******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240401_204022 produced at 2024-04-01 21:37:42.423459 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -0.75 0.0 0.00 0.00 0.00 0.00 -10.93 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 -70.64 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 -8.97 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.28 0.0 0.00 0.00 0.00 0.00 -4.88 13.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.39 -0.18 0.0 0.51 -0.51 -0.39 -0.36 -4.58 13.0 -10 -9 caleb_strategy_v3 JPY False False 0.02 -0.02 -0.12 0.0 0.40 -0.40 -0.02 -0.02 -4.95 17.0 -1 -1 caleb_strategy_v3 US5 False False 0.03 -0.30 -0.09 0.0 0.75 -0.75 -0.30 -0.33 -2.91 25.0 -10 -11 caleb_strategy_v3 CAD False False 0.02 0.00 -0.09 0.0 0.61 -0.61 0.00 0.00 -4.18 29.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.00 -0.07 0.0 0.04 -0.04 0.00 0.00 -6.99 4.0 0 0 caleb_strategy_v3 EUR False False 0.04 0.00 -0.06 0.0 0.53 -0.53 0.00 0.00 -1.64 14.0 0 0 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.06 0.0 0.35 -0.35 -0.02 -0.02 -3.50 21.0 -1 -1 caleb_strategy_v3 AUD False False 0.02 -0.02 -0.06 0.0 0.35 -0.35 -0.02 -0.02 -3.31 19.0 -1 -1 caleb_strategy_v3 BOBL False False 0.04 -0.54 -0.06 0.0 0.69 -0.69 -0.54 -0.54 -1.58 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 -40.87 26.0 -19 -19 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.05 0.0 0.08 -0.08 -0.07 -0.07 -7.25 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 -17.85 51.0 -6 -6 caleb_strategy_v3 MILK False False 0.01 0.00 -0.05 0.0 0.05 -0.05 0.00 0.00 -5.73 5.0 0 0 caleb_strategy_v3 OATIES False True 0.00 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -7.58 2.0 0 0 caleb_strategy_v3 US10 False False 0.03 0.00 -0.04 0.0 0.53 -0.53 0.00 0.00 -1.39 17.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.02 -0.03 0.0 0.49 -0.49 0.02 0.00 -1.27 22.0 1 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.04 -0.03 0.0 0.29 -0.29 0.04 0.00 -0.86 8.0 1 0 caleb_strategy_v3 REDWHEAT False False 0.01 -0.02 -0.02 0.0 0.06 -0.06 -0.02 -0.02 -2.08 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 -2.33 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 -2.39 9.0 -4 -4 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.01 0.0 0.12 -0.12 -0.02 -0.02 -0.80 7.0 -1 -1 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.01 0.0 0.15 -0.15 -0.03 -0.03 -0.41 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 -0.91 10.0 -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 -0.94 23.0 0 0 caleb_strategy_v3 US10U False False 0.03 -0.03 -0.01 0.0 0.42 -0.42 -0.03 -0.03 -0.43 13.0 -1 -1 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.01 0.0 0.01 -0.01 0.00 0.00 -2.17 3.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.00 -0.01 0.0 0.20 -0.20 -0.00 -0.01 -2.56 68.0 -1 -3 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 DOW False False 0.01 -0.01 -0.00 0.0 0.37 -0.37 -0.01 0.00 -0.84 66.0 -1 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.09 2.0 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 US30 False False 0.04 0.00 -0.00 0.0 0.21 -0.21 0.00 0.00 -0.12 6.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 0.00 0.0 0.12 -0.12 0.00 0.00 0.24 6.0 0 0 caleb_strategy_v3 US20 False False 0.03 0.03 0.00 0.0 0.30 -0.30 0.03 0.03 0.02 9.0 1 1 caleb_strategy_v3 PLAT False False 0.01 0.00 0.00 0.0 0.13 -0.13 0.00 0.00 0.24 10.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 0.01 0.0 0.13 -0.13 0.00 0.01 1.43 18.0 0 1 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.93 3.0 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 SILVER-mini False False 0.02 0.00 0.02 0.0 0.00 -0.00 0.00 0.00 1.21 0.0 0 0 caleb_strategy_v3 COCOA False False 0.03 0.08 0.03 0.0 0.72 -0.72 0.08 0.14 1.11 26.0 3 5 caleb_strategy_v3 SP400 False False 0.09 0.17 0.03 0.0 0.17 -0.17 0.17 0.17 0.39 2.0 2 2 caleb_strategy_v3 SP500_micro False False 0.01 0.21 0.03 0.0 0.36 -0.36 0.21 0.21 4.21 48.0 28 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 OAT False False 0.04 0.00 0.04 0.0 0.39 -0.39 0.00 0.00 1.10 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 6.59 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 19.35 59.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.05 0.04 0.0 0.09 -0.09 0.05 0.02 1.96 4.0 2 1 caleb_strategy_v3 COPPER False False 0.03 0.14 0.05 0.0 0.17 -0.17 0.14 0.14 1.59 6.0 5 5 caleb_strategy_v3 LIVECOW False False 0.02 0.02 0.05 0.0 0.35 -0.35 0.02 0.06 2.66 17.0 1 3 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.07 0.0 0.15 -0.15 0.07 0.07 5.93 13.0 6 6 caleb_strategy_v3 BTP False False 0.04 0.22 0.07 0.0 0.36 -0.36 0.22 0.18 1.97 10.0 6 5 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.07 0.0 0.13 -0.13 0.13 0.13 2.37 4.0 4 4 caleb_strategy_v3 NIKKEI False False 0.01 0.25 0.14 0.0 0.27 -0.27 0.25 0.24 18.95 36.0 34 32 caleb_strategy_v3 CAC False True 0.03 0.00 0.14 0.0 0.00 0.00 0.00 0.00 5.56 12.0 0 0 caleb_strategy_v3 DX False False 0.03 0.00 0.15 0.0 999.00 -999.00 0.00 0.00 4.91 999999999.