******************************************************************************** Strategy report for caleb_strategy_v3 backtest timestamp 20240617_204006 produced at 2024-06-17 21:38:26.684633 ******************************************************************************** ======================================================================================================================================================================================================================================================================================= 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 VIX False False 0.00 -0.28 -0.33 0.0 999.00 -999.00 -0.28 -0.28 -66.38 999999999.0 -56 -56 caleb_strategy_v3 EURIBOR-ICE False False 0.08 -0.65 -0.26 0.0 0.81 -0.81 -0.65 -0.65 -3.14 10.0 -8 -8 caleb_strategy_v3 SHATZ False True 0.04 0.00 -0.15 0.0 0.00 0.00 0.00 0.00 -4.28 24.0 0 0 caleb_strategy_v3 CAD False False 0.02 -0.05 -0.13 0.0 0.66 -0.66 -0.05 -0.05 -5.72 29.0 -2 -2 caleb_strategy_v3 US2 False True 0.06 0.00 -0.13 0.0 0.00 0.00 0.00 0.00 -2.11 13.0 0 0 caleb_strategy_v3 LEANHOG False False 0.01 -0.11 -0.12 0.0 0.13 -0.13 -0.11 -0.11 -11.89 13.0 -11 -11 caleb_strategy_v3 JPY False False 0.03 -0.05 -0.09 0.0 0.43 -0.43 -0.05 -0.05 -3.47 17.0 -2 -2 caleb_strategy_v3 BTP False False 0.04 -0.04 -0.08 0.0 0.39 -0.39 -0.04 -0.04 -2.02 10.0 -1 -1 caleb_strategy_v3 OAT False False 0.04 0.00 -0.08 0.0 0.41 -0.41 0.00 0.00 -1.97 10.0 0 0 caleb_strategy_v3 MXP False False 0.01 -0.08 -0.08 0.0 0.50 -0.50 -0.08 -0.08 -9.65 60.0 -10 -10 caleb_strategy_v3 EUR False False 0.04 0.00 -0.06 0.0 0.59 -0.59 0.00 0.00 -1.35 14.0 0 0 caleb_strategy_v3 SP400 False False 0.09 0.00 -0.05 0.0 0.18 -0.18 0.00 0.00 -0.58 2.0 0 0 caleb_strategy_v3 DOW False False 0.01 0.00 -0.05 0.0 0.40 -0.40 0.00 0.00 -7.66 66.0 0 0 caleb_strategy_v3 CHF False False 0.04 -0.13 -0.05 0.0 0.58 -0.58 -0.13 -0.13 -1.17 13.0 -3 -3 caleb_strategy_v3 CORN False False 0.01 -0.06 -0.05 0.0 0.09 -0.09 -0.06 -0.06 -7.16 12.0 -8 -8 caleb_strategy_v3 LUMBER-new False False 0.00 -0.00 -0.04 0.0 0.01 -0.01 -0.00 -0.00 -8.32 3.0 -1 -1 caleb_strategy_v3 HEATOIL False False 0.03 0.00 -0.04 0.0 0.10 -0.10 0.00 0.00 -1.31 3.0 0 0 caleb_strategy_v3 CAC True False 0.03 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 -1.49 12.0 0 0 caleb_strategy_v3 BOBL False False 0.04 0.00 -0.04 0.0 0.74 -0.74 0.00 0.00 -0.98 19.0 0 0 caleb_strategy_v3 CANOLA False False 0.00 -0.02 -0.04 0.0 0.14 -0.14 -0.02 -0.02 -15.74 51.0 -8 -8 caleb_strategy_v3 RUSSELL False False 0.00 -0.05 -0.04 0.0 0.22 -0.22 -0.05 -0.05 -11.29 68.0 -17 -17 caleb_strategy_v3 COTTON2 False False 0.01 -0.03 -0.03 0.0 0.12 -0.12 -0.03 -0.03 -3.06 11.0 -3 -3 caleb_strategy_v3 GOLD_micro False False 0.01 -0.01 -0.02 0.0 0.41 -0.41 -0.01 -0.01 -2.37 56.0 -2 -2 caleb_strategy_v3 OATIES False True 0.01 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 -3.02 2.0 0 0 caleb_strategy_v3 SOYOIL False False 0.01 -0.01 -0.02 0.0 0.08 -0.08 -0.01 -0.01 -1.90 10.0 -1 -1 caleb_strategy_v3 SOYBEAN False False 0.02 -0.09 -0.02 0.0 0.12 -0.12 -0.09 -0.09 -1.42 7.0 -5 -5 caleb_strategy_v3 PALLAD False False 0.03 -0.06 -0.02 0.0 0.06 -0.06 -0.06 -0.06 -0.63 2.0 -2 -2 caleb_strategy_v3 REDWHEAT False False 0.01 0.00 -0.01 0.0 0.08 -0.08 0.00 0.00 -0.98 8.0 0 0 caleb_strategy_v3 WHEAT False False 0.01 -0.02 -0.01 0.0 0.09 -0.09 -0.02 -0.02 -1.10 9.0 -2 -2 caleb_strategy_v3 EUROSTX False False 0.02 0.07 -0.01 0.0 0.33 -0.33 0.07 0.05 -0.75 20.0 4 3 caleb_strategy_v3 GASOIL False False 0.02 -0.05 -0.01 0.0 0.10 -0.10 -0.05 -0.05 -0.56 4.0 -2 -2 caleb_strategy_v3 BUXL False False 0.04 -0.04 -0.01 0.0 0.18 -0.18 -0.04 -0.04 -0.20 4.0 -1 -1 caleb_strategy_v3 BUND False False 0.04 -0.09 -0.01 0.0 0.44 -0.44 -0.09 -0.09 -0.32 10.0 -2 -2 caleb_strategy_v3 US5 False False 0.03 -0.13 -0.01 0.0 0.83 -0.83 -0.13 -0.13 -0.42 25.0 -4 -4 caleb_strategy_v3 SOYMEAL False False 0.01 0.00 -0.01 0.0 0.10 -0.10 0.00 0.00 -1.09 9.0 0 0 caleb_strategy_v3 GASOLINE False False 0.03 0.00 0.00 0.0 999.00 -999.00 0.00 0.00 0.12 999999999.0 0 0 caleb_strategy_v3 FEEDCOW False False 0.04 -0.08 -0.00 0.0 0.33 -0.33 -0.08 -0.08 -0.10 8.0 -2 -2 caleb_strategy_v3 SUGAR11 False False 0.01 -0.01 -0.00 0.0 0.12 -0.12 -0.01 -0.01 -0.64 18.0 -2 -2 caleb_strategy_v3 US10 False False 0.03 0.00 0.00 0.0 0.59 -0.59 0.00 0.00 0.04 17.0 0 0 caleb_strategy_v3 PLAT False False 0.02 0.00 -0.00 0.0 0.15 -0.15 0.00 0.00 -0.11 10.0 0 0 caleb_strategy_v3 SILVER-mini False False 0.02 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.25 999999999.0 0 0 caleb_strategy_v3 US10U False False 0.04 0.04 0.01 0.0 0.46 -0.46 0.04 0.04 0.36 13.0 1 1 caleb_strategy_v3 US30 False False 0.04 0.04 0.01 0.0 0.24 -0.24 0.04 0.04 0.14 6.0 1 1 caleb_strategy_v3 ROBUSTA False False 0.01 0.03 0.01 0.0 0.29 -0.29 0.03 0.03 0.70 23.0 2 2 caleb_strategy_v3 AUD False False 0.02 0.06 0.01 0.0 0.39 -0.39 0.06 0.06 0.34 19.0 3 3 caleb_strategy_v3 MILK False False 0.01 0.00 0.01 0.0 0.06 -0.06 0.00 0.00 0.69 5.0 0 0 caleb_strategy_v3 COCOA False False 0.03 0.00 0.01 0.0 0.75 -0.75 0.00 0.00 0.33 26.0 0 0 caleb_strategy_v3 GAS_US_mini False False 0.00 0.02 0.01 0.0 0.06 -0.06 0.02 0.02 4.13 26.0 10 10 caleb_strategy_v3 OJ False False 0.02 0.02 0.01 0.0 0.06 -0.06 0.02 0.02 0.73 3.0 1 1 caleb_strategy_v3 DAX False True 0.01 0.01 0.01 0.0 0.01 0.00 0.01 0.01 2.28 58.0 1 1 caleb_strategy_v3 COFFEE False False 0.03 0.00 0.01 0.0 0.16 -0.16 0.00 0.00 0.23 6.0 0 0 caleb_strategy_v3 COPPER False False 0.03 0.00 0.01 0.0 999.00 -999.00 0.00 0.00 0.22 999999999.0 0 0 caleb_strategy_v3 BITCOIN True False 0.00 0.00 0.02 0.0 0.00 0.00 0.00 0.00 9.82 59.0 0 0 caleb_strategy_v3 US20 False True 0.04 0.00 0.02 0.0 0.00 0.00 0.00 0.00 0.41 9.0 0 0 caleb_strategy_v3 NASDAQ_micro False False 0.01 0.04 0.03 0.0 0.29 -0.29 0.04 0.04 2.55 23.0 3 3 