******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240329_204006 produced at 2024-03-29 21:37:08.477089 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.66 0.0 0.00 0.00 0.00 0.00 -9.65 11.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.08 -0.32 0.0 0.08 -0.08 -0.08 -0.08 -70.47 17.0 -17 -17 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.29 0.0 0.00 0.00 0.00 0.00 -8.95 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.27 0.0 0.00 0.00 0.00 0.00 -4.70 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.40 -0.18 0.0 0.52 -0.52 -0.40 -0.40 -4.57 13.0 -10 -10 caleb_strategy_v3 JPY False False 0.02 0.00 -0.11 0.0 0.40 -0.40 0.00 -0.02 -4.69 17.0 0 -1 caleb_strategy_v3 US5 False False 0.03 -0.27 -0.08 0.0 0.76 -0.76 -0.27 -0.30 -2.73 25.0 -9 -10 caleb_strategy_v3 CAD False False 0.02 0.00 -0.08 0.0 0.61 -0.61 0.00 0.00 -3.77 29.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.54 -0.06 0.0 0.69 -0.69 -0.54 -0.54 -1.57 19.0 -15 -15 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.06 0.0 0.04 -0.04 -0.03 -0.03 -43.22 26.0 -19 -19 caleb_strategy_v3 RICE False False 0.01 0.00 -0.06 0.0 0.04 -0.04 0.00 0.00 -6.75 4.0 0 0 caleb_strategy_v3 EUR False False 0.04 0.00 -0.05 0.0 0.54 -0.54 0.00 0.00 -1.19 14.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.05 -0.05 0.00 0.00 -5.72 5.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.00 -0.05 0.0 0.36 -0.36 0.00 -0.02 -3.23 21.0 0 -1 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.05 0.0 0.35 -0.35 -0.02 -0.02 -2.83 19.0 -1 -1 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.05 0.0 0.08 -0.08 -0.07 -0.07 -7.79 12.0 -11 -11 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.14 -0.14 -0.02 -0.02 -17.24 51.0 -6 -6 caleb_strategy_v3 US10 False False 0.03 0.00 -0.04 0.0 0.53 -0.53 0.00 0.00 -1.27 17.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -7.88 2.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.07 -0.03 0.0 0.29 -0.29 0.07 0.04 -0.86 8.0 2 1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.07 -0.07 -0.02 -0.02 -2.06 8.0 -2 -2 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.24 9.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.0 0.08 -0.08 -0.03 -0.03 -2.63 9.0 -4 -4 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.00 -0.01 0.0 0.24 -0.24 0.00 0.00 -0.91 23.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.01 0.0 0.21 -0.21 -0.01 -0.00 -3.81 68.0 -2 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.01 0.0 0.14 -0.14 -0.03 -0.03 -0.54 11.0 -2 -2 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.08 -0.08 -0.03 -0.03 -0.90 10.0 -4 -4 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.01 0.0 0.01 -0.01 0.00 0.00 -1.58 3.0 0 0 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.01 0.0 0.38 -0.38 -0.01 -0.01 -1.63 66.0 -2 -1 caleb_strategy_v3 US10U False False 0.03 -0.03 -0.01 0.0 0.42 -0.42 -0.03 -0.03 -0.33 13.0 -1 -1 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.12 -0.12 -0.02 -0.02 -0.82 7.0 -1 -1 caleb_strategy_v3 GBP False False 0.02 0.02 -0.01 0.0 0.49 -0.49 0.02 0.02 -0.58 22.0 1 1 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.00 0.0 0.41 -0.41 -0.04 -0.04 -0.11 10.0 -1 -1 caleb_strategy_v3 COFFEE False False 0.02 0.00 0.00 0.0 0.12 -0.12 0.00 0.00 0.15 6.0 0 0 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.00 0.0 0.17 -0.17 0.00 0.00 -0.06 4.0 0 0 caleb_strategy_v3 PLAT False False 0.01 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.26 10.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.06 2.0 0 0 caleb_strategy_v3 US20 False False 0.03 0.03 0.00 0.0 0.31 -0.31 0.03 0.03 0.08 9.0 1 1 caleb_strategy_v3 US30 False False 0.04 0.00 -0.00 0.0 0.22 -0.22 0.00 0.00 -0.08 6.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.61 18.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.92 3.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.02 0.0 0.00 -0.00 0.00 0.00 1.30 0.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.02 0.0 0.22 -0.22 0.00 0.00 1.74 23.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.16 0.03 0.0 0.36 -0.36 0.16 0.21 4.13 48.0 21 28 caleb_strategy_v3 HEATOIL False False 0.03 0.06 0.03 0.0 0.09 -0.09 0.06 0.06 0.92 3.0 2 2 caleb_strategy_v3 COCOA False False 0.03 0.08 0.03 0.0 0.69 -0.69 0.08 0.08 1.12 26.0 3 3 caleb_strategy_v3 SP400 False False 0.09 0.17 0.03 0.0 0.17 -0.17 0.17 0.17 0.33 2.0 2 2 caleb_strategy_v3 OAT False False 0.04 0.00 0.04 0.0 0.39 -0.39 0.00 0.00 1.09 10.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.04 0.0 0.36 -0.36 0.00 0.00 6.65 56.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.04 0.0 0.00 0.00 0.00 0.00 21.36 59.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.05 0.04 0.0 0.09 -0.09 0.05 0.05 1.89 4.0 2 2 caleb_strategy_v3 COPPER False False 0.03 0.14 0.05 0.0 0.17 -0.17 0.14 0.14 1.80 6.0 5 5 caleb_strategy_v3 LIVECOW False False 0.02 0.00 0.05 0.0 0.35 -0.35 0.00 0.02 2.66 17.0 0 1 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.07 0.0 0.15 -0.15 0.07 0.07 6.49 13.0 6 6 caleb_strategy_v3 BTP False False 0.04 0.22 0.07 0.0 0.36 -0.36 0.22 0.22 1.96 10.0 6 6 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.07 0.0 0.13 -0.13 0.13 0.13 2.30 4.0 4 4 caleb_strategy_v3 DX False False 0.03 0.00 0.12 0.0 999.00 -999.00 0.00 0.00 3.89 999999999.0 0 0 caleb_strategy_v3 CAC False True 0.03 0.00 0.14 0.0 0.00 0.00 0.00 0.00 5.55 12.