******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240223_204026 produced at 2024-02-23 21:38:18.943810 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.74 0.0 0.00 0.00 0.00 0.00 -9.92 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 -60.01 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.27 0.0 0.00 0.00 0.00 0.00 -7.53 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.21 0.0 0.00 0.00 0.00 0.00 -3.30 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.40 -0.15 0.0 0.58 -0.58 -0.40 -0.40 -3.44 13.0 -9 -9 caleb_strategy_v3 JPY False False 0.03 -0.10 -0.10 0.0 0.44 -0.44 -0.10 -0.10 -3.79 17.0 -4 -4 caleb_strategy_v3 GOLD_micro False False 0.01 -0.19 -0.09 0.0 0.36 -0.36 -0.19 -0.19 -14.68 56.0 -30 -30 caleb_strategy_v3 US5 False False 0.03 -0.30 -0.08 0.0 0.83 -0.83 -0.30 -0.30 -2.25 25.0 -9 -9 caleb_strategy_v3 BOBL False True 0.04 -0.51 -0.08 0.0 0.00 -0.51 -0.51 -0.51 -2.08 19.0 -13 -13 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.08 0.0 0.08 -0.08 -0.07 -0.07 -11.75 12.0 -10 -10 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.14 -0.14 -0.02 -0.02 -23.79 51.0 -6 -6 caleb_strategy_v3 CAD False False 0.02 0.00 -0.06 0.0 0.67 -0.67 0.00 0.00 -2.40 29.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.05 0.0 0.04 -0.04 -0.03 -0.03 -34.73 26.0 -18 -18 caleb_strategy_v3 AUD False False 0.02 0.00 -0.04 0.0 0.39 -0.39 0.00 0.00 -1.79 19.0 0 0 caleb_strategy_v3 US10 False False 0.03 0.00 -0.04 0.0 0.58 -0.58 0.00 0.00 -1.22 17.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.03 0.0 0.12 -0.12 -0.04 -0.04 -1.94 7.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.03 0.0 0.07 -0.07 -0.03 -0.03 -3.05 8.0 -3 -3 caleb_strategy_v3 EUR False False 0.04 0.00 -0.03 0.0 0.59 -0.59 0.00 0.00 -0.70 14.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -3.34 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 -0.20 2.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.05 -0.02 0.0 0.08 -0.08 -0.05 -0.06 -2.13 10.0 -6 -7 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.13 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 -4.23 2.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.02 0.0 0.21 -0.21 0.00 0.00 -7.34 68.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.02 0.0 0.06 -0.06 0.00 0.00 -2.04 5.0 0 0 caleb_strategy_v3 COPPER False False 0.03 -0.03 -0.02 0.0 0.18 -0.18 -0.03 -0.03 -0.80 6.0 -1 -1 caleb_strategy_v3 US30 False False 0.04 0.00 -0.01 0.0 0.24 -0.24 0.00 0.00 -0.14 6.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 -0.01 0.0 0.46 -0.46 0.00 0.00 -0.38 13.0 0 0 caleb_strategy_v3 BUND False True 0.04 -0.04 -0.01 0.0 0.00 -0.04 -0.04 -0.04 -0.23 10.0 -1 -1 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.58 0.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 -0.01 0.0 0.02 -0.02 0.00 0.00 -2.69 3.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 -0.03 -0.00 0.0 0.06 -0.06 -0.03 -0.03 -0.09 2.0 -1 -1 caleb_strategy_v3 PLAT False False 0.01 -0.01 0.00 0.0 0.14 -0.14 -0.01 -0.01 0.08 10.0 -1 -1 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.13 -0.13 0.00 0.00 -0.16 6.0 0 0 caleb_strategy_v3 BUXL False True 0.05 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 -0.09 4.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.00 0.0 0.14 -0.14 0.00 -0.01 -0.57 18.0 0 -1 caleb_strategy_v3 US20 False False 0.04 0.00 -0.00 0.0 0.33 -0.33 0.00 0.00 -0.10 9.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.22 -0.22 0.03 0.03 0.91 23.0 3 3 caleb_strategy_v3 OAT False True 0.04 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0.26 10.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.04 0.01 0.0 0.40 -0.40 0.04 0.06 1.86 66.0 7 10 caleb_strategy_v3 COTTON2 False False 0.01 0.00 0.01 0.0 0.16 -0.16 0.00 0.00 0.76 11.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.02 0.0 0.05 -0.05 0.00 0.00 0.99 3.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.18 0.02 0.0 0.26 -0.26 0.18 0.18 1.37 23.0 16 16 caleb_strategy_v3 BTP False True 0.04 0.08 0.02 0.0 0.08 0.00 0.08 0.08 0.46 10.0 2 2 caleb_strategy_v3 RICE False False 0.01 0.00 0.02 0.0 0.05 -0.05 0.00 0.00 1.68 4.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.02 0.0 0.13 -0.13 0.13 0.13 0.58 4.0 4 4 caleb_strategy_v3 NZD False False 0.02 0.10 0.02 0.0 0.41 -0.41 0.10 0.10 1.13 21.0 5 5 caleb_strategy_v3 HEATOIL False False 0.03 0.00 0.03 0.0 0.10 -0.10 0.00 0.00 0.93 3.0 0 0 caleb_strategy_v3 COCOA False False 0.02 0.10 0.03 0.0 0.51 -0.51 0.10 0.12 1.43 26.0 5 6 caleb_strategy_v3 GBP False False 0.02 0.12 0.03 0.0 0.54 -0.54 0.12 0.12 1.35 22.0 5 5 caleb_strategy_v3 SP500_micro False False 0.01 0.02 0.04 0.0 0.38 -0.38 0.02 0.02 4.61 48.0 3 3 caleb_strategy_v3 GASOIL False False 0.02 0.02 0.05 0.0 0.10 -0.10 0.02 0.02 1.92 4.0 1 1 caleb_strategy_v3 DX False False 0.03 0.00 0.06 0.0 999.00 -999.00 0.00 0.00 1.74 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.21 0.06 0.0 0.34 -0.34 0.21 0.21 1.36 8.0 5 5 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.07 0.0 0.39 -0.39 0.00 0.00 3.13 17.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.01 0.07 0.0 0.16 -0.16 0.01 0.01 5.98 13.0 1 1 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.09 0.0 0.00 0.00 0.00 0.00 52.96 59.0 0 0 caleb_strategy_v3 CAC False False 0.03 0.32 0.10 0.0 0.32 -0.32 0.32 0.32 3.72 12.0 12 12 caleb_strategy_v3 SMI False True 0.04 0.28 0.12 0.0 0.28 0.00 0.28 0.28 2.88 9.0 7 7 caleb_strategy_v3 CRUDE_W False False 0.02 0.05 0.12 0.0 0.11 -0.11 0.05 0.02 5.21 5.0 2 1 caleb_strategy_v3 DAX False False 0.01 0.00 0.13 0.0 0.34 -0.34 0.00 0.00 21.58 58.