******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240419_204009 produced at 2024-04-19 21:37:37.880025 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 -1.28 0.0 0.00 0.00 0.00 0.00 -18.11 11.0 0 0 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.22 -0.35 0.0 0.44 -0.44 -0.22 -0.22 -12.58 16.0 -8 -8 caleb_strategy_v3 SHATZ False True 0.03 0.00 -0.30 0.0 0.00 0.00 0.00 0.00 -8.97 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.00 -0.28 0.0 0.00 0.00 0.00 0.00 -4.72 13.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.00 -0.21 0.0 0.76 -0.76 0.00 -0.08 -2.71 10.0 0 -1 caleb_strategy_v3 CHF False False 0.04 -0.37 -0.19 0.0 0.53 -0.53 -0.37 -0.37 -4.57 13.0 -9 -9 caleb_strategy_v3 VIX False False 0.01 -0.09 -0.19 0.0 0.09 -0.09 -0.09 -0.09 -34.63 17.0 -17 -17 caleb_strategy_v3 JPY False False 0.02 0.00 -0.15 0.0 0.41 -0.41 0.00 -0.02 -6.29 17.0 0 -1 caleb_strategy_v3 CAD False False 0.02 -0.02 -0.14 0.0 0.62 -0.62 -0.02 -0.02 -6.66 29.0 -1 -1 caleb_strategy_v3 US5 False False 0.03 -0.43 -0.10 0.0 0.77 -0.77 -0.43 -0.43 -3.13 25.0 -14 -14 caleb_strategy_v3 GAS_US_mini False False 0.00 -0.04 -0.08 0.0 0.04 -0.04 -0.04 -0.04 -44.60 26.0 -26 -25 caleb_strategy_v3 EUR False False 0.04 -0.12 -0.08 0.0 0.55 -0.55 -0.12 -0.16 -1.99 14.0 -3 -4 caleb_strategy_v3 CORN False False 0.01 -0.08 -0.07 0.0 0.08 -0.08 -0.08 -0.08 -9.74 12.0 -11 -11 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.06 0.0 0.14 -0.14 -0.02 -0.02 -22.37 51.0 -6 -6 caleb_strategy_v3 DOW False False 0.01 -0.01 -0.06 0.0 0.37 -0.37 -0.01 0.00 -10.15 66.0 -1 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.04 -0.05 0.0 0.30 -0.30 -0.04 -0.04 -1.22 8.0 -1 -1 caleb_strategy_v3 US10 False False 0.03 0.00 -0.05 0.0 0.54 -0.54 0.00 0.00 -1.64 17.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.00 -0.05 0.0 0.50 -0.50 0.00 0.00 -2.39 22.0 0 0 caleb_strategy_v3 NZD False False 0.02 -0.05 -0.05 0.0 0.36 -0.36 -0.05 -0.05 -2.67 21.0 -3 -3 caleb_strategy_v3 AUD False False 0.02 -0.06 -0.05 0.0 0.36 -0.36 -0.06 -0.06 -2.49 19.0 -3 -3 caleb_strategy_v3 LUMBER-new False False 0.00 0.00 -0.05 0.0 0.01 -0.01 0.00 0.00 -12.20 3.0 0 0 caleb_strategy_v3 BOBL False False 0.04 -0.62 -0.04 0.0 0.69 -0.69 -0.62 -0.62 -1.21 19.0 -17 -17 caleb_strategy_v3 RUSSELL False False 0.00 -0.01 -0.04 0.0 0.19 -0.19 -0.01 -0.02 -13.86 68.0 -4 -7 caleb_strategy_v3 SP400 False False 0.08 -0.08 -0.04 0.0 0.17 -0.17 -0.08 -0.08 -0.47 2.0 -1 -1 caleb_strategy_v3 SP500_micro False False 0.01 -0.10 -0.04 0.0 0.35 -0.35 -0.10 -0.09 -5.55 48.0 -14 -12 caleb_strategy_v3 NASDAQ_micro False False 0.01 -0.01 -0.04 0.0 0.23 -0.23 -0.01 0.00 -3.68 23.0 -1 0 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.03 0.0 0.00 0.00 0.00 0.00 -5.15 2.0 0 0 caleb_strategy_v3 US10U False False 0.03 -0.13 -0.03 0.0 0.42 -0.42 -0.13 -0.13 -0.88 13.0 -4 -4 caleb_strategy_v3 SOYBEAN False False 0.02 -0.07 -0.03 0.0 0.12 -0.12 -0.07 -0.05 -1.65 7.0 -4 -3 caleb_strategy_v3 MILK False False 0.01 0.00 -0.02 0.0 0.05 -0.05 0.00 0.00 -1.73 5.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.02 0.0 0.09 -0.09 0.00 0.00 -2.02 9.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.00 -0.02 0.0 0.12 -0.12 0.00 -0.01 -3.02 18.0 0 -1 caleb_strategy_v3 SOYOIL False False 0.01 -0.05 -0.02 0.0 0.08 -0.08 -0.05 -0.05 -2.19 10.0 -6 -6 caleb_strategy_v3 WHEAT False False 0.01 -0.06 -0.02 0.0 0.08 -0.08 -0.06 -0.06 -2.37 9.0 -7 -7 caleb_strategy_v3 COTTON2 False False 0.01 -0.04 -0.02 0.0 0.13 -0.13 -0.04 -0.04 -1.92 11.0 -3 -3 caleb_strategy_v3 BITCOIN True False 0.00 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -5.95 59.0 0 0 caleb_strategy_v3 US30 False False 0.04 0.00 -0.01 0.0 0.21 -0.21 0.00 0.00 -0.32 6.0 0 0 caleb_strategy_v3 BUXL False False 0.04 -0.04 -0.01 0.0 0.16 -0.16 -0.04 -0.08 -0.14 4.0 -1 -2 caleb_strategy_v3 US20 False True 0.03 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 -0.33 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 -0.26 10.0 -1 -1 caleb_strategy_v3 REDWHEAT False False 0.01 -0.01 -0.01 0.0 0.07 -0.07 -0.01 -0.01 -1.49 8.0 -1 -1 caleb_strategy_v3 RICE False False 0.01 0.00 0.00 0.0 0.04 -0.04 0.00 0.00 0.10 4.0 0 0 caleb_strategy_v3 HEATOIL False False 0.03 0.09 0.00 0.0 0.09 -0.09 0.09 0.06 0.00 3.0 3 2 caleb_strategy_v3 PALLAD False False 0.03 0.00 -0.00 0.0 0.06 -0.06 0.00 0.00 -0.15 2.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.05 0.01 0.0 0.15 -0.15 0.05 0.05 0.51 6.0 2 2 caleb_strategy_v3 BTP False False 0.04 0.11 0.01 0.0 0.36 -0.36 0.11 0.11 0.17 10.0 3 3 caleb_strategy_v3 OAT False False 0.04 0.16 0.01 0.0 0.39 -0.39 0.16 0.16 0.18 10.0 4 4 caleb_strategy_v3 NIKKEI False False 0.01 0.05 0.01 0.0 0.26 -0.26 0.05 0.04 1.90 36.0 7 6 caleb_strategy_v3 PLAT False False 0.01 0.00 0.01 0.0 0.14 -0.14 0.00 0.01 0.78 10.0 0 1 caleb_strategy_v3 OJ False False 0.02 0.00 0.02 0.0 0.05 -0.05 0.00 0.00 1.04 3.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.00 0.02 0.0 0.28 -0.28 0.00 0.00 1.39 23.0 0 0 caleb_strategy_v3 COCOA False False 0.03 0.07 0.02 0.0 0.89 -0.89 0.07 0.07 0.50 26.0 2 2 caleb_strategy_v3 GASOIL False False 0.02 0.02 0.03 0.0 0.09 -0.09 0.02 0.00 1.20 4.0 1 0 caleb_strategy_v3 LEANHOG False False 0.01 0.04 0.03 0.0 0.16 -0.16 0.04 0.04 2.69 13.0 3 3 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.04 0.0 0.00 -0.00 0.00 0.00 2.07 0.0 0 0 caleb_strategy_v3 LIVECOW False False 0.02 0.02 0.04 0.0 0.35 -0.35 0.02 0.04 1.78 17.0 1 2 caleb_strategy_v3 GOLD_micro False False 0.01 0.00 0.05 0.0 0.40 -0.40 0.00 0.01 7.05 56.0 0 2 caleb_strategy_v3 GASOLINE False False 0.03 0.13 0.07 0.0 0.13 -0.13 0.13 0.13 2.04 4.0 4 4 caleb_strategy_v3 EUROSTX False False 0.02 0.18 0.08 0.0 0.30 -0.30 0.18 0.17 5.10 20.0 12 11 caleb_strategy_v3 DAX False False 0.01 0.05 0.09 0.0 0.32 -0.32 0.05 0.05 15.76 58.0 9 9 caleb_strategy_v3 CAC True False 0.02 0.00 0.09 0.0 0.00 0.00 0.00 0.00 3.60 12.0 0 0 caleb_strategy_v3 SMI False True 0.04 0.25 0.10 0.0 0.25 0.00 0.25 0.25 2.75 9.0 7 7 caleb_strategy_v3 DX False False 0.03 0.00 0.17 0.0 999.00 -999.00 0.00 0.00 5.36 999999999.