******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240412_204013 produced at 2024-04-12 21:37:55.409183 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.12 0.00 0.00 0.00 0.00 0.00 -16.69 11.0 0 0 caleb_strategy_v3 VIX False False 0.00 -0.08 -0.30 0.00 0.08 -0.08 -0.08 -0.08 -63.11 17.0 -17 -16 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.25 0.00 0.00 0.00 0.00 0.00 -7.94 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.24 0.00 0.00 0.00 0.00 0.00 -4.20 13.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.08 -0.22 0.00 0.42 -0.42 -0.08 -0.18 -8.42 16.0 -3 -7 caleb_strategy_v3 CHF False False 0.04 -0.35 -0.17 0.00 0.50 -0.50 -0.35 -0.35 -4.51 13.0 -9 -9 caleb_strategy_v3 JPY False False 0.02 0.00 -0.15 0.00 0.39 -0.39 0.00 0.00 -6.52 17.0 0 0 caleb_strategy_v3 CAD False False 0.02 0.00 -0.14 0.00 0.59 -0.59 0.00 0.00 -6.81 29.0 0 0 caleb_strategy_v3 US5 False False 0.03 -0.41 -0.09 0.00 0.74 -0.74 -0.41 -0.41 -2.95 25.0 -14 -14 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.03 -0.07 0.00 0.04 -0.04 -0.03 -0.03 -49.11 26.0 -22 -22 caleb_strategy_v3 FEEDCOW False False 0.03 -0.03 -0.06 0.00 0.27 -0.27 -0.03 -0.03 -1.90 8.0 -1 -1 caleb_strategy_v3 EUR False False 0.04 0.00 -0.06 0.00 0.52 -0.52 0.00 0.00 -1.65 14.0 0 0 caleb_strategy_v3 CORN False False 0.01 -0.07 -0.06 0.00 0.08 -0.08 -0.07 -0.07 -9.19 12.0 -11 -11 caleb_strategy_v3 DOW False False 0.01 -0.03 -0.05 0.00 0.35 -0.35 -0.03 -0.01 -9.19 66.0 -6 -2 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.05 0.00 0.13 -0.13 -0.02 -0.02 -18.77 51.0 -6 -6 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.05 0.00 0.01 -0.01 0.00 0.00 -10.64 3.0 0 0 caleb_strategy_v3 US10 False False 0.03 0.00 -0.05 0.00 0.51 -0.51 0.00 0.00 -1.55 17.0 0 0 caleb_strategy_v3 RICE False True 0.01 0.00 -0.04 0.00 0.00 0.00 0.00 0.00 -3.89 4.0 0 0 caleb_strategy_v3 OATIES False True 0.00 0.00 -0.04 0.00 0.00 0.00 0.00 0.00 -8.93 2.0 0 0 caleb_strategy_v3 NZD False False 0.02 -0.03 -0.04 0.00 0.35 -0.35 -0.03 -0.03 -2.21 21.0 -2 -2 caleb_strategy_v3 BOBL False False 0.04 -0.63 -0.04 0.00 0.67 -0.67 -0.63 -0.63 -1.01 19.0 -18 -18 caleb_strategy_v3 GBP False False 0.02 0.00 -0.03 0.00 0.48 -0.48 0.00 0.00 -1.56 22.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.00 -0.03 0.00 0.05 -0.05 0.00 0.00 -3.42 5.0 0 0 caleb_strategy_v3 US10U False False 0.03 -0.06 -0.03 0.00 0.41 -0.41 -0.06 -0.06 -0.80 13.0 -2 -2 caleb_strategy_v3 AUD False False 0.02 0.00 -0.03 0.00 0.34 -0.34 0.00 0.00 -1.68 19.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 -0.03 -0.02 0.00 0.19 -0.19 -0.03 -0.03 -7.93 68.0 -10 -10 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.00 0.09 -0.09 0.00 0.00 -2.39 9.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 -0.02 -0.02 0.00 0.11 -0.11 -0.02 -0.02 -1.46 7.0 -1 -1 caleb_strategy_v3 WHEAT False False 0.01 -0.03 -0.02 0.00 0.08 -0.08 -0.03 -0.03 -2.30 9.0 -4 -4 caleb_strategy_v3 COTTON2 False False 0.01 -0.04 -0.02 0.00 0.13 -0.13 -0.04 -0.04 -1.44 11.0 -3 -3 caleb_strategy_v3 US30 False False 0.03 0.00 -0.01 0.00 0.21 -0.21 0.00 0.00 -0.28 6.0 0 0 caleb_strategy_v3 US20 False True 0.03 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 -0.24 9.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.01 0.00 0.11 -0.11 0.00 0.00 -1.68 18.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.03 -0.01 0.00 0.23 -0.23 -0.03 -0.01 -1.35 23.0 -3 -1 caleb_strategy_v3 SP500_micro False False 0.01 0.03 -0.01 0.00 0.34 -0.34 0.03 0.01 -1.17 48.0 4 1 caleb_strategy_v3 SP400 False False 0.08 0.16 -0.01 0.00 0.16 -0.16 0.16 0.08 -0.13 2.0 2 1 caleb_strategy_v3 SOYOIL False False 0.01 -0.04 -0.01 0.00 0.08 -0.08 -0.04 -0.04 -1.72 10.0 -5 -5 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.01 0.00 0.07 -0.07 -0.01 -0.01 -1.44 8.0 -1 -1 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.12 59.0 0 0 caleb_strategy_v3 BUND False False 0.04 -0.04 -0.00 0.00 0.40 -0.40 -0.04 -0.04 -0.05 10.0 -1 -1 caleb_strategy_v3 BUXL False False 0.04 0.00 -0.00 0.00 0.16 -0.16 0.00 0.00 -0.06 4.0 0 0 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.00 0.06 -0.06 0.00 0.00 -0.08 2.0 0 0 caleb_strategy_v3 COFFEE False False 0.02 0.02 0.01 0.00 0.14 -0.14 0.02 0.02 0.59 6.0 1 1 caleb_strategy_v3 LIVECOW False False 0.02 0.04 0.01 0.00 0.33 -0.33 0.04 0.04 0.58 17.0 2 2 caleb_strategy_v3 OJ False False 0.02 0.00 0.02 0.00 0.05 -0.05 0.00 0.00 0.99 3.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.02 0.02 0.00 0.25 -0.25 0.02 0.01 2.14 23.0 2 1 caleb_strategy_v3 PLAT False False 0.01 0.00 0.02 0.00 0.14 -0.14 0.00 0.01 1.56 10.0 0 1 caleb_strategy_v3 BTP False False 0.04 0.14 0.03 0.00 0.35 -0.35 0.14 0.14 0.79 10.0 4 4 caleb_strategy_v3 COCOA False False 0.03 0.12 0.03 0.00 0.75 -0.75 0.12 0.14 1.16 26.0 4 5 caleb_strategy_v3 OAT False False 0.04 0.00 0.03 0.00 0.38 -0.38 0.00 0.00 0.92 10.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 0.09 0.03 0.00 0.09 -0.09 0.09 0.09 1.09 3.0 3 3 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.04 0.00 0.00 -0.00 0.00 0.00 2.22 0.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.07 0.15 0.05 0.00 0.73 -0.73 0.15 0.07 0.74 10.0 2 1 caleb_strategy_v3 GOLD_micro False False 0.01 0.01 0.05 0.00 0.37 -0.37 0.01 0.01 8.18 56.0 1 1 caleb_strategy_v3 GASOIL False False 0.02 0.07 0.06 0.00 0.09 -0.09 0.07 0.05 2.42 4.0 3 2 caleb_strategy_v3 NIKKEI False False 0.01 0.18 0.08 0.00 0.25 -0.25 0.18 0.18 12.01 36.0 26 26 caleb_strategy_v3 CAC True False 0.02 0.17 0.09 0.17 0.17 0.17 0.17 0.17 3.75 12.0 7 7 caleb_strategy_v3 LEANHOG False False 0.01 0.07 0.09 0.00 0.16 -0.16 0.07 0.07 7.39 13.0 6 6 caleb_strategy_v3 EUROSTX False False 0.01 0.28 0.10 0.00 0.29 -0.29 0.28 0.20 6.59 20.0 19 14 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.10 0.00 0.13 -0.13 0.13 0.13 3.02 4.0 4 4 caleb_strategy_v3 SMI False True 0.03 0.31 0.11 0.00 0.31 0.00 0.31 0.31 3.33 9.0 9 9 caleb_strategy_v3 DAX False False 0.01 0.12 0.12 0.00 0.31 -0.31 0.12 0.10 21.99 58.0 22 18 caleb_strategy_v3 COPPER False False 0.03 0.15 0.13 0.00 0.18 -0.18 0.15 0.18 4.48 6.0 5 6 caleb_strategy_v3 DX False False 0.03 0.00 0.14 0.00 999.00 -999.00 0.00 0.00 4.70 999999999.