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.33 0.14 0.0 0.82 -0.82 0.33 0.16 1.67 10.0 4 2 caleb_strategy_v3 EUROSTX False False 0.02 0.15 0.15 0.0 0.33 -0.33 0.15 0.20 9.21 20.0 9 12 caleb_strategy_v3 NIKKEI False False 0.01 0.29 0.37 0.0 0.29 -0.29 0.29 0.29 45.36 36.0 36 36 caleb_strategy_v3 JGB-SGX-mini False True 0.03 0.30 0.42 0.0 0.30 0.00 0.30 0.30 13.83 16.0 10 10 caleb_strategy_v3 MXP False False 0.01 0.53 0.72 0.0 0.54 -0.54 0.53 0.53 79.81 60.0 59 59 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 24.9 Shocked risk 79.9 Sum abs risk 62.8 Leverage 5.64 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3209756.61, 'annual_cash_vol_target': 802439.1525, 'daily_cash_vol_target': 50152.44703125} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0037 0.6568 0.5700 9.1204 BITCOIN 1076.6862 51770.0000 2.0797 33.2760 BOBL 0.2767 116.5400 0.2374 3.7990 BTP 0.6013 118.3000 0.5083 8.1322 BUND 0.5506 133.2700 0.4131 6.6100 BUXL 1.2549 134.4000 0.9337 14.9388 CAC 52.0277 7979.5000 0.6520 10.4323 CAD 0.0029 0.7409 0.3884 6.2144 CANOLA 6.9063 577.0000 1.1969 19.1510 CHF 0.0052 1.1375 0.4575 7.3205 COCOA 116.3431 6347.0000 1.8330 29.3287 COFFEE 3.3512 179.9000 1.8628 29.8054 COPPER 0.0384 3.9080 0.9820 15.7122 CORN 4.1529 449.5000 0.9239 14.7822 COTTON2 1.0915 93.3700 1.1690 18.7032 CRUDE_W 0.9450 72.6500 1.3008 20.8120 DAX 110.6270 17464.0000 0.6335 10.1353 DOW 228.9232 39206.0000 0.5839 9.3424 DX 0.3608 103.4450 0.3487 5.5799 EUR 0.0042 1.0833 0.3916 6.2661 EURIBOR-ICE 0.0516 97.6350 0.0528 0.8456 EUROSTX 34.2743 4884.0000 0.7018 11.2283 FEEDCOW 1.6966 270.5750 0.6270 10.0327 GASOIL 11.9487 784.5000 1.5231 24.3697 GASOLINE 0.0391 2.4717 1.5815 25.3046 GAS_US_mini 0.0864 1.8500 4.6718 74.7482 GBP 0.0054 1.2674 0.4296 6.8738 GOLD_micro 12.4478 2046.7000 0.6082 9.7310 HEATOIL 0.0384 2.5323 1.5160 24.2559 JGB-SGX-mini 0.2539 146.2700 0.1736 2.7777 JPY 0.0000 0.0067 0.5764 9.2220 LEANHOG 1.0420 99.3000 1.0493 16.7890 LIVECOW 1.1980 183.6250 0.6524 10.4384 LUMBER-new 6.2598 586.0000 1.0682 17.0916 MILK 0.2211 18.1500 1.2182 19.4912 MXP 0.0003 0.0582 0.5645 9.0315 NASDAQ_micro 145.0232 17985.7500 0.8063 12.9012 NIKKEI 314.8937 39190.0000 0.8035 12.8561 NZD 0.0038 0.6194 0.6088 9.7409 OAT 0.5413 128.3100 0.4219 6.7499 OATIES 6.0879 349.0000 1.7444 27.9103 OJ 7.2263 381.6000 1.8937 30.2988 PALLAD 27.7055 991.0000 2.7957 44.7314 PLAT 14.6998 907.1000 1.6205 25.9284 REDWHEAT 8.7353 558.5000 1.5641 25.0249 RICE 0.1812 18.8600 0.9609 15.3742 ROBUSTA 43.5881 3026.0000 1.4405 23.0472 RUSSELL 26.4976 2021.7000 1.3107 20.9705 SHATZ 0.0930 105.2500 0.0884 1.4140 SILVER-mini 0.3387 23.2125 1.4591 23.3456 SMI 71.6792 11415.0000 0.6279 10.0470 SOFR 0.0745 96.3350 0.0774 1.2377 SOYBEAN 9.6070 1130.2500 0.8500 13.5998 SOYMEAL 4.3716 332.0000 1.3168 21.0680 SOYOIL 0.6223 45.0200 1.3823 22.1170 SP400 26.3922 2862.7000 0.9219 14.7509 SP500_micro 32.8518 5101.0000 0.6440 10.3044 SUGAR11 0.3203 21.6000 1.4827 23.7236 US10 0.4418 110.3906 0.4002 6.4034 US10U 0.5966 114.1094 0.5229 8.3660 US2 0.1241 102.3555 0.1212 1.9393 US20 0.8615 119.0625 0.7236 11.5775 US30 1.2606 127.7500 0.9868 15.7880 US5 0.2983 106.8828 0.2791 4.4648 VIX 0.4126 16.1000 2.5626 41.0016 WHEAT 7.9792 591.2500 1.3496 21.5929 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 656.85 0.57 374.42 1.00 374.42 50152.45 133.95 -5.15 -68.96 BITCOIN 51.77 2.08 107.67 1.00 107.67 50152.45 465.80 10.50 489.11 BOBL 1165.40 0.24 276.71 1.08 299.97 50152.45 167.19 -12.28 -205.25 BTP 1183.00 0.51 601.27 1.08 651.81 50152.45 76.94 1.74 13.36 BUND 1332.70 0.41 550.57 1.08 596.85 50152.45 84.03 -2.69 -22.63 BUXL 1344.00 0.93 1254.86 1.08 1360.33 50152.45 36.87 -2.54 -9.37 CAC 797.95 0.65 520.28 1.08 564.01 50152.45 88.92 12.25 108.96 CAD 740.90 0.39 287.76 1.00 287.76 50152.45 174.28 -5.30 -92.39 CANOLA 115.40 1.20 138.13 0.74 102.57 50152.45 488.94 -20.00 -977.88 CHF 1421.88 0.46 650.55 1.00 650.55 50152.45 77.09 -17.17 -132.40 COCOA 634.70 1.83 1163.43 1.00 1163.43 50152.45 43.11 15.44 66.55 COFFEE 674.62 1.86 1256.72 1.00 1256.72 50152.45 39.91 -3.53 -14.08 COPPER 977.00 0.98 959.43 1.00 959.43 50152.45 52.27 -1.42 -7.40 CORN 224.75 0.92 207.64 1.00 207.64 50152.45 241.53 -20.00 -483.06 COTTON2 466.85 1.17 545.73 1.00 545.73 50152.45 91.90 3.86 35.46 CRUDE_W 726.50 1.30 945.00 1.00 945.00 50152.45 53.07 9.06 48.07 DAX 174.64 0.63 110.63 1.08 119.93 50152.45 418.20 15.13 632.79 DOW 196.03 0.58 114.46 1.00 114.46 50152.45 438.16 1.83 79.96 DX 1034.45 0.35 360.76 1.00 360.76 50152.45 139.02 4.83 67.15 EUR 1354.12 0.39 530.32 1.00 530.32 50152.45 94.57 -2.84 -26.85 EURIBOR-ICE 2440.88 0.05 129.00 1.08 139.84 50152.45 358.64 1.36 48.91 EUROSTX 488.40 0.70 342.74 1.08 371.55 50152.45 134.98 20.00 269.96 FEEDCOW 1352.88 0.63 848.31 1.00 848.31 50152.45 59.12 6.97 41.18 GASOIL 784.50 1.52 1194.87 1.00 1194.87 50152.45 41.97 10.56 44.31 GASOLINE 1038.11 1.58 1641.81 1.00 1641.81 50152.45 30.55 4.41 13.48 GAS_US_mini 46.25 4.67 216.07 1.00 216.07 50152.45 232.11 -13.82 -320.76 GBP 792.12 0.43 340.30 1.00 340.30 50152.45 147.38 3.54 52.21 GOLD_micro 204.67 0.61 124.48 1.00 124.48 50152.45 402.90 -10.68 -430.47 HEATOIL 1063.57 1.52 1612.36 1.00 1612.36 50152.45 31.11 6.92 21.52 JGB-SGX-mini 146270.00 0.17 25393.53 0.01 169.03 50152.45 296.71 4.30 127.71 JPY 833.69 0.58 480.52 1.00 480.52 50152.45 104.37 -13.98 -145.95 LEANHOG 397.20 1.05 416.79 1.00 416.79 50152.45 120.33 8.18 98.46 LIVECOW 734.50 0.65 479.19 1.00 479.19 50152.45 104.66 9.02 94.39 LUMBER-new 161.15 1.07 172.14 1.00 172.14 50152.45 