******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240118_204006 produced at 2024-01-18 21:36:52.691883 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.29 0.0 0.10 -0.10 -0.10 -0.10 -48.64 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.14 0.0 0.00 0.00 0.00 0.00 -3.44 24.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.08 -0.09 0.0 0.10 -0.10 -0.08 -0.08 -10.56 12.0 -9 -9 caleb_strategy_v3 COPPER False False 0.03 -0.07 -0.09 0.0 0.20 -0.20 -0.07 -0.07 -2.75 6.0 -2 -2 caleb_strategy_v3 SOFR False True 0.09 0.00 -0.08 0.0 0.00 0.00 0.00 0.00 -0.98 11.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -0.93 13.0 0 0 caleb_strategy_v3 CAD False False 0.03 0.00 -0.07 0.0 0.76 -0.76 0.00 0.00 -2.51 29.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.17 -0.17 -0.02 -0.02 -21.18 51.0 -6 -6 caleb_strategy_v3 CHF False False 0.05 -0.15 -0.06 0.0 0.67 -0.67 -0.15 -0.15 -1.14 13.0 -3 -3 caleb_strategy_v3 MILK False False 0.01 0.00 -0.06 0.0 0.06 -0.06 0.00 0.00 -5.30 5.0 0 0 caleb_strategy_v3 BOBL False False 0.05 -0.36 -0.05 0.0 0.86 -0.86 -0.36 -0.36 -1.13 19.0 -8 -8 caleb_strategy_v3 JPY False False 0.03 -0.12 -0.04 0.0 0.51 -0.51 -0.12 -0.15 -1.23 17.0 -4 -5 caleb_strategy_v3 LIVECOW False False 0.03 0.00 -0.04 0.0 0.43 -0.43 0.00 0.00 -1.76 17.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.13 -0.04 0.0 0.40 -0.40 -0.13 -0.14 -5.29 56.0 -18 -19 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.15 -0.15 -0.04 -0.04 -1.57 7.0 -2 -2 caleb_strategy_v3 LUMBER-new False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -6.05 3.0 0 0 caleb_strategy_v3 SP400 False False 0.10 0.00 -0.03 0.0 0.19 -0.19 0.00 0.00 -0.33 2.0 0 0 caleb_strategy_v3 US5 False False 0.04 0.00 -0.03 0.0 0.95 -0.95 0.00 0.00 -0.80 25.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.03 0.0 0.23 -0.23 -0.03 -0.03 -8.30 68.0 -9 -9 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.03 0.0 0.34 -0.34 -0.04 -0.04 -0.70 8.0 -1 -1 caleb_strategy_v3 AUD False False 0.02 0.00 -0.03 0.0 0.44 -0.44 0.00 0.00 -1.24 19.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.10 -0.10 -0.04 -0.04 -2.47 9.0 -4 -4 caleb_strategy_v3 COTTON2 False False 0.01 -0.06 -0.03 0.0 0.16 -0.16 -0.06 -0.06 -2.07 11.0 -4 -4 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.51 2.0 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 -0.86 0.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 -0.04 -0.02 0.0 0.11 -0.11 -0.04 -0.04 -1.62 9.0 -3 -3 caleb_strategy_v3 US10 False False 0.04 -0.08 -0.02 0.0 0.67 -0.67 -0.08 -0.08 -0.45 17.0 -2 -2 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.02 0.0 0.10 -0.10 -0.03 -0.03 -1.50 10.0 -3 -3 caleb_strategy_v3 GASOLINE False False 0.04 0.00 -0.02 0.0 0.14 -0.14 0.00 0.00 -0.51 4.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.09 -0.09 -0.03 -0.03 -2.30 8.0 -3 -3 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.01 0.0 0.07 -0.07 0.00 0.00 -0.15 2.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.01 -0.01 0.0 0.06 -0.06 -0.01 -0.01 -4.01 26.0 -4 -4 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -1.12 4.0 0 0 caleb_strategy_v3 EUR False False 0.05 0.00 -0.01 0.0 0.67 -0.67 0.00 -0.05 -0.21 14.0 0 -1 caleb_strategy_v3 OJ False False 0.02 0.00 -0.01 0.0 0.05 -0.05 0.00 0.00 -0.35 3.0 0 0 caleb_strategy_v3 DX False False 0.04 0.00 -0.01 0.0 999.00 -999.00 0.00 0.00 -0.22 999999999.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 0.00 0.0 0.53 -0.53 0.00 0.00 0.03 13.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.13 0.00 0.0 0.38 -0.38 0.13 0.13 0.06 9.0 3 3 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.00 0.0 0.16 -0.16 -0.01 -0.01 -0.56 18.0 -1 -1 caleb_strategy_v3 BUND False False 0.05 0.00 -0.00 0.0 0.52 -0.52 0.00 0.00 -0.05 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 -0.08 4.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.08 12.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.27 -0.27 0.00 0.00 -0.08 6.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.17 6.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.25 10.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.09 -0.00 0.0 0.45 -0.45 0.09 0.04 -0.04 21.0 4 2 caleb_strategy_v3 ROBUSTA False False 0.01 0.01 0.01 0.0 0.24 -0.24 0.01 0.01 1.03 23.0 1 1 caleb_strategy_v3 BTP False False 0.05 0.05 0.01 0.0 0.45 -0.45 0.05 0.05 0.22 10.0 1 1 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.01 0.0 0.11 -0.11 0.00 0.00 0.33 3.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.02 0.02 0.0 0.14 -0.14 0.02 0.02 2.25 13.0 2 2 caleb_strategy_v3 BITCOIN False False 0.00 0.00 0.02 0.0 0.09 -0.09 0.00 0.01 15.29 59.0 0 6 caleb_strategy_v3 GASOIL False False 0.03 0.00 0.02 0.0 0.11 -0.11 0.00 0.00 0.77 4.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.11 0.02 0.0 0.28 -0.28 0.11 0.11 2.06 23.0 9 9 caleb_strategy_v3 DOW False False 0.01 0.03 0.02 0.0 0.44 -0.44 0.03 0.03 3.23 66.0 4 4 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.03 0.0 0.41 -0.41 0.03 0.03 3.00 48.0 4 3 caleb_strategy_v3 OAT False False 0.05 0.00 0.03 0.0 0.50 -0.50 0.00 0.00 0.68 10.