******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240115_204006 produced at 2024-01-15 21:36:58.754229 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.28 0.0 0.10 -0.10 -0.10 -0.10 -50.26 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.12 0.0 0.00 0.00 0.00 0.00 -2.93 24.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.05 -0.09 0.0 0.10 -0.10 -0.05 -0.05 -10.49 12.0 -6 -6 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.17 -0.17 -0.02 -0.02 -20.42 51.0 -6 -6 caleb_strategy_v3 LIVECOW False False 0.02 0.00 -0.06 0.0 0.41 -0.41 0.00 0.00 -2.46 17.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 -0.89 13.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -5.25 5.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.06 0.0 0.19 -0.19 -0.03 -0.03 -2.00 6.0 -1 -1 caleb_strategy_v3 DX False False 0.04 0.00 -0.05 0.0 999.00 -999.00 0.00 0.00 -1.52 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.04 0.0 0.32 -0.32 -0.04 -0.04 -0.99 8.0 -1 -1 caleb_strategy_v3 GOLD_micro False False 0.01 -0.14 -0.04 0.0 0.40 -0.40 -0.14 -0.13 -5.01 56.0 -20 -18 caleb_strategy_v3 BOBL False False 0.04 -0.22 -0.04 0.0 0.85 -0.85 -0.22 -0.36 -0.95 19.0 -5 -8 caleb_strategy_v3 CAD False False 0.03 0.00 -0.03 0.0 0.75 -0.75 0.00 0.00 -1.30 29.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.15 -0.15 -0.04 -0.04 -1.53 7.0 -2 -2 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.03 0.0 0.16 -0.16 -0.06 -0.06 -2.40 11.0 -4 -4 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.09 -0.09 -0.03 -0.03 -2.34 8.0 -3 -3 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.03 0.0 0.19 -0.19 0.00 0.00 -0.28 2.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.00 -0.03 0.0 0.94 -0.94 0.00 0.00 -0.72 25.0 0 0 caleb_strategy_v3 JPY False False 0.03 -0.06 -0.03 0.0 0.51 -0.51 -0.06 -0.06 -0.97 17.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 -0.01 -0.02 0.0 0.11 -0.11 -0.01 -0.01 -1.81 9.0 -1 -1 caleb_strategy_v3 RICE False False 0.01 0.00 -0.02 0.0 0.05 -0.05 0.00 0.00 -1.35 4.0 0 0 caleb_strategy_v3 LUMBER-new False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.83 3.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -0.90 0.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.02 0.0 0.23 -0.23 -0.03 -0.03 -6.27 68.0 -9 -9 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.10 -0.10 -0.04 -0.04 -1.98 9.0 -4 -4 caleb_strategy_v3 CHF False False 0.05 -0.15 -0.02 0.0 0.66 -0.66 -0.15 -0.15 -0.43 13.0 -3 -3 caleb_strategy_v3 GASOLINE False False 0.03 0.00 -0.02 0.0 0.14 -0.14 0.00 0.00 -0.62 4.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.02 -0.01 0.0 0.44 -0.44 0.02 0.02 -0.24 19.0 1 1 caleb_strategy_v3 US10 False False 0.04 -0.16 -0.01 0.0 0.66 -0.66 -0.16 -0.08 -0.36 17.0 -4 -2 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.15 -0.15 0.00 -0.01 -0.97 18.0 0 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.10 -0.10 -0.03 -0.03 -1.24 10.0 -3 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -2.23 2.0 0 0 caleb_strategy_v3 US30 False False 0.05 0.05 -0.00 0.0 0.27 -0.27 0.05 0.05 -0.04 6.0 1 1 caleb_strategy_v3 US20 False False 0.04 0.13 0.00 0.0 0.38 -0.38 0.13 0.13 0.09 9.0 3 3 caleb_strategy_v3 US10U False False 0.04 0.00 0.00 0.0 0.53 -0.53 0.00 0.00 0.07 13.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 0.00 0.0 0.51 -0.51 0.00 0.00 0.04 10.0 0 0 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.21 -0.21 0.00 0.00 -0.05 4.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.11 6.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.07 -0.07 0.00 0.00 -0.09 2.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 -0.00 0.0 0.05 -0.05 0.00 0.00 -0.29 3.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 -0.00 0.0 0.06 -0.06 -0.01 -0.01 -2.13 26.0 -6 -5 caleb_strategy_v3 EUR False False 0.05 0.05 0.01 0.0 0.67 -0.67 0.05 0.05 0.14 14.0 1 1 caleb_strategy_v3 PLAT False False 0.02 0.02 0.01 0.0 0.16 -0.16 0.02 0.02 0.54 10.0 1 1 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.01 0.0 0.23 -0.23 0.00 0.00 1.19 23.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.01 0.0 0.11 -0.11 0.00 0.00 0.32 3.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.01 0.0 0.14 -0.14 0.01 0.01 1.32 13.0 1 1 caleb_strategy_v3 CAC False True 0.03 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.27 12.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.02 0.0 0.10 -0.10 0.00 0.00 0.80 4.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.12 0.02 0.0 0.27 -0.27 0.12 0.12 2.08 23.0 10 10 caleb_strategy_v3 BTP False False 0.04 0.04 0.03 0.0 0.45 -0.45 0.04 0.04 0.58 10.0 1 1 caleb_strategy_v3 SP500_micro False False 0.01 0.02 0.03 0.0 0.40 -0.40 0.02 0.03 3.19 48.0 2 4 caleb_strategy_v3 NZD False False 0.02 0.04 0.03 0.0 0.45 -0.45 0.04 0.04 1.50 21.0 2 2 caleb_strategy_v3 DOW False False 0.01 0.00 0.03 0.0 0.43 -0.43 0.00 0.00 4.59 66.0 0 0 caleb_strategy_v3 COCOA False False 0.01 0.03 0.03 0.0 0.39 -0.39 0.03 0.03 2.04 26.0 2 2 caleb_strategy_v3 BITCOIN False False 0.00 0.06 0.04 0.0 0.09 -0.09 0.06 0.06 23.67 59.0 43 43 caleb_strategy_v3 SOFR False True 0.08 0.00 0.04 0.0 0.00 0.00 0.00 0.00 0.47 11.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.04 0.0 0.12 -0.12 0.02 0.02 1.61 5.0 1 1 caleb_strategy_v3 OAT False False 0.05 0.00 0.05 0.0 0.49 -0.49 0.00 0.00 0.98 10.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.32 0.06 0.0 0.34 -0.34 0.32 0.32 3.80 20.0 19 19 caleb_strategy_v3 GBP False False 0.03 0.11 0.06 0.0 0.61 -0.61 0.11 0.11 2.05 22.0 4 4 caleb_strategy_v3 DAX False False 0.01 0.00 0.10 0.0 0.37 -0.37 0.00 0.00 15.08 58.