291.34 -4.32 -125.87 MILK 363.00 1.22 442.21 1.00 442.21 50152.45 113.41 -8.40 -95.30 MXP 291.00 0.56 164.26 1.00 164.26 50152.45 305.32 17.81 543.76 NASDAQ_micro 359.72 0.81 290.05 1.00 290.05 50152.45 172.91 3.41 58.98 NIKKEI 39190.00 0.80 31489.37 0.01 209.60 50152.45 239.27 17.51 418.87 NZD 619.35 0.61 377.06 1.00 377.06 50152.45 133.01 3.29 43.72 OAT 1283.10 0.42 541.30 1.08 586.80 50152.45 85.47 0.88 7.51 OATIES 174.50 1.74 304.40 1.00 304.40 50152.45 164.76 -10.55 -173.84 OJ 572.40 1.89 1083.94 1.00 1083.94 50152.45 46.27 9.99 46.25 PALLAD 991.00 2.80 2770.55 1.00 2770.55 50152.45 18.10 -1.53 -2.77 PLAT 453.55 1.62 734.99 1.00 734.99 50152.45 68.24 0.32 2.20 REDWHEAT 279.25 1.56 436.76 1.00 436.76 50152.45 114.83 -20.00 -229.66 RICE 377.20 0.96 362.45 1.00 362.45 50152.45 138.37 4.98 68.89 ROBUSTA 302.60 1.44 435.88 1.00 435.88 50152.45 115.06 6.78 78.02 RUSSELL 101.08 1.31 132.49 1.00 132.49 50152.45 378.54 -5.85 -221.48 SHATZ 1052.50 0.09 93.02 1.08 100.83 50152.45 497.38 -14.94 -742.84 SILVER-mini 580.31 1.46 846.73 1.00 846.73 50152.45 59.23 -2.87 -17.03 SMI 1141.50 0.63 716.79 1.14 816.89 50152.45 61.39 13.77 84.54 SOFR 2408.37 0.08 186.30 1.00 186.30 50152.45 269.20 -6.06 -163.26 SOYBEAN 565.12 0.85 480.35 1.00 480.35 50152.45 104.41 -20.00 -208.82 SOYMEAL 332.00 1.32 437.16 1.00 437.16 50152.45 114.72 -20.00 -229.45 SOYOIL 270.12 1.38 373.39 1.00 373.39 50152.45 134.32 -17.06 -229.16 SP400 2862.70 0.92 2639.22 1.00 2639.22 50152.45 19.00 -3.14 -5.97 SP500_micro 255.05 0.64 164.26 1.00 164.26 50152.45 305.33 6.49 198.15 SUGAR11 241.92 1.48 358.70 1.00 358.70 50152.45 139.82 -1.93 -26.94 US10 1103.91 0.40 441.80 1.00 441.80 50152.45 113.52 -8.52 -96.67 US10U 1141.09 0.52 596.65 1.00 596.65 50152.45 84.06 -3.55 -29.85 US2 2047.11 0.12 248.12 1.00 248.12 50152.45 202.13 -12.89 -260.46 US20 1190.62 0.72 861.53 1.00 861.53 50152.45 58.21 -1.42 -8.26 US30 1277.50 0.99 1260.57 1.00 1260.57 50152.45 39.79 -2.81 -11.19 US5 1068.83 0.28 298.26 1.00 298.26 50152.45 168.15 -10.58 -177.82 VIX 161.00 2.56 412.58 1.00 412.58 50152.45 121.56 -20.00 -243.12 WHEAT 295.62 1.35 398.96 1.00 398.96 50152.45 125.71 -20.00 -251.41 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -68.959 0.010 2.5 -1.789 BITCOIN 489.110 0.043 2.5 52.965 BOBL -205.254 0.004 2.5 -2.081 BTP 13.363 0.014 2.5 0.456 BUND -22.629 0.004 2.5 -0.229 BUXL -9.366 0.004 2.5 -0.095 CAC 108.965 0.014 2.5 3.717 CAD -92.394 0.010 2.5 -2.397 CANOLA -977.876 0.010 2.5 -23.791 CHF -132.397 0.010 2.5 -3.435 COCOA 66.550 0.009 2.5 1.425 COFFEE -14.081 0.005 2.5 -0.164 COPPER -7.403 0.043 2.5 -0.802 CORN -483.061 0.010 2.5 -11.752 COTTON2 35.462 0.009 2.5 0.759 CRUDE_W 48.067 0.043 2.5 5.205 DAX 632.790 0.014 2.5 21.584 DOW 79.965 0.009 2.5 1.858 DX 67.154 0.010 2.5 1.742 EUR -26.848 0.010 2.5 -0.697 EURIBOR-ICE 48.910 0.014 2.5 1.668 EUROSTX 269.963 0.014 2.5 9.208 FEEDCOW 41.183 0.013 2.5 1.365 GASOIL 44.308 0.017 2.5 1.921 GASOLINE 13.480 0.017 2.5 0.584 GAS_US_mini -320.763 0.043 2.5 -34.735 GBP 52.208 0.010 2.5 1.355 GOLD_micro -430.474 0.014 2.5 -14.683 HEATOIL 21.518 0.017 2.5 0.933 JGB-SGX-mini 127.705 0.043 2.5 13.829 JPY -145.947 0.010 2.5 -3.787 LEANHOG 98.458 0.024 2.5 5.984 LIVECOW 94.386 0.013 2.5 3.128 LUMBER-new -125.869 0.009 2.5 -2.692 MILK -95.303 0.009 2.5 -2.041 MXP 543.758 0.059 2.5 79.809 NASDAQ_micro 58.982 0.009 2.5 1.371 NIKKEI 418.871 0.043 2.5 45.359 NZD 43.718 0.010 2.5 1.134 OAT 7.510 0.014 2.5 0.256 OATIES -173.842 0.010 2.5 -4.229 OJ 46.245 0.009 2.5 0.990 PALLAD -2.768 0.014 2.5 -0.094 PLAT 2.204 0.014 2.5 0.075 REDWHEAT -229.655 0.005 2.5 -3.046 RICE 68.894 0.010 2.5 1.676 ROBUSTA 78.024 0.005 2.5 0.911 RUSSELL -221.480 0.013 2.5 -7.339 SHATZ -742.837 0.004 2.5 -7.533 SILVER-mini -17.027 0.014 2.5 -0.581 SMI 84.544 0.014 2.5 2.884 SOFR -163.257 0.024 2.5 -9.922 SOYBEAN -208.817 0.004 2.5 -1.942 SOYMEAL -229.446 0.004 2.5 -2.134 SOYOIL -229.160 0.004 2.5 -2.133 SP400 -5.971 0.013 2.5 -0.198 SP500_micro 198.152 0.009 2.5 4.605 SUGAR11 -26.937 0.009 2.5 -0.573 US10 -96.667 0.005 2.5 -1.225 US10U -29.848 0.005 2.5 -0.378 US2 -260.464 0.005 2.5 -3.301 US20 -8.263 0.005 2.5 -0.105 US30 -11.190 0.005 2.5 -0.142 US5 -177.825 0.005 2.5 -2.253 VIX -243.117 0.099 2.5 -60.012 WHEAT -251.415 0.005 2.5 -3.335 ===================== Position diags ===================== AUD 3.48 BITCOIN 50.44 BOBL 1.70 BTP 2.62 BUND 0.85 BUXL 0.37 CAC 3.03 CAD 4.52 CANOLA 11.90 CHF 2.00 COCOA 0.92 COFFEE 0.47 COPPER 5.66 CORN 5.88 COTTON2 1.97 CRUDE_W 5.75 DAX 14.26 DOW 10.18 DX 3.61 EUR 2.45 EURIBOR-ICE 12.23 EUROSTX 4.60 FEEDCOW 1.96 GASOIL 1.82 GASOLINE 1.32 GAS_US_mini 25.14 GBP 3.82 GOLD_micro 13.74 HEATOIL 1.35 JGB-SGX-mini 32.13 JPY 2.71 LEANHOG 7.31 LIVECOW 3.47 LUMBER-new 6.23 MILK 2.43 MXP 44.81 NASDAQ_micro 4.02 NIKKEI 25.91 NZD 3.45 OAT 2.92 OATIES 4.01 OJ 0.99 PALLAD 0.62 PLAT 2.33 REDWHEAT 1.52 RICE 3.37 ROBUSTA 1.34 RUSSELL 12.54 SHATZ 5.04 SILVER-mini 2.02 SMI 2.09 SOFR 16.36 SOYBEAN 0.97 SOYMEAL 1.07 SOYOIL 1.25 SP400 0.63 SP500_micro 7.10 SUGAR11 2.97 US10 1.44 US10U 1.07 US2 2.56 US20 0.74 US30 0.50 US5 2.13 VIX 30.01 WHEAT 1.67 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.8 -2.1 -1.4 0.0 0 BITCOIN 53.0 47.9 58.0 0.0 0 BOBL -2.1 -2.3 -1.9 -13.0 -13 BTP 0.5 0.2 0.7 2.0 2 BUND -0.2 -0.3 -0.1 -1.0 -1 BUXL -0.1 -0.1 -0.1 0.0 0 CAC 3.7 3.4 4.0 12.0 12 CAD -2.4 -2.8 -1.9 0.0 0 CANOLA -23.8 -25.0 -22.6 -6.0 -6 CHF -3.4 -3.6 -3.2 -9.0 -9 COCOA 1.4 1.3 1.5 5.0 5 COFFEE -0.2 -0.2 -0.1 0.0 0 COPPER -0.8 -1.4 -0.2 -1.0 -1 CORN -11.8 -12.3 -11.2 -10.0 -10 COTTON2 0.8 0.6 1.0 0.0 0 CRUDE_W 5.2 