******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240209_204025 produced at 2024-02-09 21:37:46.952471 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= Optimal positions ======================================================================================================================================================================================================================================================================================= dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v3 SOFR False True 0.08 0.00 -0.36 0.0 0.00 0.00 0.00 0.00 -4.48 11.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.09 -0.30 0.0 0.09 -0.09 -0.09 -0.09 -56.35 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.19 0.0 0.00 0.00 0.00 0.00 -4.98 24.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.15 0.0 0.00 0.00 0.00 0.00 -2.19 13.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.13 0.0 0.18 -0.18 0.00 0.00 -4.27 6.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.28 -0.12 0.0 0.61 -0.61 -0.28 -0.28 -2.58 13.0 -6 -6 caleb_strategy_v3 CORN False False 0.01 -0.08 -0.09 0.0 0.09 -0.09 -0.08 -0.08 -11.80 12.0 -10 -10 caleb_strategy_v3 JPY False False 0.03 -0.06 -0.07 0.0 0.47 -0.47 -0.06 -0.06 -2.36 17.0 -2 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.15 -0.15 -0.02 -0.02 -23.21 51.0 -6 -6 caleb_strategy_v3 AUD False False 0.02 0.00 -0.06 0.0 0.41 -0.41 0.00 0.00 -2.69 19.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.50 -0.06 0.0 0.79 -0.79 -0.50 -0.50 -1.44 19.0 -12 -12 caleb_strategy_v3 GOLD_micro False False 0.01 -0.15 -0.05 0.0 0.38 -0.38 -0.15 -0.15 -6.85 56.0 -22 -22 caleb_strategy_v3 US5 False False 0.04 -0.28 -0.05 0.0 0.88 -0.88 -0.28 -0.28 -1.44 25.0 -8 -8 caleb_strategy_v3 EUR False False 0.04 -0.13 -0.05 0.0 0.62 -0.62 -0.13 -0.13 -1.22 14.0 -3 -3 caleb_strategy_v3 CAD False False 0.02 0.00 -0.04 0.0 0.71 -0.71 0.00 0.00 -1.45 29.0 0 0 caleb_strategy_v3 GAS_US_mini False True 0.00 -0.02 -0.04 0.0 0.00 -0.02 -0.02 -0.02 -28.43 26.0 -15 -15 caleb_strategy_v3 RUSSELL False False 0.00 -0.02 -0.03 0.0 0.23 -0.23 -0.02 -0.03 -7.86 68.0 -7 -8 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.13 -0.13 -0.04 -0.04 -1.65 7.0 -2 -2 caleb_strategy_v3 US10 False False 0.04 -0.04 -0.03 0.0 0.62 -0.62 -0.04 -0.04 -0.73 17.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.08 -0.08 -0.03 -0.03 -2.68 8.0 -3 -3 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.0 0.06 -0.06 0.00 0.00 -2.30 5.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.03 0.0 0.02 -0.02 0.00 0.00 -5.55 3.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.09 -0.09 -0.04 -0.04 -3.13 9.0 -4 -4 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -1.26 0.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -2.75 2.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.10 -0.10 0.00 0.00 -1.89 9.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.02 0.0 0.19 -0.19 0.00 0.00 -0.26 2.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.09 -0.09 -0.03 -0.03 -1.39 10.0 -3 -3 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.01 0.0 0.06 -0.06 -0.03 -0.03 -0.33 2.0 -1 -1 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.01 0.0 0.43 -0.43 -0.02 -0.02 -0.33 21.0 -1 -1 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.01 0.0 0.19 -0.19 0.00 0.00 -0.11 4.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.47 -0.47 0.00 0.00 -0.11 10.0 0 0 caleb_strategy_v3 PLAT False False 0.01 0.00 -0.00 0.0 0.15 -0.15 0.00 0.00 -0.13 10.0 0 0 caleb_strategy_v3 COTTON2 False False 0.02 -0.05 0.00 0.0 0.17 -0.17 -0.05 -0.03 0.15 11.0 -3 -2 caleb_strategy_v3 US10U False False 0.04 0.04 -0.00 0.0 0.49 -0.49 0.04 0.04 -0.01 13.0 1 1 caleb_strategy_v3 BTP False False 0.04 0.04 0.00 0.0 0.42 -0.42 0.04 0.04 0.04 10.0 1 1 caleb_strategy_v3 US20 False False 0.04 0.12 0.00 0.0 0.36 -0.36 0.12 0.12 0.06 9.0 3 3 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.25 -0.25 0.00 0.00 -0.07 6.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.00 0.0 0.15 -0.15 0.00 0.00 0.54 18.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.04 6.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.77 3.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.13 0.01 0.0 0.57 -0.57 0.13 0.13 0.57 22.0 5 5 caleb_strategy_v3 GASOLINE False False 0.04 0.00 0.01 0.0 0.14 -0.14 0.00 0.00 0.19 4.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.04 0.02 0.0 0.16 -0.16 0.04 0.04 1.53 13.0 3 3 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.02 0.0 0.24 -0.24 0.03 0.03 1.70 23.0 3 3 caleb_strategy_v3 OAT False False 0.05 0.00 0.02 0.0 0.45 -0.45 0.00 0.00 0.34 10.0 0 0 caleb_strategy_v3 RICE False True 0.01 0.00 0.03 0.0 0.00 0.00 0.00 0.00 2.24 4.0 0 0 caleb_strategy_v3 BITCOIN False True 0.00 0.02 0.04 0.0 0.02 0.00 0.02 0.02 27.58 59.0 15 15 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.04 0.0 0.42 -0.42 0.00 0.00 1.63 17.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.21 0.04 0.0 0.34 -0.34 0.21 0.21 0.89 8.0 5 5 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.20 0.04 0.0 0.27 -0.27 0.20 0.21 3.29 23.0 17 18 caleb_strategy_v3 COCOA False False 0.02 0.11 0.04 0.0 0.48 -0.48 0.11 0.13 2.11 26.0 6 7 caleb_strategy_v3 SMI False False 0.04 0.38 0.05 0.0 0.38 -0.38 0.38 0.38 1.21 9.0 9 9 caleb_strategy_v3 CAC False True 0.03 0.00 0.05 0.0 0.00 0.00 0.00 0.00 1.91 12.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.05 0.0 0.11 -0.11 0.00 0.00 1.28 3.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.02 0.05 0.0 0.42 -0.42 0.02 0.02 7.60 66.0 3 3 caleb_strategy_v3 SP500_micro False False 0.01 0.01 0.05 0.0 0.40 -0.40 0.01 0.01 6.52 48.0 1 1 caleb_strategy_v3 DX False True 0.03 0.00 0.06 0.0 0.00 0.00 0.00 0.00 1.71 999999999.