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.20 0.17 0.0 0.20 -0.20 0.20 0.20 5.17 6.0 6 6 caleb_strategy_v3 CRUDE_W False False 0.02 0.11 0.26 0.0 0.11 -0.11 0.11 0.09 11.55 5.0 5 4 caleb_strategy_v3 MXP False False 0.01 0.47 0.37 0.0 0.51 -0.51 0.47 0.38 43.09 60.0 55 45 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 15.7 Shocked risk 49.6 Sum abs risk 57.0 Leverage 5.96 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3403434.54, 'annual_cash_vol_target': 850858.635, 'daily_cash_vol_target': 53178.6646875} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0043 0.6429 0.6746 10.7942 BITCOIN 1991.9354 65030.0000 3.0631 49.0096 BOBL 0.2759 116.9400 0.2359 3.7745 BTP 0.6182 116.8500 0.5290 8.4645 BUND 0.5559 131.0200 0.4243 6.7881 BUXL 1.3012 130.8200 0.9946 15.9144 CAC 49.7932 7933.0000 0.6277 10.0427 CAD 0.0028 0.7279 0.3897 6.2360 CANOLA 7.0739 624.0000 1.1336 18.1382 CHF 0.0048 1.1060 0.4366 6.9861 COCOA 266.0376 11679.0000 2.2779 36.4466 COFFEE 3.8962 232.0500 1.6790 26.8642 COPPER 0.0463 4.5240 1.0236 16.3777 CORN 5.0428 466.0000 1.0821 17.3143 COTTON2 1.2812 80.9000 1.5836 25.3380 CRUDE_W 0.8544 78.0100 1.0953 17.5244 DAX 125.0183 17895.0000 0.6986 11.1779 DOW 241.7287 38148.0000 0.6337 10.1386 DX 0.3706 105.9900 0.3496 5.5942 EUR 0.0047 1.0676 0.4447 7.1156 EURIBOR-ICE 0.0520 97.3800 0.0534 0.8543 EUROSTX 35.6399 4851.0000 0.7347 11.7551 FEEDCOW 2.1089 253.4250 0.8322 13.3145 GASOIL 11.6752 782.2500 1.4925 23.8802 GASOLINE 0.0349 2.6442 1.3205 21.1282 GAS_US_mini 0.0736 2.3200 3.1719 50.7506 GBP 0.0062 1.2372 0.4982 7.9712 GOLD_micro 17.9011 2409.6000 0.7429 11.8865 HEATOIL 0.0370 2.5622 1.4433 23.0929 JGB-SGX-mini 0.2330 144.4900 0.1613 2.5801 JPY 0.0000 0.0065 0.5081 8.1295 LEANHOG 1.3042 106.5000 1.2246 19.5942 LIVECOW 1.4033 175.7000 0.7987 12.7791 LUMBER-new 6.7834 522.5000 1.2983 20.7721 MILK 0.2660 18.0700 1.4720 23.5528 MXP 0.0004 0.0578 0.6845 10.9524 NASDAQ_micro 160.4522 17173.2500 0.9343 14.9490 NIKKEI 370.3946 38170.0000 0.9704 15.5261 NZD 0.0038 0.5886 0.6456 10.3292 OAT 0.5457 125.8900 0.4335 6.9357 OATIES 5.3116 354.0000 1.5005 24.0073 OJ 5.5372 363.7500 1.5223 24.3560 PALLAD 25.1283 1024.5000 2.4527 39.2438 PLAT 15.1255 942.3000 1.6052 25.6827 REDWHEAT 9.4400 595.5000 1.5852 25.3636 RICE 0.2608 14.9900 1.7397 27.8357 ROBUSTA 59.7153 4074.0000 1.4658 23.4522 RUSSELL 22.1653 1951.3000 1.1359 18.1748 SHATZ 0.0847 105.3200 0.0804 1.2871 SILVER-mini 0.4391 29.1000 1.5090 24.1442 SMI 74.5010 11220.0000 0.6640 10.6240 SOFR 0.0713 95.8850 0.0744 1.1899 SOYBEAN 9.7760 1160.7500 0.8422 13.4755 SOYMEAL 4.0411 343.3000 1.1771 18.8340 SOYOIL 0.6435 45.1400 1.4256 22.8102 SP400 24.4943 2846.6000 0.8605 13.7676 SP500_micro 34.4186 5004.7500 0.6877 11.0035 SUGAR11 0.2900 19.6300 1.4771 23.6343 US10 0.4354 107.8750 0.4036 6.4579 US10U 0.5696 110.8125 0.5140 8.2241 US2 0.1177 101.5117 0.1160 1.8558 US20 0.8393 114.5625 0.7326 11.7215 US30 1.2111 120.9688 1.0012 16.0188 US5 0.2884 105.0391 0.2746 4.3937 VIX 0.4629 18.3000 2.5293 40.4693 WHEAT 8.2134 609.5000 1.3476 21.5609 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 642.90 0.67 433.72 1.00 433.72 53178.66 122.61 -7.84 -96.07 BITCOIN 65.03 3.06 199.19 1.00 199.19 53178.66 266.97 -2.06 -54.94 BOBL 1169.40 0.24 275.87 1.07 294.76 53178.66 180.41 -6.60 -119.01 BTP 1168.50 0.53 618.17 1.07 660.52 53178.66 80.51 0.60 4.87 BUND 1310.20 0.42 555.86 1.07 593.93 53178.66 89.54 -2.88 -25.78 BUXL 1308.20 0.99 1301.20 1.07 1390.33 53178.66 38.25 -3.50 -13.40 CAC 793.30 0.63 497.93 1.07 532.04 53178.66 99.95 10.56 105.59 CAD 727.90 0.39 283.70 1.00 283.70 53178.66 187.45 -13.68 -256.50 CANOLA 124.80 1.13 141.48 0.73 102.89 53178.66 516.84 -17.79 -919.33 CHF 1382.50 0.44 603.64 1.00 603.64 53178.66 88.10 -20.00 -176.19 COCOA 1167.90 2.28 2660.38 1.00 2660.38 53178.66 19.99 11.57 23.13 COFFEE 870.19 1.68 1461.06 1.00 1461.06 53178.66 36.40 11.92 43.39 COPPER 1131.00 1.02 1157.70 1.00 1157.70 53178.66 45.93 10.39 47.74 CORN 233.00 1.08 252.14 1.00 252.14 53178.66 210.91 -18.97 -400.17 COTTON2 404.50 1.58 640.58 1.00 640.58 53178.66 83.02 -10.80 -89.66 CRUDE_W 780.10 1.10 854.42 1.00 854.42 53178.66 62.24 17.14 106.65 DAX 178.95 0.70 125.02 1.07 133.58 53178.66 398.10 11.61 462.11 DOW 190.74 0.63 120.86 1.00 120.86 53178.66 439.99 -9.93 -436.83 DX 1059.90 0.35 370.58 1.00 370.58 53178.66 143.50 14.38 206.41 EUR 1334.50 0.44 593.49 1.00 593.49 53178.66 89.60 -8.57 -76.80 EURIBOR-ICE 2434.50 0.05 129.99 1.07 138.90 53178.66 382.86 -2.08 -79.45 EUROSTX 485.10 0.73 356.40 1.07 380.81 53178.66 139.65 10.72 149.65 FEEDCOW 1267.12 0.83 1054.45 1.00 1054.45 53178.66 50.43 -7.32 -36.93 GASOIL 782.25 1.49 1167.52 1.00 1167.52 53178.66 45.55 6.09 27.76 GASOLINE 1110.56 1.32 1466.52 1.00 1466.52 53178.66 36.26 12.99 47.12 GAS_US_mini 58.00 3.17 183.97 1.00 183.97 53178.66 289.06 -14.25 -411.85 GBP 773.25 0.50 385.23 1.00 385.23 53178.66 138.04 -6.67 -92.01 GOLD_micro 240.96 0.74 179.01 1.00 179.01 53178.66 297.07 6.96 206.73 HEATOIL 1076.12 1.44 1553.18 1.00 1553.18 53178.66 34.24 0.01 0.04 JGB-SGX-mini 144490.00 0.16 23299.85 