******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240408_204015 produced at 2024-04-08 21:38:01.896663 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.19 0.0 0.00 0.00 0.00 0.00 -17.43 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.33 0.0 0.00 0.00 0.00 0.00 -10.21 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.30 0.0 0.00 0.00 0.00 0.00 -5.21 13.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.07 -0.29 0.0 0.08 -0.08 -0.07 -0.07 -63.33 17.0 -16 -16 caleb_strategy_v3 CHF False False 0.04 -0.28 -0.19 0.0 0.51 -0.51 -0.28 -0.28 -4.75 13.0 -7 -7 caleb_strategy_v3 JPY False False 0.02 -0.02 -0.14 0.0 0.40 -0.40 -0.02 -0.02 -5.92 17.0 -1 -1 caleb_strategy_v3 US5 False False 0.03 -0.42 -0.11 0.0 0.75 -0.75 -0.42 -0.42 -3.55 25.0 -14 -14 caleb_strategy_v3 CAD False False 0.02 0.00 -0.09 0.0 0.61 -0.61 0.00 0.00 -4.50 29.0 0 0 caleb_strategy_v3 RICE False True 0.01 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 -7.30 4.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.07 0.0 0.04 -0.04 -0.03 -0.03 -45.32 26.0 -19 -19 caleb_strategy_v3 US10 False False 0.03 0.00 -0.06 0.0 0.53 -0.53 0.00 0.00 -1.80 17.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.65 -0.06 0.0 0.69 -0.69 -0.65 -0.65 -1.55 19.0 -18 -18 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.05 0.0 0.08 -0.08 -0.07 -0.07 -7.91 12.0 -11 -11 caleb_strategy_v3 OATIES False True 0.00 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -10.38 2.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 0.00 -0.05 0.0 0.28 -0.28 0.00 0.00 -1.53 8.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.0 0.14 -0.14 -0.02 -0.02 -17.56 51.0 -6 -6 caleb_strategy_v3 NZD False False 0.02 -0.02 -0.04 0.0 0.36 -0.36 -0.02 -0.02 -2.28 21.0 -1 -1 caleb_strategy_v3 MILK False False 0.01 0.00 -0.04 0.0 0.05 -0.05 0.00 0.00 -4.02 5.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.03 0.0 0.09 -0.09 0.00 0.00 -2.62 9.0 0 0 caleb_strategy_v3 US10U False False 0.03 -0.03 -0.03 0.0 0.41 -0.41 -0.03 -0.03 -0.83 13.0 -1 -1 caleb_strategy_v3 DOW False False 0.01 0.00 -0.03 0.0 0.37 -0.37 0.00 0.00 -4.70 66.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.03 0.0 0.01 -0.01 0.00 0.00 -6.53 3.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.02 0.0 0.12 -0.12 -0.02 -0.02 -0.99 7.0 -1 -1 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.08 -0.02 0.0 0.24 -0.24 -0.08 -0.08 -1.59 23.0 -8 -8 caleb_strategy_v3 AUD False False 0.02 0.00 -0.02 0.0 0.36 -0.36 0.00 0.00 -0.93 19.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.04 -0.02 0.0 0.08 -0.08 -0.04 -0.04 -1.86 9.0 -4 -4 caleb_strategy_v3 EUR False False 0.04 0.00 -0.02 0.0 0.54 -0.54 0.00 0.00 -0.40 14.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.01 0.0 0.14 -0.14 -0.03 -0.03 -0.94 11.0 -2 -2 caleb_strategy_v3 US30 False False 0.04 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.26 6.0 0 0 caleb_strategy_v3 US20 False False 0.03 0.00 -0.01 0.0 0.30 -0.30 0.00 0.00 -0.22 9.0 0 0 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.01 0.0 0.41 -0.41 -0.04 -0.04 -0.15 10.0 -1 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.03 -0.01 0.0 0.08 -0.08 -0.03 -0.03 -0.98 10.0 -4 -4 caleb_strategy_v3 RUSSELL False False 0.00 -0.02 -0.01 0.0 0.20 -0.20 -0.02 -0.02 -3.50 68.0 -7 -7 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.01 0.0 0.07 -0.07 -0.01 -0.01 -1.70 8.0 -1 -1 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.00 0.0 0.16 -0.16 0.00 0.00 -0.11 4.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.01 0.00 0.0 0.12 -0.12 0.01 0.01 0.20 18.0 1 1 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.12 2.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.00 0.00 0.0 0.49 -0.49 0.00 0.00 0.08 22.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.00 0.01 0.0 0.13 -0.13 0.00 0.00 0.48 6.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.01 0.0 0.00 0.00 0.00 0.00 4.16 59.0 0 0 caleb_strategy_v3 SP500_micro False False 0.01 0.21 0.01 0.0 0.36 -0.36 0.21 0.21 1.82 48.0 28 28 caleb_strategy_v3 OJ False False 0.02 0.00 0.01 0.0 0.05 -0.05 0.00 0.00 0.60 3.0 0 0 caleb_strategy_v3 PLAT False False 0.01 0.00 0.01 0.0 0.14 -0.14 0.00 0.00 0.94 10.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.17 0.02 0.0 0.17 -0.17 0.17 0.17 0.25 2.0 2 2 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.02 0.0 0.24 -0.24 0.00 0.00 1.82 23.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.06 0.02 0.0 0.33 -0.33 0.06 0.06 1.04 17.0 3 3 caleb_strategy_v3 COCOA False False 0.03 0.13 0.03 0.0 0.69 -0.69 0.13 0.13 1.08 26.0 5 5 caleb_strategy_v3 OAT False False 0.04 0.00 0.03 0.0 0.39 -0.39 0.00 0.00 0.80 10.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.04 0.0 0.00 -0.00 0.00 0.00 2.00 0.0 0 0 caleb_strategy_v3 BTP False False 0.04 0.14 0.04 0.0 0.36 -0.36 0.14 0.14 1.05 10.0 4 4 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.05 0.0 0.37 -0.37 0.00 0.00 8.16 56.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 0.06 0.05 0.0 0.10 -0.10 0.06 0.06 1.55 3.0 2 2 caleb_strategy_v3 GASOIL False False 0.02 0.02 0.06 0.0 0.09 -0.09 0.02 0.02 2.70 4.0 1 1 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.09 0.0 0.13 -0.13 0.13 0.13 2.68 4.0 4 4 caleb_strategy_v3 NIKKEI False False 0.01 0.18 0.10 0.0 0.27 -0.27 0.18 0.18 12.99 36.0 25 25 caleb_strategy_v3 DX False False 0.03 0.00 0.11 0.0 999.00 -999.00 0.00 0.00 3.59 999999999.