******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240306_204006 produced at 2024-03-06 21:37:39.640622 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 0.07 0.00 -0.49 0.0 0.00 0.00 0.00 0.00 -6.50 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.32 0.0 0.00 0.00 0.00 0.00 -9.05 24.0 0 0 caleb_strategy_v3 VIX False False 0.01 -0.08 -0.31 0.0 0.09 -0.09 -0.08 -0.09 -62.33 17.0 -16 -17 caleb_strategy_v3 US2 False True 0.06 0.00 -0.22 0.0 0.00 0.00 0.00 0.00 -3.46 13.0 0 0 caleb_strategy_v3 CHF False True 0.04 -0.39 -0.18 0.0 0.00 -0.39 -0.39 -0.39 -4.04 13.0 -9 -9 caleb_strategy_v3 JPY False False 0.03 -0.08 -0.11 0.0 0.45 -0.45 -0.08 -0.16 -4.16 17.0 -3 -6 caleb_strategy_v3 BOBL False False 0.04 -0.52 -0.09 0.0 0.75 -0.75 -0.52 -0.52 -2.31 19.0 -13 -13 caleb_strategy_v3 CAD False False 0.02 0.00 -0.09 0.0 0.66 -0.66 0.00 0.00 -3.77 29.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.08 0.0 0.09 -0.09 -0.07 -0.07 -10.60 12.0 -10 -10 caleb_strategy_v3 COPPER False False 0.03 0.00 -0.08 0.0 0.18 -0.18 0.00 0.00 -2.62 6.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.07 0.0 0.14 -0.14 -0.02 -0.02 -25.75 51.0 -6 -6 caleb_strategy_v3 US5 False False 0.03 -0.17 -0.07 0.0 0.83 -0.83 -0.17 -0.30 -2.08 25.0 -5 -9 caleb_strategy_v3 AUD False True 0.02 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -2.18 19.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.04 -0.04 0.0 0.12 -0.12 -0.04 -0.04 -1.99 7.0 -2 -2 caleb_strategy_v3 MILK False False 0.01 0.00 -0.04 0.0 0.05 -0.05 0.00 0.00 -4.30 5.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.04 0.0 0.04 -0.04 -0.03 -0.03 -25.48 26.0 -18 -18 caleb_strategy_v3 US10 False False 0.03 0.00 -0.03 0.0 0.59 -0.59 0.00 0.00 -0.95 17.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.03 0.0 0.08 -0.08 -0.04 -0.04 -3.23 9.0 -4 -4 caleb_strategy_v3 REDWHEAT False False 0.01 -0.03 -0.02 0.0 0.07 -0.07 -0.03 -0.03 -2.86 8.0 -3 -3 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -4.19 2.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.37 9.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.05 -0.02 0.0 0.09 -0.09 -0.05 -0.05 -2.53 10.0 -6 -6 caleb_strategy_v3 RUSSELL False False 0.00 0.00 -0.01 0.0 0.22 -0.22 0.00 0.00 -2.87 68.0 0 0 caleb_strategy_v3 DOW False True 0.01 0.09 -0.01 0.0 0.09 0.00 0.09 0.09 -2.34 66.0 15 15 caleb_strategy_v3 RICE False False 0.01 0.00 -0.01 0.0 0.04 -0.04 0.00 0.00 -0.59 4.0 0 0 caleb_strategy_v3 NZD False True 0.02 0.09 -0.01 0.0 0.09 0.00 0.09 0.09 -0.38 21.0 5 5 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.01 0.0 0.45 -0.45 -0.04 -0.04 -0.23 10.0 -1 -1 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.0 0.13 -0.13 0.00 -0.01 -1.39 18.0 0 -1 caleb_strategy_v3 BUXL False False 0.05 0.00 -0.00 0.0 0.18 -0.18 0.00 0.00 -0.07 4.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.00 -0.00 0.0 0.46 -0.46 0.00 0.00 -0.09 13.0 0 0 caleb_strategy_v3 US20 False False 0.04 0.04 0.00 0.0 0.34 -0.34 0.04 0.04 0.12 9.0 1 1 caleb_strategy_v3 COTTON2 False False 0.01 0.00 0.00 0.0 0.16 -0.16 0.00 0.00 0.33 11.0 0 0 caleb_strategy_v3 PLAT False False 0.01 -0.01 0.00 0.0 0.14 -0.14 -0.01 0.00 0.00 10.0 -1 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 -0.00 0.0 0.13 -0.13 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 0.00 0.03 2.0 -1 0 caleb_strategy_v3 US30 False False 0.04 0.00 0.00 0.0 0.24 -0.24 0.00 0.00 0.03 6.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.01 0.0 0.00 -0.00 0.00 0.00 0.50 0.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.01 0.0 0.24 -0.24 0.02 0.02 1.31 23.0 2 2 caleb_strategy_v3 DX False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.28 999999999.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.82 3.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.21 0.01 0.0 0.26 -0.26 0.21 0.23 0.96 23.0 19 20 caleb_strategy_v3 LUMBER-new False False 0.01 0.00 0.01 0.0 0.02 -0.02 0.00 0.00 1.06 3.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 -0.21 0.01 0.0 0.37 -0.37 -0.21 -0.08 1.27 56.0 -31 -12 caleb_strategy_v3 EUR False False 0.04 0.04 0.02 0.0 0.59 -0.59 0.04 0.04 0.37 14.0 1 1 caleb_strategy_v3 COCOA False False 0.02 0.10 0.02 0.0 0.53 -0.53 0.10 0.08 1.07 26.0 5 4 caleb_strategy_v3 SP400 False True 0.09 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.19 2.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 0.00 0.03 0.0 0.10 -0.10 0.00 0.00 0.82 3.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.03 0.03 0.0 0.38 -0.38 0.03 0.03 4.22 48.0 4 4 caleb_strategy_v3 OAT False False 0.04 0.00 0.03 0.0 0.43 -0.43 0.00 0.00 0.61 10.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.03 0.0 0.13 -0.13 0.13 0.13 0.90 4.0 4 4 caleb_strategy_v3 GASOIL False False 0.02 0.05 0.04 0.0 0.10 -0.10 0.05 0.05 1.78 4.0 2 2 caleb_strategy_v3 BTP False False 0.04 0.20 0.05 0.0 0.40 -0.40 0.20 0.20 1.29 10.0 5 5 caleb_strategy_v3 FEEDCOW False False 0.04 0.25 0.05 0.0 0.33 -0.33 0.25 0.25 1.10 8.0 6 6 caleb_strategy_v3 GBP False False 0.02 0.12 0.07 0.0 0.54 -0.54 0.12 0.12 2.89 22.0 5 5 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.07 0.0 0.00 0.00 0.00 0.00 33.66 59.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.10 0.0 0.39 -0.39 0.00 0.00 4.28 17.