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.11 0.34 0.00 0.11 -0.11 0.11 0.09 15.43 5.0 5 4 caleb_strategy_v3 MXP False False 0.01 0.49 0.72 0.00 0.50 -0.50 0.49 0.50 86.64 60.0 59 60 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 22.7 Shocked risk 80.1 Sum abs risk 66.3 Leverage 6.04 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3588421.16, 'annual_cash_vol_target': 897105.29, 'daily_cash_vol_target': 56069.080625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0047 0.6470 0.7223 11.5572 BITCOIN 2096.8832 66795.0000 3.1393 50.2285 BOBL 0.2831 117.9000 0.2402 3.8425 BTP 0.6449 118.4000 0.5447 8.7151 BUND 0.5630 132.6200 0.4245 6.7923 BUXL 1.2961 134.2000 0.9658 15.4523 CAC 46.7576 7921.0000 0.5903 9.4448 CAD 0.0030 0.7262 0.4121 6.5932 CANOLA 6.9690 643.7000 1.0826 17.3223 CHF 0.0052 1.1026 0.4680 7.4881 COCOA 168.8500 10377.0000 1.6272 26.0345 COFFEE 2.9590 217.3500 1.3614 21.7821 COPPER 0.0412 4.2900 0.9608 15.3730 CORN 5.1119 471.0000 1.0853 17.3654 COTTON2 1.3278 84.5700 1.5701 25.1217 CRUDE_W 0.7869 80.2100 0.9810 15.6965 DAX 121.0680 18071.0000 0.6700 10.7193 DOW 264.1778 38183.0000 0.6919 11.0700 DX 0.3971 105.8250 0.3752 6.0035 EUR 0.0050 1.0668 0.4710 7.5367 EURIBOR-ICE 0.0526 97.5700 0.0539 0.8629 EUROSTX 34.8838 4881.0000 0.7147 11.4350 FEEDCOW 2.0854 245.4500 0.8496 13.5942 GASOIL 10.9739 823.7500 1.3322 21.3151 GASOLINE 0.0320 2.7265 1.1730 18.7680 GAS_US_mini 0.0737 2.0300 3.6286 58.0579 GBP 0.0065 1.2450 0.5251 8.4022 GOLD_micro 16.6672 2390.5000 0.6972 11.1556 HEATOIL 0.0364 2.6844 1.3565 21.7033 JGB-SGX-mini 0.2489 144.6300 0.1721 2.7533 JPY 0.0000 0.0066 0.5184 8.2951 LEANHOG 1.2098 107.6250 1.1241 17.9858 LIVECOW 1.4384 171.5750 0.8384 13.4140 LUMBER-new 6.4450 564.5000 1.1417 18.2674 MILK 0.2585 16.8500 1.5340 24.5439 MXP 0.0004 0.0594 0.6098 9.7575 NASDAQ_micro 156.7987 18136.5000 0.8645 13.8328 NIKKEI 363.0071 38835.0000 0.9347 14.9559 NZD 0.0040 0.5936 0.6798 10.8763 OAT 0.5470 127.4700 0.4291 6.8656 OATIES 5.3410 340.7500 1.5674 25.0787 OJ 5.8778 368.0000 1.5972 25.5558 PALLAD 27.0089 1056.0000 2.5577 40.9225 PLAT 15.5865 993.4000 1.5690 25.1040 REDWHEAT 9.6100 597.2500 1.6090 25.7447 RICE 0.2174 17.2450 1.2605 20.1687 ROBUSTA 44.9374 3850.0000 1.1672 18.6753 RUSSELL 24.5248 2012.2000 1.2188 19.5009 SHATZ 0.0907 105.6400 0.0859 1.3742 SILVER-mini 0.4338 28.3000 1.5327 24.5239 SMI 73.6697 11268.0000 0.6538 10.4607 SOFR 0.0736 96.0300 0.0767 1.2268 SOYBEAN 9.4523 1173.7500 0.8053 12.8849 SOYMEAL 3.9404 343.2000 1.1481 18.3700 SOYOIL 0.6831 46.5200 1.4683 23.4928 SP400 26.9255 2916.7000 0.9231 14.7704 SP500_micro 36.4975 5154.5000 0.7081 11.3291 SUGAR11 0.3002 20.1500 1.4897 23.8358 US10 0.4517 108.6250 0.4159 6.6538 US10U 0.5869 111.7969 0.5250 8.3997 US2 0.1281 101.6836 0.1260 2.0159 US20 0.8709 116.0938 0.7502 12.0032 US30 1.2436 123.0938 1.0103 16.1650 US5 0.3028 105.5391 0.2869 4.5906 VIX 0.4150 17.2500 2.4058 38.4924 WHEAT 7.8903 609.5000 1.2946 20.7129 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 646.95 0.72 467.31 1.00 467.31 56069.08 119.98 -5.40 -64.85 BITCOIN 66.80 3.14 209.69 1.00 209.69 56069.08 267.39 0.39 10.32 BOBL 1179.00 0.24 283.14 1.07 304.11 56069.08 184.37 -5.39 -99.34 BTP 1184.00 0.54 644.92 1.07 692.68 56069.08 80.95 2.86 23.12 BUND 1326.20 0.42 562.99 1.07 604.68 56069.08 92.72 -0.58 -5.36 BUXL 1342.00 0.97 1296.07 1.07 1392.04 56069.08 40.28 -1.35 -5.45 CAC 792.10 0.59 467.58 1.07 502.20 56069.08 111.65 9.85 110.00 CAD 726.20 0.41 299.25 1.00 299.25 56069.08 187.37 -14.01 -262.55 CANOLA 128.74 1.08 139.38 0.73 101.86 56069.08 550.45 -14.01 -771.42 CHF 1378.25 0.47 645.03 1.00 645.03 56069.08 86.92 -20.00 -173.85 COCOA 1037.70 1.63 1688.50 1.00 1688.50 56069.08 33.21 16.30 54.14 COFFEE 815.06 1.36 1109.61 1.00 1109.61 56069.08 50.53 10.04 50.74 COPPER 1072.50 0.96 1030.47 1.00 1030.47 56069.08 54.41 7.60 41.35 CORN 235.50 1.09 255.60 1.00 255.60 56069.08 219.36 -17.22 -377.75 COTTON2 422.85 1.57 663.92 1.00 663.92 56069.08 84.45 -7.95 -67.15 CRUDE_W 802.10 0.98 786.89 1.00 786.89 56069.08 71.25 20.00 142.51 DAX 180.71 0.67 121.07 1.07 130.03 56069.08 431.19 14.96 644.85 DOW 190.92 0.69 132.09 1.00 132.09 56069.08 424.48 -9.31 -395.29 DX 1058.25 0.38 397.07 1.00 397.07 56069.08 141.21 12.83 181.22 EUR 1333.56 0.47 628.17 1.00 628.17 56069.08 89.26 -7.14 -63.75 EURIBOR-ICE 2439.25 0.05 131.55 1.07 141.29 56069.08 396.83 0.54 21.62 EUROSTX 488.10 0.71 348.84 1.07 374.67 56069.08 149.65 12.91 193.16 FEEDCOW 1227.25 0.85 1042.72 1.00 1042.72 56069.08 53.77 -10.65 -57.25 GASOIL 823.75 1.33 1097.39 1.00 1097.39 56069.08 51.09 10.95 55.94 GASOLINE 1145.13 1.17 1343.24 1.00 1343.24 56069.08 41.74 16.69 69.65 GAS_US_mini 50.75 3.63 184.15 1.00 184.15 56069.08 304.47 -14.90 -453.55 GBP 778.12 0.53 408.62 1.00 408.62 56069.08 137.21 -4.39 -60.18 GOLD_micro 239.05 0.70 166.67 1.00 166.67 56069.08 336.40 7.13 239.77 HEATOIL 1127.45 1.36 1529.34 1.00 1529.34 56069.08 36.66 6.83 25.04 JGB-SGX-mini 144630.00 0.17 24888.47 0.01 162.65 56069.08 344.72 -2.26 -77.75 JPY 823.88 0.52 427.14 1.00 427.14 56069.08 131.27 -19.16 -251.47 LEANHOG 430.50 1.12 483.93 1.00 483.93 56069.08 115.86 10.50 121.60 LIVECOW 686.30 0.84 575.38 1.00 575.38 56069.08 97.45 1.79 17.49 LUMBER-new 155.24 1.14 177.24 1.00 177.24 56069.08 316.35 -15.72 -497.19 