.1 0.0 0.1 0.2 -0.2 0.2 0.2 0.2 -0.0 -0.3 -0.3 -0.3 -0.3 0.0 -0.0 0.2 -0.0 0.2 -1.1 0.0 0.1 -0.0 0.1 -0.0 0.1 -1.1 0.1 -0.3 0.3 -0.4 -0.7 -0.7 -0.7 -0.7 COCOA 0.4 0.6 0.3 -0.0 -0.1 -0.2 -0.0 -0.3 0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.1 -0.0 -0.0 -0.0 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 -0.1 0.5 0.6 0.6 0.6 0.4 -0.1 0.7 0.4 COFFEE 0.3 0.6 0.4 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.1 -0.2 0.1 -0.4 0.1 0.1 0.2 0.1 0.1 0.1 0.1 0.0 0.0 -0.2 0.1 -2.7 0.1 0.0 0.1 0.0 -0.0 0.0 0.3 -0.0 0.4 0.6 0.5 -0.7 -0.7 -0.7 -0.4 COPPER 0.6 0.3 -0.2 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 -0.4 0.2 -0.2 0.2 -0.0 -0.2 -0.1 -0.2 -0.1 0.0 -0.1 0.2 -0.3 0.2 -0.9 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.0 0.6 0.1 0.0 -0.1 -0.6 0.2 -0.5 CORN 0.0 0.2 -0.4 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.2 -0.5 -0.1 -0.7 -0.1 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.5 -0.1 -2.7 -0.0 -0.1 -0.1 -0.1 -0.3 -0.0 -0.1 -0.1 -0.2 0.1 -0.0 -0.3 -0.2 0.1 0.1 COTTON2 -0.3 -0.6 -0.2 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.1 -0.2 0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.2 -0.6 -0.6 -0.1 -0.6 -0.4 -0.0 0.1 CRUDE_W -0.5 -0.3 0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.3 -0.1 0.3 -0.1 -0.0 0.1 0.2 0.2 0.2 -0.0 0.1 -0.1 0.3 -0.1 -0.7 -0.0 -0.0 0.1 -0.0 0.2 -0.0 -1.1 0.2 0.2 0.3 0.2 0.7 0.4 0.7 0.4 DAX 0.6 0.2 -0.5 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 -0.2 0.2 0.4 0.2 0.0 -0.2 -0.2 -0.2 -0.2 0.1 -0.0 0.2 -0.0 0.2 2.4 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.3 0.4 0.3 0.1 0.1 0.2 0.1 0.5 0.4 DOW 0.6 0.3 -0.3 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 0.0 0.2 0.3 0.2 0.0 -0.2 -0.2 -0.2 -0.2 0.1 0.0 0.2 0.0 0.2 -1.3 0.0 0.0 -0.0 0.1 0.0 0.1 -0.4 0.0 0.2 0.1 0.1 -0.6 -0.2 -0.7 -0.3 DX -0.6 -0.5 0.4 0.0 0.0 0.0 0.1 0.0 0.1 -0.1 0.2 -0.1 -0.1 -0.1 0.0 0.1 0.1 0.1 0.1 -0.0 0.0 -0.2 0.2 -0.2 -2.7 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.8 -0.5 -0.6 -0.6 0.6 0.3 0.2 0.5 0.6 EUR 0.6 0.5 -0.3 0.0 0.0 0.0 0.1 0.0 0.1 0.1 -0.2 0.1 0.1 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.1 -0.1 0.2 1.4 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.4 -0.0 0.2 0.3 -0.1 -0.5 -0.5 -0.4 -0.2 EURIBOR-ICE 0.3 0.6 0.5 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 0.0 0.0 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.1 0.1 2.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.5 0.0 -0.0 0.4 0.4 -0.7 -0.7 0.1 0.7 EUROSTX 0.6 0.2 -0.4 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 -0.1 0.2 0.5 0.2 0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.2 0.1 0.2 0.6 0.0 0.0 0.0 0.1 0.0 0.1 0.2 -0.0 -0.0 0.3 0.3 0.1 0.2 0.3 0.5 FEEDCOW -0.5 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 0.2 -0.1 -0.1 -0.3 -0.4 -0.3 -0.4 -0.2 -0.1 -0.2 0.1 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -1.1 -0.1 -0.6 -0.6 -0.3 0.5 0.0 0.7 0.3 GASOIL -0.5 -0.6 0.2 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.2 -0.1 0.3 -0.1 -0.1 0.3 0.4 0.4 0.4 -0.0 0.1 -0.0 0.3 -0.1 1.1 -0.0 -0.0 0.1 -0.0 0.2 -0.0 