4.6 5.8 2.0 2 DAX 21.6 20.2 23.0 0.0 0 DOW 1.9 0.8 2.9 7.0 7 DX 1.7 1.4 2.1 NaN 0 EUR -0.7 -0.9 -0.5 0.0 0 EURIBOR-ICE 1.7 0.4 2.9 4.0 4 EUROSTX 9.2 8.7 9.7 9.0 9 FEEDCOW 1.4 1.2 1.6 5.0 5 GASOIL 1.9 1.7 2.1 1.0 1 GASOLINE 0.6 0.5 0.7 4.0 4 GAS_US_mini -34.7 -37.2 -32.2 -18.0 -18 GBP 1.4 1.0 1.7 5.0 5 GOLD_micro -14.7 -16.1 -13.3 -30.0 -30 HEATOIL 0.9 0.8 1.1 0.0 0 JGB-SGX-mini 13.8 10.6 17.0 10.0 10 JPY -3.8 -4.1 -3.5 -4.0 -4 LEANHOG 6.0 5.3 6.7 1.0 1 LIVECOW 3.1 2.8 3.5 0.0 0 LUMBER-new -2.7 -3.3 -2.1 NaN 0 MILK -2.0 -2.3 -1.8 NaN 0 MXP 79.8 75.3 84.3 59.0 59 NASDAQ_micro 1.4 1.0 1.8 16.0 16 NIKKEI 45.4 42.8 47.9 36.0 36 NZD 1.1 0.8 1.5 5.0 5 OAT 0.3 -0.0 0.5 0.0 0 OATIES -4.2 -4.6 -3.8 NaN 0 OJ 1.0 0.9 1.1 NaN 0 PALLAD -0.1 -0.2 -0.0 -1.0 -1 PLAT 0.1 -0.2 0.3 -1.0 -1 REDWHEAT -3.0 -3.2 -2.9 -3.0 -3 RICE 1.7 1.3 2.0 NaN 0 ROBUSTA 0.9 0.8 1.0 3.0 3 RUSSELL -7.3 -8.6 -6.1 0.0 0 SHATZ -7.5 -8.0 -7.0 NaN 0 SILVER-mini -0.6 -0.8 -0.4 NaN 0 SMI 2.9 2.7 3.1 7.0 7 SOFR -9.9 -11.6 -8.3 NaN 0 SOYBEAN -1.9 -2.0 -1.8 -2.0 -2 SOYMEAL -2.1 -2.2 -2.0 0.0 0 SOYOIL -2.1 -2.3 -2.0 -6.0 -6 SP400 -0.2 -0.3 -0.1 0.0 0 SP500_micro 4.6 3.9 5.3 3.0 3 SUGAR11 -0.6 -0.9 -0.3 0.0 0 US10 -1.2 -1.4 -1.1 0.0 0 US10U -0.4 -0.5 -0.3 0.0 0 US2 -3.3 -3.6 -3.0 NaN 0 US20 -0.1 -0.2 -0.0 0.0 0 US30 -0.1 -0.2 -0.1 0.0 0 US5 -2.3 -2.5 -2.0 -9.0 -9 VIX -60.0 -63.0 -57.0 -17.0 -17 WHEAT -3.3 -3.5 -3.2 -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 -0.2 -0.5 0.3 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.2 -0.1 0.0 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 -0.1 0.3 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.1 0.3 0.1 -0.3 -0.2 -0.7 -0.3 -0.2 0.1 BITCOIN 0.6 0.1 0.5 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.5 0.2 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 -0.1 0.5 0.6 0.6 0.6 -0.2 0.1 0.4 0.2 BOBL -0.6 -0.6 0.6 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.4 -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 -0.1 -0.2 -0.1 -0.7 -0.7 0.1 -0.7 BTP -0.4 -0.3 0.6 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 0.2 -0.0 0.3 -0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.0 0.2 -0.0 -2.0 0.0 0.0 0.1 0.0 0.1 -0.0 0.6 0.4 0.4 0.1 0.3 -0.5 -0.7 0.5 0.1 BUND -0.6 -0.6 0.6 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.0 -0.1 -0.0 0.1 0.1 0.1 0.1 -0.0 0.0 -0.0 -0.0 -0.1 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.4 -0.0 0.1 -0.2 -0.0 -0.7 -0.7 0.2 -0.3 BUXL -0.4 -0.5 0.6 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.1 -0.2 -0.1 0.0 -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 0.3 -0.2 0.1 -0.7 -0.7 0.2 0.1 CAC 0.5 0.2 0.5 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 -0.2 0.2 0.2 0.2 0.5 0.2 -1.3 0.1 0.1 0.2 0.1 0.2 0.1 -0.0 0.5 0.4 -0.1 -0.2 -0.1 0.4 0.0 0.6 CAD -0.2 -0.3 0.3 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 -0.0 -0.1 -0.1 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 0.1 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.0 -0.2 0.2 -0.1 -0.1 -0.6 -0.5 0.0 -0.5 CANOLA -0.2 -0.4 -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 -0.2 -0.6 -0.6 -0.6 -0.7 -0.7 -0.5 -0.2 CHF -0.6 -0.6 0.2 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.0 0.0 -0.1 0.2 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.0 -0.1 0.1 -0.2 -0.6 -0.0 -0.0 0.0 -0.0 0.1 -0.1 -1.1 -0.4 -0.6 -0.3 0.1 -0.7 -0.6 -0.4 -0.6 COCOA 0.2 -0.1 -0.4 0.0 -0.1 0.0 -0.0 -0.1 -0.0 0.1 0.4 0.2 0.6 0.2 0.2 0.4 0.1 0.4 0.3 0.2 0.2 0.2 0.5 0.2 -2.6 0.1 0.0 0.1 0.1 0.2 0.1 1.1 0.5 0.6 0.6 0.6 0.5 0.1 0.7 0.7 COFFEE -0.2 -0.0 0.6 0.0 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 0.3 -0.1 0.2 -0.0 0.1 0.3 0.1 0.2 0.2 0.1 0.1 -0.1 0.2 -0.0 -2.7 0.0 -0.1 0.2 -0.1 0.2 -0.0 1.0 -0.1 -0.0 -0.6 0.6 -0.3 -0.7 -0.2 -0.4 COPPER -0.1 -0.1 0.3 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.0 0.1 -0.2 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.2 -0.1 0.1 -1.6 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 0.5 -0.0 0.3 0.5 -0.6 -0.1 0.4 0.1 CORN -0.3 -0.5 -0.4 0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.2 -0.5 -0.2 -0.7 -0.2 -0.2 -0.4 -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 -0.4 -0.5 -0.6 -0.6 -0.6 -0.2 -0.7 -0.1 -0.0 COTTON2 0.6 0.6 0.3 0.0 -0.1 0.0 -0.1 -0.1 -0.0 0.0 0.2 0.2 0.1 0.2 0.2 -0.0 -0.0 -0.1 -0.1 0.2 0.2 0.2 0.0 0.2 -2.7 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.5 0.6 0.6 0.6 -0.6 -0.5 -0.3 0.0 CRUDE_W 0.1 0.1 -0.2 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.1 0.1 0.3 0.1 -0.0 0.2 0.2 0.2 0.2 0.0 0.0 0.0 0.2 0.1 -0.6 0.0 -0.0 0.1 0.1 0.2 0.1 -0.1 0.5 -0.0 -0.4 -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 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.3 0.2 0.2 0.2 0.5 0.2 2.3 0.1 0.1 0.2 0.1 0.2 0.1 -0.5 0.2 -0.4 -0.3 0.1 -0.1 0.4 0.2 0.7 DOW -0.3 -0.0 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 0.1 0.5 0.2 -1.9 0.1 0.0 0.2 0.0 0.2 0.1 -0.4 -0.4 -0.3 0.2 0.6 -0.2 -0.1 0.0 -0.4 DX 0.4 0.5 -0.2 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.2 0.2 0.0 -0.1 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.0 -0.0 0.1 0.1 -2.7 0.0 -0.0 0.0 0.0 0.1 0.0 0.8 0.0 0.6 0.6 -0.6 0.6 0.1 0.7 0.3 EUR -0.2 -0.4 0.1 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.2 -0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 -0.1 2.4 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.4 0.2 -0.0 0.0 -0.1 -0.7 -0.5 -0.7 -0.4 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 -0.0 -0.1 0.1 -0.7 -0.7 0.2 0.7 EUROSTX 0.5 0.4 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 0.2 0.1 0.1 0.2 0.1 0.2 0.1 0.9 0.3 0.5 0.4 0.2 -0.2 0.4 -0.2 0.7 FEEDCOW 0.6 0.6 -0.1 0.0 -0.1 0.0 -0.1 -0.1 -0.0 0.2 -0.0 0.2 -0.0 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.1 0.2 0.1 0.2 -0.9 0.1 0.0 0.1 0.0 0.1 0.1 -1.1 0.5 0.6 0.6 -0.1 0.7 0.4 0.7 0.7 GASOIL 0.2 0.5 -0.2 0.0 -0.1 0.0 -0.0 0.1 0.0 -0.2 0.2 -0.0 0.3 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 -0.0 0.3 0.1 1.0 0.0 -0.0 0.1 -0.0 0.2 0.0 1.1 -0.1 0.2 0.1 0.2 -0.4 -0.2 -0.7 -0.4 GASOLINE 0.2 0.5 -0.1 0.0 -0.1 0.0 -0.0 0.1 0.0 -0.1 0.0 0.1 0.3 0.1 0.1 -0.0 0.1 -0.3 -0.1 0.1 0.1 0.0 0.2 0.1 -2.7 0.1 -0.0 0.1 0.0 0.2 0.1 -0.7 0.5 0.3 0.0 0.4 0.7 0.5 0.7 0.4 GAS_US_mini -0.3 -0.3 -0.6 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.3 -0.4 -0.1 -0.2 -0.2 -0.2 -0.1 -0.5 -0.1 2.