caleb_strategy_v3 RICE False True 0.01 0.00 0.04 0.0 0.00 0.00 0.00 0.00 3.79 4.0 0 0 caleb_strategy_v3 NZD False False 0.02 0.04 0.04 0.0 0.40 -0.40 0.04 0.04 1.99 21.0 2 2 caleb_strategy_v3 GBP False False 0.02 0.00 0.04 0.0 0.55 -0.55 0.00 0.00 1.54 22.0 0 0 caleb_strategy_v3 NIKKEI False False 0.01 0.02 0.05 0.0 0.28 -0.28 0.02 0.02 6.50 36.0 3 3 caleb_strategy_v3 SP500_micro False False 0.01 0.09 0.05 0.0 0.42 -0.42 0.09 0.09 6.08 48.0 10 10 caleb_strategy_v3 DX False False 0.03 0.07 0.06 0.0 999.00 -999.00 0.07 0.07 1.86 999999999.0 2 2 caleb_strategy_v3 CRUDE_W False False 0.02 0.02 0.08 0.0 0.12 -0.12 0.02 0.02 3.39 5.0 1 1 caleb_strategy_v3 JGB-SGX-mini False False 0.03 -0.09 0.10 0.0 0.46 -0.46 -0.09 -0.09 3.61 16.0 -3 -3 caleb_strategy_v3 LIVECOW False False 0.02 0.18 0.12 0.0 0.39 -0.39 0.18 0.18 5.16 17.0 8 8 caleb_strategy_v3 SMI False True 0.04 0.00 0.16 0.0 0.00 0.00 0.00 0.00 3.77 9.0 0 0 caleb_strategy_v3 SOFR False True 0.08 0.00 0.31 0.0 0.00 0.00 0.00 0.00 4.19 11.0 0 0 Risk overlay Config arg not supplied Percentage vol target 25.0 Normal risk 13.7 Shocked risk 41.3 Sum abs risk 44.8 Leverage 3.41 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3205364.38, 'annual_cash_vol_target': 801341.095, 'daily_cash_vol_target': 50083.8184375} ===================================================================== Vol calculation ===================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0041 0.6630 0.6119 9.7906 BITCOIN 1485.8680 67730.0000 2.1938 35.1010 BOBL 0.3063 116.7800 0.2623 4.1960 BTP 0.6239 116.4100 0.5360 8.5758 BUND 0.6285 132.5100 0.4743 7.5884 BUXL 1.5503 133.6800 1.1597 18.5551 CAC 73.1337 7614.5000 0.9605 15.3672 CAD 0.0026 0.7304 0.3590 5.7446 CANOLA 8.4296 625.0000 1.3487 21.5798 CHF 0.0048 1.1354 0.4222 6.7545 COCOA 311.0618 9249.0000 3.3632 53.8111 COFFEE 4.1128 226.4000 1.8166 29.0660 COPPER 0.0762 4.4580 1.7099 27.3589 CORN 5.4100 463.2500 1.1678 18.6855 COTTON2 1.1488 71.7700 1.6006 25.6099 CRUDE_W 1.0267 76.9900 1.3336 21.3377 DAX 148.0153 18145.0000 0.8157 13.0518 DOW 238.1125 39225.0000 0.6070 9.7127 DX 0.3947 104.9400 0.3761 6.0174 EUR 0.0048 1.0783 0.4434 7.0948 EURIBOR-ICE 0.0559 97.4600 0.0574 0.9176 EUROSTX 46.9011 4899.0000 0.9574 15.3178 FEEDCOW 1.9513 262.4500 0.7435 11.8958 GASOIL 10.8775 768.0000 1.4163 22.6615 GASOLINE 0.0361 2.4019 1.5013 24.0200 GAS_US_mini 0.1066 2.8500 3.7394 59.8307 GBP 0.0057 1.2714 0.4450 7.1200 GOLD_micro 23.1358 2332.8000 0.9918 15.8682 HEATOIL 0.0350 2.5143 1.3921 22.2735 JGB-SGX-mini 0.2491 143.9300 0.1731 2.7695 JPY 0.0000 0.0064 0.6099 9.7584 LEANHOG 1.0960 77.9750 1.4056 22.4890 LIVECOW 1.3586 182.6750 0.7437 11.8993 LUMBER-new 8.6018 512.5000 1.6784 26.8543 MILK 0.2957 20.7900 1.4225 22.7605 MXP 0.0007 0.0531 1.2621 20.1931 NASDAQ_micro 143.9773 20227.5000 0.7118 11.3886 NIKKEI 316.3702 38840.0000 0.8145 13.0328 NZD 0.0038 0.6132 0.6231 9.9700 OAT 0.5581 124.0500 0.4499 7.1984 OATIES 7.1802 331.0000 2.1692 34.7078 OJ 8.4360 425.1000 1.9845 31.7515 PALLAD 20.9029 894.0000 2.3381 37.4100 PLAT 16.7092 973.8000 1.7159 27.4539 REDWHEAT 12.1987 634.5000 1.9226 30.7611 RICE 0.1502 15.5450 0.9664 15.4628 ROBUSTA 71.9439 4055.0000 1.7742 28.3872 RUSSELL 20.9970 2045.0000 1.0267 16.4280 SHATZ 0.1011 105.7600 0.0956 1.5290 SILVER-mini 0.6422 29.7625 2.1579 34.5260 SMI 81.0426 12077.0000 0.6710 10.7368 SOFR 0.0703 96.3550 0.0730 1.1677 SOYBEAN 10.9027 1130.2500 0.9646 15.4341 SOYMEAL 4.6880 340.4000 1.3772 22.0350 SOYOIL 0.6382 43.7800 1.4579 23.3256 SP400 24.4108 2954.1000 0.8263 13.2214 SP500_micro 30.8048 5553.7500 0.5547 8.8747 SUGAR11 0.2984 19.0600 1.5657 25.0516 US10 0.4260 110.3906 0.3859 6.1750 US10U 0.5766 114.1562 0.5051 8.0820 US2 0.1082 102.1367 0.1060 1.6952 US20 0.8486 119.5938 0.7095 11.3525 US30 1.2664 127.5625 0.9928 15.8848 US5 0.2761 106.7344 0.2587 4.1388 VIX 0.3725 15.9000 2.3425 37.4804 WHEAT 11.1684 630.0000 1.7728 28.3642 ============================================================================================================================================ Subsystem position ============================================================================================================================================ Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 663.05 0.61 405.73 1.00 405.73 50083.82 123.44 1.07 13.26 BITCOIN 67.73 2.19 148.59 1.00 148.59 50083.82 337.07 2.69 90.70 BOBL 1167.80 0.26 306.26 1.07 328.52 50083.82 152.45 -6.32 -96.40 BTP 1164.10 0.54 623.94 1.07 669.30 50083.82 74.83 -7.91 -59.22 BUND 1325.10 0.47 628.46 1.07 674.15 50083.82 74.29 -4.28 -31.80 BUXL 1336.80 1.16 1550.28 1.07 1662.98 50083.82 30.12 -6.62 -19.92 CAC 761.45 0.96 731.34 1.07 784.50 50083.82 63.84 -6.84 -43.68 CAD 730.35 0.36 262.22 1.00 262.22 50083.82 191.00 -11.55 -220.51 CANOLA 125.00 1.35 168.59 0.73 122.64 50083.82 408.37 -15.84 -646.86 CHF 1419.25 0.42 599.15 1.00 599.15 50083.82 83.59 -5.40 -45.13 COCOA 924.90 3.36 3110.62 1.00 3110.62 50083.82 16.10 9.44 15.19 COFFEE 849.00 1.82 1542.31 1.00 1542.31 50083.82 32.47 6.09 19.78 COPPER 1114.50 1.71 1905.72 1.00 1905.72 50083.82 26.28 0.79 2.07 CORN 231.62 1.17 270.50 1.00 270.50 50083.82 185.15 -15.90 -294.46 COTTON2 358.85 1.60 574.38 1.00 574.38 50083.82 87.20 -16.39 -142.94 CRUDE_W 769.90 1.33 1026.74 1.00 1026.74 50083.82 48.78 6.42 31.32 DAX 181.45 0.82 148.02 1.07 158.78 50083.82 315.44 2.12 66.89 DOW 196.12 0.61 119.06 1.00 119.06 50083.82 420.67 -7.83 -329.57 DX 1049.40 0.38 394.67 1.00 394.67 50083.82 126.90 5.65 71.72 EUR 1347.88 0.44 597.68 1.00 597.68 50083.82 83.80 -6.21 -52.03 EURIBOR-ICE 2436.50 0.06 139.74 1.07 149.90 50083.82 334.12 -2.75 -91.99 EUROSTX 489.90 0.96 469.01 1.07 503.11 50083.82 99.55 -2.21 -22.05 FEEDCOW 1312.25 0.74 975.64 1.00 975.64 50083.82 51.33 -0.56 -2.88 GASOIL 768.00 1.42 1087.75 1.00 1087.75 50083.82 46.04 -2.83 -13.03 GASOLINE 1008.80 1.50 1514.46 