0.01 151.02 53178.66 352.12 -3.30 -116.16 JPY 815.81 0.51 414.51 1.00 414.51 53178.66 128.29 -18.91 -242.55 LEANHOG 426.00 1.22 521.70 1.00 521.70 53178.66 101.93 4.35 44.30 LIVECOW 702.80 0.80 561.32 1.00 561.32 53178.66 94.74 5.68 53.77 LUMBER-new 143.69 1.30 186.54 1.00 186.54 53178.66 285.07 -20.00 -570.15 MILK 361.40 1.47 532.00 1.00 532.00 53178.66 99.96 -8.10 -80.93 MXP 288.85 0.68 197.72 1.00 197.72 53178.66 268.95 10.92 293.59 NASDAQ_micro 343.46 0.93 320.90 1.00 320.90 53178.66 165.71 -9.56 -158.46 NIKKEI 38170.00 0.97 37039.46 0.01 239.57 53178.66 221.97 0.79 17.59 NZD 588.65 0.65 380.02 1.00 380.02 53178.66 139.94 -7.35 -102.82 OAT 1258.90 0.43 545.71 1.07 583.09 53178.66 91.20 0.57 5.16 OATIES 177.00 1.50 265.58 1.00 265.58 53178.66 200.24 -10.56 -211.52 OJ 545.62 1.52 830.58 1.00 830.58 53178.66 64.03 7.57 48.48 PALLAD 1024.50 2.45 2512.83 1.00 2512.83 53178.66 21.16 -2.02 -4.27 PLAT 471.15 1.61 756.28 1.00 756.28 53178.66 70.32 3.27 22.99 REDWHEAT 297.75 1.59 472.00 1.00 472.00 53178.66 112.67 -9.95 -112.12 RICE 299.80 1.74 521.57 1.00 521.57 53178.66 101.96 0.40 4.08 ROBUSTA 407.40 1.47 597.15 1.00 597.15 53178.66 89.05 13.34 118.81 RUSSELL 97.56 1.14 110.83 1.00 110.83 53178.66 479.84 -8.72 -418.30 SHATZ 1053.20 0.08 84.73 1.07 90.53 53178.66 587.42 -15.06 -884.57 SILVER-mini 727.50 1.51 1097.81 1.00 1097.81 53178.66 48.44 12.54 60.76 SMI 1122.00 0.66 745.01 1.10 819.18 53178.66 64.92 12.44 80.73 SOFR 2397.12 0.07 178.27 1.00 178.27 53178.66 298.31 -9.99 -297.97 SOYBEAN 580.38 0.84 488.80 1.00 488.80 53178.66 108.79 -16.31 -177.45 SOYMEAL 343.30 1.18 404.11 1.00 404.11 53178.66 131.60 -16.47 -216.71 SOYOIL 270.84 1.43 386.12 1.00 386.12 53178.66 137.73 -17.06 -234.91 SP400 2846.60 0.86 2449.43 1.00 2449.43 53178.66 21.71 -6.55 -14.21 SP500_micro 250.24 0.69 172.09 1.00 172.09 53178.66 309.01 -7.72 -238.70 SUGAR11 219.86 1.48 324.76 1.00 324.76 53178.66 163.75 -8.66 -141.84 US10 1078.75 0.40 435.40 1.00 435.40 53178.66 122.14 -10.61 -129.63 US10U 1108.12 0.51 569.58 1.00 569.58 53178.66 93.36 -7.42 -69.28 US2 2030.23 0.12 235.48 1.00 235.48 53178.66 225.83 -16.51 -372.86 US20 1145.62 0.73 839.28 1.00 839.28 53178.66 63.36 -4.11 -26.06 US30 1209.69 1.00 1211.11 1.00 1211.11 53178.66 43.91 -5.75 -25.24 US5 1050.39 0.27 288.44 1.00 288.44 53178.66 184.36 -13.42 -247.36 VIX 183.00 2.53 462.87 1.00 462.87 53178.66 114.89 -12.21 -140.31 WHEAT 304.75 1.35 410.67 1.00 410.67 53178.66 129.49 -13.81 -178.82 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD -96.066 0.010 2.5 -2.493 BITCOIN -54.940 0.043 2.5 -5.949 BOBL -119.013 0.004 2.5 -1.207 BTP 4.869 0.014 2.5 0.166 BUND -25.781 0.004 2.5 -0.261 BUXL -13.399 0.004 2.5 -0.136 CAC 105.594 0.014 2.5 3.602 CAD -256.496 0.010 2.5 -6.655 CANOLA -919.332 0.010 2.5 -22.366 CHF -176.192 0.010 2.5 -4.571 COCOA 23.131 0.009 2.5 0.495 COFFEE 43.391 0.005 2.5 0.507 COPPER 47.743 0.043 2.5 5.170 CORN -400.169 0.010 2.5 -9.736 COTTON2 -89.660 0.009 2.5 -1.920 CRUDE_W 106.648 0.043 2.5 11.549 DAX 462.111 0.014 2.5 15.762 DOW -436.828 0.009 2.5 -10.152 DX 206.408 0.010 2.5 5.355 EUR -76.803 0.010 2.5 -1.993 EURIBOR-ICE -79.447 0.014 2.5 -2.710 EUROSTX 149.654 0.014 2.5 5.104 FEEDCOW -36.927 0.013 2.5 -1.224 GASOIL 27.756 0.017 2.5 1.203 GASOLINE 47.117 0.017 2.5 2.042 GAS_US_mini -411.851 0.043 2.5 -44.598 GBP -92.012 0.010 2.5 -2.387 GOLD_micro 206.733 0.014 2.5 7.051 HEATOIL 0.037 0.017 2.5 0.002 JGB-SGX-mini -116.163 0.043 2.5 -12.579 JPY -242.551 0.010 2.5 -6.293 LEANHOG 44.299 0.024 2.5 2.692 LIVECOW 53.766 0.013 2.5 1.782 LUMBER-new -570.148 0.009 2.5 -12.201 MILK -80.934 0.009 2.5 -1.733 MXP 293.595 0.059 2.5 43.092 NASDAQ_micro -158.464 0.009 2.5 -3.683 NIKKEI 17.586 0.043 2.5 1.904 NZD -102.818 0.010 2.5 -2.668 OAT 5.163 0.014 2.5 0.176 OATIES -211.524 0.010 2.5 -5.146 OJ 48.479 0.009 2.5 1.038 PALLAD -4.265 0.014 2.5 -0.145 PLAT 22.993 0.014 2.5 0.784 REDWHEAT -112.118 0.005 2.5 -1.487 RICE 4.077 0.010 2.5 0.099 ROBUSTA 118.815 0.005 2.5 1.387 RUSSELL -418.304 0.013 2.5 -13.861 SHATZ -884.574 0.004 2.5 -8.970 SILVER-mini 60.762 0.014 2.5 2.072 SMI 80.730 0.014 2.5 2.754 SOFR -297.966 0.024 2.5 -18.109 SOYBEAN -177.450 0.004 2.5 -1.650 SOYMEAL -216.709 0.004 2.5 -2.016 SOYOIL -234.912 0.004 2.5 -2.187 SP400 -14.210 0.013 2.5 -0.471 SP500_micro -238.701 0.009 2.5 -5.547 SUGAR11 -141.839 0.009 2.5 -3.017 US10 -129.630 0.005 2.5 -1.643 US10U -69.281 0.005 2.5 -0.878 US2 -372.864 0.005 2.5 -4.725 US20 -26.060 0.005 2.5 -0.330 US30 -25.242 0.005 2.5 -0.320 US5 -247.364 0.005 2.5 -3.135 VIX -140.305 0.099 2.5 -34.633 WHEAT -178.816 0.005 2.5 -2.372 ===================== Position diags ===================== AUD 3.18 BITCOIN 28.91 BOBL 1.83 BTP 2.75 BUND 0.91 BUXL 0.39 CAC 3.41 CAD 4.86 CANOLA 12.57 CHF 2.29 COCOA 0.43 COFFEE 0.43 COPPER 4.97 CORN 5.13 COTTON2 1.78 CRUDE_W 6.74 DAX 13.58 DOW 10.23 DX 3.72 EUR 2.32 EURIBOR-ICE 13.06 EUROSTX 4.76 FEEDCOW 1.67 GASOIL 1.97 GASOLINE 1.57 GAS_US_mini 31.30 GBP 3.58 GOLD_micro 10.13 HEATOIL 1.48 JGB-SGX-mini 38.13 JPY 3.33 LEANHOG 6.19 LIVECOW 3.14 LUMBER-new 6.10 MILK 2.14 MXP 39.47 NASDAQ_micro 3.85 NIKKEI 24.04 NZD 3.63 OAT 3.11 OATIES 4.87 OJ 1.37 PALLAD 0.72 PLAT 2.40 REDWHEAT 1.49 RICE 2.48 ROBUSTA 1.04 RUSSELL 15.90 SHATZ 5.96 SILVER-mini 1.65 SMI 2.21 SOFR 18.13 SOYBEAN 1.01 SOYMEAL 1.22 SOYOIL 1.28 SP400 0.72 SP500_micro 7.18 SUGAR11 3.48 US10 1.55 US10U 1.18 US2 2.86 US20 0.80 US30 0.56 US5 2.34 VIX 28.36 WHEAT 1.72 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -2.5 -2.8 -2.2 -3.0 -3 BITCOIN -5.9 -8.8 -3.1 0.0 0 BOBL -1.2 -1.4 -1.0 -17.0 -17 BTP 0.2 -0.1 0.4 3.0 3 