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.19 0.10 0.0 0.19 0.00 0.19 0.16 3.86 12.0 7 6 caleb_strategy_v3 LEANHOG False False 0.01 0.04 0.10 0.0 0.16 -0.16 0.04 0.05 8.27 13.0 3 4 caleb_strategy_v3 SMI False False 0.04 0.40 0.13 0.0 0.36 -0.36 0.40 0.36 3.31 9.0 10 9 caleb_strategy_v3 EUROSTX False True 0.02 0.22 0.17 0.0 0.22 0.00 0.22 0.20 10.09 20.0 13 12 caleb_strategy_v3 CRUDE_W False False 0.02 0.07 0.17 0.0 0.11 -0.11 0.07 0.07 7.53 5.0 3 3 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.00 0.19 0.0 0.82 -0.82 0.00 0.16 2.29 10.0 0 2 caleb_strategy_v3 DAX False False 0.01 0.00 0.19 0.0 0.35 -0.35 0.00 0.06 31.61 58.0 0 10 caleb_strategy_v3 NIKKEI False False 0.01 0.29 0.32 0.0 0.30 -0.30 0.29 0.29 38.91 36.0 35 35 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.27 0.50 0.0 0.48 -0.48 0.27 0.27 16.67 16.0 9 9 caleb_strategy_v3 MXP False False 0.01 0.54 0.90 0.0 0.55 -0.55 0.54 0.55 98.02 60.0 59 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 26.1 Shocked risk 88.6 Sum abs risk 63.3 Leverage 5.89 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3233202.33, 'annual_cash_vol_target': 808300.5825, 'daily_cash_vol_target': 50518.78640625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0038 0.6569 0.5784 9.2538 BITCOIN 1746.3144 67595.0000 2.5835 41.3359 BOBL 0.2573 118.0600 0.2180 3.4875 BTP 0.5772 119.1400 0.4845 7.7514 BUND 0.5240 133.1200 0.3937 6.2984 BUXL 1.2546 135.3000 0.9273 14.8364 CAC 47.6926 7960.5000 0.5991 9.5858 CAD 0.0028 0.7408 0.3745 5.9913 CANOLA 6.4887 598.8000 1.0836 17.3378 CHF 0.0048 1.1348 0.4247 6.7955 COCOA 137.8327 6572.0000 2.0973 33.5563 COFFEE 3.1725 186.7500 1.6988 27.1804 COPPER 0.0352 3.8890 0.9054 14.4865 CORN 4.6364 461.0000 1.0057 16.0915 COTTON2 1.5109 95.4200 1.5835 25.3353 CRUDE_W 0.8706 73.8400 1.1791 18.8651 DAX 100.5112 18024.0000 0.5577 8.9224 DOW 213.9441 38674.0000 0.5532 8.8512 DX 0.3382 102.9800 0.3284 5.2548 EUR 0.0041 1.0942 0.3710 5.9363 EURIBOR-ICE 0.0470 97.6600 0.0481 0.7697 EUROSTX 31.4696 4925.0000 0.6390 10.2236 FEEDCOW 1.6928 268.6250 0.6302 10.0825 GASOIL 12.0373 783.5000 1.5363 24.5815 GASOLINE 0.0388 2.5087 1.5457 24.7314 GAS_US_mini 0.0866 2.0700 4.1821 66.9129 GBP 0.0051 1.2748 0.4039 6.4626 GOLD_micro 14.1661 2152.5000 0.6581 10.5299 HEATOIL 0.0381 2.5683 1.4838 23.7413 JGB-SGX-mini 0.2352 146.3800 0.1607 2.5709 JPY 0.0000 0.0068 0.5303 8.4851 LEANHOG 1.0028 100.7250 0.9955 15.9287 LIVECOW 1.1838 183.3500 0.6457 10.3307 LUMBER-new 5.9965 607.0000 0.9879 15.8063 MILK 0.2211 16.5700 1.3342 21.3475 MXP 0.0003 0.0591 0.5121 8.1932 NASDAQ_micro 145.6668 18279.2500 0.7969 12.7504 NIKKEI 336.1272 40170.0000 0.8368 13.3882 NZD 0.0038 0.6127 0.6251 10.0015 OAT 0.5194 128.4700 0.4043 6.4687 OATIES 5.8676 350.2500 1.6752 26.8040 OJ 7.0537 373.9000 1.8865 30.1842 PALLAD 30.6529 1048.0000 2.9249 46.7983 PLAT 15.1652 911.2000 1.6643 26.6290 REDWHEAT 9.3740 547.2500 1.7129 27.4068 RICE 0.1823 18.1700 1.0035 16.0553 ROBUSTA 44.6241 3305.0000 1.3502 21.6032 RUSSELL 23.3376 2096.5000 1.1132 17.8107 SHATZ 0.0856 105.7200 0.0810 1.2962 SILVER-mini 0.3425 24.6125 1.3917 22.2677 SMI 66.8432 11468.0000 0.5829 9.3259 SOFR 0.0678 96.5000 0.0703 1.1243 SOYBEAN 9.0705 1142.7500 0.7937 12.6998 SOYMEAL 3.9708 333.2000 1.1917 19.0675 SOYOIL 0.5622 45.8100 1.2271 19.6343 SP400 23.0560 2945.2000 0.7828 12.5253 SP500_micro 30.9098 5107.5000 0.6052 9.6830 SUGAR11 0.3640 21.1500 1.7208 27.5330 US10 0.4103 111.4375 0.3682 5.8912 US10U 0.5537 115.4375 0.4797 7.6749 US2 0.1150 102.5078 0.1122 1.7953 US20 0.8127 121.5000 0.6689 10.7022 US30 1.1919 130.7500 0.9116 14.5850 US5 0.2753 107.4688 0.2561 4.0980 VIX 0.4001 16.2500 2.4625 39.3993 WHEAT 8.2911 571.2500 1.4514 23.2222 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 656.90 0.58 379.93 1.00 379.93 50518.79 132.97 -6.32 -84.04 BITCOIN 67.60 2.58 174.63 1.00 174.63 50518.79 289.29 10.75 310.85 BOBL 1180.60 0.22 257.34 1.08 279.17 50518.79 180.96 -12.57 -227.44 BTP 1191.40 0.48 577.19 1.08 626.16 50518.79 80.68 4.70 37.90 BUND 1331.20 0.39 524.03 1.08 568.49 50518.79 88.86 -2.50 -22.21 BUXL 1353.00 0.93 1254.60 1.08 1361.05 50518.79 37.12 -1.78 -6.62 CAC 796.05 0.60 476.93 1.08 517.39 50518.79 97.64 11.58 113.10 CAD 740.80 0.37 277.40 1.00 277.40 50518.79 182.12 -7.98 -145.24 CANOLA 119.76 1.08 129.77 0.74 95.46 50518.79 529.23 -20.00 -1058.47 CHF 1418.50 0.42 602.46 1.00 602.46 50518.79 83.85 -18.58 -155.80 COCOA 657.20 2.10 1378.33 1.00 1378.33 50518.79 36.65 13.57 49.74 COFFEE 700.31 1.70 1189.68 1.00 1189.68 50518.79 42.46 -1.05 -4.47 COPPER 972.25 0.91 880.28 1.00 880.28 50518.79 57.39 -4.21 -24.18 CORN 230.50 1.01 231.82 1.00 231.82 50518.79 217.92 -20.00 -435.85 COTTON2 477.10 1.58 755.47 1.00 755.47 50518.79 66.87 2.30 15.39 CRUDE_W 738.40 1.18 870.63 1.00 870.63 50518.79 58.03 11.99 69.58 DAX 180.24 0.56 100.51 1.08 109.04 50518.79 463.31 20.00 926.61 DOW 193.37 0.55 106.97 1.00 106.97 50518.79 472.26 -2.13 -100.80 DX 1029.80 0.33 338.21 1.00 338.21 50518.79 149.37 0.73 10.84 EUR 1367.81 0.37 507.48 1.00 507.48 50518.79 99.55 1.43 14.22 EURIBOR-ICE 2441.50 0.05 117.45 1.08 127.42 50518.79 396.49 1.69 67.09 EUROSTX 492.50 0.64 314.70 1.08 341.40 50518.79 147.98 20.00 295.95 FEEDCOW 1343.12 0.63 846.38 1.00 846.38 50518.79 59.69 5.56 33.16 GASOIL 783.50 1.54 1203.73 1.00 1203.73 50518.79 41.97 9.81 41.17 GASOLINE 1053.65 1.55 1628.65 1.00 1628.65 50518.79 31.02 6.71 20.82 GAS_US_mini 51.75 4.18 216.42 1.00 216.42 50518.79 233.43 -10.08 -235.28 GBP 796.75 0.40 321.82 1.00 321.82 50518.79 156.98 7.09 111.25 GOLD_micro 215.25 0.66 141.66 1.00 141.66 50518.79 356.62 1.04 37.22 HEATOIL 1078.69 1.48 1600.59 1.00 1600.59 50518.79 31.56 6.03 19.03 JGB-SGX-mini 146380.00 0.16 23520.08 0.01 156.29 50518.79 323.24 4.76 153.91 JPY 850.31 0.53 450.94 1.00 450.94 50518.79 112.03 -14.30 -160.21 LEANHOG 402.90 1.00 401.11 1.00 401.11 50518.79 125.95 10.80 136.03 LIVECOW 733.40 0.65 473.53 1.00 473.53 50518.79 106.69 12.11 129.19 LUMBER-new 166.92 0.99 164.90 1.00 164.90 50518.79 306.35 1.62 49.49 MILK 331.40 