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.1 -0.6 -0.6 -0.6 -0.5 0.0 -0.7 -0.1 GBP -0.3 -0.1 0.3 -0.0 0.0 0.1 -0.0 0.2 -0.0 0.2 0.0 0.0 0.4 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.1 0.0 0.2 -0.0 0.3 0.0 0.1 0.1 0.0 0.1 -0.0 0.2 0.3 0.1 0.6 0.3 -0.7 -0.1 -0.7 0.2 GOLD_micro -0.2 -0.3 0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.2 0.3 -0.0 0.3 -0.1 -0.0 -0.3 -0.3 -0.3 -0.3 -0.0 0.0 0.0 0.1 -0.1 -0.6 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.8 -0.5 -0.3 0.2 0.4 -0.7 -0.7 -0.7 -0.5 HEATOIL 0.1 0.4 -0.2 0.0 -0.1 0.0 -0.0 0.1 0.0 -0.2 0.1 -0.1 0.2 0.1 0.1 0.4 0.4 0.4 0.4 0.1 0.1 -0.1 0.2 0.0 -2.7 0.1 -0.0 0.1 0.0 0.2 0.0 1.1 0.0 0.2 0.2 0.2 0.5 0.1 0.4 -0.0 JGB-SGX-mini -0.3 -0.2 0.5 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.0 0.2 -0.1 0.0 0.2 0.3 0.2 0.2 0.0 0.0 -0.0 0.1 -0.0 -0.6 0.0 0.0 0.0 -0.0 0.0 -0.0 1.1 0.0 0.2 0.2 0.0 -0.1 -0.7 0.1 0.4 JPY -0.4 -0.6 0.3 -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 -0.5 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.2 -0.3 -0.5 -0.4 -0.5 -0.6 -0.4 -0.7 LEANHOG 0.1 0.6 0.1 0.0 -0.1 0.0 -0.1 -0.1 -0.0 0.2 0.0 0.2 -0.5 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.0 0.2 -0.4 0.2 2.6 0.1 0.1 0.1 0.1 -0.1 0.1 -1.1 0.5 0.6 0.6 0.6 -0.4 -0.3 0.2 0.4 LIVECOW 0.6 0.6 -0.3 0.0 -0.1 0.0 -0.1 -0.1 -0.0 0.2 -0.0 0.2 -0.0 0.2 0.1 0.0 -0.2 -0.2 -0.2 0.2 0.0 0.2 0.0 0.2 -0.5 0.1 0.0 0.0 0.1 0.1 0.1 -0.5 0.5 0.6 0.6 -0.4 0.7 0.1 0.7 0.3 LUMBER-new -0.1 -0.1 0.5 0.0 -0.1 0.0 -0.1 -0.1 -0.0 0.2 0.0 0.1 -0.6 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 0.1 -0.1 0.1 NaN 0.1 0.1 0.2 0.2 0.1 0.1 -1.2 0.6 0.7 -0.4 0.7 -0.4 -0.8 -0.3 -0.6 MILK 0.5 0.6 -0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.3 0.1 -0.5 0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.1 -0.5 0.1 1.5 0.0 0.0 -0.1 0.0 -0.3 0.0 -1.1 0.4 0.6 0.2 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.0 -0.1 0.3 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 0.5 0.2 0.7 0.1 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 0.3 0.0 0.5 0.0 1.1 0.1 0.6 0.6 0.3 0.7 0.7 0.7 0.7 NASDAQ_micro -0.0 0.2 0.6 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.4 0.1 0.5 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.1 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.2 0.0 -0.4 -0.4 -0.3 0.5 0.5 0.6 -0.1 0.7 -0.2 NIKKEI 0.6 0.6 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 0.3 0.3 0.3 0.2 0.2 0.2 0.5 0.2 -2.2 0.1 0.1 0.2 0.1 0.2 0.1 1.1 0.5 0.6 0.6 0.6 -0.6 -0.1 -0.2 -0.1 NZD 0.0 -0.4 0.4 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 0.2 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 0.1 0.1 0.1 0.0 0.0 0.2 0.3 0.5 0.1 0.1 -0.3 -0.3 -0.1 0.1 OAT -0.5 -0.5 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 -0.0 0.0 -0.1 0.7 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.6 0.1 0.1 -0.2 0.1 -0.7 -0.7 0.3 0.1 OATIES 0.1 0.0 -0.5 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.3 -0.0 -0.1 0.2 -0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -2.7 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 0.1 -0.0 -0.4 -0.2 0.1 0.1 0.4 OJ 0.6 -0.0 -0.6 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 0.2 0.1 0.3 0.1 0.0 0.1 0.3 0.2 0.2 0.1 0.1 0.1 0.5 0.2 -2.7 0.0 0.0 0.1 0.0 0.3 0.0 1.1 0.4 0.6 0.3 0.1 0.2 0.3 0.4 0.7 PALLAD 0.2 -0.2 0.3 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.2 0.1 -0.3 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.3 -0.0 1.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.4 0.1 -0.1 -0.0 -0.2 -0.4 -0.3 -0.3 -0.1 PLAT -0.1 -0.4 0.1 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.1 -0.0 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 -0.0 1.4 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 -0.0 -0.1 -0.1 0.1 -0.4 -0.1 0.7 0.2 REDWHEAT -0.4 -0.2 -0.2 0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 -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 -1.6 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 0.2 -0.5 -0.6 -0.6 -0.6 -0.6 -0.7 -0.5 -0.7 RICE 0.1 0.3 0.4 0.0 -0.1 0.0 -0.0 -0.1 -0.0 0.1 0.5 0.1 0.6 0.1 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.1 0.4 0.1 -2.7 0.1 0.0 0.1 0.0 0.1 0.1 -0.2 0.3 0.6 0.1 0.6 0.1 -0.2 0.4 0.1 ROBUSTA -0.5 0.6 0.6 0.0 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 0.4 -0.0 0.6 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 -0.0 0.5 0.1 -2.7 0.1 -0.0 0.2 -0.0 0.2 0.0 1.1 -0.2 0.3 0.6 0.6 -0.7 -0.6 -0.3 0.0 RUSSELL -0.1 -0.1 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.0 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 -0.2 0.0 0.0 0.1 0.0 0.1 0.0 0.0 -0.2 -0.3 -0.3 -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 -0.1 -0.1 -0.2 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.0 -0.1 -0.1 -0.1 1.