******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240530_204007 produced at 2024-05-30 21:35:13.235740 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 JGB-SGX-mini False True 0.03 0.0 -0.91 0.0 0.00 0.00 0.0 0.00 -32.80 16.0 0 0 caleb_strategy_v3 EURIBOR-ICE False False 0.08 0.0 -0.58 0.0 0.79 -0.79 0.0 -0.63 -7.31 10.0 0 -8 caleb_strategy_v3 SOFR False True 0.07 0.0 -0.57 0.0 0.00 0.00 0.0 0.00 -7.84 11.0 0 0 caleb_strategy_v3 SHATZ False True 0.03 0.0 -0.39 0.0 0.00 0.00 0.0 0.00 -11.44 24.0 0 0 caleb_strategy_v3 US2 False True 0.06 0.0 -0.31 0.0 0.00 0.00 0.0 0.00 -4.98 13.0 0 0 caleb_strategy_v3 VIX False False 0.00 0.0 -0.29 0.0 999.00 -999.00 0.0 -0.22 -63.18 999999999.0 0 -48 caleb_strategy_v3 CHF False False 0.04 0.0 -0.15 0.0 0.54 -0.54 0.0 -0.21 -3.49 13.0 0 -5 caleb_strategy_v3 LEANHOG False False 0.01 0.0 -0.11 0.0 0.15 -0.15 0.0 -0.08 -9.28 13.0 0 -7 caleb_strategy_v3 CAD False False 0.02 0.0 -0.10 0.0 0.64 -0.64 0.0 -0.07 -4.32 29.0 0 -3 caleb_strategy_v3 JPY False False 0.02 0.0 -0.08 0.0 0.41 -0.41 0.0 -0.12 -3.20 17.0 0 -5 caleb_strategy_v3 HEATOIL False False 0.03 0.0 -0.07 0.0 0.09 -0.09 0.0 -0.06 -2.36 3.0 0 -2 caleb_strategy_v3 US5 False False 0.03 0.0 -0.07 0.0 0.80 -0.80 0.0 -0.38 -2.27 25.0 0 -12 caleb_strategy_v3 CORN False False 0.01 0.0 -0.06 0.0 0.09 -0.09 0.0 -0.06 -7.73 12.0 0 -8 caleb_strategy_v3 BOBL False True 0.04 0.0 -0.06 0.0 0.00 0.00 0.0 0.00 -1.47 19.0 0 0 caleb_strategy_v3 LUMBER-new False False 0.00 0.0 -0.05 0.0 0.01 -0.01 0.0 0.00 -11.67 3.0 0 0 caleb_strategy_v3 OAT False True 0.04 0.0 -0.04 0.0 0.00 0.00 0.0 0.00 -1.10 10.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.0 -0.04 0.0 0.38 -0.38 0.0 0.00 -7.32 66.0 0 0 caleb_strategy_v3 BUND False True 0.04 0.0 -0.03 0.0 0.00 0.00 0.0 0.00 -0.81 10.0 0 0 caleb_strategy_v3 US10 False False 0.03 0.0 -0.03 0.0 0.56 -0.56 0.0 0.00 -0.93 17.0 0 0 caleb_strategy_v3 GASOIL False False 0.02 0.0 -0.03 0.0 0.09 -0.09 0.0 0.00 -1.21 4.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.0 -0.03 0.0 0.18 -0.18 0.0 0.00 -0.30 2.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 0.0 -0.03 0.0 0.15 -0.15 0.0 0.00 -10.81 51.0 0 0 caleb_strategy_v3 BTP False True 0.04 0.0 -0.03 0.0 0.00 0.00 0.0 0.00 -0.89 10.0 0 0 caleb_strategy_v3 COTTON2 False False 0.01 0.0 -0.02 0.0 0.13 -0.13 0.0 0.00 -1.92 11.0 0 0 caleb_strategy_v3 SUGAR11 False False 0.01 0.0 -0.02 0.0 0.11 -0.11 0.0 -0.01 -3.89 18.0 0 -2 caleb_strategy_v3 US10U False False 0.03 0.0 -0.02 0.0 0.44 -0.44 0.0 -0.17 -0.49 13.0 0 -5 caleb_strategy_v3 BUXL False True 0.04 0.0 -0.02 0.0 0.00 0.00 0.0 0.00 -0.43 4.0 0 0 caleb_strategy_v3 SOYMEAL False False 0.01 0.0 -0.01 0.0 0.10 -0.10 0.0 0.00 -0.69 9.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 0.0 -0.01 0.0 0.08 -0.08 0.0 -0.02 -1.55 10.0 0 -2 caleb_strategy_v3 PALLAD False False 0.03 0.0 -0.01 0.0 0.06 -0.06 0.0 0.00 -0.43 2.0 0 0 caleb_strategy_v3 SOYBEAN False False 0.02 0.0 -0.01 0.0 0.13 -0.13 0.0 -0.02 -0.78 7.0 0 -1 caleb_strategy_v3 GASOLINE False False 0.03 0.0 -0.01 0.0 999.00 -999.00 0.0 0.00 -0.18 999999999.0 0 0 caleb_strategy_v3 RUSSELL False False 0.00 0.0 -0.01 0.0 0.21 -0.21 0.0 -0.03 -4.66 68.0 0 -9 caleb_strategy_v3 FEEDCOW False False 0.04 0.0 -0.01 0.0 0.32 -0.32 0.0 0.00 -0.21 8.0 0 0 caleb_strategy_v3 GOLD_micro False False 0.01 0.0 -0.01 0.0 0.40 -0.40 0.0 -0.01 -1.92 56.0 0 -2 caleb_strategy_v3 SP500_micro False False 0.01 0.0 0.00 0.0 0.38 -0.38 0.0 0.00 0.60 48.0 0 0 caleb_strategy_v3 ROBUSTA False False 0.01 0.0 0.00 0.0 0.29 -0.29 0.0 0.01 0.39 23.0 0 1 caleb_strategy_v3 US30 False False 0.04 0.0 -0.00 0.0 0.22 -0.22 0.0 0.00 -0.13 6.0 0 0 caleb_strategy_v3 REDWHEAT False False 0.01 0.0 0.00 0.0 0.09 -0.09 0.0 0.01 0.29 8.0 0 1 caleb_strategy_v3 COCOA False False 0.03 0.0 0.00 0.0 0.67 -0.67 0.0 0.00 0.10 26.0 0 0 caleb_strategy_v3 US20 False True 0.03 0.0 0.00 0.0 0.00 0.00 0.0 0.00 0.04 9.0 0 0 caleb_strategy_v3 OATIES False True 0.01 0.0 -0.00 0.0 0.00 0.00 0.0 0.00 -0.12 2.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.0 -0.00 0.0 0.27 -0.27 0.0 -0.01 -0.39 36.0 0 -2 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.0 0.00 0.0 0.26 -0.26 0.0 0.00 0.21 23.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 0.0 -0.00 0.0 0.05 -0.05 0.0 0.00 -0.53 26.0 2 0 caleb_strategy_v3 EUR False False 0.04 0.0 0.00 0.0 0.57 -0.57 0.0 0.00 0.00 14.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 0.0 0.00 0.0 0.10 -0.10 0.0 0.00 0.24 9.0 0 0 caleb_strategy_v3 COFFEE False False 0.03 0.0 0.01 0.0 0.16 -0.16 0.0 0.00 0.22 6.0 0 0 caleb_strategy_v3 MILK False False 0.01 0.0 0.01 0.0 0.06 -0.06 0.0 0.00 0.93 5.0 0 0 caleb_strategy_v3 AUD False False 0.02 0.0 0.02 0.0 0.38 -0.38 0.0 0.00 0.81 19.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.0 0.02 0.0 0.16 -0.16 0.0 0.02 1.37 10.0 0 1 caleb_strategy_v3 BITCOIN True False 0.00 0.0 0.02 0.0 0.00 0.00 0.0 0.00 9.54 59.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.0 0.03 0.0 999.00 -999.00 0.0 0.00 1.37 999999999.0 0 0 caleb_strategy_v3 RICE False False 0.01 0.0 0.04 0.0 0.04 -0.04 0.0 0.00 4.29 4.0 0 0 caleb_strategy_v3 OJ False False 0.02 0.0 0.04 0.0 0.06 -0.06 0.0 0.04 2.08 3.0 0 2 caleb_strategy_v3 COPPER False False 0.04 0.0 0.04 0.0 999.00 -999.00 0.0 0.11 1.25 999999999.0 0 3 caleb_strategy_v3 CAC True False 0.03 0.0 0.04 0.0 0.00 0.00 0.0 0.00 1.54 12.