******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240215_204022 produced at 2024-02-15 21:37:46.736378 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.56 0.0 0.00 0.00 0.00 0.00 -7.17 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 -55.64 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.22 0.0 0.00 0.00 0.00 0.00 -6.11 24.0 0 0 caleb_strategy_v3 US2 False True 0.07 0.00 -0.17 0.0 0.00 0.00 0.00 0.00 -2.52 13.0 0 0 caleb_strategy_v3 CHF False False 0.05 -0.32 -0.13 0.0 0.60 -0.60 -0.32 -0.32 -2.85 13.0 -7 -7 caleb_strategy_v3 COPPER False True 0.03 -0.09 -0.13 0.0 0.00 -0.09 -0.09 -0.09 -4.44 6.0 -3 -3 caleb_strategy_v3 GOLD_micro False False 0.01 -0.12 -0.10 0.0 0.36 -0.36 -0.12 -0.17 -15.63 56.0 -19 -26 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.08 0.0 0.09 -0.09 -0.07 -0.07 -11.31 12.0 -10 -10 caleb_strategy_v3 BOBL False False 0.04 -0.49 -0.07 0.0 0.77 -0.77 -0.49 -0.49 -1.69 19.0 -12 -12 caleb_strategy_v3 JPY False False 0.03 -0.05 -0.07 0.0 0.46 -0.46 -0.05 -0.11 -2.77 17.0 -2 -4 caleb_strategy_v3 EUR False False 0.04 -0.09 -0.06 0.0 0.61 -0.61 -0.09 -0.04 -1.41 14.0 -2 -1 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.14 -0.14 -0.02 -0.02 -23.04 51.0 -6 -6 caleb_strategy_v3 US5 False False 0.03 -0.10 -0.06 0.0 0.86 -0.86 -0.10 -0.17 -1.73 25.0 -3 -5 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.02 -0.05 0.0 0.03 -0.03 -0.02 -0.02 -34.54 26.0 -13 -15 caleb_strategy_v3 AUD False False 0.02 0.00 -0.05 0.0 0.40 -0.40 0.00 0.00 -2.27 19.0 0 0 caleb_strategy_v3 CAD False False 0.02 -0.05 -0.04 0.0 0.70 -0.70 -0.05 -0.05 -1.87 29.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.07 -0.07 -0.03 -0.03 -2.77 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 -2.42 5.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.13 -0.13 -0.04 -0.04 -1.85 7.0 -2 -2 caleb_strategy_v3 US10 False True 0.04 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -0.95 17.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.09 -0.09 -0.04 -0.04 -3.09 9.0 -4 -4 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.02 0.0 0.18 -0.18 0.00 0.00 -0.22 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.00 -0.02 0.0 0.23 -0.23 -0.00 -0.01 -5.66 68.0 -1 -2 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.10 -0.10 0.00 0.00 -2.06 9.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.00 2.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.02 0.0 0.02 -0.02 0.00 0.00 -4.42 3.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.02 0.0 0.00 -0.00 0.00 0.00 -1.09 0.0 0 0 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.01 0.0 0.41 -0.41 -0.02 -0.02 -0.37 21.0 -1 -1 caleb_strategy_v3 US10U False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.22 13.0 0 0 caleb_strategy_v3 BUND False False 0.05 0.00 -0.01 0.0 0.46 -0.46 0.00 0.00 -0.13 10.0 0 0 caleb_strategy_v3 US30 False True 0.04 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.14 6.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.04 -0.01 0.0 0.09 -0.09 -0.04 -0.04 -1.39 10.0 -4 -4 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.14 -0.14 0.00 0.00 -0.05 6.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.00 0.0 0.06 -0.06 -0.03 -0.03 -0.14 2.0 -1 -1 caleb_strategy_v3 BUXL False False 0.05 -0.05 -0.00 0.0 0.19 -0.19 -0.05 0.00 -0.10 4.0 -1 0 caleb_strategy_v3 PLAT False False 0.01 -0.06 0.00 0.0 0.15 -0.15 -0.06 -0.03 0.08 10.0 -4 -2 caleb_strategy_v3 US20 False True 0.04 0.04 -0.00 0.0 0.04 0.00 0.04 0.04 -0.05 9.0 1 1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.00 0.0 0.14 -0.14 0.00 0.00 0.15 18.0 0 0 caleb_strategy_v3 GBP False False 0.03 0.13 0.01 0.0 0.56 -0.56 0.13 0.13 0.30 22.0 5 5 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.58 3.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.0 0.23 -0.23 0.02 0.02 1.42 23.0 2 2 caleb_strategy_v3 COTTON2 False False 0.02 0.00 0.01 0.0 0.17 -0.17 0.00 0.00 0.47 11.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.01 0.01 0.0 0.41 -0.41 0.01 0.01 2.32 66.0 2 2 caleb_strategy_v3 OAT False False 0.04 0.00 0.02 0.0 0.44 -0.44 0.00 0.00 0.48 10.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.07 0.02 0.0 0.14 -0.14 0.07 0.10 0.50 4.0 2 3 caleb_strategy_v3 BTP False False 0.04 0.08 0.02 0.0 0.41 -0.41 0.08 0.08 0.52 10.0 2 2 caleb_strategy_v3 RICE False True 0.01 0.00 0.02 0.0 0.00 0.00 0.00 0.00 1.79 4.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.15 0.03 0.0 0.27 -0.27 0.15 0.16 2.22 23.0 13 14 caleb_strategy_v3 FEEDCOW False False 0.04 0.20 0.03 0.0 0.33 -0.33 0.20 0.20 0.75 8.0 5 5 caleb_strategy_v3 SP500_micro False False 0.01 0.00 0.04 0.0 0.39 -0.39 0.00 0.00 5.02 48.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.04 0.0 0.41 -0.41 0.00 0.00 1.63 17.0 0 0 caleb_strategy_v3 HEATOIL False False 0.04 0.00 0.04 0.0 0.11 -0.11 0.00 0.00 1.22 3.0 0 0 caleb_strategy_v3 CAC False False 0.03 0.27 0.05 0.0 0.32 -0.32 0.27 0.30 2.00 12.0 10 11 caleb_strategy_v3 COCOA False False 0.02 0.13 0.05 0.0 0.47 -0.47 0.13 0.11 2.93 26.0 7 6 caleb_strategy_v3 LEANHOG False False 0.01 0.00 0.05 0.0 0.16 -0.16 0.00 0.00 3.84 13.0 0 0 caleb_strategy_v3 GASOIL False False 0.03 0.08 0.06 0.0 0.10 -0.10 0.08 0.08 2.36 4.0 3 3 caleb_strategy_v3 SMI False False 0.04 0.33 0.06 0.0 0.37 -0.37 0.33 0.37 1.46 9.0 8 9 caleb_strategy_v3 DX False True 0.03 0.00 0.08 0.0 0.00 0.00 0.00 0.00 2.31 999999999.0 0 0 caleb_strategy_v3 BITCOIN False False 0.00 0.05 0.08 0.0 0.10 -0.10 0.05 0.05 44.90 59.0 30 30 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.10 0.0 0.12 -0.12 0.05 0.02 3.99 5.0 2 1 caleb_strategy_v3 DAX False False 0.01 0.00 0.10 0.0 0.34 -0.34 0.00 0.00 16.10 58.