******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20231225_204008 produced at 2023-12-25 21:37:13.365226 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.26 0.0 0.10 -0.10 -0.10 -0.10 -44.21 17.0 -17 -16 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.08 0.0 0.11 -0.11 -0.05 -0.05 -9.55 12.0 -6 -6 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.18 -0.18 -0.02 -0.02 -18.54 51.0 -6 -6 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -5.28 5.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 -0.06 0.0 999.00 -999.00 0.00 0.00 -1.78 999999999.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -0.76 13.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.05 -0.05 0.0 0.05 -0.05 -0.05 -0.05 -26.20 26.0 -25 -25 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.05 0.0 0.15 -0.15 -0.06 -0.06 -3.39 11.0 -4 -4 caleb_strategy_v3 CHF False False 0.05 -0.21 -0.04 0.0 0.67 -0.67 -0.21 -0.21 -0.85 13.0 -4 -4 caleb_strategy_v3 LIVECOW False False 0.02 -0.02 -0.04 0.0 0.40 -0.40 -0.02 0.00 -1.89 17.0 -1 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.03 0.0 0.31 -0.31 -0.04 -0.04 -0.84 8.0 -1 -1 caleb_strategy_v3 GOLD_micro False False 0.01 -0.15 -0.03 0.0 0.40 -0.40 -0.15 -0.11 -4.82 56.0 -21 -15 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -1.62 8.0 -3 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.40 2.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 -0.02 -0.02 0.0 0.14 -0.14 -0.02 -0.01 -2.01 18.0 -2 -1 caleb_strategy_v3 US5 False False 0.04 -0.04 -0.02 0.0 0.95 -0.95 -0.04 0.00 -0.52 25.0 -1 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -0.57 24.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.05 -0.02 0.0 0.10 -0.10 -0.05 -0.05 -1.82 9.0 -4 -4 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.38 0.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.15 -0.15 -0.02 -0.04 -0.65 7.0 -1 -2 caleb_strategy_v3 SOYMEAL False False 0.01 -0.03 -0.01 0.0 0.12 -0.12 -0.03 -0.03 -0.92 9.0 -2 -2 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.10 -0.10 -0.03 -0.03 -0.80 10.0 -3 -3 caleb_strategy_v3 HEATOIL False False 0.04 -0.04 -0.01 0.0 0.11 -0.11 -0.04 -0.04 -0.19 3.0 -1 -1 caleb_strategy_v3 OJ False False 0.02 0.00 0.00 0.0 0.05 -0.05 0.00 0.00 0.21 3.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.00 0.00 0.0 0.24 -0.24 -0.00 0.00 1.34 68.0 -1 0 caleb_strategy_v3 SP400 False False 0.10 0.00 0.00 0.0 0.20 -0.20 0.00 0.10 0.02 2.0 0 1 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.00 0.0 0.02 -0.02 0.00 0.00 -0.52 3.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.00 0.0 0.14 -0.14 0.01 0.00 0.23 13.0 1 0 caleb_strategy_v3 JPY False False 0.03 0.03 0.00 0.0 0.53 -0.53 0.03 0.03 0.02 17.0 1 1 caleb_strategy_v3 US10 False False 0.04 -0.39 -0.00 0.0 0.67 -0.67 -0.39 -0.35 -0.09 17.0 -10 -9 caleb_strategy_v3 COFFEE False False 0.02 0.00 0.00 0.0 0.15 -0.15 0.00 0.00 0.07 6.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.00 -0.00 0.0 0.68 -0.68 0.00 0.00 -0.01 14.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.04 4.0 0 0 caleb_strategy_v3 BUXL False False 0.06 0.11 0.01 0.0 0.22 -0.22 0.11 0.11 0.21 4.0 2 2 caleb_strategy_v3 PALLAD False False 0.04 0.00 0.01 0.0 0.08 -0.08 0.00 0.00 0.25 2.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.28 0.01 0.0 0.28 -0.28 0.28 0.23 0.13 6.0 6 5 caleb_strategy_v3 US20 False False 0.04 0.00 0.01 0.0 0.39 -0.39 0.00 0.00 0.22 9.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.01 0.0 0.53 -0.53 0.00 0.00 0.26 13.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.23 -0.23 0.03 0.02 1.09 23.0 3 2 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.01 0.0 0.11 -0.11 0.00 0.00 0.43 4.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.14 0.02 0.0 0.27 -0.27 0.14 0.08 1.89 23.0 12 7 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.02 0.0 0.40 -0.40 0.00 0.00 2.27 48.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.10 0.02 0.0 0.20 -0.20 0.10 0.14 0.66 6.0 3 4 caleb_strategy_v3 RICE False False 0.01 0.00 0.02 0.0 0.05 -0.05 0.00 0.00 1.25 4.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.00 0.02 0.0 0.61 -0.61 0.00 0.03 0.69 22.0 0 1 caleb_strategy_v3 BOBL False False 0.05 0.00 0.02 0.0 0.87 -0.87 0.00 0.00 0.35 19.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.03 0.0 0.53 -0.53 0.00 0.00 0.59 10.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.07 0.03 0.0 0.45 -0.45 0.07 0.07 1.17 19.0 3 3 caleb_strategy_v3 PLAT False False 0.02 0.02 0.03 0.0 0.17 -0.17 0.02 0.02 1.66 10.0 1 1 caleb_strategy_v3 DOW False False 0.01 0.03 0.04 0.0 0.43 -0.43 0.03 0.01 5.71 66.0 5 2 caleb_strategy_v3 CAD False False 0.03 0.05 0.04 0.0 0.76 -0.76 0.05 0.05 1.35 29.0 2 2 caleb_strategy_v3 NZD False False 0.02 0.09 0.05 0.0 0.46 -0.46 0.09 0.07 2.36 21.0 4 3 caleb_strategy_v3 COCOA False False 0.01 0.09 0.05 0.0 0.39 -0.39 0.09 0.09 3.62 26.0 6 6 caleb_strategy_v3 CRUDE_W False False 0.03 0.05 0.05 0.0 0.13 -0.13 0.05 0.05 2.04 5.0 2 2 caleb_strategy_v3 NIKKEI False False 0.01 0.07 0.06 0.0 0.29 -0.29 0.07 0.06 7.18 36.0 9 7 caleb_strategy_v3 BITCOIN False False 0.00 0.08 0.06 0.0 0.09 -0.09 0.08 0.08 38.95 59.0 49 49 caleb_strategy_v3 SMI False False 0.05 0.41 0.08 0.0 0.41 -0.41 0.41 0.41 1.73 9.0 9 9 caleb_strategy_v3 CAC False True 0.03 0.00 0.09 0.0 0.00 0.00 0.00 0.00 3.04 12.0 0 0 caleb_strategy_v3 BTP False False 0.05 0.14 0.11 0.0 0.46 -0.46 0.14 0.09 2.29 10.0 3 2 caleb_strategy_v3 EUROSTX False False 0.02 0.28 0.12 0.0 0.35 -0.35 0.28 0.28 6.69 20.0 16 16 caleb_strategy_v3 SOFR False True 0.08 0.00 0.15 0.0 0.00 0.00 0.00 0.00 1.81 11.0 0 0 caleb_strategy_v3 OAT False False 0.05 0.00 0.15 0.0 0.51 -0.51 0.00 0.00 3.00 10.0 0 0 caleb_strategy_v3 DAX False False 0.01 0.00 0.15 0.0 0.38 -0.38 0.00 0.00 23.73 58.