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.0 0.05 0.0 0.39 -0.39 0.0 0.00 2.65 21.0 0 0 caleb_strategy_v3 GBP False False 0.02 0.0 0.06 0.0 0.53 -0.53 0.0 0.00 2.47 22.0 0 0 caleb_strategy_v3 EUROSTX False False 0.02 0.0 0.06 0.0 0.33 -0.33 0.0 0.24 3.72 20.0 0 15 caleb_strategy_v3 DX False False 0.03 0.0 0.06 0.0 999.00 -999.00 0.0 0.00 2.01 999999999.0 0 0 caleb_strategy_v3 CRUDE_W False False 0.02 0.0 0.08 0.0 0.11 -0.11 0.0 0.02 3.45 5.0 0 1 caleb_strategy_v3 DAX False False 0.01 0.0 0.11 0.0 0.35 -0.35 0.0 0.01 17.37 58.0 0 1 caleb_strategy_v3 LIVECOW False False 0.02 0.0 0.12 0.0 0.37 -0.37 0.0 0.13 5.36 17.0 0 6 caleb_strategy_v3 SMI False True 0.04 0.0 0.16 0.0 0.00 0.00 0.0 0.00 4.11 9.0 0 0 caleb_strategy_v3 MXP False False 0.01 0.0 0.45 0.0 0.53 -0.53 0.0 0.43 50.58 60.0 0 48 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 17.2 Shocked risk 48.5 Sum abs risk 49.8 Leverage 5.68 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3306404.0, 'annual_cash_vol_target': 826601.0, 'daily_cash_vol_target': 51662.5625} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0039 0.6640 0.5892 9.4270 BITCOIN 1731.0307 69980.0000 2.4736 39.5777 BOBL 0.2657 115.9000 0.2292 3.6678 BTP 0.5945 116.6700 0.5095 8.1527 BUND 0.5368 129.2000 0.4155 6.6477 BUXL 1.2656 125.7400 1.0065 16.1048 CAC 53.3037 7988.0000 0.6673 10.6767 CAD 0.0028 0.7314 0.3813 6.1014 CANOLA 7.3463 681.7000 1.0776 17.2424 CHF 0.0049 1.1088 0.4381 7.0098 COCOA 371.3853 8534.0000 4.3518 69.6293 COFFEE 4.1791 232.6500 1.7963 28.7410 COPPER 0.0801 4.6580 1.7188 27.5008 CORN 5.3327 470.7500 1.1328 18.1249 COTTON2 1.3292 76.7400 1.7321 27.7141 CRUDE_W 0.8458 75.7700 1.1163 17.8607 DAX 121.0778 18554.0000 0.6526 10.4411 DOW 267.9339 38252.0000 0.7004 11.2071 DX 0.3476 104.2600 0.3334 5.3346 EUR 0.0041 1.0844 0.3825 6.1192 EURIBOR-ICE 0.0510 97.2350 0.0524 0.8391 EUROSTX 35.1794 4999.0000 0.7037 11.2597 FEEDCOW 2.0122 260.8000 0.7716 12.3449 GASOIL 10.1799 740.7500 1.3743 21.9883 GASOLINE 0.0351 2.3627 1.4849 23.7580 GAS_US_mini 0.1011 2.6450 3.8223 61.1566 GBP 0.0054 1.2736 0.4249 6.7983 GOLD_micro 21.3574 2363.5000 0.9036 14.4581 HEATOIL 0.0313 2.4361 1.2861 20.5778 JGB-SGX-mini 0.2125 143.2700 0.1483 2.3733 JPY 0.0000 0.0064 0.6421 10.2741 LEANHOG 1.0429 96.2500 1.0835 17.3362 LIVECOW 1.3030 179.7500 0.7249 11.5987 LUMBER-new 6.8921 532.0000 1.2955 20.7280 MILK 0.2490 19.9500 1.2479 19.9667 MXP 0.0003 0.0588 0.5824 9.3179 NASDAQ_micro 144.2161 18662.5000 0.7728 12.3641 NIKKEI 347.2844 38490.0000 0.9023 14.4363 NZD 0.0035 0.6122 0.5787 9.2597 OAT 0.5354 124.5800 0.4298 6.8764 OATIES 7.0667 387.2500 1.8248 29.1974 OJ 6.9122 439.3000 1.5735 25.1752 PALLAD 22.4854 959.5000 2.3435 37.4953 PLAT 17.3089 1033.3000 1.6751 26.8018 REDWHEAT 12.6747 723.5000 1.7519 28.0299 RICE 0.1557 15.6500 0.9951 15.9214 ROBUSTA 75.8722 4129.0000 1.8375 29.4007 RUSSELL 20.4908 2063.0000 0.9933 15.8921 SHATZ 0.0774 104.9650 0.0738 1.1800 SILVER-mini 0.5678 31.7000 1.7911 28.6575 SMI 78.3275 11902.0000 0.6581 10.5297 SOFR 0.0630 95.9950 0.0656 1.0498 SOYBEAN 10.1486 1190.7500 0.8523 13.6366 SOYMEAL 5.0169 357.8000 1.4022 22.4345 SOYOIL 0.6998 46.1100 1.5177 24.2826 SP400 23.7670 2956.2000 0.8040 12.8635 SP500_micro 33.0339 5262.7500 0.6277 10.0431 SUGAR11 0.2866 18.1600 1.5783 25.2524 US10 0.3776 108.5156 0.3480 5.5674 US10U 0.4966 111.6719 0.4447 7.1157 US2 0.0940 101.7852 0.0923 1.4776 US20 0.7411 115.5312 0.6414 10.2631 US30 1.0942 121.7188 0.8990 14.3833 US5 0.2425 105.6094 0.2296 3.6735 VIX 0.4037 15.3500 2.6300 42.0799 WHEAT 11.4403 725.2500 1.5774 25.2388 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 664.05 0.59 391.25 1.00 391.25 51662.56 132.05 2.37 31.33 BITCOIN 69.98 2.47 173.10 1.00 173.10 51662.56 298.45 2.95 88.11 BOBL 1159.00 0.23 265.68 1.08 288.17 51662.56 179.28 -8.11 -145.41 BTP 1166.70 0.51 594.49 1.08 644.81 51662.56 80.12 -3.25 -26.01 BUND 1292.00 0.42 536.80 1.08 582.24 51662.56 88.73 -9.05 -80.32 BUXL 1257.40 1.01 1265.63 1.08 1372.77 51662.56 37.63 -11.31 -42.57 CAC 798.80 0.67 533.04 1.08 578.16 51662.56 89.36 5.06 45.21 CAD 731.45 0.38 278.93 1.00 278.93 51662.56 185.22 -8.98 -166.32 CANOLA 136.34 1.08 146.93 0.73 107.49 51662.56 480.65 -9.24 -444.19 CHF 1386.06 0.44 607.25 1.00 607.25 51662.56 85.08 -15.80 -134.44 COCOA 853.40 4.35 3713.85 1.00 3713.85 51662.56 13.91 3.45 4.80 COFFEE 872.44 1.80 1567.17 1.00 1567.17 51662.56 32.97 5.64 18.58 COPPER 1164.50 1.72 2001.54 1.00 2001.54 51662.56 25.81 4.48 11.57 CORN 235.38 1.13 266.63 1.00 266.63 51662.56 193.76 -16.40 -317.69 COTTON2 383.70 1.73 664.62 1.00 664.62 51662.56 77.73 -11.54 -89.70 CRUDE_W 757.70 1.12 845.81 1.00 845.81 51662.56 61.08 5.22 31.86 DAX 185.54 0.65 121.08 1.08 131.33 51662.56 393.39 12.94 509.21 DOW 191.26 0.70 133.97 1.00 133.97 51662.56 385.64 -8.16 -314.87 DX 1042.60 0.33 347.62 1.00 347.62 51662.56 148.62 5.21 77.46 EUR 1355.44 0.38 518.39 1.00 518.39 51662.56 99.66 0.00 0.03 EURIBOR-ICE 2430.88 0.05 127.48 1.08 138.27 51662.56 373.64 -5.74 -214.35 EUROSTX 499.90 0.70 351.79 1.08 381.57 51662.56 135.39 8.06 109.17 FEEDCOW 1304.00 0.77 1006.11 1.00 1006.11 51662.56 51.35 -1.25 -6.42 GASOIL 740.75 1.37 1017.99 1.00 1017.99 51662.56 50.75 -5.49 -27.85 GASOLINE 992.33 1.48 1473.49 1.00 1473.49 51662.56 35.06 -1.21 -4.23 GAS_US_mini 66.12 3.82 252.75 1.00 252.75 51662.56 204.40 -0.24 -4.93 GBP 796.00 0.42 338.21 1.00 338.21 51662.56 152.75 6.22 95.08 GOLD_micro 236.35 0.90 213.57 1.00 213.57 51662.56 241.90 -2.32 -56.22 HEATOIL 1023.16 1.29 1315.90 1.00 1315.90 51662.56 39.26 -13.86 -54.43 JGB-SGX-mini 143270.00 0.15 21251.43 0.01 135.17 51662.56 382.21 -7.93 -302.92 JPY 799.06 0.64 513.10 1.00 513.10 51662.56 100.69 -12.26 -123.43 LEANHOG 385.00 1.08 417.15 1.00 417.15 51662.56 123.85 -12.33 -152.72 LIVECOW 719.00 0.72 521.22 1.00 521.22 51662.56 99.12 16.32 161.73 LUMBER-new 