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.41 0.13 0.0 0.41 -0.41 0.41 0.41 2.81 9.0 9 9 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.26 0.0 0.31 -0.31 0.28 0.28 30.70 36.0 32 33 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.47 0.62 0.0 0.93 -0.93 0.47 0.28 6.64 10.0 5 3 caleb_strategy_v3 MXP False False 0.01 0.55 0.63 0.0 0.61 -0.61 0.55 0.57 61.87 60.0 54 56 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.46 1.04 0.0 0.56 -0.56 0.46 0.49 29.51 16.0 13 14 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.4 Shocked risk 61.2 Sum abs risk 50.7 Leverage 4.74 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2883286.49, 'annual_cash_vol_target': 720821.6225, 'daily_cash_vol_target': 45051.35140625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0040 0.6672 0.5975 9.5600 BITCOIN 1254.9288 43080.0000 2.9130 46.6083 BOBL 0.2739 118.1600 0.2318 3.7095 BTP 0.6281 118.3500 0.5307 8.4919 BUND 0.5471 135.2100 0.4047 6.4744 BUXL 1.3119 136.7400 0.9594 15.3504 CAC 51.0054 7445.0000 0.6851 10.9615 CAD 0.0027 0.7450 0.3588 5.7414 CANOLA 7.1822 636.5000 1.1284 18.0543 CHF 0.0050 1.1758 0.4219 6.7503 COCOA 47.8647 4279.0000 1.1186 17.8975 COFFEE 3.8851 177.3500 2.1907 35.0505 COPPER 0.0410 3.7350 1.0971 17.5539 CORN 4.1776 483.0000 0.8649 13.8389 COTTON2 0.9363 81.3100 1.1515 18.4247 CRUDE_W 1.1601 71.0900 1.6319 26.1104 DAX 111.4880 16751.0000 0.6656 10.6490 DOW 199.1477 37755.0000 0.5275 8.4396 DX 0.3872 102.3400 0.3783 6.0533 EUR 0.0048 1.0978 0.4401 7.0410 EURIBOR-ICE 0.0547 97.8900 0.0558 0.8933 EUROSTX 31.4560 4481.0000 0.7020 11.2318 FEEDCOW 1.9349 232.6750 0.8316 13.3057 GASOIL 12.6192 750.0000 1.6826 26.9210 GASOLINE 0.0401 2.3490 1.7067 27.3065 GAS_US_mini 0.0945 2.6200 3.6063 57.7002 GBP 0.0062 1.2731 0.4894 7.8311 GOLD_micro 14.4793 2053.4000 0.7051 11.2822 HEATOIL 0.0423 2.5596 1.6533 26.4533 JGB-SGX-mini 0.2732 147.6000 0.1851 2.9620 JPY 0.0000 0.0069 0.6780 10.8487 LEANHOG 1.1818 78.5750 1.5041 24.0652 LIVECOW 1.2911 174.2750 0.7408 11.8533 LUMBER-new 6.9390 558.5000 1.2424 19.8789 MILK 0.1839 16.3300 1.1261 18.0171 MXP 0.0004 0.0586 0.6111 9.7774 NASDAQ_micro 120.0997 16955.0000 0.7083 11.3335 NIKKEI 306.8672 36145.0000 0.8490 13.5838 NZD 0.0035 0.6196 0.5716 9.1463 OAT 0.5560 129.6800 0.4288 6.8604 OATIES 8.1846 367.0000 2.2301 35.6823 OJ 6.1866 304.7000 2.0304 32.4864 PALLAD 27.9380 977.0000 2.8596 45.7531 PLAT 13.9657 916.6000 1.5236 24.3783 REDWHEAT 10.1871 622.0000 1.6378 26.2046 RICE 0.1839 17.9050 1.0269 16.4298 ROBUSTA 45.1103 2864.0000 1.5751 25.2013 RUSSELL 23.2228 1962.3000 1.1834 18.9352 SHATZ 0.0991 106.1150 0.0934 1.4936 SILVER-mini 0.3592 23.5375 1.5261 24.4177 SMI 63.6993 11155.0000 0.5710 9.1366 SOFR 0.0668 96.7850 0.0690 1.1047 SOYBEAN 9.4055 1203.0000 0.7818 12.5095 SOYMEAL 4.2464 361.4000 1.1750 18.7998 SOYOIL 0.6516 48.8100 1.3350 21.3605 SP400 25.2391 2743.8000 0.9199 14.7178 SP500_micro 28.1473 4811.2500 0.5850 9.3605 SUGAR11 0.4039 21.0800 1.9158 30.6534 US10 0.4291 112.6250 0.3810 6.0955 US10U 0.5876 117.1562 0.5016 8.0250 US2 0.1229 103.1055 0.1192 1.9077 US20 0.8870 123.1250 0.7204 11.5259 US30 1.3105 129.9062 1.0088 16.1411 US5 0.2824 108.7734 0.2596 4.1542 VIX 0.4425 16.1500 2.7400 43.8400 WHEAT 9.0498 644.5000 1.4042 22.4666 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 667.15 0.60 398.62 1.00 398.62 45051.35 113.02 -0.81 -9.18 BITCOIN 43.08 2.91 125.49 1.00 125.49 45051.35 359.00 6.09 218.61 BOBL 1181.60 0.23 273.95 1.10 300.50 45051.35 149.92 -6.22 -93.28 BTP 1183.50 0.53 628.13 1.10 689.03 45051.35 65.38 2.59 16.95 BUND 1352.10 0.40 547.13 1.10 600.17 45051.35 75.06 0.55 4.15 BUXL 1367.40 0.96 1311.89 1.10 1439.07 45051.35 31.31 -1.51 -4.72 CAC 744.50 0.69 510.05 1.10 559.50 45051.35 80.52 0.99 7.98 CAD 744.95 0.36 267.32 1.00 267.32 45051.35 168.53 -2.98 -50.21 CANOLA 127.30 1.13 143.64 0.75 107.35 45051.35 419.68 -20.00 -839.37 CHF 1469.69 0.42 620.05 1.00 620.05 45051.35 72.66 -2.29 -16.65 COCOA 427.90 1.12 478.65 1.00 478.65 45051.35 94.12 10.14 95.46 COFFEE 665.06 2.19 1456.92 1.00 1456.92 45051.35 30.92 -3.03 -9.38 COPPER 933.75 1.10 1024.43 1.00 1024.43 45051.35 43.98 -4.20 -18.46 CORN 241.50 0.86 208.88 1.00 208.88 45051.35 215.68 -20.00 -431.36 COTTON2 406.55 1.15 468.16 1.00 468.16 45051.35 96.23 -11.63 -111.93 CRUDE_W 710.90 1.63 1160.12 1.00 1160.12 45051.35 38.83 3.82 14.84 DAX 167.51 0.67 111.49 1.10 122.30 45051.35 368.38 12.00 442.21 DOW 188.78 0.53 99.57 1.00 99.57 45051.35 452.44 4.37 197.57 DX 1023.40 0.38 387.18 1.00 387.18 45051.35 116.36 -5.02 -58.42 EUR 1372.19 0.44 603.85 1.00 603.85 45051.35 74.61 0.72 5.37 EURIBOR-ICE 2447.25 0.06 136.63 1.10 149.88 45051.35 300.59 6.47 194.61 EUROSTX 448.10 0.70 314.56 1.10 345.06 45051.35 130.56 8.54 111.55 FEEDCOW 1163.38 0.83 967.47 1.00 967.47 45051.35 46.57 -6.41 -29.86 GASOIL 750.00 1.68 1261.92 1.00 1261.92 45051.35 35.70 5.19 18.52 GASOLINE 986.58 1.71 1683.75 1.00 1683.75 45051.35 26.76 -5.38 -14.38 GAS_US_mini 65.50 3.61 236.21 1.00 236.21 45051.35 190.73 -1.03 -19.64 GBP 795.69 0.49 389.44 1.00 389.44 45051.35 115.68 6.84 79.11 GOLD_micro 205.34 0.71 144.79 1.00 144.79 45051.35 311.14 -4.72 -146.94 HEATOIL 1075.03 1.65 1777.38 1.00 1777.38 45051.35 25.35 2.88 7.30 JGB-SGX-mini 147600.00 0.19 27324.44 0.01 188.15 45051.35 239.45 11.38 272.52 JPY 865.94 0.68 587.15 1.00 587.15 45051.35 76.73 -4.85 -37.24 LEANHOG 314.30 1.50 472.73 1.00 472.73 45051.35 95.30 2.28 21.75 LIVECOW 697.10 0.74 516.43 1.00 516.43 45051.35 87.24 -8.50 -74.16 LUMBER-new 153.59 1.24 190.82 1.00 190.82 45051.35 236.09 -7.60 -179.43 MILK 326.60 1.13 367.77 1.00 367.77 45051.35 122.50 -20.00 -244.99 MXP 292.95 0.61 179.02 1.00 179.02 45051.35 251.66 16.75 421.50 NASDAQ_micro 339.10 0.71 240.20 1.00 240.20 45051.35 187.56 