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.03 0.03 0.04 0.0 0.13 -0.13 0.03 0.03 1.49 5.0 1 1 caleb_strategy_v3 COCOA False False 0.02 0.03 0.04 0.0 0.41 -0.41 0.03 0.03 2.66 26.0 2 2 caleb_strategy_v3 GBP False False 0.03 0.11 0.05 0.0 0.62 -0.62 0.11 0.11 1.74 22.0 4 4 caleb_strategy_v3 EUROSTX False False 0.02 0.28 0.05 0.0 0.35 -0.35 0.28 0.26 3.13 20.0 16 15 caleb_strategy_v3 DAX False False 0.01 0.00 0.08 0.0 0.37 -0.37 0.00 0.00 12.50 58.0 0 0 caleb_strategy_v3 SMI False False 0.05 0.37 0.12 0.0 0.41 -0.41 0.37 0.37 2.61 9.0 8 8 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.27 0.0 0.31 -0.31 0.28 0.29 32.28 36.0 33 34 caleb_strategy_v3 MXP False False 0.01 0.53 0.38 0.0 0.61 -0.61 0.53 0.53 36.94 60.0 52 52 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.66 0.56 0.0 0.94 -0.94 0.66 0.66 5.91 10.0 7 7 caleb_strategy_v3 JGB-SGX-mini False False 0.04 0.49 0.85 0.0 0.56 -0.56 0.49 0.49 24.11 16.0 14 14 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 19.2 Shocked risk 53.6 Sum abs risk 48.8 Leverage 4.31 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2823630.01, 'annual_cash_vol_target': 705907.5025, 'daily_cash_vol_target': 44119.21890625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6575 0.6289 10.0621 BITCOIN 1214.5513 41025.0000 2.9605 47.3682 BOBL 0.2728 117.4900 0.2322 3.7146 BTP 0.6199 117.1500 0.5292 8.4665 BUND 0.5346 133.8600 0.3994 6.3903 BUXL 1.2615 134.2600 0.9396 15.0341 CAC 54.5767 7437.0000 0.7339 11.7417 CAD 0.0027 0.7412 0.3598 5.7563 CANOLA 6.8497 638.2000 1.0733 17.1726 CHF 0.0052 1.1574 0.4481 7.1695 COCOA 46.0179 4430.0000 1.0388 16.6205 COFFEE 3.9094 178.8500 2.1858 34.9734 COPPER 0.0396 3.7530 1.0544 16.8700 CORN 4.0663 475.5000 0.8552 13.6828 COTTON2 0.9134 83.3500 1.0959 17.5346 CRUDE_W 1.1235 71.3500 1.5747 25.1948 DAX 115.1057 16699.0000 0.6893 11.0288 DOW 193.6814 37602.0000 0.5151 8.2413 DX 0.4081 103.3000 0.3950 6.3202 EUR 0.0049 1.0890 0.4480 7.1678 EURIBOR-ICE 0.0543 97.7550 0.0556 0.8892 EUROSTX 34.5959 4489.0000 0.7707 12.3309 FEEDCOW 1.9161 242.5250 0.7901 12.6411 GASOIL 12.5631 759.5000 1.6541 26.4660 GASOLINE 0.0391 2.4037 1.6269 26.0303 GAS_US_mini 0.0921 2.4000 3.8375 61.4000 GBP 0.0063 1.2694 0.4981 7.9692 GOLD_micro 14.8589 2022.8000 0.7346 11.7531 HEATOIL 0.0407 2.5347 1.6070 25.7126 JGB-SGX-mini 0.2772 146.6700 0.1890 3.0241 JPY 0.0000 0.0068 0.6848 10.9567 LEANHOG 1.1303 78.4000 1.4417 23.0670 LIVECOW 1.3046 177.6000 0.7346 11.7528 LUMBER-new 6.9410 545.5000 1.2724 20.3585 MILK 0.1784 16.0500 1.1117 17.7872 MXP 0.0004 0.0576 0.7124 11.3979 NASDAQ_micro 126.5625 17113.5000 0.7395 11.8328 NIKKEI 305.5771 35490.0000 0.8610 13.7764 NZD 0.0040 0.6106 0.6543 10.4683 OAT 0.5432 128.4100 0.4230 6.7686 OATIES 7.9295 365.2500 2.1710 34.7356 OJ 6.2241 298.4500 2.0855 33.3674 PALLAD 27.4419 941.0000 2.9163 46.6601 PLAT 14.7537 914.1000 1.6140 25.8243 REDWHEAT 10.1608 607.7500 1.6719 26.7500 RICE 0.1754 17.8850 0.9810 15.6955 ROBUSTA 49.8874 2911.0000 1.7138 27.4201 RUSSELL 22.3294 1933.3000 1.1550 18.4799 SHATZ 0.0987 105.8950 0.0932 1.4911 SILVER-mini 0.3542 23.1000 1.5334 24.5340 SMI 66.8314 11160.0000 0.5988 9.5816 SOFR 0.0679 96.5500 0.0703 1.1248 SOYBEAN 9.4913 1191.7500 0.7964 12.7427 SOYMEAL 4.6495 357.7000 1.2998 20.7972 SOYOIL 0.6271 47.9200 1.3086 20.9376 SP400 24.5442 2726.2000 0.9003 14.4049 SP500_micro 28.6489 4807.2500 0.5960 9.5352 SUGAR11 0.4075 22.4000 1.8193 29.1086 US10 0.4290 111.1875 0.3858 6.1731 US10U 0.5791 115.2500 0.5025 8.0396 US2 0.1315 102.6758 0.1281 2.0496 US20 0.8750 119.9062 0.7297 11.6756 US30 1.2910 125.6250 1.0277 16.4430 US5 0.2901 107.7969 0.2691 4.3061 VIX 0.4478 16.5500 2.7059 43.2946 WHEAT 8.7065 630.2500 1.3814 22.1030 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 657.50 0.63 413.49 1.00 413.49 44119.22 106.70 -4.47 -47.65 BITCOIN 41.02 2.96 121.46 1.00 121.46 44119.22 363.26 3.89 141.15 BOBL 1174.90 0.23 272.77 1.09 296.32 44119.22 148.89 -7.49 -111.58 BTP 1171.50 0.53 619.91 1.09 673.43 44119.22 65.51 1.01 6.60 BUND 1338.60 0.40 534.63 1.09 580.80 44119.22 75.96 -0.62 -4.69 BUXL 1342.60 0.94 1261.55 1.09 1370.48 44119.22 32.19 -2.58 -8.30 CAC 743.70 0.73 545.77 1.09 592.89 44119.22 74.41 -0.31 -2.28 CAD 741.25 0.36 266.68 1.00 266.68 44119.22 165.44 -5.86 -96.92 CANOLA 127.64 1.07 136.99 0.74 101.37 44119.22 435.24 -20.00 -870.47 CHF 1446.75 0.45 648.28 1.00 648.28 44119.22 68.06 -6.43 -43.76 COCOA 443.00 1.04 460.18 1.00 460.18 44119.22 95.87 12.95 124.12 COFFEE 670.69 2.19 1466.01 1.00 1466.01 44119.22 30.09 -4.90 -14.75 COPPER 938.25 1.05 989.27 1.00 989.27 44119.22 44.60 -5.70 -25.41 CORN 237.75 0.86 203.32 1.00 203.32 44119.22 217.00 -20.00 -433.99 COTTON2 416.75 1.10 456.72 1.00 456.72 44119.22 96.60 -10.00 -96.63 CRUDE_W 713.50 1.57 1123.53 1.00 1123.53 44119.22 39.27 3.50 13.74 DAX 166.99 0.69 115.11 1.09 125.05 44119.22 352.83 10.39 366.42 DOW 188.01 0.52 96.84 1.00 96.84 44119.22 455.59 3.05 139.06 DX 1033.00 0.40 408.05 1.00 408.05 44119.22 108.12 -0.79 -8.56 EUR 1361.19 0.45 609.80 1.00 609.80 44119.22 72.35 -1.12 -8.12 EURIBOR-ICE 2443.88 0.06 135.82 1.09 147.55 44119.22 299.01 5.79 173.19 EUROSTX 448.90 0.77 345.96 1.09 375.83 44119.22 117.39 7.83 91.88 FEEDCOW 1212.62 0.79 958.06 1.00 958.06 44119.22 46.05 -4.57 -21.06 GASOIL 759.50 1.65 1256.31 1.00 1256.31 44119.22 35.12 5.05 17.74 GASOLINE 1009.55 1.63 1642.44 1.00 1642.44 44119.22 26.86 -4.39 -11.80 GAS_US_mini 60.00 3.84 230.25 1.00 230.25 44119.22 191.61 -1.93 -37.02 GBP 793.38 0.50 395.16 1.00 395.16 44119.22 111.65 6.01 67.12 GOLD_micro 202.28 0.73 148.59 1.00 148.59 44119.22 296.92 -5.23 -155.24 HEATOIL 1064.57 1.61 1710.81 1.00 1710.81 44119.22 25.79 2.99 7.71 JGB-SGX-mini 146670.00 0.19 27721.79 0.01 187.48 44119.22 235.33 9.46 222.64 JPY 851.00 0.68 582.76 1.00 582.76 44119.22 75.71 -6.29 -47.59 LEANHOG 313.60 1.44 452.11 1.00 452.11 44119.22 97.58 3.79 37.01 LIVECOW 710.40 0.73 521.83 1.00 521.83 44119.22 84.55 -6.28 -53.12 LUMBER-new 150.01 1.27 190.88 1.00 190.88 44119.22 