146.30 1.30 189.53 1.00 189.53 51662.56 272.58 -20.00 -545.16 MILK 399.00 1.25 497.92 1.00 497.92 51662.56 103.76 4.16 43.20 MXP 293.90 0.58 171.16 1.00 171.16 51662.56 301.84 11.42 344.59 NASDAQ_micro 373.25 0.77 288.43 1.00 288.43 51662.56 179.12 0.50 8.87 NIKKEI 38490.00 0.90 34728.44 0.01 221.44 51662.56 233.30 -0.16 -3.63 NZD 612.15 0.58 354.27 1.00 354.27 51662.56 145.83 7.01 102.25 OAT 1245.80 0.43 535.41 1.08 580.73 51662.56 88.96 -3.62 -32.22 OATIES 193.62 1.82 353.33 1.00 353.33 51662.56 146.21 -0.34 -4.93 OJ 658.95 1.57 1036.83 1.00 1036.83 51662.56 49.83 19.53 97.33 PALLAD 959.50 2.34 2248.54 1.00 2248.54 51662.56 22.98 -5.48 -12.59 PLAT 516.65 1.68 865.45 1.00 865.45 51662.56 59.69 6.73 40.16 REDWHEAT 361.75 1.75 633.74 1.00 633.74 51662.56 81.52 2.67 21.78 RICE 313.00 1.00 311.46 1.00 311.46 51662.56 165.87 10.63 176.35 ROBUSTA 412.90 1.84 758.72 1.00 758.72 51662.56 68.09 4.90 33.35 RUSSELL 103.15 0.99 102.45 1.00 102.45 51662.56 504.25 -2.79 -140.60 SHATZ 1049.65 0.07 77.41 1.08 83.97 51662.56 615.27 -18.33 -1127.75 SILVER-mini 792.50 1.79 1419.44 1.00 1419.44 51662.56 36.40 11.02 40.11 SMI 1190.20 0.66 783.27 1.10 858.43 51662.56 60.18 20.00 120.37 SOFR 2399.88 0.07 157.47 1.00 157.47 51662.56 328.08 -3.93 -128.95 SOYBEAN 595.38 0.85 507.43 1.00 507.43 51662.56 101.81 -8.28 -84.27 SOYMEAL 357.80 1.40 501.69 1.00 501.69 51662.56 102.98 -7.24 -74.58 SOYOIL 276.66 1.52 419.88 1.00 419.88 51662.56 123.04 -13.54 -166.57 SP400 2956.20 0.80 2376.70 1.00 2376.70 51662.56 21.74 -4.13 -8.99 SP500_micro 263.14 0.63 165.17 1.00 165.17 51662.56 312.79 0.83 26.03 SUGAR11 203.39 1.58 321.01 1.00 321.01 51662.56 160.94 -11.37 -182.91 US10 1085.16 0.35 377.60 1.00 377.60 51662.56 136.82 -5.37 -73.42 US10U 1116.72 0.44 496.64 1.00 496.64 51662.56 104.02 -3.71 -38.62 US2 2035.70 0.09 188.00 1.00 188.00 51662.56 274.81 -14.30 -393.00 US20 1155.31 0.64 741.06 1.00 741.06 51662.56 69.71 0.45 3.11 US30 1217.19 0.90 1094.20 1.00 1094.20 51662.56 47.22 -2.14 -10.13 US5 1056.09 0.23 242.48 1.00 242.48 51662.56 213.06 -8.40 -179.07 VIX 153.50 2.63 403.70 1.00 403.70 51662.56 127.97 -20.00 -255.94 WHEAT 362.62 1.58 572.01 1.00 572.01 51662.56 90.32 1.98 17.90 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 31.332 0.010 2.5 0.813 BITCOIN 88.114 0.043 2.5 9.542 BOBL -145.412 0.004 2.5 -1.475 BTP -26.013 0.014 2.5 -0.887 BUND -80.317 0.004 2.5 -0.814 BUXL -42.568 0.004 2.5 -0.432 CAC 45.207 0.014 2.5 1.542 CAD -166.315 0.010 2.5 -4.315 CANOLA -444.186 0.010 2.5 -10.806 CHF -134.439 0.010 2.5 -3.488 COCOA 4.805 0.009 2.5 0.103 COFFEE 18.580 0.005 2.5 0.217 COPPER 11.569 0.043 2.5 1.253 CORN -317.687 0.010 2.5 -7.729 COTTON2 -89.703 0.009 2.5 -1.921 CRUDE_W 31.858 0.043 2.5 3.450 DAX 509.206 0.014 2.5 17.368 DOW -314.865 0.009 2.5 -7.317 DX 77.457 0.010 2.5 2.010 EUR 0.028 0.010 2.5 0.001 EURIBOR-ICE -214.348 0.014 2.5 -7.311 EUROSTX 109.169 0.014 2.5 3.724 FEEDCOW -6.416 0.013 2.5 -0.213 GASOIL -27.849 0.017 2.5 -1.207 GASOLINE -4.227 0.017 2.5 -0.183 GAS_US_mini -4.926 0.043 2.5 -0.533 GBP 95.079 0.010 2.5 2.467 GOLD_micro -56.224 0.014 2.5 -1.918 HEATOIL -54.429 0.017 2.5 -2.359 JGB-SGX-mini -302.924 0.043 2.5 -32.803 JPY -123.426 0.010 2.5 -3.202 LEANHOG -152.717 0.024 2.5 -9.281 LIVECOW 161.729 0.013 2.5 5.359 LUMBER-new -545.160 0.009 2.5 -11.670 MILK 43.205 0.009 2.5 0.925 MXP 344.590 0.059 2.5 50.576 NASDAQ_micro 8.872 0.009 2.5 0.206 NIKKEI -3.633 0.043 2.5 -0.393 NZD 102.250 0.010 2.5 2.653 OAT -32.216 0.014 2.5 -1.099 OATIES -4.930 0.010 2.5 -0.120 OJ 97.333 0.009 2.5 2.085 PALLAD -12.590 0.014 2.5 -0.429 PLAT 40.164 0.014 2.5 1.370 REDWHEAT 21.784 0.005 2.5 0.289 RICE 176.347 0.010 2.5 4.290 ROBUSTA 33.349 0.005 2.5 0.389 RUSSELL -140.599 0.013 2.5 -4.659 SHATZ -1127.750 0.004 2.5 -11.436 SILVER-mini 40.108 0.014 2.5 1.368 SMI 120.365 0.014 2.5 4.105 SOFR -128.948 0.024 2.5 -7.837 SOYBEAN -84.268 0.004 2.5 -0.784 SOYMEAL -74.583 0.004 2.5 -0.694 SOYOIL -166.571 0.004 2.5 -1.551 SP400 -8.985 0.013 2.5 -0.298 SP500_micro 26.032 0.009 2.5 0.605 SUGAR11 -182.908 0.009 2.5 -3.890 US10 -73.420 0.005 2.5 -0.930 US10U -38.624 0.005 2.5 -0.489 US2 -393.003 0.005 2.5 -4.980 US20 3.110 0.005 2.5 0.039 US30 -10.126 0.005 2.5 -0.128 US5 -179.072 0.005 2.5 -2.269 VIX -255.943 0.099 2.5 -63.177 WHEAT 17.903 0.005 2.5 0.237 ===================== Position diags ===================== AUD 3.43 BITCOIN 32.32 BOBL 1.82 BTP 2.73 BUND 0.90 BUXL 0.38 CAC 3.05 CAD 4.81 CANOLA 11.69 CHF 2.21 COCOA 0.30 COFFEE 0.38 COPPER 2.80 CORN 4.71 COTTON2 1.66 CRUDE_W 6.61 DAX 13.42 DOW 8.96 DX 3.86 EUR 2.59 EURIBOR-ICE 12.74 EUROSTX 4.62 FEEDCOW 1.70 GASOIL 2.20 GASOLINE 1.52 GAS_US_mini 22.13 GBP 3.96 GOLD_micro 8.25 HEATOIL 1.70 JGB-SGX-mini 41.39 JPY 2.61 LEANHOG 7.53 LIVECOW 3.28 LUMBER-new 5.83 MILK 2.22 MXP 44.30 NASDAQ_micro 4.16 NIKKEI 25.26 NZD 3.78 OAT 3.03 OATIES 3.56 OJ 1.07 PALLAD 0.78 PLAT 2.04 REDWHEAT 1.08 RICE 4.04 ROBUSTA 0.80 RUSSELL 16.71 SHATZ 6.24 SILVER-mini 1.24 SMI 2.05 SOFR 19.94 SOYBEAN 0.95 SOYMEAL 0.96 SOYOIL 1.15 SP400 0.72 SP500_micro 7.27 SUGAR11 3.42 US10 1.73 US10U 1.32 US2 3.48 US20 0.88 US30 0.60 US5 2.70 VIX 31.59 WHEAT 1.20 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.8 0.5 1.2 0.0 0 BITCOIN 9.5 6.3 12.8 0.0 0 BOBL -1.5 -1.7 -1.3 0.0 0 BTP -0.9 -1.2 -0.6 0.0 0 BUND -0.8 -0.9 -0.7 0.0 0 BUXL -0.4 -0.5 -0.4 0.0 0 CAC 1.5 1.2 1.8 0.0 0 CAD -4.3 -4.8 -3.8 0.0 0 CANOLA -10.8 -12.0 -9.6 0.0 0 CHF -3.5 -3.7 -3.3 0.0 0 COCOA 0.1 0.1 0.1 0.0 0 COFFEE 0.2 0.2 0.3 0.0 0 COPPER 1.3 1.0 1.5 0.0 0 CORN -7.7 -8.2 -7.3 0.0 0 COTTON2 -1.9 -2.1 -1.8 0.0 0 CRUDE_W 3.4 2.8 4.1 0.0 0 DAX 17.4 16.0 18.7 0.0 0 