MILK 337.00 1.53 516.96 1.00 516.96 56069.08 108.46 -14.71 -159.49 MXP 296.85 0.61 181.03 1.00 181.03 56069.08 309.72 19.06 590.31 NASDAQ_micro 362.73 0.86 313.60 1.00 313.60 56069.08 178.79 -3.25 -58.04 NIKKEI 38835.00 0.93 36300.71 0.01 237.23 56069.08 236.34 4.69 110.94 NZD 593.55 0.68 403.48 1.00 403.48 56069.08 138.96 -6.13 -85.16 OAT 1274.70 0.43 546.97 1.07 587.48 56069.08 95.44 2.83 26.97 OATIES 170.38 1.57 267.05 1.00 267.05 56069.08 209.96 -17.48 -366.94 OJ 552.00 1.60 881.68 1.00 881.68 56069.08 63.59 7.24 46.03 PALLAD 1056.00 2.56 2700.89 1.00 2700.89 56069.08 20.76 -1.19 -2.47 PLAT 496.70 1.57 779.32 1.00 779.32 56069.08 71.95 6.36 45.72 REDWHEAT 298.62 1.61 480.50 1.00 480.50 56069.08 116.69 -9.28 -108.28 RICE 344.90 1.26 434.76 1.00 434.76 56069.08 128.97 -12.40 -159.96 ROBUSTA 385.00 1.17 449.37 1.00 449.37 56069.08 124.77 14.69 183.27 RUSSELL 100.61 1.22 122.62 1.00 122.62 56069.08 457.24 -5.23 -239.18 SHATZ 1056.40 0.09 90.73 1.07 97.45 56069.08 575.37 -13.62 -783.44 SILVER-mini 707.50 1.53 1084.41 1.00 1084.41 56069.08 51.70 12.61 65.19 SMI 1126.80 0.65 736.70 1.09 806.65 56069.08 69.51 14.06 97.71 SOFR 2400.75 0.08 184.08 1.00 184.08 56069.08 304.59 -9.01 -274.55 SOYBEAN 586.88 0.81 472.61 1.00 472.61 56069.08 118.64 -13.22 -156.88 SOYMEAL 343.20 1.15 394.04 1.00 394.04 56069.08 142.29 -18.04 -256.71 SOYOIL 279.12 1.47 409.83 1.00 409.83 56069.08 136.81 -13.52 -184.97 SP400 2916.70 0.92 2692.55 1.00 2692.55 56069.08 20.82 -1.93 -4.02 SP500_micro 257.73 0.71 182.49 1.00 182.49 56069.08 307.25 -1.63 -50.17 SUGAR11 225.68 1.49 336.20 1.00 336.20 56069.08 166.77 -4.73 -78.84 US10 1086.25 0.42 451.73 1.00 451.73 56069.08 124.12 -9.88 -122.67 US10U 1117.97 0.52 586.91 1.00 586.91 56069.08 95.53 -6.65 -63.52 US2 2033.67 0.13 256.23 1.00 256.23 56069.08 218.82 -15.15 -331.45 US20 1160.94 0.75 870.94 1.00 870.94 56069.08 64.38 -3.00 -19.31 US30 1230.94 1.01 1243.63 1.00 1243.63 56069.08 45.08 -4.86 -21.89 US5 1055.39 0.29 302.80 1.00 302.80 56069.08 185.17 -12.59 -233.11 VIX 172.50 2.41 415.00 1.00 415.00 56069.08 135.11 -18.92 -255.68 WHEAT 304.75 1.29 394.52 1.00 394.52 56069.08 142.12 -12.22 -173.66 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -64.846 0.010 2.5 -1.682 BITCOIN 10.325 0.043 2.5 1.118 BOBL -99.342 0.004 2.5 -1.007 BTP 23.118 0.014 2.5 0.789 BUND -5.358 0.004 2.5 -0.054 BUXL -5.450 0.004 2.5 -0.055 CAC 109.995 0.014 2.5 3.752 CAD -262.553 0.010 2.5 -6.812 CANOLA -771.417 0.010 2.5 -18.768 CHF -173.850 0.010 2.5 -4.511 COCOA 54.141 0.009 2.5 1.160 COFFEE 50.738 0.005 2.5 0.593 COPPER 41.353 0.043 2.5 4.478 CORN -377.752 0.010 2.5 -9.190 COTTON2 -67.151 0.009 2.5 -1.438 CRUDE_W 142.509 0.043 2.5 15.432 DAX 644.854 0.014 2.5 21.995 DOW -395.286 0.009 2.5 -9.186 DX 181.215 0.010 2.5 4.702 EUR -63.751 0.010 2.5 -1.654 EURIBOR-ICE 21.619 0.014 2.5 0.737 EUROSTX 193.162 0.014 2.5 6.588 FEEDCOW -57.252 0.013 2.5 -1.897 GASOIL 55.936 0.017 2.5 2.425 GASOLINE 69.647 0.017 2.5 3.019 GAS_US_mini -453.553 0.043 2.5 -49.114 GBP -60.177 0.010 2.5 -1.561 GOLD_micro 239.774 0.014 2.5 8.178 HEATOIL 25.042 0.017 2.5 1.086 JGB-SGX-mini -77.750 0.043 2.5 -8.419 JPY -251.467 0.010 2.5 -6.525 LEANHOG 121.599 0.024 2.5 7.390 LIVECOW 17.490 0.013 2.5 0.580 LUMBER-new -497.187 0.009 2.5 -10.639 MILK -159.493 0.009 2.5 -3.416 MXP 590.305 0.059 2.5 86.641 NASDAQ_micro -58.039 0.009 2.5 -1.349 NIKKEI 110.936 0.043 2.5 12.013 NZD -85.161 0.010 2.5 -2.210 OAT 26.968 0.014 2.5 0.920 OATIES -366.945 0.010 2.5 -8.927 OJ 46.030 0.009 2.5 0.986 PALLAD -2.467 0.014 2.5 -0.084 PLAT 45.723 0.014 2.5 1.560 REDWHEAT -108.276 0.005 2.5 -1.436 RICE -159.956 0.010 2.5 -3.892 ROBUSTA 183.271 0.005 2.5 2.140 RUSSELL -239.183 0.013 2.5 -7.926 SHATZ -783.437 0.004 2.5 -7.944 SILVER-mini 65.189 0.014 2.5 2.223 SMI 97.706 0.014 2.5 3.333 SOFR -274.554 0.024 2.5 -16.686 SOYBEAN -156.879 0.004 2.5 -1.459 SOYMEAL -256.708 0.004 2.5 -2.388 SOYOIL -184.966 0.004 2.5 -1.722 SP400 -4.016 0.013 2.5 -0.133 SP500_micro -50.170 0.009 2.5 -1.166 SUGAR11 -78.839 0.009 2.5 -1.677 US10 -122.671 0.005 2.5 -1.554 US10U -63.522 0.005 2.5 -0.805 US2 -331.455 0.005 2.5 -4.200 US20 -19.313 0.005 2.5 -0.245 US30 -21.893 0.005 2.5 -0.277 US5 -233.113 0.005 2.5 -2.954 VIX -255.677 0.099 2.5 -63.112 WHEAT -173.658 0.005 2.5 -2.304 ===================== Position diags ===================== AUD 3.11 BITCOIN 28.96 BOBL 1.87 BTP 2.76 BUND 0.94 BUXL 0.41 CAC 3.81 CAD 4.86 CANOLA 13.39 CHF 2.26 COCOA 0.71 COFFEE 0.59 COPPER 5.89 CORN 5.34 COTTON2 1.81 CRUDE_W 7.72 DAX 14.71 DOW 9.86 DX 3.66 EUR 2.32 EURIBOR-ICE 13.54 EUROSTX 5.10 FEEDCOW 1.78 GASOIL 2.21 GASOLINE 1.81 GAS_US_mini 32.97 GBP 3.56 GOLD_micro 11.47 HEATOIL 1.59 JGB-SGX-mini 37.33 JPY 3.41 LEANHOG 7.04 LIVECOW 3.23 LUMBER-new 6.77 MILK 2.32 MXP 45.46 NASDAQ_micro 4.16 NIKKEI 25.59 NZD 3.61 OAT 3.26 OATIES 5.11 OJ 1.36 PALLAD 0.71 PLAT 2.45 REDWHEAT 1.55 RICE 3.14 ROBUSTA 1.46 RUSSELL 15.15 SHATZ 5.83 SILVER-mini 1.76 SMI 2.37 SOFR 18.51 SOYBEAN 1.10 SOYMEAL 1.32 SOYOIL 1.27 SP400 0.69 SP500_micro 7.14 SUGAR11 3.55 US10 1.57 US10U 1.21 US2 2.77 US20 0.82 US30 0.57 US5 2.35 VIX 33.35 WHEAT 1.89 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.7 -2.0 -1.4 0.0 0 BITCOIN 1.1 -1.8 4.0 0.0 0 BOBL -1.0 -1.2 -0.8 -18.0 -18 BTP 0.8 0.5 1.1 4.0 4 BUND -0.1 -0.1 0.0 -1.0 -1 BUXL -0.1 -0.1 -0.0 0.0 0 CAC 3.8 3.4 4.1 7.0 7 CAD -6.8 -7.3 -6.3 0.0 0 CANOLA -18.8 -20.1 -17.4 -6.0 -6 CHF -4.5 -4.7 -4.3 -9.0 -9 COCOA 1.2 1.1 1.2 4.0 4 COFFEE 0.6 0.5 0.7 1.0 1 COPPER 4.5 3.9 5.1 5.0 5 CORN -9.2 -9.7 -8.7 -11.0 -11 COTTON2 -1.4 -1.6 -1.3 -3.0 -3 CRUDE_W 15.4 14.7 16.2 5.0 5 DAX 22.0 20.5 23.5 22.0 22 DOW -9.2 -10.2 -8.2 -6.0 -6 DX 4.7 4.3 5.1 NaN 0 EUR -1.7 -1.9 -1.4 0.0 0 EURIBOR-ICE 0.7 -0.6 2.1 2.0 2 EUROSTX 6.6 6.1 7.1 