4.78 89.65 NIKKEI 36145.00 0.85 30686.72 0.01 211.30 45051.35 213.21 13.30 283.48 NZD 619.60 0.57 354.19 1.00 354.19 45051.35 127.19 4.54 57.72 OAT 1296.80 0.43 556.03 1.10 609.94 45051.35 73.86 3.88 28.63 OATIES 183.50 2.23 409.23 1.00 409.23 45051.35 110.09 -8.31 -91.51 OJ 457.05 2.03 927.99 1.00 927.99 45051.35 48.55 -2.78 -13.51 PALLAD 977.00 2.86 2793.80 1.00 2793.80 45051.35 16.13 -1.64 -2.64 PLAT 458.30 1.52 698.29 1.00 698.29 45051.35 64.52 2.47 15.97 REDWHEAT 311.00 1.64 509.35 1.00 509.35 45051.35 88.45 -19.93 -176.25 RICE 358.10 1.03 367.72 1.00 367.72 45051.35 122.52 -4.51 -55.30 ROBUSTA 286.40 1.58 451.10 1.00 451.10 45051.35 99.87 10.22 102.10 RUSSELL 98.12 1.18 116.11 1.00 116.11 45051.35 387.99 -4.88 -189.33 SHATZ 1061.15 0.09 99.06 1.10 108.66 45051.35 414.60 -6.97 -288.78 SILVER-mini 588.44 1.53 898.02 1.00 898.02 45051.35 50.17 -5.24 -26.30 SMI 1115.50 0.57 636.99 1.17 746.94 45051.35 60.31 13.64 82.24 SOFR 2419.62 0.07 167.07 1.00 167.07 45051.35 269.66 0.29 7.73 SOYBEAN 601.50 0.78 470.28 1.00 470.28 45051.35 95.80 -17.20 -164.74 SOYMEAL 361.40 1.17 424.64 1.00 424.64 45051.35 106.09 -18.33 -194.45 SOYOIL 292.86 1.34 390.98 1.00 390.98 45051.35 115.23 -11.58 -133.43 SP400 2743.80 0.92 2523.91 1.00 2523.91 45051.35 17.85 -4.67 -8.34 SP500_micro 240.56 0.59 140.74 1.00 140.74 45051.35 320.11 4.28 137.17 SUGAR11 236.10 1.92 452.32 1.00 452.32 45051.35 99.60 -4.60 -45.78 US10 1126.25 0.38 429.06 1.00 429.06 45051.35 105.00 -2.73 -28.68 US10U 1171.56 0.50 587.62 1.00 587.62 45051.35 76.67 0.76 5.84 US2 2062.11 0.12 245.87 1.00 245.87 45051.35 183.23 -3.84 -70.34 US20 1231.25 0.72 886.95 1.00 886.95 45051.35 50.79 1.48 7.49 US30 1299.06 1.01 1310.52 1.00 1310.52 45051.35 34.38 -1.02 -3.50 US5 1087.73 0.26 282.42 1.00 282.42 45051.35 159.52 -3.56 -56.77 VIX 161.50 2.74 442.51 1.00 442.51 45051.35 101.81 -20.00 -203.62 WHEAT 322.25 1.40 452.49 1.00 452.49 45051.35 99.56 -15.02 -149.51 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -9.179 0.010 2.5 -0.238 BITCOIN 218.606 0.043 2.5 23.673 BOBL -93.280 0.004 2.5 -0.946 BTP 16.954 0.014 2.5 0.578 BUND 4.154 0.004 2.5 0.042 BUXL -4.720 0.004 2.5 -0.048 CAC 7.980 0.014 2.5 0.272 CAD -50.208 0.010 2.5 -1.303 CANOLA -839.370 0.010 2.5 -20.421 CHF -16.655 0.010 2.5 -0.432 COCOA 95.458 0.009 2.5 2.044 COFFEE -9.381 0.005 2.5 -0.110 COPPER -18.455 0.043 2.5 -1.998 CORN -431.359 0.010 2.5 -10.495 COTTON2 -111.926 0.009 2.5 -2.397 CRUDE_W 14.842 0.043 2.5 1.607 DAX 442.212 0.014 2.5 15.083 DOW 197.569 0.009 2.5 4.592 DX -58.420 0.010 2.5 -1.516 EUR 5.372 0.010 2.5 0.139 EURIBOR-ICE 194.615 0.014 2.5 6.638 EUROSTX 111.554 0.014 2.5 3.805 FEEDCOW -29.856 0.013 2.5 -0.989 GASOIL 18.521 0.017 2.5 0.803 GASOLINE -14.384 0.017 2.5 -0.624 GAS_US_mini -19.637 0.043 2.5 -2.127 GBP 79.106 0.010 2.5 2.053 GOLD_micro -146.937 0.014 2.5 -5.012 HEATOIL 7.299 0.017 2.5 0.316 JGB-SGX-mini 272.518 0.043 2.5 29.511 JPY -37.238 0.010 2.5 -0.966 LEANHOG 21.754 0.024 2.5 1.322 LIVECOW -74.157 0.013 2.5 -2.457 LUMBER-new -179.435 0.009 2.5 -3.833 MILK -244.994 0.009 2.5 -5.247 MXP 421.501 0.059 2.5 61.866 NASDAQ_micro 89.650 0.009 2.5 2.084 NIKKEI 283.484 0.043 2.5 30.698 NZD 57.723 0.010 2.5 1.498 OAT 28.634 0.014 2.5 0.977 OATIES -91.513 0.010 2.5 -2.226 OJ -13.510 0.009 2.5 -0.289 PALLAD -2.639 0.014 2.5 -0.090 PLAT 15.968 0.014 2.5 0.545 REDWHEAT -176.247 0.005 2.5 -2.338 RICE -55.305 0.010 2.5 -1.346 ROBUSTA 102.104 0.005 2.5 1.192 RUSSELL -189.327 0.013 2.5 -6.274 SHATZ -288.778 0.004 2.5 -2.928 SILVER-mini -26.297 0.014 2.5 -0.897 SMI 82.240 0.014 2.5 2.805 SOFR 7.728 0.024 2.5 0.470 SOYBEAN -164.740 0.004 2.5 -1.532 SOYMEAL -194.450 0.004 2.5 -1.809 SOYOIL -133.428 0.004 2.5 -1.242 SP400 -8.343 0.013 2.5 -0.276 SP500_micro 137.166 0.009 2.5 3.188 SUGAR11 -45.783 0.009 2.5 -0.974 US10 -28.677 0.005 2.5 -0.363 US10U 5.845 0.005 2.5 0.074 US2 -70.337 0.005 2.5 -0.891 US20 7.495 0.005 2.5 0.095 US30 -3.498 0.005 2.5 -0.044 US5 -56.769 0.005 2.5 -0.719 VIX -203.617 0.099 2.5 -50.262 WHEAT -149.505 0.005 2.5 -1.983 ===================== Position diags ===================== AUD 2.93 BITCOIN 38.88 BOBL 1.52 BTP 2.23 BUND 0.76 BUXL 0.32 CAC 2.75 CAD 4.37 CANOLA 10.21 CHF 1.89 COCOA 2.02 COFFEE 0.36 COPPER 4.76 CORN 5.25 COTTON2 2.06 CRUDE_W 4.21 DAX 12.56 DOW 10.51 DX 3.02 EUR 1.94 EURIBOR-ICE 10.25 EUROSTX 4.45 FEEDCOW 1.54 GASOIL 1.55 GASOLINE 1.16 GAS_US_mini 20.65 GBP 3.00 GOLD_micro 10.61 HEATOIL 1.10 JGB-SGX-mini 25.93 JPY 1.99 LEANHOG 5.79 LIVECOW 2.89 LUMBER-new 5.04 MILK 2.62 MXP 36.94 NASDAQ_micro 4.36 NIKKEI 23.09 NZD 3.30 OAT 2.52 OATIES 2.68 OJ 1.04 PALLAD 0.55 PLAT 2.20 REDWHEAT 1.17 RICE 2.98 ROBUSTA 1.17 RUSSELL 12.86 SHATZ 4.20 SILVER-mini 1.71 SMI 2.06 SOFR 16.39 SOYBEAN 0.89 SOYMEAL 0.99 SOYOIL 1.07 SP400 0.59 SP500_micro 7.44 SUGAR11 2.12 US10 1.33 US10U 0.97 US2 2.32 US20 0.64 US30 0.44 US5 2.02 VIX 25.13 WHEAT 1.32 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.2 -0.5 0.1 1.0 1 BITCOIN 23.7 19.8 27.6 43.0 43 BOBL -0.9 -1.1 -0.8 -5.0 -5 BTP 0.6 0.4 0.8 1.0 1 BUND 0.0 -0.0 0.1 0.0 0 BUXL -0.0 -0.1 -0.0 0.0 0 CAC 0.3 -0.0 0.5 0.0 0 CAD -1.3 -1.7 -0.9 0.0 0 CANOLA -20.4 -21.4 -19.4 -6.0 -6 CHF -0.4 -0.6 -0.2 -3.0 -3 COCOA 2.0 1.8 2.2 2.0 2 COFFEE -0.1 -0.1 -0.1 0.0 0 COPPER -2.0 -2.5 -1.5 -1.0 -1 CORN -10.5 -11.0 -10.0 -6.0 -6 COTTON2 -2.4 -2.6 -2.2 -4.0 -4 CRUDE_W 1.6 1.2 2.0 1.0 1 DAX 15.1 13.8 16.3 0.0 0 DOW 4.6 3.5 5.6 0.0 0 DX -1.5 -1.8 -1.2 NaN 0 EUR 0.1 -0.1 0.3 1.0 1 EURIBOR-ICE 6.6 5.6 7.7 5.0 5 EUROSTX 3.8 3.4 4.3 19.0 19 FEEDCOW -1.0 -1.1 -0.8 -1.0 -1 GASOIL 0.8 0.6 1.0 0.0 0 GASOLINE -0.6 -0.7 -0.5 0.0 0 GAS_US_mini -2.1 -4.2 -0.1 -6.0 -6 GBP 2.1 1.8 2.4 4.0 4 GOLD_micro -5.0 -6.1 -4.0 -20.0 -20 