0.0 0.3 0.1 0.0 0.3 -0.2 -0.0 -0.4 -0.2 GASOLINE -0.1 -0.5 -0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.2 -0.1 -0.1 -0.1 0.4 0.3 0.4 -0.1 -0.0 -0.1 0.2 -0.1 -2.7 -0.0 0.0 0.0 0.0 0.2 -0.0 0.5 0.2 0.3 0.1 -0.5 0.7 0.4 0.7 0.2 GAS_US_mini -0.6 -0.2 0.5 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.4 -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 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -1.1 -0.4 -0.3 0.5 -0.5 -0.4 0.2 -0.6 0.1 GBP 0.6 0.3 -0.5 0.0 0.0 0.0 0.1 0.0 0.1 0.1 -0.2 0.1 0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 0.0 0.0 -0.0 0.1 -0.0 0.1 0.2 0.0 0.2 0.2 -0.2 -0.3 0.1 -0.2 0.7 GOLD_micro -0.0 0.6 -0.1 0.0 0.0 -0.0 0.1 -0.0 0.0 0.2 -0.1 0.1 0.1 0.2 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.0 0.2 0.0 0.2 -1.0 0.0 0.1 0.0 0.1 0.0 0.0 -0.9 0.1 -0.3 0.6 0.2 -0.4 -0.7 -0.4 -0.7 HEATOIL -0.5 -0.6 0.1 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.2 -0.1 0.2 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 0.1 -0.0 0.3 -0.1 -2.5 -0.0 0.0 0.1 -0.0 0.2 -0.0 0.1 0.4 0.2 0.1 0.1 0.3 -0.1 0.2 -0.2 JGB-SGX-mini 0.6 0.2 -0.4 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 0.1 0.1 0.0 0.4 0.4 0.4 0.3 0.0 -0.0 0.1 -0.0 0.1 -0.3 0.0 0.0 -0.0 0.0 -0.0 0.0 1.1 0.3 0.1 -0.0 0.0 0.1 -0.7 0.5 0.6 JPY 0.3 0.4 -0.2 0.0 0.0 0.0 0.1 0.0 0.0 0.1 -0.3 0.1 -0.4 -0.0 -0.1 -0.3 -0.3 -0.4 -0.4 -0.1 -0.2 0.0 -0.5 -0.0 2.7 -0.0 0.0 -0.2 0.0 -0.3 -0.0 -1.1 -0.3 -0.6 -0.4 -0.5 -0.2 -0.7 0.0 -0.7 LEANHOG -0.1 -0.2 0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.4 0.3 0.1 0.4 -0.1 -0.1 -0.2 -0.3 -0.1 1.8 -0.0 -0.1 -0.1 -0.1 -0.3 -0.0 1.1 -0.5 -0.3 -0.3 -0.2 -0.4 -0.2 0.3 0.5 LIVECOW -0.6 -0.6 -0.6 -0.0 -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 -0.2 -0.2 -0.2 -0.1 -0.2 0.1 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.4 -0.0 -0.6 -0.6 -0.3 -0.1 -0.5 0.1 -0.2 LUMBER-new 0.8 0.5 -0.1 -0.0 -0.1 -0.2 -0.0 -0.3 0.0 0.2 -0.4 0.3 -0.7 0.3 0.1 -0.3 -0.3 -0.4 -0.3 0.1 -0.1 0.2 -0.4 0.3 NaN 0.1 0.0 -0.0 0.1 -0.1 0.1 -1.2 0.3 0.8 0.7 0.3 -0.6 -0.8 -0.3 -0.7 MILK -0.3 -0.1 -0.2 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.1 -0.3 -0.2 -0.5 -0.2 -0.1 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.2 -0.5 -0.2 0.8 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -1.1 -0.5 -0.6 -0.4 -0.1 -0.7 -0.7 -0.7 -0.7 MXP 0.6 0.2 -0.6 0.0 0.0 0.0 0.1 0.0 0.1 0.1 0.2 0.2 0.5 0.1 0.1 0.3 0.3 0.3 0.3 0.1 0.1 0.2 0.4 0.2 -2.7 0.0 0.0 0.1 0.1 0.2 0.1 1.1 -0.2 0.3 0.0 0.2 0.3 0.4 0.6 0.7 NASDAQ_micro 0.6 0.1 -0.1 0.0 0.0 -0.0 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 0.1 0.1 0.2 0.3 0.2 -2.7 0.0 0.0 0.1 0.1 0.1 0.1 -0.3 -0.0 0.3 0.4 0.3 0.2 -0.3 0.2 -0.4 NIKKEI 0.6 0.2 -0.2 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 0.4 0.2 0.5 0.2 0.1 0.1 0.2 0.1 0.2 0.2 0.1 0.2 0.4 0.2 -1.4 0.0 0.0 0.1 0.1 0.2 0.1 1.1 -0.3 -0.1 0.1 0.6 -0.2 0.0 -0.1 0.3 NZD 0.6 0.2 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.2 0.1 -0.1 0.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 0.0 0.0 -0.0 0.1 -0.1 0.0 0.2 0.0 0.1 -0.0 -0.0 -0.1 -0.5 0.1 0.3 OAT 0.6 0.4 0.0 0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.3 0.1 0.0 0.1 0.1 0.1 0.1 0.0 -0.0 0.1 -0.2 0.1 1.