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.11 0.0 0.16 -0.16 0.07 0.07 9.16 13.0 6 6 caleb_strategy_v3 COPPER False False 0.03 0.18 0.13 0.0 0.18 -0.18 0.18 0.18 4.35 6.0 6 6 caleb_strategy_v3 CAC False True 0.02 0.00 0.13 0.0 0.00 0.00 0.00 0.00 5.37 12.0 0 0 caleb_strategy_v3 SMI False False 0.04 0.32 0.14 0.0 0.32 -0.32 0.32 0.32 4.01 9.0 9 9 caleb_strategy_v3 EUROSTX False False 0.02 0.29 0.14 0.0 0.31 -0.31 0.29 0.29 9.35 20.0 19 19 caleb_strategy_v3 EURIBOR-ICE False False 0.07 0.15 0.17 0.0 0.75 -0.75 0.15 0.15 2.29 10.0 2 2 caleb_strategy_v3 DAX False False 0.01 0.20 0.18 0.0 0.33 -0.33 0.20 0.20 31.71 58.0 35 35 caleb_strategy_v3 JGB-SGX-mini False False 0.03 0.08 0.23 0.0 0.43 -0.43 0.08 0.08 8.60 16.0 3 3 caleb_strategy_v3 CRUDE_W False False 0.02 0.11 0.34 0.0 0.11 -0.11 0.11 0.11 14.88 5.0 5 5 caleb_strategy_v3 MXP False False 0.01 0.51 0.88 0.0 0.51 -0.51 0.51 0.51 102.59 60.0 60 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 25.8 Shocked risk 90.7 Sum abs risk 66.4 Leverage 6.62 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3527547.39, 'annual_cash_vol_target': 881886.8475, 'daily_cash_vol_target': 55117.92796875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0037 0.6618 0.5635 9.0166 BITCOIN 2106.1500 72435.0000 2.9076 46.5223 BOBL 0.2391 117.5300 0.2035 3.2553 BTP 0.5730 117.8800 0.4861 7.7771 BUND 0.4791 131.9300 0.3632 5.8109 BUXL 1.1541 132.2600 0.8726 13.9615 CAC 46.8431 8127.0000 0.5764 9.2222 CAD 0.0027 0.7375 0.3634 5.8152 CANOLA 6.7734 648.7000 1.0442 16.7065 CHF 0.0048 1.1138 0.4327 6.9230 COCOA 177.1798 9312.0000 1.9027 30.4433 COFFEE 3.1043 208.0000 1.4925 23.8795 COPPER 0.0436 4.3165 1.0103 16.1649 CORN 5.1889 473.0000 1.0970 17.5522 COTTON2 1.4113 88.5200 1.5944 25.5100 CRUDE_W 0.8022 80.2700 0.9994 15.9900 DAX 109.5230 18546.0000 0.5905 9.4488 DOW 246.2361 39226.0000 0.6277 10.0438 DX 0.3331 103.8950 0.3207 5.1304 EUR 0.0043 1.0888 0.3971 6.3544 EURIBOR-ICE 0.0459 97.5200 0.0471 0.7534 EUROSTX 32.8074 4995.0000 0.6568 10.5089 FEEDCOW 2.0986 248.2750 0.8453 13.5242 GASOIL 11.4780 835.0000 1.3746 21.9937 GASOLINE 0.0337 2.7012 1.2486 19.9780 GAS_US_mini 0.0757 2.0500 3.6912 59.0587 GBP 0.0056 1.2661 0.4447 7.1145 GOLD_micro 15.7523 2357.4000 0.6682 10.6913 HEATOIL 0.0365 2.7181 1.3412 21.4585 JGB-SGX-mini 0.1969 145.2600 0.1356 2.1693 JPY 0.0000 0.0067 0.5166 8.2663 LEANHOG 1.1008 107.9750 1.0195 16.3126 LIVECOW 1.4107 173.3250 0.8139 13.0222 LUMBER-new 6.2724 590.0000 1.0631 17.0099 MILK 0.2331 17.3500 1.3433 21.4933 MXP 0.0003 0.0605 0.5211 8.3380 NASDAQ_micro 139.9735 18303.2500 0.7647 12.2359 NIKKEI 373.1760 39490.0000 0.9450 15.1198 NZD 0.0036 0.6033 0.5916 9.4650 OAT 0.4645 126.9800 0.3658 5.8528 OATIES 4.9967 325.0000 1.5374 24.5992 OJ 5.7116 353.1500 1.6173 25.8771 PALLAD 26.0009 1051.5000 2.4727 39.5639 PLAT 15.7922 975.8000 1.6184 25.8941 REDWHEAT 9.4460 584.2500 1.6168 25.8683 RICE 0.1555 16.2400 0.9572 15.3156 ROBUSTA 47.2046 3692.0000 1.2786 20.4570 RUSSELL 21.9471 2096.1000 1.0470 16.7527 SHATZ 0.0772 105.5100 0.0732 1.1712 SILVER-mini 0.4258 28.2500 1.5074 24.1186 SMI 75.3581 11448.0000 0.6583 10.5322 SOFR 0.0583 96.1500 0.0607 0.9704 SOYBEAN 9.5318 1184.5000 0.8047 12.8754 SOYMEAL 3.9135 339.3000 1.1534 18.4545 SOYOIL 0.6732 48.4700 1.3889 22.2225 SP400 23.8482 3032.7000 0.7864 12.5819 SP500_micro 31.9683 5258.7500 0.6079 9.7265 SUGAR11 0.3012 21.2400 1.4183 22.6921 US10 0.3627 109.2656 0.3319 5.3108 US10U 0.4905 112.5625 0.4357 6.9716 US2 0.1004 101.9062 0.0985 1.5764 US20 0.7288 117.1250 0.6222 9.9557 US30 1.0943 124.4688 0.8792 14.0670 US5 0.2379 106.0469 0.2243 3.5887 VIX 0.4230 16.4000 2.5792 41.2669 WHEAT 7.9873 622.2500 1.2836 20.5378 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 661.80 0.56 372.95 1.00 372.95 55117.93 147.79 -2.43 -35.86 BITCOIN 72.44 2.91 210.61 1.00 210.61 55117.93 261.70 1.47 38.41 BOBL 1175.30 0.20 239.13 1.08 258.93 55117.93 212.87 -7.20 -153.19 BTP 1178.80 0.49 572.98 1.08 620.42 55117.93 88.84 3.45 30.69 BUND 1319.30 0.36 479.15 1.08 518.82 55117.93 106.24 -1.38 -14.61 BUXL 1322.60 0.87 1154.09 1.08 1249.65 55117.93 44.11 -2.41 -10.64 CAC 812.70 0.58 468.43 1.08 507.22 55117.93 108.67 14.48 157.38 CAD 737.45 0.36 268.02 1.00 268.02 55117.93 205.65 -8.44 -173.53 CANOLA 129.74 1.04 135.47 0.74 99.87 55117.93 551.92 -13.08 -721.85 CHF 1392.25 0.43 602.41 1.00 602.41 55117.93 91.50 -20.00 -182.99 COCOA 931.20 1.90 1771.80 1.00 1771.80 55117.93 31.11 16.15 50.23 COFFEE 780.00 1.49 1164.13 1.00 1164.13 55117.93 47.35 8.76 41.49 COPPER 1079.12 1.01 1090.24 1.00 1090.24 55117.93 50.56 7.94 40.13 CORN 236.50 1.10 259.44 1.00 259.44 55117.93 212.45 -15.30 -325.02 COTTON2 442.60 1.59 705.67 1.00 705.67 55117.93 78.11 -5.62 -43.91 CRUDE_W 802.70 1.00 802.20 1.00 802.20 55117.93 68.71 20.00 137.42 DAX 185.46 0.59 109.52 1.08 118.59 55117.93 464.77 20.00 929.54 DOW 196.13 0.63 123.12 1.00 123.12 55117.93 447.68 -4.52 -202.39 DX 1038.95 0.32 333.14 1.00 333.14 55117.93 165.45 8.36 138.35 EUR 1361.00 0.40 540.52 1.00 540.52 55117.93 101.97 -1.52 -15.51 EURIBOR-ICE 2438.00 0.05 114.79 1.08 124.30 55117.93 443.43 1.52 67.20 EUROSTX 499.50 0.66 328.07 1.08 355.24 55117.93 155.16 17.66 274.07 FEEDCOW 1241.38 0.85 1049.28 1.00 1049.28 55117.93 52.53 -8.78 -46.11 GASOIL 835.00 1.37 1147.80 1.00 1147.80 55117.93 48.02 12.95 62.20 GASOLINE 1134.50 1.25 1416.57 1.00 1416.57 55117.93 38.91 15.89 61.83 GAS_US_mini 51.25 3.69 189.17 1.00 189.17 55117.93 291.36 -14.36 -418.51 GBP 791.31 0.44 351.86 1.00 351.86 55117.93 156.65 0.21 3.28 GOLD_micro 235.74 0.67 157.52 1.00 157.52 55117.93 349.90 6.83 239.13 HEATOIL 1141.60 1.34 1531.07 1.00 1531.07 55117.93 36.00 9.95 35.84 JGB-SGX-mini 145260.00 0.14 19694.83 0.01 130.33 55117.93 422.92 1.88 79.44 JPY 832.44 0.52 430.08 1.00 