DOW -7.3 -8.2 -6.4 0.0 0 DX 2.0 1.6 2.4 NaN 0 EUR 0.0 -0.3 0.3 0.0 0 EURIBOR-ICE -7.3 -8.6 -6.0 0.0 0 EUROSTX 3.7 3.3 4.2 0.0 0 FEEDCOW -0.2 -0.4 -0.0 0.0 0 GASOIL -1.2 -1.4 -1.0 0.0 0 GASOLINE -0.2 -0.3 -0.0 0.0 0 GAS_US_mini -0.5 -2.7 1.7 2.0 2 GBP 2.5 2.1 2.9 0.0 0 GOLD_micro -1.9 -2.7 -1.1 0.0 0 HEATOIL -2.4 -2.5 -2.2 0.0 0 JGB-SGX-mini -32.8 -36.9 -28.7 0.0 0 JPY -3.2 -3.5 -2.9 0.0 0 LEANHOG -9.3 -10.0 -8.5 0.0 0 LIVECOW 5.4 5.0 5.7 0.0 0 LUMBER-new -11.7 -12.3 -11.1 NaN 0 MILK 0.9 0.7 1.1 NaN 0 MXP 50.6 46.1 55.0 0.0 0 NASDAQ_micro 0.2 -0.2 0.6 0.0 0 NIKKEI -0.4 -2.9 2.1 0.0 0 NZD 2.7 2.3 3.0 0.0 0 OAT -1.1 -1.4 -0.8 0.0 0 OATIES -0.1 -0.5 0.2 NaN 0 OJ 2.1 2.0 2.2 0.0 0 PALLAD -0.4 -0.5 -0.4 0.0 0 PLAT 1.4 1.2 1.6 0.0 0 REDWHEAT 0.3 0.2 0.4 0.0 0 RICE 4.3 3.9 4.7 NaN 0 ROBUSTA 0.4 0.3 0.5 0.0 0 RUSSELL -4.7 -6.3 -3.0 0.0 0 SHATZ -11.4 -12.1 -10.8 NaN 0 SILVER-mini 1.4 1.2 1.5 0.0 0 SMI 4.1 3.9 4.3 0.0 0 SOFR -7.8 -9.8 -5.8 NaN 0 SOYBEAN -0.8 -0.9 -0.7 0.0 0 SOYMEAL -0.7 -0.8 -0.6 0.0 0 SOYOIL -1.6 -1.7 -1.4 0.0 0 SP400 -0.3 -0.4 -0.2 0.0 0 SP500_micro 0.6 -0.1 1.3 0.0 0 SUGAR11 -3.9 -4.2 -3.5 0.0 0 US10 -0.9 -1.1 -0.8 0.0 0 US10U -0.5 -0.6 -0.4 0.0 0 US2 -5.0 -5.3 -4.6 NaN 0 US20 0.0 -0.0 0.1 0.0 0 US30 -0.1 -0.2 -0.1 0.0 0 US5 -2.3 -2.5 -2.0 0.0 0 VIX -63.2 -66.3 -60.0 0.0 0 WHEAT 0.2 0.1 0.4 0.0 0 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 3.8 3.8 3.8 3.8 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 0.3 0.2 0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.1 -0.0 0.0 -0.3 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.1 0.1 0.4 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 0.4 0.3 -0.3 -0.2 -0.0 -0.0 BITCOIN 0.3 -0.3 0.1 0.1 -0.1 0.1 -0.0 0.1 0.0 0.0 0.4 0.2 0.6 0.1 0.1 -0.1 -0.1 -0.1 -0.2 0.1 0.2 0.1 0.5 0.1 -2.7 0.1 0.0 0.3 0.0 0.5 0.0 -0.2 0.5 0.5 -0.6 0.6 -0.4 -0.1 0.3 0.1 BOBL -0.1 -0.3 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 0.3 -0.1 0.2 0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.2 -0.2 -0.1 -0.1 -0.7 -0.6 -0.0 -0.4 BTP -0.1 -0.2 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -0.1 0.3 -0.0 -0.1 0.1 0.1 0.1 0.1 -0.0 0.0 -0.1 0.2 -0.1 -2.7 -0.0 -0.1 0.1 -0.1 0.2 -0.0 0.8 -0.0 -0.2 0.2 0.6 -0.4 -0.3 0.4 0.1 BUND -0.1 -0.3 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.2 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 0.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.0 -0.2 -0.2 -0.0 0.1 -0.7 -0.7 0.1 -0.3 BUXL -0.2 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.1 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -0.3 0.0 0.3 -0.7 -0.7 -0.4 -0.2 CAC 0.0 -0.2 0.2 0.1 -0.1 0.2 -0.0 0.3 0.0 -0.1 0.5 -0.0 0.7 0.1 0.2 -0.1 0.0 0.1 0.1 0.1 0.2 -0.1 0.5 0.0 -1.8 0.1 -0.1 0.3 -0.1 0.4 0.0 0.8 -0.4 -0.4 0.3 0.5 -0.3 0.2 -0.5 0.4 CAD 0.2 -0.0 -0.2 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 -0.4 -0.0 -0.4 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.2 -0.0 0.0 -0.2 -0.4 -0.2 -0.2 -0.2 -0.4 -0.0 -0.2 CANOLA 0.4 0.6 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 -0.1 0.1 -0.3 0.1 0.1 -0.3 -0.2 -0.3 -0.3 0.1 -0.0 0.0 -0.3 0.1 -2.7 0.0 -0.0 -0.0 0.0 -0.2 0.0 -1.1 0.0 0.3 0.1 0.1 -0.7 -0.5 -0.2 -0.1 CHF 0.2 -0.0 -0.6 -0.0 0.0 -0.0 0.0 0.0 0.0 0.1 -0.5 -0.1 -0.6 -0.1 -0.2 -0.3 -0.3 -0.3 -0.3 -0.2 -0.2 0.0 -0.4 -0.1 0.4 -0.1 0.1 -0.2 0.0 -0.2 -0.0 -1.1 -0.0 -0.4 -0.4 -0.6 0.1 -0.5 0.3 -0.4 COCOA -0.4 -0.6 -0.1 0.0 -0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.0 0.2 -0.0 0.0 0.3 0.3 0.4 0.4 0.0 0.1 0.0 0.2 0.0 -2.1 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.1 -0.3 -0.0 0.6 0.2 0.1 0.4 0.3 COFFEE 0.2 -0.2 0.3 0.0 -0.0 0.1 0.0 0.0 0.1 0.1 0.3 0.1 0.3 0.1 0.1 0.1 0.2 0.2 0.2 0.2 0.2 0.2 0.3 0.2 -2.7 0.0 0.0 0.1 0.0 0.1 0.0 0.5 0.5 -0.2 0.6 0.6 0.1 -0.6 0.4 -0.2 COPPER -0.3 0.2 0.6 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.2 -0.0 0.2 0.0 0.1 0.1 -0.1 -0.0 -0.0 0.1 0.1 -0.0 0.2 0.1 -1.2 0.0 -0.0 0.1 -0.0 0.1 0.0 0.2 -0.1 0.2 0.6 0.6 -0.4 -0.1 0.3 0.2 CORN 0.0 0.5 0.6 0.1 -0.0 0.1 0.0 0.0 0.1 -0.1 -0.1 -0.1 -0.6 0.1 0.1 -0.4 -0.2 -0.4 -0.3 0.0 -0.0 -0.1 -0.4 0.0 -2.1 0.0 -0.1 -0.0 -0.1 -0.2 0.0 -1.1 -0.5 -0.1 0.1 -0.2 -0.7 -0.7 -0.7 -0.0 COTTON2 0.2 -0.6 -0.4 0.0 -0.0 0.1 0.0 0.0 0.0 0.0 -0.2 0.0 -0.2 -0.1 -0.1 -0.0 0.1 0.1 0.1 -0.1 -0.1 0.0 -0.1 -0.1 -2.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.2 -0.6 -0.1 -0.2 -0.4 0.2 -0.0 CRUDE_W -0.2 -0.5 0.2 -0.0 -0.1 0.1 -0.1 0.2 -0.1 0.0 0.2 0.0 0.6 -0.2 0.0 0.3 0.2 0.3 0.3 -0.0 0.1 0.0 0.4 -0.1 -0.7 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.0 -0.4 -0.4 -0.2 0.2 0.7 0.5 0.7 0.6 DAX 0.2 -0.1 0.3 0.0 -0.1 0.2 -0.0 0.3 0.0 -0.2 0.5 0.1 0.7 0.1 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 -0.1 0.5 0.1 1.8 0.1 -0.1 0.3 -0.0 0.4 0.0 -0.5 -0.0 -0.1 0.3 0.6 0.0 0.2 -0.0 0.4 DOW 0.2 -0.3 -0.4 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.3 -0.1 0.5 -0.0 0.0 -0.2 -0.2 -0.2 -0.2 0.0 0.1 -0.2 0.3 -0.1 -1.7 0.0 -0.1 0.1 -0.1 0.2 -0.0 -0.5 -0.5 -0.4 -0.1 -0.4 0.2 -0.2 0.4 -0.4 DX -0.5 0.0 0.2 -0.0 0.0 -0.0 0.0 0.0 0.0 0.0 0.4 -0.1 0.5 -0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 -0.0 0.3 -0.0 -2.7 0.0 0.0 0.1 -0.0 0.2 -0.0 0.9 0.4 -0.6 0.6 0.6 0.2 0.2 0.3 0.5 EUR 0.4 0.1 -0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.1 -0.2 0.1 -0.3 0.2 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.2 0.1 2.7 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.4 -0.1 0.2 0.3 0.2 -0.7 -0.6 -0.6 -0.4 EURIBOR-ICE -0.1 -0.5 -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 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 1.6 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.2 -0.2 -0.1 -0.7 -0.7 0.1 0.3 EUROSTX 0.1 -0.2 0.3 0.0 -0.1 0.2 -0.0 0.3 0.0 -0.1 0.5 0.1 0.7 0.1 0.2 -0.2 -0.0 -0.1 -0.1 0.2 0.2 -0.1 0.5 0.1 -0.3 0.1 -0.1 0.3 -0.0 0.5 0.0 0.4 -0.0 -0.3 0.3 0.6 -0.5 0.2 -0.7 0.3 FEEDCOW 0.5 0.2 -0.2 0.1 -0.0 0.1 0.0 0.0 0.1 -0.1 0.0 0.1 -0.1 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.0 -0.0 0.1 -0.0 0.1 -0.9 0.0 -0.1 -0.0 -0.0 0.1 0.0 -1.1 -0.2 -0.2 -0.1 -0.2 0.6 0.7 0.7 0.7 GASOIL -0.2 -0.6 -0.1 -0.0 -0.1 0.0 -0.1 0.2 -0.1 -0.1 0.1 -0.1 0.5 -0.2 -0.2 -0.1 0.3 0.1 0.2 -0.1 -0.0 -0.1 0.3 -0.2 0.9 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 0.1 0.2 -0.1 -0.4 -0.4 -0.6 -0.4 -0.7 -0.7 GASOLINE -0.4 -0.6 0.2 -0.0 -0.1 0.0 -0.1 0.2 -0.1 -0.2 0.3 -0.2 0.6 -0.2 -0.0 0.4 0.3 0.4 0.3 -0.1 0.1 -0.1 0.4 -0.2 -2.7 -0.0 -0.1 0.1 -0.1 0.2 -0.1 0.0 -0.4 -0.6 -0.4 0.2 0.7 0.7 0.7 0.7 GAS_US_mini 0.6 0.6 0.6 -0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.1 -0.4 0.0 -0.6 0.1 0.0 -0.4 -0.4 -0.4 -0.4 0.1 -0.1 -0.0 -0.5 0.1 2.7 0.0 -0.1 -0.1 -0.0 -0.2 0.0 -1.1 0.2 0.6 0.6 -0.5 -0.2 -0.2 -0.5 -0.3 GBP 0.5 0.1 -0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 0.1 0.3 0.2 0.2 0.2 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 0.1 0.2 0.2 0.1 0.0 0.1 0.1 0.1 0.1 0.2 0.4 0.5 0.6 0.5 -0.6 -0.6 -0.5 -0.3 GOLD_micro -0.2 -0.3 0.6 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.3 -0.0 0.3 0.0 0.1 -0.2 -0.3 -0.3 -0.3 0.1 0.2 -0.0 0.3 0.0 -0.4 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.8 -0.1 -0.2 0.1 0.6 -0.2 -0.5 0.1 -0.2 HEATOIL -0.2 -0.6 -0.1 -0.0 -0.1 0.1 -0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.3 -0.2 -0.2 -0.2 0.3 -0.0 0.2 -0.2 -0.1 -0.1 0.2 -0.2 -2.7 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.5 -0.5 -0.6 -0.5 0.3 0.2 0.0 0.0 JGB-SGX-mini -0.4 -0.6 -0.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 0.4 0.3 0.4 0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -1.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 1.1 -0.2 -0.6 -0.5 -0.2 -0.6 -0.2 -0.0 0.4 JPY -0.1 -0.0 -0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 -0.3 -0.1 -0.4 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.1 -0.1 -0.4 -0.1 2.7 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 -0.2 -0.3 -0.5 -0.5 -0.7 -0.4 -0.6 -0.3 LEANHOG -0.6 -0.5 0.4 0.1 -0.0 0.1 0.1 0.0 0.1 -0.2 0.2 -0.2 -0.1 -0.2 -0.1 -0.0 -0.4 -0.4 -0.4 -0.2 -0.0 -0.2 -0.0 -0.2 1.1 -0.1 -0.0 0.0 -0.1 0.0 -0.1 -1.1 -0.5 -0.6 -0.6 -0.0 -0.4 -0.3 -0.2 0.3 LIVECOW 0.6 0.2 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.0 0.1 0.2 0.0 0.2 0.1 0.4 0.2 0.4 0.3 0.1 0.0 0.1 0.1 0.2 -1.0 0.1 -0.0 0.1 0.1 0.1 0.1 0.8 0.2 0.5 0.2 0.4 0.6 0.7 0.7 0.7 LUMBER-new 0.2 -0.7 -0.5 0.1 -0.0 0.1 0.1 0.0 0.1 -0.2 -0.4 -0.2 -0.6 -0.2 -0.2 -0.4 -0.4 -0.5 -0.4 -0.2 -0.2 -0.1 -0.3 -0.2 NaN -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -1.2 -0.6 -0.7 -0.7 -0.7 -0.5 -0.4 -0.2 -0.3 MILK 0.5 0.6 0.6 0.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.1 -0.3 0.1 0.1 0.3 -0.4 -0.2 -0.4 0.2 0.1 0.1 -0.2 0.2 2.1 0.0 0.0 0.0 0.0 -0.1 0.1 -1.1 0.0 0.6 0.6 0.2 -0.6 -0.7 -0.5 -0.7 MXP 0.2 -0.2 -0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.2 0.5 -0.0 0.7 0.0 0.1 0.3 0.3 0.3 0.3 0.1 0.2 -0.1 0.5 0.0 -2.7 0.1 -0.1 0.2 -0.1 0.4 0.0 1.1 -0.5 0.1 0.1 0.6 0.7 0.7 0.7 0.7 NASDAQ_micro 0.6 -0.1 -0.2 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.4 0.1 0.5 0.1 0.1 -0.2 -0.2 -0.2 -0.2 0.1 0.1 0.1 0.5 0.2 -2.7 0.0 -0.0 0.1 0.0 0.3 0.0 -0.4 0.4 0.4 0.2 -0.2 -0.0 0.0 -0.1 0.0 NIKKEI 0.1 -0.6 -0.2 0.0 -0.1 0.1 -0.0 0.2 0.0 -0.1 0.3 0.1 0.6 0.0 0.0 0.0 0.2 0.1 0.1 0.1 0.2 0.0 0.5 0.0 -2.3 0.0 -0.0 0.2 0.0 0.5 0.0 1.1 0.5 -0.5 -0.4 0.1 -0.2 -0.2 -0.2 -0.3 NZD 0.6 0.2 -0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.2 -0.1 0.2 0.0 0.0 0.0 0.0 0.0 0.1 -0.0 0.1 -0.1 0.1 0.1 0.0 0.0 0.0 0.1 -0.0 0.1 0.3 0.2 0.6 0.5 0.1 -0.1 -0.2 0.1 0.2 OAT -0.1 -0.3 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -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 -0.1 -0.1 0.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.8 -0.1 -0.2 0.0 0.2 -0.7 -0.6 0.1 -0.1 OATIES 0.0 0.6 0.3 0.0 -0.0 0.1 0.0 0.0 0.0 0.1 -0.1 -0.0 -0.3 0.0 0.0 0.2 0.1 0.2 0.1 0.1 0.0 0.0 -0.1 0.1 -2.7 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.2 0.2 0.4 0.1 -0.3 -0.0 0.1 0.4 OJ 0.6 0.6 0.2 0.1 -0.0 0.1 0.1 0.0 0.1 -0.0 0.5 0.2 0.7 0.2 0.2 0.4 0.3 0.3 0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 -0.0 0.1 0.1 0.2 0.1 0.8 0.5 0.6 0.6 0.6 0.1 0.3 0.5 0.7 PALLAD 0.1 -0.1 0.4 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.3 -0.0 1.9 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 0.3 -0.0 -0.2 -0.4 -0.4 -0.7 -0.7 -0.7 -0.5 PLAT 0.5 0.4 0.4 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.1 0.1 0.0 -0.1 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.0 0.1 1.2 0.0 -0.0 0.1 -0.0 0.0 0.0 0.1 -0.2 0.4 0.3 0.0 -0.7 -0.2 0.2 0.2 REDWHEAT 0.5 0.6 0.6 0.0 -0.0 0.1 0.0 0.0 0.1 0.1 0.1 0.1 -0.4 0.2 0.2 -0.2 -0.0 -0.1 -0.1 0.2 0.1 0.2 -0.2 0.2 -0.9 0.1 0.0 0.1 0.0 -0.0 0.1 -0.6 0.3 0.6 0.6 0.3 -0.4 -0.7 0.0 -0.6 RICE 0.3 0.6 -0.0 0.1 -0.0 0.1 0.0 0.0 0.1 -0.0 0.3 0.1 0.5 0.2 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.1 0.4 0.2 -1.6 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.0 0.1 0.6 -0.0 -0.2 -0.2 -0.1 0.0 ROBUSTA -0.1 -0.6 -0.3 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 0.4 0.4 0.4 0.1 0.1 0.2 0.4 0.1 -2.7 0.0 0.0 0.1 0.0 0.2 0.0 1.1 0.5 -0.1 0.5 0.6 -0.1 -0.4 0.2 0.1 RUSSELL 0.2 -0.1 0.1 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.3 -0.0 0.4 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.1 -0.0 0.2 0.0 -0.3 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.0 0.0 -0.3 0.0 -0.3 -0.2 -0.7 -0.2 -0.7 SHATZ -0.1 -0.4 -0.6 -0.0 -0.0 -0.0 -0.0 -0.1 -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 -0.3 -0.1 1.