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.8 0.1 0.1 0.2 0.2 -0.7 -0.7 -0.3 0.3 OATIES -0.1 -0.6 -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 -0.4 -0.2 -0.4 -0.3 -0.2 -0.1 0.0 -0.0 -0.1 -2.7 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.1 0.2 -0.6 -0.6 -0.4 0.2 0.4 0.7 0.7 OJ 0.2 -0.4 0.4 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 0.0 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 0.2 0.1 0.3 0.1 1.1 0.5 0.6 0.6 0.6 0.2 0.3 0.7 0.7 PALLAD 0.0 -0.2 -0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.3 0.0 -0.4 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 0.0 -0.5 -0.1 0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.0 -0.6 -0.6 -0.4 -0.1 -0.3 0.3 -0.1 PLAT 0.1 0.3 -0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.2 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 0.0 1.6 0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 0.1 -0.1 -0.1 0.1 -0.1 -0.5 0.3 -0.3 REDWHEAT -0.1 -0.5 -0.6 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.2 -0.5 -0.2 -2.5 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.5 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.5 RICE 0.6 0.2 0.2 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 0.1 0.4 0.2 0.3 0.2 0.1 -0.3 0.1 -0.3 -0.1 0.2 0.1 0.2 0.2 0.2 -2.7 0.1 -0.0 0.1 0.1 0.1 0.1 0.2 0.5 0.6 0.6 0.6 -0.1 -0.6 0.5 -0.2 ROBUSTA 0.5 0.1 -0.3 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 0.1 0.3 0.1 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 0.1 0.3 0.1 -2.4 0.0 0.0 0.1 0.0 0.2 0.1 1.1 0.4 0.5 0.5 0.4 -0.2 -0.4 0.3 0.0 RUSSELL 0.6 0.1 -0.5 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.2 0.1 -0.2 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.1 -0.2 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.2 -0.2 -0.5 -0.5 -0.7 -0.7 SHATZ 0.0 0.3 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.2 -0.0 -0.3 0.0 -0.0 -0.4 -0.3 -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 -0.0 0.1 -0.4 -0.7 -0.2 -0.7 SILVER-mini 0.4 0.4 -0.2 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 0.2 0.1 0.2 0.0 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.2 -0.1 0.2 1.0 0.0 0.1 0.0 0.1 0.0 0.1 -0.1 0.2 0.1 0.1 0.1 -0.6 -0.7 -0.1 -0.7 SMI 0.6 -0.2 -0.4 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 -0.2 0.2 -0.0 0.0 -0.1 0.1 0.0 0.1 0.1 -0.1 -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 -0.6 -0.6 0.1 -0.2 -0.3 -0.1 -0.2 SOFR 0.6 0.4 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 0.0 0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.2 0.1 0.0 0.0 -0.7 -0.7 -0.2 -0.3 SOYBEAN 0.3 0.2 0.0 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.1 0.2 -0.0 0.2 0.1 -0.0 0.4 0.4 0.3 0.3 0.1 0.0 -0.1 0.1 0.0 -2.7 0.1 0.0 0.1 0.0 0.1 0.1 1.1 0.2 0.6 0.5 0.4 -0.7 -0.4 -0.7 -0.3 SOYMEAL 0.3 0.6 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 0.1 0.0 0.1 0.1 0.1 0.4 0.4 0.3 0.3 0.1 0.1 -0.0 0.1 0.1 -2.7 0.0 -0.0 0.1 0.0 0.1 0.0 1.1 -0.1 0.4 0.6 0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.5 