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.03 0.06 0.0 0.11 -0.11 0.03 0.03 2.07 4.0 1 1 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.06 0.0 0.12 -0.12 0.05 0.05 2.45 5.0 2 2 caleb_strategy_v3 DAX False False 0.01 0.00 0.10 0.0 0.35 -0.35 0.00 0.00 16.74 58.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.20 0.15 0.0 0.34 -0.34 0.20 0.19 8.91 20.0 12 11 caleb_strategy_v3 NIKKEI False False 0.01 0.28 0.30 0.0 0.29 -0.29 0.28 0.28 36.23 36.0 35 35 caleb_strategy_v3 EURIBOR-ICE False False 0.09 0.26 0.31 0.0 0.87 -0.87 0.26 0.26 3.54 10.0 3 3 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.36 0.37 0.0 0.52 -0.52 0.36 0.36 11.32 16.0 11 11 caleb_strategy_v3 MXP False False 0.01 0.54 0.61 0.0 0.58 -0.58 0.54 0.54 63.37 60.0 56 56 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 21.8 Shocked risk 67.6 Sum abs risk 57.6 Leverage 4.73 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3032233.52, 'annual_cash_vol_target': 758058.38, 'daily_cash_vol_target': 47378.64875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6527 0.5891 9.4248 BITCOIN 1137.4113 47880.0000 2.3755 38.0087 BOBL 0.3011 116.9700 0.2574 4.1185 BTP 0.6097 116.9400 0.5214 8.3423 BUND 0.5947 133.4200 0.4457 7.1320 BUXL 1.3761 133.0200 1.0345 16.5526 CAC 53.7613 7684.0000 0.6997 11.1944 CAD 0.0029 0.7430 0.3846 6.1531 CANOLA 6.6814 595.7000 1.1216 17.9458 CHF 0.0053 1.1467 0.4598 7.3562 COCOA 81.5031 5611.0000 1.4526 23.2410 COFFEE 3.4405 191.1500 1.7999 28.7984 COPPER 0.0384 3.6850 1.0423 16.6773 CORN 3.9063 468.7500 0.8333 13.3336 COTTON2 0.9637 92.0100 1.0474 16.7587 CRUDE_W 1.0405 73.5500 1.4147 22.6355 DAX 107.8003 17028.0000 0.6331 10.1292 DOW 196.3506 38752.0000 0.5067 8.1070 DX 0.3784 103.9950 0.3639 5.8224 EUR 0.0045 1.0797 0.4200 6.7206 EURIBOR-ICE 0.0552 97.6650 0.0566 0.9050 EUROSTX 33.3536 4748.0000 0.7025 11.2396 FEEDCOW 1.7151 255.5500 0.6711 10.7381 GASOIL 13.2135 826.7500 1.5983 25.5720 GASOLINE 0.0397 2.5579 1.5526 24.8413 GAS_US_mini 0.0862 1.8900 4.5602 72.9635 GBP 0.0061 1.2629 0.4847 7.7548 GOLD_micro 12.7004 2038.6000 0.6230 9.9679 HEATOIL 0.0395 2.7568 1.4312 22.8985 JGB-SGX-mini 0.2825 146.2200 0.1932 3.0912 JPY 0.0000 0.0067 0.6356 10.1696 LEANHOG 1.0963 95.1000 1.1528 18.4452 LIVECOW 1.2778 186.5250 0.6851 10.9610 LUMBER-new 6.6912 578.0000 1.1576 18.5223 MILK 0.2306 17.4100 1.3247 21.1953 MXP 0.0004 0.0582 0.6132 9.8108 NASDAQ_micro 136.2742 18041.0000 0.7554 12.0857 NIKKEI 312.8719 36860.0000 0.8488 13.5810 NZD 0.0038 0.6146 0.6197 9.9158 OAT 0.5759 127.9700 0.4501 7.2010 OATIES 6.6465 372.0000 1.7867 28.5872 OJ 6.9226 358.5500 1.9307 30.8916 PALLAD 24.5761 866.5000 2.8363 45.3801 PLAT 14.3013 880.6000 1.6240 25.9847 REDWHEAT 9.3916 595.2500 1.5778 25.2442 RICE 0.1759 19.0700 0.9226 14.7624 ROBUSTA 42.7131 3211.0000 1.3302 21.2834 RUSSELL 22.4329 2013.5000 1.1141 17.8260 SHATZ 0.1030 105.5600 0.0975 1.5607 SILVER-mini 0.3222 22.7250 1.4180 22.6884 SMI 73.4632 11055.0000 0.6645 10.6324 SOFR 0.0742 96.4450 0.0769 1.2302 SOYBEAN 9.9725 1164.2500 0.8566 13.7049 SOYMEAL 4.6312 343.6000 1.3478 21.5655 SOYOIL 0.6952 47.9300 1.4504 23.2069 SP400 23.4439 2813.5000 0.8333 13.3322 SP500_micro 30.3113 5042.2500 0.6011 9.6183 SUGAR11 0.3337 23.2600 1.4344 22.9512 US10 0.4530 110.6250 0.4095 6.5516 US10U 0.6199 114.6875 0.5405 8.6483 US2 0.1248 102.2930 0.1220 1.9517 US20 0.9015 119.6875 0.7532 12.0519 US30 1.3069 125.8438 1.0385 16.6163 US5 0.3026 107.1641 0.2823 4.5176 VIX 0.4151 16.0500 2.5863 41.3808 WHEAT 8.0309 623.7500 1.2875 20.6003 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 652.70 0.59 384.47 1.00 384.47 47378.65 123.23 -8.41 -103.60 BITCOIN 47.88 2.38 113.74 1.00 113.74 47378.65 416.55 6.11 254.72 BOBL 1169.70 0.26 301.09 1.08 324.64 47378.65 145.94 -9.70 -141.62 BTP 1169.40 0.52 609.72 1.08 657.40 47378.65 72.07 0.16 1.13 BUND 1334.20 0.45 594.72 1.08 641.22 47378.65 73.89 -1.51 -11.13 BUXL 1330.20 1.03 1376.15 1.08 1483.76 47378.65 31.93 -3.48 -11.10 CAC 768.40 0.70 537.61 1.08 579.65 47378.65 81.74 6.87 56.12 CAD 743.00 0.38 285.74 1.00 285.74 47378.65 165.81 -3.36 -55.73 CANOLA 119.14 1.12 133.63 0.74 99.30 47378.65 477.11 -20.00 -954.21 CHF 1433.38 0.46 659.01 1.00 659.01 47378.65 71.89 -13.82 -99.32 COCOA 561.10 1.45 815.03 1.00 815.03 47378.65 58.13 16.92 98.38 COFFEE 716.81 1.80 1290.19 1.00 1290.19 47378.65 36.72 -1.01 -3.71 COPPER 921.25 1.04 960.25 1.00 960.25 47378.65 49.34 -8.00 -39.45 CORN 234.38 0.83 195.32 1.00 195.32 47378.65 242.57 -20.00 -485.15 COTTON2 460.05 1.05 481.87 1.00 481.87 47378.65 98.32 0.72 7.10 CRUDE_W 735.50 1.41 1040.53 1.00 1040.53 47378.65 45.53 4.96 22.60 DAX 170.28 0.63 107.80 1.08 116.23 47378.65 407.63 12.04 490.93 DOW 193.76 0.51 98.18 1.00 98.18 47378.65 482.59 6.78 326.98 DX 1039.95 0.36 378.43 1.00 378.43 47378.65 125.20 5.27 65.94 EUR 1349.62 0.42 566.89 1.00 566.89 47378.65 83.58 -5.62 -46.95 EURIBOR-ICE 2441.63 0.06 138.10 1.08 148.90 47378.65 318.20 3.26 103.77 EUROSTX 474.80 0.70 333.54 1.08 359.62 47378.65 131.75 19.83 261.22 FEEDCOW 1277.75 0.67 857.54 1.00 857.54 47378.65 55.25 4.87 26.93 GASOIL 826.75 1.60 1321.35 1.00 1321.35 47378.65 35.86 13.34 47.82 GASOLINE 1074.32 1.55 1667.97 1.00 1667.97 47378.65 28.41 1.55 4.41 GAS_US_mini 47.25 4.56 215.47 1.00 215.47 47378.65 219.88 -11.94 -262.54 GBP 789.31 0.48 382.56 1.00 382.56 47378.65 123.85 1.77 21.91 GOLD_micro 203.86 0.62 127.00 1.00 127.00 47378.65 373.05 -5.38 -200.80 HEATOIL 1157.86 1.43 1657.08 1.00 1657.08 47378.65 28.59 10.36 29.62 JGB-SGX-mini 146220.00 0.19 28249.42 0.01 189.92 47378.65 249.47 