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.38 0.34 0.0 0.61 -0.61 0.38 0.38 33.74 60.0 38 38 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.32 0.52 0.0 0.58 -0.58 0.32 0.32 14.33 16.0 9 9 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.56 1.33 0.0 0.94 -0.94 0.56 0.28 14.08 10.0 6 3 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.9 Shocked risk 60.5 Sum abs risk 49.8 Leverage 4.68 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2865101.62, 'annual_cash_vol_target': 716275.405, 'daily_cash_vol_target': 44767.2128125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0046 0.6818 0.6755 10.8082 BITCOIN 1114.4031 44430.0000 2.5082 40.1316 BOBL 0.2635 119.5100 0.2205 3.5283 BTP 0.6232 120.6500 0.5166 8.2648 BUND 0.5441 137.9000 0.3946 6.3134 BUXL 1.3839 143.4600 0.9646 15.4341 CAC 45.4603 7588.0000 0.5991 9.5857 CAD 0.0030 0.7548 0.4033 6.4527 CANOLA 7.8451 655.3000 1.1972 19.1548 CHF 0.0049 1.1784 0.4123 6.5969 COCOA 40.6160 4268.0000 0.9516 15.2262 COFFEE 4.3369 190.2500 2.2796 36.4732 COPPER 0.0423 3.9015 1.0847 17.3547 CORN 4.2941 504.2500 0.8516 13.6253 COTTON2 1.0324 79.7600 1.2943 20.7094 CRUDE_W 1.1453 71.7500 1.5962 25.5387 DAX 101.0304 16891.0000 0.5981 9.5701 DOW 218.4119 37703.0000 0.5793 9.2687 DX 0.4682 101.3400 0.4620 7.3922 EUR 0.0057 1.1054 0.5126 8.2013 EURIBOR-ICE 0.0513 98.1050 0.0523 0.8364 EUROSTX 30.1764 4557.0000 0.6622 10.5952 FEEDCOW 2.4820 224.4250 1.1060 17.6952 GASOIL 13.2078 770.7500 1.7136 27.4181 GASOLINE 0.0418 2.3329 1.7935 28.6960 GAS_US_mini 0.0929 2.3250 3.9964 63.9418 GBP 0.0072 1.2702 0.5680 9.0884 GOLD_micro 16.4627 2064.2000 0.7975 12.7605 HEATOIL 0.0442 2.5851 1.7081 27.3297 JGB-SGX-mini 0.3540 146.6100 0.2414 3.8630 JPY 0.0001 0.0071 0.7142 11.4270 LEANHOG 1.2215 77.5000 1.5762 25.2186 LIVECOW 1.6621 168.4750 0.9865 15.7845 LUMBER-new 7.2608 584.0000 1.2433 19.8926 MILK 0.1816 16.2700 1.1161 17.8576 MXP 0.0004 0.0580 0.6877 11.0031 NASDAQ_micro 122.3159 16962.5000 0.7211 11.5375 NIKKEI 283.5572 33200.0000 0.8541 13.6654 NZD 0.0039 0.6298 0.6249 9.9981 OAT 0.5566 132.4500 0.4202 6.7238 OATIES 7.7888 359.5000 2.1666 34.6652 OJ 6.4559 325.6000 1.9828 31.7242 PALLAD 31.8804 1217.5000 2.6185 41.8962 PLAT 14.3483 979.9000 1.4643 23.4283 REDWHEAT 11.7689 627.0000 1.8770 30.0322 RICE 0.1514 17.8450 0.8484 13.5742 ROBUSTA 50.1554 2837.0000 1.7679 28.2864 RUSSELL 23.6604 2051.7000 1.1532 18.4513 SHATZ 0.0924 106.5350 0.0867 1.3872 SILVER-mini 0.3784 24.8250 1.5243 24.3880 SMI 61.8399 11105.0000 0.5569 8.9098 SOFR 0.0752 96.8200 0.0777 1.2431 SOYBEAN 10.6258 1257.5000 0.8450 13.5200 SOYMEAL 5.1661 387.4000 1.3335 21.3367 SOYOIL 0.7649 49.3500 1.5500 24.8001 SP400 26.9161 2808.0000 0.9585 15.3368 SP500_micro 29.6753 4799.0000 0.6184 9.8938 SUGAR11 0.4131 20.3300 2.0320 32.5122 US10 0.4827 112.7188 0.4282 6.8511 US10U 0.6515 117.7344 0.5533 8.8535 US2 0.1436 102.9297 0.1395 2.2320 US20 0.9707 123.9688 0.7830 12.5284 US30 1.4365 132.7188 1.0823 17.3173 US5 0.3232 108.6328 0.2975 4.7600 VIX 0.4790 17.1000 2.8009 44.8146 WHEAT 9.3253 658.7500 1.4156 22.6498 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 681.85 0.68 460.60 1.00 460.60 44767.21 97.19 4.63 45.04 BITCOIN 44.43 2.51 111.44 1.00 111.44 44767.21 401.71 8.95 359.72 BOBL 1195.10 0.22 263.54 1.10 288.46 44767.21 155.19 2.23 34.61 BTP 1206.50 0.52 623.22 1.10 682.14 44767.21 65.63 10.24 67.19 BUND 1379.00 0.39 544.14 1.10 595.59 44767.21 75.16 7.68 57.72 BUXL 1434.60 0.96 1383.86 1.10 1514.70 44767.21 29.56 6.85 20.24 CAC 758.80 0.60 454.60 1.10 497.59 44767.21 89.97 9.91 89.16 CAD 754.80 0.40 304.41 1.00 304.41 44767.21 147.06 3.55 52.19 CANOLA 131.06 1.20 156.90 0.75 117.49 44767.21 381.05 -20.00 -762.09 CHF 1473.00 0.41 607.33 1.00 607.33 44767.21 73.71 -4.42 -32.61 COCOA 426.80 0.95 406.16 1.00 406.16 44767.21 110.22 15.34 169.07 COFFEE 713.44 2.28 1626.34 1.00 1626.34 44767.21 27.53 2.20 6.06 COPPER 975.38 1.08 1057.96 1.00 1057.96 44767.21 42.31 1.45 6.12 CORN 252.12 0.85 214.70 1.00 214.70 44767.21 208.51 -18.82 -392.33 COTTON2 398.80 1.29 516.18 1.00 516.18 44767.21 86.73 -18.24 -158.18 CRUDE_W 717.50 1.60 1145.25 1.00 1145.25 44767.21 39.09 4.83 18.88 DAX 168.91 0.60 101.03 1.10 110.58 44767.21 404.83 17.18 695.62 DOW 188.52 0.58 109.21 1.00 109.21 44767.21 409.93 5.99 245.71 DX 1013.40 0.46 468.20 1.00 468.20 44767.21 95.61 -7.18 -68.69 EUR 1381.69 0.51 708.22 1.00 708.22 44767.21 63.21 -0.06 -0.37 EURIBOR-ICE 2452.62 0.05 128.22 1.10 140.34 44767.21 318.99 12.94 412.77 EUROSTX 455.70 0.66 301.76 1.10 330.30 44767.21 135.54 14.46 196.02 FEEDCOW 1122.12 1.11 1241.02 1.00 1241.02 44767.21 36.07 -7.00 -25.24 GASOIL 770.75 1.71 1320.78 1.00 1320.78 44767.21 33.89 2.90 9.84 GASOLINE 979.82 1.79 1757.31 1.00 1757.31 44767.21 25.47 -0.36 -0.91 GAS_US_mini 58.12 4.00 232.29 1.00 232.29 44767.21 192.72 -12.55 -241.91 GBP 793.88 0.57 450.94 1.00 450.94 44767.21 99.27 2.70 26.77 GOLD_micro 206.42 0.80 164.63 1.00 164.63 44767.21 271.93 -5.19 -141.26 HEATOIL 1085.74 1.71 1854.56 1.00 1854.56 44767.21 24.14 -1.78 -4.31 JGB-SGX-mini 146610.00 0.24 35396.89 0.01 248.75 44767.21 179.97 7.36 132.37 JPY 889.69 0.71 635.40 1.00 635.40 44767.21 70.45 0.11 0.79 LEANHOG 310.00 1.58 488.61 1.00 488.61 44767.21 91.62 0.41 3.76 LIVECOW 673.90 0.99 664.82 1.00 664.82 44767.21 67.34 -8.46 -56.95 LUMBER-new 160.60 1.24 199.67 1.00 199.67 44767.21 