19.0 19 FEEDCOW -1.9 -2.1 -1.7 -1.0 -1 GASOIL 2.4 2.2 2.6 3.0 3 GASOLINE 3.0 2.8 3.2 4.0 4 GAS_US_mini -49.1 -52.4 -45.8 -22.0 -22 GBP -1.6 -1.9 -1.2 0.0 0 GOLD_micro 8.2 7.0 9.3 1.0 1 HEATOIL 1.1 0.9 1.2 3.0 3 JGB-SGX-mini -8.4 -12.2 -4.7 -3.0 -3 JPY -6.5 -6.9 -6.2 0.0 0 LEANHOG 7.4 6.7 8.1 6.0 6 LIVECOW 0.6 0.3 0.9 2.0 2 LUMBER-new -10.6 -11.3 -10.0 NaN 0 MILK -3.4 -3.6 -3.2 NaN 0 MXP 86.6 82.1 91.2 59.0 59 NASDAQ_micro -1.3 -1.8 -0.9 -3.0 -3 NIKKEI 12.0 9.5 14.6 26.0 26 NZD -2.2 -2.6 -1.8 -2.0 -2 OAT 0.9 0.6 1.2 0.0 0 OATIES -8.9 -9.4 -8.4 NaN 0 OJ 1.0 0.8 1.1 NaN 0 PALLAD -0.1 -0.2 -0.0 0.0 0 PLAT 1.6 1.3 1.8 0.0 0 REDWHEAT -1.4 -1.6 -1.3 -1.0 -1 RICE -3.9 -4.2 -3.6 NaN 0 ROBUSTA 2.1 2.0 2.3 2.0 2 RUSSELL -7.9 -9.4 -6.4 -10.0 -10 SHATZ -7.9 -8.5 -7.4 NaN 0 SILVER-mini 2.2 2.0 2.4 NaN 0 SMI 3.3 3.1 3.6 9.0 9 SOFR -16.7 -18.5 -14.8 NaN 0 SOYBEAN -1.5 -1.6 -1.3 -1.0 -1 SOYMEAL -2.4 -2.5 -2.3 0.0 0 SOYOIL -1.7 -1.8 -1.6 -5.0 -5 SP400 -0.1 -0.2 -0.1 2.0 2 SP500_micro -1.2 -1.9 -0.5 4.0 4 SUGAR11 -1.7 -2.0 -1.3 0.0 0 US10 -1.6 -1.7 -1.4 0.0 0 US10U -0.8 -0.9 -0.7 -2.0 -2 US2 -4.2 -4.5 -3.9 NaN 0 US20 -0.2 -0.3 -0.2 0.0 0 US30 -0.3 -0.3 -0.2 0.0 0 US5 -3.0 -3.2 -2.7 -14.0 -14 VIX -63.1 -66.4 -59.8 -17.0 -17 WHEAT -2.3 -2.5 -2.1 -4.0 -4 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BITCOIN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BOBL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BTP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUND 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 BUXL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAC 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CAD 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CANOLA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CHF 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COCOA 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COFFEE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COPPER 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CORN 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 COTTON2 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 CRUDE_W 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DAX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 DX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUR 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EURIBOR-ICE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 EUROSTX 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 FEEDCOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GASOLINE 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GAS_US_mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GBP 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 GOLD_micro 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 HEATOIL 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JGB-SGX-mini 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 JPY 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LEANHOG 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LIVECOW 3.2 3.2 3.2 1.1 0.9 2.7 1.1 3.6 1.1 0.9 2.7 1.1 3.6 1.1 1.1 2.0 2.0 2.0 2.0 1.1 1.1 0.9 2.7 1.1 13.3 1.1 0.9 2.7 1.1 3.6 1.1 5.3 2.4 3.2 3.2 3.2 3.3 3.3 3.3 3.3 LUMBER-new 3.7 3.7 3.7 1.2 1.0 3.1 1.2 4.2 1.2 1.0 3.1 1.2 4.1 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 0.0 -0.1 -0.0 -0.2 0.0 -0.1 0.1 -0.0 -0.1 -0.1 -0.1 -0.3 -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 -0.0 -0.1 0.4 0.2 0.2 -0.1 -0.7 -0.4 -0.5 -0.1 BITCOIN -0.6 0.1 0.3 0.1 0.0 0.1 0.1 0.0 0.1 -0.1 0.4 0.0 0.6 0.1 0.2 -0.2 -0.1 -0.2 -0.2 0.2 0.2 0.0 0.5 0.1 -2.7 0.1 -0.0 0.2 0.0 0.2 0.0 -0.2 -0.5 -0.6 0.6 0.6 -0.3 -0.0 0.6 0.1 BOBL 0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -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 0.8 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.8 0.2 0.3 0.1 -0.1 -0.6 -0.7 0.3 -0.6 BTP -0.4 -0.1 0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 0.0 0.3 -0.1 0.4 -0.0 -0.0 0.1 0.1 0.1 0.1 0.0 0.1 -0.0 0.2 -0.0 -2.6 0.1 0.0 0.2 0.0 0.2 0.0 0.7 0.5 0.4 0.6 0.4 -0.2 -0.4 0.7 0.1 BUND 0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 0.0 -0.1 -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 0.4 0.5 0.2 -0.0 -0.5 -0.7 0.5 -0.3 BUXL 0.0 -0.1 0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 0.0 0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.5 0.6 0.5 0.1 -0.7 -0.7 -0.1 -0.0 CAC -0.6 0.4 0.6 0.1 -0.1 0.2 -0.1 0.2 0.0 -0.2 0.5 -0.2 0.7 0.1 0.2 0.4 0.0 0.3 0.1 0.2 0.2 -0.2 0.5 -0.0 -1.6 0.1 -0.1 0.3 -0.0 0.3 0.0 0.8 0.5 -0.0 0.4 -0.0 -0.3 0.4 -0.2 0.5 CAD -0.2 -0.2 -0.1 -0.0 -0.2 0.0 -0.1 0.1 -0.1 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 0.0 -0.4 -0.1 -0.4 -0.1 -0.7 -0.6 -0.2 -0.5 CANOLA 0.4 0.6 -0.1 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -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 -1.0 0.1 0.4 0.5 -0.5 -0.7 -0.6 -0.5 -0.2 CHF -0.5 -0.6 -0.6 -0.0 -0.2 0.0 -0.1 0.1 -0.0 -0.1 -0.4 -0.2 -0.2 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.2 -0.2 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -1.1 -0.1 -0.6 -0.6 -0.6 -0.3 -0.6 0.0 -0.5 COCOA 0.6 0.6 0.4 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 0.3 0.1 0.4 0.1 0.1 0.4 0.3 0.4 0.4 0.2 0.2 0.2 0.5 0.2 -2.6 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.5 0.6 0.6 0.6 0.0 -0.0 0.2 0.3 COFFEE 0.6 0.3 0.4 0.0 -0.1 0.0 -0.1 -0.1 -0.0 0.2 0.5 0.2 0.5 0.2 0.2 0.1 0.2 0.2 0.2 0.2 0.2 0.2 0.4 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 0.7 0.5 0.6 0.6 0.4 -0.2 -0.7 0.1 -0.4 COPPER 0.5 0.6 0.4 0.1 0.1 0.1 0.1 0.0 0.1 0.1 0.4 0.2 0.0 0.2 0.2 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.2 0.2 -2.1 0.1 0.0 0.1 0.1 0.1 0.1 0.1 0.2 0.4 0.5 0.5 -0.7 -0.1 0.3 0.2 CORN 0.2 0.5 