HEATOIL 0.3 0.2 0.4 0.0 0 JGB-SGX-mini 29.5 26.9 32.1 13.0 13 JPY -1.0 -1.2 -0.8 -2.0 -2 LEANHOG 1.3 0.7 1.9 1.0 1 LIVECOW -2.5 -2.7 -2.2 0.0 0 LUMBER-new -3.8 -4.3 -3.3 NaN 0 MILK -5.2 -5.5 -5.0 NaN 0 MXP 61.9 58.2 65.6 54.0 54 NASDAQ_micro 2.1 1.6 2.5 10.0 10 NIKKEI 30.7 28.4 33.0 32.0 32 NZD 1.5 1.2 1.8 2.0 2 OAT 1.0 0.7 1.2 0.0 0 OATIES -2.2 -2.5 -2.0 NaN 0 OJ -0.3 -0.4 -0.2 NaN 0 PALLAD -0.1 -0.1 -0.0 0.0 0 PLAT 0.5 0.3 0.8 1.0 1 REDWHEAT -2.3 -2.5 -2.2 -3.0 -3 RICE -1.3 -1.6 -1.0 NaN 0 ROBUSTA 1.2 1.1 1.3 0.0 0 RUSSELL -6.3 -7.6 -5.0 -9.0 -9 SHATZ -2.9 -3.3 -2.5 NaN 0 SILVER-mini -0.9 -1.1 -0.7 NaN 0 SMI 2.8 2.6 3.0 9.0 9 SOFR 0.5 -1.2 2.1 NaN 0 SOYBEAN -1.5 -1.6 -1.4 -2.0 -2 SOYMEAL -1.8 -1.9 -1.7 -1.0 -1 SOYOIL -1.2 -1.3 -1.1 -3.0 -3 SP400 -0.3 -0.3 -0.2 0.0 0 SP500_micro 3.2 2.4 3.9 2.0 2 SUGAR11 -1.0 -1.2 -0.8 0.0 0 US10 -0.4 -0.5 -0.2 -4.0 -4 US10U 0.1 -0.0 0.2 0.0 0 US2 -0.9 -1.1 -0.7 NaN 0 US20 0.1 0.0 0.2 3.0 3 US30 -0.0 -0.1 -0.0 1.0 1 US5 -0.7 -0.9 -0.5 0.0 0 VIX -50.3 -52.8 -47.7 -17.0 -17 WHEAT -2.0 -2.1 -1.9 -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 3.9 1.2 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 3.7 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 -0.1 0.5 0.5 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.1 -0.2 -0.2 0.0 0.1 -0.0 -0.1 -0.0 -0.1 0.1 0.1 -0.1 -0.1 0.0 0.4 0.1 -0.0 0.1 -0.0 -0.0 0.0 -0.1 -0.3 -0.2 -0.1 0.0 -0.6 -0.4 -0.2 0.2 BITCOIN -0.3 0.1 0.6 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.5 -0.0 0.7 0.1 0.2 -0.1 -0.1 -0.2 -0.2 0.2 0.2 -0.0 0.5 0.1 -2.7 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.5 0.6 0.6 0.6 -0.2 0.3 0.2 0.6 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 0.0 0.1 -0.4 -0.2 -0.4 -0.3 0.1 0.1 -0.0 -0.0 0.0 1.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -1.1 -0.2 -0.3 -0.1 0.1 -0.7 -0.7 -0.1 -0.6 BTP -0.4 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 0.1 0.1 0.1 0.1 0.1 0.2 0.2 -0.0 0.1 0.1 -1.3 0.0 0.0 0.1 -0.0 0.0 0.0 0.7 -0.1 -0.3 -0.0 0.2 -0.5 -0.7 0.3 0.1 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 -0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 -0.0 0.0 0.7 0.0 -0.0 0.1 -0.0 0.0 0.0 0.4 -0.2 -0.4 -0.0 0.1 -0.6 -0.7 -0.1 -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 -0.2 0.0 0.1 -0.0 0.0 0.0 0.0 0.1 0.1 -0.1 -0.1 0.0 0.1 0.0 -0.0 0.1 -0.0 -0.0 0.0 0.2 -0.2 -0.6 -0.0 0.1 -0.7 -0.7 -0.1 0.3 CAC -0.6 0.5 0.1 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.4 -0.2 0.7 0.0 0.2 -0.2 -0.1 -0.2 -0.1 0.1 0.1 -0.1 0.3 -0.0 -1.1 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.0 -0.2 -0.6 -0.2 -0.2 0.2 0.3 0.4 0.5 CAD -0.0 0.6 0.2 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.2 0.0 -0.2 -0.2 0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.2 0.1 -0.1 -0.1 0.1 0.3 0.1 -0.1 0.1 -0.0 -0.0 0.0 0.0 -0.3 -0.2 0.1 -0.4 -0.7 -0.6 -0.0 -0.5 CANOLA -0.4 -0.6 -0.6 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 -0.0 -0.2 -0.2 -0.2 -0.2 -0.1 -0.3 -0.2 -2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.4 -0.6 -0.6 -0.5 -0.4 -0.2 -0.1 CHF 0.2 0.6 0.4 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.2 0.3 -0.0 0.4 0.1 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 -0.0 0.3 0.2 -1.1 0.1 -0.0 0.1 0.0 0.1 0.1 -1.1 -0.1 0.6 0.6 0.4 -0.7 -0.7 -0.6 -0.7 COCOA -0.6 -0.1 0.5 -0.1 -0.0 -0.2 -0.1 -0.3 -0.1 0.2 0.5 0.1 0.7 0.2 0.2 0.2 0.0 0.2 0.1 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.0 0.3 -0.0 0.5 0.0 0.5 -0.1 0.0 0.6 0.6 0.7 0.0 0.7 0.7 COFFEE -0.3 0.4 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.1 -0.0 -2.1 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.7 -0.3 0.0 0.6 0.6 -0.5 -0.7 -0.4 -0.3 COPPER -0.3 0.3 0.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -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 -0.1 -1.1 0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.1 0.1 0.2 0.4 0.2 -0.3 -0.3 0.3 -0.2 CORN -0.4 -0.2 -0.2 -0.1 -0.0 -0.2 -0.1 -0.3 -0.1 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.2 -0.0 -0.2 -0.1 -0.2 -0.2 -0.2 -0.5 -0.2 -2.7 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.2 -0.5 -0.6 -0.4 0.1 -0.3 -0.4 -0.1 0.1 COTTON2 0.3 -0.0 -0.5 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 0.1 -0.4 0.1 -0.3 0.0 -0.1 -0.2 -0.0 -0.2 -0.1 -0.1 -0.1 0.1 -0.3 0.0 -2.7 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.0 0.5 0.6 0.4 -0.4 -0.6 -0.5 -0.2 0.0 CRUDE_W -0.1 -0.4 -0.2 -0.1 0.0 -0.1 0.0 0.0 -0.0 0.1 0.1 -0.1 0.2 -0.1 -0.2 0.1 0.2 0.2 0.2 -0.1 -0.0 -0.0 0.2 -0.1 -0.6 -0.1 0.0 -0.0 -0.0 0.2 -0.1 -0.1 -0.1 -0.2 0.1 0.4 0.7 0.5 0.7 0.5 DAX -0.6 0.6 0.4 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.4 -0.1 0.7 0.1 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 -0.0 0.3 0.1 2.4 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.4 -0.0 -0.4 0.2 0.2 0.1 0.2 0.5 0.6 DOW 0.0 0.6 0.6 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.5 0.1 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -1.9 0.1 -0.0 0.1 0.0 0.1 0.0 -0.4 0.1 0.2 0.6 0.4 -0.3 -0.1 -0.2 -0.2 DX 0.1 -0.5 -0.5 0.0 -0.0 0.1 -0.0 0.1 0.0 0.1 -0.0 0.1 -0.2 -0.0 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.1 0.0 0.0 -0.0 -2.7 -0.0 0.0 -0.1 -0.0 0.0 -0.0 0.8 0.4 -0.5 -0.6 -0.6 0.6 0.1 0.7 0.4 EUR -0.0 0.3 0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 -0.0 -0.1 0.3 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.0 0.0 1.7 0.1 -0.0 0.1 0.0 0.0 0.0 -0.4 0.2 0.1 -0.3 -0.1 -0.7 -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 -0.0 0.2 -0.0 0.1 0.0 0.1 0.0 -0.1 -0.0 -0.1 0.1 0.1 -0.0 0.1 0.1 2.1 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.3 -0.2 -0.1 0.1 0.4 -0.7 -0.7 0.2 0.7 EUROSTX -0.6 0.5 0.3 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.4 -0.2 0.7 0.1 0.2 0.2 -0.0 0.1 0.0 0.2 0.2 -0.1 0.4 0.0 0.4 0.1 -0.0 0.1 -0.0 0.1 0.0 0.5 -0.1 -0.6 -0.2 0.1 -0.0 0.3 0.1 0.5 FEEDCOW 0.5 -0.4 -0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 0.1 -0.3 0.1 -0.1 0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 0.1 -0.2 0.0 -0.3 -0.0 0.0 -0.1 0.0 0.0 -0.0 -1.1 0.1 0.4 0.0 -0.6 0.5 0.1 0.7 0.4 GASOIL 0.1 -0.4 -0.4 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.1 0.1 0.0 0.2 -0.0 -0.1 0.3 0.4 0.3 0.4 -0.1 -0.0 0.0 0.2 -0.0 1.