430.08 55117.93 128.16 -17.81 -228.25 LEANHOG 431.90 1.02 440.34 1.00 440.34 55117.93 125.17 12.05 150.78 LIVECOW 693.30 0.81 564.27 1.00 564.27 55117.93 97.68 3.22 31.48 LUMBER-new 162.25 1.06 172.49 1.00 172.49 55117.93 319.54 -9.55 -305.06 MILK 347.00 1.34 466.14 1.00 466.14 55117.93 118.24 -15.87 -187.70 MXP 302.65 0.52 157.72 1.00 157.72 55117.93 349.47 20.00 698.94 NASDAQ_micro 366.06 0.76 279.95 1.00 279.95 55117.93 196.89 -3.48 -68.50 NIKKEI 39490.00 0.94 37317.60 0.01 246.94 55117.93 223.20 5.38 120.00 NZD 603.30 0.59 356.89 1.00 356.89 55117.93 154.44 -5.69 -87.82 OAT 1269.80 0.37 464.49 1.08 502.95 55117.93 109.59 2.14 23.43 OATIES 162.50 1.54 249.84 1.00 249.84 55117.93 220.62 -19.34 -426.72 OJ 529.72 1.62 856.73 1.00 856.73 55117.93 64.33 4.36 28.07 PALLAD 1051.50 2.47 2600.09 1.00 2600.09 55117.93 21.20 -1.73 -3.66 PLAT 487.90 1.62 789.61 1.00 789.61 55117.93 69.80 3.97 27.69 REDWHEAT 292.12 1.62 472.30 1.00 472.30 55117.93 116.70 -10.95 -127.80 RICE 324.80 0.96 310.91 1.00 310.91 55117.93 177.28 -16.93 -300.08 ROBUSTA 369.20 1.28 472.05 1.00 472.05 55117.93 116.76 13.37 156.14 RUSSELL 104.80 1.05 109.74 1.00 109.74 55117.93 502.28 -2.11 -105.77 SHATZ 1055.10 0.07 77.23 1.08 83.63 55117.93 659.09 -15.27 -1006.42 SILVER-mini 706.25 1.51 1064.61 1.00 1064.61 55117.93 51.77 11.32 58.62 SMI 1144.80 0.66 753.58 1.11 835.46 55117.93 65.97 17.83 117.66 SOFR 2403.75 0.06 145.79 1.00 145.79 55117.93 378.06 -7.58 -286.75 SOYBEAN 592.25 0.80 476.59 1.00 476.59 55117.93 115.65 -9.25 -106.96 SOYMEAL 339.30 1.15 391.35 1.00 391.35 55117.93 140.84 -20.00 -281.68 SOYOIL 290.82 1.39 403.92 1.00 403.92 55117.93 136.46 -7.70 -105.08 SP400 3032.70 0.79 2384.82 1.00 2384.82 55117.93 23.11 3.20 7.40 SP500_micro 262.94 0.61 159.84 1.00 159.84 55117.93 344.83 2.27 78.25 SUGAR11 237.89 1.42 337.39 1.00 337.39 55117.93 163.37 0.58 9.52 US10 1092.66 0.33 362.68 1.00 362.68 55117.93 151.97 -9.35 -142.12 US10U 1125.62 0.44 490.46 1.00 490.46 55117.93 112.38 -5.80 -65.19 US2 2038.12 0.10 200.81 1.00 200.81 55117.93 274.48 -14.99 -411.39 US20 1171.25 0.62 728.79 1.00 728.79 55117.93 75.63 -2.30 -17.36 US30 1244.69 0.88 1094.31 1.00 1094.31 55117.93 50.37 -4.06 -20.45 US5 1060.47 0.22 237.85 1.00 237.85 55117.93 231.73 -12.07 -279.81 VIX 164.00 2.58 422.99 1.00 422.99 55117.93 130.31 -19.69 -256.58 WHEAT 311.12 1.28 399.36 1.00 399.36 55117.93 138.01 -10.14 -139.97 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -35.856 0.010 2.5 -0.930 BITCOIN 38.415 0.043 2.5 4.160 BOBL -153.191 0.004 2.5 -1.553 BTP 30.690 0.014 2.5 1.047 BUND -14.614 0.004 2.5 -0.148 BUXL -10.641 0.004 2.5 -0.108 CAC 157.376 0.014 2.5 5.368 CAD -173.527 0.010 2.5 -4.502 CANOLA -721.848 0.010 2.5 -17.562 CHF -182.991 0.010 2.5 -4.748 COCOA 50.228 0.009 2.5 1.076 COFFEE 41.494 0.005 2.5 0.485 COPPER 40.128 0.043 2.5 4.345 CORN -325.017 0.010 2.5 -7.907 COTTON2 -43.914 0.009 2.5 -0.941 CRUDE_W 137.418 0.043 2.5 14.881 DAX 929.543 0.014 2.5 31.705 DOW -202.386 0.009 2.5 -4.703 DX 138.351 0.010 2.5 3.590 EUR -15.511 0.010 2.5 -0.402 EURIBOR-ICE 67.196 0.014 2.5 2.292 EUROSTX 274.071 0.014 2.5 9.348 FEEDCOW -46.114 0.013 2.5 -1.528 GASOIL 62.199 0.017 2.5 2.696 GASOLINE 61.835 0.017 2.5 2.680 GAS_US_mini -418.506 0.043 2.5 -45.319 GBP 3.276 0.010 2.5 0.085 GOLD_micro 239.129 0.014 2.5 8.156 HEATOIL 35.837 0.017 2.5 1.553 JGB-SGX-mini 79.442 0.043 2.5 8.603 JPY -228.250 0.010 2.5 -5.922 LEANHOG 150.779 0.024 2.5 9.164 LIVECOW 31.480 0.013 2.5 1.043 LUMBER-new -305.064 0.009 2.5 -6.527 MILK -187.702 0.009 2.5 -4.020 MXP 698.942 0.059 2.5 102.586 NASDAQ_micro -68.500 0.009 2.5 -1.592 NIKKEI 120.004 0.043 2.5 12.995 NZD -87.817 0.010 2.5 -2.279 OAT 23.431 0.014 2.5 0.799 OATIES -426.720 0.010 2.5 -10.382 OJ 28.066 0.009 2.5 0.601 PALLAD -3.658 0.014 2.5 -0.125 PLAT 27.691 0.014 2.5 0.945 REDWHEAT -127.797 0.005 2.5 -1.695 RICE -300.082 0.010 2.5 -7.301 ROBUSTA 156.142 0.005 2.5 1.823 RUSSELL -105.772 0.013 2.5 -3.505 SHATZ -1006.421 0.004 2.5 -10.206 SILVER-mini 58.622 0.014 2.5 1.999 SMI 117.655 0.014 2.5 4.013 SOFR -286.754 0.024 2.5 -17.427 SOYBEAN -106.965 0.004 2.5 -0.995 SOYMEAL -281.680 0.004 2.5 -2.620 SOYOIL -105.080 0.004 2.5 -0.978 SP400 7.402 0.013 2.5 0.245 SP500_micro 78.247 0.009 2.5 1.818 SUGAR11 9.525 0.009 2.5 0.203 US10 -142.121 0.005 2.5 -1.801 US10U -65.191 0.005 2.5 -0.826 US2 -411.386 0.005 2.5 -5.213 US20 -17.358 0.005 2.5 -0.220 US30 -20.446 0.005 2.5 -0.259 US5 -279.811 0.005 2.5 -3.546 VIX -256.579 0.099 2.5 -63.334 WHEAT -139.969 0.005 2.5 -1.857 ===================== Position diags ===================== AUD 3.83 BITCOIN 28.34 BOBL 2.16 BTP 3.03 BUND 1.08 BUXL 0.45 CAC 3.71 CAD 5.34 CANOLA 13.43 CHF 2.37 COCOA 0.67 COFFEE 0.55 COPPER 5.47 CORN 5.17 COTTON2 1.67 CRUDE_W 7.44 DAX 15.85 DOW 10.40 DX 4.29 EUR 2.65 EURIBOR-ICE 15.12 EUROSTX 5.29 FEEDCOW 1.74 GASOIL 2.08 GASOLINE 1.69 GAS_US_mini 31.55 GBP 4.06 GOLD_micro 11.93 HEATOIL 1.56 JGB-SGX-mini 45.80 JPY 3.33 LEANHOG 7.61 LIVECOW 3.24 LUMBER-new 6.84 MILK 2.53 MXP 51.29 NASDAQ_micro 4.58 NIKKEI 24.17 NZD 4.01 OAT 3.74 OATIES 5.37 OJ 1.38 PALLAD 0.72 PLAT 2.38 REDWHEAT 1.55 RICE 4.31 ROBUSTA 1.36 RUSSELL 16.64 SHATZ 6.68 SILVER-mini 1.77 SMI 2.25 SOFR 22.98 SOYBEAN 1.08 SOYMEAL 1.31 SOYOIL 1.27 SP400 0.77 SP500_micro 8.01 SUGAR11 3.47 US10 1.93 US10U 1.42 US2 3.48 US20 0.96 US30 0.64 US5 2.94 VIX 32.17 WHEAT 1.83 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.9 -1.3 -0.5 0.0 0 BITCOIN 4.2 1.3 7.0 0.0 0 BOBL -1.6 -1.8 -1.3 -18.0 -18 BTP 1.0 0.7 1.3 4.0 4 BUND -0.1 -0.3 -0.0 -1.0 -1 BUXL -0.1 -0.2 -0.1 0.0 0 CAC 5.4 5.0 5.7 0.0 0 CAD -4.5 -5.0 -4.0 