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.3 -0.3 -0.3 -0.2 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.1 -0.3 -0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 0.7 -0.0 0.1 -0.1 0.1 -0.0 0.0 -0.1 0.0 0.2 0.2 0.1 -0.7 -0.6 0.5 -0.2 SMI -0.0 0.1 0.5 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.3 0.2 0.2 0.1 0.2 0.2 0.1 0.2 0.2 0.1 0.1 0.2 0.1 0.1 1.6 0.1 0.1 0.1 0.1 0.1 0.1 1.1 0.3 -0.6 -0.1 -0.4 0.2 -0.2 0.5 -0.3 SOFR -0.6 -0.5 0.5 -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 -0.2 -0.1 0.1 0.1 -0.7 -0.7 -0.1 -0.1 SOYBEAN -0.3 -0.6 -0.6 0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.2 -0.4 -0.2 -0.1 -0.2 -0.2 0.1 0.3 0.2 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 1.1 -0.5 -0.6 -0.6 -0.6 -0.3 -0.7 -0.3 -0.7 SOYMEAL -0.4 -0.6 -0.6 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.4 -0.1 -0.3 -0.2 -0.2 -0.1 0.2 0.0 0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -2.7 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 1.1 -0.2 -0.6 -0.6 -0.6 -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 -0.1 -0.4 -0.1 -0.1 -0.1 0.1 -0.1 -0.0 -0.2 -0.2 -0.1 -0.4 -0.1 -2.7 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 0.5 -0.3 -0.4 -0.5 -0.3 -0.4 -0.2 -0.2 0.2 SP400 0.0 0.1 0.6 0.0 0.1 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 0.1 0.0 0.1 0.1 0.1 0.1 0.1 -0.1 -0.3 -0.3 -0.0 -0.7 -0.3 -0.6 -0.7 SP500_micro 0.2 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 0.1 0.2 0.1 -0.5 -0.2 0.1 0.6 0.6 0.2 -0.1 0.6 -0.2 SUGAR11 -0.1 0.3 -0.6 0.0 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 0.3 0.0 -0.0 0.3 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 0.0 -0.0 1.1 -0.2 -0.2 0.0 -0.6 0.4 -0.0 0.7 0.3 US10 -0.6 -0.3 0.6 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 0.0 -0.2 -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 -0.2 -0.1 0.1 0.0 -0.7 -0.7 -0.5 0.3 US10U -0.6 -0.3 0.6 -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 -0.0 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.2 0.0 0.1 0.1 -0.7 -0.7 0.3 0.7 US2 -0.6 -0.4 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 1.2 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.3 -0.3 0.0 -0.0 -0.7 -0.7 -0.5 -0.7 US20 -0.6 -0.3 0.6 -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 -0.0 -0.0 -0.1 -0.1 -0.2 0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 0.1 0.1 -0.7 -0.7 0.7 0.7 US30 -0.4 -0.3 0.6 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 -0.1 -0.1 0.0 -0.2 -0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -0.2 -0.1 -0.1 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.5 0.0 0.3 0.1 0.1 -0.5 -0.6 0.7 0.7 US5 -0.6 -0.4 0.6 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 0.0 -0.2 -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 -0.2 -0.2 0.1 0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.4 0.2 -0.8 -0.1 -0.1 -0.4 -0.1 -0.8 -0.1 -0.2 -0.9 -0.0 -1.2 -0.2 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.1 -0.9 -0.1 NaN -0.1 -0.1 -0.5 -0.1 -1.0 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.5 -0.3 0.1 0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 -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 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.7 -0.5 -0.6 -0.6 -0.6 -0.7 -0.7 -0.6 -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 -6.3 -14.9 8.6 -1.4 1.2 2.2 -1.2 3.5 -3.4 18.0 -4.0 3.7 -9.2 -11.9 -4.9 -2.9 -2.9 -2.8 -2.8 -6.0 -2.6 3.4 -5.1 -5.2 2.6 -2.8 3.9 -0.9 1.5 -1.6 -2.6 -1.2 10.5 2.0 -9.3 -5.5 -20.0 -10.1 -7.4 1.5 BITCOIN 20.0 4.4 16.4 -4.9 4.7 -4.6 3.2 -2.5 -1.5 7.8 20.0 20.0 20.0 20.0 20.0 -8.7 -6.7 -8.2 -7.7 20.0 20.0 20.0 20.0 20.0 -20.0 8.4 1.6 8.4 7.4 7.2 9.2 -2.0 20.0 20.0 20.0 20.0 -6.1 3.3 12.0 7.3 BOBL -20.0 -20.0 18.4 -0.6 0.2 0.3 -1.4 -0.5 -1.9 -3.5 1.0 -7.5 -1.1 -8.0 -2.3 -20.0 -17.4 -20.0 -20.0 -4.4 0.3 -8.3 -1.2 -8.9 6.1 -1.3 -1.4 0.2 -2.8 -0.1 -2.8 -20.0 -5.4 -2.6 -7.6 -3.5 -20.0 -20.0 2.2 -20.0 BTP -13.0 -9.4 20.0 -1.2 0.4 0.6 -2.6 -1.0 -3.5 8.3 8.9 -4.4 8.6 -8.3 7.1 4.5 6.5 4.9 5.4 5.3 11.0 1.3 7.6 -0.5 -14.8 2.3 4.2 4.9 0.8 3.7 -0.2 11.7 15.5 12.1 3.5 9.3 -15.5 -20.0 16.2 2.2 BUND -17.3 -18.4 20.0 -0.7 0.3 0.4 -1.6 -0.6 -2.2 -0.8 2.1 -8.2 -0.9 -9.0 -0.5 4.8 4.5 4.2 3.5 -2.5 1.8 -5.4 -1.0 -6.6 4.1 -0.9 -0.2 0.8 -2.1 0.1 -2.4 7.9 -0.4 2.6 -5.9 -0.9 -19.9 -20.0 6.0 -10.0 BUXL -12.0 -14.7 20.0 -0.9 0.4 0.5 -2.1 -0.8 -2.9 6.3 2.9 -8.3 -4.5 -10.7 1.0 -0.2 0.4 -0.0 0.2 -1.4 2.2 -1.7 -3.4 -4.8 0.4 -0.3 2.1 1.2 -0.5 -0.4 -1.7 2.1 7.9 8.5 -4.8 2.3 -20.0 -20.0 4.6 3.7 CAC 13.9 7.1 14.4 7.7 9.9 6.2 8.6 4.1 7.9 20.0 20.0 20.0 20.0 20.0 20.0 -8.3 -5.6 -8.4 -7.6 20.0 20.0 20.0 17.2 20.0 -9.8 8.0 14.4 6.0 12.4 4.6 10.0 -0.3 20.0 11.7 -2.4 -6.5 -2.6 12.3 1.0 18.3 CAD -7.5 -7.7 10.7 -1.7 1.4 2.6 -1.4 4.1 -4.0 2.7 -1.2 -6.9 -3.4 -15.0 1.5 -1.9 -2.1 -2.0 -2.1 -1.7 0.7 -3.5 -2.9 -5.2 0.5 -1.1 -0.7 0.3 -2.6 -1.5 -3.5 0.0 -6.7 4.9 -1.6 -4.2 -16.8 -14.8 0.5 -13.6 CANOLA -6.3 -12.9 -20.0 1.1 -3.7 0.2 -2.4 -1.3 -0.2 -7.8 -10.1 -8.6 -8.8 -9.5 -10.2 -12.2 -3.2 -11.2 -8.9 -19.0 -19.8 -11.9 -16.7 -15.6 -20.0 -4.0 -2.2 -3.9 -3.3 -3.4 -3.7 -4.7 -9.2 -20.0 -20.0 -20.0 -20.0 -20.0 -14.8 -6.5 CHF -20.0 -20.0 6.4 -1.2 1.0 1.9 -1.0 3.0 -2.9 -2.4 0.5 -11.7 5.1 -14.4 -5.1 -14.3 -15.4 -15.2 -15.5 -10.5 -1.0 -11.9 3.3 -17.1 -4.7 -2.2 -1.4 0.8 -3.9 1.7 -5.0 -20.0 -14.7 -17.6 -10.2 2.4 -20.0 -17.1 -11.5 -19.4 COCOA 6.1 -1.8 -12.0 1.6 -5.7 0.3 -3.6 -1.9 -0.3 13.8 16.3 15.0 16.1 15.5 16.0 20.0 7.0 20.0 13.2 20.0 20.0 20.0 18.3 20.0 -19.8 5.5 4.1 4.8 4.8 4.2 5.7 20.0 20.0 20.0 20.0 20.0 15.3 2.7 20.0 20.0 COFFEE -6.8 -1.0 17.8 1.9 -6.9 0.4 -4.4 -2.3 -0.3 -14.7 9.9 -10.4 4.9 -1.3 7.0 17.4 6.5 12.2 9.0 6.1 10.4 -9.1 6.0 -2.0 -20.0 2.5 -9.3 6.3 -6.0 5.2 -2.4 18.7 -5.3 -0.0 -18.1 17.7 -10.2 -20.0 -5.7 -11.3 COPPER -3.0 -2.6 8.1 -4.0 3.8 -3.7 2.6 -2.0 -1.2 16.2 -1.3 12.9 -6.3 4.9 4.5 -5.0 -4.9 -5.8 -5.8 2.4 0.7 20.0 -2.7 8.5 -12.2 -0.4 8.6 -0.2 8.5 -1.0 2.3 1.2 19.3 -1.4 8.3 16.2 -19.2 -3.6 12.5 1.6 CORN -8.5 -15.5 -13.1 2.5 -8.8 0.5 -5.6 -3.0 -0.