BUND -0.3 -0.4 -0.2 -1.0 -1 BUXL -0.1 -0.2 -0.1 -1.0 -1 CAC 3.6 3.3 3.9 0.0 0 CAD -6.7 -7.1 -6.2 -1.0 -1 CANOLA -22.4 -23.6 -21.1 -6.0 -6 CHF -4.6 -4.8 -4.3 -9.0 -9 COCOA 0.5 0.5 0.5 2.0 2 COFFEE 0.5 0.5 0.5 2.0 2 COPPER 5.2 4.7 5.7 6.0 6 CORN -9.7 -10.2 -9.2 -11.0 -11 COTTON2 -1.9 -2.1 -1.7 -3.0 -3 CRUDE_W 11.5 10.9 12.2 5.0 5 DAX 15.8 14.4 17.1 9.0 9 DOW -10.2 -11.2 -9.1 -1.0 -1 DX 5.4 5.0 5.7 NaN 0 EUR -2.0 -2.2 -1.8 -3.0 -3 EURIBOR-ICE -2.7 -4.0 -1.4 0.0 0 EUROSTX 5.1 4.6 5.6 12.0 12 FEEDCOW -1.2 -1.4 -1.1 -1.0 -1 GASOIL 1.2 1.0 1.4 1.0 1 GASOLINE 2.0 1.9 2.2 4.0 4 GAS_US_mini -44.6 -47.7 -41.5 -26.0 -26 GBP -2.4 -2.7 -2.0 0.0 0 GOLD_micro 7.1 6.0 8.1 0.0 0 HEATOIL 0.0 -0.1 0.2 3.0 3 JGB-SGX-mini -12.6 -16.4 -8.8 -8.0 -8 JPY -6.3 -6.6 -6.0 0.0 0 LEANHOG 2.7 2.1 3.3 3.0 3 LIVECOW 1.8 1.5 2.1 1.0 1 LUMBER-new -12.2 -12.8 -11.6 NaN 0 MILK -1.7 -1.9 -1.5 NaN 0 MXP 43.1 39.1 47.0 55.0 55 NASDAQ_micro -3.7 -4.1 -3.3 -1.0 -1 NIKKEI 1.9 -0.5 4.3 7.0 7 NZD -2.7 -3.0 -2.3 -3.0 -3 OAT 0.2 -0.1 0.5 4.0 4 OATIES -5.1 -5.6 -4.7 NaN 0 OJ 1.0 0.9 1.2 NaN 0 PALLAD -0.1 -0.2 -0.1 0.0 0 PLAT 0.8 0.5 1.0 0.0 0 REDWHEAT -1.5 -1.6 -1.3 -1.0 -1 RICE 0.1 -0.1 0.3 NaN 0 ROBUSTA 1.4 1.3 1.5 0.0 0 RUSSELL -13.9 -15.5 -12.3 -4.0 -4 SHATZ -9.0 -9.6 -8.4 NaN 0 SILVER-mini 2.1 1.9 2.2 NaN 0 SMI 2.8 2.5 3.0 7.0 7 SOFR -18.1 -19.9 -16.3 NaN 0 SOYBEAN -1.7 -1.8 -1.5 -4.0 -4 SOYMEAL -2.0 -2.1 -1.9 0.0 0 SOYOIL -2.2 -2.3 -2.1 -6.0 -6 SP400 -0.5 -0.5 -0.4 -1.0 -1 SP500_micro -5.5 -6.3 -4.8 -14.0 -14 SUGAR11 -3.0 -3.4 -2.7 0.0 0 US10 -1.6 -1.8 -1.5 0.0 0 US10U -0.9 -1.0 -0.8 -4.0 -4 US2 -4.7 -5.0 -4.4 NaN 0 US20 -0.3 -0.4 -0.2 0.0 0 US30 -0.3 -0.4 -0.3 0.0 0 US5 -3.1 -3.4 -2.9 -14.0 -14 VIX -34.6 -37.5 -31.8 -17.0 -17 WHEAT -2.4 -2.5 -2.2 -7.0 -7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.2 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.2 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 0.3 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 0.0 0.2 0.1 -0.1 -0.7 -0.3 -0.4 -0.1 BITCOIN -0.6 0.0 0.3 0.0 0.0 0.1 0.0 0.0 0.1 -0.1 0.4 -0.1 0.5 0.0 0.1 -0.2 -0.1 -0.2 -0.2 0.1 0.2 -0.1 0.5 -0.0 -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 -0.1 -0.2 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.3 -0.2 -0.0 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 0.7 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.7 0.1 0.3 0.2 -0.1 -0.6 -0.7 0.2 -0.5 BTP -0.5 -0.2 0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.3 -0.1 0.3 -0.1 -0.1 0.1 0.1 0.1 0.1 -0.0 0.1 -0.1 0.2 -0.1 -2.5 0.0 -0.0 0.2 -0.0 0.2 -0.0 0.8 0.3 0.4 0.6 0.5 -0.2 -0.4 0.7 0.1 BUND -0.2 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 0.4 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 0.2 0.5 0.3 0.0 -0.6 -0.7 0.5 -0.3 BUXL -0.2 -0.2 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.0 0.0 0.0 0.0 0.3 0.6 0.5 0.2 -0.7 -0.7 -0.1 -0.1 CAC -0.6 0.0 0.6 0.0 -0.1 0.2 -0.1 0.2 -0.1 -0.1 0.5 -0.2 0.7 -0.1 0.2 0.4 0.0 0.3 0.1 0.2 0.2 -0.1 0.5 -0.1 -1.6 0.1 -0.0 0.3 -0.0 0.3 -0.0 0.9 0.5 0.6 0.6 0.2 -0.3 0.3 -0.2 0.5 CAD -0.4 -0.3 -0.1 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.2 -0.2 -0.3 -0.2 -0.2 -0.1 -0.0 -0.0 -0.0 -0.2 -0.1 -0.2 -0.2 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.0 -0.3 -0.2 -0.7 -0.6 -0.2 -0.4 CANOLA -0.1 0.6 0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.3 0.0 -0.0 -0.3 -0.1 -0.3 -0.2 -0.0 -0.1 -0.1 -0.4 -0.0 -2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.0 -0.4 -0.2 0.4 -0.5 -0.7 -0.6 -0.4 -0.1 CHF -0.3 -0.6 -0.6 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.4 -0.2 -0.3 -0.2 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 -0.1 -0.2 -0.2 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -1.1 0.4 -0.3 -0.6 -0.6 -0.2 -0.6 0.1 -0.5 COCOA -0.6 0.5 -0.2 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 0.3 0.1 0.3 0.1 0.1 0.4 0.3 0.4 0.4 0.2 0.2 0.2 0.4 0.2 -2.3 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 0.5 0.4 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 0.5 0.2 0.5 0.2 0.2 0.3 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 0.8 0.5 0.6 0.6 0.6 -0.1 -0.7 0.2 -0.3 COPPER 0.6 0.6 0.5 0.1 0.0 0.1 0.0 0.0 0.1 0.2 0.4 0.2 0.1 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 0.1 0.1 0.1 0.1 0.1 0.1 0.5 0.6 0.6 0.6 -0.7 -0.1 0.3 0.2 CORN -0.0 0.5 0.2 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.7 0.0 -0.1 -0.4 -0.2 -0.4 -0.3 -0.1 -0.1 -0.1 -0.5 -0.0 -2.1 -0.0 -0.0 -0.2 -0.0 -0.4 -0.0 -1.1 -0.2 -0.1 0.3 -0.6 -0.4 -0.7 -0.4 0.0 COTTON2 -0.6 -0.6 0.5 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 0.4 0.1 0.2 0.1 -0.1 0.0 -0.2 0.0 -0.2 -2.7 -0.0 -0.0 0.1 -0.1 0.1 -0.0 0.3 -0.5 -0.6 -0.4 0.6 -0.4 -0.5 0.0 0.1 CRUDE_W 0.2 0.5 0.3 0.1 -0.1 0.2 -0.0 0.2 0.0 -0.2 0.3 0.0 0.5 0.2 0.2 0.4 0.2 0.3 0.3 0.2 0.2 -0.1 0.5 0.2 -0.7 0.1 -0.1 0.2 -0.0 0.2 0.0 -0.1 -0.0 0.4 0.5 0.0 0.7 0.6 0.7 0.7 DAX -0.6 -0.1 0.5 0.0 -0.1 0.2 -0.1 0.2 -0.1 -0.2 0.5 -0.2 0.7 -0.0 0.1 -0.2 -0.2 -0.3 -0.3 0.2 0.2 -0.2 0.5 -0.1 2.0 0.1 -0.1 0.2 -0.0 0.2 0.0 -0.6 0.1 0.6 0.6 0.4 -0.1 0.3 0.2 0.7 DOW -0.6 -0.6 0.1 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.2 0.5 -0.1 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.2 0.4 -0.2 -1.6 0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.5 0.1 0.1 -0.4 -0.2 -0.1 -0.2 0.2 -0.5 DX 0.5 0.3 0.3 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 0.2 0.3 0.2 0.3 0.2 0.2 0.1 0.1 0.1 0.1 0.2 0.1 0.2 0.2 0.2 -2.7 0.1 0.1 0.1 0.1 0.1 0.1 0.8 0.5 0.6 0.6 0.6 0.7 0.1 0.7 0.4 EUR -0.4 -0.2 -0.2 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -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 -0.2 2.