224.20 -1.09 -24.47 MILK 325.40 1.12 363.18 1.00 363.18 44767.21 123.27 -20.00 -246.53 MXP 290.25 0.69 199.60 1.00 199.60 44767.21 224.28 10.25 229.91 NASDAQ_micro 339.25 0.72 244.63 1.00 244.63 44767.21 183.00 4.44 81.29 NIKKEI 33200.00 0.85 28355.72 0.01 199.27 44767.21 224.65 2.95 66.29 NZD 629.75 0.62 393.52 1.00 393.52 44767.21 113.76 8.00 91.01 OAT 1324.50 0.42 556.60 1.10 609.23 44767.21 73.48 11.98 88.06 OATIES 179.75 2.17 389.44 1.00 389.44 44767.21 114.95 -12.16 -139.74 OJ 488.40 1.98 968.38 1.00 968.38 44767.21 46.23 2.15 9.93 PALLAD 1217.50 2.62 3188.04 1.00 3188.04 44767.21 14.04 5.25 7.37 PLAT 489.95 1.46 717.42 1.00 717.42 44767.21 62.40 7.79 48.62 REDWHEAT 313.50 1.88 588.44 1.00 588.44 44767.21 76.08 -16.09 -122.41 RICE 356.90 0.85 302.79 1.00 302.79 44767.21 147.85 3.48 51.38 ROBUSTA 283.70 1.77 501.55 1.00 501.55 44767.21 89.26 10.46 93.36 RUSSELL 102.58 1.15 118.30 1.00 118.30 44767.21 378.41 1.07 40.48 SHATZ 1065.35 0.09 92.36 1.10 101.10 44767.21 442.82 -1.27 -56.16 SILVER-mini 620.62 1.52 945.99 1.00 945.99 44767.21 47.32 -2.34 -11.07 SMI 1110.50 0.56 618.40 1.17 717.03 44767.21 62.43 8.14 50.79 SOFR 2420.50 0.08 188.06 1.00 188.06 44767.21 238.05 1.25 29.77 SOYBEAN 628.75 0.84 531.29 1.00 531.29 44767.21 84.26 -8.29 -69.84 SOYMEAL 387.40 1.33 516.61 1.00 516.61 44767.21 86.66 -11.38 -98.65 SOYOIL 296.10 1.55 458.96 1.00 458.96 44767.21 97.54 -8.80 -85.79 SP400 2808.00 0.96 2691.61 1.00 2691.61 44767.21 16.63 0.41 0.69 SP500_micro 239.95 0.62 148.38 1.00 148.38 44767.21 301.71 3.24 97.86 SUGAR11 227.70 2.03 462.68 1.00 462.68 44767.21 96.76 -9.76 -94.45 US10 1127.19 0.43 482.65 1.00 482.65 44767.21 92.75 -0.78 -7.23 US10U 1177.34 0.55 651.48 1.00 651.48 44767.21 68.72 3.00 20.58 US2 2058.59 0.14 287.17 1.00 287.17 44767.21 155.89 -3.84 -59.82 US20 1239.69 0.78 970.71 1.00 970.71 44767.21 46.12 3.81 17.59 US30 1327.19 1.08 1436.46 1.00 1436.46 44767.21 31.17 3.22 10.04 US5 1086.33 0.30 323.18 1.00 323.18 44767.21 138.52 -2.95 -40.85 VIX 171.00 2.80 478.96 1.00 478.96 44767.21 93.47 -19.16 -179.11 WHEAT 329.38 1.42 466.27 1.00 466.27 44767.21 96.01 -14.26 -136.90 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 45.043 0.010 2.5 1.169 BITCOIN 359.717 0.043 2.5 38.954 BOBL 34.613 0.004 2.5 0.351 BTP 67.191 0.014 2.5 2.292 BUND 57.722 0.004 2.5 0.585 BUXL 20.244 0.004 2.5 0.205 CAC 89.157 0.014 2.5 3.041 CAD 52.191 0.010 2.5 1.354 CANOLA -762.091 0.010 2.5 -18.541 CHF -32.607 0.010 2.5 -0.846 COCOA 169.072 0.009 2.5 3.621 COFFEE 6.062 0.005 2.5 0.071 COPPER 6.118 0.043 2.5 0.663 CORN -392.328 0.010 2.5 -9.545 COTTON2 -158.183 0.009 2.5 -3.388 CRUDE_W 18.876 0.043 2.5 2.044 DAX 695.619 0.014 2.5 23.727 DOW 245.713 0.009 2.5 5.711 DX -68.693 0.010 2.5 -1.782 EUR -0.370 0.010 2.5 -0.010 EURIBOR-ICE 412.768 0.014 2.5 14.079 EUROSTX 196.024 0.014 2.5 6.686 FEEDCOW -25.245 0.013 2.5 -0.837 GASOIL 9.843 0.017 2.5 0.427 GASOLINE -0.907 0.017 2.5 -0.039 GAS_US_mini -241.907 0.043 2.5 -26.196 GBP 26.772 0.010 2.5 0.695 GOLD_micro -141.265 0.014 2.5 -4.818 HEATOIL -4.306 0.017 2.5 -0.187 JGB-SGX-mini 132.365 0.043 2.5 14.334 JPY 0.790 0.010 2.5 0.020 LEANHOG 3.762 0.024 2.5 0.229 LIVECOW -56.954 0.013 2.5 -1.887 LUMBER-new -24.469 0.009 2.5 -0.522 MILK -246.530 0.009 2.5 -5.280 MXP 229.906 0.059 2.5 33.745 NASDAQ_micro 81.286 0.009 2.5 1.889 NIKKEI 66.293 0.043 2.5 7.179 NZD 91.015 0.010 2.5 2.362 OAT 88.060 0.014 2.5 3.004 OATIES -139.743 0.010 2.5 -3.400 OJ 9.930 0.009 2.5 0.213 PALLAD 7.371 0.014 2.5 0.251 PLAT 48.619 0.014 2.5 1.658 REDWHEAT -122.408 0.005 2.5 -1.624 RICE 51.380 0.010 2.5 1.250 ROBUSTA 93.361 0.005 2.5 1.090 RUSSELL 40.481 0.013 2.5 1.341 SHATZ -56.159 0.004 2.5 -0.569 SILVER-mini -11.068 0.014 2.5 -0.378 SMI 50.792 0.014 2.5 1.732 SOFR 29.768 0.024 2.5 1.809 SOYBEAN -69.835 0.004 2.5 -0.650 SOYMEAL -98.647 0.004 2.5 -0.917 SOYOIL -85.790 0.004 2.5 -0.799 SP400 0.688 0.013 2.5 0.023 SP500_micro 97.856 0.009 2.5 2.274 SUGAR11 -94.451 0.009 2.5 -2.009 US10 -7.234 0.005 2.5 -0.092 US10U 20.582 0.005 2.5 0.261 US2 -59.816 0.005 2.5 -0.758 US20 17.592 0.005 2.5 0.223 US30 10.043 0.005 2.5 0.127 US5 -40.848 0.005 2.5 -0.518 VIX -179.106 0.099 2.5 -44.212 WHEAT -136.898 0.005 2.5 -1.816 ===================== Position diags ===================== AUD 2.52 BITCOIN 43.50 BOBL 1.57 BTP 2.24 BUND 0.76 BUXL 0.30 CAC 3.07 CAD 3.82 CANOLA 9.27 CHF 1.91 COCOA 2.36 COFFEE 0.32 COPPER 4.58 CORN 5.07 COTTON2 1.86 CRUDE_W 4.23 DAX 13.81 DOW 9.53 DX 2.48 EUR 1.64 EURIBOR-ICE 10.88 EUROSTX 4.62 FEEDCOW 1.20 GASOIL 1.47 GASOLINE 1.10 GAS_US_mini 20.87 GBP 2.58 GOLD_micro 9.28 HEATOIL 1.05 JGB-SGX-mini 19.49 JPY 1.83 LEANHOG 5.57 LIVECOW 2.23 LUMBER-new 4.79 MILK 2.64 MXP 32.92 NASDAQ_micro 4.25 NIKKEI 24.33 NZD 2.95 OAT 2.51 OATIES 2.80 OJ 0.99 PALLAD 0.48 PLAT 2.13 REDWHEAT 1.01 RICE 3.60 ROBUSTA 1.04 RUSSELL 12.54 SHATZ 4.49 SILVER-mini 1.61 SMI 2.13 SOFR 14.47 SOYBEAN 0.78 SOYMEAL 0.81 SOYOIL 0.91 SP400 0.55 SP500_micro 7.01 SUGAR11 2.06 US10 1.18 US10U 0.87 US2 1.98 US20 0.58 US30 0.39 US5 1.76 VIX 23.07 WHEAT 1.27 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 1.2 0.9 1.4 3.0 3 BITCOIN 39.0 34.6 43.3 49.0 49 BOBL 0.4 0.2 0.5 0.0 0 BTP 2.3 2.1 2.5 3.0 3 BUND 0.6 0.5 0.7 0.0 0 BUXL 0.2 0.2 0.2 2.0 2 CAC 3.0 2.7 3.3 0.0 0 CAD 1.4 1.0 1.7 2.0 2 CANOLA -18.5 -19.5 -17.6 -6.0 -6 CHF -0.8 -1.0 -0.7 -4.0 -4 COCOA 3.6 3.4 3.9 6.0 6 COFFEE 0.1 0.0 0.1 0.0 0 COPPER 0.7 0.2 1.1 3.0 3 CORN -9.5 -10.1 -9.0 -6.0 -6 COTTON2 -3.4 -3.6 -3.2 -4.0 -4 CRUDE_W 2.0 1.6 2.5 2.0 2 DAX 23.7 22.3 25.1 0.0 0 DOW 5.7 4.8 6.7 5.0 5 DX -1.8 -2.0 -1.5 NaN 0 EUR -0.0 -0.2 0.2 0.0 0 EURIBOR-ICE 14.1 13.0 15.2 6.0 6 EUROSTX 6.7 6.2 7.1 16.0 16 FEEDCOW -0.8 -1.0 -0.7 -1.0 -1 GASOIL 0.4 0.3 0.6 0.0 0 GASOLINE -0.0 -0.1 0.1 0.0 0 GAS_US_mini -26.2 -28.3 -24.1 -25.0 -25 GBP 0.7 0.4 1.0 0.0 0 GOLD_micro -4.8 -5.7 -3.9 -21.0 -21 HEATOIL -0.2 -0.3 -0.1 -1.0 -1 JGB-SGX-mini 14.3 12.4 16.3 9.0 9 JPY 0.0 -0.2 0.2 1.0 1 LEANHOG 0.2 -0.3 0.8 1.0 1 LIVECOW -1.9 -2.1 -1.7 -1.0 -1 LUMBER-new -0.5 -1.0 -0.0 NaN 0 MILK -5.3 -5.5 -5.0 NaN 0 MXP 33.7 30.5 37.0 38.0 38 NASDAQ_micro 1.9 1.5 2.3 12.0 12 NIKKEI 7.2 4.7 9.6 9.0 9 NZD 2.4 2.1 2.7 4.0 4 OAT 3.0 2.8 3.3 0.0 0 OATIES -3.4 -3.7 -3.1 NaN 0 OJ 0.2 0.1 0.3 NaN 0 PALLAD 0.3 0.2 0.3 0.0 0 PLAT 1.7 1.4 1.9 1.0 1 REDWHEAT -1.6 -1.7 -1.5 -3.0 -3 RICE 1.3 0.9 1.6 NaN 0 ROBUSTA 1.1 1.0 1.2 3.0 3 RUSSELL 1.3 0.1 2.6 -1.0 -1 SHATZ -0.6 -1.0 -0.1 NaN 0 SILVER-mini -0.4 -0.5 -0.2 NaN 0 SMI 1.7 1.5 1.9 9.0 9 SOFR 1.8 0.4 3.3 NaN 0 SOYBEAN -0.6 -0.7 -0.6 -1.0 -1 SOYMEAL -0.9 -1.0 -0.8 -2.0 -2 SOYOIL -0.8 -0.9 -0.7 -3.0 -3 SP400 0.0 -0.0 0.1 0.0 0 SP500_micro 2.3 1.6 3.0 0.0 0 SUGAR11 -2.0 -2.2 -1.8 -2.0 -2 US10 -0.1 -0.2 0.0 -10.0 -10 US10U 0.3 0.2 0.3 0.0 0 US2 -0.8 -1.0 -0.6 NaN 0 US20 0.2 0.2 0.3 0.0 0 US30 0.1 0.1 0.2 6.0 6 US5 -0.5 -0.7 -0.3 -1.0 -1 VIX -44.2 -46.5 -41.9 -17.0 -17 WHEAT -1.8 -1.9 -1.7 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 3.7 3.7 1.3 1.0 3.1 1.3 4.2 1.3 1.0 3.1 1.3 3.8 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 0.3 0.6 0.4 0.0 0.0 0.1 0.1 0.0 0.1 0.1 -0.0 0.1 -0.3 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.1 0.0 0.2 -0.1 0.2 0.4 0.0 0.1 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 0.1 0.1 -0.5 -0.4 -0.1 0.2 BITCOIN 0.1 0.5 0.6 0.0 0.1 0.0 0.1 0.0 0.0 0.1 0.5 0.1 0.6 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.1 0.4 0.2 -2.7 0.1 0.0 0.2 0.0 0.1 0.1 -0.1 -0.5 0.6 0.6 0.6 -0.2 0.5 0.0 0.7 BOBL 0.6 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 -0.1 0.1 0.1 -0.4 -0.1 -0.3 -0.2 0.2 0.1 0.2 -0.1 0.2 1.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.7 0.1 0.3 0.1 0.2 -0.6 -0.7 -0.2 -0.6 BTP 0.6 0.6 0.3 0.0 0.0 0.0 0.0 -0.1 0.1 0.1 0.2 0.2 0.2 0.2 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.2 0.0 0.2 -1.1 0.0 0.0 0.1 0.1 0.0 0.1 0.7 0.3 0.4 0.4 0.3 -0.5 -0.7 0.2 0.2 BUND 0.6 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 -0.2 0.1 0.1 0.1 0.1 0.0 0.0 0.2 0.1 0.2 -0.1 0.2 0.8 0.0 0.0 0.0 0.0 -0.0 0.0 0.4 0.1 0.4 0.2 0.2 -0.7 -0.7 -0.3 -0.2 BUXL 0.6 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 -0.3 0.1 0.1 0.0 0.0 0.0 0.0 0.2 0.1 0.2 -0.2 0.2 0.1 0.0 0.0 0.0 0.0 -0.0 0.1 0.2 0.1 0.5 0.4 0.2 -0.7 -0.7 -0.3 0.4 CAC 0.6 0.6 -0.1 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.3 0.2 0.7 0.2 0.2 -0.2 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.3 0.2 -1.1 0.1 0.0 0.1 0.1 0.1 0.1 0.1 -0.4 0.2 -0.1 0.0 0.3 0.2 0.6 0.4 CAD 0.6 0.6 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 -0.2 0.2 -0.4 0.2 0.1 -0.0 -0.0 -0.0 -0.0 0.2 0.0 0.2 -0.2 0.2 0.3 0.1 0.1 0.0 0.1 -0.1 0.1 0.0 0.5 0.6 -0.2 -0.2 -0.6 -0.7 -0.0 -0.5 CANOLA -0.5 -0.2 -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 -0.2 0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.5 -0.5 -0.6 -0.5 -0.4 -0.2 0.0 CHF 0.4 0.6 -0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.0 0.2 0.3 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.2 0.1 0.2 -1.3 0.1 0.1 0.1 0.1 0.0 0.1 -1.1 0.4 0.4 -0.1 -0.3 -0.7 -0.7 -0.7 -0.7 COCOA -0.1 0.6 0.6 -0.0 -0.0 -0.2 -0.0 -0.3 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.3 0.0 0.1 0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.3 0.0 0.4 0.1 0.3 0.3 0.6 0.6 0.6 0.5 -0.0 0.7 0.6 COFFEE 0.3 0.6 0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 0.1 0.1 -0.2 0.1 0.1 0.2 0.1 0.2 0.1 0.1 0.1 0.1 0.0 0.2 -2.4 0.1 0.0 0.1 0.0 0.0 0.1 0.6 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.4 COPPER 0.1 0.6 0.1 0.0 0.1 0.0 0.1 0.0 0.0 0.1 -0.1 0.1 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 -0.9 0.0 0.0 0.0 0.1 -0.0 0.1 0.1 0.0 0.3 0.5 0.1 -0.2 -0.4 0.2 -0.3 CORN -0.0 0.1 -0.2 -0.0 -0.0 -0.2 -0.0 -0.3 -0.0 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.2 -0.0 -0.2 -0.1 -0.1 -0.2 -0.1 -0.5 -0.1 -2.7 -0.1 -0.1 -0.2 -0.1 -0.4 -0.1 -0.2 -0.5 -0.1 -0.2 0.3 -0.2 -0.3 0.2 0.1 COTTON2 0.2 -0.3 -0.4 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -2.7 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.5 -0.0 -0.6 -0.3 -0.5 -0.5 -0.1 0.1 CRUDE_W -0.2 -0.5 -0.3 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 0.2 0.0 0.3 -0.1 -0.1 0.1 0.2 0.2 0.2 -0.1 0.0 0.0 0.2 -0.1 -0.6 -0.0 -0.0 0.1 0.0 0.2 -0.0 -0.9 0.1 0.2 0.3 0.5 0.7 0.4 0.7 0.4 DAX 0.6 0.6 0.0 0.1 0.0 0.1 0.1 0.0 0.1 -0.1 0.3 0.2 0.6 0.2 0.2 -0.3 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.3 0.2 2.6 0.1 -0.0 0.1 0.0 0.1 0.1 -0.4 -0.5 0.3 0.5 0.2 0.2 0.2 0.5 0.5 DOW 0.6 0.6 0.2 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.3 0.2 0.5 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.3 0.2 -1.6 0.1 0.0 0.1 0.1 0.1 0.1 -0.4 0.5 0.6 0.6 0.3 -0.4 -0.1 -0.4 -0.2 DX -0.2 -0.6 -0.