1.00 1514.46 50083.82 33.07 0.80 2.66 GAS_US_mini 71.25 3.74 266.43 1.00 266.43 50083.82 187.98 2.03 38.16 GBP 794.62 0.45 353.61 1.00 353.61 50083.82 141.64 4.19 59.32 GOLD_micro 233.28 0.99 231.36 1.00 231.36 50083.82 216.48 -3.22 -69.62 HEATOIL 1056.01 1.39 1470.06 1.00 1470.06 50083.82 34.07 -8.89 -30.28 JGB-SGX-mini 143930.00 0.17 24913.29 0.01 157.53 50083.82 317.94 1.05 33.36 JPY 803.50 0.61 490.06 1.00 490.06 50083.82 102.20 -13.08 -133.65 LEANHOG 311.90 1.41 438.39 1.00 438.39 50083.82 114.24 -17.12 -195.61 LIVECOW 730.70 0.74 543.43 1.00 543.43 50083.82 92.16 16.91 155.83 LUMBER-new 140.94 1.68 236.55 1.00 236.55 50083.82 211.73 -18.36 -388.66 MILK 415.80 1.42 591.49 1.00 591.49 50083.82 84.67 3.82 32.37 MXP 265.55 1.26 335.14 1.00 335.14 50083.82 149.44 -4.40 -65.74 NASDAQ_micro 404.55 0.71 287.95 1.00 287.95 50083.82 173.93 6.31 109.81 NIKKEI 38840.00 0.81 31637.02 0.01 201.40 50083.82 248.68 2.41 60.01 NZD 613.15 0.62 382.07 1.00 382.07 50083.82 131.09 5.85 76.75 OAT 1240.50 0.45 558.10 1.07 598.68 50083.82 83.66 -6.92 -57.88 OATIES 165.50 2.17 359.01 1.00 359.01 50083.82 139.51 -8.90 -124.14 OJ 637.65 1.98 1265.40 1.00 1265.40 50083.82 39.58 8.58 33.96 PALLAD 894.00 2.34 2090.29 1.00 2090.29 50083.82 23.96 -7.68 -18.40 PLAT 486.90 1.72 835.46 1.00 835.46 50083.82 59.95 -0.56 -3.35 REDWHEAT 317.25 1.92 609.93 1.00 609.93 50083.82 82.11 -9.00 -73.89 RICE 310.90 0.97 300.46 1.00 300.46 50083.82 166.69 9.34 155.76 ROBUSTA 405.50 1.77 719.44 1.00 719.44 50083.82 69.62 8.59 59.79 RUSSELL 102.25 1.03 104.99 1.00 104.99 50083.82 477.06 -7.14 -340.78 SHATZ 1057.60 0.10 101.07 1.07 108.41 50083.82 461.96 -9.15 -422.57 SILVER-mini 744.06 2.16 1605.60 1.00 1605.60 50083.82 31.19 2.36 7.38 SMI 1207.70 0.67 810.43 1.12 906.10 50083.82 55.27 20.00 110.55 SOFR 2408.88 0.07 175.81 1.00 175.81 50083.82 284.88 2.42 68.86 SOYBEAN 565.12 0.96 545.14 1.00 545.14 50083.82 91.87 -16.59 -152.41 SOYMEAL 340.40 1.38 468.80 1.00 468.80 50083.82 106.84 -10.93 -116.81 SOYOIL 262.68 1.46 382.95 1.00 382.95 50083.82 130.78 -15.57 -203.65 SP400 2954.10 0.83 2441.08 1.00 2441.08 50083.82 20.52 -8.58 -17.59 SP500_micro 277.69 0.55 154.02 1.00 154.02 50083.82 325.17 8.04 261.58 SUGAR11 213.47 1.57 334.24 1.00 334.24 50083.82 149.84 -2.01 -30.15 US10 1103.91 0.39 426.04 1.00 426.04 50083.82 117.56 0.26 3.05 US10U 1141.56 0.51 576.63 1.00 576.63 50083.82 86.86 3.26 28.28 US2 2042.73 0.11 216.43 1.00 216.43 50083.82 231.41 -7.18 -166.20 US20 1195.94 0.71 848.56 1.00 848.56 50083.82 59.02 5.53 32.65 US30 1275.62 0.99 1266.44 1.00 1266.44 50083.82 39.55 2.79 11.04 US5 1067.34 0.26 276.09 1.00 276.09 50083.82 181.40 -1.83 -33.25 VIX 159.00 2.34 372.46 1.00 372.46 50083.82 134.47 -20.00 -268.93 WHEAT 315.00 1.77 558.42 1.00 558.42 50083.82 89.69 -9.25 -82.94 ====================================================================== Portfolio positions ====================================================================== subsystem_position instr weight IDM Notional position AUD 13.264 0.010 2.5 0.344 BITCOIN 90.701 0.043 2.5 9.822 BOBL -96.398 0.004 2.5 -0.978 BTP -59.216 0.014 2.5 -2.020 BUND -31.800 0.004 2.5 -0.322 BUXL -19.923 0.004 2.5 -0.202 CAC -43.684 0.014 2.5 -1.490 CAD -220.507 0.010 2.5 -5.721 CANOLA -646.856 0.010 2.5 -15.737 CHF -45.130 0.010 2.5 -1.171 COCOA 15.194 0.009 2.5 0.325 COFFEE 19.784 0.005 2.5 0.231 COPPER 2.069 0.043 2.5 0.224 CORN -294.460 0.010 2.5 -7.164 COTTON2 -142.942 0.009 2.5 -3.061 CRUDE_W 31.323 0.043 2.5 3.392 DAX 66.893 0.014 2.5 2.282 DOW -329.566 0.009 2.5 -7.659 DX 71.720 0.010 2.5 1.861 EUR -52.033 0.010 2.5 -1.350 EURIBOR-ICE -91.993 0.014 2.5 -3.138 EUROSTX -22.049 0.014 2.5 -0.752 FEEDCOW -2.878 0.013 2.5 -0.095 GASOIL -13.027 0.017 2.5 -0.565 GASOLINE 2.656 0.017 2.5 0.115 GAS_US_mini 38.162 0.043 2.5 4.132 GBP 59.319 0.010 2.5 1.539 GOLD_micro -69.622 0.014 2.5 -2.375 HEATOIL -30.279 0.017 2.5 -1.313 JGB-SGX-mini 33.361 0.043 2.5 3.613 JPY -133.649 0.010 2.5 -3.468 LEANHOG -195.609 0.024 2.5 -11.888 LIVECOW 155.825 0.013 2.5 5.164 LUMBER-new -388.662 0.009 2.5 -8.320 MILK 32.372 0.009 2.5 0.693 MXP -65.739 0.059 2.5 -9.649 NASDAQ_micro 109.812 0.009 2.5 2.552 NIKKEI 60.010 0.043 2.5 6.498 NZD 76.745 0.010 2.5 1.991 OAT -57.885 0.014 2.5 -1.974 OATIES -124.135 0.010 2.5 -3.020 OJ 33.962 0.009 2.5 0.727 PALLAD -18.398 0.014 2.5 -0.628 PLAT -3.349 0.014 2.5 -0.114 REDWHEAT -73.895 0.005 2.5 -0.980 RICE 155.755 0.010 2.5 3.789 ROBUSTA 59.794 0.005 2.5 0.698 RUSSELL -340.781 0.013 2.5 -11.293 SHATZ -422.566 0.004 2.5 -4.285 SILVER-mini 7.376 0.014 2.5 0.252 SMI 110.548 0.014 2.5 3.771 SOFR 68.863 0.024 2.5 4.185 SOYBEAN -152.415 0.004 2.5 -1.418 SOYMEAL -116.812 0.004 2.5 -1.086 SOYOIL -203.649 0.004 2.5 -1.896 SP400 -17.594 0.013 2.5 -0.583 SP500_micro 261.582 0.009 2.5 6.079 SUGAR11 -30.149 0.009 2.5 -0.641 US10 3.052 0.005 2.5 0.039 US10U 28.282 0.005 2.5 0.358 US2 -166.203 0.005 2.5 -2.106 US20 32.655 0.005 2.5 0.414 US30 11.044 0.005 2.5 0.140 US5 -33.247 0.005 2.5 -0.421 VIX -268.934 0.099 2.5 -66.384 WHEAT -82.937 0.005 2.5 -1.100 ===================== Position diags ===================== AUD 3.20 BITCOIN 36.50 BOBL 1.55 BTP 2.55 BUND 0.75 BUXL 0.31 CAC 2.18 CAD 4.96 CANOLA 9.94 CHF 2.17 COCOA 0.34 COFFEE 0.38 COPPER 2.85 CORN 4.50 COTTON2 1.87 CRUDE_W 5.28 DAX 10.76 DOW 9.78 DX 3.29 EUR 2.17 EURIBOR-ICE 11.40 EUROSTX 3.40 FEEDCOW 1.70 GASOIL 2.00 GASOLINE 1.43 GAS_US_mini 20.36 GBP 3.67 GOLD_micro 7.38 HEATOIL 1.48 JGB-SGX-mini 34.43 JPY 2.65 LEANHOG 6.94 LIVECOW 3.05 LUMBER-new 4.53 MILK 1.81 MXP 21.93 NASDAQ_micro 4.04 NIKKEI 26.93 NZD 3.40 OAT 2.85 OATIES 3.39 OJ 0.85 PALLAD 0.82 PLAT 2.04 REDWHEAT 1.09 RICE 4.06 ROBUSTA 0.81 RUSSELL 15.81 SHATZ 4.68 SILVER-mini 1.06 SMI 1.89 SOFR 17.31 SOYBEAN 0.85 SOYMEAL 0.99 SOYOIL 1.22 SP400 0.68 SP500_micro 7.56 SUGAR11 3.19 US10 1.49 US10U 1.10 US2 2.93 US20 0.75 US30 0.50 US5 2.30 