231.14 -12.25 -283.10 MILK 321.00 1.11 356.86 1.00 356.86 44119.22 123.63 -20.00 -247.27 MXP 288.10 0.71 205.23 1.00 205.23 44119.22 214.97 11.71 251.66 NASDAQ_micro 342.27 0.74 253.13 1.00 253.13 44119.22 174.30 5.08 88.50 NIKKEI 35490.00 0.86 30557.71 0.01 209.22 44119.22 210.88 14.14 298.12 NZD 610.60 0.65 399.50 1.00 399.50 44119.22 110.44 -0.14 -1.51 OAT 1284.10 0.42 543.23 1.09 590.13 44119.22 74.76 2.68 20.06 OATIES 182.62 2.17 396.47 1.00 396.47 44119.22 111.28 -9.29 -103.35 OJ 447.68 2.09 933.61 1.00 933.61 44119.22 47.26 -3.44 -16.28 PALLAD 941.00 2.92 2744.19 1.00 2744.19 44119.22 16.08 -2.79 -4.48 PLAT 457.05 1.61 737.69 1.00 737.69 44119.22 59.81 1.20 7.20 REDWHEAT 303.88 1.67 508.04 1.00 508.04 44119.22 86.84 -20.00 -173.68 RICE 357.70 0.98 350.89 1.00 350.89 44119.22 125.73 -3.65 -45.94 ROBUSTA 291.10 1.71 498.87 1.00 498.87 44119.22 88.44 10.02 88.60 RUSSELL 96.66 1.15 111.65 1.00 111.65 44119.22 395.17 -6.34 -250.51 SHATZ 1058.95 0.09 98.69 1.09 107.21 44119.22 411.52 -8.24 -339.02 SILVER-mini 577.50 1.53 885.53 1.00 885.53 44119.22 49.82 -5.05 -25.15 SMI 1116.00 0.60 668.31 1.16 774.74 44119.22 56.95 13.41 76.39 SOFR 2413.75 0.07 169.69 1.00 169.69 44119.22 260.00 -0.62 -16.09 SOYBEAN 595.88 0.80 474.56 1.00 474.56 44119.22 92.97 -18.20 -169.20 SOYMEAL 357.70 1.30 464.95 1.00 464.95 44119.22 94.89 -18.39 -174.48 SOYOIL 287.52 1.31 376.25 1.00 376.25 44119.22 117.26 -13.78 -161.57 SP400 2726.20 0.90 2454.42 1.00 2454.42 44119.22 17.98 -5.48 -9.86 SP500_micro 240.36 0.60 143.24 1.00 143.24 44119.22 308.00 4.19 129.01 SUGAR11 250.88 1.82 456.42 1.00 456.42 44119.22 96.66 -2.71 -26.24 US10 1111.88 0.39 428.98 1.00 428.98 44119.22 102.85 -3.46 -35.61 US10U 1152.50 0.50 579.10 1.00 579.10 44119.22 76.19 0.30 2.31 US2 2053.52 0.13 263.06 1.00 263.06 44119.22 167.72 -4.36 -73.21 US20 1199.06 0.73 874.99 1.00 874.99 44119.22 50.42 0.91 4.60 US30 1256.25 1.03 1291.03 1.00 1291.03 44119.22 34.17 -1.76 -6.03 US5 1077.97 0.27 290.11 1.00 290.11 44119.22 152.08 -4.14 -62.93 VIX 165.50 2.71 447.83 1.00 447.83 44119.22 98.52 -20.00 -197.04 WHEAT 315.12 1.38 435.33 1.00 435.33 44119.22 101.35 -18.38 -186.32 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -47.645 0.010 2.5 -1.236 BITCOIN 141.152 0.043 2.5 15.285 BOBL -111.575 0.004 2.5 -1.131 BTP 6.595 0.014 2.5 0.225 BUND -4.685 0.004 2.5 -0.048 BUXL -8.298 0.004 2.5 -0.084 CAC -2.281 0.014 2.5 -0.078 CAD -96.923 0.010 2.5 -2.515 CANOLA -870.471 0.010 2.5 -21.178 CHF -43.762 0.010 2.5 -1.135 COCOA 124.124 0.009 2.5 2.658 COFFEE -14.748 0.005 2.5 -0.172 COPPER -25.409 0.043 2.5 -2.751 CORN -433.994 0.010 2.5 -10.559 COTTON2 -96.635 0.009 2.5 -2.070 CRUDE_W 13.735 0.043 2.5 1.487 DAX 366.418 0.014 2.5 12.498 DOW 139.057 0.009 2.5 3.232 DX -8.556 0.010 2.5 -0.222 EUR -8.115 0.010 2.5 -0.211 EURIBOR-ICE 173.195 0.014 2.5 5.907 EUROSTX 91.882 0.014 2.5 3.134 FEEDCOW -21.062 0.013 2.5 -0.698 GASOIL 17.736 0.017 2.5 0.769 GASOLINE -11.803 0.017 2.5 -0.512 GAS_US_mini -37.016 0.043 2.5 -4.008 GBP 67.115 0.010 2.5 1.741 GOLD_micro -155.236 0.014 2.5 -5.295 HEATOIL 7.714 0.017 2.5 0.334 JGB-SGX-mini 222.640 0.043 2.5 24.109 JPY -47.590 0.010 2.5 -1.235 LEANHOG 37.013 0.024 2.5 2.249 LIVECOW -53.117 0.013 2.5 -1.760 LUMBER-new -283.096 0.009 2.5 -6.049 MILK -247.266 0.009 2.5 -5.296 MXP 251.655 0.059 2.5 36.937 NASDAQ_micro 88.503 0.009 2.5 2.057 NIKKEI 298.116 0.043 2.5 32.283 NZD -1.509 0.010 2.5 -0.039 OAT 20.057 0.014 2.5 0.684 OATIES -103.354 0.010 2.5 -2.515 OJ -16.276 0.009 2.5 -0.349 PALLAD -4.479 0.014 2.5 -0.153 PLAT 7.202 0.014 2.5 0.246 REDWHEAT -173.684 0.005 2.5 -2.304 RICE -45.941 0.010 2.5 -1.118 ROBUSTA 88.598 0.005 2.5 1.035 RUSSELL -250.508 0.013 2.5 -8.301 SHATZ -339.022 0.004 2.5 -3.438 SILVER-mini -25.147 0.014 2.5 -0.858 SMI 76.386 0.014 2.5 2.605 SOFR -16.093 0.024 2.5 -0.978 SOYBEAN -169.196 0.004 2.5 -1.574 SOYMEAL -174.479 0.004 2.5 -1.623 SOYOIL -161.566 0.004 2.5 -1.504 SP400 -9.856 0.013 2.5 -0.327 SP500_micro 129.014 0.009 2.5 2.998 SUGAR11 -26.236 0.009 2.5 -0.558 US10 -35.606 0.005 2.5 -0.451 US10U 2.307 0.005 2.5 0.029 US2 -73.207 0.005 2.5 -0.928 US20 4.605 0.005 2.5 0.058 US30 -6.031 0.005 2.5 -0.076 US5 -62.926 0.005 2.5 -0.797 VIX -197.036 0.099 2.5 -48.637 WHEAT -186.318 0.005 2.5 -2.472 ===================== Position diags ===================== AUD 2.77 BITCOIN 39.34 BOBL 1.51 BTP 2.23 BUND 0.77 BUXL 0.33 CAC 2.54 CAD 4.29 CANOLA 10.59 CHF 1.77 COCOA 2.05 COFFEE 0.35 COPPER 4.83 CORN 5.28 COTTON2 2.07 CRUDE_W 4.25 DAX 12.03 DOW 10.59 DX 2.81 EUR 1.88 EURIBOR-ICE 10.20 EUROSTX 4.00 FEEDCOW 1.53 GASOIL 1.52 GASOLINE 1.16 GAS_US_mini 20.75 GBP 2.90 GOLD_micro 10.13 HEATOIL 1.12 JGB-SGX-mini 25.48 JPY 1.96 LEANHOG 5.93 LIVECOW 2.80 LUMBER-new 4.94 MILK 2.65 MXP 31.55 NASDAQ_micro 4.05 NIKKEI 22.84 NZD 2.87 OAT 2.55 OATIES 2.71 OJ 1.01 PALLAD 0.55 PLAT 2.04 REDWHEAT 1.15 RICE 3.06 ROBUSTA 1.03 RUSSELL 13.09 SHATZ 4.17 SILVER-mini 1.70 SMI 1.94 SOFR 15.80 SOYBEAN 0.86 SOYMEAL 0.88 SOYOIL 1.09 SP400 0.60 SP500_micro 7.16 SUGAR11 2.06 US10 1.30 US10U 0.97 US2 2.13 US20 0.64 US30 0.43 US5 1.93 VIX 24.32 WHEAT 1.34 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.2 -1.5 -1.0 0.0 0 BITCOIN 15.3 11.4 19.2 0.0 0 BOBL -1.1 -1.3 -1.0 -8.0 -8 BTP 0.2 0.0 0.4 1.0 1 BUND -0.0 -0.1 0.0 0.0 0 BUXL -0.1 -0.1 -0.1 0.0 0 CAC -0.1 -0.3 0.2 0.0 0 CAD -2.5 -2.9 -2.1 0.0 0 CANOLA -21.2 -22.2 -20.1 -6.0 -6 CHF -1.1 -1.3 -1.0 -3.0 -3 COCOA 2.7 2.5 2.9 2.0 2 COFFEE -0.2 -0.2 -0.1 0.0 0 COPPER -2.8 -3.2 -2.3 -2.0 -2 CORN -10.6 -11.1 -10.0 -9.0 -9 COTTON2 -2.1 -2.3 -1.9 -4.0 -4 CRUDE_W 