4.19 104.50 JPY 841.75 0.64 535.02 1.00 535.02 47378.65 88.56 -10.28 -91.05 LEANHOG 380.40 1.15 438.53 1.00 438.53 47378.65 108.04 2.33 25.15 LIVECOW 746.10 0.69 511.13 1.00 511.13 47378.65 92.69 5.32 49.30 LUMBER-new 158.95 1.16 184.01 1.00 184.01 47378.65 257.48 -10.08 -259.45 MILK 348.20 1.32 461.26 1.00 461.26 47378.65 102.71 -10.45 -107.37 MXP 291.00 0.61 178.43 1.00 178.43 47378.65 265.52 16.26 431.74 NASDAQ_micro 360.82 0.76 272.55 1.00 272.55 47378.65 173.84 8.14 141.44 NIKKEI 36860.00 0.85 31287.19 0.01 211.41 47378.65 224.10 14.93 334.56 NZD 614.65 0.62 380.92 1.00 380.92 47378.65 124.38 -1.02 -12.71 OAT 1279.70 0.45 575.95 1.08 620.99 47378.65 76.30 1.29 9.83 OATIES 186.00 1.79 332.33 1.00 332.33 47378.65 142.57 -7.93 -113.07 OJ 537.83 1.93 1038.39 1.00 1038.39 47378.65 45.63 7.91 36.09 PALLAD 866.50 2.84 2457.61 1.00 2457.61 47378.65 19.28 -5.08 -9.80 PLAT 440.30 1.62 715.07 1.00 715.07 47378.65 66.26 -0.59 -3.90 REDWHEAT 297.62 1.58 469.58 1.00 469.58 47378.65 100.90 -20.00 -201.79 RICE 381.40 0.92 351.90 1.00 351.90 47378.65 134.64 6.83 91.99 ROBUSTA 321.10 1.33 427.13 1.00 427.13 47378.65 110.92 13.13 145.68 RUSSELL 100.68 1.11 112.16 1.00 112.16 47378.65 422.40 -5.61 -237.12 SHATZ 1055.60 0.10 102.97 1.08 111.02 47378.65 426.76 -11.50 -490.67 SILVER-mini 568.12 1.42 805.61 1.00 805.61 47378.65 58.81 -6.28 -36.94 SMI 1105.50 0.66 734.63 1.15 841.19 47378.65 56.32 6.30 35.51 SOFR 2411.12 0.08 185.39 1.00 185.39 47378.65 255.57 -2.89 -73.75 SOYBEAN 582.12 0.86 498.62 1.00 498.62 47378.65 95.02 -18.67 -177.44 SOYMEAL 343.60 1.35 463.12 1.00 463.12 47378.65 102.30 -19.87 -203.27 SOYOIL 287.58 1.45 417.11 1.00 417.11 47378.65 113.59 -13.11 -148.93 SP400 2813.50 0.83 2344.39 1.00 2344.39 47378.65 20.21 -3.95 -7.99 SP500_micro 252.11 0.60 151.56 1.00 151.56 47378.65 312.61 8.98 280.62 SUGAR11 260.51 1.43 373.69 1.00 373.69 47378.65 126.79 2.00 25.34 US10 1106.25 0.41 452.98 1.00 452.98 47378.65 104.59 -5.53 -57.84 US10U 1146.88 0.54 619.91 1.00 619.91 47378.65 76.43 -0.12 -0.94 US2 2045.86 0.12 249.55 1.00 249.55 47378.65 189.85 -9.12 -173.14 US20 1196.88 0.75 901.54 1.00 901.54 47378.65 52.55 0.87 4.59 US30 1258.44 1.04 1306.91 1.00 1306.91 47378.65 36.25 -1.51 -5.48 US5 1071.64 0.28 302.58 1.00 302.58 47378.65 156.58 -7.24 -113.30 VIX 160.50 2.59 415.10 1.00 415.10 47378.65 114.14 -20.00 -228.27 WHEAT 311.88 1.29 401.54 1.00 401.54 47378.65 117.99 -20.00 -235.98 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -103.599 0.010 2.5 -2.688 BITCOIN 254.716 0.043 2.5 27.583 BOBL -141.621 0.004 2.5 -1.436 BTP 1.133 0.014 2.5 0.039 BUND -11.132 0.004 2.5 -0.113 BUXL -11.101 0.004 2.5 -0.113 CAC 56.115 0.014 2.5 1.914 CAD -55.730 0.010 2.5 -1.446 CANOLA -954.211 0.010 2.5 -23.215 CHF -99.324 0.010 2.5 -2.577 COCOA 98.382 0.009 2.5 2.107 COFFEE -3.711 0.005 2.5 -0.043 COPPER -39.453 0.043 2.5 -4.272 CORN -485.149 0.010 2.5 -11.803 COTTON2 7.099 0.009 2.5 0.152 CRUDE_W 22.595 0.043 2.5 2.447 DAX 490.929 0.014 2.5 16.745 DOW 326.981 0.009 2.5 7.599 DX 65.937 0.010 2.5 1.711 EUR -46.946 0.010 2.5 -1.218 EURIBOR-ICE 103.772 0.014 2.5 3.540 EUROSTX 261.223 0.014 2.5 8.910 FEEDCOW 26.931 0.013 2.5 0.892 GASOIL 47.815 0.017 2.5 2.073 GASOLINE 4.406 0.017 2.5 0.191 GAS_US_mini -262.544 0.043 2.5 -28.430 GBP 21.905 0.010 2.5 0.568 GOLD_micro -200.803 0.014 2.5 -6.849 HEATOIL 29.622 0.017 2.5 1.284 JGB-SGX-mini 104.503 0.043 2.5 11.316 JPY -91.046 0.010 2.5 -2.362 LEANHOG 25.148 0.024 2.5 1.528 LIVECOW 49.297 0.013 2.5 1.634 LUMBER-new -259.448 0.009 2.5 -5.547 MILK -107.365 0.009 2.5 -2.299 MXP 431.737 0.059 2.5 63.368 NASDAQ_micro 141.437 0.009 2.5 3.287 NIKKEI 334.565 0.043 2.5 36.229 NZD -12.712 0.010 2.5 -0.330 OAT 9.832 0.014 2.5 0.335 OATIES -113.066 0.010 2.5 -2.751 OJ 36.087 0.009 2.5 0.773 PALLAD -9.797 0.014 2.5 -0.334 PLAT -3.899 0.014 2.5 -0.133 REDWHEAT -201.791 0.005 2.5 -2.677 RICE 91.988 0.010 2.5 2.238 ROBUSTA 145.684 0.005 2.5 1.701 RUSSELL -237.124 0.013 2.5 -7.858 SHATZ -490.673 0.004 2.5 -4.976 SILVER-mini -36.944 0.014 2.5 -1.260 SMI 35.508 0.014 2.5 1.211 SOFR -73.750 0.024 2.5 -4.482 SOYBEAN -177.436 0.004 2.5 -1.650 SOYMEAL -203.268 0.004 2.5 -1.891 SOYOIL -148.930 0.004 2.5 -1.386 SP400 -7.986 0.013 2.5 -0.265 SP500_micro 280.619 0.009 2.5 6.522 SUGAR11 25.336 0.009 2.5 0.539 US10 -57.839 0.005 2.5 -0.733 US10U -0.938 0.005 2.5 -0.012 US2 -173.135 0.005 2.5 -2.194 US20 4.591 0.005 2.5 0.058 US30 -5.479 0.005 2.5 -0.069 US5 -113.301 0.005 2.5 -1.436 VIX -228.275 0.099 2.5 -56.348 WHEAT -235.982 0.005 2.5 -3.130 ===================== Position diags ===================== AUD 3.20 BITCOIN 45.11 BOBL 1.48 BTP 2.46 BUND 0.75 BUXL 0.32 CAC 2.79 CAD 4.30 CANOLA 11.61 CHF 1.87 COCOA 1.25 COFFEE 0.43 COPPER 5.34 CORN 5.90 COTTON2 2.11 CRUDE_W 4.93 DAX 13.90 DOW 11.22 DX 3.25 EUR 2.17 EURIBOR-ICE 10.85 EUROSTX 4.49 FEEDCOW 1.83 GASOIL 1.55 GASOLINE 1.23 GAS_US_mini 23.81 GBP 3.21 GOLD_micro 12.72 HEATOIL 1.24 JGB-SGX-mini 27.01 JPY 2.30 LEANHOG 6.57 LIVECOW 3.07 LUMBER-new 5.50 MILK 2.20 MXP 38.97 NASDAQ_micro 4.04 NIKKEI 24.27 NZD 3.23 OAT 2.60 OATIES 3.47 OJ 0.98 PALLAD 0.66 PLAT 2.26 REDWHEAT 1.34 RICE 3.28 ROBUSTA 1.30 RUSSELL 14.00 SHATZ 4.33 SILVER-mini 2.01 SMI 1.92 SOFR 15.53 SOYBEAN 0.88 SOYMEAL 0.95 SOYOIL 1.06 SP400 0.67 SP500_micro 7.27 SUGAR11 2.70 US10 1.33 US10U 0.97 US2 2.41 US20 0.67 US30 0.46 US5 1.98 VIX 28.17 WHEAT 1.57 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.7 -3.0 -2.4 0.0 0 BITCOIN 27.6 23.1 32.1 15.0 15 BOBL -1.4 -1.6 -1.3 -12.0 -12 BTP 0.0 -0.2 0.3 1.0 1 BUND -0.1 -0.2 -0.0 0.0 0 BUXL -0.1 -0.1 -0.1 0.0 0 CAC 1.9 1.6 2.2 0.0 0 CAD -1.4 -1.9 -1.0 0.0 0 CANOLA -23.2 -24.4 -22.1 -6.0 -6 