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -18.3 -5.4 -14.3 -10.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -8.6 -10.5 -6.6 -12.8 -5.2 -11.0 -8.1 -20.0 -20.0 -20.0 -20.0 -4.5 -20.0 -2.3 -0.0 COTTON2 20.0 20.0 8.4 2.5 -8.8 0.5 -5.6 -2.9 -0.4 3.6 7.0 15.8 2.2 20.0 18.3 -0.9 -1.7 -4.7 -4.5 20.0 14.2 20.0 1.2 20.0 -20.0 7.7 4.7 3.9 9.3 1.4 10.2 0.1 20.0 20.0 20.0 20.0 -17.9 -14.3 -7.6 0.9 CRUDE_W 3.5 4.3 -6.8 3.9 -6.8 1.9 -1.8 2.2 3.5 -13.8 3.7 9.1 7.3 11.6 -2.4 9.2 9.4 8.4 8.8 3.4 2.9 2.2 8.5 6.4 -4.8 3.4 -0.9 2.7 5.2 6.8 6.4 -1.1 20.0 -0.8 -12.3 -0.5 20.0 18.9 20.0 20.0 DAX 1.9 1.2 20.0 7.4 9.5 6.0 8.2 3.9 7.6 20.0 20.0 20.0 20.0 20.0 20.0 -16.4 -11.3 -15.4 -13.5 20.0 20.0 20.0 17.9 20.0 17.3 7.8 14.2 7.4 10.5 5.6 7.8 -10.1 7.7 -12.7 -9.0 3.0 -2.7 11.1 4.6 20.0 DOW -7.8 -0.8 20.0 6.0 7.7 4.8 6.7 3.2 6.1 15.8 19.3 15.3 17.8 16.8 19.7 -13.0 -10.5 -12.6 -11.8 20.0 20.0 15.6 20.0 17.1 -14.0 7.0 4.8 7.5 4.3 5.8 4.9 -8.0 -15.4 -8.3 5.1 17.6 -6.0 -4.2 0.9 -11.4 DX 11.1 14.8 -7.1 -1.5 1.2 2.2 -1.2 3.6 -3.5 -18.0 5.6 1.8 -1.5 12.8 3.8 6.0 6.0 6.0 6.1 8.1 3.3 -0.0 3.5 9.0 -20.0 2.9 -3.3 0.8 0.2 1.7 3.8 14.1 0.9 20.0 20.0 -20.0 18.9 2.4 20.0 8.4 EUR -7.4 -11.6 2.9 -1.6 1.4 2.5 -1.3 4.0 -3.9 20.0 -6.3 2.8 1.8 -13.1 -7.1 -6.3 -6.6 -6.2 -6.2 -7.9 -3.9 3.5 -2.8 -6.6 18.0 -2.4 4.8 -0.5 2.0 -0.4 -2.4 -7.3 9.9 -0.3 0.1 -3.8 -20.0 -14.0 -20.0 -10.7 EURIBOR-ICE -20.0 -20.0 20.0 -0.6 0.2 0.3 -1.4 -0.5 -1.9 -1.5 4.3 -7.0 2.9 -7.5 1.5 0.8 -3.7 0.6 -1.5 -0.4 6.2 -6.2 4.2 -6.4 14.4 0.0 -0.8 2.2 -2.0 1.6 -2.0 -3.5 -2.1 -1.1 -4.1 4.5 -20.0 -20.0 6.8 20.0 EUROSTX 14.8 11.2 19.0 7.4 9.6 6.0 8.3 4.0 7.7 20.0 20.0 20.0 20.0 20.0 20.0 10.4 2.1 8.4 4.7 20.0 20.0 20.0 20.0 20.0 1.6 8.3 10.5 6.7 9.6 4.9 9.0 16.2 12.2 16.9 12.5 6.4 -7.1 13.4 -5.0 20.0 FEEDCOW 17.1 20.0 -3.7 2.5 -8.9 0.5 -5.6 -3.0 -0.4 18.8 -1.2 20.0 -0.3 20.0 18.8 -20.0 -20.0 -20.0 -20.0 20.0 9.2 20.0 2.8 20.0 -6.8 5.7 2.3 2.3 3.5 2.8 6.3 -20.0 20.0 20.0 20.0 -4.6 20.0 10.9 20.0 20.0 GASOIL 6.9 16.1 -5.0 3.2 -5.6 1.5 -1.5 1.8 2.8 -17.3 8.5 -0.4 9.4 12.3 10.1 20.0 20.0 20.0 20.0 13.0 9.9 -3.8 11.9 10.2 7.9 4.5 -5.2 3.8 -1.6 4.3 3.3 20.0 -4.4 6.2 4.6 6.9 -11.4 -5.3 -20.0 -11.6 GASOLINE 6.2 14.4 -3.0 3.6 -6.3 1.7 -1.7 2.0 3.2 -16.6 1.4 6.1 7.8 12.9 13.2 -0.1 7.2 -13.8 -6.0 11.8 6.7 2.4 7.6 11.8 -20.0 5.5 -0.2 3.1 4.5 4.6 7.0 -12.8 20.0 8.6 1.3 13.0 20.0 13.9 20.0 12.3 GAS_US_mini -10.2 -8.7 -17.5 1.6 -2.8 0.8 -0.7 0.9 1.4 -0.5 -9.6 -5.6 -10.5 -8.4 -9.7 -13.7 -18.2 -2.6 -10.9 -14.1 -16.1 -5.7 -19.3 -10.9 16.8 -3.5 -2.0 -3.3 -2.9 -2.8 -3.5 -20.0 -3.2 -20.0 -20.0 -17.5 -14.4 0.2 -20.0 -4.3 GBP -9.6 -3.9 9.4 -1.8 1.5 2.7 -1.5 4.3 -4.3 20.0 1.5 0.7 10.1 -5.4 13.3 -0.5 -0.6 -0.3 -0.4 1.6 6.3 4.4 6.1 -1.7 2.6 1.8 6.8 4.0 2.5 2.7 -0.5 2.9 10.6 2.4 17.9 8.3 -20.0 -4.2 -20.0 4.7 GOLD_micro -7.5 -9.1 6.1 -4.2 4.1 -4.0 2.8 -2.2 -1.3 17.6 9.9 -1.1 7.3 -9.4 -1.5 -15.7 -14.4 -15.1 -14.9 -2.9 3.0 2.7 5.2 -5.0 -4.5 -1.4 4.1 2.0 -2.0 3.3 -4.4 -14.9 -20.0 -9.2 7.1 13.8 -20.0 -20.0 -20.0 -14.3 HEATOIL 3.8 12.6 -5.6 3.5 -6.1 1.7 -1.7 2.0 3.1 -18.4 4.5 -6.1 6.7 9.0 6.9 20.0 20.0 20.0 20.0 7.7 5.5 -8.8 8.8 4.5 -20.0 5.2 -3.6 4.2 0.1 5.8 4.5 20.0 0.1 5.3 5.4 7.6 15.1 3.7 13.4 -0.4 JGB-SGX-mini -9.5 -5.0 15.4 -0.6 0.2 0.3 -1.4 -0.5 -1.9 3.4 4.2 -2.3 5.1 -4.7 4.0 9.3 16.3 9.8 12.0 1.2 3.5 -1.1 3.2 -1.6 -4.4 0.2 0.4 1.0 -0.6 0.4 -0.9 20.0 1.9 4.7 6.3 0.7 -4.4 -20.0 4.3 11.2 JPY -12.9 -18.8 10.4 -0.9 0.8 1.4 -0.8 2.3 -2.3 -10.9 -11.5 -12.2 -12.3 -13.2 -11.6 -15.7 -16.0 -15.7 -16.1 -13.0 -12.1 -9.8 -16.7 -13.8 20.0 -3.7 -2.0 -3.4 -3.4 -4.9 -4.4 -20.0 -9.4 -8.3 -14.3 -12.3 -16.2 -16.7 -11.4 -20.0 LEANHOG 2.7 20.0 4.5 2.7 -9.6 0.5 -6.1 -3.2 -0.5 20.0 0.9 18.8 -14.0 20.0 17.3 -20.0 -20.0 -20.0 -20.0 16.6 1.9 20.0 -15.0 20.0 19.3 7.7 6.3 4.3 6.8 -2.3 7.2 -20.0 20.0 20.0 20.0 20.0 -10.6 -8.6 5.3 12.1 LIVECOW 20.0 20.0 -8.2 2.5 -8.7 0.5 -5.5 -2.9 -0.4 19.9 -0.9 20.0 -0.1 20.0 13.4 0.1 -7.8 -10.5 -10.5 20.0 4.5 20.0 0.8 20.0 -3.8 5.5 4.0 1.5 6.6 2.2 8.2 -9.2 20.0 20.0 20.0 -12.9 20.0 2.0 20.0 9.9 LUMBER-new -1.4 -1.8 12.4 2.8 -9.8 0.6 -6.2 -2.5 -0.5 20.0 1.1 6.6 -14.4 5.0 11.7 -18.8 -15.2 -16.7 -15.7 7.2 6.6 9.2 -2.0 5.8 NaN 7.0 12.7 5.7 13.2 1.9 8.7 -20.0 20.0 17.8 -10.0 20.0 -10.1 -20.0 -7.3 -16.1 MILK 14.1 20.0 -2.0 1.5 -5.4 0.3 -3.4 -1.8 -0.3 11.7 -11.3 6.4 -13.8 6.3 -6.7 -20.0 -20.0 -20.0 -20.0 -2.5 -12.9 7.8 -20.0 4.9 10.9 0.0 3.3 -4.2 2.7 -7.4 2.6 -20.0 16.2 20.0 7.5 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 1.0 -3.0 8.2 -1.7 1.4 2.6 -1.4 4.1 -4.0 10.2 19.4 16.4 20.0 7.5 18.7 16.9 16.6 16.2 15.8 11.6 18.2 3.7 20.0 6.7 -20.0 6.2 -1.2 9.6 2.1 15.1 3.8 20.0 4.7 20.0 20.0 9.9 20.0 20.0 20.0 20.0 NASDAQ_micro -0.3 5.5 17.8 4.6 5.9 3.7 5.1 2.4 4.7 9.3 14.5 9.2 14.3 12.2 14.3 -11.5 -9.9 -11.5 -10.9 19.8 20.0 8.6 20.0 13.2 -20.0 5.5 2.8 5.9 3.2 5.5 4.1 -6.8 -16.2 -8.1 14.1 14.4 17.6 -3.2 20.0 -5.6 NIKKEI 18.4 20.0 17.1 6.7 8.7 5.5 7.5 3.6 6.9 19.2 20.0 20.0 20.0 20.0 20.0 15.4 13.1 16.0 14.3 20.0 20.0 20.0 20.0 20.0 -16.6 7.8 6.5 6.4 7.5 5.2 8.0 20.0 20.0 20.0 20.0 20.0 -17.1 -4.1 -4.8 -2.4 NZD 0.4 -12.6 12.2 -1.2 1.0 1.8 -1.0 2.9 -2.9 14.1 2.7 13.9 0.3 -3.7 4.2 0.5 0.3 0.4 0.3 1.7 2.9 10.9 0.1 3.8 0.1 1.1 7.4 2.1 5.9 0.9 2.1 4.1 12.8 16.3 2.0 2.9 -10.2 -9.5 -3.9 3.5 