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.29 0.16 0.0 0.31 -0.31 0.29 0.29 10.23 20.0 19 19 caleb_strategy_v3 NIKKEI False False 0.01 0.25 0.18 0.0 0.27 -0.27 0.25 0.26 23.25 36.0 33 34 caleb_strategy_v3 SMI False False 0.04 0.29 0.19 0.0 0.33 -0.33 0.29 0.29 5.11 9.0 8 8 caleb_strategy_v3 DAX False False 0.01 0.14 0.21 0.0 0.33 -0.33 0.14 0.16 36.55 58.0 24 27 caleb_strategy_v3 CRUDE_W False False 0.02 0.09 0.28 0.0 0.11 -0.11 0.09 0.09 12.82 5.0 4 4 caleb_strategy_v3 EURIBOR-ICE False False 0.07 0.00 0.33 0.0 0.75 -0.75 0.00 0.22 4.36 10.0 0 3 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.14 0.38 0.0 0.44 -0.44 0.14 0.14 13.79 16.0 5 5 caleb_strategy_v3 MXP False False 0.01 0.51 0.86 0.0 0.51 -0.51 0.51 0.51 101.72 60.0 60 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 25.4 Shocked risk 91.9 Sum abs risk 64.5 Leverage 6.28 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3520204.03, 'annual_cash_vol_target': 880051.0075, 'daily_cash_vol_target': 55003.18796875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0036 0.6533 0.5576 8.9215 BITCOIN 2026.3355 71530.0000 2.8328 45.3256 BOBL 0.2466 118.2500 0.2086 3.3369 BTP 0.5307 119.0100 0.4459 7.1346 BUND 0.4871 133.3800 0.3652 5.8434 BUXL 1.1569 135.8000 0.8519 13.6312 CAC 42.4337 8223.5000 0.5160 8.2561 CAD 0.0028 0.7394 0.3739 5.9821 CANOLA 7.4060 636.1000 1.1643 18.6286 CHF 0.0050 1.1182 0.4471 7.1529 COCOA 166.5825 9306.0000 1.7901 28.6409 COFFEE 2.8510 188.0500 1.5161 24.2573 COPPER 0.0402 4.0430 0.9931 15.8900 CORN 5.4757 477.7500 1.1461 18.3383 COTTON2 1.4765 91.9700 1.6055 25.6875 CRUDE_W 0.8281 77.6800 1.0660 17.0564 DAX 94.7812 18776.0000 0.5048 8.0768 DOW 226.3259 40140.0000 0.5638 9.0215 DX 0.3244 104.2700 0.3111 4.9777 EUR 0.0043 1.0822 0.3946 6.3143 EURIBOR-ICE 0.0467 97.6700 0.0478 0.7647 EUROSTX 30.2915 5045.0000 0.6004 9.6068 FEEDCOW 1.8698 258.8250 0.7224 11.5590 GASOIL 11.5813 802.0000 1.4440 23.1048 GASOLINE 0.0345 2.6443 1.3043 20.8688 GAS_US_mini 0.0785 2.0000 3.9226 62.7615 GBP 0.0057 1.2627 0.4498 7.1971 GOLD_micro 15.0850 2255.0000 0.6690 10.7033 HEATOIL 0.0365 2.6125 1.3955 22.3282 JGB-SGX-mini 0.2115 145.6500 0.1452 2.3231 JPY 0.0000 0.0067 0.5504 8.8065 LEANHOG 1.0262 101.4500 1.0115 16.1840 LIVECOW 1.3132 180.2500 0.7286 11.6569 LUMBER-new 6.3726 604.5000 1.0542 16.8671 MILK 0.2059 16.6400 1.2373 19.7972 MXP 0.0003 0.0594 0.5340 8.5439 NASDAQ_micro 130.2316 18465.2500 0.7053 11.2845 NIKKEI 348.8766 40565.0000 0.8600 13.7607 NZD 0.0035 0.5975 0.5913 9.4614 OAT 0.4666 128.1700 0.3640 5.8243 OATIES 4.9566 352.2500 1.4071 22.5142 OJ 6.2193 359.3500 1.7307 27.6915 PALLAD 27.1104 1023.0000 2.6501 42.4014 PLAT 14.7254 923.0000 1.5954 25.5262 REDWHEAT 9.2806 579.7500 1.6008 25.6127 RICE 0.1539 16.6900 0.9219 14.7510 ROBUSTA 44.4653 3396.0000 1.3093 20.9495 RUSSELL 22.2243 2145.1000 1.0360 16.5768 SHATZ 0.0811 105.7000 0.0768 1.2283 SILVER-mini 0.3694 25.2250 1.4646 23.4338 SMI 62.9465 11635.0000 0.5410 8.6562 SOFR 0.0603 96.4050 0.0625 1.0002 SOYBEAN 10.2680 1186.2500 0.8656 13.8493 SOYMEAL 3.9977 341.0000 1.1724 18.7576 SOYOIL 0.6806 48.4800 1.4039 22.4628 SP400 22.9708 3076.9000 0.7466 11.9449 SP500_micro 28.4796 5303.7500 0.5370 8.5915 SUGAR11 0.3141 22.1500 1.4182 22.6905 US10 0.3656 110.7188 0.3302 5.2832 US10U 0.4924 114.4844 0.4301 6.8810 US2 0.1014 102.2227 0.0992 1.5878 US20 0.7263 120.2188 0.6041 9.6663 US30 1.0972 128.5938 0.8532 13.6517 US5 0.2424 106.9609 0.2266 3.6258 VIX 0.3854 16.0000 2.4084 38.5351 WHEAT 8.1670 612.0000 1.3345 21.3517 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 653.30 0.56 364.28 1.00 364.28 55003.19 150.99 -7.22 -108.96 BITCOIN 71.53 2.83 202.63 1.00 202.63 55003.19 271.44 7.27 197.25 BOBL 1182.50 0.21 246.62 1.08 267.09 55003.19 205.94 -7.54 -155.17 BTP 1190.10 0.45 530.68 1.08 574.73 55003.19 95.70 6.01 57.54 BUND 1333.80 0.37 487.12 1.08 527.55 55003.19 104.26 -1.01 -10.55 BUXL 1358.00 0.85 1156.95 1.08 1252.97 55003.19 43.90 -1.43 -6.28 CAC 822.35 0.52 424.34 1.08 459.56 55003.19 119.69 13.59 162.66 CAD 739.40 0.37 276.45 1.00 276.45 55003.19 198.96 -7.31 -145.47 CANOLA 127.22 1.16 148.12 0.74 108.94 55003.19 504.89 -14.03 -708.49 CHF 1397.75 0.45 624.87 1.00 624.87 55003.19 88.02 -20.00 -176.05 COCOA 930.60 1.79 1665.82 1.00 1665.82 55003.19 33.02 15.80 52.18 COFFEE 705.19 1.52 1069.12 1.00 1069.12 55003.19 51.45 2.49 12.80 COPPER 1010.75 0.99 1003.80 1.00 1003.80 55003.19 54.79 3.04 16.66 CORN 238.88 1.15 273.78 1.00 273.78 55003.19 200.90 -15.94 -320.25 COTTON2 459.85 1.61 738.27 1.00 738.27 55003.19 74.50 -3.39 -25.29 CRUDE_W 776.80 1.07 828.09 1.00 828.09 55003.19 66.42 17.83 118.40 DAX 187.76 0.50 94.78 1.08 102.65 55003.19 535.84 20.00 1071.69 DOW 200.70 0.56 113.16 1.00 113.16 55003.19 486.05 -1.44 -70.14 DX 1042.70 0.31 324.39 1.00 324.39 55003.19 169.56 8.84 149.87 EUR 1352.69 0.39 533.83 1.00 533.83 55003.19 103.03 -4.45 -45.89 EURIBOR-ICE 2441.75 0.05 116.70 1.08 126.39 55003.19 435.18 2.94 127.85 EUROSTX 504.50 0.60 302.91 1.08 328.06 55003.19 167.66 17.90 300.05 FEEDCOW 1294.12 0.72 934.92 1.00 934.92 55003.19 58.83 -4.39 -25.85 GASOIL 802.00 1.44 1158.13 1.00 1158.13 55003.19 47.49 9.18 43.59 GASOLINE 1110.61 1.30 1448.56 1.00 1448.56 55003.19 37.97 13.95 52.97 GAS_US_mini 50.00 3.92 196.13 1.00 196.13 55003.19 280.44 -14.23 -399.14 GBP 789.19 0.45 354.99 1.00 354.99 55003.19 154.94 -1.44 -22.36 GOLD_micro 225.50 0.67 150.85 1.00 150.85 55003.19 364.62 5.35 195.03 HEATOIL 1097.25 1.40 1531.23 1.00 1531.23 55003.19 35.92 5.93 21.29 JGB-SGX-mini 145650.00 0.15 21147.80 0.01 139.73 55003.19 393.65 3.24 127.38 JPY 835.62 0.55 459.93 1.00 459.93 55003.19 119.59 -15.13 -180.93 LEANHOG 405.80 1.01 410.47 1.00 410.47 55003.19 134.00 7.97 106.85 LIVECOW 721.00 0.73 525.29 1.00 525.29 55003.19 104.71 7.65 80.13 LUMBER-new 166.24 1.05 175.25 1.00 175.25 55003.19 313.86 -2.35 -73.71 MILK 332.80 1.24 411.78 1.00 411.78 55003.19 133.57 -20.00 -267.15 MXP 297.25 0.53 158.73 1.00 158.73 55003.19 346.52 20.00 693.04 NASDAQ_micro 369.30 0.71 260.46 1.00 260.46 55003.19 211.17 -1.85 -39.10 NIKKEI 40565.00 0.86 34887.66 0.01 230.51 55003.19 238.62 9.00 214.70 NZD 597.50 0.59 353.32 1.00 353.32 55003.19 155.67 -7.99 -124.46 OAT 1281.70 0.36 466.56 1.08 505.28 55003.19 108.86 2.95 32.09 OATIES 176.12 1.41 247.83 1.00 247.83 55003.19 221.94 -14.59 -323.71 OJ 539.02 1.73 932.90 1.00 932.90 55003.19 58.96 7.29 42.98 PALLAD 1023.00 2.65 2711.04 1.00 2711.04 55003.19 20.29 -0.94 -1.90 PLAT 461.50 1.60 736.27 1.00 736.27 55003.19 74.71 1.02 7.61 REDWHEAT 289.88 1.60 464.03 1.00 464.03 55003.19 118.53 -13.08 -154.99 RICE 333.80 0.92 307.74 1.00 307.74 55003.19 178.73 -15.53 -277.62 ROBUSTA 339.60 1.31 444.65 1.00 444.65 55003.19 123.70 12.02 148.63 RUSSELL 107.26 1.04 111.12 1.00 111.12 55003.19 494.98 -2.33 -115.09 SHATZ 1057.00 0.08 81.14 1.08 87.88 55003.19 625.91 -14.09 -882.12 SILVER-mini 630.62 1.46 923.62 1.00 923.62 55003.19 59.55 6.40 38.09 SMI 1163.50 0.54 629.47 1.10 695.84 55003.19 79.05 18.94 149.71 SOFR 2410.12 0.06 150.67 1.00 150.67 55003.19 365.06 -4.35 -158.85 SOYBEAN 593.12 0.87 513.40 1.00 513.40 55003.19 107.14 -8.27 -88.57 SOYMEAL 341.00 1.17 399.77 1.00 399.77 55003.19 137.59 -17.51 -240.89 SOYOIL 290.88 1.40 408.37 1.00 408.37 55003.19 134.69 -7.20 -97.04 SP400 3076.90 0.75 2297.08 1.00 2297.08 55003.19 23.94 4.16 9.97 SP500_micro 265.19 0.54 142.40 1.00 142.40 55003.19 386.26 4.60 177.57 SUGAR11 248.08 1.42 351.82 1.00 351.82 55003.19 156.34 1.84 28.80 US10 1107.19 0.33 365.60 1.00 365.60 55003.19 150.45 -6.65 -100.03 US10U 1144.84 0.43 492.36 1.00 492.36 55003.19 111.71 -2.31 -25.85 US2 2044.45 0.10 202.89 1.00 202.89 55003.19 271.10 -13.69 -371.17 US20 1202.19 0.60 726.30 1.00 726.30 55003.19 75.73 0.80 6.03 US30 1285.94 0.85 1097.20 1.00 1097.20 55003.19 50.13 -1.24 -6.23 US5 1069.61 0.23 242.39 1.00 242.39 55003.19 226.92 -9.50 -215.55 VIX 160.00 2.41 385.35 1.00 385.35 55003.19 142.74 -20.00 -285.47 WHEAT 306.00 1.33 408.35 1.00 408.35 55003.19 134.70 -14.72 -198.21 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -108.957 0.010 2.5 -2.827 BITCOIN 197.247 0.043 2.5 21.359 BOBL -155.173 0.004 2.5 -1.574 BTP 57.544 0.014 2.5 1.963 BUND -10.545 0.004 2.5 -0.107 BUXL -6.284 0.004 2.5 -0.064 CAC 162.662 0.014 2.5 5.548 CAD -145.468 0.010 2.5 -3.774 CANOLA -708.487 0.010 2.5 -17.237 CHF -176.046 0.010 2.5 -4.568 COCOA 52.181 0.009 2.5 1.118 COFFEE 12.800 0.005 2.5 0.149 COPPER 16.660 0.043 2.5 1.804 CORN -320.252 0.010 2.5 -7.791 COTTON2 -25.293 0.009 2.5 -0.542 CRUDE_W 118.397 0.043 2.5 12.821 DAX 1071.685 0.014 2.5 36.553 DOW -70.144 0.009 2.5 -1.630 DX 149.871 0.010 2.5 3.889 EUR -45.893 0.010 2.5 -1.191 EURIBOR-ICE 127.851 0.014 2.5 4.361 EUROSTX 300.054 0.014 2.5 10.234 FEEDCOW -25.851 0.013 2.5 -0.857 GASOIL 43.591 0.017 2.5 1.890 GASOLINE 52.974 0.017 2.5 2.296 GAS_US_mini -399.137 0.043 2.5 -43.222 GBP -22.362 0.010 2.5 -0.580 GOLD_micro 195.028 0.014 2.5 6.652 HEATOIL 21.289 0.017 2.5 0.923 JGB-SGX-mini 127.384 0.043 2.5 13.794 JPY -180.925 0.010 2.5 -4.694 LEANHOG 106.847 0.024 2.5 6.494 LIVECOW 80.134 0.013 2.5 2.655 LUMBER-new -73.705 0.009 2.5 -1.577 MILK -267.147 0.009 2.5 -5.722 MXP 693.042 0.059 2.5 101.720 NASDAQ_micro -39.102 0.009 2.5 -0.909 NIKKEI 214.698 0.043 2.5 23.249 NZD -124.458 0.010 2.5 -3.229 OAT 32.092 0.014 2.5 1.095 OATIES -323.710 0.010 2.5 -7.875 OJ 42.980 0.009 2.5 0.921 PALLAD -1.900 0.014 2.5 -0.065 PLAT 7.614 0.014 2.5 0.260 REDWHEAT -154.988 0.005 2.5 -2.056 RICE -277.619 0.010 2.5 -6.754 ROBUSTA 148.625 0.005 2.5 1.736 RUSSELL -115.092 0.013 2.5 -3.814 SHATZ -882.123 0.004 2.5 -8.945 SILVER-mini 38.087 0.014 2.5 1.299 SMI 149.714 0.014 2.5 5.107 SOFR -158.851 0.024 2.5 -9.654 SOYBEAN -88.569 0.004 2.5 -0.824 SOYMEAL -240.888 0.004 2.5 -2.240 SOYOIL -97.036 0.004 2.5 -0.903 SP400 9.968 0.013 2.5 0.330 SP500_micro 177.575 0.009 2.5 4.127 SUGAR11 28.797 0.009 2.5 0.612 US10 -100.027 0.005 2.5 -1.268 US10U -25.852 0.005 2.5 -0.328 US2 -371.173 0.005 2.5 -4.703 US20 6.034 0.005 2.5 0.076 US30 -6.227 0.005 2.5 -0.079 US5 -215.554 0.005 2.5 -2.731 VIX -285.471 0.099 2.5 -70.466 WHEAT -198.211 0.005 2.5 -2.629 ===================== Position diags ===================== AUD 3.92 BITCOIN 29.39 BOBL 2.09 BTP 3.26 BUND 1.06 BUXL 0.45 CAC 4.08 CAD 5.16 CANOLA 12.28 CHF 2.28 COCOA 0.71 COFFEE 0.60 COPPER 5.93 CORN 4.89 COTTON2 1.60 CRUDE_W 7.19 DAX 18.28 DOW 11.30 DX 4.40 EUR 2.67 EURIBOR-ICE 14.84 EUROSTX 5.72 FEEDCOW 1.95 GASOIL 2.06 GASOLINE 1.65 GAS_US_mini 30.37 GBP 4.02 GOLD_micro 12.44 HEATOIL 1.56 JGB-SGX-mini 42.63 JPY 3.10 LEANHOG 8.14 LIVECOW 3.47 LUMBER-new 6.72 MILK 2.86 MXP 50.86 NASDAQ_micro 4.91 NIKKEI 25.84 NZD 4.04 OAT 3.71 OATIES 5.40 OJ 1.26 PALLAD 0.69 PLAT 2.55 REDWHEAT 1.57 RICE 4.35 ROBUSTA 1.44 RUSSELL 16.40 SHATZ 6.35 SILVER-mini 2.03 SMI 2.70 SOFR 22.19 SOYBEAN 1.00 SOYMEAL 1.28 SOYOIL 1.25 SP400 0.79 SP500_micro 8.98 SUGAR11 3.32 US10 1.91 US10U 1.42 US2 3.44 US20 0.96 US30 0.64 US5 2.88 VIX 35.23 WHEAT 1.79 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.8 -3.2 -2.4 -1.0 -1 BITCOIN 21.4 18.4 24.3 0.0 0 BOBL -1.6 -1.8 -1.4 -15.0 -15 BTP 2.0 1.6 2.3 6.0 6 BUND -0.1 -0.2 -0.0 -1.0 -1 BUXL -0.1 -0.1 -0.0 0.0 0 CAC 5.5 5.1 6.0 0.0 0 CAD -3.8 -4.3 -3.3 0.0 0 CANOLA -17.2 -18.5 -16.0 -6.0 -6 CHF -4.6 -4.8 -4.3 -10.0 -10 COCOA 1.1 1.0 1.2 3.0 3 COFFEE 0.1 0.1 0.2 0.0 0 COPPER 1.8 1.2 2.4 5.0 5 CORN -7.8 -8.3 -7.3 -11.0 -11 COTTON2 -0.5 -0.7 -0.4 -2.0 -2 CRUDE_W 12.8 12.1 13.5 4.0 4 DAX 36.6 34.7 38.4 24.0 24 DOW -1.6 -2.8 -0.5 -2.0 -2 DX 3.9 3.4 4.3 NaN 0 EUR -1.2 -1.5 -0.9 0.0 0 EURIBOR-ICE 4.4 2.9 5.8 0.0 0 EUROSTX 10.2 9.7 10.8 19.0 19 FEEDCOW -0.9 -1.1 -0.7 2.0 2 GASOIL 1.9 1.7 2.1 2.0 2 GASOLINE 2.3 2.1 2.5 4.0 4 GAS_US_mini -43.2 -46.3 -40.2 -19.0 -19 GBP -0.6 -1.0 -0.2 1.0 1 GOLD_micro 6.7 5.4 7.9 0.0 0 HEATOIL 0.9 0.8 1.1 2.0 2 JGB-SGX-mini 13.8 9.5 18.1 5.0 5 JPY -4.7 -5.0 -4.4 0.0 0 LEANHOG 6.5 5.7 7.3 6.0 6 LIVECOW 2.7 2.3 3.0 0.0 0 LUMBER-new -1.6 -2.2 -0.9 NaN 0 MILK -5.7 -6.0 -5.4 NaN 0 MXP 101.7 96.6 106.8 60.0 60 NASDAQ_micro -0.9 -1.4 -0.4 0.0 0 NIKKEI 23.2 20.7 25.8 33.0 33 NZD -3.2 -3.6 -2.8 0.0 0 OAT 1.1 0.7 1.5 0.0 0 OATIES -7.9 -8.4 -7.3 NaN 0 OJ 0.9 0.8 1.0 NaN 0 PALLAD -0.1 -0.1 0.0 0.0 0 PLAT 0.3 0.0 0.5 0.0 0 REDWHEAT -2.1 -2.2 -1.9 -2.0 -2 RICE -6.8 -7.2 -6.3 NaN 0 ROBUSTA 1.7 1.6 1.9 0.0 0 RUSSELL -3.8 -5.5 -2.2 -2.0 -2 SHATZ -8.9 -9.6 -8.3 NaN 0 SILVER-mini 1.3 1.1 1.5 NaN 0 SMI 5.1 4.8 5.4 8.0 8 SOFR -9.7 -11.9 -7.4 NaN 0 SOYBEAN -0.8 -0.9 -0.7 -1.0 -1 SOYMEAL -2.2 -2.4 -2.1 0.0 0 SOYOIL -0.9 -1.0 -0.8 -4.0 -4 SP400 0.3 0.3 0.4 2.0 2 SP500_micro 4.1 3.2 5.0 21.0 21 SUGAR11 0.6 0.3 0.9 0.0 0 US10 -1.3 -1.5 -1.1 0.0 0 US10U -0.3 -0.5 -0.2 -1.0 -1 US2 -4.7 -5.0 -4.4 NaN 0 US20 0.1 -0.0 0.2 1.0 1 US30 -0.1 -0.1 -0.0 0.0 0 US5 -2.7 -3.0 -2.4 -9.0 -9 VIX -70.5 -74.0 -66.9 -17.0 -17 WHEAT -2.6 -2.8 -2.5 -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 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.4 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.2 -0.1 0.4 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 0.0 -0.0 -0.2 -0.7 -0.4 -0.5 -0.1 BITCOIN -0.1 0.4 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.5 0.1 0.7 0.2 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 0.0 0.2 0.0 0.2 0.1 -0.2 0.2 0.6 0.6 0.6 -0.2 0.0 0.6 0.1 BOBL 0.2 -0.5 -0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.1 -0.1 -0.1 0.2 -0.3 -0.2 -0.3 -0.1 -0.0 0.0 -0.1 -0.0 0.9 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -1.1 0.1 0.2 -0.1 -0.2 -0.7 -0.7 0.2 -0.7 BTP 0.2 0.0 0.4 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.0 0.3 0.1 0.4 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.0 0.3 0.1 -2.7 0.1 0.0 0.2 0.0 0.2 0.0 0.7 -0.2 0.6 0.6 0.4 -0.3 -0.5 0.7 0.1 BUND 0.1 -0.3 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 0.0 0.0 -0.0 -0.1 -0.1 -0.2 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.1 0.0 0.5 -0.0 0.1 0.0 0.0 -0.0 0.0 0.2 0.1 0.2 0.1 -0.1 -0.6 -0.7 0.4 -0.3 BUXL 0.1 -0.2 0.1 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 0.1 0.1 -0.1 -0.0 -0.1 -0.2 -0.0 -0.1 -0.1 -0.0 0.0 0.1 -0.1 0.0 -0.0 0.0 0.1 0.0 0.1 -0.0 0.0 0.0 0.2 0.3 0.3 0.0 -0.7 -0.7 0.1 0.0 CAC 0.4 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 0.4 -0.0 0.2 0.0 0.2 0.2 0.2 0.5 0.2 -1.5 0.1 0.0 0.2 0.1 0.2 0.1 0.5 -0.5 -0.2 0.1 -0.0 -0.2 0.4 -0.1 0.6 CAD -0.0 -0.2 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 0.0 0.2 -0.1 -0.2 -0.0 -0.6 -0.5 -0.1 -0.4 CANOLA 0.6 0.6 -0.4 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 -0.3 0.1 -0.4 0.1 -0.0 -0.3 -0.1 -0.3 -0.2 0.0 -0.1 0.1 -0.5 0.1 -2.7 0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.8 0.3 0.6 0.1 -0.6 -0.7 -0.7 -0.6 -0.2 CHF -0.3 -0.6 -0.4 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.2 -0.2 -0.1 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.1 -0.2 -0.1 -0.2 -0.4 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -1.1 -0.5 -0.6 -0.6 -0.4 -0.4 -0.5 -0.1 -0.5 COCOA 0.6 0.4 -0.3 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 0.3 0.4 0.4 0.2 0.2 0.2 0.4 0.2 -1.9 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.5 0.6 0.6 0.6 0.2 0.0 0.4 0.5 COFFEE 0.1 -0.1 0.3 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.1 0.3 0.1 0.3 0.1 0.0 0.2 0.2 0.2 0.2 0.1 0.1 0.1 0.2 0.1 -2.7 0.0 0.1 0.2 0.1 0.2 0.1 0.8 0.5 0.4 0.1 0.2 -0.3 -0.7 0.0 -0.4 COPPER 0.5 0.5 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.3 0.1 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.1 0.2 -1.9 0.1 -0.0 0.1 0.0 0.0 0.1 0.1 0.2 0.4 0.2 0.5 -0.7 -0.1 0.4 0.2 CORN 0.6 0.5 0.1 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.1 -0.4 0.1 -0.7 0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.1 -0.2 0.0 -0.5 0.0 -2.4 -0.0 0.0 -0.2 0.0 -0.3 0.0 -1.0 0.4 0.4 -0.5 -0.6 -0.3 -0.7 -0.2 0.0 COTTON2 -0.5 0.3 0.6 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.0 0.3 0.0 0.1 0.0 0.1 0.1 -0.0 0.1 -0.0 -2.7 0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.1 -0.5 0.6 0.6 -0.4 -0.5 -0.1 0.0 CRUDE_W 0.4 0.4 0.1 0.1 0.0 0.1 0.1 0.1 0.1 0.2 0.1 0.2 0.4 0.2 0.2 0.3 0.2 0.2 0.2 0.2 0.1 0.2 0.4 0.2 -0.7 0.1 0.1 0.2 0.1 0.2 0.1 -0.1 0.3 0.3 0.2 -0.0 0.7 0.7 0.7 0.7 DAX 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 -0.3 -0.2 -0.3 -0.3 0.2 0.2 0.2 0.5 0.2 2.4 0.1 0.1 0.2 0.1 0.2 0.1 -0.6 0.5 0.6 0.4 0.1 -0.2 0.4 0.1 0.7 DOW -0.1 -0.1 0.5 0.1 0.0 0.2 0.1 0.1 0.1 0.1 0.5 0.1 0.7 0.1 0.2 -0.3 -0.2 -0.3 -0.2 0.2 0.2 0.2 0.5 0.2 -1.9 0.1 0.1 0.3 0.1 0.3 0.1 -0.5 0.1 -0.6 -0.6 0.0 -0.2 -0.2 0.1 -0.5 DX 0.1 0.1 0.1 -0.0 -0.0 0.0 -0.1 0.1 -0.0 0.2 0.1 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 0.2 -2.7 0.0 0.1 0.0 0.1 0.1 0.1 0.8 0.5 0.4 0.6 -0.1 0.6 0.1 0.7 0.3 EUR 0.0 0.0 -0.1 -0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.2 -0.0 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 2.6 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.4 -0.3 -0.1 0.1 -0.1 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE 0.1 -0.5 0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 0.1 -0.0 0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.0 0.0 0.1 -0.0 1.9 -0.0 0.0 0.0 0.0 0.1 -0.0 -0.1 0.0 0.2 0.0 0.0 -0.7 -0.7 0.3 0.7 EUROSTX 0.2 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 -0.1 0.0 0.0 0.1 0.2 0.2 0.2 0.5 0.2 0.1 0.1 0.0 0.2 0.1 0.2 0.1 0.7 -0.0 0.0 0.4 0.3 -0.4 0.5 -0.4 0.7 FEEDCOW -0.6 0.2 0.5 0.0 -0.1 0.0 -0.1 -0.1 0.0 -0.1 0.1 -0.2 0.1 -0.1 0.2 -0.4 -0.4 -0.4 -0.4 0.1 0.1 -0.2 0.2 -0.2 -1.0 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 -0.0 0.6 0.7 0.6 0.7 0.7 GASOIL 0.1 0.2 0.2 0.1 0.0 0.1 0.0 0.1 0.1 -0.1 0.2 0.0 0.5 0.1 0.2 0.4 0.4 0.4 0.4 0.1 0.1 0.0 0.4 0.1 1.0 0.1 -0.0 0.2 0.0 0.2 0.0 1.1 -0.2 -0.3 -0.1 0.1 -0.4 -0.3 -0.7 -0.5 GASOLINE 0.4 0.5 0.3 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.3 0.2 0.5 0.2 0.2 0.4 0.2 0.1 0.1 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.0 0.2 0.1 0.2 0.1 -0.4 0.1 0.1 0.6 0.4 0.7 0.6 0.7 0.6 GAS_US_mini -0.0 -0.0 -0.3 0.0 0.0 0.1 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 -0.1 -0.2 -0.1 -0.5 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.3 -0.6 -0.6 -0.6 -0.5 -0.1 -0.7 -0.2 GBP -0.1 -0.0 0.1 -0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.1 0.3 -0.2 0.3 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.1 0.2 -0.1 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.2 -0.3 -0.0 0.2 0.3 -0.7 -0.2 -0.7 0.0 GOLD_micro 0.6 0.6 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.2 0.5 0.2 0.5 0.2 0.2 -0.3 -0.3 -0.3 -0.3 0.2 0.2 0.2 0.3 0.2 -0.5 0.1 0.1 0.1 0.1 0.1 0.1 -0.8 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.7 -0.5 HEATOIL 0.1 0.1 0.1 0.1 0.0 0.1 0.0 0.1 0.1 -0.1 0.0 0.0 0.3 0.1 0.1 0.3 0.4 0.4 0.4 0.1 0.1 -0.0 0.3 0.1 -2.7 0.1 -0.0 0.2 -0.0 0.3 0.0 1.1 -0.4 -0.4 -0.1 0.1 0.7 0.2 0.5 0.1 JGB-SGX-mini -0.1 -0.2 0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 0.1 0.0 0.2 0.0 0.0 0.2 0.3 0.2 0.2 0.0 0.0 0.0 0.1 0.0 -1.0 -0.0 0.0 0.0 0.0 0.0 0.0 1.1 0.1 -0.0 0.2 0.0 -0.3 -0.6 0.0 0.3 JPY 0.1 -0.3 -0.3 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.4 -0.2 -0.6 -0.1 -0.2 -0.3 -0.3 -0.3 -0.3 -0.1 -0.2 -0.1 -0.5 -0.1 2.7 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -1.1 -0.5 -0.3 -0.4 -0.3 -0.7 -0.4 -0.6 -0.4 LEANHOG -0.2 0.6 0.6 0.0 -0.1 0.1 -0.1 -0.1 0.0 0.0 0.4 0.0 -0.4 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 0.0 -0.1 0.1 2.1 0.1 0.0 0.2 0.0 0.0 0.0 -1.1 0.2 0.3 0.6 0.6 -0.2 -0.3 0.2 0.4 LIVECOW -0.5 0.5 0.4 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.1 0.0 0.2 0.4 0.0 0.3 0.1 0.1 0.1 -0.2 0.2 -0.0 -0.8 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.2 -0.5 -0.5 0.6 0.6 0.7 0.3 0.7 0.7 LUMBER-new 0.0 0.3 0.5 0.0 -0.1 0.1 -0.1 -0.1 0.0 -0.2 0.5 -0.1 -0.4 0.1 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 -0.1 0.1 0.1 NaN 0.1 -0.1 0.2 -0.1 0.2 0.0 -1.2 -0.6 0.6 0.7 0.7 -0.4 -0.6 -0.3 -0.4 MILK -0.5 -0.2 0.3 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.4 -0.2 -0.5 -0.2 -0.1 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.2 -0.5 -0.2 1.7 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -1.1 -0.5 -0.6 -0.5 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.3 0.3 0.2 -0.0 -0.0 0.0 -0.1 0.1 -0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.4 0.3 0.4 0.3 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 1.1 0.5 0.6 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro -0.1 0.0 0.4 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.4 0.1 0.6 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 0.3 0.0 -0.4 -0.3 -0.6 -0.5 0.2 0.2 -0.1 0.4 -0.1 NIKKEI -0.2 0.4 0.6 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.5 0.1 0.7 0.2 0.2 0.1 0.2 0.2 0.2 0.2 0.2 0.2 0.5 0.2 -2.1 0.1 0.0 0.2 0.0 0.2 0.1 1.1 0.2 -0.5 0.4 0.6 -0.6 -0.2 -0.3 -0.2 NZD -0.3 -0.2 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.0 -0.2 -0.1 -0.2 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.2 0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -0.5 -0.6 -0.2 -0.2 -0.3 -0.3 -0.1 0.2 OAT 0.1 -0.3 0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 0.1 -0.0 0.0 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.0 0.0 0.0 0.0 -0.0 0.6 -0.0 0.0 0.0 0.0 0.0 0.0 0.7 -0.0 0.2 0.2 0.0 -0.6 -0.7 0.4 0.1 OATIES -0.1 0.0 -0.3 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.5 -0.1 -0.5 -0.1 -0.1 0.2 -0.0 0.1 0.0 -0.1 -0.1 -0.1 -0.4 -0.1 -2.7 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -0.0 -0.3 -0.5 -0.2 -0.2 -0.4 0.0 -0.1 0.5 OJ -0.2 0.2 -0.6 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.1 0.2 0.1 0.4 0.1 0.1 0.1 0.3 0.1 0.2 0.1 0.1 0.0 0.5 0.1 -2.7 0.0 0.0 0.2 0.0 0.5 0.0 1.1 0.2 -0.1 0.5 -0.3 0.4 0.3 0.6 0.7 PALLAD 0.3 0.6 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.2 0.0 1.3 0.0 0.0 -0.0 -0.0 -0.1 0.0 0.4 -0.1 -0.1 -0.1 0.1 -0.7 -0.4 -0.6 -0.2 PLAT 0.2 0.1 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 1.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.0 -0.2 -0.3 0.0 -0.5 -0.1 0.7 0.2 REDWHEAT 0.5 0.1 -0.2 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.1 -0.5 0.1 -0.7 -0.0 -0.1 0.1 0.0 0.1 0.1 -0.1 -0.2 0.0 -0.5 -0.0 -1.1 -0.1 0.0 -0.2 0.0 -0.3 -0.0 0.1 0.3 0.0 -0.6 -0.6 -0.4 -0.7 -0.2 -0.7 RICE -0.6 -0.6 0.1 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.2 0.2 -0.2 0.5 -0.2 -0.1 -0.3 -0.1 -0.3 -0.2 -0.2 0.1 -0.2 0.4 -0.2 -2.6 -0.0 -0.2 0.0 -0.2 0.1 -0.1 -0.7 -0.5 -0.6 -0.6 -0.3 0.2 -0.1 0.6 0.2 ROBUSTA 0.3 -0.1 0.6 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.1 0.5 0.2 0.6 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 1.1 0.5 0.6 0.6 0.6 -0.7 -0.6 -0.3 0.1 RUSSELL 0.0 0.3 0.4 0.1 0.0 0.1 0.0 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 -0.3 0.1 0.1 0.1 0.1 0.1 0.0 -0.0 -0.0 -0.5 -0.6 -0.3 -0.5 -0.6 -0.5 -0.7 SHATZ 