CHF -2.6 -2.8 -2.4 -6.0 -6 COCOA 2.1 2.0 2.2 6.0 6 COFFEE -0.0 -0.1 -0.0 0.0 0 COPPER -4.3 -4.8 -3.7 0.0 0 CORN -11.8 -12.4 -11.2 -10.0 -10 COTTON2 0.2 -0.1 0.4 -3.0 -3 CRUDE_W 2.4 2.0 2.9 2.0 2 DAX 16.7 15.4 18.1 0.0 0 DOW 7.6 6.5 8.7 3.0 3 DX 1.7 1.4 2.0 NaN 0 EUR -1.2 -1.4 -1.0 -3.0 -3 EURIBOR-ICE 3.5 2.5 4.6 3.0 3 EUROSTX 8.9 8.5 9.4 12.0 12 FEEDCOW 0.9 0.7 1.1 5.0 5 GASOIL 2.1 1.9 2.2 1.0 1 GASOLINE 0.2 0.1 0.3 0.0 0 GAS_US_mini -28.4 -30.8 -26.0 -15.0 -15 GBP 0.6 0.2 0.9 5.0 5 GOLD_micro -6.8 -8.1 -5.6 -22.0 -22 HEATOIL 1.3 1.2 1.4 0.0 0 JGB-SGX-mini 11.3 8.6 14.0 11.0 11 JPY -2.4 -2.6 -2.1 -2.0 -2 LEANHOG 1.5 0.9 2.2 3.0 3 LIVECOW 1.6 1.3 1.9 0.0 0 LUMBER-new -5.5 -6.1 -5.0 NaN 0 MILK -2.3 -2.5 -2.1 NaN 0 MXP 63.4 59.5 67.3 56.0 56 NASDAQ_micro 3.3 2.9 3.7 17.0 17 NIKKEI 36.2 33.8 38.7 35.0 35 NZD -0.3 -0.7 -0.0 -1.0 -1 OAT 0.3 0.1 0.6 0.0 0 OATIES -2.8 -3.1 -2.4 NaN 0 OJ 0.8 0.7 0.9 NaN 0 PALLAD -0.3 -0.4 -0.3 -1.0 -1 PLAT -0.1 -0.4 0.1 0.0 0 REDWHEAT -2.7 -2.8 -2.5 -3.0 -3 RICE 2.2 1.9 2.6 NaN 0 ROBUSTA 1.7 1.6 1.8 3.0 3 RUSSELL -7.9 -9.3 -6.5 -7.0 -7 SHATZ -5.0 -5.4 -4.5 NaN 0 SILVER-mini -1.3 -1.5 -1.1 NaN 0 SMI 1.2 1.0 1.4 9.0 9 SOFR -4.5 -6.0 -2.9 NaN 0 SOYBEAN -1.7 -1.7 -1.6 -2.0 -2 SOYMEAL -1.9 -2.0 -1.8 0.0 0 SOYOIL -1.4 -1.5 -1.3 -3.0 -3 SP400 -0.3 -0.3 -0.2 0.0 0 SP500_micro 6.5 5.8 7.2 1.0 1 SUGAR11 0.5 0.3 0.8 0.0 0 US10 -0.7 -0.9 -0.6 -1.0 -1 US10U -0.0 -0.1 0.1 1.0 1 US2 -2.2 -2.4 -2.0 NaN 0 US20 0.1 -0.0 0.1 3.0 3 US30 -0.1 -0.1 -0.0 0.0 0 US5 -1.4 -1.6 -1.2 -8.0 -8 VIX -56.3 -59.2 -53.5 -17.0 -17 WHEAT -3.1 -3.3 -3.0 -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 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.0 1.2 1.2 2.3 2.3 2.3 2.3 1.2 1.2 1.0 3.1 1.2 0.0 1.2 1.0 3.1 1.2 4.2 1.2 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 0.4 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 -0.1 -0.2 -0.3 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 0.4 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.4 -0.3 -0.1 -0.7 -0.3 -0.2 0.1 BITCOIN -0.2 -0.3 0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.5 0.1 0.7 0.0 0.2 -0.1 -0.1 -0.2 -0.1 0.1 0.2 0.2 0.5 0.1 -2.7 0.1 0.1 0.2 0.1 0.3 0.0 -0.1 0.5 0.5 0.6 0.6 -0.2 0.2 0.3 0.3 BOBL -0.5 -0.4 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 0.0 -0.4 -0.3 -0.4 -0.4 0.0 0.0 -0.1 -0.0 -0.0 0.9 0.0 -0.0 0.0 -0.0 0.0 -0.0 -1.1 -0.0 0.0 -0.2 -0.0 -0.7 -0.7 0.1 -0.7 BTP -0.4 -0.1 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.2 -0.1 0.3 -0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.2 -0.0 -1.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.6 0.0 0.3 -0.0 0.2 -0.6 -0.7 0.5 0.0 BUND -0.5 -0.3 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.0 -0.1 -0.0 -0.0 0.6 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.4 0.1 0.1 -0.2 -0.0 -0.7 -0.7 0.1 -0.3 BUXL -0.6 -0.3 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.1 0.1 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 -0.3 -0.0 -0.7 -0.7 0.1 0.2 CAC 0.3 -0.0 0.4 0.1 0.1 0.2 0.1 0.1 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.1 0.2 0.1 0.2 0.4 0.2 -1.2 0.1 0.1 0.1 0.1 0.2 0.1 -0.0 -0.3 0.0 -0.4 -0.2 -0.0 0.3 0.1 0.6 CAD -0.3 -0.0 0.4 0.0 -0.0 0.1 -0.1 0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.1 -0.0 0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.0 0.3 0.3 0.1 -0.3 -0.7 -0.5 -0.1 -0.5 CANOLA -0.1 -0.6 -0.6 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.2 -0.0 -0.2 -0.2 -0.2 -0.2 -0.1 -0.5 -0.2 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.5 -0.6 -0.6 -0.6 -0.7 -0.6 -0.4 -0.2 CHF -0.6 -0.1 0.4 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.1 -0.2 0.3 -0.2 0.0 -0.3 -0.3 -0.3 -0.3 -0.0 0.1 -0.2 0.2 -0.1 -0.8 0.0 -0.1 0.1 -0.1 0.1 -0.0 -1.1 -0.3 -0.6 0.3 0.3 -0.7 -0.6 -0.5 -0.7 COCOA 0.5 -0.5 -0.2 0.0 0.0 0.0 0.0 -0.1 0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.3 0.1 0.2 0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.2 0.1 0.9 0.5 0.6 0.6 0.6 0.7 0.1 0.7 0.7 COFFEE 0.1 0.0 0.6 0.0 0.0 0.0 0.0 -0.1 0.1 0.1 0.3 0.1 0.1 0.0 0.1 0.2 0.1 0.2 0.1 0.1 0.1 0.0 0.1 0.1 -2.7 0.0 0.0 0.2 0.0 0.2 0.0 0.9 0.0 -0.5 -0.3 0.6 -0.4 -0.7 -0.3 -0.4 COPPER -0.1 -0.1 0.3 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 -0.0 -0.2 -0.2 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.2 -0.1 -0.1 -1.4 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.5 -0.0 0.2 0.4 -0.5 -0.2 0.5 -0.0 CORN -0.0 -0.5 -0.4 0.1 0.0 0.0 0.0 -0.1 0.1 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.3 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.5 -0.2 -2.7 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.2 -0.5 -0.6 -0.6 -0.6 -0.1 -0.6 -0.0 0.0 COTTON2 0.6 0.6 -0.0 0.1 0.0 0.0 0.0 -0.1 0.1 0.2 -0.1 0.2 -0.1 0.2 0.2 -0.1 -0.0 -0.1 -0.1 0.2 0.1 0.2 -0.1 0.2 -2.7 0.1 0.1 0.1 0.1 0.0 0.1 0.0 0.5 0.6 0.6 -0.1 -0.5 -0.5 -0.2 0.0 CRUDE_W 0.3 -0.1 -0.3 0.0 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.2 0.0 -0.1 0.2 0.2 0.2 0.2 -0.0 0.0 0.1 0.2 0.0 -0.6 0.0 0.1 0.0 0.0 0.2 0.0 -0.1 -0.5 -0.6 -0.5 0.0 0.7 0.6 0.7 0.7 DAX 0.1 0.0 0.6 0.1 0.1 0.2 0.1 0.1 0.1 0.0 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.3 0.2 0.2 0.1 0.4 0.1 2.3 0.1 0.0 0.2 0.0 0.2 0.0 -0.5 -0.5 -0.3 -0.5 0.2 -0.0 0.3 0.3 0.7 DOW 0.0 0.4 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.2 0.5 0.2 -2.1 0.1 0.0 0.2 0.0 0.2 0.1 -0.4 0.0 0.5 0.6 0.6 -0.3 -0.1 -0.1 -0.3 DX 0.5 0.2 -0.5 0.0 -0.0 0.1 -0.1 0.1 -0.0 0.1 0.1 0.2 -0.2 0.2 -0.0 0.1 0.1 0.1 0.1 0.1 -0.0 0.1 0.1 0.1 -2.7 0.0 0.0 -0.0 0.1 0.0 0.1 0.8 0.5 0.6 0.2 -0.6 0.7 0.1 0.7 0.3 EUR -0.5 -0.2 0.3 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 -0.1 -0.2 0.2 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 2.