OAT -16.2 -16.5 20.0 -0.8 0.3 0.4 -1.8 -0.7 -2.5 1.6 3.4 -8.4 -0.0 -9.7 1.2 4.6 6.4 4.9 5.3 -0.9 3.9 -3.9 0.6 -5.4 5.5 -0.3 0.5 1.6 -1.6 0.7 -2.1 11.5 3.6 4.5 -4.7 1.9 -20.0 -20.0 8.1 3.4 OATIES 2.9 1.5 -14.1 1.3 -4.7 0.3 -3.0 -1.6 -0.2 -11.4 -10.9 -6.3 -8.8 -2.9 -6.2 8.1 -3.5 3.9 -1.5 -5.3 -9.7 -7.5 -8.4 -3.4 -20.0 -1.3 -6.3 -3.2 -5.0 -3.2 -1.7 -0.1 -4.0 2.4 -0.8 -13.5 -7.0 2.1 1.7 13.2 OJ 20.0 -1.0 -20.0 1.4 -4.9 0.3 -3.1 -1.7 -0.2 11.3 6.3 10.9 9.6 10.2 1.8 6.5 16.1 8.3 12.4 9.3 9.2 15.7 16.7 14.9 -20.0 2.6 3.2 3.8 3.4 7.3 3.4 20.0 18.1 20.0 10.1 1.8 7.2 10.0 13.1 20.0 PALLAD 6.9 -6.0 9.5 -1.5 1.4 -1.4 1.0 -0.8 -0.5 6.7 -6.3 5.0 -7.8 -2.9 -5.3 -1.9 -2.2 -1.9 -2.0 -4.7 -7.3 3.7 -10.4 -0.7 8.5 -1.8 1.6 -2.9 0.7 -3.9 -0.7 6.8 3.8 -2.3 -1.3 -4.8 -12.2 -8.6 -8.0 -3.9 PLAT -2.6 -11.7 2.1 -2.4 2.3 -2.2 1.5 -1.2 -0.7 6.0 -5.4 -2.1 -7.5 -8.6 -5.7 -4.0 -3.2 -3.9 -3.6 -4.9 -4.3 0.1 -4.2 -3.5 10.5 -2.0 2.2 -1.4 0.7 -0.9 -1.4 4.5 -1.7 -2.0 -1.9 2.1 -12.3 -4.3 20.0 4.6 REDWHEAT -13.8 -7.1 -6.0 2.1 -7.5 0.4 -4.8 -2.5 -0.4 -12.5 -20.0 -15.7 -20.0 -16.7 -17.4 5.2 -0.5 1.1 -0.7 -20.0 -20.0 -20.0 -20.0 -20.0 -11.7 -6.8 -9.5 -6.3 -12.4 -6.1 -10.0 4.5 -20.0 -20.0 -20.0 -20.0 -17.8 -20.0 -14.3 -20.0 RICE 4.4 9.1 11.3 2.1 -7.3 0.4 -4.6 -2.4 -0.4 8.3 17.8 5.7 16.2 11.5 16.8 -7.7 -2.7 -11.7 -9.2 18.7 19.0 6.9 15.0 13.3 -19.9 5.9 4.1 5.0 4.5 3.7 5.9 -3.5 11.2 20.0 4.2 18.9 4.4 -5.6 11.4 3.3 ROBUSTA -16.8 18.7 20.0 1.7 -5.9 0.3 -3.7 -2.0 -0.3 -11.3 15.4 -4.1 15.7 11.5 14.9 20.0 20.0 20.0 20.0 20.0 20.0 -4.1 20.0 11.4 -20.0 5.5 -3.9 6.9 -1.0 6.4 2.1 20.0 -8.3 8.2 20.0 20.0 -19.8 -16.7 -8.4 1.1 RUSSELL -2.0 -3.1 18.9 3.4 4.3 2.7 3.8 1.8 3.5 0.2 6.2 2.6 3.8 2.0 6.9 -6.0 -6.2 -6.2 -6.3 5.4 5.5 2.5 2.7 3.8 -1.8 3.1 1.7 2.9 2.5 1.7 2.7 0.3 -9.3 -10.4 -9.7 -2.7 -20.0 -20.0 -20.0 -20.0 SHATZ -20.0 -20.0 20.0 -0.6 0.2 0.3 -1.4 -0.5 -1.8 -5.6 -2.4 -7.6 -5.0 -7.9 -5.1 -20.0 -20.0 -20.0 -20.0 -7.7 -2.9 -12.2 -4.5 -12.6 7.8 -1.6 -2.3 -0.3 -3.2 -0.7 -3.1 -20.0 -11.5 -9.2 -9.6 -6.5 -20.0 -20.0 -8.2 -20.0 SILVER-mini 1.8 -8.0 -2.4 -3.3 3.1 -3.1 2.1 -1.7 -1.0 3.4 -5.4 3.3 -3.1 -6.2 -11.0 -6.6 -6.6 -6.8 -6.8 -5.6 -5.5 2.4 -3.5 -1.7 5.2 -1.7 5.8 -2.1 5.6 -1.0 1.7 -1.2 0.5 5.5 7.0 2.8 -20.0 -17.4 14.2 -4.8 SMI -0.1 3.5 15.7 6.4 8.2 5.2 7.1 3.4 6.6 17.0 12.7 15.2 6.2 10.4 17.2 10.9 6.1 10.5 8.2 11.9 9.1 19.4 3.7 13.6 11.9 5.9 9.6 5.1 8.6 2.3 6.2 20.0 14.2 -18.5 -3.9 -12.7 6.1 -5.9 13.9 -8.3 SOFR -20.0 -14.8 15.6 -0.7 0.3 0.4 -1.5 -0.6 -2.1 -3.7 3.3 -7.4 -0.0 -7.6 1.1 1.3 0.3 1.5 0.9 -3.1 0.5 -7.0 -0.9 -7.7 -2.0 -0.3 -1.3 1.1 -3.3 0.2 -2.8 2.4 -7.7 -2.5 1.9 1.8 -20.0 -20.0 -4.3 -2.5 SOYBEAN -10.3 -20.0 -20.0 2.2 -7.6 0.4 -4.8 -2.6 -0.4 -17.9 -15.5 -19.1 -2.7 -20.0 -20.0 6.6 14.8 9.3 11.5 -20.0 -20.0 -20.0 -13.5 -20.0 -20.0 -7.2 -7.6 -4.5 -9.3 -1.8 -8.7 20.0 -20.0 -20.0 -20.0 -20.0 -8.3 -20.0 -7.8 -20.0 SOYMEAL -11.9 -20.0 -20.0 1.5 -5.4 0.3 -3.4 -1.8 -0.3 -12.2 -13.2 -13.1 -7.1 -14.2 -14.8 -3.9 11.9 2.3 7.2 -20.0 -18.8 -18.0 -8.7 -20.0 -20.0 -5.2 -3.6 -3.5 -4.7 -0.9 -5.2 20.0 -9.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 1.6 -4.8 -16.9 1.5 -5.3 0.3 -3.4 -1.8 -0.3 -13.0 -12.6 -11.1 -10.0 -9.9 -11.7 -5.6 4.2 -3.9 -0.1 -14.6 -17.0 -15.6 -14.5 -12.9 -20.0 -4.2 -7.7 -4.5 -7.5 -3.9 -5.1 9.6 -14.0 -11.0 -14.3 -8.6 -11.8 -5.6 -7.2 5.6 SP400 1.1 2.2 20.0 4.4 5.7 3.6 4.9 2.3 4.5 11.2 11.4 10.4 8.7 9.7 12.7 -5.9 -5.3 -5.7 -5.5 11.4 10.7 10.3 6.7 10.1 -10.2 4.7 4.5 4.3 5.2 2.9 4.7 1.8 -5.8 -8.7 -7.8 -1.4 -20.0 -8.9 -18.7 -20.0 SP500_micro 5.2 9.2 20.0 5.7 7.4 4.7 6.4 3.1 5.9 14.9 18.5 15.6 17.1 17.1 19.0 -12.8 -11.0 -12.7 -12.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.0 5.3 6.6 5.8 5.2 6.2 -8.7 -6.4 3.3 19.1 18.4 5.7 -3.3 18.7 -6.1 SUGAR11 -1.7 10.0 -20.0 1.8 -6.3 0.4 -4.0 -2.1 -0.3 -15.1 -4.3 -15.1 7.2 4.1 -4.4 15.6 19.3 19.2 19.7 -4.6 -6.1 -12.9 3.2 -5.1 -20.0 -3.3 -4.7 -3.6 -3.8 1.3 -2.3 20.0 -9.3 -6.4 1.5 -20.0 12.5 -1.2 19.9 9.5 US10 -20.0 -10.2 17.6 -0.6 0.2 0.3 -1.4 -0.5 -1.9 -4.2 1.5 -7.4 -2.4 -7.4 1.2 -9.0 -8.0 -9.1 -8.7 -2.9 -0.6 -6.7 -3.9 -7.1 1.7 -0.2 -1.3 0.7 -3.1 -0.7 -2.6 -13.1 -7.0 -1.8 2.6 1.5 -20.0 -20.0 -16.1 8.3 US10U -20.0 -10.0 17.4 -0.9 0.3 0.5 -2.0 -0.8 -2.7 -4.4 1.2 -10.2 -3.3 -10.4 1.3 -1.3 0.4 0.4 0.6 -3.9 -1.2 -8.3 -5.9 -9.2 -0.9 -0.1 -1.0 0.9 -3.7 -1.2 -3.1 2.2 -7.0 0.7 3.8 2.2 -20.0 -20.0 9.5 19.8 US2 -20.0 -11.4 20.0 -0.6 0.2 0.3 -1.3 -0.5 -1.8 -6.0 -0.3 -7.2 -4.8 -7.0 -1.6 -20.0 -20.0 -20.0 -20.0 -4.4 -1.6 -9.6 -5.2 -9.3 8.8 -0.6 -2.4 0.6 -3.8 -0.7 -3.0 -20.0 -12.6 -8.9 0.7 -0.5 -19.9 -20.0 -15.0 -20.0 US20 -17.7 -9.9 19.4 -0.7 0.3 0.4 -1.5 -0.6 -2.0 -0.6 1.6 -7.0 -1.7 -7.4 1.8 0.1 -0.9 -0.2 -0.6 -1.8 -0.1 -4.7 -4.1 -5.7 -1.3 0.5 0.3 1.0 -1.8 -0.9 -1.6 -0.4 -2.6 3.9 3.6 4.1 -20.0 -20.0 20.0 20.0 US30 -12.7 -10.0 17.5 -0.8 0.3 0.4 -1.8 -0.7 -2.4 4.2 0.7 -7.6 -3.3 -8.6 1.4 -9.4 -5.8 -8.4 -7.1 -2.4 -1.1 -3.2 -6.0 -5.4 -0.7 0.6 2.0 0.8 -0.9 -1.6 -1.4 -9.6 1.4 7.8 3.9 2.5 -15.3 -18.3 20.0 20.0 US5 -20.0 -11.8 18.4 -0.6 0.2 0.3 -1.4 -0.5 -1.9 -5.3 1.7 -7.3 -2.8 -7.1 0.4 -9.5 -10.2 -9.9 -10.3 -3.5 -0.7 -8.0 -3.5 -8.0 3.7 -0.4 -1.9 0.7 -3.5 -0.4 -2.8 -16.5 -9.4 -4.9 1.8 0.8 -20.0 -20.0 -20.0 -6.9 VIX 6.8 3.3 -15.0 -7.2 -8.3 -10.2 -4.9 -13.9 -4.7 -14.9 -20.0 -2.7 -20.0 -12.5 -20.0 -20.0 -20.0 -20.0 -20.0 -17.0 -20.0 -4.5 -20.0 -6.3 NaN -8.5 -8.3 -12.2 -6.1 -16.8 -5.6 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -15.3 -10.1 2.6 2.2 -7.7 0.4 -4.9 -2.6 -0.4 -9.8 -20.0 -14.5 -20.0 -17.4 -15.4 -11.5 -10.8 -11.5 -11.3 -20.0 -20.0 -20.0 -20.0 -20.0 -1.0 -6.3 -9.0 -4.5 -12.3 -4.6 -10.3 -13.2 -20.0 -20.0 -20.0 -19.6 -20.0 -20.0 -17.8 -20.0 End of report for caleb_strategy_v3