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.29 0.16 0.0 0.31 -0.31 0.29 0.29 10.26 20.0 19 19 caleb_strategy_v3 SMI False False 0.04 0.29 0.19 0.0 0.33 -0.33 0.29 0.33 5.12 9.0 8 9 caleb_strategy_v3 DAX False False 0.01 0.14 0.21 0.0 0.33 -0.33 0.14 0.14 36.63 58.0 24 24 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.14 0.25 0.0 0.44 -0.44 0.14 0.14 9.05 16.0 5 5 caleb_strategy_v3 CRUDE_W False False 0.02 0.09 0.29 0.0 0.11 -0.11 0.09 0.07 13.10 5.0 4 3 caleb_strategy_v3 EURIBOR-ICE False False 0.07 0.00 0.33 0.0 0.75 -0.75 0.00 0.00 4.37 10.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.50 0.86 0.0 0.50 -0.50 0.50 0.50 101.94 60.0 60 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 25.0 Shocked risk 91.5 Sum abs risk 64.1 Leverage 6.31 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3527143.05, 'annual_cash_vol_target': 881785.7625, 'daily_cash_vol_target': 55111.61015625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0036 0.6500 0.5603 8.9646 BITCOIN 2027.2706 69595.0000 2.9130 46.6073 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 0.7372 0.3749 5.9991 CANOLA 7.2106 642.8000 1.1217 17.9479 CHF 0.0050 1.1144 0.4485 7.1766 COCOA 168.9555 9795.0000 1.7249 27.5987 COFFEE 2.7680 190.0500 1.4565 23.3033 COPPER 0.0402 4.0825 0.9835 15.7359 CORN 5.4755 474.7500 1.1533 18.4536 COTTON2 1.4767 93.3500 1.5818 25.3096 CRUDE_W 0.8280 77.8700 1.0633 17.0121 DAX 94.7812 18776.0000 0.5048 8.0768 DOW 226.3327 39892.0000 0.5674 9.0778 DX 0.3268 104.7300 0.3120 4.9926 EUR 0.0043 1.0774 0.3963 6.3407 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 11.1755 806.2500 1.3861 22.1776 GASOLINE 0.0345 2.6423 1.3052 20.8828 GAS_US_mini 0.0784 2.0750 3.7800 60.4798 GBP 0.0057 1.2550 0.4525 7.2400 GOLD_micro 15.0861 2262.1000 0.6669 10.6705 HEATOIL 0.0365 2.6270 1.3878 22.2045 JGB-SGX-mini 0.2165 145.3300 0.1489 2.3830 JPY 0.0000 0.0067 0.5514 8.8222 LEANHOG 1.0261 103.4750 0.9916 15.8662 LIVECOW 1.3132 180.2500 0.7286 11.6569 LUMBER-new 6.3632 612.5000 1.0389 16.6221 MILK 0.2059 16.5300 1.2456 19.9288 MXP 0.0003 0.0594 0.5346 8.5541 NASDAQ_micro 130.2461 18482.2500 0.7047 11.2753 NIKKEI 350.8797 39970.0000 0.8779 14.0457 NZD 0.0035 0.5950 0.5938 9.5002 OAT 0.4666 128.1700 0.3640 5.8243 OATIES 4.9564 352.5000 1.4061 22.4971 OJ 6.2208 368.4000 1.6886 27.0174 PALLAD 27.1110 1003.5000 2.7016 43.2263 PLAT 14.7251 911.4000 1.6157 25.8506 REDWHEAT 9.2800 571.0000 1.6252 26.0034 RICE 0.1539 16.5700 0.9286 14.8581 ROBUSTA 44.4653 3396.0000 1.3093 20.9495 RUSSELL 22.2261 2124.1000 1.0464 16.7420 SHATZ 0.0811 105.7000 0.0768 1.2283 SILVER-mini 0.3695 25.3000 1.4603 23.3652 SMI 62.9465 11635.0000 0.5410 8.6562 SOFR 0.0603 96.2750 0.0626 1.0016 SOYBEAN 10.2674 1182.5000 0.8683 13.8924 SOYMEAL 3.9974 336.8000 1.1869 18.9902 SOYOIL 0.6806 48.7600 1.3959 22.3347 SP400 22.9721 3054.5000 0.7521 12.0332 SP500_micro 28.4805 5293.2500 0.5381 8.6089 SUGAR11 0.3023 22.2700 1.3572 21.7159 US10 0.3656 109.9375 0.3325 5.3205 US10U 0.4923 113.4219 0.4340 6.9444 US2 0.1015 102.0586 0.0994 1.5905 US20 0.7262 118.4688 0.6130 9.8084 US30 1.0970 126.2188 0.8691 13.9062 US5 0.2424 106.4688 0.2277 3.6425 VIX 0.3851 16.2000 2.3775 38.0393 WHEAT 8.1663 611.0000 1.3365 21.3848 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 650.05 0.56 364.21 1.00 364.21 55111.61 151.32 -8.42 -127.39 BITCOIN 69.60 2.91 202.73 1.00 202.73 55111.61 271.85 6.57 178.65 BOBL 1182.50 0.21 246.62 1.08 267.09 55111.61 206.34 -7.54 -155.52 BTP 1190.10 0.45 530.68 1.08 574.73 55111.61 95.89 6.01 57.67 BUND 1333.80 0.37 487.12 1.08 527.55 55111.61 104.47 -1.01 -10.57 BUXL 1358.00 0.85 1156.95 1.08 1252.97 55111.61 43.98 -1.43 -6.30 CAC 822.35 0.52 424.34 1.08 459.56 55111.61 119.92 13.59 163.03 CAD 737.20 0.37 276.41 1.00 276.41 55111.61 199.39 -8.09 -161.22 CANOLA 128.56 1.12 144.21 0.74 106.41 55111.61 517.90 -14.17 -733.86 CHF 1393.06 0.45 624.84 1.00 624.84 55111.61 88.20 -20.00 -176.40 COCOA 979.50 1.72 1689.55 1.00 1689.55 55111.61 32.62 15.84 51.66 COFFEE 712.69 1.46 1038.00 1.00 1038.00 55111.61 53.09 3.85 20.43 COPPER 1020.62 0.98 1003.78 1.00 1003.78 55111.61 54.90 2.67 14.65 CORN 237.38 1.15 273.78 1.00 273.78 55111.61 201.30 -14.81 -298.07 COTTON2 466.75 1.58 738.33 1.00 738.33 55111.61 74.64 -2.57 -19.20 CRUDE_W 778.70 1.06 827.96 1.00 827.96 55111.61 66.56 18.18 120.99 DAX 187.76 0.50 94.78 1.08 102.65 55111.61 536.90 20.00 1073.80 DOW 199.46 0.57 113.17 1.00 113.17 55111.61 487.00 -0.74 -35.96 DX 1047.30 0.31 326.80 1.00 326.80 55111.61 168.64 11.22 189.23 EUR 1346.81 0.40 533.73 1.00 533.73 55111.61 103.26 -6.13 -63.25 EURIBOR-ICE 2441.75 0.05 116.70 1.08 126.39 55111.61 436.04 2.94 128.14 EUROSTX 504.50 0.60 302.91 1.08 328.06 55111.61 167.99 17.90 300.73 FEEDCOW 1294.12 0.72 934.92 1.00 934.92 55111.61 58.95 -4.40 -25.91 GASOIL 806.25 1.39 1117.55 1.00 1117.55 55111.61 49.31 9.16 45.17 GASOLINE 1109.77 1.31 1448.44 1.00 1448.44 55111.61 38.05 14.38 54.72 GAS_US_mini 51.88 3.78 196.09 1.00 196.09 55111.61 281.06 -13.43 -377.40 GBP 784.38 0.45 354.93 1.00 354.93 55111.61 155.28 -3.14 -48.81 GOLD_micro 226.21 0.67 150.86 1.00 150.86 55111.61 365.31 5.29 193.21 HEATOIL 1103.34 1.39 1531.20 1.00 1531.20 55111.61 35.99 5.90 21.25 JGB-SGX-mini 145330.00 0.15 21645.14 0.01 142.96 55111.61 385.50 2.17 83.61 JPY 834.00 0.55 459.86 1.00 459.86 55111.61 119.85 -15.92 -190.79 LEANHOG 413.90 0.99 410.44 1.00 410.44 55111.61 134.28 7.27 97.62 LIVECOW 721.00 0.73 525.29 1.00 525.29 55111.61 104.92 7.66 80.31 LUMBER-new 168.44 1.04 174.99 1.00 174.99 55111.61 314.95 -3.22 -101.51 MILK 330.60 1.25 411.78 1.00 411.78 55111.61 133.84 -20.00 -267.68 MXP 296.85 0.53 158.70 1.00 158.70 55111.61 347.26 20.00 694.52 NASDAQ_micro 369.64 0.70 260.49 1.00 260.49 55111.61 211.57 -1.91 -40.34 NIKKEI 39970.00 0.88 35087.97 0.01 231.75 55111.61 237.81 7.36 175.00 NZD 594.95 0.59 353.26 1.00 353.26 55111.61 156.01 -8.65 -134.92 OAT 1281.70 0.36 466.56 1.08 505.28 55111.61 109.07 2.95 32.16 OATIES 176.25 1.41 247.82 1.00 247.82 55111.61 222.39 -14.01 -311.65 OJ 552.60 1.69 933.11 1.00 933.11 55111.61 59.06 7.37 43.51 PALLAD 1003.50 2.70 2711.10 1.00 2711.10 55111.61 20.33 -1.26 -2.57 PLAT 455.70 1.62 736.26 1.00 736.26 55111.61 74.85 0.95 7.14 REDWHEAT 285.50 1.63 464.00 1.00 464.00 55111.61 118.78 -13.20 -156.83 RICE 331.40 0.93 307.75 1.00 307.75 55111.61 179.08 -16.05 -287.36 ROBUSTA 339.60 1.31 444.65 1.00 444.65 55111.61 123.94 12.02 148.96 RUSSELL 106.20 1.05 111.13 1.00 111.13 55111.61 495.92 -1.56 -77.15 SHATZ 1057.00 0.08 81.14 1.08 87.88 55111.61 627.15 -14.10 -884.10 SILVER-mini 632.50 1.46 923.66 1.00 923.66 55111.61 59.67 5.93 35.40 SMI 1163.50 0.54 629.47 1.11 695.84 55111.61 79.20 18.95 150.05 SOFR 2406.88 0.06 150.67 1.00 150.67 55111.61 365.78 -4.91 -179.78 SOYBEAN 591.25 0.87 513.37 1.00 513.37 55111.61 107.35 -8.03 -86.22 SOYMEAL 336.80 1.19 399.74 1.00 399.74 55111.61 137.87 -18.13 -250.00 SOYOIL 292.56 1.40 408.39 1.00 408.39 55111.61 134.95 -7.23 -97.63 SP400 3054.50 0.75 2297.21 1.00 2297.21 55111.61 23.99 4.87 11.69 SP500_micro 264.66 0.54 142.40 1.00 142.40 55111.61 387.01 4.68 181.07 SUGAR11 249.42 1.36 338.53 1.00 338.53 55111.61 162.80 4.12 67.14 US10 1099.38 0.33 365.58 1.00 365.58 55111.61 150.75 -7.26 -109.47 US10U 1134.22 0.43 492.28 1.00 492.28 55111.61 111.95 -3.05 -34.12 US2 2041.17 0.10 202.90 1.00 202.90 55111.61 271.62 -14.18 -385.28 US20 1184.69 0.61 726.24 1.00 726.24 55111.61 75.89 0.22 1.69 US30 1262.19 0.87 1097.01 1.00 1097.01 55111.61 50.24 -1.89 -9.47 US5 1064.69 0.23 242.38 1.00 242.38 55111.61 227.38 -10.11 -229.91 VIX 162.00 2.38 385.15 1.00 385.15 55111.61 143.09 -20.00 -286.18 WHEAT 305.50 1.34 408.32 1.00 408.32 55111.61 134.97 -13.35 -180.25 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -127.386 0.010 2.5 -3.305 BITCOIN 178.649 0.043 2.5 19.345 BOBL -155.521 0.004 2.5 -1.577 BTP 57.673 0.014 2.5 1.967 BUND -10.569 0.004 2.5 -0.107 BUXL -6.298 0.004 2.5 -0.064 CAC 163.027 0.014 2.5 5.561 CAD -161.217 0.010 2.5 -4.183 CANOLA -733.864 0.010 2.5 -17.854 CHF -176.401 0.010 2.5 -4.577 COCOA 51.661 0.009 2.5 1.106 COFFEE 20.430 0.005 2.5 0.239 COPPER 14.650 0.043 2.5 1.586 CORN -298.068 0.010 2.5 -7.252 COTTON2 -19.198 0.009 2.5 -0.411 CRUDE_W 120.990 0.043 2.5 13.102 DAX 1073.798 0.014 2.5 36.626 DOW -35.965 0.009 2.5 -0.836 DX 189.228 0.010 2.5 4.910 EUR -63.254 0.010 2.5 -1.641 EURIBOR-ICE 128.138 0.014 2.5 4.371 EUROSTX 300.727 0.014 2.5 10.257 FEEDCOW -25.909 0.013 2.5 -0.859 GASOIL 45.167 0.017 2.5 1.958 GASOLINE 54.725 0.017 2.5 2.372 GAS_US_mini -377.398 0.043 2.5 -40.867 GBP -48.810 0.010 2.5 -1.266 GOLD_micro 193.206 0.014 2.5 6.590 HEATOIL 21.247 0.017 2.5 0.921 JGB-SGX-mini 83.610 0.043 2.5 9.054 JPY -190.790 0.010 2.5 -4.950 LEANHOG 97.616 0.024 2.5 5.933 LIVECOW 80.314 0.013 2.5 2.661 LUMBER-new -101.510 0.009 2.5 -2.172 MILK -267.676 0.009 2.5 -5.733 MXP 694.517 0.059 2.5 101.936 NASDAQ_micro -40.343 0.009 