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.4 -0.0 -0.1 0.1 0.0 -0.7 -0.5 -0.7 -0.4 EURIBOR-ICE -0.4 -0.5 -0.3 -0.0 -0.0 -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 -0.0 -0.1 0.0 -0.1 1.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.1 0.1 0.1 -0.0 -0.7 -0.7 0.4 0.6 EUROSTX -0.6 -0.1 0.6 0.0 -0.1 0.2 -0.1 0.2 -0.1 -0.2 0.5 -0.2 0.7 -0.0 0.2 -0.1 0.0 -0.0 0.0 0.2 0.2 -0.2 0.5 -0.0 -0.1 0.1 -0.0 0.3 -0.0 0.3 0.0 0.6 0.4 0.6 0.6 0.6 -0.5 0.3 -0.4 0.5 FEEDCOW -0.6 -0.6 0.3 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.2 -0.1 -0.0 -0.0 -0.2 -0.8 -0.0 0.0 -0.0 0.0 0.1 -0.0 -1.1 0.4 -0.6 -0.6 0.2 0.7 0.7 0.7 0.7 GASOIL -0.0 0.2 0.3 0.1 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.3 -0.1 0.6 0.1 0.2 0.2 0.4 0.3 0.4 0.1 0.2 -0.1 0.5 0.0 0.9 0.1 -0.2 0.2 -0.1 0.3 0.0 0.8 -0.2 -0.3 -0.3 -0.0 -0.4 -0.3 -0.7 -0.6 GASOLINE -0.0 0.5 0.5 0.1 -0.1 0.2 -0.0 0.2 0.0 -0.2 0.5 -0.0 0.6 0.2 0.2 0.4 0.2 0.3 0.2 0.2 0.2 -0.1 0.5 0.1 -2.7 0.1 -0.1 0.2 -0.0 0.3 0.0 -0.3 0.1 0.1 0.4 0.3 0.7 0.7 0.7 0.7 GAS_US_mini 0.2 0.0 -0.5 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 -0.5 -0.1 -0.6 -0.1 -0.2 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.0 -0.5 -0.1 2.7 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -1.1 0.4 -0.5 -0.6 -0.6 -0.7 -0.1 -0.7 -0.3 GBP -0.4 -0.3 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 0.2 -0.2 0.2 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 0.1 -0.2 0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.1 0.1 0.4 -0.7 -0.3 -0.7 -0.1 GOLD_micro 0.6 0.6 0.6 0.0 0.0 0.1 0.0 0.0 0.1 0.1 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 0.0 0.1 0.1 -0.8 0.5 0.6 0.6 0.6 -0.7 -0.7 -0.5 -0.4 HEATOIL -0.1 0.1 0.2 0.1 -0.1 0.1 -0.0 0.1 0.0 -0.2 0.1 -0.2 0.4 0.0 0.1 0.0 0.4 0.3 0.4 0.1 0.1 -0.2 0.3 -0.0 -2.7 0.0 -0.1 0.2 -0.1 0.3 -0.0 0.7 -0.5 -0.6 -0.5 -0.1 0.6 0.2 0.5 0.1 JGB-SGX-mini -0.5 -0.4 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.2 -0.1 -0.1 0.2 0.3 0.2 0.2 -0.1 -0.0 -0.1 0.1 -0.1 -1.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 1.1 -0.1 -0.2 -0.1 0.1 -0.4 -0.4 0.0 0.3 JPY -0.4 -0.3 -0.5 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.1 -0.5 -0.2 -0.7 -0.2 -0.2 -0.4 -0.3 -0.3 -0.3 -0.2 -0.2 -0.2 -0.5 -0.2 2.7 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -1.1 -0.0 -0.3 -0.4 -0.6 -0.7 -0.4 -0.6 -0.4 LEANHOG -0.1 0.2 0.6 -0.0 -0.0 0.0 -0.1 -0.1 -0.0 -0.1 0.5 -0.1 -0.2 0.0 0.2 -0.4 -0.4 -0.4 -0.4 0.2 0.2 -0.0 0.0 0.1 1.6 0.1 0.0 0.2 -0.0 0.1 0.0 -1.1 -0.5 0.6 0.6 0.6 -0.3 -0.3 0.0 0.5 LIVECOW -0.6 -0.5 0.3 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.0 -0.1 0.0 -0.1 -0.0 0.4 0.1 0.4 0.3 -0.1 -0.0 -0.0 0.0 -0.1 -0.7 -0.0 0.0 0.0 0.0 0.1 -0.0 0.8 0.4 -0.6 -0.3 0.4 0.7 0.5 0.7 0.7 LUMBER-new -0.7 -0.6 0.2 -0.0 -0.0 0.0 -0.1 -0.1 -0.0 -0.2 0.2 -0.2 -0.4 -0.2 -0.1 -0.5 -0.4 -0.5 -0.4 -0.2 -0.0 -0.2 -0.0 -0.2 NaN -0.1 -0.1 -0.0 -0.2 0.0 -0.1 -1.2 -0.6 -0.7 -0.7 -0.5 -0.5 -0.5 -0.3 -0.3 MILK 0.6 0.0 0.6 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.3 0.1 -0.4 -0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 0.1 -0.4 0.0 1.5 -0.0 0.1 -0.1 0.0 -0.2 0.0 -1.1 0.5 0.4 -0.5 -0.3 -0.7 -0.7 -0.7 -0.7 MXP -0.5 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.2 0.5 -0.2 0.7 -0.0 0.1 0.3 0.3 0.4 0.3 0.1 0.2 -0.2 0.5 -0.1 -2.7 0.0 -0.1 0.2 -0.1 0.3 -0.0 1.1 -0.4 0.6 0.6 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro -0.6 -0.6 0.0 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.1 0.5 -0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.2 0.5 -0.1 -2.7 0.0 -0.1 0.1 -0.1 0.3 -0.1 -0.4 -0.2 -0.0 -0.3 0.1 0.1 -0.0 0.2 -0.1 NIKKEI -0.6 -0.4 0.6 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.4 -0.1 0.6 -0.1 0.1 0.0 0.2 0.1 0.2 0.1 0.2 -0.2 0.5 -0.1 -2.1 0.0 -0.1 0.2 -0.1 0.3 -0.0 1.1 0.1 0.1 -0.0 0.6 -0.7 -0.3 -0.4 -0.3 NZD -0.2 -0.4 -0.2 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.1 -0.2 0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.2 0.1 0.1 -0.3 -0.2 -0.4 -0.2 -0.2 0.2 OAT -0.3 -0.3 -0.1 -0.0 -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 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.7 0.2 0.4 0.3 0.1 -0.6 -0.7 0.5 0.0 OATIES -0.1 -0.1 -0.3 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.4 0.1 -0.5 -0.0 -0.1 0.1 0.0 0.1 0.1 -0.1 -0.1 0.1 -0.4 -0.0 -2.7 -0.0 0.1 -0.1 0.1 -0.1 -0.0 0.0 0.5 -0.1 -0.4 -0.3 -0.5 -0.0 -0.1 0.5 OJ -0.0 0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 0.2 0.0 0.5 0.1 0.2 0.1 0.3 0.1 0.2 0.1 0.2 0.0 0.5 0.0 -2.7 0.0 -0.0 0.2 -0.0 0.6 -0.0 1.0 0.3 0.1 -0.2 -0.0 0.3 0.3 0.7 0.7 PALLAD 0.1 0.4 0.3 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 -0.2 0.0 1.6 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.4 -0.1 -0.3 -0.2 -0.1 -0.7 -0.5 -0.7 -0.3 PLAT 0.4 0.4 0.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 -0.0 0.0 -0.3 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.1 0.0 -0.0 -0.1 0.1 1.4 0.0 -0.0 0.0 -0.0 0.0 0.0 0.2 -0.2 -0.1 -0.3 -0.2 -0.6 -0.2 0.7 0.3 REDWHEAT 0.2 0.4 0.1 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.0 -0.4 0.1 -0.7 0.1 -0.1 -0.1 0.0 0.0 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 0.2 0.4 0.1 -0.6 -0.4 -0.7 -0.0 -0.7 RICE 0.5 -0.6 -0.3 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 0.2 0.0 -0.0 0.4 0.0 0.2 0.0 -0.0 -0.0 0.2 0.1 0.1 -1.1 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.1 0.5 0.2 -0.5 -0.3 0.1 -0.1 0.4 0.2 ROBUSTA 0.6 0.3 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 0.2 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 0.2 0.1 1.1 0.5 0.6 0.6 0.6 -0.6 -0.7 -0.1 0.1 RUSSELL -0.6 -0.3 0.3 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.1 0.2 -0.1 0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.1 -0.2 0.2 -0.2 -0.2 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.1 -0.1 0.2 -0.2 -0.4 -0.4 -0.6 -0.4 -0.7 SHATZ -0.0 -0.3 -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 -0.1 -0.2 -0.1 1.