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.08 0.14 0.0 0.33 -0.33 0.08 0.08 8.75 20.0 5 5 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.00 0.25 0.0 0.85 -0.85 0.00 0.25 2.90 10.0 0 3 caleb_strategy_v3 NIKKEI False False 0.01 0.27 0.36 0.0 0.30 -0.30 0.27 0.28 43.59 36.0 32 34 caleb_strategy_v3 JGB-SGX-mini False True 0.03 0.35 0.42 0.0 0.35 0.00 0.35 0.35 13.27 16.0 11 11 caleb_strategy_v3 MXP False False 0.01 0.56 0.67 0.0 0.57 -0.57 0.56 0.57 70.77 60.0 59 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 22.6 Shocked risk 71.2 Sum abs risk 62.6 Leverage 5.26 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3097287.34, 'annual_cash_vol_target': 774321.835, 'daily_cash_vol_target': 48395.1146875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6528 0.6265 10.0237 BITCOIN 1163.3118 52905.0000 2.1989 35.1819 BOBL 0.2852 116.9000 0.2440 3.9038 BTP 0.5941 117.8900 0.5040 8.0632 BUND 0.5625 133.5200 0.4213 6.7411 BUXL 1.2922 133.8000 0.9658 15.4524 CAC 55.9352 7798.5000 0.7173 11.4761 CAD 0.0031 0.7426 0.4155 6.6474 CANOLA 6.9292 576.5000 1.2019 19.2310 CHF 0.0058 1.1400 0.5068 8.1094 COCOA 68.9368 5601.0000 1.2308 19.6927 COFFEE 3.4435 186.1000 1.8503 29.6054 COPPER 0.0384 3.7555 1.0219 16.3499 CORN 4.1640 456.7500 0.9117 14.5867 COTTON2 1.0407 95.3800 1.0911 17.4576 CRUDE_W 0.9930 73.8000 1.3456 21.5295 DAX 111.7506 17154.0000 0.6515 10.4233 DOW 223.3516 38811.0000 0.5755 9.2078 DX 0.3948 104.6100 0.3774 6.0382 EUR 0.0046 1.0782 0.4244 6.7909 EURIBOR-ICE 0.0524 97.6800 0.0537 0.8588 EUROSTX 34.9644 4775.0000 0.7322 11.7158 FEEDCOW 1.7063 253.2000 0.6739 10.7825 GASOIL 12.6146 811.0000 1.5554 24.8871 GASOLINE 0.0407 2.5565 1.5907 25.4514 GAS_US_mini 0.0835 1.6550 5.0453 80.7245 GBP 0.0059 1.2600 0.4654 7.4469 GOLD_micro 13.0260 2015.5000 0.6463 10.3406 HEATOIL 0.0399 2.6854 1.4863 23.7801 JGB-SGX-mini 0.2818 146.3800 0.1925 3.0802 JPY 0.0000 0.0067 0.6295 10.0722 LEANHOG 1.1170 97.6500 1.1439 18.3020 LIVECOW 1.2594 185.6250 0.6785 10.8553 LUMBER-new 6.3660 577.5000 1.1023 17.6374 MILK 0.2294 17.1800 1.3353 21.3656 MXP 0.0004 0.0584 0.6145 9.8315 NASDAQ_micro 137.9980 17898.5000 0.7710 12.3360 NIKKEI 301.1929 38525.0000 0.7818 12.5090 NZD 0.0040 0.6107 0.6580 10.5286 OAT 0.5498 128.4000 0.4282 6.8517 OATIES 6.1740 370.0000 1.6687 26.6984 OJ 7.4154 362.7000 2.0445 32.7122 PALLAD 29.3958 957.5000 3.0701 49.1209 PLAT 14.8136 906.4000 1.6343 26.1493 REDWHEAT 9.2548 563.5000 1.6424 26.2780 RICE 0.1815 18.7950 0.9659 15.4542 ROBUSTA 43.0879 3112.0000 1.3846 22.1532 RUSSELL 28.6755 2065.9000 1.3880 22.2086 SHATZ 0.0974 105.4650 0.0924 1.4783 SILVER-mini 0.3428 23.1000 1.4841 23.7456 SMI 74.7911 11215.0000 0.6669 10.6702 SOFR 0.0793 96.3650 0.0823 1.3173 SOYBEAN 9.7421 1142.5000 0.8527 13.6432 SOYMEAL 4.3655 336.1000 1.2989 20.7821 SOYOIL 0.6620 46.9200 1.4109 22.5736 SP400 27.5393 2862.3000 0.9621 15.3942 SP500_micro 31.7780 5044.2500 0.6300 10.0797 SUGAR11 0.3367 22.1900 1.5172 24.2759 US10 0.4653 110.1406 0.4224 6.7589 US10U 0.6227 114.0625 0.5459 8.7346 US2 0.1333 102.0977 0.1306 2.0889 US20 0.8891 118.8125 0.7483 11.9734 US30 1.2660 124.8750 1.0138 16.2208 US5 0.3174 106.8125 0.2972 4.7551 VIX 0.4294 16.6000 2.5869 41.3901 WHEAT 8.2996 592.5000 1.4008 22.4125 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 652.75 0.63 408.93 1.00 408.93 48395.11 118.34 -7.39 -87.51 BITCOIN 52.90 2.20 116.33 1.00 116.33 48395.11 416.01 9.97 414.66 BOBL 1169.00 0.24 285.22 1.07 305.40 48395.11 158.46 -10.54 -167.02 BTP 1178.90 0.50 594.11 1.07 636.14 48395.11 76.08 2.01 15.29 BUND 1335.20 0.42 562.54 1.07 602.34 48395.11 80.34 -1.61 -12.90 BUXL 1338.00 0.97 1292.20 1.07 1383.63 48395.11 34.98 -2.89 -10.11 CAC 779.85 0.72 559.35 1.07 598.93 48395.11 80.80 7.24 58.50 CAD 742.55 0.42 308.50 1.00 308.50 48395.11 156.87 -4.58 -71.89 CANOLA 115.30 1.20 138.58 0.74 102.20 48395.11 473.55 -20.00 -947.10 CHF 1424.94 0.51 722.21 1.00 722.21 48395.11 67.01 -16.40 -109.87 COCOA 560.10 1.23 689.37 1.00 689.37 48395.11 70.20 19.47 136.70 COFFEE 697.88 1.85 1291.31 1.00 1291.31 48395.11 37.48 -1.25 -4.68 COPPER 938.88 1.02 959.41 1.00 959.41 48395.11 50.44 -8.13 -41.02 CORN 228.38 0.91 208.20 1.00 208.20 48395.11 232.44 -20.00 -464.89 COTTON2 476.90 1.09 520.35 1.00 520.35 48395.11 93.01 2.37 22.08 CRUDE_W 738.00 1.35 993.05 1.00 993.05 48395.11 48.73 7.57 36.89 DAX 171.54 0.65 111.75 1.07 119.66 48395.11 404.45 11.67 472.01 DOW 194.06 0.58 111.68 1.00 111.68 48395.11 433.35 2.30 99.70 DX 1046.10 0.38 394.79 1.00 394.79 48395.11 122.59 7.27 89.10 EUR 1347.69 0.42 572.00 1.00 572.00 48395.11 84.61 -6.42 -54.29 EURIBOR-ICE 2442.00 0.05 131.08 1.07 140.36 48395.11 344.80 2.46 84.93 EUROSTX 477.50 0.73 349.64 1.07 374.38 48395.11 129.27 19.84 256.43 FEEDCOW 1266.00 0.67 853.17 1.00 853.17 48395.11 56.72 4.01 22.77 GASOIL 811.00 1.56 1261.46 1.00 1261.46 48395.11 38.36 14.22 54.55 GASOLINE 1073.73 1.59 1707.99 1.00 1707.99 48395.11 28.33 4.04 11.44 GAS_US_mini 41.38 5.05 208.75 1.00 208.75 48395.11 231.83 -13.76 -318.96 GBP 787.50 0.47 366.53 1.00 366.53 48395.11 132.04 0.89 11.70 GOLD_micro 201.55 0.65 130.26 1.00 130.26 48395.11 371.53 -12.34 -458.35 HEATOIL 1127.87 1.49 1676.30 1.00 1676.30 48395.11 28.87 9.71 28.04 JGB-SGX-mini 146380.00 0.19 28180.29 0.01 187.22 48395.11 258.49 4.74 122.57 JPY 837.25 0.63 527.06 1.00 527.06 48395.11 91.82 -11.64 -106.89 LEANHOG 390.60 1.14 446.80 1.00 446.80 48395.11 108.32 5.83 63.13 LIVECOW 742.50 0.68 503.75 1.00 503.75 48395.11 96.07 5.11 49.07 LUMBER-new 158.81 1.10 175.07 1.00 175.07 48395.11 276.44 -7.47 -206.59 MILK 343.60 1.34 458.83 1.00 458.83 48395.11 105.48 -10.73 -113.18 MXP 291.95 0.61 179.39 1.00 179.39 48395.11 269.77 17.87 482.18 NASDAQ_micro 357.97 0.77 276.00 1.00 276.00 48395.11 175.35 5.45 95.53 NIKKEI 38525.00 0.78 30119.29 0.01 200.11 48395.11 241.85 16.64 402.55 NZD 610.70 0.66 401.86 1.00 401.86 48395.11 120.43 -1.17 -14.07 OAT 1284.00 0.43 549.85 1.07 588.75 48395.11 82.20 1.70 13.94 OATIES 185.00 1.67 308.70 1.00 308.70 48395.11 156.77 -7.87 -123.41 OJ 544.05 2.04 1112.32 1.00 1112.32 48395.11 43.51 6.21 27.03 PALLAD 957.50 3.07 2939.58 1.00 2939.58 48395.11 16.46 -2.54 -4.18 PLAT 453.20 1.63 740.68 1.00 740.68 48395.11 65.34 0.34 2.20 REDWHEAT 281.75 1.64 462.74 1.00 462.74 48395.11 104.58 -20.00 -209.17 RICE 375.90 0.97 363.08 1.00 363.08 48395.11 133.29 5.53 73.67 ROBUSTA 311.20 1.38 430.88 1.00 430.88 48395.11 112.32 10.83 121.64 RUSSELL 103.30 1.39 143.38 1.00 143.38 48395.11 337.54 -5.06 -170.92 SHATZ 1054.65 0.09 97.44 1.07 104.34 48395.11 463.84 -12.99 -602.45 SILVER-mini 577.50 1.48 857.07 1.00 857.07 48395.11 56.47 -5.66 -31.94 SMI 1121.50 0.67 747.91 1.13 843.27 48395.11 57.39 7.48 42.92 SOFR 2409.12 0.08 198.35 1.00 198.35 48395.11 243.99 -4.83 -117.94 SOYBEAN 571.25 0.85 487.11 1.00 487.11 48395.11 99.35 -20.00 -198.70 SOYMEAL 336.10 1.30 436.55 1.00 436.55 48395.11 110.86 -20.00 -221.71 SOYOIL 281.52 1.41 397.18 1.00 397.18 48395.11 121.85 -12.24 -149.18 SP400 2862.30 0.96 2753.93 1.00 2753.93 48395.11 17.57 -3.84 -6.74 SP500_micro 252.21 0.63 158.89 1.00 158.89 48395.11 304.58 7.09 215.97 SUGAR11 248.53 1.52 377.08 1.00 377.08 48395.11 128.34 0.56 7.22 US10 1101.41 0.42 465.27 1.00 465.27 48395.11 104.01 -7.18 -74.68 US10U 1140.62 0.55 622.68 1.00 622.68 48395.11 77.72 -2.27 -17.62 US2 2041.95 0.13 266.59 1.00 266.59 48395.11 181.54 -10.96 -198.93 US20 1188.12 0.75 889.12 1.00 889.12 48395.11 54.43 -0.71 -3.88 US30 1248.75 1.01 1265.98 1.00 1265.98 48395.11 38.23 -2.99 -11.43 US5 1068.12 0.30 317.44 1.00 317.44 48395.11 152.45 -8.94 -136.29 VIX 166.00 2.59 429.42 1.00 429.42 48395.11 112.70 -20.00 -225.40 WHEAT 296.25 1.40 414.98 1.00 414.98 48395.11 116.62 -20.00 -233.24 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -87.512 0.010 2.5 -2.271 BITCOIN 414.664 0.043 2.5 44.903 BOBL -167.018 0.004 2.5 -1.694 BTP 15.294 0.014 2.5 0.522 BUND -12.902 0.004 2.5 -0.131 BUXL -10.112 0.004 2.5 -0.103 CAC 58.498 0.014 2.5 1.995 CAD -71.894 0.010 2.5 -1.865 CANOLA -947.099 0.010 2.5 -23.042 CHF -109.870 0.010 2.5 -2.851 COCOA 136.704 0.009 2.5 2.928 COFFEE -4.677 0.005 2.5 -0.055 COPPER -41.023 0.043 2.5 -4.442 CORN -464.885 0.010 2.5 -11.310 COTTON2 22.084 0.009 2.5 0.473 CRUDE_W 36.887 0.043 2.5 3.994 DAX 472.008 0.014 2.5 16.100 DOW 99.699 0.009 2.5 2.317 DX 89.101 0.010 2.5 2.312 EUR -54.293 0.010 2.5 -1.409 EURIBOR-ICE 84.932 0.014 2.5 2.897 EUROSTX 256.435 0.014 2.5 8.747 FEEDCOW 22.769 0.013 2.5 0.755 GASOIL 54.549 0.017 2.5 2.365 GASOLINE 11.438 0.017 2.5 0.496 GAS_US_mini -318.958 0.043 2.5 -34.539 GBP 11.695 0.010 2.5 0.303 GOLD_micro -458.349 0.014 2.5 -15.634 HEATOIL 28.040 0.017 2.5 1.216 JGB-SGX-mini 122.575 0.043 2.5 13.273 JPY -106.889 0.010 2.5 -2.773 LEANHOG 63.126 0.024 2.5 3.836 LIVECOW 49.065 0.013 2.5 1.626 LUMBER-new -206.593 0.009 2.5 -4.417 MILK -113.176 0.009 2.5 -2.424 MXP 482.184 0.059 2.5 70.772 NASDAQ_micro 95.525 0.009 2.5 2.220 NIKKEI 402.546 0.043 2.5 43.591 NZD -14.074 0.010 2.5 -0.365 OAT 13.942 0.014 2.5 0.476 OATIES -123.408 0.010 2.5 -3.002 OJ 27.025 0.009 2.5 0.579 PALLAD -4.178 0.014 2.5 -0.143 PLAT 2.205 0.014 2.5 0.075 REDWHEAT -209.168 0.005 2.5 -2.775 RICE 73.665 0.010 2.5 1.792 ROBUSTA 121.643 0.005 2.5 1.421 RUSSELL -170.918 0.013 2.5 -5.664 SHATZ -602.449 0.004 2.5 -6.109 SILVER-mini -31.939 0.014 2.5 -1.089 SMI 42.920 0.014 2.5 1.464 SOFR -117.938 0.024 2.5 -7.168 SOYBEAN -198.705 0.004 2.5 -1.848 SOYMEAL -221.714 0.004 2.5 -2.062 SOYOIL -149.179 0.004 2.5 -1.389 SP400 -6.744 0.013 2.5 -0.223 SP500_micro 215.974 0.009 2.5 5.019 SUGAR11 7.223 0.009 2.5 0.154 US10 -74.677 0.005 2.5 -0.946 US10U -17.621 0.005 2.5 -0.223 US2 -198.935 0.005 2.5 -2.521 US20 -3.878 0.005 2.5 -0.049 US30 -11.432 0.005 2.5 -0.145 US5 -136.289 0.005 2.5 -1.727 VIX -225.396 0.099 2.5 -55.638 WHEAT -233.239 0.005 2.5 -3.094 ===================== Position diags ===================== AUD 3.07 BITCOIN 45.05 BOBL 1.61 BTP 2.59 BUND 0.81 BUXL 0.35 CAC 2.76 CAD 4.07 CANOLA 11.52 CHF 1.74 COCOA 1.50 COFFEE 0.44 COPPER 5.46 CORN 5.66 COTTON2 1.99 CRUDE_W 5.28 DAX 13.80 DOW 10.07 DX 3.18 EUR 2.20 EURIBOR-ICE 11.76 EUROSTX 4.41 FEEDCOW 1.88 GASOIL 1.66 GASOLINE 1.23 GAS_US_mini 25.10 GBP 3.43 GOLD_micro 12.67 HEATOIL 1.25 JGB-SGX-mini 27.99 JPY 2.38 LEANHOG 6.58 LIVECOW 3.18 LUMBER-new 5.91 MILK 2.26 MXP 39.60 NASDAQ_micro 4.08 NIKKEI 26.19 NZD 3.12 OAT 2.80 OATIES 3.81 OJ 0.93 PALLAD 0.56 PLAT 2.23 REDWHEAT 1.39 RICE 3.24 ROBUSTA 1.31 RUSSELL 11.19 SHATZ 4.70 SILVER-mini 1.93 SMI 1.96 SOFR 14.83 SOYBEAN 0.92 SOYMEAL 1.03 SOYOIL 1.13 SP400 0.58 SP500_micro 7.08 SUGAR11 2.73 US10 1.32 US10U 0.98 US2 2.30 US20 0.69 US30 0.48 US5 1.93 VIX 27.82 WHEAT 1.55 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.3 -2.6 -2.0 0.0 0 BITCOIN 44.9 40.4 49.4 30.0 30 BOBL -1.7 -1.9 -1.5 -12.0 -12 BTP 0.5 0.3 0.8 2.0 2 BUND -0.1 -0.2 -0.0 0.0 0 BUXL -0.1 -0.1 -0.1 -1.0 -1 CAC 2.0 1.7 2.3 10.0 10 CAD -1.9 -2.3 -1.5 -2.0 -2 CANOLA -23.0 -24.2 -21.9 -6.0 -6 CHF -2.9 -3.0 -2.7 -7.0 -7 COCOA 2.9 2.8 3.1 7.0 7 COFFEE -0.1 -0.1 -0.0 0.0 0 COPPER -4.4 -5.0 -3.9 -3.0 -3 CORN -11.3 -11.9 -10.7 -10.0 -10 COTTON2 0.5 0.3 0.7 0.0 0 CRUDE_W 4.0 3.5 4.5 2.0 2 DAX 16.1 14.7 17.5 0.0 0 DOW 