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.1 -0.3 -0.3 -0.4 -0.7 -0.7 -0.6 -0.6 SILVER-mini 0.5 0.3 0.6 0.0 -0.0 0.1 -0.0 0.0 0.0 0.0 0.3 0.1 0.2 0.1 0.1 -0.1 -0.1 -0.1 -0.1 0.2 0.1 0.1 0.2 0.2 0.3 0.0 -0.0 0.1 0.0 0.1 0.0 -0.1 0.4 0.6 0.5 0.6 -0.3 -0.4 0.4 0.1 SMI 0.6 0.3 0.4 0.0 -0.0 0.2 -0.0 0.2 0.0 -0.1 0.5 0.1 0.5 0.2 0.2 -0.1 0.1 -0.0 0.0 0.2 0.2 0.1 0.4 0.2 2.0 0.1 -0.0 0.2 0.0 0.2 0.1 0.8 0.4 0.6 0.6 0.2 0.4 0.0 0.4 -0.0 SOFR 0.3 -0.1 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.4 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.2 0.1 0.3 0.0 -0.0 -0.1 -0.7 0.4 -0.0 SOYBEAN 0.1 0.5 0.3 0.1 -0.0 0.1 0.0 0.0 0.1 -0.1 -0.2 -0.1 -0.2 0.1 0.1 0.0 0.2 0.0 0.1 0.1 -0.0 -0.1 -0.2 0.1 -2.7 0.0 -0.1 0.0 -0.0 -0.1 0.0 0.2 -0.1 0.3 0.1 -0.1 -0.6 -0.7 -0.5 -0.7 SOYMEAL 0.1 0.6 0.3 0.0 -0.0 0.1 0.0 0.0 0.0 -0.1 -0.2 -0.1 -0.3 0.1 0.1 0.1 0.1 0.0 0.0 0.1 0.0 -0.0 -0.1 0.1 -2.7 0.0 -0.0 0.0 0.0 -0.0 0.0 0.0 -0.1 0.3 0.6 0.1 -0.7 -0.7 -0.7 -0.7 SOYOIL 0.5 -0.1 0.3 0.0 -0.0 0.1 0.0 0.0 0.0 0.0 -0.2 0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 0.0 -2.7 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.6 0.0 -0.0 -0.6 -0.2 -0.7 -0.6 -0.2 0.1 SP400 0.1 -0.2 0.2 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.4 -0.1 0.5 0.0 0.1 -0.2 -0.1 -0.1 -0.1 0.1 0.1 -0.1 0.4 -0.0 -1.8 0.0 -0.0 0.2 -0.0 0.2 0.0 0.0 -0.1 -0.2 -0.1 0.0 -0.2 -0.4 -0.2 -0.7 SP500_micro 0.5 -0.2 0.0 0.0 -0.0 0.1 -0.0 0.2 0.0 -0.1 0.5 0.1 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.0 0.5 0.1 -2.7 0.1 -0.0 0.2 -0.0 0.4 0.0 -0.5 0.2 0.2 0.2 0.1 0.1 -0.1 0.2 -0.1 SUGAR11 -0.2 -0.6 -0.6 0.0 -0.0 0.1 0.0 0.0 0.1 -0.1 -0.4 -0.1 -0.2 -0.2 -0.2 0.0 0.3 0.1 0.2 -0.2 -0.2 -0.1 -0.3 -0.2 -2.7 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.7 -0.5 -0.6 -0.6 -0.6 0.7 0.5 0.7 0.7 US10 0.3 -0.1 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 0.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.3 0.1 0.2 0.0 0.0 -0.3 -0.7 0.1 0.1 US10U 0.3 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.3 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.1 0.3 0.1 0.1 -0.3 -0.6 0.6 0.3 US2 0.1 -0.3 -0.6 -0.0 -0.0 -0.1 -0.0 -0.1 -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 -0.4 -0.1 1.8 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -1.1 -0.1 -0.1 -0.2 -0.3 -0.5 -0.7 -0.3 -0.7 US20 0.3 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -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 -0.0 0.0 0.3 0.1 0.3 0.2 0.2 -0.5 -0.4 0.7 0.5 US30 0.3 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.2 0.3 0.2 0.2 -0.6 -0.4 0.4 0.6 US5 0.3 -0.2 -0.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.3 -0.0 -0.1 -0.2 -0.2 -0.2 -0.2 -0.1 -0.1 -0.1 -0.3 -0.1 0.8 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.6 0.0 0.1 -0.0 -0.1 -0.3 -0.7 -0.0 -0.2 VIX -0.5 -0.6 0.4 -0.1 0.0 -0.3 -0.0 -0.5 -0.1 0.2 -0.9 -0.2 -1.2 -0.3 -0.3 -0.6 -0.6 -0.6 -0.6 -0.3 -0.3 -0.1 -0.9 -0.3 NaN -0.1 -0.0 -0.3 -0.1 -0.5 -0.1 NaN NaN NaN NaN NaN -1.1 -1.1 NaN NaN WHEAT 0.5 0.6 0.6 0.0 -0.0 0.1 0.0 0.0 0.1 0.1 0.2 0.1 -0.3 0.2 0.1 -0.3 -0.3 -0.3 -0.3 0.2 0.1 0.1 -0.1 0.2 0.1 0.1 -0.0 0.1 0.0 -0.0 0.1 -1.1 0.1 0.6 0.6 0.3 -0.3 -0.7 -0.2 -0.7 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset1000 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 skewabs180 skewabs365 skewrv180 skewrv365 AUD 7.8 7.1 3.5 -0.5 0.5 -1.2 1.5 0.8 1.7 -6.3 -1.3 1.2 -7.2 11.4 9.8 -2.8 -2.8 -2.7 -2.8 5.8 1.7 1.6 -2.8 6.3 3.2 3.8 -0.4 1.8 0.7 -0.5 3.6 -0.4 -5.4 2.9 13.6 9.8 -7.8 -7.5 -1.1 -0.1 BITCOIN 8.7 -9.5 3.6 5.0 -10.0 4.5 -4.3 2.5 2.0 4.6 15.2 15.6 17.1 8.9 11.1 -6.6 -7.2 -7.2 -7.6 12.4 20.0 11.1 20.0 11.5 -20.0 6.5 2.0 11.9 3.6 14.5 4.3 -3.5 20.0 17.0 -19.1 20.0 -12.4 -2.1 9.1 2.6 BOBL -3.5 -10.6 -11.3 -1.8 -2.6 -1.9 -2.3 -1.9 -1.6 -7.2 -7.0 -7.3 -5.2 -7.6 -8.4 13.9 -4.5 8.7 0.6 -7.9 -6.8 -8.7 -5.8 -7.9 4.4 -3.0 -4.0 -2.2 -3.9 -1.6 -3.4 0.8 -6.6 -7.7 -4.3 -2.5 -20.0 -17.7 -0.8 -10.7 BTP -2.7 -7.2 -3.5 -3.1 -4.3 -3.1 -3.8 -3.1 -2.6 -9.9 9.1 -9.9 9.3 -4.2 -5.4 4.7 5.8 4.8 5.0 -1.5 3.3 -8.8 6.1 -4.7 -20.0 -0.2 -9.0 3.8 -7.0 5.7 -3.6 15.0 -1.8 -6.0 6.8 18.0 -12.2 -10.0 11.7 2.5 BUND -2.9 -9.0 -7.3 -2.0 -2.8 -2.1 -2.5 -2.1 -1.7 -7.8 -3.9 -7.7 -2.6 -7.7 -8.4 -9.3 -1.6 -8.2 -5.4 -6.2 -4.7 -9.0 -4.1 -7.0 1.8 -2.7 -6.2 -1.3 -5.3 -0.9 -3.9 0.1 -6.5 -6.7 -0.8 3.0 -20.0 -19.9 1.8 -9.6 BUXL -4.9 -9.0 -3.0 -2.5 -3.5 -2.5 -3.0 -2.5 -2.1 -10.4 -2.3 -10.3 -2.9 -9.2 -9.5 -8.8 -3.4 -7.7 -5.7 -6.8 -4.5 -11.8 -4.9 -8.5 -2.1 -2.6 -9.4 -0.5 -7.2 -0.5 -4.8 -1.7 -8.7 -10.5 0.9 8.3 -20.0 -20.0 -11.1 -7.1 CAC 1.1 -7.3 7.4 4.9 -6.3 7.4 -2.2 8.1 2.5 -15.6 20.0 -2.2 20.0 6.5 17.8 -3.6 1.8 4.8 4.2 13.5 20.0 -15.4 20.0 0.4 -13.5 7.0 -11.0 10.9 -6.6 11.2 0.7 15.6 -17.7 -11.2 9.8 15.6 -8.6 7.1 -14.1 10.8 CAD 5.8 -0.8 -5.5 -0.7 0.6 -1.5 1.9 1.0 2.2 -2.6 -13.1 -1.9 -12.5 -1.8 -10.2 -3.2 -2.5 -3.0 -2.7 -6.3 -8.5 -2.9 -8.6 -2.8 -0.9 -4.3 -2.7 -5.6 -2.7 -5.5 -2.3 0.0 -9.6 -11.8 -6.8 -6.7 -6.1 -11.4 -0.5 -7.4 CANOLA 12.6 17.4 20.0 3.3 -1.0 2.1 2.6 0.3 3.8 -3.1 -3.0 8.2 -7.7 10.2 10.2 -15.0 -8.9 -15.3 -13.7 8.1 -0.3 5.3 -9.4 9.7 -20.0 2.9 -1.7 -0.5 1.4 -4.4 3.3 -20.0 0.4 9.0 1.9 3.9 -20.0 -16.3 -5.0 -4.3 CHF 7.6 -1.5 -20.0 -0.6 0.6 -1.4 1.8 0.9 2.0 8.3 -20.0 -5.4 -15.7 -10.8 -20.0 -17.2 -16.2 -16.8 -16.4 -19.4 -20.0 0.4 -16.6 -9.0 3.0 -7.1 8.0 -8.1 0.5 -5.1 -3.5 -20.0 -2.1 -11.0 -12.0 -20.0 2.3 -15.5 9.1 -12.6 COCOA -13.3 -20.0 -3.3 1.9 -0.6 1.2 1.5 0.1 2.1 