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.9 0.0 0.3 0.2 0.2 -0.3 -0.1 -0.7 -0.3 GASOLINE 0.1 -0.2 -0.5 -0.1 0.0 -0.1 0.0 0.0 -0.0 0.1 -0.1 -0.0 0.1 0.0 -0.1 -0.4 0.2 -0.4 -0.2 -0.1 -0.0 0.0 0.1 -0.0 -2.7 -0.0 0.0 -0.1 0.0 0.1 -0.0 -0.6 -0.2 -0.0 0.4 -0.0 0.7 0.4 0.7 0.3 GAS_US_mini 0.6 -0.3 -0.1 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.1 -0.3 0.1 -0.5 -0.0 -0.1 0.4 -0.4 0.3 -0.2 -0.1 -0.2 0.1 -0.5 0.0 2.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 0.1 0.6 -0.2 0.1 -0.6 0.1 -0.7 -0.0 GBP 0.0 0.4 0.2 0.1 -0.0 0.1 -0.0 0.1 0.0 0.1 0.0 0.1 0.4 0.1 0.2 0.0 -0.0 -0.0 -0.0 0.1 0.1 0.0 0.1 0.1 0.3 0.1 0.0 0.1 0.0 0.0 0.1 0.2 0.5 0.2 0.0 -0.1 -0.5 -0.0 -0.4 0.4 GOLD_micro -0.1 0.2 0.4 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 -0.1 0.3 0.0 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.1 -0.0 0.1 0.0 -0.7 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.8 0.5 0.3 0.4 0.4 -0.7 -0.7 -0.6 -0.6 HEATOIL 0.1 -0.4 -0.4 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.1 0.1 0.0 0.1 -0.1 -0.1 0.4 0.4 0.4 0.4 -0.1 -0.0 0.0 0.1 -0.0 -2.7 -0.0 0.0 -0.0 0.0 0.2 -0.0 1.1 0.2 0.3 0.3 0.1 0.5 0.0 0.4 -0.1 JGB-SGX-mini 0.4 0.6 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.4 0.2 0.3 0.1 0.1 0.1 0.1 0.1 -0.4 0.0 0.0 0.0 0.0 0.0 0.0 1.1 0.4 0.3 0.0 -0.0 0.0 -0.7 0.3 0.5 JPY -0.3 0.6 0.6 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 -0.1 -0.1 -0.3 0.0 0.0 -0.3 -0.3 -0.3 -0.3 0.0 -0.0 -0.1 -0.2 -0.0 2.7 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -1.1 -0.3 -0.3 0.0 -0.2 -0.3 -0.7 -0.2 -0.7 LEANHOG 0.2 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 0.1 -0.2 0.1 -0.4 0.0 -0.1 -0.4 0.0 -0.4 -0.2 -0.1 -0.1 0.1 -0.4 0.0 2.1 0.0 0.1 -0.1 0.1 -0.2 0.1 -0.0 0.5 0.6 0.3 0.1 -0.4 -0.3 0.2 0.4 LIVECOW 0.3 -0.5 -0.6 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 0.1 -0.3 0.1 -0.1 -0.0 -0.1 -0.3 -0.1 -0.3 -0.2 -0.2 -0.2 0.0 -0.2 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.0 -0.4 0.1 0.1 -0.3 -0.6 0.3 -0.2 0.5 0.0 LUMBER-new -0.1 0.5 0.5 -0.1 -0.0 -0.2 -0.1 -0.3 -0.1 -0.2 -0.0 -0.2 -0.7 0.0 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.1 -0.1 -0.1 0.0 NaN 0.1 -0.1 0.1 -0.1 -0.0 0.0 -1.2 -0.6 0.7 0.7 0.7 -0.5 -0.8 -0.2 -0.8 MILK 0.1 -0.6 -0.4 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.5 -0.1 -0.7 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.1 -0.5 -0.2 1.7 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -1.1 0.3 -0.4 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.2 0.4 0.2 0.1 -0.0 0.1 -0.0 0.1 0.0 0.1 0.5 0.2 0.7 0.2 0.2 0.3 0.3 0.3 0.3 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.3 0.1 1.1 0.5 0.5 -0.1 -0.2 0.4 0.6 0.7 0.7 NASDAQ_micro -0.2 0.6 0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 0.1 0.4 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.0 0.1 0.0 0.2 0.0 -0.3 0.5 0.5 0.2 0.3 0.5 -0.2 0.6 -0.2 NIKKEI 0.5 0.1 0.1 0.0 -0.0 0.1 -0.0 0.1 0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.4 0.2 0.3 0.3 0.2 0.2 0.2 0.5 0.2 -1.9 0.1 0.1 0.1 0.1 0.2 0.1 1.1 0.5 0.6 0.1 0.0 -0.4 -0.1 -0.2 0.1 NZD -0.1 0.6 0.5 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.2 -0.1 0.1 0.1 0.2 0.0 0.0 0.0 0.0 0.2 0.1 -0.1 0.0 0.1 0.1 0.1 -0.0 0.1 -0.0 0.0 0.0 0.2 -0.0 -0.0 0.2 0.3 -0.3 -0.4 -0.2 0.2 OAT -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 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.0 0.0 1.0 0.0 -0.0 0.1 -0.0 0.0 0.0 0.7 -0.2 -0.4 -0.0 0.2 -0.6 -0.7 0.1 0.2 OATIES 0.3 0.1 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 0.0 -0.2 -0.0 -0.1 0.1 -0.1 -0.1 -0.2 -0.1 -0.1 0.0 -0.1 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.5 0.0 0.2 0.1 -0.5 -0.0 0.2 0.3 0.6 OJ -0.6 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 0.4 -0.1 -0.1 0.1 0.4 0.2 0.3 -0.1 0.1 -0.2 0.5 -0.2 -2.7 -0.0 -0.0 0.1 -0.0 0.2 -0.0 1.1 -0.3 -0.6 -0.6 0.6 0.3 0.4 0.7 0.7 PALLAD -0.4 0.4 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.3 -0.1 0.9 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 0.0 0.1 0.0 -0.3 -0.2 -0.2 -0.0 -0.1 PLAT -0.2 0.3 0.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.2 -0.1 -0.1 1.7 0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.3 -0.3 0.1 0.3 0.1 -0.2 -0.3 0.5 -0.0 REDWHEAT -0.0 0.2 -0.4 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.4 -0.1 -0.6 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.5 -0.1 -1.8 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 0.1 -0.1 -0.2 -0.0 -0.5 -0.7 -0.7 -0.7 -0.5 RICE -0.2 0.0 0.2 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.0 0.4 -0.0 0.4 0.0 0.1 -0.2 -0.0 -0.3 -0.2 0.1 0.1 0.0 0.2 0.1 -2.7 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 -0.5 -0.0 0.2 0.5 -0.1 -0.4 0.3 -0.0 ROBUSTA 0.1 0.6 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.3 0.1 0.4 0.1 0.1 0.4 0.4 0.4 0.4 0.2 0.2 0.1 0.4 0.2 -2.4 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.4 0.6 0.6 0.6 -0.4 -0.5 -0.0 0.0 RUSSELL -0.2 0.6 0.4 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.1 -0.1 0.0 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.0 0.0 -0.2 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.3 -0.1 0.1 -0.1 -0.7 -0.6 -0.7 -0.6 SHATZ -0.5 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.2 0.0 0.0 -0.4 -0.4 -0.4 -0.4 0.1 0.0 -0.0 -0.1 0.0 1.