2.3 1.3 3.3 2.0 2 DX 2.3 2.0 2.6 NaN 0 EUR -1.4 -1.6 -1.2 -2.0 -2 EURIBOR-ICE 2.9 1.7 4.1 0.0 0 EUROSTX 8.7 8.3 9.2 5.0 5 FEEDCOW 0.8 0.6 0.9 5.0 5 GASOIL 2.4 2.2 2.5 3.0 3 GASOLINE 0.5 0.4 0.6 2.0 2 GAS_US_mini -34.5 -37.0 -32.0 -13.0 -13 GBP 0.3 -0.0 0.6 5.0 5 GOLD_micro -15.6 -16.9 -14.4 -19.0 -19 HEATOIL 1.2 1.1 1.3 0.0 0 JGB-SGX-mini 13.3 10.5 16.1 11.0 11 JPY -2.8 -3.0 -2.5 -2.0 -2 LEANHOG 3.8 3.2 4.5 0.0 0 LIVECOW 1.6 1.3 1.9 0.0 0 LUMBER-new -4.4 -5.0 -3.8 NaN 0 MILK -2.4 -2.6 -2.2 NaN 0 MXP 70.8 66.8 74.7 59.0 59 NASDAQ_micro 2.2 1.8 2.6 13.0 13 NIKKEI 43.6 41.0 46.2 32.0 32 NZD -0.4 -0.7 -0.1 -1.0 -1 OAT 0.5 0.2 0.8 0.0 0 OATIES -3.0 -3.4 -2.6 NaN 0 OJ 0.6 0.5 0.7 NaN 0 PALLAD -0.1 -0.2 -0.1 -1.0 -1 PLAT 0.1 -0.1 0.3 -4.0 -4 REDWHEAT -2.8 -2.9 -2.6 -3.0 -3 RICE 1.8 1.5 2.1 NaN 0 ROBUSTA 1.4 1.3 1.6 2.0 2 RUSSELL -5.7 -6.8 -4.5 -1.0 -1 SHATZ -6.1 -6.6 -5.6 NaN 0 SILVER-mini -1.1 -1.3 -0.9 NaN 0 SMI 1.5 1.3 1.7 8.0 8 SOFR -7.2 -8.7 -5.7 NaN 0 SOYBEAN -1.8 -1.9 -1.8 -2.0 -2 SOYMEAL -2.1 -2.2 -2.0 0.0 0 SOYOIL -1.4 -1.5 -1.3 -4.0 -4 SP400 -0.2 -0.3 -0.2 0.0 0 SP500_micro 5.0 4.3 5.7 0.0 0 SUGAR11 0.2 -0.1 0.4 0.0 0 US10 -0.9 -1.1 -0.8 0.0 0 US10U -0.2 -0.3 -0.1 0.0 0 US2 -2.5 -2.8 -2.3 NaN 0 US20 -0.0 -0.1 0.0 1.0 1 US30 -0.1 -0.2 -0.1 0.0 0 US5 -1.7 -1.9 -1.5 -3.0 -3 VIX -55.6 -58.4 -52.9 -17.0 -17 WHEAT -3.1 -3.2 -2.9 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 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 -0.4 -0.4 0.3 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.1 -0.1 -0.1 -0.3 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.1 -0.1 -0.3 -0.1 -0.7 -0.3 -0.2 0.1 BITCOIN 0.5 -0.1 0.5 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.2 0.5 0.2 0.7 0.2 0.2 -0.1 -0.1 -0.2 -0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.2 0.3 0.1 -0.1 0.5 0.6 0.6 0.6 -0.2 0.2 0.3 0.3 BOBL -0.5 -0.6 0.6 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 0.0 -0.4 -0.3 -0.4 -0.4 -0.0 0.0 -0.1 -0.0 -0.1 0.8 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -1.1 -0.1 0.0 -0.2 -0.1 -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 0.0 0.2 -0.1 0.3 -0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.2 -0.0 -1.8 0.0 0.0 0.1 -0.0 0.1 -0.0 0.6 0.4 0.4 -0.0 0.3 -0.5 -0.7 0.5 0.1 BUND -0.4 -0.4 0.6 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 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 -0.1 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.4 0.1 0.2 -0.2 -0.0 -0.7 -0.7 0.2 -0.3 BUXL -0.4 -0.4 0.6 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.2 -0.1 0.0 -0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.1 0.1 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 0.2 0.2 -0.3 0.0 -0.7 -0.7 0.1 0.2 CAC 0.4 -0.1 0.4 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 -0.1 -0.2 -0.1 0.2 0.2 0.2 0.4 0.2 -1.2 0.1 0.1 0.2 0.1 0.2 0.1 -0.0 -0.3 0.0 -0.4 -0.3 -0.1 0.4 0.1 0.6 CAD -0.2 -0.2 0.3 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.0 -0.1 -0.1 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 0.1 -0.0 -0.0 0.0 -0.1 -0.0 -0.0 0.0 0.1 0.3 0.0 -0.2 -0.7 -0.5 -0.0 -0.5 CANOLA -0.2 -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 -0.1 -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 -0.2 -0.3 -0.6 -0.6 -0.6 -0.7 -0.6 -0.4 -0.2 CHF -0.6 -0.4 0.3 -0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.1 -0.1 0.2 -0.2 -0.0 -0.3 -0.3 -0.3 -0.3 -0.1 0.0 -0.2 0.1 -0.2 -0.7 -0.0 -0.0 0.0 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 0.0 0.1 -0.7 -0.6 -0.5 -0.7 COCOA 0.6 0.1 0.2 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.1 0.5 0.2 0.7 0.2 0.2 0.4 0.1 0.4 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 1.1 0.5 0.6 0.6 0.6 0.6 0.1 0.7 0.7 COFFEE 0.0 0.0 0.6 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 0.3 0.0 0.1 0.0 0.1 0.2 0.1 0.2 0.1 0.1 0.1 -0.0 0.2 0.0 -2.7 0.0 -0.0 0.2 -0.0 0.2 0.0 0.9 0.1 0.1 -0.4 0.6 -0.4 -0.7 -0.2 -0.4 COPPER -0.2 -0.2 0.3 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -1.5 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.3 -0.1 0.1 0.5 -0.6 -0.1 0.4 0.0 CORN -0.0 -0.5 -0.4 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.3 -0.1 -0.3 -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 -0.3 -0.5 -0.6 -0.6 -0.6 -0.1 -0.7 -0.1 0.0 COTTON2 0.6 0.6 0.1 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.2 0.1 0.2 -0.0 0.2 0.2 -0.1 -0.0 -0.1 -0.1 0.2 0.1 0.2 -0.0 0.2 -2.7 0.1 0.1 0.1 0.1 0.0 0.1 0.0 0.5 0.6 0.6 0.2 -0.5 -0.5 -0.2 0.0 CRUDE_W 0.3 0.0 -0.2 0.0 0.0 0.0 0.1 0.1 0.1 0.2 0.1 0.1 0.2 0.1 -0.1 0.2 0.2 0.2 0.2 0.0 0.0 0.1 0.2 0.1 -0.6 0.0 0.1 0.0 0.1 0.2 0.1 -0.1 -0.0 -0.5 -0.6 -0.0 0.7 0.6 0.7 0.7 DAX 0.1 -0.1 0.6 0.1 0.1 0.2 0.1 0.1 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -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 -0.4 -0.4 -0.5 0.1 -0.1 0.3 0.2 0.7 DOW -0.2 0.1 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.1 0.5 0.2 -2.0 0.1 0.0 0.2 0.0 0.2 0.0 -0.4 -0.5 -0.0 0.3 0.6 -0.2 -0.1 -0.0 -0.3 DX 0.5 0.4 -0.3 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.1 0.1 0.2 -0.1 0.2 0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.2 0.1 0.2 -2.7 0.0 0.1 0.0 0.1 0.0 0.1 0.8 0.5 0.6 0.6 -0.6 0.7 0.1 0.7 0.3 EUR -0.5 -0.3 0.2 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.2 0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 2.