1.33 442.16 1.00 442.16 50518.79 114.25 -17.59 -200.99 MXP 295.45 0.51 151.29 1.00 151.29 50518.79 333.92 20.00 667.83 NASDAQ_micro 365.58 0.80 291.33 1.00 291.33 50518.79 173.41 2.39 41.45 NIKKEI 40170.00 0.84 33612.72 0.01 223.35 50518.79 226.19 15.88 359.28 NZD 612.70 0.63 382.99 1.00 382.99 50518.79 131.90 -1.10 -14.49 OAT 1284.70 0.40 519.40 1.08 563.47 50518.79 89.66 1.99 17.87 OATIES 175.12 1.68 293.38 1.00 293.38 50518.79 172.20 -10.00 -172.14 OJ 560.85 1.89 1058.05 1.00 1058.05 50518.79 47.75 8.03 38.36 PALLAD 1048.00 2.92 3065.29 1.00 3065.29 50518.79 16.48 0.46 0.76 PLAT 455.60 1.66 758.26 1.00 758.26 50518.79 66.62 0.02 0.14 REDWHEAT 273.62 1.71 468.70 1.00 468.70 50518.79 107.79 -20.00 -215.57 RICE 363.40 1.00 364.66 1.00 364.66 50518.79 138.54 -1.75 -24.30 ROBUSTA 330.50 1.35 446.24 1.00 446.24 50518.79 113.21 9.88 111.81 RUSSELL 104.82 1.11 116.69 1.00 116.69 50518.79 432.94 -2.00 -86.54 SHATZ 1057.20 0.08 85.65 1.08 92.91 50518.79 543.72 -16.41 -892.16 SILVER-mini 615.31 1.39 856.35 1.00 856.35 50518.79 58.99 2.49 14.67 SMI 1146.80 0.58 668.43 1.13 754.63 50518.79 66.95 14.51 97.16 SOFR 2412.50 0.07 169.52 1.00 169.52 50518.79 298.00 -3.59 -107.03 SOYBEAN 571.38 0.79 453.52 1.00 453.52 50518.79 111.39 -19.26 -214.49 SOYMEAL 333.20 1.19 397.08 1.00 397.08 50518.79 127.23 -20.00 -254.45 SOYOIL 274.86 1.23 337.29 1.00 337.29 50518.79 149.78 -18.17 -272.18 SP400 2945.20 0.78 2305.60 1.00 2305.60 50518.79 21.91 2.63 5.76 SP500_micro 255.38 0.61 154.55 1.00 154.55 50518.79 326.88 5.56 181.72 SUGAR11 236.88 1.72 407.63 1.00 407.63 50518.79 123.93 -5.29 -65.58 US10 1114.38 0.37 410.31 1.00 410.31 50518.79 123.12 -6.10 -75.12 US10U 1154.38 0.48 553.73 1.00 553.73 50518.79 91.23 -0.78 -7.16 US2 2050.16 0.11 230.04 1.00 230.04 50518.79 219.61 -12.43 -272.88 US20 1215.00 0.67 812.70 1.00 812.70 50518.79 62.16 1.50 9.35 US30 1307.50 0.91 1191.87 1.00 1191.87 50518.79 42.39 0.62 2.63 US5 1074.69 0.26 275.26 1.00 275.26 50518.79 183.53 -8.94 -164.14 VIX 162.50 2.46 400.15 1.00 400.15 50518.79 126.25 -20.00 -252.50 WHEAT 285.62 1.45 414.55 1.00 414.55 50518.79 121.86 -20.00 -243.73 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -84.039 0.010 2.5 -2.180 BITCOIN 310.846 0.043 2.5 33.661 BOBL -227.444 0.004 2.5 -2.306 BTP 37.896 0.014 2.5 1.293 BUND -22.212 0.004 2.5 -0.225 BUXL -6.622 0.004 2.5 -0.067 CAC 113.101 0.014 2.5 3.858 CAD -145.241 0.010 2.5 -3.768 CANOLA -1058.467 0.010 2.5 -25.751 CHF -155.804 0.010 2.5 -4.043 COCOA 49.743 0.009 2.5 1.065 COFFEE -4.468 0.005 2.5 -0.052 COPPER -24.183 0.043 2.5 -2.619 CORN -435.849 0.010 2.5 -10.604 COTTON2 15.388 0.009 2.5 0.330 CRUDE_W 69.582 0.043 2.5 7.535 DAX 926.613 0.014 2.5 31.605 DOW -100.804 0.009 2.5 -2.343 DX 10.836 0.010 2.5 0.281 EUR 14.215 0.010 2.5 0.369 EURIBOR-ICE 67.086 0.014 2.5 2.288 EUROSTX 295.953 0.014 2.5 10.095 FEEDCOW 33.163 0.013 2.5 1.099 GASOIL 41.165 0.017 2.5 1.784 GASOLINE 20.816 0.017 2.5 0.902 GAS_US_mini -235.276 0.043 2.5 -25.478 GBP 111.251 0.010 2.5 2.887 GOLD_micro 37.224 0.014 2.5 1.270 HEATOIL 19.026 0.017 2.5 0.825 JGB-SGX-mini 153.908 0.043 2.5 16.666 JPY -160.209 0.010 2.5 -4.157 LEANHOG 136.030 0.024 2.5 8.267 LIVECOW 129.190 0.013 2.5 4.281 LUMBER-new 49.493 0.009 2.5 1.059 MILK -200.992 0.009 2.5 -4.305 MXP 667.831 0.059 2.5 98.020 NASDAQ_micro 41.452 0.009 2.5 0.963 NIKKEI 359.279 0.043 2.5 38.906 NZD -14.490 0.010 2.5 -0.376 OAT 17.869 0.014 2.5 0.609 OATIES -172.139 0.010 2.5 -4.188 OJ 38.360 0.009 2.5 0.822 PALLAD 0.759 0.014 2.5 0.026 PLAT 0.140 0.014 2.5 0.005 REDWHEAT -215.570 0.005 2.5 -2.860 RICE -24.296 0.010 2.5 -0.591 ROBUSTA 111.813 0.005 2.5 1.306 RUSSELL -86.540 0.013 2.5 -2.868 SHATZ -892.161 0.004 2.5 -9.047 SILVER-mini 14.668 0.014 2.5 0.500 SMI 97.162 0.014 2.5 3.314 SOFR -107.027 0.024 2.5 -6.505 SOYBEAN -214.493 0.004 2.5 -1.995 SOYMEAL -254.451 0.004 2.5 -2.367 SOYOIL -272.181 0.004 2.5 -2.534 SP400 5.764 0.013 2.5 0.191 SP500_micro 181.719 0.009 2.5 4.223 SUGAR11 -65.576 0.009 2.5 -1.395 US10 -75.123 0.005 2.5 -0.952 US10U -7.159 0.005 2.5 -0.091 US2 -272.885 0.005 2.5 -3.458 US20 9.354 0.005 2.5 0.119 US30 2.633 0.005 2.5 0.033 US5 -164.136 0.005 2.5 -2.080 VIX -252.500 0.099 2.5 -62.328 WHEAT -243.727 0.005 2.5 -3.233 ===================== Position diags ===================== AUD 3.45 BITCOIN 31.33 BOBL 1.84 BTP 2.75 BUND 0.90 BUXL 0.38 CAC 3.33 CAD 4.73 CANOLA 12.88 CHF 2.18 COCOA 0.78 COFFEE 0.50 COPPER 6.21 CORN 5.30 COTTON2 1.43 CRUDE_W 6.28 DAX 15.80 DOW 10.98 DX 3.88 EUR 2.58 EURIBOR-ICE 13.52 EUROSTX 5.05 FEEDCOW 1.98 GASOIL 1.82 GASOLINE 1.34 GAS_US_mini 25.28 GBP 4.07 GOLD_micro 12.16 HEATOIL 1.37 JGB-SGX-mini 35.00 JPY 2.91 LEANHOG 7.65 LIVECOW 3.54 LUMBER-new 6.55 MILK 2.45 MXP 49.01 NASDAQ_micro 4.03 NIKKEI 24.49 NZD 3.42 OAT 3.06 OATIES 4.19 OJ 1.02 PALLAD 0.56 PLAT 2.27 REDWHEAT 1.43 RICE 3.37 ROBUSTA 1.32 RUSSELL 14.35 SHATZ 5.51 SILVER-mini 2.01 SMI 2.28 SOFR 18.11 SOYBEAN 1.04 SOYMEAL 1.18 SOYOIL 1.39 SP400 0.73 SP500_micro 7.60 SUGAR11 2.64 US10 1.56 US10U 1.16 US2 2.78 US20 0.79 US30 0.54 US5 2.33 VIX 31.16 WHEAT 1.62 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.2 -2.5 -1.8 0.0 0 BITCOIN 33.7 30.5 36.8 0.0 0 BOBL -2.3 -2.5 -2.1 -13.0 -13 BTP 1.3 1.0 1.6 5.0 5 BUND -0.2 -0.3 -0.1 -1.0 -1 BUXL -0.1 -0.1 -0.0 0.0 0 CAC 3.9 3.5 4.2 7.0 7 CAD -3.8 -4.2 -3.3 0.0 0 CANOLA -25.8 -27.0 -24.5 -6.0 -6 CHF -4.0 -4.3 -3.8 -9.0 -9 COCOA 1.1 1.0 1.1 5.0 5 COFFEE -0.1 -0.1 -0.0 0.0 0 COPPER -2.6 -3.2 -2.0 0.0 0 CORN -10.6 -11.1 -10.1 -10.0 -10 COTTON2 0.3 0.2 0.5 0.0 0 CRUDE_W 7.5 6.9 8.2 3.0 3 DAX 31.6 30.0 33.2 0.0 0 DOW -2.3 -3.4 -1.2 15.0 15 DX 0.3 -0.1 0.7 NaN 0 EUR 0.4 0.1 0.6 1.0 1 EURIBOR-ICE 