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 -1.1 -0.2 -0.2 -0.0 0.1 -0.6 -0.7 -0.2 -0.7 SILVER-mini -0.4 -0.1 0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 0.2 0.1 -0.1 -0.1 -0.7 -0.6 0.2 -0.4 SMI -0.0 0.6 0.1 0.1 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 0.1 0.2 0.2 0.2 0.3 0.1 0.2 0.1 0.2 0.1 0.1 -0.0 0.2 1.5 0.1 -0.0 0.1 0.0 0.0 0.1 1.0 0.5 0.3 0.2 -0.3 0.0 -0.2 0.2 -0.2 SOFR -0.1 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.1 -0.0 -0.0 0.1 0.1 0.0 -0.0 0.0 0.0 0.1 0.1 0.0 -0.0 0.1 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.0 -0.0 0.0 0.0 -0.7 -0.7 -0.2 -0.2 SOYBEAN -0.6 -0.6 -0.2 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.2 0.1 -0.2 0.2 -0.2 -0.2 0.3 0.3 0.3 0.3 -0.2 -0.1 -0.2 -0.1 -0.2 -2.7 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 1.1 -0.4 -0.6 -0.3 0.2 -0.7 -0.7 -0.7 -0.7 SOYMEAL -0.6 -0.6 0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.2 -0.2 0.0 -0.2 -0.1 0.1 0.3 0.2 0.3 -0.2 -0.1 -0.2 0.0 -0.2 -2.7 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 1.1 -0.5 -0.6 -0.6 0.2 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.3 -0.3 -0.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 -0.2 -0.0 -0.3 -0.1 -2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.8 0.2 -0.1 0.2 -0.5 -0.3 -0.1 -0.0 0.3 SP400 -0.1 0.6 0.3 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.2 -0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.1 0.1 -1.3 0.0 -0.0 0.1 -0.0 0.0 0.0 0.1 -0.2 -0.1 0.1 -0.1 -0.6 -0.3 -0.7 -0.7 SP500_micro -0.0 0.6 0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 0.1 0.4 0.1 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.1 0.0 0.2 0.0 -0.4 0.4 0.4 0.3 0.2 0.2 -0.2 0.4 -0.3 SUGAR11 0.2 -0.6 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.0 0.2 -0.1 -0.1 0.3 0.4 0.4 0.4 -0.1 -0.1 0.0 0.1 -0.1 -2.6 -0.0 0.0 -0.0 -0.0 0.0 -0.0 1.1 0.2 0.0 -0.6 -0.4 0.1 -0.2 0.4 0.2 US10 -0.0 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 -0.1 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.0 0.0 -0.1 0.1 0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.6 0.1 -0.0 -0.0 -0.1 -0.7 -0.7 -0.4 0.2 US10U -0.1 0.6 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 -0.2 0.1 0.1 0.1 0.0 0.0 0.0 0.1 0.0 0.0 -0.2 0.1 -0.2 0.0 0.0 0.0 0.0 -0.1 0.0 0.2 -0.0 -0.1 -0.0 -0.1 -0.7 -0.7 0.2 0.5 US2 0.1 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 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 1.1 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 0.2 0.1 0.0 0.1 -0.6 -0.7 -0.4 -0.7 US20 -0.1 0.6 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 -0.0 -0.1 0.1 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.1 0.1 -0.1 -0.7 -0.7 0.7 0.7 US30 -0.2 0.6 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.0 -0.2 0.0 -0.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.3 -0.2 -0.3 -0.0 -0.2 -0.4 -0.6 0.7 0.7 US5 0.0 0.6 0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.0 0.0 -0.1 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.0 0.0 -0.1 0.1 0.5 0.0 0.0 0.0 0.0 -0.0 0.0 -0.8 0.1 0.0 0.0 0.0 -0.7 -0.7 -0.7 -0.3 VIX -0.1 -0.6 -0.9 -0.1 -0.1 -0.3 -0.1 -0.6 -0.1 -0.2 -0.9 -0.3 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.2 -0.9 -0.3 NaN -0.1 -0.0 -0.4 -0.1 -0.6 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.0 0.4 0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.4 -0.1 -0.6 0.0 0.0 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.5 -0.0 -0.5 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 -0.7 -0.0 0.1 0.3 0.1 -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 -4.4 16.1 14.9 4.7 -2.3 4.0 -0.6 2.6 2.6 -16.4 2.7 -15.2 -6.7 2.9 10.9 -2.2 -2.8 -2.5 -2.7 11.7 7.7 -8.9 -2.5 2.3 3.1 4.9 -3.8 3.1 -2.0 -0.3 2.0 -1.0 -10.6 -5.5 -1.9 1.1 -17.3 -10.7 -7.4 4.5 BITCOIN -9.7 3.5 20.0 -3.1 -12.9 -1.0 -12.7 -0.2 -8.0 -15.1 19.7 -2.0 18.4 13.2 19.5 -7.3 -6.4 -8.3 -7.7 20.0 20.0 -2.1 16.7 11.8 -20.0 7.2 -5.5 8.2 -1.7 5.8 2.5 -1.9 20.0 18.7 20.0 20.0 -5.6 10.5 4.7 16.9 BOBL -17.3 20.0 20.0 2.2 0.0 1.1 0.3 -0.5 1.4 -5.9 4.3 -6.5 -1.6 3.2 5.9 -20.0 -10.8 -20.0 -16.4 8.8 7.3 -5.4 -0.6 1.6 7.7 2.1 -1.0 1.8 -1.1 0.1 0.4 -20.0 -9.9 -9.9 -1.7 4.0 -19.7 -20.0 -1.6 -18.7 BTP -13.6 20.0 20.0 3.4 0.1 1.8 0.4 -0.7 2.3 -2.2 9.2 -8.4 7.3 5.8 10.4 4.2 7.0 5.4 5.9 18.1 15.1 -0.9 5.3 8.3 -9.7 3.9 0.3 3.3 -0.1 1.3 1.8 13.1 -2.5 -9.7 -0.6 6.6 -15.5 -20.0 9.2 2.7 BUND -17.8 20.0 20.0 2.4 0.0 1.3 0.3 -0.5 1.6 -7.4 4.9 -8.1 -1.8 3.2 6.4 5.0 4.3 2.9 2.5 10.4 8.4 -6.2 -0.9 2.0 5.3 2.3 -1.2 1.9 -1.3 0.1 0.4 7.7 -9.1 -13.2 -1.5 3.7 -18.3 -20.0 -1.8 -7.5 BUXL -17.4 20.0 20.0 2.8 0.1 1.5 0.4 -0.6 1.9 -9.8 5.1 -10.4 -5.0 3.0 7.1 -0.1 0.6 0.2 0.4 11.9 8.3 -8.1 -3.7 1.9 1.0 2.6 -1.5 1.9 -1.5 -0.3 0.5 3.1 -9.3 -17.3 -0.0 2.7 -20.0 -20.0 -2.0 9.0 CAC -20.0 16.4 3.9 5.3 -2.0 4.3 -1.3 2.4 2.1 -10.5 14.0 -16.5 20.0 4.4 16.9 -9.6 -4.7 -8.5 -7.0 12.7 12.5 -8.9 12.5 -0.0 -8.6 4.2 -1.1 4.1 -2.7 3.4 -0.2 0.4 -8.8 -20.0 -7.3 -6.6 5.3 8.6 13.2 14.8 CAD -0.4 20.0 6.2 6.3 -3.2 5.4 -0.8 3.5 3.5 -20.0 1.2 -19.2 -5.4 7.7 13.2 -1.7 -2.2 -2.1 -2.2 15.7 7.7 -11.5 -3.7 6.0 2.3 5.7 -5.7 2.5 -2.7 -1.1 3.1 0.0 -12.7 -6.6 3.6 -12.5 -20.0 -17.2 -0.3 -14.1 CANOLA -13.5 -20.0 -20.0 -2.8 2.0 -2.9 -1.1 -3.3 -2.6 -1.8 -8.2 -7.2 -6.9 -9.6 -10.2 -11.0 -1.0 -10.8 -7.5 -18.6 -16.3 -8.6 -12.2 -15.8 -20.0 -4.0 0.3 -3.5 -1.4 -2.8 -3.2 -1.9 -9.8 -13.7 -20.0 -20.0 -15.2 -12.9 -6.5 -1.6 CHF 5.6 20.0 12.5 5.4 -2.7 4.6 -0.7 3.0 3.0 -18.9 9.3 -1.4 11.8 11.0 16.5 -15.4 -15.5 -16.2 -16.0 20.0 17.4 -2.9 9.5 16.2 -8.6 7.0 -2.8 4.3 0.9 2.0 5.7 -20.0 -4.2 20.0 20.0 11.0 -20.0 -20.0 -16.8 -20.0 COCOA -20.0 -3.9 15.9 -6.7 -2.0 -6.7 -5.9 -7.4 -7.3 18.7 20.0 9.3 20.0 14.2 20.0 10.3 1.7 8.0 4.5 20.0 20.0 8.4 20.0 10.3 -20.0 6.3 5.5 11.1 -0.2 13.0 0.4 10.0 -2.4 0.1 20.0 20.0 20.0 1.4 20.0 20.0 COFFEE -9.5 11.0 20.0 -3.5 -1.1 -3.5 -3.1 -3.9 -3.8 -10.1 5.0 -10.9 -1.4 -0.1 6.7 7.0 4.4 7.4 5.7 7.0 7.3 -7.1 2.0 -0.7 -16.0 3.0 -2.3 3.4 -2.1 1.7 -0.0 13.6 -12.6 0.1 18.2 20.0 -16.3 -20.0 -12.4 -10.3 COPPER -8.8 8.3 8.4 -2.1 -11.3 -0.6 -10.8 -0.1 -6.3 -14.9 -1.0 -14.7 -3.2 -4.6 7.1 -5.7 -4.6 -5.9 -5.6 2.5 1.7 -14.8 -2.9 -5.8 -8.4 1.9 -9.2 1.6 -7.1 -0.7 -2.4 1.3 5.6 4.7 12.3 6.3 -9.2 -8.3 9.0 -5.6 CORN -11.9 -4.6 -5.3 -7.0 -2.1 -7.0 -6.2 -7.8 -7.