VIX 33.19 WHEAT 1.19 dtype: float64 ==================================================================================================== Positions vs buffers ==================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.3 0.0 0.7 3.0 3 BITCOIN 9.8 6.2 13.5 0.0 0 BOBL -1.0 -1.1 -0.8 0.0 0 BTP -2.0 -2.3 -1.8 -1.0 -1 BUND -0.3 -0.4 -0.2 -2.0 -2 BUXL -0.2 -0.2 -0.2 -1.0 -1 CAC -1.5 -1.7 -1.3 0.0 0 CAD -5.7 -6.2 -5.2 -2.0 -2 CANOLA -15.7 -16.7 -14.7 -8.0 -8 CHF -1.2 -1.4 -1.0 -3.0 -3 COCOA 0.3 0.3 0.4 0.0 0 COFFEE 0.2 0.2 0.3 0.0 0 COPPER 0.2 -0.1 0.5 0.0 0 CORN -7.2 -7.6 -6.7 -8.0 -8 COTTON2 -3.1 -3.2 -2.9 -3.0 -3 CRUDE_W 3.4 2.9 3.9 1.0 1 DAX 2.3 1.2 3.4 1.0 1 DOW -7.7 -8.6 -6.7 0.0 0 DX 1.9 1.5 2.2 2.0 2 EUR -1.4 -1.6 -1.1 0.0 0 EURIBOR-ICE -3.1 -4.3 -2.0 -8.0 -8 EUROSTX -0.8 -1.1 -0.4 4.0 4 FEEDCOW -0.1 -0.3 0.1 -2.0 -2 GASOIL -0.6 -0.8 -0.4 -2.0 -2 GASOLINE 0.1 -0.0 0.3 0.0 0 GAS_US_mini 4.1 2.1 6.2 10.0 10 GBP 1.5 1.2 1.9 0.0 0 GOLD_micro -2.4 -3.1 -1.6 -2.0 -2 HEATOIL -1.3 -1.5 -1.2 0.0 0 JGB-SGX-mini 3.6 0.2 7.1 -3.0 -3 JPY -3.5 -3.7 -3.2 -2.0 -2 LEANHOG -11.9 -12.6 -11.2 -11.0 -11 LIVECOW 5.2 4.9 5.5 8.0 8 LUMBER-new -8.3 -8.8 -7.9 -1.0 -1 MILK 0.7 0.5 0.9 NaN 0 MXP -9.6 -11.8 -7.5 -10.0 -10 NASDAQ_micro 2.6 2.1 3.0 3.0 3 NIKKEI 6.5 3.8 9.2 3.0 3 NZD 2.0 1.7 2.3 2.0 2 OAT -2.0 -2.3 -1.7 0.0 0 OATIES -3.0 -3.4 -2.7 NaN 0 OJ 0.7 0.6 0.8 1.0 1 PALLAD -0.6 -0.7 -0.5 -2.0 -2 PLAT -0.1 -0.3 0.1 0.0 0 REDWHEAT -1.0 -1.1 -0.9 0.0 0 RICE 3.8 3.4 4.2 NaN 0 ROBUSTA 0.7 0.6 0.8 2.0 2 RUSSELL -11.3 -12.9 -9.7 -17.0 -17 SHATZ -4.3 -4.8 -3.8 NaN 0 SILVER-mini 0.3 0.1 0.4 0.0 0 SMI 3.8 3.6 4.0 0.0 0 SOFR 4.2 2.5 5.9 NaN 0 SOYBEAN -1.4 -1.5 -1.3 -5.0 -5 SOYMEAL -1.1 -1.2 -1.0 0.0 0 SOYOIL -1.9 -2.0 -1.8 -1.0 -1 SP400 -0.6 -0.7 -0.5 0.0 0 SP500_micro 6.1 5.3 6.8 10.0 10 SUGAR11 -0.6 -1.0 -0.3 -2.0 -2 US10 0.0 -0.1 0.2 0.0 0 US10U 0.4 0.2 0.5 1.0 1 US2 -2.1 -2.4 -1.8 NaN 0 US20 0.4 0.3 0.5 0.0 0 US30 0.1 0.1 0.2 1.0 1 US5 -0.4 -0.7 -0.2 -4.0 -4 VIX -66.4 -69.7 -63.1 -56.0 -56 WHEAT -1.1 -1.2 -1.0 -2.0 -2 =================================================================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.1 0.3 0.1 0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 -0.0 -0.1 -0.2 0.1 0.1 -0.0 -0.1 -0.1 -0.1 0.0 0.0 -0.0 -0.0 0.0 0.5 0.0 -0.0 0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.2 0.2 0.3 -0.1 -0.2 0.0 -0.0 BITCOIN -0.0 -0.0 0.2 -0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.1 0.5 -0.1 0.7 0.1 0.1 -0.2 -0.1 -0.2 -0.2 0.1 0.2 -0.1 0.5 -0.0 -2.7 0.1 -0.1 0.4 -0.1 0.7 -0.0 -0.2 0.4 0.6 0.6 0.6 -0.5 -0.1 0.1 0.1 BOBL 0.3 0.0 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.2 0.0 -0.2 0.0 -0.1 -0.4 -0.2 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 0.0 0.5 -0.0 0.1 -0.1 0.1 -0.1 0.0 -0.3 0.1 -0.1 -0.3 -0.1 -0.7 -0.5 -0.2 -0.3 BTP -0.2 -0.2 -0.3 0.0 0.1 -0.0 0.1 -0.1 0.0 0.0 0.2 -0.0 0.3 -0.1 -0.1 0.0 0.1 0.1 0.1 -0.0 0.0 -0.0 0.1 -0.0 -2.7 -0.0 0.0 0.0 -0.0 0.2 -0.0 0.8 -0.5 -0.6 -0.4 0.3 -0.5 -0.4 0.2 0.1 BUND 0.2 0.0 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 0.0 0.2 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.1 0.1 -0.1 -0.3 0.0 -0.7 -0.6 -0.1 -0.4 BUXL 0.2 -0.0 -0.1 0.0 0.0 -0.0 0.1 -0.1 0.0 0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.1 0.0 -0.3 -0.0 0.1 -0.0 0.1 -0.0 0.0 -0.0 0.1 -0.2 -0.4 0.1 -0.7 -0.7 -0.5 -0.3 CAC -0.6 -0.5 -0.4 0.1 0.0 0.2 0.0 0.3 0.0 -0.1 0.4 -0.2 0.6 -0.1 -0.0 -0.1 0.0 0.0 0.0 -0.1 0.1 -0.2 0.4 -0.2 -1.5 -0.0 -0.1 0.1 -0.2 0.2 -0.1 0.7 -0.5 -0.6 -0.6 -0.0 -0.1 0.2 -0.4 0.4 CAD -0.1 0.0 -0.2 0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 -0.4 -0.2 -0.5 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -0.1 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.0 -0.1 -0.5 -0.4 -0.4 -0.1 -0.3 -0.1 -0.2 CANOLA -0.6 0.3 0.6 -0.0 -0.0 0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 0.0 -0.3 -0.2 -0.3 -0.3 -0.0 -0.0 -0.1 -0.2 -0.1 -2.7 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -1.1 -0.2 -0.3 -0.1 0.2 -0.4 -0.5 0.0 -0.2 CHF 0.6 0.4 -0.6 0.0 -0.0 -0.0 -0.0 0.0 0.0 0.1 -0.4 0.2 -0.5 0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.0 -0.1 0.1 -0.4 0.1 0.5 0.0 0.1 -0.1 0.1 -0.1 0.1 -1.1 0.5 0.6 0.1 -0.6 0.1 -0.5 0.1 -0.4 COCOA 0.6 -0.2 -0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.0 0.1 0.1 0.2 0.0 0.0 0.4 0.3 0.4 0.4 0.1 0.1 0.1 0.2 0.1 -2.2 0.0 0.0 0.1 0.0 0.2 0.0 1.1 0.4 0.6 -0.2 0.6 0.3 0.1 0.4 0.3 COFFEE 0.4 -0.0 0.4 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.3 0.1 0.4 0.1 0.1 0.0 0.1 0.1 0.2 0.2 0.2 0.0 0.4 0.1 -2.7 0.0 0.0 0.2 0.0 0.2 0.0 0.5 0.5 0.6 -0.1 0.6 0.2 -0.5 0.5 -0.1 COPPER -0.6 -0.3 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.1 -0.1 0.1 -0.1 0.0 0.0 -0.1 0.0 -0.0 0.0 0.1 -0.1 0.1 -0.0 -1.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.3 0.0 -0.1 0.4 0.5 -0.1 -0.0 0.4 0.3 CORN -0.5 0.2 0.6 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.1 -0.6 -0.1 -0.0 -0.3 -0.2 -0.4 -0.3 -0.0 -0.1 -0.1 -0.3 -0.1 -2.