2.5 -0.938 NIKKEI 174.999 0.043 2.5 18.950 NZD -134.922 0.010 2.5 -3.501 OAT 32.164 0.014 2.5 1.097 OATIES -311.652 0.010 2.5 -7.582 OJ 43.515 0.009 2.5 0.932 PALLAD -2.568 0.014 2.5 -0.088 PLAT 7.136 0.014 2.5 0.243 REDWHEAT -156.831 0.005 2.5 -2.080 RICE -287.360 0.010 2.5 -6.991 ROBUSTA 148.959 0.005 2.5 1.740 RUSSELL -77.150 0.013 2.5 -2.557 SHATZ -884.102 0.004 2.5 -8.965 SILVER-mini 35.396 0.014 2.5 1.207 SMI 150.050 0.014 2.5 5.118 SOFR -179.776 0.024 2.5 -10.926 SOYBEAN -86.219 0.004 2.5 -0.802 SOYMEAL -250.000 0.004 2.5 -2.325 SOYOIL -97.626 0.004 2.5 -0.909 SP400 11.692 0.013 2.5 0.387 SP500_micro 181.075 0.009 2.5 4.208 SUGAR11 67.137 0.009 2.5 1.428 US10 -109.466 0.005 2.5 -1.387 US10U -34.123 0.005 2.5 -0.432 US2 -385.280 0.005 2.5 -4.882 US20 1.688 0.005 2.5 0.021 US30 -9.474 0.005 2.5 -0.120 US5 -229.915 0.005 2.5 -2.913 VIX -286.184 0.099 2.5 -70.642 WHEAT -180.247 0.005 2.5 -2.391 ===================== Position diags ===================== AUD 3.93 BITCOIN 29.44 BOBL 2.09 BTP 3.27 BUND 1.06 BUXL 0.45 CAC 4.09 CAD 5.17 CANOLA 12.60 CHF 2.29 COCOA 0.70 COFFEE 0.62 COPPER 5.95 CORN 4.90 COTTON2 1.60 CRUDE_W 7.21 DAX 18.31 DOW 11.32 DX 4.38 EUR 2.68 EURIBOR-ICE 14.87 EUROSTX 5.73 FEEDCOW 1.95 GASOIL 2.14 GASOLINE 1.65 GAS_US_mini 30.43 GBP 4.03 GOLD_micro 12.46 HEATOIL 1.56 JGB-SGX-mini 41.75 JPY 3.11 LEANHOG 8.16 LIVECOW 3.48 LUMBER-new 6.74 MILK 2.87 MXP 50.97 NASDAQ_micro 4.92 NIKKEI 25.75 NZD 4.05 OAT 3.72 OATIES 5.41 OJ 1.26 PALLAD 0.69 PLAT 2.55 REDWHEAT 1.58 RICE 4.36 ROBUSTA 1.45 RUSSELL 16.43 SHATZ 6.36 SILVER-mini 2.04 SMI 2.70 SOFR 22.23 SOYBEAN 1.00 SOYMEAL 1.28 SOYOIL 1.26 SP400 0.79 SP500_micro 8.99 SUGAR11 3.46 US10 1.91 US10U 1.42 US2 3.44 US20 0.96 US30 0.64 US5 2.88 VIX 35.32 WHEAT 1.79 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -3.3 -3.7 -2.9 -1.0 -1 BITCOIN 19.3 16.4 22.3 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 5.6 5.2 6.0 0.0 0 CAD -4.2 -4.7 -3.7 0.0 0 CANOLA -17.9 -19.1 -16.6 -6.0 -6 CHF -4.6 -4.8 -4.3 -10.0 -10 COCOA 1.1 1.0 1.2 3.0 3 COFFEE 0.2 0.2 0.3 0.0 0 COPPER 1.6 1.0 2.2 5.0 5 CORN -7.3 -7.7 -6.8 -11.0 -11 COTTON2 -0.4 -0.6 -0.3 -2.0 -2 CRUDE_W 13.1 12.4 13.8 4.0 4 DAX 36.6 34.8 38.5 24.0 24 DOW -0.8 -2.0 0.3 -1.0 -1 DX 4.9 4.5 5.3 NaN 0 EUR -1.6 -1.9 -1.4 0.0 0 EURIBOR-ICE 4.4 2.9 5.9 0.0 0 EUROSTX 10.3 9.7 10.8 19.0 19 FEEDCOW -0.9 -1.1 -0.7 1.0 1 GASOIL 2.0 1.7 2.2 2.0 2 GASOLINE 2.4 2.2 2.5 4.0 4 GAS_US_mini -40.9 -43.9 -37.8 -19.0 -19 GBP -1.3 -1.7 -0.9 1.0 1 GOLD_micro 6.6 5.3 7.8 0.0 0 HEATOIL 0.9 0.8 1.1 2.0 2 JGB-SGX-mini 9.1 4.9 13.2 5.0 5 JPY -5.0 -5.3 -4.6 -1.0 -1 LEANHOG 5.9 5.1 6.7 6.0 6 LIVECOW 2.7 2.3 3.0 1.0 1 LUMBER-new -2.2 -2.8 -1.5 NaN 0 MILK -5.7 -6.0 -5.4 NaN 0 MXP 101.9 96.8 107.0 60.0 60 NASDAQ_micro -0.9 -1.4 -0.4 0.0 0 NIKKEI 19.0 16.4 21.5 34.0 34 NZD -3.5 -3.9 -3.1 -1.0 -1 OAT 1.1 0.7 1.5 0.0 0 OATIES -7.6 -8.1 -7.0 NaN 0 OJ 0.9 0.8 1.1 NaN 0 PALLAD -0.1 -0.2 -0.0 0.0 0 PLAT 0.2 -0.0 0.5 0.0 0 REDWHEAT -2.1 -2.2 -1.9 -2.0 -2 RICE -7.0 -7.4 -6.6 NaN 0 ROBUSTA 1.7 1.6 1.9 0.0 0 RUSSELL -2.6 -4.2 -0.9 -1.0 -1 SHATZ -9.0 -9.6 -8.3 NaN 0 SILVER-mini 1.2 1.0 1.4 NaN 0 SMI 5.1 4.8 5.4 8.0 8 SOFR -10.9 -13.1 -8.7 NaN 0 SOYBEAN -0.8 -0.9 -0.7 -1.0 -1 SOYMEAL -2.3 -2.5 -2.2 0.0 0 SOYOIL -0.9 -1.0 -0.8 -4.0 -4 SP400 0.4 0.3 0.5 2.0 2 SP500_micro 4.2 3.3 5.1 28.0 28 SUGAR11 1.4 1.1 1.8 0.0 0 US10 -1.4 -1.6 -1.2 0.0 0 US10U -0.4 -0.6 -0.3 -1.0 -1 US2 -4.9 -5.2 -4.5 NaN 0 US20 0.0 -0.1 0.1 1.0 1 US30 -0.1 -0.2 -0.1 0.0 0 US5 -2.9 -3.2 -2.6 -10.0 -10 VIX -70.6 -74.2 -67.1 -17.0 -17 WHEAT -2.4 -2.6 -2.2 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 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 -0.1 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.2 -0.1 -0.2 -0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 -0.1 0.4 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.3 -0.1 -0.0 -0.2 -0.7 -0.4 -0.5 -0.1 BITCOIN -0.4 0.4 0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.5 0.0 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 0.5 0.5 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 -0.1 -0.2 0.0 -0.0 0.1 0.0 -0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.0 -0.0 -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 -0.0 0.0 -0.1 -0.2 0.1 -0.3 0.1 -0.0 -0.3 -0.1 -0.3 -0.2 0.0 -0.1 0.0 -0.4 0.1 -2.7 0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.8 0.1 0.6 0.2 -0.6 -0.7 -0.7 -0.6 -0.2 CHF -0.5 -0.6 -0.4 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.2 -0.3 -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 -0.5 -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 0.4 0.1 0.1 0.4 0.3 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.1 