2.3 0.9 3.6 0.0 0 EUROSTX 10.1 9.6 10.6 13.0 13 FEEDCOW 1.1 0.9 1.3 6.0 6 GASOIL 1.8 1.6 2.0 2.0 2 GASOLINE 0.9 0.8 1.0 4.0 4 GAS_US_mini -25.5 -28.0 -22.9 -18.0 -18 GBP 2.9 2.5 3.3 5.0 5 GOLD_micro 1.3 0.1 2.5 -31.0 -31 HEATOIL 0.8 0.7 1.0 0.0 0 JGB-SGX-mini 16.7 13.2 20.2 9.0 9 JPY -4.2 -4.4 -3.9 -3.0 -3 LEANHOG 8.3 7.5 9.0 3.0 3 LIVECOW 4.3 3.9 4.6 0.0 0 LUMBER-new 1.1 0.4 1.7 NaN 0 MILK -4.3 -4.5 -4.1 NaN 0 MXP 98.0 93.1 102.9 59.0 59 NASDAQ_micro 1.0 0.6 1.4 19.0 19 NIKKEI 38.9 36.5 41.4 35.0 35 NZD -0.4 -0.7 -0.0 5.0 5 OAT 0.6 0.3 0.9 0.0 0 OATIES -4.2 -4.6 -3.8 NaN 0 OJ 0.8 0.7 0.9 NaN 0 PALLAD 0.0 -0.0 0.1 -1.0 -1 PLAT 0.0 -0.2 0.2 -1.0 -1 REDWHEAT -2.9 -3.0 -2.7 -3.0 -3 RICE -0.6 -0.9 -0.3 NaN 0 ROBUSTA 1.3 1.2 1.4 2.0 2 RUSSELL -2.9 -4.3 -1.4 0.0 0 SHATZ -9.0 -9.6 -8.5 NaN 0 SILVER-mini 0.5 0.3 0.7 NaN 0 SMI 3.3 3.1 3.5 10.0 10 SOFR -6.5 -8.3 -4.7 NaN 0 SOYBEAN -2.0 -2.1 -1.9 -2.0 -2 SOYMEAL -2.4 -2.5 -2.2 0.0 0 SOYOIL -2.5 -2.7 -2.4 -6.0 -6 SP400 0.2 0.1 0.3 0.0 0 SP500_micro 4.2 3.5 5.0 4.0 4 SUGAR11 -1.4 -1.7 -1.1 0.0 0 US10 -1.0 -1.1 -0.8 0.0 0 US10U -0.1 -0.2 0.0 0.0 0 US2 -3.5 -3.7 -3.2 NaN 0 US20 0.1 0.0 0.2 1.0 1 US30 0.0 -0.0 0.1 0.0 0 US5 -2.1 -2.3 -1.8 -5.0 -5 VIX -62.3 -65.4 -59.2 -16.0 -16 WHEAT -3.2 -3.4 -3.1 -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 0.1 -0.4 0.2 -0.0 0.0 0.0 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.2 -0.1 0.4 -0.0 0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.3 -0.2 -0.7 -0.3 -0.3 0.0 BITCOIN 0.6 0.2 0.3 -0.0 0.2 -0.1 0.1 -0.1 0.0 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 -2.7 0.1 0.1 0.2 0.1 0.2 0.1 -0.1 0.5 0.6 0.6 0.6 -0.2 0.1 0.5 0.2 BOBL -0.5 -0.6 0.3 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.4 -0.3 -0.4 -0.4 -0.1 -0.0 -0.0 -0.1 -0.1 0.9 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.2 -0.3 -0.2 -0.2 -0.7 -0.7 0.1 -0.7 BTP -0.0 -0.3 0.6 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.3 0.1 0.3 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 -2.2 0.0 0.1 0.1 0.1 0.2 0.0 0.6 0.3 0.4 0.4 0.3 -0.5 -0.6 0.6 0.1 BUND -0.3 -0.6 0.5 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.0 0.0 -0.0 -0.1 -0.0 -0.0 0.1 0.0 0.0 -0.0 0.0 0.0 -0.0 -0.0 0.6 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.3 -0.1 -0.1 -0.1 -0.1 -0.6 -0.7 0.3 -0.4 BUXL -0.1 -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 -0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 -0.0 0.0 -0.0 0.1 0.0 0.0 -0.0 0.0 0.0 0.0 0.1 0.0 0.1 -0.7 -0.7 0.2 0.1 CAC 0.6 0.6 0.6 0.1 0.0 0.2 0.1 0.2 0.1 0.0 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 -1.4 0.1 0.0 0.2 0.1 0.2 0.1 -0.0 -0.2 0.2 0.1 -0.1 -0.1 0.5 -0.0 0.7 CAD -0.2 -0.3 0.3 -0.0 0.0 0.1 0.0 0.1 -0.0 -0.0 -0.1 -0.2 -0.2 -0.2 -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 -0.1 -0.1 0.0 -0.3 -0.3 -0.1 -0.1 -0.5 -0.5 0.0 -0.4 CANOLA 0.3 -0.2 -0.6 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.3 0.0 -0.3 -0.1 -0.1 -0.3 -0.1 -0.3 -0.2 -0.2 -0.2 0.0 -0.5 -0.1 -2.7 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.5 0.2 -0.1 -0.6 -0.6 -0.7 -0.7 -0.6 -0.3 CHF -0.4 -0.6 0.0 -0.0 0.0 0.0 0.0 0.1 -0.0 -0.1 -0.1 -0.2 0.1 -0.2 -0.1 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.1 0.1 -0.2 -0.6 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -1.1 -0.3 -0.6 -0.6 0.0 -0.7 -0.6 -0.3 -0.6 COCOA -0.5 -0.0 -0.4 0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 0.3 0.1 0.3 0.1 0.1 0.4 0.2 0.4 0.3 0.2 0.2 0.1 0.3 0.2 -1.7 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.5 0.6 0.6 0.6 0.4 0.1 0.7 0.7 COFFEE -0.3 -0.0 0.4 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.1 0.3 -0.0 0.2 0.0 0.0 0.4 0.2 0.4 0.3 0.0 0.1 0.0 0.2 -0.0 -2.7 0.0 0.0 0.1 0.0 0.2 -0.0 1.1 -0.0 0.2 -0.5 0.4 -0.3 -0.7 -0.1 -0.4 COPPER 0.3 0.1 0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.0 0.1 -0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.1 -0.1 0.1 -1.8 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 -0.5 -0.3 0.0 0.4 -0.7 -0.1 0.4 0.1 CORN 0.1 -0.1 -0.3 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.5 -0.0 -0.7 -0.1 -0.2 -0.4 -0.1 -0.3 -0.2 -0.2 -0.2 -0.0 -0.5 -0.2 -2.5 -0.1 0.0 -0.2 -0.0 -0.2 -0.1 -0.6 0.2 -0.6 -0.6 -0.6 -0.2 -0.7 -0.1 -0.0 COTTON2 0.1 0.6 0.4 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.2 0.0 0.1 0.1 0.1 0.1 -0.0 -0.0 -0.1 0.2 0.1 0.0 0.1 0.2 -2.7 0.1 -0.0 0.1 0.0 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 0.2 -0.1 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.0 0.2 0.3 0.2 0.1 0.2 0.2 0.2 0.2 0.1 0.0 0.0 0.3 0.1 -0.7 0.1 0.0 0.1 0.1 0.3 0.1 -0.1 0.1 0.5 -0.2 0.0 0.7 0.6 0.7 0.7 DAX 0.6 0.5 0.6 0.1 0.0 0.2 0.1 0.2 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 2.4 0.1 0.0 0.2 0.1 0.2 0.1 -0.6 0.5 0.4 0.0 0.2 -0.1 0.4 0.1 0.7 DOW -0.2 0.0 0.6 0.1 0.0 0.1 0.1 0.1 0.1 -0.1 0.5 0.0 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 -0.0 0.5 0.1 -1.9 0.1 -0.0 0.2 -0.0 0.3 0.0 -0.4 -0.5 -0.6 -0.2 0.4 -0.2 -0.2 0.0 -0.5 DX -0.1 0.4 -0.1 -0.0 0.0 0.1 0.0 0.1 -0.0 -0.2 0.2 -0.2 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.0 -0.1 0.1 0.0 -2.7 0.0 -0.1 0.0 -0.0 0.1 0.0 0.8 -0.5 0.0 0.6 -0.6 0.6 0.1 0.7 0.3 EUR 0.2 -0.3 0.0 -0.0 0.0 0.1 0.0 0.1 -0.0 0.2 -0.1 0.2 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 0.0 2.6 -0.0 0.1 -0.0 0.1 -0.0 0.0 -0.4 0.3 0.5 0.1 -0.2 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.5 -0.6 0.6 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.1 -0.0 0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 0.0 0.1 -0.0 1.9 -0.0 0.0 0.0 0.0 0.1 -0.0 -0.2 -0.1 -0.2 -0.1 0.1 -0.7 -0.7 0.2 0.7 EUROSTX 0.5 0.6 0.6 0.1 0.0 0.2 0.1 0.2 