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.4 0.0 -0.3 -0.1 -0.1 -0.7 -0.4 -0.7 -0.3 EURIBOR-ICE -0.6 -0.6 0.6 -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 -0.1 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.1 1.9 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 -0.0 0.1 -0.1 0.2 -0.7 -0.7 0.2 0.7 EUROSTX 0.6 0.1 0.6 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 0.0 0.2 0.1 0.2 0.2 0.2 0.5 0.2 0.2 0.1 0.1 0.2 0.1 0.2 0.1 0.8 -0.0 0.6 0.1 0.2 -0.2 0.4 -0.1 0.7 FEEDCOW 0.6 0.6 -0.4 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.1 0.2 -0.0 0.2 0.1 -0.4 -0.4 -0.4 -0.4 0.2 0.0 0.1 0.0 0.2 -0.8 0.1 -0.0 0.0 0.0 0.1 0.1 -1.1 0.3 0.6 0.6 -0.5 0.7 0.3 0.7 0.7 GASOIL 0.6 0.4 -0.2 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.2 0.2 0.3 0.2 0.1 0.4 0.4 0.4 0.4 0.2 0.1 0.2 0.3 0.2 1.1 0.1 0.0 0.1 0.1 0.1 0.1 1.1 -0.0 0.4 0.3 0.2 -0.4 -0.2 -0.7 -0.4 GASOLINE 0.4 0.4 -0.2 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.0 0.2 0.3 0.2 0.1 -0.1 0.1 -0.4 -0.1 0.1 0.1 0.2 0.2 0.2 -2.7 0.1 0.0 0.1 0.1 0.2 0.1 -0.7 0.3 0.0 -0.1 0.4 0.7 0.4 0.7 0.4 GAS_US_mini -0.5 -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 0.0 -0.3 0.1 -0.2 -0.2 -0.2 -0.1 -0.5 -0.2 2.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.5 -0.6 -0.5 -0.4 -0.5 0.0 -0.7 -0.1 GBP -0.4 -0.0 0.3 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.0 0.0 -0.1 0.4 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.1 0.1 -0.1 0.3 0.0 -0.0 0.1 -0.1 0.1 -0.0 0.2 0.0 0.1 0.4 0.2 -0.7 -0.1 -0.7 0.2 GOLD_micro -0.3 -0.3 0.2 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.3 -0.2 0.3 -0.2 0.0 -0.3 -0.3 -0.3 -0.3 -0.0 0.0 -0.2 0.1 -0.1 -0.6 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.8 -0.5 -0.3 0.4 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL 0.6 0.4 -0.2 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.1 0.4 0.4 0.4 0.4 0.1 0.1 0.1 0.2 0.2 -2.7 0.1 -0.0 0.1 0.1 0.2 0.1 1.1 0.0 0.1 0.2 0.2 0.5 0.1 0.4 -0.0 JGB-SGX-mini -0.4 0.0 0.5 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.0 0.2 -0.0 0.0 0.2 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 0.3 0.0 0.1 -0.1 -0.1 -0.7 0.2 0.4 JPY -0.4 -0.5 0.5 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.1 -0.4 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.2 -0.2 -0.3 -0.3 -0.5 -0.6 -0.3 -0.7 LEANHOG 0.4 0.6 0.1 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.1 -0.0 0.0 -0.5 0.2 0.1 -0.4 -0.4 -0.4 -0.4 0.1 -0.0 0.1 -0.4 0.1 2.6 0.1 0.1 0.1 0.0 -0.1 0.0 -1.1 0.2 0.5 0.6 0.6 -0.4 -0.3 0.1 0.4 LIVECOW 0.6 0.6 -0.4 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.1 -0.1 0.2 -0.0 0.2 0.1 -0.4 -0.2 -0.4 -0.3 0.2 -0.0 0.2 -0.0 0.2 -0.4 0.0 0.0 0.0 0.1 0.1 0.1 -0.7 0.5 0.6 0.6 -0.6 0.6 0.0 0.7 0.3 LUMBER-new -0.0 -0.1 0.5 0.1 -0.1 0.0 -0.1 -0.1 0.0 0.1 -0.0 0.0 -0.6 -0.1 0.2 -0.4 -0.3 -0.4 -0.4 0.1 0.1 -0.0 -0.1 -0.0 NaN 0.1 0.0 0.2 -0.0 0.1 0.0 -1.2 0.5 0.0 -0.3 0.7 -0.4 -0.8 -0.3 -0.7 MILK 0.6 0.6 -0.2 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.3 0.0 -0.5 0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 -0.0 -0.5 0.0 1.4 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -1.1 0.1 0.5 0.0 -0.6 -0.7 -0.7 -0.7 -0.7 MXP -0.0 -0.1 0.3 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.1 0.5 0.2 0.7 0.0 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 0.5 0.0 1.1 0.5 0.6 0.6 0.3 0.7 0.7 0.7 0.7 NASDAQ_micro -0.0 0.1 0.6 0.0 0.0 0.1 0.1 0.1 0.0 0.0 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 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.0 -0.4 -0.1 0.2 0.6 0.5 0.6 -0.1 0.7 -0.2 NIKKEI 0.3 0.6 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.5 0.2 0.7 0.2 0.2 0.4 0.3 0.3 0.3 0.2 0.2 0.2 0.5 0.2 -2.1 0.1 0.1 0.2 0.1 0.2 0.1 1.1 0.5 0.4 0.6 0.6 -0.5 -0.1 -0.1 -0.0 NZD -0.3 -0.4 0.4 -0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.0 0.0 -0.0 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 0.0 -0.0 0.0 -0.0 0.2 0.3 0.1 -0.1 0.0 -0.4 -0.3 -0.2 0.1 OAT -0.4 -0.4 0.6 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.0 -0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.1 -0.0 0.0 -0.1 0.8 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.6 0.1 0.2 -0.2 0.1 -0.7 -0.7 0.2 0.1 OATIES 0.2 0.0 -0.5 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.0 -0.3 0.1 -0.3 0.0 -0.1 0.2 -0.1 0.1 -0.0 -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 0.0 0.0 -0.5 -0.2 0.1 0.1 0.5 OJ 0.6 -0.5 -0.6 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.0 0.1 0.1 0.3 0.1 -0.0 0.2 0.3 0.2 0.3 0.1 0.1 0.1 0.4 0.1 -2.7 0.0 0.0 0.1 0.0 0.2 0.0 1.1 0.3 0.6 -0.2 0.0 0.2 0.3 0.4 0.7 PALLAD 0.1 -0.3 0.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.3 -0.1 1.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.4 0.0 -0.0 -0.0 -0.2 -0.3 -0.3 -0.2 -0.1 PLAT -0.1 -0.4 0.1 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 1.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.3 -0.0 -0.0 0.1 0.1 -0.4 -0.2 0.7 0.1 REDWHEAT -0.1 -0.1 -0.1 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 0.1 -0.0 -0.0 -0.0 -0.2 -0.2 -0.2 -0.5 -0.2 -1.7 -0.1 -0.2 -0.2 -0.1 -0.3 -0.1 0.2 -0.5 -0.6 -0.6 -0.6 -0.7 -0.7 -0.6 -0.6 RICE 0.4 0.1 0.4 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.0 0.5 0.1 0.6 0.2 0.2 -0.3 -0.1 -0.3 -0.2 0.2 0.2 0.1 0.4 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 -0.2 0.5 0.6 0.2 0.5 0.1 -0.2 0.3 0.1 ROBUSTA 0.1 0.6 0.6 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.0 0.4 0.1 0.5 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.0 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.2 0.0 1.1 0.2 0.5 0.6 0.6 -0.6 -0.5 -0.2 0.0 RUSSELL -0.1 -0.1 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 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 -0.3 0.0 0.0 0.1 0.0 0.1 0.0 0.0 -0.1 -0.2 -0.2 -0.1 -0.7 -0.7 -0.7 -0.7 SHATZ -0.6 -0.6 0.6 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.0 -0.0 -0.1 -0.1 -0.1 1.