1.5 1.1 1.9 1.0 1 DAX 12.5 11.3 13.7 0.0 0 DOW 3.2 2.2 4.3 4.0 4 DX -0.2 -0.5 0.1 NaN 0 EUR -0.2 -0.4 -0.0 0.0 0 EURIBOR-ICE 5.9 4.9 6.9 7.0 7 EUROSTX 3.1 2.7 3.5 16.0 16 FEEDCOW -0.7 -0.9 -0.5 -1.0 -1 GASOIL 0.8 0.6 0.9 0.0 0 GASOLINE -0.5 -0.6 -0.4 0.0 0 GAS_US_mini -4.0 -6.1 -1.9 -4.0 -4 GBP 1.7 1.5 2.0 4.0 4 GOLD_micro -5.3 -6.3 -4.3 -18.0 -18 HEATOIL 0.3 0.2 0.4 0.0 0 JGB-SGX-mini 24.1 21.6 26.7 14.0 14 JPY -1.2 -1.4 -1.0 -4.0 -4 LEANHOG 2.2 1.7 2.8 2.0 2 LIVECOW -1.8 -2.0 -1.5 0.0 0 LUMBER-new -6.0 -6.5 -5.6 NaN 0 MILK -5.3 -5.6 -5.0 NaN 0 MXP 36.9 33.8 40.1 52.0 52 NASDAQ_micro 2.1 1.7 2.5 9.0 9 NIKKEI 32.3 30.0 34.6 33.0 33 NZD -0.0 -0.3 0.2 4.0 4 OAT 0.7 0.4 0.9 0.0 0 OATIES -2.5 -2.8 -2.2 NaN 0 OJ -0.3 -0.4 -0.2 NaN 0 PALLAD -0.2 -0.2 -0.1 0.0 0 PLAT 0.2 0.0 0.4 0.0 0 REDWHEAT -2.3 -2.4 -2.2 -3.0 -3 RICE -1.1 -1.4 -0.8 NaN 0 ROBUSTA 1.0 0.9 1.1 1.0 1 RUSSELL -8.3 -9.6 -7.0 -9.0 -9 SHATZ -3.4 -3.9 -3.0 NaN 0 SILVER-mini -0.9 -1.0 -0.7 NaN 0 SMI 2.6 2.4 2.8 8.0 8 SOFR -1.0 -2.6 0.6 NaN 0 SOYBEAN -1.6 -1.7 -1.5 -2.0 -2 SOYMEAL -1.6 -1.7 -1.5 -3.0 -3 SOYOIL -1.5 -1.6 -1.4 -3.0 -3 SP400 -0.3 -0.4 -0.3 0.0 0 SP500_micro 3.0 2.3 3.7 4.0 4 SUGAR11 -0.6 -0.8 -0.4 -1.0 -1 US10 -0.5 -0.6 -0.3 -2.0 -2 US10U 0.0 -0.1 0.1 0.0 0 US2 -0.9 -1.1 -0.7 NaN 0 US20 0.1 -0.0 0.1 3.0 3 US30 -0.1 -0.1 -0.0 0.0 0 US5 -0.8 -1.0 -0.6 0.0 0 VIX -48.6 -51.1 -46.2 -17.0 -17 WHEAT -2.5 -2.6 -2.3 -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 3.7 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 -0.5 0.3 0.5 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.1 0.0 -0.2 -0.2 -0.1 0.1 -0.0 -0.1 -0.0 -0.1 0.1 0.1 -0.2 -0.1 -0.1 0.4 0.0 -0.1 0.1 -0.1 -0.0 -0.0 -0.1 -0.3 -0.4 -0.1 -0.0 -0.6 -0.3 -0.2 0.1 BITCOIN -0.4 0.1 0.6 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 0.5 -0.1 0.6 0.1 0.2 -0.1 -0.1 -0.2 -0.2 0.2 0.2 -0.1 0.5 0.0 -2.7 0.1 -0.1 0.2 -0.1 0.2 0.0 -0.1 0.3 0.5 0.6 0.6 -0.2 0.3 0.2 0.5 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 -0.0 0.0 0.1 -0.4 -0.2 -0.4 -0.4 0.1 0.1 -0.1 -0.0 -0.0 1.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -1.1 -0.2 -0.4 -0.1 0.1 -0.7 -0.7 -0.0 -0.6 BTP -0.6 0.6 0.6 0.0 -0.0 0.1 -0.0 -0.0 0.0 -0.1 0.2 -0.1 0.3 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.2 -0.1 0.2 0.0 -1.4 0.0 -0.0 0.1 -0.0 0.1 0.0 0.7 0.1 -0.4 -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 0.0 -0.0 0.0 -0.0 0.4 -0.2 -0.5 -0.1 0.1 -0.6 -0.7 -0.0 -0.3 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 -0.1 0.1 -0.7 -0.7 -0.0 0.3 CAC -0.6 0.4 0.1 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 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 0.1 0.3 0.4 0.5 CAD -0.4 0.5 0.2 0.1 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.0 -0.2 -0.2 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.2 -0.1 -0.0 0.3 0.0 -0.1 0.1 -0.1 -0.0 -0.0 0.0 -0.2 -0.3 0.2 -0.5 -0.7 -0.6 -0.0 -0.5 CANOLA -0.5 -0.6 -0.6 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.2 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.4 -0.2 -2.7 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.3 -0.5 -0.6 -0.6 -0.5 -0.4 -0.2 -0.1 CHF -0.2 0.6 0.4 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.2 0.2 -0.2 0.4 0.0 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.2 -0.2 0.2 0.0 -1.1 0.1 -0.1 0.1 -0.1 0.1 0.0 -1.1 -0.5 0.5 0.6 0.4 -0.7 -0.7 -0.5 -0.7 COCOA -0.5 0.0 0.5 -0.0 0.2 -0.1 0.1 -0.2 0.0 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 0.3 0.1 0.5 0.0 0.6 -0.1 -0.2 0.6 0.6 0.7 0.1 0.7 0.7 COFFEE -0.5 0.2 0.6 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.0 0.1 -0.1 -0.0 -0.0 0.1 0.1 0.1 0.2 0.1 0.1 0.1 -0.1 0.1 -0.0 -2.2 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.8 -0.5 -0.6 0.4 0.6 -0.5 -0.7 -0.4 -0.3 COPPER -0.5 0.1 0.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 -0.1 -0.1 -1.2 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.1 -0.0 0.1 0.3 0.3 -0.3 -0.3 0.3 -0.2 CORN -0.6 -0.3 -0.3 -0.0 0.2 -0.2 0.1 -0.3 0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.2 -0.1 -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 -0.1 -0.5 -0.6 -0.6 -0.2 -0.3 -0.5 -0.1 0.1 COTTON2 0.3 0.1 -0.5 -0.0 0.2 -0.1 0.1 -0.2 0.0 0.2 -0.4 0.2 -0.3 0.1 -0.1 -0.2 -0.0 -0.2 -0.1 -0.1 -0.1 0.1 -0.3 0.1 -2.7 -0.0 0.1 -0.1 0.1 -0.1 0.1 -0.0 0.0 0.6 0.4 -0.5 -0.6 -0.5 -0.2 0.0 CRUDE_W -0.1 -0.4 -0.3 -0.0 0.1 -0.1 0.1 0.0 0.0 0.1 0.1 -0.1 0.2 -0.1 -0.2 0.1 0.2 0.1 0.2 -0.1 -0.0 0.0 0.2 -0.1 -0.6 -0.1 0.1 -0.0 0.0 0.2 -0.0 -0.1 -0.3 -0.3 0.0 0.3 0.7 0.5 0.7 0.5 DAX -0.6 0.5 0.4 0.0 -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 -0.1 0.3 0.0 2.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.4 -0.1 -0.3 0.2 0.2 0.1 0.2 0.4 0.6 DOW -0.3 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 -0.0 0.5 0.2 -1.9 0.1 -0.0 0.2 0.0 0.1 0.0 -0.4 0.1 0.2 0.6 0.5 -0.3 -0.1 -0.2 -0.2 DX 0.4 -0.4 -0.5 0.0 -0.1 0.1 -0.0 0.1 -0.0 0.1 0.0 0.2 -0.2 0.0 -0.1 0.1 0.1 0.1 0.1 -0.1 -0.1 0.1 0.0 0.0 -2.7 -0.0 0.1 -0.1 0.0 0.0 -0.0 0.8 0.5 0.4 -0.6 -0.6 0.6 0.1 0.7 0.3 EUR -0.3 0.2 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 -0.0 -0.2 0.3 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.1 0.0 -0.0 1.8 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.4 0.2 0.2 -0.3 -0.0 -0.7 -0.4 -0.6 -0.3 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 0.1 0.0 0.1 0.0 -0.1 -0.0 -0.1 0.1 0.1 -0.1 0.1 0.0 2.1 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.3 -0.2 -0.2 0.1 0.4 -0.7 -0.7 0.2 0.7 EUROSTX -0.6 0.3 0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 0.4 -0.1 0.7 -0.0 0.2 