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.5 0.6 0.6 0.6 0.1 0.0 0.3 0.4 COFFEE 0.1 -0.1 0.3 0.0 0.0 0.0 -0.0 -0.1 0.0 0.2 0.4 0.2 0.4 0.1 0.0 0.2 0.2 0.2 0.2 0.1 0.1 0.1 0.2 0.1 -2.7 0.1 0.1 0.2 0.1 0.2 0.1 0.8 0.5 0.4 0.2 0.2 -0.3 -0.7 0.0 -0.4 COPPER 0.4 0.5 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.3 0.1 -0.1 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.1 0.2 -2.0 0.1 -0.0 0.1 0.0 0.0 0.1 0.1 -0.4 0.5 0.2 0.4 -0.7 -0.1 0.4 0.2 CORN 0.5 0.5 0.1 0.0 0.0 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 -2.3 -0.0 0.0 -0.2 0.0 -0.3 0.0 -1.1 0.4 0.5 -0.4 -0.6 -0.3 -0.7 -0.2 0.0 COTTON2 -0.4 0.1 0.6 0.0 0.0 0.0 -0.0 -0.1 0.0 0.0 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 -0.2 -0.4 0.6 0.6 -0.4 -0.4 -0.1 0.0 CRUDE_W 0.5 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 0.2 0.3 0.3 -0.1 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 0.0 0.1 0.1 0.0 0.5 0.1 0.7 0.1 0.2 -0.2 -0.2 -0.3 -0.2 0.2 0.2 0.1 0.5 0.2 -1.9 0.1 0.1 0.3 0.1 0.3 0.1 -0.5 0.4 -0.4 -0.6 0.0 -0.2 -0.2 0.1 -0.5 DX 0.3 0.1 0.1 -0.0 0.1 0.0 -0.0 0.1 -0.0 0.2 0.1 0.2 0.1 0.2 0.2 0.2 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 0.8 0.5 0.6 0.6 -0.0 0.6 0.1 0.7 0.3 EUR -0.2 0.0 -0.1 -0.0 0.1 0.0 -0.0 0.1 -0.0 -0.2 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -0.1 2.6 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.4 -0.5 -0.4 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 0.3 0.0 1.1 -0.2 -0.4 -0.2 0.1 -0.3 -0.3 -0.7 -0.6 GASOLINE 0.4 0.5 0.3 0.1 0.0 0.1 0.1 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 -0.0 0.1 0.6 0.4 0.7 0.6 0.7 0.6 GAS_US_mini -0.0 0.1 -0.3 0.0 0.0 0.1 0.0 0.1 0.0 0.0 -0.3 -0.1 -0.5 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.2 -0.0 -0.5 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.1 -0.6 -0.6 -0.6 -0.6 -0.1 -0.7 -0.2 GBP -0.3 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.1 -0.0 -0.2 0.3 -0.2 0.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.2 0.2 -0.1 0.3 0.0 -0.1 0.1 -0.1 0.1 -0.0 0.1 -0.5 -0.2 0.1 0.2 -0.7 -0.2 -0.7 -0.0 GOLD_micro 0.5 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 -0.4 HEATOIL 0.2 0.1 0.1 0.1 0.0 0.1 0.1 0.1 0.1 -0.1 0.0 0.0 0.3 0.1 0.1 0.2 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 -0.5 -0.5 -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 -0.0 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 -0.0 0.0 0.2 0.1 -0.3 -0.6 0.0 0.3 JPY -0.1 -0.2 -0.3 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.1 -0.4 -0.2 -0.6 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.5 -0.2 2.7 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -1.1 -0.5 -0.4 -0.5 -0.4 -0.7 -0.4 -0.6 -0.4 LEANHOG -0.2 0.5 0.6 0.0 0.0 0.1 -0.0 -0.1 0.0 0.2 0.4 0.1 -0.3 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 0.2 -0.1 0.2 2.1 0.1 0.0 0.2 0.0 0.0 0.0 -1.1 -0.3 -0.1 0.6 0.6 -0.3 -0.3 0.1 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 -0.2 0.3 0.4 0.0 0.0 0.1 -0.0 -0.1 0.0 -0.1 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 -0.1 0.7 0.7 -0.4 -0.6 -0.2 -0.4 MILK -0.4 -0.3 0.3 0.0 0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.4 -0.2 -0.5 -0.2 -0.2 -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 -0.4 -0.6 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.3 0.3 0.2 -0.0 0.1 0.0 -0.0 0.1 -0.0 0.1 0.5 0.2 0.7 0.2 0.2 0.4 0.3 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 0.0 0.1 0.4 0.1 0.6 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.0 0.5 0.1 -2.7 0.1 0.0 0.2 0.0 0.3 0.0 -0.4 -0.1 -0.6 -0.5 0.2 0.2 -0.1 0.4 -0.1 NIKKEI -0.1 0.3 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 0.1 0.5 0.2 -2.1 0.1 -0.0 0.2 0.0 0.2 0.0 1.1 -0.0 -0.6 0.4 0.6 -0.6 -0.2 -0.3 -0.2 NZD -0.5 -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 -0.3 -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 0.0 0.0 -0.0 -0.1 0.0 0.0 -0.5 -0.1 -0.5 -0.1 -0.1 0.2 -0.0 0.1 0.0 -0.1 -0.2 -0.1 -0.4 -0.1 -2.7 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -0.0 -0.2 -0.5 -0.1 -0.2 -0.4 0.0 -0.1 0.5 OJ -0.1 0.2 -0.6 0.0 0.0 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 0.1 0.5 0.1 -2.7 0.0 0.0 0.2 0.0 0.5 0.0 1.1 0.1 -0.1 0.3 -0.3 0.4 0.3 0.6 0.7 PALLAD 0.2 0.4 -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 1.4 0.0 0.0 -0.0 -0.0 -0.1 0.0 0.4 -0.0 -0.0 -0.1 0.1 -0.7 -0.4 -0.6 -0.2 PLAT 0.1 0.1 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.1 -0.0 -0.3 -0.0 -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 -0.0 -0.2 -0.3 -0.0 -0.5 -0.2 0.7 0.2 REDWHEAT 0.4 0.1 -0.2 0.0 0.0 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 0.1 -0.6 -0.6 -0.4 -0.7 -0.2 -0.7 RICE -0.6 -0.6 0.0 0.0 0.0 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 0.0 -0.2 0.4 -0.2 -2.5 -0.0 -0.2 0.0 -0.2 0.1 -0.1 -0.7 -0.5 -0.6 -0.6 -0.4 0.3 -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 -0.1 0.3 0.4 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.4 0.1 0.4 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 0.2 -0.4 -0.5 -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 0.4 0.5 0.0 0.0 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 -0.1 -0.1 0.1 0.0 0.1 0.0 0.1 0.6 0.1 0.0 0.1 0.0 0.0 0.1 -0.1 0.0 0.5 0.5 0.3 -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 -0.2 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.4 -0.0 0.0 0.0 0.0 0.0 -0.0 0.2 0.2 0.1 -0.0 0.1 -0.7 -0.7 0.0 -0.1 SOYBEAN 0.6 0.3 -0.6 0.0 0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.4 0.1 -0.2 0.1 -0.1 0.1 0.3 0.1 0.2 -0.0 -0.1 0.0 -0.4 0.1 -2.7 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.9 0.1 0.6 -0.0 -0.6 -0.3 -0.7 -0.3 -0.7 SOYMEAL 0.5 -0.1 -0.6 0.0 0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.5 -0.0 -0.5 -0.1 -0.2 -0.2 0.2 -0.1 0.0 -0.2 -0.2 -0.0 -0.5 -0.0 -2.7 -0.0 -0.0 -0.2 0.0 -0.1 -0.0 0.4 0.3 0.3 -0.5 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.6 0.4 -0.2 0.0 0.0 0.0 -0.0 -0.1 0.0 -0.0 -0.3 0.1 -0.4 0.1 -0.0 -0.2 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 -0.2 0.6 0.5 -0.1 -0.6 -0.3 -0.4 0.2 SP400 0.1 0.6 0.6 0.1 0.0 0.1 0.0 0.1 0.1 0.1 0.5 0.2 0.6 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 0.5 0.2 0.0 0.0 -0.4 -0.3 -0.3 -0.7 SP500_micro 0.1 0.4 0.6 0.1 0.0 0.2 0.0 0.2 0.1 0.1 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.3 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.3 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 0.4 -0.1 -0.3 0.0 0.0 0.0 -0.0 -0.1 0.0 0.1 -0.2 0.2 0.2 0.0 -0.0 0.2 0.3 0.3 0.3 -0.0 -0.1 0.1 0.0 0.0 -2.7 -0.0 0.1 -0.1 0.1 0.0 0.0 1.1 0.3 0.4 -0.1 -0.6 0.7 0.1 0.7 0.6 US10 -0.2 -0.3 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -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 0.1 0.1 0.0 0.1 -0.7 -0.7 -0.5 0.2 US10U -0.1 -0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.0 0.0 0.0 0.0 -0.1 -0.0 0.1 0.2 0.2 0.1 0.1 -0.7 -0.7 0.5 0.6 US2 -0.2 -0.5 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.2 -0.1 1.5 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.1 0.0 -0.1 -0.2 -0.1 -0.7 -0.7 -0.7 -0.7 US20 -0.1 -0.1 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.2 0.2 0.2 0.2 -0.7 -0.6 0.7 0.7 US30 -0.2 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -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 0.2 0.2 0.3 0.2 -0.5 -0.5 0.7 0.7 US5 -0.2 -0.4 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 -0.1 -0.2 -0.1 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 0.0 0.2 -0.2 -0.1 -0.1 -0.5 -0.1 -0.9 -0.1 -0.1 -0.9 -0.3 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.1 -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 -0.1 0.0 0.0 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 0.2 -0.1 0.0 -0.2 0.0 -0.2 -0.0 -1.1 0.5 0.3 -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 -1.6 -1.7 -2.1 -0.8 5.3 1.4 -0.5 3.4 -1.6 -19.1 -4.5 -16.9 -11.0 -4.8 -13.2 -2.8 -2.9 -2.8 -2.8 -5.1 -3.6 -13.7 -5.8 -7.9 3.0 -2.3 -6.0 -1.5 -5.4 -2.3 -3.4 -1.1 -11.3 -2.2 -0.9 -6.6 -20.0 -11.0 -14.0 -1.9 BITCOIN -11.0 11.2 7.7 3.1 2.1 0.7 1.8 -0.4 3.4 7.4 18.5 3.0 18.6 14.6 16.4 -9.6 -7.4 -9.2 -8.6 20.0 20.0 10.5 20.0 20.0 -20.0 6.9 2.2 6.6 2.6 5.1 5.0 -3.3 20.0 15.1 20.0 20.0 -6.9 0.3 17.3 4.0 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 -2.1 -5.5 0.8 -0.9 6.0 1.6 -0.5 3.8 -1.8 -9.7 -3.0 -12.0 -5.1 -14.3 -16.5 -2.3 -2.2 -2.2 -2.2 -6.2 -3.5 -7.1 -4.5 -7.8 -0.4 -3.9 1.1 -2.2 -3.7 -2.6 -4.8 0.0 -1.4 -1.5 -6.0 -0.6 -18.4 -15.6 -3.5 -13.0 CANOLA 20.0 20.0 -12.4 1.4 1.6 0.9 -0.6 -1.4 0.2 -5.6 -9.2 5.5 -9.7 7.3 -2.3 -14.5 -5.8 -13.8 -11.5 0.6 -11.3 4.4 -16.3 8.4 -20.0 0.3 -0.4 -3.3 1.6 -5.0 2.7 -15.7 5.1 20.0 6.7 -20.0 -20.0 -20.0 -17.3 -6.3 CHF -13.9 -20.0 -12.3 -0.7 4.9 1.3 -0.4 3.1 -1.5 -16.9 -9.5 -18.8 -2.7 -19.8 -19.0 -15.8 -15.7 -15.8 -15.8 -20.0 -13.2 -20.0 -3.1 -20.0 -2.8 -5.8 -6.6 -2.4 -9.0 -0.1 -8.3 -20.0 -20.0 -20.0 -20.0 -14.2 -10.9 -16.4 -1.8 -16.2 COCOA 20.0 12.7 -7.8 1.1 1.3 0.7 -0.4 -1.1 0.2 8.5 10.1 9.5 10.1 9.9 10.1 20.0 13.7 20.0 20.0 20.0 20.0 20.0 16.7 20.0 -15.6 3.5 2.4 3.1 3.3 2.5 3.6 20.0 20.0 20.0 20.0 20.0 3.8 0.7 10.4 13.1 COFFEE 3.5 -2.3 8.2 2.7 3.1 1.7 -1.1 -2.6 0.4 17.8 13.0 15.5 9.8 12.2 4.1 7.7 7.9 11.5 10.2 8.5 11.7 15.3 9.2 10.2 -20.0 4.6 10.0 6.3 9.7 6.4 6.5 14.6 20.0 12.4 6.4 5.1 -7.5 -20.0 1.3 -12.6 COPPER 13.8 15.7 8.3 3.2 2.2 0.7 1.9 -0.4 3.5 2.7 9.9 