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.0 -0.1 0.1 -0.1 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.8 -0.5 -0.6 -0.6 -0.1 0.4 0.2 0.5 0.5 EUR -0.1 0.6 0.0 0.0 0.0 0.1 0.1 0.0 0.1 0.1 -0.1 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.0 0.1 1.3 0.0 0.0 0.0 0.1 -0.0 0.0 -0.4 0.1 -0.4 -0.1 -0.2 -0.5 -0.4 -0.5 -0.2 EURIBOR-ICE 0.6 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.2 0.1 -0.0 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.0 0.2 2.2 0.0 0.0 0.0 0.0 0.0 0.0 -0.4 0.2 0.5 0.3 0.5 -0.7 -0.7 0.2 0.7 EUROSTX 0.6 0.6 0.1 0.1 0.0 0.1 0.1 0.0 0.1 -0.2 0.3 0.2 0.7 0.2 0.2 0.1 -0.0 -0.0 -0.0 0.2 0.2 0.1 0.4 0.2 0.5 0.1 -0.0 0.1 0.0 0.1 0.1 0.3 -0.5 -0.0 0.1 0.3 0.1 0.2 0.3 0.5 FEEDCOW 0.2 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 0.1 -0.0 -0.0 -0.1 -0.1 -0.4 -0.2 -0.3 -0.1 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.0 0.0 0.0 -0.0 -1.1 0.3 0.1 -0.5 -0.4 0.4 0.1 0.7 0.3 GASOIL -0.2 -0.6 -0.3 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 0.1 0.0 0.2 -0.1 -0.1 0.2 0.4 0.3 0.4 -0.1 0.0 0.1 0.2 -0.1 1.1 -0.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.2 0.1 0.1 0.1 -0.3 -0.1 -0.6 -0.2 GASOLINE -0.0 -0.3 -0.6 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 0.0 0.1 0.2 -0.0 -0.1 -0.4 0.4 -0.1 0.3 -0.1 -0.0 0.0 0.1 -0.0 -2.7 -0.0 -0.0 -0.0 0.0 0.2 0.0 0.1 0.2 0.4 0.5 -0.2 0.7 0.4 0.7 0.3 GAS_US_mini -0.5 -0.6 0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.3 -0.1 -0.5 -0.1 -0.1 0.2 -0.4 -0.4 -0.4 -0.2 -0.2 -0.1 -0.5 -0.2 2.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.2 -0.5 -0.4 -0.4 -0.6 0.2 -0.7 0.0 GBP 0.1 0.6 -0.1 0.0 0.0 0.1 0.1 0.0 0.1 0.0 -0.0 0.1 0.3 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.2 -0.3 -0.3 -0.0 -0.3 -0.4 0.1 -0.3 0.5 GOLD_micro -0.1 0.3 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.0 0.2 0.1 0.1 -0.2 -0.3 -0.3 -0.3 0.1 0.1 0.1 0.1 0.1 -0.6 0.0 0.0 0.1 0.0 0.0 0.0 -0.8 0.0 0.4 0.1 0.3 -0.5 -0.7 -0.5 -0.7 HEATOIL -0.2 -0.6 -0.4 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 0.1 0.0 0.2 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 -0.0 0.0 0.2 -0.1 -2.6 -0.0 0.0 0.0 0.0 0.2 -0.0 0.3 0.1 0.1 0.2 -0.1 0.5 -0.0 0.3 -0.2 JGB-SGX-mini 0.2 0.6 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.4 0.3 0.3 0.1 0.0 0.1 0.0 0.1 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 1.1 -0.0 -0.2 -0.1 -0.0 0.1 -0.7 0.4 0.7 JPY 0.6 0.6 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.2 0.1 -0.3 0.1 0.0 -0.3 -0.3 -0.3 -0.3 0.0 -0.0 0.1 -0.3 0.1 2.7 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.1 -0.2 0.3 -0.2 -0.2 -0.3 -0.7 -0.1 -0.7 LEANHOG 0.0 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.1 0.1 -0.3 -0.1 -0.1 -0.4 0.1 -0.4 0.0 -0.1 -0.1 0.0 -0.3 -0.0 1.9 -0.0 0.0 -0.1 0.0 -0.3 -0.0 0.7 0.1 0.2 0.0 0.0 -0.4 -0.2 0.2 0.4 LIVECOW -0.1 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 0.0 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.3 0.2 -0.1 -0.6 -0.3 0.1 -0.3 0.3 -0.1 LUMBER-new 0.3 0.7 0.3 -0.1 -0.1 -0.2 -0.0 -0.3 -0.0 0.2 -0.2 0.3 -0.8 0.3 0.2 -0.2 -0.3 -0.3 -0.3 0.2 0.1 0.2 -0.3 0.3 NaN 0.1 0.2 0.1 0.2 -0.0 0.1 -1.2 0.6 0.8 0.7 0.7 -0.7 -0.8 -0.4 -0.7 MILK -0.5 -0.6 -0.5 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.4 -0.2 -0.6 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.2 -0.5 -0.2 1.2 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -1.1 -0.5 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.1 0.5 -0.3 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.3 0.2 0.6 0.2 0.1 0.3 0.3 0.3 0.3 0.1 0.1 0.1 0.5 0.2 -2.7 0.0 0.1 0.1 0.1 0.2 0.1 1.1 -0.1 -0.5 0.0 -0.2 0.3 0.5 0.7 0.7 NASDAQ_micro 0.5 0.6 0.1 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.4 0.1 0.5 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 -0.3 0.4 0.1 0.2 0.3 0.4 -0.2 0.4 -0.3 NIKKEI -0.3 0.3 -0.2 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.4 0.1 0.6 0.1 0.1 0.3 0.2 0.2 0.2 0.1 0.1 0.1 0.5 0.1 -1.7 0.0 0.0 0.2 0.0 0.3 0.0 1.1 -0.2 -0.6 -0.6 -0.0 -0.3 -0.0 -0.3 0.1 NZD 0.4 0.6 0.4 0.0 0.0 0.1 0.1 0.0 0.1 0.1 0.0 0.2 0.0 0.2 0.1 0.0 0.0 0.0 0.0 0.2 0.1 0.2 -0.1 0.2 0.1 0.0 0.0 0.1 0.1 -0.0 0.1 0.2 0.0 0.2 0.2 0.2 -0.2 -0.4 -0.1 0.2 OAT 0.6 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 -0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.2 -0.1 0.2 1.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.7 0.2 0.4 0.3 0.3 -0.7 -0.7 -0.0 0.2 OATIES 0.3 -0.3 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -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 -0.8 -0.1 -0.2 -0.4 -0.5 0.1 0.3 0.4 0.7 OJ -0.6 -0.4 -0.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.3 -0.2 0.6 -0.1 0.1 0.2 0.4 0.3 0.4 0.1 0.2 -0.2 0.5 -0.1 -2.7 0.0 -0.1 0.2 -0.1 0.4 -0.0 1.1 -0.5 -0.6 -0.1 0.6 0.3 0.4 0.7 0.7 PALLAD 0.6 0.5 0.6 0.0 0.0 0.0 0.0 0.0 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 0.7 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.3 0.5 0.3 -0.2 -0.3 -0.1 -0.2 0.2 -0.0 PLAT 0.3 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 0.1 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.1 -0.1 0.1 1.8 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 0.3 0.3 0.1 0.1 -0.2 -0.4 0.5 -0.2 REDWHEAT 0.5 0.3 -0.4 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.3 -0.0 -0.5 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.4 -0.1 -1.4 -0.0 -0.0 -0.2 -0.0 -0.2 -0.0 -0.1 -0.5 0.3 -0.3 -0.4 -0.7 -0.7 -0.7 -0.5 RICE -0.2 0.5 0.3 -0.0 -0.0 -0.2 -0.0 -0.3 -0.0 0.2 0.5 0.2 0.5 0.2 0.2 -0.2 0.0 -0.3 -0.1 0.2 0.2 0.1 0.3 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.5 -0.1 0.6 0.6 -0.0 -0.5 0.5 -0.1 ROBUSTA 0.6 0.6 -0.3 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.1 0.3 0.1 0.5 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.3 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 1.1 0.5 0.6 0.6 0.6 -0.4 -0.5 0.0 0.0 RUSSELL 0.6 0.6 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.1 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.0 0.2 -0.0 0.2 -0.2 0.0 0.0 0.0 0.1 0.0 0.1 -0.1 0.5 0.5 0.1 -0.1 -0.5 -0.5 -0.7 -0.6 SHATZ 0.6 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 0.1 -0.1 0.2 1.2 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 0.0 0.3 -0.1 0.1 -0.4 -0.7 -0.2 -0.7 SILVER-mini -0.3 0.4 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.0 -0.0 0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 0.0 0.0 0.7 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.1 -0.1 -0.1 -0.0 -0.6 -0.7 0.1 -0.6 SMI 0.6 0.6 -0.2 0.1 0.0 0.1 0.1 0.0 0.1 -0.1 -0.1 0.2 0.1 0.2 0.2 0.2 0.1 0.1 0.1 0.2 0.0 0.1 -0.1 0.2 1.3 0.1 0.0 0.0 0.0 -0.0 0.1 0.9 -0.3 -0.1 -0.5 -0.2 -0.0 -0.2 0.1 -0.2 SOFR 0.6 0.6 0.4 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 0.0 -0.0 0.0 -0.0 0.1 0.0 0.1 -0.1 0.1 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.0 -0.1 0.0 0.1 -0.7 -0.7 -0.2 -0.3 SOYBEAN -0.