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.4 -0.1 -0.2 -0.1 -0.0 -0.7 -0.4 -0.7 -0.3 EURIBOR-ICE -0.6 -0.4 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.1 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.0 1.9 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 -0.0 0.1 -0.0 0.3 -0.7 -0.7 0.3 0.7 EUROSTX 0.6 0.1 0.6 0.1 0.1 0.2 0.1 0.1 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 0.3 0.1 0.1 0.2 0.1 0.2 0.1 0.8 0.1 0.6 -0.1 0.2 -0.2 0.4 -0.1 0.7 FEEDCOW 0.6 0.6 -0.5 0.0 0.0 0.0 0.0 -0.1 0.1 0.2 -0.1 0.2 -0.1 0.2 0.1 -0.4 -0.4 -0.4 -0.4 0.2 0.0 0.2 -0.0 0.2 -0.7 0.1 0.0 0.0 0.1 0.1 0.1 -1.1 0.5 0.6 0.6 -0.6 0.7 0.3 0.7 0.6 GASOIL 0.6 0.3 -0.3 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.2 0.2 0.3 0.2 0.0 0.4 0.4 0.4 0.4 0.1 0.1 0.2 0.2 0.2 1.0 0.0 0.1 0.1 0.1 0.1 0.1 1.1 0.2 0.2 0.3 0.2 -0.4 -0.1 -0.7 -0.3 GASOLINE 0.5 0.3 -0.3 0.0 0.1 0.0 0.1 0.1 0.1 0.2 -0.0 0.2 0.2 0.2 0.1 -0.2 0.1 -0.4 -0.2 0.1 0.0 0.2 0.2 0.2 -2.7 0.0 0.1 0.0 0.1 0.2 0.1 -0.7 -0.2 -0.2 -0.1 0.3 0.7 0.4 0.7 0.4 GAS_US_mini -0.4 0.1 -0.6 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 0.1 -0.4 0.1 -0.2 -0.1 -0.2 -0.1 -0.5 -0.1 2.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.5 -0.6 -0.4 -0.3 -0.5 0.0 -0.7 -0.1 GBP -0.3 0.0 0.4 0.0 -0.0 0.1 -0.1 0.2 -0.0 -0.0 0.1 -0.1 0.4 -0.1 0.2 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.1 0.1 -0.0 0.3 0.0 -0.0 0.1 -0.1 0.1 -0.0 0.2 -0.1 0.2 0.2 0.2 -0.7 -0.1 -0.7 0.2 GOLD_micro -0.1 -0.1 0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 -0.0 0.3 -0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.0 0.1 -0.0 0.2 -0.0 -0.7 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.8 0.5 0.5 0.6 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL 0.6 0.2 -0.3 0.0 0.1 0.0 0.1 0.1 0.1 0.2 0.1 0.2 0.2 0.2 0.0 0.4 0.4 0.4 0.4 0.1 0.0 0.2 0.2 0.2 -2.7 0.1 0.1 0.1 0.1 0.2 0.1 1.1 0.2 0.1 0.2 0.2 0.4 0.1 0.4 -0.1 JGB-SGX-mini -0.6 0.1 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.2 -0.0 0.1 0.2 0.3 0.2 0.3 0.0 0.0 -0.0 0.1 -0.0 -0.5 0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 0.1 -0.0 0.1 -0.1 -0.1 -0.7 0.2 0.4 JPY -0.4 -0.3 0.6 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.1 -0.3 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.1 -0.2 -0.3 -0.3 -0.5 -0.7 -0.3 -0.7 LEANHOG 0.6 0.5 0.1 0.0 0.0 0.0 0.0 -0.1 0.1 -0.2 -0.1 0.0 -0.5 0.2 0.1 -0.4 -0.3 -0.4 -0.4 0.1 -0.0 -0.0 -0.4 0.1 2.6 0.1 -0.0 0.1 -0.0 -0.1 0.0 -1.1 -0.5 -0.1 0.6 0.5 -0.4 -0.3 0.1 0.4 LIVECOW 0.6 0.6 -0.6 0.0 0.0 0.0 0.0 -0.1 0.1 0.2 -0.1 0.2 -0.1 0.2 0.0 -0.4 -0.2 -0.4 -0.3 0.2 -0.0 0.2 -0.1 0.2 -0.3 0.0 0.1 -0.0 0.1 0.1 0.1 -0.6 0.5 0.6 0.6 -0.6 0.5 -0.0 0.7 0.2 LUMBER-new -0.0 0.0 0.5 0.1 0.0 0.0 0.1 -0.1 0.1 -0.2 -0.0 0.0 -0.6 -0.1 0.2 -0.4 -0.3 -0.3 -0.3 0.1 0.1 -0.0 -0.1 0.0 NaN 0.1 -0.0 0.2 -0.0 0.0 0.0 -1.1 -0.5 -0.7 -0.0 0.6 -0.4 -0.8 -0.3 -0.7 MILK 0.6 0.6 -0.1 0.0 0.0 0.0 0.0 -0.1 0.0 -0.0 -0.3 0.1 -0.5 0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 0.1 -0.5 0.1 1.4 -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.1 0.5 0.1 -0.3 -0.6 -0.7 -0.7 -0.7 -0.7 MXP -0.2 0.0 0.3 0.0 -0.0 0.1 -0.1 0.1 -0.0 0.1 0.5 0.0 0.7 0.0 0.2 0.3 0.3 0.3 0.3 0.1 0.2 0.0 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.4 0.0 1.1 0.5 0.4 0.4 0.3 0.6 0.7 0.7 0.7 NASDAQ_micro 0.3 0.2 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.4 0.2 0.5 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.1 0.0 0.2 0.0 -0.4 0.1 0.6 0.6 0.5 0.6 -0.1 0.7 -0.2 NIKKEI 0.3 0.6 0.5 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.5 0.2 0.7 0.2 0.2 0.4 0.3 0.3 0.3 0.2 0.2 0.2 0.5 0.2 -2.0 0.1 0.0 0.2 0.0 0.2 0.1 1.1 -0.1 0.6 0.6 0.4 -0.5 -0.1 -0.1 -0.0 NZD -0.5 -0.3 0.5 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 0.1 -0.1 0.0 -0.1 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 0.0 -0.0 0.0 0.1 -0.0 0.0 -0.0 0.2 0.4 -0.2 -0.1 -0.0 -0.4 -0.3 -0.2 0.1 OAT -0.5 -0.3 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.1 -0.1 0.0 -0.0 0.8 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.6 0.1 0.1 -0.2 0.1 -0.7 -0.7 0.2 0.1 OATIES 0.2 0.1 -0.6 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.2 0.0 -0.2 0.0 -0.1 0.2 -0.1 0.0 -0.1 -0.0 -0.1 0.0 -0.2 0.0 -2.7 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.2 -0.2 -0.0 -0.4 -0.1 0.1 0.1 0.5 OJ 0.6 -0.6 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 0.2 0.1 0.4 0.1 -0.0 0.2 0.3 0.2 0.3 0.1 0.1 0.2 0.5 0.2 -2.7 0.0 0.0 0.1 0.1 0.3 0.0 1.1 0.5 0.6 -0.4 0.2 0.2 0.4 0.4 0.7 PALLAD -0.2 -0.5 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 1.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.4 -0.2 -0.0 0.2 -0.2 -0.3 -0.3 -0.2 -0.1 PLAT -0.2 -0.3 0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 1.5 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.3 -0.1 0.0 0.1 0.1 -0.4 -0.2 0.6 0.1 REDWHEAT 0.2 -0.1 -0.2 0.0 0.0 0.0 0.0 -0.1 0.1 -0.1 -0.5 -0.1 -0.7 -0.1 -0.2 0.0 -0.0 -0.0 -0.0 -0.2 -0.2 -0.1 -0.5 -0.1 -1.8 -0.1 -0.1 -0.3 -0.1 -0.4 -0.0 0.2 -0.5 -0.6 -0.6 -0.6 -0.7 -0.7 -0.6 -0.6 RICE 0.4 0.2 0.4 0.0 0.0 0.0 0.0 -0.1 0.1 0.2 0.5 0.2 0.6 0.2 0.2 -0.3 -0.0 -0.3 -0.2 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.5 0.5 0.2 0.5 0.1 -0.2 0.3 0.1 ROBUSTA 0.5 0.6 0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 0.4 0.1 0.5 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.0 1.1 0.3 0.6 0.6 0.6 -0.5 -0.5 -0.2 0.0 RUSSELL -0.2 0.0 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.0 0.1 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.1 0.0 -0.3 0.0 0.0 0.1 0.0 0.1 0.0 0.0 -0.3 -0.3 -0.2 -0.1 -0.7 -0.7 -0.7 -0.7 SHATZ -0.5 -0.3 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.2 -0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 0.0 -0.1 -0.1 -0.1 1.