0.0 0 CANOLA -17.6 -18.9 -16.2 -6.0 -6 CHF -4.7 -5.0 -4.5 -7.0 -7 COCOA 1.1 1.0 1.1 5.0 5 COFFEE 0.5 0.4 0.5 0.0 0 COPPER 4.3 3.8 4.9 6.0 6 CORN -7.9 -8.4 -7.4 -11.0 -11 COTTON2 -0.9 -1.1 -0.8 -2.0 -2 CRUDE_W 14.9 14.1 15.6 5.0 5 DAX 31.7 30.1 33.3 35.0 35 DOW -4.7 -5.7 -3.7 0.0 0 DX 3.6 3.2 4.0 NaN 0 EUR -0.4 -0.7 -0.1 0.0 0 EURIBOR-ICE 2.3 0.8 3.8 2.0 2 EUROSTX 9.3 8.8 9.9 19.0 19 FEEDCOW -1.5 -1.7 -1.4 0.0 0 GASOIL 2.7 2.5 2.9 1.0 1 GASOLINE 2.7 2.5 2.8 4.0 4 GAS_US_mini -45.3 -48.5 -42.2 -19.0 -19 GBP 0.1 -0.3 0.5 0.0 0 GOLD_micro 8.2 7.0 9.3 0.0 0 HEATOIL 1.6 1.4 1.7 2.0 2 JGB-SGX-mini 8.6 4.0 13.2 3.0 3 JPY -5.9 -6.3 -5.6 -1.0 -1 LEANHOG 9.2 8.4 9.9 6.0 6 LIVECOW 1.0 0.7 1.4 3.0 3 LUMBER-new -6.5 -7.2 -5.8 NaN 0 MILK -4.0 -4.3 -3.8 NaN 0 MXP 102.6 97.5 107.7 60.0 60 NASDAQ_micro -1.6 -2.0 -1.1 -8.0 -8 NIKKEI 13.0 10.6 15.4 25.0 25 NZD -2.3 -2.7 -1.9 -1.0 -1 OAT 0.8 0.4 1.2 0.0 0 OATIES -10.4 -10.9 -9.8 NaN 0 OJ 0.6 0.5 0.7 NaN 0 PALLAD -0.1 -0.2 -0.1 0.0 0 PLAT 0.9 0.7 1.2 0.0 0 REDWHEAT -1.7 -1.9 -1.5 -1.0 -1 RICE -7.3 -7.7 -6.9 NaN 0 ROBUSTA 1.8 1.7 2.0 0.0 0 RUSSELL -3.5 -5.2 -1.8 -7.0 -7 SHATZ -10.2 -10.9 -9.5 NaN 0 SILVER-mini 2.0 1.8 2.2 NaN 0 SMI 4.0 3.8 4.2 9.0 9 SOFR -17.4 -19.7 -15.1 NaN 0 SOYBEAN -1.0 -1.1 -0.9 -1.0 -1 SOYMEAL -2.6 -2.8 -2.5 0.0 0 SOYOIL -1.0 -1.1 -0.9 -4.0 -4 SP400 0.2 0.2 0.3 2.0 2 SP500_micro 1.8 1.0 2.6 28.0 28 SUGAR11 0.2 -0.1 0.6 1.0 1 US10 -1.8 -2.0 -1.6 0.0 0 US10U -0.8 -1.0 -0.7 -1.0 -1 US2 -5.2 -5.6 -4.9 NaN 0 US20 -0.2 -0.3 -0.1 0.0 0 US30 -0.3 -0.3 -0.2 0.0 0 US5 -3.5 -3.8 -3.3 -14.0 -14 VIX -63.3 -66.6 -60.1 -16.0 -16 WHEAT -1.9 -2.0 -1.7 -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 -0.0 0.0 -0.1 -0.0 0.1 0.0 0.0 0.1 0.0 0.2 -0.1 0.1 -0.4 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 0.0 0.4 0.0 0.1 -0.0 0.1 -0.1 0.1 -0.1 0.3 0.2 0.2 -0.2 -0.7 -0.4 -0.5 -0.1 BITCOIN -0.6 0.1 0.3 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.5 -0.0 0.6 0.1 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 0.0 -0.2 -0.5 -0.3 0.6 0.6 -0.3 0.0 0.6 0.1 BOBL 0.1 -0.4 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 0.2 -0.2 -0.1 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 0.9 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -1.0 0.2 0.3 0.0 -0.2 -0.7 -0.7 0.2 -0.6 BTP -0.3 -0.1 0.3 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.3 -0.1 0.4 0.0 0.0 0.1 0.1 0.1 0.1 0.1 0.1 -0.1 0.3 -0.0 -2.7 0.1 -0.0 0.2 0.0 0.2 0.0 0.7 0.3 0.5 0.6 0.5 -0.2 -0.4 0.7 0.1 BUND -0.0 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.2 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.5 0.0 -0.0 0.0 0.0 -0.0 0.0 0.2 0.3 0.4 0.2 -0.1 -0.6 -0.7 0.5 -0.3 BUXL -0.1 -0.1 0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 0.5 0.6 0.5 0.1 -0.7 -0.7 -0.0 -0.0 CAC -0.3 0.6 0.6 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.5 -0.0 0.7 0.2 0.2 0.4 0.0 0.2 0.1 0.2 0.2 -0.0 0.5 0.2 -1.6 0.1 -0.0 0.2 0.0 0.2 0.1 0.7 0.5 0.5 0.5 -0.0 -0.3 0.4 -0.2 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 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.3 -0.1 -0.7 -0.5 -0.2 -0.4 CANOLA 0.6 0.6 -0.3 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 -0.2 0.1 -0.3 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 -0.9 0.1 0.6 0.4 -0.6 -0.7 -0.6 -0.5 -0.2 CHF -0.6 -0.6 -0.6 -0.0 0.0 0.0 0.0 0.1 0.0 -0.0 -0.3 -0.2 -0.2 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.2 -0.1 -0.2 -0.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -1.1 -0.5 -0.6 -0.6 -0.6 -0.3 -0.6 -0.0 -0.5 COCOA 0.6 0.6 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 0.3 0.1 0.3 0.1 0.1 0.4 0.3 0.4 0.4 0.2 0.2 0.2 0.5 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 0.6 0.1 0.3 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.2 0.4 0.2 0.4 0.2 0.1 0.1 0.2 0.2 0.2 0.2 0.2 0.2 0.3 0.2 -2.7 0.1 0.1 0.1 0.2 0.1 0.1 0.7 0.5 0.6 0.6 0.3 -0.2 -0.7 0.1 -0.4 COPPER 0.4 0.6 0.3 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.3 0.2 -0.0 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.1 0.2 -2.0 0.1 0.1 0.1 0.1 0.0 0.1 0.1 0.3 0.6 0.5 0.5 -0.7 -0.1 0.4 0.2 CORN 0.4 0.6 0.1 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.1 -0.3 0.1 -0.7 0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.0 -0.1 0.0 -0.5 0.0 -2.1 -0.0 0.0 -0.2 0.0 -0.3 0.0 -1.1 0.1 0.3 -0.2 -0.6 -0.3 -0.7 -0.3 0.0 COTTON2 -0.6 -0.1 0.6 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.1 -0.1 0.0 0.4 0.0 0.2 0.1 0.0 0.1 -0.1 0.1 -0.1 -2.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 -0.4 -0.6 0.6 0.6 -0.4 -0.4 -0.0 0.0 CRUDE_W 0.6 0.5 0.3 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.5 0.2 0.2 0.4 0.2 0.3 0.2 0.2 0.2 0.2 0.5 0.2 -0.7 0.1 0.1 0.2 0.1 0.2 0.1 -0.1 0.3 0.4 0.6 -0.0 0.7 0.7 0.7 0.7 DAX 0.1 0.6 0.6 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.5 0.1 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.3 0.2 0.2 0.1 0.5 0.2 2.4 0.1 0.0 0.2 0.1 0.2 0.1 -0.6 0.5 0.6 0.6 0.3 -0.2 0.3 0.1 0.7 DOW -0.4 -0.3 0.3 0.1 -0.0 0.2 -0.0 0.1 0.0 -0.1 0.5 -0.1 0.6 -0.0 0.1 -0.2 -0.2 -0.3 -0.2 0.1 0.2 -0.1 0.5 -0.0 -1.8 0.1 -0.0 0.2 -0.0 0.3 0.0 -0.5 0.3 0.0 -0.6 -0.1 -0.2 -0.2 0.1 -0.5 DX 0.4 0.1 0.2 -0.0 0.1 0.0 0.0 0.1 0.0 -0.1 0.2 0.2 0.2 0.2 0.2 0.2 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.1 -2.7 0.1 -0.0 0.1 0.0 0.1 0.1 0.8 -0.4 0.6 0.4 0.2 0.7 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 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 -0.1 2.7 0.0 0.1 0.0 0.0 0.0 0.0 -0.4 0.1 -0.1 0.2 -0.0 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.1 -0.4 -0.0 -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 