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.2 -0.1 -0.2 -0.1 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.0 -0.4 -0.0 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 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 -0.1 -0.1 0.7 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 0.0 -0.7 -0.6 0.4 -0.2 SMI -0.2 0.2 0.4 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.3 -0.1 0.2 -0.1 0.1 0.2 0.1 0.2 0.2 0.1 0.1 0.0 0.1 0.0 1.4 0.0 0.0 0.1 0.0 0.1 0.0 1.1 -0.5 -0.6 -0.3 -0.4 0.2 -0.2 0.4 -0.3 SOFR -0.5 -0.3 0.6 -0.0 -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 -0.1 -0.0 -0.1 -0.3 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 -0.1 0.0 0.1 0.1 -0.7 -0.7 -0.2 -0.1 SOYBEAN -0.1 -0.6 -0.6 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.2 -0.4 -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 -0.1 -0.1 1.1 -0.5 -0.6 -0.6 -0.6 -0.3 -0.7 -0.3 -0.7 SOYMEAL -0.2 -0.6 -0.6 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.3 -0.2 -0.2 -0.2 -0.2 -0.0 0.3 0.1 0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 1.1 -0.5 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.1 -0.2 -0.5 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.2 -0.0 -0.3 -0.0 -2.7 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 0.6 0.5 -0.4 -0.4 -0.3 -0.3 -0.1 -0.2 0.2 SP400 -0.1 0.0 0.6 0.0 0.0 0.1 0.1 0.1 0.0 0.1 0.3 0.1 0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.2 0.1 -1.4 0.0 0.1 0.1 0.0 0.1 0.0 0.1 -0.1 -0.2 -0.2 -0.1 -0.7 -0.3 -0.7 -0.7 SP500_micro 0.1 0.3 0.6 0.1 0.1 0.1 0.1 0.1 0.1 0.1 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 0.0 0.2 0.1 -0.5 -0.0 0.4 0.6 0.6 0.2 -0.1 0.6 -0.2 SUGAR11 0.4 0.2 -0.6 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 0.3 0.1 -0.0 0.4 0.4 0.4 0.4 -0.0 -0.1 -0.1 0.1 0.0 -2.7 -0.0 -0.1 -0.1 -0.0 0.1 -0.0 1.1 0.1 0.0 -0.0 -0.6 0.3 -0.1 0.6 0.3 US10 -0.5 -0.1 0.6 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.0 -0.1 -0.1 -0.1 0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.7 -0.1 0.0 0.1 0.0 -0.7 -0.7 -0.6 0.3 US10U -0.4 -0.2 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 -0.0 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 0.1 0.0 -0.7 -0.7 0.3 0.6 US2 -0.6 -0.1 0.6 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 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 1.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.1 -0.2 0.1 0.0 -0.7 -0.7 -0.5 -0.7 US20 -0.4 -0.2 0.6 -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 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 -0.7 -0.7 0.7 0.7 US30 -0.3 -0.2 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 -0.1 -0.2 -0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.5 0.0 0.2 0.0 0.0 -0.5 -0.6 0.7 0.7 US5 -0.6 -0.2 0.6 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.1 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.0 -0.1 -0.1 -0.1 0.5 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.9 -0.1 -0.0 0.1 0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.4 0.0 -0.8 -0.1 0.0 -0.4 0.0 -0.7 -0.1 0.1 -0.9 0.0 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 0.0 -0.9 -0.1 NaN -0.1 0.1 -0.5 0.0 -0.9 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.2 -0.2 0.2 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.5 -0.2 -0.2 -0.1 -0.2 -0.1 -0.2 -0.3 -0.1 -0.7 -0.5 -0.6 -0.6 -0.5 -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 -12.5 -13.4 10.1 -0.9 -2.9 2.5 -5.4 3.2 -4.8 5.6 -3.5 -9.5 -8.6 -16.4 -3.7 -2.8 -2.8 -2.7 -2.7 -7.4 -1.9 -9.1 -4.3 -12.7 2.6 -3.1 -0.7 -0.5 -4.5 -1.2 -5.8 -1.2 6.1 -4.3 -10.4 -4.3 -20.0 -10.2 -7.4 2.1 BITCOIN 14.3 -4.3 14.5 -6.0 2.9 -4.1 -2.9 -1.9 -5.8 20.0 19.6 20.0 20.0 16.4 19.5 -7.1 -6.5 -7.6 -7.4 20.0 20.0 20.0 20.0 20.0 -20.0 7.2 16.4 8.0 15.3 7.1 9.7 -1.5 20.0 20.0 20.0 20.0 -5.8 4.6 10.4 8.9 BOBL -15.0 -17.4 20.0 -0.0 -1.5 0.7 -2.5 -0.4 -1.8 -5.7 2.1 -7.1 -0.8 -7.3 0.3 -20.0 -16.2 -20.0 -20.0 -1.6 2.0 -7.9 -0.6 -6.6 6.2 -0.4 -2.0 0.9 -2.7 0.1 -2.2 -20.0 -2.7 1.4 -6.2 -2.1 -20.0 -20.0 1.9 -20.0 BTP -11.4 -4.3 20.0 -0.1 -2.6 1.3 -4.4 -0.8 -3.3 2.9 8.8 -6.3 8.3 -9.6 8.1 4.6 6.6 5.0 5.5 6.6 12.0 -2.0 7.5 -1.5 -13.4 2.5 1.9 4.5 -0.7 3.1 -0.6 12.0 18.6 13.5 -0.2 8.4 -16.4 -20.0 15.1 1.8 BUND -13.0 -13.5 20.0 -0.0 -1.7 0.8 -2.8 -0.5 -2.1 -5.4 2.8 -7.6 -0.8 -8.2 1.5 4.8 4.5 4.0 3.3 -0.3 3.2 -5.9 -0.6 -5.3 4.2 -0.0 -1.1 1.3 -2.1 0.3 -1.8 7.9 2.4 4.9 -6.7 -0.6 -20.0 -20.0 4.6 -9.5 BUXL -12.5 -10.9 20.0 -0.1 -2.1 1.0 -3.5 -0.6 -2.6 -5.3 3.3 -8.8 -4.3 -10.4 2.1 -0.0 0.5 0.1 0.3 -0.2 3.0 -4.5 -3.0 -5.4 0.5 0.1 0.0 1.3 -1.5 -0.3 -1.7 2.3 8.8 6.5 -8.8 0.6 -20.0 -20.0 3.9 4.8 CAC 12.0 -2.0 12.2 7.1 8.2 5.9 7.6 3.8 7.2 17.4 18.9 20.0 20.0 19.3 20.0 -8.3 -5.4 -8.4 -7.5 17.3 14.5 19.1 13.5 18.0 -9.1 7.0 9.5 5.8 7.7 4.8 7.3 -0.1 -11.8 0.6 -12.5 -8.3 -1.6 11.1 2.6 17.4 CAD -6.2 -4.9 10.7 -1.1 -3.5 3.1 -6.6 4.0 -5.8 3.3 -0.7 -7.6 -3.5 -15.2 3.3 -1.8 -2.1 -1.9 -2.1 -0.6 1.5 -6.8 -2.6 -6.0 0.9 -0.3 -1.9 1.0 -5.2 -1.4 -4.0 0.0 5.3 9.3 1.2 -7.1 -19.5 -15.4 -0.9 -14.4 CANOLA -5.2 -18.5 -20.0 1.7 -5.0 0.2 -1.9 -1.3 1.2 -9.5 -10.8 -10.4 -9.3 -10.9 -11.3 -10.7 -2.7 -10.6 -8.4 -20.0 -20.0 -16.4 -17.3 -17.5 -20.0 -4.2 -4.2 -4.3 -3.6 -3.8 -3.7 -2.9 -12.6 -20.0 -20.0 -20.0 -20.0 -17.9 -12.3 -5.5 CHF -20.0 -13.8 9.0 -0.8 -2.5 2.2 -4.7 2.8 -4.2 -8.5 2.6 -13.9 6.7 -14.6 -1.2 -14.2 -15.4 -15.3 -15.6 -6.5 1.8 -20.0 4.2 -17.5 -5.1 -1.0 -5.2 1.8 -7.3 2.0 -5.4 -20.0 -20.0 -17.6 0.7 3.2 -20.0 -17.4 -14.2 -20.0 COCOA 20.0 4.6 5.2 3.3 -9.5 0.5 -3.6 -2.4 2.3 16.4 20.0 20.0 20.0 20.0 20.0 20.0 5.6 17.6 11.