0.2 0.0 0.1 0.0 0.1 0.2 -0.1 0.4 -0.0 0.4 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.6 -0.1 -0.4 -0.3 0.1 -0.1 0.3 0.1 0.6 FEEDCOW 0.6 -0.1 -0.6 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.1 -0.3 0.2 -0.1 0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 0.2 -0.2 0.1 -0.4 -0.0 0.1 -0.1 0.0 0.0 0.0 -1.1 0.0 0.2 0.1 -0.6 0.5 0.2 0.7 0.4 GASOIL 0.1 -0.4 -0.4 -0.0 0.1 -0.1 0.0 0.0 0.0 0.1 0.1 0.1 0.2 0.0 -0.1 0.4 0.4 0.3 0.4 -0.1 -0.0 0.0 0.2 -0.0 1.1 -0.0 0.0 -0.0 0.0 0.1 -0.0 1.0 -0.1 -0.0 0.1 0.1 -0.4 -0.1 -0.7 -0.3 GASOLINE 0.1 -0.1 -0.5 -0.0 0.1 -0.1 0.1 0.0 0.0 0.2 -0.1 0.1 0.2 0.1 -0.1 -0.4 0.2 -0.4 -0.2 -0.0 -0.0 0.1 0.1 0.0 -2.7 -0.0 0.1 -0.1 0.1 0.1 0.0 -0.7 -0.2 -0.2 0.3 0.1 0.7 0.4 0.7 0.4 GAS_US_mini 0.6 -0.2 -0.2 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.1 -0.3 0.0 -0.5 -0.0 -0.1 0.4 -0.4 0.3 -0.2 -0.1 -0.2 -0.0 -0.5 -0.0 2.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 -0.2 0.6 -0.1 0.1 -0.6 0.1 -0.7 -0.0 GBP -0.1 0.3 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.0 0.0 -0.0 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 0.0 0.2 0.5 0.5 0.1 0.0 -0.6 -0.0 -0.4 0.4 GOLD_micro -0.4 0.1 0.4 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.2 -0.1 0.3 -0.0 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.1 -0.1 0.1 -0.0 -0.7 0.0 0.0 0.1 -0.0 0.1 -0.0 -0.8 0.5 0.6 0.6 0.5 -0.7 -0.7 -0.6 -0.5 HEATOIL 0.2 -0.3 -0.5 -0.0 0.1 -0.1 0.0 0.0 0.0 0.1 0.1 0.1 0.1 -0.0 -0.1 0.4 0.4 0.4 0.4 -0.1 -0.0 0.1 0.1 0.0 -2.7 -0.0 0.1 -0.0 0.1 0.2 0.0 1.1 -0.1 0.1 0.2 0.2 0.5 0.0 0.4 -0.1 JGB-SGX-mini 0.2 0.6 0.4 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 0.0 0.2 0.1 0.1 0.2 0.4 0.2 0.3 0.1 0.1 0.0 0.1 0.1 -0.4 0.0 -0.0 0.0 0.0 0.0 0.0 1.1 0.2 0.2 -0.0 -0.0 0.0 -0.7 0.3 0.5 JPY -0.6 0.6 0.6 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.3 -0.0 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 -0.0 -0.2 -0.3 -0.7 -0.2 -0.7 LEANHOG 0.3 -0.0 -0.2 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.1 -0.2 0.1 -0.4 0.1 -0.1 -0.4 -0.0 -0.4 -0.3 -0.1 -0.1 0.1 -0.4 0.0 2.2 0.0 0.0 -0.0 0.1 -0.2 0.1 -0.2 0.5 0.6 0.6 0.1 -0.4 -0.3 0.2 0.4 LIVECOW 0.4 -0.3 -0.6 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.2 -0.3 0.2 -0.1 0.1 -0.1 -0.3 -0.1 -0.3 -0.2 -0.2 -0.2 0.1 -0.2 0.0 -0.1 -0.1 0.1 -0.1 0.0 0.0 -0.0 -0.4 -0.1 -0.1 -0.3 -0.6 0.3 -0.1 0.5 0.1 LUMBER-new -0.5 0.4 0.5 -0.0 0.2 -0.2 0.1 -0.3 0.0 -0.2 -0.1 -0.3 -0.7 -0.1 0.2 -0.3 -0.3 -0.3 -0.3 0.1 0.1 -0.2 -0.2 -0.1 NaN 0.0 -0.1 0.1 -0.1 -0.0 -0.0 -1.1 -0.6 -0.7 0.4 0.7 -0.4 -0.8 -0.2 -0.8 MILK 0.2 -0.6 -0.6 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.1 -0.5 -0.2 1.7 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -1.1 -0.4 -0.2 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP -0.1 0.3 0.1 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.5 -0.1 0.7 0.1 0.2 0.3 0.3 0.3 0.3 0.1 0.2 -0.1 0.5 0.1 -2.7 0.1 -0.1 0.2 -0.0 0.3 0.0 1.1 0.3 0.4 -0.1 -0.1 0.5 0.7 0.7 0.7 NASDAQ_micro -0.4 0.5 0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 0.1 0.4 0.1 0.5 0.1 0.2 -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 0.6 0.3 0.4 0.5 -0.2 0.6 -0.2 NIKKEI 0.6 0.2 0.2 0.0 -0.1 0.1 -0.0 0.1 0.0 0.1 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 0.3 0.1 -0.4 -0.1 -0.1 0.1 NZD -0.6 0.4 0.5 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.1 0.1 -0.2 0.1 -0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.1 -0.2 0.0 -0.0 0.1 0.0 -0.1 0.1 -0.1 0.0 -0.0 0.2 -0.2 -0.2 0.1 0.2 -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 0.1 -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 -0.5 -0.0 0.2 -0.6 -0.7 0.1 0.2 OATIES 0.2 -0.0 -0.6 -0.0 0.1 -0.0 0.0 -0.1 0.0 -0.0 -0.2 -0.0 -0.2 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.4 -0.0 0.1 0.0 -0.5 -0.1 0.2 0.2 0.6 OJ -0.6 -0.6 -0.6 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.1 0.1 -0.1 0.3 -0.1 -0.1 0.0 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 -0.5 -0.6 -0.6 0.5 0.3 0.4 0.7 0.7 PALLAD -0.6 0.4 0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.1 -0.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 0.9 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 0.1 -0.1 0.1 -0.3 -0.2 -0.2 -0.1 -0.1 PLAT -0.6 0.2 0.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.2 -0.1 -0.1 1.7 -0.0 -0.0 0.0 -0.1 -0.0 -0.0 0.3 -0.1 0.1 0.3 0.1 -0.2 -0.2 0.5 -0.0 REDWHEAT -0.2 0.1 -0.3 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.1 -0.5 -0.2 -0.6 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.1 -0.5 -0.2 -1.8 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 0.1 -0.5 -0.4 0.0 -0.6 -0.7 -0.7 -0.7 -0.5 RICE -0.2 0.0 0.3 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.1 0.4 -0.0 0.5 0.1 0.1 -0.3 -0.0 -0.3 -0.2 0.1 0.1 0.0 0.3 0.1 -2.7 0.0 0.0 0.1 0.0 0.1 -0.0 0.0 -0.0 -0.5 -0.2 0.5 -0.0 -0.3 0.3 -0.0 ROBUSTA 0.1 0.5 0.1 -0.0 0.1 -0.1 0.1 -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 0.3 0.2 -2.4 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.5 0.4 0.6 0.6 -0.4 -0.5 -0.1 0.0 RUSSELL -0.6 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 -0.1 0.0 -0.0 -0.3 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.1 -0.2 0.1 -0.1 -0.7 -0.6 -0.7 -0.7 SHATZ -0.6 0.5 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.2 0.0 0.0 -0.4 -0.4 -0.4 -0.4 0.0 0.0 -0.1 -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 -0.5 -0.2 0.1 -0.0 -0.0 -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 -0.1 -0.0 -0.1 -0.0 -0.1 0.