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 0.1 -0.0 1.8 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.1 0.1 0.0 0.0 -0.7 -0.7 0.4 0.7 EUROSTX -0.1 0.6 0.6 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.5 0.1 0.7 0.2 0.2 -0.1 0.0 0.0 0.0 0.2 0.2 0.0 0.5 0.2 -0.0 0.1 -0.0 0.2 0.0 0.3 0.1 0.7 0.5 0.6 0.6 0.4 -0.5 0.4 -0.4 0.6 FEEDCOW -0.6 -0.3 0.4 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.2 -0.0 -0.2 0.0 -0.2 0.0 -0.4 -0.4 -0.4 -0.4 -0.1 -0.0 -0.2 0.1 -0.2 -0.9 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 -0.6 0.4 0.7 0.7 0.7 0.7 GASOIL 0.2 0.2 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 0.3 0.4 0.4 0.4 0.2 0.2 0.2 0.4 0.2 0.9 0.1 0.1 0.2 0.1 0.2 0.1 1.0 0.1 -0.2 -0.2 0.1 -0.4 -0.3 -0.7 -0.6 GASOLINE 0.4 0.5 0.5 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.4 0.2 0.6 0.2 0.2 0.4 0.2 0.2 0.1 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.0 0.2 0.1 0.2 0.1 -0.4 -0.2 0.2 0.6 0.4 0.7 0.7 0.7 0.6 GAS_US_mini 0.1 0.1 -0.4 0.0 0.0 0.1 0.0 0.1 0.0 0.0 -0.4 -0.0 -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 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 -1.1 -0.5 -0.6 -0.6 -0.6 -0.6 -0.1 -0.7 -0.3 GBP -0.4 -0.1 0.1 -0.0 0.1 0.0 0.0 0.1 0.0 0.2 0.3 -0.1 0.3 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.2 -0.1 0.3 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.1 -0.3 0.2 0.3 -0.7 -0.3 -0.7 -0.0 GOLD_micro 0.6 0.6 0.4 0.0 0.1 0.0 0.1 0.0 0.1 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 0.4 0.2 -0.6 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 0.3 0.2 0.2 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.4 0.2 0.2 0.2 0.4 0.4 0.4 0.2 0.1 0.2 0.3 0.2 -2.7 0.1 0.0 0.2 0.1 0.3 0.1 1.0 -0.1 -0.3 -0.2 0.1 0.6 0.2 0.5 0.1 JGB-SGX-mini 0.0 -0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.0 0.3 -0.0 -0.0 0.2 0.3 0.2 0.2 -0.0 0.0 -0.0 0.1 -0.0 -1.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 0.0 0.3 0.1 0.1 -0.4 -0.5 0.0 0.3 JPY -0.4 -0.2 -0.5 -0.0 0.0 0.0 0.0 0.1 0.0 -0.1 -0.5 -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 -0.1 -0.0 -0.1 -0.0 -0.3 -0.1 -1.1 -0.3 -0.6 -0.5 -0.6 -0.7 -0.4 -0.6 -0.4 LEANHOG 0.0 0.6 0.6 0.0 -0.0 0.1 -0.0 -0.1 0.0 0.2 0.5 0.2 -0.3 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 0.2 -0.0 0.2 1.9 0.1 0.1 0.2 0.1 0.1 0.1 -1.1 0.5 0.6 0.6 0.6 -0.3 -0.3 0.1 0.5 LIVECOW -0.6 -0.0 0.4 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 0.1 -0.2 0.1 -0.2 0.1 0.4 0.1 0.4 0.2 -0.1 0.0 -0.2 0.1 -0.2 -0.7 0.0 -0.1 0.1 -0.1 0.1 -0.1 0.4 -0.5 -0.6 0.0 0.5 0.7 0.4 0.7 0.7 LUMBER-new -0.6 0.2 0.4 0.0 -0.0 0.1 -0.0 -0.1 0.0 -0.2 0.5 -0.2 -0.4 -0.0 0.1 -0.4 -0.4 -0.4 -0.4 0.1 0.1 -0.2 0.1 -0.1 NaN 0.0 -0.1 0.2 -0.2 0.1 -0.1 -1.2 -0.6 -0.7 0.6 0.6 -0.5 -0.5 -0.3 -0.3 MILK -0.1 -0.2 0.5 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.1 -0.4 -0.0 -0.5 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 0.0 -0.5 -0.1 1.7 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -1.1 0.2 -0.2 -0.6 -0.6 -0.7 -0.7 -0.7 -0.7 MXP 0.2 0.4 0.3 -0.0 0.1 0.0 0.0 0.1 0.0 0.2 0.5 0.2 0.7 0.2 0.2 0.4 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 -0.2 -0.1 0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.4 -0.0 0.6 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.2 -0.0 0.5 0.0 -2.7 0.1 -0.0 0.2 -0.0 0.4 0.0 -0.4 0.0 -0.4 -0.5 0.1 0.1 -0.1 0.3 -0.1 NIKKEI -0.2 -0.0 0.6 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.5 -0.0 0.7 0.1 0.2 0.1 0.2 0.1 0.2 0.2 0.2 -0.1 0.5 0.1 -2.1 0.1 -0.0 0.2 -0.0 0.3 0.0 1.1 -0.1 -0.2 0.3 0.6 -0.7 -0.2 -0.3 -0.2 NZD -0.4 -0.3 -0.1 -0.0 0.0 0.0 0.0 0.1 0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.0 -0.0 -0.1 -0.1 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 0.1 -0.5 -0.3 -0.2 -0.3 -0.3 -0.1 0.2 OAT -0.2 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.0 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.0 0.0 -0.1 -0.0 -0.1 0.6 0.0 -0.0 0.0 0.0 0.0 0.0 0.7 0.3 0.3 0.2 0.0 -0.6 -0.7 0.5 0.1 OATIES -0.5 -0.1 -0.3 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.2 -0.5 -0.2 -0.5 -0.2 -0.1 0.2 -0.0 0.1 0.1 -0.2 -0.2 -0.2 -0.4 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.5 -0.6 -0.5 -0.3 -0.5 -0.0 -0.1 0.5 OJ -0.1 0.1 -0.3 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 0.2 0.1 0.5 0.1 0.1 0.1 0.3 0.1 0.2 0.1 0.2 -0.0 0.5 0.0 -2.7 0.0 -0.1 0.2 -0.1 0.6 -0.0 1.0 -0.5 -0.2 0.0 -0.3 0.4 0.3 0.7 0.7 PALLAD -0.0 0.5 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.1 -0.0 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.3 0.0 1.5 0.0 0.0 -0.0 0.0 -0.2 0.0 0.4 -0.2 -0.2 -0.1 0.0 -0.7 -0.4 -0.6 -0.3 PLAT 0.1 0.2 -0.1 0.0 0.1 0.0 0.1 0.0 0.0 0.1 -0.1 0.1 -0.3 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.1 0.1 1.4 0.0 0.1 0.0 0.1 -0.0 0.1 0.2 0.0 -0.0 -0.3 -0.1 -0.5 -0.2 0.7 0.3 REDWHEAT 0.3 0.3 -0.1 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 -1.0 -0.0 0.1 -0.2 0.0 -0.3 0.0 0.1 0.2 0.3 -0.5 -0.6 -0.4 -0.7 -0.1 -0.7 RICE -0.6 -0.6 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.2 -0.0 -0.2 0.4 -0.2 -0.2 -0.3 -0.1 -0.3 -0.2 -0.2 -0.1 -0.2 0.2 -0.2 -2.2 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.8 -0.5 -0.6 -0.6 -0.6 0.3 -0.1 0.7 0.3 ROBUSTA 0.6 0.1 0.6 0.0 -0.0 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 -0.2 0.1 RUSSELL -0.1 0.2 0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.3 -0.0 0.4 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.2 0.0 -0.2 0.1 0.0 0.2 0.0 0.2 0.0 -0.1 0.5 -0.2 -0.3 -0.3 -0.4 -0.6 -0.4 -0.7 SHATZ 0.1 -0.6 -0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.0 -0.2 -0.1 1.