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 0.5 0.2 0.2 0.1 0.0 0.2 0.1 0.2 0.1 0.9 0.2 0.4 0.6 0.3 -0.3 0.5 -0.2 0.7 FEEDCOW -0.0 0.6 0.2 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.0 0.0 0.1 0.0 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.1 0.1 0.2 0.2 -1.0 0.1 -0.0 0.1 0.0 0.1 0.0 -1.1 -0.1 0.3 0.6 0.4 0.7 0.4 0.7 0.7 GASOIL -0.2 0.5 -0.1 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.2 -0.1 0.4 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 0.0 -0.0 0.1 0.2 -0.4 -0.2 -0.7 -0.4 GASOLINE 0.0 0.5 0.0 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 0.1 0.0 0.3 0.2 0.2 0.2 0.2 -0.1 -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 -0.6 0.1 0.6 0.2 0.5 0.7 0.5 0.7 0.5 GAS_US_mini 0.3 -0.2 -0.4 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.3 0.1 -0.4 -0.1 -0.1 -0.4 -0.4 -0.2 -0.3 -0.1 -0.2 0.0 -0.5 -0.0 2.5 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -1.1 0.1 -0.4 -0.6 -0.6 -0.4 -0.0 -0.7 -0.2 GBP 0.1 -0.1 0.3 -0.0 0.0 0.1 0.0 0.2 -0.0 0.2 0.1 0.2 0.4 0.1 0.2 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.1 0.2 0.1 0.4 0.0 0.1 0.1 0.1 0.1 0.0 0.2 0.4 0.5 0.5 0.3 -0.7 -0.2 -0.7 0.1 GOLD_micro 0.5 -0.0 0.1 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.2 0.3 0.2 0.3 0.1 0.1 -0.3 -0.3 -0.3 -0.3 0.1 0.1 0.2 0.2 0.2 -0.5 0.0 0.2 0.1 0.2 0.1 0.1 -0.8 0.5 0.5 0.6 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL -0.3 0.3 -0.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 0.0 -0.1 0.2 0.0 0.1 0.4 0.4 0.4 0.4 0.0 0.1 -0.0 0.2 0.0 -2.7 0.1 -0.0 0.1 -0.0 0.3 0.0 1.1 -0.0 0.1 0.1 0.3 0.6 0.1 0.5 0.0 JGB-SGX-mini -0.0 -0.3 0.4 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 0.1 0.1 0.2 -0.0 0.0 0.3 0.3 0.3 0.3 0.0 0.0 0.0 0.1 0.0 -0.7 0.0 0.0 0.0 0.0 0.0 0.0 1.1 -0.1 0.2 0.2 0.1 -0.2 -0.7 0.1 0.3 JPY -0.2 -0.5 -0.1 -0.0 0.0 0.0 0.0 0.1 -0.0 0.1 -0.4 -0.1 -0.6 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.0 -0.5 -0.1 2.7 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.0 -0.4 -0.5 -0.4 -0.6 -0.5 -0.5 -0.6 LEANHOG 0.5 0.6 0.3 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.1 0.2 0.2 -0.5 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.1 0.2 -0.3 0.2 2.5 0.1 0.0 0.2 0.1 -0.0 0.1 -1.1 0.5 0.6 0.6 0.6 -0.3 -0.3 0.2 0.4 LIVECOW 0.3 0.6 0.1 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.1 0.1 0.2 0.1 0.2 0.2 0.4 -0.1 0.0 -0.1 0.2 0.1 0.1 0.1 0.2 -0.6 0.1 0.0 0.1 0.0 0.1 0.1 -0.2 0.1 0.6 0.6 0.2 0.7 0.1 0.7 0.4 LUMBER-new 0.4 0.2 0.5 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.2 0.3 0.2 -0.5 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.1 0.2 0.0 0.2 NaN 0.1 0.1 0.2 0.2 0.1 0.1 -1.2 0.6 0.7 0.2 0.7 -0.4 -0.8 -0.3 -0.5 MILK -0.2 0.6 0.0 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.5 -0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.2 -0.5 -0.1 1.4 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -1.1 -0.5 -0.5 -0.1 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.2 0.1 0.4 -0.0 0.0 0.1 0.0 0.1 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.4 0.3 0.3 0.3 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.3 0.1 0.5 0.1 1.1 0.4 0.6 0.6 0.3 0.7 0.7 0.7 0.7 NASDAQ_micro -0.2 0.2 0.5 0.1 0.0 0.1 0.0 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 0.1 -2.7 0.1 -0.0 0.2 0.0 0.2 0.0 -0.4 -0.1 -0.3 0.4 0.4 0.4 -0.1 0.7 -0.2 NIKKEI 0.5 0.6 0.6 0.1 0.0 0.2 0.1 0.1 0.1 0.1 0.5 0.2 0.7 0.2 0.2 0.2 0.2 0.3 0.3 0.2 0.2 0.2 0.5 0.2 -2.3 0.1 0.0 0.2 0.1 0.2 0.1 1.1 0.5 0.6 0.6 0.6 -0.7 -0.2 -0.2 -0.1 NZD 0.0 -0.3 0.3 -0.0 0.0 0.0 0.0 0.1 -0.0 -0.1 0.1 -0.0 -0.0 -0.1 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.2 -0.4 0.1 -0.1 0.0 -0.3 -0.3 -0.1 0.1 OAT -0.2 -0.5 0.5 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.1 0.0 0.0 -0.1 -0.0 0.1 0.1 0.1 0.1 -0.0 0.0 0.0 0.0 -0.0 0.7 -0.0 0.0 0.0 0.0 0.0 -0.0 0.6 0.0 0.0 -0.0 0.0 -0.7 -0.7 0.3 0.1 OATIES 0.0 0.1 -0.4 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.3 -0.0 -0.4 -0.0 -0.0 0.2 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -2.7 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.2 -0.3 0.0 0.0 0.4 OJ 0.2 0.4 -0.6 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.0 0.2 0.0 0.3 0.1 0.0 0.1 0.3 0.2 0.2 0.1 0.1 0.0 0.5 0.1 -2.7 0.0 0.0 0.1 0.0 0.3 0.0 1.1 0.1 0.1 0.5 0.1 0.3 0.3 0.5 0.7 PALLAD 0.6 0.2 0.5 -0.0 0.1 -0.0 0.0 -0.0 0.0 0.0 -0.2 0.1 -0.3 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.3 0.0 1.2 -0.0 0.1 -0.1 0.0 -0.2 0.0 0.4 -0.0 -0.1 -0.1 -0.1 -0.5 -0.3 -0.4 -0.2 PLAT 0.1 -0.2 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 -0.2 0.0 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 -0.0 1.4 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 -0.3 -0.3 -0.2 0.1 -0.4 -0.1 0.7 0.2 REDWHEAT -0.3 -0.1 -0.2 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 0.2 0.0 0.1 0.0 -0.2 -0.2 -0.1 -0.5 -0.2 -1.3 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 0.2 -0.4 -0.6 -0.6 -0.6 -0.5 -0.7 -0.4 -0.7 RICE -0.4 0.1 0.3 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.4 -0.2 0.6 0.0 0.1 -0.1 -0.1 -0.2 -0.2 0.1 0.2 -0.1 0.4 -0.0 -2.5 0.0 -0.1 0.1 -0.0 0.2 0.0 -0.3 -0.3 0.1 0.2 0.5 0.2 -0.2 0.4 0.1 ROBUSTA -0.6 0.3 0.6 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.1 0.4 0.1 0.6 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.1 -2.7 0.1 0.1 0.2 0.0 0.3 0.0 1.1 0.4 0.6 0.6 0.6 -0.7 -0.6 -0.3 0.0 RUSSELL 0.3 0.1 0.6 0.0 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.1 0.1 0.1 -0.3 0.0 0.0 0.1 0.0 0.1 0.0 0.0 -0.1 -0.0 -0.3 -0.1 -0.6 -0.7 -0.7 -0.7 SHATZ -0.6 -0.6 0.2 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -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 -0.1 1.