8.4 -2.9 14.0 13.7 -5.1 -5.0 -5.4 -5.5 17.4 10.9 9.9 3.1 17.2 -14.7 5.4 -0.9 3.1 2.4 1.0 5.8 1.2 -15.1 16.0 6.9 13.4 -20.0 -2.2 13.0 5.6 CORN 16.7 15.1 2.0 2.4 2.8 1.5 -1.0 -2.3 0.4 10.8 -14.3 11.7 -19.9 11.2 -8.4 -19.5 -8.3 -17.6 -14.1 -5.5 -15.5 5.3 -20.0 3.1 -17.1 -4.2 2.6 -7.5 0.9 -8.0 0.0 -19.9 15.6 15.9 -11.5 -20.0 -8.6 -20.0 -7.0 0.1 COTTON2 -12.4 4.4 20.0 1.5 1.7 0.9 -0.6 -1.4 0.2 4.6 5.0 -9.0 3.6 -1.7 4.6 15.6 1.2 6.3 1.8 5.9 7.4 -2.4 3.7 -0.5 -20.0 3.5 -1.0 3.7 -0.8 2.3 1.0 0.9 -6.5 -11.9 20.0 20.0 -11.6 -13.5 -2.3 1.1 CRUDE_W 14.4 11.8 3.1 7.0 4.5 4.8 5.5 3.8 7.2 20.0 3.3 20.0 11.0 20.0 20.0 15.1 10.6 12.4 11.0 20.0 13.7 20.0 13.9 20.0 -5.2 8.1 7.0 5.7 8.5 5.9 9.7 -1.1 8.6 9.3 10.6 -1.6 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 -2.6 -3.2 15.6 6.4 0.2 5.6 3.2 3.9 5.5 1.6 20.0 9.6 19.1 12.8 18.1 -12.5 -11.1 -12.9 -12.3 20.0 20.0 12.0 20.0 15.0 -14.4 7.2 6.4 9.3 6.3 8.8 5.8 -9.9 15.8 -13.2 -20.0 1.2 -5.4 -6.7 3.0 -14.9 DX 9.5 4.1 3.7 -0.9 6.0 1.6 -0.5 3.8 -1.9 20.0 5.0 20.0 3.4 14.3 15.7 7.5 6.4 7.0 6.7 11.4 6.3 20.0 5.7 19.9 -20.0 4.7 14.6 2.0 13.3 2.2 9.2 15.0 20.0 18.1 20.0 -0.6 18.0 3.7 20.0 9.9 EUR -4.8 0.8 -2.2 -0.9 5.8 1.6 -0.5 3.7 -1.8 -20.0 -1.7 -20.0 -1.8 -5.5 -11.1 -6.9 -6.7 -6.7 -6.5 -4.7 -2.6 -20.0 -2.6 -11.4 19.9 -0.7 -12.3 0.5 -9.4 0.0 -4.1 -7.5 -20.0 -11.4 1.6 -2.0 -20.0 -15.4 -20.0 -12.2 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 3.1 4.7 6.0 5.8 3.8 4.0 4.6 3.1 6.0 -6.5 8.8 2.7 13.0 9.0 16.4 18.0 20.0 20.0 20.0 13.0 13.6 2.7 15.6 8.7 7.2 5.9 0.6 6.4 1.2 7.1 3.9 20.0 -9.5 -12.7 -5.4 3.1 -10.5 -9.4 -20.0 -16.6 GASOLINE 13.4 14.3 10.5 6.6 4.3 4.6 5.3 3.6 6.8 11.4 12.1 20.0 14.0 20.0 20.0 20.0 9.8 6.2 3.3 20.0 19.4 17.2 15.8 20.0 -20.0 8.2 2.8 6.2 5.1 5.8 7.9 -7.3 -0.1 3.8 18.4 13.2 20.0 19.1 20.0 17.2 GAS_US_mini -0.9 2.6 -9.3 3.3 2.1 2.3 2.6 1.8 3.4 4.8 -12.5 -8.0 -13.2 -10.0 -11.8 -20.0 -20.0 -20.0 -20.0 -12.7 -19.3 -2.3 -20.0 -7.0 20.0 -4.6 -1.6 -5.6 -2.4 -5.3 -3.2 -20.0 -5.6 -20.0 -20.0 -20.0 -16.8 -2.3 -20.0 -7.0 GBP -8.3 -1.5 3.7 -0.9 6.1 1.7 -0.5 3.9 -1.9 -20.0 10.9 -20.0 9.1 -9.8 -1.2 -1.0 -0.7 -0.7 -0.6 -0.1 5.4 -20.0 6.4 -10.2 2.2 1.8 -8.5 4.7 -9.3 4.0 -4.0 2.8 -20.0 -7.6 3.8 7.5 -20.0 -7.2 -20.0 -0.2 GOLD_micro 15.0 20.0 9.6 3.2 2.2 0.7 1.9 -0.4 3.5 18.8 17.7 20.0 12.8 20.0 18.0 -14.8 -14.7 -15.2 -15.1 20.0 20.0 20.0 12.5 20.0 -3.9 6.4 8.4 4.4 6.7 2.8 7.1 -15.3 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -13.4 HEATOIL 4.9 2.6 2.6 6.1 4.0 4.2 4.9 3.3 6.3 -8.2 1.1 1.7 8.7 5.1 13.7 12.1 20.0 20.0 20.0 8.5 8.0 1.8 10.6 6.2 -20.0 6.2 -2.5 6.7 -0.2 8.3 3.9 20.0 -20.0 -13.9 -4.2 3.0 20.0 5.3 15.7 2.5 JGB-SGX-mini -3.0 -5.4 5.7 -1.4 -3.2 -0.5 -1.3 -1.2 -1.6 -4.5 4.9 2.2 6.9 -0.0 0.2 8.4 15.7 10.6 12.0 0.0 2.7 -0.1 4.0 -0.5 -7.3 -0.3 -2.7 0.5 -0.1 0.4 -0.3 20.0 -0.6 0.2 6.0 1.8 -9.5 -17.6 0.9 9.7 JPY -4.6 -6.7 -9.8 -0.6 3.8 1.1 -0.3 2.4 -1.2 -14.1 -15.0 -15.1 -15.6 -14.5 -15.2 -16.6 -16.4 -16.5 -16.5 -14.3 -15.7 -14.2 -20.0 -14.6 20.0 -4.4 -3.6 -4.6 -5.6 -6.2 -5.2 -20.0 -20.0 -11.2 -14.2 -12.7 -20.0 -11.7 -16.6 -12.6 LEANHOG -5.4 16.9 20.0 3.2 3.7 2.0 -1.3 -3.0 0.5 20.0 15.7 13.0 -9.5 19.8 20.0 -20.0 -20.0 -20.0 -20.0 20.0 15.0 18.3 -4.0 17.2 15.5 8.3 2.0 7.9 1.5 1.1 4.1 -20.0 -11.2 -1.7 20.0 20.0 -7.5 -8.7 4.4 13.4 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 -4.4 9.0 11.9 3.3 3.8 2.1 -1.3 -2.1 0.5 -5.7 17.2 -7.1 -9.6 11.1 17.2 -16.0 -15.4 -16.2 -15.7 15.1 14.5 -7.4 4.8 5.6 NaN 7.3 -11.4 7.1 -4.7 3.9 2.9 -20.0 -20.0 -2.6 20.0 20.0 -10.6 -15.5 -6.2 -9.5 MILK -12.7 -8.1 9.0 1.8 2.1 1.1 -0.7 -1.7 0.3 -13.5 -14.4 -14.6 -14.9 -14.5 -14.1 -20.0 -20.0 -20.0 -20.0 -17.9 -19.0 -20.0 -20.0 -19.6 13.0 -4.6 -5.0 -4.9 -4.9 -6.5 -5.1 -20.0 -16.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 7.8 9.3 7.3 -0.9 6.2 1.7 -0.5 3.9 -1.9 11.0 20.0 19.3 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 -3.3 -0.6 11.4 5.1 0.1 4.5 2.6 3.1 4.4 5.6 15.9 10.1 15.9 12.5 15.0 -11.2 -10.2 -11.4 -11.0 17.6 20.0 5.1 20.0 9.8 -20.0 5.8 0.3 8.1 1.7 8.8 3.1 -8.2 -6.1 -20.0 -16.4 6.0 6.2 -2.0 12.2 -3.8 NIKKEI -4.0 10.0 20.0 6.1 0.2 5.4 3.1 3.7 5.2 -7.0 18.2 10.1 18.6 15.2 17.3 3.2 11.1 8.1 10.1 20.0 20.0 10.8 20.0 20.0 -15.8 6.7 -0.7 7.6 1.7 6.8 4.2 20.0 -2.0 -18.1 11.8 20.0 -19.0 -6.7 -7.9 -6.3 NZD -14.2 -6.9 -0.7 -0.7 4.5 1.2 -0.4 2.8 -1.4 -16.5 0.6 -17.7 -2.0 -15.8 -13.0 0.3 0.3 0.3 0.3 -9.4 -2.4 -20.0 -1.6 -17.7 0.1 -4.0 -8.2 -0.7 -9.4 -0.0 -7.6 4.2 -20.0 -20.0 -7.9 -6.6 -9.3 -8.1 -2.4 4.7 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 -2.0 0.8 -10.1 2.3 2.7 1.5 -0.9 -2.2 0.4 1.5 -17.6 -12.5 -14.7 -11.2 -6.9 9.5 -0.9 7.3 2.4 -8.2 -14.2 -6.5 -15.2 -7.0 -20.0 -3.5 -3.4 -5.2 -5.4 -5.9 -4.4 -0.9 -7.2 -16.2 -3.9 -6.5 -13.1 0.3 -2.6 14.3 OJ -3.7 5.4 -17.7 2.0 2.3 1.2 -0.8 -1.9 0.3 13.9 7.5 11.0 12.2 7.4 8.5 6.1 14.4 7.3 10.4 7.8 12.3 7.8 20.0 6.4 -20.0 2.6 0.2 6.6 1.3 14.5 1.4 20.0 3.0 -2.4 9.8 -9.7 11.8 9.5 19.1 20.0 PALLAD 5.4 13.2 -0.1 1.3 0.9 0.3 0.7 -0.2 1.4 -3.2 -4.2 -1.2 -7.5 3.1 -2.3 -1.8 -2.1 -1.8 -1.9 0.1 -3.9 -1.2 -9.2 0.7 10.2 0.4 0.2 -1.6 -0.3 -3.9 0.7 6.9 -1.1 -0.2 -3.9 3.0 -20.0 -11.4 -17.3 -7.1 PLAT 4.0 3.0 -3.0 1.9 1.3 0.4 1.1 -0.3 2.1 -5.9 -5.1 -3.8 -8.3 -1.1 -7.2 -4.3 -3.4 -4.2 -3.9 -1.5 -2.9 -2.7 -4.0 -1.2 10.2 -0.1 0.3 -0.6 -0.8 -0.9 -0.0 4.0 -0.1 -5.2 -8.1 -0.2 -14.1 -4.5 20.0 7.4 REDWHEAT 11.1 3.8 -7.4 2.3 2.6 1.4 -0.9 -2.2 0.4 -13.9 -17.5 6.4 -18.7 -4.4 -11.6 7.2 1.4 5.5 2.8 -10.3 -20.0 -1.1 -20.0 -2.1 -8.2 -5.2 0.9 -7.9 0.9 -8.5 -1.4 2.4 12.8 4.3 -20.0 -20.0 -13.0 -20.0 -5.6 -20.0 RICE -20.0 -20.0 0.5 2.6 3.0 1.6 -1.0 -2.5 0.4 -19.9 5.9 -20.0 13.7 -20.0 -9.8 -15.9 -4.8 -13.4 -10.9 -19.3 3.9 -20.0 13.4 -20.0 -18.6 -4.3 -18.0 0.0 -15.5 1.8 -10.2 -13.7 -20.0 -20.0 -20.0 -13.8 7.8 -3.5 17.4 7.0 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 -1.7 8.5 12.9 4.9 0.1 4.3 2.5 2.9 4.1 7.6 13.0 9.5 9.7 11.9 13.1 -6.6 -6.3 -6.5 -6.5 11.3 11.6 10.0 7.6 10.0 -1.9 5.0 7.0 5.2 5.1 3.8 4.3 -0.9 9.8 -13.1 -14.8 -8.5 -13.8 -18.6 -14.2 -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 11.4 16.0 0.3 2.7 1.8 0.6 1.6 -0.4 2.9 -3.8 4.0 5.1 -1.1 10.4 5.9 -6.4 -6.6 -6.8 -6.8 10.5 4.3 6.2 0.5 11.6 4.6 4.7 0.5 2.5 2.0 1.0 4.8 -1.2 1.2 14.0 15.2 8.7 -14.9 -17.3 20.0 0.1 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 -4.7 -8.4 0.6 -1.7 -3.9 -0.6 -1.6 -1.4 -1.9 -8.8 3.5 -6.8 -0.4 -8.1 -7.6 -1.0 0.1 -0.0 0.2 -3.9 -1.5 -5.5 -2.4 -4.5 -2.9 -0.8 2.0 0.5 0.5 0.1 -1.0 3.3 7.5 4.0 -0.2 2.0 -20.0 -20.0 1.5 -3.0 SOYBEAN 20.0 9.4 -18.3 2.4 2.8 1.5 -1.0 -2.3 0.4 -15.3 -13.1 9.3 -5.6 11.0 -8.3 2.8 12.7 5.8 8.7 -3.2 -13.7 3.2 -13.1 7.5 -20.0 -0.6 -1.1 -3.6 2.8 -3.0 3.6 17.7 6.1 20.0 -0.4 -20.0 -9.1 -20.0 -8.2 -20.0 SOYMEAL 16.2 -2.2 -20.0 2.2 2.6 1.4 -0.9 -2.1 0.4 -14.7 -16.9 -0.4 -13.1 -6.4 -15.2 -8.8 8.0 -4.2 1.5 -15.7 -20.0 -4.7 -16.9 -3.8 -20.0 -4.5 -1.1 -6.6 1.0 -3.7 -0.1 8.3 11.8 9.5 -15.7 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 20.0 13.7 -5.5 1.9 2.2 1.2 -0.7 -1.8 0.3 -3.7 -12.2 6.8 -11.0 7.8 -1.0 -8.2 1.8 -6.5 -3.0 1.7 -8.4 4.0 -12.4 7.7 -20.0 2.6 -1.5 -0.5 2.0 -2.0 4.3 -1.5 -8.4 20.0 16.0 -4.0 -17.6 -9.8 -11.0 5.3 SP400 3.6 18.7 20.0 6.1 0.2 5.3 3.1 3.7 5.2 10.4 18.4 14.4 15.4 17.2 18.5 -4.6 -5.3 -5.3 -5.4 20.0 20.0 20.0 17.8 20.0 -13.3 6.8 6.7 6.1 6.4 4.4 6.5 0.9 20.0 4.8 0.1 0.8 -11.9 -9.2 -9.4 -20.0 SP500_micro 3.4 13.3 20.0 7.1 0.2 6.2 3.6 4.3 6.0 12.1 20.0 18.5 20.0 20.0 20.0 -13.4 -11.6 -13.2 -12.6 20.0 20.0 18.2 20.0 20.0 -20.0 8.4 3.2 9.3 4.6 8.3 6.2 -10.6 5.2 -6.7 -1.5 17.7 0.6 -3.4 12.2 -5.6 SUGAR11 10.9 -2.6 -9.0 2.1 2.4 1.3 -0.8 -2.0 0.3 15.7 -7.1 15.1 5.1 1.8 -1.5 10.5 17.4 13.4 15.9 -3.5 -7.3 11.0 0.1 4.3 -20.0 -2.0 7.1 -4.5 6.1 0.0 2.6 20.0 14.4 11.4 -3.2 -20.0 20.0 4.4 20.0 17.4 US10 -4.7 -8.0 2.3 -1.4 -3.3 -0.5 -1.4 -1.2 -1.6 -7.5 1.9 -6.0 -3.3 -7.4 -6.4 -7.4 -8.0 -8.2 -8.3 -3.5 -2.6 -5.4 -6.1 -4.1 2.5 -0.6 1.2 0.1 0.3 -1.0 -0.8 -11.1 5.4 3.4 0.0 2.5 -20.0 -20.0 -13.8 6.7 US10U -4.4 -7.2 2.0 -2.0 -4.7 -0.7 -1.9 -1.7 -2.3 -10.6 2.2 -8.6 -4.6 -11.0 -9.6 -4.1 -0.5 -2.3 -1.1 -4.8 -3.9 -7.1 -9.2 -5.4 -0.5 -0.6 2.2 0.2 0.6 -1.6 -1.0 1.8 7.2 5.0 1.8 4.2 -20.0 -20.0 14.2 18.0 US2 -6.5 -16.7 -2.9 -1.2 -2.7 -0.4 -1.1 -1.0 -1.3 -7.1 -3.8 -6.0 -6.8 -7.5 -7.4 -20.0 -20.0 -20.0 -20.0 -7.5 -5.9 -7.7 -8.6 -7.4 11.1 -1.9 -1.3 -0.8 -1.1 -1.5 -1.9 -20.0 0.6 -2.6 -7.5 -2.1 -20.0 -20.0 -20.0 -20.0 US20 -4.4 -4.1 5.0 -1.5 -3.4 -0.5 -1.4 -1.2 -1.7 -7.6 3.4 -5.6 -1.8 -4.6 -4.5 -0.1 -0.8 -0.1 -0.4 -1.1 -0.6 -3.8 -5.3 -2.1 -1.3 0.8 3.0 1.2 1.3 -0.8 0.2 2.0 7.4 6.5 5.7 6.9 -20.0 -19.4 20.0 20.0 US30 -5.3 -2.4 3.6 -1.7 -4.0 -0.6 -1.6 -1.4 -1.9 -8.9 2.7 -7.4 -3.5 -5.5 -6.4 -7.1 -6.1 -7.5 -7.0 -1.6 -1.5 -3.9 -7.3 -2.6 -0.6 0.8 4.2 1.2 1.5 -1.5 -0.0 -8.2 6.5 5.2 8.1 5.8 -14.7 -15.6 20.0 20.0 US5 -5.0 -11.5 0.0 -1.4 -3.2 -0.5 -1.3 -1.2 -1.6 -7.7 0.3 -6.0 -4.5 -7.7 -7.0 -10.7 -10.2 -10.0 -10.1 -5.4 -3.8 -6.5 -6.4 -5.6 5.4 -1.3 0.2 -0.2 -0.2 -1.0 -1.4 -14.6 4.6 1.4 -3.3 0.5 -20.0 -20.0 -20.0 -7.3 VIX 0.7 4.6 -4.6 -8.3 -4.3 -11.0 -6.4 -15.1 -7.0 -8.4 -20.0 -19.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -15.6 -20.0 -10.0 -20.0 -11.0 NaN -9.2 -9.0 -13.5 -8.4 -19.5 -7.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 16.2 -2.3 -4.5 2.4 2.8 1.5 -1.0 -2.3 0.4 15.9 -17.1 17.6 -19.8 -1.4 -11.0 -16.6 -11.9 -14.3 -13.0 -10.0 -19.2 12.5 -20.0 3.0 1.3 -4.8 5.0 -6.3 3.8 -6.4 -0.3 -20.0 20.0 8.3 -20.0 -20.0 -9.1 -20.0 -4.9 -20.0 End of report for caleb_strategy_v3