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 0.1 0.2 0.2 0.2 -0.1 -0.1 -0.0 -0.1 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 1.0 0.4 0.1 -0.5 -0.4 -0.2 0.1 0.3 0.5 SP400 0.6 0.1 -0.6 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.1 -1.1 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 0.1 -0.1 -0.2 -0.2 -0.3 -0.4 -0.5 -0.7 SP500_micro 0.6 0.2 -0.3 0.0 0.0 -0.0 0.1 -0.0 0.0 0.1 0.1 0.2 0.3 0.2 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.0 0.2 0.1 0.2 -2.4 0.0 0.0 0.0 0.1 0.1 0.1 -0.4 0.1 0.4 0.3 0.1 0.0 -0.3 0.1 -0.5 SUGAR11 -0.2 -0.1 0.2 -0.0 -0.1 -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 0.1 0.2 -0.0 0.5 0.0 -2.7 0.1 0.0 0.3 0.0 0.6 0.0 1.1 0.0 -0.0 0.3 0.6 -0.4 -0.6 0.3 0.1 US10 0.6 0.5 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 0.0 0.2 -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 -0.1 0.1 US10U 0.6 0.4 -0.1 0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 0.1 -0.3 0.1 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.1 0.1 -0.1 -0.1 -0.7 -0.7 0.1 0.5 US2 0.3 0.6 0.4 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.2 0.0 -0.3 0.0 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.0 -0.3 0.0 1.0 0.0 0.0 -0.1 0.0 -0.2 0.0 -1.1 0.1 -0.2 0.0 0.1 -0.5 -0.7 -0.2 -0.7 US20 0.6 0.4 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.1 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.1 0.1 -0.1 -0.2 -0.4 -0.7 0.4 0.7 US30 0.6 0.3 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.2 0.0 -0.2 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.3 0.1 0.1 -0.1 -0.2 -0.2 -0.7 0.7 0.7 US5 0.6 0.5 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.2 0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.1 0.0 -0.2 0.0 0.4 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.9 0.1 0.0 -0.0 0.0 -0.7 -0.7 -0.5 -0.6 VIX -1.0 0.1 0.6 -0.1 -0.0 -0.2 -0.1 -0.3 -0.1 -0.2 -0.6 -0.3 -0.8 -0.3 -0.2 -0.6 -0.6 -0.6 -0.6 -0.2 -0.2 -0.3 -0.8 -0.3 NaN -0.1 -0.1 -0.2 -0.1 -0.4 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.1 -0.0 -0.6 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.3 -0.2 -0.3 -0.2 -0.2 -0.2 -0.2 -0.5 -0.2 -0.6 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -1.0 -0.5 -0.6 -0.3 -0.6 -0.7 -0.7 -0.7 -0.6 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 17.4 11.4 -1.9 1.8 4.1 0.3 5.5 0.5 4.7 12.3 -8.3 13.2 -9.5 11.7 1.0 -2.7 -3.0 -3.0 -3.0 3.9 -3.9 14.2 -7.8 11.5 3.2 2.0 5.7 -1.4 6.5 -2.9 5.4 -1.1 1.1 0.3 0.8 -1.6 -9.7 -18.3 -2.4 5.7 BITCOIN 3.9 20.0 8.5 1.9 0.4 -0.9 6.3 -0.6 6.0 6.2 18.9 16.0 15.7 20.0 20.0 -10.3 -5.6 -8.4 -7.1 20.0 20.0 13.2 11.0 20.0 -20.0 7.7 -0.2 5.1 3.0 2.6 6.8 -0.8 -20.0 20.0 20.0 20.0 -4.3 20.0 -0.7 20.0 BOBL 8.9 10.6 6.0 0.1 0.1 -1.8 1.2 -2.7 1.7 3.1 -3.9 2.9 -7.5 6.3 2.5 11.7 -1.8 6.1 0.1 1.7 -2.2 2.0 -7.4 3.3 8.9 1.0 1.6 -0.9 1.2 -3.1 2.0 -0.3 0.6 -6.4 3.7 6.4 -17.3 -20.0 -12.5 -18.4 BTP 20.0 13.9 -5.6 0.1 0.1 -2.7 1.7 -4.1 2.5 9.8 -1.2 11.8 0.5 12.1 4.2 7.5 7.7 7.2 6.9 7.2 -0.7 11.6 -4.7 14.3 -7.7 2.2 2.1 -0.1 3.6 -1.0 4.4 15.2 6.7 9.4 10.5 7.2 -13.3 -20.0 1.3 6.6 BUND 16.8 11.1 1.5 0.1 0.1 -1.9 1.2 -2.9 1.8 5.8 -4.2 7.0 -8.1 7.8 1.4 -3.8 4.0 -2.0 0.6 2.2 -3.0 4.4 -8.4 5.6 6.0 1.1 1.8 -1.0 2.1 -2.7 2.7 6.9 1.9 -1.2 4.3 5.1 -20.0 -20.0 -20.0 -4.8 BUXL 20.0 11.4 -2.3 0.1 0.1 -2.1 1.3 -3.2 1.9 7.3 -5.7 9.0 -9.3 8.8 -0.9 0.2 0.8 0.4 0.7 1.4 -6.2 7.6 -12.3 7.8 1.4 0.6 1.9 -1.9 2.9 -3.3 3.0 4.1 3.4 4.2 4.0 0.8 -18.6 -20.0 -13.7 13.9 CAC 20.0 0.4 -16.0 1.8 3.7 -1.2 7.1 -0.6 6.5 14.8 -4.3 20.0 14.2 18.1 -0.7 -7.1 -3.2 -6.2 -5.2 3.9 -4.2 20.0 3.9 19.8 -6.4 1.6 4.5 -1.4 8.3 0.7 7.2 3.0 -5.5 -11.3 -6.0 5.4 6.6 4.7 13.1 10.1 CAD 10.6 -2.8 -8.5 2.8 6.3 0.5 8.4 0.7 7.1 16.5 -14.2 16.0 -14.9 1.6 -11.4 -2.5 -2.3 -2.5 -2.4 -6.9 -11.2 12.4 -10.9 3.6 2.7 -3.7 8.4 -5.9 6.7 -5.2 2.0 0.0 -16.5 -15.7 -20.0 -16.2 -17.8 -20.0 -8.2 -17.0 CANOLA 20.0 -9.2 -16.5 -1.0 -4.2 -2.4 -1.1 -3.0 0.3 -5.6 -2.6 1.8 -3.7 -0.8 -7.2 -9.6 2.3 -10.3 -5.0 -7.1 -7.5 -2.2 -5.8 -2.9 -20.0 -2.9 -1.4 -2.9 -1.2 -2.6 -1.7 -0.1 -5.4 -3.9 -11.7 -13.2 -12.0 -6.6 2.6 5.3 CHF 19.1 11.1 -16.3 2.5 5.7 0.4 7.7 0.7 6.5 17.2 -7.2 18.7 5.2 17.4 -2.1 -15.7 -15.0 -16.3 -15.8 3.8 -3.4 19.6 -0.8 15.8 -8.3 1.2 5.8 -1.5 7.4 -0.6 5.9 -20.0 2.2 -10.0 10.4 -12.0 -20.0 -20.0 -20.0 -20.0 COCOA 12.9 20.0 8.4 -2.3 -10.1 -5.6 -2.5 -7.2 0.7 19.4 20.0 20.0 20.0 20.0 20.0 2.9 -2.2 -1.4 -2.2 20.0 20.0 20.0 20.0 20.0 -20.0 8.7 5.0 8.4 7.3 8.7 8.9 -2.2 20.0 20.0 20.0 20.0 11.7 -2.9 20.0 11.4 COFFEE 8.4 20.0 12.3 -1.8 -7.7 -4.3 -2.0 -5.5 0.5 -5.6 -7.2 5.9 -11.3 12.7 12.1 11.7 2.8 5.2 3.2 11.2 2.3 2.0 -6.2 10.3 -20.0 4.7 1.0 2.0 1.8 -0.3 4.5 6.4 -1.5 13.8 20.0 14.1 -20.0 -20.0 -20.0 -12.3 COPPER 18.8 8.1 -5.2 1.6 0.3 -0.8 5.4 -0.5 5.1 10.7 -13.1 16.6 -6.1 14.5 -3.2 -8.4 -4.6 -7.9 -6.4 4.3 -6.2 20.0 -9.4 17.1 -6.6 2.4 2.0 -1.7 8.4 -3.0 7.6 0.8 -0.8 20.0 3.2 0.5 -2.6 -18.3 5.2 -16.4 CORN 1.1 5.4 -12.7 -2.0 -9.0 -5.0 -2.3 -6.4 0.6 -18.7 -20.0 -10.6 -19.9 -10.1 -14.2 -6.8 0.3 -6.3 -4.5 -7.3 -16.4 -10.2 -20.0 -5.4 -20.0 -2.4 -11.9 -5.1 -6.6 -9.0 -2.7 -2.1 -3.1 -6.2 3.0 -0.5 -7.5 -4.5 3.2 3.7 COTTON2 -9.4 -20.0 -5.5 -1.7 -7.5 -4.2 -1.9 -5.4 0.5 -9.5 -4.2 -4.9 -9.7 -11.2 -11.3 -7.9 1.1 -6.1 -2.8 -17.2 -9.4 -9.3 -4.9 -15.9 -20.0 -5.1 -4.6 -2.4 -4.0 -0.3 -5.3 0.1 8.1 -20.0 -20.0 -3.7 -17.9 -12.8 -1.3 4.2 CRUDE_W -14.6 -9.9 7.8 -2.7 -1.9 1.2 -3.0 3.1 -4.4 0.2 9.4 -5.4 7.6 -9.1 -0.8 7.2 10.9 10.7 11.1 -1.2 8.2 -7.3 11.0 -7.8 -4.9 -0.6 -1.0 4.4 -2.2 6.7 -3.5 -20.0 7.2 5.8 8.2 6.3 20.0 11.0 20.0 11.3 DAX 20.0 5.7 -16.3 1.7 3.4 -1.1 6.6 -0.5 6.0 14.3 -6.1 20.0 11.1 17.3 1.9 -10.0 -8.3 -9.8 -9.3 8.8 -4.4 20.0 -0.2 20.0 18.0 2.3 3.9 -1.2 8.2 -0.6 7.6 -5.0 16.3 8.6 4.2 1.6 6.0 3.5 13.7 12.4 DOW 20.0 9.7 -10.5 1.3 2.6 -0.8 5.1 -0.4 4.6 11.2 0.7 15.5 7.9 14.3 3.7 -9.9 -9.1 -10.5 -10.3 9.6 0.6 20.0 0.3 20.0 -9.8 1.8 3.4 -0.1 6.6 0.6 5.7 -6.6 1.0 5.1 4.2 2.5 -18.0 -6.1 -20.0 -7.5 DX -20.0 -16.0 12.1 1.8 4.1 0.3 5.6 0.5 4.7 -12.1 8.2 -12.9 -2.8 -11.6 2.4 6.6 6.0 7.0 6.6 -4.2 4.3 -16.9 5.9 -14.5 -20.0 -1.5 -4.5 1.6 -5.7 2.4 -5.1 14.9 -20.0 -20.0 -20.0 20.0 10.0 6.7 13.7 18.7 EUR 20.0 15.1 -10.1 1.9 4.3 0.3 5.7 0.5 4.8 12.4 -5.9 13.2 3.8 12.8 1.4 -5.7 -6.7 -6.3 -6.4 6.4 -1.5 14.9 -3.2 14.9 10.2 2.3 3.5 -0.5 5.3 -1.1 5.4 -7.3 -0.4 5.5 9.3 -4.1 -14.9 -15.5 -13.0 -5.5 EURIBOR-ICE 9.3 19.9 14.6 0.1 0.1 -1.7 1.1 -2.6 1.6 3.2 0.9 4.4 -5.3 7.0 6.9 -4.1 -6.9 -5.3 -6.5 7.2 2.9 3.4 -4.1 7.2 16.9 2.3 0.9 1.0 1.1 -0.9 2.3 -9.3 1.7 -0.1 11.1 13.7 -20.0 -20.0 4.0 20.0 EUROSTX 20.0 7.0 -11.7 1.7 3.5 -1.1 6.8 -0.6 6.2 13.1 -2.8 20.0 13.6 18.9 3.1 -6.0 -2.9 -5.7 -4.9 10.8 0.3 20.0 5.1 20.0 4.2 3.6 3.9 0.2 8.1 0.9 8.2 3.6 -1.6 -1.4 8.2 10.1 3.1 6.0 7.8 14.7 FEEDCOW -15.3 -20.0 -20.0 -1.1 -4.9 -2.7 -1.2 -3.5 0.3 -10.3 -4.2 -10.2 4.3 -11.0 -10.5 -12.8 -20.0 -12.9 -20.0 -20.0 -8.4 -20.0 3.1 -20.0 -1.6 -3.4 -4.0 -1.0 -3.6 1.6 -3.9 -20.0 -6.2 -20.0 -20.0 -10.2 14.5 0.1 20.0 8.5 GASOIL -16.5 -19.0 5.8 -2.4 -1.6 1.0 -2.6 2.7 -3.8 3.4 8.7 -5.0 7.4 -10.7 -5.2 12.5 20.0 20.0 20.0 -4.6 7.0 -3.9 12.6 -9.2 8.4 -1.3 -0.4 3.3 -1.3 5.0 -3.2 0.0 11.5 2.6 1.0 8.3 -7.3 -0.7 -12.1 -6.0 GASOLINE -4.6 -14.9 -12.4 -2.6 -1.8 1.1 -2.9 2.9 -4.2 1.2 4.2 -2.5 5.3 -9.3 -10.8 -2.5 20.0 13.7 20.0 -7.7 -0.2 -5.6 7.7 -8.2 -20.0 -3.4 1.8 0.2 0.0 4.6 -2.9 9.9 10.1 10.5 3.0 -14.9 20.0 10.8 20.0 7.2 GAS_US_mini -20.0 -4.6 14.6 -2.7 -1.9 1.2 -3.0 3.0 -4.4 -15.8 -14.9 -17.4 -18.6 -17.0 -15.9 -20.0 -20.0 -20.0 -20.0 -17.0 -14.3 -20.0 -20.0 -20.0 20.0 -4.6 -6.7 -2.2 -9.3 -1.9 -8.0 -20.0 -18.0 -8.6 14.1 -16.9 -13.1 6.5 -19.2 2.5 GBP 20.0 8.8 -14.6 1.8 4.1 0.3 5.6 0.5 4.7 12.4 -6.0 13.1 5.6 11.6 -1.5 -0.7 -0.8 -0.6 -0.6 3.6 -1.8 15.8 -1.3 12.5 0.7 1.5 5.5 -0.9 6.2 -1.0 5.1 2.9 0.5 4.8 5.5 -5.8 -9.6 3.6 -5.2 20.0 GOLD_micro -0.1 20.0 -2.0 1.5 0.3 -0.7 4.8 -0.5 4.5 16.9 -2.0 13.4 3.7 14.6 12.1 -15.1 -14.8 -16.2 -16.1 10.0 2.4 18.5 0.1 14.8 -7.3 2.7 5.8 0.8 5.2 0.5 4.0 -16.6 2.9 -8.6 20.0 5.4 -12.3 -20.0 -11.5 -20.0 HEATOIL -14.9 -19.8 1.9 -2.4 -1.7 1.1 -2.7 2.7 -3.9 -2.1 7.4 -5.2 6.1 -9.1 -5.7 17.7 20.0 20.0 20.0 -4.7 5.0 -5.1 9.9 -8.6 -18.5 -1.8 0.7 2.6 -0.6 5.4 -3.1 2.8 14.9 5.2 1.7 2.2 10.4 -1.7 5.4 -7.0 JGB-SGX-mini 20.0 7.3 -13.3 0.1 0.1 -1.7 1.0 -2.5 1.5 3.2 -3.0 6.2 1.5 5.6 1.0 19.0 19.7 17.8 17.3 1.4 -2.3 8.8 -1.4 7.6 -1.9 0.0 1.3 -1.3 2.8 -1.2 2.3 20.0 13.1 3.7 -1.5 0.1 3.9 -20.0 15.8 17.2 JPY 9.5 12.2 -7.6 1.6 3.7 0.3 4.9 0.4 4.2 6.3 -12.4 5.3 -12.4 -1.0 -10.2 -17.5 -16.1 -18.3 -17.6 -8.2 -15.5 3.7 -19.8 -0.7 20.0 -3.9 2.3 -6.5 1.6 -7.5 -0.6 -20.0 -11.9 -20.0 -13.9 -16.2 -5.3 -20.0 0.7 -20.0 LEANHOG -1.8 -5.5 2.3 -1.3 -5.6 -3.1 -1.4 -4.0 0.4 -12.1 -0.6 -9.8 -6.7 -6.7 -6.7 -20.0 16.6 3.9 19.2 -7.5 -7.6 -20.0 -10.3 -12.9 13.4 -2.6 -14.8 -4.2 -10.3 -7.1 -4.1 20.0 -20.0 -8.2 -8.3 -4.8 -11.1 -4.7 7.5 15.1 LIVECOW -20.0 -20.0 -20.0 -1.2 -5.2 -2.9 -1.3 -3.7 0.3 -11.1 -0.8 -11.5 6.2 -11.7 -10.3 -6.4 -4.9 -12.3 -8.5 -16.8 -5.4 -20.0 4.3 -20.0 0.1 -3.5 -3.2 -0.6 -3.7 2.2 -4.3 -8.2 -1.0 -20.0 -20.0 -8.1 -2.6 -15.1 2.3 -7.0 LUMBER-new 20.0 12.9 -3.4 -2.5 -11.0 -5.9 -2.8 -6.4 0.7 16.7 -14.0 20.0 -20.0 20.0 8.1 -13.1 -14.6 -15.1 -15.0 11.9 -5.7 20.0 -14.0 20.0 NaN 4.8 0.6 -0.9 7.0 -3.0 9.3 -20.0 12.2 20.0 20.0 7.9 -14.9 -20.0 -8.6 -17.4 MILK -10.7 -3.3 -5.1 -1.5 -6.7 -3.7 -1.7 -4.8 0.4 -14.7 -10.5 -15.7 -13.2 -15.2 -12.7 -20.0 -20.0 -20.0 -20.0 -16.1 -16.2 -20.0 -20.0 -20.0 5.9 -4.8 -8.7 -5.5 -7.8 -7.8 -6.0 -20.0 -20.0 -20.0 -13.6 -2.4 -20.0 -20.0 -20.0 -20.0 MXP 20.0 5.5 -20.0 2.1 4.8 0.4 6.4 0.5 5.4 10.7 8.7 14.7 13.1 13.8 6.1 13.1 16.1 13.8 14.8 10.2 7.0 16.9 13.9 18.1 -20.0 3.2 2.8 2.3 5.3 4.7 5.7 20.0 -8.6 10.7 1.2 5.6 9.0 13.1 17.7 20.0 NASDAQ_micro 20.0 4.2 -4.3 1.1 2.2 -0.7 4.2 -0.4 3.9 6.5 8.1 12.5 9.5 12.2 6.8 -9.6 -8.8 -9.8 -9.6 12.3 8.6 19.1 10.7 20.0 -20.0 2.7 3.1 2.2 5.6 3.5 5.3 -5.7 -1.1 10.4 11.6 8.5 6.2 -10.5 6.3 -13.1 NIKKEI 20.0 6.1 -6.8 1.5 3.0 -0.9 5.7 -0.5 5.2 7.0 14.3 16.4 14.4 16.3 12.5 4.1 9.6 5.6 7.8 14.6 12.0 18.2 15.7 20.0 -10.8 4.2 2.1 3.9 5.7 5.7 6.4 20.0 -11.1 -1.9 3.3 18.0 -7.0 1.3 -4.3 8.1 NZD 17.8 7.3 -1.2 1.5 3.4 0.3 4.6 0.4 3.9 10.3 -6.7 10.9 -2.1 8.9 0.7 0.2 0.2 0.0 0.1 2.8 -2.5 11.6 -5.0 8.8 0.9 1.7 5.2 -0.7 5.5 -1.7 4.4 4.3 0.3 2.7 -0.5 -0.0 -1.9 -14.2 2.9 7.5 OAT 20.0 12.2 0.8 0.1 0.1 -2.1 1.3 -3.1 1.9 6.7 -3.6 8.2 -8.1 8.5 2.0 5.3 7.5 5.7 6.2 3.4 -2.6 6.3 -7.9 7.6 8.3 1.5 2.0 -0.7 2.6 -2.3 3.2 14.6 3.5 2.1 5.8 6.2 -20.0 -20.0 -8.3 10.0 OATIES -1.7 -20.0 -20.0 -1.0 -4.2 -2.3 -1.1 -3.0 0.3 3.6 -3.8 -1.8 -3.3 -6.2 -8.6 -17.7 -10.0 -18.3 -16.2 -13.9 -8.3 0.8 -1.4 -9.0 -20.0 -2.9 0.5 -1.7 -0.4 -0.3 -2.3 -20.0 8.0 -20.0 -20.0 -11.1 6.8 11.0 20.0 20.0 OJ 7.0 -12.5 11.9 -1.9 -8.2 -4.6 -2.1 -5.8 0.5 5.2 19.3 14.1 20.0 15.3 17.7 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.3 3.3 8.6 6.1 9.6 6.5 20.0 20.0 17.0 20.0 20.0 7.1 9.5 20.0 20.0 PALLAD 0.8 -5.8 -1.8 0.8 2.7 -0.4 3.9 -0.3 2.8 8.1 -10.2 2.2 -11.1 -4.5 -7.3 -1.9 -2.6 -2.4 -2.6 -11.8 -14.8 2.0 -19.5 -6.6 4.6 -3.4 1.1 -3.2 -0.4 -3.0 -2.6 5.6 -1.3 -20.0 -20.0 -11.0 -3.5 -8.1 8.3 -2.5 PLAT 1.8 8.4 -3.0 0.9 0.2 -0.4 3.0 -0.3 2.9 5.6 -8.8 8.2 -5.5 5.9 -2.4 -3.2 -2.8 -3.5 -3.3 -0.7 -4.5 8.1 -5.1 4.4 12.2 0.0 1.0 -0.9 2.9 -1.0 1.6 4.8 3.4 -3.8 -2.7 4.0 -2.8 -14.0 10.4 -9.4 REDWHEAT -3.8 -15.2 -20.0 -2.0 -8.9 -5.0 -2.3 -6.4 0.6 -19.3 -20.0 -20.0 -20.0 -20.0 -20.0 -6.9 -1.2 -5.9 -3.8 -20.0 -20.0 -20.0 -20.0 -20.0 -18.5 -8.2 -11.1 -7.4 -10.3 -5.3 -8.5 -2.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -13.8 RICE 20.0 7.3 6.1 -2.2 -9.5 -5.3 -2.4 -6.8 0.6 8.2 15.0 19.0 9.6 18.9 13.4 -15.7 3.9 -14.7 -4.2 20.0 12.7 20.0 8.0 20.0 -20.0 5.5 -3.9 2.9 6.1 1.7 8.7 4.2 20.0 20.0 20.0 20.0 -1.6 -17.6 14.8 -5.8 ROBUSTA 15.3 4.5 -8.5 -1.4 -5.9 -3.3 -1.5 -4.2 0.4 7.9 10.3 10.5 11.5 10.5 8.1 20.0 20.0 20.0 20.0 9.7 8.9 11.8 12.5 12.7 -17.7 3.8 3.5 3.4 4.2 4.5 4.7 20.0 16.9 14.1 15.2 12.0 -7.3 -12.5 9.0 0.6 RUSSELL 20.0 3.3 -14.2 0.9 1.7 -0.5 3.3 -0.3 3.1 6.5 -5.8 9.5 -5.4 7.6 -4.2 -5.8 -6.3 -6.7 -6.8 -1.5 -5.4 8.8 -4.8 6.3 -1.6 -0.6 1.3 -1.6 3.0 -1.0 2.2 -1.1 2.8 -4.5 -7.7 -7.2 -15.4 -13.5 -20.0 -20.0 SHATZ 0.1 8.0 5.8 0.1 0.1 -1.8 1.1 -2.7 1.6 -0.0 -6.9 -2.4 -8.5 0.8 -2.7 -20.0 -16.4 -20.0 -20.0 -1.8 -5.3 -1.7 -11.6 -1.0 10.3 -0.9 0.5 -2.4 -1.1 -4.9 -0.7 -20.0 -3.4 -15.4 -0.2 4.6 -12.1 -20.0 -5.8 -20.0 SILVER-mini 12.6 11.6 -6.6 1.3 0.2 -0.6 4.4 -0.4 4.2 15.5 -4.2 16.0 2.2 14.8 2.4 -6.9 -6.5 -7.2 -7.1 5.0 -1.8 20.0 -2.1 15.8 7.4 2.2 8.1 0.5 8.5 0.5 5.7 -1.6 10.1 2.8 3.3 4.5 -17.5 -20.0 -2.6 -20.0 SMI 20.0 -7.5 -12.7 1.5 3.0 -1.0 5.9 -0.5 5.4 9.7 -8.7 16.4 -0.2 3.4 -5.2 5.2 2.4 3.9 2.5 -5.0 -10.6 15.5 -7.3 