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 0.0 0.1 -0.1 -0.3 -0.7 -0.7 -0.4 -0.7 SILVER-mini 0.6 0.6 0.4 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.3 0.1 0.2 0.2 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.2 0.2 0.2 0.2 0.5 0.1 0.0 0.1 0.0 0.1 0.1 -0.1 0.2 0.6 0.6 0.6 -0.5 -0.6 0.6 0.1 SMI -0.6 -0.0 0.4 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.1 0.4 -0.2 0.4 -0.1 0.1 -0.0 0.1 0.0 0.1 0.0 0.1 -0.2 0.3 -0.1 1.9 0.0 -0.0 0.2 -0.1 0.2 -0.0 0.9 0.3 0.6 0.2 -0.0 0.4 -0.1 0.7 -0.1 SOFR -0.6 -0.5 -0.2 -0.0 -0.0 -0.0 -0.0 -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 -0.1 -0.1 -0.2 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.2 -0.2 -0.1 0.0 -0.5 -0.7 0.2 -0.1 SOYBEAN -0.2 0.6 -0.4 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.4 -0.2 -0.3 -0.0 -0.1 -0.1 0.2 0.0 0.1 -0.1 -0.2 -0.1 -0.4 -0.1 -2.7 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 0.7 -0.5 -0.4 0.3 -0.6 -0.4 -0.7 -0.3 -0.7 SOYMEAL 0.2 0.4 -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 -0.1 -0.2 0.0 -0.5 -0.0 -2.7 -0.0 0.0 -0.2 0.0 -0.2 0.0 0.3 0.4 0.2 0.1 -0.6 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.5 0.6 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.2 -0.3 -0.1 -2.7 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.5 -0.6 0.1 -0.2 -0.7 -0.4 -0.3 0.2 SP400 -0.6 -0.1 0.5 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.3 -0.2 0.4 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.0 0.2 -0.2 0.4 -0.2 -1.5 0.0 -0.1 0.1 -0.1 0.2 -0.0 0.1 -0.3 0.2 0.1 -0.1 -0.4 -0.3 -0.3 -0.7 SP500_micro -0.6 -0.4 0.4 0.0 -0.1 0.1 -0.1 0.1 -0.0 -0.1 0.4 -0.2 0.6 -0.1 0.1 -0.2 -0.2 -0.3 -0.3 0.1 0.2 -0.2 0.5 -0.2 -2.7 0.0 -0.1 0.2 -0.1 0.3 -0.0 -0.6 -0.3 0.0 -0.1 0.4 -0.1 -0.1 0.2 -0.2 SUGAR11 -0.6 -0.3 -0.3 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.3 -0.2 0.1 -0.1 -0.1 0.2 0.3 0.2 0.3 -0.2 -0.1 -0.2 -0.1 -0.2 -2.7 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 1.1 -0.5 -0.6 -0.6 -0.5 0.7 0.2 0.7 0.7 US10 -0.6 -0.4 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.1 -0.2 -0.1 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.5 -0.1 -0.1 -0.0 0.0 -0.7 -0.7 -0.3 0.1 US10U -0.6 -0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -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 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 -0.0 0.1 -0.7 -0.7 0.6 0.5 US2 -0.5 -0.5 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.4 -0.4 -0.4 -0.4 -0.1 -0.1 -0.1 -0.2 -0.1 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-0.0 -0.3 -0.0 -1.1 -0.3 0.3 -0.0 -0.6 -0.2 -0.7 -0.0 -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 -5.7 -1.7 -3.2 -3.3 -5.7 -0.7 -7.6 1.1 -5.9 -13.7 -5.3 -14.0 -9.1 -11.1 -12.9 -2.7 -2.9 -2.8 -2.8 -6.7 -4.0 -14.2 -4.3 -10.7 2.5 -2.8 -7.1 -1.5 -7.9 -1.7 -5.2 -0.9 0.1 7.0 3.3 -3.2 -20.0 -10.2 -13.0 -2.0 BITCOIN -20.0 0.3 9.0 4.5 2.0 2.3 3.2 0.7 4.9 -8.0 14.0 -9.8 15.0 2.6 10.3 -7.7 -7.4 -8.5 -8.3 13.7 20.0 -12.4 19.3 -2.2 -20.0 5.0 -1.3 7.2 -1.8 6.4 1.0 -3.2 -20.0 -20.0 20.0 20.0 -8.7 -0.3 17.2 3.3 BOBL -3.5 -6.7 -9.0 -2.3 -2.8 -1.1 -3.7 -1.0 -3.3 -8.0 -3.0 -7.7 -2.6 -7.3 -8.4 13.0 -9.8 -0.6 -8.1 -5.7 -3.8 -7.2 -3.5 -6.1 5.2 -1.7 -4.4 -1.1 -3.0 -1.1 -1.8 -12.3 3.4 9.2 5.2 -2.8 -18.7 -20.0 7.1 -16.2 BTP -16.9 -7.0 2.1 -3.7 -4.6 -1.8 -5.9 -1.6 -5.3 -12.1 9.7 -12.4 9.5 -9.2 -5.3 4.6 6.1 4.8 5.1 -0.4 6.5 -9.0 7.4 -6.5 -18.9 3.0 -5.1 5.9 -4.0 5.7 -0.8 14.1 13.6 13.4 20.0 14.3 -6.4 -11.4 20.0 2.5 BUND -5.6 -6.5 -4.1 -2.5 -3.1 -1.2 -4.1 -1.1 -3.6 -8.8 -0.6 -8.6 -1.0 -7.9 -9.0 -9.3 0.6 -6.0 -2.8 -4.3 -1.9 -6.4 -2.3 -5.4 2.8 0.0 -4.0 0.4 -2.4 -0.1 -0.5 2.8 7.5 14.6 9.5 0.9 -17.0 -20.0 14.4 -8.3 BUXL -6.3 -4.7 1.2 -3.1 -3.8 -1.5 -5.0 -1.4 -4.5 -10.2 1.2 -10.2 -2.7 -9.2 -10.7 -7.5 -2.0 -5.9 -3.8 -3.2 -0.9 -6.2 -3.3 -4.9 -1.0 2.2 -3.6 2.0 -1.3 0.2 1.5 0.0 13.9 20.0 16.0 5.3 -20.0 -20.0 -3.2 -2.0 CAC -20.0 0.5 18.3 2.1 -10.3 6.4 -11.2 6.0 -5.8 -6.9 20.0 -16.4 20.0 -5.1 17.4 20.0 1.9 14.2 6.5 15.9 20.0 -15.3 20.0 -6.7 -12.0 6.3 -2.4 9.5 -4.1 8.5 -0.5 16.1 20.0 20.0 17.0 5.8 -8.5 9.8 -5.9 14.6 CAD -11.8 -8.6 -4.1 -4.8 -8.3 -1.0 -11.1 1.7 -8.7 -12.6 -9.1 -18.0 -8.3 -19.8 -20.0 -2.7 -2.3 -2.5 -2.3 -16.6 -9.4 -20.0 -6.9 -20.0 -0.5 -6.7 -3.7 -3.7 -9.2 -2.7 -9.4 0.0 3.8 -0.0 -8.7 -5.7 -20.0 -16.7 -6.4 -13.5 CANOLA -3.3 20.0 1.9 -0.1 -1.0 0.3 -2.2 -1.2 -1.6 -9.1 -7.9 -9.4 -8.6 2.9 -0.1 -15.7 -7.0 -14.7 -12.4 -1.1 -8.1 -8.9 -13.9 -2.5 -20.0 -0.3 -3.5 -3.0 -3.4 -5.4 -0.9 -18.3 -14.9 -6.7 13.6 -13.9 -20.0 -17.5 -12.9 -4.2 CHF -9.0 -20.0 -20.0 -3.9 -6.8 -0.8 -9.0 1.4 -7.1 -10.1 -14.9 -15.6 -7.9 -18.4 -19.6 -16.0 -15.8 -16.0 -15.9 -20.0 -20.0 -13.8 -8.8 -20.0 -1.0 -6.5 -0.7 -4.2 -3.1 -1.4 -5.8 -20.0 14.8 -7.9 -20.0 -20.0 -6.0 -16.9 2.1 -15.7 COCOA -20.0 15.0 -6.0 -0.1 -0.8 0.3 -1.8 -1.0 -1.3 7.5 9.5 7.9 9.5 8.8 9.3 20.0 15.1 20.0 20.0 20.0 20.0 20.0 13.8 20.0 -17.0 3.3 2.1 3.3 2.0 2.9 2.7 20.0 20.0 20.0 20.0 20.0 1.2 -0.4 6.6 9.2 COFFEE 20.0 15.3 11.9 -0.2 -2.0 0.7 -4.5 -2.5 -3.4 10.6 19.0 19.1 14.4 20.0 18.6 13.7 8.5 12.4 10.9 20.0 20.0 20.0 13.9 20.0 -20.0 7.2 6.8 4.4 10.6 2.8 10.3 15.0 20.0 20.0 20.0 20.0 -3.3 -20.0 5.8 -9.5 COPPER 19.2 20.0 16.7 5.4 2.3 2.8 3.8 0.8 5.9 17.8 16.3 19.4 3.9 20.0 19.8 -5.1 -5.0 -5.4 -5.5 