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.1 0.2 -0.2 0.2 -0.1 -0.1 0.3 0.3 0.3 0.3 -0.0 0.0 -0.1 0.0 -0.1 -2.7 0.0 -0.1 0.1 -0.1 0.1 -0.0 1.1 -0.4 -0.2 0.4 0.4 -0.7 -0.7 -0.7 -0.6 SOYMEAL -0.6 -0.2 0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.0 0.2 0.3 0.3 0.3 -0.1 0.0 -0.1 0.1 -0.1 -2.7 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.1 -0.4 -0.6 -0.0 0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.0 0.0 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.0 0.2 0.1 0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.8 -0.2 0.1 0.0 -0.4 -0.4 -0.0 0.0 0.4 SP400 0.6 0.6 -0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.0 0.2 -1.2 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.4 0.4 0.1 -0.0 -0.5 -0.3 -0.6 -0.7 SP500_micro 0.6 0.6 0.0 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.3 0.2 0.5 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.3 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 -0.4 0.5 0.2 0.3 0.1 0.1 -0.2 0.2 -0.3 SUGAR11 -0.6 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.3 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.2 -0.0 -0.2 0.1 -0.2 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.5 -0.6 -0.6 -0.1 -0.0 -0.4 0.4 0.2 US10 0.6 0.6 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.2 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.2 0.1 0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.6 0.0 -0.0 0.0 -0.0 -0.7 -0.7 -0.3 0.1 US10U 0.6 0.6 0.4 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 0.1 0.0 0.0 0.0 0.1 0.0 0.1 -0.2 0.2 -0.3 0.0 0.0 0.0 0.0 -0.1 0.0 0.2 0.0 -0.0 0.0 -0.0 -0.7 -0.7 0.1 0.5 US2 0.6 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 -0.0 0.1 -0.2 0.1 1.0 0.0 0.0 0.0 0.0 -0.1 0.0 -1.1 0.0 -0.0 -0.1 0.1 -0.5 -0.7 -0.3 -0.7 US20 0.6 0.6 0.3 0.0 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 -0.0 0.1 0.0 0.1 -0.2 0.2 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 0.1 -0.1 -0.5 -0.7 0.5 0.7 US30 0.6 0.6 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 -0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.2 0.2 -0.2 0.0 0.0 0.0 0.0 -0.1 0.0 -0.3 -0.1 0.0 0.0 -0.1 -0.3 -0.6 0.7 0.7 US5 0.6 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.0 0.1 -0.1 0.1 0.4 0.0 0.0 0.0 0.0 -0.0 0.0 -0.8 0.0 -0.0 -0.0 0.1 -0.7 -0.7 -0.7 -0.4 VIX -0.0 -1.0 0.5 -0.1 0.1 -0.3 0.0 -0.5 -0.0 0.2 -0.9 0.1 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 0.0 -0.9 -0.2 NaN -0.1 0.1 -0.3 0.0 -0.6 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.4 0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.4 0.1 -0.6 0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 0.0 -0.5 0.0 -0.4 -0.0 0.0 -0.1 0.0 -0.3 0.0 -0.8 -0.3 0.5 -0.1 -0.0 -0.7 -0.7 -0.7 -0.7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 9.5 20.0 11.5 3.8 4.6 2.1 5.0 1.2 4.9 13.0 -1.7 13.7 -7.5 13.8 11.4 -2.2 -2.9 -2.7 -2.9 12.1 3.3 18.6 -4.2 17.1 2.9 4.3 6.0 1.4 6.4 -1.0 5.9 -1.0 5.9 2.4 2.0 2.5 -13.7 -12.9 -4.5 6.0 BITCOIN 2.9 14.0 19.6 2.3 7.9 0.5 6.6 0.2 4.0 15.0 20.0 13.7 17.7 17.4 20.0 -9.6 -6.2 -8.9 -7.8 20.0 20.0 15.3 15.9 20.0 -20.0 7.9 1.8 6.6 3.1 4.0 5.9 -1.9 -20.0 20.0 20.0 20.0 -5.6 16.0 1.0 20.0 BOBL 20.0 20.0 20.0 2.1 1.7 0.4 2.7 -1.0 3.0 7.9 2.7 8.6 -3.8 8.8 8.0 -20.0 -7.1 -14.3 -10.0 14.7 6.4 17.6 -2.8 18.9 8.2 2.8 2.6 1.3 3.3 -0.2 3.6 -12.4 3.6 9.2 2.1 6.9 -17.2 -20.0 -5.9 -17.8 BTP 20.0 20.0 10.1 3.4 2.7 0.6 4.4 -1.6 4.9 12.8 8.3 14.1 5.8 14.6 13.3 5.2 7.3 6.2 6.4 20.0 12.7 20.0 1.8 20.0 -8.2 4.5 4.5 2.3 5.6 0.6 5.8 14.0 14.6 10.9 13.8 9.6 -13.6 -20.0 6.1 5.0 BUND 20.0 20.0 19.0 2.4 1.9 0.4 3.0 -1.1 3.4 8.7 3.6 9.7 -4.3 10.1 9.0 4.0 4.2 1.4 1.8 17.4 7.1 20.0 -3.5 20.0 5.7 3.1 2.4 1.4 3.6 -0.2 4.0 7.3 4.8 11.1 5.8 7.7 -20.0 -20.0 -9.2 -5.9 BUXL 20.0 20.0 17.5 2.8 2.3 0.5 3.6 -1.3 4.0 8.7 3.3 11.1 -7.0 11.9 9.9 0.2 0.7 0.3 0.5 20.0 6.4 20.0 -6.6 20.0 1.1 3.6 2.1 1.3 4.0 -0.6 4.7 3.4 4.1 14.3 10.8 6.4 -20.0 -20.0 -7.9 10.5 CAC 20.0 20.0 -2.5 6.3 3.1 2.7 5.9 1.0 7.9 1.6 11.5 20.0 19.7 20.0 20.0 -8.8 -4.0 -7.4 -6.1 20.0 15.3 20.0 12.8 20.0 -8.2 7.3 1.1 3.4 5.5 2.2 8.9 1.1 -17.2 6.4 -1.9 0.9 9.4 6.6 18.4 12.2 CAD 20.0 17.1 0.4 6.0 7.2 3.3 7.8 1.9 7.6 20.0 -5.9 20.0 -10.7 20.0 13.5 -2.0 -2.2 -2.3 -2.4 15.1 0.6 20.0 -7.1 20.0 2.5 5.2 11.5 0.3 12.4 -2.0 10.2 0.0 20.0 18.9 -6.0 -7.4 -17.9 -19.7 -1.3 -14.5 CANOLA -15.5 -6.4 -20.0 -1.5 -1.9 -2.4 -0.6 -3.2 -0.7 -8.2 -5.3 -9.0 -4.9 -8.6 -9.1 -12.4 0.2 -10.8 -6.7 -12.0 -10.5 -9.0 -8.0 -11.3 -20.0 -3.4 -1.5 -3.1 -2.3 -2.7 -3.0 -2.4 -9.0 -15.4 -14.0 -19.6 -15.0 -10.6 -4.6 1.5 CHF 13.8 20.0 -3.5 5.8 7.0 3.2 7.5 1.9 7.4 19.8 0.7 20.0 8.7 20.0 17.3 -16.7 -15.4 -16.8 -16.2 20.0 9.0 20.0 4.4 20.0 -9.8 6.1 9.9 2.4 9.8 1.0 8.8 -20.0 18.5 13.2 -1.9 -10.2 -20.0 -20.0 -20.0 -20.0 COCOA -2.1 18.1 18.7 -3.8 -4.9 -6.4 -1.7 -8.5 -1.8 