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.1 -0.1 -0.2 -0.1 -0.7 -0.7 -0.3 -0.7 SILVER-mini -0.1 -0.4 0.0 -0.0 -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 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.8 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 0.1 0.1 0.1 0.0 -0.7 -0.6 0.3 -0.2 SMI -0.2 0.2 0.4 0.1 0.1 0.1 0.1 0.1 0.1 -0.2 0.2 -0.1 0.2 -0.0 0.2 0.2 0.1 0.2 0.2 0.1 0.1 -0.1 0.1 0.0 1.4 0.0 -0.1 0.1 -0.0 0.1 0.0 1.1 -0.5 -0.6 -0.3 -0.4 0.1 -0.2 0.4 -0.2 SOFR -0.5 -0.1 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.0 -0.1 0.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.0 -0.0 -0.3 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.1 0.1 0.2 0.1 0.1 -0.7 -0.7 -0.3 -0.1 SOYBEAN 0.0 -0.6 -0.5 0.0 0.0 0.0 0.0 -0.1 0.1 -0.2 -0.3 -0.2 0.0 -0.2 -0.2 0.1 0.3 0.2 0.2 -0.2 -0.2 -0.2 -0.3 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 1.1 -0.5 -0.6 -0.6 -0.5 -0.3 -0.7 -0.3 -0.7 SOYMEAL -0.1 -0.6 -0.5 0.0 0.0 0.0 0.0 -0.1 0.0 -0.1 -0.3 -0.1 -0.2 -0.1 -0.1 0.0 0.3 0.1 0.2 -0.2 -0.1 -0.2 -0.1 -0.2 -2.7 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 1.1 -0.4 -0.6 -0.6 -0.5 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.1 -0.2 -0.5 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.3 0.0 -0.3 -0.1 -0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.2 0.0 -0.3 -0.1 -2.7 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.7 0.0 -0.6 -0.5 -0.4 -0.3 -0.1 -0.1 0.2 SP400 -0.1 0.2 0.6 0.0 0.0 0.1 0.1 0.1 0.0 0.1 0.3 0.1 0.3 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.1 -1.5 0.0 0.0 0.1 0.0 0.1 0.0 0.1 -0.3 -0.2 -0.1 -0.1 -0.7 -0.3 -0.7 -0.7 SP500_micro 0.3 0.4 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.5 0.2 0.6 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.2 0.1 -0.5 0.2 0.6 0.6 0.6 0.1 -0.1 0.6 -0.2 SUGAR11 0.6 0.2 -0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 0.3 0.1 -0.0 0.4 0.4 0.4 0.4 -0.0 -0.1 0.1 0.1 0.1 -2.7 -0.0 0.0 -0.1 0.0 0.1 0.0 1.1 0.0 -0.1 -0.3 -0.6 0.3 -0.1 0.5 0.3 US10 -0.4 0.0 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.0 -0.1 -0.1 -0.0 0.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.7 0.1 0.2 0.1 0.0 -0.7 -0.7 -0.6 0.3 US10U -0.4 0.0 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.0 0.1 -0.0 -0.0 0.0 0.2 0.2 0.3 0.1 0.0 -0.7 -0.7 0.2 0.6 US2 -0.5 0.1 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 1.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.1 0.1 0.1 0.0 -0.7 -0.7 -0.5 -0.7 US20 -0.4 0.0 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 -0.1 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.2 0.3 0.1 0.1 -0.7 -0.7 0.7 0.7 US30 -0.3 -0.1 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 0.0 -0.2 -0.1 -0.2 -0.1 0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.5 0.3 0.3 0.0 -0.0 -0.5 -0.6 0.7 0.7 US5 -0.5 0.0 0.6 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.0 0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.0 -0.1 -0.1 -0.0 0.5 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.9 0.0 0.1 0.1 0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.1 -0.2 -1.0 -0.1 -0.1 -0.4 -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 -0.2 NaN -0.1 -0.1 -0.5 -0.1 -0.8 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.1 -0.1 0.1 0.0 0.0 0.0 0.0 -0.1 0.1 -0.2 -0.5 -0.2 -0.7 -0.2 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.2 -0.1 -0.5 -0.1 -0.3 -0.1 -0.1 -0.2 -0.1 -0.4 -0.1 -0.6 -0.5 -0.6 -0.6 -0.3 -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 -16.3 -9.0 13.5 0.5 -3.3 3.6 -4.9 3.8 -3.7 -10.1 -2.3 -15.1 -8.6 -17.7 -1.7 -2.6 -2.8 -2.6 -2.7 -6.5 -0.6 -14.0 -4.3 -14.9 2.8 -2.4 -3.2 0.1 -6.3 -1.0 -6.2 -1.1 -5.3 -12.0 -10.1 -3.9 -20.0 -10.2 -7.3 2.7 BITCOIN -6.6 -8.2 13.1 -5.5 -9.0 -3.5 -7.5 -1.5 -6.5 20.0 17.0 13.7 18.7 4.6 15.0 -7.1 -6.4 -7.6 -7.4 13.2 20.0 20.0 19.0 11.9 -20.0 5.4 16.4 9.1 9.6 8.7 4.2 -1.4 20.0 15.0 18.4 20.0 -5.9 5.5 9.4 10.0 BOBL -16.7 -11.6 20.0 0.6 -3.1 1.0 -2.5 -0.4 -1.1 -7.3 2.7 -6.7 -0.7 -6.4 1.8 -20.0 -15.5 -20.0 -20.0 0.3 3.0 -7.5 -0.3 -4.3 6.4 0.3 -3.9 1.3 -2.7 0.2 -1.4 -20.0 -0.1 0.4 -5.3 -1.4 -20.0 -20.0 1.7 -20.0 BTP -13.6 -3.2 20.0 1.1 -5.4 1.8 -4.3 -0.7 -2.0 -12.6 8.9 -10.1 8.2 -7.9 8.5 4.6 6.7 5.1 5.6 8.0 12.4 -8.1 7.1 -1.6 -12.6 2.7 -4.8 4.4 -3.1 2.8 -0.7 12.1 1.8 8.6 -0.4 7.4 -16.8 -20.0 14.3 1.5 BUND -16.2 -10.0 20.0 0.7 -3.5 1.1 -2.8 -0.4 -1.3 -8.1 3.3 -7.4 -0.8 -7.3 2.6 4.9 4.5 3.9 3.2 1.3 3.9 -6.5 -0.4 -3.7 4.4 0.5 -3.3 1.5 -2.3 0.3 -1.2 7.8 3.7 2.3 -6.0 -0.4 -20.0 -20.0 3.8 -9.3 BUXL -17.2 -7.9 20.0 0.9 -4.2 1.4 -3.4 -0.5 -1.6 -9.5 3.6 -9.2 -4.2 -9.3 2.7 0.0 0.5 0.1 0.3 1.0 3.6 -7.6 -2.7 -5.0 0.6 0.5 -3.1 1.5 -2.5 -0.2 -1.5 2.4 6.0 2.2 -8.4 -0.1 -20.0 -20.0 3.1 5.6 CAC 9.3 -1.3 12.3 6.8 7.5 5.7 7.2 3.7 6.6 14.7 17.5 18.5 20.0 16.3 20.0 -8.6 -5.4 -8.5 -7.5 16.3 13.7 17.2 13.2 17.2 -8.9 6.4 5.9 5.3 6.9 4.5 6.8 -0.1 -12.0 1.5 -12.2 -6.5 -0.8 10.5 4.2 17.0 CAD -8.4 -0.6 11.4 0.6 -4.0 4.3 -5.9 4.5 -4.4 -0.6 -0.1 -2.8 -3.5 -12.3 5.1 -1.8 -2.1 -1.9 -2.1 1.7 2.9 -3.9 -2.7 -3.8 1.1 1.3 -0.6 1.7 -2.5 -1.3 -2.0 0.0 11.6 8.2 4.1 -9.1 -20.0 -15.7 -1.9 -14.8 CANOLA -1.8 -20.0 -20.0 2.2 0.4 0.2 1.9 -1.3 3.1 -9.2 -10.7 -10.1 -9.2 -10.9 -11.3 -9.9 -2.3 -10.3 -8.1 -20.0 -20.0 -14.3 -17.5 -17.3 -20.0 -4.2 -2.3 -4.4 -3.1 -3.8 -3.6 -1.5 -20.0 -20.0 -20.0 -20.0 -19.7 -16.7 -11.3 -4.9 CHF -20.0 -4.6 12.4 0.5 -3.0 3.3 -4.5 3.4 -3.4 -16.1 4.9 -16.8 8.8 -14.3 2.6 -14.4 -15.4 -15.5 -15.7 -1.9 5.5 -19.8 6.2 -13.6 -5.9 1.1 -6.7 3.3 -6.6 2.7 -3.6 -20.0 -13.7 -19.2 8.2 8.4 -20.0 -17.6 -15.9 -20.0 COCOA 15.9 -15.5 -7.5 4.0 0.1 0.3 3.9 -2.5 6.1 19.2 20.0 20.0 20.0 20.0 20.0 16.4 3.8 12.0 7.7 20.0 20.0 20.0 20.0 20.0 -20.0 7.3 16.1 6.7 12.6 6.6 9.2 16.9 20.0 20.0 20.0 20.0 20.0 3.6 20.0 20.0 COFFEE 3.8 1.1 20.0 3.5 0.6 0.3 3.1 -2.0 5.0 8.0 9.3 11.6 3.2 0.8 9.5 9.5 5.3 8.7 7.0 10.0 11.3 4.7 5.3 6.0 -20.0 4.1 3.8 6.1 1.7 4.3 1.6 17.8 1.2 -16.7 -8.2 20.0 -11.4 -20.0 -8.5 -10.6 COPPER -2.5 -3.9 10.0 -4.7 -7.6 -2.9 -6.3 -1.3 -5.5 -17.8 -1.7 -14.8 -5.2 -11.4 3.1 -6.7 -5.0 -6.5 -6.0 -2.1 -0.0 -20.0 -2.9 -10.1 -10.8 -1.8 -15.9 -0.1 -11.8 -0.9 -6.1 1.0 -20.0 -0.4 6.4 13.0 -15.2 -4.9 13.6 -0.8 CORN -1.1 -15.9 -13.1 4.9 0.8 0.5 4.3 -2.8 7.