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 0.5 0.3 0.0 -0.0 -0.7 -0.6 0.3 -0.4 SMI -0.1 0.6 0.1 0.0 -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 0.0 -0.0 0.1 1.5 0.1 -0.0 0.1 0.0 0.0 0.0 1.1 0.1 0.6 0.3 -0.3 0.0 -0.2 0.3 -0.2 SOFR -0.4 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -0.0 0.0 0.1 0.0 -0.0 0.0 0.0 0.1 0.1 -0.1 -0.0 0.0 -0.3 0.0 -0.0 0.1 -0.0 -0.0 0.0 0.1 0.2 0.1 0.0 0.1 -0.7 -0.7 -0.2 -0.2 SOYBEAN -0.6 -0.6 -0.2 -0.0 0.2 -0.1 0.1 -0.2 0.0 -0.1 0.0 -0.2 0.2 -0.2 -0.2 0.2 0.3 0.3 0.3 -0.2 -0.1 -0.2 -0.1 -0.2 -2.7 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 1.1 -0.5 -0.6 -0.6 0.1 -0.7 -0.7 -0.7 -0.7 SOYMEAL -0.6 -0.6 -0.1 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.1 -0.2 -0.2 -0.0 -0.2 -0.2 0.1 0.3 0.2 0.2 -0.2 -0.1 -0.2 -0.0 -0.2 -2.7 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 1.1 -0.5 -0.6 -0.6 0.1 -0.7 -0.7 -0.7 -0.6 SOYOIL -0.2 -0.3 -0.6 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.2 -0.1 0.1 -0.0 0.1 -0.2 -0.2 -0.1 -0.3 -0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.8 -0.2 -0.2 0.1 -0.5 -0.3 -0.1 -0.1 0.3 SP400 -0.5 0.6 0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.2 -0.1 0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.1 0.1 0.0 -1.3 0.0 -0.0 0.1 -0.0 0.0 0.0 0.1 0.1 -0.2 0.2 -0.0 -0.7 -0.3 -0.7 -0.7 SP500_micro -0.3 0.6 0.5 0.0 -0.0 0.1 -0.0 0.1 0.0 0.1 0.5 0.1 0.6 0.2 0.2 -0.3 -0.2 -0.2 -0.2 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.0 -0.4 0.5 0.5 0.4 0.3 0.1 -0.2 0.4 -0.2 SUGAR11 0.6 -0.6 -0.6 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.1 0.1 0.2 -0.1 -0.1 0.3 0.4 0.4 0.4 -0.1 -0.1 0.1 0.1 -0.0 -2.7 -0.0 0.0 -0.0 0.0 0.0 -0.0 1.1 -0.0 0.2 -0.6 -0.4 0.2 -0.2 0.4 0.2 US10 -0.3 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.0 -0.0 -0.1 0.0 0.2 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.6 0.2 0.1 0.0 -0.0 -0.7 -0.7 -0.5 0.2 US10U -0.4 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.2 0.0 0.1 0.1 0.0 0.0 0.0 0.1 0.0 -0.1 -0.2 0.0 -0.2 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.2 0.2 0.0 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 -0.1 -0.0 -0.0 -0.2 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.0 -0.0 -0.1 0.0 1.1 0.0 0.0 0.0 0.0 -0.0 0.0 -1.1 0.3 0.3 0.1 0.1 -0.6 -0.7 -0.4 -0.7 US20 -0.4 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 -0.1 -0.1 0.0 -0.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.1 -0.1 -0.7 -0.7 0.7 0.7 US30 -0.6 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 0.0 0.1 -0.2 -0.1 -0.1 -0.1 0.1 0.0 -0.1 -0.2 -0.0 -0.2 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.4 0.1 -0.1 -0.0 -0.1 -0.5 -0.6 0.7 0.7 US5 -0.3 0.6 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.0 -0.0 -0.1 0.0 0.5 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.9 0.3 0.2 0.1 0.1 -0.7 -0.7 -0.7 -0.3 VIX 0.0 -0.4 -0.9 -0.1 -0.0 -0.4 -0.1 -0.6 -0.1 0.1 -0.9 -0.1 -1.2 -0.2 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.0 -0.9 -0.2 NaN -0.1 -0.0 -0.4 -0.0 -0.7 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.2 0.2 0.1 -0.0 0.1 -0.1 0.1 -0.2 0.0 -0.1 -0.4 -0.2 -0.7 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 -0.2 -0.5 -0.1 -0.4 -0.0 -0.1 -0.2 -0.1 -0.3 -0.0 -0.7 -0.5 -0.3 0.2 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 -16.7 10.7 16.0 3.5 -6.3 3.8 -4.6 2.7 -0.1 -14.9 1.8 -16.7 -6.8 -6.4 7.5 -2.2 -2.8 -2.5 -2.7 5.6 5.5 -20.0 -2.6 -7.3 2.9 2.6 -9.5 2.4 -7.5 -0.4 -2.0 -1.0 -11.7 -11.1 -4.1 -0.3 -17.7 -10.4 -7.0 4.2 BITCOIN -13.0 3.4 20.0 -4.0 -7.3 -1.6 -10.1 -0.5 -8.1 -19.1 18.3 -13.7 17.8 6.1 17.0 -6.7 -6.3 -8.0 -7.5 17.9 20.0 -15.0 16.8 2.5 -20.0 5.9 -8.0 8.1 -4.8 6.1 0.1 -1.7 12.5 15.8 20.0 20.0 -5.6 9.6 5.4 15.7 BOBL -20.0 18.7 20.0 1.9 -2.5 1.2 -1.2 -0.4 0.6 -7.8 4.0 -8.1 -1.4 1.5 4.8 -20.0 -11.6 -20.0 -17.6 6.1 6.5 -9.9 -0.5 -2.4 7.5 1.6 -3.3 1.7 -2.5 0.1 -0.6 -20.0 -9.4 -12.1 -2.2 3.3 -20.0 -20.0 -1.1 -18.9 BTP -20.0 20.0 20.0 3.1 -4.0 1.9 -2.0 -0.7 1.0 -11.9 9.0 -12.1 7.5 3.9 9.7 4.2 6.9 5.3 5.8 15.3 14.7 -7.9 5.7 3.4 -10.3 3.5 -3.2 3.4 -1.9 1.5 0.7 12.9 2.3 -13.3 -1.3 7.3 -16.0 -20.0 10.1 2.3 BUND -20.0 20.0 20.0 2.2 -2.8 1.3 -1.4 -0.5 0.7 -9.0 4.6 -9.5 -1.7 1.3 5.4 5.0 4.3 3.1 2.7 7.6 7.7 -11.5 -0.8 -2.5 5.3 1.7 -3.6 1.8 -2.8 0.2 -0.7 7.8 -9.4 -16.3 -2.7 3.2 -18.9 -20.0 -0.9 -8.0 BUXL -20.0 20.0 20.0 2.6 -3.4 1.6 -1.7 -0.6 0.9 -10.9 5.0 -11.8 -5.1 1.0 6.3 -0.2 0.6 0.1 0.4 9.2 8.0 -12.8 -3.8 -2.7 1.0 2.1 -3.4 1.9 -2.7 -0.3 -0.5 3.0 -7.8 -20.0 -1.8 2.8 -20.0 -20.0 -1.4 8.7 CAC -20.0 11.3 4.5 4.6 -2.2 4.3 -2.9 2.6 0.6 -2.8 13.3 -16.1 19.5 -2.2 14.9 -9.9 -4.9 -8.7 -7.2 8.0 10.1 -11.4 11.2 -4.3 -8.6 2.9 -2.3 3.8 -4.2 3.5 -1.8 0.2 -8.9 -19.0 -7.6 -7.3 4.0 8.9 11.4 15.1 CAD -12.2 16.5 7.1 4.9 -8.7 5.3 -6.3 3.7 -0.1 -20.0 0.6 -20.0 -5.3 -0.3 10.0 -1.8 -2.2 -2.1 -2.2 9.7 6.2 -20.0 -3.8 -4.4 2.1 3.8 -9.5 2.1 -7.6 -1.2 -0.9 0.0 -9.0 -10.7 5.2 -15.0 -20.0 -16.7 -1.2 -14.1 CANOLA -14.1 -20.0 -20.0 -1.4 8.6 -2.5 5.1 -3.2 0.9 7.0 -9.1 -6.6 -7.6 -9.6 -10.6 -10.7 -1.2 -10.7 -7.6 -19.6 -18.5 -5.2 -14.1 -14.2 -20.0 -4.2 0.6 -4.0 -0.8 -3.3 -2.8 -1.6 -12.9 -16.6 -20.0 -20.0 -15.6 -13.4 -7.2 -2.1 CHF -7.5 17.3 11.9 4.1 -7.2 4.4 -5.2 3.1 -0.1 -18.5 8.5 -14.9 11.5 2.0 13.2 -15.5 -15.5 -16.2 -16.0 15.8 14.3 -20.0 8.7 0.1 -8.0 5.6 -9.3 4.2 -4.6 2.2 2.0 -20.0 -20.0 16.1 20.0 13.8 -20.0 -19.7 -16.4 -20.0 COCOA -14.8 1.2 16.6 -3.1 18.8 -5.4 11.2 -6.9 1.9 20.0 20.0 20.0 20.0 19.9 20.0 11.1 2.0 8.5 4.9 20.0 20.0 20.0 20.0 20.0 -20.0 7.0 7.4 11.6 4.7 13.6 3.0 11.2 -4.3 -7.5 20.0 20.0 20.0 1.9 20.0 20.0 COFFEE -15.7 6.5 20.0 -1.7 10.1 -2.9 6.0 -3.7 1.0 -2.9 4.9 -10.2 -1.0 -1.8 5.9 7.3 4.5 7.5 5.8 5.4 6.8 -5.9 2.1 -2.0 -16.3 2.3 -3.2 3.3 -4.0 1.8 -1.5 14.4 -20.0 -17.6 13.8 20.0 -14.9 -20.0 -11.3 -10.3 COPPER -14.7 3.7 9.8 -3.5 -6.4 -1.4 -8.9 -0.4 -7.1 -11.2 -1.8 -15.8 -3.5 -10.4 4.6 -6.2 -4.6 -6.1 -5.7 -0.2 0.7 -12.9 -3.2 -8.6 -8.7 0.0 -7.7 1.0 -9.6 -0.8 -5.3 1.3 -0.4 4.5 10.5 7.8 -10.1 -7.5 10.1 -4.6 CORN -20.0 -9.5 -7.8 -3.2 19.5 -5.6 11.6 -7.2 1.