0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 -0.3 -0.0 -0.7 0.1 -0.1 -0.4 -0.2 -0.4 -0.3 -0.1 -0.1 -0.0 -0.5 -0.0 -2.1 -0.0 -0.0 -0.2 0.0 -0.3 0.0 -1.1 -0.2 0.2 0.0 -0.6 -0.4 -0.7 -0.3 0.0 COTTON2 -0.6 -0.3 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 0.1 0.2 0.1 -0.0 0.0 -0.2 0.1 -0.2 -2.7 0.0 -0.0 0.1 -0.1 0.1 -0.0 0.2 -0.5 -0.6 0.1 0.6 -0.3 -0.5 -0.0 0.1 CRUDE_W 0.5 0.6 0.3 0.1 0.0 0.2 0.1 0.1 0.1 0.2 0.3 0.2 0.5 0.2 0.2 0.4 0.2 0.3 0.3 0.2 0.2 0.2 0.5 0.2 -0.7 0.1 0.0 0.2 0.1 0.2 0.1 -0.1 0.2 0.5 0.6 -0.0 0.7 0.7 0.7 0.7 DAX -0.5 0.3 0.5 0.1 -0.1 0.2 -0.1 0.2 0.0 -0.2 0.5 -0.2 0.7 0.1 0.2 -0.2 -0.2 -0.3 -0.3 0.2 0.2 -0.2 0.5 0.1 2.2 0.1 -0.1 0.2 -0.0 0.2 0.0 -0.6 0.3 0.6 0.6 0.3 -0.1 0.3 0.2 0.7 DOW -0.6 -0.6 0.1 0.0 -0.1 0.1 -0.0 0.2 0.0 -0.1 0.4 -0.2 0.6 -0.1 0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.2 -0.2 0.5 -0.1 -1.6 0.0 -0.1 0.2 -0.1 0.3 -0.0 -0.5 -0.1 0.0 -0.6 -0.1 -0.2 -0.2 0.1 -0.5 DX 0.4 0.1 0.2 -0.0 -0.2 0.0 -0.1 0.1 -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 0.2 0.2 -2.7 0.1 0.2 0.1 0.1 0.1 0.1 0.8 0.5 0.6 0.5 0.6 0.7 0.1 0.7 0.3 EUR -0.3 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -0.1 2.4 -0.0 -0.2 -0.0 -0.1 -0.0 -0.1 -0.4 0.1 -0.2 0.1 0.0 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.1 -0.4 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 0.1 -0.1 1.8 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 0.0 0.1 0.0 -0.0 -0.7 -0.7 0.4 0.6 EUROSTX -0.5 0.2 0.6 0.1 -0.1 0.2 -0.1 0.2 0.0 -0.2 0.5 -0.2 0.7 0.1 0.2 -0.1 0.0 -0.0 0.0 0.2 0.2 -0.2 0.5 0.1 -0.0 0.1 -0.1 0.3 -0.0 0.3 0.0 0.6 0.5 0.5 0.6 0.4 -0.5 0.4 -0.4 0.6 FEEDCOW -0.6 -0.6 0.4 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -0.0 -0.2 -0.0 -0.4 -0.4 -0.4 -0.4 -0.2 -0.0 -0.2 0.0 -0.2 -0.9 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -1.1 -0.5 -0.6 -0.6 0.2 0.7 0.7 0.7 0.7 GASOIL 0.1 0.2 0.3 0.1 0.0 0.1 0.1 0.1 0.1 0.0 0.3 0.1 0.5 0.2 0.2 0.3 0.4 0.4 0.4 0.2 0.2 0.1 0.5 0.2 0.9 0.1 0.0 0.2 0.0 0.3 0.1 0.9 -0.0 -0.3 -0.3 0.0 -0.4 -0.3 -0.7 -0.6 GASOLINE 0.3 0.6 0.6 0.1 0.0 0.1 0.1 0.1 0.1 0.2 0.5 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 -0.3 0.0 0.1 0.5 0.3 0.7 0.7 0.7 0.6 GAS_US_mini 0.1 0.0 -0.5 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 -0.3 -0.0 -1.1 -0.5 -0.6 -0.6 -0.6 -0.7 -0.1 -0.7 -0.3 GBP -0.4 -0.2 -0.0 -0.0 -0.2 0.0 -0.1 0.1 -0.1 -0.2 0.2 -0.2 0.3 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.2 0.1 -0.1 0.3 0.0 -0.2 0.1 -0.1 0.1 -0.0 0.2 0.2 -0.1 0.2 0.3 -0.7 -0.3 -0.7 -0.1 GOLD_micro 0.6 0.6 0.5 0.1 0.1 0.1 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 0.5 0.2 -0.6 0.1 0.0 0.1 0.1 0.1 0.1 -0.8 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.6 -0.4 HEATOIL 0.1 0.2 0.2 0.1 0.0 0.1 0.1 0.1 0.1 -0.0 0.1 0.1 0.4 0.2 0.2 0.1 0.4 0.3 0.4 0.2 0.1 0.0 0.3 0.1 -2.7 0.1 -0.0 0.2 0.0 0.3 0.1 0.9 -0.2 -0.6 -0.3 -0.0 0.6 0.2 0.5 0.1 JGB-SGX-mini -0.2 -0.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.1 0.2 0.3 0.2 0.2 -0.0 0.0 -0.1 0.1 -0.1 -1.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 1.1 -0.4 -0.0 -0.0 0.1 -0.4 -0.5 0.0 0.3 JPY -0.4 -0.2 -0.5 -0.0 -0.2 0.0 -0.1 0.1 -0.0 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.2 -0.5 -0.2 2.7 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -1.1 -0.1 -0.6 -0.5 -0.6 -0.7 -0.4 -0.6 -0.4 LEANHOG 0.1 0.5 0.6 0.0 -0.1 0.0 -0.1 -0.1 -0.0 0.0 0.5 0.2 -0.2 0.2 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 0.2 0.0 0.2 1.8 0.1 -0.0 0.2 0.1 0.1 0.1 -1.1 0.5 0.6 0.6 0.6 -0.3 -0.3 0.0 0.5 LIVECOW -0.6 -0.3 0.4 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.2 0.0 -0.2 0.0 0.4 0.1 0.4 0.2 -0.1 -0.0 -0.2 0.1 -0.2 -0.7 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.5 -0.5 -0.6 -0.2 0.4 0.7 0.4 0.7 0.7 LUMBER-new -0.7 -0.1 0.3 0.0 -0.0 0.0 -0.1 -0.1 -0.0 -0.2 0.4 -0.2 -0.4 -0.2 -0.0 -0.4 -0.4 -0.4 -0.4 -0.1 0.1 -0.2 0.1 -0.2 NaN -0.0 -0.1 0.1 -0.2 0.1 -0.1 -1.2 -0.6 -0.7 -0.1 0.1 -0.5 -0.5 -0.3 -0.3 MILK 0.1 -0.2 0.5 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.3 -0.0 -0.5 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.0 -0.5 -0.1 1.6 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.1 -0.2 -0.6 -0.5 -0.7 -0.7 -0.7 -0.7 MXP 0.1 0.2 0.0 -0.0 -0.2 0.0 -0.1 0.1 -0.1 -0.1 0.5 0.1 0.7 0.2 0.2 0.4 0.3 0.4 0.3 0.2 0.2 0.1 0.5 0.2 -2.7 0.1 -0.0 0.2 0.0 0.3 0.1 1.1 0.5 0.6 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro -0.4 -0.4 0.1 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.0 0.4 -0.0 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.2 -0.0 0.5 0.0 -2.7 0.0 -0.0 0.2 -0.0 0.4 -0.0 -0.4 0.5 0.1 -0.4 0.1 0.1 -0.1 0.3 -0.1 NIKKEI -0.5 -0.2 0.6 0.0 -0.1 0.2 -0.0 0.2 0.0 -0.1 0.5 -0.1 0.6 0.0 0.2 0.0 0.2 0.1 0.2 0.2 0.2 -0.1 0.5 0.0 -2.1 0.1 -0.0 0.2 -0.0 0.3 0.0 1.1 0.3 0.4 0.1 0.6 -0.6 -0.2 -0.3 -0.3 NZD -0.3 -0.3 -0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.2 0.4 -0.2 -0.3 -0.2 -0.4 -0.2 -0.1 0.2 OAT -0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 0.1 -0.1 0.0 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.0 0.0 -0.0 -0.0 -0.1 0.5 0.0 0.0 0.0 0.0 0.0 0.0 0.7 0.4 0.4 0.3 0.0 -0.5 -0.7 0.5 0.1 OATIES -0.4 -0.1 -0.3 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.0 -0.4 -0.1 -0.5 -0.1 -0.1 0.2 -0.0 0.2 0.1 -0.2 -0.2 -0.1 -0.4 -0.2 -2.7 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.5 -0.6 -0.6 -0.3 -0.5 -0.0 -0.2 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 0.1 -2.7 0.0 0.0 0.2 0.0 0.6 -0.0 1.0 -0.1 -0.0 -0.1 -0.2 0.4 0.3 0.7 0.7 PALLAD 0.1 0.6 0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.0 -0.3 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.2 0.0 1.5 0.0 0.0 -0.0 0.0 -0.1 0.0 0.4 -0.2 -0.2 -0.2 -0.1 -0.7 -0.4 -0.7 -0.3 PLAT 0.4 0.3 0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.1 -0.0 0.1 -0.3 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.1 -0.1 0.1 1.4 0.0 0.1 0.0 0.1 0.0 0.1 0.2 0.2 0.1 -0.2 -0.1 -0.5 -0.2 0.7 0.3 REDWHEAT 0.3 0.4 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.4 0.1 -0.7 0.1 -0.1 0.0 0.0 0.1 0.0 -0.1 -0.2 0.0 -0.5 0.0 -1.0 -0.0 0.0 -0.2 0.0 -0.4 0.0 0.0 0.3 0.5 -0.2 -0.6 -0.4 -0.7 -0.1 -0.7 RICE -0.6 -0.6 -0.2 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.1 -0.1 0.3 -0.1 -0.1 -0.2 -0.1 -0.2 -0.2 -0.2 -0.0 0.0 0.1 -0.2 -1.8 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.8 0.5 -0.6 -0.6 -0.6 0.3 -0.1 0.6 0.3 ROBUSTA 0.6 0.5 0.6 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 0.5 0.2 0.7 0.2 0.2 0.3 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 -0.6 -0.7 -0.2 0.1 RUSSELL -0.3 0.0 0.3 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.3 -0.1 0.3 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.1 0.2 -0.0 -0.2 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.1 0.1 -0.3 -0.3 -0.4 -0.6 -0.4 -0.7 SHATZ 0.3 -0.3 -0.4 -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 -0.1 -0.0 -0.1 -0.0 -1.1 0.1 0.1 -0.2 -0.3 -0.7 -0.7 -0.4 -0.7 SILVER-mini 0.6 0.6 0.3 0.0 0.0 0.0 0.1 0.0 0.1 0.1 0.2 0.2 0.1 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 0.0 0.1 0.1 0.1 0.1 -0.1 0.5 0.6 0.6 0.5 -0.5 -0.6 0.6 0.1 SMI -0.6 0.2 0.5 0.1 -0.1 0.2 -0.1 0.2 0.0 -0.2 0.5 -0.2 0.5 0.0 0.1 -0.0 0.1 0.1 0.1 0.1 0.2 -0.2 0.3 -0.0 2.0 0.1 -0.1 0.2 -0.0 0.2 0.0 1.0 0.5 -0.1 0.2 -0.1 0.5 -0.1 0.7 -0.1 SOFR -0.3 -0.3 -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 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.4 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -0.3 -0.2 -0.1 0.0 -0.6 -0.7 0.1 -0.1 SOYBEAN 0.1 0.5 -0.5 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.4 -0.2 -0.2 0.1 -0.1 -0.0 0.2 0.1 0.1 -0.1 -0.2 -0.1 -0.4 -0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.7 -0.3 0.0 0.2 -0.6 -0.3 -0.7 -0.3 -0.7 SOYMEAL 0.2 0.2 -0.6 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.5 -0.0 -0.5 -0.0 -0.2 -0.1 0.1 -0.1 0.0 -0.2 -0.2 0.0 -0.5 -0.0 -2.7 -0.0 0.0 -0.2 0.0 -0.2 -0.0 0.3 0.1 0.3 -0.1 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.0 0.6 0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.3 -0.0 -2.7 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.2 -0.5 -0.3 0.2 -0.1 -0.7 -0.4 -0.3 0.2 SP400 -0.5 0.2 0.5 0.0 -0.1 0.1 -0.0 0.2 0.0 -0.1 0.4 -0.1 0.5 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.2 -0.1 0.4 0.0 -1.6 0.1 -0.1 0.2 -0.0 0.2 0.0 0.1 0.0 0.3 0.2 -0.0 -0.4 -0.3 -0.3 -0.7 SP500_micro -0.6 -0.2 0.4 0.0 -0.1 0.2 -0.1 0.2 0.0 -0.1 0.5 -0.1 0.7 0.1 0.2 -0.3 -0.2 -0.3 -0.3 0.2 0.2 -0.1 0.5 0.0 -2.7 0.1 -0.1 0.3 -0.0 0.3 0.0 -0.6 0.3 0.2 0.0 0.5 -0.1 -0.1 0.3 -0.2 SUGAR11 -0.1 -0.1 -0.2 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.2 -0.2 0.2 -0.1 -0.0 0.2 0.3 0.3 0.3 -0.1 -0.1 -0.2 -0.0 -0.2 -2.7 -0.0 -0.2 -0.1 -0.1 -0.0 -0.1 1.1 -0.5 -0.4 -0.4 -0.4 0.7 0.2 0.7 0.7 US10 -0.3 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 0.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.5 -0.2 -0.1 -0.1 0.0 -0.7 -0.7 -0.4 0.2 US10U -0.3 -0.2 0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.1 -0.2 -0.1 -0.0 0.1 -0.7 -0.7 0.5 0.5 US2 -0.2 -0.4 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.3 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.2 -0.1 1.4 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.2 -0.2 -0.3 -0.1 -0.7 -0.7 -0.7 -0.7 US20 -0.3 -0.2 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.0 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=================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 0.8 -1.9 -2.0 -18.0 0.6 -9.6 2.7 -4.4 -12.2 -3.9 -6.6 -9.6 -2.9 -11.6 -2.7 -2.9 -2.8 -2.8 -2.6 -2.3 -8.0 -3.8 -3.4 2.8 -0.3 -14.8 -0.6 -5.2 -1.8 -0.5 -1.0 15.0 7.7 5.2 -3.8 -20.0 -10.8 -14.5 -2.2 BITCOIN -17.2 4.2 8.4 4.7 5.2 2.0 7.2 0.4 6.7 -6.8 16.6 1.2 16.9 10.6 14.2 -8.6 -7.4 -8.9 -8.5 20.0 20.0 0.5 20.0 10.8 -20.0 6.4 -1.2 7.3 0.7 6.0 3.4 -3.3 -20.0 -19.1 20.0 20.0 -8.0 -0.1 17.7 3.5 BOBL 6.1 -6.7 -7.5 -2.1 -2.9 -0.9 -3.5 -1.2 -2.9 1.7 -2.5 -3.2 -2.5 -5.3 -8.5 12.5 -10.8 -3.3 -10.2 -4.8 -3.3 -2.6 -3.4 -3.9 6.0 -1.1 1.5 -0.9 0.1 -1.0 -0.1 -15.2 9.7 10.1 2.3 -4.4 -19.4 -20.0 7.9 -17.8 BTP -11.3 -4.4 3.8 -3.2 -4.6 -1.5 -5.6 -1.9 -4.6 3.6 11.1 -6.0 10.5 -1.6 -1.0 4.8 6.1 4.9 5.2 3.0 8.6 -3.4 8.3 -2.2 -19.8 4.8 1.6 6.4 1.1 5.6 2.8 13.7 20.0 11.4 20.0 13.2 -6.1 -12.0 20.0 2.6 BUND 3.1 -5.5 -2.8 -2.3 -3.2 -1.1 -3.9 -1.4 -3.2 2.6 -0.0 -3.6 -0.8 -5.3 -8.8 -9.7 1.0 -5.5 -2.3 -3.1 -1.2 -2.0 -2.2 -3.1 3.4 0.9 2.2 0.7 1.8 -0.1 2.0 3.1 15.1 14.5 7.5 -1.0 -16.1 -20.0 16.2 -8.4 BUXL 1.5 -3.0 1.9 -2.8 -4.0 -1.3 -4.9 -1.7 -4.0 5.1 2.0 -4.4 -3.1 -5.9 -10.4 -7.9 -1.7 -5.6 -3.5 -1.7 -0.0 -0.3 -3.4 -1.9 -0.8 3.1 3.8 2.1 4.3 0.1 4.6 0.0 20.0 20.0 15.1 2.6 -20.0 -20.0 -2.0 -1.2 CAC -20.0 11.3 20.0 6.3 -9.9 8.3 -6.3 6.6 0.0 -20.0 20.0 -20.0 20.0 8.9 20.0 20.0 1.2 13.4 5.4 20.0 20.0 -20.0 20.0 -0.2 -12.0 8.0 -7.4 9.3 -4.3 7.6 2.0 14.6 20.0 -0.3 13.0 -0.1 -8.3 10.7 -5.7 15.7 CAD -7.2 -6.1 -1.8 -2.6 -20.0 0.7 -12.6 3.5 -5.7 -20.0 -5.6 -20.0 -6.5 -18.8 -20.0 -2.6 -2.2 -2.4 -2.3 -10.4 -5.8 -20.0 -5.2 -16.2 -0.4 -5.5 -20.0 -3.1 -15.3 -2.8 -8.9 0.0 -16.3 -3.4 -11.0 -4.6 -20.0 -16.7 -5.7 -13.5 CANOLA 11.1 20.0 -2.9 0.7 -1.3 0.7 -2.0 -1.3 -0.9 -1.6 -8.8 -1.3 -9.6 8.1 0.6 -14.7 -6.5 -14.1 -12.0 2.1 -9.0 1.1 -16.0 5.7 -20.0 0.8 -1.1 -3.0 0.4 -5.6 2.1 -18.0 2.8 12.8 15.9 -16.1 -20.0 -18.4 -15.2 -5.0 CHF -16.4 -20.0 -20.0 -2.0 -18.5 0.6 -9.9 2.7 -4.5 -14.2 -13.0 -17.0 -6.1 -17.7 -18.9 -15.9 -15.8 -16.0 -15.9 -20.0 -17.4 -20.0 -6.3 -20.0 -1.6 -6.3 -4.7 -3.5 -5.2 -0.9 -6.6 -20.0 -2.8 -20.0 -20.0 -20.0 -7.5 -16.7 0.9 -15.8 COCOA 20.0 20.0 11.7 0.6 -1.2 0.6 -1.7 -1.2 -0.8 9.8 11.7 10.8 11.6 11.1 11.5 20.0 15.