20.0 20.0 20.0 9.3 20.0 -15.7 7.1 8.8 4.5 8.0 2.0 8.1 1.2 20.0 20.0 20.0 18.2 -20.0 -2.6 9.1 5.9 CORN -0.4 16.0 6.5 -0.2 -1.7 0.6 -3.8 -2.1 -2.8 -6.3 -12.1 -9.1 -18.3 3.7 -7.8 -20.0 -9.8 -18.9 -15.5 -6.1 -13.5 -7.4 -20.0 -4.6 -15.7 -3.8 -3.5 -8.1 -3.7 -10.3 -1.9 -20.0 -8.0 -1.9 7.8 -20.0 -11.8 -20.0 -10.7 0.8 COTTON2 -20.0 -17.7 15.8 -0.1 -1.2 0.4 -2.6 -1.4 -1.9 -11.2 -0.6 -12.9 1.2 -12.9 -5.6 18.2 3.3 11.4 5.7 -10.2 0.0 -20.0 1.8 -20.0 -20.0 -0.9 -4.6 1.9 -5.5 2.1 -4.4 5.0 -20.0 -20.0 -11.8 20.0 -10.6 -14.2 0.8 1.8 CRUDE_W 5.9 16.9 10.3 6.5 -10.1 5.9 -4.6 4.6 2.7 -20.0 11.2 4.0 14.9 19.4 20.0 18.2 11.7 15.3 13.0 20.0 20.0 -7.3 18.2 16.2 -5.5 8.0 -9.4 7.0 -3.3 6.1 4.5 -1.1 -0.8 13.4 14.4 0.1 20.0 19.4 20.0 19.9 DAX -20.0 -2.4 15.0 1.8 -9.0 5.6 -9.8 5.3 -5.1 -18.6 20.0 -19.7 20.0 -1.7 13.0 -11.4 -11.7 -13.0 -13.0 15.8 20.0 -20.0 20.0 -6.6 15.1 6.3 -5.9 8.1 -4.6 6.6 0.6 -11.2 2.7 20.0 20.0 13.8 -2.0 8.9 5.9 20.0 DOW -20.0 -20.0 1.7 1.3 -6.5 4.1 -7.1 3.8 -3.7 -12.0 12.8 -15.1 14.0 -13.7 -3.7 -11.2 -11.1 -12.2 -12.0 -4.3 10.7 -20.0 16.2 -19.0 -12.0 0.1 -3.9 5.1 -7.0 6.9 -5.2 -9.9 4.1 4.2 -13.2 -4.7 -3.1 -7.4 5.4 -16.2 DX 15.3 10.0 8.6 -4.4 -7.6 -0.9 -10.1 1.5 -8.0 17.9 10.5 19.9 7.4 20.0 19.7 7.3 6.5 7.1 6.8 20.0 12.0 20.0 7.7 20.0 -20.0 6.5 6.3 3.5 9.4 2.3 9.2 15.4 20.0 20.0 20.0 20.0 20.0 4.3 20.0 10.5 EUR -13.0 -5.6 -5.8 -4.1 -7.0 -0.9 -9.3 1.4 -7.3 -14.5 -5.8 -16.3 -4.9 -15.8 -15.9 -6.7 -6.8 -6.7 -6.6 -12.6 -6.8 -19.2 -4.1 -18.5 17.4 -4.4 -5.5 -1.7 -8.7 -0.7 -7.6 -7.4 -1.5 -1.6 1.6 0.5 -20.0 -14.8 -20.0 -11.8 EURIBOR-ICE -13.0 -15.8 -8.7 -2.1 -2.6 -1.0 -3.4 -0.9 -3.1 -7.5 1.6 -7.6 2.2 -7.5 -7.4 -5.0 -4.1 -3.5 -3.2 -5.5 -0.3 -9.9 1.7 -8.4 12.7 -1.8 -4.3 0.4 -4.0 1.1 -3.1 -1.7 -3.4 1.7 2.3 -0.7 -20.0 -20.0 10.8 17.4 EUROSTX -20.0 -3.4 20.0 1.9 -9.4 5.9 -10.3 5.5 -5.3 -19.1 20.0 -20.0 20.0 -2.6 17.8 -7.1 0.4 -1.8 0.2 19.6 20.0 -19.3 20.0 -4.4 -0.5 6.7 -5.4 9.7 -4.5 8.5 0.3 10.8 15.1 20.0 20.0 19.1 -14.1 9.7 -13.1 15.8 FEEDCOW -20.0 -20.0 9.8 -0.2 -1.6 0.6 -3.6 -2.0 -2.7 13.2 -3.3 -5.6 -1.5 -11.1 -5.1 -20.0 -20.0 -20.0 -20.0 -14.3 -5.7 -1.5 -0.0 -16.7 -6.2 -3.4 4.0 -1.1 0.6 1.6 -3.5 -20.0 16.0 -20.0 -20.0 5.7 20.0 20.0 20.0 20.0 GASOIL -0.9 4.9 8.7 5.9 -9.9 5.0 -2.7 3.8 3.4 -19.7 11.8 -5.4 15.3 7.4 17.8 9.2 20.0 17.2 19.9 12.8 15.1 -12.1 16.9 4.0 6.9 5.8 -16.7 7.0 -6.3 7.6 1.6 14.9 -9.9 -10.5 -9.3 -0.7 -12.0 -9.0 -20.0 -17.1 GASOLINE -0.5 15.2 16.0 6.3 -9.8 5.7 -4.5 4.4 2.6 -17.5 18.9 -1.5 17.9 18.1 20.0 20.0 11.6 13.6 8.1 20.0 20.0 -7.1 20.0 13.4 -20.0 8.1 -8.2 7.8 -3.1 7.1 3.8 -4.8 4.9 2.9 12.2 10.1 20.0 20.0 20.0 20.0 GAS_US_mini 5.6 0.7 -14.9 4.1 -6.3 3.7 -2.9 2.9 1.7 -7.3 -17.0 -9.2 -17.6 -13.3 -16.1 -20.0 -20.0 -20.0 -20.0 -14.0 -20.0 -4.9 -20.0 -7.3 20.0 -6.4 -0.9 -8.2 -2.8 -8.3 -4.4 -20.0 15.7 -15.0 -20.0 -20.0 -20.0 -3.5 -20.0 -8.4 GBP -13.8 -9.5 -2.9 -4.5 -7.7 -1.0 -10.3 1.5 -8.1 -19.7 6.0 -20.0 5.7 -19.9 -15.2 -1.0 -0.7 -0.8 -0.7 -10.4 -1.7 -20.0 2.8 -19.0 1.8 -3.4 -12.4 1.0 -11.7 2.2 -8.4 2.8 -1.1 2.5 4.4 12.0 -20.0 -9.0 -20.0 -2.6 GOLD_micro 20.0 20.0 18.4 4.6 2.0 2.4 3.2 0.7 5.0 14.7 17.1 16.8 13.3 17.9 17.8 -13.6 -14.6 -14.6 -14.8 20.0 20.0 20.0 16.8 20.0 -4.2 6.2 2.4 4.5 4.0 2.7 6.0 -15.0 19.4 20.0 20.0 20.0 -20.0 -20.0 -13.7 -12.1 HEATOIL -2.3 4.6 5.4 5.7 -8.9 5.1 -4.1 4.0 2.4 -18.7 2.5 -14.6 10.2 0.2 13.8 2.3 20.0 12.7 18.0 6.4 9.2 -20.0 11.5 -4.3 -20.0 3.4 -16.2 6.3 -11.6 8.4 -3.2 13.6 -20.0 -17.3 -14.3 -3.1 17.4 5.5 13.7 1.9 JGB-SGX-mini -15.7 -13.9 -5.1 -2.5 -3.1 -1.2 -4.1 -1.1 -3.6 -4.9 2.8 -7.5 5.2 -7.2 -6.7 8.4 15.7 10.6 12.0 -6.1 -1.1 -10.5 2.0 -10.3 -7.5 -2.7 -2.1 -1.0 -4.5 -0.3 -4.3 20.0 -3.7 -5.8 -2.9 3.0 -11.8 -13.0 0.6 10.1 JPY -13.2 -8.8 -16.5 -3.8 -6.5 -0.8 -8.6 1.3 -6.8 -16.4 -19.0 -18.2 -18.9 -19.1 -19.5 -17.7 -16.6 -17.2 -16.9 -20.0 -20.0 -20.0 -20.0 -20.0 20.0 -6.5 -4.8 -5.6 -6.7 -6.2 -7.2 -20.0 -1.7 -9.0 -13.7 -20.0 -20.0 -11.2 -18.3 -11.1 LEANHOG -3.7 6.1 20.0 -0.3 -2.2 0.8 -5.0 -2.7 -3.7 -8.9 17.2 -6.1 -4.4 2.2 19.0 -20.0 -20.0 -20.0 -20.0 16.3 14.7 -3.9 1.4 5.9 12.2 6.3 1.3 7.9 -2.7 2.6 0.7 -20.0 -20.0 17.1 20.0 20.0 -7.7 -8.8 1.1 14.7 LIVECOW -20.0 -14.4 10.7 -0.2 -1.6 0.6 -3.6 -2.0 -2.7 15.1 -0.4 -6.9 0.5 -11.1 -0.9 20.0 5.8 20.0 14.4 -9.2 -2.4 -3.1 1.2 -13.3 -5.3 -1.0 3.4 1.1 0.3 3.2 -2.6 14.1 16.9 -17.0 -9.8 12.5 20.0 14.8 20.0 20.0 LUMBER-new -20.0 -14.9 4.4 -0.3 -2.2 0.8 -4.9 -1.8 -3.6 -20.0 5.4 -20.0 -10.4 -20.0 -11.5 -20.0 -16.6 -19.7 -17.7 -20.0 -3.6 -20.0 -0.7 -20.0 NaN -5.1 -13.8 -0.7 -13.4 0.5 -10.5 -20.0 -20.0 -20.0 -20.0 -13.7 -13.3 -12.6 -6.6 -7.2 MILK 18.7 1.4 20.0 -0.1 -1.1 0.4 -2.4 -1.3 -1.8 10.5 -10.3 9.8 -11.5 -2.5 -5.4 -20.0 -20.0 -20.0 -20.0 -4.7 -10.0 12.4 -14.4 3.3 11.4 -2.0 6.5 -4.0 4.4 -5.9 1.0 -20.0 20.0 12.1 -14.3 -9.5 -20.0 -20.0 -20.0 -20.0 MXP -14.7 -1.3 1.4 -4.4 -7.6 -0.9 -10.1 1.5 -8.0 -19.3 19.3 -16.2 20.0 -1.1 11.2 16.8 17.2 17.5 17.0 10.2 17.7 -20.0 20.0 -6.5 -20.0 4.5 -13.0 6.4 -9.5 7.4 -1.3 20.0 -16.6 17.6 20.0 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro -20.0 -18.3 0.6 1.2 -5.6 3.5 -6.1 3.3 -3.2 -12.6 12.5 -12.5 13.7 -7.6 6.7 -10.7 -10.4 -11.2 -11.0 0.2 11.9 -20.0 17.6 -13.5 -20.0 0.3 -11.9 5.1 -8.8 7.5 -4.8 -8.3 -7.1 -0.9 -10.2 3.0 2.1 -1.5 6.9 -2.3 NIKKEI -20.0 -12.4 17.3 2.0 -7.9 4.7 -7.8 4.3 -3.5 -12.0 15.5 -13.2 17.1 -5.5 12.3 2.2 10.2 5.9 8.5 13.3 20.0 -20.0 20.0 -7.4 -15.8 3.8 -7.0 7.9 -6.0 8.6 -2.0 20.0 5.6 4.3 -0.2 20.0 -19.8 -7.7 -10.9 -8.9 NZD -7.5 -13.0 -6.3 -3.2 -5.5 -0.7 -7.4 1.1 -5.8 -13.4 -3.6 -13.7 -4.1 -13.9 -13.8 0.0 0.3 0.2 0.2 -11.6 -5.9 -14.4 -3.3 -14.5 0.5 -4.6 -5.2 -2.2 -6.0 -0.8 -5.8 4.4 5.8 2.5 -10.6 -5.9 -12.2 -6.6 -4.6 5.6 OAT -10.0 -8.9 -3.4 -2.8 -3.4 -1.4 -4.5 -1.2 -4.0 -9.4 1.0 -9.5 0.5 -9.6 -9.9 4.7 6.0 4.7 5.0 -4.9 -1.0 -7.9 -0.8 -7.1 3.3 -0.3 -5.0 1.2 -3.6 0.8 -1.6 13.9 8.7 11.9 9.6 2.1 -16.5 -20.0 14.1 1.1 OATIES -3.5 -2.6 -8.0 -0.2 -1.6 0.6 -3.5 -1.9 -2.6 15.6 -16.4 8.7 -14.4 -3.2 -7.8 7.0 0.0 7.2 3.5 -9.8 -13.9 11.1 -14.1 -2.9 -20.0 -3.9 11.2 -4.4 5.2 -4.1 -1.2 0.3 20.0 -2.5 -11.0 -8.4 -15.4 -1.2 -3.5 15.9 OJ -0.3 0.6 -2.3 -0.2 -1.7 0.6 -3.9 -2.1 -2.9 -0.6 8.4 2.5 14.8 5.6 14.0 4.7 13.4 6.4 9.2 8.5 15.1 0.0 20.0 4.2 -20.0 1.0 -1.5 6.1 -1.2 16.4 -0.7 18.5 10.9 3.5 -6.8 -0.1 10.0 9.1 20.0 20.0 PALLAD 3.3 11.5 9.7 2.4 1.0 1.2 1.7 0.4 2.6 -6.6 -3.1 -2.5 -7.6 2.7 0.3 -1.9 -2.1 -1.8 -1.9 1.4 -2.6 -1.0 -9.2 1.5 11.7 1.5 -1.7 -0.7 -0.3 -3.8 1.4 6.9 -4.3 -7.9 -6.9 -3.8 -20.0 -14.1 -20.0 -8.9 PLAT 11.7 11.5 2.0 3.4 1.5 1.7 2.4 0.5 3.7 -10.1 -1.0 1.4 -7.6 5.7 -0.4 -4.6 -3.6 -4.4 -4.1 4.7 0.9 -2.2 -2.3 5.0 10.4 3.0 -5.1 1.4 -0.8 0.2 2.8 3.8 -7.3 -2.8 -7.9 -4.7 -18.1 -5.3 20.0 7.9 REDWHEAT 6.6 13.3 1.7 -0.2 -1.8 0.6 -3.9 -2.1 -2.9 5.2 -16.7 9.2 -19.1 9.4 -8.1 -4.1 0.6 1.0 0.9 -5.5 -16.8 1.5 -20.0 0.6 -7.6 -2.9 2.2 -8.8 1.6 -11.9 1.3 -0.3 8.7 12.0 2.9 -20.0 -10.6 -20.0 -0.4 -20.0 RICE 14.5 -20.0 -8.9 -0.1 -1.0 0.3 -2.1 -1.2 -1.6 9.7 0.2 9.0 5.2 1.9 -2.0 20.0 0.6 10.7 1.2 -1.3 -0.1 16.8 2.6 6.0 -8.1 -0.9 4.5 -0.6 4.4 0.2 1.2 -1.0 20.0 4.6 -14.3 -9.1 3.6 -4.0 12.1 6.7 ROBUSTA 19.9 10.5 17.6 -0.2 -1.5 0.5 -3.3 -1.8 -2.5 8.9 17.6 14.4 17.5 16.3 17.4 11.8 20.0 19.6 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 6.6 4.9 6.2 6.4 5.6 6.8 20.0 20.0 20.0 20.0 20.0 -17.9 -20.0 -3.5 3.3 RUSSELL -20.0 -7.8 7.8 1.1 -5.3 3.3 -5.8 3.1 -3.0 -12.0 9.2 -12.8 8.3 -9.6 -0.8 -6.4 -6.4 -6.5 -6.5 -2.9 5.1 -20.0 5.6 -14.4 -1.6 -0.3 -7.6 2.6 -7.8 2.9 -4.7 -1.0 -3.5 7.5 -7.0 -11.6 -12.8 -19.4 -13.2 -20.0 SHATZ -0.0 -8.3 -16.3 -2.2 -2.7 -1.1 -3.5 -1.0 -3.1 -7.4 -7.7 -7.0 -7.5 -7.3 -8.5 -20.0 -20.0 -20.0 -20.0 -9.3 -8.6 -7.7 -8.6 -7.8 7.7 -2.8 -3.0 -2.3 -2.5 -2.0 -2.5 -20.0 1.6 2.4 -1.7 -8.3 -20.0 -20.0 -13.5 -20.0 SILVER-mini 20.0 20.0 12.3 4.1 1.8 2.1 2.9 0.6 4.5 9.2 10.3 13.5 4.2 14.8 13.5 -6.6 -6.7 -6.7 -6.8 20.0 14.1 20.0 5.8 20.0 3.6 5.4 2.2 3.5 3.6 1.7 5.5 -1.2 10.4 20.0 20.0 18.7 -15.3 -17.0 17.2 2.6 SMI -20.0 -0.6 12.5 1.7 -8.1 5.0 -8.8 4.7 -4.5 -11.5 15.2 -17.0 12.2 -9.9 5.3 -2.4 4.2 1.7 3.8 2.7 11.4 -20.0 9.5 -13.0 14.5 3.1 -4.6 5.9 -6.7 4.5 -2.9 17.2 12.3 19.1 6.3 -1.0 13.5 -1.5 20.0 -3.5 SOFR -19.7 -14.3 -7.3 -2.7 -3.3 -1.3 -4.4 -1.2 -3.9 -7.6 -0.7 -9.3 -1.9 -10.0 -9.9 -2.7 -0.3 -1.2 -0.5 -11.1 -5.8 -14.2 -3.8 -15.0 -2.4 -2.9 -2.9 -1.1 -4.4 -0.5 -4.4 3.9 -9.6 -5.9 -2.2 0.6 -15.9 -20.0 5.4 -2.1 SOYBEAN -5.6 18.5 -11.5 -0.2 -1.9 0.7 -4.2 -2.3 -3.1 -10.5 -13.9 -16.7 -7.1 -0.3 -9.3 -3.6 10.7 1.5 5.6 -8.3 -14.0 -14.0 -14.6 -9.0 -20.0 -3.0 -5.3 -4.7 -6.7 -4.3 -3.8 12.8 -20.0 -13.3 9.4 -20.0 -11.5 -20.0 -10.0 -20.0 SOYMEAL 5.7 12.8 -20.0 -0.2 -1.7 0.6 -3.8 -2.1 -2.8 8.3 -18.0 0.9 -15.1 -0.5 -15.4 -4.4 6.7 -3.9 0.4 -11.7 -20.0 3.0 -18.0 -1.8 -20.0 -3.8 4.3 -8.0 2.5 -5.9 0.9 5.2 17.4 6.1 3.2 -20.0 -20.0 -20.0 -20.0 -20.0 SOYOIL -14.2 18.7 -1.0 -0.1 -1.3 0.4 -2.8 -1.5 -2.1 -11.5 -11.6 -13.3 -10.3 -7.1 -5.1 -7.1 0.8 -6.7 -3.9 -6.6 -8.7 -20.0 -11.5 -13.0 -20.0 -1.5 -6.9 -1.1 -7.6 -1.8 -4.7 -3.9 -20.0 -20.0 2.9 -6.0 -20.0 -11.8 -9.5 5.2 SP400 -20.0 -4.2 15.2 1.3 -6.3 3.9 -6.8 3.7 -3.5 -14.0 12.8 -14.8 12.2 -7.7 4.8 -4.8 -5.3 -5.1 -5.3 3.5 14.1 -20.0 13.5 -15.2 -11.4 1.7 -7.4 4.5 -7.7 4.3 -3.6 1.0 -10.7 7.4 4.3 -1.9 -12.5 -9.6 -10.4 -20.0 SP500_micro -20.0 -13.8 11.8 1.5 -7.1 4.4 -7.7 4.1 -4.0 -16.0 16.3 -16.5 16.9 -8.2 9.3 -12.3 -11.7 -12.9 -12.5 5.2 20.0 -20.0 20.0 -16.5 -20.0 2.1 -10.2 6.8 -9.1 7.9 -4.4 -10.8 -12.1 0.1 -1.9 12.1 -2.4 -4.0 6.1 -4.9 SUGAR11 -19.7 -8.5 -10.3 -0.2 -1.5 0.5 -3.4 -1.9 -2.5 -11.7 -10.6 -15.3 2.5 -13.1 -9.2 8.0 16.5 11.6 14.4 -18.4 -13.1 -20.0 -3.2 -20.0 -20.0 -5.0 -6.2 -3.6 -9.4 -0.9 -7.7 20.0 -20.0 -20.0 -20.0 -15.5 20.0 7.2 20.0 20.0 US10 -18.0 -12.2 -1.7 -2.3 -2.8 -1.1 -3.6 -1.0 -3.3 -6.0 -1.3 -7.7 -3.8 -8.3 -8.3 -5.5 -7.7 -7.1 -7.6 -8.9 -5.4 -10.6 -5.6 -11.6 2.2 -2.5 -2.1 -1.1 -3.5 -1.0 -3.6 -8.9 -3.9 -3.6 -1.0 1.4 -20.0 -20.0 -9.4 4.5 US10U -17.7 -11.6 -1.3 -3.2 -4.0 -1.6 -5.2 -1.4 -4.6 -8.3 -1.8 -10.9 -5.1 -11.9 -11.9 -4.3 -1.0 -3.2 -1.9 -12.2 -7.6 -14.7 -8.4 -16.0 -0.1 -3.4 -3.1 -1.5 -5.1 -1.6 -5.2 2.2 -2.7 -3.1 -0.0 2.8 -20.0 -20.0 18.7 13.7 US2 -14.0 -15.4 -8.3 -2.1 -2.6 -1.0 -3.3 -0.9 -3.0 -6.8 -6.0 -7.7 -6.9 -8.0 -8.2 -20.0 -20.0 -20.0 -20.0 -10.9 -7.9 -10.2 -8.2 -12.1 10.4 -2.6 -1.7 -1.5 -2.8 -1.3 -3.2 -20.0 -6.0 -6.5 -5.9 -3.1 -20.0 -20.0 -20.0 -20.0 US20 -20.0 -11.2 0.9 -2.3 -2.9 -1.1 -3.7 -1.0 -3.3 -5.7 0.7 -7.7 -2.2 -8.3 -8.0 -0.4 -0.7 -0.2 -0.4 -7.7 -4.1 -10.5 -4.9 -11.1 -0.9 -2.0 -2.2 -0.5 -3.8 -0.8 -3.7 3.5 -0.6 -1.0 2.3 4.4 -20.0 -16.6 20.0 20.0 US30 -18.3 -10.2 1.1 -2.8 -3.4 -1.3 -4.4 -1.2 -4.0 -6.9 -0.2 -9.2 -3.8 -9.9 -9.8 -3.3 -5.7 -5.6 -6.1 -8.7 -5.1 -11.7 -6.7 -12.4 -0.4 -2.4 -2.7 -0.7 -4.6 -1.3 -4.4 -5.7 1.4 0.8 3.3 4.7 -19.0 -13.8 20.0 20.0 US5 -17.2 -13.8 -5.2 -2.3 -2.8 -1.1 -3.6 -1.0 -3.3 -6.5 -3.4 -7.9 -5.0 -8.5 -8.5 -9.5 -10.2 -9.9 -10.0 -10.1 -6.4 -11.3 -6.0 -12.5 4.7 -2.6 -2.1 -1.3 -3.4 -1.0 -3.6 -13.0 -6.5 -5.7 -3.4 -0.6 -20.0 -20.0 -15.1 -7.4 VIX 14.6 16.3 11.4 -1.4 7.3 -8.3 9.1 -14.6 5.5 8.5 -20.0 11.9 -20.0 8.4 -6.5 -20.0 -20.0 -20.0 -20.0 -1.0 -15.9 12.8 -20.0 9.1 NaN -1.4 7.8 -9.8 9.2 -18.3 5.9 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 8.0 10.7 1.1 -0.2 -1.9 0.7 -4.2 -2.3 -3.1 -4.2 -13.5 -6.7 -20.0 7.0 -8.0 -19.7 -13.0 -16.9 -14.7 -5.1 -15.1 -4.1 -20.0 -1.3 2.0 -3.2 0.7 -6.9 -2.1 -8.9 -0.9 -20.0 -11.1 10.4 -0.8 -20.0 -5.5 -20.0 -0.2 -20.0 End of report for caleb_strategy_v3