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -11.0 -2.3 -9.2 -6.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.4 -12.8 -5.7 -11.9 -5.7 -11.4 -2.9 -20.0 -20.0 -13.6 1.7 -7.9 -13.4 -1.6 2.7 COTTON2 7.9 -0.4 -15.7 -6.2 -1.9 -6.1 -5.4 -6.9 -6.7 16.2 -13.3 13.7 -8.8 1.3 -13.8 -10.3 -1.2 -8.2 -5.4 -8.7 -12.5 6.1 -10.7 0.6 -20.0 -2.4 6.2 -4.9 5.4 -2.8 3.1 -0.5 20.0 18.3 12.9 -12.0 -17.5 -15.2 -5.5 0.4 CRUDE_W -1.8 -13.0 -7.1 -4.6 3.1 -2.7 0.8 0.8 -2.5 5.7 4.0 -7.4 5.8 -9.4 -14.4 6.3 9.5 7.6 8.8 -7.7 -1.0 -1.8 6.5 -6.5 -4.3 -5.1 2.0 -0.6 -1.6 4.6 -4.7 -1.1 -6.1 -6.9 3.7 11.7 20.0 14.5 20.0 15.4 DAX -17.6 20.0 11.5 5.0 -1.8 4.0 -1.2 2.2 2.0 -4.9 15.6 -6.1 18.3 13.4 19.7 -15.2 -9.8 -13.4 -11.6 20.0 18.9 -2.7 12.7 8.9 17.9 5.4 -0.9 4.5 -1.0 2.6 1.8 -7.9 -0.1 -11.4 7.6 4.8 3.5 6.0 13.5 18.6 DOW 0.3 20.0 20.0 4.5 -0.5 3.5 -0.6 1.9 2.1 -6.6 17.5 7.3 16.6 18.8 20.0 -12.0 -9.5 -11.3 -10.7 20.0 20.0 6.0 17.9 20.0 -13.9 6.4 -0.5 5.2 0.7 3.3 3.9 -7.1 4.0 6.6 20.0 12.4 -8.1 -3.8 -6.7 -6.9 DX 1.6 -15.9 -13.9 4.2 -2.1 3.6 -0.5 2.3 2.3 13.5 -0.1 12.6 -6.3 -2.8 -9.9 5.4 6.0 5.9 6.1 -10.9 -6.6 4.1 0.6 -4.1 -20.0 -4.6 1.3 -2.4 -0.2 0.6 -3.1 14.3 14.7 -16.4 -20.0 -20.0 16.5 3.7 20.0 10.9 EUR -0.7 7.9 9.4 4.6 -2.3 3.9 -0.6 2.6 2.5 -1.7 -0.1 -10.2 7.0 2.7 10.3 -5.5 -6.6 -5.9 -6.2 7.8 4.9 -1.5 0.2 3.4 12.8 5.0 -0.3 2.8 1.3 0.3 3.9 -7.2 8.7 2.9 -9.2 -2.8 -20.0 -11.9 -16.2 -7.2 EURIBOR-ICE -18.0 20.0 20.0 2.0 0.0 1.1 0.3 -0.4 1.3 -3.8 6.1 -4.2 1.6 4.5 6.7 0.9 -5.4 -1.6 -3.8 13.3 12.4 -2.3 3.8 5.2 15.9 2.6 -0.1 2.3 -0.3 0.8 1.1 -6.4 -7.4 -4.4 4.3 13.4 -20.0 -20.0 6.9 20.0 EUROSTX -18.7 16.1 9.6 5.1 -1.9 4.1 -1.3 2.3 2.1 -10.9 15.0 -15.6 19.8 5.2 17.8 10.7 -0.4 4.1 0.6 16.3 17.2 -7.7 15.7 2.0 2.9 4.7 -1.6 5.0 -2.5 3.9 0.1 9.9 -2.6 -19.4 -7.5 3.1 -0.7 8.4 4.2 16.4 FEEDCOW 14.9 -11.2 -20.0 -4.4 -1.3 -4.4 -3.9 -4.9 -4.7 12.5 -9.3 12.9 -2.2 5.7 -9.2 -20.0 -20.0 -20.0 -20.0 -12.2 -17.2 7.1 -5.7 2.3 -2.4 -3.7 1.8 -3.7 0.8 0.8 -0.7 -20.0 6.2 12.9 1.3 -20.0 13.5 4.0 20.0 12.1 GASOIL 3.1 -13.1 -11.1 -3.8 2.4 -2.3 1.0 0.7 -1.8 8.9 3.9 3.0 5.5 -1.4 -10.5 16.1 20.0 16.4 18.6 -6.6 -1.8 2.5 7.1 -2.2 7.8 -2.9 1.2 -0.2 1.0 3.6 -1.0 17.6 0.9 7.9 6.0 5.3 -10.4 -2.9 -20.0 -8.8 GASOLINE 1.8 -5.8 -14.8 -4.7 3.2 -2.7 0.9 0.9 -2.5 10.3 -2.5 -0.9 4.1 0.2 -11.8 -20.0 9.0 -20.0 -10.3 -6.4 -4.5 1.3 3.8 -2.6 -20.0 -4.3 3.7 -2.2 0.1 3.9 -2.6 -12.1 -6.5 -0.9 12.6 -0.0 20.0 12.3 20.0 10.4 GAS_US_mini 20.0 -10.3 -2.3 -3.4 2.2 -1.9 0.6 0.6 -1.8 6.2 -11.1 9.6 -14.7 -1.3 -8.9 20.0 -20.0 15.2 -10.3 -11.5 -18.1 7.6 -20.0 1.0 19.8 -2.8 1.3 -3.9 2.1 -3.1 0.5 -20.0 5.1 17.5 -5.5 2.8 -17.6 3.3 -20.0 -0.7 GBP 1.5 12.3 7.5 5.1 -2.6 4.4 -0.6 2.8 2.8 11.2 1.3 6.9 10.5 13.7 16.3 0.1 -0.6 -0.2 -0.4 12.7 8.8 4.7 4.2 9.5 2.2 6.3 0.6 3.7 3.1 1.0 5.7 3.0 20.0 5.8 0.8 -2.6 -15.9 -0.2 -12.5 11.3 GOLD_micro -2.2 6.5 13.5 -2.0 -10.7 -0.6 -10.2 -0.1 -6.0 -2.1 8.9 -8.8 7.5 2.4 12.4 -13.4 -13.9 -13.9 -14.3 8.2 8.2 -3.6 5.0 1.1 -5.4 2.7 2.2 3.4 -1.7 2.6 -0.5 -14.4 19.4 10.6 12.2 11.9 -20.0 -20.0 -17.2 -17.4 HEATOIL 3.1 -13.4 -13.2 -4.4 3.0 -2.5 0.8 0.8 -2.4 14.4 2.5 3.3 4.0 -5.2 -12.3 20.0 20.0 20.0 20.0 -8.5 -3.8 4.8 5.5 -2.7 -20.0 -3.1 4.7 -0.4 2.7 4.9 -0.4 20.0 6.6 9.1 10.1 4.5 14.7 0.8 12.8 -4.0 JGB-SGX-mini 13.5 20.0 10.5 1.9 0.0 1.0 0.2 -0.4 1.3 7.0 3.8 7.8 4.1 7.9 7.6 8.5 18.3 12.3 14.6 9.4 5.7 9.3 2.6 10.0 -2.7 2.4 2.5 1.2 2.5 0.1 2.6 20.0 15.0 8.3 0.9 -1.4 0.6 -20.0 10.3 15.8 JPY -8.7 20.0 20.0 2.5 -1.3 2.2 -0.3 1.4 1.4 -8.0 -4.7 -8.2 -8.1 0.5 3.0 -13.9 -16.0 -15.6 -16.3 1.4 -2.5 -7.2 -9.2 -2.3 20.0 1.3 -2.3 -0.8 -1.8 -3.5 0.2 -20.0 -12.7 -10.4 0.3 -7.0 -9.9 -20.0 -4.5 -20.0 LEANHOG 6.2 -2.6 -6.7 -4.7 -1.4 -4.6 -4.1 -5.2 -5.1 13.4 -5.6 12.9 -10.6 0.1 -8.2 -20.0 0.0 -20.0 -11.2 -5.9 -11.1 13.0 -14.7 3.4 15.4 2.6 6.1 -2.1 8.4 -6.5 6.7 -0.2 20.0 20.0 10.3 2.3 -12.2 -8.4 6.3 11.2 LIVECOW 9.1 -16.8 -20.0 -5.1 -1.5 -5.1 -4.5 -5.7 -5.6 6.9 -10.2 10.1 -1.6 -0.0 -11.3 -16.5 -6.3 -12.6 -9.7 -18.1 -19.9 4.1 -5.7 -3.2 -0.3 -5.8 0.6 -4.5 -0.7 1.0 -3.0 -7.3 4.8 3.3 -9.0 -20.0 8.0 -4.9 13.6 1.2 LUMBER-new -3.3 12.7 12.3 -7.3 -2.2 -7.1 -6.4 -6.9 -7.9 -20.0 -1.1 -17.0 -17.2 3.7 17.0 -12.6 -14.1 -13.1 -13.7 14.3 7.8 -13.6 -4.8 3.4 NaN 5.7 -8.5 3.6 -5.8 -0.1 1.2 -18.8 -20.0 20.0 20.0 20.0 -12.6 -20.0 -6.3 -20.0 MILK 2.5 -18.6 -11.8 -5.5 -1.6 -5.4 -4.8 -6.1 -5.9 -6.1 -19.1 -9.7 -18.9 -17.6 -19.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -5.9 -20.0 -19.6 12.8 -7.0 -1.0 -7.3 -1.1 -7.5 -4.3 -20.0 11.8 -13.