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -14.7 -4.2 -12.0 -9.1 -20.0 -20.0 -19.6 -20.0 -20.0 -20.0 -8.6 -9.5 -7.9 -6.5 -7.0 -6.9 -4.0 -20.0 -20.0 -20.0 -20.0 -4.4 -19.2 -1.5 1.1 COTTON2 20.0 20.0 -1.1 5.0 0.9 0.5 4.4 -2.9 7.1 20.0 -2.2 20.0 -3.4 20.0 13.9 -6.2 -2.0 -7.2 -5.6 20.0 4.7 20.0 -5.0 20.0 -20.0 7.1 14.7 2.7 12.2 0.6 10.4 0.8 20.0 20.0 20.0 -4.4 -15.6 -15.3 -7.4 0.3 CRUDE_W 8.8 -2.2 -9.7 3.0 10.0 0.5 8.1 1.5 6.8 8.2 4.0 2.2 6.3 3.6 -9.4 7.9 9.3 7.8 8.5 -0.7 0.6 6.7 7.0 3.0 -4.6 0.1 10.8 1.0 4.3 5.9 2.3 -1.1 -20.0 -20.0 -16.4 1.5 20.0 17.4 20.0 19.9 DAX 2.5 0.5 20.0 6.6 7.4 5.6 7.0 3.6 6.5 0.9 20.0 16.0 20.0 16.7 20.0 -15.9 -10.8 -14.7 -12.9 19.6 20.0 8.4 16.3 13.1 17.2 6.7 1.3 6.7 3.1 4.9 4.5 -9.2 -20.0 -9.7 -15.6 4.8 -1.3 8.9 7.9 20.0 DOW 0.6 13.3 20.0 6.2 6.9 5.2 6.6 3.4 6.1 16.8 20.0 19.8 19.6 20.0 20.0 -13.4 -10.2 -12.5 -11.6 20.0 20.0 19.3 20.0 20.0 -15.6 7.9 2.9 7.6 4.4 5.5 5.9 -7.8 0.4 14.0 17.8 20.0 -8.7 -4.0 -1.6 -9.2 DX 16.5 6.9 -13.9 0.5 -3.2 3.4 -4.7 3.6 -3.5 15.4 3.2 17.6 -4.3 17.3 -0.7 5.8 6.0 5.9 6.1 5.1 -0.1 14.5 1.9 13.6 -20.0 1.1 4.6 -0.7 6.6 1.1 5.4 14.1 20.0 20.0 6.5 -20.0 20.0 2.7 20.0 8.7 EUR -15.0 -6.6 8.7 0.5 -3.5 3.8 -5.2 4.0 -3.9 -9.2 -4.0 -16.2 4.7 -17.5 -1.2 -6.0 -6.6 -6.0 -6.1 -6.8 -1.2 -13.6 -1.4 -14.3 16.4 -1.7 -2.9 0.7 -6.5 0.1 -5.9 -7.2 -5.8 -7.6 -3.5 -1.5 -20.0 -12.7 -20.0 -9.6 EURIBOR-ICE -20.0 -11.5 20.0 0.6 -3.0 1.0 -2.4 -0.4 -1.1 -7.1 5.2 -5.9 2.8 -5.0 4.4 2.9 -4.0 0.9 -1.7 4.2 8.5 -7.0 4.4 -2.6 14.5 1.5 -3.2 2.8 -2.0 1.5 -0.6 -3.9 -1.1 1.8 -0.7 7.8 -20.0 -20.0 7.6 20.0 EUROSTX 17.8 3.6 18.4 6.6 7.4 5.6 7.0 3.6 6.5 20.0 19.6 20.0 20.0 20.0 20.0 10.7 1.4 7.6 3.6 20.0 20.0 20.0 18.5 20.0 2.0 7.4 7.9 6.0 8.8 4.5 8.3 14.5 3.3 20.0 -1.6 5.9 -5.2 11.0 -2.0 19.7 FEEDCOW 20.0 20.0 -15.6 4.4 0.8 0.4 3.9 -2.6 6.3 17.3 -4.8 20.0 -1.7 20.0 9.1 -20.0 -20.0 -20.0 -20.0 20.0 0.0 20.0 -1.6 20.0 -5.5 4.8 3.1 0.9 6.8 1.9 8.1 -20.0 20.0 20.0 20.0 -20.0 20.0 8.1 20.0 18.9 GASOIL 20.0 8.2 -10.5 2.5 8.2 0.4 6.6 1.2 5.5 15.5 6.8 14.7 7.5 14.7 2.7 20.0 20.0 20.0 20.0 10.5 5.7 20.0 8.9 19.3 7.8 4.1 10.3 2.5 8.3 3.3 7.0 20.0 8.2 6.7 9.2 5.9 -13.4 -4.4 -20.0 -10.3 GASOLINE 14.8 8.4 -8.3 2.9 9.7 0.5 7.8 1.4 6.5 17.8 -0.4 14.5 6.2 14.6 9.1 -12.4 7.1 -20.0 -8.3 8.2 2.9 18.8 5.9 14.4 -20.0 3.5 13.5 1.5 8.8 4.5 6.4 -13.7 -6.8 -5.5 -2.7 10.1 20.0 12.9 20.0 11.3 GAS_US_mini -11.6 1.9 -19.6 1.3 4.5 0.2 3.6 0.7 3.0 -9.1 -9.4 -10.1 -10.6 -9.5 -9.7 6.2 -17.6 5.9 -8.5 -12.7 -15.1 -11.3 -19.0 -11.2 16.0 -3.3 -3.8 -3.6 -3.7 -3.2 -3.1 -20.0 -20.0 -20.0 -11.6 -10.2 -14.2 1.2 -20.0 -2.9 GBP -9.2 0.6 11.8 0.6 -3.7 4.0 -5.5 4.3 -4.1 -3.4 1.9 -6.0 10.8 -5.3 14.7 -0.1 -0.6 -0.2 -0.3 3.7 7.1 -8.0 5.4 -4.6 2.4 3.2 -2.6 4.8 -4.8 2.6 -2.1 2.9 -3.0 5.9 6.0 7.2 -20.0 -2.7 -19.7 7.1 GOLD_micro -4.5 -3.8 9.5 -5.1 -8.3 -3.2 -6.9 -1.4 -6.0 -14.6 11.1 -3.7 8.4 -9.0 6.1 -15.0 -14.2 -14.6 -14.6 1.9 6.2 -4.7 6.2 -2.8 -5.2 2.5 -5.4 3.7 -1.7 3.6 0.5 -14.4 20.0 16.2 18.2 20.0 -20.0 -20.0 -20.0 -14.7 HEATOIL 19.6 7.3 -9.8 2.9 9.7 0.5 7.8 1.4 6.5 18.5 4.7 17.1 5.8 16.6 0.6 20.0 20.0 20.0 20.0 8.8 3.5 20.0 7.9 19.1 -20.0 4.7 13.8 3.1 10.0 5.2 7.8 20.0 8.2 2.2 7.5 7.3 13.2 2.5 11.8 -1.7 JGB-SGX-mini -19.5 4.6 17.7 0.6 -2.9 1.0 -2.3 -0.4 -1.1 -4.3 4.3 -4.9 4.8 -1.1 4.8 7.9 17.5 10.6 13.4 2.6 4.0 -2.5 2.9 -1.2 -3.7 0.9 -0.9 1.2 -1.2 0.4 -0.7 20.0 5.1 -0.3 2.1 -4.1 -2.8 -20.0 6.6 12.7 JPY -12.8 -9.1 19.5 0.3 -1.9 2.0 -2.8 2.2 -2.1 -9.9 -8.5 -10.4 -10.2 -10.8 -6.9 -14.9 -16.0 -15.5 -16.0 -7.4 -7.4 -9.5 -12.3 -9.6 20.0 -2.2 -4.3 -2.5 -4.0 -4.6 -3.4 -20.0 -2.5 -6.4 -10.0 -9.9 -14.0 -20.0 -8.7 -20.0 LEANHOG 17.9 16.0 2.1 4.6 0.8 0.4 4.1 -2.7 6.6 -19.8 -2.1 0.8 -13.6 14.0 10.3 -20.0 -12.9 -20.0 -20.0 10.5 -2.8 -4.2 -16.0 12.0 19.3 6.4 -5.0 2.8 -1.2 -2.8 4.6 -20.0 -20.0 -3.0 20.0 15.6 -11.1 -8.2 3.4 11.8 LIVECOW 20.0 20.0 -17.7 4.5 0.8 0.4 4.0 -2.6 6.4 20.0 -5.3 20.0 -1.8 20.0 2.9 -20.0 -9.2 -18.7 -14.1 15.6 -4.6 20.0 -2.9 20.0 -2.5 3.6 8.9 -0.4 10.5 1.6 9.0 -11.2 20.0 20.0 20.0 -20.0 16.1 -0.2 20.0 6.6 LUMBER-new -1.2 0.7 14.3 5.1 0.9 0.6 4.5 -2.3 7.3 -17.5 -0.2 3.0 -15.0 -4.6 13.4 -16.0 -14.6 -14.9 -14.6 6.5 6.1 -2.8 -2.8 0.7 NaN 4.9 -2.0 4.9 -1.3 1.2 1.5 -17.5 -19.3 -20.0 -1.0 17.4 -10.2 -20.0 -7.1 -19.2 MILK 20.0 18.0 -2.2 2.8 0.5 0.3 2.5 -1.7 4.1 -1.4 -12.3 7.3 -14.0 4.6 -9.4 -20.0 -20.0 -20.0 -20.0 -5.0 -15.2 7.4 -20.0 6.3 10.8 -0.7 0.0 -4.5 3.5 -6.6 3.3 -20.0 20.0 3.1 -9.2 -20.0 -20.0 -20.0 -20.0 -20.0 MXP -5.3 0.7 10.2 0.5 -3.6 3.8 -5.3 4.1 -3.9 12.9 17.1 4.2 20.0 4.3 16.8 16.0 16.4 15.6 15.5 10.3 16.2 4.8 20.0 5.2 -20.0 5.2 2.8 8.2 2.7 12.5 2.7 20.0 20.0 11.6 12.4 8.1 19.2 20.0 20.0 20.0 NASDAQ_micro 9.5 5.6 20.0 4.3 4.8 3.6 4.5 2.3 4.2 13.4 14.8 14.5 14.4 14.7 15.3 -11.6 -9.7 -11.4 -10.8 20.0 20.0 19.5 20.0 20.0 -20.0 5.5 4.1 5.4 3.8 4.9 4.5 -6.7 2.8 17.9 20.0 15.3 17.6 -3.8 20.0 -5.8 NIKKEI 8.1 18.4 14.4 5.7 5.1 4.9 5.4 3.2 5.3 15.0 19.2 14.9 19.5 17.8 19.3 18.0 12.9 16.3 14.1 20.0 20.0 18.3 20.0 20.0 -14.8 6.8 4.0 6.0 3.6 5.2 5.5 20.0 -2.6 20.0 20.0 13.7 -16.2 -3.5 -3.0 -0.6 NZD -13.9 -7.9 15.7 0.4 -2.9 