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.0 0.1 -0.2 -0.3 -0.7 -0.7 -0.3 -0.7 SILVER-mini 0.4 0.6 0.1 0.0 0.1 0.0 0.1 0.0 0.1 0.1 0.2 0.2 0.0 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.2 0.1 0.2 0.5 0.1 0.1 0.1 0.1 0.0 0.1 -0.1 0.5 0.6 0.6 0.4 -0.5 -0.6 0.7 0.0 SMI -0.3 0.4 0.5 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.5 -0.1 0.5 0.2 0.2 -0.0 0.1 0.1 0.1 0.2 0.2 -0.1 0.3 0.1 2.1 0.1 -0.0 0.2 0.0 0.2 0.1 1.0 0.5 0.1 0.1 -0.2 0.5 -0.1 0.7 -0.2 SOFR -0.3 -0.3 -0.1 -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 -0.1 -0.0 -0.1 -0.1 -0.1 -0.4 -0.0 -0.1 0.0 -0.0 0.0 -0.0 0.2 -0.0 0.0 -0.0 0.1 -0.7 -0.7 0.1 -0.1 SOYBEAN 0.4 0.4 -0.5 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 -0.4 -0.0 -0.2 0.1 -0.1 0.0 0.2 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 0.8 -0.1 0.6 0.2 -0.6 -0.3 -0.7 -0.3 -0.7 SOYMEAL 0.3 -0.0 -0.6 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 -0.5 -0.1 -0.5 -0.1 -0.2 -0.2 0.1 -0.1 0.0 -0.2 -0.2 -0.0 -0.5 -0.1 -2.7 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.3 -0.1 0.1 -0.3 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.4 0.6 -0.1 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.0 -0.3 0.0 -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 -0.2 -0.1 0.6 0.4 -0.1 -0.6 -0.3 -0.4 0.2 SP400 -0.1 0.5 0.6 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.5 0.0 0.5 0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.0 0.5 0.2 -1.7 0.1 0.0 0.2 0.0 0.2 0.1 0.1 0.5 0.2 0.2 0.0 -0.4 -0.3 -0.3 -0.7 SP500_micro -0.3 0.2 0.6 0.1 -0.0 0.2 -0.0 0.2 0.0 -0.0 0.5 0.0 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.3 0.2 0.2 -0.0 0.5 0.1 -2.7 0.1 -0.0 0.3 0.0 0.3 0.0 -0.6 0.3 0.1 -0.1 0.5 -0.0 -0.1 0.3 -0.2 SUGAR11 0.2 -0.0 -0.2 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.2 -0.0 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 -0.0 -0.0 -0.0 1.1 -0.1 0.2 -0.2 -0.5 0.7 0.2 0.7 0.7 US10 -0.3 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.1 -0.0 -0.1 -0.2 -0.1 0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.6 -0.0 -0.0 -0.0 0.1 -0.7 -0.7 -0.5 0.2 US10U -0.3 -0.2 0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.2 -0.2 -0.2 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.0 0.0 0.0 0.1 -0.7 -0.7 0.5 0.5 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 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.3 -0.1 1.6 -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 -0.3 -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 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 0.0 0.0 0.1 0.2 -0.7 -0.6 0.7 0.7 US30 -0.3 -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 -0.1 -0.1 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.4 0.1 0.0 0.2 0.2 -0.5 -0.5 0.7 0.7 US5 -0.2 -0.4 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.2 -0.1 0.8 -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 -0.3 VIX 0.1 0.5 0.1 -0.1 0.0 -0.5 0.0 -0.9 -0.0 0.1 -0.9 0.0 -1.2 -0.2 -0.3 -0.6 -0.6 -0.6 -0.6 -0.2 -0.3 0.0 -0.9 -0.0 NaN -0.1 -0.0 -0.6 0.0 -1.1 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.6 0.2 -0.2 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.2 -0.4 0.2 -0.7 0.1 -0.1 -0.4 -0.2 -0.3 -0.3 -0.1 -0.2 0.2 -0.5 0.1 0.2 -0.0 0.1 -0.2 0.1 -0.3 0.0 -1.1 0.5 0.6 -0.5 -0.6 -0.2 -0.7 -0.1 -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 -1.1 0.0 -2.7 -0.2 5.8 1.4 3.6 3.3 0.6 17.7 -4.0 6.0 -10.9 4.3 -12.1 -2.8 -2.9 -2.8 -2.8 -2.0 -2.7 8.9 -5.4 1.7 3.1 0.9 10.9 -0.5 9.5 -2.0 4.8 -1.1 13.6 6.1 4.8 -5.0 -20.0 -11.0 -15.1 -2.2 BITCOIN -19.7 2.2 8.2 4.2 9.6 1.5 8.0 0.1 6.3 9.7 17.0 -0.5 17.3 12.0 14.7 -8.8 -7.4 -9.0 -8.5 20.0 20.0 7.4 20.0 14.8 -20.0 6.5 2.6 6.9 2.1 5.5 4.1 -3.3 -20.0 -9.8 20.0 20.0 -7.7 0.1 17.7 3.7 BOBL 2.8 -11.1 -7.5 -1.7 -4.1 -0.7 -2.6 -1.3 -2.1 -8.9 -2.2 -3.7 -2.4 -5.2 -8.5 10.6 -11.8 -6.3 -12.1 -5.6 -3.7 -4.0 -4.0 -4.2 6.5 -1.1 -1.8 -0.8 0.8 -0.9 0.5 -17.9 8.3 9.3 0.6 -4.8 -20.0 -20.0 7.5 -19.2 BTP -8.7 -2.0 7.8 -2.7 -6.5 -1.2 -4.2 -2.1 -3.4 -8.6 12.0 -9.4 11.2 0.3 1.5 5.0 6.2 4.9 5.2 5.4 11.4 -7.5 10.2 -2.3 -20.0 5.3 -0.0 6.6 1.6 5.6 3.5 13.3 13.0 16.6 20.0 13.9 -6.7 -12.7 20.0 2.7 BUND -0.1 -7.7 -2.4 -1.9 -4.6 -0.8 -3.0 -1.5 -2.4 -9.7 0.3 -4.8 -0.8 -5.7 -8.7 -9.8 1.4 -4.9 -1.8 -3.5 -1.0 -4.3 -2.5 -3.6 3.8 0.6 -0.4 0.5 3.1 -0.2 2.6 3.4 14.3 13.4 6.2 -1.6 -16.6 -20.0 15.8 -8.7 BUXL -2.6 -4.4 1.6 -2.4 -5.7 -1.0 -3.7 -1.8 -2.9 -10.4 2.2 -8.6 -3.6 -7.7 -10.2 -7.8 -1.5 -5.2 -3.1 -2.2 0.2 -5.3 -4.1 -3.9 -0.6 2.5 1.4 1.7 5.6 -0.2 4.9 0.0 20.0 18.7 13.9 1.6 -20.0 -20.0 -0.5 -0.6 CAC -8.5 19.7 20.0 7.7 -4.3 8.2 -2.2 6.1 3.4 -10.9 20.0 -2.7 20.0 20.0 20.0 20.0 0.5 12.3 4.3 20.0 20.0 -5.1 20.0 17.9 -11.9 9.5 -1.3 8.9 1.6 6.7 6.5 13.0 20.0 15.7 14.7 -0.6 -8.4 11.4 -5.2 16.7 CAD -3.1 -5.4 -0.9 -0.2 6.7 1.7 4.2 3.8 0.7 -10.9 -3.5 -11.2 -5.5 -12.9 -18.7 -2.4 -2.2 -2.3 -2.2 -6.4 -4.1 -4.5 -5.0 -6.4 -0.4 -2.5 -1.0 -2.0 0.9 -2.7 -1.0 0.0 -2.2 -0.5 -8.4 -1.9 -20.0 -16.3 -4.8 -13.3 CANOLA 20.0 20.0 -9.3 1.3 -0.7 0.9 -0.3 -1.3 0.3 3.0 -9.0 5.7 -9.7 8.4 -0.3 -14.1 -6.2 -13.8 -11.7 2.1 -10.3 6.4 -16.9 8.5 -20.0 0.8 1.7 -3.1 2.1 -5.3 2.8 -17.5 4.2 20.0 12.9 -18.2 -20.0 -19.2 -16.0 -5.6 CHF -18.3 -20.0 -18.0 -0.2 5.4 1.3 3.4 3.1 0.6 -1.8 -12.0 -16.0 -4.8 -17.9 -19.4 -15.8 -15.7 -15.8 -15.8 -20.0 -17.0 -18.5 -5.3 -20.0 -2.2 -6.3 -1.2 -3.2 -4.0 -0.6 -6.8 -20.0 -19.2 -20.0 -20.0 -18.0 -8.9 -16.6 -0.2 -15.9 COCOA 20.0 20.0 1.4 1.0 -0.1 0.7 0.0 -1.0 0.3 0.4 9.6 7.5 9.6 8.7 9.3 20.0 14.2 20.0 20.0 20.0 20.0 20.0 16.8 20.0 -15.5 3.3 0.4 3.1 1.7 2.6 2.9 20.0 20.0 20.0 20.0 20.0 2.1 0.2 7.9 11.4 COFFEE 18.6 3.3 8.7 2.4 -1.2 1.7 -0.5 -2.4 0.6 17.3 16.0 20.0 11.9 19.1 12.1 6.4 7.7 10.4 9.7 20.0 16.2 20.0 10.7 20.0 -20.0 6.3 15.1 4.6 15.8 3.6 10.9 12.9 20.0 20.0 20.0 9.6 -5.7 -20.0 3.2 -11.6 COPPER 13.7 18.1 10.7 4.5 10.3 1.6 8.6 0.1 6.7 18.7 12.7 19.2 -0.6 18.9 16.9 -5.4 -5.0 -5.5 -5.5 20.0 14.3 20.0 5.1 20.0 -14.8 6.4 8.8 3.6 9.3 1.3 8.6 1.2 14.0 20.0 15.5 13.9 -20.0 -2.3 11.6 5.7 CORN 11.2 18.5 1.6 2.0 -1.0 1.4 -0.4 -2.0 0.5 6.2 -12.2 6.4 -18.1 11.4 -6.9 -19.5 -8.8 -18.0 -14.5 -4.2 -13.8 2.3 -20.0 2.0 -15.7 -2.8 2.4 -7.1 3.0 -8.3 1.7 -20.0 4.3 9.6 -4.9 -20.0 -9.9 -20.0 -8.6 0.1 COTTON2 -18.6 -3.6 20.0 1.3 -0.7 0.9 -0.3 -1.3 0.3 -9.6 3.7 -11.5 3.2 -8.6 2.0 18.7 2.1 9.1 3.7 1.3 5.7 -13.2 3.5 -8.0 -20.0 2.1 -2.8 3.6 -3.5 2.6 -1.5 1.9 -18.7 -20.0 19.0 20.0 -10.6 -13.4 -1.1 1.4 CRUDE_W 19.7 16.6 8.0 7.6 5.8 5.1 8.2 3.8 8.6 20.0 7.3 20.0 12.7 20.0 20.0 17.6 11.0 13.9 11.9 20.0 19.7 20.0 16.9 20.0 -5.3 9.0 6.9 5.9 10.9 5.1 11.6 -1.1 14.4 13.8 18.5 -1.2 20.0 20.0 20.0 20.0 DAX 2.0 20.0 20.0 7.5 -4.1 8.0 -2.1 5.9 3.3 -8.7 20.0 8.3 20.0 20.0 20.0 -13.0 -11.8 -13.9 -13.4 20.0 20.0 10.0 20.0 20.0 17.7 9.8 0.5 8.0 5.2 5.6 9.1 -11.5 20.0 20.0 20.0 8.3 -5.0 10.2 3.5 20.0 DOW -10.8 -8.3 9.0 5.3 -2.9 5.6 -1.5 4.1 2.3 -9.0 17.4 -8.7 17.2 -0.9 10.9 -12.0 -11.1 -12.7 -12.2 10.7 19.8 -10.7 20.0 -1.0 -13.3 6.1 -2.7 9.1 -1.3 9.2 2.2 -10.0 11.0 0.7 -20.0 -1.8 -5.4 -6.9 3.4 -15.4 DX 12.8 3.5 5.1 -0.2 6.6 1.6 4.1 3.8 0.7 -16.0 5.7 14.1 4.5 14.0 17.5 7.5 6.5 7.1 6.7 11.0 7.1 6.0 6.1 12.5 -20.0 5.1 -2.7 2.7 3.1 2.7 6.4 15.2 -17.9 20.0 11.2 7.5 19.9 4.0 20.0 10.2 EUR -7.4 1.1 -3.0 -0.2 6.4 1.6 4.0 3.6 0.7 19.2 -1.7 -4.1 -2.6 -3.8 -12.1 -6.9 -6.8 -6.8 -6.6 -4.4 -3.0 0.2 -2.8 -5.0 19.9 0.5 7.5 0.7 4.5 0.1 1.3 -7.6 2.8 -4.5 5.5 -0.4 -20.0 -15.1 -20.0 -12.0 EURIBOR-ICE -3.4 -13.3 -1.1 -1.4 -3.4 -0.6 -2.2 -1.1 -1.8 -7.4 2.8 -5.7 2.9 -5.2 -5.7 -5.2 -4.0 -3.0 -2.9 -2.2 2.5 -4.8 3.2 -3.6 13.7 -0.2 -3.2 1.7 -1.0 2.0 -0.5 -2.4 3.1 3.8 1.5 0.8 -20.0 -20.0 12.0 20.0 EUROSTX -4.0 18.7 20.0 7.5 -4.1 7.9 -2.1 5.9 3.2 -8.2 20.0 7.6 20.0 20.0 20.0 -5.9 1.1 0.5 1.6 20.0 20.0 5.3 20.0 20.0 -0.0 9.8 -0.3 9.2 3.3 7.0 7.4 12.4 20.0 20.0 20.0 11.9 -15.3 11.7 -13.2 18.8 FEEDCOW -20.0 -9.6 12.8 2.2 -1.1 1.5 -0.5 -2.2 0.5 -17.9 -0.9 -18.9 0.2 -15.9 3.9 -20.0 -20.0 -20.0 -20.0 -11.8 -0.5 -20.0 2.8 -20.0 -6.9 -3.0 -8.1 0.1 -9.0 2.5 -7.7 -20.0 -20.0 -20.0 -20.0 12.4 20.0 20.0 20.0 20.0 GASOIL 7.1 5.3 8.4 6.4 4.9 4.3 6.9 3.2 7.3 14.5 10.8 16.3 14.2 15.9 19.0 16.5 20.0 20.0 20.0 17.2 15.6 19.5 16.5 18.3 7.0 7.0 7.0 6.4 8.4 6.6 7.6 19.0 4.0 -4.7 -6.8 3.6 -12.2 -9.3 -20.0 -16.8 GASOLINE 13.5 16.8 14.2 7.3 5.6 4.9 7.9 3.6 8.3 13.3 15.8 20.0 15.9 20.0 20.0 20.0 10.4 8.9 4.9 20.0 20.0 20.0 18.6 20.0 -20.0 9.0 2.6 6.8 6.9 5.9 9.2 -6.7 -6.8 7.3 17.8 11.4 20.0 20.0 20.0 18.1 GAS_US_mini 3.2 3.1 -12.7 3.9 3.0 2.6 4.2 1.9 4.4 2.3 -13.7 -1.8 -14.4 -8.7 -12.7 -20.0 -20.0 -20.0 -20.0 -12.6 -20.0 -1.9 -20.0 -5.7 20.0 -5.2 -0.8 -6.4 -2.4 -6.1 -3.7 -20.0 -20.0 -20.0 -20.0 -20.0 -18.9 -2.7 -20.0 -7.5 GBP -11.5 -2.2 2.0 -0.2 6.7 1.7 4.2 3.8 0.7 20.0 11.0 -8.3 8.6 -10.0 -5.3 -0.9 -0.7 -0.7 -0.6 -1.3 4.2 -2.5 6.0 -5.9 2.1 2.7 6.2 4.7 4.1 4.1 1.6 2.8 6.2 -7.8 5.9 8.8 -20.0 -7.8 -20.0 -1.0 GOLD_micro 20.0 20.0 13.0 4.5 10.3 1.6 8.6 0.1 6.7 18.5 18.6 20.0 13.8 20.0 19.6 -14.4 -14.7 -15.1 -15.0 20.0 20.0 20.0 15.6 20.0 -4.2 7.0 7.2 4.5 9.1 2.7 9.1 -15.2 20.0 20.0 20.0 20.0 -20.0 -20.0 -20.0 -12.8 HEATOIL 8.4 5.4 5.2 6.7 5.1 4.5 7.3 3.3 7.6 16.1 3.0 18.9 9.8 17.2 18.4 8.6 20.0 17.9 20.0 15.0 11.1 20.0 11.9 19.1 -20.0 7.7 3.6 6.9 7.5 7.8 8.2 19.1 -5.2 -10.3 -6.7 2.2 19.0 5.3 16.0 2.3 JGB-SGX-mini 0.3 -5.4 3.7 -1.9 -4.6 -0.8 -3.0 -1.5 -2.4 -9.3 5.3 -0.7 7.6 -1.5 -2.9 8.4 15.7 10.6 12.0 -0.9 2.6 -5.1 4.6 -3.0 -8.4 -0.9 -4.9 0.3 -3.3 0.4 -1.9 20.0 0.2 8.7 3.5 3.7 -10.8 -15.8 0.5 9.8 JPY -12.5 -5.9 -14.2 -0.2 4.6 1.1 2.9 2.7 0.5 -13.4 -17.0 -16.9 -17.3 -17.0 -17.4 -16.9 -16.4 -16.7 -16.6 -17.4 -19.2 -10.6 -20.0 -15.3 20.0 -5.4 -2.0 -5.5 -3.6 -7.1 -5.2 -20.0 -11.7 -20.0 -16.4 -18.1 -20.0 -11.3 -16.6 -11.8 LEANHOG 1.4 17.8 20.0 2.8 -1.4 2.0 -0.6 -2.8 0.6 20.0 18.9 20.0 -7.3 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 18.8 20.0 -0.8 20.0 14.5 9.3 14.3 7.9 11.7 1.8 9.2 -20.0 20.0 20.0 20.0 20.0 -7.9 -8.8 2.3 13.8 LIVECOW -20.0 -1.0 11.8 2.2 -1.1 1.5 -0.5 -2.2 0.5 -14.6 2.1 -18.4 2.1 -14.3 6.0 20.0 2.6 20.0 9.2 -5.6 2.2 -20.0 3.5 -20.0 -5.5 0.3 -8.0 2.3 -8.3 3.7 -5.1 6.8 -20.0 -20.0 1.3 15.2 20.0 11.3 20.0 20.0 LUMBER-new -14.9 5.5 9.8 2.9 -1.5 2.1 -0.6 -1.9 0.7 -20.0 16.0 -20.0 -9.3 -3.8 9.3 -17.1 -15.6 -16.7 -16.0 5.8 11.3 -20.0 4.4 -10.8 NaN 1.5 -14.0 4.9 -14.1 3.4 -7.2 -20.0 -20.0 -20.0 17.3 15.3 -11.9 -14.2 -6.8 -8.5 MILK -4.3 -6.7 13.9 1.5 -0.8 1.1 -0.3 -1.5 0.4 10.4 -14.0 -1.8 -14.5 -11.0 -12.4 -20.0 -20.0 -20.0 -20.0 -14.8 -16.8 0.9 -20.0 -11.0 13.1 -4.4 6.2 -4.9 0.5 -6.2 -3.3 -20.0 9.4 -7.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 MXP 6.2 11.3 8.1 -0.3 6.9 1.7 4.3 3.9 0.8 20.0 20.0 20.0 20.0 20.0 20.0 18.6 17.2 18.0 17.1 20.0 20.0 20.0 20.0 20.0 -20.0 9.5 10.5 7.8 10.8 8.2 11.