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -1.1 0.5 0.1 0.2 0.1 -0.7 -0.7 -0.7 -0.0 COTTON2 -0.2 -0.6 -0.6 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 -0.3 -0.1 -0.3 -0.1 -0.1 -0.1 0.0 0.0 0.0 -0.2 -0.1 -0.1 -0.2 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.2 -0.0 -0.6 -0.6 -0.2 -0.4 0.4 -0.0 CRUDE_W -0.0 -0.5 -0.1 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.2 0.1 0.1 0.5 -0.0 -0.0 0.2 0.2 0.3 0.2 -0.0 0.0 0.1 0.2 -0.0 -0.6 -0.1 0.1 -0.0 0.0 0.1 -0.0 0.1 0.2 -0.4 -0.5 0.0 0.7 0.6 0.7 0.7 DAX -0.6 -0.2 -0.2 0.0 0.0 0.2 0.0 0.3 0.0 -0.1 0.5 -0.2 0.6 -0.0 0.1 -0.2 -0.2 -0.2 -0.2 0.0 0.2 -0.2 0.5 -0.1 1.6 0.0 -0.1 0.2 -0.1 0.4 -0.0 -0.5 -0.5 -0.6 -0.4 0.5 0.0 0.2 -0.1 0.4 DOW -0.5 -0.1 -0.5 0.0 0.0 0.2 0.0 0.2 0.0 -0.0 0.3 -0.1 0.4 -0.0 -0.0 -0.2 -0.2 -0.2 -0.2 -0.0 0.1 -0.0 0.3 -0.1 -1.7 0.0 0.0 0.1 -0.0 0.3 -0.0 -0.4 -0.1 -0.6 -0.3 -0.4 0.3 -0.1 0.4 -0.3 DX -0.0 -0.3 0.2 0.0 -0.0 -0.0 -0.0 0.0 0.0 0.1 0.3 0.1 0.4 -0.0 0.1 0.1 0.1 0.1 0.1 0.0 0.1 0.1 0.2 0.1 -2.7 0.0 0.1 0.1 0.1 0.2 0.0 0.9 0.5 0.5 -0.4 0.5 0.0 0.3 0.0 0.5 EUR -0.1 0.2 -0.1 0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 -0.2 -0.2 -0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 2.7 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.4 -0.5 -0.5 -0.0 0.1 -0.4 -0.7 -0.4 -0.5 EURIBOR-ICE 0.2 -0.1 -0.5 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 0.1 -0.0 0.0 1.5 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.2 -0.3 -0.1 -0.7 -0.7 -0.0 0.2 EUROSTX -0.6 -0.3 -0.3 0.0 0.0 0.2 0.0 0.3 0.0 -0.1 0.5 -0.1 0.7 -0.0 0.1 -0.2 -0.0 -0.1 -0.1 0.0 0.2 -0.2 0.5 -0.1 -0.3 0.0 -0.1 0.3 -0.1 0.4 -0.0 0.3 -0.5 -0.6 -0.3 0.3 -0.5 0.1 -0.7 0.2 FEEDCOW 0.0 0.1 -0.3 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.2 0.1 0.0 -0.1 0.1 -0.0 -0.3 -0.4 -0.4 -0.4 0.0 -0.0 0.1 -0.0 0.1 -0.9 -0.0 0.1 -0.0 0.1 0.1 0.0 -1.1 0.5 0.5 0.2 -0.4 0.4 0.7 0.7 0.7 GASOIL 0.0 -0.5 -0.3 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.2 -0.0 0.1 0.4 -0.0 -0.1 -0.1 0.3 0.0 0.2 -0.1 -0.0 0.1 0.2 -0.0 0.8 -0.0 0.1 -0.1 0.1 0.1 -0.0 0.0 0.0 0.3 -0.1 -0.3 -0.7 -0.4 -0.7 -0.7 GASOLINE -0.2 -0.6 -0.1 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.2 0.2 0.0 0.5 -0.1 -0.1 0.3 0.3 0.4 0.3 -0.1 0.0 0.0 0.3 -0.1 -2.7 -0.1 0.0 -0.0 -0.0 0.1 -0.1 0.2 -0.0 -0.3 -0.5 -0.0 0.7 0.7 0.7 0.7 GAS_US_mini 0.1 0.6 0.6 -0.0 0.0 -0.0 0.0 0.1 -0.0 -0.0 -0.3 0.0 -0.5 0.1 0.1 -0.4 -0.4 -0.4 -0.4 0.1 -0.0 0.0 -0.4 0.1 2.7 0.0 -0.0 -0.0 0.0 -0.2 0.0 -1.1 -0.1 0.6 0.6 0.1 -0.1 -0.2 -0.3 -0.4 GBP 0.1 0.3 -0.1 0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.1 0.4 -0.1 0.2 0.2 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.0 0.1 0.1 0.2 0.1 -0.1 0.1 -0.0 0.1 0.0 0.2 0.0 0.4 0.6 0.5 -0.3 -0.7 -0.3 -0.3 GOLD_micro -0.6 -0.4 0.3 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 -0.1 0.3 -0.1 0.1 -0.2 -0.3 -0.2 -0.3 0.0 0.1 -0.0 0.2 -0.0 -0.4 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.7 0.2 0.1 -0.1 0.6 -0.0 -0.4 0.2 -0.1 HEATOIL 0.1 -0.5 -0.3 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.2 -0.2 0.1 0.2 -0.0 -0.1 -0.2 0.3 -0.1 0.1 -0.1 -0.1 0.1 0.1 -0.0 -2.7 -0.1 0.1 -0.1 0.0 0.0 -0.0 -0.2 0.4 -0.3 -0.5 -0.6 0.1 0.2 -0.1 0.0 JGB-SGX-mini 0.4 -0.2 -0.5 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 0.0 0.0 -0.1 0.4 0.4 0.4 0.4 -0.0 -0.1 0.1 -0.1 0.0 -1.2 -0.0 0.1 -0.1 0.0 -0.1 0.0 1.1 0.3 -0.1 -0.3 -0.3 -0.5 -0.2 -0.1 0.5 JPY 0.1 -0.3 -0.3 0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 -0.3 -0.1 -0.5 -0.1 -0.1 -0.3 -0.3 -0.3 -0.3 -0.1 -0.2 -0.1 -0.5 -0.1 2.7 -0.0 -0.0 -0.2 -0.0 -0.2 -0.0 -1.1 -0.0 -0.2 -0.5 -0.6 -0.6 -0.4 -0.6 -0.4 LEANHOG -0.6 -0.6 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -0.2 0.4 -0.4 -0.1 -0.4 -0.2 -0.2 -0.2 -0.2 -0.2 0.9 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -1.1 -0.5 -0.6 -0.6 -0.6 -0.4 -0.3 -0.2 0.2 LIVECOW 0.1 0.3 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.1 0.2 0.1 0.1 0.2 0.1 0.4 0.2 0.4 0.4 0.1 0.1 0.2 0.1 0.1 -1.1 0.1 0.1 0.1 0.1 0.2 0.1 1.1 0.5 0.6 0.6 0.3 0.3 0.7 0.6 0.7 LUMBER-new -0.0 -0.3 -0.7 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.3 -0.1 -0.4 -0.1 -0.2 -0.4 -0.4 -0.4 -0.4 -0.2 -0.2 -0.1 -0.2 -0.2 NaN -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -1.2 0.4 -0.4 -0.7 -0.7 -0.4 -0.4 -0.1 -0.3 MILK 0.1 0.6 0.6 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.0 0.2 0.1 -0.2 0.1 0.1 -0.3 -0.4 -0.3 -0.4 0.2 0.1 0.1 -0.1 0.2 1.9 0.0 0.0 0.1 0.0 -0.0 0.0 -1.1 0.5 0.6 0.6 0.5 -0.5 -0.7 -0.4 -0.7 MXP -0.6 -0.6 -0.6 0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 0.0 -0.1 0.2 -0.1 -0.1 0.2 0.3 0.3 0.3 -0.1 -0.0 -0.1 0.1 -0.2 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.5 -0.6 -0.6 -0.0 0.7 0.6 0.7 0.7 NASDAQ_micro 0.6 0.6 -0.1 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.4 0.2 0.6 0.2 0.2 -0.2 -0.2 -0.2 -0.2 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.1 0.1 0.2 0.1 -0.4 0.5 0.6 0.6 0.0 -0.1 0.1 -0.2 0.1 NIKKEI 0.0 -0.1 0.0 0.0 -0.0 0.2 0.0 0.3 0.0 -0.0 0.4 0.1 0.6 0.1 -0.0 0.2 0.2 0.1 0.1 0.1 0.2 0.0 0.5 0.0 -2.6 0.0 -0.0 0.3 0.0 0.6 0.0 1.1 0.1 0.2 -0.5 -0.3 -0.1 -0.3 -0.3 -0.4 NZD 0.2 0.5 -0.0 0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 0.1 0.0 0.0 0.0 0.0 0.1 0.0 0.0 -0.0 0.1 0.1 0.0 -0.0 0.0 0.0 0.0 0.0 0.3 0.1 0.3 0.5 0.1 0.1 -0.2 0.2 0.1 OAT -0.2 -0.2 -0.3 0.0 0.0 -0.0 0.1 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.0 0.1 0.1 0.1 -0.1 -0.1 -0.0 -0.1 -0.1 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.8 -0.5 -0.6 -0.4 -0.0 -0.7 -0.6 -0.1 -0.1 OATIES -0.6 0.3 0.3 -0.0 -0.0 0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 0.0 0.1 0.1 -0.0 -0.0 -0.2 -0.1 -0.1 -2.7 -0.0 -0.0 0.0 -0.1 -0.0 -0.0 0.0 -0.5 -0.4 0.2 0.1 -0.1 -0.0 0.2 0.4 OJ -0.6 0.4 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.1 0.4 0.0 0.1 0.2 0.3 0.2 0.2 0.2 0.2 -0.0 0.5 0.1 -2.7 0.0 -0.0 0.1 -0.0 0.2 0.0 0.9 0.1 0.2 0.6 0.6 0.2 0.3 0.6 0.7 PALLAD -0.5 -0.2 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.1 -0.3 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 1.9 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 0.2 0.1 -0.3 -0.3 -0.7 -0.7 -0.7 -0.6 PLAT -0.6 0.2 0.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.1 -0.1 -0.0 0.0 -0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.1 0.0 -0.1 1.