3.1 -4.3 3.3 -3.2 9.9 2.5 -7.7 0.7 -12.2 4.2 0.3 0.2 0.2 0.2 -1.0 3.2 -1.2 -0.1 -5.8 0.4 -0.1 4.4 2.0 -0.6 0.7 -2.6 4.0 15.4 -5.3 -4.3 -0.6 -11.2 -9.8 -5.2 4.3 OAT -16.6 -8.9 20.0 0.8 -3.8 1.3 -3.1 -0.5 -1.4 -9.1 4.3 -8.1 -0.1 -8.0 3.7 4.9 6.6 5.1 5.4 2.5 5.8 -7.5 0.9 -3.8 6.0 0.9 -3.7 2.1 -2.6 0.7 -1.2 11.9 2.5 3.0 -5.6 1.8 -20.0 -20.0 6.4 3.3 OATIES 7.2 3.1 -17.4 2.0 0.4 0.2 1.8 -1.2 2.9 4.6 -8.7 4.0 -6.9 0.5 -6.0 8.1 -4.5 2.0 -3.3 -4.3 -8.1 2.8 -6.3 0.6 -20.0 -0.5 1.5 -2.7 1.7 -2.5 1.5 -0.8 7.4 -7.4 -0.1 -13.2 -3.9 3.1 3.5 14.4 OJ 20.0 -20.0 -20.0 2.9 0.5 0.3 2.5 -1.7 4.1 4.5 6.0 11.3 10.4 8.4 -1.6 8.0 16.9 9.2 13.5 6.6 8.4 20.0 19.2 18.9 -20.0 2.1 1.2 3.5 5.1 7.2 4.3 20.0 20.0 20.0 -12.5 4.9 6.2 10.8 12.7 20.0 PALLAD -4.8 -14.8 3.6 -2.0 -3.2 -1.2 -2.7 -0.6 -2.3 -7.5 -7.3 -6.5 -8.4 -7.6 -7.0 -1.6 -2.2 -1.8 -2.0 -8.5 -9.5 -10.1 -12.7 -8.6 8.4 -2.0 -5.8 -2.8 -4.0 -3.7 -2.3 6.9 -6.4 -1.3 5.3 -7.4 -9.6 -7.6 -5.4 -2.9 PLAT -7.6 -9.2 3.6 -3.1 -5.0 -1.9 -4.2 -0.9 -3.6 -10.9 -5.0 -9.8 -7.1 -10.8 -4.8 -4.1 -3.1 -3.9 -3.6 -6.1 -4.1 -10.2 -4.1 -8.7 11.3 -2.2 -6.8 -1.0 -5.2 -0.7 -3.7 4.7 -2.3 0.2 3.8 3.2 -11.0 -5.0 18.3 2.4 REDWHEAT 5.0 -1.7 -5.2 4.0 0.7 0.4 3.6 -2.4 5.8 -16.6 -19.9 -9.2 -20.0 -10.9 -14.1 1.2 -1.2 -1.5 -2.1 -14.2 -20.0 -12.5 -20.0 -9.8 -13.5 -5.0 -10.8 -9.5 -6.9 -11.1 -3.5 4.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -18.9 -18.0 RICE 12.5 4.7 13.3 4.1 0.7 0.4 3.6 -2.4 5.8 18.4 19.4 19.5 16.7 19.2 19.6 -14.4 -2.5 -14.3 -9.9 20.0 19.6 20.0 14.7 20.0 -20.0 5.7 11.4 4.3 10.8 3.3 8.3 -1.8 20.0 16.0 5.8 14.7 2.8 -7.1 9.8 1.6 ROBUSTA 14.2 20.0 20.0 3.0 0.5 0.3 2.7 -1.8 4.3 8.2 15.2 11.8 15.2 13.7 15.4 20.0 20.0 20.0 20.0 20.0 20.0 15.8 20.0 20.0 -20.0 5.7 2.7 5.9 2.4 4.9 3.9 20.0 10.6 18.1 20.0 20.0 -16.2 -15.6 -6.3 1.1 RUSSELL -5.8 0.3 20.0 3.8 4.2 3.2 4.0 2.1 3.7 6.4 6.3 3.5 3.3 -3.1 7.0 -6.3 -6.2 -6.4 -6.4 6.1 7.0 3.5 2.9 2.1 -2.3 2.9 4.7 3.0 1.6 1.7 1.3 0.1 -12.5 -8.8 -4.7 -3.3 -20.0 -20.0 -20.0 -20.0 SHATZ -16.9 -9.5 20.0 0.6 -2.9 1.0 -2.4 -0.4 -1.1 -7.0 0.4 -6.8 -4.2 -6.4 -0.3 -20.0 -20.0 -20.0 -20.0 -1.6 0.6 -9.3 -3.0 -6.0 7.9 -0.0 -4.3 0.8 -3.3 -0.5 -1.8 -20.0 -5.2 -2.0 -5.3 -3.3 -20.0 -20.0 -7.6 -20.0 SILVER-mini -4.3 -12.5 0.0 -4.2 -6.9 -2.7 -5.8 -1.2 -5.0 -8.8 -5.0 -8.8 -1.8 -13.1 -11.4 -6.9 -6.6 -6.9 -6.9 -9.4 -6.4 -8.6 -3.4 -10.0 5.7 -4.0 -3.2 -2.7 -4.1 -0.9 -4.1 -1.0 5.4 3.1 3.0 0.3 -20.0 -17.5 10.4 -7.1 SMI -7.0 7.0 13.5 5.6 6.2 4.7 5.9 3.0 5.4 -17.1 8.9 -13.2 4.8 -2.6 14.9 11.1 5.6 10.2 7.7 7.9 6.9 -10.0 2.1 0.2 10.5 4.5 -7.5 4.4 -4.4 1.5 0.5 20.0 -20.0 -20.0 -8.0 -12.4 4.0 -6.2 12.7 -7.0 SOFR -15.7 -2.7 20.0 0.8 -3.7 1.2 -3.0 -0.5 -1.4 -8.6 4.9 -7.5 0.3 -5.9 5.6 2.1 0.3 1.7 0.9 1.9 3.4 -7.3 -0.2 -3.3 -2.1 2.2 -3.9 2.3 -2.4 0.5 -0.1 2.5 2.7 6.4 3.3 2.5 -20.0 -20.0 -7.8 -3.3 SOYBEAN 0.2 -20.0 -14.0 4.0 0.7 0.4 3.6 -2.3 5.8 -17.2 -11.5 -17.3 0.1 -19.8 -20.0 6.6 15.4 10.3 12.3 -20.0 -18.8 -17.8 -9.5 -20.0 -20.0 -6.5 -5.8 -3.9 -5.8 -1.2 -6.5 20.0 -20.0 -20.0 -20.0 -14.9 -10.4 -20.0 -10.2 -20.0 SOYMEAL -1.7 -20.0 -15.2 2.8 0.5 0.3 2.5 -1.6 4.0 -12.6 -11.4 -12.1 -4.8 -13.3 -13.8 0.8 13.4 5.8 9.6 -19.4 -13.9 -16.9 -5.2 -17.8 -20.0 -4.6 -4.7 -2.8 -3.9 -0.3 -4.3 20.0 -16.4 -20.0 -20.0 -14.4 -20.0 -20.0 -20.0 -19.9 SOYOIL 4.0 -6.5 -14.3 2.7 0.5 0.3 2.4 -1.6 3.9 8.7 -11.4 2.3 -8.8 -7.1 -11.2 -6.2 4.9 -3.4 0.7 -12.1 -14.6 3.9 -11.8 -5.7 -20.0 -3.2 7.3 -4.1 2.9 -3.6 -1.1 12.7 0.9 -19.7 -15.7 -12.9 -8.9 -3.9 -4.1 6.2 SP400 -2.4 5.0 20.0 4.4 4.9 3.7 4.7 2.4 4.3 11.3 10.8 9.6 7.9 4.0 12.2 -5.9 -5.2 -5.6 -5.4 11.4 11.7 7.2 6.8 6.7 -11.2 4.2 5.2 4.3 2.7 2.9 2.5 1.8 -11.0 -6.8 -3.6 -2.0 -20.0 -9.1 -20.0 -20.0 SP500_micro 9.7 11.9 20.0 5.5 6.1 4.6 5.9 3.0 5.4 17.4 19.0 19.0 17.4 19.4 20.0 -12.9 -10.9 -12.6 -11.9 20.0 20.0 20.0 20.0 20.0 -20.0 7.1 5.5 6.4 5.7 5.0 6.3 -8.6 9.1 20.0 20.0 17.3 4.5 -3.7 17.4 -6.1 SUGAR11 20.0 5.0 -20.0 3.1 0.5 0.3 2.8 -1.8 4.5 12.8 -3.6 10.1 7.6 10.6 -2.8 20.0 19.7 20.0 20.0 -0.3 -5.4 9.3 3.8 9.7 -20.0 -1.9 2.2 -2.7 2.1 1.5 1.2 20.0 0.3 -3.1 -8.6 -20.0 9.1 -3.0 15.8 7.9 US10 -13.6 0.9 20.0 0.7 -3.2 1.1 -2.6 -0.4 -1.2 -7.5 2.3 -6.6 -2.3 -4.8 4.8 -9.8 -8.0 -9.3 -8.7 1.6 1.6 -5.8 -3.5 -2.5 1.7 1.9 -3.1 1.6 -1.9 -0.6 0.0 -12.8 3.4 6.6 3.3 1.0 -20.0 -20.0 -18.0 7.7 US10U -12.6 0.3 20.0 0.9 -4.4 1.5 -3.6 -0.6 -1.6 -10.4 2.2 -9.0 -3.1 -7.3 6.0 0.1 0.6 1.3 1.1 1.8 1.5 -7.5 -5.4 -3.2 -1.2 2.5 -4.3 1.9 -2.4 -1.1 0.2 2.9 7.3 10.7 4.0 0.7 -20.0 -20.0 7.4 18.3 US2 -16.1 1.9 20.0 0.6 -2.9 1.0 -2.3 -0.4 -1.1 -6.7 1.3 -6.8 -4.5 -3.9 3.0 -20.0 -20.0 -20.0 -20.0 0.7 1.0 -6.8 -4.6 -3.6 8.7 1.6 -2.9 1.7 -2.3 -0.7 -0.5 -20.0 -2.2 1.9 3.7 1.5 -20.0 -20.0 -14.9 -20.0 US20 -13.4 1.1 20.0 0.7 -3.2 1.1 -2.6 -0.4 -1.2 -7.3 2.1 -4.5 -1.7 -4.4 4.5 0.0 -1.0 -0.3 -0.7 2.0 1.7 -4.3 -3.7 -1.7 -1.4 1.9 -2.4 1.4 -1.1 -0.8 0.5 -0.4 8.4 8.7 3.6 2.4 -20.0 -20.0 20.0 20.0 US30 -10.8 -1.9 18.7 0.8 -3.8 1.2 -3.1 -0.5 -1.4 -8.4 1.3 -4.7 -3.1 -5.8 4.1 -9.5 -5.5 -8.0 -6.7 0.9 0.6 -4.6 -5.5 -2.5 -0.9 1.9 -2.9 1.2 -1.3 -1.4 0.4 -8.8 10.5 10.3 0.9 -0.4 -16.0 -17.8 20.0 20.0 US5 -15.3 0.4 20.0 0.6 -3.1 1.0 -2.5 -0.4 -1.2 -7.3 2.9 -6.8 -2.6 -4.3 4.6 -10.3 -10.3 -10.2 -10.5 1.3 1.8 -6.6 -3.0 -3.1 3.8 1.8 -3.4 1.8 -2.3 -0.3 -0.2 -16.6 0.5 4.4 3.4 1.5 -20.0 -20.0 -20.0 -7.3 VIX 1.8 -3.9 -20.0 -7.3 -4.2 -8.7 -5.2 -11.2 -6.0 -16.3 -20.0 -18.4 -20.0 -19.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -11.2 -20.0 -13.8 NaN -8.4 -4.6 -10.6 -5.3 -13.8 -6.2 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -2.6 -2.6 4.4 4.3 0.7 0.4 3.8 -2.5 6.1 -17.1 -20.0 -17.9 -20.0 -17.9 -10.1 -11.5 -10.7 -11.3 -11.2 -12.2 -17.7 -14.4 -20.0 -12.6 -2.3 -4.9 -12.7 -7.1 -10.6 -10.9 -6.7 -11.4 -20.0 -20.0 -20.0 -10.5 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3