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.3 -0.5 -0.4 -0.2 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.4 -0.0 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.1 0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.2 -0.1 0.1 0.7 0.0 0.1 -0.0 0.1 -0.0 0.1 -0.1 0.2 0.4 0.3 0.1 -0.7 -0.6 0.6 -0.1 SMI 0.4 0.2 0.6 0.1 0.0 0.2 0.1 0.1 0.1 0.1 0.5 0.2 0.3 0.2 0.2 0.2 0.1 0.2 0.2 0.2 0.1 0.1 0.2 0.2 1.9 0.1 0.1 0.2 0.1 0.1 0.1 1.1 -0.5 -0.5 -0.6 -0.4 0.3 -0.2 0.6 -0.3 SOFR -0.2 -0.5 0.4 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.1 0.0 -0.0 -0.1 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.3 -0.0 0.0 0.0 0.0 0.0 -0.0 0.1 0.1 -0.1 0.1 0.1 -0.7 -0.7 -0.1 -0.1 SOYBEAN -0.2 -0.6 -0.6 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.5 -0.1 -0.2 -0.2 -0.2 0.1 0.3 0.2 0.2 -0.2 -0.2 -0.0 -0.5 -0.2 -2.7 -0.1 0.0 -0.2 -0.0 -0.1 -0.1 1.1 -0.1 -0.6 -0.6 -0.6 -0.3 -0.7 -0.2 -0.7 SOYMEAL -0.3 -0.6 -0.6 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.0 -0.4 -0.1 -0.4 -0.2 -0.2 -0.1 0.2 0.0 0.1 -0.2 -0.2 -0.1 -0.4 -0.2 -2.7 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 1.0 -0.3 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.2 -0.2 -0.6 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.4 -0.1 -0.5 -0.1 -0.2 -0.1 0.1 -0.1 -0.0 -0.2 -0.2 -0.1 -0.5 -0.1 -2.7 -0.1 0.0 -0.2 -0.0 -0.2 -0.0 0.3 0.0 0.0 -0.6 -0.3 -0.5 -0.2 -0.3 0.2 SP400 0.5 0.3 0.6 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.4 0.2 0.4 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.3 0.2 -1.6 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 -0.1 0.0 -0.6 -0.3 -0.5 -0.7 SP500_micro 0.1 0.4 0.6 0.1 0.0 0.1 0.0 0.1 0.1 0.0 0.5 0.1 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.1 -0.5 -0.1 -0.1 0.6 0.6 0.1 -0.1 0.6 -0.2 SUGAR11 -0.4 0.2 -0.6 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.2 -0.1 -0.1 0.2 0.4 0.3 0.4 -0.1 -0.1 -0.1 0.0 -0.1 -2.7 -0.0 -0.0 -0.1 -0.1 0.0 -0.0 1.1 -0.5 -0.4 -0.3 -0.6 0.5 0.0 0.7 0.4 US10 -0.2 -0.4 0.4 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.0 0.0 -0.1 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 -0.0 0.0 -0.1 -0.0 0.3 -0.0 0.0 0.0 0.0 -0.0 -0.0 -0.7 0.1 -0.1 0.1 0.1 -0.7 -0.7 -0.5 0.3 US10U -0.2 -0.4 0.4 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.0 0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.2 -0.0 -0.1 0.0 0.1 0.0 0.0 -0.0 -0.0 0.1 0.1 -0.0 0.2 0.1 -0.7 -0.7 0.3 0.7 US2 -0.5 -0.6 0.5 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.2 -0.1 -0.0 -0.4 -0.4 -0.4 -0.4 -0.1 -0.0 -0.0 -0.2 -0.1 1.2 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -1.1 -0.1 -0.3 -0.0 -0.0 -0.7 -0.7 -0.5 -0.7 US20 -0.1 -0.3 0.5 -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 -0.0 0.1 -0.1 0.0 -0.2 0.0 0.1 0.0 0.0 -0.0 0.0 -0.0 0.2 0.1 0.2 0.2 -0.7 -0.7 0.7 0.7 US30 -0.0 -0.2 0.5 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.0 0.1 -0.1 -0.0 0.0 -0.2 -0.1 -0.2 -0.1 -0.0 -0.0 0.1 -0.2 0.0 -0.1 0.0 0.1 0.0 0.1 -0.1 0.0 -0.5 0.3 0.2 0.3 0.1 -0.5 -0.6 0.7 0.7 US5 -0.3 -0.5 0.4 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.1 0.0 0.0 -0.1 -0.1 -0.0 -0.2 -0.2 -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 -0.9 -0.0 -0.2 0.0 0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.2 0.2 -0.5 -0.1 0.1 -0.4 -0.0 -0.8 -0.1 0.1 -0.9 -0.2 -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 -0.2 0.1 -0.5 -0.0 -1.0 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT -0.4 -0.3 -0.0 0.0 0.0 0.0 -0.0 -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 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.8 -0.5 -0.6 -0.6 -0.6 -0.6 -0.7 -0.4 -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 1.7 -11.8 4.6 -1.4 4.0 1.7 0.9 3.5 -1.8 8.4 -4.9 6.8 -10.4 -11.1 -9.2 -3.1 -2.9 -2.9 -2.9 -6.5 -3.8 0.3 -5.8 -5.4 2.7 -3.5 5.6 -1.8 0.1 -2.2 -3.1 -1.2 -5.5 1.3 -9.2 -7.1 -20.0 -10.4 -9.2 0.6 BITCOIN 20.0 6.2 8.0 -1.5 17.9 -3.5 12.1 -2.4 4.6 18.6 20.0 20.0 20.0 20.0 20.0 -9.2 -6.9 -8.5 -8.0 20.0 20.0 20.0 20.0 20.0 -20.0 8.4 9.3 6.5 11.9 4.9 10.9 -2.4 20.0 20.0 20.0 20.0 -6.6 1.6 13.9 5.5 BOBL -15.0 -20.0 10.2 -0.6 2.8 0.2 1.4 -0.7 -0.6 4.9 -0.3 -4.0 -1.7 -7.8 -5.2 -20.0 -17.0 -20.0 -20.0 -6.5 -1.6 -1.8 -2.3 -7.6 6.6 -1.9 1.6 -0.3 -0.4 -0.4 -2.2 -20.0 -6.5 -8.5 -7.1 -4.8 -20.0 -20.0 2.8 -20.0 BTP -1.3 -9.1 19.1 -1.0 4.8 0.4 2.4 -1.3 -1.0 13.7 9.5 10.6 9.3 1.1 6.7 4.1 6.4 4.7 5.2 6.7 11.2 13.0 8.5 5.6 -16.7 3.4 13.2 5.3 7.7 4.3 3.3 11.2 11.4 13.3 12.3 9.2 -14.3 -18.5 17.7 2.7 BUND -8.8 -18.1 14.6 -0.6 3.1 0.2 1.5 -0.8 -0.6 6.9 1.3 0.6 -1.0 -7.4 -2.6 -1.3 3.9 1.8 2.3 -3.3 0.6 1.7 -1.5 -4.0 4.1 -1.2 3.7 0.4 1.1 -0.1 -1.4 6.4 -2.2 -2.7 -3.0 -1.8 -18.7 -20.0 8.5 -10.9 BUXL -2.5 -13.9 17.7 -0.8 3.9 0.3 1.9 -1.0 -0.8 9.2 2.6 5.2 -4.5 -6.8 -1.1 -3.9 -0.0 -1.6 -0.7 -1.2 1.4 5.4 -3.6 -1.0 0.2 -0.2 6.5 1.0 3.3 -0.5 0.0 0.9 1.5 4.4 0.2 1.7 -20.0 -20.0 5.6 2.4 CAC 18.5 19.1 17.2 8.2 3.5 6.7 6.1 4.4 7.9 5.2 20.0 20.0 20.0 20.0 20.0 -7.6 -5.7 -8.2 -7.5 20.0 20.0 20.0 20.0 20.0 -10.5 8.7 2.0 6.9 5.7 5.1 8.6 -0.3 -8.6 4.8 3.6 -4.1 -3.7 14.5 -0.4 20.0 CAD -6.3 -7.9 8.6 -1.6 4.6 2.0 1.0 4.0 -2.1 -2.6 -2.7 -14.4 -4.3 -19.2 -4.0 -2.2 -2.2 -2.1 -2.1 -5.9 -1.8 -7.0 -3.9 -9.8 0.1 -3.8 2.4 -1.2 -4.4 -2.1 -6.3 0.0 -12.1 -10.5 -4.3 -3.8 -15.3 -14.2 0.9 -12.7 CANOLA 8.2 -7.7 -20.0 0.7 0.1 0.2 -0.7 -1.5 -0.4 9.5 -10.7 3.2 -9.6 -6.3 -10.0 -16.9 -4.4 -13.5 -10.5 -16.7 -20.0 1.8 -19.6 -7.1 -20.0 -4.0 1.3 -4.8 0.1 -4.5 -2.0 -8.9 9.1 -2.8 -20.0 -20.0 -20.0 -20.0 -18.0 -7.9 CHF -12.5 -20.0 1.3 -1.3 3.7 1.6 0.8 3.3 -1.7 -7.5 -2.2 -14.7 3.4 -17.9 -11.9 -15.0 -15.5 -15.4 -15.6 -14.8 -4.8 -10.8 2.1 -17.5 -4.8 -3.7 -1.2 -0.2 -3.6 1.5 -5.3 -20.0 -12.3 -20.0 -20.0 0.5 -20.0 -17.0 -8.5 -18.7 COCOA -15.9 -0.7 -11.1 0.6 0.1 0.1 -0.6 -1.3 -0.3 7.2 9.4 7.8 9.5 8.5 9.0 20.0 8.6 20.0 15.6 19.6 15.5 15.9 11.2 20.0 -12.6 3.3 1.0 3.1 1.7 2.7 2.7 20.0 20.0 20.0 20.0 20.0 12.1 2.5 20.0 19.7 COFFEE -9.1 -0.6 13.0 1.3 0.2 0.3 -1.3 -2.9 -0.7 12.0 10.2 -2.3 6.3 1.2 4.6 20.0 8.5 17.9 12.5 4.3 9.8 2.0 6.7 -0.6 -20.0 1.6 5.0 5.5 1.7 5.4 -0.6 20.0 -1.3 4.9 -14.6 12.8 -9.8 -20.0 -4.1 -12.3 COPPER 10.2 2.0 5.3 -1.3 16.3 -3.2 11.0 -2.2 4.1 -5.7 -0.1 11.9 -6.9 9.5 5.8 -5.0 -4.9 -5.6 -5.7 4.6 2.1 6.4 -2.3 6.8 -13.8 0.1 2.6 -0.1 2.1 -1.2 1.3 1.2 -20.0 -9.5 1.0 12.9 -20.0 -2.7 11.8 3.7 CORN 3.6 -2.9 -9.1 1.4 0.2 0.3 -1.4 -3.1 -0.7 10.0 -20.0 -3.4 -20.0 -13.1 -18.7 -19.2 -6.5 -15.8 -12.1 -20.0 -20.0 -3.8 -20.0 -15.1 -18.6 -7.7 0.1 -7.0 -2.1 -5.7 -5.7 -12.0 7.8 -20.0 -20.0 -20.0 -5.0 -20.0 -3.1 -0.5 COTTON2 2.7 20.0 13.8 1.1 0.1 0.2 -1.1 -2.4 -0.6 -7.8 7.5 2.4 3.7 10.5 12.1 4.8 -0.9 -1.2 -2.7 18.7 11.1 4.9 3.2 16.9 -20.0 5.5 -0.4 3.4 2.4 1.6 5.2 0.2 20.0 20.0 20.0 20.0 -17.5 -13.7 -8.1 1.3 CRUDE_W 3.9 6.5 -4.3 3.9 0.5 2.6 0.6 2.9 2.7 15.8 1.1 17.1 7.9 14.8 7.3 11.6 9.7 9.7 9.4 5.1 4.4 4.9 9.7 6.8 -5.0 5.2 3.2 4.2 4.6 7.6 6.5 -1.1 2.8 15.4 -6.5 0.1 20.0 19.3 20.0 20.0 DAX 18.4 14.2 20.0 7.9 3.4 6.5 5.9 4.3 7.6 20.0 20.0 20.0 20.0 20.0 20.0 -15.3 -11.5 -15.2 -13.7 20.0 20.0 20.0 20.0 20.0 17.9 8.7 5.4 7.0 9.3 5.0 9.8 -10.3 20.0 11.4 0.8 7.4 -3.5 13.2 3.8 20.0 DOW -6.0 0.1 20.0 6.3 2.7 5.2 4.7 3.4 6.1 -12.8 20.0 3.7 18.7 14.4 19.4 -13.4 -10.7 -13.0 -12.1 20.0 20.0 -2.2 20.0 9.9 -14.5 6.9 -4.1 8.7 -1.0 7.4 2.8 -8.4 -20.0 -20.0 -5.7 13.1 -6.0 -4.9 1.1 -13.6 DX -2.3 12.3 -3.4 -1.5 4.4 1.9 0.9 3.8 -2.0 -19.5 5.9 -18.8 0.1 6.9 7.4 6.8 6.2 6.4 6.3 6.2 4.1 -8.1 4.5 1.9 -20.0 2.0 -8.6 1.0 -4.3 2.1 0.4 14.5 -19.0 0.6 20.0 -20.0 17.4 2.4 20.0 8.5 EUR 6.3 -9.2 1.5 -1.6 4.6 2.0 1.0 4.0 -2.1 20.0 -5.2 20.0 0.4 -3.1 -8.6 -6.8 -6.7 -6.4 -6.3 -3.4 -3.3 11.1 -3.0 2.5 19.5 -0.2 9.2 -0.0 6.1 -0.3 2.1 -7.4 12.0 15.3 3.9 -5.1 -20.0 -14.8 -20.0 -11.2 EURIBOR-ICE -14.9 -20.0 19.3 -0.5 2.6 0.2 1.3 -0.7 -0.5 5.9 3.6 -0.8 2.9 -6.2 -0.1 -1.5 -3.7 -0.4 -1.7 -1.9 4.8 0.8 4.1 -4.4 14.5 -0.4 2.5 1.8 0.5 1.6 -1.3 -3.8 -3.7 -4.9 -3.3 2.7 -20.0 -20.0 6.8 20.0 EUROSTX 16.9 20.0 20.0 8.0 3.4 6.5 5.9 4.3 7.6 20.0 20.0 20.0 20.0 20.0 20.0 10.2 2.7 8.8 5.4 20.0 20.0 20.0 20.0 20.0 1.2 8.9 3.8 7.4 6.4 5.4 8.6 17.5 9.1 12.6 20.0 8.7 -8.6 16.0 -6.5 20.0 FEEDCOW -0.9 20.0 7.2 1.6 0.2 0.3 -1.6 -3.5 -0.8 0.6 1.3 10.1 1.0 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 13.7 7.1 6.1 20.0 -7.5 5.6 -0.3 3.4 0.5 3.8 3.8 -20.0 -4.8 10.3 20.0 13.2 20.0 13.2 20.0 20.0 GASOIL -5.8 15.4 -2.3 3.0 0.4 2.0 0.4 2.3 2.2 2.6 7.5 -5.8 10.1 9.6 11.3 20.0 20.0 20.0 20.0 9.9 9.8 0.2 12.1 5.7 7.4 4.2 -0.4 4.5 -0.1 5.3 2.2 20.0 0.2 -0.9 3.2 7.2 -10.5 -6.3 -20.0 -12.9 GASOLINE 0.2 14.1 0.9 3.4 0.4 2.3 0.5 2.6 2.4 -3.6 2.9 1.7 9.0 14.3 15.8 9.2 7.9 -6.3 -3.0 12.2 8.6 2.2 8.8 9.9 -20.0 6.3 -2.3 4.3 1.9 5.3 5.8 -11.1 4.0 19.2 7.5 14.6 20.0 14.9 19.8 13.7 GAS_US_mini 9.0 -7.0 -10.8 1.6 0.2 1.1 0.2 1.2 1.1 8.4 -10.0 6.5 -11.2 -5.9 -8.9 -20.0 -19.4 -10.5 -14.1 -10.8 -16.0 3.5 -20.0 -3.3 19.0 -3.5 1.7 -4.1 0.6 -3.7 -1.6 -20.0 5.3 -11.0 -20.0 -19.5 -13.5 -0.5 -20.0 -5.4 GBP 1.7 -4.0 7.8 -1.7 4.9 2.1 1.0 4.3 -2.2 20.0 4.7 20.0 10.1 6.3 14.2 -0.7 -0.6 -0.5 -0.5 4.8 7.3 12.2 7.0 5.7 2.7 3.4 11.0 4.6 7.2 3.3 3.6 2.9 16.1 14.4 17.0 8.9 -20.0 -5.2 -20.0 3.1 GOLD_micro 13.9 -1.3 4.4 -1.3 15.8 -3.1 10.6 -2.1 4.0 19.8 12.4 19.2 8.2 12.1 6.7 -15.9 -14.6 -15.5 -15.1 11.2 7.0 20.0 5.9 20.0 -4.0 3.9 20.0 2.5 16.8 2.2 8.8 -15.2 20.0 15.5 19.7 18.6 -20.0 -20.0 -20.0 -14.4 HEATOIL -8.9 10.5 -4.2 3.3 0.4 2.2 0.5 2.5 2.3 -0.6 1.7 -12.9 6.9 3.1 7.3 20.0 20.0 20.0 20.0 4.2 4.9 -4.4 8.7 0.0 -20.0 4.9 -0.4 5.2 -0.3 7.1 2.7 20.0 -1.9 1.6 2.6 9.1 17.2 4.4 14.2 0.4 JGB-SGX-mini -1.1 -8.9 12.5 -0.6 2.7 0.2 1.3 -0.7 -0.6 2.1 4.8 4.7 5.8 -3.6 3.7 15.0 16.6 13.3 13.6 1.8 3.9 1.2 3.8 0.5 -5.3 0.6 0.4 1.1 0.6 0.5 0.2 20.0 -3.2 4.7 4.6 2.7 -5.7 -20.0 3.1 10.3 JPY -5.8 -16.4 -2.9 -1.1 3.0 1.3 0.7 2.7 -1.4 10.7 -15.1 -7.1 -15.5 -15.0 -15.4 -16.8 -16.2 -16.3 -16.3 -15.5 -16.6 -1.7 -20.0 -11.2 20.0 -4.6 2.8 -4.8 -0.3 -6.7 -3.5 -20.0 0.1 -12.1 -14.7 -12.0 -19.1 -14.7 -14.0 -17.4 LEANHOG 15.7 20.0 9.9 1.7 0.2 0.4 -1.7 -3.8 -0.9 8.8 6.4 20.0 -12.7 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 9.3 20.0 -11.3 20.0 18.5 8.9 2.3 5.7 6.5 -0.8 8.5 -20.0 20.0 20.0 20.0 20.0 -8.0 -8.3 7.1 13.0 LIVECOW 7.8 20.0 2.0 1.5 0.2 0.3 -1.6 -3.4 -0.8 8.5 2.3 15.0 1.5 20.0 19.3 20.0 -4.7 1.1 -4.2 20.0 9.7 10.9 3.9 20.0 -4.9 6.0 1.5 2.9 2.7 3.1 5.8 -4.1 3.6 20.0 20.0 5.2 20.0 3.9 20.0 12.8 LUMBER-new 10.3 5.6 13.4 1.7 0.2 0.5 -1.7 -2.9 -0.9 20.0 8.7 20.0 -13.1 20.0 16.9 -16.8 -15.3 -16.5 -15.7 16.1 10.8 20.0 0.3 20.0 NaN 8.6 13.7 5.8 13.9 2.4 11.5 -20.0 20.0 20.0 5.3 20.0 -10.5 -20.0 -7.6 -14.1 MILK -5.5 20.0 0.5 0.9 0.1 0.2 -0.9 -2.0 -0.5 -12.8 -11.3 -12.1 -13.3 -4.2 -8.5 -20.0 -20.0 -20.0 -20.0 -6.8 -12.5 -20.0 -19.7 -9.7 10.7 -2.1 -11.2 -4.1 -8.0 -6.9 -3.6 -20.0 -20.0 -16.4 -3.4 -19.7 -20.0 -20.0 -20.0 -20.0 MXP 5.3 2.3 13.1 -1.6 4.7 2.0 1.0 4.1 -2.1 20.0 20.0 20.0 20.0 18.7 20.0 17.6 16.7 16.7 16.2 16.2 20.0 19.7 20.0 15.4 -20.0 8.3 15.3 10.2 12.4 15.2 9.0 20.0 18.7 20.0 20.0 10.4 20.0 20.0 20.0 20.0 NASDAQ_micro -5.6 5.4 16.1 4.7 2.0 3.9 3.5 2.6 4.5 -1.3 14.8 6.7 14.6 12.2 14.2 -11.4 -10.1 -11.5 -11.0 19.2 20.0 6.8 20.0 12.7 -20.0 5.6 -0.1 6.4 1.9 6.2 3.7 -6.9 -4.4 -8.0 10.9 11.7 13.3 -2.8 20.0 -5.7 NIKKEI 15.0 20.0 19.7 6.8 2.9 5.6 5.1 3.7 6.5 16.3 20.0 19.4 20.0 20.0 20.0 8.5 12.5 12.9 12.8 20.0 20.0 20.0 20.0 20.0 -17.1 7.8 4.6 6.8 5.8 5.4 7.3 20.0 19.0 20.0 20.0 20.0 -19.7 -4.9 -7.2 -4.0 NZD 1.5 -8.2 8.8 -1.1 