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 -0.1 -0.1 0.3 0.0 -0.7 -0.3 0.0 0.2 REDWHEAT -0.6 0.6 0.6 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.1 -0.2 -0.3 -0.0 0.1 -0.2 -0.1 -0.2 -0.1 0.0 0.1 -0.2 -0.1 -0.1 -0.9 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.5 -0.5 -0.4 0.6 0.5 -0.5 -0.7 -0.1 -0.6 RICE -0.3 0.5 0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.1 0.4 -0.0 0.6 0.1 0.2 0.4 0.4 0.4 0.4 0.2 0.2 0.0 0.4 0.1 -1.7 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.5 0.6 0.6 -0.0 -0.3 -0.2 -0.3 -0.1 ROBUSTA 0.6 -0.1 -0.2 -0.0 -0.0 0.0 -0.1 -0.0 -0.0 -0.1 0.2 0.0 0.3 0.1 0.1 0.3 0.4 0.4 0.4 0.1 0.2 0.0 0.4 0.1 -2.7 0.0 -0.0 0.1 -0.0 0.2 0.0 1.1 0.3 0.6 0.2 0.6 0.0 -0.3 0.3 0.1 RUSSELL -0.4 0.0 -0.1 0.0 0.0 0.2 0.0 0.2 0.0 -0.1 0.3 -0.1 0.4 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.1 0.2 -0.1 -0.2 -0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.0 -0.5 -0.5 -0.3 -0.4 -0.0 -0.7 -0.1 -0.7 SHATZ 0.6 0.3 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.2 0.1 -0.3 0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.1 -0.2 0.0 1.0 -0.0 0.1 -0.1 0.1 -0.1 0.0 -1.1 0.2 0.0 -0.3 -0.3 -0.7 -0.6 -0.5 -0.5 SILVER-mini -0.5 0.0 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 -0.1 0.2 0.0 0.1 -0.1 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.1 0.0 0.2 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 0.1 0.2 0.2 0.5 -0.2 -0.4 0.2 0.1 SMI -0.0 0.6 0.3 0.0 0.0 0.2 0.0 0.3 0.0 -0.1 0.5 0.1 0.6 0.2 0.2 -0.1 0.0 -0.0 0.0 0.2 0.2 0.0 0.4 0.2 1.9 0.1 -0.0 0.2 0.0 0.2 0.0 0.7 -0.0 0.5 0.6 0.5 0.3 0.1 0.2 -0.0 SOFR 0.4 0.5 -0.2 0.0 0.0 -0.0 0.1 -0.1 0.0 0.1 -0.1 0.1 -0.1 0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 0.1 -0.1 0.1 -0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.2 -0.0 0.2 0.3 0.1 0.0 -0.6 0.5 0.0 SOYBEAN -0.6 0.1 0.3 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.3 -0.2 -0.2 -0.2 -0.0 -0.0 0.2 0.0 0.1 -0.1 -0.1 -0.2 -0.2 -0.2 -2.7 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 0.3 0.0 -0.4 0.0 0.1 -0.7 -0.7 -0.5 -0.7 SOYMEAL -0.6 0.4 0.4 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.2 -0.1 -0.3 -0.1 -0.0 0.1 0.1 0.0 0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -2.7 0.0 -0.1 0.0 -0.0 -0.0 -0.0 0.2 0.2 0.1 0.6 0.4 -0.7 -0.7 -0.7 -0.7 SOYOIL -0.2 -0.0 0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 -0.3 -0.1 -0.4 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -2.7 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.4 0.2 -0.0 -0.3 -0.2 -0.6 -0.7 -0.1 0.0 SP400 -0.5 -0.2 -0.1 0.0 0.0 0.2 0.0 0.2 0.0 -0.0 0.3 -0.1 0.4 -0.0 -0.0 -0.2 -0.1 -0.1 -0.1 -0.0 0.1 -0.1 0.3 -0.1 -1.7 0.0 -0.0 0.1 -0.0 0.2 -0.0 0.0 -0.5 -0.6 -0.3 -0.1 -0.0 -0.3 0.0 -0.7 SP500_micro 0.3 0.5 -0.0 0.1 0.0 0.2 0.0 0.3 0.0 0.2 0.5 0.2 0.7 0.2 0.2 -0.3 -0.2 -0.3 -0.3 0.2 0.2 0.2 0.5 0.2 -2.7 0.1 0.1 0.2 0.1 0.3 0.1 -0.5 0.5 0.6 0.6 0.3 0.1 -0.0 0.2 -0.0 SUGAR11 0.6 -0.1 -0.6 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.0 -0.4 0.1 -0.3 -0.0 -0.1 0.0 0.2 0.1 0.1 -0.1 -0.2 0.1 -0.3 0.0 -2.7 -0.0 0.0 -0.2 0.0 -0.1 -0.0 0.7 0.5 0.6 -0.4 -0.6 0.5 0.6 0.7 0.7 US10 0.4 0.4 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.1 0.1 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.3 -0.0 0.2 0.2 0.1 -0.1 -0.7 0.3 0.1 US10U 0.4 0.5 -0.0 0.0 0.1 -0.0 0.1 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.0 0.1 -0.2 0.1 0.0 0.0 0.0 0.0 0.1 -0.0 0.0 0.1 -0.1 0.2 0.3 0.2 -0.1 -0.5 0.6 0.3 US2 0.5 0.3 -0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.3 0.0 -0.1 -0.4 -0.4 -0.4 -0.4 -0.0 -0.1 0.0 -0.3 0.0 1.7 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 -0.1 -0.1 -0.0 -0.2 -0.3 -0.7 -0.1 -0.6 US20 0.4 0.5 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.0 0.1 -0.1 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.3 -0.0 0.2 0.3 0.2 -0.2 -0.4 0.7 0.5 US30 0.4 0.4 0.0 0.0 0.0 -0.0 0.1 -0.1 0.0 0.1 -0.0 0.1 -0.2 0.1 0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.1 -0.2 0.1 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.2 0.2 0.2 -0.4 -0.4 0.3 0.5 US5 0.4 0.4 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.3 0.1 -0.0 -0.2 -0.2 -0.2 -0.2 0.0 -0.0 0.1 -0.2 0.1 0.7 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.6 -0.1 0.1 0.1 -0.0 -0.1 -0.7 0.2 -0.2 VIX 0.2 -0.7 0.1 -0.1 0.0 -0.4 -0.0 -0.6 -0.1 0.1 -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 -0.2 NaN -0.1 0.0 -0.4 -0.0 -0.7 -0.1 NaN NaN NaN NaN NaN -1.0 -1.1 NaN NaN WHEAT -0.6 0.6 0.6 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.1 -0.1 -0.2 -0.0 0.1 -0.3 -0.3 -0.3 -0.3 0.0 0.1 -0.2 -0.1 -0.1 0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -1.1 -0.5 -0.4 0.6 0.5 -0.4 -0.7 -0.3 -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 -2.8 8.7 4.3 0.2 -4.2 -0.5 -2.3 1.0 0.2 -6.1 -0.7 -5.6 -5.6 8.7 10.3 -2.4 -2.8 -2.6 -2.7 3.8 2.3 -2.7 -1.8 1.4 3.4 2.7 -3.8 2.2 -2.3 -0.1 0.5 -0.0 -0.7 -5.6 7.5 8.6 -1.6 -6.9 0.7 -0.6 BITCOIN -1.0 -0.6 7.6 -2.0 -5.9 1.7 -9.5 1.8 -7.7 -15.3 16.9 -13.2 19.0 10.9 8.6 -7.6 -7.3 -7.5 -7.7 11.1 20.0 -12.5 20.0 -0.3 -20.0 6.0 -6.4 14.6 -5.5 19.7 -0.4 -3.7 17.0 20.0 17.6 20.0 -16.3 -3.5 3.3 1.6 BOBL 9.3 0.9 -6.9 0.3 3.9 -0.9 3.9 -1.5 2.3 6.3 -7.0 4.5 -5.6 0.0 -5.3 -18.1 -7.5 -5.5 -5.9 -3.3 -5.0 8.9 -5.0 1.9 4.0 -1.4 7.5 -1.9 4.7 -1.7 1.1 -5.5 4.8 -3.1 -9.2 -2.7 -20.0 -15.8 -5.5 -10.0 BTP -6.3 -6.0 -8.6 0.5 6.5 -1.5 6.5 -2.5 3.8 0.6 6.8 -2.4 8.4 -5.1 -7.6 0.5 5.1 2.7 3.8 -3.3 1.0 -2.2 4.4 -4.4 -20.0 -2.1 1.6 1.8 -1.9 4.4 -3.6 14.4 -20.0 -19.5 -12.8 9.0 -14.3 -11.1 4.9 2.4 BUND 6.5 0.2 -4.9 0.3 4.3 -1.0 4.3 -1.6 2.5 6.4 -5.1 4.6 -3.0 0.3 -4.9 0.6 -0.9 -3.7 -3.4 -2.3 -3.3 8.3 -3.5 1.9 1.4 -0.9 8.7 -1.1 5.3 -0.9 1.3 2.7 3.3 -4.1 -8.6 1.1 -20.0 -18.9 -3.7 -10.6 BUXL 5.0 -1.2 -1.6 0.4 5.0 -1.2 5.0 -1.9 3.0 6.9 -3.3 4.5 -2.8 -0.4 -5.5 -3.2 -3.2 -5.3 -4.7 -2.5 -3.1 8.6 -3.9 1.6 -2.2 -0.9 10.2 -0.6 5.8 -0.6 1.1 -0.6 3.3 -5.7 -11.1 3.9 -20.0 -20.0 -13.5 -8.5 CAC -20.0 -16.6 -13.0 4.7 1.2 7.3 1.9 8.4 3.1 -14.4 15.1 -17.3 17.5 -12.9 -2.1 -7.1 0.8 0.4 1.9 -6.7 6.9 -20.0 14.0 -20.0 -11.5 -1.8 -15.5 3.8 -14.2 6.1 -8.7 13.5 -20.0 -20.0 -20.0 -1.0 -4.2 7.5 -11.3 10.7 CAD -1.8 0.3 -6.3 0.3 -5.5 -0.6 -3.0 1.2 0.3 -7.7 -15.9 -14.3 -14.4 -11.1 -13.2 -3.9 -2.7 -3.4 -3.0 -8.6 -9.6 -7.1 -9.8 -7.8 -0.8 -6.5 -1.4 -6.7 -5.9 -6.4 -6.4 -0.1 -3.7 -13.9 -11.1 -11.1 -1.7 -9.4 -4.0 -6.1 CANOLA -20.0 8.2 20.0 -1.0 -4.4 0.1 -4.7 -0.1 -3.2 -7.9 -3.2 -8.2 -6.1 -5.2 1.3 -13.1 -9.4 -14.5 -13.6 -2.8 -2.5 -13.2 -6.3 -8.5 -20.0 -1.4 -4.9 -1.2 -4.8 -2.8 -3.4 -20.0 -6.4 -9.7 -1.7 5.4 -12.1 -16.5 0.7 -4.9 CHF 20.0 12.5 -18.1 0.2 -4.5 -0.5 -2.5 1.0 0.3 10.0 -15.9 14.4 -13.8 12.4 -7.2 -16.6 -16.3 -16.8 -16.5 -1.2 -13.7 15.5 -13.3 12.6 4.0 0.2 5.6 -4.4 6.6 -4.1 5.6 -20.0 20.0 20.0 3.8 -20.0 3.3 -15.2 3.0 -12.4 COCOA 20.0 -6.9 -4.1 -0.8 -3.3 0.1 -3.5 -0.1 -2.4 0.4 3.7 5.1 4.8 1.7 2.7 20.0 15.8 20.0 20.0 6.0 7.8 6.5 8.5 6.7 -16.6 2.0 0.1 4.0 0.9 5.2 1.1 20.0 16.0 19.0 -4.8 20.0 9.0 2.5 12.7 7.7 COFFEE 10.8 -0.0 12.6 -1.9 -8.4 0.2 -8.8 -0.2 -6.1 -4.0 11.3 6.8 10.7 9.2 9.2 1.5 7.4 5.7 7.5 15.7 16.9 4.5 13.8 11.2 -20.0 4.2 0.3 6.2 0.1 5.9 1.5 9.8 20.0 20.0 -3.7 20.0 4.9 -13.7 15.6 -4.2 COPPER -20.0 -8.6 17.1 -0.6 -1.9 0.5 -3.0 0.6 -2.4 -5.6 4.5 -6.8 3.8 -4.9 2.4 1.6 -3.0 0.2 -1.7 2.8 6.5 -6.2 5.3 -3.6 -7.6 1.3 -1.2 2.5 -1.6 2.0 -0.8 4.9 1.7 -3.6 11.5 14.3 -3.3 -1.3 10.8 7.6 CORN -14.3 6.5 17.6 -2.0 -8.8 0.3 -9.3 -0.2 -6.4 -2.9 -7.2 -7.5 -15.7 -8.2 -0.9 -17.2 -12.3 -18.2 -16.8 -4.3 -5.8 -5.7 -12.8 -6.7 -14.7 -1.4 -4.0 -2.8 -2.3 -6.4 -2.6 -20.0 20.0 3.6 6.5 4.5 -20.0 -20.0 -20.0 -1.3 COTTON2 -7.0 -18.5 -20.0 -1.4 -5.9 0.2 -6.2 -0.1 -4.2 -8.1 -10.3 -11.0 -7.0 -11.5 -11.9 -6.6 2.0 0.2 1.8 -16.6 -13.4 -9.7 -7.4 -13.8 -19.9 -3.7 -1.2 -2.1 -2.3 -0.1 -3.4 -0.3 7.6 -0.9 -20.0 -17.6 -4.8 -10.9 10.6 -0.5 CRUDE_W -1.1 -14.7 -2.2 -3.9 5.8 -0.7 2.2 2.2 -3.1 20.0 3.8 11.6 13.4 -2.0 -3.6 10.9 12.0 12.6 12.5 -3.6 2.2 12.8 8.8 -0.1 -4.7 -5.3 6.7 -1.4 1.9 2.4 -4.4 1.3 8.1 -13.2 -14.4 0.2 20.0 17.3 20.0 20.0 DAX -20.0 -5.8 -5.7 4.5 1.1 7.0 1.8 8.0 2.9 -13.1 17.2 -14.8 18.0 -4.4 6.9 -10.5 -11.5 -11.2 -11.8 3.6 14.8 -20.0 19.2 -9.4 11.8 2.6 -10.9 8.8 -9.1 10.6 -4.3 -9.0 -20.0 -20.0 -11.1 16.4 1.1 5.5 -3.4 10.8 DOW -15.2 -1.8 -15.6 3.7 0.9 5.7 1.5 6.5 2.4 -1.6 11.0 -7.0 12.3 -4.4 -3.7 -10.5 -11.2 -11.2 -11.5 -2.1 5.4 -4.7 12.4 -5.4 -12.5 0.2 0.1 4.3 -1.9 7.9 -1.9 -8.4 -4.4 -20.0 -9.3 -13.6 8.2 -3.8 12.5 -8.4 DX -1.4 -8.6 6.6 0.2 -4.4 -0.5 -2.5 1.0 0.2 14.1 12.6 13.8 12.4 -1.4 8.2 7.2 6.9 7.4 7.1 4.2 7.0 10.7 7.9 4.8 -20.0 2.6 7.7 4.1 6.6 4.7 3.1 16.8 20.0 15.3 -13.8 15.9 0.0 8.1 1.0 15.2 EUR -4.2 6.8 -2.9 0.2 -4.8 -0.5 -2.6 1.1 0.3 -14.3 -8.3 -15.0 -8.8 -1.9 -2.7 -7.3 -7.0 -7.3 -7.0 -3.0 -3.4 -15.6 -4.2 -7.6 20.0 -1.1 -10.9 -0.4 -11.0 -0.7 -5.2 -7.2 -20.0 -15.8 -0.3 2.9 -13.0 -20.0 -11.8 -15.0 EURIBOR-ICE 6.8 -3.1 -16.8 0.3 3.7 -0.9 3.7 -1.4 2.2 6.0 -3.4 3.9 -0.1 -0.1 -5.5 -6.6 -4.9 -6.0 -4.9 -3.4 -3.4 6.4 -1.6 0.7 11.4 -1.6 5.4 -1.5 3.1 -0.4 0.3 -1.6 -0.9 -5.3 -8.7 -3.9 -20.0 -20.0 -1.5 6.9 EUROSTX -19.8 -10.2 -9.9 4.5 1.1 6.9 1.8 8.0 2.9 -11.4 18.3 -11.3 18.9 -2.3 7.2 -7.9 -2.1 -6.6 -4.0 3.6 14.4 -17.5 19.9 -7.4 -2.2 3.0 -11.6 9.7 -9.0 12.3 -3.7 6.4 -20.0 -20.0 -10.4 10.7 -14.9 4.1 -20.0 6.1 FEEDCOW 0.9 4.0 -10.2 -2.5 -10.6 0.3 -11.1 -0.2 -7.6 17.4 3.9 3.1 -3.0 4.7 -0.3 -14.4 -20.0 -20.0 -20.0 1.5 -1.7 12.1 -0.6 5.5 -6.9 -1.4 12.1 -1.3 5.4 1.8 0.2 -20.0 20.0 15.0 7.2 -13.7 11.6 20.0 20.0 20.0 GASOIL 1.5 -16.4 -9.1 -3.5 5.3 -0.7 2.0 2.0 -2.8 19.1 -0.4 13.2 11.9 -4.0 -12.9 -3.3 13.9 1.3 7.8 -9.9 -4.1 13.9 6.9 -2.7 6.2 -4.6 9.4 -2.2 5.2 2.0 -1.6 0.1 1.1 9.2 -4.6 -10.7 -19.8 -12.0 -20.0 -20.0 GASOLINE -6.4 -20.0 -2.3 -3.6 5.4 -0.7 2.0 2.0 -2.9 18.0 5.8 0.8 13.3 -12.3 -10.5 17.5 14.3 17.8 14.0 -10.1 0.0 2.0 9.5 -9.3 -20.0 -5.3 3.8 -1.2 -0.1 3.1 -4.9 3.5 -1.4 -10.1 -14.3 -0.5 20.0 20.0 20.0 20.0 GAS_US_mini 3.7 20.0 20.0 -2.5 3.8 -0.5 1.4 1.4 -2.0 -1.9 -9.7 3.4 -13.4 8.9 7.2 -19.6 -20.0 -20.0 -20.0 8.4 -1.5 4.5 -15.0 10.2 20.0 3.3 -2.5 -0.7 1.7 -4.3 4.1 -20.0 -4.1 18.1 20.0 2.8 -2.5 -5.9 -8.1 -11.3 GBP 4.3 10.3 -3.6 0.3 -5.6 -0.6 -3.1 1.3 0.3 -14.3 14.3 -5.2 5.8 18.9 12.3 -0.9 -0.8 -1.0 -0.8 9.7 6.1 -2.4 4.8 8.1 1.3 6.3 -7.0 5.1 -1.5 3.9 4.6 3.4 0.2 11.5 18.0 14.7 -7.5 -20.0 -8.4 -10.1 GOLD_micro -18.4 -12.6 10.5 -0.8 -2.4 0.7 -3.8 0.7 -3.1 -3.8 7.1 -6.6 7.6 -5.9 5.4 -10.6 -13.8 -12.0 -13.0 2.8 8.2 -3.8 8.7 -2.9 -2.7 0.8 -0.8 3.6 -1.8 4.0 -1.7 -13.8 7.1 3.5 -2.4 18.5 -1.4 -10.9 6.3 -3.8 HEATOIL 3.4 -14.4 -9.6 -3.7 5.5 -0.7 2.1 2.1 -2.9 20.0 -8.1 13.7 6.1 -3.3 -13.4 -9.1 12.7 -3.7 4.5 -11.6 -8.0 14.5 1.9 -2.4 -20.0 -6.1 6.0 -3.5 2.6 0.8 -3.6 -3.7 17.9 -9.1 -16.2 -19.8 4.5 6.5 -2.1 1.0 JGB-SGX-mini 13.6 -5.3 -16.5 0.3 4.4 -1.0 4.3 -1.7 2.6 7.3 -2.9 6.5 0.0 0.7 -5.9 20.0 17.9 19.9 17.8 -4.4 -5.3 11.2 -2.2 2.4 -8.7 -2.0 6.2 -2.5 4.2 -1.7 0.8 20.0 14.6 -1.9 -10.4 -8.5 -16.2 -5.3 -2.7 15.2 JPY 2.4 -8.0 -9.3 0.1 -2.7 -0.3 -1.5 0.6 0.1 -10.7 -12.3 -10.1 -12.6 -10.6 -11.8 -14.4 -16.2 -15.2 -15.7 -11.3 -15.2 -6.1 -18.5 -7.2 20.0 -4.2 -2.9 -5.6 -2.3 -6.4 -2.6 -20.0 -0.1 -5.6 -16.4 -17.4 -19.1 -10.8 -17.6 -10.6 LEANHOG -20.0 -20.0 -2.4 -2.6 -11.2 0.3 -11.7 -0.2 -8.1 -7.6 -4.9 -18.5 -5.3 -20.0 -20.0 20.0 -20.0 -4.3 -20.0 -20.0 -15.5 -20.0 -7.7 -20.0 6.8 -6.9 -1.5 -2.5 -6.5 -0.7 -8.7 -20.0 -20.0 -20.0 -20.0 -17.9 -13.0 -10.0 -7.2 6.2 LIVECOW 2.5 10.1 -3.0 -2.5 -10.8 0.3 -11.4 -0.2 -7.8 16.4 9.1 10.4 2.0 14.6 7.7 20.0 11.2 20.0 19.7 9.9 5.1 19.1 3.6 13.5 -8.0 5.3 15.6 4.2 9.9 4.8 6.5 20.0 20.0 20.0 20.0 7.8 10.3 20.0 18.2 20.0 LUMBER-new -1.3 -9.0 -18.9 -1.6 -6.9 0.2 -7.2 0.0 -5.0 -0.8 -10.3 -8.1 -10.4 -9.9 -12.5 -16.3 -17.7 -18.9 -18.6 -15.7 -12.6 -9.5 -7.8 -13.8 NaN -4.8 -0.6 -3.8 -2.5 -2.0 -4.0 -20.0 15.1 -10.2 -20.0 -20.0 -11.7 -11.0 -2.3 -7.0 MILK 2.0 20.0 20.0 -1.5 -6.5 0.2 -6.9 -0.1 -4.7 0.8 6.5 7.4 -5.7 11.5 12.2 -15.6 -20.0 -14.3 -20.0 18.4 10.2 10.5 -2.4 17.1 14.5 4.4 0.2 2.3 2.3 -0.7 4.1 -20.0 20.0 20.0 20.0 16.3 -14.6 -20.0 -10.5 -20.0 MXP -20.0 -20.0 -20.0 0.1 -2.2 -0.2 -1.2 0.5 0.1 -5.8 1.6 -8.2 6.8 -7.7 -5.0 11.4 16.5 14.4 15.4 -8.7 -1.7 -16.1 3.4 -15.5 -20.0 -2.4 -2.1 -0.4 -4.1 1.0 -4.2 20.0 -20.0 -20.0 -20.0 -0.7 19.9 18.6 20.0 20.0 NASDAQ_micro 17.2 19.8 -3.5 3.5 0.9 5.4 1.4 6.2 2.3 14.2 15.6 15.5 15.7 15.8 14.9 -11.4 -10.6 -11.1 -11.0 20.0 19.7 