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.3 4.8 6.2 8.2 5.6 8.6 20.0 20.0 20.0 20.0 20.0 19.4 3.0 20.0 20.0 COFFEE 0.1 0.4 18.6 2.9 -8.3 0.4 -3.1 -2.1 2.0 -6.0 9.8 4.1 4.1 0.6 9.2 10.9 5.6 9.4 7.4 8.8 11.1 -2.1 5.7 3.1 -20.0 3.7 -4.0 6.4 -1.8 4.8 0.4 17.5 4.1 2.2 -12.9 20.0 -10.8 -20.0 -7.3 -10.7 COPPER -6.5 -6.7 9.2 -4.9 2.4 -3.4 -2.4 -1.6 -4.8 -4.3 -3.2 -13.4 -6.2 -13.7 -0.7 -6.1 -5.0 -6.3 -6.0 -4.8 -1.5 -11.5 -3.4 -11.2 -11.4 -3.1 0.5 -0.9 -5.9 -1.2 -6.2 1.1 -14.5 -2.7 3.8 13.9 -17.1 -4.4 13.1 0.1 CORN -0.1 -14.6 -11.5 3.9 -11.3 0.6 -4.3 -2.9 2.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -16.1 -4.7 -12.9 -9.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.6 -15.6 -7.6 -11.2 -6.5 -8.9 -5.9 -20.0 -20.0 -20.0 -20.0 -4.5 -20.0 -1.9 0.7 COTTON2 20.0 20.0 3.6 3.9 -11.3 0.6 -4.3 -2.9 2.7 20.0 3.0 20.0 -0.5 20.0 17.8 -4.4 -1.9 -6.3 -5.3 20.0 10.3 20.0 -1.7 20.0 -20.0 7.4 13.2 3.3 12.6 1.1 10.7 0.2 20.0 20.0 20.0 6.6 -16.1 -14.9 -7.3 0.5 CRUDE_W 8.6 1.1 -7.1 4.1 1.8 1.3 5.6 1.7 6.9 18.9 4.2 10.2 6.8 9.8 -6.1 8.2 9.3 8.0 8.6 2.1 1.8 10.8 7.7 7.7 -4.7 1.8 6.6 1.8 6.7 6.3 5.0 -1.1 -0.3 -15.6 -18.0 -0.4 20.0 18.1 20.0 20.0 DAX 2.5 -2.7 20.0 6.9 7.9 5.7 7.3 3.7 7.0 12.0 20.0 16.4 20.0 17.0 20.0 -16.0 -11.0 -15.0 -13.1 18.0 19.4 8.7 16.2 11.5 17.1 6.8 4.9 7.2 3.6 5.4 4.5 -9.6 -18.7 -13.6 -14.8 2.8 -2.0 9.7 6.3 20.0 DOW -6.8 3.1 20.0 6.1 7.0 5.0 6.5 3.3 6.2 7.8 20.0 14.1 18.7 16.6 20.0 -13.2 -10.3 -12.6 -11.7 20.0 20.0 8.2 20.0 16.8 -14.9 7.3 1.1 7.6 1.9 5.7 4.4 -8.0 -20.0 -0.1 9.4 20.0 -7.4 -4.0 -0.4 -10.0 DX 16.0 11.2 -9.7 -0.7 -7.0 2.7 -6.8 3.3 -5.0 14.4 4.3 17.0 -3.2 18.1 1.6 6.0 6.0 6.0 6.1 7.8 1.6 19.3 2.4 16.6 -20.0 2.4 8.7 0.1 8.7 1.2 6.7 14.1 20.0 20.0 20.0 -20.0 20.0 2.6 20.0 8.6 EUR -14.3 -10.1 5.1 -1.0 -3.2 2.8 -6.1 3.7 -5.4 0.2 -5.3 -14.7 3.2 -18.7 -4.6 -6.1 -6.6 -6.0 -6.2 -9.2 -3.0 -12.7 -2.1 -15.3 16.8 -3.2 -2.1 -0.2 -6.5 -0.3 -6.9 -7.3 1.8 -9.7 -3.0 -3.5 -20.0 -13.2 -20.0 -10.1 EURIBOR-ICE -19.6 -18.0 20.0 -0.0 -1.4 0.7 -2.4 -0.4 -1.8 -4.8 4.9 -6.4 2.9 -6.4 3.4 2.3 -3.9 0.9 -1.5 2.3 7.8 -6.7 4.5 -4.8 14.5 0.9 -1.2 2.6 -2.0 1.6 -1.4 -3.6 -0.3 1.7 -2.1 6.8 -20.0 -20.0 6.9 20.0 EUROSTX 19.5 3.4 18.0 7.0 8.0 5.7 7.4 3.7 7.1 16.4 20.0 20.0 20.0 20.0 20.0 10.6 1.7 8.0 4.1 20.0 20.0 20.0 19.0 20.0 1.9 7.7 5.8 6.3 7.1 4.7 8.0 15.2 -1.9 20.0 1.9 5.1 -5.9 11.8 -3.4 20.0 FEEDCOW 20.0 20.0 -11.0 3.6 -10.5 0.5 -4.0 -2.7 2.5 -14.5 -3.4 16.1 -1.2 20.0 13.5 -20.0 -20.0 -20.0 -20.0 20.0 3.6 13.0 0.1 20.0 -6.0 5.0 -2.8 1.5 2.2 2.3 6.3 -20.0 13.8 20.0 20.0 -16.0 20.0 9.1 20.0 20.0 GASOIL 20.0 13.6 -7.4 3.3 1.5 1.0 4.6 1.4 5.7 10.0 8.1 15.2 8.5 16.5 8.0 20.0 20.0 20.0 20.0 14.6 8.5 18.1 10.5 20.0 7.9 4.9 1.4 3.2 5.5 3.5 6.8 20.0 -1.4 13.2 8.9 7.0 -12.2 -4.7 -20.0 -10.7 GASOLINE 13.1 12.0 -4.7 3.8 1.7 1.2 5.3 1.6 6.5 10.8 1.0 14.2 7.1 16.5 12.7 -7.0 7.1 -18.3 -7.4 12.0 5.3 17.9 6.7 18.4 -20.0 4.8 3.6 2.4 7.5 4.3 7.5 -13.4 14.2 0.2 -3.2 11.1 20.0 13.2 20.0 11.6 GAS_US_mini -16.7 -2.4 -20.0 1.6 0.7 0.5 2.2 0.7 2.7 -8.3 -8.8 -9.2 -9.6 -9.1 -9.1 0.1 -17.5 3.5 -8.8 -14.0 -15.1 -15.5 -18.1 -14.3 14.8 -3.1 -4.2 -3.0 -4.4 -2.5 -3.6 -20.0 -20.0 -20.0 -14.1 -12.4 -14.2 0.8 -20.0 -3.5 GBP -11.0 -1.4 10.4 -1.1 -3.5 3.1 -6.6 3.9 -5.8 -0.6 1.4 -10.1 10.3 -10.1 13.4 -0.3 -0.6 -0.3 -0.3 1.4 6.3 -9.3 5.5 -7.0 2.5 1.7 -3.5 4.2 -5.3 2.5 -3.4 2.9 1.4 1.8 11.3 7.5 -20.0 -3.3 -20.0 6.2 GOLD_micro -7.9 -8.6 7.7 -5.2 2.5 -3.6 -2.5 -1.7 -5.1 -14.2 9.8 -15.4 7.6 -15.5 0.1 -15.3 -14.3 -14.8 -14.7 -3.4 3.5 -20.0 5.1 -12.7 -4.9 -0.7 -12.4 2.4 -11.6 3.3 -6.1 -14.5 -20.0 -8.9 12.2 18.6 -20.0 -20.0 -20.0 -14.5 HEATOIL 18.3 11.7 -7.5 3.8 1.7 1.2 5.3 1.6 6.5 6.7 5.4 12.6 6.5 16.7 6.3 20.0 20.0 20.0 20.0 11.4 5.6 13.2 8.6 18.1 -20.0 5.3 -0.9 3.7 4.7 5.3 6.9 20.0 1.5 1.6 5.0 7.6 13.7 3.0 12.3 -1.2 JGB-SGX-mini -13.5 0.3 16.2 -0.0 -1.4 0.7 -2.4 -0.4 -1.8 2.6 4.2 -3.6 4.9 -3.3 4.4 8.9 17.4 10.7 13.2 1.8 3.6 -1.7 2.9 -1.6 -3.9 0.5 0.6 1.1 -0.9 0.4 -0.9 20.0 13.2 0.2 3.8 -3.0 -3.5 -20.0 5.6 12.0 JPY -10.9 -14.4 15.1 -0.6 -1.7 1.5 -3.3 2.0 -2.9 -7.2 -9.3 -10.2 -10.5 -11.3 -8.7 -15.0 -16.0 -15.5 -16.0 -9.5 -8.7 -11.7 -13.0 -12.2 20.0 -2.8 -3.2 -2.7 -4.5 -4.3 -4.2 -20.0 -8.5 -5.8 -10.6 -10.7 -14.7 -18.6 -9.7 -20.0 LEANHOG 10.9 19.2 3.7 3.9 -11.3 0.6 -4.3 -2.9 2.7 8.9 -1.6 4.4 -14.2 14.0 11.7 -20.0 -18.2 -20.0 -20.0 10.2 -1.8 7.4 -15.6 11.1 19.7 6.6 6.1 3.4 2.4 -2.8 4.6 -20.0 7.5 16.3 20.0 20.0 -11.7 -8.4 3.5 11.7 LIVECOW 20.0 20.0 -13.6 3.6 -10.6 0.5 -4.0 -2.7 2.5 8.0 -3.6 17.9 -1.2 20.0 7.0 -20.0 -9.3 -18.1 -14.0 18.3 -1.1 20.0 -1.5 20.0 -3.0 4.4 1.8 0.4 5.5 1.9 7.6 -12.3 20.0 20.0 20.0 -20.0 18.0 0.7 20.0 7.8 LUMBER-new -0.3 -1.6 13.2 4.1 -12.0 0.7 -4.5 -2.4 2.9 6.6 -0.2 0.9 -14.9 -6.4 12.5 -18.0 -14.9 -16.0 -15.2 5.2 5.8 -1.7 -2.7 -0.6 NaN 4.4 1.1 5.1 -0.7 1.4 0.5 -19.1 19.3 0.9 -9.0 19.6 -10.1 -20.0 -7.2 -17.9 MILK 20.0 20.0 -4.7 2.2 -6.4 0.3 -2.4 -1.6 1.5 -11.0 -11.4 4.0 -13.4 4.3 -7.9 -20.0 -20.0 -20.0 -20.0 -3.9 -13.5 -0.1 -20.0 3.3 10.4 -0.4 -2.9 -4.2 0.7 -6.7 2.3 -20.0 3.1 14.1 0.8 -20.0 -20.0 -20.0 -20.0 -20.0 MXP -1.5 -2.0 8.5 -1.1 -3.3 2.9 -6.3 3.7 -5.5 15.2 17.7 14.1 20.0 4.1 17.4 16.2 16.5 15.8 15.6 10.0 16.0 5.7 20.0 5.4 -20.0 5.5 6.4 8.8 3.5 13.7 3.1 20.0 20.0 19.8 18.2 10.7 19.9 20.0 20.0 20.0 NASDAQ_micro -0.0 3.7 20.0 4.5 5.1 3.7 4.7 2.4 4.5 3.7 14.8 10.4 14.4 13.2 15.0 -11.6 -9.8 -11.5 -10.8 20.0 20.0 11.1 20.0 17.9 -20.0 5.5 1.1 5.7 2.2 5.3 3.9 -6.8 -5.1 6.0 17.3 15.2 19.3 -3.5 20.0 -5.6 NIKKEI 9.8 20.0 16.7 6.4 7.3 5.2 6.7 3.4 6.4 19.1 20.0 20.0 20.0 20.0 20.0 18.1 13.1 16.7 14.5 20.0 20.0 20.0 20.0 20.0 -15.8 7.5 9.0 6.2 8.2 5.2 7.7 20.0 20.0 11.9 20.0 17.3 -16.4 -3.9 -3.7 -1.4 NZD -8.0 -12.0 12.5 -0.8 -2.4 2.1 -4.6 2.8 -4.1 -0.1 1.8 -3.1 0.2 -11.7 3.0 