0.2 -0.6 -0.3 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.0 -0.2 -0.1 1.1 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -1.1 -0.0 0.0 -0.3 -0.3 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.5 0.5 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 0.1 -0.0 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 0.0 0.1 0.6 0.1 0.0 0.1 0.0 0.0 0.1 -0.1 0.2 0.6 0.5 0.2 -0.5 -0.6 0.7 -0.0 SMI 0.4 0.6 0.6 0.1 0.0 0.2 0.1 0.2 0.1 0.2 0.5 0.2 0.5 0.2 0.2 -0.0 0.1 0.1 0.1 0.2 0.2 0.2 0.4 0.2 2.2 0.1 0.0 0.2 0.1 0.1 0.1 1.0 -0.5 -0.1 -0.6 -0.3 0.4 -0.1 0.7 -0.2 SOFR -0.0 -0.3 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 0.1 -0.0 -0.0 -0.1 -0.1 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.4 -0.0 0.0 0.0 0.0 0.0 -0.0 0.2 -0.0 0.1 -0.0 0.0 -0.7 -0.7 0.0 -0.1 SOYBEAN 0.6 0.2 -0.6 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.4 0.1 -0.2 0.1 -0.1 0.1 0.3 0.1 0.2 -0.0 -0.2 0.1 -0.4 0.1 -2.7 -0.0 -0.0 -0.1 0.0 -0.1 0.0 1.0 0.2 0.6 -0.1 -0.6 -0.3 -0.7 -0.3 -0.7 SOYMEAL 0.6 -0.2 -0.6 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.0 -0.5 0.1 -0.5 -0.1 -0.2 -0.2 0.2 -0.1 0.0 -0.2 -0.2 0.0 -0.4 -0.0 -2.7 -0.0 -0.0 -0.2 0.0 -0.1 -0.0 0.5 0.2 0.4 -0.5 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 0.4 -0.2 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.3 0.1 -0.4 0.1 -0.0 -0.2 0.0 -0.1 -0.1 0.0 -0.1 0.0 -0.3 0.1 -2.7 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.1 0.6 0.4 -0.1 -0.6 -0.3 -0.4 0.2 SP400 0.2 0.6 0.6 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.5 0.2 0.5 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.5 0.2 -1.8 0.1 0.1 0.2 0.1 0.2 0.1 0.0 0.2 0.1 -0.1 -0.0 -0.4 -0.3 -0.3 -0.7 SP500_micro 0.1 0.5 0.6 0.1 0.0 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 -2.7 0.1 0.0 0.2 0.0 0.3 0.1 -0.6 -0.1 -0.2 -0.0 0.6 0.0 -0.1 0.4 -0.2 SUGAR11 0.2 -0.1 -0.3 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.1 -0.2 0.1 0.2 -0.0 -0.0 0.2 0.3 0.3 0.3 -0.1 -0.1 0.1 0.0 0.0 -2.7 -0.0 0.1 -0.1 0.0 -0.0 0.0 1.1 0.4 -0.1 -0.2 -0.6 0.7 0.1 0.7 0.6 US10 -0.0 -0.3 0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.0 -0.0 0.0 -0.2 -0.0 0.3 -0.0 0.0 0.0 0.0 -0.0 -0.0 -0.6 -0.0 0.1 -0.0 0.1 -0.7 -0.7 -0.5 0.2 US10U -0.0 -0.3 0.1 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 0.1 -0.0 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.2 -0.0 -0.1 -0.0 0.0 0.0 0.0 -0.1 -0.0 0.1 -0.0 0.1 0.0 0.1 -0.7 -0.7 0.5 0.6 US2 -0.1 -0.6 -0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.0 -0.2 -0.1 1.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.1 -0.1 -0.1 -0.3 -0.1 -0.7 -0.7 -0.7 -0.7 US20 0.0 -0.2 0.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.0 0.1 0.2 0.2 -0.7 -0.7 0.7 0.7 US30 -0.0 -0.1 0.1 -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 -0.2 -0.1 -0.0 -0.0 0.0 -0.2 -0.0 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.0 -0.4 -0.0 0.1 0.3 0.2 -0.5 -0.5 0.7 0.7 US5 -0.0 -0.4 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 -0.0 -0.2 -0.0 0.7 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.8 -0.1 0.0 -0.1 0.0 -0.7 -0.7 -0.7 -0.2 VIX 0.2 0.3 -0.3 -0.1 -0.1 -0.5 -0.1 -0.9 -0.1 -0.3 -0.9 -0.3 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.2 -0.9 -0.2 NaN -0.2 -0.1 -0.6 -0.1 -1.1 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.5 -0.1 -0.2 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.1 -0.5 0.2 -0.7 -0.0 -0.1 -0.3 -0.2 -0.3 -0.3 -0.1 -0.2 0.1 -0.5 0.0 0.1 -0.1 0.0 -0.2 0.0 -0.2 -0.0 -1.1 0.5 0.0 -0.6 -0.6 -0.3 -0.7 -0.2 -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 3.1 -2.0 -1.5 -0.9 -4.4 1.5 -4.4 3.3 -2.6 -16.3 -4.1 -13.0 -10.8 -1.5 -12.1 -2.8 -2.9 -2.8 -2.8 -4.0 -3.2 -8.2 -5.7 -5.3 2.9 -2.3 -5.9 -1.5 -5.3 -2.3 -3.3 -1.1 -5.4 1.3 -0.6 -6.1 -20.0 -10.9 -13.5 -1.6 BITCOIN -3.4 13.3 7.8 2.9 1.3 0.5 0.7 -0.5 3.2 12.4 18.8 5.9 18.8 14.8 16.8 -9.7 -7.4 -9.3 -8.6 20.0 20.0 13.9 20.0 20.0 -20.0 7.0 2.2 6.7 2.6 5.2 5.1 -3.3 8.0 20.0 20.0 20.0 -6.3 0.4 17.5 4.1 BOBL 5.1 -16.0 -3.4 -1.2 2.3 -0.4 0.7 -1.1 -1.0 8.6 -1.7 1.6 -2.2 -5.9 -7.5 7.8 -12.7 -9.7 -14.1 -5.1 -3.1 4.1 -3.5 -1.8 6.6 -1.6 3.7 -0.9 2.2 -0.8 -0.3 -20.0 4.9 5.0 -2.6 -5.4 -20.0 -20.0 4.5 -20.0 BTP 5.8 0.4 12.8 -2.0 3.9 -0.6 1.2 -1.8 -1.7 3.1 12.8 8.0 11.7 9.6 8.0 4.9 6.2 4.9 5.2 11.3 14.8 5.0 11.8 8.0 -20.0 5.3 1.1 6.4 2.5 5.3 4.0 12.8 -8.4 17.8 20.0 13.7 -8.8 -14.1 20.0 2.7 BUND 3.1 -10.7 1.1 -1.3 2.6 -0.4 0.8 -1.2 -1.1 9.9 0.7 3.4 -0.8 -5.0 -6.9 -9.1 1.9 -3.7 -0.9 -2.3 -0.3 5.8 -2.2 0.1 4.1 -0.8 6.0 0.1 3.6 -0.3 0.5 4.0 6.1 6.5 2.7 -2.2 -17.3 -20.0 12.9 -9.7 BUXL 2.1 -5.5 4.2 -1.7 3.2 -0.5 1.0 -1.5 -1.4 12.5 2.7 5.4 -3.8 -2.9 -7.0 -7.5 -1.2 -4.7 -2.7 -0.2 1.1 7.9 -3.9 1.8 -0.2 0.5 9.0 1.1 5.5 -0.6 1.7 0.0 8.0 8.6 9.0 1.3 -20.0 -20.0 2.4 0.2 CAC 13.5 20.0 20.0 8.7 4.2 7.4 6.4 5.0 8.1 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -1.0 8.3 1.7 20.0 20.0 20.0 20.0 20.0 -11.6 9.6 3.0 8.2 5.1 6.0 8.2 9.7 -20.0 -5.3 3.2 -1.4 -6.9 13.0 -3.9 18.5 CAD -0.0 -5.8 1.3 -1.0 -5.0 1.7 -5.1 3.8 -3.0 -0.9 -2.8 -9.4 -4.9 -13.6 -15.7 -2.3 -2.2 -2.2 -2.2 -5.8 -3.2 -5.3 -4.4 -7.1 -0.4 -3.9 1.1 -2.2 -3.6 -2.6 -4.8 0.0 7.6 -2.3 -5.6 -0.3 -17.7 -15.3 -3.0 -12.9 CANOLA 20.0 20.0 -12.7 1.6 -4.6 0.9 -2.5 -1.5 0.1 -3.8 -9.8 7.5 -10.1 8.1 -3.0 -14.7 -5.7 -13.8 -11.4 0.4 -12.1 7.9 -16.8 10.5 -20.0 0.2 -1.1 -3.5 2.7 -5.1 3.3 -15.1 13.1 20.0 3.9 -20.0 -20.0 -20.0 -17.7 -6.6 CHF -10.6 -20.0 -11.1 -0.9 -4.1 1.4 -4.2 3.1 -2.5 -14.6 -9.0 -18.4 -2.2 -19.9 -19.0 -15.8 -15.7 -15.8 -15.8 -20.0 -12.5 -20.0 -2.7 -20.0 -3.1 -5.9 -6.7 -2.5 -9.2 -0.1 -8.4 -20.0 -20.0 -20.0 -20.0 -12.7 -11.9 -16.3 -2.6 -16.4 COCOA 20.0 11.9 -10.1 1.1 -3.3 0.7 -1.8 -1.0 0.1 7.8 9.3 8.8 9.2 9.1 9.2 20.0 13.4 20.0 20.0 20.0 20.0 20.0 14.6 20.0 -14.0 3.2 2.5 2.8 3.3 2.4 3.4 20.0 20.0 20.0 20.0 20.0 4.6 0.9 11.6 13.9 COFFEE 2.5 -4.2 7.9 2.8 -8.2 1.6 -4.4 -2.6 0.2 14.4 12.2 10.8 9.2 7.9 3.2 8.7 7.9 12.1 10.5 6.8 10.8 13.6 8.5 7.6 -20.0 3.7 10.0 5.9 8.8 6.1 5.0 15.2 20.0 12.8 3.6 5.7 -8.1 -20.0 0.5 -13.0 COPPER 15.2 14.5 8.1 3.0 1.3 0.5 0.7 -0.5 3.2 -13.3 9.4 6.3 -3.1 13.5 13.2 -5.0 -4.9 -5.3 -5.5 16.8 10.4 5.7 2.8 16.5 -14.3 5.3 -0.9 3.1 2.3 1.0 5.7 1.3 7.1 12.0 6.7 14.1 -20.0 -2.2 12.9 5.5 CORN 20.0 16.1 1.7 2.8 -8.2 1.6 -4.4 -2.6 0.2 7.8 -15.6 10.6 -20.0 10.2 -9.6 -19.7 -8.2 -17.6 -14.0 -6.5 -17.0 3.3 -20.0 2.4 -18.3 -4.5 2.7 -8.0 1.0 -8.6 0.0 -19.4 14.7 12.7 -15.2 -20.0 -7.8 -20.0 -6.0 0.1 COTTON2 -16.3 8.0 20.0 1.6 -4.7 0.9 -2.5 -1.5 0.1 -7.4 5.0 -10.7 3.5 -1.5 4.6 15.0 1.0 5.7 1.5 6.0 7.3 -5.4 3.6 -1.1 -20.0 3.4 -0.9 3.6 -0.8 2.3 1.0 0.8 -2.8 -15.3 20.0 20.0 -12.3 -13.6 -3.2 1.0 CRUDE_W 13.6 11.6 2.4 6.7 2.7 4.5 4.7 3.6 7.0 19.4 2.9 20.0 10.7 20.0 20.0 14.8 10.5 12.2 10.9 19.3 13.0 20.0 13.6 20.0 -5.2 8.1 7.0 5.7 8.4 5.9 9.7 -1.1 13.7 8.1 7.7 -1.2 20.0 20.0 20.0 20.0 DAX 16.8 20.0 20.0 8.5 4.1 7.2 6.2 4.9 7.9 20.0 20.0 20.0 20.0 20.0 20.0 -12.9 -11.7 -14.0 -13.3 20.0 20.0 20.0 20.0 20.0 18.3 9.5 8.7 7.8 9.7 5.4 10.0 -11.4 20.0 17.8 11.6 2.8 -5.5 11.5 2.0 20.0 DOW -3.4 -3.6 16.3 6.5 3.2 5.6 4.8 3.8 6.1 12.8 20.0 11.4 19.3 13.6 18.6 -12.5 -11.1 -12.9 -12.3 20.0 20.0 17.0 20.0 16.1 -14.5 7.3 6.5 9.4 6.4 8.9 5.9 -9.9 2.5 -20.0 -20.0 1.4 -5.4 -6.5 2.7 -14.7 DX 2.2 4.0 2.8 -1.0 -5.0 1.7 -5.1 3.8 -3.0 20.0 4.2 20.0 2.7 9.6 13.5 7.4 6.4 6.9 6.6 8.6 4.9 20.0 5.1 15.5 -20.0 3.6 11.4 1.5 11.8 2.2 7.8 14.9 20.0 11.2 20.0 -2.9 17.3 3.6 20.0 9.8 EUR 0.6 0.6 -1.8 -1.0 -4.9 1.7 -5.0 3.7 -2.9 -19.5 -1.2 -17.6 -1.5 -0.7 -9.5 -6.9 -6.7 -6.7 -6.5 -2.8 -1.9 -14.5 -2.4 -6.9 19.7 -0.6 -11.9 0.4 -9.2 0.0 -4.0 -7.5 -13.0 -3.1 3.6 -2.2 -20.0 -15.6 -20.0 -12.3 EURIBOR-ICE 2.1 -16.8 3.3 -1.0 1.9 -0.3 0.6 -0.9 -0.9 6.7 3.1 -0.9 2.9 -4.4 -3.9 -4.6 -3.9 -2.4 -2.6 -1.2 3.2 2.2 3.5 -1.0 13.9 -0.2 2.5 1.7 1.3 1.8 -0.2 -2.7 0.4 5.1 0.0 1.4 -20.0 -20.0 10.4 20.0 EUROSTX 7.1 20.0 20.0 8.4 4.1 7.2 6.2 4.8 7.8 20.0 20.0 20.0 20.0 20.0 20.0 -3.7 1.5 2.4 2.6 20.0 20.0 20.0 20.0 20.0 0.4 9.5 4.8 8.7 6.3 6.5 8.2 13.5 -2.1 0.5 13.6 8.1 -13.3 13.5 -11.4 20.0 FEEDCOW -20.0 6.9 14.7 3.0 -8.7 1.8 -4.7 -2.7 0.2 -16.5 2.0 -17.5 1.7 -6.2 17.3 -20.0 -20.0 -20.0 -20.0 5.2 8.5 -20.0 6.6 -16.3 -7.8 -0.6 -14.3 1.7 -13.8 3.6 -7.2 -20.0 -20.0 -20.0 -0.8 20.0 20.0 18.1 20.0 20.0 GASOIL 2.3 5.4 4.7 5.5 2.3 3.7 3.9 3.0 5.8 -10.6 8.6 2.1 12.6 10.0 16.2 19.5 20.0 20.0 20.0 12.7 13.0 1.2 14.8 9.0 7.2 5.7 -2.7 6.1 0.4 6.7 4.1 20.0 -7.2 -10.0 -4.0 3.6 -10.6 -9.2 -20.0 -16.2 GASOLINE 12.3 14.5 10.0 6.4 2.6 4.3 4.5 3.4 6.6 6.8 11.5 19.4 13.6 20.0 20.0 19.5 9.6 5.5 2.9 20.0 18.8 16.8 15.4 20.0 -20.0 8.2 2.8 6.2 5.1 5.8 7.9 -7.5 2.5 4.6 17.3 13.6 20.0 18.6 20.0 16.9 GAS_US_mini -1.1 -0.5 -9.5 3.0 1.2 2.0 2.1 1.6 3.2 -6.3 -11.9 -10.3 -12.6 -10.8 -11.5 -20.0 -20.0 -20.0 -20.0 -12.6 -18.6 -5.9 -20.0 -7.9 20.0 -4.4 -1.6 -5.3 -2.3 -5.0 -3.1 -20.0 -11.8 -20.0 -20.0 -20.0 -16.1 -2.1 -20.0 -6.8 GBP -2.8 -1.4 4.0 -1.1 -5.1 1.7 -5.2 3.9 -3.1 -14.6 11.2 -16.8 9.3 -5.3 1.7 -0.9 -0.6 -0.7 -0.6 1.7 6.1 -13.7 6.6 -6.2 2.2 1.8 -8.4 4.6 -9.2 3.9 -3.9 2.8 -13.4 -1.4 4.8 8.1 -20.0 -7.0 -20.0 0.2 GOLD_micro 20.0 18.7 9.1 3.0 1.3 0.5 0.7 -0.5 3.3 17.6 17.6 19.8 12.7 19.8 17.7 -14.9 -14.7 -15.3 -15.1 20.0 19.7 20.0 12.1 20.0 -3.9 6.5 8.5 4.5 6.8 2.9 7.2 -15.4 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -13.6 HEATOIL 4.5 2.9 2.1 5.9 2.4 3.9 4.1 3.2 6.1 -14.8 1.1 0.4 8.6 5.5 13.4 13.3 20.0 20.0 20.0 8.4 7.9 -0.8 10.4 6.0 -20.0 6.2 -2.5 6.6 -0.2 8.2 3.9 20.0 -17.6 -13.1 -2.6 4.1 20.0 5.2 15.4 2.4 JGB-SGX-mini -3.2 -4.8 6.5 -1.2 0.9 -0.4 0.4 -1.1 -1.0 5.9 5.0 4.5 6.8 0.6 0.9 8.4 15.7 10.6 12.0 0.3 2.9 3.2 4.1 0.5 -7.2 -0.1 2.3 0.6 2.0 0.4 0.3 20.0 5.6 -0.8 6.2 1.4 -9.3 -17.9 0.9 9.8 JPY 2.2 -7.8 -9.1 -0.7 -3.2 1.1 -3.2 2.4 -1.9 -12.8 -14.6 -14.2 -15.3 -13.6 -14.7 -16.5 -16.4 -16.5 -16.5 -13.6 -15.2 -13.8 -20.0 -13.8 20.0 -4.3 -3.5 -4.5 -5.5 -6.1 -5.1 -20.0 -20.0 -9.1 -12.6 -10.8 -20.0 -11.9 -16.5 -13.0 LEANHOG -5.0 17.6 20.0 3.4 -9.9 2.0 -5.3 -3.1 0.2 4.2 14.9 2.6 -9.8 17.5 20.0 -20.0 -20.0 -20.0 -20.0 20.0 14.3 4.9 -4.5 12.8 15.9 8.3 2.0 7.9 1.5 1.1 4.1 -20.0 9.1 9.5 20.0 20.0 -7.0 -8.6 5.8 13.3 LIVECOW -14.8 14.3 12.3 2.9 -8.5 1.7 -4.6 -2.7 0.2 -12.6 5.1 -13.3 3.5 1.4 17.6 20.0 0.4 15.5 5.3 11.1 9.7 -20.0 6.2 -4.0 -5.7 3.2 -9.4 3.6 -8.8 4.2 -2.2 3.4 -20.0 -15.2 20.0 18.5 20.0 8.7 20.0 20.0 LUMBER-new 0.2 9.2 12.2 3.4 -9.9 2.1 -5.3 -2.1 0.2 -20.0 17.1 -6.6 -9.8 12.0 17.9 -16.0 -15.4 -16.2 -15.7 16.0 14.7 -11.3 4.7 6.5 NaN 7.4 -11.5 7.1 -4.7 3.9 3.0 -20.0 -20.0 14.8 20.0 20.0 -10.8 -16.1 -6.6 -10.0 MILK -16.5 -5.9 8.8 1.9 -5.6 1.1 -3.0 -1.8 0.1 -12.7 -14.2 -14.0 -14.8 -14.0 -13.8 -20.0 -20.0 -20.0 -20.0 -16.9 -18.4 -16.7 -20.0 -17.9 12.7 -4.6 -4.9 -4.9 -4.9 -6.4 -5.0 -20.0 -19.7 -20.0 -15.6 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 10.2 8.8 7.3 -1.1 -5.2 1.8 -5.3 4.0 -3.1 16.8 20.0 20.0 20.0 20.0 20.0 18.5 17.1 17.7 16.9 20.0 20.0 20.0 20.0 20.0 -20.0 9.0 7.5 8.1 9.1 9.4 9.7 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -4.1 1.3 11.6 5.1 2.5 4.3 3.7 2.9 4.7 8.4 15.6 10.2 15.6 12.3 14.7 -11.1 -10.2 -11.4 -11.0 17.6 20.0 5.9 20.0 10.1 -20.0 5.7 0.3 8.0 1.6 8.7 3.1 -8.1 -13.5 -19.4 -14.7 6.3 7.1 -2.1 13.1 -4.0 NIKKEI -5.9 11.8 20.0 6.1 3.3 5.2 4.5 3.5 5.6 10.6 18.1 12.9 18.4 15.8 17.4 3.3 11.2 8.3 10.2 20.0 20.0 18.3 20.0 20.0 -15.6 6.7 1.8 7.4 3.0 6.5 4.7 20.0 10.2 -16.0 11.9 20.0 -18.7 -6.6 -7.5 -6.2 NZD -10.5 -6.3 0.1 -0.8 -3.7 1.3 -3.8 2.8 -2.2 -15.8 1.1 -16.9 -1.7 -14.7 -12.0 0.3 0.3 0.3 0.3 -7.9 -1.7 -19.1 -1.3 -15.2 0.1 -3.9 -8.1 -0.7 -9.3 -0.0 -7.5 4.2 -20.0 -20.0 -5.7 -5.1 -9.0 -8.3 -2.1 4.6 OAT 1.8 -8.5 4.0 -1.4 2.8 -0.4 0.9 -1.3 -1.2 7.8 2.9 -1.3 1.0 -4.7 -5.9 4.8 6.1 4.7 5.0 -0.6 2.4 2.2 0.4 -0.5 4.7 -0.1 3.1 1.5 1.6 0.9 0.0 12.5 -1.5 5.7 4.8 0.6 -18.2 -20.0 12.6 2.7 OATIES -2.4 1.1 -10.3 2.4 -7.1 1.4 -3.8 -2.2 0.2 -9.3 -17.0 -13.2 -14.2 -10.6 -6.6 9.6 -1.0 7.2 2.3 -7.9 -13.8 -8.3 -14.7 -7.1 -20.0 -3.3 -3.2 -4.9 -5.1 -5.5 -4.2 -0.8 -12.5 -14.1 -4.8 -7.6 -12.6 0.5 -2.3 14.0 OJ -4.8 6.1 -18.6 2.0 -6.0 1.2 -3.2 -1.9 0.1 7.3 7.2 6.4 11.7 6.5 7.5 6.1 14.5 7.4 10.5 7.1 11.8 3.7 20.0 4.7 -20.0 2.5 0.2 6.3 1.3 14.0 1.4 20.0 9.6 -1.8 15.9 -9.4 11.6 9.4 18.4 20.0 PALLAD 8.9 17.0 -0.1 1.2 0.5 0.2 0.3 -0.2 1.3 -3.9 -4.1 -0.4 -7.5 3.3 -2.2 -1.7 -2.1 -1.8 -1.9 0.2 -3.9 -0.7 -9.1 1.1 10.0 0.4 0.2 -1.6 -0.3 -3.9 0.7 6.9 -3.1 -2.0 -3.5 2.6 -20.0 -11.2 -16.6 -6.9 PLAT 6.7 2.9 -2.6 1.7 0.8 0.3 0.4 -0.3 1.9 -5.1 -4.9 -2.3 -8.1 -0.3 -6.8 -4.3 -3.4 -4.1 -3.9 -1.2 -2.8 -1.4 -3.9 -0.6 10.0 -0.1 0.3 -0.6 -0.7 -0.9 -0.0 4.1 -2.0 -7.4 -8.0 0.3 -14.1 -4.5 20.0 7.3 REDWHEAT 14.6 2.8 -7.6 2.4 -7.0 1.4 -3.8 -2.2 0.1 6.3 -17.2 8.9 -18.4 -4.3 -11.5 7.4 1.3 5.5 2.7 -10.1 -20.0 2.9 -20.0 -1.0 -8.3 -5.1 0.8 -7.8 0.9 -8.4 -1.4 2.6 11.3 0.2 -20.0 -20.0 -13.3 -20.0 -6.4 -20.0 RICE -20.0 -17.5 2.0 2.9 -8.3 1.7 -4.5 -2.6 0.2 -20.0 7.4 -20.0 14.4 -20.0 -8.3 -15.3 -4.7 -13.1 -10.7 -15.3 6.1 -20.0 14.4 -20.0 -19.3 -4.4 -18.2 0.0 -15.7 1.8 -10.3 -13.1 -20.0 -20.0 -19.3 -9.6 7.5 -3.6 16.5 6.7 ROBUSTA 10.0 -2.8 20.0 2.2 -6.5 1.3 -3.5 -2.1 0.1 9.9 17.4 15.0 17.6 15.6 17.2 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 6.8 5.4 7.9 6.3 7.9 6.1 20.0 20.0 20.0 20.0 20.0 -20.0 -18.6 -9.4 2.3 RUSSELL 0.2 8.7 13.3 4.9 2.4 4.1 3.6 2.8 4.5 12.2 12.8 10.2 9.5 11.8 13.0 -6.6 -6.3 -6.5 -6.5 11.1 11.4 11.8 7.4 9.8 -1.9 5.0 6.9 5.2 5.1 3.8 4.2 -0.9 -0.0 -16.3 -18.5 -8.6 -14.3 -18.6 -14.7 -20.0 SHATZ 5.0 -20.0 -9.4 -1.0 1.9 -0.3 0.6 -0.9 -0.9 3.7 -6.6 -2.0 -7.0 -6.9 -7.8 -20.0 -20.0 -20.0 -20.0 -9.4 -7.9 -0.2 -8.1 -5.7 8.1 -2.2 0.8 -1.6 0.1 -1.6 -1.4 -20.0 -0.6 0.2 -9.2 -8.6 -20.0 -20.0 -8.4 -20.0 SILVER-mini 15.9 15.7 0.0 2.5 1.1 0.4 0.6 -0.4 2.7 -7.5 3.6 6.4 -1.3 10.3 5.3 -6.5 -6.6 -6.8 -6.8 10.4 4.0 4.4 0.3 11.6 4.6 4.7 0.5 2.5 2.0 1.0 4.7 -1.3 8.0 17.9 14.8 7.1 -15.4 -17.6 20.0 -0.3 SMI 13.5 18.9 20.0 7.9 3.8 6.7 5.8 4.5 7.3 19.1 20.0 18.7 14.2 20.0 20.0 -0.4 5.2 4.7 5.7 20.0 20.0 18.3 13.9 20.0 16.4 8.4 4.1 7.0 5.1 4.0 7.4 19.5 -20.0 -4.1 -20.0 -8.7 12.5 -3.7 20.0 -6.8 SOFR -0.3 -9.3 1.4 -1.4 2.8 -0.4 0.9 -1.3 -1.2 8.8 3.5 -2.6 -0.3 -6.7 -6.7 -0.9 0.1 0.1 0.3 -3.2 -1.2 1.2 -2.2 -2.5 -2.8 -0.8 1.9 0.5 0.5 0.1 -1.0 3.4 -1.6 2.3 -1.0 1.3 -20.0 -20.0 1.1 -3.0 SOYBEAN 20.0 7.4 -18.9 2.6 -7.6 1.5 -4.1 -2.4 0.2 -10.1 -13.3 11.9 -5.5 11.6 -8.5 3.0 12.8 6.0 8.8 -3.4 -14.1 6.9 -13.2 9.2 -20.0 -0.6 -1.1 -3.7 2.8 -3.0 3.7 18.2 7.9 20.0 -3.7 -20.0 -8.9 -20.0 -8.0 -20.0 SOYMEAL 20.0 -5.1 -20.0 2.4 -6.9 1.4 -3.7 -2.2 0.1 -1.1 -16.7 6.5 -12.8 -5.5 -14.9 -8.6 8.1 -4.0 1.7 -15.3 -20.0 2.3 -16.6 -1.4 -20.0 -4.5 -1.1 -6.5 1.0 -3.7 -0.1 8.9 7.4 13.8 -16.9 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 20.0 13.1 -6.1 2.1 -6.0 1.2 -3.2 -1.9 0.1 -10.1 -12.7 6.9 -11.3 8.0 -1.6 -8.2 1.9 -6.4 -2.9 1.5 -9.0 3.9 -12.9 8.3 -20.0 2.7 -1.6 -0.5 2.1 -2.1 4.4 -1.0 2.8 20.0 13.7 -4.1 -17.0 -9.4 -11.0 5.5 SP400 7.0 18.4 20.0 6.1 3.0 5.2 4.5 3.5 5.7 15.7 18.3 16.2 15.2 17.3 18.5 -4.6 -5.3 -5.3 -5.4 20.0 20.0 20.0 17.4 20.0 -13.3 6.8 6.7 6.1 6.3 4.4 6.4 0.9 9.8 3.0 -4.5 -0.1 -12.4 -9.1 -10.0 -20.0 SP500_micro 3.8 14.4 20.0 7.1 3.4 6.0 5.2 4.1 6.5 17.4 20.0 18.8 20.0 20.0 20.0 -13.3 -11.6 -13.2 -12.5 20.0 20.0 20.0 20.0 20.0 -20.0 8.3 3.2 9.2 4.5 8.1 6.2 -10.6 -4.7 -7.1 -0.7 17.1 1.4 -3.3 13.2 -5.7 SUGAR11 6.7 -3.3 -9.9 2.2 -6.3 1.3 -3.4 -2.0 0.1 13.4 -7.0 11.2 4.9 -0.3 -3.2 9.9 17.5 13.4 16.0 -4.8 -7.4 7.8 0.0 1.5 -20.0 -2.8 6.4 -4.7 4.4 -0.0 1.1 20.0 17.7 -3.3 -5.2 -20.0 20.0 3.9 20.0 16.5 US10 -0.2 -8.8 3.0 -1.2 2.4 -0.4 0.7 -1.1 -1.1 6.8 2.0 -2.2 -3.2 -6.2 -5.6 -7.4 -8.0 -8.2 -8.3 -2.9 -2.3 0.5 -5.9 -2.2 2.4 -0.6 1.1 0.1 0.3 -1.0 -0.8 -11.1 -1.7 2.3 -0.5 2.0 -20.0 -20.0 -13.9 7.1 US10U -0.3 -7.9 2.7 -1.8 3.4 -0.5 1.0 -1.6 -1.5 10.3 2.3 -3.1 -4.4 -9.4 -8.6 -4.1 -0.5 -2.3 -1.1 -3.9 -3.5 1.1 -9.0 -2.9 -0.6 -0.6 2.1 0.2 0.6 -1.6 -1.0 1.8 -2.0 2.7 1.3 3.6 -20.0 -20.0 13.9 18.7 US2 -2.8 -17.6 -2.1 -1.0 2.0 -0.3 0.6 -0.9 -0.9 0.5 -3.5 -3.5 -6.6 -6.8 -6.9 -20.0 -20.0 -20.0 -20.0 -6.9 -5.6 -3.0 -8.4 -5.7 10.9 -1.9 -1.2 -0.8 -1.1 -1.5 -1.9 -20.0 -4.3 -2.7 -7.9 -2.3 -20.0 -20.0 -20.0 -20.0 US20 0.2 -4.7 5.8 -1.3 2.5 -0.4 0.8 -1.2 -1.1 8.6 3.4 -1.3 -1.7 -3.6 -3.7 -0.0 -0.8 -0.1 -0.4 -0.5 -0.4 2.5 -5.2 -0.3 -1.3 0.7 2.9 1.2 1.3 -0.8 0.2 2.0 0.1 4.4 5.3 6.5 -20.0 -20.0 20.0 20.0 US30 -1.5 -3.0 4.2 -1.5 2.9 -0.5 0.9 -1.4 -1.3 9.8 2.8 -2.8 -3.5 -4.2 -5.6 -7.1 -6.0 -7.5 -7.0 -1.0 -1.3 2.4 -7.2 -0.8 -0.6 0.8 4.2 1.2 1.5 -1.5 -0.0 -8.2 -0.2 2.6 7.9 5.5 -14.5 -16.0 20.0 20.0 US5 -0.7 -12.3 0.8 -1.2 2.3 -0.4 0.7 -1.1 -1.0 5.0 0.5 -2.3 -4.3 -6.6 -6.3 -10.2 -10.1 -9.8 -10.0 -4.7 -3.5 -0.5 -6.1 -3.6 5.2 -1.2 0.2 -0.2 -0.2 -0.9 -1.3 -14.5 -2.6 0.7 -3.9 0.1 -20.0 -20.0 -19.9 -7.2 VIX 3.2 6.3 -5.6 -8.1 -7.6 -11.1 -7.2 -15.3 -6.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -15.5 -20.0 -13.0 -20.0 -11.1 NaN -9.2 -9.0 -13.4 -8.3 -19.4 -7.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 14.2 -3.1 -4.7 2.6 -7.4 1.5 -4.0 -2.3 0.2 15.4 -17.1 15.9 -19.5 -3.5 -11.4 -16.4 -11.8 -14.2 -12.9 -11.0 -19.4 11.0 -20.0 1.3 1.1 -4.7 4.9 -6.2 3.8 -6.3 -0.3 -20.0 20.0 0.1 -20.0 -20.0 -9.7 -20.0 -5.6 -20.0 End of report for caleb_strategy_v3