20.0 20.0 20.0 20.0 20.0 20.0 12.8 0.8 7.1 3.1 20.0 20.0 20.0 20.0 20.0 -20.0 9.2 3.2 10.2 4.4 10.2 6.8 5.6 14.1 20.0 20.0 20.0 16.2 -0.6 20.0 17.7 COFFEE 8.7 17.8 20.0 -2.2 -2.8 -3.6 -0.9 -4.8 -1.0 0.9 4.3 8.3 -4.8 11.2 12.2 10.3 4.2 8.3 5.7 13.6 7.5 11.7 0.6 14.8 -18.1 4.8 1.7 3.1 3.6 1.1 4.8 10.9 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -11.9 COPPER 3.8 18.2 3.0 1.8 6.3 0.4 5.2 0.2 3.2 11.9 -2.8 12.8 -3.5 13.7 10.7 -4.9 -4.4 -6.0 -5.6 9.1 1.7 12.0 -3.8 12.3 -7.1 4.5 4.5 1.4 5.6 -1.0 5.7 1.3 1.2 8.8 16.2 2.8 -6.2 -11.9 5.5 -9.6 CORN -1.2 1.7 -6.3 -3.8 -4.8 -6.3 -1.6 -8.3 -1.8 -13.2 -20.0 -15.9 -20.0 -16.4 -15.5 -9.0 -1.2 -7.6 -5.7 -9.9 -18.4 -12.2 -20.0 -9.8 -20.0 -5.0 -10.3 -6.7 -12.2 -11.8 -8.1 -3.3 -20.0 -3.5 -6.2 8.7 -4.6 -8.6 6.9 3.3 COTTON2 6.7 -10.2 -12.9 -2.8 -3.6 -4.7 -1.2 -6.2 -1.3 -11.1 -10.0 -9.8 -8.8 -9.5 -13.0 -7.1 -0.0 -6.3 -3.8 -12.6 -11.2 -6.1 -7.6 -8.3 -20.0 -4.9 -1.1 -4.1 -2.1 -1.6 -3.0 -0.6 -19.1 -1.2 -20.0 -8.3 -16.0 -13.6 -2.9 2.3 CRUDE_W -6.1 -15.8 -8.4 -4.2 -0.4 -1.2 -0.2 1.8 -3.1 6.6 6.2 2.0 7.2 -7.4 -10.2 5.8 9.8 8.1 9.3 -6.3 2.1 2.2 9.0 -4.7 -4.4 -2.7 -0.3 1.9 1.3 6.3 -1.8 -16.7 2.5 6.8 10.6 15.5 20.0 12.8 20.0 13.5 DAX 20.0 20.0 1.0 6.0 2.9 2.5 5.6 1.0 7.4 -8.0 11.2 17.7 17.3 20.0 20.0 -14.2 -9.0 -12.0 -10.6 20.0 19.8 16.8 10.9 20.0 19.4 6.8 -0.3 3.3 2.8 1.4 6.9 -6.9 -20.0 10.1 15.8 7.7 6.5 4.7 16.0 15.5 DOW 20.0 20.0 5.2 4.7 2.3 2.0 4.4 0.8 5.9 10.8 12.7 16.1 13.6 19.0 17.6 -10.9 -9.2 -10.6 -10.3 20.0 20.0 20.0 9.7 20.0 -12.3 5.9 2.2 3.3 4.9 1.9 6.9 -7.0 20.0 20.0 19.4 9.0 -10.8 -4.4 -13.1 -6.5 DX -7.2 -20.0 -3.5 2.9 3.5 1.6 3.8 0.9 3.7 -9.7 2.4 -9.1 -3.5 -9.8 -7.6 5.2 6.0 6.2 6.3 -8.3 -2.0 -11.9 2.0 -11.6 -19.9 -2.8 -3.5 -0.6 -3.7 1.0 -3.8 14.6 -20.0 -20.0 -20.0 -2.5 12.4 4.8 16.4 13.7 EUR -1.7 18.5 0.6 3.7 4.5 2.1 4.8 1.2 4.7 12.4 -2.5 10.7 4.8 10.7 8.7 -5.5 -6.7 -6.0 -6.3 6.7 1.8 11.4 -1.3 9.4 10.0 3.0 5.1 0.8 4.9 -0.5 4.2 -7.2 4.1 -13.2 -3.4 -6.8 -16.4 -12.9 -14.7 -5.6 EURIBOR-ICE 20.0 20.0 20.0 1.9 1.6 0.3 2.5 -0.9 2.8 7.3 5.6 8.1 -0.5 8.3 8.3 -1.4 -6.1 -3.3 -5.1 19.2 11.5 19.8 1.2 20.0 16.8 2.8 2.3 1.7 2.9 0.3 3.2 -7.9 7.9 14.0 10.4 15.7 -20.0 -20.0 6.1 20.0 EUROSTX 19.7 20.0 2.0 6.0 2.9 2.6 5.6 1.0 7.5 -17.9 12.6 18.3 19.1 20.0 20.0 5.6 -1.8 -0.5 -2.3 20.0 19.5 15.8 14.9 20.0 3.4 7.3 -0.5 4.1 3.3 2.5 7.4 5.9 -20.0 -1.2 3.9 8.7 3.6 7.1 9.6 15.3 FEEDCOW 6.0 -20.0 -20.0 -1.5 -1.9 -2.5 -0.6 -3.3 -0.7 5.6 -6.1 5.8 -0.1 -3.7 -7.4 -6.6 -20.0 -9.4 -15.5 -12.7 -10.5 4.6 -2.0 -4.3 -1.2 -2.5 1.1 -1.8 1.1 0.7 -0.6 -20.0 12.6 2.3 -15.7 -13.1 11.9 2.1 20.0 9.7 GASOIL -6.3 -20.0 -10.3 -3.5 -0.3 -1.0 -0.2 1.4 -2.6 11.0 5.5 2.9 6.2 -5.6 -10.6 10.9 20.0 16.0 19.1 -8.4 0.1 6.3 8.8 -4.7 8.2 -2.8 3.6 0.5 2.4 3.4 -1.6 1.1 10.2 2.4 3.4 4.5 -8.0 -1.8 -16.5 -7.3 GASOLINE -0.3 -10.2 -20.0 -3.8 -0.3 -1.1 -0.2 1.6 -2.8 6.7 0.5 5.2 4.2 -1.4 -11.4 -20.0 20.0 -3.1 13.1 -6.7 -3.5 4.9 4.7 -1.1 -20.0 -2.7 -0.5 -0.9 2.5 4.3 0.1 1.1 7.0 13.1 15.9 -5.2 20.0 11.7 20.0 9.1 GAS_US_mini -14.0 -20.0 6.4 -2.7 -0.2 -0.8 -0.1 1.1 -2.0 8.8 -11.7 -6.2 -13.1 -10.7 -11.6 11.2 -20.0 -20.0 -20.0 -20.0 -18.9 -6.9 -20.0 -17.9 16.5 -4.1 0.5 -2.9 -1.3 -1.8 -3.5 -20.0 -10.3 -15.3 -12.4 -10.9 -16.8 5.2 -20.0 0.9 GBP 2.9 19.6 -3.9 4.0 4.8 2.2 5.2 1.3 5.1 3.9 -1.8 4.7 7.5 11.7 9.6 -0.3 -0.7 -0.5 -0.5 8.9 3.8 6.2 1.2 9.7 1.3 3.6 1.6 1.4 2.6 -0.1 4.0 2.9 -12.6 -8.9 -0.4 -8.8 -11.9 1.6 -8.6 16.0 GOLD_micro -4.4 10.4 6.1 1.4 4.9 0.3 4.0 0.1 2.5 12.4 3.5 3.0 4.8 5.0 9.4 -12.4 -13.9 -14.0 -14.4 8.1 5.2 7.5 2.4 7.5 -4.8 3.3 3.7 2.2 2.9 1.4 3.0 -14.6 0.2 11.0 4.2 8.9 -16.1 -20.0 -14.5 -20.0 HEATOIL -7.1 -19.8 -12.4 -3.8 -0.3 -1.1 -0.2 1.6 -2.8 7.4 4.1 1.6 4.9 -7.1 -12.0 17.6 20.0 20.0 20.0 -10.0 -1.7 3.1 7.3 -6.2 -19.5 -3.3 0.6 0.3 1.5 4.8 -1.8 5.4 4.9 3.4 5.5 -1.8 13.9 -0.5 9.9 -6.2 JGB-SGX-mini 5.4 20.0 -1.9 1.7 1.3 0.4 2.1 -0.7 2.4 4.4 0.7 5.2 2.4 5.9 5.1 6.9 18.8 13.5 15.3 5.0 1.9 6.1 0.5 6.7 -1.9 1.6 1.3 0.3 1.9 -0.4 2.2 20.0 -1.2 -7.5 -4.6 -1.2 2.6 -20.0 12.9 19.6 JPY 20.0 20.0 17.9 2.4 2.9 1.3 3.1 0.8 3.1 5.1 -6.3 6.7 -8.3 7.4 3.6 -14.4 -16.2 -16.7 -17.0 4.5 -3.4 8.1 -9.6 9.3 20.0 1.6 1.7 -1.3 3.0 -3.2 3.4 -20.0 -6.3 8.6 -5.4 -7.5 -8.3 -20.0 -2.1 -20.0 LEANHOG 0.7 -4.5 -6.3 -2.3 -2.9 -3.8 -1.0 -5.0 -1.1 5.3 -3.2 6.1 -8.6 -5.2 -9.0 -20.0 6.9 -20.0 0.5 -8.5 -10.3 1.6 -12.5 -3.8 14.0 -2.4 1.5 -4.9 1.6 -8.4 -0.2 12.7 4.5 6.7 1.4 0.1 -10.7 -6.9 7.1 11.7 LIVECOW -1.7 -20.0 -20.0 -1.7 -2.1 -2.8 -0.7 -3.7 -0.8 -0.4 -5.6 1.1 1.0 -6.0 -8.2 -1.6 -4.4 -7.0 -6.5 -14.6 -10.3 -1.2 -1.3 -8.9 0.2 -3.2 -0.1 -1.8 -0.1 1.0 -1.7 -5.5 6.6 -3.1 -19.7 -10.6 3.9 -8.8 8.6 -2.3 LUMBER-new 8.7 19.9 6.9 -4.2 -5.4 -6.9 -1.8 -7.8 -2.0 20.0 -5.8 20.0 -20.0 20.0 20.0 -10.7 -14.3 -13.6 -14.2 19.6 4.1 20.0 -8.6 20.0 NaN 6.8 16.1 2.1 15.0 -1.2 10.9 -20.0 20.0 20.0 20.0 20.0 -18.0 -20.0 -11.3 -18.2 MILK -14.9 -20.0 -16.5 -2.7 -3.4 -4.5 -1.2 -5.9 -1.3 -15.7 -15.9 -17.4 -16.0 -17.9 -17.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 9.2 -6.2 -6.5 -5.4 -7.3 -5.8 -7.