5.8 3.3 4.1 4.9 -3.0 1.2 14.5 14.9 19.8 19.7 1.5 5.8 5.2 6.8 0.2 -15.6 1.4 0.8 3.3 0.4 4.0 0.1 20.0 6.2 -8.1 -1.5 20.0 7.1 1.6 11.2 7.8 COFFEE 5.6 -7.7 9.7 4.6 -1.4 2.9 3.6 0.4 5.3 14.8 9.7 13.7 9.4 5.1 5.0 4.7 8.1 8.3 9.1 14.3 14.5 20.0 11.6 19.9 -20.0 4.2 3.5 4.9 4.1 4.1 3.5 8.7 20.0 -7.2 20.0 20.0 2.0 -16.7 12.2 -5.8 COPPER -9.8 5.4 20.0 2.2 -4.5 2.0 -1.9 1.1 0.9 -8.3 8.5 -1.5 5.5 4.5 7.9 3.1 -3.4 -0.1 -2.3 12.0 11.0 -2.9 6.7 6.8 -8.8 3.2 -2.9 3.0 -1.2 1.8 1.7 4.0 -6.2 5.9 20.0 17.9 -10.8 -2.7 10.1 7.0 CORN 1.0 14.0 17.7 5.3 -1.7 3.4 4.2 0.4 6.1 -13.7 -5.3 -8.3 -16.6 6.1 10.0 -18.3 -11.8 -18.8 -16.8 3.7 -3.4 -9.8 -14.0 0.9 -15.7 2.8 -10.0 -1.6 -4.7 -6.4 1.5 -20.0 -19.4 -4.1 2.1 -6.8 -20.0 -20.0 -20.0 -0.7 COTTON2 5.6 -20.0 -13.5 3.0 -0.9 1.9 2.4 0.2 3.4 1.4 -7.4 4.3 -4.4 -6.3 -8.9 -1.1 3.2 5.0 4.3 -10.6 -8.2 1.7 -3.8 -4.8 -18.7 -2.5 -0.9 -0.9 -0.5 0.6 -1.8 -0.4 0.7 -7.4 -20.0 -2.6 -6.8 -12.6 6.8 -0.4 CRUDE_W -6.4 -16.5 5.1 -2.5 -8.9 2.0 -6.0 4.6 -5.5 0.4 7.8 0.7 15.5 -14.9 3.9 12.7 12.1 13.9 13.1 -1.1 8.3 0.3 14.7 -5.3 -5.4 -3.5 -12.4 2.5 -12.2 6.1 -9.3 -0.2 -15.9 -13.1 -5.7 5.3 20.0 16.4 20.0 19.1 DAX 7.4 -1.8 9.6 4.4 -5.6 6.5 -2.0 7.2 2.2 -18.2 20.0 5.4 20.0 10.9 17.3 -10.7 -11.5 -11.5 -12.0 19.6 20.0 -6.2 20.0 8.7 13.6 7.4 -6.5 10.6 -2.5 10.3 2.6 -9.6 -1.8 -2.1 9.7 20.0 0.2 6.2 -0.7 13.5 DOW 5.0 -8.0 -13.1 3.2 -4.0 4.7 -1.4 5.2 1.6 -14.5 12.3 -9.1 12.9 -1.3 0.3 -11.2 -11.2 -11.7 -11.8 1.7 7.7 -20.0 12.6 -6.5 -12.4 1.7 -11.6 4.3 -9.2 6.3 -2.1 -9.0 -20.0 -12.9 -3.0 -12.4 6.2 -5.5 11.6 -11.3 DX -14.8 0.5 7.3 -0.6 0.6 -1.4 1.9 1.0 2.1 3.4 14.6 -6.3 13.5 -5.5 9.2 7.2 6.8 7.3 7.0 4.8 10.8 -2.8 10.9 -3.3 -20.0 2.3 0.1 5.0 -1.4 5.2 -1.7 16.3 16.0 -20.0 17.0 20.0 6.1 7.3 8.6 16.3 EUR 12.4 2.5 -2.7 -0.7 0.6 -1.5 2.0 1.0 2.2 -7.7 -7.5 8.2 -9.2 14.4 0.2 -7.4 -7.0 -7.2 -6.9 1.4 -4.2 2.7 -5.6 6.4 20.0 2.6 -2.2 0.1 1.6 -0.9 4.6 -7.4 -5.5 6.9 8.5 7.4 -20.0 -18.1 -18.7 -13.4 EURIBOR-ICE -2.1 -15.0 -16.9 -1.7 -2.4 -1.7 -2.1 -1.8 -1.5 -6.3 -1.4 -6.7 0.4 -6.9 -7.4 -6.9 -4.7 -5.6 -4.5 -6.9 -4.2 -8.0 -1.2 -7.2 11.9 -2.7 -3.1 -1.4 -3.3 -0.1 -3.0 -1.9 -7.3 -5.7 -6.6 -3.0 -20.0 -20.0 2.4 9.2 EUROSTX 3.9 -6.4 8.3 4.6 -5.9 6.9 -2.1 7.6 2.3 -13.6 20.0 5.8 20.0 10.7 19.6 -8.3 -1.4 -5.8 -3.0 18.1 20.0 -6.9 20.0 6.0 -2.0 7.9 -6.6 12.4 -3.1 13.1 2.3 7.4 -1.7 -7.7 10.6 20.0 -14.9 5.3 -20.0 8.5 FEEDCOW 14.3 4.7 -6.0 5.7 -1.8 3.6 4.5 0.4 6.5 -6.6 0.8 11.1 -2.6 13.0 0.6 -19.7 -20.0 -20.0 -20.0 3.5 -1.9 12.3 -0.4 12.5 -7.1 1.1 -7.9 -0.1 -1.6 2.3 2.4 -20.0 -9.3 -5.9 -2.2 -6.9 18.7 20.0 20.0 20.0 GASOIL -5.6 -20.0 -2.6 -2.3 -8.1 1.8 -5.4 4.2 -5.0 -14.5 3.2 -12.1 14.2 -20.0 -16.1 -3.8 15.7 3.6 10.3 -11.9 -0.6 -10.0 11.6 -14.1 6.9 -5.3 -5.6 -0.8 -4.2 3.9 -6.0 1.9 7.9 -2.4 -12.7 -11.3 -16.7 -10.7 -20.0 -20.0 GASOLINE -12.8 -20.0 5.9 -2.3 -8.2 1.8 -5.4 4.2 -5.1 -18.2 11.1 -16.8 16.0 -20.0 -1.1 18.9 13.9 18.0 13.2 -6.4 6.8 -15.6 14.2 -15.6 -20.0 -3.9 -11.5 1.9 -11.4 5.6 -9.1 0.5 -17.8 -20.0 -10.9 5.7 20.0 20.0 20.0 20.0 GAS_US_mini 18.7 20.0 19.7 -1.7 -5.9 1.3 -3.9 3.0 -3.7 -14.1 -13.8 1.7 -16.6 7.9 2.2 -20.0 -20.0 -20.0 -20.0 5.7 -6.8 -0.5 -20.0 9.5 20.0 2.1 -7.3 -2.7 -1.2 -5.7 3.9 -20.0 7.1 20.0 20.0 -16.7 -6.5 -5.6 -13.5 -10.5 GBP 16.5 2.7 -3.5 -0.7 0.6 -1.5 2.0 1.1 2.3 5.9 10.3 20.0 5.3 20.0 5.1 -1.0 -0.8 -1.0 -0.8 8.4 2.9 14.9 3.3 16.7 1.3 5.7 3.0 3.5 7.7 2.9 8.9 3.1 18.7 16.0 17.0 14.0 -16.7 -16.8 -16.2 -8.3 GOLD_micro -7.1 -7.9 20.0 2.6 -5.3 2.4 -2.2 1.3 1.0 -8.2 10.1 -4.0 9.4 0.7 9.0 -11.4 -14.1 -12.7 -13.5 10.3 14.0 -4.6 11.7 2.3 -3.2 3.1 -3.3 4.5 -2.7 3.9 0.1 -14.6 -4.0 -6.8 2.9 18.2 -7.0 -13.7 1.8 -6.2 HEATOIL -5.4 -19.2 -4.4 -2.4 -8.6 1.9 -5.7 4.4 -5.3 -15.7 -5.4 -12.4 8.4 -20.0 -19.4 -9.0 15.1 -0.6 7.8 -15.5 -5.6 -13.2 6.1 -17.1 -20.0 -6.9 -14.5 -1.8 -13.2 3.2 -10.4 -0.6 -20.0 -16.8 -20.0 -16.4 8.0 5.8 1.0 0.9 JGB-SGX-mini -11.8 -18.3 -16.2 -2.3 -3.3 -2.4 -2.9 -2.4 -2.0 -7.4 -2.2 -10.4 1.5 -11.1 -11.2 20.0 17.4 18.8 16.9 -12.6 -8.0 -13.2 -2.2 -13.6 -9.9 -4.0 -3.7 -2.8 -4.1 -1.5 -4.2 20.0 -7.2 -18.1 -15.4 -5.6 -17.3 -6.8 -0.2 12.8 JPY -4.5 -0.7 -2.8 -0.3 0.3 -0.6 0.9 0.4 0.9 -5.3 -10.7 -9.2 -11.0 -9.7 -10.2 -14.1 -16.3 -15.4 -15.9 -11.5 -13.6 -5.9 -15.6 -8.4 20.0 -3.8 -0.8 -4.3 -1.7 -4.6 -2.6 -20.0 -6.4 -10.5 -15.2 -16.2 -20.0 -10.9 -18.2 -10.4 LEANHOG -20.0 -16.9 12.0 7.2 -2.2 4.5 5.6 0.6 8.2 -20.0 6.8 -20.0 -2.9 -20.0 -13.1 -2.5 -20.0 -20.0 -20.0 -19.4 -0.9 -20.0 -1.3 -20.0 8.5 -5.3 -4.7 1.1 -9.8 1.2 -10.4 -20.0 -20.0 -20.0 -20.0 -1.5 -11.9 -10.5 -4.9 8.6 LIVECOW 18.7 6.2 -0.0 5.8 -1.8 3.6 4.6 0.5 6.7 -0.7 4.0 14.9 1.0 15.3 4.8 20.0 8.6 20.0 16.0 9.9 3.0 16.0 2.4 18.8 -7.2 5.0 -1.5 3.2 4.9 4.0 7.2 14.1 8.3 15.3 4.8 11.7 18.9 20.0 20.0 20.0 LUMBER-new 4.6 -20.0 -12.3 5.8 -1.8 3.7 4.6 0.8 6.6 -15.8 -11.4 -14.1 -13.8 -15.4 -16.0 -19.4 -17.9 -20.0 -19.3 -20.0 -17.5 -10.9 -10.2 -15.5 NaN -5.9 -4.6 -4.5 -3.8 -2.1 -4.5 -20.0 -20.0 -20.0 -20.0 -20.0 -14.1 -10.9 -5.5 -6.8 MILK 16.7 20.0 20.0 3.9 -1.2 2.5 3.1 0.3 4.5 -1.0 1.1 8.2 -8.8 12.6 12.0 12.8 -20.0 -8.0 -20.0 18.7 6.5 8.9 -8.1 18.8 15.7 4.1 2.2 1.2 3.5 -2.0 4.8 -20.0 0.8 20.0 20.0 7.2 -19.0 -20.0 -15.7 -20.0 MXP 7.1 -5.3 -3.6 -0.6 0.6 -1.4 1.9 1.0 2.1 -20.0 18.1 -4.5 20.0 3.7 8.6 16.3 17.1 16.8 16.7 10.2 16.7 -9.4 20.0 4.0 -20.0 5.0 -12.4 8.0 -5.0 11.5 1.5 20.0 -19.4 3.3 4.1 20.0 20.0 20.0 20.0 20.0 NASDAQ_micro 20.0 -3.7 -5.7 2.9 -3.7 4.3 -1.3 4.7 1.4 -7.2 13.8 10.1 14.4 12.8 11.5 -10.8 -10.4 -10.8 -10.8 12.5 13.8 10.1 19.0 15.3 -20.0 3.5 -1.7 4.9 2.1 7.8 4.1 -7.5 15.0 11.3 7.2 -6.3 -0.7 1.3 -1.8 1.3 NIKKEI 3.1 -20.0 -5.7 3.7 -6.0 5.2 -1.1 5.6 2.3 -9.0 12.3 6.1 15.5 1.3 3.5 1.5 8.4 3.2 5.8 4.8 15.9 1.7 20.0 2.5 -17.2 2.2 -2.5 8.1 0.6 13.3 0.9 20.0 20.0 -16.5 -11.1 3.4 -6.1 -7.2 -6.4 -9.8 NZD 18.5 7.4 -4.4 -0.5 0.4 -1.1 1.5 0.8 1.6 4.9 -1.4 14.3 -4.1 14.7 4.0 0.1 0.2 0.1 0.2 6.1 -0.3 10.4 -2.9 12.6 1.0 3.1 1.8 0.3 4.9 -0.6 5.9 4.8 6.5 17.7 16.6 4.0 -1.7 -4.9 3.8 6.1 OAT -2.2 -8.5 -7.4 -2.2 -3.1 -2.2 -2.7 -2.3 -1.9 -8.5 -1.7 -8.3 -0.9 -6.9 -8.2 5.7 6.1 5.6 5.5 -5.7 -3.7 -9.3 -2.7 -6.7 2.1 -2.6 -7.7 -0.8 -6.2 -0.1 -4.1 15.6 -6.2 -6.6 1.2 5.0 -20.0 -18.6 2.9 -2.3 OATIES 0.4 20.0 10.4 3.1 -1.0 2.0 2.5 0.2 3.6 8.7 -2.8 -2.6 -7.7 3.7 4.3 8.0 2.6 9.7 6.7 5.6 1.0 5.1 -3.2 5.4 -20.0 2.6 2.3 1.1 2.1 -0.3 2.7 0.8 -9.1 5.7 13.5 4.3 -8.4 -1.5 4.2 13.0 OJ 20.0 20.0 6.9 6.6 -2.0 4.1 5.2 0.5 7.6 -4.5 18.1 18.6 20.0 20.0 20.0 19.7 13.7 12.5 11.5 20.0 20.0 20.0 20.0 20.0 -20.0 7.3 -1.5 5.0 6.1 6.1 9.5 15.3 19.9 20.0 20.0 20.0 4.2 8.9 16.4 20.0 PALLAD 2.1 -2.9 10.9 2.2 -4.5 2.0 -1.9 1.1 0.9 -8.7 -4.3 -5.1 -8.2 -5.6 -0.2 -2.7 -2.2 -2.4 -2.2 -2.3 -4.0 -5.4 -10.1 -3.1 14.4 -1.4 -7.7 -1.6 -6.4 -3.9 -3.1 5.6 -1.0 -7.5 -12.5 -11.2 -20.0 -20.0 -20.0 -14.8 PLAT 15.2 12.5 13.5 2.9 -5.8 2.6 -2.5 1.4 1.1 -7.3 5.2 3.6 -4.1 7.3 8.0 -4.9 -4.0 -4.8 -4.5 11.9 7.0 4.3 1.7 11.7 9.3 3.6 -3.9 2.5 -1.2 1.1 2.6 2.1 -8.1 12.2 9.9 0.2 -20.0 -7.5 5.7 6.0 REDWHEAT 14.5 20.0 20.0 4.6 -1.4 2.9 3.6 0.4 5.3 7.7 5.5 12.5 -10.8 15.3 14.4 -10.9 -2.1 -6.8 -3.9 20.0 8.4 18.7 -6.3 20.0 -6.8 5.1 0.5 2.0 3.5 -1.0 5.7 -11.0 12.0 20.0 20.0 10.0 -11.8 -20.0 0.0 -18.7 RICE 9.4 20.0 -0.4 4.9 -1.5 3.1 3.8 0.4 5.6 -2.3 12.3 8.6 12.7 17.1 15.3 20.0 20.0 20.0 20.0 18.3 14.6 6.6 13.0 16.3 -11.7 3.8 1.6 2.3 2.7 1.8 4.3 20.0 1.0 1.8 20.0 -1.2 -6.4 -4.7 -4.4 0.6 ROBUSTA -1.8 -20.0 -9.2 2.4 -0.8 1.5 1.9 0.2 2.8 7.9 6.4 6.9 7.6 2.1 3.4 15.3 20.0 18.9 20.0 8.9 12.1 19.8 13.1 11.1 -20.0 2.7 2.5 4.0 2.7 4.3 2.0 20.0 20.0 -1.7 14.9 20.0 -3.0 -12.5 5.4 4.0 RUSSELL 7.3 -3.2 3.0 3.3 -4.2 4.9 -1.5 5.3 1.6 -8.0 12.0 -2.7 11.1 5.6 3.5 -7.4 -6.6 -7.0 -6.8 4.2 6.5 -4.8 7.2 1.7 -2.0 2.8 -3.3 4.1 -2.7 4.6 1.0 -0.7 0.7 -7.8 0.4 -9.7 -5.0 -20.0 -6.1 -20.0 SHATZ -2.9 -12.1 -18.2 -1.8 -2.6 -1.8 -2.2 -1.9 -1.5 -6.6 -9.0 -7.4 -8.7 -8.2 -9.0 -20.0 -20.0 -20.0 -20.0 -11.6 -12.3 -8.3 -12.3 -9.6 7.6 -3.4 -1.9 -3.1 -2.6 -2.7 -3.0 -20.0 -5.5 -9.2 -8.9 -11.0 -20.0 -20.0 -17.4 -16.6 SILVER-mini 16.6 8.4 20.0 2.6 -5.2 2.4 -2.2 1.3 1.0 3.3 9.4 9.2 6.5 9.6 10.2 -6.2 -6.7 -6.5 -6.6 16.6 12.4 14.5 7.2 18.0 2.2 3.9 -1.6 3.4 1.0 2.3 3.2 -2.1 17.9 20.0 16.3 18.3 -9.5 -13.2 11.0 4.4 SMI 20.0 8.2 11.7 3.8 -4.9 5.8 -1.7 6.3 1.9 -7.0 17.3 13.1 14.7 14.9 15.4 -3.0 2.8 -1.2 1.3 20.0 19.0 8.2 13.4 20.0 15.0 6.8 -1.0 6.5 1.7 4.8 5.4 14.7 15.9 17.5 19.1 7.1 10.6 0.4 11.4 -1.0 SOFR 10.6 -3.6 -11.1 -2.5 -3.5 -2.5 -3.1 -2.5 -2.1 -6.8 -3.4 -5.9 -4.4 -1.7 -6.6 -3.9 -1.1 -2.9 -1.8 -5.4 -7.0 -7.2 -6.6 -3.5 -2.8 -1.1 -1.2 -1.7 -1.0 -1.5 0.1 3.5 3.7 8.2 0.5 -0.1 -3.2 -20.0 12.3 -0.5 SOYBEAN 4.6 14.9 9.8 5.7 -1.8 3.5 4.4 0.4 6.5 -16.5 -6.8 -6.1 -5.7 9.1 11.2 1.1 8.5 1.0 3.6 6.9 -1.7 -6.2 -8.4 5.7 -20.0 4.2 -5.6 0.5 -0.8 -1.9 4.1 4.3 -5.7 7.8 1.7 -1.7 -17.6 -20.0 -14.9 -20.0 SOYMEAL 2.3 20.0 10.0 3.9 -1.2 2.4 3.0 0.3 4.4 -11.6 -7.2 -6.5 -8.5 5.6 5.6 5.2 6.1 1.1 1.7 7.9 0.1 -5.0 -5.3 5.9 -20.0 3.5 -1.7 0.9 0.6 -0.6 3.3 0.4 -3.1 10.1 20.0 2.9 -20.0 -20.0 -20.0 -20.0 SOYOIL 14.5 -3.9 7.7 3.0 -0.9 1.9 2.4 0.2 3.5 2.0 -8.5 6.9 -9.1 -2.4 -4.6 -5.5 -0.8 -6.4 -4.8 -3.7 -7.3 4.3 -9.1 1.2 -20.0 -1.9 -0.1 -2.3 0.6 -2.4 -0.4 -11.1 1.2 -1.5 -19.9 -7.4 -20.0 -17.1 -7.4 1.7 SP400 3.4 -7.6 7.1 3.5 -4.4 5.2 -1.6 5.7 1.7 -9.9 14.1 -5.9 13.8 3.6 6.6 -8.1 -5.8 -6.7 -6.1 6.6 13.2 -11.0 15.2 -0.9 -13.7 3.6 -3.8 6.2 -3.7 6.9 0.4 0.7 -4.4 -7.7 -2.0 0.7 -5.1 -10.9 -4.5 -20.0 SP500_micro 15.3 -5.9 0.3 3.7 -4.7 5.5 -1.6 6.0 1.8 -15.0 17.7 8.7 17.8 14.0 14.1 -12.4 -11.9 -12.5 -12.4 15.1 20.0 2.0 20.0 12.4 -20.0 5.0 -4.4 7.7 -0.4 10.0 3.6 -10.1 6.3 7.2 5.1 3.0 2.6 -1.6 5.9 -1.5 SUGAR11 -6.6 -18.8 -20.0 4.3 -1.3 2.7 3.4 0.3 4.9 -10.2 -14.6 -12.9 -5.4 -14.9 -15.1 0.3 13.0 4.3 8.8 -20.0 -20.0 -11.7 -10.5 -18.5 -20.0 -5.6 -3.7 -4.8 -4.7 -2.4 -5.5 13.1 -19.1 -20.0 -20.0 -20.0 20.0 14.3 20.0 20.0 US10 8.3 -3.5 -7.9 -2.1 -3.0 -2.2 -2.6 -2.2 -1.8 -5.8 -3.8 -5.3 -5.9 -2.4 -6.2 -5.9 -7.2 -6.0 -6.7 -5.0 -6.6 -7.4 -8.3 -3.9 2.7 -1.1 -1.2 -1.6 -1.2 -2.1 -0.3 -6.4 3.3 5.4 1.0 0.5 -9.7 -20.0 3.6 2.1 US10U 8.8 -3.4 -7.4 -3.2 -4.5 -3.2 -3.9 -3.2 -2.7 -8.7 -5.3 -7.4 -8.4 -3.2 -9.3 -5.7 -2.1 -4.9 -3.5 -7.3 -9.9 -10.3 -12.8 -5.3 0.4 -1.4 -2.3 -2.3 -2.0 -3.2 -0.3 1.2 5.3 8.4 2.6 2.6 -9.6 -17.3 17.9 9.3 US2 4.0 -9.7 -17.9 -2.1 -2.9 -2.1 -2.6 -2.1 -1.7 -6.4 -8.7 -7.4 -9.4 -6.9 -8.8 -20.0 -20.0 -20.0 -20.0 -10.4 -12.3 -9.0 -14.2 -8.0 13.5 -2.9 -2.1 -3.0 -3.0 -3.1 -2.5 -20.0 -2.2 -3.1 -6.0 -9.0 -14.0 -20.0 -8.7 -20.0 US20 10.1 -2.8 -4.3 -2.3 -3.2 -2.3 -2.8 -2.3 -1.9 -6.3 -0.5 -4.7 -3.8 -0.5 -5.1 -0.9 -0.7 -0.5 -0.5 -3.5 -5.0 -7.3 -7.3 -2.7 -1.0 0.3 -1.1 -0.4 -0.2 -1.3 1.1 4.7 5.8 9.4 4.8 6.0 -14.3 -12.9 20.0 14.6 US30 9.7 -3.1 -3.6 -2.7 -3.8 -2.7 -3.3 -2.7 -2.3 -7.7 -2.3 -5.5 -5.9 -1.8 -6.7 -3.2 -4.9 -3.5 -4.5 -4.6 -6.5 -8.3 -9.5 -3.4 -0.3 -0.1 -2.0 -1.0 -0.9 -2.2 0.8 -2.5 6.5 9.8 4.8 7.7 -18.0 -11.8 11.3 16.8 US5 8.1 -4.9 -11.9 -2.2 -3.1 -2.3 -2.7 -2.3 -1.9 -6.4 -7.3 -6.3 -8.1 -4.2 -7.6 -10.0 -10.1 -9.8 -9.9 -6.9 -8.7 -8.1 -10.0 -5.1 6.2 -1.8 -1.7 -2.3 -2.0 -2.4 -1.1 -11.6 1.3 3.4 -1.5 -3.2 -8.8 -20.0 -0.1 -7.2 VIX -10.5 -11.7 8.4 -6.7 0.0 -6.7 -2.8 -7.9 -5.8 11.7 -20.0 -13.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -6.0 -20.0 -18.9 NaN -7.6 -0.6 -7.6 -3.6 -9.5 -7.0 NaN NaN NaN NaN NaN -20.0 -20.0 NaN NaN WHEAT 15.6 20.0 20.0 4.2 -1.3 2.6 3.3 0.3 4.8 5.9 8.3 11.9 -8.2 14.2 13.5 -14.9 -13.8 -16.3 -15.3 20.0 9.8 12.3 -3.8 20.0 1.0 4.6 -0.3 2.1 2.5 -0.3 5.0 -20.0 5.4 20.0 20.0 9.7 -10.1 -20.0 -4.7 -20.0 End of report for caleb_strategy_v3