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -7.7 -3.3 9.9 4.5 -2.5 4.8 -1.3 3.5 2.0 -0.7 15.4 -1.2 15.7 6.3 13.4 -11.3 -10.3 -11.4 -11.1 12.1 20.0 -4.2 20.0 2.0 -20.0 4.7 -1.6 8.4 -2.2 9.9 0.2 -8.3 0.2 -12.3 -16.8 4.2 4.3 -1.9 10.0 -3.2 NIKKEI -5.1 -0.0 17.7 5.4 -3.0 5.8 -1.5 4.3 2.4 -8.0 17.6 -0.0 18.4 9.0 15.9 2.6 10.7 7.1 9.4 20.0 20.0 -6.7 20.0 8.9 -16.0 6.1 -2.8 8.1 -1.7 7.7 1.9 20.0 -3.7 -5.0 10.3 20.0 -19.5 -7.1 -9.2 -7.2 NZD -13.7 -9.5 -3.3 -0.2 5.0 1.2 3.1 2.9 0.6 13.5 -0.5 -7.3 -2.8 -11.1 -13.1 0.2 0.3 0.3 0.3 -9.4 -3.6 -2.7 -2.2 -10.6 0.3 -3.9 4.1 -1.3 0.4 -0.3 -3.8 4.3 2.5 -14.9 -9.6 -7.4 -10.2 -7.6 -2.8 5.0 OAT -5.8 -7.6 0.1 -2.1 -4.9 -0.9 -3.2 -1.6 -2.6 -9.7 2.4 -10.2 1.0 -9.5 -9.2 5.1 6.1 4.8 5.0 -3.3 1.2 -6.9 -0.0 -6.0 4.4 0.8 -0.0 1.8 2.2 1.0 1.8 13.1 13.0 10.6 7.4 0.3 -16.9 -20.0 14.6 2.1 OATIES -14.3 -3.0 -10.7 2.0 -1.0 1.4 -0.4 -2.0 0.4 -16.8 -17.5 -18.0 -14.6 -16.6 -11.9 8.5 -0.6 7.2 2.8 -14.8 -15.8 -20.0 -15.3 -20.0 -20.0 -5.4 -13.4 -4.3 -12.9 -3.9 -9.3 -1.5 -20.0 -20.0 -16.0 -9.0 -14.4 -0.3 -4.1 14.7 OJ -2.3 3.3 -8.5 1.9 -1.0 1.4 -0.4 -1.9 0.4 -13.8 7.9 4.9 13.5 4.6 10.7 6.3 14.1 7.3 10.1 7.8 14.1 -4.4 20.0 2.9 -20.0 1.1 -8.1 6.4 -5.6 15.7 -2.4 19.4 -20.0 -6.9 0.3 -10.7 11.4 9.4 20.0 20.0 PALLAD -1.0 14.0 2.8 1.9 4.4 0.7 3.7 0.0 2.9 6.0 -3.9 -1.5 -7.8 4.0 -2.0 -1.9 -2.1 -1.9 -1.9 0.7 -3.6 2.3 -9.6 2.0 11.0 0.9 3.1 -1.4 2.1 -4.2 1.8 6.9 -8.5 -4.9 -4.5 0.5 -20.0 -12.2 -18.9 -7.6 PLAT 3.3 6.0 -2.0 2.8 6.5 1.0 5.4 0.1 4.2 10.1 -4.0 8.2 -8.4 6.9 -4.9 -4.3 -3.5 -4.2 -3.9 1.7 -1.5 10.3 -3.3 5.9 10.6 2.3 9.4 0.4 7.7 -0.5 5.2 4.0 1.3 -1.4 -7.9 -1.9 -14.3 -4.7 20.0 7.5 REDWHEAT 8.4 9.8 -4.4 2.0 -1.0 1.4 -0.4 -2.0 0.5 13.5 -16.7 6.4 -18.3 2.4 -10.2 6.4 1.6 5.5 3.0 -8.3 -18.8 4.4 -20.0 -0.6 -7.7 -4.1 6.2 -8.1 4.1 -9.4 0.7 1.5 8.5 9.1 -16.0 -20.0 -12.0 -20.0 -3.6 -20.0 RICE -20.0 -20.0 -1.1 2.2 -1.1 1.6 -0.5 -2.2 0.5 -18.7 -0.5 -20.0 10.5 -20.0 -14.6 -14.3 -5.2 -13.3 -11.0 -20.0 -4.8 -20.0 8.8 -20.0 -16.6 -5.8 -5.6 -1.6 -9.4 0.5 -9.7 -15.5 -20.0 -20.0 -20.0 -20.0 9.1 -3.5 19.8 7.9 ROBUSTA 20.0 2.9 20.0 1.8 -0.9 1.3 -0.4 -1.8 0.4 12.4 17.4 15.4 17.4 16.4 17.3 18.6 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.0 2.2 7.3 5.4 7.1 6.8 20.0 20.0 20.0 20.0 20.0 -20.0 -19.2 -6.5 2.7 RUSSELL -3.5 6.6 12.0 4.3 -2.4 4.5 -1.2 3.4 1.9 -7.1 12.6 -1.4 9.9 6.5 10.3 -6.6 -6.4 -6.6 -6.5 8.6 10.8 -1.6 7.7 3.4 -1.8 4.9 0.7 5.6 1.2 4.3 3.0 -1.0 19.1 -6.3 -10.4 -9.4 -13.1 -18.8 -13.2 -20.0 SHATZ 3.4 -17.6 -15.3 -1.4 -3.4 -0.6 -2.2 -1.1 -1.8 -7.7 -7.3 -5.4 -7.4 -6.9 -8.3 -20.0 -20.0 -20.0 -20.0 -9.7 -8.8 -4.8 -9.1 -6.5 8.2 -2.5 -2.4 -1.9 -1.6 -1.8 -1.9 -20.0 -0.6 1.8 -7.6 -9.0 -20.0 -20.0 -9.3 -20.0 SILVER-mini 13.9 20.0 4.3 3.5 8.1 1.3 6.7 0.1 5.2 14.4 7.0 14.8 1.1 14.5 10.4 -6.4 -6.6 -6.7 -6.8 17.6 8.0 20.0 2.3 20.0 4.1 5.2 7.0 2.7 7.9 1.2 7.2 -1.2 20.0 20.0 20.0 12.8 -15.4 -17.1 20.0 0.8 SMI -10.2 11.1 16.3 6.7 -3.7 7.1 -1.9 5.2 2.9 -12.3 20.0 -7.7 14.3 15.2 18.5 -1.6 4.9 3.6 5.1 19.3 19.1 -6.9 11.7 8.0 16.0 7.9 -3.0 7.1 1.1 4.3 5.6 18.8 20.0 3.7 2.6 -6.8 14.2 -2.7 20.0 -5.2 SOFR -8.7 -8.5 -2.5 -2.3 -5.4 -1.0 -3.5 -1.7 -2.8 -12.3 2.8 -13.0 -0.8 -12.3 -11.0 -1.5 -0.0 -0.4 0.0 -7.4 -3.3 -13.9 -3.4 -10.8 -3.2 -1.3 -5.7 0.2 -3.1 0.0 -2.2 3.6 -0.7 0.3 -1.3 2.3 -19.8 -20.0 2.2 -2.7 SOYBEAN 13.3 12.5 -16.3 2.2 -1.1 1.6 -0.5 -2.2 0.5 -1.3 -13.1 -4.0 -6.0 10.6 -7.6 0.1 12.0 4.3 7.6 -2.9 -13.6 1.6 -14.3 4.7 -20.0 -0.1 0.6 -3.6 1.8 -3.4 3.0 15.0 -3.8 19.7 5.3 -20.0 -9.8 -20.0 -8.7 -20.0 SOYMEAL 10.0 -0.6 -20.0 2.0 -1.0 1.4 -0.4 -2.0 0.5 -1.4 -17.6 -7.8 -14.0 -6.4 -16.1 -7.7 7.4 -4.6 0.9 -16.5 -20.0 -5.0 -18.1 -7.5 -20.0 -4.9 1.7 -7.3 0.1 -4.5 -1.1 5.9 -4.6 3.2 -9.4 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL 11.5 18.6 -1.8 1.7 -0.9 1.2 -0.4 -1.7 0.4 -3.2 -11.7 1.1 -10.9 8.9 1.5 -8.3 1.4 -6.8 -3.5 2.8 -6.9 2.4 -11.8 6.6 -20.0 2.9 -2.1 0.0 0.5 -1.9 3.2 -3.5 -6.0 19.9 13.3 -3.2 -18.7 -10.4 -10.5 5.1 SP400 -3.0 15.8 20.0 5.2 -2.9 5.5 -1.5 4.1 2.3 -3.4 17.3 2.7 14.9 12.6 15.5 -4.5 -5.3 -5.2 -5.3 20.0 20.0 3.6 17.1 14.1 -12.8 6.5 1.4 6.3 2.4 4.7 4.8 1.0 20.0 6.1 5.7 0.7 -11.3 -9.3 -8.6 -20.0 SP500_micro -7.7 6.6 20.0 6.1 -3.3 6.4 -1.7 4.8 2.6 -0.2 20.0 2.9 20.0 14.8 19.7 -13.3 -11.7 -13.2 -12.6 20.0 20.0 -0.2 20.0 12.4 -20.0 7.6 -0.3 9.6 0.2 9.0 3.5 -10.8 13.0 2.3 -1.8 16.0 -1.1 -3.7 9.5 -5.4 SUGAR11 6.8 -1.5 -7.3 1.9 -1.0 1.4 -0.4 -1.9 0.4 -14.8 -7.6 -3.7 4.9 0.8 -0.2 11.3 17.2 13.3 15.7 -4.0 -7.3 -6.7 -0.2 -1.3 -20.0 -2.6 -12.2 -4.9 -4.5 -0.2 -0.8 20.0 -4.7 7.2 -6.6 -16.9 20.0 5.6 20.0 19.6 US10 -8.5 -7.9 0.3 -1.8 -4.4 -0.8 -2.9 -1.4 -2.3 -9.9 1.2 -10.4 -3.7 -10.1 -8.9 -7.0 -7.9 -7.9 -8.1 -6.3 -4.0 -11.2 -6.8 -9.0 2.7 -1.2 -4.3 -0.2 -2.8 -1.2 -2.0 -10.4 -1.6 -0.2 -1.1 2.2 -20.0 -20.0 -13.8 5.8 US10U -8.4 -7.0 0.0 -2.6 -6.1 -1.1 -4.0 -2.0 -3.2 -13.9 1.3 -14.6 -5.0 -14.3 -12.8 -4.5 -0.7 -2.7 -1.4 -8.4 -5.7 -15.0 -10.0 -12.1 -0.4 -1.4 -5.5 -0.2 -3.6 -1.8 -2.6 1.9 -0.3 0.8 0.1 3.7 -20.0 -20.0 15.2 16.3 US2 -6.2 -15.6 -4.3 -1.5 -3.7 -0.6 -2.4 -1.2 -1.9 -8.0 -5.0 -8.4 -7.3 -8.6 -8.5 -20.0 -20.0 -20.0 -20.0 -9.2 -7.2 -9.9 -9.4 -9.8 11.6 -2.3 -3.9 -1.2 -2.7 -1.7 -2.6 -20.0 -4.5 -1.8 -8.0 -2.2 -20.0 -20.0 -20.0 -20.0 US20 -9.6 -4.4 2.7 -1.8 -4.4 -0.8 -2.9 -1.4 -2.3 -10.1 2.9 -10.4 -2.0 -9.1 -7.7 -0.2 -0.8 -0.1 -0.4 -4.1 -1.9 -10.7 -5.6 -7.8 -1.3 0.1 -3.4 0.9 -2.3 -0.8 -1.3 2.5 0.8 1.0 3.6 6.0 -20.0 -18.3 20.0 20.0 US30 -9.3 -2.7 1.8 -2.1 -5.1 -0.9 -3.3 -1.6 -2.7 -11.3 2.2 -12.1 -3.8 -10.5 -9.5 -5.7 -6.0 -6.9 -6.8 -4.7 -2.9 -11.2 -7.6 -8.3 -0.6 0.0 -4.1 0.9 -2.8 -1.5 -1.6 -7.4 3.2 1.5 5.8 5.1 -15.8 -14.9 20.0 20.0 US5 -7.6 -11.0 -2.3 -1.8 -4.4 -0.8 -2.9 -1.4 -2.3 -10.0 -0.7 -10.5 -5.1 -10.3 -9.4 -11.3 -10.3 -10.4 -10.3 -8.0 -5.4 -11.6 -7.4 -10.0 5.8 -1.8 -4.6 -0.6 -3.0 -1.2 -2.4 -14.3 -3.2 -0.7 -4.2 0.4 -20.0 -20.0 -20.0 -7.6 VIX 2.7 8.8 2.4 -7.0 1.4 -11.0 1.2 -15.8 -2.9 4.6 -20.0 0.9 -20.0 -10.0 -20.0 -20.0 -20.0 -20.0 -20.0 -10.6 -20.0 2.8 -20.0 -2.4 NaN -7.8 -0.9 -13.2 0.2 -19.8 -3.2 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 20.0 4.8 -5.0 2.2 -1.1 1.6 -0.5 -2.2 0.5 18.8 -15.4 20.0 -20.0 10.6 -8.1 -18.1 -12.3 -15.4 -13.6 -4.7 -17.3 16.7 -20.0 9.4 1.6 -2.5 6.8 -6.1 7.2 -7.1 3.7 -20.0 20.0 20.0 -15.5 -20.0 -7.4 -20.0 -3.0 -20.0 End of report for caleb_strategy_v3