3.1 1.3 0.7 2.7 -1.4 -6.8 2.8 -3.2 -0.2 -6.4 0.9 0.3 0.3 0.3 0.3 -0.5 1.8 -3.8 -0.1 -2.7 0.0 -0.4 -0.5 1.5 -2.8 0.8 -2.1 4.2 -14.8 3.4 -1.7 1.4 -9.0 -9.4 -2.2 3.4 OAT -6.5 -16.2 16.7 -0.7 3.4 0.3 1.7 -0.9 -0.7 8.8 2.9 3.3 0.2 -7.0 -0.7 3.9 6.3 4.5 5.1 -1.4 2.8 3.8 0.4 -2.2 5.2 -0.5 5.5 1.3 2.2 0.7 -0.7 11.0 0.0 0.4 -0.7 1.0 -20.0 -20.0 9.9 3.7 OATIES 1.1 3.4 -11.9 0.9 0.1 0.2 -0.9 -2.1 -0.5 -6.9 -12.3 -1.2 -10.1 -1.1 -4.2 8.6 -2.7 5.1 -0.2 -4.6 -9.9 -4.5 -9.6 -1.9 -20.0 -1.2 -7.3 -3.4 -2.9 -3.7 -0.9 -0.2 -3.1 1.4 -3.4 -6.3 -8.7 1.5 0.0 12.9 OJ 7.4 11.5 -20.0 0.8 0.1 0.2 -0.9 -1.9 -0.5 3.6 6.5 4.6 9.6 9.3 3.0 6.9 15.5 8.1 11.8 8.4 9.9 4.9 16.8 8.0 -20.0 2.5 2.0 4.4 0.9 8.5 1.8 20.0 4.2 1.6 15.6 2.4 9.1 9.6 14.6 20.0 PALLAD 17.4 6.0 14.5 -0.5 5.9 -1.2 4.0 -0.8 1.5 4.8 -6.1 5.6 -8.0 1.5 -4.7 -1.9 -2.1 -1.9 -2.0 -2.8 -6.0 4.6 -9.4 0.9 9.2 -1.4 6.5 -3.0 2.6 -4.4 0.3 6.8 -1.8 -4.3 -1.8 -2.4 -15.0 -9.5 -10.6 -4.8 PLAT 3.3 -6.2 0.5 -0.7 8.9 -1.7 6.0 -1.2 2.3 5.7 -6.2 0.9 -7.9 -6.9 -7.7 -4.1 -3.3 -4.0 -3.7 -4.6 -4.5 0.9 -4.3 -2.8 10.1 -2.0 3.7 -1.6 0.9 -1.1 -1.1 4.4 -11.4 -9.3 -6.1 1.9 -13.0 -4.2 20.0 6.4 REDWHEAT -8.6 -2.2 -7.4 1.2 0.1 0.3 -1.3 -2.8 -0.7 -15.0 -19.6 -15.9 -19.2 -16.1 -17.1 9.1 0.3 3.8 1.1 -20.0 -20.0 -16.0 -20.0 -18.6 -10.0 -6.7 -5.7 -6.3 -6.0 -5.7 -7.1 4.6 -15.7 -20.0 -20.0 -20.0 -15.6 -20.0 -11.5 -20.0 RICE -13.1 3.3 8.8 1.2 0.1 0.3 -1.3 -2.7 -0.7 -16.1 15.1 -15.0 15.4 1.4 10.6 -7.1 -2.9 -10.4 -8.8 10.4 15.9 -11.2 14.4 -0.9 -18.6 4.0 -8.0 5.3 -4.5 4.6 0.2 -5.6 -10.9 2.3 7.0 15.0 5.4 -4.7 12.4 4.4 ROBUSTA -19.1 9.6 20.0 1.0 0.1 0.2 -1.1 -2.3 -0.6 14.0 15.6 8.4 16.1 12.4 15.0 20.0 20.0 20.0 20.0 20.0 20.0 17.4 20.0 13.9 -20.0 5.5 7.6 7.6 4.2 7.6 3.2 20.0 18.5 18.5 20.0 20.0 -20.0 -17.4 -10.1 1.0 RUSSELL 8.4 3.0 20.0 4.0 1.7 3.3 3.0 2.2 3.8 9.7 8.8 10.8 5.8 9.8 9.8 -6.5 -6.2 -6.4 -6.4 9.2 8.4 8.3 4.6 8.8 -2.0 4.3 2.2 3.7 3.3 2.4 4.0 0.3 -4.8 -0.8 -9.0 -2.7 -19.2 -19.6 -20.0 -20.0 SHATZ -20.0 -20.0 5.8 -0.5 2.5 0.2 1.2 -0.7 -0.5 0.8 -4.6 -6.5 -5.9 -7.9 -7.1 -20.0 -20.0 -20.0 -20.0 -10.6 -5.8 -5.9 -6.2 -11.7 8.0 -2.1 0.1 -0.9 -1.3 -0.9 -2.5 -20.0 -11.4 -14.1 -11.3 -7.4 -20.0 -20.0 -8.2 -20.0 SILVER-mini 12.3 -0.8 -4.7 -1.1 13.2 -2.6 8.9 -1.8 3.4 15.9 -4.9 13.2 -4.0 6.6 -9.2 -6.8 -6.6 -6.9 -6.8 -0.6 -4.1 20.0 -3.4 8.4 5.3 2.0 15.9 -0.5 12.2 -0.5 6.9 -1.2 7.5 13.5 10.2 3.9 -20.0 -18.0 16.9 -3.1 SMI 11.1 6.4 17.4 7.2 3.1 5.9 5.4 3.9 6.9 14.6 17.1 19.8 8.5 18.5 20.0 11.1 6.4 10.7 8.6 16.9 13.1 15.6 6.3 16.9 13.9 7.4 6.7 6.4 6.6 3.2 7.0 20.0 -20.0 -13.9 -18.6 -12.1 7.9 -5.5 16.6 -9.5 SOFR -6.9 -15.4 11.2 -0.6 3.1 0.2 1.5 -0.8 -0.6 9.0 3.4 3.7 -0.1 -5.0 -0.5 0.3 0.3 1.0 0.7 -2.5 -0.0 4.4 -1.3 -1.9 -2.3 -0.2 3.9 1.0 1.8 0.2 -0.5 2.1 3.4 -2.9 3.2 2.0 -20.0 -20.0 -2.6 -1.9 SOYBEAN -5.4 -17.6 -20.0 1.4 0.2 0.3 -1.4 -3.1 -0.7 12.6 -18.4 -9.8 -5.3 -17.1 -20.0 6.2 14.2 8.6 10.8 -20.0 -20.0 -5.5 -18.1 -20.0 -20.0 -7.5 1.3 -5.7 -1.6 -2.8 -5.8 20.0 -3.5 -20.0 -20.0 -20.0 -7.5 -20.0 -6.8 -20.0 SOYMEAL -8.0 -20.0 -20.0 1.1 0.1 0.2 -1.1 -2.4 -0.6 0.3 -16.2 -11.5 -10.1 -15.4 -17.4 -5.4 10.7 0.1 5.3 -20.0 -20.0 -9.1 -14.0 -20.0 -20.0 -6.0 -0.2 -4.8 -1.8 -1.8 -4.5 18.4 -10.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -6.7 -7.2 -20.0 1.1 0.1 0.2 -1.2 -2.5 -0.6 6.8 -16.4 -11.9 -13.1 -13.2 -15.5 -6.5 3.4 -4.7 -1.1 -18.8 -20.0 -5.7 -20.0 -12.4 -20.0 -5.5 1.3 -6.2 -1.9 -5.5 -4.3 6.2 0.5 1.3 -19.4 -9.0 -13.8 -7.0 -9.8 5.3 SP400 14.4 9.5 20.0 5.2 2.2 4.3 3.9 2.8 5.0 14.1 14.7 15.7 11.4 15.6 16.2 -7.2 -5.5 -6.4 -5.9 19.9 17.1 20.0 10.9 20.0 -11.7 5.9 5.8 4.9 6.3 3.3 6.2 1.4 10.4 7.4 -3.3 0.3 -17.7 -8.5 -15.4 -20.0 SP500_micro 2.6 12.5 20.0 6.2 2.6 5.1 4.6 3.3 5.9 3.8 19.7 13.8 18.4 18.0 19.7 -13.3 -11.3 -13.0 -12.3 20.0 20.0 14.0 20.0 20.0 -20.0 7.3 0.8 7.4 3.1 6.1 5.5 -9.0 -2.5 -2.7 17.0 17.8 4.4 -3.1 17.4 -6.4 SUGAR11 -13.0 6.2 -20.0 1.0 0.1 0.2 -1.0 -2.1 -0.5 -6.7 -5.4 -10.7 5.4 -6.0 -6.4 10.8 18.6 16.3 18.1 -8.2 -6.5 -15.9 1.1 -11.7 -20.0 -4.0 -4.0 -3.4 -5.8 0.5 -4.5 20.0 -20.0 -13.5 -7.8 -20.0 15.9 0.4 20.0 11.3 US10 -7.4 -11.9 13.2 -0.6 2.7 0.2 1.3 -0.7 -0.6 7.8 1.6 2.6 -2.6 -5.1 -0.4 -8.1 -8.0 -8.8 -8.5 -2.4 -1.2 3.9 -4.5 -1.8 1.9 -0.1 3.8 0.5 1.7 -0.8 -0.4 -13.1 3.0 -2.1 3.6 1.9 -20.0 -20.0 -15.6 9.2 US10U -6.4 -10.8 13.1 -0.8 3.8 0.3 1.9 -1.0 -0.8 11.1 1.5 3.8 -3.6 -7.2 -0.8 -2.8 0.1 -0.7 0.0 -3.1 -2.0 5.8 -6.9 -2.0 -0.8 0.2 5.6 0.7 2.7 -1.3 -0.1 1.4 5.4 -1.5 6.4 3.0 -20.0 -20.0 10.4 20.0 US2 -14.4 -17.1 13.9 -0.5 2.4 0.2 1.2 -0.6 -0.5 3.3 -1.3 -3.0 -5.3 -6.4 -3.9 -20.0 -20.0 -20.0 -20.0 -5.2 -3.0 -0.9 -6.1 -5.6 9.3 -1.1 0.8 0.1 -0.3 -0.9 -1.8 -20.0 -4.5 -8.1 -1.5 -0.8 -20.0 -20.0 -16.0 -20.0 US20 -3.9 -9.2 16.0 -0.6 2.8 0.2 1.4 -0.7 -0.6 8.3 2.1 4.7 -1.7 -3.6 0.9 0.1 -0.9 -0.1 -0.5 -0.5 -0.2 6.5 -4.4 0.5 -1.3 1.1 6.0 1.2 3.4 -0.9 1.1 -0.4 8.3 2.3 6.8 5.1 -20.0 -20.0 20.0 20.0 US30 -0.1 -6.8 14.0 -0.7 3.4 0.3 1.7 -0.9 -0.7 10.2 1.4 7.4 -3.4 -2.8 0.7 -8.0 -5.9 -8.0 -7.1 -0.2 -0.9 8.4 -6.5 1.9 -0.7 1.8 7.6 1.3 5.0 -1.6 2.3 -9.8 10.6 6.3 9.2 4.6 -14.9 -18.8 20.0 20.0 US5 -10.3 -15.1 12.5 -0.5 2.6 0.2 1.3 -0.7 -0.5 7.5 1.3 0.0 -3.3 -5.9 -1.8 -8.5 -10.1 -9.4 -10.0 -3.7 -1.7 2.0 -4.3 -3.5 4.2 -0.7 2.6 0.4 0.8 -0.6 -1.2 -16.3 -0.0 -4.9 1.4 0.7 -20.0 -20.0 -20.0 -6.8 VIX 3.0 3.9 -9.3 -7.7 3.7 -10.1 -2.0 -13.4 -5.5 7.5 -20.0 -10.7 -20.0 -17.0 -20.0 -20.0 -20.0 -20.0 -20.0 -17.6 -20.0 -1.7 -20.0 -8.6 NaN -9.0 4.8 -12.3 -1.5 -16.6 -5.8 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT -12.1 -8.7 -0.1 1.2 0.1 0.3 -1.3 -2.8 -0.7 -16.6 -19.2 -16.7 -19.4 -16.9 -16.2 -12.0 -10.9 -11.7 -11.4 -20.0 -20.0 -20.0 -20.0 -20.0 -0.2 -6.4 -7.6 -4.7 -7.3 -4.2 -7.7 -15.4 -20.0 -20.0 -20.0 -20.0 -17.0 -20.0 -12.4 -20.0 End of report for caleb_strategy_v3