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -19.7 4.0 2.1 3.9 2.4 3.3 3.3 20.0 20.0 20.0 20.0 20.0 1.1 -0.2 6.5 10.2 COFFEE 20.0 10.4 11.2 1.3 -11.4 1.4 -6.0 -2.5 -2.0 20.0 17.8 20.0 13.3 20.0 16.0 6.7 7.7 10.1 9.6 20.0 20.0 20.0 13.4 20.0 -20.0 6.9 12.1 4.6 13.7 3.3 11.1 12.9 20.0 20.0 20.0 13.1 -4.7 -20.0 4.1 -11.0 COPPER 14.2 20.0 13.8 5.3 5.9 2.3 8.1 0.5 7.6 14.5 14.8 18.2 1.3 20.0 18.9 -5.5 -5.0 -5.5 -5.6 20.0 19.0 20.0 7.5 20.0 -15.5 6.9 2.2 4.3 5.9 1.7 7.9 1.2 8.7 13.0 15.9 14.0 -20.0 -2.5 9.9 5.7 CORN 6.0 16.4 2.5 1.0 -2.0 1.1 -3.0 -2.0 -1.3 -2.9 -11.8 -0.5 -18.1 9.3 -7.0 -20.0 -9.2 -18.4 -15.0 -4.6 -13.4 -2.0 -20.0 -0.6 -15.6 -2.9 -0.0 -7.5 0.2 -9.3 0.6 -20.0 -6.3 7.4 0.1 -20.0 -10.7 -20.0 -9.6 0.2 COTTON2 -20.0 -10.5 19.7 0.7 -1.4 0.8 -2.1 -1.4 -0.9 -11.8 2.2 -13.0 2.6 -11.7 -0.9 19.9 2.9 10.9 5.0 -3.3 3.8 -19.9 3.1 -14.5 -20.0 0.9 -4.6 3.1 -4.7 2.6 -3.0 3.5 -20.0 -20.0 4.3 20.0 -10.4 -13.6 -0.4 1.5 CRUDE_W 16.3 19.4 10.4 7.8 3.3 5.6 5.7 4.1 7.8 20.0 9.9 20.0 13.9 20.0 20.0 18.6 11.4 14.8 12.5 20.0 20.0 20.0 18.9 20.0 -5.4 9.2 2.4 6.5 6.4 5.4 9.7 -1.1 6.8 14.1 19.6 -0.7 20.0 20.0 20.0 20.0 DAX -14.8 9.8 16.9 5.7 -9.0 7.6 -5.8 6.0 0.0 -20.0 20.0 -15.8 20.0 11.1 18.9 -12.1 -11.8 -13.5 -13.2 20.0 20.0 -18.5 20.0 7.5 16.3 8.2 -6.7 8.1 -2.0 6.0 4.3 -11.4 13.7 20.0 20.0 9.7 -3.5 9.6 4.6 20.0 DOW -20.0 -17.5 3.5 4.0 -6.3 5.3 -4.1 4.3 0.0 -14.8 15.1 -14.4 15.5 -9.5 4.5 -11.6 -11.1 -12.5 -12.1 3.5 14.5 -20.0 16.9 -10.2 -12.3 3.4 -12.3 7.7 -7.6 8.5 -2.3 -9.9 -5.9 1.1 -17.3 -4.0 -4.6 -7.1 3.5 -15.9 DX 13.0 4.4 6.0 -2.4 -20.0 0.7 -11.7 3.2 -5.3 19.0 7.2 19.7 5.5 17.9 18.4 7.4 6.5 7.1 6.8 13.3 7.7 20.0 5.7 19.8 -20.0 5.8 18.0 3.0 12.8 2.3 9.1 15.3 20.0 20.0 16.1 19.6 20.0 4.1 20.0 10.3 EUR -10.4 -0.7 -4.0 -2.3 -20.0 0.6 -11.1 3.1 -5.1 -17.9 -3.1 -16.0 -3.4 -11.9 -14.2 -6.8 -6.8 -6.7 -6.6 -7.3 -4.0 -20.0 -2.8 -12.6 18.3 -2.4 -20.0 -0.4 -12.7 -0.2 -6.0 -7.5 2.1 -6.6 3.6 0.0 -20.0 -14.9 -20.0 -11.9 EURIBOR-ICE -3.2 -13.4 -5.5 -1.8 -2.5 -0.8 -3.1 -1.1 -2.5 -2.0 2.4 -4.9 2.7 -6.0 -6.5 -5.2 -4.1 -3.3 -3.0 -3.2 1.2 -5.5 2.4 -5.0 13.3 -0.9 -1.6 1.2 -2.3 1.7 -1.8 -2.1 1.5 2.3 1.5 -0.2 -20.0 -20.0 11.6 19.3 EUROSTX -16.9 7.4 20.0 5.9 -9.2 7.8 -5.9 6.2 0.0 -20.0 20.0 -17.9 20.0 12.0 20.0 -6.8 0.8 -0.7 0.9 20.0 20.0 -17.0 20.0 7.0 -0.2 8.4 -6.6 9.5 -2.6 7.6 3.4 11.6 20.0 14.4 19.8 13.5 -14.5 10.8 -13.1 17.4 FEEDCOW -20.0 -18.9 11.3 1.0 -2.0 1.1 -3.0 -2.0 -1.4 -15.8 -2.6 -18.2 -0.8 -17.2 -3.1 -20.0 -20.0 -20.0 -20.0 -17.3 -4.5 -20.0 1.0 -20.0 -6.5 -3.9 -6.1 -0.8 -7.2 1.7 -7.2 -20.0 -20.0 -20.0 -20.0 7.2 20.0 20.0 20.0 20.0 GASOIL 2.5 7.4 9.9 6.7 2.8 4.8 4.9 3.5 6.7 3.9 11.8 9.1 15.0 14.0 19.3 13.1 20.0 19.5 20.0 17.5 17.0 8.1 18.0 14.7 7.0 7.2 1.0 7.0 3.6 7.2 6.2 17.0 -0.4 -8.3 -9.8 1.4 -12.0 -9.1 -20.0 -17.0 GASOLINE 9.4 19.3 17.1 7.6 3.2 5.4 5.5 3.9 7.6 17.6 18.0 20.0 17.2 20.0 20.0 20.0 10.9 11.0 6.3 20.0 20.0 20.0 20.0 20.0 -20.0 9.2 3.1 7.4 5.3 6.4 8.3 -6.1 1.5 3.3 16.6 10.5 20.0 20.0 20.0 19.0 GAS_US_mini 4.6 1.0 -14.5 4.2 1.8 3.0 3.1 2.2 4.2 -4.3 -14.5 0.4 -15.2 -8.6 -13.3 -20.0 -20.0 -20.0 -20.0 -12.2 -20.0 -1.7 -20.0 -4.8 20.0 -5.5 -1.1 -7.1 -1.8 -7.0 -3.4 -20.0 -19.0 -20.0 -20.0 -20.0 -20.0 -3.1 -20.0 -7.9 GBP -12.3 -5.2 -0.9 -2.4 -20.0 0.7 -12.0 3.3 -5.5 -17.6 9.1 -16.8 7.3 -15.1 -9.9 -1.0 -0.7 -0.8 -0.6 -4.5 1.6 -17.4 4.1 -11.1 1.9 0.1 -19.6 3.5 -10.3 3.6 -4.4 2.8 7.8 -3.7 5.4 10.3 -20.0 -8.3 -20.0 -1.7 GOLD_micro 20.0 20.0 14.6 4.9 7.2 2.0 8.4 0.4 7.3 17.1 18.9 19.5 14.3 20.0 19.9 -14.3 -14.7 -15.0 -15.0 20.0 20.0 20.0 16.7 20.0 -4.3 7.1 5.4 4.6 7.4 2.7 8.4 -15.2 20.0 20.0 20.0 20.0 -20.0 -20.0 -17.7 -12.4 HEATOIL 4.2 6.7 6.2 6.9 2.9 5.0 5.1 3.6 6.9 -1.3 3.5 7.9 10.3 14.4 18.4 5.9 20.0 15.7 19.9 14.0 11.6 5.2 12.4 12.8 -20.0 7.4 -2.8 7.5 1.0 8.7 5.3 16.6 -8.4 -17.4 -8.3 -0.2 18.0 5.4 14.8 2.1 JGB-SGX-mini -5.6 -9.8 -1.9 -2.3 -3.2 -1.1 -4.0 -1.4 -3.2 -6.9 4.3 -6.0 6.6 -5.1 -5.2 8.4 15.7 10.6 12.0 -3.2 0.8 -12.2 2.9 -7.4 -8.2 -2.2 -10.6 -0.5 -8.0 -0.0 -4.7 20.0 -15.3 -1.2 -1.0 3.1 -11.8 -14.5 0.0 9.8 JPY -12.1 -5.1 -15.2 -1.9 -17.5 0.5 -9.3 2.6 -4.3 -16.1 -18.0 -18.0 -18.1 -18.3 -18.5 -17.3 -16.5 -16.9 -16.7 -20.0 -20.0 -18.3 -20.0 -19.6 20.0 -6.1 -6.3 -5.7 -6.3 -6.9 -6.4 -20.0 -4.3 -20.0 -15.6 -19.5 -20.0 -11.2 -16.9 -11.4 LEANHOG 2.5 15.1 20.0 1.5 -12.8 1.6 -6.7 -2.8 -2.3 0.4 19.5 16.8 -6.0 20.0 20.0 -20.0 -20.0 -20.0 -20.0 20.0 18.7 20.0 0.8 20.0 13.8 9.3 -1.7 8.2 5.0 2.2 7.8 -20.0 20.0 20.0 20.0 20.0 -8.0 -8.8 1.4 14.1 LIVECOW -20.0 -9.4 11.3 1.0 -2.0 1.1 -3.0 -2.0 -1.4 -13.4 0.4 -16.6 1.1 -15.2 0.9 20.0 4.1 20.0 11.8 -10.0 -1.0 -20.0 2.0 -20.0 -5.3 -1.2 -6.6 1.3 -6.9 3.1 -5.6 10.1 -20.0 -20.0 -7.0 12.4 20.0 12.8 20.0 20.0 LUMBER-new -20.0 -1.7 7.8 1.4 -2.8 1.6 -4.1 -1.8 -1.9 -20.0 12.3 -20.0 -9.6 -16.5 -2.5 -19.2 -15.9 -17.6 -16.5 -6.8 5.3 -20.0 2.5 -20.0 NaN -2.9 -14.2 1.7 -14.7 1.9 -10.4 -20.0 -20.0 -20.0 -3.0 2.6 -12.8 -13.3 -7.3 -7.7 MILK 3.9 -5.7 16.5 0.7 -1.4 0.8 -2.1 -1.4 -0.9 -0.8 -12.3 -0.4 -13.0 -8.5 -9.9 -20.0 -20.0 -20.0 -20.0 -10.6 -13.3 -2.2 -16.9 -6.6 12.1 -3.7 -1.5 -4.6 -0.8 -6.0 -2.3 -20.0 5.6 -5.0 -20.0 -15.6 -20.0 -20.0 -20.0 -20.0 MXP 4.0 7.6 1.4 -2.7 -20.0 0.8 -13.0 3.6 -5.9 -11.0 20.0 11.5 20.0 20.0 20.0 18.3 17.3 18.0 17.2 20.0 20.0 8.3 20.0 20.0 -20.0 9.1 -5.0 7.9 3.1 8.1 8.1 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -12.7 -11.6 1.9 3.6 -5.6 4.8 -3.6 3.8 0.0 -3.8 14.8 -2.6 15.2 4.6 12.5 -11.2 -10.4 -11.4 -11.1 8.7 17.1 -3.5 20.0 0.5 -20.0 4.1 -2.8 8.5 -1.9 10.5 -0.2 -8.4 20.0 2.7 -11.6 4.0 3.1 -1.7 8.2 -2.8 NIKKEI -14.8 -6.9 19.8 4.4 -6.9 5.8 -4.4 4.6 0.0 -12.7 17.0 -7.5 18.1 3.5 14.8 2.4 10.4 6.5 8.9 20.0 20.0 -10.3 20.0 3.2 -16.1 5.5 -4.3 8.4 -2.6 8.4 0.7 20.0 11.1 11.9 3.1 20.0 -19.3 -7.3 -10.2 -7.9 NZD -8.9 -10.3 -4.9 -1.8 -16.5 0.5 -8.8 