20.0 20.0 20.0 -20.0 5.0 9.3 4.5 8.4 5.7 6.8 -7.4 20.0 20.0 20.0 0.8 -2.2 2.3 -5.7 2.3 NIKKEI 0.5 -4.0 0.4 4.4 -2.3 6.9 1.1 7.9 2.7 -0.1 13.5 9.4 16.9 11.6 -0.0 10.1 8.9 6.7 7.2 5.8 17.0 3.7 20.0 4.0 -19.7 2.9 -0.1 9.7 1.8 17.1 1.8 20.0 5.4 7.7 -15.7 -8.0 -3.2 -7.7 -8.8 -11.8 NZD 6.1 15.6 -1.1 0.2 -3.8 -0.4 -2.1 0.9 0.2 -6.5 1.6 1.9 -1.8 12.8 10.4 0.2 0.2 0.1 0.2 7.8 3.1 1.5 -0.8 7.9 0.7 3.9 -2.8 1.8 0.4 0.3 3.7 5.0 2.7 8.6 14.9 3.0 2.6 -4.9 5.8 3.9 OAT -5.2 -5.3 -9.5 0.3 4.7 -1.1 4.7 -1.8 2.8 -2.9 -4.3 -4.5 -1.7 -6.2 -8.1 0.8 5.5 3.4 4.3 -6.4 -4.7 -4.7 -3.3 -6.3 1.8 -2.9 -0.7 -1.5 -2.7 -0.6 -3.4 15.0 -20.0 -18.1 -13.8 -0.4 -20.0 -18.6 -2.2 -3.3 OATIES -20.0 7.7 10.1 -1.0 -4.4 0.1 -4.6 -0.1 -3.2 -8.1 -3.2 -8.9 -6.4 -6.7 -2.4 -5.5 1.3 2.6 3.3 -4.0 -1.8 -18.1 -2.9 -11.5 -20.0 -0.4 -5.2 0.2 -4.8 -0.3 -2.7 0.3 -20.0 -10.8 6.9 1.9 -4.5 -1.3 6.6 11.9 OJ -20.0 10.8 -1.6 -1.6 -7.1 0.2 -7.5 -0.2 -5.1 -0.1 9.8 -7.6 12.2 4.2 7.9 10.4 13.1 10.7 10.7 16.1 17.3 -3.2 18.2 6.3 -20.0 3.6 -0.0 3.9 -0.7 5.0 1.4 17.1 5.0 7.0 20.0 20.0 4.7 8.9 18.8 20.0 PALLAD -15.6 -7.3 -1.2 -0.8 -2.3 0.7 -3.7 0.7 -3.0 -7.8 -6.4 -9.4 -8.5 -9.4 -7.1 -2.7 -2.3 -2.5 -2.3 -7.5 -6.6 -8.4 -11.0 -9.4 14.3 -3.0 -1.9 -2.1 -3.2 -2.6 -3.8 5.4 6.5 1.9 -7.8 -10.6 -20.0 -20.0 -20.0 -17.5 PLAT -20.0 7.6 11.3 -0.9 -2.7 0.8 -4.3 0.8 -3.5 -5.2 2.6 -9.5 -3.4 -3.1 0.8 -5.1 -4.1 -5.0 -4.6 1.3 3.7 -9.5 1.4 -6.0 7.7 -0.1 -1.1 1.3 -3.4 1.0 -2.7 1.9 -2.1 -2.8 8.6 0.6 -20.0 -8.0 0.4 4.6 REDWHEAT -20.0 17.3 20.0 -1.7 -7.4 0.2 -7.8 -0.2 -5.3 -13.6 3.9 -14.2 -9.0 -3.0 4.9 -11.2 -3.0 -8.4 -5.4 4.3 4.9 -20.0 -4.7 -11.3 -6.5 1.2 -8.4 1.5 -7.1 -0.9 -3.0 -10.2 -20.0 -10.9 20.0 15.6 -13.9 -20.0 -4.0 -17.7 RICE -8.1 15.1 0.1 -2.3 -9.9 0.3 -10.4 -0.2 -7.1 6.1 15.9 -1.4 15.7 10.3 17.8 20.0 20.0 20.0 20.0 14.9 16.7 2.9 16.2 7.6 -13.0 4.1 2.2 3.7 1.4 3.1 2.6 20.0 20.0 20.0 20.0 -0.7 -9.9 -5.6 -8.9 -1.5 ROBUSTA 20.0 -2.6 -6.7 -1.1 -4.8 0.1 -5.0 -0.1 -3.4 -6.5 8.0 3.6 8.7 5.4 6.5 17.4 20.0 18.9 20.0 13.2 16.0 2.4 16.5 9.4 -20.0 3.2 -0.8 5.1 -0.0 5.9 1.4 20.0 12.1 20.0 7.0 20.0 0.4 -9.6 8.0 3.9 RUSSELL -11.1 0.3 -2.6 3.6 0.9 5.6 1.5 6.4 2.4 -8.3 10.5 -11.9 10.5 -1.5 -0.8 -7.2 -6.7 -7.1 -6.9 -1.3 3.6 -9.2 5.9 -6.0 -1.6 -0.2 -4.9 2.7 -4.8 4.2 -3.0 -0.4 -20.0 -15.6 -9.7 -11.2 -0.9 -20.0 -1.7 -20.0 SHATZ 19.7 8.5 -4.2 0.3 3.9 -0.9 3.9 -1.5 2.3 6.0 -8.1 4.8 -8.2 0.4 -5.5 -20.0 -20.0 -20.0 -20.0 -3.6 -7.4 11.3 -8.9 3.3 7.2 -1.4 7.1 -2.7 4.9 -2.8 1.4 -20.0 10.1 0.7 -9.7 -8.5 -20.0 -17.5 -16.0 -13.5 SILVER-mini -15.4 0.4 17.5 -0.7 -2.1 0.6 -3.3 0.6 -2.7 -5.4 6.0 -6.3 5.0 1.3 5.4 -5.5 -6.6 -6.1 -6.4 5.6 7.2 -3.7 5.2 0.4 1.7 1.6 -0.9 2.8 -1.5 2.4 -0.6 -1.9 3.9 5.5 7.6 14.2 -6.8 -11.4 6.8 3.8 SMI -0.7 19.9 10.4 4.3 1.1 6.6 1.8 7.6 2.8 -11.7 17.9 5.2 15.7 15.1 16.2 -3.6 2.2 -2.1 0.4 20.0 20.0 4.5 16.0 17.6 14.2 6.7 -2.0 7.0 1.1 5.4 4.5 13.8 -0.3 15.3 20.0 16.7 9.1 1.6 6.5 -0.2 SOFR 13.8 14.6 -6.3 0.4 4.8 -1.1 4.8 -1.9 2.8 6.7 -2.5 8.2 -3.5 8.0 -0.1 -3.3 -1.3 -3.0 -2.1 2.4 -2.2 10.0 -4.1 7.8 -2.6 2.1 3.1 0.3 4.0 -0.5 3.8 3.9 -1.5 6.7 8.4 3.2 1.3 -18.6 14.1 0.4 SOYBEAN -20.0 3.9 8.1 -2.0 -8.8 0.3 -9.3 -0.2 -6.4 -14.5 -9.7 -16.3 -6.4 -14.2 -4.1 -1.1 7.6 0.0 2.6 -8.8 -6.6 -20.0 -8.3 -16.6 -20.0 -2.9 -9.1 -1.7 -7.9 -2.0 -6.2 5.4 0.1 -12.5 1.2 4.1 -20.0 -20.0 -16.1 -20.0 SOYMEAL -20.0 12.2 13.4 -1.6 -7.1 0.2 -7.5 -0.2 -5.1 -10.6 -8.5 -13.0 -9.0 -6.9 -0.6 4.4 5.9 2.2 2.2 -1.6 -2.5 -12.6 -5.9 -8.1 -20.0 1.7 -5.8 0.9 -3.7 -0.5 -1.0 3.4 7.5 1.7 18.9 11.7 -20.0 -20.0 -20.0 -20.0 SOYOIL -5.0 -0.0 0.2 -1.3 -5.8 0.2 -6.1 -0.1 -4.2 -6.0 -9.9 -9.0 -10.4 -7.0 -8.5 -0.9 -0.7 -4.1 -3.9 -7.5 -9.4 -6.0 -11.1 -6.9 -20.0 -3.5 -1.4 -3.2 -2.5 -2.9 -3.3 -7.5 8.2 -1.0 -10.6 -7.0 -16.9 -19.6 -2.2 0.2 SP400 -16.3 -4.8 -3.2 3.7 0.9 5.8 1.5 6.6 2.4 -5.5 11.8 -12.5 12.3 -4.3 -1.3 -8.3 -6.1 -7.4 -6.6 -0.9 7.8 -9.3 12.2 -7.5 -12.6 0.6 -3.3 4.7 -4.0 6.7 -2.8 0.4 -20.0 -17.6 -10.1 -2.2 -0.1 -10.0 0.3 -20.0 SP500_micro 9.0 14.8 -0.7 4.6 1.2 7.1 1.9 8.2 3.0 18.5 20.0 20.0 20.0 20.0 19.7 -13.5 -12.2 -13.1 -12.7 20.0 20.0 20.0 20.0 20.0 -20.0 7.1 10.2 8.0 9.2 9.5 8.0 -10.2 20.0 20.0 18.2 7.8 4.5 -0.5 4.5 -0.5 SUGAR11 18.2 -2.6 -19.4 -1.9 -8.2 0.2 -8.6 -0.2 -5.9 2.8 -15.2 8.7 -8.1 -0.9 -12.4 0.6 11.9 3.2 7.3 -12.0 -17.9 8.4 -11.6 0.4 -20.0 -4.6 1.7 -6.1 2.5 -3.8 -0.6 13.8 20.0 20.0 -13.5 -20.0 16.0 18.4 20.0 20.0 US10 12.1 13.2 -2.0 0.3 4.1 -1.0 4.1 -1.6 2.4 5.7 -2.8 6.9 -5.1 6.4 -1.0 -7.3 -7.3 -6.7 -7.0 1.2 -2.7 7.7 -5.5 5.5 2.4 1.7 2.7 0.1 3.5 -1.0 3.2 -5.8 -2.0 4.7 5.8 2.6 -3.6 -19.7 7.8 1.9 US10U 12.4 13.9 -1.1 0.4 5.9 -1.4 5.8 -2.3 3.5 8.0 -3.7 9.7 -6.8 9.0 -1.1 -4.9 -2.4 -4.8 -3.7 1.9 -3.6 10.8 -7.9 7.9 0.3 2.6 3.9 0.3 5.0 -1.3 4.6 1.6 -3.0 6.6 7.7 4.7 -3.4 -16.0 18.9 9.2 US2 14.9 9.9 -7.1 0.3 4.1 -1.0 4.1 -1.6 2.4 4.3 -7.3 5.8 -8.5 4.2 -5.0 -20.0 -20.0 -20.0 -20.0 -2.8 -7.3 5.5 -10.5 2.7 12.5 -0.7 1.7 -2.2 2.5 -3.1 1.5 -20.0 -5.7 -2.1 -1.3 -5.9 -8.2 -20.0 -3.4 -16.9 US20 11.0 14.2 -0.0 0.3 4.3 -1.0 4.3 -1.6 2.5 6.0 -0.1 7.2 -2.9 7.0 0.6 -0.7 -0.7 -0.6 -0.5 2.5 -1.2 8.7 -4.4 6.6 -0.9 2.4 2.9 1.0 3.6 -0.2 3.6 5.6 -0.2 7.4 8.5 6.9 -7.0 -11.5 20.0 14.7 US30 11.1 13.6 0.7 0.4 5.0 -1.2 5.0 -1.9 2.9 6.9 -1.4 8.3 -4.6 7.9 0.0 -5.9 -5.1 -4.7 -5.0 2.4 -1.9 10.0 -5.8 7.2 -0.4 2.7 3.9 1.0 4.5 -0.5 4.2 -2.2 0.1 7.6 7.5 7.3 -12.4 -10.9 9.0 16.2 US5 13.4 13.2 -4.6 0.3 4.3 -1.0 4.3 -1.7 2.5 5.5 -5.4 7.0 -7.1 6.3 -2.4 -9.4 -10.1 -9.6 -9.8 0.2 -4.1 7.3 -6.8 5.1 5.5 1.2 2.4 -0.5 3.4 -1.5 3.0 -10.5 -3.4 2.8 4.5 -0.1 -3.0 -20.0 4.9 -6.6 VIX 3.6 -14.2 1.0 -7.5 1.3 -8.5 -1.5 -10.0 -5.0 8.6 -20.0 -10.8 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -3.7 -20.0 -14.1 NaN -8.6 1.5 -9.8 -1.7 -12.0 -5.7 NaN NaN NaN NaN NaN -19.7 -20.0 NaN NaN WHEAT -20.0 17.0 20.0 -1.5 -6.4 0.2 -6.8 -0.1 -4.7 -11.8 5.2 -12.4 -6.3 -2.3 4.8 -15.3 -14.0 -16.2 -15.4 3.4 5.2 -20.0 -2.7 -10.4 0.7 1.3 -6.2 1.6 -5.3 -0.2 -2.2 -20.0 -20.0 -12.2 20.0 13.9 -11.7 -20.0 -7.5 -20.0 End of report for caleb_strategy_v3