8.5 6.9 -1.3 3.2 -3.2 5.8 -2.8 3.3 14.1 -5.7 -18.6 -18.8 2.1 -7.5 -9.1 -2.3 -5.4 SOFR 20.0 13.3 -3.7 0.1 0.1 -1.6 1.0 -2.4 1.4 6.0 -4.4 6.8 -4.6 6.7 0.2 0.5 -0.6 -0.1 -0.5 1.2 -3.4 5.8 -5.2 5.7 -1.3 0.4 2.9 -1.5 3.4 -2.0 2.6 1.6 7.0 3.0 0.3 1.3 -20.0 -20.0 -5.9 -8.9 SOYBEAN 8.2 5.0 0.9 -1.8 -7.9 -4.4 -2.0 -5.7 0.5 -15.7 8.5 -1.7 5.8 8.5 -2.1 18.5 18.1 16.2 15.6 5.5 3.7 -5.6 1.9 4.4 -20.0 4.7 1.5 2.7 4.5 1.5 6.1 20.0 8.5 18.9 16.4 11.9 -20.0 -13.4 -20.0 -7.8 SOYMEAL 9.3 20.0 4.4 -1.1 -4.8 -2.7 -1.2 -3.4 0.3 -8.8 4.1 0.7 3.6 7.5 7.7 20.0 18.1 17.4 17.0 10.2 6.2 -1.2 3.7 7.9 -20.0 3.4 -0.8 2.3 0.7 1.9 3.0 20.0 -4.9 12.8 20.0 15.7 -20.0 -20.0 -20.0 -20.0 SOYOIL 14.9 -18.4 -19.3 -1.1 -4.7 -2.6 -1.2 -3.4 0.3 -8.2 -2.2 1.0 -3.4 -5.5 -8.9 4.2 10.4 7.7 9.2 -10.7 -9.3 -1.5 -4.6 -4.4 -20.0 -2.5 2.4 -2.4 2.5 -1.3 -0.0 18.2 16.6 3.1 -14.9 -11.9 -7.0 2.3 8.2 15.6 SP400 20.0 2.3 -17.0 1.0 1.9 -0.6 3.7 -0.3 3.4 9.7 -4.8 11.4 -1.4 9.5 -2.9 -5.3 -5.1 -5.4 -5.4 -0.0 -4.9 13.4 -3.5 9.9 -8.5 -0.0 2.6 -1.3 4.4 -0.6 3.1 1.1 4.5 -2.5 -5.3 -4.8 -10.5 -12.5 -15.9 -20.0 SP500_micro 20.0 5.4 -10.7 1.3 2.6 -0.8 5.0 -0.4 4.6 11.2 3.4 15.6 7.8 14.3 5.2 -10.3 -9.9 -10.8 -10.9 10.4 3.3 20.0 4.7 20.0 -18.0 2.2 3.3 0.8 6.5 1.9 5.8 -7.7 2.3 11.7 8.0 2.8 0.4 -9.9 2.4 -13.9 SUGAR11 -7.0 -2.3 4.8 -1.9 -8.4 -4.7 -2.1 -6.0 0.6 -10.6 18.7 -6.0 19.4 8.9 16.7 20.0 20.0 20.0 20.0 11.0 19.8 -3.0 20.0 2.6 -20.0 5.8 1.0 10.5 1.3 17.5 2.6 20.0 1.6 -1.3 9.6 20.0 -12.7 -16.6 10.0 4.3 US10 20.0 14.1 -1.4 0.1 0.1 -1.5 0.9 -2.2 1.4 4.8 -5.4 6.4 -6.3 5.8 -1.7 -5.9 -6.9 -6.5 -7.3 -0.6 -5.7 4.5 -8.2 4.2 1.1 -0.3 2.5 -2.2 2.9 -2.9 1.9 -9.9 5.4 2.3 -1.8 -1.7 -20.0 -20.0 -4.1 2.0 US10U 20.0 12.2 -4.3 0.1 0.1 -1.9 1.2 -2.8 1.7 7.3 -6.8 8.6 -8.0 7.3 -2.6 0.6 -0.4 0.2 -0.3 -1.4 -7.8 6.1 -10.7 5.3 -1.8 -0.7 3.2 -3.0 3.5 -3.6 2.2 1.9 5.9 2.7 -3.4 -3.9 -20.0 -20.0 3.4 14.9 US2 10.2 18.0 12.4 0.1 0.1 -1.6 1.0 -2.4 1.5 -0.0 -7.0 2.8 -7.5 4.1 -2.2 -20.0 -20.0 -20.0 -20.0 -1.2 -6.5 1.3 -11.7 1.7 7.7 0.1 2.7 -2.5 2.7 -5.0 2.0 -20.0 3.3 -4.9 1.1 3.6 -15.7 -20.0 -6.9 -20.0 US20 20.0 11.0 -6.6 0.1 0.1 -1.4 0.9 -2.1 1.3 5.2 -4.9 6.4 -5.7 5.3 -1.9 -0.7 -1.5 -1.0 -1.5 -1.1 -6.6 5.2 -8.5 4.6 -1.7 -0.6 2.3 -2.3 2.6 -2.6 1.6 -0.0 4.4 3.8 -2.9 -5.2 -11.5 -20.0 12.6 20.0 US30 20.0 9.7 -4.6 0.1 0.1 -1.5 0.9 -2.2 1.4 5.7 -5.4 6.8 -6.2 5.4 -2.4 -4.0 -4.1 -4.8 -4.8 -1.5 -6.7 5.7 -8.9 4.4 -1.3 -0.7 2.8 -2.5 2.9 -2.9 1.6 -5.0 4.1 2.3 -3.5 -4.6 -6.6 -20.0 19.7 20.0 US5 18.0 14.7 2.4 0.1 0.1 -1.5 1.0 -2.3 1.4 4.1 -5.9 6.1 -6.7 5.9 -1.5 -9.5 -10.4 -10.7 -11.3 -0.2 -5.2 3.8 -8.4 3.8 3.1 0.0 2.6 -2.1 3.0 -3.2 2.3 -16.4 4.9 0.3 -0.1 0.9 -20.0 -20.0 -14.5 -16.8 VIX -20.0 1.7 12.0 -3.5 -1.5 -3.7 -3.7 -5.6 -4.5 -13.4 -14.1 -14.9 -14.8 -14.6 -11.6 -20.0 -20.0 -20.0 -20.0 -13.7 -13.8 -18.2 -19.5 -18.6 NaN -3.7 -3.6 -4.1 -5.7 -6.6 -5.5 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -2.1 -1.0 -20.0 -2.1 -9.1 -5.1 -2.3 -6.5 0.6 -18.7 -20.0 -19.1 -20.0 -16.1 -20.0 -13.9 -10.8 -12.9 -12.0 -20.0 -20.0 -20.0 -20.0 -20.0 -4.8 -7.4 -15.2 -7.9 -13.2 -8.4 -9.2 -18.2 -20.0 -20.0 -10.0 -19.7 -20.0 -20.0 -20.0 -17.2 End of report for caleb_strategy_v3