0.3 0.3 0.3 0.2 -1.7 2.0 -3.0 -0.3 -5.1 0.3 -0.6 -0.2 1.5 -1.8 0.6 -2.7 4.0 10.6 2.7 -2.9 0.7 -10.9 -9.7 -4.8 3.8 OAT -13.3 -11.7 20.0 -0.0 -1.9 0.9 -3.1 -0.6 -2.3 -4.2 4.0 -7.6 -0.0 -8.9 2.8 4.9 6.5 5.0 5.4 1.0 5.1 -5.1 0.9 -4.8 5.8 0.4 -0.3 2.0 -1.8 0.7 -1.6 11.8 5.7 6.5 -6.3 1.9 -20.0 -20.0 6.9 3.3 OATIES 7.6 1.5 -15.6 1.9 -5.6 0.3 -2.1 -1.4 1.3 3.8 -10.2 5.1 -8.2 1.1 -6.3 10.2 -3.9 3.6 -2.2 -4.3 -9.4 1.7 -7.9 1.1 -20.0 -0.3 -0.5 -2.9 1.0 -2.9 1.6 -0.2 7.2 0.6 1.2 -14.2 -5.1 2.7 2.9 13.8 OJ 20.0 -16.6 -20.0 2.0 -5.9 0.3 -2.2 -1.5 1.4 0.1 5.3 6.1 9.0 6.2 -0.8 7.6 16.5 8.9 13.1 5.2 7.0 7.6 15.4 9.8 -20.0 1.9 1.1 3.3 1.8 6.8 2.6 20.0 13.0 20.0 -6.5 0.6 6.4 10.4 12.5 20.0 PALLAD 3.5 -10.8 9.9 -1.9 0.9 -1.3 -0.9 -0.6 -1.9 4.9 -6.9 -1.0 -8.0 -6.3 -6.4 -1.8 -2.2 -1.8 -2.0 -6.5 -7.6 -1.1 -10.1 -4.9 8.2 -2.0 2.5 -2.7 -0.6 -3.5 -1.7 6.9 0.5 -1.1 -0.1 -6.2 -10.4 -8.0 -6.3 -3.2 PLAT -2.8 -12.7 3.6 -3.1 1.5 -2.1 -1.5 -1.0 -3.0 3.9 -5.3 -5.7 -7.2 -10.3 -5.6 -4.0 -3.2 -3.9 -3.6 -5.9 -4.3 -3.3 -4.1 -6.6 10.7 -2.4 1.8 -1.3 -1.8 -0.8 -3.0 4.7 -0.7 -0.8 2.2 3.3 -11.4 -4.7 19.5 3.3 REDWHEAT -2.3 -3.8 -4.0 3.2 -9.3 0.5 -3.5 -2.4 2.2 -18.5 -20.0 -18.4 -20.0 -16.7 -16.7 3.4 -0.9 -0.2 -1.4 -18.4 -20.0 -20.0 -20.0 -19.5 -12.7 -6.2 -17.9 -8.2 -13.3 -9.0 -7.9 4.4 -20.0 -20.0 -20.0 -20.0 -19.8 -20.0 -16.6 -18.9 RICE 12.5 3.6 12.3 3.2 -9.3 0.5 -3.5 -2.4 2.2 1.4 18.9 13.4 16.6 15.9 18.7 -14.4 -2.9 -14.4 -10.3 20.0 19.7 14.8 14.9 20.0 -20.0 5.9 1.8 4.7 5.4 3.5 6.9 -3.4 20.0 20.0 6.4 15.1 3.5 -6.5 10.4 2.3 ROBUSTA 3.5 20.0 20.0 2.4 -7.0 0.4 -2.7 -1.8 1.7 -5.4 15.1 6.7 15.2 12.5 15.0 20.0 20.0 20.0 20.0 20.0 20.0 5.4 20.0 19.3 -20.0 5.6 -0.9 6.2 0.9 5.4 3.2 20.0 7.5 16.7 20.0 20.0 -17.8 -16.0 -7.2 1.1 RUSSELL -4.4 -4.5 17.8 3.6 4.1 2.9 3.8 1.9 3.6 7.9 6.3 6.3 3.6 0.7 7.2 -6.2 -6.2 -6.3 -6.4 5.6 5.4 8.3 2.4 5.1 -2.0 3.0 5.1 2.9 3.5 1.7 2.6 0.1 -3.1 -6.6 -6.8 -2.6 -20.0 -20.0 -20.0 -20.0 SHATZ -17.3 -17.9 20.0 -0.0 -1.4 0.7 -2.4 -0.4 -1.8 -6.5 -0.6 -7.3 -4.4 -7.3 -2.4 -20.0 -20.0 -20.0 -20.0 -4.1 -0.7 -11.1 -3.5 -9.3 7.9 -0.8 -2.9 0.3 -3.5 -0.6 -2.7 -20.0 -7.0 -3.3 -6.5 -4.5 -20.0 -20.0 -8.0 -20.0 SILVER-mini 0.5 -12.5 -1.1 -4.3 2.1 -3.0 -2.1 -1.4 -4.2 7.7 -5.7 -4.4 -2.6 -12.4 -12.4 -6.8 -6.6 -6.9 -6.8 -8.5 -6.3 -3.1 -3.5 -7.6 5.5 -4.0 2.6 -2.9 -1.7 -1.1 -3.5 -1.1 -0.0 -3.0 3.9 0.6 -20.0 -17.4 11.6 -6.2 SMI -6.1 5.3 13.7 5.8 6.7 4.8 6.1 3.1 5.9 12.1 9.3 -6.3 4.8 -4.9 13.8 11.0 5.8 10.3 7.9 6.2 6.3 0.1 2.2 0.5 10.8 4.1 5.3 4.5 0.2 1.8 0.6 20.0 -20.0 -20.0 -9.4 -13.4 4.6 -6.2 12.7 -7.5 SOFR -16.6 -9.6 17.2 -0.0 -1.6 0.8 -2.7 -0.5 -2.1 -4.7 4.0 -7.0 0.2 -6.8 3.7 1.8 0.3 1.6 0.9 -0.8 1.8 -9.1 -0.5 -6.3 -2.0 0.8 -3.4 1.7 -3.8 0.4 -1.9 2.5 -6.1 0.7 2.6 2.3 -20.0 -20.0 -6.3 -3.0 SOYBEAN -3.1 -20.0 -17.0 3.3 -9.5 0.5 -3.6 -2.4 2.3 -18.6 -13.7 -19.8 -1.1 -20.0 -20.0 6.6 15.1 9.8 11.9 -20.0 -20.0 -20.0 -11.4 -20.0 -20.0 -6.8 -9.5 -4.3 -7.9 -1.6 -7.4 20.0 -20.0 -20.0 -20.0 -18.4 -9.4 -20.0 -9.0 -20.0 SOYMEAL -5.5 -20.0 -20.0 2.3 -6.7 0.3 -2.5 -1.7 1.6 -13.2 -12.6 -14.1 -6.0 -14.6 -14.7 -1.8 12.8 4.1 8.5 -20.0 -17.1 -20.0 -7.1 -20.0 -20.0 -4.9 -4.6 -3.2 -4.6 -0.6 -4.8 20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 3.2 -4.9 -14.8 2.2 -6.4 0.3 -2.4 -1.6 1.5 1.5 -11.6 2.2 -9.2 -4.4 -9.9 -5.6 4.6 -3.5 0.4 -11.2 -14.8 -0.7 -12.7 -4.5 -20.0 -2.7 -2.4 -4.0 0.1 -3.7 -0.8 11.3 19.8 -11.0 -13.4 -10.1 -9.9 -4.5 -5.1 6.0 SP400 -3.2 0.1 19.6 4.4 5.1 3.6 4.7 2.4 4.5 10.3 11.1 9.9 8.3 7.5 12.6 -5.8 -5.3 -5.6 -5.5 10.5 10.1 11.2 6.1 8.8 -10.7 4.4 6.1 4.2 4.4 2.9 3.6 1.8 -3.4 -7.6 -6.4 -1.6 -20.0 -9.1 -20.0 -20.0 SP500_micro 2.8 8.7 20.0 5.7 6.5 4.7 6.0 3.0 5.8 13.9 18.9 16.7 17.4 18.0 19.7 -12.9 -10.9 -12.6 -12.0 20.0 20.0 18.2 20.0 20.0 -20.0 7.0 2.7 6.6 3.8 5.3 5.5 -8.7 -1.9 12.5 20.0 17.9 5.6 -3.5 18.6 -6.0 SUGAR11 11.7 6.3 -20.0 2.6 -7.6 0.4 -2.9 -1.9 1.8 -13.5 -3.7 -4.5 7.6 8.9 -3.2 20.0 19.8 20.0 20.0 -1.5 -5.3 -5.6 3.6 2.7 -20.0 -2.6 -6.5 -3.1 -2.9 1.4 -0.9 20.0 2.2 0.1 -0.0 -20.0 10.3 -2.3 17.3 8.4 US10 -14.9 -4.6 18.6 -0.0 -1.5 0.7 -2.5 -0.4 -1.9 -4.6 1.9 -6.6 -2.3 -6.2 3.4 -9.3 -8.0 -9.2 -8.7 -0.7 0.6 -7.9 -3.5 -5.4 1.7 0.8 -2.9 1.2 -3.2 -0.7 -1.5 -12.9 -4.5 1.3 2.8 1.3 -20.0 -20.0 -17.1 7.9 US10U -13.0 -5.1 18.0 -0.1 -2.0 1.0 -3.4 -0.6 -2.6 -7.0 1.8 -9.3 -3.1 -9.0 4.2 -0.7 0.5 0.8 0.8 -1.1 0.3 -10.6 -5.3 -7.2 -1.1 1.2 -3.9 1.4 -4.2 -1.1 -1.9 2.6 -5.5 3.9 3.3 1.3 -20.0 -20.0 8.4 18.8 US2 -19.4 -4.2 20.0 -0.0 -1.4 0.7 -2.3 -0.4 -1.7 -3.9 0.7 -6.1 -4.5 -5.5 1.0 -20.0 -20.0 -20.0 -20.0 -1.6 -0.1 -9.1 -4.4 -6.5 8.7 0.5 -3.1 1.2 -3.5 -0.7 -1.9 -20.0 -5.4 -4.7 2.8 0.6 -20.0 -20.0 -15.0 -20.0 US20 -12.0 -4.7 19.6 -0.0 -1.5 0.7 -2.6 -0.5 -1.9 -5.5 1.9 -6.6 -1.6 -6.3 3.5 -0.0 -1.0 -0.3 -0.7 0.0 0.9 -7.1 -3.8 -4.6 -1.3 1.2 -2.5 1.2 -2.5 -0.8 -0.9 -0.4 -2.0 4.3 3.0 3.0 -20.0 -20.0 20.0 20.0 US30 -8.3 -6.7 17.2 -0.0 -1.8 0.9 -3.1 -0.5 -2.3 -6.8 1.0 -7.8 -3.2 -7.9 3.2 -9.7 -5.7 -8.3 -7.0 -1.0 -0.3 -7.4 -5.8 -5.3 -0.8 1.1 -2.7 1.0 -2.9 -1.4 -1.2 -9.2 0.6 6.9 1.2 0.5 -15.9 -18.0 20.0 20.0 US5 -17.3 -5.6 19.7 -0.0 -1.4 0.7 -2.4 -0.4 -1.8 -4.2 2.4 -6.4 -2.6 -5.8 2.9 -9.8 -10.3 -10.1 -10.4 -1.1 0.6 -8.5 -3.0 -5.9 3.7 0.7 -3.0 1.3 -3.4 -0.3 -1.8 -16.5 -5.6 -1.3 2.8 1.3 -20.0 -20.0 -20.0 -7.1 VIX 8.0 0.8 -16.1 -6.7 3.1 -9.4 1.1 -12.6 -3.1 7.8 -20.0 0.8 -20.0 -14.6 -20.0 -20.0 -20.0 -20.0 -20.0 -18.2 -20.0 2.5 -20.0 -6.2 NaN -7.7 3.6 -11.5 1.6 -15.6 -3.0 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -7.6 -4.8 6.6 3.4 -9.8 0.5 -3.7 -2.5 2.3 -19.5 -20.0 -20.0 -20.0 -20.0 -14.5 -11.5 -10.7 -11.4 -11.2 -16.1 -18.6 -20.0 -20.0 -20.0 -1.8 -5.8 -20.0 -5.4 -15.6 -7.1 -9.5 -12.3 -20.0 -20.0 -20.0 -14.1 -20.0 -20.0 -20.0 -20.0 End of report for caleb_strategy_v3