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -11.5 -2.6 -9.5 -7.2 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.6 -8.5 -5.7 -12.0 -5.2 -11.8 -2.7 -20.0 -20.0 -20.0 -6.3 -7.9 -14.8 -2.6 2.4 COTTON2 10.0 2.8 -14.8 -3.0 18.1 -5.2 10.7 -6.7 1.8 20.0 -13.5 20.0 -8.6 8.4 -12.8 -9.8 -1.4 -8.3 -5.6 -5.9 -11.9 12.9 -11.2 5.8 -20.0 -0.6 10.0 -4.3 9.9 -2.7 6.2 -0.2 2.0 20.0 13.2 -15.4 -16.6 -15.8 -5.5 0.1 CRUDE_W -2.7 -11.0 -9.4 -3.7 7.3 -2.7 4.8 0.9 0.2 8.1 3.7 -6.1 5.7 -8.9 -14.9 6.2 9.4 7.4 8.6 -7.5 -1.5 0.3 6.4 -5.1 -4.4 -4.7 5.9 -0.6 2.7 4.9 -2.5 -1.1 -10.8 -10.1 0.3 8.8 20.0 15.0 20.0 16.3 DAX -20.0 16.4 12.7 4.2 -2.1 4.0 -2.7 2.4 0.6 -5.3 15.4 -11.1 18.1 8.0 18.4 -15.2 -10.0 -13.7 -11.8 17.0 16.9 -8.5 12.2 2.6 17.5 4.5 -2.3 4.5 -2.7 2.8 0.3 -8.0 -4.5 -7.8 4.6 5.3 2.5 6.4 12.5 19.5 DOW -9.7 20.0 20.0 3.9 -1.9 3.7 -2.5 2.2 0.5 -10.9 18.0 -10.2 17.1 15.9 20.0 -12.2 -9.6 -11.5 -10.8 20.0 20.0 -5.5 19.5 15.4 -14.4 6.4 -0.1 5.6 0.1 3.7 3.3 -7.1 5.4 7.2 20.0 14.9 -8.4 -3.7 -5.6 -7.1 DX 12.7 -11.5 -15.1 3.2 -5.7 3.5 -4.2 2.5 -0.1 14.6 0.3 15.3 -6.3 3.6 -7.8 5.4 6.0 5.9 6.1 -6.3 -5.1 14.8 0.6 3.6 -20.0 -3.5 7.1 -2.2 4.4 0.6 -0.2 14.2 20.0 12.1 -20.0 -20.0 17.0 3.5 20.0 10.4 EUR -8.4 6.1 10.0 3.7 -6.5 3.9 -4.7 2.8 -0.1 -15.5 -0.4 -15.9 7.1 -2.5 8.8 -5.5 -6.6 -5.8 -6.1 4.9 4.1 -10.6 0.2 -2.4 13.4 4.1 -6.7 2.8 -3.6 0.4 1.1 -7.1 7.2 4.9 -8.5 -1.1 -20.0 -11.9 -16.8 -7.5 EURIBOR-ICE -20.0 20.0 20.0 1.8 -2.3 1.1 -1.1 -0.4 0.6 -7.0 6.0 -6.5 1.9 3.5 6.1 1.9 -5.1 -1.0 -3.4 11.0 11.8 -6.4 4.0 1.7 15.7 2.3 -1.9 2.4 -1.2 0.9 0.4 -5.9 -6.4 -6.3 4.3 12.7 -20.0 -20.0 7.1 20.0 EUROSTX -20.0 9.5 9.2 4.4 -2.2 4.1 -2.8 2.5 0.6 0.9 14.5 -13.8 19.4 -0.7 16.2 11.2 0.0 5.2 1.4 11.2 14.1 -8.4 13.9 -1.8 2.7 3.7 -0.8 4.9 -3.3 4.1 -1.2 11.0 -4.1 -13.8 -8.1 2.6 -1.6 8.8 3.0 16.9 FEEDCOW 17.6 -3.5 -20.0 -2.3 13.9 -4.0 8.3 -5.1 1.4 16.1 -10.0 17.3 -2.7 12.5 -8.7 -20.0 -20.0 -20.0 -20.0 -8.8 -17.5 19.0 -6.4 9.9 -3.1 -3.4 6.1 -4.1 4.5 1.0 1.3 -20.0 2.1 5.3 3.4 -20.0 14.6 4.7 20.0 13.1 GASOIL 3.7 -10.8 -12.7 -3.2 6.3 -2.3 4.1 0.7 0.2 12.2 3.8 7.3 5.6 0.1 -10.4 19.0 20.0 17.5 19.0 -5.6 -1.7 3.9 7.1 -0.5 8.0 -2.4 2.7 -0.2 1.7 3.6 -0.2 18.3 -3.9 -0.1 2.8 4.6 -10.9 -3.2 -20.0 -9.0 GASOLINE 2.9 -3.3 -15.4 -3.8 7.5 -2.7 4.9 0.9 0.2 18.0 -2.7 11.4 4.2 4.7 -9.5 -20.0 8.1 -20.0 -11.1 -4.3 -4.1 9.2 4.0 2.2 -20.0 -3.2 8.1 -2.0 5.3 4.0 0.4 -13.6 -8.9 -5.6 9.7 2.0 20.0 12.4 20.0 10.6 GAS_US_mini 20.0 -4.7 -5.7 -2.5 5.0 -1.8 3.2 0.6 0.1 -11.3 -10.5 1.4 -14.1 -0.8 -8.6 20.0 -19.5 13.6 -9.8 -10.9 -17.4 -1.5 -20.0 -1.9 19.6 -2.4 0.6 -3.8 1.9 -3.2 0.9 -20.0 -9.2 17.7 -2.0 3.7 -17.7 2.8 -20.0 -1.1 GBP -3.0 9.5 8.8 4.0 -7.2 4.4 -5.2 3.1 -0.1 -4.2 1.4 -3.4 10.8 8.0 16.0 -0.2 -0.6 -0.3 -0.4 10.6 8.5 -2.3 4.4 4.9 2.2 6.0 -1.9 4.1 -0.1 1.3 3.9 2.9 20.0 16.5 3.1 0.8 -16.8 -0.5 -13.2 10.5 GOLD_micro -11.2 2.7 12.2 -3.3 -6.1 -1.3 -8.5 -0.4 -6.8 -8.9 8.8 -13.6 7.6 -3.4 11.2 -13.5 -13.9 -13.9 -14.3 4.7 6.9 -11.3 4.8 -4.4 -5.3 2.2 0.2 3.2 -1.8 2.6 -1.0 -14.3 20.0 18.3 18.4 16.6 -20.0 -20.0 -18.2 -16.5 HEATOIL 4.7 -10.0 -15.3 -3.5 6.9 -2.5 4.5 0.8 0.2 14.5 2.4 10.9 4.0 -1.2 -11.6 20.0 20.0 20.0 20.0 -7.0 -3.7 6.8 5.6 0.2 -20.0 -2.0 6.4 -0.2 5.6 5.0 1.8 20.0 -2.2 3.2 6.9 4.9 14.8 1.1 13.3 -3.5 JGB-SGX-mini 6.7 19.3 12.3 1.7 -2.2 1.1 -1.1 -0.4 0.6 -5.0 4.2 1.0 4.4 6.4 7.3 8.7 18.1 12.0 14.3 8.5 5.8 1.1 2.8 6.6 -2.9 2.3 -2.0 1.3 0.2 0.2 1.8 20.0 9.9 6.9 -0.7 -1.4 0.3 -20.0 10.1 15.2 JPY -18.1 19.2 20.0 1.9 -3.4 2.1 -2.5 1.5 -0.0 -8.8 -5.2 -9.4 -8.2 -4.1 0.5 -13.9 -16.0 -15.5 -16.2 -1.4 -3.4 -13.4 -9.4 -7.0 20.0 0.2 -5.5 -1.1 -4.4 -3.5 -1.7 -20.0 -8.6 -8.9 -0.1 -7.3 -10.3 -20.0 -5.1 -20.0 LEANHOG 8.7 -0.5 -5.5 -2.3 14.1 -4.1 8.4 -5.2 1.4 8.0 -6.2 13.1 -11.5 6.8 -6.9 -20.0 -1.6 -20.0 -13.9 -4.7 -11.5 8.4 -16.3 4.5 16.4 3.6 4.8 -1.4 7.9 -6.2 7.6 -3.2 19.9 20.0 17.2 3.5 -11.8 -8.4 6.0 11.4 LIVECOW 13.9 -9.3 -20.0 -2.6 15.8 -4.6 9.4 -5.8 1.6 18.1 -10.8 18.4 -2.2 8.2 -11.0 -17.4 -6.6 -13.3 -10.2 -14.7 -19.8 15.9 -6.3 4.0 -0.6 -5.8 5.9 -5.1 3.1 1.0 -1.3 -7.4 -4.2 -3.2 -8.2 -20.0 9.4 -3.9 15.3 2.2 LUMBER-new -12.7 10.5 13.3 -3.3 20.0 -5.7 11.9 -6.3 2.0 -20.0 -1.8 -20.0 -16.8 -6.6 13.0 -14.6 -14.3 -13.8 -14.1 7.3 5.8 -20.0 -4.8 -8.6 NaN 3.5 -10.5 3.1 -10.6 -0.1 -3.2 -18.6 -20.0 -20.0 10.3 20.0 -11.5 -20.0 -6.1 -20.0 MILK 6.1 -18.5 -20.0 -2.5 14.9 -4.3 8.9 -5.5 1.5 -16.7 -19.0 -16.7 -18.6 -18.6 -19.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -13.7 -20.0 -20.0 13.1 -6.9 -2.2 -7.4 -2.2 -7.7 -4.3 -20.0 -18.7 -7.2 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP -4.3 8.5 3.8 3.9 -6.9 4.2 -5.0 3.0 -0.1 -13.8 16.7 -8.3 18.6 9.6 16.9 15.6 16.4 15.2 15.3 13.6 15.5 -7.7 20.0 5.3 -20.0 5.5 -7.7 6.1 -3.6 8.0 2.2 20.0 11.1 11.6 -4.4 -3.3 13.8 20.0 20.0 20.0 NASDAQ_micro -13.7 14.7 13.1 2.9 -1.4 2.8 -1.8 1.6 0.4 12.7 14.0 8.9 14.1 11.0 14.2 -11.7 -9.4 -11.1 -10.4 19.6 20.0 10.2 19.9 13.4 -20.0 5.4 3.3 5.2 3.4 5.1 4.3 -6.5 20.0 17.3 10.1 13.4 15.4 -5.0 18.6 -7.0 NIKKEI 18.8 7.0 6.0 4.0 -5.6 3.6 -3.3 2.1 0.5 14.9 19.0 18.8 19.2 18.7 19.4 18.8 12.1 15.2 12.9 20.0 20.0 20.0 20.0 20.0 -14.3 6.6 6.2 4.6 10.2 4.5 9.4 20.0 20.0 20.0 10.3 3.2 -11.6 -2.0 -4.1 1.8 NZD -17.1 12.6 16.1 3.5 -6.3 3.8 -4.6 2.7 -0.1 -15.1 5.2 -15.3 2.5 -0.0 11.0 0.4 0.2 0.2 0.2 8.8 8.5 -18.2 0.6 -3.6 0.6 3.8 -10.2 3.5 -6.5 0.8 -0.6 4.1 -9.7 -6.0 2.8 5.0 -9.8 -11.3 -6.4 4.7 OAT -20.0 20.0 20.0 2.3 -3.0 1.4 -1.5 -0.5 0.7 -9.5 5.5 -10.1 -1.1 1.7 6.0 4.8 6.8 5.1 5.6 9.4 9.5 -11.1 0.5 -1.5 7.4 2.1 -3.4 2.2 -2.5 0.4 -0.4 12.7 -7.7 -16.7 -1.5 4.8 -19.1 -20.0 3.0 4.7 OATIES 6.2 -0.2 -20.0 -1.0 6.3 -1.8 3.7 -2.3 0.6 -2.0 -6.2 -3.2 -4.7 -2.4 -6.2 2.1 -6.5 -3.4 -7.3 -5.6 -6.5 -2.6 -3.8 -3.1 -20.0 -1.9 1.3 -2.6 1.0 -1.6 0.1 -7.4 -1.9 1.7 0.0 -14.2 -1.9 5.3 7.1 17.9 OJ -20.0 -20.0 -20.0 -1.6 9.6 -2.8 5.7 -3.5 0.9 -6.9 4.5 -10.2 9.2 -11.6 -8.2 1.9 18.1 10.0 15.3 -13.7 4.8 -17.2 19.1 -20.0 -20.0 -2.1 -0.8 2.4 -3.0 6.0 -4.2 20.0 -20.0 -20.0 -20.0 16.8 9.8 12.1 20.0 20.0 PALLAD -20.0 11.9 11.9 -1.5 -2.6 -0.6 -3.7 -0.2 -2.9 -5.1 -5.9 -7.2 -7.6 -5.7 -4.4 -1.7 -2.2 -1.9 -2.1 -6.4 -6.9 -11.5 -10.1 -9.5 6.6 -1.4 -1.1 -2.1 -2.0 -2.7 -1.5 6.4 2.2 -2.9 2.9 -8.7 -6.8 -7.2 -1.8 -2.2 PLAT -19.0 5.2 7.4 -2.5 -4.6 -1.0 -6.4 -0.3 -5.1 -7.6 -4.0 -11.5 -5.9 -7.6 0.8 -3.8 -3.0 -3.6 -3.4 -2.4 -1.0 -17.3 -3.1 -11.1 12.5 -0.5 -2.8 0.3 -6.1 -0.2 -3.9 4.7 -2.3 2.6 7.9 3.4 -7.0 -6.9 16.4 -0.6 REDWHEAT -5.5 4.5 -10.3 -2.3 14.1 -4.1 8.4 -5.2 1.4 -9.8 -16.7 -14.4 -17.3 -10.4 -13.2 -3.6 -1.6 -3.8 -3.3 -15.9 -20.0 -15.9 -20.0 -14.2 -13.3 -6.8 -0.5 -8.7 -3.2 -8.3 -4.9 1.7 -19.2 -11.8 0.2 -17.9 -20.0 -20.0 -20.0 -14.9 RICE -5.7 0.9 8.2 -2.4 14.5 -4.2 8.6 -5.3 1.4 12.8 14.8 -1.2 12.6 4.9 12.3 -13.0 -0.5 -13.4 -8.1 11.2 12.5 5.0 9.9 7.2 -20.0 0.2 3.6 2.8 0.7 2.9 -1.8 0.2 -1.0 -14.6 -5.7 14.0 -0.8 -9.9 8.3 -0.5 ROBUSTA 3.0 16.2 4.1 -1.5 8.8 -2.5 5.2 -3.2 0.9 5.8 10.3 8.1 10.6 9.9 10.4 20.0 20.0 20.0 20.0 18.4 15.7 14.0 12.7 16.7 -18.0 4.1 1.7 3.5 2.5 2.8 3.4 20.0 20.0 12.8 20.0 20.0 -12.0 -14.5 -2.2 1.2 RUSSELL -20.0 20.0 13.7 2.3 -1.1 2.1 -1.4 1.3 0.3 -9.4 4.7 -11.2 1.2 1.1 6.5 -6.0 -6.1 -6.2 -6.4 8.4 7.1 -10.9 1.5 -1.2 -2.0 2.3 -1.5 1.8 -1.9 0.7 0.2 -0.2 -4.1 -6.8 4.0 -3.1 -20.0 -18.7 -20.0 -19.6 SHATZ -20.0 16.9 20.0 1.7 -2.2 1.1 -1.1 -0.4 0.6 -6.9 1.5 -6.8 -4.4 1.4 3.4 -20.0 -20.0 -20.0 -20.0 3.6 3.2 -8.1 -3.1 -2.4 8.5 1.5 -2.6 1.3 -1.9 -0.5 -0.2 -20.0 -7.4 -7.4 0.2 2.7 -17.6 -20.0 -7.0 -20.0 SILVER-mini -16.1 -6.8 2.5 -2.9 -5.3 -1.1 -7.4 -0.3 -5.9 -10.1 -1.2 -13.1 1.7 -13.0 -1.0 -6.6 -6.4 -6.9 -6.8 -5.5 -2.1 -11.3 -1.0 -10.7 5.4 -3.0 -2.1 -1.0 -4.4 0.1 -4.8 -1.3 19.6 8.4 1.1 -0.8 -20.0 -18.5 7.6 -11.2 SMI -2.7 20.0 3.9 4.4 -2.2 4.1 -2.8 2.5 0.6 0.8 4.6 7.3 4.3 18.8 20.0 12.7 4.8 9.6 6.6 16.0 7.8 2.0 -0.1 11.3 11.2 6.7 -0.3 3.8 0.5 0.3 4.5 19.7 4.2 19.3 9.0 -9.1 1.1 -6.3 8.3 -6.2 SOFR -12.7 20.0 19.7 2.3 -3.0 1.4 -1.5 -0.5 0.8 -9.2 4.3 -8.5 -0.5 3.7 8.1 2.0 -0.0 1.2 0.5 8.6 6.3 -7.6 -0.9 1.0 -2.0 3.1 -1.3 1.9 -0.4 -0.1 1.6 2.2 8.2 3.4 1.1 1.6 -20.0 -20.0 -5.9 -4.9 SOYBEAN -20.0 -20.0 -6.4 -2.9 17.7 -5.1 10.5 -6.5 1.8 -16.1 0.9 -20.0 4.2 -20.0 -20.0 11.4 16.8 13.8 14.4 -20.0 -13.8 -20.0 -4.8 -20.0 -20.0 -6.1 -6.2 -1.6 -9.3 0.4 -9.8 20.0 -20.0 -20.0 -20.0 1.6 -20.0 -20.0 -20.0 -20.0 SOYMEAL -20.0 -20.0 -1.8 -2.2 13.5 -3.9 8.0 -5.0 1.3 -12.1 -8.8 -15.6 -0.3 -17.2 -14.0 4.5 15.2 9.6 12.4 -20.0 -10.1 -20.0 -0.9 -20.0 -20.0 -4.9 -6.3 -1.3 -8.1 1.2 -7.7 20.0 -20.0 -20.0 -20.0 2.1 -20.0 -20.0 -20.0 -19.0 SOYOIL -6.7 -10.0 -20.0 -2.0 12.2 -3.5 7.2 -4.5 1.2 -9.3 -9.2 -11.2 -8.0 -13.8 -15.3 -5.0 6.7 -0.6 3.3 -16.0 -16.9 -8.6 -12.4 -11.6 -20.0 -3.2 1.4 -4.0 0.7 -3.2 -1.4 14.7 -8.5 -7.4 1.8 -15.4 -8.9 -2.0 -1.8 7.7 SP400 -15.2 20.0 12.1 2.6 -1.3 2.5 -1.7 1.5 0.3 -7.5 7.5 -11.5 5.0 4.2 9.6 -5.2 -5.1 -5.3 -5.2 11.7 9.7 -6.8 4.0 2.4 -10.1 3.0 -0.8 2.5 -1.2 1.3 0.8 1.7 2.4 -5.0 4.7 -1.5 -20.0 -8.6 -20.0 -20.0 SP500_micro -9.8 20.0 15.7 3.7 -1.8 3.5 -2.3 2.1 0.5 8.8 16.8 5.1 16.0 14.6 18.9 -12.5 -10.4 -12.0 -11.4 20.0 20.0 4.1 17.9 14.9 -20.0 6.3 1.7 5.6 2.1 4.5 4.3 -8.2 20.0 15.0 11.7 10.2 4.5 -4.7 12.0 -7.2 SUGAR11 17.6 -20.0 -20.0 -1.4 8.4 -2.4 5.0 -3.1 0.8 9.2 -4.6 9.2 5.5 -5.6 -6.9 14.2 19.2 20.0 20.0 -11.1 -7.6 9.3 2.0 -2.2 -20.0 -3.0 1.3 -1.8 0.5 0.9 -1.5 20.0 -0.1 5.4 -20.0 -13.3 4.6 -6.3 13.0 6.4 US10 -10.3 20.0 20.0 1.9 -2.4 1.2 -1.2 -0.4 0.6 -7.4 0.8 -6.7 -3.1 3.4 6.3 -9.9 -7.6 -8.7 -8.2 6.2 2.8 -5.2 -4.7 1.3 1.6 2.4 -0.7 1.1 0.0 -1.0 1.5 -11.8 9.3 2.7 1.1 -1.1 -20.0 -20.0 -14.7 6.4 US10U -12.8 20.0 18.1 2.6 -3.4 1.6 -1.7 -0.6 0.9 -10.8 1.0 -10.6 -4.2 3.3 8.1 2.9 0.6 2.3 1.3 7.8 3.2 -9.3 -7.2 0.1 -1.7 3.1 -1.1 1.2 -0.3 -1.5 1.7 3.4 10.2 0.7 0.6 -3.3 -20.0 -20.0 5.1 16.2 US2 -4.1 20.0 20.0 1.7 -2.2 1.0 -1.1 -0.4 0.5 -5.8 -0.7 -3.6 -4.8 4.8 5.9 -20.0 -20.0 -20.0 -20.0 5.6 2.1 -0.9 -5.2 3.2 8.4 2.6 0.0 1.3 0.9 -0.9 2.0 -20.0 13.0 8.1 4.3 4.1 -17.5 -20.0 -12.4 -20.0 US20 -13.7 20.0 18.4 1.9 -2.4 1.2 -1.2 -0.4 0.6 -7.7 1.5 -7.7 -2.4 2.4 5.8 -0.4 -1.2 -0.6 -1.0 6.5 3.0 -8.1 -4.8 0.0 -1.8 2.1 -0.9 0.9 -0.4 -1.0 1.1 -0.4 5.5 -0.2 2.2 -2.0 -20.0 -20.0 20.0 20.0 US30 -17.5 20.0 17.2 2.2 -2.8 1.3 -1.4 -0.5 0.7 -9.0 1.2 -9.5 -3.7 1.0 5.9 -7.8 -4.7 -6.2 -5.5 5.1 2.1 -11.5 -6.3 -2.7 -1.3 2.1 -1.7 0.8 -1.3 -1.4 0.6 -6.8 3.1 -4.6 -0.8 -4.3 -14.5 -17.3 20.0 20.0 US5 -8.2 20.0 20.0 1.9 -2.4 1.2 -1.2 -0.4 0.6 -7.1 1.1 -5.4 -3.4 4.4 6.6 -9.4 -10.1 -9.7 -10.3 6.5 3.3 -3.6 -4.1 2.2 3.8 2.6 -0.4 1.4 0.4 -0.7 1.8 -16.0 11.2 5.4 2.3 1.6 -20.0 -20.0 -20.0 -9.4 VIX 0.2 -6.8 -17.2 -6.2 -1.3 -8.1 -2.9 -11.1 -4.7 6.2 -20.0 -7.6 -20.0 -13.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -1.6 -20.0 -12.5 NaN -7.4 -1.5 -9.3 -2.9 -12.5 -5.2 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -7.1 7.1 2.8 -2.5 14.9 -4.3 8.9 -5.5 1.5 -15.8 -16.1 -17.2 -18.2 -4.7 -2.1 -10.5 -10.4 -10.8 -10.9 -8.6 -14.2 -18.1 -20.0 -11.8 -3.2 -3.7 -5.7 -5.8 -6.5 -8.7 -4.6 -12.7 -20.0 -9.7 6.6 1.2 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3