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 6.9 12.2 7.0 5.5 -2.8 4.7 -0.7 3.1 3.1 9.6 19.1 14.2 20.0 18.5 20.0 16.0 16.4 15.2 15.3 20.0 20.0 11.3 20.0 18.3 -20.0 7.4 2.8 6.5 4.3 8.1 6.7 20.0 20.0 14.0 -4.6 -5.0 12.6 19.3 20.0 20.0 NASDAQ_micro -6.4 18.4 12.9 3.4 -0.4 2.7 -0.5 1.4 1.6 12.5 13.6 4.9 13.9 9.3 13.7 -11.6 -9.3 -11.0 -10.3 20.0 20.0 8.8 20.0 13.0 -20.0 5.2 3.3 4.9 3.1 4.9 4.1 -6.5 20.0 14.1 6.5 10.4 14.8 -5.3 17.2 -7.3 NIKKEI 15.9 4.6 4.2 4.5 -1.7 3.6 -1.1 2.0 1.8 18.9 18.8 20.0 19.0 18.5 19.1 18.8 11.9 14.9 12.7 20.0 18.2 20.0 19.6 20.0 -14.2 6.3 15.6 4.5 13.8 4.7 10.0 20.0 20.0 20.0 2.0 0.1 -11.4 -1.8 -5.0 2.1 NZD -4.0 19.5 15.2 5.1 -2.6 4.4 -0.6 2.8 2.8 -11.7 6.3 -12.0 3.1 9.6 15.0 0.4 0.2 0.2 0.2 17.2 12.4 -5.8 0.8 6.9 0.7 6.2 -3.5 4.4 -0.6 0.9 3.5 4.1 -2.0 -0.3 5.2 7.8 -9.8 -11.8 -6.7 4.7 OAT -18.1 20.0 20.0 2.6 0.0 1.4 0.3 -0.5 1.7 -7.5 5.8 -8.5 -1.3 3.5 7.0 4.8 6.8 5.1 5.6 12.3 10.1 -5.8 0.4 3.1 7.5 2.6 -1.0 2.2 -1.1 0.3 0.6 12.8 -8.8 -13.2 -0.3 5.2 -18.6 -20.0 2.5 5.2 OATIES 8.2 2.0 -20.0 -2.3 -0.7 -2.3 -2.0 -2.6 -2.5 1.6 -6.1 0.7 -4.7 -0.7 -6.2 3.1 -6.6 -3.7 -7.7 -5.2 -6.3 0.6 -3.6 -1.6 -20.0 -2.1 0.6 -2.6 0.7 -1.5 -0.3 -8.5 2.0 6.6 2.3 -15.1 -1.2 5.9 8.5 18.9 OJ -20.0 -20.0 -20.0 -3.5 -1.1 -3.5 -3.1 -3.9 -3.8 -7.3 5.6 -10.5 10.0 -11.4 -6.6 3.1 18.6 11.2 16.2 -11.5 7.6 -18.3 20.0 -20.0 -20.0 -1.8 -1.8 2.9 -3.8 6.4 -4.5 20.0 -12.1 -20.0 -18.2 20.0 10.4 12.3 20.0 20.0 PALLAD -12.6 13.1 10.4 -0.9 -4.7 -0.3 -4.5 -0.0 -2.6 -6.7 -5.5 -6.8 -7.6 -3.6 -3.0 -1.7 -2.2 -1.9 -2.1 -4.3 -6.0 -9.4 -9.8 -6.5 6.4 -1.1 -1.9 -2.0 -1.8 -2.6 -1.0 6.3 0.2 3.8 1.4 -8.7 -6.1 -7.2 -0.6 -2.0 PLAT -5.9 9.2 7.1 -1.6 -8.4 -0.5 -8.1 -0.1 -4.7 -12.7 -3.4 -12.0 -5.7 -2.6 4.1 -3.5 -2.9 -3.5 -3.3 1.8 0.5 -17.6 -2.9 -6.0 13.1 0.7 -8.8 0.8 -7.0 -0.1 -2.5 4.7 -11.1 3.0 9.0 3.5 -6.0 -7.6 16.0 -1.4 REDWHEAT -1.5 6.8 -12.2 -4.9 -1.5 -4.9 -4.3 -5.4 -5.3 -12.1 -15.8 -13.2 -16.6 -4.3 -11.0 -3.4 -1.5 -3.8 -3.2 -13.0 -20.0 -7.1 -20.0 -8.2 -13.2 -6.4 -2.5 -8.3 -3.2 -7.9 -4.6 1.2 -2.4 -7.2 -0.1 -16.4 -20.0 -20.0 -20.0 -14.4 RICE -5.3 0.3 7.5 -5.1 -1.5 -5.1 -4.5 -5.6 -5.5 -1.6 14.5 -2.2 12.1 4.6 11.9 -12.4 -0.1 -13.2 -7.7 10.7 11.6 4.0 9.1 6.6 -20.0 -0.0 1.1 2.6 -3.1 2.7 -3.5 0.2 -20.0 -0.5 5.0 16.5 -1.7 -10.7 8.3 -1.2 ROBUSTA 4.4 19.6 0.8 -3.1 2.2 -3.2 -1.2 -3.6 -2.9 9.8 10.3 8.8 10.6 9.8 10.3 20.0 20.0 20.0 20.0 18.8 16.3 11.7 13.4 15.7 -18.0 4.1 1.7 3.5 2.0 2.8 3.3 20.0 17.6 20.0 20.0 20.0 -11.4 -14.4 -1.2 1.2 RUSSELL -5.2 20.0 12.1 2.6 -0.3 2.0 -0.4 1.1 1.2 -10.5 4.8 -9.0 1.0 4.3 7.5 -5.9 -6.1 -6.2 -6.4 11.3 7.5 -5.6 1.4 4.4 -1.9 2.6 -1.7 1.7 -1.2 0.6 0.9 -0.4 -11.0 -2.6 3.7 -3.0 -20.0 -17.7 -20.0 -19.3 SHATZ -14.2 20.0 20.0 2.0 0.0 1.0 0.2 -0.4 1.3 -3.9 1.7 -4.8 -4.5 3.0 4.6 -20.0 -20.0 -20.0 -20.0 5.7 3.9 -4.2 -3.2 0.7 8.6 2.0 -0.4 1.3 -0.7 -0.5 0.6 -20.0 -9.4 -6.8 -0.4 3.5 -16.6 -20.0 -6.9 -20.0 SILVER-mini -11.7 -1.8 3.1 -1.8 -9.3 -0.5 -8.9 -0.1 -5.2 -6.6 -0.5 -11.4 2.3 -10.8 0.6 -6.7 -6.4 -6.9 -6.8 -3.5 -1.0 -10.3 -0.6 -9.0 5.6 -2.4 -1.1 -0.7 -4.2 0.2 -4.4 -1.3 10.2 3.4 -3.1 -2.2 -20.0 -19.1 6.6 -12.5 SMI -0.2 20.0 1.9 5.1 -1.9 4.1 -1.3 2.3 2.0 2.6 3.4 11.9 4.2 20.0 20.0 12.5 4.5 9.2 6.2 18.8 7.8 6.0 -0.8 16.2 11.2 7.0 -0.2 3.5 1.8 0.1 6.0 19.1 20.0 8.8 7.3 -9.2 1.2 -6.4 7.4 -6.1 SOFR -2.3 20.0 19.0 2.6 0.7 1.3 0.5 -0.6 1.8 4.3 3.8 -2.1 -0.7 6.2 8.6 1.6 -0.1 1.0 0.3 11.1 6.7 1.5 -1.1 6.3 -1.9 3.1 1.6 1.7 1.0 -0.2 2.2 2.1 1.2 -0.9 0.2 1.1 -20.0 -20.0 -5.6 -5.6 SOYBEAN -20.0 -18.0 -4.7 -6.2 -1.9 -6.2 -5.5 -6.9 -6.7 -17.8 3.3 -20.0 5.0 -20.0 -18.2 13.1 17.0 14.6 14.8 -20.0 -10.7 -20.0 -3.3 -20.0 -20.0 -5.3 -4.3 -0.9 -7.8 0.8 -9.0 20.0 -16.7 -20.0 -10.4 6.3 -20.0 -20.0 -20.0 -20.0 SOYMEAL -20.0 -20.0 1.2 -4.9 -1.5 -4.9 -4.3 -5.4 -5.3 -15.8 -7.3 -17.5 0.8 -17.9 -12.6 3.8 15.4 9.9 12.7 -20.0 -8.6 -20.0 0.4 -20.0 -20.0 -4.4 -5.1 -0.7 -6.3 1.8 -6.9 20.0 -20.0 -20.0 -20.0 7.6 -20.0 -20.0 -20.0 -19.2 SOYOIL -7.7 -8.7 -20.0 -4.0 -1.2 -4.0 -3.5 -4.5 -4.3 7.4 -7.2 -7.6 -7.0 -11.3 -13.7 -4.4 7.1 0.1 3.8 -13.7 -14.6 -2.7 -10.5 -8.7 -20.0 -3.3 1.1 -3.7 -0.6 -2.9 -2.2 14.8 7.4 -1.7 7.4 -15.2 -9.5 -1.6 -1.5 8.3 SP400 -4.1 20.0 10.2 3.0 -0.3 2.3 -0.4 1.2 1.4 -7.8 7.1 -7.7 4.6 6.6 10.0 -5.2 -5.1 -5.3 -5.2 13.7 9.6 -2.7 3.6 6.7 -9.7 3.2 -0.8 2.3 -0.7 1.1 1.4 1.5 -6.5 -2.7 4.0 -1.8 -19.0 -8.6 -20.0 -20.0 SP500_micro -1.4 20.0 13.6 4.4 -0.4 3.4 -0.6 1.8 2.0 13.7 16.2 9.2 15.5 15.8 18.7 -12.3 -10.3 -11.8 -11.3 20.0 20.0 9.9 17.5 19.1 -20.0 6.2 2.4 5.3 2.7 4.2 4.6 -8.2 18.2 12.8 9.5 6.5 5.1 -5.0 10.8 -7.6 SUGAR11 5.0 -20.0 -20.0 -2.7 -0.8 -2.7 -2.4 -3.0 -2.9 5.5 -4.1 4.6 5.1 -7.1 -7.2 13.0 19.2 20.0 20.0 -13.1 -7.4 0.2 2.1 -8.1 -19.6 -2.8 0.3 -1.5 -0.1 0.8 -1.8 20.0 6.5 0.7 -20.0 -10.8 3.6 -7.3 12.9 6.2 US10 -1.3 20.0 19.0 2.1 0.6 1.1 0.4 -0.5 1.5 5.3 0.4 -1.0 -3.2 5.2 6.7 -9.8 -7.5 -8.5 -8.1 7.9 3.0 2.0 -4.9 5.2 1.5 2.4 1.5 0.9 0.9 -1.0 1.8 -11.6 2.8 -1.5 -0.1 -1.9 -20.0 -20.0 -13.2 5.9 US10U -3.1 20.0 16.2 2.9 0.8 1.5 0.5 -0.6 2.0 2.7 0.6 -4.5 -4.3 6.1 8.7 2.8 0.6 2.2 1.3 10.3 3.5 0.3 -7.1 5.9 -1.7 3.1 1.2 1.1 0.6 -1.4 2.1 3.4 -0.4 -4.5 -0.8 -4.3 -20.0 -20.0 4.9 15.7 US2 3.8 20.0 20.0 1.9 0.5 1.0 0.4 -0.4 1.3 5.5 -1.5 2.9 -5.0 6.0 6.4 -20.0 -20.0 -20.0 -20.0 6.9 2.2 5.2 -5.9 5.8 8.3 2.6 2.8 1.2 1.9 -1.0 2.3 -20.0 8.8 3.7 1.4 3.5 -17.1 -20.0 -12.0 -20.0 US20 -2.4 20.0 15.2 2.1 0.6 1.1 0.4 -0.5 1.4 -0.4 1.3 -3.7 -2.5 4.6 6.4 -0.5 -1.2 -0.6 -1.0 8.8 3.3 -0.2 -4.8 5.1 -1.8 2.2 0.5 0.8 0.2 -1.0 1.5 -0.4 -2.6 -3.4 1.6 -3.2 -20.0 -20.0 20.0 20.0 US30 -6.8 20.0 14.7 2.4 0.6 1.2 0.4 -0.5 1.7 -5.9 1.2 -6.9 -3.7 4.2 6.9 -6.8 -4.5 -5.8 -5.3 8.0 2.7 -3.2 -6.2 3.1 -1.4 2.2 -0.3 0.7 -0.5 -1.3 1.1 -6.4 -6.3 -8.3 -0.9 -5.1 -13.4 -17.4 20.0 20.0 US5 0.5 20.0 20.0 2.1 0.6 1.1 0.4 -0.5 1.5 5.7 0.5 1.2 -3.6 5.8 7.0 -9.2 -10.1 -9.6 -10.3 8.1 3.5 3.5 -4.4 5.8 3.7 2.6 2.2 1.2 1.5 -0.7 2.2 -15.9 5.8 0.7 0.3 0.8 -20.0 -20.0 -20.0 -10.3 VIX -1.8 -12.0 -16.8 -5.7 -3.8 -7.2 -5.2 -9.9 -5.0 -13.0 -20.0 -17.1 -20.0 -18.1 -19.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -14.6 -20.0 -18.5 NaN -6.8 -3.2 -8.4 -4.8 -11.2 -5.5 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 0.8 11.9 2.4 -5.3 -1.6 -5.3 -4.7 -5.9 -5.7 -12.3 -15.4 -12.0 -18.0 3.4 2.3 -10.1 -10.4 -10.7 -10.8 -4.8 -12.6 -6.5 -20.0 -3.8 -3.4 -2.7 -5.6 -5.5 -3.3 -8.5 -2.4 -13.2 -0.2 1.8 9.5 4.1 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3