2.4 -4.0 -10.5 -1.5 -10.0 -3.2 -11.4 -12.8 0.0 0.3 0.2 0.2 -8.3 -3.8 -9.0 -2.3 -9.6 0.4 -4.0 -7.9 -1.6 -4.5 -0.5 -4.4 4.3 15.2 -5.5 -8.1 -6.6 -11.2 -7.1 -3.6 5.3 OAT -3.9 -7.0 -1.6 -2.5 -3.5 -1.1 -4.3 -1.5 -3.5 2.8 1.9 -5.6 0.9 -8.3 -9.6 4.8 6.0 4.8 5.0 -3.3 0.3 -3.4 -0.3 -4.6 3.9 1.0 2.0 1.8 1.2 1.0 1.3 13.5 17.5 11.1 8.1 0.4 -16.3 -20.0 14.9 1.6 OATIES -12.0 -3.4 -9.8 0.9 -1.8 1.0 -2.8 -1.8 -1.2 0.8 -16.5 -7.2 -14.0 -11.7 -11.3 9.5 -0.2 7.8 3.4 -13.9 -14.8 -8.7 -13.9 -15.1 -20.0 -5.2 3.5 -4.2 -3.2 -3.6 -6.2 -0.6 -20.0 -20.0 -18.9 -9.5 -15.1 -0.7 -4.9 15.0 OJ 2.5 2.3 -8.1 1.0 -2.0 1.1 -3.0 -2.0 -1.3 8.7 8.3 11.6 14.1 6.2 12.6 6.1 13.8 7.1 9.8 8.5 14.2 5.2 20.0 5.8 -20.0 1.3 2.7 6.4 0.2 16.1 -0.5 18.9 -3.9 -0.6 -1.6 -6.7 10.9 9.2 20.0 20.0 PALLAD 2.9 17.4 7.2 2.2 2.5 0.9 3.4 0.2 3.2 0.2 -3.3 1.8 -7.6 4.8 -0.9 -1.8 -2.1 -1.8 -1.9 1.8 -2.6 3.7 -8.8 3.7 11.2 1.6 1.3 -0.8 2.5 -3.5 2.6 7.0 -9.3 -7.7 -5.9 -2.2 -20.0 -12.9 -20.0 -8.1 PLAT 12.0 10.6 0.2 3.3 3.6 1.4 5.0 0.3 4.7 11.2 -1.8 11.4 -7.9 10.3 -1.1 -4.4 -3.5 -4.3 -4.0 5.6 0.4 15.6 -2.6 11.8 10.6 3.3 5.7 1.1 6.9 0.0 5.8 3.9 6.7 1.6 -6.6 -2.4 -15.8 -4.9 20.0 7.7 REDWHEAT 9.3 12.6 -0.9 1.0 -2.0 1.1 -3.0 -2.0 -1.4 13.8 -16.6 12.4 -18.6 8.5 -8.8 1.2 1.2 3.6 2.2 -6.2 -17.4 5.4 -20.0 1.7 -7.6 -3.1 3.9 -8.3 4.1 -10.4 2.0 0.6 10.5 16.1 -7.0 -20.0 -11.2 -20.0 -2.3 -20.0 RICE -20.0 -20.0 -6.8 0.9 -1.8 1.0 -2.7 -1.8 -1.2 12.2 -2.1 -5.2 7.6 -11.9 -11.1 -10.2 -5.1 -11.8 -10.4 -15.6 -3.9 0.2 4.2 -16.6 -13.2 -4.4 5.2 -1.7 -0.0 0.2 -4.5 -15.0 20.0 -20.0 -20.0 -19.4 7.5 -3.6 18.3 8.3 ROBUSTA 20.0 15.8 20.0 1.0 -1.9 1.1 -2.9 -1.9 -1.3 16.2 18.9 17.6 18.8 18.2 18.8 16.6 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 7.4 5.2 7.7 5.6 7.3 6.8 20.0 20.0 20.0 20.0 20.0 -18.9 -19.8 -5.1 2.8 RUSSELL -10.0 0.4 9.2 3.3 -5.2 4.4 -3.3 3.5 0.0 -11.2 11.4 -9.2 9.3 -2.0 6.6 -6.6 -6.4 -6.6 -6.5 4.0 7.9 -11.2 6.3 -3.3 -1.7 3.2 -9.4 5.0 -5.0 4.3 -0.6 -1.0 5.0 2.4 -9.6 -10.7 -12.6 -18.9 -13.0 -20.0 SHATZ 8.2 -9.2 -13.5 -1.8 -2.5 -0.8 -3.1 -1.1 -2.5 0.9 -7.5 -3.8 -7.5 -6.4 -8.4 -20.0 -20.0 -20.0 -20.0 -8.3 -7.7 -3.3 -7.9 -5.8 8.0 -2.6 0.6 -2.1 -1.2 -1.9 -2.1 -20.0 4.2 2.2 -5.7 -9.1 -20.0 -20.0 -11.1 -20.0 SILVER-mini 19.9 20.0 7.8 4.1 4.6 1.8 6.3 0.4 5.9 11.6 9.1 14.6 2.7 15.6 12.8 -6.5 -6.7 -6.7 -6.8 20.0 11.6 20.0 4.1 20.0 4.0 5.5 2.7 3.1 5.6 1.4 6.8 -1.2 20.0 20.0 20.0 15.8 -15.2 -16.9 18.8 1.5 SMI -17.3 6.8 15.1 5.1 -8.0 6.8 -5.2 5.4 0.0 -19.1 18.3 -18.4 13.5 3.4 12.9 -2.2 4.5 2.5 4.4 11.9 16.2 -17.8 11.1 -3.2 15.2 6.3 -7.9 7.0 -4.1 4.6 1.6 18.0 20.0 -4.2 5.1 -4.5 14.6 -2.2 20.0 -4.5 SOFR -9.6 -8.9 -3.8 -2.5 -3.5 -1.1 -4.3 -1.5 -3.5 -6.7 1.2 -10.0 -1.3 -10.9 -10.4 -2.3 -0.2 -0.8 -0.2 -8.6 -4.0 -16.4 -3.0 -13.2 -2.7 -2.6 -6.7 -0.6 -6.7 -0.3 -4.8 3.8 -12.7 -6.6 -2.6 1.1 -18.0 -20.0 4.0 -2.4 SOYBEAN 2.6 16.8 -14.7 1.1 -2.3 1.2 -3.4 -2.3 -1.5 -7.1 -13.5 -14.8 -6.6 6.5 -8.1 -1.4 11.5 3.1 6.8 -5.1 -14.0 -8.2 -14.9 -2.0 -20.0 -1.1 -3.7 -4.1 -3.1 -3.9 -0.0 13.9 -12.4 0.5 7.0 -20.0 -10.4 -20.0 -9.2 -20.0 SOYMEAL 6.0 6.7 -20.0 1.0 -2.1 1.1 -3.1 -2.1 -1.4 13.5 -18.3 -3.8 -14.9 -3.3 -16.3 -5.8 7.1 -4.3 0.7 -14.9 -20.0 1.6 -18.8 -4.5 -20.0 -4.5 5.3 -7.9 2.2 -5.2 -0.0 5.3 6.0 8.0 -3.8 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -1.5 20.0 0.1 0.8 -1.6 0.9 -2.3 -1.6 -1.0 -13.2 -11.2 -11.7 -10.3 2.2 -0.0 -7.3 1.1 -6.6 -3.6 -0.6 -6.7 -12.8 -10.9 -2.8 -20.0 1.0 -9.8 -0.3 -6.0 -1.9 -1.2 -3.9 -20.0 -8.6 7.3 -4.0 -20.0 -11.0 -10.4 4.9 SP400 -14.8 6.0 16.1 4.0 -6.2 5.2 -4.0 4.2 0.0 -14.4 15.5 -9.1 13.7 5.4 11.7 -4.7 -5.3 -5.2 -5.3 13.7 17.9 -13.5 14.1 1.4 -12.0 5.1 -8.2 6.1 -3.5 4.9 1.4 1.0 1.5 8.9 5.3 -0.7 -11.2 -9.4 -9.0 -20.0 SP500_micro -20.0 -5.4 12.7 4.6 -7.3 6.1 -4.7 4.9 0.0 -12.8 19.6 -7.6 19.2 8.6 16.6 -12.9 -11.7 -13.1 -12.6 17.5 20.0 -10.5 20.0 2.5 -20.0 6.2 -6.7 9.4 -3.3 9.3 1.0 -10.8 11.7 7.2 0.5 14.5 -1.6 -3.8 7.6 -5.2 SUGAR11 -2.0 -3.9 -7.6 1.0 -1.9 1.0 -2.9 -1.9 -1.3 -16.4 -8.7 -15.4 4.2 -7.4 -3.8 11.5 17.1 13.2 15.4 -9.2 -9.0 -20.0 -1.2 -14.0 -20.0 -4.3 -17.8 -4.3 -12.5 -0.6 -6.5 20.0 -20.0 -13.1 -13.2 -13.5 20.0 6.5 20.0 20.0 US10 -8.8 -7.1 1.4 -2.1 -2.9 -0.9 -3.5 -1.2 -2.9 -5.5 0.1 -8.1 -3.6 -8.9 -8.5 -6.5 -7.9 -7.6 -7.9 -6.9 -4.0 -12.3 -5.2 -10.2 2.4 -2.2 -5.2 -0.7 -5.3 -1.1 -3.9 -9.7 -7.9 -4.4 -1.9 1.4 -20.0 -20.0 -12.0 5.1 US10U -8.8 -6.6 1.2 -2.9 -4.1 -1.3 -5.0 -1.7 -4.1 -7.8 -0.0 -11.5 -4.9 -12.6 -12.3 -4.4 -0.9 -2.9 -1.6 -9.4 -5.8 -16.3 -8.0 -13.8 -0.3 -2.9 -7.2 -1.0 -7.3 -1.8 -5.4 2.1 -8.3 -4.3 -0.8 2.7 -20.0 -20.0 16.4 15.1 US2 -5.9 -11.0 -1.9 -1.8 -2.5 -0.8 -3.1 -1.1 -2.5 -5.1 -5.5 -7.1 -7.0 -7.9 -8.2 -20.0 -20.0 -20.0 -20.0 -8.9 -6.4 -12.0 -7.3 -10.9 10.8 -2.5 -3.9 -1.3 -4.2 -1.4 -3.5 -20.0 -7.9 -6.5 -8.2 -3.0 -20.0 -20.0 -20.0 -20.0 US20 -10.2 -5.3 3.4 -2.1 -2.9 -1.0 -3.6 -1.2 -2.9 -5.5 1.9 -8.1 -2.0 -8.5 -7.9 -0.3 -0.7 -0.2 -0.4 -5.3 -2.5 -11.0 -4.5 -8.9 -1.1 -1.1 -4.9 0.3 -4.8 -0.8 -3.2 3.0 -5.7 -1.9 2.6 4.9 -20.0 -17.6 20.0 20.0 US30 -9.3 -4.2 2.8 -2.5 -3.5 -1.1 -4.2 -1.5 -3.5 -6.6 1.2 -9.7 -3.6 -10.1 -9.7 -4.8 -5.9 -6.5 -6.6 -6.0 -3.4 -11.8 -6.4 -9.8 -0.5 -1.4 -6.0 0.2 -5.8 -1.5 -3.9 -6.7 -4.0 -1.2 4.4 4.5 -17.4 -14.4 20.0 20.0 US5 -7.8 -9.0 -1.1 -2.0 -2.9 -0.9 -3.5 -1.2 -2.9 -5.8 -1.9 -8.2 -4.9 -9.0 -8.8 -10.3 -10.2 -10.1 -10.2 -8.2 -5.1 -13.3 -5.6 -11.3 5.2 -2.5 -5.1 -1.0 -5.2 -1.0 -4.0 -13.7 -9.7 -6.0 -4.9 -0.5 -20.0 -20.0 -18.5 -7.5 VIX 4.0 10.1 4.4 -6.3 1.1 -10.8 1.3 -15.9 -1.8 3.3 -20.0 2.4 -20.0 -6.4 -19.5 -20.0 -20.0 -20.0 -20.0 -9.4 -20.0 2.3 -20.0 -1.2 NaN -7.0 -0.0 -12.8 0.2 -19.8 -2.4 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 16.2 7.1 -3.5 1.1 -2.2 1.2 -3.4 -2.2 -1.5 -7.6 -14.2 8.7 -20.0 11.4 -7.5 -18.8 -12.6 -16.0 -14.1 -3.8 -16.3 2.7 -20.0 5.2 1.8 -2.3 -2.4 -6.4 1.4 -8.0 2.1 -20.0 -1.4 20.0 -7.9 -20.0 -6.3 -20.0 -1.7 -20.0 End of report for caleb_strategy_v3