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 1.9 15.0 -9.9 4.5 5.4 2.5 5.9 1.5 5.7 15.4 12.8 15.8 15.4 16.7 13.4 13.9 16.3 14.1 14.9 12.9 11.5 14.9 17.0 14.6 -20.0 4.5 6.0 4.2 5.6 6.5 5.2 20.0 -4.8 -15.3 1.1 -6.2 10.2 16.0 20.0 20.0 NASDAQ_micro 15.9 20.0 4.4 3.8 1.9 1.6 3.6 0.6 4.8 10.7 13.6 13.3 13.1 15.4 14.7 -11.2 -8.9 -10.4 -9.9 20.0 19.8 20.0 17.8 20.0 -20.0 4.9 2.9 3.8 4.7 3.9 5.6 -6.4 18.0 2.2 6.7 8.2 11.0 -7.0 11.1 -9.1 NIKKEI -7.9 10.0 -7.1 4.9 1.0 2.2 3.8 0.9 5.8 9.7 15.8 6.8 16.7 12.6 13.2 15.9 10.8 11.6 10.6 9.5 12.9 6.6 17.9 6.8 -12.8 3.7 3.5 5.7 3.5 8.9 3.0 20.0 -7.1 -20.0 -20.0 -1.4 -10.4 -0.3 -9.0 4.4 NZD 13.7 20.0 12.7 3.9 4.7 2.2 5.1 1.3 5.0 13.7 0.2 14.9 0.3 14.9 12.7 0.2 0.2 0.1 0.1 15.4 5.8 18.3 -2.4 19.4 0.8 4.6 4.7 2.0 5.4 -0.2 5.7 4.2 0.1 6.5 5.5 6.8 -6.1 -12.4 -2.7 6.5 OAT 20.0 20.0 17.9 2.5 2.0 0.4 3.2 -1.2 3.6 9.3 4.8 10.3 -3.9 10.7 9.6 4.6 7.1 5.2 5.8 19.8 8.5 20.0 -2.5 20.0 8.2 3.4 2.6 1.5 3.9 -0.1 4.3 13.3 7.1 12.9 9.2 9.2 -20.0 -20.0 -1.4 7.1 OATIES 8.2 -9.8 -20.0 -1.3 -1.6 -2.1 -0.5 -2.8 -0.6 -1.0 -5.3 -1.4 -4.0 -4.2 -7.0 -0.8 -7.8 -8.2 -10.6 -8.2 -7.3 -2.9 -3.1 -4.6 -20.0 -2.4 -1.7 -2.2 -0.8 -1.0 -1.4 -14.2 -4.1 -5.4 -13.3 -16.8 2.4 8.3 13.2 20.0 OJ -20.0 -13.5 -8.9 -2.5 -3.2 -4.2 -1.1 -5.6 -1.2 -14.3 12.8 -14.8 15.3 -6.5 5.7 9.9 20.0 17.3 20.0 6.6 20.0 -20.0 20.0 -13.3 -20.0 3.0 -9.8 8.0 -6.3 11.2 -2.4 20.0 -20.0 -20.0 -2.5 20.0 9.1 10.9 20.0 20.0 PALLAD 20.0 16.5 18.8 0.9 2.9 0.2 2.4 0.1 1.5 6.6 -6.3 7.0 -8.3 4.7 -0.6 -1.5 -2.3 -1.9 -2.2 0.4 -5.4 15.0 -9.5 8.9 5.6 -0.5 3.2 -1.8 4.1 -2.2 2.1 6.1 20.0 9.9 -6.8 -9.8 -3.2 -7.5 5.2 -1.3 PLAT 8.8 10.8 1.9 1.4 4.6 0.3 3.8 0.1 2.4 12.0 -6.4 12.3 -5.9 11.9 5.3 -3.8 -2.9 -3.5 -3.3 5.6 -0.6 13.3 -3.9 10.7 13.1 2.8 6.7 0.7 6.5 -0.4 5.0 4.7 12.7 9.3 3.8 2.8 -5.5 -10.9 13.6 -4.8 REDWHEAT 13.9 8.4 -13.7 -2.1 -2.7 -3.5 -0.9 -4.6 -1.0 -12.1 -12.1 -0.9 -13.0 -0.6 -8.2 -3.2 -1.3 -4.1 -3.2 -9.6 -14.9 -6.8 -15.5 -5.5 -10.7 -3.8 -4.0 -5.7 -3.1 -5.3 -2.3 -1.0 -20.0 8.8 -8.7 -12.0 -20.0 -20.0 -20.0 -14.0 RICE -5.9 16.2 8.6 -3.5 -4.5 -5.9 -1.5 -7.7 -1.7 19.5 17.8 14.8 13.4 17.6 16.0 -12.1 1.4 -13.5 -6.5 18.9 16.9 16.5 11.9 16.9 -20.0 5.5 6.7 4.8 6.1 3.3 5.2 0.6 19.7 -1.8 20.0 20.0 -0.6 -14.1 14.7 -3.8 ROBUSTA 17.3 17.2 -9.5 -2.1 -2.7 -3.6 -0.9 -4.7 -1.0 6.0 12.7 11.0 12.6 13.0 13.0 20.0 20.0 20.0 20.0 20.0 14.1 20.0 12.0 20.0 -20.0 4.7 2.5 3.2 5.3 2.7 5.9 20.0 20.0 20.0 20.0 20.0 -11.2 -14.9 1.3 0.2 RUSSELL 20.0 20.0 0.0 3.0 1.5 1.3 2.8 0.5 3.8 10.6 1.7 11.6 -2.0 12.3 8.3 -5.9 -6.1 -6.3 -6.4 15.3 4.5 20.0 -1.3 20.0 -1.8 3.3 3.4 1.1 4.7 0.1 4.9 -1.0 20.0 15.0 4.1 -3.9 -16.5 -15.1 -20.0 -19.2 SHATZ 20.0 20.0 20.0 1.9 1.5 0.3 2.5 -0.9 2.7 7.2 -1.3 7.7 -5.8 7.6 6.1 -20.0 -20.0 -20.0 -20.0 10.2 3.0 13.6 -5.3 14.1 9.0 2.4 2.3 0.8 2.9 -0.7 3.2 -20.0 0.2 9.6 -2.2 4.2 -12.4 -20.0 -5.7 -20.0 SILVER-mini -9.1 11.0 -1.0 1.5 5.0 0.3 4.2 0.1 2.6 12.9 -0.1 -0.0 2.8 1.3 4.8 -6.6 -6.3 -6.8 -6.7 3.7 1.4 5.2 0.0 3.7 5.5 0.5 4.1 0.5 2.0 0.6 0.4 -1.3 4.4 -3.5 -2.4 -1.2 -18.3 -20.0 3.0 -18.2 SMI 20.0 20.0 -5.6 5.7 2.8 2.5 5.4 1.0 7.2 -6.5 -2.4 16.4 2.6 20.0 14.3 10.1 3.5 6.8 4.5 18.5 1.7 15.6 -4.6 20.0 9.7 5.5 0.2 1.3 4.3 -1.0 7.5 16.3 -13.5 -4.3 -15.8 -6.7 -0.9 -6.9 3.1 -5.4 SOFR 20.0 20.0 12.4 2.1 1.7 0.4 2.6 -1.0 3.0 7.0 -0.2 8.0 -2.3 8.6 7.5 1.1 -0.3 0.5 -0.0 10.5 3.1 11.0 -2.8 13.4 -1.4 2.5 1.6 0.7 2.5 -0.6 3.1 1.8 -0.8 -2.1 0.9 2.7 -20.0 -20.0 -6.4 -8.1 SOYBEAN -10.7 -0.9 -1.0 -3.2 -4.1 -5.4 -1.4 -7.1 -1.5 -14.3 8.2 -14.8 6.9 -11.3 -7.0 15.0 17.4 15.5 15.2 -3.1 0.8 -14.4 1.3 -8.8 -20.0 2.6 -11.2 3.9 -8.2 3.0 -2.2 20.0 -18.3 -5.0 12.2 12.6 -20.0 -20.0 -20.0 -16.8 SOYMEAL -20.0 -4.9 3.2 -2.1 -2.6 -3.5 -0.9 -4.6 -1.0 -8.8 0.1 -12.3 3.2 -11.6 -2.1 12.3 17.0 14.9 15.6 -4.9 1.0 -14.2 3.1 -13.0 -20.0 -0.6 -3.1 1.7 -4.5 2.7 -3.6 20.0 -15.7 -20.0 -1.1 11.7 -20.0 -20.0 -20.0 -20.0 SOYOIL -0.5 0.9 -20.0 -1.7 -2.2 -2.9 -0.7 -3.8 -0.8 -8.2 -3.6 -6.8 -4.4 -4.6 -9.5 -0.9 8.5 3.5 6.2 -7.8 -8.6 -5.2 -5.7 -4.7 -20.0 -1.4 -4.1 -2.3 -1.8 -1.8 -0.5 15.5 -8.1 2.2 1.5 -11.4 -12.0 -0.1 1.1 10.9 SP400 20.0 20.0 -2.6 3.3 1.6 1.4 3.0 0.5 4.1 10.8 3.6 12.0 2.0 13.0 9.5 -4.9 -5.0 -5.2 -5.2 16.5 5.9 20.0 0.7 20.0 -9.3 3.7 2.9 1.5 4.5 0.5 5.1 1.0 18.5 12.6 4.3 -1.5 -13.7 -9.5 -19.0 -20.0 SP500_micro 17.9 20.0 0.4 4.8 2.3 2.0 4.5 0.8 6.0 12.3 12.9 15.7 13.3 19.3 18.1 -11.9 -10.0 -11.3 -10.9 20.0 18.3 20.0 12.5 20.0 -20.0 5.9 3.2 3.7 5.5 2.9 7.0 -8.2 19.0 5.3 10.2 4.0 3.9 -6.6 6.0 -9.6 SUGAR11 -20.0 -20.0 -20.0 -1.6 -2.0 -2.6 -0.7 -3.5 -0.8 -6.5 -0.4 -9.7 7.2 -9.8 -6.4 20.0 20.0 20.0 20.0 -16.2 -4.1 -20.0 5.4 -20.0 -20.0 -2.9 -2.0 -0.7 -3.5 1.2 -4.0 20.0 -20.0 -20.0 -20.0 -1.6 -1.4 -11.3 13.1 5.7 US10 20.0 20.0 16.6 1.9 1.5 0.3 2.4 -0.9 2.7 5.9 -2.3 7.1 -4.4 7.6 6.2 -7.9 -7.1 -7.3 -7.5 8.1 0.5 9.9 -5.8 11.6 1.3 2.0 1.3 0.2 2.3 -1.2 2.8 -10.6 0.3 -1.3 0.1 -0.2 -20.0 -20.0 -8.7 4.0 US10U 20.0 20.0 12.2 2.5 2.0 0.4 3.3 -1.2 3.6 7.5 -2.7 9.5 -5.8 10.4 7.8 3.4 0.3 2.1 1.0 11.2 0.2 14.0 -8.3 16.6 -1.9 2.7 1.7 0.1 3.2 -1.7 3.9 3.1 0.2 -0.9 0.2 -1.5 -20.0 -20.0 3.1 14.7 US2 17.3 20.0 20.0 1.8 1.4 0.3 2.3 -0.8 2.5 6.4 -4.2 6.7 -5.7 6.6 5.3 -19.3 -20.0 -20.0 -20.0 5.9 -0.1 8.6 -6.5 8.7 7.8 2.1 1.9 0.4 2.4 -1.5 2.7 -20.0 1.9 -0.2 -3.1 3.9 -15.9 -20.0 -9.7 -20.0 US20 20.0 20.0 8.1 1.9 1.5 0.3 2.4 -0.9 2.7 5.5 -1.4 7.0 -3.9 7.7 5.9 -0.6 -1.3 -0.7 -1.1 9.4 0.4 11.7 -6.3 14.0 -1.9 2.0 1.2 0.1 2.4 -1.2 2.9 -0.4 1.0 1.9 2.9 -1.5 -15.5 -20.0 15.7 20.0 US30 20.0 20.0 9.4 2.2 1.7 0.4 2.8 -1.0 3.1 5.6 -1.5 7.9 -5.0 8.8 6.6 -4.6 -4.2 -4.7 -4.8 10.2 0.3 11.5 -7.4 14.9 -1.5 2.3 0.9 0.1 2.5 -1.4 3.3 -5.5 -2.4 0.9 1.4 -1.7 -9.1 -19.1 20.0 20.0 US5 20.0 20.0 20.0 1.8 1.5 0.3 2.3 -0.8 2.6 6.2 -2.6 7.0 -4.5 7.4 6.2 -7.8 -10.1 -9.5 -10.5 7.5 0.9 9.1 -5.2 10.5 3.3 2.1 1.5 0.4 2.3 -1.1 2.8 -15.9 0.6 -1.5 -0.9 1.9 -20.0 -20.0 -20.0 -13.4 VIX -0.5 -19.0 8.7 -5.0 3.8 -6.3 1.8 -8.5 -2.6 11.1 -20.0 7.6 -20.0 -16.1 -18.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 3.1 -20.0 -12.2 NaN -5.8 4.3 -7.2 2.1 -9.8 -3.0 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 12.2 10.0 -3.7 -2.7 -3.5 -4.6 -1.2 -6.1 -1.3 3.2 -15.1 7.5 -17.3 6.8 -4.0 -9.7 -10.4 -11.0 -11.0 -4.8 -13.9 0.8 -20.0 0.3 -3.3 -1.1 0.9 -5.0 0.5 -7.8 0.9 -15.7 -14.6 16.7 -1.9 -0.8 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3